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: | 07-31 | |||||
Date of reporting period: | 01-31-2020 |
ITEM 1. REPORTS TO STOCKHOLDERS.
Semiannual Report | |
January 31, 2020 | |
Multi-Asset Income Fund | |
Investor Class (AMJVX) | |
I Class (AMJIX) | |
Y Class (AMJYX) | |
A Class (AMJAX) | |
C Class (AMJCX) | |
R Class (AMJWX) | |
R5 Class (AMJGX) | |
R6 Class (AMJRX) |
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the fund’s shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the fund or your financial intermediary electronically by calling or sending an email request to your appropriate contacts as listed on the back cover of this report.
You may elect to receive all future reports in paper free of charge. You can inform the fund or your financial intermediary that you wish to continue receiving paper copies of your shareholder reports by calling or sending an email request to your appropriate contacts as listed on the back cover of this report. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
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 |
Jonathan Thomas
Dear Investor:
Thank you for reviewing this semiannual report for the period ended January 31, 2020. It provides a market overview (below), followed by a schedule of fund investments and other financial information. For additional information please visit our website, americancentury.com.
Stocks, Bonds Delivered Solid Gains
From higher-quality government bonds to higher-risk stocks, most major U.S. and global asset classes posted gains for the six months ended January 31. U.S. stocks, as measured by the S&P 500 Index, advanced 9.31% for the period, outpacing the 7.40% return for global stocks (MSCI ACWI). Broad-based U.S. and global bond indices also delivered solid, albeit more-modest, gains.
A key policy pivot from the Federal Reserve (Fed) helped set the stage for the rally. After ending its three-year rate-hike campaign in early 2019, the Fed cut rates in July, September and October. Similarly, the European Central Bank unveiled more stimulus. These efforts aided stocks and bonds. Additionally, modestly improving economic and earnings data and upbeat trade-policy news lifted stock investors' optimism. However, news of China’s COVID-19 outbreak in January stifled the stock market rally. Investors feared the virus would spread worldwide, stalling global growth.
Special COVID-19 Update
As we finalize this shareholder report in mid-March, the fears that emerged in late January unfortunately have become reality. The world is dealing with unprecedented health, economic and lifestyle challenges stemming from the COVID-19 global pandemic. The market impact has been severe, but slowing and eliminating the human toll are most important.
We are monitoring the situation closely and following government guidelines and protocols from leading health authorities. Our firm has activated a comprehensive Pandemic Response Plan, which includes social-distancing and work-from-home mandates, restrictions on travel, escalated cleaning regimens at all our facilities, and more. We've also launched a Business Continuity Plan to maintain normal business operations and ensure delivery of outstanding service.
We appreciate your confidence in us during these extraordinary times. We have a long history of weathering volatile markets, and we are confident we will meet this current challenge. In the meantime, the health and safety of you, your family and our employees remain a top priority.
Sincerely,
Jonathan Thomas
President and Chief Executive Officer
American Century Investments
2
Fund Characteristics |
JANUARY 31, 2020 | |
Types of Investments in Portfolio | % of net assets |
Affiliated Funds | 50.3% |
Domestic Common Stocks | 14.0% |
Foreign Common Stocks* | 7.2% |
Preferred Stocks | 10.6% |
Convertible Preferred Stocks | 3.2% |
Corporate Bonds | 2.1% |
Exchange-Traded Funds | 1.5% |
Convertible Bonds | 0.9% |
Collateralized Mortgage Obligations | 0.6% |
Commercial Mortgage-Backed Securities | 0.6% |
Asset-Backed Securities | 0.5% |
U.S. Treasury Securities | 0.3% |
Collateralized Loan Obligations | 0.1% |
Temporary Cash Investments | 7.8% |
Other Assets and Liabilities | 0.3% |
*Includes depositary shares, dual listed securities and foreign ordinary shares.
3
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 August 1, 2019 to January 31, 2020.
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 I 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.
4
Beginning Account Value 8/1/19 | Ending Account Value 1/31/20 | Expenses Paid During Period(1) 8/1/19 - 1/31/20 | Annualized Expense Ratio(1) | |
Actual | ||||
Investor Class | $1,000 | $1,034.80 | $3.32 | 0.65% |
I Class | $1,000 | $1,036.90 | $2.30 | 0.45% |
Y Class | $1,000 | $1,037.60 | $1.54 | 0.30% |
A Class | $1,000 | $1,034.60 | $4.60 | 0.90% |
C Class | $1,000 | $1,030.70 | $8.42 | 1.65% |
R Class | $1,000 | $1,033.30 | $5.88 | 1.15% |
R5 Class | $1,000 | $1,036.80 | $2.30 | 0.45% |
R6 Class | $1,000 | $1,037.60 | $1.54 | 0.30% |
Hypothetical | ||||
Investor Class | $1,000 | $1,021.87 | $3.30 | 0.65% |
I Class | $1,000 | $1,022.87 | $2.29 | 0.45% |
Y Class | $1,000 | $1,023.63 | $1.53 | 0.30% |
A Class | $1,000 | $1,020.61 | $4.57 | 0.90% |
C Class | $1,000 | $1,016.84 | $8.37 | 1.65% |
R Class | $1,000 | $1,019.36 | $5.84 | 1.15% |
R5 Class | $1,000 | $1,022.87 | $2.29 | 0.45% |
R6 Class | $1,000 | $1,023.63 | $1.53 | 0.30% |
(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 184, the number of days in the most recent fiscal half-year, divided by 366, to reflect the one-half year period. Annualized expense ratio reflects actual expenses, including any applicable fee waivers or expense reimbursements and excluding any acquired fund fees and expenses. |
5
Schedule of Investments |
JANUARY 31, 2020 (UNAUDITED)
Shares/ Principal Amount | Value | |||||
AFFILIATED FUNDS(1) — 50.3% | ||||||
Emerging Markets Debt Fund R6 Class | 831,388 | $ | 8,837,657 | |||
Equity Income Fund R6 Class | 452,052 | 4,068,466 | ||||
International Value Fund R6 Class | 579,567 | 4,346,750 | ||||
NT High Income Fund G Class | 1,461,062 | 14,157,687 | ||||
Utilities Fund Investor Class | 37 | 725 | ||||
TOTAL AFFILIATED FUNDS (Cost $30,813,560) | 31,411,285 | |||||
COMMON STOCKS — 21.2% | ||||||
Auto Components† | ||||||
Hyundai Mobis Co. Ltd. | 49 | 9,377 | ||||
Automobiles† | ||||||
Great Wall Motor Co. Ltd., H Shares | 19,000 | 12,585 | ||||
Banks — 1.4% | ||||||
Agricultural Bank of China Ltd., H Shares | 48,000 | 18,509 | ||||
AMMB Holdings Bhd | 24,900 | 22,437 | ||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand ADR | 4,808 | 34,446 | ||||
Bank Mandiri Persero Tbk PT | 40,400 | 22,116 | ||||
Bank Negara Indonesia Persero Tbk PT | 36,400 | 19,080 | ||||
Bank of China Ltd., H Shares | 93,000 | 35,958 | ||||
Bank of Communications Co. Ltd., H Shares | 66,000 | 42,069 | ||||
China CITIC Bank Corp. Ltd., H Shares | 26,000 | 13,536 | ||||
China Construction Bank Corp., H Shares | 151,000 | 114,546 | ||||
China Merchants Bank Co. Ltd., H Shares | 3,500 | 16,880 | ||||
CIMB Group Holdings Bhd | 17,200 | 20,611 | ||||
Commercial Bank PSQC (The) | 9,567 | 12,569 | ||||
Dubai Islamic Bank PJSC | 6,402 | 9,948 | ||||
E.Sun Financial Holding Co. Ltd. | 23,782 | 21,995 | ||||
Grupo Financiero Banorte SAB de CV | 8,700 | 53,617 | ||||
Hana Financial Group, Inc. | 1,658 | 45,630 | ||||
Hong Leong Bank Bhd | 3,200 | 12,483 | ||||
Industrial & Commercial Bank of China Ltd., H Shares | 115,000 | 76,528 | ||||
Itau Unibanco Holding SA ADR | 3,400 | 25,874 | ||||
Mega Financial Holding Co. Ltd. | 15,000 | 15,603 | ||||
Nedbank Group Ltd. | 1,859 | 24,267 | ||||
Postal Savings Bank of China Co. Ltd., H Shares | 43,000 | 26,684 | ||||
Qatar National Bank QPSC | 6,140 | 34,441 | ||||
RHB Bank Bhd | 20,000 | 27,800 | ||||
Shinhan Financial Group Co. Ltd. | 421 | 13,703 | ||||
SinoPac Financial Holdings Co. Ltd. | 50,000 | 21,210 | ||||
Standard Bank Group Ltd. | 4,538 | 47,270 | ||||
Taiwan Business Bank | 43,950 | 17,880 |
6
Shares/ Principal Amount | Value | |||||
Woori Financial Group, Inc. | 2,871 | $ | 24,194 | |||
871,884 | ||||||
Beverages — 0.1% | ||||||
Kweichow Moutai Co. Ltd., A Shares | 100 | 14,729 | ||||
Tsingtao Brewery Co. Ltd., H Shares | 4,000 | 22,209 | ||||
36,938 | ||||||
Chemicals† | ||||||
Jiangsu Yangnong Chemical Co. Ltd., A Shares | 1,700 | 15,081 | ||||
Orbia Advance Corp. SAB de CV | 5,200 | 12,287 | ||||
27,368 | ||||||
Construction and Engineering — 0.2% | ||||||
China National Chemical Engineering Co. Ltd., A Shares | 34,100 | 33,558 | ||||
Daelim Industrial Co. Ltd. | 374 | 25,148 | ||||
Samsung Engineering Co. Ltd.(2) | 2,551 | 36,431 | ||||
95,137 | ||||||
Construction Materials — 0.2% | ||||||
Anhui Conch Cement Co. Ltd., H Shares | 7,000 | 44,591 | ||||
Asia Cement Corp. | 27,000 | 40,153 | ||||
China National Building Material Co. Ltd., H Shares | 24,000 | 22,871 | ||||
China Resources Cement Holdings Ltd. | 28,000 | 31,365 | ||||
138,980 | ||||||
Diversified Financial Services† | ||||||
FirstRand Ltd. | 3,132 | 12,002 | ||||
Yuanta Financial Holding Co. Ltd. | 26,000 | 16,847 | ||||
28,849 | ||||||
Diversified Telecommunication Services — 0.1% | ||||||
China Unicom Hong Kong Ltd. | 40,000 | 33,349 | ||||
Electric Utilities — 1.0% | ||||||
Centrais Eletricas Brasileiras SA | 1,100 | 10,064 | ||||
Edison International | 1,703 | 130,365 | ||||
Enel Americas SA ADR | 1,400 | 13,720 | ||||
Eversource Energy | 1,669 | 154,282 | ||||
Pinnacle West Capital Corp. | 1,586 | 154,936 | ||||
Xcel Energy, Inc. | 2,267 | 156,854 | ||||
620,221 | ||||||
Electronic Equipment, Instruments and Components — 0.2% | ||||||
Hon Hai Precision Industry Co. Ltd. | 23,400 | 63,550 | ||||
Yageo Corp. | 1,000 | 12,418 | ||||
Zhen Ding Technology Holding Ltd. | 8,000 | 31,100 | ||||
107,068 | ||||||
Equity Real Estate Investment Trusts (REITs) — 6.3% | ||||||
Brixmor Property Group, Inc. | 7,157 | 142,854 | ||||
Community Healthcare Trust, Inc. | 4,264 | 201,133 | ||||
Essential Properties Realty Trust, Inc. | 15,561 | 429,639 | ||||
Fortress REIT Ltd., A Shares | 24,252 | 29,815 | ||||
Gaming and Leisure Properties, Inc. | 8,868 | 419,057 | ||||
Granite Real Estate Investment Trust | 6,821 | 368,573 |
7
Shares/ Principal Amount | Value | |||||
Healthpeak Properties, Inc. | 5,785 | $ | 208,202 | |||
Northview Apartment Real Estate Investment Trust | 11,729 | 272,176 | ||||
Omega Healthcare Investors, Inc. | 4,638 | 194,564 | ||||
Ryman Hospitality Properties, Inc. | 2,028 | 172,441 | ||||
Spirit Realty Capital, Inc. | 7,719 | 407,409 | ||||
STAG Industrial, Inc. | 10,871 | 350,481 | ||||
VEREIT, Inc. | 19,903 | 194,253 | ||||
VICI Properties, Inc. | 14,973 | 401,277 | ||||
Welltower, Inc. | 2,001 | 169,905 | ||||
3,961,779 | ||||||
Food Products — 0.1% | ||||||
Indofood Sukses Makmur Tbk PT | 22,200 | 12,604 | ||||
JBS SA | 4,600 | 29,613 | ||||
Standard Foods Corp. | 14,000 | 31,879 | ||||
Want Want China Holdings Ltd. | 19,000 | 15,623 | ||||
89,719 | ||||||
Gas Utilities — 0.5% | ||||||
Atmos Energy Corp. | 831 | 97,252 | ||||
Kunlun Energy Co. Ltd. | 48,000 | 37,159 | ||||
ONE Gas, Inc. | 873 | 82,499 | ||||
Spire, Inc. | 1,092 | 92,077 | ||||
308,987 | ||||||
Hotels, Restaurants and Leisure† | ||||||
Yum China Holdings, Inc. | 530 | 22,827 | ||||
Household Durables† | ||||||
Gree Electric Appliances, Inc. of Zhuhai, A Shares | 1,100 | 9,493 | ||||
Household Products† | ||||||
Kimberly-Clark de Mexico SAB de CV, A Shares(2) | 14,400 | 29,790 | ||||
Independent Power and Renewable Electricity Producers — 0.1% | ||||||
Aboitiz Power Corp. | 38,000 | 24,279 | ||||
Colbun SA | 213,293 | 31,049 | ||||
55,328 | ||||||
Insurance — 0.4% | ||||||
China Pacific Insurance Group Co. Ltd., H Shares | 12,000 | 39,926 | ||||
Momentum Metropolitan Holdings | 24,905 | 33,198 | ||||
Ping An Insurance Group Co. of China Ltd., H Shares | 11,500 | 130,101 | ||||
Powszechny Zaklad Ubezpieczen SA | 4,286 | 44,414 | ||||
247,639 | ||||||
Interactive Media and Services — 0.1% | ||||||
Baidu, Inc. ADR(2) | 140 | 17,298 | ||||
Tencent Holdings Ltd. | 300 | 14,245 | ||||
31,543 | ||||||
Internet and Direct Marketing Retail — 0.1% | ||||||
Alibaba Group Holding Ltd. ADR(2) | 150 | 30,988 | ||||
IT Services — 0.1% | ||||||
Infosys Ltd. ADR | 5,300 | 58,088 |
8
Shares/ Principal Amount | Value | |||||
Machinery — 0.2% | ||||||
Sany Heavy Industry Co. Ltd., A Shares | 8,700 | $ | 18,668 | |||
Sinotruk Hong Kong Ltd. | 11,000 | 18,796 | ||||
Weichai Power Co. Ltd., H Shares | 22,000 | 38,491 | ||||
Zhengzhou Yutong Bus Co. Ltd., A Shares | 6,000 | 13,225 | ||||
Zoomlion Heavy Industry Science and Technology Co. Ltd., Class H | 18,000 | 13,234 | ||||
102,414 | ||||||
Marine — 0.1% | ||||||
MISC Bhd | 17,400 | 32,359 | ||||
Media† | ||||||
Cheil Worldwide, Inc. | 700 | 12,398 | ||||
Metals and Mining — 0.3% | ||||||
Cia Siderurgica Nacional SA ADR | 7,500 | 22,425 | ||||
Grupo Mexico SAB de CV, Series B | 9,800 | 26,052 | ||||
Impala Platinum Holdings Ltd.(2) | 1,673 | 15,825 | ||||
Korea Zinc Co. Ltd. | 74 | 23,448 | ||||
Kumba Iron Ore Ltd. | 1,128 | 26,287 | ||||
POSCO | 99 | 17,918 | ||||
Vale SA ADR | 2,300 | 26,979 | ||||
158,934 | ||||||
Mortgage Real Estate Investment Trusts (REITs) — 2.5% | ||||||
Blackstone Mortgage Trust, Inc., Class A | 7,235 | 276,377 | ||||
PennyMac Mortgage Investment Trust | 20,320 | 472,440 | ||||
Starwood Property Trust, Inc. | 17,998 | 461,829 | ||||
TPG RE Finance Trust, Inc. | 16,507 | 337,898 | ||||
1,548,544 | ||||||
Multi-Utilities — 0.7% | ||||||
Ameren Corp. | 1,817 | 149,085 | ||||
NorthWestern Corp. | 1,680 | 129,309 | ||||
WEC Energy Group, Inc. | 1,385 | 138,348 | ||||
416,742 | ||||||
Oil, Gas and Consumable Fuels — 4.7% | ||||||
Adaro Energy Tbk PT | 161,300 | 14,303 | ||||
China Shenhua Energy Co. Ltd., H Shares | 15,000 | 26,360 | ||||
CNOOC Ltd. | 50,000 | 75,744 | ||||
Energy Transfer LP | 26,597 | 334,856 | ||||
Enterprise Products Partners LP | 22,999 | 592,684 | ||||
EQM Midstream Partners LP | 7,401 | 171,333 | ||||
Gazprom PJSC ADR | 12,117 | 84,899 | ||||
Grupa Lotos SA | 1,183 | 23,469 | ||||
GS Holdings Corp. | 759 | 29,027 | ||||
LUKOIL PJSC ADR | 55 | 5,593 | ||||
MPLX LP | 11,151 | 268,182 | ||||
Noble Midstream Partners LP | 8,857 | 198,397 | ||||
Petroleo Brasileiro SA ADR Preference Shares | 5,290 | 70,093 | ||||
Phillips 66 Partners LP | 5,105 | 298,285 | ||||
Plains All American Pipeline LP | 20,524 | 341,725 |
9
Shares/ Principal Amount | Value | |||||
Reliance Industries Ltd. GDR | 2,509 | $ | 98,168 | |||
Shell Midstream Partners LP | 14,830 | 291,409 | ||||
Yanzhou Coal Mining Co. Ltd., H Shares | 20,000 | 14,744 | ||||
2,939,271 | ||||||
Paper and Forest Products — 0.1% | ||||||
Lee & Man Paper Manufacturing Ltd. | 27,000 | 18,646 | ||||
Nine Dragons Paper Holdings Ltd. | 32,000 | 30,180 | ||||
48,826 | ||||||
Personal Products — 0.1% | ||||||
LG Household & Health Care Ltd. Preference Shares | 51 | 32,404 | ||||
Pharmaceuticals† | ||||||
Dr Reddy's Laboratories Ltd. ADR | 500 | 21,840 | ||||
Real Estate Management and Development — 0.9% | ||||||
Agile Group Holdings Ltd. | 8,000 | 10,552 | ||||
BR Malls Participacoes SA | 10,400 | 44,853 | ||||
China Vanke Co. Ltd., H Shares | 4,800 | 16,871 | ||||
CIFI Holdings Group Co. Ltd. | 18,000 | 12,346 | ||||
Corp. Inmobiliaria Vesta SAB de CV | 224,699 | 410,262 | ||||
Country Garden Holdings Co. Ltd. | 20,000 | 25,328 | ||||
Longfor Group Holdings Ltd. | 3,500 | 14,749 | ||||
Shui On Land Ltd. | 65,500 | 13,080 | ||||
Sunac China Holdings Ltd. | 3,000 | 14,463 | ||||
562,504 | ||||||
Semiconductors and Semiconductor Equipment — 0.1% | ||||||
MediaTek, Inc. | 2,000 | 25,439 | ||||
Powertech Technology, Inc. | 8,000 | 28,249 | ||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 600 | 32,364 | ||||
86,052 | ||||||
Specialty Retail — 0.1% | ||||||
Petrobras Distribuidora SA | 4,900 | 32,998 | ||||
Technology Hardware, Storage and Peripherals — 0.4% | ||||||
Lenovo Group Ltd. | 16,000 | 10,429 | ||||
Lite-On Technology Corp. | 15,000 | 23,197 | ||||
Samsung Electronics Co. Ltd. | 3,482 | 162,955 | ||||
Samsung Electronics Co. Ltd. Preference Shares | 913 | 36,015 | ||||
Wistron Corp. | 29,000 | 25,898 | ||||
258,494 | ||||||
Textiles, Apparel and Luxury Goods† | ||||||
Fila Holdings Corp. | 252 | 9,311 | ||||
Trading Companies and Distributors† | ||||||
Posco International Corp. | 2,133 | 29,961 | ||||
Transportation Infrastructure† | ||||||
Westports Holdings Bhd | 31,200 | 29,845 | ||||
Water Utilities† | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR | 1,700 | 24,072 | ||||
Wireless Telecommunication Services — 0.1% | ||||||
China Mobile Ltd. | 6,000 | 49,123 |
10
Shares/ Principal Amount | Value | |||||
Globe Telecom, Inc. | 900 | $ | 33,366 | |||
82,489 | ||||||
TOTAL COMMON STOCKS (Cost $12,117,824) | 13,257,395 | |||||
PREFERRED STOCKS — 10.6% | ||||||
Banks — 5.7% | ||||||
Bank of America Corp., 5.20% | 33,000 | 34,377 | ||||
Bank of America Corp., 5.875% | 108,000 | 120,913 | ||||
Bank of America Corp., 6.50% | 418,000 | 472,631 | ||||
Citigroup, Inc., 5.00% | 15,000 | 15,721 | ||||
Citigroup, Inc., 5.95% | 49,000 | 52,332 | ||||
JPMorgan Chase & Co., 4.60% | 80,000 | 81,772 | ||||
JPMorgan Chase & Co., 5.00% | 176,000 | 184,218 | ||||
JPMorgan Chase & Co., 6.10% | 186,000 | 205,364 | ||||
PNC Capital Trust C, 2.48% | 679,000 | 644,921 | ||||
Truist Financial Corp., 5.125% | 741,000 | 780,506 | ||||
U.S. Bancorp, 5.30% | 162,000 | 177,525 | ||||
U.S. Bancorp, 6.50% | 14,718 | 405,039 | ||||
Wells Fargo & Co., 5.66% | 369,000 | 371,786 | ||||
3,547,105 | ||||||
Capital Markets — 1.6% | ||||||
Bank of New York Mellon Corp. (The), 4.95% | 302,000 | 305,268 | ||||
Charles Schwab Corp. (The), 5.00% | 675,000 | 710,987 | ||||
1,016,255 | ||||||
Diversified Financial Services — 0.1% | ||||||
Voya Financial, Inc., 6.125% | 60,000 | 65,067 | ||||
Electric Utilities — 1.4% | ||||||
Duke Energy Corp., 4.875% | 461,000 | 489,630 | ||||
NextEra Energy Capital Holdings, Inc., 5.25% | 4,064 | 107,249 | ||||
SCE Trust II, 5.10% | 11,362 | 284,050 | ||||
880,929 | ||||||
Equity Real Estate Investment Trusts (REITs) — 0.8% | ||||||
Public Storage, 5.40% | 11,121 | 289,257 | ||||
Public Storage, 5.60% | 7,069 | 198,074 | ||||
SITE Centers Corp., 6.25% | 500 | 12,975 | ||||
500,306 | ||||||
Insurance — 0.1% | ||||||
Progressive Corp. (The), 5.375% | 59,000 | 62,126 | ||||
Mortgage Real Estate Investment Trusts (REITs) — 0.4% | ||||||
Chimera Investment Corp., 8.00% | 9,877 | 268,556 | ||||
Multi-Utilities — 0.4% | ||||||
Dominion Energy, Inc., 4.65% | 215,000 | 223,184 | ||||
Oil, Gas and Consumable Fuels — 0.1% | ||||||
Plains All American Pipeline LP, 6.125% | 68,000 | 63,107 | ||||
TOTAL PREFERRED STOCKS (Cost $6,265,490) | 6,626,635 |
11
Shares/ Principal Amount | Value | |||||
CONVERTIBLE PREFERRED STOCKS — 3.2% | ||||||
Banks — 0.6% | ||||||
Bank of America Corp., 7.25% | 95 | $ | 149,407 | |||
Wells Fargo & Co., 7.50% | 152 | 234,925 | ||||
384,332 | ||||||
Chemicals — 0.1% | ||||||
International Flavors & Fragrances, Inc., 6.00%, 9/15/21 | 1,053 | 51,292 | ||||
Electric Utilities — 0.3% | ||||||
NextEra Energy, Inc., 4.87%, 9/1/22 | 3,847 | 210,161 | ||||
Equity Real Estate Investment Trusts (REITs) — 1.2% | ||||||
Crown Castle International Corp., 6.875%, 8/1/20 | 201 | 267,499 | ||||
QTS Realty Trust, Inc., 6.50% | 3,504 | 470,342 | ||||
737,841 | ||||||
Health Care Equipment and Supplies — 0.6% | ||||||
Becton Dickinson & Co., 6.125%, 5/1/20 | 4,148 | 271,901 | ||||
Danaher Corp., 4.75%, 4/15/22 | 87 | 106,239 | ||||
378,140 | ||||||
Machinery — 0.4% | ||||||
Stanley Black & Decker, Inc., 5.375%, 5/15/20 | 2,238 | 233,983 | ||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $1,726,411) | 1,995,749 | |||||
CORPORATE BONDS — 2.1% | ||||||
Automobiles — 0.1% | ||||||
Ford Motor Co., 4.35%, 12/8/26 | $ | 45,000 | 46,887 | |||
Banks — 0.3% | ||||||
Bank of America Corp., MTN, 4.00%, 1/22/25 | 60,000 | 64,962 | ||||
JPMorgan Chase & Co., 3.875%, 9/10/24 | 60,000 | 64,879 | ||||
Wells Fargo & Co., MTN, 4.65%, 11/4/44 | 50,000 | 60,589 | ||||
190,430 | ||||||
Biotechnology — 0.1% | ||||||
Amgen, Inc., 4.66%, 6/15/51 | 40,000 | 48,570 | ||||
Capital Markets — 0.1% | ||||||
Goldman Sachs Group, Inc. (The), 3.625%, 2/20/24 | 60,000 | 63,822 | ||||
Consumer Finance — 0.1% | ||||||
Capital One Financial Corp., 3.80%, 1/31/28 | 40,000 | 43,618 | ||||
Containers and Packaging† | ||||||
Berry Global, Inc., 5.125%, 7/15/23 | 20,000 | 20,400 | ||||
Diversified Telecommunication Services — 0.1% | ||||||
AT&T, Inc., 3.80%, 2/15/27 | 50,000 | 54,585 | ||||
Electronic Equipment, Instruments and Components† | ||||||
Vishay Intertechnology, Inc., 2.25%, 6/15/25 | 19,000 | 18,916 | ||||
Equity Real Estate Investment Trusts (REITs)† | ||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 4.50%, 9/1/26 | 25,000 | 26,067 | ||||
Health Care Providers and Services — 0.2% | ||||||
Cigna Corp., 4.50%, 2/25/26(3) | 50,000 | 55,894 | ||||
DaVita, Inc., 5.125%, 7/15/24 | 35,000 | 35,861 |
12
Shares/ Principal Amount | Value | |||||
HCA, Inc., 5.00%, 3/15/24 | $ | 20,000 | $ | 22,166 | ||
113,921 | ||||||
Hotels, Restaurants and Leisure — 0.1% | ||||||
International Game Technology plc, 6.25%, 2/15/22(3) | 35,000 | 36,725 | ||||
Household Durables — 0.1% | ||||||
Lennar Corp., 4.75%, 5/30/25 | 35,000 | 38,291 | ||||
Insurance† | ||||||
Prudential Financial, Inc., 3.94%, 12/7/49 | 14,000 | 15,745 | ||||
Media — 0.1% | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 4.91%, 7/23/25 | 30,000 | 33,595 | ||||
Comcast Corp., 4.75%, 3/1/44 | 25,000 | 31,845 | ||||
CSC Holdings LLC, 6.75%, 11/15/21 | 5,000 | 5,392 | ||||
70,832 | ||||||
Mortgage Real Estate Investment Trusts (REITs)† | ||||||
Starwood Property Trust, Inc., 5.00%, 12/15/21 | 20,000 | 20,545 | ||||
Multi-Utilities — 0.1% | ||||||
Dominion Energy, Inc., 4.90%, 8/1/41 | 25,000 | 30,855 | ||||
Sempra Energy, 3.25%, 6/15/27 | 50,000 | 52,978 | ||||
83,833 | ||||||
Oil, Gas and Consumable Fuels — 0.3% | ||||||
Continental Resources, Inc., 4.375%, 1/15/28 | 50,000 | 52,821 | ||||
Energy Transfer Operating LP, 4.25%, 3/15/23 | 60,000 | 63,183 | ||||
Kinder Morgan Energy Partners LP, 6.50%, 9/1/39 | 35,000 | 45,233 | ||||
MPLX LP, 4.875%, 12/1/24 | 47,000 | 51,779 | ||||
213,016 | ||||||
Pharmaceuticals — 0.1% | ||||||
Allergan Funding SCS, 4.55%, 3/15/35 | 40,000 | 46,085 | ||||
Specialty Retail — 0.1% | ||||||
Home Depot, Inc. (The), 5.95%, 4/1/41 | 20,000 | 29,112 | ||||
Technology Hardware, Storage and Peripherals — 0.1% | ||||||
Dell International LLC / EMC Corp., 5.875%, 6/15/21(3) | 13,000 | 13,140 | ||||
Dell International LLC / EMC Corp., 6.02%, 6/15/26(3) | 40,000 | 46,756 | ||||
59,896 | ||||||
Trading Companies and Distributors — 0.1% | ||||||
International Lease Finance Corp., 5.875%, 8/15/22 | 50,000 | 54,806 | ||||
Wireless Telecommunication Services† | ||||||
Sprint Communications, Inc., 6.00%, 11/15/22 | 20,000 | 20,686 | ||||
TOTAL CORPORATE BONDS (Cost $1,225,830) | 1,316,788 | |||||
EXCHANGE-TRADED FUNDS — 1.5% | ||||||
Alerian MLP ETF | 56,889 | 456,250 | ||||
iShares China Large-Cap ETF | 880 | 34,971 | ||||
iShares MSCI China A ETF | 700 | 19,110 | ||||
iShares MSCI Emerging Markets ETF | 1,600 | 67,376 | ||||
iShares MSCI India ETF | 6,090 | 210,044 |
13
Shares/ Principal Amount | Value | |||||
iShares MSCI Russia ETF | 1,550 | $ | 64,433 | |||
iShares MSCI Thailand ETF | 750 | 59,183 | ||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $963,510) | 911,367 | |||||
CONVERTIBLE BONDS — 0.9% | ||||||
Air Freight and Logistics† | ||||||
Air Transport Services Group, Inc., 1.125%, 10/15/24 | $ | 19,000 | 18,129 | |||
Airlines — 0.2% | ||||||
UBS AG, (convertible into Southwest Airlines Co.), 4.25%, 2/6/20(3)(4) | 1,748 | 92,924 | ||||
Diversified Financial Services† | ||||||
Goldman Sachs International, (convertible into Berkshire Hathaway, Inc., Class B), 1.30%, 2/11/20(3)(4) | 40 | 8,396 | ||||
Insurance — 0.2% | ||||||
AXA SA, 7.25%, 5/15/21(3) | 109,000 | 122,352 | ||||
Semiconductors and Semiconductor Equipment — 0.5% | ||||||
Microchip Technology, Inc., 1.625%, 2/15/27 | 179,000 | 241,230 | ||||
Teradyne, Inc., 1.25%, 12/15/23 | 32,000 | 68,279 | ||||
309,509 | ||||||
Software† | ||||||
Palo Alto Networks, Inc., 0.75%, 7/1/23 | 19,000 | 21,157 | ||||
Technology Hardware, Storage and Peripherals† | ||||||
Western Digital Corp., 1.50%, 2/1/24 | 9,000 | 9,062 | ||||
TOTAL CONVERTIBLE BONDS (Cost $485,045) | 581,529 | |||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.6% | ||||||
Private Sponsor Collateralized Mortgage Obligations — 0.4% | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-12, Class 2A1, VRN, 3.78%, 2/25/35 | 10,723 | 10,957 | ||||
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-8, Class 2A1, VRN, 3.98%, 11/25/34 | 2,926 | 2,937 | ||||
Chase Mortgage Finance Trust, Series 2007-A2, Class 6A2 SEQ, VRN, 4.31%, 7/25/37 | 1,096 | 1,077 | ||||
Citicorp Mortgage Securities Trust, Series 2007-8, Class 1A3, 6.00%, 9/25/37 | 3,536 | 3,662 | ||||
Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A5, VRN, 3.86%, 8/25/34 | 11,443 | 11,664 | ||||
Citigroup Mortgage Loan Trust, Inc., Series 2005-4, Class A, VRN, 4.60%, 8/25/35 | 3,971 | 4,110 | ||||
Citigroup Mortgage Loan Trust, Inc., Series 2005-6, Class A2, VRN, 4.55%, (1-year H15T1Y plus 2.15%), 9/25/35 | 14,509 | 14,660 | ||||
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates, Series 2005-3, Class 1A1, VRN, 5.50%, 7/25/35 | 6,390 | 6,908 | ||||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1, VRN, 4.10%, 9/25/35 | 13,255 | 13,713 | ||||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, VRN, 4.51%, 9/25/35 | 8,237 | 8,487 | ||||
JPMorgan Mortgage Trust, Series 2005-A4, Class 1A1, VRN, 4.09%, 7/25/35 | 4,064 | 4,131 | ||||
JPMorgan Mortgage Trust, Series 2005-A4, Class 2A1, VRN, 4.29%, 7/25/35 | 3,985 | 4,027 | ||||
JPMorgan Mortgage Trust, Series 2005-A6, Class 7A1, VRN, 4.21%, 8/25/35 | 2,894 | 2,877 |
14
Shares/ Principal Amount | Value | |||||
JPMorgan Mortgage Trust, Series 2005-S2, Class 3A1, VRN, 7.16%, 2/25/32 | $ | 223 | $ | 229 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7, VRN, 4.69%, 11/21/34 | 13,186 | 13,625 | ||||
Sequoia Mortgage Trust, Series 2017-CH2, Class A10 SEQ, VRN, 4.00%, 12/25/47(3) | 29,113 | 29,445 | ||||
Thornburg Mortgage Securities Trust, Series 2006-4, Class A2B, VRN, 4.05%, 7/25/36 | 18,335 | 17,850 | ||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR3, Class A1, VRN, 4.39%, 3/25/35 | 6,423 | 6,416 | ||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR7, Class A3, VRN, 4.29%, 8/25/35 | 2,782 | 2,816 | ||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR7, Class 1A1, VRN, 5.08%, 5/25/35 | 2,600 | 2,601 | ||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR1, Class 2A5 SEQ, VRN, 4.85%, 3/25/36 | 3,866 | 3,701 | ||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR12, Class 1A1, VRN, 4.72%, 9/25/36 | 14,046 | 13,788 | ||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR14, Class 2A1, VRN, 4.55%, 10/25/36 | 7,377 | 7,116 | ||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR16, Class A1, VRN, 4.50%, 10/25/36 | 15,808 | 15,235 | ||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-15, Class A1, 6.00%, 11/25/37 | 6,404 | 6,330 | ||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-7, Class A1, 6.00%, 6/25/37 | 10,730 | 10,735 | ||||
219,097 | ||||||
U.S. Government Agency Collateralized Mortgage Obligations — 0.2% | ||||||
FHLMC, Series 2015-HQ2, Class M3, VRN, 4.91%, (1-month LIBOR plus 3.25%), 5/25/25 | 50,000 | 53,677 | ||||
FHLMC, Series 2017-DNA2, Class M1, VRN, 2.86%, (1-month LIBOR plus 1.20%), 10/25/29 | 24,525 | 24,616 | ||||
FHLMC, Series 2019-DNA1, Class M1, VRN, 2.69%, (1-month LIBOR plus 0.90%), 1/25/49(3) | 17,741 | 17,753 | ||||
FNMA, Series 2014-C02, Class 1M2, VRN, 4.26%, (1-month LIBOR plus 2.60%), 5/25/24 | 18,157 | 18,907 | ||||
FNMA, Series 2016-C03, Class 2M2, VRN, 7.56%, (1-month LIBOR plus 5.90%), 10/25/28 | 3,684 | 3,998 | ||||
118,951 | ||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $331,341) | 338,048 | |||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 0.6% | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-LC17, Class B, VRN, 4.49%, 10/10/47 | 10,000 | 10,773 | ||||
Commercial Mortgage Pass-Through Certificates, Series 2016-CR28, Class B, VRN, 4.80%, 2/10/49 | 35,000 | 39,193 | ||||
Commercial Mortgage Trust, Series 2015-CR22, Class B, VRN, 3.93%, 3/10/48 | 25,000 | 26,641 | ||||
Commercial Mortgage Trust, Series 2017-PANW, Class A SEQ, 3.24%, 10/10/29(3) | 25,000 | 26,216 | ||||
CSAIL Commercial Mortgage Trust, Series 2017-CX10, Class AS, VRN, 3.67%, 11/15/50 | 25,000 | 27,069 | ||||
GS Mortgage Securities Trust, Series 2015-GC28, Class AS, 3.76%, 2/10/48 | 15,000 | 16,068 | ||||
GS Mortgage Securities Trust, Series 2016-GS2, Class B, VRN, 3.76%, 5/10/49 | 25,000 | 26,693 |
15
Shares/ Principal Amount | Value | |||||
Hudson Yards Mortgage Trust, Series 2016-10HY, Class A SEQ, 2.84%, 8/10/38(3) | $ | 25,000 | $ | 26,127 | ||
Hudson Yards Mortgage Trust, Series 2016-10HY, Class B, VRN, 3.08%, 8/10/38(3) | 10,000 | 10,409 | ||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class B, VRN, 4.34%, 8/15/47 | 25,000 | 26,612 | ||||
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A4 SEQ, 3.41%, 3/15/50 | 20,000 | 21,629 | ||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class B, 3.46%, 8/15/49 | 25,000 | 26,306 | ||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class AS, 3.14%, 8/15/49 | 25,000 | 26,237 | ||||
Wells Fargo Commercial Mortgage Trust, Series 2017-C38, Class A4 SEQ, 3.19%, 7/15/50 | 25,000 | 26,881 | ||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $322,320) | 336,854 | |||||
ASSET-BACKED SECURITIES — 0.5% | ||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class B, 3.42%, 12/20/21(3) | 25,000 | 25,177 | ||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class B, 3.24%, 5/25/29(3) | 10,980 | 11,023 | ||||
Hilton Grand Vacations Trust, Series 2014-AA, Class A SEQ, 1.77%, 11/25/26(3) | 14,984 | 14,966 | ||||
Hilton Grand Vacations Trust, Series 2017-AA, Class A SEQ, 2.66%, 12/26/28(3) | 4,125 | 4,167 | ||||
Hilton Grand Vacations Trust, Series 2017-AA, Class B, 2.96%, 12/26/28(3) | 41,251 | 41,660 | ||||
Invitation Homes Trust, Series 2017-SFR2, Class A, VRN, 2.52%, (1-month LIBOR plus 0.85%), 12/17/36(3) | 23,207 | 23,239 | ||||
Invitation Homes Trust, Series 2017-SFR2, Class B, VRN, 2.82%, (1-month LIBOR plus 1.15%), 12/17/36(3) | 25,000 | 25,015 | ||||
Invitation Homes Trust, Series 2018-SFR1, Class C, VRN, 2.92%, (1-month LIBOR plus 1.25%), 3/17/37(3) | 25,000 | 25,071 | ||||
MVW LLC, Series 2019-2A, Class B, 2.44%, 10/20/38(3) | 46,791 | 47,106 | ||||
MVW Owner Trust, Series 2013-1A, Class A SEQ, 2.15%, 4/22/30(3) | 14,498 | 14,496 | ||||
MVW Owner Trust, Series 2017-1A, Class B, 2.75%, 12/20/34(3) | 21,499 | 21,798 | ||||
Progress Residential Trust, Series 2017-SFR1, Class A SEQ, 2.77%, 8/17/34(3) | 24,909 | 25,184 | ||||
Progress Residential Trust, Series 2017-SFR2, Class A SEQ, 2.90%, 12/17/34(3) | 24,954 | 25,128 | ||||
Sierra Timeshare Conduit Receivables Funding LLC, Series 2017-1A, Class A SEQ, 2.91%, 3/20/34(3) | 2,201 | 2,231 | ||||
Sierra Timeshare Receivables Funding LLC, Series 2015-2A, Class A SEQ, 2.43%, 6/20/32(3) | 5,309 | 5,312 | ||||
Sierra Timeshare Receivables Funding LLC, Series 2015-3A, Class A SEQ, 2.58%, 9/20/32(3) | 6,412 | 6,431 | ||||
Sierra Timeshare Receivables Funding LLC, Series 2016-2A, Class A SEQ, 2.33%, 7/20/33(3) | 1,576 | 1,580 | ||||
VSE VOI Mortgage LLC, Series 2016-A, Class A SEQ, 2.54%, 7/20/33(3) | 14,734 | 14,758 | ||||
TOTAL ASSET-BACKED SECURITIES (Cost $332,086) | 334,342 | |||||
U.S. TREASURY SECURITIES — 0.3% | ||||||
U.S. Treasury Notes, 2.375%, 2/29/24(5) (Cost $199,108) | 200,000 | 208,399 |
16
Shares/ Principal Amount | Value | |||||
COLLATERALIZED LOAN OBLIGATIONS — 0.1% | ||||||
CBAM Ltd., Series 2018-5A, Class B1, VRN, 3.24%, (3-month LIBOR plus 1.40%), 4/17/31(3) | $ | 25,000 | $ | 24,431 | ||
Dryden 64 CLO Ltd., Series 2018-64A, Class A, VRN, 2.79%, (3-month LIBOR plus 0.97%), 4/18/31(3) | 25,000 | 24,781 | ||||
Sounds Point CLO IV-R Ltd., Series 2013-3RA, Class B, VRN, 3.57%, (3-month LIBOR plus 1.75%), 4/18/31(3) | 35,000 | 35,028 | ||||
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $84,664) | 84,240 | |||||
TEMPORARY CASH INVESTMENTS — 7.8% | ||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class (Cost $4,880,981) | 4,880,981 | 4,880,981 | ||||
TOTAL INVESTMENT SECURITIES — 99.7% (Cost $59,748,170) | 62,283,612 | |||||
OTHER ASSETS AND LIABILITIES — 0.3% | 185,772 | |||||
TOTAL NET ASSETS — 100.0% | $ | 62,469,384 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
AUD | 222,292 | USD | 153,666 | UBS AG | 3/18/20 | $ | (4,747 | ) | ||
AUD | 447,739 | USD | 309,522 | UBS AG | 3/18/20 | (9,571 | ) | |||
AUD | 90,408 | USD | 63,253 | UBS AG | 3/18/20 | (2,686 | ) | |||
USD | 184,749 | AUD | 267,056 | UBS AG | 3/18/20 | 5,842 | ||||
USD | 47,327 | AUD | 68,574 | UBS AG | 3/18/20 | 1,388 | ||||
USD | 138,492 | AUD | 200,641 | UBS AG | 3/18/20 | 4,078 | ||||
USD | 156,940 | AUD | 224,168 | UBS AG | 3/18/20 | 6,764 | ||||
BRL | 1,017,238 | USD | 247,190 | Goldman Sachs & Co. | 3/18/20 | (10,202 | ) | |||
USD | 100,071 | BRL | 410,823 | Goldman Sachs & Co. | 3/18/20 | 4,361 | ||||
USD | 147,798 | BRL | 606,415 | Goldman Sachs & Co. | 3/18/20 | 6,520 | ||||
CAD | 205,216 | USD | 155,699 | UBS AG | 3/18/20 | (638 | ) | |||
CAD | 82,429 | USD | 63,035 | UBS AG | 3/18/20 | (751 | ) | |||
USD | 63,420 | CAD | 83,563 | Morgan Stanley | 3/18/20 | 280 | ||||
USD | 156,051 | CAD | 204,082 | Morgan Stanley | 3/18/20 | 1,847 | ||||
USD | 95,125 | CHF | 91,334 | UBS AG | 3/18/20 | 17 | ||||
USD | 94,694 | CHF | 91,219 | UBS AG | 3/18/20 | (294 | ) | |||
CLP | 145,380,482 | USD | 189,359 | Goldman Sachs & Co. | 3/18/20 | (7,806 | ) | |||
CLP | 241,761,452 | USD | 312,515 | Goldman Sachs & Co. | 3/18/20 | (10,600 | ) | |||
CLP | 61,994,950 | USD | 80,644 | Goldman Sachs & Co. | 3/18/20 | (3,224 | ) | |||
USD | 78,409 | CLP | 60,178,981 | Goldman Sachs & Co. | 3/18/20 | 3,257 | ||||
USD | 112,589 | CLP | 85,201,501 | Goldman Sachs & Co. | 3/18/20 | 6,188 | ||||
USD | 156,197 | CLP | 120,880,726 | Goldman Sachs & Co. | 3/18/20 | 5,239 | ||||
COP | 508,759,870 | USD | 155,323 | Goldman Sachs & Co. | 3/18/20 | (6,946 | ) | |||
USD | 310,551 | COP | 1,017,519,740 | Goldman Sachs & Co. | 3/18/20 | 13,796 | ||||
USD | 81,186 | COP | 266,532,249 | Goldman Sachs & Co. | 3/18/20 | 3,453 | ||||
EUR | 86,257 | USD | 95,418 | JPMorgan Chase Bank N.A. | 3/18/20 | 498 | ||||
IDR | 1,247,019,400 | USD | 88,535 | Goldman Sachs & Co. | 3/18/20 | 1,373 |
17
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
IDR | 971,273,657 | USD | 68,958 | Goldman Sachs & Co. | 3/18/20 | $ | 1,070 | |||
USD | 225,474 | IDR | 3,184,823,075 | Goldman Sachs & Co. | 3/18/20 | (4,147 | ) | |||
USD | 47,028 | IDR | 661,497,355 | Goldman Sachs & Co. | 3/18/20 | (665 | ) | |||
USD | 116,923 | IDR | 1,641,592,779 | Goldman Sachs & Co. | 3/18/20 | (1,434 | ) | |||
ILS | 212,861 | USD | 61,566 | UBS AG | 3/18/20 | 233 | ||||
USD | 153,819 | ILS | 532,768 | UBS AG | 3/18/20 | (858 | ) | |||
USD | 63,857 | ILS | 219,930 | UBS AG | 3/18/20 | 5 | ||||
INR | 16,196,258 | USD | 227,316 | Goldman Sachs & Co. | 3/18/20 | (2,258 | ) | |||
INR | 3,419,502 | USD | 47,434 | Goldman Sachs & Co. | 3/18/20 | 82 | ||||
INR | 8,537,097 | USD | 117,948 | Goldman Sachs & Co. | 3/18/20 | 680 | ||||
USD | 90,092 | INR | 6,415,252 | Goldman Sachs & Co. | 3/18/20 | 948 | ||||
USD | 68,072 | INR | 4,880,419 | Goldman Sachs & Co. | 3/18/20 | 255 | ||||
USD | 92,758 | INR | 6,663,739 | Goldman Sachs & Co. | 3/18/20 | 161 | ||||
JPY | 10,379,972 | USD | 94,761 | Bank of America N.A. | 3/18/20 | 1,257 | ||||
JPY | 10,472,111 | USD | 95,359 | Bank of America N.A. | 3/18/20 | 1,511 | ||||
KZT | 70,527,190 | USD | 178,776 | Goldman Sachs & Co. | 3/18/20 | 5,393 | ||||
KZT | 49,287,290 | USD | 125,685 | Goldman Sachs & Co. | 3/18/20 | 3,020 | ||||
KZT | 61,665,253 | USD | 159,651 | Goldman Sachs & Co. | 3/18/20 | 1,377 | ||||
USD | 70,859 | KZT | 27,883,086 | Goldman Sachs & Co. | 3/18/20 | (1,952 | ) | |||
MXN | 876,386 | USD | 45,687 | Morgan Stanley | 3/18/20 | 405 | ||||
MXN | 596,908 | USD | 31,327 | Morgan Stanley | 3/18/20 | 67 | ||||
MXN | 889,003 | USD | 46,695 | Morgan Stanley | 3/18/20 | 61 | ||||
MYR | 1,253,737 | USD | 302,105 | Goldman Sachs & Co. | 3/18/20 | 2,861 | ||||
MYR | 778,687 | USD | 189,199 | Goldman Sachs & Co. | 3/18/20 | 214 | ||||
USD | 25,050 | MYR | 103,757 | Goldman Sachs & Co. | 3/18/20 | (189 | ) | |||
USD | 156,897 | MYR | 644,456 | Goldman Sachs & Co. | 3/18/20 | 136 | ||||
NOK | 2,977,200 | USD | 327,233 | Goldman Sachs & Co. | 3/18/20 | (3,498 | ) | |||
NOK | 837,667 | USD | 93,031 | Goldman Sachs & Co. | 3/18/20 | (1,944 | ) | |||
NOK | 543,868 | USD | 61,679 | Goldman Sachs & Co. | 3/18/20 | (2,539 | ) | |||
NOK | 1,397,747 | USD | 157,222 | Goldman Sachs & Co. | 3/18/20 | (5,234 | ) | |||
USD | 327,327 | NOK | 2,977,200 | Goldman Sachs & Co. | 3/18/20 | 3,591 | ||||
USD | 155,972 | NOK | 1,381,535 | Goldman Sachs & Co. | 3/18/20 | 5,746 | ||||
NZD | 236,405 | USD | 157,299 | Bank of America N.A. | 3/18/20 | (4,404 | ) | |||
PEN | 1,148,328 | USD | 340,498 | Goldman Sachs & Co. | 3/18/20 | (1,922 | ) | |||
PEN | 693,245 | USD | 206,569 | Goldman Sachs & Co. | 3/18/20 | (2,171 | ) | |||
USD | 831,767 | PEN | 2,832,332 | Goldman Sachs & Co. | 3/18/20 | (3,325 | ) | |||
USD | 198,359 | PEN | 661,607 | Goldman Sachs & Co. | 3/18/20 | 3,289 | ||||
PHP | 2,995,422 | USD | 59,131 | Goldman Sachs & Co. | 3/18/20 | (541 | ) | |||
PHP | 2,349,067 | USD | 46,314 | Goldman Sachs & Co. | 3/18/20 | (367 | ) | |||
USD | 151,193 | PHP | 7,672,752 | Goldman Sachs & Co. | 3/18/20 | 1,114 | ||||
USD | 31,894 | PHP | 1,625,045 | Goldman Sachs & Co. | 3/18/20 | 108 | ||||
PLN | 230,219 | USD | 59,785 | UBS AG | 3/18/20 | (353 | ) | |||
PLN | 597,235 | USD | 158,053 | UBS AG | 3/18/20 | (3,875 | ) | |||
PLN | 298,833 | USD | 78,693 | UBS AG | 3/18/20 | (1,548 | ) | |||
USD | 152,057 | PLN | 585,899 | UBS AG | 3/18/20 | 805 | ||||
USD | 63,314 | PLN | 241,555 | UBS AG | 3/18/20 | 956 |
18
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
SEK | 3,829,423 | USD | 409,196 | Goldman Sachs & Co. | 3/18/20 | $ | (10,604 | ) | ||
SEK | 963,037 | USD | 103,431 | Goldman Sachs & Co. | 3/18/20 | (3,191 | ) | |||
USD | 168,070 | SEK | 1,570,396 | Goldman Sachs & Co. | 3/18/20 | 4,612 | ||||
USD | 94,183 | SEK | 877,275 | Goldman Sachs & Co. | 3/18/20 | 2,870 | ||||
THB | 2,603,868 | USD | 86,315 | Goldman Sachs & Co. | 3/18/20 | (2,703 | ) | |||
USD | 224,702 | THB | 6,781,502 | Goldman Sachs & Co. | 3/18/20 | 6,943 | ||||
USD | 94,623 | THB | 2,857,707 | Goldman Sachs & Co. | 3/18/20 | 2,860 | ||||
$ | 344 |
FUTURES CONTRACTS PURCHASED | |||||||||||
Reference Entity | Contracts | Expiration Date | Notional Amount | Underlying Contract Value | Unrealized Appreciation (Depreciation) | ||||||
U.S. Treasury 10-Year Ultra Notes | 1 | March 2020 | $ | 100,000 | $ | 145,656 | $ | 3,138 |
FUTURES CONTRACTS SOLD | |||||||||||
Reference Entity | Contracts | Expiration Date | Notional Amount | Underlying Contract Value | Unrealized Appreciation (Depreciation) | ||||||
U.S. Treasury 10-Year Notes | 80 | March 2020 | $ | 8,000,000 | $ | 10,532,500 | $ | (165,805 | ) |
CENTRALLY CLEARED CREDIT DEFAULT SWAP AGREEMENTS | |||||||||||||||
Reference Entity | Type‡ | Fixed Rate Received (Paid) Quarterly | Termination Date | Notional Amount | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Value^ | ||||||||
Markit CDX North America High Yield Index Series 32 | Sell | 5.00% | 6/20/24 | $ | 294,000 | $ | 17,706 | $ | 9,019 | $ | 26,725 |
‡ 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.
^ The value for credit default swap agreements serves as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability or profit at the period end. Increasing values in absolute terms when compared to the notional amount of the credit default swap agreement represent a deterioration of the referenced entity's credit soundness and an increased likelihood or risk of a credit event occurring as defined in the agreement.
19
NOTES TO SCHEDULE OF INVESTMENTS | ||
ADR | - | American Depositary Receipt |
AUD | - | Australian Dollar |
BRL | - | Brazilian Real |
CAD | - | Canadian Dollar |
CDX | - | Credit Derivatives Indexes |
CHF | - | Swiss Franc |
CLP | - | Chilean Peso |
COP | - | Colombian Peso |
EUR | - | Euro |
FHLMC | - | Federal Home Loan Mortgage Corporation |
FNMA | - | Federal National Mortgage Association |
GDR | - | Global Depositary Receipt |
H15T1Y | - | Constant Maturity U.S. Treasury Note Yield Curve Rate Index |
IDR | - | Indonesian Rupiah |
ILS | - | Israeli Shekel |
INR | - | Indian Rupee |
JPY | - | Japanese Yen |
KZT | - | Kazakhstani Tenge |
LIBOR | - | London Interbank Offered Rate |
MTN | - | Medium Term Note |
MXN | - | Mexican Peso |
MYR | - | Malaysian Ringgit |
NOK | - | Norwegian Krone |
NZD | - | New Zealand Dollar |
PEN | - | Peruvian Sol |
PHP | - | Philippine Peso |
PLN | - | Polish Zloty |
SEK | - | Swedish Krona |
SEQ | - | Sequential Payer |
THB | - | Thai Baht |
USD | - | United States Dollar |
VRN | - | Variable Rate Note. The rate adjusts periodically based upon the terms set forth in the security’s offering documents. The rate shown is effective at the period end and the reference rate and spread, if any, is indicated. |
† | 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) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration, normally to qualified institutional investors. The aggregate value of these securities at the period end was $904,719, which represented 1.4% of total net assets. |
(4) | Equity-linked debt security. The aggregated value of these securities at the period end was $101,320, which represented 0.2% of total net assets. |
(5) | Security, or a portion thereof, has been pledged at the custodian bank or with a broker for collateral requirements on forward foreign currency exchange contracts, futures contracts and/or swap agreements. At the period end, the aggregate value of securities pledged was $132,081. |
See Notes to Financial Statements.
20
Statement of Assets and Liabilities |
JANUARY 31, 2020 (UNAUDITED) | |||
Assets | |||
Investment securities - affiliated, at value (cost of $30,813,560) | $ | 31,411,285 | |
Investment securities - unaffiliated, at value (cost of $28,934,610) | 30,872,327 | ||
Total investment securities, at value (cost of $59,748,170) | 62,283,612 | ||
Receivable for investments sold | 180,537 | ||
Receivable for capital shares sold | 77,586 | ||
Unrealized appreciation on forward foreign currency exchange contracts | 117,531 | ||
Dividends and interest receivable | 300,179 | ||
62,959,445 | |||
Liabilities | |||
Disbursements in excess of demand deposit cash | 183,297 | ||
Payable for investments purchased | 128,628 | ||
Payable for capital shares redeemed | 1,953 | ||
Payable for variation margin on futures contracts | 27,016 | ||
Payable for variation margin on swap agreements | 871 | ||
Unrealized depreciation on forward foreign currency exchange contracts | 117,187 | ||
Accrued management fees | 27,904 | ||
Distribution and service fees payable | 3,205 | ||
490,061 | |||
Net Assets | $ | 62,469,384 | |
Net Assets Consist of: | |||
Capital (par value and paid-in surplus) | $ | 61,872,790 | |
Distributable earnings | 596,594 | ||
$ | 62,469,384 |
Net Assets | Shares Outstanding | Net Asset Value Per Share | ||||
Investor Class, $0.01 Par Value | $22,853,280 | 2,314,825 | $9.87 | |||
I Class, $0.01 Par Value | $33,747,370 | 3,417,479 | $9.87 | |||
Y Class, $0.01 Par Value | $5,721 | 579 | $9.88 | |||
A Class, $0.01 Par Value | $2,390,911 | 242,211 | $9.87* | |||
C Class, $0.01 Par Value | $3,089,988 | 313,212 | $9.87 | |||
R Class, $0.01 Par Value | $132,193 | 13,395 | $9.87 | |||
R5 Class, $0.01 Par Value | $6,574 | 665 | $9.89 | |||
R6 Class, $0.01 Par Value | $243,347 | 24,635 | $9.88 |
*Maximum offering price $10.47 (net asset value divided by 0.9425).
See Notes to Financial Statements.
21
Statement of Operations |
FOR THE SIX MONTHS ENDED JANUARY 31, 2020 (UNAUDITED) | |||
Investment Income (Loss) | |||
Income: | |||
Income distributions from underlying funds (including $795,961 from affiliated funds) | $ | 1,239,946 | |
Dividends (net of foreign taxes withheld of $12,363) | 287,544 | ||
Interest | 203,113 | ||
1,730,603 | |||
Expenses: | |||
Management fees | 243,294 | ||
Distribution and service fees: | |||
A Class | 2,990 | ||
C Class | 16,523 | ||
R Class | 300 | ||
Directors' fees and expenses | 1,058 | ||
Other expenses | 5,298 | ||
269,463 | |||
Fees waived(1) | (83,165 | ) | |
186,298 | |||
Net investment income (loss) | 1,544,305 | ||
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) on: | |||
Investment transactions (including $(46,840) from affiliated funds) | 163,304 | ||
Forward foreign currency exchange contract transactions | (47,793 | ) | |
Futures contract transactions | (213,158 | ) | |
Swap agreement transactions | 3,024 | ||
Foreign currency translation transactions | (3,962 | ) | |
Capital gain distributions received from affiliated funds | 134,434 | ||
35,849 | |||
Change in net unrealized appreciation (depreciation) on: | |||
Investments (including $301,490 from affiliated funds) | 626,105 | ||
Forward foreign currency exchange contracts | 6,872 | ||
Futures contracts | (63,697 | ) | |
Swap agreements | 4,791 | ||
Translation of assets and liabilities in foreign currencies | (196 | ) | |
573,875 | |||
Net realized and unrealized gain (loss) | 609,724 | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 2,154,029 |
(1) | Amount consists of $32,151, $42,875, $7, $3,255, $4,500, $163, $7 and $207 for Investor Class, I Class , Y Class, A Class, C Class, R Class, R5 Class and R6 Class, respectively. |
See Notes to Financial Statements.
22
Statement of Changes in Net Assets |
SIX MONTHS ENDED JANUARY 31, 2020 (UNAUDITED) AND YEAR ENDED JULY 31, 2019 | ||||||
Increase (Decrease) in Net Assets | January 31, 2020 | July 31, 2019 | ||||
Operations | ||||||
Net investment income (loss) | $ | 1,544,305 | $ | 2,823,211 | ||
Net realized gain (loss) | 35,849 | (932,988 | ) | |||
Change in net unrealized appreciation (depreciation) | 573,875 | 110,799 | ||||
Net increase (decrease) in net assets resulting from operations | 2,154,029 | 2,001,022 | ||||
Distributions to Shareholders | ||||||
From earnings: | ||||||
Investor Class | (679,163) | (1,996,030) | ||||
I Class | (959,994) | (643,040) | ||||
Y Class | (173) | (296) | ||||
A Class | (66,064) | (160,602) | ||||
C Class | (77,994) | (159,597) | ||||
R Class | (3,238) | (84,681) | ||||
R5 Class | (172) | (287) | ||||
R6 Class | (5,090) | (99,392) | ||||
Decrease in net assets from distributions | (1,791,888) | (3,143,925) | ||||
Capital Share Transactions | ||||||
Net increase (decrease) in net assets from capital share transactions (Note 5) | 3,210,442 | 1,216,293 | ||||
Net increase (decrease) in net assets | 3,572,583 | 73,390 | ||||
Net Assets | ||||||
Beginning of period | 58,896,801 | 58,823,411 | ||||
End of period | $ | 62,469,384 | $ | 58,896,801 |
See Notes to Financial Statements.
23
Notes to Financial Statements |
JANUARY 31, 2020 (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 (collectively, the underlying funds) to an unlimited extent. The fund will assume the risks associated with the underlying funds. The fund's investment objective is to seek income. Long-term capital appreciation is a secondary objective.
The fund offers the Investor Class, I Class, Y Class, A Class, C Class, R Class, R5 Class and 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.
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 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. Corporate bonds, U.S. Treasury and Government Agency securities, convertible bonds, municipal securities, and sovereign governments and agencies are valued using market models that consider trade data, quotations from dealers and active market makers, relevant yield curve and spread data, creditworthiness, trade data or market information on comparable securities, and other relevant security specific information. Mortgage-related and asset-backed securities are valued based on models that consider trade data, prepayment and default projections, benchmark yield and spread data and estimated cash flows of each tranche of the issuer. Collateralized loan obligations are valued based on discounted cash flow models that consider trade and economic data, prepayment assumptions and default projections. 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.
24
Hybrid securities 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. Preferred stocks and convertible preferred stocks with perpetual maturities are valued using market models that consider trade data, quotations from dealers and active market makers, relevant yield curve and spread data, 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. Exchange-traded futures contracts are valued at the settlement price as provided by the appropriate exchange. Swap agreements are valued at an evaluated mean 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. 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, from the underlying funds, 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 paydown gain (loss) and accretion of discounts and amortization of premiums. Inflation adjustments related to inflation-linked debt securities are reflected as interest income.
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.
25
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 investment securities and other financial instruments. American Century Investment Management, Inc. (ACIM) (the investment advisor) 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 collateral requirements.
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.
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.
26
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 difference in the fee among the classes is a result of their separate arrangements for non-Rule 12b-1 shareholder services. It is not the result of any difference in advisory or custodial fees or other expenses related to the management of the fund’s assets, which do not vary by class. 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 allocation 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. During the period ended January 31, 2020, the investment advisor agreed to waive an additional 0.07% of the fund's management fee. The investment advisor expects this waiver to continue until November 30, 2020 and cannot terminate it prior to such date without the approval of the Board of Directors.
The annual management fee and the effective annual management fee after waiver for each class for the period ended January 31, 2020 are as follows:
Annual Management Fee | Effective Annual Management Fee After Waiver | |
Investor Class | 0.90% | 0.63% |
I Class | 0.70% | 0.43% |
Y Class | 0.55% | 0.28% |
A Class | 0.90% | 0.63% |
C Class | 0.90% | 0.63% |
R Class | 0.90% | 0.63% |
R5 Class | 0.70% | 0.43% |
R6 Class | 0.55% | 0.28% |
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 period ended January 31, 2020 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.
Interfund Transactions — The fund may enter into security transactions with other American Century
Investments funds and other client accounts of the investment advisor, in accordance with the 1940 Act rules
and procedures adopted by the Board of Directors. The rules and procedures require, among other things,
that these transactions be effected at the independent current market price of the security. During the period, the interfund purchases were $2,602 and there were no interfund sales.
4. Investment Transactions
Purchases of investment securities, excluding short-term investments, for the period ended January 31, 2020 totaled $44,805,405, none of which were U.S. Treasury and Government Agency obligations.
Sales of investment securities, excluding short-term investments, for the period ended January 31, 2020 totaled $43,341,364, of which $42,593 represented U.S. Treasury and Government Agency obligations.
27
5. Capital Share Transactions
Transactions in shares of the fund were as follows:
Six months ended January 31, 2020 | Year ended July 31, 2019 | |||||||||
Shares | Amount | Shares | Amount | |||||||
Investor Class/Shares Authorized | 70,000,000 | 70,000,000 | ||||||||
Sold | 399,418 | $ | 3,955,600 | 1,831,570 | $ | 17,778,907 | ||||
Issued in reinvestment of distributions | 56,091 | 551,875 | 187,026 | 1,798,300 | ||||||
Redeemed | (692,437 | ) | (6,818,199 | ) | (3,863,865 | ) | (37,770,909 | ) | ||
(236,928 | ) | (2,310,724 | ) | (1,845,269 | ) | (18,193,702 | ) | |||
I Class/Shares Authorized | 45,000,000 | 45,000,000 | ||||||||
Sold | 1,045,575 | 10,280,410 | 2,862,598 | 27,935,439 | ||||||
Issued in reinvestment of distributions | 97,427 | 959,994 | 66,340 | 643,040 | ||||||
Redeemed | (557,077 | ) | (5,501,955 | ) | (574,927 | ) | (5,553,374 | ) | ||
585,925 | 5,738,449 | 2,354,011 | 23,025,105 | |||||||
Y Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||
Issued in reinvestment of distributions | 18 | 173 | 30 | 296 | ||||||
A Class/Shares Authorized | 45,000,000 | 45,000,000 | ||||||||
Sold | 15,406 | 150,870 | 271,584 | 2,637,228 | ||||||
Issued in reinvestment of distributions | 6,645 | 65,402 | 16,544 | 159,318 | ||||||
Redeemed | (23,250 | ) | (228,852 | ) | (286,615 | ) | (2,820,887 | ) | ||
(1,199 | ) | (12,580 | ) | 1,513 | (24,341 | ) | ||||
C Class/Shares Authorized | 45,000,000 | 45,000,000 | ||||||||
Sold | 17,279 | 171,224 | 251,229 | 2,401,005 | ||||||
Issued in reinvestment of distributions | 7,929 | 77,994 | 16,614 | 159,597 | ||||||
Redeemed | (64,455 | ) | (637,214 | ) | (254,638 | ) | (2,474,146 | ) | ||
(39,247 | ) | (387,996 | ) | 13,205 | 86,456 | |||||
R Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||
Sold | 6,140 | 60,313 | 1,649 | 16,130 | ||||||
Issued in reinvestment of distributions | 329 | 3,238 | 8,809 | 84,681 | ||||||
Redeemed | (3,647 | ) | (35,787 | ) | (196,436 | ) | (1,947,440 | ) | ||
2,822 | 27,764 | (185,978 | ) | (1,846,629 | ) | |||||
R5 Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||
Sold | 89 | 885 | — | — | ||||||
Issued in reinvestment of distributions | 17 | 172 | 29 | 287 | ||||||
106 | 1,057 | 29 | 287 | |||||||
R6 Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||
Sold | 23,757 | 233,726 | 9,356 | 86,730 | ||||||
Issued in reinvestment of distributions | 515 | 5,090 | 10,322 | 99,392 | ||||||
Redeemed | (8,622 | ) | (84,517 | ) | (203,185 | ) | (2,017,301 | ) | ||
15,650 | 154,299 | (183,507 | ) | (1,831,179 | ) | |||||
Net increase (decrease) | 327,147 | $ | 3,210,442 | 154,034 | $ | 1,216,293 |
28
6. Affiliated Fund Transactions
A summary of transactions for each affiliated fund for the period ended January 31, 2020 follows (amounts in thousands):
Affiliated Fund(1) | Beginning Value | Purchase Cost | Sales Cost | Change in Net Unrealized Appreciation (Depreciation) | Ending Value | Ending Shares | Net Realized Gain (Loss) | Distributions Received(2) | |||||||||||||||
Emerging Markets Debt Fund R6 Class | $ | 7,653 | $ | 2,586 | $ | 1,564 | $ | 163 | $ | 8,838 | 831 | $ | 6 | $ | 171 | ||||||||
Equity Income Fund R6 Class | 4,198 | 540 | 610 | (60 | ) | 4,068 | 452 | (1 | ) | 254 | |||||||||||||
International Value Fund R6 Class | 4,645 | 675 | 1,077 | 104 | 4,347 | 580 | (6 | ) | 81 | ||||||||||||||
NT High Income Fund G Class | 12,679 | 3,683 | 2,311 | 106 | 14,157 | 1,461 | (86 | ) | 419 | ||||||||||||||
Utilities Fund Investor Class | 588 | 7 | 582 | (12 | ) | 1 | — | 40 | 5 | ||||||||||||||
$ | 29,763 | $ | 7,491 | $ | 6,144 | $ | 301 | $ | 31,411 | 3,324 | $ | (47 | ) | $ | 930 |
(1) | Investments are funds within the American Century Investments family of funds and are considered affiliated funds. 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. Investments in 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.
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.
29
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 | ||||||||
Affiliated Funds | $ | 31,411,285 | — | — | ||||
Common Stocks | 9,022,651 | $ | 4,234,744 | — | ||||
Preferred Stocks | 1,565,200 | 5,061,435 | — | |||||
Convertible Preferred Stocks | 1,995,749 | — | — | |||||
Corporate Bonds | — | 1,316,788 | — | |||||
Exchange-Traded Funds | 911,367 | — | — | |||||
Convertible Bonds | — | 581,529 | — | |||||
Collateralized Mortgage Obligations | — | 338,048 | — | |||||
Commercial Mortgage-Backed Securities | — | 336,854 | — | |||||
Asset-Backed Securities | — | 334,342 | — | |||||
U.S. Treasury Securities | — | 208,399 | — | |||||
Collateralized Loan Obligations | — | 84,240 | — | |||||
Temporary Cash Investments | 4,880,981 | — | — | |||||
$ | 49,787,233 | $ | 12,496,379 | — | ||||
Other Financial Instruments | ||||||||
Futures Contracts | $ | 3,138 | — | — | ||||
Swap Agreements | — | $ | 26,725 | — | ||||
Forward Foreign Currency Exchange Contracts | — | 117,531 | — | |||||
$ | 3,138 | $ | 144,256 | — | ||||
Liabilities | ||||||||
Other Financial Instruments | ||||||||
Futures Contracts | $ | 165,805 | — | — | ||||
Forward Foreign Currency Exchange Contracts | — | $ | 117,187 | — | ||||
$ | 165,805 | $ | 117,187 | — |
9. 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. The buyer/seller of credit protection against a security or basket of securities may pay/receive an up-front or periodic payment to compensate for/against potential default events. Changes in value, including the periodic amounts of interest to be paid or received on swap agreements, are recorded as unrealized appreciation (depreciation) on swap agreements. 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 $379,333.
30
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 forward foreign currency exchange contract transactions and change in net unrealized appreciation (depreciation) on forward foreign currency exchange contracts, 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 $18,659,924.
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 notional exposure to interest rate risk derivative instruments held during the period was $100,000 futures contracts purchased and $8,000,000 futures contracts sold.
Value of Derivative Instruments as of January 31, 2020 | ||||||||
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* | — | Payable for variation margin on swap agreements* | $ | 871 | |||
Foreign Currency Risk | Unrealized appreciation on forward foreign currency exchange contracts | $ | 117,531 | Unrealized depreciation on forward foreign currency exchange contracts | 117,187 | |||
Interest Rate Risk | Receivable for variation margin on futures contracts* | — | Payable for variation margin on futures contracts* | 27,016 | ||||
$ | 117,531 | $ | 145,074 | |||||
* Included in the unrealized appreciation (depreciation) on futures contracts or centrally cleared swap agreements, as applicable, as reported in the Schedule of Investments. |
Effect of Derivative Instruments on the Statement of Operations for the Six Months Ended January 31, 2020 | ||||||||
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 | $ | 3,024 | Change in net unrealized appreciation (depreciation) on swap agreements | $ | 4,791 | ||
Foreign Currency Risk | Net realized gain (loss) on forward foreign currency exchange contract transactions | (47,793 | ) | Change in net unrealized appreciation (depreciation) on forward foreign currency exchange contracts | 6,872 | |||
Interest Rate Risk | Net realized gain (loss) on futures contract transactions | (213,158 | ) | Change in net unrealized appreciation (depreciation) on futures contracts | (63,697 | ) | ||
$ | (257,927 | ) | $ | (52,034 | ) |
31
10. Risk Factors
The value of the fund’s shares will go up and down based on the performance of the securities it owns and other factors generally affecting the securities market. Market risks, including political, regulatory, economic and social developments, can affect the value of the fund’s investments. Natural disasters, public health emergencies, terrorism and other unforeseeable events may lead to increased market volatility and may have adverse long-term effects on world economies and markets generally.
There are certain risks involved in investing in foreign securities. These risks include those resulting from political events (such as civil unrest, national elections and imposition of exchange controls), social and economic events (such as labor strikes and rising inflation), and natural disasters. Securities of foreign issuers may be less liquid and more volatile. Investing in emerging markets or a significant portion of assets in one country or region 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.
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.
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 period end, the components of investments for federal income tax purposes were as follows:
Federal tax cost of investments | $ | 60,742,189 | |
Gross tax appreciation of investments | $ | 2,377,271 | |
Gross tax depreciation of investments | (835,848 | ) | |
Net tax appreciation (depreciation) of investments | $ | 1,541,423 |
The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales.
As of July 31, 2019, the fund had late-year ordinary loss deferrals of $(21,494) and post-October capital loss deferrals of $(793,975), which represent certain qualified losses that the fund has elected to treat as having been incurred in the following fiscal year for federal income tax purposes.
12. Recently Issued Accounting Standards
In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update No. 2017-08, “Receivables - Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities” (ASU 2017-08). ASU 2017-08 amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. The adoption of ASU 2017-08 did not materially impact the financial statements.
32
Financial Highlights |
For a Share Outstanding Throughout the Years Ended July 31 (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 | Tax Return of Capital | Total Distributions | 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 | ||||||||||||||||||
2020(4) | $9.82 | 0.25 | 0.09 | 0.34 | (0.29) | — | — | (0.29) | $9.87 | 3.48% | 0.65%(5) | 0.92%(5) | 5.02%(5) | 4.75%(5) | 78% | $22,853 | ||
2019 | $10.06 | 0.45 | (0.19) | 0.26 | (0.47) | (0.03) | — | (0.50) | $9.82 | 2.89% | 0.66% | 0.91% | 4.63% | 4.38% | 213% | $25,048 | ||
2018(6) | $10.29 | 0.33 | (0.20) | 0.13 | (0.35) | (0.01) | — | (0.36) | $10.06 | 1.32% | 0.66%(5) | 0.90%(5) | 4.99%(5) | 4.75%(5) | 152% | $44,245 | ||
2017 | $9.69 | 0.43 | 0.65 | 1.08 | (0.48) | — | — | (0.48) | $10.29 | 11.35% | 0.58% | 0.91% | 4.29% | 3.96% | 209% | $46,964 | ||
2016 | $9.40 | 0.42 | 0.31 | 0.73 | (0.44) | — | — | (0.44) | $9.69 | 7.92% | 0.61% | 0.92% | 4.50% | 4.19% | 195% | $43,297 | ||
2015 | $10.00 | 0.39 | (0.57) | (0.18) | (0.39) | — | (0.03) | (0.42) | $9.40 | (1.84)% | 0.59% | 0.91% | 4.08% | 3.76% | 127% | $8,559 | ||
I Class | ||||||||||||||||||
2020(4) | $9.82 | 0.26 | 0.09 | 0.35 | (0.30) | — | — | (0.30) | $9.87 | 3.69% | 0.45%(5) | 0.72%(5) | 5.22%(5) | 4.95%(5) | 78% | $33,747 | ||
2019 | $10.06 | 0.47 | (0.19) | 0.28 | (0.49) | (0.03) | — | (0.52) | $9.82 | 3.10% | 0.46% | 0.71% | 4.83% | 4.58% | 213% | $27,800 | ||
2018(6) | $10.29 | 0.35 | (0.21) | 0.14 | (0.36) | (0.01) | — | (0.37) | $10.06 | 1.45% | 0.46%(5) | 0.70%(5) | 5.19%(5) | 4.95%(5) | 152% | $4,806 | ||
2017 | $9.69 | 0.45 | 0.65 | 1.10 | (0.50) | — | — | (0.50) | $10.29 | 11.57% | 0.38% | 0.71% | 4.49% | 4.16% | 209% | $2,255 | ||
2016 | $9.40 | 0.47 | 0.28 | 0.75 | (0.46) | — | — | (0.46) | $9.69 | 8.14% | 0.41% | 0.72% | 4.70% | 4.39% | 195% | $1,756 | ||
2015 | $10.00 | 0.42 | (0.58) | (0.16) | (0.41) | — | (0.03) | (0.44) | $9.40 | (1.65)% | 0.39% | 0.71% | 4.28% | 3.96% | 127% | $1,967 |
For a Share Outstanding Throughout the Years Ended July 31 (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 | Tax Return of Capital | Total Distributions | 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) | |||
Y Class | ||||||||||||||||||
2020(4) | $9.82 | 0.27 | 0.09 | 0.36 | (0.30) | — | — | (0.30) | $9.88 | 3.76% | 0.30%(5) | 0.57%(5) | 5.37%(5) | 5.10%(5) | 78% | $6 | ||
2019 | $10.07 | 0.49 | (0.20) | 0.29 | (0.51) | (0.03) | — | (0.54) | $9.82 | 3.14% | 0.31% | 0.56% | 4.98% | 4.73% | 213% | $6 | ||
2018(6) | $10.29 | 0.36 | (0.20) | 0.16 | (0.37) | (0.01) | — | (0.38) | $10.07 | 1.65% | 0.31%(5) | 0.55%(5) | 5.34%(5) | 5.10%(5) | 152% | $5 | ||
2017(7) | $10.06 | 0.25 | 0.26 | 0.51 | (0.28) | — | — | (0.28) | $10.29 | 5.17% | 0.23%(5) | 0.56%(5) | 3.81%(5) | 3.48%(5) | 209%(3) | $5 | ||
A Class | ||||||||||||||||||
2020(4) | $9.81 | 0.23 | 0.11 | 0.34 | (0.28) | — | — | (0.28) | $9.87 | 3.46% | 0.90%(5) | 1.17%(5) | 4.77%(5) | 4.50%(5) | 78% | $2,391 | ||
2019 | $10.06 | 0.43 | (0.20) | 0.23 | (0.45) | (0.03) | — | (0.48) | $9.81 | 2.53% | 0.91% | 1.16% | 4.38% | 4.13% | 213% | $2,389 | ||
2018(6) | $10.29 | 0.32 | (0.21) | 0.11 | (0.33) | (0.01) | — | (0.34) | $10.06 | 1.16% | 0.91%(5) | 1.15%(5) | 4.74%(5) | 4.50%(5) | 152% | $2,434 | ||
2017 | $9.69 | 0.41 | 0.64 | 1.05 | (0.45) | — | — | (0.45) | $10.29 | 11.08% | 0.83% | 1.16% | 4.04% | 3.71% | 209% | $2,200 | ||
2016 | $9.40 | 0.42 | 0.28 | 0.70 | (0.41) | — | — | (0.41) | $9.69 | 7.65% | 0.86% | 1.17% | 4.25% | 3.94% | 195% | $2,400 | ||
2015 | $10.00 | 0.38 | (0.58) | (0.20) | (0.37) | — | (0.03) | (0.40) | $9.40 | (2.08)% | 0.84% | 1.16% | 3.83% | 3.51% | 127% | $1,647 | ||
C Class | ||||||||||||||||||
2020(4) | $9.81 | 0.20 | 0.10 | 0.30 | (0.24) | — | — | (0.24) | $9.87 | 3.07% | 1.65%(5) | 1.92%(5) | 4.02%(5) | 3.75%(5) | 78% | $3,090 | ||
2019 | $10.06 | 0.35 | (0.19) | 0.16 | (0.38) | (0.03) | — | (0.41) | $9.81 | 1.77% | 1.66% | 1.91% | 3.63% | 3.38% | 213% | $3,457 | ||
2018(6) | $10.28 | 0.27 | (0.20) | 0.07 | (0.28) | (0.01) | — | (0.29) | $10.06 | 0.78% | 1.66%(5) | 1.90%(5) | 3.99%(5) | 3.75%(5) | 152% | $3,412 | ||
2017 | $9.69 | 0.33 | 0.64 | 0.97 | (0.38) | — | — | (0.38) | $10.28 | 10.16% | 1.58% | 1.91% | 3.29% | 2.96% | 209% | $2,350 | ||
2016 | $9.40 | 0.35 | 0.28 | 0.63 | (0.34) | — | — | (0.34) | $9.69 | 6.83% | 1.61% | 1.92% | 3.50% | 3.19% | 195% | $1,765 | ||
2015 | $10.00 | 0.31 | (0.58) | (0.27) | (0.31) | — | (0.02) | (0.33) | $9.40 | (2.79)% | 1.59% | 1.91% | 3.08% | 2.76% | 127% | $1,570 |
For a Share Outstanding Throughout the Years Ended July 31 (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 | Tax Return of Capital | Total Distributions | 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) | |||
R Class | ||||||||||||||||||
2020(4) | $9.81 | 0.23 | 0.09 | 0.32 | (0.26) | — | — | (0.26) | $9.87 | 3.33% | 1.15%(5) | 1.42%(5) | 4.52%(5) | 4.25%(5) | 78% | $132 | ||
2019 | $10.06 | 0.40 | (0.19) | 0.21 | (0.43) | (0.03) | — | (0.46) | $9.81 | 2.28% | 1.16% | 1.41% | 4.13% | 3.88% | 213% | $104 | ||
2018(6) | $10.29 | 0.30 | (0.20) | 0.10 | (0.32) | (0.01) | — | (0.33) | $10.06 | 1.00% | 1.16%(5) | 1.40%(5) | 4.49%(5) | 4.25%(5) | 152% | $1,978 | ||
2017 | $9.69 | 0.38 | 0.65 | 1.03 | (0.43) | — | — | (0.43) | $10.29 | 10.81% | 1.08% | 1.41% | 3.79% | 3.46% | 209% | $1,950 | ||
2016 | $9.40 | 0.40 | 0.28 | 0.68 | (0.39) | — | — | (0.39) | $9.69 | 7.37% | 1.11% | 1.42% | 4.00% | 3.69% | 195% | $1,730 | ||
2015 | $10.00 | 0.36 | (0.58) | (0.22) | (0.35) | — | (0.03) | (0.38) | $9.40 | (2.32)% | 1.09% | 1.41% | 3.58% | 3.26% | 127% | $1,580 | ||
R5 Class | ||||||||||||||||||
2020(4) | $9.83 | 0.26 | 0.10 | 0.36 | (0.30) | — | — | (0.30) | $9.89 | 3.68% | 0.45%(5) | 0.72%(5) | 5.22%(5) | 4.95%(5) | 78% | $7 | ||
2019 | $10.07 | 0.47 | (0.19) | 0.28 | (0.49) | (0.03) | — | (0.52) | $9.83 | 3.10% | 0.46% | 0.71% | 4.83% | 4.58% | 213% | $5 | ||
2018(6) | $10.30 | 0.35 | (0.21) | 0.14 | (0.36) | (0.01) | — | (0.37) | $10.07 | 1.45% | 0.46%(5) | 0.70%(5) | 5.19%(5) | 4.95%(5) | 152% | $5 | ||
2017(7) | $10.06 | 0.24 | 0.27 | 0.51 | (0.27) | — | — | (0.27) | $10.30 | 5.17% | 0.38%(5) | 0.71%(5) | 3.66%(5) | 3.33%(5) | 209%(3) | $5 |
For a Share Outstanding Throughout the Years Ended July 31 (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 | Tax Return of Capital | Total Distributions | 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) | |||
R6 Class | ||||||||||||||||||
2020(4) | $9.82 | 0.30 | 0.06 | 0.36 | (0.30) | — | — | (0.30) | $9.88 | 3.76% | 0.30%(5) | 0.57%(5) | 5.37%(5) | 5.10%(5) | 78% | $243 | ||
2019 | $10.07 | 0.48 | (0.19) | 0.29 | (0.51) | (0.03) | — | (0.54) | $9.82 | 3.15% | 0.31% | 0.56% | 4.98% | 4.73% | 213% | $88 | ||
2018(6) | $10.29 | 0.36 | (0.20) | 0.16 | (0.37) | (0.01) | — | (0.38) | $10.07 | 1.65% | 0.31%(5) | 0.55%(5) | 5.34%(5) | 5.10%(5) | 152% | $1,938 | ||
2017 | $9.69 | 0.47 | 0.64 | 1.11 | (0.51) | — | — | (0.51) | $10.29 | 11.73% | 0.23% | 0.56% | 4.64% | 4.31% | 209% | $1,907 | ||
2016 | $9.40 | 0.48 | 0.28 | 0.76 | (0.47) | — | — | (0.47) | $9.69 | 8.30% | 0.26% | 0.57% | 4.85% | 4.54% | 195% | $1,707 | ||
2015 | $10.00 | 0.44 | (0.58) | (0.14) | (0.43) | — | (0.03) | (0.46) | $9.40 | (1.51)% | 0.24% | 0.56% | 4.43% | 4.11% | 127% | $1,576 |
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) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the year ended November 30, 2017. |
(4) | Six months ended January 31, 2020 (unaudited). |
(5) | Annualized. |
(6) | December 1, 2017 through July 31, 2018. The fund's fiscal year end was changed from November 30 to July 31, resulting in an eight-month annual reporting period. For the years before July 31, 2018, the fund's fiscal year end was November 30. |
(7) | April 10, 2017 (commencement of sale) through November 30, 2017. |
See Notes to Financial Statements.
Additional Information |
Retirement Account Information
As required by law, distributions you receive from certain retirement accounts 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 and change your withholding percentage for future distributions.
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.
*Some 403(b), 457 and qualified retirement plan distributions may be subject to 20% mandatory withholding, as they 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 American Century Investments’ website at americancentury.com/proxy 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 americancentury.com/proxy. 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 or as an exhibit to its reports on Form N-PORT. The fund’s Forms N-Q and Form N-PORT reports are available on the SEC’s website at sec.gov. 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.
37
Notes |
38
Notes |
39
Notes |
40
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. | ||
©2020 American Century Proprietary Holdings, Inc. All rights reserved. CL-SAN-92643 2003 |
Semiannual Report | |
January 31, 2020 | |
Strategic Allocation: Aggressive Fund | |
Investor Class (TWSAX) | |
I Class (AAAIX) | |
A Class (ACVAX) | |
C Class (ASTAX) | |
R Class (AAARX) | |
R5 Class (ASAUX) | |
R6 Class (AAAUX) |
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the fund’s shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the fund or your financial intermediary electronically by calling or sending an email request to your appropriate contacts as listed on the back cover of this report.
You may elect to receive all future reports in paper free of charge. You can inform the fund or your financial intermediary that you wish to continue receiving paper copies of your shareholder reports by calling or sending an email request to your appropriate contacts as listed on the back cover of this report. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
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 |
Jonathan Thomas
Dear Investor:
Thank you for reviewing this semiannual report for the period ended January 31, 2020. It provides a market overview (below), followed by a schedule of fund investments and other financial information. For additional information please visit our website, americancentury.com.
Stocks, Bonds Delivered Solid Gains
From higher-quality government bonds to higher-risk stocks, most major U.S. and global asset classes posted gains for the six months ended January 31. U.S. stocks, as measured by the S&P 500 Index, advanced 9.31% for the period, outpacing the 7.40% return for global stocks (MSCI ACWI). Broad-based U.S. and global bond indices also delivered solid, albeit more-modest, gains.
A key policy pivot from the Federal Reserve (Fed) helped set the stage for the rally. After ending its three-year rate-hike campaign in early 2019, the Fed cut rates in July, September and October. Similarly, the European Central Bank unveiled more stimulus. These efforts aided stocks and bonds. Additionally, modestly improving economic and earnings data and upbeat trade-policy news lifted stock investors' optimism. However, news of China’s COVID-19 outbreak in January stifled the stock market rally. Investors feared the virus would spread worldwide, stalling global growth.
Special COVID-19 Update
As we finalize this shareholder report in mid-March, the fears that emerged in late January unfortunately have become reality. The world is dealing with unprecedented health, economic and lifestyle challenges stemming from the COVID-19 global pandemic. The market impact has been severe, but slowing and eliminating the human toll are most important.
We are monitoring the situation closely and following government guidelines and protocols from leading health authorities. Our firm has activated a comprehensive Pandemic Response Plan, which includes social-distancing and work-from-home mandates, restrictions on travel, escalated cleaning regimens at all our facilities, and more. We've also launched a Business Continuity Plan to maintain normal business operations and ensure delivery of outstanding service.
We appreciate your confidence in us during these extraordinary times. We have a long history of weathering volatile markets, and we are confident we will meet this current challenge. In the meantime, the health and safety of you, your family and our employees remain a top priority.
Sincerely,
Jonathan Thomas
President and Chief Executive Officer
American Century Investments
2
Fund Characteristics |
JANUARY 31, 2020 | |
Top Ten Common Stocks | % of net assets |
Amazon.com, Inc. | 0.7% |
Alphabet, Inc.* | 0.7% |
salesforce.com, Inc. | 0.5% |
Mastercard, Inc., Class A | 0.5% |
Microsoft Corp. | 0.5% |
Visa, Inc., Class A | 0.5% |
Tesla, Inc. | 0.4% |
Facebook, Inc., Class A | 0.4% |
Chipotle Mexican Grill, Inc. | 0.4% |
Fiserv, Inc. | 0.4% |
*Includes all classes of the issuer held by the fund. | |
Key Fixed-Income Portfolio Statistics | |
Weighted Average Life to Maturity | 6.4 years |
Average Duration (effective) | 5.4 years |
Types of Investments in Portfolio | % of net assets |
Domestic Common Stocks | 34.3% |
Foreign Common Stocks* | 8.4% |
Affiliated Funds | 36.5% |
Corporate Bonds | 5.5% |
U.S. Treasury Securities | 4.0% |
U.S. Government Agency Mortgage-Backed Securities | 1.8% |
Sovereign Governments and Agencies | 1.6% |
Asset-Backed Securities | 0.9% |
Collateralized Loan Obligations | 0.8% |
Exchange-Traded Funds | 0.5% |
Collateralized Mortgage Obligations | 0.5% |
Commercial Mortgage-Backed Securities | 0.5% |
Municipal Securities | 0.4% |
Commercial Paper | 0.1% |
U.S. Government Agency Securities | 0.1% |
Temporary Cash Investments | 4.1% |
Other Assets and Liabilities | —** |
*Includes depositary shares, dual listed securities and foreign ordinary shares. | |
**Category is less than 0.05% of total net assets. |
3
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 August 1, 2019 to January 31, 2020.
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 I 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.
4
Beginning Account Value 8/1/19 | Ending Account Value 1/31/20 | Expenses Paid During Period(1) 8/1/19 - 1/31/20 | Annualized Expense Ratio(1) | |
Actual | ||||
Investor Class | $1,000 | $1,060.40 | $4.82 | 0.93% |
I Class | $1,000 | $1,061.70 | $3.78 | 0.73% |
A Class | $1,000 | $1,059.80 | $6.11 | 1.18% |
C Class | $1,000 | $1,055.80 | $9.97 | 1.93% |
R Class | $1,000 | $1,057.10 | $7.39 | 1.43% |
R5 Class | $1,000 | $1,061.70 | $3.78 | 0.73% |
R6 Class | $1,000 | $1,062.10 | $3.01 | 0.58% |
Hypothetical | ||||
Investor Class | $1,000 | $1,020.46 | $4.72 | 0.93% |
I Class | $1,000 | $1,021.47 | $3.71 | 0.73% |
A Class | $1,000 | $1,019.20 | $5.99 | 1.18% |
C Class | $1,000 | $1,015.43 | $9.78 | 1.93% |
R Class | $1,000 | $1,017.95 | $7.25 | 1.43% |
R5 Class | $1,000 | $1,021.47 | $3.71 | 0.73% |
R6 Class | $1,000 | $1,022.22 | $2.95 | 0.58% |
(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 184, the number of days in the most recent fiscal half-year, divided by 366, to reflect the one-half year period. Annualized expense ratio reflects actual expenses, including any applicable fee waivers or expense reimbursements and excluding any acquired fund fees and expenses. |
5
Schedule of Investments |
JANUARY 31, 2020 (UNAUDITED)
Shares/ Principal Amount | Value | ||||||
COMMON STOCKS — 42.7% | |||||||
Aerospace and Defense — 0.5% | |||||||
Aerojet Rocketdyne Holdings, Inc.(1) | 2,437 | $ | 126,895 | ||||
BAE Systems plc | 43,174 | 361,105 | |||||
Boeing Co. (The) | 551 | 175,367 | |||||
Embraer SA ADR | 25,661 | 432,131 | |||||
Kratos Defense & Security Solutions, Inc.(1) | 3,441 | 63,108 | |||||
Lockheed Martin Corp. | 1,357 | 580,959 | |||||
Mercury Systems, Inc.(1) | 1,021 | 78,362 | |||||
Safran SA | 2,674 | 432,358 | |||||
Textron, Inc. | 9,033 | 414,886 | |||||
TransDigm Group, Inc. | 1,107 | 712,111 | |||||
3,377,282 | |||||||
Air Freight and Logistics — 0.1% | |||||||
Expeditors International of Washington, Inc. | 2,740 | 200,130 | |||||
United Parcel Service, Inc., Class B | 6,201 | 641,927 | |||||
842,057 | |||||||
Airlines — 0.3% | |||||||
Delta Air Lines, Inc. | 6,155 | 343,080 | |||||
Southwest Airlines Co. | 32,896 | 1,808,622 | |||||
2,151,702 | |||||||
Auto Components — 0.3% | |||||||
Aptiv plc | 9,612 | 815,002 | |||||
BorgWarner, Inc. | 11,501 | 394,369 | |||||
Cie Plastic Omnium SA | 2,732 | 68,665 | |||||
Hyundai Mobis Co. Ltd. | 2,097 | 401,304 | |||||
Hyundai Wia Corp. | 1,899 | 67,935 | |||||
Leoni AG(1) | 9,542 | 112,430 | |||||
Minth Group Ltd. | 38,000 | 117,026 | |||||
NOK Corp. | 4,900 | 64,898 | |||||
Visteon Corp.(1) | 742 | 59,219 | |||||
2,100,848 | |||||||
Automobiles — 0.9% | |||||||
Daimler AG | 6,508 | 301,614 | |||||
Honda Motor Co. Ltd. ADR | 39,719 | 1,016,806 | |||||
Hyundai Motor Co. | 5,464 | 567,300 | |||||
Kia Motors Corp. | 6,689 | 227,812 | |||||
Mazda Motor Corp. | 32,600 | 271,386 | |||||
Nissan Motor Co. Ltd. | 85,700 | 465,252 | |||||
Renault SA | 4,333 | 168,410 | |||||
Tesla, Inc.(1) | 4,981 | 3,240,489 | |||||
Thor Industries, Inc. | 3,919 | 315,558 |
6
Shares/ Principal Amount | Value | ||||||
Winnebago Industries, Inc. | 1,786 | $ | 97,801 | ||||
6,672,428 | |||||||
Banks — 2.5% | |||||||
Bank Central Asia Tbk PT | 195,300 | 458,954 | |||||
Bank of America Corp. | 49,451 | 1,623,476 | |||||
Barclays plc | 352,053 | 778,560 | |||||
BNP Paribas SA | 8,212 | 436,667 | |||||
Citigroup, Inc. | 6,908 | 514,024 | |||||
Comerica, Inc. | 12,695 | 776,426 | |||||
Commerce Bancshares, Inc. | 8,602 | 582,011 | |||||
Commerzbank AG | 62,581 | 360,254 | |||||
FinecoBank Banca Fineco SpA | 10,319 | 120,797 | |||||
First Hawaiian, Inc. | 24,443 | 710,314 | |||||
Hana Financial Group, Inc. | 7,163 | 197,135 | |||||
HDFC Bank Ltd. ADR | 7,261 | 415,910 | |||||
JPMorgan Chase & Co. | 14,850 | 1,965,546 | |||||
M&T Bank Corp. | 3,890 | 655,543 | |||||
Mitsubishi UFJ Financial Group, Inc. | 143,900 | 736,181 | |||||
Mizuho Financial Group, Inc. | 330,500 | 487,378 | |||||
PNC Financial Services Group, Inc. (The) | 10,316 | 1,532,442 | |||||
Prosperity Bancshares, Inc. | 3,844 | 269,849 | |||||
Societe Generale SA | 10,389 | 336,050 | |||||
Standard Chartered plc (London) | 24,333 | 202,552 | |||||
Sumitomo Mitsui Financial Group, Inc. | 10,500 | 367,953 | |||||
SVB Financial Group(1) | 639 | 153,571 | |||||
Truist Financial Corp. | 40,384 | 2,082,603 | |||||
U.S. Bancorp | 14,895 | 792,712 | |||||
UMB Financial Corp. | 5,056 | 336,022 | |||||
UniCredit SpA | 20,590 | 275,230 | |||||
Veritex Holdings, Inc. | 2,644 | 74,878 | |||||
Wells Fargo & Co. | 15,525 | 728,743 | |||||
Westamerica Bancorporation | 4,753 | 301,150 | |||||
18,272,931 | |||||||
Beverages — 0.8% | |||||||
Boston Beer Co., Inc. (The), Class A(1) | 3,549 | 1,264,793 | |||||
Brown-Forman Corp., Class B | 3,901 | 263,864 | |||||
Constellation Brands, Inc., Class A | 10,212 | 1,922,919 | |||||
PepsiCo, Inc. | 14,231 | 2,021,086 | |||||
Treasury Wine Estates Ltd. | 35,979 | 307,166 | |||||
5,779,828 | |||||||
Biotechnology — 1.2% | |||||||
AbbVie, Inc. | 4,885 | 395,783 | |||||
ACADIA Pharmaceuticals, Inc.(1) | 1,800 | 71,892 | |||||
Acceleron Pharma, Inc.(1) | 1,214 | 110,207 | |||||
Aimmune Therapeutics, Inc.(1) | 1,286 | 39,930 | |||||
Amarin Corp. plc ADR(1) | 1,998 | 37,063 | |||||
Amgen, Inc. | 2,332 | 503,829 |
7
Shares/ Principal Amount | Value | ||||||
Amicus Therapeutics, Inc.(1) | 5,405 | $ | 47,780 | ||||
Arcutis Biotherapeutics, Inc.(1) | 1,254 | 27,337 | |||||
Arena Pharmaceuticals, Inc.(1) | 1,662 | 75,937 | |||||
Argenx SE(1) | 675 | 97,530 | |||||
Argenx SE ADR(1) | 4,161 | 600,391 | |||||
Biogen, Inc.(1) | 2,026 | 544,690 | |||||
Biohaven Pharmaceutical Holding Co. Ltd.(1) | 630 | 30,549 | |||||
Blueprint Medicines Corp.(1) | 9,023 | 572,509 | |||||
ChemoCentryx, Inc.(1) | 976 | 41,402 | |||||
CSL Ltd. | 3,862 | 789,663 | |||||
Deciphera Pharmaceuticals, Inc.(1) | 587 | 36,764 | |||||
Exact Sciences Corp.(1) | 6,503 | 606,600 | |||||
FibroGen, Inc.(1) | 1,476 | 61,771 | |||||
Flexion Therapeutics, Inc.(1) | 2,510 | 43,975 | |||||
Global Blood Therapeutics, Inc.(1) | 832 | 54,296 | |||||
Halozyme Therapeutics, Inc.(1) | 3,473 | 65,918 | |||||
Heron Therapeutics, Inc.(1) | 1,992 | 41,553 | |||||
Immunomedics, Inc.(1) | 21,645 | 401,948 | |||||
Insmed, Inc.(1) | 3,472 | 71,315 | |||||
Ionis Pharmaceuticals, Inc.(1) | 12,058 | 703,223 | |||||
Iovance Biotherapeutics, Inc.(1) | 2,387 | 51,893 | |||||
Mirati Therapeutics, Inc.(1) | 304 | 26,396 | |||||
MorphoSys AG(1) | 921 | 115,350 | |||||
Natera, Inc.(1) | 3,047 | 106,675 | |||||
PeptiDream, Inc.(1) | 2,000 | 95,079 | |||||
Principia Biopharma, Inc.(1) | 596 | 31,379 | |||||
PTC Therapeutics, Inc.(1) | 1,296 | 66,744 | |||||
Regeneron Pharmaceuticals, Inc.(1) | 2,476 | 836,739 | |||||
REGENXBIO, Inc.(1) | 902 | 39,264 | |||||
Sage Therapeutics, Inc.(1) | 1,613 | 106,910 | |||||
Stoke Therapeutics, Inc.(1) | 1,097 | 30,672 | |||||
Turning Point Therapeutics, Inc.(1) | 3,242 | 189,657 | |||||
Ultragenyx Pharmaceutical, Inc.(1) | 894 | 46,980 | |||||
Vertex Pharmaceuticals, Inc.(1) | 5,931 | 1,346,634 | |||||
Viela Bio, Inc.(1) | 479 | 18,849 | |||||
Viking Therapeutics, Inc.(1) | 4,361 | 27,387 | |||||
Vir Biotechnology, Inc.(1) | 335 | 8,921 | |||||
9,219,384 | |||||||
Building Products — 0.4% | |||||||
Builders FirstSource, Inc.(1) | 4,180 | 103,643 | |||||
Fortune Brands Home & Security, Inc. | 11,592 | 796,486 | |||||
Johnson Controls International plc | 50,789 | 2,003,626 | |||||
Lindab International AB | 5,336 | 60,501 | |||||
Masonite International Corp.(1) | 148 | 11,116 | |||||
PGT Innovations, Inc.(1) | 3,001 | 46,516 | |||||
Trex Co., Inc.(1) | 1,219 | 119,755 | |||||
3,141,643 |
8
Shares/ Principal Amount | Value | ||||||
Capital Markets — 1.6% | |||||||
Ameriprise Financial, Inc. | 5,164 | $ | 854,177 | ||||
Ares Management Corp., Class A | 3,247 | 117,087 | |||||
Bank of New York Mellon Corp. (The) | 22,207 | 994,429 | |||||
BlackRock, Inc. | 550 | 290,043 | |||||
Credit Suisse Group AG(1) | 35,441 | 447,796 | |||||
Euronext NV | 1,532 | 132,815 | |||||
Hamilton Lane, Inc., Class A | 1,673 | 108,661 | |||||
Intercontinental Exchange, Inc. | 18,246 | 1,819,856 | |||||
Intermediate Capital Group plc | 9,485 | 216,675 | |||||
London Stock Exchange Group plc | 6,018 | 624,274 | |||||
LPL Financial Holdings, Inc. | 12,762 | 1,175,763 | |||||
Morgan Stanley | 12,052 | 629,838 | |||||
MSCI, Inc. | 3,074 | 878,549 | |||||
Northern Trust Corp. | 13,078 | 1,279,159 | |||||
Partners Group Holding AG | 479 | 439,295 | |||||
S&P Global, Inc. | 4,046 | 1,188,432 | |||||
State Street Corp. | 6,410 | 484,788 | |||||
Tradeweb Markets, Inc., Class A | 6,966 | 321,690 | |||||
12,003,327 | |||||||
Chemicals — 0.3% | |||||||
Albemarle Corp. | 3,384 | 271,668 | |||||
Dow, Inc. | 7,619 | 351,007 | |||||
Ecolab, Inc. | 1,128 | 221,212 | |||||
Ferro Corp.(1) | 5,360 | 73,325 | |||||
Koninklijke DSM NV | 3,668 | 448,481 | |||||
Olin Corp. | 3,244 | 48,238 | |||||
Sherwin-Williams Co. (The) | 688 | 383,209 | |||||
Symrise AG | 4,407 | 453,991 | |||||
2,251,131 | |||||||
Commercial Services and Supplies — 0.3% | |||||||
A-Living Services Co. Ltd., H Shares | 37,750 | 125,147 | |||||
Babcock International Group plc | 71,045 | 549,189 | |||||
Brink's Co. (The) | 1,688 | 142,113 | |||||
Casella Waste Systems, Inc., Class A(1) | 1,700 | 87,023 | |||||
Clean Harbors, Inc.(1) | 1,454 | 119,548 | |||||
HomeServe plc | 6,990 | 117,805 | |||||
IAA, Inc.(1) | 2,353 | 111,203 | |||||
Loomis AB, B Shares | 1,284 | 46,555 | |||||
Republic Services, Inc. | 4,381 | 416,414 | |||||
Serco Group plc(1) | 46,243 | 96,441 | |||||
US Ecology, Inc. | 1,677 | 90,575 | |||||
Waste Management, Inc. | 4,408 | 536,453 | |||||
2,438,466 | |||||||
Communications Equipment — 0.5% | |||||||
Arista Networks, Inc.(1) | 3,097 | 691,684 | |||||
AudioCodes Ltd. | 2,998 | 64,277 |
9
Shares/ Principal Amount | Value | ||||||
Cisco Systems, Inc. | 34,071 | $ | 1,566,244 | ||||
F5 Networks, Inc.(1) | 7,035 | 859,114 | |||||
Motorola Solutions, Inc. | 1,220 | 215,940 | |||||
Telefonaktiebolaget LM Ericsson, B Shares | 48,960 | 385,242 | |||||
3,782,501 | |||||||
Construction and Engineering† | |||||||
Badger Daylighting Ltd. | 1,791 | 46,731 | |||||
Hazama Ando Corp. | 13,200 | 107,671 | |||||
NRW Holdings Ltd. | 42,305 | 87,042 | |||||
SHO-BOND Holdings Co. Ltd. | 2,700 | 110,107 | |||||
351,551 | |||||||
Construction Materials — 0.1% | |||||||
Cemex SAB de CV ADR | 35,138 | 141,958 | |||||
Vulcan Materials Co. | 3,848 | 544,992 | |||||
686,950 | |||||||
Consumer Finance — 0.1% | |||||||
American Express Co. | 2,961 | 384,545 | |||||
Cembra Money Bank AG | 1,237 | 144,717 | |||||
529,262 | |||||||
Containers and Packaging — 0.3% | |||||||
Ball Corp. | 7,608 | 549,145 | |||||
Berry Global Group, Inc.(1) | 2,338 | 99,412 | |||||
Graphic Packaging Holding Co. | 16,648 | 260,208 | |||||
Huhtamaki Oyj | 560 | 24,949 | |||||
Packaging Corp. of America | 4,413 | 422,545 | |||||
SIG Combibloc Group AG(1) | 9,087 | 143,603 | |||||
Sonoco Products Co. | 6,720 | 383,981 | |||||
WestRock Co. | 7,069 | 275,691 | |||||
2,159,534 | |||||||
Distributors — 0.2% | |||||||
Genuine Parts Co. | 6,657 | 622,896 | |||||
LKQ Corp.(1) | 23,329 | 762,508 | |||||
1,385,404 | |||||||
Diversified Consumer Services — 0.2% | |||||||
Bright Horizons Family Solutions, Inc.(1) | 3,654 | 598,269 | |||||
Chegg, Inc.(1) | 14,634 | 603,360 | |||||
Grand Canyon Education, Inc.(1) | 1,009 | 78,985 | |||||
1,280,614 | |||||||
Diversified Financial Services — 0.3% | |||||||
Berkshire Hathaway, Inc., Class B(1) | 7,296 | 1,637,441 | |||||
ECN Capital Corp. | 18,229 | 77,137 | |||||
Element Fleet Management Corp. | 9,445 | 90,710 | |||||
Zenkoku Hosho Co. Ltd. | 3,300 | 141,236 | |||||
1,946,524 | |||||||
Diversified Telecommunication Services — 0.4% | |||||||
Cellnex Telecom SA(1) | 23,513 | 1,169,133 | |||||
Verizon Communications, Inc. | 36,004 | 2,140,078 | |||||
3,309,211 |
10
Shares/ Principal Amount | Value | ||||||
Electric Utilities — 1.0% | |||||||
Edison International | 9,846 | $ | 753,711 | ||||
Eversource Energy | 4,536 | 419,308 | |||||
Iberdrola SA | 48,394 | 529,273 | |||||
NextEra Energy, Inc. | 5,014 | 1,344,755 | |||||
Pinnacle West Capital Corp. | 21,700 | 2,119,873 | |||||
Xcel Energy, Inc. | 31,993 | 2,213,596 | |||||
7,380,516 | |||||||
Electrical Equipment — 1.2% | |||||||
AMETEK, Inc. | 11,432 | 1,110,619 | |||||
Eaton Corp. plc | 7,769 | 733,937 | |||||
Emerson Electric Co. | 27,067 | 1,938,809 | |||||
Hubbell, Inc. | 11,372 | 1,628,812 | |||||
Mabuchi Motor Co. Ltd. | 2,000 | 73,044 | |||||
Melrose Industries plc | 177,435 | 548,548 | |||||
Nexans SA | 1,851 | 90,280 | |||||
nVent Electric plc | 45,035 | 1,121,372 | |||||
Schneider Electric SE | 8,973 | 899,479 | |||||
Sensata Technologies Holding plc(1) | 10,069 | 475,962 | |||||
Signify NV | 5,899 | 196,472 | |||||
Varta AG(1) | 409 | 34,916 | |||||
8,852,250 | |||||||
Electronic Equipment, Instruments and Components — 0.7% | |||||||
Anritsu Corp. | 5,900 | 113,971 | |||||
Barco NV | 689 | 171,479 | |||||
CDW Corp. | 1,966 | 256,465 | |||||
Cognex Corp. | 21,780 | 1,110,127 | |||||
Electrocomponents plc | 14,906 | 130,298 | |||||
Hexagon AB, B Shares | 7,952 | 433,385 | |||||
Isra Vision AG | 1,176 | 44,298 | |||||
Keyence Corp. | 1,100 | 372,961 | |||||
Keysight Technologies, Inc.(1) | 7,309 | 679,664 | |||||
Landis+Gyr Group AG(1) | 965 | 88,599 | |||||
Murata Manufacturing Co. Ltd. | 9,500 | 542,756 | |||||
Rogers Corp.(1) | 297 | 34,972 | |||||
SYNNEX Corp. | 863 | 118,887 | |||||
TE Connectivity Ltd. | 15,202 | 1,401,320 | |||||
5,499,182 | |||||||
Energy Equipment and Services — 0.4% | |||||||
Baker Hughes Co. | 21,345 | 462,333 | |||||
Cactus, Inc., Class A | 28,089 | 809,525 | |||||
Schlumberger Ltd. | 29,751 | 996,956 | |||||
Subsea 7 SA | 6,905 | 74,257 | |||||
Tecnicas Reunidas SA(1) | 10,074 | 245,751 | |||||
TGS NOPEC Geophysical Co. ASA | 1,979 | 50,300 | |||||
2,639,122 |
11
Shares/ Principal Amount | Value | ||||||
Entertainment — 0.5% | |||||||
Embracer Group AB(1) | 9,102 | $ | 76,002 | ||||
Live Nation Entertainment, Inc.(1) | 10,397 | 708,659 | |||||
Netflix, Inc.(1) | 4,071 | 1,404,861 | |||||
Take-Two Interactive Software, Inc.(1) | 5,201 | 648,253 | |||||
Walt Disney Co. (The) | 5,744 | 794,453 | |||||
World Wrestling Entertainment, Inc., Class A | 494 | 24,147 | |||||
Zynga, Inc., Class A(1) | 7,542 | 45,403 | |||||
3,701,778 | |||||||
Equity Real Estate Investment Trusts (REITs) — 3.1% | |||||||
Agree Realty Corp. | 3,319 | 252,012 | |||||
Alexandria Real Estate Equities, Inc. | 2,551 | 416,323 | |||||
Allied Properties Real Estate Investment Trust | 4,297 | 179,296 | |||||
American Tower Corp. | 418 | 96,867 | |||||
Americold Realty Trust | 12,019 | 414,295 | |||||
Boston Properties, Inc. | 3,103 | 444,815 | |||||
Brixmor Property Group, Inc. | 6,276 | 125,269 | |||||
Camden Property Trust | 3,905 | 439,039 | |||||
Charter Hall Group | 32,001 | 271,059 | |||||
Comforia Residential REIT, Inc. | 70 | 231,086 | |||||
CoreSite Realty Corp. | 494 | 58,020 | |||||
Cousins Properties, Inc. | 6,079 | 248,813 | |||||
Derwent London plc | 7,681 | 415,047 | |||||
Embassy Office Parks REIT(1) | 9,000 | 52,347 | |||||
Empire State Realty Trust, Inc., Class A | 24,981 | 338,742 | |||||
Equinix, Inc. | 942 | 555,526 | |||||
Equity Residential | 4,736 | 393,467 | |||||
Essential Properties Realty Trust, Inc. | 14,277 | 394,188 | |||||
Fibra Uno Administracion SA de CV | 349,932 | 575,025 | |||||
Gaming and Leisure Properties, Inc. | 5,501 | 259,950 | |||||
Gecina SA | 1,066 | 201,645 | |||||
Global Medical REIT, Inc. | 4,252 | 62,079 | |||||
Goodman Group | 35,234 | 345,549 | |||||
Granite Real Estate Investment Trust | 2,268 | 122,552 | |||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 1,897 | 64,669 | |||||
Healthpeak Properties, Inc. | 18,305 | 658,797 | |||||
Hudson Pacific Properties, Inc. | 10,167 | 369,469 | |||||
Inmobiliaria Colonial Socimi SA | 9,408 | 126,079 | |||||
Invesco Office J-Reit, Inc. | 1,345 | 286,015 | |||||
Invitation Homes, Inc. | 20,486 | 644,694 | |||||
Kilroy Realty Corp. | 4,043 | 333,831 | |||||
Link REIT | 19,000 | 191,568 | |||||
Mapletree Commercial Trust | 121,749 | 208,991 | |||||
Mapletree Industrial Trust | 48,500 | 98,554 | |||||
MGM Growth Properties LLC, Class A | 18,702 | 597,342 | |||||
Mitsui Fudosan Logistics Park, Inc. | 64 | 310,084 | |||||
Northview Apartment Real Estate Investment Trust | 6,089 | 141,298 |
12
Shares/ Principal Amount | Value | ||||||
Orix JREIT, Inc. | 223 | $ | 470,607 | ||||
Piedmont Office Realty Trust, Inc., Class A | 20,548 | 476,508 | |||||
Prologis, Inc. | 23,071 | 2,142,834 | |||||
Rexford Industrial Realty, Inc. | 12,919 | 622,567 | |||||
Ryman Hospitality Properties, Inc. | 2,245 | 190,892 | |||||
Safestore Holdings plc | 13,329 | 141,660 | |||||
SBA Communications Corp. | 8,289 | 2,068,603 | |||||
Segro plc | 24,804 | 299,028 | |||||
Spirit Realty Capital, Inc. | 3,675 | 193,966 | |||||
Summit Industrial Income REIT | 10,401 | 101,464 | |||||
Sun Communities, Inc. | 2,023 | 328,070 | |||||
UDR, Inc. | 6,573 | 314,912 | |||||
UNITE Group plc (The) | 19,014 | 320,099 | |||||
VICI Properties, Inc. | 16,917 | 453,376 | |||||
Welltower, Inc. | 21,124 | 1,793,639 | |||||
Weyerhaeuser Co. | 71,848 | 2,080,000 | |||||
22,922,627 | |||||||
Food and Staples Retailing — 0.3% | |||||||
Cosmos Pharmaceutical Corp. | 400 | 88,654 | |||||
Costco Wholesale Corp. | 667 | 203,782 | |||||
Grocery Outlet Holding Corp.(1) | 2,134 | 69,867 | |||||
Kobe Bussan Co. Ltd. | 2,800 | 107,950 | |||||
Koninklijke Ahold Delhaize NV | 24,754 | 608,074 | |||||
Sysco Corp. | 11,038 | 906,661 | |||||
Walgreens Boots Alliance, Inc. | 3,294 | 167,500 | |||||
2,152,488 | |||||||
Food Products — 0.6% | |||||||
AAK AB | 4,161 | 78,104 | |||||
Ariake Japan Co. Ltd. | 1,500 | 102,306 | |||||
Ausnutria Dairy Corp. Ltd.(1) | 34,000 | 41,354 | |||||
Bakkafrost P/F | 1,666 | 118,734 | |||||
Beyond Meat, Inc.(1) | 310 | 34,230 | |||||
Conagra Brands, Inc. | 17,901 | 589,301 | |||||
J.M. Smucker Co. (The) | 4,188 | 433,919 | |||||
Kellogg Co. | 3,356 | 228,913 | |||||
Mondelez International, Inc., Class A | 22,285 | 1,278,713 | |||||
Nestle SA | 5,992 | 661,481 | |||||
Nomad Foods Ltd.(1) | 4,328 | 87,339 | |||||
Orkla ASA | 56,215 | 546,191 | |||||
4,200,585 | |||||||
Gas Utilities — 0.2% | |||||||
Atmos Energy Corp. | 4,117 | 481,813 | |||||
Chesapeake Utilities Corp. | 654 | 62,921 | |||||
Nippon Gas Co. Ltd. | 3,700 | 116,728 | |||||
Spire, Inc. | 6,641 | 559,969 | |||||
1,221,431 |
13
Shares/ Principal Amount | Value | ||||||
Health Care Equipment and Supplies — 1.7% | |||||||
Baxter International, Inc. | 5,312 | $ | 473,937 | ||||
DexCom, Inc.(1) | 1,493 | 359,440 | |||||
Edwards Lifesciences Corp.(1) | 1,945 | 427,628 | |||||
Hologic, Inc.(1) | 20,159 | 1,078,910 | |||||
Hoya Corp. | 3,800 | 365,272 | |||||
ICU Medical, Inc.(1) | 178 | 32,480 | |||||
Insulet Corp.(1) | 376 | 72,959 | |||||
Intuitive Surgical, Inc.(1) | 1,831 | 1,024,957 | |||||
Masimo Corp.(1) | 3,549 | 605,459 | |||||
Medtronic plc | 18,480 | 2,133,331 | |||||
Nihon Kohden Corp. | 1,200 | 35,252 | |||||
OrthoPediatrics Corp.(1) | 1,198 | 55,024 | |||||
ResMed, Inc. | 4,591 | 729,831 | |||||
Siemens Healthineers AG | 5,302 | 250,136 | |||||
Silk Road Medical, Inc.(1) | 2,614 | 121,656 | |||||
Teleflex, Inc. | 3,153 | 1,171,371 | |||||
Terumo Corp. | 12,400 | 442,603 | |||||
Varian Medical Systems, Inc.(1) | 2,837 | 398,797 | |||||
Zimmer Biomet Holdings, Inc. | 18,638 | 2,756,560 | |||||
12,535,603 | |||||||
Health Care Providers and Services — 1.2% | |||||||
1Life Healthcare, Inc.(1) | 1,099 | 24,255 | |||||
Acadia Healthcare Co., Inc.(1) | 2,168 | 69,658 | |||||
Alfresa Holdings Corp. | 11,900 | 240,062 | |||||
Amplifon SpA | 2,836 | 80,463 | |||||
Cardinal Health, Inc. | 13,454 | 688,979 | |||||
Centene Corp.(1) | 11,332 | 711,763 | |||||
CVS Health Corp. | 5,942 | 402,986 | |||||
Encompass Health Corp. | 18,336 | 1,412,422 | |||||
Ensign Group, Inc. (The) | 2,501 | 113,045 | |||||
HealthEquity, Inc.(1) | 1,904 | 125,778 | |||||
Henry Schein, Inc.(1) | 6,957 | 479,616 | |||||
Humana, Inc. | 1,012 | 340,275 | |||||
Korian SA | 3,197 | 146,422 | |||||
McKesson Corp. | 4,134 | 589,550 | |||||
Pennant Group, Inc. (The)(1) | 1,861 | 49,130 | |||||
Quest Diagnostics, Inc. | 16,708 | 1,849,074 | |||||
R1 RCM, Inc.(1) | 12,971 | 162,138 | |||||
UnitedHealth Group, Inc. | 2,593 | 706,463 | |||||
Universal Health Services, Inc., Class B | 3,894 | 533,906 | |||||
8,725,985 | |||||||
Health Care Technology — 0.3% | |||||||
Cerner Corp. | 21,665 | 1,556,197 | |||||
Health Catalyst, Inc.(1) | 12,410 | 405,186 | |||||
Inspire Medical Systems, Inc.(1) | 857 | 64,104 |
14
Shares/ Principal Amount | Value | ||||||
Teladoc Health, Inc.(1) | 1,698 | $ | 172,704 | ||||
2,198,191 | |||||||
Hotels, Restaurants and Leisure — 0.9% | |||||||
Autogrill SpA | 4,817 | 46,813 | |||||
Carnival Corp. | 10,614 | 462,027 | |||||
Chipotle Mexican Grill, Inc.(1) | 3,397 | 2,944,384 | |||||
Churchill Downs, Inc. | 1,126 | 162,572 | |||||
Hilton Worldwide Holdings, Inc. | 5,372 | 579,102 | |||||
Jumbo Interactive Ltd. | 7,284 | 64,338 | |||||
Las Vegas Sands Corp. | 4,157 | 271,494 | |||||
Planet Fitness, Inc., Class A(1) | 9,979 | 806,203 | |||||
Royal Caribbean Cruises Ltd. | 3,876 | 453,802 | |||||
Sodexo SA | 4,763 | 498,652 | |||||
Starbucks Corp. | 4,804 | 407,523 | |||||
6,696,910 | |||||||
Household Durables — 0.3% | |||||||
Bellway plc | 2,849 | 150,552 | |||||
Breville Group Ltd. | 751 | 9,200 | |||||
Cyrela Brazil Realty SA Empreendimentos e Participacoes | 21,200 | 158,359 | |||||
Haseko Corp. | 45,100 | 587,468 | |||||
Man Wah Holdings Ltd. | 92,800 | 64,196 | |||||
Pressance Corp. | 800 | 8,928 | |||||
PulteGroup, Inc. | 8,391 | 374,658 | |||||
Skyline Champion Corp.(1) | 3,090 | 88,838 | |||||
Taylor Wimpey plc | 56,881 | 162,376 | |||||
Tempur Sealy International, Inc.(1) | 1,003 | 91,895 | |||||
Token Corp. | 1,300 | 90,065 | |||||
TopBuild Corp.(1) | 1,576 | 180,468 | |||||
1,967,003 | |||||||
Household Products — 0.4% | |||||||
Colgate-Palmolive Co. | 13,417 | 989,906 | |||||
Kimberly-Clark Corp. | 2,639 | 378,011 | |||||
Procter & Gamble Co. (The) | 13,568 | 1,690,844 | |||||
Reynolds Consumer Products, Inc.(1) | 2,802 | 79,997 | |||||
3,138,758 | |||||||
Independent Power and Renewable Electricity Producers† | |||||||
Falck Renewables SpA | 10,039 | 65,360 | |||||
Industrial Conglomerates — 0.2% | |||||||
Honeywell International, Inc. | 2,795 | 484,150 | |||||
Siemens AG | 7,160 | 886,699 | |||||
1,370,849 | |||||||
Insurance — 1.2% | |||||||
Aegon NV | 126,520 | 514,079 | |||||
Aflac, Inc. | 12,614 | 650,504 | |||||
AIA Group Ltd. | 74,400 | 733,510 | |||||
Arthur J. Gallagher & Co. | 1,536 | 157,547 | |||||
Brown & Brown, Inc. | 5,252 | 235,815 |
15
Shares/ Principal Amount | Value | ||||||
BRP Group, Inc., Class A(1) | 5,443 | $ | 82,080 | ||||
Chubb Ltd. | 12,218 | 1,857,014 | |||||
eHealth, Inc.(1) | 920 | 96,747 | |||||
Globe Life, Inc. | 1,156 | 120,525 | |||||
Goosehead Insurance, Inc., Class A | 2,086 | 108,847 | |||||
Kinsale Capital Group, Inc. | 1,387 | 158,423 | |||||
NN Group NV | 4,302 | 149,531 | |||||
Palomar Holdings, Inc.(1) | 2,389 | 127,692 | |||||
ProAssurance Corp. | 13,006 | 394,992 | |||||
Progressive Corp. (The) | 4,359 | 351,728 | |||||
Prudential Financial, Inc. | 4,603 | 419,149 | |||||
Reinsurance Group of America, Inc. | 12,853 | 1,851,475 | |||||
Travelers Cos., Inc. (The) | 3,841 | 505,552 | |||||
Zurich Insurance Group AG | 1,439 | 598,133 | |||||
9,113,343 | |||||||
Interactive Media and Services — 1.5% | |||||||
Alphabet, Inc., Class A(1) | 1,497 | 2,144,872 | |||||
Alphabet, Inc., Class C(1) | 2,081 | 2,984,632 | |||||
Facebook, Inc., Class A(1) | 15,899 | 3,210,167 | |||||
Pinterest, Inc., Class A(1) | 8,765 | 193,093 | |||||
Tencent Holdings Ltd. | 27,800 | 1,320,030 | |||||
Twitter, Inc.(1) | 35,841 | 1,164,116 | |||||
11,016,910 | |||||||
Internet and Direct Marketing Retail — 0.8% | |||||||
Alibaba Group Holding Ltd. ADR(1) | 3,134 | 647,453 | |||||
Amazon.com, Inc.(1) | 2,557 | 5,136,297 | |||||
Etsy, Inc.(1) | 789 | 38,511 | |||||
HelloFresh SE(1) | 4,516 | 107,932 | |||||
Takeaway.com NV(1) | 822 | 77,522 | |||||
Trainline plc(1) | 19,294 | 120,699 | |||||
6,128,414 | |||||||
IT Services — 2.5% | |||||||
Accenture plc, Class A | 3,381 | 693,815 | |||||
Adyen NV(1) | 549 | 504,451 | |||||
Afterpay Ltd.(1) | 3,875 | 98,153 | |||||
Alten SA | 845 | 104,906 | |||||
CACI International, Inc., Class A(1) | 587 | 156,987 | |||||
Fiserv, Inc.(1) | 24,578 | 2,915,197 | |||||
FleetCor Technologies, Inc.(1) | 3,569 | 1,125,056 | |||||
GDS Holdings Ltd. ADR(1) | 5,931 | 306,692 | |||||
Genpact Ltd. | 2,263 | 100,183 | |||||
GMO Payment Gateway, Inc. | 900 | 58,520 | |||||
I3 Verticals, Inc., Class A(1) | 2,523 | 81,468 | |||||
International Business Machines Corp. | 1,996 | 286,885 | |||||
Limelight Networks, Inc.(1) | 11,182 | 55,798 | |||||
Mastercard, Inc., Class A | 12,407 | 3,919,868 | |||||
Megaport Ltd.(1) | 6,482 | 47,978 |
16
Shares/ Principal Amount | Value | ||||||
NEXTDC Ltd.(1) | 20,297 | $ | 100,850 | ||||
Okta, Inc.(1) | 11,631 | 1,489,349 | |||||
PayPal Holdings, Inc.(1) | 3,811 | 434,035 | |||||
Repay Holdings Corp.(1) | 3,747 | 63,362 | |||||
SCSK Corp. | 1,400 | 75,075 | |||||
SHIFT, Inc.(1) | 1,200 | 81,455 | |||||
Square, Inc., Class A(1) | 37,600 | 2,808,344 | |||||
Visa, Inc., Class A | 17,251 | 3,432,431 | |||||
18,940,858 | |||||||
Leisure Products† | |||||||
BRP, Inc. | 2,894 | 147,740 | |||||
Callaway Golf Co. | 4,320 | 92,534 | |||||
Games Workshop Group plc | 1,150 | 100,694 | |||||
340,968 | |||||||
Life Sciences Tools and Services — 0.4% | |||||||
Agilent Technologies, Inc. | 5,972 | 493,048 | |||||
Bruker Corp. | 12,383 | 612,587 | |||||
Evotec SE(1) | 2,609 | 70,467 | |||||
Lonza Group AG(1) | 1,472 | 605,244 | |||||
Mettler-Toledo International, Inc.(1) | 660 | 499,739 | |||||
NeoGenomics, Inc.(1) | 3,486 | 112,354 | |||||
PRA Health Sciences, Inc.(1) | 1,287 | 130,386 | |||||
Tecan Group AG | 472 | 133,635 | |||||
2,657,460 | |||||||
Machinery — 0.8% | |||||||
ATS Automation Tooling Systems, Inc.(1) | 3,386 | 52,016 | |||||
Caterpillar, Inc. | 1,963 | 257,840 | |||||
Chart Industries, Inc.(1) | 2,057 | 131,607 | |||||
Cummins, Inc. | 5,935 | 949,422 | |||||
FANUC Corp. | 1,400 | 254,703 | |||||
Georg Fischer AG | 86 | 84,370 | |||||
Graco, Inc. | 6,474 | 344,093 | |||||
Harmonic Drive Systems, Inc. | 1,300 | 58,267 | |||||
IMI plc | 33,013 | 478,793 | |||||
Ingersoll-Rand plc | 8,927 | 1,189,344 | |||||
Kennametal, Inc. | 2,222 | 69,526 | |||||
Kornit Digital Ltd.(1) | 3,120 | 130,354 | |||||
Nabtesco Corp. | 3,200 | 91,332 | |||||
Navistar International Corp.(1) | 2,267 | 83,017 | |||||
PACCAR, Inc. | 6,149 | 456,317 | |||||
Parker-Hannifin Corp. | 4,193 | 820,528 | |||||
RBC Bearings, Inc.(1) | 796 | 123,786 | |||||
Rotork plc | 13,692 | 54,737 | |||||
Valmet Oyj | 2,831 | 61,454 | |||||
Westinghouse Air Brake Technologies Corp. | 7,214 | 532,826 | |||||
6,224,332 |
17
Shares/ Principal Amount | Value | ||||||
Media — 0.2% | |||||||
Atresmedia Corp. de Medios de Comunicacion SA | 18,411 | $ | 62,415 | ||||
Comcast Corp., Class A | 12,775 | 551,752 | |||||
Fox Corp., Class B(1) | 9,238 | 335,617 | |||||
Future plc | 2,815 | 47,507 | |||||
Nippon Television Holdings, Inc. | 20,800 | 280,752 | |||||
Stroeer SE & Co. KGaA | 1,034 | 82,270 | |||||
TV Asahi Holdings Corp. | 7,900 | 150,729 | |||||
1,511,042 | |||||||
Metals and Mining† | |||||||
Saracen Mineral Holdings Ltd.(1) | 18,319 | 48,971 | |||||
Mortgage Real Estate Investment Trusts (REITs)† | |||||||
PennyMac Mortgage Investment Trust | 9,132 | 212,319 | |||||
Multi-Utilities — 0.2% | |||||||
Ameren Corp. | 6,469 | 530,782 | |||||
NorthWestern Corp. | 7,588 | 584,048 | |||||
WEC Energy Group, Inc. | 3,397 | 339,326 | |||||
1,454,156 | |||||||
Multiline Retail — 0.2% | |||||||
Magazine Luiza SA | 45,843 | 597,310 | |||||
Pan Pacific International Holdings Corp. | 23,000 | 370,892 | |||||
Target Corp. | 5,298 | 586,701 | |||||
1,554,903 | |||||||
Oil, Gas and Consumable Fuels — 1.1% | |||||||
Callon Petroleum Co.(1) | 17,832 | 53,496 | |||||
Chevron Corp. | 8,744 | 936,832 | |||||
ConocoPhillips | 27,261 | 1,620,121 | |||||
Devon Energy Corp. | 6,227 | 135,251 | |||||
Eni SpA | 37,022 | 519,270 | |||||
Gazprom PJSC ADR | 45,015 | 315,402 | |||||
Gazprom PJSC | 23,034 | 81,629 | |||||
Gaztransport Et Technigaz SA | 317 | 32,029 | |||||
Gibson Energy, Inc. | 5,279 | 105,947 | |||||
Imperial Oil Ltd. | 11,570 | 274,344 | |||||
Neste Oyj | 13,922 | 553,955 | |||||
Noble Energy, Inc. | 18,397 | 363,709 | |||||
ONEOK, Inc. | 7,483 | 560,252 | |||||
PetroChina Co. Ltd., H Shares | 746,000 | 328,571 | |||||
Phillips 66 | 2,645 | 241,674 | |||||
Saras SpA | 181,216 | 243,361 | |||||
Surgutneftegas PJSC Preference Shares | 934,282 | 526,795 | |||||
TOTAL SA ADR | 28,287 | 1,374,465 | |||||
Valero Energy Corp. | 2,078 | 175,196 | |||||
8,442,299 | |||||||
Paper and Forest Products — 0.2% | |||||||
Boise Cascade Co. | 1,354 | 49,015 | |||||
Canfor Corp.(1) | 9,472 | 85,100 |
18
Shares/ Principal Amount | Value | ||||||
Mondi plc | 56,349 | $ | 1,153,514 | ||||
1,287,629 | |||||||
Personal Products — 0.1% | |||||||
Estee Lauder Cos., Inc. (The), Class A | 945 | 184,426 | |||||
Fancl Corp. | 1,700 | 44,711 | |||||
Inter Parfums, Inc. | 713 | 49,275 | |||||
Ontex Group NV | 9,272 | 167,663 | |||||
Shiseido Co. Ltd. | 6,200 | 400,660 | |||||
846,735 | |||||||
Pharmaceuticals — 1.2% | |||||||
AstraZeneca plc | 6,471 | 632,689 | |||||
Bristol-Myers Squibb Co. | 10,224 | 643,601 | |||||
Catalent, Inc.(1) | 9,303 | 568,413 | |||||
Dechra Pharmaceuticals plc | 1,899 | 71,439 | |||||
GlaxoSmithKline plc | 25,689 | 603,180 | |||||
Horizon Therapeutics plc(1) | 2,306 | 79,534 | |||||
Johnson & Johnson | 11,813 | 1,758,601 | |||||
Merck & Co., Inc. | 10,510 | 897,974 | |||||
MyoKardia, Inc.(1) | 791 | 53,812 | |||||
Novartis AG | 6,252 | 591,404 | |||||
Novo Nordisk A/S, B Shares | 7,006 | 427,685 | |||||
Optinose, Inc.(1) | 2,511 | 19,661 | |||||
Pfizer, Inc. | 29,616 | 1,102,900 | |||||
Reata Pharmaceuticals, Inc., Class A(1) | 209 | 45,727 | |||||
Sanofi | 1,122 | 108,210 | |||||
Sanofi ADR | 13,325 | 643,198 | |||||
Zoetis, Inc. | 2,276 | 305,462 | |||||
8,553,490 | |||||||
Professional Services — 0.8% | |||||||
ASGN, Inc.(1) | 2,154 | 145,804 | |||||
BeNEXT Group, Inc. | 3,500 | 36,077 | |||||
Capita plc(1) | 249,138 | 477,058 | |||||
CoStar Group, Inc.(1) | 443 | 289,275 | |||||
IHS Markit Ltd.(1) | 14,303 | 1,127,935 | |||||
Nihon M&A Center, Inc. | 3,200 | 92,038 | |||||
Recruit Holdings Co. Ltd. | 17,100 | 668,785 | |||||
Robert Half International, Inc. | 4,671 | 271,712 | |||||
Teleperformance | 2,579 | 648,192 | |||||
TriNet Group, Inc.(1) | 1,413 | 80,626 | |||||
UT Group Co. Ltd. | 4,200 | 104,558 | |||||
Verisk Analytics, Inc. | 11,342 | 1,842,735 | |||||
5,784,795 | |||||||
Real Estate Management and Development — 0.6% | |||||||
Altus Group Ltd. | 1,771 | 58,012 | |||||
Aroundtown SA | 21,445 | 203,119 | |||||
Ayala Land, Inc. | 165,690 | 134,636 | |||||
CapitaLand Ltd. | 49,700 | 130,853 |
19
Shares/ Principal Amount | Value | ||||||
CBRE Group, Inc., Class A(1) | 2,995 | $ | 182,845 | ||||
Colliers International Group, Inc. | 1,089 | 88,295 | |||||
Corp. Inmobiliaria Vesta SAB de CV | 89,256 | 162,966 | |||||
Fabege AB | 16,909 | 289,738 | |||||
Fastighets AB Balder, B Shares(1) | 2,829 | 134,199 | |||||
FirstService Corp. | 2,045 | 201,209 | |||||
Longfor Group Holdings Ltd. | 55,500 | 233,883 | |||||
Mitsubishi Estate Co. Ltd. | 23,100 | 452,482 | |||||
Mitsui Fudosan Co. Ltd. | 16,800 | 443,962 | |||||
New World Development Co. Ltd. | 97,000 | 120,950 | |||||
Nexity SA | 1,347 | 65,106 | |||||
Open House Co. Ltd. | 1,900 | 50,732 | |||||
Samhallsbyggnadsbolaget i Norden AB | 34,044 | 83,960 | |||||
Shimao Property Holdings Ltd. | 43,500 | 140,502 | |||||
Shurgard Self Storage SA | 2,582 | 93,901 | |||||
Sun Hung Kai Properties Ltd. | 21,000 | 291,087 | |||||
Times China Holdings Ltd. | 80,000 | 139,833 | |||||
VGP NV | 1,011 | 113,749 | |||||
Vonovia SE | 8,229 | 470,150 | |||||
4,286,169 | |||||||
Road and Rail — 0.3% | |||||||
ArcBest Corp. | 2,827 | 63,070 | |||||
Heartland Express, Inc. | 23,881 | 446,336 | |||||
J.B. Hunt Transport Services, Inc. | 6,193 | 668,411 | |||||
Localiza Rent a Car SA | 29,630 | 367,867 | |||||
Norfolk Southern Corp. | 2,137 | 444,945 | |||||
Sixt SE | 549 | 55,582 | |||||
TFI International, Inc. | 2,846 | 91,139 | |||||
Union Pacific Corp. | 2,032 | 364,581 | |||||
2,501,931 | |||||||
Semiconductors and Semiconductor Equipment — 1.2% | |||||||
Advanced Micro Devices, Inc.(1) | 22,215 | 1,044,105 | |||||
Applied Materials, Inc. | 33,832 | 1,961,918 | |||||
ASML Holding NV | 1,500 | 420,683 | |||||
Broadcom, Inc. | 1,365 | 416,543 | |||||
Entegris, Inc. | 1,032 | 53,416 | |||||
Inphi Corp.(1) | 1,155 | 87,734 | |||||
Intel Corp. | 8,827 | 564,310 | |||||
Lasertec Corp. | 2,100 | 103,807 | |||||
Lattice Semiconductor Corp.(1) | 4,460 | 82,956 | |||||
Marvell Technology Group Ltd. | 15,116 | 363,389 | |||||
Maxim Integrated Products, Inc. | 18,193 | 1,093,763 | |||||
Microchip Technology, Inc. | 3,855 | 375,785 | |||||
Micron Technology, Inc.(1) | 9,312 | 494,374 | |||||
MKS Instruments, Inc. | 495 | 51,886 | |||||
Monolithic Power Systems, Inc. | 426 | 72,919 | |||||
Nova Measuring Instruments Ltd.(1) | 1,829 | 69,575 |
20
Shares/ Principal Amount | Value | ||||||
NVIDIA Corp. | 2,129 | $ | 503,360 | ||||
Power Integrations, Inc. | 866 | 84,582 | |||||
Silicon Laboratories, Inc.(1) | 472 | 46,402 | |||||
SOITEC(1) | 787 | 74,458 | |||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 59,000 | 631,166 | |||||
Texas Instruments, Inc. | 1,877 | 226,460 | |||||
Xilinx, Inc. | 2,076 | 175,381 | |||||
8,998,972 | |||||||
Software — 3.0% | |||||||
Adobe, Inc.(1) | 1,170 | 410,834 | |||||
Atlassian Corp. plc, Class A(1) | 4,788 | 703,836 | |||||
Avalara, Inc.(1) | 995 | 84,714 | |||||
Avast plc | 26,474 | 148,230 | |||||
AVEVA Group plc | 1,394 | 90,408 | |||||
Bottomline Technologies de, Inc.(1) | 1,606 | 86,082 | |||||
Cadence Design Systems, Inc.(1) | 14,066 | 1,014,299 | |||||
Coupa Software, Inc.(1) | 3,593 | 579,012 | |||||
Dassault Systemes SE | 2,560 | 444,304 | |||||
Descartes Systems Group, Inc. (The)(1) | 2,303 | 103,247 | |||||
DocuSign, Inc.(1) | 24,475 | 1,921,532 | |||||
Elastic NV(1) | 559 | 36,268 | |||||
Envestnet, Inc.(1) | 2,335 | 184,161 | |||||
Fair Isaac Corp.(1) | 166 | 66,795 | |||||
Five9, Inc.(1) | 1,998 | 143,316 | |||||
Globant SA(1) | 900 | 110,430 | |||||
Microsoft Corp. | 21,732 | 3,699,438 | |||||
Model N, Inc.(1) | 2,900 | 90,451 | |||||
Palo Alto Networks, Inc.(1) | 2,692 | 632,028 | |||||
Paycom Software, Inc.(1) | 2,664 | 847,578 | |||||
Paylocity Holding Corp.(1) | 958 | 135,931 | |||||
Proofpoint, Inc.(1) | 5,128 | 629,770 | |||||
Rapid7, Inc.(1) | 2,677 | 158,960 | |||||
RingCentral, Inc., Class A(1) | 12,510 | 2,571,806 | |||||
salesforce.com, Inc.(1) | 21,900 | 3,992,589 | |||||
Slack Technologies, Inc., Class A(1) | 23,930 | 496,069 | |||||
Splunk, Inc.(1) | 14,045 | 2,180,627 | |||||
TeamViewer AG(1) | 2,218 | 79,434 | |||||
Temenos AG(1) | 2,159 | 347,504 | |||||
21,989,653 | |||||||
Specialty Retail — 0.8% | |||||||
Advance Auto Parts, Inc. | 5,257 | 692,610 | |||||
Best Buy Co., Inc. | 943 | 79,863 | |||||
Boot Barn Holdings, Inc.(1) | 3,065 | 128,638 | |||||
Burlington Stores, Inc.(1) | 4,167 | 906,197 | |||||
Five Below, Inc.(1) | 5,744 | 650,336 | |||||
Floor & Decor Holdings, Inc., Class A(1) | 11,460 | 565,093 | |||||
Home Depot, Inc. (The) | 4,426 | 1,009,570 |
21
Shares/ Principal Amount | Value | ||||||
JD Sports Fashion plc | 9,538 | $ | 103,832 | ||||
Kingfisher plc | 289,687 | 784,251 | |||||
National Vision Holdings, Inc.(1) | 3,203 | 109,286 | |||||
Ross Stores, Inc. | 4,163 | 467,047 | |||||
TJX Cos., Inc. (The) | 9,751 | 575,699 | |||||
6,072,422 | |||||||
Technology Hardware, Storage and Peripherals — 0.4% | |||||||
Apple, Inc. | 8,758 | 2,710,689 | |||||
HP, Inc. | 17,019 | 362,845 | |||||
3,073,534 | |||||||
Textiles, Apparel and Luxury Goods — 0.5% | |||||||
ANTA Sports Products Ltd. | 31,000 | 267,794 | |||||
Burberry Group plc | 14,221 | 365,230 | |||||
Canada Goose Holdings, Inc.(1) | 10,749 | 322,470 | |||||
Crocs, Inc.(1) | 2,767 | 104,897 | |||||
lululemon athletica, Inc.(1) | 2,229 | 533,600 | |||||
NIKE, Inc., Class B | 17,306 | 1,666,568 | |||||
Puma SE | 5,605 | 450,311 | |||||
VF Corp. | 3,420 | 283,757 | |||||
3,994,627 | |||||||
Thrifts and Mortgage Finance — 0.1% | |||||||
Aruhi Corp. | 4,800 | 78,200 | |||||
Capitol Federal Financial, Inc. | 33,431 | 440,621 | |||||
NMI Holdings, Inc., Class A(1) | 3,732 | 119,125 | |||||
637,946 | |||||||
Trading Companies and Distributors — 0.3% | |||||||
AerCap Holdings NV(1) | 5,778 | 327,093 | |||||
Applied Industrial Technologies, Inc. | 1,320 | 85,232 | |||||
Diploma plc | 2,790 | 71,710 | |||||
Grafton Group plc | 9,186 | 111,944 | |||||
IMCD NV | 970 | 83,655 | |||||
MonotaRO Co. Ltd. | 14,100 | 341,754 | |||||
MSC Industrial Direct Co., Inc., Class A | 6,617 | 450,419 | |||||
Seven Group Holdings Ltd. | 11,049 | 146,989 | |||||
SiteOne Landscape Supply, Inc.(1) | 937 | 90,467 | |||||
Univar Solutions, Inc.(1) | 18,039 | 388,741 | |||||
Yamazen Corp. | 6,700 | 61,979 | |||||
2,159,983 | |||||||
Water Utilities† | |||||||
SJW Group | 779 | 57,140 | |||||
Wireless Telecommunication Services† | |||||||
Rogers Communications, Inc., Class B | 6,246 | 312,725 | |||||
TOTAL COMMON STOCKS (Cost $238,826,347) | 317,154,942 | ||||||
AFFILIATED FUNDS(2) — 36.5% | |||||||
American Century Diversified Corporate Bond ETF | 288,278 | 14,984,690 | |||||
American Century Quality Diversified International ETF | 771,128 | 31,500,579 |
22
Shares/ Principal Amount | Value | ||||||
American Century STOXX U.S. Quality Growth ETF | 1,024,537 | $ | 46,170,043 | ||||
American Century STOXX U.S. Quality Value ETF | 921,346 | 38,642,817 | |||||
Avantis Emerging Markets Equity ETF | 750,666 | 38,614,259 | |||||
Avantis International Equity ETF | 564,074 | 29,544,730 | |||||
Avantis International Small Cap Value ETF | 174,400 | 9,159,488 | |||||
Avantis U.S. Equity ETF | 965,233 | 52,161,191 | |||||
Avantis U.S. Small Cap Value ETF | 212,104 | 10,501,375 | |||||
TOTAL AFFILIATED FUNDS (Cost $261,719,491) | 271,279,172 | ||||||
CORPORATE BONDS — 5.5% | |||||||
Aerospace and Defense — 0.1% | |||||||
Arconic, Inc., 5.40%, 4/15/21 | $ | 45,000 | 46,302 | ||||
Arconic, Inc., 5.125%, 10/1/24 | 160,000 | 172,875 | |||||
Bombardier, Inc., 8.75%, 12/1/21(3) | 25,000 | 26,806 | |||||
Bombardier, Inc., 5.75%, 3/15/22(3) | 125,000 | 124,910 | |||||
Bombardier, Inc., 6.00%, 10/15/22(3) | 30,000 | 29,475 | |||||
TransDigm, Inc., 6.375%, 6/15/26 | 50,000 | 52,780 | |||||
United Technologies Corp., 6.05%, 6/1/36 | 66,000 | 92,421 | |||||
545,569 | |||||||
Air Freight and Logistics† | |||||||
XPO Logistics, Inc., 6.50%, 6/15/22(3) | 30,000 | 30,578 | |||||
Airlines† | |||||||
American Airlines Group, Inc., 4.625%, 3/1/20(3) | 125,000 | 125,281 | |||||
United Airlines Holdings, Inc., 5.00%, 2/1/24 | 140,000 | 148,925 | |||||
274,206 | |||||||
Auto Components† | |||||||
American Axle & Manufacturing, Inc., 6.625%, 10/15/22 | 15,000 | 15,230 | |||||
ZF North America Capital, Inc., 4.75%, 4/29/25(3) | 110,000 | 118,022 | |||||
133,252 | |||||||
Automobiles — 0.1% | |||||||
Ford Motor Credit Co. LLC, 5.875%, 8/2/21 | 330,000 | 346,539 | |||||
General Motors Co., 5.15%, 4/1/38 | 60,000 | 64,006 | |||||
General Motors Financial Co., Inc., 3.20%, 7/6/21 | 130,000 | 132,083 | |||||
542,628 | |||||||
Banks — 0.7% | |||||||
Akbank T.A.S., 5.00%, 10/24/22 | 70,000 | 72,296 | |||||
Avi Funding Co. Ltd., 3.80%, 9/16/25(3) | 143,000 | 153,124 | |||||
Banco Santander SA, MTN, 2.50%, 3/18/25 | EUR | 100,000 | 120,819 | ||||
Banistmo SA, 3.65%, 9/19/22 | $ | 150,000 | 153,798 | ||||
Bank of America Corp., MTN, 2.30%, 7/25/25 | GBP | 100,000 | 138,274 | ||||
Bank of America Corp., MTN, 5.00%, 1/21/44 | $ | 55,000 | 73,495 | ||||
Bank of America Corp., MTN, VRN, 4.44%, 1/20/48 | 20,000 | 25,201 | |||||
Bank of America Corp., VRN, 3.42%, 12/20/28 | 13,000 | 13,981 | |||||
Bank of Montreal, MTN, 3.30%, 2/5/24 | 205,000 | 216,401 | |||||
Barclays Bank plc, MTN, 6.625%, 3/30/22 | EUR | 50,000 | 63,071 | ||||
BPCE SA, VRN, 2.75%, 7/8/26 | EUR | 100,000 | 114,921 | ||||
CaixaBank SA, MTN, VRN, 2.75%, 7/14/28 | EUR | 100,000 | 117,714 |
23
Shares/ Principal Amount | Value | ||||||
CIT Group, Inc., 5.00%, 8/15/22 | $ | 160,000 | $ | 170,399 | |||
CIT Group, Inc., 5.00%, 8/1/23 | 50,000 | 53,729 | |||||
Citigroup, Inc., 2.75%, 4/25/22 | 110,000 | 112,051 | |||||
Citigroup, Inc., VRN, 3.52%, 10/27/28 | 140,000 | 150,796 | |||||
Co-Operative Bank plc (The), 4.75%, 11/11/21 (Secured) | GBP | 100,000 | 138,719 | ||||
Cooperatieve Rabobank UA, VRN, 2.50%, 5/26/26 | EUR | 100,000 | 114,320 | ||||
Credit Agricole SA, MTN, 7.375%, 12/18/23 | GBP | 50,000 | 80,709 | ||||
European Financial Stability Facility, MTN, 2.125%, 2/19/24 | EUR | 93,000 | 114,039 | ||||
European Investment Bank, MTN, 2.25%, 10/14/22 | EUR | 130,000 | 155,248 | ||||
Fifth Third BanCorp., 4.30%, 1/16/24 | $ | 40,000 | 43,320 | ||||
HSBC Holdings plc, 2.95%, 5/25/21 | 200,000 | 202,997 | |||||
HSBC Holdings plc, 4.375%, 11/23/26 | 200,000 | 220,809 | |||||
Intercorp Financial Services, Inc., 4.125%, 10/19/27(3) | 170,000 | 178,049 | |||||
JPMorgan Chase & Co., 3.875%, 9/10/24 | 405,000 | 437,930 | |||||
JPMorgan Chase & Co., 3.125%, 1/23/25 | 110,000 | 116,208 | |||||
JPMorgan Chase & Co., VRN, 3.96%, 11/15/48 | 50,000 | 59,320 | |||||
JPMorgan Chase & Co., VRN, 3.90%, 1/23/49 | 20,000 | 23,468 | |||||
KEB Hana Bank, MTN, 4.375%, 9/30/24 | 114,000 | 122,865 | |||||
Kreditanstalt fuer Wiederaufbau, 4.625%, 1/4/23 | EUR | 75,000 | 95,926 | ||||
Lloyds Bank plc, MTN, 7.625%, 4/22/25 | GBP | 20,000 | 34,027 | ||||
PNC Bank N.A., VRN, 2.03%, 12/9/22 | $ | 250,000 | 251,349 | ||||
Royal Bank of Scotland Group plc, 6.125%, 12/15/22 | 55,000 | 60,306 | |||||
U.S. Bancorp, MTN, 3.60%, 9/11/24 | 110,000 | 118,581 | |||||
Wells Fargo & Co., 4.125%, 8/15/23 | 100,000 | 107,307 | |||||
Wells Fargo & Co., 3.00%, 4/22/26 | 140,000 | 146,905 | |||||
Wells Fargo & Co., MTN, 2.60%, 7/22/20 | 225,000 | 225,859 | |||||
Wells Fargo & Co., MTN, 4.65%, 11/4/44 | 36,000 | 43,624 | |||||
Westpac Banking Corp., VRN, 1.85%, (Daily EFFR plus 0.38%), 2/14/20 | 500,000 | 500,018 | |||||
Woori Bank, MTN, 4.75%, 4/30/24 | 86,000 | 93,366 | |||||
5,435,339 | |||||||
Beverages† | |||||||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc., 4.90%, 2/1/46 | 130,000 | 162,637 | |||||
Biotechnology — 0.1% | |||||||
AbbVie, Inc., 3.60%, 5/14/25 | 20,000 | 21,386 | |||||
AbbVie, Inc., 4.40%, 11/6/42 | 80,000 | 90,721 | |||||
Amgen, Inc., 4.66%, 6/15/51 | 80,000 | 97,139 | |||||
Gilead Sciences, Inc., 4.40%, 12/1/21 | 40,000 | 41,747 | |||||
Gilead Sciences, Inc., 3.65%, 3/1/26 | 230,000 | 250,095 | |||||
501,088 | |||||||
Building Products† | |||||||
Builders FirstSource, Inc., 5.625%, 9/1/24(3) | 87,000 | 90,661 | |||||
Standard Industries, Inc., 6.00%, 10/15/25(3) | 100,000 | 104,624 | |||||
195,285 | |||||||
Capital Markets — 0.2% | |||||||
Credit Suisse Group AG, VRN, 2.125%, 9/12/25 | GBP | 100,000 | 135,299 |
24
Shares/ Principal Amount | Value | ||||||
Goldman Sachs Group, Inc. (The), 5.50%, 10/12/21 | GBP | 50,000 | $ | 70,818 | |||
Goldman Sachs Group, Inc. (The), 3.50%, 11/16/26 | $ | 195,000 | 208,205 | ||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 5.875%, 2/1/22 | 80,000 | 80,000 | |||||
MDGH - GMTN B.V., 3.25%, 4/28/22(3) | 57,000 | 58,374 | |||||
Morgan Stanley, MTN, 3.70%, 10/23/24 | 270,000 | 291,304 | |||||
Morgan Stanley, MTN, 4.00%, 7/23/25 | 200,000 | 219,908 | |||||
Morgan Stanley, MTN, VRN, 2.70%, 1/22/31 | 150,000 | 152,779 | |||||
SURA Asset Management SA, 4.375%, 4/11/27 | 55,000 | 59,557 | |||||
1,276,244 | |||||||
Chemicals — 0.1% | |||||||
CF Industries, Inc., 3.45%, 6/1/23 | 95,000 | 97,849 | |||||
Element Solutions, Inc., 5.875%, 12/1/25(3) | 80,000 | 82,889 | |||||
Equate Petrochemical BV, 4.25%, 11/3/26(3) | 46,000 | 49,701 | |||||
Huntsman International LLC, 5.125%, 11/15/22 | 85,000 | 90,903 | |||||
Olin Corp., 5.125%, 9/15/27 | 70,000 | 73,115 | |||||
Tronox Finance plc, 5.75%, 10/1/25(3) | 30,000 | 29,712 | |||||
424,169 | |||||||
Commercial Services and Supplies — 0.1% | |||||||
ADT Security Corp. (The), 6.25%, 10/15/21 | 100,000 | 106,018 | |||||
Nielsen Finance LLC / Nielsen Finance Co., 5.00%, 4/15/22(3) | 60,000 | 60,407 | |||||
Prime Security Services Borrower LLC / Prime Finance, Inc., 9.25%, 5/15/23(3) | 64,000 | 67,160 | |||||
Republic Services, Inc., 3.55%, 6/1/22 | 100,000 | 103,666 | |||||
RR Donnelley & Sons Co., 6.00%, 4/1/24 | 90,000 | 92,062 | |||||
429,313 | |||||||
Communications Equipment† | |||||||
CommScope Technologies LLC, 6.00%, 6/15/25(3) | 85,000 | 81,335 | |||||
Construction Materials† | |||||||
Cemex SAB de CV, 6.125%, 5/5/25 | 115,000 | 118,978 | |||||
Consumer Finance — 0.1% | |||||||
Ally Financial, Inc., 8.00%, 11/1/31 | 70,000 | 98,868 | |||||
Capital One Financial Corp., 3.80%, 1/31/28 | 180,000 | 196,283 | |||||
Navient Corp., 5.00%, 10/26/20 | 65,000 | 65,985 | |||||
Navient Corp., 5.50%, 1/25/23 | 220,000 | 230,450 | |||||
Park Aerospace Holdings Ltd., 5.25%, 8/15/22(3) | 90,000 | 96,528 | |||||
688,114 | |||||||
Containers and Packaging — 0.1% | |||||||
Ball Corp., 5.00%, 3/15/22 | 40,000 | 42,321 | |||||
Ball Corp., 5.25%, 7/1/25 | 35,000 | 39,273 | |||||
Berry Global, Inc., 5.50%, 5/15/22 | 85,000 | 85,849 | |||||
Berry Global, Inc., 5.125%, 7/15/23 | 60,000 | 61,201 | |||||
Crown Americas LLC / Crown Americas Capital Corp. IV, 4.50%, 1/15/23 | 190,000 | 200,245 | |||||
Mauser Packaging Solutions Holding Co., 5.50%, 4/15/24(3) | 40,000 | 41,318 | |||||
Owens-Brockway Glass Container, Inc., 5.875%, 8/15/23(3) | 40,000 | 42,833 | |||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 5.125%, 7/15/23(3) | 100,000 | 102,584 |
25
Shares/ Principal Amount | Value | ||||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 7.00%, 7/15/24(3) | $ | 200,000 | $ | 206,875 | |||
Sealed Air Corp., 5.125%, 12/1/24(3) | 105,000 | 113,663 | |||||
936,162 | |||||||
Diversified Financial Services — 0.1% | |||||||
Berkshire Hathaway, Inc., 2.75%, 3/15/23 | 30,000 | 31,039 | |||||
Fiore Capital LLC, VRDN, 1.60%, 2/7/20 (LOC: Wells Fargo Bank N.A.) | 450,000 | 450,000 | |||||
Voya Financial, Inc., 5.70%, 7/15/43 | 50,000 | 68,367 | |||||
Voya Financial, Inc., VRN, 5.65%, 5/15/53 | 75,000 | 79,819 | |||||
629,225 | |||||||
Diversified Telecommunication Services — 0.2% | |||||||
Altice France SA, 7.375%, 5/1/26(3) | 140,000 | 149,191 | |||||
AT&T, Inc., 3.40%, 5/15/25 | 70,000 | 74,370 | |||||
AT&T, Inc., 2.95%, 7/15/26 | 80,000 | 83,268 | |||||
AT&T, Inc., 3.80%, 2/15/27 | 60,000 | 65,502 | |||||
AT&T, Inc., 4.10%, 2/15/28 | 30,000 | 33,260 | |||||
AT&T, Inc., 5.15%, 11/15/46 | 91,000 | 111,297 | |||||
CenturyLink, Inc., 5.625%, 4/1/20 | 170,000 | 170,840 | |||||
CenturyLink, Inc., 5.80%, 3/15/22 | 90,000 | 95,023 | |||||
Frontier Communications Corp., 11.00%, 9/15/25 | 10,000 | 4,650 | |||||
Hughes Satellite Systems Corp., 5.25%, 8/1/26 | 100,000 | 108,775 | |||||
Inmarsat Finance plc, 4.875%, 5/15/22(3) | 50,000 | 50,719 | |||||
Level 3 Financing, Inc., 5.375%, 8/15/22 | 134,000 | 134,569 | |||||
Level 3 Financing, Inc., 5.375%, 5/1/25 | 55,000 | 56,902 | |||||
Ooredoo International Finance Ltd., 3.75%, 6/22/26(3) | 86,000 | 91,410 | |||||
Orange SA, 4.125%, 9/14/21 | 70,000 | 72,852 | |||||
Telefonica Emisiones SA, 5.46%, 2/16/21 | 10,000 | 10,372 | |||||
Turk Telekomunikasyon AS, 4.875%, 6/19/24(3) | 115,000 | 118,112 | |||||
Verizon Communications, Inc., 4.75%, 11/1/41 | 40,000 | 50,007 | |||||
Verizon Communications, Inc., 5.01%, 8/21/54 | 30,000 | 40,830 | |||||
Zayo Group LLC / Zayo Capital, Inc., 6.00%, 4/1/23 | 140,000 | 143,267 | |||||
1,665,216 | |||||||
Electric Utilities — 0.1% | |||||||
Berkshire Hathaway Energy Co., 3.50%, 2/1/25 | 50,000 | 53,604 | |||||
Berkshire Hathaway Energy Co., 3.80%, 7/15/48 | 40,000 | 45,007 | |||||
Duke Energy Florida LLC, 6.35%, 9/15/37 | 51,000 | 75,452 | |||||
Duke Energy Florida LLC, 3.85%, 11/15/42 | 40,000 | 45,352 | |||||
Duke Energy Progress LLC, 4.15%, 12/1/44 | 40,000 | 47,454 | |||||
Exelon Corp., 4.45%, 4/15/46 | 20,000 | 23,588 | |||||
Exelon Generation Co. LLC, 4.25%, 6/15/22 | 40,000 | 41,977 | |||||
FirstEnergy Corp., 4.25%, 3/15/23 | 70,000 | 74,620 | |||||
FirstEnergy Corp., 4.85%, 7/15/47 | 20,000 | 24,738 | |||||
Florida Power & Light Co., 3.95%, 3/1/48 | 30,000 | 35,698 | |||||
Georgia Power Co., 4.30%, 3/15/42 | 30,000 | 34,772 | |||||
Greenko Investment Co., 4.875%, 8/16/23(3) | 57,000 | 57,098 | |||||
Israel Electric Corp. Ltd., 6.875%, 6/21/23(3) | 57,000 | 64,965 | |||||
MidAmerican Energy Co., 4.40%, 10/15/44 | 60,000 | 73,877 |
26
Shares/ Principal Amount | Value | ||||||
Pampa Energia SA, 7.50%, 1/24/27 | $ | 114,000 | $ | 99,408 | |||
Progress Energy, Inc., 3.15%, 4/1/22 | 40,000 | 40,932 | |||||
Southern Co. Gas Capital Corp., 3.95%, 10/1/46 | 20,000 | 21,872 | |||||
Southwestern Public Service Co., 3.70%, 8/15/47 | 20,000 | 22,613 | |||||
Talen Energy Supply LLC, 6.50%, 6/1/25 | 95,000 | 74,377 | |||||
Xcel Energy, Inc., 3.35%, 12/1/26 | 30,000 | 32,274 | |||||
989,678 | |||||||
Energy Equipment and Services† | |||||||
Precision Drilling Corp., 5.25%, 11/15/24 | 105,000 | 94,063 | |||||
Entertainment† | |||||||
AMC Entertainment Holdings, Inc., 5.75%, 6/15/25 | 100,000 | 89,092 | |||||
Cinemark USA, Inc., 5.125%, 12/15/22 | 55,000 | 55,705 | |||||
Walt Disney Co. (The), 4.75%, 9/15/44 | 30,000 | 38,764 | |||||
183,561 | |||||||
Equity Real Estate Investment Trusts (REITs) — 0.1% | |||||||
Boston Properties LP, 3.65%, 2/1/26 | 70,000 | 75,949 | |||||
Equinix, Inc., 5.375%, 5/15/27 | 90,000 | 97,708 | |||||
Essex Portfolio LP, 3.25%, 5/1/23 | 20,000 | 20,779 | |||||
GLP Capital LP / GLP Financing II, Inc., 5.375%, 11/1/23 | 70,000 | 77,067 | |||||
Iron Mountain, Inc., 5.75%, 8/15/24 | 125,000 | 126,405 | |||||
Iron Mountain, Inc., 4.875%, 9/15/27(3) | 100,000 | 103,232 | |||||
Kilroy Realty LP, 3.80%, 1/15/23 | 60,000 | 62,826 | |||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 5.625%, 5/1/24 | 90,000 | 98,359 | |||||
SBA Communications Corp., 4.875%, 7/15/22 | 125,000 | 126,810 | |||||
Service Properties Trust, 4.65%, 3/15/24 | 80,000 | 84,335 | |||||
873,470 | |||||||
Food and Staples Retailing† | |||||||
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 6.625%, 6/15/24 | 150,000 | 156,374 | |||||
Kroger Co. (The), 3.875%, 10/15/46 | 30,000 | 30,544 | |||||
Walmart, Inc., 2.55%, 4/11/23 | 4,000 | 4,117 | |||||
191,035 | |||||||
Food Products — 0.1% | |||||||
B&G Foods, Inc., 5.25%, 4/1/25 | 80,000 | 81,837 | |||||
JBS USA LUX SA / JBS USA Finance, Inc., 5.875%, 7/15/24(3) | 60,000 | 61,575 | |||||
JBS USA LUX SA / JBS USA Finance, Inc., 5.75%, 6/15/25(3) | 80,000 | 83,073 | |||||
Lamb Weston Holdings, Inc., 4.625%, 11/1/24(3) | 90,000 | 94,688 | |||||
MHP SE, 7.75%, 5/10/24(3) | 71,000 | 76,653 | |||||
Minerva Luxembourg SA, 5.875%, 1/19/28(3) | 40,000 | 42,226 | |||||
Pilgrim's Pride Corp., 5.75%, 3/15/25(3) | 280,000 | 288,284 | |||||
Post Holdings, Inc., 5.00%, 8/15/26(3) | 200,000 | 206,870 | |||||
935,206 | |||||||
Gas Utilities† | |||||||
China Resources Gas Group Ltd., MTN, 4.50%, 4/5/22 | 143,000 | 149,607 | |||||
Perusahaan Gas Negara Tbk PT, 5.125%, 5/16/24 | 114,000 | 124,550 | |||||
274,157 |
27
Shares/ Principal Amount | Value | ||||||
Health Care Equipment and Supplies† | |||||||
Medtronic, Inc., 3.50%, 3/15/25 | $ | 58,000 | $ | 62,854 | |||
Medtronic, Inc., 4.375%, 3/15/35 | 36,000 | 44,646 | |||||
Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA, 6.625%, 5/15/22(3) | 12,000 | 11,985 | |||||
119,485 | |||||||
Health Care Providers and Services — 0.4% | |||||||
Acadia Healthcare Co., Inc., 5.125%, 7/1/22 | 25,000 | 25,102 | |||||
Acadia Healthcare Co., Inc., 5.625%, 2/15/23 | 70,000 | 71,079 | |||||
Aetna, Inc., 2.75%, 11/15/22 | 60,000 | 61,256 | |||||
Anthem, Inc., 4.65%, 1/15/43 | 40,000 | 46,271 | |||||
CHS / Community Health Systems, Inc., 6.25%, 3/31/23 | 100,000 | 102,250 | |||||
CHS / Community Health Systems, Inc., 8.125%, 6/30/24(3) | 55,000 | 49,554 | |||||
CHS / Community Health Systems, Inc., 8.00%, 12/15/27(3) | 17,000 | 17,616 | |||||
CHS / Community Health Systems, Inc., 6.875%, 4/1/28(3) | 42,000 | 25,830 | |||||
CHS / Community Health Systems, Inc., VRN, 9.875%, 6/30/23(3) | 150,000 | 141,437 | |||||
CommonSpirit Health, 2.95%, 11/1/22 | 40,000 | 41,050 | |||||
CVS Health Corp., 3.50%, 7/20/22 | 50,000 | 51,816 | |||||
CVS Health Corp., 4.30%, 3/25/28 | 120,000 | 133,228 | |||||
CVS Health Corp., 4.78%, 3/25/38 | 40,000 | 46,787 | |||||
CVS Health Corp., 5.05%, 3/25/48 | 60,000 | 72,597 | |||||
DaVita, Inc., 5.125%, 7/15/24 | 107,000 | 109,631 | |||||
DaVita, Inc., 5.00%, 5/1/25 | 155,000 | 159,198 | |||||
Encompass Health Corp., 5.75%, 11/1/24 | 32,000 | 32,458 | |||||
Envision Healthcare Corp., 8.75%, 10/15/26(3) | 200,000 | 121,170 | |||||
HCA, Inc., 7.50%, 2/15/22 | 215,000 | 236,386 | |||||
HCA, Inc., 5.00%, 3/15/24 | 110,000 | 121,914 | |||||
HCA, Inc., 5.375%, 2/1/25 | 220,000 | 246,331 | |||||
HCA, Inc., 4.50%, 2/15/27 | 70,000 | 77,003 | |||||
Team Health Holdings, Inc., 6.375%, 2/1/25(3) | 45,000 | 26,570 | |||||
Tenet Healthcare Corp., 8.125%, 4/1/22 | 230,000 | 251,694 | |||||
Tenet Healthcare Corp., 6.75%, 6/15/23 | 50,000 | 54,479 | |||||
Tenet Healthcare Corp., 5.125%, 5/1/25 | 150,000 | 153,000 | |||||
UnitedHealth Group, Inc., 2.875%, 3/15/22 | 80,000 | 81,766 | |||||
UnitedHealth Group, Inc., 3.75%, 7/15/25 | 80,000 | 87,592 | |||||
UnitedHealth Group, Inc., 4.75%, 7/15/45 | 50,000 | 62,822 | |||||
2,707,887 | |||||||
Hotels, Restaurants and Leisure — 0.3% | |||||||
1011778 BC ULC / New Red Finance, Inc., 5.00%, 10/15/25(3) | 130,000 | 134,261 | |||||
Boyd Gaming Corp., 6.375%, 4/1/26 | 75,000 | 79,883 | |||||
Eldorado Resorts, Inc., 7.00%, 8/1/23 | 160,000 | 165,899 | |||||
Golden Nugget, Inc., 6.75%, 10/15/24(3) | 140,000 | 144,227 | |||||
Hilton Domestic Operating Co., Inc., 4.25%, 9/1/24 | 150,000 | 152,687 | |||||
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp., 4.625%, 4/1/25 | 90,000 | 92,287 | |||||
International Game Technology plc, 6.25%, 2/15/22(3) | 170,000 | 178,378 | |||||
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC, 5.25%, 6/1/26(3) | 45,000 | 47,251 |
28
Shares/ Principal Amount | Value | ||||||
McDonald's Corp., MTN, 3.375%, 5/26/25 | $ | 30,000 | $ | 32,149 | |||
McDonald's Corp., MTN, 4.70%, 12/9/35 | 20,000 | 24,859 | |||||
McDonald's Corp., MTN, 4.45%, 3/1/47 | 70,000 | 83,615 | |||||
MGM Resorts International, 6.00%, 3/15/23 | 135,000 | 148,403 | |||||
MGM Resorts International, 4.625%, 9/1/26 | 50,000 | 52,571 | |||||
Penn National Gaming, Inc., 5.625%, 1/15/27(3) | 175,000 | 184,179 | |||||
Royal Caribbean Cruises Ltd., 5.25%, 11/15/22 | 30,000 | 32,565 | |||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.50%, 3/1/25(3) | 235,000 | 245,573 | |||||
Yum! Brands, Inc., 3.75%, 11/1/21 | 50,000 | 51,295 | |||||
1,850,082 | |||||||
Household Durables — 0.1% | |||||||
Beazer Homes USA, Inc., 5.875%, 10/15/27 | 90,000 | 93,602 | |||||
Brookfield Residential Properties, Inc. / Brookfield Residential US Corp., 6.125%, 7/1/22(3) | 50,000 | 50,812 | |||||
Meritage Homes Corp., 5.125%, 6/6/27 | 190,000 | 204,791 | |||||
PulteGroup, Inc., 5.50%, 3/1/26 | 100,000 | 111,982 | |||||
Shea Homes LP / Shea Homes Funding Corp., 5.875%, 4/1/23(3) | 60,000 | 61,225 | |||||
Toll Brothers Finance Corp., 4.35%, 2/15/28 | 50,000 | 52,768 | |||||
William Lyon Homes, Inc., 5.875%, 1/31/25 | 115,000 | 118,785 | |||||
693,965 | |||||||
Household Products† | |||||||
Energizer Holdings, Inc., 5.50%, 6/15/25(3) | 65,000 | 67,248 | |||||
Spectrum Brands, Inc., 5.75%, 7/15/25 | 40,000 | 41,650 | |||||
108,898 | |||||||
Independent Power and Renewable Electricity Producers† | |||||||
Listrindo Capital BV, 4.95%, 9/14/26 | 57,000 | 58,847 | |||||
NRG Energy, Inc., 7.25%, 5/15/26 | 75,000 | 81,328 | |||||
140,175 | |||||||
Industrial Conglomerates† | |||||||
CK Hutchison International 17 II Ltd., 2.25%, 9/29/20(3) | 229,000 | 229,273 | |||||
Insurance — 0.2% | |||||||
Allianz SE, MTN, VRN, 4.75%, 10/24/23 | EUR | 100,000 | 126,992 | ||||
American International Group, Inc., 4.125%, 2/15/24 | $ | 110,000 | 119,325 | ||||
American International Group, Inc., 4.50%, 7/16/44 | 40,000 | 47,743 | |||||
Assicurazioni Generali SpA, MTN, VRN, 4.60%, 11/21/25 | EUR | 100,000 | 125,000 | ||||
AXA SA, 7.125%, 12/15/20 | GBP | 20,000 | 27,741 | ||||
Berkshire Hathaway Finance Corp., 3.00%, 5/15/22 | $ | 78,000 | 80,543 | ||||
Chubb INA Holdings, Inc., 3.15%, 3/15/25 | 70,000 | 74,874 | |||||
Chubb INA Holdings, Inc., 3.35%, 5/3/26 | 30,000 | 32,496 | |||||
CNP Assurances, VRN, 4.00%, 11/18/24 | EUR | 100,000 | 124,965 | ||||
Genworth Holdings, Inc., 7.625%, 9/24/21 | $ | 35,000 | 37,004 | ||||
Hartford Financial Services Group, Inc. (The), 5.95%, 10/15/36 | 20,000 | 27,256 | |||||
Hartford Financial Services Group, Inc. (The), 3.60%, 8/19/49 | 29,000 | 31,563 | |||||
Intesa Sanpaolo Vita SpA, VRN, 4.75%, 12/17/24 | EUR | 100,000 | 124,300 | ||||
Markel Corp., 4.90%, 7/1/22 | $ | 70,000 | $ | 74,922 |
29
Shares/ Principal Amount | Value | ||||||
MetLife, Inc., 4.125%, 8/13/42 | $ | 30,000 | $ | 35,750 | |||
MetLife, Inc., 4.875%, 11/13/43 | 30,000 | 39,172 | |||||
Prudential Financial, Inc., 3.94%, 12/7/49 | 25,000 | 28,117 | |||||
WR Berkley Corp., 4.625%, 3/15/22 | 40,000 | 42,311 | |||||
1,200,074 | |||||||
Interactive Media and Services† | |||||||
Rackspace Hosting, Inc., 8.625%, 11/15/24(3) | 90,000 | 89,325 | |||||
Tencent Holdings Ltd., 3.80%, 2/11/25(3) | 86,000 | 92,661 | |||||
181,986 | |||||||
Internet and Direct Marketing Retail — 0.1% | |||||||
Alibaba Group Holding Ltd., 2.80%, 6/6/23 | 200,000 | 204,495 | |||||
JD.com, Inc., 3.875%, 4/29/26 | 143,000 | 153,184 | |||||
Prosus NV, 6.00%, 7/18/20 | 86,000 | 87,346 | |||||
445,025 | |||||||
IT Services† | |||||||
CDW LLC / CDW Finance Corp., 5.50%, 12/1/24 | 90,000 | 100,650 | |||||
Fidelity National Information Services, Inc., 3.00%, 8/15/26 | 65,000 | 68,434 | |||||
169,084 | |||||||
Media — 0.4% | |||||||
Altice Financing SA, 6.625%, 2/15/23(3) | 260,000 | 265,092 | |||||
Cablevision Systems Corp., 5.875%, 9/15/22 | 125,000 | 134,598 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.75%, 2/15/26(3) | 150,000 | 157,678 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.125%, 5/1/27(3) | 60,000 | 62,811 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 4.91%, 7/23/25 | 70,000 | 78,389 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 6.48%, 10/23/45 | 50,000 | 64,956 | |||||
Comcast Corp., 6.40%, 5/15/38 | 100,000 | 146,629 | |||||
Comcast Corp., 4.75%, 3/1/44 | 30,000 | 38,214 | |||||
CSC Holdings LLC, 5.375%, 7/15/23(3) | 100,000 | 102,339 | |||||
CSC Holdings LLC, 6.625%, 10/15/25(3) | 100,000 | 105,824 | |||||
CSC Holdings LLC, 5.50%, 5/15/26(3) | 50,000 | 52,501 | |||||
DISH DBS Corp., 6.75%, 6/1/21 | 100,000 | 105,182 | |||||
DISH DBS Corp., 5.00%, 3/15/23 | 130,000 | 132,276 | |||||
Gray Television, Inc., 5.125%, 10/15/24(3) | 100,000 | 103,459 | |||||
Gray Television, Inc., 5.875%, 7/15/26(3) | 175,000 | 183,417 | |||||
Interpublic Group of Cos., Inc. (The), 4.00%, 3/15/22 | 6,000 | 6,229 | |||||
Lamar Media Corp., 5.00%, 5/1/23 | 90,000 | 91,912 | |||||
Lamar Media Corp., 5.375%, 1/15/24 | 30,000 | 30,626 | |||||
Nexstar Broadcasting, Inc., 5.625%, 8/1/24(3) | 140,000 | 145,892 | |||||
Sinclair Television Group, Inc., 5.625%, 8/1/24(3) | 120,000 | 123,700 | |||||
Sirius XM Radio, Inc., 4.625%, 5/15/23(3) | 95,000 | 96,029 | |||||
Sirius XM Radio, Inc., 5.375%, 4/15/25(3) | 55,000 | 56,839 | |||||
TEGNA, Inc., 5.50%, 9/15/24(3) | 130,000 | 134,063 | |||||
ViacomCBS, Inc., 4.85%, 7/1/42 | 30,000 | 35,219 | |||||
ViacomCBS, Inc., 4.375%, 3/15/43 | 20,000 | 21,682 | |||||
Videotron Ltd., 5.00%, 7/15/22 | 75,000 | 78,749 |
30
Shares/ Principal Amount | Value | ||||||
VTR Finance BV, 6.875%, 1/15/24 | $ | 129,000 | $ | 132,171 | |||
Ziggo BV, 5.50%, 1/15/27(3) | 150,000 | 159,277 | |||||
2,845,753 | |||||||
Metals and Mining — 0.2% | |||||||
Alcoa Nederland Holding BV, 6.75%, 9/30/24(3) | 75,000 | 78,944 | |||||
Cleveland-Cliffs, Inc., 5.75%, 3/1/25 | 220,000 | 213,950 | |||||
First Quantum Minerals Ltd., 7.25%, 5/15/22(3) | 90,000 | 90,385 | |||||
First Quantum Minerals Ltd., 7.25%, 4/1/23 | 50,000 | 49,636 | |||||
First Quantum Minerals Ltd., 6.50%, 3/1/24(3) | 140,000 | 135,157 | |||||
Freeport-McMoRan, Inc., 3.55%, 3/1/22 | 129,000 | 130,681 | |||||
Freeport-McMoRan, Inc., 5.40%, 11/14/34 | 215,000 | 221,412 | |||||
HTA Group Ltd., 9.125%, 3/8/22(3) | 86,000 | 88,716 | |||||
Nexa Resources SA, 5.375%, 5/4/27 | 128,000 | 137,998 | |||||
Steel Dynamics, Inc., 5.25%, 4/15/23 | 115,000 | 116,876 | |||||
Teck Resources Ltd., 6.25%, 7/15/41 | 40,000 | 46,806 | |||||
Vedanta Resources Ltd., 6.125%, 8/9/24(3) | 121,000 | 107,333 | |||||
1,417,894 | |||||||
Multi-Utilities — 0.1% | |||||||
Abu Dhabi National Energy Co. PJSC, 5.875%, 12/13/21(3) | 114,000 | 121,673 | |||||
Abu Dhabi National Energy Co. PJSC, 3.625%, 1/12/23(3) | 86,000 | 88,879 | |||||
Consolidated Edison Co. of New York, Inc., 3.95%, 3/1/43 | 40,000 | 45,291 | |||||
Dominion Energy, Inc., 4.90%, 8/1/41 | 30,000 | 37,026 | |||||
NiSource, Inc., 5.65%, 2/1/45 | 40,000 | 53,304 | |||||
Sempra Energy, 2.875%, 10/1/22 | 70,000 | 71,761 | |||||
Sempra Energy, 3.25%, 6/15/27 | 50,000 | 52,978 | |||||
Sempra Energy, 4.00%, 2/1/48 | 30,000 | 33,274 | |||||
504,186 | |||||||
Oil, Gas and Consumable Fuels — 0.7% | |||||||
Antero Resources Corp., 5.625%, 6/1/23 | 35,000 | 25,288 | |||||
Carrizo Oil & Gas, Inc., 6.25%, 4/15/23 | 70,000 | 70,349 | |||||
Cheniere Corpus Christi Holdings LLC, 5.875%, 3/31/25 | 90,000 | 102,410 | |||||
Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/27 | 190,000 | 212,057 | |||||
Chesapeake Energy Corp., 11.50%, 1/1/25(3) | 49,000 | 39,553 | |||||
CNOOC Finance 2013 Ltd., 3.00%, 5/9/23 | 143,000 | 146,653 | |||||
CNOOC Nexen Finance 2014 ULC, 4.25%, 4/30/24 | 50,000 | 54,143 | |||||
CNX Resources Corp., 5.875%, 4/15/22 | 147,000 | 145,530 | |||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 6.25%, 4/1/23 | 40,000 | 40,449 | |||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 5.75%, 4/1/25 | 90,000 | 91,601 | |||||
Denbury Resources, Inc., 9.00%, 5/15/21(3) | 50,000 | 47,113 | |||||
Ecopetrol SA, 5.875%, 5/28/45 | 185,000 | 223,005 | |||||
Enbridge, Inc., 4.00%, 10/1/23 | 40,000 | 42,596 | |||||
Energy Transfer Operating LP, 4.15%, 10/1/20 | 70,000 | 70,763 | |||||
Energy Transfer Operating LP, 3.60%, 2/1/23 | 12,000 | 12,424 | |||||
Energy Transfer Operating LP, 6.50%, 2/1/42 | 40,000 | 47,703 | |||||
Enterprise Products Operating LLC, 5.20%, 9/1/20 | 35,000 | 35,671 |
31
Shares/ Principal Amount | Value | ||||||
Enterprise Products Operating LLC, 4.85%, 3/15/44 | $ | 130,000 | $ | 151,683 | |||
Gazprom PJSC Via Gaz Capital SA, 6.51%, 3/7/22(3) | 79,000 | 85,832 | |||||
Gazprom PJSC Via Gaz Capital SA, 7.29%, 8/16/37(3) | 79,000 | 114,279 | |||||
Genesis Energy LP / Genesis Energy Finance Corp., 5.625%, 6/15/24 | 30,000 | 29,262 | |||||
Gulfport Energy Corp., 6.00%, 10/15/24 | 75,000 | 41,528 | |||||
Gulfport Energy Corp., 6.375%, 5/15/25 | 95,000 | 47,777 | |||||
Hess Corp., 6.00%, 1/15/40 | 40,000 | 46,999 | |||||
Hilcorp Energy I LP / Hilcorp Finance Co., 5.75%, 10/1/25(3) | 40,000 | 36,283 | |||||
Kinder Morgan Energy Partners LP, 6.50%, 9/1/39 | 90,000 | 116,313 | |||||
MEG Energy Corp., 7.00%, 3/31/24(3) | 60,000 | 60,575 | |||||
MEG Energy Corp., 6.50%, 1/15/25(3) | 62,000 | 64,984 | |||||
MPLX LP, 6.25%, 10/15/22(3) | 22,000 | 22,432 | |||||
MPLX LP, 4.875%, 6/1/25 | 140,000 | 155,304 | |||||
MPLX LP, 4.50%, 4/15/38 | 20,000 | 20,726 | |||||
MPLX LP, 5.20%, 3/1/47 | 10,000 | 11,078 | |||||
Newfield Exploration Co., 5.75%, 1/30/22 | 65,000 | 69,165 | |||||
Newfield Exploration Co., 5.375%, 1/1/26 | 50,000 | 54,926 | |||||
NuStar Logistics LP, 4.75%, 2/1/22 | 40,000 | 41,212 | |||||
Oasis Petroleum, Inc., 6.875%, 3/15/22 | 175,000 | 168,438 | |||||
Ovintiv, Inc., 6.50%, 2/1/38 | 30,000 | 35,061 | |||||
Parsley Energy LLC / Parsley Finance Corp., 5.375%, 1/15/25(3) | 160,000 | 165,018 | |||||
Petrobras Global Finance BV, 5.75%, 2/1/29 | 220,000 | 254,265 | |||||
Petrobras Global Finance BV, 7.25%, 3/17/44 | 100,000 | 126,745 | |||||
Petroleos Mexicanos, 6.00%, 3/5/20 | 52,000 | 52,227 | |||||
Petroleos Mexicanos, 4.875%, 1/24/22 | 20,000 | 21,016 | |||||
Petroleos Mexicanos, 3.50%, 1/30/23 | 30,000 | 30,552 | |||||
Petroleos Mexicanos, 6.50%, 3/13/27 | 80,000 | 86,961 | |||||
Petroleos Mexicanos, 5.50%, 6/27/44 | 60,000 | 56,156 | |||||
Plains All American Pipeline LP / PAA Finance Corp., 3.65%, 6/1/22 | 90,000 | 92,765 | |||||
QEP Resources, Inc., 5.375%, 10/1/22 | 150,000 | 150,797 | |||||
Ras Laffan Liquefied Natural Gas Co. Ltd. II, 5.30%, 9/30/20 | 12,779 | 12,958 | |||||
Reliance Industries Ltd., 4.125%, 1/28/25 | 185,000 | 198,326 | |||||
Sabine Pass Liquefaction LLC, 5.625%, 3/1/25 | 60,000 | 68,297 | |||||
SM Energy Co., 5.00%, 1/15/24 | 70,000 | 64,079 | |||||
Southwestern Energy Co., 6.20%, 1/23/25 | 150,000 | 125,249 | |||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.25%, 11/15/23 | 150,000 | 151,562 | |||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.125%, 2/1/25 | 94,000 | 97,054 | |||||
Williams Cos., Inc. (The), 4.55%, 6/24/24 | 130,000 | 142,091 | |||||
Williams Cos., Inc. (The), 5.10%, 9/15/45 | 50,000 | 55,239 | |||||
WPX Energy, Inc., 8.25%, 8/1/23 | 65,000 | 75,183 | |||||
4,807,705 | |||||||
Personal Products† | |||||||
Avon Products, Inc., 7.00%, 3/15/23 | 45,000 | 49,514 |
32
Shares/ Principal Amount | Value | ||||||
Pharmaceuticals — 0.1% | |||||||
Allergan Finance LLC, 3.25%, 10/1/22 | $ | 88,000 | $ | 90,862 | |||
Allergan Funding SCS, 3.85%, 6/15/24 | 100,000 | 106,704 | |||||
Allergan Funding SCS, 4.55%, 3/15/35 | 40,000 | 46,085 | |||||
Bausch Health Cos., Inc., 5.50%, 3/1/23(3) | 62,000 | 62,336 | |||||
Bausch Health Cos., Inc., 7.00%, 3/15/24(3) | 50,000 | 51,939 | |||||
Bausch Health Cos., Inc., 6.125%, 4/15/25(3) | 120,000 | 123,684 | |||||
Bristol-Myers Squibb Co., 3.25%, 8/15/22(3) | 50,000 | 51,955 | |||||
Bristol-Myers Squibb Co., 3.625%, 5/15/24(3) | 150,000 | 160,519 | |||||
Bristol-Myers Squibb Co., 3.875%, 8/15/25(3) | 40,000 | 43,954 | |||||
Shire Acquisitions Investments Ireland DAC, 2.40%, 9/23/21 | 150,000 | 151,383 | |||||
889,421 | |||||||
Professional Services† | |||||||
Jaguar Holding Co. II / Pharmaceutical Product Development LLC, 6.375%, 8/1/23(3) | 95,000 | 97,849 | |||||
Road and Rail — 0.1% | |||||||
Burlington Northern Santa Fe LLC, 4.95%, 9/15/41 | 30,000 | 38,731 | |||||
Burlington Northern Santa Fe LLC, 4.45%, 3/15/43 | 12,000 | 14,686 | |||||
Burlington Northern Santa Fe LLC, 4.15%, 4/1/45 | 80,000 | 95,094 | |||||
Hertz Corp. (The), 6.25%, 10/15/22 | 65,000 | 65,812 | |||||
Union Pacific Corp., 3.84%, 3/20/60(3) | 80,000 | 86,176 | |||||
United Rentals North America, Inc., 5.50%, 7/15/25 | 200,000 | 207,357 | |||||
United Rentals North America, Inc., 5.50%, 5/15/27 | 50,000 | 53,241 | |||||
561,097 | |||||||
Semiconductors and Semiconductor Equipment† | |||||||
NXP BV / NXP Funding LLC, 3.875%, 9/1/22(3) | 75,000 | 78,401 | |||||
Software — 0.1% | |||||||
Infor US, Inc., 6.50%, 5/15/22 | 263,000 | 264,504 | |||||
Microsoft Corp., 2.70%, 2/12/25 | 100,000 | 104,785 | |||||
Microsoft Corp., 3.45%, 8/8/36 | 20,000 | 22,697 | |||||
Microsoft Corp., 4.25%, 2/6/47 | 130,000 | 166,415 | |||||
Oracle Corp., 3.625%, 7/15/23 | 90,000 | 96,047 | |||||
Oracle Corp., 2.65%, 7/15/26 | 50,000 | 52,233 | |||||
706,681 | |||||||
Specialty Retail — 0.1% | |||||||
Home Depot, Inc. (The), 3.75%, 2/15/24 | 130,000 | 140,382 | |||||
Home Depot, Inc. (The), 5.95%, 4/1/41 | 70,000 | 101,891 | |||||
L Brands, Inc., 5.625%, 2/15/22 | 140,000 | 147,848 | |||||
PetSmart, Inc., 5.875%, 6/1/25(3) | 60,000 | 61,950 | |||||
Sally Holdings LLC / Sally Capital, Inc., 5.50%, 11/1/23 | 75,000 | 76,313 | |||||
Suburban Propane Partners LP / Suburban Energy Finance Corp., 5.50%, 6/1/24 | 110,000 | 112,474 | |||||
Suburban Propane Partners LP / Suburban Energy Finance Corp., 5.75%, 3/1/25 | 135,000 | 137,756 | |||||
778,614 | |||||||
Technology Hardware, Storage and Peripherals — 0.1% | |||||||
Apple, Inc., 2.45%, 8/4/26 | 50,000 | 51,623 |
33
Shares/ Principal Amount | Value | ||||||
Apple, Inc., 3.20%, 5/11/27 | $ | 70,000 | $ | 75,613 | |||
Apple, Inc., 2.90%, 9/12/27 | 20,000 | 21,284 | |||||
Dell International LLC / EMC Corp., 7.125%, 6/15/24(3) | 195,000 | 205,238 | |||||
EMC Corp., 2.65%, 6/1/20 | 15,000 | 15,002 | |||||
NCR Corp., 5.00%, 7/15/22 | 100,000 | 101,095 | |||||
Western Digital Corp., 4.75%, 2/15/26 | 80,000 | 85,550 | |||||
555,405 | |||||||
Textiles, Apparel and Luxury Goods† | |||||||
Hanesbrands, Inc., 4.625%, 5/15/24(3) | 90,000 | 94,463 | |||||
Trading Companies and Distributors† | |||||||
Beacon Roofing Supply, Inc., 4.875%, 11/1/25(3) | 100,000 | 99,679 | |||||
International Lease Finance Corp., 5.875%, 8/15/22 | 100,000 | 109,612 | |||||
209,291 | |||||||
Transportation Infrastructure — 0.1% | |||||||
HPHT Finance 15 Ltd., 2.875%, 3/17/20(3) | 286,000 | 286,189 | |||||
Rumo Luxembourg Sarl, 7.375%, 2/9/24 | 100,000 | 107,522 | |||||
393,711 | |||||||
Wireless Telecommunication Services — 0.2% | |||||||
C&W Senior Financing DAC, 6.875%, 9/15/27(3) | 130,000 | 139,889 | |||||
Digicel Ltd., 6.00%, 4/15/21 | 86,000 | 68,298 | |||||
GTH Finance BV, 7.25%, 4/26/23(3) | 87,000 | 97,646 | |||||
Millicom International Cellular SA, 5.125%, 1/15/28(3) | 143,000 | 149,870 | |||||
Sprint Corp., 7.25%, 9/15/21 | 80,000 | 84,046 | |||||
Sprint Corp., 7.875%, 9/15/23 | 70,000 | 74,513 | |||||
Sprint Corp., 7.125%, 6/15/24 | 315,000 | 326,005 | |||||
T-Mobile USA, Inc., 6.375%, 3/1/25 | 130,000 | 134,456 | |||||
T-Mobile USA, Inc., 6.50%, 1/15/26 | 100,000 | 106,830 | |||||
1,181,553 | |||||||
TOTAL CORPORATE BONDS (Cost $39,023,345) | 40,627,980 | ||||||
U.S. TREASURY SECURITIES — 4.0% | |||||||
U.S. Treasury Bills, 1.55%, 4/9/20(4) | 300,000 | 299,158 | |||||
U.S. Treasury Bills, 1.59%, 5/14/20(4) | 1,350,000 | 1,344,234 | |||||
U.S. Treasury Bonds, 3.50%, 2/15/39 | 205,000 | 261,191 | |||||
U.S. Treasury Bonds, 3.00%, 5/15/42 | 250,000 | 297,417 | |||||
U.S. Treasury Bonds, 3.75%, 11/15/43 | 40,000 | 53,390 | |||||
U.S. Treasury Bonds, 3.125%, 8/15/44(5) | 1,350,000 | 1,643,282 | |||||
U.S. Treasury Bonds, 3.00%, 5/15/45 | 100,000 | 119,611 | |||||
U.S. Treasury Bonds, 3.00%, 11/15/45 | 50,000 | 59,965 | |||||
U.S. Treasury Bonds, 2.50%, 5/15/46 | 750,000 | 824,268 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.375%, 1/15/25(5) | 2,524,214 | 2,847,855 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.00%, 1/15/26 | 1,490,193 | 1,684,759 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.375%, 1/15/27 | 255,070 | 300,378 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.50%, 1/15/29 | 2,575,507 | 3,182,930 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.125%, 2/15/40 | 428,375 | 592,164 | |||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/42 | 751,225 | 832,593 |
34
Shares/ Principal Amount | Value | ||||||
U.S. Treasury Inflation Indexed Bonds, 0.625%, 2/15/43 | $ | 346,785 | $ | 375,328 | |||
U.S. Treasury Inflation Indexed Bonds, 1.375%, 2/15/44 | 1,269,083 | 1,598,488 | |||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/45 | 1,332,484 | 1,486,875 | |||||
U.S. Treasury Inflation Indexed Bonds, 0.875%, 2/15/47 | 426,180 | 493,902 | |||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 1/15/24 | 826,695 | 853,047 | |||||
U.S. Treasury Inflation Indexed Notes, 0.50%, 4/15/24 | 3,059,280 | 3,143,989 | |||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 1/15/26 | 1,298,892 | 1,362,124 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/26 | 3,701,747 | 3,790,111 | |||||
U.S. Treasury Inflation Indexed Notes, 0.875%, 1/15/29 | 356,500 | 389,052 | |||||
U.S. Treasury Notes, 1.375%, 2/29/20 | 850,000 | 849,852 | |||||
U.S. Treasury Notes, 1.50%, 5/31/20 | 200,000 | 199,910 | |||||
U.S. Treasury Notes, 1.125%, 8/31/21 | 80,000 | 79,669 | |||||
U.S. Treasury Notes, 2.00%, 12/31/21(5) | 200,000 | 202,438 | |||||
U.S. Treasury Notes, 2.25%, 8/15/27(5) | 200,000 | 211,633 | |||||
TOTAL U.S. TREASURY SECURITIES (Cost $26,901,264) | 29,379,613 | ||||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 1.8% | |||||||
Adjustable-Rate U.S. Government Agency Mortgage-Backed Securities† | |||||||
FHLMC, VRN, 4.47%, (12-month LIBOR plus 1.86%), 7/1/36 | 19,130 | 20,150 | |||||
FHLMC, VRN, 4.19%, (1-year H15T1Y plus 2.14%), 10/1/36 | 27,483 | 29,116 | |||||
FHLMC, VRN, 4.62%, (1-year H15T1Y plus 2.25%), 4/1/37 | 33,226 | 35,140 | |||||
FHLMC, VRN, 3.89%, (12-month LIBOR plus 1.78%), 9/1/40 | 20,603 | 21,655 | |||||
FHLMC, VRN, 4.77%, (12-month LIBOR plus 1.88%), 5/1/41 | 8,539 | 8,928 | |||||
FHLMC, VRN, 3.69%, (12-month LIBOR plus 1.89%), 7/1/41 | 26,116 | 26,896 | |||||
FHLMC, VRN, 4.01%, (12-month LIBOR plus 1.87%), 7/1/41 | 25,828 | 27,246 | |||||
FHLMC, VRN, 4.41%, (12-month LIBOR plus 1.64%), 2/1/43 | 9,761 | 10,075 | |||||
FHLMC, VRN, 4.45%, (12-month LIBOR plus 1.65%), 6/1/43 | 4,099 | 4,204 | |||||
FHLMC, VRN, 4.50%, (12-month LIBOR plus 1.62%), 6/1/43 | 141 | 145 | |||||
FNMA, VRN, 3.49%, (6-month LIBOR plus 1.57%), 6/1/35 | 23,874 | 24,803 | |||||
FNMA, VRN, 3.51%, (6-month LIBOR plus 1.57%), 6/1/35 | 35,271 | 36,624 | |||||
FNMA, VRN, 3.78%, (6-month LIBOR plus 1.54%), 9/1/35 | 9,062 | 9,399 | |||||
FNMA, VRN, 4.25%, (1-year H15T1Y plus 2.16%), 3/1/38 | 34,123 | 36,105 | |||||
FNMA, VRN, 4.82%, (12-month LIBOR plus 1.69%), 1/1/40 | 5,935 | 6,287 | |||||
FNMA, VRN, 3.85%, (12-month LIBOR plus 1.82%), 3/1/40 | 10,686 | 11,241 | |||||
FNMA, VRN, 3.87%, (12-month LIBOR plus 1.77%), 10/1/40 | 27,671 | 28,905 | |||||
336,919 | |||||||
Fixed-Rate U.S. Government Agency Mortgage-Backed Securities — 1.8% | |||||||
FHLMC, 7.00%, 8/1/29 | 494 | 540 | |||||
FHLMC, 8.00%, 7/1/30 | 3,114 | 3,716 | |||||
FHLMC, 5.50%, 12/1/33 | 24,055 | 26,507 | |||||
FHLMC, 6.00%, 11/1/38 | 116,137 | 133,585 | |||||
FHLMC, 3.50%, 4/1/49 | 1,688,498 | 1,754,074 | |||||
FNMA, 5.00%, 9/1/20 | 1,548 | 1,636 | |||||
FNMA, 7.00%, 6/1/26 | 192 | 212 | |||||
FNMA, 7.00%, 1/1/29 | 3,210 | 3,415 | |||||
FNMA, 6.50%, 4/1/29 | 4,778 | 5,299 |
35
Shares/ Principal Amount | Value | ||||||
FNMA, 6.50%, 8/1/29 | $ | 2,698 | $ | 3,025 | |||
FNMA, 6.50%, 12/1/29 | 7,372 | 8,175 | |||||
FNMA, 7.00%, 3/1/30 | 1,654 | 1,809 | |||||
FNMA, 7.50%, 9/1/30 | 1,045 | 1,220 | |||||
FNMA, 5.00%, 7/1/31 | 3,276 | 3,538 | |||||
FNMA, 7.00%, 9/1/31 | 4,082 | 4,305 | |||||
FNMA, 6.50%, 1/1/32 | 1,700 | 1,895 | |||||
FNMA, 6.50%, 8/1/32 | 2,841 | 3,226 | |||||
FNMA, 6.50%, 11/1/32 | 29,437 | 33,774 | |||||
FNMA, 5.50%, 6/1/33 | 10,097 | 11,270 | |||||
FNMA, 5.50%, 8/1/33 | 16,689 | 18,840 | |||||
FNMA, 5.00%, 11/1/33 | 115,048 | 127,701 | |||||
FNMA, 3.50%, 3/1/34 | 83,706 | 87,380 | |||||
FNMA, 4.50%, 9/1/35 | 61,630 | 67,234 | |||||
FNMA, 5.00%, 2/1/36 | 85,277 | 94,660 | |||||
FNMA, 5.50%, 1/1/37 | 60,008 | 67,837 | |||||
FNMA, 6.50%, 8/1/37 | 15,956 | 17,856 | |||||
FNMA, 5.00%, 4/1/40 | 222,568 | 247,312 | |||||
FNMA, 4.00%, 1/1/41 | 709,316 | 770,741 | |||||
FNMA, 4.50%, 7/1/41 | 336,279 | 367,652 | |||||
FNMA, 4.50%, 9/1/41 | 29,896 | 32,686 | |||||
FNMA, 4.00%, 12/1/41 | 226,702 | 244,312 | |||||
FNMA, 3.50%, 5/1/42 | 182,604 | 193,253 | |||||
FNMA, 3.50%, 6/1/42 | 107,442 | 114,622 | |||||
FNMA, 3.00%, 11/1/42 | 367,630 | 381,705 | |||||
FNMA, 3.00%, 11/1/46 | 441,956 | 457,149 | |||||
FNMA, 6.50%, 8/1/47 | 5,704 | 6,123 | |||||
FNMA, 6.50%, 9/1/47 | 11,550 | 12,362 | |||||
FNMA, 6.50%, 9/1/47 | 555 | 595 | |||||
FNMA, 6.50%, 9/1/47 | 6,073 | 6,498 | |||||
FNMA, 3.00%, 4/1/48 | 436,201 | 452,880 | |||||
FNMA, 4.50%, 7/1/48 | 913,584 | 971,667 | |||||
FNMA, 4.00%, 1/1/49 | 1,372,375 | 1,436,410 | |||||
FNMA, 3.50%, 6/1/49 | 2,226,935 | 2,309,746 | |||||
FNMA, 3.00%, 11/1/49 | 1,994,012 | 2,039,835 | |||||
GNMA, 7.50%, 10/15/25 | 842 | 853 | |||||
GNMA, 6.00%, 3/15/26 | 2,612 | 2,879 | |||||
GNMA, 7.00%, 12/15/27 | 2,510 | 2,515 | |||||
GNMA, 6.50%, 2/15/28 | 91 | 101 | |||||
GNMA, 7.00%, 5/15/31 | 8,334 | 9,682 | |||||
GNMA, 5.50%, 11/15/32 | 15,104 | 16,738 | |||||
GNMA, 6.50%, 10/15/38 | 203,942 | 236,312 | |||||
GNMA, 4.50%, 5/20/41 | 193,565 | 210,230 | |||||
GNMA, 4.50%, 6/15/41 | 243,156 | 268,740 |
36
Shares/ Principal Amount | Value | ||||||
GNMA, 3.50%, 4/20/45 | $ | 58,720 | $ | 61,591 | |||
GNMA, 2.50%, 2/20/47 | 31,392 | 31,920 | |||||
13,369,838 | |||||||
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $13,339,866) | 13,706,757 | ||||||
SOVEREIGN GOVERNMENTS AND AGENCIES — 1.6% | |||||||
Australia — 0.1% | |||||||
Australia Government Bond, 2.75%, 4/21/24 | AUD | 305,000 | 222,105 | ||||
New South Wales Treasury Corp., 3.00%, 3/20/28 | AUD | 110,000 | 83,862 | ||||
305,967 | |||||||
Austria† | |||||||
Republic of Austria Government Bond, 3.40%, 11/22/22(3) | EUR | 69,000 | 85,299 | ||||
Republic of Austria Government Bond, 0.75%, 10/20/26(3) | EUR | 41,000 | 49,148 | ||||
Republic of Austria Government Bond, 4.15%, 3/15/37(3) | EUR | 29,000 | 54,598 | ||||
189,045 | |||||||
Belgium† | |||||||
Kingdom of Belgium Government Bond, 4.25%, 3/28/41(3) | EUR | 27,000 | 53,568 | ||||
Canada — 0.1% | |||||||
Province of British Columbia Canada, 3.25%, 12/18/21 | CAD | 179,000 | 139,307 | ||||
Province of British Columbia Canada, 2.85%, 6/18/25 | CAD | 201,000 | 161,083 | ||||
Province of Quebec Canada, 3.00%, 9/1/23 | CAD | 215,000 | 170,177 | ||||
Province of Quebec Canada, 5.75%, 12/1/36 | CAD | 108,000 | 122,909 | ||||
Province of Quebec Canada, 3.50%, 12/1/48 | CAD | 20,000 | 19,361 | ||||
612,837 | |||||||
China† | |||||||
China Government Bond, 3.25%, 6/6/26 | CNY | 400,000 | 58,697 | ||||
China Government Bond, 3.29%, 5/23/29 | CNY | 300,000 | 44,138 | ||||
102,835 | |||||||
Colombia† | |||||||
Colombia Government International Bond, 4.375%, 7/12/21 | $ | 100,000 | 103,575 | ||||
Czech Republic† | |||||||
Czech Republic Government Bond, 4.70%, 9/12/22 | CZK | 610,000 | 28,934 | ||||
Denmark† | |||||||
Denmark Government Bond, 0.50%, 11/15/27 | DKK | 245,000 | 39,397 | ||||
Denmark Government Bond, 4.50%, 11/15/39 | DKK | 62,000 | 17,918 | ||||
57,315 | |||||||
Finland† | |||||||
Finland Government Bond, 4.00%, 7/4/25(3) | EUR | 58,000 | 80,402 | ||||
France — 0.1% | |||||||
French Republic Government Bond OAT, 1.75%, 11/25/24 | EUR | 153,000 | 188,793 | ||||
French Republic Government Bond OAT, 5.50%, 4/25/29 | EUR | 100,000 | 170,906 | ||||
French Republic Government Bond OAT, 3.25%, 5/25/45 | EUR | 132,000 | 244,094 | ||||
603,793 | |||||||
Germany — 0.2% | |||||||
Bundesrepublik Deutschland Bundesanleihe, 0.50%, 2/15/25 | EUR | 185,000 | 217,591 | ||||
Bundesrepublik Deutschland Bundesanleihe, 0.00%,8/15/26(6) | EUR | 365,000 | 421,704 |
37
Shares/ Principal Amount | Value | ||||||
Bundesrepublik Deutschland Bundesanleihe, 0.25%, 2/15/27 | EUR | 248,000 | $ | 292,084 | |||
Bundesrepublik Deutschland Bundesanleihe, 4.75%, 7/4/28 | EUR | 34,000 | 54,970 | ||||
Bundesrepublik Deutschland Bundesanleihe, 4.75%, 7/4/40 | EUR | 24,000 | 53,812 | ||||
1,040,161 | |||||||
Indonesia† | |||||||
Indonesia Treasury Bond, 8.375%, 9/15/26 | IDR | 2,000,000,000 | 162,116 | ||||
Ireland† | |||||||
Ireland Government Bond, 3.40%, 3/18/24 | EUR | 74,000 | 95,432 | ||||
Italy — 0.2% | |||||||
Italy Buoni Poliennali Del Tesoro, 1.50%, 6/1/25 | EUR | 35,000 | 41,153 | ||||
Italy Buoni Poliennali Del Tesoro, 2.00%, 12/1/25 | EUR | 223,000 | 269,820 | ||||
Italy Buoni Poliennali Del Tesoro, 4.75%, 9/1/44(3) | EUR | 271,000 | 472,597 | ||||
Italy Buoni Poliennali Del Tesoro, 3.45%, 3/1/48(3) | EUR | 130,000 | 193,260 | ||||
976,830 | |||||||
Japan — 0.4% | |||||||
Japan Government Thirty Year Bond, 2.40%, 3/20/37 | JPY | 60,800,000 | 774,631 | ||||
Japan Government Thirty Year Bond, 2.00%, 9/20/41 | JPY | 29,700,000 | 375,166 | ||||
Japan Government Thirty Year Bond, 1.40%, 12/20/45 | JPY | 21,750,000 | 256,054 | ||||
Japan Government Twenty Year Bond, 2.10%, 12/20/26 | JPY | 131,900,000 | 1,410,790 | ||||
2,816,641 | |||||||
Malaysia† | |||||||
Malaysia Government Bond, 3.96%, 9/15/25 | MYR | 250,000 | 63,952 | ||||
Mexico — 0.1% | |||||||
Mexican Bonos, 6.50%, 6/9/22 | MXN | 2,290,000 | 120,920 | ||||
Mexico Government International Bond, 4.15%, 3/28/27 | $ | 200,000 | 217,552 | ||||
338,472 | |||||||
Namibia† | |||||||
Namibia International Bonds, 5.25%, 10/29/25 | $ | 200,000 | 210,710 | ||||
Netherlands — 0.1% | |||||||
Netherlands Government Bond, 0.00%, 1/15/22(3)(6) | EUR | 65,000 | 73,032 | ||||
Netherlands Government Bond, 0.50%, 7/15/26(3) | EUR | 100,000 | 118,348 | ||||
Netherlands Government Bond, 2.75%, 1/15/47(3) | EUR | 27,000 | 51,712 | ||||
243,092 | |||||||
Norway — 0.2% | |||||||
Norway Government Bond, 2.00%, 5/24/23(3) | NOK | 85,000 | 9,467 | ||||
Norway Government Bond, 1.75%, 2/17/27(3) | NOK | 510,000 | 57,287 | ||||
Norway Government Bond, 1.75%, 9/6/29(3) | NOK | 14,000,000 | 1,583,391 | ||||
1,650,145 | |||||||
Peru† | |||||||
Peruvian Government International Bond, 5.625%, 11/18/50 | $ | 60,000 | 92,156 | ||||
Poland† | |||||||
Republic of Poland Government Bond, 4.00%, 10/25/23 | PLN | 215,000 | 60,064 | ||||
Republic of Poland Government International Bond, 5.125%, 4/21/21 | $ | 70,000 | 72,932 | ||||
132,996 | |||||||
Russia† | |||||||
Russian Federal Bond - OFZ, 7.05%, 1/19/28 | RUB | 1,400,000 | 23,277 |
38
Shares/ Principal Amount | Value | ||||||
Singapore† | |||||||
Singapore Government Bond, 3.125%, 9/1/22 | SGD | 90,000 | $ | 68,802 | |||
South Africa† | |||||||
Republic of South Africa Government International Bond, 5.50%, 3/9/20 | $ | 110,000 | 110,401 | ||||
Switzerland† | |||||||
Swiss Confederation Government Bond, 1.25%, 5/28/26 | CHF | 147,000 | 173,353 | ||||
Swiss Confederation Government Bond, 2.50%, 3/8/36 | CHF | 3,000 | 4,723 | ||||
178,076 | |||||||
Thailand† | |||||||
Thailand Government Bond, 3.625%, 6/16/23 | THB | 1,150,000 | 39,962 | ||||
Thailand Government Bond, 3.85%, 12/12/25 | THB | 3,200,000 | 118,189 | ||||
158,151 | |||||||
Turkey† | |||||||
Turkey Government International Bond, 6.875%, 3/17/36 | $ | 200,000 | 222,724 | ||||
United Kingdom — 0.1% | |||||||
United Kingdom Gilt, 1.50%, 7/22/26 | GBP | 249,000 | 352,419 | ||||
United Kingdom Gilt, 4.50%, 12/7/42 | GBP | 192,000 | 435,573 | ||||
United Kingdom Gilt, 4.25%, 12/7/49 | GBP | 65,000 | 157,269 | ||||
United Kingdom Gilt, 4.25%, 12/7/55 | GBP | 2,000 | 5,273 | ||||
950,534 | |||||||
Uruguay† | |||||||
Uruguay Government International Bond, 4.125%, 11/20/45 | $ | 30,000 | 34,078 | ||||
TOTAL SOVEREIGN GOVERNMENTS AND AGENCIES (Cost $10,870,202) | 11,707,017 | ||||||
ASSET-BACKED SECURITIES — 0.9% | |||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A SEQ, 2.94%, 5/25/29(3) | 87,841 | 88,557 | |||||
Hilton Grand Vacations Trust, Series 2014-AA, Class A SEQ, 1.77%, 11/25/26(3) | 56,190 | 56,122 | |||||
Invitation Homes Trust, Series 2018-SFR1, Class A, VRN, 2.37%, (1-month LIBOR plus 0.70%), 3/17/37(3) | 321,558 | 319,600 | |||||
Invitation Homes Trust, Series 2018-SFR1, Class B, VRN, 2.62%, (1-month LIBOR plus 0.95%), 3/17/37(3) | 1,325,000 | 1,318,427 | |||||
Invitation Homes Trust, Series 2018-SFR2, Class C, VRN, 2.96%, (1-month LIBOR plus 1.28%), 6/17/37(3) | 350,000 | 351,053 | |||||
Invitation Homes Trust, Series 2018-SFR3, Class B, VRN, 2.82%, (1-month LIBOR plus 1.15%), 7/17/37(3) | 700,000 | 701,934 | |||||
Invitation Homes Trust, Series 2018-SFR4, Class B, VRN, 2.92%, (1-month LIBOR plus 1.25%), 1/17/38(3) | 700,000 | 701,214 | |||||
MVW Owner Trust, Series 2014-1A, Class A SEQ, 2.25%, 9/22/31(3) | 40,600 | 40,617 | |||||
MVW Owner Trust, Series 2015-1A, Class A SEQ, 2.52%, 12/20/32(3) | 32,385 | 32,496 | |||||
MVW Owner Trust, Series 2016-1A, Class A SEQ, 2.25%, 12/20/33(3) | 35,234 | 35,227 | |||||
MVW Owner Trust, Series 2017-1A, Class A SEQ, 2.42%, 12/20/34(3) | 107,494 | 108,643 | |||||
Progress Residential Trust, Series 2018-SFR1, Class B, 3.48%, 3/17/35(3) | 100,000 | 101,339 | |||||
Progress Residential Trust, Series 2018-SFR3, Class C, 4.18%, 10/17/35(3) | 850,000 | 875,997 |
39
Shares/ Principal Amount | Value | ||||||
Sierra Timeshare Conduit Receivables Funding LLC, Series 2017-1A, Class A SEQ, 2.91%, 3/20/34(3) | $ | 44,029 | $ | 44,615 | |||
Sierra Timeshare Receivables Funding LLC, Series 2016-2A, Class A SEQ, 2.33%, 7/20/33(3) | 15,756 | 15,799 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2018-2A, Class B, 3.65%, 6/20/35(3) | 288,443 | 297,425 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2018-3A, Class B, 3.87%, 9/20/35(3) | 200,439 | 208,032 | |||||
Towd Point Mortgage Trust, Series 2018-4, Class A1, VRN, 3.00%, 6/25/58(3) | 340,032 | 352,544 | |||||
UAL Pass-Through Trust, Series 2007-1, Class A, 6.64%, 1/2/24 | 50,565 | 54,035 | |||||
US Airways Pass-Through Trust, Series 2013-1, Class A, 3.95%, 5/15/27 | 39,142 | 42,021 | |||||
VSE VOI Mortgage LLC, Series 2016-A, Class A SEQ, 2.54%, 7/20/33(3) | 383,072 | 383,717 | |||||
VSE VOI Mortgage LLC, Series 2017-A, Class A SEQ, 2.33%, 3/20/35(3) | 122,249 | 123,169 | |||||
VSE VOI Mortgage LLC, Series 2018-A, Class B, 3.72%, 2/20/36(3) | 298,961 | 307,229 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $6,470,309) | 6,559,812 | ||||||
COLLATERALIZED LOAN OBLIGATIONS — 0.8% | |||||||
Ares XLI CLO Ltd., Series 2016-41A, Class AR, VRN, 3.03%, (3-month LIBOR plus 1.20%), 1/15/29(3) | 600,000 | 600,381 | |||||
Ares XXXIIR CLO Ltd., Series 2014-32RA, Class A2A, VRN, 3.46%, (3-month LIBOR plus 1.55%), 5/15/30(3) | 300,000 | 296,808 | |||||
Bean Creek CLO Ltd., Series 2015-1A, Class AR, VRN, 2.84%, (3-month LIBOR plus 1.02%), 4/20/31(3) | 150,000 | 148,176 | |||||
Bean Creek CLO Ltd., Series 2015-1A, Class BR, VRN, 3.27%, (3-month LIBOR plus 1.45%), 4/20/31(3) | 100,000 | 97,827 | |||||
Carlyle Global Market Strategies CLO Ltd., Series 2014-2RA, Class A3, VRN, 3.41%, (3-month LIBOR plus 1.50%), 5/15/31(3) | 1,250,000 | 1,232,028 | |||||
CBAM Ltd., Series 2018-5A, Class B1, VRN, 3.24%, (3-month LIBOR plus 1.40%), 4/17/31(3) | 325,000 | 317,599 | |||||
CIFC Funding Ltd., Series 2013-3RA, Class A1, VRN, 2.78%, (3-month LIBOR plus 0.98%), 4/24/31(3) | 300,000 | 298,734 | |||||
Dryden 64 CLO Ltd., Series 2018-64A, Class A, VRN, 2.79%, (3-month LIBOR plus 0.97%), 4/18/31(3) | 350,000 | 346,936 | |||||
Goldentree Loan Management US CLO 3 Ltd., Series 2018-3A, Class B1, VRN, 3.37%, (3-month LIBOR plus 1.55%), 4/20/30(3) | 300,000 | 300,166 | |||||
Goldentree Loan Management US CLO 5 Ltd., Series 2019-5A, Class A, VRN, 3.49%, (3-month LIBOR plus 1.30%), 10/20/32(3) | 400,000 | 399,655 | |||||
Goldentree Loan Opportunities X Ltd., Series 2015-10A, Class AR, VRN, 2.94%, (3-month LIBOR plus 1.12%), 7/20/31(3) | 150,000 | 149,540 | |||||
KKR CLO Ltd., Series 2022A, Class B, VRN, 3.42%, (3-month LIBOR plus 1.60%), 7/20/31(3) | 200,000 | 198,237 | |||||
Magnetite VIII Ltd., Series 2014-8A, Class BR2, VRN, 3.33%, (3-month LIBOR plus 1.50%), 4/15/31(3) | 300,000 | 296,729 | |||||
Sounds Point CLO IV-R Ltd., Series 2013-3RA, Class B, VRN, 3.57%, (3-month LIBOR plus 1.75%), 4/18/31(3) | 25,000 | 25,020 | |||||
Symphony CLO XXII Ltd., Series 2020-22A, Class B, VRN, 3.45%, (3-month LIBOR plus 1.70%), 4/18/33(3)(7) | 500,000 | 500,000 |
40
Shares/ Principal Amount | Value | ||||||
Voya CLO Ltd., Series 2013-3A, Class A2RR, VRN, 3.52%, (3-month LIBOR plus 1.70%), 10/18/31(3) | $ | 400,000 | $ | 396,982 | |||
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $5,636,881) | 5,604,818 | ||||||
EXCHANGE-TRADED FUNDS — 0.5% | |||||||
iShares MSCI EAFE Value ETF | 9,487 | 453,573 | |||||
iShares MSCI Emerging Markets ETF | 3,714 | 156,397 | |||||
iShares Russell 1000 Growth ETF | 5,422 | 975,418 | |||||
iShares Russell Mid-Cap Value ETF | 14,913 | 1,385,865 | |||||
SPDR S&P 500 ETF Trust | 1,180 | 379,641 | |||||
SPDR S&P Oil & Gas Exploration & Production ETF | 20,020 | 383,583 | |||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $3,797,392) | 3,734,477 | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.5% | |||||||
Private Sponsor Collateralized Mortgage Obligations — 0.3% | |||||||
ABN Amro Mortgage Corp., Series 2003-4, Class A4, 5.50%, 3/25/33 | $ | 9,569 | 9,713 | ||||
Adjustable Rate Mortgage Trust, Series 2004-4, Class 4A1, VRN, 4.05%, 3/25/35 | 16,152 | 16,609 | |||||
Banc of America Mortgage Trust, Series 2004-E, Class 2A6 SEQ, VRN, 4.78%, 6/25/34 | 58,344 | 59,294 | |||||
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-8, Class 2A1, VRN, 3.98%, 11/25/34 | 17,557 | 17,625 | |||||
Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A4, VRN, 4.04%, 8/25/34 | 15,763 | 15,657 | |||||
Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A5, VRN, 3.86%, 8/25/34 | 44,582 | 45,446 | |||||
Citigroup Mortgage Loan Trust, Inc., Series 2005-4, Class A, VRN, 4.60%, 8/25/35 | 17,471 | 18,086 | |||||
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates, Series 2005-3, Class 1A1, VRN, 5.50%, 7/25/35 | 63,900 | 69,078 | |||||
Credit Suisse Mortgage Trust, Series 2017-HL2, Class A3 SEQ, VRN, 3.50%, 10/25/47(3) | 130,892 | 133,598 | |||||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1,VRN, 3.94%, 10/25/34 | 38,104 | 38,479 | |||||
First Horizon Mortgage Pass-Through Trust, Series 2005-AR3, Class 4A1, VRN, 5.01%, 8/25/35 | 14,724 | 15,473 | |||||
GSR Mortgage Loan Trust, Series 2004-7, Class 3A1, VRN, 4.06%, 6/25/34 | 20,009 | 20,116 | |||||
GSR Mortgage Loan Trust, Series 2004-AR5, Class 3A3, VRN, 4.69%, 5/25/34 | 44,411 | 46,173 | |||||
GSR Mortgage Loan Trust, Series 2005-AR1, Class 3A1, VRN, 4.00%, 1/25/35 | 33,338 | 34,017 | |||||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1, VRN, 4.10%, 9/25/35 | 50,494 | 52,239 | |||||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, VRN, 4.51%, 9/25/35 | 16,475 | 16,974 | |||||
JPMorgan Mortgage Trust, Series 2005-A4, Class 1A1, VRN, 4.09%, 7/25/35 | 13,716 | 13,943 | |||||
JPMorgan Mortgage Trust, Series 2005-A4, Class 2A1, VRN, 4.29%, 7/25/35 | 10,958 | 11,073 | |||||
JPMorgan Mortgage Trust, Series 2006-A3, Class 7A1, VRN, 4.41%, 4/25/35 | 27,268 | 28,085 |
41
Shares/ Principal Amount | Value | ||||||
JPMorgan Mortgage Trust, Series 2013-1, Class 2A2 SEQ, VRN, 2.50%, 3/25/43(3) | $ | 42,894 | $ | 43,324 | |||
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7, VRN, 4.69%, 11/21/34 | 75,821 | 78,344 | |||||
Merrill Lynch Mortgage Investors Trust, Series 2005-3, Class 2A, VRN, 3.84%, 11/25/35 | 41,763 | 43,009 | |||||
Merrill Lynch Mortgage Investors Trust, Series 2005-A2, Class A1, VRN, 3.88%, 2/25/35 | 26,389 | 27,032 | |||||
Merrill Lynch Mortgage Investors Trust, Series 2005-A2, Class A2, VRN, 3.88%, 2/25/35 | 10,556 | 10,787 | |||||
New Residential Mortgage Loan Trust, Series 2017-2A, Class A3, VRN, 4.00%, 3/25/57(3) | 401,886 | 428,669 | |||||
New Residential Mortgage Loan Trust, Series 2017-5A, Class A1, VRN, 3.16%, (1-month LIBOR plus 1.50%), 6/25/57(3) | 245,421 | 249,973 | |||||
Sequoia Mortgage Trust, Series 2017-7, Class A4 SEQ, VRN, 3.50%, 10/25/47(3) | 140,305 | 144,469 | |||||
Sequoia Mortgage Trust, Series 2018-2, Class A4 SEQ, VRN, 3.50%, 2/25/48(3) | 142,252 | 145,193 | |||||
Sequoia Mortgage Trust, Series 2018-CH2, Class A12 SEQ, VRN, 4.00%, 6/25/48(3) | 205,550 | 208,323 | |||||
Sofi Mortgage Trust, Series 2016-1A, Class 1A4 SEQ, VRN, 3.00%, 11/25/46(3) | 56,340 | 56,607 | |||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Class 2A1, VRN, 3.79%, 7/25/34 | 22,010 | 22,523 | |||||
Thornburg Mortgage Securities Trust, Series 2004-3, Class A, VRN, 2.40%, (1-month LIBOR plus 0.74%), 9/25/34 | 44,829 | 44,830 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2003-S11, Class 3A5, 5.95%, 11/25/33 | 20,547 | 21,303 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR3, Class A1, VRN, 4.39%, 3/25/35 | 80,453 | 80,360 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR7, Class A3, VRN, 4.29%, 8/25/35 | 41,726 | 42,238 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR7, Class 1A1, VRN, 5.08%, 5/25/35 | 45,492 | 45,526 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR12, Class 1A1, VRN, 4.72%, 9/25/36 | 33,945 | 33,321 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-15, Class A1, 6.00%, 11/25/37 | 22,341 | 22,081 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-AR10, Class 1A1, VRN, 4.26%, 1/25/38 | 37,269 | 34,558 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-AR7, Class A1, VRN, 4.35%, 12/28/37 | 20,766 | 19,801 | |||||
2,463,949 | |||||||
U.S. Government Agency Collateralized Mortgage Obligations — 0.2% | |||||||
FHLMC, Series 2016-HQA3, Class M2, VRN, 3.01%, (1-month LIBOR plus 1.35%), 3/25/29 | 41,023 | 41,193 | |||||
FHLMC, Series 2018-DNA1, Class M1, VRN, 2.11%, (1-month LIBOR plus 0.45%), 7/25/30 | 29,851 | 29,832 | |||||
FNMA, Series 2014-C02, Class 1M2, VRN, 4.26%, (1-month LIBOR plus 2.60%), 5/25/24 | 49,932 | 51,993 | |||||
FNMA, Series 2014-C02, Class 2M2, VRN, 4.26%, (1-month LIBOR plus 2.60%), 5/25/24 | 200,568 | 207,696 | |||||
FNMA, Series 2017-C03, Class 1M2, VRN, 4.66%, (1-month LIBOR plus 3.00%), 10/25/29 | 75,000 | 78,773 |
42
Shares/ Principal Amount | Value | ||||||
FNMA, Series 2017-C06, Class 2M2, VRN, 4.46%, (1-month LIBOR plus 2.80%), 2/25/30 | $ | 90,774 | $ | 93,346 | |||
FNMA, Series 2017-C07, Class 1M2, VRN, 4.06%, (1-month LIBOR plus 2.40%), 5/25/30 | 650,000 | 663,188 | |||||
1,166,021 | |||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $3,583,250) | 3,629,970 | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 0.5% | |||||||
Benchmark Mortgage Trust, Series 2018-B6, Class AS, 4.44%, 10/10/51 | 500,000 | 578,893 | |||||
Cantor Commercial Real Estate Lending, Series 2019-CF3, Class B, VRN, 3.50%, 1/15/53 | 300,000 | 322,427 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR15, Class AM, VRN, 4.43%, 2/10/47 | 250,000 | 271,978 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-LC17, Class AM, VRN, 4.19%, 10/10/47 | 225,000 | 243,895 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS5, Class AM, VRN, 4.19%, 9/10/47 | 200,000 | 214,863 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2015-CR22, Class AM, VRN, 3.60%, 3/10/48 | 275,000 | 293,580 | |||||
GS Mortgage Securities Trust, Series 2016-GS2, Class B, VRN, 3.76%, 5/10/49 | 200,000 | 213,542 | |||||
GS Mortgage Securities Trust, Series 2020-GC45, Class AS, 3.17%, 2/13/53 | 200,000 | 212,176 | |||||
GS Mortgage Securities Trust, Series 2020-GC45, Class B, 3.41%, 2/13/53 | 400,000 | 424,905 | |||||
Hudson Yards Mortgage Trust, Series 2016-10HY, Class A SEQ, 2.84%, 8/10/38(3) | 400,000 | 418,028 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class B, 3.46%, 8/15/49 | 100,000 | 105,225 | |||||
UBS Commercial Mortgage Trust, Series 2017-C1, Class A3 SEQ, 3.20%, 6/15/50 | 250,000 | 268,128 | |||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $3,364,946) | 3,567,640 | ||||||
MUNICIPAL SECURITIES — 0.4% | |||||||
Bay Area Toll Authority Rev., 6.92%, 4/1/40 | 100,000 | 154,370 | |||||
Chicago Midway International Airport Rev., VRDN, 0.93%, 2/7/20 (LOC: Bank of Montreal) | 385,000 | 385,000 | |||||
Los Angeles Community College District GO, 6.68%, 8/1/36 | 50,000 | 75,989 | |||||
Massachusetts Educational Financing Authority, 1.66%, 2/13/20 (LOC: Royal Bank of Canada) | 500,000 | 499,976 | |||||
Metropolitan Transportation Authority Rev., 6.69%, 11/15/40 | 15,000 | 21,931 | |||||
Metropolitan Transportation Authority Rev., 6.81%, 11/15/40 | 10,000 | 14,814 | |||||
New Jersey Turnpike Authority Rev., 7.41%, 1/1/40 | 40,000 | 66,041 | |||||
New Jersey Turnpike Authority Rev., 7.10%, 1/1/41 | 30,000 | 48,292 | |||||
New York City GO, 6.27%, 12/1/37 | 5,000 | 7,250 | |||||
Ohio Water Development Authority Water Pollution Control Loan Fund Rev., 4.88%, 12/1/34 | 80,000 | 95,839 | |||||
Pasadena Public Financing Authority Rev., VRDN, 1.60%, 2/7/20 (SBBPA: Bank of the West) | 530,000 | 530,000 | |||||
Port Authority of New York & New Jersey Rev., 4.93%, 10/1/51 | 35,000 | 49,484 | |||||
Port Authority of New York & New Jersey Rev., 4.46%, 10/1/62 | 10,000 | 13,526 |
43
Shares/ Principal Amount | Value | ||||||
Red River Education Finance Corp. Rev., (Texas Christian University), VRDN, 1.00%, 2/7/20 (SBBPA: Northern Trust Company) | $ | 500,000 | $ | 500,000 | |||
Rutgers The State University of New Jersey Rev., 5.67%, 5/1/40 | 90,000 | 122,522 | |||||
Sacramento Municipal Utility District Rev., 6.16%, 5/15/36 | 140,000 | 194,214 | |||||
Salt River Project Agricultural Improvement & Power District Rev., 4.84%, 1/1/41 | 45,000 | 59,054 | |||||
San Francisco Public Utilities Commission Water Rev., 6.00%, 11/1/40 | 10,000 | 13,670 | |||||
San Francisco Public Utilities Commission Water Rev., 6.95%, 11/1/50 | 5,000 | 8,249 | |||||
State of California GO, 6.65%, 3/1/22 | 20,000 | 21,551 | |||||
State of California GO, 4.60%, 4/1/38 | 30,000 | 34,020 | |||||
State of California GO, 7.55%, 4/1/39 | 20,000 | 33,846 | |||||
State of California GO, 7.30%, 10/1/39 | 25,000 | 40,016 | |||||
State of California GO, 7.60%, 11/1/40 | 40,000 | 69,690 | |||||
State of Illinois GO, 5.10%, 6/1/33 | 45,000 | 50,771 | |||||
State of Oregon Department of Transportation Rev., 5.83%, 11/15/34 | 50,000 | 69,557 | |||||
State of Washington GO, 5.14%, 8/1/40 | 20,000 | 27,010 | |||||
TOTAL MUNICIPAL SECURITIES (Cost $2,861,001) | 3,206,682 | ||||||
COMMERCIAL PAPER(4) — 0.1% | |||||||
Exxon Mobil Corp., 1.60%, 3/17/20 | 500,000 | 499,038 | |||||
National Australia Bank Ltd., VRN, 1.84%, 6/25/20(3) | 125,000 | 125,047 | |||||
Thunder Bay Funding LLC, VRN, 1.80%, (Daily EFFR plus 0.20%), 7/20/20(3) | 500,000 | 500,034 | |||||
TOTAL COMMERCIAL PAPER (Cost $1,123,991) | 1,124,119 | ||||||
U.S. GOVERNMENT AGENCY SECURITIES — 0.1% | |||||||
Federal Home Loan Bank, VRN, 1.61%, (SOFR plus 0.03%), 3/6/20 (Cost $500,000) | 500,000 | 499,981 | |||||
TEMPORARY CASH INVESTMENTS — 4.1% | |||||||
Bank of Nova Scotia, VRN, 2.08%, (3-month LIBOR plus 0.19%), 3/11/20 | 671,000 | 671,206 | |||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 29,862,491 | 29,862,491 | |||||
TOTAL TEMPORARY CASH INVESTMENTS (Cost $30,533,734) | 30,533,697 | ||||||
TOTAL INVESTMENT SECURITIES — 100.0% (Cost $648,552,019) | 742,316,677 | ||||||
OTHER ASSETS AND LIABILITIES† | 296,620 | ||||||
TOTAL NET ASSETS — 100.0% | $ | 742,613,297 |
44
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
AUD | 91,971 | USD | 63,578 | UBS AG | 3/18/20 | $ | (1,964 | ) | ||
AUD | 1,101,904 | USD | 761,746 | UBS AG | 3/18/20 | (23,554 | ) | |||
USD | 193,122 | AUD | 279,822 | UBS AG | 3/18/20 | 5,662 | ||||
USD | 569,570 | AUD | 825,165 | UBS AG | 3/18/20 | 16,772 | ||||
USD | 378,144 | AUD | 540,129 | UBS AG | 3/18/20 | 16,299 | ||||
BRL | 2,522,491 | USD | 612,969 | Goldman Sachs & Co. | 3/18/20 | (25,299 | ) | |||
USD | 614,792 | BRL | 2,522,491 | Goldman Sachs & Co. | 3/18/20 | 27,121 | ||||
CAD | 7,861 | USD | 6,052 | Morgan Stanley | 3/31/20 | (112 | ) | |||
CAD | 17,150 | USD | 13,132 | Morgan Stanley | 3/31/20 | (173 | ) | |||
CAD | 32,745 | USD | 24,948 | Morgan Stanley | 3/31/20 | (206 | ) | |||
CAD | 23,497 | USD | 17,801 | Morgan Stanley | 3/31/20 | (46 | ) | |||
USD | 237,713 | CAD | 313,327 | Morgan Stanley | 3/18/20 | 963 | ||||
USD | 371,376 | CAD | 485,682 | Morgan Stanley | 3/18/20 | 4,394 | ||||
USD | 548,373 | CAD | 721,218 | Morgan Stanley | 3/31/20 | 3,417 | ||||
USD | 212,760 | CAD | 279,821 | Morgan Stanley | 3/31/20 | 1,326 | ||||
USD | 14,175 | CAD | 18,642 | Morgan Stanley | 3/31/20 | 89 | ||||
USD | 6,868 | CAD | 8,955 | Morgan Stanley | 3/31/20 | 101 | ||||
USD | 5,761 | CAD | 7,584 | Morgan Stanley | 3/31/20 | 31 | ||||
CHF | 14,703 | USD | 15,208 | UBS AG | 3/31/20 | 117 | ||||
CHF | 6,578 | USD | 6,829 | UBS AG | 3/31/20 | 27 | ||||
CHF | 26,820 | USD | 27,791 | UBS AG | 3/31/20 | 163 | ||||
USD | 177,405 | CHF | 173,791 | UBS AG | 3/18/20 | (3,568 | ) | |||
USD | 226,007 | CHF | 217,001 | UBS AG | 3/18/20 | 40 | ||||
USD | 227,478 | CHF | 219,130 | UBS AG | 3/18/20 | (706 | ) | |||
USD | 594,049 | CHF | 578,018 | UBS AG | 3/31/20 | (8,403 | ) | |||
USD | 22,550 | CHF | 21,982 | UBS AG | 3/31/20 | (362 | ) | |||
CLP | 360,452,360 | USD | 469,492 | Goldman Sachs & Co. | 3/18/20 | (19,354 | ) | |||
CLP | 584,944,674 | USD | 756,133 | Goldman Sachs & Co. | 3/18/20 | (25,646 | ) | |||
CLP | 148,586,714 | USD | 193,284 | Goldman Sachs & Co. | 3/18/20 | (7,726 | ) | |||
USD | 476,410 | CLP | 360,523,464 | Goldman Sachs & Co. | 3/18/20 | 26,183 | ||||
USD | 377,864 | CLP | 292,428,922 | Goldman Sachs & Co. | 3/18/20 | 12,674 | ||||
USD | 101,146 | CNY | 708,679 | Goldman Sachs & Co. | 3/18/20 | (25 | ) | |||
COP | 1,230,950,484 | USD | 375,805 | Goldman Sachs & Co. | 3/18/20 | (16,805 | ) | |||
USD | 751,381 | COP | 2,461,900,968 | Goldman Sachs & Co. | 3/18/20 | 33,381 | ||||
USD | 194,779 | COP | 639,461,074 | Goldman Sachs & Co. | 3/18/20 | 8,284 | ||||
USD | 29,224 | CZK | 669,217 | UBS AG | 3/18/20 | (201 | ) | |||
USD | 67,847 | DKK | 452,912 | Goldman Sachs & Co. | 3/18/20 | 429 | ||||
EUR | 216,326 | USD | 238,884 | JPMorgan Chase Bank N.A. | 2/19/20 | 1,252 | ||||
EUR | 32,439 | USD | 36,146 | Credit Suisse AG | 3/31/20 | (46 | ) | |||
EUR | 35,302 | USD | 39,855 | Credit Suisse AG | 3/31/20 | (568 | ) | |||
EUR | 31,514 | USD | 35,242 | Credit Suisse AG | 3/31/20 | (171 | ) | |||
EUR | 64,842 | USD | 71,938 | Credit Suisse AG | 3/31/20 | 223 | ||||
EUR | 9,308 | USD | 10,290 | Credit Suisse AG | 3/31/20 | 68 | ||||
EUR | 39,671 | USD | 44,120 | Credit Suisse AG | 3/31/20 | 28 | ||||
EUR | 69,081 | USD | 76,829 | Credit Suisse AG | 3/31/20 | 50 | ||||
USD | 4,634,323 | EUR | 4,155,859 | JPMorgan Chase Bank N.A. | 2/19/20 | 21,051 | ||||
USD | 1,976,060 | EUR | 1,760,191 | Credit Suisse AG | 3/31/20 | 17,201 | ||||
USD | 371,940 | EUR | 331,309 | Credit Suisse AG | 3/31/20 | 3,238 |
45
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
USD | 1,543,572 | EUR | 1,374,948 | Credit Suisse AG | 3/31/20 | $ | 13,436 | |||
USD | 9,315 | EUR | 8,351 | Credit Suisse AG | 3/31/20 | 21 | ||||
USD | 47,913 | EUR | 42,585 | Credit Suisse AG | 3/31/20 | 522 | ||||
USD | 37,659 | EUR | 33,793 | Credit Suisse AG | 3/31/20 | 52 | ||||
USD | 50,681 | EUR | 45,767 | Credit Suisse AG | 3/31/20 | (253 | ) | |||
USD | 13,827 | EUR | 12,495 | Credit Suisse AG | 3/31/20 | (78 | ) | |||
GBP | 60,000 | USD | 80,451 | Bank of America N.A. | 3/18/20 | (1,130 | ) | |||
GBP | 50,623 | USD | 66,722 | Bank of America N.A. | 3/18/20 | 203 | ||||
GBP | 22,704 | USD | 29,649 | JPMorgan Chase Bank N.A. | 3/31/20 | 377 | ||||
GBP | 14,122 | USD | 18,588 | JPMorgan Chase Bank N.A. | 3/31/20 | 88 | ||||
GBP | 14,722 | USD | 19,177 | JPMorgan Chase Bank N.A. | 3/31/20 | 293 | ||||
GBP | 26,459 | USD | 34,548 | JPMorgan Chase Bank N.A. | 3/31/20 | 444 | ||||
GBP | 39,517 | USD | 51,608 | JPMorgan Chase Bank N.A. | 3/31/20 | 653 | ||||
GBP | 22,194 | USD | 29,079 | JPMorgan Chase Bank N.A. | 3/31/20 | 272 | ||||
GBP | 36,893 | USD | 48,338 | JPMorgan Chase Bank N.A. | 3/31/20 | 452 | ||||
GBP | 10,348 | USD | 13,562 | JPMorgan Chase Bank N.A. | 3/31/20 | 123 | ||||
GBP | 10,250 | USD | 13,347 | JPMorgan Chase Bank N.A. | 3/31/20 | 209 | ||||
GBP | 21,825 | USD | 28,419 | JPMorgan Chase Bank N.A. | 3/31/20 | 445 | ||||
USD | 1,686,170 | GBP | 1,282,278 | Bank of America N.A. | 3/18/20 | (9,022 | ) | |||
USD | 1,245,540 | GBP | 945,547 | JPMorgan Chase Bank N.A. | 3/31/20 | (4,924 | ) | |||
USD | 712,041 | GBP | 540,543 | JPMorgan Chase Bank N.A. | 3/31/20 | (2,815 | ) | |||
USD | 19,385 | GBP | 15,173 | JPMorgan Chase Bank N.A. | 3/31/20 | (681 | ) | |||
USD | 29,763 | GBP | 22,746 | JPMorgan Chase Bank N.A. | 3/31/20 | (318 | ) | |||
USD | 18 | HUF | 5,388 | UBS AG | 3/18/20 | 1 | ||||
IDR | 3,898,686,908 | USD | 276,797 | Goldman Sachs & Co. | 3/18/20 | 4,293 | ||||
USD | 714,109 | IDR | 10,086,795,676 | Goldman Sachs & Co. | 3/18/20 | (13,136 | ) | |||
USD | 281,217 | IDR | 3,948,292,202 | Goldman Sachs & Co. | 3/18/20 | (3,449 | ) | |||
USD | 382,201 | ILS | 1,323,794 | UBS AG | 3/18/20 | (2,132 | ) | |||
INR | 40,039,204 | USD | 561,954 | Goldman Sachs & Co. | 3/18/20 | (5,583 | ) | |||
INR | 20,684,902 | USD | 285,782 | Goldman Sachs & Co. | 3/18/20 | 1,648 | ||||
INR | 54,304,326 | USD | 755,749 | Goldman Sachs & Co. | 3/18/20 | (1,155 | ) | |||
USD | 277,066 | INR | 19,864,257 | Goldman Sachs & Co. | 3/18/20 | 1,039 | ||||
USD | 454,423 | INR | 32,645,747 | Goldman Sachs & Co. | 3/18/20 | 789 | ||||
JPY | 25,797,652 | USD | 235,161 | Bank of America N.A. | 2/19/20 | 3,112 | ||||
JPY | 25,622,032 | USD | 232,968 | Bank of America N.A. | 2/19/20 | 3,683 | ||||
JPY | 1,284,282 | USD | 11,874 | Bank of America N.A. | 3/31/20 | 15 | ||||
JPY | 1,342,039 | USD | 12,408 | Bank of America N.A. | 3/31/20 | 16 | ||||
JPY | 1,432,333 | USD | 13,307 | Bank of America N.A. | 3/31/20 | (48 | ) | |||
JPY | 1,841,400 | USD | 16,803 | Bank of America N.A. | 3/31/20 | 242 | ||||
JPY | 1,360,277 | USD | 12,463 | Bank of America N.A. | 3/31/20 | 129 | ||||
JPY | 1,074,297 | USD | 9,885 | Bank of America N.A. | 3/31/20 | 60 | ||||
JPY | 2,166,383 | USD | 19,930 | Bank of America N.A. | 3/31/20 | 124 | ||||
JPY | 2,455,200 | USD | 22,587 | Bank of America N.A. | 3/31/20 | 140 | ||||
JPY | 1,004,400 | USD | 9,256 | Bank of America N.A. | 3/31/20 | 41 | ||||
USD | 2,813,969 | JPY | 305,188,455 | Bank of America N.A. | 2/19/20 | (4,822 | ) | |||
USD | 522,776 | JPY | 56,871,720 | Bank of America N.A. | 3/31/20 | (3,685 | ) | |||
USD | 318,852 | JPY | 34,687,190 | Bank of America N.A. | 3/31/20 | (2,247 | ) | |||
USD | 401,620 | JPY | 43,691,400 | Bank of America N.A. | 3/31/20 | (2,831 | ) | |||
USD | 8,720 | JPY | 948,600 | Bank of America N.A. | 3/31/20 | (61 | ) | |||
USD | 11,222 | JPY | 1,218,189 | Bank of America N.A. | 3/31/20 | (55 | ) |
46
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
USD | 12,619 | KRW | 14,807,935 | Goldman Sachs & Co. | 3/18/20 | $ | 232 | |||
KZT | 175,114,442 | USD | 443,890 | Goldman Sachs & Co. | 3/18/20 | 13,390 | ||||
KZT | 202,346,128 | USD | 515,992 | Goldman Sachs & Co. | 3/18/20 | 12,399 | ||||
MXN | 3,714,570 | USD | 193,647 | Morgan Stanley | 3/18/20 | 1,719 | ||||
MXN | 2,024,449 | USD | 106,335 | Morgan Stanley | 3/18/20 | 140 | ||||
USD | 118,879 | MXN | 2,297,506 | Morgan Stanley | 3/18/20 | (1,957 | ) | |||
MYR | 2,918,344 | USD | 703,215 | Goldman Sachs & Co. | 3/18/20 | 6,661 | ||||
MYR | 1,531,475 | USD | 370,907 | Goldman Sachs & Co. | 3/18/20 | 1,618 | ||||
USD | 389,433 | MYR | 1,599,597 | Goldman Sachs & Co. | 3/18/20 | 337 | ||||
NOK | 3,436,057 | USD | 381,607 | Goldman Sachs & Co. | 3/18/20 | (7,976 | ) | |||
NOK | 3,473,353 | USD | 390,692 | Goldman Sachs & Co. | 3/18/20 | (13,006 | ) | |||
NOK | 113,522 | USD | 12,878 | Goldman Sachs & Co. | 3/31/20 | (533 | ) | |||
NOK | 157,077 | USD | 17,687 | Goldman Sachs & Co. | 3/31/20 | (606 | ) | |||
USD | 858,610 | NOK | 7,811,717 | Goldman Sachs & Co. | 3/18/20 | 9,177 | ||||
USD | 797,368 | NOK | 7,252,461 | Goldman Sachs & Co. | 3/18/20 | 8,748 | ||||
USD | 403,756 | NOK | 3,576,309 | Goldman Sachs & Co. | 3/18/20 | 14,874 | ||||
USD | 483,111 | NOK | 4,355,296 | Goldman Sachs & Co. | 3/31/20 | 9,496 | ||||
USD | 11,958 | NOK | 106,806 | Goldman Sachs & Co. | 3/31/20 | 344 | ||||
NZD | 224 | USD | 148 | Bank of America N.A. | 3/18/20 | (3 | ) | |||
NZD | 570,804 | USD | 379,802 | Bank of America N.A. | 3/18/20 | (10,632 | ) | |||
PEN | 1,457,691 | USD | 434,354 | Goldman Sachs & Co. | 3/18/20 | (4,564 | ) | |||
USD | 727,227 | PEN | 2,476,353 | Goldman Sachs & Co. | 3/18/20 | (2,907 | ) | |||
PHP | 9,489,202 | USD | 187,090 | Goldman Sachs & Co. | 3/18/20 | (1,481 | ) | |||
USD | 375,671 | PHP | 19,064,545 | Goldman Sachs & Co. | 3/18/20 | 2,768 | ||||
PLN | 1,448,634 | USD | 383,368 | UBS AG | 3/18/20 | (9,399 | ) | |||
PLN | 722,053 | USD | 190,140 | UBS AG | 3/18/20 | (3,740 | ) | |||
USD | 437,317 | PLN | 1,685,052 | UBS AG | 3/18/20 | 2,316 | ||||
USD | 22,388 | RUB | 1,421,115 | Goldman Sachs & Co. | 3/18/20 | 261 | ||||
SEK | 9,456,818 | USD | 1,010,517 | Goldman Sachs & Co. | 3/18/20 | (26,187 | ) | |||
USD | 405,319 | SEK | 3,775,386 | Goldman Sachs & Co. | 3/18/20 | 12,352 | ||||
USD | 69,519 | SGD | 94,171 | Bank of America N.A. | 3/18/20 | 502 | ||||
USD | 729,764 | THB | 22,024,272 | Goldman Sachs & Co. | 3/18/20 | 22,550 | ||||
$ | 77,039 |
FUTURES CONTRACTS PURCHASED | |||||||||||
Reference Entity | Contracts | Expiration Date | Notional Amount | Underlying Contract Value | Unrealized Appreciation (Depreciation) | ||||||
Japanese 10-Year Mini Government Bonds | 6 | March 2020 | JPY | 60,000,000 | $ | 846,661 | $ | 1,855 | |||
Korean Treasury 10-Year Bonds | 3 | March 2020 | KRW | 300,000,000 | 331,325 | 4,123 | |||||
U.S. Treasury 10-Year Notes | 30 | March 2020 | USD | 3,000,000 | 3,949,688 | 61,807 | |||||
U.S. Treasury 2-Year Notes | 131 | March 2020 | USD | 26,200,000 | 28,343,078 | 93,862 | |||||
U.S. Treasury 5-Year Notes | 66 | March 2020 | USD | 6,600,000 | 7,941,141 | 83,383 | |||||
$ | 41,411,893 | $ | 245,030 |
47
FUTURES CONTRACTS SOLD | |||||||||||
Reference Entity | Contracts | Expiration Date | Notional Amount | Underlying Contract Value | Unrealized Appreciation (Depreciation) | ||||||
Euro-Bund 10-Year Bonds | 1 | March 2020 | EUR | 100,000 | $ | 194,128 | $ | (2,138 | ) |
CENTRALLY CLEARED CREDIT DEFAULT SWAP AGREEMENTS | |||||||||||||||
Reference Entity | Type‡ | Fixed Rate Received (Paid) Quarterly | Termination Date | Notional Amount | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Value^ | ||||||||
Markit CDX North America High Yield Index Series 32 | Sell | 5.00% | 6/20/24 | $ | 4,316,900 | $ | 254,346 | $ | 138,069 | $ | 392,415 |
‡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.
^The value for credit default swap agreements serves as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability or profit at the period end. Increasing values in absolute terms when compared to the notional amount of the credit default swap agreement represent a deterioration of the referenced entity's credit soundness and an increased likelihood or risk of a credit event occurring as defined in the agreement.
48
NOTES TO SCHEDULE OF INVESTMENTS | |||||
ADR | - | American Depositary Receipt | MTN | - | Medium Term Note |
AUD | - | Australian Dollar | MXN | - | Mexican Peso |
BRL | - | Brazilian Real | MYR | - | Malaysian Ringgit |
CAD | - | Canadian Dollar | NOK | - | Norwegian Krone |
CDX | - | Credit Derivatives Indexes | NZD | - | New Zealand Dollar |
CHF | - | Swiss Franc | PEN | - | Peruvian Sol |
CLP | - | Chilean Peso | PHP | - | Philippine Peso |
CNY | - | Chinese Yuan | PLN | - | Polish Zloty |
COP | - | Colombian Peso | RUB | - | Russian Ruble |
CZK | - | Czech Koruna | SBBPA | - | Standby Bond Purchase Agreement |
DKK | - | Danish Krone | SEK | - | Swedish Krona |
EFFR | - | Effective Federal Funds Rate | SEQ | - | Sequential Payer |
EUR | - | Euro | SGD | - | Singapore Dollar |
FHLMC | - | Federal Home Loan Mortgage Corporation | SOFR | - | Secured Overnight Financing Rate |
FNMA | - | Federal National Mortgage Association | THB | - | Thai Baht |
GBP | - | British Pound | USD | - | United States Dollar |
GNMA | - | Government National Mortgage Association | VRDN | - | Variable Rate Demand Note. The instrument may be payable upon demand and adjusts periodically based upon the terms set forth in the security's offering documents. The rate shown is effective at the period end and the reference rate and spread, if any, is indicated. The date of the demand feature is disclosed. |
GO | - | General Obligation | |||
H15T1Y | - | Constant Maturity U.S. Treasury Note Yield Curve Rate Index | |||
HUF | - | Hungarian Forint | |||
IDR | - | Indonesian Rupiah | |||
ILS | - | Israeli Shekel | VRN | - | Variable Rate Note. The rate adjusts periodically based upon the terms set forth in the security’s offering documents. The rate shown is effective at the period end and the reference rate and spread, if any, is indicated. |
INR | - | Indian Rupee | |||
JPY | - | Japanese Yen | |||
KRW | - | South Korean Won | |||
KZT | - | Kazakhstani Tenge | |||
LIBOR | - | London Interbank Offered Rate | |||
LOC | - | Letter of Credit |
† | Category is less than 0.05% of total net assets. |
(1) | Non-income producing. |
(2) | Investments are funds within the American Century Investments family of funds and are considered affiliated funds. |
(3) | Security was purchased pursuant to Rule 144A or Section 4(2) under the Securities Act of 1933 and may be sold in transactions exempt from registration, normally to qualified institutional investors. The aggregate value of these securities at the period end was $27,813,342, which represented 3.7% of total net assets. |
(4) | 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. |
(5) | Security, or a portion thereof, has been pledged at the custodian bank or with a broker for collateral requirements on forward foreign currency exchange contracts, futures contracts and/or swap agreements. At the period end, the aggregate value of securities pledged was $439,986. |
(6) | Security is a zero-coupon bond. |
(7) | 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. |
See Notes to Financial Statements.
49
Statement of Assets and Liabilities |
JANUARY 31, 2020 (UNAUDITED) | |||
Assets | |||
Investment securities - unaffiliated, at value (cost of $386,832,528) | $ | 471,037,505 | |
Investment securities - affiliated, at value (cost of $261,719,491) | 271,279,172 | ||
Total investment securities, at value (cost of $648,552,019) | 742,316,677 | ||
Cash | 83,082 | ||
Foreign currency holdings, at value (cost of $3,748) | 3,755 | ||
Foreign deposits with broker for futures contracts, at value (cost of $41,110) | 39,502 | ||
Receivable for investments sold | 2,047,552 | ||
Receivable for capital shares sold | 324,995 | ||
Receivable for variation margin on futures contracts | 59,802 | ||
Unrealized appreciation on forward foreign currency exchange contracts | 353,390 | ||
Dividends and interest receivable | 1,269,131 | ||
Other assets | 29,430 | ||
746,527,316 | |||
Liabilities | |||
Payable for investments purchased | 2,321,956 | ||
Payable for capital shares redeemed | 808,540 | ||
Payable for variation margin on futures contracts | 1,237 | ||
Payable for variation margin on swap agreements | 12,794 | ||
Unrealized depreciation on forward foreign currency exchange contracts | 276,351 | ||
Accrued management fees | 422,353 | ||
Distribution and service fees payable | 70,054 | ||
Accrued foreign taxes | 734 | ||
3,914,019 | |||
Net Assets | $ | 742,613,297 | |
Net Assets Consist of: | |||
Capital (par value and paid-in surplus) | $ | 645,370,055 | |
Distributable earnings | 97,243,242 | ||
$ | 742,613,297 |
Net Assets | Shares Outstanding | Net Asset Value Per Share | ||
Investor Class, $0.01 Par Value | $279,274,457 | 38,459,401 | $7.26 | |
I Class, $0.01 Par Value | $49,423,447 | 6,865,266 | $7.20 | |
A Class, $0.01 Par Value | $154,636,001 | 21,075,226 | $7.34* | |
C Class, $0.01 Par Value | $33,217,330 | 4,651,419 | $7.14 | |
R Class, $0.01 Par Value | $17,572,255 | 2,396,400 | $7.33 | |
R5 Class, $0.01 Par Value | $8,739 | 1,213 | $7.20 | |
R6 Class, $0.01 Par Value | $208,481,068 | 29,059,783 | $7.17 | |
*Maximum offering price $7.79 (net asset value divided by 0.9425). |
See Notes to Financial Statements.
50
Statement of Operations |
FOR THE SIX MONTHS ENDED JANUARY 31, 2020 (UNAUDITED) | |||
Investment Income (Loss) | |||
Income: | |||
Dividends (including $1,191,074 from affiliated funds and net of foreign taxes withheld of $110,186) | $ | 5,480,694 | |
Interest (net of foreign taxes withheld of $1,280) | 2,301,759 | ||
7,782,453 | |||
Expenses: | |||
Management fees | 3,975,906 | ||
Distribution and service fees: | |||
A Class | 202,461 | ||
C Class | 173,160 | ||
R Class | 45,459 | ||
Directors' fees and expenses | 13,363 | ||
Other expenses | 6,088 | ||
4,416,437 | |||
Fees waived(1) | (879,080) | ||
3,537,357 | |||
Net investment income (loss) | 4,245,096 | ||
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) on: | |||
Investment transactions (including $832,634 from affiliated funds and net of foreign tax expenses paid (refunded) of $(7,243)) | 83,411,629 | ||
Forward foreign currency exchange contract transactions | 155,152 | ||
Futures contract transactions | 394,043 | ||
Swap agreement transactions | 41,576 | ||
Foreign currency translation transactions | 39,943 | ||
84,042,343 | |||
Change in net unrealized appreciation (depreciation) on: | |||
Investments (including $9,373,531 from affiliated funds and (increase) decrease in accrued foreign taxes of $(404)) | (43,575,339 | ) | |
Forward foreign currency exchange contracts | (343,897 | ) | |
Futures contracts | 129,393 | ||
Swap agreements | 70,404 | ||
Translation of assets and liabilities in foreign currencies | 12,928 | ||
(43,706,511 | ) | ||
Net realized and unrealized gain (loss) | 40,335,832 | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 44,580,928 |
(1) | Amount consists of $333,604, $59,894, $184,693, $39,659, $21,227, $10, $239,993 for Investor Class, I Class, A Class, C Class, R Class, R5 Class and R6 Class, respectively. |
See Notes to Financial Statements.
51
Statement of Changes in Net Assets |
SIX MONTHS ENDED JANUARY 31, 2020 (UNAUDITED) AND YEAR ENDED JULY 31, 2019 | ||||||
Increase (Decrease) in Net Assets | January 31, 2020 | July 31, 2019 | ||||
Operations | ||||||
Net investment income (loss) | $ | 4,245,096 | $ | 10,065,251 | ||
Net realized gain (loss) | 84,042,343 | 36,015,026 | ||||
Change in net unrealized appreciation (depreciation) | (43,706,511 | ) | (22,602,760 | ) | ||
Net increase (decrease) in net assets resulting from operations | 44,580,928 | 23,477,517 | ||||
Distributions to Shareholders | ||||||
From earnings: | ||||||
Investor Class | (39,330,667 | ) | (35,896,956 | ) | ||
I Class | (7,242,449 | ) | (5,086,183 | ) | ||
A Class | (20,887,372 | ) | (17,614,660 | ) | ||
C Class | (4,378,225 | ) | (4,161,706 | ) | ||
R Class | (2,438,972 | ) | (1,787,515 | ) | ||
R5 Class | (1,169 | ) | (665 | ) | ||
R6 Class | (29,024,821 | ) | (20,521,305 | ) | ||
Decrease in net assets from distributions | (103,303,675 | ) | (85,068,990 | ) | ||
Capital Share Transactions | ||||||
Net increase (decrease) in net assets from capital share transactions (Note 5) | 24,676,246 | (65,940,445 | ) | |||
Net increase (decrease) in net assets | (34,046,501 | ) | (127,531,918 | ) | ||
Net Assets | ||||||
Beginning of period | 776,659,798 | 904,191,716 | ||||
End of period | $ | 742,613,297 | $ | 776,659,798 |
See Notes to Financial Statements.
52
Notes to Financial Statements |
JANUARY 31, 2020 (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 may invest in varying combinations of other affiliated investment companies such as mutual funds and exchange-traded funds advised by American Century Investments (affiliated funds). The fund will assume the risks associated with the affiliated funds. 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, I Class, A Class, C Class, R Class, R5 Class and 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.
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 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. Corporate bonds, U.S. Treasury and Government Agency securities, convertible bonds, municipal securities, and sovereign governments and agencies are valued using market models that consider trade data, quotations from dealers and active market makers, relevant yield curve and spread data, creditworthiness, trade data or market information on comparable securities, and other relevant security specific information. Mortgage-related and asset-backed securities are valued based on models that consider trade data, prepayment and default projections, benchmark yield and spread data and estimated cash flows of each tranche of the issuer. Collateralized loan obligations are valued based on discounted cash flow models that consider trade and economic data, prepayment assumptions and default projections. Commercial paper is valued using a curve-based approach that considers money market rates for specific instruments, programs, currencies and maturity points from a variety of active market makers. 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.
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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 exchange. Swap agreements are valued at an evaluated mean 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. Investments 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.
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. 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 less foreign taxes withheld, if any, 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 investment securities and other financial instruments. American Century Investment Management, Inc. (ACIM) (the investment advisor) 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 collateral requirements.
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.
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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 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 difference in the fee among the classes is a result of their separate arrangements for non-Rule 12b-1 shareholder services. It is not the result of any difference in advisory or custodial fees or other expenses related to the management of the fund’s assets, which do not vary by class. 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 use very similar investment teams and strategies (strategy assets). 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 allocation 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 August 1, 2019 through October 23, 2019, the investment advisor agreed to waive an additional 0.05% of the fund's management fee. Effective October 24, 2019, the investment advisor agreed to waive an additional 0.28% of the fund's management fee. The investment advisor expects this waiver to continue until November 30, 2020 and cannot terminate it prior to such date without the approval of the Board of Directors.
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The management fee schedule range and the effective annual management fee before and after waiver for each class for the period ended January 31, 2020 are as follows:
Management Fee Schedule Range | Effective Annual Management Fee | ||
Before Waiver | After Waiver | ||
Investor Class | 0.90% to 1.15% | 1.15% | 0.92% |
I Class | 0.70% to 0.95% | 0.95% | 0.72% |
A Class | 0.90% to 1.15% | 1.15% | 0.92% |
C Class | 0.90% to 1.15% | 1.15% | 0.92% |
R Class | 0.90% to 1.15% | 1.15% | 0.92% |
R5 Class | 0.70% to 0.95% | 0.95% | 0.72% |
R6 Class | 0.55% to 0.80% | 0.80% | 0.57% |
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 period ended January 31, 2020 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.
Interfund Transactions — The fund may enter into security transactions with other American Century Investments funds and other client accounts of the investment advisor, in accordance with the 1940 Act rules and procedures adopted by the Board of Directors. The rules and procedures require, among other things, that these transactions be effected at the independent current market price of the security. During the period, the interfund purchases and sales were $1,539,631 and $3,119,582, respectively. The effect of interfund transactions on the Statement of Operations was $391,609 in net realized gain (loss) on investment transactions.
4. Investment Transactions
Purchases of investment securities, excluding short-term investments, for the period ended January 31, 2020 totaled $458,642,566, of which $14,369,303 represented U.S. Treasury and Government Agency obligations.
Sales of investment securities, excluding short-term investments, for the period ended January 31, 2020 totaled $546,393,890, of which $32,357,709 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 January 31, 2020 | Year ended July 31, 2019 | |||||||||
Shares | Amount | Shares | Amount | |||||||
Investor Class/Shares Authorized | 600,000,000 | 600,000,000 | ||||||||
Sold | 1,206,502 | $ | 9,392,686 | 3,876,856 | $ | 30,717,281 | ||||
Issued in reinvestment of distributions | 5,236,240 | 38,015,100 | 5,134,280 | 35,221,158 | ||||||
Redeemed | (5,985,667 | ) | (46,285,328 | ) | (14,490,248 | ) | (110,897,287 | ) | ||
457,075 | 1,122,458 | (5,479,112 | ) | (44,958,848 | ) | |||||
I Class/Shares Authorized | 150,000,000 | 150,000,000 | ||||||||
Sold | 478,996 | 3,710,482 | 2,975,109 | 23,218,777 | ||||||
Issued in reinvestment of distributions | 995,634 | 7,168,568 | 739,624 | 5,029,442 | ||||||
Redeemed | (1,277,030 | ) | (9,758,178 | ) | (5,140,702 | ) | (40,362,621 | ) | ||
197,600 | 1,120,872 | (1,425,969 | ) | (12,114,402 | ) | |||||
A Class/Shares Authorized | 375,000,000 | 375,000,000 | ||||||||
Sold | 1,125,166 | 8,765,153 | 2,998,946 | 23,794,704 | ||||||
Issued in reinvestment of distributions | 2,745,550 | 20,152,338 | 2,457,011 | 17,002,518 | ||||||
Redeemed | (3,972,702 | ) | (31,365,661 | ) | (6,171,960 | ) | (48,346,675 | ) | ||
(101,986 | ) | (2,448,170 | ) | (716,003 | ) | (7,549,453 | ) | |||
C Class/Shares Authorized | 90,000,000 | 90,000,000 | ||||||||
Sold | 157,771 | 1,200,943 | 419,947 | 3,195,688 | ||||||
Issued in reinvestment of distributions | 601,653 | 4,301,818 | 605,802 | 4,095,222 | ||||||
Redeemed | (830,999 | ) | (6,344,210 | ) | (2,661,920 | ) | (20,818,745 | ) | ||
(71,575 | ) | (841,449 | ) | (1,636,171 | ) | (13,527,835 | ) | |||
R Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||
Sold | 147,585 | 1,152,938 | 312,151 | 2,485,602 | ||||||
Issued in reinvestment of distributions | 327,567 | 2,404,343 | 255,517 | 1,768,182 | ||||||
Redeemed | (323,590 | ) | (2,452,307 | ) | (602,858 | ) | (4,734,465 | ) | ||
151,562 | 1,104,974 | (35,190 | ) | (480,681 | ) | |||||
R5 Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||
Sold | 108 | 836 | 145 | 1,119 | ||||||
Issued in reinvestment of distributions | 162 | 1,169 | 97 | 665 | ||||||
Redeemed | (18 | ) | (144 | ) | (2 | ) | (15 | ) | ||
252 | 1,861 | 240 | 1,769 | |||||||
R6 Class/Shares Authorized | 90,000,000 | 90,000,000 | ||||||||
Sold | 1,496,260 | 11,433,195 | 3,212,752 | 24,766,797 | ||||||
Issued in reinvestment of distributions | 4,048,092 | 29,024,821 | 3,026,739 | 20,521,293 | ||||||
Redeemed | (2,052,947 | ) | (15,842,316 | ) | (4,249,987 | ) | (32,599,085 | ) | ||
3,491,405 | 24,615,700 | 1,989,504 | 12,689,005 | |||||||
Net increase (decrease) | 4,124,333 | $ | 24,676,246 | (7,302,701 | ) | $ | (65,940,445 | ) |
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6. Affiliated Fund Transactions
A summary of transactions for each affiliated fund for the period ended January 31, 2020 follows (amounts in thousands):
Affiliated Fund(1) | Beginning Value | Purchase Cost | Sales Cost | Change in Net Unrealized Appreciation (Depreciation) | Ending Value | Ending Shares | Net Realized Gain (Loss) | Distributions Received(2) | |||||||||||||||
American Century Diversified Corporate Bond ETF | $ | 7,409 | $ | 7,308 | — | $ | 268 | $ | 14,985 | 288 | — | $ | 188 | ||||||||||
American Century Quality Diversified International ETF | — | 33,045 | $ | 2,701 | 1,157 | 31,501 | 771 | $ | 152 | 172 | |||||||||||||
American Century STOXX U.S. Quality Growth ETF | — | 46,777 | 3,804 | 3,197 | 46,170 | 1,025 | 241 | 64 | |||||||||||||||
American Century STOXX U.S. Quality Value ETF | 2,959 | 38,672 | 3,725 | 737 | 38,643 | 921 | (16 | ) | 259 | ||||||||||||||
Avantis Emerging Markets Equity ETF | — | 40,475 | 2,234 | 373 | 38,614 | 751 | 167 | 146 | |||||||||||||||
Avantis International Equity ETF | — | 31,525 | 2,627 | 647 | 29,545 | 564 | 119 | 94 | |||||||||||||||
Avantis International Small Cap Value ETF | — | 9,247 | 272 | 184 | 9,159 | 174 | 11 | 36 | |||||||||||||||
Avantis U.S. Equity ETF | — | 51,314 | 2,285 | 3,132 | 52,161 | 965 | 147 | 188 | |||||||||||||||
Avantis U.S. Small Cap Value ETF | — | 11,017 | 195 | (321 | ) | 10,501 | 212 | 12 | 44 | ||||||||||||||
$ | 10,368 | $ | 269,380 | $ | 17,843 | $ | 9,374 | $ | 271,279 | 5,671 | $ | 833 | $ | 1,191 |
(1) | Investments are funds within the American Century Investments family of funds and are considered affiliated funds. Additional information and attributes of each affiliated fund are available at americancentury.com or avantisinvestors.com. |
(2) | Distributions received includes distributions from net investment income and from capital gains, if any. |
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7. Investments in 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. As of period end, the fund owned 25% or more of the total outstanding shares of the following affiliated funds:
Affiliated Fund | % of outstanding shares |
American Century Quality Diversified International ETF | 32% |
American Century STOXX U.S. Quality Growth ETF | 31% |
American Century STOXX U.S. Quality Value ETF | 29% |
Avantis Emerging Markets Equity ETF | 42% |
Avantis International Equity ETF | 28% |
Avantis U.S. Equity ETF | 31% |
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.
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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 | $ | 256,386,876 | $ | 60,768,066 | — | |||
Affiliated Funds | 271,279,172 | — | — | |||||
Corporate Bonds | — | 40,627,980 | — | |||||
U.S. Treasury Securities | — | 29,379,613 | — | |||||
U.S. Government Agency Mortgage-Backed Securities | — | 13,706,757 | — | |||||
Sovereign Governments and Agencies | — | 11,707,017 | — | |||||
Asset-Backed Securities | — | 6,559,812 | — | |||||
Collateralized Loan Obligations | — | 5,604,818 | — | |||||
Exchange-Traded Funds | 3,734,477 | — | — | |||||
Collateralized Mortgage Obligations | — | 3,629,970 | — | |||||
Commercial Mortgage-Backed Securities | — | 3,567,640 | — | |||||
Municipal Securities | — | 3,206,682 | — | |||||
Commercial Paper | — | 1,124,119 | — | |||||
U.S. Government Agency Securities | — | 499,981 | — | |||||
Temporary Cash Investments | 29,862,491 | 671,206 | — | |||||
$ | 561,263,016 | $ | 181,053,661 | — | ||||
Other Financial Instruments | ||||||||
Futures Contracts | $ | 239,052 | $ | 5,978 | — | |||
Swap Agreements | — | 392,415 | — | |||||
Forward Foreign Currency Exchange Contracts | — | 353,390 | — | |||||
$ | 239,052 | $ | 751,783 | — | ||||
Liabilities | ||||||||
Other Financial Instruments | ||||||||
Futures Contracts | — | $ | 2,138 | — | ||||
Forward Foreign Currency Exchange Contracts | — | 276,351 | — | |||||
— | $ | 278,489 | — |
9. 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. The buyer/seller of credit protection against a security or basket of securities may pay/receive an up-front or periodic payment to compensate for/against potential default events. Changes in value, including the periodic amounts of interest to be paid or received on swap agreements, are recorded as unrealized appreciation (depreciation) on swap agreements. 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 $4,346,267.
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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. The fund's average notional exposure to equity price risk derivative instruments held during the period was $550 futures contracts purchased.
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 forward foreign currency exchange contract transactions and change in net unrealized appreciation (depreciation) on forward foreign currency exchange contracts, 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 $61,369,532.
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 notional exposure to interest rate risk derivative instruments held during the period was $36,291,841 futures contracts purchased and $183,581 futures contracts sold.
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Value of Derivative Instruments as of January 31, 2020
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* | — | Payable for variation margin on swap agreements* | $ | 12,794 | |||
Foreign Currency Risk | Unrealized appreciation on forward foreign currency exchange contracts | $ | 353,390 | Unrealized depreciation on forward foreign currency exchange contracts | 276,351 | |||
Interest Rate Risk | Receivable for variation margin on futures contracts* | 59,802 | Payable for variation margin on futures contracts* | 1,237 | ||||
$ | 413,192 | $ | 290,382 | |||||
* Included in the unrealized appreciation (depreciation) on futures contracts or centrally cleared swap agreements, as applicable, as reported in the Schedule of Investments. | ||||||||
Effect of Derivative Instruments on the Statement of Operations for the Six Months Ended January 31, 2020 | ||||||||
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 | $ | 41,576 | Change in net unrealized appreciation (depreciation) on swap agreements | $ | 70,404 | ||
Equity Price Risk | Net realized gain (loss) on futures contract transactions | 131,668 | Change in net unrealized appreciation (depreciation) on futures contracts | 9,422 | ||||
Foreign Currency Risk | Net realized gain (loss) on forward foreign currency exchange contract transactions | 155,152 | Change in net unrealized appreciation (depreciation) on forward foreign currency exchange contracts | (343,897 | ) | |||
Interest Rate Risk | Net realized gain (loss) on futures contract transactions | 262,375 | Change in net unrealized appreciation (depreciation) on futures contracts | 119,971 | ||||
$ | 590,771 | $ | (144,100 | ) |
10. Risk Factors
The value of the fund’s shares will go up and down based on the performance of the companies whose securities it owns and other factors generally affecting the securities market. Market risks, including political, regulatory, economic and social developments, can affect the value of the fund’s investments. Natural disasters, public health emergencies, terrorism and other unforeseeable events may lead to increased market volatility and may have adverse long-term effects on world economies and markets generally.
There are certain risks involved in investing in foreign securities. These risks include those resulting from political events (such as civil unrest, national elections and imposition of exchange controls), social and economic events (such as labor strikes and rising inflation), and natural disasters. Securities of foreign issuers may be less liquid and more volatile. Investing in emerging markets or a significant portion of assets in one country or region 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.
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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 period end, the components of investments for federal income tax purposes were as follows:
Federal tax cost of investments | $ | 654,765,060 | |
Gross tax appreciation of investments | $ | 93,664,560 | |
Gross tax depreciation of investments | (6,112,943 | ) | |
Net tax appreciation (depreciation) of investments | $ | 87,551,617 |
The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales.
12. Recently Issued Accounting Standards
In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update No. 2017-08, “Receivables - Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities” (ASU 2017-08). ASU 2017-08 amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. The adoption of ASU 2017-08 did not materially impact the financial statements.
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Financial Highlights |
For a Share Outstanding Throughout the Years Ended July 31 (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 | 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 | |||||||||||||||||
2020(4) | $7.91 | 0.04 | 0.43 | 0.47 | (0.13) | (0.99) | (1.12) | $7.26 | 6.04% | 0.93%(5) | 1.16%(5) | 1.11%(5) | 0.88%(5) | 63% | $279,274 | ||
2019 | $8.57 | 0.10 | 0.11 | 0.21 | (0.10) | (0.77) | (0.87) | $7.91 | 3.96% | 1.11% | 1.16% | 1.27% | 1.22% | 78% | $300,544 | ||
2018(6) | $9.04 | 0.06 | 0.28 | 0.34 | (0.12) | (0.69) | (0.81) | $8.57 | 4.05% | 1.11%(5) | 1.16%(5) | 1.10%(5) | 1.05%(5) | 58% | $372,601 | ||
2017 | $7.80 | 0.10 | 1.37 | 1.47 | (0.11) | (0.12) | (0.23) | $9.04 | 19.30% | 1.11% | 1.16% | 1.19% | 1.14% | 80% | $448,081 | ||
2016 | $8.19 | 0.09 | 0.17 | 0.26 | (0.09) | (0.56) | (0.65) | $7.80 | 3.61% | 1.11% | 1.16% | 1.23% | 1.18% | 82% | $438,001 | ||
2015 | $9.19 | 0.08 | (0.14) | (0.06) | (0.03) | (0.91) | (0.94) | $8.19 | (0.27)% | 1.13% | 1.15% | 0.98% | 0.96% | 94% | $492,452 | ||
2014 | $9.46 | 0.07 | 0.71 | 0.78 | (0.12) | (0.93) | (1.05) | $9.19 | 9.47% | 1.17% | 1.17% | 0.76% | 0.76% | 77% | $527,740 | ||
I Class | |||||||||||||||||
2020(4) | $7.86 | 0.05 | 0.43 | 0.48 | (0.15) | (0.99) | (1.14) | $7.20 | 6.17% | 0.73%(5) | 0.96%(5) | 1.31%(5) | 1.08%(5) | 63% | $49,423 | ||
2019 | $8.52 | 0.11 | 0.11 | 0.22 | (0.11) | (0.77) | (0.88) | $7.86 | 4.22% | 0.91% | 0.96% | 1.47% | 1.42% | 78% | $52,389 | ||
2018(6) | $9.00 | 0.07 | 0.28 | 0.35 | (0.14) | (0.69) | (0.83) | $8.52 | 4.18% | 0.91%(5) | 0.96%(5) | 1.30%(5) | 1.25%(5) | 58% | $68,975 | ||
2017 | $7.76 | 0.12 | 1.36 | 1.48 | (0.12) | (0.12) | (0.24) | $9.00 | 19.64% | 0.91% | 0.96% | 1.39% | 1.34% | 80% | $139,110 | ||
2016 | $8.16 | 0.11 | 0.15 | 0.26 | (0.10) | (0.56) | (0.66) | $7.76 | 3.71% | 0.91% | 0.96% | 1.43% | 1.38% | 82% | $123,699 | ||
2015 | $9.16 | 0.10 | (0.14) | (0.04) | (0.05) | (0.91) | (0.96) | $8.16 | (0.06)% | 0.93% | 0.95% | 1.18% | 1.16% | 94% | $144,546 | ||
2014 | $9.44 | 0.08 | 0.71 | 0.79 | (0.14) | (0.93) | (1.07) | $9.16 | 9.62% | 0.97% | 0.97% | 0.96% | 0.96% | 77% | $134,763 |
For a Share Outstanding Throughout the Years Ended July 31 (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 | 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) | |||
A Class | |||||||||||||||||
2020(4) | $7.97 | 0.03 | 0.44 | 0.47 | (0.11) | (0.99) | (1.10) | $7.34 | 5.98% | 1.18%(5) | 1.41%(5) | 0.86%(5) | 0.63%(5) | 63% | $154,636 | ||
2019 | $8.63 | 0.08 | 0.11 | 0.19 | (0.08) | (0.77) | (0.85) | $7.97 | 3.66% | 1.36% | 1.41% | 1.02% | 0.97% | 78% | $168,774 | ||
2018(6) | $9.08 | 0.05 | 0.28 | 0.33 | (0.09) | (0.69) | (0.78) | $8.63 | 3.87% | 1.36%(5) | 1.41%(5) | 0.85%(5) | 0.80%(5) | 58% | $188,883 | ||
2017 | $7.84 | 0.08 | 1.37 | 1.45 | (0.09) | (0.12) | (0.21) | $9.08 | 19.02% | 1.36% | 1.41% | 0.94% | 0.89% | 80% | $209,181 | ||
2016 | $8.22 | 0.07 | 0.18 | 0.25 | (0.07) | (0.56) | (0.63) | $7.84 | 3.44% | 1.36% | 1.41% | 0.98% | 0.93% | 82% | $245,955 | ||
2015 | $9.22 | 0.06 | (0.14) | (0.08) | (0.01) | (0.91) | (0.92) | $8.22 | (0.56)% | 1.38% | 1.40% | 0.73% | 0.71% | 94% | $298,762 | ||
2014 | $9.49 | 0.05 | 0.70 | 0.75 | (0.09) | (0.93) | (1.02) | $9.22 | 9.13% | 1.42% | 1.42% | 0.51% | 0.51% | 77% | $346,972 | ||
C Class | |||||||||||||||||
2020(4) | $7.75 | —(7) | 0.43 | 0.43 | (0.05) | (0.99) | (1.04) | $7.14 | 5.58% | 1.93%(5) | 2.16%(5) | 0.11%(5) | (0.12)%(5) | 63% | $33,217 | ||
2019 | $8.41 | 0.02 | 0.11 | 0.13 | (0.02) | (0.77) | (0.79) | $7.75 | 2.91% | 2.11% | 2.16% | 0.27% | 0.22% | 78% | $36,620 | ||
2018(6) | $8.85 | 0.01 | 0.27 | 0.28 | (0.03) | (0.69) | (0.72) | $8.41 | 3.36% | 2.11%(5) | 2.16%(5) | 0.10%(5) | 0.05%(5) | 58% | $53,503 | ||
2017 | $7.64 | 0.02 | 1.34 | 1.36 | (0.03) | (0.12) | (0.15) | $8.85 | 18.07% | 2.11% | 2.16% | 0.19% | 0.14% | 80% | $66,032 | ||
2016 | $8.03 | 0.02 | 0.16 | 0.18 | (0.01) | (0.56) | (0.57) | $7.64 | 2.56% | 2.11% | 2.16% | 0.23% | 0.18% | 82% | $67,920 | ||
2015 | $9.08 | —(7) | (0.14) | (0.14) | — | (0.91) | (0.91) | $8.03 | (1.27)% | 2.13% | 2.15% | (0.02)% | (0.04)% | 94% | $75,881 | ||
2014 | $9.35 | (0.02) | 0.70 | 0.68 | (0.02) | (0.93) | (0.95) | $9.08 | 8.36% | 2.17% | 2.17% | (0.24)% | (0.24)% | 77% | $77,937 |
For a Share Outstanding Throughout the Years Ended July 31 (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 | 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) | |||
R Class | |||||||||||||||||
2020(4) | $7.96 | 0.02 | 0.43 | 0.45 | (0.09) | (0.99) | (1.08) | $7.33 | 5.71% | 1.43%(5) | 1.66%(5) | 0.61%(5) | 0.38%(5) | 63% | $17,572 | ||
2019 | $8.61 | 0.06 | 0.12 | 0.18 | (0.06) | (0.77) | (0.83) | $7.96 | 3.51% | 1.61% | 1.66% | 0.77% | 0.72% | 78% | $17,858 | ||
2018(6) | $9.06 | 0.03 | 0.28 | 0.31 | (0.07) | (0.69) | (0.76) | $8.61 | 3.72% | 1.61%(5) | 1.66%(5) | 0.60%(5) | 0.55%(5) | 58% | $19,634 | ||
2017 | $7.82 | 0.06 | 1.37 | 1.43 | (0.07) | (0.12) | (0.19) | $9.06 | 18.64% | 1.61% | 1.66% | 0.69% | 0.64% | 80% | $22,514 | ||
2016 | $8.20 | 0.06 | 0.17 | 0.23 | (0.05) | (0.56) | (0.61) | $7.82 | 3.18% | 1.61% | 1.66% | 0.73% | 0.68% | 82% | $24,678 | ||
2015 | $9.22 | 0.04 | (0.15) | (0.11) | — | (0.91) | (0.91) | $8.20 | (0.89)% | 1.63% | 1.65% | 0.48% | 0.46% | 94% | $24,106 | ||
2014 | $9.48 | 0.02 | 0.72 | 0.74 | (0.07) | (0.93) | (1.00) | $9.22 | 8.96% | 1.67% | 1.67% | 0.26% | 0.26% | 77% | $24,106 | ||
R5 Class | |||||||||||||||||
2020(4) | $7.86 | 0.05 | 0.43 | 0.48 | (0.15) | (0.99) | (1.14) | $7.20 | 6.17% | 0.73%(5) | 0.96%(5) | 1.31%(5) | 1.08%(5) | 63% | $9 | ||
2019 | $8.53 | 0.11 | 0.10 | 0.21 | (0.11) | (0.77) | (0.88) | $7.86 | 4.08% | 0.91% | 0.96% | 1.47% | 1.42% | 78% | $8 | ||
2018(6) | $9.00 | 0.07 | 0.28 | 0.35 | (0.13) | (0.69) | (0.82) | $8.53 | 4.24% | 0.91%(5) | 0.96%(5) | 1.30%(5) | 1.25%(5) | 58% | $6 | ||
2017(8) | $8.05 | 0.08 | 0.87 | 0.95 | — | — | — | $9.00 | 11.80% | 0.91%(5) | 0.96%(5) | 1.46%(5) | 1.41%(5) | 80%(3) | $6 |
For a Share Outstanding Throughout the Years Ended July 31 (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 | 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) | |||
R6 Class | |||||||||||||||||
2020(4) | $7.84 | 0.06 | 0.42 | 0.48 | (0.16) | (0.99) | (1.15) | $7.17 | 6.21% | 0.58%(5) | 0.81%(5) | 1.46%(5) | 1.23%(5) | 63% | $208,481 | ||
2019 | $8.51 | 0.13 | 0.10 | 0.23 | (0.13) | (0.77) | (0.90) | $7.84 | 4.27% | 0.76% | 0.81% | 1.62% | 1.57% | 78% | $200,468 | ||
2018(6) | $8.99 | 0.09 | 0.27 | 0.36 | (0.15) | (0.69) | (0.84) | $8.51 | 4.36% | 0.76%(5) | 0.81%(5) | 1.45%(5) | 1.40%(5) | 58% | $200,589 | ||
2017 | $7.76 | 0.13 | 1.36 | 1.49 | (0.14) | (0.12) | (0.26) | $8.99 | 19.70% | 0.76% | 0.81% | 1.54% | 1.49% | 80% | $90,339 | ||
2016 | $8.15 | 0.12 | 0.16 | 0.28 | (0.11) | (0.56) | (0.67) | $7.76 | 4.02% | 0.76% | 0.81% | 1.58% | 1.53% | 82% | $51,430 | ||
2015 | $9.16 | 0.11 | (0.15) | (0.04) | (0.06) | (0.91) | (0.97) | $8.15 | 0.00% | 0.78% | 0.80% | 1.33% | 1.31% | 94% | $18,544 | ||
2014 | $9.44 | 0.08 | 0.72 | 0.80 | (0.15) | (0.93) | (1.08) | $9.16 | 9.82% | 0.80% | 0.80% | 1.13% | 1.13% | 77% | $5,136 |
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) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the year ended November 30, 2017. |
(4) | Six months ended January 31, 2020 (unaudited). |
(5) | Annualized. |
(6) | December 1, 2017 through July 31, 2018. The fund's fiscal year end was changed from November 30 to July 31, resulting in an eight-month annual reporting period. For the years before July 31, 2018, the fund's fiscal year end was November 30. |
(7) | Per-share amount was less than $0.005. |
(8) | April 10, 2017 (commencement of sale) through November 30, 2017. |
See Notes to Financial Statements.
Additional Information |
Retirement Account Information
As required by law, distributions you receive from certain retirement accounts 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 and change your withholding percentage for future distributions.
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.
*Some 403(b), 457 and qualified retirement plan distributions may be subject to 20% mandatory withholding, as they 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 American Century Investments’ website at americancentury.com/proxy 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 americancentury.com/proxy. 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 or as an exhibit to its reports on Form N-PORT. The fund’s Forms N-Q and Form N-PORT reports are available on the SEC’s website at sec.gov. 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.
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Notes |
70
Notes |
71
Notes |
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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. | ||
©2020 American Century Proprietary Holdings, Inc. All rights reserved. CL-SAN-92640 2003 |
Semiannual Report | |
January 31, 2020 | |
Strategic Allocation: Conservative Fund | |
Investor Class (TWSCX) | |
I Class (ACCIX) | |
A Class (ACCAX) | |
C Class (AACCX) | |
R Class (AACRX) | |
R5 Class (AACGX) | |
R6 Class (AACDX) |
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the fund’s shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the fund or your financial intermediary electronically by calling or sending an email request to your appropriate contacts as listed on the back cover of this report.
You may elect to receive all future reports in paper free of charge. You can inform the fund or your financial intermediary that you wish to continue receiving paper copies of your shareholder reports by calling or sending an email request to your appropriate contacts as listed on the back cover of this report. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
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 |
Jonathan Thomas
Dear Investor:
Thank you for reviewing this semiannual report for the period ended January 31, 2020. It provides a market overview (below), followed by a schedule of fund investments and other financial information. For additional information please visit our website, americancentury.com.
Stocks, Bonds Delivered Solid Gains
From higher-quality government bonds to higher-risk stocks, most major U.S. and global asset classes posted gains for the six months ended January 31. U.S. stocks, as measured by the S&P 500 Index, advanced 9.31% for the period, outpacing the 7.40% return for global stocks (MSCI ACWI). Broad-based U.S. and global bond indices also delivered solid, albeit more-modest, gains.
A key policy pivot from the Federal Reserve (Fed) helped set the stage for the rally. After ending its three-year rate-hike campaign in early 2019, the Fed cut rates in July, September and October. Similarly, the European Central Bank unveiled more stimulus. These efforts aided stocks and bonds. Additionally, modestly improving economic and earnings data and upbeat trade-policy news lifted stock investors' optimism. However, news of China’s COVID-19 outbreak in January stifled the stock market rally. Investors feared the virus would spread worldwide, stalling global growth.
Special COVID-19 Update
As we finalize this shareholder report in mid-March, the fears that emerged in late January unfortunately have become reality. The world is dealing with unprecedented health, economic and lifestyle challenges stemming from the COVID-19 global pandemic. The market impact has been severe, but slowing and eliminating the human toll are most important.
We are monitoring the situation closely and following government guidelines and protocols from leading health authorities. Our firm has activated a comprehensive Pandemic Response Plan, which includes social-distancing and work-from-home mandates, restrictions on travel, escalated cleaning regimens at all our facilities, and more. We've also launched a Business Continuity Plan to maintain normal business operations and ensure delivery of outstanding service.
We appreciate your confidence in us during these extraordinary times. We have a long history of weathering volatile markets, and we are confident we will meet this current challenge. In the meantime, the health and safety of you, your family and our employees remain a top priority.
Sincerely,
Jonathan Thomas
President and Chief Executive Officer
American Century Investments
2
Fund Characteristics |
JANUARY 31, 2020 | |
Top Ten Common Stocks | % of net assets |
Alphabet, Inc.* | 0.4% |
Microsoft Corp. | 0.4% |
Amazon.com, Inc. | 0.3% |
Apple, Inc. | 0.3% |
Mastercard, Inc., Class A | 0.2% |
salesforce.com, Inc. | 0.2% |
Visa, Inc., Class A | 0.2% |
Zimmer Biomet Holdings, Inc. | 0.2% |
Facebook, Inc., Class A | 0.2% |
Prologis, Inc. | 0.2% |
*Includes all classes of the issuer held by the fund. | |
Key Fixed-Income Portfolio Statistics | |
Weighted Average Life to Maturity | 7.3 years |
Average Duration (effective) | 6.1 years |
Types of Investments in Portfolio | % of net assets |
Affiliated Funds | 26.2% |
Common Stocks | 22.5% |
U.S. Treasury Securities | 14.3% |
Corporate Bonds | 9.4% |
Sovereign Governments and Agencies | 7.5% |
U.S. Government Agency Mortgage-Backed Securities | 4.9% |
Municipal Securities | 4.1% |
Asset-Backed Securities | 2.3% |
Collateralized Loan Obligations | 1.8% |
Collateralized Mortgage Obligations | 1.3% |
Commercial Mortgage-Backed Securities | 1.2% |
U.S. Government Agency Securities | 0.5% |
Commercial Paper | 0.5% |
Exchange-Traded Funds | 0.3% |
Temporary Cash Investments | 3.1% |
Other Assets and Liabilities | 0.1% |
3
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 August 1, 2019 to January 31, 2020.
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 I 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.
4
Beginning Account Value 8/1/19 | Ending Account Value 1/31/20 | Expenses Paid During Period(1) 8/1/19 - 1/31/20 | Annualized Expense Ratio(1) | |
Actual | ||||
Investor Class | $1,000 | $1,045.60 | $4.63 | 0.90% |
I Class | $1,000 | $1,048.70 | $3.60 | 0.70% |
A Class | $1,000 | $1,044.20 | $5.91 | 1.15% |
C Class | $1,000 | $1,040.80 | $9.75 | 1.90% |
R Class | $1,000 | $1,044.90 | $7.20 | 1.40% |
R5 Class | $1,000 | $1,048.60 | $3.60 | 0.70% |
R6 Class | $1,000 | $1,047.60 | $2.83 | 0.55% |
Hypothetical | ||||
Investor Class | $1,000 | $1,020.61 | $4.57 | 0.90% |
I Class | $1,000 | $1,021.62 | $3.56 | 0.70% |
A Class | $1,000 | $1,019.36 | $5.84 | 1.15% |
C Class | $1,000 | $1,015.59 | $9.63 | 1.90% |
R Class | $1,000 | $1,018.10 | $7.10 | 1.40% |
R5 Class | $1,000 | $1,021.62 | $3.56 | 0.70% |
R6 Class | $1,000 | $1,022.37 | $2.80 | 0.55% |
(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 184, the number of days in the most recent fiscal half-year, divided by 366, to reflect the one-half year period. Annualized expense ratio reflects actual expenses, including any applicable fee waivers or expense reimbursements and excluding any acquired fund fees and expenses. |
5
Schedule of Investments |
JANUARY 31, 2020 (UNAUDITED)
Shares/ Principal Amount | Value | ||||||
AFFILIATED FUNDS(1) — 26.2% | |||||||
American Century Diversified Corporate Bond ETF | 389,060 | $ | 20,223,339 | ||||
American Century Quality Diversified International ETF | 231,187 | 9,443,989 | |||||
American Century STOXX U.S. Quality Growth ETF | 440,397 | 19,846,183 | |||||
American Century STOXX U.S. Quality Value ETF | 450,117 | 18,878,672 | |||||
Avantis International Equity ETF | 199,814 | 10,465,738 | |||||
Avantis International Small Cap Value ETF | 36,228 | 1,902,695 | |||||
Avantis U.S. Equity ETF | 336,007 | 18,157,818 | |||||
Avantis U.S. Small Cap Value ETF | 56,555 | 2,800,066 | |||||
TOTAL AFFILIATED FUNDS (Cost $97,743,558) | 101,718,500 | ||||||
COMMON STOCKS — 22.5% | |||||||
Aerospace and Defense — 0.3% | |||||||
Aerojet Rocketdyne Holdings, Inc.(2) | 618 | 32,077 | |||||
BAE Systems plc | 17,535 | 146,662 | |||||
Boeing Co. (The) | 201 | 63,972 | |||||
Embraer SA ADR(2) | 9,386 | 158,060 | |||||
Kratos Defense & Security Solutions, Inc.(2) | 867 | 15,901 | |||||
Lockheed Martin Corp. | 498 | 213,204 | |||||
Mercury Systems, Inc.(2) | 254 | 19,494 | |||||
Safran SA | 735 | 118,842 | |||||
Textron, Inc. | 3,587 | 164,751 | |||||
TransDigm Group, Inc. | 227 | 146,025 | |||||
1,078,988 | |||||||
Air Freight and Logistics† | |||||||
Expeditors International of Washington, Inc. | 1,003 | 73,259 | |||||
United Parcel Service, Inc., Class B | 890 | 92,133 | |||||
165,392 | |||||||
Airlines — 0.2% | |||||||
Delta Air Lines, Inc. | 2,238 | 124,746 | |||||
Southwest Airlines Co. | 8,559 | 470,574 | |||||
595,320 | |||||||
Auto Components — 0.2% | |||||||
Aptiv plc | 2,432 | 206,209 | |||||
BorgWarner, Inc. | 4,689 | 160,786 | |||||
Cie Plastic Omnium SA | 561 | 14,100 | |||||
Hyundai Mobis Co. Ltd. | 767 | 146,781 | |||||
Hyundai Wia Corp.(2) | 750 | 26,831 | |||||
Leoni AG(2) | 3,469 | 40,874 | |||||
Minth Group Ltd. | 8,000 | 24,637 | |||||
NOK Corp. | 1,900 | 25,164 | |||||
Visteon Corp.(2) | 185 | 14,765 | |||||
660,147 |
6
Shares/ Principal Amount | Value | ||||||
Automobiles — 0.5% | |||||||
Daimler AG | 2,404 | $ | 111,414 | ||||
Honda Motor Co. Ltd. ADR | 10,576 | 270,746 | |||||
Hyundai Motor Co. | 1,999 | 207,546 | |||||
Kia Motors Corp. | 2,580 | 87,869 | |||||
Mazda Motor Corp. | 12,600 | 104,891 | |||||
Nissan Motor Co. Ltd. | 31,400 | 170,466 | |||||
Renault SA | 1,671 | 64,946 | |||||
Tesla, Inc.(2) | 982 | 638,860 | |||||
Thor Industries, Inc. | 1,598 | 128,671 | |||||
Winnebago Industries, Inc. | 449 | 24,587 | |||||
1,809,996 | |||||||
Banks — 1.5% | |||||||
Bank Central Asia Tbk PT | 56,500 | 132,775 | |||||
Bank of America Corp. | 18,504 | 607,486 | |||||
Barclays plc | 131,221 | 290,193 | |||||
BNP Paribas SA | 3,008 | 159,948 | |||||
Citigroup, Inc. | 2,510 | 186,769 | |||||
Comerica, Inc. | 5,286 | 323,292 | |||||
Commerce Bancshares, Inc. | 3,494 | 236,404 | |||||
Commerzbank AG | 23,521 | 135,401 | |||||
FinecoBank Banca Fineco SpA | 2,059 | 24,103 | |||||
First Hawaiian, Inc. | 9,782 | 284,265 | |||||
Hana Financial Group, Inc. | 2,762 | 76,014 | |||||
HDFC Bank Ltd. ADR | 1,992 | 114,102 | |||||
JPMorgan Chase & Co. | 4,117 | 544,926 | |||||
M&T Bank Corp. | 1,581 | 266,430 | |||||
Mitsubishi UFJ Financial Group, Inc. | 53,100 | 271,655 | |||||
Mizuho Financial Group, Inc. | 121,900 | 179,762 | |||||
PNC Financial Services Group, Inc. (The) | 1,480 | 219,854 | |||||
Prosperity Bancshares, Inc. | 1,499 | 105,230 | |||||
Societe Generale SA | 3,863 | 124,956 | |||||
Standard Chartered plc (London) | 9,881 | 82,251 | |||||
Sumitomo Mitsui Financial Group, Inc. | 3,900 | 136,668 | |||||
SVB Financial Group(2) | 235 | 56,478 | |||||
Truist Financial Corp. | 12,306 | 634,620 | |||||
U.S. Bancorp | 2,137 | 113,731 | |||||
UMB Financial Corp. | 2,030 | 134,914 | |||||
UniCredit SpA | 7,961 | 106,416 | |||||
Veritex Holdings, Inc. | 654 | 18,521 | |||||
Wells Fargo & Co. | 2,233 | 104,817 | |||||
Westamerica Bancorporation | 1,885 | 119,434 | |||||
5,791,415 | |||||||
Beverages — 0.3% | |||||||
Boston Beer Co., Inc. (The), Class A(2) | 702 | 250,179 | |||||
Brown-Forman Corp., Class B | 754 | 51,000 | |||||
Constellation Brands, Inc., Class A | 2,007 | 377,918 |
7
Shares/ Principal Amount | Value | ||||||
PepsiCo, Inc. | 3,595 | $ | 510,562 | ||||
Treasury Wine Estates Ltd. | 10,387 | 88,678 | |||||
1,278,337 | |||||||
Biotechnology — 0.6% | |||||||
AbbVie, Inc. | 1,775 | 143,811 | |||||
ACADIA Pharmaceuticals, Inc.(2) | 447 | 17,853 | |||||
Acceleron Pharma, Inc.(2) | 305 | 27,688 | |||||
Aimmune Therapeutics, Inc.(2) | 321 | 9,967 | |||||
Amarin Corp. plc ADR(2) | 495 | 9,182 | |||||
Amgen, Inc. | 868 | 187,531 | |||||
Amicus Therapeutics, Inc.(2) | 1,360 | 12,022 | |||||
Arcutis Biotherapeutics, Inc.(2) | 313 | 6,823 | |||||
Arena Pharmaceuticals, Inc.(2) | 414 | 18,916 | |||||
Argenx SE(2) | 137 | 19,795 | |||||
Argenx SE ADR(2) | 805 | 116,153 | |||||
Biogen, Inc.(2) | 550 | 147,868 | |||||
Biohaven Pharmaceutical Holding Co. Ltd.(2) | 171 | 8,292 | |||||
Blueprint Medicines Corp.(2) | 1,856 | 117,763 | |||||
ChemoCentryx, Inc.(2) | 243 | 10,308 | |||||
CSL Ltd. | 1,068 | 218,374 | |||||
Deciphera Pharmaceuticals, Inc.(2) | 146 | 9,144 | |||||
Exact Sciences Corp.(2) | 1,275 | 118,932 | |||||
FibroGen, Inc.(2) | 370 | 15,485 | |||||
Flexion Therapeutics, Inc.(2) | 624 | 10,933 | |||||
Global Blood Therapeutics, Inc.(2) | 208 | 13,574 | |||||
Halozyme Therapeutics, Inc.(2) | 882 | 16,740 | |||||
Heron Therapeutics, Inc.(2) | 496 | 10,347 | |||||
Immunomedics, Inc.(2) | 4,730 | 87,836 | |||||
Insmed, Inc.(2) | 871 | 17,890 | |||||
Ionis Pharmaceuticals, Inc.(2) | 2,416 | 140,901 | |||||
Iovance Biotherapeutics, Inc.(2) | 591 | 12,848 | |||||
Mirati Therapeutics, Inc.(2) | 75 | 6,512 | |||||
MorphoSys AG(2) | 185 | 23,170 | |||||
Natera, Inc.(2) | 764 | 26,748 | |||||
PeptiDream, Inc.(2) | 400 | 19,016 | |||||
Principia Biopharma, Inc.(2) | 146 | 7,687 | |||||
PTC Therapeutics, Inc.(2) | 320 | 16,480 | |||||
Regeneron Pharmaceuticals, Inc.(2) | 480 | 162,211 | |||||
REGENXBIO, Inc.(2) | 228 | 9,925 | |||||
Sage Therapeutics, Inc.(2) | 334 | 22,138 | |||||
Stoke Therapeutics, Inc.(2) | 298 | 8,332 | |||||
Turning Point Therapeutics, Inc.(2) | 590 | 34,515 | |||||
Ultragenyx Pharmaceutical, Inc.(2) | 225 | 11,824 | |||||
Vertex Pharmaceuticals, Inc.(2) | 1,346 | 305,609 | |||||
Viela Bio, Inc.(2) | 128 | 5,037 | |||||
Viking Therapeutics, Inc.(2) | 1,071 | 6,726 |
8
Shares/ Principal Amount | Value | ||||||
Vir Biotechnology, Inc.(2) | 80 | $ | 2,130 | ||||
2,195,036 | |||||||
Building Products — 0.2% | |||||||
Builders FirstSource, Inc.(2) | 1,043 | 25,861 | |||||
Fortune Brands Home & Security, Inc. | 2,379 | 163,461 | |||||
Johnson Controls International plc | 15,753 | 621,456 | |||||
Lindab International AB | 1,080 | 12,245 | |||||
Masonite International Corp.(2) | 36 | 2,704 | |||||
PGT Innovations, Inc.(2) | 757 | 11,734 | |||||
Trex Co., Inc.(2) | 302 | 29,668 | |||||
867,129 | |||||||
Capital Markets — 0.9% | |||||||
Ameriprise Financial, Inc. | 2,042 | 337,767 | |||||
Ares Management Corp., Class A | 819 | 29,533 | |||||
Bank of New York Mellon Corp. (The) | 3,189 | 142,804 | |||||
BlackRock, Inc. | 200 | 105,470 | |||||
Credit Suisse Group AG(2) | 13,256 | 167,489 | |||||
Euronext NV | 310 | 26,875 | |||||
Hamilton Lane, Inc., Class A | 419 | 27,214 | |||||
Intercontinental Exchange, Inc. | 3,610 | 360,061 | |||||
Intermediate Capital Group plc | 1,924 | 43,952 | |||||
London Stock Exchange Group plc | 1,721 | 178,527 | |||||
LPL Financial Holdings, Inc. | 2,549 | 234,839 | |||||
Morgan Stanley | 4,391 | 229,474 | |||||
MSCI, Inc. | 613 | 175,195 | |||||
Northern Trust Corp. | 5,410 | 529,152 | |||||
Partners Group Holding AG | 139 | 127,478 | |||||
S&P Global, Inc. | 1,123 | 329,859 | |||||
State Street Corp. | 2,605 | 197,016 | |||||
Tradeweb Markets, Inc., Class A | 1,348 | 62,251 | |||||
3,304,956 | |||||||
Chemicals — 0.2% | |||||||
Albemarle Corp. | 654 | 52,503 | |||||
Dow, Inc. | 2,772 | 127,706 | |||||
Ecolab, Inc. | 410 | 80,405 | |||||
Ferro Corp.(2) | 1,330 | 18,194 | |||||
Koninklijke DSM NV | 1,016 | 124,225 | |||||
Olin Corp. | 795 | 11,822 | |||||
Sherwin-Williams Co. (The) | 240 | 133,678 | |||||
Symrise AG | 1,184 | 121,971 | |||||
670,504 | |||||||
Commercial Services and Supplies — 0.2% | |||||||
A-Living Services Co. Ltd., H Shares | 11,750 | 38,953 | |||||
Babcock International Group plc | 25,985 | 200,868 | |||||
Brink's Co. (The) | 426 | 35,865 | |||||
Casella Waste Systems, Inc., Class A(2) | 429 | 21,961 | |||||
Clean Harbors, Inc.(2) | 363 | 29,846 |
9
Shares/ Principal Amount | Value | ||||||
HomeServe plc | 1,362 | $ | 22,954 | ||||
IAA, Inc.(2) | 586 | 27,694 | |||||
Loomis AB, B Shares | 251 | 9,101 | |||||
Republic Services, Inc. | 1,786 | 169,759 | |||||
Serco Group plc(2) | 9,962 | 20,776 | |||||
US Ecology, Inc. | 416 | 22,468 | |||||
Waste Management, Inc. | 891 | 108,435 | |||||
708,680 | |||||||
Communications Equipment — 0.2% | |||||||
Arista Networks, Inc.(2) | 630 | 140,704 | |||||
AudioCodes Ltd. | 739 | 15,844 | |||||
Cisco Systems, Inc. | 8,137 | 374,058 | |||||
F5 Networks, Inc.(2) | 1,869 | 228,242 | |||||
Motorola Solutions, Inc. | 507 | 89,739 | |||||
Telefonaktiebolaget LM Ericsson, B Shares | 14,063 | 110,655 | |||||
959,242 | |||||||
Construction and Engineering† | |||||||
Badger Daylighting Ltd. | 449 | 11,715 | |||||
Hazama Ando Corp. | 5,200 | 42,416 | |||||
NRW Holdings Ltd. | 8,556 | 17,604 | |||||
SHO-BOND Holdings Co. Ltd. | 500 | 20,390 | |||||
92,125 | |||||||
Construction Materials† | |||||||
Cemex SAB de CV ADR | 13,810 | 55,792 | |||||
Vulcan Materials Co. | 765 | 108,347 | |||||
164,139 | |||||||
Consumer Finance† | |||||||
American Express Co. | 1,083 | 140,649 | |||||
Cembra Money Bank AG | 249 | 29,131 | |||||
169,780 | |||||||
Containers and Packaging — 0.2% | |||||||
Ball Corp. | 1,569 | 113,251 | |||||
Berry Global Group, Inc.(2) | 585 | 24,874 | |||||
Graphic Packaging Holding Co. | 6,492 | 101,470 | |||||
Huhtamaki Oyj | 112 | 4,990 | |||||
Packaging Corp. of America | 1,799 | 172,254 | |||||
SIG Combibloc Group AG(2) | 1,820 | 28,762 | |||||
Sonoco Products Co. | 2,730 | 155,992 | |||||
WestRock Co. | 2,882 | 112,398 | |||||
713,991 | |||||||
Distributors — 0.1% | |||||||
Genuine Parts Co. | 2,714 | 253,949 | |||||
LKQ Corp.(2) | 4,614 | 150,809 | |||||
404,758 | |||||||
Diversified Consumer Services — 0.1% | |||||||
Bright Horizons Family Solutions, Inc.(2) | 738 | 120,833 | |||||
Chegg, Inc.(2) | 3,078 | 126,906 |
10
Shares/ Principal Amount | Value | ||||||
Grand Canyon Education, Inc.(2) | 253 | $ | 19,805 | ||||
267,544 | |||||||
Diversified Financial Services — 0.1% | |||||||
Berkshire Hathaway, Inc., Class B(2) | 1,048 | 235,203 | |||||
ECN Capital Corp. | 3,563 | 15,077 | |||||
Element Fleet Management Corp. | 1,893 | 18,180 | |||||
Zenkoku Hosho Co. Ltd. | 600 | 25,679 | |||||
294,139 | |||||||
Diversified Telecommunication Services — 0.2% | |||||||
Cellnex Telecom SA(2) | 6,917 | 343,933 | |||||
Verizon Communications, Inc. | 8,107 | 481,880 | |||||
825,813 | |||||||
Electric Utilities — 0.6% | |||||||
Edison International | 4,001 | 306,277 | |||||
Eversource Energy | 1,843 | 170,367 | |||||
Iberdrola SA | 13,401 | 146,568 | |||||
NextEra Energy, Inc. | 1,869 | 501,266 | |||||
Pinnacle West Capital Corp. | 5,108 | 499,001 | |||||
Xcel Energy, Inc. | 8,775 | 607,142 | |||||
2,230,621 | |||||||
Electrical Equipment — 0.6% | |||||||
AMETEK, Inc. | 2,301 | 223,542 | |||||
Eaton Corp. plc | 2,986 | 282,087 | |||||
Emerson Electric Co. | 7,224 | 517,455 | |||||
Hubbell, Inc. | 3,172 | 454,326 | |||||
Mabuchi Motor Co. Ltd. | 400 | 14,609 | |||||
Melrose Industries plc | 50,784 | 157,001 | |||||
Nexans SA | 369 | 17,998 | |||||
nVent Electric plc | 15,491 | 385,726 | |||||
Schneider Electric SE | 2,825 | 283,186 | |||||
Sensata Technologies Holding plc(2) | 2,027 | 95,816 | |||||
Signify NV | 2,262 | 75,338 | |||||
Varta AG(2) | 84 | 7,171 | |||||
2,514,255 | |||||||
Electronic Equipment, Instruments and Components — 0.3% | |||||||
Anritsu Corp. | 1,200 | 23,181 | |||||
Barco NV | 139 | 34,594 | |||||
CDW Corp. | 718 | 93,663 | |||||
Cognex Corp. | 4,492 | 228,957 | |||||
Electrocomponents plc | 2,920 | 25,525 | |||||
Hexagon AB, B Shares | 2,294 | 125,023 | |||||
Isra Vision AG | 221 | 8,325 | |||||
Keysight Technologies, Inc.(2) | 1,479 | 137,532 | |||||
Landis+Gyr Group AG(2) | 193 | 17,720 | |||||
Murata Manufacturing Co. Ltd. | 2,600 | 148,544 | |||||
Rogers Corp.(2) | 76 | 8,949 | |||||
SYNNEX Corp. | 216 | 29,756 |
11
Shares/ Principal Amount | Value | ||||||
TE Connectivity Ltd. | 3,595 | $ | 331,387 | ||||
1,213,156 | |||||||
Energy Equipment and Services — 0.2% | |||||||
Baker Hughes Co. | 8,701 | 188,464 | |||||
Cactus, Inc., Class A | 5,443 | 156,867 | |||||
Schlumberger Ltd. | 7,672 | 257,089 | |||||
Subsea 7 SA | 1,382 | 14,862 | |||||
Tecnicas Reunidas SA(2) | 3,885 | 94,773 | |||||
TGS NOPEC Geophysical Co. ASA | 397 | 10,090 | |||||
722,145 | |||||||
Entertainment — 0.2% | |||||||
Embracer Group AB(2) | 1,777 | 14,838 | |||||
Live Nation Entertainment, Inc.(2) | 2,080 | 141,773 | |||||
Netflix, Inc.(2) | 793 | 273,656 | |||||
Take-Two Interactive Software, Inc.(2) | 1,060 | 132,118 | |||||
Walt Disney Co. (The) | 2,095 | 289,760 | |||||
World Wrestling Entertainment, Inc., Class A | 122 | 5,963 | |||||
Zynga, Inc., Class A(2) | 1,948 | 11,727 | |||||
869,835 | |||||||
Equity Real Estate Investment Trusts (REITs) — 1.8% | |||||||
Agree Realty Corp. | 1,015 | 77,069 | |||||
Alexandria Real Estate Equities, Inc. | 782 | 127,622 | |||||
Allied Properties Real Estate Investment Trust | 1,319 | 55,036 | |||||
American Tower Corp. | 128 | 29,663 | |||||
Americold Realty Trust | 3,575 | 123,230 | |||||
Boston Properties, Inc. | 950 | 136,182 | |||||
Brixmor Property Group, Inc. | 1,946 | 38,842 | |||||
Camden Property Trust | 1,194 | 134,241 | |||||
Charter Hall Group | 9,823 | 83,204 | |||||
Comforia Residential REIT, Inc. | 21 | 69,326 | |||||
CoreSite Realty Corp. | 124 | 14,564 | |||||
Cousins Properties, Inc. | 1,859 | 76,089 | |||||
Derwent London plc | 2,356 | 127,308 | |||||
Embassy Office Parks REIT(2) | 2,800 | 16,286 | |||||
Empire State Realty Trust, Inc., Class A | 10,168 | 137,878 | |||||
Equinix, Inc. | 290 | 171,022 | |||||
Equity Residential | 1,448 | 120,300 | |||||
Essential Properties Realty Trust, Inc. | 4,146 | 114,471 | |||||
Fibra Uno Administracion SA de CV | 127,883 | 210,144 | |||||
Gaming and Leisure Properties, Inc. | 1,678 | 79,294 | |||||
Gecina SA | 327 | 61,855 | |||||
Global Medical REIT, Inc. | 1,060 | 15,476 | |||||
Goodman Group | 10,742 | 105,350 | |||||
Granite Real Estate Investment Trust | 689 | 37,230 | |||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 474 | 16,159 | |||||
Healthpeak Properties, Inc. | 5,634 | 202,768 | |||||
Hudson Pacific Properties, Inc. | 3,121 | 113,417 |
12
Shares/ Principal Amount | Value | ||||||
Inmobiliaria Colonial Socimi SA | 2,889 | $ | 38,716 | ||||
Invesco Office J-Reit, Inc. | 413 | 87,825 | |||||
Invitation Homes, Inc. | 6,294 | 198,072 | |||||
Kilroy Realty Corp. | 1,239 | 102,304 | |||||
Link REIT | 5,800 | 58,479 | |||||
Mapletree Commercial Trust | 37,525 | 64,414 | |||||
Mapletree Industrial Trust | 9,900 | 20,117 | |||||
MGM Growth Properties LLC, Class A | 7,600 | 242,744 | |||||
Mitsui Fudosan Logistics Park, Inc. | 20 | 96,901 | |||||
Northview Apartment Real Estate Investment Trust | 1,870 | 43,394 | |||||
Orix JREIT, Inc. | 63 | 132,952 | |||||
Piedmont Office Realty Trust, Inc., Class A | 8,351 | 193,660 | |||||
Prologis, Inc. | 7,954 | 738,767 | |||||
Rexford Industrial Realty, Inc. | 3,967 | 191,170 | |||||
Ryman Hospitality Properties, Inc. | 690 | 58,671 | |||||
Safestore Holdings plc | 4,093 | 43,500 | |||||
SBA Communications Corp. | 1,925 | 480,403 | |||||
Segro plc | 7,600 | 91,623 | |||||
Spirit Realty Capital, Inc. | 1,124 | 59,325 | |||||
Summit Industrial Income REIT | 3,204 | 31,256 | |||||
Sun Communities, Inc. | 619 | 100,383 | |||||
UDR, Inc. | 2,009 | 96,251 | |||||
UNITE Group plc (The) | 4,804 | 80,875 | |||||
VICI Properties, Inc. | 5,178 | 138,770 | |||||
Welltower, Inc. | 5,673 | 481,694 | |||||
Weyerhaeuser Co. | 21,747 | 629,576 | |||||
6,995,868 | |||||||
Food and Staples Retailing — 0.2% | |||||||
Cosmos Pharmaceutical Corp. | 100 | 22,163 | |||||
Costco Wholesale Corp. | 244 | 74,547 | |||||
Grocery Outlet Holding Corp.(2) | 533 | 17,450 | |||||
Kobe Bussan Co. Ltd. | 600 | 23,132 | |||||
Koninklijke Ahold Delhaize NV | 10,053 | 246,949 | |||||
Sysco Corp. | 4,263 | 350,163 | |||||
Walgreens Boots Alliance, Inc. | 1,340 | 68,139 | |||||
802,543 | |||||||
Food Products — 0.3% | |||||||
AAK AB | 844 | 15,842 | |||||
Ariake Japan Co. Ltd. | 300 | 20,461 | |||||
Ausnutria Dairy Corp. Ltd.(2) | 7,000 | 8,514 | |||||
Bakkafrost P/F | 335 | 23,875 | |||||
Beyond Meat, Inc.(2) | 113 | 12,478 | |||||
Conagra Brands, Inc. | 7,166 | 235,905 | |||||
J.M. Smucker Co. (The) | 1,701 | 176,241 | |||||
Kellogg Co. | 1,363 | 92,970 | |||||
Mondelez International, Inc., Class A | 5,739 | 329,304 | |||||
Nestle SA | 861 | 95,049 |
13
Shares/ Principal Amount | Value | ||||||
Nomad Foods Ltd.(2) | 871 | $ | 17,577 | ||||
Orkla ASA | 22,504 | 218,651 | |||||
1,246,867 | |||||||
Gas Utilities — 0.1% | |||||||
Atmos Energy Corp. | 1,673 | 195,791 | |||||
Chesapeake Utilities Corp. | 164 | 15,779 | |||||
Nippon Gas Co. Ltd. | 700 | 22,084 | |||||
Spire, Inc. | 2,648 | 223,279 | |||||
456,933 | |||||||
Health Care Equipment and Supplies — 0.8% | |||||||
Baxter International, Inc. | 1,939 | 172,998 | |||||
DexCom, Inc.(2) | 305 | 73,429 | |||||
Edwards Lifesciences Corp.(2) | 765 | 168,193 | |||||
Hologic, Inc.(2) | 5,054 | 270,490 | |||||
Hoya Corp. | 700 | 67,287 | |||||
ICU Medical, Inc.(2) | 44 | 8,029 | |||||
Insulet Corp.(2) | 94 | 18,240 | |||||
Intuitive Surgical, Inc.(2) | 358 | 200,401 | |||||
Masimo Corp.(2) | 716 | 122,150 | |||||
Medtronic plc | 3,557 | 410,620 | |||||
Nihon Kohden Corp. | 300 | 8,813 | |||||
OrthoPediatrics Corp.(2) | 297 | 13,641 | |||||
ResMed, Inc. | 1,036 | 164,693 | |||||
Siemens Healthineers AG | 2,158 | 101,809 | |||||
Silk Road Medical, Inc.(2) | 659 | 30,670 | |||||
Teleflex, Inc. | 634 | 235,537 | |||||
Terumo Corp. | 3,500 | 124,928 | |||||
Varian Medical Systems, Inc.(2) | 571 | 80,265 | |||||
Zimmer Biomet Holdings, Inc. | 5,624 | 831,790 | |||||
3,103,983 | |||||||
Health Care Providers and Services — 0.7% | |||||||
1Life Healthcare, Inc.(2) | 274 | 6,047 | |||||
Acadia Healthcare Co., Inc.(2) | 536 | 17,222 | |||||
Alfresa Holdings Corp. | 4,600 | 92,797 | |||||
Amplifon SpA | 557 | 15,803 | |||||
Cardinal Health, Inc. | 5,485 | 280,887 | |||||
Centene Corp.(2) | 2,282 | 143,332 | |||||
CVS Health Corp. | 2,212 | 150,018 | |||||
Encompass Health Corp. | 3,732 | 287,476 | |||||
Ensign Group, Inc. (The) | 625 | 28,250 | |||||
HealthEquity, Inc.(2) | 477 | 31,511 | |||||
Henry Schein, Inc.(2) | 2,827 | 194,893 | |||||
Humana, Inc. | 403 | 135,505 | |||||
Korian SA | 636 | 29,129 | |||||
McKesson Corp. | 1,679 | 239,442 | |||||
Pennant Group, Inc. (The)(2) | 467 | 12,329 | |||||
Quest Diagnostics, Inc. | 4,862 | 538,077 |
14
Shares/ Principal Amount | Value | ||||||
R1 RCM, Inc.(2) | 3,214 | $ | 40,175 | ||||
UnitedHealth Group, Inc. | 965 | 262,914 | |||||
Universal Health Services, Inc., Class B | 1,562 | 214,166 | |||||
2,719,973 | |||||||
Health Care Technology — 0.1% | |||||||
Cerner Corp. | 5,145 | 369,565 | |||||
Health Catalyst, Inc.(2) | 2,565 | 83,747 | |||||
Inspire Medical Systems, Inc.(2) | 211 | 15,783 | |||||
Teladoc Health, Inc.(2) | 425 | 43,227 | |||||
512,322 | |||||||
Hotels, Restaurants and Leisure — 0.4% | |||||||
Autogrill SpA | 951 | 9,242 | |||||
Carnival Corp. | 4,321 | 188,093 | |||||
Chipotle Mexican Grill, Inc.(2) | 673 | 583,330 | |||||
Churchill Downs, Inc. | 283 | 40,860 | |||||
Hilton Worldwide Holdings, Inc. | 1,068 | 115,130 | |||||
Jumbo Interactive Ltd. | 1,432 | 12,648 | |||||
Las Vegas Sands Corp. | 837 | 54,664 | |||||
Planet Fitness, Inc., Class A(2) | 2,109 | 170,386 | |||||
Royal Caribbean Cruises Ltd. | 1,420 | 166,254 | |||||
Sodexo SA | 1,935 | 202,581 | |||||
Starbucks Corp. | 1,714 | 145,399 | |||||
1,688,587 | |||||||
Household Durables — 0.2% | |||||||
Bellway plc | 573 | 30,279 | |||||
Breville Group Ltd. | 166 | 2,034 | |||||
Cyrela Brazil Realty SA Empreendimentos e Participacoes | 6,500 | 48,553 | |||||
Haseko Corp. | 16,600 | 216,230 | |||||
Man Wah Holdings Ltd. | 18,400 | 12,729 | |||||
Pressance Corp. | 300 | 3,348 | |||||
PulteGroup, Inc. | 3,415 | 152,480 | |||||
Skyline Champion Corp.(2) | 769 | 22,109 | |||||
Taylor Wimpey plc | 17,386 | 49,631 | |||||
Tempur Sealy International, Inc.(2) | 251 | 22,997 | |||||
Token Corp. | 500 | 34,640 | |||||
TopBuild Corp.(2) | 393 | 45,002 | |||||
640,032 | |||||||
Household Products — 0.2% | |||||||
Colgate-Palmolive Co. | 1,925 | 142,027 | |||||
Kimberly-Clark Corp. | 1,074 | 153,840 | |||||
Procter & Gamble Co. (The) | 3,934 | 490,255 | |||||
Reynolds Consumer Products, Inc.(2) | 699 | 19,956 | |||||
806,078 | |||||||
Independent Power and Renewable Electricity Producers† | |||||||
Falck Renewables SpA | 2,012 | 13,099 | |||||
Industrial Conglomerates — 0.1% | |||||||
Honeywell International, Inc. | 1,015 | 175,818 |
15
Shares/ Principal Amount | Value | ||||||
Siemens AG | 1,002 | $ | 124,089 | ||||
299,907 | |||||||
Insurance — 0.7% | |||||||
Aegon NV | 46,708 | 189,785 | |||||
Aflac, Inc. | 4,924 | 253,931 | |||||
AIA Group Ltd. | 21,600 | 212,955 | |||||
Arthur J. Gallagher & Co. | 599 | 61,439 | |||||
Brown & Brown, Inc. | 2,138 | 95,996 | |||||
BRP Group, Inc., Class A(2) | 1,343 | 20,253 | |||||
Chubb Ltd. | 3,335 | 506,887 | |||||
eHealth, Inc.(2) | 231 | 24,292 | |||||
Globe Life, Inc. | 471 | 49,107 | |||||
Goosehead Insurance, Inc., Class A | 527 | 27,499 | |||||
Kinsale Capital Group, Inc. | 347 | 39,634 | |||||
NN Group NV | 1,542 | 53,597 | |||||
Palomar Holdings, Inc.(2) | 596 | 31,856 | |||||
ProAssurance Corp. | 5,295 | 160,809 | |||||
Progressive Corp. (The) | 1,628 | 131,363 | |||||
Prudential Financial, Inc. | 1,673 | 152,343 | |||||
Reinsurance Group of America, Inc. | 2,893 | 416,737 | |||||
Travelers Cos., Inc. (The) | 1,382 | 181,899 | |||||
Zurich Insurance Group AG | 415 | 172,498 | |||||
2,782,880 | |||||||
Interactive Media and Services — 0.7% | |||||||
Alphabet, Inc., Class A(2) | 561 | 803,790 | |||||
Alphabet, Inc., Class C(2) | 411 | 589,468 | |||||
Facebook, Inc., Class A(2) | 3,901 | 787,651 | |||||
Pinterest, Inc., Class A(2) | 1,690 | 37,231 | |||||
Tencent Holdings Ltd. | 6,200 | 294,395 | |||||
Twitter, Inc.(2) | 7,178 | 233,141 | |||||
2,745,676 | |||||||
Internet and Direct Marketing Retail — 0.4% | |||||||
Alibaba Group Holding Ltd. ADR(2) | 904 | 186,757 | |||||
Amazon.com, Inc.(2) | 661 | 1,327,764 | |||||
Etsy, Inc.(2) | 196 | 9,567 | |||||
HelloFresh SE(2) | 912 | 21,797 | |||||
Takeaway.com NV(2) | 163 | 15,372 | |||||
Trainline plc(2) | 3,847 | 24,066 | |||||
1,585,323 | |||||||
IT Services — 1.1% | |||||||
Accenture plc, Class A | 1,233 | 253,024 | |||||
Adyen NV(2) | 158 | 145,179 | |||||
Afterpay Ltd.(2) | 762 | 19,301 | |||||
Alten SA | 170 | 21,105 | |||||
CACI International, Inc., Class A(2) | 147 | 39,314 | |||||
Fiserv, Inc.(2) | 4,946 | 586,645 | |||||
FleetCor Technologies, Inc.(2) | 716 | 225,705 |
16
Shares/ Principal Amount | Value | ||||||
GDS Holdings Ltd. ADR(2) | 1,821 | $ | 94,164 | ||||
Genpact Ltd. | 567 | 25,101 | |||||
GMO Payment Gateway, Inc. | 200 | 13,004 | |||||
I3 Verticals, Inc., Class A(2) | 627 | 20,246 | |||||
International Business Machines Corp. | 716 | 102,911 | |||||
Limelight Networks, Inc.(2) | 2,801 | 13,977 | |||||
Mastercard, Inc., Class A | 2,870 | 906,748 | |||||
Megaport Ltd.(2) | 1,384 | 10,244 | |||||
NEXTDC Ltd.(2) | 6,195 | 30,781 | |||||
Okta, Inc.(2) | 2,302 | 294,771 | |||||
PayPal Holdings, Inc.(2) | 1,422 | 161,952 | |||||
Repay Holdings Corp.(2) | 934 | 15,794 | |||||
SCSK Corp. | 300 | 16,087 | |||||
SHIFT, Inc.(2) | 200 | 13,576 | |||||
Square, Inc., Class A(2) | 7,492 | 559,577 | |||||
Visa, Inc., Class A | 4,314 | 858,357 | |||||
4,427,563 | |||||||
Leisure Products† | |||||||
BRP, Inc. | 581 | 29,660 | |||||
Callaway Golf Co. | 1,081 | 23,155 | |||||
Games Workshop Group plc | 229 | 20,051 | |||||
72,866 | |||||||
Life Sciences Tools and Services — 0.2% | |||||||
Agilent Technologies, Inc. | 2,223 | 183,531 | |||||
Bruker Corp. | 2,471 | 122,240 | |||||
Evotec SE(2) | 522 | 14,099 | |||||
Lonza Group AG | 424 | 174,337 | |||||
Mettler-Toledo International, Inc.(2) | 130 | 98,433 | |||||
NeoGenomics, Inc.(2) | 866 | 27,911 | |||||
PRA Health Sciences, Inc.(2) | 323 | 32,723 | |||||
Tecan Group AG | 94 | 26,614 | |||||
679,888 | |||||||
Machinery — 0.4% | |||||||
ATS Automation Tooling Systems, Inc.(2) | 675 | 10,369 | |||||
Caterpillar, Inc. | 715 | 93,915 | |||||
Chart Industries, Inc.(2) | 509 | 32,566 | |||||
Cummins, Inc. | 2,312 | 369,851 | |||||
FANUC Corp. | 100 | 18,193 | |||||
Georg Fischer AG | 17 | 16,678 | |||||
Graco, Inc. | 1,266 | 67,288 | |||||
Harmonic Drive Systems, Inc. | 300 | 13,446 | |||||
IMI plc | 13,140 | 190,572 | |||||
Ingersoll-Rand plc | 2,213 | 294,838 | |||||
Kennametal, Inc. | 553 | 17,303 | |||||
Kornit Digital Ltd.(2) | 624 | 26,071 | |||||
Nabtesco Corp. | 600 | 17,125 |
17
Shares/ Principal Amount | Value | ||||||
Navistar International Corp.(2) | 567 | $ | 20,763 | ||||
PACCAR, Inc. | 2,499 | 185,451 | |||||
Parker-Hannifin Corp. | 1,099 | 215,063 | |||||
RBC Bearings, Inc.(2) | 198 | 30,791 | |||||
Rotork plc | 2,603 | 10,406 | |||||
Valmet Oyj | 567 | 12,308 | |||||
Westinghouse Air Brake Technologies Corp. | 1,445 | 106,728 | |||||
1,749,725 | |||||||
Media — 0.1% | |||||||
Atresmedia Corp. de Medios de Comunicacion SA | 7,311 | 24,785 | |||||
Comcast Corp., Class A | 4,644 | 200,574 | |||||
Fox Corp., Class B(2) | 3,760 | 136,601 | |||||
Future plc | 564 | 9,518 | |||||
Nippon Television Holdings, Inc. | 8,100 | 109,332 | |||||
Stroeer SE & Co. KGaA | 207 | 16,470 | |||||
TV Asahi Holdings Corp. | 2,900 | 55,331 | |||||
552,611 | |||||||
Metals and Mining† | |||||||
Saracen Mineral Holdings Ltd.(2) | 3,612 | 9,656 | |||||
Mortgage Real Estate Investment Trusts (REITs)† | |||||||
PennyMac Mortgage Investment Trust | 2,795 | 64,984 | |||||
Multi-Utilities — 0.1% | |||||||
Ameren Corp. | 2,629 | 215,709 | |||||
NorthWestern Corp. | 3,084 | 237,376 | |||||
WEC Energy Group, Inc. | 1,325 | 132,354 | |||||
585,439 | |||||||
Multiline Retail — 0.1% | |||||||
Magazine Luiza SA | 13,298 | 173,266 | |||||
Pan Pacific International Holdings Corp. | 6,600 | 106,430 | |||||
Target Corp. | 2,069 | 229,121 | |||||
508,817 | |||||||
Oil, Gas and Consumable Fuels — 0.7% | |||||||
Callon Petroleum Co.(2) | 4,451 | 13,353 | |||||
Chevron Corp. | 1,256 | 134,568 | |||||
ConocoPhillips | 10,434 | 620,093 | |||||
Devon Energy Corp. | 2,281 | 49,543 | |||||
Eni SpA | 13,637 | 191,272 | |||||
Gazprom PJSC ADR | 8,352 | 58,519 | |||||
Gazprom PJSC | 24,990 | 88,561 | |||||
Gaztransport Et Technigaz SA | 64 | 6,466 | |||||
Gibson Energy, Inc. | 1,031 | 20,692 | |||||
Imperial Oil Ltd. | 4,548 | 107,841 | |||||
Neste Oyj | 3,993 | 158,881 | |||||
Noble Energy, Inc. | 7,476 | 147,800 | |||||
ONEOK, Inc. | 2,894 | 216,674 | |||||
PetroChina Co. Ltd., H Shares | 288,000 | 126,848 |
18
Shares/ Principal Amount | Value | ||||||
Phillips 66 | 961 | $ | 87,807 | ||||
Saras SpA | 69,879 | 93,843 | |||||
Surgutneftegas PJSC Preference Shares | 341,718 | 192,677 | |||||
TOTAL SA ADR | 4,062 | 197,373 | |||||
Valero Energy Corp. | 758 | 63,907 | |||||
2,576,718 | |||||||
Paper and Forest Products — 0.1% | |||||||
Boise Cascade Co. | 338 | 12,236 | |||||
Canfor Corp.(2) | 2,907 | 26,118 | |||||
Mondi plc | 15,450 | 316,275 | |||||
354,629 | |||||||
Personal Products — 0.1% | |||||||
Estee Lauder Cos., Inc. (The), Class A | 346 | 67,526 | |||||
Fancl Corp. | 300 | 7,890 | |||||
Inter Parfums, Inc. | 181 | 12,509 | |||||
Ontex Group NV | 3,576 | 64,664 | |||||
Shiseido Co. Ltd. | 1,300 | 84,009 | |||||
236,598 | |||||||
Pharmaceuticals — 0.6% | |||||||
AstraZeneca plc | 1,862 | 182,053 | |||||
Bristol-Myers Squibb Co. | 3,715 | 233,859 | |||||
Catalent, Inc.(2) | 2,023 | 123,605 | |||||
Dechra Pharmaceuticals plc | 393 | 14,784 | |||||
GlaxoSmithKline plc | 9,456 | 222,028 | |||||
Horizon Therapeutics plc(2) | 580 | 20,004 | |||||
Johnson & Johnson | 1,696 | 252,484 | |||||
Merck & Co., Inc. | 3,828 | 327,064 | |||||
MyoKardia, Inc.(2) | 197 | 13,402 | |||||
Novartis AG | 1,804 | 170,648 | |||||
Novo Nordisk A/S, B Shares | 2,563 | 156,460 | |||||
Optinose, Inc.(2) | 670 | 5,246 | |||||
Pfizer, Inc. | 4,249 | 158,233 | |||||
Reata Pharmaceuticals, Inc., Class A(2) | 53 | 11,596 | |||||
Sanofi | 909 | 87,668 | |||||
Sanofi ADR | 3,945 | 190,425 | |||||
Zoetis, Inc. | 825 | 110,723 | |||||
2,280,282 | |||||||
Professional Services — 0.4% | |||||||
ASGN, Inc.(2) | 536 | 36,282 | |||||
BeNEXT Group, Inc. | 700 | 7,215 | |||||
Capita plc(2) | 91,123 | 174,486 | |||||
CoStar Group, Inc.(2) | 86 | 56,157 | |||||
IHS Markit Ltd. | 3,879 | 305,898 | |||||
Nihon M&A Center, Inc. | 600 | 17,257 | |||||
Recruit Holdings Co. Ltd. | 4,800 | 187,729 | |||||
Robert Half International, Inc. | 1,698 | 98,773 |
19
Shares/ Principal Amount | Value | ||||||
Teleperformance | 670 | $ | 168,394 | ||||
TriNet Group, Inc.(2) | 351 | 20,028 | |||||
UT Group Co. Ltd. | 900 | 22,405 | |||||
Verisk Analytics, Inc. | 2,254 | 366,208 | |||||
1,460,832 | |||||||
Real Estate Management and Development — 0.3% | |||||||
Altus Group Ltd. | 447 | 14,642 | |||||
Aroundtown SA | 6,602 | 62,532 | |||||
Ayala Land, Inc. | 50,900 | 41,360 | |||||
CapitaLand Ltd. | 15,300 | 40,283 | |||||
CBRE Group, Inc., Class A(2) | 916 | 55,922 | |||||
Colliers International Group, Inc. | 220 | 17,837 | |||||
Corp. Inmobiliaria Vesta SAB de CV | 27,496 | 50,203 | |||||
Fabege AB | 4,602 | 78,856 | |||||
Fastighets AB Balder, B Shares(2) | 570 | 27,039 | |||||
FirstService Corp. | 466 | 45,850 | |||||
Longfor Group Holdings Ltd. | 17,000 | 71,640 | |||||
Mitsubishi Estate Co. Ltd. | 7,500 | 146,910 | |||||
Mitsui Fudosan Co. Ltd. | 5,200 | 137,417 | |||||
New World Development Co. Ltd. | 30,000 | 37,407 | |||||
Nexity SA | 272 | 13,147 | |||||
Open House Co. Ltd. | 300 | 8,010 | |||||
Samhallsbyggnadsbolaget i Norden AB | 6,825 | 16,832 | |||||
Shimao Property Holdings Ltd. | 13,500 | 43,604 | |||||
Shurgard Self Storage SA | 788 | 28,658 | |||||
Sun Hung Kai Properties Ltd. | 6,500 | 90,098 | |||||
Times China Holdings Ltd. | 25,000 | 43,698 | |||||
VGP NV | 311 | 34,991 | |||||
Vonovia SE | 2,521 | 144,033 | |||||
1,250,969 | |||||||
Road and Rail — 0.2% | |||||||
ArcBest Corp. | 701 | 15,639 | |||||
Heartland Express, Inc. | 9,705 | 181,387 | |||||
J.B. Hunt Transport Services, Inc. | 1,241 | 133,941 | |||||
Localiza Rent a Car SA | 8,680 | 107,765 | |||||
Norfolk Southern Corp. | 787 | 163,861 | |||||
Sixt SE | 109 | 11,036 | |||||
TFI International, Inc. | 573 | 18,350 | |||||
Union Pacific Corp. | 741 | 132,950 | |||||
764,929 | |||||||
Semiconductors and Semiconductor Equipment — 0.7% | |||||||
Advanced Micro Devices, Inc.(2) | 4,473 | 210,231 | |||||
Applied Materials, Inc. | 10,204 | 591,730 | |||||
ASML Holding NV | 547 | 153,409 | |||||
Broadcom, Inc. | 520 | 158,683 | |||||
Entegris, Inc. | 259 | 13,406 |
20
Shares/ Principal Amount | Value | ||||||
Inphi Corp.(2) | 289 | $ | 21,952 | ||||
Intel Corp. | 3,252 | 207,900 | |||||
Lasertec Corp. | 400 | 19,773 | |||||
Lattice Semiconductor Corp.(2) | 1,107 | 20,590 | |||||
Marvell Technology Group Ltd. | 3,043 | 73,154 | |||||
Maxim Integrated Products, Inc. | 5,264 | 316,472 | |||||
Microchip Technology, Inc. | 1,566 | 152,654 | |||||
Micron Technology, Inc.(2) | 1,930 | 102,464 | |||||
MKS Instruments, Inc. | 124 | 12,998 | |||||
Monolithic Power Systems, Inc. | 106 | 18,144 | |||||
Nova Measuring Instruments Ltd.(2) | 368 | 13,999 | |||||
NVIDIA Corp. | 771 | 182,287 | |||||
Power Integrations, Inc. | 216 | 21,097 | |||||
Silicon Laboratories, Inc.(2) | 119 | 11,699 | |||||
SOITEC(2) | 146 | 13,813 | |||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 15,000 | 160,466 | |||||
Texas Instruments, Inc. | 687 | 82,886 | |||||
Xilinx, Inc. | 431 | 36,411 | |||||
2,596,218 | |||||||
Software — 1.4% | |||||||
Adobe, Inc.(2) | 429 | 150,639 | |||||
Atlassian Corp. plc, Class A(2) | 959 | 140,973 | |||||
Avalara, Inc.(2) | 252 | 21,455 | |||||
Avast plc | 5,294 | 29,641 | |||||
AVEVA Group plc | 278 | 18,030 | |||||
Bottomline Technologies de, Inc.(2) | 403 | 21,601 | |||||
Cadence Design Systems, Inc.(2) | 2,832 | 204,216 | |||||
Coupa Software, Inc.(2) | 748 | 120,540 | |||||
Dassault Systemes SE | 750 | 130,167 | |||||
Descartes Systems Group, Inc. (The)(2) | 455 | 20,398 | |||||
DocuSign, Inc.(2) | 4,843 | 380,224 | |||||
Elastic NV(2) | 137 | 8,889 | |||||
Envestnet, Inc.(2) | 483 | 38,094 | |||||
Fair Isaac Corp.(2) | 41 | 16,498 | |||||
Five9, Inc.(2) | 500 | 35,865 | |||||
Globant SA(2) | 227 | 27,853 | |||||
Microsoft Corp. | 8,091 | 1,377,331 | |||||
Model N, Inc.(2) | 728 | 22,706 | |||||
Palo Alto Networks, Inc.(2) | 535 | 125,607 | |||||
Paycom Software, Inc.(2) | 527 | 167,670 | |||||
Paylocity Holding Corp.(2) | 237 | 33,628 | |||||
Proofpoint, Inc.(2) | 1,034 | 126,986 | |||||
Rapid7, Inc.(2) | 669 | 39,725 | |||||
RingCentral, Inc., Class A(2) | 2,535 | 521,145 | |||||
salesforce.com, Inc.(2) | 4,766 | 868,890 | |||||
Slack Technologies, Inc., Class A(2) | 4,752 | 98,509 |
21
Shares/ Principal Amount | Value | ||||||
Splunk, Inc.(2) | 2,781 | $ | 431,778 | ||||
TeamViewer AG(2) | 445 | 15,937 | |||||
Temenos AG(2) | 631 | 101,563 | |||||
5,296,558 | |||||||
Specialty Retail — 0.5% | |||||||
Advance Auto Parts, Inc. | 2,143 | 282,340 | |||||
Best Buy Co., Inc. | 351 | 29,726 | |||||
Boot Barn Holdings, Inc.(2) | 760 | 31,897 | |||||
Burlington Stores, Inc.(2) | 839 | 182,457 | |||||
Five Below, Inc.(2) | 1,141 | 129,184 | |||||
Floor & Decor Holdings, Inc., Class A(2) | 2,289 | 112,871 | |||||
Home Depot, Inc. (The) | 1,609 | 367,013 | |||||
JD Sports Fashion plc | 1,884 | 20,509 | |||||
Kingfisher plc | 106,710 | 288,889 | |||||
National Vision Holdings, Inc.(2) | 804 | 27,433 | |||||
Ross Stores, Inc. | 825 | 92,557 | |||||
TJX Cos., Inc. (The) | 3,567 | 210,596 | |||||
1,775,472 | |||||||
Technology Hardware, Storage and Peripherals — 0.3% | |||||||
Apple, Inc. | 3,169 | 980,837 | |||||
HP, Inc. | 6,927 | 147,684 | |||||
1,128,521 | |||||||
Textiles, Apparel and Luxury Goods — 0.3% | |||||||
ANTA Sports Products Ltd. | 6,000 | 51,831 | |||||
Burberry Group plc | 4,079 | 104,759 | |||||
Canada Goose Holdings, Inc.(2) | 3,080 | 92,400 | |||||
Crocs, Inc.(2) | 694 | 26,309 | |||||
lululemon athletica, Inc.(2) | 461 | 110,359 | |||||
NIKE, Inc., Class B | 4,634 | 446,254 | |||||
Puma SE | 1,552 | 124,689 | |||||
VF Corp. | 1,246 | 103,381 | |||||
1,059,982 | |||||||
Thrifts and Mortgage Finance — 0.1% | |||||||
Aruhi Corp. | 1,000 | 16,292 | |||||
Capitol Federal Financial, Inc. | 13,180 | 173,712 | |||||
NMI Holdings, Inc., Class A(2) | 923 | 29,462 | |||||
219,466 | |||||||
Trading Companies and Distributors — 0.2% | |||||||
AerCap Holdings NV(2) | 2,228 | 126,127 | |||||
Applied Industrial Technologies, Inc. | 331 | 21,373 | |||||
Diploma plc | 560 | 14,393 | |||||
Grafton Group plc | 1,883 | 22,947 | |||||
IMCD NV | 198 | 17,076 | |||||
MonotaRO Co. Ltd. | 4,000 | 96,952 | |||||
MSC Industrial Direct Co., Inc., Class A | 2,692 | 183,244 | |||||
Seven Group Holdings Ltd. | 2,218 | 29,506 |
22
Shares/ Principal Amount | Value | ||||||
SiteOne Landscape Supply, Inc.(2) | 233 | $ | 22,496 | ||||
Univar Solutions, Inc.(2) | 3,654 | 78,744 | |||||
Yamazen Corp. | 2,600 | 24,051 | |||||
636,909 | |||||||
Water Utilities† | |||||||
SJW Group | 198 | 14,522 | |||||
Wireless Telecommunication Services† | |||||||
Rogers Communications, Inc., Class B | 2,546 | 127,473 | |||||
TOTAL COMMON STOCKS (Cost $65,931,522) | 87,399,141 | ||||||
U.S. TREASURY SECURITIES — 14.3% | |||||||
U.S. Treasury Bills, 1.55%, 4/9/20(3) | $ | 350,000 | 349,018 | ||||
U.S. Treasury Bills, 1.59%, 5/14/20(3) | 1,090,000 | 1,085,344 | |||||
U.S. Treasury Bonds, 3.50%, 2/15/39 | 120,000 | 152,892 | |||||
U.S. Treasury Bonds, 3.125%, 11/15/41 | 150,000 | 181,884 | |||||
U.S. Treasury Bonds, 3.00%, 5/15/42 | 430,000 | 511,557 | |||||
U.S. Treasury Bonds, 2.875%, 5/15/43 | 920,000 | 1,072,537 | |||||
U.S. Treasury Bonds, 2.50%, 2/15/45(4) | 1,700,000 | 1,862,230 | |||||
U.S. Treasury Bonds, 3.00%, 5/15/45 | 600,000 | 717,668 | |||||
U.S. Treasury Bonds, 3.00%, 11/15/45 | 850,000 | 1,019,402 | |||||
U.S. Treasury Bonds, 2.50%, 5/15/46 | 450,000 | 494,561 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.375%, 1/15/25 | 2,114,882 | 2,386,041 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.375%, 1/15/27 | 382,605 | 450,567 | |||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/42 | 569,110 | 630,753 | |||||
U.S. Treasury Inflation Indexed Bonds, 0.625%, 2/15/43 | 559,330 | 605,368 | |||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/45 | 546,100 | 609,375 | |||||
U.S. Treasury Inflation Indexed Bonds, 0.875%, 2/15/47 | 532,725 | 617,377 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/22 | 2,740,105 | 2,763,717 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 1/15/23 | 3,119,872 | 3,142,335 | |||||
U.S. Treasury Inflation Indexed Notes, 0.375%, 7/15/23 | 3,426,027 | 3,500,568 | |||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 1/15/24 | 1,432,938 | 1,478,615 | |||||
U.S. Treasury Inflation Indexed Notes, 0.50%, 4/15/24 | 3,824,100 | 3,929,986 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/24 | 9,477,650 | 9,650,429 | |||||
U.S. Treasury Inflation Indexed Notes, 0.25%, 1/15/25 | 4,343,480 | 4,443,527 | |||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 1/15/26 | 6,061,496 | 6,356,580 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/26 | 1,180,267 | 1,208,441 | |||||
U.S. Treasury Inflation Indexed Notes, 0.375%, 1/15/27 | 212,944 | 221,029 | |||||
U.S. Treasury Inflation Indexed Notes, 0.50%, 1/15/28 | 1,564,005 | 1,645,038 | |||||
U.S. Treasury Inflation Indexed Notes, 0.875%, 1/15/29 | 2,546,425 | 2,778,945 | |||||
U.S. Treasury Notes, 1.50%, 5/31/20 | 300,000 | 299,865 | |||||
U.S. Treasury Notes, 1.375%, 9/15/20 | 900,000 | 898,963 | |||||
U.S. Treasury Notes, 2.00%, 11/30/20 | 250,000 | 250,967 | |||||
U.S. Treasury Notes, 2.25%, 8/15/27(4) | 300,000 | 317,449 | |||||
TOTAL U.S. TREASURY SECURITIES (Cost $52,811,801) | 55,633,028 |
23
Shares/ Principal Amount | Value | ||||||
CORPORATE BONDS — 9.4% | |||||||
Aerospace and Defense — 0.1% | |||||||
Arconic, Inc., 5.125%, 10/1/24 | $ | 50,000 | $ | 54,023 | |||
Bombardier, Inc., 8.75%, 12/1/21(5) | 25,000 | 26,806 | |||||
United Technologies Corp., 6.05%, 6/1/36 | 51,000 | 71,417 | |||||
United Technologies Corp., 5.70%, 4/15/40 | 75,000 | 106,571 | |||||
258,817 | |||||||
Air Freight and Logistics† | |||||||
XPO Logistics, Inc., 6.50%, 6/15/22(5) | 19,000 | 19,366 | |||||
Airlines† | |||||||
American Airlines Group, Inc., 4.625%, 3/1/20(5) | 40,000 | 40,090 | |||||
United Airlines Holdings, Inc., 5.00%, 2/1/24 | 45,000 | 47,869 | |||||
87,959 | |||||||
Auto Components† | |||||||
American Axle & Manufacturing, Inc., 6.625%, 10/15/22 | 9,000 | 9,138 | |||||
Automobiles — 0.2% | |||||||
BMW Finance NV, MTN, 1.00%, 2/15/22 | EUR | 40,000 | 45,452 | ||||
BMW Finance NV, MTN, 0.875%, 4/3/25 | EUR | 50,000 | 58,068 | ||||
Ford Motor Credit Co. LLC, 5.875%, 8/2/21 | $ | 240,000 | 252,028 | ||||
General Motors Co., 5.15%, 4/1/38 | 100,000 | 106,677 | |||||
General Motors Financial Co., Inc., 3.20%, 7/6/21 | 190,000 | 193,044 | |||||
655,269 | |||||||
Banks — 1.8% | |||||||
ABN AMRO Bank NV, MTN, VRN, 2.875%, 6/30/25 | EUR | 100,000 | 112,125 | ||||
Akbank T.A.S., 5.00%, 10/24/22 | $ | 50,000 | 51,640 | ||||
Avi Funding Co. Ltd., 3.80%, 9/16/25(5) | 102,000 | 109,221 | |||||
Banco Santander SA, MTN, 2.50%, 3/18/25 | EUR | 200,000 | 241,639 | ||||
Banistmo SA, 3.65%, 9/19/22 | $ | 120,000 | 123,039 | ||||
Bank of America Corp., 4.10%, 7/24/23 | 70,000 | 75,394 | |||||
Bank of America Corp., MTN, 2.30%, 7/25/25 | GBP | 100,000 | 138,274 | ||||
Bank of America Corp., MTN, 5.00%, 1/21/44 | $ | 60,000 | 80,177 | ||||
Bank of America Corp., MTN, VRN, 4.44%, 1/20/48 | 40,000 | 50,401 | |||||
Bank of America Corp., VRN, 3.42%, 12/20/28 | 56,000 | 60,224 | |||||
Bank of Montreal, MTN, 3.30%, 2/5/24 | 266,000 | 280,793 | |||||
Barclays Bank plc, 5.14%, 10/14/20 | 100,000 | 102,190 | |||||
Barclays plc, MTN, VRN, 2.00%, 2/7/28 | EUR | 200,000 | 228,168 | ||||
BPCE SA, VRN, 2.75%, 7/8/26 | EUR | 100,000 | 114,921 | ||||
CaixaBank SA, MTN, VRN, 2.75%, 7/14/28 | EUR | 100,000 | 117,714 | ||||
Citigroup, Inc., 2.75%, 4/25/22 | $ | 60,000 | 61,118 | ||||
Citigroup, Inc., VRN, 3.52%, 10/27/28 | 210,000 | 226,195 | |||||
Co-Operative Bank plc (The), 4.75%, 11/11/21 (Secured) | GBP | 200,000 | 277,438 | ||||
Commerzbank AG, MTN, 4.00%, 3/23/26 | EUR | 120,000 | 154,085 | ||||
Cooperatieve Rabobank UA, VRN, 2.50%, 5/26/26 | EUR | 100,000 | 114,320 | ||||
Credit Agricole SA, MTN, 7.375%, 12/18/23 | GBP | 100,000 | 161,418 | ||||
European Financial Stability Facility, MTN, 2.125%, 2/19/24 | EUR | 351,000 | 430,405 | ||||
European Financial Stability Facility, MTN, 2.35%, 7/29/44 | EUR | 62,000 | 101,928 |
24
Shares/ Principal Amount | Value | ||||||
European Investment Bank, MTN, 2.25%, 10/14/22 | EUR | 165,000 | $ | 197,045 | |||
Fifth Third BanCorp., 4.30%, 1/16/24 | $ | 60,000 | 64,980 | ||||
Fifth Third Bank, 2.875%, 10/1/21 | 31,000 | 31,595 | |||||
HSBC Bank plc, MTN, VRN, 5.375%, 11/4/30 | GBP | 90,000 | 140,879 | ||||
HSBC Holdings plc, 4.30%, 3/8/26 | $ | 200,000 | 222,051 | ||||
HSBC Holdings plc, VRN, 3.26%, 3/13/23 | 200,000 | 205,280 | |||||
Intercorp Financial Services, Inc., 4.125%, 10/19/27(5) | 125,000 | 130,918 | |||||
JPMorgan Chase & Co., 3.875%, 9/10/24 | 550,000 | 594,720 | |||||
JPMorgan Chase & Co., 3.125%, 1/23/25 | 240,000 | 253,545 | |||||
JPMorgan Chase & Co., VRN, 3.90%, 1/23/49 | 90,000 | 105,605 | |||||
KEB Hana Bank, MTN, 4.375%, 9/30/24 | 82,000 | 88,376 | |||||
Kreditanstalt fuer Wiederaufbau, 4.625%, 1/4/23 | EUR | 250,000 | 319,754 | ||||
Lloyds Bank plc, MTN, 7.625%, 4/22/25 | GBP | 80,000 | 136,108 | ||||
Royal Bank of Scotland Group plc, 6.125%, 12/15/22 | $ | 25,000 | 27,412 | ||||
Santander UK plc, MTN, 5.125%, 4/14/21 | GBP | 100,000 | 138,559 | ||||
U.S. Bancorp, MTN, 3.60%, 9/11/24 | $ | 24,000 | 25,872 | ||||
U.S. Bank N.A., 2.80%, 1/27/25 | 250,000 | 261,650 | |||||
UniCredit SpA, MTN, VRN, 5.75%, 10/28/25 | EUR | 100,000 | 115,246 | ||||
Wells Fargo & Co., 4.125%, 8/15/23 | $ | 100,000 | 107,307 | ||||
Wells Fargo & Co., 3.00%, 4/22/26 | 180,000 | 188,878 | |||||
Wells Fargo & Co., MTN, 2.60%, 7/22/20 | 130,000 | 130,496 | |||||
Wells Fargo & Co., MTN, 4.65%, 11/4/44 | 115,000 | 139,355 | |||||
Woori Bank, MTN, 4.75%, 4/30/24 | 61,000 | 66,225 | |||||
7,104,683 | |||||||
Beverages — 0.1% | |||||||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc., 4.90%, 2/1/46 | 180,000 | 225,189 | |||||
Anheuser-Busch InBev SA, MTN, 1.50%, 3/17/25 | EUR | 50,000 | 59,814 | ||||
285,003 | |||||||
Biotechnology — 0.2% | |||||||
AbbVie, Inc., 2.90%, 11/6/22 | $ | 5,000 | 5,137 | ||||
AbbVie, Inc., 3.60%, 5/14/25 | 40,000 | 42,772 | |||||
AbbVie, Inc., 4.40%, 11/6/42 | 130,000 | 147,422 | |||||
Amgen, Inc., 4.66%, 6/15/51 | 138,000 | 167,565 | |||||
Gilead Sciences, Inc., 4.40%, 12/1/21 | 110,000 | 114,803 | |||||
Gilead Sciences, Inc., 3.65%, 3/1/26 | 230,000 | 250,095 | |||||
727,794 | |||||||
Building Products† | |||||||
Standard Industries, Inc., 6.00%, 10/15/25(5) | 20,000 | 20,925 | |||||
Capital Markets — 0.4% | |||||||
Credit Suisse Group AG, VRN, 2.125%, 9/12/25 | GBP | 100,000 | 135,299 | ||||
Criteria Caixa SAU, MTN, 1.50%, 5/10/23 | EUR | 100,000 | 115,443 | ||||
Goldman Sachs Group, Inc. (The), 5.50%, 10/12/21 | GBP | 50,000 | 70,818 | ||||
Goldman Sachs Group, Inc. (The), 3.50%, 11/16/26 | $ | 305,000 | 325,654 | ||||
MDGH - GMTN B.V., 3.25%, 4/28/22(5) | 41,000 | 41,989 | |||||
Morgan Stanley, MTN, 3.70%, 10/23/24 | 250,000 | 269,726 | |||||
Morgan Stanley, MTN, 4.00%, 7/23/25 | 160,000 | 175,926 |
25
Shares/ Principal Amount | Value | ||||||
Morgan Stanley, MTN, VRN, 2.70%, 1/22/31 | $ | 250,000 | $ | 254,632 | |||
SURA Asset Management SA, 4.375%, 4/11/27 | 40,000 | 43,314 | |||||
1,432,801 | |||||||
Chemicals† | |||||||
Element Solutions, Inc., 5.875%, 12/1/25(5) | 10,000 | 10,361 | |||||
Equate Petrochemical BV, 4.25%, 11/3/26(5) | 34,000 | 36,736 | |||||
Huntsman International LLC, 5.125%, 11/15/22 | 25,000 | 26,736 | |||||
Tronox Finance plc, 5.75%, 10/1/25(5) | 10,000 | 9,904 | |||||
83,737 | |||||||
Commercial Services and Supplies — 0.1% | |||||||
ADT Security Corp. (The), 6.25%, 10/15/21 | 20,000 | 21,204 | |||||
Nielsen Finance LLC / Nielsen Finance Co., 5.00%, 4/15/22(5) | 60,000 | 60,407 | |||||
Prime Security Services Borrower LLC / Prime Finance, Inc., 9.25%, 5/15/23(5) | 25,000 | 26,234 | |||||
Republic Services, Inc., 3.55%, 6/1/22 | 220,000 | 228,064 | |||||
335,909 | |||||||
Communications Equipment† | |||||||
CommScope Technologies LLC, 6.00%, 6/15/25(5) | 25,000 | 23,922 | |||||
Construction Materials† | |||||||
Cemex SAB de CV, 6.125%, 5/5/25 | 80,000 | 82,768 | |||||
Consumer Finance — 0.1% | |||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 5.00%, 10/1/21 | 150,000 | 157,454 | |||||
Capital One Financial Corp., 3.80%, 1/31/28 | 190,000 | 207,187 | |||||
Navient Corp., 5.00%, 10/26/20 | 45,000 | 45,682 | |||||
Navient Corp., 5.50%, 1/25/23 | 20,000 | 20,950 | |||||
Park Aerospace Holdings Ltd., 5.25%, 8/15/22(5) | 20,000 | 21,451 | |||||
452,724 | |||||||
Containers and Packaging† | |||||||
Berry Global, Inc., 5.125%, 7/15/23 | 25,000 | 25,500 | |||||
Mauser Packaging Solutions Holding Co., 5.50%, 4/15/24(5) | 10,000 | 10,330 | |||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 5.125%, 7/15/23(5) | 30,000 | 30,775 | |||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 7.00%, 7/15/24(5) | 40,000 | 41,375 | |||||
Sealed Air Corp., 5.125%, 12/1/24(5) | 25,000 | 27,062 | |||||
135,042 | |||||||
Diversified Financial Services — 1.2% | |||||||
Berkshire Hathaway, Inc., 2.75%, 3/15/23 | 50,000 | 51,732 | |||||
Fiore Capital LLC, VRDN, 1.60%, 2/7/20 (LOC: Wells Fargo Bank N.A.) | 1,500,000 | 1,500,000 | |||||
Gulf Gate Apartments LLC, VRN, 1.65%, 9/1/28 (Acquired 9/29/03 - 11/10/03, Cost $3,000,000)(6) | 3,000,000 | 3,000,000 | |||||
Voya Financial, Inc., 5.70%, 7/15/43 | 110,000 | 150,407 | |||||
4,702,139 | |||||||
Diversified Telecommunication Services — 0.4% | |||||||
Altice France SA, 7.375%, 5/1/26(5) | 35,000 | 37,298 | |||||
AT&T, Inc., 4.45%, 4/1/24 | 6,000 | 6,565 |
26
Shares/ Principal Amount | Value | ||||||
AT&T, Inc., 3.40%, 5/15/25 | $ | 90,000 | $ | 95,619 | |||
AT&T, Inc., 2.95%, 7/15/26 | 80,000 | 83,268 | |||||
AT&T, Inc., 3.80%, 2/15/27 | 100,000 | 109,170 | |||||
AT&T, Inc., 2.60%, 12/17/29 | EUR | 100,000 | 130,292 | ||||
AT&T, Inc., 5.15%, 11/15/46 | $ | 171,000 | 209,140 | ||||
CenturyLink, Inc., 5.625%, 4/1/20 | 50,000 | 50,247 | |||||
CenturyLink, Inc., 5.80%, 3/15/22 | 10,000 | 10,558 | |||||
Deutsche Telekom International Finance BV, MTN, 1.25%, 10/6/23 | GBP | 50,000 | 66,666 | ||||
Deutsche Telekom International Finance BV, MTN, 0.875%, 1/30/24 | EUR | 40,000 | 46,044 | ||||
Frontier Communications Corp., 11.00%, 9/15/25 | $ | 35,000 | 16,275 | ||||
Hughes Satellite Systems Corp., 5.25%, 8/1/26 | 25,000 | 27,194 | |||||
Level 3 Financing, Inc., 5.375%, 8/15/22 | 46,000 | 46,195 | |||||
Ooredoo International Finance Ltd., 3.75%, 6/22/26(5) | 61,000 | 64,838 | |||||
Orange SA, 4.125%, 9/14/21 | 120,000 | 124,889 | |||||
Telefonica Europe BV, VRN, 5.875%, 3/31/24 | EUR | 100,000 | 128,765 | ||||
Turk Telekomunikasyon AS, 4.875%, 6/19/24(5) | $ | 80,000 | 82,165 | ||||
Verizon Communications, Inc., 4.75%, 11/1/41 | 15,000 | 18,753 | |||||
Verizon Communications, Inc., 5.01%, 8/21/54 | 55,000 | 74,855 | |||||
Zayo Group LLC / Zayo Capital, Inc., 6.00%, 4/1/23 | 25,000 | 25,583 | |||||
1,454,379 | |||||||
Electric Utilities — 0.3% | |||||||
Berkshire Hathaway Energy Co., 3.50%, 2/1/25 | 80,000 | 85,766 | |||||
Berkshire Hathaway Energy Co., 3.80%, 7/15/48 | 70,000 | 78,762 | |||||
Duke Energy Florida LLC, 6.35%, 9/15/37 | 70,000 | 103,561 | |||||
Duke Energy Florida LLC, 3.85%, 11/15/42 | 80,000 | 90,704 | |||||
Duke Energy Progress LLC, 4.15%, 12/1/44 | 9,000 | 10,677 | |||||
Exelon Corp., 4.45%, 4/15/46 | 30,000 | 35,382 | |||||
Exelon Generation Co. LLC, 4.25%, 6/15/22 | 60,000 | 62,966 | |||||
FirstEnergy Corp., 4.25%, 3/15/23 | 120,000 | 127,919 | |||||
FirstEnergy Corp., 4.85%, 7/15/47 | 30,000 | 37,108 | |||||
Florida Power & Light Co., 3.95%, 3/1/48 | 50,000 | 59,497 | |||||
Georgia Power Co., 4.30%, 3/15/42 | 50,000 | 57,953 | |||||
Greenko Investment Co., 4.875%, 8/16/23(5) | 41,000 | 41,070 | |||||
Israel Electric Corp. Ltd., 6.875%, 6/21/23(5) | 41,000 | 46,729 | |||||
MidAmerican Energy Co., 4.40%, 10/15/44 | 40,000 | 49,251 | |||||
NextEra Energy Operating Partners LP, 4.50%, 9/15/27(5) | 50,000 | 52,259 | |||||
Pampa Energia SA, 7.50%, 1/24/27 | 82,000 | 71,504 | |||||
Progress Energy, Inc., 3.15%, 4/1/22 | 60,000 | 61,398 | |||||
Southern Co. Gas Capital Corp., 3.95%, 10/1/46 | 30,000 | 32,809 | |||||
Southwestern Public Service Co., 3.70%, 8/15/47 | 30,000 | 33,919 | |||||
SSE plc, VRN, 2.375%, 4/1/21 | EUR | 100,000 | 113,539 | ||||
Xcel Energy, Inc., 3.35%, 12/1/26 | $ | 40,000 | 43,033 | ||||
1,295,806 | |||||||
Electronic Equipment, Instruments and Components† | |||||||
Sensata Technologies BV, 5.00%, 10/1/25(5) | 20,000 | 21,692 |
27
Shares/ Principal Amount | Value | ||||||
Entertainment† | |||||||
Walt Disney Co. (The), 4.75%, 9/15/44 | $ | 32,000 | $ | 41,349 | |||
Equity Real Estate Investment Trusts (REITs) — 0.1% | |||||||
Boston Properties LP, 3.65%, 2/1/26 | 100,000 | 108,499 | |||||
Equinix, Inc., 5.375%, 5/15/27 | 20,000 | 21,713 | |||||
Essex Portfolio LP, 3.25%, 5/1/23 | 30,000 | 31,169 | |||||
GLP Capital LP / GLP Financing II, Inc., 5.375%, 11/1/23 | 20,000 | 22,019 | |||||
Iron Mountain, Inc., 5.75%, 8/15/24 | 35,000 | 35,393 | |||||
Iron Mountain, Inc., 4.875%, 9/15/27(5) | 20,000 | 20,646 | |||||
Kilroy Realty LP, 3.80%, 1/15/23 | 100,000 | 104,709 | |||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 5.625%, 5/1/24 | 20,000 | 21,858 | |||||
SBA Communications Corp., 4.875%, 7/15/22 | 35,000 | 35,507 | |||||
Service Properties Trust, 4.65%, 3/15/24 | 60,000 | 63,251 | |||||
464,764 | |||||||
Food and Staples Retailing — 0.1% | |||||||
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 6.625%, 6/15/24 | 35,000 | 36,487 | |||||
Kroger Co. (The), 3.875%, 10/15/46 | 50,000 | 50,907 | |||||
Tesco plc, MTN, 5.00%, 3/24/23 | GBP | 50,000 | 73,145 | ||||
Walmart, Inc., 2.55%, 4/11/23 | $ | 19,000 | 19,557 | ||||
180,096 | |||||||
Food Products — 0.1% | |||||||
B&G Foods, Inc., 5.25%, 4/1/25 | 20,000 | 20,459 | |||||
JBS USA LUX SA / JBS USA Finance, Inc., 5.875%, 7/15/24(5) | 20,000 | 20,525 | |||||
JBS USA LUX SA / JBS USA Finance, Inc., 5.75%, 6/15/25(5) | 30,000 | 31,152 | |||||
Lamb Weston Holdings, Inc., 4.625%, 11/1/24(5) | 70,000 | 73,646 | |||||
MHP SE, 7.75%, 5/10/24(5) | 51,000 | 55,061 | |||||
Minerva Luxembourg SA, 5.875%, 1/19/28(5) | 30,000 | 31,670 | |||||
Pilgrim's Pride Corp., 5.75%, 3/15/25(5) | 70,000 | 72,071 | |||||
Post Holdings, Inc., 5.00%, 8/15/26(5) | 40,000 | 41,374 | |||||
345,958 | |||||||
Gas Utilities — 0.1% | |||||||
China Resources Gas Group Ltd., MTN, 4.50%, 4/5/22 | 102,000 | 106,712 | |||||
Perusahaan Gas Negara Tbk PT, 5.125%, 5/16/24 | 82,000 | 89,589 | |||||
196,301 | |||||||
Health Care Equipment and Supplies — 0.1% | |||||||
Medtronic, Inc., 3.50%, 3/15/25 | 6,000 | 6,502 | |||||
Medtronic, Inc., 4.375%, 3/15/35 | 136,000 | 168,661 | |||||
175,163 | |||||||
Health Care Providers and Services — 0.3% | |||||||
Acadia Healthcare Co., Inc., 5.125%, 7/1/22 | 10,000 | 10,041 | |||||
Aetna, Inc., 2.75%, 11/15/22 | 90,000 | 91,883 | |||||
Anthem, Inc., 4.65%, 1/15/43 | 50,000 | 57,839 | |||||
CHS / Community Health Systems, Inc., 6.25%, 3/31/23 | 20,000 | 20,450 | |||||
CHS / Community Health Systems, Inc., 8.00%, 12/15/27(5) | 14,000 | 14,507 |
28
Shares/ Principal Amount | Value | ||||||
CHS / Community Health Systems, Inc., 6.875%, 4/1/28(5) | $ | 35,000 | $ | 21,525 | |||
CommonSpirit Health, 2.95%, 11/1/22 | 70,000 | 71,837 | |||||
CVS Health Corp., 3.50%, 7/20/22 | 110,000 | 113,994 | |||||
CVS Health Corp., 4.30%, 3/25/28 | 130,000 | 144,331 | |||||
CVS Health Corp., 4.78%, 3/25/38 | 60,000 | 70,181 | |||||
CVS Health Corp., 5.05%, 3/25/48 | 70,000 | 84,697 | |||||
DaVita, Inc., 5.125%, 7/15/24 | 35,000 | 35,860 | |||||
DaVita, Inc., 5.00%, 5/1/25 | 30,000 | 30,813 | |||||
Encompass Health Corp., 5.75%, 11/1/24 | 9,000 | 9,129 | |||||
HCA, Inc., 5.00%, 3/15/24 | 70,000 | 77,582 | |||||
HCA, Inc., 5.375%, 2/1/25 | 70,000 | 78,378 | |||||
HCA, Inc., 4.50%, 2/15/27 | 45,000 | 49,502 | |||||
Team Health Holdings, Inc., 6.375%, 2/1/25(5) | 10,000 | 5,904 | |||||
Tenet Healthcare Corp., 8.125%, 4/1/22 | 35,000 | 38,301 | |||||
Tenet Healthcare Corp., 6.75%, 6/15/23 | 40,000 | 43,583 | |||||
Tenet Healthcare Corp., 5.125%, 5/1/25 | 50,000 | 51,000 | |||||
UnitedHealth Group, Inc., 2.875%, 3/15/22 | 120,000 | 122,650 | |||||
UnitedHealth Group, Inc., 3.75%, 7/15/25 | 50,000 | 54,745 | |||||
1,298,732 | |||||||
Hotels, Restaurants and Leisure — 0.1% | |||||||
1011778 BC ULC / New Red Finance, Inc., 5.00%, 10/15/25(5) | 30,000 | 30,983 | |||||
Boyd Gaming Corp., 6.375%, 4/1/26 | 25,000 | 26,628 | |||||
Eldorado Resorts, Inc., 7.00%, 8/1/23 | 35,000 | 36,290 | |||||
Golden Nugget, Inc., 6.75%, 10/15/24(5) | 30,000 | 30,906 | |||||
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp., 4.625%, 4/1/25 | 20,000 | 20,508 | |||||
International Game Technology plc, 6.25%, 2/15/22(5) | 25,000 | 26,232 | |||||
McDonald's Corp., MTN, 3.375%, 5/26/25 | 60,000 | 64,298 | |||||
McDonald's Corp., MTN, 4.70%, 12/9/35 | 40,000 | 49,718 | |||||
MGM Resorts International, 6.00%, 3/15/23 | 30,000 | 32,979 | |||||
MGM Resorts International, 4.625%, 9/1/26 | 10,000 | 10,514 | |||||
Penn National Gaming, Inc., 5.625%, 1/15/27(5) | 35,000 | 36,836 | |||||
Royal Caribbean Cruises Ltd., 5.25%, 11/15/22 | 60,000 | 65,131 | |||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.50%, 3/1/25(5) | 55,000 | 57,474 | |||||
Yum! Brands, Inc., 3.75%, 11/1/21 | 25,000 | 25,648 | |||||
514,145 | |||||||
Household Durables — 0.1% | |||||||
Beazer Homes USA, Inc., 5.875%, 10/15/27 | 20,000 | 20,801 | |||||
Lennar Corp., 4.75%, 4/1/21 | 70,000 | 71,790 | |||||
Meritage Homes Corp., 5.125%, 6/6/27 | 40,000 | 43,114 | |||||
PulteGroup, Inc., 5.50%, 3/1/26 | 20,000 | 22,396 | |||||
Shea Homes LP / Shea Homes Funding Corp., 5.875%, 4/1/23(5) | 20,000 | 20,408 | |||||
Toll Brothers Finance Corp., 4.35%, 2/15/28 | 80,000 | 84,428 | |||||
William Lyon Homes, Inc., 5.875%, 1/31/25 | 25,000 | 25,823 | |||||
288,760 | |||||||
29
Shares/ Principal Amount | Value | ||||||
Household Products† | |||||||
Energizer Holdings, Inc., 5.50%, 6/15/25(5) | $ | 25,000 | $ | 25,865 | |||
Spectrum Brands, Inc., 5.75%, 7/15/25 | 40,000 | 41,649 | |||||
67,514 | |||||||
Independent Power and Renewable Electricity Producers† | |||||||
Listrindo Capital BV, 4.95%, 9/14/26 | 41,000 | 42,329 | |||||
Industrial Conglomerates† | |||||||
CK Hutchison International 17 II Ltd., 2.25%, 9/29/20(5) | 163,000 | 163,194 | |||||
Insurance — 0.7% | |||||||
Allianz SE, VRN, 3.375%, 9/18/24 | EUR | 200,000 | 246,120 | ||||
American International Group, Inc., 4.125%, 2/15/24 | $ | 240,000 | 260,345 | ||||
American International Group, Inc., 4.50%, 7/16/44 | 70,000 | 83,551 | |||||
Assicurazioni Generali SpA, VRN, 6.42%, 2/8/22 | GBP | 50,000 | 71,812 | ||||
AXA SA, 7.125%, 12/15/20 | GBP | 110,000 | 152,577 | ||||
AXA SA, MTN, VRN, 3.375%, 7/6/47 | EUR | 200,000 | 256,587 | ||||
Berkshire Hathaway Finance Corp., 3.00%, 5/15/22 | $ | 90,000 | 92,934 | ||||
Berkshire Hathaway Finance Corp., 4.20%, 8/15/48 | 110,000 | 133,616 | |||||
Chubb INA Holdings, Inc., 3.15%, 3/15/25 | 120,000 | 128,356 | |||||
Chubb INA Holdings, Inc., 3.35%, 5/3/26 | 60,000 | 64,991 | |||||
CNP Assurances, VRN, 4.00%, 11/18/24 | EUR | 100,000 | 124,965 | ||||
Credit Agricole Assurances SA, VRN, 4.25%, 1/13/25 | EUR | 100,000 | 124,765 | ||||
Hartford Financial Services Group, Inc. (The), 5.95%, 10/15/36 | $ | 30,000 | 40,884 | ||||
Hartford Financial Services Group, Inc. (The), 3.60%, 8/19/49 | 54,000 | 58,773 | |||||
Intesa Sanpaolo Vita SpA, VRN, 4.75%, 12/17/24 | EUR | 200,000 | 248,600 | ||||
Markel Corp., 4.90%, 7/1/22 | $ | 120,000 | 128,438 | ||||
MetLife, Inc., 4.125%, 8/13/42 | 9,000 | 10,725 | |||||
MetLife, Inc., 4.875%, 11/13/43 | 70,000 | 91,401 | |||||
Metropolitan Life Global Funding I, 3.00%, 1/10/23(5) | 100,000 | 103,625 | |||||
Prudential Financial, Inc., 3.94%, 12/7/49 | 47,000 | 52,859 | |||||
WR Berkley Corp., 4.625%, 3/15/22 | 80,000 | 84,621 | |||||
2,560,545 | |||||||
Interactive Media and Services† | |||||||
Rackspace Hosting, Inc., 8.625%, 11/15/24(5) | 25,000 | 24,813 | |||||
Tencent Holdings Ltd., 3.80%, 2/11/25(5) | 61,000 | 65,724 | |||||
90,537 | |||||||
Internet and Direct Marketing Retail — 0.1% | |||||||
Alibaba Group Holding Ltd., 2.80%, 6/6/23 | 140,000 | 143,147 | |||||
JD.com, Inc., 3.875%, 4/29/26 | 102,000 | 109,264 | |||||
Prosus NV, 6.00%, 7/18/20 | 61,000 | 61,955 | |||||
314,366 | |||||||
IT Services — 0.1% | |||||||
Fidelity National Information Services, Inc., 3.00%, 8/15/26 | 58,000 | 61,064 | |||||
International Business Machines Corp., 1.75%, 3/7/28 | EUR | 100,000 | 124,786 | ||||
185,850 |
30
Shares/ Principal Amount | Value | ||||||
Media — 0.3% | |||||||
Altice Financing SA, 6.625%, 2/15/23(5) | $ | 70,000 | $ | 71,371 | |||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.75%, 2/15/26(5) | 45,000 | 47,304 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.125%, 5/1/27(5) | 30,000 | 31,405 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 4.91%, 7/23/25 | 130,000 | 145,579 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 6.48%, 10/23/45 | 20,000 | 25,982 | |||||
Comcast Corp., 6.40%, 5/15/38 | 110,000 | 161,292 | |||||
Comcast Corp., 4.75%, 3/1/44 | 120,000 | 152,854 | |||||
CSC Holdings LLC, 6.75%, 11/15/21 | 45,000 | 48,532 | |||||
CSC Holdings LLC, 6.625%, 10/15/25(5) | 50,000 | 52,912 | |||||
CSC Holdings LLC, 5.50%, 5/15/26(5) | 25,000 | 26,251 | |||||
DISH DBS Corp., 6.75%, 6/1/21 | 25,000 | 26,296 | |||||
Gray Television, Inc., 5.875%, 7/15/26(5) | 40,000 | 41,924 | |||||
Lamar Media Corp., 5.00%, 5/1/23 | 30,000 | 30,637 | |||||
Nexstar Broadcasting, Inc., 5.625%, 8/1/24(5) | 25,000 | 26,052 | |||||
Sinclair Television Group, Inc., 5.625%, 8/1/24(5) | 30,000 | 30,925 | |||||
Sirius XM Radio, Inc., 4.625%, 5/15/23(5) | 15,000 | 15,163 | |||||
Sirius XM Radio, Inc., 5.375%, 4/15/25(5) | 50,000 | 51,672 | |||||
TEGNA, Inc., 5.50%, 9/15/24(5) | 30,000 | 30,938 | |||||
ViacomCBS, Inc., 4.85%, 7/1/42 | 50,000 | 58,698 | |||||
ViacomCBS, Inc., 4.375%, 3/15/43 | 30,000 | 32,522 | |||||
VTR Finance BV, 6.875%, 1/15/24 | 92,000 | 94,262 | |||||
WPP Finance 2013, MTN, 3.00%, 11/20/23 | EUR | 100,000 | 124,048 | ||||
1,326,619 | |||||||
Metals and Mining — 0.1% | |||||||
Alcoa Nederland Holding BV, 6.75%, 9/30/24(5) | $ | 20,000 | 21,052 | ||||
First Quantum Minerals Ltd., 7.25%, 4/1/23 | 50,000 | 49,635 | |||||
First Quantum Minerals Ltd., 6.50%, 3/1/24(5) | 110,000 | 106,194 | |||||
Freeport-McMoRan, Inc., 3.55%, 3/1/22 | 55,000 | 55,717 | |||||
HTA Group Ltd., 9.125%, 3/8/22(5) | 61,000 | 62,927 | |||||
Nexa Resources SA, 5.375%, 5/4/27 | 92,000 | 99,186 | |||||
Steel Dynamics, Inc., 5.25%, 4/15/23 | 30,000 | 30,489 | |||||
Vedanta Resources Ltd., 6.125%, 8/9/24(5) | 87,000 | 77,174 | |||||
502,374 | |||||||
Multi-Utilities — 0.2% | |||||||
Abu Dhabi National Energy Co. PJSC, 5.875%, 12/13/21(5) | 82,000 | 87,520 | |||||
Abu Dhabi National Energy Co. PJSC, 3.625%, 1/12/23(5) | 61,000 | 63,042 | |||||
Centrica plc, VRN, 5.25%, 4/10/75 | GBP | 100,000 | 144,186 | ||||
Consolidated Edison Co. of New York, Inc., 3.95%, 3/1/43 | $ | 60,000 | 67,937 | ||||
Dominion Energy, Inc., 4.90%, 8/1/41 | 70,000 | 86,393 | |||||
NiSource, Inc., 5.65%, 2/1/45 | 70,000 | 93,282 | |||||
Sempra Energy, 2.875%, 10/1/22 | 130,000 | 133,270 | |||||
Sempra Energy, 3.25%, 6/15/27 | 80,000 | 84,765 |
31
Shares/ Principal Amount | Value | ||||||
Sempra Energy, 4.00%, 2/1/48 | $ | 40,000 | $ | 44,365 | |||
804,760 | |||||||
Oil, Gas and Consumable Fuels — 0.9% | |||||||
Cheniere Corpus Christi Holdings LLC, 5.875%, 3/31/25 | 40,000 | 45,515 | |||||
Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/27 | 20,000 | 22,322 | |||||
Chesapeake Energy Corp., 11.50%, 1/1/25(5) | 7,000 | 5,650 | |||||
CNOOC Finance 2013 Ltd., 3.00%, 5/9/23 | 102,000 | 104,606 | |||||
CNX Resources Corp., 5.875%, 4/15/22 | 33,000 | 32,670 | |||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 5.75%, 4/1/25 | 25,000 | 25,445 | |||||
Denbury Resources, Inc., 9.00%, 5/15/21(5) | 10,000 | 9,422 | |||||
Ecopetrol SA, 5.875%, 5/28/45 | 130,000 | 156,707 | |||||
Enbridge, Inc., 4.00%, 10/1/23 | 70,000 | 74,542 | |||||
Energy Transfer Operating LP, 4.15%, 10/1/20 | 110,000 | 111,199 | |||||
Energy Transfer Operating LP, 3.60%, 2/1/23 | 14,000 | 14,494 | |||||
Energy Transfer Operating LP, 6.50%, 2/1/42 | 80,000 | 95,406 | |||||
Enterprise Products Operating LLC, 4.85%, 3/15/44 | 220,000 | 256,694 | |||||
Gazprom PJSC Via Gaz Capital SA, 6.51%, 3/7/22(5) | 56,000 | 60,843 | |||||
Gazprom PJSC Via Gaz Capital SA, 7.29%, 8/16/37(5) | 56,000 | 81,008 | |||||
Genesis Energy LP / Genesis Energy Finance Corp., 5.625%, 6/15/24 | 5,000 | 4,877 | |||||
Gulfport Energy Corp., 6.00%, 10/15/24 | 15,000 | 8,306 | |||||
Gulfport Energy Corp., 6.375%, 5/15/25 | 25,000 | 12,573 | |||||
Hess Corp., 6.00%, 1/15/40 | 80,000 | 93,999 | |||||
KazTransGas JSC, 4.375%, 9/26/27(5) | 82,000 | 87,847 | |||||
Kinder Morgan Energy Partners LP, 6.50%, 9/1/39 | 200,000 | 258,474 | |||||
MEG Energy Corp., 6.50%, 1/15/25(5) | 21,000 | 22,011 | |||||
MPLX LP, 6.25%, 10/15/22(5) | 9,000 | 9,177 | |||||
MPLX LP, 4.875%, 12/1/24 | 25,000 | 27,542 | |||||
MPLX LP, 4.875%, 6/1/25 | 30,000 | 33,279 | |||||
MPLX LP, 4.50%, 4/15/38 | 40,000 | 41,452 | |||||
MPLX LP, 5.20%, 3/1/47 | 20,000 | 22,157 | |||||
Newfield Exploration Co., 5.75%, 1/30/22 | 90,000 | 95,767 | |||||
Newfield Exploration Co., 5.375%, 1/1/26 | 10,000 | 10,985 | |||||
Oasis Petroleum, Inc., 6.875%, 3/15/22 | 40,000 | 38,500 | |||||
Ovintiv, Inc., 6.50%, 2/1/38 | 50,000 | 58,435 | |||||
Parsley Energy LLC / Parsley Finance Corp., 5.375%, 1/15/25(5) | 40,000 | 41,254 | |||||
Petrobras Global Finance BV, 5.75%, 2/1/29 | 150,000 | 173,362 | |||||
Petrobras Global Finance BV, 7.25%, 3/17/44 | 70,000 | 88,721 | |||||
Petroleos Mexicanos, 6.50%, 3/13/27 | 55,000 | 59,786 | |||||
Plains All American Pipeline LP / PAA Finance Corp., 3.65%, 6/1/22 | 160,000 | 164,916 | |||||
QEP Resources, Inc., 5.375%, 10/1/22 | 50,000 | 50,266 | |||||
Ras Laffan Liquefied Natural Gas Co. Ltd. II, 5.30%, 9/30/20 | 9,192 | 9,321 | |||||
Reliance Industries Ltd., 4.125%, 1/28/25 | 133,000 | 142,580 | |||||
Sabine Pass Liquefaction LLC, 5.625%, 3/1/25 | 90,000 | 102,445 |
32
Shares/ Principal Amount | Value | ||||||
SM Energy Co., 5.00%, 1/15/24 | $ | 25,000 | $ | 22,885 | |||
Southwestern Energy Co., 6.20%, 1/23/25 | 35,000 | 29,225 | |||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.25%, 11/15/23 | 45,000 | 45,469 | |||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.125%, 2/1/25 | 20,000 | 20,650 | |||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.00%, 1/15/28 | 30,000 | 30,595 | |||||
TOTAL SA, MTN, VRN, 2.25%, 2/26/21 | EUR | 100,000 | 113,222 | ||||
Williams Cos., Inc. (The), 4.125%, 11/15/20 | $ | 20,000 | 20,208 | ||||
Williams Cos., Inc. (The), 4.55%, 6/24/24 | 170,000 | 185,812 | |||||
Williams Cos., Inc. (The), 5.10%, 9/15/45 | 90,000 | 99,430 | |||||
3,322,051 | |||||||
Pharmaceuticals — 0.2% | |||||||
Allergan Finance LLC, 3.25%, 10/1/22 | 190,000 | 196,179 | |||||
Allergan Funding SCS, 3.85%, 6/15/24 | 80,000 | 85,363 | |||||
Allergan Funding SCS, 4.55%, 3/15/35 | 80,000 | 92,170 | |||||
Bausch Health Cos., Inc., 5.50%, 3/1/23(5) | 27,000 | 27,146 | |||||
Bausch Health Cos., Inc., 7.00%, 3/15/24(5) | 15,000 | 15,582 | |||||
Bausch Health Cos., Inc., 6.125%, 4/15/25(5) | 85,000 | 87,610 | |||||
Bristol-Myers Squibb Co., 3.25%, 8/15/22(5) | 90,000 | 93,518 | |||||
Bristol-Myers Squibb Co., 3.625%, 5/15/24(5) | 15,000 | 16,052 | |||||
Bristol-Myers Squibb Co., 3.875%, 8/15/25(5) | 130,000 | 142,851 | |||||
Shire Acquisitions Investments Ireland DAC, 2.40%, 9/23/21 | 60,000 | 60,553 | |||||
817,024 | |||||||
Professional Services† | |||||||
Jaguar Holding Co. II / Pharmaceutical Product Development LLC, 6.375%, 8/1/23(5) | 30,000 | 30,900 | |||||
Road and Rail — 0.1% | |||||||
Burlington Northern Santa Fe LLC, 4.95%, 9/15/41 | 90,000 | 116,192 | |||||
Burlington Northern Santa Fe LLC, 4.45%, 3/15/43 | 16,000 | 19,582 | |||||
Burlington Northern Santa Fe LLC, 4.15%, 4/1/45 | 40,000 | 47,547 | |||||
Hertz Corp. (The), 6.25%, 10/15/22 | 40,000 | 40,500 | |||||
Union Pacific Corp., 3.84%, 3/20/60(5) | 120,000 | 129,264 | |||||
United Rentals North America, Inc., 5.50%, 7/15/25 | 45,000 | 46,655 | |||||
United Rentals North America, Inc., 5.50%, 5/15/27 | 15,000 | 15,972 | |||||
415,712 | |||||||
Software — 0.2% | |||||||
Microsoft Corp., 2.70%, 2/12/25 | 210,000 | 220,049 | |||||
Microsoft Corp., 3.45%, 8/8/36 | 50,000 | 56,741 | |||||
Microsoft Corp., 4.25%, 2/6/47 | 160,000 | 204,819 | |||||
Oracle Corp., 2.50%, 10/15/22 | 200,000 | 204,933 | |||||
Oracle Corp., 3.625%, 7/15/23 | 60,000 | 64,031 | |||||
Oracle Corp., 2.65%, 7/15/26 | 180,000 | 188,040 | |||||
938,613 | |||||||
Specialty Retail — 0.1% | |||||||
Home Depot, Inc. (The), 3.75%, 2/15/24 | 70,000 | 75,591 | |||||
Home Depot, Inc. (The), 5.95%, 4/1/41 | 180,000 | 262,006 |
33
Shares/ Principal Amount | Value | ||||||
L Brands, Inc., 5.625%, 2/15/22 | $ | 40,000 | $ | 42,242 | |||
PetSmart, Inc., 5.875%, 6/1/25(5) | 10,000 | 10,325 | |||||
Sally Holdings LLC / Sally Capital, Inc., 5.50%, 11/1/23 | 10,000 | 10,175 | |||||
Suburban Propane Partners LP / Suburban Energy Finance Corp., 5.50%, 6/1/24 | 60,000 | 61,349 | |||||
461,688 | |||||||
Technology Hardware, Storage and Peripherals — 0.2% | |||||||
Apple, Inc., 2.50%, 2/9/25 | 220,000 | 228,140 | |||||
Apple, Inc., 2.45%, 8/4/26 | 80,000 | 82,597 | |||||
Apple, Inc., 3.20%, 5/11/27 | 100,000 | 108,019 | |||||
Apple, Inc., 2.90%, 9/12/27 | 50,000 | 53,210 | |||||
Dell International LLC / EMC Corp., 7.125%, 6/15/24(5) | 70,000 | 73,675 | |||||
NCR Corp., 5.00%, 7/15/22 | 20,000 | 20,219 | |||||
Western Digital Corp., 4.75%, 2/15/26 | 20,000 | 21,388 | |||||
587,248 | |||||||
Trading Companies and Distributors† | |||||||
Beacon Roofing Supply, Inc., 4.875%, 11/1/25(5) | 30,000 | 29,903 | |||||
Transportation Infrastructure — 0.1% | |||||||
HPHT Finance 15 Ltd., 2.875%, 3/17/20(5) | 204,000 | 204,135 | |||||
Rumo Luxembourg Sarl, 7.375%, 2/9/24 | 70,000 | 75,265 | |||||
279,400 | |||||||
Wireless Telecommunication Services — 0.2% | |||||||
C&W Senior Financing DAC, 6.875%, 9/15/27(5) | 97,000 | 104,379 | |||||
Digicel Ltd., 6.00%, 4/15/21 | 61,000 | 48,444 | |||||
GTH Finance BV, 7.25%, 4/26/23(5) | 121,000 | 135,807 | |||||
Millicom International Cellular SA, 5.125%, 1/15/28(5) | 102,000 | 106,900 | |||||
Sprint Corp., 7.25%, 9/15/21 | 85,000 | 89,299 | |||||
Sprint Corp., 7.875%, 9/15/23 | 35,000 | 37,257 | |||||
Sprint Corp., 7.125%, 6/15/24 | 70,000 | 72,445 | |||||
T-Mobile USA, Inc., 6.375%, 3/1/25 | 30,000 | 31,028 | |||||
T-Mobile USA, Inc., 6.50%, 1/15/26 | 10,000 | 10,683 | |||||
636,242 | |||||||
TOTAL CORPORATE BONDS (Cost $34,383,178) | 36,272,010 | ||||||
SOVEREIGN GOVERNMENTS AND AGENCIES — 7.5% | |||||||
Australia — 0.3% | |||||||
Australia Government Bond, 2.75%, 4/21/24 | AUD | 1,012,000 | 736,953 | ||||
New South Wales Treasury Corp., 3.00%, 3/20/28 | AUD | 285,000 | 217,278 | ||||
954,231 | |||||||
Austria — 0.1% | |||||||
Republic of Austria Government Bond, 3.40%, 11/22/22(5) | EUR | 126,000 | 155,765 | ||||
Republic of Austria Government Bond, 0.75%, 10/20/26(5) | EUR | 140,000 | 167,821 | ||||
Republic of Austria Government Bond, 4.15%, 3/15/37(5) | EUR | 101,000 | 190,151 | ||||
513,737 | |||||||
Belgium† | |||||||
Kingdom of Belgium Government Bond, 4.25%, 3/28/41(5) | EUR | 47,000 | 93,249 |
34
Shares/ Principal Amount | Value | ||||||
Canada — 0.4% | |||||||
Province of British Columbia Canada, 3.25%, 12/18/21 | CAD | 302,000 | $ | 235,032 | |||
Province of British Columbia Canada, 2.85%, 6/18/25 | CAD | 684,000 | 548,161 | ||||
Province of Quebec Canada, 3.00%, 9/1/23 | CAD | 460,000 | 364,100 | ||||
Province of Quebec Canada, 5.75%, 12/1/36 | CAD | 325,000 | 369,865 | ||||
Province of Quebec Canada, 5.00%, 12/1/41 | CAD | 33,000 | 36,963 | ||||
Province of Quebec Canada, 3.50%, 12/1/48 | CAD | 102,000 | 98,744 | ||||
1,652,865 | |||||||
China† | |||||||
China Government Bond, 3.25%, 6/6/26 | CNY | 550,000 | 80,709 | ||||
China Government Bond, 3.29%, 5/23/29 | CNY | 400,000 | 58,850 | ||||
139,559 | |||||||
Colombia† | |||||||
Colombia Government International Bond, 7.375%, 9/18/37 | $ | 100,000 | 147,469 | ||||
Czech Republic† | |||||||
Czech Republic Government Bond, 4.70%, 9/12/22 | CZK | 2,100,000 | 99,608 | ||||
Denmark† | |||||||
Denmark Government Bond, 0.50%, 11/15/27 | DKK | 517,000 | 83,136 | ||||
Denmark Government Bond, 4.50%, 11/15/39 | DKK | 260,000 | 75,140 | ||||
158,276 | |||||||
Finland — 0.1% | |||||||
Finland Government Bond, 4.00%, 7/4/25(5) | EUR | 173,000 | 239,819 | ||||
France — 0.6% | |||||||
French Republic Government Bond OAT, 1.75%, 11/25/24 | EUR | 1,030,570 | 1,271,659 | ||||
French Republic Government Bond OAT, 5.50%, 4/25/29 | EUR | 217,176 | 371,168 | ||||
French Republic Government Bond OAT, 3.25%, 5/25/45 | EUR | 358,000 | 662,013 | ||||
2,304,840 | |||||||
Germany — 0.6% | |||||||
Bundesrepublik Deutschland Bundesanleihe, 0.50%, 2/15/25 | EUR | 155,000 | 182,306 | ||||
Bundesrepublik Deutschland Bundesanleihe, 0.00%, 8/15/26(7) | EUR | 428,000 | 494,491 | ||||
Bundesrepublik Deutschland Bundesanleihe, 0.25%, 2/15/27 | EUR | 923,000 | 1,087,072 | ||||
Bundesrepublik Deutschland Bundesanleihe, 4.75%, 7/4/28 | EUR | 181,000 | 292,633 | ||||
Bundesrepublik Deutschland Bundesanleihe, 4.75%, 7/4/40 | EUR | 176,000 | 394,621 | ||||
2,451,123 | |||||||
Indonesia — 0.1% | |||||||
Indonesia Treasury Bond, 8.375%, 9/15/26 | IDR | 3,000,000,000 | 243,175 | ||||
Ireland — 0.1% | |||||||
Ireland Government Bond, 3.40%, 3/18/24 | EUR | 196,000 | 252,765 | ||||
Italy — 0.8% | |||||||
Italy Buoni Poliennali Del Tesoro, 1.50%, 6/1/25 | EUR | 263,000 | 309,237 | ||||
Italy Buoni Poliennali Del Tesoro, 2.00%, 12/1/25 | EUR | 971,000 | 1,174,867 | ||||
Italy Buoni Poliennali Del Tesoro, 4.75%, 9/1/44(5) | EUR | 675,000 | 1,177,132 | ||||
Italy Buoni Poliennali Del Tesoro, 3.45%, 3/1/48(5) | EUR | 295,000 | 438,551 | ||||
3,099,787 |
35
Shares/ Principal Amount | Value | ||||||
Japan — 2.1% | |||||||
Japan Government Ten Year Bond, 0.80%, 6/20/23 | JPY | 31,500,000 | $ | 300,445 | |||
Japan Government Thirty Year Bond, 2.40%, 3/20/37 | JPY | 161,750,000 | 2,060,797 | ||||
Japan Government Thirty Year Bond, 2.00%, 9/20/41 | JPY | 154,250,000 | 1,948,465 | ||||
Japan Government Thirty Year Bond, 1.40%, 12/20/45 | JPY | 39,200,000 | 461,486 | ||||
Japan Government Twenty Year Bond, 2.10%, 12/20/26 | JPY | 313,550,000 | 3,353,702 | ||||
8,124,895 | |||||||
Malaysia — 0.1% | |||||||
Malaysia Government Bond, 3.96%, 9/15/25 | MYR | 785,000 | 200,808 | ||||
Mexico — 0.2% | |||||||
Mexican Bonos, 6.50%, 6/9/22 | MXN | 7,800,000 | 411,868 | ||||
Mexico Government International Bond, 4.15%, 3/28/27 | $ | 400,000 | 435,104 | ||||
846,972 | |||||||
Netherlands — 0.2% | |||||||
Netherlands Government Bond, 0.00%, 1/15/22(5)(7) | EUR | 95,000 | 106,739 | ||||
Netherlands Government Bond, 0.50%, 7/15/26(5) | EUR | 401,000 | 474,575 | ||||
Netherlands Government Bond, 2.75%, 1/15/47(5) | EUR | 63,000 | 120,662 | ||||
701,976 | |||||||
Norway — 0.6% | |||||||
Norway Government Bond, 2.00%, 5/24/23(5) | NOK | 360,000 | 40,094 | ||||
Norway Government Bond, 1.75%, 2/17/27(5) | NOK | 1,510,000 | 169,615 | ||||
Norway Government Bond, 1.75%, 9/6/29(5) | NOK | 18,900,000 | 2,137,578 | ||||
2,347,287 | |||||||
Poland — 0.1% | |||||||
Republic of Poland Government Bond, 4.00%, 10/25/23 | PLN | 650,000 | 181,589 | ||||
Russia† | |||||||
Russian Federal Bond - OFZ, 7.05%, 1/19/28 | RUB | 4,500,000 | 74,817 | ||||
Singapore — 0.1% | |||||||
Singapore Government Bond, 3.125%, 9/1/22 | SGD | 288,000 | 220,167 | ||||
South Africa† | |||||||
Republic of South Africa Government International Bond, 5.50%, 3/9/20 | $ | 75,000 | 75,273 | ||||
Spain — 0.1% | |||||||
Spain Government Bond, 4.40%, 10/31/23(5) | EUR | 5,000 | 6,524 | ||||
Spain Government Bond, 1.60%, 4/30/25(5) | EUR | 164,000 | 198,947 | ||||
Spain Government Bond, 5.15%, 10/31/28(5) | EUR | 16,000 | 25,484 | ||||
Spain Government Bond, 5.15%, 10/31/44(5) | EUR | 30,000 | 63,822 | ||||
294,777 | |||||||
Switzerland — 0.1% | |||||||
Swiss Confederation Government Bond, 1.25%, 5/28/26 | CHF | 253,000 | 298,356 | ||||
Swiss Confederation Government Bond, 2.50%, 3/8/36 | CHF | 89,000 | 140,109 | ||||
438,465 | |||||||
Thailand — 0.1% | |||||||
Thailand Government Bond, 3.625%, 6/16/23 | THB | 3,450,000 | 119,886 | ||||
Thailand Government Bond, 3.85%, 12/12/25 | THB | 9,350,000 | 345,333 | ||||
465,219 |
36
Shares/ Principal Amount | Value | ||||||
United Kingdom — 0.7% | |||||||
United Kingdom Gilt, 1.75%, 9/7/22 | GBP | 123,000 | $ | 168,032 | |||
United Kingdom Gilt, 1.50%, 7/22/26 | GBP | 521,000 | 737,391 | ||||
United Kingdom Gilt, 4.50%, 12/7/42 | GBP | 403,000 | 914,250 | ||||
United Kingdom Gilt, 4.25%, 12/7/49 | GBP | 137,000 | 331,474 | ||||
United Kingdom Gilt, 4.25%, 12/7/55 | GBP | 192,000 | 506,217 | ||||
2,657,364 | |||||||
TOTAL SOVEREIGN GOVERNMENTS AND AGENCIES (Cost $26,745,922) | 28,980,112 | ||||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 4.9% | |||||||
Adjustable-Rate U.S. Government Agency Mortgage-Backed Securities — 0.1% | |||||||
FHLMC, VRN, 4.47%, (12-month LIBOR plus 1.86%), 7/1/36 | $ | 7,174 | 7,556 | ||||
FHLMC, VRN, 4.19%, (1-year H15T1Y plus 2.14%), 10/1/36 | 24,047 | 25,476 | |||||
FHLMC, VRN, 4.62%, (1-year H15T1Y plus 2.25%), 4/1/37 | 65,620 | 69,401 | |||||
FHLMC, VRN, 3.89%, (12-month LIBOR plus 1.78%), 9/1/40 | 32,722 | 34,393 | |||||
FHLMC, VRN, 4.77%, (12-month LIBOR plus 1.88%), 5/1/41 | 12,453 | 13,020 | |||||
FHLMC, VRN, 3.69%, (12-month LIBOR plus 1.89%), 7/1/41 | 28,727 | 29,585 | |||||
FHLMC, VRN, 4.01%, (12-month LIBOR plus 1.87%), 7/1/41 | 51,010 | 53,811 | |||||
FHLMC, VRN, 4.41%, (12-month LIBOR plus 1.64%), 2/1/43 | 19,217 | 19,836 | |||||
FHLMC, VRN, 4.45%, (12-month LIBOR plus 1.65%), 6/1/43 | 6,661 | 6,832 | |||||
FHLMC, VRN, 4.50%, (12-month LIBOR plus 1.62%), 6/1/43 | 229 | 236 | |||||
FNMA, VRN, 3.49%, (6-month LIBOR plus 1.57%), 6/1/35 | 32,827 | 34,103 | |||||
FNMA, VRN, 3.51%, (6-month LIBOR plus 1.57%), 6/1/35 | 48,278 | 50,130 | |||||
FNMA, VRN, 3.78%, (6-month LIBOR plus 1.54%), 9/1/35 | 7,551 | 7,832 | |||||
FNMA, VRN, 4.25%, (1-year H15T1Y plus 2.16%), 3/1/38 | 53,621 | 56,736 | |||||
FNMA, VRN, 4.82%, (12-month LIBOR plus 1.69%), 1/1/40 | 9,776 | 10,356 | |||||
FNMA, VRN, 3.85%, (12-month LIBOR plus 1.82%), 3/1/40 | 16,623 | 17,486 | |||||
FNMA, VRN, 3.87%, (12-month LIBOR plus 1.77%), 10/1/40 | 50,311 | 52,555 | |||||
489,344 | |||||||
Fixed-Rate U.S. Government Agency Mortgage-Backed Securities — 4.8% | |||||||
FHLMC, 8.00%, 7/1/30 | 1,423 | 1,699 | |||||
FHLMC, 6.50%, 5/1/31 | 6,961 | 7,723 | |||||
FHLMC, 5.50%, 12/1/33 | 52,922 | 58,315 | |||||
FHLMC, 5.50%, 1/1/38 | 80,375 | 89,005 | |||||
FHLMC, 6.00%, 2/1/38 | 106,155 | 122,362 | |||||
FHLMC, 6.00%, 11/1/38 | 81,379 | 93,605 | |||||
FNMA, 5.00%, 9/1/20 | 8,602 | 9,086 | |||||
FNMA, 7.00%, 6/1/26 | 192 | 212 | |||||
FNMA, 6.50%, 6/1/29 | 8,546 | 9,474 | |||||
FNMA, 7.00%, 7/1/29 | 473 | 473 | |||||
FNMA, 7.00%, 3/1/30 | 3,309 | 3,618 | |||||
FNMA, 7.50%, 9/1/30 | 2,089 | 2,441 | |||||
FNMA, 6.50%, 9/1/31 | 15,359 | 17,035 | |||||
FNMA, 7.00%, 9/1/31 | 4,082 | 4,305 | |||||
FNMA, 6.50%, 1/1/32 | 3,399 | 3,790 | |||||
FNMA, 5.50%, 6/1/33 | 49,710 | 55,484 | |||||
FNMA, 5.50%, 8/1/33 | 233,640 | 263,759 |
37
Shares/ Principal Amount | Value | ||||||
FNMA, 5.50%, 9/1/33 | $ | 69,202 | $ | 78,150 | |||
FNMA, 5.00%, 11/1/33 | 213,522 | 237,005 | |||||
FNMA, 5.50%, 1/1/34 | 192,146 | 216,893 | |||||
FNMA, 3.50%, 3/1/34 | 150,672 | 157,284 | |||||
FNMA, 4.50%, 9/1/35 | 110,934 | 121,022 | |||||
FNMA, 5.00%, 2/1/36 | 186,187 | 206,674 | |||||
FNMA, 5.50%, 4/1/36 | 32,009 | 36,172 | |||||
FNMA, 5.00%, 10/1/36 | 15,834 | 16,942 | |||||
FNMA, 5.50%, 12/1/36 | 64,632 | 72,881 | |||||
FNMA, 5.50%, 1/1/37 | 216,027 | 244,214 | |||||
FNMA, 6.50%, 8/1/37 | 25,620 | 28,672 | |||||
FNMA, 5.00%, 4/1/40 | 389,495 | 432,795 | |||||
FNMA, 4.00%, 1/1/41 | 533,571 | 579,776 | |||||
FNMA, 5.00%, 6/1/41 | 312,361 | 347,072 | |||||
FNMA, 4.50%, 7/1/41 | 289,895 | 316,941 | |||||
FNMA, 4.50%, 9/1/41 | 697,575 | 762,661 | |||||
FNMA, 4.50%, 9/1/41 | 225,694 | 246,755 | |||||
FNMA, 4.00%, 12/1/41 | 528,972 | 570,061 | |||||
FNMA, 3.50%, 5/1/42 | 693,894 | 734,359 | |||||
FNMA, 3.50%, 6/1/42 | 429,769 | 458,486 | |||||
FNMA, 3.00%, 11/1/42 | 804,191 | 834,980 | |||||
FNMA, 3.00%, 11/1/46 | 441,956 | 457,149 | |||||
FNMA, 6.50%, 8/1/47 | 9,160 | 9,832 | |||||
FNMA, 6.50%, 9/1/47 | 18,547 | 19,851 | |||||
FNMA, 6.50%, 9/1/47 | 891 | 955 | |||||
FNMA, 6.50%, 9/1/47 | 9,751 | 10,435 | |||||
FNMA, 3.00%, 4/1/48 | 436,201 | 452,879 | |||||
FNMA, 4.50%, 7/1/48 | 808,171 | 859,552 | |||||
FNMA, 4.00%, 1/1/49 | 1,875,580 | 1,963,093 | |||||
FNMA, 3.50%, 6/1/49 | 2,984,093 | 3,095,059 | |||||
FNMA, 3.00%, 11/1/49 | 2,492,515 | 2,549,794 | |||||
GNMA, 7.00%, 1/15/24 | 510 | 533 | |||||
GNMA, 8.00%, 7/15/24 | 2,919 | 3,007 | |||||
GNMA, 8.00%, 9/15/24 | 925 | 927 | |||||
GNMA, 9.00%, 4/20/25 | 430 | 470 | |||||
GNMA, 7.00%, 9/15/25 | 4,394 | 4,457 | |||||
GNMA, 7.50%, 10/15/25 | 3,086 | 3,128 | |||||
GNMA, 7.50%, 2/15/26 | 7,426 | 8,026 | |||||
GNMA, 8.25%, 7/15/26 | 19,221 | 19,479 | |||||
GNMA, 7.00%, 12/15/27 | 11,713 | 11,737 | |||||
GNMA, 6.50%, 2/15/28 | 1,864 | 2,058 | |||||
GNMA, 6.50%, 3/15/28 | 7,498 | 8,276 | |||||
GNMA, 6.50%, 4/15/28 | 460 | 508 | |||||
GNMA, 6.00%, 10/15/28 | 14,461 | 16,015 | |||||
GNMA, 7.00%, 5/15/31 | 4,762 | 5,533 | |||||
GNMA, 5.50%, 11/15/32 | 30,209 | 33,476 | |||||
GNMA, 6.50%, 10/15/38 | 338,180 | 391,858 |
38
Shares/ Principal Amount | Value | ||||||
GNMA, 4.50%, 5/20/41 | $ | 296,799 | $ | 322,353 | |||
GNMA, 4.50%, 6/15/41 | 167,508 | 185,132 | |||||
GNMA, 3.50%, 6/20/42 | 259,348 | 274,447 | |||||
GNMA, 3.50%, 7/20/42 | 198,793 | 210,326 | |||||
GNMA, 3.50%, 4/20/45 | 75,990 | 79,706 | |||||
GNMA, 2.50%, 2/20/47 | 44,846 | 45,600 | |||||
18,487,832 | |||||||
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $18,445,171) | 18,977,176 | ||||||
MUNICIPAL SECURITIES — 4.1% | |||||||
Bay Area Toll Authority Rev., 6.92%, 4/1/40 | 105,000 | 162,088 | |||||
Calcasieu Parish Public Trust Authority Rev., (WPT Corp.), VRDN, 1.10%, 2/7/20 (LOC: FHLMC) | 1,600,000 | 1,600,000 | |||||
Chicago Midway International Airport Rev., VRDN, 0.93%, 2/7/20 (LOC: Bank of Montreal) | 1,380,000 | 1,380,000 | |||||
Illinois Housing Development Authority Rev., VRDN, 1.57%, 2/7/20 (LIQ FAC: FHLB) | 2,150,000 | 2,150,000 | |||||
Kansas City Rev., VRDN, 1.59%, 2/7/20 (LOC: JPMorgan Chase Bank N.A.) | 920,000 | 920,000 | |||||
Los Angeles Community College District GO, 6.68%, 8/1/36 | 10,000 | 15,198 | |||||
Massachusetts Educational Financing Authority, 1.66%, 2/13/20 (LOC: Royal Bank of Canada) | 2,000,000 | 1,999,905 | |||||
Metropolitan Transportation Authority Rev., 6.81%, 11/15/40 | 30,000 | 44,442 | |||||
New Jersey Turnpike Authority Rev., 7.41%, 1/1/40 | 100,000 | 165,102 | |||||
New Jersey Turnpike Authority Rev., 7.10%, 1/1/41 | 9,000 | 14,488 | |||||
New York City GO, 6.27%, 12/1/37 | 40,000 | 57,997 | |||||
Ohio Water Development Authority Water Pollution Control Loan Fund Rev., 4.88%, 12/1/34 | 110,000 | 131,779 | |||||
Orange County Housing Finance Authority Rev., (Landings on Millenia Boulevard Partners Ltd.), VRDN, 1.75%, 2/7/20 (LOC: FNMA) | 50,000 | 50,000 | |||||
Pasadena Public Financing Authority Rev., VRDN, 1.60%, 2/7/20 (SBBPA: Bank of the West) | 2,320,000 | 2,320,000 | |||||
Port Authority of New York & New Jersey Rev., 4.93%, 10/1/51 | 50,000 | 70,691 | |||||
Port Authority of New York & New Jersey Rev., 4.46%, 10/1/62 | 15,000 | 20,289 | |||||
Red River Education Finance Corp. Rev., (Texas Christian University), VRDN, 1.00%, 2/7/20 (SBBPA: Northern Trust Company) | 1,500,000 | 1,500,000 | |||||
Rutgers The State University of New Jersey Rev., 5.67%, 5/1/40 | 150,000 | 204,204 | |||||
Sacramento Municipal Utility District Rev., 6.16%, 5/15/36 | 180,000 | 249,703 | |||||
Salt River Project Agricultural Improvement & Power District Rev., 4.84%, 1/1/41 | 10,000 | 13,123 | |||||
San Francisco Public Utilities Commission Water Rev., 6.00%, 11/1/40 | 75,000 | 102,529 | |||||
San Francisco Public Utilities Commission Water Rev., 6.95%, 11/1/50 | 5,000 | 8,249 | |||||
Santa Clara Valley Transportation Authority Rev., 5.88%, 4/1/32 | 105,000 | 131,692 | |||||
State of California GO, 4.60%, 4/1/38 | 40,000 | 45,360 | |||||
State of California GO, 7.55%, 4/1/39 | 30,000 | 50,769 |
39
Shares/ Principal Amount | Value | ||||||
State of California GO, 7.30%, 10/1/39 | $ | 30,000 | $ | 48,019 | |||
State of California GO, 7.60%, 11/1/40 | 65,000 | 113,247 | |||||
State of Illinois GO, 5.10%, 6/1/33 | 65,000 | 73,336 | |||||
State of Oregon Department of Transportation Rev., 5.83%, 11/15/34 | 70,000 | 97,380 | |||||
State of Texas GO, 5.52%, 4/1/39 | 15,000 | 21,474 | |||||
State of Washington GO, 5.14%, 8/1/40 | 5,000 | 6,752 | |||||
Tempe Industrial Development Authority Rev., (ASUF Brickyard LLC), VRDN, 1.61%, 2/7/20 (LOC: Bank of America N.A.) | 1,002,000 | 1,002,000 | |||||
Tennis for Charity, Inc. Rev., VRDN, 1.60%, 2/7/20 (LOC: JPMorgan Chase Bank N.A.) | 1,285,000 | 1,285,000 | |||||
TOTAL MUNICIPAL SECURITIES (Cost $15,560,260) | 16,054,816 | ||||||
ASSET-BACKED SECURITIES — 2.3% | |||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A SEQ, 2.94%, 5/25/29(5) | 131,762 | 132,835 | |||||
Hilton Grand Vacations Trust, Series 2014-AA, Class A SEQ, 1.77%, 11/25/26(5) | 84,285 | 84,183 | |||||
Invitation Homes Trust, Series 2018-SFR1, Class A, VRN, 2.37%, (1-month LIBOR plus 0.70%), 3/17/37(5) | 666,085 | 662,028 | |||||
Invitation Homes Trust, Series 2018-SFR1, Class B, VRN, 2.62%, (1-month LIBOR plus 0.95%), 3/17/37(5) | 1,750,000 | 1,741,319 | |||||
Invitation Homes Trust, Series 2018-SFR2, Class C, VRN, 2.96%, (1-month LIBOR plus 1.28%), 6/17/37(5) | 600,000 | 601,805 | |||||
Invitation Homes Trust, Series 2018-SFR3, Class B, VRN, 2.82%, (1-month LIBOR plus 1.15%), 7/17/37(5) | 925,000 | 927,556 | |||||
Invitation Homes Trust, Series 2018-SFR4, Class B, VRN, 2.92%, (1-month LIBOR plus 1.25%), 1/17/38(5) | 1,125,000 | 1,126,951 | |||||
MVW Owner Trust, Series 2015-1A, Class A SEQ, 2.52%, 12/20/32(5) | 64,769 | 64,992 | |||||
MVW Owner Trust, Series 2016-1A, Class A SEQ, 2.25%, 12/20/33(5) | 63,422 | 63,409 | |||||
MVW Owner Trust, Series 2017-1A, Class A SEQ, 2.42%, 12/20/34(5) | 193,490 | 195,557 | |||||
Progress Residential Trust, Series 2018-SFR1, Class B, 3.48%, 3/17/35(5) | 100,000 | 101,339 | |||||
Progress Residential Trust, Series 2018-SFR3, Class C, 4.18%, 10/17/35(5) | 1,125,000 | 1,159,408 | |||||
Sierra Timeshare Conduit Receivables Funding LLC, Series 2017-1A, Class A SEQ, 2.91%, 3/20/34(5) | 61,641 | 62,461 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2015-2A, Class A SEQ, 2.43%, 6/20/32(5) | 79,629 | 79,678 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2016-2A, Class A SEQ, 2.33%, 7/20/33(5) | 19,695 | 19,748 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2018-2A, Class B, 3.65%, 6/20/35(5) | 392,282 | 404,498 | |||||
Towd Point Mortgage Trust, Series 2018-4, Class A1, VRN, 3.00%, 6/25/58(5) | 510,048 | 528,816 | |||||
US Airways Pass-Through Trust, Series 2013-1, Class A, 3.95%, 5/15/27 | 52,189 | 56,029 | |||||
VSE VOI Mortgage LLC, Series 2016-A, Class A SEQ, 2.54%, 7/20/33(5) | 300,564 | 301,070 | |||||
VSE VOI Mortgage LLC, Series 2017-A, Class A SEQ, 2.33%, 3/20/35(5) | 232,272 | 234,021 |
40
Shares/ Principal Amount | Value | ||||||
VSE VOI Mortgage LLC, Series 2018-A, Class B, 3.72%, 2/20/36(5) | $ | 388,649 | $ | 399,398 | |||
TOTAL ASSET-BACKED SECURITIES (Cost $8,844,895) | 8,947,101 | ||||||
COLLATERALIZED LOAN OBLIGATIONS — 1.8% | |||||||
Ares XLI CLO Ltd., Series 2016-41A, Class AR, VRN, 3.03%, (3-month LIBOR plus 1.20%), 1/15/29(5) | 650,000 | 650,413 | |||||
Ares XXXIIR CLO Ltd., Series 2014-32RA, Class A2A, VRN, 3.46%, (3-month LIBOR plus 1.55%), 5/15/30(5) | 400,000 | 395,743 | |||||
Bean Creek CLO Ltd., Series 2015-1A, Class AR, VRN, 2.84%, (3-month LIBOR plus 1.02%), 4/20/31(5) | 225,000 | 222,264 | |||||
Bean Creek CLO Ltd., Series 2015-1A, Class BR, VRN, 3.27%, (3-month LIBOR plus 1.45%), 4/20/31(5) | 125,000 | 122,283 | |||||
Carlyle Global Market Strategies CLO Ltd., Series 2014-2RA, Class A3, VRN, 3.41%, (3-month LIBOR plus 1.50%), 5/15/31(5) | 1,500,000 | 1,478,434 | |||||
CBAM Ltd., Series 2018-5A, Class B1, VRN, 3.24%, (3-month LIBOR plus 1.40%), 4/17/31(5) | 450,000 | 439,753 | |||||
CIFC Funding Ltd., Series 2013-3RA, Class A1, VRN, 2.78%, (3-month LIBOR plus 0.98%), 4/24/31(5) | 425,000 | 423,207 | |||||
Dryden 64 CLO Ltd., Series 2018-64A, Class A, VRN, 2.79%, (3-month LIBOR plus 0.97%), 4/18/31(5) | 575,000 | 569,966 | |||||
Goldentree Loan Management US CLO 3 Ltd., Series 2018-3A, Class B1, VRN, 3.37%, (3-month LIBOR plus 1.55%), 4/20/30(5) | 400,000 | 400,221 | |||||
Goldentree Loan Management US CLO 5 Ltd., Series 2019-5A, Class A, VRN, 3.49%, (3-month LIBOR plus 1.30%), 10/20/32(5) | 325,000 | 324,720 | |||||
Goldentree Loan Opportunities X Ltd., Series 2015-10A, Class AR, VRN, 2.94%, (3-month LIBOR plus 1.12%), 7/20/31(5) | 200,000 | 199,387 | |||||
KKR CLO Ltd., Series 2022A, Class B, VRN, 3.42%, (3-month LIBOR plus 1.60%), 7/20/31(5) | 300,000 | 297,356 | |||||
Magnetite VIII Ltd., Series 2014-8A, Class BR2, VRN, 3.33%, (3-month LIBOR plus 1.50%), 4/15/31(5) | 400,000 | 395,638 | |||||
Sounds Point CLO IV-R Ltd., Series 2013-3RA, Class B, VRN, 3.57%, (3-month LIBOR plus 1.75%), 4/18/31(5) | 100,000 | 100,081 | |||||
Symphony CLO XXII Ltd., Series 2020-22A, Class B, VRN, 3.45%, (3-month LIBOR plus 1.70%), 4/18/33(5)(8) | 500,000 | 500,000 | |||||
Voya CLO Ltd., Series 2013-3A, Class A2RR, VRN, 3.52%, (3-month LIBOR plus 1.70%), 10/18/31(5) | 600,000 | 595,472 | |||||
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $7,157,160) | 7,114,938 | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 1.3% | |||||||
Private Sponsor Collateralized Mortgage Obligations — 0.9% | |||||||
Agate Bay Mortgage Trust, Series 2016-1, Class A5 SEQ, VRN, 3.50%, 12/25/45(5) | 62,423 | 62,863 | |||||
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-8, Class 2A1, VRN, 3.98%, 11/25/34 | 312,126 | 313,329 | |||||
Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A5, VRN, 3.86%, 8/25/34 | 108,632 | 110,735 | |||||
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates, Series 2005-3, Class 1A1, VRN, 5.50%, 7/25/35 | 108,629 | 117,433 | |||||
Credit Suisse Mortgage Trust, Series 2017-HL2, Class A3 SEQ, VRN, 3.50%, 10/25/47(5) | 196,338 | 200,397 | |||||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1, VRN, 4.10%, 9/25/35 | 378,707 | 391,788 |
41
Shares/ Principal Amount | Value | ||||||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, VRN, 4.51%, 9/25/35 | $ | 268,538 | $ | 276,674 | |||
JPMorgan Mortgage Trust, Series 2013-1, Class 2A2 SEQ, VRN, 2.50%, 3/25/43(5) | 42,894 | 43,324 | |||||
JPMorgan Mortgage Trust, Series 2014-5, Class A1, VRN, 2.98%, 10/25/29(5) | 154,045 | 156,989 | |||||
New Residential Mortgage Loan Trust, Series 2017-2A, Class A3, VRN, 4.00%, 3/25/57(5) | 314,794 | 335,772 | |||||
New Residential Mortgage Loan Trust, Series 2017-5A, Class A1, VRN, 3.16%, (1-month LIBOR plus 1.50%), 6/25/57(5) | 178,317 | 181,625 | |||||
Sequoia Mortgage Trust, Series 2014-4, Class A2 SEQ, VRN, 3.50%, 11/25/44(5) | 43,423 | 43,685 | |||||
Sequoia Mortgage Trust, Series 2017-7, Class A4 SEQ, VRN, 3.50%, 10/25/47(5) | 175,381 | 180,586 | |||||
Sequoia Mortgage Trust, Series 2018-2, Class A4 SEQ, VRN, 3.50%, 2/25/48(5) | 320,067 | 326,684 | |||||
Sequoia Mortgage Trust, Series 2018-CH2, Class A12 SEQ, VRN, 4.00%, 6/25/48(5) | 256,937 | 260,404 | |||||
Sofi Mortgage Trust, Series 2016-1A, Class 1A4 SEQ, VRN, 3.00%, 11/25/46(5) | 75,120 | 75,475 | |||||
Thornburg Mortgage Securities Trust, Series 2004-3, Class A, VRN, 2.40%, (1-month LIBOR plus 0.74%), 9/25/34 | 254,033 | 254,039 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR3, Class A1, VRN, 4.39%, 3/25/35 | 106,198 | 106,076 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR7, Class A3, VRN, 4.29%, 8/25/35 | 55,635 | 56,317 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR12, Class 1A1, VRN, 4.72%, 9/25/36 | 42,138 | 41,364 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-15, Class A1, 6.00%, 11/25/37 | 99,294 | 98,136 | |||||
3,633,695 | |||||||
U.S. Government Agency Collateralized Mortgage Obligations — 0.4% | |||||||
FHLMC, Series 2016-HQA3, Class M2, VRN, 3.01%, (1-month LIBOR plus 1.35%), 3/25/29 | 27,349 | 27,462 | |||||
FHLMC, Series 2018-DNA1, Class M1, VRN, 2.11%, (1-month LIBOR plus 0.45%), 7/25/30 | 59,701 | 59,664 | |||||
FNMA, Series 2014-C02, Class 1M2, VRN, 4.26%, (1-month LIBOR plus 2.60%), 5/25/24 | 108,942 | 113,440 | |||||
FNMA, Series 2014-C02, Class 2M2, VRN, 4.26%, (1-month LIBOR plus 2.60%), 5/25/24 | 183,854 | 190,388 | |||||
FNMA, Series 2017-C03, Class 1M2, VRN, 4.66%, (1-month LIBOR plus 3.00%), 10/25/29 | 135,000 | 141,792 | |||||
FNMA, Series 2017-C06, Class 2M2, VRN, 4.46%, (1-month LIBOR plus 2.80%), 2/25/30 | 68,081 | 70,009 | |||||
FNMA, Series 2017-C07, Class 1M2, VRN, 4.06%, (1-month LIBOR plus 2.40%), 5/25/30 | 850,000 | 867,246 | |||||
1,470,001 | |||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $5,020,250) | 5,103,696 | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 1.2% | |||||||
Benchmark Mortgage Trust, Series 2018-B6, Class AS, 4.44%, 10/10/51 | 800,000 | 926,229 | |||||
Cantor Commercial Real Estate Lending, Series 2019-CF3, Class B, VRN, 3.50%, 1/15/53 | 450,000 | 483,641 |
42
Shares/ Principal Amount | Value | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR15, Class AM, VRN, 4.43%, 2/10/47 | $ | 375,000 | $ | 407,967 | |||
Commercial Mortgage Pass-Through Certificates, Series 2014-LC17, Class AM, VRN, 4.19%, 10/10/47 | 425,000 | 460,690 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-LC17, Class B, VRN, 4.49%, 10/10/47 | 108,000 | 116,353 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS5, Class AM, VRN, 4.19%, 9/10/47 | 375,000 | 402,869 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2015-CR22, Class AM, VRN, 3.60%, 3/10/48 | 125,000 | 133,445 | |||||
CSAIL Commercial Mortgage Trust, Series 2017-CX10, Class AS, VRN, 3.67%, 11/15/50 | 50,000 | 54,139 | |||||
GS Mortgage Securities Trust, Series 2016-GS2, Class B, VRN, 3.76%, 5/10/49 | 325,000 | 347,006 | |||||
GS Mortgage Securities Trust, Series 2020-GC45, Class AS, 3.17%, 2/13/53 | 300,000 | 318,263 | |||||
GS Mortgage Securities Trust, Series 2020-GC45, Class B, 3.41%, 2/13/53 | 500,000 | 531,131 | |||||
Hudson Yards Mortgage Trust, Series 2016-10HY, Class A SEQ, 2.84%, 8/10/38(5) | 400,000 | 418,028 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class B, 3.46%, 8/15/49 | 100,000 | 105,225 | |||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $4,439,867) | 4,704,986 | ||||||
U.S. GOVERNMENT AGENCY SECURITIES — 0.5% | |||||||
Federal Home Loan Bank, VRN, 1.61%, (SOFR plus 0.03%), 3/6/20 (Cost $2,000,000) | 2,000,000 | 1,999,923 | |||||
COMMERCIAL PAPER(3) — 0.5% | |||||||
Exxon Mobil Corp., 1.60%, 3/17/20 | 1,000,000 | 998,076 | |||||
Thunder Bay Funding LLC, VRN, 1.80%, (Daily EFFR plus 0.20%), 7/20/20(5) | 1,000,000 | 1,000,068 | |||||
TOTAL COMMERCIAL PAPER (Cost $1,998,038) | 1,998,144 | ||||||
EXCHANGE-TRADED FUNDS — 0.3% | |||||||
iShares MSCI EAFE Value ETF | 3,477 | 166,235 | |||||
iShares MSCI Emerging Markets ETF | 475 | 20,002 | |||||
iShares Russell 1000 Growth ETF | 1,190 | 214,081 | |||||
iShares Russell Mid-Cap Value ETF | 6,079 | 564,921 | |||||
SPDR S&P 500 ETF Trust | 250 | 80,433 | |||||
SPDR S&P Oil & Gas Exploration & Production ETF | 4,224 | 80,932 | |||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $1,091,670) | 1,126,604 | ||||||
TEMPORARY CASH INVESTMENTS — 3.1% | |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class (Cost $11,998,302) | 11,998,302 | 11,998,302 | |||||
TOTAL INVESTMENT SECURITIES — 99.9% (Cost $354,171,594) | 388,028,477 | ||||||
OTHER ASSETS AND LIABILITIES — 0.1% | 322,536 | ||||||
TOTAL NET ASSETS — 100.0% | $ | 388,351,013 |
43
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
AUD | 37,429 | USD | 25,874 | UBS AG | 3/18/20 | $ | (799 | ) | ||
AUD | 1,442,822 | USD | 997,423 | UBS AG | 3/18/20 | (30,842 | ) | |||
USD | 258,321 | AUD | 374,291 | UBS AG | 3/18/20 | 7,574 | ||||
USD | 749,645 | AUD | 1,086,048 | UBS AG | 3/18/20 | 22,075 | ||||
USD | 498,279 | AUD | 711,726 | UBS AG | 3/18/20 | 21,477 | ||||
BRL | 3,330,039 | USD | 809,205 | Goldman Sachs & Co. | 3/18/20 | (33,398 | ) | |||
USD | 811,611 | BRL | 3,330,039 | Goldman Sachs & Co. | 3/18/20 | 35,804 | ||||
CAD | 643 | USD | 492 | Morgan Stanley | 3/31/20 | (6 | ) | |||
CAD | 2,004 | USD | 1,533 | Morgan Stanley | 3/31/20 | (18 | ) | |||
CAD | 4,120 | USD | 3,138 | Morgan Stanley | 3/31/20 | (25 | ) | |||
CAD | 28,318 | USD | 21,575 | Morgan Stanley | 3/31/20 | (178 | ) | |||
CAD | 12,995 | USD | 9,833 | Morgan Stanley | 3/31/20 | (14 | ) | |||
USD | 69,608 | CAD | 91,750 | Morgan Stanley | 3/18/20 | 282 | ||||
USD | 510,143 | CAD | 667,160 | Morgan Stanley | 3/18/20 | 6,037 | ||||
USD | 230,879 | CAD | 303,651 | Morgan Stanley | 3/31/20 | 1,439 | ||||
USD | 56,679 | CAD | 74,544 | Morgan Stanley | 3/31/20 | 353 | ||||
USD | 5,970 | CAD | 7,851 | Morgan Stanley | 3/31/20 | 38 | ||||
CHF | 1,955 | USD | 2,030 | UBS AG | 3/31/20 | 8 | ||||
CHF | 3,559 | USD | 3,688 | UBS AG | 3/31/20 | 22 | ||||
USD | 205,260 | CHF | 201,079 | UBS AG | 3/18/20 | (4,128 | ) | |||
USD | 299,577 | CHF | 287,639 | UBS AG | 3/18/20 | 52 | ||||
USD | 299,851 | CHF | 288,846 | UBS AG | 3/18/20 | (931 | ) | |||
USD | 75,448 | CHF | 73,412 | UBS AG | 3/31/20 | (1,067 | ) | |||
USD | 1,860 | CHF | 1,815 | UBS AG | 3/31/20 | (31 | ) | |||
USD | 3,454 | CHF | 3,328 | UBS AG | 3/31/20 | (14 | ) | |||
USD | 2,843 | CHF | 2,749 | UBS AG | 3/31/20 | (22 | ) | |||
USD | 3,816 | CHF | 3,704 | UBS AG | 3/31/20 | (45 | ) | |||
CLP | 493,557,550 | USD | 642,862 | Goldman Sachs & Co. | 3/18/20 | (26,501 | ) | |||
CLP | 769,943,913 | USD | 995,274 | Goldman Sachs & Co. | 3/18/20 | (33,757 | ) | |||
CLP | 194,395,934 | USD | 252,873 | Goldman Sachs & Co. | 3/18/20 | (10,108 | ) | |||
USD | 627,583 | CLP | 474,923,464 | Goldman Sachs & Co. | 3/18/20 | 34,492 | ||||
USD | 497,383 | CLP | 384,924,732 | Goldman Sachs & Co. | 3/18/20 | 16,684 | ||||
CNY | 7,118,929 | USD | 1,016,046 | Goldman Sachs & Co. | 3/18/20 | 251 | ||||
CNY | 972,101 | USD | 139,170 | Goldman Sachs & Co. | 3/18/20 | (393 | ) | |||
COP | 1,620,260,641 | USD | 494,661 | Goldman Sachs & Co. | 3/18/20 | (22,120 | ) | |||
USD | 989,019 | COP | 3,240,521,282 | Goldman Sachs & Co. | 3/18/20 | 43,938 | ||||
USD | 255,117 | COP | 837,548,756 | Goldman Sachs & Co. | 3/18/20 | 10,850 | ||||
USD | 64,055 | CZK | 1,466,834 | UBS AG | 3/18/20 | (440 | ) | |||
USD | 13,623 | DKK | 90,938 | Goldman Sachs & Co. | 3/18/20 | 86 | ||||
EUR | 200,000 | USD | 222,039 | JPMorgan Chase Bank N.A. | 2/19/20 | (26 | ) | |||
EUR | 262,310 | USD | 289,663 | JPMorgan Chase Bank N.A. | 2/19/20 | 1,518 | ||||
EUR | 15,631 | USD | 17,418 | Credit Suisse AG | 3/31/20 | (22 | ) | |||
EUR | 14,340 | USD | 16,190 | Credit Suisse AG | 3/31/20 | (231 | ) | |||
EUR | 43,340 | USD | 48,083 | Credit Suisse AG | 3/31/20 | 149 | ||||
EUR | 3,394 | USD | 3,752 | Credit Suisse AG | 3/31/20 | 25 |
44
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
EUR | 17,052 | USD | 18,964 | Credit Suisse AG | 3/31/20 | $ | 12 | |||
USD | 4,742,984 | EUR | 4,253,301 | JPMorgan Chase Bank N.A. | 2/19/20 | 21,545 | ||||
USD | 327,607 | EUR | 296,645 | JPMorgan Chase Bank N.A. | 2/19/20 | (1,688 | ) | |||
USD | 113,561 | EUR | 102,556 | JPMorgan Chase Bank N.A. | 2/19/20 | (282 | ) | |||
USD | 135,634 | EUR | 120,817 | Credit Suisse AG | 3/31/20 | 1,181 | ||||
USD | 251,427 | EUR | 223,960 | Credit Suisse AG | 3/31/20 | 2,189 | ||||
USD | 651,337 | EUR | 580,184 | Credit Suisse AG | 3/31/20 | 5,670 | ||||
USD | 3,397 | EUR | 3,045 | Credit Suisse AG | 3/31/20 | 8 | ||||
USD | 6,101 | EUR | 5,423 | Credit Suisse AG | 3/31/20 | 66 | ||||
USD | 14,098 | EUR | 12,663 | Credit Suisse AG | 3/31/20 | 6 | ||||
USD | 10,591 | EUR | 9,564 | Credit Suisse AG | 3/31/20 | (53 | ) | |||
USD | 7,322 | EUR | 6,629 | Credit Suisse AG | 3/31/20 | (55 | ) | |||
USD | 5,042 | EUR | 4,557 | Credit Suisse AG | 3/31/20 | (28 | ) | |||
GBP | 2,871 | USD | 3,750 | JPMorgan Chase Bank N.A. | 3/31/20 | 48 | ||||
GBP | 1,804 | USD | 2,375 | JPMorgan Chase Bank N.A. | 3/31/20 | 11 | ||||
GBP | 1,881 | USD | 2,450 | JPMorgan Chase Bank N.A. | 3/31/20 | 37 | ||||
GBP | 3,008 | USD | 3,927 | JPMorgan Chase Bank N.A. | 3/31/20 | 50 | ||||
GBP | 5,084 | USD | 6,639 | JPMorgan Chase Bank N.A. | 3/31/20 | 84 | ||||
GBP | 4,810 | USD | 6,302 | JPMorgan Chase Bank N.A. | 3/31/20 | 59 | ||||
GBP | 17,766 | USD | 23,336 | JPMorgan Chase Bank N.A. | 3/31/20 | 159 | ||||
GBP | 2,075 | USD | 2,701 | JPMorgan Chase Bank N.A. | 3/31/20 | 42 | ||||
USD | 2,390,281 | GBP | 1,817,732 | Bank of America N.A. | 3/18/20 | (12,789 | ) | |||
USD | 523,401 | GBP | 397,338 | JPMorgan Chase Bank N.A. | 3/31/20 | (2,069 | ) | |||
USD | 90,931 | GBP | 69,030 | JPMorgan Chase Bank N.A. | 3/31/20 | (360 | ) | |||
USD | 2,477 | GBP | 1,938 | JPMorgan Chase Bank N.A. | 3/31/20 | (87 | ) | |||
USD | 3,803 | GBP | 2,892 | JPMorgan Chase Bank N.A. | 3/31/20 | (21 | ) | |||
USD | 3,206 | GBP | 2,460 | JPMorgan Chase Bank N.A. | 3/31/20 | (47 | ) | |||
HUF | 9,676,208 | USD | 32,861 | UBS AG | 3/18/20 | (1,000 | ) | |||
IDR | 5,142,213,482 | USD | 365,084 | Goldman Sachs & Co. | 3/18/20 | 5,663 | ||||
USD | 834,601 | IDR | 11,788,736,360 | Goldman Sachs & Co. | 3/18/20 | (15,352 | ) | |||
USD | 370,559 | IDR | 5,202,647,410 | Goldman Sachs & Co. | 3/18/20 | (4,545 | ) | |||
USD | 452,915 | ILS | 1,568,721 | UBS AG | 3/18/20 | (2,526 | ) | |||
INR | 52,817,064 | USD | 741,292 | Goldman Sachs & Co. | 3/18/20 | (7,365 | ) | |||
INR | 27,227,962 | USD | 376,181 | Goldman Sachs & Co. | 3/18/20 | 2,169 | ||||
INR | 71,406,446 | USD | 993,758 | Goldman Sachs & Co. | 3/18/20 | (1,519 | ) | |||
USD | 366,507 | INR | 26,276,694 | Goldman Sachs & Co. | 3/18/20 | 1,375 | ||||
USD | 643,745 | INR | 46,246,621 | Goldman Sachs & Co. | 3/18/20 | 1,118 | ||||
JPY | 32,493,073 | USD | 296,194 | Bank of America N.A. | 2/19/20 | 3,919 | ||||
JPY | 35,171,159 | USD | 319,793 | Bank of America N.A. | 2/19/20 | 5,056 | ||||
JPY | 188,498 | USD | 1,743 | Bank of America N.A. | 3/31/20 | 2 | ||||
JPY | 541,038 | USD | 5,002 | Bank of America N.A. | 3/31/20 | 6 | ||||
JPY | 386,100 | USD | 3,523 | Bank of America N.A. | 3/31/20 | 51 | ||||
JPY | 1,190,690 | USD | 10,923 | Bank of America N.A. | 3/31/20 | 99 | ||||
JPY | 570,833 | USD | 5,252 | Bank of America N.A. | 3/31/20 | 33 | ||||
JPY | 298,318 | USD | 2,744 | Bank of America N.A. | 3/31/20 | 17 | ||||
JPY | 514,800 | USD | 4,736 | Bank of America N.A. | 3/31/20 | 29 |
45
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
JPY | 210,600 | USD | 1,941 | Bank of America N.A. | 3/31/20 | $ | 9 | |||
USD | 1,727,887 | JPY | 187,397,613 | Bank of America N.A. | 2/19/20 | (2,961 | ) | |||
USD | 254,898 | JPY | 27,848,926 | Bank of America N.A. | 2/19/20 | (2,321 | ) | |||
USD | 134,325 | JPY | 14,612,902 | Bank of America N.A. | 3/31/20 | (947 | ) | |||
USD | 66,926 | JPY | 7,280,732 | Bank of America N.A. | 3/31/20 | (472 | ) | |||
USD | 84,211 | JPY | 9,161,100 | Bank of America N.A. | 3/31/20 | (594 | ) | |||
USD | 1,681 | JPY | 184,510 | Bank of America N.A. | 3/31/20 | (27 | ) | |||
USD | 1,677 | JPY | 182,582 | Bank of America N.A. | 3/31/20 | (13 | ) | |||
USD | 5,512 | JPY | 599,633 | Bank of America N.A. | 3/31/20 | (38 | ) | |||
USD | 1,828 | JPY | 198,900 | Bank of America N.A. | 3/31/20 | (13 | ) | |||
USD | 3,230 | JPY | 350,609 | Bank of America N.A. | 3/31/20 | (16 | ) | |||
KRW | 508,781,316 | USD | 433,577 | Goldman Sachs & Co. | 3/18/20 | (7,964 | ) | |||
KZT | 231,316,681 | USD | 586,354 | Goldman Sachs & Co. | 3/18/20 | 17,688 | ||||
KZT | 265,236,959 | USD | 676,366 | Goldman Sachs & Co. | 3/18/20 | 16,252 | ||||
MXN | 5,116,160 | USD | 266,714 | Morgan Stanley | 3/18/20 | 2,367 | ||||
MXN | 2,468,539 | USD | 129,661 | Morgan Stanley | 3/18/20 | 170 | ||||
USD | 282,371 | MXN | 5,457,252 | Morgan Stanley | 3/18/20 | (4,649 | ) | |||
MYR | 3,899,157 | USD | 939,556 | Goldman Sachs & Co. | 3/18/20 | 8,899 | ||||
MYR | 1,990,961 | USD | 482,190 | Goldman Sachs & Co. | 3/18/20 | 2,104 | ||||
USD | 515,533 | MYR | 2,117,551 | Goldman Sachs & Co. | 3/18/20 | 447 | ||||
NOK | 4,525,567 | USD | 502,608 | Goldman Sachs & Co. | 3/18/20 | (10,505 | ) | |||
NOK | 4,572,998 | USD | 514,383 | Goldman Sachs & Co. | 3/18/20 | (17,123 | ) | |||
NOK | 56,147 | USD | 6,369 | Goldman Sachs & Co. | 3/31/20 | (264 | ) | |||
NOK | 43,802 | USD | 4,990 | Goldman Sachs & Co. | 3/31/20 | (227 | ) | |||
NOK | 43,240 | USD | 4,855 | Goldman Sachs & Co. | 3/31/20 | (153 | ) | |||
NOK | 73,039 | USD | 8,118 | Goldman Sachs & Co. | 3/31/20 | (175 | ) | |||
USD | 1,260,360 | NOK | 11,466,878 | Goldman Sachs & Co. | 3/18/20 | 13,471 | ||||
USD | 1,054,201 | NOK | 9,588,482 | Goldman Sachs & Co. | 3/18/20 | 11,566 | ||||
USD | 532,969 | NOK | 4,720,823 | Goldman Sachs & Co. | 3/18/20 | 19,634 | ||||
USD | 203,632 | NOK | 1,835,763 | Goldman Sachs & Co. | 3/31/20 | 4,003 | ||||
USD | 5,041 | NOK | 45,019 | Goldman Sachs & Co. | 3/31/20 | 145 | ||||
USD | 5,317 | NOK | 48,969 | Goldman Sachs & Co. | 3/31/20 | (8 | ) | |||
NZD | 70,615 | USD | 46,550 | Bank of America N.A. | 3/18/20 | (880 | ) | |||
NZD | 748,542 | USD | 498,065 | Bank of America N.A. | 3/18/20 | (13,943 | ) | |||
PEN | 1,972,554 | USD | 587,769 | Goldman Sachs & Co. | 3/18/20 | (6,177 | ) | |||
USD | 973,004 | PEN | 3,313,274 | Goldman Sachs & Co. | 3/18/20 | (3,890 | ) | |||
PHP | 12,664,852 | USD | 249,701 | Goldman Sachs & Co. | 3/18/20 | (1,977 | ) | |||
USD | 497,902 | PHP | 25,267,515 | Goldman Sachs & Co. | 3/18/20 | 3,669 | ||||
PLN | 1,912,015 | USD | 505,998 | UBS AG | 3/18/20 | (12,406 | ) | |||
PLN | 945,908 | USD | 249,089 | UBS AG | 3/18/20 | (4,900 | ) | |||
USD | 595,727 | PLN | 2,295,433 | UBS AG | 3/18/20 | 3,154 | ||||
USD | 2,302 | RUB | 146,149 | Goldman Sachs & Co. | 3/18/20 | 27 | ||||
SEK | 14,159,704 | USD | 1,513,048 | Goldman Sachs & Co. | 3/18/20 | (39,210 | ) | |||
USD | 533,344 | SEK | 4,967,889 | Goldman Sachs & Co. | 3/18/20 | 16,253 | ||||
USD | 129,935 | SGD | 176,011 | Bank of America N.A. | 3/18/20 | 938 | ||||
USD | 1,080,813 | THB | 32,618,929 | Goldman Sachs & Co. | 3/18/20 | 33,398 | ||||
$ | 61,297 |
46
FUTURES CONTRACTS PURCHASED | |||||||||||
Reference Entity | Contracts | Expiration Date | Notional Amount | Underlying Contract Value | Unrealized Appreciation (Depreciation) | ||||||
Korean Treasury 10-Year Bonds | 7 | March 2020 | KRW | 700,000,000 | $ | 773,092 | $ | 9,620 | |||
U.S. Treasury 10-Year Notes | 30 | March 2020 | USD | 3,000,000 | 3,949,687 | 61,808 | |||||
U.S. Treasury 2-Year Notes | 216 | March 2020 | USD | 43,200,000 | 46,733,625 | 154,764 | |||||
U.S. Treasury Ultra Bonds | 5 | March 2020 | USD | 500,000 | 968,438 | 29,676 | |||||
$ | 52,424,842 | $ | 255,868 |
FUTURES CONTRACTS SOLD | |||||||||||
Reference Entity | Contracts | Expiration Date | Notional Amount | Underlying Contract Value | Unrealized Appreciation (Depreciation) | ||||||
Euro-Bund 10-Year Bonds | 2 | March 2020 | EUR | 200,000 | $ | 388,256 | $ | (4,276 | ) |
47
NOTES TO SCHEDULE OF INVESTMENTS | |||||
ADR | - | American Depositary Receipt | LOC | - | Letter of Credit |
AUD | - | Australian Dollar | MTN | - | Medium Term Note |
BRL | - | Brazilian Real | MXN | - | Mexican Peso |
CAD | - | Canadian Dollar | MYR | - | Malaysian Ringgit |
CHF | - | Swiss Franc | NOK | - | Norwegian Krone |
CLP | - | Chilean Peso | NZD | - | New Zealand Dollar |
CNY | - | Chinese Yuan | PEN | - | Peruvian Sol |
COP | - | Colombian Peso | PHP | - | Philippine Peso |
CZK | - | Czech Koruna | PLN | - | Polish Zloty |
DKK | - | Danish Krone | RUB | - | Russian Ruble |
EFFR | - | Effective Federal Funds Rate | SBBPA | - | Standby Bond Purchase Agreement |
EUR | - | Euro | SEK | - | Swedish Krona |
FHLB | - | Federal Home Loan Bank | SEQ | - | Sequential Payer |
FHLMC | - | Federal Home Loan Mortgage Corporation | SGD | - | Singapore Dollar |
FNMA | - | Federal National Mortgage Association | SOFR | - | Secured Overnight Financing Rate |
GBP | - | British Pound | THB | - | Thai Baht |
GNMA | - | Government National Mortgage Association | USD | - | United States Dollar |
GO | - | General Obligation | VRDN | - | Variable Rate Demand Note. The instrument may be payable upon demand and adjusts periodically based upon the terms set forth in the security's offering documents. The rate shown is effective at the period end and the reference rate and spread, if any, is indicated. The date of the demand feature is disclosed. |
H15T1Y | - | Constant Maturity U.S. Treasury Note Yield Curve Rate Index | |||
HUF | - | Hungarian Forint | |||
IDR | - | Indonesian Rupiah | |||
ILS | - | Israeli Shekel | |||
INR | - | Indian Rupee | VRN | - | Variable Rate Note. The rate adjusts periodically based upon the terms set forth in the security’s offering documents. The rate shown is effective at the period end and the reference rate and spread, if any, is indicated. |
JPY | - | Japanese Yen | |||
KRW | - | South Korean Won | |||
KZT | - | Kazakhstani Tenge | |||
LIBOR | - | London Interbank Offered Rate | |||
LIQ FAC | - | Liquidity Facilities |
† 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) | 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. |
(4) | Security, or a portion thereof, has been pledged at the custodian bank or with a broker for collateral requirements on forward foreign currency exchange contracts and/or futures contracts. At the period end, the aggregate value of securities pledged was $223,951. |
(5) | Security was purchased pursuant to Rule 144A or Section 4(2) under the Securities Act of 1933 and may be sold in transactions exempt from registration, normally to qualified institutional investors. The aggregate value of these securities at the period end was $29,475,587, which represented 7.6% of total net assets. |
(6) | 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 $3,000,000, which represented 0.8% of total net assets. |
(7) | Security is a zero-coupon bond. |
(8) | 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. |
See Notes to Financial Statements.
48
Statement of Assets and Liabilities |
JANUARY 31, 2020 (UNAUDITED) | |||
Assets | |||
Investment securities - unaffiliated, at value (cost of $256,428,036) | $ | 286,309,977 | |
Investment securities - affiliated, at value (cost of $97,743,558) | 101,718,500 | ||
Total investment securities, at value (cost of $354,171,594) | 388,028,477 | ||
Cash | 24,257 | ||
Foreign currency holdings, at value (cost of $5,279) | 5,246 | ||
Foreign deposits with broker for futures contracts, at value (cost of $113,647) | 109,056 | ||
Receivable for investments sold | 428,990 | ||
Receivable for capital shares sold | 74,666 | ||
Receivable for variation margin on futures contracts | 63,281 | ||
Unrealized appreciation on forward foreign currency exchange contracts | 408,052 | ||
Interest and dividends receivable | 992,498 | ||
Other assets | 331 | ||
390,134,854 | |||
Liabilities | |||
Payable for investments purchased | 908,488 | ||
Payable for capital shares redeemed | 250,417 | ||
Payable for variation margin on futures contracts | 2,525 | ||
Unrealized depreciation on forward foreign currency exchange contracts | 346,755 | ||
Accrued management fees | 238,929 | ||
Distribution and service fees payable | 35,160 | ||
Accrued foreign taxes | 1,567 | ||
1,783,841 | |||
Net Assets | $ | 388,351,013 | |
Net Assets Consist of: | |||
Capital (par value and paid-in surplus) | $ | 353,037,200 | |
Distributable earnings | 35,313,813 | ||
$ | 388,351,013 |
Net Assets | Shares Outstanding | Net Asset Value Per Share | ||
Investor Class, $0.01 Par Value | $143,092,008 | 26,043,088 | $5.49 | |
I Class, $0.01 Par Value | $28,680,719 | 5,217,394 | $5.50 | |
A Class, $0.01 Par Value | $78,588,300 | 14,317,076 | $5.49* | |
C Class, $0.01 Par Value | $16,166,600 | 2,998,585 | $5.39 | |
R Class, $0.01 Par Value | $10,447,726 | 1,908,148 | $5.48 | |
R5 Class, $0.01 Par Value | $36,977,279 | 6,716,976 | $5.51 | |
R6 Class, $0.01 Par Value | $74,398,381 | 13,532,827 | $5.50 | |
*Maximum offering price $5.82 (net asset value divided by 0.9425). |
See Notes to Financial Statements.
49
Statement of Operations |
FOR THE SIX MONTHS ENDED JANUARY 31, 2020 (UNAUDITED) | |||
Investment Income (Loss) | |||
Income: | |||
Interest (net of foreign taxes withheld of $1,637) | $ | 2,565,280 | |
Dividends (including $589,450 from affiliated funds and net of foreign taxes withheld of $35,778) | 1,841,136 | ||
4,406,416 | |||
Expenses: | |||
Management fees | 1,855,820 | ||
Distribution and service fees: | |||
A Class | 103,756 | ||
C Class | 84,904 | ||
R Class | 26,185 | ||
Directors' fees and expenses | 7,189 | ||
Other expenses | 1,398 | ||
2,079,252 | |||
Fees waived(1) | (228,631 | ) | |
1,850,621 | |||
Net investment income (loss) | 2,555,795 | ||
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) on: | |||
Investment transactions (including $600,899 from affiliated funds) | 26,828,223 | ||
Forward foreign currency exchange contract transactions | (38,406 | ) | |
Futures contract transactions | 272,076 | ||
Swap agreement transactions | (38,973 | ) | |
Foreign currency translation transactions | 1,798 | ||
27,024,718 | |||
Change in net unrealized appreciation (depreciation) on: | |||
Investments (including $3,709,800 from affiliated funds and (increase) decrease in accrued foreign taxes of $(808)) | (11,069,851 | ) | |
Forward foreign currency exchange contracts | (179,192 | ) | |
Futures contracts | 160,105 | ||
Swap agreements | (18,326 | ) | |
Translation of assets and liabilities in foreign currencies | 8,859 | ||
(11,098,405 | ) | ||
Net realized and unrealized gain (loss) | 15,926,313 | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 18,482,108 |
(1) | Amount consists of $89,142, $16,040, $45,572, $9,347, $5,857, $21,304 and $41,369 for Investor Class, I Class, A Class, C Class, R Class, R5 Class and R6 Class, respectively. |
See Notes to Financial Statements.
50
Statement of Changes in Net Assets |
SIX MONTHS ENDED JANUARY 31, 2020 (UNAUDITED) AND YEAR ENDED JULY 31, 2019 | ||||||
Increase (Decrease) in Net Assets | January 31, 2020 | July 31, 2019 | ||||
Operations | ||||||
Net investment income (loss) | $ | 2,555,795 | $ | 6,863,928 | ||
Net realized gain (loss) | 27,024,718 | 9,923,716 | ||||
Change in net unrealized appreciation (depreciation) | (11,098,405 | ) | (162,501 | ) | ||
Net increase (decrease) in net assets resulting from operations | 18,482,108 | 16,625,143 | ||||
Distributions to Shareholders | ||||||
From earnings: | ||||||
Investor Class | (11,870,313 | ) | (12,413,056 | ) | ||
I Class | (2,175,420 | ) | (2,432,004 | ) | ||
A Class | (5,870,574 | ) | (6,133,158 | ) | ||
C Class | (1,162,797 | ) | (1,253,150 | ) | ||
R Class | (742,952 | ) | (668,011 | ) | ||
R5 Class | (2,854,038 | ) | (2,396,013 | ) | ||
R6 Class | (5,623,027 | ) | (5,258,260 | ) | ||
Decrease in net assets from distributions | (30,299,121 | ) | (30,553,652 | ) | ||
Capital Share Transactions | ||||||
Net increase (decrease) in net assets from capital share transactions (Note 5) | (12,287,689 | ) | (60,243,829 | ) | ||
Net increase (decrease) in net assets | (24,104,702 | ) | (74,172,338 | ) | ||
Net Assets | ||||||
Beginning of period | 412,455,715 | 486,628,053 | ||||
End of period | $ | 388,351,013 | $ | 412,455,715 |
See Notes to Financial Statements.
51
Notes to Financial Statements |
JANUARY 31, 2020 (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 may invest in varying combinations of other affiliated investment companies such as mutual funds and exchange-traded funds advised by American Century Investments (affiliated funds). The fund will assume the risks associated with the affiliated funds. 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, I Class, A Class, C Class, R Class, R5 Class and 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.
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 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. Corporate bonds, U.S. Treasury and Government Agency securities, convertible bonds, municipal securities, and sovereign governments and agencies are valued using market models that consider trade data, quotations from dealers and active market makers, relevant yield curve and spread data, creditworthiness, trade data or market information on comparable securities, and other relevant security specific information. Mortgage-related and asset-backed securities are valued based on models that consider trade data, prepayment and default projections, benchmark yield and spread data and estimated cash flows of each tranche of the issuer. Collateralized loan obligations are valued based on discounted cash flow models that consider trade and economic data, prepayment assumptions and default projections. Commercial paper is valued using a curve-based approach that considers money market rates for specific instruments, programs, currencies and maturity points from a variety of active market makers. 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.
52
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 exchange. Swap agreements are valued at an evaluated mean 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. Investments 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.
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. 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 less foreign taxes withheld, if any, 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 investment securities and other financial instruments. American Century Investment Management, Inc. (ACIM) (the investment advisor) 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 collateral requirements.
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.
53
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 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 difference in the fee among the classes is a result of their separate arrangements for non-Rule 12b-1 shareholder services. It is not the result of any difference in advisory or custodial fees or other expenses related to the management of the fund’s assets, which do not vary by class. 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 use very similar investment teams and strategies (strategy assets). 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 allocation 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. Effective October 24, 2019, the investment advisor agreed to waive an additional 0.13% of the fund's management fee. The investment advisor expects this waiver to continue until November 30, 2020 and cannot terminate it prior to such date without the approval of the Board of Directors.
54
The management fee schedule range and the effective annual management fee before and after waiver for each class for the period ended January 31, 2020 are as follows:
Effective Annual Management Fee | |||
Management Fee Schedule Range | Before Waiver | After Waiver | |
Investor Class | 0.80% to 1.00% | 1.00% | 0.89% |
I Class | 0.60% to 0.80% | 0.80% | 0.69% |
A Class | 0.80% to 1.00% | 1.00% | 0.89% |
C Class | 0.80% to 1.00% | 1.00% | 0.89% |
R Class | 0.80% to 1.00% | 1.00% | 0.89% |
R5 Class | 0.60% to 0.80% | 0.80% | 0.69% |
R6 Class | 0.45% to 0.65% | 0.65% | 0.54% |
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 period ended January 31, 2020 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.
Interfund Transactions — The fund may enter into security transactions with other American Century Investments funds and other client accounts of the investment advisor, in accordance with the 1940 Act rules and procedures adopted by the Board of Directors. The rules and procedures require, among other things, that these transactions be effected at the independent current market price of the security. During the period, the interfund purchases and sales were $487,874 and $1,527,394, respectively. The effect of interfund transactions on the Statement of Operations was $161,701 in net realized gain (loss) on investment transactions.
4. Investment Transactions
Purchases of investment securities, excluding short-term investments, for the period ended January 31, 2020 totaled $168,326,461, of which $16,930,415 represented U.S. Treasury and Government Agency obligations.
Sales of investment securities, excluding short-term investments, for the period ended January 31, 2020 totaled $210,087,729, of which $29,808,466 represented U.S. Treasury and Government Agency obligations.
55
5. Capital Share Transactions
Transactions in shares of the fund were as follows:
Six months ended January 31, 2020 | Year ended July 31, 2019 | |||||||||
Shares | Amount | Shares | Amount | |||||||
Investor Class/Shares Authorized | 500,000,000 | 500,000,000 | ||||||||
Sold | 954,317 | $ | 5,398,256 | 5,781,182 | $ | 32,299,686 | ||||
Issued in reinvestment of distributions | 2,125,653 | 11,654,652 | 2,322,117 | 12,175,725 | ||||||
Redeemed | (5,540,024 | ) | (31,087,473 | ) | (10,449,583 | ) | (57,799,131 | ) | ||
(2,460,054 | ) | (14,034,565 | ) | (2,346,284 | ) | (13,323,720 | ) | |||
I Class/Shares Authorized | 120,000,000 | 120,000,000 | ||||||||
Sold | 617,451 | 3,504,327 | 3,724,472 | 20,776,497 | ||||||
Issued in reinvestment of distributions | 396,441 | 2,174,267 | 461,063 | 2,429,216 | ||||||
Redeemed | (950,796 | ) | (5,380,151 | ) | (6,585,386 | ) | (36,475,755 | ) | ||
63,096 | 298,443 | (2,399,851 | ) | (13,270,042 | ) | |||||
A Class/Shares Authorized | 270,000,000 | 270,000,000 | ||||||||
Sold | 1,258,188 | 7,083,945 | 2,780,005 | 15,533,062 | ||||||
Issued in reinvestment of distributions | 1,038,779 | 5,693,868 | 1,122,198 | 5,886,927 | ||||||
Redeemed | (3,304,254 | ) | (18,717,589 | ) | (8,112,627 | ) | (45,068,208 | ) | ||
(1,007,287 | ) | (5,939,776 | ) | (4,210,424 | ) | (23,648,219 | ) | |||
C Class/Shares Authorized | 70,000,000 | 70,000,000 | ||||||||
Sold | 108,642 | 604,607 | 250,237 | 1,359,309 | ||||||
Issued in reinvestment of distributions | 211,603 | 1,137,600 | 238,141 | 1,220,077 | ||||||
Redeemed | (500,164 | ) | (2,785,395 | ) | (1,990,898 | ) | (11,032,622 | ) | ||
(179,919 | ) | (1,043,188 | ) | (1,502,520 | ) | (8,453,236 | ) | |||
R Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||
Sold | 256,056 | 1,429,853 | 355,015 | 1,938,614 | ||||||
Issued in reinvestment of distributions | 134,844 | 736,194 | 126,561 | 659,723 | ||||||
Redeemed | (307,480 | ) | (1,733,271 | ) | (541,152 | ) | (2,984,663 | ) | ||
83,420 | 432,776 | (59,576 | ) | (386,326 | ) | |||||
R5 Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||
Sold | 217,286 | 1,227,590 | 518,663 | 2,832,770 | ||||||
Issued in reinvestment of distributions | 519,499 | 2,854,038 | 455,021 | 2,396,013 | ||||||
Redeemed | (507,812 | ) | (2,857,177 | ) | (433,633 | ) | (2,424,754 | ) | ||
228,973 | 1,224,451 | 540,051 | 2,804,029 | |||||||
R6 Class/Shares Authorized | 90,000,000 | 90,000,000 | ||||||||
Sold | 1,035,002 | 5,869,642 | 1,764,686 | 9,854,115 | ||||||
Issued in reinvestment of distributions | 1,025,268 | 5,623,027 | 998,795 | 5,258,260 | ||||||
Redeemed | (834,234 | ) | (4,718,499 | ) | (3,487,147 | ) | (19,078,690 | ) | ||
1,226,036 | 6,774,170 | (723,666 | ) | (3,966,315 | ) | |||||
Net increase (decrease) | (2,045,735 | ) | $ | (12,287,689 | ) | (10,702,270 | ) | $ | (60,243,829 | ) |
56
6. Affiliated Fund Transactions
A summary of transactions for each affiliated fund for the period ended January 31, 2020 follows (amounts in thousands):
Affiliated Fund(1) | Beginning Value | Purchase Cost | Sales Cost | Change in Net Unrealized Appreciation (Depreciation) | Ending Value | Ending Shares | Net Realized Gain (Loss) | Distributions Received(2) | |||||||||||||||
American Century Diversified Corporate Bond ETF | $ | 10,275 | $ | 9,584 | — | $ | 364 | $ | 20,223 | 389 | — | $ | 256 | ||||||||||
American Century Quality Diversified International ETF | — | 10,803 | $ | 1,706 | 347 | 9,444 | 231 | $ | 111 | 56 | |||||||||||||
American Century STOXX U.S. Quality Growth ETF | — | 21,190 | 2,718 | 1,374 | 19,846 | 440 | 217 | 29 | |||||||||||||||
American Century STOXX U.S. Quality Value ETF | 962 | 19,778 | 2,213 | 352 | 18,879 | 450 | 50 | 126 | |||||||||||||||
Avantis International Equity ETF | — | 11,908 | 1,671 | 229 | 10,466 | 200 | 83 | 35 | |||||||||||||||
Avantis International Small Cap Value ETF | — | 1,984 | 121 | 40 | 1,903 | 36 | 5 | 7 | |||||||||||||||
Avantis U.S. Equity ETF | — | 18,802 | 1,734 | 1,090 | 18,158 | 336 | 131 | 68 | |||||||||||||||
Avantis U.S. Small Cap Value ETF | — | 2,951 | 65 | (86 | ) | 2,800 | 57 | 4 | 12 | ||||||||||||||
$ | 11,237 | $ | 97,000 | $ | 10,228 | $ | 3,710 | $ | 101,719 | 2,139 | $ | 601 | $ | 589 |
(1) | Investments are funds within the American Century Investments family of funds and are considered affiliated funds. Additional information and attributes of each affiliated fund are available at americancentury.com or avantisinvestors.com. |
(2) | Distributions received includes distributions from net investment income and from capital gains, if any. |
7. Investments in 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.
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, |
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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.
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 | ||||||||
Affiliated Funds | $ | 101,718,500 | — | — | ||||
Common Stocks | 69,380,638 | $ | 18,018,503 | — | ||||
U.S. Treasury Securities | — | 55,633,028 | — | |||||
Corporate Bonds | — | 36,272,010 | — | |||||
Sovereign Governments and Agencies | — | 28,980,112 | — | |||||
U.S. Government Agency Mortgage-Backed Securities | — | 18,977,176 | — | |||||
Municipal Securities | — | 16,054,816 | — | |||||
Asset-Backed Securities | — | 8,947,101 | — | |||||
Collateralized Loan Obligations | — | 7,114,938 | — | |||||
Collateralized Mortgage Obligations | — | 5,103,696 | — | |||||
Commercial Mortgage-Backed Securities | — | 4,704,986 | — | |||||
U.S. Government Agency Securities | — | 1,999,923 | — | |||||
Commercial Paper | — | 1,998,144 | — | |||||
Exchange-Traded Funds | 1,126,604 | — | — | |||||
Temporary Cash Investments | 11,998,302 | — | — | |||||
$ | 184,224,044 | $ | 203,804,433 | — | ||||
Other Financial Instruments | ||||||||
Futures Contracts | $ | 246,248 | $ | 9,620 | — | |||
Forward Foreign Currency Exchange Contracts | — | 408,052 | — | |||||
$ | 246,248 | $ | 417,672 | — | ||||
Liabilities | ||||||||
Other Financial Instruments | ||||||||
Futures Contracts | — | $ | 4,276 | — | ||||
Forward Foreign Currency Exchange Contracts | — | 346,755 | — | |||||
— | $ | 351,031 | — |
9. 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. The buyer/seller of credit protection against a security or basket of securities may pay/receive an up-front or periodic payment to compensate for/against potential default events. Changes in value, including the periodic amounts of interest to be paid or received on swap agreements, are recorded as unrealized appreciation (depreciation) on swap agreements. 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
58
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 $1,178,100.
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. The fund's average notional exposure to equity price risk derivative instruments held during the period was $300 futures contracts purchased.
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 forward foreign currency exchange contract transactions and change in net unrealized appreciation (depreciation) on forward foreign currency exchange contracts, 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 $64,144,825.
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 notional exposure to interest rate risk derivative instruments held during the period was $54,092,057 futures contracts purchased and $403,645 futures contracts sold.
Value of Derivative Instruments as of January 31, 2020 | ||||||||
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 | $ | 408,052 | Unrealized depreciation on forward foreign currency exchange contracts | $ | 346,755 | ||
Interest Rate Risk | Receivable for variation margin on futures contracts* | 63,281 | Payable for variation margin on futures contracts* | 2,525 | ||||
$ | 471,333 | $ | 349,280 |
* Included in the unrealized appreciation (depreciation) on futures contracts, as reported in the Schedule of Investments.
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Effect of Derivative Instruments on the Statement of Operations for the Six Months Ended January 31, 2020 | ||||||||
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 | $ | (38,973 | ) | Change in net unrealized appreciation (depreciation) on swap agreements | $ | (18,326 | ) |
Equity Price Risk | Net realized gain (loss) on futures contract transactions | 30,021 | Change in net unrealized appreciation (depreciation) on futures contracts | (1,686 | ) | |||
Foreign Currency Risk | Net realized gain (loss) on forward foreign currency exchange contract transactions | (38,406 | ) | Change in net unrealized appreciation (depreciation) on forward foreign currency exchange contracts | (179,192 | ) | ||
Interest Rate Risk | Net realized gain (loss) on futures contract transactions | 242,055 | Change in net unrealized appreciation (depreciation) on futures contracts | 161,791 | ||||
$ | 194,697 | $ | (37,413 | ) |
10. Risk Factors
The value of the fund’s shares will go up and down based on the performance of the companies whose securities it owns and other factors generally affecting the securities market. Market risks, including political, regulatory, economic and social developments, can affect the value of the fund’s investments. Natural disasters, public health emergencies, terrorism and other unforeseeable events may lead to increased market volatility and may have adverse long-term effects on world economies and markets generally.
There are certain risks involved in investing in foreign securities. These risks include those resulting from political events (such as civil unrest, national elections and imposition of exchange controls), social and economic events (such as labor strikes and rising inflation), and natural disasters. Securities of foreign issuers may be less liquid and more volatile. Investing in emerging markets or a significant portion of assets in one country or region may accentuate these risks.
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 period end, the components of investments for federal income tax purposes were as follows:
Federal tax cost of investments | $ | 356,187,582 | |
Gross tax appreciation of investments | $ | 34,156,964 | |
Gross tax depreciation of investments | (2,316,069 | ) | |
Net tax appreciation (depreciation) of investments | $ | 31,840,895 |
The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales.
12. Recently Issued Accounting Standards
In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update No. 2017-08, “Receivables - Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities” (ASU 2017-08). ASU 2017-08 amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. The adoption of ASU 2017-08 did not materially impact the financial statements.
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Financial Highlights |
For a Share Outstanding Throughout the Years Ended July 31 (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 | 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 | |||||||||||||||||
2020(4) | $5.67 | 0.04 | 0.21 | 0.25 | (0.05) | (0.38) | (0.43) | $5.49 | 4.56% | 0.90%(5) | 1.01%(5) | 1.25%(5) | 1.14%(5) | 44% | $143,092 | ||
2019 | $5.83 | 0.09 | 0.14 | 0.23 | (0.10) | (0.29) | (0.39) | $5.67 | 4.55% | 1.00% | 1.01% | 1.58% | 1.57% | 65% | $161,655 | ||
2018(6) | $6.06 | 0.06 | 0.05 | 0.11 | (0.06) | (0.28) | (0.34) | $5.83 | 2.01% | 1.00%(5) | 1.00%(5) | 1.51%(5) | 1.51%(5) | 53% | $179,992 | ||
2017 | $5.62 | 0.07 | 0.54 | 0.61 | (0.08) | (0.09) | (0.17) | $6.06 | 11.02% | 1.01% | 1.01% | 1.28% | 1.28% | 78% | $246,975 | ||
2016 | $5.83 | 0.07 | 0.09 | 0.16 | (0.05) | (0.32) | (0.37) | $5.62 | 2.96% | 1.00% | 1.00% | 1.21% | 1.21% | 87% | $245,726 | ||
2015 | $6.21 | 0.05 | (0.07) | (0.02) | (0.02) | (0.34) | (0.36) | $5.83 | (0.25)% | 1.00% | 1.00% | 0.81% | 0.81% | 90% | $275,947 | ||
2014 | $6.23 | 0.05 | 0.36 | 0.41 | (0.06) | (0.37) | (0.43) | $6.21 | 7.00% | 0.99% | 0.99% | 0.91% | 0.91% | 59% | $304,125 | ||
I Class | |||||||||||||||||
2020(4) | $5.67 | 0.04 | 0.23 | 0.27 | (0.06) | (0.38) | (0.44) | $5.50 | 4.87% | 0.70%(5) | 0.81%(5) | 1.45%(5) | 1.34%(5) | 44% | $28,681 | ||
2019 | $5.84 | 0.10 | 0.13 | 0.23 | (0.11) | (0.29) | (0.40) | $5.67 | 4.57% | 0.80% | 0.81% | 1.78% | 1.77% | 65% | $29,248 | ||
2018(6) | $6.06 | 0.07 | 0.06 | 0.13 | (0.07) | (0.28) | (0.35) | $5.84 | 2.33% | 0.80%(5) | 0.80%(5) | 1.71%(5) | 1.71%(5) | 53% | $44,101 | ||
2017 | $5.63 | 0.09 | 0.52 | 0.61 | (0.09) | (0.09) | (0.18) | $6.06 | 11.05% | 0.81% | 0.81% | 1.48% | 1.48% | 78% | $46,536 | ||
2016 | $5.84 | 0.08 | 0.10 | 0.18 | (0.07) | (0.32) | (0.39) | $5.63 | 3.27% | 0.80% | 0.80% | 1.41% | 1.41% | 87% | $76,532 | ||
2015 | $6.21 | 0.06 | (0.07) | (0.01) | (0.02) | (0.34) | (0.36) | $5.84 | 0.02% | 0.80% | 0.80% | 1.01% | 1.01% | 90% | $72,235 | ||
2014 | $6.23 | 0.06 | 0.36 | 0.42 | (0.07) | (0.37) | (0.44) | $6.21 | 7.21% | 0.79% | 0.79% | 1.11% | 1.11% | 59% | $66,425 |
For a Share Outstanding Throughout the Years Ended July 31 (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 | 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) | |||
A Class | |||||||||||||||||
2020(4) | $5.67 | 0.03 | 0.22 | 0.25 | (0.05) | (0.38) | (0.43) | $5.49 | 4.42% | 1.15%(5) | 1.26%(5) | 1.00%(5) | 0.89%(5) | 44% | $78,588 | ||
2019 | $5.83 | 0.07 | 0.14 | 0.21 | (0.08) | (0.29) | (0.37) | $5.67 | 4.29% | 1.25% | 1.26% | 1.33% | 1.32% | 65% | $86,822 | ||
2018(6) | $6.05 | 0.05 | 0.06 | 0.11 | (0.05) | (0.28) | (0.33) | $5.83 | 1.99% | 1.25%(5) | 1.25%(5) | 1.26%(5) | 1.26%(5) | 53% | $113,865 | ||
2017 | $5.62 | 0.06 | 0.52 | 0.58 | (0.06) | (0.09) | (0.15) | $6.05 | 10.56% | 1.26% | 1.26% | 1.03% | 1.03% | 78% | $117,230 | ||
2016 | $5.81 | 0.05 | 0.11 | 0.16 | (0.03) | (0.32) | (0.35) | $5.62 | 2.94% | 1.25% | 1.25% | 0.96% | 0.96% | 87% | $137,168 | ||
2015 | $6.20 | 0.03 | (0.07) | (0.04) | (0.01) | (0.34) | (0.35) | $5.81 | (0.52)% | 1.25% | 1.25% | 0.56% | 0.56% | 90% | $162,077 | ||
2014 | $6.22 | 0.04 | 0.35 | 0.39 | (0.04) | (0.37) | (0.41) | $6.20 | 6.74% | 1.24% | 1.24% | 0.66% | 0.66% | 59% | $187,559 | ||
C Class | |||||||||||||||||
2020(4) | $5.57 | 0.01 | 0.21 | 0.22 | (0.02) | (0.38) | (0.40) | $5.39 | 4.08% | 1.90%(5) | 2.01%(5) | 0.25%(5) | 0.14%(5) | 44% | $16,167 | ||
2019 | $5.74 | 0.03 | 0.14 | 0.17 | (0.05) | (0.29) | (0.34) | $5.57 | 3.43% | 2.00% | 2.01% | 0.58% | 0.57% | 65% | $17,705 | ||
2018(6) | $5.96 | 0.02 | 0.07 | 0.09 | (0.03) | (0.28) | (0.31) | $5.74 | 1.58% | 2.00%(5) | 2.00%(5) | 0.51%(5) | 0.51%(5) | 53% | $26,867 | ||
2017 | $5.54 | 0.02 | 0.51 | 0.53 | (0.02) | (0.09) | (0.11) | $5.96 | 9.77% | 2.01% | 2.01% | 0.28% | 0.28% | 78% | $32,110 | ||
2016 | $5.75 | 0.01 | 0.10 | 0.11 | — | (0.32) | (0.32) | $5.54 | 2.06% | 2.00% | 2.00% | 0.21% | 0.21% | 87% | $37,188 | ||
2015 | $6.18 | (0.01) | (0.08) | (0.09) | — | (0.34) | (0.34) | $5.75 | (1.38)% | 2.00% | 2.00% | (0.19)% | (0.19)% | 90% | $42,585 | ||
2014 | $6.21 | (0.01) | 0.35 | 0.34 | —(7) | (0.37) | (0.37) | $6.18 | 5.93% | 1.99% | 1.99% | (0.09)% | (0.09)% | 59% | $43,361 |
For a Share Outstanding Throughout the Years Ended July 31 (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 | 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) | |||
R Class | |||||||||||||||||
2020(4) | $5.65 | 0.02 | 0.23 | 0.25 | (0.04) | (0.38) | (0.42) | $5.48 | 4.49% | 1.40%(5) | 1.51%(5) | 0.75%(5) | 0.64%(5) | 44% | $10,448 | ||
2019 | $5.82 | 0.06 | 0.13 | 0.19 | (0.07) | (0.29) | (0.36) | $5.65 | 3.86% | 1.50% | 1.51% | 1.08% | 1.07% | 65% | $10,314 | ||
2018(6) | $6.04 | 0.04 | 0.06 | 0.10 | (0.04) | (0.28) | (0.32) | $5.82 | 1.83% | 1.50%(5) | 1.50%(5) | 1.01%(5) | 1.01%(5) | 53% | $10,960 | ||
2017 | $5.61 | 0.05 | 0.52 | 0.57 | (0.05) | (0.09) | (0.14) | $6.04 | 10.31% | 1.51% | 1.51% | 0.78% | 0.78% | 78% | $15,004 | ||
2016 | $5.80 | 0.04 | 0.10 | 0.14 | (0.01) | (0.32) | (0.33) | $5.61 | 2.59% | 1.50% | 1.50% | 0.71% | 0.71% | 87% | $15,398 | ||
2015 | $6.20 | 0.02 | (0.07) | (0.05) | (0.01) | (0.34) | (0.35) | $5.80 | (0.77)% | 1.50% | 1.50% | 0.31% | 0.31% | 90% | $14,766 | ||
2014 | $6.22 | 0.02 | 0.36 | 0.38 | (0.03) | (0.37) | (0.40) | $6.20 | 6.48% | 1.49% | 1.49% | 0.41% | 0.41% | 59% | $16,239 | ||
R5 Class | |||||||||||||||||
2020(4) | $5.68 | 0.04 | 0.23 | 0.27 | (0.06) | (0.38) | (0.44) | $5.51 | 4.86% | 0.70%(5) | 0.81%(5) | 1.45%(5) | 1.34%(5) | 44% | $36,977 | ||
2019 | $5.85 | 0.10 | 0.13 | 0.23 | (0.11) | (0.29) | (0.40) | $5.68 | 4.75% | 0.80% | 0.81% | 1.78% | 1.77% | 65% | $36,866 | ||
2018(6) | $6.07 | 0.08 | 0.05 | 0.13 | (0.07) | (0.28) | (0.35) | $5.85 | 2.15% | 0.80%(5) | 0.80%(5) | 1.71%(5) | 1.71%(5) | 53% | $34,766 | ||
2017(8) | $5.73 | 0.06 | 0.33 | 0.39 | (0.05) | — | (0.05) | $6.07 | 6.80% | 0.81%(5) | 0.81%(5) | 1.60%(5) | 1.60%(5) | 78%(3) | $5 |
For a Share Outstanding Throughout the Years Ended July 31 (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 | 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) | |||
R6 Class | |||||||||||||||||
2020(4) | $5.68 | 0.05 | 0.22 | 0.27 | (0.07) | (0.38) | (0.45) | $5.50 | 4.76% | 0.55%(5) | 0.66%(5) | 1.60%(5) | 1.49%(5) | 44% | $74,398 | ||
2019 | $5.84 | 0.11 | 0.14 | 0.25 | (0.12) | (0.29) | (0.41) | $5.68 | 4.91% | 0.65% | 0.66% | 1.93% | 1.92% | 65% | $69,846 | ||
2018(6) | $6.06 | 0.07 | 0.07 | 0.14 | (0.08) | (0.28) | (0.36) | $5.84 | 2.44% | 0.65%(5) | 0.65%(5) | 1.86%(5) | 1.86%(5) | 53% | $76,077 | ||
2017 | $5.63 | 0.10 | 0.52 | 0.62 | (0.10) | (0.09) | (0.19) | $6.06 | 11.21% | 0.66% | 0.66% | 1.63% | 1.63% | 78% | $63,151 | ||
2016 | $5.84 | 0.09 | 0.10 | 0.19 | (0.08) | (0.32) | (0.40) | $5.63 | 3.50% | 0.65% | 0.65% | 1.56% | 1.56% | 87% | $20,398 | ||
2015 | $6.21 | 0.07 | (0.07) | — | (0.03) | (0.34) | (0.37) | $5.84 | 0.09% | 0.65% | 0.65% | 1.16% | 1.16% | 90% | $7,150 | ||
2014 | $6.23 | 0.07 | 0.36 | 0.43 | (0.08) | (0.37) | (0.45) | $6.21 | 7.37% | 0.64% | 0.64% | 1.26% | 1.26% | 59% | $1,815 |
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) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the year ended November 30, 2017. |
(4) | Six months ended January 31, 2020 (unaudited). |
(5) | Annualized. |
(6) | December 1, 2017 through July 31, 2018. The fund's fiscal year end was changed from November 30 to July 31, resulting in an eight-month annual reporting period. For the years before July 31, 2018, the fund's fiscal year end was November 30. |
(7) | Per-share amount was less than $0.005. |
(8) | April 10, 2017 (commencement of sale) through November 30, 2017. |
See Notes to Financial Statements.
Additional Information |
Retirement Account Information
As required by law, distributions you receive from certain retirement accounts 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 and change your withholding percentage for future distributions.
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.
*Some 403(b), 457 and qualified retirement plan distributions may be subject to 20% mandatory withholding, as they 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 American Century Investments’ website at americancentury.com/proxy 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 americancentury.com/proxy. 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 or as an exhibit to its reports on Form N-PORT. The fund’s Forms N-Q and Form N-PORT reports are available on the SEC’s website at sec.gov. 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.
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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. | ||
©2020 American Century Proprietary Holdings, Inc. All rights reserved. CL-SAN-92642 2003 |
Semiannual Report | |
January 31, 2020 | |
Strategic Allocation: Moderate Fund | |
Investor Class (TWSMX) | |
I Class (ASAMX) | |
A Class (ACOAX) | |
C Class (ASTCX) | |
R Class (ASMRX) | |
R5 Class (ASMUX) | |
R6 Class (ASMDX) |
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the fund’s shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the fund or your financial intermediary electronically by calling or sending an email request to your appropriate contacts as listed on the back cover of this report.
You may elect to receive all future reports in paper free of charge. You can inform the fund or your financial intermediary that you wish to continue receiving paper copies of your shareholder reports by calling or sending an email request to your appropriate contacts as listed on the back cover of this report. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
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 |
Jonathan Thomas
Dear Investor:
Thank you for reviewing this semiannual report for the period ended January 31, 2020. It provides a market overview (below), followed by a schedule of fund investments and other financial information. For additional information please visit our website, americancentury.com.
Stocks, Bonds Delivered Solid Gains
From higher-quality government bonds to higher-risk stocks, most major U.S. and global asset classes posted gains for the six months ended January 31. U.S. stocks, as measured by the S&P 500 Index, advanced 9.31% for the period, outpacing the 7.40% return for global stocks (MSCI ACWI). Broad-based U.S. and global bond indices also delivered solid, albeit more-modest, gains.
A key policy pivot from the Federal Reserve (Fed) helped set the stage for the rally. After ending its three-year rate-hike campaign in early 2019, the Fed cut rates in July, September and October. Similarly, the European Central Bank unveiled more stimulus. These efforts aided stocks and bonds. Additionally, modestly improving economic and earnings data and upbeat trade-policy news lifted stock investors' optimism. However, news of China’s COVID-19 outbreak in January stifled the stock market rally. Investors feared the virus would spread worldwide, stalling global growth.
Special COVID-19 Update
As we finalize this shareholder report in mid-March, the fears that emerged in late January unfortunately have become reality. The world is dealing with unprecedented health, economic and lifestyle challenges stemming from the COVID-19 global pandemic. The market impact has been severe, but slowing and eliminating the human toll are most important.
We are monitoring the situation closely and following government guidelines and protocols from leading health authorities. Our firm has activated a comprehensive Pandemic Response Plan, which includes social-distancing and work-from-home mandates, restrictions on travel, escalated cleaning regimens at all our facilities, and more. We've also launched a Business Continuity Plan to maintain normal business operations and ensure delivery of outstanding service.
We appreciate your confidence in us during these extraordinary times. We have a long history of weathering volatile markets, and we are confident we will meet this current challenge. In the meantime, the health and safety of you, your family and our employees remain a top priority.
Sincerely,
Jonathan Thomas
President and Chief Executive Officer
American Century Investments
2
Fund Characteristics |
JANUARY 31, 2020 | |
Top Ten Common Stocks | % of net assets |
Alphabet, Inc.* | 0.5% |
Amazon.com, Inc. | 0.5% |
Microsoft Corp. | 0.5% |
Mastercard, Inc., Class A | 0.4% |
salesforce.com, Inc. | 0.3% |
Apple, Inc. | 0.3% |
Visa, Inc., Class A | 0.3% |
Facebook, Inc., Class A | 0.3% |
Fiserv, Inc. | 0.3% |
Tesla, Inc. | 0.3% |
*Includes all classes of the issuer held by the fund. | |
Key Fixed-Income Portfolio Statistics | |
Weighted Average Life to Maturity | 7.2 years |
Average Duration (effective) | 6.0 years |
Types of Investments in Portfolio | % of net assets |
Affiliated Funds | 33.1% |
Domestic Common Stocks | 26.0% |
Foreign Common Stocks* | 6.6% |
Corporate Bonds | 7.5% |
U.S. Treasury Securities | 6.0% |
Sovereign Governments and Agencies | 4.6% |
U.S. Government Agency Mortgage-Backed Securities | 3.5% |
Municipal Securities | 2.7% |
Asset-Backed Securities | 1.5% |
Collateralized Loan Obligations | 1.3% |
Collateralized Mortgage Obligations | 0.9% |
Commercial Mortgage-Backed Securities | 0.8% |
Commercial Paper | 0.5% |
Exchange-Traded Funds | 0.4% |
U.S. Government Agency Securities | 0.3% |
Temporary Cash Investments | 4.3% |
Other Assets and Liabilities | —** |
*Includes depositary shares, dual listed securities and foreign ordinary shares.
**Category is less than 0.05% of total net assets.
3
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 August 1, 2019 to January 31, 2020.
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 I 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.
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Beginning Account Value 8/1/19 | Ending Account Value 1/31/20 | Expenses Paid During Period(1) 8/1/19 - 1/31/20 | Annualized Expense Ratio(1) | |
Actual | ||||
Investor Class | $1,000 | $1,053.80 | $4.70 | 0.91% |
I Class | $1,000 | $1,055.00 | $3.67 | 0.71% |
A Class | $1,000 | $1,052.60 | $5.99 | 1.16% |
C Class | $1,000 | $1,048.90 | $9.84 | 1.91% |
R Class | $1,000 | $1,051.50 | $7.27 | 1.41% |
R5 Class | $1,000 | $1,054.90 | $3.67 | 0.71% |
R6 Class | $1,000 | $1,057.60 | $2.90 | 0.56% |
Hypothetical | ||||
Investor Class | $1,000 | $1,020.56 | $4.62 | 0.91% |
I Class | $1,000 | $1,021.57 | $3.61 | 0.71% |
A Class | $1,000 | $1,019.31 | $5.89 | 1.16% |
C Class | $1,000 | $1,015.53 | $9.68 | 1.91% |
R Class | $1,000 | $1,018.05 | $7.15 | 1.41% |
R5 Class | $1,000 | $1,021.57 | $3.61 | 0.71% |
R6 Class | $1,000 | $1,022.32 | $2.85 | 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 184, the number of days in the most recent fiscal half-year, divided by 366, to reflect the one-half year period. Annualized expense ratio reflects actual expenses, including any applicable fee waivers or expense reimbursements and excluding any acquired fund fees and expenses. |
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Schedule of Investments |
JANUARY 31, 2020 (UNAUDITED)
Shares/ Principal Amount | Value | ||||||
AFFILIATED FUNDS(1) — 33.1% | |||||||
American Century Diversified Corporate Bond ETF | 541,178 | $ | 28,130,432 | ||||
American Century Quality Diversified International ETF | 728,875 | 29,774,544 | |||||
American Century STOXX U.S. Quality Growth ETF | 1,076,650 | 48,518,479 | |||||
American Century STOXX U.S. Quality Value ETF | 957,081 | 40,141,604 | |||||
Avantis Emerging Markets Equity ETF | 627,991 | 32,303,857 | |||||
Avantis International Equity ETF | 571,322 | 29,924,361 | |||||
Avantis International Small Cap Value ETF | 164,300 | 8,629,036 | |||||
Avantis U.S. Equity ETF | 1,025,727 | 55,430,287 | |||||
Avantis U.S. Small Cap Value ETF | 207,768 | 10,286,698 | |||||
TOTAL AFFILIATED FUNDS (Cost $272,803,409) | 283,139,298 | ||||||
COMMON STOCKS — 32.6% | |||||||
Aerospace and Defense — 0.4% | |||||||
Aerojet Rocketdyne Holdings, Inc.(2) | 2,321 | 120,857 | |||||
BAE Systems plc | 42,711 | 357,233 | |||||
Boeing Co. (The) | 589 | 187,461 | |||||
Embraer SA ADR(2) | 26,788 | 451,110 | |||||
Kratos Defense & Security Solutions, Inc.(2) | 3,276 | 60,082 | |||||
Lockheed Martin Corp. | 1,466 | 627,624 | |||||
Mercury Systems, Inc.(2) | 966 | 74,140 | |||||
Safran SA | 2,503 | 404,709 | |||||
Textron, Inc. | 8,916 | 409,512 | |||||
TransDigm Group, Inc. | 910 | 585,385 | |||||
3,278,113 | |||||||
Air Freight and Logistics — 0.1% | |||||||
Expeditors International of Washington, Inc. | 2,929 | 213,934 | |||||
United Parcel Service, Inc., Class B | 3,797 | 393,066 | |||||
607,000 | |||||||
Airlines — 0.2% | |||||||
Delta Air Lines, Inc. | 6,742 | 375,799 | |||||
Southwest Airlines Co. | 25,626 | 1,408,918 | |||||
1,784,717 | |||||||
Auto Components — 0.2% | |||||||
Aptiv plc | 8,327 | 706,046 | |||||
BorgWarner, Inc. | 11,378 | 390,152 | |||||
Cie Plastic Omnium SA | 2,526 | 63,488 | |||||
Hyundai Mobis Co. Ltd. | 2,189 | 418,910 | |||||
Hyundai Wia Corp.(2) | 2,190 | 78,345 | |||||
Leoni AG(2) | 10,012 | 117,968 | |||||
Minth Group Ltd. | 34,000 | 104,707 | |||||
NOK Corp. | 5,600 | 74,169 | |||||
Visteon Corp.(2) | 702 | 56,027 | |||||
2,009,812 |
6
Shares/ Principal Amount | Value | ||||||
Automobiles — 0.7% | |||||||
Daimler AG | 6,791 | $ | 314,730 | ||||
Honda Motor Co. Ltd. ADR | 31,303 | 801,357 | |||||
Hyundai Motor Co. | 5,704 | 592,217 | |||||
Kia Motors Corp. | 7,019 | 239,051 | |||||
Mazda Motor Corp. | 34,000 | 283,040 | |||||
Nissan Motor Co. Ltd. | 89,400 | 485,338 | |||||
Renault SA | 4,523 | 175,795 | |||||
Tesla, Inc.(2) | 3,515 | 2,286,754 | |||||
Thor Industries, Inc. | 3,878 | 312,257 | |||||
Winnebago Industries, Inc. | 1,724 | 94,406 | |||||
5,584,945 | |||||||
Banks — 2.0% | |||||||
Bank Central Asia Tbk PT | 184,200 | 432,869 | |||||
Bank of America Corp. | 53,556 | 1,758,243 | |||||
Barclays plc | 371,868 | 822,381 | |||||
BNP Paribas SA | 8,584 | 456,448 | |||||
Citigroup, Inc. | 7,216 | 536,942 | |||||
Comerica, Inc. | 12,560 | 768,170 | |||||
Commerce Bancshares, Inc. | 8,510 | 575,787 | |||||
Commerzbank AG | 65,329 | 376,073 | |||||
FinecoBank Banca Fineco SpA | 9,539 | 111,666 | |||||
First Hawaiian, Inc. | 24,075 | 699,619 | |||||
Hana Financial Group, Inc. | 7,328 | 201,676 | |||||
HDFC Bank Ltd. ADR | 6,470 | 370,602 | |||||
JPMorgan Chase & Co. | 13,161 | 1,741,990 | |||||
M&T Bank Corp. | 3,848 | 648,465 | |||||
Mitsubishi UFJ Financial Group, Inc. | 150,200 | 768,411 | |||||
Mizuho Financial Group, Inc. | 343,600 | 506,697 | |||||
PNC Financial Services Group, Inc. (The) | 6,316 | 938,242 | |||||
Prosperity Bancshares, Inc. | 3,817 | 267,953 | |||||
Societe Generale SA | 10,948 | 354,132 | |||||
Standard Chartered plc (London) | 27,559 | 229,406 | |||||
Sumitomo Mitsui Financial Group, Inc. | 11,000 | 385,474 | |||||
SVB Financial Group(2) | 683 | 164,145 | |||||
Truist Financial Corp. | 34,018 | 1,754,308 | |||||
U.S. Bancorp | 9,119 | 485,313 | |||||
UMB Financial Corp. | 5,002 | 332,433 | |||||
UniCredit SpA | 23,414 | 312,979 | |||||
Veritex Holdings, Inc. | 2,513 | 71,168 | |||||
Wells Fargo & Co. | 9,522 | 446,963 | |||||
Westamerica Bancorporation | 4,688 | 297,032 | |||||
16,815,587 | |||||||
Beverages — 0.5% | |||||||
Boston Beer Co., Inc. (The), Class A(2) | 2,544 | 906,631 | |||||
Brown-Forman Corp., Class B | 3,192 | 215,907 | |||||
Constellation Brands, Inc., Class A | 7,696 | 1,449,157 |
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Shares/ Principal Amount | Value | ||||||
PepsiCo, Inc. | 11,904 | $ | 1,690,606 | ||||
Treasury Wine Estates Ltd. | 33,840 | 288,904 | |||||
4,551,205 | |||||||
Biotechnology — 0.9% | |||||||
AbbVie, Inc. | 5,211 | 422,195 | |||||
ACADIA Pharmaceuticals, Inc.(2) | 1,721 | 68,737 | |||||
Acceleron Pharma, Inc.(2) | 1,154 | 104,760 | |||||
Aimmune Therapeutics, Inc.(2) | 1,211 | 37,602 | |||||
Amarin Corp. plc ADR(2) | 1,903 | 35,301 | |||||
Amgen, Inc. | 2,491 | 538,181 | |||||
Amicus Therapeutics, Inc.(2) | 5,073 | 44,845 | |||||
Arcutis Biotherapeutics, Inc.(2) | 1,189 | 25,920 | |||||
Arena Pharmaceuticals, Inc.(2) | 1,590 | 72,647 | |||||
Argenx SE(2) | 623 | 90,016 | |||||
Argenx SE ADR(2) | 3,093 | 446,289 | |||||
Biogen, Inc.(2) | 1,687 | 453,550 | |||||
Biohaven Pharmaceutical Holding Co. Ltd.(2) | 605 | 29,336 | |||||
Blueprint Medicines Corp.(2) | 6,670 | 423,211 | |||||
ChemoCentryx, Inc.(2) | 941 | 39,917 | |||||
CSL Ltd. | 3,628 | 741,817 | |||||
Deciphera Pharmaceuticals, Inc.(2) | 563 | 35,261 | |||||
Exact Sciences Corp.(2) | 5,168 | 482,071 | |||||
FibroGen, Inc.(2) | 1,427 | 59,720 | |||||
Flexion Therapeutics, Inc.(2) | 2,394 | 41,943 | |||||
Global Blood Therapeutics, Inc.(2) | 786 | 51,294 | |||||
Halozyme Therapeutics, Inc.(2) | 3,303 | 62,691 | |||||
Heron Therapeutics, Inc.(2) | 1,895 | 39,530 | |||||
Immunomedics, Inc.(2) | 18,252 | 338,940 | |||||
Insmed, Inc.(2) | 3,313 | 68,049 | |||||
Ionis Pharmaceuticals, Inc.(2) | 8,608 | 502,019 | |||||
Iovance Biotherapeutics, Inc.(2) | 2,247 | 48,850 | |||||
Mirati Therapeutics, Inc.(2) | 288 | 25,007 | |||||
MorphoSys AG(2) | 858 | 107,460 | |||||
Natera, Inc.(2) | 2,903 | 101,634 | |||||
PeptiDream, Inc.(2) | 1,800 | 85,572 | |||||
Principia Biopharma, Inc.(2) | 581 | 30,590 | |||||
PTC Therapeutics, Inc.(2) | 1,220 | 62,830 | |||||
Regeneron Pharmaceuticals, Inc.(2) | 1,747 | 590,381 | |||||
REGENXBIO, Inc.(2) | 840 | 36,565 | |||||
Sage Therapeutics, Inc.(2) | 1,303 | 86,363 | |||||
Stoke Therapeutics, Inc.(2) | 1,063 | 29,721 | |||||
Turning Point Therapeutics, Inc.(2) | 2,620 | 153,270 | |||||
Ultragenyx Pharmaceutical, Inc.(2) | 856 | 44,983 | |||||
Vertex Pharmaceuticals, Inc.(2) | 4,497 | 1,021,044 | |||||
Viela Bio, Inc.(2) | 458 | 18,022 | |||||
Viking Therapeutics, Inc.(2) | 4,291 | 26,947 |
8
Shares/ Principal Amount | Value | ||||||
Vir Biotechnology, Inc.(2) | 301 | $ | 8,016 | ||||
7,733,097 | |||||||
Building Products — 0.3% | |||||||
Builders FirstSource, Inc.(2) | 3,968 | 98,387 | |||||
Fortune Brands Home & Security, Inc. | 9,597 | 659,410 | |||||
Johnson Controls International plc | 45,050 | 1,777,222 | |||||
Lindab International AB | 4,939 | 56,000 | |||||
Masonite International Corp.(2) | 140 | 10,515 | |||||
PGT Innovations, Inc.(2) | 2,854 | 44,237 | |||||
Trex Co., Inc.(2) | 1,146 | 112,583 | |||||
2,758,354 | |||||||
Capital Markets — 1.2% | |||||||
Ameriprise Financial, Inc. | 5,230 | 865,094 | |||||
Ares Management Corp., Class A | 3,092 | 111,498 | |||||
Bank of New York Mellon Corp. (The) | 13,601 | 609,053 | |||||
BlackRock, Inc. | 604 | 318,519 | |||||
Credit Suisse Group AG(2) | 37,675 | 476,022 | |||||
Euronext NV | 1,384 | 119,985 | |||||
Hamilton Lane, Inc., Class A | 1,599 | 103,855 | |||||
Intercontinental Exchange, Inc. | 12,876 | 1,284,252 | |||||
Intermediate Capital Group plc | 8,784 | 200,661 | |||||
London Stock Exchange Group plc | 5,661 | 587,241 | |||||
LPL Financial Holdings, Inc. | 10,467 | 964,325 | |||||
Morgan Stanley | 12,898 | 674,049 | |||||
MSCI, Inc. | 2,519 | 719,930 | |||||
Northern Trust Corp. | 12,938 | 1,265,466 | |||||
Partners Group Holding AG | 449 | 411,782 | |||||
S&P Global, Inc. | 3,782 | 1,110,887 | |||||
State Street Corp. | 6,341 | 479,570 | |||||
Tradeweb Markets, Inc., Class A | 5,740 | 265,073 | |||||
10,567,262 | |||||||
Chemicals — 0.3% | |||||||
Albemarle Corp. | 2,768 | 222,215 | |||||
Dow, Inc. | 8,150 | 375,471 | |||||
Ecolab, Inc. | 1,203 | 235,920 | |||||
Ferro Corp.(2) | 5,128 | 70,151 | |||||
Koninklijke DSM NV | 3,451 | 421,948 | |||||
Olin Corp. | 3,048 | 45,324 | |||||
Sherwin-Williams Co. (The) | 704 | 392,121 | |||||
Symrise AG | 3,929 | 404,750 | |||||
2,167,900 | |||||||
Commercial Services and Supplies — 0.3% | |||||||
A-Living Services Co. Ltd., H Shares | 34,500 | 114,373 | |||||
Babcock International Group plc | 74,165 | 573,307 | |||||
Brink's Co. (The) | 1,607 | 135,293 | |||||
Casella Waste Systems, Inc., Class A(2) | 1,610 | 82,416 | |||||
Clean Harbors, Inc.(2) | 1,390 | 114,286 |
9
Shares/ Principal Amount | Value | ||||||
HomeServe plc | 6,397 | $ | 107,811 | ||||
IAA, Inc.(2) | 2,209 | 104,397 | |||||
Loomis AB, B Shares | 1,188 | 43,074 | |||||
Republic Services, Inc. | 4,334 | 411,947 | |||||
Serco Group plc(2) | 43,274 | 90,250 | |||||
US Ecology, Inc. | 1,602 | 86,524 | |||||
Waste Management, Inc. | 3,639 | 442,866 | |||||
2,306,544 | |||||||
Communications Equipment — 0.4% | |||||||
Arista Networks, Inc.(2) | 2,550 | 569,517 | |||||
AudioCodes Ltd. | 2,838 | 60,847 | |||||
Cisco Systems, Inc. | 27,570 | 1,267,393 | |||||
F5 Networks, Inc.(2) | 6,122 | 747,618 | |||||
Motorola Solutions, Inc. | 1,317 | 233,109 | |||||
Telefonaktiebolaget LM Ericsson, B Shares | 46,121 | 362,903 | |||||
3,241,387 | |||||||
Construction and Engineering† | |||||||
Badger Daylighting Ltd. | 1,708 | 44,565 | |||||
Hazama Ando Corp. | 14,000 | 114,197 | |||||
NRW Holdings Ltd. | 39,265 | 80,787 | |||||
SHO-BOND Holdings Co. Ltd. | 2,500 | 101,951 | |||||
341,500 | |||||||
Construction Materials — 0.1% | |||||||
Cemex SAB de CV ADR | 36,871 | 148,959 | |||||
Vulcan Materials Co. | 3,158 | 447,267 | |||||
596,226 | |||||||
Consumer Finance — 0.1% | |||||||
American Express Co. | 3,164 | 410,909 | |||||
Cembra Money Bank AG | 1,152 | 134,773 | |||||
545,682 | |||||||
Containers and Packaging — 0.2% | |||||||
Ball Corp. | 6,247 | 450,908 | |||||
Berry Global Group, Inc.(2) | 2,215 | 94,182 | |||||
Graphic Packaging Holding Co. | 16,527 | 258,317 | |||||
Huhtamaki Oyj | 515 | 22,944 | |||||
Packaging Corp. of America | 4,366 | 418,044 | |||||
SIG Combibloc Group AG(2) | 8,393 | 132,636 | |||||
Sonoco Products Co. | 6,648 | 379,867 | |||||
WestRock Co. | 6,994 | 272,766 | |||||
2,029,664 | |||||||
Distributors — 0.1% | |||||||
Genuine Parts Co. | 6,586 | 616,252 | |||||
LKQ Corp.(2) | 19,167 | 626,473 | |||||
1,242,725 | |||||||
Diversified Consumer Services — 0.1% | |||||||
Bright Horizons Family Solutions, Inc.(2) | 3,009 | 492,664 | |||||
Chegg, Inc.(2) | 11,353 | 468,084 |
10
Shares/ Principal Amount | Value | ||||||
Grand Canyon Education, Inc.(2) | 962 | $ | 75,305 | ||||
1,036,053 | |||||||
Diversified Financial Services — 0.1% | |||||||
Berkshire Hathaway, Inc., Class B(2) | 4,469 | 1,002,978 | |||||
ECN Capital Corp. | 16,409 | 69,435 | |||||
Element Fleet Management Corp. | 8,763 | 84,160 | |||||
Zenkoku Hosho Co. Ltd. | 3,000 | 128,396 | |||||
1,284,969 | |||||||
Diversified Telecommunication Services — 0.3% | |||||||
Cellnex Telecom SA(2) | 21,967 | 1,092,262 | |||||
Verizon Communications, Inc. | 28,152 | 1,673,355 | |||||
2,765,617 | |||||||
Electric Utilities — 0.7% | |||||||
Edison International | 9,741 | 745,674 | |||||
Eversource Energy | 4,487 | 414,778 | |||||
Iberdrola SA | 45,470 | 497,293 | |||||
NextEra Energy, Inc. | 5,347 | 1,434,065 | |||||
Pinnacle West Capital Corp. | 16,143 | 1,577,010 | |||||
Xcel Energy, Inc. | 25,596 | 1,770,987 | |||||
6,439,807 | |||||||
Electrical Equipment — 0.9% | |||||||
AMETEK, Inc. | 9,442 | 917,290 | |||||
Eaton Corp. plc | 7,983 | 754,154 | |||||
Emerson Electric Co. | 21,311 | 1,526,507 | |||||
Hubbell, Inc. | 9,224 | 1,321,154 | |||||
Mabuchi Motor Co. Ltd. | 1,800 | 65,740 | |||||
Melrose Industries plc | 166,969 | 516,191 | |||||
Nexans SA | 1,717 | 83,745 | |||||
nVent Electric plc | 42,376 | 1,055,162 | |||||
Schneider Electric SE | 8,538 | 855,874 | |||||
Sensata Technologies Holding plc(2) | 8,235 | 389,268 | |||||
Signify NV | 6,240 | 207,829 | |||||
Varta AG(2) | 396 | 33,807 | |||||
7,726,721 | |||||||
Electronic Equipment, Instruments and Components — 0.5% | |||||||
Anritsu Corp. | 5,500 | 106,244 | |||||
Barco NV | 635 | 158,039 | |||||
CDW Corp. | 2,308 | 301,079 | |||||
Cognex Corp. | 16,768 | 854,665 | |||||
Electrocomponents plc | 13,378 | 116,941 | |||||
Hexagon AB, B Shares | 7,485 | 407,934 | |||||
Isra Vision AG | 1,085 | 40,870 | |||||
Keyence Corp. | 1,000 | 339,056 | |||||
Keysight Technologies, Inc.(2) | 5,990 | 557,010 | |||||
Landis+Gyr Group AG(2) | 893 | 81,989 | |||||
Murata Manufacturing Co. Ltd. | 8,900 | 508,477 | |||||
11
Shares/ Principal Amount | Value | ||||||
Rogers Corp.(2) | 282 | $ | 33,206 | ||||
SYNNEX Corp. | 823 | 113,376 | |||||
TE Connectivity Ltd. | 11,324 | 1,043,846 | |||||
4,662,732 | |||||||
Energy Equipment and Services — 0.3% | |||||||
Baker Hughes Co. | 21,117 | 457,394 | |||||
Cactus, Inc., Class A | 19,821 | 571,241 | |||||
Schlumberger Ltd. | 22,991 | 770,429 | |||||
Subsea 7 SA | 6,608 | 71,063 | |||||
Tecnicas Reunidas SA(2) | 10,517 | 256,558 | |||||
TGS NOPEC Geophysical Co. ASA | 1,895 | 48,165 | |||||
2,174,850 | |||||||
Entertainment — 0.4% | |||||||
Embracer Group AB(2) | 8,047 | 67,193 | |||||
Live Nation Entertainment, Inc.(2) | 8,573 | 584,336 | |||||
Netflix, Inc.(2) | 2,875 | 992,134 | |||||
Take-Two Interactive Software, Inc.(2) | 4,280 | 533,459 | |||||
Walt Disney Co. (The) | 6,125 | 847,149 | |||||
World Wrestling Entertainment, Inc., Class A | 468 | 22,876 | |||||
Zynga, Inc., Class A(2) | 7,133 | 42,940 | |||||
3,090,087 | |||||||
Equity Real Estate Investment Trusts (REITs) — 2.5% | |||||||
Agree Realty Corp. | 3,053 | 231,814 | |||||
Alexandria Real Estate Equities, Inc. | 2,346 | 382,867 | |||||
Allied Properties Real Estate Investment Trust | 3,967 | 165,526 | |||||
American Tower Corp. | 385 | 89,220 | |||||
Americold Realty Trust | 11,085 | 382,100 | |||||
Boston Properties, Inc. | 2,845 | 407,831 | |||||
Brixmor Property Group, Inc. | 5,773 | 115,229 | |||||
Camden Property Trust | 3,591 | 403,736 | |||||
Charter Hall Group | 29,550 | 250,298 | |||||
Comforia Residential REIT, Inc. | 65 | 214,580 | |||||
CoreSite Realty Corp. | 467 | 54,849 | |||||
Cousins Properties, Inc. | 5,598 | 229,126 | |||||
Derwent London plc | 7,066 | 381,815 | |||||
Embassy Office Parks REIT(2) | 8,400 | 48,857 | |||||
Empire State Realty Trust, Inc., Class A | 24,714 | 335,122 | |||||
Equinix, Inc. | 867 | 511,296 | |||||
Equity Residential | 4,366 | 362,727 | |||||
Essential Properties Realty Trust, Inc. | 13,255 | 365,970 | |||||
Fibra Uno Administracion SA de CV | 364,546 | 599,040 | |||||
Gaming and Leisure Properties, Inc. | 5,041 | 238,212 | |||||
Gecina SA | 984 | 186,134 | |||||
Global Medical REIT, Inc. | 3,991 | 58,269 | |||||
Goodman Group | 32,491 | 318,648 | |||||
Granite Real Estate Investment Trust | 2,074 | 112,069 | |||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 1,790 | 61,021 |
12
Shares/ Principal Amount | Value | ||||||
Healthpeak Properties, Inc. | 16,836 | $ | 605,928 | ||||
Hudson Pacific Properties, Inc. | 9,351 | 339,815 | |||||
Inmobiliaria Colonial Socimi SA | 8,688 | 116,430 | |||||
Invesco Office J-Reit, Inc. | 1,234 | 262,410 | |||||
Invitation Homes, Inc. | 18,842 | 592,958 | |||||
Kilroy Realty Corp. | 3,719 | 307,078 | |||||
Link REIT | 17,500 | 176,444 | |||||
Mapletree Commercial Trust | 112,165 | 192,540 | |||||
Mapletree Industrial Trust | 44,400 | 90,223 | |||||
MGM Growth Properties LLC, Class A | 18,999 | 606,828 | |||||
Mitsui Fudosan Logistics Park, Inc. | 59 | 285,859 | |||||
Northview Apartment Real Estate Investment Trust | 5,623 | 130,484 | |||||
Orix JREIT, Inc. | 205 | 432,621 | |||||
Piedmont Office Realty Trust, Inc., Class A | 20,329 | 471,429 | |||||
Prologis, Inc. | 23,176 | 2,152,587 | |||||
Rexford Industrial Realty, Inc. | 11,882 | 572,594 | |||||
Ryman Hospitality Properties, Inc. | 2,064 | 175,502 | |||||
Safestore Holdings plc | 12,285 | 130,565 | |||||
SBA Communications Corp. | 7,199 | 1,796,582 | |||||
Segro plc | 22,813 | 275,026 | |||||
Spirit Realty Capital, Inc. | 3,380 | 178,396 | |||||
Summit Industrial Income REIT | 9,579 | 93,445 | |||||
Sun Communities, Inc. | 1,861 | 301,798 | |||||
UDR, Inc. | 6,046 | 289,664 | |||||
UNITE Group plc (The) | 17,521 | 294,965 | |||||
VICI Properties, Inc. | 15,559 | 416,981 | |||||
Welltower, Inc. | 16,842 | 1,430,054 | |||||
Weyerhaeuser Co. | 61,715 | 1,786,649 | |||||
21,012,211 | |||||||
Food and Staples Retailing — 0.3% | |||||||
Cosmos Pharmaceutical Corp. | 400 | 88,654 | |||||
Costco Wholesale Corp. | 713 | 217,836 | |||||
Grocery Outlet Holding Corp.(2) | 2,025 | 66,298 | |||||
Kobe Bussan Co. Ltd. | 2,600 | 100,239 | |||||
Koninklijke Ahold Delhaize NV | 24,489 | 601,565 | |||||
Sysco Corp. | 11,433 | 939,106 | |||||
Walgreens Boots Alliance, Inc. | 4,022 | 204,519 | |||||
2,218,217 | |||||||
Food Products — 0.4% | |||||||
AAK AB | 3,816 | 71,628 | |||||
Ariake Japan Co. Ltd. | 1,400 | 95,486 | |||||
Ausnutria Dairy Corp. Ltd.(2) | 30,000 | 36,489 | |||||
Bakkafrost P/F | 1,519 | 108,258 | |||||
Beyond Meat, Inc.(2) | 331 | 36,549 | |||||
Conagra Brands, Inc. | 17,726 | 583,540 | |||||
J.M. Smucker Co. (The) | 4,143 | 429,256 | |||||
Kellogg Co. | 3,320 | 226,457 |
13
Shares/ Principal Amount | Value | ||||||
Mondelez International, Inc., Class A | 18,050 | $ | 1,035,709 | ||||
Nestle SA | 3,641 | 401,944 | |||||
Nomad Foods Ltd.(2) | 4,016 | 81,043 | |||||
Orkla ASA | 55,665 | 540,847 | |||||
3,647,206 | |||||||
Gas Utilities — 0.1% | |||||||
Atmos Energy Corp. | 4,073 | 476,663 | |||||
Chesapeake Utilities Corp. | 626 | 60,227 | |||||
Nippon Gas Co. Ltd. | 3,500 | 110,419 | |||||
Spire, Inc. | 6,540 | 551,453 | |||||
1,198,762 | |||||||
Health Care Equipment and Supplies — 1.2% | |||||||
Baxter International, Inc. | 5,669 | 505,788 | |||||
DexCom, Inc.(2) | 1,229 | 295,882 | |||||
Edwards Lifesciences Corp.(2) | 2,077 | 456,649 | |||||
Hologic, Inc.(2) | 15,613 | 835,608 | |||||
Hoya Corp. | 3,400 | 326,823 | |||||
ICU Medical, Inc.(2) | 171 | 31,202 | |||||
Insulet Corp.(2) | 360 | 69,854 | |||||
Intuitive Surgical, Inc.(2) | 1,291 | 722,676 | |||||
Masimo Corp.(2) | 2,925 | 499,005 | |||||
Medtronic plc | 13,109 | 1,513,303 | |||||
Nihon Kohden Corp. | 1,200 | 35,253 | |||||
OrthoPediatrics Corp.(2) | 1,143 | 52,498 | |||||
ResMed, Inc. | 3,937 | 625,865 | |||||
Siemens Healthineers AG | 5,245 | 247,447 | |||||
Silk Road Medical, Inc.(2) | 2,482 | 115,512 | |||||
Teleflex, Inc. | 2,591 | 962,583 | |||||
Terumo Corp. | 11,700 | 417,617 | |||||
Varian Medical Systems, Inc.(2) | 2,320 | 326,122 | |||||
Zimmer Biomet Holdings, Inc. | 15,428 | 2,281,801 | |||||
10,321,488 | |||||||
Health Care Providers and Services — 0.9% | |||||||
1Life Healthcare, Inc.(2) | 1,041 | 22,975 | |||||
Acadia Healthcare Co., Inc.(2) | 2,039 | 65,513 | |||||
Alfresa Holdings Corp. | 12,400 | 250,149 | |||||
Amplifon SpA | 2,559 | 72,604 | |||||
Cardinal Health, Inc. | 13,311 | 681,656 | |||||
Centene Corp.(2) | 9,268 | 582,123 | |||||
CVS Health Corp. | 6,346 | 430,386 | |||||
Encompass Health Corp. | 15,190 | 1,170,086 | |||||
Ensign Group, Inc. (The) | 2,352 | 106,310 | |||||
HealthEquity, Inc.(2) | 1,802 | 119,040 | |||||
Henry Schein, Inc.(2) | 6,883 | 474,514 | |||||
Humana, Inc. | 1,081 | 363,475 | |||||
Korian SA | 2,958 | 135,476 | |||||
McKesson Corp. | 4,090 | 583,275 |
14
Shares/ Principal Amount | Value | ||||||
Pennant Group, Inc. (The)(2) | 1,752 | $ | 46,253 | ||||
Quest Diagnostics, Inc. | 14,013 | 1,550,819 | |||||
R1 RCM, Inc.(2) | 12,451 | 155,638 | |||||
UnitedHealth Group, Inc. | 2,770 | 754,686 | |||||
Universal Health Services, Inc., Class B | 3,856 | 528,696 | |||||
8,093,674 | |||||||
Health Care Technology — 0.2% | |||||||
Cerner Corp. | 16,177 | 1,161,994 | |||||
Health Catalyst, Inc.(2) | 9,353 | 305,375 | |||||
Inspire Medical Systems, Inc.(2) | 804 | 60,139 | |||||
Teladoc Health, Inc.(2) | 1,612 | 163,957 | |||||
1,691,465 | |||||||
Hotels, Restaurants and Leisure — 0.7% | |||||||
Autogrill SpA | 4,412 | 42,877 | |||||
Carnival Corp. | 10,500 | 457,065 | |||||
Chipotle Mexican Grill, Inc.(2) | 2,487 | 2,155,632 | |||||
Churchill Downs, Inc. | 1,068 | 154,198 | |||||
Hilton Worldwide Holdings, Inc. | 4,410 | 475,398 | |||||
Jumbo Interactive Ltd. | 6,775 | 59,842 | |||||
Las Vegas Sands Corp. | 3,400 | 222,054 | |||||
Planet Fitness, Inc., Class A(2) | 8,364 | 675,727 | |||||
Royal Caribbean Cruises Ltd. | 4,128 | 483,306 | |||||
Sodexo SA | 4,712 | 493,313 | |||||
Starbucks Corp. | 5,131 | 435,263 | |||||
5,654,675 | |||||||
Household Durables — 0.2% | |||||||
Bellway plc | 2,633 | 139,137 | |||||
Breville Group Ltd. | 686 | 8,404 | |||||
Cyrela Brazil Realty SA Empreendimentos e Participacoes | 19,500 | 145,660 | |||||
Haseko Corp. | 47,100 | 613,520 | |||||
Man Wah Holdings Ltd. | 86,000 | 59,492 | |||||
Pressance Corp. | 700 | 7,812 | |||||
PulteGroup, Inc. | 8,302 | 370,684 | |||||
Skyline Champion Corp.(2) | 2,921 | 83,979 | |||||
Taylor Wimpey plc | 52,317 | 149,348 | |||||
Tempur Sealy International, Inc.(2) | 959 | 87,864 | |||||
Token Corp. | 1,300 | 90,065 | |||||
TopBuild Corp.(2) | 1,493 | 170,964 | |||||
1,926,929 | |||||||
Household Products — 0.3% | |||||||
Colgate-Palmolive Co. | 8,214 | 606,029 | |||||
Kimberly-Clark Corp. | 2,610 | 373,857 | |||||
Procter & Gamble Co. (The) | 12,215 | 1,522,233 | |||||
Reynolds Consumer Products, Inc.(2) | 2,655 | 75,800 | |||||
2,577,919 | |||||||
Independent Power and Renewable Electricity Producers† | |||||||
Falck Renewables SpA | 9,215 | 59,996 |
15
Shares/ Principal Amount | Value | ||||||
Industrial Conglomerates — 0.1% | |||||||
Honeywell International, Inc. | 3,004 | $ | 520,353 | ||||
Siemens AG | 4,321 | 535,115 | |||||
1,055,468 | |||||||
Insurance — 1.0% | |||||||
Aegon NV | 133,310 | 541,668 | |||||
Aflac, Inc. | 12,870 | 663,706 | |||||
AIA Group Ltd. | 69,800 | 688,158 | |||||
Arthur J. Gallagher & Co. | 1,524 | 156,317 | |||||
Brown & Brown, Inc. | 5,196 | 233,300 | |||||
BRP Group, Inc., Class A(2) | 5,121 | 77,225 | |||||
Chubb Ltd. | 9,629 | 1,463,512 | |||||
eHealth, Inc.(2) | 873 | 91,805 | |||||
Globe Life, Inc. | 1,144 | 119,273 | |||||
Goosehead Insurance, Inc., Class A | 1,998 | 104,256 | |||||
Kinsale Capital Group, Inc. | 1,308 | 149,400 | |||||
NN Group NV | 4,514 | 156,899 | |||||
Palomar Holdings, Inc.(2) | 2,285 | 122,133 | |||||
ProAssurance Corp. | 12,866 | 390,740 | |||||
Progressive Corp. (The) | 4,650 | 375,208 | |||||
Prudential Financial, Inc. | 4,948 | 450,565 | |||||
Reinsurance Group of America, Inc. | 9,367 | 1,349,316 | |||||
Travelers Cos., Inc. (The) | 3,867 | 508,975 | |||||
Zurich Insurance Group AG | 1,352 | 561,971 | |||||
8,204,427 | |||||||
Interactive Media and Services — 1.1% | |||||||
Alphabet, Inc., Class A(2) | 1,619 | 2,319,671 | |||||
Alphabet, Inc., Class C(2) | 1,469 | 2,106,884 | |||||
Facebook, Inc., Class A(2) | 12,744 | 2,573,141 | |||||
Pinterest, Inc., Class A(2) | 6,024 | 132,709 | |||||
Tencent Holdings Ltd. | 22,000 | 1,044,628 | |||||
Twitter, Inc.(2) | 29,378 | 954,197 | |||||
9,131,230 | |||||||
Internet and Direct Marketing Retail — 0.6% | |||||||
Alibaba Group Holding Ltd. ADR(2) | 2,948 | 609,027 | |||||
Amazon.com, Inc.(2) | 2,129 | 4,276,565 | |||||
Etsy, Inc.(2) | 746 | 36,412 | |||||
HelloFresh SE(2) | 4,175 | 99,783 | |||||
Takeaway.com NV(2) | 751 | 70,826 | |||||
Trainline plc(2) | 18,023 | 112,748 | |||||
5,205,361 | |||||||
IT Services — 1.8% | |||||||
Accenture plc, Class A | 3,630 | 744,912 | |||||
Adyen NV(2) | 516 | 474,129 | |||||
Afterpay Ltd.(2) | 3,482 | 88,199 | |||||
Alten SA | 788 | 97,830 | |||||
CACI International, Inc., Class A(2) | 558 | 149,231 |
16
Shares/ Principal Amount | Value | ||||||
Fiserv, Inc.(2) | 20,027 | $ | 2,375,402 | ||||
FleetCor Technologies, Inc.(2) | 2,871 | 905,025 | |||||
GDS Holdings Ltd. ADR(2) | 5,477 | 283,216 | |||||
Genpact Ltd. | 2,159 | 95,579 | |||||
GMO Payment Gateway, Inc. | 800 | 52,018 | |||||
I3 Verticals, Inc., Class A(2) | 2,420 | 78,142 | |||||
International Business Machines Corp. | 2,114 | 303,845 | |||||
Limelight Networks, Inc.(2) | 10,595 | 52,869 | |||||
Mastercard, Inc., Class A | 9,632 | 3,043,134 | |||||
Megaport Ltd.(2) | 6,115 | 45,262 | |||||
NEXTDC Ltd.(2) | 18,707 | 92,950 | |||||
Okta, Inc.(2) | 8,335 | 1,067,297 | |||||
PayPal Holdings, Inc.(2) | 4,071 | 463,646 | |||||
Repay Holdings Corp.(2) | 3,549 | 60,014 | |||||
SCSK Corp. | 1,300 | 69,712 | |||||
SHIFT, Inc.(2) | 1,100 | 74,667 | |||||
Square, Inc., Class A(2) | 28,567 | 2,133,669 | |||||
Visa, Inc., Class A | 13,993 | 2,784,187 | |||||
15,534,935 | |||||||
Leisure Products† | |||||||
BRP, Inc. | 2,660 | 135,794 | |||||
Callaway Golf Co. | 4,124 | 88,336 | |||||
Games Workshop Group plc | 1,060 | 92,813 | |||||
316,943 | |||||||
Life Sciences Tools and Services — 0.3% | |||||||
Agilent Technologies, Inc. | 6,378 | 526,568 | |||||
Bruker Corp. | 9,957 | 492,573 | |||||
Evotec SE(2) | 2,305 | 62,256 | |||||
Lonza Group AG | 1,384 | 569,061 | |||||
Mettler-Toledo International, Inc.(2) | 517 | 391,462 | |||||
NeoGenomics, Inc.(2) | 3,272 | 105,456 | |||||
PRA Health Sciences, Inc.(2) | 1,215 | 123,092 | |||||
Tecan Group AG | 433 | 122,593 | |||||
2,393,061 | |||||||
Machinery — 0.7% | |||||||
ATS Automation Tooling Systems, Inc.(2) | 3,297 | 50,648 | |||||
Caterpillar, Inc. | 2,097 | 275,441 | |||||
Chart Industries, Inc.(2) | 1,941 | 124,185 | |||||
Cummins, Inc. | 6,226 | 995,973 | |||||
FANUC Corp. | 1,000 | 181,931 | |||||
Georg Fischer AG | 76 | 74,559 | |||||
Graco, Inc. | 5,297 | 281,536 | |||||
Harmonic Drive Systems, Inc. | 1,200 | 53,785 | |||||
IMI plc | 32,514 | 471,556 | |||||
Ingersoll-Rand plc | 7,935 | 1,057,180 | |||||
Kennametal, Inc. | 2,123 | 66,429 | |||||
Kornit Digital Ltd.(2) | 2,822 | 117,903 |
17
Shares/ Principal Amount | Value | ||||||
Nabtesco Corp. | 3,000 | $ | 85,624 | ||||
Navistar International Corp.(2) | 2,170 | 79,465 | |||||
PACCAR, Inc. | 6,084 | 451,494 | |||||
Parker-Hannifin Corp. | 3,818 | 747,144 | |||||
RBC Bearings, Inc.(2) | 757 | 117,721 | |||||
Rotork plc | 11,869 | 47,449 | |||||
Valmet Oyj | 2,617 | 56,809 | |||||
Westinghouse Air Brake Technologies Corp. | 5,150 | 380,379 | |||||
5,717,211 | |||||||
Media — 0.2% | |||||||
Atresmedia Corp. de Medios de Comunicacion SA | 21,379 | 72,477 | |||||
Comcast Corp., Class A | 13,626 | 588,507 | |||||
Fox Corp., Class B(2) | 9,140 | 332,056 | |||||
Future plc | 2,591 | 43,727 | |||||
Nippon Television Holdings, Inc. | 22,100 | 298,299 | |||||
Stroeer SE & Co. KGaA | 944 | 75,109 | |||||
TV Asahi Holdings Corp. | 8,200 | 156,453 | |||||
1,566,628 | |||||||
Metals and Mining† | |||||||
Saracen Mineral Holdings Ltd.(2) | 16,955 | 45,325 | |||||
Mortgage Real Estate Investment Trusts (REITs)† | |||||||
PennyMac Mortgage Investment Trust | 8,399 | 195,277 | |||||
Multi-Utilities — 0.2% | |||||||
Ameren Corp. | 6,400 | 525,120 | |||||
NorthWestern Corp. | 7,507 | 577,814 | |||||
WEC Energy Group, Inc. | 3,373 | 336,929 | |||||
1,439,863 | |||||||
Multiline Retail — 0.2% | |||||||
Magazine Luiza SA | 43,012 | 560,423 | |||||
Pan Pacific International Holdings Corp. | 21,500 | 346,704 | |||||
Target Corp. | 5,440 | 602,426 | |||||
1,509,553 | |||||||
Oil, Gas and Consumable Fuels — 0.9% | |||||||
Callon Petroleum Co.(2) | 16,640 | 49,920 | |||||
Chevron Corp. | 5,355 | 573,735 | |||||
ConocoPhillips | 28,236 | 1,678,065 | |||||
Devon Energy Corp. | 6,661 | 144,677 | |||||
Eni SpA | 38,647 | 542,062 | |||||
Gazprom PJSC ADR | 31,992 | 224,155 | |||||
Gazprom PJSC | 54,573 | 193,399 | |||||
Gaztransport Et Technigaz SA | 293 | 29,604 | |||||
Gibson Energy, Inc. | 4,700 | 94,327 | |||||
Imperial Oil Ltd. | 11,432 | 271,072 | |||||
Neste Oyj | 13,043 | 518,979 | |||||
Noble Energy, Inc. | 18,201 | 359,834 | |||||
ONEOK, Inc. | 7,982 | 597,612 | |||||
PetroChina Co. Ltd., H Shares | 780,000 | 343,546 |
18
Shares/ Principal Amount | Value | ||||||
Phillips 66 | 2,821 | $ | 257,755 | ||||
Saras SpA | 189,173 | 254,047 | |||||
Surgutneftegas PJSC Preference Shares | 975,308 | 549,927 | |||||
TOTAL SA ADR | 17,325 | 841,822 | |||||
Valero Energy Corp. | 2,216 | 186,831 | |||||
7,711,369 | |||||||
Paper and Forest Products — 0.1% | |||||||
Boise Cascade Co. | 1,284 | 46,481 | |||||
Canfor Corp.(2) | 8,712 | 78,272 | |||||
Mondi plc | 45,054 | 922,295 | |||||
1,047,048 | |||||||
Personal Products — 0.1% | |||||||
Estee Lauder Cos., Inc. (The), Class A | 1,010 | 197,112 | |||||
Fancl Corp. | 1,600 | 42,080 | |||||
Inter Parfums, Inc. | 683 | 47,202 | |||||
Ontex Group NV | 9,680 | 175,041 | |||||
Shiseido Co. Ltd. | 5,100 | 329,575 | |||||
791,010 | |||||||
Pharmaceuticals — 0.9% | |||||||
AstraZeneca plc | 6,099 | 596,317 | |||||
Bristol-Myers Squibb Co. | 10,905 | 686,470 | |||||
Catalent, Inc.(2) | 7,825 | 478,107 | |||||
Dechra Pharmaceuticals plc | 1,763 | 66,322 | |||||
GlaxoSmithKline plc | 26,732 | 627,670 | |||||
Horizon Therapeutics plc(2) | 2,181 | 75,223 | |||||
Johnson & Johnson | 7,235 | 1,077,074 | |||||
Merck & Co., Inc. | 10,928 | 933,688 | |||||
MyoKardia, Inc.(2) | 750 | 51,022 | |||||
Novartis AG | 5,879 | 556,121 | |||||
Novo Nordisk A/S, B Shares | 7,485 | 456,926 | |||||
Optinose, Inc.(2) | 2,397 | 18,769 | |||||
Pfizer, Inc. | 18,131 | 675,198 | |||||
Reata Pharmaceuticals, Inc., Class A(2) | 206 | 45,071 | |||||
Sanofi | 2,317 | 223,461 | |||||
Sanofi ADR | 11,673 | 563,456 | |||||
Zoetis, Inc. | 2,443 | 327,875 | |||||
7,458,770 | |||||||
Professional Services — 0.6% | |||||||
ASGN, Inc.(2) | 2,031 | 137,478 | |||||
BeNEXT Group, Inc. | 3,000 | 30,923 | |||||
Capita plc(2) | 260,078 | 498,007 | |||||
CoStar Group, Inc.(2) | 364 | 237,688 | |||||
IHS Markit Ltd.(2) | 13,265 | 1,046,078 | |||||
Nihon M&A Center, Inc. | 3,000 | 86,286 | |||||
Recruit Holdings Co. Ltd. | 16,400 | 641,408 | |||||
Robert Half International, Inc. | 4,983 | 289,861 | |||||
Teleperformance | 2,420 | 608,230 |
19
Shares/ Principal Amount | Value | ||||||
TriNet Group, Inc.(2) | 1,334 | $ | 76,118 | ||||
UT Group Co. Ltd. | 3,800 | 94,600 | |||||
Verisk Analytics, Inc. | 8,610 | 1,398,867 | |||||
5,145,544 | |||||||
Real Estate Management and Development — 0.5% | |||||||
Altus Group Ltd. | 1,695 | 55,522 | |||||
Aroundtown SA | 19,752 | 187,084 | |||||
Ayala Land, Inc. | 153,030 | 124,349 | |||||
CapitaLand Ltd. | 45,700 | 120,322 | |||||
CBRE Group, Inc., Class A(2) | 2,754 | 168,132 | |||||
Colliers International Group, Inc. | 1,010 | 81,890 | |||||
Corp. Inmobiliaria Vesta SAB de CV | 82,209 | 150,100 | |||||
Fabege AB | 14,339 | 245,700 | |||||
Fastighets AB Balder, B Shares(2) | 2,582 | 122,482 | |||||
FirstService Corp. | 1,884 | 185,368 | |||||
Longfor Group Holdings Ltd. | 51,000 | 214,919 | |||||
Mitsubishi Estate Co. Ltd. | 21,200 | 415,265 | |||||
Mitsui Fudosan Co. Ltd. | 15,600 | 412,251 | |||||
New World Development Co. Ltd. | 89,000 | 110,975 | |||||
Nexity SA | 1,257 | 60,756 | |||||
Open House Co. Ltd. | 1,700 | 45,392 | |||||
Samhallsbyggnadsbolaget i Norden AB | 31,328 | 77,261 | |||||
Shimao Property Holdings Ltd. | 40,000 | 129,197 | |||||
Shurgard Self Storage SA | 2,371 | 86,227 | |||||
Sun Hung Kai Properties Ltd. | 19,500 | 270,295 | |||||
Times China Holdings Ltd. | 73,000 | 127,598 | |||||
VGP NV | 934 | 105,086 | |||||
Vonovia SE | 7,569 | 432,442 | |||||
3,928,613 | |||||||
Road and Rail — 0.3% | |||||||
ArcBest Corp. | 2,667 | 59,501 | |||||
Heartland Express, Inc. | 23,627 | 441,589 | |||||
J.B. Hunt Transport Services, Inc. | 4,921 | 531,124 | |||||
Localiza Rent a Car SA | 27,785 | 344,961 | |||||
Norfolk Southern Corp. | 2,287 | 476,176 | |||||
Sixt SE | 508 | 51,431 | |||||
TFI International, Inc. | 2,646 | 84,734 | |||||
Union Pacific Corp. | 2,167 | 388,803 | |||||
2,378,319 | |||||||
Semiconductors and Semiconductor Equipment — 1.0% | |||||||
Advanced Micro Devices, Inc.(2) | 18,169 | 853,943 | |||||
Applied Materials, Inc. | 30,983 | 1,796,704 | |||||
ASML Holding NV | 1,587 | 445,082 | |||||
Broadcom, Inc. | 1,458 | 444,923 | |||||
Entegris, Inc. | 985 | 50,984 | |||||
Inphi Corp.(2) | 1,095 | 83,176 | |||||
Intel Corp. | 9,129 | 583,617 |
20
Shares/ Principal Amount | Value | ||||||
Lasertec Corp. | 1,800 | $ | 88,978 | ||||
Lattice Semiconductor Corp.(2) | 4,206 | 78,232 | |||||
Marvell Technology Group Ltd. | 12,362 | 297,182 | |||||
Maxim Integrated Products, Inc. | 14,892 | 895,307 | |||||
Microchip Technology, Inc. | 3,813 | 371,691 | |||||
Micron Technology, Inc.(2) | 7,545 | 400,564 | |||||
MKS Instruments, Inc. | 465 | 48,741 | |||||
Monolithic Power Systems, Inc. | 400 | 68,468 | |||||
Nova Measuring Instruments Ltd.(2) | 1,692 | 64,364 | |||||
NVIDIA Corp. | 2,285 | 540,243 | |||||
Power Integrations, Inc. | 816 | 79,699 | |||||
Silicon Laboratories, Inc.(2) | 453 | 44,534 | |||||
SOITEC(2) | 721 | 68,214 | |||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 55,000 | 588,375 | |||||
Texas Instruments, Inc. | 2,007 | 242,145 | |||||
Xilinx, Inc. | 1,826 | 154,260 | |||||
8,289,426 | |||||||
Software — 2.1% | |||||||
Adobe, Inc.(2) | 1,245 | 437,169 | |||||
Atlassian Corp. plc, Class A(2) | 3,904 | 573,888 | |||||
Avalara, Inc.(2) | 952 | 81,053 | |||||
Avast plc | 24,293 | 136,018 | |||||
AVEVA Group plc | 1,295 | 83,987 | |||||
Bottomline Technologies de, Inc.(2) | 1,527 | 81,847 | |||||
Cadence Design Systems, Inc.(2) | 11,504 | 829,554 | |||||
Coupa Software, Inc.(2) | 3,007 | 484,578 | |||||
Dassault Systemes SE | 2,449 | 425,039 | |||||
Descartes Systems Group, Inc. (The)(2) | 2,069 | 92,756 | |||||
DocuSign, Inc.(2) | 17,272 | 1,356,025 | |||||
Elastic NV(2) | 541 | 35,100 | |||||
Envestnet, Inc.(2) | 1,906 | 150,326 | |||||
Fair Isaac Corp.(2) | 157 | 63,174 | |||||
Five9, Inc.(2) | 1,895 | 135,928 | |||||
Globant SA(2) | 853 | 104,663 | |||||
Microsoft Corp. | 23,210 | 3,951,038 | |||||
Model N, Inc.(2) | 2,744 | 85,585 | |||||
Palo Alto Networks, Inc.(2) | 2,203 | 517,220 | |||||
Paycom Software, Inc.(2) | 2,180 | 693,589 | |||||
Paylocity Holding Corp.(2) | 902 | 127,985 | |||||
Proofpoint, Inc.(2) | 4,189 | 514,451 | |||||
Rapid7, Inc.(2) | 2,542 | 150,944 | |||||
RingCentral, Inc., Class A(2) | 9,261 | 1,903,877 | |||||
salesforce.com, Inc.(2) | 16,284 | 2,968,736 | |||||
Slack Technologies, Inc., Class A(2) | 17,086 | 354,193 | |||||
Splunk, Inc.(2) | 10,638 | 1,651,656 | |||||
TeamViewer AG(2) | 2,054 | 73,561 |
21
Shares/ Principal Amount | Value | ||||||
Temenos AG(2) | 2,023 | $ | 325,615 | ||||
18,389,555 | |||||||
Specialty Retail — 0.7% | |||||||
Advance Auto Parts, Inc. | 5,201 | 685,232 | |||||
Best Buy Co., Inc. | 1,007 | 85,283 | |||||
Boot Barn Holdings, Inc.(2) | 2,892 | 121,377 | |||||
Burlington Stores, Inc.(2) | 3,408 | 741,138 | |||||
Five Below, Inc.(2) | 4,718 | 534,172 | |||||
Floor & Decor Holdings, Inc., Class A(2) | 9,407 | 463,859 | |||||
Home Depot, Inc. (The) | 4,721 | 1,076,860 | |||||
JD Sports Fashion plc | 8,642 | 94,078 | |||||
Kingfisher plc | 302,408 | 818,690 | |||||
National Vision Holdings, Inc.(2) | 3,044 | 103,861 | |||||
Ross Stores, Inc. | 2,960 | 332,082 | |||||
TJX Cos., Inc. (The) | 10,399 | 613,957 | |||||
5,670,589 | |||||||
Technology Hardware, Storage and Peripherals — 0.4% | |||||||
Apple, Inc. | 9,230 | 2,856,778 | |||||
HP, Inc. | 16,838 | 358,986 | |||||
3,215,764 | |||||||
Textiles, Apparel and Luxury Goods — 0.4% | |||||||
ANTA Sports Products Ltd. | 27,000 | 233,240 | |||||
Burberry Group plc | 13,323 | 342,167 | |||||
Canada Goose Holdings, Inc.(2) | 10,115 | 303,450 | |||||
Crocs, Inc.(2) | 2,631 | 99,741 | |||||
lululemon athletica, Inc.(2) | 1,843 | 441,196 | |||||
NIKE, Inc., Class B | 14,546 | 1,400,780 | |||||
Puma SE | 5,272 | 423,557 | |||||
VF Corp. | 3,660 | 303,670 | |||||
3,547,801 | |||||||
Thrifts and Mortgage Finance — 0.1% | |||||||
Aruhi Corp. | 4,500 | 73,313 | |||||
Capitol Federal Financial, Inc. | 33,099 | 436,245 | |||||
NMI Holdings, Inc., Class A(2) | 3,542 | 113,060 | |||||
622,618 | |||||||
Trading Companies and Distributors — 0.2% | |||||||
AerCap Holdings NV(2) | 6,032 | 341,471 | |||||
Applied Industrial Technologies, Inc. | 1,253 | 80,906 | |||||
Diploma plc | 2,583 | 66,390 | |||||
Grafton Group plc | 8,879 | 108,202 | |||||
IMCD NV | 888 | 76,583 | |||||
MonotaRO Co. Ltd. | 13,500 | 327,212 | |||||
MSC Industrial Direct Co., Inc., Class A | 6,546 | 445,586 | |||||
Seven Group Holdings Ltd. | 10,359 | 137,810 | |||||
SiteOne Landscape Supply, Inc.(2) | 894 | 86,316 | |||||
Univar Solutions, Inc.(2) | 14,853 | 320,082 |
22
Shares/ Principal Amount | Value | ||||||
Yamazen Corp. | 7,600 | $ | 70,304 | ||||
2,060,862 | |||||||
Water Utilities† | |||||||
SJW Group | 737 | 54,059 | |||||
Wireless Telecommunication Services† | |||||||
Rogers Communications, Inc., Class B | 6,179 | 309,370 | |||||
TOTAL COMMON STOCKS (Cost $208,248,833) | 278,681,097 | ||||||
CORPORATE BONDS — 7.5% | |||||||
Aerospace and Defense — 0.1% | |||||||
Arconic, Inc., 5.40%, 4/15/21 | $ | 25,000 | 25,723 | ||||
Arconic, Inc., 5.125%, 10/1/24 | 115,000 | 124,254 | |||||
Bombardier, Inc., 8.75%, 12/1/21(3) | 50,000 | 53,613 | |||||
Bombardier, Inc., 5.75%, 3/15/22(3) | 30,000 | 29,978 | |||||
Bombardier, Inc., 6.00%, 10/15/22(3) | 35,000 | 34,388 | |||||
TransDigm, Inc., 6.375%, 6/15/26 | 50,000 | 52,780 | |||||
United Technologies Corp., 6.05%, 6/1/36 | 140,000 | 196,045 | |||||
516,781 | |||||||
Air Freight and Logistics† | |||||||
XPO Logistics, Inc., 6.50%, 6/15/22(3) | 15,000 | 15,289 | |||||
Airlines† | |||||||
American Airlines Group, Inc., 4.625%, 3/1/20(3) | 85,000 | 85,191 | |||||
United Airlines Holdings, Inc., 5.00%, 2/1/24 | 85,000 | 90,419 | |||||
175,610 | |||||||
Auto Components† | |||||||
American Axle & Manufacturing, Inc., 6.625%, 10/15/22 | 9,000 | 9,138 | |||||
ZF North America Capital, Inc., 4.75%, 4/29/25(3) | 105,000 | 112,658 | |||||
121,796 | |||||||
Automobiles — 0.2% | |||||||
BMW Finance NV, MTN, 1.00%, 2/15/22 | EUR | 10,000 | 11,363 | ||||
BMW Finance NV, MTN, 0.875%, 4/3/25 | EUR | 50,000 | 58,068 | ||||
Ford Motor Credit Co. LLC, 5.875%, 8/2/21 | $ | 850,000 | 892,599 | ||||
General Motors Co., 5.00%, 4/1/35 | 70,000 | 75,250 | |||||
General Motors Co., 5.15%, 4/1/38 | 160,000 | 170,684 | |||||
General Motors Financial Co., Inc., 3.20%, 7/6/21 | 430,000 | 436,888 | |||||
1,644,852 | |||||||
Banks — 1.3% | |||||||
Akbank T.A.S., 5.00%, 10/24/22 | 130,000 | 134,264 | |||||
Avi Funding Co. Ltd., 3.80%, 9/16/25(3) | 255,000 | 273,053 | |||||
Banco Santander SA, MTN, 2.50%, 3/18/25 | EUR | 200,000 | 241,639 | ||||
Banistmo SA, 3.65%, 9/19/22 | $ | 280,000 | 287,090 | ||||
Bank of America Corp., 4.10%, 7/24/23 | 110,000 | 118,476 | |||||
Bank of America Corp., MTN, 5.00%, 1/21/44 | 90,000 | 120,265 | |||||
Bank of America Corp., MTN, VRN, 4.44%, 1/20/48 | 80,000 | 100,802 | |||||
Bank of America Corp., VRN, 3.42%, 12/20/28 | 42,000 | 45,168 | |||||
Bank of Montreal, MTN, 3.30%, 2/5/24 | 372,000 | 392,688 | |||||
Barclays Bank plc, 5.14%, 10/14/20 | 100,000 | 102,190 |
23
Shares/ Principal Amount | Value | ||||||
Barclays Bank plc, MTN, 6.625%, 3/30/22 | EUR | 50,000 | $ | 63,071 | |||
Barclays plc, MTN, VRN, 1.375%, 1/24/26 | EUR | 100,000 | 115,256 | ||||
Barclays plc, MTN, VRN, 2.00%, 2/7/28 | EUR | 100,000 | 114,084 | ||||
BPCE SA, VRN, 2.75%, 7/8/26 | EUR | 100,000 | 114,921 | ||||
CaixaBank SA, MTN, VRN, 2.75%, 7/14/28 | EUR | 200,000 | 235,428 | ||||
CIT Group, Inc., 5.00%, 8/1/23 | $ | 50,000 | 53,729 | ||||
Citigroup, Inc., 2.75%, 4/25/22 | 230,000 | 234,288 | |||||
Citigroup, Inc., VRN, 3.52%, 10/27/28 | 340,000 | 366,220 | |||||
Co-Operative Bank plc (The), 4.75%, 11/11/21 (Secured) | GBP | 200,000 | 277,438 | ||||
Commerzbank AG, MTN, 4.00%, 3/23/26 | EUR | 150,000 | 192,607 | ||||
Cooperatieve Rabobank UA, VRN, 2.50%, 5/26/26 | EUR | 150,000 | 171,481 | ||||
Credit Agricole SA, MTN, 7.375%, 12/18/23 | GBP | 100,000 | 161,418 | ||||
European Financial Stability Facility, MTN, 2.125%, 2/19/24 | EUR | 399,000 | 489,264 | ||||
European Financial Stability Facility, MTN, 2.35%, 7/29/44 | EUR | 60,000 | 98,640 | ||||
European Investment Bank, MTN, 2.25%, 10/14/22 | EUR | 285,000 | 340,350 | ||||
Fifth Third BanCorp., 4.30%, 1/16/24 | $ | 120,000 | 129,961 | ||||
HSBC Bank plc, MTN, VRN, 5.375%, 11/4/30 | GBP | 50,000 | 78,266 | ||||
HSBC Holdings plc, 2.95%, 5/25/21 | $ | 200,000 | 202,997 | ||||
HSBC Holdings plc, 4.30%, 3/8/26 | 400,000 | 444,101 | |||||
HSBC Holdings plc, 2.625%, 8/16/28 | GBP | 120,000 | 170,529 | ||||
HSBC Holdings plc, VRN, 3.26%, 3/13/23 | $ | 210,000 | 215,544 | ||||
Intercorp Financial Services, Inc., 4.125%, 10/19/27(3) | 305,000 | 319,441 | |||||
Intesa Sanpaolo SpA, MTN, 6.625%, 9/13/23 | EUR | 220,000 | 291,438 | ||||
JPMorgan Chase & Co., 3.875%, 9/10/24 | $ | 780,000 | 843,421 | ||||
JPMorgan Chase & Co., 3.125%, 1/23/25 | 320,000 | 338,060 | |||||
JPMorgan Chase & Co., VRN, 3.90%, 1/23/49 | 160,000 | 187,743 | |||||
KEB Hana Bank, MTN, 4.375%, 9/30/24 | 204,000 | 219,863 | |||||
Kreditanstalt fuer Wiederaufbau, 4.625%, 1/4/23 | EUR | 300,000 | 383,704 | ||||
Lloyds Bank plc, MTN, 7.625%, 4/22/25 | GBP | 120,000 | 204,161 | ||||
PNC Bank N.A., VRN, 2.03%, 12/9/22 | $ | 250,000 | 251,349 | ||||
Royal Bank of Scotland Group plc, 6.125%, 12/15/22 | 40,000 | 43,859 | |||||
Santander UK plc, MTN, 5.125%, 4/14/21 | GBP | 100,000 | 138,559 | ||||
U.S. Bancorp, MTN, 3.60%, 9/11/24 | $ | 310,000 | 334,184 | ||||
UniCredit SpA, MTN, VRN, 5.75%, 10/28/25 | EUR | 100,000 | 115,246 | ||||
Wells Fargo & Co., 4.125%, 8/15/23 | $ | 300,000 | 321,920 | ||||
Wells Fargo & Co., 3.00%, 4/22/26 | 220,000 | 230,851 | |||||
Wells Fargo & Co., MTN, 2.60%, 7/22/20 | 280,000 | 281,068 | |||||
Wells Fargo & Co., MTN, 4.65%, 11/4/44 | 175,000 | 212,062 | |||||
Woori Bank, MTN, 4.75%, 4/30/24 | 153,000 | 166,105 | |||||
10,968,262 | |||||||
Beverages — 0.1% | |||||||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc., 4.90%, 2/1/46 | 370,000 | 462,889 | |||||
Anheuser-Busch InBev SA, MTN, 1.50%, 3/17/25 | EUR | 50,000 | 59,814 | ||||
522,703 | |||||||
Biotechnology — 0.1% | |||||||
AbbVie, Inc., 3.60%, 5/14/25 | $ | 70,000 | 74,852 |
24
Shares/ Principal Amount | Value | ||||||
AbbVie, Inc., 4.40%, 11/6/42 | $ | 240,000 | $ | 272,164 | |||
Amgen, Inc., 4.66%, 6/15/51 | 219,000 | 265,918 | |||||
Gilead Sciences, Inc., 4.40%, 12/1/21 | 100,000 | 104,366 | |||||
Gilead Sciences, Inc., 3.65%, 3/1/26 | 390,000 | 424,074 | |||||
1,141,374 | |||||||
Building Products† | |||||||
Builders FirstSource, Inc., 5.625%, 9/1/24(3) | 78,000 | 81,283 | |||||
Standard Industries, Inc., 6.00%, 10/15/25(3) | 80,000 | 83,699 | |||||
164,982 | |||||||
Capital Markets — 0.2% | |||||||
Criteria Caixa SAU, MTN, 1.50%, 5/10/23 | EUR | 100,000 | 115,443 | ||||
Goldman Sachs Group, Inc. (The), 5.50%, 10/12/21 | GBP | 150,000 | 212,454 | ||||
Goldman Sachs Group, Inc. (The), 3.50%, 11/16/26 | $ | 280,000 | 298,961 | ||||
MDGH - GMTN B.V., 3.25%, 4/28/22(3) | 102,000 | 104,460 | |||||
Morgan Stanley, MTN, 3.70%, 10/23/24 | 250,000 | 269,726 | |||||
Morgan Stanley, MTN, 4.00%, 7/23/25 | 230,000 | 252,894 | |||||
Morgan Stanley, MTN, VRN, 2.70%, 1/22/31 | 350,000 | 356,484 | |||||
SURA Asset Management SA, 4.375%, 4/11/27 | 105,000 | 113,700 | |||||
1,724,122 | |||||||
Chemicals† | |||||||
CF Industries, Inc., 3.45%, 6/1/23 | 80,000 | 82,399 | |||||
Element Solutions, Inc., 5.875%, 12/1/25(3) | 40,000 | 41,444 | |||||
Equate Petrochemical BV, 4.25%, 11/3/26(3) | 82,000 | 88,597 | |||||
Huntsman International LLC, 5.125%, 11/15/22 | 85,000 | 90,903 | |||||
Olin Corp., 5.125%, 9/15/27 | 60,000 | 62,670 | |||||
Tronox Finance plc, 5.75%, 10/1/25(3) | 30,000 | 29,713 | |||||
395,726 | |||||||
Commercial Services and Supplies — 0.1% | |||||||
ADT Security Corp. (The), 6.25%, 10/15/21 | 100,000 | 106,018 | |||||
Nielsen Finance LLC / Nielsen Finance Co., 5.00%, 4/15/22(3) | 80,000 | 80,542 | |||||
Prime Security Services Borrower LLC / Prime Finance, Inc., 9.25%, 5/15/23(3) | 71,000 | 74,506 | |||||
Republic Services, Inc., 3.55%, 6/1/22 | 175,000 | 181,415 | |||||
RR Donnelley & Sons Co., 6.00%, 4/1/24 | 65,000 | 66,489 | |||||
508,970 | |||||||
Communications Equipment† | |||||||
CommScope Technologies LLC, 6.00%, 6/15/25(3) | 70,000 | 66,982 | |||||
Construction Materials† | |||||||
Cemex SAB de CV, 6.125%, 5/5/25 | 205,000 | 212,092 | |||||
Consumer Finance — 0.1% | |||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 5.00%, 10/1/21 | 180,000 | 188,945 | |||||
Ally Financial, Inc., 8.00%, 11/1/31 | 45,000 | 63,558 | |||||
Capital One Financial Corp., 3.80%, 1/31/28 | 70,000 | 76,332 | |||||
Navient Corp., 5.00%, 10/26/20 | 100,000 | 101,515 | |||||
Navient Corp., 5.50%, 1/25/23 | 105,000 | 109,988 |
25
Shares/ Principal Amount | Value | ||||||
Park Aerospace Holdings Ltd., 5.25%, 8/15/22(3) | $ | 80,000 | $ | 85,803 | |||
626,141 | |||||||
Containers and Packaging — 0.1% | |||||||
Ball Corp., 5.25%, 7/1/25 | 35,000 | 39,273 | |||||
Berry Global, Inc., 5.50%, 5/15/22 | 60,000 | 60,600 | |||||
Berry Global, Inc., 5.125%, 7/15/23 | 50,000 | 51,000 | |||||
Crown Americas LLC / Crown Americas Capital Corp. IV, 4.50%, 1/15/23 | 155,000 | 163,358 | |||||
Mauser Packaging Solutions Holding Co., 5.50%, 4/15/24(3) | 30,000 | 30,989 | |||||
Owens-Brockway Glass Container, Inc., 5.875%, 8/15/23(3) | 20,000 | 21,417 | |||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 5.125%, 7/15/23(3) | 30,000 | 30,775 | |||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 7.00%, 7/15/24(3) | 160,000 | 165,500 | |||||
Sealed Air Corp., 5.125%, 12/1/24(3) | 80,000 | 86,600 | |||||
649,512 | |||||||
Diversified Financial Services — 0.3% | |||||||
Berkshire Hathaway, Inc., 2.75%, 3/15/23 | 90,000 | 93,117 | |||||
Fiore Capital LLC, VRDN, 1.60%, 2/7/20 (LOC: Wells Fargo Bank N.A.) | 2,500,000 | 2,500,000 | |||||
Voya Financial, Inc., 5.70%, 7/15/43 | 150,000 | 205,101 | |||||
Voya Financial, Inc., VRN, 5.65%, 5/15/53 | 75,000 | 79,819 | |||||
2,878,037 | |||||||
Diversified Telecommunication Services — 0.4% | |||||||
Altice France SA, 7.375%, 5/1/26(3) | 175,000 | 186,489 | |||||
AT&T, Inc., 3.875%, 8/15/21 | 100,000 | 103,203 | |||||
AT&T, Inc., 2.95%, 7/15/26 | 240,000 | 249,803 | |||||
AT&T, Inc., 3.80%, 2/15/27 | 180,000 | 196,506 | |||||
AT&T, Inc., 2.60%, 12/17/29 | EUR | 120,000 | 156,350 | ||||
AT&T, Inc., 5.15%, 11/15/46 | $ | 291,000 | 355,905 | ||||
CenturyLink, Inc., 5.625%, 4/1/20 | 130,000 | 130,642 | |||||
CenturyLink, Inc., 5.80%, 3/15/22 | 40,000 | 42,233 | |||||
Deutsche Telekom International Finance BV, MTN, 1.25%, 10/6/23 | GBP | 150,000 | 199,998 | ||||
Deutsche Telekom International Finance BV, MTN, 0.875%, 1/30/24 | EUR | 40,000 | 46,044 | ||||
Hughes Satellite Systems Corp., 5.25%, 8/1/26 | $ | 100,000 | 108,775 | ||||
Inmarsat Finance plc, 4.875%, 5/15/22(3) | 50,000 | 50,719 | |||||
Level 3 Financing, Inc., 5.375%, 8/15/22 | 92,000 | 92,391 | |||||
Level 3 Financing, Inc., 5.375%, 5/1/25 | 50,000 | 51,729 | |||||
Ooredoo International Finance Ltd., 3.75%, 6/22/26(3) | 153,000 | 162,625 | |||||
Orange SA, 4.125%, 9/14/21 | 180,000 | 187,334 | |||||
Orange SA, MTN, VRN, 4.00%, 10/1/21 | EUR | 150,000 | 176,713 | ||||
Telefonica Europe BV, VRN, 5.875%, 3/31/24 | EUR | 100,000 | 128,765 | ||||
Turk Telekomunikasyon AS, 4.875%, 6/19/24(3) | $ | 205,000 | 210,547 | ||||
Verizon Communications, Inc., 4.75%, 11/1/41 | 100,000 | 125,018 | |||||
Verizon Communications, Inc., 5.01%, 8/21/54 | 90,000 | 122,490 | |||||
Zayo Group LLC / Zayo Capital, Inc., 6.00%, 4/1/23 | 80,000 | 81,867 | |||||
3,166,146 |
26
Shares/ Principal Amount | Value | ||||||
Electric Utilities — 0.2% | |||||||
Berkshire Hathaway Energy Co., 3.50%, 2/1/25 | $ | 90,000 | $ | 96,487 | |||
Berkshire Hathaway Energy Co., 3.80%, 7/15/48 | 110,000 | 123,769 | |||||
Duke Energy Florida LLC, 6.35%, 9/15/37 | 70,000 | 103,561 | |||||
Duke Energy Florida LLC, 3.85%, 11/15/42 | 130,000 | 147,395 | |||||
Duke Energy Progress LLC, 4.15%, 12/1/44 | 59,000 | 69,995 | |||||
Exelon Corp., 4.45%, 4/15/46 | 100,000 | 117,940 | |||||
Exelon Generation Co. LLC, 4.25%, 6/15/22 | 19,000 | 19,939 | |||||
FirstEnergy Corp., 4.25%, 3/15/23 | 90,000 | 95,940 | |||||
FirstEnergy Corp., 4.85%, 7/15/47 | 50,000 | 61,846 | |||||
Florida Power & Light Co., 3.95%, 3/1/48 | 90,000 | 107,094 | |||||
Georgia Power Co., 4.30%, 3/15/42 | 60,000 | 69,543 | |||||
Greenko Investment Co., 4.875%, 8/16/23(3) | 102,000 | 102,175 | |||||
Israel Electric Corp. Ltd., 6.875%, 6/21/23(3) | 102,000 | 116,252 | |||||
MidAmerican Energy Co., 4.40%, 10/15/44 | 80,000 | 98,503 | |||||
NextEra Energy Operating Partners LP, 4.50%, 9/15/27(3) | 40,000 | 41,807 | |||||
Pampa Energia SA, 7.50%, 1/24/27 | 204,000 | 177,888 | |||||
Progress Energy, Inc., 3.15%, 4/1/22 | 110,000 | 112,563 | |||||
Southern Co. Gas Capital Corp., 3.95%, 10/1/46 | 50,000 | 54,681 | |||||
Southwestern Public Service Co., 3.70%, 8/15/47 | 60,000 | 67,839 | |||||
SSE plc, VRN, 2.375%, 4/1/21 | EUR | 200,000 | 227,078 | ||||
Xcel Energy, Inc., 3.35%, 12/1/26 | $ | 70,000 | 75,307 | ||||
2,087,602 | |||||||
Electronic Equipment, Instruments and Components† | |||||||
Sensata Technologies BV, 5.00%, 10/1/25(3) | 20,000 | 21,692 | |||||
Energy Equipment and Services† | |||||||
Precision Drilling Corp., 5.25%, 11/15/24 | 65,000 | 58,229 | |||||
Entertainment† | |||||||
AMC Entertainment Holdings, Inc., 5.75%, 6/15/25 | 50,000 | 44,546 | |||||
Cinemark USA, Inc., 5.125%, 12/15/22 | 60,000 | 60,769 | |||||
Walt Disney Co. (The), 4.75%, 9/15/44 | 57,000 | 73,652 | |||||
178,967 | |||||||
Equity Real Estate Investment Trusts (REITs) — 0.1% | |||||||
Boston Properties LP, 3.65%, 2/1/26 | 180,000 | 195,298 | |||||
Equinix, Inc., 5.375%, 5/15/27 | 70,000 | 75,995 | |||||
Essex Portfolio LP, 3.25%, 5/1/23 | 50,000 | 51,948 | |||||
GLP Capital LP / GLP Financing II, Inc., 5.375%, 11/1/23 | 30,000 | 33,028 | |||||
Iron Mountain, Inc., 5.75%, 8/15/24 | 95,000 | 96,068 | |||||
Iron Mountain, Inc., 4.875%, 9/15/27(3) | 80,000 | 82,586 | |||||
Kilroy Realty LP, 3.80%, 1/15/23 | 140,000 | 146,593 | |||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 5.625%, 5/1/24 | 90,000 | 98,359 | |||||
SBA Communications Corp., 4.875%, 7/15/22 | 75,000 | 76,086 | |||||
Service Properties Trust, 4.65%, 3/15/24 | 210,000 | 221,379 | |||||
1,077,340 | |||||||
Food and Staples Retailing† | |||||||
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 6.625%, 6/15/24 | 110,000 | 114,674 |
27
Shares/ Principal Amount | Value | ||||||
Kroger Co. (The), 3.875%, 10/15/46 | $ | 90,000 | $ | 91,633 | |||
Tesco plc, MTN, 5.00%, 3/24/23 | GBP | 50,000 | 73,145 | ||||
Walmart, Inc., 2.55%, 4/11/23 | $ | 44,000 | 45,288 | ||||
324,740 | |||||||
Food Products — 0.1% | |||||||
B&G Foods, Inc., 5.25%, 4/1/25 | 70,000 | 71,608 | |||||
JBS USA LUX SA / JBS USA Finance, Inc., 5.875%, 7/15/24(3) | 50,000 | 51,312 | |||||
JBS USA LUX SA / JBS USA Finance, Inc., 5.75%, 6/15/25(3) | 35,000 | 36,345 | |||||
Lamb Weston Holdings, Inc., 4.625%, 11/1/24(3) | 130,000 | 136,771 | |||||
MHP SE, 7.75%, 5/10/24(3) | 128,000 | 138,191 | |||||
Minerva Luxembourg SA, 5.875%, 1/19/28(3) | 80,000 | 84,452 | |||||
Pilgrim's Pride Corp., 5.75%, 3/15/25(3) | 200,000 | 205,917 | |||||
Post Holdings, Inc., 5.00%, 8/15/26(3) | 115,000 | 118,950 | |||||
843,546 | |||||||
Gas Utilities — 0.1% | |||||||
China Resources Gas Group Ltd., MTN, 4.50%, 4/5/22 | 255,000 | 266,781 | |||||
Perusahaan Gas Negara Tbk PT, 5.125%, 5/16/24 | 204,000 | 222,879 | |||||
489,660 | |||||||
Health Care Equipment and Supplies† | |||||||
Medtronic, Inc., 3.50%, 3/15/25 | 107,000 | 115,955 | |||||
Medtronic, Inc., 4.375%, 3/15/35 | 172,000 | 213,307 | |||||
Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA, 6.625%, 5/15/22(3) | 9,000 | 8,989 | |||||
338,251 | |||||||
Health Care Providers and Services — 0.4% | |||||||
Acadia Healthcare Co., Inc., 5.625%, 2/15/23 | 60,000 | 60,925 | |||||
Aetna, Inc., 2.75%, 11/15/22 | 160,000 | 163,348 | |||||
Anthem, Inc., 4.65%, 1/15/43 | 100,000 | 115,677 | |||||
CHS / Community Health Systems, Inc., 6.25%, 3/31/23 | 80,000 | 81,800 | |||||
CHS / Community Health Systems, Inc., 8.125%, 6/30/24(3) | 60,000 | 54,059 | |||||
CHS / Community Health Systems, Inc., 8.00%, 12/15/27(3) | 17,000 | 17,616 | |||||
CHS / Community Health Systems, Inc., 6.875%, 4/1/28(3) | 42,000 | 25,830 | |||||
CHS / Community Health Systems, Inc., VRN, 9.875%, 6/30/23(3) | 95,000 | 89,577 | |||||
CommonSpirit Health, 2.95%, 11/1/22 | 130,000 | 133,411 | |||||
CVS Health Corp., 3.50%, 7/20/22 | 160,000 | 165,810 | |||||
CVS Health Corp., 4.30%, 3/25/28 | 250,000 | 277,559 | |||||
CVS Health Corp., 4.78%, 3/25/38 | 100,000 | 116,968 | |||||
CVS Health Corp., 5.05%, 3/25/48 | 100,000 | 120,995 | |||||
DaVita, Inc., 5.125%, 7/15/24 | 130,000 | 133,196 | |||||
DaVita, Inc., 5.00%, 5/1/25 | 130,000 | 133,521 | |||||
Encompass Health Corp., 5.75%, 11/1/24 | 26,000 | 26,372 | |||||
Envision Healthcare Corp., 8.75%, 10/15/26(3) | 200,000 | 121,170 | |||||
HCA, Inc., 7.50%, 2/15/22 | 145,000 | 159,423 | |||||
HCA, Inc., 5.00%, 3/15/24 | 120,000 | 132,997 | |||||
HCA, Inc., 5.375%, 2/1/25 | 160,000 | 179,150 |
28
Shares/ Principal Amount | Value | ||||||
Team Health Holdings, Inc., 6.375%, 2/1/25(3) | $ | 40,000 | $ | 23,618 | |||
Tenet Healthcare Corp., 8.125%, 4/1/22 | 195,000 | 213,393 | |||||
Tenet Healthcare Corp., 6.75%, 6/15/23 | 40,000 | 43,583 | |||||
Tenet Healthcare Corp., 5.125%, 5/1/25 | 100,000 | 102,000 | |||||
UnitedHealth Group, Inc., 2.875%, 3/15/22 | 290,000 | 296,403 | |||||
UnitedHealth Group, Inc., 3.75%, 7/15/25 | 100,000 | 109,491 | |||||
3,097,892 | |||||||
Hotels, Restaurants and Leisure — 0.2% | |||||||
1011778 BC ULC / New Red Finance, Inc., 5.00%, 10/15/25(3) | 100,000 | 103,278 | |||||
Boyd Gaming Corp., 6.375%, 4/1/26 | 35,000 | 37,279 | |||||
Eldorado Resorts, Inc., 7.00%, 8/1/23 | 110,000 | 114,055 | |||||
Golden Nugget, Inc., 6.75%, 10/15/24(3) | 120,000 | 123,623 | |||||
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp., 4.625%, 4/1/25 | 80,000 | 82,033 | |||||
International Game Technology plc, 6.25%, 2/15/22(3) | 95,000 | 99,682 | |||||
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC, 5.25%, 6/1/26(3) | 75,000 | 78,752 | |||||
McDonald's Corp., MTN, 3.375%, 5/26/25 | 100,000 | 107,163 | |||||
McDonald's Corp., MTN, 4.70%, 12/9/35 | 80,000 | 99,437 | |||||
MGM Resorts International, 6.00%, 3/15/23 | 130,000 | 142,907 | |||||
Penn National Gaming, Inc., 5.625%, 1/15/27(3) | 150,000 | 157,868 | |||||
Royal Caribbean Cruises Ltd., 5.25%, 11/15/22 | 120,000 | 130,261 | |||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.50%, 3/1/25(3) | 150,000 | 156,748 | |||||
1,433,086 | |||||||
Household Durables — 0.1% | |||||||
Beazer Homes USA, Inc., 5.875%, 10/15/27 | 20,000 | 20,801 | |||||
Brookfield Residential Properties, Inc. / Brookfield Residential US Corp., 6.125%, 7/1/22(3) | 50,000 | 50,812 | |||||
Lennar Corp., 4.75%, 4/1/21 | 60,000 | 61,534 | |||||
Meritage Homes Corp., 5.125%, 6/6/27 | 160,000 | 172,456 | |||||
PulteGroup, Inc., 5.50%, 3/1/26 | 60,000 | 67,189 | |||||
Shea Homes LP / Shea Homes Funding Corp., 5.875%, 4/1/23(3) | 60,000 | 61,225 | |||||
Toll Brothers Finance Corp., 4.35%, 2/15/28 | 130,000 | 137,195 | |||||
William Lyon Homes, Inc., 5.875%, 1/31/25 | 100,000 | 103,291 | |||||
674,503 | |||||||
Household Products† | |||||||
Energizer Holdings, Inc., 5.50%, 6/15/25(3) | 70,000 | 72,421 | |||||
Spectrum Brands, Inc., 5.75%, 7/15/25 | 144,000 | 149,939 | |||||
222,360 | |||||||
Independent Power and Renewable Electricity Producers† | |||||||
Listrindo Capital BV, 4.95%, 9/14/26 | 102,000 | 105,306 | |||||
NRG Energy, Inc., 7.25%, 5/15/26 | 50,000 | 54,219 | |||||
159,525 | |||||||
Industrial Conglomerates — 0.1% | |||||||
CK Hutchison International 17 II Ltd., 2.25%, 9/29/20(3) | 408,000 | 408,487 |
29
Shares/ Principal Amount | Value | ||||||
Insurance — 0.4% | |||||||
Allianz SE, MTN, VRN, 4.75%, 10/24/23 | EUR | 200,000 | $ | 253,985 | |||
Allianz SE, VRN, 3.375%, 9/18/24 | EUR | 100,000 | 123,060 | ||||
American International Group, Inc., 4.125%, 2/15/24 | $ | 340,000 | 368,822 | ||||
American International Group, Inc., 4.50%, 7/16/44 | 110,000 | 131,295 | |||||
AXA SA, 7.125%, 12/15/20 | GBP | 55,000 | 76,289 | ||||
AXA SA, MTN, VRN, 6.69%, 7/6/26 | GBP | 50,000 | 80,842 | ||||
AXA SA, MTN, VRN, 3.375%, 7/6/47 | EUR | 200,000 | 256,586 | ||||
Berkshire Hathaway Finance Corp., 3.00%, 5/15/22 | $ | 290,000 | 299,455 | ||||
Chubb INA Holdings, Inc., 3.15%, 3/15/25 | 210,000 | 224,623 | |||||
Chubb INA Holdings, Inc., 3.35%, 5/3/26 | 100,000 | 108,319 | |||||
CNP Assurances, VRN, 4.00%, 11/18/24 | EUR | 400,000 | 499,858 | ||||
Credit Agricole Assurances SA, VRN, 4.25%, 1/13/25 | EUR | 200,000 | 249,529 | ||||
Genworth Holdings, Inc., 7.625%, 9/24/21 | $ | 35,000 | 37,004 | ||||
Hartford Financial Services Group, Inc. (The), 5.95%, 10/15/36 | 60,000 | 81,768 | |||||
Hartford Financial Services Group, Inc. (The), 3.60%, 8/19/49 | 80,000 | 87,071 | |||||
Intesa Sanpaolo Vita SpA, VRN, 4.75%, 12/17/24 | EUR | 100,000 | 124,300 | ||||
Markel Corp., 4.90%, 7/1/22 | $ | 200,000 | 214,063 | ||||
MetLife, Inc., 4.125%, 8/13/42 | 90,000 | 107,251 | |||||
MetLife, Inc., 4.875%, 11/13/43 | 50,000 | 65,287 | |||||
Metropolitan Life Global Funding I, 3.00%, 1/10/23(3) | 119,000 | 123,313 | |||||
Prudential Financial, Inc., 3.94%, 12/7/49 | 69,000 | 77,602 | |||||
WR Berkley Corp., 4.625%, 3/15/22 | 130,000 | 137,509 | |||||
3,727,831 | |||||||
Interactive Media and Services† | |||||||
Rackspace Hosting, Inc., 8.625%, 11/15/24(3) | 65,000 | 64,512 | |||||
Tencent Holdings Ltd., 3.80%, 2/11/25(3) | 153,000 | 164,850 | |||||
229,362 | |||||||
Internet and Direct Marketing Retail — 0.1% | |||||||
Alibaba Group Holding Ltd., 2.80%, 6/6/23 | 330,000 | 337,417 | |||||
JD.com, Inc., 3.875%, 4/29/26 | 255,000 | 273,160 | |||||
Prosus NV, 6.00%, 7/18/20 | 153,000 | 155,395 | |||||
765,972 | |||||||
IT Services† | |||||||
CDW LLC / CDW Finance Corp., 5.50%, 12/1/24 | 90,000 | 100,650 | |||||
Fidelity National Information Services, Inc., 3.00%, 8/15/26 | 168,000 | 176,874 | |||||
277,524 | |||||||
Media — 0.4% | |||||||
Altice Financing SA, 6.625%, 2/15/23(3) | 200,000 | 203,917 | |||||
Cablevision Systems Corp., 5.875%, 9/15/22 | 100,000 | 107,678 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.75%, 2/15/26(3) | 70,000 | 73,583 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.125%, 5/1/27(3) | 65,000 | 68,045 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 4.91%, 7/23/25 | 250,000 | 279,960 |
30
Shares/ Principal Amount | Value | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 6.48%, 10/23/45 | $ | 40,000 | $ | 51,965 | |||
Comcast Corp., 6.40%, 5/15/38 | 230,000 | 337,246 | |||||
Comcast Corp., 4.75%, 3/1/44 | 150,000 | 191,068 | |||||
CSC Holdings LLC, 5.375%, 7/15/23(3) | 105,000 | 107,455 | |||||
CSC Holdings LLC, 6.625%, 10/15/25(3) | 100,000 | 105,824 | |||||
CSC Holdings LLC, 5.50%, 5/15/26(3) | 25,000 | 26,251 | |||||
DISH DBS Corp., 6.75%, 6/1/21 | 95,000 | 99,923 | |||||
DISH DBS Corp., 5.00%, 3/15/23 | 135,000 | 137,364 | |||||
Gray Television, Inc., 5.125%, 10/15/24(3) | 100,000 | 103,459 | |||||
Gray Television, Inc., 5.875%, 7/15/26(3) | 75,000 | 78,608 | |||||
Lamar Media Corp., 5.00%, 5/1/23 | 100,000 | 102,124 | |||||
Lamar Media Corp., 5.375%, 1/15/24 | 140,000 | 142,923 | |||||
Nexstar Broadcasting, Inc., 5.625%, 8/1/24(3) | 105,000 | 109,419 | |||||
Sinclair Television Group, Inc., 5.625%, 8/1/24(3) | 90,000 | 92,775 | |||||
Sirius XM Radio, Inc., 4.625%, 5/15/23(3) | 70,000 | 70,758 | |||||
Sirius XM Radio, Inc., 5.375%, 4/15/25(3) | 60,000 | 62,006 | |||||
TEGNA, Inc., 5.50%, 9/15/24(3) | 100,000 | 103,125 | |||||
ViacomCBS, Inc., 4.85%, 7/1/42 | 70,000 | 82,177 | |||||
ViacomCBS, Inc., 4.375%, 3/15/43 | 40,000 | 43,363 | |||||
Videotron Ltd., 5.00%, 7/15/22 | 75,000 | 78,749 | |||||
VTR Finance BV, 6.875%, 1/15/24 | 205,000 | 210,040 | |||||
WPP Finance 2013, MTN, 3.00%, 11/20/23 | EUR | 100,000 | 124,048 | ||||
3,193,853 | |||||||
Metals and Mining — 0.2% | |||||||
Alcoa Nederland Holding BV, 6.75%, 9/30/24(3) | $ | 70,000 | 73,681 | ||||
Cleveland-Cliffs, Inc., 5.75%, 3/1/25 | 160,000 | 155,600 | |||||
First Quantum Minerals Ltd., 7.25%, 5/15/22(3) | 80,000 | 80,342 | |||||
First Quantum Minerals Ltd., 7.25%, 4/1/23 | 150,000 | 148,907 | |||||
First Quantum Minerals Ltd., 6.50%, 3/1/24(3) | 250,000 | 241,351 | |||||
Freeport-McMoRan, Inc., 3.55%, 3/1/22 | 99,000 | 100,290 | |||||
Freeport-McMoRan, Inc., 5.40%, 11/14/34 | 180,000 | 185,368 | |||||
HTA Group Ltd., 9.125%, 3/8/22(3) | 153,000 | 157,833 | |||||
Nexa Resources SA, 5.375%, 5/4/27 | 230,000 | 247,965 | |||||
Steel Dynamics, Inc., 5.25%, 4/15/23 | 100,000 | 101,631 | |||||
Teck Resources Ltd., 6.25%, 7/15/41 | 40,000 | 46,806 | |||||
Vedanta Resources Ltd., 6.125%, 8/9/24(3) | 217,000 | 192,491 | |||||
1,732,265 | |||||||
Multi-Utilities — 0.1% | |||||||
Abu Dhabi National Energy Co. PJSC, 5.875%, 12/13/21(3) | 204,000 | 217,732 | |||||
Abu Dhabi National Energy Co. PJSC, 3.625%, 1/12/23(3) | 153,000 | 158,122 | |||||
Centrica plc, VRN, 5.25%, 4/10/75 | GBP | 100,000 | 144,186 | ||||
Consolidated Edison Co. of New York, Inc., 3.95%, 3/1/43 | $ | 100,000 | 113,228 | ||||
Dominion Energy, Inc., 4.90%, 8/1/41 | 70,000 | 86,393 | |||||
NiSource, Inc., 5.65%, 2/1/45 | 110,000 | 146,587 | |||||
Sempra Energy, 2.875%, 10/1/22 | 110,000 | 112,767 | |||||
Sempra Energy, 3.25%, 6/15/27 | 140,000 | 148,338 |
31
Shares/ Principal Amount | Value | ||||||
Sempra Energy, 4.00%, 2/1/48 | $ | 70,000 | $ | 77,639 | |||
1,204,992 | |||||||
Oil, Gas and Consumable Fuels — 0.9% | |||||||
Carrizo Oil & Gas, Inc., 6.25%, 4/15/23 | 70,000 | 70,349 | |||||
Cheniere Corpus Christi Holdings LLC, 5.875%, 3/31/25 | 75,000 | 85,341 | |||||
Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/27 | 130,000 | 145,092 | |||||
Chesapeake Energy Corp., 11.50%, 1/1/25(3) | 31,000 | 25,023 | |||||
CNOOC Finance 2013 Ltd., 3.00%, 5/9/23 | 255,000 | 261,515 | |||||
CNOOC Nexen Finance 2014 ULC, 4.25%, 4/30/24 | 150,000 | 162,428 | |||||
CNX Resources Corp., 5.875%, 4/15/22 | 111,000 | 109,890 | |||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 6.25%, 4/1/23 | 40,000 | 40,450 | |||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 5.75%, 4/1/25 | 70,000 | 71,245 | |||||
Denbury Resources, Inc., 9.00%, 5/15/21(3) | 40,000 | 37,690 | |||||
Ecopetrol SA, 5.875%, 5/28/45 | 395,000 | 476,147 | |||||
Enbridge, Inc., 4.00%, 10/1/23 | 120,000 | 127,787 | |||||
Energy Transfer Operating LP, 4.15%, 10/1/20 | 200,000 | 202,180 | |||||
Energy Transfer Operating LP, 3.60%, 2/1/23 | 27,000 | 27,953 | |||||
Energy Transfer Operating LP, 6.50%, 2/1/42 | 100,000 | 119,257 | |||||
Enterprise Products Operating LLC, 4.85%, 3/15/44 | 360,000 | 420,045 | |||||
Gazprom PJSC Via Gaz Capital SA, 6.51%, 3/7/22(3) | 140,000 | 152,107 | |||||
Gazprom PJSC Via Gaz Capital SA, 7.29%, 8/16/37(3) | 140,000 | 202,520 | |||||
Genesis Energy LP / Genesis Energy Finance Corp., 5.625%, 6/15/24 | 25,000 | 24,385 | |||||
Gulfport Energy Corp., 6.00%, 10/15/24 | 40,000 | 22,148 | |||||
Gulfport Energy Corp., 6.375%, 5/15/25 | 70,000 | 35,204 | |||||
Hess Corp., 6.00%, 1/15/40 | 110,000 | 129,248 | |||||
Hilcorp Energy I LP / Hilcorp Finance Co., 5.75%, 10/1/25(3) | 20,000 | 18,142 | |||||
Kinder Morgan Energy Partners LP, 6.50%, 9/1/39 | 300,000 | 387,712 | |||||
MEG Energy Corp., 7.00%, 3/31/24(3) | 30,000 | 30,288 | |||||
MEG Energy Corp., 6.50%, 1/15/25(3) | 58,000 | 60,791 | |||||
MPLX LP, 6.25%, 10/15/22(3) | 19,000 | 19,373 | |||||
MPLX LP, 4.50%, 4/15/38 | 60,000 | 62,178 | |||||
MPLX LP, 5.20%, 3/1/47 | 40,000 | 44,313 | |||||
Newfield Exploration Co., 5.75%, 1/30/22 | 130,000 | 138,330 | |||||
Newfield Exploration Co., 5.375%, 1/1/26 | 60,000 | 65,911 | |||||
NuStar Logistics LP, 4.75%, 2/1/22 | 40,000 | 41,213 | |||||
Oasis Petroleum, Inc., 6.875%, 3/15/22 | 120,000 | 115,500 | |||||
Ovintiv, Inc., 6.50%, 2/1/38 | 60,000 | 70,122 | |||||
Parsley Energy LLC / Parsley Finance Corp., 5.375%, 1/15/25(3) | 120,000 | 123,763 | |||||
Petrobras Global Finance BV, 5.75%, 2/1/29 | 380,000 | 439,185 | |||||
Petrobras Global Finance BV, 7.25%, 3/17/44 | 180,000 | 228,140 | |||||
Petroleos Mexicanos, 6.00%, 3/5/20 | 122,000 | 122,533 | |||||
Petroleos Mexicanos, 4.875%, 1/24/22 | 40,000 | 42,033 | |||||
Petroleos Mexicanos, 3.50%, 1/30/23 | 70,000 | 71,289 | |||||
Petroleos Mexicanos, 6.50%, 3/13/27 | 140,000 | 152,183 |
32
Shares/ Principal Amount | Value | ||||||
Petroleos Mexicanos, 5.50%, 6/27/44 | $ | 230,000 | $ | 215,265 | |||
Plains All American Pipeline LP / PAA Finance Corp., 3.65%, 6/1/22 | 130,000 | 133,994 | |||||
QEP Resources, Inc., 5.375%, 10/1/22 | 110,000 | 110,584 | |||||
Ras Laffan Liquefied Natural Gas Co. Ltd. II, 5.30%, 9/30/20 | 22,868 | 23,188 | |||||
Reliance Industries Ltd., 4.125%, 1/28/25 | 332,000 | 355,915 | |||||
Sabine Pass Liquefaction LLC, 5.625%, 3/1/25 | 180,000 | 204,890 | |||||
SM Energy Co., 5.00%, 1/15/24 | 80,000 | 73,233 | |||||
Southwestern Energy Co., 6.20%, 1/23/25 | 100,000 | 83,499 | |||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.25%, 11/15/23 | 84,000 | 84,875 | |||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.125%, 2/1/25 | 86,000 | 88,794 | |||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.00%, 1/15/28 | 20,000 | 20,397 | |||||
TOTAL SA, MTN, VRN, 2.25%, 2/26/21 | EUR | 150,000 | 169,833 | ||||
Williams Cos., Inc. (The), 4.55%, 6/24/24 | $ | 270,000 | 295,113 | ||||
Williams Cos., Inc. (The), 5.10%, 9/15/45 | 150,000 | 165,717 | |||||
WPX Energy, Inc., 8.25%, 8/1/23 | 50,000 | 57,833 | |||||
7,264,133 | |||||||
Personal Products† | |||||||
Avon Products, Inc., 7.00%, 3/15/23 | 45,000 | 49,514 | |||||
Pharmaceuticals — 0.3% | |||||||
Allergan Finance LLC, 3.25%, 10/1/22 | 270,000 | 278,780 | |||||
Allergan Funding SCS, 3.85%, 6/15/24 | 230,000 | 245,420 | |||||
Allergan Funding SCS, 4.55%, 3/15/35 | 110,000 | 126,734 | |||||
Bausch Health Cos., Inc., 7.00%, 3/15/24(3) | 60,000 | 62,327 | |||||
Bausch Health Cos., Inc., 6.125%, 4/15/25(3) | 195,000 | 200,987 | |||||
Bristol-Myers Squibb Co., 3.25%, 8/15/22(3) | 160,000 | 166,255 | |||||
Bristol-Myers Squibb Co., 3.625%, 5/15/24(3) | 410,000 | 438,752 | |||||
Bristol-Myers Squibb Co., 3.875%, 8/15/25(3) | 140,000 | 153,839 | |||||
Shire Acquisitions Investments Ireland DAC, 2.40%, 9/23/21 | 450,000 | 454,148 | |||||
2,127,242 | |||||||
Professional Services† | |||||||
Jaguar Holding Co. II / Pharmaceutical Product Development LLC, 6.375%, 8/1/23(3) | 50,000 | 51,500 | |||||
Road and Rail — 0.1% | |||||||
Burlington Northern Santa Fe LLC, 4.95%, 9/15/41 | 18,000 | 23,238 | |||||
Burlington Northern Santa Fe LLC, 4.45%, 3/15/43 | 160,000 | 195,819 | |||||
Burlington Northern Santa Fe LLC, 4.15%, 4/1/45 | 70,000 | 83,207 | |||||
Hertz Corp. (The), 6.25%, 10/15/22 | 75,000 | 75,937 | |||||
Union Pacific Corp., 3.84%, 3/20/60(3) | 220,000 | 236,984 | |||||
United Rentals North America, Inc., 5.50%, 7/15/25 | 70,000 | 72,575 | |||||
United Rentals North America, Inc., 5.50%, 5/15/27 | 85,000 | 90,510 | |||||
778,270 | |||||||
Semiconductors and Semiconductor Equipment† | |||||||
NXP BV / NXP Funding LLC, 3.875%, 9/1/22(3) | 70,000 | 73,175 |
33
Shares/ Principal Amount | Value | ||||||
Software — 0.2% | |||||||
Infor US, Inc., 6.50%, 5/15/22 | $ | 198,000 | $ | 199,133 | |||
Microsoft Corp., 2.70%, 2/12/25 | 340,000 | 356,270 | |||||
Microsoft Corp., 4.25%, 2/6/47 | 340,000 | 435,240 | |||||
Oracle Corp., 3.625%, 7/15/23 | 280,000 | 298,811 | |||||
Oracle Corp., 2.65%, 7/15/26 | 280,000 | 292,507 | |||||
1,581,961 | |||||||
Specialty Retail — 0.1% | |||||||
Home Depot, Inc. (The), 3.75%, 2/15/24 | 230,000 | 248,369 | |||||
Home Depot, Inc. (The), 5.95%, 4/1/41 | 260,000 | 378,453 | |||||
L Brands, Inc., 5.625%, 2/15/22 | 105,000 | 110,886 | |||||
PetSmart, Inc., 5.875%, 6/1/25(3) | 50,000 | 51,625 | |||||
Sally Holdings LLC / Sally Capital, Inc., 5.50%, 11/1/23 | 55,000 | 55,963 | |||||
Suburban Propane Partners LP / Suburban Energy Finance Corp., 5.50%, 6/1/24 | 70,000 | 71,574 | |||||
Suburban Propane Partners LP / Suburban Energy Finance Corp., 5.75%, 3/1/25 | 100,000 | 102,041 | |||||
1,018,911 | |||||||
Technology Hardware, Storage and Peripherals — 0.1% | |||||||
Apple, Inc., 2.45%, 8/4/26 | 140,000 | 144,545 | |||||
Apple, Inc., 3.20%, 5/11/27 | 190,000 | 205,236 | |||||
Apple, Inc., 2.90%, 9/12/27 | 90,000 | 95,779 | |||||
Dell International LLC / EMC Corp., 7.125%, 6/15/24(3) | 160,000 | 168,400 | |||||
EMC Corp., 2.65%, 6/1/20 | 7,000 | 7,001 | |||||
NCR Corp., 5.00%, 7/15/22 | 90,000 | 90,985 | |||||
Western Digital Corp., 4.75%, 2/15/26 | 60,000 | 64,163 | |||||
776,109 | |||||||
Textiles, Apparel and Luxury Goods† | |||||||
Hanesbrands, Inc., 4.625%, 5/15/24(3) | 115,000 | 120,702 | |||||
Trading Companies and Distributors† | |||||||
Beacon Roofing Supply, Inc., 4.875%, 11/1/25(3) | 70,000 | 69,775 | |||||
Transportation Infrastructure — 0.1% | |||||||
HPHT Finance 15 Ltd., 2.875%, 3/17/20(3) | 510,000 | 510,337 | |||||
Rumo Luxembourg Sarl, 7.375%, 2/9/24 | 180,000 | 193,539 | |||||
703,876 | |||||||
Wireless Telecommunication Services — 0.2% | |||||||
C&W Senior Financing DAC, 6.875%, 9/15/27(3) | 228,000 | 245,345 | |||||
Digicel Ltd., 6.00%, 4/15/21 | 153,000 | 121,506 | |||||
GTH Finance BV, 7.25%, 4/26/23(3) | 217,000 | 243,554 | |||||
Millicom International Cellular SA, 5.125%, 1/15/28(3) | 255,000 | 267,251 | |||||
Oztel Holdings SPC Ltd., 6.625%, 4/24/28 | 204,000 | 221,617 | |||||
Sprint Corp., 7.25%, 9/15/21 | 120,000 | 126,068 | |||||
Sprint Corp., 7.875%, 9/15/23 | 75,000 | 79,836 | |||||
Sprint Corp., 7.125%, 6/15/24 | 205,000 | 212,162 | |||||
T-Mobile USA, Inc., 6.375%, 3/1/25 | 100,000 | 103,427 | |||||
T-Mobile USA, Inc., 6.50%, 1/15/26 | 80,000 | 85,464 | |||||
1,706,230 | |||||||
TOTAL CORPORATE BONDS (Cost $60,908,111) | 64,368,454 |
34
Shares/ Principal Amount | Value | ||||||
U.S. TREASURY SECURITIES — 6.0% | |||||||
U.S. Treasury Bills, 1.55%, 4/9/20(4) | $ | 850,000 | $ | 847,614 | |||
U.S. Treasury Bonds, 3.50%, 2/15/39 | 165,000 | 210,227 | |||||
U.S. Treasury Bonds, 3.125%, 8/15/44(5) | 200,000 | 243,449 | |||||
U.S. Treasury Bonds, 2.50%, 2/15/45 | 1,060,000 | 1,161,155 | |||||
U.S. Treasury Bonds, 3.00%, 5/15/45 | 560,000 | 669,823 | |||||
U.S. Treasury Bonds, 3.00%, 11/15/45 | 100,000 | 119,930 | |||||
U.S. Treasury Bonds, 2.50%, 5/15/46 | 300,000 | 329,707 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.375%, 1/15/25 | 1,023,330 | 1,154,536 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.375%, 1/15/27 | 318,838 | 375,472 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.50%, 1/15/29 | 1,359,628 | 1,680,291 | |||||
U.S. Treasury Inflation Indexed Bonds, 3.375%, 4/15/32 | 144,897 | 205,366 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.125%, 2/15/40 | 713,958 | 986,941 | |||||
U.S. Treasury Inflation Indexed Bonds, 2.125%, 2/15/41 | 963,041 | 1,344,476 | |||||
U.S. Treasury Inflation Indexed Bonds, 0.625%, 2/15/43 | 1,085,100 | 1,174,414 | |||||
U.S. Treasury Inflation Indexed Bonds, 1.375%, 2/15/44 | 2,924,408 | 3,683,473 | |||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/45 | 3,396,742 | 3,790,313 | |||||
U.S. Treasury Inflation Indexed Bonds, 0.875%, 2/15/47 | 585,998 | 679,115 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/22 | 1,845,377 | 1,861,279 | |||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 1/15/24 | 5,511,300 | 5,686,981 | |||||
U.S. Treasury Inflation Indexed Notes, 0.50%, 4/15/24 | 5,506,704 | 5,659,180 | |||||
U.S. Treasury Inflation Indexed Notes, 0.25%, 1/15/25 | 4,343,480 | 4,443,527 | |||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 1/15/26 | 3,788,435 | 3,972,862 | |||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/26 | 6,169,578 | 6,316,852 | |||||
U.S. Treasury Inflation Indexed Notes, 0.50%, 1/15/28 | 364,935 | 383,842 | |||||
U.S. Treasury Inflation Indexed Notes, 0.875%, 1/15/29 | 1,935,283 | 2,111,998 | |||||
U.S. Treasury Notes, 1.375%, 2/29/20(5) | 1,000,000 | 999,826 | |||||
U.S. Treasury Notes, 1.875%, 12/15/20 | 800,000 | 802,469 | |||||
U.S. Treasury Notes, 2.25%, 8/15/27(5) | 400,000 | 423,266 | |||||
TOTAL U.S. TREASURY SECURITIES (Cost $47,349,676) | 51,318,384 | ||||||
SOVEREIGN GOVERNMENTS AND AGENCIES — 4.6% | |||||||
Australia — 0.1% | |||||||
Australia Government Bond, 2.75%, 4/21/24 | AUD | 1,219,000 | 887,693 | ||||
New South Wales Treasury Corp., 3.00%, 3/20/28 | AUD | 395,000 | 301,140 | ||||
1,188,833 | |||||||
Austria — 0.1% | |||||||
Republic of Austria Government Bond, 3.40%, 11/22/22(3) | EUR | 172,000 | 212,631 | ||||
Republic of Austria Government Bond, 0.75%, 10/20/26(3) | EUR | 185,000 | 221,764 | ||||
Republic of Austria Government Bond, 4.15%, 3/15/37(3) | EUR | 121,000 | 227,804 | ||||
662,199 | |||||||
Belgium† | |||||||
Kingdom of Belgium Government Bond, 4.25%, 3/28/41(3) | EUR | 74,000 | 146,817 | ||||
Canada — 0.3% | �� | ||||||
Province of British Columbia Canada, 3.25%, 12/18/21 | CAD | 594,000 | 462,282 | ||||
Province of British Columbia Canada, 2.85%, 6/18/25 | CAD | 809,000 | 648,337 | ||||
Province of Quebec Canada, 3.00%, 9/1/23 | CAD | 465,000 | 368,058 |
35
Shares/ Principal Amount | Value | ||||||
Province of Quebec Canada, 5.75%, 12/1/36 | CAD | 445,000 | $ | 506,430 | |||
Province of Quebec Canada, 5.00%, 12/1/41 | CAD | 30,000 | 33,603 | ||||
Province of Quebec Canada, 3.50%, 12/1/48 | CAD | 110,000 | 106,488 | ||||
2,125,198 | |||||||
Chile† | |||||||
Chile Government International Bond, 3.25%, 9/14/21 | $ | 230,000 | 234,890 | ||||
China† | |||||||
China Government Bond, 3.25%, 6/6/26 | CNY | 750,000 | 110,058 | ||||
China Government Bond, 3.29%, 5/23/29 | CNY | 550,000 | 80,919 | ||||
190,977 | |||||||
Colombia† | |||||||
Colombia Government International Bond, 4.375%, 7/12/21 | $ | 290,000 | 300,367 | ||||
Czech Republic† | |||||||
Czech Republic Government Bond, 4.70%, 9/12/22 | CZK | 2,470,000 | 117,159 | ||||
Denmark† | |||||||
Denmark Government Bond, 0.50%, 11/15/27 | DKK | 600,000 | 96,482 | ||||
Denmark Government Bond, 4.50%, 11/15/39 | DKK | 340,000 | 98,261 | ||||
194,743 | |||||||
Finland† | |||||||
Finland Government Bond, 4.00%, 7/4/25(3) | EUR | 219,000 | 303,586 | ||||
France — 0.3% | |||||||
French Republic Government Bond OAT, 1.75%, 11/25/24 | EUR | 893,750 | 1,102,832 | ||||
French Republic Government Bond OAT, 5.50%, 4/25/29 | EUR | 155,844 | 266,347 | ||||
French Republic Government Bond OAT, 3.25%, 5/25/45 | EUR | 533,000 | 985,623 | ||||
2,354,802 | |||||||
Germany — 0.4% | |||||||
Bundesrepublik Deutschland Bundesanleihe, 0.50%, 2/15/25 | EUR | 178,000 | 209,358 | ||||
Bundesrepublik Deutschland Bundesanleihe, 0.00%, 8/15/26(6) | EUR | 775,000 | 895,398 | ||||
Bundesrepublik Deutschland Bundesanleihe, 0.25%, 2/15/27 | EUR | 1,253,000 | 1,475,733 | ||||
Bundesrepublik Deutschland Bundesanleihe, 4.75%, 7/4/28 | EUR | 98,000 | 158,442 | ||||
Bundesrepublik Deutschland Bundesanleihe, 4.75%, 7/4/40 | EUR | 111,000 | 248,880 | ||||
2,987,811 | |||||||
Indonesia — 0.1% | |||||||
Indonesia Treasury Bond, 8.375%, 9/15/26 | IDR | 6,000,000,000 | 486,349 | ||||
Ireland† | |||||||
Ireland Government Bond, 3.40%, 3/18/24 | EUR | 283,000 | 364,962 | ||||
Italy — 0.5% | |||||||
Italy Buoni Poliennali Del Tesoro, 1.50%, 6/1/25 | EUR | 180,000 | 211,645 | ||||
Italy Buoni Poliennali Del Tesoro, 2.00%, 12/1/25 | EUR | 1,338,000 | 1,618,920 | ||||
Italy Buoni Poliennali Del Tesoro, 4.75%, 9/1/44(3) | EUR | 1,088,000 | 1,897,363 | ||||
Italy Buoni Poliennali Del Tesoro, 3.45%, 3/1/48(3) | EUR | 405,000 | 602,078 | ||||
4,330,006 | |||||||
Japan — 1.1% | |||||||
Japan Government Ten Year Bond, 0.80%, 6/20/23 | JPY | 26,250,000 | 250,371 | ||||
Japan Government Thirty Year Bond, 2.40%, 3/20/37 | JPY | 226,800,000 | 2,889,576 |
36
Shares/ Principal Amount | Value | ||||||
Japan Government Thirty Year Bond, 2.00%, 9/20/41 | JPY | 154,250,000 | $ | 1,948,465 | |||
Japan Government Thirty Year Bond, 1.40%, 12/20/45 | JPY | 28,550,000 | 336,108 | ||||
Japan Government Twenty Year Bond, 2.10%, 12/20/26 | JPY | 402,800,000 | 4,308,311 | ||||
9,732,831 | |||||||
Malaysia† | |||||||
Malaysia Government Bond, 3.96%, 9/15/25 | MYR | 990,000 | 253,248 | ||||
Mexico — 0.2% | |||||||
Mexican Bonos, 6.50%, 6/9/22 | MXN | 9,190,000 | 485,265 | ||||
Mexico Government International Bond, 4.15%, 3/28/27 | $ | 700,000 | 761,432 | ||||
1,246,697 | |||||||
Namibia — 0.1% | |||||||
Namibia International Bonds, 5.25%, 10/29/25 | $ | 400,000 | 421,420 | ||||
Netherlands — 0.1% | |||||||
Netherlands Government Bond, 0.00%, 1/15/22(3)(6) | EUR | 152,000 | 170,782 | ||||
Netherlands Government Bond, 0.50%, 7/15/26(3) | EUR | 506,000 | 598,840 | ||||
Netherlands Government Bond, 2.75%, 1/15/47(3) | EUR | 82,000 | 157,053 | ||||
926,675 | |||||||
Norway — 0.4% | |||||||
Norway Government Bond, 2.00%, 5/24/23(3) | NOK | 405,000 | 45,106 | ||||
Norway Government Bond, 1.75%, 2/17/27(3) | NOK | 1,880,000 | 211,176 | ||||
Norway Government Bond, 1.75%, 9/6/29(3) | NOK | 26,750,000 | 3,025,408 | ||||
3,281,690 | |||||||
Peru† | |||||||
Peruvian Government International Bond, 5.625%, 11/18/50 | $ | 160,000 | 245,750 | ||||
Philippines — 0.1% | |||||||
Philippine Government International Bond, 4.00%, 1/15/21 | $ | 300,000 | 306,084 | ||||
Philippine Government International Bond, 6.375%, 10/23/34 | $ | 100,000 | 145,255 | ||||
451,339 | |||||||
Poland — 0.1% | |||||||
Republic of Poland Government Bond, 4.00%, 10/25/23 | PLN | 775,000 | 216,510 | ||||
Republic of Poland Government International Bond, 5.125%, 4/21/21 | $ | 250,000 | 260,471 | ||||
476,981 | |||||||
Russia† | |||||||
Russian Federal Bond - OFZ, 7.05%, 1/19/28 | RUB | 5,500,000 | 91,443 | ||||
Singapore† | |||||||
Singapore Government Bond, 3.125%, 9/1/22 | SGD | 377,000 | 288,205 | ||||
South Africa† | |||||||
Republic of South Africa Government International Bond, 5.50%, 3/9/20 | $ | 185,000 | 185,674 | ||||
Spain† | |||||||
Spain Government Bond, 4.40%, 10/31/23(3) | EUR | 100,000 | 130,477 | ||||
Spain Government Bond, 1.60%, 4/30/25(3) | EUR | 132,000 | 160,128 | ||||
Spain Government Bond, 5.15%, 10/31/28(3) | EUR | 47,000 | 74,858 | ||||
Spain Government Bond, 5.15%, 10/31/44(3) | EUR | 9,000 | 19,147 | ||||
384,610 |
37
Shares/ Principal Amount | Value | ||||||
Switzerland — 0.1% | |||||||
Swiss Confederation Government Bond, 1.25%, 5/28/26 | CHF | 410,000 | $ | 483,502 | |||
Swiss Confederation Government Bond, 2.50%, 3/8/36 | CHF | 71,000 | 111,772 | ||||
595,274 | |||||||
Thailand — 0.1% | |||||||
Thailand Government Bond, 3.625%, 6/16/23 | THB | 4,150,000 | 144,211 | ||||
Thailand Government Bond, 3.85%, 12/12/25 | THB | 11,550,000 | 426,587 | ||||
570,798 | |||||||
Turkey — 0.1% | |||||||
Turkey Government International Bond, 6.875%, 3/17/36 | $ | 400,000 | 445,447 | ||||
United Kingdom — 0.4% | |||||||
United Kingdom Gilt, 1.75%, 9/7/22 | GBP | 467,000 | 637,976 | ||||
United Kingdom Gilt, 1.50%, 7/22/26 | GBP | 761,000 | 1,077,073 | ||||
United Kingdom Gilt, 4.50%, 12/7/42 | GBP | 396,000 | 898,370 | ||||
United Kingdom Gilt, 4.25%, 12/7/49 | GBP | 190,000 | 459,708 | ||||
United Kingdom Gilt, 4.25%, 12/7/55 | GBP | 106,000 | 279,474 | ||||
3,352,601 | |||||||
Uruguay† | |||||||
Uruguay Government International Bond, 4.125%, 11/20/45 | $ | 80,000 | 90,875 | ||||
TOTAL SOVEREIGN GOVERNMENTS AND AGENCIES (Cost $36,239,030) | 39,030,257 | ||||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 3.5% | |||||||
Adjustable-Rate U.S. Government Agency Mortgage-Backed Securities — 0.1% | |||||||
FHLMC, VRN, 4.47%, (12-month LIBOR plus 1.86%), 7/1/36 | 33,477 | 35,263 | |||||
FHLMC, VRN, 4.19%, (1-year H15T1Y plus 2.14%), 10/1/36 | 101,342 | 107,365 | |||||
FHLMC, VRN, 4.62%, (1-year H15T1Y plus 2.25%), 4/1/37 | 104,660 | 110,690 | |||||
FHLMC, VRN, 3.89%, (12-month LIBOR plus 1.78%), 9/1/40 | 55,748 | 58,595 | |||||
FHLMC, VRN, 4.77%, (12-month LIBOR plus 1.88%), 5/1/41 | 24,017 | 25,109 | |||||
FHLMC, VRN, 3.69%, (12-month LIBOR plus 1.89%), 7/1/41 | 82,265 | 84,721 | |||||
FHLMC, VRN, 4.01%, (12-month LIBOR plus 1.87%), 7/1/41 | 87,168 | 91,956 | |||||
FHLMC, VRN, 4.41%, (12-month LIBOR plus 1.64%), 2/1/43 | 33,553 | 34,634 | |||||
FHLMC, VRN, 4.45%, (12-month LIBOR plus 1.65%), 6/1/43 | 13,066 | 13,401 | |||||
FHLMC, VRN, 4.50%, (12-month LIBOR plus 1.62%), 6/1/43 | 393 | 406 | |||||
FNMA, VRN, 3.49%, (6-month LIBOR plus 1.57%), 6/1/35 | 59,685 | 62,006 | |||||
FNMA, VRN, 3.51%, (6-month LIBOR plus 1.57%), 6/1/35 | 92,808 | 96,368 | |||||
FNMA, VRN, 3.78%, (6-month LIBOR plus 1.54%), 9/1/35 | 19,029 | 19,737 | |||||
FNMA, VRN, 4.25%, (1-year H15T1Y plus 2.16%), 3/1/38 | 102,368 | 108,315 | |||||
FNMA, VRN, 4.82%, (12-month LIBOR plus 1.69%), 1/1/40 | 16,759 | 17,753 | |||||
FNMA, VRN, 3.85%, (12-month LIBOR plus 1.82%), 3/1/40 | 28,496 | 29,976 | |||||
FNMA, VRN, 3.87%, (12-month LIBOR plus 1.77%), 10/1/40 | 80,497 | 84,087 | |||||
980,382 |
38
Shares/ Principal Amount | Value | ||||||
Fixed-Rate U.S. Government Agency Mortgage-Backed Securities — 3.4% | |||||||
FHLMC, 5.00%, 2/1/20 | $ | 6 | $ | 6 | |||
FHLMC, 5.50%, 3/1/20 | 17 | 17 | |||||
FHLMC, 5.50%, 3/1/20 | 36 | 36 | |||||
FHLMC, 5.50%, 3/1/20 | 15 | 15 | |||||
FHLMC, 5.00%, 5/1/20 | 19 | 21 | |||||
FHLMC, 5.00%, 5/1/20 | 55 | 58 | |||||
FHLMC, 5.00%, 5/1/20 | 141 | 149 | |||||
FHLMC, 4.50%, 7/1/20 | 674 | 698 | |||||
FHLMC, 4.00%, 10/1/20 | 442 | 462 | |||||
FHLMC, 8.00%, 6/1/26 | 3,246 | 3,316 | |||||
FHLMC, 8.00%, 6/1/26 | 199 | 218 | |||||
FHLMC, 7.00%, 8/1/29 | 823 | 900 | |||||
FHLMC, 8.00%, 7/1/30 | 4,715 | 5,627 | |||||
FHLMC, 5.50%, 12/1/33 | 96,221 | 106,027 | |||||
FHLMC, 6.50%, 5/1/34 | 5,324 | 6,223 | |||||
FHLMC, 5.50%, 6/1/35 | 3,053 | 3,291 | |||||
FHLMC, 5.00%, 9/1/35 | 1,977 | 2,193 | |||||
FHLMC, 5.00%, 9/1/35 | 2,045 | 2,270 | |||||
FHLMC, 5.50%, 10/1/35 | 15,567 | 17,412 | |||||
FHLMC, 5.50%, 10/1/35 | 10,386 | 11,332 | |||||
FHLMC, 5.00%, 11/1/35 | 37,840 | 41,982 | |||||
FHLMC, 5.00%, 11/1/35 | 64,988 | 73,685 | |||||
FHLMC, 6.50%, 3/1/36 | 439 | 487 | |||||
FHLMC, 6.50%, 3/1/36 | 1,342 | 1,489 | |||||
FHLMC, 5.50%, 1/1/38 | 63,935 | 70,799 | |||||
FHLMC, 6.00%, 2/1/38 | 40,792 | 47,020 | |||||
FHLMC, 6.00%, 11/1/38 | 186,683 | 214,730 | |||||
FNMA, 5.00%, 3/1/20 | 20 | 22 | |||||
FNMA, 5.00%, 3/1/20 | 21 | 22 | |||||
FNMA, 5.00%, 4/1/20 | 136 | 144 | |||||
FNMA, 5.00%, 5/1/20 | 29 | 31 | |||||
FNMA, 5.00%, 5/1/20 | 133 | 141 | |||||
FNMA, 5.00%, 7/1/20 | 260 | 274 | |||||
FNMA, 7.00%, 5/1/26 | 1,612 | 1,692 | |||||
FNMA, 7.00%, 6/1/26 | 769 | 847 | |||||
FNMA, 6.50%, 4/1/29 | 4,778 | 5,299 | |||||
FNMA, 6.50%, 6/1/29 | 8,546 | 9,475 | |||||
FNMA, 6.50%, 6/1/29 | 5,712 | 6,335 | |||||
FNMA, 7.00%, 7/1/29 | 945 | 946 | |||||
FNMA, 6.50%, 8/1/29 | 7,566 | 8,484 | |||||
FNMA, 7.00%, 3/1/30 | 4,963 | 5,427 | |||||
FNMA, 7.50%, 9/1/30 | 3,482 | 4,068 | |||||
FNMA, 6.50%, 9/1/31 | 25,497 | 28,280 | |||||
FNMA, 7.00%, 9/1/31 | 12,247 | 12,916 | |||||
FNMA, 6.50%, 1/1/32 | 5,665 | 6,316 | |||||
FNMA, 5.50%, 6/1/33 | 37,282 | 41,613 |
39
Shares/ Principal Amount | Value | ||||||
FNMA, 5.50%, 8/1/33 | $ | 250,329 | $ | 282,599 | |||
FNMA, 5.00%, 11/1/33 | 211,793 | 235,086 | |||||
FNMA, 5.50%, 1/1/34 | 218,262 | 246,372 | |||||
FNMA, 3.50%, 3/1/34 | 255,304 | 266,509 | |||||
FNMA, 5.50%, 9/1/34 | 10,742 | 12,080 | |||||
FNMA, 5.50%, 10/1/34 | 11,577 | 13,072 | |||||
FNMA, 6.00%, 10/1/34 | 19,261 | 21,267 | |||||
FNMA, 5.00%, 11/1/34 | 56,952 | 61,200 | |||||
FNMA, 5.50%, 3/1/35 | 641 | 691 | |||||
FNMA, 5.50%, 3/1/35 | 4,362 | 4,723 | |||||
FNMA, 5.50%, 3/1/35 | 4,497 | 4,864 | |||||
FNMA, 5.50%, 3/1/35 | 10,583 | 11,940 | |||||
FNMA, 5.50%, 3/1/35 | 8,590 | 9,455 | |||||
FNMA, 5.00%, 4/1/35 | 9,505 | 10,495 | |||||
FNMA, 6.00%, 5/1/35 | 4,039 | 4,549 | |||||
FNMA, 6.00%, 6/1/35 | 4,319 | 4,762 | |||||
FNMA, 6.00%, 6/1/35 | 1,175 | 1,305 | |||||
FNMA, 6.00%, 6/1/35 | 351 | 390 | |||||
FNMA, 5.00%, 7/1/35 | 54,195 | 60,648 | |||||
FNMA, 5.50%, 7/1/35 | 6,614 | 7,281 | |||||
FNMA, 6.00%, 7/1/35 | 23,397 | 26,921 | |||||
FNMA, 6.00%, 7/1/35 | 2,901 | 3,205 | |||||
FNMA, 6.00%, 7/1/35 | 8,486 | 9,397 | |||||
FNMA, 5.50%, 8/1/35 | 5,152 | 5,782 | |||||
FNMA, 4.50%, 9/1/35 | 216,938 | 236,665 | |||||
FNMA, 5.50%, 9/1/35 | 6,104 | 6,579 | |||||
FNMA, 5.50%, 9/1/35 | 475 | 536 | |||||
FNMA, 5.50%, 9/1/35 | 314 | 355 | |||||
FNMA, 5.50%, 9/1/35 | 7,510 | 8,481 | |||||
FNMA, 5.50%, 9/1/35 | 40,387 | 45,613 | |||||
FNMA, 5.00%, 10/1/35 | 8,456 | 9,389 | |||||
FNMA, 5.50%, 10/1/35 | 94,522 | 106,732 | |||||
FNMA, 6.00%, 10/1/35 | 16,845 | 18,959 | |||||
FNMA, 5.50%, 11/1/35 | 47,139 | 52,152 | |||||
FNMA, 6.00%, 11/1/35 | 5,196 | 5,732 | |||||
FNMA, 6.50%, 11/1/35 | 2,578 | 2,911 | |||||
FNMA, 6.50%, 12/1/35 | 4,861 | 5,403 | |||||
FNMA, 6.50%, 4/1/36 | 5,890 | 6,670 | |||||
FNMA, 6.00%, 8/1/36 | 6,399 | 7,350 | |||||
FNMA, 5.00%, 10/1/36 | 58,646 | 62,748 | |||||
FNMA, 5.00%, 11/1/36 | 23,833 | 25,501 | |||||
FNMA, 5.50%, 1/1/37 | 288,036 | 325,619 | |||||
FNMA, 6.00%, 5/1/37 | 5,525 | 6,354 | |||||
FNMA, 6.00%, 7/1/37 | 1,576 | 1,808 | |||||
FNMA, 6.50%, 8/1/37 | 1,671 | 1,870 | |||||
FNMA, 6.50%, 8/1/37 | 148,317 | 155,956 | |||||
FNMA, 6.50%, 8/1/37 | 392,996 | 416,035 |
40
Shares/ Principal Amount | Value | ||||||
FNMA, 5.00%, 4/1/40 | $ | 723,348 | $ | 803,762 | |||
FNMA, 4.00%, 1/1/41 | 2,659,937 | 2,890,278 | |||||
FNMA, 5.00%, 6/1/41 | 560,533 | 622,822 | |||||
FNMA, 4.50%, 7/1/41 | 579,791 | 633,882 | |||||
FNMA, 4.50%, 9/1/41 | 1,494,803 | 1,634,274 | |||||
FNMA, 4.50%, 9/1/41 | 16,250 | 17,766 | |||||
FNMA, 4.00%, 12/1/41 | 1,209,079 | 1,302,997 | |||||
FNMA, 3.50%, 5/1/42 | 1,089,127 | 1,152,641 | |||||
FNMA, 3.50%, 6/1/42 | 537,211 | 573,107 | |||||
FNMA, 3.00%, 11/1/42 | 804,191 | 834,980 | |||||
FNMA, 4.00%, 4/1/46 | 1,013,797 | 1,073,125 | |||||
FNMA, 6.50%, 8/1/47 | 17,166 | 18,427 | |||||
FNMA, 6.50%, 9/1/47 | 34,758 | 37,201 | |||||
FNMA, 6.50%, 9/1/47 | 1,670 | 1,790 | |||||
FNMA, 6.50%, 9/1/47 | 18,274 | 19,555 | |||||
FNMA, 4.50%, 7/1/48 | 1,089,274 | 1,158,526 | |||||
FNMA, 4.00%, 1/1/49 | 2,516,021 | 2,633,418 | |||||
FNMA, 3.50%, 6/1/49 | 3,919,406 | 4,065,152 | |||||
FNMA, 3.00%, 11/1/49 | 3,489,521 | 3,569,711 | |||||
GNMA, 9.00%, 4/20/25 | 430 | 470 | |||||
GNMA, 7.50%, 10/15/25 | 1,683 | 1,706 | |||||
GNMA, 6.00%, 4/15/26 | 464 | 511 | |||||
GNMA, 7.50%, 6/15/26 | 1,621 | 1,660 | |||||
GNMA, 7.00%, 12/15/27 | 8,366 | 8,384 | |||||
GNMA, 7.50%, 12/15/27 | 3,106 | 3,370 | |||||
GNMA, 6.00%, 5/15/28 | 5,227 | 5,762 | |||||
GNMA, 6.50%, 5/15/28 | 4,663 | 5,147 | |||||
GNMA, 7.00%, 5/15/31 | 15,716 | 18,258 | |||||
GNMA, 5.50%, 11/15/32 | 45,313 | 50,214 | |||||
GNMA, 6.50%, 10/15/38 | 627,073 | 726,605 | |||||
GNMA, 4.50%, 5/20/41 | 774,258 | 840,921 | |||||
GNMA, 4.50%, 6/15/41 | 310,699 | 343,390 | |||||
GNMA, 3.50%, 7/20/42 | 331,321 | 350,543 | |||||
GNMA, 3.50%, 4/20/45 | 155,434 | 163,035 | |||||
GNMA, 2.50%, 2/20/47 | 89,692 | 91,200 | |||||
29,211,396 | |||||||
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $29,243,081) | 30,191,778 | ||||||
MUNICIPAL SECURITIES — 2.7% | |||||||
Bay Area Toll Authority Rev., 6.92%, 4/1/40 | 130,000 | 200,681 | |||||
Calcasieu Parish Public Trust Authority Rev., (WPT Corp.), VRDN, 1.10%, 2/7/20 (LOC: FHLMC) | 1,285,000 | 1,285,000 | |||||
Chicago Midway International Airport Rev., VRDN, 0.93%, 2/7/20 (LOC: Bank of Montreal) | 1,700,000 | 1,700,000 | |||||
Erie County Industrial Development Agency (The) Rev., (Our Lady of Victory Renaissance Corp.), VRDN, 1.02%, 2/7/20 (LOC: HSBC Bank USA N.A.) | 1,165,000 | 1,165,000 | |||||
Illinois Housing Development Authority Rev., VRDN, 1.57%, 2/7/20 (LIQ FAC: FHLB) | 3,850,000 | 3,850,000 |
41
Shares/ Principal Amount | Value | ||||||
Kansas City Rev., VRDN, 1.59%, 2/7/20 (LOC: JPMorgan Chase Bank N.A.) | $ | 1,760,000 | $ | 1,760,000 | |||
Kansas City Rev., VRDN, 1.61%, 2/7/20 (LOC: JPMorgan Chase Bank N.A.) | 525,000 | 525,000 | |||||
Los Angeles Community College District GO, 6.68%, 8/1/36 | 120,000 | 182,374 | |||||
Massachusetts Educational Financing Authority, 1.66%, 2/13/20 (LOC: Royal Bank of Canada) | 2,500,000 | 2,499,881 | |||||
Metropolitan Transportation Authority Rev., 6.69%, 11/15/40 | 30,000 | 43,861 | |||||
Metropolitan Transportation Authority Rev., 6.81%, 11/15/40 | 15,000 | 22,221 | |||||
New Jersey Turnpike Authority Rev., 7.10%, 1/1/41 | 140,000 | 225,363 | |||||
New York City GO, 6.27%, 12/1/37 | 40,000 | 57,997 | |||||
Ohio Water Development Authority Water Pollution Control Loan Fund Rev., 4.88%, 12/1/34 | 200,000 | 239,598 | |||||
Orange County Housing Finance Authority Rev., (Landings on Millenia Boulevard Partners Ltd.), VRDN, 1.75%, 2/7/20 (LOC: FNMA) | 100,000 | 100,000 | |||||
Pasadena Public Financing Authority Rev., VRDN, 1.60%, 2/7/20 (SBBPA: Bank of the West) | 4,160,000 | 4,160,000 | |||||
Port Authority of New York & New Jersey Rev., 4.46%, 10/1/62 | 130,000 | 175,834 | |||||
Rutgers The State University of New Jersey Rev., 5.67%, 5/1/40 | 130,000 | 176,977 | |||||
Sacramento Municipal Utility District Rev., 6.16%, 5/15/36 | 170,000 | 235,831 | |||||
Salt River Project Agricultural Improvement & Power District Rev., 4.84%, 1/1/41 | 165,000 | 216,533 | |||||
San Francisco Public Utilities Commission Water Rev., 6.00%, 11/1/40 | 135,000 | 184,552 | |||||
San Francisco Public Utilities Commission Water Rev., 6.95%, 11/1/50 | 15,000 | 24,746 | |||||
State of California GO, 4.60%, 4/1/38 | 100,000 | 113,399 | |||||
State of California GO, 7.55%, 4/1/39 | 60,000 | 101,539 | |||||
State of California GO, 7.30%, 10/1/39 | 90,000 | 144,058 | |||||
State of Illinois GO, 5.10%, 6/1/33 | 170,000 | 191,801 | |||||
State of Oregon Department of Transportation Rev., 5.83%, 11/15/34 | 30,000 | 41,734 | |||||
Tempe Industrial Development Authority Rev., (ASUF Brickyard LLC), VRDN, 1.61%, 2/7/20 (LOC: Bank of America N.A.) | 1,453,000 | 1,453,000 | |||||
Tennis for Charity, Inc. Rev., VRDN, 1.60%, 2/7/20 (LOC: JPMorgan Chase Bank N.A.) | 2,415,000 | 2,415,000 | |||||
TOTAL MUNICIPAL SECURITIES (Cost $22,823,432) | 23,491,980 | ||||||
ASSET-BACKED SECURITIES — 1.5% | |||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A SEQ, 2.94%, 5/25/29(3) | 230,583 | 232,461 | |||||
Hilton Grand Vacations Trust, Series 2014-AA, Class A SEQ, 1.77%, 11/25/26(3) | 156,083 | 155,895 | |||||
Invitation Homes Trust, Series 2018-SFR1, Class A, VRN, 2.37%, (1-month LIBOR plus 0.70%), 3/17/37(3) | 1,010,611 | 1,004,456 | |||||
Invitation Homes Trust, Series 2018-SFR1, Class B, VRN, 2.62%, (1-month LIBOR plus 0.95%), 3/17/37(3) | 2,725,000 | 2,711,482 | |||||
Invitation Homes Trust, Series 2018-SFR2, Class C, VRN, 2.96%, (1-month LIBOR plus 1.28%), 6/17/37(3) | 975,000 | 977,934 | |||||
Invitation Homes Trust, Series 2018-SFR3, Class B, VRN, 2.82%, (1-month LIBOR plus 1.15%), 7/17/37(3) | 1,450,000 | 1,454,006 |
42
Shares/ Principal Amount | Value | ||||||
Invitation Homes Trust, Series 2018-SFR4, Class B, VRN, 2.92%, (1-month LIBOR plus 1.25%), 1/17/38(3) | $ | 1,000,000 | $ | 1,001,735 | |||
MVW Owner Trust, Series 2014-1A, Class A SEQ, 2.25%, 9/22/31(3) | 117,289 | 117,338 | |||||
MVW Owner Trust, Series 2015-1A, Class A SEQ, 2.52%, 12/20/32(3) | 111,033 | 111,415 | |||||
MVW Owner Trust, Series 2016-1A, Class A SEQ, 2.25%, 12/20/33(3) | 119,796 | 119,773 | |||||
MVW Owner Trust, Series 2017-1A, Class A SEQ, 2.42%, 12/20/34(3) | 42,998 | 43,457 | |||||
Progress Residential Trust, Series 2018-SFR1, Class B, 3.48%, 3/17/35(3) | 150,000 | 152,008 | |||||
Progress Residential Trust, Series 2018-SFR3, Class C, 4.18%, 10/17/35(3) | 1,725,000 | 1,777,758 | |||||
Sierra Timeshare Conduit Receivables Funding LLC, Series 2017-1A, Class A SEQ, 2.91%, 3/20/34(3) | 121,080 | 122,692 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2016-2A, Class A SEQ, 2.33%, 7/20/33(3) | 39,390 | 39,496 | |||||
Sierra Timeshare Receivables Funding LLC, Series 2018-2A, Class B, 3.65%, 6/20/35(3) | 588,423 | 606,747 | |||||
Towd Point Mortgage Trust, Series 2018-4, Class A1, VRN, 3.00%, 6/25/58(3) | 850,080 | 881,360 | |||||
UAL Pass-Through Trust, Series 2007-1, Class A, 6.64%, 1/2/24 | 52,510 | 56,113 | |||||
US Airways Pass-Through Trust, Series 2013-1, Class A, 3.95%, 5/15/27 | 97,854 | 105,054 | |||||
VSE VOI Mortgage LLC, Series 2016-A, Class A SEQ, 2.54%, 7/20/33(3) | 374,232 | 374,862 | |||||
VSE VOI Mortgage LLC, Series 2018-A, Class B, 3.72%, 2/20/36(3) | 612,869 | 629,820 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $12,520,723) | 12,675,862 | ||||||
COLLATERALIZED LOAN OBLIGATIONS — 1.3% | |||||||
Ares XLI CLO Ltd., Series 2016-41A, Class AR, VRN, 3.03%, (3-month LIBOR plus 1.20%), 1/15/29(3) | 1,025,000 | 1,025,651 | |||||
Ares XXXIIR CLO Ltd., Series 2014-32RA, Class A2A, VRN, 3.46%, (3-month LIBOR plus 1.55%), 5/15/30(3) | 600,000 | 593,615 | |||||
Bean Creek CLO Ltd., Series 2015-1A, Class AR, VRN, 2.84%, (3-month LIBOR plus 1.02%), 4/20/31(3) | 375,000 | 370,440 | |||||
Bean Creek CLO Ltd., Series 2015-1A, Class BR, VRN, 3.27%, (3-month LIBOR plus 1.45%), 4/20/31(3) | 225,000 | 220,110 | |||||
Carlyle Global Market Strategies CLO Ltd., Series 2014-2RA, Class A3, VRN, 3.41%, (3-month LIBOR plus 1.50%), 5/15/31(3) | 2,000,000 | 1,971,245 | |||||
CBAM Ltd., Series 2018-5A, Class B1, VRN, 3.24%, (3-month LIBOR plus 1.40%), 4/17/31(3) | 350,000 | 342,030 | |||||
CIFC Funding Ltd., Series 2013-3RA, Class A1, VRN, 2.78%, (3-month LIBOR plus 0.98%), 4/24/31(3) | 750,000 | 746,836 | |||||
Dryden 64 CLO Ltd., Series 2018-64A, Class A, VRN, 2.79%, (3-month LIBOR plus 0.97%), 4/18/31(3) | 1,000,000 | 991,244 | |||||
Goldentree Loan Management US CLO 3 Ltd., Series 2018-3A, Class B1, VRN, 3.37%, (3-month LIBOR plus 1.55%), 4/20/30(3) | 600,000 | 600,331 | |||||
Goldentree Loan Management US CLO 5 Ltd., Series 2019-5A, Class A, VRN, 3.49%, (3-month LIBOR plus 1.30%), 10/20/32(3) | 600,000 | 599,483 | |||||
Goldentree Loan Opportunities X Ltd., Series 2015-10A, Class AR, VRN, 2.94%, (3-month LIBOR plus 1.12%), 7/20/31(3) | 300,000 | 299,080 |
43
Shares/ Principal Amount | Value | ||||||
KKR CLO Ltd., Series 2022A, Class B, VRN, 3.42%, (3-month LIBOR plus 1.60%), 7/20/31(3) | $ | 350,000 | $ | 346,915 | |||
Magnetite VIII Ltd., Series 2014-8A, Class BR2, VRN, 3.33%, (3-month LIBOR plus 1.50%), 4/15/31(3) | 600,000 | 593,458 | |||||
Sounds Point CLO IV-R Ltd., Series 2013-3RA, Class B, VRN, 3.57%, (3-month LIBOR plus 1.75%), 4/18/31(3) | 125,000 | 125,101 | |||||
Symphony CLO XXII Ltd., Series 2020-22A, Class B, VRN, 3.45%, (3-month LIBOR plus 1.70%), 4/18/33(3)(7) | 1,000,000 | 1,000,000 | |||||
Voya CLO Ltd., Series 2013-3A, Class A2RR, VRN, 3.52%, (3-month LIBOR plus 1.70%), 10/18/31(3) | 900,000 | 893,209 | |||||
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $10,781,521) | 10,718,748 | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.9% | |||||||
Private Sponsor Collateralized Mortgage Obligations — 0.6% | |||||||
ABN Amro Mortgage Corp., Series 2003-4, Class A4, 5.50%, 3/25/33 | 23,922 | 24,281 | |||||
Adjustable Rate Mortgage Trust, Series 2004-4, Class 4A1, VRN, 4.05%, 3/25/35 | 51,688 | 53,149 | |||||
Agate Bay Mortgage Trust, Series 2016-1, Class A5 SEQ, VRN, 3.50%, 12/25/45(3) | 51,073 | 51,433 | |||||
Banc of America Mortgage Trust, Series 2004-E, Class 2A6 SEQ, VRN, 4.78%, 6/25/34 | 116,688 | 118,588 | |||||
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-8, Class 2A1, VRN, 3.98%, 11/25/34 | 29,262 | 29,375 | |||||
Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A4, VRN, 4.04%, 8/25/34 | 47,290 | 46,972 | |||||
Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A5, VRN, 3.86%, 8/25/34 | 89,165 | 90,891 | |||||
Citigroup Mortgage Loan Trust, Inc., Series 2005-4, Class A, VRN, 4.60%, 8/25/35 | 60,354 | 62,478 | |||||
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates, Series 2005-3, Class 1A1, VRN, 5.50%, 7/25/35 | 127,799 | 138,157 | |||||
Credit Suisse Mortgage Trust, Series 2017-HL2, Class A3 SEQ, VRN, 3.50%, 10/25/47(3) | 163,615 | 166,998 | |||||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1,VRN, 3.94%, 10/25/34 | 95,260 | 96,198 | |||||
First Horizon Mortgage Pass-Through Trust, Series 2005-AR3, Class 4A1, VRN, 5.01%, 8/25/35 | 40,490 | 42,552 | |||||
GSR Mortgage Loan Trust, Series 2004-7, Class 3A1, VRN, 4.06%, 6/25/34 | 40,019 | 40,232 | |||||
GSR Mortgage Loan Trust, Series 2004-AR5, Class 3A3, VRN, 4.69%, 5/25/34 | 88,823 | 92,347 | |||||
GSR Mortgage Loan Trust, Series 2005-AR1, Class 3A1, VRN, 4.00%, 1/25/35 | 101,463 | 103,531 | |||||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1, VRN, 4.10%, 9/25/35 | 160,950 | 166,510 | |||||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, VRN, 4.51%, 9/25/35 | 35,421 | 36,494 | |||||
JPMorgan Mortgage Trust, Series 2005-A4, Class 1A1, VRN, 4.09%, 7/25/35 | 50,798 | 51,640 | |||||
JPMorgan Mortgage Trust, Series 2005-A4, Class 2A1, VRN, 4.29%, 7/25/35 | 39,849 | 40,265 | |||||
JPMorgan Mortgage Trust, Series 2006-A3, Class 7A1, VRN, 4.41%, 4/25/35 | 82,745 | 85,224 | |||||
JPMorgan Mortgage Trust, Series 2013-1, Class 2A2 SEQ, VRN, 2.50%, 3/25/43(3) | 8,579 | 8,665 |
44
Shares/ Principal Amount | Value | ||||||
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7, VRN, 4.69%, 11/21/34 | $ | 299,986 | $ | 309,968 | |||
Merrill Lynch Mortgage Investors Trust, Series 2005-3, Class 2A, VRN, 3.84%, 11/25/35 | 83,527 | 86,019 | |||||
Merrill Lynch Mortgage Investors Trust, Series 2005-A2, Class A1, VRN, 3.88%, 2/25/35 | 84,445 | 86,501 | |||||
Merrill Lynch Mortgage Investors Trust, Series 2005-A2, Class A2, VRN, 3.88%, 2/25/35 | 26,389 | 26,968 | |||||
New Residential Mortgage Loan Trust, Series 2017-2A, Class A3, VRN, 4.00%, 3/25/57(3) | 485,307 | 517,649 | |||||
New Residential Mortgage Loan Trust, Series 2017-5A, Class A1, VRN, 3.16%, (1-month LIBOR plus 1.50%), 6/25/57(3) | 293,285 | 298,725 | |||||
Sequoia Mortgage Trust, Series 2017-7, Class A4 SEQ, VRN, 3.50%, 10/25/47(3) | 526,144 | 541,757 | |||||
Sequoia Mortgage Trust, Series 2018-2, Class A4 SEQ, VRN, 3.50%, 2/25/48(3) | 355,630 | 362,982 | |||||
Sequoia Mortgage Trust, Series 2018-CH2, Class A12 SEQ, VRN, 4.00%, 6/25/48(3) | 411,099 | 416,646 | |||||
Sofi Mortgage Trust, Series 2016-1A, Class 1A4 SEQ, VRN, 3.00%, 11/25/46(3) | 169,021 | 169,820 | |||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Class 2A1, VRN, 3.79%, 7/25/34 | 66,030 | 67,569 | |||||
Thornburg Mortgage Securities Trust, Series 2004-3, Class A, VRN, 2.40%, (1-month LIBOR plus 0.74%), 9/25/34 | 277,942 | 277,948 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2003-S11, Class 3A5, 5.95%, 11/25/33 | 52,301 | 54,227 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR3, Class A1, VRN, 4.39%, 3/25/35 | 231,704 | 231,437 | |||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR7, Class A3, VRN, 4.29%, 8/25/35 | 104,315 | 105,594 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR7, Class 1A1, VRN, 5.08%, 5/25/35 | 90,984 | 91,052 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR12, Class 1A1, VRN, 4.72%, 9/25/36 | 70,231 | 68,940 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-15, Class A1, 6.00%, 11/25/37 | 49,647 | 49,068 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-AR10, Class 1A1, VRN, 4.26%, 1/25/38 | 54,040 | 50,109 | |||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-AR7, Class A1, VRN, 4.35%, 12/28/37 | 51,913 | 49,502 | |||||
5,408,461 | |||||||
U.S. Government Agency Collateralized Mortgage Obligations — 0.3% | |||||||
FHLMC, Series 2016-HQA3, Class M2, VRN, 3.01%, (1-month LIBOR plus 1.35%), 3/25/29 | 54,697 | 54,923 | |||||
FHLMC, Series 2018-DNA1, Class M1, VRN, 2.11%, (1-month LIBOR plus 0.45%), 7/25/30 | 44,776 | 44,748 | |||||
FNMA, Series 2014-C02, Class 1M2, VRN, 4.26%, (1-month LIBOR plus 2.60%), 5/25/24 | 204,265 | 212,701 | |||||
FNMA, Series 2014-C02, Class 2M2, VRN, 4.26%, (1-month LIBOR plus 2.60%), 5/25/24 | 401,135 | 415,392 | |||||
FNMA, Series 2017-C03, Class 1M2, VRN, 4.66%, (1-month LIBOR plus 3.00%), 10/25/29 | 130,000 | 136,540 | |||||
FNMA, Series 2017-C07, Class 1M2, VRN, 4.06%, (1-month LIBOR plus 2.40%), 5/25/30 | 1,200,000 | 1,224,347 | |||||
2,088,651 | |||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $7,382,908) | 7,497,112 |
45
Shares/ Principal Amount | Value | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 0.8% | |||||||
Benchmark Mortgage Trust, Series 2018-B6, Class AS, 4.44%, 10/10/51 | $ | 750,000 | $ | 868,340 | |||
Cantor Commercial Real Estate Lending, Series 2019-CF3, Class B, VRN, 3.50%, 1/15/53 | 600,000 | 644,854 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR15, Class AM, VRN, 4.43%, 2/10/47 | 700,000 | 761,539 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-LC17, Class AM, VRN, 4.19%, 10/10/47 | 700,000 | 758,783 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS5, Class AM, VRN, 4.19%, 9/10/47 | 750,000 | 805,738 | |||||
Commercial Mortgage Pass-Through Certificates, Series 2015-CR22, Class AM, VRN, 3.60%, 3/10/48 | 775,000 | 827,362 | |||||
CSAIL Commercial Mortgage Trust, Series 2017-CX10, Class AS, VRN, 3.67%, 11/15/50 | 50,000 | 54,139 | |||||
GS Mortgage Securities Trust, Series 2016-GS2, Class B, VRN, 3.76%, 5/10/49 | 700,000 | 747,397 | |||||
GS Mortgage Securities Trust, Series 2020-GC45, Class AS, 3.17%, 2/13/53 | 500,000 | 530,439 | |||||
GS Mortgage Securities Trust, Series 2020-GC45, Class B, 3.41%, 2/13/53 | 700,000 | 743,583 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class B, 3.46%, 8/15/49 | 200,000 | 210,450 | |||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $6,599,057) | 6,952,624 | ||||||
COMMERCIAL PAPER(4) — 0.5% | |||||||
Exxon Mobil Corp., 1.60%, 3/17/20 | 1,500,000 | 1,497,114 | |||||
Thunder Bay Funding LLC, VRN, 1.80%, (Daily EFFR plus 0.20%), 7/20/20(3) | 3,000,000 | 3,000,205 | |||||
TOTAL COMMERCIAL PAPER (Cost $4,497,056) | 4,497,319 | ||||||
EXCHANGE-TRADED FUNDS — 0.4% | |||||||
iShares MSCI EAFE Value ETF | 8,680 | 414,991 | |||||
iShares MSCI Emerging Markets ETF | 1,288 | 54,238 | |||||
iShares Russell 1000 Growth ETF | 3,698 | 665,270 | |||||
iShares Russell Mid-Cap Value ETF | 14,753 | 1,370,996 | |||||
SPDR S&P 500 ETF Trust | 613 | 197,220 | |||||
SPDR S&P Oil & Gas Exploration & Production ETF | 16,497 | 316,083 | |||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $3,013,640) | 3,018,798 | ||||||
U.S. GOVERNMENT AGENCY SECURITIES — 0.3% | |||||||
Federal Home Loan Bank, VRN, 1.61%, (SOFR plus 0.03%), 3/6/20 (Cost $2,500,000) | $ | 2,500,000 | 2,499,904 | ||||
TEMPORARY CASH INVESTMENTS — 4.3% | |||||||
Bank of Nova Scotia, VRN, 2.08%, (3-month LIBOR plus 0.19%), 3/11/20 | 2,600,000 | 2,600,800 | |||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 34,334,276 | 34,334,276 | |||||
TOTAL TEMPORARY CASH INVESTMENTS (Cost $36,935,244) | 36,935,076 | ||||||
TOTAL INVESTMENT SECURITIES — 100.0% (Cost $761,845,721) | 855,016,691 | ||||||
OTHER ASSETS AND LIABILITIES† | (41,565 | ) | |||||
TOTAL NET ASSETS — 100.0% | $ | 854,975,126 |
46
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
AUD | 2,012,863 | USD | 1,391,492 | UBS AG | 3/18/20 | $ | (43,027 | ) | ||
USD | 147,235 | AUD | 212,989 | UBS AG | 3/18/20 | 4,549 | ||||
USD | 357,057 | AUD | 517,354 | UBS AG | 3/18/20 | 10,469 | ||||
USD | 1,042,173 | AUD | 1,509,848 | UBS AG | 3/18/20 | 30,689 | ||||
USD | 689,197 | AUD | 984,427 | UBS AG | 3/18/20 | 29,706 | ||||
BRL | 4,625,196 | USD | 1,123,930 | Goldman Sachs & Co. | 3/18/20 | (46,387 | ) | |||
USD | 1,127,272 | BRL | 4,625,196 | Goldman Sachs & Co. | 3/18/20 | 49,729 | ||||
CAD | 7,767 | USD | 5,979 | Morgan Stanley | 3/31/20 | (111 | ) | |||
CAD | 14,635 | USD | 11,206 | Morgan Stanley | 3/31/20 | (148 | ) | |||
CAD | 30,583 | USD | 23,301 | Morgan Stanley | 3/31/20 | (192 | ) | |||
CAD | 23,351 | USD | 17,690 | Morgan Stanley | 3/31/20 | (46 | ) | |||
USD | 621,366 | CAD | 819,016 | Morgan Stanley | 3/18/20 | 2,517 | ||||
USD | 683,122 | CAD | 893,380 | Morgan Stanley | 3/18/20 | 8,083 | ||||
USD | 540,854 | CAD | 711,329 | Morgan Stanley | 3/31/20 | 3,370 | ||||
USD | 206,302 | CAD | 271,327 | Morgan Stanley | 3/31/20 | 1,285 | ||||
USD | 13,989 | CAD | 18,398 | Morgan Stanley | 3/31/20 | 88 | ||||
USD | 5,525 | CAD | 7,214 | Morgan Stanley | 3/31/20 | 74 | ||||
CHF | 10,669 | USD | 11,036 | UBS AG | 3/31/20 | 85 | ||||
CHF | 4,563 | USD | 4,737 | UBS AG | 3/31/20 | 19 | ||||
CHF | 16,290 | USD | 16,879 | UBS AG | 3/31/20 | 99 | ||||
USD | 417,861 | CHF | 409,349 | UBS AG | 3/18/20 | (8,403 | ) | |||
USD | 414,165 | CHF | 397,661 | UBS AG | 3/18/20 | 73 | ||||
USD | 418,387 | CHF | 403,032 | UBS AG | 3/18/20 | (1,299 | ) | |||
USD | 359,253 | CHF | 349,559 | UBS AG | 3/31/20 | (5,082 | ) | |||
USD | 8,699 | CHF | 8,442 | UBS AG | 3/31/20 | (99 | ) | |||
USD | 9,112 | CHF | 8,879 | UBS AG | 3/31/20 | (143 | ) | |||
CLP | 674,277,007 | USD | 878,251 | Goldman Sachs & Co. | 3/18/20 | (36,204 | ) | |||
CLP | 1,073,492,567 | USD | 1,387,658 | Goldman Sachs & Co. | 3/18/20 | (47,066 | ) | |||
CLP | 272,063,004 | USD | 353,903 | Goldman Sachs & Co. | 3/18/20 | (14,147 | ) | |||
USD | 872,497 | CLP | 660,262,201 | Goldman Sachs & Co. | 3/18/20 | 47,952 | ||||
USD | 693,414 | CLP | 536,633,174 | Goldman Sachs & Co. | 3/18/20 | 23,259 | ||||
CNY | 4,773,455 | USD | 681,290 | Goldman Sachs & Co. | 3/18/20 | 169 | ||||
COP | 2,259,044,750 | USD | 689,679 | Goldman Sachs & Co. | 3/18/20 | (30,841 | ) | |||
USD | 1,378,938 | COP | 4,518,089,500 | Goldman Sachs & Co. | 3/18/20 | 61,261 | ||||
USD | 356,866 | COP | 1,171,592,309 | Goldman Sachs & Co. | 3/18/20 | 15,178 | ||||
USD | 90,965 | CZK | 2,083,048 | UBS AG | 3/18/20 | (625 | ) | |||
USD | 62,526 | DKK | 417,393 | Goldman Sachs & Co. | 3/18/20 | 396 | ||||
EUR | 220,000 | USD | 244,243 | JPMorgan Chase Bank N.A. | 2/19/20 | (28 | ) | |||
EUR | 433,479 | USD | 478,680 | JPMorgan Chase Bank N.A. | 2/19/20 | 2,509 | ||||
EUR | 32,190 | USD | 35,869 | Credit Suisse AG | 3/31/20 | (46 | ) | |||
EUR | 31,049 | USD | 35,054 | Credit Suisse AG | 3/31/20 | (500 | ) | |||
EUR | 32,453 | USD | 36,292 | Credit Suisse AG | 3/31/20 | (176 | ) | |||
EUR | 64,160 | USD | 71,181 | Credit Suisse AG | 3/31/20 | 221 | ||||
EUR | 9,847 | USD | 10,887 | Credit Suisse AG | 3/31/20 | 72 | ||||
EUR | 39,233 | USD | 43,633 | Credit Suisse AG | 3/31/20 | 28 |
47
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
EUR | 42,209 | USD | 46,942 | Credit Suisse AG | 3/31/20 | $ | 30 | |||
USD | 11,064,842 | EUR | 9,922,468 | JPMorgan Chase Bank N.A. | 2/19/20 | 50,262 | ||||
USD | 393,513 | EUR | 350,525 | Credit Suisse AG | 3/31/20 | 3,425 | ||||
USD | 1,193,801 | EUR | 1,063,387 | Credit Suisse AG | 3/31/20 | 10,392 | ||||
USD | 1,524,141 | EUR | 1,357,640 | Credit Suisse AG | 3/31/20 | 13,267 | ||||
USD | 9,855 | EUR | 8,836 | Credit Suisse AG | 3/31/20 | 22 | ||||
USD | 28,969 | EUR | 25,748 | Credit Suisse AG | 3/31/20 | 315 | ||||
USD | 37,349 | EUR | 33,515 | Credit Suisse AG | 3/31/20 | 51 | ||||
USD | 40,671 | EUR | 36,728 | Credit Suisse AG | 3/31/20 | (203 | ) | |||
USD | 14,629 | EUR | 13,220 | Credit Suisse AG | 3/31/20 | (83 | ) | |||
GBP | 11,617 | USD | 15,171 | JPMorgan Chase Bank N.A. | 3/31/20 | 193 | ||||
GBP | 8,594 | USD | 11,312 | JPMorgan Chase Bank N.A. | 3/31/20 | 53 | ||||
GBP | 8,960 | USD | 11,671 | JPMorgan Chase Bank N.A. | 3/31/20 | 178 | ||||
GBP | 16,159 | USD | 21,098 | JPMorgan Chase Bank N.A. | 3/31/20 | 271 | ||||
GBP | 24,041 | USD | 31,397 | JPMorgan Chase Bank N.A. | 3/31/20 | 397 | ||||
GBP | 22,773 | USD | 29,837 | JPMorgan Chase Bank N.A. | 3/31/20 | 279 | ||||
GBP | 10,688 | USD | 13,917 | JPMorgan Chase Bank N.A. | 3/31/20 | 218 | ||||
USD | 3,699,431 | GBP | 2,813,298 | Bank of America N.A. | 3/18/20 | (19,794 | ) | |||
USD | 430,435 | GBP | 326,763 | JPMorgan Chase Bank N.A. | 3/31/20 | (1,702 | ) | |||
USD | 1,226,491 | GBP | 931,086 | JPMorgan Chase Bank N.A. | 3/31/20 | (4,849 | ) | |||
USD | 11,797 | GBP | 9,234 | JPMorgan Chase Bank N.A. | 3/31/20 | (414 | ) | |||
HUF | 7,292,121 | USD | 24,765 | UBS AG | 3/18/20 | (754 | ) | |||
IDR | 7,150,113,245 | USD | 507,640 | Goldman Sachs & Co. | 3/18/20 | 7,874 | ||||
USD | 1,388,300 | IDR | 19,609,737,977 | Goldman Sachs & Co. | 3/18/20 | (25,537 | ) | |||
USD | 518,297 | IDR | 7,276,885,892 | Goldman Sachs & Co. | 3/18/20 | (6,357 | ) | |||
USD | 662,586 | ILS | 2,294,938 | UBS AG | 3/18/20 | (3,695 | ) | |||
INR | 73,311,884 | USD | 1,028,939 | Goldman Sachs & Co. | 3/18/20 | (10,223 | ) | |||
INR | 38,057,672 | USD | 525,804 | Goldman Sachs & Co. | 3/18/20 | 3,032 | ||||
INR | 99,635,467 | USD | 1,386,618 | Goldman Sachs & Co. | 3/18/20 | (2,119 | ) | |||
USD | 507,756 | INR | 36,403,554 | Goldman Sachs & Co. | 3/18/20 | 1,905 | ||||
USD | 833,860 | INR | 59,904,490 | Goldman Sachs & Co. | 3/18/20 | 1,448 | ||||
JPY | 34,358,595 | USD | 313,200 | Bank of America N.A. | 2/19/20 | 4,144 | ||||
JPY | 48,101,257 | USD | 437,359 | Bank of America N.A. | 2/19/20 | 6,915 | ||||
JPY | 1,271,436 | USD | 11,755 | Bank of America N.A. | 3/31/20 | 15 | ||||
JPY | 1,437,586 | USD | 13,356 | Bank of America N.A. | 3/31/20 | (48 | ) | |||
JPY | 932,950 | USD | 8,668 | Bank of America N.A. | 3/31/20 | (31 | ) | |||
JPY | 1,514,700 | USD | 13,822 | Bank of America N.A. | 3/31/20 | 199 | ||||
JPY | 887,565 | USD | 8,167 | Bank of America N.A. | 3/31/20 | 49 | ||||
JPY | 1,062,894 | USD | 9,780 | Bank of America N.A. | 3/31/20 | 59 | ||||
JPY | 2,019,600 | USD | 18,580 | Bank of America N.A. | 3/31/20 | 116 | ||||
JPY | 826,200 | USD | 7,614 | Bank of America N.A. | 3/31/20 | 34 | ||||
USD | 4,766,712 | JPY | 516,972,762 | Bank of America N.A. | 2/19/20 | (8,168 | ) | |||
USD | 330,365 | JPY | 35,939,700 | Bank of America N.A. | 3/31/20 | (2,328 | ) | |||
USD | 315,662 | JPY | 34,340,222 | Bank of America N.A. | 3/31/20 | (2,225 | ) | |||
USD | 315,608 | JPY | 34,334,312 | Bank of America N.A. | 3/31/20 | (2,224 | ) | |||
USD | 7,173 | JPY | 780,300 | Bank of America N.A. | 3/31/20 | (50 | ) |
48
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
USD | 11,075 | JPY | 1,202,171 | Bank of America N.A. | 3/31/20 | $ | (54 | ) | ||
KRW | 335,226,476 | USD | 285,676 | Goldman Sachs & Co. | 3/18/20 | (5,248 | ) | |||
KZT | 321,139,223 | USD | 814,041 | Goldman Sachs & Co. | 3/18/20 | 24,556 | ||||
KZT | 369,392,431 | USD | 941,967 | Goldman Sachs & Co. | 3/18/20 | 22,634 | ||||
MXN | 7,025,101 | USD | 366,230 | Morgan Stanley | 3/18/20 | 3,251 | ||||
MXN | 3,538,114 | USD | 185,841 | Morgan Stanley | 3/18/20 | 244 | ||||
USD | 384,423 | MXN | 7,429,549 | Morgan Stanley | 3/18/20 | (6,330 | ) | |||
MYR | 5,193,306 | USD | 1,251,399 | Goldman Sachs & Co. | 3/18/20 | 11,853 | ||||
MYR | 2,780,578 | USD | 673,427 | Goldman Sachs & Co. | 3/18/20 | 2,939 | ||||
USD | 711,717 | MYR | 2,923,379 | Goldman Sachs & Co. | 3/18/20 | 616 | ||||
NOK | 6,291,562 | USD | 698,738 | Goldman Sachs & Co. | 3/18/20 | (14,604 | ) | |||
NOK | 6,384,549 | USD | 718,151 | Goldman Sachs & Co. | 3/18/20 | (23,906 | ) | |||
NOK | 111,988 | USD | 12,704 | Goldman Sachs & Co. | 3/31/20 | (526 | ) | |||
NOK | 155,362 | USD | 17,494 | Goldman Sachs & Co. | 3/31/20 | (599 | ) | |||
USD | 1,802,313 | NOK | 16,397,627 | Goldman Sachs & Co. | 3/18/20 | 19,264 | ||||
USD | 1,460,543 | NOK | 13,284,368 | Goldman Sachs & Co. | 3/18/20 | 16,024 | ||||
USD | 741,178 | NOK | 6,565,055 | Goldman Sachs & Co. | 3/18/20 | 27,305 | ||||
USD | 478,319 | NOK | 4,312,097 | Goldman Sachs & Co. | 3/31/20 | 9,402 | ||||
USD | 11,840 | NOK | 105,746 | Goldman Sachs & Co. | 3/31/20 | 340 | ||||
NZD | 53,309 | USD | 35,142 | Bank of America N.A. | 3/18/20 | (664 | ) | |||
NZD | 1,045,979 | USD | 695,974 | Bank of America N.A. | 3/18/20 | (19,484 | ) | |||
PEN | 2,718,289 | USD | 809,979 | Goldman Sachs & Co. | 3/18/20 | (8,512 | ) | |||
USD | 1,345,644 | PEN | 4,582,188 | Goldman Sachs & Co. | 3/18/20 | (5,380 | ) | |||
PHP | 17,548,113 | USD | 345,980 | Goldman Sachs & Co. | 3/18/20 | (2,739 | ) | |||
USD | 691,035 | PHP | 35,068,619 | Goldman Sachs & Co. | 3/18/20 | 5,092 | ||||
PLN | 2,654,030 | USD | 702,366 | UBS AG | 3/18/20 | (17,220 | ) | |||
PLN | 1,321,205 | USD | 347,917 | UBS AG | 3/18/20 | (6,844 | ) | |||
USD | 844,254 | PLN | 3,253,045 | UBS AG | 3/18/20 | 4,470 | ||||
USD | 35,376 | RUB | 2,245,567 | Goldman Sachs & Co. | 3/18/20 | 412 | ||||
SEK | 18,580,806 | USD | 1,985,468 | Goldman Sachs & Co. | 3/18/20 | (51,453 | ) | |||
USD | 739,692 | SEK | 6,889,938 | Goldman Sachs & Co. | 3/18/20 | 22,541 | ||||
USD | 210,798 | SGD | 285,549 | Bank of America N.A. | 3/18/20 | 1,522 | ||||
USD | 1,528,076 | THB | 46,117,325 | Goldman Sachs & Co. | 3/18/20 | 47,219 | ||||
$ | 127,770 |
49
FUTURES CONTRACTS PURCHASED | |||||||||||
Reference Entity | Contracts | Expiration Date | Notional Amount | Underlying Contract Value | Unrealized Appreciation (Depreciation) | ||||||
Japanese 10-Year Mini Government Bonds | 12 | March 2020 | JPY | 120,000,000 | $ | 1,693,323 | $ | 3,710 | |||
Korean Treasury 10-Year Bonds | 10 | March 2020 | KRW | 1,000,000,000 | 1,104,418 | 13,743 | |||||
U.S. Treasury 10-Year Notes | 62 | March 2020 | USD | 6,200,000 | 8,162,687 | 127,736 | |||||
U.S. Treasury 2-Year Notes | 253 | March 2020 | USD | 50,600,000 | 54,738,922 | 181,275 | |||||
U.S. Treasury 5-Year Notes | 91 | March 2020 | USD | 9,100,000 | 10,949,148 | 114,967 | |||||
$ | 76,648,498 | $ | 441,431 |
FUTURES CONTRACTS SOLD | |||||||||||
Reference Entity | Contracts | Expiration Date | Notional Amount | Underlying Contract Value | Unrealized Appreciation (Depreciation) | ||||||
Euro-Bund 10-Year Bonds | 3 | March 2020 | EUR | 300,000 | $ | 582,384 | $ | (6,414 | ) |
50
NOTES TO SCHEDULE OF INVESTMENTS | |||||
ADR | - | American Depositary Receipt | LOC | - | Letter of Credit |
AUD | - | Australian Dollar | MTN | - | Medium Term Note |
BRL | - | Brazilian Real | MXN | - | Mexican Peso |
CAD | - | Canadian Dollar | MYR | - | Malaysian Ringgit |
CHF | - | Swiss Franc | NOK | - | Norwegian Krone |
CLP | - | Chilean Peso | NZD | - | New Zealand Dollar |
CNY | - | Chinese Yuan | PEN | - | Peruvian Sol |
COP | - | Colombian Peso | PHP | - | Philippine Peso |
CZK | - | Czech Koruna | PLN | - | Polish Zloty |
DKK | - | Danish Krone | RUB | - | Russian Ruble |
EFFR | - | Effective Federal Funds Rate | SBBPA | - | Standby Bond Purchase Agreement |
EUR | - | Euro | SEK | - | Swedish Krona |
FHLB | - | Federal Home Loan Bank | SEQ | - | Sequential Payer |
FHLMC | - | Federal Home Loan Mortgage Corporation | SGD | - | Singapore Dollar |
FNMA | - | Federal National Mortgage Association | SOFR | - | Secured Overnight Financing Rate |
GBP | - | British Pound | THB | - | Thai Baht |
GNMA | - | Government National Mortgage Association | USD | - | United States Dollar |
GO | - | General Obligation | VRDN | - | Variable Rate Demand Note. The instrument may be payable upon demand and adjusts periodically based upon the terms set forth in the security's offering documents. The rate shown is effective at the period end and the reference rate and spread, if any, is indicated. The date of the demand feature is disclosed. |
H15T1Y | - | Constant Maturity U.S. Treasury Note Yield Curve Rate Index | |||
HUF | - | Hungarian Forint | |||
IDR | - | Indonesian Rupiah | |||
ILS | - | Israeli Shekel | |||
INR | - | Indian Rupee | VRN | - | Variable Rate Note. The rate adjusts periodically based upon the terms set forth in the security’s offering documents. The rate shown is effective at the period end and the reference rate and spread, if any, is indicated. |
JPY | - | Japanese Yen | |||
KRW | - | South Korean Won | |||
KZT | - | Kazakhstani Tenge | |||
LIBOR | - | London Interbank Offered Rate | |||
LIQ FAC | - | Liquidity Facilities |
† 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) | Security was purchased pursuant to Rule 144A or Section 4(2) under the Securities Act of 1933 and may be sold in transactions exempt from registration, normally to qualified institutional investors. The aggregate value of these securities at the period end was $48,779,804, which represented 5.7% of total net assets. |
(4) | 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. |
(5) | Security, or a portion thereof, has been pledged at the custodian bank or with a broker for collateral requirements on forward foreign currency exchange contracts and/or futures contracts. At the period end, the aggregate value of securities pledged was $359,629. |
(6) | Security is a zero-coupon bond. |
(7) | 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. |
See Notes to Financial Statements.
51
Statement of Assets and Liabilities |
JANUARY 31, 2020 (UNAUDITED) | |||
Assets | |||
Investment securities - unaffiliated, at value (cost of $489,042,312) | $ | 571,877,393 | |
Investment securities - affiliated, at value (cost of $272,803,409) | 283,139,298 | ||
Total investment securities, at value (cost of $761,845,721) | 855,016,691 | ||
Cash | 93,787 | ||
Foreign currency holdings, at value (cost of $5,917) | 5,875 | ||
Foreign deposits with broker for futures contracts, at value (cost of $154,156) | 148,068 | ||
Receivable for investments sold | 1,567,205 | ||
Receivable for capital shares sold | 605,363 | ||
Receivable for variation margin on futures contracts | 107,612 | ||
Unrealized appreciation on forward foreign currency exchange contracts | 616,707 | ||
Dividends and interest receivable | 1,894,576 | ||
Other assets | 20,307 | ||
860,076,191 | |||
Liabilities | |||
Payable for investments purchased | 2,389,222 | ||
Payable for capital shares redeemed | 1,570,509 | ||
Payable for variation margin on futures contracts | 3,762 | ||
Unrealized depreciation on forward foreign currency exchange contracts | 488,937 | ||
Accrued management fees | 529,066 | ||
Distribution and service fees payable | 117,368 | ||
Accrued foreign taxes | 2,201 | ||
5,101,065 | |||
Net Assets | $ | 854,975,126 | |
Net Assets Consist of: | |||
Capital (par value and paid-in surplus) | $ | 760,389,235 | |
Distributable earnings | 94,585,891 | ||
$ | 854,975,126 |
Net Assets | Shares Outstanding | Net Asset Value Per Share | ||
Investor Class, $0.01 Par Value | $298,245,816 | 49,035,057 | $6.08 | |
I Class, $0.01 Par Value | $66,514,857 | 10,931,711 | $6.08 | |
A Class, $0.01 Par Value | $293,530,197 | 48,432,847 | $6.06* | |
C Class, $0.01 Par Value | $43,702,748 | 7,333,640 | $5.96 | |
R Class, $0.01 Par Value | $36,891,203 | 6,127,527 | $6.02 | |
R5 Class, $0.01 Par Value | $7,317,989 | 1,201,900 | $6.09 | |
R6 Class, $0.01 Par Value | $108,772,316 | 17,905,437 | $6.07 |
*Maximum offering price $6.43 (net asset value divided by 0.9425).
See Notes to Financial Statements.
52
Statement of Operations |
FOR THE SIX MONTHS ENDED JANUARY 31, 2020 (UNAUDITED) | |||
Investment Income (Loss) | |||
Income: | |||
Dividends (including $1,388,291 from affiliated funds and net of foreign taxes withheld of $104,512) | $ | 5,322,100 | |
Interest (net of foreign taxes withheld of $3,274) | 4,072,529 | ||
9,394,629 | |||
Expenses: | |||
Management fees | 4,561,419 | ||
Distribution and service fees: | |||
A Class | 379,149 | ||
C Class | 228,647 | ||
R Class | 95,404 | ||
Directors' fees and expenses | 15,346 | ||
Other expenses | 5,356 | ||
5,285,321 | |||
Fees waived(1) | (873,717 | ) | |
4,411,604 | |||
Net investment income (loss) | 4,983,025 | ||
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) on: | |||
Investment transactions (including $914,427 from affiliated funds and net of foreign tax expenses paid (refunded) of $(5,967)) | 85,316,048 | ||
Forward foreign currency exchange contract transactions | 128,256 | ||
Futures contract transactions | 470,106 | ||
Swap agreement transactions | (27,999 | ) | |
Foreign currency translation transactions | 30,672 | ||
85,917,083 | |||
Change in net unrealized appreciation (depreciation) on: | |||
Investments (including $9,898,116 from affiliated funds and (increase) decrease in accrued foreign taxes of $(1,210)) | (45,450,285 | ) | |
Forward foreign currency exchange contracts | (408,008 | ) | |
Futures contracts | 264,404 | ||
Swap agreements | (31,678 | ) | |
Translation of assets and liabilities in foreign currencies | 19,055 | ||
(45,606,512 | ) | ||
Net realized and unrealized gain (loss) | 40,310,571 | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 45,293,596 |
(1) | Amount consists of $304,764, $69,181, $303,013, $45,038, $38,136, $7,667 and $105,918 for Investor Class, I Class, A Class, C Class, R Class, R5 Class and R6 Class, respectively. |
See Notes to Financial Statements.
53
Statement of Changes in Net Assets |
SIX MONTHS ENDED JANUARY 31, 2020 (UNAUDITED) AND YEAR ENDED JULY 31, 2019 | ||||||
Increase (Decrease) in Net Assets | January 31, 2020 | July 31, 2019 | ||||
Operations | ||||||
Net investment income (loss) | $ | 4,983,025 | $ | 13,066,068 | ||
Net realized gain (loss) | 85,917,083 | 45,817,997 | ||||
Change in net unrealized appreciation (depreciation) | (45,606,512 | ) | (31,126,759 | ) | ||
Net increase (decrease) in net assets resulting from operations | 45,293,596 | 27,757,306 | ||||
Distributions to Shareholders | ||||||
From earnings: | ||||||
Investor Class | (37,537,970 | ) | (39,277,283 | ) | ||
I Class | (8,445,985 | ) | (8,449,534 | ) | ||
A Class | (37,234,066 | ) | (32,296,649 | ) | ||
C Class | (5,380,827 | ) | (5,622,272 | ) | ||
R Class | (4,681,843 | ) | (3,699,119 | ) | ||
R5 Class | (971,298 | ) | (654,958 | ) | ||
R6 Class | (13,381,489 | ) | (11,327,933 | ) | ||
Decrease in net assets from distributions | (107,633,478 | ) | (101,327,748 | ) | ||
Capital Share Transactions | ||||||
Net increase (decrease) in net assets from capital share transactions (Note 5) | 31,375,844 | (200,002,583 | ) | |||
Net increase (decrease) in net assets | (30,964,038 | ) | (273,573,025 | ) | ||
Net Assets | ||||||
Beginning of period | 885,939,164 | 1,159,512,189 | ||||
End of period | $ | 854,975,126 | $ | 885,939,164 |
See Notes to Financial Statements.
54
Notes to Financial Statements |
JANUARY 31, 2020 (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 may invest in varying combinations of other affiliated investment companies such as mutual funds and exchange-traded funds advised by American Century Investments (affiliated funds). The fund will assume the risks associated with the affiliated funds. 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, I Class, A Class, C Class, R Class, R5 Class and 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.
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 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. Corporate bonds, U.S. Treasury and Government Agency securities, convertible bonds, municipal securities, and sovereign governments and agencies are valued using market models that consider trade data, quotations from dealers and active market makers, relevant yield curve and spread data, creditworthiness, trade data or market information on comparable securities, and other relevant security specific information. Mortgage-related and asset-backed securities are valued based on models that consider trade data, prepayment and default projections, benchmark yield and spread data and estimated cash flows of each tranche of the issuer. Collateralized loan obligations are valued based on discounted cash flow models that consider trade and economic data, prepayment assumptions and default projections. Commercial paper is valued using a curve-based approach that considers money market rates for specific instruments, programs, currencies and maturity points from a variety of active market makers. 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.
55
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 exchange. Swap agreements are valued at an evaluated mean 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. Investments 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.
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. 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 less foreign taxes withheld, if any, 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 investment securities and other financial instruments. American Century Investment Management, Inc. (ACIM) (the investment advisor) 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 collateral requirements.
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.
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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, if any, are generally declared and paid quarterly. Distributions from net realized gains, if any, are generally declared and paid annually. 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 difference in the fee among the classes is a result of their separate arrangements for non-Rule 12b-1 shareholder services. It is not the result of any difference in advisory or custodial fees or other expenses related to the management of the fund’s assets, which do not vary by class. 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 use very similar investment teams and strategies (strategy assets). 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 allocation 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 August 1, 2019 through October 23, 2019 the investment advisor agreed to waive an additional 0.05% of the fund's management fee. Effective October 24, 2019, the investment advisor agreed to waive an additional 0.23% of the fund's management fee. The investment advisor expects this waiver to continue until November 30, 2020 and cannot terminate it prior to such date without the approval of the Board of Directors.
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The management fee schedule range and the effective annual management fee before and after waiver for each class for the period ended January 31, 2020 are as follows:
Effective Annual Management Fee | |||
Management Fee Schedule Range | Before Waiver | After Waiver | |
Investor Class | 0.90% to 1.10% | 1.10% | 0.90% |
I Class | 0.70% to 0.90% | 0.90% | 0.70% |
A Class | 0.90% to 1.10% | 1.10% | 0.90% |
C Class | 0.90% to 1.10% | 1.10% | 0.90% |
R Class | 0.90% to 1.10% | 1.10% | 0.90% |
R5 Class | 0.70% to 0.90% | 0.90% | 0.70% |
R6 Class | 0.55% to 0.75% | 0.75% | 0.55% |
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 period ended January 31, 2020 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.
Interfund Transactions — The fund may enter into security transactions with other American Century Investments funds and other client accounts of the investment advisor, in accordance with the 1940 Act rules and procedures adopted by the Board of Directors. The rules and procedures require, among other things, that these transactions be effected at the independent current market price of the security. During the period, the interfund purchases and sales were $1,449,324 and $2,870,088 respectively. The effect of interfund transactions on the Statement of Operations was $446,791 in net realized gain (loss) on investment transactions.
4. Investment Transactions
Purchases of investment securities, excluding short-term investments, for the period ended January 31, 2020 totaled $451,498,373, of which $23,807,048 represented U.S. Treasury and Government Agency obligations.
Sales of investment securities, excluding short-term investments, for the period ended January 31, 2020 totaled $537,011,158, of which $38,046,910 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 January 31, 2020 | Year ended July 31, 2019 | |||||||||
Shares | Amount | Shares | Amount | |||||||
Investor Class/Shares Authorized | 790,000,000 | 790,000,000 | ||||||||
Sold | 1,812,505 | $ | 11,798,452 | 5,106,477 | $ | 33,225,147 | ||||
Issued in reinvestment of distributions | 6,041,314 | 36,910,460 | 6,570,306 | 38,839,511 | ||||||
Redeemed | (6,691,987 | ) | (43,431,738 | ) | (27,077,167 | ) | (172,824,566 | ) | ||
1,161,832 | 5,277,174 | (15,400,384 | ) | (100,759,908 | ) | |||||
I Class/Shares Authorized | 380,000,000 | 380,000,000 | ||||||||
Sold | 457,567 | 2,983,933 | 6,114,875 | 40,867,347 | ||||||
Issued in reinvestment of distributions | 1,381,416 | 8,445,148 | 1,419,398 | 8,448,896 | ||||||
Redeemed | (2,498,368 | ) | (16,424,805 | ) | (13,789,127 | ) | (90,242,548 | ) | ||
(659,385 | ) | (4,995,724 | ) | (6,254,854 | ) | (40,926,305 | ) | |||
A Class/Shares Authorized | 670,000,000 | 670,000,000 | ||||||||
Sold | 2,502,678 | 16,170,144 | 8,836,897 | 57,236,516 | ||||||
Issued in reinvestment of distributions | 5,898,171 | 35,902,097 | 5,304,364 | 31,208,520 | ||||||
Redeemed | (6,482,823 | ) | (41,500,255 | ) | (17,236,316 | ) | (110,250,267 | ) | ||
1,918,026 | 10,571,986 | (3,095,055 | ) | (21,805,231 | ) | |||||
C Class/Shares Authorized | 160,000,000 | 160,000,000 | ||||||||
Sold | 235,766 | 1,505,322 | 522,498 | 3,313,429 | ||||||
Issued in reinvestment of distributions | 885,810 | 5,306,449 | 959,909 | 5,533,027 | ||||||
Redeemed | (1,309,993 | ) | (8,348,926 | ) | (5,570,385 | ) | (36,035,344 | ) | ||
(188,417 | ) | (1,537,155 | ) | (4,087,978 | ) | (27,188,888 | ) | |||
R Class/Shares Authorized | 90,000,000 | 90,000,000 | ||||||||
Sold | 468,239 | 3,024,381 | 763,380 | 4,846,322 | ||||||
Issued in reinvestment of distributions | 771,046 | 4,660,507 | 626,087 | 3,653,574 | ||||||
Redeemed | (1,119,483 | ) | (7,114,145 | ) | (1,641,699 | ) | (10,587,946 | ) | ||
119,802 | 570,743 | (252,232 | ) | (2,088,050 | ) | |||||
R5 Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||
Sold | 69,922 | 454,587 | 102,275 | 657,873 | ||||||
Issued in reinvestment of distributions | 158,728 | 971,298 | 110,387 | 654,958 | ||||||
Redeemed | (121,456 | ) | (755,540 | ) | (97,788 | ) | (651,877 | ) | ||
107,194 | 670,345 | 114,874 | 660,954 | |||||||
R6 Class/Shares Authorized | 150,000,000 | 150,000,000 | ||||||||
Sold | 2,514,283 | 16,448,038 | 3,011,246 | 19,700,526 | ||||||
Issued in reinvestment of distributions | 2,193,634 | 13,381,489 | 1,913,370 | 11,327,933 | ||||||
Redeemed | (1,380,291 | ) | (9,011,052 | ) | (6,304,564 | ) | (38,923,614 | ) | ||
3,327,626 | 20,818,475 | (1,379,948 | ) | (7,895,155 | ) | |||||
Net increase (decrease) | 5,786,678 | $ | 31,375,844 | (30,355,577 | ) | $ | (200,002,583 | ) |
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6. Affiliated Fund Transactions
A summary of transactions for each affiliated fund for the period ended January 31, 2020 follows (amounts in thousands):
Affiliated Fund(1) | Beginning Value | Purchase Cost | Sales Cost | Change in Net Unrealized Appreciation (Depreciation) | Ending Value | Ending Shares | Net Realized Gain (Loss) | Distributions Received(2) | |||||||||||||||
American Century Diversified Corporate Bond ETF | $ | 18,842 | $ | 8,743 | — | $ | 545 | $ | 28,130 | 541 | — | $ | 391 | ||||||||||
American Century Quality Diversified International ETF | — | 31,647 | $ | 2,965 | 1,093 | 29,775 | 729 | $ | 169 | 166 | |||||||||||||
American Century STOXX U.S. Quality Growth ETF | — | 49,476 | 4,317 | 3,359 | 48,518 | 1,077 | 292 | 68 | |||||||||||||||
American Century STOXX U.S. Quality Value ETF | 2,452 | 40,318 | 3,382 | 754 | 40,142 | 957 | 1 | 265 | |||||||||||||||
Avantis Emerging Markets Equity ETF | — | 33,877 | 1,885 | 312 | 32,304 | 628 | 146 | 123 | |||||||||||||||
Avantis International Equity ETF | — | 32,006 | 2,737 | 655 | 29,924 | 571 | 123 | 97 | |||||||||||||||
Avantis International Small Cap Value ETF | — | 8,554 | 95 | 170 | 8,629 | 164 | 2 | 33 | |||||||||||||||
Avantis U.S. Equity ETF | — | 54,839 | 2,738 | 3,329 | 55,430 | 1,026 | 181 | 202 | |||||||||||||||
Avantis U.S. Small Cap Value ETF | — | 10,606 | — | (319 | ) | 10,287 | 208 | — | 43 | ||||||||||||||
$ | 21,294 | $ | 270,066 | $ | 18,119 | $ | 9,898 | $ | 283,139 | 5,901 | $ | 914 | $ | 1,388 |
(1) | Investments are funds within the American Century Investments family of funds and are considered affiliated funds. Additional information and attributes of each affiliated fund are available at americancentury.com or avantisinvestors.com. |
(2) | Distributions received includes distributions from net investment income and from capital gains, if any. |
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7. Investments in 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 the affiliated fund's net assets. As of period end, the fund owned 25% or more of the total outstanding shares of the following affiliated funds:
Affiliated Fund | % of outstanding shares |
American Century Diversified Corporate Bond ETF | 26% |
American Century Quality Diversified International ETF | 30% |
American Century STOXX U.S. Quality Growth ETF | 32% |
American Century STOXX U.S. Quality Value ETF | 30% |
Avantis Emerging Markets Equity ETF | 35% |
Avantis International Equity ETF | 29% |
Avantis U.S. Equity ETF | 33% |
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.
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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 | ||||||||
Affiliated Funds | $ | 283,139,298 | — | — | ||||
Common Stocks | 220,877,094 | $ | 57,804,003 | — | ||||
Corporate Bonds | — | 64,368,454 | — | |||||
U.S. Treasury Securities | — | 51,318,384 | — | |||||
Sovereign Governments and Agencies | — | 39,030,257 | — | |||||
U.S. Government Agency Mortgage-Backed Securities | — | 30,191,778 | — | |||||
Municipal Securities | — | 23,491,980 | — | |||||
Asset-Backed Securities | — | 12,675,862 | — | |||||
Collateralized Loan Obligations | — | 10,718,748 | — | |||||
Collateralized Mortgage Obligations | — | 7,497,112 | — | |||||
Commercial Mortgage-Backed Securities | — | 6,952,624 | — | |||||
Commercial Paper | — | 4,497,319 | — | |||||
Exchange-Traded Funds | 3,018,798 | — | — | |||||
U.S. Government Agency Securities | — | 2,499,904 | — | |||||
Temporary Cash Investments | 34,334,276 | 2,600,800 | — | |||||
$ | 541,369,466 | $ | 313,647,225 | — | ||||
Other Financial Instruments | ||||||||
Futures Contracts | $ | 423,978 | $ | 17,453 | — | |||
Forward Foreign Currency Exchange Contracts | — | 616,707 | — | |||||
$ | 423,978 | $ | 634,160 | — | ||||
Liabilities | ||||||||
Other Financial Instruments | ||||||||
Futures Contracts | — | $ | 6,414 | — | ||||
Forward Foreign Currency Exchange Contracts | — | 488,937 | — | |||||
— | $ | 495,351 | — |
9. 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. The buyer/seller of credit protection against a security or basket of securities may pay/receive an up-front or periodic payment to compensate for/against potential default events. Changes in value, including the periodic amounts of interest to be paid or received on swap agreements, are recorded as unrealized appreciation (depreciation) on swap agreements. 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 $2,034,450.
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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. The fund's average notional exposure to equity price risk derivative instruments held during the period was $625 futures contracts purchased.
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 forward foreign currency exchange contract transactions and change in net unrealized appreciation (depreciation) on forward foreign currency exchange contracts, 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 $102,423,895.
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 notional exposure to interest rate risk derivative instruments held during the period was $64,971,781 futures contracts purchased and $587,226 futures contracts sold.
Value of Derivative Instruments as of January 31, 2020
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 | $ | 616,707 | Unrealized depreciation on forward foreign currency exchange contracts | $ | 488,937 | ||
Interest Rate Risk | Receivable for variation margin on futures contracts* | 107,612 | Payable for variation margin on futures contracts* | 3,762 | ||||
$ | 724,319 | $ | 492,699 |
* Included in the unrealized appreciation (depreciation) on futures contracts as applicable, as reported in the Schedule of Investments.
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Effect of Derivative Instruments on the Statement of Operations for the Six Months Ended January 31, 2020 | ||||||||
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 | $ | (27,999 | ) | Change in net unrealized appreciation (depreciation) on swap agreements | $ | (31,678 | ) |
Equity Price Risk | Net realized gain (loss) on futures contract transactions | 124,935 | Change in net unrealized appreciation (depreciation) on futures contracts | 2,249 | ||||
Foreign Currency Risk | Net realized gain (loss) on forward foreign currency exchange contract transactions | 128,256 | Change in net unrealized appreciation (depreciation) on forward foreign currency exchange contracts | (408,008 | ) | |||
Interest Rate Risk | Net realized gain (loss) on futures contract transactions | 345,171 | Change in net unrealized appreciation (depreciation) on futures contracts | 262,155 | ||||
$ | 570,363 | $ | (175,282 | ) |
10. Risk Factors
The value of the fund’s shares will go up and down based on the performance of the companies whose securities it owns and other factors generally affecting the securities market. Market risks, including political, regulatory, economic and social developments, can affect the value of the fund’s investments. Natural disasters, public health emergencies, terrorism and other unforeseeable events may lead to increased market volatility and may have adverse long-term effects on world economies and markets generally.
There are certain risks involved in investing in foreign securities. These risks include those resulting from political events (such as civil unrest, national elections and imposition of exchange controls), social and economic events (such as labor strikes and rising inflation), and natural disasters. Securities of foreign issuers may be less liquid and more volatile. Investing in emerging markets or a significant portion of assets in one country or region 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.
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 period end, the components of investments for federal income tax purposes were as follows:
Federal tax cost of investments | $ | 768,349,404 | |
Gross tax appreciation of investments | $ | 93,139,887 | |
Gross tax depreciation of investments | (6,472,600 | ) | |
Net tax appreciation (depreciation) of investments | $ | 86,667,287 |
The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales.
12. Recently Issued Accounting Standards
In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update No. 2017-08, “Receivables - Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities” (ASU 2017-08). ASU 2017-08 amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. The adoption of ASU 2017-08 did not materially impact the financial statements.
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Financial Highlights |
For a Share Outstanding Throughout the Years Ended July 31 (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 | 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 | |||||||||||||||||
2020(4) | $6.57 | 0.04 | 0.32 | 0.36 | (0.08) | (0.77) | (0.85) | $6.08 | 5.38% | 0.91%(5) | 1.11%(5) | 1.24%(5) | 1.04%(5) | 55% | $298,246 | ||
2019 | $7.02 | 0.09 | 0.13 | 0.22 | (0.10) | (0.57) | (0.67) | $6.57 | 4.36% | 1.06% | 1.11% | 1.42% | 1.37% | 68% | $314,567 | ||
2018(6) | $7.51 | 0.06 | 0.16 | 0.22 | (0.06) | (0.65) | (0.71) | $7.02 | 3.22% | 1.09%(5) | 1.09%(5) | 1.25%(5) | 1.25%(5) | 55% | $444,259 | ||
2017 | $6.67 | 0.08 | 0.93 | 1.01 | (0.09) | (0.08) | (0.17) | $7.51 | 15.42% | 1.08% | 1.08% | 1.20% | 1.20% | 81% | $523,241 | ||
2016 | $6.97 | 0.08 | 0.14 | 0.22 | (0.07) | (0.45) | (0.52) | $6.67 | 3.49% | 1.07% | 1.07% | 1.22% | 1.22% | 82% | $574,968 | ||
2015 | $7.67 | 0.07 | (0.13) | (0.06) | (0.04) | (0.60) | (0.64) | $6.97 | (0.56)% | 1.06% | 1.06% | 0.97% | 0.97% | 88% | $645,785 | ||
2014 | $7.75 | 0.07 | 0.53 | 0.60 | (0.07) | (0.61) | (0.68) | $7.67 | 8.46% | 1.06% | 1.06% | 0.92% | 0.92% | 69% | $714,110 | ||
I Class | |||||||||||||||||
2020(4) | $6.57 | 0.05 | 0.31 | 0.36 | (0.08) | (0.77) | (0.85) | $6.08 | 5.50% | 0.71%(5) | 0.91%(5) | 1.44%(5) | 1.24%(5) | 55% | $66,515 | ||
2019 | $7.02 | 0.11 | 0.13 | 0.24 | (0.12) | (0.57) | (0.69) | $6.57 | 4.55% | 0.86% | 0.91% | 1.62% | 1.57% | 68% | $76,202 | ||
2018(6) | $7.52 | 0.07 | 0.15 | 0.22 | (0.07) | (0.65) | (0.72) | $7.02 | 3.23% | 0.89%(5) | 0.89%(5) | 1.45%(5) | 1.45%(5) | 55% | $125,345 | ||
2017 | $6.68 | 0.10 | 0.92 | 1.02 | (0.10) | (0.08) | (0.18) | $7.52 | 15.64% | 0.88% | 0.88% | 1.40% | 1.40% | 81% | $135,618 | ||
2016 | $6.97 | 0.09 | 0.15 | 0.24 | (0.08) | (0.45) | (0.53) | $6.68 | 3.86% | 0.87% | 0.87% | 1.42% | 1.42% | 82% | $213,502 | ||
2015 | $7.68 | 0.08 | (0.13) | (0.05) | (0.06) | (0.60) | (0.66) | $6.97 | (0.50)% | 0.86% | 0.86% | 1.17% | 1.17% | 88% | $263,207 | ||
2014 | $7.75 | 0.08 | 0.54 | 0.62 | (0.08) | (0.61) | (0.69) | $7.68 | 8.82% | 0.86% | 0.86% | 1.12% | 1.12% | 69% | $289,676 |
For a Share Outstanding Throughout the Years Ended July 31 (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 | 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) | |||
A Class | |||||||||||||||||
2020(4) | $6.55 | 0.03 | 0.32 | 0.35 | (0.07) | (0.77) | (0.84) | $6.06 | 5.26% | 1.16%(5) | 1.36%(5) | 0.99%(5) | 0.79%(5) | 55% | $293,530 | ||
2019 | $7.00 | 0.08 | 0.13 | 0.21 | (0.09) | (0.57) | (0.66) | $6.55 | 4.11% | 1.31% | 1.36% | 1.17% | 1.12% | 68% | $304,644 | ||
2018(6) | $7.49 | 0.05 | 0.16 | 0.21 | (0.05) | (0.65) | (0.70) | $7.00 | 3.04% | 1.34%(5) | 1.34%(5) | 1.00%(5) | 1.00%(5) | 55% | $347,290 | ||
2017 | $6.66 | 0.07 | 0.91 | 0.98 | (0.07) | (0.08) | (0.15) | $7.49 | 15.01% | 1.33% | 1.33% | 0.95% | 0.95% | 81% | $398,519 | ||
2016 | $6.95 | 0.06 | 0.15 | 0.21 | (0.05) | (0.45) | (0.50) | $6.66 | 3.38% | 1.32% | 1.32% | 0.97% | 0.97% | 82% | $456,392 | ||
2015 | $7.66 | 0.05 | (0.13) | (0.08) | (0.03) | (0.60) | (0.63) | $6.95 | (0.90)% | 1.31% | 1.31% | 0.72% | 0.72% | 88% | $504,771 | ||
2014 | $7.74 | 0.05 | 0.53 | 0.58 | (0.05) | (0.61) | (0.66) | $7.66 | 8.22% | 1.31% | 1.31% | 0.67% | 0.67% | 69% | $606,035 | ||
C Class | |||||||||||||||||
2020(4) | $6.45 | 0.01 | 0.31 | 0.32 | (0.04) | (0.77) | (0.81) | $5.96 | 4.89% | 1.91%(5) | 2.11%(5) | 0.24%(5) | 0.04%(5) | 55% | $43,703 | ||
2019 | $6.91 | 0.03 | 0.12 | 0.15 | (0.04) | (0.57) | (0.61) | $6.45 | 3.30% | 2.06% | 2.11% | 0.42% | 0.37% | 68% | $48,515 | ||
2018(6) | $7.42 | 0.01 | 0.16 | 0.17 | (0.03) | (0.65) | (0.68) | $6.91 | 2.46% | 2.09%(5) | 2.09%(5) | 0.25%(5) | 0.25%(5) | 55% | $80,205 | ||
2017 | $6.60 | 0.01 | 0.92 | 0.93 | (0.03) | (0.08) | (0.11) | $7.42 | 14.29% | 2.08% | 2.08% | 0.20% | 0.20% | 81% | $97,269 | ||
2016 | $6.91 | 0.01 | 0.15 | 0.16 | (0.02) | (0.45) | (0.47) | $6.60 | 2.55% | 2.07% | 2.07% | 0.22% | 0.22% | 82% | $106,604 | ||
2015 | $7.64 | —(7) | (0.13) | (0.13) | —(7) | (0.60) | (0.60) | $6.91 | (1.57)% | 2.06% | 2.06% | (0.03)% | (0.03)% | 88% | $121,748 | ||
2014 | $7.74 | (0.01) | 0.53 | 0.52 | (0.01) | (0.61) | (0.62) | $7.64 | 7.33% | 2.06% | 2.06% | (0.08)% | (0.08)% | 69% | $128,076 |
For a Share Outstanding Throughout the Years Ended July 31 (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 | 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) | |||
R Class | |||||||||||||||||
2020(4) | $6.51 | 0.02 | 0.32 | 0.34 | (0.06) | (0.77) | (0.83) | $6.02 | 5.15% | 1.41%(5) | 1.61%(5) | 0.74%(5) | 0.54%(5) | 55% | $36,891 | ||
2019 | $6.96 | 0.06 | 0.13 | 0.19 | (0.07) | (0.57) | (0.64) | $6.51 | 3.88% | 1.56% | 1.61% | 0.92% | 0.87% | 68% | $39,114 | ||
2018(6) | $7.46 | 0.03 | 0.16 | 0.19 | (0.04) | (0.65) | (0.69) | $6.96 | 2.74% | 1.59%(5) | 1.59%(5) | 0.75%(5) | 0.75%(5) | 55% | $43,590 | ||
2017 | $6.63 | 0.05 | 0.92 | 0.97 | (0.06) | (0.08) | (0.14) | $7.46 | 14.83% | 1.58% | 1.58% | 0.70% | 0.70% | 81% | $50,395 | ||
2016 | $6.93 | 0.05 | 0.13 | 0.18 | (0.03) | (0.45) | (0.48) | $6.63 | 2.98% | 1.57% | 1.57% | 0.72% | 0.72% | 82% | $53,902 | ||
2015 | $7.64 | 0.03 | (0.12) | (0.09) | (0.02) | (0.60) | (0.62) | $6.93 | (1.04)% | 1.56% | 1.56% | 0.47% | 0.47% | 88% | $52,262 | ||
2014 | $7.72 | 0.03 | 0.54 | 0.57 | (0.04) | (0.61) | (0.65) | $7.64 | 8.02% | 1.56% | 1.56% | 0.42% | 0.42% | 69% | $49,716 | ||
R5 Class | |||||||||||||||||
2020(4) | $6.58 | 0.05 | 0.31 | 0.36 | (0.08) | (0.77) | (0.85) | $6.09 | 5.49% | 0.71%(5) | 0.91%(5) | 1.44%(5) | 1.24%(5) | 55% | $7,318 | ||
2019 | $7.03 | 0.11 | 0.13 | 0.24 | (0.12) | (0.57) | (0.69) | $6.58 | 4.56% | 0.86% | 0.91% | 1.62% | 1.57% | 68% | $7,200 | ||
2018(6) | $7.52 | 0.08 | 0.15 | 0.23 | (0.07) | (0.65) | (0.72) | $7.03 | 3.38% | 0.89%(5) | 0.89%(5) | 1.45%(5) | 1.45%(5) | 55% | $6,885 | ||
2017(8) | $6.93 | 0.07 | 0.58 | 0.65 | (0.06) | — | (0.06) | $7.52 | 9.43% | 0.88%(5) | 0.88%(5) | 1.46%(5) | 1.46%(5) | 81%(3) | $5 |
For a Share Outstanding Throughout the Years Ended July 31 (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 | 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) | |||
R6 Class | |||||||||||||||||
2020(4) | $6.56 | 0.05 | 0.32 | 0.37 | (0.09) | (0.77) | (0.86) | $6.07 | 5.76% | 0.56%(5) | 0.76%(5) | 1.59%(5) | 1.39%(5) | 55% | $108,772 | ||
2019 | $7.01 | 0.12 | 0.13 | 0.25 | (0.13) | (0.57) | (0.70) | $6.56 | 4.72% | 0.71% | 0.76% | 1.77% | 1.72% | 68% | $95,697 | ||
2018(6) | $7.51 | 0.08 | 0.15 | 0.23 | (0.08) | (0.65) | (0.73) | $7.01 | 3.35% | 0.74%(5) | 0.74%(5) | 1.60%(5) | 1.60%(5) | 55% | $111,937 | ||
2017 | $6.67 | 0.11 | 0.93 | 1.04 | (0.12) | (0.08) | (0.20) | $7.51 | 15.83% | 0.73% | 0.73% | 1.55% | 1.55% | 81% | $85,623 | ||
2016 | $6.97 | 0.10 | 0.14 | 0.24 | (0.09) | (0.45) | (0.54) | $6.67 | 3.86% | 0.72% | 0.72% | 1.57% | 1.57% | 82% | $71,340 | ||
2015 | $7.67 | 0.09 | (0.12) | (0.03) | (0.07) | (0.60) | (0.67) | $6.97 | (0.20)% | 0.71% | 0.71% | 1.32% | 1.32% | 88% | $35,867 | ||
2014 | $7.75 | 0.08 | 0.55 | 0.63 | (0.10) | (0.61) | (0.71) | $7.67 | 8.84% | 0.71% | 0.71% | 1.27% | 1.27% | 69% | $8,420 |
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) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the year ended November 30, 2017. |
(4) | Six months ended January 31, 2020 (unaudited). |
(5) | Annualized. |
(6) | December 1, 2017 through July 31, 2018. The fund's fiscal year end was changed from November 30 to July 31, resulting in an eight-month annual reporting period. For the years before July 31, 2018, the fund's fiscal year end was November 30. |
(7) | Per-share amount was less than $0.005. |
(8) | April 10, 2017 (commencement of sale) through November 30, 2017. |
See Notes to Financial Statements.
Additional Information |
Retirement Account Information
As required by law, distributions you receive from certain retirement accounts 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 and change your withholding percentage for future distributions.
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.
*Some 403(b), 457 and qualified retirement plan distributions may be subject to 20% mandatory withholding, as they 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 American Century Investments’ website at americancentury.com/proxy 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 americancentury.com/proxy. 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 or as an exhibit to its reports on Form N-PORT. The fund’s Forms N-Q and Form N-PORT reports are available on the SEC’s website at sec.gov. 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.
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Notes |
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Notes |
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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 | |
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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. | ||
©2020 American Century Proprietary Holdings, Inc. All rights reserved. CL-SAN-92641 2003 |
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 for semiannual report filings.
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 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. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. 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. |
(a)(4) | 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/ Patrick Bannigan | |||
Name: | Patrick Bannigan | |||
Title: | President | |||
Date: | March 26, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Patrick Bannigan | ||
Name: Patrick Bannigan | |||
Title: President | |||
(principal executive officer) | |||
Date: | March 26, 2020 |
By: | /s/ R. Wes Campbell | ||
Name: R. Wes Campbell | |||
Title: Treasurer and | |||
Chief Financial Officer | |||
(principal financial officer) | |||
Date: | March 26, 2020 |