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: | 01-31-2021 |
ITEM 1. REPORTS TO STOCKHOLDERS.
(a) Provided under separate cover.
Semiannual Report | |||||
January 31, 2021 | |||||
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) |
Table of Contents |
President’s Letter | |||||
Fund Characteristics | |||||
Shareholder Fee Example | |||||
Schedule of Investments | |||||
Statement of Assets and Liabilities | |||||
Statement of Operations | |||||
Statement of Changes in Net Assets | |||||
Notes to Financial Statements | |||||
Financial Highlights | |||||
Additional Information | |||||
Any opinions expressed in this report reflect those of the author as of the date of the report, and do not necessarily represent the opinions of American Century Investments® or any other person in the American Century Investments organization. Any such opinions are subject to change at any time based upon market or other conditions and American Century Investments disclaims any responsibility to update such opinions. These opinions may not be relied upon as investment advice and, because investment decisions made by American Century Investments funds are based on numerous factors, may not be relied upon as an indication of trading intent on behalf of any American Century Investments fund. Security examples are used for representational purposes only and are not intended as recommendations to purchase or sell securities. Performance information for comparative indices and securities is provided to American Century Investments by third party vendors. To the best of American Century Investments’ knowledge, such information is accurate at the time of printing.
President’s Letter |
Jonathan Thomas
Dear Investor:
Thank you for reviewing this semiannual report for the period ended January 31, 2021. It provides a market overview (below), followed by a schedule of fund investments and other financial information. For additional investment insights, please visit americancentury.com.
Stocks Rallied as Stimulus, Vaccines Sparked Optimism
Stocks and other riskier assets delivered robust returns for the six-month reporting period. Investors generally remained upbeat despite periodic upswings in virus cases, lockdowns in certain regions and uncertainty surrounding the U.S. political climate. Ongoing support from global central banks and federal governments helped maintain investor confidence in the financial markets and the economic outlook. Improving data on U.S. manufacturing, employment and housing, along with positive vaccine developments and a late-2020 federal coronavirus aid package, helped sustain the rally. Furthermore, political clarity emerged following the January U.S. Senate run-off elections in Georgia.
The improving economic backdrop combined with massive monetary and fiscal support drove inflation expectations and U.S. Treasury yields higher. The yield on the benchmark 10-year U.S. Treasury note increased more than 50 basis points for the six-month period. Government bond yields in Europe were mixed as several countries in the region struggled with surging coronavirus cases and new business shutdown measures.
Overall, non-U.S. stocks generally outpaced U.S. stocks for the period, and within the U.S. market, small-cap stocks (Russell 2000 Index) were top performers, gaining more than 40%. Value stocks modestly outperformed growth stocks across the board. Rising yields pressured U.S. investment-grade bond returns, which declined nearly 1%. Conversely, global bonds advanced almost 2%.
A Return to Normalcy in Sight
The return to pre-pandemic life appears to be on the horizon now that COVID-19 vaccines have received emergency-use approval. In addition, medical professionals continue to improve treatment protocols for those afflicted with the virus. Nevertheless, until the vaccine is more widely available, investors may face periods of outbreak-related disruptions, economic uncertainty and heightened market volatility. These influences can be unsettling, but they tend to be temporary.
We appreciate your confidence in us during these extraordinary times. Our firm has a long history of helping clients weather unpredictable markets, and we’re confident we will continue to meet today’s challenges.
Sincerely,
Jonathan Thomas
President and Chief Executive Officer
American Century Investments
2
Fund Characteristics |
JANUARY 31, 2021 | |||||
Top Ten Common Stocks | % of net assets | ||||
Microsoft Corp. | 0.5% | ||||
Apple, Inc. | 0.5% | ||||
Prologis, Inc. | 0.4% | ||||
Amazon.com, Inc. | 0.3% | ||||
Alphabet, Inc., Class A | 0.3% | ||||
F5 Networks, Inc. | 0.2% | ||||
Cadence Design Systems, Inc. | 0.2% | ||||
Cognex Corp. | 0.2% | ||||
Keysight Technologies, Inc. | 0.2% | ||||
Twilio, Inc., Class A | 0.2% | ||||
Key Fixed-Income Portfolio Statistics | |||||
Weighted Average Life to Maturity | 7.0 years | ||||
Average Duration (effective) | 5.3 years | ||||
Types of Investments in Portfolio | % of net assets | ||||
Affiliated Funds | 49.8% | ||||
Domestic Common Stocks | 24.1% | ||||
Foreign Common Stocks* | 8.0% | ||||
U.S. Treasury Securities | 7.0% | ||||
Corporate Bonds | 2.9% | ||||
Sovereign Governments and Agencies | 2.5% | ||||
Collateralized Loan Obligations | 0.9% | ||||
U.S. Government Agency Mortgage-Backed Securities | 0.6% | ||||
Collateralized Mortgage Obligations | 0.5% | ||||
Municipal Securities | 0.5% | ||||
Asset-Backed Securities | 0.4% | ||||
Commercial Paper | 0.4% | ||||
Exchange-Traded Funds | 0.4% | ||||
Preferred Stocks | 0.1% | ||||
Temporary Cash Investments | 2.3% | ||||
Temporary Cash Investments - Securities Lending Collateral | 0.1% | ||||
Other Assets and Liabilities | (0.5)% |
*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, 2020 to January 31, 2021.
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 through a financial intermediary or employer-sponsored retirement plan account), American Century Investments may charge you a $25.00 annual 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 $25.00 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 8/1/20 | Ending Account Value 1/31/21 | Expenses Paid During Period(1) 8/1/20 - 1/31/21 | Annualized Expense Ratio(1) | |||||||||||
Actual | ||||||||||||||
Investor Class | $1,000 | $1,158.80 | $3.65 | 0.67% | ||||||||||
I Class | $1,000 | $1,161.10 | $2.56 | 0.47% | ||||||||||
A Class | $1,000 | $1,157.00 | $5.00 | 0.92% | ||||||||||
C Class | $1,000 | $1,152.40 | $9.06 | 1.67% | ||||||||||
R Class | $1,000 | $1,155.90 | $6.36 | 1.17% | ||||||||||
R5 Class | $1,000 | $1,159.50 | $2.56 | 0.47% | ||||||||||
R6 Class | $1,000 | $1,161.90 | $1.74 | 0.32% | ||||||||||
Hypothetical | ||||||||||||||
Investor Class | $1,000 | $1,021.83 | $3.41 | 0.67% | ||||||||||
I Class | $1,000 | $1,022.84 | $2.40 | 0.47% | ||||||||||
A Class | $1,000 | $1,020.57 | $4.69 | 0.92% | ||||||||||
C Class | $1,000 | $1,016.79 | $8.49 | 1.67% | ||||||||||
R Class | $1,000 | $1,019.31 | $5.96 | 1.17% | ||||||||||
R5 Class | $1,000 | $1,022.84 | $2.40 | 0.47% | ||||||||||
R6 Class | $1,000 | $1,023.59 | $1.63 | 0.32% |
(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 365, 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, 2021 (UNAUDITED)
Shares/Principal Amount | Value | ||||||||||
AFFILIATED FUNDS(1) — 49.8% | |||||||||||
American Century Diversified Corporate Bond ETF | 288,278 | $ | 15,226,844 | ||||||||
American Century Focused Dynamic Growth ETF | 686,039 | 50,650,259 | |||||||||
American Century Focused Large Cap Value ETF | 786,617 | 42,021,080 | |||||||||
American Century Quality Diversified International ETF | 605,593 | 29,124,663 | |||||||||
American Century STOXX U.S. Quality Growth ETF | 808,279 | 50,186,771 | |||||||||
American Century STOXX U.S. Quality Value ETF | 990,113 | 42,040,198 | |||||||||
Avantis Emerging Markets Equity ETF | 698,254 | 44,269,304 | |||||||||
Avantis International Equity ETF | 479,750 | 27,182,635 | |||||||||
Avantis International Small Cap Value ETF | 191,472 | 10,864,121 | |||||||||
Avantis U.S. Equity ETF | 973,912 | 61,674,438 | |||||||||
Avantis U.S. Small Cap Value ETF | 228,821 | 13,676,631 | |||||||||
TOTAL AFFILIATED FUNDS (Cost $313,473,531) | 386,916,944 | ||||||||||
COMMON STOCKS — 32.1% | |||||||||||
Aerospace and Defense — 0.4% | |||||||||||
AAR Corp. | 3,049 | 102,294 | |||||||||
BAE Systems plc | 127,025 | 803,414 | |||||||||
CAE, Inc. | 4,322 | 97,644 | |||||||||
General Dynamics Corp. | 4,109 | 602,708 | |||||||||
Lockheed Martin Corp. | 1,295 | 416,757 | |||||||||
Safran SA(2) | 3,251 | 409,988 | |||||||||
Spirit AeroSystems Holdings, Inc., Class A | 3,722 | 126,064 | |||||||||
Textron, Inc. | 8,415 | 380,863 | |||||||||
2,939,732 | |||||||||||
Air Freight and Logistics — 0.1% | |||||||||||
Expeditors International of Washington, Inc. | 2,457 | 219,951 | |||||||||
United Parcel Service, Inc., Class B | 2,554 | 395,870 | |||||||||
615,821 | |||||||||||
Airlines — 0.2% | |||||||||||
Alaska Air Group, Inc. | 2,717 | 132,671 | |||||||||
JET2 plc(2) | 5,420 | 97,824 | |||||||||
Ryanair Holdings plc, ADR(2) | 2,455 | 233,397 | |||||||||
Southwest Airlines Co. | 20,215 | 888,247 | |||||||||
1,352,139 | |||||||||||
Auto Components — 0.4% | |||||||||||
Aptiv plc | 11,820 | 1,579,152 | |||||||||
BorgWarner, Inc. | 15,741 | 660,964 | |||||||||
Hyundai Mobis Co. Ltd.(2) | 1,496 | 421,403 | |||||||||
LCI Industries | 681 | 88,108 | |||||||||
Minth Group Ltd. | 28,000 | 127,783 | |||||||||
Sumitomo Rubber Industries Ltd. | 13,500 | 124,511 | |||||||||
Valeo SA | 11,671 | 436,001 | |||||||||
3,437,922 | |||||||||||
Automobiles — 0.4% | |||||||||||
Bayerische Motoren Werke AG | 4,204 | 357,238 | |||||||||
Daimler AG | 12,965 | 914,345 |
6
Shares/Principal Amount | Value | ||||||||||
Honda Motor Co. Ltd., ADR | 21,319 | $ | 564,527 | ||||||||
Hyundai Motor Co. | 1,152 | 233,583 | |||||||||
Nissan Motor Co. Ltd.(2) | 80,300 | 410,496 | |||||||||
Tesla, Inc.(2) | 1,236 | 980,803 | |||||||||
3,460,992 | |||||||||||
Banks — 1.3% | |||||||||||
AIB Group plc(2) | 53,962 | 96,019 | |||||||||
Banco Bilbao Vizcaya Argentaria SA | 52,192 | 237,686 | |||||||||
Banco Bradesco SA | 34,130 | 134,738 | |||||||||
Bank Central Asia Tbk PT | 104,000 | 250,789 | |||||||||
Bank of America Corp. | 24,187 | 717,145 | |||||||||
Barclays plc(2) | 318,289 | 582,273 | |||||||||
BNP Paribas SA(2) | 11,736 | 565,234 | |||||||||
CaixaBank SA | 99,558 | 251,656 | |||||||||
Commerce Bancshares, Inc. | 9,547 | 638,217 | |||||||||
Commerzbank AG(2) | 46,280 | 307,514 | |||||||||
Eastern Bankshares, Inc.(2) | 11,846 | 188,825 | |||||||||
FinecoBank Banca Fineco SpA(2) | 4,278 | 66,796 | |||||||||
HDFC Bank Ltd., ADR(2) | 5,325 | 383,932 | |||||||||
JPMorgan Chase & Co. | 7,928 | 1,020,096 | |||||||||
M&T Bank Corp. | 3,656 | 484,310 | |||||||||
Mitsubishi UFJ Financial Group, Inc. | 107,300 | 483,451 | |||||||||
Mizuho Financial Group, Inc. | 28,850 | 384,836 | |||||||||
PNC Financial Services Group, Inc. (The) | 2,578 | 369,995 | |||||||||
Regions Financial Corp. | 37,280 | 634,133 | |||||||||
Societe Generale SA(2) | 8,631 | 161,287 | |||||||||
Standard Chartered plc (London)(2) | 21,741 | 132,016 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 10,700 | 333,054 | |||||||||
Truist Financial Corp. | 16,539 | 793,541 | |||||||||
UniCredit SpA(2) | 12,905 | 118,006 | |||||||||
Westamerica Bancorporation | 7,160 | 399,671 | |||||||||
9,735,220 | |||||||||||
Beverages — 0.2% | |||||||||||
Boston Beer Co., Inc. (The), Class A(2) | 623 | 571,222 | |||||||||
Fevertree Drinks plc | 2,504 | 83,179 | |||||||||
PepsiCo, Inc. | 5,759 | 786,507 | |||||||||
Royal Unibrew A/S | 595 | 58,663 | |||||||||
1,499,571 | |||||||||||
Biotechnology — 0.8% | |||||||||||
AbbVie, Inc. | 5,830 | 597,458 | |||||||||
ACADIA Pharmaceuticals, Inc.(2) | 8,844 | 424,954 | |||||||||
Acceleron Pharma, Inc.(2) | 766 | 88,496 | |||||||||
ADC Therapeutics SA(2) | 2,327 | 66,482 | |||||||||
Alnylam Pharmaceuticals, Inc.(2) | 3,858 | 580,552 | |||||||||
Amgen, Inc. | 2,595 | 626,511 | |||||||||
Amicus Therapeutics, Inc.(2) | 5,411 | 102,322 | |||||||||
Arcutis Biotherapeutics, Inc.(2) | 1,921 | 52,424 | |||||||||
Arena Pharmaceuticals, Inc.(2) | 841 | 62,436 | |||||||||
Argenx SE, ADR(2) | 1,344 | 393,819 | |||||||||
Biohaven Pharmaceutical Holding Co. Ltd.(2) | 1,287 | 109,678 | |||||||||
Blueprint Medicines Corp.(2) | 1,095 | 105,941 |
7
Shares/Principal Amount | Value | ||||||||||
Bridgebio Pharma, Inc.(2)(3) | 1,690 | $ | 95,924 | ||||||||
ChemoCentryx, Inc.(2) | 1,177 | 67,101 | |||||||||
Deciphera Pharmaceuticals, Inc.(2) | 1,546 | 68,333 | |||||||||
Fate Therapeutics, Inc.(2) | 865 | 78,395 | |||||||||
FibroGen, Inc.(2) | 1,836 | 88,458 | |||||||||
Flexion Therapeutics, Inc.(2) | 4,605 | 56,043 | |||||||||
Generation Bio Co.(2) | 1,047 | 27,568 | |||||||||
Global Blood Therapeutics, Inc.(2) | 1,298 | 65,056 | |||||||||
Halozyme Therapeutics, Inc.(2) | 2,884 | 137,250 | |||||||||
Heron Therapeutics, Inc.(2) | 2,204 | 38,261 | |||||||||
Insmed, Inc.(2) | 3,294 | 123,821 | |||||||||
Invitae Corp.(2)(3) | 1,699 | 84,134 | |||||||||
Iovance Biotherapeutics, Inc.(2) | 852 | 37,352 | |||||||||
Karuna Therapeutics, Inc.(2) | 939 | 93,177 | |||||||||
Kinnate Biopharma, Inc.(2) | 576 | 18,893 | |||||||||
Kymera Therapeutics, Inc.(2)(3) | 1,009 | 62,508 | |||||||||
Mirati Therapeutics, Inc.(2) | 399 | 81,927 | |||||||||
Natera, Inc.(2) | 4,968 | 529,788 | |||||||||
Novavax, Inc.(2) | 232 | 51,258 | |||||||||
Relay Therapeutics, Inc.(2) | 841 | 41,697 | |||||||||
Seagen, Inc.(2) | 2,581 | 423,981 | |||||||||
Sigilon Therapeutics, Inc.(2) | 1,121 | 34,314 | |||||||||
Turning Point Therapeutics, Inc.(2) | 2,611 | 327,654 | |||||||||
Ultragenyx Pharmaceutical, Inc.(2) | 1,030 | 142,748 | |||||||||
Vertex Pharmaceuticals, Inc.(2) | 933 | 213,732 | |||||||||
Viela Bio, Inc.(2)(3) | 1,899 | 65,857 | |||||||||
6,266,303 | |||||||||||
Building Products — 0.3% | |||||||||||
American Woodmark Corp.(2) | 868 | 75,091 | |||||||||
Johnson Controls International plc | 24,382 | 1,214,711 | |||||||||
Masco Corp. | 7,713 | 418,893 | |||||||||
Masonite International Corp.(2) | 1,525 | 151,738 | |||||||||
Trane Technologies plc | 4,051 | 580,711 | |||||||||
Trex Co., Inc.(2) | 1,164 | 106,820 | |||||||||
2,547,964 | |||||||||||
Capital Markets — 1.4% | |||||||||||
Ameriprise Financial, Inc. | 5,546 | 1,097,387 | |||||||||
Bank of New York Mellon Corp. (The) | 27,078 | 1,078,517 | |||||||||
BlackRock, Inc. | 743 | 521,036 | |||||||||
Credit Suisse Group AG | 47,728 | 629,037 | |||||||||
flatexDEGIRO AG(2) | 2,341 | 215,842 | |||||||||
GCM Grosvenor, Inc., Class A(2)(3) | 4,194 | 54,354 | |||||||||
Intercontinental Exchange, Inc. | 2,833 | 312,622 | |||||||||
Intermediate Capital Group plc | 6,788 | 157,892 | |||||||||
London Stock Exchange Group plc | 3,293 | 391,569 | |||||||||
LPL Financial Holdings, Inc. | 5,269 | 570,844 | |||||||||
MarketAxess Holdings, Inc. | 1,031 | 557,524 | |||||||||
Morgan Stanley | 12,343 | 827,598 | |||||||||
MSCI, Inc. | 2,069 | 817,876 | |||||||||
Northern Trust Corp. | 12,723 | 1,134,764 | |||||||||
Open Lending Corp., Class A(2) | 3,104 | 112,644 |
8
Shares/Principal Amount | Value | ||||||||||
Partners Group Holding AG | 334 | $ | 395,057 | ||||||||
S&P Global, Inc. | 1,818 | 576,306 | |||||||||
State Street Corp. | 4,503 | 315,210 | |||||||||
T. Rowe Price Group, Inc. | 3,712 | 580,854 | |||||||||
UBS Group AG | 23,453 | 338,579 | |||||||||
10,685,512 | |||||||||||
Chemicals — 0.4% | |||||||||||
Air Liquide SA | 1,843 | 301,172 | |||||||||
Air Products and Chemicals, Inc. | 1,006 | 268,360 | |||||||||
Albemarle Corp. | 2,204 | 358,503 | |||||||||
Arkema SA | 2,005 | 222,601 | |||||||||
Axalta Coating Systems Ltd.(2) | 410 | 11,066 | |||||||||
Corbion NV | 1,568 | 91,360 | |||||||||
Ecolab, Inc. | 1,472 | 301,039 | |||||||||
Element Solutions, Inc. | 16,966 | 288,931 | |||||||||
Huntsman Corp. | 2,099 | 55,456 | |||||||||
Linde plc | 2,663 | 653,500 | |||||||||
Nissan Chemical Corp. | 900 | 51,413 | |||||||||
OCI NV(2) | 4,240 | 87,651 | |||||||||
Sherwin-Williams Co. (The) | 504 | 348,667 | |||||||||
Zeon Corp. | 11,400 | 183,719 | |||||||||
3,223,438 | |||||||||||
Commercial Services and Supplies — 0.3% | |||||||||||
Babcock International Group plc(2) | 74,804 | 238,332 | |||||||||
Brink's Co. (The) | 2,457 | 167,395 | |||||||||
Clean Harbors, Inc.(2) | 1,979 | 153,293 | |||||||||
Country Garden Services Holdings Co. Ltd. | 27,000 | 219,937 | |||||||||
Driven Brands Holdings, Inc.(2) | 3,719 | 104,504 | |||||||||
Elis SA(2) | 4,890 | 73,169 | |||||||||
Ever Sunshine Lifestyle Services Group Ltd. | 140,000 | 401,835 | |||||||||
HomeServe plc | 4,107 | 58,672 | |||||||||
Japan Elevator Service Holdings Co. Ltd. | 3,000 | 70,765 | |||||||||
Loomis AB | 2,127 | 54,525 | |||||||||
Park24 Co. Ltd.(2) | 4,700 | 90,030 | |||||||||
Republic Services, Inc. | 9,255 | 837,763 | |||||||||
2,470,220 | |||||||||||
Communications Equipment — 0.4% | |||||||||||
Arista Networks, Inc.(2) | 2,896 | 890,694 | |||||||||
Cisco Systems, Inc. | 6,311 | 281,344 | |||||||||
F5 Networks, Inc.(2) | 9,204 | 1,803,524 | |||||||||
Juniper Networks, Inc. | 4,620 | 112,820 | |||||||||
Telefonaktiebolaget LM Ericsson, B Shares | 30,908 | 390,459 | |||||||||
3,478,841 | |||||||||||
Construction and Engineering† | |||||||||||
Arcadis NV(2) | 1,751 | 61,356 | |||||||||
Hazama Ando Corp. | 11,100 | 77,772 | |||||||||
NRW Holdings Ltd. | 34,609 | 75,060 | |||||||||
SHO-BOND Holdings Co. Ltd. | 3,100 | 135,229 | |||||||||
349,417 | |||||||||||
Construction Materials — 0.1% | |||||||||||
Cemex SAB de CV, ADR(2) | 54,256 | 310,887 |
9
Shares/Principal Amount | Value | ||||||||||
Summit Materials, Inc., Class A(2) | 3,659 | $ | 75,119 | ||||||||
386,006 | |||||||||||
Consumer Finance — 0.1% | |||||||||||
American Express Co. | 3,110 | 361,569 | |||||||||
Cembra Money Bank AG | 718 | 78,183 | |||||||||
439,752 | |||||||||||
Containers and Packaging — 0.5% | |||||||||||
Avery Dennison Corp. | 5,691 | 858,601 | |||||||||
Ball Corp. | 11,545 | 1,016,191 | |||||||||
Berry Global Group, Inc.(2) | 1,841 | 90,890 | |||||||||
Graphic Packaging Holding Co. | 28,235 | 442,160 | |||||||||
Huhtamaki Oyj | 2,204 | 108,314 | |||||||||
Myers Industries, Inc. | 2,370 | 47,519 | |||||||||
Packaging Corp. of America | 2,496 | 335,612 | |||||||||
SIG Combibloc Group AG(2) | 5,999 | 142,862 | |||||||||
Sonoco Products Co. | 15,737 | 911,330 | |||||||||
3,953,479 | |||||||||||
Distributors — 0.1% | |||||||||||
D'ieteren SA | 952 | 74,841 | |||||||||
Genuine Parts Co. | 5,692 | 534,365 | |||||||||
LKQ Corp.(2) | 11,841 | 415,500 | |||||||||
1,024,706 | |||||||||||
Diversified Consumer Services† | |||||||||||
Chegg, Inc.(2) | 1,367 | 130,220 | |||||||||
Diversified Financial Services† | |||||||||||
Element Fleet Management Corp.(3) | 14,822 | 137,701 | |||||||||
Hypoport SE(2) | 104 | 70,860 | |||||||||
Zenkoku Hosho Co. Ltd. | 1,800 | 80,665 | |||||||||
289,226 | |||||||||||
Diversified Telecommunication Services — 0.1% | |||||||||||
BT Group plc(2) | 57,941 | 99,606 | |||||||||
Cellnex Telecom SA | 10,084 | 590,819 | |||||||||
Verizon Communications, Inc. | 5,468 | 299,373 | |||||||||
989,798 | |||||||||||
Electric Utilities — 0.5% | |||||||||||
Edison International | 14,723 | 856,290 | |||||||||
Evergy, Inc. | 5,767 | 309,861 | |||||||||
Iberdrola SA | 28,037 | 380,230 | |||||||||
NextEra Energy, Inc. | 15,668 | 1,267,071 | |||||||||
Pinnacle West Capital Corp. | 12,271 | 923,393 | |||||||||
Xcel Energy, Inc. | 3,934 | 251,736 | |||||||||
3,988,581 | |||||||||||
Electrical Equipment — 0.9% | |||||||||||
AMETEK, Inc. | 6,584 | 745,704 | |||||||||
Eaton Corp. plc | 3,081 | 362,634 | |||||||||
Emerson Electric Co. | 14,432 | 1,145,179 | |||||||||
Generac Holdings, Inc.(2) | 934 | 230,156 | |||||||||
Hubbell, Inc. | 5,520 | 858,912 | |||||||||
Mabuchi Motor Co. Ltd. | 2,900 | 120,182 | |||||||||
NEL ASA(2)(3) | 16,984 | 60,451 | |||||||||
nVent Electric plc | 63,142 | 1,413,118 |
10
Shares/Principal Amount | Value | ||||||||||
Rockwell Automation, Inc. | 2,191 | $ | 544,529 | ||||||||
Schneider Electric SE | 3,895 | 570,997 | |||||||||
Sensata Technologies Holding plc(2) | 11,505 | 627,023 | |||||||||
Shoals Technologies Group, Inc., Class A(2) | 2,758 | 93,579 | |||||||||
6,772,464 | |||||||||||
Electronic Equipment, Instruments and Components — 0.8% | |||||||||||
Anritsu Corp. | 5,900 | 145,248 | |||||||||
CDW Corp. | 1,268 | 166,945 | |||||||||
Cognex Corp. | 21,137 | 1,735,982 | |||||||||
Comet Holding AG | 54 | 12,361 | |||||||||
Hexagon AB, B Shares | 4,926 | 431,020 | |||||||||
Jabil, Inc. | 2,530 | 104,666 | |||||||||
Keyence Corp. | 900 | 484,147 | |||||||||
Keysight Technologies, Inc.(2) | 12,204 | 1,727,964 | |||||||||
Littelfuse, Inc. | 608 | 147,969 | |||||||||
LPKF Laser & Electronics AG | 2,288 | 76,577 | |||||||||
Murata Manufacturing Co. Ltd. | 5,700 | 548,966 | |||||||||
nLight, Inc.(2) | 3,376 | 106,952 | |||||||||
TE Connectivity Ltd. | 3,596 | 432,958 | |||||||||
6,121,755 | |||||||||||
Energy Equipment and Services† | |||||||||||
Baker Hughes Co. | 11,879 | 238,649 | |||||||||
Entertainment — 0.5% | |||||||||||
Activision Blizzard, Inc. | 3,004 | 273,364 | |||||||||
Embracer Group AB(2) | 1,283 | 29,007 | |||||||||
Live Nation Entertainment, Inc.(2) | 6,579 | 437,175 | |||||||||
Roku, Inc.(2) | 2,468 | 960,126 | |||||||||
Stillfront Group AB(2) | 15,027 | 159,852 | |||||||||
Walt Disney Co. (The)(2) | 7,671 | 1,290,032 | |||||||||
Zynga, Inc., Class A(2) | 64,366 | 637,867 | |||||||||
3,787,423 | |||||||||||
Equity Real Estate Investment Trusts (REITs) — 3.4% | |||||||||||
Alexandria Real Estate Equities, Inc. | 3,113 | 520,213 | |||||||||
American Homes 4 Rent, Class A | 9,768 | 295,287 | |||||||||
Brixmor Property Group, Inc. | 22,867 | 387,138 | |||||||||
Charter Hall Group | 48,054 | 498,623 | |||||||||
Cousins Properties, Inc. | 7,234 | 228,160 | |||||||||
Embassy Office Parks REIT | 27,200 | 130,631 | |||||||||
Empire State Realty Trust, Inc., Class A | 18,593 | 183,327 | |||||||||
Equinix, Inc. | 1,964 | 1,453,281 | |||||||||
Equity Residential | 10,644 | 656,096 | |||||||||
Essential Properties Realty Trust, Inc. | 10,852 | 225,939 | |||||||||
Essex Property Trust, Inc. | 3,793 | 908,841 | |||||||||
Extra Space Storage, Inc. | 3,763 | 428,192 | |||||||||
Fibra Uno Administracion SA de CV | 308,820 | 346,347 | |||||||||
Gecina SA | 1,740 | 248,120 | |||||||||
Global Medical REIT, Inc. | 6,512 | 81,661 | |||||||||
Goodman Group | 40,700 | 548,548 | |||||||||
Healthcare Trust of America, Inc., Class A | 11,903 | 336,260 | |||||||||
Healthpeak Properties, Inc. | 19,520 | 578,768 | |||||||||
Innovative Industrial Properties, Inc. | 4,416 | 826,322 |
11
Shares/Principal Amount | Value | ||||||||||
Invesco Office J-Reit, Inc. | 1,090 | $ | 158,749 | ||||||||
Invincible Investment Corp. | 1,141 | 381,972 | |||||||||
Invitation Homes, Inc. | 22,172 | 653,631 | |||||||||
JBG SMITH Properties | 6,064 | 181,071 | |||||||||
Kimco Realty Corp. | 16,694 | 275,618 | |||||||||
Klepierre SA(3) | 8,307 | 199,906 | |||||||||
Life Storage, Inc. | 8,100 | 660,757 | |||||||||
Link REIT | 49,900 | 439,829 | |||||||||
Mapletree Commercial Trust | 272,800 | 424,940 | |||||||||
Mapletree Industrial Trust | 165,100 | 356,984 | |||||||||
Mapletree Logistics Trust | 115,900 | 172,797 | |||||||||
MGM Growth Properties LLC, Class A | 18,365 | 572,070 | |||||||||
Mitsui Fudosan Logistics Park, Inc. | 63 | 315,117 | |||||||||
National Retail Properties, Inc. | 5,718 | 223,002 | |||||||||
NETSTREIT Corp. | 7,605 | 131,034 | |||||||||
Orix JREIT, Inc. | 224 | 375,589 | |||||||||
PotlatchDeltic Corp. | 13,298 | 635,113 | |||||||||
Prologis, Inc. | 26,670 | 2,752,344 | |||||||||
QTS Realty Trust, Inc., Class A | 6,994 | 455,309 | |||||||||
Rexford Industrial Realty, Inc. | 9,366 | 458,372 | |||||||||
RLJ Lodging Trust | 29,036 | 374,855 | |||||||||
Ryman Hospitality Properties, Inc. | 7,064 | 458,100 | |||||||||
Safestore Holdings plc | 9,308 | 103,243 | |||||||||
Scentre Group | 120,359 | 249,392 | |||||||||
Segro plc | 31,749 | 414,799 | |||||||||
Simon Property Group, Inc. | 6,667 | 619,564 | |||||||||
SL Green Realty Corp.(3) | 9 | 590 | |||||||||
SOSiLA Logistics REIT, Inc. | 341 | 419,251 | |||||||||
Stockland | 138,686 | 469,376 | |||||||||
Sun Communities, Inc. | 3,611 | 516,842 | |||||||||
Tritax Big Box REIT plc | 17,930 | 45,282 | |||||||||
UDR, Inc. | 19,668 | 756,235 | |||||||||
Urban Edge Properties | 16,230 | 223,812 | |||||||||
Ventas, Inc. | 17,812 | 820,599 | |||||||||
VICI Properties, Inc. | 22,646 | 572,491 | |||||||||
Warehouses De Pauw, CVA | 1,077 | 38,640 | |||||||||
Welltower, Inc. | 13,788 | 835,553 | |||||||||
Weyerhaeuser Co. | 12,974 | 404,659 | |||||||||
26,029,241 | |||||||||||
Food and Staples Retailing — 0.3% | |||||||||||
Costco Wholesale Corp. | 851 | 299,918 | |||||||||
Koninklijke Ahold Delhaize NV | 31,996 | 915,601 | |||||||||
MARR SpA(2) | 4,923 | 102,489 | |||||||||
Sysco Corp. | 14,525 | 1,038,683 | |||||||||
Zur Rose Group AG(2) | 370 | 169,931 | |||||||||
2,526,622 | |||||||||||
Food Products — 0.5% | |||||||||||
Bakkafrost P/F(2) | 1,754 | 122,960 | |||||||||
Beyond Meat, Inc.(2) | 149 | 26,534 | |||||||||
Conagra Brands, Inc. | 28,249 | 977,415 | |||||||||
J.M. Smucker Co. (The) | 6,105 | 710,683 |
12
Shares/Principal Amount | Value | ||||||||||
Kellogg Co. | 9,172 | $ | 540,598 | ||||||||
Mondelez International, Inc., Class A | 11,559 | 640,831 | |||||||||
Orkla ASA | 46,219 | 449,208 | |||||||||
Vital Farms, Inc.(2) | 1,987 | 49,138 | |||||||||
Whole Earth Brands, Inc.(2) | 8,305 | 94,096 | |||||||||
3,611,463 | |||||||||||
Gas Utilities — 0.1% | |||||||||||
Atmos Energy Corp. | 4,902 | 436,278 | |||||||||
Nippon Gas Co. Ltd. | 3,400 | 163,840 | |||||||||
Spire, Inc. | 7,078 | 433,103 | |||||||||
1,033,221 | |||||||||||
Health Care Equipment and Supplies — 1.1% | |||||||||||
Acutus Medical, Inc.(2) | 2,106 | 54,524 | |||||||||
Align Technology, Inc.(2) | 2,279 | 1,197,341 | |||||||||
Becton Dickinson and Co. | 2,171 | 568,346 | |||||||||
DexCom, Inc.(2) | 1,232 | 461,815 | |||||||||
Eargo, Inc.(2) | 1,321 | 69,458 | |||||||||
Edwards Lifesciences Corp.(2) | 5,716 | 472,027 | |||||||||
Envista Holdings Corp.(2) | 15,873 | 564,127 | |||||||||
Globus Medical, Inc., Class A(2) | 1,235 | 76,187 | |||||||||
Hill-Rom Holdings, Inc. | 3,200 | 307,328 | |||||||||
ICU Medical, Inc.(2) | 390 | 79,747 | |||||||||
IDEXX Laboratories, Inc.(2) | 1,826 | 874,070 | |||||||||
Inmode Ltd.(2) | 2,962 | 174,343 | |||||||||
Medtronic plc | 4,690 | 522,138 | |||||||||
Menicon Co. Ltd. | 500 | 30,201 | |||||||||
Olympus Corp. | 13,900 | 251,765 | |||||||||
Ortho Clinical Diagnostics Holdings plc(2) | 5,309 | 87,599 | |||||||||
OrthoPediatrics Corp.(2) | 1,563 | 72,179 | |||||||||
ResMed, Inc. | 632 | 127,392 | |||||||||
Silk Road Medical, Inc.(2) | 1,875 | 102,244 | |||||||||
Tandem Diabetes Care, Inc.(2) | 1,181 | 109,420 | |||||||||
Teleflex, Inc. | 3,038 | 1,147,240 | |||||||||
Zimmer Biomet Holdings, Inc. | 10,105 | 1,552,835 | |||||||||
8,902,326 | |||||||||||
Health Care Providers and Services — 1.1% | |||||||||||
Acadia Healthcare Co., Inc.(2) | 1,800 | 91,224 | |||||||||
Alfresa Holdings Corp. | 11,600 | 231,957 | |||||||||
Amedisys, Inc.(2) | 2,416 | 694,141 | |||||||||
AMN Healthcare Services, Inc.(2) | 1,185 | 85,462 | |||||||||
Cardinal Health, Inc. | 14,537 | 781,073 | |||||||||
Chartwell Retirement Residences | 19,945 | 166,735 | |||||||||
Cigna Corp. | 1,692 | 367,249 | |||||||||
CVS Health Corp. | 6,737 | 482,706 | |||||||||
Encompass Health Corp. | 16,823 | 1,352,569 | |||||||||
HealthEquity, Inc.(2) | 1,659 | 138,610 | |||||||||
Henry Schein, Inc.(2) | 8,504 | 559,988 | |||||||||
Humana, Inc. | 698 | 267,411 | |||||||||
McKesson Corp. | 3,663 | 639,084 | |||||||||
Option Care Health, Inc.(2) | 6,373 | 117,773 | |||||||||
Quest Diagnostics, Inc. | 6,734 | 869,696 |
13
Shares/Principal Amount | Value | ||||||||||
R1 RCM, Inc.(2) | 6,118 | $ | 154,357 | ||||||||
RadNet, Inc.(2) | 4,024 | 72,070 | |||||||||
UnitedHealth Group, Inc. | 2,238 | 746,552 | |||||||||
Universal Health Services, Inc., Class B | 7,690 | 958,789 | |||||||||
8,777,446 | |||||||||||
Health Care Technology — 0.4% | |||||||||||
Cerner Corp. | 10,353 | 829,379 | |||||||||
Certara, Inc.(2) | 1,982 | 68,221 | |||||||||
Health Catalyst, Inc.(2) | 2,865 | 142,333 | |||||||||
Phreesia, Inc.(2) | 1,168 | 76,259 | |||||||||
Teladoc Health, Inc.(2) | 3,175 | 837,660 | |||||||||
Veeva Systems, Inc., Class A(2) | 3,639 | 1,005,965 | |||||||||
2,959,817 | |||||||||||
Hotels, Restaurants and Leisure — 0.5% | |||||||||||
Basic-Fit NV(2) | 2,468 | 84,082 | |||||||||
Brinker International, Inc. | 2,027 | 119,350 | |||||||||
Chipotle Mexican Grill, Inc.(2) | 695 | 1,028,600 | |||||||||
Churchill Downs, Inc. | 956 | 179,202 | |||||||||
Las Vegas Sands Corp. | 12,325 | 592,709 | |||||||||
Melco International Development Ltd. | 5,000 | 8,862 | |||||||||
Melia Hotels International SA(2)(3) | 8,629 | 56,419 | |||||||||
Planet Fitness, Inc., Class A(2) | 1,018 | 73,296 | |||||||||
Sodexo SA(2) | 6,906 | 614,365 | |||||||||
Sushiro Global Holdings Ltd. | 4,800 | 164,906 | |||||||||
Whitbread plc(2) | 8,792 | 333,973 | |||||||||
Wingstop, Inc. | 734 | 110,137 | |||||||||
Wyndham Hotels & Resorts, Inc. | 2,215 | 128,847 | |||||||||
3,494,748 | |||||||||||
Household Durables — 0.3% | |||||||||||
Bellway plc | 333 | 12,553 | |||||||||
D.R. Horton, Inc. | 5,741 | 440,909 | |||||||||
Haseko Corp. | 12,700 | 148,932 | |||||||||
Man Wah Holdings Ltd. | 47,200 | 104,132 | |||||||||
Mohawk Industries, Inc.(2) | 837 | 120,193 | |||||||||
Open House Co. Ltd. | 15,100 | 610,231 | |||||||||
Taylor Wimpey plc(2) | 256,064 | 512,564 | |||||||||
Token Corp. | 1,000 | 77,509 | |||||||||
TopBuild Corp.(2) | 695 | 138,965 | |||||||||
2,165,988 | |||||||||||
Household Products — 0.2% | |||||||||||
Colgate-Palmolive Co. | 3,844 | 299,832 | |||||||||
Kimberly-Clark Corp. | 3,214 | 424,569 | |||||||||
Procter & Gamble Co. (The) | 5,252 | 673,359 | |||||||||
Reynolds Consumer Products, Inc. | 2,306 | 69,180 | |||||||||
1,466,940 | |||||||||||
Independent Power and Renewable Electricity Producers† | |||||||||||
Innergex Renewable Energy, Inc. | 8,538 | 195,765 | |||||||||
Industrial Conglomerates — 0.1% | |||||||||||
Honeywell International, Inc. | 3,977 | 776,987 | |||||||||
Lifco AB, B Shares | 1,081 | 99,517 | |||||||||
876,504 |
14
Shares/Principal Amount | Value | ||||||||||
Insurance — 0.7% | |||||||||||
Aegon NV | 48,223 | $ | 198,796 | ||||||||
Aflac, Inc. | 21,247 | 959,939 | |||||||||
AIA Group Ltd. | 25,800 | 316,112 | |||||||||
Arthur J. Gallagher & Co. | 3,154 | 364,003 | |||||||||
Brown & Brown, Inc. | 2,108 | 90,834 | |||||||||
BRP Group, Inc., Class A(2) | 4,487 | 104,143 | |||||||||
Chubb Ltd. | 8,765 | 1,276,798 | |||||||||
eHealth, Inc.(2) | 1,156 | 55,315 | |||||||||
Goosehead Insurance, Inc., Class A | 509 | 68,002 | |||||||||
Kinsale Capital Group, Inc. | 719 | 134,856 | |||||||||
Marsh & McLennan Cos., Inc. | 2,006 | 220,479 | |||||||||
Palomar Holdings, Inc.(2) | 901 | 89,731 | |||||||||
Progressive Corp. (The) | 1,143 | 99,658 | |||||||||
Prudential Financial, Inc. | 2,361 | 184,819 | |||||||||
Reinsurance Group of America, Inc. | 7,020 | 737,451 | |||||||||
Root, Inc., Class A(2) | 3,378 | 68,084 | |||||||||
SelectQuote, Inc.(2) | 18,309 | 386,686 | |||||||||
Travelers Cos., Inc. (The) | 1,008 | 137,390 | |||||||||
5,493,096 | |||||||||||
Interactive Media and Services — 0.6% | |||||||||||
Alphabet, Inc., Class A(2) | 1,180 | 2,156,285 | |||||||||
carsales.com Ltd. | 4,843 | 72,446 | |||||||||
EverQuote, Inc., Class A(2) | 954 | 42,987 | |||||||||
Facebook, Inc., Class A(2) | 2,838 | 733,141 | |||||||||
Kakaku.com, Inc. | 3,100 | 89,583 | |||||||||
Match Group, Inc.(2) | 6,596 | 922,517 | |||||||||
QuinStreet, Inc.(2) | 5,612 | 118,806 | |||||||||
Tencent Holdings Ltd. | 6,100 | 534,013 | |||||||||
4,669,778 | |||||||||||
Internet and Direct Marketing Retail — 0.7% | |||||||||||
Alibaba Group Holding Ltd., ADR(2) | 1,503 | 381,506 | |||||||||
Amazon.com, Inc.(2) | 816 | 2,616,259 | |||||||||
ASKUL Corp. | 3,000 | 105,866 | |||||||||
ASOS plc(2) | 6,326 | 387,589 | |||||||||
BHG Group AB(2) | 7,752 | 145,358 | |||||||||
boohoo Group plc(2) | 13,199 | 60,599 | |||||||||
Booking Holdings, Inc.(2) | 174 | 338,313 | |||||||||
Chewy, Inc., Class A(2) | 4,655 | 473,972 | |||||||||
Expedia Group, Inc. | 3,516 | 436,336 | |||||||||
Mercari, Inc.(2) | 1,300 | 62,259 | |||||||||
Redbubble Ltd.(2) | 12,339 | 62,789 | |||||||||
5,070,846 | |||||||||||
IT Services — 1.2% | |||||||||||
Accenture plc, Class A | 2,548 | 616,412 | |||||||||
Adyen NV(2) | 228 | 475,080 | |||||||||
Amadeus IT Group SA(2) | 4,079 | 258,203 | |||||||||
Amdocs Ltd. | 1,617 | 114,193 | |||||||||
Atos SE(2) | 2,123 | 162,440 | |||||||||
Capgemini SE | 3,150 | 456,116 | |||||||||
Capita plc(2) | 138,282 | 66,195 |
15
Shares/Principal Amount | Value | ||||||||||
Edenred | 6,039 | $ | 327,828 | ||||||||
Endava plc, ADR(2) | 1,490 | 117,799 | |||||||||
GDS Holdings Ltd., ADR(2) | 9,936 | 1,028,972 | |||||||||
Hennge KK(2) | 700 | 54,286 | |||||||||
I3 Verticals, Inc., Class A(2) | 4,974 | 144,345 | |||||||||
Indra Sistemas SA(2) | 15,005 | 132,248 | |||||||||
Mastercard, Inc., Class A | 2,403 | 760,045 | |||||||||
NEXTDC Ltd.(2) | 15,743 | 138,779 | |||||||||
Nihon Unisys Ltd. | 3,300 | 124,637 | |||||||||
Nuvei Corp.(2) | 3,295 | 172,988 | |||||||||
PayPal Holdings, Inc.(2) | 4,016 | 940,989 | |||||||||
Perficient, Inc.(2) | 1,328 | 72,522 | |||||||||
Repay Holdings Corp.(2) | 5,896 | 130,596 | |||||||||
Square, Inc., Class A(2) | 4,669 | 1,008,317 | |||||||||
Twilio, Inc., Class A(2) | 4,439 | 1,595,510 | |||||||||
Visa, Inc., Class A | 3,951 | 763,531 | |||||||||
9,662,031 | |||||||||||
Leisure Products — 0.2% | |||||||||||
BRP, Inc. | 1,656 | 109,001 | |||||||||
Brunswick Corp. | 1,413 | 122,168 | |||||||||
Callaway Golf Co. | 4,498 | 125,449 | |||||||||
Games Workshop Group plc | 835 | 117,977 | |||||||||
Peloton Interactive, Inc., Class A(2) | 2,750 | 401,858 | |||||||||
Polaris, Inc. | 2,889 | 337,060 | |||||||||
1,213,513 | |||||||||||
Life Sciences Tools and Services — 0.5% | |||||||||||
Agilent Technologies, Inc. | 4,349 | 522,619 | |||||||||
Lonza Group AG | 613 | 392,129 | |||||||||
Mettler-Toledo International, Inc.(2) | 830 | 969,523 | |||||||||
NeoGenomics, Inc.(2) | 2,538 | 134,565 | |||||||||
PRA Health Sciences, Inc.(2) | 1,032 | 127,184 | |||||||||
Repligen Corp.(2) | 2,409 | 481,800 | |||||||||
Seer, Inc.(2) | 632 | 39,437 | |||||||||
Tecan Group AG | 121 | 58,669 | |||||||||
Thermo Fisher Scientific, Inc. | 1,522 | 775,763 | |||||||||
3,501,689 | |||||||||||
Machinery — 1.0% | |||||||||||
AGCO Corp. | 1,070 | 118,663 | |||||||||
CKD Corp. | 5,200 | 118,396 | |||||||||
Crane Co. | 4,117 | 311,575 | |||||||||
Cummins, Inc. | 3,654 | 856,571 | |||||||||
Evoqua Water Technologies Corp.(2) | 5,161 | 140,637 | |||||||||
FANUC Corp. | 1,000 | 262,607 | |||||||||
Graco, Inc. | 6,496 | 447,834 | |||||||||
IHI Corp. | 4,800 | 84,369 | |||||||||
IMI plc | 36,365 | 619,874 | |||||||||
Japan Steel Works Ltd. (The) | 4,300 | 119,682 | |||||||||
Knorr-Bremse AG | 3,291 | 436,619 | |||||||||
Kornit Digital Ltd.(2) | 1,724 | 156,255 | |||||||||
Metso Outotec Oyj | 16,786 | 167,323 | |||||||||
Nabtesco Corp. | 3,100 | 139,369 |
16
Shares/Principal Amount | Value | ||||||||||
Oshkosh Corp. | 6,503 | $ | 595,610 | ||||||||
PACCAR, Inc. | 4,889 | 445,975 | |||||||||
Parker-Hannifin Corp. | 5,687 | 1,504,837 | |||||||||
Rexnord Corp. | 8,305 | 314,427 | |||||||||
Techtronic Industries Co. Ltd. | 28,500 | 427,325 | |||||||||
Trelleborg AB, B Shares(2) | 5,866 | 132,955 | |||||||||
Weir Group plc (The)(2) | 5,254 | 136,218 | |||||||||
Westinghouse Air Brake Technologies Corp. | 3,899 | 289,345 | |||||||||
7,826,466 | |||||||||||
Media — 0.3% | |||||||||||
Atresmedia Corp. de Medios de Comunicacion SA(2) | 17,549 | 69,666 | |||||||||
Comcast Corp., Class A | 6,191 | 306,888 | |||||||||
Fox Corp., Class B | 22,788 | 681,133 | |||||||||
Future plc | 4,951 | 117,700 | |||||||||
Nippon Television Holdings, Inc. | 19,600 | 225,961 | |||||||||
Nordic Entertainment Group AB, B Shares(2) | 1,613 | 84,162 | |||||||||
ProSiebenSat.1 Media SE(2) | 3,124 | 56,672 | |||||||||
Publicis Groupe SA | 7,795 | 404,013 | |||||||||
TV Asahi Holdings Corp. | 5,680 | 109,685 | |||||||||
WPP plc | 47,126 | 491,947 | |||||||||
2,547,827 | |||||||||||
Metals and Mining† | |||||||||||
APERAM SA | 2,826 | 122,132 | |||||||||
Nickel Mines Ltd. | 53,110 | 51,171 | |||||||||
OZ Minerals Ltd. | 8,898 | 126,113 | |||||||||
299,416 | |||||||||||
Mortgage Real Estate Investment Trusts (REITs)† | |||||||||||
PennyMac Mortgage Investment Trust | 14,686 | 253,334 | |||||||||
Multi-Utilities — 0.1% | |||||||||||
Ameren Corp. | 2,181 | 158,602 | |||||||||
NorthWestern Corp. | 14,334 | 780,773 | |||||||||
939,375 | |||||||||||
Multiline Retail — 0.2% | |||||||||||
Dollar Tree, Inc.(2) | 5,626 | 571,939 | |||||||||
Isetan Mitsukoshi Holdings Ltd. | 2,000 | 12,344 | |||||||||
Magazine Luiza SA | 67,472 | 309,774 | |||||||||
Ryohin Keikaku Co. Ltd. | 7,200 | 172,571 | |||||||||
Target Corp. | 1,532 | 277,552 | |||||||||
1,344,180 | |||||||||||
Oil, Gas and Consumable Fuels — 0.6% | |||||||||||
Cimarex Energy Co. | 8,573 | 361,609 | |||||||||
ConocoPhillips | 30,640 | 1,226,519 | |||||||||
Eni SpA | 34,982 | 353,126 | |||||||||
Gazprom PJSC, ADR | 41,856 | 231,807 | |||||||||
Gazprom PJSC | 27,588 | 77,797 | |||||||||
Neste Oyj | 6,723 | 475,013 | |||||||||
Parex Resources, Inc.(2) | 6,853 | 103,699 | |||||||||
PetroChina Co. Ltd., H Shares | 822,000 | 249,616 | |||||||||
Phillips 66 | 3,061 | 207,536 | |||||||||
Saras SpA(2) | 167,288 | 109,917 | |||||||||
Surgutneftegas PJSC, Preference Shares | 874,660 | 461,571 |
17
Shares/Principal Amount | Value | ||||||||||
TOTAL SE | 11,994 | $ | 506,340 | ||||||||
4,364,550 | |||||||||||
Paper and Forest Products — 0.1% | |||||||||||
Louisiana-Pacific Corp. | 2,665 | 101,297 | |||||||||
Mondi plc | 33,542 | 792,809 | |||||||||
West Fraser Timber Co. Ltd.(3) | 2,393 | 153,339 | |||||||||
1,047,445 | |||||||||||
Personal Products — 0.2% | |||||||||||
Estee Lauder Cos., Inc. (The), Class A | 1,240 | 293,446 | |||||||||
Jamieson Wellness, Inc. | 2,099 | 58,846 | |||||||||
Ontex Group NV(2) | 8,104 | 91,991 | |||||||||
Shiseido Co. Ltd. | 11,900 | 780,909 | |||||||||
1,225,192 | |||||||||||
Pharmaceuticals — 0.8% | |||||||||||
ALK-Abello A/S(2) | 337 | 131,611 | |||||||||
Arvinas, Inc.(2) | 718 | 54,166 | |||||||||
Axsome Therapeutics, Inc.(2) | 934 | 63,596 | |||||||||
Bristol-Myers Squibb Co. | 8,750 | 537,513 | |||||||||
Dermapharm Holding SE | 906 | 63,816 | |||||||||
GlaxoSmithKline plc | 41,851 | 777,470 | |||||||||
Harmony Biosciences Holdings, Inc.(2) | 849 | 30,445 | |||||||||
Horizon Therapeutics plc(2) | 7,781 | 563,967 | |||||||||
Jazz Pharmaceuticals plc(2) | 3,358 | 522,169 | |||||||||
Laboratorios Farmaceuticos Rovi SA | 2,076 | 102,181 | |||||||||
Merck & Co., Inc. | 8,083 | 622,957 | |||||||||
Novartis AG | 3,667 | 331,699 | |||||||||
Novo Nordisk A/S, B Shares | 8,635 | 600,613 | |||||||||
Reata Pharmaceuticals, Inc., Class A(2) | 246 | 25,483 | |||||||||
Sanofi | 2,088 | 196,175 | |||||||||
Sanofi, ADR | 12,185 | 575,254 | |||||||||
Takeda Pharmaceutical Co. Ltd. | 15,000 | 525,936 | |||||||||
Zoetis, Inc. | 2,087 | 321,920 | |||||||||
6,046,971 | |||||||||||
Professional Services — 0.4% | |||||||||||
ASGN, Inc.(2) | 1,248 | 103,472 | |||||||||
CoStar Group, Inc.(2) | 518 | 466,050 | |||||||||
DKSH Holding AG | 757 | 60,828 | |||||||||
en-japan, Inc. | 2,900 | 83,869 | |||||||||
IHS Markit Ltd. | 1,831 | 159,443 | |||||||||
IR Japan Holdings Ltd. | 500 | 83,682 | |||||||||
Korn Ferry | 3,125 | 142,500 | |||||||||
Randstad NV(2) | 1,154 | 71,979 | |||||||||
Recruit Holdings Co. Ltd. | 11,300 | 492,342 | |||||||||
Teleperformance | 1,071 | 351,183 | |||||||||
TransUnion | 4,749 | 413,353 | |||||||||
UT Group Co. Ltd.(2) | 1,800 | 55,525 | |||||||||
Verisk Analytics, Inc. | 3,003 | 551,051 | |||||||||
3,035,277 | |||||||||||
Real Estate Management and Development — 0.3% | |||||||||||
Altus Group Ltd. | 1,233 | 47,199 | |||||||||
Aroundtown SA | 34,313 | 238,689 |
18
Shares/Principal Amount | Value | ||||||||||
Colliers International Group, Inc. | 964 | $ | 85,179 | ||||||||
Colliers International Group, Inc. (Toronto)(3) | 1,640 | 144,589 | |||||||||
ESR Cayman Ltd.(2) | 96,800 | 345,430 | |||||||||
Fastighets AB Balder, B Shares(2) | 2,018 | 100,944 | |||||||||
FirstService Corp. | 912 | 124,581 | |||||||||
IWG plc(2) | 19,913 | 85,083 | |||||||||
Redfin Corp.(2) | 2,390 | 170,192 | |||||||||
Samhallsbyggnadsbolaget i Norden AB(3) | 76,260 | 250,275 | |||||||||
Tricon Residential, Inc.(3) | 15,754 | 150,302 | |||||||||
VGP NV | 1,482 | 243,033 | |||||||||
1,985,496 | |||||||||||
Road and Rail — 0.2% | |||||||||||
Heartland Express, Inc. | 23,330 | 437,904 | |||||||||
Norfolk Southern Corp. | 2,919 | 690,694 | |||||||||
Sixt SE(2) | 517 | 60,370 | |||||||||
TFI International, Inc. | 2,783 | 184,858 | |||||||||
Union Pacific Corp. | 1,691 | 333,922 | |||||||||
1,707,748 | |||||||||||
Semiconductors and Semiconductor Equipment — 1.4% | |||||||||||
Advanced Micro Devices, Inc.(2) | 8,990 | 769,904 | |||||||||
Allegro MicroSystems, Inc.(2) | 2,261 | 63,127 | |||||||||
Applied Materials, Inc. | 9,279 | 897,094 | |||||||||
ASM International NV | 238 | 60,925 | |||||||||
ASML Holding NV | 1,051 | 559,578 | |||||||||
BE Semiconductor Industries NV | 1,544 | 105,996 | |||||||||
Broadcom, Inc. | 997 | 449,148 | |||||||||
Entegris, Inc. | 560 | 55,098 | |||||||||
Infineon Technologies AG | 15,621 | 628,241 | |||||||||
MACOM Technology Solutions Holdings, Inc.(2) | 2,796 | 158,981 | |||||||||
Marvell Technology Group Ltd. | 18,089 | 930,860 | |||||||||
Maxim Integrated Products, Inc. | 2,220 | 194,716 | |||||||||
MKS Instruments, Inc. | 504 | 79,667 | |||||||||
Nova Measuring Instruments Ltd.(2) | 1,873 | 130,417 | |||||||||
NVIDIA Corp. | 1,742 | 905,126 | |||||||||
Onto Innovation, Inc.(2) | 1,540 | 83,237 | |||||||||
PDF Solutions, Inc.(2) | 228 | 4,405 | |||||||||
Power Integrations, Inc. | 1,987 | 160,053 | |||||||||
Semtech Corp.(2) | 2,723 | 193,197 | |||||||||
Skyworks Solutions, Inc. | 6,826 | 1,155,300 | |||||||||
SOITEC(2) | 810 | 163,026 | |||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 39,000 | 823,480 | |||||||||
Teradyne, Inc. | 8,018 | 909,883 | |||||||||
Texas Instruments, Inc. | 2,959 | 490,277 | |||||||||
Veeco Instruments, Inc.(2) | 3,501 | 64,628 | |||||||||
Xilinx, Inc. | 4,636 | 605,322 | |||||||||
10,641,686 | |||||||||||
Software — 2.2% | |||||||||||
Adobe, Inc.(2) | 1,004 | 460,605 | |||||||||
Atlassian Corp. plc, Class A(2) | 2,465 | 569,736 | |||||||||
Cadence Design Systems, Inc.(2) | 13,435 | 1,751,790 | |||||||||
CDK Global, Inc. | 1,341 | 66,916 |
19
Shares/Principal Amount | Value | ||||||||||
Coupa Software, Inc.(2) | 2,875 | $ | 890,876 | ||||||||
Dassault Systemes SE | 1,541 | 308,086 | |||||||||
Descartes Systems Group, Inc. (The)(2) | 1,118 | 68,177 | |||||||||
DocuSign, Inc.(2) | 3,181 | 740,823 | |||||||||
Envestnet, Inc.(2) | 6,732 | 516,546 | |||||||||
Everbridge, Inc.(2) | 772 | 102,622 | |||||||||
Five9, Inc.(2) | 792 | 131,670 | |||||||||
fuboTV, Inc.(2)(3) | 1,342 | 56,700 | |||||||||
HubSpot, Inc.(2) | 2,471 | 919,706 | |||||||||
Kinaxis, Inc.(2) | 314 | 43,588 | |||||||||
LINK Mobility Group Holding ASA(2) | 7,168 | 41,262 | |||||||||
Manhattan Associates, Inc.(2) | 10,431 | 1,181,102 | |||||||||
Microsoft Corp. | 17,759 | 4,119,378 | |||||||||
Model N, Inc.(2) | 986 | 33,504 | |||||||||
nCino, Inc.(2) | 1,802 | 129,203 | |||||||||
Netcompany Group A/S(2) | 457 | 42,731 | |||||||||
Open Text Corp. | 9,257 | 414,621 | |||||||||
Palo Alto Networks, Inc.(2) | 3,724 | 1,306,193 | |||||||||
Paylocity Holding Corp.(2) | 497 | 93,168 | |||||||||
Rakus Co. Ltd. | 1,300 | 23,224 | |||||||||
RealPage, Inc.(2) | 1,532 | 132,625 | |||||||||
RingCentral, Inc., Class A(2) | 2,921 | 1,089,299 | |||||||||
SailPoint Technologies Holdings, Inc.(2) | 2,938 | 162,501 | |||||||||
salesforce.com, Inc.(2) | 2,093 | 472,097 | |||||||||
Sinch AB(2) | 508 | 74,849 | |||||||||
Splunk, Inc.(2) | 4,824 | 796,105 | |||||||||
TeamViewer AG(2) | 1,174 | 60,887 | |||||||||
16,800,590 | |||||||||||
Specialty Retail — 0.8% | |||||||||||
Advance Auto Parts, Inc. | 6,004 | 895,437 | |||||||||
American Eagle Outfitters, Inc. | 3,321 | 75,354 | |||||||||
Arko Corp.(2) | 4,813 | 44,520 | |||||||||
Burlington Stores, Inc.(2) | 3,697 | 920,183 | |||||||||
Carvana Co.(2) | 1,318 | 344,248 | |||||||||
Five Below, Inc.(2) | 3,078 | 540,897 | |||||||||
Home Depot, Inc. (The) | 3,979 | 1,077,593 | |||||||||
JD Sports Fashion plc(2) | 5,534 | 56,552 | |||||||||
Kingfisher plc(2) | 85,931 | 326,582 | |||||||||
Leslie's, Inc.(2) | 2,182 | 62,405 | |||||||||
Lithia Motors, Inc., Class A | 2,559 | 815,502 | |||||||||
Michaels Cos., Inc. (The)(2)(3) | 5,172 | 80,166 | |||||||||
Musti Group Oyj(2) | 990 | 30,953 | |||||||||
National Vision Holdings, Inc.(2) | 1,822 | 84,486 | |||||||||
Nextage Co. Ltd. | 900 | 12,761 | |||||||||
Pets at Home Group plc | 22,313 | 122,637 | |||||||||
TJX Cos., Inc. (The) | 9,826 | 629,257 | |||||||||
Watches of Switzerland Group plc(2) | 8,331 | 72,926 | |||||||||
WH Smith plc(2) | 4,643 | 97,184 | |||||||||
6,289,643 | |||||||||||
Technology Hardware, Storage and Peripherals — 0.6% | |||||||||||
Apple, Inc. | 28,585 | 3,772,076 |
20
Shares/Principal Amount | Value | ||||||||||
HP, Inc. | 29,808 | $ | 725,527 | ||||||||
4,497,603 | |||||||||||
Textiles, Apparel and Luxury Goods — 0.4% | |||||||||||
ANTA Sports Products Ltd. | 17,000 | 283,249 | |||||||||
Asics Corp. | 700 | 12,316 | |||||||||
Canada Goose Holdings, Inc.(2)(3) | 1,622 | 54,251 | |||||||||
Capri Holdings Ltd.(2) | 2,745 | 114,357 | |||||||||
Crocs, Inc.(2) | 2,817 | 197,246 | |||||||||
Dr. Martens plc(2) | 9,892 | 60,991 | |||||||||
lululemon athletica, Inc.(2) | 2,261 | 743,146 | |||||||||
LVMH Moet Hennessy Louis Vuitton SE | 731 | 441,373 | |||||||||
NIKE, Inc., Class B | 6,082 | 812,494 | |||||||||
Pandora A/S | 750 | 72,338 | |||||||||
Puma SE(2) | 3,734 | 365,892 | |||||||||
VF Corp. | 3,577 | 274,964 | |||||||||
3,432,617 | |||||||||||
Thrifts and Mortgage Finance† | |||||||||||
Capitol Federal Financial, Inc. | 23,383 | 290,417 | |||||||||
NMI Holdings, Inc., Class A(2) | 3,406 | 72,241 | |||||||||
362,658 | |||||||||||
Trading Companies and Distributors — 0.3% | |||||||||||
AddTech AB, B Shares | 4,621 | 61,402 | |||||||||
Applied Industrial Technologies, Inc. | 1,917 | 134,938 | |||||||||
Ashtead Group plc | 5,744 | 290,274 | |||||||||
Diploma plc | 4,324 | 137,197 | |||||||||
Electrocomponents plc | 14,378 | 172,652 | |||||||||
Grafton Group plc | 2,978 | 35,245 | |||||||||
Howden Joinery Group plc(2) | 10,802 | 99,284 | |||||||||
MSC Industrial Direct Co., Inc., Class A | 8,443 | 654,923 | |||||||||
Seven Group Holdings Ltd.(3) | 10,999 | 187,096 | |||||||||
W.W. Grainger, Inc. | 1,410 | 513,790 | |||||||||
Yamazen Corp. | 6,100 | 57,478 | |||||||||
2,344,279 | |||||||||||
Wireless Telecommunication Services — 0.1% | |||||||||||
Rogers Communications, Inc., Class B | 11,944 | 539,033 | |||||||||
TOTAL COMMON STOCKS (Cost $173,914,426) | 249,367,571 | ||||||||||
U.S. TREASURY SECURITIES — 7.0% | |||||||||||
U.S. Treasury Bonds, 1.125%, 5/15/40 | $ | 4,100,000 | 3,753,422 | ||||||||
U.S. Treasury Bonds, 3.00%, 5/15/42 | 250,000 | 310,645 | |||||||||
U.S. Treasury Bonds, 3.75%, 11/15/43 | 40,000 | 55,580 | |||||||||
U.S. Treasury Bonds, 3.125%, 8/15/44(4) | 1,350,000 | 1,715,871 | |||||||||
U.S. Treasury Bonds, 3.00%, 5/15/45 | 100,000 | 124,883 | |||||||||
U.S. Treasury Bonds, 3.00%, 11/15/45 | 50,000 | 62,582 | |||||||||
U.S. Treasury Bonds, 1.375%, 8/15/50 | 500,000 | 446,914 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 2.375%, 1/15/25(4) | 2,554,018 | 3,006,384 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 2.00%, 1/15/26 | 1,507,800 | 1,807,165 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 2.375%, 1/15/27 | 258,082 | 323,146 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 2.50%, 1/15/29 | 2,605,929 | 3,440,105 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 2.125%, 2/15/40 | 433,436 | 667,497 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/42 | 760,096 | 961,084 |
21
Shares/Principal Amount | Value | ||||||||||
U.S. Treasury Inflation Indexed Bonds, 0.625%, 2/15/43 | $ | 350,880 | $ | 434,278 | |||||||
U.S. Treasury Inflation Indexed Bonds, 1.375%, 2/15/44 | 1,284,067 | 1,835,247 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/45 | 1,348,210 | 1,725,355 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.875%, 2/15/47 | 431,212 | 573,064 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 1/15/24 | 4,182,300 | 4,522,035 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.50%, 4/15/24 | 3,095,400 | 3,343,299 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/25 | 1,863,801 | 2,024,270 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 1/15/26 | 1,314,228 | 1,478,654 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/26 | 3,745,458 | 4,155,007 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.875%, 1/15/29 | 360,710 | 426,477 | |||||||||
U.S. Treasury Notes, 2.00%, 12/31/21(4) | 200,000 | 203,518 | |||||||||
U.S. Treasury Notes, 0.25%, 6/15/23 | 4,600,000 | 4,612,758 | |||||||||
U.S. Treasury Notes, 0.25%, 5/31/25 | 7,100,000 | 7,073,098 | |||||||||
U.S. Treasury Notes, 0.50%, 5/31/27 | 1,500,000 | 1,485,762 | |||||||||
U.S. Treasury Notes, 0.50%, 6/30/27 | 2,000,000 | 1,979,062 | |||||||||
U.S. Treasury Notes, 2.25%, 8/15/27(4) | 200,000 | 220,156 | |||||||||
U.S. Treasury Notes, 0.625%, 5/15/30 | 1,700,000 | 1,638,375 | |||||||||
TOTAL U.S. TREASURY SECURITIES (Cost $50,189,947) | 54,405,693 | ||||||||||
CORPORATE BONDS — 2.9% | |||||||||||
Aerospace and Defense — 0.1% | |||||||||||
Bombardier, Inc., 8.75%, 12/1/21(5) | 25,000 | 26,230 | |||||||||
Bombardier, Inc., 5.75%, 3/15/22(5) | 125,000 | 128,406 | |||||||||
Bombardier, Inc., 6.00%, 10/15/22(5) | 30,000 | 29,831 | |||||||||
Howmet Aerospace, Inc., 5.125%, 10/1/24 | 160,000 | 176,218 | |||||||||
TransDigm, Inc., 6.375%, 6/15/26 | 50,000 | 51,719 | |||||||||
TransDigm, Inc., 4.625%, 1/15/29(5) | 174,000 | 173,022 | |||||||||
585,426 | |||||||||||
Airlines† | |||||||||||
United Airlines Holdings, Inc., 5.00%, 2/1/24 | 140,000 | 138,379 | |||||||||
Auto Components† | |||||||||||
ZF North America Capital, Inc., 4.75%, 4/29/25(5) | 110,000 | 119,448 | |||||||||
Automobiles — 0.1% | |||||||||||
Ford Motor Credit Co. LLC, 5.875%, 8/2/21 | 330,000 | 336,600 | |||||||||
General Motors Co., 5.15%, 4/1/38 | 60,000 | 72,633 | |||||||||
General Motors Financial Co., Inc., 3.20%, 7/6/21 | 130,000 | 131,187 | |||||||||
540,420 | |||||||||||
Banks — 0.3% | |||||||||||
Akbank T.A.S., 5.00%, 10/24/22 | 70,000 | 71,341 | |||||||||
Avi Funding Co. Ltd., 3.80%, 9/16/25(5) | 143,000 | 160,000 | |||||||||
Banco Santander SA, MTN, 2.50%, 3/18/25 | EUR | 100,000 | 131,294 | ||||||||
Bank of America Corp., MTN, 2.30%, 7/25/25 | GBP | 100,000 | 147,537 | ||||||||
Barclays Bank plc, MTN, 6.625%, 3/30/22 | EUR | 50,000 | 65,302 | ||||||||
BPCE SA, VRN, 2.75%, 7/8/26 | EUR | 100,000 | 122,788 | ||||||||
CaixaBank SA, MTN, VRN, 2.75%, 7/14/28 | EUR | 100,000 | 126,802 | ||||||||
CaixaBank SA, MTN, VRN, 2.25%, 4/17/30 | EUR | 100,000 | 127,094 | ||||||||
Citigroup, Inc., VRN, 3.52%, 10/27/28 | $ | 140,000 | 157,220 | ||||||||
Co-Operative Bank plc (The), 4.75%, 11/11/21 (Secured) | GBP | 100,000 | 141,233 | ||||||||
Cooperatieve Rabobank UA, VRN, 2.50%, 5/26/26 | EUR | 100,000 | 122,333 | ||||||||
Credit Agricole SA, MTN, 7.375%, 12/18/23 | GBP | 50,000 | 81,330 | ||||||||
European Financial Stability Facility, MTN, 2.125%, 2/19/24 | EUR | 93,000 | 122,467 |
22
Shares/Principal Amount | Value | ||||||||||
European Financial Stability Facility, MTN, 0.40%, 5/31/26 | EUR | 200,000 | $ | 255,213 | |||||||
ING Groep NV, MTN, 2.125%, 1/10/26 | EUR | 200,000 | 267,213 | ||||||||
Intercorp Financial Services, Inc., 4.125%, 10/19/27(5) | $ | 170,000 | 183,129 | ||||||||
Kreditanstalt fuer Wiederaufbau, 4.625%, 1/4/23 | EUR | 75,000 | 100,467 | ||||||||
Lloyds Bank plc, MTN, 7.625%, 4/22/25 | GBP | 20,000 | 34,681 | ||||||||
Wells Fargo & Co., 4.125%, 8/15/23 | $ | 100,000 | 108,871 | ||||||||
Woori Bank, MTN, 4.75%, 4/30/24 | 86,000 | 95,502 | |||||||||
2,621,817 | |||||||||||
Beverages† | |||||||||||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc., 4.90%, 2/1/46 | 130,000 | 163,384 | |||||||||
Biotechnology — 0.1% | |||||||||||
AbbVie, Inc., 4.55%, 3/15/35 | 40,000 | 49,539 | |||||||||
AbbVie, Inc., 4.40%, 11/6/42 | 80,000 | 98,374 | |||||||||
Gilead Sciences, Inc., 3.65%, 3/1/26 | 230,000 | 259,382 | |||||||||
407,295 | |||||||||||
Capital Markets — 0.1% | |||||||||||
Credit Suisse Group AG, VRN, 2.125%, 9/12/25 | GBP | 100,000 | 143,114 | ||||||||
Goldman Sachs Group, Inc. (The), 5.50%, 10/12/21 | GBP | 50,000 | 70,929 | ||||||||
Goldman Sachs Group, Inc. (The), 3.50%, 11/16/26 | $ | 130,000 | 144,759 | ||||||||
MDGH - GMTN B.V., 3.25%, 4/28/22(5) | 57,000 | 58,991 | |||||||||
SURA Asset Management SA, 4.375%, 4/11/27 | 55,000 | 62,003 | |||||||||
479,796 | |||||||||||
Chemicals† | |||||||||||
Equate Petrochemical BV, 4.25%, 11/3/26(5) | 46,000 | 50,937 | |||||||||
Olin Corp., 5.125%, 9/15/27 | 70,000 | 72,713 | |||||||||
Tronox Finance plc, 5.75%, 10/1/25(5) | 30,000 | 30,825 | |||||||||
154,475 | |||||||||||
Consumer Finance — 0.1% | |||||||||||
Capital One Financial Corp., 3.80%, 1/31/28 | 180,000 | 205,303 | |||||||||
Navient Corp., 4.875%, 3/15/28(6) | 390,000 | 387,075 | |||||||||
592,378 | |||||||||||
Containers and Packaging† | |||||||||||
Ball Corp., 5.25%, 7/1/25 | 35,000 | 39,805 | |||||||||
Mauser Packaging Solutions Holding Co., 5.50%, 4/15/24(5) | 40,000 | 40,542 | |||||||||
Owens-Brockway Glass Container, Inc., 5.875%, 8/15/23(5) | 40,000 | 42,875 | |||||||||
Sealed Air Corp., 5.125%, 12/1/24(5) | 105,000 | 116,266 | |||||||||
239,488 | |||||||||||
Diversified Financial Services — 0.1% | |||||||||||
Allen C Stonecipher Life Insurance Trust, VRDN, 0.15%, 2/4/21 (LOC: Texas Capital Bank and FHLB) | 155,000 | 155,000 | |||||||||
Fiore Capital LLC, VRDN, 0.18%, 2/4/21 (LOC: Wells Fargo Bank N.A.) | 450,000 | 450,000 | |||||||||
605,000 | |||||||||||
Diversified Telecommunication Services — 0.2% | |||||||||||
Altice France SA, 7.375%, 5/1/26(5) | 140,000 | 146,608 | |||||||||
AT&T, Inc., 4.10%, 2/15/28 | 30,000 | 34,789 | |||||||||
AT&T, Inc., 3.55%, 9/15/55(5) | 33,000 | 31,648 | |||||||||
AT&T, Inc., 3.80%, 12/1/57(5) | 146,000 | 146,210 | |||||||||
Hughes Satellite Systems Corp., 5.25%, 8/1/26 | 100,000 | 111,193 | |||||||||
Level 3 Financing, Inc., 3.625%, 1/15/29(5) | 175,000 | 174,455 | |||||||||
Lumen Technologies, Inc., 5.80%, 3/15/22 | 45,000 | 47,081 |
23
Shares/Principal Amount | Value | ||||||||||
Ooredoo International Finance Ltd., 3.75%, 6/22/26(5) | $ | 86,000 | $ | 96,105 | |||||||
Telefonica Emisiones SA, 5.46%, 2/16/21 | 10,000 | 10,020 | |||||||||
Turk Telekomunikasyon AS, 4.875%, 6/19/24(5) | 115,000 | 119,667 | |||||||||
Verizon Communications, Inc., 4.40%, 11/1/34 | 210,000 | 257,027 | |||||||||
1,174,803 | |||||||||||
Electric Utilities — 0.1% | |||||||||||
Berkshire Hathaway Energy Co., 3.50%, 2/1/25 | 50,000 | 54,991 | |||||||||
Berkshire Hathaway Energy Co., 3.80%, 7/15/48 | 40,000 | 46,183 | |||||||||
Duke Energy Carolinas LLC, 3.20%, 8/15/49 | 140,000 | 152,614 | |||||||||
Duke Energy Florida LLC, 3.85%, 11/15/42 | 40,000 | 46,608 | |||||||||
Duke Energy Progress LLC, 4.15%, 12/1/44 | 40,000 | 49,442 | |||||||||
Exelon Corp., 4.45%, 4/15/46 | 20,000 | 24,609 | |||||||||
Greenko Investment Co., 4.875%, 8/16/23(5) | 57,000 | 58,342 | |||||||||
Israel Electric Corp. Ltd., 6.875%, 6/21/23(5) | 57,000 | 64,553 | |||||||||
MidAmerican Energy Co., 4.40%, 10/15/44 | 60,000 | 76,193 | |||||||||
NRG Energy, Inc., 7.25%, 5/15/26 | 75,000 | 78,749 | |||||||||
Southern Co. Gas Capital Corp., 3.95%, 10/1/46 | 20,000 | 22,865 | |||||||||
Talen Energy Supply LLC, 6.50%, 6/1/25 | 95,000 | 75,763 | |||||||||
750,912 | |||||||||||
Energy Equipment and Services† | |||||||||||
Precision Drilling Corp., 5.25%, 11/15/24 | 105,000 | 96,928 | |||||||||
Entertainment† | |||||||||||
Cinemark USA, Inc., 5.125%, 12/15/22 | 55,000 | 53,866 | |||||||||
Equity Real Estate Investment Trusts (REITs) — 0.1% | |||||||||||
Equinix, Inc., 5.375%, 5/15/27 | 90,000 | 97,714 | |||||||||
GLP Capital LP / GLP Financing II, Inc., 5.375%, 11/1/23 | 70,000 | 76,564 | |||||||||
Iron Mountain, Inc., 4.875%, 9/15/27(5) | 100,000 | 104,790 | |||||||||
Kilroy Realty LP, 3.80%, 1/15/23 | 60,000 | 62,945 | |||||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 5.625%, 5/1/24 | 90,000 | 96,719 | |||||||||
438,732 | |||||||||||
Food and Staples Retailing† | |||||||||||
Kroger Co. (The), 3.875%, 10/15/46 | 30,000 | 34,318 | |||||||||
Walmart, Inc., 2.55%, 4/11/23 | 4,000 | 4,183 | |||||||||
38,501 | |||||||||||
Food Products — 0.2% | |||||||||||
B&G Foods, Inc., 5.25%, 4/1/25 | 80,000 | 82,240 | |||||||||
JBS USA LUX SA / JBS USA Finance, Inc., 5.75%, 6/15/25(5) | 80,000 | 82,590 | |||||||||
Lamb Weston Holdings, Inc., 4.625%, 11/1/24(5) | 90,000 | 93,987 | |||||||||
MHP SE, 7.75%, 5/10/24(5) | 71,000 | 77,764 | |||||||||
Minerva Luxembourg SA, 5.875%, 1/19/28(5) | 40,000 | 42,637 | |||||||||
Pilgrim's Pride Corp., 5.75%, 3/15/25(5) | 280,000 | 286,678 | |||||||||
Post Holdings, Inc., 5.00%, 8/15/26(5) | 200,000 | 206,653 | |||||||||
Post Holdings, Inc., 4.625%, 4/15/30(5) | 300,000 | 311,316 | |||||||||
1,183,865 | |||||||||||
Gas Utilities† | |||||||||||
Perusahaan Gas Negara Tbk PT, 5.125%, 5/16/24 | 114,000 | 125,550 | |||||||||
Health Care Providers and Services — 0.2% | |||||||||||
Acadia Healthcare Co., Inc., 5.625%, 2/15/23 | 70,000 | 70,377 | |||||||||
CHS / Community Health Systems, Inc., 8.125%, 6/30/24(5) | 55,000 | 57,888 | |||||||||
CHS / Community Health Systems, Inc., 8.00%, 12/15/27(5) | 17,000 | 18,541 |
24
Shares/Principal Amount | Value | ||||||||||
CHS / Community Health Systems, Inc., 6.875%, 4/1/28(5) | $ | 42,000 | $ | 38,246 | |||||||
CHS / Community Health Systems, Inc., VRN, 9.875%, 6/30/23(5) | 150,000 | 161,220 | |||||||||
CVS Health Corp., 4.30%, 3/25/28 | 68,000 | 79,930 | |||||||||
CVS Health Corp., 4.78%, 3/25/38 | 40,000 | 49,541 | |||||||||
DaVita, Inc., 4.625%, 6/1/30(5) | 270,000 | 283,755 | |||||||||
Team Health Holdings, Inc., 6.375%, 2/1/25(5) | 45,000 | 40,725 | |||||||||
Tenet Healthcare Corp., 6.75%, 6/15/23 | 50,000 | 54,300 | |||||||||
Tenet Healthcare Corp., 5.125%, 5/1/25 | 150,000 | 152,158 | |||||||||
Tenet Healthcare Corp., 6.125%, 10/1/28(5) | 350,000 | 366,226 | |||||||||
UnitedHealth Group, Inc., 4.75%, 7/15/45 | 50,000 | 67,707 | |||||||||
1,440,614 | |||||||||||
Hotels, Restaurants and Leisure — 0.1% | |||||||||||
1011778 BC ULC / New Red Finance, Inc., 4.375%, 1/15/28(5) | 120,000 | 122,603 | |||||||||
Boyd Gaming Corp., 6.375%, 4/1/26 | 75,000 | 77,869 | |||||||||
Golden Nugget, Inc., 6.75%, 10/15/24(5) | 140,000 | 140,497 | |||||||||
Hilton Domestic Operating Co., Inc., 3.625%, 2/15/32(5)(6) | 150,000 | 148,615 | |||||||||
McDonald's Corp., MTN, 4.70%, 12/9/35 | 20,000 | 25,619 | |||||||||
MGM Resorts International, 6.00%, 3/15/23 | 135,000 | 144,281 | |||||||||
MGM Resorts International, 4.625%, 9/1/26 | 39,000 | 40,731 | |||||||||
Penn National Gaming, Inc., 5.625%, 1/15/27(5) | 175,000 | 184,336 | |||||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.50%, 3/1/25(5) | 235,000 | 242,407 | |||||||||
1,126,958 | |||||||||||
Household Durables — 0.1% | |||||||||||
KB Home, 4.80%, 11/15/29 | 200,000 | 220,667 | |||||||||
Meritage Homes Corp., 5.125%, 6/6/27 | 190,000 | 213,940 | |||||||||
Toll Brothers Finance Corp., 4.35%, 2/15/28 | 50,000 | 55,678 | |||||||||
490,285 | |||||||||||
Industrial Conglomerates† | |||||||||||
General Electric Co., 4.35%, 5/1/50 | 240,000 | 277,687 | |||||||||
Insurance† | |||||||||||
Allianz SE, MTN, VRN, 4.75%, 10/24/23 | EUR | 100,000 | 134,897 | ||||||||
Interactive Media and Services† | |||||||||||
Tencent Holdings Ltd., 3.80%, 2/11/25(5) | $ | 86,000 | 94,156 | ||||||||
Internet and Direct Marketing Retail† | |||||||||||
Alibaba Group Holding Ltd., 2.80%, 6/6/23 | 200,000 | 209,408 | |||||||||
IT Services† | |||||||||||
CDW LLC / CDW Finance Corp., 5.50%, 12/1/24 | 90,000 | 99,394 | |||||||||
Media — 0.2% | |||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.125%, 5/1/27(5) | 60,000 | 63,168 | |||||||||
CCO Holdings LLC / CCO Holdings Capital Corp., 4.25%, 2/1/31(5) | 274,000 | 281,110 | |||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 6.48%, 10/23/45 | 50,000 | 68,485 | |||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 4.80%, 3/1/50 | 100,000 | 113,970 | |||||||||
CSC Holdings LLC, 5.875%, 9/15/22 | 125,000 | 131,953 | |||||||||
CSC Holdings LLC, 5.50%, 5/15/26(5) | 50,000 | 51,923 | |||||||||
DISH DBS Corp., 6.75%, 6/1/21 | 100,000 | 101,630 | |||||||||
DISH DBS Corp., 5.00%, 3/15/23 | 130,000 | 134,069 |
25
Shares/Principal Amount | Value | ||||||||||
Gray Television, Inc., 5.875%, 7/15/26(5) | $ | 175,000 | $ | 181,891 | |||||||
Lamar Media Corp., 3.75%, 2/15/28 | 300,000 | 304,975 | |||||||||
TEGNA, Inc., 5.50%, 9/15/24(5) | 54,000 | 55,030 | |||||||||
Ziggo BV, 5.50%, 1/15/27(5) | 150,000 | 156,638 | |||||||||
1,644,842 | |||||||||||
Metals and Mining — 0.2% | |||||||||||
Alcoa Nederland Holding BV, 6.75%, 9/30/24(5) | 75,000 | 77,953 | |||||||||
Cleveland-Cliffs, Inc., 5.75%, 3/1/25 | 220,000 | 225,362 | |||||||||
First Quantum Minerals Ltd., 7.25%, 4/1/23 | 50,000 | 51,145 | |||||||||
First Quantum Minerals Ltd., 6.50%, 3/1/24(5) | 140,000 | 143,208 | |||||||||
Freeport-McMoRan, Inc., 5.40%, 11/14/34 | 215,000 | 267,541 | |||||||||
Nexa Resources SA, 5.375%, 5/4/27 | 128,000 | 140,384 | |||||||||
Teck Resources Ltd., 6.25%, 7/15/41 | 130,000 | 166,229 | |||||||||
Vedanta Resources Ltd., 6.125%, 8/9/24(5) | 121,000 | 91,658 | |||||||||
1,163,480 | |||||||||||
Multi-Utilities† | |||||||||||
Abu Dhabi National Energy Co. PJSC, 5.875%, 12/13/21(5) | 114,000 | 119,579 | |||||||||
Abu Dhabi National Energy Co. PJSC, 3.625%, 1/12/23(5) | 86,000 | 90,913 | |||||||||
Dominion Energy, Inc., 4.90%, 8/1/41 | 30,000 | 38,408 | |||||||||
NiSource, Inc., 5.65%, 2/1/45 | 40,000 | 56,123 | |||||||||
Sempra Energy, 3.25%, 6/15/27 | 50,000 | 55,673 | |||||||||
360,696 | |||||||||||
Oil, Gas and Consumable Fuels — 0.3% | |||||||||||
Antero Resources Corp., 5.625%, 6/1/23 | 35,000 | 34,650 | |||||||||
Antero Resources Corp., 7.625%, 2/1/29(5) | 133,000 | 136,201 | |||||||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 5.75%, 4/1/25 | 90,000 | 89,325 | |||||||||
Ecopetrol SA, 5.875%, 5/28/45 | 185,000 | 210,141 | |||||||||
Energy Transfer Operating LP, 3.60%, 2/1/23 | 12,000 | 12,550 | |||||||||
Enterprise Products Operating LLC, 4.85%, 3/15/44 | 130,000 | 157,988 | |||||||||
Gazprom PJSC Via Gaz Capital SA, 6.51%, 3/7/22(5) | 79,000 | 83,693 | |||||||||
Gazprom PJSC Via Gaz Capital SA, 7.29%, 8/16/37(5) | 79,000 | 111,987 | |||||||||
Kinder Morgan Energy Partners LP, 6.50%, 9/1/39 | 90,000 | 117,289 | |||||||||
MEG Energy Corp., 7.00%, 3/31/24(5) | 60,000 | 60,897 | |||||||||
MEG Energy Corp., 6.50%, 1/15/25(5) | 62,000 | 63,944 | |||||||||
MEG Energy Corp., 5.875%, 2/1/29(5)(6) | 120,000 | 119,400 | |||||||||
MPLX LP, 4.875%, 6/1/25 | 140,000 | 160,794 | |||||||||
MPLX LP, 4.50%, 4/15/38 | 20,000 | 22,385 | |||||||||
MPLX LP, 5.20%, 3/1/47 | 10,000 | 11,915 | |||||||||
NuStar Logistics LP, 4.75%, 2/1/22 | 40,000 | 40,800 | |||||||||
Ovintiv, Inc., 6.50%, 2/1/38 | 30,000 | 35,791 | |||||||||
Petroleos Mexicanos, 4.875%, 1/24/22 | 20,000 | 20,570 | |||||||||
Petroleos Mexicanos, 3.50%, 1/30/23 | 30,000 | 30,353 | |||||||||
Petroleos Mexicanos, 6.50%, 3/13/27 | 80,000 | 82,940 | |||||||||
Petroleos Mexicanos, 5.50%, 6/27/44 | 60,000 | 49,047 | |||||||||
QEP Resources, Inc., 5.375%, 10/1/22 | 150,000 | 155,906 | |||||||||
SM Energy Co., 5.00%, 1/15/24 | 70,000 | 65,100 | |||||||||
Southwestern Energy Co., 6.45%, 1/23/25 | 150,000 | 157,500 | |||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.25%, 11/15/23 | 150,000 | 151,125 | |||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.125%, 2/1/25 | 94,000 | 96,665 |
26
Shares/Principal Amount | Value | ||||||||||
Williams Cos., Inc. (The), 4.55%, 6/24/24 | $ | 130,000 | $ | 144,970 | |||||||
2,423,926 | |||||||||||
Personal Products† | |||||||||||
Avon Products, Inc., 7.00%, 3/15/23 | 45,000 | 48,234 | |||||||||
Pharmaceuticals† | |||||||||||
Bausch Health Cos., Inc., 6.125%, 4/15/25(5) | 120,000 | 123,067 | |||||||||
Real Estate Management and Development† | |||||||||||
Howard Hughes Corp. (The), 4.375%, 2/1/31(5)(6) | 212,000 | 211,954 | |||||||||
Road and Rail† | |||||||||||
Burlington Northern Santa Fe LLC, 4.95%, 9/15/41 | 30,000 | 40,331 | |||||||||
Burlington Northern Santa Fe LLC, 4.45%, 3/15/43 | 12,000 | 15,477 | |||||||||
Burlington Northern Santa Fe LLC, 4.15%, 4/1/45 | 80,000 | 99,593 | |||||||||
United Rentals North America, Inc., 5.50%, 5/15/27 | 50,000 | 53,525 | |||||||||
208,926 | |||||||||||
Specialty Retail — 0.1% | |||||||||||
Home Depot, Inc. (The), 3.35%, 4/15/50 | 50,000 | 56,177 | |||||||||
PetSmart, Inc., 5.875%, 6/1/25(5) | 60,000 | 61,912 | |||||||||
Suburban Propane Partners LP / Suburban Energy Finance Corp., 5.50%, 6/1/24 | 110,000 | 111,720 | |||||||||
Suburban Propane Partners LP / Suburban Energy Finance Corp., 5.75%, 3/1/25 | 135,000 | 136,842 | |||||||||
366,651 | |||||||||||
Technology Hardware, Storage and Peripherals† | |||||||||||
Dell International LLC / EMC Corp., 7.125%, 6/15/24(5) | 195,000 | 202,722 | |||||||||
Western Digital Corp., 4.75%, 2/15/26 | 80,000 | 88,634 | |||||||||
291,356 | |||||||||||
Textiles, Apparel and Luxury Goods† | |||||||||||
Hanesbrands, Inc., 4.625%, 5/15/24(5) | 90,000 | 95,155 | |||||||||
Trading Companies and Distributors† | |||||||||||
Beacon Roofing Supply, Inc., 4.875%, 11/1/25(5) | 100,000 | 101,402 | |||||||||
Transportation Infrastructure† | |||||||||||
Rumo Luxembourg Sarl, 7.375%, 2/9/24 | 100,000 | 103,850 | |||||||||
Wireless Telecommunication Services — 0.2% | |||||||||||
C&W Senior Financing DAC, 6.875%, 9/15/27(5) | 130,000 | 138,645 | |||||||||
Millicom International Cellular SA, 5.125%, 1/15/28(5) | 143,000 | 151,285 | |||||||||
Sprint Corp., 7.25%, 9/15/21 | 80,000 | 82,740 | |||||||||
Sprint Corp., 7.875%, 9/15/23 | 70,000 | 80,937 | |||||||||
Sprint Corp., 7.125%, 6/15/24 | 315,000 | 367,699 | |||||||||
T-Mobile USA, Inc., 4.75%, 2/1/28 | 125,000 | 133,669 | |||||||||
T-Mobile USA, Inc., 2.625%, 2/15/29 | 184,000 | 184,898 | |||||||||
1,139,873 | |||||||||||
TOTAL CORPORATE BONDS (Cost $21,529,746) | 22,667,274 | ||||||||||
SOVEREIGN GOVERNMENTS AND AGENCIES — 2.5% | |||||||||||
Australia — 0.1% | |||||||||||
Australia Government Bond, 2.75%, 4/21/24 | AUD | 305,000 | 252,897 | ||||||||
Australia Government Bond, 3.00%, 3/21/47 | AUD | 420,000 | 382,396 | ||||||||
New South Wales Treasury Corp., 3.00%, 3/20/28 | AUD | 110,000 | 96,459 | ||||||||
731,752 | |||||||||||
Austria† | |||||||||||
Republic of Austria Government Bond, 3.40%, 11/22/22(5) | EUR | 69,000 | 89,984 | ||||||||
Republic of Austria Government Bond, 0.75%, 10/20/26(5) | EUR | 41,000 | 53,703 |
27
Shares/Principal Amount | Value | ||||||||||
Republic of Austria Government Bond, 4.15%, 3/15/37(5) | EUR | 29,000 | $ | 59,767 | |||||||
203,454 | |||||||||||
Belgium† | |||||||||||
Kingdom of Belgium Government Bond, 4.25%, 3/28/41(5) | EUR | 27,000 | 59,002 | ||||||||
Canada — 0.1% | |||||||||||
Province of British Columbia Canada, 3.25%, 12/18/21 | CAD | 179,000 | 143,864 | ||||||||
Province of British Columbia Canada, 2.85%, 6/18/25 | CAD | 201,000 | 172,612 | ||||||||
Province of Quebec Canada, 3.00%, 9/1/23 | CAD | 215,000 | 179,909 | ||||||||
Province of Quebec Canada, 5.75%, 12/1/36 | CAD | 108,000 | 128,636 | ||||||||
Province of Quebec Canada, 3.50%, 12/1/48 | CAD | 20,000 | 19,731 | ||||||||
644,752 | |||||||||||
China — 1.4% | |||||||||||
China Government Bond, 2.64%, 8/13/22 | CNY | 63,500,000 | 9,814,633 | ||||||||
China Government Bond, 3.25%, 6/6/26 | CNY | 400,000 | 62,703 | ||||||||
China Government Bond, 3.29%, 5/23/29 | CNY | 300,000 | 46,836 | ||||||||
China Government Bond, 3.39%, 3/16/50 | CNY | 5,090,000 | 735,824 | ||||||||
10,659,996 | |||||||||||
Colombia† | |||||||||||
Colombia Government International Bond, 4.375%, 7/12/21 | $ | 100,000 | 101,730 | ||||||||
Czech Republic† | |||||||||||
Czech Republic Government Bond, 4.70%, 9/12/22 | CZK | 610,000 | 30,513 | ||||||||
Denmark† | |||||||||||
Denmark Government Bond, 0.50%, 11/15/27 | DKK | 245,000 | 42,753 | ||||||||
Denmark Government Bond, 4.50%, 11/15/39 | DKK | 62,000 | 18,984 | ||||||||
61,737 | |||||||||||
Finland — 0.2% | |||||||||||
Finland Government Bond, 4.00%, 7/4/25(5) | EUR | 58,000 | 85,264 | ||||||||
Finland Government Bond, 0.125%, 4/15/36(5) | EUR | 1,000,000 | 1,255,670 | ||||||||
1,340,934 | |||||||||||
Indonesia† | |||||||||||
Indonesia Treasury Bond, 8.375%, 9/15/26 | IDR | 2,000,000,000 | 161,568 | ||||||||
Ireland† | |||||||||||
Ireland Government Bond, 3.40%, 3/18/24 | EUR | 74,000 | 101,301 | ||||||||
Italy — 0.1% | |||||||||||
Italy Buoni Poliennali Del Tesoro, 1.50%, 6/1/25 | EUR | 35,000 | 45,291 | ||||||||
Italy Buoni Poliennali Del Tesoro, 2.00%, 12/1/25 | EUR | 223,000 | 296,414 | ||||||||
341,705 | |||||||||||
Japan — 0.4% | |||||||||||
Japan Government Thirty Year Bond, 2.40%, 3/20/37 | JPY | 60,800,000 | 769,332 | ||||||||
Japan Government Thirty Year Bond, 2.00%, 9/20/41 | JPY | 29,700,000 | 367,933 | ||||||||
Japan Government Thirty Year Bond, 1.40%, 12/20/45 | JPY | 21,750,000 | 247,490 | ||||||||
Japan Government Twenty Year Bond, 2.10%, 12/20/26 | JPY | 131,900,000 | 1,422,529 | ||||||||
2,807,284 | |||||||||||
Malaysia† | |||||||||||
Malaysia Government Bond, 3.96%, 9/15/25 | MYR | 250,000 | 66,923 | ||||||||
Mexico — 0.1% | |||||||||||
Mexican Bonos, 6.50%, 6/9/22 | MXN | 2,290,000 | 115,093 | ||||||||
Mexico Government International Bond, 4.15%, 3/28/27 | $ | 200,000 | 229,127 | ||||||||
344,220 |
28
Shares/Principal Amount | Value | ||||||||||
Namibia† | |||||||||||
Namibia International Bonds, 5.25%, 10/29/25 | $ | 200,000 | $ | 215,497 | |||||||
Netherlands — 0.1% | |||||||||||
Netherlands Government Bond, 0.00%, 1/15/22(5)(7) | EUR | 65,000 | 79,382 | ||||||||
Netherlands Government Bond, 0.50%, 7/15/26(5) | EUR | 100,000 | 129,245 | ||||||||
Netherlands Government Bond, 2.75%, 1/15/47(5) | EUR | 27,000 | 57,406 | ||||||||
266,033 | |||||||||||
Norway† | |||||||||||
Norway Government Bond, 2.00%, 5/24/23(5) | NOK | 85,000 | 10,295 | ||||||||
Norway Government Bond, 1.75%, 2/17/27(5) | NOK | 510,000 | 62,934 | ||||||||
73,229 | |||||||||||
Peru† | |||||||||||
Peruvian Government International Bond, 5.625%, 11/18/50 | $ | 60,000 | 91,458 | ||||||||
Poland† | |||||||||||
Republic of Poland Government Bond, 4.00%, 10/25/23 | PLN | 215,000 | 63,960 | ||||||||
Republic of Poland Government International Bond, 5.125%, 4/21/21 | $ | 70,000 | 70,783 | ||||||||
134,743 | |||||||||||
Russia† | |||||||||||
Russian Federal Bond - OFZ, 7.05%, 1/19/28 | RUB | 1,400,000 | 19,654 | ||||||||
Singapore† | |||||||||||
Singapore Government Bond, 3.125%, 9/1/22 | SGD | 90,000 | 70,768 | ||||||||
Switzerland† | |||||||||||
Swiss Confederation Government Bond, 1.25%, 5/28/26 | CHF | 147,000 | 182,292 | ||||||||
Swiss Confederation Government Bond, 2.50%, 3/8/36 | CHF | 3,000 | 4,818 | ||||||||
187,110 | |||||||||||
Thailand† | |||||||||||
Thailand Government Bond, 3.625%, 6/16/23 | THB | 1,150,000 | 41,282 | ||||||||
Thailand Government Bond, 3.85%, 12/12/25 | THB | 3,200,000 | 123,029 | ||||||||
164,311 | |||||||||||
Turkey† | |||||||||||
Turkey Government International Bond, 6.875%, 3/17/36 | $ | 200,000 | 214,102 | ||||||||
Uruguay† | |||||||||||
Uruguay Government International Bond, 4.125%, 11/20/45 | $ | 30,000 | 36,713 | ||||||||
TOTAL SOVEREIGN GOVERNMENTS AND AGENCIES (Cost $17,832,167) | 19,130,489 | ||||||||||
COLLATERALIZED LOAN OBLIGATIONS — 0.9% | |||||||||||
Ares LVI CLO Ltd., Series 2020-56A, Class C, VRN, 2.61%, (3-month LIBOR plus 2.40%), 10/25/31(5) | 325,000 | 325,995 | |||||||||
Ares XXXIIR CLO Ltd., Series 2014-32RA, Class A2A, VRN, 1.77%, (3-month LIBOR plus 1.55%), 5/15/30(5) | 300,000 | 302,056 | |||||||||
Ares XXXIV CLO Ltd., Series 2015-2A, Class BR2, VRN, 1.82%, (3-month LIBOR plus 1.60%), 4/17/33(5) | 375,000 | 371,950 | |||||||||
Bean Creek CLO Ltd., Series 2015-1A, Class BR, VRN, 1.67%, (3-month LIBOR plus 1.45%), 4/20/31(5) | 300,000 | 291,126 | |||||||||
CBAM Ltd., Series 2018-5A, Class B1, VRN, 1.62%, (3-month LIBOR plus 1.40%), 4/17/31(5) | 325,000 | 325,878 | |||||||||
Dryden 50 Senior Loan Fund, Series 2017-50A, Class A1, VRN, 1.46%, (3-month LIBOR plus 1.22%), 7/15/30(5) | 250,000 | 250,861 | |||||||||
Dryden 72 CLO Ltd., Series 2019-72A, Class C, VRN, 2.87%, (3-month LIBOR plus 2.65%), 5/15/32(5) | 275,000 | 277,837 | |||||||||
Elmwood CLO IV Ltd., Series 2020-1A, Class C, VRN, 2.29%, (3-month LIBOR plus 2.05%), 4/15/33(5) | 200,000 | 199,910 |
29
Shares/Principal Amount | Value | ||||||||||
Elmwood CLO IV Ltd., Series 2020-1A, Class D, VRN, 3.39%, (3-month LIBOR plus 3.15%), 4/15/33(5) | $ | 100,000 | $ | 100,770 | |||||||
Elmwood CLO V Ltd., Series 2020-2A, Class C, VRN, 2.97%, (3-month LIBOR plus 2.75%), 7/24/31(5) | 375,000 | 379,784 | |||||||||
Elmwood CLO VII Ltd., Series 2020-4A, Class C, VRN, 2.40%, (3-month LIBOR plus 2.25%), 1/17/34(5) | 200,000 | 200,835 | |||||||||
Flatiron CLO 20 Ltd., Series 2020-1A, Class C, VRN, 2.70%, (3-month LIBOR plus 2.45%), 11/20/33(5) | 250,000 | 251,012 | |||||||||
Goldentree Loan Management US CLO 5 Ltd., Series 2019-5A, Class A, VRN, 1.52%, (3-month LIBOR plus 1.30%), 10/20/32(5) | 325,000 | 327,056 | |||||||||
Goldentree Loan Opportunities X Ltd., Series 2015-10A, Class AR, VRN, 1.34%, (3-month LIBOR plus 1.12%), 7/20/31(5) | 175,000 | 175,802 | |||||||||
Kayne CLO 9 Ltd., Series 2020-9A, Class C, VRN, 2.84%, (3-month LIBOR plus 2.60%), 1/15/34(5) | 250,000 | 252,080 | |||||||||
KKR CLO Ltd., Series 2022A, Class B, VRN, 1.82%, (3-month LIBOR plus 1.60%), 7/20/31(5) | 300,000 | 296,305 | |||||||||
Madison Park Funding XXII Ltd., Series 2016-22A, Class BR, VRN, 1.84%, (3-month LIBOR plus 1.60%), 1/15/33(5) | 250,000 | 251,374 | |||||||||
Magnetite VIII Ltd., Series 2014-8A, Class BR2, VRN, 1.74%, (3-month LIBOR plus 1.50%), 4/15/31(5) | 300,000 | 299,285 | |||||||||
Magnetite XIV-R Ltd., Series 2015-14RA, Class B, VRN, 1.82%, (3-month LIBOR plus 1.60%), 10/18/31(5) | 250,000 | 247,796 | |||||||||
Magnetite XXV Ltd., Series 2020-25A, Class C, VRN, 2.35%, (3-month LIBOR plus 2.10%), 1/25/32(5) | 300,000 | 302,336 | |||||||||
Neuberger Berman Loan Advisers CLO 34 Ltd., Series 2019-34A, Class C1, VRN, 2.82%, (3-month LIBOR plus 2.60%), 1/20/33(5) | 200,000 | 203,271 | |||||||||
OHA Credit Funding 7 Ltd., Series 2020-7A, Class B, VRN, 1.92%, (3-month LIBOR plus 1.70%), 10/19/32(5) | 250,000 | 251,880 | |||||||||
Parallel Ltd., Series 2020-1A, Class A1, VRN, 2.05%, (3-month LIBOR plus 1.83%), 7/20/31(5) | 275,000 | 277,024 | |||||||||
Reese Park CLO Ltd., Series 2020-1A, Class C1, VRN, 2.69%, (3-month LIBOR plus 2.45%), 10/15/32(5) | 250,000 | 251,466 | |||||||||
Rockford Tower CLO Ltd., Series 2020-1A, Class C, VRN, 2.60%, (3-month LIBOR plus 2.35%), 1/20/32(5) | 250,000 | 250,793 | |||||||||
Symphony CLO XXII Ltd., Series 2020-22A, Class B, VRN, 1.92%, (3-month LIBOR plus 1.70%), 4/18/33(5) | 500,000 | 504,146 | |||||||||
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $7,123,184) | 7,168,628 | ||||||||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 0.6% | |||||||||||
Adjustable-Rate U.S. Government Agency Mortgage-Backed Securities† | |||||||||||
FHLMC, VRN, 2.94%, (12-month LIBOR plus 1.87%), 7/1/36 | 15,695 | 16,607 | |||||||||
FHLMC, VRN, 2.35%, (1-year H15T1Y plus 2.14%), 10/1/36 | 21,110 | 22,394 | |||||||||
FHLMC, VRN, 3.13%, (1-year H15T1Y plus 2.26%), 4/1/37 | 26,483 | 28,064 | |||||||||
FHLMC, VRN, 2.32%, (12-month LIBOR plus 1.76%), 9/1/40 | 9,763 | 10,192 | |||||||||
FHLMC, VRN, 3.65%, (12-month LIBOR plus 1.88%), 5/1/41 | 8,265 | 8,710 | |||||||||
FHLMC, VRN, 3.04%, (12-month LIBOR plus 1.86%), 7/1/41 | 19,372 | 20,457 | |||||||||
FHLMC, VRN, 3.64%, (12-month LIBOR plus 1.64%), 2/1/43 | 4,328 | 4,441 | |||||||||
FHLMC, VRN, 2.50%, (12-month LIBOR plus 1.62%), 6/1/43 | 111 | 112 | |||||||||
FHLMC, VRN, 2.84%, (12-month LIBOR plus 1.65%), 6/1/43 | 2,630 | 2,646 | |||||||||
FNMA, VRN, 1.82%, (6-month LIBOR plus 1.57%), 6/1/35 | 27,812 | 29,018 |
30
Shares/Principal Amount | Value | ||||||||||
FNMA, VRN, 1.82%, (6-month LIBOR plus 1.57%), 6/1/35 | $ | 19,028 | $ | 19,856 | |||||||
FNMA, VRN, 1.87%, (6-month LIBOR plus 1.54%), 9/1/35 | 7,246 | 7,552 | |||||||||
FNMA, VRN, 2.65%, (1-year H15T1Y plus 2.16%), 3/1/38 | 23,523 | 24,845 | |||||||||
FNMA, VRN, 3.69%, (12-month LIBOR plus 1.69%), 1/1/40 | 4,215 | 4,380 | |||||||||
FNMA, VRN, 2.28%, (12-month LIBOR plus 1.85%), 3/1/40 | 5,856 | 6,146 | |||||||||
FNMA, VRN, 2.32%, (12-month LIBOR plus 1.77%), 10/1/40 | 8,838 | 9,211 | |||||||||
214,631 | |||||||||||
Fixed-Rate U.S. Government Agency Mortgage-Backed Securities — 0.6% | |||||||||||
FHLMC, 7.00%, 8/1/29 | 359 | 401 | |||||||||
FHLMC, 8.00%, 7/1/30 | 2,296 | 2,792 | |||||||||
FHLMC, 5.50%, 12/1/33 | 20,713 | 23,801 | |||||||||
FHLMC, 6.00%, 11/1/38 | 94,845 | 112,155 | |||||||||
FNMA, 7.00%, 6/1/26 | 140 | 155 | |||||||||
FNMA, 7.00%, 1/1/29 | 2,898 | 3,107 | |||||||||
FNMA, 6.50%, 4/1/29 | 4,385 | 4,969 | |||||||||
FNMA, 6.50%, 8/1/29 | 2,071 | 2,373 | |||||||||
FNMA, 6.50%, 12/1/29 | 6,064 | 6,820 | |||||||||
FNMA, 7.00%, 3/1/30 | 1,230 | 1,361 | |||||||||
FNMA, 7.50%, 9/1/30 | 895 | 1,054 | |||||||||
FNMA, 5.00%, 7/1/31 | 2,544 | 2,883 | |||||||||
FNMA, 7.00%, 9/1/31 | 3,674 | 3,905 | |||||||||
FNMA, 6.50%, 1/1/32 | 1,142 | 1,284 | |||||||||
FNMA, 6.50%, 8/1/32 | 2,365 | 2,711 | |||||||||
FNMA, 6.50%, 11/1/32 | 23,890 | 27,962 | |||||||||
FNMA, 5.50%, 6/1/33 | 8,350 | 9,715 | |||||||||
FNMA, 5.50%, 8/1/33 | 14,500 | 16,906 | |||||||||
FNMA, 5.00%, 11/1/33 | 91,812 | 106,137 | |||||||||
FNMA, 3.50%, 3/1/34 | 48,547 | 52,386 | |||||||||
FNMA, 5.00%, 2/1/36 | 66,416 | 77,143 | |||||||||
FNMA, 5.50%, 1/1/37 | 49,791 | 58,180 | |||||||||
FNMA, 6.50%, 8/1/37 | 15,477 | 17,964 | |||||||||
FNMA, 5.00%, 4/1/40 | 165,287 | 192,115 | |||||||||
FNMA, 6.50%, 8/1/47 | 5,634 | 6,118 | |||||||||
FNMA, 6.50%, 9/1/47 | 11,366 | 12,301 | |||||||||
FNMA, 6.50%, 9/1/47 | 548 | 594 | |||||||||
FNMA, 6.50%, 9/1/47 | 6,000 | 6,489 | |||||||||
GNMA, 7.50%, 10/15/25 | 704 | 715 | |||||||||
GNMA, 6.00%, 3/15/26 | 2,237 | 2,511 | |||||||||
GNMA, 7.00%, 12/15/27 | 2,259 | 2,269 | |||||||||
GNMA, 7.00%, 5/15/31 | 6,500 | 7,716 | |||||||||
GNMA, 5.50%, 11/15/32 | 12,771 | 14,747 | |||||||||
GNMA, 6.50%, 10/15/38 | 177,680 | 208,417 | |||||||||
GNMA, 4.50%, 5/20/41 | 135,769 | 152,147 | |||||||||
GNMA, 4.50%, 6/15/41 | 181,466 | 207,271 | |||||||||
GNMA, 3.50%, 4/20/45 | 36,957 | 39,631 | |||||||||
GNMA, 2.50%, 2/20/47 | 23,317 | 24,735 | |||||||||
UMBS, 2.50%, TBA | 3,275,000 | 3,451,159 | |||||||||
4,865,099 | |||||||||||
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $4,914,656) | 5,079,730 |
31
Shares/Principal Amount | Value | ||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.5% | |||||||||||
Private Sponsor Collateralized Mortgage Obligations — 0.1% | |||||||||||
ABN Amro Mortgage Corp., Series 2003-4, Class A4, 5.50%, 3/25/33 | $ | 6,645 | $ | 6,914 | |||||||
Adjustable Rate Mortgage Trust, Series 2004-4, Class 4A1, VRN, 2.79%, 3/25/35 | 12,804 | 13,280 | |||||||||
Banc of America Mortgage Trust, Series 2004-E, Class 2A6 SEQ, VRN, 3.60%, 6/25/34 | 43,179 | 43,798 | |||||||||
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-8, Class 2A1, VRN, 3.10%, 11/25/34 | 14,579 | 14,540 | |||||||||
Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A5, VRN, 2.22%, 8/25/34 | 36,664 | 37,294 | |||||||||
Connecticut Avenue Securities Trust, Series 2020-SBT1, Class 2M2, VRN, 3.78%, (1-month LIBOR plus 3.65%), 2/25/40(5) | 150,000 | 155,949 | |||||||||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1, VRN, 2.42%, 10/25/34 | 29,510 | 30,291 | |||||||||
GSR Mortgage Loan Trust, Series 2004-7, Class 3A1, VRN, 2.84%, 6/25/34 | 14,802 | 14,715 | |||||||||
GSR Mortgage Loan Trust, Series 2004-AR5, Class 3A3, VRN, 3.88%, 5/25/34 | 31,985 | 31,263 | |||||||||
GSR Mortgage Loan Trust, Series 2005-AR1, Class 3A1, VRN, 2.87%, 1/25/35 | 26,815 | 27,215 | |||||||||
JPMorgan Mortgage Trust, Series 2013-1, Class 2A2 SEQ, VRN, 2.50%, 3/25/43(5) | 27,712 | 28,133 | |||||||||
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7, VRN, 3.17%, 11/21/34 | 59,411 | 61,546 | |||||||||
Merrill Lynch Mortgage Investors Trust, Series 2005-3, Class 2A, VRN, 2.32%, 11/25/35 | 29,572 | 29,320 | |||||||||
Merrill Lynch Mortgage Investors Trust, Series 2005-A2, Class A1, VRN, 2.96%, 2/25/35 | 20,946 | 22,085 | |||||||||
Merrill Lynch Mortgage Investors Trust, Series 2005-A2, Class A2, VRN, 2.96%, 2/25/35 | 8,378 | 8,865 | |||||||||
Sequoia Mortgage Trust, Series 2018-CH2, Class A12 SEQ, VRN, 4.00%, 6/25/48(5) | 60,799 | 61,056 | |||||||||
Sofi Mortgage Trust, Series 2016-1A, Class 1A4 SEQ, VRN, 3.00%, 11/25/46(5) | 30,257 | 31,130 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Class 2A1, VRN, 2.47%, 7/25/34 | 17,629 | 18,059 | |||||||||
WaMu Mortgage Pass-Through Certificates, Series 2003-S11, Class 3A5, 5.95%, 11/25/33 | 15,881 | 16,552 | |||||||||
652,005 | |||||||||||
U.S. Government Agency Collateralized Mortgage Obligations — 0.4% | |||||||||||
FHLMC, Series 2013-DN2, Class M2, VRN, 4.38%, (1-month LIBOR plus 4.25%), 11/25/23 | 176,885 | 178,605 | |||||||||
FHLMC, Series 2014-DN2, Class M3, VRN, 3.73%, (1-month LIBOR plus 3.60%), 4/25/24 | 153,672 | 153,872 | |||||||||
FHLMC, Series 2014-HQ2, Class M3, VRN, 3.88%, (1-month LIBOR plus 3.75%), 9/25/24 | 542,099 | 560,715 | |||||||||
FHLMC, Series 2016-DNA3, Class M3, VRN, 5.13%, (1-month LIBOR plus 5.00%), 12/25/28 | 318,196 | 335,526 | |||||||||
FHLMC, Series 2016-HQA3, Class M2, VRN, 1.48%, (1-month LIBOR plus 1.35%), 3/25/29 | 4,808 | 4,817 | |||||||||
FHLMC, Series 2016-HQA4, Class M3, VRN, 4.03%, (1-month LIBOR plus 3.90%), 4/25/29 | 726,654 | 756,159 | |||||||||
FNMA, Series 2014-C02, Class 1M2, VRN, 2.73%, (1-month LIBOR plus 2.60%), 5/25/24 | 135,032 | 133,438 | |||||||||
FNMA, Series 2014-C02, Class 2M2, VRN, 2.73%, (1-month LIBOR plus 2.60%), 5/25/24 | 289,682 | 293,797 |
32
Shares/Principal Amount | Value | ||||||||||
FNMA, Series 2015-C03, Class 1M2, VRN, 5.13%, (1-month LIBOR plus 5.00%), 7/25/25 | $ | 336,679 | $ | 346,632 | |||||||
FNMA, Series 2015-C04, Class 1M2, VRN, 5.83%, (1-month LIBOR plus 5.70%), 4/25/28 | 124,307 | 132,577 | |||||||||
FNMA, Series 2016-C03, Class 2M2, VRN, 6.03%, (1-month LIBOR plus 5.90%), 10/25/28 | 68,660 | 72,537 | |||||||||
FNMA, Series 2017-C03, Class 1M2, VRN, 3.13%, (1-month LIBOR plus 3.00%), 10/25/29 | 68,001 | 69,627 | |||||||||
FNMA, Series 2017-C06, Class 2M2, VRN, 2.93%, (1-month LIBOR plus 2.80%), 2/25/30 | 61,897 | 62,985 | |||||||||
FNMA, Series 2017-C07, Class 1M2, VRN, 2.53%, (1-month LIBOR plus 2.40%), 5/25/30 | 456,342 | 460,984 | |||||||||
3,562,271 | |||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $3,978,262) | 4,214,276 | ||||||||||
MUNICIPAL SECURITIES — 0.5% | |||||||||||
Bay Area Toll Authority Rev., 6.92%, 4/1/40 | 100,000 | 154,802 | |||||||||
Metropolitan Transportation Authority Rev., 6.69%, 11/15/40 | 15,000 | 21,274 | |||||||||
Metropolitan Transportation Authority Rev., 6.81%, 11/15/40 | 10,000 | 14,317 | |||||||||
Michigan Finance Authority Rev., 4.00%, 8/20/21 (LOC: JPMorgan Chase Bank N.A.) | 800,000 | 817,240 | |||||||||
New Jersey Turnpike Authority Rev., 7.41%, 1/1/40 | 40,000 | 66,968 | |||||||||
New Jersey Turnpike Authority Rev., 7.10%, 1/1/41 | 30,000 | 48,909 | |||||||||
New York City GO, 6.27%, 12/1/37 | 5,000 | 7,512 | |||||||||
Ohio Water Development Authority Water Pollution Control Loan Fund Rev., 4.88%, 12/1/34 | 80,000 | 97,957 | |||||||||
Port Authority of New York & New Jersey Rev., 4.93%, 10/1/51 | 35,000 | 48,790 | |||||||||
Rutgers The State University of New Jersey Rev., 5.67%, 5/1/40 | 90,000 | 125,443 | |||||||||
Sacramento Municipal Utility District Rev., 6.16%, 5/15/36 | 140,000 | 201,992 | |||||||||
San Francisco Public Utilities Commission Water Rev., 6.00%, 11/1/40 | 10,000 | 13,933 | |||||||||
State of California GO, 4.60%, 4/1/38 | 30,000 | 35,718 | |||||||||
State of California GO, 7.55%, 4/1/39 | 20,000 | 34,721 | |||||||||
State of California GO, 7.30%, 10/1/39 | 25,000 | 40,785 | |||||||||
State of California GO, 7.60%, 11/1/40 | 40,000 | 71,590 | |||||||||
State of New York Mortgage Agency Rev., VRDN, 0.02%, 2/1/21 (SBBPA: Barclays Bank plc) | 680,000 | 680,000 | |||||||||
State of Texas Rev., 4.00%, 8/26/21 | 1,180,000 | 1,206,467 | |||||||||
State of Washington GO, 5.14%, 8/1/40 | 20,000 | 28,662 | |||||||||
TOTAL MUNICIPAL SECURITIES (Cost $3,419,797) | 3,717,080 | ||||||||||
ASSET-BACKED SECURITIES — 0.4% | |||||||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A SEQ, 2.94%, 5/25/29(5) | 65,262 | 67,047 | |||||||||
FirstKey Homes Trust, Series 2020-SFR1, Class C, 1.94%, 9/17/25(5) | 300,000 | 304,078 | |||||||||
FirstKey Homes Trust, Series 2020-SFR2, Class E, 2.67%, 10/19/37(5) | 900,000 | 921,115 | |||||||||
Goodgreen Trust, Series 2020-1A, Class A SEQ, 2.63%, 4/15/55(5) | 337,311 | 352,489 | |||||||||
MVW Owner Trust, Series 2015-1A, Class A SEQ, 2.52%, 12/20/32(5) | 21,183 | 21,352 | |||||||||
MVW Owner Trust, Series 2017-1A, Class A SEQ, 2.42%, 12/20/34(5) | 72,691 | 74,612 | |||||||||
Progress Residential Trust, Series 2018-SFR1, Class B, 3.48%, 3/17/35(5) | 100,000 | 100,644 |
33
Shares/Principal Amount | Value | ||||||||||
Sierra Timeshare Receivables Funding LLC, Series 2018-2A, Class B, 3.65%, 6/20/35(5) | $ | 193,451 | $ | 201,463 | |||||||
Sierra Timeshare Receivables Funding LLC, Series 2018-3A, Class B, 3.87%, 9/20/35(5) | 132,583 | 138,619 | |||||||||
Towd Point Mortgage Trust, Series 2018-4, Class A1, VRN, 3.00%, 6/25/58(5) | 282,603 | 300,641 | |||||||||
UAL Pass-Through Trust, Series 2007-1, Class A, 6.64%, 1/2/24 | 41,865 | 42,813 | |||||||||
VSE VOI Mortgage LLC, Series 2016-A, Class A SEQ, 2.54%, 7/20/33(5) | 262,589 | 264,264 | |||||||||
VSE VOI Mortgage LLC, Series 2017-A, Class A SEQ, 2.33%, 3/20/35(5) | 86,693 | 88,722 | |||||||||
VSE VOI Mortgage LLC, Series 2018-A, Class B, 3.72%, 2/20/36(5) | 213,347 | 224,365 | |||||||||
TOTAL ASSET-BACKED SECURITIES (Cost $2,995,840) | 3,102,224 | ||||||||||
COMMERCIAL PAPER(8) — 0.4% | |||||||||||
Ridgefield Funding Co. LLC, 0.23%, 4/6/21(5) | 1,100,000 | 1,099,732 | |||||||||
Royal Bank of Canada (New York), VRN, 0.22%, (3-month LIBOR plus 0.01%), 1/27/22 | 1,270,000 | 1,270,187 | |||||||||
Toronto-Dominion Bank (The), 0.20%, 3/12/21(5) | 500,000 | 499,936 | |||||||||
TOTAL COMMERCIAL PAPER (Cost $2,869,442) | 2,869,855 | ||||||||||
EXCHANGE-TRADED FUNDS — 0.4% | |||||||||||
iShares MSCI EAFE Value ETF | 9,887 | 463,997 | |||||||||
iShares Russell Mid-Cap Value ETF | 16,842 | 1,629,126 | |||||||||
SPDR S&P 500 ETF Trust | 1,924 | 712,015 | |||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $2,460,290) | 2,805,138 | ||||||||||
PREFERRED STOCKS — 0.1% | |||||||||||
Diversified Telecommunication Services — 0.1% | |||||||||||
Telefonica Europe BV, 3.00% | 300,000 | 374,155 | |||||||||
Electric Utilities† | |||||||||||
Enel SpA, 2.25% | 100,000 | 127,265 | |||||||||
Insurance† | |||||||||||
Assicurazioni Generali SpA, MTN, 4.60% | 100,000 | 133,490 | |||||||||
Intesa Sanpaolo Vita SpA, 4.75% | 100,000 | 131,409 | |||||||||
264,899 | |||||||||||
Oil, Gas and Consumable Fuels† | |||||||||||
Eni SpA, 3.375% | 100,000 | 129,031 | |||||||||
TOTAL PREFERRED STOCKS (Cost $830,207) | 895,350 | ||||||||||
TEMPORARY CASH INVESTMENTS — 2.3% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class (Cost $18,486,923) | 18,486,923 | 18,486,923 | |||||||||
TEMPORARY CASH INVESTMENTS - SECURITIES LENDING COLLATERAL(9) — 0.1% | |||||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (Cost $518,219) | 518,219 | 518,219 | |||||||||
TOTAL INVESTMENT SECURITIES — 100.5% (Cost $624,536,637) | 781,345,394 | ||||||||||
OTHER ASSETS AND LIABILITIES — (0.5)% | (3,954,064) | ||||||||||
TOTAL NET ASSETS — 100.0% | $ | 777,391,330 |
34
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
USD | 1,071,646 | AUD | 1,453,383 | UBS AG | 3/17/21 | $ | (39,376) | |||||||||||||
BRL | 1,861,768 | USD | 355,611 | Goldman Sachs & Co. | 3/17/21 | (15,743) | ||||||||||||||
USD | 358,087 | BRL | 1,861,768 | Goldman Sachs & Co. | 3/17/21 | 18,219 | ||||||||||||||
CAD | 10,101 | USD | 7,973 | Morgan Stanley | 3/31/21 | (72) | ||||||||||||||
CAD | 30,680 | USD | 24,177 | Morgan Stanley | 3/31/21 | (181) | ||||||||||||||
CAD | 12,601 | USD | 9,973 | Morgan Stanley | 3/31/21 | (118) | ||||||||||||||
CAD | 96,433 | USD | 76,466 | Morgan Stanley | 3/31/21 | (1,044) | ||||||||||||||
CAD | 18,844 | USD | 14,816 | Morgan Stanley | 3/31/21 | (78) | ||||||||||||||
CAD | 12,073 | USD | 9,386 | Morgan Stanley | 3/31/21 | 57 | ||||||||||||||
CAD | 31,388 | USD | 24,588 | Morgan Stanley | 3/31/21 | (39) | ||||||||||||||
USD | 433,970 | CAD | 561,802 | Morgan Stanley | 3/17/21 | (5,418) | ||||||||||||||
USD | 480,767 | CAD | 612,401 | Morgan Stanley | 3/31/21 | 1,794 | ||||||||||||||
USD | 344,510 | CAD | 438,837 | Morgan Stanley | 3/31/21 | 1,286 | ||||||||||||||
USD | 13,022 | CAD | 16,455 | Morgan Stanley | 3/31/21 | 152 | ||||||||||||||
USD | 9,646 | CAD | 12,267 | Morgan Stanley | 3/31/21 | 52 | ||||||||||||||
USD | 8,657 | CAD | 10,989 | Morgan Stanley | 3/31/21 | 62 | ||||||||||||||
USD | 10,459 | CAD | 13,281 | Morgan Stanley | 3/31/21 | 72 | ||||||||||||||
USD | 192,087 | CHF | 172,448 | Morgan Stanley | 3/17/21 | (1,754) | ||||||||||||||
USD | 351,203 | CHF | 311,545 | UBS AG | 3/17/21 | 1,009 | ||||||||||||||
USD | 10,433,871 | CNY | 68,962,673 | Goldman Sachs & Co. | 3/17/21 | (222,436) | ||||||||||||||
USD | 53,018 | CNY | 348,540 | Goldman Sachs & Co. | 3/17/21 | (839) | ||||||||||||||
USD | 47,866 | CNY | 311,451 | Goldman Sachs & Co. | 3/17/21 | (260) | ||||||||||||||
COP | 903,617,224 | USD | 252,389 | Goldman Sachs & Co. | 3/17/21 | 401 | ||||||||||||||
COP | 641,611,210 | USD | 176,412 | Goldman Sachs & Co. | 3/17/21 | 3,081 | ||||||||||||||
USD | 253,924 | COP | 903,691,900 | Goldman Sachs & Co. | 3/17/21 | 1,113 | ||||||||||||||
USD | 213,445 | CZK | 4,651,374 | UBS AG | 3/17/21 | (3,467) | ||||||||||||||
USD | 73,551 | DKK | 452,912 | Goldman Sachs & Co. | 3/17/21 | (409) | ||||||||||||||
EUR | 189,558 | USD | 230,774 | JPMorgan Chase Bank N.A. | 2/17/21 | (662) | ||||||||||||||
EUR | 36,761 | USD | 44,846 | Credit Suisse AG | 3/31/21 | (177) | ||||||||||||||
EUR | 36,402 | USD | 44,682 | Credit Suisse AG | 3/31/21 | (450) | ||||||||||||||
EUR | 10,274 | USD | 12,470 | Credit Suisse AG | 3/31/21 | 14 | ||||||||||||||
EUR | 32,842 | USD | 39,940 | Credit Suisse AG | 3/31/21 | (33) | ||||||||||||||
EUR | 32,104 | USD | 38,945 | Credit Suisse AG | 3/31/21 | 64 | ||||||||||||||
EUR | 10,720 | USD | 13,005 | Credit Suisse AG | 3/31/21 | 21 | ||||||||||||||
EUR | 15,991 | USD | 19,430 | Credit Suisse AG | 3/31/21 | 1 | ||||||||||||||
USD | 5,082,056 | EUR | 4,183,795 | JPMorgan Chase Bank N.A. | 2/17/21 | 3,168 | ||||||||||||||
USD | 1,339,665 | EUR | 1,091,021 | Credit Suisse AG | 3/31/21 | 13,964 | ||||||||||||||
USD | 419,417 | EUR | 341,572 | Credit Suisse AG | 3/31/21 | 4,372 | ||||||||||||||
USD | 12,183 | EUR | 9,961 | Credit Suisse AG | 3/31/21 | 79 | ||||||||||||||
USD | 32,147 | EUR | 26,182 | Credit Suisse AG | 3/31/21 | 333 | ||||||||||||||
USD | 14,028 | EUR | 11,390 | Credit Suisse AG | 3/31/21 | 188 | ||||||||||||||
USD | 39,219 | EUR | 32,312 | Credit Suisse AG | 3/31/21 | (43) | ||||||||||||||
USD | 18,819 | EUR | 15,455 | Credit Suisse AG | 3/31/21 | 39 | ||||||||||||||
USD | 18,935 | EUR | 15,544 | Credit Suisse AG | 3/31/21 | 47 | ||||||||||||||
USD | 43,108 | EUR | 34,978 | Credit Suisse AG | 3/31/21 | 607 | ||||||||||||||
USD | 58,108 | EUR | 47,681 | Credit Suisse AG | 3/31/21 | 172 | ||||||||||||||
USD | 10,670 | EUR | 8,755 | Credit Suisse AG | 3/31/21 | 32 | ||||||||||||||
USD | 33,832 | EUR | 27,962 | Credit Suisse AG | 3/31/21 | (144) | ||||||||||||||
GBP | 20,000 | USD | 26,788 | Bank of America N.A. | 3/17/21 | 621 | ||||||||||||||
GBP | 30,250 | USD | 40,422 | JPMorgan Chase Bank N.A. | 3/31/21 | 1,039 |
35
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
GBP | 35,449 | USD | 48,124 | JPMorgan Chase Bank N.A. | 3/31/21 | $ | 462 | |||||||||||||
GBP | 59,524 | USD | 81,797 | JPMorgan Chase Bank N.A. | 3/31/21 | (214) | ||||||||||||||
USD | 471,476 | GBP | 352,619 | Bank of America N.A. | 3/17/21 | (11,777) | ||||||||||||||
USD | 175,968 | GBP | 129,379 | Bank of America N.A. | 3/17/21 | (1,341) | ||||||||||||||
USD | 1,619,848 | GBP | 1,202,915 | JPMorgan Chase Bank N.A. | 3/31/21 | (28,854) | ||||||||||||||
USD | 59,632 | GBP | 43,793 | JPMorgan Chase Bank N.A. | 3/31/21 | (391) | ||||||||||||||
USD | 43,259 | GBP | 31,723 | JPMorgan Chase Bank N.A. | 3/31/21 | (221) | ||||||||||||||
USD | 68,860 | GBP | 50,742 | JPMorgan Chase Bank N.A. | 3/31/21 | (686) | ||||||||||||||
USD | 158,967 | IDR | 2,263,370,804 | Goldman Sachs & Co. | 3/17/21 | (1,534) | ||||||||||||||
ILS | 547,177 | USD | 167,877 | UBS AG | 3/17/21 | (1,102) | ||||||||||||||
USD | 206,465 | ILS | 678,076 | UBS AG | 3/17/21 | (207) | ||||||||||||||
USD | 248,355 | ILS | 804,422 | UBS AG | 3/17/21 | 3,174 | ||||||||||||||
JPY | 38,530,089 | USD | 371,350 | Bank of America N.A. | 2/17/21 | (3,455) | ||||||||||||||
JPY | 1,981,530 | USD | 19,224 | Bank of America N.A. | 3/31/21 | (295) | ||||||||||||||
JPY | 2,933,190 | USD | 28,397 | Bank of America N.A. | 3/31/21 | (377) | ||||||||||||||
JPY | 2,441,880 | USD | 23,593 | Bank of America N.A. | 3/31/21 | (267) | ||||||||||||||
JPY | 1,373,684 | USD | 13,336 | Bank of America N.A. | 3/31/21 | (214) | ||||||||||||||
JPY | 3,052,350 | USD | 29,691 | Bank of America N.A. | 3/31/21 | (533) | ||||||||||||||
JPY | 2,548,980 | USD | 24,554 | Bank of America N.A. | 3/31/21 | (204) | ||||||||||||||
JPY | 1,949,220 | USD | 18,689 | Bank of America N.A. | 3/31/21 | (69) | ||||||||||||||
USD | 2,868,437 | JPY | 297,685,187 | Bank of America N.A. | 2/17/21 | 26,064 | ||||||||||||||
USD | 784,005 | JPY | 81,309,150 | Bank of America N.A. | 3/31/21 | 7,284 | ||||||||||||||
USD | 344,805 | JPY | 35,759,758 | Bank of America N.A. | 3/31/21 | 3,203 | ||||||||||||||
USD | 33,065 | JPY | 3,405,780 | Bank of America N.A. | 3/31/21 | 531 | ||||||||||||||
USD | 11,536 | JPY | 1,196,794 | Bank of America N.A. | 3/31/21 | 103 | ||||||||||||||
USD | 38,740 | JPY | 4,016,250 | Bank of America N.A. | 3/31/21 | 374 | ||||||||||||||
USD | 54,939 | KRW | 60,483,265 | Goldman Sachs & Co. | 3/17/21 | 855 | ||||||||||||||
USD | 124,905 | KRW | 138,326,007 | Goldman Sachs & Co. | 3/17/21 | 1,214 | ||||||||||||||
KZT | 60,927,902 | USD | 140,177 | Goldman Sachs & Co. | 3/17/21 | 2,608 | ||||||||||||||
MXN | 10,242,228 | USD | 504,265 | UBS AG | 3/17/21 | (6,898) | ||||||||||||||
MXN | 3,722,985 | USD | 183,344 | UBS AG | 3/17/21 | (2,554) | ||||||||||||||
USD | 328,067 | MXN | 6,540,665 | UBS AG | 3/17/21 | 10,449 | ||||||||||||||
MYR | 213,938 | USD | 52,387 | Goldman Sachs & Co. | 3/17/21 | 314 | ||||||||||||||
USD | 120,473 | MYR | 489,663 | Goldman Sachs & Co. | 3/17/21 | (149) | ||||||||||||||
NOK | 1,885,403 | USD | 219,624 | Goldman Sachs & Co. | 3/17/21 | 480 | ||||||||||||||
NOK | 85,644 | USD | 10,185 | Goldman Sachs & Co. | 3/31/21 | (188) | ||||||||||||||
USD | 286,088 | NOK | 2,526,210 | Goldman Sachs & Co. | 3/17/21 | (8,824) | ||||||||||||||
USD | 383,013 | NOK | 3,329,108 | Goldman Sachs & Co. | 3/31/21 | (5,606) | ||||||||||||||
USD | 10,650 | NOK | 91,144 | Goldman Sachs & Co. | 3/31/21 | 11 | ||||||||||||||
NZD | 489,115 | USD | 345,611 | UBS AG | 3/17/21 | 5,870 | ||||||||||||||
PEN | 1,134,446 | USD | 314,477 | Goldman Sachs & Co. | 3/17/21 | (2,608) | ||||||||||||||
PEN | 637,612 | USD | 178,029 | Goldman Sachs & Co. | 3/17/21 | (2,744) | ||||||||||||||
PEN | 1,258,166 | USD | 350,542 | Goldman Sachs & Co. | 3/17/21 | (4,661) | ||||||||||||||
PEN | 689,672 | USD | 191,151 | Goldman Sachs & Co. | 3/17/21 | (1,554) | ||||||||||||||
USD | 471,207 | PHP | 22,711,494 | UBS AG | 3/17/21 | (531) | ||||||||||||||
USD | 66,844 | PLN | 247,112 | UBS AG | 3/17/21 | 470 | ||||||||||||||
USD | 19,937 | RUB | 1,522,957 | Goldman Sachs & Co. | 3/17/21 | (111) | ||||||||||||||
SEK | 1,461,854 | USD | 172,198 | Goldman Sachs & Co. | 3/17/21 | 2,824 | ||||||||||||||
USD | 70,267 | SGD | 94,171 | Bank of America N.A. | 3/17/21 | (621) | ||||||||||||||
USD | 164,215 | THB | 4,968,129 | Goldman Sachs & Co. | 3/17/21 | (1,755) | ||||||||||||||
TRY | 2,732,467 | USD | 334,779 | UBS AG | 3/17/21 | 31,961 |
36
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
TWD | 13,732,683 | USD | 490,038 | UBS AG | 3/17/21 | $ | 2,487 | |||||||||||||
$ | (230,491) |
FUTURES CONTRACTS PURCHASED | ||||||||||||||
Reference Entity | Contracts | Expiration Date | Notional Amount | Unrealized Appreciation (Depreciation)^ | ||||||||||
Korean Treasury 10-Year Bonds | 3 | March 2021 | $ | 347,497 | $ | (2,714) | ||||||||
U.K. Gilt 10-Year Bonds | 6 | March 2021 | 1,102,176 | (996) | ||||||||||
U.S. Treasury 10-Year Ultra Notes | 10 | March 2021 | 1,538,281 | (22,523) | ||||||||||
U.S. Treasury 2-Year Notes | 60 | March 2021 | 13,258,594 | 5,524 | ||||||||||
$ | 16,246,548 | $ | (20,709) |
^Amount represents value and unrealized appreciation (depreciation).
FUTURES CONTRACTS SOLD | ||||||||||||||
Reference Entity | Contracts | Expiration Date | Notional Amount | Unrealized Appreciation (Depreciation)^ | ||||||||||
U.S. Treasury 10-Year Notes | 57 | March 2021 | $ | 7,810,781 | $ | 5,043 |
^Amount represents value and unrealized appreciation (depreciation).
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 | $ | 3,920,450 | $ | 178,183 | $ | 163,131 | $ | 341,314 | ||||||||||||
Markit CDX North America High Yield Index Series 35 | Sell | 5.00% | 12/20/25 | $ | 20,367,000 | 1,807,230 | (36,420) | 1,770,810 | |||||||||||||||
$ | 1,985,413 | $ | 126,711 | $ | 2,112,124 |
‡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.
37
NOTES TO SCHEDULE OF INVESTMENTS | |||||||||||||||||
ADR | - | American Depositary Receipt | NOK | - | Norwegian Krone | ||||||||||||
AUD | - | Australian Dollar | NZD | - | New Zealand Dollar | ||||||||||||
BRL | - | Brazilian Real | PEN | - | Peruvian Sol | ||||||||||||
CAD | - | Canadian Dollar | PHP | - | Philippine Peso | ||||||||||||
CDX | - | Credit Derivatives Indexes | PLN | - | Polish Zloty | ||||||||||||
CHF | - | Swiss Franc | RUB | - | Russian Ruble | ||||||||||||
CNY | - | Chinese Yuan | SBBPA | - | Standby Bond Purchase Agreement | ||||||||||||
COP | - | Colombian Peso | SEK | - | Swedish Krona | ||||||||||||
CVA | - | Certificaten Van Aandelen | SEQ | - | Sequential Payer | ||||||||||||
CZK | - | Czech Koruna | SGD | - | Singapore Dollar | ||||||||||||
DKK | - | Danish Krone | TBA | - | To-Be-Announced. Security was purchased on a forward commitment basis with an approximate principal amount and maturity date. Actual principal amount and maturity date will be determined upon settlement. | ||||||||||||
EUR | - | Euro | |||||||||||||||
FHLB | - | Federal Home Loan Bank | |||||||||||||||
FHLMC | - | Federal Home Loan Mortgage Corporation | |||||||||||||||
FNMA | - | Federal National Mortgage Association | THB | - | Thai Baht | ||||||||||||
GBP | - | British Pound | TRY | - | Turkish Lira | ||||||||||||
GNMA | - | Government National Mortgage Association | TWD | - | Taiwanese Dollar | ||||||||||||
GO | - | General Obligation | UMBS | - | Uniform Mortgage-Backed Securities | ||||||||||||
H15T1Y | - | Constant Maturity U.S. Treasury Note Yield Curve Rate Index | USD | - | United States Dollar | ||||||||||||
IDR | - | Indonesian Rupiah | 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 | ||||||||||||
ILS | - | Israeli Shekel | |||||||||||||||
JPY | - | Japanese Yen | |||||||||||||||
KRW | - | South Korean Won | |||||||||||||||
KZT | - | Kazakhstani Tenge | |||||||||||||||
LIBOR | - | London Interbank Offered Rate | |||||||||||||||
LOC | - | Letter of Credit | feature is disclosed. | ||||||||||||||
MTN | - | Medium Term Note | 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. The security's effective maturity date may be shorter than the final maturity date shown. | ||||||||||||
MXN | - | Mexican Peso | |||||||||||||||
MYR | - | Malaysian Ringgit | |||||||||||||||
†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, or a portion thereof, is on loan. At the period end, the aggregate value of securities on loan was $1,751,399. The amount of securities on loan indicated may not correspond with the securities on loan identified because securities with pending sales are in the process of recall from the brokers.
(4)Security, or a portion thereof, has been pledged at the custodian bank or with a broker for collateral requirements on forward commitments, forward foreign currency exchange contracts, futures contracts and/or swap agreements. At the period end, the aggregate value of securities pledged was $2,579,851.
(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 $22,125,682, which represented 2.8% of total net assets.
(6)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.
(7)Security is a zero-coupon bond.
(8)The rate indicated is the yield to maturity at purchase for non-interest bearing securities. For interest bearing securities, the stated coupon rate is shown.
(9)Investment of cash collateral from securities on loan. At the period end, the aggregate value of the collateral held by the fund was $1,862,030, which includes securities collateral of $1,343,811.
See Notes to Financial Statements.
38
Statement of Assets and Liabilities |
JANUARY 31, 2021 (UNAUDITED) | |||||
Assets | |||||
Investment securities - unaffiliated, at value (cost of $310,544,887) — including $1,751,399 of securities on loan | $ | 393,910,231 | |||
Investment securities - affiliated, at value (cost of $313,473,531) | 386,916,944 | ||||
Investment made with cash collateral received for securities on loan, at value (cost of $518,219) | 518,219 | ||||
Total investment securities, at value (cost of $624,536,637) | 781,345,394 | ||||
Foreign currency holdings, at value (cost of $2,160) | 2,140 | ||||
Foreign deposits with broker for futures contracts, at value (cost of $36,463) | 38,097 | ||||
Receivable for investments sold | 5,187,055 | ||||
Receivable for capital shares sold | 475,993 | ||||
Receivable for variation margin on futures contracts | 6,968 | ||||
Unrealized appreciation on forward foreign currency exchange contracts | 152,797 | ||||
Dividends and interest receivable | 1,049,357 | ||||
Securities lending receivable | 2,287 | ||||
Other assets | 28,458 | ||||
788,288,546 | |||||
Liabilities | |||||
Disbursements in excess of demand deposit cash | 101,897 | ||||
Payable for collateral received for securities on loan | 518,219 | ||||
Payable for investments purchased | 9,074,543 | ||||
Payable for capital shares redeemed | 359,999 | ||||
Payable for variation margin on futures contracts | 5,108 | ||||
Payable for variation margin on swap agreements | 16,114 | ||||
Unrealized depreciation on forward foreign currency exchange contracts | 383,288 | ||||
Accrued management fees | 369,120 | ||||
Distribution and service fees payable | 67,808 | ||||
Accrued foreign taxes | 1,120 | ||||
10,897,216 | |||||
Net Assets | $ | 777,391,330 | |||
Net Assets Consist of: | |||||
Capital (par value and paid-in surplus) | $ | 607,019,514 | |||
Distributable earnings | 170,371,816 | ||||
$ | 777,391,330 |
Net Assets | Shares Outstanding | Net Asset Value Per Share | |||||||||
Investor Class, $0.01 Par Value | $287,855,816 | 35,538,087 | $8.10 | ||||||||
I Class, $0.01 Par Value | $48,944,976 | 6,098,508 | $8.03 | ||||||||
A Class, $0.01 Par Value | $160,989,461 | 19,655,807 | $8.19* | ||||||||
C Class, $0.01 Par Value | $26,287,432 | 3,313,635 | $7.93 | ||||||||
R Class, $0.01 Par Value | $17,076,767 | 2,086,434 | $8.18 | ||||||||
R5 Class, $0.01 Par Value | $12,397 | 1,544 | $8.03 | ||||||||
R6 Class, $0.01 Par Value | $236,224,481 | 29,542,759 | $8.00 |
*Maximum offering price $8.69 (net asset value divided by 0.9425).
See Notes to Financial Statements.
39
Statement of Operations |
FOR THE SIX MONTHS ENDED JANUARY 31, 2021 (UNAUDITED) | |||||
Investment Income (Loss) | |||||
Income: | |||||
Income distributions from affiliated funds | $ | 2,708,266 | |||
Dividends (net of foreign taxes withheld of $36,397) | 1,857,228 | ||||
Interest (net of foreign taxes withheld of $790) | 1,433,972 | ||||
Securities lending, net | 15,479 | ||||
6,014,945 | |||||
Expenses: | |||||
Management fees | 3,919,187 | ||||
Distribution and service fees: | |||||
A Class | 194,578 | ||||
C Class | 150,729 | ||||
R Class | 43,141 | ||||
Directors' fees and expenses | 11,448 | ||||
Other expenses | 8,393 | ||||
4,327,476 | |||||
Fees waived(1) | (1,850,084) | ||||
2,477,392 | |||||
Net investment income (loss) | 3,537,553 | ||||
Realized and Unrealized Gain (Loss) | |||||
Net realized gain (loss) on: | |||||
Investment transactions (including $7,944,870 from affiliated funds) | 30,353,907 | ||||
Forward foreign currency exchange contract transactions | (750,202) | ||||
Futures contract transactions | 46,878 | ||||
Swap agreement transactions | (31,114) | ||||
Foreign currency translation transactions | (13,854) | ||||
Capital gain distributions received from affiliated funds | 64,661 | ||||
29,670,276 | |||||
Change in net unrealized appreciation (depreciation) on: | |||||
Investments (including $57,520,766 from affiliated funds and (increase) decrease in accrued foreign taxes of $(521)) | 77,346,283 | ||||
Forward foreign currency exchange contracts | 61,406 | ||||
Futures contracts | (18,361) | ||||
Swap agreements | 177,663 | ||||
Translation of assets and liabilities in foreign currencies | 7,775 | ||||
77,574,766 | |||||
Net realized and unrealized gain (loss) | 107,245,042 | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 110,782,595 |
(1)Amount consists of $679,838, $121,189, $379,176, $73,435, $42,035, $28, $554,383 for Investor Class, I Class, A Class, C Class, R Class, R5 Class and R6 Class, respectively.
See Notes to Financial Statements.
40
Statement of Changes in Net Assets |
SIX MONTHS ENDED JANUARY 31, 2021 (UNAUDITED) AND YEAR ENDED JULY 31, 2020 | ||||||||
Increase (Decrease) in Net Assets | January 31, 2021 | July 31, 2020 | ||||||
Operations | ||||||||
Net investment income (loss) | $ | 3,537,553 | $ | 7,535,867 | ||||
Net realized gain (loss) | 29,670,276 | 109,420,406 | ||||||
Change in net unrealized appreciation (depreciation) | 77,574,766 | (58,794,425) | ||||||
Net increase (decrease) in net assets resulting from operations | 110,782,595 | 58,161,848 | ||||||
Distributions to Shareholders | ||||||||
From earnings: | ||||||||
Investor Class | (17,917,667) | (39,330,667) | ||||||
I Class | (3,556,580) | (7,242,449) | ||||||
A Class | (9,386,645) | (20,887,372) | ||||||
C Class | (1,759,444) | (4,378,225) | ||||||
R Class | (967,727) | (2,438,972) | ||||||
R5 Class | (777) | (1,169) | ||||||
R6 Class | (15,520,125) | (29,024,821) | ||||||
Decrease in net assets from distributions | (49,108,965) | (103,303,675) | ||||||
Capital Share Transactions | ||||||||
Net increase (decrease) in net assets from capital share transactions (Note 5) | (93,102) | (15,707,169) | ||||||
Net increase (decrease) in net assets | 61,580,528 | (60,848,996) | ||||||
Net Assets | ||||||||
Beginning of period | 715,810,802 | 776,659,798 | ||||||
End of period | $ | 777,391,330 | $ | 715,810,802 | ||||
See Notes to Financial Statements.
41
Notes to Financial Statements |
JANUARY 31, 2021 (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 (NAV) 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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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 NAV 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 NAV 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. Income and capital gain distributions, if any, from the affiliated funds are recorded as of the ex-dividend date. 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. Securities lending income is net of fees and rebates earned by the lending agent for its services.
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.
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Foreign Currency Translations — All assets and liabilities initially expressed in foreign currencies are translated into U.S. dollars at prevailing exchange rates at period end. The fund may enter into spot foreign currency exchange contracts to facilitate transactions denominated in a foreign currency. Purchases and sales of investment securities, dividend and interest income, spot foreign currency exchange contracts, and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Net realized and unrealized foreign currency exchange gains or losses related to investment securities are a component of net realized gain (loss) on investment transactions and change in net unrealized appreciation (depreciation) on investments, respectively.
Forward Commitments — The fund may engage in securities transactions on a forward commitment basis. In these transactions, the securities’ prices and yields are fixed on the date of the commitment. The fund may sell a to-be-announced (TBA) security and at the same time make a commitment to purchase the same security at a future date at a specified price. Conversely, the fund may purchase a TBA security and at the same time make a commitment to sell the same security at a future date at a specified price. These types of transactions are known as “TBA roll” transactions and are accounted for as purchases and sales. The fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet the purchase price.
Income Tax Status — It is the fund’s policy to distribute substantially all net investment income and net realized gains to shareholders and to otherwise qualify as a regulated investment company under provisions of the Internal Revenue Code. Accordingly, no provision has been made for income taxes. The fund files U.S. federal, state, local and non-U.S. tax returns as applicable. The fund's tax returns are subject to examination by the relevant taxing authority until expiration of the applicable statute of limitations, which is generally three 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.
Securities Lending — Securities are lent to qualified financial institutions and brokers. State Street Bank & Trust Co. serves as securities lending agent to the fund pursuant to a Securities Lending Agreement. The lending of securities exposes the fund to risks such as: the borrowers may fail to return the loaned securities, the borrowers may not be able to provide additional collateral, the fund may experience delays in recovery of the loaned securities or delays in access to collateral, or the fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge collateral in the form of cash and/or securities. The lending agent has agreed to indemnify the fund in the case of default of any securities borrowed. Cash collateral received is invested in the State Street Navigator Securities Lending Government Money Market Portfolio, a money market mutual fund registered under the 1940 Act. The loans may also be secured by U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends, determined on a daily basis and adjusted accordingly. By lending securities, the fund seeks to increase its net investment income through the receipt of interest and fees. Such income is reflected separately within the Statement of Operations. The value of loaned securities and related collateral outstanding at period end, if any, are shown on a gross basis within the Schedule of Investments and Statement of Assets and Liabilities.
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The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of January 31, 2021.
Remaining Contractual Maturity of Agreements | |||||||||||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | |||||||||||||
Securities Lending Transactions(1) | |||||||||||||||||
Common Stocks | $ | 518,219 | — | — | — | $ | 518,219 | ||||||||||
Gross amount of recognized liabilities for securities lending transactions | $ | 518,219 |
(1)Amount represents the payable for cash collateral received for securities on loan. This will generally be in the Overnight and Continuous column as the securities are typically callable on demand.
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 ACIM will pay all expenses of managing and operating the fund, except brokerage expenses, taxes, interest, fees and expenses of the independent directors (including legal counsel fees), extraordinary expenses, and expenses incurred in connection with the provision of shareholder services and distribution services under a plan adopted pursuant to Rule 12b-1 under the 1940 Act. 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. During the period ended January 31, 2021, the investment advisor agreed to waive an additional 0.33% of the fund's management fee. The investment advisor expects this waiver to continue until November 30, 2021 and cannot terminate it prior to such date without the approval of the Board of Directors.
The management fee schedule range and the effective annual management fee before and after waiver for each class for the period ended January 31, 2021 are as follows:
Management Fee Schedule Range | Effective Annual Management Fee | ||||||||||
Before Waiver | After Waiver | ||||||||||
Investor Class | 0.90% to 1.15% | 1.15% | 0.66% | ||||||||
I Class | 0.70% to 0.95% | 0.95% | 0.46% | ||||||||
A Class | 0.90% to 1.15% | 1.15% | 0.66% | ||||||||
C Class | 0.90% to 1.15% | 1.15% | 0.66% | ||||||||
R Class | 0.90% to 1.15% | 1.15% | 0.66% | ||||||||
R5 Class | 0.70% to 0.95% | 0.95% | 0.46% | ||||||||
R6 Class | 0.55% to 0.80% | 0.80% | 0.31% |
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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, 2021 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 $828,902 and $176,675, respectively. The effect of interfund transactions on the Statement of Operations was $67,954 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, 2021 totaled $153,458,202, of which $45,915,898 represented U.S. Treasury and Government Agency obligations.
Sales of investment securities, excluding short-term investments, for the period ended January 31, 2021 totaled $197,701,423, of which $40,994,377 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, 2021 | Year ended July 31, 2020 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Investor Class/Shares Authorized | 600,000,000 | 600,000,000 | ||||||||||||
Sold | 1,283,857 | $ | 10,289,975 | 2,677,423 | $ | 19,251,738 | ||||||||
Issued in reinvestment of distributions | 2,162,944 | 17,450,952 | 5,236,240 | 38,015,100 | ||||||||||
Redeemed | (3,198,717) | (25,581,322) | (10,625,986) | (76,896,330) | ||||||||||
248,084 | 2,159,605 | (2,712,323) | (19,629,492) | |||||||||||
I Class/Shares Authorized | 150,000,000 | 150,000,000 | ||||||||||||
Sold | 1,020,070 | 8,188,348 | 980,380 | 7,018,382 | ||||||||||
Issued in reinvestment of distributions | 440,091 | 3,520,729 | 995,634 | 7,168,568 | ||||||||||
Redeemed | (1,595,871) | (12,717,984) | (2,409,462) | (17,295,574) | ||||||||||
(135,710) | (1,008,907) | (433,448) | (3,108,624) | |||||||||||
A Class/Shares Authorized | 375,000,000 | 375,000,000 | ||||||||||||
Sold | 1,379,841 | 11,308,960 | 2,238,185 | 16,347,885 | ||||||||||
Issued in reinvestment of distributions | 1,114,860 | 9,108,015 | 2,745,550 | 20,152,338 | ||||||||||
Redeemed | (2,499,037) | (20,299,300) | (6,500,804) | (48,442,961) | ||||||||||
(4,336) | 117,675 | (1,517,069) | (11,942,738) | |||||||||||
C Class/Shares Authorized | 90,000,000 | 90,000,000 | ||||||||||||
Sold | 143,836 | 1,117,715 | 366,218 | 2,540,491 | ||||||||||
Issued in reinvestment of distributions | 221,888 | 1,757,356 | 601,653 | 4,301,818 | ||||||||||
Redeemed | (1,086,838) | (8,654,201) | (1,656,116) | (11,800,971) | ||||||||||
(721,114) | (5,779,130) | (688,245) | (4,958,662) | |||||||||||
R Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||||||
Sold | 126,976 | 1,026,950 | 326,132 | 2,369,914 | ||||||||||
Issued in reinvestment of distributions | 117,211 | 956,064 | 327,567 | 2,404,343 | ||||||||||
Redeemed | (336,241) | (2,786,275) | (720,049) | (5,070,340) | ||||||||||
(92,054) | (803,261) | (66,350) | (296,083) | |||||||||||
R5 Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||||||
Sold | 118 | 932 | 273 | 1,931 | ||||||||||
Issued in reinvestment of distributions | 97 | 777 | 162 | 1,169 | ||||||||||
Redeemed | (49) | (391) | (18) | (144) | ||||||||||
166 | 1,318 | 417 | 2,956 | |||||||||||
R6 Class/Shares Authorized | 90,000,000 | 90,000,000 | ||||||||||||
Sold | 1,197,098 | 9,472,009 | 4,002,821 | 28,609,326 | ||||||||||
Issued in reinvestment of distributions | 1,947,318 | 15,520,125 | 4,048,092 | 29,024,821 | ||||||||||
Redeemed | (2,491,727) | (19,772,536) | (4,729,221) | (33,408,673) | ||||||||||
652,689 | 5,219,598 | 3,321,692 | 24,225,474 | |||||||||||
Net increase (decrease) | (52,275) | $ | (93,102) | (2,095,326) | $ | (15,707,169) |
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6. Fair Value Measurements
The fund’s investments valuation process is based on several considerations and may use multiple inputs to determine the fair value of the investments held by the fund. In conformity with accounting principles generally accepted in the United States of America, the inputs used to determine a valuation are classified into three broad levels.
•Level 1 valuation inputs consist of unadjusted quoted prices in an active market for identical investments.
•Level 2 valuation inputs consist of direct or indirect observable market data (including quoted prices for comparable investments, evaluations of subsequent market events, interest rates, prepayment speeds, credit risk, etc.). These inputs also consist of quoted prices for identical investments initially expressed in local currencies that are adjusted through translation into U.S. dollars.
•Level 3 valuation inputs consist of unobservable data (including a fund’s own assumptions).
The level classification is based on the lowest level input that is significant to the fair valuation measurement. The valuation inputs are not necessarily an indication of the risks associated with investing in these securities or other financial instruments.
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 | $ | 386,916,944 | — | — | |||||||
Common Stocks | 192,278,198 | $ | 57,089,373 | — | |||||||
U.S. Treasury Securities | — | 54,405,693 | — | ||||||||
Corporate Bonds | — | 22,667,274 | — | ||||||||
Sovereign Governments and Agencies | — | 19,130,489 | — | ||||||||
Collateralized Loan Obligations | — | 7,168,628 | — | ||||||||
U.S. Government Agency Mortgage-Backed Securities | — | 5,079,730 | — | ||||||||
Collateralized Mortgage Obligations | — | 4,214,276 | — | ||||||||
Municipal Securities | — | 3,717,080 | — | ||||||||
Asset-Backed Securities | — | 3,102,224 | — | ||||||||
Commercial Paper | — | 2,869,855 | — | ||||||||
Exchange-Traded Funds | 2,805,138 | — | — | ||||||||
Preferred Stocks | — | 895,350 | — | ||||||||
Temporary Cash Investments | 18,486,923 | — | — | ||||||||
Temporary Cash Investments - Securities Lending Collateral | 518,219 | — | — | ||||||||
$ | 601,005,422 | $ | 180,339,972 | — | |||||||
Other Financial Instruments | |||||||||||
Futures Contracts | $ | 10,567 | — | — | |||||||
Swap Agreements | — | $ | 2,112,124 | — | |||||||
Forward Foreign Currency Exchange Contracts | — | 152,797 | — | ||||||||
$ | 10,567 | $ | 2,264,921 | — | |||||||
Liabilities | |||||||||||
Other Financial Instruments | |||||||||||
Futures Contracts | $ | 22,523 | $ | 3,710 | — | ||||||
Forward Foreign Currency Exchange Contracts | — | 383,288 | — | ||||||||
$ | 22,523 | $ | 386,998 | — |
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7. Derivative Instruments
Credit Risk — The fund is subject to credit risk in the normal course of pursuing its investment objectives. The value of a bond generally declines as the credit quality of its issuer declines. Credit default swap agreements enable a fund to buy/sell protection against a credit event of a specific issuer or index. A fund may attempt to enhance returns by selling protection or attempt to mitigate credit risk by buying protection. 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 $10,709,450.
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 settlement 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 $29,924,679.
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 $3,973,429 futures contracts purchased and $5,475,794 futures contracts sold.
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Value of Derivative Instruments as of January 31, 2021
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* | $ | 16,114 | |||||||||
Foreign Currency Risk | Unrealized appreciation on forward foreign currency exchange contracts | $ | 152,797 | Unrealized depreciation on forward foreign currency exchange contracts | 383,288 | |||||||||
Interest Rate Risk | Receivable for variation margin on futures contracts* | 6,968 | Payable for variation margin on futures contracts* | 5,108 | ||||||||||
$ | 159,765 | $ | 404,510 |
*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, 2021
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 | $ | (31,114) | Change in net unrealized appreciation (depreciation) on swap agreements | $ | 177,663 | ||||||||
Foreign Currency Risk | Net realized gain (loss) on forward foreign currency exchange contract transactions | (750,202) | Change in net unrealized appreciation (depreciation) on forward foreign currency exchange contracts | 61,406 | ||||||||||
Interest Rate Risk | Net realized gain (loss) on futures contract transactions | 46,878 | Change in net unrealized appreciation (depreciation) on futures contracts | (18,361) | ||||||||||
$ | (734,438) | $ | 220,708 |
8. Risk Factors
The value of the fund’s shares will go up and down, sometimes rapidly or unpredictably, based on the performance of the securities owned by the fund 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.
The fund may invest in instruments that have variable or floating coupon rates based on the London Interbank Offered Rate (LIBOR). LIBOR is a benchmark interest rate intended to be representative of the rate at which certain major international banks lend to one another over short-terms. However, LIBOR is expected to be phased out and the transition process may lead to increased volatility or illiquidity in markets for instruments that rely on LIBOR. This could result in a change to the value of such instruments.
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9. Federal Tax Information
The book-basis character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. These differences reflect the differing character of certain income items and net realized gains and losses for financial statement and tax purposes, and may result in reclassification among certain capital accounts on the financial statements.
As of period end, the components of investments for federal income tax purposes were as follows:
Federal tax cost of investments | $ | 628,981,548 | |||
Gross tax appreciation of investments | $ | 155,988,041 | |||
Gross tax depreciation of investments | (3,624,195) | ||||
Net tax appreciation (depreciation) of investments | $ | 152,363,846 |
The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales.
10. 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.
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11. Affiliated Fund Transactions
A summary of transactions for each affiliated fund for the period ended January 31, 2021 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 | $ | 15,277 | — | — | $ | (50) | $ | 15,227 | 288 | — | $ | 314 | ||||||||||||||
American Century Focused Dynamic Growth ETF | 53,354 | — | $ | 10,072 | 7,368 | 50,650 | 686 | $ | 2,935 | 6 | ||||||||||||||||
American Century Focused Large Cap Value ETF | 37,235 | $ | 207 | — | 4,579 | 42,021 | 787 | — | 326 | |||||||||||||||||
American Century Quality Diversified International ETF | 28,549 | 277 | 3,800 | 4,099 | 29,125 | 606 | 588 | 277 | ||||||||||||||||||
American Century STOXX U.S. Quality Growth ETF | 52,558 | — | 8,184 | 5,813 | 50,187 | 808 | 2,841 | 42 | ||||||||||||||||||
American Century STOXX U.S. Quality Value ETF | 35,445 | 1,431 | — | 5,164 | 42,040 | 990 | — | 415 | ||||||||||||||||||
Avantis Emerging Markets Equity ETF | 40,081 | 481 | 4,860 | 8,567 | 44,269 | 698 | 1,022 | 483 | ||||||||||||||||||
Avantis International Equity ETF | 25,977 | 256 | 3,613 | 4,563 | 27,183 | 480 | 227 | 271 | ||||||||||||||||||
Avantis International Small Cap Value ETF | 8,563 | 92 | — | 2,209 | 10,864 | 191 | — | 124 | ||||||||||||||||||
Avantis U.S. Equity ETF | 50,644 | 928 | 515 | 10,617 | 61,674 | 974 | 40 | 399 | ||||||||||||||||||
Avantis U.S. Small Cap Value ETF | 11,434 | 74 | 2,423 | 4,592 | 13,677 | 229 | 292 | 116 | ||||||||||||||||||
$ | 359,117 | $ | 3,746 | $ | 33,467 | $ | 57,521 | $ | 386,917 | 6,737 | $ | 7,945 | $ | 2,773 |
(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.
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 | |||||||||||||||||||||||||||||||||||||||||||||||
2021(3) | $7.45 | 0.04 | 1.14 | 1.18 | (0.06) | (0.47) | (0.53) | $8.10 | 15.88% | 0.67%(4) | 1.16%(4) | 0.91%(4) | 0.42%(4) | 21% | $287,856 | ||||||||||||||||||||||||||||||||
2020 | $7.91 | 0.08 | 0.58 | 0.66 | (0.13) | (0.99) | (1.12) | $7.45 | 8.82% | 0.84% | 1.16% | 1.06% | 0.74% | 109% | $262,987 | ||||||||||||||||||||||||||||||||
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(5) | $9.04 | 0.06 | 0.28 | 0.34 | (0.12) | (0.69) | (0.81) | $8.57 | 4.05% | 1.11%(4) | 1.16%(4) | 1.10%(4) | 1.05%(4) | 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 | ||||||||||||||||||||||||||||||||
I Class | |||||||||||||||||||||||||||||||||||||||||||||||
2021(3) | $7.40 | 0.05 | 1.13 | 1.18 | (0.08) | (0.47) | (0.55) | $8.03 | 16.11% | 0.47%(4) | 0.96%(4) | 1.11%(4) | 0.62%(4) | 21% | $48,945 | ||||||||||||||||||||||||||||||||
2020 | $7.86 | 0.09 | 0.59 | 0.68 | (0.15) | (0.99) | (1.14) | $7.40 | 8.97% | 0.64% | 0.96% | 1.26% | 0.94% | 109% | $46,105 | ||||||||||||||||||||||||||||||||
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(5) | $9.00 | 0.07 | 0.28 | 0.35 | (0.14) | (0.69) | (0.83) | $8.52 | 4.18% | 0.91%(4) | 0.96%(4) | 1.30%(4) | 1.25%(4) | 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 |
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 | |||||||||||||||||||||||||||||||||||||||||||||||
2021(3) | $7.52 | 0.03 | 1.15 | 1.18 | (0.04) | (0.47) | (0.51) | $8.19 | 15.70% | 0.92%(4) | 1.41%(4) | 0.66%(4) | 0.17%(4) | 21% | $160,989 | ||||||||||||||||||||||||||||||||
2020 | $7.97 | 0.06 | 0.59 | 0.65 | (0.11) | (0.99) | (1.10) | $7.52 | 8.58% | 1.09% | 1.41% | 0.81% | 0.49% | 109% | $147,856 | ||||||||||||||||||||||||||||||||
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(5) | $9.08 | 0.05 | 0.28 | 0.33 | (0.09) | (0.69) | (0.78) | $8.63 | 3.87% | 1.36%(4) | 1.41%(4) | 0.85%(4) | 0.80%(4) | 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 | ||||||||||||||||||||||||||||||||
C Class | |||||||||||||||||||||||||||||||||||||||||||||||
2021(3) | $7.29 | —(6) | 1.11 | 1.11 | — | (0.47) | (0.47) | $7.93 | 15.24% | 1.67%(4) | 2.16%(4) | (0.09)%(4) | (0.58)%(4) | 21% | $26,287 | ||||||||||||||||||||||||||||||||
2020 | $7.75 | —(6) | 0.58 | 0.58 | (0.05) | (0.99) | (1.04) | $7.29 | 7.80% | 1.84% | 2.16% | 0.06% | (0.26)% | 109% | $29,423 | ||||||||||||||||||||||||||||||||
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(5) | $8.85 | 0.01 | 0.27 | 0.28 | (0.03) | (0.69) | (0.72) | $8.41 | 3.36% | 2.11%(4) | 2.16%(4) | 0.10%(4) | 0.05%(4) | 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 | —(6) | (0.14) | (0.14) | — | (0.91) | (0.91) | $8.03 | (1.27)% | 2.13% | 2.15% | (0.02)% | (0.04)% | 94% | $75,881 |
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 | |||||||||||||||||||||||||||||||||||||||||||||||
2021(3) | $7.51 | 0.02 | 1.14 | 1.16 | (0.02) | (0.47) | (0.49) | $8.18 | 15.59% | 1.17%(4) | 1.66%(4) | 0.41%(4) | (0.08)%(4) | 21% | $17,077 | ||||||||||||||||||||||||||||||||
2020 | $7.96 | 0.04 | 0.59 | 0.63 | (0.09) | (0.99) | (1.08) | $7.51 | 8.16% | 1.34% | 1.66% | 0.56% | 0.24% | 109% | $16,353 | ||||||||||||||||||||||||||||||||
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(5) | $9.06 | 0.03 | 0.28 | 0.31 | (0.07) | (0.69) | (0.76) | $8.61 | 3.72% | 1.61%(4) | 1.66%(4) | 0.60%(4) | 0.55%(4) | 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 | ||||||||||||||||||||||||||||||||
R5 Class | |||||||||||||||||||||||||||||||||||||||||||||||
2021(3) | $7.40 | 0.04 | 1.14 | 1.18 | (0.08) | (0.47) | (0.55) | $8.03 | 15.95% | 0.47%(4) | 0.96%(4) | 1.11%(4) | 0.62%(4) | 21% | $12 | ||||||||||||||||||||||||||||||||
2020 | $7.86 | 0.09 | 0.59 | 0.68 | (0.15) | (0.99) | (1.14) | $7.40 | 9.11% | 0.64% | 0.96% | 1.26% | 0.94% | 109% | $10 | ||||||||||||||||||||||||||||||||
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(5) | $9.00 | 0.07 | 0.28 | 0.35 | (0.13) | (0.69) | (0.82) | $8.53 | 4.24% | 0.91%(4) | 0.96%(4) | 1.30%(4) | 1.25%(4) | 58% | $6 | ||||||||||||||||||||||||||||||||
2017(7) | $8.05 | 0.08 | 0.87 | 0.95 | — | — | — | $9.00 | 11.80% | 0.91%(4) | 0.96%(4) | 1.46%(4) | 1.41%(4) | 80%(8) | $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 | |||||||||||||||||||||||||||||||||||||||||||||||
2021(3) | $7.38 | 0.05 | 1.13 | 1.18 | (0.09) | (0.47) | (0.56) | $8.00 | 16.19% | 0.32%(4) | 0.81%(4) | 1.26%(4) | 0.77%(4) | 21% | $236,224 | ||||||||||||||||||||||||||||||||
2020 | $7.84 | 0.10 | 0.59 | 0.69 | (0.16) | (0.99) | (1.15) | $7.38 | 9.18% | 0.49% | 0.81% | 1.41% | 1.09% | 109% | $213,077 | ||||||||||||||||||||||||||||||||
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(5) | $8.99 | 0.09 | 0.27 | 0.36 | (0.15) | (0.69) | (0.84) | $8.51 | 4.36% | 0.76%(4) | 0.81%(4) | 1.45%(4) | 1.40%(4) | 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 |
Notes to Financial Highlights |
(1)Computed using average shares outstanding throughout the period.
(2)Total returns are calculated based on the net asset value of the last business day and do not reflect applicable sales charges, if any. Total returns for periods less than one year are not annualized.
(3)Six months ended January 31, 2021 (unaudited).
(4)Annualized.
(5)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.
(6)Per-share amount was less than $0.005.
(7)April 10, 2017 (commencement of sale) through November 30, 2017.
(8)Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the year ended 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 as an exhibit to its reports on Form N-PORT. The fund’s 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 | |||||||
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©2021 American Century Proprietary Holdings, Inc. All rights reserved. CL-SAN-92640 2103 |
Semiannual Report | |||||
January 31, 2021 | |||||
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) |
Table of Contents |
President’s Letter | |||||
Fund Characteristics | |||||
Shareholder Fee Example | |||||
Schedule of Investments | |||||
Statement of Assets and Liabilities | |||||
Statement of Operations | |||||
Statement of Changes in Net Assets | |||||
Notes to Financial Statements | |||||
Financial Highlights | |||||
Additional Information | |||||
Any opinions expressed in this report reflect those of the author as of the date of the report, and do not necessarily represent the opinions of American Century Investments® or any other person in the American Century Investments organization. Any such opinions are subject to change at any time based upon market or other conditions and American Century Investments disclaims any responsibility to update such opinions. These opinions may not be relied upon as investment advice and, because investment decisions made by American Century Investments funds are based on numerous factors, may not be relied upon as an indication of trading intent on behalf of any American Century Investments fund. Security examples are used for representational purposes only and are not intended as recommendations to purchase or sell securities. Performance information for comparative indices and securities is provided to American Century Investments by third party vendors. To the best of American Century Investments’ knowledge, such information is accurate at the time of printing.
President’s Letter |
Jonathan Thomas
Dear Investor:
Thank you for reviewing this semiannual report for the period ended January 31, 2021. It provides a market overview (below), followed by a schedule of fund investments and other financial information. For additional investment insights, please visit americancentury.com.
Stocks Rallied as Stimulus, Vaccines Sparked Optimism
Stocks and other riskier assets delivered robust returns for the six-month reporting period. Investors generally remained upbeat despite periodic upswings in virus cases, lockdowns in certain regions and uncertainty surrounding the U.S. political climate. Ongoing support from global central banks and federal governments helped maintain investor confidence in the financial markets and the economic outlook. Improving data on U.S. manufacturing, employment and housing, along with positive vaccine developments and a late-2020 federal coronavirus aid package, helped sustain the rally. Furthermore, political clarity emerged following the January U.S. Senate run-off elections in Georgia.
The improving economic backdrop combined with massive monetary and fiscal support drove inflation expectations and U.S. Treasury yields higher. The yield on the benchmark 10-year U.S. Treasury note increased more than 50 basis points for the six-month period. Government bond yields in Europe were mixed as several countries in the region struggled with surging coronavirus cases and new business shutdown measures.
Overall, non-U.S. stocks generally outpaced U.S. stocks for the period, and within the U.S. market, small-cap stocks (Russell 2000 Index) were top performers, gaining more than 40%. Value stocks modestly outperformed growth stocks across the board. Rising yields pressured U.S. investment-grade bond returns, which declined nearly 1%. Conversely, global bonds advanced almost 2%.
A Return to Normalcy in Sight
The return to pre-pandemic life appears to be on the horizon now that COVID-19 vaccines have received emergency-use approval. In addition, medical professionals continue to improve treatment protocols for those afflicted with the virus. Nevertheless, until the vaccine is more widely available, investors may face periods of outbreak-related disruptions, economic uncertainty and heightened market volatility. These influences can be unsettling, but they tend to be temporary.
We appreciate your confidence in us during these extraordinary times. Our firm has a long history of helping clients weather unpredictable markets, and we’re confident we will continue to meet today’s challenges.
Sincerely,
Jonathan Thomas
President and Chief Executive Officer
American Century Investments
2
Fund Characteristics |
JANUARY 31, 2021 | |||||
Top Ten Common Stocks | % of net assets | ||||
Microsoft Corp. | 0.4% | ||||
Apple, Inc. | 0.3% | ||||
Amazon.com, Inc. | 0.2% | ||||
Prologis, Inc. | 0.2% | ||||
Alphabet, Inc., Class A | 0.2% | ||||
Zimmer Biomet Holdings, Inc. | 0.2% | ||||
F5 Networks, Inc. | 0.1% | ||||
Chubb Ltd. | 0.1% | ||||
Aptiv plc | 0.1% | ||||
nVent Electric plc | 0.1% | ||||
Key Fixed-Income Portfolio Statistics | |||||
Weighted Average Life to Maturity | 7.7 years | ||||
Average Duration (effective) | 5.9 years | ||||
Types of Investments in Portfolio | % of net assets | ||||
Affiliated Funds | 32.1% | ||||
U.S. Treasury Securities | 20.6% | ||||
Common Stocks | 19.9% | ||||
Sovereign Governments and Agencies | 7.0% | ||||
Corporate Bonds | 6.2% | ||||
Municipal Securities | 2.3% | ||||
Collateralized Loan Obligations | 2.3% | ||||
U.S. Government Agency Mortgage-Backed Securities | 2.2% | ||||
Commercial Paper | 2.0% | ||||
Collateralized Mortgage Obligations | 1.4% | ||||
Asset-Backed Securities | 1.0% | ||||
Preferred Stocks | 0.4% | ||||
Exchange-Traded Funds | 0.3% | ||||
Temporary Cash Investments | 3.9% | ||||
Temporary Cash Investments - Securities Lending Collateral | —* | ||||
Other Assets and Liabilities | (1.6)% |
*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, 2020 to January 31, 2021.
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 through a financial intermediary or employer-sponsored retirement plan account), American Century Investments may charge you a $25.00 annual 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 $25.00 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 8/1/20 | Ending Account Value 1/31/21 | Expenses Paid During Period(1) 8/1/20 - 1/31/21 | Annualized Expense Ratio(1) | |||||||||||
Actual | ||||||||||||||
Investor Class | $1,000 | $1,092.80 | $4.01 | 0.76% | ||||||||||
I Class | $1,000 | $1,094.00 | $2.96 | 0.56% | ||||||||||
A Class | $1,000 | $1,089.70 | $5.32 | 1.01% | ||||||||||
C Class | $1,000 | $1,087.20 | $9.26 | 1.76% | ||||||||||
R Class | $1,000 | $1,090.30 | $6.64 | 1.26% | ||||||||||
R5 Class | $1,000 | $1,093.80 | $2.96 | 0.56% | ||||||||||
R6 Class | $1,000 | $1,092.90 | $2.16 | 0.41% | ||||||||||
Hypothetical | ||||||||||||||
Investor Class | $1,000 | $1,021.37 | $3.87 | 0.76% | ||||||||||
I Class | $1,000 | $1,022.38 | $2.85 | 0.56% | ||||||||||
A Class | $1,000 | $1,020.11 | $5.14 | 1.01% | ||||||||||
C Class | $1,000 | $1,016.33 | $8.95 | 1.76% | ||||||||||
R Class | $1,000 | $1,018.85 | $6.41 | 1.26% | ||||||||||
R5 Class | $1,000 | $1,022.38 | $2.85 | 0.56% | ||||||||||
R6 Class | $1,000 | $1,023.14 | $2.09 | 0.41% |
(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 365, 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, 2021 (UNAUDITED)
Shares/Principal Amount | Value | ||||||||||
AFFILIATED FUNDS(1) — 32.1% | |||||||||||
American Century Diversified Corporate Bond ETF | 389,060 | $ | 20,550,149 | ||||||||
American Century Focused Dynamic Growth ETF | 145,047 | 10,708,820 | |||||||||
American Century Focused Large Cap Value ETF | 130,538 | 6,973,340 | |||||||||
American Century Quality Diversified International ETF | 198,975 | 9,569,265 | |||||||||
American Century STOXX U.S. Quality Growth ETF | 366,968 | 22,785,373 | |||||||||
American Century STOXX U.S. Quality Value ETF | 549,739 | 23,341,918 | |||||||||
Avantis International Equity ETF | 186,609 | 10,573,266 | |||||||||
Avantis International Small Cap Value ETF | 44,183 | 2,506,944 | |||||||||
Avantis U.S. Equity ETF | 360,920 | 22,855,800 | |||||||||
Avantis U.S. Small Cap Value ETF | 75,446 | 4,509,408 | |||||||||
TOTAL AFFILIATED FUNDS (Cost $109,684,888) | 134,374,283 | ||||||||||
U.S. TREASURY SECURITIES — 20.6% | |||||||||||
U.S. Treasury Bills, 0.12%, 3/4/21(9) | $ | 100,000 | 99,997 | ||||||||
U.S. Treasury Bonds, 4.50%, 5/15/38 | 1,000,000 | 1,468,008 | |||||||||
U.S. Treasury Bonds, 1.125%, 5/15/40 | 6,500,000 | 5,950,547 | |||||||||
U.S. Treasury Bonds, 3.00%, 5/15/42 | 430,000 | 534,309 | |||||||||
U.S. Treasury Bonds, 2.50%, 2/15/45(2) | 1,700,000 | 1,949,687 | |||||||||
U.S. Treasury Bonds, 3.00%, 5/15/45 | 600,000 | 749,297 | |||||||||
U.S. Treasury Bonds, 3.00%, 11/15/45 | 850,000 | 1,063,894 | |||||||||
U.S. Treasury Bonds, 1.375%, 8/15/50 | 350,000 | 312,840 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 2.375%, 1/15/25 | 2,139,853 | 2,518,862 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 2.375%, 1/15/27 | 387,123 | 484,718 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/42 | 575,830 | 728,094 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.625%, 2/15/43 | 565,935 | 700,449 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/45 | 552,545 | 707,113 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.875%, 2/15/47 | 539,015 | 716,329 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/22 | 2,772,445 | 2,872,285 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 1/15/23 | 3,156,720 | 3,295,230 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.375%, 7/15/23 | 3,466,482 | 3,693,529 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 1/15/24 | 1,449,864 | 1,567,639 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.50%, 4/15/24 | 3,869,250 | 4,179,124 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/24 | 9,589,563 | 10,349,969 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 10/15/24 | 2,180,702 | 2,357,571 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.25%, 1/15/25 | 4,394,760 | 4,785,381 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/25 | 4,080,213 | 4,431,509 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 1/15/26 | 6,133,064 | 6,900,386 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/26 | 1,194,204 | 1,324,785 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.375%, 1/15/27 | 215,458 | 242,551 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.50%, 1/15/28 | 3,692,465 | 4,221,410 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.875%, 1/15/29 | 2,576,500 | 3,046,262 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 1/15/30 | 6,068,700 | 6,800,667 | |||||||||
U.S. Treasury Notes, 0.25%, 6/15/23 | 6,150,000 | 6,167,057 | |||||||||
U.S. Treasury Notes, 0.50%, 5/31/27 | 2,000,000 | 1,981,016 | |||||||||
U.S. Treasury Notes, 2.25%, 8/15/27(2) | 300,000 | 330,234 | |||||||||
TOTAL U.S. TREASURY SECURITIES (Cost $80,576,063) | 86,530,749 |
6
Shares/Principal Amount | Value | ||||||||||
COMMON STOCKS — 19.9% | |||||||||||
Aerospace and Defense — 0.3% | |||||||||||
AAR Corp. | 996 | $ | 33,416 | ||||||||
BAE Systems plc | 53,590 | 338,949 | |||||||||
CAE, Inc. | 1,042 | 23,541 | |||||||||
General Dynamics Corp. | 1,764 | 258,743 | |||||||||
Lockheed Martin Corp. | 507 | 163,163 | |||||||||
Safran SA(3) | 1,009 | 127,246 | |||||||||
Spirit AeroSystems Holdings, Inc., Class A | 1,207 | 40,881 | |||||||||
Textron, Inc. | 3,614 | 163,570 | |||||||||
1,149,509 | |||||||||||
Air Freight and Logistics — 0.1% | |||||||||||
Expeditors International of Washington, Inc. | 924 | 82,716 | |||||||||
United Parcel Service, Inc., Class B | 957 | 148,335 | |||||||||
231,051 | |||||||||||
Airlines — 0.1% | |||||||||||
Alaska Air Group, Inc. | 885 | 43,215 | |||||||||
JET2 plc(3) | 1,245 | 22,471 | |||||||||
Ryanair Holdings plc, ADR(3) | 762 | 72,443 | |||||||||
Southwest Airlines Co. | 8,708 | 382,629 | |||||||||
520,758 | |||||||||||
Auto Components — 0.3% | |||||||||||
Aptiv plc | 3,913 | 522,777 | |||||||||
BorgWarner, Inc. | 6,760 | 283,853 | |||||||||
Hyundai Mobis Co. Ltd.(3) | 614 | 172,955 | |||||||||
LCI Industries | 223 | 28,852 | |||||||||
Minth Group Ltd. | 6,000 | 27,382 | |||||||||
Sumitomo Rubber Industries Ltd. | 5,600 | 51,649 | |||||||||
Valeo SA | 3,680 | 137,476 | |||||||||
1,224,944 | |||||||||||
Automobiles — 0.3% | |||||||||||
Bayerische Motoren Werke AG | 1,742 | 148,028 | |||||||||
Daimler AG | 4,883 | 344,369 | |||||||||
Honda Motor Co. Ltd., ADR | 9,156 | 242,451 | |||||||||
Hyundai Motor Co. | 472 | 95,704 | |||||||||
Nissan Motor Co. Ltd.(3) | 33,300 | 170,231 | |||||||||
Tesla, Inc.(3) | 463 | 367,404 | |||||||||
1,368,187 | |||||||||||
Banks — 0.9% | |||||||||||
AIB Group plc(3) | 12,475 | 22,198 | |||||||||
Banco Bilbao Vizcaya Argentaria SA | 21,785 | 99,210 | |||||||||
Banco Bradesco SA | 14,460 | 57,085 | |||||||||
Bank Central Asia Tbk PT | 32,100 | 77,407 | |||||||||
Bank of America Corp. | 9,066 | 268,807 | |||||||||
Barclays plc(3) | 132,557 | 242,498 | |||||||||
BNP Paribas SA(3) | 4,910 | 236,477 | |||||||||
CaixaBank SA | 30,547 | 77,215 | |||||||||
Commerce Bancshares, Inc. | 4,100 | 274,085 | |||||||||
Commerzbank AG(3) | 19,316 | 128,348 | |||||||||
Eastern Bankshares, Inc.(3) | 5,087 | 81,087 | |||||||||
FinecoBank Banca Fineco SpA(3) | 1,045 | 16,316 | |||||||||
HDFC Bank Ltd., ADR(3) | 1,649 | 118,893 |
7
Shares/Principal Amount | Value | ||||||||||
JPMorgan Chase & Co. | 2,972 | $ | 382,407 | ||||||||
M&T Bank Corp. | 1,570 | 207,978 | |||||||||
Mitsubishi UFJ Financial Group, Inc. | 45,200 | 203,653 | |||||||||
Mizuho Financial Group, Inc. | 12,190 | 162,605 | |||||||||
PNC Financial Services Group, Inc. (The) | 1,122 | 161,029 | |||||||||
Regions Financial Corp. | 13,974 | 237,698 | |||||||||
Societe Generale SA(3) | 3,665 | 68,488 | |||||||||
Standard Chartered plc (London)(3) | 8,748 | 53,120 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 4,500 | 140,069 | |||||||||
Truist Financial Corp. | 7,103 | 340,802 | |||||||||
UniCredit SpA(3) | 5,380 | 49,196 | |||||||||
Westamerica Bancorporation | 3,053 | 170,418 | |||||||||
3,877,089 | |||||||||||
Beverages — 0.1% | |||||||||||
Boston Beer Co., Inc. (The), Class A(3) | 139 | 127,448 | |||||||||
Fevertree Drinks plc | 574 | 19,067 | |||||||||
PepsiCo, Inc. | 2,174 | 296,903 | |||||||||
Royal Unibrew A/S | 139 | 13,705 | |||||||||
457,123 | |||||||||||
Biotechnology — 0.4% | |||||||||||
AbbVie, Inc. | 2,185 | 223,919 | |||||||||
ACADIA Pharmaceuticals, Inc.(3) | 2,194 | 105,422 | |||||||||
Acceleron Pharma, Inc.(3) | 244 | 28,189 | |||||||||
ADC Therapeutics SA(3) | 735 | 20,999 | |||||||||
Alnylam Pharmaceuticals, Inc.(3) | 925 | 139,194 | |||||||||
Amgen, Inc. | 973 | 234,911 | |||||||||
Amicus Therapeutics, Inc.(3) | 1,754 | 33,168 | |||||||||
Arcutis Biotherapeutics, Inc.(3) | 607 | 16,565 | |||||||||
Arena Pharmaceuticals, Inc.(3) | 281 | 20,861 | |||||||||
Argenx SE, ADR(3) | 305 | 89,371 | |||||||||
Biohaven Pharmaceutical Holding Co. Ltd.(3) | 416 | 35,452 | |||||||||
Blueprint Medicines Corp.(3) | 348 | 33,669 | |||||||||
Bridgebio Pharma, Inc.(3) | 561 | 31,842 | |||||||||
ChemoCentryx, Inc.(3) | 385 | 21,949 | |||||||||
Deciphera Pharmaceuticals, Inc.(3) | 493 | 21,791 | |||||||||
Fate Therapeutics, Inc.(3) | 284 | 25,739 | |||||||||
FibroGen, Inc.(3) | 600 | 28,908 | |||||||||
Flexion Therapeutics, Inc.(3) | 1,471 | 17,902 | |||||||||
Generation Bio Co.(3) | 320 | 8,426 | |||||||||
Global Blood Therapeutics, Inc.(3) | 406 | 20,349 | |||||||||
Halozyme Therapeutics, Inc.(3) | 945 | 44,973 | |||||||||
Heron Therapeutics, Inc.(3) | 713 | 12,378 | |||||||||
Insmed, Inc.(3) | 1,132 | 42,552 | |||||||||
Invitae Corp.(3)(4) | 544 | 26,939 | |||||||||
Iovance Biotherapeutics, Inc.(3) | 272 | 11,924 | |||||||||
Karuna Therapeutics, Inc.(3) | 323 | 32,051 | |||||||||
Kinnate Biopharma, Inc.(3) | 184 | 6,035 | |||||||||
Kymera Therapeutics, Inc.(3)(4) | 356 | 22,054 | |||||||||
Mirati Therapeutics, Inc.(3) | 140 | 28,746 | |||||||||
Natera, Inc.(3) | 1,307 | 139,378 | |||||||||
Novavax, Inc.(3) | 74 | 16,350 |
8
Shares/Principal Amount | Value | ||||||||||
Relay Therapeutics, Inc.(3) | 282 | $ | 13,982 | ||||||||
Seagen, Inc.(3) | 574 | 94,291 | |||||||||
Sigilon Therapeutics, Inc.(3) | 356 | 10,897 | |||||||||
Turning Point Therapeutics, Inc.(3) | 585 | 73,412 | |||||||||
Ultragenyx Pharmaceutical, Inc.(3) | 328 | 45,457 | |||||||||
Vertex Pharmaceuticals, Inc.(3) | 338 | 77,429 | |||||||||
Viela Bio, Inc.(3)(4) | 594 | 20,600 | |||||||||
1,878,074 | |||||||||||
Building Products — 0.2% | |||||||||||
American Woodmark Corp.(3) | 279 | 24,136 | |||||||||
Johnson Controls International plc | 9,837 | 490,079 | |||||||||
Masco Corp. | 2,734 | 148,484 | |||||||||
Masonite International Corp.(3) | 494 | 49,153 | |||||||||
Trane Technologies plc | 907 | 130,018 | |||||||||
Trex Co., Inc.(3) | 375 | 34,414 | |||||||||
876,284 | |||||||||||
Capital Markets — 0.9% | |||||||||||
Ameriprise Financial, Inc. | 2,336 | 462,224 | |||||||||
Bank of New York Mellon Corp. (The) | 11,629 | 463,183 | |||||||||
BlackRock, Inc. | 279 | 195,652 | |||||||||
Credit Suisse Group AG | 19,876 | 261,958 | |||||||||
flatexDEGIRO AG(3) | 551 | 50,803 | |||||||||
GCM Grosvenor, Inc., Class A(3)(4) | 1,366 | 17,703 | |||||||||
Intercontinental Exchange, Inc. | 1,062 | 117,192 | |||||||||
Intermediate Capital Group plc | 1,594 | 37,077 | |||||||||
London Stock Exchange Group plc | 1,019 | 121,169 | |||||||||
LPL Financial Holdings, Inc. | 1,181 | 127,950 | |||||||||
MarketAxess Holdings, Inc. | 233 | 125,997 | |||||||||
Morgan Stanley | 4,618 | 309,637 | |||||||||
MSCI, Inc. | 479 | 189,349 | |||||||||
Northern Trust Corp. | 5,464 | 487,334 | |||||||||
Open Lending Corp., Class A(3) | 1,043 | 37,850 | |||||||||
Partners Group Holding AG | 104 | 123,012 | |||||||||
S&P Global, Inc. | 682 | 216,194 | |||||||||
State Street Corp. | 1,929 | 135,030 | |||||||||
T. Rowe Price Group, Inc. | 1,594 | 249,429 | |||||||||
UBS Group AG | 9,379 | 135,400 | |||||||||
3,864,143 | |||||||||||
Chemicals — 0.2% | |||||||||||
Air Liquide SA | 613 | 100,173 | |||||||||
Air Products and Chemicals, Inc. | 378 | 100,835 | |||||||||
Albemarle Corp. | 463 | 75,312 | |||||||||
Arkema SA | 623 | 69,167 | |||||||||
Axalta Coating Systems Ltd.(3) | 176 | 4,750 | |||||||||
Corbion NV | 384 | 22,374 | |||||||||
Ecolab, Inc. | 570 | 116,571 | |||||||||
Element Solutions, Inc. | 3,821 | 65,072 | |||||||||
Huntsman Corp. | 674 | 17,807 | |||||||||
Linde plc | 998 | 244,909 | |||||||||
Nissan Chemical Corp. | 200 | 11,425 | |||||||||
OCI NV(3) | 980 | 20,259 | |||||||||
Sherwin-Williams Co. (The) | 183 | 126,599 |
9
Shares/Principal Amount | Value | ||||||||||
Zeon Corp. | 2,600 | $ | 41,901 | ||||||||
1,017,154 | |||||||||||
Commercial Services and Supplies — 0.2% | |||||||||||
Babcock International Group plc(3) | 31,201 | 99,409 | |||||||||
Brink's Co. (The) | 798 | 54,368 | |||||||||
Clean Harbors, Inc.(3) | 636 | 49,265 | |||||||||
Country Garden Services Holdings Co. Ltd. | 8,000 | 65,166 | |||||||||
Driven Brands Holdings, Inc.(3) | 1,212 | 34,057 | |||||||||
Elis SA(3) | 1,122 | 16,789 | |||||||||
Ever Sunshine Lifestyle Services Group Ltd. | 42,000 | 120,550 | |||||||||
HomeServe plc | 937 | 13,386 | |||||||||
Japan Elevator Service Holdings Co. Ltd. | 700 | 16,512 | |||||||||
Loomis AB | 488 | 12,510 | |||||||||
Park24 Co. Ltd.(3) | 1,000 | 19,155 | |||||||||
Republic Services, Inc. | 4,068 | 368,235 | |||||||||
869,402 | |||||||||||
Communications Equipment — 0.3% | |||||||||||
Arista Networks, Inc.(3) | 659 | 202,682 | |||||||||
Cisco Systems, Inc. | 2,366 | 105,477 | |||||||||
F5 Networks, Inc.(3) | 2,841 | 556,694 | |||||||||
Juniper Networks, Inc. | 1,984 | 48,449 | |||||||||
Telefonaktiebolaget LM Ericsson, B Shares | 10,229 | 129,222 | |||||||||
1,042,524 | |||||||||||
Construction and Engineering† | |||||||||||
Arcadis NV(3) | 406 | 14,226 | |||||||||
Hazama Ando Corp. | 4,400 | 30,829 | |||||||||
NRW Holdings Ltd. | 7,950 | 17,242 | |||||||||
SHO-BOND Holdings Co. Ltd. | 700 | 30,536 | |||||||||
92,833 | |||||||||||
Construction Materials† | |||||||||||
Cemex SAB de CV, ADR(3) | 16,847 | 96,534 | |||||||||
Summit Materials, Inc., Class A(3) | 1,142 | 23,445 | |||||||||
119,979 | |||||||||||
Consumer Finance† | |||||||||||
American Express Co. | 1,158 | 134,629 | |||||||||
Cembra Money Bank AG | 166 | 18,076 | |||||||||
152,705 | |||||||||||
Containers and Packaging — 0.3% | |||||||||||
Avery Dennison Corp. | 1,293 | 195,075 | |||||||||
Ball Corp. | 3,377 | 297,244 | |||||||||
Berry Global Group, Inc.(3) | 593 | 29,276 | |||||||||
Graphic Packaging Holding Co. | 12,225 | 191,443 | |||||||||
Huhtamaki Oyj | 505 | 24,818 | |||||||||
Myers Industries, Inc. | 757 | 15,178 | |||||||||
Packaging Corp. of America | 1,072 | 144,141 | |||||||||
SIG Combibloc Group AG(3) | 1,368 | 32,578 | |||||||||
Sonoco Products Co. | 6,758 | 391,356 | |||||||||
1,321,109 | |||||||||||
Distributors — 0.1% | |||||||||||
D'ieteren SA | 219 | 17,216 | |||||||||
Genuine Parts Co. | 2,445 | 229,537 |
10
Shares/Principal Amount | Value | ||||||||||
LKQ Corp.(3) | 2,654 | $ | 93,129 | ||||||||
339,882 | |||||||||||
Diversified Consumer Services† | |||||||||||
Chegg, Inc.(3) | 446 | 42,486 | |||||||||
Diversified Financial Services† | |||||||||||
Element Fleet Management Corp.(4) | 3,485 | 32,377 | |||||||||
Hypoport SE(3) | 24 | 16,352 | |||||||||
Zenkoku Hosho Co. Ltd. | 400 | 17,926 | |||||||||
66,655 | |||||||||||
Diversified Telecommunication Services — 0.1% | |||||||||||
BT Group plc(3) | 22,521 | 38,716 | |||||||||
Cellnex Telecom SA | 3,103 | 181,804 | |||||||||
Verizon Communications, Inc. | 2,050 | 112,237 | |||||||||
332,757 | |||||||||||
Electric Utilities — 0.4% | |||||||||||
Edison International | 6,323 | 367,746 | |||||||||
Evergy, Inc. | 2,523 | 135,561 | |||||||||
Iberdrola SA | 8,703 | 118,028 | |||||||||
NextEra Energy, Inc. | 5,888 | 476,162 | |||||||||
Pinnacle West Capital Corp. | 5,270 | 396,567 | |||||||||
Xcel Energy, Inc. | 1,689 | 108,079 | |||||||||
1,602,143 | |||||||||||
Electrical Equipment — 0.5% | |||||||||||
AMETEK, Inc. | 1,508 | 170,796 | |||||||||
Eaton Corp. plc | 1,155 | 135,944 | |||||||||
Emerson Electric Co. | 6,198 | 491,811 | |||||||||
Generac Holdings, Inc.(3) | 237 | 58,402 | |||||||||
Hubbell, Inc. | 2,385 | 371,106 | |||||||||
Mabuchi Motor Co. Ltd. | 700 | 29,009 | |||||||||
NEL ASA(3)(4) | 3,962 | 14,102 | |||||||||
nVent Electric plc | 23,222 | 519,708 | |||||||||
Rockwell Automation, Inc. | 598 | 148,621 | |||||||||
Schneider Electric SE | 1,222 | 179,142 | |||||||||
Sensata Technologies Holding plc(3) | 2,706 | 147,477 | |||||||||
Shoals Technologies Group, Inc., Class A(3) | 897 | 30,435 | |||||||||
2,296,553 | |||||||||||
Electronic Equipment, Instruments and Components — 0.4% | |||||||||||
Anritsu Corp. | 1,400 | 34,466 | |||||||||
CDW Corp. | 476 | 62,670 | |||||||||
Cognex Corp. | 5,360 | 440,217 | |||||||||
Comet Holding AG | 12 | 2,747 | |||||||||
Hexagon AB, B Shares | 1,598 | 139,823 | |||||||||
Jabil, Inc. | 879 | 36,364 | |||||||||
Keyence Corp. | 200 | 107,588 | |||||||||
Keysight Technologies, Inc.(3) | 3,321 | 470,220 | |||||||||
Littelfuse, Inc. | 195 | 47,457 | |||||||||
LPKF Laser & Electronics AG | 528 | 17,672 | |||||||||
Murata Manufacturing Co. Ltd. | 1,700 | 163,727 | |||||||||
nLight, Inc.(3) | 1,087 | 34,436 | |||||||||
TE Connectivity Ltd. | 1,544 | 185,898 | |||||||||
1,743,285 |
11
Shares/Principal Amount | Value | ||||||||||
Energy Equipment and Services† | |||||||||||
Baker Hughes Co. | 5,102 | $ | 102,499 | ||||||||
Entertainment — 0.3% | |||||||||||
Activision Blizzard, Inc. | 1,126 | 102,466 | |||||||||
Embracer Group AB(3) | 295 | 6,670 | |||||||||
Live Nation Entertainment, Inc.(3) | 1,508 | 100,207 | |||||||||
Roku, Inc.(3) | 575 | 223,692 | |||||||||
Stillfront Group AB(3) | 3,458 | 36,785 | |||||||||
Walt Disney Co. (The)(3) | 2,876 | 483,657 | |||||||||
Zynga, Inc., Class A(3) | 14,521 | 143,903 | |||||||||
1,097,380 | |||||||||||
Equity Real Estate Investment Trusts (REITs) — 2.0% | |||||||||||
Alexandria Real Estate Equities, Inc. | 962 | 160,760 | |||||||||
American Homes 4 Rent, Class A | 3,018 | 91,234 | |||||||||
Brixmor Property Group, Inc. | 7,066 | 119,627 | |||||||||
Charter Hall Group | 14,848 | 154,067 | |||||||||
Cousins Properties, Inc. | 2,235 | 70,492 | |||||||||
Embassy Office Parks REIT | 8,400 | 40,342 | |||||||||
Empire State Realty Trust, Inc., Class A | 5,745 | 56,646 | |||||||||
Equinix, Inc. | 607 | 449,156 | |||||||||
Equity Residential | 3,289 | 202,734 | |||||||||
Essential Properties Realty Trust, Inc. | 3,353 | 69,809 | |||||||||
Essex Property Trust, Inc. | 1,348 | 322,994 | |||||||||
Extra Space Storage, Inc. | 1,162 | 132,224 | |||||||||
Fibra Uno Administracion SA de CV | 127,963 | 143,513 | |||||||||
Gecina SA | 538 | 76,718 | |||||||||
Global Medical REIT, Inc. | 2,079 | 26,071 | |||||||||
Goodman Group | 12,576 | 169,497 | |||||||||
Healthcare Trust of America, Inc., Class A | 5,099 | 144,047 | |||||||||
Healthpeak Properties, Inc. | 8,383 | 248,556 | |||||||||
Innovative Industrial Properties, Inc. | 1,374 | 257,103 | |||||||||
Invesco Office J-Reit, Inc. | 337 | 49,081 | |||||||||
Invincible Investment Corp. | 353 | 118,173 | |||||||||
Invitation Homes, Inc. | 6,850 | 201,938 | |||||||||
JBG SMITH Properties | 1,852 | 55,301 | |||||||||
Kimco Realty Corp. | 5,158 | 85,158 | |||||||||
Klepierre SA(4) | 2,567 | 61,774 | |||||||||
Life Storage, Inc. | 2,503 | 204,154 | |||||||||
Link REIT | 15,400 | 135,739 | |||||||||
Mapletree Commercial Trust | 84,300 | 131,314 | |||||||||
Mapletree Industrial Trust | 46,500 | 100,544 | |||||||||
Mapletree Logistics Trust | 35,800 | 53,375 | |||||||||
MGM Growth Properties LLC, Class A | 7,887 | 245,680 | |||||||||
Mitsui Fudosan Logistics Park, Inc. | 19 | 95,035 | |||||||||
National Retail Properties, Inc. | 1,767 | 68,913 | |||||||||
NETSTREIT Corp. | 2,346 | 40,421 | |||||||||
Orix JREIT, Inc. | 69 | 115,695 | |||||||||
PotlatchDeltic Corp. | 4,109 | 196,246 | |||||||||
Prologis, Inc. | 8,958 | 924,466 | |||||||||
QTS Realty Trust, Inc., Class A | 2,161 | 140,681 | |||||||||
Rexford Industrial Realty, Inc. | 2,894 | 141,632 | |||||||||
RLJ Lodging Trust | 8,971 | 115,816 |
12
Shares/Principal Amount | Value | ||||||||||
Ryman Hospitality Properties, Inc. | 2,202 | $ | 142,800 | ||||||||
Safestore Holdings plc | 2,876 | 31,900 | |||||||||
Scentre Group | 37,190 | 77,060 | |||||||||
Segro plc | 9,810 | 128,167 | |||||||||
Simon Property Group, Inc. | 2,060 | 191,436 | |||||||||
SL Green Realty Corp. | 3 | 197 | |||||||||
SOSiLA Logistics REIT, Inc. | 105 | 129,095 | |||||||||
Stockland | 42,853 | 145,034 | |||||||||
Sun Communities, Inc. | 1,116 | 159,733 | |||||||||
Tritax Big Box REIT plc | 4,495 | 11,352 | |||||||||
UDR, Inc. | 6,077 | 233,661 | |||||||||
Urban Edge Properties | 5,015 | 69,157 | |||||||||
Ventas, Inc. | 5,504 | 253,569 | |||||||||
VICI Properties, Inc. | 6,997 | 176,884 | |||||||||
Warehouses De Pauw, CVA | 246 | 8,826 | |||||||||
Welltower, Inc. | 4,590 | 278,154 | |||||||||
Weyerhaeuser Co. | 5,572 | 173,791 | |||||||||
8,427,542 | |||||||||||
Food and Staples Retailing — 0.2% | |||||||||||
Costco Wholesale Corp. | 342 | 120,531 | |||||||||
Koninklijke Ahold Delhaize NV | 13,741 | 393,214 | |||||||||
MARR SpA(3) | 1,143 | 23,795 | |||||||||
Sysco Corp. | 5,805 | 415,116 | |||||||||
Zur Rose Group AG(3) | 88 | 40,416 | |||||||||
993,072 | |||||||||||
Food Products — 0.4% | |||||||||||
Bakkafrost P/F(3) | 416 | 29,163 | |||||||||
Beyond Meat, Inc.(3) | 55 | 9,794 | |||||||||
Conagra Brands, Inc. | 12,131 | 419,733 | |||||||||
J.M. Smucker Co. (The) | 2,622 | 305,227 | |||||||||
Kellogg Co. | 3,939 | 232,165 | |||||||||
Mondelez International, Inc., Class A | 4,736 | 262,564 | |||||||||
Orkla ASA | 20,314 | 197,434 | |||||||||
Vital Farms, Inc.(3) | 740 | 18,300 | |||||||||
Whole Earth Brands, Inc.(3) | 2,694 | 30,523 | |||||||||
1,504,903 | |||||||||||
Gas Utilities — 0.1% | |||||||||||
Atmos Energy Corp. | 2,110 | 187,790 | |||||||||
Nippon Gas Co. Ltd. | 800 | 38,551 | |||||||||
Spire, Inc. | 3,032 | 185,528 | |||||||||
411,869 | |||||||||||
Health Care Equipment and Supplies — 0.7% | |||||||||||
Acutus Medical, Inc.(3) | 661 | 17,113 | |||||||||
Align Technology, Inc.(3) | 515 | 270,571 | |||||||||
Becton Dickinson and Co. | 932 | 243,988 | |||||||||
DexCom, Inc.(3) | 287 | 107,582 | |||||||||
Eargo, Inc.(3) | 422 | 22,189 | |||||||||
Edwards Lifesciences Corp.(3) | 2,036 | 168,133 | |||||||||
Envista Holdings Corp.(3) | 6,817 | 242,276 | |||||||||
Globus Medical, Inc., Class A(3) | 401 | 24,738 | |||||||||
Hill-Rom Holdings, Inc. | 1,374 | 131,959 |
13
Shares/Principal Amount | Value | ||||||||||
ICU Medical, Inc.(3) | 135 | $ | 27,605 | ||||||||
IDEXX Laboratories, Inc.(3) | 407 | 194,823 | |||||||||
Inmode Ltd.(3) | 680 | 40,025 | |||||||||
Medtronic plc | 1,775 | 197,611 | |||||||||
Menicon Co. Ltd. | 100 | 6,040 | |||||||||
Olympus Corp. | 4,400 | 79,695 | |||||||||
Ortho Clinical Diagnostics Holdings plc(3) | 1,725 | 28,462 | |||||||||
OrthoPediatrics Corp.(3) | 514 | 23,736 | |||||||||
ResMed, Inc. | 232 | 46,764 | |||||||||
Silk Road Medical, Inc.(3) | 606 | 33,045 | |||||||||
Tandem Diabetes Care, Inc.(3) | 381 | 35,300 | |||||||||
Teleflex, Inc. | 676 | 255,278 | |||||||||
Zimmer Biomet Holdings, Inc. | 4,340 | 666,928 | |||||||||
2,863,861 | |||||||||||
Health Care Providers and Services — 0.8% | |||||||||||
Acadia Healthcare Co., Inc.(3) | 577 | 29,242 | |||||||||
Alfresa Holdings Corp. | 4,800 | 95,982 | |||||||||
Amedisys, Inc.(3) | 550 | 158,021 | |||||||||
AMN Healthcare Services, Inc.(3) | 386 | 27,838 | |||||||||
Cardinal Health, Inc. | 6,243 | 335,436 | |||||||||
Chartwell Retirement Residences | 6,163 | 51,521 | |||||||||
Cigna Corp. | 634 | 137,610 | |||||||||
CVS Health Corp. | 2,577 | 184,642 | |||||||||
Encompass Health Corp. | 3,876 | 311,630 | |||||||||
HealthEquity, Inc.(3) | 542 | 45,284 | |||||||||
Henry Schein, Inc.(3) | 3,643 | 239,892 | |||||||||
Humana, Inc. | 259 | 99,226 | |||||||||
McKesson Corp. | 1,575 | 274,790 | |||||||||
Option Care Health, Inc.(3) | 2,182 | 40,323 | |||||||||
Quest Diagnostics, Inc. | 2,892 | 373,502 | |||||||||
R1 RCM, Inc.(3) | 1,982 | 50,006 | |||||||||
RadNet, Inc.(3) | 1,266 | 22,674 | |||||||||
UnitedHealth Group, Inc. | 853 | 284,544 | |||||||||
Universal Health Services, Inc., Class B | 3,303 | 411,818 | |||||||||
3,173,981 | |||||||||||
Health Care Technology — 0.2% | |||||||||||
Cerner Corp. | 4,435 | 355,288 | |||||||||
Certara, Inc.(3) | 629 | 21,650 | |||||||||
Health Catalyst, Inc.(3) | 987 | 49,034 | |||||||||
Phreesia, Inc.(3) | 377 | 24,614 | |||||||||
Teladoc Health, Inc.(3) | 731 | 192,860 | |||||||||
Veeva Systems, Inc., Class A(3) | 850 | 234,974 | |||||||||
878,420 | |||||||||||
Hotels, Restaurants and Leisure — 0.3% | |||||||||||
Basic-Fit NV(3) | 568 | 19,351 | |||||||||
Brinker International, Inc. | 658 | 38,743 | |||||||||
Chipotle Mexican Grill, Inc.(3) | 190 | 281,200 | |||||||||
Churchill Downs, Inc. | 316 | 59,234 | |||||||||
Las Vegas Sands Corp. | 2,801 | 134,700 | |||||||||
Melco International Development Ltd. | 2,000 | 3,545 | |||||||||
Melia Hotels International SA(3)(4) | 1,978 | 12,933 |
14
Shares/Principal Amount | Value | ||||||||||
Planet Fitness, Inc., Class A(3) | 357 | $ | 25,704 | ||||||||
Sodexo SA(3) | 2,966 | 263,859 | |||||||||
Sushiro Global Holdings Ltd. | 1,100 | 37,791 | |||||||||
Whitbread plc(3) | 2,698 | 102,486 | |||||||||
Wingstop, Inc. | 233 | 34,962 | |||||||||
Wyndham Hotels & Resorts, Inc. | 723 | 42,057 | |||||||||
1,056,565 | |||||||||||
Household Durables — 0.2% | |||||||||||
Bellway plc | 71 | 2,676 | |||||||||
D.R. Horton, Inc. | 1,379 | 105,907 | |||||||||
Haseko Corp. | 5,100 | 59,808 | |||||||||
Man Wah Holdings Ltd. | 11,200 | 24,709 | |||||||||
Mohawk Industries, Inc.(3) | 359 | 51,552 | |||||||||
Open House Co. Ltd. | 4,300 | 173,774 | |||||||||
Taylor Wimpey plc(3) | 90,819 | 181,793 | |||||||||
Token Corp. | 400 | 31,004 | |||||||||
TopBuild Corp.(3) | 227 | 45,389 | |||||||||
676,612 | |||||||||||
Household Products — 0.1% | |||||||||||
Colgate-Palmolive Co. | 1,438 | 112,164 | |||||||||
Kimberly-Clark Corp. | 1,380 | 182,298 | |||||||||
Procter & Gamble Co. (The) | 1,969 | 252,445 | |||||||||
Reynolds Consumer Products, Inc. | 712 | 21,360 | |||||||||
568,267 | |||||||||||
Independent Power and Renewable Electricity Producers† | |||||||||||
Innergex Renewable Energy, Inc. | 2,392 | 54,845 | |||||||||
Industrial Conglomerates — 0.1% | |||||||||||
Honeywell International, Inc. | 1,482 | 289,538 | |||||||||
Lifco AB, B Shares | 257 | 23,660 | |||||||||
313,198 | |||||||||||
Insurance — 0.5% | |||||||||||
Aegon NV | 20,473 | 84,398 | |||||||||
Aflac, Inc. | 8,936 | 403,729 | |||||||||
AIA Group Ltd. | 8,000 | 98,019 | |||||||||
Arthur J. Gallagher & Co. | 1,354 | 156,265 | |||||||||
Brown & Brown, Inc. | 927 | 39,944 | |||||||||
BRP Group, Inc., Class A(3) | 1,440 | 33,422 | |||||||||
Chubb Ltd. | 3,764 | 548,302 | |||||||||
eHealth, Inc.(3) | 373 | 17,848 | |||||||||
Goosehead Insurance, Inc., Class A | 168 | 22,445 | |||||||||
Kinsale Capital Group, Inc. | 236 | 44,264 | |||||||||
Marsh & McLennan Cos., Inc. | 761 | 83,642 | |||||||||
Palomar Holdings, Inc.(3) | 307 | 30,574 | |||||||||
Progressive Corp. (The) | 428 | 37,317 | |||||||||
Prudential Financial, Inc. | 885 | 69,278 | |||||||||
Reinsurance Group of America, Inc. | 3,015 | 316,726 | |||||||||
Root, Inc., Class A(3) | 1,099 | 22,150 | |||||||||
SelectQuote, Inc.(3) | 4,474 | 94,491 | |||||||||
Travelers Cos., Inc. (The) | 379 | 51,658 | |||||||||
2,154,472 | |||||||||||
Interactive Media and Services — 0.4% | |||||||||||
Alphabet, Inc., Class A(3) | 443 | 809,521 |
15
Shares/Principal Amount | Value | ||||||||||
carsales.com Ltd. | 1,115 | $ | 16,679 | ||||||||
EverQuote, Inc., Class A(3) | 306 | 13,788 | |||||||||
Facebook, Inc., Class A(3) | 1,064 | 274,863 | |||||||||
Kakaku.com, Inc. | 700 | 20,229 | |||||||||
Match Group, Inc.(3) | 1,442 | 201,678 | |||||||||
QuinStreet, Inc.(3) | 1,826 | 38,656 | |||||||||
Tencent Holdings Ltd. | 1,800 | 157,578 | |||||||||
1,532,992 | |||||||||||
Internet and Direct Marketing Retail — 0.4% | |||||||||||
Alibaba Group Holding Ltd., ADR(3) | 467 | 118,539 | |||||||||
Amazon.com, Inc.(3) | 306 | 981,097 | |||||||||
ASKUL Corp. | 700 | 24,702 | |||||||||
ASOS plc(3) | 1,821 | 111,571 | |||||||||
BHG Group AB(3) | 1,845 | 34,596 | |||||||||
boohoo Group plc(3) | 3,265 | 14,990 | |||||||||
Booking Holdings, Inc.(3) | 65 | 126,381 | |||||||||
Chewy, Inc., Class A(3) | 1,057 | 107,624 | |||||||||
Expedia Group, Inc. | 1,296 | 160,834 | |||||||||
Mercari, Inc.(3) | 200 | 9,578 | |||||||||
Redbubble Ltd.(3) | 2,829 | 14,396 | |||||||||
1,704,308 | |||||||||||
IT Services — 0.7% | |||||||||||
Accenture plc, Class A | 957 | 231,517 | |||||||||
Adyen NV(3) | 70 | 145,858 | |||||||||
Amadeus IT Group SA(3) | 1,252 | 79,252 | |||||||||
Amdocs Ltd. | 695 | 49,081 | |||||||||
Atos SE(3) | 856 | 65,496 | |||||||||
Capgemini SE | 967 | 140,020 | |||||||||
Capita plc(3) | 55,161 | 26,405 | |||||||||
Edenred | 1,868 | 101,405 | |||||||||
Endava plc, ADR(3) | 353 | 27,908 | |||||||||
GDS Holdings Ltd., ADR(3) | 3,021 | 312,855 | |||||||||
Hennge KK(3) | 200 | 15,510 | |||||||||
I3 Verticals, Inc., Class A(3) | 1,587 | 46,055 | |||||||||
Indra Sistemas SA(3) | 6,087 | 53,649 | |||||||||
Mastercard, Inc., Class A | 901 | 284,977 | |||||||||
NEXTDC Ltd.(3) | 3,722 | 32,811 | |||||||||
Nihon Unisys Ltd. | 800 | 30,215 | |||||||||
Nuvei Corp.(3) | 886 | 46,515 | |||||||||
PayPal Holdings, Inc.(3) | 1,506 | 352,871 | |||||||||
Perficient, Inc.(3) | 432 | 23,592 | |||||||||
Repay Holdings Corp.(3) | 1,895 | 41,974 | |||||||||
Square, Inc., Class A(3) | 1,089 | 235,181 | |||||||||
Twilio, Inc., Class A(3) | 1,017 | 365,540 | |||||||||
Visa, Inc., Class A | 1,485 | 286,976 | |||||||||
2,995,663 | |||||||||||
Leisure Products — 0.1% | |||||||||||
BRP, Inc. | 393 | 25,868 | |||||||||
Brunswick Corp. | 458 | 39,599 | |||||||||
Callaway Golf Co. | 1,473 | 41,082 | |||||||||
Games Workshop Group plc | 198 | 27,975 |
16
Shares/Principal Amount | Value | ||||||||||
Peloton Interactive, Inc., Class A(3) | 586 | $ | 85,632 | ||||||||
Polaris, Inc. | 1,240 | 144,671 | |||||||||
364,827 | |||||||||||
Life Sciences Tools and Services — 0.3% | |||||||||||
Agilent Technologies, Inc. | 1,647 | 197,920 | |||||||||
Lonza Group AG | 190 | 121,541 | |||||||||
Mettler-Toledo International, Inc.(3) | 192 | 224,275 | |||||||||
NeoGenomics, Inc.(3) | 824 | 43,689 | |||||||||
PRA Health Sciences, Inc.(3) | 347 | 42,764 | |||||||||
Repligen Corp.(3) | 513 | 102,600 | |||||||||
Seer, Inc.(3) | 214 | 13,354 | |||||||||
Tecan Group AG | 28 | 13,576 | |||||||||
Thermo Fisher Scientific, Inc. | 572 | 291,548 | |||||||||
1,051,267 | |||||||||||
Machinery — 0.6% | |||||||||||
AGCO Corp. | 346 | 38,371 | |||||||||
CKD Corp. | 1,200 | 27,322 | |||||||||
Crane Co. | 1,768 | 133,802 | |||||||||
Cummins, Inc. | 1,458 | 341,784 | |||||||||
Evoqua Water Technologies Corp.(3) | 1,706 | 46,488 | |||||||||
FANUC Corp. | 400 | 105,043 | |||||||||
Graco, Inc. | 1,468 | 101,204 | |||||||||
IHI Corp. | 1,100 | 19,335 | |||||||||
IMI plc | 15,618 | 266,223 | |||||||||
Japan Steel Works Ltd. (The) | 1,000 | 27,833 | |||||||||
Knorr-Bremse AG | 997 | 132,273 | |||||||||
Kornit Digital Ltd.(3) | 409 | 37,070 | |||||||||
Metso Outotec Oyj | 3,861 | 38,486 | |||||||||
Nabtesco Corp. | 700 | 31,470 | |||||||||
Oshkosh Corp. | 2,793 | 255,811 | |||||||||
PACCAR, Inc. | 2,099 | 191,471 | |||||||||
Parker-Hannifin Corp. | 1,660 | 439,253 | |||||||||
Rexnord Corp. | 1,889 | 71,518 | |||||||||
Techtronic Industries Co. Ltd. | 8,500 | 127,448 | |||||||||
Trelleborg AB, B Shares(3) | 1,360 | 30,825 | |||||||||
Weir Group plc (The)(3) | 1,216 | 31,527 | |||||||||
Westinghouse Air Brake Technologies Corp. | 826 | 61,297 | |||||||||
2,555,854 | |||||||||||
Media — 0.2% | |||||||||||
Atresmedia Corp. de Medios de Comunicacion SA(3) | 6,687 | 26,546 | |||||||||
Comcast Corp., Class A | 2,321 | 115,052 | |||||||||
Fox Corp., Class B | 9,787 | 292,533 | |||||||||
Future plc | 1,194 | 28,385 | |||||||||
Nippon Television Holdings, Inc. | 8,200 | 94,535 | |||||||||
Nordic Entertainment Group AB, B Shares(3) | 370 | 19,306 | |||||||||
ProSiebenSat.1 Media SE(3) | 773 | 14,023 | |||||||||
Publicis Groupe SA | 3,253 | 168,602 | |||||||||
TV Asahi Holdings Corp. | 2,316 | 44,724 | |||||||||
WPP plc | 19,531 | 203,883 | |||||||||
1,007,589 | |||||||||||
Metals and Mining† | |||||||||||
APERAM SA | 654 | 28,264 |
17
Shares/Principal Amount | Value | ||||||||||
Nickel Mines Ltd. | 12,281 | $ | 11,833 | ||||||||
OZ Minerals Ltd. | 2,120 | 30,047 | |||||||||
70,144 | |||||||||||
Mortgage Real Estate Investment Trusts (REITs)† | |||||||||||
PennyMac Mortgage Investment Trust | 4,537 | 78,263 | |||||||||
Multi-Utilities — 0.1% | |||||||||||
Ameren Corp. | 937 | 68,139 | |||||||||
NorthWestern Corp. | 6,156 | 335,317 | |||||||||
403,456 | |||||||||||
Multiline Retail — 0.1% | |||||||||||
Dollar Tree, Inc.(3) | 2,416 | 245,610 | |||||||||
Isetan Mitsukoshi Holdings Ltd. | 400 | 2,469 | |||||||||
Magazine Luiza SA | 20,692 | 95,000 | |||||||||
Ryohin Keikaku Co. Ltd. | 1,700 | 40,746 | |||||||||
Target Corp. | 576 | 104,354 | |||||||||
488,179 | |||||||||||
Oil, Gas and Consumable Fuels — 0.4% | |||||||||||
Cimarex Energy Co. | 3,679 | 155,180 | |||||||||
ConocoPhillips | 12,652 | 506,460 | |||||||||
Eni SpA | 14,549 | 146,865 | |||||||||
Gazprom PJSC, ADR | 8,741 | 48,409 | |||||||||
Gazprom PJSC | 28,515 | 80,411 | |||||||||
Neste Oyj | 2,084 | 147,245 | |||||||||
Parex Resources, Inc.(3) | 1,927 | 29,159 | |||||||||
PetroChina Co. Ltd., H Shares | 342,000 | 103,855 | |||||||||
Phillips 66 | 1,150 | 77,970 | |||||||||
Saras SpA(3) | 67,088 | 44,080 | |||||||||
Surgutneftegas PJSC, Preference Shares | 362,498 | 191,296 | |||||||||
TOTAL SE | 4,971 | 209,856 | |||||||||
1,740,786 | |||||||||||
Paper and Forest Products — 0.1% | |||||||||||
Louisiana-Pacific Corp. | 867 | 32,954 | |||||||||
Mondi plc | 14,405 | 340,481 | |||||||||
West Fraser Timber Co. Ltd.(4) | 739 | 47,354 | |||||||||
420,789 | |||||||||||
Personal Products — 0.1% | |||||||||||
Estee Lauder Cos., Inc. (The), Class A | 465 | 110,042 | |||||||||
Jamieson Wellness, Inc. | 481 | 13,485 | |||||||||
Ontex Group NV(3) | 3,150 | 35,757 | |||||||||
Shiseido Co. Ltd. | 2,700 | 177,181 | |||||||||
336,465 | |||||||||||
Pharmaceuticals — 0.5% | |||||||||||
ALK-Abello A/S(3) | 80 | 31,243 | |||||||||
Arvinas, Inc.(3) | 245 | 18,483 | |||||||||
Axsome Therapeutics, Inc.(3) | 291 | 19,814 | |||||||||
Bristol-Myers Squibb Co. | 3,280 | 201,490 | |||||||||
Dermapharm Holding SE | 208 | 14,651 | |||||||||
GlaxoSmithKline plc | 17,345 | 322,220 | |||||||||
Harmony Biosciences Holdings, Inc.(3) | 285 | 10,220 | |||||||||
Horizon Therapeutics plc(3) | 1,863 | 135,030 | |||||||||
Jazz Pharmaceuticals plc(3) | 774 | 120,357 |
18
Shares/Principal Amount | Value | ||||||||||
Laboratorios Farmaceuticos Rovi SA | 483 | $ | 23,773 | ||||||||
Merck & Co., Inc. | 3,031 | 233,599 | |||||||||
Novartis AG | 1,527 | 138,125 | |||||||||
Novo Nordisk A/S, B Shares | 2,924 | 203,381 | |||||||||
Reata Pharmaceuticals, Inc., Class A(3) | 78 | 8,080 | |||||||||
Sanofi | 1,106 | 103,913 | |||||||||
Sanofi, ADR | 4,500 | 212,445 | |||||||||
Takeda Pharmaceutical Co. Ltd. | 6,200 | 217,387 | |||||||||
Zoetis, Inc. | 762 | 117,539 | |||||||||
2,131,750 | |||||||||||
Professional Services — 0.2% | |||||||||||
ASGN, Inc.(3) | 407 | 33,744 | |||||||||
CoStar Group, Inc.(3) | 115 | 103,467 | |||||||||
DKSH Holding AG | 175 | 14,062 | |||||||||
en-japan, Inc. | 700 | 20,244 | |||||||||
IHS Markit Ltd. | 686 | 59,737 | |||||||||
IR Japan Holdings Ltd. | 100 | 16,736 | |||||||||
Korn Ferry | 1,048 | 47,789 | |||||||||
Randstad NV(3) | 486 | 30,313 | |||||||||
Recruit Holdings Co. Ltd. | 3,600 | 156,852 | |||||||||
Teleperformance | 329 | 107,880 | |||||||||
TransUnion | 1,138 | 99,052 | |||||||||
UT Group Co. Ltd.(3) | 400 | 12,339 | |||||||||
Verisk Analytics, Inc. | 685 | 125,698 | |||||||||
827,913 | |||||||||||
Real Estate Management and Development — 0.1% | |||||||||||
Altus Group Ltd. | 391 | 14,967 | |||||||||
Aroundtown SA | 10,602 | 73,750 | |||||||||
Colliers International Group, Inc. | 313 | 27,657 | |||||||||
Colliers International Group, Inc. (Toronto)(4) | 378 | 33,326 | |||||||||
ESR Cayman Ltd.(3) | 30,000 | 107,055 | |||||||||
Fastighets AB Balder, B Shares(3) | 482 | 24,111 | |||||||||
FirstService Corp. | 269 | 36,746 | |||||||||
IWG plc(3) | 4,751 | 20,300 | |||||||||
Redfin Corp.(3) | 799 | 56,897 | |||||||||
Samhallsbyggnadsbolaget i Norden AB(4) | 21,121 | 69,316 | |||||||||
Tricon Residential, Inc.(4) | 4,868 | 46,443 | |||||||||
VGP NV | 458 | 75,107 | |||||||||
585,675 | |||||||||||
Road and Rail — 0.2% | |||||||||||
Heartland Express, Inc. | 10,253 | 192,449 | |||||||||
Norfolk Southern Corp. | 1,156 | 273,533 | |||||||||
Sixt SE(3) | 118 | 13,779 | |||||||||
TFI International, Inc. | 654 | 43,441 | |||||||||
Union Pacific Corp. | 634 | 125,196 | |||||||||
648,398 | |||||||||||
Semiconductors and Semiconductor Equipment — 0.8% | |||||||||||
Advanced Micro Devices, Inc.(3) | 2,662 | 227,974 | |||||||||
Allegro MicroSystems, Inc.(3) | 734 | 20,493 | |||||||||
Applied Materials, Inc. | 3,774 | 364,870 | |||||||||
ASM International NV | 55 | 14,079 | |||||||||
ASML Holding NV | 389 | 207,113 |
19
Shares/Principal Amount | Value | ||||||||||
BE Semiconductor Industries NV | 359 | $ | 24,645 | ||||||||
Broadcom, Inc. | 374 | 168,487 | |||||||||
Entegris, Inc. | 184 | 18,104 | |||||||||
Infineon Technologies AG | 4,828 | 194,171 | |||||||||
MACOM Technology Solutions Holdings, Inc.(3) | 904 | 51,402 | |||||||||
Marvell Technology Group Ltd. | 4,199 | 216,081 | |||||||||
Maxim Integrated Products, Inc. | 953 | 83,588 | |||||||||
MKS Instruments, Inc. | 173 | 27,346 | |||||||||
Nova Measuring Instruments Ltd.(3) | 442 | 30,777 | |||||||||
NVIDIA Corp. | 653 | 339,292 | |||||||||
Onto Innovation, Inc.(3) | 527 | 28,484 | |||||||||
PDF Solutions, Inc.(3) | 74 | 1,430 | |||||||||
Power Integrations, Inc. | 648 | 52,196 | |||||||||
Semtech Corp.(3) | 871 | 61,798 | |||||||||
Skyworks Solutions, Inc. | 1,499 | 253,706 | |||||||||
SOITEC(3) | 191 | 38,442 | |||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 12,000 | 253,378 | |||||||||
Teradyne, Inc. | 1,855 | 210,505 | |||||||||
Texas Instruments, Inc. | 1,176 | 194,852 | |||||||||
Veeco Instruments, Inc.(3) | 1,116 | 20,601 | |||||||||
Xilinx, Inc. | 1,053 | 137,490 | |||||||||
3,241,304 | |||||||||||
Software — 1.1% | |||||||||||
Adobe, Inc.(3) | 376 | 172,498 | |||||||||
Atlassian Corp. plc, Class A(3) | 565 | 130,588 | |||||||||
Cadence Design Systems, Inc.(3) | 3,016 | 393,256 | |||||||||
CDK Global, Inc. | 574 | 28,643 | |||||||||
Coupa Software, Inc.(3) | 656 | 203,275 | |||||||||
Dassault Systemes SE | 464 | 92,766 | |||||||||
Descartes Systems Group, Inc. (The)(3) | 258 | 15,733 | |||||||||
DocuSign, Inc.(3) | 715 | 166,516 | |||||||||
Envestnet, Inc.(3) | 1,576 | 120,926 | |||||||||
Everbridge, Inc.(3) | 250 | 33,233 | |||||||||
Five9, Inc.(3) | 261 | 43,391 | |||||||||
fuboTV, Inc.(3)(4) | 441 | 18,632 | |||||||||
HubSpot, Inc.(3) | 573 | 213,271 | |||||||||
Kinaxis, Inc.(3) | 72 | 9,995 | |||||||||
LINK Mobility Group Holding ASA(3) | 1,646 | 9,475 | |||||||||
Manhattan Associates, Inc.(3) | 2,424 | 274,470 | |||||||||
Microsoft Corp. | 6,658 | 1,544,390 | |||||||||
Model N, Inc.(3) | 315 | 10,704 | |||||||||
nCino, Inc.(3) | 585 | 41,944 | |||||||||
Netcompany Group A/S(3) | 104 | 9,724 | |||||||||
Open Text Corp. | 3,976 | 178,085 | |||||||||
Palo Alto Networks, Inc.(3) | 828 | 290,421 | |||||||||
Paylocity Holding Corp.(3) | 167 | 31,306 | |||||||||
Rakus Co. Ltd. | 300 | 5,359 | |||||||||
RealPage, Inc.(3) | 508 | 43,978 | |||||||||
RingCentral, Inc., Class A(3) | 666 | 248,365 | |||||||||
SailPoint Technologies Holdings, Inc.(3) | 957 | 52,932 | |||||||||
salesforce.com, Inc.(3) | 781 | 176,162 | |||||||||
Sinch AB(3) | 122 | 17,975 |
20
Shares/Principal Amount | Value | ||||||||||
Splunk, Inc.(3) | 1,099 | $ | 181,368 | ||||||||
TeamViewer AG(3) | 267 | 13,847 | |||||||||
4,773,228 | |||||||||||
Specialty Retail — 0.5% | |||||||||||
Advance Auto Parts, Inc. | 2,578 | 384,483 | |||||||||
American Eagle Outfitters, Inc. | 1,079 | 24,483 | |||||||||
Arko Corp.(3) | 1,570 | 14,522 | |||||||||
Burlington Stores, Inc.(3) | 843 | 209,823 | |||||||||
Carvana Co.(3) | 275 | 71,827 | |||||||||
Five Below, Inc.(3) | 696 | 122,308 | |||||||||
Home Depot, Inc. (The) | 1,466 | 397,022 | |||||||||
JD Sports Fashion plc(3) | 1,282 | 13,101 | |||||||||
Kingfisher plc(3) | 35,761 | 135,910 | |||||||||
Leslie's, Inc.(3) | 708 | 20,249 | |||||||||
Lithia Motors, Inc., Class A | 618 | 196,944 | |||||||||
Michaels Cos., Inc. (The)(3)(4) | 1,669 | 25,869 | |||||||||
Musti Group Oyj(3) | 229 | 7,160 | |||||||||
National Vision Holdings, Inc.(3) | 592 | 27,451 | |||||||||
Nextage Co. Ltd. | 200 | 2,836 | |||||||||
Pets at Home Group plc | 5,186 | 28,503 | |||||||||
TJX Cos., Inc. (The) | 3,551 | 227,406 | |||||||||
Watches of Switzerland Group plc(3) | 1,924 | 16,842 | |||||||||
WH Smith plc(3) | 1,063 | 22,250 | |||||||||
1,948,989 | |||||||||||
Technology Hardware, Storage and Peripherals — 0.4% | |||||||||||
Apple, Inc. | 10,718 | 1,414,347 | |||||||||
HP, Inc. | 12,797 | 311,479 | |||||||||
1,725,826 | |||||||||||
Textiles, Apparel and Luxury Goods — 0.3% | |||||||||||
ANTA Sports Products Ltd. | 6,000 | 99,970 | |||||||||
Asics Corp. | 200 | 3,519 | |||||||||
Canada Goose Holdings, Inc.(3)(4) | 371 | 12,409 | |||||||||
Capri Holdings Ltd.(3) | 898 | 37,411 | |||||||||
Crocs, Inc.(3) | 898 | 62,878 | |||||||||
Dr. Martens plc(3) | 2,286 | 14,095 | |||||||||
lululemon athletica, Inc.(3) | 527 | 173,214 | |||||||||
LVMH Moet Hennessy Louis Vuitton SE | 216 | 130,419 | |||||||||
NIKE, Inc., Class B | 2,228 | 297,638 | |||||||||
Pandora A/S | 172 | 16,589 | |||||||||
Puma SE(3) | 1,154 | 113,080 | |||||||||
VF Corp. | 1,341 | 103,083 | |||||||||
1,064,305 | |||||||||||
Thrifts and Mortgage Finance† | |||||||||||
Capitol Federal Financial, Inc. | 10,101 | 125,454 | |||||||||
NMI Holdings, Inc., Class A(3) | 1,109 | 23,522 | |||||||||
148,976 | |||||||||||
Trading Companies and Distributors — 0.2% | |||||||||||
AddTech AB, B Shares | 1,052 | 13,978 | |||||||||
Applied Industrial Technologies, Inc. | 627 | 44,135 | |||||||||
Ashtead Group plc | 1,769 | 89,397 | |||||||||
Diploma plc | 1,001 | 31,761 | |||||||||
Electrocomponents plc | 3,375 | 40,527 |
21
Shares/Principal Amount | Value | ||||||||||
Grafton Group plc | 679 | $ | 8,036 | ||||||||
Howden Joinery Group plc(3) | 2,479 | 22,785 | |||||||||
MSC Industrial Direct Co., Inc., Class A | 3,626 | 281,269 | |||||||||
Seven Group Holdings Ltd.(4) | 2,587 | 44,006 | |||||||||
W.W. Grainger, Inc. | 323 | 117,698 | |||||||||
Yamazen Corp. | 2,500 | 23,556 | |||||||||
717,148 | |||||||||||
Wireless Telecommunication Services — 0.1% | |||||||||||
Rogers Communications, Inc., Class B | 5,130 | 231,517 | |||||||||
TOTAL COMMON STOCKS (Cost $58,307,566) | 83,559,726 | ||||||||||
SOVEREIGN GOVERNMENTS AND AGENCIES — 7.0% | |||||||||||
Australia — 0.6% | |||||||||||
Australia Government Bond, 2.75%, 4/21/24 | AUD | 1,012,000 | 839,121 | ||||||||
Australia Government Bond, 3.00%, 3/21/47 | AUD | 1,655,000 | 1,506,821 | ||||||||
New South Wales Treasury Corp., 3.00%, 3/20/28 | AUD | 285,000 | 249,917 | ||||||||
2,595,859 | |||||||||||
Austria — 0.1% | |||||||||||
Republic of Austria Government Bond, 3.40%, 11/22/22(5) | EUR | 126,000 | 164,318 | ||||||||
Republic of Austria Government Bond, 0.75%, 10/20/26(5) | EUR | 140,000 | 183,377 | ||||||||
Republic of Austria Government Bond, 4.15%, 3/15/37(5) | EUR | 101,000 | 208,155 | ||||||||
555,850 | |||||||||||
Belgium† | |||||||||||
Kingdom of Belgium Government Bond, 4.25%, 3/28/41(5) | EUR | 47,000 | 102,707 | ||||||||
Canada — 0.4% | |||||||||||
Province of British Columbia Canada, 3.25%, 12/18/21 | CAD | 302,000 | 242,719 | ||||||||
Province of British Columbia Canada, 2.85%, 6/18/25 | CAD | 684,000 | 587,398 | ||||||||
Province of Quebec Canada, 3.00%, 9/1/23 | CAD | 460,000 | 384,922 | ||||||||
Province of Quebec Canada, 5.75%, 12/1/36 | CAD | 325,000 | 387,100 | ||||||||
Province of Quebec Canada, 5.00%, 12/1/41 | CAD | 33,000 | 38,251 | ||||||||
Province of Quebec Canada, 3.50%, 12/1/48 | CAD | 102,000 | 100,627 | ||||||||
1,741,017 | |||||||||||
China — 1.4% | |||||||||||
China Government Bond, 2.64%, 8/13/22 | CNY | 18,500,000 | 2,859,381 | ||||||||
China Government Bond, 3.25%, 6/6/26 | CNY | 550,000 | 86,217 | ||||||||
China Government Bond, 3.29%, 5/23/29 | CNY | 400,000 | 62,448 | ||||||||
China Government Bond, 3.39%, 3/16/50 | CNY | 18,340,000 | 2,651,278 | ||||||||
5,659,324 | |||||||||||
Colombia† | |||||||||||
Colombia Government International Bond, 7.375%, 9/18/37 | $ | 100,000 | 140,250 | ||||||||
Czech Republic† | |||||||||||
Czech Republic Government Bond, 4.70%, 9/12/22 | CZK | 2,100,000 | 105,045 | ||||||||
Denmark† | |||||||||||
Denmark Government Bond, 0.50%, 11/15/27 | DKK | 517,000 | 90,218 | ||||||||
Denmark Government Bond, 4.50%, 11/15/39 | DKK | 260,000 | 79,611 | ||||||||
169,829 | |||||||||||
Finland — 0.6% | |||||||||||
Finland Government Bond, 4.00%, 7/4/25(5) | EUR | 173,000 | 254,321 | ||||||||
Finland Government Bond, 0.125%, 4/15/36(5) | EUR | 1,750,000 | 2,197,422 | ||||||||
2,451,743 | |||||||||||
France — 0.4% | |||||||||||
French Republic Government Bond OAT, 2.50%, 5/25/30 | EUR | 1,170,000 | 1,802,790 |
22
Shares/Principal Amount | Value | ||||||||||
Indonesia — 0.1% | |||||||||||
Indonesia Treasury Bond, 8.375%, 9/15/26 | IDR | 3,000,000,000 | $ | 242,353 | |||||||
Ireland — 0.1% | |||||||||||
Ireland Government Bond, 3.40%, 3/18/24 | EUR | 196,000 | 268,309 | ||||||||
Italy — 0.4% | |||||||||||
Italy Buoni Poliennali Del Tesoro, 1.50%, 6/1/25 | EUR | 263,000 | 340,328 | ||||||||
Italy Buoni Poliennali Del Tesoro, 2.00%, 12/1/25 | EUR | 971,000 | 1,290,666 | ||||||||
1,630,994 | |||||||||||
Japan — 1.9% | |||||||||||
Japan Government Ten Year Bond, 0.80%, 6/20/23 | JPY | 31,500,000 | 307,329 | ||||||||
Japan Government Thirty Year Bond, 2.40%, 3/20/37 | JPY | 161,750,000 | 2,046,703 | ||||||||
Japan Government Thirty Year Bond, 2.00%, 9/20/41 | JPY | 154,250,000 | 1,910,899 | ||||||||
Japan Government Thirty Year Bond, 1.40%, 12/20/45 | JPY | 39,200,000 | 446,050 | ||||||||
Japan Government Twenty Year Bond, 2.10%, 12/20/26 | JPY | 313,550,000 | 3,381,606 | ||||||||
8,092,587 | |||||||||||
Malaysia — 0.1% | |||||||||||
Malaysia Government Bond, 3.96%, 9/15/25 | MYR | 785,000 | 210,138 | ||||||||
Mexico — 0.2% | |||||||||||
Mexican Bonos, 6.50%, 6/9/22 | MXN | 7,800,000 | 392,019 | ||||||||
Mexico Government International Bond, 4.15%, 3/28/27 | $ | 400,000 | 458,254 | ||||||||
850,273 | |||||||||||
Netherlands — 0.2% | |||||||||||
Netherlands Government Bond, 0.00%, 1/15/22(5)(6) | EUR | 95,000 | 116,019 | ||||||||
Netherlands Government Bond, 0.50%, 7/15/26(5) | EUR | 401,000 | 518,273 | ||||||||
Netherlands Government Bond, 2.75%, 1/15/47(5) | EUR | 63,000 | 133,948 | ||||||||
768,240 | |||||||||||
Norway — 0.1% | |||||||||||
Norway Government Bond, 2.00%, 5/24/23(5) | NOK | 360,000 | 43,601 | ||||||||
Norway Government Bond, 1.75%, 2/17/27(5) | NOK | 1,510,000 | 186,334 | ||||||||
229,935 | |||||||||||
Poland† | |||||||||||
Republic of Poland Government Bond, 4.00%, 10/25/23 | PLN | 650,000 | 193,367 | ||||||||
Russia† | |||||||||||
Russian Federal Bond - OFZ, 7.05%, 1/19/28 | RUB | 4,500,000 | 63,172 | ||||||||
Singapore — 0.1% | |||||||||||
Singapore Government Bond, 3.125%, 9/1/22 | SGD | 288,000 | 226,457 | ||||||||
Spain — 0.1% | |||||||||||
Spain Government Bond, 4.40%, 10/31/23(5) | EUR | 5,000 | 6,899 | ||||||||
Spain Government Bond, 1.60%, 4/30/25(5) | EUR | 164,000 | 216,540 | ||||||||
Spain Government Bond, 5.15%, 10/31/28(5) | EUR | 16,000 | 27,353 | ||||||||
Spain Government Bond, 5.15%, 10/31/44(5) | EUR | 30,000 | 70,953 | ||||||||
321,745 | |||||||||||
Switzerland — 0.1% | |||||||||||
Swiss Confederation Government Bond, 1.25%, 5/28/26 | CHF | 253,000 | 313,742 | ||||||||
Swiss Confederation Government Bond, 2.50%, 3/8/36 | CHF | 89,000 | 142,928 | ||||||||
456,670 | |||||||||||
Thailand — 0.1% | |||||||||||
Thailand Government Bond, 3.625%, 6/16/23 | THB | 3,450,000 | 123,847 | ||||||||
Thailand Government Bond, 3.85%, 12/12/25 | THB | 9,350,000 | 359,475 | ||||||||
483,322 | |||||||||||
TOTAL SOVEREIGN GOVERNMENTS AND AGENCIES (Cost $26,464,612) | 29,361,976 |
23
Shares/Principal Amount | Value | ||||||||||
CORPORATE BONDS —6.2% | |||||||||||
Aerospace and Defense — 0.1% | |||||||||||
Bombardier, Inc., 8.75%, 12/1/21(5) | $ | 25,000 | $ | 26,229 | |||||||
Howmet Aerospace, Inc., 5.125%, 10/1/24 | 50,000 | 55,068 | |||||||||
Raytheon Technologies Corp., 5.70%, 4/15/40 | 75,000 | 106,481 | |||||||||
TransDigm, Inc., 4.625%, 1/15/29(5) | 234,000 | 232,685 | |||||||||
420,463 | |||||||||||
Airlines† | |||||||||||
United Airlines Holdings, Inc., 5.00%, 2/1/24 | 45,000 | 44,479 | |||||||||
Automobiles — 0.2% | |||||||||||
BMW Finance NV, MTN, 1.00%, 2/15/22 | EUR | 40,000 | 49,203 | ||||||||
BMW Finance NV, MTN, 0.875%, 4/3/25 | EUR | 50,000 | 63,188 | ||||||||
Ford Motor Credit Co. LLC, 5.875%, 8/2/21 | $ | 240,000 | 244,800 | ||||||||
General Motors Co., 5.15%, 4/1/38 | 100,000 | 121,056 | |||||||||
General Motors Financial Co., Inc., 3.20%, 7/6/21 | 190,000 | 191,735 | |||||||||
669,982 | |||||||||||
Banks — 1.1% | |||||||||||
Akbank T.A.S., 5.00%, 10/24/22 | 50,000 | 50,958 | |||||||||
Avi Funding Co. Ltd., 3.80%, 9/16/25(5) | 102,000 | 114,126 | |||||||||
Banco Santander SA, MTN, 2.50%, 3/18/25 | EUR | 200,000 | 262,588 | ||||||||
Bank of America Corp., MTN, 2.30%, 7/25/25 | GBP | 100,000 | 147,537 | ||||||||
Barclays plc, MTN, VRN, 2.00%, 2/7/28 | EUR | 200,000 | 248,188 | ||||||||
BPCE SA, VRN, 2.75%, 7/8/26 | EUR | 100,000 | 122,788 | ||||||||
CaixaBank SA, MTN, VRN, 2.75%, 7/14/28 | EUR | 100,000 | 126,802 | ||||||||
CaixaBank SA, MTN, VRN, 2.25%, 4/17/30 | EUR | 100,000 | 127,094 | ||||||||
Citigroup, Inc., VRN, 3.52%, 10/27/28 | $ | 210,000 | 235,830 | ||||||||
Co-Operative Bank plc (The), 4.75%, 11/11/21 (Secured) | GBP | 200,000 | 282,465 | ||||||||
Commerzbank AG, MTN, 4.00%, 3/23/26 | EUR | 120,000 | 162,655 | ||||||||
Cooperatieve Rabobank UA, VRN, 2.50%, 5/26/26 | EUR | 100,000 | 122,333 | ||||||||
Credit Agricole SA, MTN, 7.375%, 12/18/23 | GBP | 100,000 | 162,659 | ||||||||
European Financial Stability Facility, MTN, 2.125%, 2/19/24 | EUR | 351,000 | 462,214 | ||||||||
European Financial Stability Facility, MTN, 0.40%, 5/31/26 | EUR | 400,000 | 510,427 | ||||||||
European Financial Stability Facility, MTN, 2.35%, 7/29/44 | EUR | 62,000 | 114,688 | ||||||||
HSBC Bank plc, MTN, VRN, 5.375%, 11/4/30 | GBP | 90,000 | 148,002 | ||||||||
ING Groep NV, MTN, 2.125%, 1/10/26 | EUR | 300,000 | 400,820 | ||||||||
Intercorp Financial Services, Inc., 4.125%, 10/19/27(5) | $ | 125,000 | 134,654 | ||||||||
Kreditanstalt fuer Wiederaufbau, 4.625%, 1/4/23 | EUR | 250,000 | 334,890 | ||||||||
Lloyds Bank plc, MTN, 7.625%, 4/22/25 | GBP | 80,000 | 138,724 | ||||||||
Santander UK plc, MTN, 5.125%, 4/14/21 | GBP | 100,000 | 138,376 | ||||||||
Wells Fargo & Co., 4.125%, 8/15/23 | $ | 100,000 | 108,871 | ||||||||
Woori Bank, MTN, 4.75%, 4/30/24 | 61,000 | 67,740 | |||||||||
4,725,429 | |||||||||||
Beverages — 0.1% | |||||||||||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc., 4.90%, 2/1/46 | 180,000 | 226,224 | |||||||||
Biotechnology — 0.1% | |||||||||||
AbbVie, Inc., 4.55%, 3/15/35 | 80,000 | 99,078 | |||||||||
AbbVie, Inc., 4.40%, 11/6/42 | 130,000 | 159,858 | |||||||||
Gilead Sciences, Inc., 3.65%, 3/1/26 | 230,000 | 259,381 | |||||||||
518,317 | |||||||||||
Capital Markets — 0.2% | |||||||||||
Credit Suisse Group AG, VRN, 2.125%, 9/12/25 | GBP | 100,000 | 143,114 |
24
Shares/Principal Amount | Value | ||||||||||
Criteria Caixa SA, MTN, 1.50%, 5/10/23 | EUR | 100,000 | $ | 125,480 | |||||||
Goldman Sachs Group, Inc. (The), 5.50%, 10/12/21 | GBP | 50,000 | 70,929 | ||||||||
Goldman Sachs Group, Inc. (The), 3.50%, 11/16/26 | $ | 175,000 | 194,868 | ||||||||
MDGH - GMTN B.V., 3.25%, 4/28/22(5) | 41,000 | 42,432 | |||||||||
SURA Asset Management SA, 4.375%, 4/11/27 | 40,000 | 45,093 | |||||||||
621,916 | |||||||||||
Chemicals† | |||||||||||
Equate Petrochemical BV, 4.25%, 11/3/26(5) | 34,000 | 37,649 | |||||||||
Tronox Finance plc, 5.75%, 10/1/25(5) | 10,000 | 10,275 | |||||||||
47,924 | |||||||||||
Consumer Finance — 0.2% | |||||||||||
Capital One Financial Corp., 3.80%, 1/31/28 | 190,000 | 216,708 | |||||||||
Navient Corp., 4.875%, 3/15/28(7) | 540,000 | 535,950 | |||||||||
752,658 | |||||||||||
Containers and Packaging† | |||||||||||
Mauser Packaging Solutions Holding Co., 5.50%, 4/15/24(5) | 10,000 | 10,135 | |||||||||
Sealed Air Corp., 5.125%, 12/1/24(5) | 25,000 | 27,683 | |||||||||
37,818 | |||||||||||
Diversified Financial Services — 1.1% | |||||||||||
Fiore Capital LLC, VRDN, 0.18%, 2/4/21 (LOC: Wells Fargo Bank N.A.) | 1,500,000 | 1,500,000 | |||||||||
Gulf Gate Apartments LLC, VRN, 0.12%, (Acquired 9/29/03 - 11/10/03, Cost $3,000,000), 9/1/28(8) | 3,000,000 | 3,000,000 | |||||||||
4,500,000 | |||||||||||
Diversified Telecommunication Services — 0.4% | |||||||||||
Altice France SA, 7.375%, 5/1/26(5) | 35,000 | 36,652 | |||||||||
AT&T, Inc., 2.60%, 12/17/29 | EUR | 100,000 | 142,777 | ||||||||
AT&T, Inc., 3.55%, 9/15/55(5) | $ | 62,000 | 59,459 | ||||||||
AT&T, Inc., 3.80%, 12/1/57(5) | 199,000 | 199,287 | |||||||||
Deutsche Telekom International Finance BV, MTN, 1.25%, 10/6/23 | GBP | 50,000 | 70,210 | ||||||||
Deutsche Telekom International Finance BV, MTN, 0.875%, 1/30/24 | EUR | 40,000 | 50,113 | ||||||||
Hughes Satellite Systems Corp., 5.25%, 8/1/26 | $ | 25,000 | 27,798 | ||||||||
Level 3 Financing, Inc., 3.625%, 1/15/29(5) | 240,000 | 239,253 | |||||||||
Lumen Technologies, Inc., 5.80%, 3/15/22 | 5,000 | 5,231 | |||||||||
Ooredoo International Finance Ltd., 3.75%, 6/22/26(5) | 61,000 | 68,167 | |||||||||
Telefonica Europe BV, VRN, 5.875%, 3/31/24 | EUR | 100,000 | 136,141 | ||||||||
Turk Telekomunikasyon AS, 4.875%, 6/19/24(5) | $ | 80,000 | 83,247 | ||||||||
Verizon Communications, Inc., 4.40%, 11/1/34 | 285,000 | 348,822 | |||||||||
1,467,157 | |||||||||||
Electric Utilities — 0.2% | |||||||||||
Berkshire Hathaway Energy Co., 3.50%, 2/1/25 | 80,000 | 87,986 | |||||||||
Berkshire Hathaway Energy Co., 3.80%, 7/15/48 | 70,000 | 80,821 | |||||||||
Duke Energy Carolinas LLC, 3.20%, 8/15/49 | 190,000 | 207,119 | |||||||||
Duke Energy Florida LLC, 3.85%, 11/15/42 | 80,000 | 93,216 | |||||||||
Duke Energy Progress LLC, 4.15%, 12/1/44 | 9,000 | 11,125 | |||||||||
Exelon Corp., 4.45%, 4/15/46 | 30,000 | 36,913 | |||||||||
Greenko Investment Co., 4.875%, 8/16/23(5) | 41,000 | 41,965 | |||||||||
Israel Electric Corp. Ltd., 6.875%, 6/21/23(5) | 41,000 | 46,432 | |||||||||
MidAmerican Energy Co., 4.40%, 10/15/44 | 40,000 | 50,795 | |||||||||
NextEra Energy Operating Partners LP, 4.50%, 9/15/27(5) | 50,000 | 55,625 |
25
Shares/Principal Amount | Value | ||||||||||
Southern Co. Gas Capital Corp., 3.95%, 10/1/46 | $ | 30,000 | $ | 34,298 | |||||||
SSE plc, VRN, 2.375%, 4/1/21 | EUR | 100,000 | 121,819 | ||||||||
868,114 | |||||||||||
Equity Real Estate Investment Trusts (REITs)† | |||||||||||
Equinix, Inc., 5.375%, 5/15/27 | $ | 20,000 | 21,714 | ||||||||
GLP Capital LP / GLP Financing II, Inc., 5.375%, 11/1/23 | 20,000 | 21,876 | |||||||||
Iron Mountain, Inc., 4.875%, 9/15/27(5) | 20,000 | 20,958 | |||||||||
Kilroy Realty LP, 3.80%, 1/15/23 | 100,000 | 104,908 | |||||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 5.625%, 5/1/24 | 20,000 | 21,493 | |||||||||
190,949 | |||||||||||
Food and Staples Retailing† | |||||||||||
Kroger Co. (The), 3.875%, 10/15/46 | 50,000 | 57,196 | |||||||||
Tesco plc, MTN, 5.00%, 3/24/23 | GBP | 50,000 | 75,108 | ||||||||
132,304 | |||||||||||
Food Products — 0.2% | |||||||||||
B&G Foods, Inc., 5.25%, 4/1/25 | $ | 20,000 | 20,560 | ||||||||
JBS USA LUX SA / JBS USA Finance, Inc., 5.75%, 6/15/25(5) | 30,000 | 30,971 | |||||||||
Lamb Weston Holdings, Inc., 4.625%, 11/1/24(5) | 70,000 | 73,101 | |||||||||
MHP SE, 7.75%, 5/10/24(5) | 51,000 | 55,858 | |||||||||
Minerva Luxembourg SA, 5.875%, 1/19/28(5) | 30,000 | 31,978 | |||||||||
Pilgrim's Pride Corp., 5.75%, 3/15/25(5) | 70,000 | 71,670 | |||||||||
Post Holdings, Inc., 5.00%, 8/15/26(5) | 40,000 | 41,331 | |||||||||
Post Holdings, Inc., 4.625%, 4/15/30(5) | 420,000 | 435,842 | |||||||||
761,311 | |||||||||||
Gas Utilities† | |||||||||||
Perusahaan Gas Negara Tbk PT, 5.125%, 5/16/24 | 82,000 | 90,308 | |||||||||
Health Care Providers and Services — 0.3% | |||||||||||
CHS / Community Health Systems, Inc., 8.00%, 12/15/27(5) | 14,000 | 15,269 | |||||||||
CHS / Community Health Systems, Inc., 6.875%, 4/1/28(5) | 35,000 | 31,872 | |||||||||
CVS Health Corp., 4.30%, 3/25/28 | 74,000 | 86,983 | |||||||||
CVS Health Corp., 4.78%, 3/25/38 | 60,000 | 74,311 | |||||||||
DaVita, Inc., 4.625%, 6/1/30(5) | 370,000 | 388,850 | |||||||||
Team Health Holdings, Inc., 6.375%, 2/1/25(5) | 10,000 | 9,050 | |||||||||
Tenet Healthcare Corp., 6.75%, 6/15/23 | 40,000 | 43,440 | |||||||||
Tenet Healthcare Corp., 5.125%, 5/1/25 | 50,000 | 50,719 | |||||||||
Tenet Healthcare Corp., 6.125%, 10/1/28(5) | 450,000 | 470,862 | |||||||||
1,171,356 | |||||||||||
Hotels, Restaurants and Leisure — 0.1% | |||||||||||
1011778 BC ULC / New Red Finance, Inc., 4.375%, 1/15/28(5) | 168,000 | 171,644 | |||||||||
Boyd Gaming Corp., 6.375%, 4/1/26 | 25,000 | 25,956 | |||||||||
Golden Nugget, Inc., 6.75%, 10/15/24(5) | 30,000 | 30,107 | |||||||||
Hilton Domestic Operating Co., Inc., 3.625%, 2/15/32(5)(7) | 207,000 | 205,088 | |||||||||
McDonald's Corp., MTN, 4.70%, 12/9/35 | 40,000 | 51,238 | |||||||||
MGM Resorts International, 6.00%, 3/15/23 | 30,000 | 32,063 | |||||||||
MGM Resorts International, 4.625%, 9/1/26 | 8,000 | 8,355 | |||||||||
Penn National Gaming, Inc., 5.625%, 1/15/27(5) | 35,000 | 36,867 | |||||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.50%, 3/1/25(5) | 55,000 | 56,734 | |||||||||
618,052 | |||||||||||
Household Durables — 0.1% | |||||||||||
KB Home, 4.80%, 11/15/29 | 280,000 | 308,934 |
26
Shares/Principal Amount | Value | ||||||||||
Meritage Homes Corp., 5.125%, 6/6/27 | $ | 40,000 | $ | 45,040 | |||||||
Toll Brothers Finance Corp., 4.35%, 2/15/28 | 80,000 | 89,085 | |||||||||
443,059 | |||||||||||
Industrial Conglomerates — 0.1% | |||||||||||
General Electric Co., 4.35%, 5/1/50 | 330,000 | 381,820 | |||||||||
Insurance — 0.1% | |||||||||||
AXA SA, MTN, VRN, 3.375%, 7/6/47 | EUR | 200,000 | 280,081 | ||||||||
Interactive Media and Services† | |||||||||||
Tencent Holdings Ltd., 3.80%, 2/11/25(5) | $ | 61,000 | 66,785 | ||||||||
Internet and Direct Marketing Retail† | |||||||||||
Alibaba Group Holding Ltd., 2.80%, 6/6/23 | 140,000 | 146,586 | |||||||||
IT Services† | |||||||||||
International Business Machines Corp., 1.75%, 3/7/28 | EUR | 100,000 | 135,893 | ||||||||
Media — 0.4% | |||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.125%, 5/1/27(5) | $ | 30,000 | 31,584 | ||||||||
CCO Holdings LLC / CCO Holdings Capital Corp., 4.25%, 2/1/31(5) | 380,000 | 389,861 | |||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 6.48%, 10/23/45 | 20,000 | 27,394 | |||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 4.80%, 3/1/50 | 180,000 | 205,146 | |||||||||
CSC Holdings LLC, 5.50%, 5/15/26(5) | 25,000 | 25,961 | |||||||||
DISH DBS Corp., 6.75%, 6/1/21 | 25,000 | 25,408 | |||||||||
Gray Television, Inc., 5.875%, 7/15/26(5) | 40,000 | 41,575 | |||||||||
Lamar Media Corp., 3.75%, 2/15/28 | 400,000 | 406,634 | |||||||||
TEGNA, Inc., 5.50%, 9/15/24(5) | 13,000 | 13,248 | |||||||||
TEGNA, Inc., 4.625%, 3/15/28(5) | 375,000 | 380,340 | |||||||||
WPP Finance 2013, MTN, 3.00%, 11/20/23 | EUR | 100,000 | 132,132 | ||||||||
1,679,283 | |||||||||||
Metals and Mining — 0.1% | |||||||||||
Alcoa Nederland Holding BV, 6.75%, 9/30/24(5) | $ | 20,000 | 20,787 | ||||||||
First Quantum Minerals Ltd., 7.25%, 4/1/23 | 50,000 | 51,145 | |||||||||
First Quantum Minerals Ltd., 6.50%, 3/1/24(5) | 110,000 | 112,521 | |||||||||
Nexa Resources SA, 5.375%, 5/4/27 | 92,000 | 100,901 | |||||||||
Teck Resources Ltd., 6.25%, 7/15/41 | 180,000 | 230,164 | |||||||||
Vedanta Resources Ltd., 6.125%, 8/9/24(5) | 87,000 | 65,902 | |||||||||
581,420 | |||||||||||
Multi-Utilities — 0.1% | |||||||||||
Abu Dhabi National Energy Co. PJSC, 5.875%, 12/13/21(5) | 82,000 | 86,013 | |||||||||
Abu Dhabi National Energy Co. PJSC, 3.625%, 1/12/23(5) | 61,000 | 64,485 | |||||||||
Centrica plc, VRN, 5.25%, 4/10/75 | GBP | 100,000 | 149,159 | ||||||||
Dominion Energy, Inc., 4.90%, 8/1/41 | $ | 70,000 | 89,618 | ||||||||
NiSource, Inc., 5.65%, 2/1/45 | 70,000 | 98,216 | |||||||||
Sempra Energy, 3.25%, 6/15/27 | 80,000 | 89,076 | |||||||||
576,567 | |||||||||||
Oil, Gas and Consumable Fuels — 0.5% | |||||||||||
Antero Resources Corp., 7.625%, 2/1/29(5) | 153,000 | 156,682 | |||||||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 5.75%, 4/1/25 | 25,000 | 24,813 | |||||||||
Ecopetrol SA, 5.875%, 5/28/45 | 130,000 | 147,667 | |||||||||
Energy Transfer Operating LP, 3.60%, 2/1/23 | 14,000 | 14,642 |
27
Shares/Principal Amount | Value | ||||||||||
Enterprise Products Operating LLC, 4.85%, 3/15/44 | $ | 220,000 | $ | 267,364 | |||||||
Gazprom PJSC Via Gaz Capital SA, 6.51%, 3/7/22(5) | 56,000 | 59,326 | |||||||||
Gazprom PJSC Via Gaz Capital SA, 7.29%, 8/16/37(5) | 56,000 | 79,383 | |||||||||
Kinder Morgan Energy Partners LP, 6.50%, 9/1/39 | 200,000 | 260,643 | |||||||||
MEG Energy Corp., 6.50%, 1/15/25(5) | 21,000 | 21,658 | |||||||||
MEG Energy Corp., 5.875%, 2/1/29(5)(7) | 160,000 | 159,200 | |||||||||
MPLX LP, 4.875%, 6/1/25 | 30,000 | 34,456 | |||||||||
MPLX LP, 4.50%, 4/15/38 | 40,000 | 44,769 | |||||||||
MPLX LP, 5.20%, 3/1/47 | 20,000 | 23,830 | |||||||||
Ovintiv, Inc., 6.50%, 2/1/38 | 50,000 | 59,652 | |||||||||
Petroleos Mexicanos, 6.50%, 3/13/27 | 55,000 | 57,021 | |||||||||
QEP Resources, Inc., 5.375%, 10/1/22 | 50,000 | 51,969 | |||||||||
SM Energy Co., 5.00%, 1/15/24 | 25,000 | 23,250 | |||||||||
Southwestern Energy Co., 6.45%, 1/23/25 | 35,000 | 36,750 | |||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.25%, 11/15/23 | 45,000 | 45,338 | |||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.125%, 2/1/25 | 20,000 | 20,567 | |||||||||
TOTAL SE, MTN, VRN, 2.25%, 2/26/21 | EUR | 100,000 | 121,684 | ||||||||
Williams Cos., Inc. (The), 4.55%, 6/24/24 | $ | 170,000 | 189,577 | ||||||||
1,900,241 | |||||||||||
Pharmaceuticals† | |||||||||||
Bausch Health Cos., Inc., 6.125%, 4/15/25(5) | 85,000 | 87,173 | |||||||||
Real Estate Management and Development — 0.1% | |||||||||||
Howard Hughes Corp. (The), 4.375%, 2/1/31(5)(7) | 292,000 | 291,937 | |||||||||
Road and Rail — 0.1% | |||||||||||
Burlington Northern Santa Fe LLC, 4.95%, 9/15/41 | 90,000 | 120,992 | |||||||||
Burlington Northern Santa Fe LLC, 4.45%, 3/15/43 | 16,000 | 20,636 | |||||||||
Burlington Northern Santa Fe LLC, 4.15%, 4/1/45 | 40,000 | 49,797 | |||||||||
United Rentals North America, Inc., 5.50%, 5/15/27 | 15,000 | 16,057 | |||||||||
207,482 | |||||||||||
Specialty Retail — 0.1% | |||||||||||
Home Depot, Inc. (The), 3.35%, 4/15/50 | 130,000 | 146,060 | |||||||||
PetSmart, Inc., 5.875%, 6/1/25(5) | 10,000 | 10,319 | |||||||||
Suburban Propane Partners LP / Suburban Energy Finance Corp., 5.50%, 6/1/24 | 60,000 | 60,938 | |||||||||
217,317 | |||||||||||
Technology Hardware, Storage and Peripherals† | |||||||||||
Dell International LLC / EMC Corp., 7.125%, 6/15/24(5) | 70,000 | 72,772 | |||||||||
Western Digital Corp., 4.75%, 2/15/26 | 20,000 | 22,158 | |||||||||
94,930 | |||||||||||
Trading Companies and Distributors† | |||||||||||
Beacon Roofing Supply, Inc., 4.875%, 11/1/25(5) | 30,000 | 30,420 | |||||||||
Transportation Infrastructure† | |||||||||||
Rumo Luxembourg Sarl, 7.375%, 2/9/24 | 70,000 | 72,695 | |||||||||
Wireless Telecommunication Services — 0.2% | |||||||||||
C&W Senior Financing DAC, 6.875%, 9/15/27(5) | 97,000 | 103,451 | |||||||||
Millicom International Cellular SA, 5.125%, 1/15/28(5) | 102,000 | 107,909 | |||||||||
Sprint Corp., 7.25%, 9/15/21 | 85,000 | 87,911 | |||||||||
Sprint Corp., 7.875%, 9/15/23 | 35,000 | 40,469 | |||||||||
Sprint Corp., 7.125%, 6/15/24 | 70,000 | 81,711 | |||||||||
T-Mobile USA, Inc., 4.75%, 2/1/28 | 185,000 | 197,830 |
28
Shares/Principal Amount | Value | ||||||||||
T-Mobile USA, Inc., 2.625%, 2/15/29 | $ | 257,000 | $ | 258,254 | |||||||
877,535 | |||||||||||
TOTAL CORPORATE BONDS (Cost $24,642,499) | 25,935,985 | ||||||||||
MUNICIPAL SECURITIES — 2.3% | |||||||||||
Alaska Housing Finance Corp. Rev., VRDN, 0.04%, 2/1/21 (SBBPA: FHLB) | 100,000 | 100,000 | |||||||||
Bay Area Toll Authority Rev., 6.92%, 4/1/40 | 105,000 | 162,542 | |||||||||
California Infrastructure & Economic Development Bank Rev., (Morningstar Enterprises LLC), VRDN, 0.09%, 2/4/21 (LOC: Wells Fargo Bank N.A.) | 100,000 | 100,000 | |||||||||
Maricopa County Industrial Development Authority Rev., (San Clemente Apartments LP), VRDN, 0.10%, 2/4/21 (LOC: FNMA)(LIQ FAC: FNMA) | 100,000 | 100,000 | |||||||||
Metropolitan Transportation Authority Rev., 6.81%, 11/15/40 | 30,000 | 42,952 | |||||||||
Michigan Finance Authority Rev., 4.00%, 8/20/21 (LOC: JPMorgan Chase Bank N.A.) | 2,500,000 | 2,553,875 | |||||||||
Mississippi Business Finance Corp. Rev., (Chevron USA, Inc.), VRDN, 0.01%, 2/1/21 (GA: Chevron Corp.) | 150,000 | 150,000 | |||||||||
New Jersey Turnpike Authority Rev., 7.41%, 1/1/40 | 100,000 | 167,420 | |||||||||
New Jersey Turnpike Authority Rev., 7.10%, 1/1/41 | 9,000 | 14,673 | |||||||||
New York City GO, 6.27%, 12/1/37 | 40,000 | 60,092 | |||||||||
Ohio Water Development Authority Water Pollution Control Loan Fund Rev., 4.88%, 12/1/34 | 110,000 | 134,691 | |||||||||
Port Authority of New York & New Jersey Rev., 4.93%, 10/1/51 | 50,000 | 69,701 | |||||||||
Rutgers The State University of New Jersey Rev., 5.67%, 5/1/40 | 150,000 | 209,071 | |||||||||
Sacramento Municipal Utility District Rev., 6.16%, 5/15/36 | 180,000 | 259,704 | |||||||||
San Francisco Public Utilities Commission Water Rev., 6.00%, 11/1/40 | 75,000 | 104,497 | |||||||||
Santa Clara Valley Transportation Authority Rev., 5.88%, 4/1/32 | 105,000 | 134,177 | |||||||||
State of California GO, 4.60%, 4/1/38 | 40,000 | 47,624 | |||||||||
State of California GO, 7.55%, 4/1/39 | 30,000 | 52,081 | |||||||||
State of California GO, 7.30%, 10/1/39 | 30,000 | 48,942 | |||||||||
State of California GO, 7.60%, 11/1/40 | 65,000 | 116,333 | |||||||||
State of New York Mortgage Agency Rev., VRDN, 0.02%, 2/1/21 (SBBPA: Barclays Bank plc) | 270,000 | 270,000 | |||||||||
State of Texas Rev., 4.00%, 8/26/21 | 2,880,000 | 2,944,598 | |||||||||
State of Washington GO, 5.14%, 8/1/40 | 5,000 | 7,166 | |||||||||
Tempe Industrial Development Authority Rev., (ASUF Brickyard LLC), VRDN, 0.14%, 2/4/21 (LOC: Bank of America N.A.) | 575,000 | 575,000 | |||||||||
Tennis for Charity, Inc. Rev., VRDN, 0.09%, 2/4/21 (LOC: JPMorgan Chase Bank N.A.) | 1,325,000 | 1,325,000 | |||||||||
TOTAL MUNICIPAL SECURITIES (Cost $9,273,539) | 9,750,139 | ||||||||||
COLLATERALIZED LOAN OBLIGATIONS — 2.3% | |||||||||||
Ares LVI CLO Ltd., Series 2020-56A, Class C, VRN, 2.61%, (3-month LIBOR plus 2.40%), 10/25/31(5) | 425,000 | 426,302 | |||||||||
Ares XXXIIR CLO Ltd., Series 2014-32RA, Class A2A, VRN, 1.77%, (3-month LIBOR plus 1.55%), 5/15/30(5) | 400,000 | 402,741 | |||||||||
Ares XXXIV CLO Ltd., Series 2015-2A, Class BR2, VRN, 1.82%, (3-month LIBOR plus 1.60%), 4/17/33(5) | 550,000 | 545,526 | |||||||||
Bean Creek CLO Ltd., Series 2015-1A, Class BR, VRN, 1.67%, (3-month LIBOR plus 1.45%), 4/20/31(5) | 400,000 | 388,168 |
29
Shares/Principal Amount | Value | ||||||||||
CBAM Ltd., Series 2018-5A, Class B1, VRN, 1.62%, (3-month LIBOR plus 1.40%), 4/17/31(5) | $ | 450,000 | $ | 451,216 | |||||||
Dryden 50 Senior Loan Fund, Series 2017-50A, Class A1, VRN, 1.46%, (3-month LIBOR plus 1.22%), 7/15/30(5) | 325,000 | 326,119 | |||||||||
Dryden 72 CLO Ltd., Series 2019-72A, Class C, VRN, 2.87%, (3-month LIBOR plus 2.65%), 5/15/32(5) | 375,000 | 378,869 | |||||||||
Elmwood CLO IV Ltd., Series 2020-1A, Class C, VRN, 2.29%, (3-month LIBOR plus 2.05%), 4/15/33(5) | 300,000 | 299,865 | |||||||||
Elmwood CLO IV Ltd., Series 2020-1A, Class D, VRN, 3.39%, (3-month LIBOR plus 3.15%), 4/15/33(5) | 150,000 | 151,155 | |||||||||
Elmwood CLO V Ltd., Series 2020-2A, Class C, VRN, 2.97%, (3-month LIBOR plus 2.75%), 7/24/31(5) | 500,000 | 506,379 | |||||||||
Elmwood CLO VII Ltd., Series 2020-4A, Class C, VRN, 2.40%, (3-month LIBOR plus 2.25%), 1/17/34(5) | 275,000 | 276,148 | |||||||||
Flatiron CLO 20 Ltd., Series 2020-1A, Class C, VRN, 2.70%, (3-month LIBOR plus 2.45%), 11/20/33(5) | 350,000 | 351,416 | |||||||||
Goldentree Loan Management US CLO 5 Ltd., Series 2019-5A, Class A, VRN, 1.52%, (3-month LIBOR plus 1.30%), 10/20/32(5) | 450,000 | 452,846 | |||||||||
Goldentree Loan Opportunities X Ltd., Series 2015-10A, Class AR, VRN, 1.34%, (3-month LIBOR plus 1.12%), 7/20/31(5) | 250,000 | 251,146 | |||||||||
Kayne CLO 9 Ltd., Series 2020-9A, Class C, VRN, 2.84%, (3-month LIBOR plus 2.60%), 1/15/34(5) | 350,000 | 352,912 | |||||||||
KKR CLO Ltd., Series 2022A, Class B, VRN, 1.82%, (3-month LIBOR plus 1.60%), 7/20/31(5) | 450,000 | 444,458 | |||||||||
Madison Park Funding XXII Ltd., Series 2016-22A, Class BR, VRN, 1.84%, (3-month LIBOR plus 1.60%), 1/15/33(5) | 350,000 | 351,923 | |||||||||
Magnetite VIII Ltd., Series 2014-8A, Class BR2, VRN, 1.74%, (3-month LIBOR plus 1.50%), 4/15/31(5) | 400,000 | 399,047 | |||||||||
Magnetite XIV-R Ltd., Series 2015-14RA, Class B, VRN, 1.82%, (3-month LIBOR plus 1.60%), 10/18/31(5) | 375,000 | 371,694 | |||||||||
Magnetite XXV Ltd., Series 2020-25A, Class C, VRN, 2.35%, (3-month LIBOR plus 2.10%), 1/25/32(5) | 350,000 | 352,726 | |||||||||
Neuberger Berman Loan Advisers CLO 34 Ltd., Series 2019-34A, Class C1, VRN, 2.82%, (3-month LIBOR plus 2.60%), 1/20/33(5) | 275,000 | 279,497 | |||||||||
OHA Credit Funding 7 Ltd., Series 2020-7A, Class B, VRN, 1.92%, (3-month LIBOR plus 1.70%), 10/19/32(5) | 350,000 | 352,632 | |||||||||
Parallel Ltd., Series 2020-1A, Class A1, VRN, 2.05%, (3-month LIBOR plus 1.83%), 7/20/31(5) | 400,000 | 402,945 | |||||||||
Reese Park CLO Ltd., Series 2020-1A, Class C1, VRN, 2.69%, (3-month LIBOR plus 2.45%), 10/15/32(5) | 325,000 | 326,906 | |||||||||
Rockford Tower CLO Ltd., Series 2020-1A, Class C, VRN, 2.60%, (3-month LIBOR plus 2.35%), 1/20/32(5) | 325,000 | 326,031 | |||||||||
Symphony CLO XXII Ltd., Series 2020-22A, Class B, VRN, 1.92%, (3-month LIBOR plus 1.70%), 4/18/33(5) | 500,000 | 504,146 | |||||||||
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $9,612,016) | 9,672,813 | ||||||||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 2.2% | |||||||||||
Adjustable-Rate U.S. Government Agency Mortgage-Backed Securities — 0.1% | |||||||||||
FHLMC, VRN, 2.94%, (12-month LIBOR plus 1.87%), 7/1/36 | 5,886 | 6,228 | |||||||||
FHLMC, VRN, 2.35%, (1-year H15T1Y plus 2.14%), 10/1/36 | 18,471 | 19,595 | |||||||||
FHLMC, VRN, 3.13%, (1-year H15T1Y plus 2.26%), 4/1/37 | 52,303 | 55,426 | |||||||||
FHLMC, VRN, 2.32%, (12-month LIBOR plus 1.76%), 9/1/40 | 15,506 | 16,187 |
30
Shares/Principal Amount | Value | ||||||||||
FHLMC, VRN, 3.65%, (12-month LIBOR plus 1.88%), 5/1/41 | $ | 12,053 | $ | 12,702 | |||||||
FHLMC, VRN, 3.04%, (12-month LIBOR plus 1.86%), 7/1/41 | 38,259 | 40,402 | |||||||||
FHLMC, VRN, 3.64%, (12-month LIBOR plus 1.64%), 2/1/43 | 8,521 | 8,743 | |||||||||
FHLMC, VRN, 2.50%, (12-month LIBOR plus 1.62%), 6/1/43 | 181 | 182 | |||||||||
FHLMC, VRN, 2.84%, (12-month LIBOR plus 1.65%), 6/1/43 | 4,273 | 4,300 | |||||||||
FNMA, VRN, 1.82%, (6-month LIBOR plus 1.57%), 6/1/35 | 26,164 | 27,302 | |||||||||
FNMA, VRN, 1.82%, (6-month LIBOR plus 1.57%), 6/1/35 | 38,068 | 39,718 | |||||||||
FNMA, VRN, 1.87%, (6-month LIBOR plus 1.54%), 9/1/35 | 6,038 | 6,293 | |||||||||
FNMA, VRN, 2.65%, (1-year H15T1Y plus 2.16%), 3/1/38 | 36,965 | 39,043 | |||||||||
FNMA, VRN, 3.69%, (12-month LIBOR plus 1.69%), 1/1/40 | 6,942 | 7,214 | |||||||||
FNMA, VRN, 2.28%, (12-month LIBOR plus 1.85%), 3/1/40 | 9,109 | 9,560 | |||||||||
FNMA, VRN, 2.32%, (12-month LIBOR plus 1.77%), 10/1/40 | 16,068 | 16,748 | |||||||||
309,643 | |||||||||||
Fixed-Rate U.S. Government Agency Mortgage-Backed Securities — 2.1% | |||||||||||
FHLMC, 8.00%, 7/1/30 | 1,050 | 1,276 | |||||||||
FHLMC, 6.50%, 5/1/31 | 6,538 | 7,354 | |||||||||
FHLMC, 5.50%, 12/1/33 | 45,570 | 52,363 | |||||||||
FHLMC, 5.50%, 1/1/38 | 63,346 | 74,200 | |||||||||
FHLMC, 6.00%, 2/1/38 | 87,077 | 104,837 | |||||||||
FHLMC, 6.00%, 11/1/38 | 66,459 | 78,589 | |||||||||
FNMA, 7.00%, 6/1/26 | 140 | 155 | |||||||||
FNMA, 6.50%, 6/1/29 | 7,659 | 8,610 | |||||||||
FNMA, 7.00%, 7/1/29 | 367 | 368 | |||||||||
FNMA, 7.00%, 3/1/30 | 2,461 | 2,723 | |||||||||
FNMA, 7.50%, 9/1/30 | 1,789 | 2,108 | |||||||||
FNMA, 6.50%, 9/1/31 | 12,983 | 14,599 | |||||||||
FNMA, 7.00%, 9/1/31 | 3,674 | 3,905 | |||||||||
FNMA, 6.50%, 1/1/32 | 2,283 | 2,568 | |||||||||
FNMA, 5.50%, 6/1/33 | 41,110 | 47,828 | |||||||||
FNMA, 5.50%, 8/1/33 | 203,000 | 236,686 | |||||||||
FNMA, 5.50%, 9/1/33 | 53,890 | 62,742 | |||||||||
FNMA, 5.00%, 11/1/33 | 170,397 | 196,983 | |||||||||
FNMA, 5.50%, 1/1/34 | 113,583 | 132,147 | |||||||||
FNMA, 3.50%, 3/1/34 | 87,384 | 94,295 | |||||||||
FNMA, 5.00%, 2/1/36 | 145,007 | 168,430 | |||||||||
FNMA, 5.50%, 4/1/36 | 25,367 | 29,641 | |||||||||
FNMA, 5.00%, 10/1/36 | 6,766 | 7,489 | |||||||||
FNMA, 5.50%, 12/1/36 | 49,636 | 57,966 | |||||||||
FNMA, 5.50%, 1/1/37 | 179,248 | 209,449 | |||||||||
FNMA, 6.50%, 8/1/37 | 24,852 | 28,845 | |||||||||
FNMA, 5.00%, 4/1/40 | 289,252 | 336,201 | |||||||||
FNMA, 5.00%, 6/1/41 | 228,900 | 265,572 | |||||||||
FNMA, 6.50%, 8/1/47 | 9,046 | 9,823 | |||||||||
FNMA, 6.50%, 9/1/47 | 18,251 | 19,752 | |||||||||
FNMA, 6.50%, 9/1/47 | 880 | 954 | |||||||||
FNMA, 6.50%, 9/1/47 | 9,634 | 10,419 | |||||||||
GNMA, 7.00%, 1/15/24 | 314 | 329 | |||||||||
GNMA, 8.00%, 7/15/24 | 2,333 | 2,395 | |||||||||
GNMA, 8.00%, 9/15/24 | 750 | 753 | |||||||||
GNMA, 9.00%, 4/20/25 | 358 | 393 | |||||||||
GNMA, 7.00%, 9/15/25 | 3,367 | 3,418 | |||||||||
GNMA, 7.50%, 10/15/25 | 2,581 | 2,622 |
31
Shares/Principal Amount | Value | ||||||||||
GNMA, 7.50%, 2/15/26 | $ | 6,165 | $ | 6,749 | |||||||
GNMA, 8.25%, 7/15/26 | 16,013 | 16,280 | |||||||||
GNMA, 7.00%, 12/15/27 | 10,544 | 10,588 | |||||||||
GNMA, 6.50%, 2/15/28 | 1,653 | 1,843 | |||||||||
GNMA, 6.50%, 3/15/28 | 6,763 | 7,537 | |||||||||
GNMA, 6.50%, 4/15/28 | 369 | 411 | |||||||||
GNMA, 6.00%, 10/15/28 | 10,047 | 11,317 | |||||||||
GNMA, 7.00%, 5/15/31 | 3,714 | 4,409 | |||||||||
GNMA, 5.50%, 11/15/32 | 25,541 | 29,494 | |||||||||
GNMA, 6.50%, 10/15/38 | 294,633 | 345,601 | |||||||||
GNMA, 4.50%, 5/20/41 | 208,180 | 233,292 | |||||||||
GNMA, 4.50%, 6/15/41 | 125,010 | 142,787 | |||||||||
GNMA, 3.50%, 6/20/42 | 181,419 | 197,327 | |||||||||
GNMA, 3.50%, 4/20/45 | 47,826 | 51,288 | |||||||||
GNMA, 2.50%, 2/20/47 | 33,310 | 35,335 | |||||||||
UMBS, 2.50%, TBA | 5,200,000 | 5,479,703 | |||||||||
8,852,748 | |||||||||||
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $8,780,710) | 9,162,391 | ||||||||||
COMMERCIAL PAPER(9) — 2.0% | |||||||||||
Nordea Bank Abp, 0.19%, 7/13/21(5) | 1,950,000 | 1,948,659 | |||||||||
Ridgefield Funding Co. LLC, 0.23%, 4/6/21(5) | 1,100,000 | 1,099,732 | |||||||||
Royal Bank of Canada (New York), VRN, 0.22%, (3-month LIBOR plus 0.01%), 1/27/22 | 775,000 | 775,114 | |||||||||
Toronto-Dominion Bank (The), 0.20%, 3/12/21(5) | 2,300,000 | 2,299,708 | |||||||||
Yale University, 0.16%, 4/7/21(5) | 2,215,000 | 2,214,548 | |||||||||
TOTAL COMMERCIAL PAPER (Cost $8,336,744) | 8,337,761 | ||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 1.4% | |||||||||||
Private Sponsor Collateralized Mortgage Obligations — 0.2% | |||||||||||
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-8, Class 2A1, VRN, 3.10%, 11/25/34 | 259,178 | 258,495 | |||||||||
Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A5, VRN, 2.22%, 8/25/34 | 89,337 | 90,872 | |||||||||
Connecticut Avenue Securities Trust, Series 2020-SBT1, Class 2M2, VRN, 3.78%, (1-month LIBOR plus 3.65%), 2/25/40(5) | 200,000 | 207,932 | |||||||||
JPMorgan Mortgage Trust, Series 2013-1, Class 2A2 SEQ, VRN, 2.50%, 3/25/43(5) | 27,712 | 28,133 | |||||||||
JPMorgan Mortgage Trust, Series 2014-5, Class A1, VRN, 2.94%, 10/25/29(5) | 109,797 | 113,633 | |||||||||
Sequoia Mortgage Trust, Series 2018-CH2, Class A12 SEQ, VRN, 4.00%, 6/25/48(5) | 75,999 | 76,320 | |||||||||
Sofi Mortgage Trust, Series 2016-1A, Class 1A4 SEQ, VRN, 3.00%, 11/25/46(5) | 40,343 | 41,507 | |||||||||
816,892 | |||||||||||
U.S. Government Agency Collateralized Mortgage Obligations — 1.2% | |||||||||||
FHLMC, Series 2013-DN2, Class M2, VRN, 4.38%, (1-month LIBOR plus 4.25%), 11/25/23 | 265,327 | 267,907 | |||||||||
FHLMC, Series 2014-DN2, Class M3, VRN, 3.73%, (1-month LIBOR plus 3.60%), 4/25/24 | 228,537 | 228,835 | |||||||||
FHLMC, Series 2014-HQ2, Class M3, VRN, 3.88%, (1-month LIBOR plus 3.75%), 9/25/24 | 803,802 | 831,405 | |||||||||
FHLMC, Series 2016-DNA3, Class M3, VRN, 5.13%, (1-month LIBOR plus 5.00%), 12/25/28 | 461,384 | 486,512 |
32
Shares/Principal Amount | Value | ||||||||||
FHLMC, Series 2016-HQA3, Class M2, VRN, 1.48%, (1-month LIBOR plus 1.35%), 3/25/29 | $ | 3,205 | $ | 3,212 | |||||||
FHLMC, Series 2016-HQA4, Class M3, VRN, 4.03%, (1-month LIBOR plus 3.90%), 4/25/29 | 1,074,699 | 1,118,335 | |||||||||
FNMA, Series 2014-C02, Class 1M2, VRN, 2.73%, (1-month LIBOR plus 2.60%), 5/25/24 | 197,608 | 195,275 | |||||||||
FNMA, Series 2014-C02, Class 2M2, VRN, 2.73%, (1-month LIBOR plus 2.60%), 5/25/24 | 348,936 | 353,892 | |||||||||
FNMA, Series 2015-C03, Class 1M2, VRN, 5.13%, (1-month LIBOR plus 5.00%), 7/25/25 | 492,615 | 507,176 | |||||||||
FNMA, Series 2015-C04, Class 1M2, VRN, 5.83%, (1-month LIBOR plus 5.70%), 4/25/28 | 184,159 | 196,411 | |||||||||
FNMA, Series 2016-C03, Class 2M2, VRN, 6.03%, (1-month LIBOR plus 5.90%), 10/25/28 | 114,433 | 120,895 | |||||||||
FNMA, Series 2017-C03, Class 1M2, VRN, 3.13%, (1-month LIBOR plus 3.00%), 10/25/29 | 122,402 | 125,328 | |||||||||
FNMA, Series 2017-C06, Class 2M2, VRN, 2.93%, (1-month LIBOR plus 2.80%), 2/25/30 | 46,423 | 47,239 | |||||||||
FNMA, Series 2017-C07, Class 1M2, VRN, 2.53%, (1-month LIBOR plus 2.40%), 5/25/30 | 596,755 | 602,826 | |||||||||
5,085,248 | |||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $5,552,281) | 5,902,140 | ||||||||||
ASSET-BACKED SECURITIES — 1.0% | |||||||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A SEQ, 2.94%, 5/25/29(5) | 97,893 | 100,571 | |||||||||
FirstKey Homes Trust, Series 2020-SFR1, Class C, 1.94%, 9/17/25(5) | 400,000 | 405,437 | |||||||||
FirstKey Homes Trust, Series 2020-SFR2, Class E, 2.67%, 10/19/37(5) | 1,300,000 | 1,330,499 | |||||||||
Goodgreen Trust, Series 2020-1A, Class A SEQ, 2.63%, 4/15/55(5) | 433,686 | 453,200 | |||||||||
MVW Owner Trust, Series 2015-1A, Class A SEQ, 2.52%, 12/20/32(5) | 42,366 | 42,704 | |||||||||
MVW Owner Trust, Series 2017-1A, Class A SEQ, 2.42%, 12/20/34(5) | 130,844 | 134,302 | |||||||||
Progress Residential Trust, Series 2018-SFR1, Class B, 3.48%, 3/17/35(5) | 100,000 | 100,644 | |||||||||
Sierra Timeshare Receivables Funding LLC, Series 2018-2A, Class B, 3.65%, 6/20/35(5) | 263,093 | 273,990 | |||||||||
Towd Point Mortgage Trust, Series 2018-4, Class A1, VRN, 3.00%, 6/25/58(5) | 423,905 | 450,961 | |||||||||
VSE VOI Mortgage LLC, Series 2016-A, Class A SEQ, 2.54%, 7/20/33(5) | 206,031 | 207,346 | |||||||||
VSE VOI Mortgage LLC, Series 2017-A, Class A SEQ, 2.33%, 3/20/35(5) | 164,717 | 168,572 | |||||||||
VSE VOI Mortgage LLC, Series 2018-A, Class B, 3.72%, 2/20/36(5) | 277,351 | 291,674 | |||||||||
TOTAL ASSET-BACKED SECURITIES (Cost $3,823,803) | 3,959,900 | ||||||||||
PREFERRED STOCKS — 0.4% | |||||||||||
Diversified Telecommunication Services — 0.1% | |||||||||||
Telefonica Europe BV, 3.00% | 300,000 | 374,155 | |||||||||
Electric Utilities — 0.1% | |||||||||||
Enel SpA, 2.25% | 300,000 | 381,795 |
33
Shares/Principal Amount | Value | ||||||||||
Insurance — 0.1% | |||||||||||
Allianz SE, 3.375% | 200,000 | $ | 265,528 | ||||||||
Credit Agricole Assurances SA, 4.25% | 100,000 | 134,399 | |||||||||
Intesa Sanpaolo Vita SpA, 4.75% | 200,000 | 262,818 | |||||||||
662,745 | |||||||||||
Oil, Gas and Consumable Fuels — 0.1% | |||||||||||
Eni SpA, 3.375% | 300,000 | 387,092 | |||||||||
TOTAL PREFERRED STOCKS (Cost $1,762,109) | 1,805,787 | ||||||||||
EXCHANGE-TRADED FUNDS — 0.3% | |||||||||||
iShares MSCI EAFE Value ETF | 4,115 | 193,117 | |||||||||
iShares Russell Mid-Cap Value ETF | 7,233 | 699,648 | |||||||||
SPDR S&P 500 ETF Trust | 661 | 244,616 | |||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $987,187) | 1,137,381 | ||||||||||
TEMPORARY CASH INVESTMENTS — 3.9% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class (Cost $16,248,618) | 16,248,618 | 16,248,618 | |||||||||
TEMPORARY CASH INVESTMENTS - SECURITIES LENDING COLLATERAL(10)† | |||||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (Cost $151,078) | 151,078 | 151,078 | |||||||||
TOTAL INVESTMENT SECURITIES — 101.6% (Cost $364,203,713) | 425,890,727 | ||||||||||
OTHER ASSETS AND LIABILITIES — (1.6)% | (6,685,287) | ||||||||||
TOTAL NET ASSETS — 100.0% | $ | 419,205,440 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
USD | 2,536,478 | AUD | 3,440,011 | UBS AG | 3/17/21 | $ | (93,199) | |||||||||||||
BRL | 2,598,867 | USD | 496,403 | Goldman Sachs & Co. | 3/17/21 | (21,976) | ||||||||||||||
USD | 499,859 | BRL | 2,598,867 | Goldman Sachs & Co. | 3/17/21 | 25,432 | ||||||||||||||
CAD | 4,065 | USD | 3,185 | Morgan Stanley | 3/31/21 | (6) | ||||||||||||||
CAD | 3,794 | USD | 2,995 | Morgan Stanley | 3/31/21 | (27) | ||||||||||||||
CAD | 5,578 | USD | 4,396 | Morgan Stanley | 3/31/21 | (33) | ||||||||||||||
CAD | 35,818 | USD | 28,402 | Morgan Stanley | 3/31/21 | (388) | ||||||||||||||
CAD | 4,757 | USD | 3,740 | Morgan Stanley | 3/31/21 | (20) | ||||||||||||||
CAD | 4,094 | USD | 3,183 | Morgan Stanley | 3/31/21 | 19 | ||||||||||||||
CAD | 12,569 | USD | 9,846 | Morgan Stanley | 3/31/21 | (16) | ||||||||||||||
USD | 412,566 | CAD | 534,094 | Morgan Stanley | 3/17/21 | (5,150) | ||||||||||||||
USD | 211,324 | CAD | 269,184 | Morgan Stanley | 3/31/21 | 789 | ||||||||||||||
USD | 109,133 | CAD | 139,014 | Morgan Stanley | 3/31/21 | 407 | ||||||||||||||
USD | 3,880 | CAD | 4,985 | Morgan Stanley | 3/31/21 | (19) | ||||||||||||||
USD | 3,321 | CAD | 4,217 | Morgan Stanley | 3/31/21 | 23 | ||||||||||||||
USD | 3,271 | CAD | 4,160 | Morgan Stanley | 3/31/21 | 18 | ||||||||||||||
USD | 2,933 | CAD | 3,723 | Morgan Stanley | 3/31/21 | 21 | ||||||||||||||
USD | 234,362 | CHF | 210,401 | Morgan Stanley | 3/17/21 | (2,140) | ||||||||||||||
USD | 520,623 | CHF | 461,834 | UBS AG | 3/17/21 | 1,496 | ||||||||||||||
CLP | 13,147,334 | USD | 17,408 | Goldman Sachs & Co. | 3/17/21 | 493 |
34
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
USD | 3,084,962 | CNY | 20,390,057 | Goldman Sachs & Co. | 3/17/21 | $ | (65,767) | |||||||||||||
COP | 1,278,900,611 | USD | 357,210 | Goldman Sachs & Co. | 3/17/21 | 567 | ||||||||||||||
COP | 891,751,840 | USD | 245,189 | Goldman Sachs & Co. | 3/17/21 | 4,282 | ||||||||||||||
USD | 316,886 | COP | 1,127,768,255 | Goldman Sachs & Co. | 3/17/21 | 1,389 | ||||||||||||||
USD | 316,275 | CZK | 6,892,229 | UBS AG | 3/17/21 | (5,138) | ||||||||||||||
USD | 14,768 | DKK | 90,938 | Goldman Sachs & Co. | 3/17/21 | (82) | ||||||||||||||
EUR | 251,199 | USD | 305,818 | JPMorgan Chase Bank N.A. | 2/17/21 | (877) | ||||||||||||||
EUR | 16,044 | USD | 19,572 | Credit Suisse AG | 3/31/21 | (77) | ||||||||||||||
EUR | 16,230 | USD | 19,922 | Credit Suisse AG | 3/31/21 | (200) | ||||||||||||||
EUR | 3,802 | USD | 4,615 | Credit Suisse AG | 3/31/21 | 5 | ||||||||||||||
EUR | 13,385 | USD | 16,277 | Credit Suisse AG | 3/31/21 | (13) | ||||||||||||||
EUR | 13,914 | USD | 16,880 | Credit Suisse AG | 3/31/21 | 28 | ||||||||||||||
EUR | 3,968 | USD | 4,813 | Credit Suisse AG | 3/31/21 | 8 | ||||||||||||||
EUR | 5,919 | USD | 7,192 | Credit Suisse AG | 3/31/21 | — | ||||||||||||||
USD | 5,374,705 | EUR | 4,424,718 | JPMorgan Chase Bank N.A. | 2/17/21 | 3,350 | ||||||||||||||
USD | 580,594 | EUR | 472,835 | Credit Suisse AG | 3/31/21 | 6,052 | ||||||||||||||
USD | 155,236 | EUR | 126,424 | Credit Suisse AG | 3/31/21 | 1,618 | ||||||||||||||
USD | 4,509 | EUR | 3,687 | Credit Suisse AG | 3/31/21 | 29 | ||||||||||||||
USD | 13,926 | EUR | 11,342 | Credit Suisse AG | 3/31/21 | 144 | ||||||||||||||
USD | 5,192 | EUR | 4,216 | Credit Suisse AG | 3/31/21 | 70 | ||||||||||||||
USD | 13,468 | EUR | 10,927 | Credit Suisse AG | 3/31/21 | 190 | ||||||||||||||
USD | 24,977 | EUR | 20,495 | Credit Suisse AG | 3/31/21 | 74 | ||||||||||||||
USD | 3,949 | EUR | 3,240 | Credit Suisse AG | 3/31/21 | 12 | ||||||||||||||
USD | 12,522 | EUR | 10,349 | Credit Suisse AG | 3/31/21 | (53) | ||||||||||||||
USD | 16,798 | EUR | 13,840 | Credit Suisse AG | 3/31/21 | (18) | ||||||||||||||
USD | 6,965 | EUR | 5,720 | Credit Suisse AG | 3/31/21 | 15 | ||||||||||||||
USD | 7,008 | EUR | 5,753 | Credit Suisse AG | 3/31/21 | 18 | ||||||||||||||
GBP | 329,340 | USD | 440,351 | Bank of America N.A. | 3/17/21 | 11,000 | ||||||||||||||
GBP | 110,000 | USD | 147,333 | Bank of America N.A. | 3/17/21 | 3,418 | ||||||||||||||
GBP | 13,609 | USD | 18,185 | JPMorgan Chase Bank N.A. | 3/31/21 | 467 | ||||||||||||||
GBP | 15,267 | USD | 20,726 | JPMorgan Chase Bank N.A. | 3/31/21 | 199 | ||||||||||||||
GBP | 26,048 | USD | 35,795 | JPMorgan Chase Bank N.A. | 3/31/21 | (94) | ||||||||||||||
USD | 210,609 | GBP | 154,848 | Bank of America N.A. | 3/17/21 | (1,606) | ||||||||||||||
USD | 703,937 | GBP | 522,750 | JPMorgan Chase Bank N.A. | 3/31/21 | (12,539) | ||||||||||||||
USD | 18,505 | GBP | 13,590 | JPMorgan Chase Bank N.A. | 3/31/21 | (121) | ||||||||||||||
USD | 18,741 | GBP | 13,744 | JPMorgan Chase Bank N.A. | 3/31/21 | (96) | ||||||||||||||
USD | 29,768 | GBP | 21,935 | JPMorgan Chase Bank N.A. | 3/31/21 | (297) | ||||||||||||||
HUF | 9,072,752 | USD | 30,647 | UBS AG | 3/17/21 | 179 | ||||||||||||||
USD | 110,851 | IDR | 1,578,303,010 | Goldman Sachs & Co. | 3/17/21 | (1,069) | ||||||||||||||
ILS | 750,861 | USD | 230,368 | UBS AG | 3/17/21 | (1,512) | ||||||||||||||
USD | 292,464 | ILS | 960,514 | UBS AG | 3/17/21 | (293) | ||||||||||||||
USD | 280,783 | ILS | 909,455 | UBS AG | 3/17/21 | 3,589 | ||||||||||||||
JPY | 55,096,700 | USD | 531,018 | Bank of America N.A. | 2/17/21 | (4,940) | ||||||||||||||
JPY | 451,080 | USD | 4,376 | Bank of America N.A. | 3/31/21 | (67) | ||||||||||||||
JPY | 523,074 | USD | 5,053 | Bank of America N.A. | 3/31/21 | (56) | ||||||||||||||
JPY | 657,720 | USD | 6,355 | Bank of America N.A. | 3/31/21 | (72) | ||||||||||||||
JPY | 839,610 | USD | 8,166 | Bank of America N.A. | 3/31/21 | (145) | ||||||||||||||
JPY | 503,010 | USD | 4,893 | Bank of America N.A. | 3/31/21 | (88) | ||||||||||||||
JPY | 578,340 | USD | 5,571 | Bank of America N.A. | 3/31/21 | (46) | ||||||||||||||
JPY | 520,198 | USD | 5,022 | Bank of America N.A. | 3/31/21 | (53) | ||||||||||||||
JPY | 442,260 | USD | 4,240 | Bank of America N.A. | 3/31/21 | (16) |
35
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
USD | 2,887,838 | JPY | 299,698,576 | Bank of America N.A. | 2/17/21 | $ | 26,240 | |||||||||||||
USD | 150,146 | JPY | 15,571,609 | Bank of America N.A. | 3/31/21 | 1,395 | ||||||||||||||
USD | 178,473 | JPY | 18,509,400 | Bank of America N.A. | 3/31/21 | 1,658 | ||||||||||||||
USD | 7,780 | JPY | 801,360 | Bank of America N.A. | 3/31/21 | 125 | ||||||||||||||
USD | 5,810 | JPY | 602,797 | Bank of America N.A. | 3/31/21 | 51 | ||||||||||||||
USD | 8,790 | JPY | 911,250 | Bank of America N.A. | 3/31/21 | 85 | ||||||||||||||
KRW | 350,709,093 | USD | 318,563 | Goldman Sachs & Co. | 3/17/21 | (4,958) | ||||||||||||||
USD | 130,971 | KRW | 145,043,345 | Goldman Sachs & Co. | 3/17/21 | 1,272 | ||||||||||||||
KZT | 87,842,751 | USD | 202,100 | Goldman Sachs & Co. | 3/17/21 | 3,760 | ||||||||||||||
MXN | 11,419,369 | USD | 562,220 | UBS AG | 3/17/21 | (7,691) | ||||||||||||||
MXN | 5,276,253 | USD | 259,837 | UBS AG | 3/17/21 | (3,620) | ||||||||||||||
USD | 457,795 | MXN | 9,127,067 | UBS AG | 3/17/21 | 14,581 | ||||||||||||||
MYR | 282,769 | USD | 69,242 | Goldman Sachs & Co. | 3/17/21 | 415 | ||||||||||||||
USD | 167,332 | MYR | 680,120 | Goldman Sachs & Co. | 3/17/21 | (207) | ||||||||||||||
NOK | 2,582,981 | USD | 300,883 | Goldman Sachs & Co. | 3/17/21 | 657 | ||||||||||||||
NOK | 37,642 | USD | 4,477 | Goldman Sachs & Co. | 3/31/21 | (83) | ||||||||||||||
USD | 485,393 | NOK | 4,286,109 | Goldman Sachs & Co. | 3/17/21 | (14,972) | ||||||||||||||
USD | 168,340 | NOK | 1,463,197 | Goldman Sachs & Co. | 3/31/21 | (2,464) | ||||||||||||||
USD | 4,681 | NOK | 40,059 | Goldman Sachs & Co. | 3/31/21 | 5 | ||||||||||||||
NZD | 769,951 | USD | 544,051 | UBS AG | 3/17/21 | 9,240 | ||||||||||||||
PEN | 1,644,236 | USD | 455,795 | Goldman Sachs & Co. | 3/17/21 | (3,780) | ||||||||||||||
PEN | 883,081 | USD | 246,567 | Goldman Sachs & Co. | 3/17/21 | (3,800) | ||||||||||||||
PEN | 1,741,305 | USD | 485,151 | Goldman Sachs & Co. | 3/17/21 | (6,451) | ||||||||||||||
PEN | 978,373 | USD | 271,168 | Goldman Sachs & Co. | 3/17/21 | (2,204) | ||||||||||||||
USD | 658,189 | PHP | 31,723,794 | UBS AG | 3/17/21 | (741) | ||||||||||||||
USD | 121,075 | PLN | 447,595 | UBS AG | 3/17/21 | 851 | ||||||||||||||
USD | 64,082 | RUB | 4,895,219 | Goldman Sachs & Co. | 3/17/21 | (358) | ||||||||||||||
SEK | 3,499,752 | USD | 412,252 | Goldman Sachs & Co. | 3/17/21 | 6,760 | ||||||||||||||
USD | 131,334 | SGD | 176,011 | Bank of America N.A. | 3/17/21 | (1,161) | ||||||||||||||
USD | 357,494 | THB | 10,815,542 | Goldman Sachs & Co. | 3/17/21 | (3,820) | ||||||||||||||
TRY | 3,749,875 | USD | 459,431 | UBS AG | 3/17/21 | 43,862 | ||||||||||||||
TWD | 19,182,042 | USD | 684,494 | UBS AG | 3/17/21 | 3,474 | ||||||||||||||
$ | (94,787) |
36
FUTURES CONTRACTS PURCHASED | ||||||||||||||
Reference Entity | Contracts | Expiration Date | Notional Amount | Unrealized Appreciation (Depreciation)^ | ||||||||||
Korean Treasury 10-Year Bonds | 7 | March 2021 | $ | 810,826 | $ | (6,083) | ||||||||
U.K. Gilt 10-Year Bonds | 14 | March 2021 | 2,571,744 | (2,324) | ||||||||||
U.S. Treasury 10-Year Ultra Notes | 13 | March 2021 | 1,999,766 | (29,279) | ||||||||||
U.S. Treasury 2-Year Notes | 83 | March 2021 | 18,341,055 | 7,635 | ||||||||||
$ | 23,723,391 | $ | (30,051) |
^ Amount represents value and unrealized appreciation (depreciation).
FUTURES CONTRACTS SOLD | ||||||||||||||
Reference Entity | Contracts | Expiration Date | Notional Amount | Unrealized Appreciation (Depreciation)^ | ||||||||||
U.S. Treasury 10-Year Notes | 79 | March 2021 | $ | 10,825,469 | $ | 6,849 |
^ Amount represents value and unrealized appreciation (depreciation).
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 35 | Sell | 5.00% | 12/20/25 | $ | 7,660,000 | $ | 680,003 | $ | (14,004) | $ | 665,999 |
‡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.
37
NOTES TO SCHEDULE OF INVESTMENTS | |||||||||||||||||
ADR | - | American Depositary Receipt | MXN | - | Mexican Peso | ||||||||||||
AUD | - | Australian Dollar | MYR | - | Malaysian Ringgit | ||||||||||||
BRL | - | Brazilian Real | NOK | - | Norwegian Krone | ||||||||||||
CAD | - | Canadian Dollar | NZD | - | New Zealand Dollar | ||||||||||||
CDX | - | Credit Derivatives Indexes | PEN | - | Peruvian Sol | ||||||||||||
CHF | - | Swiss Franc | PHP | - | Philippine Peso | ||||||||||||
CLP | - | Chilean Peso | PLN | - | Polish Zloty | ||||||||||||
CNY | - | Chinese Yuan | RUB | - | Russian Ruble | ||||||||||||
COP | - | Colombian Peso | SBBPA | - | Standby Bond Purchase Agreement | ||||||||||||
CVA | - | Certificaten Van Aandelen | SEK | - | Swedish Krona | ||||||||||||
CZK | - | Czech Koruna | SEQ | - | Sequential Payer | ||||||||||||
DKK | - | Danish Krone | SGD | - | Singapore Dollar | ||||||||||||
EUR | - | Euro | TBA | - | To-Be-Announced. Security was purchased on a forward commitment basis with an approximate principal amount and maturity date. Actual principal amount and maturity date will be determined upon settlement. | ||||||||||||
FHLB | - | Federal Home Loan Bank | |||||||||||||||
FHLMC | - | Federal Home Loan Mortgage Corporation | |||||||||||||||
FNMA | - | Federal National Mortgage Association | |||||||||||||||
GA | - | Guaranty Agreement | THB | - | Thai Baht | ||||||||||||
GBP | British Pound | TRY | - | Turkish Lira | |||||||||||||
GNMA | - | Government National Mortgage Association | TWD | - | Taiwanese Dollar | ||||||||||||
GO | - | General Obligation | UMBS | - | Uniform Mortgage-Backed Securities | ||||||||||||
H15T1Y | - | Constant Maturity U.S. Treasury Note Yield Curve Rate Index | USD | - | United States Dollar | ||||||||||||
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. | |||||||||||||||
HUF | - | Hungarian Forint | |||||||||||||||
IDR | - | Indonesian Rupiah | |||||||||||||||
ILS | - | Israeli Shekel | |||||||||||||||
JPY | - | Japanese Yen | |||||||||||||||
KRW | - | South Korean Won | |||||||||||||||
KZT | - | Kazakhstani Tenge | 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. The security's effective maturity date may be shorter than the final maturity date shown. | ||||||||||||
LIBOR | - | London Interbank Offered Rate | |||||||||||||||
LIQ FAC | - | Liquidity Facilities | |||||||||||||||
LOC | - | Letter of Credit | |||||||||||||||
MTN | - | Medium Term Note | |||||||||||||||
†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)Security, or a portion thereof, has been pledged at the custodian bank or with a broker for collateral requirements on forward commitments, forward foreign currency exchange contracts, futures contracts and/or swap agreements. At the period end, the aggregate value of securities pledged was $967,931.
(3)Non-income producing.
(4)Security, or a portion thereof, is on loan. At the period end, the aggregate value of securities on loan was $497,239. The amount of securities on loan indicated may not correspond with the securities on loan identified because securities with pending sales are in the process of recall from the brokers.
(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 $32,216,404, which represented 7.7% of total net assets.
(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.
(8)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 0.7% of total net assets.
(9)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.
(10)Investment of cash collateral from securities on loan. At the period end, the aggregate value of the collateral held by the fund was $528,040, which includes securities collateral of $376,962.
See Notes to Financial Statements.
38
Statement of Assets and Liabilities |
JANUARY 31, 2021 (UNAUDITED) | |||||
Assets | |||||
Investment securities - unaffiliated, at value (cost of $254,367,747) — including $497,239 of securities on loan | $ | 291,365,366 | |||
Investment securities - affiliated, at value (cost of $109,684,888) | 134,374,283 | ||||
Investment made with cash collateral received for securities on loan, at value (cost of $151,078) | 151,078 | ||||
Total investment securities, at value (cost of $364,203,713) | 425,890,727 | ||||
Cash | 35,414 | ||||
Foreign currency holdings, at value (cost of $69,114) | 69,147 | ||||
Foreign deposits with broker for futures contracts, at value (cost of $102,657) | 106,470 | ||||
Receivable for investments sold | 5,906,160 | ||||
Receivable for capital shares sold | 374,083 | ||||
Receivable for variation margin on futures contracts | 9,906 | ||||
Unrealized appreciation on forward foreign currency exchange contracts | 179,832 | ||||
Interest and dividends receivable | 901,354 | ||||
Securities lending receivable | 619 | ||||
433,473,712 | |||||
Liabilities | |||||
Payable for collateral received for securities on loan | 151,078 | ||||
Payable for investments purchased | 12,550,513 | ||||
Payable for capital shares redeemed | 999,660 | ||||
Payable for variation margin on futures contracts | 11,919 | ||||
Payable for variation margin on swap agreements | 5,642 | ||||
Unrealized depreciation on forward foreign currency exchange contracts | 274,619 | ||||
Accrued management fees | 236,457 | ||||
Distribution and service fees payable | 36,704 | ||||
Accrued foreign taxes | 1,680 | ||||
14,268,272 | |||||
Net Assets | $ | 419,205,440 | |||
Net Assets Consist of: | |||||
Capital (par value and paid-in surplus) | $ | 354,293,967 | |||
Distributable earnings | 64,911,473 | ||||
$ | 419,205,440 |
Net Assets | Shares Outstanding | Net Asset Value Per Share | |||||||||
Investor Class, $0.01 Par Value | $157,675,165 | 26,500,867 | $5.95 | ||||||||
I Class, $0.01 Par Value | $31,819,992 | 5,345,678 | $5.95 | ||||||||
A Class, $0.01 Par Value | $86,638,299 | 14,577,128 | $5.94* | ||||||||
C Class, $0.01 Par Value | $13,495,942 | 2,318,471 | $5.82 | ||||||||
R Class, $0.01 Par Value | $12,088,136 | 2,039,032 | $5.93 | ||||||||
R5 Class, $0.01 Par Value | $35,797,332 | 6,004,870 | $5.96 | ||||||||
R6 Class, $0.01 Par Value | $81,690,574 | 13,722,234 | $5.95 |
*Maximum offering price $6.30 (net asset value divided by 0.9425).
See Notes to Financial Statements.
39
Statement of Operations |
FOR THE SIX MONTHS ENDED JANUARY 31, 2021 (UNAUDITED) | |||||
Investment Income (Loss) | |||||
Income: | |||||
Interest | $ | 2,000,842 | |||
Income distributions from affiliated funds | 1,041,160 | ||||
Dividends (net of foreign taxes withheld of $13,259) | 676,538 | ||||
Securities lending, net | 3,193 | ||||
3,721,733 | |||||
Expenses: | |||||
Management fees | 1,826,671 | ||||
Distribution and service fees: | |||||
A Class | 103,017 | ||||
C Class | 77,126 | ||||
R Class | 28,497 | ||||
Directors' fees and expenses | 6,130 | ||||
Other expenses | 3,295 | ||||
2,044,736 | |||||
Fees waived(1) | (495,823) | ||||
1,548,913 | |||||
Net investment income (loss) | 2,172,820 | ||||
Realized and Unrealized Gain (Loss) | |||||
Net realized gain (loss) on: | |||||
Investment transactions (including $2,787,798 from affiliated funds) | 9,966,292 | ||||
Forward foreign currency exchange contract transactions | (417,165) | ||||
Futures contract transactions | 57,255 | ||||
Swap agreement transactions | (22,161) | ||||
Foreign currency translation transactions | 15,744 | ||||
Capital gain distributions received from affiliated funds | 87,264 | ||||
9,687,229 | |||||
Change in net unrealized appreciation (depreciation) on: | |||||
Investments (including $16,368,680 from affiliated funds and (increase) decrease in accrued foreign taxes of $(782)) | 23,626,473 | ||||
Forward foreign currency exchange contracts | 26,698 | ||||
Futures contracts | (29,462) | ||||
Swap agreements | (14,004) | ||||
Translation of assets and liabilities in foreign currencies | 7,520 | ||||
23,617,225 | |||||
Net realized and unrealized gain (loss) | 33,304,454 | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 35,477,274 |
(1)Amount consists of $186,045, $36,809, $100,633, $18,836, $13,919, $43,309 and $96,272 for Investor Class, I Class, A Class, C Class, R Class, R5 Class and R6 Class, respectively.
See Notes to Financial Statements.
40
Statement of Changes in Net Assets |
SIX MONTHS ENDED JANUARY 31, 2021 (UNAUDITED) AND YEAR ENDED JULY 31, 2020 | ||||||||
Increase (Decrease) in Net Assets | January 31, 2021 | July 31, 2020 | ||||||
Operations | ||||||||
Net investment income (loss) | $ | 2,172,820 | $ | 4,198,207 | ||||
Net realized gain (loss) | 9,687,229 | 32,620,321 | ||||||
Change in net unrealized appreciation (depreciation) | 23,617,225 | (7,309,756) | ||||||
Net increase (decrease) in net assets resulting from operations | 35,477,274 | 29,508,772 | ||||||
Distributions to Shareholders | ||||||||
From earnings: | ||||||||
Investor Class | (5,691,355) | (12,238,428) | ||||||
I Class | (1,179,424) | (2,275,562) | ||||||
A Class | (3,008,469) | (5,976,445) | ||||||
C Class | (508,010) | (1,162,797) | ||||||
R Class | (407,844) | (745,441) | ||||||
R5 Class | (1,348,576) | (2,974,364) | ||||||
R6 Class | (3,097,446) | (5,935,807) | ||||||
Decrease in net assets from distributions | (15,241,124) | (31,308,844) | ||||||
Capital Share Transactions | ||||||||
Net increase (decrease) in net assets from capital share transactions (Note 5) | 13,778,642 | (25,464,995) | ||||||
Net increase (decrease) in net assets | 34,014,792 | (27,265,067) | ||||||
Net Assets | ||||||||
Beginning of period | 385,190,648 | 412,455,715 | ||||||
End of period | $ | 419,205,440 | $ | 385,190,648 |
See Notes to Financial Statements.
41
Notes to Financial Statements |
JANUARY 31, 2021 (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 (NAV) 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.
42
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 NAV 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 NAV 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. Income and capital gain distributions, if any, from the affiliated funds are recorded as of the ex-dividend date. 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. Securities lending income is net of fees and rebates earned by the lending agent for its services.
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.
43
Foreign Currency Translations — All assets and liabilities initially expressed in foreign currencies are translated into U.S. dollars at prevailing exchange rates at period end. The fund may enter into spot foreign currency exchange contracts to facilitate transactions denominated in a foreign currency. Purchases and sales of investment securities, dividend and interest income, spot foreign currency exchange contracts, and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Net realized and unrealized foreign currency exchange gains or losses related to investment securities are a component of net realized gain (loss) on investment transactions and change in net unrealized appreciation (depreciation) on investments, respectively.
Forward Commitments — The fund may engage in securities transactions on a forward commitment basis. In these transactions, the securities’ prices and yields are fixed on the date of the commitment. The fund may sell a to-be-announced (TBA) security and at the same time make a commitment to purchase the same security at a future date at a specified price. Conversely, the fund may purchase a TBA security and at the same time make a commitment to sell the same security at a future date at a specified price. These types of transactions are known as “TBA roll” transactions and are accounted for as purchases and sales. The fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet the purchase price.
Income Tax Status — It is the fund’s policy to distribute substantially all net investment income and net realized gains to shareholders and to otherwise qualify as a regulated investment company under provisions of the Internal Revenue Code. Accordingly, no provision has been made for income taxes. The fund files U.S. federal, state, local and non-U.S. tax returns as applicable. The fund's tax returns are subject to examination by the relevant taxing authority until expiration of the applicable statute of limitations, which is generally three 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.
Securities Lending — Securities are lent to qualified financial institutions and brokers. State Street Bank & Trust Co. serves as securities lending agent to the fund pursuant to a Securities Lending Agreement. The lending of securities exposes the fund to risks such as: the borrowers may fail to return the loaned securities, the borrowers may not be able to provide additional collateral, the fund may experience delays in recovery of the loaned securities or delays in access to collateral, or the fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge collateral in the form of cash and/or securities. The lending agent has agreed to indemnify the fund in the case of default of any securities borrowed. Cash collateral received is invested in the State Street Navigator Securities Lending Government Money Market Portfolio, a money market mutual fund registered under the 1940 Act. The loans may also be secured by U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends, determined on a daily basis and adjusted accordingly. By lending securities, the fund seeks to increase its net investment income through the receipt of interest and fees. Such income is reflected separately within the Statement of Operations. The value of loaned securities and related collateral outstanding at period end, if any, are shown on a gross basis within the Schedule of Investments and Statement of Assets and Liabilities.
44
The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of January 31, 2021.
Remaining Contractual Maturity of Agreements | |||||||||||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | |||||||||||||
Securities Lending Transactions(1) | |||||||||||||||||
Common Stocks | $ | 151,078 | — | — | — | $ | 151,078 | ||||||||||
Gross amount of recognized liabilities for securities lending transactions | $ | 151,078 |
(1)Amount represents the payable for cash collateral received for securities on loan. This will generally be in the Overnight and Continuous column as the securities are typically callable on demand.
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 ACIM will pay all expenses of managing and operating the fund, except brokerage expenses, taxes, interest, fees and expenses of the independent directors (including legal counsel fees), extraordinary expenses, and expenses incurred in connection with the provision of shareholder services and distribution services under a plan adopted pursuant to Rule 12b-1 under the 1940 Act. 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. During the period ended January 31, 2021, the investment advisor agreed to waive an additional 0.15% of the fund's management fee. The investment advisor expects this waiver to continue until November 30, 2021 and cannot terminate it prior to such date without the approval of the Board of Directors.
The management fee schedule range and the effective annual management fee before and after waiver for each class for the period ended January 31, 2021 are as follows:
Effective Annual Management Fee | |||||||||||
Management Fee Schedule Range | Before Waiver | After Waiver | |||||||||
Investor Class | 0.80% to 1.00% | 1.00% | 0.76% | ||||||||
I Class | 0.60% to 0.80% | 0.80% | 0.56% | ||||||||
A Class | 0.80% to 1.00% | 1.00% | 0.76% | ||||||||
C Class | 0.80% to 1.00% | 1.00% | 0.76% | ||||||||
R Class | 0.80% to 1.00% | 1.00% | 0.76% | ||||||||
R5 Class | 0.60% to 0.80% | 0.80% | 0.56% | ||||||||
R6 Class | 0.45% to 0.65% | 0.65% | 0.41% |
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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, 2021 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 $162,684 and $2,410,102, respectively. The effect of interfund transactions on the Statement of Operations was $25,562 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, 2021 totaled $122,863,701, of which $70,532,032 represented U.S. Treasury and Government Agency obligations.
Sales of investment securities, excluding short-term investments, for the period ended January 31, 2021 totaled $129,543,018, of which $65,727,828 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, 2021 | Year ended July 31, 2020 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Investor Class/Shares Authorized | 500,000,000 | 500,000,000 | ||||||||||||
Sold | 2,255,930 | $ | 13,270,980 | 3,089,007 | $ | 16,345,089 | ||||||||
Issued in reinvestment of distributions | 926,017 | 5,490,326 | 2,191,241 | 12,014,731 | ||||||||||
Redeemed | (2,229,770) | (13,106,233) | (8,234,700) | (45,168,135) | ||||||||||
952,177 | 5,655,073 | (2,954,452) | (16,808,315) | |||||||||||
I Class/Shares Authorized | 120,000,000 | 120,000,000 | ||||||||||||
Sold | 897,937 | 5,294,163 | 1,341,385 | 7,258,248 | ||||||||||
Issued in reinvestment of distributions | 198,802 | 1,178,817 | 414,673 | 2,274,358 | ||||||||||
Redeemed | (700,034) | (4,097,438) | (1,961,383) | (10,657,011) | ||||||||||
396,705 | 2,375,542 | (205,325) | (1,124,405) | |||||||||||
A Class/Shares Authorized | 270,000,000 | 270,000,000 | ||||||||||||
Sold | 1,677,603 | 9,906,259 | 2,678,884 | 14,641,649 | ||||||||||
Issued in reinvestment of distributions | 498,759 | 2,955,642 | 1,057,771 | 5,797,946 | ||||||||||
Redeemed | (1,422,880) | (8,347,060) | (5,237,372) | (28,714,839) | ||||||||||
753,482 | 4,514,841 | (1,500,717) | (8,275,244) | |||||||||||
C Class/Shares Authorized | 70,000,000 | 70,000,000 | ||||||||||||
Sold | 240,429 | 1,372,302 | 303,952 | 1,624,649 | ||||||||||
Issued in reinvestment of distributions | 87,054 | 506,564 | 211,603 | 1,137,600 | ||||||||||
Redeemed | (693,088) | (4,054,995) | (1,009,983) | (5,445,064) | ||||||||||
(365,605) | (2,176,129) | (494,428) | (2,682,815) | |||||||||||
R Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||||||
Sold | 200,803 | 1,193,305 | 451,192 | 2,448,869 | ||||||||||
Issued in reinvestment of distributions | 68,775 | 407,161 | 135,298 | 738,680 | ||||||||||
Redeemed | (145,280) | (847,827) | (496,484) | (2,704,247) | ||||||||||
124,298 | 752,639 | 90,006 | 483,302 | |||||||||||
R5 Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||||||
Sold | 267,362 | 1,581,371 | 395,433 | 2,145,115 | ||||||||||
Issued in reinvestment of distributions | 227,085 | 1,348,576 | 541,377 | 2,974,364 | ||||||||||
Redeemed | (575,838) | (3,393,288) | (1,338,552) | (7,124,856) | ||||||||||
(81,391) | (463,341) | (401,742) | (2,005,377) | |||||||||||
R6 Class/Shares Authorized | 90,000,000 | 90,000,000 | ||||||||||||
Sold | 1,234,225 | 7,296,746 | 2,517,849 | 13,510,237 | ||||||||||
Issued in reinvestment of distributions | 522,577 | 3,097,446 | 1,082,241 | 5,935,807 | ||||||||||
Redeemed | (1,236,878) | (7,274,175) | (2,704,571) | (14,498,185) | ||||||||||
519,924 | 3,120,017 | 895,519 | 4,947,859 | |||||||||||
Net increase (decrease) | 2,299,590 | $ | 13,778,642 | (4,571,139) | $ | (25,464,995) |
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6. Fair Value Measurements
The fund’s investments valuation process is based on several considerations and may use multiple inputs to determine the fair value of the investments held by the fund. In conformity with accounting principles generally accepted in the United States of America, the inputs used to determine a valuation are classified into three broad levels.
•Level 1 valuation inputs consist of unadjusted quoted prices in an active market for identical investments.
•Level 2 valuation inputs consist of direct or indirect observable market data (including quoted prices for comparable investments, evaluations of subsequent market events, interest rates, prepayment speeds, credit risk, etc.). These inputs also consist of quoted prices for identical investments initially expressed in local currencies that are adjusted through translation into U.S. dollars.
•Level 3 valuation inputs consist of unobservable data (including a fund’s own assumptions).
The level classification is based on the lowest level input that is significant to the fair valuation measurement. The valuation inputs are not necessarily an indication of the risks associated with investing in these securities or other financial instruments.
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 | $ | 134,374,283 | — | — | |||||||
U.S. Treasury Securities | — | $ | 86,530,749 | — | |||||||
Common Stocks | 64,724,028 | 18,835,698 | — | ||||||||
Sovereign Governments and Agencies | — | 29,361,976 | — | ||||||||
Corporate Bonds | — | 25,935,985 | — | ||||||||
Municipal Securities | — | 9,750,139 | — | ||||||||
Collateralized Loan Obligations | — | 9,672,813 | — | ||||||||
U.S. Government Agency Mortgage-Backed Securities | — | 9,162,391 | — | ||||||||
Commercial Paper | — | 8,337,761 | — | ||||||||
Collateralized Mortgage Obligations | — | 5,902,140 | — | ||||||||
Asset-Backed Securities | — | 3,959,900 | — | ||||||||
Preferred Stocks | — | 1,805,787 | — | ||||||||
Exchange-Traded Funds | 1,137,381 | — | — | ||||||||
Temporary Cash Investments | 16,248,618 | — | — | ||||||||
Temporary Cash Investments - Securities Lending Collateral | 151,078 | — | — | ||||||||
$ | 216,635,388 | $ | 209,255,339 | — | |||||||
Other Financial Instruments | |||||||||||
Futures Contracts | $ | 14,484 | — | — | |||||||
Swap Agreements | — | $ | 665,999 | — | |||||||
Forward Foreign Currency Exchange Contracts | — | 179,832 | — | ||||||||
$ | 14,484 | $ | 845,831 | — | |||||||
Liabilities | |||||||||||
Other Financial Instruments | |||||||||||
Futures Contracts | $ | 29,279 | $ | 8,407 | — | ||||||
Forward Foreign Currency Exchange Contracts | — | 274,619 | — | ||||||||
$ | 29,279 | $ | 283,026 | — |
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7. Derivative Instruments
Credit Risk — The fund is subject to credit risk in the normal course of pursuing its investment objectives. The value of a bond generally declines as the credit quality of its issuer declines. Credit default swap agreements enable a fund to buy/sell protection against a credit event of a specific issuer or index. A fund may attempt to enhance returns by selling protection or attempt to mitigate credit risk by buying protection. 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 $7,660,000.
Foreign Currency Risk — The fund is subject to foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The value of foreign investments held by a fund may be significantly affected by changes in foreign currency exchange rates. The dollar value of a foreign security generally decreases when the value of the dollar rises against the foreign currency in which the security is denominated and tends to increase when the value of the dollar declines against such foreign currency. A fund may enter into forward foreign currency exchange contracts to reduce a fund's exposure to foreign currency exchange rate fluctuations or to gain exposure to the fluctuations in the value of foreign currencies. The net U.S. dollar value of foreign currency underlying all contractual commitments held by a fund and the resulting unrealized appreciation or depreciation are determined daily. Realized gain or loss is recorded upon settlement 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 $27,765,199.
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 $6,637,844 futures contracts purchased and $7,638,727 futures contracts sold.
49
Value of Derivative Instruments as of January 31, 2021 | ||||||||||||||
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* | $ | 5,642 | |||||||||
Foreign Currency Risk | Unrealized appreciation on forward foreign currency exchange contracts | $ | 179,832 | Unrealized depreciation on forward foreign currency exchange contracts | 274,619 | |||||||||
Interest Rate Risk | Receivable for variation margin on futures contracts* | 9,906 | Payable for variation margin on futures contracts* | 11,919 | ||||||||||
$ | 189,738 | $ | 292,180 |
*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, 2021 | ||||||||||||||
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 | $ | (22,161) | Change in net unrealized appreciation (depreciation) on swap agreements | $ | (14,004) | ||||||||
Foreign Currency Risk | Net realized gain (loss) on forward foreign currency exchange contract transactions | (417,165) | Change in net unrealized appreciation (depreciation) on forward foreign currency exchange contracts | 26,698 | ||||||||||
Interest Rate Risk | Net realized gain (loss) on futures contract transactions | 57,255 | Change in net unrealized appreciation (depreciation) on futures contracts | (29,462) | ||||||||||
$ | (382,071) | $ | (16,768) |
8. Risk Factors
The value of the fund’s shares will go up and down, sometimes rapidly or unpredictably, based on the performance of the securities owned by the fund 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.
The fund may invest in instruments that have variable or floating coupon rates based on the London Interbank Offered Rate (LIBOR). LIBOR is a benchmark interest rate intended to be representative of the rate at which certain major international banks lend to one another over short-terms. However, LIBOR is expected to be phased out and the transition process may lead to increased volatility or illiquidity in markets for instruments that rely on LIBOR. This could result in a change to the value of such instruments.
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.
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9. Federal Tax Information
The book-basis character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. These differences reflect the differing character of certain income items and net realized gains and losses for financial statement and tax purposes, and may result in reclassification among certain capital accounts on the financial statements.
As of period end, the components of investments for federal income tax purposes were as follows:
Federal tax cost of investments | $ | 366,014,954 | |||
Gross tax appreciation of investments | $ | 61,596,529 | |||
Gross tax depreciation of investments | (1,720,756) | ||||
Net tax appreciation (depreciation) of investments | $ | 59,875,773 |
The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales.
10. 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.
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11. Affiliated Fund Transactions
A summary of transactions for each affiliated fund for the period ended January 31, 2021 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 | $ | 20,618 | — | — | $ | (68) | $ | 20,550 | 389 | — | $ | 423 | ||||||||||||||
American Century STOXX U.S. Quality Value ETF | 19,320 | $ | 1,159 | — | 2,863 | 23,342 | 550 | — | 229 | |||||||||||||||||
American Century STOXX U.S. Quality Growth ETF | 25,050 | — | $ | 4,714 | 2,449 | 22,785 | 367 | $ | 1,605 | 19 | ||||||||||||||||
American Century Quality Diversified International ETF | 8,792 | 89 | 683 | 1,371 | 9,569 | 199 | 92 | 89 | ||||||||||||||||||
Avantis International Equity ETF | 9,480 | 104 | 738 | 1,727 | 10,573 | 187 | 55 | 104 | ||||||||||||||||||
American Century Focused Large Cap Value ETF | 4,959 | 1,296 | — | 718 | 6,973 | 131 | — | 48 | ||||||||||||||||||
Avantis International Small Cap Value ETF | 1,977 | 20 | — | 510 | 2,507 | 44 | — | 29 | ||||||||||||||||||
American Century Focused Dynamic Growth ETF | 12,808 | — | 3,448 | 1,349 | 10,709 | 145 | 944 | 1 | ||||||||||||||||||
Avantis U.S. Small Cap Value ETF | 3,775 | 24 | 804 | 1,515 | 4,510 | 75 | 64 | 37 | ||||||||||||||||||
Avantis U.S. Equity ETF | 19,222 | 68 | 369 | 3,935 | 22,856 | 361 | 28 | 149 | ||||||||||||||||||
$ | 126,001 | $ | 2,760 | $ | 10,756 | $ | 16,369 | $ | 134,374 | 2,448 | $ | 2,788 | $ | 1,128 |
(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.
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 | |||||||||||||||||||||||||||||||||||||||||||||||
2021(3) | $5.65 | 0.03 | 0.50 | 0.53 | (0.04) | (0.19) | (0.23) | $5.95 | 9.28% | 0.76%(4) | 1.00%(4) | 1.07%(4) | 0.83%(4) | 31% | $157,675 | ||||||||||||||||||||||||||||||||
2020 | $5.67 | 0.06 | 0.37 | 0.43 | (0.07) | (0.38) | (0.45) | $5.65 | 7.89% | 0.85% | 1.01% | 1.09% | 0.93% | 87% | $144,395 | ||||||||||||||||||||||||||||||||
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(5) | $6.06 | 0.06 | 0.05 | 0.11 | (0.06) | (0.28) | (0.34) | $5.83 | 2.01% | 1.00%(4) | 1.00%(4) | 1.51%(4) | 1.51%(4) | 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 | ||||||||||||||||||||||||||||||||
I Class | |||||||||||||||||||||||||||||||||||||||||||||||
2021(3) | $5.65 | 0.04 | 0.49 | 0.53 | (0.04) | (0.19) | (0.23) | $5.95 | 9.40% | 0.56%(4) | 0.80%(4) | 1.27%(4) | 1.03%(4) | 31% | $31,820 | ||||||||||||||||||||||||||||||||
2020 | $5.67 | 0.07 | 0.37 | 0.44 | (0.08) | (0.38) | (0.46) | $5.65 | 8.11% | 0.65% | 0.81% | 1.29% | 1.13% | 87% | $27,985 | ||||||||||||||||||||||||||||||||
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(5) | $6.06 | 0.07 | 0.06 | 0.13 | (0.07) | (0.28) | (0.35) | $5.84 | 2.33% | 0.80%(4) | 0.80%(4) | 1.71%(4) | 1.71%(4) | 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 |
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 | |||||||||||||||||||||||||||||||||||||||||||||||
2021(3) | $5.65 | 0.02 | 0.49 | 0.51 | (0.03) | (0.19) | (0.22) | $5.94 | 8.97% | 1.01%(4) | 1.25%(4) | 0.82%(4) | 0.58%(4) | 31% | $86,638 | ||||||||||||||||||||||||||||||||
2020 | $5.67 | 0.05 | 0.36 | 0.41 | (0.05) | (0.38) | (0.43) | $5.65 | 7.62% | 1.10% | 1.26% | 0.84% | 0.68% | 87% | $78,047 | ||||||||||||||||||||||||||||||||
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(5) | $6.05 | 0.05 | 0.06 | 0.11 | (0.05) | (0.28) | (0.33) | $5.83 | 1.99% | 1.25%(4) | 1.25%(4) | 1.26%(4) | 1.26%(4) | 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 | ||||||||||||||||||||||||||||||||
C Class | |||||||||||||||||||||||||||||||||||||||||||||||
2021(3) | $5.53 | —(6) | 0.48 | 0.48 | —(6) | (0.19) | (0.19) | $5.82 | 8.72% | 1.76%(4) | 2.00%(4) | 0.07%(4) | (0.17)%(4) | 31% | $13,496 | ||||||||||||||||||||||||||||||||
2020 | $5.57 | 0.01 | 0.35 | 0.36 | (0.02) | (0.38) | (0.40) | $5.53 | 6.78% | 1.85% | 2.01% | 0.09% | (0.07)% | 87% | $14,851 | ||||||||||||||||||||||||||||||||
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(5) | $5.96 | 0.02 | 0.07 | 0.09 | (0.03) | (0.28) | (0.31) | $5.74 | 1.58% | 2.00%(4) | 2.00%(4) | 0.51%(4) | 0.51%(4) | 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 |
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 | |||||||||||||||||||||||||||||||||||||||||||||||
2021(3) | $5.63 | 0.02 | 0.49 | 0.51 | (0.02) | (0.19) | (0.21) | $5.93 | 9.03% | 1.26%(4) | 1.50%(4) | 0.57%(4) | 0.33%(4) | 31% | $12,088 | ||||||||||||||||||||||||||||||||
2020 | $5.65 | 0.03 | 0.37 | 0.40 | (0.04) | (0.38) | (0.42) | $5.63 | 7.37% | 1.35% | 1.51% | 0.59% | 0.43% | 87% | $10,783 | ||||||||||||||||||||||||||||||||
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(5) | $6.04 | 0.04 | 0.06 | 0.10 | (0.04) | (0.28) | (0.32) | $5.82 | 1.83% | 1.50%(4) | 1.50%(4) | 1.01%(4) | 1.01%(4) | 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 | ||||||||||||||||||||||||||||||||
R5 Class | |||||||||||||||||||||||||||||||||||||||||||||||
2021(3) | $5.66 | 0.04 | 0.49 | 0.53 | (0.04) | (0.19) | (0.23) | $5.96 | 9.38% | 0.56%(4) | 0.80%(4) | 1.27%(4) | 1.03%(4) | 31% | $35,797 | ||||||||||||||||||||||||||||||||
2020 | $5.68 | 0.07 | 0.37 | 0.44 | (0.08) | (0.38) | (0.46) | $5.66 | 8.10% | 0.65% | 0.81% | 1.29% | 1.13% | 87% | $34,465 | ||||||||||||||||||||||||||||||||
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(5) | $6.07 | 0.08 | 0.05 | 0.13 | (0.07) | (0.28) | (0.35) | $5.85 | 2.15% | 0.80%(4) | 0.80%(4) | 1.71%(4) | 1.71%(4) | 53% | $34,766 | ||||||||||||||||||||||||||||||||
2017(7) | $5.73 | 0.06 | 0.33 | 0.39 | (0.05) | — | (0.05) | $6.07 | 6.80% | 0.81%(4) | 0.81%(4) | 1.60%(4) | 1.60%(4) | 78%(8) | $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 | |||||||||||||||||||||||||||||||||||||||||||||||
2021(3) | $5.66 | 0.04 | 0.49 | 0.53 | (0.05) | (0.19) | (0.24) | $5.95 | 9.29% | 0.41%(4) | 0.65%(4) | 1.42%(4) | 1.18%(4) | 31% | $81,691 | ||||||||||||||||||||||||||||||||
2020 | $5.68 | 0.08 | 0.37 | 0.45 | (0.09) | (0.38) | (0.47) | $5.66 | 8.28% | 0.50% | 0.66% | 1.44% | 1.28% | 87% | $74,665 | ||||||||||||||||||||||||||||||||
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(5) | $6.06 | 0.07 | 0.07 | 0.14 | (0.08) | (0.28) | (0.36) | $5.84 | 2.44% | 0.65%(4) | 0.65%(4) | 1.86%(4) | 1.86%(4) | 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 |
Notes to Financial Highlights |
(1)Computed using average shares outstanding throughout the period.
(2)Total returns are calculated based on the net asset value of the last business day and do not reflect applicable sales charges, if any. Total returns for periods less than one year are not annualized.
(3)Six months ended January 31, 2021 (unaudited).
(4)Annualized.
(5)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.
(6)Per-share amount was less than $0.005.
(7)April 10, 2017 (commencement of sale) through November 30, 2017.
(8)Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the year ended 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 as an exhibit to its reports on Form N-PORT. The fund’s 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. | ||||||||
©2021 American Century Proprietary Holdings, Inc. All rights reserved. CL-SAN-92642 2103 |
Semiannual Report | |||||
January 31, 2021 | |||||
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) |
Table of Contents |
President’s Letter | |||||
Fund Characteristics | |||||
Shareholder Fee Example | |||||
Schedule of Investments | |||||
Statement of Assets and Liabilities | |||||
Statement of Operations | |||||
Statement of Changes in Net Assets | |||||
Notes to Financial Statements | |||||
Financial Highlights | |||||
Additional Information |
Any opinions expressed in this report reflect those of the author as of the date of the report, and do not necessarily represent the opinions of American Century Investments® or any other person in the American Century Investments organization. Any such opinions are subject to change at any time based upon market or other conditions and American Century Investments disclaims any responsibility to update such opinions. These opinions may not be relied upon as investment advice and, because investment decisions made by American Century Investments funds are based on numerous factors, may not be relied upon as an indication of trading intent on behalf of any American Century Investments fund. Security examples are used for representational purposes only and are not intended as recommendations to purchase or sell securities. Performance information for comparative indices and securities is provided to American Century Investments by third party vendors. To the best of American Century Investments’ knowledge, such information is accurate at the time of printing.
President’s Letter |
Jonathan Thomas
Dear Investor:
Thank you for reviewing this semiannual report for the period ended January 31, 2021. It provides a market overview (below), followed by a schedule of fund investments and other financial information. For additional investment insights, please visit americancentury.com.
Stocks Rallied as Stimulus, Vaccines Sparked Optimism
Stocks and other riskier assets delivered robust returns for the six-month reporting period. Investors generally remained upbeat despite periodic upswings in virus cases, lockdowns in certain regions and uncertainty surrounding the U.S. political climate. Ongoing support from global central banks and federal governments helped maintain investor confidence in the financial markets and the economic outlook. Improving data on U.S. manufacturing, employment and housing, along with positive vaccine developments and a late-2020 federal coronavirus aid package, helped sustain the rally. Furthermore, political clarity emerged following the January U.S. Senate run-off elections in Georgia.
The improving economic backdrop combined with massive monetary and fiscal support drove inflation expectations and U.S. Treasury yields higher. The yield on the benchmark 10-year U.S. Treasury note increased more than 50 basis points for the six-month period. Government bond yields in Europe were mixed as several countries in the region struggled with surging coronavirus cases and new business shutdown measures.
Overall, non-U.S. stocks generally outpaced U.S. stocks for the period, and within the U.S. market, small-cap stocks (Russell 2000 Index) were top performers, gaining more than 40%. Value stocks modestly outperformed growth stocks across the board. Rising yields pressured U.S. investment-grade bond returns, which declined nearly 1%. Conversely, global bonds advanced almost 2%.
A Return to Normalcy in Sight
The return to pre-pandemic life appears to be on the horizon now that COVID-19 vaccines have received emergency-use approval. In addition, medical professionals continue to improve treatment protocols for those afflicted with the virus. Nevertheless, until the vaccine is more widely available, investors may face periods of outbreak-related disruptions, economic uncertainty and heightened market volatility. These influences can be unsettling, but they tend to be temporary.
We appreciate your confidence in us during these extraordinary times. Our firm has a long history of helping clients weather unpredictable markets, and we’re confident we will continue to meet today’s challenges.
Sincerely,
Jonathan Thomas
President and Chief Executive Officer
American Century Investments
2
Fund Characteristics |
JANUARY 31, 2021 | |||||
Top Ten Common Stocks | % of net assets | ||||
Microsoft Corp. | 0.5% | ||||
Apple, Inc. | 0.5% | ||||
Amazon.com, Inc. | 0.3% | ||||
Prologis, Inc. | 0.3% | ||||
Alphabet, Inc., Class A | 0.3% | ||||
F5 Networks, Inc. | 0.2% | ||||
Keysight Technologies, Inc. | 0.2% | ||||
Aptiv plc | 0.2% | ||||
Cognex Corp. | 0.2% | ||||
Zimmer Biomet Holdings, Inc. | 0.2% | ||||
Key Fixed-Income Portfolio Statistics | |||||
Weighted Average Life to Maturity | 7.7 years | ||||
Average Duration (effective) | 5.9 years | ||||
Types of Investments in Portfolio | % of net assets | ||||
Affiliated Funds | 42.1% | ||||
Domestic Common Stocks | 21.2% | ||||
Foreign Common Stocks* | 5.8% | ||||
U.S. Treasury Securities | 11.7% | ||||
Corporate Bonds | 4.4% | ||||
Sovereign Governments and Agencies | 3.8% | ||||
Municipal Securities | 1.7% | ||||
U.S. Government Agency Mortgage-Backed Securities | 1.6% | ||||
Collateralized Loan Obligations | 1.5% | ||||
Commercial Paper | 1.3% | ||||
Collateralized Mortgage Obligations | 1.0% | ||||
Asset-Backed Securities | 0.6% | ||||
Exchange-Traded Funds | 0.3% | ||||
Preferred Stocks | 0.2% | ||||
Temporary Cash Investments | 3.7% | ||||
Temporary Cash Investments - Securities Lending Collateral | 0.1% | ||||
Other Assets and Liabilities | (1.0)% |
*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, 2020 to January 31, 2021.
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 through a financial intermediary or employer-sponsored retirement plan account), American Century Investments may charge you a $25.00 annual 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 $25.00 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 8/1/20 | Ending Account Value 1/31/21 | Expenses Paid During Period(1) 8/1/20 - 1/31/21 | Annualized Expense Ratio(1) | |||||||||||
Actual | ||||||||||||||
Investor Class | $1,000 | $1,129.80 | $3.92 | 0.73% | ||||||||||
I Class | $1,000 | $1,130.90 | $2.85 | 0.53% | ||||||||||
A Class | $1,000 | $1,128.90 | $5.26 | 0.98% | ||||||||||
C Class | $1,000 | $1,125.50 | $9.27 | 1.73% | ||||||||||
R Class | $1,000 | $1,128.50 | $6.60 | 1.23% | ||||||||||
R5 Class | $1,000 | $1,132.60 | $2.85 | 0.53% | ||||||||||
R6 Class | $1,000 | $1,132.10 | $2.04 | 0.38% | ||||||||||
Hypothetical | ||||||||||||||
Investor Class | $1,000 | $1,021.53 | $3.72 | 0.73% | ||||||||||
I Class | $1,000 | $1,022.53 | $2.70 | 0.53% | ||||||||||
A Class | $1,000 | $1,020.27 | $4.99 | 0.98% | ||||||||||
C Class | $1,000 | $1,016.48 | $8.79 | 1.73% | ||||||||||
R Class | $1,000 | $1,019.01 | $6.26 | 1.23% | ||||||||||
R5 Class | $1,000 | $1,022.53 | $2.70 | 0.53% | ||||||||||
R6 Class | $1,000 | $1,023.29 | $1.94 | 0.38% |
(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 365, 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, 2021 (UNAUDITED)
Shares/ Principal Amount | Value | ||||||||||
AFFILIATED FUNDS(1) — 42.1% | |||||||||||
American Century Diversified Corporate Bond ETF | 541,178 | $ | 28,585,022 | ||||||||
American Century Focused Dynamic Growth ETF | 496,691 | 36,670,697 | |||||||||
American Century Focused Large Cap Value ETF | 499,525 | 26,684,626 | |||||||||
American Century Quality Diversified International ETF | 572,225 | 27,519,902 | |||||||||
American Century STOXX U.S. Quality Growth ETF | 867,359 | 53,855,101 | |||||||||
American Century STOXX U.S. Quality Value ETF | 1,089,988 | 46,280,890 | |||||||||
Avantis Emerging Markets Equity ETF | 605,071 | 38,361,501 | |||||||||
Avantis International Equity ETF | 482,097 | 27,315,616 | |||||||||
Avantis International Small Cap Value ETF | 188,492 | 10,695,036 | |||||||||
Avantis U.S. Equity ETF | 1,074,897 | 68,069,465 | |||||||||
Avantis U.S. Small Cap Value ETF | 236,130 | 14,113,490 | |||||||||
TOTAL AFFILIATED FUNDS (Cost $304,616,207) | 378,151,346 | ||||||||||
COMMON STOCKS — 27.0% | |||||||||||
Aerospace and Defense — 0.3% | |||||||||||
AAR Corp. | 3,156 | 105,884 | |||||||||
BAE Systems plc | 127,984 | 809,479 | |||||||||
CAE, Inc. | 4,464 | 100,853 | |||||||||
General Dynamics Corp. | 4,099 | 601,241 | |||||||||
Lockheed Martin Corp. | 1,499 | 482,408 | |||||||||
Safran SA(2) | 2,943 | 371,145 | |||||||||
Spirit AeroSystems Holdings, Inc., Class A | 3,823 | 129,485 | |||||||||
Textron, Inc. | 8,419 | 381,044 | |||||||||
2,981,539 | |||||||||||
Air Freight and Logistics — 0.1% | |||||||||||
Expeditors International of Washington, Inc. | 2,702 | 241,883 | |||||||||
United Parcel Service, Inc., Class B | 2,835 | 439,425 | |||||||||
681,308 | |||||||||||
Airlines — 0.2% | |||||||||||
Alaska Air Group, Inc. | 2,803 | 136,870 | |||||||||
JET2 plc(2) | 5,332 | 96,236 | |||||||||
Ryanair Holdings plc, ADR(2) | 2,290 | 217,710 | |||||||||
Southwest Airlines Co. | 20,223 | 888,599 | |||||||||
1,339,415 | |||||||||||
Auto Components — 0.4% | |||||||||||
Aptiv plc | 11,800 | 1,576,480 | |||||||||
BorgWarner, Inc. | 15,750 | 661,343 | |||||||||
Hyundai Mobis Co. Ltd.(2) | 1,558 | 438,867 | |||||||||
LCI Industries | 707 | 91,472 | |||||||||
Minth Group Ltd. | 28,000 | 127,783 | |||||||||
Sumitomo Rubber Industries Ltd. | 14,000 | 129,122 | |||||||||
Valeo SA | 10,873 | 406,190 | |||||||||
3,431,257 | |||||||||||
Automobiles — 0.4% | |||||||||||
Bayerische Motoren Werke AG | 4,378 | 372,023 | |||||||||
Daimler AG | 12,990 | 916,108 | |||||||||
Honda Motor Co. Ltd., ADR | 21,331 | 564,845 |
6
Shares/ Principal Amount | Value | ||||||||||
Hyundai Motor Co. | 1,199 | $ | 243,113 | ||||||||
Nissan Motor Co. Ltd.(2) | 83,600 | 427,366 | |||||||||
Tesla, Inc.(2) | 1,371 | 1,087,929 | |||||||||
3,611,384 | |||||||||||
Banks — 1.1% | |||||||||||
AIB Group plc(2) | 53,458 | 95,122 | |||||||||
Banco Bilbao Vizcaya Argentaria SA | 54,335 | 247,446 | |||||||||
Banco Bradesco SA | 36,290 | 143,266 | |||||||||
Bank Central Asia Tbk PT | 96,500 | 232,703 | |||||||||
Bank of America Corp. | 26,843 | 795,895 | |||||||||
Barclays plc(2) | 330,644 | 604,875 | |||||||||
BNP Paribas SA(2) | 12,192 | 587,196 | |||||||||
CaixaBank SA | 95,136 | 240,478 | |||||||||
Commerce Bancshares, Inc. | 9,553 | 638,618 | |||||||||
Commerzbank AG(2) | 47,208 | 313,680 | |||||||||
Eastern Bankshares, Inc.(2) | 11,853 | 188,937 | |||||||||
FinecoBank Banca Fineco SpA(2) | 4,254 | 66,421 | |||||||||
HDFC Bank Ltd., ADR(2) | 4,980 | 359,058 | |||||||||
JPMorgan Chase & Co. | 8,799 | 1,132,167 | |||||||||
M&T Bank Corp. | 3,658 | 484,575 | |||||||||
Mitsubishi UFJ Financial Group, Inc. | 111,300 | 501,473 | |||||||||
Mizuho Financial Group, Inc. | 30,000 | 400,176 | |||||||||
PNC Financial Services Group, Inc. (The) | 2,554 | 366,550 | |||||||||
Regions Financial Corp. | 41,374 | 703,772 | |||||||||
Societe Generale SA(2) | 9,098 | 170,014 | |||||||||
Standard Chartered plc (London)(2) | 21,382 | 129,836 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 11,100 | 345,505 | |||||||||
Truist Financial Corp. | 16,549 | 794,021 | |||||||||
UniCredit SpA(2) | 13,364 | 122,203 | |||||||||
Westamerica Bancorporation | 7,071 | 394,703 | |||||||||
10,058,690 | |||||||||||
Beverages — 0.2% | |||||||||||
Boston Beer Co., Inc. (The), Class A(2) | 534 | 489,619 | |||||||||
Fevertree Drinks plc | 2,456 | 81,584 | |||||||||
PepsiCo, Inc. | 6,233 | 851,241 | |||||||||
Royal Unibrew A/S | 595 | 58,663 | |||||||||
1,481,107 | |||||||||||
Biotechnology — 0.7% | |||||||||||
AbbVie, Inc. | 6,470 | 663,046 | |||||||||
ACADIA Pharmaceuticals, Inc.(2) | 7,473 | 359,078 | |||||||||
Acceleron Pharma, Inc.(2) | 781 | 90,229 | |||||||||
ADC Therapeutics SA(2) | 2,378 | 67,940 | |||||||||
Alnylam Pharmaceuticals, Inc.(2) | 3,317 | 499,142 | |||||||||
Amgen, Inc. | 2,880 | 695,318 | |||||||||
Amicus Therapeutics, Inc.(2) | 5,562 | 105,177 | |||||||||
Arcutis Biotherapeutics, Inc.(2) | 1,955 | 53,352 | |||||||||
Arena Pharmaceuticals, Inc.(2) | 846 | 62,807 | |||||||||
Argenx SE, ADR(2) | 1,152 | 337,559 | |||||||||
Biohaven Pharmaceutical Holding Co. Ltd.(2) | 1,334 | 113,684 | |||||||||
Blueprint Medicines Corp.(2) | 1,118 | 108,167 | |||||||||
Bridgebio Pharma, Inc.(2)(3) | 1,796 | 101,941 | |||||||||
ChemoCentryx, Inc.(2) | 1,236 | 70,464 |
7
Shares/ Principal Amount | Value | ||||||||||
Deciphera Pharmaceuticals, Inc.(2) | 1,650 | $ | 72,930 | ||||||||
Fate Therapeutics, Inc.(2) | 899 | 81,476 | |||||||||
FibroGen, Inc.(2) | 1,916 | 92,313 | |||||||||
Flexion Therapeutics, Inc.(2) | 4,949 | 60,229 | |||||||||
Generation Bio Co.(2) | 1,061 | 27,936 | |||||||||
Global Blood Therapeutics, Inc.(2) | 1,302 | 65,256 | |||||||||
Halozyme Therapeutics, Inc.(2) | 3,041 | 144,721 | |||||||||
Heron Therapeutics, Inc.(2) | 2,332 | 40,484 | |||||||||
Insmed, Inc.(2) | 3,475 | 130,625 | |||||||||
Invitae Corp.(2)(3) | 1,743 | 86,313 | |||||||||
Iovance Biotherapeutics, Inc.(2) | 890 | 39,018 | |||||||||
Karuna Therapeutics, Inc.(2) | 991 | 98,337 | |||||||||
Kinnate Biopharma, Inc.(2) | 597 | 19,582 | |||||||||
Kymera Therapeutics, Inc.(2)(3) | 1,060 | 65,667 | |||||||||
Mirati Therapeutics, Inc.(2) | 412 | 84,596 | |||||||||
Natera, Inc.(2) | 4,647 | 495,556 | |||||||||
Novavax, Inc.(2) | 238 | 52,584 | |||||||||
Relay Therapeutics, Inc.(2) | 883 | 43,779 | |||||||||
Seagen, Inc.(2) | 2,238 | 367,636 | |||||||||
Sigilon Therapeutics, Inc.(2) | 1,169 | 35,783 | |||||||||
Turning Point Therapeutics, Inc.(2) | 2,208 | 277,082 | |||||||||
Ultragenyx Pharmaceutical, Inc.(2) | 1,058 | 146,628 | |||||||||
Vertex Pharmaceuticals, Inc.(2) | 1,130 | 258,860 | |||||||||
Viela Bio, Inc.(2)(3) | 1,990 | 69,013 | |||||||||
6,184,308 | |||||||||||
Building Products — 0.3% | |||||||||||
American Woodmark Corp.(2) | 879 | 76,042 | |||||||||
Johnson Controls International plc | 25,385 | 1,264,681 | |||||||||
Masco Corp. | 8,351 | 453,543 | |||||||||
Masonite International Corp.(2) | 1,568 | 156,016 | |||||||||
Trane Technologies plc | 3,497 | 501,295 | |||||||||
Trex Co., Inc.(2) | 1,195 | 109,665 | |||||||||
2,561,242 | |||||||||||
Capital Markets — 1.2% | |||||||||||
Ameriprise Financial, Inc. | 5,694 | 1,126,672 | |||||||||
Bank of New York Mellon Corp. (The) | 27,094 | 1,079,154 | |||||||||
BlackRock, Inc. | 784 | 549,788 | |||||||||
Credit Suisse Group AG | 49,582 | 653,472 | |||||||||
flatexDEGIRO AG(2) | 2,371 | 218,608 | |||||||||
GCM Grosvenor, Inc., Class A(2)(3) | 4,396 | 56,972 | |||||||||
Intercontinental Exchange, Inc. | 3,144 | 346,940 | |||||||||
Intermediate Capital Group plc | 6,813 | 158,474 | |||||||||
London Stock Exchange Group plc | 3,113 | 370,166 | |||||||||
LPL Financial Holdings, Inc. | 4,542 | 492,080 | |||||||||
MarketAxess Holdings, Inc. | 870 | 470,461 | |||||||||
Morgan Stanley | 13,699 | 918,518 | |||||||||
MSCI, Inc. | 1,725 | 681,892 | |||||||||
Northern Trust Corp. | 12,731 | 1,135,478 | |||||||||
Open Lending Corp., Class A(2) | 3,193 | 115,874 | |||||||||
Partners Group Holding AG | 310 | 366,670 | |||||||||
S&P Global, Inc. | 2,082 | 659,994 | |||||||||
State Street Corp. | 4,459 | 312,130 |
8
Shares/ Principal Amount | Value | ||||||||||
T. Rowe Price Group, Inc. | 3,714 | $ | 581,167 | ||||||||
UBS Group AG | 24,566 | 354,647 | |||||||||
10,649,157 | |||||||||||
Chemicals — 0.4% | |||||||||||
Air Liquide SA | 1,819 | 297,250 | |||||||||
Air Products and Chemicals, Inc. | 1,119 | 298,505 | |||||||||
Albemarle Corp. | 1,915 | 311,494 | |||||||||
Arkema SA | 1,858 | 206,281 | |||||||||
Axalta Coating Systems Ltd.(2) | 410 | 11,066 | |||||||||
Corbion NV | 1,579 | 92,001 | |||||||||
Ecolab, Inc. | 1,687 | 345,008 | |||||||||
Element Solutions, Inc. | 14,211 | 242,013 | |||||||||
Huntsman Corp. | 2,151 | 56,829 | |||||||||
Linde plc | 2,956 | 725,402 | |||||||||
Nissan Chemical Corp. | 900 | 51,413 | |||||||||
OCI NV(2) | 4,200 | 86,825 | |||||||||
Sherwin-Williams Co. (The) | 543 | 375,647 | |||||||||
Zeon Corp. | 11,200 | 180,496 | |||||||||
3,280,230 | |||||||||||
Commercial Services and Supplies — 0.3% | |||||||||||
Babcock International Group plc(2) | 77,896 | 248,184 | |||||||||
Brink's Co. (The) | 2,541 | 173,118 | |||||||||
Clean Harbors, Inc.(2) | 2,026 | 156,934 | |||||||||
Country Garden Services Holdings Co. Ltd. | 22,000 | 179,208 | |||||||||
Driven Brands Holdings, Inc.(2) | 3,873 | 108,831 | |||||||||
Elis SA(2) | 4,804 | 71,883 | |||||||||
Ever Sunshine Lifestyle Services Group Ltd. | 114,000 | 327,208 | |||||||||
HomeServe plc | 4,029 | 57,557 | |||||||||
Japan Elevator Service Holdings Co. Ltd. | 3,000 | 70,765 | |||||||||
Loomis AB | 2,090 | 53,576 | |||||||||
Park24 Co. Ltd.(2) | 4,600 | 88,115 | |||||||||
Republic Services, Inc. | 9,177 | 830,702 | |||||||||
2,366,081 | |||||||||||
Communications Equipment — 0.4% | |||||||||||
Arista Networks, Inc.(2) | 2,440 | 750,446 | |||||||||
Cisco Systems, Inc. | 7,006 | 312,327 | |||||||||
F5 Networks, Inc.(2) | 8,342 | 1,634,615 | |||||||||
Juniper Networks, Inc. | 4,623 | 112,894 | |||||||||
Telefonaktiebolaget LM Ericsson, B Shares | 29,412 | 371,560 | |||||||||
3,181,842 | |||||||||||
Construction and Engineering† | |||||||||||
Arcadis NV(2) | 1,736 | 60,830 | |||||||||
Hazama Ando Corp. | 11,500 | 80,575 | |||||||||
NRW Holdings Ltd. | 34,060 | 73,869 | |||||||||
SHO-BOND Holdings Co. Ltd. | 3,100 | 135,229 | |||||||||
350,503 | |||||||||||
Construction Materials† | |||||||||||
Cemex SAB de CV, ADR(2) | 50,589 | 289,875 | |||||||||
Summit Materials, Inc., Class A(2) | 3,826 | 78,548 | |||||||||
368,423 | |||||||||||
Consumer Finance — 0.1% | |||||||||||
American Express Co. | 3,346 | 389,006 |
9
Shares/ Principal Amount | Value | ||||||||||
Cembra Money Bank AG | 716 | $ | 77,965 | ||||||||
466,971 | |||||||||||
Containers and Packaging — 0.4% | |||||||||||
Avery Dennison Corp. | 4,801 | 724,327 | |||||||||
Ball Corp. | 11,120 | 978,782 | |||||||||
Berry Global Group, Inc.(2) | 1,886 | 93,112 | |||||||||
Graphic Packaging Holding Co. | 27,962 | 437,885 | |||||||||
Huhtamaki Oyj | 2,176 | 106,938 | |||||||||
Myers Industries, Inc. | 2,432 | 48,762 | |||||||||
Packaging Corp. of America | 2,498 | 335,881 | |||||||||
SIG Combibloc Group AG(2) | 5,855 | 139,432 | |||||||||
Sonoco Products Co. | 15,747 | 911,909 | |||||||||
3,777,028 | |||||||||||
Distributors — 0.1% | |||||||||||
D'ieteren SA | 937 | 73,661 | |||||||||
Genuine Parts Co. | 5,695 | 534,647 | |||||||||
LKQ Corp.(2) | 10,223 | 358,725 | |||||||||
967,033 | |||||||||||
Diversified Consumer Services† | |||||||||||
Chegg, Inc.(2) | 1,418 | 135,079 | |||||||||
Diversified Financial Services† | |||||||||||
Element Fleet Management Corp. | 14,943 | 138,825 | |||||||||
Hypoport SE(2) | 100 | 68,134 | |||||||||
Zenkoku Hosho Co. Ltd. | 1,700 | 76,184 | |||||||||
283,143 | |||||||||||
Diversified Telecommunication Services — 0.1% | |||||||||||
BT Group plc(2) | 60,406 | 103,844 | |||||||||
Cellnex Telecom SA | 8,860 | 519,105 | |||||||||
Verizon Communications, Inc. | 6,068 | 332,223 | |||||||||
955,172 | |||||||||||
Electric Utilities — 0.5% | |||||||||||
Edison International | 14,732 | 856,813 | |||||||||
Evergy, Inc. | 5,724 | 307,551 | |||||||||
Iberdrola SA | 26,269 | 356,253 | |||||||||
NextEra Energy, Inc. | 17,408 | 1,407,785 | |||||||||
Pinnacle West Capital Corp. | 12,278 | 923,919 | |||||||||
Xcel Energy, Inc. | 3,936 | 251,865 | |||||||||
4,104,186 | |||||||||||
Electrical Equipment — 0.7% | |||||||||||
AMETEK, Inc. | 5,496 | 622,477 | |||||||||
Eaton Corp. plc | 3,422 | 402,769 | |||||||||
Emerson Electric Co. | 14,440 | 1,145,814 | |||||||||
Generac Holdings, Inc.(2) | 799 | 196,890 | |||||||||
Hubbell, Inc. | 5,522 | 859,223 | |||||||||
Mabuchi Motor Co. Ltd. | 2,900 | 120,182 | |||||||||
NEL ASA(2)(3) | 16,959 | 60,362 | |||||||||
nVent Electric plc | 59,574 | 1,333,266 | |||||||||
Rockwell Automation, Inc. | 2,096 | 520,919 | |||||||||
Schneider Electric SE | 3,650 | 535,081 | |||||||||
Sensata Technologies Holding plc(2) | 9,900 | 539,550 | |||||||||
Shoals Technologies Group, Inc., Class A(2) | 2,872 | 97,447 | |||||||||
6,433,980 |
10
Shares/ Principal Amount | Value | ||||||||||
Electronic Equipment, Instruments and Components — 0.6% | |||||||||||
Anritsu Corp. | 5,800 | $ | 142,786 | ||||||||
CDW Corp. | 1,408 | 185,377 | |||||||||
Cognex Corp. | 19,041 | 1,563,837 | |||||||||
Comet Holding AG | 53 | 12,132 | |||||||||
Hexagon AB, B Shares | 4,799 | 419,908 | |||||||||
Jabil, Inc. | 2,674 | 110,623 | |||||||||
Keyence Corp. | 700 | 376,559 | |||||||||
Keysight Technologies, Inc.(2) | 11,315 | 1,602,091 | |||||||||
Littelfuse, Inc. | 626 | 152,350 | |||||||||
LPKF Laser & Electronics AG | 2,264 | 75,774 | |||||||||
Murata Manufacturing Co. Ltd. | 5,300 | 510,442 | |||||||||
nLight, Inc.(2) | 3,494 | 110,690 | |||||||||
TE Connectivity Ltd. | 3,598 | 433,199 | |||||||||
5,695,768 | |||||||||||
Energy Equipment and Services† | |||||||||||
Baker Hughes Co. | 11,885 | 238,770 | |||||||||
Entertainment — 0.4% | |||||||||||
Activision Blizzard, Inc. | 3,334 | 303,394 | |||||||||
Embracer Group AB(2) | 1,262 | 28,532 | |||||||||
Live Nation Entertainment, Inc.(2) | 5,615 | 373,117 | |||||||||
Roku, Inc.(2) | 2,096 | 815,407 | |||||||||
Stillfront Group AB(2) | 14,891 | 158,405 | |||||||||
Walt Disney Co. (The)(2) | 8,515 | 1,431,968 | |||||||||
Zynga, Inc., Class A(2) | 55,521 | 550,213 | |||||||||
3,661,036 | |||||||||||
Equity Real Estate Investment Trusts (REITs) — 2.5% | |||||||||||
Alexandria Real Estate Equities, Inc. | 2,546 | 425,462 | |||||||||
American Homes 4 Rent, Class A | 7,988 | 241,477 | |||||||||
Brixmor Property Group, Inc. | 18,698 | 316,557 | |||||||||
Charter Hall Group | 39,293 | 407,716 | |||||||||
Cousins Properties, Inc. | 5,916 | 186,591 | |||||||||
Embassy Office Parks REIT | 22,600 | 108,539 | |||||||||
Empire State Realty Trust, Inc., Class A | 15,203 | 149,902 | |||||||||
Equinix, Inc. | 1,606 | 1,188,376 | |||||||||
Equity Residential | 8,704 | 536,515 | |||||||||
Essential Properties Realty Trust, Inc. | 8,874 | 184,757 | |||||||||
Essex Property Trust, Inc. | 3,369 | 807,246 | |||||||||
Extra Space Storage, Inc. | 3,077 | 350,132 | |||||||||
Fibra Uno Administracion SA de CV | 321,588 | 360,667 | |||||||||
Gecina SA | 1,423 | 202,917 | |||||||||
Global Medical REIT, Inc. | 6,324 | 79,303 | |||||||||
Goodman Group | 33,279 | 448,529 | |||||||||
Healthcare Trust of America, Inc., Class A | 11,742 | 331,712 | |||||||||
Healthpeak Properties, Inc. | 19,531 | 579,094 | |||||||||
Innovative Industrial Properties, Inc. | 3,687 | 689,911 | |||||||||
Invesco Office J-Reit, Inc. | 891 | 129,767 | |||||||||
Invincible Investment Corp. | 933 | 312,340 | |||||||||
Invitation Homes, Inc. | 18,130 | 534,472 | |||||||||
JBG SMITH Properties | 4,903 | 146,404 | |||||||||
Kimco Realty Corp. | 13,651 | 225,378 | |||||||||
Klepierre SA(3) | 6,793 | 163,472 |
11
Shares/ Principal Amount | Value | ||||||||||
Life Storage, Inc. | 6,623 | $ | 540,264 | ||||||||
Link REIT | 40,800 | 359,620 | |||||||||
Mapletree Commercial Trust | 223,100 | 347,522 | |||||||||
Mapletree Industrial Trust | 149,100 | 322,388 | |||||||||
Mapletree Logistics Trust | 94,800 | 141,339 | |||||||||
MGM Growth Properties LLC, Class A | 18,376 | 572,412 | |||||||||
Mitsui Fudosan Logistics Park, Inc. | 52 | 260,096 | |||||||||
National Retail Properties, Inc. | 4,676 | 182,364 | |||||||||
NETSTREIT Corp. | 6,173 | 106,361 | |||||||||
Orix JREIT, Inc. | 183 | 306,842 | |||||||||
PotlatchDeltic Corp. | 10,873 | 519,294 | |||||||||
Prologis, Inc. | 24,990 | 2,578,968 | |||||||||
QTS Realty Trust, Inc., Class A | 5,719 | 372,307 | |||||||||
Rexford Industrial Realty, Inc. | 7,659 | 374,831 | |||||||||
RLJ Lodging Trust | 23,744 | 306,535 | |||||||||
Ryman Hospitality Properties, Inc. | 6,090 | 394,937 | |||||||||
Safestore Holdings plc | 7,611 | 84,420 | |||||||||
Scentre Group | 98,414 | 203,921 | |||||||||
Segro plc | 25,962 | 339,192 | |||||||||
Simon Property Group, Inc. | 5,452 | 506,654 | |||||||||
SL Green Realty Corp. | 7 | 459 | |||||||||
SOSiLA Logistics REIT, Inc. | 279 | 343,023 | |||||||||
Stockland | 113,400 | 383,797 | |||||||||
Sun Communities, Inc. | 2,953 | 422,663 | |||||||||
Tritax Big Box REIT plc | 19,268 | 48,661 | |||||||||
UDR, Inc. | 16,083 | 618,391 | |||||||||
Urban Edge Properties | 13,272 | 183,021 | |||||||||
Ventas, Inc. | 14,565 | 671,010 | |||||||||
VICI Properties, Inc. | 18,519 | 468,160 | |||||||||
Warehouses De Pauw, CVA | 1,041 | 37,349 | |||||||||
Welltower, Inc. | 11,771 | 713,323 | |||||||||
Weyerhaeuser Co. | 12,980 | 404,846 | |||||||||
22,222,206 | |||||||||||
Food and Staples Retailing — 0.3% | |||||||||||
Costco Wholesale Corp. | 992 | 349,611 | |||||||||
Koninklijke Ahold Delhaize NV | 32,014 | 916,116 | |||||||||
MARR SpA(2) | 4,901 | 102,031 | |||||||||
Sysco Corp. | 15,318 | 1,095,390 | |||||||||
Zur Rose Group AG(2) | 377 | 173,146 | |||||||||
2,636,294 | |||||||||||
Food Products — 0.4% | |||||||||||
Bakkafrost P/F(2) | 1,789 | 125,414 | |||||||||
Beyond Meat, Inc.(2) | 158 | 28,137 | |||||||||
Conagra Brands, Inc. | 28,266 | 978,004 | |||||||||
J.M. Smucker Co. (The) | 6,108 | 711,032 | |||||||||
Kellogg Co. | 9,177 | 540,892 | |||||||||
Mondelez International, Inc., Class A | 12,312 | 682,577 | |||||||||
Orkla ASA | 45,959 | 446,681 | |||||||||
Vital Farms, Inc.(2) | 2,184 | 54,010 | |||||||||
Whole Earth Brands, Inc.(2) | 8,564 | 97,030 | |||||||||
3,663,777 |
12
Shares/ Principal Amount | Value | ||||||||||
Gas Utilities — 0.1% | |||||||||||
Atmos Energy Corp. | 4,983 | $ | 443,487 | ||||||||
Nippon Gas Co. Ltd. | 3,400 | 163,840 | |||||||||
Spire, Inc. | 7,005 | 428,636 | |||||||||
1,035,963 | |||||||||||
Health Care Equipment and Supplies — 0.9% | |||||||||||
Acutus Medical, Inc.(2) | 2,086 | 54,007 | |||||||||
Align Technology, Inc.(2) | 1,927 | 1,012,407 | |||||||||
Becton Dickinson and Co. | 2,172 | 568,608 | |||||||||
DexCom, Inc.(2) | 1,055 | 395,467 | |||||||||
Eargo, Inc.(2) | 1,397 | 73,454 | |||||||||
Edwards Lifesciences Corp.(2) | 6,344 | 523,888 | |||||||||
Envista Holdings Corp.(2) | 15,881 | 564,411 | |||||||||
Globus Medical, Inc., Class A(2) | 1,276 | 78,716 | |||||||||
Hill-Rom Holdings, Inc. | 3,202 | 307,520 | |||||||||
ICU Medical, Inc.(2) | 408 | 83,428 | |||||||||
IDEXX Laboratories, Inc.(2) | 1,567 | 750,092 | |||||||||
Inmode Ltd.(2) | 2,911 | 171,341 | |||||||||
Medtronic plc | 5,207 | 579,695 | |||||||||
Menicon Co. Ltd. | 700 | 42,281 | |||||||||
Olympus Corp. | 13,100 | 237,275 | |||||||||
Ortho Clinical Diagnostics Holdings plc(2) | 5,525 | 91,163 | |||||||||
OrthoPediatrics Corp.(2) | 1,634 | 75,458 | |||||||||
ResMed, Inc. | 674 | 135,858 | |||||||||
Silk Road Medical, Inc.(2) | 1,941 | 105,843 | |||||||||
Tandem Diabetes Care, Inc.(2) | 1,211 | 112,199 | |||||||||
Teleflex, Inc. | 2,581 | 974,663 | |||||||||
Zimmer Biomet Holdings, Inc. | 10,111 | 1,553,757 | |||||||||
8,491,531 | |||||||||||
Health Care Providers and Services — 1.0% | |||||||||||
Acadia Healthcare Co., Inc.(2) | 1,842 | 93,353 | |||||||||
Alfresa Holdings Corp. | 12,100 | 241,955 | |||||||||
Amedisys, Inc.(2) | 2,052 | 589,560 | |||||||||
AMN Healthcare Services, Inc.(2) | 1,240 | 89,429 | |||||||||
Cardinal Health, Inc. | 14,546 | 781,557 | |||||||||
Chartwell Retirement Residences | 16,309 | 136,339 | |||||||||
Cigna Corp. | 1,879 | 407,837 | |||||||||
CVS Health Corp. | 7,682 | 550,415 | |||||||||
Encompass Health Corp. | 14,343 | 1,153,177 | |||||||||
HealthEquity, Inc.(2) | 1,737 | 145,126 | |||||||||
Henry Schein, Inc.(2) | 8,385 | 552,152 | |||||||||
Humana, Inc. | 831 | 318,364 | |||||||||
McKesson Corp. | 3,665 | 639,432 | |||||||||
Option Care Health, Inc.(2) | 6,485 | 119,843 | |||||||||
Quest Diagnostics, Inc. | 6,738 | 870,213 | |||||||||
R1 RCM, Inc.(2) | 6,387 | 161,144 | |||||||||
RadNet, Inc.(2) | 4,216 | 75,509 | |||||||||
UnitedHealth Group, Inc. | 2,484 | 828,613 | |||||||||
Universal Health Services, Inc., Class B | 7,695 | 959,413 | |||||||||
8,713,431 | |||||||||||
Health Care Technology — 0.3% | |||||||||||
Cerner Corp. | 10,216 | 818,404 |
13
Shares/ Principal Amount | Value | ||||||||||
Certara, Inc.(2) | 2,083 | $ | 71,697 | ||||||||
Health Catalyst, Inc.(2) | 3,012 | 149,636 | |||||||||
Phreesia, Inc.(2) | 1,209 | 78,936 | |||||||||
Teladoc Health, Inc.(2) | 2,640 | 696,511 | |||||||||
Veeva Systems, Inc., Class A(2) | 3,091 | 854,476 | |||||||||
2,669,660 | |||||||||||
Hotels, Restaurants and Leisure — 0.4% | |||||||||||
Basic-Fit NV(2) | 2,437 | 83,026 | |||||||||
Brinker International, Inc. | 2,103 | 123,825 | |||||||||
Chipotle Mexican Grill, Inc.(2) | 643 | 951,640 | |||||||||
Churchill Downs, Inc. | 999 | 187,263 | |||||||||
Las Vegas Sands Corp. | 10,360 | 498,212 | |||||||||
Melco International Development Ltd. | 5,000 | 8,862 | |||||||||
Melia Hotels International SA(2)(3) | 8,475 | 55,413 | |||||||||
Planet Fitness, Inc., Class A(2) | 1,174 | 84,528 | |||||||||
Sodexo SA(2) | 6,910 | 614,721 | |||||||||
Sushiro Global Holdings Ltd. | 4,700 | 161,470 | |||||||||
Whitbread plc(2) | 8,171 | 310,384 | |||||||||
Wingstop, Inc. | 743 | 111,487 | |||||||||
Wyndham Hotels & Resorts, Inc. | 2,303 | 133,965 | |||||||||
3,324,796 | |||||||||||
Household Durables — 0.2% | |||||||||||
Bellway plc | 305 | 11,497 | |||||||||
D.R. Horton, Inc. | 4,958 | 380,774 | |||||||||
Haseko Corp. | 13,400 | 157,141 | |||||||||
Man Wah Holdings Ltd. | 47,200 | 104,132 | |||||||||
Mohawk Industries, Inc.(2) | 866 | 124,358 | |||||||||
Open House Co. Ltd. | 13,200 | 533,447 | |||||||||
Taylor Wimpey plc(2) | 234,983 | 470,366 | |||||||||
Token Corp. | 1,100 | 85,260 | |||||||||
TopBuild Corp.(2) | 725 | 144,964 | |||||||||
2,011,939 | |||||||||||
Household Products — 0.2% | |||||||||||
Colgate-Palmolive Co. | 4,194 | 327,132 | |||||||||
Kimberly-Clark Corp. | 3,216 | 424,834 | |||||||||
Procter & Gamble Co. (The) | 5,829 | 747,336 | |||||||||
Reynolds Consumer Products, Inc. | 2,380 | 71,400 | |||||||||
1,570,702 | |||||||||||
Independent Power and Renewable Electricity Producers† | |||||||||||
Innergex Renewable Energy, Inc. | 8,639 | 198,081 | |||||||||
Industrial Conglomerates — 0.1% | |||||||||||
Honeywell International, Inc. | 4,387 | 857,088 | |||||||||
Lifco AB, B Shares | 1,098 | 101,083 | |||||||||
958,171 | |||||||||||
Insurance — 0.6% | |||||||||||
Aegon NV | 50,979 | 210,157 | |||||||||
Aflac, Inc. | 22,132 | 999,924 | |||||||||
AIA Group Ltd. | 23,800 | 291,607 | |||||||||
Arthur J. Gallagher & Co. | 3,155 | 364,118 | |||||||||
Brown & Brown, Inc. | 2,092 | 90,144 | |||||||||
BRP Group, Inc., Class A(2) | 4,609 | 106,975 | |||||||||
Chubb Ltd. | 8,770 | 1,277,526 |
14
Shares/ Principal Amount | Value | ||||||||||
eHealth, Inc.(2) | 1,212 | $ | 57,994 | ||||||||
Goosehead Insurance, Inc., Class A | 536 | 71,610 | |||||||||
Kinsale Capital Group, Inc. | 748 | 140,295 | |||||||||
Marsh & McLennan Cos., Inc. | 2,248 | 247,078 | |||||||||
Palomar Holdings, Inc.(2) | 984 | 97,997 | |||||||||
Progressive Corp. (The) | 1,268 | 110,557 | |||||||||
Prudential Financial, Inc. | 2,621 | 205,172 | |||||||||
Reinsurance Group of America, Inc. | 7,024 | 737,871 | |||||||||
Root, Inc., Class A(2) | 3,494 | 70,422 | |||||||||
SelectQuote, Inc.(2) | 15,911 | 336,040 | |||||||||
Travelers Cos., Inc. (The) | 1,121 | 152,792 | |||||||||
5,568,279 | |||||||||||
Interactive Media and Services — 0.5% | |||||||||||
Alphabet, Inc., Class A(2) | 1,312 | 2,397,496 | |||||||||
carsales.com Ltd. | 4,760 | 71,205 | |||||||||
EverQuote, Inc., Class A(2) | 978 | 44,069 | |||||||||
Facebook, Inc., Class A(2) | 3,150 | 813,740 | |||||||||
Kakaku.com, Inc. | 3,100 | 89,583 | |||||||||
Match Group, Inc.(2) | 5,507 | 770,209 | |||||||||
QuinStreet, Inc.(2) | 5,778 | 122,320 | |||||||||
Tencent Holdings Ltd. | 5,800 | 507,750 | |||||||||
4,816,372 | |||||||||||
Internet and Direct Marketing Retail — 0.6% | |||||||||||
Alibaba Group Holding Ltd., ADR(2) | 1,412 | 358,408 | |||||||||
Amazon.com, Inc.(2) | 905 | 2,901,611 | |||||||||
ASKUL Corp. | 3,000 | 105,866 | |||||||||
ASOS plc(2) | 6,049 | 370,618 | |||||||||
BHG Group AB(2) | 7,893 | 148,002 | |||||||||
boohoo Group plc(2) | 13,902 | 63,826 | |||||||||
Booking Holdings, Inc.(2) | 193 | 375,256 | |||||||||
Chewy, Inc., Class A(2)(3) | 3,943 | 401,476 | |||||||||
Expedia Group, Inc. | 4,087 | 507,197 | |||||||||
Mercari, Inc.(2) | 1,300 | 62,258 | |||||||||
Redbubble Ltd.(2) | 12,103 | 61,588 | |||||||||
5,356,106 | |||||||||||
IT Services — 1.0% | |||||||||||
Accenture plc, Class A | 2,833 | 685,359 | |||||||||
Adyen NV(2) | 212 | 441,741 | |||||||||
Amadeus IT Group SA(2) | 3,789 | 239,846 | |||||||||
Amdocs Ltd. | 1,618 | 114,263 | |||||||||
Atos SE(2) | 2,127 | 162,746 | |||||||||
Capgemini SE | 2,927 | 423,825 | |||||||||
Capita plc(2) | 146,548 | 70,152 | |||||||||
Edenred | 5,711 | 310,022 | |||||||||
Endava plc, ADR(2) | 1,496 | 118,274 | |||||||||
GDS Holdings Ltd., ADR(2) | 8,526 | 882,953 | |||||||||
Hennge KK(2) | 700 | 54,286 | |||||||||
I3 Verticals, Inc., Class A(2) | 5,113 | 148,379 | |||||||||
Indra Sistemas SA(2) | 15,095 | 133,041 | |||||||||
Mastercard, Inc., Class A | 2,667 | 843,545 | |||||||||
NEXTDC Ltd.(2) | 15,474 | 136,408 | |||||||||
Nihon Unisys Ltd. | 3,300 | 124,637 |
15
Shares/ Principal Amount | Value | ||||||||||
Nuvei Corp.(2) | 3,357 | $ | 176,243 | ||||||||
PayPal Holdings, Inc.(2) | 4,459 | 1,044,788 | |||||||||
Perficient, Inc.(2) | 1,373 | 74,980 | |||||||||
Repay Holdings Corp.(2) | 6,042 | 133,830 | |||||||||
Square, Inc., Class A(2) | 3,957 | 854,554 | |||||||||
Twilio, Inc., Class A(2) | 3,783 | 1,359,724 | |||||||||
Visa, Inc., Class A | 4,370 | 844,503 | |||||||||
9,378,099 | |||||||||||
Leisure Products — 0.1% | |||||||||||
BRP, Inc. | 1,690 | 111,239 | |||||||||
Brunswick Corp. | 1,451 | 125,453 | |||||||||
Callaway Golf Co. | 4,711 | 131,390 | |||||||||
Games Workshop Group plc | 853 | 120,521 | |||||||||
Peloton Interactive, Inc., Class A(2) | 2,373 | 346,767 | |||||||||
Polaris, Inc. | 2,890 | 337,176 | |||||||||
1,172,546 | |||||||||||
Life Sciences Tools and Services — 0.4% | |||||||||||
Agilent Technologies, Inc. | 4,712 | 566,241 | |||||||||
Lonza Group AG | 579 | 370,379 | |||||||||
Mettler-Toledo International, Inc.(2) | 699 | 816,502 | |||||||||
NeoGenomics, Inc.(2) | 2,640 | 139,973 | |||||||||
PRA Health Sciences, Inc.(2) | 1,054 | 129,895 | |||||||||
Repligen Corp.(2) | 1,952 | 390,400 | |||||||||
Seer, Inc.(2) | 661 | 41,246 | |||||||||
Tecan Group AG | 119 | 57,700 | |||||||||
Thermo Fisher Scientific, Inc. | 1,688 | 860,374 | |||||||||
3,372,710 | |||||||||||
Machinery — 0.8% | |||||||||||
AGCO Corp. | 1,107 | 122,766 | |||||||||
CKD Corp. | 5,100 | 116,119 | |||||||||
Crane Co. | 4,119 | 311,726 | |||||||||
Cummins, Inc. | 3,929 | 921,036 | |||||||||
Evoqua Water Technologies Corp.(2) | 5,440 | 148,240 | |||||||||
FANUC Corp. | 900 | 236,346 | |||||||||
Graco, Inc. | 5,503 | 379,377 | |||||||||
IHI Corp. | 4,800 | 84,369 | |||||||||
IMI plc | 36,384 | 620,198 | |||||||||
Japan Steel Works Ltd. (The) | 4,200 | 116,899 | |||||||||
Knorr-Bremse AG | 3,067 | 406,901 | |||||||||
Kornit Digital Ltd.(2) | 1,702 | 154,261 | |||||||||
Metso Outotec Oyj | 16,630 | 165,768 | |||||||||
Nabtesco Corp. | 3,100 | 139,370 | |||||||||
Oshkosh Corp. | 6,507 | 595,976 | |||||||||
PACCAR, Inc. | 4,892 | 446,248 | |||||||||
Parker-Hannifin Corp. | 5,356 | 1,417,251 | |||||||||
Rexnord Corp. | 7,047 | 266,799 | |||||||||
Techtronic Industries Co. Ltd. | 26,500 | 397,337 | |||||||||
Trelleborg AB, B Shares(2) | 5,826 | 132,049 | |||||||||
Weir Group plc (The)(2) | 5,205 | 134,947 | |||||||||
Westinghouse Air Brake Technologies Corp. | 3,375 | 250,459 | |||||||||
7,564,442 |
16
Shares/ Principal Amount | Value | ||||||||||
Media — 0.3% | |||||||||||
Atresmedia Corp. de Medios de Comunicacion SA(2) | 17,766 | $ | 70,528 | ||||||||
Comcast Corp., Class A | 6,873 | 340,695 | |||||||||
Fox Corp., Class B | 22,800 | 681,492 | |||||||||
Future plc | 5,018 | 119,293 | |||||||||
Nippon Television Holdings, Inc. | 20,500 | 236,336 | |||||||||
Nordic Entertainment Group AB, B Shares(2) | 1,583 | 82,597 | |||||||||
ProSiebenSat.1 Media SE(2) | 3,315 | 60,137 | |||||||||
Publicis Groupe SA | 8,118 | 420,754 | |||||||||
TV Asahi Holdings Corp. | 6,065 | 117,119 | |||||||||
WPP plc | 49,075 | 512,293 | |||||||||
2,641,244 | |||||||||||
Metals and Mining† | |||||||||||
APERAM SA | 2,804 | 121,181 | |||||||||
Nickel Mines Ltd. | 52,643 | 50,721 | |||||||||
OZ Minerals Ltd. | 9,078 | 128,665 | |||||||||
300,567 | |||||||||||
Mortgage Real Estate Investment Trusts (REITs)† | |||||||||||
PennyMac Mortgage Investment Trust | 12,009 | 207,155 | |||||||||
Multi-Utilities — 0.1% | |||||||||||
Ameren Corp. | 2,182 | 158,675 | |||||||||
NorthWestern Corp. | 14,342 | 781,209 | |||||||||
939,884 | |||||||||||
Multiline Retail — 0.2% | |||||||||||
Dollar Tree, Inc.(2) | 5,629 | 572,244 | |||||||||
Isetan Mitsukoshi Holdings Ltd. | 2,000 | 12,343 | |||||||||
Magazine Luiza SA | 61,648 | 283,035 | |||||||||
Ryohin Keikaku Co. Ltd. | 7,100 | 170,174 | |||||||||
Target Corp. | 1,699 | 307,808 | |||||||||
1,345,604 | |||||||||||
Oil, Gas and Consumable Fuels — 0.5% | |||||||||||
Cimarex Energy Co. | 8,473 | 357,391 | |||||||||
ConocoPhillips | 31,788 | 1,272,474 | |||||||||
Eni SpA | 36,428 | 367,723 | |||||||||
Gazprom PJSC, ADR | 28,554 | 158,138 | |||||||||
Gazprom PJSC | 58,762 | 165,706 | |||||||||
Neste Oyj | 6,226 | 439,897 | |||||||||
Parex Resources, Inc.(2) | 6,949 | 105,152 | |||||||||
PetroChina Co. Ltd., H Shares | 856,000 | 259,941 | |||||||||
Phillips 66 | 3,405 | 230,859 | |||||||||
Saras SpA(2) | 178,235 | 117,109 | |||||||||
Surgutneftegas PJSC, Preference Shares | 910,822 | 480,654 | |||||||||
TOTAL SE | 12,490 | 527,279 | |||||||||
4,482,323 | |||||||||||
Paper and Forest Products — 0.1% | |||||||||||
Louisiana-Pacific Corp. | 2,757 | 104,794 | |||||||||
Mondi plc | 33,561 | 793,258 | |||||||||
West Fraser Timber Co. Ltd.(3) | 1,957 | 125,401 | |||||||||
1,023,453 | |||||||||||
Personal Products — 0.1% | |||||||||||
Estee Lauder Cos., Inc. (The), Class A | 1,278 | 302,439 | |||||||||
Jamieson Wellness, Inc. | 2,042 | 57,248 |
17
Shares/ Principal Amount | Value | ||||||||||
Ontex Group NV(2) | 8,369 | $ | 94,999 | ||||||||
Shiseido Co. Ltd. | 10,100 | 662,788 | |||||||||
1,117,474 | |||||||||||
Pharmaceuticals — 0.7% | |||||||||||
ALK-Abello A/S(2) | 341 | 133,173 | |||||||||
Arvinas, Inc.(2) | 738 | 55,675 | |||||||||
Axsome Therapeutics, Inc.(2) | 919 | 62,575 | |||||||||
Bristol-Myers Squibb Co. | 9,712 | 596,608 | |||||||||
Dermapharm Holding SE | 895 | 63,041 | |||||||||
GlaxoSmithKline plc | 43,581 | 809,608 | |||||||||
Harmony Biosciences Holdings, Inc.(2) | 880 | 31,557 | |||||||||
Horizon Therapeutics plc(2) | 6,901 | 500,184 | |||||||||
Jazz Pharmaceuticals plc(2) | 2,729 | 424,359 | |||||||||
Laboratorios Farmaceuticos Rovi SA | 2,068 | 101,788 | |||||||||
Merck & Co., Inc. | 8,973 | 691,549 | |||||||||
Novartis AG | 3,800 | 343,730 | |||||||||
Novo Nordisk A/S, B Shares | 8,724 | 606,804 | |||||||||
Reata Pharmaceuticals, Inc., Class A(2) | 254 | 26,312 | |||||||||
Sanofi | 3,532 | 331,844 | |||||||||
Sanofi, ADR | 9,957 | 470,070 | |||||||||
Takeda Pharmaceutical Co. Ltd. | 15,600 | 546,973 | |||||||||
Zoetis, Inc. | 2,258 | 348,297 | |||||||||
6,144,147 | |||||||||||
Professional Services — 0.3% | |||||||||||
ASGN, Inc.(2) | 1,296 | 107,451 | |||||||||
CoStar Group, Inc.(2) | 444 | 399,471 | |||||||||
DKSH Holding AG | 750 | 60,266 | |||||||||
en-japan, Inc. | 2,800 | 80,976 | |||||||||
IHS Markit Ltd. | 2,032 | 176,947 | |||||||||
IR Japan Holdings Ltd. | 500 | 83,682 | |||||||||
Korn Ferry | 3,333 | 151,985 | |||||||||
Randstad NV(2) | 1,211 | 75,534 | |||||||||
Recruit Holdings Co. Ltd. | 10,600 | 461,843 | |||||||||
Teleperformance | 996 | 326,591 | |||||||||
TransUnion | 4,118 | 358,431 | |||||||||
UT Group Co. Ltd.(2) | 1,900 | 58,610 | |||||||||
Verisk Analytics, Inc. | 2,550 | 467,925 | |||||||||
2,809,712 | |||||||||||
Real Estate Management and Development — 0.2% | |||||||||||
Altus Group Ltd. | 1,176 | 45,017 | |||||||||
Aroundtown SA | 28,059 | 195,185 | |||||||||
Colliers International Group, Inc. | 1,004 | 88,713 | |||||||||
Colliers International Group, Inc. (Toronto)(3) | 1,617 | 142,561 | |||||||||
ESR Cayman Ltd.(2) | 79,200 | 282,625 | |||||||||
Fastighets AB Balder, B Shares(2) | 2,077 | 103,895 | |||||||||
FirstService Corp. | 954 | 130,318 | |||||||||
IWG plc(2) | 20,355 | 86,971 | |||||||||
Redfin Corp.(2) | 2,562 | 182,440 | |||||||||
Samhallsbyggnadsbolaget i Norden AB(3) | 68,059 | 223,360 | |||||||||
Tricon Residential, Inc.(3) | 12,882 | 122,902 | |||||||||
VGP NV | 1,212 | 198,756 | |||||||||
1,802,743 |
18
Shares/ Principal Amount | Value | ||||||||||
Road and Rail — 0.2% | |||||||||||
Heartland Express, Inc. | 23,607 | $ | 443,103 | ||||||||
Norfolk Southern Corp. | 3,119 | 738,018 | |||||||||
Sixt SE(2) | 508 | 59,319 | |||||||||
TFI International, Inc. | 2,752 | 182,800 | |||||||||
Union Pacific Corp. | 1,877 | 370,651 | |||||||||
1,793,891 | |||||||||||
Semiconductors and Semiconductor Equipment — 1.2% | |||||||||||
Advanced Micro Devices, Inc.(2) | 8,656 | 741,300 | |||||||||
Allegro MicroSystems, Inc.(2) | 2,355 | 65,752 | |||||||||
Applied Materials, Inc. | 9,721 | 939,826 | |||||||||
ASM International NV | 239 | 61,181 | |||||||||
ASML Holding NV | 1,142 | 608,029 | |||||||||
BE Semiconductor Industries NV | 1,541 | 105,790 | |||||||||
Broadcom, Inc. | 1,137 | 512,218 | |||||||||
Entegris, Inc. | 603 | 59,329 | |||||||||
Infineon Technologies AG | 14,540 | 584,766 | |||||||||
MACOM Technology Solutions Holdings, Inc.(2) | 2,898 | 164,780 | |||||||||
Marvell Technology Group Ltd. | 15,554 | 800,409 | |||||||||
Maxim Integrated Products, Inc. | 2,221 | 194,804 | |||||||||
MKS Instruments, Inc. | 526 | 83,145 | |||||||||
Nova Measuring Instruments Ltd.(2) | 1,889 | 131,531 | |||||||||
NVIDIA Corp. | 1,934 | 1,004,887 | |||||||||
Onto Innovation, Inc.(2) | 1,771 | 95,722 | |||||||||
PDF Solutions, Inc.(2) | 245 | 4,733 | |||||||||
Power Integrations, Inc. | 2,072 | 166,900 | |||||||||
Semtech Corp.(2) | 2,787 | 197,738 | |||||||||
Skyworks Solutions, Inc. | 5,704 | 965,402 | |||||||||
SOITEC(2) | 820 | 165,039 | |||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 35,000 | 739,020 | |||||||||
Teradyne, Inc. | 6,718 | 762,359 | |||||||||
Texas Instruments, Inc. | 3,480 | 576,601 | |||||||||
Veeco Instruments, Inc.(2) | 3,608 | 66,604 | |||||||||
Xilinx, Inc. | 3,927 | 512,748 | |||||||||
10,310,613 | |||||||||||
Software — 1.8% | |||||||||||
Adobe, Inc.(2) | 1,114 | 511,070 | |||||||||
Atlassian Corp. plc, Class A(2) | 2,159 | 499,010 | |||||||||
Cadence Design Systems, Inc.(2) | 11,531 | 1,503,527 | |||||||||
CDK Global, Inc. | 1,341 | 66,916 | |||||||||
Coupa Software, Inc.(2) | 2,441 | 756,393 | |||||||||
Dassault Systemes SE | 1,445 | 288,893 | |||||||||
Descartes Systems Group, Inc. (The)(2) | 1,110 | 67,689 | |||||||||
DocuSign, Inc.(2) | 2,632 | 612,966 | |||||||||
Envestnet, Inc.(2) | 5,747 | 440,967 | |||||||||
Everbridge, Inc.(2) | 799 | 106,211 | |||||||||
Five9, Inc.(2) | 821 | 136,491 | |||||||||
fuboTV, Inc.(2)(3) | 1,402 | 59,235 | |||||||||
HubSpot, Inc.(2) | 2,066 | 768,965 | |||||||||
Kinaxis, Inc.(2) | 314 | 43,588 | |||||||||
LINK Mobility Group Holding ASA(2) | 7,045 | 40,554 | |||||||||
Manhattan Associates, Inc.(2) | 8,985 | 1,017,372 |
19
Shares/ Principal Amount | Value | ||||||||||
Microsoft Corp. | 19,714 | $ | 4,572,859 | ||||||||
Model N, Inc.(2) | 1,048 | 35,611 | |||||||||
nCino, Inc.(2) | 1,865 | 133,720 | |||||||||
Netcompany Group A/S(2) | 451 | 42,170 | |||||||||
Open Text Corp. | 9,262 | 414,845 | |||||||||
Palo Alto Networks, Inc.(2) | 3,161 | 1,108,721 | |||||||||
Paylocity Holding Corp.(2) | 513 | 96,167 | |||||||||
Rakus Co. Ltd. | 1,200 | 21,437 | |||||||||
RealPage, Inc.(2) | 1,568 | 135,742 | |||||||||
RingCentral, Inc., Class A(2) | 2,481 | 925,215 | |||||||||
SailPoint Technologies Holdings, Inc.(2) | 3,045 | 168,419 | |||||||||
salesforce.com, Inc.(2) | 2,275 | 513,149 | |||||||||
Sinch AB(2) | 521 | 76,764 | |||||||||
Splunk, Inc.(2) | 4,026 | 664,411 | |||||||||
TeamViewer AG(2) | 1,166 | 60,472 | |||||||||
15,889,549 | |||||||||||
Specialty Retail — 0.7% | |||||||||||
Advance Auto Parts, Inc. | 6,007 | 895,884 | |||||||||
American Eagle Outfitters, Inc. | 3,457 | 78,439 | |||||||||
Arko Corp.(2) | 4,998 | 46,232 | |||||||||
Burlington Stores, Inc.(2) | 3,116 | 775,572 | |||||||||
Carvana Co.(2) | 1,143 | 298,540 | |||||||||
Five Below, Inc.(2) | 2,606 | 457,952 | |||||||||
Home Depot, Inc. (The) | 4,340 | 1,175,359 | |||||||||
JD Sports Fashion plc(2) | 5,478 | 55,979 | |||||||||
Kingfisher plc(2) | 89,484 | 340,086 | |||||||||
Leslie's, Inc.(2) | 2,297 | 65,694 | |||||||||
Lithia Motors, Inc., Class A | 2,279 | 726,272 | |||||||||
Michaels Cos., Inc. (The)(2)(3) | 5,344 | 82,832 | |||||||||
Musti Group Oyj(2) | 980 | 30,641 | |||||||||
National Vision Holdings, Inc.(2) | 1,871 | 86,758 | |||||||||
Nextage Co. Ltd. | 900 | 12,761 | |||||||||
Pets at Home Group plc | 22,221 | 122,131 | |||||||||
TJX Cos., Inc. (The) | 10,907 | 698,484 | |||||||||
Watches of Switzerland Group plc(2) | 8,250 | 72,217 | |||||||||
WH Smith plc(2) | 4,559 | 95,426 | |||||||||
6,117,259 | |||||||||||
Technology Hardware, Storage and Peripherals — 0.5% | |||||||||||
Apple, Inc. | 31,732 | 4,187,355 | |||||||||
HP, Inc. | 29,463 | 717,129 | |||||||||
4,904,484 | |||||||||||
Textiles, Apparel and Luxury Goods — 0.4% | |||||||||||
ANTA Sports Products Ltd. | 16,000 | 266,588 | |||||||||
Asics Corp. | 600 | 10,557 | |||||||||
Canada Goose Holdings, Inc.(2)(3) | 1,591 | 53,214 | |||||||||
Capri Holdings Ltd.(2) | 2,870 | 119,564 | |||||||||
Crocs, Inc.(2) | 2,896 | 202,778 | |||||||||
Dr. Martens plc(2) | 9,800 | 60,423 | |||||||||
lululemon athletica, Inc.(2) | 1,945 | 639,282 | |||||||||
LVMH Moet Hennessy Louis Vuitton SE | 648 | 391,258 | |||||||||
NIKE, Inc., Class B | 6,604 | 882,228 | |||||||||
Pandora A/S | 738 | 71,181 |
20
Shares/ Principal Amount | Value | ||||||||||
Puma SE(2) | 3,459 | $ | 338,945 | ||||||||
VF Corp. | 3,971 | 305,251 | |||||||||
3,341,269 | |||||||||||
Thrifts and Mortgage Finance† | |||||||||||
Capitol Federal Financial, Inc. | 23,201 | 288,157 | |||||||||
NMI Holdings, Inc., Class A(2) | 3,511 | 74,468 | |||||||||
362,625 | |||||||||||
Trading Companies and Distributors — 0.3% | |||||||||||
AddTech AB, B Shares | 4,512 | 59,953 | |||||||||
Applied Industrial Technologies, Inc. | 1,984 | 139,654 | |||||||||
Ashtead Group plc | 5,352 | 270,464 | |||||||||
Diploma plc | 4,290 | 136,118 | |||||||||
Electrocomponents plc | 14,437 | 173,361 | |||||||||
Grafton Group plc | 2,907 | 34,405 | |||||||||
Howden Joinery Group plc(2) | 10,614 | 97,556 | |||||||||
MSC Industrial Direct Co., Inc., Class A | 8,447 | 655,234 | |||||||||
Seven Group Holdings Ltd.(3) | 11,043 | 187,845 | |||||||||
W.W. Grainger, Inc. | 1,192 | 434,353 | |||||||||
Yamazen Corp. | 6,500 | 61,247 | |||||||||
2,250,190 | |||||||||||
Wireless Telecommunication Services — 0.1% | |||||||||||
Rogers Communications, Inc., Class B | 11,950 | 539,304 | |||||||||
TOTAL COMMON STOCKS (Cost $165,811,683) | 242,293,247 | ||||||||||
U.S. TREASURY SECURITIES — 11.7% | |||||||||||
U.S. Treasury Bonds, 1.125%, 5/15/40 | $ | 11,200,000 | 10,253,250 | ||||||||
U.S. Treasury Bonds, 3.125%, 8/15/44(4) | 200,000 | 254,203 | |||||||||
U.S. Treasury Bonds, 2.50%, 2/15/45(4) | 1,060,000 | 1,215,688 | |||||||||
U.S. Treasury Bonds, 3.00%, 5/15/45(4) | 560,000 | 699,344 | |||||||||
U.S. Treasury Bonds, 3.00%, 11/15/45 | 100,000 | 125,164 | |||||||||
U.S. Treasury Bonds, 1.375%, 8/15/50 | 500,000 | 446,914 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 2.375%, 1/15/25 | 1,035,413 | 1,218,804 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 2.375%, 1/15/27 | 322,603 | 403,932 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 2.50%, 1/15/29 | 1,375,688 | 1,816,056 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 3.375%, 4/15/32 | 146,608 | 223,731 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 2.125%, 2/15/40 | 722,394 | 1,112,495 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 2.125%, 2/15/41 | 974,414 | 1,518,897 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.625%, 2/15/43 | 1,097,914 | 1,358,871 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 1.375%, 2/15/44 | 2,958,937 | 4,229,047 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/45 | 3,436,830 | 4,398,241 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.875%, 2/15/47 | 592,917 | 787,962 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/22 | 1,867,157 | 1,934,396 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 1/15/24 | 5,576,400 | 6,029,380 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.50%, 4/15/24 | 5,571,720 | 6,017,939 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 10/15/24 | 2,890,698 | 3,125,152 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.25%, 1/15/25 | 4,394,760 | 4,785,381 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/25 | 3,626,856 | 3,939,119 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 1/15/26 | 3,833,165 | 4,312,741 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/26 | 6,242,430 | 6,925,012 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.50%, 1/15/28 | 1,951,732 | 2,231,317 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.875%, 1/15/29 | 1,958,140 | 2,315,159 | |||||||||
U.S. Treasury Notes, 0.25%, 6/15/23 | 9,250,000 | 9,275,654 |
21
Shares/ Principal Amount | Value | ||||||||||
U.S. Treasury Notes, 0.25%, 5/31/25 | $ | 9,900,000 | $ | 9,862,488 | |||||||
U.S. Treasury Notes, 0.50%, 4/30/27 | 6,500,000 | 6,445,918 | |||||||||
U.S. Treasury Notes, 0.50%, 5/31/27 | 3,750,000 | 3,714,404 | |||||||||
U.S. Treasury Notes, 2.25%, 8/15/27 | 400,000 | 440,313 | |||||||||
U.S. Treasury Notes, 0.625%, 5/15/30 | 3,300,000 | 3,180,375 | |||||||||
TOTAL U.S. TREASURY SECURITIES (Cost $97,179,515) | 104,597,347 | ||||||||||
CORPORATE BONDS — 4.4% | |||||||||||
Aerospace and Defense — 0.1% | |||||||||||
Bombardier, Inc., 8.75%, 12/1/21(5) | 50,000 | 52,458 | |||||||||
Bombardier, Inc., 5.75%, 3/15/22(5) | 30,000 | 30,818 | |||||||||
Bombardier, Inc., 6.00%, 10/15/22(5) | 35,000 | 34,803 | |||||||||
Howmet Aerospace, Inc., 5.125%, 10/1/24 | 115,000 | 126,656 | |||||||||
TransDigm, Inc., 6.375%, 6/15/26 | 50,000 | 51,719 | |||||||||
TransDigm, Inc., 4.625%, 1/15/29(5) | 324,000 | 322,179 | |||||||||
618,633 | |||||||||||
Airlines† | |||||||||||
United Airlines Holdings, Inc., 5.00%, 2/1/24 | 85,000 | 84,016 | |||||||||
Auto Components† | |||||||||||
ZF North America Capital, Inc., 4.75%, 4/29/25(5) | 105,000 | 114,018 | |||||||||
Automobiles — 0.2% | |||||||||||
BMW Finance NV, MTN, 1.00%, 2/15/22 | EUR | 10,000 | 12,301 | ||||||||
BMW Finance NV, MTN, 0.875%, 4/3/25 | EUR | 50,000 | 63,188 | ||||||||
Ford Motor Credit Co. LLC, 5.875%, 8/2/21 | $ | 850,000 | 867,000 | ||||||||
General Motors Co., 5.00%, 4/1/35 | 70,000 | 84,646 | |||||||||
General Motors Co., 5.15%, 4/1/38 | 160,000 | 193,689 | |||||||||
General Motors Financial Co., Inc., 3.20%, 7/6/21 | 430,000 | 433,926 | |||||||||
1,654,750 | |||||||||||
Banks — 0.8% | |||||||||||
Akbank T.A.S., 5.00%, 10/24/22 | 130,000 | 132,491 | |||||||||
Avi Funding Co. Ltd., 3.80%, 9/16/25(5) | 255,000 | 285,314 | |||||||||
Banco Santander SA, MTN, 2.50%, 3/18/25 | EUR | 200,000 | 262,588 | ||||||||
Barclays Bank plc, MTN, 6.625%, 3/30/22 | EUR | 50,000 | 65,302 | ||||||||
Barclays plc, MTN, VRN, 1.375%, 1/24/26 | EUR | 100,000 | 126,625 | ||||||||
Barclays plc, MTN, VRN, 2.00%, 2/7/28 | EUR | 100,000 | 124,094 | ||||||||
BPCE SA, VRN, 2.75%, 7/8/26 | EUR | 100,000 | 122,788 | ||||||||
CaixaBank SA, MTN, VRN, 2.75%, 7/14/28 | EUR | 200,000 | 253,605 | ||||||||
CaixaBank SA, MTN, VRN, 2.25%, 4/17/30 | EUR | 400,000 | 508,376 | ||||||||
Citigroup, Inc., VRN, 3.52%, 10/27/28 | $ | 340,000 | 381,819 | ||||||||
Co-Operative Bank plc (The), 4.75%, 11/11/21 (Secured) | GBP | 200,000 | 282,466 | ||||||||
Commerzbank AG, MTN, 4.00%, 3/23/26 | EUR | 150,000 | 203,319 | ||||||||
Cooperatieve Rabobank UA, VRN, 2.50%, 5/26/26 | EUR | 150,000 | 183,499 | ||||||||
Credit Agricole SA, MTN, 7.375%, 12/18/23 | GBP | 100,000 | 162,659 | ||||||||
European Financial Stability Facility, MTN, 2.125%, 2/19/24 | EUR | 399,000 | 525,423 | ||||||||
European Financial Stability Facility, MTN, 0.40%, 5/31/26 | EUR | 400,000 | 510,427 | ||||||||
European Financial Stability Facility, MTN, 2.35%, 7/29/44 | EUR | 60,000 | 110,988 | ||||||||
HSBC Bank plc, MTN, VRN, 5.375%, 11/4/30 | GBP | 50,000 | 82,223 | ||||||||
ING Groep NV, MTN, 2.125%, 1/10/26 | EUR | 400,000 | 534,427 | ||||||||
Intercorp Financial Services, Inc., 4.125%, 10/19/27(5) | $ | 305,000 | 328,555 | ||||||||
Intesa Sanpaolo SpA, MTN, 6.625%, 9/13/23 | EUR | 220,000 | 303,532 | ||||||||
Kreditanstalt fuer Wiederaufbau, 4.625%, 1/4/23 | EUR | 300,000 | 401,869 | ||||||||
Lloyds Bank plc, MTN, 7.625%, 4/22/25 | GBP | 120,000 | 208,086 |
22
Shares/ Principal Amount | Value | ||||||||||
Santander UK plc, MTN, 5.125%, 4/14/21 | GBP | 100,000 | $ | 138,376 | |||||||
Wells Fargo & Co., 4.125%, 8/15/23 | $ | 300,000 | 326,612 | ||||||||
Woori Bank, MTN, 4.75%, 4/30/24 | 153,000 | 169,905 | |||||||||
6,735,368 | |||||||||||
Beverages — 0.1% | |||||||||||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc., 4.90%, 2/1/46 | 370,000 | 465,016 | |||||||||
Biotechnology — 0.1% | |||||||||||
AbbVie, Inc., 4.55%, 3/15/35 | 110,000 | 136,232 | |||||||||
AbbVie, Inc., 4.40%, 11/6/42 | 240,000 | 295,122 | |||||||||
Gilead Sciences, Inc., 3.65%, 3/1/26 | 390,000 | 439,821 | |||||||||
871,175 | |||||||||||
Capital Markets — 0.1% | |||||||||||
Criteria Caixa SA, MTN, 1.50%, 5/10/23 | EUR | 100,000 | 125,480 | ||||||||
Goldman Sachs Group, Inc. (The), 5.50%, 10/12/21 | GBP | 150,000 | 212,787 | ||||||||
Goldman Sachs Group, Inc. (The), 3.50%, 11/16/26 | $ | 230,000 | 256,112 | ||||||||
MDGH - GMTN B.V., 3.25%, 4/28/22(5) | 102,000 | 105,564 | |||||||||
SURA Asset Management SA, 4.375%, 4/11/27 | 105,000 | 118,369 | |||||||||
818,312 | |||||||||||
Chemicals† | |||||||||||
Equate Petrochemical BV, 4.25%, 11/3/26(5) | 82,000 | 90,801 | |||||||||
Olin Corp., 5.125%, 9/15/27 | 60,000 | 62,325 | |||||||||
Tronox Finance plc, 5.75%, 10/1/25(5) | 30,000 | 30,825 | |||||||||
183,951 | |||||||||||
Consumer Finance — 0.1% | |||||||||||
Capital One Financial Corp., 3.80%, 1/31/28 | 70,000 | 79,840 | |||||||||
Navient Corp., 4.875%, 3/15/28(6) | 740,000 | 734,450 | |||||||||
814,290 | |||||||||||
Containers and Packaging† | |||||||||||
Ball Corp., 5.25%, 7/1/25 | 35,000 | 39,805 | |||||||||
Mauser Packaging Solutions Holding Co., 5.50%, 4/15/24(5) | 30,000 | 30,406 | |||||||||
Owens-Brockway Glass Container, Inc., 5.875%, 8/15/23(5) | 20,000 | 21,438 | |||||||||
Sealed Air Corp., 5.125%, 12/1/24(5) | 80,000 | 88,584 | |||||||||
180,233 | |||||||||||
Diversified Financial Services — 0.3% | |||||||||||
Fiore Capital LLC, VRDN, 0.18%, 2/4/21 (LOC: Wells Fargo Bank N.A.) | 2,500,000 | 2,500,000 | |||||||||
Diversified Telecommunication Services — 0.3% | |||||||||||
Altice France SA, 7.375%, 5/1/26(5) | 175,000 | 183,260 | |||||||||
AT&T, Inc., 2.60%, 12/17/29 | EUR | 120,000 | 171,332 | ||||||||
AT&T, Inc., 3.55%, 9/15/55(5) | $ | 106,000 | 101,656 | ||||||||
AT&T, Inc., 3.80%, 12/1/57(5) | 278,000 | 278,400 | |||||||||
Deutsche Telekom International Finance BV, MTN, 1.25%, 10/6/23 | GBP | 150,000 | 210,629 | ||||||||
Deutsche Telekom International Finance BV, MTN, 0.875%, 1/30/24 | EUR | 40,000 | 50,113 | ||||||||
Hughes Satellite Systems Corp., 5.25%, 8/1/26 | $ | 100,000 | 111,193 | ||||||||
Level 3 Financing, Inc., 3.625%, 1/15/29(5) | 330,000 | 328,973 | |||||||||
Lumen Technologies, Inc., 5.80%, 3/15/22 | 20,000 | 20,925 | |||||||||
Ooredoo International Finance Ltd., 3.75%, 6/22/26(5) | 153,000 | 170,977 | |||||||||
Orange SA, MTN, VRN, 4.00%, 10/1/21 | EUR | 150,000 | 186,897 | ||||||||
Telefonica Europe BV, VRN, 5.875%, 3/31/24 | EUR | 100,000 | 136,141 |
23
Shares/ Principal Amount | Value | ||||||||||
Turk Telekomunikasyon AS, 4.875%, 6/19/24(5) | $ | 205,000 | $ | 213,320 | |||||||
Verizon Communications, Inc., 4.40%, 11/1/34 | 275,000 | 336,583 | |||||||||
2,500,399 | |||||||||||
Electric Utilities — 0.2% | |||||||||||
Berkshire Hathaway Energy Co., 3.50%, 2/1/25 | 90,000 | 98,984 | |||||||||
Berkshire Hathaway Energy Co., 3.80%, 7/15/48 | 110,000 | 127,004 | |||||||||
Duke Energy Carolinas LLC, 3.20%, 8/15/49 | 270,000 | 294,327 | |||||||||
Duke Energy Florida LLC, 3.85%, 11/15/42 | 130,000 | 151,476 | |||||||||
Duke Energy Progress LLC, 4.15%, 12/1/44 | 59,000 | 72,927 | |||||||||
Exelon Corp., 4.45%, 4/15/46 | 100,000 | 123,043 | |||||||||
Greenko Investment Co., 4.875%, 8/16/23(5) | 102,000 | 104,401 | |||||||||
Israel Electric Corp. Ltd., 6.875%, 6/21/23(5) | 102,000 | 115,515 | |||||||||
MidAmerican Energy Co., 4.40%, 10/15/44 | 80,000 | 101,590 | |||||||||
NextEra Energy Operating Partners LP, 4.50%, 9/15/27(5) | 40,000 | 44,500 | |||||||||
NRG Energy, Inc., 7.25%, 5/15/26 | 50,000 | 52,500 | |||||||||
Southern Co. Gas Capital Corp., 3.95%, 10/1/46 | 50,000 | 57,163 | |||||||||
SSE plc, VRN, 2.375%, 4/1/21 | EUR | 200,000 | 243,638 | ||||||||
1,587,068 | |||||||||||
Energy Equipment and Services† | |||||||||||
Precision Drilling Corp., 5.25%, 11/15/24 | $ | 65,000 | 60,003 | ||||||||
Entertainment† | |||||||||||
Cinemark USA, Inc., 5.125%, 12/15/22 | 60,000 | 58,763 | |||||||||
Equity Real Estate Investment Trusts (REITs) — 0.1% | |||||||||||
Equinix, Inc., 5.375%, 5/15/27 | 70,000 | 76,000 | |||||||||
GLP Capital LP / GLP Financing II, Inc., 5.375%, 11/1/23 | 30,000 | 32,813 | |||||||||
Iron Mountain, Inc., 4.875%, 9/15/27(5) | 80,000 | 83,832 | |||||||||
Kilroy Realty LP, 3.80%, 1/15/23 | 140,000 | 146,871 | |||||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., 5.625%, 5/1/24 | 90,000 | 96,720 | |||||||||
436,236 | |||||||||||
Food and Staples Retailing† | |||||||||||
Kroger Co. (The), 3.875%, 10/15/46 | 90,000 | 102,953 | |||||||||
Tesco plc, MTN, 5.00%, 3/24/23 | GBP | 50,000 | 75,108 | ||||||||
178,061 | |||||||||||
Food Products — 0.2% | |||||||||||
B&G Foods, Inc., 5.25%, 4/1/25 | $ | 70,000 | 71,960 | ||||||||
JBS USA LUX SA / JBS USA Finance, Inc., 5.75%, 6/15/25(5) | 35,000 | 36,133 | |||||||||
Lamb Weston Holdings, Inc., 4.625%, 11/1/24(5) | 130,000 | 135,759 | |||||||||
MHP SE, 7.75%, 5/10/24(5) | 128,000 | 140,193 | |||||||||
Minerva Luxembourg SA, 5.875%, 1/19/28(5) | 80,000 | 85,275 | |||||||||
Pilgrim's Pride Corp., 5.75%, 3/15/25(5) | 200,000 | 204,770 | |||||||||
Post Holdings, Inc., 5.00%, 8/15/26(5) | 115,000 | 118,826 | |||||||||
Post Holdings, Inc., 4.625%, 4/15/30(5) | 560,000 | 581,123 | |||||||||
1,374,039 | |||||||||||
Gas Utilities† | |||||||||||
Perusahaan Gas Negara Tbk PT, 5.125%, 5/16/24 | 204,000 | 224,668 | |||||||||
Health Care Providers and Services — 0.2% | |||||||||||
Acadia Healthcare Co., Inc., 5.625%, 2/15/23 | 60,000 | 60,323 | |||||||||
CHS / Community Health Systems, Inc., 8.125%, 6/30/24(5) | 60,000 | 63,150 | |||||||||
CHS / Community Health Systems, Inc., 8.00%, 12/15/27(5) | 17,000 | 18,541 | |||||||||
CHS / Community Health Systems, Inc., 6.875%, 4/1/28(5) | 42,000 | 38,246 |
24
Shares/ Principal Amount | Value | ||||||||||
CHS / Community Health Systems, Inc., VRN, 9.875%, 6/30/23(5) | $ | 95,000 | $ | 102,106 | |||||||
CVS Health Corp., 4.30%, 3/25/28 | 141,000 | 165,737 | |||||||||
CVS Health Corp., 4.78%, 3/25/38 | 100,000 | 123,852 | |||||||||
DaVita, Inc., 4.625%, 6/1/30(5) | 510,000 | 535,982 | |||||||||
Team Health Holdings, Inc., 6.375%, 2/1/25(5) | 40,000 | 36,200 | |||||||||
Tenet Healthcare Corp., 6.75%, 6/15/23 | 40,000 | 43,440 | |||||||||
Tenet Healthcare Corp., 5.125%, 5/1/25 | 100,000 | 101,439 | |||||||||
Tenet Healthcare Corp., 6.125%, 10/1/28(5) | 600,000 | 627,816 | |||||||||
1,916,832 | |||||||||||
Hotels, Restaurants and Leisure — 0.1% | |||||||||||
1011778 BC ULC / New Red Finance, Inc., 4.375%, 1/15/28(5) | 232,000 | 237,032 | |||||||||
Boyd Gaming Corp., 6.375%, 4/1/26 | 35,000 | 36,339 | |||||||||
Golden Nugget, Inc., 6.75%, 10/15/24(5) | 120,000 | 120,426 | |||||||||
Hilton Domestic Operating Co., Inc., 3.625%, 2/15/32(5)(6) | 283,000 | 280,386 | |||||||||
McDonald's Corp., MTN, 4.70%, 12/9/35 | 80,000 | 102,476 | |||||||||
MGM Resorts International, 6.00%, 3/15/23 | 130,000 | 138,938 | |||||||||
Penn National Gaming, Inc., 5.625%, 1/15/27(5) | 150,000 | 158,003 | |||||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.50%, 3/1/25(5) | 150,000 | 154,728 | |||||||||
1,228,328 | |||||||||||
Household Durables — 0.1% | |||||||||||
KB Home, 4.80%, 11/15/29 | 380,000 | 419,267 | |||||||||
Meritage Homes Corp., 5.125%, 6/6/27 | 160,000 | 180,160 | |||||||||
Toll Brothers Finance Corp., 4.35%, 2/15/28 | 130,000 | 144,763 | |||||||||
744,190 | |||||||||||
Industrial Conglomerates — 0.1% | |||||||||||
General Electric Co., 4.35%, 5/1/50 | 450,000 | 520,663 | |||||||||
Insurance — 0.1% | |||||||||||
Allianz SE, MTN, VRN, 4.75%, 10/24/23 | EUR | 200,000 | 269,794 | ||||||||
AXA SA, MTN, VRN, 3.375%, 7/6/47 | EUR | 200,000 | 280,081 | ||||||||
549,875 | |||||||||||
Interactive Media and Services† | |||||||||||
Tencent Holdings Ltd., 3.80%, 2/11/25(5) | $ | 153,000 | 167,510 | ||||||||
Internet and Direct Marketing Retail† | |||||||||||
Alibaba Group Holding Ltd., 2.80%, 6/6/23 | 330,000 | 345,524 | |||||||||
IT Services† | |||||||||||
CDW LLC / CDW Finance Corp., 5.50%, 12/1/24 | 90,000 | 99,394 | |||||||||
Media — 0.3% | |||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp., 5.125%, 5/1/27(5) | 65,000 | 68,432 | |||||||||
CCO Holdings LLC / CCO Holdings Capital Corp., 4.25%, 2/1/31(5) | 520,000 | 533,494 | |||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 6.48%, 10/23/45 | 40,000 | 54,788 | |||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 4.80%, 3/1/50 | 225,000 | 256,433 | |||||||||
CSC Holdings LLC, 5.875%, 9/15/22 | 100,000 | 105,562 | |||||||||
CSC Holdings LLC, 5.50%, 5/15/26(5) | 25,000 | 25,962 | |||||||||
DISH DBS Corp., 6.75%, 6/1/21 | 95,000 | 96,548 | |||||||||
DISH DBS Corp., 5.00%, 3/15/23 | 135,000 | 139,225 | |||||||||
Gray Television, Inc., 5.875%, 7/15/26(5) | 75,000 | 77,953 | |||||||||
Lamar Media Corp., 3.75%, 2/15/28 | 550,000 | 559,122 |
25
Shares/ Principal Amount | Value | ||||||||||
TEGNA, Inc., 5.50%, 9/15/24(5) | $ | 42,000 | $ | 42,801 | |||||||
TEGNA, Inc., 4.625%, 3/15/28(5) | 530,000 | 537,547 | |||||||||
WPP Finance 2013, MTN, 3.00%, 11/20/23 | EUR | 100,000 | 132,132 | ||||||||
2,629,999 | |||||||||||
Metals and Mining — 0.2% | |||||||||||
Alcoa Nederland Holding BV, 6.75%, 9/30/24(5) | $ | 70,000 | 72,756 | ||||||||
Cleveland-Cliffs, Inc., 5.75%, 3/1/25 | 160,000 | 163,900 | |||||||||
First Quantum Minerals Ltd., 7.25%, 4/1/23 | 150,000 | 153,436 | |||||||||
First Quantum Minerals Ltd., 6.50%, 3/1/24(5) | 250,000 | 255,729 | |||||||||
Freeport-McMoRan, Inc., 5.40%, 11/14/34 | 180,000 | 223,987 | |||||||||
Nexa Resources SA, 5.375%, 5/4/27 | 230,000 | 252,252 | |||||||||
Teck Resources Ltd., 6.25%, 7/15/41 | 230,000 | 294,098 | |||||||||
Vedanta Resources Ltd., 6.125%, 8/9/24(5) | 217,000 | 164,378 | |||||||||
1,580,536 | |||||||||||
Multi-Utilities — 0.1% | |||||||||||
Abu Dhabi National Energy Co. PJSC, 5.875%, 12/13/21(5) | 204,000 | 213,983 | |||||||||
Abu Dhabi National Energy Co. PJSC, 3.625%, 1/12/23(5) | 153,000 | 161,741 | |||||||||
Centrica plc, VRN, 5.25%, 4/10/75 | GBP | 100,000 | 149,159 | ||||||||
Dominion Energy, Inc., 4.90%, 8/1/41 | $ | 70,000 | 89,618 | ||||||||
NiSource, Inc., 5.65%, 2/1/45 | 110,000 | 154,339 | |||||||||
Sempra Energy, 3.25%, 6/15/27 | 140,000 | 155,884 | |||||||||
924,724 | |||||||||||
Oil, Gas and Consumable Fuels — 0.4% | |||||||||||
Antero Resources Corp., 7.625%, 2/1/29(5) | 220,000 | 225,294 | |||||||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 5.75%, 4/1/25 | 70,000 | 69,475 | |||||||||
Ecopetrol SA, 5.875%, 5/28/45 | 395,000 | 448,680 | |||||||||
Energy Transfer Operating LP, 3.60%, 2/1/23 | 27,000 | 28,238 | |||||||||
Enterprise Products Operating LLC, 4.85%, 3/15/44 | 360,000 | 437,505 | |||||||||
Gazprom PJSC Via Gaz Capital SA, 6.51%, 3/7/22(5) | 140,000 | 148,316 | |||||||||
Gazprom PJSC Via Gaz Capital SA, 7.29%, 8/16/37(5) | 140,000 | 198,458 | |||||||||
Kinder Morgan Energy Partners LP, 6.50%, 9/1/39 | 300,000 | 390,965 | |||||||||
MEG Energy Corp., 7.00%, 3/31/24(5) | 30,000 | 30,449 | |||||||||
MEG Energy Corp., 6.50%, 1/15/25(5) | 58,000 | 59,818 | |||||||||
MEG Energy Corp., 5.875%, 2/1/29(5)(6) | 220,000 | 218,900 | |||||||||
MPLX LP, 4.50%, 4/15/38 | 60,000 | 67,154 | |||||||||
MPLX LP, 5.20%, 3/1/47 | 40,000 | 47,661 | |||||||||
NuStar Logistics LP, 4.75%, 2/1/22 | 40,000 | 40,800 | |||||||||
Ovintiv, Inc., 6.50%, 2/1/38 | 60,000 | 71,582 | |||||||||
Petroleos Mexicanos, 4.875%, 1/24/22 | 40,000 | 41,140 | |||||||||
Petroleos Mexicanos, 3.50%, 1/30/23 | 70,000 | 70,823 | |||||||||
Petroleos Mexicanos, 6.50%, 3/13/27 | 140,000 | 145,145 | |||||||||
Petroleos Mexicanos, 5.50%, 6/27/44 | 230,000 | 188,013 | |||||||||
QEP Resources, Inc., 5.375%, 10/1/22 | 110,000 | 114,331 | |||||||||
SM Energy Co., 5.00%, 1/15/24 | 80,000 | 74,400 | |||||||||
Southwestern Energy Co., 6.45%, 1/23/25 | 100,000 | 105,000 | |||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.25%, 11/15/23 | 84,000 | 84,630 | |||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.125%, 2/1/25 | 86,000 | 88,438 | |||||||||
TOTAL SE, MTN, VRN, 2.25%, 2/26/21 | EUR | 150,000 | 182,526 | ||||||||
Williams Cos., Inc. (The), 4.55%, 6/24/24 | $ | 270,000 | 301,093 | ||||||||
3,878,834 |
26
Shares/ Principal Amount | Value | ||||||||||
Personal Products† | |||||||||||
Avon Products, Inc., 7.00%, 3/15/23 | $ | 45,000 | $ | 48,234 | |||||||
Pharmaceuticals† | |||||||||||
Bausch Health Cos., Inc., 6.125%, 4/15/25(5) | 195,000 | 199,984 | |||||||||
Real Estate Management and Development† | |||||||||||
Howard Hughes Corp. (The), 4.375%, 2/1/31(5)(6) | 402,000 | 401,914 | |||||||||
Road and Rail† | |||||||||||
Burlington Northern Santa Fe LLC, 4.95%, 9/15/41 | 18,000 | 24,198 | |||||||||
Burlington Northern Santa Fe LLC, 4.45%, 3/15/43 | 160,000 | 206,364 | |||||||||
Burlington Northern Santa Fe LLC, 4.15%, 4/1/45 | 70,000 | 87,144 | |||||||||
United Rentals North America, Inc., 5.50%, 5/15/27 | 85,000 | 90,992 | |||||||||
408,698 | |||||||||||
Specialty Retail† | |||||||||||
Home Depot, Inc. (The), 3.35%, 4/15/50 | 180,000 | 202,237 | |||||||||
PetSmart, Inc., 5.875%, 6/1/25(5) | 50,000 | 51,594 | |||||||||
Suburban Propane Partners LP / Suburban Energy Finance Corp., 5.50%, 6/1/24 | 70,000 | 71,094 | |||||||||
Suburban Propane Partners LP / Suburban Energy Finance Corp., 5.75%, 3/1/25 | 100,000 | 101,365 | |||||||||
426,290 | |||||||||||
Technology Hardware, Storage and Peripherals† | |||||||||||
Dell International LLC / EMC Corp., 7.125%, 6/15/24(5) | 160,000 | 166,336 | |||||||||
Western Digital Corp., 4.75%, 2/15/26 | 60,000 | 66,475 | |||||||||
232,811 | |||||||||||
Textiles, Apparel and Luxury Goods† | |||||||||||
Hanesbrands, Inc., 4.625%, 5/15/24(5) | 115,000 | 121,587 | |||||||||
Trading Companies and Distributors† | |||||||||||
Beacon Roofing Supply, Inc., 4.875%, 11/1/25(5) | 70,000 | 70,981 | |||||||||
Transportation Infrastructure† | |||||||||||
Rumo Luxembourg Sarl, 7.375%, 2/9/24 | 180,000 | 186,930 | |||||||||
Wireless Telecommunication Services — 0.2% | |||||||||||
C&W Senior Financing DAC, 6.875%, 9/15/27(5) | 228,000 | 243,162 | |||||||||
Millicom International Cellular SA, 5.125%, 1/15/28(5) | 255,000 | 269,773 | |||||||||
Sprint Corp., 7.25%, 9/15/21 | 120,000 | 124,110 | |||||||||
Sprint Corp., 7.875%, 9/15/23 | 75,000 | 86,719 | |||||||||
Sprint Corp., 7.125%, 6/15/24 | 205,000 | 239,297 | |||||||||
T-Mobile USA, Inc., 4.75%, 2/1/28 | 265,000 | 283,378 | |||||||||
T-Mobile USA, Inc., 2.625%, 2/15/29 | 357,000 | 358,742 | |||||||||
1,605,181 | |||||||||||
TOTAL CORPORATE BONDS (Cost $37,553,024) | 39,748,018 | ||||||||||
SOVEREIGN GOVERNMENTS AND AGENCIES — 3.8% | |||||||||||
Australia — 0.2% | |||||||||||
Australia Government Bond, 2.75%, 4/21/24 | AUD | 1,219,000 | 1,010,760 | ||||||||
Australia Government Bond, 3.00%, 3/21/47 | AUD | 820,000 | 746,582 | ||||||||
New South Wales Treasury Corp., 3.00%, 3/20/28 | AUD | 395,000 | 346,376 | ||||||||
2,103,718 | |||||||||||
Austria — 0.1% | |||||||||||
Republic of Austria Government Bond, 3.40%, 11/22/22(5) | EUR | 172,000 | 224,307 | ||||||||
Republic of Austria Government Bond, 0.75%, 10/20/26(5) | EUR | 185,000 | 242,319 | ||||||||
Republic of Austria Government Bond, 4.15%, 3/15/37(5) | EUR | 121,000 | 249,374 | ||||||||
716,000 |
27
Shares/ Principal Amount | Value | ||||||||||
Belgium† | |||||||||||
Kingdom of Belgium Government Bond, 4.25%, 3/28/41(5) | EUR | 74,000 | $ | 161,709 | |||||||
Canada — 0.3% | |||||||||||
Province of British Columbia Canada, 3.25%, 12/18/21 | CAD | 594,000 | 477,402 | ||||||||
Province of British Columbia Canada, 2.85%, 6/18/25 | CAD | 809,000 | 694,744 | ||||||||
Province of Quebec Canada, 3.00%, 9/1/23 | CAD | 465,000 | 389,105 | ||||||||
Province of Quebec Canada, 5.75%, 12/1/36 | CAD | 445,000 | 530,029 | ||||||||
Province of Quebec Canada, 5.00%, 12/1/41 | CAD | 30,000 | 34,774 | ||||||||
Province of Quebec Canada, 3.50%, 12/1/48 | CAD | 110,000 | 108,520 | ||||||||
2,234,574 | |||||||||||
Chile† | |||||||||||
Chile Government International Bond, 3.25%, 9/14/21 | $ | 230,000 | 234,322 | ||||||||
China — 0.6% | |||||||||||
China Government Bond, 3.25%, 6/6/26 | CNY | 750,000 | 117,569 | ||||||||
China Government Bond, 3.29%, 5/23/29 | CNY | 550,000 | 85,865 | ||||||||
China Government Bond, 2.68%, 5/21/30 | CNY | 24,800,000 | 3,666,263 | ||||||||
China Government Bond, 3.39%, 3/16/50 | CNY | 10,430,000 | 1,507,788 | ||||||||
5,377,485 | |||||||||||
Colombia† | |||||||||||
Colombia Government International Bond, 4.375%, 7/12/21 | $ | 290,000 | 295,018 | ||||||||
Czech Republic† | |||||||||||
Czech Republic Government Bond, 4.70%, 9/12/22 | CZK | 2,470,000 | 123,553 | ||||||||
Denmark† | |||||||||||
Denmark Government Bond, 0.50%, 11/15/27 | DKK | 600,000 | 104,701 | ||||||||
Denmark Government Bond, 4.50%, 11/15/39 | DKK | 340,000 | 104,108 | ||||||||
208,809 | |||||||||||
Finland — 0.4% | |||||||||||
Finland Government Bond, 4.00%, 7/4/25(5) | EUR | 219,000 | 321,944 | ||||||||
Finland Government Bond, 0.125%, 4/15/36(5) | EUR | 2,250,000 | 2,825,257 | ||||||||
3,147,201 | |||||||||||
Indonesia — 0.1% | |||||||||||
Indonesia Treasury Bond, 8.375%, 9/15/26 | IDR | 6,000,000,000 | 484,705 | ||||||||
Ireland† | |||||||||||
Ireland Government Bond, 3.40%, 3/18/24 | EUR | 283,000 | 387,406 | ||||||||
Italy — 0.2% | |||||||||||
Italy Buoni Poliennali Del Tesoro, 1.50%, 6/1/25 | EUR | 180,000 | 232,924 | ||||||||
Italy Buoni Poliennali Del Tesoro, 2.00%, 12/1/25 | EUR | 1,338,000 | 1,778,487 | ||||||||
2,011,411 | |||||||||||
Japan — 1.1% | |||||||||||
Japan Government Ten Year Bond, 0.80%, 6/20/23 | JPY | 26,250,000 | 256,108 | ||||||||
Japan Government Thirty Year Bond, 2.40%, 3/20/37 | JPY | 226,800,000 | 2,869,813 | ||||||||
Japan Government Thirty Year Bond, 2.00%, 9/20/41 | JPY | 154,250,000 | 1,910,899 | ||||||||
Japan Government Thirty Year Bond, 1.40%, 12/20/45 | JPY | 28,550,000 | 324,865 | ||||||||
Japan Government Twenty Year Bond, 2.10%, 12/20/26 | JPY | 402,800,000 | 4,344,158 | ||||||||
9,705,843 | |||||||||||
Malaysia† | |||||||||||
Malaysia Government Bond, 3.96%, 9/15/25 | MYR | 990,000 | 265,015 | ||||||||
Mexico — 0.1% | |||||||||||
Mexican Bonos, 6.50%, 6/9/22 | MXN | 9,190,000 | 461,878 | ||||||||
Mexico Government International Bond, 4.15%, 3/28/27 | $ | 700,000 | 801,945 | ||||||||
1,263,823 |
28
Shares/ Principal Amount | Value | ||||||||||
Namibia — 0.1% | |||||||||||
Namibia International Bonds, 5.25%, 10/29/25 | $ | 400,000 | $ | 430,994 | |||||||
Netherlands — 0.1% | |||||||||||
Netherlands Government Bond, 0.00%, 1/15/22(5)(7) | EUR | 152,000 | 185,631 | ||||||||
Netherlands Government Bond, 0.50%, 7/15/26(5) | EUR | 506,000 | 653,980 | ||||||||
Netherlands Government Bond, 2.75%, 1/15/47(5) | EUR | 82,000 | 174,345 | ||||||||
1,013,956 | |||||||||||
Norway† | |||||||||||
Norway Government Bond, 2.00%, 5/24/23(5) | NOK | 405,000 | 49,052 | ||||||||
Norway Government Bond, 1.75%, 2/17/27(5) | NOK | 1,880,000 | 231,992 | ||||||||
281,044 | |||||||||||
Peru† | |||||||||||
Peruvian Government International Bond, 5.625%, 11/18/50 | $ | 160,000 | 243,887 | ||||||||
Philippines† | |||||||||||
Philippine Government International Bond, 6.375%, 10/23/34 | $ | 100,000 | 146,538 | ||||||||
Poland — 0.1% | |||||||||||
Republic of Poland Government Bond, 4.00%, 10/25/23 | PLN | 775,000 | 230,553 | ||||||||
Republic of Poland Government International Bond, 5.125%, 4/21/21 | $ | 250,000 | 252,798 | ||||||||
483,351 | |||||||||||
Russia† | |||||||||||
Russian Federal Bond - OFZ, 7.05%, 1/19/28 | RUB | 5,500,000 | 77,210 | ||||||||
Singapore† | |||||||||||
Singapore Government Bond, 3.125%, 9/1/22 | SGD | 377,000 | 296,438 | ||||||||
Spain — 0.1% | |||||||||||
Spain Government Bond, 4.40%, 10/31/23(5) | EUR | 100,000 | 137,978 | ||||||||
Spain Government Bond, 1.60%, 4/30/25(5) | EUR | 132,000 | 174,288 | ||||||||
Spain Government Bond, 5.15%, 10/31/28(5) | EUR | 47,000 | 80,349 | ||||||||
Spain Government Bond, 5.15%, 10/31/44(5) | EUR | 9,000 | 21,286 | ||||||||
413,901 | |||||||||||
Switzerland — 0.1% | |||||||||||
Swiss Confederation Government Bond, 1.25%, 5/28/26 | CHF | 410,000 | 508,435 | ||||||||
Swiss Confederation Government Bond, 2.50%, 3/8/36 | CHF | 71,000 | 114,022 | ||||||||
622,457 | |||||||||||
Thailand — 0.1% | |||||||||||
Thailand Government Bond, 3.625%, 6/16/23 | THB | 4,150,000 | 148,976 | ||||||||
Thailand Government Bond, 3.85%, 12/12/25 | THB | 11,550,000 | 444,057 | ||||||||
593,033 | |||||||||||
Turkey — 0.1% | |||||||||||
Turkey Government International Bond, 6.875%, 3/17/36 | $ | 400,000 | 428,204 | ||||||||
Uruguay† | |||||||||||
Uruguay Government International Bond, 4.125%, 11/20/45 | $ | 80,000 | 97,901 | ||||||||
TOTAL SOVEREIGN GOVERNMENTS AND AGENCIES (Cost $30,346,560) | 33,849,506 | ||||||||||
MUNICIPAL SECURITIES — 1.7% | |||||||||||
Bay Area Toll Authority Rev., 6.92%, 4/1/40 | 130,000 | 201,243 | |||||||||
California Infrastructure & Economic Development Bank Rev., (Morningstar Enterprises LLC), VRDN, 0.09%, 2/4/21 (LOC: Wells Fargo Bank N.A.) | 220,000 | 220,000 | |||||||||
Kansas City Rev., VRDN, 0.14%, 2/4/21 (LOC: JPMorgan Chase & Co.) | 315,000 | 315,000 | |||||||||
Maricopa County Industrial Development Authority Rev., (San Clemente Apartments LP), VRDN, 0.10%, 2/4/21 (LOC: FNMA)(LIQ FAC: FNMA) | 100,000 | 100,000 |
29
Shares/ Principal Amount | Value | ||||||||||
Metropolitan Transportation Authority Rev., 6.69%, 11/15/40 | $ | 30,000 | $ | 42,548 | |||||||
Metropolitan Transportation Authority Rev., 6.81%, 11/15/40 | 15,000 | 21,476 | |||||||||
Michigan Finance Authority Rev., 4.00%, 8/20/21 (LOC: JPMorgan Chase Bank N.A.) | 3,700,000 | 3,779,735 | |||||||||
Mississippi Business Finance Corp. Rev., (Chevron USA, Inc.), VRDN, 0.01%, 2/1/21 (GA: Chevron Corp.) | 250,000 | 250,000 | |||||||||
New Jersey Turnpike Authority Rev., 7.10%, 1/1/41 | 140,000 | 228,242 | |||||||||
New York City GO, 6.27%, 12/1/37 | 40,000 | 60,092 | |||||||||
Ohio Water Development Authority Water Pollution Control Loan Fund Rev., 4.88%, 12/1/34 | 200,000 | 244,892 | |||||||||
Orange County Housing Finance Authority Rev., (Marbella Pointe Development Group LLLP), VRDN, 0.09%, 2/4/21 (LOC: JPMorgan Chase Bank N.A.) | 3,000,000 | 3,000,000 | |||||||||
Rutgers The State University of New Jersey Rev., 5.67%, 5/1/40 | 130,000 | 181,195 | |||||||||
Sacramento Municipal Utility District Rev., 6.16%, 5/15/36 | 170,000 | 245,276 | |||||||||
San Francisco Public Utilities Commission Water Rev., 6.00%, 11/1/40 | 135,000 | 188,096 | |||||||||
State of California GO, 4.60%, 4/1/38 | 100,000 | 119,060 | |||||||||
State of California GO, 7.55%, 4/1/39 | 60,000 | 104,162 | |||||||||
State of California GO, 7.30%, 10/1/39 | 90,000 | 146,827 | |||||||||
State of Ohio Rev., VRDN, 0.03%, 2/4/21 | 350,000 | 350,000 | |||||||||
State of Texas Rev., 4.00%, 8/26/21 | 3,980,000 | 4,069,271 | |||||||||
Tempe Industrial Development Authority Rev., (ASUF Brickyard LLC), VRDN, 0.14%, 2/4/21 (LOC: Bank of America N.A.) | 835,000 | 835,000 | |||||||||
Tennis for Charity, Inc. Rev., VRDN, 0.09%, 2/4/21 (LOC: JPMorgan Chase Bank N.A.) | 860,000 | 860,000 | |||||||||
TOTAL MUNICIPAL SECURITIES (Cost $15,044,805) | 15,562,115 | ||||||||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 1.6% | |||||||||||
Adjustable-Rate U.S. Government Agency Mortgage-Backed Securities — 0.1% | |||||||||||
FHLMC, VRN, 2.94%, (12-month LIBOR plus 1.87%), 7/1/36 | 27,466 | 29,063 | |||||||||
FHLMC, VRN, 2.35%, (1-year H15T1Y plus 2.14%), 10/1/36 | 77,844 | 82,579 | |||||||||
FHLMC, VRN, 3.13%, (1-year H15T1Y plus 2.26%), 4/1/37 | 83,421 | 88,401 | |||||||||
FHLMC, VRN, 2.32%, (12-month LIBOR plus 1.76%), 9/1/40 | 26,417 | 27,578 | |||||||||
FHLMC, VRN, 3.65%, (12-month LIBOR plus 1.88%), 5/1/41 | 23,245 | 24,496 | |||||||||
FHLMC, VRN, 3.04%, (12-month LIBOR plus 1.86%), 7/1/41 | 65,380 | 69,041 | |||||||||
FHLMC, VRN, 3.64%, (12-month LIBOR plus 1.64%), 2/1/43 | 14,878 | 15,266 | |||||||||
FHLMC, VRN, 2.50%, (12-month LIBOR plus 1.62%), 6/1/43 | 311 | 313 | |||||||||
FHLMC, VRN, 2.84%, (12-month LIBOR plus 1.65%), 6/1/43 | 8,382 | 8,435 | |||||||||
FNMA, VRN, 1.82%, (6-month LIBOR plus 1.57%), 6/1/35 | 47,571 | 49,639 | |||||||||
FNMA, VRN, 1.82%, (6-month LIBOR plus 1.57%), 6/1/35 | 73,180 | 76,353 | |||||||||
FNMA, VRN, 1.87%, (6-month LIBOR plus 1.54%), 9/1/35 | 15,216 | 15,859 | |||||||||
FNMA, VRN, 2.65%, (1-year H15T1Y plus 2.16%), 3/1/38 | 70,569 | 74,536 | |||||||||
FNMA, VRN, 3.69%, (12-month LIBOR plus 1.69%), 1/1/40 | 11,900 | 12,367 | |||||||||
FNMA, VRN, 2.28%, (12-month LIBOR plus 1.85%), 3/1/40 | 15,616 | 16,388 | |||||||||
FNMA, VRN, 2.32%, (12-month LIBOR plus 1.77%), 10/1/40 | 25,710 | 26,797 | |||||||||
617,111 | |||||||||||
Fixed-Rate U.S. Government Agency Mortgage-Backed Securities — 1.5% | |||||||||||
FHLMC, 8.00%, 6/1/26 | 2,841 | 2,905 | |||||||||
FHLMC, 8.00%, 6/1/26 | 136 | 149 | |||||||||
FHLMC, 7.00%, 8/1/29 | 599 | 668 | |||||||||
FHLMC, 8.00%, 7/1/30 | 3,477 | 4,227 | |||||||||
FHLMC, 5.50%, 12/1/33 | 82,854 | 95,205 |
30
Shares/ Principal Amount | Value | ||||||||||
FHLMC, 6.50%, 5/1/34 | $ | 4,924 | $ | 5,804 | |||||||
FHLMC, 5.50%, 6/1/35 | 2,228 | 2,486 | |||||||||
FHLMC, 5.00%, 9/1/35 | 1,470 | 1,702 | |||||||||
FHLMC, 5.00%, 9/1/35 | 1,577 | 1,835 | |||||||||
FHLMC, 5.50%, 10/1/35 | 10,638 | 12,203 | |||||||||
FHLMC, 5.50%, 10/1/35 | 7,531 | 8,490 | |||||||||
FHLMC, 5.00%, 11/1/35 | 32,175 | 37,435 | |||||||||
FHLMC, 5.00%, 11/1/35 | 58,088 | 67,927 | |||||||||
FHLMC, 6.50%, 3/1/36 | 415 | 466 | |||||||||
FHLMC, 6.50%, 3/1/36 | 1,295 | 1,456 | |||||||||
FHLMC, 5.50%, 1/1/38 | 50,389 | 59,023 | |||||||||
FHLMC, 6.00%, 2/1/38 | 33,461 | 40,285 | |||||||||
FHLMC, 6.00%, 11/1/38 | 152,458 | 180,282 | |||||||||
FNMA, 7.00%, 5/1/26 | 1,363 | 1,447 | |||||||||
FNMA, 7.00%, 6/1/26 | 560 | 622 | |||||||||
FNMA, 6.50%, 4/1/29 | 4,385 | 4,969 | |||||||||
FNMA, 6.50%, 6/1/29 | 7,659 | 8,610 | |||||||||
FNMA, 6.50%, 6/1/29 | 5,142 | 5,809 | |||||||||
FNMA, 7.00%, 7/1/29 | 734 | 736 | |||||||||
FNMA, 6.50%, 8/1/29 | 5,808 | 6,655 | |||||||||
FNMA, 7.00%, 3/1/30 | 3,691 | 4,084 | |||||||||
FNMA, 7.50%, 9/1/30 | 2,982 | 3,513 | |||||||||
FNMA, 6.50%, 9/1/31 | 21,553 | 24,236 | |||||||||
FNMA, 7.00%, 9/1/31 | 11,023 | 11,714 | |||||||||
FNMA, 6.50%, 1/1/32 | 3,805 | 4,281 | |||||||||
FNMA, 5.50%, 6/1/33 | 30,832 | 35,871 | |||||||||
FNMA, 5.50%, 8/1/33 | 217,500 | 253,592 | |||||||||
FNMA, 5.00%, 11/1/33 | 169,017 | 195,388 | |||||||||
FNMA, 5.50%, 1/1/34 | 129,021 | 150,108 | |||||||||
FNMA, 3.50%, 3/1/34 | 148,067 | 159,778 | |||||||||
FNMA, 5.50%, 9/1/34 | 7,617 | 8,810 | |||||||||
FNMA, 5.50%, 10/1/34 | 7,729 | 8,950 | |||||||||
FNMA, 6.00%, 10/1/34 | 18,432 | 20,747 | |||||||||
FNMA, 5.00%, 11/1/34 | 43,897 | 48,619 | |||||||||
FNMA, 5.50%, 3/1/35 | 609 | 680 | |||||||||
FNMA, 5.50%, 3/1/35 | 3,049 | 3,405 | |||||||||
FNMA, 5.50%, 3/1/35 | 3,222 | 3,600 | |||||||||
FNMA, 5.50%, 3/1/35 | 9,195 | 10,752 | |||||||||
FNMA, 5.50%, 3/1/35 | 5,946 | 6,738 | |||||||||
FNMA, 5.00%, 4/1/35 | 8,091 | 9,196 | |||||||||
FNMA, 6.00%, 5/1/35 | 3,260 | 3,818 | |||||||||
FNMA, 6.00%, 6/1/35 | 3,994 | 4,501 | |||||||||
FNMA, 6.00%, 6/1/35 | 1,049 | 1,186 | |||||||||
FNMA, 6.00%, 6/1/35 | 334 | 383 | |||||||||
FNMA, 5.00%, 7/1/35 | 40,756 | 47,400 | |||||||||
FNMA, 5.50%, 7/1/35 | 6,339 | 7,269 | |||||||||
FNMA, 6.00%, 7/1/35 | 19,055 | 22,946 | |||||||||
FNMA, 6.00%, 7/1/35 | 2,789 | 3,139 | |||||||||
FNMA, 6.00%, 7/1/35 | 8,093 | 9,174 | |||||||||
FNMA, 5.50%, 8/1/35 | 4,055 | 4,637 | |||||||||
FNMA, 5.50%, 9/1/35 | 4,317 | 4,820 | |||||||||
FNMA, 5.50%, 9/1/35 | 400 | 467 |
31
Shares/ Principal Amount | Value | ||||||||||
FNMA, 5.50%, 9/1/35 | $ | 254 | $ | 297 | |||||||
FNMA, 5.50%, 9/1/35 | 7,163 | 8,376 | |||||||||
FNMA, 5.50%, 9/1/35 | 28,124 | 32,736 | |||||||||
FNMA, 5.00%, 10/1/35 | 6,434 | 7,336 | |||||||||
FNMA, 5.50%, 10/1/35 | 79,872 | 93,398 | |||||||||
FNMA, 6.00%, 10/1/35 | 16,190 | 18,963 | |||||||||
FNMA, 5.50%, 11/1/35 | 40,246 | 47,062 | |||||||||
FNMA, 6.00%, 11/1/35 | 4,992 | 5,627 | |||||||||
FNMA, 6.50%, 11/1/35 | 2,421 | 2,829 | |||||||||
FNMA, 6.50%, 12/1/35 | 4,572 | 5,224 | |||||||||
FNMA, 6.50%, 4/1/36 | 5,652 | 6,625 | |||||||||
FNMA, 6.00%, 8/1/36 | 3,105 | 3,640 | |||||||||
FNMA, 5.00%, 10/1/36 | 25,061 | 27,736 | |||||||||
FNMA, 5.00%, 11/1/36 | 22,908 | 25,369 | |||||||||
FNMA, 5.50%, 1/1/37 | 238,997 | 279,265 | |||||||||
FNMA, 6.00%, 5/1/37 | 4,359 | 5,248 | |||||||||
FNMA, 6.00%, 7/1/37 | 1,134 | 1,346 | |||||||||
FNMA, 6.50%, 8/1/37 | 381,794 | 414,006 | |||||||||
FNMA, 6.50%, 8/1/37 | 1,621 | 1,881 | |||||||||
FNMA, 6.50%, 8/1/37 | 144,034 | 154,551 | |||||||||
FNMA, 5.00%, 4/1/40 | 537,183 | 624,374 | |||||||||
FNMA, 5.00%, 6/1/41 | 410,762 | 476,571 | |||||||||
FNMA, 6.50%, 8/1/47 | 16,954 | 18,410 | |||||||||
FNMA, 6.50%, 9/1/47 | 34,203 | 37,016 | |||||||||
FNMA, 6.50%, 9/1/47 | 1,649 | 1,787 | |||||||||
FNMA, 6.50%, 9/1/47 | 18,054 | 19,527 | |||||||||
GNMA, 9.00%, 4/20/25 | 358 | 393 | |||||||||
GNMA, 7.50%, 10/15/25 | 1,408 | 1,430 | |||||||||
GNMA, 6.00%, 4/15/26 | 400 | 449 | |||||||||
GNMA, 7.50%, 6/15/26 | 1,364 | 1,395 | |||||||||
GNMA, 7.00%, 12/15/27 | 7,531 | 7,563 | |||||||||
GNMA, 7.50%, 12/15/27 | 2,689 | 2,801 | |||||||||
GNMA, 6.00%, 5/15/28 | 4,732 | 5,314 | |||||||||
GNMA, 6.50%, 5/15/28 | 4,223 | 4,707 | |||||||||
GNMA, 7.00%, 5/15/31 | 12,258 | 14,550 | |||||||||
GNMA, 5.50%, 11/15/32 | 38,312 | 44,241 | |||||||||
GNMA, 6.50%, 10/15/38 | 546,325 | 640,833 | |||||||||
GNMA, 4.50%, 5/20/41 | 543,078 | 608,587 | |||||||||
GNMA, 4.50%, 6/15/41 | 231,873 | 264,847 | |||||||||
GNMA, 3.50%, 4/20/45 | 97,827 | 104,907 | |||||||||
GNMA, 2.50%, 2/20/47 | 66,620 | 70,672 | |||||||||
UMBS, 2.50%, TBA | 7,325,000 | 7,719,005 | |||||||||
13,436,092 | |||||||||||
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $13,437,335) | 14,053,203 | ||||||||||
COLLATERALIZED LOAN OBLIGATIONS — 1.5% | |||||||||||
Ares LVI CLO Ltd., Series 2020-56A, Class C, VRN, 2.61%, (3-month LIBOR plus 2.40%), 10/25/31(5) | 625,000 | 626,914 | |||||||||
Ares XXXIIR CLO Ltd., Series 2014-32RA, Class A2A, VRN, 1.77%, (3-month LIBOR plus 1.55%), 5/15/30(5) | 600,000 | 604,112 | |||||||||
Ares XXXIV CLO Ltd., Series 2015-2A, Class BR2, VRN, 1.82%, (3-month LIBOR plus 1.60%), 4/17/33(5) | 725,000 | 719,103 |
32
Shares/ Principal Amount | Value | ||||||||||
Bean Creek CLO Ltd., Series 2015-1A, Class BR, VRN, 1.67%, (3-month LIBOR plus 1.45%), 4/20/31(5) | $ | 550,000 | $ | 533,731 | |||||||
CBAM Ltd., Series 2018-5A, Class B1, VRN, 1.62%, (3-month LIBOR plus 1.40%), 4/17/31(5) | 625,000 | 626,688 | |||||||||
Dryden 50 Senior Loan Fund, Series 2017-50A, Class A1, VRN, 1.46%, (3-month LIBOR plus 1.22%), 7/15/30(5) | 450,000 | 451,549 | |||||||||
Dryden 72 CLO Ltd., Series 2019-72A, Class C, VRN, 2.87%, (3-month LIBOR plus 2.65%), 5/15/32(5) | 550,000 | 555,674 | |||||||||
Elmwood CLO IV Ltd., Series 2020-1A, Class C, VRN, 2.29%, (3-month LIBOR plus 2.05%), 4/15/33(5) | 400,000 | 399,820 | |||||||||
Elmwood CLO IV Ltd., Series 2020-1A, Class D, VRN, 3.39%, (3-month LIBOR plus 3.15%), 4/15/33(5) | 200,000 | 201,540 | |||||||||
Elmwood CLO V Ltd., Series 2020-2A, Class C, VRN, 2.97%, (3-month LIBOR plus 2.75%), 7/24/31(5) | 725,000 | 734,249 | |||||||||
Elmwood CLO VII Ltd., Series 2020-4A, Class C, VRN, 2.40%, (3-month LIBOR plus 2.25%), 1/17/34(5) | 350,000 | 351,462 | |||||||||
Flatiron CLO 20 Ltd., Series 2020-1A, Class C, VRN, 2.70%, (3-month LIBOR plus 2.45%), 11/20/33(5) | 500,000 | 502,023 | |||||||||
Goldentree Loan Management US CLO 5 Ltd., Series 2019-5A, Class A, VRN, 1.52%, (3-month LIBOR plus 1.30%), 10/20/32(5) | 600,000 | 603,795 | |||||||||
Goldentree Loan Opportunities X Ltd., Series 2015-10A, Class AR, VRN, 1.34%, (3-month LIBOR plus 1.12%), 7/20/31(5) | 350,000 | 351,604 | |||||||||
Kayne CLO 9 Ltd., Series 2020-9A, Class C, VRN, 2.84%, (3-month LIBOR plus 2.60%), 1/15/34(5) | 500,000 | 504,161 | |||||||||
KKR CLO Ltd., Series 2022A, Class B, VRN, 1.82%, (3-month LIBOR plus 1.60%), 7/20/31(5) | 500,000 | 493,842 | |||||||||
Madison Park Funding XXII Ltd., Series 2016-22A, Class BR, VRN, 1.84%, (3-month LIBOR plus 1.60%), 1/15/33(5) | 500,000 | 502,748 | |||||||||
Magnetite VIII Ltd., Series 2014-8A, Class BR2, VRN, 1.74%, (3-month LIBOR plus 1.50%), 4/15/31(5) | 600,000 | 598,571 | |||||||||
Magnetite XIV-R Ltd., Series 2015-14RA, Class B, VRN, 1.82%, (3-month LIBOR plus 1.60%), 10/18/31(5) | 525,000 | 520,371 | |||||||||
Magnetite XXV Ltd., Series 2020-25A, Class C, VRN, 2.35%, (3-month LIBOR plus 2.10%), 1/25/32(5) | 450,000 | 453,504 | |||||||||
Neuberger Berman Loan Advisers CLO 34 Ltd., Series 2019-34A, Class C1, VRN, 2.82%, (3-month LIBOR plus 2.60%), 1/20/33(5) | 375,000 | 381,133 | |||||||||
OHA Credit Funding 7 Ltd., Series 2020-7A, Class B, VRN, 1.92%, (3-month LIBOR plus 1.70%), 10/19/32(5) | 500,000 | 503,760 | |||||||||
Parallel Ltd., Series 2020-1A, Class A1, VRN, 2.05%, (3-month LIBOR plus 1.83%), 7/20/31(5) | 550,000 | 554,049 | |||||||||
Reese Park CLO Ltd., Series 2020-1A, Class C1, VRN, 2.69%, (3-month LIBOR plus 2.45%), 10/15/32(5) | 475,000 | 477,785 | |||||||||
Rockford Tower CLO Ltd., Series 2020-1A, Class C, VRN, 2.60%, (3-month LIBOR plus 2.35%), 1/20/32(5) | 400,000 | 401,269 | |||||||||
Symphony CLO XXII Ltd., Series 2020-22A, Class B, VRN, 1.92%, (3-month LIBOR plus 1.70%), 4/18/33(5) | 1,000,000 | 1,008,292 | |||||||||
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $13,575,317) | 13,661,749 | ||||||||||
COMMERCIAL PAPER(8) — 1.3% | |||||||||||
Nordea Bank Abp, 0.19%, 7/13/21(5) | 3,900,000 | 3,897,319 | |||||||||
Ridgefield Funding Co. LLC, 0.23%, 4/6/21(5) | 3,100,000 | 3,099,244 | |||||||||
Toronto-Dominion Bank (The), 0.20%, 3/12/21(5) | 3,000,000 | 2,999,619 | |||||||||
Yale University, 0.16%, 4/7/21(5) | 1,695,000 | 1,694,654 | |||||||||
TOTAL COMMERCIAL PAPER (Cost $11,689,258) | 11,690,836 |
33
Shares/ Principal Amount | Value | ||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 1.0% | |||||||||||
Private Sponsor Collateralized Mortgage Obligations — 0.2% | |||||||||||
ABN Amro Mortgage Corp., Series 2003-4, Class A4, 5.50%, 3/25/33 | $ | 16,613 | $ | 17,286 | |||||||
Adjustable Rate Mortgage Trust, Series 2004-4, Class 4A1, VRN, 2.79%, 3/25/35 | 40,974 | 42,494 | |||||||||
Banc of America Mortgage Trust, Series 2004-E, Class 2A6 SEQ, VRN, 3.60%, 6/25/34 | 86,357 | 87,596 | |||||||||
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-8, Class 2A1, VRN, 3.10%, 11/25/34 | 24,298 | 24,234 | |||||||||
Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A5, VRN, 2.22%, 8/25/34 | 73,327 | 74,587 | |||||||||
Connecticut Avenue Securities Trust, Series 2020-SBT1, Class 2M2, VRN, 3.78%, (1-month LIBOR plus 3.65%), 2/25/40(5) | 290,000 | 301,501 | |||||||||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1, VRN, 2.42%, 10/25/34 | 73,774 | 75,728 | |||||||||
GSR Mortgage Loan Trust, Series 2004-7, Class 3A1, VRN, 2.84%, 6/25/34 | 29,604 | 29,430 | |||||||||
GSR Mortgage Loan Trust, Series 2004-AR5, Class 3A3, VRN, 3.88%, 5/25/34 | 63,970 | 62,527 | |||||||||
GSR Mortgage Loan Trust, Series 2005-AR1, Class 3A1, VRN, 2.87%, 1/25/35 | 81,612 | 82,827 | |||||||||
JPMorgan Mortgage Trust, Series 2013-1, Class 2A2 SEQ, VRN, 2.50%, 3/25/43(5) | 5,542 | 5,627 | |||||||||
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7, VRN, 3.17%, 11/21/34 | 235,062 | 243,509 | |||||||||
Merrill Lynch Mortgage Investors Trust, Series 2005-3, Class 2A, VRN, 2.32%, 11/25/35 | 59,143 | 58,640 | |||||||||
Merrill Lynch Mortgage Investors Trust, Series 2005-A2, Class A1, VRN, 2.96%, 2/25/35 | 67,026 | 70,671 | |||||||||
Merrill Lynch Mortgage Investors Trust, Series 2005-A2, Class A2, VRN, 2.96%, 2/25/35 | 20,946 | 22,161 | |||||||||
Sequoia Mortgage Trust, Series 2018-CH2, Class A12 SEQ, VRN, 4.00%, 6/25/48(5) | 121,598 | 122,112 | |||||||||
Sofi Mortgage Trust, Series 2016-1A, Class 1A4 SEQ, VRN, 3.00%, 11/25/46(5) | 90,772 | 93,391 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Class 2A1, VRN, 2.47%, 7/25/34 | 52,887 | 54,178 | |||||||||
WaMu Mortgage Pass-Through Certificates, Series 2003-S11, Class 3A5, 5.95%, 11/25/33 | 40,424 | 42,133 | |||||||||
1,510,632 | |||||||||||
U.S. Government Agency Collateralized Mortgage Obligations — 0.8% | |||||||||||
FHLMC, Series 2013-DN2, Class M2, VRN, 4.38%, (1-month LIBOR plus 4.25%), 11/25/23 | 353,770 | 357,209 | |||||||||
FHLMC, Series 2014-DN2, Class M3, VRN, 3.73%, (1-month LIBOR plus 3.60%), 4/25/24 | 323,104 | 323,525 | |||||||||
FHLMC, Series 2014-HQ2, Class M3, VRN, 3.88%, (1-month LIBOR plus 3.75%), 9/25/24 | 1,102,891 | 1,140,765 | |||||||||
FHLMC, Series 2016-DNA3, Class M3, VRN, 5.13%, (1-month LIBOR plus 5.00%), 12/25/28 | 636,391 | 671,052 | |||||||||
FHLMC, Series 2016-HQA3, Class M2, VRN, 1.48%, (1-month LIBOR plus 1.35%), 3/25/29 | 6,410 | 6,423 | |||||||||
FHLMC, Series 2016-HQA4, Class M3, VRN, 4.03%, (1-month LIBOR plus 3.90%), 4/25/29 | 1,474,014 | 1,533,863 | |||||||||
FNMA, Series 2014-C02, Class 1M2, VRN, 2.73%, (1-month LIBOR plus 2.60%), 5/25/24 | 279,945 | 276,639 | |||||||||
FNMA, Series 2014-C02, Class 2M2, VRN, 2.73%, (1-month LIBOR plus 2.60%), 5/25/24 | 579,365 | 587,594 |
34
Shares/ Principal Amount | Value | ||||||||||
FNMA, Series 2015-C03, Class 1M2, VRN, 5.13%, (1-month LIBOR plus 5.00%), 7/25/25 | $ | 680,447 | $ | 700,561 | |||||||
FNMA, Series 2015-C04, Class 1M2, VRN, 5.83%, (1-month LIBOR plus 5.70%), 4/25/28 | 253,219 | 270,065 | |||||||||
FNMA, Series 2016-C03, Class 2M2, VRN, 6.03%, (1-month LIBOR plus 5.90%), 10/25/28 | 160,206 | 169,253 | |||||||||
FNMA, Series 2017-C03, Class 1M2, VRN, 3.13%, (1-month LIBOR plus 3.00%), 10/25/29 | 117,868 | 120,687 | |||||||||
FNMA, Series 2017-C07, Class 1M2, VRN, 2.53%, (1-month LIBOR plus 2.40%), 5/25/30 | 842,477 | 851,048 | |||||||||
7,008,684 | |||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $8,033,927) | 8,519,316 | ||||||||||
ASSET-BACKED SECURITIES — 0.6% | |||||||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A SEQ, 2.94%, 5/25/29(5) | 171,312 | 175,998 | |||||||||
FirstKey Homes Trust, Series 2020-SFR1, Class C, 1.94%, 9/17/25(5) | 600,000 | 608,155 | |||||||||
FirstKey Homes Trust, Series 2020-SFR2, Class E, 2.67%, 10/19/37(5) | 1,800,000 | 1,842,229 | |||||||||
Goodgreen Trust, Series 2020-1A, Class A SEQ, 2.63%, 4/15/55(5) | 626,435 | 654,623 | |||||||||
MVW Owner Trust, Series 2015-1A, Class A SEQ, 2.52%, 12/20/32(5) | 72,628 | 73,206 | |||||||||
MVW Owner Trust, Series 2017-1A, Class A SEQ, 2.42%, 12/20/34(5) | 29,076 | 29,845 | |||||||||
Progress Residential Trust, Series 2018-SFR1, Class B, 3.48%, 3/17/35(5) | 150,000 | 150,967 | |||||||||
Sierra Timeshare Receivables Funding LLC, Series 2018-2A, Class B, 3.65%, 6/20/35(5) | 394,640 | 410,985 | |||||||||
Towd Point Mortgage Trust, Series 2018-4, Class A1, VRN, 3.00%, 6/25/58(5) | 706,508 | 751,602 | |||||||||
UAL Pass-Through Trust, Series 2007-1, Class A, 6.64%, 1/2/24 | 43,475 | 44,459 | |||||||||
VSE VOI Mortgage LLC, Series 2016-A, Class A SEQ, 2.54%, 7/20/33(5) | 256,529 | 258,166 | |||||||||
VSE VOI Mortgage LLC, Series 2018-A, Class B, 3.72%, 2/20/36(5) | 437,361 | 459,948 | |||||||||
TOTAL ASSET-BACKED SECURITIES (Cost $5,264,981) | 5,460,183 | ||||||||||
EXCHANGE-TRADED FUNDS — 0.3% | |||||||||||
iShares MSCI EAFE Value ETF | 10,262 | 481,596 | |||||||||
iShares Russell Mid-Cap Value ETF | 16,852 | 1,630,094 | |||||||||
SPDR S&P 500 ETF Trust | 2,088 | 772,706 | |||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $2,499,975) | 2,884,396 | ||||||||||
PREFERRED STOCKS — 0.2% | |||||||||||
Diversified Telecommunication Services — 0.1% | |||||||||||
Telefonica Europe BV, 3.00% | 400,000 | 498,874 | |||||||||
Electric Utilities† | |||||||||||
Enel SpA, 2.25% | 200,000 | 254,530 | |||||||||
Insurance — 0.1% | |||||||||||
Allianz SE, 3.375% | 100,000 | 132,764 | |||||||||
AXA SA, MTN, 6.69% | 50,000 | 84,432 | |||||||||
Credit Agricole Assurances SA, 4.25% | 200,000 | 268,798 | |||||||||
Intesa Sanpaolo Vita SpA, 4.75% | 100,000 | 131,409 | |||||||||
617,403 |
35
Shares/ Principal Amount | Value | ||||||||||
Oil, Gas and Consumable Fuels† | |||||||||||
Eni SpA, 3.375% | 300,000 | $ | 387,091 | ||||||||
TOTAL PREFERRED STOCKS (Cost $1,652,802) | 1,757,898 | ||||||||||
TEMPORARY CASH INVESTMENTS — 3.7% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class (Cost $33,469,295) | 33,469,295 | 33,469,295 | |||||||||
TEMPORARY CASH INVESTMENTS - SECURITIES LENDING COLLATERAL(9) — 0.1% | |||||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (Cost $682,322) | 682,322 | 682,322 | |||||||||
TOTAL INVESTMENT SECURITIES — 101.0% (Cost $740,857,006) | 906,380,777 | ||||||||||
OTHER ASSETS AND LIABILITIES — (1.0)% | (9,149,515) | ||||||||||
TOTAL NET ASSETS — 100.0% | $ | 897,231,262 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
USD | 2,344,169 | AUD | 3,179,198 | UBS AG | 3/17/21 | $ | (86,133) | |||||||||||||
BRL | 3,674,855 | USD | 701,924 | Goldman Sachs & Co. | 3/17/21 | (31,075) | ||||||||||||||
USD | 706,812 | BRL | 3,674,855 | Goldman Sachs & Co. | 3/17/21 | 35,962 | ||||||||||||||
CAD | 20,073 | USD | 15,709 | Morgan Stanley | 3/31/21 | (9) | ||||||||||||||
CAD | 22,227 | USD | 17,504 | Morgan Stanley | 3/31/21 | (120) | ||||||||||||||
CAD | 12,193 | USD | 9,593 | Morgan Stanley | 3/31/21 | (56) | ||||||||||||||
CAD | 31,861 | USD | 25,107 | Morgan Stanley | 3/31/21 | (188) | ||||||||||||||
CAD | 13,003 | USD | 10,291 | Morgan Stanley | 3/31/21 | (121) | ||||||||||||||
CAD | 100,116 | USD | 79,387 | Morgan Stanley | 3/31/21 | (1,084) | ||||||||||||||
CAD | 7,512 | USD | 5,840 | Morgan Stanley | 3/31/21 | 35 | ||||||||||||||
CAD | 31,394 | USD | 24,593 | Morgan Stanley | 3/31/21 | (39) | ||||||||||||||
USD | 1,049,943 | CAD | 1,359,220 | Morgan Stanley | 3/17/21 | (13,107) | ||||||||||||||
USD | 367,576 | CAD | 468,218 | Morgan Stanley | 3/31/21 | 1,372 | ||||||||||||||
USD | 499,010 | CAD | 635,638 | Morgan Stanley | 3/31/21 | 1,863 | ||||||||||||||
USD | 14,703 | CAD | 18,783 | Morgan Stanley | 3/31/21 | 13 | ||||||||||||||
USD | 12,465 | CAD | 15,751 | Morgan Stanley | 3/31/21 | 146 | ||||||||||||||
USD | 454,788 | CHF | 408,291 | Morgan Stanley | 3/17/21 | (4,153) | ||||||||||||||
USD | 697,017 | CHF | 618,310 | UBS AG | 3/17/21 | 2,003 | ||||||||||||||
USD | 3,404,018 | CNY | 22,498,858 | Goldman Sachs & Co. | 3/17/21 | (72,569) | ||||||||||||||
COP | 1,790,175,292 | USD | 500,014 | Goldman Sachs & Co. | 3/17/21 | 794 | ||||||||||||||
COP | 1,215,244,117 | USD | 334,134 | Goldman Sachs & Co. | 3/17/21 | 5,835 | ||||||||||||||
USD | 471,560 | COP | 1,678,239,946 | Goldman Sachs & Co. | 3/17/21 | 2,067 | ||||||||||||||
USD | 442,749 | CZK | 9,648,358 | UBS AG | 3/17/21 | (7,192) | ||||||||||||||
USD | 67,783 | DKK | 417,393 | Goldman Sachs & Co. | 3/17/21 | (377) | ||||||||||||||
EUR | 370,973 | USD | 451,635 | JPMorgan Chase Bank N.A. | 2/17/21 | (1,295) | ||||||||||||||
EUR | 38,139 | USD | 46,527 | Credit Suisse AG | 3/31/21 | (184) | ||||||||||||||
EUR | 53,082 | USD | 65,156 | Credit Suisse AG | 3/31/21 | (656) | ||||||||||||||
EUR | 11,163 | USD | 13,549 | Credit Suisse AG | 3/31/21 | 15 | ||||||||||||||
EUR | 27,865 | USD | 33,944 | Credit Suisse AG | 3/31/21 | (85) | ||||||||||||||
EUR | 34,645 | USD | 42,131 | Credit Suisse AG | 3/31/21 | (35) | ||||||||||||||
EUR | 11,648 | USD | 14,131 | Credit Suisse AG | 3/31/21 | 23 | ||||||||||||||
EUR | 17,376 | USD | 21,113 | Credit Suisse AG | 3/31/21 | 1 |
36
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
USD | 9,489,583 | EUR | 7,812,285 | JPMorgan Chase Bank N.A. | 2/17/21 | $ | 5,916 | |||||||||||||
USD | 455,732 | EUR | 371,147 | Credit Suisse AG | 3/31/21 | 4,750 | ||||||||||||||
USD | 1,389,297 | EUR | 1,131,441 | Credit Suisse AG | 3/31/21 | 14,481 | ||||||||||||||
USD | 13,238 | EUR | 10,823 | Credit Suisse AG | 3/31/21 | 86 | ||||||||||||||
USD | 33,337 | EUR | 27,151 | Credit Suisse AG | 3/31/21 | 346 | ||||||||||||||
USD | 15,243 | EUR | 12,376 | Credit Suisse AG | 3/31/21 | 204 | ||||||||||||||
USD | 43,669 | EUR | 35,528 | Credit Suisse AG | 3/31/21 | 498 | ||||||||||||||
USD | 11,593 | EUR | 9,513 | Credit Suisse AG | 3/31/21 | 34 | ||||||||||||||
USD | 46,990 | EUR | 38,557 | Credit Suisse AG | 3/31/21 | 139 | ||||||||||||||
USD | 36,762 | EUR | 30,383 | Credit Suisse AG | 3/31/21 | (157) | ||||||||||||||
USD | 39,676 | EUR | 32,688 | Credit Suisse AG | 3/31/21 | (43) | ||||||||||||||
USD | 20,448 | EUR | 16,793 | Credit Suisse AG | 3/31/21 | 43 | ||||||||||||||
USD | 20,575 | EUR | 16,890 | Credit Suisse AG | 3/31/21 | 51 | ||||||||||||||
GBP | 65,338 | USD | 87,361 | Bank of America N.A. | 3/17/21 | 2,182 | ||||||||||||||
GBP | 55,000 | USD | 74,070 | Bank of America N.A. | 3/17/21 | 1,306 | ||||||||||||||
GBP | 32,136 | USD | 42,942 | JPMorgan Chase Bank N.A. | 3/31/21 | 1,103 | ||||||||||||||
GBP | 36,731 | USD | 49,864 | JPMorgan Chase Bank N.A. | 3/31/21 | 478 | ||||||||||||||
GBP | 35,426 | USD | 48,331 | JPMorgan Chase Bank N.A. | 3/31/21 | 223 | ||||||||||||||
GBP | 59,168 | USD | 81,308 | JPMorgan Chase Bank N.A. | 3/31/21 | (213) | ||||||||||||||
USD | 356,724 | GBP | 262,278 | Bank of America N.A. | 3/17/21 | (2,719) | ||||||||||||||
USD | 1,680,648 | GBP | 1,248,066 | JPMorgan Chase Bank N.A. | 3/31/21 | (29,937) | ||||||||||||||
USD | 59,487 | GBP | 43,687 | JPMorgan Chase Bank N.A. | 3/31/21 | (390) | ||||||||||||||
USD | 41,719 | GBP | 30,625 | JPMorgan Chase Bank N.A. | 3/31/21 | (255) | ||||||||||||||
USD | 56,180 | GBP | 41,398 | JPMorgan Chase Bank N.A. | 3/31/21 | (560) | ||||||||||||||
HUF | 6,888,543 | USD | 23,269 | UBS AG | 3/17/21 | 136 | ||||||||||||||
USD | 380,232 | IDR | 5,413,741,588 | Goldman Sachs & Co. | 3/17/21 | (3,669) | ||||||||||||||
ILS | 1,060,328 | USD | 325,314 | UBS AG | 3/17/21 | (2,135) | ||||||||||||||
USD | 367,226 | ILS | 1,206,050 | UBS AG | 3/17/21 | (367) | ||||||||||||||
USD | 461,013 | ILS | 1,493,222 | UBS AG | 3/17/21 | 5,892 | ||||||||||||||
JPY | 66,302,562 | USD | 639,019 | Bank of America N.A. | 2/17/21 | (5,945) | ||||||||||||||
JPY | 3,402,360 | USD | 33,095 | Bank of America N.A. | 3/31/21 | (594) | ||||||||||||||
JPY | 1,965,600 | USD | 19,026 | Bank of America N.A. | 3/31/21 | (250) | ||||||||||||||
JPY | 1,246,683 | USD | 12,043 | Bank of America N.A. | 3/31/21 | (134) | ||||||||||||||
JPY | 2,659,230 | USD | 25,863 | Bank of America N.A. | 3/31/21 | (460) | ||||||||||||||
JPY | 1,881,630 | USD | 18,303 | Bank of America N.A. | 3/31/21 | (328) | ||||||||||||||
JPY | 2,163,420 | USD | 20,840 | Bank of America N.A. | 3/31/21 | (173) | ||||||||||||||
JPY | 1,654,380 | USD | 15,862 | Bank of America N.A. | 3/31/21 | (58) | ||||||||||||||
USD | 5,846,539 | JPY | 606,751,343 | Bank of America N.A. | 2/17/21 | 53,124 | ||||||||||||||
USD | 688,395 | JPY | 71,393,400 | Bank of America N.A. | 3/31/21 | 6,395 | ||||||||||||||
USD | 357,854 | JPY | 37,113,010 | Bank of America N.A. | 3/31/21 | 3,325 | ||||||||||||||
USD | 15,357 | JPY | 1,581,840 | Bank of America N.A. | 3/31/21 | 247 | ||||||||||||||
USD | 32,880 | JPY | 3,408,750 | Bank of America N.A. | 3/31/21 | 318 | ||||||||||||||
KRW | 142,059,284 | USD | 129,038 | Goldman Sachs & Co. | 3/17/21 | (2,008) | ||||||||||||||
USD | 146,020 | KRW | 161,709,668 | Goldman Sachs & Co. | 3/17/21 | 1,419 | ||||||||||||||
KZT | 119,784,230 | USD | 275,588 | Goldman Sachs & Co. | 3/17/21 | 5,127 | ||||||||||||||
MXN | 16,784,072 | USD | 826,346 | UBS AG | 3/17/21 | (11,304) | ||||||||||||||
MXN | 7,098,862 | USD | 349,594 | UBS AG | 3/17/21 | (4,871) | ||||||||||||||
USD | 668,654 | MXN | 13,330,960 | UBS AG | 3/17/21 | 21,297 | ||||||||||||||
MYR | 231,039 | USD | 56,575 | Goldman Sachs & Co. | 3/17/21 | 339 | ||||||||||||||
USD | 239,818 | MYR | 974,739 | Goldman Sachs & Co. | 3/17/21 | (296) | ||||||||||||||
NOK | 3,604,440 | USD | 419,869 | Goldman Sachs & Co. | 3/17/21 | 917 |
37
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
NOK | 88,896 | USD | 10,572 | Goldman Sachs & Co. | 3/31/21 | $ | (195) | |||||||||||||
NOK | 145,378 | USD | 17,184 | Goldman Sachs & Co. | 3/31/21 | (213) | ||||||||||||||
USD | 660,336 | NOK | 5,830,892 | Goldman Sachs & Co. | 3/17/21 | (20,368) | ||||||||||||||
USD | 397,556 | NOK | 3,455,519 | Goldman Sachs & Co. | 3/31/21 | (5,819) | ||||||||||||||
USD | 11,055 | NOK | 94,605 | Goldman Sachs & Co. | 3/31/21 | 11 | ||||||||||||||
NZD | 1,026,259 | USD | 725,160 | UBS AG | 3/17/21 | 12,316 | ||||||||||||||
PEN | 2,228,101 | USD | 617,647 | Goldman Sachs & Co. | 3/17/21 | (5,122) | ||||||||||||||
PEN | 1,215,434 | USD | 339,365 | Goldman Sachs & Co. | 3/17/21 | (5,231) | ||||||||||||||
PEN | 2,415,251 | USD | 672,922 | Goldman Sachs & Co. | 3/17/21 | (8,947) | ||||||||||||||
PEN | 1,268,383 | USD | 351,547 | Goldman Sachs & Co. | 3/17/21 | (2,857) | ||||||||||||||
USD | 928,707 | PHP | 44,762,362 | UBS AG | 3/17/21 | (1,046) | ||||||||||||||
USD | 178,214 | PLN | 658,828 | UBS AG | 3/17/21 | 1,253 | ||||||||||||||
USD | 78,322 | RUB | 5,983,047 | Goldman Sachs & Co. | 3/17/21 | (438) | ||||||||||||||
SEK | 3,999,717 | USD | 471,145 | Goldman Sachs & Co. | 3/17/21 | 7,726 | ||||||||||||||
USD | 213,068 | SGD | 285,549 | Bank of America N.A. | 3/17/21 | (1,884) | ||||||||||||||
USD | 496,222 | THB | 15,012,615 | Goldman Sachs & Co. | 3/17/21 | (5,302) | ||||||||||||||
TRY | 5,215,359 | USD | 638,981 | UBS AG | 3/17/21 | 61,004 | ||||||||||||||
TWD | 27,065,914 | USD | 965,822 | UBS AG | 3/17/21 | 4,902 | ||||||||||||||
$ | (75,049) |
FUTURES CONTRACTS PURCHASED | ||||||||||||||
Reference Entity | Contracts | Expiration Date | Notional Amount | Unrealized Appreciation (Depreciation)^ | ||||||||||
Korean Treasury 10-Year Bonds | 10 | March 2021 | $ | 1,158,323 | $ | (9,047) | ||||||||
U.K. Gilt 10-Year Bonds | 19 | March 2021 | 3,490,225 | (3,154) | ||||||||||
U.S. Treasury 10-Year Ultra Notes | 18 | March 2021 | 2,768,906 | (40,540) | ||||||||||
U.S. Treasury 2-Year Notes | 114 | March 2021 | 25,191,328 | 10,490 | ||||||||||
$ | 32,608,782 | $ | (42,251) |
^Amount represents value and unrealized appreciation (depreciation).
FUTURES CONTRACTS SOLD | ||||||||||||||
Reference Entity | Contracts | Expiration Date | Notional Amount | Unrealized Appreciation (Depreciation)^ | ||||||||||
U.S. Treasury 10-Year Notes | 108 | March 2021 | $ | 14,799,375 | $ | 9,470 |
^Amount represents value and unrealized appreciation (depreciation).
38
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 35 | Sell | 5.00% | 12/20/25 | $ | 16,652,000 | $ | 1,477,675 | $ | (29,866) | $ | 1,447,809 |
‡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.
39
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 | ||||||||||||
CNY | - | Chinese Yuan | PHP | - | Philippine Peso | ||||||||||||
COP | - | Colombian Peso | PLN | - | Polish Zloty | ||||||||||||
CVA | - | Certificaten Van Aandelen | RUB | - | Russian Ruble | ||||||||||||
CZK | - | Czech Koruna | SEK | - | Swedish Krona | ||||||||||||
DKK | - | Danish Krone | SEQ | - | Sequential Payer | ||||||||||||
EUR | - | Euro | SGD | - | Singapore Dollar | ||||||||||||
FHLMC | - | Federal Home Loan Mortgage Corporation | TBA | - | To-Be-Announced. Security was purchased on a forward commitment basis with an approximate principal amount and maturity date. Actual principal amount and maturity date will be determined upon settlement. | ||||||||||||
FNMA | - | Federal National Mortgage Association | |||||||||||||||
GA | - | Guaranty Agreement | |||||||||||||||
GBP | - | British Pound | |||||||||||||||
GNMA | - | Government National Mortgage Association | THB | - | Thai Baht | ||||||||||||
TRY | - | Turkish Lira | |||||||||||||||
GO | - | General Obligation | TWD | - | Taiwanese Dollar | ||||||||||||
H15T1Y | - | Constant Maturity U.S. Treasury Note Yield Curve Rate Index | UMBS | - | Uniform Mortgage-Backed Securities | ||||||||||||
USD | - | United States Dollar | |||||||||||||||
HUF | - | Hungarian Forint | 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. | ||||||||||||
IDR | - | Indonesian Rupiah | |||||||||||||||
ILS | - | Israeli Shekel | |||||||||||||||
JPY | - | Japanese Yen | |||||||||||||||
KRW | - | South Korean Won | |||||||||||||||
KZT | - | Kazakhstani Tenge | 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. The security's effective maturity date may be shorter than the final maturity date shown. | ||||||||||||
LIBOR | - | London Interbank Offered Rate | |||||||||||||||
LIQ FAC | - | Liquidity Facilities | |||||||||||||||
LOC | - | Letter of Credit | |||||||||||||||
† 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, or a portion thereof, is on loan. At the period end, the aggregate value of securities on loan was $1,709,998. The amount of securities on loan indicated may not correspond with the securities on loan identified because securities with pending sales are in the process of recall from the brokers.
(4)Security, or a portion thereof, has been pledged at the custodian bank or with a broker for collateral requirements on forward commitments, forward foreign currency exchange contracts, futures contracts and/or swap agreements. At the period end, the aggregate value of securities pledged was $2,008,661.
(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 $48,588,895, which represented 5.4% of total net assets.
(6)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.
(7)Security is a zero-coupon bond.
(8)The rate indicated is the yield to maturity at purchase for non-interest bearing securities. For interest bearing securities, the stated coupon rate is shown.
(9)Investment of cash collateral from securities on loan. At the period end, the aggregate value of the collateral held by the fund was $1,807,136, which includes securities collateral of $1,124,814.
See Notes to Financial Statements.
40
Statement of Assets and Liabilities |
JANUARY 31, 2021 (UNAUDITED) | |||||
Assets | |||||
Investment securities - unaffiliated, at value (cost of $435,558,477) — including $1,709,998 of securities on loan | $ | 527,547,109 | |||
Investment securities - affiliated, at value (cost of $304,616,207) | 378,151,346 | ||||
Investment made with cash collateral received for securities on loan, at value (cost of $682,322) | 682,322 | ||||
Total investment securities, at value (cost of $740,857,006) | 906,380,777 | ||||
Cash | 5,982 | ||||
Foreign currency holdings, at value (cost of $70,726) | 70,743 | ||||
Foreign deposits with broker for futures contracts, at value (cost of $138,377) | 143,865 | ||||
Receivable for investments sold | 9,139,136 | ||||
Receivable for capital shares sold | 227,714 | ||||
Receivable for variation margin on futures contracts | 13,856 | ||||
Unrealized appreciation on forward foreign currency exchange contracts | 267,717 | ||||
Interest and dividends receivable | 1,513,862 | ||||
Securities lending receivable | 2,179 | ||||
Other assets | 19,342 | ||||
917,785,173 | |||||
Liabilities | |||||
Payable for collateral received for securities on loan | 682,322 | ||||
Payable for investments purchased | 18,328,042 | ||||
Payable for capital shares redeemed | 538,470 | ||||
Payable for variation margin on futures contracts | 16,175 | ||||
Payable for variation margin on swap agreements | 12,266 | ||||
Unrealized depreciation on forward foreign currency exchange contracts | 342,766 | ||||
Accrued management fees | 513,179 | ||||
Distribution and service fees payable | 117,332 | ||||
Accrued foreign taxes | 3,359 | ||||
20,553,911 | |||||
Net Assets | $ | 897,231,262 | |||
Net Assets Consist of: | |||||
Capital (par value and paid-in surplus) | $ | 719,684,107 | |||
Distributable earnings | 177,547,155 | ||||
$ | 897,231,262 |
Net Assets | Shares Outstanding | Net Asset Value Per Share | |||||||||
Investor Class, $0.01 Par Value | $314,756,530 | 46,841,581 | $6.72 | ||||||||
I Class, $0.01 Par Value | $65,118,967 | 9,686,431 | $6.72 | ||||||||
A Class, $0.01 Par Value | $314,747,070 | 47,028,084 | $6.69* | ||||||||
C Class, $0.01 Par Value | $33,226,679 | 5,071,422 | $6.55 | ||||||||
R Class, $0.01 Par Value | $39,276,726 | 5,916,610 | $6.64 | ||||||||
R5 Class, $0.01 Par Value | $7,045,091 | 1,047,196 | $6.73 | ||||||||
R6 Class, $0.01 Par Value | $123,060,199 | 18,336,633 | $6.71 |
*Maximum offering price $7.10 (net asset value divided by 0.9425).
See Notes to Financial Statements.
41
Statement of Operations |
FOR THE SIX MONTHS ENDED JANUARY 31, 2021 (UNAUDITED) | |||||
Investment Income (Loss) | |||||
Income: | |||||
Income distributions from affiliated funds | $ | 2,842,525 | |||
Interest (net of foreign taxes withheld of $2,399) | 2,660,351 | ||||
Dividends (net of foreign taxes withheld of $35,482) | 1,851,630 | ||||
Securities lending, net | 10,392 | ||||
7,364,898 | |||||
Expenses: | |||||
Management fees | 4,594,494 | ||||
Distribution and service fees: | |||||
A Class | 377,317 | ||||
C Class | 196,788 | ||||
R Class | 95,396 | ||||
Directors' fees and expenses | 13,480 | ||||
Other expenses | 10,901 | ||||
5,288,376 | |||||
Fees waived(1) | (1,676,475) | ||||
3,611,901 | |||||
Net investment income (loss) | 3,752,997 | ||||
Realized and Unrealized Gain (Loss) | |||||
Net realized gain (loss) on: | |||||
Investment transactions (including $9,286,553 from affiliated funds) | 32,654,868 | ||||
Forward foreign currency exchange contract transactions | (1,145,767) | ||||
Futures contract transactions | 82,155 | ||||
Swap agreement transactions | (48,164) | ||||
Foreign currency translation transactions | 26,817 | ||||
Capital gain distributions received from affiliated funds | 121,385 | ||||
31,691,294 | |||||
Change in net unrealized appreciation (depreciation) on: | |||||
Investments (including $53,858,973 from affiliated funds and (increase) decrease in accrued foreign taxes of $(1,562)) | 72,423,852 | ||||
Forward foreign currency exchange contracts | 274,345 | ||||
Futures contracts | (41,730) | ||||
Swap agreements | (29,866) | ||||
Translation of assets and liabilities in foreign currencies | 10,600 | ||||
72,637,201 | |||||
Net realized and unrealized gain (loss) | 104,328,495 | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 108,081,492 |
(1)Amount consists of $585,020, $122,438, $569,237, $74,226, $71,959, $13,346 and $240,249 for Investor Class, I Class, A Class, C Class, R Class, R5 Class and R6 Class, respectively.
See Notes to Financial Statements.
42
Statement of Changes in Net Assets |
SIX MONTHS ENDED JANUARY 31, 2021 (UNAUDITED) AND YEAR ENDED JULY 31, 2020 | ||||||||
Increase (Decrease) in Net Assets | January 31, 2021 | July 31, 2020 | ||||||
Operations | ||||||||
Net investment income (loss) | $ | 3,752,997 | $ | 8,585,850 | ||||
Net realized gain (loss) | 31,691,294 | 105,148,279 | ||||||
Change in net unrealized appreciation (depreciation) | 72,637,201 | (46,558,316) | ||||||
Net increase (decrease) in net assets resulting from operations | 108,081,492 | 67,175,813 | ||||||
Distributions to Shareholders | ||||||||
From earnings: | ||||||||
Investor Class | (15,363,152) | (37,790,354) | ||||||
I Class | (3,298,745) | (8,557,597) | ||||||
A Class | (14,704,857) | (37,234,066) | ||||||
C Class | (1,773,159) | (5,380,827) | ||||||
R Class | (1,822,110) | (4,681,843) | ||||||
R5 Class | (364,586) | (983,349) | ||||||
R6 Class | (6,591,396) | (13,652,619) | ||||||
Decrease in net assets from distributions | (43,918,005) | (108,280,655) | ||||||
Capital Share Transactions | ||||||||
Net increase (decrease) in net assets from capital share transactions (Note 5) | (19,769,606) | 8,003,059 | ||||||
Net increase (decrease) in net assets | 44,393,881 | (33,101,783) | ||||||
Net Assets | ||||||||
Beginning of period | 852,837,381 | 885,939,164 | ||||||
End of period | $ | 897,231,262 | $ | 852,837,381 | ||||
See Notes to Financial Statements.
43
Notes to Financial Statements |
JANUARY 31, 2021 (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 (NAV) 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.
44
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 NAV 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 NAV 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. Income and capital gain distributions, if any, from the affiliated funds are recorded as of the ex-dividend date. 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. Securities lending income is net of fees and rebates earned by the lending agent for its services.
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.
45
Foreign Currency Translations — All assets and liabilities initially expressed in foreign currencies are translated into U.S. dollars at prevailing exchange rates at period end. The fund may enter into spot foreign currency exchange contracts to facilitate transactions denominated in a foreign currency. Purchases and sales of investment securities, dividend and interest income, spot foreign currency exchange contracts, and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Net realized and unrealized foreign currency exchange gains or losses related to investment securities are a component of net realized gain (loss) on investment transactions and change in net unrealized appreciation (depreciation) on investments, respectively.
Forward Commitments — The fund may engage in securities transactions on a forward commitment basis. In these transactions, the securities’ prices and yields are fixed on the date of the commitment. The fund may sell a to-be-announced (TBA) security and at the same time make a commitment to purchase the same security at a future date at a specified price. Conversely, the fund may purchase a TBA security and at the same time make a commitment to sell the same security at a future date at a specified price. These types of transactions are known as “TBA roll” transactions and are accounted for as purchases and sales. The fund will segregate cash, cash equivalents or other appropriate liquid securities on its records in amounts sufficient to meet the purchase price.
Income Tax Status — It is the fund’s policy to distribute substantially all net investment income and net realized gains to shareholders and to otherwise qualify as a regulated investment company under provisions of the Internal Revenue Code. Accordingly, no provision has been made for income taxes. The fund files U.S. federal, state, local and non-U.S. tax returns as applicable. The fund's tax returns are subject to examination by the relevant taxing authority until expiration of the applicable statute of limitations, which is generally three 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.
Securities Lending — Securities are lent to qualified financial institutions and brokers. State Street Bank & Trust Co. serves as securities lending agent to the fund pursuant to a Securities Lending Agreement. The lending of securities exposes the fund to risks such as: the borrowers may fail to return the loaned securities, the borrowers may not be able to provide additional collateral, the fund may experience delays in recovery of the loaned securities or delays in access to collateral, or the fund may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge collateral in the form of cash and/or securities. The lending agent has agreed to indemnify the fund in the case of default of any securities borrowed. Cash collateral received is invested in the State Street Navigator Securities Lending Government Money Market Portfolio, a money market mutual fund registered under the 1940 Act. The loans may also be secured by U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends, determined on a daily basis and adjusted accordingly. By lending securities, the fund seeks to increase its net investment income through the receipt of interest and fees. Such income is reflected separately within the Statement of Operations. The value of loaned securities and related collateral outstanding at period end, if any, are shown on a gross basis within the Schedule of Investments and Statement of Assets and Liabilities.
46
The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of January 31, 2021.
Remaining Contractual Maturity of Agreements | |||||||||||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | |||||||||||||
Securities Lending Transactions(1) | |||||||||||||||||
Common Stocks | $ | 682,322 | — | — | — | $ | 682,322 | ||||||||||
Gross amount of recognized liabilities for securities lending transactions | $ | 682,322 |
(1) Amount represents the payable for cash collateral received for securities on loan. This will generally be in the Overnight and Continuous column as the securities are typically callable on demand.
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 ACIM will pay all expenses of managing and operating the fund, except brokerage expenses, taxes, interest, fees and expenses of the independent directors (including legal counsel fees), extraordinary expenses, and expenses incurred in connection with the provision of shareholder services and distribution services under a plan adopted pursuant to Rule 12b-1 under the 1940 Act. 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. During the period ended January 31, 2021, the investment advisor agreed to waive an additional 0.25% of the fund's management fee. The investment advisor expects this waiver to continue until November 30, 2021 and cannot terminate it prior to such date without the approval of the Board of Directors.
The management fee schedule range and the effective annual management fee before and after waiver for each class for the period ended January 31, 2021 are as follows:
Effective Annual Management Fee | |||||||||||
Management Fee Schedule Range | Before Waiver | After Waiver | |||||||||
Investor Class | 0.90% to 1.10% | 1.10% | 0.72% | ||||||||
I Class | 0.70% to 0.90% | 0.90% | 0.52% | ||||||||
A Class | 0.90% to 1.10% | 1.10% | 0.72% | ||||||||
C Class | 0.90% to 1.10% | 1.10% | 0.72% | ||||||||
R Class | 0.90% to 1.10% | 1.10% | 0.72% | ||||||||
R5 Class | 0.70% to 0.90% | 0.90% | 0.52% | ||||||||
R6 Class | 0.55% to 0.75% | 0.75% | 0.37% |
47
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, 2021 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 $148,805 and $3,150,652, respectively. The effect of interfund transactions on the Statement of Operations was $68,787 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, 2021 totaled $205,540,363, of which $97,378,623 represented U.S. Treasury and Government Agency obligations.
Sales of investment securities, excluding short-term investments, for the period ended January 31, 2021 totaled $276,095,232, of which $96,143,872 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, 2021 | Year ended July 31, 2020 | |||||||||||||
Shares | Amount | Shares | Amount | |||||||||||
Investor Class/Shares Authorized | 790,000,000 | 790,000,000 | ||||||||||||
Sold | 1,623,239 | $ | 10,801,057 | 5,636,640 | $ | 32,291,094 | ||||||||
Issued in reinvestment of distributions | 2,240,780 | 14,950,892 | 6,082,375 | 37,158,054 | ||||||||||
Redeemed | (4,723,523) | (31,322,766) | (11,891,155) | (73,244,645) | ||||||||||
(859,504) | (5,570,817) | (172,140) | (3,795,497) | |||||||||||
I Class/Shares Authorized | 380,000,000 | 380,000,000 | ||||||||||||
Sold | 728,815 | 4,854,833 | 922,860 | 5,660,828 | ||||||||||
Issued in reinvestment of distributions | 492,918 | 3,293,083 | 1,399,890 | 8,556,549 | ||||||||||
Redeemed | (1,587,470) | (10,534,769) | (3,861,678) | (24,282,702) | ||||||||||
(365,737) | (2,386,853) | (1,538,928) | (10,065,325) | |||||||||||
A Class/Shares Authorized | 670,000,000 | 670,000,000 | ||||||||||||
Sold | 3,192,276 | 21,232,184 | 5,025,835 | 30,520,692 | ||||||||||
Issued in reinvestment of distributions | 2,153,154 | 14,339,073 | 5,898,171 | 35,902,097 | ||||||||||
Redeemed | (4,687,662) | (30,878,436) | (11,068,511) | (67,526,965) | ||||||||||
657,768 | 4,692,821 | (144,505) | (1,104,176) | |||||||||||
C Class/Shares Authorized | 160,000,000 | 160,000,000 | ||||||||||||
Sold | 281,271 | 1,821,467 | 499,274 | 2,952,893 | ||||||||||
Issued in reinvestment of distributions | 270,676 | 1,768,799 | 885,810 | 5,306,449 | ||||||||||
Redeemed | (1,964,723) | (12,900,460) | (2,422,943) | (14,652,563) | ||||||||||
(1,412,776) | (9,310,194) | (1,037,859) | (6,393,221) | |||||||||||
R Class/Shares Authorized | 90,000,000 | 90,000,000 | ||||||||||||
Sold | 292,677 | 1,910,236 | 836,738 | 5,120,562 | ||||||||||
Issued in reinvestment of distributions | 275,380 | 1,821,434 | 771,046 | 4,660,507 | ||||||||||
Redeemed | (451,710) | (2,968,237) | (1,815,246) | (11,015,570) | ||||||||||
116,347 | 763,433 | (207,462) | (1,234,501) | |||||||||||
R5 Class/Shares Authorized | 50,000,000 | 50,000,000 | ||||||||||||
Sold | 39,836 | 263,946 | 141,601 | 848,522 | ||||||||||
Issued in reinvestment of distributions | 54,561 | 364,586 | 160,726 | 983,349 | ||||||||||
Redeemed | (160,188) | (1,056,972) | (284,046) | (1,648,151) | ||||||||||
(65,791) | (428,440) | 18,281 | 183,720 | |||||||||||
R6 Class/Shares Authorized | 150,000,000 | 150,000,000 | ||||||||||||
Sold | 1,275,181 | 8,444,089 | 5,780,320 | 35,627,500 | ||||||||||
Issued in reinvestment of distributions | 989,842 | 6,591,396 | 2,238,672 | 13,652,619 | ||||||||||
Redeemed | (3,359,464) | (22,565,041) | (3,165,729) | (18,868,060) | ||||||||||
(1,094,441) | (7,529,556) | 4,853,263 | 30,412,059 | |||||||||||
Net increase (decrease) | (3,024,134) | $ | (19,769,606) | 1,770,650 | $ | 8,003,059 |
49
6. Fair Value Measurements
The fund’s investments valuation process is based on several considerations and may use multiple inputs to determine the fair value of the investments held by the fund. In conformity with accounting principles generally accepted in the United States of America, the inputs used to determine a valuation are classified into three broad levels.
•Level 1 valuation inputs consist of unadjusted quoted prices in an active market for identical investments.
•Level 2 valuation inputs consist of direct or indirect observable market data (including quoted prices for comparable investments, evaluations of subsequent market events, interest rates, prepayment speeds, credit risk, etc.). These inputs also consist of quoted prices for identical investments initially expressed in local currencies that are adjusted through translation into U.S. dollars.
•Level 3 valuation inputs consist of unobservable data (including a fund’s own assumptions).
The level classification is based on the lowest level input that is significant to the fair valuation measurement. The valuation inputs are not necessarily an indication of the risks associated with investing in these securities or other financial instruments.
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 | $ | 378,151,346 | — | — | |||||||
Common Stocks | 187,315,635 | $ | 54,977,612 | — | |||||||
U.S. Treasury Securities | — | 104,597,347 | — | ||||||||
Corporate Bonds | — | 39,748,018 | — | ||||||||
Sovereign Governments and Agencies | — | 33,849,506 | — | ||||||||
Municipal Securities | — | 15,562,115 | — | ||||||||
U.S. Government Agency Mortgage-Backed Securities | — | 14,053,203 | — | ||||||||
Collateralized Loan Obligations | — | 13,661,749 | — | ||||||||
Commercial Paper | — | 11,690,836 | — | ||||||||
Collateralized Mortgage Obligations | — | 8,519,316 | — | ||||||||
Asset-Backed Securities | — | 5,460,183 | — | ||||||||
Exchange-Traded Funds | 2,884,396 | — | — | ||||||||
Preferred Stocks | — | 1,757,898 | — | ||||||||
Temporary Cash Investments | 33,469,295 | — | — | ||||||||
Temporary Cash Investments - Securities Lending Collateral | 682,322 | — | — | ||||||||
$ | 602,502,994 | $ | 303,877,783 | — | |||||||
Other Financial Instruments | |||||||||||
Futures Contracts | $ | 19,960 | — | — | |||||||
Swap Agreements | — | $ | 1,447,809 | — | |||||||
Forward Foreign Currency Exchange Contracts | — | 267,717 | — | ||||||||
$ | 19,960 | $ | 1,715,526 | — | |||||||
Liabilities | |||||||||||
Other Financial Instruments | |||||||||||
Futures Contracts | $ | 40,540 | $ | 12,201 | — | ||||||
Forward Foreign Currency Exchange Contracts | — | 342,766 | — | ||||||||
$ | 40,540 | $ | 354,967 | — |
50
7. Derivative Instruments
Credit Risk — The fund is subject to credit risk in the normal course of pursuing its investment objectives. The value of a bond generally declines as the credit quality of its issuer declines. Credit default swap agreements enable a fund to buy/sell protection against a credit event of a specific issuer or index. A fund may attempt to enhance returns by selling protection or attempt to mitigate credit risk by buying protection. 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 $16,652,000.
Foreign Currency Risk — The fund is subject to foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The value of foreign investments held by a fund may be significantly affected by changes in foreign currency exchange rates. The dollar value of a foreign security generally decreases when the value of the dollar rises against the foreign currency in which the security is denominated and tends to increase when the value of the dollar declines against such foreign currency. A fund may enter into forward foreign currency exchange contracts to reduce a fund's exposure to foreign currency exchange rate fluctuations or to gain exposure to the fluctuations in the value of foreign currencies. The net U.S. dollar value of foreign currency underlying all contractual commitments held by a fund and the resulting unrealized appreciation or depreciation are determined daily. Realized gain or loss is recorded upon settlement 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 $45,027,812.
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 $9,134,839 futures contracts purchased and $10,607,370 futures contracts sold.
51
Value of Derivative Instruments as of January 31, 2021
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* | $ | 12,266 | |||||||||
Foreign Currency Risk | Unrealized appreciation on forward foreign currency exchange contracts | $ | 267,717 | Unrealized depreciation on forward foreign currency exchange contracts | 342,766 | |||||||||
Interest Rate Risk | Receivable for variation margin on futures contracts* | 13,856 | Payable for variation margin on futures contracts* | 16,175 | ||||||||||
$ | 281,573 | $ | 371,207 |
*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, 2021
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 | $ | (48,164) | Change in net unrealized appreciation (depreciation) on swap agreements | $ | (29,866) | ||||||||
Foreign Currency Risk | Net realized gain (loss) on forward foreign currency exchange contract transactions | (1,145,767) | Change in net unrealized appreciation (depreciation) on forward foreign currency exchange contracts | 274,345 | ||||||||||
Interest Rate Risk | Net realized gain (loss) on futures contract transactions | 82,155 | Change in net unrealized appreciation (depreciation) on futures contracts | (41,730) | ||||||||||
$ | (1,111,776) | $ | 202,749 |
8. Risk Factors
The value of the fund’s shares will go up and down, sometimes rapidly or unpredictably, based on the performance of the securities owned by the fund 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.
The fund may invest in instruments that have variable or floating coupon rates based on the London Interbank Offered Rate (LIBOR). LIBOR is a benchmark interest rate intended to be representative of the rate at which certain major international banks lend to one another over short-terms. However, LIBOR is expected to be phased out and the transition process may lead to increased volatility or illiquidity in markets for instruments that rely on LIBOR. This could result in a change to the value of such instruments.
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.
9. Federal Tax Information
The book-basis character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. These differences reflect the differing character of certain income items and net realized gains and losses for financial statement and tax purposes, and may result in reclassification among certain capital accounts on the financial statements.
52
As of period end, the components of investments for federal income tax purposes were as follows:
Federal tax cost of investments | $ | 745,519,717 | |||
Gross tax appreciation of investments | $ | 165,028,899 | |||
Gross tax depreciation of investments | (4,167,839) | ||||
Net tax appreciation (depreciation) of investments | $ | 160,861,060 |
The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales.
10. 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 27% of the total outstanding shares of American Century STOXX U.S. Quality Value ETF.
53
11. Affiliated Fund Transactions
A summary of transactions for each affiliated fund for the period ended January 31, 2021 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 | $ | 28,680 | — | — | $ | (95) | $ | 28,585 | 541 | — | $ | 589 | ||||||||||||||
American Century Focused Dynamic Growth ETF | 42,360 | — | $ | 10,514 | 4,825 | 36,671 | 497 | $ | 3,091 | 4 | ||||||||||||||||
American Century Focused Large Cap Value ETF | 23,269 | $ | 516 | — | 2,900 | 26,685 | 500 | — | 205 | |||||||||||||||||
American Century Quality Diversified International ETF | 28,262 | 161 | 4,722 | 3,819 | 27,520 | 572 | 735 | 267 | ||||||||||||||||||
American Century STOXX U.S. Quality Growth ETF | 58,991 | — | 10,985 | 5,849 | 53,855 | 867 | 3,735 | 45 | ||||||||||||||||||
American Century STOXX U.S. Quality Value ETF | 39,459 | 1,077 | — | 5,745 | 46,281 | 1,090 | — | 461 | ||||||||||||||||||
Avantis Emerging Markets Equity ETF | 35,487 | 431 | 4,978 | 7,421 | 38,361 | 605 | 1,038 | 428 | ||||||||||||||||||
Avantis International Equity ETF | 27,401 | 195 | 4,963 | 4,683 | 27,316 | 482 | 301 | 277 | ||||||||||||||||||
Avantis International Small Cap Value ETF | 8,434 | 85 | — | 2,176 | 10,695 | 188 | — | 123 | ||||||||||||||||||
Avantis U.S. Equity ETF | 56,954 | 628 | 1,224 | 11,711 | 68,069 | 1,075 | 89 | 443 | ||||||||||||||||||
Avantis U.S. Small Cap Value ETF | 12,181 | 78 | 2,971 | 4,825 | 14,113 | 236 | 298 | 122 | ||||||||||||||||||
$ | 361,478 | $ | 3,171 | $ | 40,357 | $ | 53,859 | $ | 378,151 | 6,653 | $ | 9,287 | $ | 2,964 |
(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.
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 | |||||||||||||||||||||||||||||||||||||||||||||||
2021(3) | $6.25 | 0.03 | 0.78 | 0.81 | (0.06) | (0.28) | (0.34) | $6.72 | 12.98% | 0.73%(4) | 1.11%(4) | 0.92%(4) | 0.54%(4) | 24% | $314,757 | ||||||||||||||||||||||||||||||||
2020 | $6.57 | 0.07 | 0.46 | 0.53 | (0.08) | (0.77) | (0.85) | $6.25 | 8.42% | 0.84% | 1.11% | 1.13% | 0.86% | 99% | $297,963 | ||||||||||||||||||||||||||||||||
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(5) | $7.51 | 0.06 | 0.16 | 0.22 | (0.06) | (0.65) | (0.71) | $7.02 | 3.22% | 1.09%(4) | 1.09%(4) | 1.25%(4) | 1.25%(4) | 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 | ||||||||||||||||||||||||||||||||
I Class | |||||||||||||||||||||||||||||||||||||||||||||||
2021(3) | $6.25 | 0.04 | 0.77 | 0.81 | (0.06) | (0.28) | (0.34) | $6.72 | 13.09% | 0.53%(4) | 0.91%(4) | 1.12%(4) | 0.74%(4) | 24% | $65,119 | ||||||||||||||||||||||||||||||||
2020 | $6.57 | 0.08 | 0.46 | 0.54 | (0.09) | (0.77) | (0.86) | $6.25 | 8.64% | 0.64% | 0.91% | 1.33% | 1.06% | 99% | $62,820 | ||||||||||||||||||||||||||||||||
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(5) | $7.52 | 0.07 | 0.15 | 0.22 | (0.07) | (0.65) | (0.72) | $7.02 | 3.23% | 0.89%(4) | 0.89%(4) | 1.45%(4) | 1.45%(4) | 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 |
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 | |||||||||||||||||||||||||||||||||||||||||||||||
2021(3) | $6.22 | 0.02 | 0.78 | 0.80 | (0.05) | (0.28) | (0.33) | $6.69 | 12.89% | 0.98%(4) | 1.36%(4) | 0.67%(4) | 0.29%(4) | 24% | $314,747 | ||||||||||||||||||||||||||||||||
2020 | $6.55 | 0.05 | 0.46 | 0.51 | (0.07) | (0.77) | (0.84) | $6.22 | 8.04% | 1.09% | 1.36% | 0.88% | 0.61% | 99% | $288,517 | ||||||||||||||||||||||||||||||||
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(5) | $7.49 | 0.05 | 0.16 | 0.21 | (0.05) | (0.65) | (0.70) | $7.00 | 3.04% | 1.34%(4) | 1.34%(4) | 1.00%(4) | 1.00%(4) | 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 | ||||||||||||||||||||||||||||||||
C Class | |||||||||||||||||||||||||||||||||||||||||||||||
2021(3) | $6.10 | —(6) | 0.75 | 0.75 | (0.02) | (0.28) | (0.30) | $6.55 | 12.55% | 1.73%(4) | 2.11%(4) | (0.08)%(4) | (0.46)%(4) | 24% | $33,227 | ||||||||||||||||||||||||||||||||
2020 | $6.45 | 0.01 | 0.45 | 0.46 | (0.04) | (0.77) | (0.81) | $6.10 | 7.18% | 1.84% | 2.11% | 0.13% | (0.14)% | 99% | $39,523 | ||||||||||||||||||||||||||||||||
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(5) | $7.42 | 0.01 | 0.16 | 0.17 | (0.03) | (0.65) | (0.68) | $6.91 | 2.46% | 2.09%(4) | 2.09%(4) | 0.25%(4) | 0.25%(4) | 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 | —(6) | (0.13) | (0.13) | —(6) | (0.60) | (0.60) | $6.91 | (1.57)% | 2.06% | 2.06% | (0.03)% | (0.03)% | 88% | $121,748 |
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 | |||||||||||||||||||||||||||||||||||||||||||||||
2021(3) | $6.17 | 0.01 | 0.78 | 0.79 | (0.04) | (0.28) | (0.32) | $6.64 | 12.85% | 1.23%(4) | 1.61%(4) | 0.42%(4) | 0.04%(4) | 24% | $39,277 | ||||||||||||||||||||||||||||||||
2020 | $6.51 | 0.04 | 0.45 | 0.49 | (0.06) | (0.77) | (0.83) | $6.17 | 7.77% | 1.34% | 1.61% | 0.63% | 0.36% | 99% | $35,807 | ||||||||||||||||||||||||||||||||
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(5) | $7.46 | 0.03 | 0.16 | 0.19 | (0.04) | (0.65) | (0.69) | $6.96 | 2.74% | 1.59%(4) | 1.59%(4) | 0.75%(4) | 0.75%(4) | 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 | ||||||||||||||||||||||||||||||||
R5 Class | |||||||||||||||||||||||||||||||||||||||||||||||
2021(3) | $6.25 | 0.04 | 0.78 | 0.82 | (0.06) | (0.28) | (0.34) | $6.73 | 13.26% | 0.53%(4) | 0.91%(4) | 1.12%(4) | 0.74%(4) | 24% | $7,045 | ||||||||||||||||||||||||||||||||
2020 | $6.58 | 0.08 | 0.45 | 0.53 | (0.09) | (0.77) | (0.86) | $6.25 | 8.46% | 0.64% | 0.91% | 1.33% | 1.06% | 99% | $6,960 | ||||||||||||||||||||||||||||||||
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(5) | $7.52 | 0.08 | 0.15 | 0.23 | (0.07) | (0.65) | (0.72) | $7.03 | 3.38% | 0.89%(4) | 0.89%(4) | 1.45%(4) | 1.45%(4) | 55% | $6,885 | ||||||||||||||||||||||||||||||||
2017(7) | $6.93 | 0.07 | 0.58 | 0.65 | (0.06) | — | (0.06) | $7.52 | 9.43% | 0.88%(4) | 0.88%(4) | 1.46%(4) | 1.46%(4) | 81%(8) | $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 | |||||||||||||||||||||||||||||||||||||||||||||||
2021(3) | $6.24 | 0.04 | 0.78 | 0.82 | (0.07) | (0.28) | (0.35) | $6.71 | 13.21% | 0.38%(4) | 0.76%(4) | 1.27%(4) | 0.89%(4) | 24% | $123,060 | ||||||||||||||||||||||||||||||||
2020 | $6.56 | 0.09 | 0.46 | 0.55 | (0.10) | (0.77) | (0.87) | $6.24 | 8.82% | 0.49% | 0.76% | 1.48% | 1.21% | 99% | $121,246 | ||||||||||||||||||||||||||||||||
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(5) | $7.51 | 0.08 | 0.15 | 0.23 | (0.08) | (0.65) | (0.73) | $7.01 | 3.35% | 0.74%(4) | 0.74%(4) | 1.60%(4) | 1.60%(4) | 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 |
Notes to Financial Highlights |
(1)Computed using average shares outstanding throughout the period.
(2)Total returns are calculated based on the net asset value of the last business day and do not reflect applicable sales charges, if any. Total returns for periods less than one year are not annualized.
(3)Six months ended January 31, 2021 (unaudited).
(4)Annualized.
(5)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.
(6)Per-share amount was less than $0.005.
(7)April 10, 2017 (commencement of sale) through November 30, 2017.
(8)Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the year ended 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 as an exhibit to its reports on Form N-PORT. The fund’s 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. | ||||||||
©2021 American Century Proprietary Holdings, Inc. All rights reserved. CL-SAN-92641 2103 |
(b) None.
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, 2021 |
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, 2021 |
By: | /s/ R. Wes Campbell | ||||||||||
Name: R. Wes Campbell | |||||||||||
Title: Treasurer and | |||||||||||
Chief Financial Officer | |||||||||||
(principal financial officer) | |||||||||||
Date: | March 26, 2021 |