N-Q 1 a16-4933_3nq.htm N-Q

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-03980

 

Morgan Stanley Institutional Fund Trust

(Exact name of registrant as specified in charter)

 

522 Fifth Avenue, New York, New York

 

10036

(Address of principal executive offices)

 

(Zip code)

 

John H. Gernon

522 Fifth Avenue, New York, New York 10036

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

212-296-0289

 

 

Date of fiscal year end:

September 30,

 

 

Date of reporting period:

December 31, 2015

 

 



 

Item 1.  Schedule of Investments.

 

The Fund’s schedule of investments as of the close of the reporting period prepared pursuant to Rule 12-12 of Regulation S-X is as follows:

 



 

Morgan Stanley Institutional Fund Trust

Global Strategist Portfolio

Portfolio of Investments

First Quarter Report

December 31, 2015 (unaudited)

 

 

 

Face
Amount
(000)

 

Value
(000)

 

Fixed Income Securities (40.6%)

 

 

 

 

 

Agency Fixed Rate Mortgages (2.7%)

 

 

 

 

 

United States (2.7%)

 

 

 

 

 

Federal Home Loan Mortgage Corporation,

 

 

 

 

 

Gold Pools:

 

 

 

 

 

3.50%, 1/1/44 — 6/1/45

 

$

1,661

 

$

1,713

 

6.00%, 11/1/37

 

100

 

113

 

6.50%, 5/1/32 — 7/1/32

 

72

 

83

 

7.50%, 5/1/35

 

7

 

9

 

January TBA:

 

 

 

 

 

3.50%, 1/1/31 — 1/1/46(a)

 

1,310

 

1,368

 

Federal National Mortgage Association,

 

 

 

 

 

Conventional Pools:

 

 

 

 

 

3.00%, 3/1/30 — 5/1/30

 

442

 

456

 

3.50%, 4/1/29

 

433

 

454

 

4.00%, 4/1/45 — 9/1/45

 

1,861

 

1,976

 

4.50%, 3/1/41 — 11/1/44

 

480

 

521

 

5.00%, 1/1/41 — 3/1/41

 

1,393

 

1,547

 

6.00%, 1/1/38

 

13

 

14

 

6.50%, 12/1/29

 

25

 

29

 

7.00%, 12/1/17 — 2/1/31

 

367

 

412

 

7.50%, 8/1/37

 

15

 

19

 

Government National Mortgage Association,

 

 

 

 

 

January TBA:

 

 

 

 

 

3.50%, 1/20/46 (a)

 

223

 

233

 

Various Pools:

 

 

 

 

 

3.50%, 12/15/43

 

525

 

549

 

4.00%, 8/20/41 — 11/20/42

 

722

 

772

 

5.50%, 8/15/39

 

105

 

117

 

 

 

 

 

10,385

 

Asset-Backed Security (0.1%)

 

 

 

 

 

United States (0.1%)

 

 

 

 

 

CVS Pass-Through Trust,

 

 

 

 

 

6.04%, 12/10/28

 

346

 

381

 

Collateralized Mortgage Obligations - Agency Collateral Series  (0.5%)

 

 

 

 

 

United States (0.5%)

 

 

 

 

 

Federal Home Loan Mortgage Corporation,

 

 

 

 

 

2.40%, 6/25/22

 

1,625

 

1,619

 

2.79%, 1/25/22

 

75

 

77

 

2.97%, 10/25/21

 

90

 

93

 

IO

 

 

 

 

 

0.65%, 1/25/21 (b)

 

1,246

 

30

 

IO REMIC

 

 

 

 

 

5.72%, 4/15/39 (b)

 

131

 

17

 

 

 

 

 

1,836

 

Commercial Mortgage-Backed Securities (0.8%)

 

 

 

 

 

United States (0.8%)

 

 

 

 

 

COMM Mortgage Trust,

 

 

 

 

 

3.28%, 1/10/46

 

305

 

305

 

4.74%, 7/15/47 (b)(c)

 

152

 

133

 

Commercial Mortgage Pass-Through Certificates,

 

 

 

 

 

2.82%, 10/15/45

 

376

 

373

 

 



 

Extended Stay America Trust,

 

 

 

 

 

2.96%, 12/5/31 (c)

 

325

 

326

 

JP Morgan Chase Commercial Mortgage Securities Trust,

 

 

 

 

 

4.39%, 7/15/46 (c)

 

100

 

107

 

4.57%, 7/15/47 (b)(c)

 

745

 

595

 

JPMBB Commercial Mortgage Securities Trust,

 

 

 

 

 

3.96%, 9/15/47 (b)(c)

 

205

 

165

 

4.56%, 9/15/47 (b)(c)

 

263

 

210

 

4.66%, 8/15/47 (b)(c)

 

361

 

303

 

UBS-Barclays Commercial Mortgage Trust,

 

 

 

 

 

3.53%, 5/10/63

 

255

 

262

 

WF-RBS Commercial Mortgage Trust,

 

 

 

 

 

3.99%, 10/15/57 (b)(c)

 

362

 

299

 

 

 

 

 

3,078

 

Corporate Bonds (8.6%)

 

 

 

 

 

Australia (0.5%)

 

 

 

 

 

Australia & New Zealand Banking Group Ltd.,

 

 

 

 

 

5.13%, 9/10/19

 

EUR

400

 

495

 

BHP Billiton Finance USA Ltd.,

 

 

 

 

 

3.85%, 9/30/23

 

$

170

 

161

 

Macquarie Bank Ltd.,

 

 

 

 

 

6.63%, 4/7/21 (c)

 

270

 

303

 

Origin Energy Finance Ltd.,

 

 

 

 

 

3.50%, 10/9/18 (c)

 

200

 

195

 

QBE Insurance Group Ltd.,

 

 

 

 

 

2.40%, 5/1/18 (c)

 

200

 

200

 

Telstra Corp., Ltd.,

 

 

 

 

 

3.13%, 4/7/25 (c)

 

135

 

130

 

Transurban Finance Co. Pty Ltd.,

 

 

 

 

 

4.13%, 2/2/26 (c)

 

170

 

168

 

Wesfarmers Ltd.,

 

 

 

 

 

2.98%, 5/18/16 (c)

 

245

 

246

 

 

 

 

 

1,898

 

Belgium (0.1%)

 

 

 

 

 

Anheuser-Busch InBev Finance, Inc.,

 

 

 

 

 

3.70%, 2/1/24

 

300

 

306

 

Brazil (0.0%)

 

 

 

 

 

Vale Overseas Ltd.,

 

 

 

 

 

6.88%, 11/21/36 — 11/10/39

 

175

 

123

 

Canada (0.1%)

 

 

 

 

 

Barrick Gold Corp.,

 

 

 

 

 

4.10%, 5/1/23

 

100

 

86

 

Brookfield Asset Management, Inc.,

 

 

 

 

 

5.80%, 4/25/17

 

295

 

306

 

Goldcorp, Inc.,

 

 

 

 

 

3.70%, 3/15/23

 

198

 

181

 

 

 

 

 

573

 

Chile (0.1%)

 

 

 

 

 

Empresa Nacional de Telecomunicaciones SA,

 

 

 

 

 

4.75%, 8/1/26 (c)

 

250

 

235

 

China (0.1%)

 

 

 

 

 

Baidu, Inc.,

 

 

 

 

 

3.25%, 8/6/18

 

225

 

228

 

 



 

Want Want China Finance Ltd.,

 

 

 

 

 

1.88%, 5/14/18 (c)

 

200

 

196

 

 

 

 

 

424

 

Colombia (0.1%)

 

 

 

 

 

Ecopetrol SA,

 

 

 

 

 

5.88%, 9/18/23

 

270

 

249

 

France (0.7%)

 

 

 

 

 

AXA SA,

 

 

 

 

 

3.94%, 11/7/24 (b)(d)

 

EUR

500

 

538

 

Banque Federative du Credit Mutuel SA,

 

 

 

 

 

2.00%, 9/19/19

 

500

 

574

 

BNP Paribas SA,

 

 

 

 

 

5.00%, 1/15/21

 

$

95

 

105

 

MTN

 

 

 

 

 

4.25%, 10/15/24

 

250

 

248

 

BPCE SA,

 

 

 

 

 

5.15%, 7/21/24 (c)

 

450

 

455

 

Credit Agricole Assurances SA,

 

 

 

 

 

4.25%, 1/13/25 (b)(d)

 

EUR

500

 

517

 

Credit Agricole SA,

 

 

 

 

 

3.90%, 4/19/21

 

50

 

61

 

Electricite de France SA,

 

 

 

 

 

5.00%, 1/22/26 (b)(d)

 

300

 

320

 

 

 

 

 

2,818

 

Germany (0.3%)

 

 

 

 

 

Bayer AG,

 

 

 

 

 

3.75%, 7/1/74 (b)

 

300

 

330

 

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen,

 

 

 

 

 

6.00%, 5/26/41 (b)

 

400

 

514

 

Siemens Financieringsmaatschappij N.V.,

 

 

 

 

 

3.25%, 5/27/25 (c)

 

$

250

 

250

 

Vier Gas Transport GmbH,

 

 

 

 

 

3.13%, 7/10/23

 

EUR

100

 

122

 

 

 

 

 

1,216

 

Hong Kong (0.1%)

 

 

 

 

 

Hutchison Whampoa International 14 Ltd.,

 

 

 

 

 

1.63%, 10/31/17 (c)

 

$

200

 

199

 

Italy (0.3%)

 

 

 

 

 

Assicurazioni Generali SpA,

 

 

 

 

 

10.13%, 7/10/42 (b)

 

EUR

400

 

581

 

FCA Capital Ireland PLC,

 

 

 

 

 

1.38%, 4/17/20

 

250

 

270

 

Telecom Italia Finance SA,

 

 

 

 

 

7.75%, 1/24/33

 

80

 

114

 

UniCredit SpA,

 

 

 

 

 

4.25%, 7/29/16

 

350

 

389

 

 

 

 

 

1,354

 

Korea, Republic of (0.1%)

 

 

 

 

 

SK Telecom Co., Ltd.,

 

 

 

 

 

2.13%, 5/1/18 (c)

 

$

200

 

199

 

 



 

Malaysia (0.1%)

 

 

 

 

 

Petronas Capital Ltd.,

 

 

 

 

 

3.50%, 3/18/25 (c)

 

375

 

361

 

Mexico (0.0%)

 

 

 

 

 

Mexichem SAB de CV,

 

 

 

 

 

5.88%, 9/17/44 (c)

 

200

 

169

 

 

 

 

 

169

 

Netherlands (0.6%)

 

 

 

 

 

ABN Amro Bank N.V.,

 

 

 

 

 

2.50%, 10/30/18 (c)

 

300

 

302

 

3.63%, 10/6/17

 

EUR

200

 

231

 

ASR Nederland N.V.,

 

 

 

 

 

5.00%, 9/30/24 (b)(d)

 

500

 

537

 

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA,

 

 

 

 

 

3.95%, 11/9/22

 

$

250

 

253

 

Series G

 

 

 

 

 

3.75%, 11/9/20

 

EUR

300

 

360

 

ING Bank N.V.,

 

 

 

 

 

5.80%, 9/25/23 (c)

 

$

240

 

261

 

Shell International Finance BV,

 

 

 

 

 

2.13%, 5/11/20

 

225

 

222

 

 

 

 

 

2,166

 

Spain (0.4%)

 

 

 

 

 

Banco Bilbao Vizcaya Argentaria SA,

 

 

 

 

 

3.63%, 1/18/17

 

EUR

350

 

394

 

Santander Issuances SAU,

 

 

 

 

 

2.50%, 3/18/25

 

600

 

611

 

Telefonica Emisiones SAU,

 

 

 

 

 

4.71%, 1/20/20

 

300

 

374

 

 

 

 

 

1,379

 

Sweden (0.1%)

 

 

 

 

 

Skandinaviska Enskilda Banken AB,

 

 

 

 

 

1.75%, 3/19/18 (c)

 

$

 200

 

199

 

Swedbank AB,

 

 

 

 

 

1.75%, 3/12/18 (c)

 

270

 

269

 

 

 

 

 

468

 

Switzerland (0.4%)

 

 

 

 

 

Aquarius and Investments PLC for Zurich Insurance Co., Ltd.,

 

 

 

 

 

4.25%, 10/2/43 (b)

 

EUR

450

 

535

 

Credit Suisse AG,

 

 

 

 

 

0.63%, 11/20/18

 

550

 

602

 

6.00%, 2/15/18

 

$

90

 

97

 

Glencore Funding LLC,

 

 

 

 

 

4.13%, 5/30/23 (c)

 

200

 

148

 

Novartis Capital Corp.,

 

 

 

 

 

4.40%, 5/6/44

 

150

 

157

 

 

 

 

 

1,539

 

Thailand (0.1%)

 

 

 

 

 

PTT Exploration & Production PCL,

 

 

 

 

 

3.71%, 9/16/18 (c)

 

240

 

247

 

 



 

United Kingdom (0.9%)

 

 

 

 

 

Abbey National Treasury Services PLC,

 

 

 

 

 

4.00%, 3/13/24

 

120

 

125

 

BAT International Finance PLC,

 

 

 

 

 

9.50%, 11/15/18 (c)

 

155

 

185

 

Diageo Capital PLC,

 

 

 

 

 

1.50%, 5/11/17

 

215

 

215

 

Experian Finance PLC,

 

 

 

 

 

2.38%, 6/15/17 (c)

 

400

 

398

 

GlaxoSmithKline Capital, Inc.,

 

 

 

 

 

6.38%, 5/15/38

 

100

 

128

 

Heathrow Funding Ltd.,

 

 

 

 

 

4.60%, 2/15/18

 

EUR

300

 

354

 

HSBC Holdings PLC,

 

 

 

 

 

6.38%, 9/17/24 (b)(d)

 

$

 200

 

198

 

Imperial Tobacco Finance PLC,

 

 

 

 

 

8.38%, 2/17/16

 

EUR

400

 

439

 

Lloyds Bank PLC,

 

 

 

 

 

6.50%, 3/24/20

 

400

 

527

 

Nationwide Building Society,

 

 

 

 

 

3.90%, 7/21/25 (c)

 

$

200

 

207

 

6.25%, 2/25/20 (c)

 

300

 

343

 

NGG Finance PLC,

 

 

 

 

 

5.63%, 6/18/73 (b)

 

GBP

200

 

305

 

 

 

 

 

3,424

 

United States (3.5%)

 

 

 

 

 

AbbVie, Inc.,

 

 

 

 

 

3.60%, 5/14/25

 

$

200

 

198

 

4.70%, 5/14/45

 

50

 

49

 

Actavis Funding SCS,

 

 

 

 

 

3.80%, 3/15/25

 

55

 

55

 

Altria Group, Inc.,

 

 

 

 

 

2.85%, 8/9/22

 

25

 

24

 

5.38%, 1/31/44

 

155

 

167

 

Apple, Inc.,

 

 

 

 

 

3.85%, 5/4/43

 

100

 

92

 

AT&T, Inc.,

 

 

 

 

 

6.30%, 1/15/38

 

150

 

165

 

Bank of America Corp.,

 

 

 

 

 

MTN

 

 

 

 

 

4.00%, 4/1/24

 

250

 

256

 

4.20%, 8/26/24

 

100

 

99

 

4.25%, 10/22/26

 

45

 

45

 

5.00%, 1/21/44

 

250

 

262

 

Baxalta, Inc.,

 

 

 

 

 

4.00%, 6/23/25 (c)

 

300

 

297

 

Bayer US Finance LLC,

 

 

 

 

 

3.38%, 10/8/24 (c)

 

200

 

202

 

Boston Properties LP,

 

 

 

 

 

3.85%, 2/1/23

 

25

 

26

 

Burlington Northern Santa Fe LLC,

 

 

 

 

 

4.55%, 9/1/44

 

195

 

189

 

Capital One Bank, USA NA,

 

 

 

 

 

3.38%, 2/15/23

 

546

 

535

 

CCO Safari II LLC,

 

 

 

 

 

4.91%, 7/23/25 (c)

 

300

 

300

 

6.48%, 10/23/45 (c)

 

150

 

151

 

Citigroup, Inc.,

 

 

 

 

 

2.65%, 10/26/20

 

50

 

50

 

 



 

5.50%, 9/13/25

 

250

 

272

 

6.68%, 9/13/43

 

20

 

25

 

8.13%, 7/15/39

 

175

 

252

 

Coca-Cola Co.,

 

 

 

 

 

3.20%, 11/1/23

 

250

 

259

 

Comcast Corp.,

 

 

 

 

 

4.60%, 8/15/45

 

130

 

132

 

DirecTV Holdings LLC/DIRECTV Financing Co., Inc.,

 

 

 

 

 

5.15%, 3/15/42

 

25

 

23

 

Discover Bank,

 

 

 

 

 

2.00%, 2/21/18

 

345

 

343

 

Enterprise Products Operating LLC,

 

 

 

 

 

3.35%, 3/15/23

 

275

 

249

 

Five Corners Funding Trust,

 

 

 

 

 

4.42%, 11/15/23 (c)

 

350

 

366

 

Ford Motor Credit Co., LLC,

 

 

 

 

 

4.21%, 4/15/16

 

305

 

307

 

GE Capital International Funding Co.,

 

 

 

 

 

2.34%, 11/15/20 (c)

 

227

 

225

 

General Electric Capital Corp.,

 

 

 

 

 

5.30%, 2/11/21

 

79

 

89

 

General Motors Financial Co., Inc.,

 

 

 

 

 

4.30%, 7/13/25

 

250

 

243

 

Genworth Holdings, Inc.,

 

 

 

 

 

7.20%, 2/15/21

 

105

 

88

 

Gilead Sciences, Inc.,

 

 

 

 

 

3.65%, 3/1/26

 

175

 

177

 

4.80%, 4/1/44

 

75

 

75

 

Goldman Sachs Group, Inc. (The), MTN

 

 

 

 

 

4.80%, 7/8/44

 

275

 

274

 

Hartford Financial Services Group, Inc. (The),

 

 

 

 

 

5.50%, 3/30/20

 

25

 

28

 

Hewlett Packard Enterprise Co.,

 

 

 

 

 

3.60%, 10/15/20 (c)

 

325

 

326

 

Home Depot, Inc.,

 

 

 

 

 

5.88%, 12/16/36

 

100

 

122

 

HSBC USA, Inc.,

 

 

 

 

 

3.50%, 6/23/24

 

100

 

100

 

International Business Machines Corp.,

 

 

 

 

 

1.95%, 2/12/19

 

300

 

302

 

JPMorgan Chase & Co.,

 

 

 

 

 

3.20%, 1/25/23

 

615

 

614

 

3.88%, 2/1/24

 

200

 

206

 

Kinder Morgan Energy Partners LP,

 

 

 

 

 

4.15%, 2/1/24

 

125

 

108

 

Kinder Morgan, Inc.,

 

 

 

 

 

4.30%, 6/1/25

 

150

 

130

 

Liberty Mutual Group, Inc.,

 

 

 

 

 

4.85%, 8/1/44 (c)

 

100

 

93

 

McDonald’s Corp.,

 

 

 

 

 

3.38%, 5/26/25

 

275

 

270

 

Medtronic, Inc.,

 

 

 

 

 

3.63%, 3/15/24

 

250

 

256

 

4.63%, 3/15/45

 

50

 

52

 

Merck & Co., Inc.,

 

 

 

 

 

2.80%, 5/18/23

 

250

 

249

 

Monongahela Power Co.,

 

 

 

 

 

5.40%, 12/15/43 (c)

 

100

 

112

 

NBC Universal Media LLC,

 

 

 

 

 

4.38%, 4/1/21

 

175

 

190

 

Omnicom Group, Inc.,

 

 

 

 

 

 



 

3.63%, 5/1/22

 

60

 

61

 

3.65%, 11/1/24

 

84

 

83

 

Oracle Corp.,

 

 

 

 

 

3.40%, 7/8/24

 

175

 

178

 

Pacific LifeCorp,

 

 

 

 

 

6.00%, 2/10/20 (c)

 

25

 

28

 

PepsiCo, Inc.,

 

 

 

 

 

3.60%, 3/1/24

 

250

 

262

 

Philip Morris International, Inc.,

 

 

 

 

 

2.13%, 5/30/19

 

EUR

150

 

172

 

Plains All American Pipeline LP/PAA Finance Corp.,

 

 

 

 

 

6.70%, 5/15/36

 

$

190

 

170

 

8.75%, 5/1/19

 

220

 

242

 

Prudential Financial, Inc., MTN

 

 

 

 

 

6.63%, 12/1/37

 

150

 

184

 

QUALCOMM, Inc.,

 

 

 

 

 

4.65%, 5/20/35

 

250

 

232

 

Tyco International Finance SA,

 

 

 

 

 

3.90%, 2/14/26

 

175

 

176

 

UnitedHealth Group, Inc.,

 

 

 

 

 

3.75%, 7/15/25

 

75

 

77

 

4.25%, 3/15/43

 

150

 

146

 

Verizon Communications, Inc.,

 

 

 

 

 

4.67%, 3/15/55

 

231

 

201

 

5.01%, 8/21/54

 

195

 

179

 

Visa, Inc.,

 

 

 

 

 

3.15%, 12/14/25

 

325

 

326

 

Wal-Mart Stores, Inc.,

 

 

 

 

 

2.55%, 4/11/23

 

475

 

469

 

Wells Fargo & Co., Series M

 

 

 

 

 

3.45%, 2/13/23

 

395

 

396

 

Zimmer Biomet Holdings, Inc.,

 

 

 

 

 

5.75%, 11/30/39

 

150

 

165

 

 

 

 

 

13,466

 

 

 

 

 

32,813

 

Mortgages - Other (0.7%)

 

 

 

 

 

United Kingdom (0.2%)

 

 

 

 

 

Holmes Master Issuer PLC,

 

 

 

 

 

2.13%, 10/15/54 (b)(c)

 

GBP

616

 

922

 

United States (0.5%)

 

 

 

 

 

Banc of America Alternative Loan Trust,

 

 

 

 

 

5.86%, 10/25/36

 

$

44

 

29

 

6.00%, 4/25/36

 

22

 

23

 

ChaseFlex Trust,

 

 

 

 

 

6.00%, 2/25/37

 

41

 

35

 

First Horizon Alternative Mortgage Securities Trust,

 

 

 

 

 

6.25%, 8/25/36

 

21

 

16

 

Freddie Mac Whole Loan Securities Trust,

 

 

 

 

 

3.00%, 9/25/45

 

543

 

534

 

3.50%, 5/25/45 — 9/25/45

 

893

 

903

 

4.00%, 5/25/45

 

122

 

127

 

GSR Mortgage Loan Trust,

 

 

 

 

 

5.75%, 1/25/37

 

34

 

33

 

Lehman Mortgage Trust,

 

 

 

 

 

5.50%, 11/25/35

 

12

 

12

 

 



 

6.50%, 9/25/37

 

43

 

33

 

 

 

 

 

1,745

 

 

 

 

 

2,667

 

Sovereign (13.0%)

 

 

 

 

 

Australia (0.4%)

 

 

 

 

 

Australia Government Bond,

 

 

 

 

 

2.75%, 4/21/24

 

AUD

200

 

146

 

3.25%, 4/21/25

 

2,100

 

1,584

 

 

 

 

 

1,730

 

Austria (0.1%)

 

 

 

 

 

Austria Government Bond,

 

 

 

 

 

1.20%, 10/20/25 (c)

 

EUR

500

 

559

 

Belgium (0.4%)

 

 

 

 

 

Belgium Government Bond,

 

 

 

 

 

0.80%, 6/22/25 (c)

 

900

 

963

 

3.00%, 9/28/19

 

480

 

583

 

 

 

 

 

1,546

 

Bermuda (0.1%)

 

 

 

 

 

Bermuda Government International Bond,

 

 

 

 

 

4.85%, 2/6/24 (c)

 

$

390

 

404

 

Canada (1.0%)

 

 

 

 

 

Canadian Government Bond,

 

 

 

 

 

1.50%, 6/1/23

 

CAD

2,300

 

1,701

 

3.25%, 6/1/21

 

2,600

 

2,116

 

 

 

 

 

3,817

 

China (0.1%)

 

 

 

 

 

Sinopec Group Overseas Development 2015 Ltd.,

 

 

 

 

 

2.50%, 4/28/20 (c)

 

$

375

 

370

 

France (0.5%)

 

 

 

 

 

France Government Bond OAT,

 

 

 

 

 

3.25%, 5/25/45

 

EUR

900

 

1,244

 

5.50%, 4/25/29

 

300

 

491

 

 

 

 

 

1,735

 

Germany (0.5%)

 

 

 

 

 

Bundesrepublik Deutschland,

 

 

 

 

 

1.00%, 8/15/25

 

700

 

787

 

4.25%, 7/4/39

 

460

 

786

 

4.75%, 7/4/34

 

220

 

378

 

 

 

 

 

1,951

 

Greece (0.3%)

 

 

 

 

 

Hellenic Republic Government Bond,

 

 

 

 

 

3.00%, 2/24/23 — 2/24/42 (e)

 

1,700

 

1,155

 

Hungary (0.3%)

 

 

 

 

 

Hungary Government International Bond,

 

 

 

 

 

5.38%, 3/25/24

 

$

250

 

274

 

 



 

5.75%, 11/22/23

 

800

 

897

 

 

 

 

 

1,171

 

Indonesia (0.3%)

 

 

 

 

 

Indonesia Government International Bond,

 

 

 

 

 

5.88%, 1/15/24 (c)

 

800

 

859

 

Perusahaan Listrik Negara PT,

 

 

 

 

 

5.50%, 11/22/21

 

300

 

306

 

 

 

 

 

1,165

 

Ireland (0.1%)

 

 

 

 

 

Ireland Government Bond,

 

 

 

 

 

5.40%, 3/13/25

 

EUR

200

 

298

 

Italy (1.7%)

 

 

 

 

 

Italy Buoni Poliennali Del Tesoro,

 

 

 

 

 

1.50%, 6/1/25

 

2,500

 

2,720

 

1.65%, 3/1/32 (c)

 

800

 

827

 

2.35%, 9/15/24 (c)

 

2,314

 

2,906

 

 

 

 

 

6,453

 

Japan (2.1%)

 

 

 

 

 

Japan Finance Organization for Municipalities,

 

 

 

 

 

1.90%, 6/22/18

 

JPY

70,000

 

610

 

Japan Government Ten Year Bond,

 

 

 

 

 

0.50%, 9/20/24

 

80,000

 

685

 

1.10%, 6/20/21

 

75,000

 

660

 

Japan Government Thirty Year Bond,

 

 

 

 

 

1.70%, 6/20/33

 

395,000

 

3,771

 

2.00%, 9/20/40

 

233,000

 

2,293

 

 

 

 

 

8,019

 

Korea, Republic of (0.3%)

 

 

 

 

 

Korea Development Bank (The),

 

 

 

 

 

3.88%, 5/4/17

 

$

400

 

411

 

4.63%, 11/16/21

 

630

 

692

 

 

 

 

 

1,103

 

Mexico (0.2%)

 

 

 

 

 

Mexican Bonos, Series M

 

 

 

 

 

8.00%, 6/11/20

 

MXN

8,000

 

511

 

Petroleos Mexicanos,

 

 

 

 

 

6.38%, 1/23/45

 

$

285

 

243

 

 

 

 

 

754

 

Netherlands (0.2%)

 

 

 

 

 

Netherlands Government Bond,

 

 

 

 

 

0.25%, 7/15/25 (c)

 

EUR

800

 

827

 

New Zealand (0.9%)

 

 

 

 

 

New Zealand Government Bond,

 

 

 

 

 

4.50%, 4/15/27

 

NZD

1,700

 

1,262

 

5.50%, 4/15/23

 

2,800

 

2,198

 

 

 

 

 

3,460

 

 



 

Poland (0.5%)

 

 

 

 

 

Poland Government Bond,

 

 

 

 

 

4.00%, 10/25/23

 

PLN

6,900

 

1,908

 

Spain (0.9%)

 

 

 

 

 

Spain Government Bond,

 

 

 

 

 

2.15%, 10/31/25 (c)

 

EUR

1,600

 

1,798

 

Spain Government Inflation Linked Bond,

 

 

 

 

 

1.00%, 11/30/30 (c)

 

780

 

834

 

1.80%, 11/30/24 (c)

 

551

 

658

 

 

 

 

 

3,290

 

Supernational (0.4%)

 

 

 

 

 

European Investment Bank,

 

 

 

 

 

2.15%, 1/18/27

 

JPY

157,000

 

1,574

 

United Kingdom (1.7%)

 

 

 

 

 

United Kingdom Gilt,

 

 

 

 

 

2.75%, 9/7/24

 

GBP

1,700

 

2,683

 

4.25%, 6/7/32 — 9/7/39

 

2,130

 

3,988

 

 

 

 

 

6,671

 

 

 

 

 

49,960

 

U.S. Treasury Securities (14.2%)

 

 

 

 

 

United States (14.2%)

 

 

 

 

 

U.S. Treasury Bond,

 

 

 

 

 

3.50%, 2/15/39

 

$

4,200

 

4,647

 

U.S. Treasury Inflation Indexed Bonds,

 

 

 

 

 

0.25%, 1/15/25

 

4,720

 

4,509

 

0.38%, 7/15/25

 

42,172

 

40,862

 

U.S. Treasury Notes,

 

 

 

 

 

0.63%, 9/30/17

 

2,000

 

1,987

 

1.13%, 3/31/20

 

2,500

 

2,444

 

 

 

 

 

54,449

 

Total Fixed Income Securities (Cost $158,892)

 

 

 

155,569

 

 

 

 

Shares

 

Value
(000)

 

Common Stocks (55.3%)

 

 

 

 

 

Australia (1.8%)

 

 

 

 

 

AGL Energy Ltd.

 

4,451

 

58

 

Alumina Ltd.

 

30,244

 

25

 

Amcor Ltd.

 

11,036

 

107

 

AMP Ltd.

 

31,080

 

131

 

Arrium Ltd. (f) 

 

14,100

 

1

 

Asciano Ltd.

 

7,805

 

50

 

ASX Ltd.

 

1,539

 

47

 

Australia & New Zealand Banking Group Ltd.

 

30,514

 

616

 

BHP Billiton Ltd.

 

28,547

 

371

 

BlueScope Steel Ltd.

 

3,657

 

12

 

Brambles Ltd.

 

13,249

 

111

 

CIMIC Group Ltd.

 

1,366

 

24

 

Coca-Cola Amatil Ltd.

 

4,624

 

31

 

Cochlear Ltd.

 

499

 

35

 

Commonwealth Bank of Australia

 

12,195

 

753

 

Computershare Ltd.

 

4,195

 

35

 

 



 

Crown Resorts Ltd.

 

5,745

 

52

 

CSL Ltd.

 

4,783

 

365

 

Dexus Property Group REIT

 

7,020

 

38

 

DuluxGroup Ltd.

 

5,515

 

27

 

Evolution Mining Ltd.

 

32,223

 

33

 

Fairfax Media Ltd.

 

32,187

 

21

 

Fortescue Metals Group Ltd.

 

10,837

 

15

 

Goodman Group REIT

 

11,245

 

51

 

GPT Group REIT

 

17,813

 

62

 

Incitec Pivot Ltd.

 

14,433

 

41

 

Insurance Australia Group Ltd.

 

19,798

 

80

 

Lend Lease Group REIT

 

5,862

 

60

 

Macquarie Group Ltd.

 

2,760

 

165

 

Mirvac Group REIT

 

25,584

 

37

 

National Australia Bank Ltd.

 

25,803

 

562

 

Newcrest Mining Ltd. (f) 

 

18,883

 

178

 

Northern Star Resources Ltd.

 

21,953

 

44

 

OceanaGold Corp. CDI

 

3,014

 

6

 

Orica Ltd.

 

3,553

 

40

 

Origin Energy Ltd.

 

9,394

 

32

 

Orora Ltd.

 

11,036

 

18

 

QBE Insurance Group Ltd.

 

13,964

 

127

 

Recall Holdings Ltd.

 

2,611

 

13

 

Rio Tinto Ltd.

 

3,744

 

121

 

Santos Ltd.

 

9,011

 

24

 

Scentre Group REIT

 

41,036

 

124

 

Shopping Centres Australasia Property Group REIT

 

2,395

 

4

 

Sonic Healthcare Ltd.

 

3,230

 

42

 

South32 Ltd. (f) 

 

20,867

 

16

 

South32 Ltd. (f) 

 

28,547

 

22

 

Star Entertainment Grp Ltd. (The)

 

7,295

 

27

 

Stockland REIT

 

25,532

 

76

 

Suncorp Group Ltd.

 

11,119

 

97

 

Sydney Airport

 

2,861

 

13

 

Tabcorp Holdings Ltd.

 

7,097

 

24

 

Telstra Corp., Ltd.

 

41,748

 

169

 

Transurban Group

 

12,301

 

93

 

Treasury Wine Estates Ltd.

 

7,395

 

44

 

Wesfarmers Ltd.

 

10,023

 

302

 

Westfield Corp. REIT

 

18,583

 

128

 

Westpac Banking Corp.

 

24,560

 

595

 

Woodside Petroleum Ltd.

 

5,210

 

109

 

Woolworths Ltd.

 

10,835

 

192

 

WorleyParsons Ltd.

 

1,584

 

5

 

 

 

 

 

6,701

 

Austria (0.0%)

 

 

 

 

 

BUWOG AG (f) 

 

183

 

4

 

Immofinanz AG (f) 

 

3,664

 

8

 

Voestalpine AG

 

1,329

 

41

 

 

 

 

 

53

 

Belgium (0.5%)

 

 

 

 

 

Ageas

 

3,005

 

139

 

Anheuser-Busch InBev N.V.

 

6,869

 

848

 

Colruyt SA

 

905

 

46

 

Delhaize Group SA

 

3,250

 

317

 

Groupe Bruxelles Lambert SA

 

1,457

 

125

 

KBC Groep N.V.

 

3,140

 

196

 

UCB SA

 

50

 

5

 

 



 

Umicore SA

 

1,567

 

66

 

 

 

 

 

1,742

 

Canada (2.1%)

 

 

 

 

 

Agnico-Eagle Mines Ltd.

 

3,700

 

97

 

Agnico-Eagle Mines Ltd.

 

1,600

 

42

 

Agrium, Inc.

 

1,500

 

134

 

Bank of Montreal

 

5,100

 

288

 

Bank of Nova Scotia

 

8,800

 

356

 

Barrick Gold Corp.

 

17,100

 

126

 

Barrick Gold Corp.

 

9,400

 

70

 

BCE, Inc.

 

5,300

 

205

 

Blackberry Ltd. (f) 

 

4,200

 

39

 

Bombardier, Inc.

 

12,800

 

12

 

Brookfield Asset Management, Inc., Class A

 

8,250

 

260

 

Cameco Corp.

 

4,100

 

51

 

Canadian Imperial Bank of Commerce

 

3,700

 

244

 

Canadian National Railway Co.

 

8,600

 

481

 

Canadian Natural Resources Ltd.

 

10,300

 

225

 

Canadian Oil Sands Ltd.

 

2,700

 

16

 

Canadian Pacific Railway Ltd.

 

1,600

 

204

 

Cenovus Energy, Inc.

 

7,100

 

90

 

Centerra Gold, Inc.

 

7,600

 

36

 

Crescent Point Energy Corp.

 

2,100

 

24

 

Detour Gold Corp. (f) 

 

5,600

 

58

 

Eldorado Gold Corp.

 

17,800

 

53

 

Eldorado Gold Corp.

 

5,400

 

16

 

Enbridge, Inc.

 

8,200

 

273

 

Encana Corp.

 

7,600

 

39

 

Fairfax Financial Holdings Ltd.

 

300

 

142

 

First Majestic Silver Corp. (f) 

 

200

 

1

 

First Quantum Minerals Ltd.

 

5,100

 

19

 

Fortis, Inc.

 

1,300

 

35

 

Franco-Nevada Corp.

 

3,100

 

142

 

Goldcorp, Inc.

 

9,500

 

110

 

Goldcorp, Inc.

 

7,100

 

82

 

Great-West Lifeco, Inc.

 

4,100

 

102

 

Husky Energy, Inc.

 

2,643

 

27

 

IGM Financial, Inc.

 

1,800

 

46

 

Imperial Oil Ltd.

 

2,600

 

85

 

Intact Financial Corp.

 

1,500

 

96

 

Kinross Gold Corp. (f) 

 

45,900

 

84

 

Kinross Gold Corp. (f) 

 

1,200

 

2

 

Lightstream Resources Ltd.

 

1,136

 

@

Loblaw Cos., Ltd.

 

673

 

32

 

Magna International, Inc.

 

5,200

 

211

 

Manulife Financial Corp.

 

18,100

 

271

 

National Bank of Canada

 

3,000

 

87

 

New Gold, Inc. (f) 

 

14,700

 

34

 

Osisko Gold Royalties Ltd.

 

2,500

 

25

 

Pan American Silver Corp.

 

5,000

 

33

 

Pembina Pipeline Corp.

 

400

 

9

 

Penn West Petroleum Ltd.

 

3,700

 

3

 

Potash Corp. of Saskatchewan, Inc.

 

8,200

 

140

 

Power Corp. of Canada

 

4,100

 

86

 

Power Financial Corp.

 

3,400

 

78

 

Rogers Communications, Inc., Class B

 

3,800

 

131

 

Royal Bank of Canada

 

12,300

 

659

 

SEMAFO, Inc. (f) 

 

9,300

 

24

 

Shaw Communications, Inc., Class B

 

3,700

 

64

 

 



 

Silver Wheaton Corp.

 

8,100

 

101

 

Silver Wheaton Corp.

 

3,500

 

44

 

SNC-Lavalin Group, Inc.

 

1,800

 

53

 

Sun Life Financial, Inc.

 

5,900

 

184

 

Suncor Energy, Inc.

 

14,100

 

364

 

Teck Resources Ltd., Class B

 

4,700

 

18

 

Thomson Reuters Corp.

 

3,700

 

140

 

Toronto-Dominion Bank (The)

 

16,200

 

635

 

Touchstone Exploration, Inc. (f) 

 

650

 

@

TransAlta Corp.

 

2,300

 

8

 

TransCanada Corp.

 

6,300

 

206

 

Valeant Pharmaceuticals International, Inc. (f) 

 

300

 

30

 

Yamana Gold, Inc.

 

23,100

 

43

 

Yamana Gold, Inc.

 

7,200

 

13

 

 

 

 

 

8,138

 

 

 

 

 

 

 

Chile (0.0%)

 

 

 

 

 

Antofagasta PLC

 

2,716

 

19

 

 

 

 

 

 

 

China (0.4%)

 

 

 

 

 

Brilliance China Automotive Holdings Ltd. (g) 

 

104,000

 

130

 

Byd Co., Ltd. H Shares (f)(g) 

 

51,500

 

280

 

Dongfeng Motor Group Co., Ltd. H Shares (g) 

 

208,000

 

275

 

Geely Automobile Holdings Ltd. (g) 

 

485,000

 

257

 

Great Wall Motor Co., Ltd. H Shares (g) 

 

350,000

 

405

 

Guangzhou Automobile Group Co., Ltd. H Shares (g) 

 

176,000

 

156

 

Hanergy Thin Film Power Group Ltd. (f)(g)(h)(i) 

 

42,000

 

1

 

Zhaojin Mining Industry Co., Ltd. H Shares (g) 

 

18,500

 

11

 

Zijin Mining Group Co., Ltd. H Shares (g) 

 

186,000

 

49

 

 

 

 

 

1,564

 

 

 

 

 

 

 

Denmark (0.5%)

 

 

 

 

 

AP Moeller - Maersk A/S Series A

 

40

 

51

 

AP Moeller - Maersk A/S Series B

 

55

 

71

 

Carlsberg A/S Series B

 

98

 

9

 

Coloplast A/S

 

120

 

10

 

Danske Bank A/S

 

6,810

 

182

 

DSV A/S

 

3,832

 

151

 

Novo Nordisk A/S Series B

 

19,475

 

1,119

 

Novozymes A/S Series B

 

2,771

 

133

 

TDC A/S

 

537

 

3

 

Vestas Wind Systems A/S

 

3,686

 

257

 

 

 

 

 

1,986

 

 

 

 

 

 

 

Finland (0.3%)

 

 

 

 

 

Fortum Oyj

 

6,094

 

91

 

Kone Oyj, Class B

 

5,074

 

213

 

Nokia Oyj

 

37,349

 

266

 

Nokian Renkaat Oyj

 

1,401

 

50

 

Sampo Oyj, Class A

 

4,054

 

206

 

UPM-Kymmene Oyj

 

11,663

 

216

 

 

 

 

 

1,042

 

 

 

 

 

 

 

France (3.2%)

 

 

 

 

 

Accor SA

 

9,619

 

415