Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Agency Securities : 37.37%
FFCB		1.46	%		3-3-2023	$	210,000	$	211,381
FFCB		1.84			9-9-2022		10,000		10,027
FFCB		1.85			3-3-2022		70,000		70,188
FFCB		1.90			6-24-2021		70,000		71,165
FHLB		1.13			7-14-2021		120,000		121,263
FHLB		2.13			6-9-2023		70,000		73,787
FHLB		2.13			9-14-2029		80,000		86,891
FHLB		2.38			9-8-2023		30,000		31,992
FHLB		2.50			3-11-2022		350,000		364,015
FHLB		2.50			12-8-2023		20,000		21,522
FHLB		2.75			12-13-2024		10,000		11,034
FHLB		3.00			10-12-2021		70,000		72,687
FHLB		3.00			3-10-2028		10,000		11,501
FHLB		3.38			9-8-2023		30,000		32,970
FHLB		3.38			12-8-2023		280,000		309,225
FHLB		5.38			8-15-2024		690,000		830,557
FHLB		5.63			6-11-2021		10,000		10,557
FHLB		5.63			3-14-2036		10,000		15,462
FHLMC		2.38			1-13-2022		20,000		20,702
FHLMC		2.50			3-1-2032		3,143,675		3,296,980
FHLMC		2.50			2-1-2035		1,686,516		1,766,043
FHLMC		2.75			6-19-2023		220,000		236,743
FHLMC		3.00			2-1-2047		14,974,361		15,854,153
FHLMC		3.00			3-1-2048		155,891		164,090
FHLMC		3.50			2-1-2044		11,868,391		12,882,774
FHLMC		3.50			4-1-2045		486,696		529,492
FHLMC		3.50			8-1-2047		7,158,096		7,612,065
FHLMC		3.50			4-1-2050		3,639,126		3,839,892
FHLMC		6.00			7-1-2040		2,142,405		2,478,692
FHLMC		6.75			3-15-2031		630,000		992,442
FHLMC Series K015 Class A2		3.23			7-25-2021		56,917		58,203
FHLMC Series K028 Class A1		2.18			11-25-2022		89,250		90,418
FHLMC Series K029 Class A2		3.32			2-25-2023		545,000		579,600
FHLMC Series K030 Class A2 ±±		3.25			4-25-2023		305,000		325,190
FHLMC Series K032 Class A2 ±±		3.31			5-25-2023		50,000		53,615
FHLMC Series K034 Class A2 ±±		3.53			7-25-2023		60,000		64,904
FHLMC Series K035 Class A2 ±±		3.46			8-25-2023		55,000		59,420
FHLMC Series K048 Class A2 ±±		3.28			6-25-2025		215,000		239,083
FHLMC Series K062 Class A2		3.41			12-25-2026		750,000		854,863
FHLMC Series K063 Class A2 ±±		3.43			1-25-2027		45,000		51,297
FHLMC Series K070 Class A2 ±±		3.30			11-25-2027		425,000		484,959
FHLMC Series K152 Class A1		2.83			5-25-2030		316,338		341,814
FHLMC Series K152 Class A2		3.08			1-25-2031		125,000		140,684
FHLMC Series K153 Class A3 ±±		3.12			10-25-2031		70,000		79,267
FHLMC Series K155 Class A3		3.75			4-25-2033		40,000		49,019
FHLMC Series K717 Class A2		2.99			9-25-2021		659,025		673,936
FNMA		0.63			4-22-2025		650,000		653,417
FNMA		2.13			4-24-2026		180,000		195,681
FNMA		2.25			4-12-2022		880,000		913,621
FNMA		2.50			12-1-2027		626,705		657,534
FNMA		2.50			9-1-2031		2,164,186		2,271,077
FNMA %%		2.50			6-11-2050		4,900,000		5,082,984
FNMA		3.00			12-1-2026		2,626,787		2,773,824
FNMA		3.00			12-1-2030		454,396		482,977
FNMA		3.00			7-1-2032		3,257,794		3,436,891
FNMA		3.00			1-1-2034		527,924		556,705
FNMA		3.00			8-1-2036		179,479		189,811
FNMA		3.00			2-1-2037		3,781,845		3,999,831
FNMA		3.00			8-1-2043		2,494,661		2,667,709
FNMA		3.00			11-1-2046		2,563,807		2,742,051
FNMA		3.00			12-1-2047		1,922,641		2,026,808
FNMA		3.00			12-1-2049		5,877,295		6,184,685
FNMA		3.00			2-1-2050		550,528		579,321

1

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

	Interest rate			Maturity date		Principal		Value
Agency Securities (continued)
FNMA %%		3.00	%		6-11-2050	$	7,260,000	$	7,636,613
FNMA		3.50			4-1-2034		3,728,755		3,935,924
FNMA		3.50			1-1-2035		169,266		181,519
FNMA		3.50			3-1-2036		2,107,834		2,254,247
FNMA		3.50			4-1-2037		1,035,073		1,102,844
FNMA		3.50			6-1-2042		486,771		528,050
FNMA		3.50			7-1-2042		934,360		1,011,711
FNMA		3.50			9-1-2043		1,891,956		2,051,288
FNMA		3.50			3-1-2048		872,588		925,528
FNMA		3.50			5-1-2050		2,689,693		2,850,142
FNMA		3.50			6-1-2050		1,045,000		1,107,944
FNMA		4.00			6-1-2042		825,657		908,233
FNMA		4.00			6-1-2042		9,043,186		9,957,346
FNMA		4.00			8-1-2043		5,680,935		6,233,196
FNMA		4.00			12-1-2047		3,845,081		4,141,844
FNMA		4.00			2-1-2048		2,223,853		2,520,022
FNMA		4.00			6-1-2048		1,190,096		1,264,963
FNMA		4.00			8-1-2048		776,357		825,197
FNMA		4.00			2-1-2050		1,997,432		2,126,691
FNMA		4.50			5-1-2040		369,790		411,514
FNMA		4.50			9-1-2040		8,767,815		9,759,602
FNMA		4.50			2-1-2047		2,767,813		3,023,871
FNMA		4.50			4-1-2048		1,026,878		1,114,232
FNMA		4.50			8-1-2048		80,327		86,939
FNMA		5.00			1-1-2042		308,350		353,577
FNMA		5.00			6-1-2045		1,186,932		1,360,983
FNMA		5.00			7-1-2045		2,021,118		2,317,586
FNMA		5.50			9-1-2040		2,244,918		2,587,829
FNMA		6.00			5-1-2041		120,410		139,235
FNMA		6.21			8-6-2038		60,000		96,020
FNMA		6.25			5-15-2029		100,000		145,058
FNMA		7.13			1-15-2030		250,000		390,009
FNMA		7.25			5-15-2030		80,000		126,869
FNMA Series 2012-M14 Class AI ±±		2.89			9-25-2027		165,328		178,924
FNMA Series 2016-M5 Class A2		2.47			4-25-2026		220,000		234,632
FNMA Series 2016-M7 Class A2		2.50			9-25-2026		175,000		183,513
FNMA Series 2017-M1 Class A2 ±±		2.42			10-25-2026		275,000		295,151
FNMA Series 2017-M11 Class A2		2.98			8-25-2029		1,370,000		1,516,747
FNMA Series 2017-M5 Class A2 ±±		3.17			4-25-2029		70,000		79,580
FNMA Series 2018-M13 Class A2 ±±		3.70			9-25-2030		90,000		106,947
FNMA Series 2019-M7 Class A2		3.14			4-25-2029		225,000		247,597
GNMA		3.00			4-20-2045		6,475,762		6,910,485
GNMA		3.00			11-20-2045		490,389		521,878
GNMA		3.00			3-20-2046		1,114,578		1,185,047
GNMA		3.00			12-20-2049		2,658,567		2,817,756
GNMA		3.50			2-20-2045		12,373,943		13,304,333
GNMA		3.50			6-20-2045		1,993,853		2,144,341
GNMA		3.50			11-20-2045		2,327,174		2,502,644
GNMA		3.50			7-20-2047		627,519		668,302
GNMA		3.50			5-20-2048		180,377		191,558
GNMA		4.00			7-20-2044		2,247,544		2,461,324
GNMA		4.00			8-20-2044		1,108,222		1,213,403
GNMA		4.00			9-20-2044		2,254,177		2,467,467
GNMA		4.00			12-20-2047		3,877,071		4,168,502
TVA		1.88			8-15-2022		218,000		225,715
TVA		2.88			2-1-2027		35,000		39,397
TVA		4.63			9-15-2060		135,000		213,704
TVA		5.38			4-1-2056		10,000		17,411
TVA		5.50			6-15-2038		140,000		213,992
TVA		6.75			11-1-2025		120,000		159,736
Total Agency Securities (Cost $201,635,478)									209,338,203
Asset-Backed Securities : 0.72%
Bank of America Credit Card Trust Series 2018-A1 Class A1		2.70			7-17-2023		40,000		40,591

2

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Asset-Backed Securities (continued)
Capital One Multi Asset Execution Trust Series 2017-A3 Class A3		2.43	%		1-15-2025	$	110,000	$	113,823
CarMax Auto Owner Trust Series 2016-3 Class A4		1.60			1-18-2022		12,807		12,831
CarMax Auto Owner Trust Series 2017-2 Class A4		2.25			9-15-2022		195,000		197,758
CarMax Auto Owner Trust Series 2017-3 Class A4		2.22			11-15-2022		89,000		89,953
CarMax Auto Owner Trust Series 2018-3 Class D		3.91			1-15-2025		80,000		79,786
Chase Issuance Trust Series 2012-A7 Class A7		2.16			9-15-2024		205,000		212,873
Citibank Credit Card Issuance Trust Series 2014-A5 Class A5		2.68			6-7-2023		110,000		112,557
Citibank Credit Card Issuance Trust Series 2018-A3 Class A3		3.29			5-23-2025		180,000		193,108
Citibank Credit Card Issuance Trust Series 2018-A7 Class A7		3.96			10-13-2030		130,000		152,979
Discover Card Execution Note Trust Series 2017-A2 Class A2		2.39			7-15-2024		335,000		345,088
Ford Credit Floorplan Master Owner Trust Series 2017-3 Class A		2.48			9-15-2024		50,000		49,930
Ford Credit Floorplan Master Owner Trust Series 2018-2 Class A		3.17			3-15-2025		100,000		101,838
Ford Credit Floorplan Master Owner Trust Series 2018-3 Class A1		3.52			10-15-2023		105,000		106,761
Ford Credit Floorplan Master Owner Trust Series 2019-2 Class A		3.06			4-15-2026		65,000		65,187
Nissan Auto Receivables Owner Trust Series 2017-A Class A4		2.11			5-15-2023		15,000		15,144
Nissan Auto Receivables Owner Trust Series 2017-C Class A4		2.28			2-15-2024		95,000		96,122
Nissan Auto Receivables Owner Trust Series 2018-B Class A4		3.16			12-16-2024		195,000		203,160
Nissan Auto Receivables Owner Trust Series 2018-C Class A4		3.27			6-16-2025		155,000		162,590
Santander Drive Auto Receivables Trust Series 2019-1 Class C		3.42			4-15-2025		140,000		141,298
Synchrony Credit Card Master Note Trust Series 2016-2 Class A		2.21			5-15-2024		175,000		176,856
Synchrony Credit Card Master Note Trust Series 2018-2 Class A		3.47			5-15-2026		105,000		109,756
Toyota Auto Receivables Owner Trust Series 2017-D Class A4		2.12			2-15-2023		155,000		157,601
World Financial Network Credit Card Master Trust Series 2016-A Class A		2.03			4-15-2025		237,000		237,999
World Omni Auto Receivables Trust Series 2016-B Class A4		1.48			11-15-2022		192,000		192,565
World Omni Auto Receivables Trust Series 2017-A Class A4		2.24			6-15-2023		210,000		213,382
World Omni Auto Receivables Trust Series 2017-B Class A4		2.25			10-16-2023		205,000		208,760
World Omni Auto Receivables Trust Series 2018-D Class A4		3.44			12-16-2024		28,000		29,489
World Omni Auto Receivables Trust Series 2019-A Class A3		2.94			5-16-2022		185,000		187,947
Total Asset-Backed Securities (Cost $3,930,426)									4,007,732
Municipal Obligations : 0.81%
California : 0.29%
Education Revenue : 0.02%
California Series B		3.90			11-1-2047		15,000		17,451
University of California Series AD		4.86			5-15-2112		70,000		94,552
									112,003
GO Revenue : 0.14%
California Build America Bonds		5.70			11-1-2021		90,000		96,093
California Build America Bonds		7.55			4-1-2039		110,000		189,696
California Build America Bonds		7.60			11-1-2040		15,000		26,674
California Build America Bonds		7.50			4-1-2034		100,000		160,772
Los Angeles CA Community College District Build America Bonds		6.75			8-1-2049		5,000		8,493
Los Angeles CA Unified School District Build America Bonds		5.75			7-1-2034		15,000		19,932
Los Angeles CA Unified School District Build America Bonds		5.76			7-1-2029		60,000		74,862
Los Angeles CA Unified School District Build America Bonds		6.76			7-1-2034		160,000		227,597
									804,119

3

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

	Interest rate			Maturity date		Principal		Value
Transportation Revenue : 0.08%
Bay Area CA Toll Authority Series 1		6.26	%		4-1-2049	$	100,000	$	174,114
Bay Area CA Toll Authority Series 1		6.92			4-1-2040		15,000		22,766
Bay Area CA Toll Authority Series 1		7.04			4-1-2050		140,000		237,472
									434,352
Utilities Revenue : 0.05%
California Department of Water Resources Series P		2.00			5-1-2022		55,000		56,470
Los Angeles CA Department of Water & Power Build America Bonds Series A		5.72			7-1-2039		100,000		147,864
Los Angeles CA Department of Water & Power Build America Bonds Series D		6.57			7-1-2045		55,000		93,273
									297,607
									1,648,081
Florida : 0.01%
Miscellaneous Revenue : 0.01%
Florida Board of Administrative Finance Series A		2.64			7-1-2021		80,000		81,488
Georgia : 0.00%
Utilities Revenue : 0.00%
Municipal Electric Authority of Georgia Build America Bonds		7.06			4-1-2057		10,000		13,649
Illinois : 0.08%
GO Revenue : 0.02%
Chicago IL Series B		6.31			1-1-2044		50,000		47,607
Illinois Taxable Pension		5.10			6-1-2033		50,000		48,215
									95,822
Miscellaneous Revenue : 0.01%
Illinois Build America Bonds Series 3		6.73			4-1-2035		45,000		46,860
Tax Revenue : 0.05%
Chicago IL Transit Authority Series B		6.90			12-1-2040		210,000		282,104
									424,786
Kansas : 0.00%
Miscellaneous Revenue : 0.00%
Kansas Development Finance Authority Series H		4.93			4-15-2045		5,000		6,274
Massachusetts : 0.03%
GO Revenue : 0.03%
Massachusetts Build America Bonds Series A		4.91			5-1-2029		130,000		157,716
Massachusetts Build America Bonds Series D		4.50			8-1-2031		5,000		5,989
									163,705
New Jersey : 0.05%
Miscellaneous Revenue : 0.02%
New Jersey EDA Series A (National Insured)		7.43			2-15-2029		95,000		111,280

4

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Transportation Revenue : 0.03%
New Jersey Transportation Trust		6.56	%		12-15-2040	$	60,000	$	71,959
New Jersey Turnpike Authority Build America Bonds Series A		7.10			1-1-2041		70,000		111,095
									183,054
									294,334
New York : 0.21%
Airport Revenue : 0.08%
Port Authority of New York & New Jersey Consolidated Bonds Series 174		4.46			10-1-2062		190,000		239,807
Port Authority of New York & New Jersey Consolidated Bonds Series 201		4.23			10-15-2057		100,000		119,588
Port Authority of New York & New Jersey Consolidated Bonds Series 210		4.03			9-1-2048		50,000		59,296
									418,691
Health Revenue : 0.05%
New York Dormitory Authority (AGM Insured)		4.95			8-1-2048		230,000		250,732
Tax Revenue : 0.08%
New York Metropolitan Transportation Authority Dedicated Tax Fund Build America Bonds		7.34			11-15-2039		220,000		340,318
New York NY Transitional Finance Authority Build America Bonds Subseries C-2		5.77			8-1-2036		100,000		129,269
									469,587
Water & Sewer Revenue : 0.00%
New York NY Municipal Water Finance Authority Series AA		5.44			6-15-2043		10,000		15,080
									1,154,090
Ohio : 0.04%
Education Revenue : 0.00%
Ohio State University Build America Bonds		4.91			6-1-2040		5,000		6,854
Utilities Revenue : 0.04%
American Municipal Power Ohio Incorporated Build America Bonds		5.94			2-15-2047		150,000		202,056
American Municipal Power Ohio Incorporated Build America Bonds Series E		6.27			2-15-2050		10,000		13,675
									215,731
									222,585
Oregon : 0.04%
Tax Revenue : 0.04%
Oregon		5.76			6-1-2023		135,237		145,357
Oregon Department of Transportation Build America Bonds Series A		5.83			11-15-2034		50,000		71,680
									217,037

5

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

	Interest rate			Maturity date		Principal		Value
Pennsylvania : 0.00%
Transportation Revenue : 0.00%
Pennsylvania Turnpike Commission Series B		5.51	%		12-1-2045	$	5,000	$	7,076
Texas : 0.04%
Transportation Revenue : 0.01%
Texas Private Activity Bond North Tarrant Express Managed Lanes Project Series B		3.92			12-31-2049		50,000		49,876
Utilities Revenue : 0.03%
San Antonio TX		4.43			2-1-2042		140,000		170,218
									220,094
Wisconsin : 0.02%
Tax Revenue : 0.02%
Wisconsin General Fund Annual Appropriations Series C		3.15			5-1-2027		80,000		87,870
Total Municipal Obligations (Cost $4,224,691)									4,541,069
Non-Agency Mortgage-Backed Securities : 1.34%
Benchmark Mortgage Trust Series 2018-B1 Class A2		3.57			1-15-2051		480,000		500,648
Benchmark Mortgage Trust Series 2018-B1 Class A4		3.40			1-15-2051		25,000		27,372
Benchmark Mortgage Trust Series 2018-B6 Class A4		4.26			10-10-2051		135,000		157,125
CenterPoint Energy Transition Restoration Bond Company LLC		4.24			8-15-2023		75,620		78,787
CFCRE Commercial Mortgage Trust Series 2016-C7 Class A3		3.84			12-10-2054		20,000		21,918
Citigroup Commercial Mortgage Trust Series 2015-GC27 Class A5		3.14			2-10-2048		55,000		58,216
Citigroup Commercial Mortgage Trust Series 2016 GC37 Class B		4.23			4-10-2049		535,000		532,610
Citigroup Commercial Mortgage Trust Series 2016-GC36 Class A5		3.62			2-10-2049		680,000		737,575
Citigroup Commercial Mortgage Trust Series 2016-GC36 Class B ±±		4.76			2-10-2049		40,000		40,536
Citigroup Commercial Mortgage Trust Series 2016-GC36 Class C ±±		4.76			2-10-2049		95,000		83,641
Citigroup Commercial Mortgage Trust Series 2016-P4 Class A4		2.90			7-10-2049		135,000		141,483
Citigroup Commercial Mortgage Trust Series 2016-P5 Class A2		2.40			10-10-2049		141,000		141,150
Citigroup Commercial Mortgage Trust Series 2018-C6 Class A4		4.41			11-10-2051		520,000		609,428
Commercial Mortgage Trust Pass-Through Certificate Series 2012-CR2 Class ASB		2.75			8-15-2045		23,449		23,559
Commercial Mortgage Trust Pass-Through Certificate Series 2012-CR3 Class A3		2.82			10-15-2045		53,783		54,641
Commercial Mortgage Trust Series 2012-LC4 Class A4		3.29			12-10-2044		160,034		162,235
Commercial Mortgage Trust Series 2013-CR6 Class A4		3.10			3-10-2046		60,000		61,336
Commercial Mortgage Trust Series 2014 UBS5 Class C ±±		4.61			9-10-2047		195,000		166,455
Commercial Mortgage Trust Series 2014-UBS6 Class C ±±		4.45			12-10-2047		60,000		48,934
Commercial Mortgage Trust Series 2015-CR23 Class A3		3.23			5-10-2048		60,000		63,480
Commercial Mortgage Trust Series 2016-COR1 Class C ±±		4.38			10-10-2049		65,000		54,973
Commercial Mortgage Trust Series 2016-CR28 Class A4		3.76			2-10-2049		215,000		235,529
Goldman Sachs Mortgage Securities Trust Series 2012-GCJ9 Class AS		3.12			11-10-2045		40,000		40,552
Goldman Sachs Mortgage Securities Trust Series 2013-GC14 Class A5		4.24			8-10-2046		265,000		284,739
Goldman Sachs Mortgage Securities Trust Series 2014-GC18 Class B ±±		4.89			1-10-2047		80,000		80,647
Goldman Sachs Mortgage Securities Trust Series 2017-GS5 Class A3		3.41			3-10-2050		600,000		655,983

6

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Non-Agency Mortgage-Backed Securities (continued)
Goldman Sachs Mortgage Securities Trust Series 2018-GS10 Class AAB ±±		4.11	%		7-10-2051	$	180,000	$	201,239
Goldman Sachs Mortgage Securities Trust Series 2018-GS9 Class A4 ±±		3.99			3-10-2051		140,000		157,640
JPMorgan Chase Commercial Mortgage Securities Corporation Series 2013-C15 Class A4		4.10			11-15-2045		16,442		17,484
JPMorgan Chase Commercial Mortgage Securities Corporation Series 2015-C31 Class A3		3.80			8-15-2048		195,000		214,370
JPMorgan Chase Commercial Mortgage Securities Trust Series 2015-C29 Class A4		3.61			5-15-2048		200,000		216,076
Morgan Stanley Bank of America Merrill Lynch Trust Series 2012-C5 Class A4		3.18			8-15-2045		60,000		61,121
Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C11 Class AS ±±		4.35			8-15-2046		360,000		374,387
Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C8 Class A4		3.13			12-15-2048		50,000		51,469
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22 Class A4		3.31			4-15-2048		60,000		63,388
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22 Class B ±±		3.88			4-15-2048		285,000		280,252
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C24 Class A4		3.73			5-15-2048		400,000		432,090
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30 Class B ±±		3.31			9-15-2049		425,000		398,973
Total Non-Agency Mortgage-Backed Securities (Cost $7,392,107)									7,532,041
U.S. Treasury Securities : 52.38%
U.S. Treasury Bond		1.50			1-31-2027		1,350,000		1,440,598
U.S. Treasury Bond		1.50			2-15-2030		1,435,000		1,551,145
U.S. Treasury Bond		2.00			2-15-2050		2,515,000		2,875,058
U.S. Treasury Bond		2.13			9-30-2024		3,270,000		3,530,067
U.S. Treasury Bond		2.13			11-30-2024		995,000		1,076,932
U.S. Treasury Bond		2.25			8-15-2049		1,460,000		1,751,316
U.S. Treasury Bond		2.38			11-15-2049		1,660,000		2,045,691
U.S. Treasury Bond		2.50			2-15-2046		100,000		123,555
U.S. Treasury Bond		2.50			5-15-2046		1,415,000		1,750,510
U.S. Treasury Bond		2.75			8-15-2042		6,035,000		7,700,754
U.S. Treasury Bond		2.75			11-15-2042		1,920,000		2,449,575
U.S. Treasury Bond		2.75			11-15-2047		1,110,000		1,449,374
U.S. Treasury Bond		2.88			5-15-2028		2,295,000		2,711,417
U.S. Treasury Bond		2.88			5-15-2043		1,295,000		1,687,243
U.S. Treasury Bond		3.00			5-15-2042		145,000		192,499
U.S. Treasury Bond		3.00			11-15-2044		585,000		781,775
U.S. Treasury Bond		3.00			5-15-2045		105,000		140,712
U.S. Treasury Bond		3.00			11-15-2045		35,000		47,079
U.S. Treasury Bond		3.00			2-15-2047		1,050,000		1,427,549
U.S. Treasury Bond		3.00			5-15-2047		17,096,000		23,255,235
U.S. Treasury Bond		3.00			2-15-2048		435,000		594,353
U.S. Treasury Bond		3.00			8-15-2048		585,000		802,821
U.S. Treasury Bond		3.00			2-15-2049		1,330,000		1,831,607
U.S. Treasury Bond		3.13			11-15-2041		1,105,000		1,491,448
U.S. Treasury Bond		3.13			2-15-2042		370,000		500,382
U.S. Treasury Bond		3.13			2-15-2043		2,010,000		2,717,426
U.S. Treasury Bond		3.38			5-15-2044		20,000		28,227
U.S. Treasury Bond		3.50			2-15-2039		15,000		21,222
U.S. Treasury Bond		3.63			8-15-2043		110,000		160,261
U.S. Treasury Bond		3.63			2-15-2044		35,000		51,145
U.S. Treasury Bond		3.75			8-15-2041		35,000		51,410
U.S. Treasury Bond		3.75			11-15-2043		350,000		519,955
U.S. Treasury Bond		4.25			11-15-2040		480,000		749,006
U.S. Treasury Bond		4.38			5-15-2040		800,000		1,263,781
U.S. Treasury Bond		4.75			2-15-2041		120,000		198,600

7

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

	Interest rate			Maturity date		Principal		Value
U.S. Treasury Securities (continued)
U.S. Treasury Bond		5.00	%		5-15-2037	$	1,574,000	$	2,582,897
U.S. Treasury Bond		5.25			2-15-2029		760,000		1,062,308
U.S. Treasury Bond		5.38			2-15-2031		1,592,000		2,372,267
U.S. Treasury Bond		5.50			8-15-2028		430,000		601,026
U.S. Treasury Bond		6.13			11-15-2027		245,000		346,177
U.S. Treasury Bond		6.13			8-15-2029		1,280,000		1,917,000
U.S. Treasury Bond		6.25			5-15-2030		905,000		1,398,154
U.S. Treasury Bond		6.38			8-15-2027		50,000		70,883
U.S. Treasury Bond		6.88			8-15-2025		335,000		448,272
U.S. Treasury Note		2.63			12-31-2025		2,015,000		2,264,278
U.S. Treasury Note		0.13			4-30-2022		3,030,000		3,028,343
U.S. Treasury Note %%		0.13			5-31-2022		2,595,000		2,593,074
U.S. Treasury Note		0.25			4-15-2023		1,475,000		1,477,766
U.S. Treasury Note		0.38			3-31-2022		2,895,000		2,905,856
U.S. Treasury Note		0.50			3-15-2023		750,000		756,592
U.S. Treasury Note		1.13			6-30-2021		2,555,000		2,580,450
U.S. Treasury Note		1.13			7-31-2021		2,865,000		2,895,776
U.S. Treasury Note		1.13			8-31-2021		3,585,000		3,626,452
U.S. Treasury Note		1.13			9-30-2021		1,610,000		1,629,999
U.S. Treasury Note		1.13			2-28-2022		2,515,000		2,556,753
U.S. Treasury Note		1.13			2-28-2025		1,855,000		1,928,693
U.S. Treasury Note		1.25			10-31-2021		2,820,000		2,862,520
U.S. Treasury Note		1.25			7-31-2023		630,000		650,820
U.S. Treasury Note		1.25			8-31-2024		2,690,000		2,802,434
U.S. Treasury Note		1.38			1-31-2022		2,915,000		2,972,958
U.S. Treasury Note		1.38			6-30-2023		4,245,000		4,398,550
U.S. Treasury Note		1.38			8-31-2023		435,000		451,431
U.S. Treasury Note		1.38			9-30-2023		6,135,000		6,372,252
U.S. Treasury Note		1.38			8-31-2026		1,290,000		1,363,822
U.S. Treasury Note		1.50			8-31-2021		2,925,000		2,972,417
U.S. Treasury Note		1.50			1-31-2022		3,290,000		3,361,969
U.S. Treasury Note		1.50			8-15-2022		2,480,000		2,552,463
U.S. Treasury Note		1.50			2-28-2023		3,560,000		3,688,216
U.S. Treasury Note		1.50			3-31-2023		6,085,000		6,311,286
U.S. Treasury Note		1.50			9-30-2024		3,215,000		3,385,420
U.S. Treasury Note		1.50			10-31-2024		225,000		237,094
U.S. Treasury Note		1.50			8-15-2026		545,000		580,170
U.S. Treasury Note		1.63			8-15-2022		175,000		180,599
U.S. Treasury Note		1.63			4-30-2023		280,000		291,638
U.S. Treasury Note		1.63			5-31-2023		3,090,000		3,221,808
U.S. Treasury Note		1.63			10-31-2023		2,540,000		2,662,238
U.S. Treasury Note		1.63			2-15-2026		6,240,000		6,671,681
U.S. Treasury Note		1.63			5-15-2026		625,000		669,238
U.S. Treasury Note		1.63			9-30-2026		1,395,000		1,497,173
U.S. Treasury Note		1.63			10-31-2026		915,000		982,481
U.S. Treasury Note		1.63			8-15-2029		2,005,000		2,187,486
U.S. Treasury Note		1.75			11-30-2021		1,975,000		2,021,366
U.S. Treasury Note		1.75			2-28-2022		1,030,000		1,058,245
U.S. Treasury Note		1.75			3-31-2022		2,585,000		2,659,420
U.S. Treasury Note		1.75			4-30-2022		2,465,000		2,539,624
U.S. Treasury Note		1.75			5-15-2022		3,030,000		3,123,149
U.S. Treasury Note		1.75			5-31-2022		3,425,000		3,532,299
U.S. Treasury Note		1.75			6-15-2022		3,520,000		3,633,575
U.S. Treasury Note		1.75			6-30-2022		10,000		10,328
U.S. Treasury Note		1.75			9-30-2022		10,000		10,367
U.S. Treasury Note		1.75			5-15-2023		410,000		428,738
U.S. Treasury Note		1.75			6-30-2024		3,510,000		3,723,616
U.S. Treasury Note		1.75			12-31-2026		2,720,000		2,945,781
U.S. Treasury Note		1.75			11-15-2029		830,000		916,177
U.S. Treasury Note		1.88			11-30-2021		50,000		51,273
U.S. Treasury Note		1.88			1-31-2022		2,805,000		2,883,891
U.S. Treasury Note		1.88			2-28-2022		345,000		355,215
U.S. Treasury Note		1.88			7-31-2022		1,865,000		1,933,262
U.S. Treasury Note		1.88			8-31-2024		3,290,000		3,513,489
U.S. Treasury Note		2.00			8-31-2021		425,000		434,596

8

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
U.S. Treasury Securities (continued)
U.S. Treasury Note		2.00	%		10-31-2021	$	1,160,000	$	1,189,816
U.S. Treasury Note		2.00			10-31-2022		1,990,000		2,077,296
U.S. Treasury Note		2.00			2-15-2023		30,000		31,471
U.S. Treasury Note		2.00			6-30-2024		4,751,000		5,087,838
U.S. Treasury Note		2.00			2-15-2025		340,000		367,014
U.S. Treasury Note		2.00			8-15-2025		1,200,000		1,302,516
U.S. Treasury Note		2.13			9-30-2021		725,000		743,663
U.S. Treasury Note		2.13			12-31-2022		1,700,000		1,784,934
U.S. Treasury Note		2.13			11-30-2023		750,000		799,863
U.S. Treasury Note		2.13			7-31-2024		10,000		10,773
U.S. Treasury Note		2.13			5-15-2025		880,000		958,031
U.S. Treasury Note		2.25			7-31-2021		2,830,000		2,897,544
U.S. Treasury Note		2.25			12-31-2023		15,000		16,086
U.S. Treasury Note		2.25			10-31-2024		2,035,000		2,210,996
U.S. Treasury Note		2.25			11-15-2024		2,435,000		2,647,302
U.S. Treasury Note		2.25			12-31-2024		1,485,000		1,617,200
U.S. Treasury Note		2.25			11-15-2025		1,805,000		1,987,756
U.S. Treasury Note		2.25			3-31-2026		3,200,000		3,539,625
U.S. Treasury Note		2.25			2-15-2027		400,000		446,875
U.S. Treasury Note		2.25			11-15-2027		20,000		22,537
U.S. Treasury Note		2.38			8-15-2024		490,000		533,239
U.S. Treasury Note		2.38			5-15-2027		7,413,000		8,370,030
U.S. Treasury Note		2.38			5-15-2029		690,000		796,600
U.S. Treasury Note		2.50			1-15-2022		3,175,000		3,294,311
U.S. Treasury Note		2.50			8-15-2023		1,975,000		2,119,653
U.S. Treasury Note		2.50			1-31-2024		895,000		969,117
U.S. Treasury Note		2.50			1-31-2025		1,670,000		1,840,849
U.S. Treasury Note		2.50			2-28-2026		800,000		895,438
U.S. Treasury Note		2.63			1-31-2026		2,230,000		2,509,011
U.S. Treasury Note		2.63			2-15-2029		3,060,000		3,588,448
U.S. Treasury Note		2.75			7-31-2023		2,665,000		2,879,241
U.S. Treasury Note		2.75			11-15-2023		2,040,000		2,218,022
U.S. Treasury Note		2.75			2-28-2025		1,410,000		1,572,480
U.S. Treasury Note		2.75			6-30-2025		1,270,000		1,424,632
U.S. Treasury Note		2.75			8-31-2025		2,185,000		2,457,357
U.S. Treasury Note		2.75			2-15-2028		2,685,000		3,134,947
U.S. Treasury Note		2.88			11-30-2023		2,400,000		2,622,094
U.S. Treasury Note		2.88			4-30-2025		2,440,000		2,745,095
U.S. Treasury Note		2.88			11-30-2025		1,145,000		1,300,738
U.S. Treasury Note		2.88			8-15-2028		2,555,000		3,029,172
U.S. Treasury Note		3.13			11-15-2028		2,375,000		2,874,678
U.S. Treasury Note		6.00			2-15-2026		450,000		592,945
U.S. Treasury Note		6.50			11-15-2026		745,000		1,033,367
U.S. Treasury Note		7.25			8-15-2022		1,740,000		2,011,943
U.S. Treasury Note		7.50			11-15-2024		695,000		917,291
U.S. Treasury Note		8.00			11-15-2021		760,000		846,628
Total U.S. Treasury Securities (Cost $268,624,789)									293,431,781
Yankee Corporate Bonds and Notes : 2.76%
Energy : 0.26%
Oil, Gas & Consumable Fuels : 0.26%
CNOOC Petroleum North America ULC		7.50			7-30-2039		60,000		93,648
Ecopetrol SA		5.88			9-18-2023		210,000		227,325
Equinor ASA		3.00			4-6-2027		700,000		757,560
Equinor ASA		3.95			5-15-2043		100,000		114,899
Equinor ASA		4.80			11-8-2043		200,000		255,263
									1,448,695

9

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

	Interest rate			Maturity date		Principal		Value
Financials : 2.50%
Banks : 2.50%
African Development Bank		0.75	%		4-3-2023	$	410,000	$	414,331
Asian Development Bank		1.75			9-19-2029		160,000		171,884
Asian Development Bank		1.88			1-24-2030		110,000		119,644
Asian Development Bank		2.00			2-16-2022		760,000		781,553
Asian Development Bank		2.00			4-24-2026		60,000		64,899
Asian Development Bank		2.63			1-12-2027		270,000		303,070
Asian Development Bank		5.82			6-16-2028		10,000		13,642
Asian Development Bank		6.22			8-15-2027		80,000		108,824
Corporación Andina de Fomento		2.13			9-27-2021		10,000		10,032
Corporación Andina de Fomento		3.75			11-23-2023		130,000		137,934
Corporación Andina de Fomento		4.38			6-15-2022		120,000		125,539
European Bank for Reconstruction & Development		0.50			5-19-2025		430,000		429,512
European Bank for Reconstruction & Development		2.13			3-7-2022		370,000		381,657
European Investment Bank		0.88			5-17-2030		120,000		120,257
European Investment Bank		1.88			2-10-2025		110,000		117,108
European Investment Bank		2.00			12-15-2022		390,000		406,488
European Investment Bank		2.13			10-15-2021		420,000		430,233
European Investment Bank		2.25			6-24-2024		640,000		687,465
European Investment Bank		2.50			3-15-2023		200,000		211,998
European Investment Bank		2.88			8-15-2023		130,000		140,402
European Investment Bank		3.25			1-29-2024		270,000		298,016
European Investment Bank		4.88			2-15-2036		70,000		104,567
FMS Wertmanagement		2.00			8-1-2022		260,000		269,220
Inter-American Development Bank		1.75			4-14-2022		580,000		595,503
Inter-American Development Bank		1.75			9-14-2022		250,000		257,845
Inter-American Development Bank		1.88			7-23-2021		300,000		305,284
Inter-American Development Bank		2.00			6-2-2026		60,000		64,807
Inter-American Development Bank		2.13			1-18-2022		60,000		61,755
Inter-American Development Bank		2.13			1-15-2025		150,000		160,956
Inter-American Development Bank		2.38			7-7-2027		220,000		244,846
International Bank for Reconstruction & Development		1.50			8-28-2024		400,000		416,966
International Bank for Reconstruction & Development		1.88			10-7-2022		540,000		559,647
International Bank for Reconstruction & Development		1.88			6-19-2023		470,000		491,484
International Bank for Reconstruction & Development		2.00			1-26-2022		30,000		30,828
International Bank for Reconstruction & Development		2.50			3-19-2024		480,000		518,141
International Bank for Reconstruction & Development		2.50			7-29-2025		20,000		21,981
International Bank for Reconstruction & Development		2.50			11-22-2027		370,000		417,741
International Finance Corporation		1.38			10-16-2024		100,000		103,791
International Finance Corporation		2.13			4-7-2026		100,000		108,798
KfW ¤		0.00			4-18-2036		80,000		63,287
KfW ¤		0.00			6-29-2037		50,000		39,231
KfW		1.50			6-15-2021		390,000		394,754
KfW		2.00			11-30-2021		250,000		256,226
KfW		2.00			5-2-2025		40,000		42,896
KfW		2.13			3-7-2022		530,000		547,187
KfW		2.13			6-15-2022		110,000		114,138
KfW		2.13			1-17-2023		870,000		911,035
KfW		2.88			4-3-2028		180,000		208,989
Landwirtschaftliche Rentenbank		1.75			7-27-2026		10,000		10,653
Landwirtschaftliche Rentenbank		2.00			1-13-2025		150,000		160,091
Landwirtschaftliche Rentenbank		2.25			10-1-2021		420,000		430,698
Oesterreichische Kontrollbank AG		2.88			3-13-2023		260,000		277,464
Swedish Export Credit ¤		0.00			5-11-2037		65,000		44,426
Swedish Export Credit		1.63			9-12-2021		320,000		324,882
									14,034,605
Total Yankee Corporate Bonds and Notes (Cost $14,866,286)									15,483,300
Yankee Government Bonds : 2.02%
Canada Government		2.00			11-15-2022		60,000		62,421
Canada Government		2.63			1-25-2022		260,000		269,881

10

Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Yankee Government Bonds (continued)
Export Development Canada		2.63	%		2-21-2024	$	430,000	$	465,149
Export-Import Bank of Korea		2.88			1-21-2025		400,000		430,676
Japan Bank for International Cooperation		2.00			11-4-2021		490,000		499,963
Japan Bank for International Cooperation		2.75			11-16-2027		360,000		404,101
Japan Bank for International Cooperation		3.38			10-31-2023		270,000		294,274
Korea Development Bank		2.63			2-27-2022		330,000		338,085
Oriental Republic of Uruguay		4.98			4-20-2055		200,000		243,252
Oriental Republic of Uruguay		5.10			6-18-2050		85,000		104,126
Province of Alberta		2.20			7-26-2022		250,000		257,993
Province of British Columbia		2.00			10-23-2022		15,000		15,564
Province of British Columbia		7.25			9-1-2036		100,000		176,901
Province of Manitoba		2.10			9-6-2022		120,000		124,003
Province of Ontario		2.00			10-2-2029		90,000		95,855
Province of Ontario		2.20			10-3-2022		120,000		124,389
Province of Ontario		2.30			6-15-2026		70,000		75,447
Province of Ontario		2.40			2-8-2022		450,000		464,015
Province of Ontario		2.50			4-27-2026		70,000		76,317
Province of Ontario		3.20			5-16-2024		5,000		5,483
Province of Quebec		2.50			4-9-2024		70,000		75,143
Province of Quebec		2.50			4-20-2026		75,000		81,893
Province of Quebec		2.63			2-13-2023		60,000		63,280
Province of Quebec		7.13			2-9-2024		110,000		134,985
Province of Quebec		7.50			7-15-2023		80,000		96,691
Republic of Chile		3.24			2-6-2028		250,000		272,503
Republic of Colombia		3.88			4-25-2027		200,000		211,500
Republic of Colombia		6.13			1-18-2041		225,000		282,938
Republic of Colombia		7.38			9-18-2037		140,000		193,550
Republic of Colombia		8.13			5-21-2024		80,000		95,956
Republic of Hungary		5.38			3-25-2024		19,000		21,446
Republic of Hungary		7.63			3-29-2041		112,000		188,765
Republic of Indonesia		3.50			1-11-2028		200,000		211,430
Republic of Indonesia		4.35			1-11-2048		205,000		227,336
Republic of Italy		2.88			10-17-2029		215,000		209,407
Republic of Italy		5.38			6-15-2033		145,000		177,872
Republic of Korea		3.88			9-11-2023		210,000		229,422
Republic of Panama		8.88			9-30-2027		135,000		188,833
Republic of Panama		9.38			4-1-2029		250,000		365,628
Republic of Peru		5.63			11-18-2050		225,000		349,313
Republic of Philippines		5.50			3-30-2026		410,000		486,937
Republic of Philippines		6.38			10-23-2034		185,000		265,432
Republic of Poland		3.00			3-17-2023		215,000		226,083
Republic of Poland		3.25			4-6-2026		10,000		11,058
State of Israel		3.38			1-15-2050		350,000		369,621
State of Israel		5.50			12-4-2023		240,000		282,127
State of Israel		5.50			9-18-2033		6,000		8,863
United Mexican States		4.00			10-2-2023		10,000		10,600
United Mexican States		4.13			1-21-2026		150,000		159,752
United Mexican States		4.15			3-28-2027		205,000		218,735
United Mexican States		4.35			1-15-2047		225,000		226,613
United Mexican States		4.75			3-8-2044		184,000		192,004
United Mexican States		5.55			1-21-2045		320,000		371,200
United Mexican States		5.75			10-12-2099		21,000		22,733
United Mexican States		6.05			1-11-2040		40,000		48,465
United Mexican States		7.50			4-8-2033		110,000		147,814
United Mexican States		8.30			8-15-2031		60,000		84,150
Total Yankee Government Bonds (Cost $10,757,941)									11,337,973
Short-Term Investments : 5.07%
Investment Companies : 5.07%
Wells Fargo Government Money Market Fund Select Class (l)(u)##		0.12					28,397,710	$	28,397,710

11

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Portfolio

			Value
Total Short-Term Investments (Cost $28,397,710)			$	28,397,710
Total investments in securities (Cost $539,829,428)	102.47	%		574,069,809
Other assets and liabilities, net	(2.47	)		(13,815,618	)
Total net assets	100.00	%	$	560,254,191

±± The coupon of the security is adjusted based on the principal and interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages.

%% The security is purchased on a when-issued basis.

¤ The security is issued in zero coupon form with no periodic interest payments.

(l) The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

(u) The rate represents the 7-day annualized yield at period end.

## All or a portion of this security is segregated for when-issued securities.

Abbreviations:

AGM Assured Guaranty Municipal

EDA Economic Development Authority

FFCB Federal Farm Credit Banks

FHLB Federal Home Loan Bank

FHLMC Federal Home Loan Mortgage Corporation

FNMA Federal National Mortgage Association

GNMA Government National Mortgage Association

GO General obligation

National National Public Finance Guarantee Corporation

TVA Tennessee Valley Authority

12

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Shares, beginning of period		Shares purchased		Shares sold			Shares, end of period		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		11,379,432		92,876,585		(75,858,307	)		28,397,710		28,397,710		5.07	%

Wells Fargo Bloomberg Barclay’s US Aggregate Ex-Corporate Portfolio (the “Portfolio”)

Notes to Portfolio of investments – May 31, 2020 (unaudited)

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Portfolio may deviate from this calculation under unusual or unexpected circumstances.

Debt securities are valued at the evaluated bid price provided by an independent pricing service (e.g. taking into account various factors, including yields, maturities, or credit ratings) or, if a reliable price is not available, the quoted bid price from an independent broker-dealer.

Investments in registered open-end investment companies are valued at net asset value.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC. The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

When-issued transactions

The Portfolio may purchase securities on a forward commitment or when-issued basis. The Portfolio records a when-issued transaction on the trade date and will segregate assets in an amount at least equal in value to the Portfolio’s commitment to purchase when-issued securities. Securities purchased on a when-issued basis are marked-to-market daily and the Portfolio begins earning interest on the settlement date. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.

Fair valuation measurements

Fair value measurements of investments are determined within a framework that has established a fair value hierarchy based upon the various data inputs utilized in determining the value of the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

Level 1	–	quoted prices in active markets for identical securities
Level 2	–	other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3	–	significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of May 31, 2020:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Agency securities	$	0	$	209,338,203	$	0	$	209,338,203
Asset-backed securities		0		4,007,732		0		4,007,732
Municipal obligations		0		4,541,069		0		4,541,069
Non-agency mortgage-backed securities		0		7,532,041		0		7,532,041
U.S. Treasury securities		293,431,781		0		0		293,431,781
Yankee corporate bonds and notes		0		15,483,300		0		15,483,300
Yankee government bonds		0		11,337,973		0		11,337,973
Short-term investments
Investment companies		28,397,710		0		0		28,397,710
Total assets	$	321,829,491	$	252,240,318	$	0	$	574,069,809

Additional sector, industry or geographic detail is included in the Portfolio of Investments.

For the three months ended May 31, 2020, the Portfolio did not have any transfers into/out of Level 3.

Wells Fargo Emerging Markets Bond Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Yankee Corporate Bonds and Notes : 13.02%
Azerbaijan : 0.57%
State Oil Company of the Azerbaijan Republic (Energy, Oil, Gas & Consumable Fuels)		4.75	%		3-13-2023	$	200,000	$	207,600
Bahrain : 0.57%
Oil & Gas Holding Company (Energy, Oil, Gas & Consumable Fuels)		7.63			11-7-2024		200,000		206,750
Cayman Islands : 0.56%
KSA Sukuk Limited (Financials, Diversified Financial Services)		2.89			4-20-2022		200,000		204,159
Chile : 1.55%
Codelco Incorporated (Materials, Metals & Mining)		4.25			7-17-2042		250,000		267,508
Codelco Incorporated (Materials, Metals & Mining)		4.88			11-4-2044		250,000		292,178
									559,686
China : 1.75%
Sinopec Group Overseas Development (2015) Limited (Energy, Oil, Gas & Consumable Fuels)		3.00			4-12-2022		200,000		205,062
Sinopec Group Overseas Development (2015) Limited (Energy, Oil, Gas & Consumable Fuels)		3.25			4-28-2025		200,000		215,508
State Grid Overseas Investment (2016) Limited (Utilities, Electric Utilities)		2.88			5-18-2026		200,000		212,441
									633,011
Hong Kong : 0.58%
CNAC Hong Kong Finbridge Company Limited (Materials, Chemicals)		4.63			3-14-2023		200,000		211,104
Indonesia : 0.62%
PT Pertamina Persero Tbk (Energy, Oil, Gas & Consumable Fuels)		5.63			5-20-2043		200,000		222,559
Kazakhstan : 1.25%
KazMunayGas National Company JSC (Energy, Oil, Gas & Consumable Fuels)		5.75			4-19-2047		400,000		450,200
Malaysia : 0.99%
Petronas Capital Limited (Energy, Oil, Gas & Consumable Fuels)		4.50			3-18-2045		300,000		356,715
Mexico : 1.97%
Petroleos Mexicanos Company (Energy, Oil, Gas & Consumable Fuels)		5.63			1-23-2046		250,000		177,188
Petroleos Mexicanos Company (Energy, Oil, Gas & Consumable Fuels) 144A		5.95			1-28-2031		470,000		380,653
Petroleos Mexicanos Company (Energy, Oil, Gas & Consumable Fuels)		6.75			9-21-2047		200,000		153,980
									711,821
Netherlands : 0.77%
MDC-GMTN BV (Financials, Diversified Financial Services)		3.75			4-19-2029		250,000		276,593
Peru : 0.60%
Corporacion Financiera de Desarollo SA (Financials, Diversified Financial Services)		4.75			7-15-2025		200,000		215,202

1

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Emerging Markets Bond Portfolio

	Interest rate			Maturity date		Principal		Value
South Africa : 0.51%
Eskom Holdings SOC Limited (Utilities, Electric Utilities)		6.75	%		8-6-2023	$	200,000	$	183,564
United Arab Emirates : 0.64%
Abu Dhabi Crude Oil Pipeline LLC (Energy, Oil, Gas & Consumable Fuels)		4.60			11-2-2047		200,000		229,569
Venezuela : 0.09%
Petroleos de Venezuela SA (Energy, Oil, Gas & Consumable Fuels) †		5.38			4-12-2027		200,000		5,750
Petroleos de Venezuela SA (Energy, Oil, Gas & Consumable Fuels) †		5.38			4-12-2027		350,000		10,063
Petroleos de Venezuela SA (Energy, Oil, Gas & Consumable Fuels) †		5.50			4-12-2037		200,000		5,750
Petroleos de Venezuela SA (Energy, Oil, Gas & Consumable Fuels) †		9.00			11-17-2021		400,000		11,500
									33,063
Total Yankee Corporate Bonds and Notes (Cost $5,132,144)									4,701,596
Yankee Government Bonds : 84.39%
Abu Dhabi Government		2.50			10-11-2022		400,000		410,000
Abu Dhabi Government		3.13			9-30-2049		200,000		200,550
Arab Republic of Egypt		5.58			2-21-2023		200,000		200,836
Arab Republic of Egypt		5.88			6-11-2025		200,000		200,072
Arab Republic of Egypt		6.13			1-31-2022		200,000		202,580
Arab Republic of Egypt		8.50			1-31-2047		250,000		242,375
Arab Republic of Egypt		8.70			3-1-2049		200,000		194,958
China Development Bank		4.00			1-24-2037		350,000		409,706
China Government		1.88			12-3-2022		200,000		205,587
Dominican Republic		5.88			1-30-2060		200,000		169,000
Dominican Republic		5.95			1-25-2027		600,000		582,900
Dominican Republic		6.00			7-19-2028		200,000		192,502
Export-Import Bank of India		3.25			1-15-2030		200,000		195,608
Export-Import Bank of India		4.00			1-14-2023		250,000		260,438
Federation of Malaysia		3.18			4-27-2026		400,000		429,584
Federative Republic of Brazil		2.63			1-5-2023		200,000		202,500
Federative Republic of Brazil		4.50			5-30-2029		200,000		206,250
Federative Republic of Brazil		4.63			1-13-2028		400,000		420,000
Federative Republic of Brazil		5.63			1-7-2041		250,000		254,375
Government of Jamaica		7.88			7-28-2045		300,000		331,503
Islamic Republic of Pakistan		8.25			4-15-2024		350,000		350,000
Kingdom of Bahrain		6.75			9-20-2029		200,000		204,500
Kingdom of Bahrain		7.00			10-12-2028		400,000		417,700
Kingdom of Jordan		5.75			1-31-2027		300,000		291,620
Kingdom of Morocco		4.25			12-11-2022		200,000		208,248
Kuwait Government		3.50			3-20-2027		200,000		220,500
Lebanese Republic †		6.60			11-27-2026		300,000		49,500
Lebanese Republic †		7.05			11-2-2035		200,000		33,000
Lebanese Republic †		8.25			4-12-2021		350,000		59,500
Mongolia Government		5.63			5-1-2023		250,000		236,286
Oman Government		3.88			3-8-2022		300,000		285,441
Oman Government		4.40			6-1-2024		250,000		237,213
Oman Government		6.50			3-8-2047		400,000		300,664
Oriental Republic of Uruguay		4.50			8-14-2024		250,000		270,315
Oriental Republic of Uruguay		5.10			6-18-2050		450,000		551,255
Oriental Republic of Uruguay		7.88			1-15-2033		125,000		183,751
Perusahaan Penerbit SBSN Indonesia III		4.55			3-29-2026		500,000		550,000
Qatar Government		3.25			6-2-2026		200,000		212,880
Qatar Government		4.00			3-14-2029		400,000		451,000
Qatar Government		4.63			6-2-2046		450,000		553,284
Republic of Angola		8.25			5-9-2028		200,000		123,456
Republic of Angola		9.50			11-12-2025		200,000		134,050
Republic of Argentina		4.63			1-11-2023		100,000		40,001

2

Wells Fargo Emerging Markets Bond Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Yankee Government Bonds (continued)
Republic of Argentina		5.63	%		1-26-2022	$	350,000	$	138,250
Republic of Argentina		7.50			4-22-2026		350,000		133,879
Republic of Argentina		7.63			4-22-2046		250,000		91,878
Republic of Azerbaijan		3.50			9-1-2032		200,000		190,158
Republic of Belarus		7.63			6-29-2027		200,000		213,716
Republic of Chile		3.50			1-25-2050		200,000		215,000
Republic of Chile		3.86			6-21-2047		150,000		169,758
Republic of Colombia		3.88			4-25-2027		200,000		211,500
Republic of Colombia		4.50			1-28-2026		200,000		216,502
Republic of Colombia		5.00			6-15-2045		286,000		325,325
Republic of Colombia		7.38			9-18-2037		250,000		345,625
Republic of Costa Rica		7.00			4-4-2044		350,000		273,004
Republic of Cote d’Ivoire		6.13			6-15-2033		200,000		187,920
Republic of Croatia		6.00			1-26-2024		200,000		226,818
Republic of Ecuador		7.95			6-20-2024		350,000		147,004
Republic of Ecuador		7.95			6-20-2024		200,000		84,002
Republic of Ecuador		9.63			6-2-2027		300,000		110,250
Republic of El Salvador		7.65			6-15-2035		347,000		281,941
Republic of Gabon		6.38			12-12-2024		150,000		135,326
Republic of Ghana		7.63			5-16-2029		300,000		266,250
Republic of Ghana		8.63			6-16-2049		200,000		173,000
Republic of Guatemala		4.38			6-5-2027		200,000		206,250
Republic of Honduras		6.25			1-19-2027		150,000		157,877
Republic of Hungary		5.38			2-21-2023		270,000		294,165
Republic of Hungary		5.38			3-25-2024		200,000		225,750
Republic of Indonesia		4.10			4-24-2028		300,000		330,609
Republic of Indonesia		5.13			1-15-2045		200,000		241,546
Republic of Indonesia		7.75			1-17-2038		25,000		37,079
Republic of Indonesia		2.95			1-11-2023		300,000		305,095
Republic of Iraq		5.80			1-15-2028		250,000		225,050
Republic of Kazakhstan		4.88			10-14-2044		300,000		374,728
Republic of Kazakhstan		5.13			7-21-2025		200,000		232,000
Republic of Kenya		6.88			6-24-2024		200,000		192,300
Republic of Kenya		8.25			2-28-2048		200,000		186,880
Republic of Nigeria		7.63			11-21-2025		200,000		191,000
Republic of Nigeria		7.88			2-16-2032		300,000		264,750
Republic of Panama		4.00			9-22-2024		563,000		606,062
Republic of Panama		4.50			5-15-2047		350,000		414,316
Republic of Paraguay		5.00			4-15-2026		250,000		270,753
Republic of Peru		4.13			8-25-2027		100,000		113,626
Republic of Peru		6.55			3-14-2037		365,000		551,610
Republic of Peru		7.35			7-21-2025		100,000		126,876
Republic of Peru		8.75			11-21-2033		25,000		41,532
Republic of Philippines		3.70			2-2-2042		200,000		229,185
Republic of Philippines		4.20			1-21-2024		200,000		216,078
Republic of Philippines		5.50			3-30-2026		150,000		178,148
Republic of Philippines		6.38			1-15-2032		300,000		411,619
Republic of Poland		3.25			4-6-2026		200,000		221,152
Republic of Poland		4.00			1-22-2024		200,000		220,140
Republic of Senegal		6.25			5-23-2033		250,000		235,000
Republic of Serbia		7.25			9-28-2021		200,000		212,603
Republic of South Africa		4.85			9-30-2029		600,000		547,440
Republic of South Africa		6.25			3-8-2041		200,000		186,113
Republic of Sri Lanka		5.75			1-18-2022		250,000		155,000
Republic of Sri Lanka		6.35			6-28-2024		200,000		112,000
Republic of Sri Lanka		6.75			4-18-2028		300,000		161,995
Republic of Turkey		4.25			6-8-2021		200,000		198,752
Republic of Turkey		5.60			11-14-2024		200,000		192,500
Republic of Turkey		6.63			2-17-2045		400,000		342,880
Republic of Turkey		7.38			2-5-2025		200,000		206,560
Republic of Turkey		7.63			4-26-2029		200,000		203,500
Republic of Venezuela †		6.00			12-9-2020		225,000		12,938

3

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Emerging Markets Bond Portfolio

			Interest rate			Maturity date		Principal		Value
Yankee Government Bonds (continued)
Republic of Venezuela †				7.00	%		3-31-2038	$	200,000	$	11,500
Republic of Venezuela †				9.00			5-7-2023		1,010,000		58,075
Republic of Zambia				8.50			4-14-2024		200,000		90,016
Romania Government				4.38			8-22-2023		200,000		209,509
Romania Government				4.88			1-22-2024		250,000		267,178
Russian Federation				4.50			4-4-2022		200,000		211,000
Russian Federation				4.88			9-16-2023		200,000		220,972
Russian Federation				5.10			3-28-2035		200,000		250,151
Russian Federation				12.75			6-24-2028		250,000		435,791
Russian Federation				5.63			4-4-2042		200,000		273,382
Saudi Government				2.88			3-4-2023		200,000		205,345
Saudi Government				3.63			3-4-2028		200,000		215,500
Saudi Government				4.50			4-17-2030		200,000		228,856
Saudi Government				4.50			10-26-2046		200,000		223,040
Saudi Government				4.63			10-4-2047		200,000		225,350
Trinidad & Tobago Government				4.50			8-4-2026		200,000		197,200
Ukraine Government				7.38			9-25-2032		200,000		190,536
Ukraine Government				7.75			9-1-2023		200,000		201,660
Ukraine Government				7.75			9-1-2025		400,000		402,004
Ukraine Government				7.75			9-1-2027		100,000		98,750
United Mexican States				4.00			10-2-2023		200,000		212,000
United Mexican States				4.50			1-31-2050		200,000		207,000
United Mexican States				4.60			2-10-2048		200,000		207,000
United Mexican States				6.75			9-27-2034		150,000		192,377
Total Yankee Government Bonds (Cost $33,257,849)											30,480,243
			Yield					Shares
Short-Term Investments : 2.02%
Investment Companies : 2.02%
Wells Fargo Government Money Market Fund Select Class (l)(u)				0.12	%				731,303		731,303
Total Short-Term Investments (Cost $731,303)											731,303
Total investments in securities (Cost $39,121,296)	99.43	%									35,913,142
Other assets and liabilities, net	0.57										204,320
Total net assets	100.00	%								$	36,117,462

144A The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933.

† Non-income-earning security

(l) The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

(u) The rate represents the 7-day annualized yield at period end.

4

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Shares, beginning of period		Shares purchased		Shares sold			Shares, end of period		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		922,295		3,699,309		(3,890,301	)		731,303	$	731,303		2.02	%

Wells Fargo Emerging Markets Bond Portfolio (the “Portfolio”)

Notes to Portfolio of investments – May 31, 2020 (unaudited)

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Portfolio may deviate from this calculation under unusual or unexpected circumstances.

Debt securities are valued at the evaluated bid price provided by an independent pricing service (e.g. taking into account various factors, including yields, maturities, or credit ratings) or, if a reliable price is not available, the quoted bid price from an independent broker-dealer.

The values of securities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC.

Investments in registered open-end investment companies are valued at net asset value.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee. The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

Foreign currency translation

The accounting records of the Portfolio are maintained in U.S. dollars. The values of other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee. Purchases and sales of securities, and income and expenses are converted at the rate of exchange on the respective dates of such transactions. Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded and the U.S. dollar equivalent of the amounts actually paid or received. Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities other than investments in securities resulting from changes in exchange rates. The changes in net assets arising from changes in exchange rates of securities and the changes in net assets resulting from changes in market prices of securities are not separately presented. Such changes are included in net realized and unrealized gains or losses from investments.

Fair valuation measurements

Fair value measurements of investments are determined within a framework that has established a fair value hierarchy based upon the various data inputs utilized in determining the value of the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

Level 1	–	quoted prices in active markets for identical securities
Level 2	–	other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3	–	significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of May 31, 2020:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Yankee corporate bonds and notes	$	0	$	4,701,596	$	0	$	4,701,596
Yankee government bonds		0		30,480,243		0		30,480,243
Short-term investments
Investment companies		731,303		0		0		731,303
Total assets	$	731,303	$	35,181,839	$	0	$	35,913,142

Additional sector, industry or geographic detail is included in the Portfolio of Investments.

For the three months ended May 31, 2020, the Portfolio did not have any transfers into/out of Level 3.

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Common Stocks : 92.82%
Belgium : 0.01%
Titan Cement International SA (Materials, Construction Materials)		2,097	$	26,238
Brazil : 3.27%
Aliansce Sonae Shopping Centers SA (Real Estate, Real Estate Management & Development) †		6,200		29,604
Ambev SA (Consumer Staples, Beverages)		191,500		447,861
Arezzo Industria e Comercio SA (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		1,800		14,201
Atacadao Distribuicao Comercio e Industria Limitada (Consumer Staples, Food & Staples Retailing)		18,700		64,795
B2W Companhia Digital (Consumer Discretionary, Internet & Direct Marketing Retail) †		7,135		122,502
B3 Brasil Bolsa Balcao SA (Financials, Capital Markets)		82,700		705,917
Banco BTG Pactual SA (Financials, Capital Markets)		1,700		7,375
Banco de Brasil SA (Financials, Banks)		59,300		342,712
BB Seguridade Participacoes SA (Financials, Insurance)		27,000		127,909
BK Brasil Operacao e Assessoria a Restaurantes SA (Consumer Discretionary, Hotels, Restaurants & Leisure)		5,000		11,394
BR Malls Participacoes SA (Real Estate, Real Estate Management & Development)		37,600		69,122
BRF SA (Consumer Staples, Food Products) †		24,100		104,461
CCR SA (Industrials, Transportation Infrastructure)		49,282		135,758
Centrais Electricas Brasileiras SA (Utilities, Electric Utilities) †		15,300		82,087
Cia de Locacao das Americas (Industrials, Road & Rail)		12,100		33,536
Cia Siderurgica Nacional SA (Materials, Metals & Mining)		30,500		58,985
Cielo SA (Information Technology, IT Services)		48,300		37,019
Cogna Educacao (Consumer Discretionary, Diversified Consumer Services)		51,569		50,832
Companhia de Saneamento Basico do Estado de Sao Paulo SA (Utilities, Water Utilities)		13,841		140,892
Companhia de Saneamento de Minas Gerais SA (Utilities, Water Utilities)		2,459		26,589
Companhia Hering SA (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		6,310		15,750
Cosan SA Industria e Comercio (Energy, Oil, Gas & Consumable Fuels)		7,500		92,550
CPFL Energia SA (Utilities, Electric Utilities) †		7,600		45,931
CVC Brasil Operadora e Agencia de Viagens SA (Consumer Discretionary, Hotels, Restaurants & Leisure)		5,964		16,094
Cyrela Brazil Realty SA Empreendimentos e Participacoes (Consumer Discretionary, Household Durables)		11,300		35,893
Duratex SA (Materials, Paper & Forest Products)		14,400		29,036
Ecorodovias Infraestrutura Logistica SA (Industrials, Transportation Infrastructure) †		8,000		19,714
EDP Energias do Brasil SA (Utilities, Electric Utilities)		11,247		37,242
Embraer SA (Industrials, Aerospace & Defense) †		34,530		46,266
Eneva SA (Utilities, Independent Power & Renewable Electricity Producers) †		7,600		54,391
Engie Brasil Energia SA (Utilities, Independent Power & Renewable Electricity Producers)		7,000		55,632
Equatorial Energia SA (Utilities, Electric Utilities) †		41,870		157,318
EZTEC Empreendimentos e Participacoes SA (Consumer Discretionary, Household Durables)		6,701		40,950
Fleury SA (Health Care, Health Care Providers & Services)		8,405		36,778
Grendene SA (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		7,820		10,639
Guararapes Confeccoes SA (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		1,300		3,243
Hapvida Participacoes e Investimentos SA (Health Care, Health Care Providers & Services) 144A		8,100		83,272
Hypermarcas SA (Health Care, Pharmaceuticals)		16,236		98,031
Iguatemi Empresa de Shopping Centers SA (Real Estate, Real Estate Management & Development)		3,880		23,696
Iochpe Maxion SA (Industrials, Machinery)		5,600		14,492
IRB-Brasil Resseguros SA (Financials, Insurance)		29,200		45,417
JBS SA (Consumer Staples, Food Products)		54,129		222,854
Light SA (Utilities, Electric Utilities) †		9,100		23,738
Linx SA (Information Technology, Software)		6,000		23,050
Localiza Rent A Car SA (Industrials, Road & Rail)		23,177		167,129
Lojas Renner SA (Consumer Discretionary, Multiline Retail)		31,956		230,854
M. Dias Branco SA (Consumer Staples, Food Products)		6,055		40,996
Magazine Luiza SA (Consumer Discretionary, Multiline Retail)		28,000		337,650
Marfrig Global Foods SA (Consumer Staples, Food Products) †		18,100		44,196
MRV Engenharia e Participacoes SA (Consumer Discretionary, Household Durables)		9,100		25,869
Multiplan Empreendimentos Imobiliarios SA (Real Estate, Real Estate Management & Development)		13,400		51,955
Natura & Company Holding SA (Consumer Staples, Personal Products)		25,852		180,121
Notre Dame Intermedica Participacoes SA (Health Care, Health Care Providers & Services)		17,900		208,978
Odontoprev SA (Health Care, Health Care Providers & Services)		10,662		26,913
Oi SA ADR (Communication Services, Diversified Telecommunication Services) †		197,300		27,730

1

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

	Shares		Value
Brazil (continued)
Petrobras Distribuidora SA (Consumer Discretionary, Specialty Retail)		25,400	$	103,003
Porto Seguro SA (Financials, Insurance)		3,768		33,399
Qualicorp SA (Health Care, Health Care Providers & Services)		9,701		43,121
Raia Drogasil SA (Consumer Staples, Food & Staples Retailing)		9,333		191,407
Rumo SA (Industrials, Road & Rail) †		49,200		207,724
Sao Martinho SA (Consumer Staples, Food Products)		6,911		25,164
Smiles Fidelidade SA (Communication Services, Media)		2,700		6,112
Suzano Papel e Celulose SA (Materials, Paper & Forest Products) †		25,056		177,767
Tim Participacoes SA (Communication Services, Wireless Telecommunication Services)		34,300		87,545
Totvs SA (Information Technology, Software)		21,600		81,400
Ultrapar Participacoes SA (Energy, Oil, Gas & Consumable Fuels)		29,196		93,667
Via Varejo SA (Consumer Discretionary, Specialty Retail) †		42,000		97,596
WEG SA (Industrials, Electrical Equipment)		29,033		227,583
YDUQS Part (Consumer Discretionary, Diversified Consumer Services)		11,133		59,417
				6,622,824
Chile : 0.77%
Aguas Andinas SA Class A (Utilities, Water Utilities)		112,847		33,146
Almendral SA (Communication Services, Wireless Telecommunication Services)		305,426		14,119
Antarchile SA (Industrials, Industrial Conglomerates)		6,084		42,567
Banco de Chile (Financials, Banks)		1,502,878		127,700
Banco de Credito e Inversiones (Financials, Banks)		2,757		93,347
Banco Santander Chile SA (Financials, Banks)		1,623,533		66,126
CAP SA (Materials, Metals & Mining) †		3,951		25,693
Cencosud SA (Consumer Staples, Food & Staples Retailing)		64,221		75,021
Cencosud Shopping SA (Real Estate, Real Estate Management & Development)		22,119		37,998
Cia Sud Americana de Vapores SA (Water Transportation ) †		2,486		58
Colbun SA (Utilities, Independent Power & Renewable Electricity Producers)		242,795		39,714
Compania Cervecerias Unidas SA (Consumer Staples, Beverages)		6,341		45,854
Empresa Nacional de Telecomunicaciones SA (Communication Services, Wireless Telecommunication Services)		6,089		38,798
Empresas CMPC SA (Materials, Paper & Forest Products)		64,763		131,889
Empresas Copec SA (Energy, Oil, Gas & Consumable Fuels)		23,138		145,986
Enel Americas SA (Utilities, Electric Utilities)		933,973		135,942
Enel Chile SA (Utilities, Electric Utilities)		1,022,297		76,621
Engie Energia Chile SA (Utilities, Electric Utilities)		22,082		26,071
Gener SA (Utilities, Independent Power & Renewable Electricity Producers)		104,366		14,341
Grupo Security SA (Financials, Banks)		103,771		19,226
Hortifrut SA (Consumer Staples, Food Products)		11,604		12,613
Inversiones Aguas Metropolitanas SA (Utilities, Water Utilities)		14,449		11,914
Itau CorpBanca SA (Financials, Banks)		9,011,329		20,941
LATAM Airlines Group SA (Industrials, Airlines)		14,256		15,318
Parque Arauco SA (Real Estate, Real Estate Management & Development)		25,938		43,749
Plaza SA (Real Estate, Real Estate Management & Development)		14,393		20,834
Quinenco SA (Industrials, Industrial Conglomerates)		11,076		15,828
Ripley Corporation SA (Consumer Discretionary, Multiline Retail)		40,206		10,499
S.A.C.I. Falabella (Consumer Discretionary, Multiline Retail)		51,226		119,361
Sigdo Koppers SA (Industrials, Industrial Conglomerates)		18,610		17,182
SMU SA (Consumer Staples, Food & Staples Retailing)		125,317		21,137
Sociedad Matriz SAAM SA (Industrials, Transportation Infrastructure)		222,908		14,064
Sonda SA (Information Technology, IT Services)		28,526		17,107
Vina Concha y Toro SA (Consumer Staples, Beverages)		24,587		35,326
				1,566,090
China : 17.98%
A Living Services Company Limited H Shares (Industrials, Commercial Services & Supplies)		19,500		105,446
Agile Property Holdings Limited (Real Estate, Real Estate Management & Development)		62,000		64,347
Agricultural Bank of China Limited H Shares (Financials, Banks)		1,278,000		518,653
Air China Limited H Shares (Industrials, Airlines)		88,000		53,297
Aluminum Corporation of China Limited H Shares (Materials, Metals & Mining) †		124,000		22,990

2

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
China (continued)
Anhui Conch Cement Company Limited H Shares (Materials, Construction Materials)		51,500	$	388,335
Anhui Gujing Distillery Company Class B (Consumer Staples, Beverages)		1,900		21,308
ANTA Sports Products Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		45,000		403,291
Autohome Incorporated ADR (Communication Services, Interactive Media & Services)		5,084		391,112
BAIC Motor Corporation Limited H Shares (Consumer Discretionary, Automobiles) 144A		67,000		27,160
Bank of China Limited H Shares (Financials, Banks)		3,465,000		1,273,670
Bank of Communications Limited H Shares (Financials, Banks)		337,000		205,330
Baozun Incorporated ADR (Consumer Discretionary, Internet & Direct Marketing Retail) †		2,412		63,894
BBMG Corporation H Shares (Materials, Construction Materials)		109,000		22,831
Beijing Capital International Airport Company Limited H Shares (Industrials, Transportation Infrastructure)		76,000		47,614
Beijing Enterprises Water Group Limited (Utilities, Water Utilities)		242,000		91,994
BYD Company Limited H Shares (Consumer Discretionary, Automobiles)		30,500		175,038
BYD Electronic International Company Limited (Information Technology, Communications Equipment)		27,500		53,210
CGN Power Company Limited H Shares (Utilities, Independent Power & Renewable Electricity Producers) 144A		373,000		85,928
China Cinda Asset Management Company Limited H Shares (Financials, Capital Markets)		366,000		68,177
China CITIC Bank H Shares (Financials, Banks)		424,351		185,443
China Coal Energy Company Limited H Shares (Energy, Oil, Gas & Consumable Fuels)		171,000		41,188
China Communications Construction Company Limited H Shares (Industrials, Construction & Engineering)		195,000		124,722
China Communications Services Corporation Limited H Shares (Industrials, Construction & Engineering)		100,000		66,688
China Construction Bank H Shares (Financials, Banks)		4,434,000		3,497,065
China Eastern Airlines Company H Shares (Industrials, Airlines) †		70,000		23,877
China Energy Engineering Corporation Limited H Shares (Industrials, Construction & Engineering)		330,743		32,201
China Everbright Bank Company Limited H Shares (Financials, Banks)		144,000		58,639
China Feihe Limited †		161,000		292,162
China Galaxy Securities Company Limited H Shares (Financials, Capital Markets)		152,500		73,917
China Huarong Asset Management Company Limited H Shares (Financials, Capital Markets) 144A		419,000		43,100
China International Capital Corporation Limited H Shares (Financials, Capital Markets) 144A		64,800		105,733
China Lesso Group Holdings Limited Class L (Industrials, Building Products)		46,000		55,924
China Life Insurance Company H Shares (Financials, Insurance)		326,000		617,745
China Longyuan Power Group Corporation H Shares (Utilities, Independent Power & Renewable Electricity Producers)		148,000		72,279
China Merchants Bank Company Limited H Shares (Financials, Banks)		174,000		819,898
China Merchants Securities H Shares (Financials, Capital Markets)		16,600		16,457
China Minsheng Banking Corporation Limited H Shares (Financials, Banks)		273,700		191,099
China Mobile Limited (Communication Services, Wireless Telecommunication Services)		238,500		1,686,371
China Molybdenum Company Limited H Shares (Materials, Metals & Mining)		126,000		39,070
China National Building Material Company Limited H Shares (Materials, Construction Materials)		162,000		183,787
China Oilfield Services Limited H Shares (Energy, Energy Equipment & Services)		82,000		71,792
China Pacific Insurance H Shares (Financials, Insurance)		112,000		311,305
China Petroleum & Chemical Corporation H Shares (Energy, Oil, Gas & Consumable Fuels)		1,074,000		501,096
China Railway Construction Corporation Limited H Shares (Industrials, Construction & Engineering)		84,500		75,871
China Railway Group Limited H Shares (Industrials, Construction & Engineering)		160,000		87,843
China Railway Signal & Communication Corporation Limited H Shares (Information Technology, Electronic Equipment, Instruments & Components) 144A†		77,000		34,146
China Reinsurance Group Corporation H Shares (Financials, Insurance)		258,000		27,139
China Resources Cement Holdings Limited (Materials, Construction Materials)		100,000		126,342
China Resources Phoenix Healthcare Holdings Company Limited (Health Care, Health Care Providers & Services)		36,500		16,574
China Shenhua Energy Company Limited H Shares (Energy, Oil, Gas & Consumable Fuels)		166,500		304,979
China Southern Airlines Company H Shares (Industrials, Airlines)		72,000		29,989
China Telecom Corporation Limited H Shares (Communication Services, Diversified Telecommunication Services)		526,000		174,491
China Tower Corporation Limited H Shares (Communication Services, Diversified Telecommunication Services) 144A		2,012,000		408,635
China Vanke Company Limited H Shares (Real Estate, Real Estate Management & Development)		62,500		204,031
Chinasoft International Limited (Information Technology, IT Services)		94,000		47,330
Chongqing Changchun Automobile Class B (Consumer Discretionary, Automobiles)		36,600		17,510
Chongqing Rural Commercial Bank H Shares (Financials, Banks)		128,000		49,321

3

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

	Shares		Value
China (continued)
CIFI Holdings Group Company Limited (Real Estate, Real Estate Management & Development)		156,000	$	113,327
CITIC Securities Company Limited H Shares (Financials, Capital Markets)		93,500		169,811
COFCO Meat Holdings Limited (Consumer Staples, Food Products) †		95,000		24,871
COSCO Shipping Development Company Limited H Shares (Industrials, Marine)		110,000		10,292
COSCO Shipping Holdings Company Limited H Shares (Industrials, Marine) †		124,000		31,565
Country Garden Holdings Company Limited (Real Estate, Real Estate Management & Development)		306,000		383,033
Country Garden Services Holdings Company Limited (Industrials, Commercial Services & Supplies)		55,000		260,590
CRRC Corporation Limited H Shares (Industrials, Machinery)		192,000		90,227
CSC Financial Company Limited H Shares (Financials, Capital Markets)		38,000		33,817
CSPC Pharmaceutical Group Limited (Health Care, Pharmaceuticals)		180,000		354,833
Dali Foods Group Company Limited (Consumer Staples, Food Products) 144A		105,000		66,787
Datang International Power Generation Company Limited H Shares (Utilities, Independent Power & Renewable Electricity Producers)		58,000		7,821
Dongfeng Motor Group Company Limited H Shares (Consumer Discretionary, Automobiles)		120,000		75,916
ENN Energy Holdings Limited (Utilities, Gas Utilities)		30,300		355,722
Fuyao Glass Industry Group Company Limited H Shares (Consumer Discretionary, Auto Components)		21,200		46,817
GF Securities Company Limited H Shares (Financials, Capital Markets)		57,200		58,835
Great Wall Motor Company Limited H Shares (Consumer Discretionary, Automobiles)		133,000		84,704
Greentown Service Group Company Limited (Industrials, Commercial Services & Supplies)		58,000		78,159
Guangzhou Automobile Group Company Limited H Shares (Consumer Discretionary, Automobiles)		140,400		116,285
Guangzhou R&F Properties Company Limited H Shares (Real Estate, Real Estate Management & Development)		53,600		66,604
Guotai Junan Securities Company Limited H Shares (Financials, Capital Markets) 144A		31,600		41,848
Haidilao International Holding Limited (Consumer Discretionary, Hotels, Restaurants & Leisure) 144A		33,455		162,742
Haitian International Holdings Limited (Industrials, Machinery)		29,000		61,711
Haitong Securities Company Limited H Shares (Financials, Capital Markets)		118,400		90,516
Hansoh Pharmaceutical Group (Health Care, Pharmaceuticals) †		40,000		174,789
Hengan International Group Company Limited (Consumer Staples, Personal Products)		27,500		226,464
Huaneng Power International Incorporated H Shares (Utilities, Independent Power & Renewable Electricity Producers)		172,000		64,203
Huatai Securities Company Limited H Shares (Financials, Capital Markets) 144A		62,600		98,809
Huaxin Cement Company Limited Class B (Materials, Construction Materials)		13,800		23,865
Industrial & Commercial Bank of China Limited H Shares (Financials, Banks)		3,253,000		2,107,026
Inner Mongolia Yitai Coal Company Limited Class B (Energy, Oil, Gas & Consumable Fuels)		65,300		38,289
Jiangsu Express Company Limited H Shares (Industrials, Transportation Infrastructure)		58,000		68,513
Jiangxi Copper Company Limited H Shares (Materials, Metals & Mining)		35,000		32,186
Jinxin Fertility Group Limited (Health Care, Health Care Providers & Services) 144A†		40,000		54,074
JOYY Incorporated ADR (Communication Services, Interactive Media & Services) †		2,344		143,101
KWG Property Holding Limited (Real Estate, Real Estate Management & Development)		56,000		78,632
Lao Feng Xiang Company Limited Class B (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		6,912		20,944
Legend Holdings Corporation H Shares (Information Technology, Technology Hardware, Storage & Peripherals) 144A		26,100		31,743
Li Ning Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		81,500		276,101
Logan Property Holdings Company Limited (Real Estate, Real Estate Management & Development)		50,000		75,147
Meituan Dianping (Consumer Discretionary, Internet & Direct Marketing Retail) †		172,900		3,293,060
Metallurgical Corporation of China Limited H Shares (Industrials, Construction & Engineering)		135,000		20,984
Midea Group Company Limited Class A (Consumer Discretionary, Household Durables)		7,101		58,920
Momo Incorporated ADR (Communication Services, Interactive Media & Services)		7,543		146,334
NetEase Incorporated ADR (Communication Services, Entertainment)		5,516		2,112,076
New China Life Insurance Company Limited H Shares (Financials, Insurance)		42,400		133,111
New Oriental Education & Technology Group Incorporated ADR (Consumer Discretionary, Diversified Consumer Services) †		6,579		789,217
Orient Securities Company Limited of China H Shares (Financials, Diversified Financial Services)		28,800		13,872
People’s Insurance Company Group of China Limited H Shares (Financials, Insurance)		371,000		112,228
PetroChina Company Limited H Shares (Energy, Oil, Gas & Consumable Fuels)		956,692		330,052
PICC Property & Casualty Company Limited H Shares (Financials, Insurance)		306,000		267,727
Ping An Insurance Group Company H Shares (Financials, Insurance)		254,500		2,518,562
Postal Savings Bank of China Company Limited H Shares (Financials, Banks)		532,000		340,744
Semiconductor Manufacturing International Corporation (Information Technology, Semiconductors & Semiconductor Equipment) †		121,000		265,279

4

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
China (continued)
Shandong Weigao Group Medical Polymer Company Limited H Shares (Health Care, Health Care Equipment & Supplies)		96,000	$	168,386
Shanghai Baosight Software Company Limited Class B (Information Technology, Software)		14,900		34,500
Shanghai Electric Group Company Limited H Shares (Industrials, Electrical Equipment)		142,000		39,503
Shanghai Fosun Pharmaceutical Company Limited H Shares (Health Care, Pharmaceuticals)		24,500		78,582
Shanghai Lujiazui Finance & Trade Zone Development Company Limited (Real Estate, Real Estate Management & Development)		47,540		33,666
Shanghai Pharmaceuticals Holding Company Limited H Shares (Health Care, Health Care Providers & Services)		31,200		49,461
Shenzhen International Holdings Limited H Shares (Industrials, Transportation Infrastructure)		49,500		82,903
Silergy Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		3,000		162,397
Sinopec Engineering Group H Shares (Industrials, Construction & Engineering)		69,500		29,224
Sinopec Shanghai Petrochemical Company Limited H Shares (Materials, Chemicals)		142,000		35,350
Sinopharm Group Company Limited H Shares (Health Care, Health Care Providers & Services)		52,400		129,413
Sinotrans Limited H Shares (Industrials, Air Freight & Logistics)		116,000		24,151
SSY Group Limited (Health Care, Pharmaceuticals)		62,000		38,223
Sunac China Holdings Limited (Financials, Real Estate Management & Development)		114,000		481,879
TAL Education Group ADR (Consumer Discretionary, Diversified Consumer Services) †		17,729		1,000,979
Tong Ren Tang Technologies Company Limited H Shares (Health Care, Pharmaceuticals)		33,000		24,772
Travelsky Technology Limited H Shares (Information Technology, IT Services)		42,000		85,076
Tsingtao Brewery Company Limited H Shares (Consumer Staples, Beverages)		16,000		111,352
Vipshop Holdings Limited ADR (Consumer Discretionary, Internet & Direct Marketing Retail) †		27,486		476,607
Want Want China Holdings Limited (Consumer Staples, Food Products)		265,000		192,162
Weibo Corporation ADR (Communication Services, Interactive Media & Services) †		4,727		145,450
Weichai Power Company Limited H Shares (Industrials, Machinery)		77,000		133,390
WuXi AppTec Company Limited (Health Care, Life Sciences Tools & Services) 144A		8,680		92,323
Xinyi Solar Holdings Limited (Information Technology, Semiconductors & Semiconductor Equipment)		222,000		161,778
Yantai Changyu Pioneer Wine Company Limited Class B (Consumer Staples, Beverages)		12,500		24,030
Yanzhou Coal Mining Company Limited H Shares (Energy, Oil, Gas & Consumable Fuels)		80,000		61,416
Zhaojin Mining Industry Company Limited H Shares (Materials, Metals & Mining)		36,500		44,212
Zhejiang Expressway Company Limited H Shares (Industrials, Transportation Infrastructure)		64,000		45,084
Zhongsheng Group Holdings Limited (Consumer Discretionary, Specialty Retail)		20,500		106,063
Zhuzhou CSR Times Electric Company Limited H Shares (Industrials, Electrical Equipment)		24,700		64,270
Zijin Mining Group Company Limited H Shares (Materials, Metals & Mining)		220,000		87,859
ZTE Corporation H Shares (Information Technology, Communications Equipment) †		32,200		82,549
ZTO Express (Cayman) Incorporated ADR (Industrials, Air Freight & Logistics)		17,420		568,240
				36,397,519
Colombia : 0.25%
Banco de Bogota SA (Financials, Banks)		1,855		28,845
Cementos Argos SA (Materials, Construction Materials)		22,751		21,348
Corporacion Financiera Colombiana SA (Financials, Diversified Financial Services) †		5,756		40,122
Ecopetrol SA (Energy, Oil, Gas & Consumable Fuels)		184,970		98,684
Grupo Argos SA (Materials, Construction Materials)		15,916		37,123
Grupo de Inversiones Suramericana SA (Financials, Diversified Financial Services)		9,681		47,237
Grupo Energia Bogota SA (Utilities, Gas Utilities)		132,811		77,621
Grupo Nutresa SA (Consumer Staples, Food Products)		10,651		63,278
Interconexion Electrica SA (Utilities, Electric Utilities)		17,070		89,698
				503,956
Czech Republic : 0.23%
Central European Media Enterprises Limited Class A (Communication Services, Media) †		6,269		25,691
CEZ AS (Utilities, Electric Utilities)		9,214		181,304
Komercni Banka AS (Financials, Banks) †		5,145		110,250
Moneta Money Bank (Financials, Banks) 144A		36,657		81,523
O2 Czech Republic AS (Communication Services, Diversified Telecommunication Services)		7,166		64,373
				463,141

5

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

	Shares		Value
Egypt : 0.17%
Commercial International Bank ADR (Financials, Banks)		92,169	$	341,025
Greece : 0.31%
Alpha Bank AE (Financials, Banks) †		74,103		46,207
Eurobank Ergasias SA (Financials, Banks) †		129,548		55,358
FF Group (Consumer Discretionary, Specialty Retail) †(a)		3,820		0
Hellenic Petroleum SA (Energy, Oil, Gas & Consumable Fuels)		4,594		32,966
Hellenic Telecommunications Organization SA (Communication Services, Diversified Telecommunication Services)		10,742		150,398
Jumbo SA (Consumer Discretionary, Specialty Retail)		4,217		76,732
LAMDA Development SA (Real Estate, Real Estate Management & Development) †		3,754		26,241
Motor Oil (Hellas) Corinth Refineries SA (Energy, Oil, Gas & Consumable Fuels)		2,869		48,118
Mytilineos Holdings SA (Industrials, Industrial Conglomerates)		3,933		31,375
National Bank of Greece SA (Financials, Banks) †		26,671		36,370
OPAP SA (Consumer Discretionary, Hotels, Restaurants & Leisure)		8,900		83,145
Piraeus Bank SA (Financials, Banks) †		15,740		24,760
Public Power Corporation SA (Utilities, Electric Utilities) †		5,068		19,322
				630,992
Hong Kong : 5.07%
3SBio Incorporated (Health Care, Biotechnology) 144A†		58,000		69,439
58.com Incorporated ADR (Communication Services, Interactive Media & Services) †		5,225		250,852
Beijing Enterprises Holdings Limited (Utilities, Gas Utilities)		21,500		71,777
China Aoyuan Group Limited (Real Estate, Real Estate Management & Development)		54,000		57,903
China Conch Venture Holdings Limited (Industrials, Machinery)		76,500		345,273
China Gas Holdings Limited (Utilities, Gas Utilities)		111,000		392,424
China Jinmao Holdings Group Limited (Real Estate, Real Estate Management & Development)		246,000		171,745
China Medical System Holding Limited (Health Care, Pharmaceuticals)		55,000		63,072
China Mengniu Dairy Company Limited (Consumer Staples, Food Products)		113,000		407,565
China Merchants Port Holdings Company Limited (Industrials, Transportation Infrastructure)		58,000		71,127
China Overseas Grand Oceans Group Limited (Real Estate, Real Estate Management & Development)		76,000		40,735
China Overseas Land & Investment Limited (Real Estate, Real Estate Management & Development)		153,000		469,217
China Overseas Property Holding Limited (Real Estate, Real Estate Management & Development)		55,000		62,797
China Power International Development Limited (Utilities, Independent Power & Renewable Electricity Producers)		160,000		35,142
China Resources Beer Holdings Company Limited (Consumer Staples, Beverages)		64,000		341,288
China Resources Gas Group Limited (Utilities, Gas Utilities)		34,000		186,260
China Resources Land Limited (Real Estate, Real Estate Management & Development)		126,000		502,464
China Resources Pharmaceutical Group Limited (Health Care, Pharmaceuticals)		81,500		44,559
China Resources Power Holdings Company (Utilities, Independent Power & Renewable Electricity Producers)		76,000		88,534
China State Construction International Holdings (Industrials, Construction & Engineering)		62,000		38,406
China Traditional Chinese Medicine Holdings Company Limited (Health Care, Pharmaceuticals)		118,000		50,272
China Travel International Investment Hong Kong Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		160,000		20,198
China Unicom Hong Kong Limited (Communication Services, Diversified Telecommunication Services)		240,000		139,558
China Yongda Automobile Service Holding Company (Consumer Discretionary, Specialty Retail)		53,500		55,846
Cimc Enric Holdings Limited (Industrials, Machinery)		40,000		16,680
CITIC Pacific Limited (Industrials, Industrial Conglomerates)		277,000		265,752
COSCO Shipping Ports Limited (Industrials, Transportation Infrastructure)		74,000		37,153
Far East Horizon Limited (Financials, Diversified Financial Services)		79,000		70,284
Geely Automobile Holdings Limited (Consumer Discretionary, Automobiles)		247,000		341,283
Guangdong Investment Limited (Utilities, Water Utilities)		122,000		241,246
Haier Electronics Group Company (Consumer Discretionary, Household Durables)		56,000		156,793
Hua Hong Semiconductor Limited (Information Technology, Semiconductors & Semiconductor Equipment) 144A		16,000		30,066
Innovent Biologics Incorporated (Health Care, Biotechnology) 144A†		48,500		266,337
JD.com Incorporated ADR (Consumer Discretionary, Internet & Direct Marketing Retail) †		50,042		2,718,782
Joy City Property Limited (Real Estate, Real Estate Management & Development)		170,000		12,168

6

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Hong Kong (continued)
Kingboard Chemicals Holdings Limited (Information Technology, Electronic Equipment, Instruments & Components)		27,500	$	66,965
Kunlun Energy Company Limited (Utilities, Gas Utilities)		174,000		107,316
Lenovo Group Limited (Information Technology, Technology Hardware, Storage & Peripherals)		290,000		158,587
Longfor Properties Company Limited (Real Estate, Real Estate Management & Development)		69,000		315,546
Nine Dragons Paper Holdings Limited (Materials, Paper & Forest Products)		72,000		63,309
Poly Property Group Company Limited (Real Estate, Real Estate Management & Development)		85,000		27,299
Seazen Group Limited (Real Estate, Real Estate Management & Development)		88,000		82,201
Shanghai Industrial Holdings Limited (Industrials, Industrial Conglomerates)		15,000		23,455
Shenzhen Investment Limited (Real Estate, Real Estate Management & Development)		114,000		35,335
Shimao Property Holding Limited (Real Estate, Real Estate Management & Development)		48,000		201,304
Shougang Fushan Resources Group Limited (Materials, Metals & Mining)		118,000		21,767
Sino Biopharmaceutical Limited Sino Biopharmaceutical (Health Care, Pharmaceuticals)		272,000		429,796
Sinotruk Hong Kong Limited (Industrials, Machinery)		23,500		57,281
Sun Art Retail Group Limited (Consumer Staples, Food & Staples Retailing)		103,000		158,546
Tingyi Holding Corporation (Consumer Staples, Food Products)		80,000		137,725
Topsports International Holdings Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		43,000		61,511
Uni-President China Holdings Limited (Consumer Staples, Food Products)		57,000		59,268
Universal Medical Financial & Technical Advisory Services Company Limited (Health Care, Health Care Providers & Services) 144A		22,000		12,250
Yuexiu Property Company Limited (Real Estate, Real Estate Management & Development)		246,000		44,418
Yuexiu Real Estate Investment Trust (Real Estate, Equity REITs)		84,505		38,074
Yuexiu Transport Infrastructure Limited (Industrials, Transportation Infrastructure)		42,000		28,080
				10,263,030
Hungary : 0.41%
Magyar Telekom Telecommunications plc (Communication Services, Diversified Telecommunication Services)		47,606		59,851
MOL Hungarian Oil & Gas plc (Energy, Oil, Gas & Consumable Fuels)		29,731		188,263
OTP Bank plc (Financials, Banks)		12,715		427,413
Richter Gedeon (Health Care, Pharmaceuticals)		7,431		162,408
				837,935
India : 13.69%
3M India Limited (Industrials, Industrial Conglomerates) †		122		29,558
Aarti Industries Limited (Materials, Chemicals)		11,446		148,335
Aavas Financiers Limited (Financials, Thrifts & Mortgage Finance) †		997		13,579
ABB Limited India (Industrials, Electrical Equipment)		2,511		24,753
ACC Limited (Materials, Construction Materials)		3,573		60,281
Adani Enterprises Limited (Industrials, Trading Companies & Distributors)		16,372		32,053
Adani Gas Limited (Utilities, Gas Utilities)		16,231		25,320
Adani Green Energy Limited (Utilities, Independent Power & Renewable Electricity Producers) †		15,692		51,796
Adani Ports & Special Economic Zone Limited (Industrials, Transportation Infrastructure)		37,984		163,110
Adani Power Limited (Utilities, Independent Power & Renewable Electricity Producers) †		31,463		15,134
Adani Transmissions Limited (Utilities, Electric Utilities) †		14,955		34,482
Aditya Birla Capital Limited (Financials, Diversified Financial Services) †		31,780		19,402
Aditya Birla Fashion & Retail Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods) †		13,193		20,978
Aegis Logistics Limited (Energy, Oil, Gas & Consumable Fuels)		5,283		12,310
Aia Engineering Limited (Industrials, Machinery)		1,497		33,017
Ajanta Pharma Limited (Health Care, Pharmaceuticals)		1,243		25,116
Alembic Pharmaceuticals Limited (Health Care, Pharmaceuticals)		2,237		25,707
Alkem Laboratories Limited (Health Care, Pharmaceuticals)		2,498		74,838
Amara Raja Batteries Limited (Industrials, Electrical Equipment)		2,673		21,827
Ambuja Cements Limited (Materials, Construction Materials)		34,931		88,896
Apollo Hospitals Enterprise Limited (Health Care, Health Care Providers & Services)		4,307		77,209
Apollo Tyres Limited (Consumer Discretionary, Auto Components)		17,655		22,768
Arti Surfactants Limited (Materials, Chemicals) †(a)		541		0
Asahi India Glass Limited (Consumer Discretionary, Auto Components)		6,535		13,900
Ashok Leyland Limited (Industrials, Machinery)		72,317		40,803

7

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

	Shares		Value
India (continued)
Asian Paints Limited (Materials, Chemicals)		38,045	$	848,905
Astral Poly Technik Limited (Industrials, Building Products)		2,313		26,914
Atul Limited (Materials, Chemicals)		872		52,070
AU Small Finance Bank Limited (Financials, Banks) 144A		10,400		54,133
Aurobindo Pharma Limited (Health Care, Pharmaceuticals)		15,143		149,191
Avenue Supermarts Limited (Consumer Staples, Food & Staples Retailing) †		6,590		198,566
Axis Bank Limited (Financials, Banks)		97,731		501,389
Bajaj Auto Limited (Consumer Discretionary, Automobiles)		4,755		170,999
Bajaj Finance Limited (Financials, Consumer Finance)		9,804		255,124
Bajaj Finserv Limited (Financials, Insurance)		3,048		178,636
Bajaj Holdings & Investment Limited (Financials, Diversified Financial Services)		1,976		52,508
Balkrishna Industries Limited (Consumer Discretionary, Auto Components)		3,526		50,498
Bandhan Bank Limited (Financials, Banks) 144A		22,493		65,584
Bank of Baroda (Financials, Banks) †		49,620		25,717
Bata India Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		2,491		43,746
Bayer CropScience Limited (Materials, Chemicals)		561		39,934
Berger Paints India Limited (Materials, Chemicals)		15,860		103,508
Bharat Electronics Limited (Industrials, Aerospace & Defense)		51,168		46,965
Bharat Forge Limited (Consumer Discretionary, Auto Components)		12,621		54,641
Bharat Heavy Electricals Limited (Industrials, Electrical Equipment)		33,897		12,597
Bharat Petroleum Corporation Limited (Energy, Oil, Gas & Consumable Fuels)		32,861		149,541
Bharti Airtel Limited (Communication Services, Wireless Telecommunication Services) †		76,985		562,173
Bharti Infratel Limited (Communication Services, Diversified Telecommunication Services)		27,075		82,636
Biocon Limited (Health Care, Biotechnology)		16,294		76,549
Blue Star Limited (Industrials, Building Products)		3,068		19,971
Bosch Limited (Consumer Discretionary, Auto Components)		366		47,225
Britannia Industries Limited (Consumer Staples, Food Products)		4,924		220,944
Cadila Healthcare Limited (Health Care, Pharmaceuticals)		8,376		38,149
Can Fin Homes Limited (Financials, Thrifts & Mortgage Finance)		1,651		6,078
Carborundum Universal Limited (Industrials, Machinery)		6,567		19,375
Castrol India Limited (Materials, Chemicals)		13,288		20,344
Century Textiles & Industries Limited (Materials, Paper & Forest Products)		2,866		10,868
CESC Limited (Utilities, Electric Utilities)		1,779		13,017
Chambal Fertilisers and Chemicals Limited (Materials, Chemicals)		8,589		14,785
Cholamandalam Financial Holdings Limited (Financials, Consumer Finance)		4,945		16,121
Cholamandalam Investment & Finance Company Limited (Financials, Consumer Finance)		15,323		28,923
Cipla Limited India (Health Care, Pharmaceuticals)		19,639		168,769
City Union Bank Limited (Financials, Banks)		35,149		63,352
Coal India Limited (Energy, Oil, Gas & Consumable Fuels)		60,524		113,597
Colgate-Palmolive Company India Limited (Consumer Staples, Personal Products)		5,128		94,599
Container Corporation of India Limited (Industrials, Transportation Infrastructure)		11,170		55,648
Coromandel International Limited (Materials, Chemicals)		5,437		46,444
CRISIL Limited (Financials, Capital Markets)		742		13,643
Crompton Greaves Consumer Electricals Limited (Consumer Discretionary, Household Durables)		16,168		48,108
Cummins India Limited (Industrials, Machinery)		5,185		25,902
Cyient Limited (Information Technology, Software)		5,223		13,767
Dabur India Limited (Consumer Staples, Personal Products)		26,642		164,855
Dalmia Bharat Limited (Materials, Construction Materials)		4,719		34,751
DCB Bank Limited (Financials, Banks)		10,895		8,994
Deepak Nitrite Limited (Materials, Chemicals)		3,106		20,529
Delta Corp Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		6,640		7,526
Divi’s Laboratories Limited (Health Care, Life Sciences Tools & Services)		5,341		169,015
DLF Limited (Real Estate, Real Estate Management & Development)		40,206		80,691
Dr. Lal Pathlabs Limited (Health Care, Health Care Providers & Services) 144A		1,099		22,304
Dr. Reddy’s Laboratories Limited (Health Care, Pharmaceuticals)		3,143		169,202
Dr. Reddy’s Laboratories Limited ADR (Health Care, Pharmaceuticals)		1,676		89,565
Edelweiss Financial Services Limited (Financials, Capital Markets)		24,737		15,239
Eicher Motors Limited (Industrials, Machinery)		670		147,107
EIH Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		5,484		4,829
Emami Limited (Consumer Staples, Personal Products)		6,372		16,457
Endurance Technologies Limited (Consumer Discretionary, Auto Components) 144A		1,688		16,257
Engineers India Limited (Industrials, Construction & Engineering)		11,156		9,376
Equitas Holdings Limited (Financials, Consumer Finance) †		14,659		8,275

8

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
India (continued)
Escorts Limited (Industrials, Machinery)		2,934	$	35,128
Exide Industries Limited (Consumer Discretionary, Auto Components)		18,847		40,718
Federal Bank Limited (Financials, Banks)		88,196		52,691
Finolex Cables Limited (Industrials, Electrical Equipment)		4,588		12,937
Finolex Industries Limited (Materials, Chemicals)		2,781		15,673
Fortis Healthcare Limited (Health Care, Health Care Providers & Services) †		21,452		32,813
Future Retail Limited (Consumer Discretionary, Multiline Retail) †		13,710		15,409
Futures Lifestyle Fashions Limited (Consumer Discretionary, Specialty Retail)		3,577		7,239
Gail India Limited (Utilities, Gas Utilities)		70,636		86,522
Galaxy Surfactants Limited (Materials, Chemicals)		689		12,286
Gillette India Limited (Consumer Staples, Personal Products)		270		17,227
GlaxoSmithKline Pharmaceuticals Limited (Health Care, Pharmaceuticals)		1,649		29,880
Glenmark Pharmaceuticals Limited (Health Care, Pharmaceuticals)		5,961		27,981
GMR Infrastructure Limited (Industrials, Transportation Infrastructure) †		46,571		11,698
Godrej Consumer Products Limited (Consumer Staples, Personal Products)		15,677		131,672
Godrej Industries Limited (Industrials, Industrial Conglomerates)		12,004		50,813
Godrej Properties Limited (Real Estate, Real Estate Management & Development) †		4,870		44,525
Grasim Industries Limited (Materials, Construction Materials)		13,335		104,268
Grindwell Norton Limited (Industrials, Machinery)		2,561		17,942
Gujarat Gas Limited (Utilities, Gas Utilities)		9,910		31,525
Gujarat State Petronet Limited (Utilities, Gas Utilities)		12,079		31,598
Hatsun Agro Products Limited (Consumer Staples, Food Products)		2,477		17,127
Havells India Limited (Industrials, Electrical Equipment)		8,905		58,633
HCL Technologies Limited (Information Technology, IT Services)		47,362		345,668
HDFC Asset Management Company Limited (Financials, Capital Markets) 144A		1,690		56,644
HDFC Bank Limited (Financials, Banks)		174,733		2,212,496
HDFC Life Insurance Company Limited (Financials, Insurance) †		40,499		281,085
Hemisphere Properties India Limited (Real Estate, Real Estate Management & Development) †(a)‡		5,373		11,852
Hero Motorcorp Limited (Consumer Discretionary, Automobiles)		4,629		145,179
Hexaware Technologies Limited (Information Technology, IT Services)		4,998		16,797
Hindalco Industries Limited (Materials, Metals & Mining)		55,490		102,296
Hindustan Petroleum Corporation Limited (Energy, Oil, Gas & Consumable Fuels)		27,127		70,043
Hindustan Unilever Limited (Consumer Staples, Household Products)		29,883		815,265
Honeywell Automation India Limited (Information Technology, Electronic Equipment, Instruments & Components)		89		31,876
Housing Development Finance Corporation Limited (Financials, Thrifts & Mortgage Finance)		69,694		1,537,539
ICICI Bank Limited (Financials, Banks)		238,639		1,044,316
ICICI Lombard General Insurance Company Limited (Financials, Insurance) 144A		8,276		142,815
ICICI Prudential Life Insurance Company Limited (Financials, Insurance) 144A		16,237		84,634
Idea Cellular Limited (Communication Services, Wireless Telecommunication Services) †		404,713		35,251
IDFC Bank Limited (Financials, Banks) †		53,820		15,851
IIFL Holdings Limited (Financials, Capital Markets)		3,675		3,080
Indiabulls Housing Finance Limited (Financials, Thrifts & Mortgage Finance)		12,887		21,044
Indiabulls Ventures Limited (Financials, Capital Markets)		10,546		9,919
Indian Energy Exchange Limited (Financials, Capital Markets)		8,853		19,227
Indian Hotels Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		24,256		24,338
Indian Oil Corporation Limited (Energy, Oil, Gas & Consumable Fuels)		78,094		86,191
Indraprastha Gas Limited (Utilities, Gas Utilities)		10,921		68,036
Info Edge India Limited (Communication Services, Interactive Media & Services)		3,410		121,424
Infosys Limited (Information Technology, IT Services)		152,304		1,396,870
Infosys Limited ADR (Information Technology, IT Services)		18,717		170,325
Interglobe Aviation Limited (Industrials, Airlines)		4,599		59,042
Ipca Laboratories Limited (Health Care, Pharmaceuticals)		3,218		63,495
ITC Limited (Consumer Staples, Tobacco)		281,850		736,155
Jindal Steel & Power Limited (Materials, Metals & Mining) †		16,951		27,337
JK Cement Limited (Materials, Construction Materials)		1,432		22,185
JM Financial Limited (Financials, Capital Markets)		13,655		11,668
JSW Energy Limited (Utilities, Independent Power & Renewable Electricity Producers)		11,153		5,910
JSW Steel Limited (Materials, Metals & Mining)		54,557		133,336
Jubilant Foodworks Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		3,253		71,281
Jubilant Organosys Limited (Health Care, Pharmaceuticals)		3,371		19,774
Jyothy Laboratories Limited (Consumer Staples, Household Products)		4,320		6,069
Kajaria Ceramics Limited (Industrials, Building Products)		5,312		24,064

9

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

	Shares		Value
India (continued)
Kalpataru Power Transmission Limited (Industrials, Construction & Engineering)		4,907	$	13,342
Kansai Nerolac Paints Limited (Materials, Chemicals)		6,146		29,663
Karur Vysya Bank Limited (Financials, Banks)		19,684		6,039
KEC International Limited (Industrials, Construction & Engineering)		7,573		19,772
Kotak Mahindra Bank Limited (Financials, Banks)		54,924		893,614
KRBL Limited (Consumer Staples, Food Products)		6,826		17,008
L&T Finance Holdings Limited (Financials, Diversified Financial Services)		26,577		19,247
L&T Technology Services Limited (Industrials, Professional Services) 144A		1,033		16,057
Larsen & Toubro Infotech Limited (Information Technology, IT Services) 144A		2,190		52,214
Larsen & Toubro Limited (Industrials, Construction & Engineering)		45,966		568,951
LIC Housing Finance Limited (Financials, Thrifts & Mortgage Finance)		10,503		33,460
Lupin Limited (Health Care, Pharmaceuticals)		8,074		93,099
Mahanagar Gas Limited (Utilities, Gas Utilities)		2,225		28,660
Mahindra & Mahindra Financial Services Limited (Financials, Consumer Finance)		10,600		19,752
Mahindra & Mahindra Limited (Consumer Discretionary, Automobiles)		28,089		162,878
Manappuram Finance Limited (Financials, Consumer Finance)		12,343		20,569
Marico Limited (Consumer Staples, Personal Products)		50,875		231,987
Maruti Suzuki India Limited (Consumer Discretionary, Automobiles)		4,119		306,681
Max Financial Services Limited (Financials, Insurance) †		8,955		57,033
Minda Industries Limited (Consumer Discretionary, Auto Components)		4,656		17,922
Mindtree Limited (Information Technology, IT Services)		3,285		38,930
Motherson Sumi Systems Limited (Consumer Discretionary, Auto Components)		53,628		67,933
Motilal Oswal Financial Services Limited (Financials, Capital Markets)		2,094		14,487
Mphasis Limited (Information Technology, IT Services)		3,915		44,592
MRF Limited (Consumer Discretionary, Auto Components)		143		111,942
Multi Commodity Exchange of India Limited (Financials, Capital Markets)		2,238		39,467
Muthoot Finance Limited (Financials, Consumer Finance)		5,956		68,175
Natco Pharma Limited (Health Care, Pharmaceuticals)		4,333		33,276
National Aluminum Company Limited (Materials, Metals & Mining)		4,063		1,583
Navin Fluorine International Limited (Materials, Chemicals)		1,373		28,482
Nestle India Limited (Consumer Staples, Food Products)		1,537		357,802
NHPC Limited (Utilities, Independent Power & Renewable Electricity Producers)		26,287		6,813
NIIT Technologies Limited (Information Technology, IT Services)		829		15,948
NMDC Limited (Materials, Metals & Mining)		21,026		22,641
NTPC Limited (Utilities, Independent Power & Renewable Electricity Producers)		166,594		216,111
Oberoi Realty Limited (Real Estate, Real Estate Management & Development)		5,780		24,609
Oil & Natural Gas Corporation Limited (Energy, Oil, Gas & Consumable Fuels)		86,253		95,325
Oil India Limited (Energy, Oil, Gas & Consumable Fuels)		14		16
Oracle Financials Services Limited (Information Technology, Software)		1,060		35,035
Orient Electric Limited (Industrials, Electrical Equipment)		5,302		11,889
Page Industries Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		199		49,787
Persistent Systems Limited (Information Technology, IT Services)		2,663		18,548
Petronet LNG Limited (Energy, Oil, Gas & Consumable Fuels)		29,113		97,448
Pfizer Limited (Health Care, Pharmaceuticals)		710		37,912
Phoenix Mills Limited (Real Estate, Real Estate Management & Development)		3,382		23,520
PI Industries Limited (Materials, Chemicals)		2,519		51,437
Pidilite Industries Limited (Materials, Chemicals)		12,776		248,996
Piramal Enterprises Limited (Health Care, Pharmaceuticals)		5,438		69,890
Polycab India Limited (Industrials, Electrical Equipment)		3,021		27,254
Power Finance Corporation Limited (Financials, Diversified Financial Services)		37,114		37,060
Power Grid Corporation of India Limited (Utilities, Electric Utilities)		87,463		182,541
Prestige Estates Projects Limited (Real Estate, Real Estate Management & Development)		7,296		15,184
Procter & Gamble Health Limited (Health Care, Pharmaceuticals)		292		15,884
Procter & Gamble Hygiene & Healthcare Limited (Consumer Staples, Personal Products)		377		49,383
Punjab National Bank (Financials, Banks) †		42,961		15,293
PVR Limited (Communication Services, Entertainment)		1,508		18,027
Quess Corporation Limited (Industrials, Professional Services) 144A†		3,247		9,485
Rajesh Exports Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		3,587		23,161
Ratnamani Metals & Tubes Limited (Materials, Metals & Mining)		1,802		20,875
RBL Bank Limited (Financials, Banks) 144A		21,539		34,634
REC Limited (Financials, Diversified Financial Services)		32,517		38,163
Relaxo Footwears Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		5,186		46,490
Reliance Nippon Life Asset Management Limited (Financials, Diversified Financial Services)		6,075		20,672

10

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
India (continued)
Sanofi India Limited (Health Care, Pharmaceuticals) †		339	$	34,664
SBI Life Insurance Company Limited (Financials, Insurance) 144A†		13,944		142,198
Schaeffler India Limited (Industrials, Machinery) †		386		16,361
Shree Cement Limited (Materials, Construction Materials)		809		223,672
Shriram City Union Finance Limited (Financials, Consumer Finance)		960		8,121
Shriram Transport Finance Company Limited (Financials, Consumer Finance)		6,983		53,279
Siemens India Limited (Industrials, Industrial Conglomerates)		3,108		44,942
SKF India Limited (Industrials, Machinery)		1,229		23,534
Solar Industries India Limited (Materials, Chemicals)		821		9,701
SRF Limited (Materials, Chemicals)		1,023		47,266
State Bank of India (Financials, Banks) †		134,321		288,737
Strides Shasun Limited (Health Care, Pharmaceuticals)		3,283		17,341
Sun Pharmaceutical Industries Limited (Health Care, Pharmaceuticals)		36,208		227,665
Sun TV Network Limited (Communication Services, Media)		2,178		11,118
Sundaram Finance Limited (Financials, Consumer Finance)		4,367		73,282
Sundram Fasteners Limited (Consumer Discretionary, Auto Components)		6,018		24,413
Sunteck Realty Limited (Real Estate, Real Estate Management & Development)		6,138		12,828
Supreme Industries Limited (Materials, Chemicals)		2,888		39,030
Syngene International Limited (Health Care, Life Sciences Tools & Services) 144A		4,414		20,863
Tata Chemicals Limited (Materials, Chemicals)		5,234		21,248
Tata Communications Limited (Communication Services, Diversified Telecommunication Services)		5,374		34,034
Tata Consultancy Services Limited (Information Technology, IT Services)		46,574		1,218,409
Tata Elxsi Limited (Information Technology, Software)		1,590		16,133
Tata Motors Limited (Consumer Discretionary, Automobiles) †		75,905		87,267
Tata Power Company Limited (Utilities, Electric Utilities)		13,371		6,473
Tata Steel Limited (Materials, Metals & Mining)		27,654		108,228
Tata Tea Limited (Consumer Staples, Food Products)		17,806		86,913
TeamLease Services Limited (Industrials, Professional Services) †		698		13,746
Tech Mahindra Limited (Information Technology, IT Services)		33,410		234,961
The Great Eastern Shipping Company Limited (Energy, Oil, Gas & Consumable Fuels)		2,149		5,596
The Ramco Cements Limited (Materials, Construction Materials)		7,174		57,447
Thermax India Limited (Industrials, Machinery)		2,310		21,754
Titan Industries Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		14,368		169,805
Torrent Pharmaceuticals Limited (Health Care, Pharmaceuticals)		1,682		52,601
Torrent Power Limited (Utilities, Electric Utilities)		5,093		21,482
Trent Limited (Consumer Discretionary, Multiline Retail)		9,964		62,075
TTK Prestige Limited (Consumer Discretionary, Household Durables)		158		9,770
Tube Investments of India Limited (Consumer Discretionary, Auto Components)		2,332		11,377
TVS Motor Company Limited (Consumer Discretionary, Automobiles)		7,883		35,198
Ujjivan Financial Services Limited (Financials, Consumer Finance)		4,325		9,882
Ultra Tech Cement Limited (Materials, Construction Materials)		5,442		282,255
United Breweries Limited (Consumer Staples, Beverages)		3,612		45,714
United Spirits Limited (Consumer Staples, Beverages) †		13,306		104,750
UPL Limited (Materials, Chemicals)		23,093		124,443
V-Guard Industries Limited (Industrials, Electrical Equipment)		8,599		20,207
Varun Beverages Limited (Consumer Staples, Beverages)		4,088		34,238
Vedanta Limited (Materials, Metals & Mining)		46,958		57,402
Vinati Organics Limited (Materials, Chemicals)		1,074		14,475
VIP Industries Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		2,970		8,594
Voltas Limited (Industrials, Construction & Engineering)		8,772		55,790
Wabco India Limited (Consumer Discretionary, Auto Components)		181		16,606
Whirlpool of India Limited (Consumer Discretionary, Household Durables)		1,273		32,858
Wipro Limited (Information Technology, IT Services)		102,480		288,565
Yes Bank Limited (Financials, Banks)		113,997		40,478
Zee Entertainment Enterprises Limited (Communication Services, Media)		31,638		77,132
				27,700,548
Indonesia : 1.81%
PT Ace Hardware Incorporated Indonesia Tbk (Consumer Discretionary, Specialty Retail)		286,100		30,479
PT Adaro Energy Tbk (Energy, Oil, Gas & Consumable Fuels)		544,400		41,147
PT AKR Corporindo Tbk (Industrials, Trading Companies & Distributors)		48,500		7,825
PT Aneka Tambang Tbk (Materials, Metals & Mining)		1,200		44

11

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

	Shares		Value
Indonesia (continued)
PT Astra International Tbk (Consumer Discretionary, Automobiles)		801,600	$	262,333
PT Asuransi Kresna Mitra Tbk (Financials, Insurance) †		6,600		495
PT Bank Central Asia Tbk (Financials, Banks)		449,800		800,368
PT Bank Mandiri Persero Tbk (Financials, Banks)		758,500		233,090
PT Bank Negara Indonesia Persero Tbk (Financials, Banks)		293,400		77,227
PT Bank Pembangunan Daerah Jawa Barat dan Banten Tbk (Financials, Banks)		65,700		3,423
PT Bank Rakyat Indonesia Tbk (Financials, Banks)		2,401,400		486,247
PT Bank Tabungan Negara Persero Tbk (Financials, Banks)		35,700		1,865
PT Bank Tabungan Pensiunan Nasional Syariah Tbk (Financials, Banks)		73,200		14,473
PT Bank Tabungan Pensiunan Nasional Tbk (Financials, Banks) †		446,081		56,267
PT Bayan Resources Group Tbk (Energy, Oil, Gas & Consumable Fuels)		10,952		10,832
PT Bumi Serpong Damai Tbk (Real Estate, Real Estate Management & Development) †		262,300		11,437
PT Charoen Pokphand Indonesia Tbk (Consumer Staples, Food Products)		331,900		131,619
PT Ciputra Development Tbk (Real Estate, Real Estate Management & Development)		280,400		11,087
PT Gudang Garam Tbk (Consumer Staples, Tobacco)		16,700		55,799
PT Hanjaya Mandala Sampoerna Tbk (Consumer Staples, Tobacco)		274,200		36,527
PT Hanson International Tbk (Real Estate, Real Estate Management & Development) †(a)‡		10,045,000		34,377
PT Indocement Tunggal Prakarsa Tbk (Materials, Construction Materials)		81,800		67,899
PT Indofood CBP Sukses Makmur Tbk (Consumer Staples, Food Products)		91,400		51,112
PT Indofood Sukses Makmur Tbk (Consumer Staples, Food Products)		181,600		71,666
PT Jasa Marga (Persero) Tbk (Industrials, Transportation Infrastructure)		68,600		16,705
PT Kalbe Farma Tbk (Health Care, Pharmaceuticals)		867,100		84,107
PT Lippo Karawaci Terbuka Tbk (Real Estate, Real Estate Management & Development) †		1,921,800		24,253
PT Mayora Indah Tbk (Consumer Staples, Food Products)		121,087		18,239
PT Media Nusantara Citra Tbk (Communication Services, Media)		153,500		8,948
PT Merdeka Copper Gold Tbk (Materials, Metals & Mining) †		147,800		13,136
PT Mitra Adiperkasa Tbk (Consumer Discretionary, Multiline Retail)		237,000		11,780
PT Mitra Keluarga Karyasehat Tbk (Health Care, Health Care Providers & Services)		227,600		36,942
PT Perusahaan Gas Negara Persero Tbk (Utilities, Gas Utilities)		327,300		19,342
PT Pollux Properti Indonesia Tbk (Real Estate, Real Estate Management & Development) †		64,382		34,500
PT Samudra Tbk (Energy, Energy Equipment & Services) †		1,288,600		5,468
PT Semen Gresik Persero Tbk (Materials, Construction Materials)		114,000		76,628
PT Sumber Alfaria Trijaya Tbk (Consumer Staples, Food & Staples Retailing)		1,124,542		70,043
PT Summarecon Agung Tbk (Real Estate, Real Estate Management & Development)		280,300		8,934
PT Surya Citra Media Tbk (Communication Services, Media)		132,100		9,054
PT Tambang Batubara Bukit Asam Tbk (Energy, Oil, Gas & Consumable Fuels)		143,800		19,245
PT Telekomunikasi Indonesia Persero Tbk (Communication Services, Diversified Telecommunication Services)		2,004,800		432,627
PT Tower Bersama Infrastructure Tbk (Communication Services, Diversified Telecommunication Services)		356,200		25,837
PT Transcoal Pacific Tbk (Industrials, Marine)		43,400		15,463
PT Ultrajaya Milk Industry & Trading Company Tbk (Consumer Staples, Food Products)		147,397		15,344
PT Unilever Indonesia Tbk (Consumer Staples, Household Products)		223,000		118,505
PT United Tractors Tbk (Energy, Oil, Gas & Consumable Fuels)		58,000		62,427
PT Waskita Karya Persero Tbk (Industrials, Construction & Engineering)		22,500		943
PT Wijaya Karya Persero Tbk (Industrials, Construction & Engineering)		77,200		5,750
PT XL Axiata Tbk (Communication Services, Wireless Telecommunication Services)		132,500		23,518
				3,655,376
Malaysia : 2.36%
AFFIN Bank Bhd (Financials, Banks) †		78,300		28,646
AirAsia Bhd (Industrials, Airlines)		99,500		15,857
Alliance Financial Group Bhd (Financials, Banks)		50,000		24,192
AMMB Holdings Bhd (Financials, Banks)		73,200		53,487
Asiatic Development Bhd (Consumer Staples, Food Products)		16,500		38,416
Astro Malaysia Holdings Bhd (Communication Services, Media)		66,900		15,288
Axiata Group Bhd (Communication Services, Wireless Telecommunication Services)		116,800		102,035
Batu Kawan Bhd (Materials, Chemicals)		9,793		31,514
Berjaya Sports Toto Bhd (Consumer Discretionary, Hotels, Restaurants & Leisure)		37,500		19,009
Boustead Holdings Bhd (Industrials, Industrial Conglomerates) †		127,800		20,493
British American Tobacco Malaysia Bhd (Consumer Staples, Tobacco)		6,800		17,339
Bursa Malaysia Bhd (Financials, Capital Markets)		23,400		41,222

12

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Malaysia (continued)
Carlsberg Brewery Malaysia Bhd (Consumer Staples, Beverages)		7,300	$	48,625
CIMB Group Holdings Bhd (Financials, Banks)		259,400		225,361
Dialog Group Bhd (Energy, Energy Equipment & Services)		208,000		191,272
Digi.com Bhd (Communication Services, Wireless Telecommunication Services)		93,300		97,564
Felda Global Ventures Holdings Bhd (Consumer Staples, Food Products) †		89,300		21,000
Fraser & Neave Holdings Bhd (Consumer Staples, Beverages)		5,200		38,940
Gamuda Bhd (Industrials, Construction & Engineering)		79,200		71,218
Genting Bhd (Consumer Discretionary, Hotels, Restaurants & Leisure)		102,800		94,782
Genting Malaysia Bhd (Consumer Discretionary, Hotels, Restaurants & Leisure)		139,900		74,762
HAP Seng Consolidated Bhd (Industrials, Industrial Conglomerates)		19,300		33,270
Hartalega Holdings Bhd (Health Care, Health Care Equipment & Supplies)		74,600		215,574
Heineken Malaysia Bhd (Consumer Staples, Beverages)		7,700		41,149
Hong Leong Bank Bhd (Financials, Banks)		30,200		94,615
Hong Leong Financial Group Bhd (Financials, Banks)		15,800		48,801
IGB REIT Bhd (Real Estate, Equity REITs)		65,600		26,406
IHH Healthcare Bhd (Health Care, Health Care Providers & Services)		107,200		134,160
IJM Corporation Bhd (Industrials, Construction & Engineering)		99,700		44,170
Inari Amertron Bhd (Information Technology, Electronic Equipment, Instruments & Components)		99,800		34,423
IOI Corporation Bhd (Consumer Staples, Food Products)		103,100		107,984
IOI Properties Group Bhd (Real Estate, Real Estate Management & Development)		69,600		17,323
Kossan Rubber Industries Bhd (Health Care, Health Care Equipment & Supplies)		21,400		42,905
Kuala Lumpur Kepong Bhd (Consumer Staples, Food Products)		16,100		81,560
LPI Capital Bhd (Financials, Insurance)		7,458		22,658
Magnum Bhd (Consumer Discretionary, Hotels, Restaurants & Leisure)		40,600		21,035
Malayan Banking Bhd (Financials, Banks)		199,600		344,837
Malaysia Airports Holdings Bhd (Industrials, Transportation Infrastructure)		47,200		54,400
Malaysia Building Society Bhd (Financials, Thrifts & Mortgage Finance)		131,500		19,988
Maxis Bhd (Communication Services, Wireless Telecommunication Services)		64,400		78,155
MISC Bhd (Industrials, Marine)		56,700		108,479
MyEG Services Bhd (Information Technology, IT Services)		122,700		38,228
Nestle Malaysia Bhd (Consumer Staples, Food Products)		2,400		76,860
Oriental Holdings Bhd (Consumer Discretionary, Automobiles)		14,645		19,070
Pentamaster Corporation Bhd (Industrials, Machinery) †		18,100		21,443
Petronas Chemicals Group Bhd (Materials, Chemicals)		110,300		160,274
Petronas Dagangan Bhd (Energy, Oil, Gas & Consumable Fuels)		12,800		69,207
Petronas Gas Bhd (Utilities, Gas Utilities)		25,000		109,423
PPB Group Bhd (Consumer Staples, Food Products)		27,300		109,139
Press Metal Bhd (Materials, Metals & Mining)		84,200		73,066
Ql Resources Bhd (Consumer Staples, Food Products)		33,060		76,884
RHB Bank Bhd (Financials, Banks)		79,600		87,444
Sapurakencana Petroleum Bhd (Energy, Energy Equipment & Services)		520,200		11,467
Scientex Bhd (Materials, Chemicals)		13,400		25,552
Serba Dinamik Holdings Bhd (Energy, Energy Equipment & Services)		67,450		25,075
Sime Darby Bhd (Industrials, Industrial Conglomerates)		126,800		61,110
Sime Darby Plantation Bhd (Consumer Staples, Food Products)		103,700		118,561
Sime Darby Property Bhd (Real Estate, Real Estate Management & Development)		115,900		18,151
SP Setia Bhd (Real Estate, Real Estate Management & Development)		68,300		15,051
Sunway Bhd (Real Estate, Real Estate Management & Development)		78,950		24,390
Sunway REIT Bhd (Real Estate, Equity REITs)		49,500		18,226
Telecom Malaysia Bhd (Communication Services, Diversified Telecommunication Services)		65,800		63,859
Tenaga Nasional Bhd (Utilities, Electric Utilities)		104,200		270,367
TIME dotCom Bhd (Communication Services, Diversified Telecommunication Services)		13,100		32,179
Top Glove Corporation Bhd (Health Care, Health Care Equipment & Supplies)		70,100		214,891
United Plantations Bhd (Consumer Staples, Food Products)		7,074		21,446
VS Industry Bhd (Information Technology, Electronic Equipment, Instruments & Components)		64,175		13,112
Westports Holdings Bhd (Industrials, Transportation Infrastructure)		47,700		43,862
Yinson Holdings Bhd (Energy, Energy Equipment & Services)		38,300		49,430
YTL Corporation Bhd (Utilities, Multi-Utilities)		194,962		46,719
YTL Power International Bhd (Utilities, Multi-Utilities)		82,300		13,182
				4,770,582

13

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

	Shares		Value
Mexico : 2.53%
Alsea SAB de CV (Consumer Discretionary, Hotels, Restaurants & Leisure) †		22,774	$	19,216
America Movil SAB de CV Series L (Communication Services, Wireless Telecommunication Services)		1,357,123		902,117
Arca Continental SAB de CV (Consumer Staples, Beverages)		21,667		96,764
Banco del Bajio SA (Financials, Banks) 144A		54,200		49,423
Banco Santander Mexico SA (Financials, Banks)		89,278		58,782
Becle SAB de CV ADR (Consumer Staples, Beverages)		24,200		41,569
Cemex SAB de CV ADR (Materials, Construction Materials)		63,563		152,551
CFE Capital S de RL de CV (Utilities, Electric Utilities)		30,577		29,302
Coca-Cola Femsa SAB de CV (Consumer Staples, Beverages)		24,428		107,519
Controladora Vuela Compania de Aviacion SAB de CV Class A (Industrials, Airlines) †		30,800		15,487
Corporacion Inmobiliaria Vesta SAB de CV (Real Estate, Real Estate Management & Development)		23,800		32,510
El Puerto de Liverpool SAB de CV (Consumer Discretionary, Multiline Retail)		8,233		20,569
Fibra Uno Administracion SAB de CV (Real Estate, Equity REITs)		153,653		117,867
Fomento Economico Mexicano SAB de CV (Consumer Staples, Beverages)		100,628		680,882
Genomma Lab Internacional SAB de CV Class B (Health Care, Pharmaceuticals) †		40,093		36,939
Gentera SAB de CV (Financials, Consumer Finance)		55,048		22,938
GMexico Transportes SAB de CV (Industrials, Road & Rail) 144A		28,400		32,019
Gruma SAB de CV Class B (Consumer Staples, Food Products)		9,950		98,721
Grupo Aeroportuario del Centro Norte SAB de CV (Industrials, Transportation Infrastructure)		17,410		76,669
Grupo Aeroportuario del Pacifico SAB de CV Class B (Industrials, Transportation Infrastructure)		19,215		127,901
Grupo Aeroportuario del Sureste SAB de CV Class B (Industrials, Transportation Infrastructure)		8,545		88,758
Grupo Carso SAB de CV (Industrials, Industrial Conglomerates)		20,701		47,863
Grupo Cementos de Chihuahua SAB de CV (Materials, Construction Materials)		10,300		36,895
Grupo Comercial Chedraui SAB de CV (Consumer Staples, Food & Staples Retailing)		14,644		18,035
Grupo Elektra SAB de CV (Financials, Banks)		2,674		157,979
Grupo Financiero Banorte SAB de CV (Financials, Banks)		127,800		389,316
Grupo Financiero Inbursa SAB de CV (Financials, Banks)		136,700		93,457
Grupo Lala SAB de CV (Consumer Staples, Food Products)		29,467		15,867
Grupo Mexico SAB de CV Series B (Materials, Metals & Mining)		143,000		308,062
Grupo Televisa SAB ADR (Communication Services, Media)		22,997		135,682
Industrias Bachoco SAB de CV Series B (Consumer Staples, Food Products)		9,355		28,633
Industrias CH SAB de CV Series B (Materials, Metals & Mining)		5,305		18,821
Industrias Penoles SAB de CV (Materials, Metals & Mining)		4,143		39,180
Infraestructura Energetica Nova SAB de CV (Utilities, Gas Utilities)		24,100		68,688
Macquarie Mexico Real Estate Management SA de CV (Real Estate, Equity REITs) 144A		31,205		33,310
Orbia Advance Corporation SAB de CV (Materials, Chemicals)		45,924		66,749
PLA Administradora Industrial S de RL de CV (Real Estate, Equity REITs)		36,904		46,116
Prologis Property Mexico SA de CV (Real Estate, Equity REITs)		20,094		38,213
Promotora y Operadora de Infraestructura SAB de CV (Industrials, Transportation Infrastructure) †		6,784		51,251
Regional SAB de CV (Financials, Banks) †		12,800		35,679
Telesites SAB de CV (Communication Services, Diversified Telecommunication Services) †		155,300		100,361
Walmart de Mexico SAB de CV (Consumer Staples, Food & Staples Retailing)		232,739		582,517
				5,121,177
Netherlands : 0.06%
X5 Retail Group NV GDR (Consumer Staples, Food & Staples Retailing)		4,330		128,003
Philippines : 1.70%
Aboitiz Equity Ventures Incorporated (Industrials, Industrial Conglomerates)		101,000		85,508
Aboitiz Power Corporation (Utilities, Independent Power & Renewable Electricity Producers)		71,200		39,292
Alliance Global Group Incorporated (Industrials, Industrial Conglomerates) †		301,300		35,784
Altus San Nicolas Corporation (Consumer Discretionary, Hotels, Restaurants & Leisure) †(a)‡		1,637		168
Ayala Corporation (Industrials, Industrial Conglomerates)		12,250		181,389
Ayala Land Incorporated (Real Estate, Real Estate Management & Development)		330,010		208,982
Bank of the Philippine Islands (Financials, Banks)		94,040		123,442
BDO Unibank Incorporated (Financials, Banks)		105,260		209,180
Bloomberry Resorts Corporation (Consumer Discretionary, Hotels, Restaurants & Leisure)		203,500		24,997
China Banking Corporation (Financials, Banks)		78,318		29,254
Cosco Capital Incorporated (Consumer Staples, Food & Staples Retailing)		164,987		15,750
D&L Industries Incorporated (Materials, Chemicals)		81,600		7,335

14

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Philippines (continued)
DMCI Holdings Incorporated (Industrials, Industrial Conglomerates)		189,300	$	14,744
Energy Development Corporation (Utilities, Independent Power & Renewable Electricity Producers) †(a)‡		231,800		31,459
First Gen Corporation (Utilities, Independent Power & Renewable Electricity Producers)		46,200		18,628
Globe Telecom Incorporated (Communication Services, Wireless Telecommunication Services)		1,210		54,838
Golden Bria Holdings Incorporated (Consumer Discretionary, Diversified Consumer Services) †		4,356		24,955
GT Capital Holdings Incorporated (Industrials, Industrial Conglomerates)		4,613		35,332
International Container Term Services Incorporated (Industrials, Transportation Infrastructure)		81,240		140,764
JG Summit Holdings (Industrials, Industrial Conglomerates)		199,220		191,969
Jollibee Foods Corporation (Consumer Discretionary, Hotels, Restaurants & Leisure)		27,820		59,833
LT Group Incorporated (Industrials, Industrial Conglomerates)		152,261		23,759
MacroAsia Corporation (Industrials, Transportation Infrastructure) †		19,240		1,565
Manila Electric Company (Utilities, Electric Utilities)		10,290		57,635
Megaworld Corporation (Real Estate, Real Estate Management & Development)		520,400		29,361
Metro Pacific Investments Corporation (Financials, Diversified Financial Services)		595,100		34,093
Metropolitan Bank & Trust Company (Financials, Banks)		139,977		97,547
Philippine National Bank (Financials, Banks) †		62,020		26,342
Philippine Seven Corporation (Consumer Staples, Food & Staples Retailing)		3,792		9,514
PLDT Incorporated (Communication Services, Wireless Telecommunication Services)		5,170		128,669
Puregold Price Club Incorporated (Consumer Staples, Food & Staples Retailing)		44,010		40,031
Rizal Commercial Banking (Financials, Banks)		53,300		17,405
Robinsons Land Company (Real Estate, Real Estate Management & Development)		109,500		32,039
Robinsons Retail Holdings Incorporated (Consumer Staples, Food & Staples Retailing)		23,570		31,533
San Miguel Corporation (Industrials, Industrial Conglomerates)		19,330		36,705
San Miguel Food & Beverage Incorporated (Consumer Staples, Food Products)		202,220		256,617
Security Bank Corporation (Financials, Banks)		25,510		41,334
Semirara Mining & Power Corporation (Energy, Oil, Gas & Consumable Fuels)		77,700		16,906
SM Investments Corporation (Industrials, Industrial Conglomerates)		28,265		512,220
SM Prime Holdings Incorporated (Real Estate, Real Estate Management & Development)		629,100		375,514
Universal Robina Corporation (Consumer Staples, Food Products)		39,240		101,531
Vista Land & Lifescapes Incorporated (Real Estate, Real Estate Management & Development)		183,200		11,778
Wilcon Depot Incorporated (Consumer Discretionary, Specialty Retail)		57,800		17,362
				3,433,063
Romania : 0.03%
NEPI Rockcastle plc (Real Estate, Real Estate Management & Development)		11,032		56,411
Russia : 4.20%
Aeroflot PJSC (Industrials, Airlines)		17,528		19,682
Alrosa PJSC (Materials, Metals & Mining)		108,450		102,248
Credit Bank of Moscow PJSC (Financials, Banks)		464,800		34,787
Detsky Mir PJSC (Consumer Discretionary, Multiline Retail)		16,280		22,830
Federal Grid Company Unified Energy System PJSC (Utilities, Electric Utilities)		8,270,000		21,701
Gazprom Neft PJSC (Energy, Oil, Gas & Consumable Fuels)		1,815		8,675
Gazprom PJSC (Energy, Oil, Gas & Consumable Fuels)		412,320		1,169,228
Inter Rao Ues PJSC (Utilities, Electric Utilities)		1,316,002		92,603
LSR Group PJSC (Real Estate, Real Estate Management & Development)		1,962		16,427
Lukoil PJSC (Energy, Oil, Gas & Consumable Fuels)		21,540		1,628,068
Magnit PJSC (Consumer Staples, Food & Staples Retailing)		3,711		198,181
Magnitogorsk Iron & Steel Works PJSC (Materials, Metals & Mining)		62,700		36,029
MMC Norilsk Nickel PJSC (Materials, Metals & Mining)		2,174		689,124
Mobile TeleSystems PJSC (Communication Services, Wireless Telecommunication Services)		31,974		145,583
Moscow Exchange MICEX-RTS PJSC (Financials, Capital Markets)		56,010		91,302
Nizhnekamskneftekhim PJSC (Materials, Chemicals) †		33,622		46,505
Novatek PJSC (Energy, Oil, Gas & Consumable Fuels)		59,437		877,018
Novolipetsk Steel PJSC (Materials, Metals & Mining)		39,060		76,047
Novorossiysk Commercial Sea Port PJSC (Industrials, Transportation Infrastructure)		213,700		28,866
PhosAgro PJSC (Materials, Chemicals)		1,627		64,887
PIK Group PJSC (Real Estate, Real Estate Management & Development)		10,299		55,860
Polyus PJSC (Materials, Metals & Mining)		1,011		167,246
Rosgosstrakh PJSC (Financials, Insurance) †		11,193,000		24,060

15

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

	Shares		Value
Russia (continued)
Rosneft Oil Company PJSC (Energy, Oil, Gas & Consumable Fuels)		103,250	$	550,424
Rostelecom PJSC (Communication Services, Diversified Telecommunication Services)		36,890		43,159
Rushydro PJSC (Utilities, Electric Utilities)		4,887,000		48,252
RussNeft PJSC (Energy, Oil, Gas & Consumable Fuels) †		4,583		27,608
Safmar Financial Investment PJSC (Financials, Consumer Finance)		2,652		15,424
Sberbank of Russia PJSC (Financials, Banks)		357,370		1,029,084
Severstal PJSC (Materials, Metals & Mining)		6,922		91,809
Sistema PJSFC (Communication Services, Wireless Telecommunication Services)		118,600		25,936
Surgutneftegas PJSC (Energy, Oil, Gas & Consumable Fuels)		1,069,400		607,208
Tatneft PJSC (Energy, Oil, Gas & Consumable Fuels)		52,185		402,813
Unipro PJSC (Utilities, Independent Power & Renewable Electricity Producers)		366,000		14,257
United Wagon PJSC (Industrials, Road & Rail) †		2,994		10,241
VTB Bank PJSC (Financials, Banks)		17,390,000		8,908
				8,492,080
Singapore : 0.03%
BOC Aviation Limited (Industrials, Trading Companies & Distributors) 144A		9,300		51,333
South Africa : 2.09%
Absa Group Limited (Financials, Banks)		17,776		82,660
AECI Limited (Materials, Chemicals)		3,413		14,020
African Rainbow Minerals Limited (Materials, Metals & Mining)		2,623		25,359
Anglo American Platinum Limited (Materials, Metals & Mining)		1,787		113,309
Anglogold Ashanti Limited (Materials, Metals & Mining)		11,361		276,843
Aspen Pharmacare Holdings Limited (Health Care, Pharmaceuticals) †		10,478		83,827
Astral Foods Limited (Consumer Staples, Food Products)		1,418		12,476
Attacq Limited (Real Estate, Equity REITs)		206		56
Avi Limited (Consumer Staples, Food Products)		10,262		42,090
Barloworld Limited (Industrials, Trading Companies & Distributors)		7,617		29,227
Bid Corporation Limited (Consumer Staples, Food & Staples Retailing)		9,982		140,904
Capitec Bank Holdings Limited (Financials, Banks)		2,194		106,420
Clicks Group Limited (Consumer Staples, Food & Staples Retailing)		8,365		110,930
Coronation Fund Managers Limited (Financials, Capital Markets)		6,832		14,972
Dis-Chem Pharmacies Limited (Consumer Staples, Food & Staples Retailing)		14,306		15,062
Discovery Holdings Limited (Financials, Insurance)		14,242		80,104
Distell Group Holdings Limited (Consumer Staples, Beverages)		5,723		26,411
Equites Property Fund Limited (Real Estate, Equity REITs)		15,738		14,606
Exxaro Resources Limited (Energy, Oil, Gas & Consumable Fuels)		7,056		50,050
FirstRand Limited (Financials, Diversified Financial Services)		130,207		299,018
Fortress REIT Limited (Real Estate, Equity REITs)		39,452		24,936
Foschini Limited (Consumer Discretionary, Specialty Retail)		5,787		20,750
Gold Fields Limited (Materials, Metals & Mining)		21,484		165,817
Growthpoint Properties Limited (Real Estate, Equity REITs)		83,318		59,242
Harmony Gold Mining Company Limited (Materials, Metals & Mining) †		11,496		37,457
Hyprop Investments Limited (Real Estate, Equity REITs)		6,294		6,114
Impala Platinum Holdings Limited (Materials, Metals & Mining)		17,160		114,515
Imperial Holdings Limited (Consumer Discretionary, Distributors)		5,787		12,917
Investec Limited (Financials, Capital Markets)		9,408		16,548
Italtile Limited (Consumer Discretionary, Specialty Retail)		14,133		8,157
JSE Limited (Financials, Capital Markets)		2,829		19,261
KAP Industrial Holdings Limited (Industrials, Industrial Conglomerates)		81,620		10,086
Kumba Iron Ore Limited (Materials, Metals & Mining)		1,825		49,288
Liberty Holdings Limited (Financials, Insurance)		4,991		17,745
Life Healthcare Group Holdings Limited (Health Care, Health Care Providers & Services)		42,610		44,262
Momentum Metropolitan Holdings Limited (Financials, Insurance)		34,263		33,643
Motus Holdings Limited (Consumer Discretionary, Specialty Retail)		4,995		7,899
Mr Price Group Limited (Consumer Discretionary, Specialty Retail)		7,230		53,815
MTN Group Limited (Communication Services, Wireless Telecommunication Services)		41,700		129,267
MultiChoice Group Limited (Communication Services, Media) †		12,949		63,977
Nedbank Group Limited (Financials, Banks)		9,057		51,263
Netcare Limited (Health Care, Health Care Providers & Services)		38,334		31,079

16

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
South Africa (continued)
Northam Platinum Limited (Materials, Metals & Mining) †		11,990	$	75,229
Pepkor Holdings Limited (Consumer Discretionary, Household Durables)		29,844		20,404
Pick’n Pay Stores Limited (Consumer Staples, Food & Staples Retailing)		14,125		42,885
PSG Group Limited (Financials, Diversified Financial Services)		6,637		61,133
Rand Merchant Investment Holdings Limited (Financials, Insurance)		39,218		60,996
Redefine Properties Limited (Real Estate, Equity REITs)		130,314		14,359
Remgro Limited (Financials, Diversified Financial Services)		17,923		141,653
Resilient REIT Limited (Real Estate, Equity REITs)		8,814		18,694
Reunert Limited (Industrials, Industrial Conglomerates)		6,113		15,125
RMB Holdings Limited (Financials, Diversified Financial Services)		27,509		83,789
Sanlam Limited (Financials, Insurance)		69,909		225,806
Santam Limited (Financials, Insurance)		1,591		24,474
Sappi Limited (Materials, Paper & Forest Products) †		19,591		28,273
Sasol Limited (Materials, Chemicals) †		8,923		46,719
Shoprite Holdings Limited (Consumer Staples, Food & Staples Retailing)		18,358		108,221
Sibanye Stillwater Limited (Materials, Metals & Mining) †		39,371		72,301
SPAR Group Limited (Consumer Staples, Food & Staples Retailing)		6,113		61,115
Standard Bank Group Limited (Financials, Banks)		39,461		229,687
Super Group Limited (Consumer Staples, Food & Staples Retailing) †		9,010		8,701
Telkom SA SOC Limited (Communication Services, Diversified Telecommunication Services)		8,086		8,177
The Bidvest Group Limited (Industrials, Industrial Conglomerates)		11,453		99,416
Tiger Brands Limited (Consumer Staples, Food Products)		6,989		62,512
Truworths International Limited (Consumer Discretionary, Specialty Retail)		10,287		18,381
Tsogo Sun Gaming Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		6,505		794
Vodacom Group Limited (Communication Services, Wireless Telecommunication Services)		16,596		119,355
Vukile Property Fund Limited REIT (Real Estate, Equity REITs)		24,079		8,486
Wilson Bayly Holmes Ovcon Limited (Industrials, Construction & Engineering)		2,634		14,377
Woolworths Holdings Limited (Consumer Discretionary, Multiline Retail)		29,248		48,335
				4,235,779
South Korea : 14.87%
AfreecaTV Company Limited (Communication Services, Interactive Media & Services)		440		21,002
Alteogen Incorporated (Health Care, Biotechnology) †		420		82,356
Amorepacific Corporation (Consumer Staples, Personal Products)		1,338		176,738
Amorepacific Group (Consumer Staples, Personal Products)		1,497		70,196
Ananti Incorporated (Consumer Discretionary, Hotels, Restaurants & Leisure) †		2,182		18,382
BGF Retail Company Limited (Consumer Staples, Food & Staples Retailing)		217		29,262
BH Company Limited (Information Technology, Electronic Equipment, Instruments & Components) †		1,082		15,354
BNK Financial Group Incorporated (Financials, Banks)		13,681		56,319
Celltrion Incorporated (Health Care, Pharmaceuticals) †		4,554		788,517
Chabiotech Company Limited (Health Care, Health Care Providers & Services) †		1,528		25,074
Cheil Worldwide Incorporated (Communication Services, Media)		3,193		42,924
Chong Kun Dang Pharmaceutical Corporation (Health Care, Pharmaceuticals)		262		20,013
CJ Cheiljedang Corporation (Consumer Staples, Food Products)		339		81,467
CJ Corporation (Industrials, Industrial Conglomerates)		547		40,723
CJ ENM Company Limited (Consumer Discretionary, Internet & Direct Marketing Retail)		579		56,850
CJ Korea Express Corporation (Industrials, Road & Rail) †		612		79,723
Com2us Corporation (Communication Services, Entertainment)		375		32,171
Cosmax Incorporated (Consumer Staples, Personal Products)		266		19,045
Coway Company Limited (Consumer Discretionary, Household Durables)		1,920		103,394
CrystalGenomics Incorporated (Health Care, Biotechnology) †		1,968		19,711
Daeduck Electronics Company Limited (Information Technology, Electronic Equipment, Instruments & Components) †		3,159		23,620
Daeduck Electronics Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		1,827		9,893
Daelim Industrial Company Limited (Industrials, Construction & Engineering)		1,261		94,362
Daesang Corporation (Consumer Staples, Food Products)		1,026		20,859
Daewoo Engineering & Construction Company Limited (Industrials, Construction & Engineering) †		8,706		27,040
Daewoo Shipbuilding & Marine Engineering Company Limited (Industrials, Machinery) †		1,345		23,805
Daewoong Company Limited (Health Care, Pharmaceuticals)		1,774		24,775
Daewoong Pharmaceutical Company (Health Care, Pharmaceuticals)		253		21,011
Daishin Securities Company Limited (Financials, Capital Markets)		1,227		9,854

17

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

	Shares		Value
South Korea (continued)
Daou Technology Incorporated (Financials, Capital Markets)		793	$	11,764
DB HiTek Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		1,446		33,685
Dentium Company Limited (Health Care, Health Care Equipment & Supplies) †		383		12,674
DGB Financial Group Incorporated (Financials, Banks)		8,036		34,297
Dong-A ST Company Limited (Health Care, Pharmaceuticals)		243		17,059
Dongbu Insurance Company Limited (Financials, Insurance)		2,450		86,146
Dongjin Semichem Company Limited (Materials, Chemicals)		1,389		20,190
Dongsuh Company Incorporated (Consumer Staples, Food & Staples Retailing)		2,019		27,276
Doosan Bobcat Incorporated (Industrials, Machinery)		1,851		35,554
Doosan Corporation (Industrials, Industrial Conglomerates)		1		30
Doosan Heavy Industries & Construction Company Limited (Industrials, Electrical Equipment) †		4,852		16,865
Doosan Infracore Company Limited (Industrials, Machinery) †		4,965		20,960
DoubleUGames Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		503		27,260
Douzone Bizon Company Limited (Information Technology, Software)		867		84,303
E-MART Incorporated (Consumer Staples, Food & Staples Retailing)		791		72,759
Ecopro BM Company Limited (Industrials, Electrical Equipment)		291		28,290
EO Technics Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		302		21,577
F&F Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		361		29,070
Fila Korea Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		1,946		60,738
G-treeBNT Company Limited (Health Care, Biotechnology) †		672		14,016
Genexine Company Limited (Health Care, Biotechnology) †		720		43,936
Grand Korea Leisure Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		1,005		12,156
Green Cross Corporation (Health Care, Biotechnology)		228		26,046
Green Cross Holdings Corporation (Health Care, Biotechnology)		1,350		23,342
GS Engineering & Construction Corporation (Industrials, Construction & Engineering)		2,990		69,216
GS Holdings Corporation (Energy, Oil, Gas & Consumable Fuels)		3,821		116,626
GS Home Shopping Incorporated (Consumer Discretionary, Internet & Direct Marketing Retail)		196		18,913
GS Retail Company Limited (Consumer Staples, Food & Staples Retailing)		1,140		39,286
Hana Financial Group Incorporated (Financials, Banks)		13,013		314,416
Hana Tour Service Incorporated (Consumer Discretionary, Hotels, Restaurants & Leisure)		395		13,023
Hanall Biopharma Company Limited (Health Care, Pharmaceuticals) †		1,539		33,439
Handsome Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		943		23,081
Hanjin Kal Corporation (Industrials, Airlines)		1,160		81,027
Hankook Tire Company Limited (Consumer Discretionary, Auto Components)		3,340		63,481
Hanmi Pharm Company Limited (Health Care, Pharmaceuticals)		259		49,751
Hanmi Science Company Limited (Health Care, Pharmaceuticals)		1,366		30,398
Hanon Systems (Consumer Discretionary, Auto Components)		6,589		51,954
Hansol Chemical Company Limited (Materials, Chemicals)		375		29,645
Hanssem Company Limited (Consumer Discretionary, Household Durables)		678		46,400
Hanwha Chem Corporation (Materials, Chemicals)		4,424		58,064
Hanwha Corporation (Industrials, Industrial Conglomerates)		1,983		32,361
Hanwha Life Insurance Company Limited (Financials, Insurance)		18,381		22,747
Hanwha Techwin Company Limited (Industrials, Aerospace & Defense) †		1,393		27,467
Harim Holdings Company Limited (Consumer Staples, Food Products)		3,063		17,609
HDC Holdings Company Limited (Industrials, Construction & Engineering)		1,892		14,560
HDC Hyundai Development Co-Engineering & Construction (Industrials, Construction & Engineering)		1,875		30,295
Hite Jinro Company Limited (Consumer Staples, Beverages)		1,387		40,350
HLB Life Science Company Limited (Health Care, Health Care Providers & Services) †		1,683		25,301
Hotel Shilla Company Limited (Consumer Discretionary, Specialty Retail)		1,402		90,108
Hugel Incorporated (Health Care, Biotechnology) †		112		33,462
Hyosung Corporation (Materials, Chemicals)		377		20,559
Hyundai Department Store Company Limited (Consumer Discretionary, Multiline Retail)		720		37,298
Hyundai Elevator Company (Industrials, Machinery)		776		39,798
Hyundai Engineering & Construction Company Limited (Industrials, Construction & Engineering)		2,945		81,666
Hyundai Glovis Company Limited (Industrials, Air Freight & Logistics)		842		77,094
Hyundai Greenfood Company Limited (Consumer Staples, Food & Staples Retailing)		2,811		18,879
Hyundai Heavy Industries Company Limited (Industrials, Machinery)		382		83,813
Hyundai Home Shopping Network Corporation (Consumer Discretionary, Internet & Direct Marketing Retail)		358		19,417
Hyundai Marine & Fire Insurance Company Limited (Financials, Insurance)		3,050		59,898
Hyundai Merchant Marine Company Limited (Industrials, Marine) †		11,199		42,929
Hyundai Mipo Dockyard Company Limited (Industrials, Machinery)		1,024		28,269

18

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
South Korea (continued)
Hyundai Mobis Company (Consumer Discretionary, Auto Components)		2,814	$	451,188
Hyundai Motor Company (Consumer Discretionary, Automobiles)		6,305		501,300
Hyundai Rotem Company (Industrials, Machinery) †		2,215		28,273
Hyundai Steel Company (Materials, Metals & Mining)		3,775		67,033
Hyundai Wia Corporation (Consumer Discretionary, Auto Components)		616		18,704
Iljin Materials Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		803		30,426
Industrial Bank of Korea (Financials, Banks)		12,030		80,800
Innocean Worldwide Incorporated (Communication Services, Media)		263		11,002
JB Financial Group Company Limited (Financials, Banks)		6,557		25,248
JYP Entertainment Corporation (Communication Services, Entertainment)		1,101		20,430
Kakao Corporation (Communication Services, Interactive Media & Services)		2,458		524,937
Kangwon Land Incorporated (Consumer Discretionary, Hotels, Restaurants & Leisure)		4,279		84,060
KB Financial Group Incorporated (Financials, Banks)		20,261		552,945
KEPCO Plant Service & Engineering Company Limited (Industrials, Commercial Services & Supplies)		708		17,699
Kia Motors Corporation (Consumer Discretionary, Automobiles)		10,289		286,101
Kiwoom Securities Company (Financials, Capital Markets)		412		26,372
KMW Company Limited (Information Technology, Communications Equipment) †		1,008		47,677
Koh Young Technology Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		446		33,763
Kolmar Korea Company Limited (Consumer Staples, Personal Products)		334		11,730
Kolon Industries Incorporated (Materials, Chemicals)		876		23,575
Korea Aerospace Industries Limited (Industrials, Aerospace & Defense)		3,999		82,201
Korea Electric Power Corporation (Utilities, Electric Utilities) †		14,634		256,608
Korea Gas Corporation (Utilities, Gas Utilities)		1,914		46,351
Korea Investment Holdings Company Limited (Financials, Capital Markets)		1,810		77,541
Korea Reinsurance Company (Financials, Insurance)		4,494		26,894
Korea Shipbuilding & Offshore Engineering Company Limited (Industrials, Machinery) †		1,842		135,854
Korea Zinc Company Limited (Materials, Metals & Mining)		514		157,422
Korean Air Lines Company Limited (Industrials, Airlines) †		2,841		47,815
KT Corporation (Communication Services, Diversified Telecommunication Services)		10,398		203,857
KT&G Corporation (Consumer Staples, Tobacco)		6,047		410,400
Kuk-il Paper Manufacturing Company Limited (Materials, Paper & Forest Products) †		3,582		17,684
Kumho Petrochemical Company Limited (Materials, Chemicals)		1,120		64,443
Kumho Tire Company Incorporated (Consumer Discretionary, Auto Components) †		5,769		13,750
L&F Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		895		17,149
LEENO Industrial Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		433		33,938
LG Chem Limited (Materials, Chemicals)		1,988		630,113
LG Corporation (Industrials, Industrial Conglomerates)		5,521		282,211
LG Display Company Limited (Information Technology, Electronic Equipment, Instruments & Components) †		9,541		79,189
LG Electronics Incorporated (Consumer Discretionary, Household Durables)		4,247		204,203
LG Household & Health Care Limited (Consumer Staples, Personal Products)		405		448,875
LG Innotek Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		563		67,455
LG Uplus Corporation (Communication Services, Diversified Telecommunication Services)		11,503		122,510
Lotte Chemical Corporation (Materials, Chemicals)		754		114,981
Lotte Corporation (Industrials, Industrial Conglomerates)		3,184		88,354
LOTTE Fine Chemical Company Limited (Materials, Chemicals)		720		22,092
Lotte Shopping Company Limited (Consumer Discretionary, Multiline Retail)		409		29,517
LS Corporation (Industrials, Electrical Equipment)		1,172		35,537
LS Industrial Systems Company Limited (Industrials, Electrical Equipment)		630		23,260
Mando Corporation (Consumer Discretionary, Auto Components)		1,100		23,831
Medipost Company Limited (Health Care, Health Care Providers & Services) †		593		13,556
Medy-Tox Incorporated (Health Care, Biotechnology)		213		29,250
Meritz Financial Group Incorporated (Financials, Diversified Financial Services)		1,848		15,025
Meritz Fire & Marine Insurance Company Limited (Financials, Insurance)		2,180		25,645
Meritz Securities Company Limited (Financials, Capital Markets)		14,336		38,212
Mirae Asset Daewoo Company Limited (Financials, Capital Markets)		20,175		101,136
Mirae Asset Life Insurance Company Limited (Financials, Insurance)		4,423		10,920
Naver Corporation (Communication Services, Interactive Media & Services)		7,125		1,303,081
NCsoft Corporation (Communication Services, Entertainment)		764		488,029

19

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

	Shares		Value
South Korea (continued)
NEPES Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		771	$	20,420
NH Investment & Securities Company Limited (Financials, Capital Markets)		5,172		40,865
NHN Entertainment Corporation (Communication Services, Entertainment) †		554		39,142
Nice Information Service Company (Industrials, Professional Services)		1,460		21,523
NongShim Company Limited (Consumer Staples, Food Products)		183		46,662
OIC Company Limited (Materials, Chemicals) †		885		28,303
Orion Corporation of Republic of Korea (Consumer Staples, Food Products)		1,137		121,248
Osstem Implant Company Limited (Health Care, Health Care Equipment & Supplies) †		427		10,795
Ottogi Corporation (Consumer Staples, Food Products)		103		45,950
Pan Ocean Company Limited (Industrials, Marine) †		12,639		36,667
Paradise Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		2,108		24,859
Partron Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		2,030		14,101
Pearl Abyss Corporation (Communication Services, Entertainment) †		319		52,722
Pharmicell Company Limited (Health Care, Biotechnology) †		2,660		51,770
POSCO (Materials, Metals & Mining)		3,820		562,005
POSCO Chemtech Company Limited (Materials, Construction Materials)		998		44,966
Posco International Corporation (Industrials, Trading Companies & Distributors)		1,174		15,217
S-Oil Corporation (Energy, Oil, Gas & Consumable Fuels)		1,694		97,230
S1 Corporation Incorporated (Industrials, Commercial Services & Supplies)		946		71,192
Sam Chun Dang Pharmaceutical Company Limited (Health Care, Pharmaceuticals)		647		21,792
Samsung C&T Corporation (Industrials, Industrial Conglomerates)		5,066		407,137
Samsung Card Company Limited (Financials, Consumer Finance)		1,381		33,028
Samsung Electro-Mechanics Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		2,281		231,468
Samsung Electronics Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		222,778		9,175,350
Samsung Engineering Company Limited (Industrials, Construction & Engineering) †		5,891		57,875
Samsung Fire & Marine Insurance (Financials, Insurance)		1,565		231,258
Samsung Life Insurance Company Limited (Financials, Insurance)		4,522		167,670
Samsung SDI Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		2,334		679,581
Samsung SDS Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		1,673		258,377
Samsung Securities Company Limited (Financials, Capital Markets)		2,652		60,205
Seegene Incorporated (Health Care, Biotechnology)		1,188		112,343
Seoul Semiconductor Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		1,488		16,810
SFA Engineering Corporation (Information Technology, Electronic Equipment, Instruments & Components)		871		24,983
Shinhan Financial Group Company Limited (Financials, Banks)		20,521		501,571
Shinsegae Company Limited (Consumer Discretionary, Multiline Retail)		291		57,763
Shinsegae International Company Limited (Consumer Discretionary, Specialty Retail)		122		19,305
Sillajen Incorporated (Health Care, Biotechnology) †(a)		2,972		29,037
SK Chemicals Company Limited (Materials, Chemicals)		372		27,713
SK Company Limited (Industrials, Industrial Conglomerates)		2,254		437,015
SK Hynix Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		25,213		1,671,938
SK Innovation Company Limited (Energy, Oil, Gas & Consumable Fuels)		2,523		242,968
SK Materials Company Limited (Materials, Chemicals)		186		24,397
SK Networks Company Limited (Industrials, Trading Companies & Distributors)		6,148		25,838
SK Telecom Company Limited (Communication Services, Wireless Telecommunication Services)		2,484		433,834
SKC Company Limited (Materials, Chemicals)		832		38,525
SM Entertainment Company (Communication Services, Entertainment) †		737		15,548
Soulbrain Company Limited (Materials, Chemicals)		417		27,312
Ssangyong Cement Industrial Company Limited (Materials, Construction Materials)		4,976		20,425
Studio Dragon Corporation (Communication Services, Entertainment) †		386		23,801
Taeyoung Engineering & Construction Company Limited (Industrials, Construction & Engineering)		1,621		20,375
Wonik IPS Company Limited (Information Technology, Semiconductors & Semiconductor Equipment) †		1,141		30,120
Woori Financial Group Incorporated (Financials, Banks)		22,950		169,352
Young Poong Corporation (Materials, Metals & Mining)		17		7,018
Youngone Corporation (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		988		24,544
Yuhan Corporation (Health Care, Pharmaceuticals)		2,149		90,412

20

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
South Korea (continued)
Yungjin Pharmaceutical Company (Health Care, Pharmaceuticals) †		4,205	$	17,952
				30,089,462
Taiwan : 16.47%
Accton Technology Corporation (Information Technology, Communications Equipment)		21,000		169,272
Acer Incorporated (Information Technology, Technology Hardware, Storage & Peripherals)		137,000		74,726
Advantech Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		18,000		178,599
Aerospace industrial Development Corporation (Industrials, Aerospace & Defense)		22,000		21,510
Airtac International Group (Industrials, Machinery)		6,000		103,442
Alchip Technologies Limited (Information Technology, Semiconductors & Semiconductor Equipment)		3,000		30,096
Arcadyan Technology Corporation (Information Technology, Communications Equipment)		8,000		22,544
ASE Technology Holding Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		141,000		290,164
Asia Cement Corporation (Materials, Construction Materials)		105,000		152,564
Asia Optical Company Incorporated (Information Technology, Electronic Equipment, Instruments & Components)		10,000		22,903
Asia Pacific Telecom Company Limited (Communication Services, Diversified Telecommunication Services) †		123,000		26,683
ASMedia Technology Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		1,000		37,956
Asustek Computer Incorporated (Information Technology, Technology Hardware, Storage & Peripherals)		35,000		245,734
AU Optronics Corporation (Information Technology, Electronic Equipment, Instruments & Components)		363,000		92,090
Capital Securities Corporation (Financials, Capital Markets)		127,700		42,475
Career Technology Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		16,840		14,930
Catcher Technology Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		34,000		247,789
Cathay Financial Holding Company (Financials, Insurance)		390,000		521,134
Cathay No.1 REIT (Real Estate, Equity REITs)		78,043		44,225
Cathay No.2 REIT (Real Estate, Equity REITs)		34,500		20,267
Cathay Real Estate Development Company Limited (Real Estate, Real Estate Management & Development)		20,000		13,310
Chailease Holding Company Limited (Financials, Diversified Financial Services)		54,211		211,301
Chang Hwa Commercial Bank (Financials, Banks)		303,105		190,350
Cheng Loong Corporation (Materials, Containers & Packaging)		49,000		38,514
Cheng Shin Rubber Industry Company Limited (Consumer Discretionary, Auto Components)		104,000		113,928
Cheng Uei Precision Industry Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		13,000		15,797
Chicony Electronics Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		28,335		81,297
Chilisin Electronics Corporation (Information Technology, Electronic Equipment, Instruments & Components)		7,225		23,102
Chin Poon Industrial Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		24,000		19,140
China Airlines (Industrials, Airlines)		129,000		35,287
China Bills Finance Corporation (Financials, Capital Markets)		41,535		20,210
China Development Financial Holding Corporation (Financials, Insurance)		621,000		188,566
China Life Insurance Company - Taiwan Exchange (Financials, Insurance) †		131,000		90,734
China Petrochemical Development Corporation (Materials, Chemicals)		132,350		36,558
China Steel Chemical Corporation (Materials, Chemicals)		6,000		20,015
China Steel Corporation (Materials, Metals & Mining)		567,000		374,105
ChipMOS Technologies Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		20,000		20,648
Chong Hong Construction Company Limited (Real Estate, Real Estate Management & Development)		11,000		30,686
Chroma ATE Incorporated (Information Technology, Electronic Equipment, Instruments & Components)		18,000		78,873
Chunghwa Telecom Company Limited (Communication Services, Diversified Telecommunication Services)		205,000		754,820
Cleanaway Company Limited (Industrials, Commercial Services & Supplies)		4,000		20,608
Clevo Company (Information Technology, Technology Hardware, Storage & Peripherals)		26,000		25,133

21

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

	Shares		Value
Taiwan (continued)
Compal Electronic Incorporated (Information Technology, Technology Hardware, Storage & Peripherals)		180,000	$	114,635
Compeq Manufacturing Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		49,000		68,866
CTBC Financial Holding Company Limited (Financials, Banks)		895,000		596,546
CTCI Corporation (Industrials, Construction & Engineering)		26,000		29,397
Cub Elecparts Incorporated (Consumer Discretionary, Auto Components)		3,011		15,180
Delta Electronics Incorporated (Information Technology, Electronic Equipment, Instruments & Components)		92,000		423,550
E.SUN Financial Holding Company Limited (Financials, Banks)		510,764		454,845
Eclat Textile Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		9,000		92,730
Elan Microelectronics Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		12,100		40,439
Elite Material Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		12,000		59,126
Ennoconn Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		2,000		12,896
EnTie Commercial Bank (Financials, Banks)		41,183		19,615
Epistar Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		42,000		50,548
Eternal Chemical Company Limited (Materials, Chemicals)		40,453		43,157
Eva Airways Corporation (Industrials, Airlines)		115,869		42,497
Evergreen Marine Corporation (Taiwan) Limited (Industrials, Marine) †		170,850		62,179
Everlight Electronics Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		20,000		20,707
Far Eastern Department Stores Company Limited (Consumer Discretionary, Multiline Retail)		48,000		38,407
Far Eastern International Bank (Financials, Banks)		176,259		62,350
Far Eastern New Century Corporation (Industrials, Industrial Conglomerates)		165,000		148,080
Far EasTone Telecommunications Company Limited (Communication Services, Wireless Telecommunication Services)		86,000		185,675
Feng Hsin Iron & Steel Company (Materials, Metals & Mining)		26,506		46,018
Feng Tay Enterprise Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		22,400		135,462
First Financial Holding Company Limited (Financials, Banks)		466,503		355,755
Flexium Interconnect Incorporated (Information Technology, Electronic Equipment, Instruments & Components)		13,000		47,216
Formosa Chemicals & Fibre Corporation (Materials, Chemicals)		188,000		451,691
Formosa Plastics Corporation (Materials, Chemicals)		204,000		564,914
Formosa Taffeta Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		39,000		44,470
Foxconn Technology Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		40,000		72,028
Foxsemicon Integrated Technology Incorporated H Shares (Information Technology, Semiconductors & Semiconductor Equipment)		3,000		16,452
Fubon Financial Holding Company Limited (Financials, Insurance)		320,000		452,838
Fulgent Sun International Holding Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		6,000		20,013
Fusheng Precision Company Limited (Consumer Discretionary, Leisure Products)		6,000		34,829
General Interface Solution Holding Limited (Information Technology, Electronic Equipment, Instruments & Components)		9,000		34,146
Genius Electronic Optical Company (Information Technology, Electronic Equipment, Instruments & Components)		4,000		64,612
Getac Technology Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		17,000		24,808
Giant Manufacturing Company Limited (Consumer Discretionary, Leisure Products)		15,000		117,650
Gigabyte Technology Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		28,000		55,145
Global Unichip Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		3,000		23,143
Goldsun Development & Construction Company Limited (Materials, Construction Materials)		58,000		27,023
Gourmet Master Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		4,936		18,235
Grand Pacific Petrochemical Corporation (Materials, Chemicals) †		59,000		27,790
Grape King Bio Limited (Consumer Staples, Personal Products)		5,000		31,498
Great Taipei Gas Company Limited (Utilities, Gas Utilities)		20,000		19,991
Great Wall Enterprises Company Limited (Consumer Staples, Food Products)		40,377		57,886
Greatek Electronic Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		12,000		18,009

22

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Taiwan (continued)
Hannstar Board Corporation (Information Technology, Electronic Equipment, Instruments & Components)		13,000	$	16,842
Hannstar Display Corporation (Information Technology, Electronic Equipment, Instruments & Components)		133,000		26,172
Hey Song Corporation (Consumer Staples, Beverages)		29,428		31,422
Highwealth Construction Corporation (Real Estate, Real Estate Management & Development)		36,000		53,271
Hiwin Technologies Corporation (Industrials, Machinery)		10,376		106,433
Holtek Semiconductor Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		9,000		19,346
Holy Stone Enterprise Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		7,000		29,034
Hon Hai Precision Industry Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		510,400		1,291,257
Hota Industrial Manufacturing Company Limited (Consumer Discretionary, Auto Components)		10,000		31,050
Hotai Motor Company Limited (Consumer Discretionary, Specialty Retail)		17,000		304,912
Hua Nan Financial Holdings Company Limited Class C (Financials, Banks)		455,574		295,995
Huaku Development Company Limited (Real Estate, Real Estate Management & Development)		11,000		34,845
Hung Sheng Construction Company Limited (Real Estate, Real Estate Management & Development)		37,960		21,650
IBF Financial Holdings Company Limited (Financials, Capital Markets)		109,762		41,404
Innolux Display Corporation (Information Technology, Electronic Equipment, Instruments & Components)		378,000		78,509
International CSRC Investment Holdings Company Limited (Materials, Chemicals)		40,206		27,062
Inventec Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		149,000		121,170
ITEQ Corporation (Information Technology, Electronic Equipment, Instruments & Components)		10,000		45,129
Jentech Precision Industrial Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		3,000		24,996
Kenda Rubber Industrial Company Limited (Consumer Discretionary, Auto Components)		34,875		33,621
King Slide Works Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		3,000		32,508
King Yuan Electronics Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		44,000		44,231
King’s Town Bank Company Limited (Financials, Banks)		46,000		47,748
Kinpo Electronics Incorporated (Consumer Discretionary, Household Durables)		51,000		19,399
Kinsus Interconnect Technology Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		13,000		20,906
Lien Hwa Industrial Corporation (Consumer Staples, Food Products)		47,100		64,800
Lite-On Technology Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		101,000		162,086
LOTES Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		3,000		40,416
Machvision Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		2,000		21,889
Macronix International Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		68,536		73,609
Makalot Industrial Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		8,800		42,308
Mediatek Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		62,000		957,252
Mega Financial Holding Company Limited (Financials, Banks)		544,000		558,897
Mercuries Life Insurance Company (Financials, Insurance) †		68,302		20,961
Merida Industry Company Limited (Consumer Discretionary, Leisure Products)		10,000		60,025
Merry Electronics Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		9,000		40,681
Micro-Star International Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		35,000		118,090
Mitac Holdings Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		31,754		34,286
Momo.com Incorporated (Consumer Discretionary, Internet & Direct Marketing Retail)		2,000		38,002
Nan Kang Rubber Tire Company Limited (Consumer Discretionary, Auto Components)		24,000		31,448
Nan Ya Plastics Corporation (Materials, Chemicals)		249,000		522,818
Nanya Technology Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		43,000		86,055
Nien Made Enterprise Company Limited (Consumer Discretionary, Household Durables)		6,000		51,561
Novatek Microelectronics Corporation Limited (Information Technology, Semiconductors & Semiconductor Equipment)		24,000		164,329
Oriental Union Chemical Corporation (Materials, Chemicals)		16,000		8,920
Pegatron Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		91,000		195,865

23

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

	Shares		Value
Taiwan (continued)
Pharmally International Holding Company Limited (Health Care, Pharmaceuticals)		4,128	$	20,868
Pou Chen Corporation (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		105,000		103,548
Powertech Technology Incorporated (Information Technology, Semiconductors & Semiconductor Equipment)		29,000		93,921
President Chain Store Corporation (Consumer Staples, Food & Staples Retailing)		25,000		246,316
President Securities Corporation (Financials, Capital Markets)		59,000		25,792
Primax Electronics Limited (Information Technology, Technology Hardware, Storage & Peripherals)		16,000		24,791
Prince Housing & Development Corporation (Real Estate, Real Estate Management & Development)		62,800		20,201
Qisda Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		61,000		33,792
Quanta Computer Incorporated (Information Technology, Technology Hardware, Storage & Peripherals)		122,000		284,993
Radiant Opto-Electronics Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		19,000		65,412
Realtek Semiconductor Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		22,000		190,028
Ruentex Development Company Limited (Real Estate, Real Estate Management & Development)		29,880		45,606
Ruentex Industries Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		20,000		43,568
Run Long Construction Company Limited (Industrials, Construction & Engineering)		7,000		14,316
Sanyang Industry Company Limited (Consumer Discretionary, Automobiles)		32,000		22,307
Sercomm Corporation (Information Technology, Communications Equipment)		11,000		26,356
Shihlin Electric & Engineering Corporation (Industrials, Electrical Equipment)		18,085		27,494
Shin Kong Financial Holding Company Limited (Financials, Insurance)		548,000		152,608
Shin Kong No.1 REIT (Real Estate, Equity REITs)		57,263		36,046
Shin Zu Shing Company Limited (Industrials, Machinery)		7,000		31,707
Shinkong Synthetic Fibers Corporation (Materials, Chemicals)		66,000		23,770
Sigurd Microelectronics Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		15,000		18,736
Sinbon Electronics Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		10,000		50,328
Sinopac Financial Holdings Company Limited (Financials, Banks)		531,400		209,486
Sitronix Technology Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		5,000		25,434
Standard Foods Corporation (Consumer Staples, Food Products)		25,000		52,904
Synnex Technology International Corporation (Information Technology, Electronic Equipment, Instruments & Components)		60,000		88,836
Systex Corporation (Information Technology, IT Services)		12,000		32,413
Ta Chen Stainless Pipe Company (Materials, Metals & Mining)		42,840		38,337
Taichung Commercial Bank (Financials, Banks)		151,685		57,725
Tainan Spinning Company Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		95,000		29,142
Taishin Financial Holdings Company Limited (Financials, Banks)		464,481		201,657
Taiwan Business Bank (Financials, Banks)		288,171		101,922
Taiwan Cement Corporation (Materials, Construction Materials)		240,896		342,000
Taiwan Cogeneration Corporation (Utilities, Independent Power & Renewable Electricity Producers)		19,000		23,935
Taiwan Cooperative Financial Holdings Company Limited (Financials, Banks)		444,315		302,713
Taiwan Fertilizer Company Limited (Materials, Chemicals)		32,000		52,196
Taiwan Glass Industrial Corporation (Industrials, Building Products)		75,000		22,020
Taiwan High Speed Rail Corporation (Industrials, Transportation Infrastructure)		130,000		163,326
Taiwan Hon Chuan Enterprise Company Limited (Materials, Containers & Packaging)		15,000		26,778
Taiwan Mobile Company Limited (Communication Services, Wireless Telecommunication Services)		104,000		372,144
Taiwan Paiho Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		11,000		25,135
Taiwan Secom Company Limited (Industrials, Commercial Services & Supplies)		13,000		37,086
Taiwan Semiconductor Manufacturing Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		1,054,000		10,246,219
Taiwan Shin Kong Security Company (Industrials, Commercial Services & Supplies)		20,056		24,130
Taiwan Surface Mounting Technology Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		12,000		46,003
TECO Electric & Machinery Company Limited (Industrials, Electrical Equipment)		93,000		87,449
The Shanghai Commercial & Savings Bank Limited (Financials, Banks)		190,000		271,671
Tong Hsing Electronic Industries Limited (Information Technology, Electronic Equipment, Instruments & Components)		4,000		17,717
Tong Yang Industry Company Limited (Consumer Discretionary, Auto Components)		22,000		26,817
Topco Scientific Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		7,000		24,321

24

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Taiwan (continued)
TPK Holding Company Limited (Information Technology, Electronic Equipment, Instruments & Components) †		18,000	$	25,517
Transcend Information Incorporated (Information Technology, Technology Hardware, Storage & Peripherals)		9,000		21,085
Tripod Technology Corporation (Information Technology, Electronic Equipment, Instruments & Components)		20,000		75,208
TSRC Corporation (Materials, Chemicals)		29,000		15,719
Tung Ho Steel Enterprise Corporation (Materials, Metals & Mining)		39,000		31,128
TXC Corporation (Information Technology, Electronic Equipment, Instruments & Components)		13,000		25,485
U-Ming Marine Transport Corporation (Industrials, Marine)		27,000		26,162
Uni-President Enterprises Corporation (Consumer Staples, Food Products)		244,000		592,247
Unimicron Technology Corporation (Information Technology, Electronic Equipment, Instruments & Components)		53,000		71,205
Union Bank of Taiwan (Financials, Banks) †		154,382		55,913
Unitech Printed Circuit Board Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		26,000		19,701
United Integrated Services Company Limited (Industrials, Construction & Engineering)		8,000		56,148
United Microelectronics Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		474,000		244,661
United Renewable Energy Company Limited (Information Technology, Semiconductors & Semiconductor Equipment) †		102,000		20,432
Visual Photonics Epitaxy Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		7,000		19,662
Voltronic Power Technology Corporation (Industrials, Electrical Equipment)		3,200		81,797
Walsin Lihwa Corporation (Industrials, Electrical Equipment)		124,000		57,564
Walsin Technology Corporation (Information Technology, Electronic Equipment, Instruments & Components)		14,000		87,497
Wan Hai Lines Limited (Industrials, Marine)		66,000		35,917
Windbond Electronics Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		109,000		50,185
Wistron Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		119,607		114,032
Wistron Neweb Corporation (Information Technology, Communications Equipment)		12,599		26,606
Wiwynn Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		4,000		107,186
WPG Holdings Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		69,440		90,906
WT Microelectronics Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		24,000		29,892
Yageo Corporation (Information Technology, Electronic Equipment, Instruments & Components)		10,566		131,122
YFY Incorporated (Materials, Paper & Forest Products)		69,000		30,341
Yieh Phui Enterprise Company Limited (Materials, Metals & Mining)		93,013		25,780
Yuanta Financial Holding Company Limited (Financials, Diversified Financial Services)		517,000		280,546
Yulon Finance Corporation (Financials, Consumer Finance)		6,100		20,347
Yulon Motor Company Limited (Consumer Discretionary, Automobiles)		36,000		23,808
Zhen Ding Technology Holding (Information Technology, Electronic Equipment, Instruments & Components)		24,000		95,918
				33,340,079
Thailand : 3.84%
Advanced Info Service PCL (Communication Services, Wireless Telecommunication Services)		51,700		312,982
Aeon Thana Sinsap PCL (Financials, Consumer Finance)		3,300		14,723
Airports of Thailand PCL (Industrials, Transportation Infrastructure)		179,200		350,246
Amata Corporation PCL (Real Estate, Real Estate Management & Development)		42,500		19,453
AP Thailand PCL (Real Estate, Real Estate Management & Development)		110,600		19,351
B.Grimm PCL (Utilities, Independent Power & Renewable Electricity Producers)		35,700		59,286
Bangchak Corporation PCL (Energy, Oil, Gas & Consumable Fuels)		40,600		28,283
Bangkok Bank PCL (Financials, Banks)		58,900		202,627
Bangkok Chain Hospital PCL (Health Care, Health Care Providers & Services)		37,900		17,304
Bangkok Dusit Medical Services PCL (Health Care, Health Care Providers & Services)		470,100		332,526
Bangkok Expressway and Metro PCL (Industrials, Transportation Infrastructure)		363,300		112,820
Bangkok Insurance PCL (Financials, Insurance)		4,146		35,855
Bangkok Life Assurance PCL (Financials, Insurance)		57,800		27,314
Bangkokland PCL (Real Estate, Real Estate Management & Development)		585,100		19,349

25

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

	Shares		Value
Thailand (continued)
Bank of Ayudhya PCL (Financials, Banks)		85,100	$	60,039
Banpu PCL (Energy, Oil, Gas & Consumable Fuels)		116,300		22,880
Berli Jucker PCL (Consumer Staples, Food & Staples Retailing)		63,000		84,289
BTS Group Holdings PCL (Industrials, Road & Rail)		406,500		154,841
Bumrungrad Hospital PCL (Health Care, Health Care Providers & Services)		18,600		70,229
Carabao Group PCL (Consumer Staples, Beverages)		20,800		63,667
Central Plaza Hotel PCL (Consumer Discretionary, Hotels, Restaurants & Leisure)		55,500		43,528
CH Karnchang PCL (Industrials, Construction & Engineering)		51,000		26,683
Charoen Pokphand Foods PCL (Consumer Staples, Food Products)		251,500		249,709
Chularat Hospital PCL (Health Care, Health Care Providers & Services)		189,900		15,434
Com7 PCL (Consumer Discretionary, Specialty Retail)		29,700		22,960
CP All PCL (Consumer Staples, Food & Staples Retailing)		272,900		606,083
Delta Electronics Thailand PCL (Information Technology, Electronic Equipment, Instruments & Components)		26,100		45,249
Electricity Genera PCL (Utilities, Independent Power & Renewable Electricity Producers)		11,100		96,509
Energy Absolute PCL (Utilities, Independent Power & Renewable Electricity Producers)		110,700		135,977
GFPT PCL (Consumer Staples, Food Products)		62,900		23,581
Global Power Synergy PCL (Utilities, Independent Power & Renewable Electricity Producers)		70,700		167,962
Gulf Energy Development PCL (Utilities, Independent Power & Renewable Electricity Producers)		197,500		234,549
Gunkul Engineering PCL (Industrials, Electrical Equipment)		160,800		14,383
Hana Microelectronics PCL (Information Technology, Electronic Equipment, Instruments & Components)		26,000		24,589
Home Product Center PCL (Consumer Discretionary, Specialty Retail)		271,900		127,098
Impact Growth REIT (Real Estate, Equity REITs)		30,800		17,235
Indorama Ventures PCL (Materials, Chemicals)		83,200		74,815
Intouch Holdings PCL (Communication Services, Wireless Telecommunication Services)		109,400		185,333
IRPC PCL (Energy, Oil, Gas & Consumable Fuels)		401,800		34,233
Jasmine International PCL (Communication Services, Diversified Telecommunication Services)		183,700		21,649
Kasikornbank PCL - Non-voting (Financials, Banks)		75,700		229,540
KCE Electronics PCL (Information Technology, Electronic Equipment, Instruments & Components)		35,200		20,743
Kiatnakin Bank PCL (Financials, Banks)		34,200		45,803
Krung Thai Bank PCL (Financials, Banks)		680,100		223,016
Krungthai Card PCL (Financials, Consumer Finance)		37,500		45,570
Land & Houses PCL (Real Estate, Real Estate Management & Development)		331,500		76,306
Major Cineplex Group PCL (Communication Services, Entertainment)		25,200		13,544
MBK PCL (Real Estate, Real Estate Management & Development)		41,700		19,959
Minor International PCL (Consumer Discretionary, Hotels, Restaurants & Leisure) †		144,100		84,381
MK Restaurants Group PCL (Consumer Discretionary, Hotels, Restaurants & Leisure)		11,600		20,845
Muangthai Leasing PCL (Financials, Consumer Finance)		28,800		50,678
Osotspa PCL (Consumer Staples, Beverages)		82,200		110,180
Plan B Media PCL (Communication Services, Media)		91,300		15,847
Pruksa Holding PCL (Real Estate, Real Estate Management & Development)		36,900		13,830
PTG Energy PCL (Consumer Discretionary, Specialty Retail)		37,600		17,432
PTT Global Chemical PCL (Materials, Chemicals)		95,100		128,924
PTT PCL (Energy, Oil, Gas & Consumable Fuels)		537,700		601,710
Quality Houses PCL (Real Estate, Real Estate Management & Development)		330,000		22,453
Ramkamhaeng Hospital PCL (Health Care, Health Care Providers & Services)		5,300		23,244
Ratchaburi Electricity Generating Holding PCL (Utilities, Independent Power & Renewable Electricity Producers)		34,600		76,205
Sansiri PCL (Real Estate, Real Estate Management & Development)		424,900		10,452
Siam City Cement PCL (Materials, Construction Materials)		3,200		12,691
Siam Commercial Bank PCL (Financials, Banks)		114,800		268,160
Siam Global House PCL (Consumer Discretionary, Specialty Retail)		85,290		39,279
Sino Thai Engineering & Construction PCL (Industrials, Construction & Engineering)		46,700		22,527
Sri Trang Agro-Industry PCL (Consumer Discretionary, Auto Components)		48,300		40,321
Srisawad Power 1979 PCL (Financials, Diversified Financial Services)		39,240		70,528
Star Petroleum Refining PCL (Energy, Oil, Gas & Consumable Fuels)		90,100		19,192
STARK Corporation PCL (Communication Services, Media) †		321,600		20,220
Supalai PCL (Real Estate, Real Estate Management & Development)		62,300		29,029
Thai Oil PCL (Energy, Oil, Gas & Consumable Fuels)		43,700		59,356
Thai President Foods PCL (Consumer Staples, Food Products)		7,000		44,451
Thai Union Group PCL (Consumer Staples, Food Products)		222,400		95,891
Thai Vegetable Oil PCL (Consumer Staples, Food Products)		33,000		27,517

26

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Thailand (continued)
Thanachart Capital PCL (Financials, Banks)		44,500	$	51,163
The Siam Cement PCL (Materials, Construction Materials)		36,600		395,430
Thonburi Healthcare Group PCL (Health Care, Health Care Providers & Services)		14,500		9,627
Tipco Asphalt PCL (Materials, Construction Materials)		55,400		38,416
Tisco Financial Group PCL (Financials, Banks)		29,700		70,262
TMB Bank PCL (Financials, Banks)		1,996,500		72,490
TOA Paint Thailand PCL (Materials, Chemicals)		29,600		32,905
Total Access Communication PCL (Communication Services, Wireless Telecommunication Services)		34,200		47,696
TPI Polene PCL (Materials, Construction Materials)		427,900		15,739
TPI Polene Power PCL (Utilities, Independent Power & Renewable Electricity Producers)		86,700		10,966
True Corporation PCL (Communication Services, Diversified Telecommunication Services)		947,000		109,949
TTW PCL (Utilities, Water Utilities)		55,100		23,737
VGI Global Media PCL (Communication Services, Media)		123,000		30,840
Vibhavadi Medical Center PCL (Health Care, Health Care Providers & Services)		232,305		11,830
WHA Corporation PCL (Real Estate, Real Estate Management & Development)		390,100		39,162
WHA Premium Growth Freehold & Leasehold REIT (Real Estate, Equity REITs)		75,800		40,986
				7,776,645
Turkey : 0.64%
Akbank TAS (Financials, Banks) †		119,587		99,670
Anadolu Efes Biracilik ve Malt Sanayii AS (Consumer Staples, Beverages)		8,296		22,552
Arcelik AS (Consumer Discretionary, Household Durables) †		6,384		14,777
Aselsan Elektronik Sanayi ve Ticaret AS (Industrials, Aerospace & Defense)		13,187		58,399
Bim Birlesik Magazalar AS (Consumer Staples, Food & Staples Retailing)		17,370		165,625
Coca-Cola Icecek Uretim AS (Consumer Staples, Beverages)		3,240		19,233
Emlak Konut Gayrimenkul Yati AS (Real Estate, Equity REITs)		85,452		18,406
Enka Insaat ve Sanayi AS (Industrials, Industrial Conglomerates)		70,483		56,799
Eregli Demir ve Celik Fabrikalari TAS (Materials, Metals & Mining)		69,993		82,532
Ford Otomotiv Sanayi AS (Consumer Discretionary, Automobiles)		2,865		26,024
Haci Omer Sabanci Holding AS (Financials, Diversified Financial Services)		53,335		64,849
Koc Holding AS (Industrials, Industrial Conglomerates)		40,586		95,959
Koza Altin Isletmeleri AS (Materials, Metals & Mining) †		1,107		11,968
Pegasus Hava Tasimaciligi AS (Industrials, Airlines) †		1,352		11,887
Petkim Petrokimya Holding AS (Materials, Chemicals) †		41,737		21,566
Soda Sanayii AS (Materials, Chemicals)		16,853		13,941
Sok Marketler Ticaret AS (Consumer Staples, Food & Staples Retailing) †		5,656		9,727
TAV Havalimanlari Holding AS (Industrials, Transportation Infrastructure)		5,037		15,034
Tekfen Holding AS (Industrials, Construction & Engineering)		8,936		18,306
Tofas Turk Otomobil Fabrikasi AS (Consumer Discretionary, Automobiles)		3,439		11,203
Tupras Turkiye Petrol Rafinerileri AS (Energy, Oil, Gas & Consumable Fuels) †		4,010		50,440
Turk Hava Yollari Anonim Ortakligi AS (Industrials, Airlines) †		30,793		56,640
Turk Sise ve Cam Fabrikalari AS (Industrials, Industrial Conglomerates)		23,911		16,952
Turk Telekomunikasyon AS (Communication Services, Diversified Telecommunication Services) †		23,849		25,863
Turkcell Iletisim Hizmetleri AS (Communication Services, Wireless Telecommunication Services)		40,706		84,576
Turkiye Garanti Bankasi AS (Financials, Banks) †		88,005		100,925
Turkiye Halk Bankasi AS (Financials, Banks) †		17,206		13,435
Turkiye Is Bankasi Class C AS (Financials, Banks) †		52,167		37,824
Turkiye Vakiflar Bankasi TAO AS (Financials, Banks) †		36,242		24,785
Ulker Biskuvi Sanayi AS (Consumer Staples, Food Products) †		7,534		26,044
Yapi Ve Kredi Bankasi AS (Financials, Banks) †		51,468		17,576
				1,293,517
United States : 0.03%
BizLink Holding Incorporated (Industrials, Electrical Equipment)		6,000		39,473
Nexteer Automotive Group Limited (Consumer Discretionary, Auto Components)		36,000		19,769
				59,242
Total Common Stocks (Cost $201,420,304)				187,856,047

27

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

	Interest rate			Maturity date		Principal		Value
Foreign Corporate Bonds and Notes : 0.00%
India : 0.00%
Britannia Industries Limited (Consumer Staples, Food Products )		8.00	%		8-28-2022	INR	229,650		3,103
Total Foreign Corporate Bonds and Notes (Cost $3,261)									3,103
	Dividend yield					Shares
Preferred Stocks : 1.91%
Brazil : 1.78%
Alpargatas SA (Consumer Staples, Personal Products)		0.27					7,740		36,015
Azul SA (Industrials, Transportation Infrastructure) †		0.00					13,800		36,929
Banco Bradesco SA (Financials, Banks)		12.96					179,756		638,340
Banco do Estado do Rio Grande do Sul SA Class B (Financials, Banks)		8.70					8,700		20,445
Banco Inter SA (Financials, Banks)		0.86					11,800		25,651
Banco Santander Brasil SA (Financials, Banks)		15.86					18,400		42,101
Bradespar SA (Materials, Metals & Mining)		3.01					10,900		72,002
Braskem SA Class A (Materials, Chemicals)		3.97					6,010		31,242
Companhia de Saneamento do Parana (Utilities, Water Utilities)		5.76					41,220		41,094
Companhia de Transmissao de Energia Electrica Paulista (Utilities, Electric Utilities)		10.65					6,420		25,024
Companhia Energetica de Minas Gerais SA (Utilities, Electric Utilities)		3.34					35,369		71,582
Companhia Energetica de Sao Paulo Class B (Utilities, Independent Power & Renewable Electricity Producers)		6.50					6,200		33,194
Companhia Paranaense de Energia-Copel Class B (Utilities, Electric Utilities)		5.12					3,800		45,076
Energisa SA (Utilities, Electric Utilities)		1.71					16,537		27,240
Gerdau SA (Materials, Metals & Mining)		1.12					46,300		116,524
Gol Linhas Aereas Inteligentes SA (Industrials, Airlines) †		0.00					7,700		17,359
Itau Unibanco Holding SA (Financials, Banks)		11.08					206,670		892,318
Itaúsa Investimentos Itaú SA (Financials, Banks)		12.47					188,961		313,737
Klabin SA (Materials, Containers & Packaging)		4.54					123,100		90,198
Lojas Americanas SA (Consumer Discretionary, Multiline Retail)		0.83					29,500		156,171
Marcopolo SA (Industrials, Machinery)		6.19					31,100		15,386
Metalurgica Gerdau SA (Materials, Metals & Mining)		1.66					34,900		40,352
Petroleo Brasileiro SA (Energy, Oil, Gas & Consumable Fuels)		5.33					164,800		628,157
Telefonica Brasil SA (Communication Services, Diversified Telecommunication Services)		7.48					18,109		159,972
Usinas Siderurgicas de Minas Gerais SA Class A (Materials, Metals & Mining)		0.95					25,800		29,734
									3,605,843
Chile : 0.06%
Coca-Cola Embonor SA Class B (Consumer Staples, Food Products)		5.03					10,011		12,508
Embotelladora Andina SA Class B (Consumer Staples, Food & Staples Retailing)		5.55					15,580		37,393
Sociedad Quimica y Minera de Chile SA Class B (Materials, Chemicals)		4.30					3,181		78,090
									127,991
Colombia : 0.06%
Banco Davivienda SA (Financials, Banks)		3.63					5,252		34,497
Bancolombia SA (Financials, Banks)		6.65					12,084		79,696
									114,193
Russia : 0.01%
Bashneft PAO (Energy, Oil, Gas & Consumable Fuels)		12.33					626	$	12,755

28

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

			Dividend yield					Shares		Value
Russia (continued)
Transneft PJSC (Energy, Oil, Gas & Consumable Fuels)				9.15	%				4		7,433
											20,188
Total Preferred Stocks (Cost $5,585,530)											3,868,215
						Expiration date
Rights : 0.00%
Brazil : 0.00%
Natura & Company Holding SA (Consumer Staples, Personal Products)†							12-6-2020		1,359		1,268
Hong Kong : 0.00%
Legend Holdings Corporation H Shares (Financials, Diversified Financial Services)†(a)							5-9-2029		3,061		0
Total Rights (Cost $0)											1,268
Warrants : 0.01%
Malaysia : 0.01%
Serba Dinamik Holdings Bhd (Energy, Energy Equipment & Services) †									15,300		897
Sunway Bhd (Real Estate, Real Estate Management & Development) †									122,430		7,322
											8,219
Thailand : 0.00%
BTS Group Holdings PCL (Industrials, Road & Rail) †									51,660		2,176
Minor International PCL (Consumer Discretionary, Hotels, Restaurants & Leisure) †									12,585		677
											2,853
Total Warrants (Cost $0)											11,072
			Yield
Short-Term Investments : 3.73%
Investment Companies : 3.73%
Wells Fargo Government Money Market Fund Select Class (l)(u)				0.12					7,550,365		7,550,365
Total Short-Term Investments (Cost $7,550,365)											7,550,365
Total investments in securities (Cost $214,559,461)	98.47	%									199,290,070
Other assets and liabilities, net	1.53										3,100,813
Total net assets	100.00	%								$	202,390,883

† Non-income-earning security

144A The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933.

(a) The security is fair valued in accordance with procedures approved by the Board of Trustees.

‡ Security is valued using significant unobservable inputs.

(l) The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940.

(u) The rate represents the 7-day annualized yield at period end.

29

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio

Abbreviations:

ADR American depositary receipt

GDR Global depositary receipt

INR Indian Rupee

REIT Real estate investment trust

30

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost		Notional value		Unrealized gains		Unrealized losses
Long
MSCI Emerging Markets Index		236		6-19-2020	$	10,689,102	$	11,008,220	$	319,118	$	0

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Shares, beginning of period		Shares purchased		Shares sold			Shares, end of period		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		6,720,374		29,991,179		(29,161,188	)		7,550,365	$	7,550,365		3.73	%

Wells Fargo Factor Enhanced Emerging Markets Equity Portfolio (the “Portfolio”)

Notes to Portfolio of investments – May 31, 2020 (unaudited)

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Portfolio may deviate from this calculation under unusual or unexpected circumstances.

Equity securities and futures contracts that are listed on a foreign or domestic exchange or market are valued at the official closing price or, if none, the last sales price. If no sale occurs on the principal exchange or market that day, a fair value price will be determined in accordance with the Portfolio’s Valuation Procedures.

Debt securities are valued at the evaluated bid price provided by an independent pricing service (e.g. taking into account various factors, including yields, maturities, or credit ratings) or, if a reliable price is not available, the quoted bid price from an independent broker-dealer.

The values of securities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC.

Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore may not fully reflect trading or events that occur after the close of the principal exchange in which the foreign securities are traded, but before the close of the New York Stock Exchange. If such trading or events are expected to materially affect the value of such securities, then fair value pricing procedures approved by the Board of Trustees of the Portfolio are applied. These procedures take into account multiple factors including movements in U.S. securities markets after foreign exchanges close. Foreign securities that are fair valued under these procedures are categorized as Level 2 and the application of these procedures may result in transfers between Level 1 and Level 2. Depending on market activity, such fair valuations may be frequent. Such fair value pricing may result in net asset values that are higher or lower than net asset values based on the last reported sales price or latest quoted bid price. On May 31, 2020, such fair value pricing was used in pricing certain foreign securities.

Investments in registered open-end investment companies are valued at net asset value.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee. The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

Foreign currency translation

The accounting records of the Portfolio are maintained in U.S. dollars. The values of other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee. Purchases and sales of securities, and income and expenses are converted at the rate of exchange on the respective dates of such transactions. Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded and the U.S. dollar equivalent of the amounts actually paid or received. Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities other than investments in securities resulting from changes in exchange rates. The changes in net assets arising from changes in exchange rates of securities and the changes in net assets resulting from changes in market prices of securities are not separately presented. Such changes are included in net realized and unrealized gains or losses from investments.

Futures contracts

Futures contracts are agreements between the Portfolio and a counterparty to buy or sell a specific amount of a commodity, financial instrument or currency at a specified price and on a specified date. The Portfolio may buy and sell futures contracts in order to gain exposure to, or protect against, changes in security values and foreign exchange rates and is subject to equity price risk and foreign currency risk. The primary risks associated with the use of futures contracts are the imperfect correlation between changes in market values of securities held by the Portfolio and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange. With futures contracts, there is minimal counterparty risk to the Portfolio since futures contracts are exchange traded and the exchange’s clearinghouse, as the counterparty to all exchange traded futures, guarantees the futures contracts against default.

Upon entering into a futures contracts, the Portfolio is required to deposit either cash or securities (initial margin) with the broker in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are paid to or from the broker each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains or losses and, if any, shown as variation margin receivable (payable). Should the Portfolio fail to make requested variation margin payments, the broker can gain access to the initial margin to satisfy the Portfolio’s payment obligations. When the contracts are closed, a realized gain or loss is recorded.

Fair valuation measurements

Fair value measurements of investments are determined within a framework that has established a fair value hierarchy based upon the various data inputs utilized in determining the value of the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

Level 1	–	quoted prices in active markets for identical securities
Level 2	–	other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3	–	significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of May 31, 2020:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in :
Common stocks
Belgium	$	0	$	26,238	$	0	$	26,238
Brazil		6,622,824		0		0		6,622,824
Chile		1,566,090		0		0		1,566,090
China		5,837,010		30,560,509		0		36,397,519
Colombia		503,956		0		0		503,956
Czech Republic		0		463,141		0		463,141
Egypt		341,025		0		0		341,025
Greece		0		630,992		0		630,992
Hong Kong		2,969,634		7,293,396		0		10,263,030
Hungary		0		837,935		0		837,935
India		363,209		27,325,487		11,852		27,700,548
Indonesia		76,006		3,544,993		34,377		3,655,376
Malaysia		47,852		4,722,730		0		4,770,582
Mexico		5,121,177		0		0		5,121,177
Netherlands		0		128,003		0		128,003
Philippines		68,146		3,333,290		31,627		3,433,063
Romania		0		56,411		0		56,411
Russia		10,241		8,481,839		0		8,492,080
Singapore		0		51,333		0		51,333
South Africa		699,698		3,536,081		0		4,235,779
South Korea		124,074		29,965,388		0		30,089,462
Taiwan		36,046		33,304,033		0		33,340,079
Thailand		138,631		7,638,014		0		7,776,645
Turkey		274,225		1,019,292		0		1,293,517
United States		0		59,242		0		59,242

Foreign corporate bonds and notes		0		3,103		0		3,103
Preferred stocks
Brazil		3,605,843		0		0		3,605,843
Chile		127,991		0		0		127,991
Colombia		114,193		0		0		114,193
Russia		0		20,188		0		20,188
Rights
Brazil		0		1,268		0		1,268
Warrants
Malaysia		0		8,219		0		8,219
Thailand		0		2,853		0		2,853
Short-term investments
Investment companies		7,550,365		0		0		7,550,365
		36,198,236		163,013,978		77,856		199,290,070
Futures contracts		319,118		0		0		319,118
Total assets	$	36,517,354	$	163,013,978	$	77,856	$	199,609,188

Additional sector, industry or geographic detail is included in the Portfolio of Investments.

Futures contracts are reported at their cumulative unrealized gains (losses) at measurement date as reported in the table following the Portfolio of Investments. All other assets and liabilities are reported at their market value at measurement date

As of May 31, 2020, the Portfolio had segregated $2,117,035 as cash collateral for these open futures contracts.

For the three months ended May 31, 2020, the Portfolio had no material transfers into/out of Level 3.

Wells Fargo Factor Enhanced International Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Common Stocks : 95.39%
Australia : 7.34%
AGL Energy Limited (Utilities, Multi-Utilities)		33,682	$	377,358
ALS Limited (Industrials, Professional Services)		21,518		102,460
Altium Limited (Information Technology, Software)		6,153		152,949
Alumina Limited (Materials, Metals & Mining)		136,759		135,391
Ampol Limited (Energy, Oil, Gas & Consumable Fuels)		12,387		224,099
Ansell Limited (Health Care, Health Care Equipment & Supplies)		6,545		153,597
APA Group (Utilities, Gas Utilities)		49,869		386,473
Aristocrat Leisure Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		31,237		538,813
ASX Limited (Financials, Capital Markets)		9,697		571,522
Atlas Arteria Stapled Securities (Industrials, Transportation Infrastructure)		47,687		212,223
Aurizon Holdings Limited (Industrials, Road & Rail)		103,980		329,859
AusNet Services (Utilities, Electric Utilities)		92,715		108,711
Australia & New Zealand Banking Group Limited (Financials, Banks)		154,742		1,841,664
Bank of Queensland Limited (Financials, Banks)		23,711		83,920
Beach Petroleum Limited (Energy, Oil, Gas & Consumable Fuels)		59,822		64,633
Bendigo Bank Limited (Financials, Banks)		28,097		115,402
BHP Billiton Limited (Materials, Metals & Mining)		144,587		3,402,975
BlueScope Steel Limited (Materials, Metals & Mining)		21,662		159,597
Boral Limited (Materials, Construction Materials)		48,072		100,054
Brambles Limited (Industrials, Commercial Services & Supplies)		75,630		588,702
Carsales.com Limited (Communication Services, Interactive Media & Services)		11,542		124,508
Challenger Financial Services Group Limited (Financials, Diversified Financial Services)		18,514		62,035
Charter Hall Group (Real Estate, Equity REITs)		21,283		137,785
Cleanaway Waste Management Limited (Industrials, Commercial Services & Supplies)		97,415		126,767
Coca-Cola Amatil Limited (Consumer Staples, Beverages)		24,077		140,801
Cochlear Limited (Health Care, Health Care Equipment & Supplies)		3,093		398,903
Coles Group Liimited (Consumer Staples, Food & Staples Retailing)		58,664		600,544
Commonwealth Bank of Australia (Financials, Banks)		92,891		3,944,527
Computershare Limited (Information Technology, IT Services)		24,450		214,119
Crown Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		18,158		116,346
CSL Limited (Health Care, Biotechnology)		21,223		3,930,365
Dexus Property Group (Real Estate, Equity REITs)		56,016		336,971
Domino’s Pizza Enterprises Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		3,370		140,445
Downer EDI Limited (Industrials, Commercial Services & Supplies)		23,709		71,493
Evolution Mining Limited (Materials, Metals & Mining)		75,897		304,217
Fortescue Metals Group Limited (Materials, Metals & Mining)		79,633		737,195
Goodman Group (Real Estate, Equity REITs)		76,246		783,297
Harvey Norman Holdings Limited (Consumer Discretionary, Multiline Retail)		31,201		67,707
Iluka Resources Limited (Materials, Metals & Mining)		20,805		114,744
Incitec Pivot Limited (Materials, Chemicals)		78,677		105,494
JB Hi-Fi Limited (Consumer Discretionary, Specialty Retail)		4,631		114,850
Lendlease Corporation Limited (Real Estate, Real Estate Management & Development)		26,574		229,724
Link Administration Holdings Limited (Information Technology, IT Services)		27,466		74,133
Macquarie Group Limited (Financials, Capital Markets)		16,625		1,222,774
Magellan Financial Group Limited (Financials, Capital Markets)		6,487		253,674
Medibank Private Limited (Financials, Insurance)		142,757		271,099
Metcash Limited (Consumer Staples, Food & Staples Retailing)		52,116		93,812
Mirvac Group (Real Estate, Equity REITs)		194,842		305,684
National Australia Bank Limited (Financials, Banks)		164,163		1,935,720
Newcrest Mining Limited (Materials, Metals & Mining)		36,575		741,116
Northern Star Resources Limited (Materials, Metals & Mining)		35,748		346,127
Orica Limited (Materials, Chemicals)		19,114		219,513
Origin Energy Limited (Energy, Oil, Gas & Consumable Fuels)		81,672		321,046
Orora Limited (Materials, Containers & Packaging)		55,998		98,957
OZ Minerals Limited (Materials, Metals & Mining)		14,310		90,289
Qantas Airways Limited (Industrials, Airlines)		79,463		212,120
Qube Holdings Limited (Industrials, Transportation Infrastructure)		77,909		140,981
Ramsay Health Care Limited (Health Care, Health Care Providers & Services)		8,112		379,369
REA Group Limited (Communication Services, Interactive Media & Services)		2,410		162,068
Reliance Worldwide Corporation Limited (Industrials, Building Products)		44,479		90,936
Rio Tinto Limited (Materials, Metals & Mining)		18,550		1,158,617

1

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced International Equity Portfolio

	Shares		Value
Australia (continued)
Santos Limited (Energy, Oil, Gas & Consumable Fuels)		70,256	$	251,688
Saracen Mineral Holdings Limited (Materials, Metals & Mining) †		53,097		178,038
Scentre Group (Real Estate, Equity REITs)		214,404		319,603
SEEK Limited (Industrials, Professional Services)		16,532		222,081
Sonic Healthcare Limited (Health Care, Health Care Providers & Services)		26,898		505,643
Spark Infrastructure Group (Utilities, Electric Utilities)		90,324		127,204
Steadfast Group Limited (Financials, Insurance)		42,963		96,023
Stockland Corporation Limited (Real Estate, Equity REITs)		106,935		255,313
Sydney Airport Holdings Limited (Industrials, Transportation Infrastructure)		117,317		459,005
Tabcorp Holdings Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		96,245		207,115
Telstra Corporation Limited (Communication Services, Diversified Telecommunication Services)		608,346		1,302,915
The GPT Group (Real Estate, Equity REITs)		80,887		215,419
The Star Entertainment Group Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		44,496		87,533
TPG Telecom Limited (Communication Services, Diversified Telecommunication Services)		18,265		102,680
Transurban Group (Industrials, Transportation Infrastructure)		142,071		1,356,967
Treasury Wine Estates Limited (Consumer Staples, Beverages)		35,787		230,092
Vicinity Centres (Real Estate, Equity REITs)		148,910		160,189
Washington H. Soul Pattinson & Company Limited (Energy, Oil, Gas & Consumable Fuels)		7,247		91,904
Wesfarmers Limited (Consumer Discretionary, Multiline Retail)		53,274		1,434,899
Wisetech Global Limited (Information Technology, Software)		8,924		121,671
Woolworths Group Limited (Consumer Staples, Food & Staples Retailing)		65,262		1,537,342
WorleyParsons Limited (Energy, Energy Equipment & Services)		13,916		78,170
				39,912,768
Austria : 0.27%
ams AG (Information Technology, Semiconductors & Semiconductor Equipment) †		3,988		60,895
Andritz AG (Industrials, Machinery) †		3,757		140,759
Bawag Group AG (Financials, Banks) 144A		3,292		108,751
Erste Bank Der Oesterreichischen Sparkassen AG (Financials, Banks)		16,174		357,751
Immofinanz AG (Real Estate, Real Estate Management & Development)		5,532		103,651
OMV AG (Energy, Oil, Gas & Consumable Fuels)		6,717		221,955
Raiffeisen Bank International AG (Financials, Banks)		6,864		125,766
Verbund AG (Utilities, Electric Utilities)		3,191		142,271
Voestalpine AG (Materials, Metals & Mining)		6,280		122,646
Wienerberger AG (Materials, Construction Materials)		5,518		110,255
				1,494,700
Belgium : 0.60%
Ackermans & Van Haaren NV (Financials, Diversified Financial Services)		1,516		208,685
Aedifica SA (Real Estate, Equity REITs)		1,592		170,685
Ageas NV (Financials, Insurance)		11,789		402,408
Cofinimmo SA (Real Estate, Equity REITs)		1,688		230,303
Colruyt SA (Consumer Staples, Food & Staples Retailing)		2,938		177,334
Elia System Operator SA/NV (Utilities, Electric Utilities)		1,971		232,144
Proximus SA (Communication Services, Diversified Telecommunication Services)		9,762		202,545
Sofina SA (Financials, Diversified Financial Services)		906		248,666
UCB SA (Health Care, Pharmaceuticals)		6,985		699,095
Umicore SA (Materials, Chemicals)		9,929		441,196
Warehouses De Pauw SCA (Real Estate, Equity REITs)		8,700		230,278
				3,243,339
Canada : 9.51%
Agnico-Eagle Mines Limited-U.S. Exchange Traded Shares (Materials, Metals & Mining)		9,995		639,474
Air Canada (Industrials, Airlines) †		11,300		130,494
Alimentation Couche-Tard Incorporated Class B (Consumer Staples, Food & Staples Retailing)		41,270		1,291,889
Bank of Montreal (Financials, Banks)		30,491		1,504,121
Barrick Gold Corporation (Materials, Metals & Mining)		73,971		1,778,828
BCE Incorporated (Communication Services, Diversified Telecommunication Services)		46,115		1,916,811
Brookfield Asset Management Incorporated Class A (Financials, Capital Markets)		59,428		1,865,906
Canadian Imperial Bank of Commerce (Financials, Banks)		21,274		1,364,187
Canadian National Railway Company (Industrials, Road & Rail)		36,137		3,112,792

2

Wells Fargo Factor Enhanced International Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Canada (continued)
Canadian Natural Resources Limited (Energy, Oil, Gas & Consumable Fuels)		60,800	$	1,110,593
Canadian Pacific Railway Limited (Industrials, Road & Rail)		6,882		1,724,936
Cenovus Energy Incorporated (Energy, Oil, Gas & Consumable Fuels)		37,800		164,724
CGI Incorporated (Information Technology, IT Services) †		11,065		707,048
Constellation Software Incorporated (Information Technology, Software)		1,028		1,168,576
Dollarama Incorporated (Consumer Discretionary, Multiline Retail)		14,732		499,466
Emera Incorporated (Utilities, Electric Utilities)		12,000		477,089
Enbridge Incorporated (Energy, Oil, Gas & Consumable Fuels)		105,000		3,414,969
Fairfax Financial Holdings Limited (Financials, Insurance)		1,400		388,901
Fortis Incorporated (Utilities, Electric Utilities)		22,944		883,365
Franco-Nevada Corporation (Materials, Metals & Mining)		8,508		1,194,216
Intact Financial Corporation (Financials, Insurance)		6,275		599,038
Kirkland Lake Gold Limited (Materials, Metals & Mining)		8,200		315,946
Loblaw Companies Limited (Consumer Staples, Food & Staples Retailing)		8,854		438,311
Magna International Incorporated (Consumer Discretionary, Auto Components)		13,727		578,850
Manulife Financial Corporation (Financials, Insurance)		98,800		1,227,062
Metro Incorporated (Consumer Staples, Food & Staples Retailing)		12,330		514,209
National Bank of Canada (Financials, Banks)		16,108		701,482
Open Text Corporation (Information Technology, Software)		14,142		587,459
Pembina Pipeline Corporation (Energy, Oil, Gas & Consumable Fuels)		25,652		640,904
Power Corporation of Canada (Financials, Insurance)		29,896		486,596
Restaurant Brands International Incorporated (Consumer Discretionary, Hotels, Restaurants & Leisure)		14,003		765,011
Rogers Communications Incorporated Class B (Communication Services, Wireless Telecommunication Services)		17,622		738,490
Royal Bank of Canada (Financials, Banks)		70,931		4,602,002
Shaw Communications Incorporated Class B (Communication Services, Media)		23,926		403,676
Sun Life Financial Incorporated (Financials, Insurance)		28,158		965,902
Suncor Energy Incorporated (Energy, Oil, Gas & Consumable Fuels)		76,662		1,317,928
TC Energy Corporation (Energy, Oil, Gas & Consumable Fuels)		45,000		2,027,999
Telus Corporation (Communication Services, Diversified Telecommunication Services)		32,188		557,799
The Bank of Nova Scotia (Financials, Banks)		61,308		2,456,595
The Toronto-Dominion Bank (Financials, Banks)		91,128		3,903,642
Thomson Reuters Corporation (Industrials, Professional Services)		8,053		539,382
Waste Connections Incorporated - Toronto Exchange (Industrials, Commercial Services & Supplies)		12,300		1,157,595
Wheaton Precious Metals Corporation (Materials, Metals & Mining)		19,776		852,026
				51,716,289
China : 0.21%
AAC Technologies Holdings Incorporated (Information Technology, Electronic Equipment, Instruments & Components)		34,500		178,859
Sands China Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		127,200		499,653
Shenzhou International Group Holdings Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		39,700		477,726
				1,156,238
Denmark : 2.88%
Ambu AS Class B (Health Care, Health Care Equipment & Supplies)		8,149		275,003
Carlsberg AS Class B (Consumer Staples, Beverages)		5,547		718,965
Coloplast AS Class B (Health Care, Health Care Equipment & Supplies)		6,524		1,103,438
Danske Bank AS (Financials, Banks) †		39,433		489,187
DSV Panalpina AS (Industrials, Air Freight & Logistics)		11,345		1,202,553
Genmab AS (Health Care, Biotechnology) †		3,425		1,060,475
GN Store Nord AS (Health Care, Health Care Equipment & Supplies)		6,582		358,043
H. Lundbeck AS (Health Care, Pharmaceuticals)		3,169		122,333
ISS AS (Industrials, Commercial Services & Supplies) †		7,491		125,168
Novo Nordisk AS Class B (Health Care, Pharmaceuticals)		96,073		6,293,227
Novozymes AS Class B (Materials, Chemicals)		11,715		639,870
Orsted AS (Utilities, Electric Utilities) 144A		9,960		1,171,343
Pandora AS (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		4,934		247,216
Royal Unibrew AS (Consumer Staples, Beverages) †		2,391		192,161

3

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced International Equity Portfolio

	Shares		Value
Denmark (continued)
SimCorp AS (Information Technology, Software)		2,234	$	246,665
Topdanmark AS (Financials, Insurance)		2,359		98,130
Tryg AS (Financials, Insurance)		5,896		165,643
Vestas Wind Systems AS (Industrials, Electrical Equipment)		10,153		1,036,983
William Demant Holding (Health Care, Health Care Equipment & Supplies) †		4,381		124,246
				15,670,649
Finland : 1.52%
Elisa Oyj (Communication Services, Diversified Telecommunication Services)		8,423		524,859
Fortum Oyj (Utilities, Electric Utilities)		20,475		394,318
Huhtamaki Oyj (Materials, Containers & Packaging) †		4,773		193,971
Kesko Oyj Class B (Consumer Staples, Food & Staples Retailing)		13,872		234,372
Kojamo Oyj (Real Estate, REITs)		11,060		225,506
Kone Oyj Class B (Industrials, Machinery)		21,970		1,476,764
Metso Oyj (Industrials, Machinery)		6,569		214,203
Neste Oil Oyj (Energy, Oil, Gas & Consumable Fuels)		24,791		1,010,206
Nokia Oyj (Information Technology, Communications Equipment)		295,934		1,176,809
Nokian Renkaat Oyj (Consumer Discretionary, Auto Components)		8,098		188,632
Orion Oyj Class B (Health Care, Pharmaceuticals)		5,263		281,695
Sampo Oyj Class A (Financials, Insurance)		25,886		930,097
Stora Enso Oyj (Materials, Paper & Forest Products) †		29,829		366,098
UPM-Kymmene Oyj (Materials, Paper & Forest Products)		29,476		850,494
Valmet Corporation (Industrials, Machinery) †		7,167		187,391
				8,255,415
France : 6.01%
Aeroports de Paris SA (Industrials, Transportation Infrastructure)		1,514		157,820
Air Liquide SA (Materials, Chemicals)		25,485		3,465,449
Alstom SA (Industrials, Machinery)		9,702		408,353
Alten SA (Information Technology, IT Services)		1,612		130,218
Amundi SA (Financials, Capital Markets) 144A		3,160		236,021
Arkema SA (Materials, Chemicals)		3,226		282,889
Atos Origin SA (Information Technology, IT Services)		5,237		398,583
bioMerieux (Health Care, Health Care Equipment & Supplies)		2,249		323,164
BNP Paribas SA (Financials, Banks)		62,011		2,231,492
Bouygues SA (Industrials, Construction & Engineering) †		14,908		457,387
Bureau Veritas SA (Industrials, Professional Services)		14,329		293,148
Capgemini SA (Information Technology, IT Services)		8,640		892,465
CNP Assurances SA (Financials, Insurance) †		13,951		147,597
Compagnie Generale des Etablissements Michelin SCA (Consumer Discretionary, Auto Components)		9,294		940,653
Covivio (Real Estate, Equity REITs)		2,405		140,517
Danone SA (Consumer Staples, Food Products)		36,057		2,480,739
Dassault Aviation SA (Industrials, Aerospace & Defense)		121		102,208
Eiffage SA (Industrials, Construction & Engineering)		4,997		456,153
Electricite de France SA (Utilities, Electric Utilities)		25,074		223,733
Elis SA (Industrials, Commercial Services & Supplies)		9,750		121,535
Engie SA (Utilities, Multi-Utilities)		99,729		1,185,209
Essilor International SA Cie Generale d’Optique (Health Care, Health Care Equipment & Supplies)		14,990		1,950,919
Eurazeo SA (Financials, Diversified Financial Services)		2,561		124,872
Eutelsat Communications SA (Communication Services, Media)		8,741		87,516
Faurecia (Consumer Discretionary, Auto Components)		3,764		145,937
Gecina SA (Real Estate, Equity REITs)		2,539		326,225
Groupe Eurotunnel SE (Industrials, Transportation Infrastructure)		24,958		360,922
Hermes International SA (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		1,857		1,551,890
ICADE (Real Estate, Equity REITs)		1,730		124,023
Ingenico SA (Information Technology, Electronic Equipment, Instruments & Components)		2,783		387,365
Ipsen SA (Health Care, Pharmaceuticals)		1,731		135,435
Klepierre SA (Real Estate, Equity REITs)		12,307		234,065
La Francaise Des Jeux SA (Consumer Discretionary, Hotels, Restaurants & Leisure) 144A†		6,565		225,098
Legrand SA (Industrials, Electrical Equipment)		14,507		993,973
Orange SA (Communication Services, Diversified Telecommunication Services)		106,735		1,283,646
Orpea SA (Health Care, Health Care Providers & Services)		2,968		348,144

4

Wells Fargo Factor Enhanced International Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
France (continued)
Pernod-Ricard SA (Consumer Staples, Beverages)		10,472	$	1,631,922
Peugeot SA (Consumer Discretionary, Automobiles) †		29,128		418,144
Publicis Groupe SA (Communication Services, Media)		11,112		316,638
Remy Cointreau SA (Consumer Staples, Beverages)		1,124		133,708
Rexel SA (Industrials, Trading Companies & Distributors)		11,829		120,599
Rubis SCA (Utilities, Gas Utilities)		4,934		236,458
Sartorius Stedim Biotech SA (Health Care, Life Sciences Tools & Services) †		1,234		335,869
Schneider Electric SE (Industrials, Electrical Equipment)		29,123		2,883,548
SCOR SE (Financials, Insurance) †		8,426		211,304
Sodexho Alliance SA (Consumer Discretionary, Hotels, Restaurants & Leisure)		4,378		295,362
Sopra Steria Group (Information Technology, IT Services)		847		100,518
Spie SA (Industrials, Commercial Services & Supplies)		5,476		85,685
Suez Environnement Company SA (Utilities, Multi-Utilities)		21,208		241,814
Teleperformance SE (Industrials, Professional Services)		2,948		701,970
Thales SA (Industrials, Aerospace & Defense)		5,948		455,276
Veolia Environnement SA (Utilities, Multi-Utilities)		30,600		673,810
Worldline SA (Information Technology, IT Services) 144A†		6,393		480,026
				32,678,014
Germany : 4.90%
Adidas AG (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		9,211		2,442,825
Alstria Office REIT AG (Real Estate, Equity REITs)		9,047		131,870
Bechtle AG (Information Technology, IT Services)		1,310		232,677
Beiersdorf AG (Consumer Staples, Personal Products)		5,499		577,610
Brenntag AG (Industrials, Trading Companies & Distributors)		7,783		414,082
Carl Zeiss Meditec AG (Health Care, Health Care Equipment & Supplies) †		1,916		196,068
Covestro AG (Materials, Chemicals) 144A†		8,023		298,271
CTS Eventim AG & Company KGaA (Communication Services, Entertainment)		3,263		148,596
Deutsche Boerse AG (Financials, Capital Markets)		9,752		1,605,684
Deutsche Lufthansa AG (Industrials, Airlines)		14,143		143,772
Deutsche Post AG (Industrials, Air Freight & Logistics)		52,764		1,652,474
Deutsche Telekom AG (Communication Services, Diversified Telecommunication Services) †		170,553		2,676,595
Deutsche Wohnen AG (Real Estate, Real Estate Management & Development)		18,074		809,323
E.ON SE (Utilities, Multi-Utilities)		131,021		1,389,827
Evotec AG (Health Care, Life Sciences Tools & Services) †		6,078		165,435
Fraport AG (Industrials, Transportation Infrastructure)		1,981		99,111
Freenet AG (Communication Services, Wireless Telecommunication Services)		7,034		121,028
Fresenius Medical Care AG & Company KGaA (Health Care, Health Care Providers & Services)		11,096		938,687
Fresenius SE & Company KGaA (Health Care, Health Care Providers & Services)		20,493		990,703
GEA Group AG (Industrials, Machinery)		7,142		214,056
Grenke AG (Financials, Diversified Financial Services)		1,331		107,871
Hannover Rueck SE (Financials, Insurance)		3,102		500,966
Heidelbergcement AG (Materials, Construction Materials)		7,158		358,052
Hellofresh SE (Consumer Discretionary, Internet & Direct Marketing Retail) †		8,552		349,671
Hochtief AG (Industrials, Construction & Engineering)		1,078		95,510
Hugo Boss AG (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		2,938		80,631
Kion Group AG (Industrials, Machinery)		3,262		182,619
Knorr Bremse AG (Industrials, Machinery)		2,707		286,705
LANXESS AG (Materials, Chemicals)		3,720		193,082
LEG Immobilien AG (Real Estate, Real Estate Management & Development)		3,828		479,000
Merck KGaA (Health Care, Pharmaceuticals)		7,018		809,000
Metro AG (Consumer Staples, Food & Staples Retailing)		10,099		94,467
MTU Aero Engines AG (Industrials, Aerospace & Defense) †		2,947		476,313
Muenchener Rueckversicherungs Gesellschaft AG (Financials, Insurance)		7,575		1,727,396
Nemetschek SE (Information Technology, Software)		2,480		197,147
OsRam Licht AG (Industrials, Electrical Equipment) †		2,152		94,112
ProSiebenSat.1 Media AG (Communication Services, Media)		11,750		151,487
Puma AG Rudolf Dassler Sport (Consumer Discretionary, Textiles, Apparel & Luxury Goods) †		4,292		308,776
RATIONAL AG (Industrials, Machinery)		209		112,449
Rheinmetall AG (Industrials, Industrial Conglomerates)		2,419		197,016
Scout24 AG (Communication Services, Interactive Media & Services) 144A		5,509		422,009
Siemens Healthineers AG (Health Care, Health Care Equipment & Supplies) 144A		8,398		436,033

5

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced International Equity Portfolio

	Shares		Value
Germany (continued)
Symrise AG (Materials, Chemicals)		6,616	$	728,405
TAG Immobilien AG (Real Estate, Real Estate Management & Development)		7,564		176,313
Telefónica Deutschland Holding AG (Communication Services, Diversified Telecommunication Services)		45,012		137,273
TUI AG (Consumer Discretionary, Hotels, Restaurants & Leisure)		22,007		120,007
Uniper SE (Utilities, Independent Power & Renewable Electricity Producers)		8,463		264,692
United Internet AG (Communication Services, Diversified Telecommunication Services)		5,441		224,129
Vonovia SE (Real Estate, Real Estate Management & Development)		27,246		1,567,136
Zalando SE (Consumer Discretionary, Internet & Direct Marketing Retail) 144A†		7,600		516,792
				26,643,753
Hong Kong : 2.24%
ASM Pacific Technology (Information Technology, Semiconductors & Semiconductor Equipment)		14,844		136,193
Budweiser Brewing Company (Consumer Staples, Beverages) 144A		92,200		259,899
CK Asset Holdings Limited (Real Estate, Real Estate Management & Development)		132,690		728,807
CK Hutchison Holdings Limited (Industrials, Industrial Conglomerates)		138,570		853,158
CK Infrastructure Holdings Limited (Utilities, Electric Utilities)		35,500		178,385
ESR Cayman Limited (Real Estate, Real Estate Management & Development) †		53,000		119,128
Fosun International (Industrials, Industrial Conglomerates)		131,500		170,211
Galaxy Entertainment Group Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		130,000		888,620
Hang Lung Group Limited (Real Estate, Real Estate Management & Development)		41,705		80,114
Hang Lung Properties Limited (Real Estate, Real Estate Management & Development)		99,332		210,232
Hang Seng Bank Limited (Financials, Banks)		38,855		596,753
Henderson Land Development Company Limited (Real Estate, Real Estate Management & Development)		66,198		238,169
HK Electric Investments Limited (Utilities, Electric Utilities) 144A		115,000		114,070
Hong Kong & China Gas Company Limited (Utilities, Gas Utilities)		493,595		832,754
Hong Kong Telecommunications Trust & Hong Kong Trust Limited (Communication Services, Diversified Telecommunication Services)		181,574		258,307
Hysan Development Company Limited (Real Estate, Real Estate Management & Development)		31,574		86,077
Jardine Matheson Holdings Limited (Industrials, Industrial Conglomerates)		14,628		588,239
Jardine Strategic Holdings Limited (Industrials, Industrial Conglomerates)		8,617		172,190
Kerry Properties Limited (Real Estate, Real Estate Management & Development)		28,000		66,593
Link REIT (Real Estate, Equity REITs)		111,707		843,576
MTR Corporation Limited (Industrials, Road & Rail)		79,569		383,960
NagaCorp Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		66,000		78,997
New World Development Limited (Real Estate, Real Estate Management & Development)		292,961		297,757
NWS Holdings Limited (Industrials, Industrial Conglomerates)		71,429		56,340
PCCW Limited (Communication Services, Diversified Telecommunication Services)		225,000		123,711
Power Assets Holdings Limited (Utilities, Electric Utilities)		70,000		391,973
Sino Land Company (Real Estate, Real Estate Management & Development)		169,899		199,421
SJM Holdings Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		107,000		119,556
Sun Hung Kai Properties Limited (Real Estate, Real Estate Management & Development)		82,500		966,294
Swire Pacific Limited Class A (Real Estate, Real Estate Management & Development)		25,978		136,677
Techtronic Industries Company Limited (Industrials, Machinery)		72,743		634,602
Vitasoy International Holdings Limited (Consumer Staples, Food Products)		43,005		160,522
WH Group Limited (Consumer Staples, Food Products) 144A		539,000		468,900
Wheelock & Company Limited (Real Estate, Real Estate Management & Development)		34,945		237,217
Wynn Macau Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		75,934		130,058
Xinyi Glass Holdings Limited (Consumer Discretionary, Auto Components)		122,000		129,616
Yihai International Holding (Consumer Staples, Food Products)		22,000		197,772
Yue Yuen Industrial Holdings Limited (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		37,722		54,317
				12,189,165
Ireland : 1.73%
Bank of Ireland Group plc (Financials, Banks)		65,316		116,656
DCC plc (Industrials, Industrial Conglomerates)		5,039		422,687
Flutter Entertainment plc (Consumer Discretionary, Hotels, Restaurants & Leisure)		4,637		591,746
Glanbia plc (Consumer Staples, Food Products)		13,650		149,372
Kerry Group plc Class A (Consumer Staples, Food Products)		9,120		1,129,975
Kingspan Group plc (Industrials, Building Products)		9,902		610,590
Linde plc (Materials, Chemicals)		29,025		5,851,314

6

Wells Fargo Factor Enhanced International Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Ireland (continued)
Smurfit Kappa Group plc (Materials, Containers & Packaging)		12,522	$	408,914
UDG Healthcare plc (Health Care, Health Care Providers & Services)		14,315		130,431
				9,411,685
Italy : 1.85%
A2A SpA (Utilities, Multi-Utilities)		77,787		108,539
Amplifon SpA (Health Care, Health Care Providers & Services)		6,514		182,237
Assicurazioni Generali SpA (Financials, Insurance)		69,113		963,512
Atlantia SpA (Industrials, Transportation Infrastructure)		22,983		377,835
Banco BPM SpA (Financials, Banks) †		77,904		100,185
Davide Campari-Milano SpA (Consumer Staples, Beverages)		24,807		202,425
DiaSorin SpA (Health Care, Health Care Equipment & Supplies)		1,276		268,154
Enel SpA (Utilities, Electric Utilities)		411,527		3,181,813
Hera SpA (Utilities, Multi-Utilities)		42,494		162,745
Interpump Group SpA (Industrials, Machinery)		4,112		123,579
Intesa Sanpaolo SpA (Financials, Banks)		903,776		1,572,633
Italgas SpA (Utilities, Gas Utilities)		28,014		152,548
Leonardo SpA (Industrials, Aerospace & Defense)		19,037		119,511
Mediobanca SpA (Financials, Banks)		30,742		202,231
Moncler SpA (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		10,672		399,890
Poste Italiane SpA (Financials, Insurance) 144A		23,337		206,480
Prysmian SpA (Industrials, Electrical Equipment)		12,984		278,286
Recordati SpA (Health Care, Pharmaceuticals)		5,705		259,806
Snam SpA (Utilities, Gas Utilities)		118,579		555,467
Terna SpA (Utilities, Electric Utilities)		78,736		534,910
Unione di Banche SpA (Financials, Banks)		41,687		118,232
				10,071,018
Japan : 22.41%
Acom Company Limited (Financials, Consumer Finance)		27,900		113,987
Activia Properties Incorporated (Real Estate, Equity REITs)		43		145,906
Advance Residence Investment Corporation (Real Estate, Equity REITs)		78		242,853
Advantest Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		10,600		526,073
Aeon Financial Service Company Limited (Financials, Consumer Finance)		6,500		73,350
Aica Kogyo Company Limited (Industrials, Building Products)		3,600		107,174
Air Water Incorporated (Materials, Chemicals)		13,200		192,156
Aisin Seiki Company Limited (Consumer Discretionary, Auto Components)		9,800		310,324
Alps Alpine Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		11,700		141,799
Amada Holdings Company Limited (Industrials, Machinery)		20,200		180,509
Anritsu Corporation (Information Technology, Electronic Equipment, Instruments & Components)		7,700		152,698
Aozora Bank Limited (Financials, Banks)		6,900		128,143
Asahi Breweries Limited (Consumer Staples, Beverages)		24,600		925,693
Asahi Glass Company Limited (Industrials, Building Products)		13,400		380,069
Asahi Intecc Company Limited (Health Care, Health Care Equipment & Supplies)		12,600		386,803
Asahi Kasei Corporation (Materials, Chemicals)		83,500		663,639
Astellas Pharma Incorporated (Health Care, Pharmaceuticals)		105,700		1,888,641
Azbil Corporation (Information Technology, Electronic Equipment, Instruments & Components)		8,200		209,447
Bandai Namco Holdings Incorporated (Consumer Discretionary, Leisure Products)		12,400		689,399
Benesse Corporation (Consumer Discretionary, Diversified Consumer Services)		4,700		127,515
Bridgestone Corporation (Consumer Discretionary, Auto Components)		34,500		1,145,061
Brother Industries Limited (Information Technology, Technology Hardware, Storage & Peripherals)		13,700		259,257
Calbee Incorporated (Consumer Staples, Food Products)		4,800		138,990
Capcom Company Limited (Communication Services, Entertainment)		5,600		198,146
Casio Computer Company Limited (Consumer Discretionary, Household Durables)		12,000		211,928
Central Japan Railway Company (Industrials, Road & Rail)		11,100		1,902,338
Chiba Bank Limited (Financials, Banks)		40,900		195,238
Chubu Electric Power Company Incorporated (Utilities, Electric Utilities)		42,100		567,498
Chugai Pharmaceutical Company Limited (Health Care, Pharmaceuticals)		11,700		1,728,933
Comsys Holdings Corporation (Industrials, Construction & Engineering)		7,400		206,153

7

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced International Equity Portfolio

	Shares		Value
Japan (continued)
Concordia Financial Group Limited (Financials, Banks)		69,000	$	226,217
Cosmos Pharmaceutical Corporation (Consumer Staples, Food & Staples Retailing)		1,400		201,377
Credit Saison Company Limited (Financials, Consumer Finance)		9,800		117,154
Dai Nippon Printing Company Limited (Industrials, Commercial Services & Supplies)		16,000		364,746
Dai-ichi Life Holdings Incorporated (Financials, Insurance)		60,600		794,992
Daicel Corporation (Materials, Chemicals)		18,500		157,011
Daiichikosho Company Limited (Communication Services, Entertainment)		2,500		87,846
Daikin Industries Limited (Industrials, Building Products)		15,600		2,297,025
Daito Trust Construction Company Limited (Real Estate, Real Estate Management & Development)		3,800		402,083
Daiwa House Industry Company Limited (Real Estate, Real Estate Management & Development)		36,100		895,735
Daiwa House Residential Investment Corporation (Real Estate, Equity REITs)		112		276,201
Daiwa Office Investment Corporation (Real Estate, Equity REITs)		18		104,753
Denka Company Limited (Materials, Chemicals)		4,400		108,290
Dentsu Group Incorporated (Communication Services, Media)		14,900		398,189
DIC Incorporated (Materials, Chemicals)		4,500		117,619
Dowa Holding Company Limited (Materials, Metals & Mining)		3,400		109,111
East Japan Railway Company (Industrials, Road & Rail)		20,900		1,641,543
Ebara Corporation (Industrials, Machinery)		5,000		120,991
Electric Power Development Company Limited (Utilities, Independent Power & Renewable Electricity Producers)		10,300		195,007
Ezaki Glico Company Limited (Consumer Staples, Food Products)		3,200		155,293
FANCL Corporation (Consumer Staples, Personal Products)		4,500		128,459
Fuji Electric Holdings Company Limited (Industrials, Electrical Equipment)		8,300		221,733
Fuji Television Network Incorporated (Communication Services, Media)		11,000		110,546
FUJIFILM Holdings Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		23,200		1,064,104
Fujitsu Limited (Information Technology, IT Services)		11,100		1,143,833
Fukuoka Financial Group Incorporated (Financials, Banks)		10,700		174,121
GLP J-REIT (Real Estate, Equity REITs)		207		275,466
Goldwin Incorporated (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		2,100		134,641
Hakuhodo DY Holdings Incorporated (Communication Services, Media)		18,100		225,405
Hankyu Hanshin Holdings Incorporated (Industrials, Road & Rail)		14,200		525,497
Haseko Corporation (Consumer Discretionary, Household Durables)		16,700		204,005
Hikari Tsushin Incorporated (Consumer Discretionary, Specialty Retail)		1,100		241,255
Hino Motors Limited (Industrials, Machinery)		15,700		106,455
Hirose Electric Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		1,800		215,191
Hisamitsu Pharmaceutical Company Incorporated (Health Care, Pharmaceuticals)		5,000		253,158
Hitachi Chemical Company Limited (Materials, Chemicals)		5,700		244,428
Hitachi Construction Machinery Company Limited (Industrials, Machinery)		5,600		147,722
Hitachi Limited (Information Technology, Electronic Equipment, Instruments & Components)		53,000		1,711,857
Horiba Limited (Information Technology, Electronic Equipment, Instruments & Components)		2,400		126,695
Hoshizaki Electric Company Limited (Industrials, Machinery)		3,500		282,569
Hoya Corporation (Health Care, Health Care Equipment & Supplies)		20,100		1,891,278
Hulic Company Limited (Real Estate, Real Estate Management & Development)		35,300		357,442
Ibiden Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		8,300		220,148
IHI Corporation (Industrials, Machinery)		8,800		126,907
Industrial & Infrastructure Fund Investment Corporation (Real Estate, Equity REITs)		106		174,139
INPEX Incorporated (Energy, Oil, Gas & Consumable Fuels)		54,500		381,623
Invincible Investment Corporation (Real Estate, Equity REITs)		312		78,667
Isuzu Motors Limited (Consumer Discretionary, Automobiles)		33,500		314,654
ITO EN Limited (Consumer Staples, Beverages)		3,600		207,126
Itochu Corporation (Industrials, Trading Companies & Distributors)		86,300		1,855,836
Itochu Techno-Solutions Corporation (Information Technology, IT Services)		6,000		203,073
J.Front Retailing Company Limited (Consumer Discretionary, Multiline Retail)		15,700		133,646
Japan Airlines Company Limited (Industrials, Airlines)		21,500		422,189
Japan Airport Terminal Company Limited (Industrials, Transportation Infrastructure)		4,200		184,869
Japan Excellent Incorporated (Real Estate, Equity REITs)		73		90,141
Japan Hotel REIT Investment Corporation (Real Estate, Equity REITs)		218		90,701
Japan Logistics Fund Incorporated (Real Estate, Equity REITs)		51		135,448
Japan Prime Realty Investment Corporation (Real Estate, Equity REITs)		51		155,394
Japan Real Estate Investment Corporation (Real Estate, Equity REITs)		81		440,878
Japan Retail Fund Investment Corporation (Real Estate, Equity REITs)		156		205,744
Japan Tobacco Incorporated (Consumer Staples, Tobacco)		62,800		1,246,340
JFE Holdings Incorporated (Materials, Metals & Mining)		33,300		245,207

8

Wells Fargo Factor Enhanced International Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Japan (continued)
JGC Corporation (Industrials, Construction & Engineering)		12,400	$	133,719
JSR Corporation (Materials, Chemicals)		12,900		254,131
JXTG Holdings Incorporated (Energy, Oil, Gas & Consumable Fuels)		174,700		675,204
K’s Holdings Corporation (Consumer Discretionary, Specialty Retail)		10,800		138,254
Kagome Company Limited (Consumer Staples, Food Products)		5,100		144,058
Kajima Corporation (Industrials, Construction & Engineering)		28,500		323,616
Kakaku.com Incorporated (Communication Services, Interactive Media & Services)		7,200		174,848
Kaken Pharmaceutical Company Limited (Health Care, Pharmaceuticals)		2,000		110,245
Kamigumi Company Limited (Industrials, Transportation Infrastructure)		6,700		131,310
Kaneka Corporation (Materials, Chemicals)		3,700		99,237
Kansai Electric Power Company Incorporated (Utilities, Electric Utilities)		51,300		511,921
Kansai Paint Company Limited (Materials, Chemicals)		14,100		292,274
Kawasaki Heavy Industries Limited (Industrials, Machinery)		9,900		157,252
KDDI Corporation (Communication Services, Wireless Telecommunication Services)		99,200		2,895,567
Keihan Electric Railway Company Limited (Industrials, Industrial Conglomerates)		5,900		281,317
Keikyu Corporation (Industrials, Road & Rail)		15,600		261,729
Keisei Electric Railway Company Limited (Industrials, Road & Rail)		9,800		321,995
Kenedix Realty Investment Corporation (Real Estate, Equity REITs)		26		143,728
Kewpie Corporation (Consumer Staples, Food Products)		7,200		141,082
Kinden Corporation (Industrials, Construction & Engineering)		7,600		127,321
Kintetsu Group Holdings Company Limited (Industrials, Road & Rail)		10,400		510,975
Kobe Bussan Company Limited (Consumer Staples, Food & Staples Retailing)		3,600		187,359
Koito Manufacturing Company Limited (Consumer Discretionary, Auto Components)		6,700		284,976
Komatsu Limited (Industrials, Machinery)		52,800		1,067,691
Konami Holdings Corporation (Communication Services, Entertainment)		5,800		203,772
Konica Minolta Holdings Incorporated (Information Technology, Technology Hardware, Storage & Peripherals)		31,000		115,173
Kubota Corporation (Industrials, Machinery)		69,600		937,236
Kuraray Company Limited (Materials, Chemicals)		20,100		211,615
Kurita Water Industries Limited (Industrials, Machinery)		6,100		168,895
Kyowa Exeo Corporation (Industrials, Construction & Engineering)		6,300		145,114
Kyowa Hakko Kirin Company Limited (Health Care, Pharmaceuticals)		14,300		388,057
Kyushu Financial Group Incorporated (Financials, Banks)		24,000		102,493
Kyushu Railway Company (Industrials, Road & Rail)		9,400		267,127
Lasertec Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		5,000		412,429
Lawson Incorporated (Consumer Staples, Food & Staples Retailing)		3,000		166,427
Lion Corporation (Consumer Staples, Household Products)		17,700		407,550
M3 Incorporated (Health Care, Health Care Technology)		21,500		868,477
Mabuchi Motor Company Limited (Industrials, Electrical Equipment)		3,500		115,964
Marubeni Corporation (Industrials, Trading Companies & Distributors)		99,200		482,977
Marui Group Company Limited (Consumer Discretionary, Multiline Retail)		13,300		240,623
Maruichi Steel Tube Limited (Materials, Metals & Mining)		4,700		120,576
Matsumotokiyoshi Holdings Company Limited (Consumer Staples, Food & Staples Retailing)		5,700		213,545
Mebuki Financial Group Incorporated (Financials, Banks)		60,200		136,847
MediPal Holdings Corporation (Health Care, Health Care Providers & Services)		11,200		221,877
Meiji Holdings Company Limited (Consumer Staples, Food Products)		8,300		626,755
Minebea Company Limited (Industrials, Machinery)		23,500		414,268
Mitsubishi Chemical Holdings Corporation (Materials, Chemicals)		81,300		478,887
Mitsubishi Gas Chemical Company Incorporated (Materials, Chemicals)		10,700		159,923
Mitsubishi Logistics Corporation (Industrials, Transportation Infrastructure)		4,800		123,783
Mitsubishi Motors Corporation (Consumer Discretionary, Automobiles)		37,100		105,099
Mitsubishi UFJ Lease & Finance Company Limited (Financials, Diversified Financial Services)		31,600		154,953
Mitsui & Company Limited (Industrials, Trading Companies & Distributors)		95,800		1,456,840
Mitsui Chemicals Incorporated (Materials, Chemicals)		11,900		248,154
Mitsui OSK Lines Limited (Industrials, Marine)		6,600		117,281
Miura Company Limited (Industrials, Machinery)		5,900		253,731
Mori Hills REIT Corporation (Real Estate, Equity REITs)		94		126,684
Morinaga & Company Limited (Consumer Staples, Food Products)		2,700		115,975
MS&AD Insurance Group Holdings Incorporated (Financials, Insurance)		27,900		821,790
Nabtesco Corporation (Industrials, Machinery)		6,500		202,895
Nagase & Company Limited (Industrials, Trading Companies & Distributors)		6,500		81,036
Nagoya Railroad Company Limited (Industrials, Road & Rail)		10,800		325,877
Nankai Electric Railway Company Limited (Industrials, Road & Rail)		6,400		155,740

9

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced International Equity Portfolio

	Shares		Value
Japan (continued)
NEC Corporation (Information Technology, IT Services)		14,600	$	656,449
Net One Systems Company Limited (Information Technology, IT Services)		4,500		136,475
Nexon Company Limited (Communication Services, Entertainment)		27,100		564,651
NGK Insulators Limited (Industrials, Machinery)		19,500		286,225
NGK Spark Plug Company Limited (Consumer Discretionary, Auto Components)		11,800		190,917
NH Foods Limited (Consumer Staples, Food Products)		6,200		229,406
Nichirei Corporation (Consumer Staples, Food Products)		8,600		243,100
Nifco Incorporated (Consumer Discretionary, Auto Components)		5,300		116,135
Nihon Kohden Corporation (Health Care, Health Care Equipment & Supplies)		5,800		193,615
Nihon M&A Center Incorporated (Industrials, Professional Services)		8,000		322,405
Nihon Unisys Limited (Information Technology, IT Services)		4,500		139,414
Nippon Accommodations Fund Incorporated (Real Estate, Equity REITs)		26		157,312
Nippon Building Fund Incorporated (Real Estate, Equity REITs)		87		544,111
Nippon Electric Glass Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		4,800		76,252
Nippon Express Company Limited (Industrials, Road & Rail)		5,800		298,362
Nippon Kayaku Company Limited (Materials, Chemicals)		10,000		100,682
Nippon Prologis REIT Incorporated (Real Estate, Equity REITs)		113		318,468
Nippon Shinyaku Company Limited (Health Care, Pharmaceuticals)		4,300		371,574
Nippon Shokubai Company Limited (Materials, Chemicals)		1,900		106,497
Nippon Suisan Kaisha Limited (Consumer Staples, Food Products)		17,400		80,947
Nippon Telegraph & Telephone Corporation (Communication Services, Diversified Telecommunication Services)		127,800		2,908,880
Nippon Television Network Corporation (Communication Services, Media)		10,400		120,343
Nippon Yusen Kabushiki Kaisha (Industrials, Marine)		8,900		128,697
Nishi-Nippon Railroad Company Limited (Industrials, Road & Rail)		4,500		121,807
Nissan Chemical Industries Limited (Materials, Chemicals)		8,500		377,134
Nissin Food Products Company Limited (Consumer Staples, Food Products)		4,900		410,729
Nitori Holdings Company Limited (Consumer Discretionary, Specialty Retail)		4,800		869,058
Nitto Denko Corporation (Materials, Chemicals)		8,700		472,415
NOF Corporation (Materials, Chemicals)		4,600		164,008
Nomura Real Estate Holding Incorporated (Real Estate, Real Estate Management & Development)		7,300		134,744
Nomura Real Estate Master Fund Incorporated (Real Estate, Equity REITs)		264		324,098
Nomura Research Institute Limited (Information Technology, IT Services)		21,400		567,521
NSK Limited (Industrials, Machinery)		30,100		221,391
NTT Data Corporation (Information Technology, IT Services)		35,700		413,827
NTT DOCOMO Incorporated (Communication Services, Wireless Telecommunication Services)		68,900		1,893,625
Obayashi Corporation (Industrials, Construction & Engineering)		38,600		357,929
OBIC Company Limited (Information Technology, IT Services)		3,900		677,587
Olympus Corporation (Health Care, Health Care Equipment & Supplies)		69,000		1,199,723
Omron Corporation (Information Technology, Electronic Equipment, Instruments & Components)		11,300		750,362
Ono Pharmaceutical Company Limited (Health Care, Pharmaceuticals)		27,900		800,263
Oracle Corporation (Japan) (Information Technology, Software)		1,800		210,596
ORIX Corporation (Financials, Diversified Financial Services)		76,300		1,009,714
ORIX JREIT Incorporated (Real Estate, Equity REITs)		159		229,812
Osaka Gas Company Limited (Utilities, Gas Utilities)		23,600		473,707
OSG Corporation (Industrials, Machinery)		5,700		81,078
Otsuka Corporation (Information Technology, IT Services)		7,300		353,513
Pan Pacific International Holdings (Consumer Discretionary, Multiline Retail)		34,200		689,625
Park24 Company Limited (Industrials, Commercial Services & Supplies)		7,400		142,947
Pigeon Corporation (Consumer Staples, Household Products)		6,900		269,811
Rakuten Incorporated (Consumer Discretionary, Internet & Direct Marketing Retail)		42,500		386,938
Recruit Holdings Company Limited (Industrials, Professional Services)		97,600		3,362,022
Relo Holdings Incorporated (Real Estate, Real Estate Management & Development)		6,500		148,704
Rengo Company Limited (Materials, Containers & Packaging)		13,900		109,829
Resona Holdings Incorporated (Financials, Banks)		124,200		449,165
Ricoh Company Limited (Information Technology, Technology Hardware, Storage & Peripherals)		48,600		360,231
Rohto Pharmaceutical Company Limited (Consumer Staples, Personal Products)		6,300		194,029
Ryohin Keikaku Company Limited (Consumer Discretionary, Multiline Retail)		16,000		242,647
Sankyo Company Limited (Consumer Discretionary, Leisure Products)		2,900		74,805
Sankyu Incorporated (Industrials, Road & Rail)		3,300		134,701
Santen Pharmaceutical Company Limited (Health Care, Pharmaceuticals)		22,900		424,155
Sanwa Holdings Corporation (Industrials, Building Products)		12,500		107,409
Sawai Pharmaceutical Company Limited (Health Care, Pharmaceuticals)		2,400		132,345
SBI Holdings Incorporated (Financials, Capital Markets)		12,200		262,580

10

Wells Fargo Factor Enhanced International Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Japan (continued)
SCREEN Holdings Company Limited (Information Technology, Semiconductors & Semiconductor Equipment)		2,600	$	117,387
SCSK Corporation (Information Technology, IT Services)		2,800		137,531
Secom Company Limited (Industrials, Commercial Services & Supplies)		12,100		1,050,268
Sega Sammy Holdings Incorporated (Consumer Discretionary, Leisure Products)		10,500		137,056
Seibu Holdings Incorporated (Industrials, Road & Rail)		13,300		173,876
Seiko Epson Corporation (Information Technology, Technology Hardware, Storage & Peripherals)		19,800		224,359
SEINO Holdings Company Limited (Industrials, Road & Rail)		9,700		132,463
Sekisui House Limited (Consumer Discretionary, Household Durables)		35,700		681,482
Sekisui House REIT Incorporated (Real Estate, Equity REITs)		253		157,177
Seven & I Holdings Company Limited (Consumer Staples, Food & Staples Retailing)		47,100		1,615,581
Seven Bank Limited (Financials, Banks)		40,100		114,609
Shikoku Electric Power Company Incorporated (Utilities, Electric Utilities)		11,700		87,862
Shimamura Company Limited (Consumer Discretionary, Specialty Retail)		1,400		98,581
Shimizu Corporation (Industrials, Construction & Engineering)		40,000		338,591
Shin-Etsu Chemical Company Limited (Materials, Chemicals)		21,900		2,564,773
Shinsei Bank Limited (Financials, Banks)		10,200		130,462
Shionogi & Company Limited (Health Care, Pharmaceuticals)		16,300		966,605
Showa Denko KK (Materials, Chemicals)		8,200		196,880
Skylark Holdings Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		11,500		186,484
Softbank Corporation (Communication Services, Wireless Telecommunication Services)		89,600		1,137,730
Sohgo Security Services Company Limited (Industrials, Commercial Services & Supplies)		5,000		246,173
Sojitz Corporation (Industrials, Trading Companies & Distributors)		71,000		165,424
Sompo Holdings Incorporated NKSJ Holdings Incorporated (Financials, Insurance)		19,800		706,299
Sony Financial Holdings Incorporated (Financials, Insurance)		8,600		207,622
Sotetsu Holdings Incorporated (Industrials, Road & Rail)		5,100		146,927
Square Enix Company Limited (Communication Services, Entertainment)		5,100		248,441
Stanley Electric Company Limited (Consumer Discretionary, Auto Components)		7,800		190,555
Subaru Corporation (Consumer Discretionary, Automobiles)		37,500		830,802
Sugi Pharmacy Company Limited (Consumer Staples, Food & Staples Retailing)		2,500		161,433
Sumco Corporation (Information Technology, Semiconductors & Semiconductor Equipment)		13,700		211,546
Sumitomo Chemical Company Limited (Materials, Chemicals)		95,000		295,221
Sumitomo Corporation (Industrials, Trading Companies & Distributors)		70,200		845,846
Sumitomo Dainippon Pharma Company Limited (Health Care, Pharmaceuticals)		9,900		140,211
Sumitomo Electric Industries Limited (Industrials, Electrical Equipment)		46,400		542,856
Sumitomo Foresting Company Limited (Consumer Discretionary, Household Durables)		9,800		124,594
Sumitomo Heavy Industries Limited (Industrials, Machinery)		6,100		139,946
Sumitomo Mitsui Trust Holdings Incorporated (Financials, Banks)		21,200		627,201
Sumitomo Rubber Industries Limited (Consumer Discretionary, Auto Components)		10,100		103,170
Sundrug Company Limited (Consumer Staples, Food & Staples Retailing)		4,400		148,215
Suntory Beverage & Food Limited (Consumer Staples, Beverages)		6,700		274,199
Suzuken Company Limited (Health Care, Health Care Providers & Services)		4,900		178,269
Suzuki Motor Corporation (Consumer Discretionary, Automobiles)		22,100		770,399
T&D Holdings Incorporated (Financials, Insurance)		33,100		300,653
Taiheiyo Cement Corporation (Materials, Construction Materials)		6,300		149,323
Taisei Corporation (Industrials, Construction & Engineering)		11,600		402,957
Taiyo Nippon Sanso Corporation (Materials, Chemicals)		12,100		203,413
Taiyo Yuden Company Limited (Information Technology, Electronic Equipment, Instruments & Components)		7,500		209,978
Takara Holdings Incorporated (Consumer Staples, Beverages)		12,200		98,594
Takashimaya Company Limited (Consumer Discretionary, Multiline Retail)		8,200		78,947
TDK Corporation (Information Technology, Electronic Equipment, Instruments & Components)		7,200		675,537
TechnoPro Holdings Incorporated (Industrials, Professional Services)		2,100		125,958
Teijin Limited (Materials, Chemicals)		11,900		195,034
The Bank of Kyoto Limited (Financials, Banks)		4,100		147,836
The Chugoku Electric Power Company Incorporated (Utilities, Electric Utilities)		18,200		250,314
The Hachijuni Bank Limited (Financials, Banks)		29,300		108,813
The Yokohama Rubber Company Limited (Consumer Discretionary, Auto Components)		7,800		118,261
THK Company Limited (Industrials, Machinery)		7,100		185,760
TIS Incorporated (Information Technology, IT Services)		13,600		289,087
Tobu Railway Company Limited (Industrials, Road & Rail)		12,600		447,209
Toho Company Limited Tokyo (Communication Services, Entertainment)		7,600		279,428
Toho Gas Company Limited (Utilities, Gas Utilities)		5,300		263,040

11

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced International Equity Portfolio

	Shares		Value
Japan (continued)
Tokai Carbon Company Limited (Materials, Chemicals)		11,800	$	107,746
Tokio Marine Holdings Incorporated (Financials, Insurance)		38,700		1,679,185
Tokyo Broadcasting System Incorporated (Communication Services, Media)		8,700		136,744
Tokyo Century Corporation (Financials, Diversified Financial Services)		2,700		118,145
Tokyo Electric Power Company Holdings Incorporated (Utilities, Electric Utilities) †		90,300		305,271
Tokyo Gas Company Limited (Utilities, Gas Utilities)		21,500		514,752
Tokyo Tatemono Company Limited (Real Estate, Real Estate Management & Development)		12,700		163,870
Tokyu Corporation (Industrials, Road & Rail)		32,400		515,188
Tokyu Fudosan Holdings Corporation (Real Estate, Real Estate Management & Development)		36,000		182,031
Toppan Printing Company Limited (Industrials, Commercial Services & Supplies)		20,200		346,163
Toray Industries Incorporated (Materials, Chemicals)		92,800		451,774
Tosoh Corporation (Materials, Chemicals)		17,200		239,852
Toyo Seikan Kaisha Limited (Materials, Containers & Packaging)		9,300		99,034
Toyo Suisan Kaisha Limited (Consumer Staples, Food Products)		5,800		303,936
Toyota Tsusho Corporation (Industrials, Trading Companies & Distributors)		13,900		353,655
Trend Micro Incorporated (Information Technology, Software)		8,000		440,338
Tsumura & Company (Health Care, Pharmaceuticals)		4,400		122,426
Tsuruha Holdings Incorporated (Consumer Staples, Food & Staples Retailing)		2,600		384,950
UBE Industries Limited (Materials, Chemicals)		5,800		103,772
Unicharm Corporation (Consumer Staples, Household Products)		26,100		974,596
United Urban Investment Corporation (Real Estate, Equity REITs)		172		182,104
USS Company Limited (Consumer Discretionary, Specialty Retail)		11,800		205,758
Welcia Holdings Company Limited (Consumer Staples, Food & Staples Retailing)		3,100		260,826
West Japan Railway Company (Industrials, Road & Rail)		11,000		712,113
Yahoo! Japan Corporation (Communication Services, Interactive Media & Services)		145,500		598,449
Yamada Denki Company Limited (Consumer Discretionary, Specialty Retail)		36,100		175,680
Yamaguchi Financial Group (Financials, Banks)		15,200		91,111
Yamaha Corporation (Consumer Discretionary, Leisure Products)		9,000		439,065
Yamaha Motor Company Limited (Consumer Discretionary, Automobiles)		17,500		253,492
Yamazaki Baking Company Limited (Consumer Staples, Food Products)		10,100		181,062
Zenkoku Hosho Company Limited (Financials, Diversified Financial Services)		3,300		127,481
Zensho Holdings Company Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		5,700		121,586
Zeon Corporation (Materials, Chemicals)		10,500		101,407
ZOZO Incorporated (Consumer Discretionary, Internet & Direct Marketing Retail)		5,100		94,060
				121,946,118
Luxembourg : 0.25%
Aroundtown SA (Real Estate, Real Estate Management & Development)		57,777		317,777
B&M European Value Retail SA (Consumer Discretionary, Multiline Retail)		37,370		180,493
Eurofins Scientific SE (Health Care, Life Sciences Tools & Services)		592		402,497
Grand City Properties SA (Real Estate, Real Estate Management & Development)		5,472		124,400
SES SA (Communication Services, Media)		21,134		156,568
Subsea 7 SA (Energy, Energy Equipment & Services) †		6,359		36,853
Tenaris SA (Energy, Energy Equipment & Services)		20,037		126,099
				1,344,687
Netherlands : 3.53%
Aalberts Industries NV (Industrials, Machinery) †		4,734		129,965
Adyen NV (Information Technology, IT Services) 144A†		1,400		1,838,465
Altice NV Class A (Communication Services, Media) †		34,825		137,566
ASM International NV (Information Technology, Semiconductors & Semiconductor Equipment)		2,436		284,134
ASR Nederland NV (Financials, Insurance)		7,974		219,216
BE Semiconductor Industries NV (Information Technology, Semiconductors & Semiconductor Equipment)		3,598		137,594
CNH Industrial NV (Industrials, Machinery) †		45,054		274,963
Euronext NV (Financials, Capital Markets) 144A		2,764		256,784
Heineken Holding NV (Consumer Staples, Beverages)		5,486		451,249
Heineken NV (Consumer Staples, Beverages)		13,564		1,241,879
IMCD Group NV (Industrials, Trading Companies & Distributors)		2,793		263,374
Koninklijke Ahold Delhaize NV (Consumer Staples, Food & Staples Retailing)		56,896		1,442,537
Koninklijke DSM NV (Materials, Chemicals)		9,740		1,245,890
Koninklijke Philips NV (Health Care, Health Care Equipment & Supplies)		48,487		2,204,363

12

Wells Fargo Factor Enhanced International Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Netherlands (continued)
Koninklijke Vopak NV (Energy, Oil, Gas & Consumable Fuels)		3,872	$	211,940
NN Group NV (Financials, Insurance)		19,104		586,398
Prosus NV (Consumer Discretionary, Internet & Direct Marketing Retail) †		23,777		1,968,968
Randstad Holdings NV (Industrials, Professional Services)		6,581		275,627
SBM Offshore NV (Energy, Energy Equipment & Services)		8,352		114,491
Signify NV (Industrials, Electrical Equipment) 144A		7,792		167,788
STMicroelectronics NV (Information Technology, Semiconductors & Semiconductor Equipment)		30,766		769,195
Unilever NV (Consumer Staples, Personal Products)		73,543		3,800,550
Wolters Kluwer NV (Communication Services, Media)		14,764		1,174,748
				19,197,684
New Zealand : 0.49%
A2 Milk Company Limited (Consumer Staples, Food Products) †		37,032		438,518
Auckland International Airport Limited (Industrials, Transportation Infrastructure)		46,199		187,152
Contact Energy Limited (Utilities, Electric Utilities)		38,755		150,013
Fisher & Paykel Healthcare Corporation (Health Care, Health Care Equipment & Supplies)		32,699		609,658
Fletcher Building Limited (Materials, Construction Materials)		43,863		95,870
Infratil Limited (Utilities, Electric Utilities)		32,464		96,765
Mainfreight Limited (Industrials, Air Freight & Logistics)		4,668		115,678
Mercury Limited (Utilities, Electric Utilities)		34,892		101,064
Meridian Energy Limited (Utilities, Independent Power & Renewable Electricity Producers)		61,650		182,589
Ryman Healthcare Limited (Health Care, Health Care Providers & Services)		20,842		157,160
Spark New Zealand Limited (Communication Services, Diversified Telecommunication Services)		92,210		253,481
Xero Limited (Information Technology, Software) †		5,383		306,762
				2,694,710
Norway : 0.66%
DNB ASA (Financials, Banks) †		44,641		609,253
Entra ASA (Real Estate, Real Estate Management & Development) 144A		7,360		99,714
Equinor ASA (Energy, Oil, Gas & Consumable Fuels)		51,227		747,076
Gjensidige Forsikring ASA (Financials, Insurance) †		8,945		163,075
Mowi ASA (Consumer Staples, Food Products)		19,417		365,973
Orkla ASA (Consumer Staples, Food Products)		33,848		304,014
Salmar ASA (Consumer Staples, Food Products)		2,253		101,603
Schibsted ASA Class A (Communication Services, Media)		3,683		91,526
Storebrand ASA (Financials, Insurance) †		22,285		114,874
Telenor ASA (Communication Services, Diversified Telecommunication Services)		32,477		492,268
TGS Nopec Geophysical Company ASA (Energy, Energy Equipment & Services)		3,694		52,917
Tomra Systems ASA (Industrials, Commercial Services & Supplies)		4,670		168,257
Yara International ASA (Materials, Chemicals)		7,512		258,412
				3,568,962
Pagua New Guinea : 0.02%
Oil Search Limited (Energy, Oil, Gas & Consumable Fuels)		57,402		133,461
Poland : 0.25%
Bank Pekao SA (Financials, Banks)		8,517		111,153
Bank Zachodni WBK SA (Financials, Banks)		1,688		68,626
CD Projekt SA (Communication Services, Entertainment)		2,844		286,693
KGHM Polska Miedz SA (Materials, Metals & Mining) †		5,202		111,522
LPP SA (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		60		102,798
PKO Bank Polski SA (Financials, Banks)		42,772		236,634
Polski Koncern Naftowy Orlen SA (Energy, Oil, Gas & Consumable Fuels)		13,226		220,698
Powszechny Zaklad Ubezpieczen SA (Financials, Insurance)		31,327		233,415
				1,371,539
Portugal : 0.23%
Energias de Portugal SA (Utilities, Electric Utilities)		142,177		664,192

13

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced International Equity Portfolio

	Shares		Value
Portugal (continued)
Galp Energia SGPS SA (Energy, Oil, Gas & Consumable Fuels)		28,437	$	338,349
Jeronimo Martins SA (Consumer Staples, Food & Staples Retailing)		14,891		253,917
				1,256,458
Singapore : 1.60%
Ascendas REIT (Real Estate, Equity REITs)		168,700		375,446
CapitaLand Commercial Trust Limited (Real Estate, Equity REITs)		157,900		196,170
CapitaLand Limited (Real Estate, Real Estate Management & Development) †		135,563		278,360
CapitaLand Mall Trust (Real Estate, Equity REITs)		152,000		219,315
City Developments Limited (Real Estate, Real Estate Management & Development)		23,475		128,419
ComfortDelGro Corporation Limited (Industrials, Road & Rail)		118,937		121,514
DBS Group Holdings Limited (Financials, Banks)		97,413		1,347,636
Genting Singapore Limited (Consumer Discretionary, Hotels, Restaurants & Leisure)		299,424		166,845
Jardine Cycle & Carriage Limited (Consumer Discretionary, Distributors)		3,977		61,749
Keppel Corporation Limited (Industrials, Industrial Conglomerates)		72,600		304,492
Keppel DC REIT (Real Estate, Equity REITs)		72,200		131,728
Mapletree Commercial Trust (Real Estate, Equity REITs)		134,900		191,925
Mapletree Industrial Trust (Real Estate, Equity REITs)		89,600		173,222
Mapletree Logistics Trust (Real Estate, Equity REITs)		138,700		202,016
NetLink NBN Trust Unit (Communication Services, Diversified Telecommunication Services)		158,000		115,391
Oversea-Chinese Banking Corporation Limited (Financials, Banks)		212,796		1,292,001
Singapore Airlines Limited (Industrials, Airlines)		55,500		150,220
Singapore Airport Terminal Services Limited (Industrials, Transportation Infrastructure)		37,000		69,858
Singapore Exchange Limited (Financials, Capital Markets)		42,774		251,302
Singapore Press Holdings Limited (Communication Services, Media)		99,200		90,130
Singapore Technologies Engineering Limited (Industrials, Aerospace & Defense)		77,869		176,349
Singapore Telecommunications Limited (Communication Services, Diversified Telecommunication Services)		384,715		677,501
Suntec REIT (Real Estate, Equity REITs)		112,400		117,437
United Overseas Bank Limited (Financials, Banks)		83,386		1,154,936
UOL Group Limited (Real Estate, Real Estate Management & Development)		25,473		123,803
Venture Corporation Limited (Information Technology, Electronic Equipment, Instruments & Components)		13,300		144,532
Wilmar International Limited (Consumer Staples, Food Products)		133,385		376,826
Yangzijiang Shipbuilding Holdings Limited (Industrials, Machinery)		133,200		88,895
				8,728,018
Spain : 1.80%
Acciona SA (Utilities, Electric Utilities)		1,151		115,258
Actividades de Construccion y Servicios SA (Industrials, Construction & Engineering)		13,381		342,420
Aena SA (Industrials, Transportation Infrastructure) 144A†		3,369		479,437
Amadeus IT Holding SA Class A (Information Technology, IT Services)		20,895		1,092,629
Banco de Sabade SA (Financials, Banks)		327,862		100,445
Bankinter SA (Financials, Banks)		33,809		143,632
Bolsas y Mercados Espanoles (Financials, Capital Markets)		3,900		142,601
CaixaBank SA (Financials, Banks)		195,348		363,394
Enagás SA (Utilities, Gas Utilities)		11,406		257,088
Gas Natural SDG SA (Utilities, Gas Utilities)		18,607		346,995
Grifols SA (Health Care, Biotechnology)		18,235		569,047
Iberdrola SA (Utilities, Electric Utilities)		313,953		3,399,320
Industria de Diseno Textil SA (Consumer Discretionary, Specialty Retail)		53,398		1,487,318
Inmobiliaria Colonial Socimi SA (Real Estate, Equity REITs)		14,728		133,165
International Consolidated Airlines Group SA (Industrials, Airlines)		51,846		147,565
Mapfre SA (Financials, Insurance)		48,122		84,857
Merlin Properties Socimi SA (Real Estate, Equity REITs)		16,562		139,532
Red Eléctrica de Espana SA (Utilities, Electric Utilities)		24,632		433,724
				9,778,427
Sweden : 3.82%
AAK AB (Consumer Staples, Food Products)		9,193		168,195
Alfa Laval AB (Industrials, Machinery) †		14,987		304,567

14

Wells Fargo Factor Enhanced International Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Sweden (continued)
Assa Abloy AB Class B (Industrials, Building Products)		56,083	$	1,144,675
Atlas Copco AB Class A (Industrials, Machinery)		34,667		1,371,252
Boliden AB (Materials, Metals & Mining)		13,072		285,641
Castellum AB (Real Estate, Real Estate Management & Development)		12,696		238,722
Dometic Group AB (Consumer Discretionary, Auto Components) 144A†		14,934		132,110
Electrolux AB Class B (Consumer Discretionary, Household Durables)		11,660		192,249
Electrolux Professional AB Class B (Industrials, Machinery) †		11,665		42,228
Elekta AB Class B (Health Care, Health Care Equipment & Supplies)		19,707		208,002
Epiroc AB Class A (Industrials, Machinery)		33,830		378,679
EQT AB (Financials, Capital Markets) †		29,048		462,786
Ericsson LM Class B (Information Technology, Communications Equipment)		165,148		1,512,317
Essity Aktiebolag AB (Consumer Staples, Household Products) †		37,144		1,230,230
Evolution Gaming Group (Consumer Discretionary, Hotels, Restaurants & Leisure) 144A†		5,363		315,299
Fabege AB (Real Estate, Real Estate Management & Development)		15,200		185,096
Fastighets AB Balder B Shares (Real Estate, Real Estate Management & Development) †		4,994		205,079
Getinge AB Class B (Health Care, Health Care Equipment & Supplies) †		11,791		218,884
Hennes & Mauritz AB Class B (Consumer Discretionary, Specialty Retail)		38,306		582,578
Hexagon AB Class B (Information Technology, Electronic Equipment, Instruments & Components) †		14,098		781,909
Hexpol AB (Materials, Chemicals) †		13,779		103,889
Holmen AB Class B (Materials, Paper & Forest Products) †		4,671		153,716
Husqvarna AB Class B (Consumer Discretionary, Household Durables)		19,479		144,451
ICA Gruppen AB (Consumer Staples, Food & Staples Retailing)		4,508		212,317
Indutrade AB (Industrials, Trading Companies & Distributors)		4,698		180,067
Investor AB Class B (Financials, Diversified Financial Services)		23,873		1,281,249
Kinnevik AB Class B (Financials, Diversified Financial Services)		11,122		281,970
Loomis AB Class B (Industrials, Commercial Services & Supplies)		3,552		89,812
Lundbergforetagen AB Class B (Financials, Diversified Financial Services) †		3,709		185,049
Nibe Industrier AB Class B (Industrials, Building Products)		16,208		361,947
Saab AB Class B (Industrials, Aerospace & Defense) †		4,038		98,575
Samhallsbyggnadsbolaget i Norben AB (Real Estate, Real Estate Management & Development) †		44,579		90,041
Sandvik AB (Industrials, Machinery) †		59,596		996,300
Securitas AB Class B (Industrials, Commercial Services & Supplies)		15,001		200,278
Skandinaviska Enskilda Banken AB Class A (Financials, Banks) †		82,657		719,286
Skanska AB Class B (Industrials, Construction & Engineering) †		18,987		381,693
SKF AB Class B (Industrials, Machinery)		19,877		367,490
Svenska Cellulosa AB Class B (Materials, Paper & Forest Products) †		29,526		369,463
Svenska Handelsbanken AB Class A (Financials, Banks) †		83,410		787,892
Swedbank AB Class A (Financials, Banks) †		51,838		651,019
Swedish Match AB (Consumer Staples, Tobacco)		8,567		597,917
Swedish Orphan Biovitrum AB (Health Care, Biotechnology) †		11,827		258,282
Tele2 AB Class B (Communication Services, Wireless Telecommunication Services)		26,332		348,896
Telia Company AB (Communication Services, Diversified Telecommunication Services)		141,347		483,457
Trelleborg AB Class B (Industrials, Machinery) †		12,522		171,352
Volvo AB Class B (Industrials, Machinery) †		84,719		1,208,887
Wihlborgs Fastigheter AB (Real Estate, Real Estate Management & Development)		7,220		116,773
				20,802,566
Switzerland : 10.02%
Adecco SA (Industrials, Professional Services)		8,951		430,399
Allreal Holding AG (Real Estate, Real Estate Management & Development)		752		145,959
Baloise Holding AG (Financials, Insurance)		2,429		347,579
Barry Callebaut AG (Consumer Staples, Food Products)		163		328,759
BB Biotech AG (Health Care, Biotechnology)		48,398		3,436,480
Belimo Holding AG (Industrials, Building Products)		24		181,901
Cembra Money Bank AG (Financials, Consumer Finance)		1,690		167,913
Chocoladefabriken Lindt & Sprungli AG (Consumer Staples, Food Products)		6		523,213
Coca-Cola HBC AG (Consumer Staples, Beverages)		8,771		222,105
EMS-Chemie Holdings AG (Materials, Chemicals)		449		333,617
Flughafen Zuerich AG (Industrials, Transportation Infrastructure) †		909		125,754
Galenica AG (Health Care, Pharmaceuticals)		2,809		208,092
Geberit AG (Industrials, Building Products)		2,152		1,052,953
Georg Fischer AG (Industrials, Machinery)		215		179,591

15

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced International Equity Portfolio

	Shares		Value
Switzerland (continued)
Givaudan SA (Materials, Chemicals)		425	$	1,530,457
Helvetia Holding AG (Financials, Insurance)		1,708		152,247
Kuehne & Nagel International AG (Industrials, Marine)		2,959		427,953
Logitech International SA (Information Technology, Technology Hardware, Storage & Peripherals)		8,974		533,198
Lonza Group AG (Health Care, Life Sciences Tools & Services)		4,131		2,039,973
Nestle SA (Consumer Staples, Food Products)		158,375		17,195,883
Partners Group Holding AG (Financials, Capital Markets)		921		767,261
PSP Swiss Property AG (Real Estate, Real Estate Management & Development)		2,388		271,867
Roche Holding AG (Health Care, Pharmaceuticals)		38,881		13,496,431
Schindler Holding AG - Participation Certificate (Industrials, Machinery)		2,286		534,070
SGS SA (Industrials, Professional Services)		349		823,390
Sig Combibloc Group AG (Materials, Containers & Packaging)		10,962		184,489
Sika AG (Materials, Chemicals)		6,654		1,143,090
Sonova Holding AG (Health Care, Health Care Equipment & Supplies)		2,913		642,198
Straumann Holding AG (Health Care, Health Care Equipment & Supplies)		611		498,310
Sunrise Communications Group AG (Communication Services, Diversified Telecommunication Services) 144A		1,898		159,304
Swatch Group AG Class B (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		1,562		315,104
Swiss Life Holding AG (Financials, Insurance)		1,723		610,732
Swiss Prime Site AG (Real Estate, Real Estate Management & Development)		4,471		417,855
Swisscom AG (Communication Services, Diversified Telecommunication Services)		1,454		756,663
Tecan Group AG (Health Care, Life Sciences Tools & Services)		593		207,713
Temenos AG (Information Technology, Software)		3,774		580,079
VAT Group AG (Industrials, Machinery) 144A		1,483		270,074
Vifor Pharma AG (Health Care, Pharmaceuticals)		2,307		353,516
Zurich Insurance Group AG (Financials, Insurance)		9,086		2,940,244
				54,536,416
Thailand : 0.04%
Thai Beverage plc (Consumer Staples, Beverages)		433,300		193,844
United Kingdom : 11.21%
3i Group plc (Financials, Capital Markets)		50,687		518,703
Admiral Group plc (Financials, Insurance)		12,281		354,730
Aggreko plc (Industrials, Commercial Services & Supplies)		11,398		66,801
Amcor Limited (Materials, Containers & Packaging)		52,605		523,267
Ashmore Group plc (Financials, Capital Markets)		22,564		119,815
Ashtead Group plc (Industrials, Trading Companies & Distributors)		21,405		639,201
Associated British Foods plc (Consumer Staples, Food Products)		16,823		380,503
Auto Trader Group plc (Communication Services, Interactive Media & Services) 144A		50,239		349,202
Avast plc (Information Technology, Software) 144A		33,966		211,897
AVEVA Group plc (Information Technology, Software)		3,267		165,989
Aviva plc (Financials, Insurance)		210,727		649,994
BAE Systems plc (Industrials, Aerospace & Defense)		157,126		969,753
Bakkafrost Company (Consumer Staples, Food Products) †		2,197		137,083
Barratt Developments plc (Consumer Discretionary, Household Durables)		46,195		285,744
Beazley plc (Financials, Insurance)		28,303		134,658
Bellway plc (Consumer Discretionary, Household Durables)		5,540		176,847
Bovis Homes Group plc (Consumer Discretionary, Household Durables)		8,919		84,742
British American Tobacco plc (Consumer Staples, Tobacco)		105,037		4,165,810
Britvic plc (Consumer Staples, Beverages)		13,173		117,359
BT Group plc (Communication Services, Diversified Telecommunication Services)		419,328		603,716
Bunzl plc (Industrials, Trading Companies & Distributors)		16,770		392,477
Burberry Group plc (Consumer Discretionary, Textiles, Apparel & Luxury Goods)		18,948		353,824
Capita plc (Industrials, Professional Services) †		75,626		31,597
Carnival plc (Consumer Discretionary, Hotels, Restaurants & Leisure)		8,444		111,515
Cineworld Group plc (Communication Services, Entertainment)		34,582		36,393
Close Brothers Group plc (Financials, Capital Markets)		8,101		108,494
Compass Group plc (Consumer Discretionary, Hotels, Restaurants & Leisure)		78,430		1,149,736
ConvaTec Limited (Health Care, Health Care Equipment & Supplies) 144A		80,900		203,772
Countryside Properties plc (Consumer Discretionary, Household Durables)		16,558		59,801
Croda International plc (Materials, Chemicals)		6,377		410,275
Dechra Pharmaceuticals plc (Health Care, Pharmaceuticals)		4,924		169,851

16

Wells Fargo Factor Enhanced International Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
United Kingdom (continued)
Derwent Valley Holdings plc (Real Estate, Equity REITs)		5,005	$	182,659
Diageo plc (Consumer Staples, Beverages)		116,699		4,071,611
Dialog Semiconductor plc (Information Technology, Semiconductors & Semiconductor Equipment) †		3,057		122,247
Diploma plc (Industrials, Trading Companies & Distributors)		6,422		145,998
Direct Line Insurance Group plc (Financials, Insurance)		74,879		245,278
DS Smith plc (Materials, Containers & Packaging)		58,744		248,573
easyJet plc (Industrials, Airlines)		9,804		83,304
Electrocomponents plc (Information Technology, Electronic Equipment, Instruments & Components)		20,854		164,688
EVRAZ plc (Materials, Metals & Mining)		24,513		85,891
Experian Group Limited plc (Industrials, Professional Services)		47,602		1,669,520
Ferguson plc (Industrials, Trading Companies & Distributors)		11,301		891,288
G4S plc (Industrials, Commercial Services & Supplies)		65,682		73,522
Games Workshop Group plc (Consumer Discretionary, Leisure Products)		1,465		144,972
Genus plc (Health Care, Biotechnology)		4,123		178,330
GlaxoSmithKline plc (Health Care, Pharmaceuticals)		251,090		5,200,753
Great Portland Estates plc (Real Estate, Equity REITs)		9,693		78,216
Greggs plc (Consumer Discretionary, Hotels, Restaurants & Leisure)		4,853		111,187
GVC Holdings plc (Consumer Discretionary, Hotels, Restaurants & Leisure)		24,884		244,280
Halma plc (Information Technology, Electronic Equipment, Instruments & Components)		18,838		546,675
Hays plc (Industrials, Professional Services)		70,796		99,452
Hikma Pharmaceuticals plc (Health Care, Pharmaceuticals)		7,991		254,512
HomeServe plc (Industrials, Commercial Services & Supplies)		13,298		214,344
Howden Joinery Group plc (Industrials, Trading Companies & Distributors)		28,561		209,497
IG Group Holdings plc (Financials, Capital Markets)		17,347		164,040
IMI plc (Industrials, Machinery)		14,064		157,079
Imperial Tobacco Group plc (Consumer Staples, Tobacco)		42,235		770,373
Inchcape plc (Consumer Discretionary, Distributors)		16,239		100,961
Informa plc (Communication Services, Media)		64,861		371,556
Intermediate Capital Group (Financials, Capital Markets)		12,312		193,615
Intertek Group plc (Industrials, Professional Services)		7,775		532,103
Investec plc (Financials, Capital Markets)		31,126		56,352
ITV plc (Communication Services, Media)		168,784		168,308
IWG plc (Real Estate, Real Estate Management & Development)		27,906		102,527
J Sainsbury plc (Consumer Staples, Food & Staples Retailing)		90,721		217,534
JD Sports Fashion plc (Consumer Discretionary, Specialty Retail)		17,500		143,472
John Wood Group plc (Energy, Energy Equipment & Services)		22,888		54,962
Johnson Matthey plc (Materials, Chemicals)		8,962		236,295
Just Eat plc (Consumer Discretionary, Internet & Direct Marketing Retail) †(a)		30,708		404,685
Kingfisher plc (Consumer Discretionary, Specialty Retail)		89,070		216,171
Legal & General Group plc (Financials, Insurance)		288,579		712,482
M&G plc (Financials, Diversified Financial Services)		107,296		186,739
Man Group plc (Financials, Capital Markets)		77,433		136,293
Marks & Spencer Group plc (Consumer Discretionary, Multiline Retail)		82,276		99,899
Meggitt plc (Industrials, Aerospace & Defense)		42,080		145,454
Micro Focus International plc (Information Technology, Software)		14,864		73,223
Mondi plc (Materials, Paper & Forest Products)		23,352		439,376
Moneysupermarket.com Group plc (Consumer Discretionary, Internet & Direct Marketing Retail)		23,884		101,941
National Grid plc (Utilities, Multi-Utilities)		186,116		2,141,368
Network International Holding (Financials, Diversified Financial Services) 144A†		20,070		115,736
Next plc (Consumer Discretionary, Multiline Retail)		5,902		356,930
NMC Health plc (Health Care, Health Care Providers & Services) (a)‡		7,509		87,024
Pearson plc (Communication Services, Media)		42,027		240,353
Pennon Group plc (Utilities, Water Utilities)		20,644		292,616
Persimmon plc (Consumer Discretionary, Household Durables)		15,000		427,859
Phoenix Group Holdings plc (Financials, Insurance)		39,633		304,685
Polymetal International plc (Materials, Metals & Mining)		14,106		283,538
Quilter plc (Financials, Capital Markets)		85,789		138,024
Reckitt Benckiser Group plc (Consumer Staples, Household Products)		37,179		3,329,991
Redrow plc (Consumer Discretionary, Household Durables)		12,245		71,261
RELX plc (Industrials, Professional Services)		97,967		2,280,228
Rentokil Initial plc (Industrials, Commercial Services & Supplies)		91,407		565,312
Rightmove plc (Communication Services, Interactive Media & Services)		43,520		317,073
Rio Tinto plc (Materials, Metals & Mining)		52,933		2,870,788

17

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced International Equity Portfolio

						Shares		Value
United Kingdom (continued)
Rotork plc (Industrials, Machinery)							39,817	$	131,810
Royal Mail plc (Industrials, Air Freight & Logistics)							43,616		94,093
RSA Insurance Group plc (Financials, Insurance)							60,360		295,603
Segro plc (Real Estate, Equity REITs)							53,087		551,655
Severn Trent plc (Utilities, Water Utilities)							12,167		368,423
Signature Aviation PLC (Industrials, Transportation Infrastructure)							33,208		96,252
Smith & Nephew plc (Health Care, Health Care Equipment & Supplies)							41,374		844,092
Smiths Group plc (Industrials, Industrial Conglomerates)							20,955		341,664
Spectris plc (Information Technology, Electronic Equipment, Instruments & Components)							6,211		197,891
Spirax-Sarco Engineering plc (Industrials, Machinery)							3,687		452,511
SSE plc (Utilities, Electric Utilities)							53,913		828,649
SSP Group plc (Consumer Discretionary, Hotels, Restaurants & Leisure)							23,899		82,489
Tate & Lyle plc (Consumer Staples, Food Products)							22,074		184,129
Taylor Wimpey plc (Consumer Discretionary, Household Durables)							142,891		255,957
TechnipFMC plc - BATS Exchange (Energy, Energy Equipment & Services)							19,104		141,326
Tesco plc (Consumer Staples, Food & Staples Retailing)							483,378		1,372,554
The Berkeley Group Holdings plc (Consumer Discretionary, Household Durables)							5,819		296,429
The Sage Group plc (Information Technology, Software)							54,812		470,022
The Unite Group plc (Real Estate, Equity REITs)							13,964		150,087
TP Icap plc (Financials, Capital Markets)							25,905		109,400
Trainline plc (Consumer Discretionary, Internet & Direct Marketing Retail) 144A†							24,539		148,826
Travis Perkins plc (Industrials, Trading Companies & Distributors)							12,212		166,807
Tritax Big Box REIT plc (Real Estate, Equity REITs)							74,251		127,899
Unilever plc (Consumer Staples, Personal Products)							59,033		3,169,693
United Utilities Group plc (Utilities, Water Utilities)							35,556		404,779
Victrex plc (Materials, Chemicals)							3,803		96,423
WH Smith plc (Consumer Discretionary, Specialty Retail)							5,339		70,501
Whitbread plc (Consumer Discretionary, Hotels, Restaurants & Leisure)							7,603		238,457
William Morrison Supermarkets plc (Consumer Staples, Food & Staples Retailing)							116,339		269,913
WPP plc (Communication Services, Media)							62,499		475,646
									60,992,552
Total Common Stocks (Cost $506,865,203)									518,988,475
	Dividend yield
Preferred Stocks : 0.62%
Germany : 0.62%
Fuchs Petrolub SE (Materials, Chemicals)		1.91	%				3,114		124,662
Henkel AG & Company KGaA (Consumer Staples, Household Products) †		1.72					9,226		825,121
Porsche Automobil Holding SE (Consumer Discretionary, Automobiles)		4.12					7,575		416,443
Sartorius AG Vorzug (Health Care, Health Care Equipment & Supplies) †		0.57					1,856		691,899
Volkswagen AG (Consumer Discretionary, Automobiles)		3.87					8,888		1,316,048
									3,374,173
Total Preferred Stocks (Cost $3,132,163)									3,374,173
				Expiration date
Rights : 0.01%
United Kingdom : 0.01%
Whitbread plc (Consumer Discretionary, Hotels, Restaurants & Leisure)†					6-11-2020		3,802		47,042
Total Rights (Cost $65,000)									47,042

18

Wells Fargo Factor Enhanced International Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

			Yield			Shares		Value
Short-Term Investments : 1.95%
Investment Companies : 1.95%
Wells Fargo Government Money Market Fund Select Class (l)(u)				0.12	%		10,604,777	$	10,604,777
Total Short-Term Investments (Cost $10,604,777)									10,604,777
Total investments in securities (Cost $520,667,143)	97.97	%							533,014,467
Other assets and liabilities, net	2.03								11,043,605
Total net assets	100.00	%						$	544,058,072

† Non-income-earning security

144A The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933.

(a) The security is fair valued in accordance with procedures approved by the Board of Trustees.

‡ Security is valued using significant unobservable inputs.

(l) The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

(u) The rate represents the 7-day annualized yield at period end.

Abbreviations:

REIT Real estate investment trust

The accompanying notes are an integral part of these financial statements.

19

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost		Notional value		Unrealized gains		Unrealized losses
Long
MSCI EAFE Index		211		6-19-2020	$	16,982,722	$	18,205,080	$	1,222,358	$	0

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Shares, beginning of period		Shares purchased		Shares sold			Shares, end of period		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		24,301,039		147,130,594		(160,826,856	)		10,604,777	$	10,604,777		1.95	%

Wells Fargo Factor Enhanced International Equity Portfolio (the “Portfolio”)

Notes to Portfolio of investments – May 31, 2020 (unaudited)

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Portfolio may deviate from this calculation under unusual or unexpected circumstances.

Equity securities and futures contracts that are listed on a foreign or domestic exchange or market are valued at the official closing price or, if none, the last sales price. If no sale occurs on the principal exchange or market that day, a fair value price will be determined in accordance with the Portfolio’s Valuation Procedures.

The values of securities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC.

Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore may not fully reflect trading or events that occur after the close of the principal exchange in which the foreign securities are traded, but before the close of the New York Stock Exchange. If such trading or events are expected to materially affect the value of such securities, then fair value pricing procedures approved by the Board of Trustees of the Portfolio are applied. These procedures take into account multiple factors including movements in U.S. securities markets after foreign exchanges close. Foreign securities that are fair valued under these procedures are categorized as Level 2 and the application of these procedures may result in transfers between Level 1 and Level 2. Depending on market activity, such fair valuations may be frequent. Such fair value pricing may result in net asset values that are higher or lower than net asset values based on the last reported sales price or latest quoted bid price. On May 31, 2020, such fair value pricing was used in pricing certain foreign securities.

Investments in registered open-end investment companies are valued at net asset value.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee. The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

Foreign currency translation

The accounting records of the Portfolio are maintained in U.S. dollars. The values of other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee. Purchases and sales of securities, and income and expenses are converted at the rate of exchange on the respective dates of such transactions. Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded and the U.S. dollar equivalent of the amounts actually paid or received. Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities other than investments in securities resulting from changes in exchange rates. The changes in net assets arising from changes in exchange rates of securities and the changes in net assets resulting from changes in market prices of securities are not separately presented. Such changes are included in net realized and unrealized gains or losses from investments.

Futures contracts

Futures contracts are agreements between the Portfolio and a counterparty to buy or sell a specific amount of a commodity, financial instrument or currency at a specified price and on a specified date. The Portfolio may buy and sell futures contracts in order to gain exposure to, or protect against, changes in security values and is subject to equity price risk. The primary risks associated with the use of futures contracts are the imperfect correlation between changes in market values of securities held by the Portfolio and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange. With futures contracts, there is minimal counterparty risk to the Portfolio since futures contracts are exchange traded and the exchange’s clearinghouse, as the counterparty to all exchange traded futures, guarantees the futures contracts against default.

Upon entering into a futures contracts, the Portfolio is required to deposit either cash or securities (initial margin) with the broker in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are paid to or from the broker each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains or losses and, if any, shown as variation margin receivable (payable). Should the Portfolio fail to make requested variation margin payments, the broker can gain access to the initial margin to satisfy the Portfolio’s payment obligations. When the contracts are closed, a realized gain or loss is recorded.

Fair valuation measurements

Fair value measurements of investments are determined within a framework that has established a fair value hierarchy based upon the various data inputs utilized in determining the value of the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

Level 1	–	quoted prices in active markets for identical securities
Level 2	–	other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3	–	significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of May 31, 2020:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Common stocks
Australia	$	0	$	39,912,768	$	0	$	39,912,768
Austria		110,255		1,384,445		0		1,494,700
Belgium		0		3,243,339		0		3,243,339
Canada		51,158,490		557,799		0		51,716,289
China		0		1,156,238		0		1,156,238
Denmark		0		15,670,649		0		15,670,649
Faeroe Islands		0		137,083		0		137,083
Finland		0		8,255,415		0		8,255,415
France		0		32,678,014		0		32,678,014
Germany		0		26,643,753		0		26,643,753
Hong Kong		0		12,189,165		0		12,189,165
Ireland		610,590		8,801,095		0		9,411,685
Italy		0		10,071,018		0		10,071,018
Japan		0		121,946,118		0		121,946,118
Luxembourg		0		1,344,687		0		1,344,687
Netherlands		7,162,876		12,034,808		0		19,197,684
New Zealand		0		2,694,710		0		2,694,710
Norway		0		3,568,962		0		3,568,962
Pagua New Guinea		0		133,461		0		133,461
Poland		0		1,371,539		0		1,371,539
Portugal		0		1,256,458		0		1,256,458
Singapore		0		8,728,018		0		8,728,018
Spain		479,437		9,298,990		0		9,778,427
Sweden		42,228		20,760,338		0		20,802,566
Switzerland		0		54,536,416		0		54,536,416
Thailand		0		193,844		0		193,844
United Kingdom		31,597		60,736,848		87,024		60,855,469
Preferred stocks
Germany		0		3,374,173		0		3,374,173

Rights
United Kingdom		0		47,042		0		47,042
Short-term investments
Investment companies		10,604,777		0		0		10,604,777
		70,200,250		462,727,193		87,024		533,014,467
Futures contracts		1,222,358		0		0		1,222,358
Total assets	$	71,422,608	$	462,727,193	$	87,024	$	534,236,825

Additional sector, industry or geographic detail is included in the Portfolio of Investments.

Futures contracts are reported at their cumulative unrealized gains (losses) at measurement date as reported in the table following the Portfolio of Investments. All other assets and liabilities are reported at their market value at measurement date

As of May 31, 2020, the Portfolio had segregated $4,053,199 as cash collateral for these open futures contracts.

For the three months ended May 31, 2020, the Portfolio did not have any transfers into/out of Level 3.

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Common Stocks : 96.00%
Communication Services : 8.95%
Diversified Telecommunication Services : 2.54%
AT&T Incorporated		360,902	$	11,137,436
GCI Liberty Incorporated Class A †		4,661		322,495
Verizon Communications Incorporated		202,875		11,640,968
				23,100,899
Entertainment : 1.89%
Activision Blizzard Incorporated		33,965		2,444,801
Cinemark Holdings Incorporated		6,139		92,269
Electronic Arts Incorporated †		13,380		1,644,134
Live Nation Entertainment Incorporated †		7,709		378,974
Roku Incorporated †		4,694		514,040
Take-Two Interactive Software Incorporated †		5,127		698,144
The Madison Square Garden Company Class A		567		96,747
The Madison Square Garden Entertainment Corporation †		626		49,598
The Walt Disney Company		92,474		10,847,200
World Wrestling Entertainment Incorporated Class A		2,294		106,143
Zynga Incorporated Class A †		39,518		361,590
				17,233,640
Interactive Media & Services : 2.41%
Alphabet Incorporated Class A †		14,243		20,417,612
IAC Corporation †		3,825		1,034,165
Match Group Incorporated †		2,699		240,319
Pinterest Incorporated Class A †		8,417		170,781
TripAdvisor Incorporated		3,663		70,623
				21,933,500
Media : 1.93%
Altice USA Incorporated †		17,572		451,952
Cable One Incorporated		251		473,609
Charter Communications Incorporated Class A †		8,015		4,360,160
Comcast Corporation Class A		235,360		9,320,256
Discovery Communications Incorporated Class A †		6,710		145,943
DISH Network Corporation Class A †		12,510		395,942
Fox Corporation Class A		16,385		477,950
Interpublic Group of Companies Incorporated		19,157		327,776
News Corporation Class A		17,185		210,516
Nexstar Media Group Incorporated Class A		2,040		169,952
Omnicom Group Incorporated		10,644		583,185
Sirius XM Holdings Incorporated		60,780		353,740
Tegna Incorporated		9,838		115,301
The New York Times Company Class A		6,156		241,500
				17,627,782
Wireless Telecommunication Services : 0.18%
T-Mobile US Incorporated †		16,245		1,625,150
Consumer Discretionary : 9.15%
Auto Components : 0.11%
BorgWarner Incorporated		8,701		279,737
Gentex Corporation		11,269		297,952
Lear Corporation		2,598		275,518
The Goodyear Tire & Rubber Company		13,053		99,333
				952,540
Automobiles : 0.35%
Ford Motor Company		200,160		1,142,914

1

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

	Shares		Value
Automobiles (continued)
General Motors Company		63,905	$	1,653,861
Harley-Davidson Incorporated		8,806		187,920
Thor Industries Incorporated		2,386		205,673
				3,190,368
Distributors : 0.16%
Genuine Parts Company		7,236		603,555
LKQ Corporation †		14,082		386,692
Pool Corporation		1,841		495,266
				1,485,513
Diversified Consumer Services : 0.15%
Bright Horizons Family Solutions Incorporated †		2,830		316,620
Frontdoor Incorporated †		3,909		178,446
Grand Canyon Education Incorporated †		1,908		186,202
H&R Block Incorporated		8,785		149,345
Service Corporation International		8,355		329,438
ServiceMaster Global Holdings Incorporated †		7,029		231,254
				1,391,305
Hotels, Restaurants & Leisure : 2.30%
Aramark		13,038		337,554
Caesars Entertainment Corporation †		32,191		366,655
Carnival Corporation		20,151		317,177
Chipotle Mexican Grill Incorporated †		1,360		1,365,318
Churchill Downs Incorporated		1,525		202,322
Cracker Barrel Old Country Store Incorporated		850		91,061
Darden Restaurants Incorporated		5,890		452,705
Domino’s Pizza Incorporated		1,941		748,915
Dunkin Brands Group Incorporated		4,327		276,365
Hilton Worldwide Holdings Incorporated		13,882		1,100,981
Marriott International Incorporated Class A		12,770		1,130,145
Marriott Vacations Worldwide Corporation		1,778		159,718
McDonald’s Corporation		38,298		7,135,683
Norwegian Cruise Line Holdings Limited †		10,753		168,392
Planet Fitness Incorporated Class A †		4,092		264,466
Six Flags Entertainment Corporation		4,054		93,161
Starbucks Corporation		54,917		4,282,977
Texas Roadhouse Incorporated		2,796		144,973
The Wendy’s Company		9,070		192,828
Vail Resorts Incorporated		1,926		381,984
Wyndham Hotels & Resorts Incorporated		4,351		199,841
Wyndham Worldwide Corporation		4,656		148,061
Yum! Brands Incorporated		15,508		1,391,533
				20,952,815
Household Durables : 0.50%
D.R. Horton Incorporated		17,599		973,225
Helen of Troy Limited †		1,114		202,659
Leggett & Platt Incorporated		7,458		228,140
Lennar Corporation Class A		14,919		902,003
Mohawk Industries Incorporated †		2,929		272,983
NVR Incorporated †		177		570,225
Pulte Group Incorporated		12,591		427,716
Tempur-Pedic International Incorporated †		2,148		140,114
Toll Brothers Incorporated		6,661		215,217
TopBuild Corporation †		1,661		190,500
Whirlpool Corporation		3,056		372,282
				4,495,064
Internet & Direct Marketing Retail : 0.32%
eBay Incorporated		39,156		1,783,164

2

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Internet & Direct Marketing Retail (continued)
Expedia Group Incorporated		6,288	$	499,770
Qurate Retail Incorporated †		20,617		169,781
Wayfair Incorporated Class A †		2,852		489,261
				2,941,976
Leisure Products : 0.12%
Hasbro Incorporated		6,027		443,045
Mattel Incorporated †		17,251		158,882
Polaris Industries Incorporated		2,782		242,980
The Brunswick Corporation		3,938		216,629
				1,061,536
Multiline Retail : 0.75%
Dollar General Corporation		12,591		2,411,302
Dollar Tree Incorporated †		11,341		1,109,944
Kohl’s Corporation		8,329		160,083
Macy’s Incorporated		12,539		79,748
Nordstrom Incorporated		5,595		90,247
Target Corporation		24,467		2,993,048
				6,844,372
Specialty Retail : 3.49%
Aaron’s Incorporated		2,799		103,311
Advance Auto Parts Incorporated		3,265		454,880
AutoNation Incorporated †		3,221		127,165
AutoZone Incorporated †		1,126		1,292,490
Best Buy Company Incorporated		10,577		825,958
Burlington Stores Incorporated †		3,325		697,153
CarMax Incorporated †		8,456		744,551
Five Below Incorporated †		2,665		278,892
Foot Locker Incorporated		5,366		148,638
L Brands Incorporated		13,243		214,404
Lithia Motors Incorporated Class A		1,003		120,952
Lowe’s Companies Incorporated		37,612		4,902,724
O’Reilly Automotive Incorporated †		3,690		1,539,616
Ross Stores Incorporated		17,584		1,704,945
The Gap Incorporated		14,498		129,032
The Home Depot Incorporated		56,111		13,942,461
The TJX Companies Incorporated		56,701		2,991,545
Tractor Supply Company		5,570		679,651
Ulta Beauty Incorporated †		2,531		617,589
Williams-Sonoma Incorporated		3,719		309,458
				31,825,415
Textiles, Apparel & Luxury Goods : 0.90%
Capri Holdings Limited †		5,716		85,969
Carter’s Incorporated		2,189		188,057
Deckers Outdoor Corporation †		1,362		248,606
HanesBrands Incorporated		19,360		190,890
Nike Incorporated Class B		59,335		5,849,244
PVH Corporation		3,676		167,148
Ralph Lauren Corporation		1,861		140,524
Skechers USA Incorporated Class A †		5,655		177,115
Tapestry Incorporated		13,248		180,173
Under Armour Incorporated Class A †		9,129		79,879
VF Corporation		16,171		907,193
				8,214,798

3

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

	Shares		Value
Consumer Staples : 9.68%
Beverages : 2.43%
Brown-Forman Corporation Class B		15,442	$	1,018,091
Constellation Brands Incorporated Class A		7,930		1,369,511
Keurig Dr. Pepper Incorporated		13,722		383,118
Molson Coors Brewing Company Class B		8,362		317,422
Monster Beverage Corporation †		17,738		1,275,540
PepsiCo Incorporated		67,975		8,942,111
The Coca-Cola Company		189,644		8,852,582
				22,158,375
Food & Staples Retailing : 2.03%
BJ’s Wholesale Club Holdings Incorporated †		6,268		225,648
Casey’s General Stores Incorporated		1,932		308,598
Costco Wholesale Corporation		21,479		6,625,627
Performance Food Group Company †		4,532		120,778
Sysco Corporation		23,700		1,307,292
The Kroger Company		36,521		1,191,315
US Foods Holding Corporation †		10,897		208,569
Walmart Incorporated		68,753		8,529,497
				18,517,324
Food Products : 1.60%
Archer Daniels Midland Company		25,775		1,013,215
Bunge Limited		6,576		256,596
Campbell Soup Company		9,126		465,243
ConAgra Foods Incorporated		24,276		844,562
Darling Ingredients Incorporated †		6,907		161,002
Flowers Foods Incorporated		8,497		200,444
General Mills Incorporated		30,173		1,902,106
Hormel Foods Corporation		12,221		596,751
Ingredion Incorporated		2,718		228,937
Kellogg Company		12,114		791,165
Lamb Weston Holdings Incorporated		7,296		438,198
McCormick & Company Incorporated		6,129		1,073,556
Mondelez International Incorporated Class A		69,826		3,639,331
Post Holdings Incorporated †		3,396		295,656
The Hershey Company		7,477		1,014,479
The J.M. Smucker Company		5,136		585,144
TreeHouse Foods Incorporated †		2,456		129,456
Tyson Foods Incorporated Class A		14,852		912,507
				14,548,348
Household Products : 2.35%
Church & Dwight Company Incorporated		11,704		878,619
Colgate-Palmolive Company		42,856		3,099,774
Kimberly-Clark Corporation		16,781		2,373,505
The Clorox Company		5,857		1,208,006
The Procter & Gamble Company		119,313		13,830,763
				21,390,667
Personal Products : 0.26%
Coty Incorporated Class A		15,832		57,470
Herbalife Nutrition Limited †		4,386		192,282
The Estee Lauder Companies Incorporated Class A		10,562		2,085,678
				2,335,430
Tobacco : 1.01%
Altria Group Incorporated		92,615		3,616,616
Philip Morris International Incorporated		76,564		5,616,735
				9,233,351

4

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Energy : 2.97%
Energy Equipment & Services : 0.28%
Baker Hughes Incorporated		30,976	$	511,414
Halliburton Company		38,040		446,970
Helmerich & Payne Incorporated		4,882		98,275
National Oilwell Varco Incorporated		18,301		228,213
Schlumberger Limited		68,615		1,267,319
				2,552,191
Oil, Gas & Consumable Fuels : 2.69%
Cabot Oil & Gas Corporation		19,622		389,300
Chevron Corporation		94,824		8,695,361
Equitrans Midstream Corporation		9,524		77,049
Exxon Mobil Corporation		210,108		9,553,611
HollyFrontier Corporation		7,356		231,346
Marathon Petroleum Corporation		34,849		1,224,594
ONEOK Incorporated		20,984		769,903
PBF Energy Incorporated Class A		5,780		61,384
Phillips 66		22,181		1,735,885
Plains GP Holdings LP Class A		9,064		90,549
Targa Resources Corporation		12,994		232,463
Valero Energy Corporation		21,465		1,430,428
				24,491,873
Financials : 10.46%
Banks : 1.98%
Associated Banc Corporation		22,110		309,761
Bank of Hawaii Corporation		3,559		228,950
Bank OZK		7,519		169,102
BankUnited Incorporated		10,715		198,013
CIT Group Incorporated		9,006		163,369
Citizens Financial Group Incorporated		33,993		819,231
Comerica Incorporated		10,865		394,943
Commerce Bancshares Incorporated		6,097		388,562
Community Bank System Incorporated		4,079		242,374
Fifth Third Bancorp		43,936		851,919
First Financial Bankshares Incorporated		9,657		295,890
First Hawaiian Incorporated		11,824		203,964
First Horizon National Corporation		23,724		221,819
FNB Corporation		35,025		259,535
Glacier Bancorp Incorporated		7,133		293,808
Hancock Holding Company		8,449		182,667
Home BancShares Incorporated		14,217		205,720
Huntington Bancshares Incorporated		72,701		646,312
IBERIABANK Corporation		4,131		175,196
KeyCorp		73,556		871,639
M&T Bank Corporation		7,903		835,031
PacWest Bancorp		8,880		153,713
People’s United Financial Incorporated		28,489		326,199
Pinnacle Financial Partners Incorporated		6,226		248,106
PNC Financial Services Group Incorporated		22,824		2,602,849
Regions Financial Corporation		69,369		784,563
Signature Bank		3,369		346,704
Sterling Bancorp		13,396		164,771
Synovus Financial Corporation		11,127		213,527
TCF Financial Corporation		10,860		314,071
Texas Capital Bancshares Incorporated †		3,081		82,448
UMB Financial Corporation		3,529		180,967
Umpqua Holdings Corporation		22,009		250,683
United Bankshares Incorporated		9,144		265,908
US Bancorp		78,400		2,787,904
Valley National Bancorp		36,895		294,422
Webster Financial Corporation		7,697		217,825
Western Alliance Bancorp		6,494		247,746

5

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

	Shares		Value
Banks (continued)
Wintrust Financial Corporation		4,207	$	178,209
Zions Bancorporation		11,947		393,116
				18,011,536
Capital Markets : 3.14%
Affiliated Managers Group Incorporated		1,651		109,990
Ameriprise Financial Incorporated		6,090		853,026
Apollo Global Management Incorporated		10,009		476,428
Bank of New York Mellon Corporation		40,916		1,520,848
Cboe Global Markets Incorporated		5,327		567,112
CME Group Incorporated		17,653		3,223,438
Eaton Vance Corporation		5,380		193,949
FactSet Research Systems Incorporated		1,702		523,382
Franklin Resources Incorporated		13,594		256,519
Interactive Brokers Group Incorporated Class A		3,890		164,742
Intercontinental Exchange Incorporated		27,961		2,719,207
Invesco Limited		24,757		197,313
KKR & Company Incorporated Class A		27,430		761,183
Lazard Limited Class A		6,946		186,570
LPL Financial Holdings Incorporated		3,924		280,134
MarketAxess Holdings Incorporated		1,916		974,458
Moody’s Corporation		7,998		2,138,745
Morningstar Incorporated		988		151,480
MSCI Incorporated		4,162		1,368,674
Raymond James Financial Incorporated		5,991		415,056
S&P Global Incorporated		11,940		3,880,739
SEI Investments Company		5,682		308,078
Stifel Financial Corporation		2,545		121,422
T. Rowe Price Group Incorporated		11,196		1,353,596
The Blackstone Group Incorporated Class A		33,518		1,903,822
The Goldman Sachs Group Incorporated		16,917		3,324,021
The NASDAQ OMX Group Incorporated		5,591		662,310
				28,636,242
Consumer Finance : 0.77%
Ally Financial Incorporated		20,805		362,839
American Express Company		31,668		3,010,677
Capital One Financial Corporation		23,554		1,602,614
Credit Acceptance Corporation †		486		179,733
Discover Financial Services		16,365		777,501
FirstCash Financial Services Incorporated		1,803		125,795
Navient Corporation		12,187		90,671
SLM Corporation		17,638		133,696
Synchrony Financial		33,669		685,838
				6,969,364
Diversified Financial Services : 1.36%
Berkshire Hathaway Incorporated Class B †		64,619		11,991,994
Jefferies Financial Group Incorporated		15,025		220,116
Voya Financial Incorporated		4,769		214,843
				12,426,953
Insurance : 2.95%
AFLAC Incorporated		37,515		1,368,172
Alleghany Corporation		657		337,107
American Financial Group Incorporated		3,234		194,816
American International Group Incorporated		47,452		1,426,407
Aon plc Class A		11,731		2,310,420
Arch Capital Group Limited †		19,480		549,726
Arthur J. Gallagher & Company		9,538		899,243
Assurant Incorporated		3,079		315,844
Assured Guaranty Limited		4,579		118,733
Athene Holding Limited Class A †		5,978		172,704
Axis Capital Holdings Limited		3,634		136,420

6

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Insurance (continued)
Brown & Brown Incorporated		11,808	$	474,682
Chubb Limited		19,604		2,390,512
Cincinnati Financial Corporation		8,205		483,685
Erie Indemnity Company Class A		1,174		211,602
Everest Reinsurance Group Limited		1,724		342,059
Fidelity National Financial Incorporated		13,224		421,846
First American Financial Corporation		5,515		278,452
Globe Life Incorporated		4,687		360,993
Kemper Corporation		2,825		179,105
Loews Corporation		14,054		467,155
Markel Corporation †		680		610,246
Marsh & McLennan Companies Incorporated		24,742		2,620,673
MetLife Incorporated		37,435		1,348,034
Old Republic International Corporation		13,321		207,674
Reinsurance Group of America Incorporated		3,256		295,482
RLI Corporation		2,064		162,973
Selective Insurance Group Incorporated		2,515		131,912
The Allstate Corporation		16,455		1,609,464
The Hanover Insurance Group Incorporated		1,480		148,518
The Hartford Financial Services Group Incorporated		19,131		732,526
The Progressive Corporation		28,864		2,242,156
The Travelers Companies Incorporated		12,924		1,382,610
Unum Group		7,487		113,428
W.R. Berkley Corporation		7,729		447,896
White Mountains Insurance Group Limited		143		130,925
Willis Towers Watson plc		6,337		1,285,777
				26,909,977
Mortgage REITs : 0.17%
AGNC Investment Corporation		26,091		337,618
Annaly Capital Management Incorporated		79,285		488,396
Blackstone Mortgage Trust Incorporated Class A		8,854		208,866
Chimera Investment Corporation		10,115		84,056
MFA Financial Incorporated		17		29
New Residential Investment Corporation		22,255		159,568
Starwood Property Trust Incorporated		16,013		212,332
Two Harbors Investment Corporation		11,215		50,692
				1,541,557
Thrifts & Mortgage Finance : 0.09%
Essent Group Limited		4,921		162,639
MGIC Investment Corporation		18,282		150,095
New York Community Bancorp Incorporated		29,211		293,571
Radian Group Incorporated		10,755		170,789
				777,094
Health Care : 19.26%
Biotechnology : 2.90%
AbbVie Incorporated		87,386		8,098,061
Alkermes plc †		6,887		112,671
Amgen Incorporated		29,233		6,714,820
Biogen Incorporated †		9,118		2,800,047
Exelixis Incorporated †		13,330		329,384
Gilead Sciences Incorporated		61,646		4,797,908
Incyte Corporation †		9,125		929,929
Regeneron Pharmaceuticals Incorporated †		3,898		2,388,733
United Therapeutics Corporation †		1,883		222,100
				26,393,653
Health Care Equipment & Supplies : 4.96%
Abbott Laboratories		85,542		8,119,647
Baxter International Incorporated		23,561		2,120,726

7

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

	Shares		Value
Health Care Equipment & Supplies (continued)
Becton Dickinson & Company		12,980	$	3,205,151
Boston Scientific Corporation †		68,139		2,588,601
Danaher Corporation		30,476		5,077,606
Dentsply Sirona Incorporated		10,453		486,274
Edwards Lifesciences Corporation †		10,835		2,434,841
Globus Medical Incorporated Class A †		3,310		180,892
Haemonetics Corporation †		2,516		275,955
Hill-Rom Holdings Incorporated		3,213		326,666
Hologic Incorporated †		12,491		662,023
ICU Medical Incorporated †		886		176,863
IDEXX Laboratories Incorporated †		4,254		1,313,976
Insulet Corporation †		3,168		597,390
Integra LifeSciences Holdings Corporation †		3,168		165,084
LivaNova plc †		2,602		139,181
Masimo Corporation †		2,296		551,476
Medtronic plc		66,830		6,588,101
Neogen Corporation †		2,093		149,063
NuVasive Incorporated †		2,509		152,045
Penumbra Incorporated †		1,726		297,597
ResMed Incorporated		6,981		1,122,684
STERIS plc		3,962		657,256
Stryker Corporation		17,154		3,357,552
Tandem Diabetes Care Incorporated †		3,260		271,069
Teleflex Incorporated		2,284		828,772
The Cooper Companies Incorporated		2,382		755,046
Varian Medical Systems Incorporated †		4,117		499,763
West Pharmaceutical Services Incorporated		3,551		767,158
Zimmer Biomet Holdings Incorporated		10,375		1,310,778
				45,179,236
Health Care Providers & Services : 3.94%
Amedisys Incorporated †		1,482		284,618
AmerisourceBergen Corporation		7,356		701,321
Anthem Incorporated		13,071		3,844,312
Cardinal Health Incorporated		14,881		813,842
Centene Corporation †		29,727		1,969,414
Chemed Corporation		670		320,602
CVS Health Corporation		66,308		4,347,816
DaVita HealthCare Partners Incorporated †		4,627		374,602
Encompass Health Corporation		4,740		347,205
HCA Healthcare Incorporated		12,840		1,372,596
Henry Schein Incorporated †		6,492		394,194
Humana Incorporated		6,571		2,698,381
Laboratory Corporation of America Holdings †		4,826		846,094
McKesson Corporation		9,098		1,443,580
Molina Healthcare Incorporated †		3,133		582,174
Quest Diagnostics Incorporated		6,606		781,358
UnitedHealth Group Incorporated		47,097		14,357,520
Universal Health Services Incorporated Class B		3,656		385,525
				35,865,154
Health Care Technology : 0.12%
Cerner Corporation		14,737		1,074,327
Life Sciences Tools & Services : 1.52%
Agilent Technologies Incorporated		14,676		1,293,543
Avantor Incorporated †		11,656		221,114
Bio-Rad Laboratories Incorporated Class A †		1,061		521,291
Bio-Techne Corporation		1,786		472,933
Bruker Corporation		4,863		210,471
Charles River Laboratories International Incorporated †		2,355		423,099
IQVIA Holdings Incorporated †		8,923		1,334,167
Mettler-Toledo International Incorporated †		1,158		920,610
PerkinElmer Incorporated		5,163		518,727
PRA Health Sciences Incorporated †		3,214		332,649
Syneos Health Incorporated †		3,990		243,350

8

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Life Sciences Tools & Services (continued)
Thermo Fisher Scientific Incorporated		19,386	$	6,769,397
Waters Corporation †		3,147		628,928
				13,890,279
Pharmaceuticals : 5.82%
Bristol-Myers Squibb Company		68,534		4,092,850
Catalent Incorporated †		5,294		411,503
Elanco Animal Health Incorporated †		15,332		328,258
Eli Lilly & Company		39,067		5,975,298
Horizon Therapeutics plc †		7,333		372,003
Jazz Pharmaceuticals plc †		1,045		124,689
Johnson & Johnson		124,471		18,515,061
Merck & Company Incorporated		117,692		9,500,098
Mylan NV †		19,653		335,477
Perrigo Company plc		4,457		244,110
Pfizer Incorporated		265,672		10,146,014
Zoetis Incorporated		21,445		2,989,219
				53,034,580
Industrials : 11.08%
Aerospace & Defense : 2.24%
BWX Technologies Incorporated		4,416		276,309
Curtiss-Wright Corporation		1,620		162,486
General Dynamics Corporation		12,542		1,841,542
HEICO Corporation		2,102		211,798
Hexcel Corporation		4,067		147,185
Howmet Aerospace Incorporated		19,275		252,117
Huntington Ingalls Industries Incorporated		1,805		360,801
L3Harris Technologies Incorporated		11,358		2,265,353
Lockheed Martin Corporation		12,186		4,733,530
Mercury Computer Systems Incorporated †		2,742		244,998
Northrop Grumman Corporation		7,629		2,557,241
Raytheon Technologies Corporation		78,116		5,040,044
Spirit AeroSystems Holdings Incorporated Class A		6,202		134,397
Teledyne Technologies Incorporated †		1,757		657,329
Textron Incorporated		11,702		362,411
TransDigm Group Incorporated		2,666		1,132,570
				20,380,111
Air Freight & Logistics : 0.73%
C.H. Robinson Worldwide Incorporated		6,244		506,576
Expeditors International of Washington Incorporated		7,832		598,130
FedEx Corporation		11,821		1,543,350
United Parcel Service Incorporated Class B		36,348		3,624,259
XPO Logistics Incorporated †		4,666		367,727
				6,640,042
Airlines : 0.28%
Alaska Air Group Incorporated		6,004		205,277
American Airlines Group Incorporated		25,981		272,801
Delta Air Lines Incorporated		29,507		743,871
JetBlue Airways Corporation †		12,828		129,178
Southwest Airlines Company		23,971		769,469
United Airlines Holdings Incorporated †		15,127		424,161
				2,544,757
Building Products : 0.68%
A.O. Smith Corporation		6,505		308,988
Allegion plc		4,471		445,759
Armstrong World Industries Incorporated		2,300		173,397

9

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

	Shares		Value
Building Products (continued)
Carrier Global Corporation †		41,822	$	856,096
Fortune Brands Home & Security Incorporated		6,830		416,357
Johnson Controls International plc		41,394		1,300,186
Lennox International Incorporated		1,795		383,843
Masco Corporation		13,849		646,056
Owens Corning Incorporated		5,368		281,820
Trane Technologies plc		11,963		1,079,182
Trex Company Incorporated †		2,711		325,645
				6,217,329
Commercial Services & Supplies : 0.74%
Cintas Corporation		4,393		1,089,288
Clean Harbors Incorporated †		2,265		134,518
Copart Incorporated †		10,128		905,342
IAA Incorporated †		6,359		260,719
KAR Auction Services Incorporated		7,043		101,067
MSA Safety Incorporated		1,599		190,185
Republic Services Incorporated		10,687		913,311
Rollins Incorporated		7,556		315,841
Stericycle Incorporated †		4,412		241,910
Tetra Tech Incorporated		2,416		190,622
The Brink’s Company		2,738		109,794
Waste Management Incorporated		21,662		2,312,419
				6,765,016
Construction & Engineering : 0.15%
AECOM Technology Corporation †		8,393		325,397
EMCOR Group Incorporated		2,113		134,281
Jacobs Engineering Group Incorporated		6,670		560,413
MasTec Incorporated †		3,147		123,205
Quanta Services Incorporated		6,952		256,737
				1,400,033
Electrical Equipment : 0.80%
Acuity Brands Incorporated		1,560		134,394
AMETEK Incorporated		11,256		1,032,288
Eaton Corporation plc		21,604		1,834,180
Emerson Electric Company		30,694		1,872,948
Generac Holdings Incorporated †		2,813		313,003
Hubbell Incorporated		2,647		324,046
nVent Electric plc		6,744		123,618
Regal-Beloit Corporation		1,748		139,036
Rockwell Automation Incorporated		5,619		1,214,603
Sensata Technologies Holding plc †		7,856		280,066
				7,268,182
Industrial Conglomerates : 1.44%
3M Company		29,212		4,569,925
Carlisle Companies Incorporated		2,566		307,561
General Electric Company		443,801		2,915,773
Honeywell International Incorporated		36,578		5,334,901
				13,128,160
Machinery : 1.81%
AGCO Corporation		2,654		146,580
Allison Transmission Holdings Incorporated		4,836		182,414
Crane Company		1,751		97,566
Cummins Incorporated		7,806		1,323,898
Deere & Company		15,848		2,410,798
Donaldson Company Incorporated		5,651		268,140
Dover Corporation		7,186		698,839
Flowserve Corporation		6,566		171,373

10

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Machinery (continued)
Graco Incorporated		7,413	$	357,381
IDEX Corporation		3,520		560,982
Illinois Tool Works Incorporated		14,420		2,486,873
Ingersoll Rand Incorporated †		17,185		484,617
ITT Incorporated		3,426		197,680
John Bean Technologies Corporation		1,235		101,455
Lincoln Electric Holdings Incorporated		2,852		234,349
Nordson Corporation		2,598		489,333
Oshkosh Corporation		2,638		189,461
Otis Worldwide Corporation		20,823		1,096,331
PACCAR Incorporated		16,992		1,255,029
Parker-Hannifin Corporation		6,311		1,135,791
RBC Bearings Incorporated †		926		130,242
Snap-on Incorporated		2,290		296,990
Stanley Black & Decker Incorporated		7,396		927,828
The Middleby Corporation †		2,871		195,515
The Toro Company		4,559		324,008
Woodward Governor Company		2,409		165,209
Xylem Incorporated		8,906		590,824
				16,519,506
Marine : 0.01%
Kirby Corporation †		2,682		137,533
Professional Services : 0.62%
ASGN Incorporated †		2,157		132,850
Equifax Incorporated		5,932		910,918
Exponent Incorporated		1,992		147,886
FTI Consulting Incorporated †		1,664		200,445
IHS Markit Limited		18,265		1,268,687
Insperity Incorporated		1,578		81,804
Manpower Incorporated		2,704		186,955
Nielsen Holdings plc		18,259		253,618
Robert Half International Incorporated		4,371		221,785
TransUnion		9,575		826,227
Verisk Analytics Incorporated		8,000		1,381,440
				5,612,615
Road & Rail : 1.29%
AMERCO		355		114,488
J.B. Hunt Transport Services Incorporated		4,006		479,398
Kansas City Southern		4,660		701,423
Knight-Swift Transportation Holdings Incorporated		5,045		209,922
Landstar System Incorporated		1,375		159,858
Lyft Incorporated Class A †		10,893		340,515
Norfolk Southern Corporation		13,458		2,399,427
Old Dominion Freight Line Incorporated		5,248		897,880
Ryder System Incorporated		3,312		113,469
Uber Technologies Incorporated †		10,601		385,028
Union Pacific Corporation		34,827		5,915,714
				11,717,122
Trading Companies & Distributors : 0.28%
Fastenal Company		26,717		1,102,343
HD Supply Holdings Incorporated †		7,901		250,541
MSC Industrial Direct Company Class A		1,666		115,520
Univar Incorporated †		8,948		138,336
W.W. Grainger Incorporated		2,154		666,921
Watsco Incorporated		1,536		273,270
				2,546,931
Transportation Infrastructure : 0.01%
Macquarie Infrastructure Company LLC		3,596		102,090

11

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

	Shares		Value
Information Technology : 11.11%
Communications Equipment : 0.31%
Ciena Corporation †		6,486	$	358,416
F5 Networks Incorporated †		2,782		403,167
Juniper Networks Incorporated		16,618		403,153
Lumentum Holdings Incorporated †		3,522		258,233
Motorola Solutions Incorporated		8,676		1,174,123
Viasat Incorporated †		3,161		132,762
Viavi Solutions Incorporated †		9,908		114,834
				2,844,688
Electronic Equipment, Instruments & Components : 0.71%
Amphenol Corporation Class A		14,527		1,402,727
Arrow Electronics Incorporated †		3,268		225,753
Avnet Incorporated		4,376		119,202
CDW Corporation of Delaware		7,440		825,170
Coherent Incorporated †		1,101		159,876
Dolby Laboratories Incorporated Class A		2,705		164,275
FLIR Systems Incorporated		5,994		276,923
Jabil Circuit Incorporated		6,209		185,773
Keysight Technologies Incorporated †		9,076		981,388
Littelfuse Incorporated		1,008		163,790
National Instruments Corporation		5,805		224,770
SYNNEX Corporation		1,625		173,306
TE Connectivity Limited		16,634		1,351,513
Tech Data Corporation †		1,490		202,998
				6,457,464
IT Services : 3.94%
Accenture plc Class A		31,522		6,355,466
Akamai Technologies Incorporated †		7,924		838,359
Alliance Data Systems Corporation		2,314		107,208
Amdocs Limited		5,837		363,412
Automatic Data Processing Incorporated		20,814		3,049,043
Black Knight Incorporated †		6,765		520,770
Booz Allen Hamilton Holding Corporation		6,925		552,338
Broadridge Financial Solutions Incorporated		5,802		702,622
CACI International Incorporated Class A †		1,110		278,366
Cognizant Technology Solutions Corporation Class A		28,895		1,531,435
CoreLogic Incorporated		3,874		191,995
DXC Technology Company		11,727		166,641
EPAM Systems Incorporated †		2,677		617,423
Euronet Worldwide Incorporated †		2,573		243,740
Fidelity National Information Services Incorporated		30,271		4,202,523
Fiserv Incorporated †		28,351		3,027,036
FleetCor Technologies Incorporated †		4,325		1,054,392
Gartner Incorporated †		4,629		563,349
Genpact Limited		8,392		301,692
GoDaddy Incorporated Class A †		8,661		669,062
International Business Machines Corporation		44,676		5,580,032
Jack Henry & Associates Incorporated		3,799		687,087
KBR Incorporated		6,490		152,191
Leidos Holdings Incorporated		7,125		750,191
MAXIMUS Incorporated		2,448		176,305
Paychex Incorporated		16,559		1,196,885
Perspecta Incorporated		7,081		156,986
Sabre Corporation		15,793		110,077
Science Applications International Corporation		2,833		249,417
The Western Union Company		20,677		413,954
VeriSign Incorporated †		5,140		1,125,711
				35,935,708
Semiconductors & Semiconductor Equipment : 3.16%
Applied Materials Incorporated		43,676		2,453,718
Cabot Microelectronics Corporation		1,202		174,122

12

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Semiconductors & Semiconductor Equipment (continued)
Cree Incorporated †		5,072	$	267,244
Entegris Incorporated		6,113		366,046
First Solar Incorporated †		3,174		147,972
Intel Corporation		219,019		13,782,866
KLA-Tencor Corporation		7,160		1,259,874
Lam Research Corporation		6,782		1,856,030
Marvell Technology Group Limited		33,067		1,078,646
Maxim Integrated Products Incorporated		12,955		747,244
MKS Instruments Incorporated		2,312		244,217
ON Semiconductor Corporation †		17,873		294,726
Semtech Corporation †		2,782		147,947
Silicon Laboratories Incorporated †		1,716		160,721
Teradyne Incorporated		7,457		499,768
Texas Instruments Incorporated		44,744		5,312,903
				28,794,044
Software : 2.62%
ACI Worldwide Incorporated †		5,842		161,122
ANSYS Incorporated †		4,133		1,169,639
Aspen Technology Incorporated †		3,426		361,923
Avalara Incorporated †		3,202		342,806
Blackbaud Incorporated		2,443		143,184
Cadence Design Systems Incorporated †		14,059		1,283,446
CDK Global Incorporated		5,945		233,698
Ceridian HCM Holding Incorporated †		4,292		295,590
Citrix Systems Incorporated		6,100		903,532
Dropbox Incorporated Class A †		11,609		262,015
Fair Isaac Corporation †		1,472		592,701
Fortinet Incorporated †		7,283		1,013,794
Intuit Incorporated		12,675		3,679,806
J2 Global Incorporated		1,779		139,296
Manhattan Associates Incorporated †		3,266		288,714
NortonLifeLock Incorporated		25,858		589,045
Nuance Communications Incorporated		13,986		320,000
Oracle Corporation		106,676		5,735,969
Palo Alto Networks Incorporated †		4,584		1,078,478
RealPage Incorporated †		4,068		275,892
RingCentral Incorporated Class A †		3,680		1,009,240
Slack Technologies Incorporated Class A †		11,952		418,918
SS&C Technologies Holdings Incorporated		11,497		665,619
Synopsys Incorporated †		7,460		1,349,589
Teradata Corporation †		5,176		110,818
Tyler Technologies Incorporated †		1,835		688,694
Verint Systems Incorporated †		2,654		123,066
VMware Incorporated Class A †		3,782		591,013
				23,827,607
Technology Hardware, Storage & Peripherals : 0.37%
Dell Technologies Incorporated †		10,736		532,935
Hewlett Packard Enterprise Company		62,191		603,875
HP Incorporated		73,821		1,117,650
NCR Corporation †		5,644		101,874
Pure Storage Incorporated Class A †		10,994		193,604
Seagate Technology plc		11,969		634,836
Xerox Holdings Corporation		10,064		159,816
				3,344,590
Materials : 2.98%
Chemicals : 1.87%
Air Products & Chemicals Incorporated		10,913		2,637,126
Ashland Global Holdings Incorporated		2,412		161,990
Axalta Coating Systems Limited †		10,435		241,153
Celanese Corporation Series A		5,902		530,649

13

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

	Shares		Value
Chemicals (continued)
CF Industries Holdings Incorporated		11,333	$	332,850
Corteva Incorporated		35,583		971,772
Dow Incorporated		38,160		1,472,976
Eastman Chemical Company		6,102		415,424
Ecolab Incorporated		13,028		2,769,492
FMC Corporation		6,145		604,729
Huntsman Corporation		8,702		157,941
Ingevity Corporation †		1,959		103,181
International Flavors & Fragrances Incorporated		5,529		736,408
LyondellBasell Industries NV Class A		13,606		867,519
NewMarket Corporation		400		174,452
Olin Corporation		10,026		120,613
PPG Industries Incorporated		11,505		1,169,713
RPM International Incorporated		6,388		477,695
Scotts Miracle-Gro Company Class A		1,863		265,608
The Sherwin-Williams Company		4,227		2,510,204
Valvoline Incorporated		9,339		171,371
W.R. Grace & Company		3,275		170,955
				17,063,821
Construction Materials : 0.16%
Eagle Materials Incorporated		1,903		127,044
Martin Marietta Materials Incorporated		3,135		602,202
Vulcan Materials Company		6,844		741,342
				1,470,588
Containers & Packaging : 0.51%
AptarGroup Incorporated		2,743		305,543
Avery Dennison Corporation		4,203		465,146
Ball Corporation		17,215		1,226,741
Berry Global Group Incorporated †		6,882		309,071
Crown Holdings Incorporated †		7,363		481,761
Graphic Packaging Holding Company		12,417		179,674
International Paper Company		21,108		718,727
Packaging Corporation of America		4,669		473,483
Sealed Air Corporation		7,751		248,807
Sonoco Products Company		4,463		231,228
				4,640,181
Metals & Mining : 0.43%
Alcoa Corporation †		10,126		93,260
Newmont Goldcorp Corporation		36,714		2,146,668
Nucor Corporation		15,626		660,355
Reliance Steel & Aluminum Company		3,040		294,880
Royal Gold Incorporated		3,236		431,035
Steel Dynamics Incorporated		10,499		278,853
				3,905,051
Paper & Forest Products : 0.01%
Louisiana-Pacific Corporation		5,308		125,322
Real Estate : 5.41%
Equity REITs : 5.32%
Alexandria Real Estate Equities Incorporated		5,701		876,358
American Campus Communities Incorporated		8,186		264,408
American Homes 4 Rent Class A		12,464		314,591
American Tower Corporation		22,132		5,713,818
Americold Realty Trust		10,323		368,634
Apartment Investment & Management Company Class A		8,399		309,671
Apple Hospitality REIT Incorporated		10,446		106,654
AvalonBay Communities Incorporated		7,143		1,114,379
Boston Properties Incorporated		8,824		758,688
Brixmor Property Group Incorporated		18,323		204,485

14

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Equity REITs (continued)
Camden Property Trust		4,607	$	421,863
CoreSite Realty Corporation		1,804		225,175
Corporate Office Properties Trust		5,443		135,912
Cousins Properties Incorporated		7,025		218,618
Crown Castle International Corporation		20,563		3,540,126
CubeSmart		9,291		264,422
CyrusOne Incorporated		5,691		423,069
Digital Realty Trust Incorporated		10,624		1,525,181
Douglas Emmett Incorporated		10,156		298,180
Duke Realty Corporation		18,213		627,984
EastGroup Properties Incorporated		1,666		193,673
EPR Properties		3,976		125,522
Equinix Incorporated		4,226		2,948,184
Equity Commonwealth		1,917		64,603
Equity Lifestyle Properties Incorporated		8,965		558,520
Equity Residential		19,195		1,162,449
Essex Property Trust Incorporated		3,393		823,719
Extra Space Storage Incorporated		6,350		614,363
Federal Realty Investment Trust		4,129		329,948
First Industrial Realty Trust Incorporated		5,500		208,340
Gaming and Leisure Properties Incorporated		10,976		379,111
Healthcare Realty Trust Incorporated		5,621		172,565
Healthcare Trust of America Incorporated Class A		10,577		279,973
Healthpeak Properties Incorporated		29,219		719,956
Highwoods Properties Incorporated		5,732		219,364
Host Hotels & Resorts Incorporated		36,624		437,291
Hudson Pacific Properties Incorporated		8,509		205,663
Invitation Homes Incorporated		25,934		682,064
Iron Mountain Incorporated		15,344		395,261
JBG Smith Properties		5,590		166,191
Kilroy Realty Corporation		4,802		274,290
Kimco Realty Corporation		24,564		272,906
Lamar Advertising Company Class A		4,016		266,261
Life Storage Incorporated		2,187		213,189
Medical Properties Trust Incorporated		23,183		419,149
Mid-America Apartment Communities Incorporated		5,696		662,787
National Health Investors Incorporated		1,972		109,426
National Retail Properties Incorporated		9,258		290,609
Omega Healthcare Investors Incorporated		11,862		369,383
Outfront Media Incorporated		7,665		107,617
Park Hotels & Resorts Incorporated		12,724		125,077
Pebblebrook Hotel Trust		9,433		128,855
Physicians Realty Trust		9,501		164,082
Prologis Incorporated		37,526		3,433,629
PS Business Parks Incorporated		391		52,253
Public Storage Incorporated		7,559		1,532,512
Rayonier Incorporated		5,892		139,935
Realty Income Corporation		17,268		955,093
Regency Centers Corporation		9,563		409,201
Rexford Industrial Realty Incorporated		4,296		170,981
RLJ Lodging Trust		8,713		89,831
Ryman Hospitality Properties Incorporated		2,438		83,331
Sabra Health Care REIT Incorporated		9,608		129,324
SBA Communications Corporation		5,705		1,792,112
Service Properties Trust		5,676		38,313
Simon Property Group Incorporated		17,378		1,002,711
SL Green Realty Corporation		5,257		221,425
Spirit Realty Capital Incorporated REIT		4,706		133,792
STAG Industrial Incorporated		6,945		186,821
STORE Capital Corporation		11,690		226,085
Sun Communities Incorporated		4,743		650,692
Sunstone Hotel Investors Incorporated		11,460		101,421
Terreno Realty Corporation		2,299		117,686
The Macerich Company		9,819		66,867
UDR Incorporated		16,053		593,640
Ventas Incorporated		21,499		751,390
VEREIT Incorporated		64,335		352,556
VICI Properties Incorporated		23,427		459,638

15

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio

	Shares		Value
Equity REITs (continued)
Vornado Realty Trust		10,341	$	374,448
Weingarten Realty Investors		6,241		111,589
Welltower Incorporated		22,470		1,138,555
Weyerhaeuser Company		37,060		748,241
WP Carey Incorporated		9,676		579,689
				48,446,368
Real Estate Management & Development : 0.09%
CBRE Group Incorporated Class A †		14,914		655,918
Jones Lang LaSalle Incorporated		2,084		213,402
				869,320
Utilities : 4.95%
Electric Utilities : 2.99%
ALLETE Incorporated		1,654		97,139
Alliant Energy Corporation		10,947		540,344
American Electric Power Company Incorporated		24,884		2,121,361
Duke Energy Corporation		36,706		3,143,135
Edison International		16,788		975,551
Entergy Corporation		10,165		1,035,000
Evergy Incorporated		11,664		719,552
Eversource Energy		16,483		1,379,627
Exelon Corporation		49,835		1,909,179
FirstEnergy Corporation		27,696		1,170,433
Hawaiian Electric Industries Incorporated		4,689		185,028
IDACORP Incorporated		1,570		146,371
NextEra Energy Incorporated		24,274		6,203,463
NRG Energy Incorporated		11,957		431,050
OGE Energy Corporation		8,964		280,752
PG&E Corporation †		16,866		200,031
Pinnacle West Capital Corporation		5,200		405,080
PNM Resources Incorporated		3,662		149,483
Portland General Electric Company		3,780		178,076
PPL Corporation		38,134		1,065,464
The Southern Company		55,886		3,189,414
Xcel Energy Incorporated		25,930		1,686,228
				27,211,761
Gas Utilities : 0.18%
Atmos Energy Corporation		5,246		539,184
National Fuel Gas Company		3,341		140,222
New Jersey Resources Corporation		3,378		118,635
ONE Gas Incorporated		1,990		167,100
Southwest Gas Holdings Incorporated		2,397		182,052
Spire Incorporated		2,190		159,695
UGI Corporation		10,733		341,739
				1,648,627
Independent Power & Renewable Electricity Producers : 0.10%
AES Corporation		37,888		473,221
Vistra Energy Corporation		20,951		428,238
				901,459
Multi-Utilities : 1.49%
Ameren Corporation		12,314		920,225
Black Hills Corporation		3,111		191,980
CenterPoint Energy Incorporated		27,623		491,137
CMS Energy Corporation		14,656		858,548
Consolidated Edison Incorporated		16,705		1,253,877
Dominion Energy Incorporated		41,687		3,543,812
DTE Energy Company		9,553		1,027,616

16

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

								Shares		Value
Multi-Utilities (continued)
MDU Resources Group Incorporated									9,525	$	207,264
NiSource Incorporated									19,277		459,371
Northwestern Corporation									2,251		135,330
Public Service Enterprise Group Incorporated									25,676		1,310,503
Sempra Energy									13,949		1,761,898
WEC Energy Group Incorporated									15,966		1,464,561
											13,626,122
Water Utilities : 0.19%
American States Water Company									1,256		103,005
American Water Works Company Incorporated									9,190		1,167,130
Essential Utilities Incorporated									10,155		444,383
											1,714,518
Total Common Stocks (Cost $728,411,787)											874,620,850
						Expiration date
Rights : 0.02%
Health Care : 0.02%
Pharmaceuticals : 0.02%
Bristol-Myers Squibb Company †							12-31-2020		42,184		138,785
Total Rights (Cost $89,852)											138,785
			Yield
Short-Term Investments : 3.07%
Investment Companies : 3.07%
Wells Fargo Government Money Market Fund Select Class (l)(u)				0.12	%				28,008,750		28,008,750
Total Short-Term Investments (Cost $28,008,750)											28,008,750
Total investments in securities (Cost $756,510,389)	99.09	%									902,768,385
Other assets and liabilities, net	0.91										8,280,499
Total net assets	100.00	%								$	911,048,884

† Non-income-earning security

(l) The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

(u) The rate represents the 7-day annualized yield at period end.

Abbreviations:

REIT Real estate investment trust

17

Futures Contracts

Description	Number of contracts		Expiration     date		Notional cost		Notional value		Unrealized gains		Unrealized losses
Long
S&P 500 E-Mini Index		226		6-19-2020	$	31,891,146	$	34,374,600	$	2,483,454	$	0

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Shares, beginning of period		Shares purchased		Shares sold			Shares, end of period		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		37,548,710		158,619,090		(168,159,050	)		28,008,750	$	28,008,750		3.07	%

Wells Fargo Factor Enhanced U.S. Large Cap Equity Portfolio (the “Portfolio”)

Notes to Portfolio of investments – May 31, 2020 (unaudited)

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Portfolio may deviate from this calculation under unusual or unexpected circumstances.

Equity securities and futures contracts that are listed on a foreign or domestic exchange or market are valued at the official closing price or, if none, the last sales price. If no sale occurs on the principal exchange or market that day, a fair value price will be determined in accordance with the Portfolio’s Valuation Procedures.

Investments in registered open-end investment companies are valued at net asset value.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC. The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

Futures contracts

Futures contracts are agreements between the Portfolio and a counterparty to buy or sell a specific amount of a commodity, financial instrument or currency at a specified price and on a specified date. The Portfolio may buy and sell futures contracts in order to gain exposure to, or protect against, changes in security values and is subject to equity price risk. The primary risks associated with the use of futures contracts are the imperfect correlation between changes in market values of securities held by the Portfolio and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange. With futures contracts, there is minimal counterparty risk to the Portfolio since futures contracts are exchange traded and the exchange’s clearinghouse, as the counterparty to all exchange traded futures, guarantees the futures contracts against default.

Upon entering into a futures contracts, the Portfolio is required to deposit either cash or securities (initial margin) with the broker in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are paid to or from the broker each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains or losses and, if any, shown as variation margin receivable (payable). Should the Portfolio fail to make requested variation margin payments, the broker can gain access to the initial margin to satisfy the Portfolio’s payment obligations. When the contracts are closed, a realized gain or loss is recorded.

Fair valuation measurements

Fair value measurements of investments are determined within a framework that has established a fair value hierarchy based upon the various data inputs utilized in determining the value of the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

Level 1	–	quoted prices in active markets for identical securities
Level 2	–	other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3	–	significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of May 31, 2020:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in :
Common stocks
Communication services	$	81,520,971	$	0	$	0	$	81,520,971
Consumer discretionary		83,355,702		0		0		83,355,702
Consumer staples		88,183,495		0		0		88,183,495
Energy		27,044,064		0		0		27,044,064
Financials		95,272,723		0		0		95,272,723
Health care		175,437,229		0		0		175,437,229
Industrials		100,979,427		0		0		100,979,427
Information technology		101,204,101		0		0		101,204,101
Materials		27,204,963		0		0		27,204,963
Real estate		49,315,688		0		0		49,315,688
Utilities		45,102,487		0		0		45,102,487
Rights
Health care		0		138,785		0		138,785
Short-term investments
Investment companies		28,008,750		0		0		28,008,750
		902,629,600		138,785		0		902,768,385
Futures contracts		2,483,454		0		0		2,483,454
Total assets	$	905,113,054	$	138,785	$	0	$	905,251,839

Additional sector, industry or geographic detail is included in the Portfolio of Investments.

Futures contracts are reported at their cumulative unrealized gains (losses) at measurement date as reported in the table following the Portfolio of Investments. All other assets and liabilities are reported at their market value at measurement date

As of May 31, 2020, the Portfolio had segregated $4,053,199 as cash collateral for these open futures contracts.

For the three months ended May 31, 2020, the Portfolio did not have any transfers into/out of Level 3.

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Common Stocks : 97.13%
Communication Services : 3.12%
Diversified Telecommunication Services : 0.85%
ATN International Incorporated		1,894	$	112,504
Bandwidth Incorporated Class A †		2,947		326,675
Cincinnati Bell Incorporated †		7,517		110,725
Cogent Communications Group Incorporated		7,602		581,705
Consolidated Communications Holdings Incorporated †		12,902		78,186
Frontier Communications Corporation †		22,403		2,106
Globalstar Incorporated †		103,357		30,759
IDT Corporation Class B †		3,081		19,534
Intelsat SA †		14,355		5,785
Ooma Incorporated †		3,553		44,555
ORBCOMM Incorporated †		13,466		36,897
Vonage Holdings Corporation †		45,061		433,937
				1,783,368
Entertainment : 0.19%
Akazoo SA †(a)‡		5,400		6,480
AMC Entertainment Holdings Class A		9,135		46,863
Gaia Incorporated †		2,184		17,101
Glu Mobile Incorporated †		20,514		204,730
Marcus Corporation		3,959		53,367
Reading International Incorporated Class A †		3,084		10,794
SciPlay Corporation Class A †		3,914		54,874
				394,209
Interactive Media & Services : 0.54%
Actua Corporation †(a)‡		9,483		474
Angi Homeservices Incorporated Class A †		13,281		144,099
CarGurus Incorporated †		14,627		380,009
Cars.com Incorporated †		8,961		55,289
DHI Group Incorporated †		9,069		24,214
EverQuote Incorporated Class A †		856		46,156
Liberty TripAdvisor Holdings Incorporated Class A †		13,536		32,148
QuinStreet Incorporated †		8,388		85,054
The Meet Group Incorporated †		12,164		75,174
Yelp Incorporated †		12,919		280,859
				1,123,476
Media : 1.03%
AMC Networks Incorporated Class A †		7,307		206,569
Cardlytics Incorporated †		3,507		238,792
Cumulus Media Incorporated Class A †		2,273		11,751
Daily Journal Corporation †		93		26,049
Emerald Holding Incorporated		4,517		10,028
Entravision Communications Corporation Class A		11,086		16,629
Fluent Incorporated †		5,474		10,921
Gannett Company Incorporated		22,962		30,080
Gray Television Incorporated †		15,712		219,025
Hemisphere Media Group Incorporated †		2,967		29,077
iHeartMedia Incorporated Class A †		10,893		94,769
John Wiley & Sons Incorporated Class A		8,097		325,499
Lee Enterprises Incorporated †		10,381		11,523
Marchex Incorporated Class B †		7,111		11,022
Meredith Corporation		6,846		102,279
MSG Networks Incorporated Class A †		7,780		96,316
National CineMedia Incorporated		14,028		38,577
Saga Communications Incorporated Class A		888		23,594
Scholastic Corporation		3,744		110,074
Sinclair Broadcast Group Incorporated Class A		13,250		247,643
Techtarget †		4,303		118,289
The E.W. Scripps Company Class A		10,116		87,706

1

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

	Shares		Value
Media (continued)
Tribune Publishing Company		2,532	$	24,054
WideOpenWest Incorporated †		8,315		54,131
				2,144,397
Wireless Telecommunication Services : 0.51%
Boingo Wireless Incorporated †		7,548		103,408
Gogo Incorporated †		9,486		19,731
NII Holdings Incorporated (a)‡		14,979		32,504
Shenandoah Telecommunications Company		8,340		438,767
Spok Holdings Incorporated		3,095		31,786
Telephone & Data Systems Incorporated		17,359		355,686
United States Cellular Corporation †		2,798		88,165
				1,070,047
Consumer Discretionary : 11.75%
Auto Components : 1.31%
American Axle & Manufacturing Holdings Incorporated †		17,913		127,361
Cooper Tire & Rubber Company		8,720		224,366
Cooper-Standard Holdings Incorporated †		2,808		29,456
Dana Incorporated		23,542		297,571
Dorman Products Incorporated †		4,882		341,349
Fox Factory Holding Corporation †		6,609		476,575
LCI Industries		4,473		442,514
Modine Manufacturing Company †		9,034		48,332
Motorcar Parts of America Incorporated †		2,951		46,685
Shiloh Industries Incorporated †		2,212		2,632
Standard Motor Products Incorporated		3,410		145,096
Stoneridge Incorporated †		4,474		92,075
Strattec Security Corporation		589		7,598
Superior Industries International Incorporated		3,729		4,810
Tenneco Incorporated †		8,049		54,411
Visteon Corporation †		5,095		366,840
Xpel Incorporated †		1,445		21,574
				2,729,245
Automobiles : 0.14%
Winnebago Industries Incorporated		5,354		291,258
Distributors : 0.12%
Core Mark Holding Company Incorporated		8,510		238,110
Weyco Group Incorporated		733		13,685
				251,795
Diversified Consumer Services : 0.76%
Adtalem Global Education Incorporated †		9,184		307,297
American Public Education Incorporated †		2,497		78,481
Aspen Group Incorporated †		2,490		20,891
Carriage Services Incorporated		2,447		45,808
Collectors Universe Incorporated		1,534		34,116
Graham Holdings Company Class B		693		248,253
Houghton Mifflin Harcourt Company †		19,439		29,742
K12 Incorporated †		6,846		168,549
Laureate Education Incorporated Class A †		19,694		191,623
Perdoceo Education Corporation †		11,627		189,288
Regis Corporation †		4,014		42,227
Select Interior Concepts Class A †		3,691		11,848
Universal Technical Institute Incorporated †		3,116		23,090
WW International Incorporated †		8,293		198,203
				1,589,416

2

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Hotels, Restaurants & Leisure : 2.65%
BBX Capital Corporation		10,590	$	18,956
Biglari Holdings Incorporated Class B †		180		10,958
BJ’s Restaurants Incorporated		4,170		90,572
Bloomin’ Brands Incorporated		17,041		194,438
Bluegreen Vacations Corporation		1,032		4,500
Brinker International Incorporated		7,014		184,819
Carrols Restaurant Group Incorporated †		5,529		23,719
Century Casinos Incorporated †		4,400		24,068
Choice Hotels International Incorporated		6,058		489,668
Chuy’s Holding Incorporated †		3,224		51,552
Dave & Buster’s Entertainment Incorporated		5,482		72,308
Del Taco Restaurants Incorporated †		4,776		29,134
Denny’s Corporation †		10,107		109,610
Dine Brands Global Incorporated		2,939		133,401
Drive Shack Incorporated †		10,977		19,539
El Pollo Loco Holdings Incorporated †		3,710		51,458
Everi Holdings Incorporated †		12,783		79,382
Fiesta Restaurant Group Incorporated †		4,244		34,928
Golden Entertainment Incorporated †		3,108		37,902
Hilton Grand Vacations Incorporated †		15,860		341,624
Hyatt Hotels Corporation Class A		6,449		355,275
Inspired Entertainment Incorporated †		2,500		6,725
International Game Technology		17,612		148,469
J. Alexander’s Holdings Incorporated †		2,206		9,353
Jack in the Box Incorporated		4,576		306,684
Lindblad Expeditions Holding †		5,450		42,783
Monarch Casino & Resort Incorporated †		2,206		88,549
Nathan S Famous Incorporated		546		30,592
Noodles & Company †		6,611		38,740
Papa John’s International Incorporated		3,980		310,002
Penn National Gaming Incorporated †		17,805		584,182
Playa Hotels & Resorts NV †		13,370		34,896
Playags Incorporated †		4,502		23,455
Potbelly Corporation †		5,083		10,674
RCI Hospitality Holdings Incorporated		1,606		23,271
Red Lion Hotels Corporation †		3,387		5,961
Red Robin Gourmet Burgers Incorporated †		2,200		30,492
Red Rock Resorts Incorporated Class A		12,497		172,459
Ruth’s Chris Steak House Incorporated		5,176		41,977
SeaWorld Entertainment Incorporated †		8,729		157,646
Shake Shack Incorporated Class A †		4,911		272,806
Target Hospitality Corporation †		6,517		15,510
The Cheesecake Factory Incorporated		8,234		176,866
Twin River Worldwide Holdings Incorporated		3,312		69,254
Wingstop Incorporated		4,776		582,433
				5,541,590
Household Durables : 1.79%
Bassett Furniture Industries Incorporated		1,652		10,573
Century Communities Incorporated †		4,815		142,235
Ethan Allen Interiors Incorporated		4,162		47,031
Green Brick Partners Incorporated †		3,992		42,714
Hamilton Beach Brand Class A		1,385		13,227
Hooker Furniture Corporation		1,926		31,394
Hovnanian Enterprises Incorporated Class A †		569		9,303
Installed Building Products †		4,071		261,684
KB Home Incorporated		15,632		517,107
La-Z-Boy Incorporated		8,268		212,653
Legacy Housing Corporation †		898		11,683
LGI Homes Incorporated †		3,521		293,722
Lifetime Brands Incorporated		2,104		11,972
M/I Homes Incorporated †		5,083		170,179
MDC Holdings Incorporated		8,966		304,754
Meritage Corporation †		6,876		477,882
Sonos Incorporated †		11,281		122,512
Taylor Morrison Home Corporation †		24,201		467,805
The Lovesac Company †		2,123		38,872

3

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

	Shares		Value
Household Durables (continued)
TRI Pointe Homes Incorporated †		25,095	$	359,360
Tupperware Brands Corporation		9,542		30,821
Turtle Beach Corporation †		2,042		21,604
Universal Electronics Incorporated †		2,373		107,355
Voxx International Corporation †		3,611		17,224
Zagg Incorporated †		5,133		15,322
				3,738,988
Internet & Direct Marketing Retail : 0.88%
1-800-Flowers.com Incorporated Class A †		4,528		100,250
Chewy Incorporated Class A †		6,736		299,348
Duluth Holdings Incorporated Class B †		3,011		13,670
Groupon Incorporated †		92,362		117,762
Lands End Incorporated †		1,471		9,238
Leaf Group Limited †		3,404		9,293
Liquidity Services Incorporated †		5,551		31,696
Overstock.com Incorporated		5,476		100,594
PetMed Express Incorporated		3,429		123,787
Revolve Group Incorporated †		2,225		31,284
Shutterstock Incorporated		3,313		125,629
Stamps.com Incorporated †		2,969		588,307
Stitch Fix Incorporated Class A †		7,928		183,295
The Rubicon Project Incorporated †		17,082		107,104
				1,841,257
Leisure Products : 0.75%
Acushnet Holdings Corporation		5,687		190,060
Callaway Golf Company		16,164		247,632
Clarus Corporation		4,089		42,935
Escalade Incorporated		1,449		14,606
Johnson Outdoors Incorporated Class A		657		50,990
Malibu Boats Incorporated Class A †		3,742		176,360
Marine Products Corporation		1,141		12,836
Mastercraft Boat Holdings Incorporated †		3,469		51,549
Peloton Interactive Incorporated Class A †		8,118		342,498
Smith & Wesson Brands Incorporated †		8,817		104,217
Sturm, Ruger & Company Incorporated		2,852		177,794
YETI Holdings Incorporated †		4,554		146,183
				1,557,660
Multiline Retail : 0.12%
Big Lots Stores Incorporated		5,092		197,315
Dillard’s Incorporated Class A		1,775		53,268
JCPenny Company Incorporated †		40,937		8,945
				259,528
Specialty Retail : 2.30%
Abercrombie & Fitch Company Class A		10,148		117,920
America’s Car-Mart Incorporated †		1,200		95,484
American Eagle Outfitters Incorporated		27,095		248,190
Asbury Automotive Group Incorporated †		3,147		227,465
At Home Group Incorporated †		13,551		64,232
Barnes & Noble Education Incorporated †		7,359		11,406
Bed Bath & Beyond Incorporated		19,913		144,768
Boot Barn Holdings Incorporated †		4,686		100,655
Caleres Incorporated		7,190		51,552
Camping World Holdings Incorporated Class A		4,809		101,855
Chico’s FAS Incorporated		25,048		33,815
Children’s Place Retail Stores Incorporated		3,358		139,827
Citi Trends Incorporated		1,799		29,216
Conn’s Incorporated †		4,709		33,999
Container Store Group Incorporated †		3,304		9,416
Designer Brands Incorporated Class A		12,414		76,098
Dick’s Sporting Goods Incorporated		10,686		385,337

4

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Specialty Retail (continued)
Express Incorporated †		7,959	$	15,600
Genesco Incorporated †		2,011		37,183
GNC Holdings Incorporated Class A †		14,221		10,728
Group 1 Automotive Incorporated		3,040		191,338
Haverty Furniture Companies Incorporated		2,717		47,004
Hibbett Sports Incorporated †		3,300		63,756
Hudson Limited Class A †		7,223		36,404
Lumber Liquidators Holdings Incorporated †		4,061		40,366
MarineMax Incorporated †		4,537		86,339
Murphy USA Incorporated †		5,384		625,082
Office Depot Incorporated		77,403		191,185
Party City Holdco Incorporated †		10,078		13,001
Penske Auto Group Incorporated		5,590		199,898
Rent-A-Center Incorporated		8,003		203,756
Sally Beauty Holdings Incorporated †		20,436		266,485
Shoe Carnival Incorporated		1,535		39,895
Sleep Number Corporation †		4,759		148,338
Sonic Automotive Incorporated Class A		3,687		96,894
Sportsman’s Warehouse Holdings Incorporated †		6,775		75,677
Tailored Brands Incorporated		11,164		14,402
The Buckle Incorporated		5,369		75,596
The Cato Corporation Class A		4,055		39,334
The Michaels Companies Incorporated †		16,867		65,107
Tilly’s Incorporated Class A		3,189		16,328
TravelCenters of America Incorporated †		1,417		19,300
Urban Outfitters Incorporated †		9,895		167,621
Winmark Corporation		407		58,555
Zumiez Incorporated †		3,286		80,080
				4,796,487
Textiles, Apparel & Luxury Goods : 0.93%
Columbia Sportswear Company		5,124		374,359
Crocs Incorporated †		10,593		303,489
Culp Incorporated		1,925		14,842
Delta Apparel Incorporated †		898		11,054
Fossil Group Incorporated †		8,246		25,150
G-III Apparel Group Limited †		7,050		72,827
Kontoor Brands Incorporated		9,329		136,390
Lakeland Industries Incorporated †		1,267		18,372
Levi Strauss & Company Class A		7,476		100,851
Movado Group Incorporated		2,561		26,891
Oxford Industries Incorporated		2,987		127,306
Rocky Brands Incorporated		1,201		24,909
Steven Madden Limited		14,049		330,432
Superior Uniform Group Incorporated		1,654		16,557
Unifi Incorporated †		2,183		29,973
Vera Bradley Incorporated †		4,331		22,738
Wolverine World Wide Incorporated		14,827		310,477
				1,946,617
Consumer Staples : 5.02%
Beverages : 0.65%
Boston Beer Company Incorporated Class A †		1,592		899,050
Celsius Holdings Incorporated †		4,731		43,856
Coca Cola Bottling Corporation		852		207,402
MGP Ingredients Incorporated		2,319		86,986
National Beverage Corporation †		1,838		104,729
New Age Beverages Corporation †		13,990		21,125
				1,363,148
Food & Staples Retailing : 0.79%
HF Foods Group Incorporated †		2,078		14,878
Ingles Markets Incorporated Class A		2,385		101,625

5

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

	Shares		Value
Food & Staples Retailing (continued)
Natural Grocers By Vitamin C		1,974	$	28,426
Pricesmart Incorporated		3,652		198,596
Rite Aid Corporation †		10,875		142,789
SpartanNash Company		6,594		141,178
Sprouts Farmers Market Incorporated †		19,895		499,961
The Andersons Incorporated		4,957		64,243
The Chef’s Warehouse Incorporated †		4,618		68,346
United Natural Foods Incorporated †		9,036		177,106
Village Super Market Class A		1,770		42,356
Weis Markets Incorporated		2,881		160,558
				1,640,062
Food Products : 1.95%
Alico Incorporated		507		16,270
B&G Foods Incorporated		10,275		238,586
Cal-Maine Foods Incorporated †		4,108		183,052
Calavo Growers Incorporated		3,031		177,344
Dean Foods Company †		19,029		1,658
Farmer Bros Corporation †		2,262		17,440
Fresh Del Monte Produce Incorporated		5,328		132,614
Freshpet Incorporated †		5,166		398,712
Hain Celestial Group Incorporated †		13,599		428,097
Hostess Brands Incorporated †		19,465		235,040
J & J Snack Foods Corporation		2,635		338,940
John B. Sanfilippo & Son Incorporated		1,535		133,453
Lancaster Colony Corporation		3,428		526,061
Landec Corporation †		4,375		46,681
Pilgrim’s Pride Corporation †		9,094		187,973
Sanderson Farms Incorporated		3,530		466,031
Seaboard Corporation		45		132,300
Seneca Foods Corporation Class A †		1,158		42,232
The Simply Good Foods Company †		15,079		256,795
Tootsie Roll Industries Incorporated		2,960		105,435
				4,064,714
Household Products : 0.77%
Central Garden & Pet Company Class A †		6,652		227,898
Energizer Holdings Incorporated		11,018		483,470
Oil Dri Corporation of America		826		29,265
Spectrum Brands Holdings Incorporated		8,989		425,359
WD-40 Company		2,348		450,464
				1,616,456
Personal Products : 0.63%
Edgewell Personal Care Company †		9,461		287,804
Elf Beauty Incorporated †		6,638		113,775
Inter Parfums Incorporated		3,152		146,284
Lifevantage Corporation †		2,218		33,958
Medifast Incorporated		1,689		172,852
NU Skin Enterprises Incorporated Class A		9,684		360,051
Revlon Incorporated Class A †		1,213		12,421
USANA Health Sciences Incorporated †		2,076		175,879
Veru Incorporated †		6,301		23,503
				1,326,527
Tobacco : 0.23%
Pyxus International Incorporated †		1,883		5,291
Turning Point Brands Incorporated		1,551		37,208
Universal Corporation		4,240		186,814
Vector Group Limited		21,786		249,014
				478,327

6

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Energy : 1.89%
Energy Equipment & Services : 0.57%
Apergy Corporation †		12,416	$	112,613
Archrock Incorporated		25,167		159,810
Aspen Aerogels Incorporated †		2,802		17,372
Cactus Incorporated Class A		8,267		157,734
DMC Global Incorporated		2,358		67,321
Era Group Incorporated †		3,786		18,968
Exterran Corporation †		4,360		27,991
Geospace Technologies Corporation †		1,986		15,650
Gulf Island Fabrication Incorporated †		2,195		6,563
Hi-Crush Partners LP †		18,184		4,577
Ion Geophysical Corporation †		1,859		4,387
KLX Energy Services †		3,533		5,229
Liberty Oilfield Services Class A		8,220		42,333
Matrix Service Company †		4,648		51,221
McDermott International Incorporated †		33,619		2,269
National Energy Services Reunited Corporation †		4,455		25,304
Natural Gas Services Group Incoporated †		2,009		12,576
Newpark Resources Incorporated †		15,453		31,215
Nextier Oilfield Solutions Incorporated †		7,929		22,994
Nine Energy Service Incorporated †		2,373		4,817
Oceaneering International Incorporated †		17,016		109,243
Parker Drilling Company †		918		6,426
ProPetro Holding Corporation †		13,524		66,944
RPC Incorporated		8,695		27,650
Seacor Holdings Incorporated †		3,511		94,095
Seacor Marine Holdings Incorporated †		3,050		4,728
Select Energy Services Incorporated Class A †		8,540		50,728
Solaris Oilfield Infrastructure Incorporated Class A		4,537		31,441
Tetra Technologies Incorporated †		21,474		7,086
				1,189,285
Oil, Gas & Consumable Fuels : 1.32%
Adams Resources & Energy Incorporated		310		8,133
Altus Midstream Company Class A †		7,436		5,131
Amplify Energy Corporation		4,370		4,807
Antero Resources Corporation †		34,832		104,148
Arch Resources Incorporated		2,484		81,873
Berry Petroleum Corporation		10,634		45,088
Bonanza Creek Energy Incorporated †		2,822		47,692
Brigham Minerals Incorporated Class A		3,130		41,473
Centennial Resource Development Class A †		29,515		29,810
Chesapeake Energy Corporation †		900		11,709
Consol Energy Incorporated †		3,866		26,327
Contura Energy Incorporated †		3,413		13,106
Core Laboratories NV		7,704		155,775
CVR Energy Incorporated		5,570		113,628
Delek US Holdings Incorporated		13,945		274,298
DHT Holdings Incorporated		16,225		96,377
Earthstone Energy Incorporated Class A †		2,487		7,411
Evolution Petroleum Corporation		4,392		10,716
Extraction Oil & Gas Incorporated †		11,183		3,243
Falcon Minerals Corporation		6,510		16,210
Goodrich Petroleum Corporation †		1,897		15,252
Green Plains Renewable Energy Incorporated		6,716		57,422
Gulfport Energy Corporation †		21,491		32,451
Hallador Energy Corporation		3,302		2,323
International Seaways Incorporated		4,211		95,505
Laredo Petroleum Incorporated †		25,988		22,051
Magnolia Oil & Gas Corporation †		19,343		107,354
Montage Resources Corporation †		2,724		16,671
Northern Oil & Gas Incorporated †		47,354		36,903
Overseas Shipholding Group Class A †		13,240		29,260
Panhandle Oil And Gas Incorporated Class A		2,213		9,250
Par Pacific Holdings Incorporated †		6,991		64,946
PDC Energy Incorporated †		17,641		214,867

7

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

	Shares		Value
Oil, Gas & Consumable Fuels (continued)
Peabody Energy Corporation		13,234	$	41,687
Penn Virginia Corporation †		2,351		20,642
Renewable Energy Group Incorporated †		6,378		181,454
Rex American Resources Corporation †		1,078		63,225
Ring Energy Incorporated †		8,469		10,078
Sandridge Energy Incorporated †		5,404		8,538
SilverBow Resources Incorporated †		978		3,697
Southwestern Energy Company †		83,468		251,239
Talos Energy Incorporated †		2,915		35,417
Vaalco Energy Incorporated †		8,074		8,009
W&T Offshore Incorporated †		15,689		40,948
World Fuel Services Corporation		11,225		286,013
				2,752,157
Financials : 17.47%
Banks : 9.34%
1st Constitution Bancorp		1,148		14,740
1st Source Corporation		1,370		47,388
ACNB Corporation		1,222		30,354
Allegiance Bancshares Incorporated		3,402		87,125
Amalgamated Bank of New York Class A		2,535		28,468
Amerant Bancorp Incorporated Class A †		3,594		46,866
American National Bankshares Incorporated		1,817		45,171
Ameris Bancorp		11,929		289,036
AMES National Corporation		1,500		30,150
Arrow Financial Corporation		2,454		71,780
Atlantic Capital Bancshares †		4,017		45,794
Atlantic Union Bankshares Corporation		13,846		320,535
Auburn National Bancorporation Incorporated		407		21,913
Banc of California Incorporated		7,898		86,483
BancFirst Corporation		3,382		128,922
BancorpSouth Bank		16,714		371,552
Bank First Corporation		1,133		70,643
Bank of Commerce Holdings		2,818		21,501
Bank of Marin Bancorp		2,264		76,184
BankFinancial Corporation		2,360		21,429
Bankwell Financial Group Incorporated		950		13,908
Banner Corporation		6,096		228,966
Bar Harbor Bankshares		2,653		52,317
Baycom Corporation †		2,042		26,914
BCB Bancorp Incorporated		2,301		22,067
Berkshire Hills Bancorp Incorporated		8,059		87,198
BOK Financial Corporation		5,135		261,577
Boston Private Financial Holdings Incorporated		14,562		100,041
Bridge Bancorp Incorporated		3,116		66,371
Brookline Bancorp Incorporated		13,662		127,057
Bryn Mawr Bank Corporation		3,575		99,278
Business First Bancshares Incorporated		2,233		32,356
Byline Bancorp Incorporated		4,135		50,240
C&F Financial Corporation		576		20,759
Cadence Bancorp		22,708		183,254
Cambridge Bancorp		858		49,764
Camden National Corporation		2,637		88,445
Capital Bancorp Incorporated †		1,147		13,053
Capital City Bank Group Incorporated		1,963		39,947
Capstar Financial Holdings Class I		2,033		23,420
Carter Bank & Trust		4,322		30,513
Cathay General Bancorp		13,526		367,772
CB Financial Services Incorporated		789		19,094
CBTX Incorporated		3,262		66,610
CenterState Bank Incorporated		22,642		357,744
Central Pacific Financial Company		4,810		77,489
Central Valley Community Bancorp		2,040		30,722
Century Bancorp Incorporated Class A		425		32,045
Chemung Financial Corporation		528		13,369
Citizens & Northern Corporation		2,296		44,037
Citizens Community Bancorp Incorporated		1,670		12,275

8

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Banks (continued)
City Holding Company		2,895	$	182,096
Civista Bancshares Incorporated		2,522		38,435
CNB Financial Corporation		2,469		43,751
Coastal Financial Corporation †		1,379		17,513
Codorus Valley Bancorp Incorporated		1,654		21,916
Colony Bankcorp Incorporated		1,199		15,251
Columbia Banking System Incorporated		13,168		320,767
Community Bankers Trust Corporation		3,603		20,285
Community Financial Corporation		882		20,903
Community Trust Bancorp		2,637		86,599
ConnectOne Bancorp Incorporated		6,111		89,587
County Bancorp Incorporated		911		19,814
CrossFirst Bankshares Incorporated †		1,299		12,639
Customers Bancorp Incorporated †		5,192		57,579
Dime Community Bancshares		5,535		79,870
Eagle Bancorp Incorporated		5,459		176,653
Eagle Bancorp Montana Incorporated		977		16,892
Enterprise Bancorp Incorporated		1,539		35,459
Enterprise Financial Service		4,249		124,793
Equity Bancshares Incorporated Class A †		2,522		41,134
Esquire Financial Holdings Class I †		1,058		18,124
Evans Bancorp Incorporated		825		20,163
Farmers & Merchants Banco		1,958		42,547
Farmers National Banc Corporation		4,378		51,442
FB Financial Corporation		2,964		69,980
Fidelity D&D Bancorp Incorporated		511		19,413
Financial Institutions Incorporated		2,688		47,551
First Bancorp Incorporated		1,754		36,150
First Bancorp of North Carolina		5,094		129,489
First Bancshares Incorporated		2,909		61,642
First Bank		3,091		23,090
First Busey Corporation		8,820		157,966
First Business Financial Service		1,303		21,565
First Capital Incorporated		573		35,211
First Choice Bancorp		1,574		22,115
First Citizens BancShares Corporation Class A		732		281,820
First Commonwealth Financial Corporation		17,522		143,330
First Community Bancshares		2,445		52,250
First Community Corporation		1,070		15,836
First Financial Bancorp		17,262		229,407
First Financial Corporation		2,053		72,060
First Financial Northwest		1,174		11,470
First Foundation Incorporated		6,739		100,411
First Guaranty Bancshares Incorporated		749		8,913
First Internet Bancorp		1,651		26,548
First Interstate BancSystem Class A		7,637		238,656
First Merchants Corporation		8,837		247,966
First Mid-Illinois Bancshares		2,250		57,263
First Midwest Bancorp Incorporated		18,765		244,883
First National Community Bancorp Incorporated		2,911		16,185
First Northwest Bancorp		1,399		18,970
First of Long Island Corporation		4,231		64,607
First Savings Financial Group Incorporated		306		12,546
First United Corporation		1,064		14,641
First Western Financial Incorporated †		1,066		13,837
Flushing Financial Corporation		4,772		54,114
Franklin Financial Network		2,397		59,110
Franklin Financial Services Corporation		681		17,025
Fulton Financial Corporation		29,897		335,145
FVCBankcorp Incorporated †		2,030		22,594
German American Bancorp		4,280		132,594
Great Southern Bancorp Incorporated		2,081		84,405
Great Western Bancorp Incorporated		10,385		147,882
Guaranty Bancshares Incorporated		1,311		33,326
Hanmi Financial Corporation		5,544		50,062
HarborOne Bancorp Incorporated †		2,927		23,328
Hawthorn Bancshares Incorporated		1,079		21,256
Heartland Financial USA Incorporated		6,218		199,038

9

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

	Shares		Value
Banks (continued)
Heritage Commerce Corporation		10,213	$	83,032
Heritage Financial Corporation		6,649		126,331
Hilltop Holdings Incorporated		12,326		230,373
Hometrust Bancshares Incorporated		2,758		42,528
Hope Bancorp Incorporated		20,969		199,101
Horizon Bancorp Indiana		6,846		70,240
Howard Bancorp Incorporated †		2,193		22,610
Independent Bank Corporation		6,200		430,714
Independent Bank Corporation		4,034		55,750
Independent Bank Group Incorporated		6,365		241,106
International Bancshares Corporation		10,315		317,496
Investar Holding Corporation		1,461		19,066
Investors Bancorp Incorporated		41,406		359,404
Lakeland Bancorp Incorporated		8,575		95,183
Lakeland Financial Corporation		4,459		190,355
LCNB Corporation		1,990		29,591
Level One Bancorp Incorporated		813		15,293
Live Oak Bancshares Incorporated		4,425		59,915
Macatawa Bank Corporation		4,355		32,183
Mackinac Financial Corporation		1,615		16,974
MainStreet Bancshares Incorporated †		1,081		14,345
Malvern Bancorp Incorporated †		1,159		13,769
Mercantile Bank Corporation		2,771		63,567
Metropolitan Bank Holding Corporation †		934		26,152
Mid Penn Bancorp Incorporated		1,050		19,593
Middlefield Banc Corporation		986		18,734
Midland States Bancorp Incorporated		3,813		57,081
Midwestone Financial Group Class I		2,622		50,316
MVB Financial Corporation		1,721		24,438
National Bank Holdings Corporation Class A		4,779		125,688
National Bankshares Incorporated		1,089		33,541
NBT Bancorp Incorporated		7,665		240,068
Nicolet Bankshares Incorporated †		1,472		82,300
Northeast Bank		1,510		25,912
Northrim BanCorp Incorporated		1,123		25,908
Norwood Financial Corporation		1,035		25,347
Oak Valley Bancorp		1,112		15,301
OceanFirst Financial Corporation		9,536		159,251
Ohio Valley Banc Corporation		559		14,003
Old National Bancorp		30,271		411,383
Old Second Bancorp Incorporated		4,976		38,315
Opus Bank		4,971		96,885
Origin Bancorp Incorporated		3,264		68,087
Orrstown Financial Services Incorporated		1,594		21,487
Pacific Mercantile Bancorp †		3,451		13,114
Pacific Premier Bancorp Incorporated		10,158		219,616
Park National Corporation		2,269		169,880
Parke Bancorp Incorporated		1,657		23,065
PCB Bancorp		2,007		18,103
Peapack-Gladstone Financial Corporation		3,375		63,551
Penns Woods Bancorp Incorporated		1,096		23,520
People’s Utah Bancorp		2,946		72,972
Peoples Bancorp Incorporated		3,321		74,623
Peoples Bancorp of North Carolina Incorporated		736		12,880
Peoples Financial Services		1,125		37,181
Preferred Bank (Los Angeles)		2,437		91,558
Premier Financial Bancorp		2,088		27,687
QCR Holdings Incorporated		2,688		81,635
RBB Bancorp		2,417		31,010
Reliant Bancorp Incorporated		1,778		24,892
Renasant Corporation		9,810		236,617
Republic Bancorp Incorporated Class A		2,152		68,972
Richmond Mutual Bancorporation Incorporated		2,280		25,354
Riverview Financial Corporation		1,469		8,814
S&T Bancorp Incorporated		5,922		131,705
Sandy Spring Bancorp Incorporated		6,214		150,690
SB Financial Group Incorporated		981		15,039
SB One Bancorp		1,418		24,092
Seacoast Banking Corporation †		8,933		194,293

10

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Banks (continued)
Select Bancorp Incorporated †		2,685	$	20,138
ServisFirst Bancshares Incorporated		8,163		284,725
Shore Bancshares Incorporated		2,225		22,250
Sierra Bancorp		2,389		45,009
Simmons First National Corporation Class A		16,601		284,701
Smartfinancial Incorporated		2,039		31,401
South State Corporation		6,202		326,039
Southern First Bancshares †		1,254		36,441
Southern National Bancorp of Virginia		4,003		40,270
Southside Bancshares Incorporated		5,626		158,653
Spirit of Texas Bancshares Incorporated †		2,442		29,402
Stock Yards Bancorp Incorporated		3,643		123,971
Summit Financial Group Incorporated		1,901		31,937
The Bancorp Incorporated †		8,257		72,662
The Bank of Princeton		822		16,974
Tompkins Trust Company Incorporated		2,275		146,396
Towne Bank		11,371		214,457
TriCo Bancshares		4,204		119,267
TriState Capital Holdings Incorporated †		4,214		62,999
Triumph Bancorp Incorporated †		4,071		99,943
Trustmark Corporation		10,577		251,627
Union Bankshares Incorporated		554		10,858
United Community Bank		14,311		279,780
United Security Bancshare		2,418		14,822
Unity Bancorp Incorporated		1,363		19,505
Univest Corporation of Pennsylvania		4,792		78,780
Veritex Holdings Incorporated		8,972		157,189
Washington Trust Bancorp		2,729		87,246
WesBanco Incorporated		11,531		246,994
West Bancorporation		2,498		44,065
Westamerica Bancorporation		4,656		274,611
				19,507,189
Capital Markets : 2.24%
Ares Management Corporation Class A		13,266		500,924
Artisan Partners Asset Management Incorporated Class A		9,192		266,292
B. Riley Financial Incorporated		3,270		62,882
BGC Partners Incorporated Class A		53,505		137,775
Blucora Incorporated †		8,203		99,666
BrightSphere Investment Group Incorporated		10,882		90,865
Cohen & Steers Incorporated		4,278		271,867
Cowen Incorporated Class A		4,549		59,455
Diamond Hill Investment Group		464		48,701
Donnelley Financial Solutions †		5,393		43,953
Evercore Partners Incorporated Class A		6,504		358,435
Federated Investors Incorporated Class B		16,311		361,126
Gain Capital Holdings Incorporated		4,208		26,426
Gamco Investors Incorporated Class A		905		11,693
Great Elm Capital Group Incorporated †		3,769		9,046
Hamilton Lane Incorporated Class A		4,321		316,168
Houlihan Lokey Incorporated		7,289		440,839
INTL FC Stone Incorporated †		2,681		136,758
Moelis Company Class A		9,305		312,927
Oppenheimer Holdings Class A		1,523		32,257
Piper Jaffray Companies Incorporated		2,384		142,182
PJT Partners Incorporated Class A		3,647		199,454
Pzena Investment Managm Class A		3,087		12,595
Safeguard Scientifics Incorporated		3,237		20,490
Sculptor Capital Management Incorporated		2,566		32,178
Silvercrest Asset Management Group Incorporated Class A		1,276		14,381
Victory Capital Holding Class A		2,577		43,062
VIRTU Financial Incorporated Class A		13,592		324,169
Virtus Investment Partners Incorporated		1,187		110,367
Waddell & Reed Financial Incorporated Class A		12,490		162,870

11

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

	Shares		Value
Capital Markets (continued)
Westwood Holdings Group Incorporated		1,493	$	26,471
				4,676,274
Consumer Finance : 0.45%
Atlanticus Holdings Corporation †		1,791		25,970
Curo Group Holdings Corporation		3,352		22,425
Elevate Credit Incorporated †		4,804		8,167
Encore Capital Group Incorporated †		5,146		163,488
Enova International Incorporated †		6,046		85,551
Ezcorp Incorporated †		7,090		36,584
Medallion Financial Corporation †		3,308		7,708
Nelnet Incorporated Class A		3,591		177,000
Regional Management Corporation †		1,664		26,391
Santander Consumer USA Holdings Incorporated		18,198		300,813
World Acceptance Corporation †		1,306		86,849
				940,946
Diversified Financial Services : 0.35%
Alerus Financial Corporation		1,078		19,544
Cannae Holdings Incorporated †		12,245		450,983
FGL Holdings		29,411		245,288
Marlin Business Services Incorporated		1,378		10,321
On Deck Capital Incorporated †		12,314		9,210
				735,346
Insurance : 2.30%
Ambac Financial Group Incorporated †		8,467		113,627
American National Insurance Company		1,700		127,755
Amerisafe Incorporated		3,563		218,697
Argo Group International Holdings Limited		6,070		186,288
Benefytt Technologies Incorporated †		1,722		33,803
Citizens Incorporated †		8,120		49,370
CNA Financial Corporation		5,034		152,178
Crawford & Company Class A		2,609		15,706
Donegal Group Incorporated Class A		1,994		28,415
eHealth Incorporated †		3,826		498,987
Employers Holdings Incorporated		5,689		170,044
FBL Financial Group Incorporated		1,776		63,421
FedNat Holding Company		1,845		22,491
Genworth Financial Incorporated Class A †		79,025		241,026
Goosehead Insurance Incorporated Class A †		2,311		138,544
Greenlight Capital Limited †		5,100		36,924
Hallmark Financial Services Incorporated †		2,500		5,825
HCI Group Incorporated		1,070		47,990
Heritage Insurance Holdings Incorporated		4,438		55,653
Horace Mann Educators Corporation		7,199		262,907
Independence Holding Company		797		23,153
Investors Title Company		246		31,021
James River Group Holdings Limited		5,022		194,201
Kingstone Company Incorporated		1,592		7,005
Kinsale Capital Group Incorporated		3,899		582,199
Mercury General Corporation		4,874		196,081
National General Holdings Corporation		11,523		233,917
National Western Life Group Class A		312		61,130
NI Holdings Incorporated †		1,515		22,710
ProAssurance Corporation		9,840		135,792
ProSight Global Incorporated †		1,296		11,483
Protective Insurance Corporation Class B		1,310		18,104
Safety Insurance Group Incorporated		2,698		205,696
State Auto Financial Corporation		3,120		62,213
Stewart Information Services Corporation		4,337		133,666
Tiptree Incorporated		3,827		23,345
Trupanion Incorporated †		5,247		158,040
United Fire Group Incorporated		3,811		102,249
United Insurance Holdings Company		3,830		30,027

12

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Insurance (continued)
Universal Insurance Holdings Company		5,625	$	100,463
				4,802,146
Mortgage REITs : 0.82%
AG Mortgage Investment Trust Incorporated		5,844		14,376
Anworth Mortgage Asset Corporation		16,996		24,814
Apollo Commercial Real Estate Finance Incorporated		28,275		232,703
Arbor Realty Trust Incorporated		16,603		139,797
Ares Commercial Real Estate		4,980		37,101
Capstead Mortgage Corporation		16,375		82,858
Colony Credit Real Estate Incorporated REIT		15,456		76,507
Dynex Capital Incorporated REIT		4,454		57,278
Ellington Financial Incorporated		5,592		57,038
Ellington Residential Mortgage REIT		1,568		14,849
Exantas Capital Corporation REIT		5,724		11,448
Granite Point Mortgage Trust Incorporated		10,209		50,228
Great Ajax Corporation REIT		3,694		30,291
Invesco Mortgage Capital Incorporated		27,479		76,117
KKR Real Estate Finance Trust		4,401		71,252
Ladder Capital Corporation		18,019		143,251
New York Mortgage Trust Incorporated		48,726		101,350
Orchid Island Capital Incorporated REIT		11,615		48,435
PennyMac Mortgage Investment Trust		16,969		186,829
Ready Capital Corporation		6,216		36,488
Redwood Trust Incorporated		19,525		104,459
Sachem Capital Corporation REIT		3,257		9,413
TPG Real Estate Finance Trust Incorporated		10,626		78,739
Western Asset Mortgage Capital REIT		9,631		19,069
				1,704,690
Thrifts & Mortgage Finance : 1.97%
Axos Financial Incorporated †		9,660		210,588
Bridgewater Bancshares Incorporated †		3,781		39,398
Capitol Federal Financial Incorporated		23,746		278,422
Columbia Financial Incorporated †		8,545		120,485
Essa Bancorp Incorporated		1,549		22,228
Federal Agricultural Mortgage Corporation Class C		1,594		102,223
First Defiance Financial Corporation		6,557		108,912
Flagstar Bancorp Incorporated		5,125		150,163
FS Bancorp Incorporated		618		26,104
Hingham Institution For Savings Corporation		278		45,634
Home Bancorp Incorporated		1,249		29,676
Homestreet Incorporated		4,191		99,830
Impac Mortgage Holdings Incorporated †		2,067		3,307
Kearny Financial Corporation		14,284		122,414
Luther Burbank Corporation		2,601		26,738
Merchants Bancorp Incorporated		2,696		46,048
Meridian Bancorp Incorporated		8,531		98,277
Meta Financial Group Incorporated		6,627		120,081
MMA Capital Management LLC †		771		19,244
Mr. Cooper Group Incorporated †		13,589		151,517
NMI Holdings Incorporated Class A †		12,041		185,010
Northfield Bancorp Incorporated		7,577		82,817
Northwest Bancshares Incorporated		21,147		210,624
Ocwen Financial Corporation †		20,895		15,446
OP Bancorp		2,140		13,568
PCSB Financial Corporation		2,683		35,845
PDL Community Bancorp †		1,257		11,238
PennyMac Financial Services Incorporated		7,784		261,387
Pioneer Bancorp Incorporated †		1,829		17,467
Provident Bancorp Incorporated		1,222		10,411
Provident Financial Holdings		852		10,965
Provident Financial Services Incorporated		10,877		141,727
Prudential Bancorp Incorporated		1,224		14,957
Riverview Bancorp Incorporated		3,204		16,020

13

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

	Shares		Value
Thrifts & Mortgage Finance (continued)
Southern Missouri Bancorp		976	$	23,736
Standard AVB Financial Corporation		713		17,112
Sterling Bancorp Incorporated		3,620		10,317
Territorial Bancorp Incorporated		1,495		38,018
TFS Financial Corporation		9,438		145,440
Timberland Bancorp Incorporated		1,162		20,881
Trustco Bank Corporation		17,210		108,423
Walker & Dunlop Incorporated		4,762		192,861
Washington Federal Incorporated		13,959		360,980
Waterstone Financial Incorporated		4,249		63,310
Western New England Bancorp		4,021		21,231
WSFS Financial Corporation		9,584		265,189
				4,116,269
Health Care : 14.29%
Biotechnology : 4.41%
Acorda Therapeutics Incorporated †		7,089		5,300
Adamas Pharmaceuticals Incorporated †		3,475		9,591
ADMA Biologics Incorporated †		9,767		32,133
Aeglea BioTherapeutics Incorporated †		4,629		40,781
Agenus Incorporated †		20,323		75,805
Akcea Therapeutics Incorporated †		2,654		39,545
Akebia Therapeutics Incorporated †		19,592		228,051
Alector Incorporated †		4,876		159,445
AMAG Pharmaceuticals Incorporated †		5,047		38,912
Anavex Life Sciences Corporation †		8,640		35,510
Anika Therapeutics Incorporated †		2,521		84,529
Arcturus Therapeutics Holdings Incorporated †		2,035		79,243
Arena Pharmaceuticals Incorporated †		8,990		537,332
Athenex Incorporated †		9,176		99,743
Athersys Incorporated †		23,731		69,057
Atreca Incorporated Class A †		1,258		23,235
Aveo Pharmaceuticals Incorporated †		3,001		24,488
Avid Bioservices Incorporated †		6,927		40,454
BeyondSpring Incorporated †		2,832		48,144
Biospecifics Technologies †		825		51,315
CareDx Incorporated †		6,527		209,647
Catalyst Pharmaceuticals Incorporated †		18,886		81,399
Cel-Sci Corporation †		5,814		77,501
Celcuity Incorporated †		889		8,650
Coherus Biosciences Incorporated †		10,351		192,943
Corbus Pharmaceuticals Holdings †		9,751		72,742
Cortexyme Incorporated †		592		27,285
Cue Biopharma Incorporated †		3,098		85,753
Cyclerion Therapeutics Incorporated †		4,290		17,074
Cytokinetics Incorporated †		10,094		209,047
Deciphera Pharmaceuticals Incorporated †		4,752		278,325
Denali Therapeutics Incorporated †		10,466		291,269
Dyadic International Incorporated †		3,480		21,193
Eagle Pharmaceuticals Incorporated †		1,956		100,265
Eidos Therapeutics Incorporated †		727		35,558
Emergent BioSolutions Incorporated †		7,513		627,260
Enanta Pharmaceuticals Incorporated †		2,926		150,660
Enochian Biosciences Incorporated †		1,658		5,886
Harpoon Therapeutics Incorporated †		1,843		40,104
IGM Biosciences Incorporated †		1,380		89,396
Immunic Incorporated †		1,410		16,906
Invitae Corporation †		19,086		321,027
Ironwood Pharmaceuticals Incorporated †		25,118		244,398
Jounce Therapeutics Incorporated †		1,640		8,840
KalVista Pharmaceuticals Incorporated †		1,388		15,615
Kodiak Sciences Incorporated †		1,612		104,151
Krystal Biotech Incorporated †		1,761		90,533
La Jolla Pharmaceutical Company †		2,628		12,404
Lexicon Pharmaceuticals Incorporated †		4,899		9,357
Ligand Pharmaceuticals Incorporated †		3,488		354,276
Lineage Cell Therapeutics Incorporated †		22,623		19,947

14

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Biotechnology (continued)
Mannkind Corporation †		29,306	$	44,252
Matinas Biopharma Holdings Class I †		18,731		16,858
Mei Pharma Incorporated †		12,855		46,985
MeiraGTx Holdings plc †		2,492		36,981
Mersana Therapeutics Incorporated †		6,412		145,168
Molecular Templates Incorporated †		4,196		65,122
Momenta Pharmaceuticals Incorporated †		17,500		550,900
Myriad Genetics Incorporated †		12,940		188,018
Natera Incorporated †		11,499		504,231
NextCure Incorporated †		671		20,942
Oncocyte Corporation †		5,448		15,036
OPKO Health Incorporated †		62,335		142,124
Palatin Technologies Incorporated †		37,304		18,909
PDL BioPharma Incorporated		18,170		59,416
Pfenex Incorporated †		5,350		39,109
Pieris Pharmaceuticals Incorporated †		10,147		36,529
Precision BioSciences Incorporated †		11,365		79,669
Prevail Therapeutics Incorporated †		1,257		20,967
Principia Biopharma Incorporated †		2,962		189,242
Protagonist Therapeutics Incorporated †		4,134		68,335
Puma Biotechnology Incorporated †		5,509		56,247
Radius Health Incorporated †		8,497		107,572
Rigel Pharmaceuticals Incorporated †		28,862		56,425
Seres Therapeutics Incorporated †		6,467		35,504
Spero Therapeutics Incorporated †		2,152		25,437
Stoke Therapeutics Incorporated †		1,342		37,120
Sutro Biopharma Incorporated †		1,603		16,046
T2 Biosystems Incorporated †		7,611		6,388
TCR2 Therapeutics Incorporated †		1,508		15,231
Trevena Incorporated †		13,786		17,922
Twist Bioscience Corporation †		3,040		115,368
Vanda Pharmaceuticals Incorporated †		8,902		104,331
Veracyte Incorporated †		8,297		206,927
Vericel Corporation †		8,236		118,434
Viela Bio Incorporated †		1,453		68,146
Voyager Therapeutics Incorporated †		5,186		62,751
X4 Pharmaceuticals Incorporated †		2,044		17,456
Xencor Incorporated †		9,605		290,551
XOMA Corporation †		1,231		25,383
				9,214,056
Health Care Equipment & Supplies : 3.65%
Accuray Incorporated †		17,195		36,110
Alphatec Holdings Incorporated †		7,298		32,476
AngioDynamics Incorporated †		6,526		66,630
Antares Pharma Incorporated †		27,428		78,718
Apyx Medical Corporation †		5,237		23,252
Atricure Incorporated †		6,417		306,797
Atrion Corporation		171		109,780
Avanos Medical Incorporated †		9,253		268,892
BioLife Solutions Incorporated †		2,717		44,695
BioSig Technologies Incorporated †		2,828		26,527
Cantel Medical Corporation		6,873		289,216
Cardiovascular Systems Incorporated †		6,275		242,968
Chembio Diagnostics Incorporated †		2,494		24,017
ConforMIS Incorporated †		13,660		13,506
CONMED Corporation		5,162		378,942
CryoLife Incorporated †		6,220		141,381
Cryoport Incorporated †		6,710		164,865
Cutera Incorporated †		2,529		33,585
Endologix Incorporated †		3,588		2,639
Envista Holdings Corporation †		5,480		115,847
Fonar Corporation †		1,067		25,501
Genmark Diagnostics Incorporated †		9,859		93,562
Heska Corporation †		1,358		119,409
Inogen Incorporated †		4,192		159,296
Integer Holdings Corporation †		5,547		439,211

15

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

	Shares		Value
Health Care Equipment & Supplies (continued)
Intricon Corporation †		1,436	$	20,305
Invacare Corporation		5,368		33,067
IRadimed Corporation †		781		18,158
Lantheus Holdings Incorporated †		6,913		94,915
LeMaitre Vascular Incorporated		3,050		82,015
Meridian Bioscience Incorporated †		6,565		101,495
Merit Medical Systems Incorporated †		9,046		406,980
Mesa Laboratories Incorporated		590		155,908
Misonix Incorporated †		3,006		41,874
Natus Medical Incorporated †		6,010		128,614
Neuronetics Incorporated †		2,093		3,830
Nevro Corporation †		5,449		684,394
Nuvectra Corporation †		3,733		112
OraSure Technologies Incorporated †		10,491		152,539
Orthofix Medical Incorporated †		3,369		114,816
Orthopediatrics Corporation †		1,564		72,147
Oxford Immunotec Global plc †		4,368		53,508
Quidel Corporation †		6,043		1,057,525
Repro-Med Systems Incorporated †		3,370		34,104
Rockwell Medical Incorporated †		10,300		22,042
RTI Biologics Incorporated †		9,953		27,072
Seaspine Holdings Corporation †		3,426		36,487
SI-BONE Incorporated †		2,581		45,142
SmileDirectClub Incorporated †		12,732		99,437
STAAR Surgical Company †		7,877		305,628
Stereotaxis Incorporated †		6,160		25,441
Surmodics Incorporated †		2,369		87,606
Tactile Systems Technology Class I †		3,171		153,635
TransMedics Group Incorporated †		1,424		18,811
Utah Medical Products Incorporated		637		63,369
Vapotherm Incorporated †		2,128		56,669
Varex Imaging Corporation †		6,779		127,174
Zynex Incorporated †		3,301		64,039
				7,626,680
Health Care Providers & Services : 2.85%
Addus Homecare Corporation †		2,400		237,504
American Renal Associates Holdings †		2,205		13,649
AMN Healthcare Services Incorporated †		8,429		373,910
Apollo Medical Holdings Incorporated †		1,926		36,382
Brookdale Senior Living Incorporated †		33,840		123,854
Capital Senior Living Corporation †		4,690		3,095
Catasys Incorporated †		1,211		23,990
Community Health Systems Incorporated †		18,353		57,812
CorVel Corporation †		1,679		113,987
Covetrus Incorporated †		18,508		282,802
Cross Country Healthcare Incorporated †		6,913		41,962
Enzo Biochem Incorporated †		8,400		23,940
Five Star Senior Living Incorporated †		2,717		10,080
Fulgent Genetics Incorporated †		1,054		18,361
Genesis Healthcare Incorporated †		11,910		10,268
Hanger Incorporated †		6,431		118,073
InfuSystem Holdings Incorporated †		2,457		28,526
LHC Group Incorporated †		5,276		857,403
Magellan Health Services Incorporated †		3,897		292,236
MEDNAX Incorporated †		13,001		201,906
National Healthcare Corporation		2,075		139,170
National Research Corporation Class A		2,286		129,662
Option Care Health Incorporated †		5,335		81,092
Owens & Minor Incorporated		11,498		91,179
Patterson Companies Incorporated		13,404		263,925
PetIQ Incorporated †		3,316		101,735
Premier Incorporated Class A †		10,385		361,294
Providence Service Corporation †		2,038		164,059
R1 RCM Incorporated †		17,393		184,540
RadNet Incorporated †		7,540		128,482
Select Medical Holdings Corporation †		18,579		299,865
Tenet Healthcare Corporation †		15,974		347,594

16

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Health Care Providers & Services (continued)
The Ensign Group Incorporated		9,125	$	398,945
The Joint Corporation †		2,592		39,165
The Pennant Group Incorporated †		3,243		82,664
Tivity Health Incorporated †		9,008		95,935
U.S. Physical Therapy Incorporated		2,281		169,113
				5,948,159
Health Care Technology : 1.07%
Allscripts Healthcare Solutions Incorporated †		33,069		208,996
Castlight Health Incorporated Class B †		18,930		14,911
Computer Programs & Systems Incorporated		2,104		46,540
Health Catalyst Incorporated †		1,773		48,119
HealthStream Incorporated †		4,874		111,030
HMS Holdings Corporation †		15,601		487,375
iCAD Incorporated †		2,842		33,365
Inovalon Holdings Incorporated Class A †		12,386		233,105
Inspire Medical Systems Incorporated †		3,247		264,760
NextGen Healthcare Incorporated †		10,093		104,160
Omnicell Incorporated †		7,326		490,183
OptimizeRx Corporation †		2,256		25,628
Phreesia Incorporated †		1,764		51,720
Simulations Plus Incorporated		2,253		114,160
				2,234,052
Life Sciences Tools & Services : 0.80%
10x Genomics Incorporated Class A †		2,146		167,324
Chromadex Corporation †		6,314		30,370
Fluidigm Corporation †		9,129		39,802
Harvard Bioscience Incorporated †		5,414		14,293
Luminex Corporation		7,211		224,695
Medpace Holdings Incorporated †		4,590		426,044
Nanostring Technologies Incorporated †		6,500		198,445
Neogenomics Incorporated †		16,954		452,502
Personalis Incorporated †		1,428		16,908
Quanterix Corporation †		3,336		92,040
				1,662,423
Pharmaceuticals : 1.51%
Akorn Incorporated †		17,088		1,538
Amneal Pharmaceuticals Incorporated †		15,113		73,600
Amphastar Pharmaceuticals Incorporated †		6,133		114,319
ANI Pharmaceuticals Incorporated †		1,581		49,106
Arvinas Incorporated †		2,298		76,454
Assembly Biosciences Incorporated †		2,572		50,128
Assertio Holdings Incorporated †		8,951		8,831
Axsome Therapeutics Incorporated †		3,879		298,605
Baudax Bio Incorporated †		1,009		4,288
BioDelivery Sciences International Incorporated †		15,364		73,440
Collegium Pharmaceutical Incorporated †		5,794		127,758
Corcept Therapeutics Incorporated †		17,257		261,271
Dova Pharmaceuticals Incorporated (a)		2,458		0
Durect Corporation †		35,939		84,097
Endo International plc †		38,827		149,872
Evofem Biosciences Incorporated †		2,110		11,521
Eyepoint Pharmaceuticals Incorporated †		11,481		9,874
Harrow Health Incorporated †		3,993		21,602
Innoviva Incorporated †		10,941		152,846
Intersect ENT Incorporated †		5,354		59,697
Lannett Company Incorporated †		6,140		46,971
Mallinckrodt plc †		15,043		42,421
Menlo Therapeutics Incorporated †		2,170		5,186
Nabriva Therapeutics plc †		14,135		16,114
Neos Therapeutics Incorporated †		9,858		6,997
NGM Biopharmaceuticals Incorporated †		2,592		51,140

17

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

	Shares		Value
Pharmaceuticals (continued)
Omeros Corporation †		9,101	$	135,423
Optinose Incorporated †		3,513		15,176
Pacira Pharmaceuticals Incorporated †		7,076		310,990
Phibro Animal Health Corporation Class A		3,491		91,464
Prestige Consumer Healthcare Incorporated †		8,605		363,131
Provention Bio Incorporated †		4,585		62,402
Recro Pharma Incorporated		3,122		14,111
Relmada Therapeutics Incorporated †		1,314		63,348
Siga Technologies Incorporated †		10,299		61,691
Strongbridge Biopharma plc †		7,049		24,108
Supernus Pharmaceuticals Incorporated †		9,260		223,351
				3,162,871
Industrials : 13.70%
Aerospace & Defense : 0.84%
AAR Corporation		6,145		123,945
Aerojet Rocketdyne Holdings †		12,642		554,352
Astronics Corporation †		4,449		40,619
Cubic Corporation		5,368		221,215
Ducommun Incorporated †		1,942		62,532
Maxar Technologies Incorporated		9,389		141,492
Moog Incorporated Class A		5,791		314,393
Park Aerospace Corporation		3,253		39,459
Parsons Corporation †		3,665		149,019
Vectrus Incorporated †		2,037		111,872
				1,758,898
Air Freight & Logistics : 0.50%
Air Transport Services Group †		10,331		222,530
Atlas Air Worldwide Holdings Incorporated †		4,236		165,458
Echo Global Logistics Incorporated †		4,662		96,503
Forward Air Corporation		5,084		252,573
Hub Group Incorporated Class A †		6,027		281,883
Radiant Logistics Incorporated †		6,038		24,092
				1,043,039
Airlines : 0.32%
Allegiant Travel Company		2,188		233,131
Hawaiian Holdings Incorporated		8,333		120,245
Mesa Air Group Incorporated †		4,022		13,072
SkyWest Incorporated		9,144		293,248
				659,696
Building Products : 1.46%
American Woodmark Corporation †		2,785		174,787
Apogee Enterprises Incorporated		4,564		94,247
Armstrong Flooring Incorporated †		3,412		11,669
Builders FirstSource Incorporated †		20,780		432,432
Cornerstone Building Brands Incorporated †		9,378		50,829
CSW Industrials Incorporated		2,553		182,693
Gibraltar Industries Incorporated †		5,657		248,965
Griffon Corporation		7,663		128,738
JELD-WEN Holding Incorporated †		11,546		157,372
Patrick Industries Incorporated		3,835		198,921
PGT Incorporated †		7,796		106,104
Quanex Building Products Corporation		5,846		72,490
Resideo Technologies Incorporated †		18,556		131,005
Simpson Manufacturing Company Incorporated		7,205		576,832
UFP Industries Incorporated		10,730		490,683
				3,057,767

18

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Commercial Services & Supplies : 2.22%
ABM Industries Incorporated		11,930	$	366,609
ACCO Brands Corporation		16,535		102,352
Advanced Disposal Services Incorporated †		12,288		383,140
Brady Corporation Class A		8,404		429,697
BrightView Holdings Incorporated †		5,483		75,062
Casella Waste Systems Incorporated Class A †		8,062		410,759
Ceco Environmental Corporation †		4,648		24,681
Covanta Holding Corporation		20,764		186,876
Deluxe Corporation		8,027		187,270
Ennis Incorporated		4,473		79,619
Healthcare Services Group Incorporated		13,408		320,719
Heritage Crystal Clean Incorporated †		2,928		49,659
Herman Miller Incorporated		10,598		243,966
HNI Corporation		7,295		185,804
Interface Incorporated		10,176		86,394
Kimball International Incorporated Class B		6,540		73,183
Knoll Incorporated		8,831		93,255
Matthews International Corporation Class A		5,520		114,264
McGrath RentCorp		4,302		239,880
Pitney Bowes Incorporated		34,530		81,836
Quad Graphics Incorporated		5,742		16,365
RR Donnelley & Sons Company		12,790		13,941
SP Plus Corporation †		4,245		86,471
Steelcase Incorporated Class A		14,082		163,070
TEAM Incorporated †		5,459		26,913
UniFirst Corporation		2,723		489,595
Viad Corporation		3,283		60,210
VSE Corporation		1,530		39,780
				4,631,370
Construction & Engineering : 0.91%
Aegion Corporation †		5,144		77,211
Ameresco Incorporated Class A †		3,345		71,784
Arcosa Incorporated		8,289		316,391
Comfort Systems Incorporated		6,702		247,974
Construction Partners Incorporated Class A †		3,866		68,428
Great Lakes Dredge & Dock Company †		10,196		94,517
HC2 Holdings Incorporated †		6,548		17,287
IES Holdings Incorporated †		1,206		28,220
MYR Group Incorporated †		2,941		84,730
Northwest Pipe Company †		1,695		42,528
Nv5 Global Incorporated †		1,910		90,076
Orion Marine Group Incorporated †		4,972		13,076
Primoris Services Corporation		7,773		129,731
Sterling Construction Company Incorporated †		4,763		43,105
Valmont Industries Incorporated		3,734		425,676
WillScot Corporation †		10,331		137,816
				1,888,550
Construction Materials : 0.01%
Alta Equipment Group Incorporated †		2,494		16,710
Electrical Equipment : 0.44%
Allied Motion Technologies		1,410		51,028
American Superconductor Corporation †		3,445		24,976
Atkore International Incorporated †		8,397		225,375
AZZ Incorporated		3,994		126,450
Babcock & Wilcox Enterprises Incorporated †		4,954		10,651
Encore Wire Corporation		3,679		177,659
LSI Industries Incorporated		4,205		25,819
Powell Industries Incorporated		1,133		30,138
Preformed Line Products Company		403		20,001
Thermon Group Holdings Incorporated †		5,528		88,614
TPI mposites Incorporated †		6,309		130,912

19

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

	Shares		Value
Electrical Equipment (continued)
Ultralife Batteries Incorporated †		1,801	$	15,038
				926,661
Industrial Conglomerates : 0.07%
Raven Industries Incorporated		6,410		137,495
Machinery : 3.61%
Alamo Group Incorporated		1,999		206,537
Albany International Corporation Class A		5,571		335,931
Altra Industrial Motion Corporation		10,572		327,732
Astec Industries Incorporated		3,715		157,813
Blue Bird Corporation †		2,673		38,358
Briggs & Stratton Corporation		7,201		11,810
Columbus McKinnon Corporation		4,238		128,878
Commercial Vehicle Group Incorporated †		5,665		14,332
Douglas Dynamics Incorporated		3,969		145,027
Eastern Company		778		14,556
EnPro Industries Incorporated		3,685		166,120
ESCO Technologies Incorporated		4,470		369,267
Evoqua Water Technologies Company †		11,778		221,544
Federal Signal Corporation		10,719		312,352
Foster Company Class A †		1,442		17,621
Franklin Electric Company Incorporated		6,873		348,599
Gates Industrial Corporation plc †		6,717		67,506
Gencor Industries Incorporated †		1,450		17,270
Gorman Rupp Company		2,954		90,570
Graham Corporation		1,576		18,029
Hillenbrand Incorporated		11,463		295,058
Hurco Companies Incorporated		1,062		33,198
Hyster Yale Materials Handeling Incorporated		1,633		59,784
Kadant Incorporated		1,778		172,164
Lindsay Manufacturing Company		1,906		179,012
Lydall Incorporated †		2,796		30,253
Manitex International Incorporated †		2,326		9,955
Mayville Engineering Company Incorporated †		969		5,930
Meritor Incorporated †		14,728		300,157
Miller Industries Incorporated		1,879		55,675
Mueller Industries Incorporated		9,559		255,990
Mueller Water Products Incorporated Class A		26,904		251,283
Navistar International Corporation †		8,724		219,321
Omega Flex Incorporated		422		43,171
Park Ohio Holdings Corporation		1,438		20,980
REV Group Incorporated		4,487		27,371
SPX Corporation †		7,135		285,257
SPX FLOW Incorporated †		7,372		254,924
Standex International Corporation		2,214		117,143
Tennant Company		2,909		186,001
Terex Corporation		11,256		176,944
The ExOne Company †		1,976		16,855
The Greenbrier Companies Incorporated		5,229		110,959
The Shyft Group Incorporated		5,626		96,092
The Timken Company		11,390		484,531
Titan International Incorporated		7,469		9,187
Trimas Corporation †		7,972		188,538
Twin Disc Incorporated †		2,065		11,337
Wabash National Corporation		9,063		86,552
Watts Water Technologies Incorporated		4,860		404,158
Welbilt Incorporated †		24,324		147,890
				7,545,522
Marine : 0.12%
Eagle Bulk Shipping Incorporated †		9,905		17,532
Genco Shipping & Trading Limited		2,955		13,948
Matson Incorporated		7,705		220,132
				251,612

20

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Professional Services : 0.86%
Barrett Business Services Incorporated		1,201	$	60,891
BG Staffing Incorporated		1,699		17,738
CBIZ Incorporated †		9,276		210,101
CRA International Incorporated		1,324		53,476
Forrester Research Incorporated †		1,868		58,655
Franklin Covey Company †		1,702		36,253
GP Strategies Corporation †		2,185		17,152
Heidrick & Struggles International Incorporated		3,259		72,285
Hill International Incorporated †		7,141		10,497
Huron Consulting Group Incorporated †		4,109		190,082
ICF International Incorporated		3,345		219,365
InnerWorkings Incorporated †		7,845		9,336
Kelly Services Incorporated Class A		5,898		88,411
Kforce Incorporated		3,980		120,196
Mistras Group Incorporated †		3,001		12,124
Resources Connection Incorporated		5,129		56,368
TriNet Group Incorporated †		7,667		411,948
TrueBlue Incorporated †		6,725		103,969
Willdan Group Incorporated †		1,859		45,453
				1,794,300
Road & Rail : 0.81%
Arcbest Corporation		4,490		100,531
Covenant Transport Incorporated Class A †		2,207		27,808
Daseke Incorporated †		6,927		19,153
Heartland Express Incorporated		8,190		179,361
Marten Transport Limited		6,834		174,882
P.A.M. Transportation Services Incorporated †		276		9,632
Saia Incorporated †		4,650		504,246
Schneider National Incorporated Class B		10,245		247,622
Universal Truckload Services		2,066		30,701
US Xpress Enterprises Incorporated Class A †		3,612		18,421
USA Truck Incorporated †		1,325		8,493
Werner Enterprises Incorporated		7,746		358,020
YRC Worldwide Incorporated †		7,942		11,754
				1,690,624
Trading Companies & Distributors : 1.53%
Applied Industrial Technologies Incorporated		6,663		386,454
Beacon Roofing Supply Incorporated †		12,501		307,775
Bluelinx Holdings Incorporated †		1,342		9,260
BMC Stock Holdings Incorporated †		12,102		316,709
CAI International Incorporated †		2,611		49,113
DXP Enterprises Incorporated †		2,747		48,430
EVI Industries Incorporated †		646		12,700
Foundation Building Material †		4,075		54,279
General Finance Corporation †		2,482		14,718
GMS Incorporated †		8,113		166,235
H&E Equipment Services Incorporated		5,641		96,687
Houston Wire & Cable Company †		2,269		5,514
Kaman Corporation		4,720		188,800
Lawson Products Incorporated †		781		24,258
NOW Incorporated †		18,987		141,453
Rush Enterprises Incorporated		4,552		189,454
SiteOne Landscape Supply Incorporated †		7,510		798,388
Systemax Incorporated		2,290		48,067
Titan Machinery Incorporated †		3,206		33,567
Transcat Incorporated †		1,187		29,722
Veritiv Corporation †		2,260		28,160
WESCO International Incorporated †		7,316		243,623
Willis Lease Finance Corporation †		442		9,317
				3,202,683

21

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

	Shares		Value
Information Technology : 15.04%
Communications Equipment : 1.47%
Acacia Communications Incorporated †		6,511	$	439,493
ADTRAN Incorporated		8,511		97,025
Calamp Corporation †		5,308		40,872
Calix Networks Incorporated †		7,910		111,531
Casa Systems Incorporated †		4,662		20,280
Clearfield Incorporated †		1,816		25,115
CommScope Holdings Incorporated †		34,634		357,077
Comtech Telecommunications Corporation		4,634		82,532
Dasan Zhone Solutions Incorporated †		2,186		16,067
Digi International Incorporated †		5,234		58,254
Echostar Corporation		9,200		286,672
Emcore Corporation †		4,917		14,899
Extreme Networks Incorporated †		22,823		75,316
Genasys Incorporated †		5,484		25,117
Harmonic Incorporated †		14,323		77,201
Infinera Corporation †		33,105		164,863
Inseego Corporation †		7,091		75,306
KVH Industries Incorporated †		2,814		25,861
NETGEAR Incorporated †		5,319		136,858
NetScout Systems Incorporated †		13,725		377,026
PCTEL Incorporated		2,851		18,646
Plantronics Incorporated		6,163		80,304
Ribbon Communications Incorporated †		10,716		47,150
Tessco Technologies Incorporated		1,212		6,448
Ubiquiti Incorporated		2,279		420,270
				3,080,183
Electronic Equipment, Instruments & Components : 2.11%
Airgain Incorporated †		1,477		13,337
Anixter International Incorporated †		5,092		487,355
Badger Meter Incorporated		5,050		309,010
Bel Fuse Incorporated Class B		1,495		14,008
Benchmark Electronics Incorporated		6,662		141,168
CTS Corporation		5,466		116,644
Daktronics Incorporated		6,582		27,908
ePlus Incorporated †		2,354		173,513
Insight Enterprises Incorporated †		6,311		323,502
Iteris Incorporated †		6,621		31,847
Itron Incorporated †		6,394		411,901
Kemet Corporation		9,398		254,028
Kimball Electronics Incorporated †		4,379		62,138
Luna Innovations Incorporated †		4,121		25,138
Methode Electronics Incorporated		5,909		185,247
MTS Systems Corporation		3,362		59,205
Napco Security Technologies Incorporated †		2,133		48,462
OSI Systems Incorporated †		3,067		232,387
Par Technology Corporation †		2,042		51,070
PC Connection Incorporated		2,106		91,148
Plexus Corporation †		5,094		327,137
Sanmina Corporation †		11,523		306,627
ScanSource Incorporated †		4,152		102,347
TTM Technologies Incorporated †		17,155		198,483
Vishay Intertechnology Incorporated		23,199		377,216
Vishay Precision Group †		1,876		44,311
				4,415,137
IT Services : 1.60%
Brightcove Incorporated †		6,839		54,917
Cardtronics Incorporated Class A †		6,951		168,145
Cass Information Systems Incorporated		2,397		96,695
CSG Systems International Incorporated		5,965		282,443
EVO Payments Incorporated Class A †		6,758		149,622
ExlService Holdings Incorporated †		6,162		376,930
GreenSky Incorporated Class A †		10,008		40,232

22

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
IT Services (continued)
Hackett Group Incorporated		4,358	$	60,097
I3 Verticals Incorporated Class A †		1,809		52,208
Information Services Group Incorporated †		7,664		13,182
International Money Express †		3,782		41,715
ManTech International Corporation Class A		4,803		373,385
Moneygram International Incorporated †		6,740		16,446
NIC Incorporated		11,698		281,454
PaySign Incorporated †		3,800		27,436
Perficient Incorporated †		5,499		187,186
PRGX Global Incorporated †		3,649		14,377
ServiceSource International Incorporated †		14,549		23,424
StarTek Incorporated †		2,109		8,879
Switch Incorporated Class A		12,688		242,468
Sykes Enterprises Incorporated †		6,856		186,895
TTEC Holdings Incorporated		3,185		134,917
Unisys Corporation †		10,639		120,859
Verra Mobility Corporation †		20,792		226,841
Virtusa Corporation †		5,097		153,267
				3,334,020
Semiconductors & Semiconductor Equipment : 2.78%
Acm Research Incorporated Class A †		1,554		92,914
Adesto Technologies Corporation †		4,519		54,544
Advanced Energy Industries Incorporated †		6,112		408,465
Alpha & Omega Semiconductor †		3,114		32,759
Amkor Technology Incorporated †		10,659		112,772
Axcelis Technologies Incorporated †		4,790		128,612
AXT Incorporated †		5,370		28,407
Cirrus Logic Incorporated †		9,653		699,649
Cyberoptics Corporation †		1,279		41,171
Diodes Incorporated †		6,706		326,180
DSP Group Incorporated †		3,326		59,935
Enphase Energy Incorporated †		14,261		829,848
Everspin Technologies Incorporated †		2,230		13,135
FormFactor Incorporated †		12,209		307,301
GSI Technology Incorporated †		3,112		23,433
Ichor Holdings Limited †		3,824		86,996
Lattice Semiconductor Corporation †		22,054		548,483
NVE Corporation		761		46,063
Onto Innovation Incorporated †		8,729		271,297
PDF Solutions Incorporated †		4,667		79,619
Photronics Incorporated †		8,829		105,860
Pixelworks Incorporated †		6,606		23,716
Power Integrations Incorporated		4,814		521,597
Rambus Incorporated †		18,642		289,697
Smart Global Holdings Incorporated †		2,278		61,005
Synaptics Incorporated †		5,624		358,361
Ultra Clean Holdings Incorporated †		6,445		133,605
Xperi Corporation		8,848		121,660
				5,807,084
Software : 7.02%
A10 Networks Incorporated †		9,396		63,893
Agilysys Incorporated †		3,757		72,247
Alarm.com Holdings Incorporated †		6,611		312,634
Altair Engineering Incorporated Class A †		6,359		248,573
American Software Incorporated Class A		5,365		104,349
AppFolio Incorporated Class A †		2,969		470,616
Appian Corporation †		6,318		359,873
Asure Software Incorporated †		2,247		13,886
Avaya Holdings Corporation †		22,057		322,032
Cerence Incorporated †		6,471		193,548
ChannelAdvisor Corporation †		4,675		65,216
Cloudflare Incorporated Class A †		13,698		398,201
CommVault Systems Incorporated †		8,357		338,124

23

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

	Shares		Value
Software (continued)
Crowdstrike Holdings Incorporated Class A †		4,472	$	392,686
Datadog Incorporated Class A †		5,397		384,644
Digimarc Corporation †		1,990		34,208
Digital Turbine Incorporated †		13,967		89,668
Domo Incorporated Class B †		3,304		83,657
Ebix Incorporated		4,504		100,935
Egain Corporation †		3,447		35,883
Envestnet Incorporated †		9,114		661,768
Five9 Incorporated †		10,709		1,115,878
GlobalSCAPE Incorporated		2,190		20,696
GTY Technology Holdings Incorporated †		6,057		22,714
Intelligent Systems Corporation †		531		17,008
LivePerson Incorporated †		8,979		336,264
MicroStrategy Incorporated Class A †		1,515		188,587
Mitek Systems Incorporated †		6,776		63,220
MobileIron Incorporated †		18,485		83,552
Model N Incorporated †		4,127		132,559
OneSpan Incorporated †		5,795		117,754
Park City Group Incorporated †		2,220		11,366
Paylocity Holding Corporation †		6,379		829,302
Pegasystems Incorporated		7,076		673,069
Ping Identity Holding Corporation †		2,845		80,542
Progress Software Corporation		8,207		331,563
PROS Holdings Incorporated †		7,212		280,907
Q2 Holdings Incorporated †		8,492		701,609
Qad Incorporated Class A		2,309		105,452
Qualys Incorporated †		6,193		714,177
Rosetta Stone Incorporated †		3,526		65,513
Seachange International Incorporated †		4,443		8,397
Secureworks Corporation Class A †		1,031		13,877
SharpSpring Incorporated †		2,111		20,899
Shotspotter Incorporated †		1,244		28,923
Smith Micro Software Incorporated †		5,188		22,049
SPS Commerce Incorporated †		6,346		432,543
SVMK Incorporated †		17,663		355,909
Synchronoss Technologies Incorporated †		8,021		21,857
TeleNav Incorporated †		7,110		35,195
Tivo Corporation		20,395		124,206
Upland Software Incorporated †		4,144		143,175
Varonis Systems Incorporated †		5,587		471,487
Workiva Incorporated †		5,934		264,300
Yext Incorporated †		19,424		306,705
Zix Corporation †		11,094		74,552
Zoom Video Communications Incorporated †		9,430		1,692,496
				14,654,943
Technology Hardware, Storage & Peripherals : 0.06%
Astronova Incorporated		1,192		7,665
Avid Technology Incorporated †		6,329		44,683
Diebold Nixdorf Incorporated †		10,640		50,966
Intevac Incorporated †		3,553		18,511
Transact Technologies Incorporated		1,282		5,256
				127,081
Materials : 4.11%
Chemicals : 2.16%
Advanced Emissions Solutions		2,662		13,416
Advansix Incorporated †		4,978		58,940
Agrofresh Solutions Incorporated †		4,927		13,106
American Vanguard Corporation		4,521		60,129
Balchem Corporation		5,549		558,507
Cabot Corporation		9,130		326,124
Chase Corporation		1,144		114,000
Flotek Industries Incorporated †		9,658		9,465
Futurefuel Corporation		4,521		59,135

24

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Chemicals (continued)
GCP Applied Technologies Incorporated †		10,675	$	214,995
Hawkins Incorporated		1,615		69,284
HB Fuller Company		8,942		336,398
Innospec Incorporated		4,276		329,637
Intrepid Potash Incorporated Intrepid Potash Inc†		17,830		21,931
Kooper Holdings Incorporated †		3,429		56,819
Kraton Performance Polymers Incorporated †		5,207		79,407
Kronos Worldwide Incorporated		4,030		39,333
Minerals Technologies Incorporated		6,011		296,402
Northern Technologies International		1,111		8,210
PolyOne Corporation		13,586		336,661
PQ Group Holdings Incorporated †		6,752		84,738
Rayonier Advanced Materials		9,925		21,537
Sensient Technologies Corporation		7,527		377,253
Stepan Company		3,579		347,736
The Chemours Company		24,923		326,741
Trecora Resources †		3,434		21,943
Tredegar Corporation		5,062		77,499
Trinseo SA		7,019		144,451
Tronox Holdings plc Class A		15,868		105,364
				4,509,161
Construction Materials : 0.06%
Forterra Incorporated †		3,638		32,087
United States Lime & Mineral		455		33,743
US Concrete Incorporated †		2,955		61,641
				127,471
Containers & Packaging : 0.47%
Ardagh Group SA		3,162		38,070
Greif Incorporated Class A		4,382		148,900
Myers Industries Incorporated		4,679		63,681
O-I Glass Incorporated		24,933		190,987
Ranpak Holdings Corporation †		2,535		18,987
Silgan Holdings Incorporated		14,046		469,698
UFP Technologies Incorporated †		1,150		51,992
				982,315
Metals & Mining : 0.96%
Coeur D’alene Mines Corporation †		36,118		207,679
Commercial Metals Company		19,508		334,757
Compass Minerals International Incorporated		5,761		277,565
Gold Resource Corporation		9,679		37,748
Haynes International Incorporated		2,035		46,459
Kaiser Aluminum Corporation		2,670		191,573
Materion Corporation		3,544		186,060
Olympic Steel Incorporated		1,566		17,273
Ryerson Holding Corporation †		2,357		11,761
Schnitzer Steel Industries Incorporated Class A		4,240		66,568
Suncoke Energy Incorporated		15,051		51,324
Synalloy Corporation †		1,514		14,141
United States Steel Corporation		28,018		225,265
Universal Stainless & Alloy †		1,347		10,560
Warrior Met Coal Incorporated		9,232		129,987
Worthington Industries Incorporated		6,123		183,200
				1,991,920
Paper & Forest Products : 0.46%
Boise Cascade Company		7,018		238,823
Domtar Corporation		10,697		218,219
Neenah Incorporated		2,970		150,163
PH Glatfelter Company		7,428		114,465
Schweitzer-Mauduit International Incorporated		5,489		166,811

25

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

	Shares		Value
Paper & Forest Products (continued)
Verso Corporation Class A †		5,509	$	79,219
				967,700
Real Estate : 7.77%
Equity REITs : 6.98%
Acadia Realty Trust		16,796		197,017
Agree Realty Corporation		8,186		513,835
Alexander & Baldwin Incorporated		13,054		148,946
Alexander’s Incorporated		394		102,377
American Assets Trust Incorporated		8,497		222,366
American Finance Trust Incorporated		20,023		146,568
Armada Hoffler Properties Incorporated		9,620		82,924
Ashford Hospitality Trust Incorporated		18,207		12,563
Bluerock Residential Growth REIT Incorporated		4,261		27,398
Braemar Hotels & Resorts Incorporated REIT		6,436		21,882
Brandywine Realty Trust		33,613		324,365
Brookfield Property REIT Class A		13,049		135,579
BRT Apartments Corporation REIT		1,693		19,097
CareTrust REIT Incorporated		16,944		315,667
CBL & Associates Properties Incorporated †		44,886		13,484
Cedar Shopping Centers Incorporated		16,657		12,401
Chatham Lodging Trust		8,834		59,630
CIM Commercial Trust Corporation REIT		2,020		19,998
Clipper Realty Incorporated		2,211		16,317
Colony Capital Incorporated		96,431		193,826
Columbia Property Trust Incorporated		21,427		272,766
Community Healthcare Trust Incorporated		3,384		123,245
CoreCivic Incorporated		20,858		250,922
CorEnergy Infrastructure Trust Incorporated		2,358		23,580
CorePoint Lodging Incorporated		7,211		28,556
DiamondRock Hospitality		37,496		224,601
Diversified Healthcare Trust		44,727		160,123
Easterly Government Properties Incorporated		13,287		333,105
Empire State Realty Trust Incorporated Class A		33,952		225,102
Essential Properties Realty		14,552		198,489
Farmland Partners REIT Incorporated		4,682		32,306
Four Corners Property Trust Incorporated		13,330		288,195
Franklin Street Properties Corporation		19,108		102,037
Front Yard Residential Corporation REIT		8,209		61,568
Getty Realty Corporation		6,197		164,964
Gladstone Commercial Corporation		5,675		101,696
Gladstone Land REIT Corporation		3,305		47,923
Global Medical REIT Incorporated		6,255		67,054
Global Net Lease Incorporated		15,742		220,860
Hannon Armstrong Sustainable Infrastructure Capital Incorporated		11,176		324,216
Hersha Hospitality Trust		7,151		36,041
Independence Realty Trust Incorporated		17,339		171,483
Industrial Logistics Properties Trust		12,238		229,463
Innovative Industrial Properties Incorporated		2,135		174,472
Investors Real Estate Trust REIT		2,185		154,917
iStar Financial Incorporated		10,278		112,339
Jernigan Capital Incorporated		3,611		43,585
Kite Realty Group Trust		16,901		163,940
Lexington Corporate Properties Trust		46,170		448,772
LTC Properties Incorporated		7,292		268,419
Mack-Cali Realty Corporation		15,328		233,139
MGM Growth Properties LLC Class A		17,593		487,854
Monmouth Real Estate Investment Corporation		16,576		215,156
National Storage Affiliates Trust		10,702		321,167
New Senior Investment Group Incorporated		16,412		47,595
New York REIT Liquidating LLC (a)‡		4,209		63,909
NexPoint Residential Trust Incorporated		2,677		85,610
Office Properties Income Trust		8,556		216,381
One Liberty Properties Incorporated		2,632		41,717
Paramount Group Incorporated		38,533		297,089
Piedmont Office Realty Trust Incorporated Class A		23,264		388,044
Plymouth Industrial Incorporated		2,376		35,165

26

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Equity REITs (continued)
PotlatchDeltic Corporation		11,940	$	405,841
Preferred Apartment Communities Incorporated Class A		8,355		58,401
QTS Realty Trust Incorporated Class A		9,685		664,391
Retail Opportunity Investment Corporation		22,179		208,261
Retail Properties of America Incorporated Class A		43,758		237,168
Retail Value Incorporated		2,881		33,391
RPT Realty		15,497		89,418
Safehold Incorporated REIT		2,114		115,826
Saul Centers Incorporated		2,453		74,522
Seritage Growth Property Class A †		6,872		54,083
SITE Centers Corporation		31,909		180,924
Sotherly Hotels Incorporated REIT		2,192		6,444
Spirit MTA REIT (a)		6,981		0
Summit Hotel Properties Incorporated		20,053		125,331
Tanger Factory Outlet Centers Incorporated		18,113		111,395
Taubman Centers Incorporated		11,279		466,274
The Geo Group Incorporated		20,671		247,639
UMH Properties Incorporated		6,292		78,524
Uniti Group Incorporated		27,586		227,585
Universal Health Realty Income Trust		2,427		226,658
Urban Edge Properties		22,877		223,051
Urstadt Biddle Properties Incorporated		5,609		71,571
Washington Prime Group Incorporated		39,703		25,434
Washington REIT		15,116		331,494
Whitestone REIT		7,118		43,776
Xenia Hotels & Resorts Incorporated		21,117		190,053
				14,571,260
Real Estate Management & Development : 0.79%
Altisource Portfolio Solutions SA †		810		11,526
CTO Realty Growth Incorporated		805		33,633
Cushman & Wakefield plc †		14,768		151,372
eXp World Holdings Incorporated †		3,556		38,014
Forestar Group Incorporated †		3,025		45,889
FRP Holdings Incorporated †		1,038		41,053
Kennedy Wilson Holdings Incorporated		22,393		313,950
Marcus & Millichap Incorporated †		4,134		113,974
Newmark Group Incorporated Class A		25,619		108,881
RE/MAX Holdings Incorporated Class A		3,163		88,532
Realogy Holdings Corporation		20,385		123,533
Redfin Corporation †		12,335		369,927
Stratus Properties Incorporated †		1,120		18,995
The RMR Group Incorporated Class A		2,829		76,270
The St. Joe Company †		6,147		118,330
				1,653,879
Utilities : 2.97%
Electric Utilities : 0.81%
Avangrid Incorporated		10,142		451,116
El Paso Electric Company		7,184		488,296
Genie Energy Limited Class B		2,677		23,049
MGE Energy Incorporated		6,218		422,140
Otter Tail Corporation		6,964		298,825
Spark Energy Incorporated Class A		2,236		18,380
				1,701,806
Gas Utilities : 0.56%
Chesapeake Utilities Corporation		2,708		244,641
Northwest Natural Holding Company		5,452		349,528
RGC Resources Incorporated		1,415		37,356
South Jersey Industries Incorporated		16,740		474,746

27

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio

						Shares		Value
Gas Utilities (continued)
Star Group LP							7,214	$	56,991
									1,163,262
Independent Power & Renewable Electricity Producers : 0.77%
Clearway Energy Incorporated Class C							13,184		288,861
Nextera Energy Partners LP							9,865		504,200
Ormat Technologies Incorporated							7,253		528,091
Terraform Power Incorporated Class A							15,810		290,588
									1,611,740
Multi-Utilities : 0.28%
Avista Corporation							11,908		466,436
Unitil Corporation							2,573		123,941
									590,377
Water Utilities : 0.55%
Artesian Resources Corporation Class A							1,392		48,873
California Water Service Group							8,823		414,681
Global Water Resources Incorporated							1,700		18,275
Middlesex Water Company							2,860		194,080
Pure Cycle Corporation †							3,324		33,772
SJW Corporation							5,150		323,626
York Water Company							2,360		104,784
									1,138,091
Total Common Stocks (Cost $209,982,227)									202,853,472
				Expiration date
Rights : 0.00%
Financials : 0.00%
Thrifts & Mortgage Finance : 0.00%
NewStar Financial Incorporated †(a)					12-26-2027		9,129		0
Health Care : 0.00%
Pharmaceuticals : 0.00%
Elanco Animal Health Incorporated †(a)					12-31-2021		8,956		0
Total Rights (Cost $2,429)									0
Warrants : 0.00%
Energy : 0.00%
Energy Equipment & Services : 0.00%
Parker Drilling Company †(a)					9-26-2024		373		0
Oil, Gas & Consumable Fuels : 0.00%
Battalion Oil Corporation †(a)					10-08-2022		375		0
Battalion Oil Corporation †(a)					10-08-2022		300		0
Battalion Oil Corporation †(a)					10-08-2022		482		0
Total Warrants (Cost $0)									0
	Yield
Short-Term Investments : 1.44%
Investment Companies : 1.44%
Wells Fargo Government Money Market Fund Select Class (l)(u)		0.12	%				2,999,852	$	2,999,852

28

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio Portfolio of investments — May 31, 2020 (unaudited)

			Value
Total Short-Term Investments (Cost $2,999,852)				2,999,852
Total investments in securities (Cost $212,984,508)	98.57	%		205,853,324
Other assets and liabilities, net	1.43			2,982,872
Total net assets	100.00	%	$	208,836,196

† Non-income-earning security

(a) The security is fair valued in accordance with procedures approved by the Board of Trustees.

‡ Security is valued using significant unobservable inputs.

(l) The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

(u) The rate represents the 7-day annualized yield at period end.

Abbreviations:

REIT Real estate investment trust

29

Futures Contracts

Description	Number of contracts		Expiration date		Notional cost		Notional value		Unrealized gains		Unrealized losses
Long
E-Mini Russell 2000 Index		86		6-19-2020	$	6,029,848	$	5,989,040	$	0	$	(40,808	)

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Shares, beginning of period		Shares purchased		Shares sold			Shares, end of period		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		6,867,519		57,249,276		(61,116,943	)		2,999,852	$	2,999,852		1.44	%

Wells Fargo Factor Enhanced U.S. Small Cap Equity Portfolio (the “Portfolio”)

Notes to Portfolio of investments – May 31, 2020 (unaudited)

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Portfolio may deviate from this calculation under unusual or unexpected circumstances.

Equity securities and futures contracts that are listed on a foreign or domestic exchange or market are valued at the official closing price or, if none, the last sales price. If no sale occurs on the principal exchange or market that day, a fair value price will be determined in accordance with the Portfolio’s Valuation Procedures.

Investments in registered open-end investment companies are valued at net asset value.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC. The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

Futures contracts

Futures contracts are agreements between the Portfolio and a counterparty to buy or sell a specific amount of a commodity, financial instrument or currency at a specified price and on a specified date. The Portfolio may buy and sell futures contracts in order to gain exposure to, or protect against, changes in security values and is subject to equity price risk. The primary risks associated with the use of futures contracts are the imperfect correlation between changes in market values of securities held by the Portfolio and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange. With futures contracts, there is minimal counterparty risk to the Portfolio since futures contracts are exchange traded and the exchange’s clearinghouse, as the counterparty to all exchange traded futures, guarantees the futures contracts against default.

Upon entering into a futures contracts, the Portfolio is required to deposit either cash or securities (initial margin) with the broker in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are paid to or from the broker each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains or losses and, if any, shown as variation margin receivable (payable). Should the Portfolio fail to make requested variation margin payments, the broker can gain access to the initial margin to satisfy the Portfolio’s payment obligations. When the contracts are closed, a realized gain or loss is recorded.

Fair valuation measurements

Fair value measurements of investments are determined within a framework that has established a fair value hierarchy based upon the various data inputs utilized in determining the value of the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

Level 1	–	quoted prices in active markets for identical securities
Level 2	–	other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3	–	significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of May 31, 2020:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in :
Common stocks
Communication services	$	6,476,039	$	0	$	39,458	$	6,515,497
Consumer discretionary		24,543,841		0		0		24,543,841
Consumer staples		10,489,234		0		0		10,489,234
Energy		3,941,442		0		0		3,941,442
Financials		36,482,860		0		0		36,482,860
Health care		29,848,241		0		0		29,848,241
Industrials		28,604,927		0		0		28,604,927
Information technology		31,418,448		0		0		31,418,448
Materials		8,578,567		0		0		8,578,567
Real estate		16,161,230		0		63,909		16,225,139
Utilities		6,205,276		0		0		6,205,276
Rights
Financials		0		0		0		0
Health care		0		0		0		0
Warrants
Energy		0		0		0		0
Short-term investments
Investment companies		2,999,852		0		0		2,999,852
Total assets	$	205,749,957	$	0	$	103,367	$	205,853,324
Liabilities
Futures contracts	$	40,808	$	0	$	0	$	40,808
Total Liabilities	$	40,808	$	0	$	0	$	40,808

Additional sector, industry or geographic detail is included in the Portfolio of Investments.

Futures contracts are reported at their cumulative unrealized gains (losses) at measurement date as reported in the table following the Portfolio of Investments. All other assets and liabilities are reported at their market value at measurement date.

As of May 31, 2020, the Portfolio had segregated $2,933,074 as cash collateral for these open futures contracts.

For the three months ended May 31, 2020, the Portfolio had no material transfers into/out of Level 3.

Wells Fargo High Yield Corporate Bond Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Corporate Bonds and Notes : 80.21%
Communication Services : 12.91%
Diversified Telecommunication Services : 2.02%
CenturyLink Incorporated		5.80	%		3-15-2022	$	240,000	$	250,198
CenturyLink Incorporated		6.75			12-1-2023		800,000		868,504
Hughes Satellite Systems Company		7.63			6-15-2021		300,000		313,560
Level 3 Financing Incorporated		5.25			3-15-2026		900,000		931,500
Level 3 Financing Incorporated		5.38			1-15-2024		200,000		202,500
Zayo Group LLC 144A		4.00			3-1-2027		900,000		886,500
									3,452,762
Entertainment : 1.12%
AMC Entertainment Holdings Incorporated		5.88			11-15-2026		300,000		75,000
Live Nation Entertainment Incorporated 144A		4.88			11-1-2024		800,000		764,000
Netflix Incorporated		4.88			4-15-2028		220,000		234,850
Netflix Incorporated		5.50			2-15-2022		800,000		838,760
									1,912,610
Interactive Media & Services : 0.31%
Match Group Incorporated 144A		5.00			12-15-2027		500,000		523,230
Media : 7.72%
AMC Networks Incorporated		4.75			8-1-2025		300,000		302,250
CCO Holdings LLC 144A		4.00			3-1-2023		800,000		806,016
CCO Holdings LLC 144A		5.88			5-1-2027		300,000		314,250
CSC Holdings LLC 144A		5.50			4-15-2027		200,000		211,500
CSC Holdings LLC 144A		5.75			1-15-2030		900,000		949,500
Diamond Sports Group LLC 144A		5.38			8-15-2026		1,080,000		858,600
DISH DBS Corporation		5.00			3-15-2023		1,000,000		995,960
DISH DBS Corporation		5.88			7-15-2022		200,000		205,544
DISH DBS Corporation		5.88			11-15-2024		200,000		197,458
Gray Television Incorporated 144A		5.88			7-15-2026		200,000		206,500
Gray Television Incorporated 144A		7.00			5-15-2027		800,000		845,000
Grubhub Holdings Incorporated 144A		5.50			7-1-2027		400,000		389,000
iHeartCommunications Incorporated		6.38			5-1-2026		340,000		355,337
iHeartCommunications Incorporated		8.38			5-1-2027		1,000,000		935,000
Lamar Media Corporation		5.00			5-1-2023		200,000		200,750
Meredith Corporation		6.88			2-1-2026		200,000		185,250
Neptune Finco Corporation 144A		10.88			10-15-2025		200,000		216,540
Nexstar Broadcasting Incorporated 144A		5.63			7-15-2027		600,000		615,000
Outfront Media Capital Corporation 144A		4.63			3-15-2030		200,000		184,000
Outfront Media Capital Corporation		5.63			2-15-2024		600,000		603,000
QVC Incorporated		4.75			2-15-2027		800,000		762,000
Sinclair Television Group Incorporated 144A		5.50			3-1-2030		200,000		183,000
Sirius XM Radio Incorporated 144A		4.63			7-15-2024		700,000		716,730
Sirius XM Radio Incorporated 144A		5.00			8-1-2027		300,000		313,500
Tegna Incorporated 144A		4.63			3-15-2028		900,000		855,000
Univision Communications Incorporated 144A		5.13			5-15-2023		800,000		777,500
									13,184,185
Wireless Telecommunication Services : 1.74%
Connect U.S. Finco LLC 144A		6.75			10-1-2026		800,000		776,000
Sprint Capital Corporation		6.88			11-15-2028		200,000		247,000
Sprint Corporation		7.88			9-15-2023		900,000		1,021,500
T-Mobile USA Incorporated		4.50			2-1-2026		900,000		925,083
									2,969,583

1

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo High Yield Corporate Bond Portfolio

	Interest rate			Maturity date		Principal		Value
Consumer Discretionary : 16.92%
Auto Components : 2.35%
Adient US LLC 144A		9.00	%		4-15-2025	$	500,000	$	533,120
Allison Transmission Incorporated 144A		5.00			10-1-2024		600,000		604,500
Allison Transmission Incorporated 144A		5.88			6-1-2029		200,000		202,000
American Axle & Manufacturing Incorporated		6.25			3-15-2026		910,000		845,781
Goodyear Tire & Rubber Company		5.13			11-15-2023		900,000		875,250
Panther BF Aggregator 2 LP 144A		6.25			5-15-2026		940,000		956,450
									4,017,101
Automobiles : 0.94%
Ford Motor Company		4.75			1-15-2043		330,000		252,450
Ford Motor Company		8.50			4-21-2023		800,000		829,760
Ford Motor Company		9.00			4-22-2025		300,000		315,375
Tesla Incorporated 144A		5.30			8-15-2025		200,000		200,000
									1,597,585
Commercial Services & Supplies : 1.06%
Aramark Services Incorporated		4.75			6-1-2026		300,000		295,500
Aramark Services Incorporated 144A		5.00			2-1-2028		1,000,000		985,000
Verscend Technologies Incorporated 144A		9.75			8-15-2026		500,000		537,500
									1,818,000
Diversified Consumer Services : 1.23%
APX Group Incorporated		7.88			12-1-2022		400,000		400,000
Avis Budget Group Incorporated 144A		6.38			4-1-2024		600,000		496,500
Prime Security Services Borrower LLC 144A		5.25			4-15-2024		960,000		1,000,800
Service Corporation International		4.63			12-15-2027		200,000		210,460
									2,107,760
Hotels, Restaurants & Leisure : 5.82%
Boyd Gaming Company 144A		4.75			12-1-2027		800,000		736,768
Boyd Gaming Company		6.00			8-15-2026		200,000		194,502
Caesars Resort Collection LLC 144A		5.25			10-15-2025		200,000		177,875
Cedar Fair LP 144A		5.25			7-15-2029		200,000		189,074
Cedar Fair LP		5.38			4-15-2027		900,000		858,771
Eldorado Resorts Incorporated		6.00			4-1-2025		200,000		204,208
Golden Nugget Incorporated 144A		6.75			10-15-2024		300,000		242,250
Hilton Domestic Operating Company		4.88			1-15-2030		600,000		597,000
International Game Technology plc 144A		6.25			1-15-2027		1,000,000		1,015,370
KFC Holding Company 144A		5.00			6-1-2024		300,000		307,077
MGM Resorts International		4.63			9-1-2026		154,000		147,070
MGM Resorts International		6.75			5-1-2025		700,000		710,500
Royal Caribbean Cruises LTD		5.25			11-15-2022		700,000		581,103
Scientific Games International Incorporated 144A		7.25			11-15-2029		200,000		176,000
Scientific Games International Incorporated 144A		8.25			3-15-2026		700,000		642,474
Six Flags Entertainment Company 144A		4.88			7-31-2024		200,000		188,000
Wyndham Worldwide Corporation		4.25			3-1-2022		200,000		197,654
Wynn Las Vegas LLC 144A		5.25			5-15-2027		1,200,000		1,113,000
Wynn Las Vegas LLC 144A		5.50			3-1-2025		200,000		193,875
Wynn Resorts Finance LLC 144A		5.13			10-1-2029		600,000		576,186
Yum! Brands Incorporated 144A		7.75			4-1-2025		800,000		884,000
									9,932,757
Household Durables : 1.75%
Lennar Corporation		4.13			1-15-2022		800,000		812,000
Lennar Corporation		4.50			4-30-2024		300,000		315,840
Newell Brands Incorporated		4.35			4-1-2023		290,000		297,975

2

Wells Fargo High Yield Corporate Bond Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Household Durables (continued)
Newell Brands Incorporated		6.00	%		4-1-2046	$	700,000	$	718,375
PulteGroup Incorporated		5.50			3-1-2026		200,000		221,000
Toll Brothers Finance Corporation		5.88			2-15-2022		600,000		624,750
									2,989,940
Household Products : 0.47%
Avon International Operations Incorporated 144A		7.88			8-15-2022		800,000		797,016
Leisure Products : 0.76%
Mattel Incorporated 144A		5.88			12-15-2027		700,000		712,250
Mattel Incorporated 144A		6.75			12-31-2025		200,000		208,500
Sabre Global Corporation 144A		5.25			11-15-2023		400,000		376,000
									1,296,750
Multiline Retail : 0.42%
Macy’s Retail Holdings Incorporated		3.88			1-15-2022		800,000		710,000
Specialty Retail : 1.92%
ABC Supply Company Incorporated 144A		4.00			1-15-2028		200,000		201,000
L Brands Incorporated		5.63			2-15-2022		200,000		195,000
L Brands Incorporated		6.75			7-1-2036		200,000		166,700
L Brands Incorporated		6.88			11-1-2035		1,100,000		913,000
PetSmart Incorporated 144A		7.13			3-15-2023		200,000		194,000
PetSmart Incorporated 144A		8.88			6-1-2025		700,000		694,750
Staples Incorporated 144A		7.50			4-15-2026		210,000		183,446
The Gap Incorporated 144A		8.63			5-15-2025		700,000		731,045
									3,278,941
Textiles, Apparel & Luxury Goods : 0.20%
HanesBrands Incorporated 144A		4.63			5-15-2024		200,000		203,500
Wolverine World Wide Incorporated 144A		8.50			11-15-2024		200,000		133,000
									336,500
Consumer Staples : 5.17%
Food & Staples Retailing : 0.91%
Albertsons Companies LLC 144A		4.63			1-15-2027		940,000		954,091
Albertsons Companies LLC 144A		7.50			3-15-2026		200,000		223,250
Performance Food Group Company 144A		5.50			10-15-2027		200,000		196,026
Rite Aid Corporation 144A		6.13			4-1-2023		200,000		186,000
									1,559,367
Food Products : 3.42%
Albertsons Company LLC		6.63			6-15-2024		500,000		517,000
B&G Foods Incorporated		5.25			9-15-2027		200,000		205,394
JBS USA Finance Incorporated 144A		5.75			6-15-2025		300,000		307,500
JBS USA Finance Incorporated 144A		6.75			2-15-2028		800,000		865,856
Kraft Foods Group Incorporated		5.00			6-4-2042		200,000		205,203
Kraft Heinz Foods Company		3.50			7-15-2022		800,000		832,835
Lamb Weston Holdings Incorporated 144A		4.88			11-1-2026		200,000		207,000
Pilgrim’s Pride Corporation 144A		5.88			9-30-2027		800,000		832,000
Post Holdings Incorporated 144A		5.50			12-15-2029		230,000		240,350
Post Holdings Incorporated 144A		5.75			3-1-2027		1,100,000		1,146,750
US Foods Incorporated 144A		5.88			6-15-2024		500,000		483,750
									5,843,638

3

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo High Yield Corporate Bond Portfolio

	Interest rate			Maturity date		Principal		Value
Household Products : 0.48%
Energizer Holdings Incorporated 144A		5.50	%		6-15-2025	$	800,000	$	818,832
Tobacco : 0.36%
Vector Group Incorporated 144A		10.50			11-1-2026		600,000		606,000
Energy : 11.64%
Energy Equipment & Services : 0.22%
Hilcorp Energy Company 144A		5.75			10-1-2025		200,000		180,000
USA Compression Partners LP		6.88			4-1-2026		200,000		192,500
									372,500
Oil, Gas & Consumable Fuels : 11.42%
Antero Midstream Company		5.38			9-15-2024		700,000		584,500
Antero Midstream Partners LP 144A		5.75			1-15-2028		200,000		156,360
Antero Resources Corporation		5.00			3-1-2025		900,000		513,000
Buckeye Partners LP		5.85			11-15-2043		200,000		166,750
Cheniere Energy Partners LP 144A		4.50			10-1-2029		800,000		782,000
Cheniere Energy Partners LP		5.25			10-1-2025		200,000		202,000
CONSOL Energy Incorporated		5.88			4-15-2022		700,000		694,876
Continental Resources Incorporated		3.80			6-1-2024		250,000		217,500
Continental Resources Incorporated		4.50			4-15-2023		700,000		647,710
Crestwood Midstream Partners LP		6.25			4-1-2023		700,000		666,750
CrownRock LP 144A		5.63			10-15-2025		200,000		190,754
DCP Midstream Operating LP		3.88			3-15-2023		200,000		189,000
DCP Midstream Operating LP (3 Month LIBOR +3.85%) 144A±		5.85			5-21-2043		800,000		502,000
Denbury Resources Incorporated 144A		9.00			5-15-2021		200,000		86,000
EnLink Midstream Partners LP		4.15			6-1-2025		700,000		563,500
EnLink Midstream Partners LP		5.45			6-1-2047		350,000		215,320
EQM Midstream Partners LP		4.75			7-15-2023		1,000,000		989,590
EQT Corporation		6.13			2-1-2025		1,000,000		1,022,070
EQT Corporation		7.00			2-1-2030		250,000		265,000
Extraction Oil & Gas Incorporated 144A		5.63			2-1-2026		200,000		12,000
Genesis Energy Company		6.25			5-15-2026		210,000		187,043
Genesis Energy Company		6.50			10-1-2025		700,000		633,500
Gulfport Energy Corporation		6.38			1-15-2026		900,000		450,000
Moss Creek Resources Holdings Incorporated 144A		10.50			5-15-2027		1,000,000		572,500
Murphy Oil Corporation		6.88			8-15-2024		200,000		193,500
Nabors Industries Incorporated		5.75			2-1-2025		200,000		62,000
NuStar Logistics LP		6.00			6-1-2026		600,000		576,000
Oasis Petroleum Incorporated		6.88			3-15-2022		190,000		36,024
Occidental Petroleum Corporation		4.20			3-15-2048		520,000		297,700
Occidental Petroleum Corporation		2.70			2-15-2023		800,000		686,240
Occidental Petroleum Corporation		4.30			8-15-2039		1,000,000		592,500
Parsley Energy LLC 144A		5.63			10-15-2027		500,000		490,000
Peabody Energy Corporation 144A		6.38			3-31-2025		200,000		108,000
Range Resources Corporation		4.88			5-15-2025		200,000		167,250
SM Energy Company		6.75			9-15-2026		200,000		101,791
SM Energy Company		5.00			1-15-2024		900,000		483,750
Southwestern Energy Company		7.50			4-1-2026		700,000		644,000
Southwestern Energy Company		7.75			10-1-2027		200,000		186,500
Sunoco LP		4.88			1-15-2023		210,000		213,085
Sunoco LP		6.00			4-15-2027		700,000		718,536
Tallgrass Energy Partners LP 144A		5.50			1-15-2028		200,000		178,838
Targa Resources Partners LP		4.25			11-15-2023		200,000		195,538
Targa Resources Partners LP		5.13			2-1-2025		200,000		199,190
Targa Resources Partners LP		6.50			7-15-2027		800,000		842,240
Transocean Incorporated		6.80			3-15-2038		300,000		88,785
Western Gas Partners LP		4.65			7-1-2026		900,000		839,448
Western Midstream Operating LP		4.05			2-1-2030		220,000		197,384

4

Wells Fargo High Yield Corporate Bond Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Oil, Gas & Consumable Fuels (continued)
WPX Energy Incorporated		5.25	%		9-15-2024	$	900,000	$	893,250
									19,501,272
Financials : 5.07%
Banks : 0.60%
CIT Group Incorporated		5.00			8-1-2023		200,000		200,458
Citigroup Incorporated		6.13			3-9-2028		800,000		828,000
									1,028,458
Capital Markets : 0.94%
Banff Merger Subordinate Incorporated 144A		9.75			9-1-2026		800,000		802,952
MSCI Incorporated 144A		5.38			5-15-2027		500,000		537,500
MSCI Incorporated 144A		4.75			8-1-2026		260,000		271,050
									1,611,502
Consumer Finance : 1.70%
Curo Group Holdings Corporation 144A		8.25			9-1-2025		400,000		317,500
Navient Corporation		5.00			3-15-2027		1,000,000		855,000
Navient Corporation		5.88			10-25-2024		200,000		183,754
Navient Corporation		6.75			6-25-2025		200,000		188,000
Quicken Loans Incorporated 144A		5.25			1-15-2028		200,000		201,838
Springleaf Finance Corporation		5.63			3-15-2023		800,000		784,000
Springleaf Finance Corporation		7.13			3-15-2026		370,000		364,450
									2,894,542
Diversified Financial Services : 0.49%
Hilton Domestic Operating Company		4.25			9-1-2024		200,000		200,000
Refinitiv U.S Holdings Company 144A		6.25			5-15-2026		600,000		640,500
									840,500
Insurance : 0.34%
Acrisure LLC 144A		7.00			11-15-2025		200,000		189,754
Genworth Holdings Incorporated		7.63			9-24-2021		200,000		184,798
HUB International Limited 144A		7.00			5-1-2026		200,000		205,414
									579,966
Mortgage REITs : 0.12%
Starwood Property Trust Incorporated		5.00			12-15-2021		200,000		196,000
Real Estate Management & Development : 0.10%
Realogy Group LLC 144A		9.38			4-1-2027		200,000		174,040
Thrifts & Mortgage Finance : 0.78%
Nationstar Mortgage Holdings Incorporated 144A		8.13			7-15-2023		500,000		510,000
Nationstar Mortgage Holdings Incorporated 144A		9.13			7-15-2026		200,000		205,000
Quicken Loans Incorporated 144A		5.75			5-1-2025		600,000		612,000
									1,327,000
Health Care : 6.53%
Health Care Equipment & Supplies : 0.12%
Hologic Incorporated 144A		4.38			10-15-2025		200,000		204,458

5

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo High Yield Corporate Bond Portfolio

	Interest rate			Maturity date		Principal		Value
Health Care Providers & Services : 5.82%
Centene Corporation		4.75	%		1-15-2025	$	800,000	$	826,000
Centene Corporation 144A		5.25			4-1-2025		200,000		205,874
Community Health Systems Incorporated		6.25			3-31-2023		1,400,000		1,358,000
Community Health Systems Incorporated 144A		6.63			2-15-2025		400,000		386,000
Davita Incorporated		5.13			7-15-2024		300,000		306,117
Encompass Health Corporation		5.75			11-1-2024		116,000		116,693
Envision Healthcare Corporation 144A		8.75			10-15-2026		200,000		88,000
HCA Incorporated		5.88			5-1-2023		220,000		239,188
HCA Incorporated		5.88			2-15-2026		700,000		783,601
Jaguar Holding Company II 144A		6.38			8-1-2023		200,000		206,370
Lifepoint Health Incorporated 144A		6.75			4-15-2025		700,000		738,500
MEDNAX Incorporated 144A		6.25			1-15-2027		900,000		841,500
MPH Acquisition Holdings LLC 144A		7.13			6-1-2024		900,000		850,500
MPT Operating Partnership LP		4.63			8-1-2029		1,000,000		990,000
MPT Operating Partnership LP		5.00			10-15-2027		200,000		206,750
RegionalCare Hospital Partners 144A		9.75			12-1-2026		200,000		216,500
Tenet Healthcare Corporation		5.13			5-1-2025		300,000		304,440
Tenet Healthcare Corporation 144A		6.25			2-1-2027		220,000		227,700
Tenet Healthcare Corporation		8.13			4-1-2022		1,000,000		1,045,000
									9,936,733
Health Care Technology : 0.12%
IQVIA Incorporated 144A		5.00			5-15-2027		200,000		208,500
Life Sciences Tools & Services : 0.19%
Avantor Incorporated 144A		6.00			10-1-2024		300,000		314,937
Pharmaceuticals : 0.28%
Bausch Health Companies Incorporated 144A		8.50			1-31-2027		300,000		327,855
Endo Finance LLC 144A		6.00			7-15-2023		200,000		155,754
									483,609
Industrial & Commercial Machinery & Computer Equipment : 0.32%
Industrials : 6.73%
Aerospace & Defense : 1.86%
Signature Aviation US Holdings Incorporated 144A		4.00			3-1-2028		600,000		531,000
Spirit AeroSystems Holdings Incorporated		4.60			6-15-2028		1,000,000		795,000
TransDigm Group Incorporated		6.38			6-15-2026		200,000		186,000
TransDigm Group Incorporated		6.50			7-15-2024		200,000		196,000
TransDigm Group Incorporated		6.50			5-15-2025		900,000		870,750
Triumph Group Incorporated 144A		6.25			9-15-2024		700,000		600,250
									3,179,000
Air Freight & Logistics : 0.73%
XPO Logistics Incorporated 144A		6.13			9-1-2023		200,000		202,500
XPO Logistics Incorporated 144A		6.25			5-1-2025		1,000,000		1,043,600
									1,246,100
Airlines : 0.45%
Delta Air Lines Incorporated		2.90			10-28-2024		700,000		567,500
Delta Air Lines Incorporated		3.80			4-19-2023		220,000		195,386
									762,886
Building Products : 0.37%
Builders FirstSource Incorporated 144A		6.75			6-1-2027		600,000		631,500

6

Wells Fargo High Yield Corporate Bond Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Commercial Services & Supplies : 0.66%
ADT Corporation		3.50	%		7-15-2022	$	700,000	$	705,600
ADT Corporation		4.13			6-15-2023		200,000		200,500
APTIM Corporation 144A		7.75			6-15-2025		200,000		70,000
West Corporation Company 144A		8.50			10-15-2025		200,000		145,000
									1,121,100
Construction & Engineering : 1.13%
AECOM		5.88			10-15-2024		700,000		750,190
United Rentals North America Incorporated		5.50			5-15-2027		300,000		318,348
United Rentals North America Incorporated		6.50			12-15-2026		800,000		855,000
									1,923,538
Electrical Equipment : 0.43%
Allied Universal Security Services 144A		9.75			7-15-2027		700,000		743,750
Professional Services : 0.13%
The Dun & Bradstreet Corporation 144A		10.25			2-15-2027		200,000		222,500
Road & Rail : 0.65%
Uber Technologies Incorporated 144A		7.50			9-15-2027		500,000		507,500
Uber Technologies Incorporated 144A		8.00			11-1-2026		600,000		610,014
									1,117,514
Trading Companies & Distributors : 0.32%
Beacon Escrow Corporation 144A		4.88			11-1-2025		200,000		188,940
FXI Holdings Incorporated 144A		7.88			11-1-2024		200,000		164,754
Herc Holdings Incorporated 144A		5.50			7-15-2027		200,000		194,750
									548,444
Information Technology : 2.64%
Communications Equipment : 0.67%
CommScope Incorporated 144A		5.50			6-15-2024		260,000		255,611
CommScope Incorporated 144A		6.00			3-1-2026		200,000		210,312
CommScope Technologies Finance LLC 144A		5.00			3-15-2027		200,000		183,000
CommScope Technologies Finance LLC 144A		6.00			6-15-2025		300,000		291,666
Viasat Incorporated 144A		5.63			4-15-2027		200,000		202,074
									1,142,663
Electronic Equipment, Instruments & Components : 0.13%
CDW LLC		5.50			12-1-2024		200,000		217,250
IT Services : 0.13%
VeriSign Incorporated		5.25			4-1-2025		200,000		219,708
Semiconductors & Semiconductor Equipment : 0.30%
Qorvo Incorporated 144A		4.38			10-15-2029		500,000		511,875
Software : 0.88%
CDK Global Incorporated 144A		5.25			5-15-2029		200,000		204,000
Open Text Corporation 144A		4.13			2-15-2030		900,000		888,750
Solera Finance Incorporated 144A		10.50			3-1-2024		200,000		203,250
SS&C Technologies Incorporated 144A		5.50			9-30-2027		200,000		210,062
									1,506,062

7

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo High Yield Corporate Bond Portfolio

	Interest rate			Maturity date		Principal		Value
Technology Hardware, Storage & Peripherals : 0.53%
NCR Corporation 144A		5.75	%		9-1-2027	$	200,000	$	198,500
Western Digital Corporation		4.75			2-15-2026		200,000		210,500
Xerox Corporation		4.13			3-15-2023		500,000		493,750
									902,750
Materials : 5.88%
Chemicals : 1.94%
Calumet Specialty Products Partners LP		7.63			1-15-2022		500,000		460,710
CF Industries Incorporated		3.45			6-1-2023		900,000		905,625
CF Industries Incorporated		4.95			6-1-2043		200,000		211,214
Chemours Company		5.38			5-15-2027		700,000		629,083
Chemours Company		6.63			5-15-2023		200,000		200,500
Olin Corporation		5.00			2-1-2030		200,000		172,000
Olin Corporation		5.63			8-1-2029		600,000		542,292
Tronox Incorporated 144A		6.50			4-15-2026		200,000		189,238
									3,310,662
Construction Materials : 0.18%
Standard Industries Incorporated 144A		5.00			2-15-2027		300,000		308,871
Containers & Packaging : 2.05%
Ardagh Packaging Finance plc 144A		5.25			8-15-2027		200,000		197,000
Ball Corporation		5.25			7-1-2025		200,000		224,250
Berry Global Incorporated 144A		4.88			7-15-2026		900,000		940,788
Berry Global Incorporated 144A		5.63			7-15-2027		200,000		210,000
BWAY Holding Company 144A		5.50			4-15-2024		210,000		208,425
BWAY Holding Company 144A		7.25			4-15-2025		1,000,000		900,000
Crown Americas Capital Corporation IV		4.50			1-15-2023		200,000		206,500
Flex Acquisition Company Incorporated 144A		6.88			1-15-2025		200,000		201,754
Reynolds Group Issuer Incorporated 144A		5.13			7-15-2023		200,000		202,500
Sealed Air Corporation 144A		5.50			9-15-2025		200,000		217,000
									3,508,217
Metals & Mining : 1.71%
Cleveland-Cliffs Incorporated		5.75			3-1-2025		200,000		144,000
Cleveland-Cliffs Incorporated 144A		6.75			3-15-2026		900,000		819,000
Freeport-McMoRan Incorporated		5.00			9-1-2027		700,000		710,500
Freeport-McMoRan Incorporated		5.40			11-14-2034		200,000		198,000
Novelis Corporation 144A		4.75			1-30-2030		200,000		190,022
Novelis Corporation 144A		5.88			9-30-2026		700,000		716,933
United States Steel Corporation		6.88			8-15-2025		200,000		135,000
									2,913,455
Real Estate : 4.04%
Equity REITs : 3.48%
ESH Hospitality Incorporated 144A		5.25			5-1-2025		700,000		680,750
Iron Mountain Incorporated 144A		4.88			9-15-2029		600,000		601,500
Iron Mountain Incorporated 144A		5.25			3-15-2028		260,000		263,900
iStar Incorporated		4.25			8-1-2025		200,000		175,250
iStar Incorporated		5.25			9-15-2022		700,000		675,829
MGM Growth Properties Operating Partnership LP		4.50			9-1-2026		300,000		294,750
SBA Communications Corporation		4.88			9-1-2024		1,000,000		1,026,550
Uniti Group Incorporated 144A		6.00			4-15-2023		200,000		195,500
Uniti Group Incorporated		8.25			10-15-2023		1,100,000		1,033,670
VICI Properties Incorporated 144A		4.25			12-1-2026		1,000,000		990,700
									5,938,399

8

Wells Fargo High Yield Corporate Bond Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Real Estate Management & Development : 0.56%
Icahn Enterprises Company		6.25	%		2-1-2022	$	300,000	$	301,500
Icahn Enterprises Company		5.25			5-15-2027		700,000		666,750
									968,250
Utilities : 2.36%
Electric Utilities : 0.66%
NextEra Energy Operating Partners LP 144A		4.50			9-15-2027		210,000		222,600
NRG Energy Incorporated 144A		5.25			6-15-2029		700,000		763,000
Talen Energy Supply LLC		6.50			6-1-2025		200,000		135,000
									1,120,600
Gas Utilities : 0.26%
AmeriGas Partners LP		5.63			5-20-2024		200,000		209,000
Ferrellgas LP		6.75			6-15-2023		300,000		240,750
									449,750
Independent Power & Renewable Electricity Producers : 1.44%
Calpine Corporation 144A		5.13			3-15-2028		230,000		233,450
Calpine Corporation 144A		5.25			6-1-2026		600,000		621,306
NRG Energy Incorporated		5.75			1-15-2028		200,000		217,574
TerraForm Power Operating LLC 144A		4.75			1-15-2030		220,000		228,250
The AES Corporation		5.50			4-15-2025		200,000		205,000
Vistra Operations Company LLC 144A		5.63			2-15-2027		900,000		956,439
									2,462,019
Total Corporate Bonds and Notes (Cost $139,697,912)									136,945,937
Yankee Corporate Bonds and Notes : 15.24%
Communication Services : 4.30%
Diversified Telecommunication Services : 0.86%
SFR Group SA 144A		7.38			5-1-2026		300,000		316,500
Telecom Italia Capital SpA 144A		5.30			5-30-2024		700,000		733,131
Telecom Italia Capital SpA		6.00			9-30-2034		200,000		215,500
Virgin Media Finance plc 144A		6.00			10-15-2024		200,000		205,500
									1,470,631
Media : 3.06%
Altice Finco SA 144A		5.00			1-15-2028		800,000		806,750
Altice Finco SA 144A		7.63			2-15-2025		200,000		203,500
Altice Finco SA 144A		10.50			5-15-2027		900,000		996,750
Nielsen Holding and Finance BV 144A		5.00			2-1-2025		920,000		924,876
Quebecor Media Incorporated		5.75			1-15-2023		900,000		947,916
Videotron Limited 144A		5.13			4-15-2027		200,000		210,250
Ziggo BV 144A		4.88			1-15-2030		200,000		206,000
Ziggo BV 144A		5.13			2-28-2030		900,000		922,500
									5,218,542
Wireless Telecommunication Services : 0.38%
C&W Senior Financing Designated Activity 144A		6.88			9-15-2027		200,000		197,338
VEON Holdings BV 144A		4.00			4-9-2025		210,000		217,461

9

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo High Yield Corporate Bond Portfolio

	Interest rate			Maturity date		Principal		Value
Wireless Telecommunication Services (continued)
Vodafone Group plc (USD Swap Semi Annual (vs. 3 Month LIBOR) 5 Year +4.87%) ±		7.00	%		4-4-2079	$	200,000	$	231,595
									646,394
Consumer Discretionary : 1.00%
Auto Components : 0.10%
Adient Global Holdings Limited 144A		4.88			8-15-2026		200,000		167,875
Automobiles : 0.33%
Fiat Chrysler Automobiles NV		5.25			4-15-2023		200,000		204,500
IHO Verwaltungs GmbH (PIK at 7.13%) 144A¥		6.38			5-15-2029		240,000		225,600
Jaguar Land Rover Automotive plc 144A		4.50			10-1-2027		200,000		136,500
									566,600
Hotels, Restaurants & Leisure : 0.48%
International Game Technology plc 144A		6.50			2-15-2025		200,000		206,076
Melco Resorts & Entertainment Limited 144A		5.38			12-4-2029		200,000		196,164
MGM China Holdings Limited 144A		5.88			5-15-2026		220,000		218,900
Wynn Macau Limited 144A		5.13			12-15-2029		200,000		197,000
									818,140
Leisure Products : 0.09%
VOC Escrow Limited 144A		5.00			2-15-2028		200,000		164,074
Energy : 2.84%
Energy Equipment & Services : 0.48%
Alcoa Nederland Holding Company BV 144A		6.75			9-30-2024		800,000		812,000
Oil, Gas & Consumable Fuels : 2.36%
Cenovus Energy Incorporated		5.40			6-15-2047		900,000		708,411
Cenovus Energy Incorporated		4.25			4-15-2027		230,000		208,745
Husky Energy Incorporated (PIK at 13.00%) 144A¥		13.00			2-15-2025		500,000		454,850
MEG Energy Corporation 144A		7.00			3-31-2024		700,000		673,750
Seven Generations Energy Company 144A		6.88			6-30-2023		800,000		768,928
The Poseidon Group Incorporated 144A		6.88			2-1-2027		600,000		540,000
Weatherford International Limited 144A		11.00			12-1-2024		1,000,000		675,000
									4,029,684
Financials : 3.28%
Banks : 1.46%
Deutsche Bank AG (USD ICE Swap Rate 11:00am NY 5 Year +2.55%) ±		4.88			12-1-2032		1,130,000		1,036,402
Intesa Sanpaolo SpA 144A		5.02			6-26-2024		500,000		501,439
Intesa Sanpaolo SpA 144A		5.71			1-15-2026		260,000		267,397
UniCredit SpA (USD ICE Swap Rate 11:00am NY 5 Year +3.70%) 144A±		5.86			6-19-2032		700,000		697,991
									2,503,229
Diversified Financial Services : 1.72%
Global Aircraft Leasing Company Limited 144A		6.50			9-15-2024		1,000,000		544,080
Intelsat Jackson Holdings SA 144A		8.00			2-15-2024		200,000		201,750
New Red Finance Incorporated 144A		5.00			10-15-2025		1,300,000		1,313,897
New Red Finance Incorporated 144A		3.88			1-15-2028		200,000		197,046
Trivium Packaging Finance BV 144A		8.50			8-15-2027		200,000		211,000

10

Wells Fargo High Yield Corporate Bond Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Diversified Financial Services (continued)
Tronox Finance plc 144A		5.75	%		10-1-2025	$	500,000	$	467,500
									2,935,273
Real Estate Management & Development : 0.10%
Brookfield Property Partners LP 144A		4.88			2-15-2030		200,000		169,940
Health Care : 0.91%
Pharmaceuticals : 0.91%
Bausch Health Companies Incorporated 144A		5.25			1-30-2030		800,000		786,000
Bausch Health Companies Incorporated 144A		7.25			5-30-2029		720,000		776,160
									1,562,160
Industrials : 1.21%
Aerospace & Defense : 0.11%
Bombardier Incorporated 144A		6.00			10-15-2022		300,000		193,500
Commercial Services & Supplies : 0.31%
GFL Environmental Incorporated 144A		5.13			12-15-2026		500,000		520,000
Electrical Equipment : 0.49%
Sensata Technologies BV 144A		5.00			10-1-2025		200,000		207,500
Sensata Technologies BV 144A		5.63			11-1-2024		600,000		627,696
									835,196
Metals & Mining : 0.30%
FMG Resources Proprietary Limited 144A		5.13			5-15-2024		500,000		516,250
Information Technology : 0.43%
Communications Equipment : 0.31%
Nokia OYJ		4.38			6-12-2027		500,000		527,210
Software : 0.12%
Open Text Corporation 144A		5.88			6-1-2026		200,000		206,500
Materials : 1.27%
Chemicals : 0.12%
Ineos Group Limited 144A		5.63			8-1-2024		200,000		198,000
Containers & Packaging : 0.42%
Ardagh Packaging Finance plc 144A		6.00			2-15-2025		700,000		721,665
Metals & Mining : 0.73%
Constellium NV Company 144A		5.75			5-15-2024		950,000		954,057
FMG Resources Proprietary Limited 144A		5.13			3-15-2023		280,000		289,100
									1,243,157
Total Yankee Corporate Bonds and Notes (Cost $26,505,196)									26,026,020
	Yield					Shares
Short-Term Investments : 72.97%
Investment Companies : 72.97%
Wells Fargo Government Money Market Fund Select Class (u)		0.12					124,593,412		124,593,412

11

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo High Yield Corporate Bond Portfolio

Total Short-Term Investments (Cost $124,593,412)			$	124,593,412
Total investments in securities (Cost $290,796,520)	168.42	%		287,565,369
Other assets and liabilities, net	(68.42	)		(116,819,767	)
Total net assets	100.00	%	$	170,745,602

144A The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933.

± Variable rate investment. The rate shown is the rate in effect at period end.

¥ A payment-in-kind (PIK) security is a security in which the issuer may make interest or dividend payments in cash or additional securities or a combination of both. The rate shown is the rate in effect at period end.

(u) The rate represents the 7-day annualized yield at period end.

Abbreviations:

GO General obligation

LIBOR London Interbank Offered Rate

SBA Small Business Authority

12

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Shares, beginning of period		Shares purchased		Shares sold			Shares, end of period		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		1,339,300		130,280,045		(7,025,933	)		124,593,412	$	124,593,412		72.97	%

Wells Fargo High Yield Corporate Bond Portfolio (the “Portfolio”)

Notes to Portfolio of investments – May 31, 2020 (unaudited)

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Portfolio may deviate from this calculation under unusual or unexpected circumstances.

Debt securities are valued at the evaluated bid price provided by an independent pricing service (e.g. taking into account various factors, including yields, maturities, or credit ratings) or, if a reliable price is not available, the quoted bid price from an independent broker-dealer.

Investments in registered open-end investment companies are valued at net asset value.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC. The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

Fair valuation measurements

Fair value measurements of investments are determined within a framework that has established a fair value hierarchy based upon the various data inputs utilized in determining the value of the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

Level 1	–	quoted prices in active markets for identical securities
Level 2	–	other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3	–	significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of May 31, 2020:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Corporate bonds and notes	$	0	$	136,945,937	$	0	$	136,945,937
Yankee corporate bonds and notes		0		26,026,020		0		26,026,020
Short-term investments
Investment companies		124,593,412		0		0		124,593,412
Total assets	$	124,593,412	$	162,971,957	$	0	$	287,565,369

Additional sector, industry or geographic detail is included in the Portfolio of Investments.

For the three months ended May 31, 2020, the Portfolio did not have any transfers into/out of Level 3.

Wells Fargo International Government Bond Portfolio of investments — May 31, 2020 (unaudited)

			Interest rate			Maturity date		Principal			Value
Foreign Government Bonds : 98.91%
Australian Government Bond Series 145				2.75	%		6-21-2035		AUD	350,000	$	282,369
Australian Government Bond Series 150				3.00			3-21-2047		AUD	190,000		162,218
Belgium Government Bond 144A				0.90			6-22-2029		EUR	360,000		435,254
Canada Government				2.75			12-1-2048		CAD	300,000		304,937
Canada Government				5.00			6-1-2037		CAD	100,000		119,513
Certificati di Credito del Tesoro ¤				0.00			11-29-2021		EUR	300,000		331,083
Czech Republic				2.75			7-23-2029		CZK	2,070,000		100,280
Finland Government Bond 144A				0.01			4-15-2022		EUR	390,000		437,495
France Government Bond				0.01			11-25-2029		EUR	180,000		201,268
France Government Bond				5.50			4-25-2029		EUR	280,000		468,027
Ireland Government Bond Series 2022				0.80			3-15-2022		EUR	300,000		340,231
Italy Buoni Poliennali del Tesoro				2.05			8-1-2027		EUR	470,000		549,003
Japan Government 5 Year Bond Series 136				0.10			6-20-2023		JPY	49,000,000		458,118
Japan Government 10 Year Bond Series 333				0.60			3-20-2024		JPY	94,600,000		902,316
Japan Government 20 Year Bond Series 064				1.90			9-20-2023		JPY	115,600,000		1,145,088
Korea Treasury Bond Series 2812				2.38			12-10-2028		KRW	495,000,000		432,835
Malaysia Government Bond				4.23			6-30-2031		MYR	1,240,000		316,421
Mexico				8.00			11-7-2047		MXN	2,010,000		100,020
Mexico				8.50			11-18-2038		MXN	6,140,000		322,391
Netherlands Government Bond 144A				0.01			1-15-2022		EUR	390,000		436,921
New Zealand Government Bond Series 429				3.00			4-20-2029		NZD	150,000		111,538
Norway Government Bond Series 480 144A				2.00			4-26-2028		NOK	980,000		112,794
Poland				1.25			10-25-2030		PLN	1,375,000		345,614
Republic of Austria 144A				0.50			2-20-2029		EUR	390,000		458,613
Russia Government Bond				7.70			3-16-2039		RUB	11,790,000		204,060
Singapore Government Bond				2.88			7-1-2029		SGD	280,000		233,670
Spain Government Bond 144A				5.85			1-31-2022		EUR	350,000		428,714
Switzerland Bond				4.00			2-11-2023		CHF	100,000		117,187
Thailand Government Bond				3.30			6-17-2038		THB	5,550,000		220,698
United Kingdom Gilt				1.50			7-22-2047		GBP	270,000		408,769
United Kingdom Gilt				1.63			10-22-2054		GBP	160,000		263,069
United Kingdom Gilt				4.25			3-7-2036		GBP	100,000		195,020
Total Foreign Government Bonds (Cost $10,963,742)												10,945,534
Total investments in securities (Cost $10,963,742)	98.91	%										10,945,534
Other assets and liabilities, net	1.09											121,083
Total net assets	100.00	%									$	11,066,617

144A The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933.

¤ The security is issued in zero coupon form with no periodic interest payments.

Abbreviations:
AUD	Australian dollar
CAD	Canadian dollar
CHF	Swiss franc
CZK	Czech koruna
EUR	Euro
GBP	Great British pound
JPY	Japanese yen
KRW	Republic of Korea won
MXN	Mexican peso
MYR	Malaysian ringgit
NOK	Norwegian krone
NZD	New Zealand dollar
PLN	Polish zloty
RUB	Russian ruble
SGD	Singapore dollar
THB	Thai baht

1

Forward Foreign Currency Contracts

Currency to be received	Currency to be delivered		Counterparty		Settlement date		Unrealized gains		Unrealized losses
1,300,000 DKK		195,324 USD		State Street Bank		6/8/2020	$	0	$	(1,716	)
55,260 USD		1,225,000 MXN		State Street Bank		6/8/2020		67		0
105,109 USD		3,300,000 THB		State Street Bank		6/8/2020		1,371		0
227,083 USD		24,300,000 JPY		State Street Bank		6/8/2020		1,747		0
124,624 USD		480,000 PLN		State Street Bank		6/8/2020		4,958		0
111,833 USD		155,000 SGD		State Street Bank		6/8/2020		2,121		0
486,860 USD		380,000 GBP		State Street Bank		6/8/2020		17,554		0
108,614 USD		175,000 NZD		State Street Bank		6/8/2020		0		(15	)
74,369 USD		1,460,000 MXN		State Street Bank		6/8/2020		8,589		0
110,588 USD		2,675,000 CZK		State Street Bank		6/8/2020		241		0
495,817 USD		685,000 CAD		State Street Bank		6/8/2020		0		(1,696	)
307,000 EUR		344,196 USD		State Street Bank		6/8/2020		0		(3,371	)
438,000 CAD		327,961 USD		State Street Bank		6/8/2020		0		(9,843	)
1,070,000 SEK		113,738 USD		State Street Bank		6/8/2020		0		(175	)
265,000 EUR		292,631 USD		State Street Bank		6/8/2020		1,566		0
107,000,000 JPY		993,512 USD		State Street Bank		6/8/2020		0		(1,292	)
332,150 USD		500,000 AUD		State Street Bank		6/9/2020		0		(1,130	)
225,000 AUD		148,756 USD		State Street Bank		6/9/2020		1,221		0
208,447 USD		875,000 MYR		State Street Bank		6/15/2020		7,313		0
200,239 USD		13,400,000 RUB		State Street Bank		6/15/2020		10,106		0
385,000,000 KRW		325,078 USD		State Street Bank		6/15/2020		0		(14,222	)
							$	56,854	$	(33,460	)

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Shares, beginning of period		Shares purchased		Shares sold			Shares, end of period		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class*		51,894		479,750		(531,644	)		0	$	0		0	%

* No longer held at the end of the period

Wells Fargo International Government Bond Portfolio (the “Portfolio”)

Notes to Portfolio of investments – May 31, 2020 (unaudited)                     

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Portfolio may deviate from this calculation under unusual or unexpected circumstances.

Debt securities are valued at the evaluated bid price provided by an independent pricing service (e.g. taking into account various factors, including yields, maturities, or credit ratings) or, if a reliable price is not available, the quoted bid price from an independent broker-dealer.

The values of securities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC.

Forward foreign currency contracts are recorded at the forward rate provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee. The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

Foreign currency translation

The accounting records of the Portfolio are maintained in U.S. dollars. The values of other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee. Purchases and sales of securities, and income and expenses are converted at the rate of exchange on the respective dates of such transactions. Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded and the U.S. dollar equivalent of the amounts actually paid or received. Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities other than investments in securities resulting from changes in exchange rates. The changes in net assets arising from changes in exchange rates of securities and the changes in net assets resulting from changes in market prices of securities are not separately presented. Such changes are included in net realized and unrealized gains or losses from investments.

Forward foreign currency contracts

A forward foreign currency contract is an agreement between two parties to purchase or sell a specific currency for an agreed-upon price at a future date. The Portfolio enters into forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to attempt to minimize the risk to the Portfolio from adverse changes in the relationship between currencies. Forward foreign currency contracts are recorded at the forward rate and marked-to-market daily. When the contracts are closed, realized gains and losses arising from such transactions are recorded as realized gains or losses on forward foreign currency contracts. The Portfolio is subject to foreign currency risk and may be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts or if the value of the foreign currency changes unfavorably. The Portfolio’s maximum risk of loss from counterparty credit risk is the unrealized gains on the contracts. This risk may be mitigated if there is a master netting arrangement between the Portfolio and the counterparty.

Fair valuation measurements

Fair value measurements of investments are determined within a framework that has established a fair value hierarchy based upon the various data inputs utilized in determining the value of the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

Level 1	–	quoted prices in active markets for identical securities
Level 2	–	other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3	–	significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of May 31, 2020:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Foreign government bonds	$	0	$	10,945,534	$	0	$	10,945,534
Forward foreign currency contracts		0		56,854		0		56,854
Total assets	$	0	$	11,002,388	$	0	$	11,002,388
Liabilities
Forward foreign currency contracts	$	0	$	33,460	$	0	$	33,460
Total liabilities	$	0	$	33,460	$	0	$	33,460

Additional sector, industry or geographic detail is included in the Portfolio of Investments.

Forward foreign currency contracts are reported at their cumulative unrealized gains (losses) at measurement date as reported in the table following the Portfolio of Investments. All other assets and liabilities are reported at their market value at measurement date.

During the three months ended May 31, 2020, the Portfolio did not have any transfers into/out of Level 3.

Wells Fargo Investment Grade Corporate Bond Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Corporate Bonds and Notes : 81.28%
Communication Services : 5.31%
Diversified Telecommunication Services : 1.66%
AT&T Incorporated		3.00	%		2-15-2022	$	200,000	$	207,337
AT&T Incorporated		3.40			6-15-2022		70,000		73,227
AT&T Incorporated		4.00			1-15-2022		210,000		220,881
AT&T Incorporated		4.30			12-15-2042		350,000		386,563
AT&T Incorporated		4.50			5-15-2035		230,000		260,942
AT&T Incorporated		4.90			6-15-2042		36,000		41,146
T Mobile US Incorporated 144A		4.38			4-15-2040		900,000		992,304
Verizon Communications Incorporated		3.85			11-1-2042		260,000		304,703
Verizon Communications Incorporated		4.13			3-16-2027		200,000		233,037
Verizon Communications Incorporated		4.67			3-15-2055		655,000		900,823
									3,620,963
Entertainment : 1.17%
Viacom Incorporated		6.88			4-30-2036		238,000		290,904
Walt Disney Company		2.20			1-13-2028		1,800,000		1,877,925
Walt Disney Company		2.55			2-15-2022		175,000		180,311
Walt Disney Company		4.13			12-1-2041		175,000		201,664
									2,550,804
Interactive Media & Services : 0.04%
Alphabet Incorporated		3.38			2-25-2024		87,000		96,863
									96,863
Media : 2.44%
CBS Corporation		3.70			8-15-2024		350,000		370,020
CBS Corporation		4.85			7-1-2042		140,000		138,409
CBS Corporation		4.90			8-15-2044		350,000		346,540
Charter Communications Operating LLC		4.46			7-23-2022		400,000		425,983
Charter Communications Operating LLC		4.91			7-23-2025		400,000		457,873
Comcast Corporation		2.35			1-15-2027		210,000		222,029
Comcast Corporation		4.00			11-1-2049		200,000		237,374
Comcast Corporation		4.40			8-15-2035		210,000		260,167
Comcast Corporation		4.75			3-1-2044		262,000		336,643
Discovery Communications LLC		3.30			5-15-2022		175,000		179,260
Discovery Communications LLC		3.95			3-20-2028		400,000		431,851
Discovery Communications LLC		4.38			6-15-2021		210,000		216,538
Discovery Incorporated		6.35			6-1-2040		175,000		215,167
Omnicom Group Incorporated		3.63			5-1-2022		175,000		184,053
Time Warner Cable Incorporated		5.50			9-1-2041		210,000		247,734
Time Warner Cable Incorporated		6.55			5-1-2037		300,000		382,702
Time Warner Cable Incorporated		8.38			3-15-2023		175,000		205,913
Time Warner Entertainment Company LP		8.38			7-15-2033		210,000		306,500
Viacom Incorporated		5.50			5-15-2033		140,000		156,372
									5,321,128
Consumer Discretionary : 3.78%
Automobiles : 0.25%
General Motors Company		6.25			10-2-2043		175,000		180,622
General Motors Company		6.60			4-1-2036		350,000		373,992
									554,614
Hotels, Restaurants & Leisure : 0.91%
GLP Capital LP		5.30			1-15-2029		400,000		384,000
McDonald’s Corporation		2.63			1-15-2022		250,000		258,508
McDonald’s Corporation		3.38			5-26-2025		245,000		270,075

1

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Investment Grade Corporate Bond Portfolio

	Interest rate			Maturity date		Principal		Value
Hotels, Restaurants & Leisure (continued)
McDonald’s Corporation		4.60	%		5-26-2045	$	175,000	$	215,079
McDonald’s Corporation		6.30			10-15-2037		210,000		296,872
Starbucks Corporation		4.00			11-15-2028		500,000		567,035
									1,991,569
Household Durables : 0.14%
Whirlpool Corporation		4.00			3-1-2024		87,000		91,826
Whirlpool Corporation		4.70			6-1-2022		140,000		148,429
Whirlpool Corporation		4.85			6-15-2021		70,000		72,419
									312,674
Internet & Direct Marketing Retail : 0.81%
Amazon.com Incorporated		4.05			8-22-2047		400,000		525,844
Amazon.com Incorporated		4.25			8-22-2057		400,000		548,202
Amazon.com Incorporated		4.95			12-5-2044		300,000		427,379
eBay Incorporated		4.00			7-15-2042		175,000		181,789
Expedia Incorporated		4.50			8-15-2024		70,000		72,496
									1,755,710
Leisure Products : 0.06%
Hasbro Incorporated		6.35			3-15-2040		108,000		123,133
Multiline Retail : 0.46%
Dollar General Corporation		3.25			4-15-2023		245,000		260,428
Kohl’s Corporation		3.25			2-1-2023		105,000		96,424
Nordstrom Incorporated		4.00			10-15-2021		175,000		171,663
Nordstrom Incorporated		5.00			1-15-2044		70,000		47,307
Target Corporation		2.90			1-15-2022		175,000		182,436
Target Corporation		3.63			4-15-2046		210,000		251,661
									1,009,919
Specialty Retail : 1.08%
AutoZone Incorporated		2.88			1-15-2023		175,000		180,387
AutoZone Incorporated		3.13			7-15-2023		105,000		111,092
Home Depot Incorporated		3.50			9-15-2056		260,000		303,033
Home Depot Incorporated		3.75			2-15-2024		350,000		388,188
Lowe’s Companies Incorporated		2.50			4-15-2026		350,000		372,374
Lowe’s Companies Incorporated		3.12			4-15-2022		140,000		145,762
Lowe’s Companies Incorporated		3.88			9-15-2023		175,000		192,226
Lowe’s Companies Incorporated		4.25			9-15-2044		175,000		205,039
Lowe’s Companies Incorporated		4.38			9-15-2045		200,000		235,424
O’Reilly Automotive Incorporated		3.80			9-1-2022		105,000		108,120
O’Reilly Automotive Incorporated		4.63			9-15-2021		105,000		109,159
									2,350,804
Textiles, Apparel & Luxury Goods : 0.07%
Nike Incorporated		2.25			5-1-2023		70,000		73,896
Nike Incorporated		3.63			5-1-2043		70,000		74,988
									148,884
Consumer Staples : 6.91%
Beverages : 2.18%
Anheuser-Busch InBev Finance Company		4.00			1-17-2043		210,000		218,762
Anheuser-Busch InBev Finance Company		4.63			2-1-2044		245,000		277,343
Anheuser-Busch InBev Worldwide Incorporated		3.75			7-15-2042		252,000		257,482
Anheuser-Busch InBev Worldwide Incorporated		4.75			4-15-2058		400,000		455,564
Constellation Brands Incorporated		3.15			8-1-2029		300,000		313,477
Constellation Brands Incorporated		4.25			5-1-2023		360,000		393,379
Keurig Dr Pepper Incorporated		4.60			5-25-2028		700,000		829,946

2

Wells Fargo Investment Grade Corporate Bond Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Beverages (continued)
Molson Coors Brewing Company		2.10	%		7-15-2021	$	260,000	$	262,384
PepsiCo Incorporated		2.75			3-5-2022		259,000		270,629
PepsiCo Incorporated		3.00			8-25-2021		175,000		180,768
PepsiCo Incorporated		3.60			8-13-2042		285,000		333,964
PepsiCo Incorporated		4.00			3-5-2042		175,000		216,205
PepsiCo Incorporated		4.25			10-22-2044		140,000		173,917
The Coca-Cola Company		2.88			10-27-2025		200,000		222,668
The Coca-Cola Company		3.20			11-1-2023		280,000		306,158
The Coca-Cola Company		3.30			9-1-2021		49,000		50,820
									4,763,466
Food & Staples Retailing : 1.85%
Sysco Corporation		3.30			7-15-2026		200,000		205,843
Sysco Corporation		5.38			9-21-2035		200,000		227,433
The Kroger Company		3.40			4-15-2022		175,000		183,165
The Kroger Company		3.85			8-1-2023		175,000		190,187
The Kroger Company		5.00			4-15-2042		175,000		215,878
The Kroger Company		5.15			8-1-2043		105,000		134,255
The Kroger Company		6.90			4-15-2038		210,000		300,835
Wal-Mart Stores Incorporated		3.95			6-28-2038		1,000,000		1,234,406
Wal-Mart Stores Incorporated		4.88			7-8-2040		175,000		237,932
Wal-Mart Stores Incorporated		5.63			4-1-2040		180,000		266,435
Wal-Mart Stores Incorporated		5.88			4-5-2027		70,000		90,846
Walgreens Boots Alliance Incorporated		3.45			6-1-2026		200,000		212,382
Walgreens Boots Alliance Incorporated		3.80			11-18-2024		200,000		215,893
Walgreens Boots Alliance Incorporated		4.80			11-18-2044		300,000		320,952
									4,036,442
Food Products : 0.97%
Archer-Daniels-Midland Company		4.54			3-26-2042		175,000		215,906
Campbell Soup Company		2.50			8-2-2022		85,000		87,750
Conagra Brands Incorporated		4.60			11-1-2025		200,000		230,081
ConAgra Foods Incorporated		8.25			9-15-2030		84,000		126,598
General Mills Incorporated		3.65			2-15-2024		175,000		191,606
J.M. Smucker Company		3.50			10-15-2021		210,000		218,746
Mead Johnson Nutrition Company		5.90			11-1-2039		70,000		96,364
Tyson Foods Incorporated		4.35			3-1-2029		300,000		356,932
Tyson Foods Incorporated		4.50			6-15-2022		350,000		371,643
Tyson Foods Incorporated		4.88			8-15-2034		175,000		211,405
									2,107,031
Household Products : 0.44%
Clorox Company		3.05			9-15-2022		113,000		118,793
Clorox Company		3.50			12-15-2024		140,000		154,441
Colgate-Palmolive Company		2.30			5-3-2022		350,000		362,824
Kimberly-Clark Corporation		2.40			6-1-2023		105,000		109,738
Kimberly-Clark Corporation		6.63			8-1-2037		140,000		213,619
									959,415
Personal Products : 0.09%
Estee Lauder Companies Incorporated		6.00			5-15-2037		140,000		192,186
Tobacco : 1.38%
Altria Group Incorporated		4.00			1-31-2024		62,000		67,747
Altria Group Incorporated		4.25			8-9-2042		350,000		357,570
Altria Group Incorporated		4.50			5-2-2043		175,000		185,405
Philip Morris International Incorporated		2.50			8-22-2022		175,000		182,172
Philip Morris International Incorporated		2.63			3-6-2023		122,000		127,939
Philip Morris International Incorporated		3.25			11-10-2024		210,000		230,874
Philip Morris International Incorporated		4.13			3-4-2043		210,000		237,671
Philip Morris International Incorporated		4.25			11-10-2044		210,000		244,197
Philip Morris International Incorporated		4.50			3-20-2042		140,000		165,847

3

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Investment Grade Corporate Bond Portfolio

	Interest rate			Maturity date		Principal		Value
Tobacco (continued)
Reynolds American Incorporated		4.00	%		6-12-2022	$	280,000	$	294,088
Reynolds American Incorporated		4.45			6-12-2025		350,000		386,934
Reynolds American Incorporated		5.70			8-15-2035		210,000		249,160
Reynolds American Incorporated		6.15			9-15-2043		87,000		104,445
Reynolds American Incorporated		7.25			6-15-2037		140,000		180,705
									3,014,754
Energy : 6.53%
Energy Equipment & Services : 0.49%
Halliburton Company		3.50			8-1-2023		350,000		359,863
Halliburton Company		3.80			11-15-2025		350,000		370,310
Halliburton Company		4.50			11-15-2041		175,000		162,580
Halliburton Company		4.75			8-1-2043		175,000		165,440
									1,058,193
Oil, Gas & Consumable Fuels : 6.04%
Boardwalk Pipelines LP		3.38			2-1-2023		70,000		66,803
BP Capital Markets America Incorporated		3.94			9-21-2028		200,000		227,527
Chevron Corporation		2.36			12-5-2022		525,000		547,887
Columbia Pipeline Group Incorporated		5.80			6-1-2045		140,000		171,197
ConocoPhillips Company		4.30			11-15-2044		210,000		251,592
ConocoPhillips Company		5.90			10-15-2032		175,000		239,399
ConocoPhillips Company		6.95			4-15-2029		210,000		288,544
Devon Energy Corporation		7.95			4-15-2032		150,000		162,130
Enbridge Energy Partners LP		5.50			9-15-2040		140,000		163,863
Energy Transfer Partners LP		4.75			1-15-2026		280,000		298,363
Energy Transfer Partners LP		4.90			2-1-2024		210,000		223,724
Energy Transfer Partners LP		5.95			10-1-2043		140,000		143,391
Energy Transfer Partners LP		7.50			7-1-2038		70,000		82,273
Enterprise Products Operating LLC		4.45			2-15-2043		355,000		386,326
Enterprise Products Operating LLC		4.85			3-15-2044		280,000		319,239
Enterprise Products Operating LLC		5.70			2-15-2042		140,000		169,208
Enterprise Products Operating LLC		5.95			2-1-2041		70,000		85,915
Enterprise Products Operating LLC		7.55			4-15-2038		70,000		96,833
Exxon Mobil Corporation		2.71			3-6-2025		350,000		378,573
Exxon Mobil Corporation		3.04			3-1-2026		500,000		554,002
Hess Corporation		7.30			8-15-2031		269,000		288,829
Kinder Morgan Energy Partners LP		3.45			2-15-2023		175,000		183,047
Kinder Morgan Energy Partners LP		5.00			8-15-2042		175,000		197,577
Kinder Morgan Energy Partners LP		5.00			3-1-2043		157,000		174,473
Kinder Morgan Energy Partners LP		5.50			3-1-2044		210,000		250,972
Kinder Morgan Energy Partners LP		5.80			3-15-2035		70,000		85,184
Magellan Midstream Partners LP		5.15			10-15-2043		140,000		149,888
Marathon Oil Corporation		3.85			6-1-2025		245,000		232,081
Marathon Oil Corporation		5.20			6-1-2045		140,000		122,507
Marathon Petroleum Corporation		3.63			9-15-2024		350,000		363,871
Marathon Petroleum Corporation		3.80			4-1-2028		385,000		389,959
MPLX LP		4.13			3-1-2027		200,000		206,569
MPLX LP		4.88			6-1-2025		200,000		212,880
MPLX LP		5.20			3-1-2047		220,000		238,991
NextEra Energy Capital		4.50			6-1-2021		140,000		143,574
Noble Energy Incorporated		3.90			11-15-2024		210,000		207,577
ONEOK Incorporated		4.00			7-13-2027		200,000		196,809
ONEOK Incorporated		4.55			7-15-2028		500,000		500,945
ONEOK Partners LP		3.38			10-1-2022		350,000		353,083
Phillips 66		4.65			11-15-2034		140,000		169,881
Plains All American Pipeline LP		3.60			11-1-2024		210,000		209,850
Plains All American Pipeline LP		3.85			10-15-2023		350,000		352,096
Plains All American Pipeline LP		4.90			2-15-2045		175,000		159,640
Plains All American Pipeline LP		6.65			1-15-2037		140,000		145,451
Sabine Pass Liquefaction LLC		5.00			3-15-2027		400,000		443,884
Sabine Pass Liquefaction LLC		5.63			3-1-2025		200,000		223,067

4

Wells Fargo Investment Grade Corporate Bond Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Oil, Gas & Consumable Fuels (continued)
Sabine Pass Liquefaction LLC		5.88	%		6-30-2026	$	200,000	$	229,822
Spectra Energy Partners LP		3.38			10-15-2026		300,000		316,685
Spectra Energy Partners LP		4.75			3-15-2024		245,000		270,848
Sunoco Logistics Partner LP		3.45			1-15-2023		140,000		142,271
Sunoco Logistics Partner LP		4.95			1-15-2043		105,000		96,394
Sunoco Logistics Partner LP		5.35			5-15-2045		140,000		136,708
TC Pipelines LP		4.65			6-15-2021		210,000		213,798
Tennessee Gas Pipeline Company		7.00			10-15-2028		175,000		215,418
Williams Partners LP		3.35			8-15-2022		175,000		180,725
Williams Partners LP		6.30			4-15-2040		273,000		329,597
									13,191,740
Financials : 17.67%
Banks : 5.94%
ABB Finance (USA) Incorporated		4.38			5-8-2042		26,000		31,780
Australia & New Zealand Banking Group Limited		2.55			11-23-2021		250,000		256,902
Australia & New Zealand Banking Group Limited		2.63			5-19-2022		300,000		311,116
Bank of America Corporation		3.25			10-21-2027		525,000		573,928
Bank of America Corporation (3 Month LIBOR +1.19%) ±		3.95			1-23-2049		200,000		232,754
Bank of America Corporation		4.18			11-25-2027		560,000		628,186
Bank of America Corporation		4.25			10-22-2026		280,000		314,362
Bank One Corporation		7.63			10-15-2026		168,000		220,161
BB&T Corporation		2.85			10-26-2024		500,000		535,581
BB&T Corporation		3.80			10-30-2026		400,000		443,156
Citigroup Incorporated		2.75			4-25-2022		200,000		206,310
Citigroup Incorporated		4.60			3-9-2026		200,000		223,974
Citigroup Incorporated		4.65			7-30-2045		300,000		367,500
Citigroup Incorporated		4.75			5-18-2046		300,000		362,367
Citizens Financial Group Incorporated		4.30			12-3-2025		200,000		218,412
Compass Bank		3.88			4-10-2025		250,000		255,683
Deutsche Bank		3.95			2-27-2023		300,000		306,373
Discover Bank		4.20			8-8-2023		310,000		330,881
Discover Bank		4.25			3-13-2026		250,000		267,258
Discover Bank		4.65			9-13-2028		250,000		272,834
Fifth Third Bancorp		3.95			3-14-2028		400,000		445,619
Fifth Third Bank		2.25			6-14-2021		200,000		203,156
Fifth Third Bank		2.88			10-1-2021		300,000		307,696
Huntington Bancshares Incorporated		2.30			1-14-2022		300,000		305,991
JPMorgan Chase & Company		2.95			10-1-2026		325,000		350,376
JPMorgan Chase & Company		3.20			1-25-2023		200,000		211,756
JPMorgan Chase & Company		4.13			12-15-2026		500,000		573,040
JPMorgan Chase & Company (3 Month LIBOR +1.58%) ±		4.26			2-22-2048		240,000		290,832
Key Bank NA		3.18			10-15-2027		250,000		257,866
Key Bank NA		3.30			6-1-2025		250,000		274,632
KeyCorp Incorporated		4.10			4-30-2028		400,000		447,467
People’s United Financial Incorporated		3.65			12-6-2022		105,000		109,299
PNC Bank NA		2.95			1-30-2023		300,000		314,987
PNC Bank NA		3.30			10-30-2024		500,000		544,810
PNC Bank NA		4.20			11-1-2025		250,000		288,038
Santander Holdings USA Incorporated		4.50			7-17-2025		350,000		373,908
SunTrust Banks Incorporated		3.30			5-15-2026		200,000		214,169
UnionBanCal Corporation		3.50			6-18-2022		140,000		146,308
US Bancorp		2.38			7-22-2026		190,000		202,974
US Bancorp		3.00			3-15-2022		350,000		365,178
US Bancorp		3.60			9-11-2024		350,000		389,074
									12,976,694
Capital Markets : 3.57%
AGL Capital Corporation		4.40			6-1-2043		140,000		157,900
Bank of New York Mellon Corporation		2.95			1-29-2023		300,000		317,494
Bank of New York Mellon Corporation		3.40			1-29-2028		300,000		341,566
Bank of New York Mellon Corporation		3.55			9-23-2021		420,000		436,830

5

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Investment Grade Corporate Bond Portfolio

	Interest rate			Maturity date		Principal		Value
Capital Markets (continued)
CME Group Incorporated		4.15	%		6-15-2048	$	200,000	$	267,318
Goldman Sachs Group Incorporated		3.75			5-22-2025		350,000		381,140
Goldman Sachs Group Incorporated		4.75			10-21-2045		1,500,000		1,869,615
Goldman Sachs Group Incorporated		6.13			2-15-2033		200,000		274,907
Jefferies Group Incorporated		5.13			1-20-2023		175,000		188,257
Jefferies Group Incorporated		6.45			6-8-2027		105,000		116,508
Legg Mason Incorporated		4.75			3-15-2026		190,000		206,426
Moody’s Corporation		4.50			9-1-2022		175,000		187,807
Moody’s Corporation		5.25			7-15-2044		210,000		277,377
Morgan Stanley		4.30			1-27-2045		350,000		424,164
Morgan Stanley		5.00			11-24-2025		200,000		230,157
Morgan Stanley		6.25			8-9-2026		300,000		377,312
Morgan Stanley		7.25			4-1-2032		329,000		483,050
Northern Trust Corporation		3.95			10-30-2025		175,000		200,565
PPL Capital Funding Incorporated		3.10			5-15-2026		100,000		106,580
PPL Capital Funding Incorporated		4.70			6-1-2043		87,000		98,792
S&P Global Incorporated		4.00			6-15-2025		227,000		259,261
State Street Corporation		2.65			5-19-2026		400,000		432,238
TD Ameritrade Holding Corporation		3.63			4-1-2025		140,000		155,442
									7,790,706
Consumer Finance : 2.91%
American Express Company		2.50			8-1-2022		400,000		415,156
American Express Company		2.65			12-2-2022		402,000		420,078
American Express Company		4.20			11-6-2025		200,000		230,562
American Honda Finance Corporation		1.65			7-12-2021		500,000		504,087
American Honda Finance Corporation		2.90			2-16-2024		200,000		209,729
American Honda Finance Corporation		3.45			7-14-2023		200,000		211,830
Capital One Financial Corporation		3.75			7-28-2026		525,000		538,430
Capital One Financial Corporation		4.75			7-15-2021		315,000		327,858
Caterpillar Financial Services Corporation		2.63			3-1-2023		260,000		271,896
Caterpillar Financial Services Corporation		3.25			12-1-2024		200,000		221,087
Caterpillar Financial Services Corporation		3.75			11-24-2023		175,000		192,891
Discover Financial Services		3.95			11-6-2024		200,000		211,854
General Motors Financial Company Incorporated		3.70			5-9-2023		380,000		380,081
John Deere Capital Corporation		3.90			7-12-2021		210,000		217,225
Synchrony Financial		3.70			8-4-2026		200,000		192,263
Synchrony Financial		5.15			3-19-2029		900,000		920,883
Toyota Motor Credit Corporation		2.60			1-11-2022		300,000		308,043
Toyota Motor Credit Corporation		2.63			1-10-2023		310,000		322,017
Toyota Motor Credit Corporation		3.40			9-15-2021		245,000		253,019
									6,348,989
Diversified Financial Services : 0.07%
National Rural Utilities Cooperative Finance Corporation		4.02			11-1-2032		140,000		160,277
Insurance : 4.51%
ACE INA Holdings Incorporated		2.70			3-13-2023		280,000		294,951
ACE INA Holdings Incorporated		3.15			3-15-2025		200,000		218,569
ACE INA Holdings Incorporated		3.35			5-15-2024		350,000		382,685
Allstate Corporation (3 Month LIBOR +2.12%) ±		6.50			5-15-2067		140,000		164,850
American International Group Incorporated		4.50			7-16-2044		300,000		336,801
American International Group Incorporated		4.88			6-1-2022		600,000		645,487
American International Group Incorporated (3 Month LIBOR +2.87%) ±		5.75			4-1-2048		200,000		203,018
Aon Corporation		6.25			9-30-2040		70,000		97,348
Arch Capital Group Limited		5.14			11-1-2043		147,000		176,385
Berkshire Hathaway Finance Corporation		4.40			5-15-2042		180,000		225,656
Berkshire Hathaway Finance Corporation		5.75			1-15-2040		175,000		251,678
Berkshire Hathaway Incorporated		3.00			2-11-2023		75,000		80,530
Berkshire Hathaway Incorporated		3.13			3-15-2026		525,000		585,779
Berkshire Hathaway Incorporated		3.40			1-31-2022		175,000		184,277
Berkshire Hathaway Incorporated		4.50			2-11-2043		275,000		360,777
Chubb Corporation		6.00			5-11-2037		196,000		273,373
Hartford Financial Services Group Incorporated		4.30			4-15-2043		30,000		33,717

6

Wells Fargo Investment Grade Corporate Bond Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Insurance (continued)
Lincoln National Corporation		4.00	%		9-1-2023	$	175,000	$	189,390
Loews Corporation		2.63			5-15-2023		105,000		109,922
Loews Corporation		4.13			5-15-2043		140,000		150,290
Marsh & McLennan Companies Incorporated		4.80			7-15-2021		210,000		217,484
MetLife Incorporated		3.05			12-15-2022		190,000		202,098
MetLife Incorporated		4.13			8-13-2042		210,000		240,640
MetLife Incorporated		4.37			9-15-2023		400,000		448,747
MetLife Incorporated		4.72			12-15-2044		175,000		215,167
MetLife Incorporated		6.38			6-15-2034		196,000		291,860
MetLife Incorporated		6.40			12-15-2066		200,000		231,788
MetLife Incorporated		6.50			12-15-2032		140,000		199,249
Principal Financial Group Incorporated		3.30			9-15-2022		175,000		181,623
Principal Financial Group Incorporated		3.40			5-15-2025		140,000		150,167
Progressive Corporation		6.25			12-1-2032		252,000		361,135
Prudential Financial Incorporated		3.91			12-7-2047		155,000		164,465
Prudential Financial Incorporated		3.94			12-7-2049		200,000		213,339
Prudential Financial Incorporated		4.50			11-16-2021		175,000		184,305
Prudential Financial Incorporated		4.60			5-15-2044		350,000		405,806
Prudential Financial Incorporated (3 Month LIBOR +3.04%) ±		5.20			3-15-2044		175,000		176,489
Prudential Financial Incorporated		5.75			7-15-2033		350,000		448,985
Prudential Financial Incorporated		6.63			12-1-2037		45,000		61,875
Reinsurance Group of America Incorporated		5.00			6-1-2021		42,000		43,503
Transatlantic Holdings Incorporated		8.00			11-30-2039		70,000		102,916
Travelers Companies Incorporated		5.35			11-1-2040		245,000		341,769
									9,848,893
Mortgage REITs : 0.67%
CC Holdings GS V LLC		3.85			4-15-2023		350,000		374,979
ERP Operating LP		4.00			8-1-2047		400,000		465,099
Ventas Realty LP		4.40			1-15-2029		600,000		613,224
									1,453,302
Health Care : 10.15%
Biotechnology : 1.87%
AbbVie Incorporated		3.20			5-14-2026		420,000		456,766
AbbVie Incorporated		4.45			5-14-2046		200,000		231,465
AbbVie Incorporated 144A		3.85			6-15-2024		350,000		382,560
AbbVie Incorporated 144A		4.85			6-15-2044		350,000		415,374
Amgen Incorporated		3.63			5-15-2022		200,000		209,937
Amgen Incorporated		3.63			5-22-2024		350,000		380,455
Amgen Incorporated		3.88			11-15-2021		165,714		171,577
Amgen Incorporated		5.75			3-15-2040		56,000		75,876
Amgen Incorporated		6.40			2-1-2039		175,000		253,849
Baxalta Incorporated		5.25			6-23-2045		280,000		378,750
Gilead Sciences Incorporated		3.65			3-1-2026		350,000		397,624
Gilead Sciences Incorporated		4.50			2-1-2045		200,000		256,283
Gilead Sciences Incorporated		4.75			3-1-2046		350,000		464,980
									4,075,496
Health Care Equipment & Supplies : 1.10%
Abbott Laboratories		6.00			4-1-2039		105,000		153,282
Abbott Laboratories		6.15			11-30-2037		166,000		246,809
Becton Dickinson & Company		2.89			6-6-2022		500,000		519,415
Becton Dickinson & Company		3.13			11-8-2021		210,000		216,630
Boston Scientific Corporation		3.85			5-15-2025		200,000		221,264
Medtronic Incorporated		3.15			3-15-2022		350,000		367,024
Medtronic Incorporated		3.50			3-15-2025		200,000		226,579
Stryker Corporation		4.63			3-15-2046		350,000		454,792
									2,405,795

7

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Investment Grade Corporate Bond Portfolio

	Interest rate			Maturity date		Principal		Value
Health Care Providers & Services : 3.51%
Aetna Incorporated		4.13	%		11-15-2042	$	175,000	$	192,835
Aetna Incorporated		4.50			5-15-2042		200,000		228,082
AmerisourceBergen Corporation		3.50			11-15-2021		210,000		217,793
AmerisourceBergen Corporation		4.25			3-1-2045		175,000		193,193
Anthem Incorporated		4.38			12-1-2047		200,000		242,740
Cardinal Health Incorporated		2.62			6-15-2022		400,000		410,559
Catholic Health Initiatives		4.35			11-1-2042		175,000		174,133
Cigna Corporation 144A		3.00			7-15-2023		300,000		316,615
Cigna Corporation 144A		4.80			7-15-2046		210,000		262,548
Cigna Corporation 144A		6.13			11-15-2041		175,000		251,810
CVS Caremark Corporation		2.75			12-1-2022		350,000		364,778
CVS Caremark Corporation		5.30			12-5-2043		210,000		267,225
CVS Health Corporation		2.13			6-1-2021		260,000		263,031
HCA Incorporated		5.50			6-15-2047		500,000		598,527
Humana Incorporated		3.15			12-1-2022		210,000		220,059
Kaiser Foundation Hospitals		4.88			4-1-2042		175,000		230,145
Laboratory Corporation of America Holdings		3.75			8-23-2022		39,000		41,208
Laboratory Corporation of America Holdings		4.00			11-1-2023		105,000		113,425
McKesson Corporation		2.85			3-15-2023		140,000		146,717
Unitedhealth Group Incorporated		4.20			1-15-2047		200,000		248,647
UnitedHealth Group Incorporated		4.25			3-15-2043		175,000		216,813
UnitedHealth Group Incorporated		4.25			4-15-2047		300,000		375,682
UnitedHealth Group Incorporated		4.25			6-15-2048		300,000		380,989
UnitedHealth Group Incorporated		5.80			3-15-2036		175,000		246,851
UnitedHealth Group Incorporated		6.63			11-15-2037		105,000		162,052
WellPoint Incorporated		3.13			5-15-2022		350,000		366,484
WellPoint Incorporated		3.30			1-15-2023		200,000		212,253
WellPoint Incorporated		4.65			1-15-2043		315,000		389,939
WellPoint Incorporated		4.65			8-15-2044		50,000		62,279
WellPoint Incorporated		5.85			1-15-2036		200,000		264,526
									7,661,938
Life Sciences Tools & Services : 0.38%
Agilent Technologies Incorporated		3.88			7-15-2023		105,000		112,791
Thermo Fisher Scientific Incorporated		3.00			4-15-2023		200,000		212,939
Thermo Fisher Scientific Incorporated		4.15			2-1-2024		280,000		311,890
Thermo Fisher Scientific Incorporated		5.30			2-1-2044		140,000		198,373
									835,993
Pharmaceuticals : 3.29%
Bristol-Myers Squibb Company 144A		3.25			8-15-2022		350,000		369,757
Bristol-Myers Squibb Company		3.25			11-1-2023		109,000		118,200
Bristol-Myers Squibb Company		3.25			8-1-2042		175,000		198,459
Bristol-Myers Squibb Company 144A		3.88			8-15-2025		175,000		198,852
Bristol-Myers Squibb Company		4.50			3-1-2044		200,000		265,293
Bristol-Myers Squibb Company 144A		4.63			5-15-2044		240,000		318,963
Eli Lilly & Company		2.75			6-1-2025		70,000		75,356
Eli Lilly & Company		3.95			3-15-2049		600,000		757,211
GlaxoSmithKline Capital Incorporated		2.80			3-18-2023		140,000		148,734
GlaxoSmithKline Capital Incorporated		5.38			4-15-2034		210,000		287,384
Johnson & Johnson		3.38			12-5-2023		300,000		331,995
Johnson & Johnson		3.70			3-1-2046		175,000		215,254
Johnson & Johnson		4.38			12-5-2033		200,000		262,267
Johnson & Johnson		4.85			5-15-2041		140,000		197,487
Johnson & Johnson		4.95			5-15-2033		126,000		173,518
Merck & Company Incorporated		2.35			2-10-2022		250,000		258,095
Merck & Company Incorporated		2.75			2-10-2025		270,000		295,662
Merck & Company Incorporated		3.70			2-10-2045		200,000		241,210
Mylan Incorporated		4.20			11-29-2023		200,000		212,635
Novartis Capital Corporation		2.40			9-21-2022		350,000		365,542
Novartis Capital Corporation		3.70			9-21-2042		175,000		209,925
Pfizer Incorporated		3.00			12-15-2026		400,000		455,610
Pfizer Incorporated		3.90			3-15-2039		200,000		241,093
Pfizer Incorporated		4.30			6-15-2043		210,000		266,094
Schering-Plough Corporation		6.50			12-1-2033		175,000		268,010

8

Wells Fargo Investment Grade Corporate Bond Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Pharmaceuticals (continued)
Zoetis Incorporated		4.70	%		2-1-2043	$	350,000	$	447,870
									7,180,476
Industrials : 8.70%
Aerospace & Defense : 2.41%
General Dynamics Corporation		2.25			11-15-2022		350,000		362,731
General Dynamics Corporation		3.88			7-15-2021		140,000		144,174
Lockheed Martin Corporation		3.35			9-15-2021		97,000		100,767
Lockheed Martin Corporation		4.07			12-15-2042		229,000		285,806
Lockheed Martin Corporation		4.70			5-15-2046		350,000		477,366
Lockheed Martin Corporation		6.15			9-1-2036		122,000		175,561
Northrop Grumman Corporation		4.03			10-15-2047		400,000		484,656
Northrop Grumman Corporation		5.05			11-15-2040		70,000		91,197
Northrop Grumman Corporation		7.75			2-15-2031		210,000		313,702
Precision Castparts Corporation		2.50			1-15-2023		175,000		181,779
Precision Castparts Corporation		3.90			1-15-2043		140,000		155,413
Raytheon Company		2.50			12-15-2022		245,000		254,258
Raytheon Company		7.20			8-15-2027		84,000		111,560
Rockwell Collins Incorporated		3.70			12-15-2023		245,000		263,129
Rockwell Collins Incorporated		4.80			12-15-2043		175,000		214,316
Textron Incorporated		4.30			3-1-2024		140,000		148,455
The Boeing Company		2.60			10-30-2025		300,000		286,976
The Boeing Company		2.80			3-1-2023		200,000		197,474
The Boeing Company		3.20			3-1-2029		200,000		189,133
The Boeing Company		5.88			2-15-2040		21,000		22,767
United Technologies Corporation		3.75			11-1-2046		200,000		225,060
United Technologies Corporation		7.50			9-15-2029		400,000		572,982
									5,259,262
Air Freight & Logistics : 0.95%
FedEx Corporation		3.88			8-1-2042		140,000		134,361
FedEx Corporation		4.00			1-15-2024		203,000		224,658
FedEx Corporation		4.55			4-1-2046		350,000		364,688
FedEx Corporation		4.90			1-15-2034		175,000		205,574
FedEx Corporation		5.10			1-15-2044		210,000		236,112
United Parcel Service Incorporated		2.35			5-16-2022		300,000		309,429
United Parcel Service Incorporated		2.45			10-1-2022		280,000		291,968
United Parcel Service Incorporated		6.20			1-15-2038		206,000		300,952
									2,067,742
Airlines : 0.17%
American Airlines Incorporated		3.20			12-15-2029		52,979		47,451
American Airlines Incorporated		3.38			11-1-2028		24,076		18,682
American Airlines Incorporated		4.95			7-15-2024		102,384		80,376
Delta Air Lines Incorporated		6.82			2-10-2024		31,717		29,421
United Airlines Incorporated		4.30			2-15-2027		167,377		152,059
US Airways Group Incorporated		3.95			5-15-2027		64,760		52,146
									380,135
Building Products : 0.09%
Masco Corporation		4.38			4-1-2026		190,000		207,566
Commercial Services & Supplies : 0.54%
Cintas Corporation No. 2		3.25			6-1-2022		70,000		72,779
Republic Services Incorporated		2.90			7-1-2026		260,000		281,778
Republic Services Incorporated		5.25			11-15-2021		35,000		37,262
Waste Management Incorporated		4.10			3-1-2045		650,000		776,367
									1,168,186

9

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Investment Grade Corporate Bond Portfolio

	Interest rate			Maturity date		Principal		Value
Industrial Conglomerates : 0.98%
3M Company		5.70	%		3-15-2037	$	227,000	$	305,539
General Electric Company		3.10			1-9-2023		300,000		308,983
General Electric Company		4.13			10-9-2042		400,000		368,424
General Electric Company		4.50			3-11-2044		200,000		198,792
General Electric Company		5.88			1-14-2038		200,000		223,374
Honeywell International Incorporated		3.35			12-1-2023		140,000		152,829
Honeywell International Incorporated		3.81			11-21-2047		500,000		590,296
									2,148,237
Machinery : 0.94%
Caterpillar Incorporated		3.80			8-15-2042		105,000		124,301
Caterpillar Incorporated		4.75			5-15-2064		300,000		395,024
Deere & Company		2.60			6-8-2022		350,000		363,054
Deere & Company		5.38			10-16-2029		210,000		269,687
Dover Corporation		5.38			10-15-2035		140,000		182,021
Illinois Tool Works Incorporated		3.38			9-15-2021		84,000		86,455
Illinois Tool Works Incorporated		3.90			9-1-2042		214,000		252,584
Parker Hannifin Corporation		3.50			9-15-2022		70,000		73,176
Parker Hannifin Corporation		6.25			5-15-2038		42,000		55,434
Stanley Black & Decker Incorporated		2.90			11-1-2022		245,000		256,052
									2,057,788
Professional Services : 0.09%
Verisk Analytics Incorporated		4.13			9-12-2022		175,000		187,210
Road & Rail : 2.25%
Burlington Northern Santa Fe LLC		3.00			3-15-2023		210,000		222,063
Burlington Northern Santa Fe LLC		3.40			9-1-2024		210,000		231,952
Burlington Northern Santa Fe LLC		4.55			9-1-2044		210,000		261,189
Burlington Northern Santa Fe LLC		4.95			9-15-2041		140,000		178,502
Burlington Northern Santa Fe LLC		5.15			9-1-2043		210,000		280,591
CSX Corporation		3.40			8-1-2024		278,000		302,555
CSX Corporation		4.50			8-1-2054		350,000		440,930
CSX Corporation		4.75			5-30-2042		161,000		200,825
CSX Corporation		6.22			4-30-2040		140,000		200,717
Kansas City Southern		3.00			5-15-2023		51,000		52,018
Kansas City Southern		4.30			5-15-2043		140,000		160,855
Norfolk Southern Corporation		2.90			6-15-2026		250,000		273,878
Norfolk Southern Corporation		2.90			2-15-2023		400,000		420,854
Norfolk Southern Corporation		3.15			6-1-2027		300,000		326,022
Norfolk Southern Corporation		3.85			1-15-2024		140,000		152,827
Union Pacific Corporation		2.75			4-15-2023		200,000		210,123
Union Pacific Corporation		3.25			1-15-2025		175,000		190,522
Union Pacific Corporation		3.75			3-15-2024		140,000		152,737
Union Pacific Corporation		3.80			10-1-2051		200,000		232,713
Union Pacific Corporation		4.15			1-15-2045		175,000		205,729
Union Pacific Corporation		4.30			6-15-2042		175,000		205,874
									4,903,476
Trading Companies & Distributors : 0.28%
Air Lease Corporation		3.25			3-1-2025		200,000		185,097
GATX Corporation		4.85			6-1-2021		70,000		71,366
W.W. Grainger Incorporated		4.60			6-15-2045		280,000		344,460
									600,923
Information Technology : 6.92%
Communications Equipment : 0.48%
Cisco Systems Incorporated		2.20			9-20-2023		300,000		318,968
Cisco Systems Incorporated		2.95			2-28-2026		340,000		382,235
Cisco Systems Incorporated		3.00			6-15-2022		340,000		358,660
									1,059,863

10

Wells Fargo Investment Grade Corporate Bond Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Electronic Equipment, Instruments & Components : 0.15%
Corning Incorporated		5.75	%		8-15-2040	$	105,000	$	132,170
Keysight Technologies Incorporated		4.55			10-30-2024		175,000		193,790
									325,960
IT Services : 1.29%
Fidelity National Information Services Incorporated		3.00			8-15-2026		400,000		441,566
Fidelity National Information Services Incorporated		3.50			4-15-2023		49,000		52,262
Fiserv Incorporated		3.85			6-1-2025		210,000		234,089
IBM Corporation		1.88			8-1-2022		280,000		288,711
IBM Corporation		3.38			8-1-2023		210,000		227,739
IBM Corporation		5.88			11-29-2032		175,000		249,451
IBM Corporation		7.00			10-30-2025		210,000		276,971
Mastercard Incorporated		3.50			2-26-2028		400,000		461,013
Total System Services Incorporated		3.75			6-1-2023		105,000		111,832
Visa Incorporated		2.75			9-15-2027		300,000		332,951
Western Union Company		6.20			11-17-2036		122,000		134,242
									2,810,827
Semiconductors & Semiconductor Equipment : 2.33%
Analog Devices Incorporated		2.88			6-1-2023		105,000		110,239
Applied Materials Incorporated		4.30			6-15-2021		210,000		218,273
Applied Materials Incorporated		5.85			6-15-2041		140,000		205,280
Broadcom Incorporated		3.88			1-15-2027		300,000		315,647
Broadcom Incorporated 144A		3.63			10-15-2024		1,800,000		1,909,629
Intel Corporation		2.60			5-19-2026		220,000		240,304
Intel Corporation		4.10			5-19-2046		300,000		366,760
Intel Corporation		4.25			12-15-2042		175,000		219,225
Intel Corporation		4.90			7-29-2045		230,000		318,220
Qualcomm Incorporated		3.25			5-20-2027		200,000		222,571
Qualcomm Incorporated		3.45			5-20-2025		700,000		778,395
Texas Instruments Incorporated		2.25			5-1-2023		175,000		184,984
									5,089,527
Software : 1.26%
Autodesk Incorporated		3.60			12-15-2022		175,000		182,260
Microsoft Corporation		3.75			5-1-2043		33,000		40,007
Microsoft Corporation		4.50			2-6-2057		750,000		1,083,408
Microsoft Corporation		5.20			6-1-2039		77,000		111,760
Oracle Corporation		3.40			7-8-2024		200,000		219,435
Oracle Corporation		4.00			7-15-2046		350,000		406,741
Oracle Corporation		4.30			7-8-2034		175,000		214,649
Oracle Corporation		4.38			5-15-2055		200,000		252,846
Salesforce.com Incorporated		3.70			4-11-2028		200,000		230,702
									2,741,808
Technology Hardware, Storage & Peripherals : 1.41%
Apple Incorporated		3.35			2-9-2027		200,000		226,800
Apple Incorporated		3.75			11-13-2047		400,000		483,169
Apple Incorporated		4.38			5-13-2045		350,000		458,527
Apple Incorporated		4.65			2-23-2046		200,000		274,885
Dell International LLC 144A		8.10			7-15-2036		400,000		484,523
Diamond 1 Finance Corporation		4.42			6-15-2021		400,000		407,502
Hewlett-Packard Enterprise Company		6.00			9-15-2041		332,000		370,403
Seagate HDD		4.75			1-1-2025		350,000		372,120
									3,077,929
Materials : 2.78%
Chemicals : 1.46%
Air Products & Chemicals Incorporated		3.00			11-3-2021		175,000		180,842

11

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Investment Grade Corporate Bond Portfolio

	Interest rate			Maturity date		Principal		Value
Chemicals (continued)
Dow Chemical Company		3.50	%		10-1-2024	$	200,000	$	211,980
Dow Chemical Company		4.25			10-1-2034		175,000		191,730
Dow Chemical Company		5.25			11-15-2041		175,000		208,372
Eastman Chemical Company		4.80			9-1-2042		140,000		158,607
Ecolab Incorporated		4.35			12-8-2021		286,000		303,512
Mosaic Company		3.75			11-15-2021		80,000		80,863
Mosaic Company		5.63			11-15-2043		175,000		178,781
Praxair Incorporated		2.45			2-15-2022		140,000		143,842
Praxair Incorporated		2.70			2-21-2023		105,000		109,618
The Sherwin-Williams Company		4.50			6-1-2047		1,200,000		1,427,290
									3,195,437
Containers & Packaging : 0.60%
International Paper Company		3.00			2-15-2027		200,000		212,622
International Paper Company		3.65			6-15-2024		350,000		383,338
International Paper Company		7.30			11-15-2039		175,000		246,779
International Paper Company		7.50			8-15-2021		214,000		229,718
MeadWestvaco Corporation		7.95			2-15-2031		35,000		47,041
Packaging Corporation of America		3.65			9-15-2024		175,000		187,512
									1,307,010
Metals & Mining : 0.64%
Barrick Gold Finance Company LLC		5.70			5-30-2041		210,000		278,903
Newmont Goldcorp Corporation		3.70			3-15-2023		210,000		217,229
Nucor Corporation		4.00			8-1-2023		132,000		143,235
Nucor Corporation		5.20			8-1-2043		140,000		176,109
Nucor Corporation		6.40			12-1-2037		140,000		190,857
Southern Copper Corporation		6.75			4-16-2040		308,000		395,265
									1,401,598
Paper & Forest Products : 0.08%
Georgia-Pacific LLC		8.00			1-15-2024		140,000		172,067
Real Estate : 3.92%
Equity REITs : 3.92%
Alexandria Real Estate Equities Incorporated		4.70			7-1-2030		400,000		475,712
American Campus Communities Incorporated		3.75			4-15-2023		70,000		70,268
American Tower Corporation		3.50			1-31-2023		295,000		314,404
American Tower Corporation		4.00			6-1-2025		350,000		391,665
American Tower Corporation		5.00			2-15-2024		245,000		278,902
AvalonBay Communities Incorporated		3.45			6-1-2025		140,000		151,614
AvalonBay Communities Incorporated		4.20			12-15-2023		175,000		188,202
Boston Properties LP		2.75			10-1-2026		500,000		515,056
Boston Properties LP		3.13			9-1-2023		105,000		109,755
Boston Properties LP		3.80			2-1-2024		300,000		319,841
Boston Properties LP		3.85			2-1-2023		200,000		212,443
Corporate Office Properties LP		3.60			5-15-2023		70,000		70,614
Crown Castle International Corporation		3.70			6-15-2026		350,000		386,339
Crown Castle International Corporation		4.88			4-15-2022		50,000		53,468
Crown Castle International Corporation		5.25			1-15-2023		350,000		385,786
Digital Realty Trust LP		3.63			10-1-2022		140,000		145,344
Digital Realty Trust LP		3.95			7-1-2022		140,000		146,413
Equity One Incorporated		3.75			11-15-2022		175,000		178,337
Essex Portfolio LP		3.25			5-1-2023		70,000		72,268
Federal Realty Investment Trust		4.50			12-1-2044		175,000		184,812
HCP Incorporated		3.15			8-1-2022		70,000		70,514
HCP Incorporated		6.75			2-1-2041		95,000		123,750
Health Care REIT Incorporated		4.00			6-1-2025		210,000		219,346
Health Care REIT Incorporated		4.50			1-15-2024		140,000		147,286
Host Hotels & Resorts Company		3.75			10-15-2023		70,000		68,981
Host Hotels & Resorts Company		4.75			3-1-2023		175,000		175,631
Kilroy Realty Corporation		3.80			1-15-2023		175,000		178,461

12

Wells Fargo Investment Grade Corporate Bond Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Equity REITs (continued)
Kimco Realty Corporation		2.80	%		10-1-2026	$	350,000	$	338,016
Mid-America Apartments LP		4.30			10-15-2023		35,000		36,558
National Retail Properties Incorporated		3.30			4-15-2023		70,000		72,140
Plum Creek Timberlands LP		3.25			3-15-2023		192,000		196,969
Realty Income Corporation		4.65			8-1-2023		210,000		225,136
Simon Property Group LP		3.30			1-15-2026		410,000		411,798
Simon Property Group LP		3.75			2-1-2024		175,000		179,902
Simon Property Group LP		4.75			3-15-2042		175,000		178,966
Ventas Realty LP		3.50			2-1-2025		400,000		398,172
VEREIT Operating Partnership LP		4.60			2-6-2024		98,000		98,089
VEREIT Operating Partnership LP		4.88			6-1-2026		119,000		118,621
Welltower Incorporated		4.95			9-1-2048		400,000		408,899
Weyerhaeuser Company		7.38			3-15-2032		200,000		265,034
									8,563,512
Utilities : 8.61%
Electric Utilities : 6.43%
Alabama Power Company		3.55			12-1-2023		175,000		190,998
Alabama Power Company		3.85			12-1-2042		140,000		161,911
Alabama Power Company		4.15			8-15-2044		105,000		123,731
American Electric Power Company Incorporated		2.95			12-15-2022		300,000		312,822
Appalachian Power Company		3.40			6-1-2025		175,000		189,815
Appalachian Power Company		4.45			6-1-2045		175,000		204,981
Appalachian Power Company		7.00			4-1-2038		70,000		97,130
Arizona Public Service Company		3.15			5-15-2025		105,000		114,638
Arizona Public Service Company		4.50			4-1-2042		70,000		83,191
Baltimore Gas & Electric Company		3.50			8-15-2046		50,000		54,160
Carolina Power & Light Company		2.80			5-15-2022		175,000		181,835
CenterPoint Energy Houston		3.55			8-1-2042		175,000		194,832
CenterPoint Energy Houston		4.50			4-1-2044		175,000		218,213
Commonwealth Edison Company		3.80			10-1-2042		70,000		80,436
Commonwealth Edison Company		5.90			3-15-2036		175,000		241,963
Connecticut Light & Power Company		4.15			6-1-2045		87,000		106,195
Consolidated Edison Company of New York Incorporated Series 07-A		6.30			8-15-2037		175,000		248,034
Consolidated Edison Company of New York Incorporated Series 14-C		4.63			12-1-2054		300,000		376,668
Consolidated Edison Company of New York Incorporated Series 16-C		4.30			12-1-2056		245,000		293,127
DTE Electric Company		3.65			3-15-2024		105,000		113,897
Duke Energy Corporation		3.05			8-15-2022		70,000		73,257
Duke Energy Corporation		3.95			10-15-2023		140,000		152,922
Duke Energy Florida Incorporated		3.85			11-15-2042		70,000		80,513
Duke Energy Indiana Incorporated		4.90			7-15-2043		105,000		138,827
Duke Energy Indiana Incorporated		6.45			4-1-2039		45,000		66,242
Duke Energy Progress Incorporated		4.10			3-15-2043		105,000		124,438
Emera US Finance LP		3.55			6-15-2026		200,000		217,554
Entergy Arkansas Incorporated		3.70			6-1-2024		175,000		190,217
Entergy Gulf States Louisiana LLC		5.59			10-1-2024		84,000		99,438
Eversource Energy		2.80			5-1-2023		122,000		127,413
Exelon Corporation		4.95			6-15-2035		140,000		171,512
Exelon Generation Company LLC		4.25			6-15-2022		157,000		165,428
FirstEnergy Corporation		4.25			3-15-2023		168,000		181,416
Florida Power & Light Company		4.05			6-1-2042		175,000		217,478
Florida Power & Light Company		5.95			2-1-2038		224,000		336,306
Florida Power & Light Company		5.96			4-1-2039		175,000		262,052
Florida Power Corporation		5.65			4-1-2040		87,000		122,971
Georgia Power Company		4.30			3-15-2042		175,000		202,074
Interstate Power & Light Company		6.25			7-15-2039		21,000		29,910
Kansas City Power & Light Company		3.15			3-15-2023		140,000		147,175
MidAmerican Energy Holdings Company		5.95			5-15-2037		210,000		288,166
MidAmerican Energy Holdings Company		6.13			4-1-2036		140,000		202,531
MidAmerican Energy Holdings Company		6.75			12-30-2031		105,000		152,865
Northern States Power Company of Minnesota		2.15			8-15-2022		175,000		180,121
Northern States Power Company of Minnesota		2.60			5-15-2023		105,000		108,927
Northern States Power Company of Minnesota		3.40			8-15-2042		175,000		198,983

13

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Investment Grade Corporate Bond Portfolio

	Interest rate			Maturity date		Principal		Value
Electric Utilities (continued)
Northern States Power Company of Minnesota		5.35	%		11-1-2039	$	28,000	$	39,383
NSTAR Electric Company		2.38			10-15-2022		140,000		144,821
NSTAR Electric Company		5.50			3-15-2040		70,000		94,597
Oglethorpe Power Corporation		5.95			11-1-2039		105,000		137,621
Ohio Edison Company		6.88			7-15-2036		175,000		242,004
Ohio Power Company		5.38			10-1-2021		45,000		47,833
Oncor Electric Delivery Company LLC		4.55			12-1-2041		140,000		179,214
Oncor Electric Delivery Company LLC		7.00			5-1-2032		122,000		175,911
PacifiCorp		3.60			4-1-2024		175,000		191,526
PacifiCorp		4.10			2-1-2042		70,000		81,191
PacifiCorp		5.75			4-1-2037		175,000		233,306
Potomac Electric Power Company		3.60			3-15-2024		175,000		189,782
Potomac Electric Power Company		6.50			11-15-2037		140,000		202,380
PPL Capital Funding Incorporated		4.20			6-15-2022		140,000		148,326
PPL Electric Utilities		4.75			7-15-2043		105,000		133,733
PPL Electric Utilities		6.25			5-15-2039		31,000		45,377
PSEG Power LLC		8.63			4-15-2031		75,000		103,288
Public Service Company of Colorado		2.25			9-15-2022		70,000		71,832
Public Service Electric & Gas Company		2.38			5-15-2023		140,000		145,826
Public Service Electric & Gas Company		3.65			9-1-2042		175,000		201,972
Public Service Electric & Gas Company		3.80			1-1-2043		140,000		164,137
Public Service Electric & Gas Company		3.95			5-1-2042		70,000		82,792
Public Service Electric & Gas Company		5.80			5-1-2037		70,000		97,041
South Carolina Electric & Gas Company		5.10			6-1-2065		100,000		139,788
Southern California Edison Company		3.88			6-1-2021		449,000		458,838
Southern California Edison Company		3.90			3-15-2043		105,000		112,303
Southern California Edison Company		5.35			7-15-2035		126,000		160,831
Southern California Edison Company		5.50			3-15-2040		140,000		181,418
Southern California Edison Company		6.00			1-15-2034		70,000		93,418
Southern Company		2.95			7-1-2023		200,000		211,104
Southwestern Electric Power Company		6.20			3-15-2040		35,000		47,208
TXU Electric Delivery Company		7.25			1-15-2033		52,000		79,485
Union Electric Company		3.90			9-15-2042		175,000		203,405
Union Electric Company		8.45			3-15-2039		56,000		90,827
Virginia Electric & Power Company		3.10			5-15-2025		70,000		75,880
Virginia Electric & Power Company		3.45			2-15-2024		105,000		112,596
Virginia Electric & Power Company		4.20			5-15-2045		105,000		127,396
Virginia Electric & Power Company		4.45			2-15-2044		105,000		131,528
Virginia Electric & Power Company		6.00			1-15-2036		70,000		97,198
Westar Energy Incorporated		4.10			4-1-2043		210,000		246,693
Wisconsin Electric Power Company		5.63			5-15-2033		70,000		89,999
Wisconsin Electric Power Company		5.70			12-1-2036		105,000		146,738
Wisconsin Power & Light Company		6.38			8-15-2037		175,000		249,614
									14,037,473
Gas Utilities : 0.42%
Atmos Energy Corporation		4.13			10-15-2044		245,000		297,628
Atmos Energy Corporation		5.50			6-15-2041		42,000		57,517
CenterPoint Energy Resources Corporation		5.85			1-15-2041		77,000		99,973
National Fuel Gas Company		3.75			3-1-2023		218,000		216,667
One Gas Incorporated		3.61			2-1-2024		70,000		75,370
One Gas Incorporated		4.66			2-1-2044		35,000		42,921
Piedmont Natural Gas Company		4.65			8-1-2043		35,000		41,881
Southern California Gas Company		5.13			11-15-2040		70,000		89,760
									921,717
Multi-Utilities : 1.65%
Black Hills Corporation		4.25			11-30-2023		210,000		225,494
CMS Energy Corporation		5.05			3-15-2022		245,000		258,612
Consumers Energy Company		3.95			5-15-2043		140,000		171,714
Dominion Resources Incorporated		2.75			9-15-2022		210,000		218,412
Dominion Resources Incorporated		4.90			8-1-2041		42,000		49,913
Dominion Resources Incorporated		5.95			6-15-2035		157,000		201,520
DTE Energy Company		3.30			6-15-2022		70,000		72,875
DTE Energy Company		3.85			12-1-2023		170,000		183,646
Entergy Louisiana LLC		4.20			4-1-2050		500,000		629,369

14

Wells Fargo Investment Grade Corporate Bond Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Multi-Utilities (continued)
NiSource Finance Corporation		5.65	%		2-1-2045	$	140,000	$	187,345
Puget Energy Incorporated		3.65			5-15-2025		140,000		143,393
Puget Energy Incorporated		6.00			9-1-2021		175,000		184,046
Sempra Energy		2.88			10-1-2022		140,000		144,500
Sempra Energy		3.25			6-15-2027		300,000		320,196
Sempra Energy		4.00			2-1-2048		400,000		447,672
WEC Energy Group Incorporated		3.55			6-15-2025		140,000		153,070
									3,591,777
Water Utilities : 0.11%
American Water Capital Corporation		3.40			3-1-2025		210,000		231,518
Total Corporate Bonds and Notes (Cost $160,059,270)									177,407,399
Yankee Corporate Bonds and Notes : 15.07%
Communication Services : 1.46%
Diversified Telecommunication Services : 0.51%
British Telecommunications plc		9.63			12-15-2030		200,000		317,904
Telefonica Emisiones SA		4.90			3-6-2048		300,000		350,794
Telefonica Europe BV		8.25			9-15-2030		294,000		439,412
									1,108,110
Wireless Telecommunication Services : 0.95%
America Movil SAB de CV		4.38			4-22-2049		500,000		591,000
Rogers Communications Incorporated		4.35			5-1-2049		300,000		364,478
Vodafone Group plc		2.95			2-19-2023		190,000		200,198
Vodafone Group plc		4.38			2-19-2043		350,000		395,525
Vodafone Group plc		6.25			11-30-2032		210,000		284,128
Vodafone Group plc		7.88			2-15-2030		175,000		250,725
									2,086,054
Consumer Discretionary : 0.51%
Auto Components : 0.09%
Magna International Incorporated		4.15			10-1-2025		175,000		193,987
Internet & Direct Marketing Retail : 0.42%
Alibaba Group Holding Limited		3.13			11-28-2021		250,000		257,056
Alibaba Group Holding Limited		3.40			12-6-2027		400,000		443,857
Alibaba Group Holding Limited		3.60			11-28-2024		200,000		217,361
									918,274
Consumer Staples : 0.18%
Beverages : 0.18%
Diageo Capital plc		2.63			4-29-2023		210,000		220,695
Diageo Capital plc		5.88			9-30-2036		122,000		169,369
									390,064
Energy : 1.51%
Oil, Gas & Consumable Fuels : 1.51%
BP Capital Markets plc		3.81			2-10-2024		350,000		383,119
Canadian Natural Resources Limited		3.85			6-1-2027		200,000		206,591
Canadian Natural Resources Limited		3.90			2-1-2025		210,000		221,459
Canadian Natural Resources Limited		4.95			6-1-2047		200,000		211,738
Canadian Natural Resources Limited		6.75			2-1-2039		110,000		125,283
Encana Corporation		6.50			8-15-2034		200,000		158,174
Husky Energy Incorporated		6.80			9-15-2037		70,000		74,253

15

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Investment Grade Corporate Bond Portfolio

	Interest rate			Maturity date		Principal		Value
Oil, Gas & Consumable Fuels (continued)
Petro-Canada		5.95	%		5-15-2035	$	140,000	$	161,847
Suncor Energy Incorporated		5.95			12-1-2034		52,000		60,825
Total Capital Canada Limited		2.75			7-15-2023		245,000		259,722
Total Capital International SA		2.70			1-25-2023		385,000		404,217
Total Capital International SA		2.88			2-17-2022		175,000		181,276
Total Capital International SA		3.75			4-10-2024		350,000		387,139
TransCanada PipeLines Limited		3.75			10-16-2023		175,000		188,198
TransCanada PipeLines Limited		6.10			6-1-2040		210,000		273,526
									3,297,367
Financials : 9.23%
Banks : 7.13%
Bank of Montreal		1.90			8-27-2021		470,000		478,503
Bank of Montreal		2.35			9-11-2022		200,000		208,481
Bank of Montreal (3 Month LIBOR +1.43%) ±		3.80			12-15-2032		600,000		625,398
Bank of Nova Scotia		2.45			9-19-2022		300,000		312,437
Bank of Nova Scotia		4.50			12-16-2025		500,000		559,123
Barclays plc		4.38			1-12-2026		200,000		219,968
Barclays plc		5.25			8-17-2045		400,000		511,648
BNP Paribas		4.25			10-15-2024		400,000		432,656
BPCE SA		2.75			12-2-2021		330,000		338,993
Cooperatieve Rabobank UA		3.75			7-21-2026		780,000		844,109
Credit Suisse Group Funding Limited		4.55			4-17-2026		950,000		1,077,626
HSBC Holdings plc		4.00			3-30-2022		200,000		210,592
HSBC Holdings plc (3 Month LIBOR +1.53%) ±		4.58			6-19-2029		400,000		453,681
HSBC Holdings plc		4.88			1-14-2022		175,000		185,524
ING Banking Group plc		4.55			10-2-2028		900,000		1,052,489
Lloyds Banking Group plc		4.58			12-10-2025		250,000		270,582
Lloyds Banking Group plc		5.30			12-1-2045		300,000		375,118
Mitsubishi UFJ Financial Group Incorporated		2.19			9-13-2021		600,000		611,337
Mitsubishi UFJ Financial Group Incorporated		3.68			2-22-2027		200,000		220,140
Mizuho Financial Group		3.17			9-11-2027		600,000		630,009
National Australia Bank Limited		2.50			7-12-2026		800,000		845,538
Rabobank Nederland NV		3.88			2-8-2022		250,000		263,354
Royal Bank of Canada		4.65			1-27-2026		700,000		804,093
Royal Bank of Scotland Group plc		3.88			9-12-2023		300,000		317,668
Royal Bank of Scotland Group plc		4.80			4-5-2026		400,000		448,107
Santander UK plc		4.00			3-13-2024		200,000		218,610
Sumitomo Mitsui Banking Corporation		3.95			7-19-2023		250,000		268,559
Sumitomo Mitsui Financial Group		3.01			10-19-2026		655,000		705,304
Toronto Dominion Bank		1.80			7-13-2021		200,000		202,890
Toronto Dominion Bank		3.50			7-19-2023		300,000		326,240
Toronto Dominion Bank (3 Month LIBOR +2.21%) ±		3.63			9-15-2031		525,000		570,922
Westpac Banking Corporation		2.50			6-28-2022		200,000		207,523
Westpac Banking Corporation		2.85			5-13-2026		700,000		760,771
									15,557,993
Capital Markets : 0.08%
Invesco Finance plc		4.00			1-30-2024		175,000		185,826
Diversified Financial Services : 1.78%
AerCap Ireland Capital DAC		3.95			2-1-2022		520,000		490,016
Barrick Australian Finance Proprietary Limited		5.95			10-15-2039		135,000		182,458
BHP Billiton Finance USA Limited		3.85			9-30-2023		200,000		220,239
Brookfield Finance Incorporated		4.25			6-2-2026		200,000		214,792
ConocoPhillips Canada Funding Company		5.95			10-15-2036		210,000		280,975
GE Capital International Funding Company		3.37			11-15-2025		550,000		558,968
Medtronic Global Holdings Company		3.35			4-1-2027		300,000		335,722
Shell International Finance BV		2.25			1-6-2023		175,000		182,426
Shell International Finance BV		2.38			8-21-2022		175,000		181,619
Shell International Finance BV		2.88			5-10-2026		230,000		250,892
Shell International Finance BV		3.25			5-11-2025		350,000		387,933

16

Wells Fargo Investment Grade Corporate Bond Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Diversified Financial Services (continued)
Shell International Finance BV		3.40	%		8-12-2023	$	175,000	$	189,798
Shell International Finance BV		3.63			8-21-2042		175,000		195,823
WPP Finance Limited 2010		3.75			9-19-2024		200,000		212,979
									3,884,640
Insurance : 0.24%
Aon plc		3.88			12-15-2025		200,000		220,621
Aon plc		4.00			11-27-2023		105,000		114,495
XLIT Limited		5.25			12-15-2043		140,000		187,519
									522,635
Health Care : 0.78%
Health Care Equipment & Supplies : 0.12%
Koninklijke Philips Electronics NV		6.88			3-11-2038		175,000		258,079
Pharmaceuticals : 0.66%
AstraZeneca plc		3.38			11-16-2025		500,000		558,567
AstraZeneca plc		4.38			11-16-2045		200,000		259,849
Shire plc ADR		3.20			9-23-2026		560,000		618,218
									1,436,634
Industrials : 0.51%
Machinery : 0.16%
Ingersoll-Rand Luxembourg Finance SA		4.50			3-21-2049		300,000		344,890
Professional Services : 0.16%
Thomson Reuters Corporation		4.30			11-23-2023		210,000		229,335
Thomson Reuters Corporation		5.85			4-15-2040		94,000		117,208
									346,543
Road & Rail : 0.19%
Canadian National Railway Company		6.20			6-1-2036		140,000		203,067
Canadian Pacific Railway Company		4.45			3-15-2023		140,000		150,740
Canadian Pacific Railway Company		5.95			5-15-2037		45,000		64,133
									417,940
Materials : 0.89%
Chemicals : 0.52%
LyondellBasell Industries NV		4.63			2-26-2055		350,000		375,284
Nutrien Limited		3.63			3-15-2024		200,000		214,373
Nutrien Limited		5.00			4-1-2049		200,000		246,052
Nutrien Limited		5.63			12-1-2040		140,000		164,669
Nutrien Limited		6.13			1-15-2041		115,000		145,759
									1,146,137
Metals & Mining : 0.37%
Rio Tinto Finance (USA) Limited		4.13			8-21-2042		175,000		215,097
Vale Overseas Limited		6.88			11-21-2036		382,000		477,385
Vale Overseas Limited		6.88			11-10-2039		91,000		113,523
									806,005
Total Yankee Corporate Bonds and Notes (Cost $30,017,496)									32,901,178

17

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Investment Grade Corporate Bond Portfolio

			Yield			Shares		Value
Short-Term Investments : 2.85%
Investment Companies : 2.85%
Wells Fargo Government Money Market Fund Select Class (l)(u)				0.12	%		6,219,212	$	6,219,212
Total Short-Term Investments (Cost $6,219,212)									6,219,212
Total investments in securities (Cost $196,295,978)	99.20	%							216,527,789
Other assets and liabilities, net	0.80								1,736,895
Total net assets	100.00	%						$	218,264,684

144A The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933.

± Variable rate investment. The rate shown is the rate in effect at period end.

(l) The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

(u) The rate represents the 7-day annualized yield at period end.

Abbreviations:

ADR	American depositary receipt
LIBOR	London Interbank Offered Rate
REIT	Real estate investment trust

18

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Shares, beginning of period		Shares purchased		Shares sold			Shares, end of period		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		289,733		27,017,216		(21,087,737	)		6,219,212	$	6,219,212		2.85	%

Wells Fargo Investment Grade Corporate Bond Portfolio (the “Portfolio”)

Notes to Portfolio of investments – May 31, 2020 (unaudited)

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Portfolio may deviate from this calculation under unusual or unexpected circumstances.

Debt securities are valued at the evaluated bid price provided by an independent pricing service (e.g. taking into account various factors, including yields, maturities, or credit ratings) or, if a reliable price is not available, the quoted bid price from an independent broker-dealer.

The values of securities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC.

Investments in registered open-end investment companies are valued at net asset value.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee. The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

Foreign currency translation

The accounting records of the Portfolio are maintained in U.S. dollars. The values of other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee. Purchases and sales of securities, and income and expenses are converted at the rate of exchange on the respective dates of such transactions. Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded and the U.S. dollar equivalent of the amounts actually paid or received. Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities other than investments in securities resulting from changes in exchange rates. The changes in net assets arising from changes in exchange rates of securities and the changes in net assets resulting from changes in market prices of securities are not separately presented. Such changes are included in net realized and unrealized gains or losses from investments.

Fair valuation measurements

Fair value measurements of investments are determined within a framework that has established a fair value hierarchy based upon the various data inputs utilized in determining the value of the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

Level 1	–	quoted prices in active markets for identical securities
Level 2	–	other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3	–	significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of May 31, 2020:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in :
Corporate bonds and notes	$	0	$	177,407,399	$	0	$	177,407,399
Yankee corporate bonds and notes		0		32,901,178		0		32,901,178
Short-term investments
Investment companies		6,219,212		0		0		6,219,212
Total assets	$	6,219,212	$	210,308,577	$	0	$	216,527,789

Additional sector, industry or geographic detail is included in the Portfolio of Investments.

For the three months ended May 31, 2020, the Portfolio did not have any transfers into/out of Level 3.

Wells Fargo Strategic Retirement Bond Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Interest rate			Maturity date		Principal		Value
Agency Securities : 1.89%
FHLB		2.00	%		9-9-2022	$	200,000	$	207,808
FHLB		2.13			6-9-2023		35,000		36,894
FHLB		2.38			9-10-2021		200,000		205,406
FHLB		2.75			12-13-2024		20,000		22,069
FHLB		3.25			6-9-2023		50,000		54,404
FNMA		1.38			10-7-2021		295,000		299,671
FNMA		1.88			9-24-2026		55,000		59,033
FNMA		2.13			4-24-2026		28,000		30,439
FNMA		2.63			9-6-2024		100,000		109,470
FNMA		2.88			9-12-2023		175,000		189,859
Total Agency Securities (Cost $1,166,818)									1,215,053
U.S. Treasury Securities : 96.08%
TIPS		0.13			1-15-2022		1,494,042		1,497,409
TIPS		0.13			4-15-2022		1,727,992		1,733,102
TIPS		0.13			7-15-2022		749,830		758,525
TIPS		0.13			1-15-2023		1,536,572		1,553,562
TIPS		0.13			7-15-2024		1,460,002		1,501,748
TIPS		0.13			10-15-2024		1,151,996		1,187,527
TIPS		0.13			4-15-2025		694,548		717,014
TIPS		0.13			7-15-2026		659,063		687,604
TIPS		0.13			1-15-2030		857,822		910,421
TIPS		0.25			1-15-2025		773,786		800,070
TIPS		0.25			7-15-2029		600,444		644,510
TIPS		0.38			7-15-2023		1,852,381		1,903,596
TIPS		0.38			7-15-2025		1,681,748		1,764,703
TIPS		0.38			1-15-2027		1,469,339		1,557,055
TIPS		0.38			7-15-2027		73,868		78,964
TIPS		0.50			4-15-2024		639,681		662,494
TIPS		0.50			1-15-2028		1,386,599		1,495,408
TIPS		0.63			7-15-2021		560,052		564,514
TIPS		0.63			4-15-2023		1,210,691		1,242,388
TIPS		0.63			1-15-2024		1,289,946		1,338,625
TIPS		0.63			1-15-2026		776,755		826,574
TIPS		0.75			7-15-2028		930,657		1,031,154
TIPS		0.88			1-15-2029		966,074		1,081,583
TIPS		1.75			1-15-2028		726,974		855,087
TIPS		2.00			1-15-2026		864,879		987,788
TIPS		2.38			1-15-2025		1,196,882		1,356,650
TIPS		2.38			1-15-2027		586,245		700,910
TIPS		2.50			1-15-2029		583,116		735,953
TIPS		3.63			4-15-2028		79,799		105,742
TIPS		3.88			4-15-2029		745,855		1,034,796
U.S. Treasury Bond		2.88			5-15-2028		645,000		762,032
U.S. Treasury Bond		6.13			11-15-2027		215,000		303,788
U.S. Treasury Bond		6.13			8-15-2029		115,000		172,230
U.S. Treasury Bond		6.38			8-15-2027		125,000		177,207
U.S. Treasury Bond		6.88			8-15-2025		20,000		26,763
U.S. Treasury Note		1.13			7-31-2021		493,000		498,296
U.S. Treasury Note		1.13			9-30-2021		510,000		516,335
U.S. Treasury Note		1.25			10-31-2021		513,000		520,735
U.S. Treasury Note		1.25			7-31-2023		488,000		504,127
U.S. Treasury Note		1.38			6-30-2023		489,000		506,688
U.S. Treasury Note		1.38			8-31-2023		490,000		508,509
U.S. Treasury Note		1.38			9-30-2023		339,000		352,110
U.S. Treasury Note		1.38			8-31-2026		380,000		401,746
U.S. Treasury Note		1.50			3-31-2023		40,000		41,488
U.S. Treasury Note		1.50			8-15-2026		325,000		345,973
U.S. Treasury Note		1.63			8-15-2022		365,000		376,677
U.S. Treasury Note		1.63			11-15-2022		20,000		20,708
U.S. Treasury Note		1.63			4-30-2023		483,000		503,075
U.S. Treasury Note		1.63			5-31-2023		435,000		453,555

1

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo Strategic Retirement Bond Portfolio

	Interest rate			Maturity date		Principal		Value
U.S. Treasury Securities (continued)
U.S. Treasury Note		1.63	%		10-31-2023	$	486,000	$	509,389
U.S. Treasury Note		1.63			2-15-2026		663,000		708,866
U.S. Treasury Note		1.63			5-15-2026		54,000		57,822
U.S. Treasury Note		1.75			2-28-2022		483,000		496,245
U.S. Treasury Note		1.75			3-31-2022		484,000		497,934
U.S. Treasury Note		1.75			5-31-2022		507,000		522,883
U.S. Treasury Note		1.75			6-30-2022		305,000		314,996
U.S. Treasury Note		1.75			9-30-2022		420,000		435,405
U.S. Treasury Note		1.75			1-31-2023		10,000		10,416
U.S. Treasury Note		1.75			5-15-2023		130,000		135,941
U.S. Treasury Note		1.88			2-28-2022		450,000		463,324
U.S. Treasury Note		1.88			4-30-2022		505,000		521,373
U.S. Treasury Note		1.88			8-31-2022		417,000		432,996
U.S. Treasury Note		1.88			8-31-2024		160,000		170,869
U.S. Treasury Note		1.88			7-31-2026		20,000		21,748
U.S. Treasury Note		2.00			10-31-2021		479,000		491,312
U.S. Treasury Note		2.00			2-15-2022		10,000		10,310
U.S. Treasury Note		2.00			7-31-2022		190,000		197,511
U.S. Treasury Note		2.00			11-30-2022		10,000		10,453
U.S. Treasury Note		2.00			2-15-2023		285,000		298,972
U.S. Treasury Note		2.00			4-30-2024		10,000		10,685
U.S. Treasury Note		2.00			5-31-2024		269,000		287,735
U.S. Treasury Note		2.00			6-30-2024		185,000		198,116
U.S. Treasury Note		2.00			2-15-2025		597,000		644,434
U.S. Treasury Note		2.00			8-15-2025		645,000		700,102
U.S. Treasury Note		2.00			11-15-2026		520,000		570,802
U.S. Treasury Note		2.13			12-31-2021		474,000		488,535
U.S. Treasury Note		2.13			12-31-2022		510,000		535,480
U.S. Treasury Note		2.13			2-29-2024		378,000		404,652
U.S. Treasury Note		2.13			3-31-2024		500,000		535,957
U.S. Treasury Note		2.13			5-15-2025		75,000		81,650
U.S. Treasury Note		2.25			7-31-2021		463,000		474,051
U.S. Treasury Note		2.25			12-31-2023		472,000		506,183
U.S. Treasury Note		2.25			1-31-2024		474,000		509,050
U.S. Treasury Note		2.25			10-31-2024		490,000		532,377
U.S. Treasury Note		2.25			11-15-2024		10,000		10,872
U.S. Treasury Note		2.25			2-15-2027		485,000		541,836
U.S. Treasury Note		2.25			8-15-2027		480,000		539,438
U.S. Treasury Note		2.25			11-15-2027		650,000		732,443
U.S. Treasury Note		2.38			5-15-2027		453,000		511,483
U.S. Treasury Note		2.50			1-15-2022		585,000		606,983
U.S. Treasury Note		2.50			5-15-2024		455,000		495,292
U.S. Treasury Note		2.63			12-31-2023		375,000		407,095
U.S. Treasury Note		2.63			3-31-2025		345,000		383,368
U.S. Treasury Note		2.63			1-31-2026		445,000		500,677
U.S. Treasury Note		2.75			9-15-2021		560,000		578,419
U.S. Treasury Note		2.75			8-31-2023		15,000		16,234
U.S. Treasury Note		2.75			11-15-2023		76,000		82,632
U.S. Treasury Note		2.75			2-15-2024		585,000		639,227
U.S. Treasury Note		2.75			8-31-2025		325,000		365,511
U.S. Treasury Note		2.75			2-15-2028		520,000		607,141
U.S. Treasury Note		2.88			4-30-2025		470,000		528,768
U.S. Treasury Note		2.88			5-31-2025		490,000		552,092
U.S. Treasury Note		2.88			11-30-2025		125,000		142,002
U.S. Treasury Note		2.88			8-15-2028		390,000		462,379
U.S. Treasury Note		3.13			11-15-2028		370,000		447,845
U.S. Treasury Note		6.00			2-15-2026		146,000		192,378
U.S. Treasury Note		6.50			11-15-2026		30,000		41,612
U.S. Treasury Note		6.63			2-15-2027		235,000		330,753
U.S. Treasury Note		6.75			8-15-2026		220,000		305,490
U.S. Treasury Note		8.00			11-15-2021		331,000		368,729
U.S. Treasury Note		8.13			8-15-2021		300,000		328,688
Total U.S. Treasury Securities (Cost $58,815,043)									61,815,479

2

Wells Fargo Strategic Retirement Bond Portfolio Portfolio of investments — May 31, 2020 (unaudited)

			Yield			Shares		Value
Short-Term Investments : 1.73%
Investment Companies : 1.73%
Wells Fargo Government Money Market Fund Select Class (l)(u)				0.12	%		1,109,803	$	1,109,803
Total Short-Term Investments (Cost $1,109,803)									1,109,803
Total investments in securities (Cost $61,091,664)	99.70	%							64,140,335
Other assets and liabilities, net	0.30								194,874
Total net assets	100.00	%						$	64,335,209

(l) The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

(u) The rate represents the 7-day annualized yield at period end.

Abbreviations:

FHLB	Federal Home Loan Bank
FNMA	Federal National Mortgage Association
TIPS	Treasury Inflation-Protected Securities

3

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Shares, beginning of period		Shares purchased		Shares sold			Shares, end of period		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		281,311		3,751,249		(2,922,757	)		1,109,803	$	1,109,803		1.73	%

Wells Fargo Strategic Retirement Bond Portfolio (the “Portfolio”)

Notes to Portfolio of investments – May 31, 2020 (unaudited)

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Portfolio may deviate from this calculation under unusual or unexpected circumstances.

Debt securities are valued at the evaluated bid price provided by an independent pricing service (e.g. taking into account various factors, including yields, maturities, or credit ratings) or, if a reliable price is not available, the quoted bid price from an independent broker-dealer.

Investments in registered open-end investment companies are valued at net asset value.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC. The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

Inflation-indexed bonds and TIPS

The Portfolio may invest in inflation-indexed bonds, including Treasury inflation-protected securities (TIPS). Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation falls, the principal value of inflation-indexed bonds (other than municipal inflation-indexed bonds and certain corporate inflation-indexed bonds) will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal. The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates are tied to the relationship between nominal interest rates and the rate of inflation. If nominal interest rates increase at a faster rate than inflation, real interest rates may rise, leading to a decrease in value of inflation-indexed bonds. Inflation-indexed bonds, including TIPS, decline in value when real interest rates rise. In certain interest rate environments, such as when real interest rates are rising faster than nominal interest rates, inflation-indexed bonds may experience greater losses than other fixed income securities with similar durations.

Fair valuation measurements

Fair value measurements of investments are determined within a framework that has established a fair value hierarchy based upon the various data inputs utilized in determining the value of the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

Level 1	–	quoted prices in active markets for identical securities
Level 2	–	other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3	–	significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of May 31, 2020:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Agency securities	$	0	$	1,215,053	$	0	$	1,215,053
U.S. Treasury securities		61,815,479		0		0		61,815,479
Short-term investments
Investment companies		1,109,803		0		0		1,109,803
Total assets	$	62,925,282	$	1,215,053	$	0	$	64,140,335

Additional sector, industry or geographic detail is included in the Portfolio of Investments.

For the three months ended May 31, 2020, the Portfolio did not have any transfers into/out of Level 3.

Wells Fargo U.S. REIT Portfolio Portfolio of investments — May 31, 2020 (unaudited)

	Shares		Value
Common Stocks : 99.39%
Real Estate : 99.39%
Equity REITs : 99.39%
Acadia Realty Trust		3,180	$	37,301
Alexander & Baldwin Incorporated		2,302		26,266
Alexandria Real Estate Equities Incorporated		4,438		682,209
American Assets Trust Incorporated		1,784		46,687
American Campus Communities Incorporated		4,887		157,850
American Finance Trust Incorporated		3,849		28,175
American Homes 4 Rent Class A		9,166		231,350
Americold Realty Trust		7,253		259,005
Apartment Investment & Management Company Class A		5,324		196,296
Apple Hospitality REIT Incorporated		7,333		74,870
Armada Hoffler Properties Incorporated		1,957		16,869
AvalonBay Communities Incorporated		4,999		779,894
Boston Properties Incorporated		5,005		430,330
Brandywine Realty Trust		6,042		58,305
Brixmor Property Group Incorporated		10,642		118,765
Brookfield Property REIT Class A		1,987		20,645
Camden Property Trust		3,446		315,550
City Office REIT Incorporated		1,890		17,539
Colony Capital Incorporated		16,765		33,698
Columbia Property Trust Incorporated		4,081		51,951
Community Healthcare Trust Incorporated		714		26,004
CoreCivic Incorporated		4,083		49,118
Corporate Office Properties Trust		3,976		99,281
Cousins Properties Incorporated		5,277		164,220
CubeSmart		7,011		199,533
DiamondRock Hospitality		6,691		40,079
Digital Realty Trust Incorporated		9,263		1,329,796
Diversified Healthcare Trust		8,617		30,849
Douglas Emmett Incorporated		5,971		175,309
Duke Realty Corporation		12,881		444,137
Easterly Government Properties Incorporated		2,677		67,112
EastGroup Properties Incorporated		1,367		158,914
Empire State Realty Trust Incorporated Class A		6,560		43,493
Equity Commonwealth		4,170		140,529
Equity Lifestyle Properties Incorporated		5,982		372,679
Equity Residential		13,192		798,908
Essential Properties Realty		3,025		41,261
Essex Property Trust Incorporated		2,376		576,822
Extra Space Storage Incorporated		4,514		436,730
Federal Realty Investment Trust		2,698		215,597
First Industrial Realty Trust Incorporated		4,368		165,460
Gaming and Leisure Properties Incorporated		7,200		248,688
Global Medical REIT Incorporated		1,409		15,104
Healthcare Realty Trust Incorporated		4,737		145,426
Healthcare Trust of America Incorporated Class A		7,765		205,540
Healthpeak Properties Incorporated		18,216		448,842
Highwoods Properties Incorporated		3,711		142,020
Host Hotels & Resorts Incorporated		23,981		286,333
Hudson Pacific Properties Incorporated		5,399		130,494
Independence Realty Trust Incorporated		3,113		30,788
Industrial Logistics Properties Trust		2,225		41,719
Innovative Industrial Properties Incorporated		586		47,888
Investors Real Estate Trust REIT		435		30,842
Invitation Homes Incorporated		19,320		508,116
Iron Mountain Incorporated		10,593		272,876
JBG Smith Properties		4,584		136,282
Kilroy Realty Corporation		4,046		231,108
Kimco Realty Corporation		14,865		165,150
Kite Realty Group Trust		2,975		28,858
Lamar Advertising Company Class A		3,091		204,933
Life Storage Incorporated		1,672		162,987
LTC Properties Incorporated		1,388		51,092
Mack-Cali Realty Corporation		2,906		44,200
Mid-America Apartment Communities Incorporated		4,038		469,862

1

Portfolio of investments — May 31, 2020 (unaudited) Wells Fargo U.S. REIT Portfolio

						Shares		Value
Equity REITs (continued)
National Health Investors Incorporated							1,534	$	85,122
National Storage Affiliates Trust							1,905		57,169
NexPoint Residential Trust Incorporated							787		25,168
Office Properties Income Trust							1,695		42,867
Outfront Media Incorporated							5,009		70,326
Paramount Group Incorporated							6,898		53,184
Park Hotels & Resorts Incorporated							8,095		79,574
Pebblebrook Hotel Trust							4,533		61,921
Piedmont Office Realty Trust Incorporated Class A							4,479		74,710
Prologis Incorporated							25,741		2,355,302
PS Business Parks Incorporated							717		95,820
Public Storage Incorporated							5,385		1,091,755
Regency Centers Corporation							5,902		252,547
Retail Opportunity Investment Corporation							3,967		37,250
Rexford Industrial Realty Incorporated							4,194		166,921
RLJ Lodging Trust							5,592		57,654
RPT Realty							2,737		15,792
Ryman Hospitality Properties Incorporated							1,798		61,456
SBA Communications Corporation							3,982		1,250,866
Seritage Growth Property Class A †							1,120		8,814
Service Properties Trust							5,855		39,521
Simon Property Group Incorporated							11,044		637,239
SL Green Realty Corporation							2,807		118,231
STAG Industrial Incorporated							5,205		140,015
Summit Hotel Properties Incorporated							3,581		22,381
Sun Communities Incorporated							3,130		429,405
Sunstone Hotel Investors Incorporated							7,657		67,764
Tanger Factory Outlet Centers Incorporated							3,081		18,948
Taubman Centers Incorporated							2,164		89,460
Terreno Realty Corporation							2,381		121,883
The Geo Group Incorporated							4,062		48,663
The Macerich Company							4,862		33,110
UDR Incorporated							10,442		386,145
Uniti Group Incorporated							6,965		57,461
Universal Health Realty Income Trust							462		43,146
Urban Edge Properties							4,141		40,375
Ventas Incorporated							13,555		473,747
VICI Properties Incorporated							16,188		317,609
Vornado Realty Trust							6,114		221,388
Washington REIT							2,865		62,829
Weingarten Realty Investors							4,358		77,921
Welltower Incorporated							14,321		725,645
Xenia Hotels & Resorts Incorporated							3,974		35,761
Total Common Stocks (Cost $23,251,155)									23,361,399
			Yield
Short-Term Investments : 0.12%
Investment Companies : 0.12%
Wells Fargo Government Money Market Fund Select Class (l)(u)				0.12	%		27,566		27,566
Total Short-Term Investments (Cost $27,566)									27,566
Total investments in securities (Cost $23,278,721)	99.51	%							23,388,965
Other assets and liabilities, net	0.49								114,955
Total net assets	100.00	%						$	23,503,920

† Non-income-earning security

(l) The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940.

(u) The rate represents the 7-day annualized yield at period end.

Abbreviations:

REIT Real estate investment trust

2

Investments in Affiliates

An affiliated investment is an investment in which the Portfolio owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Portfolio and the issuer having the same adviser or investment manager. Transactions with issuers that were either affiliated persons of the Portfolio at the beginning of the period or the end of the period were as follows:

	Shares, beginning of period		Shares purchased		Shares sold			Shares, end of period		Value, end of period		% of net assets
Short-Term Investments
Investment Companies
Wells Fargo Government Money Market Fund Select Class		239,974		6,815,949		(7,028,357	)		27,566	$	27,566		0.12	%

Wells Fargo U.S. REIT Portfolio (the “Portfolio”)

Notes to Portfolio of investments – May 31, 2020 (unaudited)

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Portfolio may deviate from this calculation under unusual or unexpected circumstances.

Equity securities that are listed on a foreign or domestic exchange or market are valued at the official closing price or, if none, the last sales price. If no sale occurs on the principal exchange or market that day, a fair value price will be determined in accordance with the Portfolio’s Valuation Procedures.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Portfolio. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC. The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.

Fair valuation measurements

Fair value measurements of investments are determined within a framework that has established a fair value hierarchy based upon the various data inputs utilized in determining the value of the Portfolio’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Portfolio’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:

Level 1	–	quoted prices in active markets for identical securities
Level 2	–	other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3	–	significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities as of May 31, 2020:

	Quoted prices (Level 1)		Other significant observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Investments in:
Common stocks
Real estate	$	23,361,399	$	0	$	0	$	23,361,399
Short-term investments
Investment companies		27,566		0		0		27,566
Total assets	$	23,388,965	$	0	$	0	$	23,388,965

Additional sector, industry or geographic detail is included in the Portfolio of Investments.

For the three months ended May 31, 2020, the Portfolio did not have any transfers into/out of Level 3.