UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-10263
GuideStone Funds
(Exact name of registrant as specified in charter)
5005 Lyndon B. Johnson Freeway, Suite 2200
Dallas, TX 75244-6152
(Address of principal executive offices) (Zip code)
Matthew A. Wolfe, Esq.
GuideStone Financial Resources of the Southern Baptist Convention
5005 Lyndon B. Johnson Freeway, Suite 2200
Dallas, TX 75244-6152
(Name and address of agent for service)
Registrants telephone number, including area code: 214-720-4640
Date of fiscal year end: December 31
Date of reporting period: June 30, 2020
Item 1. Reports to Stockholders.
(a) | The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1) |
• | Information we receive from you on applications or other forms |
• | Information about your transactions with us, our affiliates or others (including our third-party service providers) |
• | Information we receive from others, such as service providers, broker-dealers and your personal agents or representatives |
• | Information you and others provide to us in correspondence sent to us, whether written, electronic or by telephone |
Matt L. Peden,
CFA |
Index | 1
st Quarter 2020 Returns |
2
nd Quarter 2020 Returns |
YTD
Returns as of June 30, 2020 |
U.S. Equities | |||
S&P 500® | -19.60% | 20.54% | -3.08% |
Dow Jones Industrial Average | -22.73% | 18.51% | -8.43% |
NASDAQ | -13.95% | 30.95% | 12.67% |
International Equities | |||
MSCI EAFE | -22.83% | 14.88% | -11.34% |
MSCI Emerging Markets | -23.60% | 18.08% | -9.78% |
U.S. Fixed Income | |||
Bloomberg Barclays U.S. Aggregate Bond | 3.15% | 2.90% | 6.14% |
Bloomberg Barclays US High Yield-Corporate | -12.68% | 10.18% | -3.80% |
Global Fixed Income | |||
Bloomberg Barclays Global Aggregate Bond | -0.33% | 3.32% | 2.98% |
Actual | ||||||||||
Fund | Class | Beginning
Account Value 01/01/20 |
Ending
Account Value 06/30/20 |
Annualized
Expense Ratio (1) |
Expenses
Paid During Period (2) | |||||
MyDestination
2015 |
Institutional | $1,000.00 | $ 990.40 | 0.06% | $0.30 | |||||
Investor | 1,000.00 | 989.40 | 0.31 | 1.53 | ||||||
MyDestination
2025 |
Institutional | 1,000.00 | 980.80 | 0.09 | 0.44 | |||||
Investor | 1,000.00 | 978.90 | 0.34 | 1.67 | ||||||
MyDestination
2035 |
Institutional | 1,000.00 | 963.80 | 0.14 | 0.70 | |||||
Investor | 1,000.00 | 962.80 | 0.39 | 1.91 | ||||||
MyDestination
2045 |
Institutional | 1,000.00 | 949.30 | 0.14 | 0.68 | |||||
Investor | 1,000.00 | 948.30 | 0.41 | 1.98 | ||||||
MyDestination
2055 |
Institutional | 1,000.00 | 944.80 | 0.16 | 0.79 | |||||
Investor | 1,000.00 | 943.30 | 0.42 | 2.03 | ||||||
Conservation
Allocation |
Institutional | 1,000.00 | 995.70 | 0.15 | 0.75 | |||||
Investor | 1,000.00 | 994.80 | 0.40 | 1.98 | ||||||
Balanced
Allocation |
Institutional | 1,000.00 | 981.90 | 0.13 | 0.62 | |||||
Investor | 1,000.00 | 980.30 | 0.38 | 1.85 | ||||||
Growth
Allocation |
Institutional | 1,000.00 | 952.90 | 0.13 | 0.62 | |||||
Investor | 1,000.00 | 951.30 | 0.38 | 1.84 | ||||||
Aggressive
Allocation |
Institutional | 1,000.00 | 930.80 | 0.13 | 0.63 | |||||
Investor | 1,000.00 | 929.70 | 0.38 | 1.83 | ||||||
Money
Market |
Institutional | 1,000.00 | 1,004.10 | 0.14 | 0.72 | |||||
Investor | 1,000.00 | 1,002.80 | 0.39 | 1.97 |
Actual | ||||||||||
Fund | Class | Beginning
Account Value 01/01/20 |
Ending
Account Value 06/30/20 |
Annualized
Expense Ratio (1) |
Expenses
Paid During Period (2) | |||||
Low-Duration
Bond |
Institutional | $1,000.00 | $1,021.00 | 0.35% | $1.76 | |||||
Investor | 1,000.00 | 1,020.50 | 0.62 | 3.11 | ||||||
Medium-Duration
Bond |
Institutional | 1,000.00 | 1,061.60 | 0.38 | 1.95 | |||||
Investor | 1,000.00 | 1,059.60 | 0.65 | 3.33 | ||||||
Extended-Duration Bond
|
Institutional | 1,000.00 | 1,084.90 | 0.55 | 2.85 | |||||
Investor | 1,000.00 | 1,084.20 | 0.81 | 4.21 | ||||||
Global
Bond |
Institutional | 1,000.00 | 982.80 | 0.55 | 2.71 | |||||
Investor | 1,000.00 | 980.70 | 0.83 | 4.11 | ||||||
Defensive Market
Strategies |
Institutional | 1,000.00 | 957.50 | 0.67 | 3.27 | |||||
Investor | 1,000.00 | 956.30 | 0.94 | 4.57 | ||||||
Equity
Index |
Institutional | 1,000.00 | 970.10 | 0.13 | 0.66 | |||||
Investor | 1,000.00 | 969.00 | 0.41 | 2.01 | ||||||
Value
Equity |
Institutional | 1,000.00 | 848.10 | 0.63 | 2.88 | |||||
Investor | 1,000.00 | 846.60 | 0.89 | 4.08 | ||||||
Growth
Equity |
Institutional | 1,000.00 | 1,100.10 | 0.68 | 3.57 | |||||
Investor | 1,000.00 | 1,099.00 | 0.94 | 4.90 | ||||||
Small Cap
Equity |
Institutional | 1,000.00 | 895.70 | 0.98 | 4.62 | |||||
Investor | 1,000.00 | 894.00 | 1.25 | 5.87 | ||||||
International Equity
Index |
Institutional | 1,000.00 | 894.20 | 0.22 | 1.04 | |||||
International Equity
(3) |
Institutional | 1,000.00 | 874.50 | 1.01 | 4.71 | |||||
Investor | 1,000.00 | 873.30 | 1.27 | 5.92 | ||||||
Emerging Markets
Equity |
Institutional | 1,000.00 | 925.40 | 1.16 | 5.55 | |||||
Investor | 1,000.00 | 922.50 | 1.57 | 7.50 | ||||||
Global Real Estate
Securities |
Institutional | 1,000.00 | 827.90 | 0.84 | 3.82 | |||||
Investor | 1,000.00 | 827.50 | 1.11 | 5.04 | ||||||
Strategic Alternatives
(3) |
Institutional | 1,000.00 | 965.50 | 1.08 | 5.28 | |||||
Investor | 1,000.00 | 963.50 | 1.36 | 6.64 |
Hypothetical (assuming a 5% return before expenses) | ||||||||||
Fund | Class | Beginning
Account Value 01/01/20 |
Ending
Account Value 06/30/20 |
Annualized
Expense Ratio (1) |
Expenses
Paid During Period (2) | |||||
MyDestination
2015 |
Institutional | $1,000.00 | $1,024.57 | 0.06% | $0.30 | |||||
Investor | 1,000.00 | 1,023.32 | 0.31 | 1.56 | ||||||
MyDestination
2025 |
Institutional | 1,000.00 | 1,024.42 | 0.09 | 0.45 | |||||
Investor | 1,000.00 | 1,023.18 | 0.34 | 1.70 | ||||||
MyDestination
2035 |
Institutional | 1,000.00 | 1,024.15 | 0.14 | 0.72 | |||||
Investor | 1,000.00 | 1,022.91 | 0.39 | 1.97 | ||||||
MyDestination
2045 |
Institutional | 1,000.00 | 1,024.17 | 0.14 | 0.70 | |||||
Investor | 1,000.00 | 1,022.83 | 0.41 | 2.06 | ||||||
MyDestination
2055 |
Institutional | 1,000.00 | 1,024.05 | 0.16 | 0.82 | |||||
Investor | 1,000.00 | 1,022.78 | 0.42 | 2.11 | ||||||
Conservation
Allocation |
Institutional | 1,000.00 | 1,024.11 | 0.15 | 0.76 | |||||
Investor | 1,000.00 | 1,022.88 | 0.40 | 2.01 |
Hypothetical (assuming a 5% return before expenses) | ||||||||||
Fund | Class | Beginning
Account Value 01/01/20 |
Ending
Account Value 06/30/20 |
Annualized
Expense Ratio (1) |
Expenses
Paid During Period (2) | |||||
Balanced
Allocation |
Institutional | $1,000.00 | $1,024.24 | 0.13% | $0.63 | |||||
Investor | 1,000.00 | 1,022.99 | 0.38 | 1.89 | ||||||
Growth
Allocation |
Institutional | 1,000.00 | 1,024.22 | 0.13 | 0.65 | |||||
Investor | 1,000.00 | 1,022.98 | 0.38 | 1.91 | ||||||
Aggressive
Allocation |
Institutional | 1,000.00 | 1,024.21 | 0.13 | 0.66 | |||||
Investor | 1,000.00 | 1,022.97 | 0.38 | 1.92 | ||||||
Money
Market |
Institutional | 1,000.00 | 1,024.15 | 0.14 | 0.73 | |||||
Investor | 1,000.00 | 1,022.90 | 0.39 | 1.99 | ||||||
Low-Duration
Bond |
Institutional | 1,000.00 | 1,023.12 | 0.35 | 1.77 | |||||
Investor | 1,000.00 | 1,021.79 | 0.62 | 3.11 | ||||||
Medium-Duration
Bond |
Institutional | 1,000.00 | 1,022.97 | 0.38 | 1.91 | |||||
Investor | 1,000.00 | 1,021.63 | 0.65 | 3.27 | ||||||
Extended-Duration Bond
|
Institutional | 1,000.00 | 1,022.13 | 0.55 | 2.76 | |||||
Investor | 1,000.00 | 1,020.82 | 0.81 | 4.08 | ||||||
Global
Bond |
Institutional | 1,000.00 | 1,022.13 | 0.55 | 2.77 | |||||
Investor | 1,000.00 | 1,020.72 | 0.83 | 4.19 | ||||||
Defensive Market
Strategies |
Institutional | 1,000.00 | 1,021.52 | 0.67 | 3.38 | |||||
Investor | 1,000.00 | 1,020.19 | 0.94 | 4.72 | ||||||
Equity
Index |
Institutional | 1,000.00 | 1,024.19 | 0.13 | 0.68 | |||||
Investor | 1,000.00 | 1,022.82 | 0.41 | 2.06 | ||||||
Value
Equity |
Institutional | 1,000.00 | 1,021.74 | 0.63 | 3.15 | |||||
Investor | 1,000.00 | 1,020.45 | 0.89 | 4.46 | ||||||
Growth
Equity |
Institutional | 1,000.00 | 1,021.46 | 0.68 | 3.44 | |||||
Investor | 1,000.00 | 1,020.19 | 0.94 | 4.72 | ||||||
Small Cap
Equity |
Institutional | 1,000.00 | 1,019.99 | 0.98 | 4.93 | |||||
Investor | 1,000.00 | 1,018.67 | 1.25 | 6.25 | ||||||
International Equity
Index |
Institutional | 1,000.00 | 1,023.77 | 0.22 | 1.11 | |||||
International Equity
(3) |
Institutional | 1,000.00 | 1,019.84 | 1.01 | 5.07 | |||||
Investor | 1,000.00 | 1,018.55 | 1.27 | 6.37 | ||||||
Emerging Markets
Equity |
Institutional | 1,000.00 | 1,019.10 | 1.16 | 5.82 | |||||
Investor | 1,000.00 | 1,017.06 | 1.57 | 7.87 | ||||||
Global Real Estate
Securities |
Institutional | 1,000.00 | 1,020.69 | 0.84 | 4.22 | |||||
Investor | 1,000.00 | 1,019.34 | 1.11 | 5.57 | ||||||
Strategic Alternatives
(3) |
Institutional | 1,000.00 | 1,019.49 | 1.08 | 5.42 | |||||
Investor | 1,000.00 | 1,018.10 | 1.36 | 6.82 | ||||||
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 92,616 | $ 92,616 | $ — | $ — | |||
Mutual Funds | 643,690,351 | 643,690,351 | — | — | |||
Total Assets - Investments in Securities | $643,782,967 | $643,782,967 | $ — | $ — |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 73,115 | $ 73,115 | $ — | $ — | |||
Mutual Funds | 1,389,183,521 | 1,389,183,521 | — | — | |||
Total Assets - Investments in Securities | $1,389,256,636 | $1,389,256,636 | $ — | $ — |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 09/2020 | 3 | $ 266,760 | $ 3,176 | ||||
MSCI Emerging Markets E-Mini | 09/2020 | 1 | 49,285 | 700 | ||||
S&P 500® E-Mini | 09/2020 | 4 | 618,040 | 16,824 | ||||
10-Year U.S. Treasury Note | 09/2020 | 3 | 417,516 | 1,167 | ||||
Total Futures Contracts outstanding at June 30, 2020 | $1,351,601 | $21,867 |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 17,207 | $ 17,207 | $ — | $ — | |||
Mutual Funds | 941,543,948 | 941,543,948 | — | — | |||
Total Assets - Investments in Securities | $941,561,155 | $941,561,155 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 21,867 | $ 21,867 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 21,867 | $ 21,867 | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 09/2020 | 1 | $154,510 | $3,874 | ||||
10-Year U.S. Treasury Note | 09/2020 | 1 | 139,172 | 389 | ||||
Total Futures Contracts outstanding at June 30, 2020 | $293,682 | $4,263 |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 35,698 | $ 35,698 | $ — | $ — | |||
Mutual Funds | 706,606,853 | 706,606,853 | — | — | |||
Total Assets - Investments in Securities | $706,642,551 | $706,642,551 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 4,263 | $ 4,263 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 4,263 | $ 4,263 | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 60,123 | $ 60,123 | $ — | $ — | |||
Mutual Funds | 242,672,670 | 242,672,670 | — | — | |||
Total Assets - Investments in Securities | $242,732,793 | $242,732,793 | $ — | $ — |
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2020 (Unaudited) |
MyDestination
2015 Fund |
MyDestination
2025 Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $ 92,616 | $ 73,115 | |
Investments in securities of affiliated issuers, at value | 643,690,351 | 1,389,183,521 | |
Total investments, at value(1) | 643,782,967 | 1,389,256,636 | |
Deposits with broker for futures contracts | — | — | |
Receivables: | |||
Dividends | 1,551 | 3,096 | |
From advisor | 39,065 | — | |
Fund shares sold | 125,769 | 236,127 | |
Variation margin on futures contracts | — | — | |
Prepaid expenses and other assets | 34,461 | 96,610 | |
Total Assets | 643,983,813 | 1,389,592,469 | |
Liabilities | |||
Payables: | |||
Fund shares redeemed | 53,873 | 690,608 | |
Accrued expenses: | |||
Investment advisory fees | 52,577 | 113,766 | |
Shareholder servicing fees | 102,235 | 206,241 | |
Trustee fees | 582 | 901 | |
Other expenses | 47,343 | 74,893 | |
Total Liabilities | 256,610 | 1,086,409 | |
Net Assets | $643,727,203 | $1,388,506,060 | |
Net Assets Consist of: | |||
Paid-in-capital | $617,322,241 | $1,329,033,405 | |
Distributable earnings (loss) | 26,404,962 | 59,472,655 | |
Net Assets | $643,727,203 | $1,388,506,060 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $144,060,746 | $ 382,930,865 | |
Institutional shares outstanding | 13,983,444 | 37,474,067 | |
Net asset value, offering and redemption price per Institutional share | $ 10.30 | $ 10.22 | |
Net assets applicable to the Investor Class | $499,666,457 | $1,005,575,195 | |
Investor shares outstanding | 48,564,593 | 98,441,862 | |
Net asset value, offering and redemption price per Investor share | $ 10.29 | $ 10.21 | |
|
|||
(1)Investments in securities of unaffiliated issuers, at cost | $ 92,616 | $ 73,115 | |
Investments in securities of affiliated issuers, at cost | 627,927,962 | 1,357,359,032 | |
Total investments, at cost | $628,020,578 | $1,357,432,147 |
MyDestination
2035 Fund |
MyDestination
2045 Fund |
MyDestination
2055 Fund | ||
$ 17,207 | $ 35,698 | $ 60,123 | ||
941,543,948 | 706,606,853 | 242,672,670 | ||
941,561,155 | 706,642,551 | 242,732,793 | ||
90,000 | 15,000 | 5 | ||
3,216 | 2,274 | 790 | ||
— | 13,103 | 394 | ||
137,207 | 207,357 | 249,873 | ||
7,311 | 1,969 | — | ||
41,653 | 37,701 | 26,544 | ||
941,840,542 | 706,919,955 | 243,010,399 | ||
402,456 | 89,620 | 38,112 | ||
76,839 | 57,676 | 19,753 | ||
132,802 | 93,653 | 30,231 | ||
531 | 463 | 7 | ||
59,902 | 51,519 | 32,807 | ||
672,530 | 292,931 | 120,910 | ||
$941,168,012 | $706,627,024 | $242,889,489 | ||
$903,256,144 | $680,120,037 | $238,195,236 | ||
37,911,868 | 26,506,987 | 4,694,253 | ||
$941,168,012 | $706,627,024 | $242,889,489 | ||
$291,891,800 | $248,123,339 | $ 94,473,640 | ||
29,641,941 | 26,471,338 | 7,258,877 | ||
$ 9.85 | $ 9.37 | $ 13.01 | ||
$649,276,212 | $458,503,685 | $148,415,849 | ||
65,995,978 | 48,991,505 | 11,430,415 | ||
$ 9.84 | $ 9.36 | $ 12.98 | ||
$ 17,207 | $ 35,698 | $ 60,123 | ||
917,279,244 | 687,375,819 | 239,868,537 | ||
$917,296,451 | $687,411,517 | $239,928,660 |
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2020 (Unaudited) |
MyDestination
2015 Fund | |
Investment Income | |
Dividends | $ 5 |
Income distributions received from affiliated funds | 4,319,321 |
Interest | — |
Total Investment Income | 4,319,326 |
Expenses | |
Investment advisory fees | 314,115 |
Transfer agent fees: | |
Institutional shares | 1,812 |
Investor shares | 10,922 |
Custodian fees | 11,789 |
Shareholder servicing fees: | |
Investor shares | 615,132 |
Accounting and administration fees | 13,944 |
Professional fees | 43,535 |
Shareholder reporting fees: | |
Institutional shares | 264 |
Investor shares | 3,821 |
Trustees expenses | 2,170 |
Line of credit facility fees | 756 |
Other expenses | 31,842 |
Recoupment of prior expenses reduced by the Advisor | — |
Total Expenses | 1,050,102 |
Expenses waived/reimbursed(1) | (226,659) |
Net Expenses | 823,443 |
Net Investment Income | 3,495,883 |
Realized and Unrealized Gain (Loss) | |
Capital gain distributions received from affiliated funds | 1,110,341 |
Net realized gain (loss) on investment securities of affiliated issuers | 636,162 |
Net realized gain (loss) on futures transactions | 61,281 |
Net realized gain | 1,807,784 |
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | (13,623,350) |
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | (14) |
Change in unrealized appreciation (depreciation) on futures | (17,466) |
Net change in unrealized appreciation (depreciation) | (13,640,830) |
Net Realized and Unrealized Loss | (11,833,046) |
Net Decrease in Net Assets Resulting from Operations | $ (8,337,163) |
|
||
(1) | See Note 3c in Notes to Financial Statements. |
MyDestination
2025 Fund |
MyDestination
2035 Fund |
MyDestination
2045 Fund |
MyDestination
2055 Fund | |||
$ 163 | $ 150 | $ 173 | $ 63 | |||
9,120,851 | 5,539,218 | 3,757,765 | 1,239,283 | |||
1,621 | 1,818 | 1,865 | 426 | |||
9,122,635 | 5,541,186 | 3,759,803 | 1,239,772 | |||
673,297 | 446,278 | 332,730 | 110,792 | |||
2,101 | 2,143 | 2,199 | 2,116 | |||
16,083 | 11,036 | 9,882 | 8,139 | |||
15,605 | 13,273 | 12,113 | 11,270 | |||
1,235,852 | 780,457 | 547,856 | 172,398 | |||
29,890 | 19,813 | 14,771 | 4,919 | |||
39,969 | 41,123 | 42,379 | 42,212 | |||
645 | 616 | 769 | 675 | |||
6,584 | 4,116 | 3,600 | 2,198 | |||
4,180 | 2,756 | 2,122 | 1,042 | |||
1,421 | 1,111 | 946 | 697 | |||
55,409 | 44,118 | 35,631 | 15,696 | |||
— | 61,206 | 59,540 | — | |||
2,081,036 | 1,428,046 | 1,064,538 | 372,154 | |||
(247,084) | (13,414) | (2,803) | (14,237) | |||
1,833,952 | 1,414,632 | 1,061,735 | 357,917 | |||
7,288,683 | 4,126,554 | 2,698,068 | 881,855 | |||
2,538,983 | 1,633,255 | 1,242,729 | 425,487 | |||
8,629,654 | 3,998,625 | 1,254,907 | (36,591) | |||
(335,478) | (481,090) | (676,225) | (253,663) | |||
10,833,159 | 5,150,790 | 1,821,411 | 135,233 | |||
(48,871,143) | (44,755,340) | (39,951,864) | (13,074,477) | |||
(41) | (51) | (44) | (60) | |||
(105,146) | (131,960) | (124,823) | (41,910) | |||
(48,976,330) | (44,887,351) | (40,076,731) | (13,116,447) | |||
(38,143,171) | (39,736,561) | (38,255,320) | (12,981,214) | |||
$(30,854,488) | $(35,610,007) | $(35,557,252) | $(12,099,359) |
STATEMENTS OF CHANGES IN NET ASSETS |
MyDestination 2015 Fund | MyDestination 2025 Fund | ||||||
For
the Six Months Ended |
For the Year Ended | For
the Six Months Ended |
For the Year Ended | ||||
06/30/20 | 12/31/19 | 06/30/20 | 12/31/19 | ||||
(Unaudited) | (Unaudited) | ||||||
Operations: | |||||||
Net investment income | $ 3,495,883 | $ 13,925,733 | $ 7,288,683 | $ 27,594,933 | |||
Net realized gain on investment securities and futures transactions | 1,807,784 | 14,296,310 | 10,833,159 | 27,355,301 | |||
Net change in unrealized appreciation (depreciation) on investment securities and futures | (13,640,830) | 61,031,096 | (48,976,330) | 156,024,078 | |||
Net increase (decrease) in net assets resulting from operations | (8,337,163) | 89,253,139 | (30,854,488) | 210,974,312 | |||
Distributions to Shareholders: | |||||||
Institutional shares | — | (5,862,578) | — | (13,988,165) | |||
Investor shares | — | (20,450,729) | — | (38,484,767) | |||
Total distributions | — | (26,313,307) | — | (52,472,932) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 17,750,485 | 53,645,758 | 57,606,832 | 112,767,546 | |||
Investor shares | 30,920,786 | 49,464,244 | 51,305,117 | 111,058,235 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | — | 5,862,578 | — | 13,988,165 | |||
Investor shares | — | 20,446,948 | — | 38,483,178 | |||
Total proceeds from shares sold and reinvested | 48,671,271 | 129,419,528 | 108,911,949 | 276,297,124 | |||
Value of shares redeemed | |||||||
Institutional shares | (15,385,129) | (31,768,802) | (29,191,918) | (50,659,250) | |||
Investor shares | (48,817,505) | (93,504,464) | (69,907,693) | (112,946,892) | |||
Total value of shares redeemed | (64,202,634) | (125,273,266) | (99,099,611) | (163,606,142) | |||
Net increase (decrease) from capital share transactions(1) | (15,531,363) | 4,146,262 | 9,812,338 | 112,690,982 | |||
Total increase (decrease) in net assets | (23,868,526) | 67,086,094 | (21,042,150) | 271,192,362 | |||
Net Assets: | |||||||
Beginning of Period | 667,595,729 | 600,509,635 | 1,409,548,210 | 1,138,355,848 | |||
End of Period | $643,727,203 | $ 667,595,729 | $1,388,506,060 | $1,409,548,210 |
|
||
(1) | See Note 6 in Notes to Financial Statements. |
MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | ||||||||
For
the Six Months Ended |
For the Year Ended | For
the Six Months Ended |
For the Year Ended | For
the Six Months Ended |
For the Year Ended | |||||
06/30/20 | 12/31/19 | 06/30/20 | 12/31/19 | 06/30/20 | 12/31/19 | |||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||
$ 4,126,554 | $ 17,182,712 | $ 2,698,068 | $ 12,586,247 | $ 881,855 | $ 3,872,295 | |||||
5,150,790 | 14,025,688 | 1,821,411 | 9,995,707 | 135,233 | 5,037,224 | |||||
(44,887,351) | 128,412,019 | (40,076,731) | 108,037,603 | (13,116,447) | 30,906,869 | |||||
(35,610,007) | 159,620,419 | (35,557,252) | 130,619,557 | (12,099,359) | 39,816,388 | |||||
— | (9,403,983) | — | (8,040,317) | — | (3,200,893) | |||||
— | (21,796,700) | — | (15,261,033) | — | (5,664,596) | |||||
— | (31,200,683) | — | (23,301,350) | — | (8,865,489) | |||||
49,249,261 | 85,294,170 | 37,417,077 | 60,147,102 | 25,413,862 | 29,732,533 | |||||
37,642,088 | 88,866,340 | 27,468,312 | 65,328,746 | 21,176,802 | 39,108,697 | |||||
— | 9,403,983 | — | 8,040,317 | — | 3,200,894 | |||||
— | 21,796,029 | — | 15,260,906 | — | 5,664,445 | |||||
86,891,349 | 205,360,522 | 64,885,389 | 148,777,071 | 46,590,664 | 77,706,569 | |||||
(13,204,885) | (35,182,892) | (8,486,530) | (31,741,269) | (3,901,509) | (20,917,032) | |||||
(25,730,743) | (58,018,044) | (15,305,113) | (40,840,087) | (8,329,611) | (15,829,240) | |||||
(38,935,628) | (93,200,936) | (23,791,643) | (72,581,356) | (12,231,120) | (36,746,272) | |||||
47,955,721 | 112,159,586 | 41,093,746 | 76,195,715 | 34,359,544 | 40,960,297 | |||||
12,345,714 | 240,579,322 | 5,536,494 | 183,513,922 | 22,260,185 | 71,911,196 | |||||
928,822,298 | 688,242,976 | 701,090,530 | 517,576,608 | 220,629,304 | 148,718,108 | |||||
$941,168,012 | $928,822,298 | $706,627,024 | $701,090,530 | $242,889,489 | $220,629,304 |
FINANCIAL HIGHLIGHTS (Unaudited) |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net
Asset Value, Beginning of Period |
Net
Investment Income#(1) |
Realized
and Unrealized Gain (Loss) on Investments |
Total
Income From Investment Operations |
Dividends
from Net Investment Income |
Distributions
from Net Realized Capital Gains |
Total
Distributions Paid |
Net
Asset Value, End of Period |
Total
Return |
Net
Assets, End of Period (000) |
Expenses,
Net(2) |
Expenses,
Gross(2) |
Investment
Income, Net (1) |
Portfolio
Turnover Rate | |
MyDestination 2015 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(3) | $10.40 | $0.07 | $(0.17) | $(0.10) | $ — | $ — | $ — | $10.30 | (0.96)% | $ 144,061 | 0.06% | 0.14% | 1.32% | 8% |
2019 | 9.40 | 0.25 | 1.19 | 1.44 | (0.28) | (0.16) | (0.44) | 10.40 | 15.32 | 142,900 | 0.06 | 0.13 | 2.48 | 7 |
2018 | 10.37 | 0.20 | (0.54) | (0.34) | (0.38) | (0.25) | (0.63) | 9.40 | (3.33) | 104,300 | 0.13 | 0.15 | 1.91 | 32 |
2017(4) | 9.97 | 0.12 | 0.58 | 0.70 | (0.06) | (0.24) | (0.30) | 10.37 | 6.99 | 108,975 | 0.16 | 0.16 | 1.78 | 17 |
Investor Class | ||||||||||||||
2020(3) | $10.40 | $0.05 | $(0.16) | $(0.11) | $ — | $ — | $ — | $10.29 | (1.06)% | $ 499,666 | 0.31% | 0.39% | 1.06% | 8% |
2019 | 9.40 | 0.21 | 1.21 | 1.42 | (0.26) | (0.16) | (0.42) | 10.40 | 15.09 | 524,696 | 0.31 | 0.38 | 2.09 | 7 |
2018 | 10.38 | 0.17 | (0.55) | (0.38) | (0.35) | (0.25) | (0.60) | 9.40 | (3.66) | 496,209 | 0.37 | 0.39 | 1.67 | 32 |
2017 | 9.54 | 0.12 | 1.00 | 1.12 | (0.04) | (0.24) | (0.28) | 10.38 | 11.67 | 521,339 | 0.38 | 0.39 | 1.21 | 17 |
2016 | 9.19 | 0.16 | 0.48 | 0.64 | (0.11) | (0.18) | (0.29) | 9.54 | 6.99 | 535,401 | 0.35 | 0.40 | 1.65 | 16 |
2015 | 10.84 | 0.15 | (0.38) | (0.23) | (0.14) | (1.28) | (1.42) | 9.19 | (2.06) | 479,512 | 0.28 | 0.31 | 1.41 | 108(5) |
MyDestination 2025 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(3) | $10.42 | $0.06 | $(0.26) | $(0.20) | $ — | $ — | $ — | $10.22 | (1.92)% | $ 382,931 | 0.09% | 0.13% | 1.29% | 8% |
2019 | 9.15 | 0.25 | 1.44 | 1.69 | (0.27) | (0.15) | (0.42) | 10.42 | 18.45 | 361,408 | 0.09 | 0.12 | 2.43 | 5 |
2018 | 10.25 | 0.18 | (0.66) | (0.48) | (0.28) | (0.34) | (0.62) | 9.15 | (4.64) | 250,202 | 0.12 | 0.13 | 1.80 | 37 |
2017(4) | 9.79 | 0.13 | 0.75 | 0.88 | (0.12) | (0.30) | (0.42) | 10.25 | 9.08 | 222,031 | 0.14 | 0.14 | 1.82 | 15 |
Investor Class | ||||||||||||||
2020(3) | $10.43 | $0.05 | $(0.27) | $(0.22) | $ — | $ — | $ — | $10.21 | (2.11)% | $1,005,575 | 0.34% | 0.38% | 1.01% | 8% |
2019 | 9.16 | 0.21 | 1.45 | 1.66 | (0.24) | (0.15) | (0.39) | 10.43 | 18.18 | 1,048,140 | 0.34 | 0.37 | 2.06 | 5 |
2018 | 10.26 | 0.15 | (0.65) | (0.50) | (0.26) | (0.34) | (0.60) | 9.16 | (4.87) | 888,153 | 0.36 | 0.38 | 1.51 | 37 |
2017 | 9.28 | 0.11 | 1.27 | 1.38 | (0.10) | (0.30) | (0.40) | 10.26 | 14.92 | 878,579 | 0.38 | 0.38 | 1.12 | 15 |
2016 | 8.88 | 0.16 | 0.55 | 0.71 | (0.09) | (0.22) | (0.31) | 9.28 | 8.01 | 855,171 | 0.35 | 0.39 | 1.70 | 17 |
2015 | 10.66 | 0.16 | (0.48) | (0.32) | (0.13) | (1.33) | (1.46) | 8.88 | (2.91) | 707,698 | 0.28 | 0.31 | 1.46 | 110(5) |
MyDestination 2035 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(3) | $10.22 | $0.05 | $(0.42) | $(0.37) | $ — | $ — | $ — | $ 9.85 | (3.62)% | $ 291,892 | 0.14% | 0.15% | 1.12% | 6% |
2019 | 8.65 | 0.24 | 1.70 | 1.94 | (0.24) | (0.13) | (0.37) | 10.22 | 22.47 | 266,012 | 0.13 | 0.13 | 2.41 | 4 |
2018 | 9.95 | 0.15 | (0.80) | (0.65) | (0.29) | (0.36) | (0.65) | 8.65 | (6.56) | 173,573 | 0.13 | 0.14 | 1.54 | 50 |
2017(4) | 9.29 | 0.13 | 0.93 | 1.06 | (0.07) | (0.33) | (0.40) | 9.95 | 11.51 | 152,421 | 0.15 | 0.15 | 1.99 | 35 |
Investor Class | ||||||||||||||
2020(3) | $10.22 | $0.04 | $(0.42) | $(0.38) | $ — | $ — | $ — | $ 9.84 | (3.72)% | $ 649,276 | 0.39% | 0.40% | 0.84% | 6% |
2019 | 8.65 | 0.20 | 1.72 | 1.92 | (0.22) | (0.13) | (0.35) | 10.22 | 22.16 | 662,810 | 0.39 | 0.39 | 2.01 | 4 |
2018 | 9.96 | 0.12 | (0.80) | (0.68) | (0.27) | (0.36) | (0.63) | 8.65 | (6.89) | 514,670 | 0.38 | 0.39 | 1.25 | 50 |
2017 | 8.72 | 0.11 | 1.51 | 1.62 | (0.05) | (0.33) | (0.38) | 9.96 | 18.66 | 498,807 | 0.38 | 0.39 | 1.16 | 35 |
2016 | 8.36 | 0.14 | 0.57 | 0.71 | (0.07) | (0.28) | (0.35) | 8.72 | 8.38 | 479,051 | 0.35 | 0.40 | 1.65 | 16 |
2015 | 10.49 | 0.15 | (0.62) | (0.47) | (0.12) | (1.54) | (1.66) | 8.36 | (4.30) | 391,279 | 0.28 | 0.32 | 1.41 | 120(5) |
# | Calculated using the average shares outstanding method. |
(1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
(2) | Does not include expenses of the investment companies in which the Fund invests. The acquired fund fees which are incurred directly by the underlying funds for the MyDestination 2015 Fund, MyDestination 2025 Fund, MyDestination 2035 Fund, MyDestination 2045 Fund and MyDestination 2055 Fund were 0.44%, 0.41%, 0.35%, 0.34% and 0.33%, respectively for 2020, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
(3) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | Inception date was May 1, 2017. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(5) | The portfolio turnover rate for the year ended December 31, 2015 reflects rebalancing of holdings in the Funds and is not representative of a change in investment strategy for the Funds. |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net
Asset Value, Beginning of Period |
Net
Investment Income#(1) |
Realized
and Unrealized Gain (Loss) on Investments |
Total
Income From Investment Operations |
Dividends
from Net Investment Income |
Distributions
from Net Realized Capital Gains |
Total
Distributions Paid |
Net
Asset Value, End of Period |
Total
Return |
Net
Assets, End of Period (000) |
Expenses,
Net(2) |
Expenses,
Gross(2) |
Investment
Income, Net (1) |
Portfolio
Turnover Rate | |
MyDestination 2045 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(3) | $ 9.87 | $0.05 | $(0.55) | $(0.50) | $ — | $ — | $ — | $ 9.37 | (5.07)% | $248,123 | 0.14% | 0.14% | 1.01% | 4% |
2019 | 8.21 | 0.22 | 1.79 | 2.01 | (0.22) | (0.13) | (0.35) | 9.87 | 24.56 | 230,295 | 0.13 | 0.13 | 2.31 | 4 |
2018 | 9.60 | 0.13 | (0.84) | (0.71) | (0.26) | (0.42) | (0.68) | 8.21 | (7.50) | 160,533 | 0.14 | 0.15 | 1.36 | 58 |
2017(4) | 8.90 | 0.13 | 1.01 | 1.14 | (0.07) | (0.37) | (0.44) | 9.60 | 12.85 | 145,343 | 0.16 | 0.16 | 1.99 | 10 |
Investor Class | ||||||||||||||
2020(3) | $ 9.87 | $0.03 | $(0.54) | $(0.51) | $ — | $ — | $ — | $ 9.36 | (5.17)% | $458,504 | 0.41% | 0.41% | 0.71% | 4% |
2019 | 8.21 | 0.18 | 1.80 | 1.98 | (0.19) | (0.13) | (0.32) | 9.87 | 24.24 | 470,796 | 0.41 | 0.41 | 1.94 | 4 |
2018 | 9.60 | 0.10 | (0.83) | (0.73) | (0.24) | (0.42) | (0.66) | 8.21 | (7.73) | 357,044 | 0.39 | 0.40 | 1.08 | 58 |
2017 | 8.29 | 0.10 | 1.63 | 1.73 | (0.05) | (0.37) | (0.42) | 9.60 | 20.90 | 344,147 | 0.38 | 0.40 | 1.06 | 10 |
2016 | 7.95 | 0.12 | 0.56 | 0.68 | (0.04) | (0.30) | (0.34) | 8.29 | 8.45 | 354,271 | 0.35 | 0.41 | 1.50 | 16 |
2015 | 10.00 | 0.12 | (0.59) | (0.47) | (0.09) | (1.49) | (1.58) | 7.95 | (4.46) | 281,718 | 0.29 | 0.34 | 1.22 | 124(5) |
MyDestination 2055 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(3) | $13.77 | $0.06 | $(0.82) | $(0.76) | $ — | $ — | $ — | $13.01 | (5.52)% | $ 94,473 | 0.16% | 0.18% | 0.98% | 8% |
2019 | 11.48 | 0.30 | 2.58 | 2.88 | (0.30) | (0.29) | (0.59) | 13.77 | 25.15 | 77,156 | 0.16 | 0.20 | 2.26 | 10 |
2018 | 13.45 | 0.19 | (1.23) | (1.04) | (0.31) | (0.62) | (0.93) | 11.48 | (7.77) | 54,326 | 0.18 | 0.24 | 1.40 | 62 |
2017(4) | 12.43 | 0.18 | 1.47 | 1.65 | (0.02) | (0.61) | (0.63) | 13.45 | 13.33 | 38,161 | 0.20 | 0.33 | 2.04 | 9 |
Investor Class | ||||||||||||||
2020(3) | $13.76 | $0.04 | $(0.82) | $(0.78) | $ — | $ — | $ — | $12.98 | (5.67)% | $148,416 | 0.42% | 0.43% | 0.68% | 8% |
2019 | 11.47 | 0.27 | 2.58 | 2.85 | (0.27) | (0.29) | (0.56) | 13.76 | 24.92 | 143,473 | 0.41 | 0.44 | 2.03 | 10 |
2018 | 13.45 | 0.15 | (1.22) | (1.07) | (0.29) | (0.62) | (0.91) | 11.47 | (8.02) | 94,392 | 0.39 | 0.49 | 1.08 | 62 |
2017 | 11.56 | 0.14 | 2.37 | 2.51 | (0.01) | (0.61) | (0.62) | 13.45 | 21.73 | 78,024 | 0.38 | 0.55 | 1.12 | 9 |
2016 | 11.05 | 0.18 | 0.80 | 0.98 | (0.13) | (0.34) | (0.47) | 11.56 | 8.81 | 62,973 | 0.35 | 0.65 | 1.62 | 27 |
2015 | 12.60 | 0.16 | (0.73) | (0.57) | (0.13) | (0.85) | (0.98) | 11.05 | (4.48) | 38,465 | 0.30 | 0.65 | 1.29 | 124(5) |
# | Calculated using the average shares outstanding method. |
(1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
(2) | Does not include expenses of the investment companies in which the Fund invests. The acquired fund fees which are incurred directly by the underlying funds for the MyDestination 2015 Fund, MyDestination 2025 Fund, MyDestination 2035 Fund, MyDestination 2045 Fund and MyDestination 2055 Fund were 0.44%, 0.41%, 0.35%, 0.34% and 0.33%, respectively for 2020, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
(3) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | Inception date was May 1, 2017. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(5) | The portfolio turnover rate for the year ended December 31, 2015 reflects rebalancing of holdings in the Funds and is not representative of a change in investment strategy for the Funds. |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 593,061 | $ 593,061 | $ — | $ — | |||
Mutual Funds | 503,097,467 | 503,097,467 | — | — | |||
Total Assets - Investments in Securities | $503,690,528 | $503,690,528 | $ — | $ — |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Mutual Funds | $1,523,080,009 | $1,523,080,009 | $ — | $ — | |||
Total Assets - Investments in Securities | $1,523,080,009 | $1,523,080,009 | $ — | $ — |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 09/2020 | 21 | $1,867,320 | $19,315 | ||||
MSCI Emerging Markets E-Mini | 09/2020 | 10 | 492,850 | 1,224 | ||||
S&P 500® E-Mini | 09/2020 | 23 | 3,553,730 | 74,138 | ||||
10-Year U.S. Treasury Note | 09/2020 | 3 | 417,516 | 745 | ||||
U.S. Treasury Long Bond | 09/2020 | 2 | 357,125 | 1,496 | ||||
5-Year U.S. Treasury Note | 09/2020 | 5 | 628,711 | 843 | ||||
Total Futures Contracts outstanding at June 30, 2020 | $7,317,252 | $97,761 |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 35,455 | $ 35,455 | $ — | $ — | |||
Mutual Funds | 1,161,740,384 | 1,161,740,384 | — | — | |||
Total Assets - Investments in Securities | $1,161,775,839 | $1,161,775,839 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 97,761 | $ 97,761 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 97,761 | $ 97,761 | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Shares | Value | |||
MUTUAL FUNDS — 100.1% | ||||
GuideStone
Money Market Fund, 0.16% (Institutional Class)Ø∞ |
19,209,932 | $ 19,209,932 | ||
GuideStone
Value Equity Fund (Institutional Class)∞ |
16,049,751 | 252,783,576 | ||
GuideStone
Growth Equity Fund (Institutional Class)∞ |
9,243,615 | 262,056,495 | ||
GuideStone
Small Cap Equity Fund (Institutional Class)∞ |
3,772,778 | 53,120,706 | ||
GuideStone
International Equity Fund (Institutional Class)∞ |
23,111,787 | 278,497,030 | ||
GuideStone
Emerging Markets Equity Fund (Institutional Class)∞ |
10,380,694 | 97,889,945 | ||
Total
Mutual Funds (Cost $1,076,008,527) |
963,557,684 | |||
TOTAL
INVESTMENTS — 100.1% (Cost $1,076,008,527) |
963,557,684 | |||
Liabilities
in Excess of Other Assets — (0.1)% |
(567,787) | |||
NET ASSETS — 100.0% | $962,989,897 |
% | |
U.S. Equity Select Funds | 59.0 |
Non-U.S. Equity Select Funds | 39.1 |
Fixed Income Select Funds | 2.0 |
100.1 |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Mutual Funds | $963,557,684 | $963,557,684 | $ — | $ — | |||
Total Assets - Investments in Securities | $963,557,684 | $963,557,684 | $ — | $ — |
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2020 (Unaudited) |
Conservative
Allocation Fund |
Balanced
Allocation Fund |
Growth
Allocation Fund |
Aggressive
Allocation Fund | ||||
Assets | |||||||
Investments in securities of unaffiliated issuers, at value | $ 593,061 | $ — | $ 35,455 | $ — | |||
Investments in securities of affiliated issuers, at value | 503,097,467 | 1,523,080,009 | 1,161,740,384 | 963,557,684 | |||
Total investments, at value(1) | 503,690,528 | 1,523,080,009 | 1,161,775,839 | 963,557,684 | |||
Cash | — | — | 550,000 | — | |||
Receivables: | |||||||
Dividends from affiliated funds | 894 | 4,333 | 4,079 | 3,006 | |||
Fund shares sold | 25,549 | 53,112 | 85,973 | 19,940 | |||
Variation margin on futures contracts | — | — | 41,643 | — | |||
Prepaid expenses and other assets | 31,309 | 38,023 | 37,049 | 35,781 | |||
Total Assets | 503,748,280 | 1,523,175,477 | 1,162,494,583 | 963,616,411 | |||
Liabilities | |||||||
Payables: | |||||||
Fund shares redeemed | 185,566 | 504,849 | 244,239 | 336,827 | |||
Accrued expenses: | |||||||
Investment advisory fees | 41,210 | 124,877 | 95,270 | 78,890 | |||
Shareholder servicing fees | 78,137 | 230,579 | 168,157 | 148,497 | |||
Trustee fees | 1,294 | 1,610 | 1,112 | 767 | |||
Other expenses | 61,880 | 116,302 | 86,191 | 61,533 | |||
Total Liabilities | 368,087 | 978,217 | 594,969 | 626,514 | |||
Net Assets | $503,380,193 | $1,522,197,260 | $1,161,899,614 | $ 962,989,897 | |||
Net Assets Consist of: | |||||||
Paid-in-capital | $496,450,483 | $1,520,866,498 | $1,209,616,394 | $1,027,712,648 | |||
Distributable earnings (loss) | 6,929,710 | 1,330,762 | (47,716,780) | (64,722,751) | |||
Net Assets | $503,380,193 | $1,522,197,260 | $1,161,899,614 | $ 962,989,897 | |||
Net Asset Value: | |||||||
$0.001 par value, unlimited shares authorized | |||||||
Net assets applicable to the Institutional Class | $121,572,342 | $ 399,602,814 | $ 342,575,785 | $ 238,397,861 | |||
Institutional shares outstanding | 10,595,590 | 33,384,737 | 29,198,906 | 21,341,622 | |||
Net asset value, offering and redemption price per Institutional share | $ 11.47 | $ 11.97 | $ 11.73 | $ 11.17 | |||
Net assets applicable to the Investor Class | $381,807,851 | $1,122,594,446 | $ 819,323,829 | $ 724,592,036 | |||
Investor shares outstanding | 33,322,133 | 93,925,030 | 69,965,519 | 65,197,107 | |||
Net asset value, offering and redemption price per Investor share | $ 11.46 | $ 11.95 | $ 11.71 | $ 11.11 | |||
|
|||||||
(1)Investments in securities of unaffiliated issuers, at cost | $ 593,061 | $ — | $ 35,455 | $ — | |||
Investments in securities of affiliated issuers, at cost | 501,055,939 | 1,544,923,684 | 1,247,629,510 | 1,076,008,527 | |||
Total investments, at cost | $501,649,000 | $1,544,923,684 | $1,247,664,965 | $1,076,008,527 |
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2020 (Unaudited) |
Conservative
Allocation Fund |
Balanced
Allocation Fund |
Growth
Allocation Fund |
Aggressive
Allocation Fund | ||||
Investment Income | |||||||
Dividends | $ 653 | $ 3,541,599 | $ 236 | $ 369 | |||
Income distributions received from affiliated funds | 3,633,883 | 5,738,560 | 5,196,874 | 2,765,712 | |||
Interest | — | 99 | 3,040 | 549 | |||
Total Investment Income | 3,634,536 | 9,280,258 | 5,200,150 | 2,766,630 | |||
Expenses | |||||||
Investment advisory fees | 250,891 | 752,174 | 571,452 | 473,060 | |||
Transfer agent fees: | |||||||
Institutional shares | 1,677 | 1,788 | 1,679 | 1,642 | |||
Investor shares | 14,497 | 26,550 | 19,656 | 16,395 | |||
Custodian fees | 9,069 | 17,946 | 16,766 | 12,999 | |||
Shareholder servicing fees: | |||||||
Investor shares | 487,905 | 1,422,201 | 1,037,278 | 909,993 | |||
Accounting and administration fees | 11,137 | 33,387 | 25,363 | 20,992 | |||
Professional fees | 41,502 | 40,032 | 40,608 | 41,048 | |||
Shareholder reporting fees: | |||||||
Institutional shares | 86 | — | — | 65 | |||
Investor shares | 5,881 | — | — | 5,958 | |||
Trustees expenses | 2,331 | 5,270 | 3,957 | 3,250 | |||
Line of credit facility fees | 1,080 | 1,764 | 1,390 | 1,144 | |||
Other expenses | 38,727 | 70,292 | 58,106 | 45,878 | |||
Total Expenses | 864,783 | 2,371,404 | 1,776,255 | 1,532,424 | |||
Net Investment Income | 2,769,753 | 6,908,854 | 3,423,895 | 1,234,206 | |||
Realized and Unrealized Gain (Loss) | |||||||
Capital gain distributions received from affiliated funds | 1,258,796 | 7,284,857 | 7,584,329 | 7,888,154 | |||
Net realized loss on investment securities of affiliated issuers | (3,096,050) | (14,593,577) | (8,684,126) | (8,722,177) | |||
Net realized gain (loss) on futures transactions | 49,971 | 21,988 | (985,539) | (970,077) | |||
Net realized loss | (1,787,283) | (7,286,732) | (2,085,336) | (1,804,100) | |||
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | (4,563,776) | (34,090,503) | (65,522,167) | (75,813,747) | |||
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | (6) | (69) | (61) | (75) | |||
Change in unrealized appreciation (depreciation) on futures | (22,813) | (138,773) | (138,549) | (276,413) | |||
Net change in unrealized appreciation (depreciation) | (4,586,595) | (34,229,345) | (65,660,777) | (76,090,235) | |||
Net Realized and Unrealized Loss | (6,373,878) | (41,516,077) | (67,746,113) | (77,894,335) | |||
Net Decrease in Net Assets Resulting from Operations | $(3,604,125) | $(34,607,223) | $(64,322,218) | $(76,660,129) |
STATEMENTS OF CHANGES IN NET ASSETS |
Conservative Allocation Fund | Balanced Allocation Fund | ||||||
For
the Six Months Ended |
For the Year Ended | For
the Six Months Ended |
For the Year Ended | ||||
06/30/20 | 12/31/19 | 06/30/20 | 12/31/19 | ||||
(Unaudited) | (Unaudited) | ||||||
Operations: | |||||||
Net investment income | $ 2,769,753 | $ 9,886,471 | $ 6,908,854 | $ 29,080,642 | |||
Net realized gain (loss) on investment securities and futures transactions | (1,787,283) | 8,087,315 | (7,286,732) | 45,298,776 | |||
Net change in unrealized appreciation (depreciation) on investment securities and futures | (4,586,595) | 34,283,232 | (34,229,345) | 172,746,142 | |||
Net increase (decrease) in net assets resulting from operations | (3,604,125) | 52,257,018 | (34,607,223) | 247,125,560 | |||
Distributions to Shareholders: | |||||||
Institutional shares | — | (5,095,548) | — | (24,389,522) | |||
Investor shares | — | (18,041,539) | — | (76,908,025) | |||
Total distributions | — | (23,137,087) | — | (101,297,547) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 20,302,490 | 26,042,462 | 50,014,202 | 73,921,673 | |||
Investor shares | 27,114,976 | 47,469,039 | 23,426,407 | 57,180,119 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | — | 5,077,191 | — | 24,290,995 | |||
Investor shares | — | 18,032,064 | — | 76,871,367 | |||
Total proceeds from shares sold and reinvested | 47,417,466 | 96,620,756 | 73,440,609 | 232,264,154 | |||
Value of shares redeemed | |||||||
Institutional shares | (10,253,553) | (11,877,607) | (22,889,675) | (46,362,952) | |||
Investor shares | (57,533,885) | (79,429,062) | (109,333,278) | (177,611,078) | |||
Total value of shares redeemed | (67,787,438) | (91,306,669) | (132,222,953) | (223,974,030) | |||
Net increase (decrease) from capital share transactions(1) | (20,369,972) | 5,314,087 | (58,782,344) | 8,290,124 | |||
Total increase (decrease) in net assets | (23,974,097) | 34,434,018 | (93,389,567) | 154,118,137 | |||
Net Assets: | |||||||
Beginning of Period | 527,354,290 | 492,920,272 | 1,615,586,827 | 1,461,468,690 | |||
End of Period | $503,380,193 | $527,354,290 | $1,522,197,260 | $1,615,586,827 |
|
||
(1) | See Note 6 in Notes to Financial Statements. |
Growth Allocation Fund | Aggressive Allocation Fund | |||||
For
the Six Months Ended |
For the Year Ended | For
the Six Months Ended |
For the Year Ended | |||
06/30/20 | 12/31/19 | 06/30/20 | 12/31/19 | |||
(Unaudited) | (Unaudited) | |||||
$ 3,423,895 | $ 19,015,078 | $ 1,234,206 | $ 12,104,780 | |||
(2,085,336) | 48,072,704 | (1,804,100) | 57,225,647 | |||
(65,660,777) | 170,887,923 | (76,090,235) | 168,923,373 | |||
(64,322,218) | 237,975,705 | (76,660,129) | 238,253,800 | |||
— | (28,008,711) | — | (26,653,779) | |||
— | (81,549,805) | — | (91,797,764) | |||
— | (109,558,516) | — | (118,451,543) | |||
64,136,998 | 41,999,339 | 26,863,799 | 45,256,536 | |||
17,580,065 | 39,313,198 | 13,138,427 | 30,691,082 | |||
— | 27,969,231 | — | 26,641,062 | |||
— | 81,515,470 | — | 91,783,316 | |||
81,717,063 | 190,797,238 | 40,002,226 | 194,371,996 | |||
(20,361,948) | (30,570,472) | (14,277,775) | (21,076,702) | |||
(82,564,930) | (138,835,487) | (66,048,646) | (122,548,098) | |||
(102,926,878) | (169,405,959) | (80,326,421) | (143,624,800) | |||
(21,209,815) | 21,391,279 | (40,324,195) | 50,747,196 | |||
(85,532,033) | 149,808,468 | (116,984,324) | 170,549,453 | |||
1,247,431,647 | 1,097,623,179 | 1,079,974,221 | 909,424,768 | |||
$1,161,899,614 | $1,247,431,647 | $ 962,989,897 | $1,079,974,221 |
FINANCIAL HIGHLIGHTS (Unaudited) |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net
Asset Value, Beginning of Period |
Net
Investment Income#(1) |
Realized
and Unrealized Gain (Loss) on Investments |
Total
Income From Investment Operations |
Dividends
from Net Investment Income |
Distributions
from Net Realized Capital Gains |
Total
Distributions Paid |
Net
Asset Value, End of Period |
Total
Return |
Net
Assets, End of Period (000) |
Expenses,
Net(2) |
Expenses,
Gross(2) |
Investment
Income, Net (1) |
Portfolio
Turnover Rate | |
Conservative Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(3) | $11.52 | $0.07 | $(0.12) | $(0.05) | $ — | $ — | $ — | $11.47 | (0.43)% | $ 121,572 | 0.15% | 0.15% | 1.32% | 7% |
2019 | 10.87 | 0.25 | 0.95 | 1.20 | (0.27) | (0.28) | (0.55) | 11.52 | 11.01 | 111,611 | 0.13 | 0.13 | 2.19 | 7 |
2018 | 11.47 | 0.23 | (0.45) | (0.22) | (0.37) | (0.01) | (0.38) | 10.87 | (1.90) | 87,409 | 0.17 | 0.17 | 2.01 | 12 |
2017 | 10.88 | 0.16 | 0.64 | 0.80 | (0.05) | (0.16) | (0.21) | 11.47 | 7.33 | 85,482 | 0.19 | 0.19 | 1.40 | 19 |
2016 | 10.62 | 0.18 | 0.35 | 0.53 | (0.13) | (0.14) | (0.27) | 10.88 | 5.07 | 75,333 | 0.14 | 0.15 | 1.61 | 5 |
2015(4) | 11.51 | 0.05 | (0.17) | (0.12) | (0.12) | (0.65) | (0.77) | 10.62 | (0.99) | 70,895 | 0.18 | 0.20 | 4.36 | 92(5) |
Investor Class | ||||||||||||||
2020(3) | $11.52 | $0.06 | $(0.12) | $(0.06) | $ — | $ — | $ — | $11.46 | (0.52)% | $ 381,808 | 0.40% | 0.40% | 1.04% | 7% |
2019 | 10.87 | 0.21 | 0.96 | 1.17 | (0.24) | (0.28) | (0.52) | 11.52 | 10.73 | 415,743 | 0.39 | 0.39 | 1.86 | 7 |
2018 | 11.47 | 0.20 | (0.44) | (0.24) | (0.35) | (0.01) | (0.36) | 10.87 | (2.13) | 405,512 | 0.40 | 0.40 | 1.76 | 12 |
2017 | 10.88 | 0.13 | 0.64 | 0.77 | (0.02) | (0.16) | (0.18) | 11.47 | 7.11 | 427,485 | 0.42 | 0.42 | 1.19 | 19 |
2016 | 10.62 | 0.15 | 0.36 | 0.51 | (0.11) | (0.14) | (0.25) | 10.88 | 4.82 | 306,300 | 0.39 | 0.42 | 1.36 | 5 |
2015 | 11.59 | 0.14 | (0.34) | (0.20) | (0.12) | (0.65) | (0.77) | 10.62 | (1.69) | 294,997 | 0.27 | 0.33 | 1.22 | 92(5) |
Balanced Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(3) | $12.19 | $0.07 | $(0.29) | $(0.22) | $ — | $ — | $ — | $11.97 | (1.81)% | $ 399,603 | 0.13% | 0.13% | 1.20% | 7% |
2019 | 11.07 | 0.26 | 1.69 | 1.95 | (0.29) | (0.54) | (0.83) | 12.19 | 17.62 | 377,832 | 0.12 | 0.12 | 2.12 | 9 |
2018 | 12.16 | 0.23 | (0.80) | (0.57) | (0.49) | (0.03) | (0.52) | 11.07 | (4.63) | 296,530 | 0.13 | 0.13 | 1.93 | 13 |
2017 | 11.09 | 0.19 | 1.20 | 1.39 | (0.16) | (0.16) | (0.32) | 12.16 | 12.57 | 334,114 | 0.12 | 0.13 | 1.57 | 19 |
2016 | 10.70 | 0.22 | 0.56 | 0.78 | (0.08) | (0.31) | (0.39) | 11.09 | 7.27 | 326,164 | 0.11 | 0.13 | 1.97 | 4 |
2015(4) | 12.67 | 0.09 | (0.32) | (0.23) | (0.16) | (1.58) | (1.74) | 10.70 | (1.73) | 332,327 | 0.12 | 0.14 | 7.28 | 95(5) |
Investor Class | ||||||||||||||
2020(3) | $12.19 | $0.05 | $(0.29) | $(0.24) | $ — | $ — | $ — | $11.95 | (1.97)% | $1,122,594 | 0.38% | 0.38% | 0.85% | 7% |
2019 | 11.07 | 0.22 | 1.70 | 1.92 | (0.26) | (0.54) | (0.80) | 12.19 | 17.33 | 1,237,755 | 0.38 | 0.38 | 1.79 | 9 |
2018 | 12.16 | 0.20 | (0.80) | (0.60) | (0.46) | (0.03) | (0.49) | 11.07 | (4.89) | 1,164,939 | 0.38 | 0.38 | 1.68 | 13 |
2017 | 11.09 | 0.16 | 1.20 | 1.36 | (0.13) | (0.16) | (0.29) | 12.16 | 12.30 | 1,280,286 | 0.37 | 0.38 | 1.34 | 19 |
2016 | 10.70 | 0.19 | 0.56 | 0.75 | (0.05) | (0.31) | (0.36) | 11.09 | 7.00 | 1,156,865 | 0.37 | 0.38 | 1.71 | 4 |
2015 | 12.89 | 0.20 | (0.65) | (0.45) | (0.16) | (1.58) | (1.74) | 10.70 | (3.43) | 1,191,878 | 0.28 | 0.30 | 1.56 | 95(5) |
# | Calculated using the average shares outstanding method. |
(1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
(2) | Does not include expenses of the investment companies in which the Fund invests. The estimated acquired fund fees which are incurred directly by the underlying funds for the Conservative Allocation Fund, Balanced Allocation Fund, Growth Allocation Fund and Aggressive Allocation Fund were 0.53%, 0.65%, 0.76% and 0.84%, respectively for 2020, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
(3) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | Inception date was November 23, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(5) | The portfolio turnover rate for the year ended December 31, 2015 reflects rebalancing of holdings in the Funds and is not representative of a change in investment strategy for the Funds. |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net
Asset Value, Beginning of Period |
Net
Investment Income#(1) |
Realized
and Unrealized Gain (Loss) on Investments |
Total
Income From Investment Operations |
Dividends
from Net Investment Income |
Distributions
from Net Realized Capital Gains |
Total
Distributions Paid |
Net
Asset Value, End of Period |
Total
Return |
Net
Assets, End of Period (000) |
Expenses,
Net(2) |
Expenses,
Gross(2) |
Investment
Income, Net (1) |
Portfolio
Turnover Rate | |
Growth Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(3) | $12.31 | $0.05 | $(0.63) | $(0.58) | $ — | $ — | $ — | $11.73 | (4.71)% | $342,576 | 0.13% | 0.13% | 0.82% | 8% |
2019 | 11.02 | 0.23 | 2.25 | 2.48 | (0.22) | (0.97) | (1.19) | 12.31 | 22.62 | 312,347 | 0.12 | 0.12 | 1.86 | 10 |
2018 | 12.43 | 0.20 | (1.11) | (0.91) | (0.46) | (0.04) | (0.50) | 11.02 | (7.32) | 244,900 | 0.13 | 0.13 | 1.60 | 9 |
2017 | 10.97 | 0.17 | 1.90 | 2.07 | (0.11) | (0.50) | (0.61) | 12.43 | 18.94 | 279,148 | 0.13 | 0.13 | 1.38 | 17 |
2016 | 10.83 | 0.19 | 0.61 | 0.80 | (0.10) | (0.56) | (0.66) | 10.97 | 7.34 | 244,873 | 0.12 | 0.13 | 1.72 | 4 |
2015(4) | 13.23 | 0.11 | (0.44) | (0.33) | (0.14) | (1.93) | (2.07) | 10.83 | (2.36) | 247,746 | 0.14 | 0.14 | 8.37 | 97(5) |
Investor Class | ||||||||||||||
2020(3) | $12.31 | $0.03 | $(0.63) | $(0.60) | $ — | $ — | $ — | $11.71 | (4.87)% | $819,324 | 0.38% | 0.38% | 0.52% | 8% |
2019 | 11.02 | 0.19 | 2.26 | 2.45 | (0.19) | (0.97) | (1.16) | 12.31 | 22.33 | 935,085 | 0.38 | 0.38 | 1.51 | 10 |
2018 | 12.42 | 0.17 | (1.10) | (0.93) | (0.43) | (0.04) | (0.47) | 11.02 | (7.50) | 852,723 | 0.38 | 0.38 | 1.35 | 9 |
2017 | 10.97 | 0.14 | 1.89 | 2.03 | (0.08) | (0.50) | (0.58) | 12.42 | 18.59 | 973,237 | 0.37 | 0.37 | 1.14 | 17 |
2016 | 10.83 | 0.16 | 0.61 | 0.77 | (0.07) | (0.56) | (0.63) | 10.97 | 7.08 | 842,779 | 0.38 | 0.39 | 1.46 | 4 |
2015 | 13.43 | 0.17 | (0.71) | (0.54) | (0.13) | (1.93) | (2.06) | 10.83 | (3.83) | 867,203 | 0.29 | 0.30 | 1.26 | 97(5) |
Aggressive Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(3) | $12.00 | $0.03 | $(0.86) | $(0.83) | $ — | $ — | $ — | $11.17 | (6.92)% | $238,398 | 0.13% | 0.13% | 0.49% | 5% |
2019 | 10.61 | 0.18 | 2.69 | 2.87 | (0.15) | (1.33) | (1.48) | 12.00 | 27.25 | 239,577 | 0.12 | 0.12 | 1.48 | 9 |
2018 | 12.28 | 0.15 | (1.37) | (1.22) | (0.40) | (0.05) | (0.45) | 10.61 | (9.95) | 167,013 | 0.14 | 0.14 | 1.18 | 9 |
2017 | 10.48 | 0.12 | 2.58 | 2.70 | (0.13) | (0.77) | (0.90) | 12.28 | 25.88 | 195,991 | 0.14 | 0.14 | 0.98 | 7 |
2016 | 10.77 | 0.14 | 0.57 | 0.71 | — | (1.00) | (1.00) | 10.48 | 6.55 | 166,293 | 0.13 | 0.13 | 1.28 | 2 |
2015(4) | 14.13 | 0.12 | (0.57) | (0.45) | (0.09) | (2.82) | (2.91) | 10.77 | (2.85) | 169,302 | 0.15 | 0.15 | 8.75 | 103(5) |
Investor Class | ||||||||||||||
2020(3) | $11.95 | $0.01 | $(0.85) | $(0.84) | $ — | $ — | $ — | $11.11 | (7.03)% | $724,592 | 0.38% | 0.38% | 0.19% | 5% |
2019 | 10.58 | 0.14 | 2.68 | 2.82 | (0.12) | (1.33) | (1.45) | 11.95 | 26.86 | 840,397 | 0.38 | 0.38 | 1.12 | 9 |
2018 | 12.24 | 0.12 | (1.36) | (1.24) | (0.37) | (0.05) | (0.42) | 10.58 | (10.15) | 742,412 | 0.38 | 0.38 | 0.94 | 9 |
2017 | 10.46 | 0.09 | 2.57 | 2.66 | (0.11) | (0.77) | (0.88) | 12.24 | 25.49 | 864,508 | 0.38 | 0.38 | 0.75 | 7 |
2016 | 10.77 | 0.10 | 0.59 | 0.69 | — | (1.00) | (1.00) | 10.46 | 6.38 | 708,104 | 0.39 | 0.39 | 0.96 | 2 |
2015 | 14.06 | 0.12 | (0.50) | (0.38) | (0.09) | (2.82) | (2.91) | 10.77 | (2.39) | 797,043 | 0.29 | 0.30 | 0.85 | 103(5) |
# | Calculated using the average shares outstanding method. |
(1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
(2) | Does not include expenses of the investment companies in which the Fund invests. The estimated acquired fund fees which are incurred directly by the underlying funds for the Conservative Allocation Fund, Balanced Allocation Fund, Growth Allocation Fund and Aggressive Allocation Fund were 0.53%, 0.65%, 0.76% and 0.84%, respectively for 2020, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
(3) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | Inception date was November 23, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(5) | The portfolio turnover rate for the year ended December 31, 2015 reflects rebalancing of holdings in the Funds and is not representative of a change in investment strategy for the Funds. |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $ 633,426,166 | $ — | $ 633,426,166 | $ — | |||
Money Market Funds | 181,392 | 181,392 | — | — | |||
Repurchase Agreements | 453,000,000 | — | 453,000,000 | — | |||
U.S. Treasury Obligations | 436,432,199 | — | 436,432,199 | — | |||
Total Assets - Investments in Securities | $1,523,039,757 | $181,392 | $1,522,858,365 | $ — |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
Euro-Bobl | 09/2020 | (52) | $ (7,885,802) | $ (41,494) | ||||
Euro-Bund | 09/2020 | (1) | (198,320) | (2,316) | ||||
Euro-Schatz | 09/2020 | (27) | (3,401,711) | (3,005) | ||||
10-Year U.S. Treasury Note | 09/2020 | (56) | (7,793,625) | (17,448) | ||||
Ultra 10-Year U.S. Treasury Note | 09/2020 | 29 | 4,567,047 | 18,578 | ||||
Ultra Long U.S. Treasury Bond | 09/2020 | (20) | (4,363,125) | 32,336 | ||||
Long GILT | 09/2020 | (34) | (5,798,691) | 3,666 | ||||
2-Year U.S. Treasury Note | 09/2020 | 1,523 | 336,321,234 | 81,554 | ||||
5-Year U.S. Treasury Note | 09/2020 | (772) | (97,072,969) | (240,833) | ||||
90-Day Eurodollar | 12/2020 | 61 | 15,205,775 | 6,863 | ||||
90-Day Bank Acceptance | 03/2021 | 154 | 28,208,567 | 277,702 | ||||
90-Day Bank Acceptance | 06/2021 | 345 | 63,184,986 | 74,259 | ||||
Total Futures Contracts outstanding at June 30, 2020 | $320,973,366 | $ 189,862 |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
07/06/20 | Euro | 15,989,000 | U.S. Dollars | 17,948,132 | BNP | $ 18,005 | ||||||
09/16/20 | Australian Dollars | 1,130,000 | New Zealand Dollars | 1,206,620 | WEST | 1,447 | ||||||
07/06/20 | U.S. Dollars | 6,789 | Euro | 6,000 | BOA | 47 | ||||||
Subtotal Appreciation | $ 19,499 | |||||||||||
07/06/20 | U.S. Dollars | 95,261 | Euro | 85,000 | BOA | $ (250) | ||||||
07/06/20 | U.S. Dollars | 223,455 | Euro | 200,000 | HSBC | (1,276) | ||||||
08/04/20 | U.S. Dollars | 3,777,584 | Euro | 3,361,000 | BNP | (1,536) | ||||||
08/04/20 | U.S. Dollars | 512,912 | Canadian Dollars | 702,513 | HSBC | (4,605) | ||||||
09/16/20 | Norwegian Kroner | 7,500,000 | Swedish Kronor | 7,309,118 | MSCS | (5,726) | ||||||
07/02/20 | U.S. Dollars | 676,132 | Euro | 608,000 | BNP | (6,956) | ||||||
07/02/20 | U.S. Dollars | 3,076,868 | Euro | 2,753,000 | GSC | (16,128) | ||||||
08/05/20 | U.S. Dollars | 17,959,916 | Euro | 15,989,000 | BNP | (18,564) | ||||||
08/04/20 | U.S. Dollars | 3,901,167 | Canadian Dollars | 5,328,487 | MSCS | (24,140) | ||||||
08/04/20 | U.S. Dollars | 4,827,209 | Australian Dollars | 7,043,000 | MSCS | (34,128) | ||||||
07/02/20 | U.S. Dollars | 9,458,013 | British Pounds | 7,668,000 | GSC | (43,406) | ||||||
07/02/20 | U.S. Dollars | 4,375,045 | Canadian Dollars | 6,031,000 | UBS | (67,353) | ||||||
08/04/20 | U.S. Dollars | 9,403,483 | British Pounds | 7,668,000 | HSBC | (100,173) | ||||||
07/06/20 | U.S. Dollars | 17,476,675 | Euro | 15,701,000 | UBS | (165,849) | ||||||
07/02/20 | U.S. Dollars | 4,673,312 | Australian Dollars | 7,043,000 | MSCS | (187,062) | ||||||
Subtotal Depreciation | $(677,152) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | $(657,653) |
Reference Obligation | Fixed
Deal (Pay) Rate |
Maturity
Date |
Counterparty | Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
Credit Default Swaps on Sovereign Issuers—Buy Protection | ||||||||||||||||
Peoples Republic of China, 7.5% due 10/28/2027 (Pay Quarterly) | (1.00)% | 6/20/2024 | MS | USD | 1,600,000 | $(40,904) | $(35,993) | $(4,911) | ||||||||
$(40,904) | $(35,993) | $(4,911) |
Reference Obligation | Fixed
Deal (Pay) Rate |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection | ||||||||||||||
Markit CDX.NA.IG.32 Index (Pay Quarterly) | (1.00)% | 6/20/2024 | USD | 10,100,000 | $(117,344) | $(198,363) | $ 81,019 | |||||||
Markit CDX.NA.IG.33 Index (Pay Quarterly) | (1.00)% | 12/20/2024 | USD | 27,050,000 | (319,693) | (698,526) | 378,833 | |||||||
$(437,037) | $(896,889) | $459,852 |
Pay Rate Index/Pay Rate | Receive
Rate/Receive Rate Index |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
1-Month LIBOR + .098% (Quarterly) | 3-Month LIBOR (Quarterly) | 1/13/2023 | USD | 25,000,000 | $ (2,491) | $ — | $ (2,491) | |||||||
2.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/18/2029 | USD | 12,500,000 | (2,516,358) | (878,595) | (1,637,763) | |||||||
1.63% (Semiannually) | 3-Month LIBOR (Quarterly) | 1/6/2030 | USD | 3,400,000 | (338,929) | (17,827) | (321,102) | |||||||
$(2,857,778) | $(896,422) | $(1,961,356) |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $ 28,496,015 | $ — | $ 28,496,015 | $ — | |||
Asset-Backed Securities | 171,793,524 | — | 171,793,524 | — | |||
Commercial Paper | 2,999,188 | — | 2,999,188 | — | |||
Corporate Bonds | 241,143,433 | — | 241,143,433 | — | |||
Foreign Bonds | 120,777,157 | — | 120,777,157 | — | |||
Money Market Funds | 39,781,378 | 39,781,378 | — | — | |||
Mortgage-Backed Securities | 194,047,330 | — | 194,047,330 | — | |||
Municipal Bonds | 3,589,376 | — | 3,589,376 | — | |||
U.S. Treasury Obligations | 200,866,776 | — | 200,866,776 | — | |||
Total Assets - Investments in Securities | $1,003,494,177 | $39,781,378 | $963,712,799 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 19,499 | $ — | $ 19,499 | $ — | |||
Futures Contracts | 494,958 | 494,958 | — | — | |||
Swap Agreements | 459,852 | — | 459,852 | — | |||
Total Assets - Other Financial Instruments | $ 974,309 | $ 494,958 | $ 479,351 | $ — | |||
Liabilities: | |||||||
Investments in Securities: | |||||||
Written Options: | |||||||
Put Option | $ (1,897) | $ (1,897) | $ — | $ — | |||
Put Swaptions | (13,076) | — | (13,076) | — | |||
Total Written Options | (14,973) | (1,897) | (13,076) | — | |||
Total Liabilities - Investments in Securities | $ (14,973) | $ (1,897) | $ (13,076) | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (677,152) | $ — | $ (677,152) | $ — | |||
Futures Contracts | (305,096) | (305,096) | — | — | |||
Swap Agreements | (1,966,267) | — | (1,966,267) | — | |||
Total Liabilities - Other Financial Instruments | $ (2,948,515) | $ (305,096) | $ (2,643,419) | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, forwards contracts and swap agreements, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding", "Forwards Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
30-Year Euro Buxl | 09/2020 | (10) | $ (2,471,251) | $ (48,287) | ||||
Euro-BTP | 09/2020 | 141 | 22,792,536 | 501,475 | ||||
Euro-Bund | 09/2020 | (230) | (45,613,654) | (318,259) | ||||
Euro-OAT | 09/2020 | 39 | 7,345,837 | 79,787 | ||||
10-Year Japanese Treasury Bond | 09/2020 | (9) | (12,665,432) | 23,925 | ||||
10-Year U.S. Treasury Note | 09/2020 | 530 | 73,761,093 | 275,835 | ||||
U.S. Treasury Long Bond | 09/2020 | (444) | (79,281,750) | (524,315) | ||||
Ultra 10-Year U.S. Treasury Note | 09/2020 | 74 | 11,653,844 | 55,725 | ||||
Ultra Long U.S. Treasury Bond | 09/2020 | 320 | 69,810,000 | 490,330 | ||||
Long GILT | 09/2020 | (131) | (22,342,015) | 7,749 | ||||
2-Year U.S. Treasury Note | 09/2020 | 239 | 52,777,922 | 9,951 | ||||
5-Year U.S. Treasury Note | 09/2020 | 2,206 | 277,387,266 | 703,295 | ||||
90-Day Eurodollar | 12/2020 | 235 | 58,579,625 | 707,865 | ||||
90-Day Eurodollar | 03/2021 | (224) | (55,888,000) | (82,350) | ||||
90-Day Eurodollar | 06/2021 | (91) | (22,709,050) | (260,475) | ||||
90-Day Eurodollar | 12/2021 | (407) | (101,546,500) | (661,850) | ||||
Total Futures Contracts outstanding at June 30, 2020 | $ 231,590,471 | $ 960,401 |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
07/16/20 | Indonesian Rupiahs | 53,935,795,049 | U.S. Dollars | 3,262,904 | CITI | $ 468,752 | ||||||
07/16/20 | Mexican Pesos | 60,934,538 | U.S. Dollars | 2,424,966 | CITI | 220,091 | ||||||
07/22/20 | U.S. Dollars | 19,208,540 | Japanese Yen | 2,055,778,228 | CITI | 163,601 | ||||||
07/16/20 | Philippine Pesos | 238,833,000 | U.S. Dollars | 4,681,164 | CITI | 112,273 | ||||||
07/16/20 | Canadian Dollars | 3,789,664 | U.S. Dollars | 2,699,383 | CITI | 92,192 | ||||||
07/16/20 | Australian Dollars | 935,862 | U.S. Dollars | 583,192 | CITI | 62,711 | ||||||
07/17/20 | Russian Rubles | 73,578,434 | U.S. Dollars | 981,000 | GSC | 50,389 | ||||||
09/16/20 | U.S. Dollars | 1,853,298 | British Pounds | 1,463,542 | RBC | 38,980 | ||||||
07/15/20 | U.S. Dollars | 6,595,838 | British Pounds | 5,296,828 | SS | 31,849 | ||||||
07/17/20 | U.S. Dollars | 1,584,927 | Russian Rubles | 110,921,306 | BNP | 30,083 | ||||||
07/17/20 | Russian Rubles | 37,964,029 | U.S. Dollars | 504,500 | HSBC | 27,663 | ||||||
07/16/20 | Euro | 745,000 | U.S. Dollars | 809,718 | CITI | 27,599 | ||||||
09/16/20 | U.S. Dollars | 1,836,701 | Canadian Dollars | 2,461,133 | SS | 23,556 | ||||||
09/16/20 | Swiss Francs | 705,164 | U.S. Dollars | 738,822 | UBS | 7,219 | ||||||
08/12/20 | U.S. Dollars | 345,278 | Euro | 302,926 | WEST | 4,608 | ||||||
07/22/20 | Japanese Yen | 71,971,000 | U.S. Dollars | 662,448 | CITI | 4,299 | ||||||
09/16/20 | U.S. Dollars | 317,124 | Swedish Kronor | 2,932,052 | JPM | 2,158 | ||||||
07/16/20 | U.S. Dollars | 472,960 | Euro | 420,000 | CITI | 915 | ||||||
09/16/20 | U.S. Dollars | 292,519 | Australian Dollars | 423,000 | JPM | 530 | ||||||
07/16/20 | U.S. Dollars | 74,428 | Japanese Yen | 7,978,000 | GSC | 525 | ||||||
07/16/20 | U.S. Dollars | 418,476 | Chinese Offshore Yuan | 2,958,374 | GSC | 443 | ||||||
07/16/20 | U.S. Dollars | 233,942 | British Pounds | 188,429 | CITI | 434 | ||||||
07/02/20 | Euro | 1,056,000 | U.S. Dollars | 1,186,332 | GSC | 84 | ||||||
Subtotal Appreciation | $ 1,370,954 | |||||||||||
09/16/20 | Japanese Yen | 50,548,982 | U.S. Dollars | 468,866 | JPM | $ (206) | ||||||
07/02/20 | Brazilian Reals | 127,153 | U.S. Dollars | 23,730 | BNP | (348) | ||||||
07/02/20 | U.S. Dollars | 33,707 | Australian Dollars | 50,000 | JPM | (798) | ||||||
09/16/20 | Canadian Dollars | 1,612,843 | U.S. Dollars | 1,189,000 | CITI | (801) |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
07/16/20 | U.S. Dollars | 210,940 | Japanese Yen | 22,887,237 | CITI | $ (1,073) | ||||||
08/04/20 | U.S. Dollars | 5,872,621 | Euro | 5,225,000 | BNP | (2,387) | ||||||
07/02/20 | U.S. Dollars | 272,886 | Canadian Dollars | 374,000 | UBS | (2,600) | ||||||
07/16/20 | U.S. Dollars | 5,017,785 | Chinese Yuan Renminbi | 35,528,427 | CITI | (2,761) | ||||||
09/16/20 | Swedish Kronor | 5,804,775 | Euro | 557,000 | CITI | (3,335) | ||||||
09/16/20 | Canadian Dollars | 846,440 | U.S. Dollars | 630,000 | SS | (6,418) | ||||||
07/16/20 | Euro | 570,000 | U.S. Dollars | 647,188 | GSC | (6,556) | ||||||
09/16/20 | Euro | 684,576 | U.S. Dollars | 778,033 | CITI | (7,555) | ||||||
09/16/20 | Euro | 557,000 | Swiss Francs | 600,702 | JPM | (8,631) | ||||||
08/12/20 | U.S. Dollars | 418,167 | Euro | 380,000 | WEST | (9,181) | ||||||
07/16/20 | Chinese Yuan Renminbi | 35,528,427 | U.S. Dollars | 5,030,218 | CITI | (9,671) | ||||||
09/16/20 | British Pounds | 319,088 | U.S. Dollars | 406,841 | UBS | (11,275) | ||||||
09/16/20 | Australian Dollars | 1,636,193 | U.S. Dollars | 1,143,406 | UBS | (13,971) | ||||||
07/16/20 | Euro | 1,325,000 | U.S. Dollars | 1,506,414 | CITI | (17,225) | ||||||
07/16/20 | U.S. Dollars | 486,123 | Euro | 450,000 | GSC | (19,639) | ||||||
09/16/20 | Norwegian Kroner | 5,376,517 | U.S. Dollars | 579,678 | SS | (20,929) | ||||||
07/16/20 | Mexican Pesos | 30,000,000 | U.S. Dollars | 1,342,138 | GSC | (39,893) | ||||||
07/02/20 | U.S. Dollars | 7,581,399 | Euro | 6,826,000 | BNP | (87,612) | ||||||
07/02/20 | U.S. Dollars | 19,508,078 | British Pounds | 15,816,000 | GSC | (89,530) | ||||||
07/16/20 | Brazilian Reals | 14,592,110 | U.S. Dollars | 2,778,349 | CITI | (97,337) | ||||||
07/16/20 | U.S. Dollars | 4,664,707 | Philippine Pesos | 238,833,000 | CITI | (128,730) | ||||||
08/04/20 | U.S. Dollars | 19,395,604 | British Pounds | 15,816,000 | HSBC | (206,617) | ||||||
07/22/20 | Japanese Yen | 1,994,637,562 | U.S. Dollars | 18,729,923 | SS | (251,398) | ||||||
07/16/20 | U.S. Dollars | 4,471,776 | Russian Rubles | 346,272,014 | CITI | (382,796) | ||||||
07/16/20 | U.S. Dollars | 25,898,656 | Euro | 23,761,215 | CITI | (806,956) | ||||||
Subtotal Depreciation | $(2,236,229) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | $ (865,275) |
Reference Obligation | Fixed
Deal (Pay) Rate |
Maturity
Date |
Counterparty | Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
Credit Default Swaps on Sovereign Issuers—Buy Protection | ||||||||||||||||
Peoples Republic of China, 7.5% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | CITI | USD | 70,000 | $(1,179) | $(1,226) | $ 47 | ||||||||
Subtotal Appreciation | $(1,179) | $(1,226) | $ 47 | |||||||||||||
Credit Suisse (USA), Inc. 6.5% due 1/15/2018 (Pay Quarterly) | (1.00)% | 9/20/2020 | GSC | USD | 300,000 | $ (663) | $ 6,900 | $ (7,563) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 12/20/2020 | JPM | USD | 590,000 | (2,630) | 2,495 | (5,125) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 12/20/2020 | CITI | USD | 330,000 | (1,470) | 2,663 | (4,133) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 12/20/2020 | BOA | USD | 300,000 | (1,338) | 1,691 | (3,029) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2021 | CITI | USD | 920,000 | (8,117) | 6,695 | (14,812) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2021 | BOA | USD | 460,000 | (4,059) | 5,499 | (9,558) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2021 | DEUT | USD | 360,000 | (3,175) | 2,602 | (5,777) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2021 | JPM | USD | 320,000 | (2,823) | 1,224 | (4,047) |
Reference Obligation | Fixed
Deal (Pay) Rate |
Maturity
Date |
Counterparty | Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 12/20/2021 | DEUT | USD | 430,000 | $ (5,522) | $ 1,639 | $ (7,161) | ||||||||
Peoples Republic of China, 7.5% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | JPM | USD | 630,000 | (10,606) | (6,835) | (3,771) | ||||||||
Subtotal Depreciation | $(40,403) | $24,573 | $(64,976) | |||||||||||||
Net Credit Default Swaps on Sovereign Issuers—Buy Protection outstanding at June 30, 2020 | $(41,582) | $23,347 | $(64,929) |
Reference Obligation | Implied
Credit Spread |
Fixed
Deal (Pay) Rate |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swaps on Corporate and Sovereign Issuers—Sell Protection | ||||||||||||||||
General Electric Co., 2.70% due 10/9/2022 (Receive Quarterly) | 1.48% | 1.00% | 12/20/2023 | USD | 600,000 | $ (9,497) | $ (25,420) | $ 15,923 | ||||||||
Prudential Financial, Inc., 3.50% due 5/15/2024 (Receive Quarterly) | 0.44% | 1.00% | 6/20/2024 | USD | 1,075,000 | 24,320 | 18,590 | 5,730 | ||||||||
Rolls-Royce Holdings PLC (Receive Quarterly) | 4.24% | 1.00% | 6/20/2025 | EUR | 900,000 | (141,451) | (142,606) | 1,155 | ||||||||
Subtotal Appreciation | $(126,628) | $(149,436) | $ 22,808 | |||||||||||||
General Electric Co., 2.70% due 10/9/2022 (Receive Quarterly) | 1.56% | 1.00% | 6/20/2024 | USD | 2,150,000 | $ (45,407) | $ (34,866) | $ (10,541) | ||||||||
Republic of Colombia, 10.38% due 1/28/2033 (Receive Quarterly) | 1.32% | 1.00% | 6/20/2024 | USD | 1,000,000 | (12,102) | 5,985 | (18,087) | ||||||||
Republic of Indonesia, 5.88% due 3/13/2020 (Receive Quarterly) | 1.06% | 1.00% | 6/20/2024 | USD | 3,470,000 | (7,349) | 4,023 | (11,372) | ||||||||
The Boeing Co., 8.75% due 8/15/21 (Receive Quarterly) | 2.44% | 1.00% | 6/20/2024 | USD | 475,000 | (25,151) | 11,979 | (37,130) | ||||||||
General Electric Co., 2.70% due 10/9/2022 (Receive Quarterly) | 1.68% | 1.00% | 12/20/2024 | USD | 600,000 | (17,376) | (9,660) | (7,716) | ||||||||
Republic of Peru, 8.75% 11/21/2033 (Receive Quarterly) | 0.84% | 1.00% | 12/20/2024 | USD | 1,000,000 | 7,316 | 21,212 | (13,896) | ||||||||
Russian Federation, 1.00% due 12/20/2024 (Receive Quarterly) | 1.02% | 1.00% | 12/20/2024 | USD | 1,950,000 | (1,327) | 33,333 | (34,660) | ||||||||
Subtotal Depreciation | $(101,396) | $ 32,006 | $(133,402) | |||||||||||||
Net
Centrally Cleared Credit Default Swaps on Corporate and Sovereign Issuers—Sell Protection outstanding at June 30, 2020 |
$(228,024) | $(117,430) | $(110,594) |
Reference Obligation | Implied
Credit Spread |
Fixed
Deal (Pay) Rate |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Sell Protection | ||||||||||||||||
Markit CDX.NA.IG.34 Index (Receive Quarterly) | 0.76% | 1.00% | 6/20/2025 | USD | 60,490,000 | $707,002 | $ 77,287 | $ 629,715 | ||||||||
Subtotal Appreciation | $707,002 | $ 77,287 | $ 629,715 | |||||||||||||
Markit CDX.NA.IG.34 Index (Receive Quarterly) | 0.64% | 1.00% | 6/20/2023 | USD | 12,425,000 | $135,984 | $161,786 | $ (25,802) | ||||||||
Markit CDX.NA.HY.33 Index (Receive Quarterly) | 5.16% | 5.00% | 12/20/2024 | USD | 552,000 | (2,617) | 41,262 | (43,879) | ||||||||
Markit CDX.NA.IG.33 Index (Receive Quarterly) | 0.74% | 1.00% | 12/20/2024 | USD | 10,025,000 | 118,482 | 190,390 | (71,908) | ||||||||
Subtotal Depreciation | $251,849 | $393,438 | $(141,589) | |||||||||||||
Net Centrally Cleared Credit Default Swaps on Credit Indexes—Sell Protection outstanding at June 30, 2020 | $958,851 | $470,725 | $ 488,126 |
Pay Rate Index/Pay Rate | Receive
Rate/Receive Rate Index |
Maturity
Date |
Counterparty | Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
Interest Rate Swaps | ||||||||||||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 7.02% (Upon termination) | 1/4/2027 | CITI | BRL | 15,744,748 | $338,644 | $10,600 | $328,044 | ||||||||
$338,644 | $10,600 | $328,044 |
Pay Rate Index/Pay Rate | Receive
Rate/Receive Rate Index |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.12% (Upon termination) | 1/3/2022 | BRL | 6,759,765 | $ 25,525 | $ 5,227 | $ 20,298 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 5.44% (Upon termination) | 1/3/2022 | BRL | 1,421,123 | 12,849 | 3,590 | 9,259 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.81% (Upon termination) | 1/3/2022 | BRL | 1,357,562 | 8,221 | — | 8,221 | |||||||
3-Month LIBOR (Quarterly) | 0.60% (Semiannually) | 3/23/2022 | USD | 23,834,000 | 191,103 | 3,724 | 187,379 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 4.50% (Lunar) | 9/15/2022 | MXN | 39,720,000 | 5,402 | (1,052) | 6,454 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 5.75% (Upon termination) | 1/2/2023 | BRL | 3,416,710 | 35,772 | 6,179 | 29,593 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 6.66% (Upon termination) | 1/2/2023 | BRL | 2,430,906 | 41,647 | 6,512 | 35,135 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 6.37% (Upon termination) | 1/2/2023 | BRL | 864,223 | 11,027 | — | 11,027 | |||||||
3-Month CDOR (Semiannually) | 0.50% (Semiannually) | 9/16/2023 | CAD | 56,840,000 | (194,561) | (244,145) | 49,584 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.93% (Upon termination) | 1/2/2024 | BRL | 615,665 | 244 | (309) | 553 | |||||||
1-Month LIBOR + .09% (Quarterly) | 3-Month LIBOR (Quarterly) | 7/25/2024 | USD | 25,000,000 | 4,400 | 406 | 3,994 | |||||||
3-Month LIBOR (Quarterly) | 0.38% (Semiannually) | 8/31/2024 | USD | 36,067,000 | 163,999 | 12,879 | 151,120 | |||||||
1-Day US Federal Fund Effective Rate (Annually) | 0.10% (Annually) | 11/30/2024 | USD | 18,156,000 | 37,401 | 11,402 | 25,999 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 6.26% (Upon termination) | 1/2/2025 | BRL | 2,861,086 | 25,374 | 8,171 | 17,203 | |||||||
3-Month LIBOR (Quarterly) | 0.70% (Semiannually) | 3/23/2025 | USD | 13,880,000 | 284,070 | (11,207) | 295,277 | |||||||
6-Month ASX BBSW (Semiannually) | 0.55% (Semiannually) | 5/16/2025 | AUD | 23,660,000 | 9,261 | (14,714) | 23,975 | |||||||
1-Day SONIA (Annually) | 0.27% (Annually) | 6/17/2025 | GBP | 18,440,000 | 310,203 | 110,512 | 199,691 | |||||||
1-Day SONIA (Annually) | 0.03% (Annually) | 6/17/2025 | GBP | 14,820,000 | 30,561 | (35,497) | 66,058 | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.50% (Quarterly) | 6/17/2025 | CNY | 31,460,000 | 35,846 | 30,652 | 5,194 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 5.40% (Lunar) | 9/11/2025 | MXN | 61,500,000 | 65,167 | 8,101 | 57,066 | |||||||
3-Month LIBOR (Quarterly) | 0.77% (Semiannually) | 3/24/2027 | USD | 18,910,000 | 456,634 | 139,777 | 316,857 | |||||||
6-Month ASX BBSW (Semiannually) | 0.96% (Semiannually) | 4/21/2027 | AUD | 5,410,000 | 18,283 | 948 | 17,335 | |||||||
0.26% (Annually) | 1-Day US Federal Fund Effective Rate (Annually) | 5/15/2027 | USD | 19,541,000 | (43,634) | (65,594) | 21,960 | |||||||
0.00% (Annually) | 6-Month EURIBOR (Semiannually) | 9/16/2027 | EUR | 8,930,000 | (200,231) | (207,264) | 7,033 | |||||||
6-Month ASX BBSW (Semiannually) | 1.00% (Semiannually) | 4/26/2028 | AUD | 11,940,000 | 24,227 | (25,838) | 50,065 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 7.45% (Lunar) | 7/18/2029 | MXN | 165,770,000 | 1,031,000 | 68,836 | 962,164 | |||||||
6-Month ASX BBSW (Semiannually) | 1.75% (Semiannually) | 3/19/2030 | AUD | 4,610,000 | 69,486 | 46,572 | 22,914 | |||||||
3-Month LIBOR (Quarterly) | 0.98% (Semiannually) | 5/21/2030 | USD | 9,810,000 | 15,550 | (12,505) | 28,055 | |||||||
6-Month EURIBOR (Semiannually) | 0.05% (Annually) | 5/21/2030 | EUR | 7,130,000 | 22,065 | (3,972) | 26,037 | |||||||
3-Month LIBOR (Quarterly) | 1.75% (Semiannually) | 6/18/2030 | USD | 5,970,000 | 232,058 | 161,206 | 70,852 | |||||||
6-Month ASX BBSW (Semiannually) | 1.50% (Semiannually) | 9/16/2030 | AUD | 6,290,000 | 252,251 | 177,094 | 75,157 |
Pay Rate Index/Pay Rate | Receive
Rate/Receive Rate Index |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
0.10% (Annually) | 6-Month LIBOR (Semiannually) | 9/17/2030 | CHF | 2,080,000 | $ 4,492 | $ (2,731) | $ 7,223 | |||||||
6-Month EURIBOR (Semiannually) | 0.05% (Annually) | 12/15/2030 | EUR | 1,160,000 | 12,383 | 11,802 | 581 | |||||||
6-Month EURIBOR (Semiannually) | 0.02% (Annually) | 4/7/2031 | EUR | 690,000 | 11,560 | 10,296 | 1,264 | |||||||
6-Month EURIBOR (Semiannually) | 0.05% (Annually) | 10/26/2031 | EUR | 320,000 | 4,998 | 2,717 | 2,281 | |||||||
1.36% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 4/21/2040 | AUD | 1,560,000 | 17,815 | (709) | 18,524 | |||||||
0.26% (Annually) | 6-Month EURIBOR (Semiannually) | 5/21/2040 | EUR | 3,400,000 | 25,030 | 13,963 | 11,067 | |||||||
0.75% (Annually) | 6-Month EURIBOR (Semiannually) | 6/19/2040 | EUR | 1,650,000 | (80,441) | (83,555) | 3,114 | |||||||
1.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/19/2040 | GBP | 790,000 | (91,570) | (95,698) | 4,128 | |||||||
3-Month LIBOR (Quarterly) | 1.75% (Semiannually) | 6/19/2040 | USD | 1,470,000 | 82,351 | 73,045 | 9,306 | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 9/16/2040 | EUR | 270,000 | 26,004 | 17,381 | 8,623 | |||||||
0.86% (Semiannually) | 3-Month LIBOR (Quarterly) | 4/9/2045 | USD | 6,690,000 | 58,004 | — | 58,004 | |||||||
0.90% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/17/2050 | USD | 2,110,000 | 6,009 | (64) | 6,073 | |||||||
3-Month CDOR (Semiannually) | 1.75% (Semiannually) | 6/17/2050 | CAD | 2,260,000 | 165,525 | 91,081 | 74,444 | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/20/2050 | GBP | 710,000 | (51,480) | (56,231) | 4,751 | |||||||
3-Month LIBOR (Quarterly) | 1.75% (Semiannually) | 6/20/2050 | USD | 310,000 | 19,471 | 14,942 | 4,529 | |||||||
0.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 12/16/2050 | GBP | 1,300,000 | (32,330) | (49,739) | 17,409 | |||||||
Subtotal Appreciation | $ 3,159,021 | $ 126,191 | $ 3,032,830 | |||||||||||
6.24% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 4,179,369 | $ (51,195) | $ — | $ (51,195) | |||||||
7.22% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 3,702,329 | (64,828) | — | (64,828) | |||||||
0.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/16/2023 | USD | 24,910,000 | (199,575) | (149,329) | (50,246) | |||||||
6-Month LIBOR (Semiannually) | 0.10% (Semiannually) | 3/20/2024 | JPY | 800,000,000 | 40,517 | 42,931 | (2,414) | |||||||
0.31% (Annually) | 6-Month EURIBOR (Semiannually) | 5/18/2025 | EUR | 17,420,000 | (17,867) | 15,870 | (33,737) | |||||||
3-Month LIBOR (Quarterly) | 0.50% (Semiannually) | 9/16/2025 | USD | 6,580,000 | 53,020 | 53,570 | (550) | |||||||
1.55% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/30/2026 | USD | 40,547,000 | (2,815,165) | 142,909 | (2,958,074) | |||||||
1.52% (Semiannually) | 3-Month LIBOR (Quarterly) | 7/31/2026 | USD | 19,790,000 | (1,442,170) | 70,621 | (1,512,791) | |||||||
1.60% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/15/2026 | USD | 12,122,000 | (929,287) | 4,777 | (934,064) | |||||||
1.65% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/15/2026 | USD | 4,469,000 | (357,096) | (13,064) | (344,032) | |||||||
6-Month LIBOR (Semiannually) | 0.50% (Annually) | 9/16/2027 | CHF | 9,040,000 | (52,759) | (50,963) | (1,796) | |||||||
0.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/10/2030 | GBP | 5,920,000 | (6,307) | 76,577 | (82,884) | |||||||
0.57% (Annually) | 1-Day SONIA (Annually) | 3/18/2030 | GBP | 5,420,000 | (311,592) | 23,302 | (334,894) | |||||||
6-Month LIBOR (Semiannually) | 0.25% (Semiannually) | 3/19/2030 | JPY | 123,890,000 | 8,776 | 8,776 | — | |||||||
0.31% (Annually) | 1-Day SONIA (Annually) | 6/17/2030 | GBP | 6,090,000 | (148,172) | (44,089) | (104,083) | |||||||
0.25% (Annually) | 6-Month EURIBOR (Semiannually) | 6/18/2030 | EUR | 7,040,000 | (100,642) | (50,430) | (50,212) | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/18/2030 | GBP | 3,300,000 | (102,680) | (79,512) | (23,168) | |||||||
1.16% (Semiannually) | 3-Month LIBOR (Quarterly) | 5/21/2035 | USD | 9,850,000 | (7,420) | 23,513 | (30,933) | |||||||
2.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 2/1/2037 | GBP | 2,100,000 | (380,079) | (28,177) | (351,902) | |||||||
2.05% (Semiannually) | 6-Month LIBOR (Semiannually) | 2/1/2037 | GBP | 3,300,000 | (601,292) | (55,813) | (545,479) | |||||||
6-Month LIBOR (Semiannually) | 0.04% (Semiannually) | 3/10/2038 | JPY | 344,000,000 | (101,569) | — | (101,569) | |||||||
0.75% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/20/2038 | JPY | 1,469,200,000 | (1,299,103) | 13,013 | (1,312,116) | |||||||
0.40% (Annually) | 1-Day SONIA (Annually) | 6/17/2040 | GBP | 4,680,000 | (241,677) | (237,020) | (4,657) | |||||||
6-Month LIBOR (Semiannually) | 0.50% (Semiannually) | 6/20/2040 | JPY | 210,700,000 | 8,128 | 21,959 | (13,831) | |||||||
1.81% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/15/2044 | USD | 1,544,000 | (319,283) | 2,066 | (321,349) | |||||||
1.85% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/15/2044 | USD | 18,289,000 | (3,949,684) | 31,208 | (3,980,892) | |||||||
3-Month LIBOR (Quarterly) | 0.85% (Semiannually) | 4/10/2050 | USD | 6,930,000 | (31,430) | — | (31,430) | |||||||
0.50% (Annually) | 6-Month EURIBOR (Semiannually) | 6/20/2050 | EUR | 250,000 | (15,496) | (14,464) | (1,032) | |||||||
6-Month LIBOR (Semiannually) | 0.50% (Semiannually) | 6/20/2050 | JPY | 219,280,000 | (3,878) | 21,202 | (25,080) | |||||||
0.50% (Annually) | 6-Month EURIBOR (Semiannually) | 9/16/2050 | EUR | 360,000 | (57,304) | (54,121) | (3,183) | |||||||
0.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 9/16/2050 | GBP | 1,900,000 | (47,414) | (40,509) | (6,905) | |||||||
0.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/16/2050 | USD | 1,000,000 | 46,694 | 89,552 | (42,858) | |||||||
Subtotal Depreciation | $(13,497,829) | $(175,645) | $(13,322,184) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at June 30, 2020 | $(10,338,808) | $ (49,454) | $(10,289,354) |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $ 1,938,469 | $ — | $ 1,938,469 | $ — | |||
Asset-Backed Securities | 91,404,965 | — | 91,404,965 | — | |||
Corporate Bonds | 590,358,646 | — | 588,636,223 | 1,722,423 | |||
Foreign Bonds | |||||||
Argentina | 1,540,662 | — | 1,524,278 | 16,384 | |||
Other ^^ | 220,050,140 | — | 220,050,140 | — | |||
Total Foreign Bonds | 221,590,802 | — | 221,574,418 | 16,384 | |||
Loan Agreements | 12,017,281 | — | 12,017,281 | — | |||
Money Market Funds | 121,793,066 | 121,793,066 | — | — | |||
Mortgage-Backed Securities | 720,008,047 | — | 720,008,047 | — | |||
Municipal Bonds | 10,536,665 | — | 10,536,665 | — | |||
Purchased Options: | |||||||
Call Options | 377,079 | 377,079 | — | — | |||
Put Options | 87,844 | 87,844 | — | — | |||
Total Purchased Options | 464,923 | 464,923 | — | — | |||
Repurchase Agreements | 117,500,000 | — | 117,500,000 | — | |||
U.S. Treasury Obligations | 236,472,640 | — | 236,472,640 | — | |||
Total Assets - Investments in Securities | $2,124,085,504 | $122,257,989 | $2,000,088,708 | $1,738,807 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 1,370,954 | $ — | $ 1,370,954 | $ — | |||
Futures Contracts | 2,855,937 | 2,855,937 | — | — | |||
Swap Agreements | 4,013,444 | — | 4,013,444 | — | |||
Total Assets - Other Financial Instruments | $ 8,240,335 | $ 2,855,937 | $ 5,384,398 | $ — | |||
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
TBA Sale Commitments | $(77,743,372) | $ — | $(77,743,372) | $ — | |||
Written Options: | |||||||
Call Options | (128,580) | (128,580) | — | — | |||
Call Swaptions | (277,622) | — | (277,622) | — | |||
Put Options | (76,161) | (76,161) | — | — | |||
Put Swaptions | (963,607) | — | (963,607) | — | |||
Total Written Options | (1,445,970) | (204,741) | (1,241,229) | — | |||
Total Liabilities - Investments in Securities | $(79,189,342) | $ (204,741) | $(78,984,601) | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (2,236,229) | $ — | $ (2,236,229) | $ — | |||
Futures Contracts | (1,895,536) | (1,895,536) | — | — | |||
Swap Agreements | (13,662,151) | — | (13,662,151) | — | |||
Total Liabilities - Other Financial Instruments | $(17,793,916) | $(1,895,536) | $(15,898,380) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forwards contracts and swap agreements, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding", "Forwards Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Asset-Backed Security | $ 350,101 | $ — | $ 350,101 | $ — | |||
Corporate Bonds | 138,249,657 | — | 138,249,657 | — | |||
Foreign Bonds | 33,359,994 | — | 33,359,994 | — | |||
Money Market Funds | 15,795,427 | 15,795,427 | — | — | |||
Mortgage-Backed Securities | 5,535,942 | — | 5,535,942 | — | |||
Municipal Bonds | 3,264,387 | — | 3,264,387 | — | |||
Preferred Stocks | 239,091 | 239,051 | 40 | — | |||
U.S. Treasury Obligations | 91,950,415 | — | 91,950,415 | — | |||
Total Assets - Investments in Securities | $288,745,014 | $16,034,478 | $272,710,536 | $ — |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
Euro-Bobl | 09/2020 | (66) | $(10,008,903) | $ (41,596) | ||||
Euro-Bund | 09/2020 | (42) | (8,329,450) | (66,971) | ||||
10-Year Japanese E-Mini | 09/2020 | 248 | 34,884,223 | 55,665 | ||||
10-Year Commonwealth Treasury Bond | 09/2020 | 62 | 6,366,087 | 11,405 | ||||
10-Year Canadian Bond | 09/2020 | 16 | 1,812,846 | (3,960) | ||||
10-Year U.S. Treasury Note | 09/2020 | (45) | (6,262,734) | (15,778) | ||||
U.S. Treasury Long Bond | 09/2020 | (33) | (5,892,563) | (22,101) | ||||
Ultra 10-Year U.S. Treasury Note | 09/2020 | (222) | (34,961,531) | (128,344) | ||||
Ultra Long U.S. Treasury Bond | 09/2020 | (63) | (13,743,844) | (91,939) |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
Long GILT | 09/2020 | 33 | $ 5,628,141 | $ 6,307 | ||||
2-Year U.S. Treasury Note | 09/2020 | 614 | 135,588,469 | 214 | ||||
5-Year U.S. Treasury Note | 09/2020 | (71) | (8,927,695) | (37,453) | ||||
Total Futures Contracts outstanding at June 30, 2020 | $ 96,153,046 | $(334,551) |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
07/16/20 | Euro | 26,775,940 | U.S. Dollars | 29,253,531 | CITI | $ 840,378 | ||||||
07/22/20 | Australian Dollars | 6,577,111 | U.S. Dollars | 4,220,512 | CITI | 318,979 | ||||||
07/22/20 | Norwegian Kroner | 40,728,334 | U.S. Dollars | 3,949,612 | RBC | 282,167 | ||||||
07/22/20 | U.S. Dollars | 3,607,289 | Brazilian Reals | 18,409,400 | SC | 226,013 | ||||||
07/22/20 | Swedish Kronor | 42,037,426 | U.S. Dollars | 4,293,281 | CITI | 219,339 | ||||||
07/22/20 | U.S. Dollars | 11,009,952 | British Pounds | 8,744,151 | CITI | 173,406 | ||||||
07/16/20 | Japanese Yen | 3,537,306,000 | U.S. Dollars | 32,601,598 | CITI | 165,762 | ||||||
07/22/20 | Euro | 4,862,714 | U.S. Dollars | 5,324,568 | SS | 141,473 | ||||||
07/16/20 | Russian Rubles | 218,380,000 | U.S. Dollars | 2,921,862 | CITI | 139,724 | ||||||
07/22/20 | Euro | 4,198,627 | U.S. Dollars | 4,598,110 | CITI | 121,450 | ||||||
07/22/20 | Swiss Francs | 6,921,622 | U.S. Dollars | 7,189,929 | SC | 120,636 | ||||||
07/22/20 | Euro | 3,268,390 | U.S. Dollars | 3,561,645 | SC | 112,261 | ||||||
07/22/20 | Australian Dollars | 1,860,922 | U.S. Dollars | 1,173,395 | SS | 111,005 | ||||||
07/22/20 | Canadian Dollars | 5,090,255 | U.S. Dollars | 3,641,829 | SC | 107,865 | ||||||
07/22/20 | Norwegian Kroner | 22,451,883 | U.S. Dollars | 2,233,821 | CITI | 98,989 | ||||||
07/22/20 | Polish Zloty | 8,009,569 | U.S. Dollars | 1,930,421 | RBC | 94,239 | ||||||
07/16/20 | Indian Rupees | 189,201,535 | U.S. Dollars | 2,424,417 | CITI | 76,584 | ||||||
07/22/20 | Swedish Kronor | 11,079,243 | U.S. Dollars | 1,114,705 | SS | 74,626 | ||||||
07/22/20 | Russian Rubles | 130,946,120 | U.S. Dollars | 1,761,271 | CITI | 72,970 | ||||||
07/22/20 | New Zealand Dollars | 2,115,202 | U.S. Dollars | 1,295,412 | CITI | 69,605 | ||||||
07/22/20 | Swedish Kronor | 8,506,184 | U.S. Dollars | 855,606 | RBC | 57,514 | ||||||
07/22/20 | U.S. Dollars | 5,608,546 | Japanese Yen | 599,741,723 | CITI | 52,477 | ||||||
07/22/20 | Mexican Pesos | 30,174,015 | U.S. Dollars | 1,259,891 | SC | 48,783 | ||||||
07/22/20 | Swiss Francs | 1,562,827 | U.S. Dollars | 1,609,622 | CITI | 41,024 | ||||||
07/22/20 | U.S. Dollars | 747,705 | Chilean Pesos | 580,293,801 | CITI | 40,923 | ||||||
07/22/20 | New Zealand Dollars | 940,936 | U.S. Dollars | 570,042 | SC | 37,179 | ||||||
07/22/20 | Canadian Dollars | 2,209,000 | U.S. Dollars | 1,591,415 | RBC | 35,827 | ||||||
07/22/20 | U.S. Dollars | 2,091,831 | British Pounds | 1,660,568 | RBC | 33,905 | ||||||
07/22/20 | Swedish Kronor | 6,491,441 | U.S. Dollars | 667,602 | SC | 29,240 | ||||||
07/22/20 | U.S. Dollars | 5,339,256 | Euro | 4,724,902 | SC | 28,126 | ||||||
07/22/20 | Brazilian Reals | 3,594,140 | U.S. Dollars | 634,336 | CITI | 25,803 | ||||||
07/22/20 | U.S. Dollars | 762,118 | Mexican Pesos | 17,014,590 | CITI | 24,180 | ||||||
07/22/20 | New Zealand Dollars | 554,440 | U.S. Dollars | 335,869 | SS | 21,932 | ||||||
07/22/20 | Chilean Pesos | 580,284,121 | U.S. Dollars | 685,558 | RBC | 21,211 | ||||||
07/22/20 | Mexican Pesos | 9,379,338 | U.S. Dollars | 392,416 | RBC | 14,374 | ||||||
07/16/20 | Australian Dollars | 187,959 | U.S. Dollars | 117,128 | CITI | 12,595 | ||||||
07/22/20 | Canadian Dollars | 1,820,696 | U.S. Dollars | 1,331,632 | CITI | 9,568 | ||||||
07/22/20 | U.S. Dollars | 1,010,142 | British Pounds | 807,539 | SC | 9,366 | ||||||
07/22/20 | Euro | 239,409 | U.S. Dollars | 259,990 | RBC | 9,124 | ||||||
07/22/20 | U.S. Dollars | 984,371 | New Zealand Dollars | 1,512,711 | SC | 8,163 | ||||||
07/22/20 | U.S. Dollars | 1,979,265 | Canadian Dollars | 2,676,174 | SC | 7,883 | ||||||
07/22/20 | U.S. Dollars | 1,630,061 | Australian Dollars | 2,351,751 | SC | 6,893 |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
07/22/20 | Australian Dollars | 622,260 | U.S. Dollars | 423,278 | SC | $ 6,203 | ||||||
07/22/20 | British Pounds | 1,310,487 | U.S. Dollars | 1,619,565 | SC | 4,509 | ||||||
07/22/20 | South Korean Won | 406,027,835 | U.S. Dollars | 334,317 | CITI | 3,981 | ||||||
07/22/20 | U.S. Dollars | 5,663,303 | Euro | 5,034,672 | CITI | 3,970 | ||||||
07/22/20 | South Korean Won | 888,781,256 | U.S. Dollars | 736,630 | SC | 3,893 | ||||||
07/22/20 | Canadian Dollars | 137,708 | U.S. Dollars | 97,673 | SS | 3,768 | ||||||
07/16/20 | Canadian Dollars | 118,964 | U.S. Dollars | 84,739 | CITI | 2,894 | ||||||
07/22/20 | Japanese Yen | 16,499,494 | U.S. Dollars | 150,525 | SC | 2,328 | ||||||
07/22/20 | U.S. Dollars | 678,038 | Czech Republic Koruna | 16,038,094 | SC | 1,892 | ||||||
07/22/20 | Norwegian Kroner | 17,470,857 | U.S. Dollars | 1,813,455 | SC | 1,813 | ||||||
07/22/20 | U.S. Dollars | 492,570 | Swiss Francs | 464,871 | SC | 1,576 | ||||||
07/22/20 | U.S. Dollars | 243,076 | Japanese Yen | 26,133,632 | SC | 972 | ||||||
07/22/20 | Brazilian Reals | 517,849 | U.S. Dollars | 94,395 | SC | 719 | ||||||
07/22/20 | Japanese Yen | 18,378,815 | U.S. Dollars | 169,608 | CITI | 655 | ||||||
07/22/20 | U.S. Dollars | 100,651 | Japanese Yen | 10,799,055 | SS | 607 | ||||||
07/22/20 | U.S. Dollars | 92,737 | British Pounds | 74,447 | SS | 476 | ||||||
07/16/20 | South African Rand | 14,380,000 | U.S. Dollars | 826,712 | CITI | 428 | ||||||
07/22/20 | Japanese Yen | 24,554,696 | U.S. Dollars | 227,219 | SS | 258 | ||||||
07/22/20 | U.S. Dollars | 248,863 | Australian Dollars | 360,467 | CITI | 70 | ||||||
07/22/20 | South African Rand | 3,581 | U.S. Dollars | 194 | RBC | 12 | ||||||
07/22/20 | U.S. Dollars | 8 | Czech Republic Koruna | 207 | RBC | — | ||||||
Subtotal Appreciation | $ 4,184,585 | |||||||||||
07/22/20 | U.S. Dollars | 121,541 | Chinese Yuan Renminbi | 860,444 | CITI | $ (33) | ||||||
07/22/20 | U.S. Dollars | 99,620 | Swedish Kronor | 929,506 | CITI | (160) | ||||||
10/16/20 | U.S. Dollars | 819,331 | South African Rand | 14,380,000 | CITI | (262) | ||||||
07/22/20 | U.S. Dollars | 1,027,259 | Chinese Yuan Renminbi | 7,275,666 | SC | (734) | ||||||
07/22/20 | Swedish Kronor | 2,288,185 | U.S. Dollars | 246,716 | SC | (1,085) | ||||||
07/22/20 | U.S. Dollars | 306,560 | New Zealand Dollars | 476,801 | SC | (1,137) | ||||||
07/22/20 | Australian Dollars | 187,229 | U.S. Dollars | 130,601 | SC | (1,376) | ||||||
07/22/20 | Euro | 143,620 | U.S. Dollars | 163,066 | CITI | (1,627) | ||||||
07/22/20 | U.S. Dollars | 124,406 | British Pounds | 101,736 | SC | (1,675) | ||||||
07/22/20 | Euro | 124,967 | U.S. Dollars | 142,296 | RBC | (1,824) | ||||||
07/22/20 | U.S. Dollars | 1,698,100 | Japanese Yen | 183,506,871 | SS | (1,926) | ||||||
07/22/20 | Japanese Yen | 12,318,763 | U.S. Dollars | 116,319 | SS | (2,196) | ||||||
07/16/20 | British Pounds | 1,016,249 | U.S. Dollars | 1,261,714 | CITI | (2,339) | ||||||
07/22/20 | British Pounds | 389,127 | U.S. Dollars | 484,729 | SS | (2,488) | ||||||
07/22/20 | U.S. Dollars | 86,309 | Mexican Pesos | 2,065,352 | CITI | (3,268) | ||||||
07/22/20 | Euro | 802,458 | U.S. Dollars | 905,768 | SC | (3,748) | ||||||
07/22/20 | British Pounds | 200,000 | U.S. Dollars | 251,869 | RBC | (4,011) | ||||||
07/22/20 | Brazilian Reals | 613,414 | U.S. Dollars | 117,675 | RBC | (5,008) | ||||||
07/22/20 | U.S. Dollars | 5,967,026 | Swiss Francs | 5,654,308 | SC | (5,011) | ||||||
07/22/20 | Norwegian Kroner | 4,548,541 | U.S. Dollars | 478,121 | SC | (5,517) | ||||||
07/22/20 | U.S. Dollars | 330,421 | South Korean Won | 403,370,331 | CITI | (5,663) | ||||||
07/16/20 | U.S. Dollars | 1,109,620 | British Pounds | 900,000 | CITI | (5,694) | ||||||
07/22/20 | Chinese Yuan Renminbi | 14,748,521 | U.S. Dollars | 2,089,647 | RBC | (5,801) | ||||||
07/22/20 | U.S. Dollars | 6,020,308 | Japanese Yen | 650,667,105 | SC | (7,538) | ||||||
07/22/20 | Canadian Dollars | 2,137,941 | U.S. Dollars | 1,583,155 | SC | (8,259) | ||||||
07/22/20 | U.S. Dollars | 731,806 | South Korean Won | 888,704,795 | RBC | (8,653) | ||||||
07/22/20 | U.S. Dollars | 215,286 | Mexican Pesos | 5,170,512 | SS | (8,964) | ||||||
07/22/20 | South African Rand | 6,350,244 | U.S. Dollars | 373,977 | RBC | (8,968) | ||||||
07/22/20 | U.S. Dollars | 528,159 | Swiss Francs | 508,816 | SS | (9,248) | ||||||
07/22/20 | British Pounds | 966,980 | Euro | 1,075,921 | SC | (11,044) | ||||||
07/22/20 | Brazilian Reals | 1,145,976 | U.S. Dollars | 224,953 | SS | (14,470) | ||||||
07/22/20 | U.S. Dollars | 158,458 | Australian Dollars | 251,304 | SS | (14,990) | ||||||
07/22/20 | Mexican Pesos | 7,155,203 | U.S. Dollars | 328,559 | CITI | (18,232) |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
07/16/20 | Euro | 2,625,000 | U.S. Dollars | 2,968,515 | GSC | $ (18,235) | ||||||
07/22/20 | U.S. Dollars | 314,034 | New Zealand Dollars | 516,418 | RBC | (19,230) | ||||||
07/16/20 | Euro | 795,639 | Polish Zloty | 3,620,000 | CITI | (20,814) | ||||||
07/22/20 | Brazilian Reals | 1,810,615 | U.S. Dollars | 354,876 | SC | (22,319) | ||||||
07/22/20 | U.S. Dollars | 994,069 | Turkish Lira | 7,035,095 | RBC | (26,486) | ||||||
07/22/20 | U.S. Dollars | 876,761 | Canadian Dollars | 1,229,316 | SC | (28,805) | ||||||
07/22/20 | U.S. Dollars | 1,363,314 | Canadian Dollars | 1,891,142 | RBC | (29,780) | ||||||
07/22/20 | U.S. Dollars | 2,804,587 | Swiss Francs | 2,685,266 | CITI | (31,570) | ||||||
07/22/20 | U.S. Dollars | 332,736 | South African Rand | 6,352,422 | RBC | (32,399) | ||||||
07/16/20 | U.S. Dollars | 791,153 | South African Rand | 14,380,000 | CITI | (35,988) | ||||||
07/22/20 | British Pounds | 3,211,524 | U.S. Dollars | 4,017,520 | SC | (37,508) | ||||||
07/22/20 | U.S. Dollars | 1,284,961 | Canadian Dollars | 1,796,864 | SS | (38,683) | ||||||
07/22/20 | U.S. Dollars | 821,775 | Russian Rubles | 61,444,124 | SC | (38,910) | ||||||
07/22/20 | U.S. Dollars | 662,251 | Czech Republic Koruna | 16,642,360 | SC | (39,371) | ||||||
07/22/20 | Japanese Yen | 554,900,217 | U.S. Dollars | 5,181,776 | CITI | (41,124) | ||||||
07/16/20 | Japanese Yen | 1,013,430,000 | U.S. Dollars | 9,432,257 | CITI | (44,484) | ||||||
07/22/20 | U.S. Dollars | 912,357 | Polish Zloty | 3,800,948 | SC | (48,447) | ||||||
07/22/20 | British Pounds | 2,335,114 | U.S. Dollars | 2,943,160 | CITI | (49,275) | ||||||
07/22/20 | U.S. Dollars | 995,931 | Brazilian Reals | 5,731,358 | CITI | (56,754) | ||||||
07/16/20 | Brazilian Reals | 8,682,000 | U.S. Dollars | 1,653,059 | CITI | (57,914) | ||||||
07/16/20 | U.S. Dollars | 1,345,966 | Mexican Pesos | 32,410,393 | CITI | (60,909) | ||||||
07/22/20 | Japanese Yen | 1,140,794,971 | U.S. Dollars | 10,633,253 | SC | (64,810) | ||||||
07/16/20 | British Pounds | 1,750,000 | Euro | 1,989,899 | CITI | (67,812) | ||||||
07/22/20 | U.S. Dollars | 5,984,403 | Swiss Francs | 5,730,736 | RBC | (68,357) | ||||||
07/22/20 | Japanese Yen | 931,362,839 | U.S. Dollars | 8,710,426 | RBC | (82,185) | ||||||
07/22/20 | U.S. Dollars | 5,854,673 | Euro | 5,284,813 | SC | (85,839) | ||||||
07/16/20 | U.S. Dollars | 3,036,914 | Euro | 2,790,000 | CITI | (98,811) | ||||||
07/22/20 | U.S. Dollars | 1,772,193 | Norwegian Kroner | 18,076,046 | SC | (105,955) | ||||||
07/22/20 | U.S. Dollars | 3,518,446 | Euro | 3,231,996 | SS | (114,550) | ||||||
07/22/20 | U.S. Dollars | 2,757,575 | Australian Dollars | 4,165,097 | SC | (117,156) | ||||||
07/22/20 | U.S. Dollars | 5,411,304 | Euro | 4,932,137 | RBC | (132,773) | ||||||
07/22/20 | U.S. Dollars | 2,051,888 | Swedish Kronor | 20,429,177 | SC | (141,138) | ||||||
07/22/20 | U.S. Dollars | 2,352,143 | Norwegian Kroner | 24,080,673 | SS | (149,902) | ||||||
07/22/20 | U.S. Dollars | 8,507,271 | Canadian Dollars | 11,807,782 | CITI | (190,834) | ||||||
07/22/20 | Brazilian Reals | 24,293,283 | U.S. Dollars | 4,660,834 | CITI | (198,860) | ||||||
07/22/20 | U.S. Dollars | 2,675,691 | Australian Dollars | 4,179,608 | RBC | (209,055) | ||||||
07/16/20 | U.S. Dollars | 2,820,172 | Russian Rubles | 218,380,000 | CITI | (241,414) | ||||||
07/22/20 | U.S. Dollars | 3,747,065 | Australian Dollars | 5,791,701 | CITI | (250,339) | ||||||
07/22/20 | U.S. Dollars | 4,270,318 | New Zealand Dollars | 7,021,505 | CITI | (260,917) | ||||||
07/16/20 | U.S. Dollars | 3,622,396 | Indonesian Rupiahs | 59,878,206,000 | CITI | (520,397) | ||||||
07/22/20 | U.S. Dollars | 67,142,608 | Euro | 61,017,606 | CITI | (1,445,576) | ||||||
Subtotal Depreciation | $(5,498,634) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | $(1,314,049) |
Reference Obligation | Fixed
Deal (Pay) Rate |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection | ||||||||||||||
Markit CDX.EM.33 Index (Pay Quarterly) | (5.00%) | 6/20/2025 | EUR | 12,994,000 | $(772,107) | $ 121,399 | $ (893,506) | |||||||
Markit ITRAXX.XO.33 Index (Pay Quarterly) | (1.00%) | 6/20/2025 | USD | 20,349,950 | 949,478 | 2,216,110 | (1,266,632) | |||||||
$ 177,371 | $2,337,509 | $(2,160,138) |
Reference Obligation | Implied
Credit Spread |
Fixed
Deal (Pay) Rate |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Sell Protection | ||||||||||||||||
Markit CDX.NA.HY.33 Index (Receive Quarterly) | 5.16% | 5.00% | 12/20/2024 | USD | 9,485,200 | $(44,971) | $(848,922) | $803,951 | ||||||||
$(44,971) | $(848,922) | $803,951 |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Asset-Backed Securities | $ 2,333,371 | $ — | $ 2,333,371 | $ — | |||
Common Stocks: | |||||||
Energy | 80,526 | 40,196 | — | 40,330 | |||
Other ^^ | 3,258,470 | 3,258,470 | — | — | |||
Total Common Stocks | 3,338,996 | 3,298,666 | — | 40,330 | |||
Corporate Bonds | 147,101,791 | — | 147,101,791 | — | |||
Foreign Bonds | 220,227,103 | — | 220,227,103 | — | |||
Loan Agreements | 8,178,246 | — | 8,178,246 | — | |||
Money Market Funds | 52,520,250 | 52,520,250 | — | — | |||
Mortgage-Backed Securities | 44,470,374 | — | 44,470,374 | — | |||
Municipal Bond | 86,354 | — | 86,354 | — | |||
Preferred Stocks: | |||||||
Energy | 258,604 | 258,590 | 14 | — | |||
Financials | 405,344 | 405,344 | — | — | |||
Total Preferred Stocks | 663,948 | 663,934 | 14 | — | |||
U.S. Treasury Obligations | 124,449,593 | — | 124,449,593 | — | |||
Total Assets - Investments in Securities | $603,370,026 | $56,482,850 | $546,846,846 | $ 40,330 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 4,184,585 | $ — | $ 4,184,585 | $ — | |||
Futures Contracts | 73,591 | 73,591 | — | — | |||
Swap Agreements | 803,951 | — | 803,951 | — | |||
Total Assets - Other Financial Instruments | $ 5,062,127 | $ 73,591 | $ 4,988,536 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (5,498,634) | $ — | $ (5,498,634) | $ — | |||
Futures Contracts | (408,142) | (408,142) | — | — | |||
Swap Agreements | (2,160,138) | — | (2,160,138) | — | |||
Total Liabilities - Other Financial Instruments | $ (8,066,914) | $ (408,142) | $ (7,658,772) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forwards contracts and swap agreements, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding", "Forwards Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2020 (Unaudited) |
Money
Market Fund |
Low-Duration
Bond Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $1,070,039,757 | $ 970,963,045 | |
Investments in repurchase agreements, at value | 453,000,000 | — | |
Investments in securities of affiliated issuers, at value | — | 32,531,132 | |
Total investments, at value(1), (2) | 1,523,039,757 | 1,003,494,177 | |
Cash collateral for derivatives | — | 4,815,071 | |
Deposits with broker for futures contracts | — | 1,492,508 | |
Foreign currency(3) | — | 364,507 | |
Upfront premiums paid from swap agreements | — | — | |
Receivables: | |||
Dividends and reclaims | — | 16,327 | |
Interest | 324,413 | 3,379,823 | |
Securities lending | — | 8,604 | |
From advisor | 32,532 | — | |
Investment securities sold | — | 40,456,850 | |
Fund shares sold | 14,881,406 | 1,013,000 | |
Variation margin on centrally cleared swaps | — | 18,108 | |
Variation margin on futures contracts | — | 77,773 | |
Unrealized appreciation on foreign currency exchange contracts | — | 19,499 | |
Unrealized appreciation on swap agreements | — | — | |
Prepaid expenses and other assets | 74,124 | 47,162 | |
Total Assets | 1,538,352,232 | 1,055,203,409 | |
Liabilities | |||
Cash Overdraft | — | — | |
TBA sale commitments, at value(4) | — | — | |
Options written, at value(5) | — | 14,973 | |
Upfront premiums received from swap agreements | — | 1,829,304 | |
Unrealized depreciation on foreign currency exchange contracts | — | 677,152 | |
Unrealized depreciation on swap agreements | — | 4,911 | |
Collateral held for securities on loan, at value | — | 6,123,675 | |
Collateral from counterparty | — | 2,071,356 | |
Payables: | |||
Investment securities purchased | — | 54,910,949 | |
Fund shares redeemed | 5,916,490 | 110,372 | |
Variation margin on centrally cleared swaps | — | — | |
Variation margin on futures contracts | — | — | |
Distributions | 172,135 | — | |
Accrued expenses: | |||
Investment advisory fees | 148,065 | 235,214 | |
Shareholder servicing fees | 93,637 | 48,292 | |
Trustee fees | 571 | 1,462 | |
Other expenses | 164,312 | 206,443 | |
Total Liabilities | 6,495,210 | 66,234,103 | |
Net Assets | $1,531,857,022 | $ 988,969,306 | |
Net Assets Consist of: | |||
Paid-in-capital | $1,531,822,596 | $ 983,505,304 | |
Distributable earnings (loss) | 34,426 | 5,464,002 | |
Net Assets | $1,531,857,022 | $ 988,969,306 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $1,085,836,019 | $ 750,822,947 | |
Institutional shares outstanding | 1,085,818,307 | 55,354,289 | |
Net asset value, offering and redemption price per Institutional share | $ 1.00 | $ 13.56 | |
Net assets applicable to the Investor Class | $ 446,021,003 | $ 238,146,359 | |
Investor shares outstanding | 445,969,852 | 17,550,942 | |
Net asset value, offering and redemption price per Investor share | $ 1.00 | $ 13.57 | |
|
|||
(1)Investments in securities of unaffiliated issuers, at cost | $1,070,039,757 | $ 960,964,820 | |
Investments in repurchase agreements, at cost | 453,000,000 | — | |
Investments in securities of affiliated issuers, at cost | — | 32,531,132 | |
Total investments, at cost | $1,523,039,757 | $ 993,495,952 | |
(2)Includes securities loaned of: | $ — | $ 64,248,308 | |
(3)Foreign currency, at cost | $ — | $ 361,256 | |
(4)TBA sale commitments, at cost | $ — | $ — | |
(5)Premiums received on options written | $ — | $ 21,277 |
Medium-Duration
Bond Fund |
Extended-Duration
Bond Fund |
Global
Bond Fund | ||
$1,898,475,627 | $274,507,483 | $564,086,438 | ||
117,500,000 | — | — | ||
108,109,877 | 14,237,531 | 39,283,588 | ||
2,124,085,504 | 288,745,014 | 603,370,026 | ||
26,720,251 | — | 4,415,951 | ||
2,816,621 | — | 2,523,604 | ||
4,367,914 | — | 3,362,538 | ||
2,286,966 | — | 2,337,509 | ||
163,446 | 1,459 | 45,546 | ||
10,177,959 | 1,795,430 | 4,957,380 | ||
12,228 | 5,917 | 5,475 | ||
— | — | — | ||
357,565,694 | 787 | 2,299,199 | ||
868,843 | 439,582 | 245,157 | ||
578,970 | — | — | ||
— | — | 111,847 | ||
1,370,954 | — | 4,184,585 | ||
328,092 | — | — | ||
72,647 | 39,526 | 38,708 | ||
2,531,416,089 | 291,027,715 | 627,897,525 | ||
775,928 | 788 | — | ||
77,743,372 | — | — | ||
1,445,970 | — | — | ||
1,949,179 | — | 848,922 | ||
2,236,229 | — | 5,498,634 | ||
64,977 | — | — | ||
11,871,155 | 1,177,971 | 13,104,295 | ||
17,030,942 | — | 2,990,780 | ||
568,655,747 | 4,562,168 | 17,051,927 | ||
129,234 | 174,013 | 20,320 | ||
— | — | 71,784 | ||
121,237 | — | — | ||
— | — | — | ||
473,943 | 104,506 | 229,697 | ||
71,002 | 30,363 | 22,202 | ||
3,822 | 232 | 858 | ||
432,619 | 67,224 | 104,242 | ||
683,005,356 | 6,117,265 | 39,943,661 | ||
$1,848,410,733 | $284,910,450 | $587,953,864 | ||
$1,726,743,958 | $251,170,405 | $600,150,600 | ||
121,666,775 | 33,740,045 | (12,196,736) | ||
$1,848,410,733 | $284,910,450 | $587,953,864 | ||
$1,491,292,711 | $133,898,290 | $479,622,763 | ||
94,437,059 | 6,881,886 | 49,220,364 | ||
$ 15.79 | $ 19.46 | $ 9.74 | ||
$ 357,118,022 | $151,012,160 | $108,331,101 | ||
22,610,790 | 7,759,856 | 11,142,010 | ||
$ 15.79 | $ 19.46 | $ 9.72 | ||
$1,818,715,529 | $249,209,028 | $564,469,374 | ||
117,500,000 | — | — | ||
108,109,877 | 14,237,531 | 39,283,588 | ||
$2,044,325,406 | $263,446,559 | $603,752,962 | ||
$ 105,268,187 | $ 35,547,117 | $ 58,625,661 | ||
$ 4,360,242 | $ — | $ 3,344,821 | ||
$ 77,693,759 | $ — | $ — | ||
$ 1,704,883 | $ — | $ — |
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2020 (Unaudited) |
Money
Market Fund |
Low-Duration
Bond Fund | ||
Investment Income | |||
Dividends | $ — | $ 5,244 | |
Income distributions received from affiliated funds | — | 102,919 | |
Interest | 6,852,748 | 10,175,320 | |
Securities lending, net | — | 43,078 | |
Less foreign taxes withheld | — | — | |
Total Investment Income | 6,852,748 | 10,326,561 | |
Expenses | |||
Investment advisory fees | 819,887 | 1,426,813 | |
Transfer agent fees: | |||
Institutional shares | 2,328 | 2,406 | |
Investor shares | 18,544 | 8,688 | |
Custodian fees | 8,484 | 79,288 | |
Shareholder servicing fees: | |||
Investor shares | 553,612 | 287,718 | |
Accounting and administration fees | 142,946 | 103,124 | |
Professional fees | 43,572 | 60,670 | |
Shareholder reporting fees: | |||
Institutional shares | — | 650 | |
Investor shares | — | 5,024 | |
Trustees expenses | 4,914 | 2,141 | |
Line of credit facility fees | 1,677 | 537 | |
Other expenses | 69,238 | 30,140 | |
Total Expenses | 1,665,202 | 2,007,199 | |
Expenses waived/reimbursed(1) | (36,536) | — | |
Net Expenses | 1,628,666 | 2,007,199 | |
Net Investment Income | 5,224,082 | 8,319,362 | |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) from: | |||
Investment securities | 6,827 | 6,127,811 | |
Investment securities sold short | — | (33,281) | |
Futures transactions | — | 1,255,437 | |
Swap agreements | — | (293,044) | |
Option contracts written | — | 10,091 | |
Option contracts purchased | — | — | |
Forward foreign currency contracts | — | 1,740,263 | |
Foreign currency | — | (7,177) | |
Net realized gain (loss) | 6,827 | 8,800,100 | |
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | — | 3,286,914 | |
Investment securities sold short | — | 9,140 | |
Futures | — | 171,318 | |
Swap agreements | — | (990,937) | |
Option contracts written | — | 24,988 | |
Option contracts purchased | — | — | |
Forward foreign currency contracts | — | 372,505 | |
Foreign currency | — | 157,475 | |
Net change in unrealized appreciation (depreciation) | — | 3,031,403 | |
Net Realized and Unrealized Gain (Loss) | 6,827 | 11,831,503 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | $5,230,909 | $20,150,865 |
|
||
(1) | See Note 3c in Notes to Financial Statements. |
Medium-Duration
Bond Fund |
Extended-Duration
Bond Fund |
Global
Bond Fund | ||
$ 17,818 | $ 11,419 | $ 207,167 | ||
286,699 | 46,262 | 121,478 | ||
23,793,630 | 3,950,566 | 10,397,928 | ||
57,251 | 28,878 | 64,428 | ||
41,329 | — | (55,458) | ||
24,196,727 | 4,037,125 | 10,735,543 | ||
2,813,994 | 613,409 | 1,390,652 | ||
2,457 | 2,105 | 2,321 | ||
11,779 | 8,934 | 9,782 | ||
279,098 | 12,274 | 54,371 | ||
410,153 | 179,231 | 140,281 | ||
188,008 | 28,796 | 62,008 | ||
59,206 | 57,469 | 61,743 | ||
526 | 1,357 | 1,348 | ||
3,834 | 3,339 | 3,169 | ||
2,801 | 1,132 | 1,250 | ||
625 | 538 | 324 | ||
55,623 | 21,686 | 24,259 | ||
3,828,104 | 930,270 | 1,751,508 | ||
— | — | — | ||
3,828,104 | 930,270 | 1,751,508 | ||
20,368,623 | 3,106,855 | 8,984,035 | ||
37,542,735 | 8,372,032 | (3,340,198) | ||
(1,649,215) | — | — | ||
33,276,526 | (71,493) | (6,166,991) | ||
(4,202,458) | — | 3,288,241 | ||
2,877,627 | — | — | ||
(1,578,211) | — | (61,810) | ||
179,754 | — | (2,101,317) | ||
(1,849,381) | (6,198) | 20,785 | ||
64,597,377 | 8,294,341 | (8,361,290) | ||
30,550,127 | 9,813,508 | (9,886,115) | ||
96,600 | — | — | ||
4,380,262 | — | (1,060,278) | ||
(13,535,749) | — | (1,361,409) | ||
(26,347) | — | — | ||
(104,887) | — | — | ||
443,865 | — | 389,336 | ||
41,229 | (3,411) | (106,866) | ||
21,845,100 | 9,810,097 | (12,025,332) | ||
86,442,477 | 18,104,438 | (20,386,622) | ||
$106,811,100 | $21,211,293 | $(11,402,587) |
STATEMENTS OF CHANGES IN NET ASSETS |
Money Market Fund | |||
For
the Six Months Ended |
For the Year Ended | ||
06/30/20 | 12/31/19 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $ 5,224,082 | $ 27,768,702 | |
Net realized gain on investment securities, foreign currency and derivatives | 6,827 | 22,056 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | — | — | |
Net increase in net assets resulting from operations | 5,230,909 | 27,790,758 | |
Distributions to Shareholders: | |||
Institutional shares | (4,070,241) | (20,503,404) | |
Investor shares | (1,153,842) | (7,265,298) | |
Total distributions | (5,224,083) | (27,768,702) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 3,490,437,439 | 4,301,371,522 | |
Investor shares | 350,134,954 | 372,222,654 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 902,143 | 4,362,064 | |
Investor shares | 1,146,594 | 7,235,378 | |
Total proceeds from shares sold and reinvested | 3,842,621,130 | 4,685,191,618 | |
Value of shares redeemed | |||
Institutional shares | (3,309,708,062) | (4,243,079,203) | |
Investor shares | (297,231,340) | (395,729,388) | |
Total value of shares redeemed | (3,606,939,402) | (4,638,808,591) | |
Net increase (decrease) from capital share transactions(1) | 235,681,728 | 46,383,027 | |
Total increase (decrease) in net assets | 235,688,554 | 46,405,083 | |
Net Assets: | |||
Beginning of Period | 1,296,168,468 | 1,249,763,385 | |
End of Period | $ 1,531,857,022 | $ 1,296,168,468 |
|
||
(1) | See Note 6 in Notes to Financial Statements. |
Low-Duration Bond Fund | Medium-Duration Bond Fund | |||||
For
the Six Months Ended |
For the Year Ended | For
the Six Months Ended |
For the Year Ended | |||
06/30/20 | 12/31/19 | 06/30/20 | 12/31/19 | |||
(Unaudited) | (Unaudited) | |||||
$ 8,319,362 | $ 22,321,038 | $ 20,368,623 | $ 46,984,801 | |||
8,800,100 | 3,952,380 | 64,597,377 | 40,474,870 | |||
3,031,403 | 10,370,747 | 21,845,100 | 65,182,378 | |||
20,150,865 | 36,644,165 | 106,811,100 | 152,642,049 | |||
(6,611,364) | (17,790,895) | (17,011,026) | (56,907,805) | |||
(1,784,508) | (5,457,648) | (3,497,244) | (11,258,355) | |||
(8,395,872) | (23,248,543) | (20,508,270) | (68,166,160) | |||
72,174,633 | 167,454,014 | 124,343,253 | 201,720,715 | |||
44,505,337 | 33,889,114 | 82,281,227 | 70,098,535 | |||
6,563,236 | 17,570,330 | 16,947,133 | 56,765,981 | |||
1,781,783 | 5,450,732 | 3,400,730 | 11,047,637 | |||
125,024,989 | 224,364,190 | 226,972,343 | 339,632,868 | |||
(98,689,148) | (35,643,763) | (197,597,012) | (93,164,235) | |||
(43,825,290) | (115,855,201) | (51,465,522) | (57,821,223) | |||
(142,514,438) | (151,498,964) | (249,062,534) | (150,985,458) | |||
(17,489,449) | 72,865,226 | (22,090,191) | 188,647,410 | |||
(5,734,456) | 86,260,848 | 64,212,639 | 273,123,299 | |||
994,703,762 | 908,442,914 | 1,784,198,094 | 1,511,074,795 | |||
$ 988,969,306 | $ 994,703,762 | $1,848,410,733 | $1,784,198,094 |
STATEMENTS OF CHANGES IN NET ASSETS |
Extended-Duration Bond Fund | Global Bond Fund | ||||||
For
the Six Months Ended |
For the Year Ended | For
the Six Months Ended |
For the Year Ended | ||||
06/30/20 | 12/31/19 | 06/30/20 | 12/31/19 | ||||
(Unaudited) | (Unaudited) | ||||||
Operations: | |||||||
Net investment income | $ 3,106,855 | $ 6,785,891 | $ 8,984,035 | $ 23,941,182 | |||
Net realized gain (loss) on investment securities, foreign currency and derivatives | 8,294,341 | 4,754,284 | (8,361,290) | (3,994,830) | |||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 9,810,097 | 18,229,682 | (12,025,332) | 39,095,675 | |||
Net increase (decrease) in net assets resulting from operations | 21,211,293 | 29,769,857 | (11,402,587) | 59,042,027 | |||
Distributions to Shareholders: | |||||||
Institutional shares | (2,048,939) | (4,926,054) | (3,871,804) | (16,524,236) | |||
Investor shares | (2,194,420) | (4,865,967) | (927,516) | (3,697,240) | |||
Total distributions | (4,243,359) | (9,792,021) | (4,799,320) | (20,221,476) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 25,838,160 | 20,612,237 | 23,263,997 | 70,146,932 | |||
Investor shares | 57,417,917 | 38,819,908 | 17,658,187 | 39,444,364 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | 2,045,666 | 4,921,573 | 3,869,821 | 16,514,524 | |||
Investor shares | 2,190,007 | 4,851,622 | 914,831 | 3,666,832 | |||
Total proceeds from shares sold and reinvested | 87,491,750 | 69,205,340 | 45,706,836 | 129,772,652 | |||
Value of shares redeemed | |||||||
Institutional shares | (30,677,808) | (15,737,574) | (22,081,361) | (40,079,129) | |||
Investor shares | (45,556,281) | (37,177,678) | (29,559,429) | (42,099,782) | |||
Total value of shares redeemed | (76,234,089) | (52,915,252) | (51,640,790) | (82,178,911) | |||
Net increase (decrease) from capital share transactions(1) | 11,257,661 | 16,290,088 | (5,933,954) | 47,593,741 | |||
Total increase (decrease) in net assets | 28,225,595 | 36,267,924 | (22,135,861) | 86,414,292 | |||
Net Assets: | |||||||
Beginning of Period | 256,684,855 | 220,416,931 | 610,089,725 | 523,675,433 | |||
End of Period | $284,910,450 | $256,684,855 | $587,953,864 | $610,089,725 |
|
||
(1) | See Note 6 in Notes to Financial Statements. |
FINANCIAL HIGHLIGHTS (Unaudited) |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net
Asset Value, Beginning of Period |
Net
Investment Income# |
Realized
and Unrealized Gain (Loss) on Investments |
Total
Income From Investment Operations |
Dividends
from Net Investment Income |
Distributions
from Net Realized Capital Gains |
Total
Distributions Paid |
Net
Asset Value, End of Period |
Total
Return |
Net
Assets, End of Period (000) |
Expenses,
Net |
Expenses,
Gross |
Investment
Income, Net |
Portfolio
Turnover Rate | |
Money Market Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $ 1.00 | $ —† | $ —† | $ — | $ —† | $ — | $ — | $ 1.00 | 0.41% | $1,085,836 | 0.14% | 0.14% | 0.75% | N/A |
2019 | 1.00 | 0.02 | —† | 0.02 | (0.02) | — | (0.02) | 1.00 | 2.13 | 904,202 | 0.14 | 0.14 | 2.10 | N/A |
2018 | 1.00 | 0.02 | —† | 0.02 | (0.02) | — | (0.02) | 1.00 | 1.74 | 841,532 | 0.15 | 0.15 | 1.74 | N/A |
2017 | 1.00 | 0.01 | —† | 0.01 | (0.01) | —† | (0.01) | 1.00 | 0.76 | 268,948 | 0.17 | 0.17 | 0.77 | N/A |
2016 | 1.00 | —† | —† | — | —† | —† | — | 1.00 | 0.28 | 251,639 | 0.17 | 0.18 | 0.27 | N/A |
2015 | 1.00 | —† | —† | — | —† | —† | — | 1.00 | 0.08 | 245,882 | 0.17 | 0.18 | 0.08 | N/A |
Investor Class | ||||||||||||||
2020(1) | $ 1.00 | $ —† | $ —† | $ — | $ —† | $ — | $ — | $ 1.00 | 0.28% | $ 446,021 | 0.39% | 0.41% | 0.52% | N/A |
2019 | 1.00 | 0.02 | —† | 0.02 | (0.02) | — | (0.02) | 1.00 | 1.85 | 391,966 | 0.42 | 0.42 | 1.83 | N/A |
2018 | 1.00 | 0.01 | —† | 0.01 | (0.01) | — | (0.01) | 1.00 | 1.48 | 408,231 | 0.40 | 0.40 | 1.47 | N/A |
2017 | 1.00 | 0.01 | —† | 0.01 | (0.01) | —† | (0.01) | 1.00 | 0.51 | 894,563 | 0.42 | 0.42 | 0.52 | N/A |
2016 | 1.00 | —† | —† | — | —† | —† | — | 1.00 | 0.04 | 950,663 | 0.41 | 0.42 | 0.03 | N/A |
2015 | 1.00 | —† | —† | — | —† | —† | — | 1.00 | 0.02 | 1,041,421 | 0.24 | 0.43 | 0.01 | N/A |
Low-Duration Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $13.40 | $0.12 | $ 0.16 | $ 0.28 | $(0.12) | $ — | $(0.12) | $13.56 | 2.10% | $ 750,823 | 0.35% | 0.35% | 1.78% | 147% |
2019 | 13.21 | 0.32 | 0.20 | 0.52 | (0.33) | — | (0.33) | 13.40 | 3.99 | 761,737 | 0.35 | 0.35 | 2.39 | 525 |
2018 | 13.35 | 0.30 | (0.12) | 0.18 | (0.32) | — | (0.32) | 13.21 | 1.36 | 602,968 | 0.35 | 0.35 | 2.30 | 513 |
2017 | 13.34 | 0.21 | 0.01 | 0.22 | (0.21) | — | (0.21) | 13.35 | 1.69 | 592,325 | 0.35 | 0.36 | 1.60 | 102 |
2016 | 13.30 | 0.19 | 0.05(2) | 0.24 | (0.20) | — | (0.20) | 13.34 | 1.74 | 585,590 | 0.37 | 0.38 | 1.46 | 398 |
2015 | 13.41 | 0.21 | (0.10)(2) | 0.11 | (0.22) | — | (0.22) | 13.30 | 0.79 | 617,698 | 0.37 | 0.38 | 1.52 | 746 |
Investor Class | ||||||||||||||
2020(1) | $13.40 | $0.10 | $ 0.17 | $ 0.27 | $(0.10) | $ — | $(0.10) | $13.57 | 2.05% | $ 238,146 | 0.62% | 0.62% | 1.51% | 147% |
2019 | 13.21 | 0.29 | 0.20 | 0.49 | (0.30) | — | (0.30) | 13.40 | 3.71 | 232,967 | 0.62 | 0.62 | 2.16 | 525 |
2018 | 13.35 | 0.27 | (0.13) | 0.14 | (0.28) | — | (0.28) | 13.21 | 1.10 | 305,475 | 0.61 | 0.61 | 2.03 | 513 |
2017 | 13.34 | 0.18 | 0.01 | 0.19 | (0.18) | — | (0.18) | 13.35 | 1.42 | 310,208 | 0.62 | 0.63 | 1.33 | 102 |
2016 | 13.27 | 0.16 | 0.03(2) | 0.19 | (0.12) | — | (0.12) | 13.34 | 1.47 | 280,701 | 0.64 | 0.65 | 1.18 | 398 |
2015 | 13.31 | 0.16 | (0.09)(2) | 0.07 | (0.11) | — | (0.11) | 13.27 | 0.49 | 242,325 | 0.60 | 0.65 | 1.17 | 746 |
Medium-Duration Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $15.05 | $0.18 | $ 0.74 | $ 0.92 | $(0.18) | $ — | $(0.18) | $15.79 | 6.16% | $1,491,293 | 0.38% | 0.38% | 2.36% | 255% |
2019 | 14.28 | 0.43 | 0.96 | 1.39 | (0.42) | (0.20) | (0.62) | 15.05 | 9.81 | 1,476,286 | 0.39 | 0.39 | 2.90 | 433 |
2018 | 14.75 | 0.40 | (0.47) | (0.07) | (0.40) | — | (0.40) | 14.28 | (0.46) | 1,240,967 | 0.37 | 0.38 | 2.76 | 431 |
2017 | 14.46 | 0.34 | 0.26 | 0.60 | (0.31) | — | (0.31) | 14.75 | 4.13 | 1,138,597 | 0.39 | 0.40 | 2.32 | 387 |
2016 | 14.44 | 0.37 | 0.08(2) | 0.45 | (0.39) | (0.04) | (0.43) | 14.46 | 3.21 | 815,430 | 0.45 | 0.46 | 2.50 | 337 |
2015 | 15.18 | 0.37 | (0.35)(2) | 0.02 | (0.54) | (0.22) | (0.76) | 14.44 | 0.03 | 706,760 | 0.45 | 0.47 | 2.46 | 346 |
Investor Class | ||||||||||||||
2020(1) | $15.06 | $0.16 | $ 0.73 | $ 0.89 | $(0.16) | $ — | $(0.16) | $15.79 | 5.96% | $ 357,118 | 0.65% | 0.65% | 2.08% | 255% |
2019 | 14.28 | 0.39 | 0.97 | 1.36 | (0.38) | (0.20) | (0.58) | 15.06 | 9.58 | 307,912 | 0.65 | 0.65 | 2.63 | 433 |
2018 | 14.75 | 0.36 | (0.47) | (0.11) | (0.36) | — | (0.36) | 14.28 | (0.72) | 270,107 | 0.64 | 0.65 | 2.49 | 431 |
2017 | 14.46 | 0.30 | 0.26 | 0.56 | (0.27) | — | (0.27) | 14.75 | 3.93 | 269,362 | 0.66 | 0.67 | 2.05 | 387 |
2016 | 14.31 | 0.33 | 0.08(2) | 0.41 | (0.22) | (0.04) | (0.26) | 14.46 | 2.88 | 215,783 | 0.72 | 0.73 | 2.24 | 337 |
2015 | 14.65 | 0.28 | (0.31)(2) | (0.03) | (0.21) | (0.10) | (0.31) | 14.31 | (0.22) | 187,863 | 0.66 | 0.75 | 1.92 | 346 |
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
(1) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(2) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net
Asset Value, Beginning of Period |
Net
Investment Income# |
Realized
and Unrealized Gain (Loss) on Investments |
Total
Income From Investment Operations |
Dividends
from Net Investment Income |
Distributions
from Net Realized Capital Gains |
Total
Distributions Paid |
Net
Asset Value, End of Period |
Total
Return |
Net
Assets, End of Period (000) |
Expenses,
Net |
Expenses,
Gross |
Investment
Income, Net |
Portfolio
Turnover Rate | |
Extended-Duration Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $18.23 | $0.23 | $ 1.31 | $ 1.54 | $(0.22) | $(0.09) | $(0.31) | $19.46 | 8.49% | $133,898 | 0.55% | 0.55% | 2.44% | 44% |
2019 | 16.73 | 0.52 | 1.72 | 2.24 | (0.51) | (0.23) | (0.74) | 18.23 | 13.51 | 127,884 | 0.57 | 0.57 | 2.93 | 39 |
2018 | 17.94 | 0.54 | (1.09) | (0.55) | (0.53) | (0.13) | (0.66) | 16.73 | (3.07) | 108,206 | 0.55 | 0.56 | 3.16 | 45 |
2017 | 16.90 | 0.59 | 1.13 | 1.72 | (0.56) | (0.12) | (0.68) | 17.94 | 10.38 | 122,526 | 0.57 | 0.58 | 3.37 | 93 |
2016 | 17.37 | 0.70 | 0.63(2) | 1.33 | (0.98) | (0.82) | (1.80) | 16.90 | 7.65 | 115,558 | 0.56 | 0.57 | 3.81 | 50 |
2015 | 21.26 | 0.78 | (1.74)(2) | (0.96) | (1.42) | (1.51) | (2.93) | 17.37 | (5.01) | 148,920 | 0.60 | 0.60 | 4.09 | 42 |
Investor Class | ||||||||||||||
2020(1) | $18.23 | $0.20 | $ 1.32 | $ 1.52 | $(0.20) | $(0.09) | $(0.29) | $19.46 | 8.42% | $151,012 | 0.81% | 0.81% | 2.17% | 44% |
2019 | 16.74 | 0.48 | 1.70 | 2.18 | (0.46) | (0.23) | (0.69) | 18.23 | 13.14 | 128,801 | 0.83 | 0.83 | 2.66 | 39 |
2018 | 17.95 | 0.49 | (1.09) | (0.60) | (0.48) | (0.13) | (0.61) | 16.74 | (3.34) | 112,211 | 0.82 | 0.83 | 2.89 | 45 |
2017 | 16.90 | 0.54 | 1.15 | 1.69 | (0.52) | (0.12) | (0.64) | 17.95 | 10.13 | 125,072 | 0.85 | 0.85 | 3.09 | 93 |
2016 | 16.76 | 0.64 | 0.56(2) | 1.20 | (0.34) | (0.72) | (1.06) | 16.90 | 7.23 | 119,443 | 0.84 | 0.85 | 3.51 | 50 |
2015 | 18.30 | 0.66 | (1.60)(2) | (0.94) | (0.27) | (0.33) | (0.60) | 16.76 | (5.30) | 106,918 | 0.82 | 0.85 | 3.65 | 42 |
Global Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $10.01 | $0.15 | $(0.34) | $(0.19) | $(0.01) | $(0.07) | $(0.08) | $ 9.74 | (1.72)% | $479,623 | 0.55% | 0.55% | 3.14% | 40% |
2019 | 9.32 | 0.42 | 0.62 | 1.04 | (0.35) | — | (0.35) | 10.01 | 11.31 | 486,865 | 0.54 | 0.54 | 4.30 | 59 |
2018 | 10.08 | 0.43 | (0.88) | (0.45) | (0.31) | — | (0.31) | 9.32 | (4.51) | 409,257 | 0.53 | 0.55 | 4.50 | 23 |
2017 | 9.68 | 0.42 | 0.35 | 0.77 | (0.37) | — | (0.37) | 10.08 | 8.09 | 405,411 | 0.56 | 0.58 | 4.18 | 31 |
2016 | 9.08 | 0.45 | 0.56(2) | 1.01 | (0.41) | — | (0.41) | 9.68 | 11.24 | 338,475 | 0.59 | 0.60 | 4.73 | 28 |
2015(3) | 10.09 | 0.27 | (1.02)(2) | (0.75) | (0.26) | — | (0.26) | 9.08 | (7.54) | 311,374 | 0.59 | 0.62 | 4.15 | 30 |
Investor Class | ||||||||||||||
2020(1) | $10.00 | $0.14 | $(0.34) | $(0.20) | $(0.01) | $(0.07) | $(0.08) | $ 9.72 | (1.93)% | $108,331 | 0.83% | 0.83% | 2.87% | 40% |
2019 | 9.31 | 0.40 | 0.62 | 1.02 | (0.33) | — | (0.33) | 10.00 | 11.03 | 123,225 | 0.82 | 0.82 | 4.02 | 59 |
2018 | 10.07 | 0.41 | (0.88) | (0.47) | (0.29) | — | (0.29) | 9.31 | (4.73) | 114,418 | 0.80 | 0.82 | 4.22 | 23 |
2017 | 9.68 | 0.39 | 0.35 | 0.74 | (0.35) | — | (0.35) | 10.07 | 7.69 | 123,120 | 0.83 | 0.85 | 3.89 | 31 |
2016 | 9.08 | 0.42 | 0.56(2) | 0.98 | (0.38) | — | (0.38) | 9.68 | 10.91 | 89,412 | 0.88 | 0.89 | 4.42 | 28 |
2015 | 10.03 | 0.33 | (0.92)(2) | (0.59) | (0.36) | — | (0.36) | 9.08 | (6.00) | 78,636 | 0.82 | 0.84 | 3.35 | 30 |
# | Calculated using the average shares outstanding method. |
(1) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(2) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
(3) | Inception date was May 1, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
Number
of Contracts |
Notional
Amount |
Value | |||
S&P 500®, Strike Price $3,030.00, Expires 07/06/20 (MSCS) | (57) | $(17,671,653) | $ (90,345) | ||
(1,100,985) | |||||
Total
Written Options (Premiums received $(2,780,078)) |
(1,271,858) | ||||
Liabilities
in Excess of Other Assets — (2.7)% |
(32,975,914) | ||||
NET ASSETS — 100.0% | $1,204,539,921 |
% | |
Corporate Bonds | 27.1 |
U.S. Treasury Obligations | 18.0 |
Money Market Funds | 8.5 |
Information Technology | 8.2 |
Health Care | 7.5 |
Consumer Staples | 6.9 |
Financials | 6.4 |
Industrials | 5.8 |
Utilities | 4.5 |
Communication Services | 2.6 |
Consumer Discretionary | 1.6 |
Materials | 1.5 |
Foreign Bonds | 1.3 |
Equity-Linked Securities | 1.1 |
Mutual Funds | 1.0 |
Energy | 0.7 |
Real Estate | 0.1 |
Rights | —** |
Written Options | (0.1) |
102.7 | |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 09/2020 | (155) | $(23,949,050) | $(704,814) |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
09/30/20 | U.S. Dollars | 10,883,209 | Euro | 9,643,277 | CS | $26,309 | ||||||
09/30/20 | U.S. Dollars | 2,845,521 | British Pounds | 2,280,248 | JPM | 18,519 | ||||||
09/30/20 | U.S. Dollars | 14,081,355 | Swiss Francs | 13,303,571 | UBS | 379 | ||||||
09/30/20 | Swiss Francs | 363,947 | U.S. Dollars | 384,855 | UBS | 359 | ||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | $45,566 |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $ 484,357,833 | $484,357,833 | $ — | $ — | |||
Corporate Bonds | 325,977,569 | — | 325,977,569 | — | |||
Equity-Linked Securities | 12,907,213 | — | 3,372,927 | 9,534,286 | |||
Foreign Bonds | 15,629,243 | — | 15,629,243 | — | |||
Foreign Common Stocks: | |||||||
France | 4,103,504 | — | 4,103,504 | — | |||
Netherlands | 9,228,123 | 85,746 | 9,142,377 | — | |||
Switzerland | 23,141,372 | 8,024,983 | 15,116,389 | — | |||
Other ^^ | 22,994,617 | 22,994,617 | — | — | |||
Total Foreign Common Stocks | 59,467,616 | 31,105,346 | 28,362,270 | — | |||
Foreign Preferred Stock | 610,513 | 610,513 | — | — | |||
Money Market Funds | 101,908,456 | 101,908,456 | — | — | |||
Mutual Funds | 12,518,952 | 12,518,952 | — | — | |||
Preferred Stocks | 8,936,581 | 8,936,581 | — | — | |||
Rights | 1,202 | — | 1,202 | — | |||
U.S. Treasury Obligations | 216,472,515 | — | 216,472,515 | — | |||
Total Assets - Investments in Securities | $1,238,787,693 | $639,437,681 | $589,815,726 | $9,534,286 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 45,566 | $ — | $ 45,566 | $ — | |||
Total Assets - Other Financial Instruments | $ 45,566 | $ — | $ 45,566 | $ — |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
Written Options: | |||||||
Call Options | $ (170,873) | $ (170,873) | $ — | $ — | |||
Put Options | (1,100,985) | (1,100,985) | — | — | |||
Total Written Options | (1,271,858) | (1,271,858) | — | — | |||
Total Liabilities - Investments in Securities | $ (1,271,858) | $ (1,271,858) | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (704,814) | $ (704,814) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (704,814) | $ (704,814) | $ — | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts and forwards contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" and "Forwards Foreign Currency Contracts outstanding" disclosures. |
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø∞ | 11,173 | $ 11,173 | ||
Total
Money Market Funds (Cost $74,301,703) |
74,301,703 | |||
TOTAL
INVESTMENTS — 99.9% (Cost $1,534,348,655) |
2,102,910,674 | |||
Other
Assets in Excess of Liabilities — 0.1% |
2,115,727 | |||
NET ASSETS — 100.0% | $2,105,026,401 |
% | |
Information Technology | 26.5 |
Health Care | 14.1 |
Communication Services | 10.4 |
Consumer Discretionary | 10.3 |
Financials | 9.9 |
Industrials | 7.5 |
Consumer Staples | 6.8 |
Money Market Funds | 3.5 |
Utilities | 3.1 |
Energy | 2.7 |
Real Estate | 2.6 |
Materials | 2.5 |
Rights | —** |
99.9 | |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 09/2020 | 443 | $68,447,930 | $1,712,117 |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $1,967,274,250 | $1,967,274,250 | $ — | $ — | |||
Foreign Common Stocks | 61,330,723 | 61,330,723 | — | — | |||
Money Market Funds | 74,301,703 | 74,301,703 | — | — | |||
Rights | 3,998 | — | 3,998 | — | |||
Total Assets - Investments in Securities | $2,102,910,674 | $2,102,906,676 | $ 3,998 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 1,712,117 | $ 1,712,117 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 1,712,117 | $ 1,712,117 | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
Micro S&P 500® E-Mini | 09/2020 | 48 | $ 741,648 | $ 14,008 | ||||
S&P 500® E-Mini | 09/2020 | 130 | 20,086,300 | 180,699 | ||||
Total Futures Contracts outstanding at June 30, 2020 | $20,827,948 | $194,707 |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
09/30/20 | U.S. Dollars | 24,461,187 | Euro | 21,674,305 | CS | $59,132 | ||||||
09/30/20 | Swiss Francs | 387,456 | U.S. Dollars | 408,190 | UBS | 1,907 | ||||||
09/30/20 | U.S. Dollars | 15,129,995 | Swiss Francs | 14,294,290 | UBS | 407 | ||||||
09/30/20 | Euro | 1,357,546 | U.S. Dollars | 1,528,135 | CS | 260 | ||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | $61,706 |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $ 880,159,891 | $ 880,159,891 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Germany | 8,174,229 | — | 8,174,229 | — | |||
Switzerland | 46,606,486 | 41,479,607 | 5,126,879 | — | |||
Other ^^ | 70,869,981 | 70,869,981 | — | — | |||
Total Foreign Common Stocks | 125,650,696 | 112,349,588 | 13,301,108 | — | |||
Money Market Funds | 51,071,575 | 51,071,575 | — | — | |||
Rights | 278 | — | 278 | — | |||
Total Assets - Investments in Securities | $1,056,882,440 | $1,043,581,054 | $13,301,386 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 61,706 | $ — | $ 61,706 | $ — | |||
Futures Contracts | 194,707 | 194,707 | — | — | |||
Total Assets - Other Financial Instruments | $ 256,413 | $ 194,707 | $ 61,706 | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts and forwards contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" and "Forwards Foreign Currency Contracts outstanding" disclosures. |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 09/2020 | 150 | $23,176,500 | $22,586 |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $1,573,817,638 | $1,573,817,638 | $ — | $ — | |||
Foreign Common Stocks | 98,570,627 | 98,570,627 | — | — | |||
Money Market Funds | 68,374,608 | 68,374,608 | — | — | |||
Total Assets - Investments in Securities | $1,740,762,873 | $1,740,762,873 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 22,586 | $ 22,586 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 22,586 | $ 22,586 | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
CME Russell 2000 Index E-Mini | 09/2020 | 269 | $19,335,720 | $663,913 |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $489,282,102 | $489,282,102 | $ — | $ — | |||
Foreign Common Stocks | 15,351,014 | 15,351,014 | — | — | |||
Money Market Funds | 47,812,973 | 47,812,973 | — | — | |||
Preferred Stock | 1,956,000 | — | — | 1,956,000 | |||
Total Assets - Investments in Securities | $554,402,089 | $552,446,089 | $ — | $1,956,000 | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 663,913 | $ 663,913 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 663,913 | $ 663,913 | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 09/2020 | 234 | $20,807,280 | $(111,957) |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stock | $ 340,062 | $ 340,062 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Australia | 44,424,793 | 99,098 | 44,325,695 | — | |||
Denmark | 13,312,601 | 1,595,309 | 11,717,292 | — | |||
Germany | 55,538,317 | 456,255 | 55,082,062 | — | |||
Hong Kong | 21,497,998 | 643,204 | 20,854,794 | — | |||
Israel | 3,740,600 | 2,026,236 | 1,714,364 | — | |||
Netherlands | 33,912,850 | 8,256,136 | 25,656,714 | — | |||
United Kingdom | 85,035,904 | 600,535 | 84,435,369 | — | |||
Other ^^ | 385,166,667 | — | 385,166,667 | — | |||
Total Foreign Common Stocks | 642,629,730 | 13,676,773 | 628,952,957 | — | |||
Foreign Preferred Stocks | 4,236,896 | — | 4,236,896 | — | |||
Money Market Funds | 36,422,904 | 36,422,904 | — | — | |||
Rights | 108,974 | — | 108,974 | — | |||
Total Assets - Investments in Securities | $683,738,566 | $50,439,739 | $633,298,827 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (111,957) | $ (111,957) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (111,957) | $ (111,957) | $ — | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
AEX Index | 07/2020 | 55 | $ 6,915,199 | $ (25,479) | ||||
CAC40 10 Euro | 07/2020 | 29 | 1,600,892 | 2,608 | ||||
IBEX 35 Index | 07/2020 | 10 | 810,021 | (19,511) | ||||
OMX 30 Index | 07/2020 | (45) | (804,675) | (3,288) | ||||
MSCI Singapore Index | 07/2020 | (39) | (827,938) | 6,339 | ||||
Hang Seng Index | 07/2020 | 25 | 3,910,554 | (56,038) | ||||
MSCI EAFE Index E-Mini | 09/2020 | 342 | 30,410,640 | (55,253) | ||||
Topix Index® | 09/2020 | 138 | 19,918,778 | (427,945) | ||||
ASX SPI 200 Index | 09/2020 | (95) | (9,656,915) | (110,133) | ||||
S&P/TSX 60 Index | 09/2020 | (45) | (6,155,348) | (102,638) | ||||
DAX Index | 09/2020 | 32 | 11,078,160 | 27,110 | ||||
FTSE/MIB Index | 09/2020 | 94 | 10,185,461 | (87,323) | ||||
Total Futures Contracts outstanding at June 30, 2020 | $67,384,829 | $(851,551) |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
09/16/20 | New Zealand Dollars | 28,331,000 | U.S. Dollars | 17,563,733 | CITI | $ 716,845 | ||||||
09/16/20 | Australian Dollars | 25,196,749 | U.S. Dollars | 16,909,876 | CITI | 482,986 | ||||||
09/16/20 | U.S. Dollars | 13,902,934 | British Pounds | 11,054,001 | CITI | 199,555 | ||||||
09/16/20 | Swiss Francs | 8,837,000 | U.S. Dollars | 9,193,979 | CITI | 155,288 | ||||||
09/16/20 | U.S. Dollars | 17,084,072 | Canadian Dollars | 23,011,875 | CITI | 130,966 | ||||||
09/16/20 | Japanese Yen | 2,135,120,000 | U.S. Dollars | 19,671,399 | CITI | 124,131 | ||||||
09/16/20 | U.S. Dollars | 11,646,960 | Euro | 10,255,000 | CITI | 105,141 | ||||||
09/16/20 | U.S. Dollars | 14,595,320 | Japanese Yen | 1,563,668,000 | CITI | 97,944 | ||||||
09/16/20 | U.S. Dollars | 8,326,981 | Norwegian Kroner | 79,254,000 | CITI | 90,576 | ||||||
09/16/20 | Euro | 6,788,000 | U.S. Dollars | 7,600,394 | CITI | 39,376 | ||||||
09/16/20 | Danish Kroner | 13,329,000 | U.S. Dollars | 1,980,901 | CITI | 32,244 | ||||||
09/16/20 | British Pounds | 1,814,000 | U.S. Dollars | 2,227,746 | CITI | 21,026 | ||||||
09/16/20 | Israeli Shekels | 4,484,000 | U.S. Dollars | 1,281,639 | CITI | 15,613 | ||||||
09/16/20 | U.S. Dollars | 4,897,971 | Swiss Francs | 4,621,000 | CITI | 9,099 | ||||||
09/16/20 | U.S. Dollars | 611,901 | Swedish Kronor | 5,639,000 | CITI | 6,151 | ||||||
09/16/20 | Norwegian Kroner | 5,394,000 | U.S. Dollars | 557,175 | CITI | 3,392 | ||||||
09/16/20 | U.S. Dollars | 328,330 | Danish Kroner | 2,160,000 | CITI | 2,095 | ||||||
09/16/20 | U.S. Dollars | 134,345 | Australian Dollars | 193,000 | CITI | 1,121 | ||||||
09/16/20 | U.S. Dollars | 618,274 | Singapore Dollars | 860,500 | CITI | 665 | ||||||
09/16/20 | Hong Kong Dollars | 2,821,000 | U.S. Dollars | 363,168 | CITI | 630 | ||||||
09/16/20 | Singapore Dollars | 292,000 | U.S. Dollars | 209,375 | CITI | 203 | ||||||
09/16/20 | Swedish Kronor | 188,000 | U.S. Dollars | 20,090 | CITI | 106 | ||||||
09/16/20 | U.S. Dollars | 13,640 | Israeli Shekels | 47,000 | CITI | 43 | ||||||
09/16/20 | U.S. Dollars | 55,196 | Hong Kong Dollars | 428,000 | CITI | — | ||||||
Subtotal Appreciation | $ 2,235,196 | |||||||||||
09/16/20 | Hong Kong Dollars | 6,072,000 | U.S. Dollars | 783,078 | CITI | $ (26) | ||||||
09/16/20 | U.S. Dollars | 13,846 | Israeli Shekels | 48,000 | CITI | (41) | ||||||
09/16/20 | U.S. Dollars | 11,086 | Euro | 10,000 | CITI | (168) | ||||||
09/16/20 | U.S. Dollars | 3,320,131 | Japanese Yen | 358,134,000 | CITI | (269) | ||||||
09/16/20 | Singapore Dollars | 459,000 | U.S. Dollars | 330,124 | CITI | (684) | ||||||
09/16/20 | Swiss Francs | 188,000 | U.S. Dollars | 199,856 | CITI | (958) | ||||||
09/16/20 | Israeli Shekels | 463,000 | U.S. Dollars | 135,055 | CITI | (1,106) |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
12/16/20 | U.S. Dollars | 1,107,450 | Swiss Francs | 1,045,000 | NT | $ (1,750) | ||||||
09/16/20 | Norwegian Kroner | 2,842,000 | U.S. Dollars | 297,134 | CITI | (1,781) | ||||||
09/16/20 | U.S. Dollars | 1,095,650 | Hong Kong Dollars | 8,510,013 | CITI | (1,811) | ||||||
09/16/20 | Danish Kroner | 5,188,000 | U.S. Dollars | 789,722 | CITI | (6,153) | ||||||
09/16/20 | U.S. Dollars | 151,337 | Australian Dollars | 230,000 | CITI | (7,428) | ||||||
09/16/20 | U.S. Dollars | 1,166,747 | British Pounds | 948,999 | CITI | (9,705) | ||||||
09/16/20 | U.S. Dollars | 737,887 | Singapore Dollars | 1,043,500 | CITI | (11,067) | ||||||
09/16/20 | Swedish Kronor | 31,442,000 | U.S. Dollars | 3,392,076 | CITI | (14,526) | ||||||
09/16/20 | Canadian Dollars | 8,567,000 | U.S. Dollars | 6,326,209 | CITI | (14,803) | ||||||
09/16/20 | U.S. Dollars | 1,019,496 | Danish Kroner | 6,858,000 | CITI | (16,302) | ||||||
09/16/20 | U.S. Dollars | 2,194,765 | Swiss Francs | 2,097,000 | CITI | (23,795) | ||||||
09/16/20 | British Pounds | 1,632,000 | U.S. Dollars | 2,049,975 | CITI | (26,824) | ||||||
09/16/20 | Euro | 8,915,000 | U.S. Dollars | 10,079,202 | CITI | (45,529) | ||||||
09/16/20 | Australian Dollars | 10,645,251 | U.S. Dollars | 7,406,017 | CITI | (57,792) | ||||||
09/16/20 | U.S. Dollars | 3,398,007 | New Zealand Dollars | 5,380,000 | CITI | (73,438) | ||||||
09/16/20 | U.S. Dollars | 12,927,976 | Canadian Dollars | 17,758,125 | CITI | (154,633) | ||||||
09/16/20 | U.S. Dollars | 5,692,100 | Swedish Kronor | 54,574,000 | CITI | (170,324) | ||||||
09/16/20 | U.S. Dollars | 7,824,140 | Norwegian Kroner | 77,206,000 | CITI | (199,428) | ||||||
09/16/20 | Japanese Yen | 5,790,814,000 | U.S. Dollars | 53,955,448 | CITI | (266,554) | ||||||
Subtotal Depreciation | $(1,106,895) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | $ 1,128,301 |
Pay Rate Index/Pay Rate | Receive
Rate/Receive Rate Index |
Maturity
Date |
Counterparty | Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
Total Return Swaps | ||||||||||||||||
Financing Index: 1-Month EURIBOR - 0.10% (Monthly) | MSCI Netherlands Net Return EUR Index | 9/16/2020 | GSC | EUR | 706,401 | $ 648 | $ — | $ 648 | ||||||||
MSCI Sweden Net Return SEK Index | Financing Index: 1-Month STIBOR - 0.28% (Monthly) | 9/16/2020 | GSC | SEK | 6,892,007 | 29,110 | — | 29,110 | ||||||||
Decreases in total return of Swiss Market Index (At Termination) | Increases in total return of Swiss Market Index (At Termination) | 9/18/2020 | CITI | CHF | 3,202,560 | 2,380 | — | 2,380 | ||||||||
Subtotal Appreciation | $ 32,138 | $ — | $ 32,138 | |||||||||||||
Decreases in total return of Hang Seng Index (At Termination) | Increases in total return of Hang Seng Index (At Termination) | 7/30/2020 | JPM | HKD | 19,397,600 | $ (33,765) | $ — | $ (33,765) | ||||||||
Financing Index: 1-Month EURIBOR - 0.50% (Monthly) | MSCI Italy Net Return EUR Index | 9/16/2020 | GSC | EUR | 2,967,281 | (114,934) | — | (114,934) | ||||||||
Financing Index: 1-Month EURIBOR - 0.66% (Monthly) | MSCI Germany Net Return EUR Index | 9/16/2020 | GSC | EUR | 273,193 | (12,584) | — | (12,584) | ||||||||
Financing Index: 1-Month HIBOR - 0.10% (Monthly) | MSCI Hong Kong Net Return HKD Index | 9/16/2020 | GSC | HKD | 1,656,400 | (489) | — | (489) | ||||||||
Financing Index: 1-Month ICE LIBOR JPY - 0.20% (Monthly) | MSCI Japan Net Return JPY Index | 9/16/2020 | GSC | JPY | 41,573,329 | (12,283) | — | (12,283) | ||||||||
Subtotal Depreciation | $(174,055) | $ — | $(174,055) | |||||||||||||
Net Total Return Swaps outstanding at June 30, 2020 | $(141,917) | $ — | $(141,917) |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks: | |||||||
Consumer Discretionary | $ 20,010,144 | $ 19,275,105 | $ 735,039 | $ — | |||
Health Care | 12,624,397 | 12,624,397 | — | — | |||
Materials | 73,142 | — | 73,142 | — | |||
Total Common Stocks | 32,707,683 | 31,899,502 | 808,181 | — | |||
Foreign Common Stocks: | |||||||
Canada | 30,685,336 | 30,685,336 | — | — | |||
China | 16,023,171 | 1,656,903 | 14,366,268 | — | |||
India | 15,778,895 | 4,254,374 | 11,524,521 | — | |||
Ireland | 18,182,177 | 18,182,177 | — | — | |||
Mexico | 3,992,862 | 3,992,862 | — | — | |||
Netherlands | 32,944,600 | 7,333,663 | 25,610,937 | — | |||
Taiwan | 24,922,503 | 24,623,476 | 299,027 | — | |||
United Kingdom | 126,804,595 | 2,443,948 | 124,360,647 | — | |||
Other ^^ | 793,855,589 | — | 793,855,589 | —** | |||
Total Foreign Common Stocks | 1,063,189,728 | 93,172,739 | 970,016,989 | — | |||
Foreign Preferred Stocks | 2,380,386 | — | 2,380,386 | — | |||
Money Market Funds | 81,301,148 | 81,301,148 | — | — | |||
Total Assets - Investments in Securities | $1,179,578,945 | $206,373,389 | $973,205,556 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 2,235,196 | $ — | $ 2,235,196 | $ — | |||
Futures Contracts | 36,057 | 36,057 | — | — | |||
Swap Agreements | 32,138 | — | 32,138 | — | |||
Total Assets - Other Financial Instruments | $ 2,303,391 | $ 36,057 | $ 2,267,334 | $ — |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
Foreign Common Stocks Sold Short: | |||||||
Australia | $ (3,320,042) | $ (1,837) | $ (3,318,205) | $ — | |||
Denmark | (3,760,203) | (129,827) | (3,630,376) | — | |||
Netherlands | (6,854,436) | (70,614) | (6,783,822) | — | |||
Other ^^ | (35,136,488) | — | (35,136,488) | — | |||
Total Foreign Common Stocks Sold Short | (49,071,169) | (202,278) | (48,868,891) | — | |||
Foreign Preferred Stocks Sold Short | (121,788) | — | (121,788) | — | |||
Total Liabilities - Investments in Securities | $ (49,192,957) | $ (202,278) | $ (48,990,679) | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (1,106,895) | $ — | $ (1,106,895) | $ — | |||
Futures Contracts | (887,608) | (887,608) | — | — | |||
Swap Agreements | (174,055) | — | (174,055) | — | |||
Total Liabilities - Other Financial Instruments | $ (2,168,558) | $ (887,608) | $ (1,280,950) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
** | Level 3 security has zero value. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forwards contracts and swap agreements, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding", "Forwards Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø | 16,680,009 | $ 16,680,009 | ||
Total
Money Market Funds (Cost $39,138,073) |
39,138,073 | |||
TOTAL
INVESTMENTS — 99.4% (Cost $532,160,634) |
562,886,359 | |||
Other
Assets in Excess of Liabilities — 0.6% |
3,653,320 | |||
NET ASSETS — 100.0% | $566,539,679 |
% | |
Information Technology | 20.6 |
Consumer Discretionary | 18.6 |
Financials | 14.9 |
Communication Services | 11.4 |
Consumer Staples | 8.2 |
Money Market Funds | 6.9 |
Materials | 5.8 |
Health Care | 4.1 |
Industrials | 2.9 |
Energy | 2.6 |
Real Estate | 1.9 |
Utilities | 1.5 |
99.4 |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
MSCI Singapore Index | 07/2020 | (170) | $ (3,608,962) | $ 38,154 | ||||
Euro-BTP | 07/2020 | (7) | (122,112) | (1,005) | ||||
HSCEI | 07/2020 | 22 | 1,369,305 | (19,331) | ||||
MSCI Taiwan Index | 07/2020 | 204 | 8,827,080 | (15,674) | ||||
SGX Nifty 50 Index | 07/2020 | (95) | (1,952,250) | 21,371 | ||||
KOSPI 200 Index | 09/2020 | 78 | 4,552,188 | (118,644) | ||||
FTSE/JSE Top 40 Index | 09/2020 | (138) | (3,999,594) | (92,764) | ||||
Mexican Bolsa Index | 09/2020 | 29 | 481,195 | 1,769 | ||||
MSCI Emerging Markets E-Mini | 09/2020 | 914 | 45,046,490 | (330,536) | ||||
SET50 Index | 09/2020 | (23) | (130,466) | (895) | ||||
Total Futures Contracts outstanding at June 30, 2020 | $50,462,874 | $(517,555) |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
09/16/20 | U.S. Dollars | 9,422,711 | Brazilian Reals | 49,347,000 | CITI | $ 379,033 | ||||||
09/17/20 | U.S. Dollars | 6,124,654 | Mexican Pesos | 136,100,000 | CITI | 265,795 | ||||||
09/16/20 | Taiwan Dollars | 182,100,000 | U.S. Dollars | 6,140,106 | CITI | 120,309 | ||||||
09/16/20 | South Korean Won | 5,850,548,000 | U.S. Dollars | 4,781,496 | CITI | 98,371 | ||||||
09/16/20 | U.S. Dollars | 5,117,053 | Chilean Pesos | 4,123,080,000 | CITI | 91,417 | ||||||
09/16/20 | Philippine Pesos | 255,045,000 | U.S. Dollars | 5,057,607 | CITI | 47,685 | ||||||
10/10/23 | U.S. Dollars | 1,196,266 | Chinese Offshore Yuan | 8,649,000 | SC | 38,125 | ||||||
09/16/20 | U.S. Dollars | 1,700,277 | South African Rand | 29,200,000 | CITI | 31,256 | ||||||
09/16/20 | Singapore Dollars | 4,235,000 | U.S. Dollars | 3,009,140 | CITI | 30,458 | ||||||
09/16/20 | U.S. Dollars | 2,799,838 | Polish Zloty | 10,980,000 | CITI | 23,833 | ||||||
09/16/20 | Chinese Offshore Yuan | 29,974,000 | U.S. Dollars | 4,198,115 | CITI | 22,645 | ||||||
09/16/20 | South African Rand | 36,704,500 | U.S. Dollars | 2,082,365 | CITI | 15,600 | ||||||
09/16/20 | Thai Baht | 19,072,000 | U.S. Dollars | 602,050 | CITI | 14,929 | ||||||
09/16/20 | U.S. Dollars | 459,687 | Russian Rubles | 32,000,000 | CITI | 14,102 | ||||||
09/16/20 | Indian Rupees | 358,307,000 | U.S. Dollars | 4,689,222 | CITI | 13,416 | ||||||
09/16/20 | U.S. Dollars | 700,730 | Colombian Pesos | 2,600,000,000 | CITI | 13,407 | ||||||
09/16/20 | Hong Kong Dollars | 62,083,000 | U.S. Dollars | 7,994,969 | CITI | 11,330 | ||||||
09/16/20 | U.S. Dollars | 1,841,997 | Hungarian Forint | 577,672,000 | CITI | 9,995 | ||||||
09/16/20 | U.S. Dollars | 311,992 | Indonesian Rupiahs | 4,484,978,606 | CITI | 7,871 | ||||||
09/16/20 | U.S. Dollars | 585,629 | Czech Republic Koruna | 13,700,000 | CITI | 7,821 | ||||||
09/16/20 | Polish Zloty | 3,590,000 | U.S. Dollars | 903,195 | CITI | 4,443 | ||||||
09/16/20 | Czech Republic Koruna | 10,600,000 | U.S. Dollars | 443,460 | CITI | 3,603 | ||||||
09/16/20 | Euro | 181,500 | U.S. Dollars | 202,850 | CITI | 1,424 | ||||||
09/16/20 | Colombian Pesos | 3,100,000,000 | U.S. Dollars | 818,340 | CITI | 1,160 | ||||||
09/16/20 | Hungarian Forint | 53,000,000 | U.S. Dollars | 167,216 | CITI | 866 | ||||||
09/16/20 | U.S. Dollars | 14,678 | Peruvian Nuevo Soles | 50,000 | CITI | 581 | ||||||
09/16/20 | U.S. Dollars | 229,913 | Saudi Riyals | 862,500 | CITI | 167 | ||||||
09/16/20 | U.S. Dollars | 22,618 | Euro | 20,000 | CITI | 109 | ||||||
09/16/20 | Saudi Riyals | 1,200,000 | U.S. Dollars | 319,541 | CITI | 106 | ||||||
09/16/20 | Russian Rubles | 1,006,000 | U.S. Dollars | 13,953 | CITI | 54 | ||||||
09/16/20 | U.S. Dollars | 14,753 | South Korean Won | 17,635,000 | CITI | 44 | ||||||
09/16/20 | U.S. Dollars | 28,370 | Thai Baht | 876,000 | CITI | 32 | ||||||
09/16/20 | U.S. Dollars | 64,483 | Hong Kong Dollars | 500,000 | CITI | 2 | ||||||
Subtotal Appreciation | $ 1,269,989 | |||||||||||
09/16/20 | Saudi Riyals | 3,400,000 | U.S. Dollars | 905,694 | CITI | $ (28) | ||||||
07/09/20 | U.S. Dollars | 103,415 | Turkish Lira | 709,164 | CITI | (59) | ||||||
09/16/20 | U.S. Dollars | 874,406 | South African Rand | 15,300,000 | CITI | (115) | ||||||
09/16/20 | Hong Kong Dollars | 15,500,000 | U.S. Dollars | 1,999,026 | CITI | (128) | ||||||
09/16/20 | U.S. Dollars | 362,519 | Saudi Riyals | 1,361,500 | CITI | (147) | ||||||
09/16/20 | Thai Baht | 3,000,000 | U.S. Dollars | 97,234 | CITI | (184) | ||||||
09/16/20 | U.S. Dollars | 89,828 | Euro | 80,000 | CITI | (211) | ||||||
09/16/20 | Chinese Offshore Yuan | 812,000 | U.S. Dollars | 114,669 | CITI | (328) | ||||||
09/16/20 | Euro | 141,500 | U.S. Dollars | 159,758 | CITI | (501) | ||||||
09/16/20 | Polish Zloty | 422,000 | U.S. Dollars | 107,234 | CITI | (543) | ||||||
09/16/20 | U.S. Dollars | 1,701,282 | Philippine Pesos | 85,044,000 | CITI | (1,063) | ||||||
09/16/20 | Taiwan Dollars | 95,000,000 | U.S. Dollars | 3,267,132 | CITI | (1,127) | ||||||
09/16/20 | Singapore Dollars | 2,455,000 | U.S. Dollars | 1,763,247 | CITI | (1,212) | ||||||
09/17/20 | U.S. Dollars | 592,770 | Mexican Pesos | 13,800,000 | CITI | (1,295) | ||||||
09/16/20 | Czech Republic Koruna | 8,900,000 | U.S. Dollars | 377,643 | CITI | (2,278) | ||||||
09/16/20 | Peruvian Nuevo Soles | 579,874 | U.S. Dollars | 166,001 | CITI | (2,512) | ||||||
09/16/20 | U.S. Dollars | 3,721,981 | Hong Kong Dollars | 28,884,000 | CITI | (2,935) | ||||||
09/16/20 | Hungarian Forint | 62,000,000 | U.S. Dollars | 199,863 | CITI | (3,239) | ||||||
09/16/20 | Colombian Pesos | 3,000,000,000 | U.S. Dollars | 796,932 | CITI | (3,866) | ||||||
09/16/20 | U.S. Dollars | 1,471,969 | Thai Baht | 45,644,000 | CITI | (4,614) |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
09/16/20 | South Korean Won | 2,499,312,000 | U.S. Dollars | 2,089,506 | CITI | $ (4,863) | ||||||
09/16/20 | U.S. Dollars | 258,505 | Indonesian Rupiahs | 3,899,492,606 | CITI | (5,916) | ||||||
09/16/20 | Indian Rupees | 521,402,000 | U.S. Dollars | 6,852,479 | CITI | (9,285) | ||||||
09/16/20 | Israeli Shekels | 4,200,000 | U.S. Dollars | 1,228,206 | CITI | (13,118) | ||||||
09/16/20 | U.S. Dollars | 1,818,625 | Hungarian Forint | 577,672,000 | CITI | (13,378) | ||||||
09/16/20 | U.S. Dollars | 5,122,750 | Brazilian Reals | 28,049,000 | CITI | (17,707) | ||||||
09/16/20 | Chilean Pesos | 1,080,000,000 | U.S. Dollars | 1,336,185 | CITI | (19,769) | ||||||
09/16/20 | U.S. Dollars | 3,361,102 | Polish Zloty | 13,380,000 | CITI | (21,682) | ||||||
09/16/20 | South African Rand | 36,506,500 | U.S. Dollars | 2,122,537 | CITI | (35,889) | ||||||
09/16/20 | U.S. Dollars | 2,746,459 | South Korean Won | 3,350,064,000 | CITI | (47,783) | ||||||
09/16/20 | U.S. Dollars | 2,849,450 | Singapore Dollars | 4,040,000 | CITI | (50,192) | ||||||
09/16/20 | U.S. Dollars | 6,407,238 | Israeli Shekels | 22,400,000 | CITI | (73,238) | ||||||
09/16/20 | U.S. Dollars | 8,761,698 | Chinese Offshore Yuan | 62,765,415 | CITI | (76,554) | ||||||
09/16/20 | U.S. Dollars | 4,606,986 | Czech Republic Koruna | 111,200,000 | CITI | (82,960) | ||||||
09/16/20 | Russian Rubles | 426,986,000 | U.S. Dollars | 6,062,972 | CITI | (117,366) | ||||||
09/17/20 | Mexican Pesos | 177,941,000 | U.S. Dollars | 7,967,076 | CITI | (307,042) | ||||||
09/16/20 | Brazilian Reals | 37,628,000 | U.S. Dollars | 7,369,756 | CITI | (473,785) | ||||||
Subtotal Depreciation | $(1,396,912) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | $ (126,923) |
Pay Rate Index/Pay Rate | Receive
Rate/Receive Rate Index |
Maturity
Date |
Counterparty | Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
Total Return Swaps | ||||||||||||||||
Decreases in total return of TAIEX (At Termination) | Increases in total return of TAIEX (At Termination) | 7/15/2020 | GSC | TWD | 68,820,000 | $ 27,624 | $ — | $ 27,624 | ||||||||
Increases in total return of SGX Nifty 50 Index (At Termination) | Decreases in total return of SGX Nifty 50 Index (At Termination) | 7/30/2020 | CITI | USD | 863,100 | 3,243 | — | 3,243 | ||||||||
Decreases in total return of BIST 30 Index (At Termination) | Increases in total return of BIST 30 Index (At Termination) | 8/31/2020 | CITI | TRY | 9,095,580 | 2,482 | — | 2,482 | ||||||||
Financing Index: 1-Month HIBOR - 0.30% (Monthly) | MSCI China Net Return HKD Index | 9/16/2020 | GSC | HKD | 444,680 | 1,391 | — | 1,391 | ||||||||
MSCI Emerging Markets Thailand Net Total Return USD Index | Financing Index: 1-Month ICE LIBOR USD + 0.15% (Monthly) | 9/16/2020 | GSC | USD | 335,700 | 22,423 | — | 22,423 | ||||||||
MSCI Poland Net Return PLN Index | Financing Index: 1-Month WIBOR + 0.18% (Monthly) | 9/16/2020 | GSC | PLN | 1,050,828 | 14,302 | — | 14,302 | ||||||||
MSCI Singapore Net Return SGD Index | Financing Index: SORF1M Index + 0.20% (Monthly) | 9/16/2020 | GSC | SGD | 3,449,990 | 145,443 | — | 145,443 | ||||||||
Increases in total return of WIG20 Index (At Termination) | Decreases in total return of WIG20 Index (At Termination) | 9/18/2020 | CITI | PLN | 35,080 | 172 | — | 172 | ||||||||
Subtotal Appreciation | $ 217,080 | $ — | $ 217,080 | |||||||||||||
Decreases in total return of HSCEI Index (At Termination) | Increases in total return of HSCEI Index (At Termination) | 7/30/2020 | GSC | HKD | 62,229,600 | $(138,572) | $ — | $(138,572) | ||||||||
Decreases in total return of HSCEI Index (At Termination) | Increases in total return of HSCEI Index (At Termination) | 7/30/2020 | CITI | HKD | 6,753,600 | (14,439) | — | (14,439) |
Pay Rate Index/Pay Rate | Receive
Rate/Receive Rate Index |
Maturity
Date |
Counterparty | Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
Decreases in total return of Tel Aviv 35 Index (At Termination) | Increases in total return of Tel Aviv 35 Index (At Termination) | 7/31/2020 | GSC | ILS | 805,440 | $ (10,865) | $ — | $ (10,865) | ||||||||
Increases in total return of Bovespa Index (At Termination) | Decreases in total return of Bovespa Index (At Termination) | 8/12/2020 | CITI | BRL | 10,476,400 | (46,416) | — | (46,416) | ||||||||
Decreases in total return of KOSPI 200 Index (At Termination) | Increases in total return of KOSPI 200 Index (At Termination) | 9/10/2020 | GSC | KRW | 4,071,600,000 | (112,578) | — | (112,578) | ||||||||
Decreases in total return of KOSPI 200 Index (At Termination) | Increases in total return of KOSPI 200 Index (At Termination) | 9/10/2020 | CITI | KRW | 2,808,000,000 | (80,966) | — | (80,966) | ||||||||
Financing Index: 1-Month ICE LIBOR USD - 0.05% (Monthly) | MSCI Emerging Markets Korea Net Total Return USD Index | 9/16/2020 | GSC | USD | 241,867 | (7,396) | — | (7,396) | ||||||||
MSCI Brazil Net Return BRL Index | Financing Index: Brazil Cetip DI Interbank Deposit Rate - 0.45% (Monthly) | 9/16/2020 | GSC | BRL | 745,301 | (806) | — | (806) | ||||||||
MSCI South Africa Net Return ZAR Index | Financing Index: 1-Month SAFE South Africa JIBAR + 0.02% (Monthly) | 9/16/2020 | GSC | ZAR | 65,731,975 | (12,959) | — | (12,959) | ||||||||
Financing Index: 28-Day Mexico Interbank TIIE + 0.15% (Monthly) | MSCI Mexico Net MXN Index | 9/17/2020 | GSC | MXN | 3,241,008 | (460) | — | (460) | ||||||||
Increases in total return of FTSE/JSE Shareholder Weighted Top 40 Index (At Termination) | Decreases in total return of FTSE/JSE Shareholder Weighted Top 40 Index (At Termination) | 9/17/2020 | GSC | ZAR | 8,056,620 | (8,235) | — | (8,235) | ||||||||
Subtotal Depreciation | $(433,692) | $ — | $(433,692) | |||||||||||||
Net Total Return Swaps outstanding at June 30, 2020 | $(216,612) | $ — | $(216,612) |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks: | |||||||
Health Care | $ 7,206,497 | $ 2,843,714 | $ 4,362,783 | $ — | |||
Information Technology | 3,354,431 | 1,654,200 | 1,700,231 | — | |||
Materials | 337,974 | 97,079 | 240,895 | — | |||
Other ^^ | 16,603,687 | 16,603,687 | — | — | |||
Total Common Stocks | 27,502,589 | 21,198,680 | 6,303,909 | — | |||
Foreign Common Stocks: | |||||||
Brazil | 24,037,259 | 24,037,259 | — | — | |||
Canada | 1,242,027 | 1,242,027 | — | — | |||
Chile | 4,110,251 | 4,110,251 | — | — | |||
China | 131,711,302 | 44,632,668 | 87,078,634 | — | |||
Greece | 1,188,608 | 1,005,864 | 182,744 | — | |||
India | 45,501,505 | 986,875 | 44,514,630 | — | |||
Mexico | 9,876,759 | 9,876,759 | — | — | |||
Netherlands | 7,652,210 | 7,652,210 | — | — | |||
Peru | 5,556,965 | 5,556,965 | — | — | |||
Russia | 9,316,325 | 1,430,221 | 7,886,104 | — | |||
South Africa | 25,493,527 | 9,318,361 | 16,175,166 | — | |||
Taiwan | 69,038,527 | 10,735,037 | 58,303,490 | — | |||
Turkey | 1,304,199 | 558,354 | 745,845 | — | |||
United Kingdom | 13,170,308 | 1,264,203 | 11,906,105 | — | |||
Other ^^ | 143,974,376 | — | 143,974,376 | — | |||
Total Foreign Common Stocks | 493,174,148 | 122,407,054 | 370,767,094 | — | |||
Foreign Preferred Stocks | 3,071,549 | 3,071,549 | — | — | |||
Money Market Funds | 39,138,073 | 39,138,073 | — | — | |||
Total Assets - Investments in Securities | $562,886,359 | $185,815,356 | $377,071,003 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 1,269,989 | $ — | $ 1,269,989 | $ — | |||
Futures Contracts | 61,294 | 61,294 | — | — | |||
Swap Agreements | 217,080 | — | 217,080 | — | |||
Total Assets - Other Financial Instruments | $ 1,548,363 | $ 61,294 | $ 1,487,069 | $ — | |||
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(1,396,912) | $ — | $(1,396,912) | $ — | |||
Futures Contracts | (578,849) | (578,849) | — | — | |||
Swap Agreements | (433,692) | — | (433,692) | — | |||
Total Liabilities - Other Financial Instruments | $(2,409,453) | $(578,849) | $(1,830,604) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forwards contracts and swap agreements, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding", "Forwards Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2020 (Unaudited) |
Defensive
Market Strategies® Fund |
Equity
Index Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $1,176,029,447 | $2,032,882,355 | |
Investments in securities of affiliated issuers, at value | 62,758,246 | 70,028,319 | |
Total investments, at value(1), (2) | 1,238,787,693 | 2,102,910,674 | |
Cash | 2,013,859 | — | |
Cash collateral for derivatives | — | — | |
Deposits with broker for futures contracts | — | 5,476,000 | |
Foreign currency(3) | 1 | — | |
Receivables: | |||
Dividends and reclaims | 841,329 | 1,258,750 | |
Interest | 1,553,880 | — | |
Securities lending | 10,513 | 23,291 | |
Investment securities sold | 2,755,086 | — | |
Fund shares sold | 263,865 | 396,229 | |
Variation margin on futures contracts | — | 941,375 | |
Unrealized appreciation on foreign currency exchange contracts | 45,566 | — | |
Unrealized appreciation on swap agreements | — | — | |
Prepaid expenses and other assets | 48,743 | 61,837 | |
Total Assets | 1,246,320,535 | 2,111,068,156 | |
Liabilities | |||
Cash Overdraft | — | 4,234 | |
Securities sold short, at value(4) | — | — | |
Options written, at value(5) | 1,271,858 | — | |
Unrealized depreciation on foreign currency exchange contracts | — | — | |
Unrealized depreciation on swap agreements | — | — | |
Collateral held for securities on loan, at value | 35,669,941 | 4,262,211 | |
Collateral from counterparty | — | — | |
Payables: | |||
Investment securities purchased | 1,710,847 | — | |
Dividends on short sales | — | — | |
Fund shares redeemed | 1,858,144 | 1,166,681 | |
Variation margin on futures contracts | 329,375 | — | |
Foreign capital gains taxes | — | — | |
Accrued expenses: | |||
Investment advisory fees | 606,522 | 150,528 | |
Shareholder servicing fees | 81,071 | 124,758 | |
Trustee fees | 1,609 | 2,517 | |
Other expenses | 251,247 | 330,826 | |
Total Liabilities | 41,780,614 | 6,041,755 | |
Net Assets | $1,204,539,921 | $2,105,026,401 | |
Net Assets Consist of: | |||
Paid-in-capital | $1,100,540,310 | $1,545,635,751 | |
Distributable earnings (loss) | 103,999,611 | 559,390,650 | |
Net Assets | $1,204,539,921 | $2,105,026,401 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $ 809,944,847 | $1,494,352,399 | |
Institutional shares outstanding | 64,489,908 | 43,953,609 | |
Net asset value, offering and redemption price per Institutional share | $ 12.56 | $ 34.00 | |
Net assets applicable to the Investor Class | $ 394,595,074 | $ 610,674,002 | |
Investor shares outstanding | 31,412,596 | 17,952,636 | |
Net asset value, offering and redemption price per Investor share | $ 12.56 | $ 34.02 | |
|
|||
(1)Investments in securities of unaffiliated issuers, at cost | $1,053,975,583 | $1,464,320,336 | |
Investments in securities of affiliated issuers, at cost | 62,758,246 | 70,028,319 | |
Total investments, at cost | $1,116,733,829 | $1,534,348,655 | |
(2)Includes securities loaned of: | $ 50,519,523 | $ 50,987,760 | |
(3)Foreign currency, at cost | $ 1 | $ — | |
(4)Proceeds from securities sold short | $ — | $ — | |
(5)Premiums received on options written | $ 2,780,078 | $ — | |
(6)Net of $(448,548) accrued foreign capital gains taxed on appreciated securities for International Equity Fund. |
Value
Equity Fund |
Growth
Equity Fund |
Small
Cap Equity Fund |
International
Equity Index Fund |
International
Equity Fund |
Emerging
Markets Equity Fund | |||||
$1,013,032,924 | $1,684,010,226 | $523,094,546 | $665,345,331 | $1,107,136,837 | $541,532,905 | |||||
43,849,516 | 56,752,647 | 31,307,543 | 18,393,235 | 72,442,108 | 21,353,454 | |||||
1,056,882,440 | 1,740,762,873 | 554,402,089 | 683,738,566 | 1,179,578,945 | 562,886,359 | |||||
— | 2,023,028 | — | 1,509,989 | — | — | |||||
— | — | — | — | 683,458 | 1,160,054 | |||||
1,759,856 | — | 1,800,000 | 616,000 | 10,424,714 | 10,865,573 | |||||
— | — | — | 2,618,607 | 18,574,181 | 12,217,638 | |||||
1,346,450 | 605,342 | 377,025 | 2,656,409 | 6,140,835 | 1,180,961 | |||||
— | — | — | — | — | 253,387 | |||||
1,360 | 113,222 | 25,546 | 17,617 | 846 | 424 | |||||
1,126,211 | — | 1,770,056 | 2,325 | 260,851 | 2,861,638 | |||||
227,341 | 234,553 | 340,107 | 58,107 | 534,289 | 529,795 | |||||
286,450 | 318,750 | 193,680 | — | — | — | |||||
61,706 | — | — | — | 2,235,196 | 1,269,989 | |||||
— | — | — | — | 32,138 | 217,080 | |||||
48,302 | 63,517 | 38,195 | 22,676 | 41,081 | 26,952 | |||||
1,061,740,116 | 1,744,121,285 | 558,946,698 | 691,240,296 | 1,218,506,534 | 593,469,850 | |||||
— | — | 286,519 | — | 15,759 | — | |||||
— | — | — | — | 49,192,957 | — | |||||
— | — | — | — | — | — | |||||
— | — | — | — | 1,106,895 | 1,396,912 | |||||
— | — | — | — | 174,055 | 433,692 | |||||
7,181,521 | 11,621,953 | 16,503,541 | 18,029,669 | 8,859,040 | 1,104,610 | |||||
— | — | — | — | 1,430,000 | 302,254 | |||||
609,186 | — | 2,810,394 | — | 9,523,899 | 22,809,513 | |||||
— | — | — | — | 32,857 | — | |||||
122,781 | 412,537 | 120,709 | 2,187 | 68,551 | 8,082 | |||||
— | — | — | 37,958 | 105,757 | 70,023 | |||||
— | — | — | — | 448,548 | — | |||||
510,237 | 894,192 | 393,813 | 65,982 | 737,858 | 358,223 | |||||
62,782 | 163,928 | 44,170 | — | 61,541 | 13,137 | |||||
1,407 | 1,145 | 566 | 2,135 | 1,378 | 377 | |||||
198,272 | 245,590 | 134,186 | 206,566 | 536,052 | 433,348 | |||||
8,686,186 | 13,339,345 | 20,293,898 | 18,344,497 | 72,295,147 | 26,930,171 | |||||
$1,053,053,930 | $1,730,781,940 | $538,652,800 | $672,895,799 | $1,146,211,387 | $566,539,679 | |||||
$1,103,939,830 | $1,023,460,098 | $563,158,643 | $712,030,956 | $1,226,843,339 | $570,373,845 | |||||
(50,885,900) | 707,321,842 | (24,505,843) | (39,135,157) | (80,631,952) (6) | (3,834,166) | |||||
$1,053,053,930 | $1,730,781,940 | $538,652,800 | $672,895,799 | $1,146,211,387 | $566,539,679 | |||||
$ 751,939,316 | $ 919,283,087 | $322,850,870 | $672,895,799 | $ 845,294,674 | $500,039,484 | |||||
47,741,945 | 32,422,747 | 22,935,472 | 69,262,562 | 70,130,884 | 53,050,183 | |||||
$ 15.75 | $ 28.35 | $ 14.08 | $ 9.72 | $ 12.05 | $ 9.43 | |||||
$ 301,114,614 | $ 811,498,853 | $215,801,930 | N/A | $ 300,916,713 | $ 66,500,195 | |||||
19,102,770 | 28,861,175 | 15,412,516 | N/A | 24,946,713 | 7,064,420 | |||||
$ 15.76 | $ 28.12 | $ 14.00 | N/A | $ 12.06 | $ 9.41 | |||||
$ 998,418,364 | $1,129,731,990 | $519,692,382 | $695,188,825 | $1,118,407,280 | $510,807,180 | |||||
43,849,516 | 56,752,647 | 31,307,543 | 18,393,235 | 72,442,108 | 21,353,454 | |||||
$1,042,267,880 | $1,186,484,637 | $550,999,925 | $713,582,060 | $1,190,849,388 | $532,160,634 | |||||
$ 8,052,712 | $ 135,710,430 | $ 56,559,508 | $ 31,001,437 | $ 22,036,899 | $ 6,758,615 | |||||
$ — | $ — | $ — | $ 2,625,497 | $ 18,560,694 | $ 12,235,012 | |||||
$ — | $ — | $ — | $ — | $ 45,830,493 | $ — | |||||
$ — | $ — | $ — | $ — | $ — | $ — | |||||
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2020 (Unaudited) |
Defensive
Market Strategies® Fund |
Equity
Index Fund | ||
Investment Income | |||
Dividends | $ 7,381,323 | $ 19,293,515 | |
Income distributions received from affiliated funds | 283,728 | 226,661 | |
Interest | 2,518,585 | 5,302 | |
Securities lending, net | 77,368 | 112,433 | |
Less foreign taxes withheld | (103,870) | (44,796) | |
Total Investment Income | 10,157,134 | 19,593,115 | |
Expenses | |||
Investment advisory fees | 3,638,358 | 881,363 | |
Transfer agent fees: | |||
Institutional shares | 2,422 | 2,683 | |
Investor shares | 15,770 | 19,928 | |
Custodian fees | 42,555 | 21,094 | |
Shareholder servicing fees: | |||
Investor shares | 513,017 | 734,419 | |
Accounting and administration fees | 126,199 | 214,061 | |
Professional fees | 100,531 | 49,610 | |
Shareholder reporting fees: | |||
Institutional shares | 656 | 1,005 | |
Investor shares | 3,850 | 8,142 | |
Trustees expenses | 2,617 | 4,626 | |
Line of credit facility fees | 772 | 1,480 | |
S&P license fees | — | 102,174 | |
Interest expense | — | — | |
Dividends on securities sold short | — | — | |
Other expenses | 74,233 | 78,844 | |
Recoupment of prior expenses reduced by the Advisor | — | — | |
Total Expenses | 4,520,980 | 2,119,429 | |
Fees paid indirectly | — | — | |
Net Expenses | 4,520,980 | 2,119,429 | |
Net Investment Income | 5,636,154 | 17,473,686 | |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) from: | |||
Investment
securities (net of capital gains taxes of $(30,690) for International Equity Fund) |
13,223,139 | (3,555,911) | |
Investment securities sold short | — | — | |
Futures transactions | 1,148,355 | (2,285,844) | |
Swap agreements | — | — | |
Option contracts written | (28,721,738) | — | |
Forward foreign currency contracts | (268,642) | — | |
Foreign currency | 17,162 | — | |
Net realized gain (loss) | (14,601,724) | (5,841,755) | |
Net change in unrealized appreciation (depreciation) on: | |||
Investment
securities (net of estimated capital gains taxes of $(448,548) for International Equity Fund) |
(51,913,117) | (77,155,428) | |
Investment securities sold short | — | — | |
Futures | (238,312) | 975,644 | |
Swap agreements | — | — | |
Option contracts written | 1,283,962 | — | |
Forward foreign currency contracts | 235,062 | — | |
Foreign currency | 4,250 | — | |
Net change in unrealized appreciation (depreciation) | (50,628,155) | (76,179,784) | |
Net Realized and Unrealized Gain (Loss) | (65,229,879) | (82,021,539) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | $(59,593,725) | $(64,547,853) |
Value
Equity Fund |
Growth
Equity Fund |
Small
Cap Equity Fund |
International
Equity Index Fund |
International
Equity Fund |
Emerging
Markets Equity Fund | |||||
$ 14,184,033 | $ 7,229,565 | $ 2,823,637 | $ 10,474,975 | $ 16,834,100 | $ 5,063,679 | |||||
167,413 | 206,900 | 83,389 | 151,696 | 248,224 | 63,753 | |||||
— | 7,826 | 3,442 | 2,085 | — | — | |||||
37,586 | 403,316 | 110,500 | 76,635 | 43,196 | 22,974 | |||||
(445,972) | (126,456) | (5,643) | (690,589) | (1,250,400) | (421,660) | |||||
13,943,060 | 7,721,151 | 3,015,325 | 10,014,802 | 15,875,120 | 4,728,746 | |||||
3,061,578 | 5,198,919 | 2,317,563 | 378,460 | 4,418,417 | 2,075,170 | |||||
2,289 | 2,406 | 2,397 | 1,971 | 2,700 | 2,302 | |||||
10,438 | 16,828 | 10,278 | — | 11,301 | 6,766 | |||||
39,916 | 20,291 | 57,806 | 78,478 | 295,935 | 522,708 | |||||
396,770 | 929,644 | 265,350 | — | 371,704 | 79,666 | |||||
112,755 | 171,916 | 54,510 | 71,547 | 122,092 | 50,761 | |||||
55,389 | 53,446 | 56,699 | 62,070 | 63,340 | 55,398 | |||||
496 | 498 | 596 | — | 700 | 338 | |||||
4,684 | 9,203 | 5,760 | — | 4,871 | 785 | |||||
2,555 | 4,207 | 1,922 | 478 | 2,632 | 1,155 | |||||
721 | 1,449 | 954 | 45 | 625 | 281 | |||||
— | — | — | — | — | — | |||||
293 | — | — | — | — | 6,513 | |||||
— | — | — | — | 673,243 | — | |||||
60,271 | 72,508 | 46,649 | 131,538 | 211,310 | 56,625 | |||||
— | — | — | 14,193 | — | 39,200 | |||||
3,748,155 | 6,481,315 | 2,820,484 | 738,780 | 6,178,870 | 2,897,668 | |||||
(6,331) | (15,912) | (26,593) | — | — | (89) | |||||
3,741,824 | 6,465,403 | 2,793,891 | 738,780 | 6,178,870 | 2,897,579 | |||||
10,201,236 | 1,255,748 | 221,434 | 9,276,022 | 9,696,250 | 1,831,167 | |||||
(50,940,159) | 156,886,272 | (34,124,913) | (6,251,044) | (61,257,723) | (21,841,175) | |||||
— | — | — | — | 5,630,888 | — | |||||
7,407,763 | 3,497,171 | 2,471,451 | (7,394,495) | 1,477,664 | 2,383,505 | |||||
— | — | — | — | 1,723,825 | 524,212 | |||||
— | — | — | — | — | — | |||||
(1,022,505) | — | — | — | (1,966,547) | (224,790) | |||||
19,619 | — | — | 33,544 | (54,033) | (534,725) | |||||
(44,535,282) | 160,383,443 | (31,653,462) | (13,611,995) | (54,445,926) | (19,692,973) | |||||
(150,411,797) | (9,412,205) | (33,127,176) | (73,165,508) | (120,321,661) | (19,567,198) | |||||
— | — | — | — | 3,488,876 | — | |||||
(133,134) | (587,335) | 577,952 | (235,534) | (1,039,556) | (1,013,749) | |||||
— | — | — | — | 65,815 | (1,076,888) | |||||
— | — | — | — | — | — | |||||
550,838 | — | — | — | 1,136,685 | 277,612 | |||||
— | — | — | (17,730) | 41,702 | (50,720) | |||||
(149,994,093) | (9,999,540) | (32,549,224) | (73,418,772) | (116,628,139) | (21,430,943) | |||||
(194,529,375) | 150,383,903 | (64,202,686) | (87,030,767) | (171,074,065) | (41,123,916) | |||||
$(184,328,139) | $151,639,651 | $(63,981,252) | $(77,754,745) | $(161,377,815) | $(39,292,749) |
STATEMENTS OF CHANGES IN NET ASSETS |
Defensive Market Strategies® Fund | |||
For
the Six Months Ended |
For the Year Ended | ||
06/30/20 | 12/31/19 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $ 5,636,154 | $ 13,769,126 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | (14,601,724) | 54,096,958 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (50,628,155) | 133,603,773 | |
Net increase (decrease) in net assets resulting from operations | (59,593,725) | 201,469,857 | |
Distributions to Shareholders: | |||
Institutional shares | (9,296,003) | (44,168,777) | |
Investor shares | (4,070,888) | (24,120,475) | |
Total distributions | (13,366,891) | (68,289,252) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 75,099,370 | 76,644,154 | |
Investor shares | 70,472,605 | 133,164,309 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 9,285,390 | 44,116,263 | |
Investor shares | 3,959,021 | 23,830,888 | |
Total proceeds from shares sold and reinvested | 158,816,386 | 277,755,614 | |
Value of shares redeemed | |||
Institutional shares | (35,793,289) | (56,912,886) | |
Investor shares | (108,043,432) | (103,760,712) | |
Total value of shares redeemed | (143,836,721) | (160,673,598) | |
Net increase (decrease) from capital share transactions(1) | 14,979,665 | 117,082,016 | |
Total increase (decrease) in net assets | (57,980,951) | 250,262,621 | |
Net Assets: | |||
Beginning of Period | 1,262,520,872 | 1,012,258,251 | |
End of Period | $1,204,539,921 | $1,262,520,872 |
|
||
(1) | See Note 6 in Notes to Financial Statements. |
Equity Index Fund | Value Equity Fund | Growth Equity Fund | ||||||||
For
the Six Months Ended |
For the Year Ended | For
the Six Months Ended |
For the Year Ended | For
the Six Months Ended |
For the Year Ended | |||||
06/30/20 | 12/31/19 | 06/30/20 | 12/31/19 | 06/30/20 | 12/31/19 | |||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||
$ 17,473,686 | $ 32,898,674 | $ 10,201,236 | $ 19,896,239 | $ 1,255,748 | $ 141,021 | |||||
(5,841,755) | 16,892,045 | (44,535,282) | 128,696,083 | 160,383,443 | 163,335,695 | |||||
(76,179,784) | 458,673,507 | (149,994,093) | 123,681,091 | (9,999,540) | 298,497,744 | |||||
(64,547,853) | 508,464,226 | (184,328,139) | 272,273,413 | 151,639,651 | 461,974,460 | |||||
(16,814,201) | (32,906,901) | (17,764,971) | (91,183,177) | (16,061,402) | (86,626,597) | |||||
(6,209,701) | (12,882,091) | (6,799,021) | (40,942,447) | (13,472,004) | (70,501,782) | |||||
(23,023,902) | (45,788,992) | (24,563,992) | (132,125,624) | (29,533,406) | (157,128,379) | |||||
140,563,187 | 171,099,288 | 76,749,639 | 34,148,825 | 50,748,926 | 68,743,901 | |||||
72,893,363 | 90,260,475 | 16,374,248 | 29,718,622 | 84,224,200 | 70,435,756 | |||||
16,437,535 | 32,447,882 | 17,755,900 | 91,139,115 | 16,055,181 | 86,582,221 | |||||
6,183,292 | 12,851,729 | 6,781,641 | 40,832,597 | 13,445,046 | 70,461,720 | |||||
236,077,377 | 306,659,374 | 117,661,428 | 195,839,159 | 164,473,353 | 296,223,598 | |||||
(104,632,060) | (132,040,161) | (30,650,921) | (91,784,085) | (148,315,021) | (155,258,516) | |||||
(74,501,089) | (100,097,652) | (39,960,060) | (68,010,299) | (105,632,189) | (135,778,291) | |||||
(179,133,149) | (232,137,813) | (70,610,981) | (159,794,384) | (253,947,210) | (291,036,807) | |||||
56,944,228 | 74,521,561 | 47,050,447 | 36,044,775 | (89,473,857) | 5,186,791 | |||||
(30,627,527) | 537,196,795 | (161,841,684) | 176,192,564 | 32,632,388 | 310,032,872 | |||||
2,135,653,928 | 1,598,457,133 | 1,214,895,614 | 1,038,703,050 | 1,698,149,552 | 1,388,116,680 | |||||
$2,105,026,401 | $2,135,653,928 | $1,053,053,930 | $1,214,895,614 | $1,730,781,940 | $1,698,149,552 |
STATEMENTS OF CHANGES IN NET ASSETS |
Small Cap Equity Fund | |||
For
the Six Months Ended |
For the Year Ended | ||
06/30/20 | 12/31/19 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $ 221,434 | $ 447,076 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | (31,653,462) | 26,632,218 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (32,549,224) | 95,496,405 | |
Net increase (decrease) in net assets resulting from operations | (63,981,252) | 122,575,699 | |
Distributions to Shareholders: | |||
Institutional shares | — | (12,633,420) | |
Investor shares | — | (9,433,184) | |
Total distributions | — | (22,066,604) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 39,646,889 | 42,279,164 | |
Investor shares | 12,560,938 | 27,788,978 | |
Reinvestment of dividends and distributions | |||
Institutional shares | — | 12,609,876 | |
Investor shares | — | 9,422,258 | |
Total proceeds from shares sold and reinvested | 52,207,827 | 92,100,276 | |
Value of shares redeemed | |||
Institutional shares | (18,780,610) | (26,618,910) | |
Investor shares | (27,250,970) | (57,230,474) | |
Total value of shares redeemed | (46,031,580) | (83,849,384) | |
Net increase (decrease) from capital share transactions(1) | 6,176,247 | 8,250,892 | |
Total increase (decrease) in net assets | (57,805,005) | 108,759,987 | |
Net Assets: | |||
Beginning of Period | 596,457,805 | 487,697,818 | |
End of Period | $538,652,800 | $596,457,805 |
|
||
(1) | See Note 6 in Notes to Financial Statements. |
International Equity Index Fund | International Equity Fund | Emerging Markets Equity Fund | ||||||||
For
the Six Months Ended |
For the Year Ended | For
the Six Months Ended |
For the Year Ended | For
the Six Months Ended |
For the Year Ended | |||||
06/30/20 | 12/31/19 | 06/30/20 | 12/31/19 | 06/30/20 | 12/31/19 | |||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||
$ 9,276,022 | $ 19,347,299 | $ 9,696,250 | $ 27,314,506 | $ 1,831,167 | $ 8,850,162 | |||||
(13,611,995) | 1,316,780 | (54,445,926) | 40,301,646 | (19,692,973) | 1,991,770 | |||||
(73,418,772) | 100,183,811 | (116,628,139) | 185,919,521 | (21,430,943) | 77,153,785 | |||||
(77,754,745) | 120,847,890 | (161,377,815) | 253,535,673 | (39,292,749) | 87,995,717 | |||||
— | (20,799,847) | — | (47,643,999) | — | (11,628,885) | |||||
— | — | — | (16,556,051) | — | (1,621,711) | |||||
— | (20,799,847) | — | (64,200,050) | — | (13,250,596) | |||||
98,744,296 | 76,342,779 | 64,654,481 | 60,770,646 | 86,045,807 | 42,650,660 | |||||
— | — | 34,919,106 | 49,956,440 | 12,702,179 | 20,347,806 | |||||
— | 20,640,274 | — | 47,413,821 | — | 11,623,106 | |||||
— | — | 414 | 16,496,111 | — | 1,620,358 | |||||
98,744,296 | 96,983,053 | 99,574,001 | 174,637,018 | 98,747,986 | 76,241,930 | |||||
(61,957,711) | (28,593,664) | (63,364,214) | (80,087,916) | (9,808,350) | (21,076,236) | |||||
— | — | (42,790,323) | (50,451,367) | (16,046,823) | (22,140,113) | |||||
(61,957,711) | (28,593,664) | (106,154,537) | (130,539,283) | (25,855,173) | (43,216,349) | |||||
36,786,585 | 68,389,389 | (6,580,536) | 44,097,735 | 72,892,813 | 33,025,581 | |||||
(40,968,160) | 168,437,432 | (167,958,351) | 233,433,358 | 33,600,064 | 107,770,702 | |||||
713,863,959 | 545,426,527 | 1,314,169,738 | 1,080,736,380 | 532,939,615 | 425,168,913 | |||||
$672,895,799 | $713,863,959 | $1,146,211,387 | $1,314,169,738 | $566,539,679 | $532,939,615 |
FINANCIAL HIGHLIGHTS (Unaudited) |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net
Asset Value, Beginning of Period |
Net
Investment Income# |
Realized
and Unrealized Gain (Loss) on Investments |
Total
Income From Investment Operations |
Dividends
from Net Investment Income |
Distributions
from Net Realized Capital Gains |
Total
Distributions Paid |
Net
Asset Value, End of Period |
Total
Return |
Net
Assets, End of Period (000) |
Expenses,
Net |
Expenses,
Gross |
Investment
Income, Net |
Portfolio
Turnover Rate | |
Defensive Market Strategies® Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $13.27 | $0.06 | $(0.62) | $(0.56) | $(0.09) | $(0.06) | $(0.15) | $12.56 | (4.25)% | $ 809,945 | 0.67% | 0.67% | 1.04% | 47% |
2019 | 11.73 | 0.17 | 2.13 | 2.30 | (0.17) | (0.59) | (0.76) | 13.27 | 19.78 | 803,696 | 0.67 | 0.67 | 1.29 | 55 |
2018 | 12.68 | 0.15 | (0.32) | (0.17) | (0.17) | (0.61) | (0.78) | 11.73 | (1.51) | 653,481 | 0.67 | 0.67 | 1.17 | 65 |
2017 | 11.90 | 0.09 | 1.42 | 1.51 | (0.08) | (0.65) | (0.73) | 12.68 | 12.74 | 602,011 | 0.67(2) | 0.68 | 0.70 | 60 |
2016 | 11.21 | 0.17 | 1.15(3) | 1.32 | (0.16) | (0.47) | (0.63) | 11.90 | 11.80 | 547,132 | 0.69 | 0.70 | 1.42 | 78 |
2015 | 11.61 | 0.17 | 0.11(3) | 0.28 | (0.17) | (0.51) | (0.68) | 11.21 | 2.43 | 443,499 | 0.72(2) | 0.73 | 1.46 | 55 |
Investor Class | ||||||||||||||
2020(1) | $13.27 | $0.05 | $(0.63) | $(0.58) | $(0.07) | $(0.06) | $(0.13) | $12.56 | (4.37)% | $ 394,595 | 0.94% | 0.94% | 0.78% | 47% |
2019 | 11.74 | 0.13 | 2.13 | 2.26 | (0.14) | (0.59) | (0.73) | 13.27 | 19.38 | 458,825 | 0.93 | 0.93 | 1.02 | 55 |
2018 | 12.68 | 0.12 | (0.32) | (0.20) | (0.13) | (0.61) | (0.74) | 11.74 | (1.69) | 358,777 | 0.93 | 0.93 | 0.90 | 65 |
2017 | 11.91 | 0.05 | 1.41 | 1.46 | (0.04) | (0.65) | (0.69) | 12.68 | 12.35 | 360,533 | 0.95(2) | 0.96 | 0.43 | 60 |
2016 | 11.22 | 0.14 | 1.15(3) | 1.29 | (0.13) | (0.47) | (0.60) | 11.91 | 11.53 | 276,104 | 0.97 | 0.98 | 1.15 | 78 |
2015 | 11.60 | 0.13 | 0.12(3) | 0.25 | (0.12) | (0.51) | (0.63) | 11.22 | 2.16 | 167,117 | 0.99(2) | 1.00 | 1.12 | 55 |
Equity Index Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $35.45 | $0.30 | $(1.36) | $(1.06) | $(0.29) | $(0.10) | $(0.39) | $34.00 | (2.99)% | $1,494,352 | 0.13% | 0.13% | 1.81% | —%(4) |
2019 | 27.56 | 0.59 | 8.11 | 8.70 | (0.58) | (0.23) | (0.81) | 35.45 | 31.68 | 1,501,076 | 0.13 | 0.13 | 1.82 | 2 |
2018 | 29.43 | 0.55 | (1.79) | (1.24) | (0.48) | (0.15) | (0.63) | 27.56 | (4.29) | 1,107,944 | 0.12 | 0.13 | 1.81 | 3 |
2017 | 24.68 | 0.47 | 4.92 | 5.39 | (0.46) | (0.18) | (0.64) | 29.43 | 21.97 | 483,275 | 0.19 | 0.20 | 1.72 | 2 |
2016 | 22.81 | 0.46 | 2.27(3) | 2.73 | (0.56) | (0.30) | (0.86) | 24.68 | 12.16 | 355,404 | 0.15 | 0.16 | 1.97 | 3 |
2015 | 23.99 | 0.48 | (0.26)(3) | 0.22 | (0.61) | (0.79) | (1.40) | 22.81 | 0.92 | 276,599 | 0.17 | 0.18 | 1.94 | 6 |
Investor Class | ||||||||||||||
2020(1) | $35.47 | $0.26 | $(1.36) | $(1.10) | $(0.25) | $(0.10) | $(0.35) | $34.02 | (3.10)% | $ 610,674 | 0.41% | 0.41% | 1.55% | —%(4) |
2019 | 27.58 | 0.50 | 8.11 | 8.61 | (0.49) | (0.23) | (0.72) | 35.47 | 31.33 | 634,578 | 0.39 | 0.39 | 1.56 | 2 |
2018 | 29.44 | 0.47 | (1.78) | (1.31) | (0.40) | (0.15) | (0.55) | 27.58 | (4.55) | 490,513 | 0.37 | 0.38 | 1.56 | 3 |
2017 | 24.70 | 0.40 | 4.91 | 5.31 | (0.39) | (0.18) | (0.57) | 29.44 | 21.65 | 494,771 | 0.45 | 0.46 | 1.46 | 2 |
2016 | 22.58 | 0.39 | 2.27(3) | 2.66 | (0.29) | (0.25) | (0.54) | 24.70 | 11.84 | 386,796 | 0.42 | 0.42 | 1.70 | 3 |
2015 | 22.90 | 0.37 | (0.21)(3) | 0.16 | (0.18) | (0.30) | (0.48) | 22.58 | 0.70 | 332,005 | 0.41 | 0.44 | 1.62 | 6 |
# | Calculated using the average shares outstanding method. |
(1) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(2) | The ratio for the Defensive Market Strategies Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2015 and 2017. |
(3) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
(4) | Rounds to less than 1%. |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net
Asset Value, Beginning of Period |
Net
Investment Income/ (Loss)# |
Realized
and Unrealized Gain (Loss) on Investments |
Total
Income From Investment Operations |
Dividends
from Net Investment Income |
Distributions
from Net Realized Capital Gains |
Total
Distributions Paid |
Net
Asset Value, End of Period |
Total
Return |
Net
Assets, End of Period (000) |
Expenses,
Net |
Expenses,
Gross |
Investment
Income/ (Loss), Net |
Portfolio
Turnover Rate | |
Value Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $19.02 | $ 0.16 | $(3.04) | $(2.88) | $(0.15) | $(0.24) | $(0.39) | $15.75 | (15.19)% | $ 751,939 | 0.63%(2) | 0.63% | 2.00% | 112% |
2019 | 16.79 | 0.35 | 4.16 | 4.51 | (0.34) | (1.94) | (2.28) | 19.02 | 27.14 | 831,854 | 0.62(2) | 0.62 | 1.81 | 92 |
2018 | 22.76 | 0.39 | (2.75) | (2.36) | (0.40) | (3.21) | (3.61) | 16.79 | (10.97) | 703,135 | 0.56(2) | 0.57 | 1.75 | 38 |
2017 | 21.18 | 0.39 | 2.85 | 3.24 | (0.37) | (1.29) | (1.66) | 22.76 | 15.54 | 1,128,445 | 0.57(2) | 0.58 | 1.78 | 38 |
2016 | 19.75 | 0.41 | 2.30(3) | 2.71 | (0.46) | (0.82) | (1.28) | 21.18 | 14.11 | 920,433 | 0.59(2) | 0.60 | 2.05 | 36 |
2015 | 23.56 | 0.39 | (1.20)(3) | (0.81) | (0.44) | (2.56) | (3.00) | 19.75 | (3.44) | 917,208 | 0.61(2) | 0.62 | 1.73 | 32 |
Investor Class | ||||||||||||||
2020(1) | $19.04 | $ 0.14 | $(3.06) | $(2.92) | $(0.12) | $(0.24) | $(0.36) | $15.76 | (15.34)% | $ 301,115 | 0.89%(2) | 0.89% | 1.74% | 112% |
2019 | 16.81 | 0.30 | 4.16 | 4.46 | (0.29) | (1.94) | (2.23) | 19.04 | 26.80 | 383,041 | 0.89(2) | 0.89 | 1.55 | 92 |
2018 | 22.78 | 0.34 | (2.75) | (2.41) | (0.35) | (3.21) | (3.56) | 16.81 | (11.19) | 335,568 | 0.83(2) | 0.84 | 1.50 | 38 |
2017 | 21.20 | 0.34 | 2.85 | 3.19 | (0.32) | (1.29) | (1.61) | 22.78 | 15.25 | 397,231 | 0.83(2) | 0.84 | 1.52 | 38 |
2016 | 19.46 | 0.35 | 2.33(3) | 2.68 | (0.26) | (0.68) | (0.94) | 21.20 | 13.84 | 370,589 | 0.86(2) | 0.87 | 1.78 | 36 |
2015 | 21.31 | 0.27 | (1.06)(3) | (0.79) | (0.08) | (0.98) | (1.06) | 19.46 | (3.70) | 324,440 | 0.89(2) | 0.89 | 1.26 | 32 |
Growth Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $26.23 | $ 0.04 | $ 2.59 | $ 2.63 | $(0.05) | $(0.46) | $(0.51) | $28.35 | 10.01% | $ 919,283 | 0.68%(4) | 0.68% | 0.27% | 39% |
2019 | 21.47 | 0.03 | 7.36 | 7.39 | (0.03) | (2.60) | (2.63) | 26.23 | 34.79 | 934,297 | 0.71(4) | 0.71 | 0.13 | 21 |
2018 | 25.18 | 0.05 | 0.41 | 0.46 | (0.01) | (4.16) | (4.17) | 21.47 | 1.22 | 765,738 | 0.70(4) | 0.71 | 0.18 | 19 |
2017 | 21.08 | 0.03 | 6.80 | 6.83 | (0.02) | (2.71) | (2.73) | 25.18 | 32.43 | 1,150,773 | 0.72(4) | 0.73 | 0.12 | 41 |
2016 | 22.25 | —† | (0.22)(3) | (0.22) | — | (0.95) | (0.95) | 21.08 | (0.98) | 890,530 | 0.75(4) | 0.76 | 0.01 | 24 |
2015 | 25.80 | 0.02 | 1.38(3) | 1.40 | — | (4.95) | (4.95) | 22.25 | 5.67 | 932,232 | 0.77(4) | 0.78 | 0.09 | 79 |
Investor Class | ||||||||||||||
2020(1) | $26.02 | $ —† | $ 2.58 | $ 2.58 | $(0.02) | $(0.46) | $(0.48) | $28.12 | 9.90% | $ 811,499 | 0.94%(4) | 0.94% | 0.02% | 39% |
2019 | 21.35 | (0.03) | 7.30 | 7.27 | — | (2.60) | (2.60) | 26.02 | 34.42 | 763,853 | 0.96(4) | 0.96 | (0.13) | 21 |
2018 | 25.11 | (0.02) | 0.42 | 0.40 | — | (4.16) | (4.16) | 21.35 | 0.99 | 622,379 | 0.96(4) | 0.97 | (0.06) | 19 |
2017 | 21.07 | (0.04) | 6.79 | 6.75 | — | (2.71) | (2.71) | 25.11 | 32.06 | 584,764 | 0.98(4) | 0.99 | (0.14) | 41 |
2016 | 22.02 | (0.05) | (0.24)(3) | (0.29) | — | (0.66) | (0.66) | 21.07 | (1.30) | 424,210 | 1.01(4) | 1.02 | (0.26) | 24 |
2015 | 22.92 | (0.05) | 1.27(3) | 1.22 | — | (2.12) | (2.12) | 22.02 | 5.44 | 483,385 | 1.04(4) | 1.06 | (0.21) | 79 |
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
(1) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(2) | The ratio for the Value Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2015, 2016, 2017, 2018, 2019 and for the six months ended June 30, 2020. |
(3) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
(4) | The ratio for the Growth Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2015, 2016, 2017, 2018, 2019 and for the six months ended June 30, 2020. |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net
Asset Value, Beginning of Period |
Net
Investment Income/ (Loss)# |
Realized
and Unrealized Gain (Loss) on Investments |
Total
Income From Investment Operations |
Dividends
from Net Investment Income |
Distributions
from Net Realized Capital Gains |
Total
Distributions Paid |
Net
Asset Value, End of Period |
Total
Return |
Net
Assets, End of Period (000) |
Expenses,
Net |
Expenses,
Gross |
Investment
Income/ (Loss), Net |
Portfolio
Turnover Rate | |
Small Cap Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $15.72 | $ 0.01 | $(1.65) | $(1.64) | $ — | $ — | $ — | $14.08 | (10.43)% | $322,851 | 0.98%(2) | 0.99% | 0.20% | 63% |
2019 | 13.04 | 0.03 | 3.26 | 3.29 | (0.02) | (0.59) | (0.61) | 15.72 | 25.29 | 338,440 | 1.00(2) | 1.01 | 0.20 | 84 |
2018 | 18.36 | 0.04 | (2.13)(3) | (2.09) | — | (3.23)(4) | (3.23) | 13.04 | (12.01) | 256,242 | 0.98(2) | 0.99 | 0.20 | 172 |
2017 | 17.53 | 0.02 | 2.24 | 2.26 | (0.03) | (1.40) | (1.43) | 18.36 | 12.98 | 293,953 | 0.98(2) | 1.00 | 0.09 | 80 |
2016 | 15.14 | 0.06 | 2.59(5) | 2.65 | (0.07) | (0.19) | (0.26) | 17.53 | 17.48 | 265,627 | 1.01(2) | 1.03 | 0.36 | 77 |
2015 | 18.05 | 0.08 | (1.13)(5) | (1.05) | (0.06) | (1.80) | (1.86) | 15.14 | (5.66) | 264,962 | 1.00(2) | 1.03 | 0.45 | 74 |
Investor Class | ||||||||||||||
2020(1) | $15.66 | $(0.01) | $(1.65) | $(1.66) | $ — | $ — | $ — | $14.00 | (10.60)% | $215,802 | 1.25%(2) | 1.26% | (0.08)% | 63% |
2019 | 13.01 | (0.01) | 3.25 | 3.24 | — | (0.59) | (0.59) | 15.66 | 24.97 | 258,018 | 1.26(2) | 1.27 | (0.06) | 84 |
2018 | 18.37 | (0.01) | (2.12)(3) | (2.13) | — | (3.23)(4) | (3.23) | 13.01 | (12.22) | 231,456 | 1.24(2) | 1.25 | (0.06) | 172 |
2017 | 17.56 | (0.03) | 2.24 | 2.21 | — | (1.40) | (1.40) | 18.37 | 12.67 | 261,943 | 1.25(2) | 1.27 | (0.17) | 80 |
2016 | 15.17 | 0.02 | 2.59(5) | 2.61 | (0.03) | (0.19) | (0.22) | 17.56 | 17.17 | 266,994 | 1.27(2) | 1.30 | 0.11 | 77 |
2015 | 17.08 | 0.02 | (1.04)(5) | (1.02) | — | (0.89) | (0.89) | 15.17 | (5.91) | 236,850 | 1.24(2) | 1.27 | 0.13 | 74 |
International Equity Index Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $10.87 | $ 0.13 | $(1.28) | $(1.15) | $ — | $ — | $ — | $ 9.72 | (10.58)% | $672,896 | 0.22% | 0.22% | 2.76% | 7% |
2019 | 9.24 | 0.31 | 1.65 | 1.96 | (0.33) | — | (0.33) | 10.87 | 21.21 | 713,864 | 0.22 | 0.23 | 3.05 | 5 |
2018 | 10.76 | 0.27 | (1.66) | (1.39) | (0.13) | — | (0.13) | 9.24 | (12.86) | 545,427 | 0.27 | 0.27 | 2.64 | 4 |
2017 | 8.86 | 0.25 | 1.93 | 2.18 | (0.25) | (0.03) | (0.28) | 10.76 | 24.69 | 188,122 | 0.41 | 0.35 | 2.45 | 4 |
2016 | 8.94 | 0.23 | (0.09)(5) | 0.14 | (0.22) | — | (0.22) | 8.86 | 1.63 | 133,021 | 0.57 | 0.65 | 2.61 | 6 |
2015(6) | 10.00 | 0.07 | (1.06)(5) | (0.99) | (0.07) | — | (0.07) | 8.94 | (9.88) | 111,025 | 0.57 | 0.66 | 1.33 | 4 |
# | Calculated using the average shares outstanding method. |
(1) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(2) | The ratio for the Small Cap Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.02%, 0.01%, 0.01%, and 0.01% for the years 2015, 2016, 2017, and 2019. For the year ended December 31, 2018, the effect of fees paid indirectly decreased the ratio by 0.00% and 0.01% for Institutional and Investor Class, respectively. For the six months ended June 30, 2020, the effect of fees paid indirectly decreased the ratio by 0.01%. |
(3) | The amount previously reported in the Funds’ 2018 Annual Report has been revised due to a misstatement. The misstatement was not considered material to the prior period Annual Report. In the Funds’ 2018 Annual Report, the Small Cap Equity Fund reported amounts of $(8.59) and $(8.58) for the Institutional and Investor Class, respectively. |
(4) | The amount previously reported in the Funds’ 2018 Annual Report has been revised due to a misstatement. The misstatement was not considered material to the prior period Annual Report. In the Funds’ 2018 Annual Report, the Small Cap Equity Fund reported amounts of $3.23 for both the Institutional and Investor Class. |
(5) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
(6) | Inception date was June 1, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net
Asset Value, Beginning of Period |
Net
Investment Income# |
Realized
and Unrealized Gain (Loss) on Investments |
Total
Income From Investment Operations |
Dividends
from Net Investment Income |
Distributions
from Net Realized Capital Gains |
Total
Distributions Paid |
Net
Asset Value, End of Period |
Total
Return |
Net
Assets, End of Period (000) |
Expenses,
Net |
Expenses,
Gross |
Investment
Income, Net |
Portfolio
Turnover Rate | |
International Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $13.78 | $0.10 | $(1.83) | $(1.73) | $ — | $ — | $ — | $12.05 | (12.55)% | $ 845,294 | 1.01%(2) | 1.01%(2) | 1.76% | 45% |
2019 | 11.74 | 0.31(3) | 2.44 | 2.75 | (0.31) | (0.40) | (0.71) | 13.78 | 23.45 | 963,046 | 1.07(2) | 1.07(2) | 2.31(3) | 54 |
2018 | 15.72 | 0.32 | (2.65) | (2.33) | (0.32) | (1.33) | (1.65) | 11.74 | (14.90) | 795,484 | 1.07(2) | 1.08(2) | 2.08 | 73 |
2017 | 13.16 | 0.25 | 3.65 | 3.90 | (0.25) | (1.09) | (1.34) | 15.72 | 29.85 | 1,279,089 | 0.92(2)(4) | 0.93(2) | 1.63 | 42 |
2016 | 13.14 | 0.27 | 0.13(5) | 0.40 | (0.27) | (0.11) | (0.38) | 13.16 | 2.96 | 1,017,929 | 1.00(2)(4) | 1.01(2) | 2.09 | 33 |
2015 | 14.25 | 0.22 | (0.50)(5) | (0.28) | (0.26) | (0.57) | (0.83) | 13.14 | (1.93) | 1,030,729 | 1.03(2)(4) | 1.05(2) | 1.49 | 43 |
Investor Class | ||||||||||||||
2020(1) | $13.81 | $0.09 | $(1.84) | $(1.75) | $ — | $ — | $ — | $12.06 | (12.67)% | $ 300,917 | 1.27%(2) | 1.27%(2) | 1.49% | 45% |
2019 | 11.77 | 0.27(3) | 2.45 | 2.72 | (0.28) | (0.40) | (0.68) | 13.81 | 23.10 | 351,124 | 1.35(2) | 1.34(2) | 2.05(3) | 54 |
2018 | 15.74 | 0.27 | (2.63) | (2.36) | (0.28) | (1.33) | (1.61) | 11.77 | (15.06) | 285,252 | 1.33(2) | 1.35(2) | 1.76 | 73 |
2017 | 13.18 | 0.21 | 3.66 | 3.87 | (0.22) | (1.09) | (1.31) | 15.74 | 29.50 | 345,545 | 1.18(2)(4) | 1.19(2) | 1.37 | 42 |
2016 | 13.18 | 0.24 | 0.11(5) | 0.35 | (0.24) | (0.11) | (0.35) | 13.18 | 2.62 | 264,295 | 1.27(2)(4) | 1.28(2) | 1.81 | 33 |
2015 | 14.03 | 0.24 | (0.55)(5) | (0.31) | (0.12) | (0.42) | (0.54) | 13.18 | (2.16) | 245,976 | 1.35(2)(4) | 1.39(2) | 1.68 | 43 |
Emerging Markets Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $10.19 | $0.04 | $(0.80) | $(0.76) | $ — | $ — | $ — | $ 9.43 | (7.46)% | $ 500,040 | 1.16%(6) | 1.16% | 0.83% | 38% |
2019 | 8.71 | 0.18(7) | 1.57 | 1.75 | (0.27) | — | (0.27) | 10.19 | 20.06 | 457,074 | 1.19(6) | 1.19 | 1.92(7) | 92 |
2018 | 11.00 | 0.13 | (2.36) | (2.23) | (0.06) | — | (0.06) | 8.71 | (20.26) | 359,815 | 1.30(6) | 1.21 | 1.26 | 155 |
2017 | 8.18 | 0.08 | 2.85 | 2.93 | (0.11) | — | (0.11) | 11.00 | 35.80 | 404,641 | 1.30(6) | 1.31 | 0.83 | 56 |
2016 | 7.34 | 0.08 | 0.90(5) | 0.98 | (0.14) | — | (0.14) | 8.18 | 13.46 | 290,082 | 1.30(6) | 1.48 | 0.98 | 54 |
2015 | 9.09 | 0.11 | (1.83)(5) | (1.72) | (0.03) | — | (0.03) | 7.34 | (18.93) | 272,123 | 1.28(6) | 1.50 | 1.36 | 39 |
Investor Class | ||||||||||||||
2020(1) | $10.20 | $0.02 | $(0.81) | $(0.79) | $ — | $ — | $ — | $ 9.41 | (7.75)% | $ 66,500 | 1.57%(6) | 1.45% | 0.38% | 38% |
2019 | 8.72 | 0.14(7) | 1.57 | 1.71 | (0.23) | — | (0.23) | 10.20 | 19.64 | 75,866 | 1.57(6) | 1.57 | 1.48(7) | 92 |
2018 | 11.00 | 0.10 | (2.35) | (2.25) | (0.03) | — | (0.03) | 8.72 | (20.49) | 65,354 | 1.56(6) | 1.52 | 0.96 | 155 |
2017 | 8.19 | 0.06 | 2.84 | 2.90 | (0.09) | — | (0.09) | 11.00 | 35.37 | 94,346 | 1.57(6) | 1.66 | 0.57 | 56 |
2016 | 7.35 | 0.06 | 0.91(5) | 0.97 | (0.13) | — | (0.13) | 8.19 | 13.20 | 45,106 | 1.56(6) | 1.87 | 0.73 | 54 |
2015 | 9.09 | 0.05 | (1.79)(5) | (1.74) | — | — | — | 7.35 | (19.14) | 25,659 | 1.51(6) | 1.83 | 0.58 | 39 |
# | Calculated using the average shares outstanding method. |
(1) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(2) | The ratio for the International Equity Fund includes the effect of dividend expense on securities sold short which increased the ratio by 0.17%, 0.14% and 0.08% for the years 2015, 2016 and 2017. For the year ended December 31, 2018, the effect of dividend expense on securities sold short increased the ratio by 0.23% and 0.29% for Institutional Class and Investor Class, respectively. For the year ended December 31, 2019, the effect of dividend expense on securities sold short increased the ratio by 0.19%. For the six months ended June 30, 2020, the effect of dividend expense on securities sold short increased the ratio by 0.12%. |
(3) | Net investment income per share and the ratio of net investment income to average net assets include $0.01 and 0.09% for the Institutional Class and $0.01 and 0.09% for the Investor Class, respectively, resulting from a special dividend from Naspers Ltd. in September 2019. |
(4) | The ratio for the International Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2015, 2016 and 2017. |
(5) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
(6) | The ratio for the Emerging Markets Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2015, 2016, 2017, 2018, 2019 and for the six months ended June 30, 2020. |
(7) | Net investment income per share and the ratio of net investment income to average net assets include $0.06 and 0.68% for the Institutional Class and $0.06 and 0.62% for the Investor Class, respectively, resulting from a special dividend from Naspers Ltd. in September 2019. |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
S&P MidCap 400 Index E-Mini | 09/2020 | 12 | $2,134,920 | $30,857 |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $119,226,239 | $119,226,239 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Canada | 6,267,002 | 6,267,002 | — | — | |||
Hong Kong | 12,166,865 | 3,030,306 | 9,136,559 | — | |||
Spain | 1,530,227 | 446,755 | 1,083,472 | — | |||
United Kingdom | 10,978,639 | 429,598 | 10,549,041 | — | |||
Other ^^ | 64,231,289 | — | 64,231,289 | — | |||
Total Foreign Common Stocks | 95,174,022 | 10,173,661 | 85,000,361 | — | |||
Money Market Funds | 6,656,766 | 6,656,766 | — | — | |||
Total Assets - Investments in Securities | $221,057,027 | $136,056,666 | $85,000,361 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 30,857 | $ 30,857 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 30,857 | $ 30,857 | $ — | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2020 (Unaudited) |
Global
Real Estate Securities Fund | |
Assets | |
Investments in securities of unaffiliated issuers, at value | $214,400,261 |
Investments in securities of affiliated issuers, at value | 6,656,766 |
Total investments, at value(1), (2) | 221,057,027 |
Cash | 190,514 |
Foreign currency(3) | 320,896 |
Receivables: | |
Dividends and reclaims | 928,578 |
Securities lending | 1,358 |
Investment securities sold | 563,090 |
Fund shares sold | 86,905 |
Variation margin on futures contracts | 27,840 |
Prepaid expenses and other assets | 44,142 |
Total Assets | 223,220,350 |
Liabilities | |
Payables: | |
Investment securities purchased | 1,363,527 |
Fund shares redeemed | 22,058 |
Accrued expenses: | |
Investment advisory fees | 125,899 |
Shareholder servicing fees | 17,262 |
Trustee fees | 450 |
Other expenses | 125,915 |
Total Liabilities | 1,655,111 |
Net Assets | $221,565,239 |
Net Assets Consist of: | |
Paid-in-capital | $259,684,930 |
Distributable earnings (loss) | (38,119,691) |
Net Assets | $221,565,239 |
Net Asset Value: | |
$0.001 par value, unlimited shares authorized | |
Net assets applicable to the Institutional Class | $139,082,990 |
Institutional shares outstanding | 16,811,544 |
Net asset value, offering and redemption price per Institutional share | $ 8.27 |
Net assets applicable to the Investor Class | $ 82,482,249 |
Investor shares outstanding | 9,930,249 |
Net asset value, offering and redemption price per Investor share | $ 8.31 |
|
|
(1)Investments in securities of unaffiliated issuers, at cost | $220,392,912 |
Investments in securities of affiliated issuers, at cost | 6,656,766 |
Total investments, at cost | $227,049,678 |
(2)Includes securities loaned of: | $ 10,480,026 |
(3)Foreign currency, at cost | $ 320,922 |
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2020 (Unaudited) |
Global
Real Estate Securities Fund | |
Investment Income | |
Dividends | $ 3,616,696 |
Income distributions received from affiliated funds | 29,395 |
Interest | 197 |
Securities lending, net | 11,476 |
Less foreign taxes withheld | (97,516) |
Total Investment Income | 3,560,248 |
Expenses | |
Investment advisory fees | 778,128 |
Transfer agent fees: | |
Institutional shares | 2,234 |
Investor shares | 8,387 |
Custodian fees | 81,921 |
Shareholder servicing fees: | |
Investor shares | 111,136 |
Accounting and administration fees | 24,412 |
Professional fees | 49,667 |
Shareholder reporting fees: | |
Institutional shares | 532 |
Investor shares | 1,486 |
Trustees expenses | 903 |
Line of credit facility fees | 470 |
Other expenses | 36,061 |
Total Expenses | 1,095,337 |
Fees paid indirectly | (7,979) |
Net Expenses | 1,087,358 |
Net Investment Income | 2,472,890 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: | |
Investment securities | (20,761,432) |
Futures transactions | 733,502 |
Foreign currency | 8,719 |
Net realized loss | (20,019,211) |
Net change in unrealized appreciation (depreciation) on: | |
Investment securities | (28,204,992) |
Futures | (65,723) |
Foreign currency | (4,308) |
Net change in unrealized appreciation (depreciation) | (28,275,023) |
Net Realized and Unrealized Loss | (48,294,234) |
Net Decrease in Net Assets Resulting from Operations | $(45,821,344) |
STATEMENTS OF CHANGES IN NET ASSETS |
Global Real Estate Securities Fund | |||
For
the Six Months Ended |
For the Year Ended | ||
06/30/20 | 12/31/19 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $ 2,472,890 | $ 4,994,544 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | (20,019,211) | 16,506,863 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (28,275,023) | 31,091,570 | |
Net increase (decrease) in net assets resulting from operations | (45,821,344) | 52,592,977 | |
Distributions to Shareholders: | |||
Institutional shares | (3,050,974) | (11,663,016) | |
Investor shares | (1,693,815) | (7,460,096) | |
Total distributions | (4,744,789) | (19,123,112) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 13,090,130 | 21,320,503 | |
Investor shares | 11,853,041 | 30,357,678 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 3,031,486 | 11,610,021 | |
Investor shares | 1,682,591 | 7,408,256 | |
Total proceeds from shares sold and reinvested | 29,657,248 | 70,696,458 | |
Value of shares redeemed | |||
Institutional shares | (6,151,222) | (26,971,710) | |
Investor shares | (15,210,150) | (28,833,472) | |
Total value of shares redeemed | (21,361,372) | (55,805,182) | |
Net increase from capital share transactions(1) | 8,295,876 | 14,891,276 | |
Total increase (decrease) in net assets | (42,270,257) | 48,361,141 | |
Net Assets: | |||
Beginning of Period | 263,835,496 | 215,474,355 | |
End of Period | $221,565,239 | $263,835,496 |
|
||
(1) | See Note 6 in Notes to Financial Statements. |
FINANCIAL HIGHLIGHTS (Unaudited) |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net
Asset Value, Beginning of Period |
Net
Investment Income# |
Realized
and Unrealized Gain (Loss) on Investments |
Total
Income From Investment Operations |
Dividends
from Net Investment Income |
Distributions
from Net Realized Capital Gains |
Total
Distributions Paid |
Net
Asset Value, End of Period |
Total
Return |
Net
Assets, End of Period (000) |
Expenses,
Net |
Expenses,
Gross |
Investment
Income, Net |
Portfolio
Turnover Rate | |
Global Real Estate Securities Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $10.21 | $0.10 | $(1.85) | $(1.75) | $(0.12) | $(0.07) | $(0.19) | $ 8.27 | (17.21)% | $139,083 | 0.84%(2) | 0.85% | 2.27% | 90% |
2019 | 8.83 | 0.22 | 1.95 | 2.17 | (0.61) | (0.18) | (0.79) | 10.21 | 24.87 | 159,523 | 0.82(2) | 0.83 | 2.13 | 118 |
2018 | 9.69 | 0.21 | (0.65) | (0.44) | (0.42) | — | (0.42) | 8.83 | (4.70) | 133,341 | 0.86(2) | 0.87 | 2.26 | 128 |
2017 | 9.10 | 0.27 | 0.73 | 1.00 | (0.41) | — | (0.41) | 9.69 | 11.05 | 133,656 | 0.87(2) | 0.88 | 2.86 | 138 |
2016 | 9.46 | 0.20 | 0.18(3) | 0.38 | (0.50) | (0.24) | (0.74) | 9.10 | 4.07 | 123,574 | 0.88(2) | 0.90 | 2.07 | 130 |
2015(4) | 10.50 | 0.12 | (0.33) | (0.21) | (0.27) | (0.56) | (0.83) | 9.46 | (1.89) | 159,196 | 0.93(2) | 0.94 | 1.83 | 137 |
Investor Class | ||||||||||||||
2020(1) | $10.25 | $0.09 | $(1.86) | $(1.77) | $(0.10) | $(0.07) | $(0.17) | $ 8.31 | (17.25)% | $ 82,482 | 1.11%(2) | 1.12% | 1.97% | 90% |
2019 | 8.87 | 0.19 | 1.95 | 2.14 | (0.58) | (0.18) | (0.76) | 10.25 | 24.42 | 104,312 | 1.09(2) | 1.10 | 1.87 | 118 |
2018 | 9.72 | 0.19 | (0.65) | (0.46) | (0.39) | — | (0.39) | 8.87 | (4.86) | 82,133 | 1.14(2) | 1.15 | 1.97 | 128 |
2017 | 9.13 | 0.24 | 0.73 | 0.97 | (0.38) | — | (0.38) | 9.72 | 10.72 | 97,741 | 1.12(2) | 1.13 | 2.56 | 138 |
2016 | 9.49 | 0.16 | 0.19(3) | 0.35 | (0.47) | (0.24) | (0.71) | 9.13 | 3.78 | 100,810 | 1.14(2) | 1.19 | 1.68 | 130 |
2015 | 10.26 | 0.16 | (0.13) | 0.03 | (0.24) | (0.56) | (0.80) | 9.49 | 0.34 | 99,357 | 1.12(2) | 1.17 | 1.50 | 137 |
# | Calculated using the average shares outstanding method. |
(1) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(2) | The ratio for the Global Real Estate Securities Fund includes the effect of fees paid indirectly which decreased the ratio by 0.01% for the years 2015, 2016, 2017, 2018, 2019 and 0.00% for the six months ended June 30, 2020. |
(3) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
(4) | Inception date was May 1, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
Number
of Contracts |
Notional
Amount |
Value | |||
Pay
6-Month LIBOR (Semiannually); Receive .35% (Semiannually): Interest Rate Swap Maturing 10/21/2030 GBP, Strike Price $0.35, Expires 10/21/20 (MSCS) |
1 | $(3,430,000) | $ (49,080) | ||
(552,561) | |||||
Total
Written Options (Premiums received $ (1,639,255)) |
(1,159,186) | ||||
Other
Assets in Excess of Liabilities — 3.2% |
11,780,721 | ||||
NET ASSETS — 100.0% | $364,453,637 |
% | |
Money Market Funds | 34.2 |
Corporate Bonds | 22.5 |
U.S. Treasury Obligations | 19.3 |
Mortgage-Backed Securities | 7.8 |
Foreign Bonds | 4.4 |
Asset-Backed Securities | 3.8 |
Financials | 2.5 |
Loan Agreements | 1.7 |
Health Care | 1.3 |
Mutual Funds | 1.1 |
Information Technology | 1.1 |
Consumer Discretionary | 1.1 |
Industrials | 0.8 |
Real Estate | 0.3 |
Certificates Of Deposit | 0.3 |
Communication Services | 0.2 |
Materials | 0.2 |
Energy | 0.1 |
Utilities | 0.1 |
Consumer Staples | —** |
Purchased Options | —** |
Rights | —** |
Written Options | (0.3) |
Foreign Common Stocks Sold Short | (0.6) |
Common Stocks Sold Short | (2.4) |
Mutual Funds Sold Short | (2.7) |
96.8 | |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
10-Year U.S. Treasury Note | 09/2020 | (6) | $ (835,031) | $ 5 | ||||
U.S. Treasury Long Bond | 09/2020 | 23 | 4,106,937 | 15,768 | ||||
Ultra 10-Year U.S. Treasury Note | 09/2020 | 1 | 157,484 | — | ||||
Ultra Long U.S. Treasury Bond | 09/2020 | (4) | (872,625) | 2,034 | ||||
2-Year U.S. Treasury Note | 09/2020 | (130) | (28,707,656) | (10,673) | ||||
5-Year U.S. Treasury Note | 09/2020 | (22) | (2,766,328) | 502 | ||||
Total Futures Contracts outstanding at June 30, 2020 | $(28,917,219) | $ 7,636 |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
07/22/20 | Australian Dollars | 34,139,943 | U.S. Dollars | 21,538,139 | JPM | $ 2,025,091 | ||||||
07/22/20 | Norwegian Kroner | 174,301,464 | U.S. Dollars | 17,128,924 | GSC | 981,449 | ||||||
07/22/20 | Euro | 29,291,208 | U.S. Dollars | 32,104,775 | JPM | 820,653 | ||||||
07/22/20 | New Zealand Dollars | 20,869,632 | U.S. Dollars | 12,707,235 | CITI | 760,704 | ||||||
07/22/20 | Swedish Kronor | 100,239,643 | U.S. Dollars | 10,082,736 | RBC | 677,760 | ||||||
07/22/20 | Norwegian Kroner | 59,701,605 | U.S. Dollars | 5,793,587 | CITI | 409,564 | ||||||
07/22/20 | U.S. Dollars | 16,456,979 | British Pounds | 13,054,847 | RBC | 278,228 | ||||||
07/22/20 | Euro | 7,903,039 | U.S. Dollars | 8,660,861 | SC | 222,724 | ||||||
07/22/20 | Mexican Pesos | 109,988,874 | U.S. Dollars | 4,589,841 | GSC | 180,474 | ||||||
07/22/20 | Swiss Francs | 11,297,238 | U.S. Dollars | 11,774,475 | CITI | 157,583 | ||||||
07/22/20 | U.S. Dollars | 2,468,564 | Brazilian Reals | 12,601,625 | SC | 154,009 | ||||||
07/22/20 | Canadian Dollars | 7,015,343 | U.S. Dollars | 5,023,137 | GSC | 144,657 | ||||||
09/16/20 | U.S. Dollars | 7,522,343 | British Pounds | 5,951,436 | MSCS | 144,489 | ||||||
07/22/20 | New Zealand Dollars | 3,238,664 | U.S. Dollars | 1,961,575 | JPM | 128,454 | ||||||
07/09/20 | Swedish Kronor | 14,285,000 | U.S. Dollars | 1,415,996 | MSCS | 117,206 | ||||||
07/22/20 | Canadian Dollars | 4,931,194 | U.S. Dollars | 3,527,625 | SC | 104,898 | ||||||
08/12/20 | Euro | 3,283,295 | U.S. Dollars | 3,587,695 | MSCS | 104,701 | ||||||
07/22/20 | U.S. Dollars | 9,892,093 | Japanese Yen | 1,057,675,428 | RBC | 93,680 | ||||||
07/22/20 | Euro | 2,947,445 | U.S. Dollars | 3,222,714 | CITI | 90,427 | ||||||
07/02/20 | U.S. Dollars | 2,384,051 | Brazilian Reals | 12,479,474 | MSCS | 89,231 | ||||||
07/22/20 | Euro | 2,194,667 | U.S. Dollars | 2,381,280 | GSC | 85,684 | ||||||
07/22/20 | U.S. Dollars | 4,449,612 | British Pounds | 3,525,657 | CITI | 80,297 | ||||||
08/17/20 | Russian Rubles | 123,220,250 | U.S. Dollars | 1,646,128 | MSCS | 74,980 | ||||||
07/22/20 | Swiss Francs | 4,164,318 | U.S. Dollars | 4,325,742 | SC | 72,579 | ||||||
07/22/20 | Polish Zloty | 6,573,235 | U.S. Dollars | 1,589,064 | CITI | 72,519 | ||||||
07/22/20 | Swedish Kronor | 28,278,555 | U.S. Dollars | 2,967,394 | SS | 68,243 | ||||||
07/22/20 | Swedish Kronor | 11,440,721 | U.S. Dollars | 1,161,353 | GSC | 66,782 | ||||||
07/22/20 | U.S. Dollars | 1,138,715 | Chilean Pesos | 883,756,986 | CITI | 62,324 | ||||||
07/22/20 | South African Rand | 16,957,298 | U.S. Dollars | 916,348 | CITI | 58,350 | ||||||
07/22/20 | South African Rand | 16,953,523 | U.S. Dollars | 918,492 | RBC | 55,989 | ||||||
07/03/20 | U.S. Dollars | 2,451,011 | Chilean Pesos | 1,969,292,513 | MSCS | 53,383 | ||||||
07/22/20 | Hungarian Forint | 683,679,523 | U.S. Dollars | 2,115,672 | GSC | 52,962 | ||||||
07/22/20 | Swiss Francs | 2,477,357 | U.S. Dollars | 2,564,297 | GSC | 52,269 | ||||||
07/15/20 | Australian Dollars | 877,581 | U.S. Dollars | 559,320 | MSCS | 46,356 | ||||||
07/09/20 | Norwegian Kroner | 7,293,901 | U.S. Dollars | 712,377 | MSCS | 45,439 | ||||||
07/22/20 | Swedish Kronor | 11,279,482 | U.S. Dollars | 1,165,629 | SC | 45,197 | ||||||
08/17/20 | U.S. Dollars | 1,878,113 | Russian Rubles | 131,276,734 | MSCS | 44,474 | ||||||
07/22/20 | U.S. Dollars | 1,374,736 | Mexican Pesos | 30,737,037 | GSC | 41,644 | ||||||
07/22/20 | Brazilian Reals | 5,077,898 | U.S. Dollars | 897,885 | CITI | 34,778 |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
07/22/20 | U.S. Dollars | 3,596,769 | Japanese Yen | 384,589,844 | CITI | $ 33,889 | ||||||
07/22/20 | Chilean Pesos | 883,735,613 | U.S. Dollars | 1,044,062 | RBC | 32,304 | ||||||
07/22/20 | Czech Republic Koruna | 27,372,394 | U.S. Dollars | 1,121,806 | CITI | 32,180 | ||||||
08/04/20 | U.S. Dollars | 644,299 | Brazilian Reals | 3,339,194 | MSCS | 31,371 | ||||||
07/23/20 | Polish Zloty | 2,039,000 | U.S. Dollars | 490,748 | MSCS | 24,673 | ||||||
07/22/20 | South Korean Won | 3,418,524,543 | U.S. Dollars | 2,823,777 | CITI | 24,500 | ||||||
07/22/20 | Czech Republic Koruna | 14,165,640 | U.S. Dollars | 573,162 | SS | 24,044 | ||||||
09/16/20 | U.S. Dollars | 1,768,144 | Canadian Dollars | 2,370,851 | MSCS | 21,512 | ||||||
07/06/20 | Colombian Pesos | 2,712,086,698 | U.S. Dollars | 700,264 | MSCS | 21,034 | ||||||
07/15/20 | Czech Republic Koruna | 7,091,000 | U.S. Dollars | 279,462 | MSCS | 19,472 | ||||||
09/17/20 | U.S. Dollars | 601,650 | Mexican Pesos | 13,542,495 | MSCS | 18,670 | ||||||
07/22/20 | U.S. Dollars | 3,393,899 | British Pounds | 2,724,155 | SC | 17,879 | ||||||
07/22/20 | Euro | 563,237 | U.S. Dollars | 615,719 | SS | 17,400 | ||||||
07/22/20 | U.S. Dollars | 1,979,935 | New Zealand Dollars | 3,042,623 | SC | 16,419 | ||||||
07/22/20 | Norwegian Kroner | 16,134,214 | U.S. Dollars | 1,660,113 | SS | 16,274 | ||||||
07/22/20 | U.S. Dollars | 1,223,617 | Japanese Yen | 130,328,714 | GSC | 16,239 | ||||||
07/22/20 | Mexican Pesos | 10,427,263 | U.S. Dollars | 436,653 | SC | 15,587 | ||||||
07/22/20 | New Zealand Dollars | 526,421 | U.S. Dollars | 324,443 | MSCS | 15,276 | ||||||
07/16/20 | Canadian Dollars | 412,451 | U.S. Dollars | 289,795 | MSCS | 14,028 | ||||||
09/16/20 | Chinese Offshore Yuan | 36,753,873 | U.S. Dollars | 5,163,051 | MSCS | 12,410 | ||||||
07/13/20 | Turkish Lira | 1,402,621 | U.S. Dollars | 191,665 | MSCS | 12,293 | ||||||
09/16/20 | U.S. Dollars | 1,672,496 | Japanese Yen | 179,068,170 | MSCS | 12,285 | ||||||
07/22/20 | U.S. Dollars | 3,066,571 | Canadian Dollars | 4,146,326 | SC | 12,214 | ||||||
09/16/20 | U.S. Dollars | 1,992,444 | Euro | 1,760,127 | MSCS | 11,454 | ||||||
07/02/20 | Brazilian Reals | 3,484,909 | U.S. Dollars | 629,518 | MSCS | 11,313 | ||||||
07/22/20 | Canadian Dollars | 2,795,460 | U.S. Dollars | 2,048,269 | CITI | 10,984 | ||||||
07/06/20 | U.S. Dollars | 541,355 | Colombian Pesos | 1,998,004,589 | MSCS | 9,971 | ||||||
07/22/20 | U.S. Dollars | 1,576,721 | Australian Dollars | 2,270,470 | SC | 9,653 | ||||||
08/27/20 | U.S. Dollars | 867,773 | Chilean Pesos | 704,609,072 | MSCS | 9,221 | ||||||
07/09/20 | U.S. Dollars | 663,335 | Norwegian Kroner | 6,296,124 | MSCS | 9,185 | ||||||
07/22/20 | British Pounds | 2,305,684 | U.S. Dollars | 2,849,480 | SC | 7,933 | ||||||
07/20/20 | U.S. Dollars | 615,814 | Indonesian Rupiahs | 8,815,894,359 | MSCS | 7,667 | ||||||
09/16/20 | U.S. Dollars | 794,314 | Polish Zloty | 3,111,823 | MSCS | 7,571 | ||||||
07/20/20 | Taiwan Dollars | 12,638,216 | U.S. Dollars | 424,696 | MSCS | 6,162 | ||||||
07/15/20 | South Korean Won | 1,020,480,099 | U.S. Dollars | 843,529 | MSCS | 6,130 | ||||||
09/16/20 | Swedish Kronor | 7,893,598 | Euro | 748,108 | MSCS | 5,960 | ||||||
07/22/20 | South Korean Won | 1,351,645,495 | U.S. Dollars | 1,120,257 | SC | 5,920 | ||||||
07/22/20 | U.S. Dollars | 454,579 | Swedish Kronor | 4,179,587 | SC | 5,910 | ||||||
07/01/20 | South African Rand | 2,257,059 | U.S. Dollars | 124,166 | MSCS | 5,905 | ||||||
07/20/20 | Indonesian Rupiahs | 4,842,832,029 | U.S. Dollars | 328,440 | MSCS | 5,633 | ||||||
07/09/20 | Swiss Francs | 245,631 | U.S. Dollars | 253,798 | MSCS | 5,530 | ||||||
09/16/20 | Australian Dollars | 1,541,039 | U.S. Dollars | 1,058,435 | MSCS | 5,316 | ||||||
07/06/20 | Taiwan Dollars | 12,349,256 | U.S. Dollars | 414,405 | MSCS | 4,886 | ||||||
07/15/20 | U.S. Dollars | 701,293 | British Pounds | 562,132 | MSCS | 4,682 | ||||||
07/22/20 | Japanese Yen | 428,659,329 | U.S. Dollars | 3,966,644 | SS | 4,500 | ||||||
07/22/20 | Japanese Yen | 372,008,304 | U.S. Dollars | 3,442,179 | GSC | 4,144 | ||||||
07/15/20 | Indian Rupees | 32,365,783 | U.S. Dollars | 423,941 | MSCS | 3,946 | ||||||
09/16/20 | Canadian Dollars | 1,328,286 | Euro | 866,294 | MSCS | 3,566 | ||||||
07/22/20 | U.S. Dollars | 1,137,153 | Czech Republic Koruna | 26,897,860 | SC | 3,173 | ||||||
07/22/20 | Norwegian Kroner | 30,171,336 | U.S. Dollars | 3,131,749 | SC | 3,131 | ||||||
07/15/20 | Hungarian Forint | 37,186,149 | U.S. Dollars | 114,867 | MSCS | 3,096 | ||||||
07/13/20 | U.S. Dollars | 418,907 | Turkish Lira | 2,860,776 | MSCS | 2,917 | ||||||
08/12/20 | U.S. Dollars | 415,052 | Euro | 366,600 | MSCS | 2,774 | ||||||
07/22/20 | U.S. Dollars | 834,635 | Swiss Francs | 787,701 | SC | 2,671 | ||||||
09/02/20 | South Korean Won | 440,076,580 | U.S. Dollars | 364,435 | MSCS | 2,489 | ||||||
09/16/20 | British Pounds | 330,083 | Euro | 361,373 | MSCS | 2,477 |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
07/22/20 | U.S. Dollars | 1,734,450 | Euro | 1,540,829 | SC | $ 2,447 | ||||||
09/18/20 | U.S. Dollars | 345,586 | South African Rand | 6,009,000 | MSCS | 2,186 | ||||||
09/16/20 | U.S. Dollars | 208,857 | Norwegian Kroner | 1,989,068 | MSCS | 2,145 | ||||||
09/16/20 | U.S. Dollars | 237,467 | Australian Dollars | 340,986 | MSCS | 2,091 | ||||||
09/16/20 | U.S. Dollars | 199,110 | Chilean Pesos | 161,756,819 | MSCS | 1,944 | ||||||
07/27/20 | U.S. Dollars | 209,815 | Colombian Pesos | 783,070,311 | MSCS | 1,940 | ||||||
09/16/20 | Israeli Shekels | 725,243 | U.S. Dollars | 208,006 | MSCS | 1,812 | ||||||
09/16/20 | U.S. Dollars | 209,052 | Israeli Shekels | 716,453 | MSCS | 1,777 | ||||||
09/16/20 | Swiss Francs | 375,573 | Euro | 351,529 | MSCS | 1,705 | ||||||
09/16/20 | Turkish Lira | 2,530,264 | U.S. Dollars | 359,419 | MSCS | 1,703 | ||||||
07/22/20 | U.S. Dollars | 1,543,392 | Australian Dollars | 2,233,854 | GSC | 1,596 | ||||||
09/16/20 | Canadian Dollars | 846,844 | U.S. Dollars | 622,295 | MSCS | 1,585 | ||||||
07/01/20 | Singapore Dollars | 103,302 | U.S. Dollars | 72,615 | MSCS | 1,510 | ||||||
07/23/20 | U.S. Dollars | 174,808 | Polish Zloty | 686,142 | MSCS | 1,364 | ||||||
09/16/20 | Euro | 185,722 | Norwegian Kroner | 1,998,774 | MSCS | 1,306 | ||||||
09/16/20 | U.S. Dollars | 415,876 | South African Rand | 7,253,417 | MSCS | 1,283 | ||||||
07/22/20 | Chilean Pesos | 41,327,274 | U.S. Dollars | 49,054 | CITI | 1,281 | ||||||
07/22/20 | Australian Dollars | 906,410 | U.S. Dollars | 624,322 | SC | 1,278 | ||||||
07/22/20 | U.S. Dollars | 143,563 | Japanese Yen | 15,367,257 | MSCS | 1,199 | ||||||
09/16/20 | U.S. Dollars | 208,790 | Swedish Kronor | 1,934,398 | MSCS | 994 | ||||||
09/16/20 | Swedish Kronor | 1,879,157 | U.S. Dollars | 200,984 | MSCS | 878 | ||||||
09/16/20 | Norwegian Kroner | 1,887,636 | Euro | 173,579 | MSCS | 811 | ||||||
09/16/20 | Swiss Francs | 375,869 | U.S. Dollars | 396,907 | MSCS | 750 | ||||||
09/16/20 | Euro | 503,301 | U.S. Dollars | 565,784 | MSCS | 672 | ||||||
09/16/20 | U.S. Dollars | 208,739 | Turkish Lira | 1,457,917 | MSCS | 664 | ||||||
07/27/20 | U.S. Dollars | 205,933 | Turkish Lira | 1,418,753 | MSCS | 392 | ||||||
09/16/20 | Euro | 184,792 | Canadian Dollars | 281,889 | MSCS | 309 | ||||||
07/28/20 | Indian Rupees | 3,061,728 | U.S. Dollars | 40,122 | MSCS | 291 | ||||||
09/16/20 | Euro | 177,498 | Swiss Francs | 188,658 | MSCS | 176 | ||||||
07/09/20 | U.S. Dollars | 57,926 | Swedish Kronor | 538,334 | MSCS | 147 | ||||||
07/29/20 | U.S. Dollars | 209,023 | Turkish Lira | 1,443,032 | MSCS | 76 | ||||||
09/16/20 | Euro | 171,402 | British Pounds | 155,571 | MSCS | 52 | ||||||
Subtotal Appreciation | $ 9,496,418 | |||||||||||
09/18/20 | Singapore Dollars | 103,302 | U.S. Dollars | 74,195 | MSCS | $ (52) | ||||||
09/16/20 | U.S. Dollars | 202,831 | Canadian Dollars | 275,427 | MSCS | (79) | ||||||
07/15/20 | U.S. Dollars | 88,562 | Hong Kong Dollars | 687,101 | MSCS | (84) | ||||||
07/22/20 | Turkish Lira | 3,231,531 | U.S. Dollars | 468,881 | SS | (96) | ||||||
07/15/20 | South Korean Won | 251,115,203 | U.S. Dollars | 209,299 | MSCS | (219) | ||||||
07/15/20 | Israeli Shekels | 143,082 | U.S. Dollars | 41,707 | MSCS | (385) | ||||||
09/16/20 | Israeli Shekels | 439,035 | U.S. Dollars | 127,516 | MSCS | (500) | ||||||
07/22/20 | U.S. Dollars | 79,309 | Japanese Yen | 8,616,241 | MSCS | (513) | ||||||
09/16/20 | Euro | 175,141 | British Pounds | 159,449 | MSCS | (546) | ||||||
08/03/20 | Indonesian Rupiahs | 3,043,017,501 | U.S. Dollars | 208,819 | MSCS | (637) | ||||||
08/27/20 | U.S. Dollars | 294,476 | Chilean Pesos | 242,221,165 | MSCS | (666) | ||||||
08/27/20 | Chilean Pesos | 1,173,838,416 | U.S. Dollars | 1,430,987 | MSCS | (688) | ||||||
09/16/20 | U.S. Dollars | 455,474 | Euro | 405,325 | MSCS | (712) | ||||||
09/16/20 | New Zealand Dollars | 99,344 | U.S. Dollars | 64,855 | MSCS | (754) | ||||||
09/16/20 | Japanese Yen | 22,664,544 | British Pounds | 170,143 | MSCS | (790) | ||||||
09/17/20 | U.S. Dollars | 209,251 | Mexican Pesos | 4,879,535 | MSCS | (805) | ||||||
08/12/20 | Euro | 246,411 | U.S. Dollars | 277,929 | MSCS | (815) | ||||||
07/27/20 | U.S. Dollars | 594,589 | Colombian Pesos | 2,243,057,963 | MSCS | (855) | ||||||
07/22/20 | U.S. Dollars | 49,450 | Chilean Pesos | 41,320,643 | GSC | (877) | ||||||
07/22/20 | Japanese Yen | 11,440,110 | U.S. Dollars | 106,875 | MSCS | (893) | ||||||
09/16/20 | Chinese Offshore Yuan | 5,945,190 | U.S. Dollars | 838,113 | MSCS | (947) | ||||||
09/16/20 | Polish Zloty | 2,469,882 | Euro | 555,693 | MSCS | (978) |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
07/27/20 | U.S. Dollars | 210,000 | Turkish Lira | 1,457,566 | MSCS | $ (1,164) | ||||||
07/15/20 | Australian Dollars | 367,227 | U.S. Dollars | 254,718 | MSCS | (1,271) | ||||||
09/16/20 | U.S. Dollars | 209,218 | Norwegian Kroner | 2,025,794 | MSCS | (1,310) | ||||||
07/28/20 | Indian Rupees | 20,374,092 | U.S. Dollars | 270,285 | MSCS | (1,358) | ||||||
09/16/20 | Hungarian Forint | 15,973,037 | U.S. Dollars | 52,213 | MSCS | (1,557) | ||||||
09/16/20 | U.S. Dollars | 231,374 | Taiwan Dollars | 6,775,552 | MSCS | (1,563) | ||||||
07/15/20 | U.S. Dollars | 432,084 | South Korean Won | 521,337,842 | MSCS | (1,985) | ||||||
07/22/20 | Turkish Lira | 3,309,827 | U.S. Dollars | 482,131 | GSC | (1,987) | ||||||
07/22/20 | U.S. Dollars | 1,609,412 | Japanese Yen | 173,943,144 | SC | (2,015) | ||||||
09/16/20 | U.S. Dollars | 214,346 | New Zealand Dollars | 335,547 | MSCS | (2,166) | ||||||
09/18/20 | South African Rand | 6,300,532 | U.S. Dollars | 362,352 | MSCS | (2,292) | ||||||
09/16/20 | Euro | 548,287 | Polish Zloty | 2,449,867 | MSCS | (2,297) | ||||||
08/17/20 | U.S. Dollars | 209,239 | Russian Rubles | 15,150,201 | MSCS | (2,375) | ||||||
07/22/20 | U.S. Dollars | 3,094,526 | Swiss Francs | 2,932,141 | GSC | (2,379) | ||||||
09/16/20 | Euro | 367,392 | Swiss Francs | 393,128 | MSCS | (2,424) | ||||||
09/16/20 | Euro | 287,804 | Canadian Dollars | 443,359 | MSCS | (2,709) | ||||||
07/15/20 | British Pounds | 454,583 | U.S. Dollars | 566,066 | MSCS | (2,734) | ||||||
09/16/20 | Swedish Kronor | 5,236,167 | U.S. Dollars | 565,475 | MSCS | (2,997) | ||||||
07/15/20 | U.S. Dollars | 209,844 | Israeli Shekels | 737,000 | MSCS | (3,002) | ||||||
08/25/20 | U.S. Dollars | 55,280 | Colombian Pesos | 220,154,122 | MSCS | (3,013) | ||||||
07/16/20 | Canadian Dollars | 1,297,036 | U.S. Dollars | 958,670 | MSCS | (3,236) | ||||||
07/15/20 | U.S. Dollars | 642,972 | Taiwan Dollars | 18,987,338 | MSCS | (3,395) | ||||||
07/22/20 | U.S. Dollars | 3,468,541 | Euro | 3,088,776 | SC | (3,466) | ||||||
09/16/20 | Euro | 740,366 | Swedish Kronor | 7,789,919 | MSCS | (3,535) | ||||||
07/22/20 | U.S. Dollars | 565,006 | South Korean Won | 682,482,511 | SS | (3,631) | ||||||
09/16/20 | Norwegian Kroner | 1,988,912 | Swedish Kronor | 1,962,201 | MSCS | (4,087) | ||||||
09/16/20 | U.S. Dollars | 319,551 | Thai Baht | 10,008,408 | MSCS | (4,221) | ||||||
09/16/20 | Turkish Lira | 3,504,996 | U.S. Dollars | 504,512 | MSCS | (4,275) | ||||||
07/15/20 | U.S. Dollars | 167,472 | Hungarian Forint | 54,216,000 | MSCS | (4,514) | ||||||
07/09/20 | U.S. Dollars | 220,082 | Swiss Francs | 213,000 | MSCS | (4,795) | ||||||
09/16/20 | Norwegian Kroner | 2,033,909 | Euro | 192,399 | MSCS | (5,170) | ||||||
07/01/20 | South African Rand | 4,043,466 | U.S. Dollars | 238,322 | MSCS | (5,303) | ||||||
09/16/20 | British Pounds | 336,352 | U.S. Dollars | 422,295 | MSCS | (5,328) | ||||||
07/22/20 | U.S. Dollars | 4,875,425 | Japanese Yen | 526,901,776 | JPM | (5,847) | ||||||
07/22/20 | Canadian Dollars | 1,811,293 | U.S. Dollars | 1,340,192 | GSC | (5,918) | ||||||
07/22/20 | U.S. Dollars | 468,058 | Brazilian Reals | 2,582,745 | CITI | (6,318) | ||||||
09/16/20 | Swiss Francs | 1,689,554 | U.S. Dollars | 1,793,881 | MSCS | (6,386) | ||||||
07/01/20 | U.S. Dollars | 135,551 | South African Rand | 2,464,000 | MSCS | (6,446) | ||||||
09/16/20 | South African Rand | 4,850,763 | U.S. Dollars | 284,626 | MSCS | (7,364) | ||||||
09/16/20 | U.S. Dollars | 614,509 | Australian Dollars | 901,006 | MSCS | (7,440) | ||||||
07/22/20 | U.S. Dollars | 95,818 | New Zealand Dollars | 160,167 | MSCS | (7,544) | ||||||
09/16/20 | U.S. Dollars | 663,398 | Turkish Lira | 4,701,136 | MSCS | (7,553) | ||||||
08/06/20 | U.S. Dollars | 1,249,686 | Taiwan Dollars | 36,742,806 | MSCS | (7,627) | ||||||
09/16/20 | Japanese Yen | 45,493,648 | Australian Dollars | 622,172 | MSCS | (7,685) | ||||||
07/15/20 | U.S. Dollars | 835,775 | Indian Rupees | 63,821,061 | MSCS | (7,960) | ||||||
07/22/20 | Canadian Dollars | 1,607,457 | U.S. Dollars | 1,192,252 | SC | (8,132) | ||||||
09/16/20 | U.S. Dollars | 839,164 | Israeli Shekels | 2,928,834 | MSCS | (8,168) | ||||||
07/22/20 | U.S. Dollars | 7,197,752 | Swiss Francs | 6,822,608 | SC | (8,235) | ||||||
09/16/20 | U.S. Dollars | 2,822,825 | Chinese Offshore Yuan | 20,105,649 | MSCS | (8,333) | ||||||
07/22/20 | South African Rand | 11,323,533 | U.S. Dollars | 660,804 | GSC | (9,932) | ||||||
07/22/20 | U.S. Dollars | 585,079 | South Korean Won | 714,264,721 | CITI | (10,038) | ||||||
07/06/20 | Colombian Pesos | 2,329,316,921 | U.S. Dollars | 629,675 | MSCS | (10,177) | ||||||
07/20/20 | U.S. Dollars | 1,085,612 | Taiwan Dollars | 32,151,085 | MSCS | (10,473) | ||||||
07/20/20 | U.S. Dollars | 337,200 | Turkish Lira | 2,397,053 | MSCS | (10,716) | ||||||
08/04/20 | Brazilian Reals | 2,277,510 | U.S. Dollars | 428,857 | MSCS | (10,808) | ||||||
09/02/20 | U.S. Dollars | 448,830 | South Korean Won | 551,625,660 | MSCS | (11,101) |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
07/22/20 | Norwegian Kroner | 7,515,391 | U.S. Dollars | 792,892 | SC | $ (12,023) | ||||||
07/28/20 | U.S. Dollars | 1,429,870 | Indian Rupees | 109,249,527 | MSCS | (12,166) | ||||||
07/22/20 | U.S. Dollars | 535,929 | Hungarian Forint | 173,640,910 | SS | (14,861) | ||||||
07/09/20 | Mexican Pesos | 5,880,673 | U.S. Dollars | 270,617 | MSCS | (15,092) | ||||||
09/16/20 | U.S. Dollars | 1,623,418 | Swiss Francs | 1,549,570 | MSCS | (15,978) | ||||||
09/16/20 | British Pounds | 1,404,576 | Euro | 1,561,646 | MSCS | (16,385) | ||||||
07/09/20 | U.S. Dollars | 154,411 | Norwegian Kroner | 1,649,270 | MSCS | (16,944) | ||||||
07/20/20 | Indonesian Rupiahs | 11,764,670,266 | U.S. Dollars | 828,954 | MSCS | (17,392) | ||||||
07/09/20 | U.S. Dollars | 371,546 | Mexican Pesos | 8,954,199 | MSCS | (17,529) | ||||||
07/15/20 | U.S. Dollars | 257,499 | Czech Republic Koruna | 6,533,726 | MSCS | (17,942) | ||||||
09/16/20 | Canadian Dollars | 2,514,279 | U.S. Dollars | 1,871,297 | MSCS | (19,000) | ||||||
07/22/20 | U.S. Dollars | 2,787,399 | South Korean Won | 3,368,571,519 | GSC | (19,258) | ||||||
07/20/20 | U.S. Dollars | 415,442 | Indonesian Rupiahs | 6,312,461,404 | MSCS | (20,009) | ||||||
09/16/20 | Japanese Yen | 231,815,584 | U.S. Dollars | 2,169,634 | MSCS | (20,381) | ||||||
07/23/20 | U.S. Dollars | 424,320 | Polish Zloty | 1,763,000 | MSCS | (21,333) | ||||||
07/22/20 | U.S. Dollars | 857,484 | Canadian Dollars | 1,196,561 | CITI | (23,952) | ||||||
07/22/20 | British Pounds | 3,873,890 | U.S. Dollars | 4,825,643 | SS | (24,767) | ||||||
07/22/20 | U.S. Dollars | 457,069 | South African Rand | 8,384,475 | SS | (24,867) | ||||||
07/22/20 | U.S. Dollars | 1,592,781 | Hungarian Forint | 510,055,302 | CITI | (25,117) | ||||||
08/17/20 | Russian Rubles | 85,535,428 | U.S. Dollars | 1,224,925 | MSCS | (30,190) | ||||||
09/16/20 | Australian Dollars | 3,853,096 | U.S. Dollars | 2,690,334 | MSCS | (30,611) | ||||||
07/22/20 | U.S. Dollars | 849,572 | Mexican Pesos | 20,306,049 | RBC | (31,119) | ||||||
07/22/20 | Mexican Pesos | 12,299,311 | U.S. Dollars | 564,771 | CITI | (31,339) | ||||||
07/02/20 | U.S. Dollars | 1,114,875 | Brazilian Reals | 6,234,726 | MSCS | (31,614) | ||||||
07/15/20 | U.S. Dollars | 389,252 | Australian Dollars | 610,743 | MSCS | (32,261) | ||||||
07/13/20 | U.S. Dollars | 610,918 | Turkish Lira | 4,430,262 | MSCS | (33,294) | ||||||
07/22/20 | U.S. Dollars | 1,825,027 | Canadian Dollars | 2,531,613 | RBC | (39,865) | ||||||
07/22/20 | Brazilian Reals | 3,306,483 | U.S. Dollars | 648,063 | SC | (40,758) | ||||||
07/22/20 | U.S. Dollars | 1,111,379 | Canadian Dollars | 1,567,734 | SC | (43,479) | ||||||
07/16/20 | U.S. Dollars | 1,057,380 | Canadian Dollars | 1,495,053 | MSCS | (43,918) | ||||||
07/22/20 | U.S. Dollars | 553,228 | Brazilian Reals | 3,261,832 | GSC | (45,876) | ||||||
07/06/20 | U.S. Dollars | 1,359,899 | Colombian Pesos | 5,286,456,993 | MSCS | (46,071) | ||||||
07/22/20 | U.S. Dollars | 4,502,000 | Swiss Francs | 4,311,169 | RBC | (51,424) | ||||||
07/22/20 | U.S. Dollars | 570,357 | Brazilian Reals | 3,386,211 | SC | (51,592) | ||||||
07/22/20 | British Pounds | 3,962,987 | U.S. Dollars | 4,963,003 | SC | (51,710) | ||||||
07/22/20 | Japanese Yen | 739,326,353 | U.S. Dollars | 6,901,677 | GSC | (52,483) | ||||||
07/22/20 | U.S. Dollars | 597,483 | South African Rand | 11,326,477 | CITI | (53,559) | ||||||
07/22/20 | U.S. Dollars | 1,408,197 | South African Rand | 25,520,900 | GSC | (58,733) | ||||||
07/22/20 | U.S. Dollars | 2,668,888 | Euro | 2,426,860 | RBC | (59,077) | ||||||
07/22/20 | Japanese Yen | 1,344,143,111 | U.S. Dollars | 12,516,198 | SC | (63,919) | ||||||
07/22/20 | U.S. Dollars | 1,778,249 | Mexican Pesos | 42,708,195 | SS | (74,044) | ||||||
09/16/20 | Euro | 6,876,693 | U.S. Dollars | 7,813,691 | MSCS | (74,099) | ||||||
07/22/20 | U.S. Dollars | 1,101,638 | Swedish Kronor | 10,954,941 | JPM | (74,349) | ||||||
07/22/20 | U.S. Dollars | 2,663,276 | Turkish Lira | 18,883,805 | RBC | (76,126) | ||||||
07/22/20 | U.S. Dollars | 4,522,848 | Swiss Francs | 4,354,462 | JPM | (76,302) | ||||||
09/17/20 | Mexican Pesos | 40,829,400 | U.S. Dollars | 1,836,142 | MSCS | (78,510) | ||||||
07/22/20 | U.S. Dollars | 1,577,930 | Polish Zloty | 6,572,869 | GSC | (83,560) | ||||||
07/03/20 | Chilean Pesos | 1,969,292,513 | U.S. Dollars | 2,486,985 | MSCS | (89,359) | ||||||
09/16/20 | Norwegian Kroner | 27,519,457 | U.S. Dollars | 2,954,047 | MSCS | (94,110) | ||||||
08/12/20 | U.S. Dollars | 2,746,035 | Euro | 2,526,968 | MSCS | (95,797) | ||||||
07/22/20 | British Pounds | 16,018,571 | U.S. Dollars | 19,964,474 | JPM | (112,807) | ||||||
07/09/20 | U.S. Dollars | 1,420,088 | Swedish Kronor | 14,326,284 | MSCS | (117,545) | ||||||
07/22/20 | U.S. Dollars | 4,015,492 | Australian Dollars | 6,012,737 | GSC | (134,471) | ||||||
07/22/20 | U.S. Dollars | 2,859,146 | Czech Republic Koruna | 71,049,761 | GSC | (136,223) | ||||||
07/02/20 | Brazilian Reals | 15,229,291 | U.S. Dollars | 2,949,856 | MSCS | (149,374) | ||||||
07/22/20 | Japanese Yen | 1,939,676,077 | U.S. Dollars | 18,136,114 | CITI | (166,757) |
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
07/22/20 | U.S. Dollars | 10,436,454 | Swiss Francs | 10,054,229 | SS | $ (182,747) | ||||||
07/22/20 | U.S. Dollars | 9,783,431 | Euro | 8,875,447 | CITI | (193,210) | ||||||
07/22/20 | Brazilian Reals | 18,525,377 | U.S. Dollars | 3,635,992 | GSC | (233,415) | ||||||
07/22/20 | U.S. Dollars | 8,821,188 | Canadian Dollars | 12,315,693 | JPM | (251,065) | ||||||
07/22/20 | U.S. Dollars | 3,291,695 | Australian Dollars | 5,220,396 | SS | (311,398) | ||||||
07/22/20 | U.S. Dollars | 5,588,928 | Norwegian Kroner | 56,895,728 | JPM | (322,685) | ||||||
07/22/20 | U.S. Dollars | 5,170,848 | Swedish Kronor | 51,482,436 | SC | (355,673) | ||||||
07/22/20 | U.S. Dollars | 15,556,040 | Euro | 14,183,166 | GSC | (386,861) | ||||||
07/22/20 | U.S. Dollars | 4,570,049 | Australian Dollars | 7,204,226 | SC | (402,275) | ||||||
07/22/20 | U.S. Dollars | 7,236,655 | Norwegian Kroner | 74,087,132 | SS | (461,190) | ||||||
07/22/20 | U.S. Dollars | 7,281,380 | New Zealand Dollars | 12,019,842 | SS | (475,465) | ||||||
07/22/20 | U.S. Dollars | 8,092,993 | Norwegian Kroner | 82,547,076 | SC | (483,861) | ||||||
07/22/20 | U.S. Dollars | 20,093,430 | Euro | 18,311,497 | SS | (490,012) | ||||||
07/22/20 | U.S. Dollars | 7,584,558 | Australian Dollars | 11,772,729 | CITI | (540,925) | ||||||
07/22/20 | U.S. Dollars | 8,775,912 | Australian Dollars | 13,663,239 | RBC | (654,392) | ||||||
07/22/20 | U.S. Dollars | 11,477,444 | New Zealand Dollars | 18,945,178 | SC | (748,575) | ||||||
Subtotal Depreciation | $(9,705,716) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | $ (209,298) |
Pay Rate Index/Pay Rate | Receive
Rate/Receive Rate Index |
Maturity
Date |
Counterparty | Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
Interest Rate Swaps | ||||||||||||||||
3-Month KLIBOR (Quarterly) | 2.25% (Quarterly) | 6/17/2022 | BOA | MYR | 46,220,000 | $ 54,750 | $30,760 | $ 23,990 | ||||||||
3-Month TELBOR (Quarterly) | 1.41% (Annually) | 12/18/2029 | DEUT | ILS | 3,165,000 | 78,836 | — | 78,836 | ||||||||
3-Month TELBOR (Quarterly) | 1.02% (Annually) | 3/18/2030 | BOA | ILS | 1,575,000 | 20,601 | 219 | 20,382 | ||||||||
$154,187 | $30,979 | $123,208 |
Pay Rate Index/Pay Rate | Receive
Rate/Receive Rate Index |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.81% (Upon termination) | 1/3/2022 | BRL | 10,828,285 | $ 65,570 | $ — | $ 65,570 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.12% (Upon termination) | 1/3/2022 | BRL | 10,279,504 | 38,815 | 7,126 | 31,689 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 4.50% (Lunar) | 9/15/2022 | MXN | 93,100,000 | 12,661 | (2,466) | 15,127 | |||||||
1-Day MIBOR (Semiannually) | 3.75% (Semiannually) | 9/16/2022 | INR | 678,440,000 | 12,069 | (5,164) | 17,233 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 6.66% (Upon termination) | 1/2/2023 | BRL | 8,165,533 | 139,894 | 34,332 | 105,562 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 5.75% (Upon termination) | 1/2/2023 | BRL | 2,772,127 | 29,023 | 15,060 | 13,963 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 6.37% (Upon termination) | 1/2/2023 | BRL | 2,150,019 | 27,434 | — | 27,434 | |||||||
3-Month CDOR (Semiannually) | 0.50% (Semiannually) | 9/16/2023 | CAD | 45,850,000 | (156,942) | (193,240) | 36,298 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 5.33% (Upon termination) | 1/2/2024 | BRL | 3,814,615 | 15,134 | (2,627) | 17,761 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.93% (Upon termination) | 1/2/2024 | BRL | 1,374,705 | 544 | (691) | 1,235 | |||||||
1-Month LIBOR + .09% (Quarterly) | 3-Month LIBOR (Quarterly) | 7/25/2024 | USD | 40,700,000 | 7,164 | 651 | 6,513 |
Pay Rate Index/Pay Rate | Receive
Rate/Receive Rate Index |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 6.26% (Upon termination) | 1/2/2025 | BRL | 5,858,239 | $ 51,956 | $ 18,866 | $ 33,090 | |||||||
6-Month ASX BBSW (Semiannually) | 0.55% (Semiannually) | 5/16/2025 | AUD | 24,590,000 | 9,626 | (15,682) | 25,308 | |||||||
1-Day SONIA (Annually) | 0.27% (Annually) | 6/17/2025 | GBP | 8,880,000 | 149,382 | 66,042 | 83,340 | |||||||
1-Day SONIA (Annually) | 0.03% (Annually) | 6/17/2025 | GBP | 6,610,000 | 13,631 | (15,806) | 29,437 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 5.40% (Lunar) | 9/11/2025 | MXN | 130,650,000 | 138,442 | 23,272 | 115,170 | |||||||
1-Day CLP-TNA (Semiannually) | 1.60% (Semiannually) | 9/16/2025 | CLP | 3,184,065,000 | 63,525 | 37,130 | 26,395 | |||||||
6-Month NIBOR (Semiannually) | 0.50% (Annually) | 9/16/2025 | NOK | 16,780,000 | (15,349) | (16,420) | 1,071 | |||||||
6-Month ASX BBSW (Semiannually) | 0.96% (Semiannually) | 4/21/2027 | AUD | 9,040,000 | 30,550 | 1,583 | 28,967 | |||||||
0.00% (Annually) | 6-Month EURIBOR (Semiannually) | 9/16/2027 | EUR | 8,860,000 | (198,661) | (206,744) | 8,083 | |||||||
6-Month ASX BBSW (Semiannually) | 1.25% (Semiannually) | 9/16/2027 | AUD | 9,480,000 | 270,242 | 255,415 | 14,827 | |||||||
6-Month ASX BBSW (Semiannually) | 1.00% (Semiannually) | 4/26/2028 | AUD | 12,030,000 | 24,410 | (24,704) | 49,114 | |||||||
6-Month ASX BBSW (Semiannually) | 1.75% (Semiannually) | 3/19/2030 | AUD | 2,790,000 | 42,054 | 22,298 | 19,756 | |||||||
3-Month LIBOR (Quarterly) | 0.98% (Semiannually) | 5/21/2030 | USD | 15,550,000 | 24,647 | (15,885) | 40,532 | |||||||
6-Month EURIBOR (Semiannually) | 0.05% (Annually) | 5/21/2030 | EUR | 11,940,000 | 36,951 | (6,067) | 43,018 | |||||||
3-Month LIBOR (Quarterly) | 1.75% (Semiannually) | 6/18/2030 | USD | 4,370,000 | 169,865 | 120,614 | 49,251 | |||||||
1.14% (Semiannually) | 3-Month CDOR (Semiannually) | 6/24/2030 | CAD | 16,250,000 | (4,345) | (16,791) | 12,446 | |||||||
6-Month ASX BBSW (Semiannually) | 1.50% (Semiannually) | 9/16/2030 | AUD | 6,810,000 | 273,104 | 191,734 | 81,370 | |||||||
0.10% (Annually) | 6-Month LIBOR (Semiannually) | 9/17/2030 | CHF | 1,290,000 | 2,786 | (1,694) | 4,480 | |||||||
6-Month EURIBOR (Semiannually) | (0.05)% (Annually) | 12/15/2030 | EUR | 1,340,000 | 14,305 | 7,661 | 6,644 | |||||||
6-Month EURIBOR (Semiannually) | 0.05% (Annually) | 10/26/2031 | EUR | 720,000 | 11,245 | 6,113 | 5,132 | |||||||
1.36% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 4/21/2040 | AUD | 2,620,000 | 29,919 | (1,185) | 31,104 | |||||||
0.26% (Annually) | 6-Month EURIBOR (Semiannually) | 5/21/2040 | EUR | 5,680,000 | 41,815 | 22,407 | 19,408 | |||||||
0.75% (Annually) | 6-Month EURIBOR (Semiannually) | 6/19/2040 | EUR | 1,680,000 | (81,904) | (83,530) | 1,626 | |||||||
1.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/19/2040 | GBP | 810,000 | (93,888) | (98,130) | 4,242 | |||||||
3-Month LIBOR (Quarterly) | 1.75% (Semiannually) | 6/19/2040 | USD | 1,480,000 | 82,912 | 73,684 | 9,228 | |||||||
0.86% (Semiannually) | 3-Month LIBOR (Quarterly) | 4/9/2045 | USD | 10,120,000 | 87,742 | — | 87,742 | |||||||
3-Month CDOR (Semiannually) | 1.75% (Semiannually) | 6/17/2050 | CAD | 2,260,000 | 165,525 | 92,485 | 73,040 | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/20/2050 | GBP | 710,000 | (51,480) | (56,146) | 4,666 | |||||||
3-Month LIBOR (Quarterly) | 1.75% (Semiannually) | 6/20/2050 | USD | 290,000 | 18,216 | 13,825 | 4,391 | |||||||
Subtotal Appreciation | $ 1,498,589 | $ 247,326 | $ 1,251,263 | |||||||||||
6.24% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 5,678,032 | $ (69,552) | $ — | $ (69,552) | |||||||
6.94% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 3,750,231 | (60,007) | — | (60,007) | |||||||
7.22% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 3,969,719 | (69,510) | — | (69,510) | |||||||
0.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/16/2023 | USD | 25,620,000 | (205,263) | (153,795) | (51,468) | |||||||
6.84% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2024 | BRL | 3,348,486 | (49,328) | — | (49,328) | |||||||
3-Month CDOR (Semiannually) | 0.84% (Semiannually) | 6/24/2024 | CAD | 75,630,000 | (5,546) | 30,866 | (36,412) | |||||||
(0.31)% (Annually) | 6-Month EURIBOR (Semiannually) | 5/18/2025 | EUR | 18,220,000 | (18,687) | 16,984 | (35,671) | |||||||
1.25% (Semiannually) | 6-Month THBFIX (Semiannually) | 6/17/2025 | THB | 20,000 | (16) | — | (16) | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.50% (Quarterly) | 6/17/2025 | CNY | 67,610,000 | 77,035 | 90,825 | (13,790) | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 9/16/2025 | GBP | 1,500,000 | (70,749) | (70,061) | (688) | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 9/16/2027 | GBP | 5,700,000 | (348,289) | (280,561) | (67,728) | |||||||
6-Month LIBOR (Semiannually) | (0.50)% (Annually) | 9/16/2027 | CHF | 9,660,000 | (56,377) | (54,453) | (1,924) | |||||||
0.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/10/2030 | GBP | 6,730,000 | (7,170) | 83,177 | (90,347) | |||||||
0.57% (Annually) | 1-Day SONIA (Annually) | 3/18/2030 | GBP | 2,580,000 | (148,322) | 6,359 | (154,681) | |||||||
6-Month LIBOR (Semiannually) | 0.25% (Semiannually) | 3/19/2030 | JPY | 116,490,000 | 8,252 | 8,252 | — | |||||||
0.31% (Annually) | 1-Day SONIA (Annually) | 6/17/2030 | GBP | 5,260,000 | (127,978) | (38,063) | (89,915) | |||||||
6-Month LIBOR (Semiannually) | (0.50)% (Annually) | 6/17/2030 | CHF | 7,120,000 | (155,656) | (85,957) | (69,699) | |||||||
0.25% (Annually) | 6-Month EURIBOR (Semiannually) | 6/18/2030 | EUR | 5,480,000 | (78,341) | (52,089) | (26,252) |
Pay Rate Index/Pay Rate | Receive
Rate/Receive Rate Index |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/18/2030 | GBP | 3,200,000 | $ (99,567) | $ (77,547) | $ (22,020) | |||||||
0.25% (Annually) | 6-Month EURIBOR (Semiannually) | 9/16/2030 | EUR | 6,990,000 | (329,781) | (306,453) | (23,328) | |||||||
0.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/16/2030 | USD | 360,000 | (3,406) | (2,822) | (584) | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 9/16/2030 | GBP | 1,450,000 | (112,522) | (102,541) | (9,981) | |||||||
6-Month NIBOR (Semiannually) | 0.75% (Annually) | 9/16/2030 | NOK | 19,450,000 | (33,241) | (22,803) | (10,438) | |||||||
6-Month EURIBOR (Semiannually) | (0.05)% (Annually) | 12/15/2030 | EUR | 1,370,000 | 14,625 | 16,366 | (1,741) | |||||||
1.16% (Semiannually) | 3-Month LIBOR (Quarterly) | 5/21/2035 | USD | 15,970,000 | (12,030) | 30,869 | (42,899) | |||||||
0.40% (Annually) | 1-Day SONIA (Annually) | 6/17/2040 | GBP | 2,140,000 | (110,511) | (109,187) | (1,324) | |||||||
6-Month LIBOR (Semiannually) | 0.50% (Semiannually) | 6/20/2040 | JPY | 212,860,000 | 8,210 | 24,053 | (15,843) | |||||||
3-Month LIBOR (Quarterly) | 0.85% (Semiannually) | 4/10/2050 | USD | 10,490,000 | (47,576) | — | (47,576) | |||||||
0.50% (Annually) | 6-Month EURIBOR (Semiannually) | 6/20/2050 | EUR | 270,000 | (16,736) | (15,621) | (1,115) | |||||||
6-Month LIBOR (Semiannually) | 0.50% (Semiannually) | 6/20/2050 | JPY | 223,490,000 | (3,952) | 22,109 | (26,061) | |||||||
0.50% (Annually) | 6-Month EURIBOR (Semiannually) | 9/16/2050 | EUR | 360,000 | (57,304) | (54,737) | (2,567) | |||||||
0.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/16/2050 | USD | 1,120,000 | 52,297 | 100,298 | (48,001) | |||||||
Subtotal Depreciation | $(2,136,998) | $(996,532) | $(1,140,466) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at June 30, 2020 | $ (638,409) | $(749,206) | $ 110,797 |
Pay Rate Index/Pay Rate | Receive
Rate/Receive Rate Index |
Maturity
Date |
Counterparty | Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
Total Return Swaps | ||||||||||||||||
Faurecia | Financing Index: 1-Month EURIBOR - .45% (Monthly) | 11/5/2020 | CITI | EUR | 75,347 | $ 20,937 | $ — | $ 20,937 | ||||||||
Financing Index: 1-Month EURIBOR + .45% (Monthly) | Ingenico Group | 11/5/2020 | CITI | EUR | 1,294,898 | 69,049 | — | 69,049 | ||||||||
Peugeot Citroen SA | Financing Index: 1-Month EURIBOR - .45% (Monthly) | 11/5/2020 | CITI | EUR | 383,879 | 129,908 | — | 129,908 | ||||||||
Subtotal Appreciation | $219,894 | $ — | $219,894 | |||||||||||||
Worldline SA | Financing Index: 1-Month EURIBOR - .45% (Monthly) | 11/5/2020 | CITI | EUR | 1,114,962 | $ (63,514) | $ — | $ (63,514) | ||||||||
Subtotal Depreciation | $ (63,514) | $ — | $ (63,514) | |||||||||||||
Net Total Return Swaps outstanding at June 30, 2020 | $156,380 | $ — | $156,380 |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Asset-Backed Securities | $ 13,925,549 | $ — | $ 13,925,549 | $ — | |||
Certificates Of Deposit | 1,100,600 | — | 1,100,600 | — | |||
Common Stocks | 21,903,934 | 21,903,934 | — | — | |||
Corporate Bonds | 82,060,980 | — | 82,060,980 | — | |||
Foreign Bonds | 16,058,758 | — | 16,058,758 | — | |||
Foreign Common Stocks: | |||||||
Netherlands | 3,940,029 | 3,680,135 | 259,894 | — | |||
Other ^^ | 2,261,842 | 2,261,842 | — | — | |||
Total Foreign Common Stocks | 6,201,871 | 5,941,977 | 259,894 | — | |||
Loan Agreements | 6,182,136 | — | 6,182,136 | — | |||
Money Market Funds | 124,440,227 | 124,440,227 | — | — | |||
Mortgage-Backed Securities | 28,442,824 | — | 28,442,824 | — | |||
Mutual Funds | 4,057,261 | 2,645,591 | — | 1,411,670 | |||
Purchased Options: | |||||||
Call Options | 25,510 | 25,510 | — | — | |||
Rights | 18,001 | — | 10,991 | 7,010 | |||
U.S. Treasury Obligations | 70,368,643 | — | 70,368,643 | — | |||
Total Assets - Investments in Securities | $374,786,294 | $154,957,239 | $218,410,375 | $1,418,680 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 9,496,418 | $ — | $ 9,496,418 | $ — | |||
Futures Contracts | 18,309 | 18,309 | — | — | |||
Swap Agreements | 1,594,365 | — | 1,594,365 | — | |||
Total Assets - Other Financial Instruments | $ 11,109,092 | $ 18,309 | $ 11,090,783 | $ — |
Total
Value |
Level
1 Quoted Prices |
Level
2 Other Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
Common Stocks Sold Short | $ (8,720,847) | $ (8,720,847) | $ — | $ — | |||
Foreign Common Stocks Sold Short | (2,349,487) | (2,349,487) | — | — | |||
Mutual Funds Sold Short | (9,883,858) | (9,883,858) | — | — | |||
Written Options: | |||||||
Call Options | (61,453) | (61,453) | — | — | |||
Call Swaptions | (191,497) | — | (191,497) | — | |||
Put Options | (353,675) | (353,675) | — | — | |||
Put Swaptions | (552,561) | — | (552,561) | — | |||
Total Written Options | (1,159,186) | (415,128) | (744,058) | — | |||
Total Liabilities - Investments in Securities | $ (22,113,378) | $ (21,369,320) | $ (744,058) | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (9,705,716) | $ — | $ (9,705,716) | $ — | |||
Futures Contracts | (10,673) | (10,673) | — | — | |||
Swap Agreements | (1,203,980) | — | (1,203,980) | — | |||
Total Liabilities - Other Financial Instruments | $ (10,920,369) | $ (10,673) | $ (10,909,696) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forwards contracts and swap agreements, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding", "Forwards Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2020 (Unaudited) |
Strategic Alternatives Fund | |
Assets | |
Investments in securities of unaffiliated issuers, at value | $324,346,813 |
Investments in securities of affiliated issuers, at value | 50,439,481 |
Total investments, at value(1) | 374,786,294 |
Cash | 33,688,032 |
Cash collateral for derivatives | 8,321,368 |
Deposits with broker for futures contracts | 188,792 |
Upfront premiums paid from swap agreements | 1,471,434 |
Receivables: | |
Dividends and reclaims | 54,408 |
Interest | 1,040,372 |
Investment securities sold | 10,353,530 |
Fund shares sold | 30,961 |
Unrealized appreciation on foreign currency exchange contracts | 9,496,418 |
Unrealized appreciation on swap agreements | 343,102 |
Prepaid expenses and other assets | 21,599 |
Total Assets | 439,796,310 |
Liabilities | |
Foreign currency overdraft(2) | 827,460 |
Securities sold short, at value(3) | 20,954,192 |
Options written, at value(4) | 1,159,186 |
Upfront premiums received from swap agreements | 2,189,661 |
Unrealized depreciation on foreign currency exchange contracts | 9,705,716 |
Unrealized depreciation on swap agreements | 63,514 |
Collateral from counterparty | 4,580,466 |
Payables: | |
Investment securities purchased | 35,317,719 |
Dividends on short sales | 24,906 |
Fund shares redeemed | 18,728 |
Variation margin on centrally cleared swaps | 10,998 |
Variation margin on futures contracts | 15,846 |
Accrued expenses: | |
Investment advisory fees | 253,553 |
Shareholder servicing fees | 9,963 |
Trustee fees | 486 |
Other expenses | 210,279 |
Total Liabilities | 75,342,673 |
Net Assets | $364,453,637 |
Net Assets Consist of: | |
Paid-in-capital | $374,980,035 |
Distributable earnings (loss) | (10,526,398) |
Net Assets | $364,453,637 |
Net Asset Value: | |
$0.001 par value, unlimited shares authorized | |
Net assets applicable to the Institutional Class | $315,847,953 |
Institutional shares outstanding | 32,303,558 |
Net asset value, offering and redemption price per Institutional share | $ 9.78 |
Net assets applicable to the Investor Class | $ 48,605,684 |
Investor shares outstanding | 4,981,192 |
Net asset value, offering and redemption price per Investor share | $ 9.76 |
|
|
(1)Investments in securities of unaffiliated issuers, at cost | $323,478,674 |
Investments in securities of affiliated issuers, at cost | 50,439,481 |
Total investments, at cost | $373,918,155 |
(2)Foreign currency overdraft, at cost | $ 817,095 |
(3)Proceeds from securities sold short | $ 20,549,453 |
(4)Premiums received on options written | $ 1,639,255 |
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2020 (Unaudited) |
Strategic Alternatives Fund | |
Investment Income | |
Dividends | $ 602,230 |
Income distributions received from affiliated funds | 209,146 |
Interest | 3,248,071 |
Less foreign taxes withheld | (8,184) |
Total Investment Income | 4,051,263 |
Expenses | |
Investment advisory fees | 1,566,512 |
Transfer agent fees: | |
Institutional shares | 1,193 |
Investor shares | 7,269 |
Custodian fees | 138,543 |
Shareholder servicing fees: | |
Investor shares | 64,575 |
Accounting and administration fees | 35,804 |
Professional fees | 53,109 |
Shareholder reporting fees: | |
Trustees expenses | 879 |
Line of credit facility fees | 256 |
Dividends on securities sold short | 156,349 |
Other expenses | 21,856 |
Total Expenses | 2,046,345 |
Net Investment Income | 2,004,918 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: | |
Investment securities | (6,979,863) |
Investment securities sold short | 2,484,953 |
Futures transactions | 1,898,542 |
Swap agreements | 258,070 |
Option contracts written | (8,638,325) |
Option contracts purchased | (195,560) |
Forward foreign currency contracts | (161,302) |
Foreign currency | (1,888,094) |
Net realized loss | (13,221,579) |
Net change in unrealized appreciation (depreciation) on: | |
Investment securities | (2,395,728) |
Investment securities sold short | 77,951 |
Futures | 209,667 |
Swap agreements | (832,914) |
Option contracts written | 342,627 |
Option contracts purchased | 11,598 |
Forward foreign currency contracts | 237,932 |
Foreign currency | (67,146) |
Net change in unrealized appreciation (depreciation) | (2,416,013) |
Net Realized and Unrealized Loss | (15,637,592) |
Net Decrease in Net Assets Resulting from Operations | $(13,632,674) |
STATEMENTS OF CHANGES IN NET ASSETS |
Strategic Alternatives Fund | |||
For
the Six Months Ended |
For the Year Ended | ||
06/30/20 | 12/31/19 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $ 2,004,918 | $ 5,017,446 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | (13,221,579) | 6,709,143 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (2,416,013) | 7,255,961 | |
Net increase (decrease) in net assets resulting from operations | (13,632,674) | 18,982,550 | |
Distributions to Shareholders: | |||
Institutional shares | — | (7,274,105) | |
Investor shares | — | (1,068,756) | |
Total distributions | — | (8,342,861) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 12,976,610 | 34,914,160 | |
Investor shares | 6,475,834 | 12,428,155 | |
Reinvestment of dividends and distributions | |||
Institutional shares | — | 7,273,111 | |
Investor shares | — | 1,068,187 | |
Total proceeds from shares sold and reinvested | 19,452,444 | 55,683,613 | |
Value of shares redeemed | |||
Institutional shares | (15,721,922) | (41,587,776) | |
Investor shares | (11,736,859) | (25,699,257) | |
Total value of shares redeemed | (27,458,781) | (67,287,033) | |
Net decrease from capital share transactions(1) | (8,006,337) | (11,603,420) | |
Total decrease in net assets | (21,639,011) | (963,731) | |
Net Assets: | |||
Beginning of Period | 386,092,648 | 387,056,379 | |
End of Period | $364,453,637 | $386,092,648 |
|
||
(1) | See Note 6 in Notes to Financial Statements. |
FINANCIAL HIGHLIGHTS (Unaudited) |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net
Asset Value, Beginning of Period |
Net
Investment Income# |
Realized
and Unrealized Gain (Loss) on Investments |
Total
Income From Investment Operations |
Dividends
from Net Investment Income |
Distributions
from Net Realized Capital Gains |
Total
Distributions Paid |
Net
Asset Value, End of Period |
Total
Return |
Net
Assets, End of Period (000) |
Expenses,
Net |
Expenses,
Gross |
Investment
Income, Net |
Portfolio
Turnover Rate | |
Strategic Alternatives Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $10.13 | $0.06 | $(0.41) | $(0.35) | $ — | $ — | $ — | $ 9.78 | (3.45)% | $315,848 | 1.08%(2) | 1.08%(2) | 1.14% | 227% |
2019 | 9.87 | 0.13 | 0.36 | 0.49 | (0.19) | (0.04) | (0.23) | 10.13 | 4.93 | 330,017 | 1.12(2) | 1.12(2) | 1.32 | 364 |
2018 | 10.07 | 0.20 | (0.19) | 0.01 | (0.18) | (0.03) | (0.21) | 9.87 | 0.15 | 320,404 | 1.01(2) | 1.02(2) | 1.96 | 172 |
2017(3) | 10.00 | 0.04 | 0.10 | 0.14 | (0.05) | (0.02) | (0.07) | 10.07 | 1.40 | 302,592 | 1.26(2) | 1.28(2) | 0.69 | 88 |
Investor Class | ||||||||||||||
2020(1) | $10.13 | $0.04 | $(0.41) | $(0.37) | $ — | $ — | $ — | $ 9.76 | (3.65)% | $ 48,606 | 1.36%(2) | 1.36%(2) | 0.88% | 227% |
2019 | 9.87 | 0.10 | 0.36 | 0.46 | (0.16) | (0.04) | (0.20) | 10.13 | 4.62 | 56,076 | 1.46(2) | 1.46(2) | 0.99 | 364 |
2018 | 10.07 | 0.17 | (0.19) | (0.02) | (0.15) | (0.03) | (0.18) | 9.87 | (0.17) | 66,652 | 1.36(2) | 1.37(2) | 1.65 | 172 |
2017(3) | 10.00 | 0.01 | 0.12 | 0.13 | (0.04) | (0.02) | (0.06) | 10.07 | 1.31 | 58,599 | 1.63(2) | 1.65(2) | 0.25 | 88 |
# | Calculated using the average shares outstanding method. |
(1) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(2) | The ratio for the Strategic Alternatives Fund includes the effect of dividend expense on securities sold short which increased the ratio by 0.11%, 0.14%, 0.10% and 0.09% for the period ended December 31, 2017, for the years 2018 and 2019 and for the six months ended June 30, 2020. |
(3) | Inception date was June 30, 2017. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
Fund/Counterparty | Repurchase
Agreements |
Fair
Value of Non-cash Collateral Received(1) |
Cash
Collateral Received |
Net Amount(2) | ||||
Money Market | ||||||||
Bank of Nova Scotia | $ 30,000,000 | $ (30,000,000) | $ — | $ — | ||||
BNP Paribas | 105,000,000 | (105,000,000) | — | — | ||||
Citigroup Global Markets, Inc. | 38,000,000 | (38,000,000) | — | — | ||||
Goldman Sachs & Co. | 81,000,000 | (81,000,000) | — | — | ||||
Mitsubishi UFJ Securities USA, Inc. | 30,000,000 | (30,000,000) | — | — | ||||
Mizuho Securities USA, Inc. | 50,000,000 | (50,000,000) | — | — | ||||
Natixis S.A. | 74,000,000 | (74,000,000) | — | — | ||||
TD Securities USA LLC | 45,000,000 | (45,000,000) | — | — | ||||
Total Repurchase Agreements | $ 453,000,000 | $ (453,000,000) | $ — | $ — | ||||
Medium-Duration Bond | ||||||||
Citigroup Global Markets, Inc. | $ 117,500,000 | $ (117,500,000) | $ — | $ — |
Fund | Assets | Liabilities | ||
MyDestination 2035 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 7,311 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 7,311 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 7,311 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
MyDestination 2045 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 1,969 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 1,969 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 1,969 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — |
Fund | Assets | Liabilities | ||
Growth Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 41,643 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 41,643 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 41,643 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Low-Duration Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 77,773 | $ — | ||
Forward foreign currency contracts | 19,499 | 677,152 | ||
Options | — | 14,973 | ||
Centrally cleared swaps | 18,108 | — | ||
Swap agreements | — | 4,911 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 115,380 | 697,036 | ||
Derivatives not subject to an ISDA MA or similar agreement | 95,881 | — | ||
Total assets and liabilities subject to an ISDA MA | $ 19,499 | $ 697,036 | ||
Medium-Duration Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 121,237 | ||
Forward foreign currency contracts | 1,370,954 | 2,236,229 | ||
Options | 464,923 | 1,445,970 | ||
Centrally cleared swaps | 578,970 | — | ||
Swap agreements | 328,092 | 64,977 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 2,742,939 | 3,868,413 | ||
Derivatives not subject to an ISDA MA or similar agreement | 1,043,894 | 309,632 | ||
Total assets and liabilities subject to an ISDA MA | $ 1,699,045 | $ 3,558,781 | ||
Global Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 111,847 | $ — | ||
Forward foreign currency contracts | 4,184,585 | 5,498,634 | ||
Centrally cleared swaps | — | 71,784 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 4,296,432 | 5,570,418 | ||
Derivatives not subject to an ISDA MA or similar agreement | 111,847 | 71,784 | ||
Total assets and liabilities subject to an ISDA MA | $ 4,184,585 | $ 5,498,634 | ||
Defensive Market Strategies | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 329,375 | ||
Forward foreign currency contracts | 45,566 | — | ||
Options | — | 1,271,858 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 45,566 | 1,601,233 | ||
Derivatives not subject to an ISDA MA or similar agreement | 45,566 | 1,601,233 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — |
Fund | Assets | Liabilities | ||
Equity Index | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 941,375 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 941,375 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 941,375 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Value Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 286,450 | $ — | ||
Forward foreign currency contracts | 61,706 | — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 348,156 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 348,156 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Growth Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 318,750 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 318,750 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 318,750 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Small Cap Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 193,680 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 193,680 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 193,680 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
International Equity Index | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 37,958 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 37,958 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 37,958 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
International Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 105,757 | ||
Forward foreign currency contracts | 2,235,196 | 1,106,895 | ||
Swap agreements | 32,138 | 174,055 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 2,267,334 | 1,386,707 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 105,757 | ||
Total assets and liabilities subject to an ISDA MA | $ 2,267,334 | $ 1,280,950 |
Fund | Assets | Liabilities | ||
Emerging Markets Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 70,023 | ||
Forward foreign currency contracts | 1,269,989 | 1,396,912 | ||
Swap agreements | 217,080 | 433,692 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 1,487,069 | 1,900,627 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 70,023 | ||
Total assets and liabilities subject to an ISDA MA | $ 1,487,069 | $ 1,830,604 | ||
Global Real Estate Securities | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 27,840 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 27,840 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 27,840 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Strategic Alternatives | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 15,846 | ||
Forward foreign currency contracts | 9,496,418 | 9,705,716 | ||
Options | 25,510 | 1,159,186 | ||
Centrally cleared swaps | — | 10,998 | ||
Swap agreements | 343,102 | 63,514 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 9,865,030 | 10,955,260 | ||
Derivatives not subject to an ISDA MA or similar agreement | 25,510 | 441,972 | ||
Total assets and liabilities subject to an ISDA MA | $ 9,839,520 | $10,513,288 |
Fund/Sub-adviser/Counterparty | Derivative
Assets Subject to an ISDA MA |
Derivative
Liabilities Subject to an ISDA MA |
Value
of Derivatives Subject to an ISDA MA |
Collateral
(Received)/ Pledged |
Net Exposure | |||||
Low-Duration Bond | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $19,499 | $(196,576) | $(177,077) | $10,637 | $(166,440) | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | — | (500,460) | (500,460) | — | (500,460) | |||||
Total Derivatives | $19,499 | $(697,036) | $(677,537) | $10,637 | $(666,900) |
Fund/Sub-adviser/Counterparty | Derivative
Assets Subject to an ISDA MA |
Derivative
Liabilities Subject to an ISDA MA |
Value
of Derivatives Subject to an ISDA MA |
Collateral
(Received)/ Pledged |
Net Exposure | |||||
Medium-Duration Bond | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $ 276,847 | $ (1,632,341) | $(1,355,494) | $ 659,874 | $ (695,620) | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | 108,219 | (413,803) | (305,584) | 1,750 | (303,834) | |||||
Sub-adviser C | ||||||||||
Other Counterparties* | 1,313,979 | (1,512,637) | (198,658) | 65,120 | (133,538) | |||||
Total Derivatives | $1,699,045 | $ (3,558,781) | $(1,859,736) | $ 726,744 | $(1,132,992) | |||||
Global Bond | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $1,238,365 | $ (1,175,073) | $ 63,292 | $ — | $ 63,292 | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | 2,946,220 | (4,323,561) | (1,377,341) | 1,276,839 | (100,502) | |||||
Total Derivatives | $4,184,585 | $ (5,498,634) | $(1,314,049) | $ 1,276,839 | $ (37,210) | |||||
International Equity | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $2,267,334 | $ (1,279,200) | $ 988,134 | $(1,048,666) | $ (60,532) | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | — | (1,750) | (1,750) | — | (1,750) | |||||
Total Derivatives | $2,267,334 | $ (1,280,950) | $ 986,384 | $(1,048,666) | $ (62,282) | |||||
Emerging Markets Equity | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $1,448,944 | $ (1,830,604) | $ (381,660) | $ 381,660 | $ — | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | 38,125 | — | 38,125 | — | 38,125 | |||||
Total Derivatives | $1,487,069 | $ (1,830,604) | $ (343,535) | $ 381,660 | $ 38,125 | |||||
Strategic Alternatives | ||||||||||
Sub-adviser A | ||||||||||
SC | $ 703,622 | $ (2,275,713) | $(1,572,091) | $ 1,310,000 | $ (262,091) | |||||
JPM | 2,974,198 | (843,055) | 2,131,143 | (1,640,000) | 491,143 | |||||
Other Counterparties* | 4,725,702 | (5,198,269) | (472,567) | 299,953 | (172,614) | |||||
8,403,522 | (8,317,037) | 86,485 | (30,047) | 56,438 | ||||||
Sub-adviser B | ||||||||||
MSCS | 1,092,896 | (1,658,258) | (565,362) | 270,000 | (295,362) | |||||
DEUT | 78,836 | (284,006) | (205,170) | — | (205,170) | |||||
Other Counterparties* | 44,372 | (190,473) | (146,101) | (44,372) | (190,473) | |||||
1,216,104 | (2,132,737) | (916,633) | 225,628 | (691,005) | ||||||
Sub-adviser D | ||||||||||
Other Counterparties* | 219,894 | (63,514) | 156,380 | — | 156,380 | |||||
Total Derivatives | $9,839,520 | $(10,513,288) | $ (673,768) | $ 195,581 | $ (478,187) |
Location on the Statements of Assets and Liabilities | ||||
Derivative Type | Asset Derivatives | Liability Derivatives | ||
Interest rate contracts | Investments in securities of unaffiliated issuers, at value | Options written, at value | ||
Receivables: Variation margin* | Payables: Variation margin* | |||
Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements | |||
Foreign exchange contracts | Investments in securities of unaffiliated issuers, at value | Options written, at value | ||
Unrealized appreciation on foreign currency exchange contracts | Unrealized depreciation on foreign currency exchange contracts | |||
Credit contracts | Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements | ||
Equity contracts | Investments in securities of unaffiliated issuers, at value | Options written, at value | ||
Receivables: Variation margin* | Payables: Variation margin* |
Asset Derivative Value | ||||||||||
Fund | Total
Value at 6/30/20 |
Interest
Rate Contracts |
Foreign
Exchange Contracts |
Credit
Contracts |
Equity
Contracts | |||||
MyDestination 2035 | ||||||||||
Futures | $ 21,867 | $ 1,167 | $ — | $ — | $ 20,700 | |||||
MyDestination 2045 | ||||||||||
Futures | $ 4,263 | $ 389 | $ — | $ — | $ 3,874 | |||||
Growth Allocation | ||||||||||
Futures | $ 97,761 | $ 3,084 | $ — | $ — | $ 94,677 | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 19,499 | $ — | $ 19,499 | $ — | $ — | |||||
Futures | 494,958 | 494,958 | — | — | — | |||||
Swaps | 459,852 | — | — | 459,852 | — | |||||
Totals | $ 974,309 | $ 494,958 | $ 19,499 | $ 459,852 | $ — | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 1,370,954 | $ — | $ 1,370,954 | $ — | $ — | |||||
Futures | 2,855,937 | 2,855,937 | — | — | — | |||||
Purchased Options | 464,923 | 464,923 | — | — | — | |||||
Swaps | 4,013,444 | 3,360,874 | — | 652,570 | — | |||||
Totals | $ 8,705,258 | $ 6,681,734 | $ 1,370,954 | $ 652,570 | $ — |
Asset Derivative Value | ||||||||||
Fund | Total
Value at 6/30/20 |
Interest
Rate Contracts |
Foreign
Exchange Contracts |
Credit
Contracts |
Equity
Contracts | |||||
Global Bond | ||||||||||
Forwards | $ 4,184,585 | $ — | $ 4,184,585 | $ — | $ — | |||||
Futures | 73,591 | 73,591 | — | — | — | |||||
Swaps | 803,951 | — | — | 803,951 | — | |||||
Totals | $ 5,062,127 | $ 73,591 | $ 4,184,585 | $ 803,951 | $ — | |||||
Defensive Market Strategies | ||||||||||
Forwards | $ 45,566 | $ — | $ 45,566 | $ — | $ — | |||||
Equity Index | ||||||||||
Futures | $ 1,712,117 | $ — | $ — | $ — | $ 1,712,117 | |||||
Value Equity | ||||||||||
Forwards | $ 61,706 | $ — | $ 61,706 | $ — | $ — | |||||
Futures | 194,707 | — | — | — | 194,707 | |||||
Totals | $ 256,413 | $ — | $ 61,706 | $ — | $ 194,707 | |||||
Growth Equity | ||||||||||
Futures | $ 22,586 | $ — | $ — | $ — | $ 22,586 | |||||
Small Cap Equity | ||||||||||
Futures | $ 663,913 | $ — | $ — | $ — | $ 663,913 | |||||
International Equity | ||||||||||
Forwards | $ 2,235,196 | $ — | $ 2,235,196 | $ — | $ — | |||||
Futures | 36,057 | — | — | — | 36,057 | |||||
Swaps | 32,138 | — | — | — | 32,138 | |||||
Totals | $ 2,303,391 | $ — | $ 2,235,196 | $ — | $ 68,195 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ 1,269,989 | $ — | $ 1,269,989 | $ — | $ — | |||||
Futures | 61,294 | — | — | — | 61,294 | |||||
Swaps | 217,080 | — | — | — | 217,080 | |||||
Totals | $ 1,548,363 | $ — | $ 1,269,989 | $ — | $ 278,374 | |||||
Global Real Estate Securities | ||||||||||
Futures | $ 30,857 | $ — | $ — | $ — | $ 30,857 | |||||
Strategic Alternatives | ||||||||||
Forwards | $ 9,496,418 | $ — | $ 9,496,418 | $ — | $ — | |||||
Futures | 18,309 | 18,309 | — | — | — | |||||
Purchased Options | 25,510 | — | — | — | 25,510 | |||||
Swaps | 1,594,365 | 1,374,471 | — | — | 219,894 | |||||
Totals | $ 11,134,602 | $ 1,392,780 | $ 9,496,418 | $ — | $ 245,404 |
Liabilities Derivative Value | ||||||||||
Fund | Total
Value at 6/30/20 |
Interest
Rate Contracts |
Foreign
Exchange Contracts |
Credit
Contracts |
Equity
Contracts | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 677,152 | $ — | $ 677,152 | $ — | $ — | |||||
Futures | 305,096 | 305,096 | — | — | — | |||||
Written Options | 14,973 | — | — | 14,973 | — | |||||
Swaps | 1,966,267 | 1,961,356 | — | 4,911 | — | |||||
Totals | $ 2,963,488 | $ 2,266,452 | $ 677,152 | $ 19,884 | $ — | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 2,236,229 | $ — | $ 2,236,229 | $ — | $ — | |||||
Futures | 1,895,536 | 1,895,536 | — | — | — | |||||
Written Options | 1,445,970 | 1,445,970 | — | — | — | |||||
Swaps | 13,662,151 | 13,322,184 | — | 339,967 | — | |||||
Totals | $ 19,239,886 | $ 16,663,690 | $ 2,236,229 | $ 339,967 | $ — | |||||
Global Bond | ||||||||||
Forwards | $ 5,498,634 | $ — | $ 5,498,634 | $ — | $ — | |||||
Futures | 408,142 | 408,142 | — | — | — | |||||
Swaps | 2,160,138 | 2,160,138 | — | — | — | |||||
Totals | $ 8,066,914 | $ 2,568,280 | $ 5,498,634 | $ — | $ — | |||||
Defensive Market Strategies | ||||||||||
Futures | $ 704,814 | $ — | $ — | $ — | $ 704,814 | |||||
Written Options | 1,271,858 | — | — | — | 1,271,858 | |||||
Totals | $ 1,976,672 | $ — | $ — | $ — | $ 1,976,672 | |||||
International Equity Index | ||||||||||
Futures | $ 111,957 | $ — | $ — | $ — | $ 111,957 | |||||
International Equity | ||||||||||
Forwards | $ 1,106,895 | $ — | $ 1,106,895 | $ — | $ — | |||||
Futures | 887,608 | — | — | — | 887,608 | |||||
Swaps | 174,055 | — | — | — | 174,055 | |||||
Totals | $ 2,168,558 | $ — | $ 1,106,895 | $ — | $ 1,061,663 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ 1,396,912 | $ — | $ 1,396,912 | $ — | $ — | |||||
Futures | 578,849 | — | — | — | 578,849 | |||||
Swaps | 433,692 | — | — | — | 433,692 | |||||
Totals | $ 2,409,453 | $ — | $ 1,396,912 | $ — | $ 1,012,541 | |||||
Strategic Alternatives | ||||||||||
Forwards | $ 9,705,716 | $ — | $ 9,705,716 | $ — | $ — | |||||
Futures | 10,673 | 10,673 | — | — | — | |||||
Written Options | 1,159,186 | 744,058 | — | — | 415,128 | |||||
Swaps | 1,203,980 | 1,140,466 | — | — | 63,514 | |||||
Totals | $ 12,079,555 | $ 1,895,197 | $ 9,705,716 | $ — | $ 478,642 |
Derivative Type | Location on the Statements of Operations | |
Interest rate contracts | Net realized gain (loss) from: Futures transactions | |
Net realized gain (loss) from: Swap agreements | ||
Net realized gain (loss) from: Option contracts written | ||
Net realized gain (loss) from: Option contracts purchased | ||
Net change in unrealized appreciation (depreciation) on: Futures | ||
Net change in unrealized appreciation (depreciation) on: Swap agreements | ||
Net change in unrealized appreciation (depreciation) on: Option contracts written | ||
Net change in unrealized appreciation (depreciation) on: Option contracts purchased | ||
Foreign exchange contracts | Net realized gain (loss) from: Foreign currency | |
Net realized gain (loss) from: Option contracts written | ||
Net realized gain (loss) from: Option contracts purchased | ||
Net change in unrealized appreciation (depreciation) on: Foreign currency | ||
Net change in unrealized appreciation (depreciation) on: Option contracts written | ||
Net change in unrealized appreciation (depreciation) on: Option contracts purchased | ||
Credit contracts | Net realized gain (loss) from: Swap agreements | |
Net change in unrealized appreciation (depreciation) on: Swap agreements | ||
Equity contracts | Net realized gain (loss) from: Futures transactions | |
Net realized gain (loss) from: Option contracts written | ||
Net realized gain (loss) from: Option contracts purchased | ||
Net unrealized appreciation (depreciation) on: Futures | ||
Net unrealized appreciation (depreciation) on: Option contracts written | ||
Net unrealized appreciation (depreciation) on: Option contracts purchased |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||
Fund | Total
Value at 6/30/20 |
Interest
Rate Contracts |
Foreign
Exchange Contracts |
Credit
Contracts |
Equity
Contracts | |||||
MyDestination 2015 | ||||||||||
Futures | $ 61,281 | $ 214,611 | $ — | $ — | $ (153,330) | |||||
MyDestination 2025 | ||||||||||
Futures | $ (335,478) | $ 486,409 | $ — | $ — | $ (821,887) | |||||
MyDestination 2035 | ||||||||||
Futures | $ (481,090) | $ 264,994 | $ — | $ — | $ (746,084) | |||||
MyDestination 2045 | ||||||||||
Futures | $ (676,225) | $ 92,776 | $ — | $ — | $ (769,001) | |||||
MyDestination 2055 | ||||||||||
Futures | $ (253,663) | $ 26,380 | $ — | $ — | $ (280,043) | |||||
Conservative Allocation | ||||||||||
Futures | $ 49,971 | $ 114,549 | $ — | $ — | $ (64,578) | |||||
Balanced Allocation | ||||||||||
Futures | $ 21,988 | $ 693,977 | $ — | $ — | $ (671,989) | |||||
Growth Allocation | ||||||||||
Futures | $ (985,539) | $ 282,766 | $ — | $ — | $ (1,268,305) | |||||
Aggressive Allocation | ||||||||||
Futures | $ (970,077) | $ — | $ — | $ — | $ (970,077) |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||
Fund | Total
Value at 6/30/20 |
Interest
Rate Contracts |
Foreign
Exchange Contracts |
Credit
Contracts |
Equity
Contracts | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 1,740,263 | $ — | $ 1,740,263 | $ — | $ — | |||||
Futures | 1,255,437 | 1,255,437 | — | — | — | |||||
Swaps | (293,044) | (213,829) | — | (79,215) | — | |||||
Written Options | 10,091 | — | — | 10,091 | — | |||||
Totals | $ 2,712,747 | $ 1,041,608 | $ 1,740,263 | $ (69,124) | $ — | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 179,754 | $ — | $ 179,754 | $ — | $ — | |||||
Futures | 33,276,526 | 33,276,526 | — | — | — | |||||
Purchased Options | (1,578,211) | (1,663,643) | 85,432 | — | — | |||||
Swaps | (4,202,458) | (3,971,023) | — | (231,435) | — | |||||
Written Options | 2,877,627 | 2,725,589 | 152,038 | — | — | |||||
Totals | $ 30,553,238 | $ 30,367,449 | $ 417,224 | $ (231,435) | $ — | |||||
Extended-Duration Bond | ||||||||||
Futures | $ (71,493) | $ — | $ — | $ — | $ (71,493) | |||||
Global Bond | ||||||||||
Forwards | $ (2,101,317) | $ — | $ (2,101,317) | $ — | $ — | |||||
Futures | (6,166,991) | (6,166,991) | — | — | — | |||||
Purchased Options | (61,810) | — | (61,810) | — | — | |||||
Swaps | 3,288,241 | — | — | 3,288,241 | — | |||||
Totals | $ (5,041,877) | $ (6,166,991) | $ (2,163,127) | $ 3,288,241 | $ — | |||||
Defensive Market Strategies | ||||||||||
Forwards | $ (268,642) | $ — | $ (268,642) | $ — | $ — | |||||
Futures | 1,148,355 | — | — | — | 1,148,355 | |||||
Written Options | (28,721,738) | — | — | — | (28,721,738) | |||||
Totals | $ (27,842,025) | $ — | $ (268,642) | $ — | $ (27,573,383) | |||||
Equity Index | ||||||||||
Futures | $ (2,285,844) | $ — | $ — | $ — | $ (2,285,844) | |||||
Value Equity | ||||||||||
Forwards | $ (1,022,505) | $ — | $ (1,022,505) | $ — | $ — | |||||
Futures | 7,407,763 | — | — | — | 7,407,763 | |||||
Totals | $ 6,385,258 | $ — | $ (1,022,505) | $ — | $ 7,407,763 | |||||
Growth Equity | ||||||||||
Futures | $ 3,497,171 | $ — | $ — | $ — | $ 3,497,171 | |||||
Small Cap Equity | ||||||||||
Futures | $ 2,471,451 | $ — | $ — | $ — | $ 2,471,451 | |||||
International Equity Index | ||||||||||
Futures | $ (7,394,495) | $ — | $ — | $ — | $ (7,394,495) |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||
Fund | Total
Value at 6/30/20 |
Interest
Rate Contracts |
Foreign
Exchange Contracts |
Credit
Contracts |
Equity
Contracts | |||||
International Equity | ||||||||||
Forwards | $ (1,966,547) | $ — | $ (1,966,547) | $ — | $ — | |||||
Futures | 1,477,664 | — | — | — | 1,477,664 | |||||
Swaps | 1,723,825 | — | — | — | 1,723,825 | |||||
Totals | $ 1,234,942 | $ — | $ (1,966,547) | $ — | $ 3,201,489 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ (224,790) | $ — | $ (224,790) | $ — | $ — | |||||
Futures | 2,383,505 | — | — | — | 2,383,505 | |||||
Swaps | 524,212 | — | — | — | 524,212 | |||||
Totals | $ 2,682,927 | $ — | $ (224,790) | $ — | $ 2,907,717 | |||||
Global Real Estate Securities | ||||||||||
Futures | $ 733,502 | $ — | $ — | $ — | $ 733,502 | |||||
Strategic Alternatives | ||||||||||
Forwards | $ (161,302) | $ — | $ (161,302) | $ — | $ — | |||||
Futures | 1,898,542 | 1,898,542 | — | — | — | |||||
Purchased Options | (195,560) | — | — | — | (195,560) | |||||
Swaps | 258,070 | 265,978 | (18,041) | 508 | 9,625 | |||||
Written Options | (8,638,325) | (318,933) | — | — | (8,319,392) | |||||
Totals | $ (6,838,575) | $ 1,845,587 | $ (179,343) | $ 508 | $ (8,505,327) |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total
Value at 6/30/20 |
Interest
Rate Contracts |
Foreign
Exchange Contracts |
Credit
Contracts |
Equity
Contracts | |||||
MyDestination 2015 | ||||||||||
Futures | $ (17,466) | $ 27,930 | $ — | $ — | $ (45,396) | |||||
MyDestination 2025 | ||||||||||
Futures | $ (105,146) | $ 67,919 | $ — | $ — | $ (173,065) | |||||
MyDestination 2035 | ||||||||||
Futures | $ (131,960) | $ 24,382 | $ — | $ — | $ (156,342) | |||||
MyDestination 2045 | ||||||||||
Futures | $ (124,823) | $ 11,238 | $ — | $ — | $ (136,061) | |||||
MyDestination 2055 | ||||||||||
Futures | $ (41,910) | $ 1,115 | $ — | $ — | $ (43,025) | |||||
Conservative Allocation | ||||||||||
Futures | $ (22,813) | $ (474) | $ — | $ — | $ (22,339) | |||||
Balanced Allocation | ||||||||||
Futures | $ (138,773) | $ 108,381 | $ — | $ — | $ (247,154) | |||||
Growth Allocation | ||||||||||
Futures | $ (138,549) | $ 39,043 | $ — | $ — | $ (177,592) |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total
Value at 6/30/20 |
Interest
Rate Contracts |
Foreign
Exchange Contracts |
Credit
Contracts |
Equity
Contracts | |||||
Aggressive Allocation | ||||||||||
Futures | $ (276,413) | $ — | $ — | $ — | $ (276,413) | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 372,505 | $ — | $ 372,505 | $ — | $ — | |||||
Futures | 171,318 | 171,318 | — | — | — | |||||
Swaps | (990,937) | (1,577,133) | — | 586,196 | — | |||||
Written Options | 24,988 | — | — | 24,988 | — | |||||
Totals | $ (422,126) | $ (1,405,815) | $ 372,505 | $ 611,184 | $ — | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 443,865 | $ — | $ 443,865 | $ — | $ — | |||||
Futures | 4,380,262 | 4,380,262 | — | — | — | |||||
Purchased Options | (104,887) | (104,887) | — | — | — | |||||
Swaps | (13,535,749) | (12,914,003) | — | (621,746) | — | |||||
Written Options | (26,347) | (26,347) | — | — | — | |||||
Totals | $ (8,842,856) | $ (8,664,975) | $ 443,865 | $ (621,746) | $ — | |||||
Global Bond | ||||||||||
Forwards | $ 389,336 | $ — | $ 389,336 | $ — | $ — | |||||
Futures | (1,060,278) | (1,060,278) | — | — | — | |||||
Swaps | (1,361,409) | — | — | (1,361,409) | — | |||||
Totals | $ (2,032,351) | $ (1,060,278) | $ 389,336 | $ (1,361,409) | $ — | |||||
Defensive Market Strategies | ||||||||||
Forwards | $ 235,062 | $ — | $ 235,062 | $ — | $ — | |||||
Futures | (238,312) | — | — | — | (238,312) | |||||
Written Options | 1,283,962 | — | — | — | 1,283,962 | |||||
Totals | $ 1,280,712 | $ — | $ 235,062 | $ — | $ 1,045,650 | |||||
Equity Index | ||||||||||
Futures | $ 975,644 | $ — | $ — | $ — | $ 975,644 | |||||
Value Equity | ||||||||||
Forwards | $ 550,838 | $ — | $ 550,838 | $ — | $ — | |||||
Futures | (133,134) | — | — | — | (133,134) | |||||
Totals | $ 417,704 | $ — | $ 550,838 | $ — | $ (133,134) | |||||
Growth Equity | ||||||||||
Futures | $ (587,335) | $ — | $ — | $ — | $ (587,335) | |||||
Small Cap Equity | ||||||||||
Futures | $ 577,952 | $ — | $ — | $ — | $ 577,952 | |||||
International Equity Index | ||||||||||
Futures | $ (235,534) | $ — | $ — | $ — | $ (235,534) |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total
Value at 6/30/20 |
Interest
Rate Contracts |
Foreign
Exchange Contracts |
Credit
Contracts |
Equity
Contracts | |||||
International Equity | ||||||||||
Forwards | $ 1,136,685 | $ — | $ 1,136,685 | $ — | $ — | |||||
Futures | (1,039,556) | — | — | — | (1,039,556) | |||||
Swaps | 65,815 | — | — | — | 65,815 | |||||
Totals | $ 162,944 | $ — | $ 1,136,685 | $ — | $ (973,741) | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ 277,612 | $ — | $ 277,612 | $ — | $ — | |||||
Futures | (1,013,749) | — | — | — | (1,013,749) | |||||
Swaps | (1,076,888) | — | — | — | (1,076,888) | |||||
Totals | $ (1,813,025) | $ — | $ 277,612 | $ — | $ (2,090,637) | |||||
Global Real Estate Securities | ||||||||||
Futures | $ (65,723) | $ — | $ — | $ — | $ (65,723) | |||||
Strategic Alternatives | ||||||||||
Forwards | $ 237,932 | $ — | $ 237,932 | $ — | $ — | |||||
Futures | 209,667 | 209,667 | — | — | — | |||||
Purchased Options | 11,598 | — | — | — | 11,598 | |||||
Swaps | (832,914) | (903,559) | (4,988) | — | 75,633 | |||||
Written Options | 342,627 | 11,254 | — | — | 331,373 | |||||
Totals | $ (31,090) | $ (682,638) | $ 232,944 | $ — | $ 418,604 |
Long Derivative Volume | ||||||||
Fund | Forward
Foreign Currency Contracts |
Financial
Futures Contracts |
Purchased
Option Contracts |
Swap
Contracts | ||||
MyDestination 2015 | $ — | $ 7,665,850 | $ — | $ — | ||||
MyDestination 2025 | — | 19,213,976 | — | — | ||||
MyDestination 2035 | — | 10,394,747 | — | — | ||||
MyDestination 2045 | — | 7,236,695 | — | — | ||||
MyDestination 2055 | — | 4,422,561 | — | — | ||||
Conservative Allocation | — | 9,188,985 | — | — | ||||
Balanced Allocation | — | 27,546,688 | — | — | ||||
Growth Allocation | — | 15,368,793 | — | — | ||||
Aggressive Allocation | — | 19,477,770 | — | — | ||||
Low-Duration Bond | 89,763,036 | 333,575,005 | — | 35,000,000 | ||||
Medium-Duration Bond | 149,704,513 | 947,609,186 | 492,402 | 388,886,089 | ||||
Global Bond | 194,668,542 | 149,862,240 | 61,810 | 14,796,420 | ||||
Defensive Market Strategies | 26,415,984 | — | — | — | ||||
Equity Index | — | 70,674,563 | — | — | ||||
Value Equity | 42,609,366 | 24,225,762 | — | — | ||||
Growth Equity | — | 28,066,860 | — | — |
Long Derivative Volume | ||||||||
Fund | Forward
Foreign Currency Contracts |
Financial
Futures Contracts |
Purchased
Option Contracts |
Swap
Contracts | ||||
Small Cap Equity | $ — | $13,139,630 | $ — | $ — | ||||
International Equity Index | — | 35,084,488 | — | — | ||||
International Equity | 122,652,186 | 77,944,608 | — | 7,549,317 | ||||
Emerging Markets Equity | 121,038,777 | 30,475,179 | — | 24,501,542 | ||||
Global Real Estate Securities | — | 4,635,847 | — | — | ||||
Strategic Alternatives | 429,758,912 | 33,699,632 | 18,122 | 173,556,270 |
Short Derivative Volume | ||||||||
Fund | Forward
Foreign Currency Contracts |
Financial
Futures Contracts |
Written
Option Contracts |
Swap
Contracts | ||||
Low-Duration Bond | $ 22,298,105 | $ 92,978,862 | $ 28,581 | $ 42,340,140 | ||||
Medium-Duration Bond | 81,803,567 | 423,302,514 | 1,628,368 | 218,338,657 | ||||
Global Bond | 178,581,286 | 89,887,114 | — | 30,772,277 | ||||
Defensive Market Strategies | 1,658,914 | 22,968,417 | 3,016,292 | — | ||||
Value Equity | 1,692,399 | — | — | — | ||||
International Equity | 149,273,996 | 21,502,547 | — | 9,733,503 | ||||
Emerging Markets Equity | 131,578,646 | 9,136,626 | — | 5,612,765 | ||||
Strategic Alternatives | 434,615,978 | 52,724,132 | 1,245,241 | 196,733,833 |
Fund | Advisory Fees | Sub-Adviser Fees | ||
MyDestination 2015 | 0.10% | N/A | ||
MyDestination 2025 | 0.10% | N/A | ||
MyDestination 2035 | 0.10% | N/A | ||
MyDestination 2045 | 0.10% | N/A | ||
MyDestination 2055 | 0.10% | N/A | ||
Conservative Allocation | 0.10% | N/A | ||
Balanced Allocation | 0.10% | N/A | ||
Growth Allocation | 0.10% | N/A | ||
Aggressive Allocation | 0.10% | N/A | ||
Money Market | 0.07% | 0.04% | ||
Low-Duration Bond | 0.11% | 0.18% | ||
Medium-Duration Bond | 0.13% | 0.19% | ||
Extended-Duration Bond | 0.25% | 0.20% | ||
Global Bond | 0.25% | 0.23% | ||
Defensive Market Strategies | 0.33% | 0.28% | ||
Equity Index | 0.08% | 0.01% | ||
Value Equity | 0.33% | 0.25% | ||
Growth Equity | 0.33% | 0.31% | ||
Small Cap Equity | 0.33% | 0.57% | ||
International Equity Index | 0.10% | 0.01% | ||
International Equity | 0.33% | 0.44% | ||
Emerging Markets Equity | 0.33% | 0.54% | ||
Global Real Estate Securities | 0.30% | 0.38% | ||
Strategic Alternatives | 0.40% | 0.46% |
For
the Period January 1, 2020 to April 30, 2020 |
For
the Period May 1, 2020 to June 30, 2020 | |||||||
Fund | Institutional
Class |
Investor
Class |
Institutional
Class |
Investor
Class | ||||
MyDestination 2015 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
MyDestination 2025 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
MyDestination 2035 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
MyDestination 2045 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
MyDestination 2055 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
Equity Index | 0.15% | N/A | N/A | N/A | ||||
International Equity Index | 0.22% | N/A | 0.22% | N/A | ||||
Emerging Markets Equity | 1.32% | 1.57% | N/A | 1.57% |
Institutional Class | Investor Class | |||||||||||||||
Fund | 2020 | 2021 | 2022 | 2023 | 2020 | 2021 | 2022 | 2023 | ||||||||
MyDestination 2015 | $ — | $23,338 | $ 85,750 | $51,615 | $ 30,368 | $106,157 | $356,439 | $175,044 | ||||||||
MyDestination 2025 | — | 34,998 | 107,568 | 65,133 | — | 139,632 | 352,126 | 181,951 | ||||||||
MyDestination 2035 | — | — | 2,787 | — | — | 31,324 | — | — | ||||||||
MyDestination 2045 | — | — | — | — | 10,508 | 26,433 | — | — | ||||||||
MyDestination 2055 | 28,120 | 27,146 | 22,333 | 7,173 | 110,489 | 90,006 | 40,211 | 7,064 | ||||||||
Equity Index | — | — | — | — | N/A | N/A | N/A | N/A | ||||||||
International Equity Index | — | — | 65,639 | — | N/A | N/A | N/A | N/A | ||||||||
Emerging Markets Equity | — | — | — | — | 38,511 | — | — | — |
Fund | Expenses
Paid Through Brokerage Service Agreements | |
Value Equity | $ 6,331 | |
Growth Equity | 15,912 | |
Small Cap Equity | 26,593 | |
Emerging Markets Equity | 89 | |
Global Real Estate Securities | 7,979 |
Fund | MyDestination
2015 Fund |
MyDestination
2025 Fund |
MyDestination
2035 Fund |
MyDestination
2045 Fund |
MyDestination
2055 Fund | |||||||
Money Market | 0.67% | 1.37% | 1.40% | 0.95% | 0.32% | |||||||
Low-Duration Bond | 10.19 | 9.18 | — | — | — | |||||||
Medium-Duration Bond | 9.09 | 19.47 | 9.45 | 3.30 | 0.74 | |||||||
Global Bond | 11.17 | 18.74 | 7.27 | 2.57 | 0.58 | |||||||
Defensive Market Strategies | 5.67 | 13.14 | 5.00 | 2.91 | 1.00 | |||||||
Equity Index | 5.06 | 15.49 | 16.21 | 14.80 | 5.32 | |||||||
Small Cap Equity | 1.95 | 6.06 | 6.68 | 5.76 | 2.07 | |||||||
International Equity Index | 8.54 | 26.28 | 27.79 | 24.78 | 8.90 | |||||||
Emerging Markets Equity | 3.58 | 10.93 | 11.50 | 10.46 | 3.76 | |||||||
Global Real Estate Securities | 2.16 | 6.08 | 5.88 | 5.56 | 1.99 | |||||||
Strategic Alternatives | 8.55 | 10.40 | — | — | — |
Fund | Conservative
Allocation Fund |
Balanced
Allocation Fund |
Growth
Allocation Fund |
Aggressive
Allocation Fund | ||||||
Money Market | 0.47% | 1.95% | 1.98% | 1.25% | ||||||
Low-Duration Bond | 24.41 | 9.45 | 3.14 | — | ||||||
Medium-Duration Bond | 3.49 | 19.27 | 6.53 | — |
Fund | Conservative
Allocation Fund |
Balanced
Allocation Fund |
Growth
Allocation Fund |
Aggressive
Allocation Fund | ||||||
Extended-Duration Bond | —% | 22.74% | 7.87% | —% | ||||||
Global Bond | 2.83 | 22.39 | 7.19 | — | ||||||
Defensive Market Strategies | 3.14 | 13.33 | 4.56 | — | ||||||
Value Equity | 2.76 | 15.14 | 20.26 | 24.01 | ||||||
Growth Equity | 1.78 | 9.96 | 12.98 | 15.08 | ||||||
Small Cap Equity | 0.54 | 5.49 | 8.27 | 9.84 | ||||||
International Equity | 2.77 | 15.29 | 20.43 | 24.31 | ||||||
Emerging Markets Equity | 1.91 | 10.87 | 14.53 | 17.27 | ||||||
Global Real Estate Securities | 2.49 | 12.72 | 14.21 | — | ||||||
Strategic Alternatives | 6.74 | 16.28 | 7.91 | — |
Total
Value at 12/31/19 |
Purchases | Sales Proceeds | Net
Realized Gains/(Losses) |
Change
in Unrealized Appreciation/ (Depreciation) |
Total
Value at 6/30/20 |
Dividend
Income |
Distributions
of Realized Gains | ||||||||
MyDestination 2015 | |||||||||||||||
Money Market | $ 7,928 | $ 43,838 | $ 41,563 | $ — | $ — | $ 10,203 | $ 36 | $ — | |||||||
Low-Duration Bond | 101,492 | 13,449 | 15,400 | (78) | 1,262 | 100,725 | 870 | — | |||||||
Medium-Duration Bond | 168,838 | 8,418 | 17,250 | 346 | 7,656 | 168,008 | 1,918 | — | |||||||
Global Bond | 67,577 | 833 | 1,000 | (9) | (1,676) | 65,725 | 84 | 449 | |||||||
Defensive Market Strategies | 73,293 | 1,787 | 3,250 | 375 | (3,925) | 68,280 | 465 | 322 | |||||||
Equity Index | 113,490 | 14,680 | 17,080 | 1,428 | (5,980) | 106,538 | 881 | 299 | |||||||
Small Cap Equity | 11,423 | 1,600 | 1,000 | (770) | (739) | 10,514 | — | — | |||||||
International Equity Index | 64,455 | 8,000 | 7,600 | (708) | (6,665) | 57,482 | — | — | |||||||
Emerging Markets Equity | 20,054 | 2,600 | 1,100 | 48 | (1,334) | 20,268 | — | — | |||||||
Global Real Estate Securities | 5,771 | 105 | — | — | (1,098) | 4,778 | 65 | 40 | |||||||
Strategic Alternatives | 31,789 | 1,000 | 500 | 4 | (1,124) | 31,169 | — | — | |||||||
$ 666,110 | $ 96,310 | $105,743 | $ 636 | $(13,623) | $ 643,690 | $4,319 | $1,110 | ||||||||
MyDestination 2025 | |||||||||||||||
Money Market | $ 23,192 | $ 83,374 | $ 85,553 | $ — | $ — | $ 21,013 | $ 93 | $ — | |||||||
Low-Duration Bond | 80,258 | 16,129 | 6,650 | (42) | 1,023 | 90,718 | 758 | — | |||||||
Medium-Duration Bond | 358,573 | 27,120 | 43,000 | 1,230 | 15,992 | 359,915 | 4,120 | — | |||||||
Global Bond | 109,204 | 6,887 | 3,000 | (4) | (2,780) | 110,307 | 140 | 747 | |||||||
Defensive Market Strategies | 156,262 | 10,423 | — | — | (8,377) | 158,308 | 1,078 | 746 | |||||||
Equity Index | 343,997 | 30,531 | 35,000 | 9,669 | (23,252) | 325,945 | 2,748 | 934 | |||||||
Small Cap Equity | 34,241 | 2,050 | — | — | (3,581) | 32,710 | — | — | |||||||
International Equity Index | 193,149 | 26,900 | 21,700 | (2,223) | (19,215) | 176,911 | — | — | |||||||
Emerging Markets Equity | 57,681 | 8,600 | — | — | (4,311) | 61,970 | — | — | |||||||
Global Real Estate Securities | 15,837 | 695 | — | — | (3,076) | 13,456 | 184 | 112 | |||||||
Strategic Alternatives | 36,524 | 2,701 | — | — | (1,294) | 37,931 | — | — | |||||||
$1,408,918 | $215,410 | $194,903 | $ 8,630 | $(48,871) | $1,389,184 | $9,121 | $2,539 |
Total
Value at 12/31/19 |
Purchases | Sales Proceeds | Net
Realized Gains/(Losses) |
Change
in Unrealized Appreciation/ (Depreciation) |
Total
Value at 6/30/20 |
Dividend
Income |
Distributions
of Realized Gains | ||||||||
MyDestination 2035 | |||||||||||||||
Money Market | $ 23,191 | $ 57,519 | $ 59,232 | $ — | $ — | $ 21,478 | $ 84 | $ — | |||||||
Medium-Duration Bond | 165,821 | 21,659 | 21,179 | 805 | 7,457 | 174,563 | 1,959 | — | |||||||
Global Bond | 41,450 | 4,030 | 1,706 | (3) | (994) | 42,777 | 52 | 279 | |||||||
Defensive Market Strategies | 55,874 | 7,195 | — | — | (2,866) | 60,203 | 389 | 269 | |||||||
Equity Index | 344,040 | 26,454 | 15,417 | 3,654 | (17,505) | 341,226 | 2,877 | 977 | |||||||
Small Cap Equity | 33,726 | 5,611 | — | — | (3,285) | 36,052 | — | — | |||||||
International Equity Index | 195,856 | 24,254 | 11,900 | (457) | (20,685) | 187,068 | — | — | |||||||
Emerging Markets Equity | 57,631 | 11,757 | — | — | (4,212) | 65,176 | — | — | |||||||
Global Real Estate Securities | 13,993 | 1,673 | — | — | (2,665) | 13,001 | 178 | 108 | |||||||
$ 931,582 | $160,152 | $109,434 | $ 3,999 | $(44,755) | $ 941,544 | $5,539 | $1,633 | ||||||||
MyDestination 2045 | |||||||||||||||
Money Market | $ 17,536 | $ 42,536 | $ 45,519 | $ — | $ — | $ 14,553 | $ 62 | $ — | |||||||
Medium-Duration Bond | 57,282 | 7,663 | 6,910 | 276 | 2,618 | 60,929 | 678 | — | |||||||
Global Bond | 14,340 | 1,341 | 198 | 1 | (363) | 15,121 | 18 | 98 | |||||||
Defensive Market Strategies | 34,431 | 2,711 | 278 | 7 | (1,853) | 35,018 | 231 | 160 | |||||||
Equity Index | 310,665 | 20,873 | 7,539 | 1,665 | (14,162) | 311,502 | 2,604 | 885 | |||||||
Small Cap Equity | 30,688 | 4,141 | 823 | (286) | (2,645) | 31,075 | — | — | |||||||
International Equity Index | 176,653 | 20,547 | 12,078 | (413) | (17,867) | 166,842 | — | — | |||||||
Emerging Markets Equity | 49,817 | 13,008 | 131 | 9 | (3,425) | 59,278 | — | — | |||||||
Global Real Estate Securities | 12,338 | 2,487 | 277 | (4) | (2,255) | 12,289 | 165 | 100 | |||||||
$ 703,750 | $115,307 | $ 73,753 | $ 1,255 | $(39,952) | $ 706,607 | $3,758 | $1,243 | ||||||||
MyDestination 2055 | |||||||||||||||
Money Market | $ 5,503 | $ 33,207 | $ 33,826 | $ — | $ — | $ 4,884 | $ 21 | $ — | |||||||
Medium-Duration Bond | 12,056 | 4,989 | 4,028 | 221 | 402 | 13,640 | 146 | — | |||||||
Global Bond | 3,018 | 1,234 | 812 | (17) | (38) | 3,385 | 4 | 18 | |||||||
Defensive Market Strategies | 10,851 | 2,521 | 742 | (38) | (557) | 12,035 | 81 | 56 | |||||||
Equity Index | 101,682 | 18,082 | 3,687 | 754 | (4,914) | 111,917 | 929 | 316 | |||||||
Small Cap Equity | 10,044 | 3,226 | 1,127 | (418) | (571) | 11,154 | — | — | |||||||
International Equity Index | 57,819 | 14,873 | 6,575 | (711) | (5,458) | 59,948 | — | — | |||||||
Emerging Markets Equity | 16,306 | 6,791 | 778 | 176 | (1,196) | 21,299 | — | — | |||||||
Global Real Estate Securities | 4,030 | 1,576 | 449 | (4) | (742) | 4,411 | 58 | 35 | |||||||
$ 221,309 | $ 86,499 | $ 52,024 | $ (37) | $(13,074) | $ 242,673 | $1,239 | $ 425 |
Total
Value at 12/31/19 |
Purchases | Sales Proceeds | Net
Realized Gains/(Losses) |
Change
in Unrealized Appreciation/ (Depreciation) |
Total
Value at 6/30/20 |
Dividend
Income |
Distributions
of Realized Gains | ||||||||
Conservative Allocation | |||||||||||||||
Money Market | $ 7,508 | $ 40,265 | $ 40,603 | $ — | $ — | $ 7,170 | $ 26 | $ — | |||||||
Low-Duration Bond | 253,148 | 6,739 | 21,495 | (8) | 2,906 | 241,290 | 2,175 | — | |||||||
Medium-Duration Bond | 67,538 | 819 | 7,064 | 156 | 3,046 | 64,495 | 769 | — | |||||||
Global Bond | 16,919 | 482 | 340 | (1) | (387) | 16,673 | 21 | 114 | |||||||
Defensive Market Strategies | 39,041 | 3,736 | 2,910 | 161 | (2,208) | 37,820 | 257 | 178 | |||||||
Value Equity | 30,317 | 5,680 | 1,632 | (689) | (4,603) | 29,073 | 262 | 429 | |||||||
Growth Equity | 30,387 | 5,261 | 7,137 | 1,419 | 1,064 | 30,994 | 49 | 492 | |||||||
Small Cap Equity | 5,968 | 1,793 | 3,076 | (2,034) | 238 | 2,889 | — | — | |||||||
International Equity | 34,607 | 7,551 | 6,411 | (2,099) | (1,901) | 31,747 | — | — | |||||||
Emerging Markets Equity | 9,811 | 2,001 | 373 | 22 | (614) | 10,847 | — | — | |||||||
Global Real Estate Securities | 6,342 | 772 | 388 | 1 | (1,217) | 5,510 | 75 | 46 | |||||||
Strategic Alternatives | 25,945 | 112 | 556 | (24) | (888) | 24,589 | — | — | |||||||
$ 527,531 | $ 75,211 | $ 91,985 | $ (3,096) | $ (4,564) | $ 503,097 | $3,634 | $1,259 | ||||||||
Balanced Allocation | |||||||||||||||
Money Market | $ 32,553 | $ 58,353 | $ 60,985 | $ — | $ — | $ 29,921 | $ 128 | $ — | |||||||
Low-Duration Bond | 100,938 | 3,864 | 12,500 | (8) | 1,148 | 93,442 | 864 | — | |||||||
Medium-Duration Bond | 373,501 | 16,091 | 51,190 | 1,235 | 16,560 | 356,197 | 4,191 | — | |||||||
Extended-Duration Bond | 67,709 | 7,028 | 14,520 | (773) | 5,324 | 64,768 | — | 288 | |||||||
Global Bond | 137,204 | 2,080 | 4,000 | (148) | (3,344) | 131,792 | 171 | — | |||||||
Defensive Market Strategies | 166,321 | 4,449 | 1,900 | 244 | (8,576) | 160,538 | — | 757 | |||||||
Value Equity | 173,338 | 29,546 | 13,000 | (7,659) | (22,828) | 159,397 | — | 2,352 | |||||||
Growth Equity | 178,384 | 10,615 | 29,250 | (4) | 13,284 | 173,029 | — | 2,746 | |||||||
Small Cap Equity | 34,666 | 4,040 | 4,000 | (3,352) | (1,696) | 29,658 | — | — | |||||||
International Equity | 198,435 | 14,005 | 12,000 | (4,095) | (21,147) | 175,198 | — | — | |||||||
Emerging Markets Equity | 57,342 | 9,500 | 1,000 | 58 | (4,274) | 61,626 | — | — | |||||||
Global Real Estate Securities | 32,989 | 1,569 | — | — | (6,424) | 28,134 | 385 | 909 | |||||||
Strategic Alternatives | 61,490 | 2,000 | 1,900 | (92) | (2,118) | 59,380 | — | 233 | |||||||
$1,614,870 | $163,140 | $206,245 | $(14,594) | $(34,091) | $1,523,080 | $5,739 | $7,285 |
Total
Value at 12/31/19 |
Purchases | Sales Proceeds | Net
Realized Gains/(Losses) |
Change
in Unrealized Appreciation/ (Depreciation) |
Total
Value at 6/30/20 |
Dividend
Income |
Distributions
of Realized Gains | ||||||||
Growth Allocation | |||||||||||||||
Money Market | $ 24,106 | $ 73,964 | $ 67,813 | $ — | $ — | $ 30,257 | $ 110 | $ — | |||||||
Low-Duration Bond | 34,812 | 1,928 | 6,000 | (40) | 390 | 31,090 | 294 | — | |||||||
Medium-Duration Bond | 127,032 | 13,192 | 25,700 | 709 | 5,452 | 120,685 | 1,437 | — | |||||||
Extended-Duration Bond | 23,027 | 5,220 | 7,466 | (242) | 1,876 | 22,415 | 252 | 96 | |||||||
Global Bond | 46,303 | 2,199 | 4,900 | (212) | (1,046) | 42,344 | 60 | 304 | |||||||
Defensive Market Strategies | 57,242 | 1,223 | 500 | 9 | (3,074) | 54,900 | 374 | 259 | |||||||
Value Equity | 235,802 | 24,493 | 6,000 | (2,364) | (38,662) | 213,269 | 1,882 | 3,087 | |||||||
Growth Equity | 237,349 | 4,774 | 32,099 | (1,616) | 17,065 | 225,473 | 358 | 3,578 | |||||||
Small Cap Equity | 46,542 | 3,850 | 1,000 | (304) | (4,461) | 44,627 | — | — | |||||||
International Equity | 270,756 | 13,099 | 16,000 | (4,662) | (29,176) | 234,017 | — | — | |||||||
Emerging Markets Equity | 76,979 | 12,050 | 1,042 | 55 | (5,654) | 82,388 | — | — | |||||||
Global Real Estate Securities | 37,573 | 1,813 | 750 | (6) | (7,200) | 31,430 | 430 | 260 | |||||||
Strategic Alternatives | 28,937 | 1,951 | 1,000 | (11) | (1,032) | 28,845 | — | — | |||||||
$1,246,460 | $159,756 | $170,270 | $ (8,684) | $(65,522) | $1,161,740 | $5,197 | $7,584 | ||||||||
Aggressive Allocation | |||||||||||||||
Money Market | $ 18,929 | $ 45,614 | $ 45,333 | $ — | $ — | $ 19,210 | $ 76 | $ — | |||||||
Value Equity | 287,664 | 15,504 | 1,063 | (500) | (48,821) | 252,784 | 2,274 | 3,730 | |||||||
Growth Equity | 292,984 | 4,574 | 54,050 | (1,456) | 20,004 | 262,056 | 416 | 4,158 | |||||||
Small Cap Equity | 57,440 | 2,000 | 811 | (229) | (5,279) | 53,121 | — | — | |||||||
International Equity | 328,298 | 12,000 | 21,000 | (5,970) | (34,831) | 278,497 | — | — | |||||||
Emerging Markets Equity | 94,172 | 15,000 | 3,828 | (567) | (6,887) | 97,890 | — | — | |||||||
$1,079,487 | $ 94,692 | $126,085 | $ (8,722) | $(75,814) | $ 963,558 | $2,766 | $7,888 | ||||||||
Low-Duration Bond | |||||||||||||||
Money Market | $ 21,272 | $335,362 | $324,103 | $ — | $ — | $ 32,531 | $ 103 | $ — | |||||||
Medium-Duration Bond | |||||||||||||||
Money Market | $ 56,397 | $820,379 | $768,666 | $ — | $ — | $ 108,110 | $ 287 | $ — | |||||||
Extended-Duration Bond | |||||||||||||||
Money Market | $ 7,809 | $165,287 | $158,858 | $ — | $ — | $ 14,238 | $ 46 | $ — | |||||||
Global Bond | |||||||||||||||
Money Market | $ 28,765 | $145,572 | $135,053 | $ — | $ — | $ 39,284 | $ 121 | $ — | |||||||
Defensive Market Strategies | |||||||||||||||
Money Market | $ 68,295 | $257,789 | $263,326 | $ — | $ — | $ 62,758 | $ 284 | $ — | |||||||
Equity Index | |||||||||||||||
Money Market | $ 53,884 | $215,475 | $199,331 | $ — | $ — | $ 70,028 | $ 227 | $ — | |||||||
Value Equity | |||||||||||||||
Money Market | $ 28,845 | $398,256 | $383,251 | $ — | $ — | $ 43,850 | $ 167 | $ — | |||||||
Growth Equity | |||||||||||||||
Money Market | $ 52,530 | $606,789 | $602,566 | $ — | $ — | $ 56,753 | $ 207 | $ — |
Total
Value at 12/31/19 |
Purchases | Sales Proceeds | Net
Realized Gains/(Losses) |
Change
in Unrealized Appreciation/ (Depreciation) |
Total
Value at 6/30/20 |
Dividend
Income |
Distributions
of Realized Gains | ||||||||
Small Cap Equity | |||||||||||||||
Money Market | $ 14,895 | $140,898 | $124,485 | $ — | $ — | $ 31,308 | $ 83 | $ — | |||||||
International Equity Index | |||||||||||||||
Money Market | $ 30,770 | $256,581 | $268,958 | $ — | $ — | $ 18,393 | $ 152 | $ — | |||||||
International Equity | |||||||||||||||
Money Market | $ 56,058 | $469,709 | $453,325 | $ — | $ — | $ 72,442 | $ 248 | $ — | |||||||
Emerging Markets Equity | |||||||||||||||
Money Market | $ 14,969 | $135,029 | $128,645 | $ — | $ — | $ 21,353 | $ 64 | $ — | |||||||
Global Real Estate Securities | |||||||||||||||
Money Market | $ 7,061 | $ 50,127 | $ 50,531 | $ — | $ — | $ 6,657 | $ 29 | $ — | |||||||
Strategic Alternatives | |||||||||||||||
Money Market | $ 48,154 | $139,460 | $137,175 | $ — | $ — | $ 50,439 | $ 209 | $ — |
Fund | Value
of Securities Loaned |
Value
of Non-cash Collateral |
Value
of Cash Collateral |
Total
Value of Collateral * | ||||
Low-Duration Bond | $ 64,248,308 | $ 59,586,523 | $ 6,123,675 | $ 65,710,198 | ||||
Medium-Duration Bond | 105,268,187 | 95,715,997 | 11,871,155 | 107,587,152 | ||||
Extended-Duration Bond | 35,547,117 | 35,140,329 | 1,177,971 | 36,318,300 | ||||
Global Bond | 58,625,661 | 47,087,816 | 13,104,295 | 60,192,111 | ||||
Defensive Market Strategies | 50,519,523 | 16,215,098 | 35,669,941 | 51,885,039 | ||||
Equity Index | 50,987,760 | 47,810,228 | 4,262,211 | 52,072,439 | ||||
Value Equity | 8,052,712 | 1,093,282 | 7,181,521 | 8,274,803 | ||||
Growth Equity | 135,710,430 | 127,022,929 | 11,621,953 | 138,644,882 | ||||
Small Cap Equity | 56,559,508 | 41,655,814 | 16,503,541 | 58,159,355 | ||||
International Equity Index | 31,001,437 | 14,973,558 | 18,029,669 | 33,003,227 | ||||
International Equity | 22,036,899 | 14,128,427 | 8,859,040 | 22,987,467 | ||||
Emerging Markets Equity | 6,758,615 | 6,642,360 | 1,104,610 | 7,746,970 | ||||
Global Real Estate Securities | 10,480,026 | 10,963,476 | — | 10,963,476 |
Cost
of Purchases and Proceeds from Sales and Maturities of Long-Term Securities (other than U.S. Government Obligations) |
Cost
of Purchases and Proceeds from Sales and Maturities of Long-Term U.S Government Obligations | |||||||
Fund | Purchases | Sale
and Maturity Proceeds |
Purchases | Sale
and Maturity Proceeds | ||||
MyDestination 2015 | $ 52,473,023 | $ 64,180,000 | $ — | $ — | ||||
MyDestination 2025 | 132,037,655 | 109,350,000 | — | — | ||||
MyDestination 2035 | 102,633,763 | 50,200,762 | — | — | ||||
MyDestination 2045 | 72,770,926 | 29,549,281 | — | — | ||||
MyDestination 2055 | 53,292,230 | 18,266,705 | — | — | ||||
Conservative Allocation | 34,947,767 | 51,383,076 | — | — | ||||
Balanced Allocation | 104,787,039 | 145,260,000 | — | — | ||||
Growth Allocation | 85,792,560 | 102,454,906 | — | — | ||||
Aggressive Allocation | 49,078,006 | 80,750,000 | — | — | ||||
Money Market | — | — | — | — |
Cost
of Purchases and Proceeds from Sales and Maturities of Long-Term Securities (other than U.S. Government Obligations) |
Cost
of Purchases and Proceeds from Sales and Maturities of Long-Term U.S Government Obligations | |||||||
Fund | Purchases | Sale
and Maturity Proceeds |
Purchases | Sale
and Maturity Proceeds | ||||
Low-Duration Bond | $ 228,930,064 | $ 207,524,352 | $1,164,542,878 | $1,229,328,346 | ||||
Medium-Duration Bond | 365,193,836 | 260,418,548 | 4,606,177,463 | 4,806,646,997 | ||||
Extended-Duration Bond | 64,772,770 | 18,133,841 | 55,817,058 | 95,869,918 | ||||
Global Bond | 89,306,407 | 77,449,792 | 134,246,787 | 133,915,380 | ||||
Defensive Market Strategies | 420,861,068 | 423,775,926 | — | — | ||||
Equity Index | 29,228,776 | 1,953,496 | — | — | ||||
Value Equity | 1,168,312,025 | 1,145,713,993 | — | — | ||||
Growth Equity | 616,503,413 | 734,933,338 | — | — | ||||
Small Cap Equity | 312,634,826 | 319,264,290 | — | — | ||||
International Equity Index | 97,111,513 | 45,151,073 | — | — | ||||
International Equity | 533,283,635 | 550,641,258 | — | — | ||||
Emerging Markets Equity | 239,290,453 | 173,478,761 | — | — | ||||
Global Real Estate Securities | 208,304,475 | 199,859,347 | — | — | ||||
Strategic Alternatives | 322,568,769 | 342,226,806 | 114,803,647 | 98,456,511 |
Six Months Ended 6/30/20 | Year Ended 12/31/19 | |||||||
Fund | Institutional
Class |
Investor
Class |
Institutional
Class |
Investor
Class | ||||
MyDestination 2015 | ||||||||
Shares sold | 1,771,989 | 3,066,302 | 5,158,213 | 4,844,500 | ||||
Shares reinvested | — | — | 559,684 | 1,952,980 | ||||
Shares redeemed | (1,533,522) | (4,973,657) | (3,068,691) | (9,086,967) | ||||
Net increase (decrease) | 238,467 | (1,907,355) | 2,649,206 | (2,289,487) | ||||
MyDestination 2025 | ||||||||
Shares sold | 5,781,227 | 5,125,693 | 10,994,862 | 10,950,754 | ||||
Shares reinvested | — | — | 1,334,327 | 3,668,881 | ||||
Shares redeemed | (3,004,120) | (7,221,360) | (4,977,012) | (11,030,457) | ||||
Net increase (decrease) | 2,777,107 | (2,095,667) | 7,352,177 | 3,589,178 | ||||
MyDestination 2035 | ||||||||
Shares sold | 5,078,073 | 3,949,557 | 8,627,301 | 9,078,117 | ||||
Shares reinvested | — | — | 915,016 | 2,121,864 | ||||
Shares redeemed | (1,460,761) | (2,778,030) | (3,590,511) | (5,865,794) | ||||
Net increase (decrease) | 3,617,312 | 1,171,527 | 5,951,806 | 5,334,187 | ||||
MyDestination 2045 | ||||||||
Shares sold | 4,104,966 | 3,013,009 | 6,343,932 | 6,961,249 | ||||
Shares reinvested | — | (8) | 810,936 | 1,540,878 | ||||
Shares redeemed | (960,862) | (1,720,974) | (3,384,656) | (4,302,572) | ||||
Net increase (decrease) | 3,144,104 | 1,292,027 | 3,770,212 | 4,199,555 |
Six Months Ended 6/30/20 | Year Ended 12/31/19 | |||||||
Fund | Institutional
Class |
Investor
Class |
Institutional
Class |
Investor
Class | ||||
MyDestination 2055 | ||||||||
Shares sold | 1,968,672 | 1,687,615 | 2,254,239 | 2,980,112 | ||||
Shares reinvested | — | (8) | 231,456 | 410,459 | ||||
Shares redeemed | (312,344) | (686,777) | (1,614,674) | (1,187,683) | ||||
Net increase (decrease) | 1,656,328 | 1,000,830 | 871,021 | 2,202,888 | ||||
Conservative Allocation | ||||||||
Shares sold | 1,832,552 | 2,423,849 | 2,236,774 | 4,113,153 | ||||
Shares reinvested | — | — | 436,752 | 1,552,451 | ||||
Shares redeemed | (925,341) | (5,195,685) | (1,024,764) | (6,872,227) | ||||
Net increase (decrease) | 907,211 | (2,771,836) | 1,648,762 | (1,206,623) | ||||
Balanced Allocation | ||||||||
Shares sold | 4,385,766 | 2,038,829 | 6,029,393 | 4,653,123 | ||||
Shares reinvested | — | (2) | 1,971,376 | 6,248,266 | ||||
Shares redeemed | (1,992,255) | (9,659,823) | (3,789,186) | (14,563,358) | ||||
Net increase (decrease) | 2,393,511 | (7,620,996) | 4,211,583 | (3,661,969) | ||||
Growth Allocation | ||||||||
Shares sold | 5,669,817 | 1,577,119 | 3,334,747 | 3,143,548 | ||||
Shares reinvested | — | (8) | 2,260,314 | 6,601,445 | ||||
Shares redeemed | (1,838,490) | (7,601,219) | (2,451,859) | (11,164,910) | ||||
Net increase (decrease) | 3,831,327 | (6,024,108) | 3,143,202 | (1,419,917) | ||||
Aggressive Allocation | ||||||||
Shares sold | 2,685,195 | 1,266,204 | 3,720,629 | 2,481,588 | ||||
Shares reinvested | — | (2) | 2,225,911 | 7,719,037 | ||||
Shares redeemed | (1,313,458) | (6,391,507) | (1,717,716) | (10,063,469) | ||||
Net increase (decrease) | 1,371,737 | (5,125,305) | 4,228,824 | 137,156 | ||||
Money Market | ||||||||
Shares sold | 3,490,437,438 | 350,134,954 | 4,301,371,523 | 372,222,653 | ||||
Shares reinvested | 902,142 | 1,146,594 | 4,362,064 | 7,235,378 | ||||
Shares redeemed | (3,309,708,062) | (297,231,339) | (4,243,079,202) | (395,729,389) | ||||
Net increase (decrease) | 181,631,518 | 54,050,209 | 62,654,385 | (16,271,358) | ||||
Low-Duration Bond | ||||||||
Shares sold | 5,368,744 | 3,311,449 | 12,551,013 | 2,530,141 | ||||
Shares reinvested | 490,896 | 133,227 | 1,315,187 | 408,076 | ||||
Shares redeemed | (7,361,910) | (3,274,621) | (2,665,469) | (8,680,164) | ||||
Net increase (decrease) | (1,502,270) | 170,055 | 11,200,731 | (5,741,947) | ||||
Medium-Duration Bond | ||||||||
Shares sold | 8,040,735 | 5,328,566 | 13,540,278 | 4,682,843 | ||||
Shares reinvested | 1,109,432 | 222,616 | 3,796,051 | 738,258 | ||||
Shares redeemed | (12,777,741) | (3,388,468) | (6,207,432) | (3,889,971) | ||||
Net increase (decrease) | (3,627,574) | 2,162,714 | 11,128,897 | 1,531,130 |
Six Months Ended 6/30/20 | Year Ended 12/31/19 | |||||||
Fund | Institutional
Class |
Investor
Class |
Institutional
Class |
Investor
Class | ||||
Extended-Duration Bond | ||||||||
Shares sold | 1,371,648 | 3,025,665 | 1,144,874 | 2,164,773 | ||||
Shares reinvested | 111,372 | 119,541 | 273,186 | 268,885 | ||||
Shares redeemed | (1,617,413) | (2,449,725) | (869,183) | (2,073,902) | ||||
Net increase (decrease) | (134,393) | 695,481 | 548,877 | 359,756 | ||||
Global Bond | ||||||||
Shares sold | 2,384,980 | 1,813,590 | 7,165,911 | 3,993,143 | ||||
Shares reinvested | 436,758 | 103,536 | 1,668,672 | 370,923 | ||||
Shares redeemed | (2,253,365) | (3,099,946) | (4,101,504) | (4,325,191) | ||||
Net increase (decrease) | 568,373 | (1,182,820) | 4,733,079 | 38,875 | ||||
Defensive Market Strategies | ||||||||
Shares sold | 5,991,280 | 5,712,017 | 5,887,780 | 10,224,002 | ||||
Shares reinvested | 740,462 | 315,711 | 3,346,366 | 1,808,567 | ||||
Shares redeemed | (2,820,688) | (9,190,670) | (4,354,794) | (8,025,323) | ||||
Net increase (decrease) | 3,911,054 | (3,162,942) | 4,879,352 | 4,007,246 | ||||
Equity Index | ||||||||
Shares sold | 4,333,488 | 2,228,509 | 5,273,559 | 2,798,001 | ||||
Shares reinvested | 484,312 | 182,076 | 950,842 | 376,640 | ||||
Shares redeemed | (3,210,952) | (2,348,076) | (4,085,318) | (3,070,984) | ||||
Net increase (decrease) | 1,606,848 | 62,509 | 2,139,083 | 103,657 | ||||
Value Equity | ||||||||
Shares sold | 4,826,674 | 1,049,074 | 1,776,842 | 1,533,095 | ||||
Shares reinvested | 1,118,804 | 427,101 | 4,805,181 | 2,153,966 | ||||
Shares redeemed | (1,931,878) | (2,492,064) | (4,726,326) | (3,533,365) | ||||
Net increase (decrease) | 4,013,600 | (1,015,889) | 1,855,697 | 153,696 | ||||
Growth Equity | ||||||||
Shares sold | 1,958,736 | 3,252,331 | 2,648,920 | 2,755,516 | ||||
Shares reinvested | 569,535 | 480,894 | 3,361,800 | 2,756,872 | ||||
Shares redeemed | (5,726,604) | (4,228,303) | (6,050,380) | (5,306,239) | ||||
Net increase (decrease) | (3,198,333) | (495,078) | (39,660) | 206,149 | ||||
Small Cap Equity | ||||||||
Shares sold | 2,997,407 | 966,762 | 2,806,216 | 1,842,795 | ||||
Shares reinvested | — | 20 | 813,704 | 611,340 | ||||
Shares redeemed | (1,591,823) | (2,033,768) | (1,738,011) | (3,764,720) | ||||
Net increase (decrease) | 1,405,584 | (1,066,986) | 1,881,909 | (1,310,585) | ||||
International Equity Index | ||||||||
Shares sold | 10,380,958 | 7,423,012 | ||||||
Shares reinvested | — | 1,904,082 | ||||||
Shares redeemed | (6,769,510) | (2,703,988) | ||||||
Net increase (decrease) | 3,611,448 | 6,623,106 |
Six Months Ended 6/30/20 | Year Ended 12/31/19 | |||||||
Fund | Institutional
Class |
Investor
Class |
Institutional
Class |
Investor
Class | ||||
International Equity | ||||||||
Shares sold | 5,574,457 | 3,071,513 | 4,636,440 | 3,794,260 | ||||
Shares reinvested | — | 30 | 3,415,346 | 1,187,097 | ||||
Shares redeemed | (5,319,138) | (3,548,093) | (5,939,356) | (3,802,408) | ||||
Net increase (decrease) | 255,319 | (476,550) | 2,112,430 | 1,178,949 | ||||
Emerging Markets Equity | ||||||||
Shares sold | 9,242,467 | 1,414,482 | 4,547,780 | 2,102,847 | ||||
Shares reinvested | — | — | 1,150,802 | 160,273 | ||||
Shares redeemed | (1,058,493) | (1,790,793) | (2,152,678) | (2,318,633) | ||||
Net increase (decrease) | 8,183,974 | (376,311) | 3,545,904 | (55,513) | ||||
Global Real Estate Securities | ||||||||
Shares sold | 1,506,850 | 1,308,185 | 2,054,553 | 2,974,207 | ||||
Shares reinvested | 361,321 | 199,596 | 1,142,558 | 726,106 | ||||
Shares redeemed | (673,912) | (1,749,966) | (2,674,346) | (2,791,652) | ||||
Net increase (decrease) | 1,194,259 | (242,185) | 522,765 | 908,661 | ||||
Strategic Alternatives | ||||||||
Shares sold | 1,311,042 | 658,215 | 3,452,292 | 1,225,099 | ||||
Shares reinvested | — | — | 716,595 | 105,265 | ||||
Shares redeemed | (1,574,943) | (1,214,597) | (4,070,510) | (2,549,140) | ||||
Net increase (decrease) | (263,901) | (556,382) | 98,377 | (1,218,776) |
Fund | Year | Ordinary
Income |
Long-Term
Capital Gain |
Return
of Capital |
Total
Distribution | |||||
MyDestination 2015 | 2019 | $16,670,062 | $ 9,643,245 | $— | $ 26,313,307 | |||||
2018 | 22,803,959 | 14,085,921 | — | 36,889,880 | ||||||
MyDestination 2025 | 2019 | 33,763,974 | 18,708,958 | — | 52,472,932 | |||||
2018 | 33,986,791 | 38,055,961 | — | 72,042,752 | ||||||
MyDestination 2035 | 2019 | 20,667,946 | 10,532,737 | — | 31,200,683 | |||||
2018 | 22,165,480 | 25,579,129 | — | 47,744,609 | ||||||
MyDestination 2045 | 2019 | 14,714,829 | 8,586,521 | — | 23,301,350 | |||||
2018 | 15,798,135 | 23,490,194 | — | 39,288,329 | ||||||
MyDestination 2055 | 2019 | 4,672,156 | 4,193,333 | — | 8,865,489 | |||||
2018 | 4,222,783 | 6,934,772 | — | 11,157,555 | ||||||
Conservative Allocation | 2019 | 10,900,966 | 12,236,121 | — | 23,137,087 | |||||
2018 | 15,397,717 | 437,488 | — | 15,835,205 | ||||||
Balanced Allocation | 2019 | 34,502,761 | 66,794,786 | — | 101,297,547 | |||||
2018 | 59,404,751 | 3,908,455 | — | 63,313,206 | ||||||
Growth Allocation | 2019 | 19,999,040 | 89,559,476 | — | 109,558,516 | |||||
2018 | 41,898,996 | 3,525,774 | — | 45,424,770 | ||||||
Aggressive Allocation | 2019 | 11,003,181 | 107,448,362 | — | 118,451,543 | |||||
2018 | 31,324,625 | 3,691,707 | — | 35,016,332 | ||||||
Money Market | 2019 | 27,768,702 | — | — | 27,768,702 | |||||
2018 | 18,097,193 | — | — | 18,097,193 | ||||||
Low-Duration Bond | 2019 | 23,248,543 | — | — | 23,248,543 | |||||
2018 | 21,597,150 | — | — | 21,597,150 | ||||||
Medium-Duration Bond | 2019 | 59,270,742 | 8,895,418 | — | 68,166,160 | |||||
2018 | 41,568,447 | — | — | 41,568,447 | ||||||
Extended-Duration Bond | 2019 | 7,545,607 | 2,246,414 | — | 9,792,021 | |||||
2018 | 6,878,837 | 1,763,567 | — | 8,642,404 | ||||||
Global Bond | 2019 | 20,221,476 | — | — | 20,221,476 | |||||
2018 | 17,233,962 | — | — | 17,233,962 | ||||||
Defensive Market Strategies | 2019 | 29,152,022 | 39,137,230 | — | 68,289,252 | |||||
2018 | 23,181,404 | 39,872,400 | — | 63,053,804 | ||||||
Equity Index | 2019 | 36,174,047 | 9,614,945 | — | 45,788,992 | |||||
2018 | 21,300,972 | 6,035,838 | — | 27,336,810 | ||||||
Value Equity | 2019 | 20,124,546 | 112,001,078 | — | 132,125,624 | |||||
2018 | 38,627,518 | 153,636,772 | — | 192,264,290 |
Fund | Year | Ordinary
Income |
Long-Term
Capital Gain |
Return
of Capital |
Total
Distribution | |||||
Growth Equity | 2019 | $ 5,232,310 | $151,896,069 | $— | $157,128,379 | |||||
2018 | 5,401,351 | 221,388,439 | — | 226,789,790 | ||||||
Small Cap Equity | 2019 | 746,585 | 21,320,019 | — | 22,066,604 | |||||
2018 | 16,705,821 | 80,730,527 | — | 97,436,348 | ||||||
International Equity Index | 2019 | 20,799,847 | — | — | 20,799,847 | |||||
2018 | 7,738,165 | — | — | 7,738,165 | ||||||
International Equity | 2019 | 28,005,024 | 36,195,026 | — | 64,200,050 | |||||
2018 | 27,909,942 | 107,935,276 | — | 135,845,218 | ||||||
Emerging Markets Equity | 2019 | 13,250,595 | — | — | 13,250,595 | |||||
2018 | 2,656,034 | — | — | 2,656,034 | ||||||
Global Real Estate Securities | 2019 | 19,123,112 | — | — | 19,123,112 | |||||
2018 | 9,704,770 | — | — | 9,704,770 | ||||||
Strategic Alternatives | 2019 | 6,848,636 | 1,494,225 | — | 8,342,861 | |||||
2018 | 7,693,005 | 367,373 | — | 8,060,378 |
Fund | Undistributed
Ordinary Income |
Undistributed
Long-Term Capital Gain/ (Capital Loss Carryforward) |
Qualified
Late Year Losses |
Net
Unrealized Appreciation Depreciation | ||||
MyDestination 2015 | $ 197,110 | $ 6,052,434 | $ — | $ 28,492,581 | ||||
MyDestination 2025 | 516,652 | 10,983,516 | — | 78,826,976 | ||||
MyDestination 2035 | 446,256 | 5,652,789 | — | 67,422,830 | ||||
MyDestination 2045 | 373,477 | 3,968,517 | — | 57,722,245 | ||||
MyDestination 2055 | 181,517 | 1,318,807 | — | 15,293,288 | ||||
Conservative Allocation | 391,964 | 7,759,497 | — | 2,382,374 | ||||
Balanced Allocation | 2,582,277 | 41,308,540 | — | (7,952,832) | ||||
Growth Allocation | 3,670,726 | 46,298,051 | — | (33,363,339) | ||||
Aggressive Allocation | 3,405,012 | 56,670,525 | — | (48,138,159) | ||||
Money Market | 27,605 | — | — | — | ||||
Low-Duration Bond | 574,297 | (11,833,764) | — | 5,018,412 | ||||
Medium-Duration Bond | 965,559 | — | (15,200,232) | 49,607,755 | ||||
Extended-Duration Bond | 201,269 | 1,233,111 | — | 15,337,731 | ||||
Global Bond | 595,912 | 3,452,155 | (7,368,945) | 7,326,049 | ||||
Defensive Market Strategies | 3,272,758 | 3,028,972 | — | 170,706,701 | ||||
Equity Index | 1,915,955 | 5,047,222 | — | 639,999,229 | ||||
Value Equity | 10,359,660 | 5,328,149 | — | 142,318,422 | ||||
Growth Equity | 1,828,089 | 26,326,334 | — | 557,061,174 | ||||
Small Cap Equity | 137,676 | 7,359,532 | — | 31,978,201 | ||||
International Equity Index | 521,207 | (2,197,388) | — | 40,295,769 | ||||
International Equity | 959,069 | 1,905,316 | — | 77,881,477 | ||||
Emerging Markets Equity | 1,986,484 | (9,186,630) | — | 42,658,732 | ||||
Global Real Estate Securities | 3,177,936 | — | — | 9,268,507 | ||||
Strategic Alternatives | 433,684 | 39,191 | — | 2,709,205 |
Fund | Federal
Tax Cost |
Net
Unrealized Appreciation (Depreciation) |
Appreciated
Securities |
Depreciated
Securities | ||||
MyDestination 2015 | $ 628,913,750 | $ 14,869,217 | $ 22,193,992 | $ (7,324,775) | ||||
MyDestination 2025 | 1,359,300,844 | 29,955,792 | 49,463,999 | (19,508,207) | ||||
MyDestination 2035 | 918,893,714 | 22,689,308 | 40,991,924 | (18,302,616) | ||||
MyDestination 2045 | 688,872,214 | 17,774,600 | 33,610,885 | (15,836,285) | ||||
MyDestination 2055 | 240,514,041 | 2,218,752 | 7,135,911 | (4,917,159) | ||||
Conservative Allocation | 505,871,933 | (2,181,405) | 8,821,174 | (11,002,579) | ||||
Balanced Allocation | 1,565,123,410 | (42,043,401) | 61,065,547 | (103,108,948) | ||||
Growth Allocation | 1,260,661,405 | (98,787,805) | 44,112,927 | (142,900,732) | ||||
Aggressive Allocation | 1,087,509,664 | (123,951,980) | 39,480,664 | (163,432,644) | ||||
Money Market | 1,523,039,757 | — | — | — | ||||
Low-Duration Bond | 994,648,691 | 6,856,307 | 14,328,897 | (7,472,590) | ||||
Medium-Duration Bond | 1,967,877,194 | 67,465,387 | 105,613,413 | (38,148,026) | ||||
Extended-Duration Bond | 263,594,597 | 25,150,417 | 29,852,346 | (4,701,929) | ||||
Global Bond | 605,702,734 | (5,337,495) | 34,100,375 | (39,437,870) | ||||
Defensive Market Strategies | 1,117,216,259 | 119,640,328 | 143,744,493 | (24,104,165) | ||||
Equity Index | 1,540,066,875 | 564,555,916 | 682,816,058 | (118,260,142) | ||||
Value Equity | 1,064,975,814 | (7,836,961) | 55,774,300 | (63,611,261) | ||||
Growth Equity | 1,193,113,904 | 547,671,555 | 567,449,085 | (19,777,530) | ||||
Small Cap Equity | 555,551,063 | (485,061) | 57,112,365 | (57,597,426) | ||||
International Equity Index | 716,661,236 | (33,034,627) | 70,901,881 | (103,936,508) | ||||
International Equity | 1,168,868,423 | (38,347,602) | 145,075,391 | (183,422,993) | ||||
Emerging Markets Equity | 540,758,464 | 21,266,805 | 57,595,541 | (36,328,736) | ||||
Global Real Estate Securities | 240,000,717 | (18,912,833) | 10,270,812 | (29,183,645) | ||||
Strategic Alternatives | 352,991,109 | (129,470) | 14,694,106 | (14,823,576) |
• | the process for categorizing each Fund’s portfolio holdings into one of four liquidity categories, as defined in the Rule and the role of the Funds’ third-party liquidity classification data provider in the classification process, noting that no operational or compliance issues were detected; |
• | a review of the Funds’ liquidity factors, as enumerated in the Rule; |
• | the Funds remained primarily highly liquid, as the term is defined in the Rule; |
• | due to the highly liquid nature of the Funds, a highly liquid investment minimum had not been established; |
• | there were no liquidity events that materially affected the ability of the Funds to sell portfolio securities without significantly affecting their market value in order to timely meet redemptions without dilution to ongoing shareholders; |
• | at no time during the Review Period did any Fund approach the 15% Limit or 15% Threshold on illiquid investments, as those terms are defined in the Program; |
• | there were no material changes to the Program during the Review Period; |
• | the Program is reasonably designed and is operating effectively to assess and manage the liquidity risk for each Fund; |
• | the Program has been and continues to be adequately and effectively implemented to monitor and (as applicable) respond to developments with the potential to impact the Funds’ liquidity. |
Name,
(Year of Birth), Address and Position(s) with Trust |
Term
of Office and Length of Time Served1 |
Principal
Occupation(s) During Past 5 Years |
Number
of Portfolios in Fund Complex Overseen by Trustee |
Other
Trusteeships/ Directorships Held by Trustee2 |
INDEPENDENT TRUSTEES | ||||
Thomas
G. Evans (1961) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee |
Since 2020 | Owner,
Encompass Financial Services, Inc., 1985-present. |
24 | None |
William
Craig George (1958) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee |
Since 2004 | Senior
Credit Officer, First National Bank of PA, 2014 – present. |
24 | None |
Barry
D. Hartis (1945) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee |
Since 2014 | Certified Public Accountant, 1987 – present. | 24 | None |
Grady
R. Hazel (1947) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee |
Since 2011 | Chief
Financial Officer, The Dunham School, 2016 – present; Certified Public Accountant, 2015 – present; G400 Relations Manager, American Institute of Certified Public Accountants, 2012 – 2015. |
24 | None |
David
B. McMillan (1957) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee |
Since 2019 | Chief
Executive Officer and Founder, Peridot Energy LLC, 2008 – present; Chief Executive Officer, INEA International/VHSC Cement, 2015 – 2017. |
24 | None |
Franklin
R. Morgan (1943) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee |
Since 2005 | Retired
– Senior Vice President, Director of International Administration, Prudential Securities, Inc., 1960 – 2003. |
24 | None |
Ronald
D. Murff (1953) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee |
Since 2019 | President,
JKL Group, LLC, 2010 – present; Principal, Dalcor Companies, 2012 – present. |
24 | None |
INTERESTED TRUSTEES3 | ||||
David
Cox, Sr. (1972) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee |
Since 20204 | LLP
Manager, Penske Logistics, Inc., 2004 – present. |
24 | None |
Randall
T. Hahn, D.Min. (1965) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee |
Since 2018 | Senior
Pastor, The Heights Baptist Church, 2002 – present. |
24 | None |
Name,
(Year of Birth), Address and Position(s) with Trust |
Term
of Office and Length of Time Served1 |
Principal
Occupation(s) During Past 5 Years |
Number
of Portfolios in Fund Complex Overseen by Trustee |
Other
Trusteeships/ Directorships Held by Trustee2 |
OFFICERS WHO ARE NOT TRUSTEES5 | ||||
Melanie
Childers (1971) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Vice President – Fund Operations |
Since 2014 | Managing
Director, Fund Operations, GuideStone Financial Resources, 2014 – present. |
N/A | N/A |
John
R. Jones (1953) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 President |
Since 2000 | Executive
Vice President and Chief Operating Officer, GuideStone Financial Resources, 1997 – present. |
N/A | N/A |
Patrick
Pattison (1974) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Vice President and Treasurer |
Since 2008 | Chief
Accounting Officer, GuideStone Financial Resources, 2015 – present; Director of Financial Reporting & Process Review, GuideStone Financial Resources, 2008 – 2015. |
N/A | N/A |
Matt
L. Peden (1967) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Vice President and Investment Officer |
Since 2001 | Vice
President and Chief Investment Officer, GuideStone Financial Resources, 2015 – present; Director of Portfolio Management, GuideStone Financial Resources, 2010 – 2015. |
N/A | N/A |
David
S. Spika (1964) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Executive Vice President |
Since 2019 | Vice
President and Chief Strategic Investment Officer, GuideStone Financial Resources, 2016 – present; Global Investment Strategist, GuideStone Financial Resources, 2015 – 2016; Investment Strategist, Westwood Holdings Group, 2003 – 2015. |
N/A | N/A |
Brandon
Waldeck (1977) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 AML Compliance Officer |
Since 2020 | Senior
Manager – Fraud Risk, GuideStone Financial Resources, 2019 – present; Director of Ethics Office Trade Monitoring, Fidelity Investments, 2001 – 2019. |
N/A | N/A |
Matthew
A. Wolfe (1982) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Chief Compliance Officer, Chief Legal Officer and Secretary |
Since 2017 | Managing
Director, Compliance and Legal, GuideStone Financial Resources, 2020 – present; Associate Counsel – Investment and Corporate Services, GuideStone Financial Resources, 2015 – 2020; Vice President and Assistant General Counsel, Goldman Sachs & Co., 2012 – 2015. |
N/A | N/A |
Erin
Wynne (1981) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Assistant Treasurer |
Since 2016 | Director,
Financial Reporting & Analysis, GuideStone Financial Resources, 2015 – present; Manager, Financial Reporting & Analysis, GuideStone Financial Resources, 2010 – 2015. |
N/A | N/A |
Fund | Sub-Adviser | Firm
Established |
Total
Assets Managed | |||
Money Market | BlackRock Advisors, LLC | 1994 | $ 7.3Tr | |||
Low-Duration Bond | BlackRock Financial Management, Inc. | 1994 | $ 7.3Tr | |||
Pacific Investment Management Company LLC | 1971 | $ 1.9Tr | ||||
Parametric Portfolio Associates LLC | 1987 | $299.7B | ||||
Payden & Rygel | 1983 | $127.7B | ||||
Medium-Duration Bond | Goldman Sachs Asset Management, L.P. | 1984 | $ 1.9Tr | |||
Pacific Investment Management Company LLC | 1971 | $ 1.9Tr | ||||
Parametric Portfolio Associates LLC | 1987 | $299.7B | ||||
Western Asset Management Company, LLC and | ||||||
Western Asset Management Company Limited | 1971 | $468.5B | ||||
Extended-Duration Bond | Loomis, Sayles & Company, L.P. | 1926 | $310.9B | |||
Parametric Portfolio Associates LLC | 1987 | $299.7B | ||||
Schroder Investment Management North America Inc. | 1977 | $127.1B | ||||
Global Bond | Loomis, Sayles & Company, L.P. | 1926 | $310.9B | |||
Neuberger Berman Investment Advisers LLC | 2002 | $357.0B | ||||
Parametric Portfolio Associates LLC | 1987 | $299.7B | ||||
Western Asset Management Company, LLC and | ||||||
Western Asset Management Company Limited | 1971 | $468.5B | ||||
Defensive Market Strategies | American Century Investment Management, Inc. | 1958 | $178.4B | |||
AQR Capital Management, LLC | 1998 | $141.0B | ||||
Parametric Portfolio Associates LLC | 1987 | $299.7B | ||||
Shenkman Capital Management, Inc. | 1985 | $ 26.1B | ||||
Equity Index | Legal & General Investment Management America, Inc. | 2006 | $212.9B | |||
Value Equity | American Century Investment Management, Inc. | 1958 | $178.4B | |||
Barrow, Hanley, Mewhinney & Strauss, LLC | 1979 | $ 44.1B | ||||
Legal & General Investment Management America, Inc. | 2006 | $212.9B | ||||
The London Company of Virginia, LLC | 1994 | $ 10.9B | ||||
Parametric Portfolio Associates LLC | 1987 | $299.7B | ||||
TCW Investment Management Company LLC | 1971 | $225.0B | ||||
Growth Equity | Brown Advisory, LLC | 1993 | $ 46.4B | |||
ClearBridge Investments, LLC | 2005 | $149.4B | ||||
Loomis, Sayles & Company, L.P. | 1926 | $310.9B | ||||
Parametric Portfolio Associates LLC | 1987 | $299.7B | ||||
Sands Capital Management, LLC | 1992 | $ 51.4B | ||||
Small Cap Equity | Delaware Investments Fund Advisers | 1929 | $241.2B | |||
Jacobs Levy Equity Management, Inc. | 1986 | $ 11.6B | ||||
Parametric Portfolio Associates LLC | 1987 | $299.7B | ||||
TimesSquare Capital Management, LLC | 2000 | $ 13.7B | ||||
International Equity Index | Legal & General Investment Management America, Inc. | 2006 | $212.9B | |||
International Equity | AQR Capital Management, LLC | 1998 | $141.0B | |||
Harris Associates L.P. | 1976 | $ 86.5B | ||||
MFS Institutional Advisors, Inc. | 1924 | $507.2B | ||||
Mondrian Investment Partners Ltd. | 1990 | $ 45.8B | ||||
Parametric Portfolio Associates LLC | 1987 | $299.7B | ||||
WCM Investment Management, LLC | 1976 | $ 58.9B | ||||
Emerging Markets Equity | AQR Capital Management, LLC | 1998 | $141.0B | |||
Goldman Sachs Asset Management, L.P. | 1984 | $ 1.9Tr | ||||
RBC Global Asset Management (UK) Limited | 2013 | $ 39.1B | ||||
Wellington Management Company LLP | 1928 | $ 1.1Tr | ||||
Global Real Estate Securities | Heitman Real Estate Securities, LLC and | |||||
Heitman International Real Estate Securities HK Limited | 1989 | $ 42.6B | ||||
RREEF America L.L.C., | ||||||
DWS Investments Australia Limited and |
Fund | Sub-Adviser | Firm
Established |
Total
Assets Managed | |||
DWS Alternatives Global Limited | 1975 | $ 70.5B | ||||
Strategic Alternatives | Allianz Global Investors U.S. LLC | 1895 | $106.2B | |||
Goldman Sachs Asset Management, L.P. | 1984 | $ 1.9Tr | ||||
Neuberger Berman Investment Advisers LLC | 2002 | $357.0B | ||||
Parametric Portfolio Associates LLC | 1987 | $299.7B | ||||
Weiss Multi-Strategy Advisers LLC | 1978 | $ 2.8B | ||||
Custodian for GuideStone Funds Assets | The Northern Trust Company | 1889 | $ 9.3Tr | |||
Cash Overlay for Target Date, Target Risk, Fixed Income, Equity and Real Assets Select Funds | Parametric Portfolio Associates LLC | 1987 | $299.7B |
Item 1. Reports to Stockholders (cont.).
(b) | Not applicable. |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrants board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrants principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the 1940 Act) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the registrants first fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | GuideStone Funds |
By (Signature and Title)* | /s/ John R. Jones | |
John R. Jones, President | ||
(Principal Executive Officer) |
Date | September 3, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ John R. Jones | |
John R. Jones, President | ||
(Principal Executive Officer) |
Date | September 3, 2020 |
By (Signature and Title)* | /s/ Patrick Pattison | |
Patrick Pattison, Vice President and Treasurer | ||
(Principal Financial Officer) |
Date | September 3, 2020 |
* | Print the name and title of each signing officer under his or her signature. |
Ex-99(a)(2)
Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act
I, John R. Jones, certify that:
1. | I have reviewed this report on Form N-CSR of GuideStone Funds; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: | September 3, 2020 | /s/ John R. Jones | ||
John R. Jones, President | ||||
(Principal Executive Officer) |
Ex-99(a)(2)
Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act
I, Patrick Pattison, certify that:
1. | I have reviewed this report on Form N-CSR of GuideStone Funds; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: | September 3, 2020 | /s/ Patrick Pattison | ||
Patrick Pattison, Vice President and Treasurer | ||||
(Principal Financial Officer) |
Ex-99(b)
Certification Pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act
I, John R. Jones, President of GuideStone Funds (the Registrant), certify that:
1. | The Form N-CSR of the Registrant (the Report) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. |
Date: | September 3, 2020 | /s/ John R. Jones | ||
John R. Jones, President | ||||
(Principal Executive Officer) |
I, Patrick Pattison, Vice President and Treasurer of GuideStone Funds (the Registrant), certify that:
1. | The Form N-CSR of the Registrant (the Report) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. |
Date: | September 3, 2020 | /s/ Patrick Pattison | ||
Patrick Pattison, Vice President and Treasurer | ||||
(Principal Financial Officer) |
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