| Shares | Description | Value | ||
| COMMON STOCKS – 94.1% | ||||
| Aerospace & Defense – 2.3% | ||||
| 14,000 | Boeing (The) Co. (a) | $2,087,960 | ||
| 11,000 | Lockheed Martin Corp. (a) | 3,728,450 | ||
| 5,816,410 | ||||
| Automobiles – 0.9% | ||||
| 110,000 | General Motors Co. (a) | 2,285,800 | ||
| Banks – 5.3% | ||||
| 94,000 | JPMorgan Chase & Co. (a) | 8,462,820 | ||
| 200,000 | KeyCorp (a) | 2,074,000 | ||
| 100,000 | Truist Financial Corp. (a) | 3,084,000 | ||
| 13,620,820 | ||||
| Beverages – 3.2% | ||||
| 107,000 | Coca-Cola (The) Co. (a) | 4,734,750 | ||
| 25,000 | Constellation Brands, Inc., Class A (a) | 3,584,000 | ||
| 8,318,750 | ||||
| Capital Markets – 0.7% | ||||
| 52,500 | Morgan Stanley (a) | 1,785,000 | ||
| Chemicals – 1.0% | ||||
| 15,000 | Linde PLC (a) | 2,595,000 | ||
| Communications Equipment – 1.8% | ||||
| 117,500 | Cisco Systems, Inc. (a) | 4,618,925 | ||
| Diversified Telecommunication Services – 2.4% | ||||
| 215,000 | AT&T, Inc. (a) | 6,267,250 | ||
| Electric Utilities – 2.7% | ||||
| 100,000 | Exelon Corp. (a) | 3,681,000 | ||
| 135,000 | PPL Corp. (a) | 3,331,800 | ||
| 7,012,800 | ||||
| Electronic Equipment, Instruments & Components – 1.0% | ||||
| 32,000 | Keysight Technologies, Inc. (a) (b) | 2,677,760 | ||
| Entertainment – 5.1% | ||||
| 80,000 | Activision Blizzard, Inc. (a) | 4,758,400 | ||
| 90,000 | Cinemark Holdings, Inc. (a) | 917,100 | ||
| 31,500 | Electronic Arts, Inc. (a) (b) | 3,155,355 | ||
| 157,500 | Lions Gate Entertainment Corp., Class B (a) (b) | 878,850 | ||
| 35,000 | Walt Disney (The) Co. | 3,381,000 | ||
| 13,090,705 | ||||
| Food & Staples Retailing – 1.9% | ||||
| 17,500 | Costco Wholesale Corp. (a) | 4,989,775 | ||
| Food Products – 0.9% | ||||
| 45,000 | Mondelez International, Inc., Class A (a) | 2,253,600 | ||
| Health Care Equipment & Supplies – 1.0% | ||||
| 80,000 | Boston Scientific Corp. (a) (b) | 2,610,400 | ||
| Health Care Providers & Services – 2.8% | ||||
| 29,000 | UnitedHealth Group, Inc. (a) | 7,232,020 | ||
| Hotels, Restaurants & Leisure – 2.0% | ||||
| 85,000 | Carnival Corp. (a) | 1,119,450 | ||
| 30,000 | Las Vegas Sands Corp. (a) | 1,274,100 | ||
| Shares | Description | Value | ||
| COMMON STOCKS (Continued) | ||||
| Hotels, Restaurants & Leisure (Continued) | ||||
| 52,000 | Restaurant Brands International, Inc. (a) | $2,081,560 | ||
| 47,500 | Six Flags Entertainment Corp. (a) | 595,650 | ||
| 5,070,760 | ||||
| Industrial Conglomerates – 1.8% | ||||
| 35,000 | Honeywell International, Inc. (a) | 4,682,650 | ||
| Insurance – 3.9% | ||||
| 50,000 | Arthur J. Gallagher & Co. (a) | 4,075,500 | ||
| 22,500 | Chubb, Ltd. (a) | 2,513,025 | ||
| 45,000 | Progressive (The) Corp. | 3,322,800 | ||
| 9,911,325 | ||||
| Interactive Media & Services – 2.9% | ||||
| 4,500 | Alphabet, Inc., Class C (a) (b) | 5,232,645 | ||
| 14,000 | Facebook, Inc., Class A (a) (b) | 2,335,200 | ||
| 7,567,845 | ||||
| Internet & Direct Marketing Retail – 1.6% | ||||
| 21,000 | Alibaba Group Holding Ltd., ADR (a) (b) | 4,084,080 | ||
| IT Services – 3.6% | ||||
| 21,000 | Mastercard, Inc., Class A (a) | 5,072,760 | ||
| 45,000 | PayPal Holdings, Inc. (a) (b) | 4,308,300 | ||
| 9,381,060 | ||||
| Life Sciences Tools & Services – 2.8% | ||||
| 25,000 | Thermo Fisher Scientific, Inc. (a) | 7,090,000 | ||
| Machinery – 1.8% | ||||
| 22,000 | Caterpillar, Inc. (a) | 2,552,880 | ||
| 22,000 | Stanley Black & Decker, Inc. (a) | 2,200,000 | ||
| 4,752,880 | ||||
| Media – 0.2% | ||||
| 39,000 | ViacomCBS, Inc., Class B (a) | 546,390 | ||
| Oil, Gas & Consumable Fuels – 3.1% | ||||
| 120,000 | BP PLC, ADR (a) | 2,926,800 | ||
| 70,000 | Hess Corp. (a) | 2,331,000 | ||
| 65,000 | Occidental Petroleum Corp. (a) | 752,700 | ||
| 26,500 | Pioneer Natural Resources Co. (a) | 1,858,975 | ||
| 7,869,475 | ||||
| Pharmaceuticals – 7.0% | ||||
| 75,000 | Bristol-Myers Squibb Co. (a) | 4,180,500 | ||
| 102,000 | Merck & Co., Inc. (a) | 7,847,880 | ||
| 50,500 | Zoetis, Inc. (a) | 5,943,345 | ||
| 17,971,725 | ||||
| Road & Rail – 1.2% | ||||
| 52,000 | CSX Corp. | 2,979,600 | ||
| Semiconductors & Semiconductor Equipment – 6.6% | ||||
| 127,000 | Intel Corp. (a) | 6,873,240 | ||
| 76,500 | Micron Technology, Inc. (a) (b) | 3,217,590 | ||
| 26,200 | NVIDIA Corp. (a) | 6,906,320 | ||
| 16,997,150 | ||||
| Shares | Description | Value | ||
| COMMON STOCKS (Continued) | ||||
| Software – 11.9% | ||||
| 15,000 | Adobe Systems, Inc. (a) (b) | $4,773,600 | ||
| 138,300 | Microsoft Corp. (a) | 21,811,293 | ||
| 14,000 | Palo Alto Networks, Inc. (a) (b) | 2,295,440 | ||
| 14,500 | Synopsys, Inc. (a) (b) | 1,867,455 | ||
| 30,747,788 | ||||
| Specialty Retail – 2.9% | ||||
| 21,500 | Burlington Stores, Inc. (b) | 3,406,890 | ||
| 46,000 | Lowe’s Cos., Inc. (a) | 3,958,300 | ||
| 7,365,190 | ||||
| Technology Hardware, Storage & Peripherals – 5.0% | ||||
| 51,000 | Apple, Inc. (a) | 12,968,790 | ||
| Textiles, Apparel & Luxury Goods – 1.9% | ||||
| 60,000 | NIKE, Inc., Class B (a) | 4,964,400 | ||
| Water Utilities – 0.9% | ||||
| 20,000 | American Water Works Co., Inc. | 2,391,200 | ||
Total Common Stocks | 242,517,323 | |||
| (Cost $238,103,778) | ||||
| REAL ESTATE INVESTMENT TRUSTS – 3.9% | ||||
| Equity Real Estate Investment Trusts – 3.9% | ||||
| 34,000 | Crown Castle International Corp. (a) | 4,909,600 | ||
| 102,000 | Healthcare Trust of America, Inc., Class A | 2,476,560 | ||
| 53,000 | Lamar Advertising Co., Class A (a) | 2,717,840 | ||
Total Real Estate Investment Trusts | 10,104,000 | |||
| (Cost $9,865,225) | ||||
| COMMON STOCKS – BUSINESS DEVELOPMENT COMPANIES - 0.9% | ||||
| Capital Markets – 0.9% | ||||
| 215,000 | Ares Capital Corp. (a) | 2,317,700 | ||
| (Cost $3,728,891) | ||||
| Shares | Description | Stated Rate | Stated Maturity (c) | Value | ||||
| CONVERTIBLE PREFERRED SECURITIES – 0.7% | ||||||||
| Health Care Equipment & Supplies – 0.7% | ||||||||
| 35,000 | Becton Dickinson and Co., Series A | 6.13% | 05/01/20 | 1,829,800 | ||||
| (Cost $1,999,693) | ||||||||
Total Investments – 99.6% |
256,768,823 | ||
| (Cost $253,697,587) (d) |
| Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value | |||||
| CALL OPTIONS WRITTEN – (0.1)% | ||||||||||
| (200) | Activision Blizzard, Inc. | $(1,189,600) | $65.00 | Apr 2020 | (9,000) | |||||
| (50) | Adobe Systems, Inc. | (1,591,200) | 360.00 | Apr 2020 | (5,900) | |||||
| (100) | American Water Works Co., Inc. | (1,195,600) | 135.00 | Apr 2020 | (6,800) | |||||
| (80) | American Water Works Co., Inc. | (956,480) | 155.00 | Apr 2020 | (1,600) | |||||
| (40) | Boeing (The) Co. | (602,526) | 200.00 | Apr 2020 | (480) | |||||
| (300) | Carnival Corp. | (395,100) | 17.50 | Apr 2020 | (24,900) | |||||
| (200) | Carnival Corp. | (263,400) | 20.00 | Apr 2020 | (6,200) | |||||
| (75) | Costco Wholesale Corp. | (2,138,475) | 325.00 | Apr 2020 | (3,750) | |||||
| (100) | Las Vegas Sands Corp. | (424,700) | 55.00 | Apr 2020 | (3,000) | |||||
| Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value | |||||
| CALL OPTIONS WRITTEN (Continued) | ||||||||||
| (200) | Micron Technology, Inc. | $(841,200) | $48.00 | Apr 2020 | $(12,000) | |||||
| (200) | Micron Technology, Inc. | (841,200) | 50.00 | Apr 2020 | (6,800) | |||||
| (53) | Microsoft Corp. | (835,863) | 157.50 | Apr 2020 | (18,550) | |||||
| (150) | S&P 500® Index (e) | (38,768,850) | 2,875.00 | Apr 2020 | (90,000) | |||||
| (200) | S&P 500® Index (e) | (51,691,800) | 2,950.00 | Apr 2020 | (40,000) | |||||
| (300) | S&P 500® Index (e) | (77,537,700) | 3,000.00 | Apr 2020 | (46,500) | |||||
| (75) | UnitedHealth Group, Inc. | (1,870,350) | 300.00 | Apr 2020 | (1,500) | |||||
Total Call Options Written | (276,980) | |||||||||
| (Premiums received $718,326) | ||||||||||
Net Other Assets and Liabilities – 0.5% |
1,297,640 | ||
Net Assets – 100.0% |
$257,789,483 |
| (a) | All or a portion of these securities are pledged to cover index call options written. |
| (b) | Non-income producing security. |
| (c) | Stated maturity represents the mandatory conversion date. |
| (d) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of March 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $47,372,541 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $43,859,959. The net unrealized appreciation was $3,512,582. The amounts presented are inclusive of derivative contracts. |
| (e) | Call options on securities indices were written on a portion of the common stock positions that were not used to cover call options written on individual equity securities held in the Fund’s portfolio. |
| ADR | American Depositary Receipt |
| • | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. |
| • | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly. (Quoted prices for similar investments, valuations based on interest rates and yield curves, or valuations derived from observable market data.) |
| • | Level 3 – Level 3 inputs are unobservable inputs that may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
| ASSETS TABLE | ||||
| Total Value at 3/31/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 242,517,323 | $ 242,517,323 | $ — | $ — |
Real Estate Investment Trusts* | 10,104,000 | 10,104,000 | — | — |
Common Stocks - Business Development Companies* | 2,317,700 | 2,317,700 | — | — |
Convertible Preferred Securities* | 1,829,800 | 1,829,800 | — | — |
Total Investments | $ 256,768,823 | $ 256,768,823 | $— | $— |
LIABILITIES TABLE | ||||
| Total Value at 3/31/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Call Options Written | $ (276,980) | $ (276,980) | $ — | $ — |
| * | See Portfolio of Investments for industry breakout. |