N-CSR 1 form.htm

United States

Securities and Exchange Commission

Washington, D.C. 20549

 

Form N-CSR

Certified Shareholder Report of Registered Management Investment Companies

 

 

 

 

811-1

 

(Investment Company Act File Number)

 

Federated Hermes Global Allocation Fund

_______________________________________________________________

 

(Exact Name of Registrant as Specified in Charter)

 

 

 

Federated Hermes Funds

4000 Ericsson Drive

Warrendale, Pennsylvania 15086-7561

(Address of Principal Executive Offices)

 

 

(412) 288-1900

(Registrant's Telephone Number)

 

 

Peter J. Germain, Esquire

1001 Liberty Avenue

Pittsburgh, Pennsylvania 15222-3779

(Name and Address of Agent for Service)

(Notices should be sent to the Agent for Service)

 

 

 

 

 

 

Date of Fiscal Year End: 11/30/20

 

 

Date of Reporting Period: 11/30/20

 

 

 

 

 

 

 

 

 

Item 1.Reports to Stockholders

 

Annual Shareholder Report
November 30, 2020
Share Class | Ticker
A | FSTBX
B | FSBBX
C | FSBCX
 
R | FSBKX
Institutional | SBFIX
R6 | FSBLX

Federated Hermes Global Allocation Fund
(formerly, Federated Global Allocation Fund)
Fund Established 1934

Dear Valued Shareholder,
I am pleased to present the Annual Shareholder Report for your fund covering the period from December 1, 2019 through November 30, 2020.
While Covid-19 continues to present challenges to our lives, families and businesses, I want you to know that Federated Hermes remains dedicated to helping you successfully navigate the markets ahead. You can count on us for the insights, investment management knowledge and client service that you have come to expect. Please refer to our website, FederatedInvestors.com, for timely updates on this and other economic and market matters.
Thank you for investing with us. I hope you find this information useful and look forward to keeping you informed.
Sincerely,
J. Christopher Donahue, President

Not FDIC Insured ▪ May Lose Value ▪ No Bank Guarantee

Management’s Discussion of Fund Performance (unaudited)
The total return of Federated Hermes Global Allocation Fund (the “Fund”), based on net asset value for the 12-month reporting period ended November 30, 2020, was 10.70%, 9.83%, 9.87%, 10.31%,11.06% and 11.04% for the Fund’s Class A Shares, Class B Shares, Class C Shares, Class R Shares, Institutional Shares and Class R6 shares, respectively. The total return of the Fund’s Blended Index1,2 was 12.97%, and the total return of the Morningstar World Allocation Funds Average (MWAFA)3 was 5.36% for the same period. The Fund’s Blended Index was composed of 60% of the return of the MSCI All Country World Index (MSCI ACWI) and 40% of the return of the Bloomberg Barclays Global Aggregate Index. The Fund’s and MWAFA’s total returns for the most recently completed fiscal year reflect actual cash flows, transaction costs and other expenses, which were not reflected in the total return of any index.
The following discussion will focus on the performance of the Fund’s Institutional Shares relative to the Blended Index.
MARKET OVERVIEW
Equities
The reporting period began with equities marching towards all-time highs on the strength of the longest economic expansion in U.S. history. Unemployment in the U.S. hit half-century lows of 3.5%, and prospects for growth improved in the wake of a Phase I trade deal that promised to ease tensions between the world’s two largest economies, the U.S. and China.
Then the Covid-19 pandemic hit, and unemployment quickly surged to the highest levels since World War II. Oil prices turned negative driven by plummeting demand and a price war between Russia and Saudi Arabia, and the global economy fell into one of the deepest, though short-lived, recessions in recent history. At its depth, the S&P fell nearly 35%, its fastest decline of that magnitude in history, as investors contemplated the potential for an economic depression.
In the face of the crisis, governments and central banks across the globe unleashed unprecedented amounts of fiscal and monetary support that not only ensured a steady flow of liquidity but helped businesses and individuals to avoid insolvency. As strict lockdowns eased, economic activity recovered sharply, with the third quarter producing some of the strongest quarter-over-quarter GDP growth on record, thus sparking a rally in global equities that saw major indices surge in excess of 50% from the lows in March until the end of the reporting period. While the pandemic is still with us, many global equity indices finished the reporting period at new all-time highs, thanks to the development of a number of vaccines that may very well end the pandemic in the new year.
Annual Shareholder Report
1

All told, the U.S. equity market produced a strong positive total return, with the S&P 500® Index4 up 17.46% for the reporting period. Small-caps5 underperformed, with the Russell 2000® Index6 up 13.57%. Within the large-cap space, growth outperformed value by a wide margin with the Russell 1000® Growth Index7 producing a 36.40% return compared to a modest 1.71% return for the Russell 1000® Value Index.8, 9
International markets10 also posted positive total returns, with emerging markets outperforming their developed markets. For the reporting period, emerging markets, as measured by the MSCI Emerging Markets Index,11 produced an 18.79% return, compared to a 6.69% return for developed markets, as measured by the MSCI World ex USA Index.12
Fixed Income
The reporting period had originally started out with promises of a global recovery, but it quickly transformed into the year that would drive economies into recession. In response, many global banking authorities expanded balance sheets by trillions of dollars, provided unlimited liquidity to the banking sector, and set up program after program to backstop stressed parts of the financial markets.
During the reporting period, the global financial markets can be summarized by a tale of two “walls.” On one side, there was a “wall of worry” surrounding the evolution, containment and management of the Covid-19 pandemic. However, a “wall of liquidity,” tendered by global governments and central banks, counterbalanced this pandemic from turning into another financial crisis. In essence, these two contrasting forces became the financial calculus by which global risk premiums were being determined.
While the reporting period was extremely volatile for nearly all asset classes, it ended with many major fixed-income assets classes in the black, including corporate credit markets. In fact, U.S. investment grade corporates,13 as measured by the Bloomberg Barclays U.S. Corporate Investment Grade Total Return Index,14 returned more than 9% in total return in last 12 months, and U.S. high yield bonds, as measured by the Bloomberg Barclays U.S. Corporate High Yield Total Return Index,15,16 returned more than 7% in the same period. While much of the positive returns are due to the decline in interest rates, spreads have moved toward pre-pandemic levels since the end of Q1 2020. The recovery has happened, even as Covid-19 cases continue to increase globally and more recently have resulted in a new round of lockdowns in many places across U.S. and Europe. But stronger-than-expected rebound in the economy, very supportive central banks and impressive progress made in Covid-19 vaccine development have all helped support valuations.
Internationally, the flagship global bond index, the Bloomberg Barclays Global Total Return Bond Index17 returned 8.38%. As a result of the pandemic, the European Union (EU) cast aside Maastricht rules, and country after country announced large amounts of support. The European Central Bank
Annual Shareholder Report
2

aggressively eased monetary policies with rate cuts, colossal amounts of asset buying and new programs, such as the Pandemic Emergency Purchase Program. Governments stepped up with material fiscal measures as well. In July, the European Commission introduced the EU Recovery Fund, which strove to finally establish fiscal unity in Europe. This initiative helped most developed bond markets18 but was particularly beneficial to European peripheral countries, like Italy and Spain, which outperformed significantly.
Although not immune to the effects of the pandemic, emerging market countries took decisive measures to help stimulate their economies during the crisis. The focal point of the pandemic, and associated containment measures, were initially focused on China; the country became the largest contributor towards the global recovery. Overall, high-frequency data, such as retail sales, investment data, and industrial output all continued to see improvement in the emerging market complex.
In prior years, the U.S. dollar (USD) offered safety, yield and growth advantages. However, in the past few months, the U.S. dollar grew more one dimensional and began to mostly offer safety. The aggressive easing from the U.S. Fed materially eroded the USD’s interest rate advantage. The U.S. dollar began to look more and more like a hedge against volatility and offered little else. Consequently, midway through the reporting period, broad USD weakness ensued as global investors began to diversify their holdings away from the USD.
Fund Performance
During the reporting period, the Fund’s security selection strategies generated mixed performance. All four of the Fund’s equity security selection strategies, Domestic Large Cap, International Developed, Domestic Small Cap and Emerging Markets, underperformed. This was somewhat offset, however, from outperformance from both the Domestic and International Bond security selection strategies.
Annual Shareholder Report
3

The Fund’s stock versus bond allocation detracted from relative performance.
On balance, the Fund’s three systematic macro overlay strategies, however, were additive to performance during the reporting period. The Global Equity and Global Interest Rate produced positive total returns, while the Global Currency Strategy produced negative total returns. The systematic overlay strategies invest in equity index futures, government bond futures and currency forwards to achieve the desired long/short exposures. During the period, the systematic macro overlay strategy, and thus the underlying derivatives19 positions, added 1.20% to total return.
1
Please see the footnotes to the line graphs under “Fund Performance and Growth of a $10,000 Investment” below for the definition of, and more information about, the Blended Index.
2
The Fund’s broad-based security market indexes are the S&P 500 Index and the Bloomberg Barclays U.S. Aggregate Bond Index, which had total returns of 17.46% and 7.28%, respectively. Please see the footnotes to the line graphs under “Fund Performance and Growth of a $10,000 Investment” below for the definition of, and more information about, the S&P 500 Index and the Bloomberg Barclays U.S. Aggregate Bond Index.
3
Please see the footnotes to the line graphs under “Fund Performance and Growth of a $10,000 Investment” below for the definition of, and more information about, the MWAFA.
4
The S&P 500 Index is a capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.*
5
Small company stocks may be less liquid and subject to greater price volatility than large company stocks.
6
The Russell 2000® Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000® Index is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000® Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set.*
7
The Russell 1000® Growth Index measures the performance of the large cap growth segment of the US equity universe. It includes those Russell 1000® companies with higher price-to-book ratios and higher forecasted growth values.*
8
The Russell 1000® Value Index measures the performance of the large cap value segment of the US equity universe. It includes those Russell 1000® companies with lower price-to-book ratios and lower expected growth values.*
9
Value stocks may lag growth stocks in performance, particularly in late stages of a market advance.
10
International investing involves special risks including currency risk, increased volatility, political risks, and differences in auditing and other financial standards. Prices of emerging markets securities can be significantly more volatile than the prices of securities in developed countries and currency risk and political risks are accentuated in emerging markets.
11
The MSCI Emerging Markets Index captures large- and mid-cap representation across 21 Emerging Markets (EM) countries. The indexes covers approximately 85% of the free float-adjusted market capitalization in each country.*
12
The MSCI World ex USA Index captures large and mid-cap representation across 22 of 23 Developed Markets (DM) countries excluding the United States. With 982 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country*
Annual Shareholder Report
4

13
Investment-grade securities are securities that are rated at least “BBB” or unrated securities of a comparable quality. Non-investment grade securities are securities that are not rated at least “BBB” or unrated securities of a comparable quality. Credit ratings are an indication of the risk that a security will default. They do not protect a security from credit risk. Lower-rated bonds typically offer higher yields to help compensate investors for the increased risk associated with them. Among these risks are lower creditworthiness, greater price volatility, more risk to principal and income that with higher-rated securities and increased possibilities of default.
14
Bloomberg Barclays U.S. Corporate Investment Grade Total Return Index measures the investment grade, fixed-rate, taxable corporate bond market. It includes USD denominated securities publicly issued by US and non-US industrial, utility and financial issuers.*
15
Bloomberg Barclays U.S. Corporate High Yield Total Return Index measures the USD-denominated, high-yield, fixed-rate corporate bond market.*
16
High-yield, lower-rated securities generally entail greater market, credit and liquidity risks than investment-grade securities and may include higher volatility and higher risk of default.
17
The Bloomberg Barclays Global Aggregate Index is a flagship measure of global investment grade debt from twenty-four local currency markets. This multi-currency benchmark includes treasury, government-related, corporate and securitized fixed-rate bonds from both developed and emerging markets issuers.*
18
Bond prices are sensitive to changes in interest rates and a rise in interest rates can cause a decline in their prices.
19
The use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional instruments.
*
The index is unmanaged, and it is not possible to invest directly in an index.
Annual Shareholder Report
5

FUND PERFORMANCE AND GROWTH OF A $10,000 INVESTMENT
The graph below illustrates the hypothetical investment of $10,0001 in the Federated Hermes Global Allocation Fund from November 30, 2010 to November 30, 2020, compared to a blend of indexes comprised of 60% of the MSCI All Country World Index (MSCI ACWI) and 40% of the Bloomberg Barclays Global Aggregate Index (BBGA) (the “Blended Index”),2 the Standard and Poor’s 500 Index (S&P 500),3 the Bloomberg Barclays U.S. Aggregate Bond Index (BBAB) 4 and the Morningstar World Allocation Funds Average (MWAFA).5 The Average Annual Total Return table below shows returns for each class averaged over the stated periods.
Growth of a $10,000 Investment
Growth of $10,000 as of November 30, 2020
■ Total returns shown for the Class A Shares include the maximum sales charge of 5.50% ($10,000 investment minus $550 sales charge = $9,450).
■ Total returns shown for Class C Shares include the maximum contingent deferred sales charge of 1.00% as applicable.
The Fund offers multiple share classes whose performance may be greater than or less than its other share class(es) due to difference in sales charges and expenses. See the Average Annual Return table below for the returns of additional classes not shown in the line graph above.
Annual Shareholder Report
6

Average Annual Total Returns for the Period Ended 11/30/2020
(returns reflect all applicable sales charges and contingent deferred sales charges as specified below in footnote #1)
 
1 Year
5 Years
10 Years
Class A Shares
4.63%
5.19%
5.94%
Class B Shares
4.33%
5.20%
5.86%
Class C Shares
8.87%
5.57%
5.74%
Class R Shares
10.31%
5.94%
6.10%
Institutional Shares
11.06%
6.69%
6.86%
Class R6 Shares6
11.04%
6.67%
6.69%
Blended Index
12.97%
8.58%
6.95%
S&P 500
17.46%
13.99%
14.19%
BBAB
7.28%
4.34%
3.71%
MWAFA
5.36%
5.83%
5.60%
Performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. For current to the most recent month-end performance and after-tax returns, visit FederatedInvestors.com or call 1-800-341-7400. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Mutual funds are not obligations of or guaranteed by any bank and are not federally insured.
1
Represents a hypothetical investment of $10,000 in the Fund after deducting applicable sales charges: for Class A Shares, the maximum sales charge of 5.50% ($10,000 investment minus $550 sales charge = $9,450); for Class B Shares, the maximum contingent deferred sales charge is 5.50% on any redemption of shares held up to one year from the purchase date; for Class C Shares, the maximum contingent deferred sales charge is 1.00% on any redemption less than one year from the purchase date. The Fund’s performance assumes the reinvestment of all dividends and distributions. The Blended Index, S&P 500 and BBAB have been adjusted to reflect reinvestment of dividends on securities in the indexes.
2
The Blended Index is a custom blended index comprised of 60% of the MSCI ACWI and 40% of the BBGA. The MSCI ACWI captures large- and mid-cap representation across 23 developed markets countries and 23 emerging markets countries. The index covers approximately 85% of the global investable equity opportunity set. The BBGA is a measure of global investment grade debt from 24 different local currency markets. This multi-currency benchmark includes fixed-rate treasury, government-related, corporate and securitized bonds from both developed and emerging markets issuers. The indexes are not adjusted to reflect sales loads, expenses or other fees that the Securities and Exchange Commission (SEC) requires to be reflected in the Fund’s performance. The indexes are unmanaged and, unlike the Fund, are not affected by cash flows. It is not possible to invest directly in an index.
Annual Shareholder Report
7

3
The S&P 500 is an unmanaged, capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index is not adjusted to reflect sales loads, expenses or other fees that the SEC requires to be reflected in the Fund’s performance. The index is unmanaged and, unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index.
4
The BBAB is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable rate mortgage pass-throughs), asset-backed securities and commercial mortgage-backed securities. The index is not adjusted to reflect sales loads, expenses or other fees that the SEC requires to be reflected in the Fund’s performance. The index is unmanaged and, unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index.
5
The Morningstar figures represent the average of the total returns reported by all the funds designated by Morningstar as falling into the respective category indicated. They do not reflect sales charges. The Morningstar figures in the Growth of $10,000 line graph are based on historical return information published by Morningstar and reflect the return of the funds comprising the category in the year of publication. Because the funds designated by Morningstar as falling into the category can change over time, the Morningstar figures in the line graph may not match the Morningstar figures in the Average Annual Total Returns table, which reflect the return of the funds that currently comprise the category.
6
The Fund’s Class R6 Shares commenced operations on June 29, 2016. For the period prior to the commencement of operations of the Class R6 Shares, the performance information shown is for the Fund’s Class A Shares. The performance of Class A Shares has not been adjusted to reflect the expenses of Class R6 Shares since Class R6 Shares have a lower expense ratio than the expense ratio of the Class A Shares. The performance of Class A Shares has been adjusted to remove any voluntary waiver of Fund expenses related to the Class A Shares that may have occurred during the period prior to the commencement of operations of Class R6 Shares. Additionally, the performance information shown below has been adjusted to reflect the absence of sales charges applicable to Class A Shares.
Annual Shareholder Report
8

Portfolio of Investments Summary Tables (unaudited)
At November 30, 2020, the Fund’s portfolio composition1 was as follows:
Portfolio Composition
Percentage of
Total Net Assets
Domestic Equity Securities
34.7%
International Equity Securities
30.4%
Emerging Markets Core Fund
9.3%
Foreign Debt Securities
6.8%
Corporate Debt Securities
6.7%
Federated Mortgage Core Portfolio
3.3%
U.S. Treasury and Agency Securities
1.1%
Bank Loan Core Fund
1.0%
Asset-Backed Securities
0.8%
High Yield Bond Portfolio4
0.8%
Project and Trade Finance Core Fund
0.8%
Collateralized Mortgage-Backed Securities
0.5%
Government Agencies
0.2%
Municipal Bond
0.1%
Mortgage-Backed Securities2,3
0.0%
Cash Equivalents5
0.9%
Purchased Options3
0.0%
Derivative Contracts6
0.7%
Other Assets and Liabilities—Net7
1.9%
TOTAL
100.0%
Annual Shareholder Report
9

At November 30, 2020, the Fund’s sector composition8 of the Fund’s equity holdings was as follows:
Sector Composition
of Equity Holdings
Percentage of
Equity Securities
Information Technology
20.1%
Financials
13.7%
Consumer Discretionary
13.3%
Industrials
12.0%
Health Care
11.5%
Communication Services
7.7%
Consumer Staples
7.4%
Materials
6.3%
Utilities
3.5%
Real Estate
2.8%
Energy
1.7%
TOTAL
100%
1
See the Fund’s Prospectus and Statement of Additional Information for a description of these
security types.
2
For purposes of this table, Mortgage-Backed Securities include mortgage-backed securities
guaranteed by Government Sponsored Entities and adjustable rate mortgage-backed securities.
3
Represents less than 0.1%.
4
The High Yield Portfolio is a diversified portfolio of below investment grade bonds.
5
Cash Equivalents include any investments in money market mutual funds and/or overnight
repurchase agreements.
6
Based upon net unrealized appreciation (depreciation) or value of the derivative contracts as
applicable. Derivative contracts may consist of futures, forwards, options and swaps. The impact
of a derivative contract on the Fund’s performance may be larger than its unrealized
appreciation (depreciation) or value may indicate. In many cases, the notional value or amount of
a derivative contract may provide a better indication of the contract’s significance to the
portfolio. More complete information regarding the Fund’s direct investments in derivative
contracts, including unrealized appreciation (depreciation), value and notional values or amounts
of such contracts, can be found in the table at the end of the Portfolio of Investments included
in this Report.
7
Assets, other than investments in securities and derivative contracts, less liabilities. See
Statement of Assets and Liabilities.
8
Sector classifications are based upon, and individual portfolio securities are assigned to, the
classifications of the Global Industry Classification Standard (GICS) except that the Adviser
assigns a classification to securities not classified by the GICS and to securities for which the
Adviser does not have access to the classification made by the GICS.
Annual Shareholder Report
10

Portfolio of Investments
November 30, 2020
Shares,
Principal
Amount
or Contracts
 
 
Value
           
 
COMMON STOCKS—   65.1%
 
 
 
Communication Services—   5.0%
 
17,612
 
Activision Blizzard, Inc.
$1,399,802  
995
1
Alphabet, Inc., Class A
1,745,628  
979
1
Alphabet, Inc., Class C
1,723,765  
47,884
 
America Movil S.A.B. de C.V.
35,753     
45,966
 
Auto Trader Group PLC
343,019    
628
1
CarGurus, Inc.
15,731     
25,190
 
CenturyLink, Inc.
263,236    
58
1
Charter Communications, Inc.
37,815     
550
 
Cheil Communications, Inc.
10,361     
19,000
 
China Mobile Ltd.
113,113    
2,287
1
Cincinnati Bell, Inc.
34,785     
565
1
Consolidated Communications Holdings, Inc.
3,164      
7,311
1
Facebook, Inc.
2,024,928  
600
1
Gray Television, Inc.
10,596     
3,836
 
Hellenic Telecommunication Organization SA
63,928     
397,095
 
HKT Trust and HKT Ltd.
517,959    
660
1
Imax Corp.
9,788      
12,700
 
Intouch Holdings Public Co. Ltd.
23,312     
574
 
Kakao Corp.
191,507    
4,500
 
Konami Corp.
234,554    
9,501
 
LG Uplus Corp.
102,750    
14,309
 
Mobile Telesystems, ADR
123,487    
2,586
1
MSG Networks, Inc.
31,394     
204
 
NCsoft Corp.
149,571    
6,050
 
NetEase, Inc.
110,018    
442
1
Netflix, Inc.
216,889    
5,164
 
New York Times Co., Class A
221,587    
1,600
 
Nexon Co., Ltd. Tokyo
48,417     
960
 
NHN Corp.
241,430    
500
 
Nintendo Co. Ltd.
284,033    
16,670
 
Omnicom Group, Inc.
1,050,210  
13,289
 
Quebecor, Inc., Class B
330,920    
3,124
 
Scout24 Holding GmbH
238,726    
638
 
SK Telecom Co. Ltd.
135,769    
1,500
 
Square Enix Holdings Co. Ltd.
92,149     
Annual Shareholder Report
11

Shares,
Principal
Amount
or Contracts
 
 
Value
           
 
COMMON STOCKS—   continued
 
 
 
Communication Services—   continued
 
6,932
1
Take-Two Interactive Software, Inc.
$1,251,295  
604
1
TechTarget, Inc.
31,710     
296
 
Tegna, Inc.
4,265      
105,316
 
Telefonica Deutschland Holding AG
290,473    
6,223
 
Telenet Group Holding NV
265,204    
7,014
 
Telephone and Data System, Inc.
133,126    
29,800
 
Tencent Holdings Ltd.
2,169,169  
49,355
 
TIM S.A.
124,277    
8,620
1
T-Mobile USA, Inc.
1,145,943  
2,700
 
Toho Co. Ltd.
114,634    
3,606
 
Verizon Communications, Inc.
217,839    
20,118
 
Vivendi SA
604,384    
14,149
 
Vodacom Group Ltd.
112,324    
2,732
1
Vonage Holdings Corp.
35,134     
781
1
Yandex N.V.
54,358     
1,131
1
Zillow Group, Inc.
124,806    
84,875
1
Zynga, Inc.
700,219    
 
 
TOTAL
19,559,254
 
 
Consumer Discretionary—   8.7%
 
10,500
 
ABC-Mart, Inc.
544,307    
36
1
Adtalem Global Education, Inc.
1,031      
76,840
1
Alibaba Group Holding Ltd.
2,526,183  
1,679
1
Amazon.com, Inc.
5,319,139  
647
 
American Outdoor Brands Corp.
10,197     
354
1
American Public Education, Inc.
10,988     
256
1
America’s Car-Mart, Inc.
26,752     
113
1
Asbury Automotive Group, Inc.
12,743     
348,900
 
Asset World Corp PCL
54,711     
4,907
1
B2W Companhia Global Do Varejo
64,481     
229,500
 
BAIC Motor Corp. Ltd.
86,078     
2,457
 
Bajaj Holdings & Investment Ltd.
104,749    
547
 
Bally’s Corp.
24,303     
4,379
 
Berkeley Group Holdings PLC
269,279    
339
 
Big Lots, Inc.
17,516     
31,106
 
Block (H&R), Inc.
584,793    
221
 
Bluegreen Vacations Corp.
1,406      
6,857
 
BorgWarner, Inc.
266,394    
7,500
 
BYD Co. Ltd.
176,487    
Annual Shareholder Report
12

Shares,
Principal
Amount
or Contracts
 
 
Value
           
 
COMMON STOCKS—   continued
 
 
 
Consumer Discretionary—   continued
 
5,470
 
Canadian Tire Corp. Ltd.
$699,050    
1,426
 
Carriage Services, Inc.
38,801     
13,500
 
Casio Computer Co. Ltd.
241,667    
82,000
 
China Yuhua Education Corp. Ltd.
77,315     
138
 
Collectors Universe, Inc.
10,647     
1,586
 
Coway Co. Ltd.
99,550     
892
1
CROCs, Inc.
52,530     
20,995
 
D. R. Horton, Inc.
1,564,127  
307
1
Deckers Outdoor Corp.
78,159     
3,232
1
Denny’s Corp.
37,200     
540
 
Dine Brands Global, Inc.
34,004     
516
 
Dollar General Corp.
112,787    
13,145
 
Dollarama, Inc.
538,067    
7,402
 
eBay, Inc.
373,283    
462
1
El Pollo Loco Holdings, Inc.
7,240      
448
1
Etsy, Inc.
71,994     
2,789
 
Evolution Gaming Group AB
238,905    
93,611
 
Extended Stay America, Inc.
1,283,407  
79,000
 
Formosa Taffeta Co.
84,997     
24,217
 
Gentex Corp.
789,474    
782,000
1
Gome Electrical Appliances Holdings Ltd.
92,958     
940
1
Green Brick Partners, Inc.
20,464     
303
 
Group 1 Automotive, Inc.
35,999     
175
 
Hermes International
170,172    
6,595
 
Home Depot, Inc.
1,829,519  
143,000
 
Home Product Center Public Co. Ltd.
69,334     
84
 
Hyundai Mobis
18,582     
227
 
Hyundai Motor Co.
37,387     
10,300
 
Iida Group Holdings Co. Ltd.
205,821    
8,400
 
Industria de Diseno Textil SA
278,323    
607
 
Jack in the Box, Inc.
55,838     
30,146
 
JD Sports Fashion PLC
312,627    
7,010
1
JD.com, Inc.
301,540    
178
 
Johnson Outdoors, Inc., Class A
14,881     
3,159
1
Jubilant Foodworks Ltd.
104,807    
5,900
 
Koito Manufacturing Co. Ltd.
352,912    
10,386
1
La Francaise des Jeux SAEM
432,250    
1,702
1
Laureate Education, Inc.
24,168     
Annual Shareholder Report
13

Shares,
Principal
Amount
or Contracts
 
 
Value
           
 
COMMON STOCKS—   continued
 
 
 
Consumer Discretionary—   continued
 
392
 
LCI Industries
$49,306     
780
 
Lennar Corp., Class A
59,171     
2,492
 
Lennar Corp., Class B
151,264    
27,000
 
Li Ning Co. Ltd.
146,823    
5,362
 
Lowe’s Cos., Inc.
835,507    
182
 
M.D.C. Holdings, Inc.
8,785      
13,037
 
Magna International, Inc.
799,466    
2,827
1
Magnite, Inc.
53,713     
337
 
Marine Products Corp.
5,197      
598
 
Marriott Vacations Worldwide Corp.
76,143     
20,900
1,2
Meituan
784,354    
492
1
Meritage Corp.
44,354     
1,729
 
Michelin, Class B
214,656    
158
 
Murphy USA, Inc.
20,256     
1,873
 
Naspers Ltd., Class N
377,162    
47,466
 
Newell Brands, Inc.
1,009,127  
5,556
 
Next PLC
484,434    
12,100
 
Nikon Corp.
74,610     
928
 
ODP Corp./The
26,606     
123
 
Pandora A/S
12,277     
466
 
Patrick Industries, Inc.
29,377     
876
1
Perdoceo Education Corp.
9,934      
2,569
 
Persimmon PLC
90,757     
31,686
 
Petrobras Distribuidora SA
121,423    
31,107
 
Peugeot SA
729,468    
4,098
1
Prosus NV
442,638    
1,212
 
Pulte Group, Inc.
52,880     
1,001
1
Purple Innovation, Inc.
29,850     
911
 
Rent-A-Center, Inc.
30,810     
183
1
RH
82,928     
15,600
 
Sega Sammy Holdings, Inc.
218,277    
22,900
 
Sekisui House Ltd.
410,095    
4,000
 
Shimamura Co. Ltd.
413,244    
400
 
Shimano, Inc.
94,860     
1,037
1
Signet Jewelers Ltd.
31,411     
102
 
Sonic Automotive, Inc.
4,119      
21
1
Stamps.com, Inc.
3,937      
807
 
Standard Motor Products, Inc.
37,356     
Annual Shareholder Report
14

Shares,
Principal
Amount
or Contracts
 
 
Value
           
 
COMMON STOCKS—   continued
 
 
 
Consumer Discretionary—   continued
 
12,300
 
Stanley Electric Co. Ltd.
$359,753    
4,900
 
Subaru Corp.
96,448     
3,200
 
Suzuki Motor Corp.
170,372    
9,072
1
Terminix Global Holdings, Inc.
444,800    
4,095
1
Tesla, Inc.
2,324,322  
29,999
 
The Wendy’s Co.
659,678    
495
 
Thor Industries, Inc.
47,772     
173
1
TopBuild Corp.
30,142     
10,721
1
Via Varejo SA
35,521     
363
1
WW International, Inc.
10,712     
2,497
 
Wyndham Destinations, Inc.
105,024    
7,207
 
Wyndham Hotels & Resorts, Inc.
414,403    
632
 
Yum China Holding, Inc.
35,632     
14,500
 
Zhongsheng Group Holdings
108,352    
201
1
Zumiez, Inc.
7,455      
 
 
TOTAL
33,809,284
 
 
Consumer Staples—   4.8%
 
11,460
 
Albertsons Cos., Inc.
183,704    
3,824
 
Alimentation Couche-Tard, Inc., Class B
126,996    
35,344
 
Altria Group, Inc.
1,407,751  
70,981
 
Ambev SA
185,223    
46,373
 
Becle SA de CV
108,462    
12,651
 
BIM Birlesik Magazalar AS
113,071    
933
1
BJ’s Wholesale Club Holdings, Inc.
38,244     
2,043
 
Britannia Industries
97,454     
12,160
 
Brown-Forman Corp.
896,557    
383
 
Calavo Growers, Inc.
27,434     
1,303
 
Carlsberg A/S, Class B
193,373    
76,200
 
Charoen Pokphand Foods Public Co. Ltd.
71,952     
20,000
 
China Resources Enterprises Ltd.
148,137    
299
 
CJ CheilJedang Corp.
97,839     
6,895
 
Clicks Group, Ltd.
104,247    
25,770
 
Coca-Cola Amatil Ltd.
239,360    
63
 
Coca-Cola Bottling Co.
16,486     
400
 
Cosmos Pharmaceutical Corp.
68,998     
702
 
Edgewell Personal Care Co.
24,394     
2,447
 
Empire Co. Ltd., Class A
66,964     
11,500
 
Fraser & Neave Holdings Bhd
92,086     
Annual Shareholder Report
15

Shares,
Principal
Amount
or Contracts
 
 
Value
           
 
COMMON STOCKS—   continued
 
 
 
Consumer Staples—   continued
 
6,930
 
George Weston Ltd.
$512,853    
18
 
Gruma S.A., Class B
199        
56,663
 
Grupo Bimbo S.A.B. de CV, Class A
119,913    
5,987
1
Herbalife Ltd.
286,837    
1,418
 
Hindustan Lever Ltd.
40,968     
7,953
 
Imperial Brands PLC
144,059    
84,000
 
Indofood CBP Sukses Makmur TBK PT
58,735     
370
 
Ingles Markets, Inc., Class A
13,908     
52,105
 
ITC Ltd.
135,428    
33,154
 
JBS S.A.
143,263    
940
 
Kimberly-Clark Corp.
130,951    
69,920
 
Kimberly-Clark de Mexico
110,847    
1,100
 
Kobe Bussan Co. Ltd.
38,399     
1,755
 
Korea Tobacco & Ginseng Corp.
130,928    
3,786
 
Kroger Co.
124,938    
10,500
 
Lion Corp.
247,778    
11,901
 
Loblaw Cos. Ltd.
588,315    
3,476
 
L’Oreal SA
1,268,799  
7,792
2
Magnit, GDR
117,581    
19,298
1
Marico Ltd.
95,062     
6,970
 
Metro, Inc., Class A
320,190    
10,386
1
Monster Beverage Corp.
880,525    
473
 
Nestle India Ltd.
108,350    
13,031
 
Nestle S.A.
1,454,104  
7,529
 
Nu Skin Enterprises, Inc., Class A
387,819    
54,700
 
Osotspa PCL
65,548     
3,300
 
Perlis Plantations Bhd
15,043     
900
 
Pigeon Corp.
40,206     
39,935
1
Pilgrim’s Pride Corp.
754,372    
4,100
 
Pola Orbis Holdings, Inc.
81,531     
6,508
 
Procter & Gamble Co.
903,766    
31,600
 
PT Gudang Garam Tbk
94,473     
193,300
 
PT Indofood Sukses Makmur
96,927     
100,820
 
Puregold Price Club, Inc.
88,534     
28,022
1
Raia Drogasil S.A.
135,209    
777
1
Rite Aid Corp.
10,256     
220
 
Sanfilippo (John B. & Sons), Inc.
16,326     
11,900
 
Seven & I Holdings Co. Ltd.
375,690    
Annual Shareholder Report
16

Shares,
Principal
Amount
or Contracts
 
 
Value
           
 
COMMON STOCKS—   continued
 
 
 
Consumer Staples—   continued
 
10,156
 
Shoprite Holdings Ltd.
$83,511     
40,000
 
Standard Foods Taiwan Ltd.
87,633     
4,300
 
Sundrug Co. Ltd.
179,944    
4,000
 
Suntory Beverage and Food Ltd.
145,650    
11,100
 
Thai Union Frozen Products Public Co. Ltd.
5,510      
358
 
The Spar Group, Ltd.
4,399      
56,000
 
Tingyi (Cayman Isln) Hldg Co.
94,611     
3,300
 
Toyo Suisan Kaisha Ltd.
161,991    
293
 
Turning Point Brands, Inc.
11,433     
1,300
 
Unicharm Corp.
63,102     
15,294
 
Unilever PLC
933,134    
338
 
Universal Corp.
15,382     
8,360
 
Universal Robina Corp.
24,697     
138
1
USANA Health Sciences, Inc.
10,375     
5,629
 
Vector Group Ltd.
63,270     
33,000
 
Vinda International Holdings Ltd.
94,438     
68,234
 
Wal-Mart de Mexico SAB de C.V.
179,614    
7,729
 
WalMart, Inc.
1,180,914  
54
 
WD 40 Co.
13,733     
19,056
 
Woolworth’s Ltd.
517,527    
1,800
 
Yakult Honsha Co. Ltd.
85,631     
26,300
 
Yamazaki Baking Co. Ltd.
436,578    
5,000
 
Yihai International Holding Ltd.
58,739     
 
 
TOTAL
18,899,178
 
 
Energy—   1.1%
 
480
 
Cactus, Inc.
11,136     
14,803
 
Chevron Corp.
1,290,526  
60,000
 
China Oilfield Services Ltd.
45,011     
3,000
 
CNOOC Ltd.
2,994      
21,396
1
Coal India Ltd.
36,146     
11,719
 
Devon Energy Corp.
163,949    
13,416
 
Exxaro Resources Ltd.
102,818    
1,929
1
Frank’s International N.V.
4,302      
1,226
1
Green Plains, Inc.
18,120     
24,402
 
Imperial Oil Ltd.
422,389    
1,913
 
Liberty Oilfield Services, Inc.
17,791     
3,385
 
National Oilwell Varco, Inc.
41,500     
4,871
1
Nextier Oilfield Solutions, Inc.
13,639     
Annual Shareholder Report
17

Shares,
Principal
Amount
or Contracts
 
 
Value
           
 
COMMON STOCKS—   continued
 
 
 
Energy—   continued
 
29,309
 
Petronet LNG Ltd.
$97,989     
12,899
 
Phillips 66
781,421    
3,740
1
Propetro Holding Corp.
21,580     
65,300
 
PT United Tractors
106,519    
13,700
 
PTT Exploration and Production Public Co.
43,129     
141,900
 
PTT Public Co. Ltd.
185,554    
12,079
 
Reliance Industries Ltd.
316,284    
362
1
Renewable Energy Group, Inc.
21,025     
4,579
 
RPC, Inc.
14,195     
273
 
Tupras Turkiye Petrol Rafinerileri A.S.
3,168      
10,540
 
Valero Energy Corp.
566,736    
1,657
 
World Fuel Services Corp.
47,092     
 
 
TOTAL
4,375,013
 
 
Financials—   8.9%
 
1,441
 
1st Source Corp.
53,778     
12,124
 
Admiral Group PLC
461,359    
15,116
 
Aflac, Inc.
664,046    
9,975
 
Ageas
489,153    
89,200
 
AIA Group Ltd.
974,336    
5,257
 
Allianz SE
1,239,586  
3,315
 
Allstate Corp.
339,290    
7,864
 
Ally Financial, Inc.
233,168    
643
 
Amalgamated Bank
8,179      
1,733
 
American Equity Investment Life Holding Co.
45,543     
3,874
 
Ameriprise Financial, Inc.
717,620    
127,600
 
AMMB Holdings Bhd
103,744    
3,766
 
Apollo Global Management LLC
164,273    
1,500
 
Artisan Partners Asset Management, Inc.
67,500     
34,855
 
Assicurazioni Generali SpA
594,547    
10,500
 
AXA SA
246,053    
22,223
1
B3 SA - Brasil Bolsa Balcao
232,833    
36,773
1
Banco Bradesco SA
148,605    
968,560
 
Banco de Chile
85,364     
2,023,133
 
Banco Santander Chile SA
87,893     
935
1
Bancorp, Inc., DE
11,033     
22,147
1
Bandhan Bank Ltd
109,059    
74,552
 
Bank of America Corp.
2,099,384  
161,000
 
Bank of China Ltd.
55,874     
Annual Shareholder Report
18

Shares,
Principal
Amount
or Contracts
 
 
Value
           
 
COMMON STOCKS—   continued
 
 
 
Financials—   continued
 
412
 
Bank of Marin Bancorp
$14,296     
43,625
 
Bank of New York Mellon Corp.
1,706,610  
587
 
Bank Pekao SA
8,843      
2,397
 
BankUnited, Inc.
68,338     
26,192
 
BB Seguridade Participacoes SA
139,628    
299
1
Berkshire Hathaway, Inc., Class B
68,444     
2,372
 
Brightsphere Investment Group, Inc.
41,984     
120
 
Bryn Mawr Bank Corp.
3,578      
18,139
 
BS Financial Group, Inc.
91,941     
166
 
Camden National Corp.
5,702      
183
1
Cannae Holdings, Inc.
7,214      
1,094
 
Cathay Bancorp, Inc.
30,906     
17,000
 
Chailease Holding Co. Ltd.
93,160     
387,000
 
China Construction Bank Corp.
297,677    
345,000
 
China Development Financial Holding Corp.
108,031    
251,000
 
China Everbright Bank Co. Ltd.
97,699     
167,000
 
China Galaxy Securities Co.
107,334    
41,600
 
China International Capital Corp. Ltd.
96,380     
77,000
 
China Life Insurance Co. Ltd.
172,516    
36,000
 
China Merchants Bank Co. Ltd.
227,993    
104,500
 
China Minsheng Banking Corp. Ltd.
57,130     
38,948
 
CI Financial Corp.
510,430    
49,000
 
CITIC Securities Co. Ltd.
110,482    
352
 
City Holding Co.
23,123     
140
 
CNA Financial Corp.
4,831      
371
 
Cohen & Steers, Inc.
26,256     
12,525
 
Daewoo Securities Co.
107,650    
15,000
 
DBS Group Holdings Ltd.
278,126    
4,111
 
Deutsche Boerse AG
685,345    
1,389
 
Dime Community Bancorp, Inc.
20,071     
19,078
 
DNB Bank ASA
344,184    
2,907
 
Donegal Group, Inc., Class A
40,640     
2,345
 
Dongbu Insurance Co. Ltd.
93,124     
155,175
 
E.Sun Financial Holding Co. Ltd.
136,988    
642
 
Eagle Bancorp, Inc.
23,613     
2,461
1
Enova International, Inc.
51,460     
7,374
 
EQT AB
163,642    
7,572
 
Exor NV
523,319    
Annual Shareholder Report
19

Shares,
Principal
Amount
or Contracts
 
 
Value
           
 
COMMON STOCKS—   continued
 
 
 
Financials—   continued
 
93,000
 
Far East Horizon
$98,812     
849
 
Farmers National Banc Corp.
10,646     
3,262
 
First BanCorp
25,900     
492
 
First Bancorp, Inc.
15,439     
1,874
 
First Financial Bankshares, Inc.
62,629     
8,000
 
First Financial Holding Co. Ltd.
5,972      
2,617
 
First Foundation, Inc.
46,478     
70,000
 
GF Securities Co. Ltd.
97,151     
7,271
 
Gjensidige Forsikring ASA
158,133    
2,216
 
Goldman Sachs Group, Inc.
510,965    
940
 
Great-West Lifeco, Inc.
21,866     
65,400
 
Guotai Junan Securities Co. Ltd.
96,212     
31,700
 
Hang Seng Bank Ltd.
551,985    
5,021
 
Hannover Rueckversicherung SE
840,418    
15,238
 
Hargreaves Lansdown PLC
289,600    
2,954
 
HDFC Asset Management Co Ltd.
100,673    
9,000
 
Hong Kong Exchanges & Clearing Ltd.
447,628    
25,200
 
Hong Leong Credit Berhad
101,465    
5,538
 
Housing Development Finance Corp. Ltd.
167,728    
132,283
 
Hua Nan Financial Holdings Co. Ltd.
84,277     
58,200
 
Huatai Securities Co. Ltd.
90,594     
4,289
 
Hyundai Marine & Fire Insurance Co.
87,045     
11,502
 
ICICI Bank Ltd.
73,476     
5,966
 
ICICI Lombard General Insurance Co. Ltd.
117,874    
20,715
 
IGM Financial, Inc.
547,902    
175,000
 
Industrial & Commercial Bank of China
109,006    
1,370
 
Intact Financial Corp.
153,267    
709
 
International Bancshares Corp.
22,979     
157,422
 
Intesa Sanpaolo SpA
360,879    
4,556
 
Investors Bancorp, Inc.
44,102     
11,332
 
JPMorgan Chase & Co.
1,335,816  
72,702
 
Legal & General Group PLC
244,402    
9,184
 
LG Investment & Securities Co. Ltd.
89,439     
3,665
 
London Stock Exchange Group PLC
395,461    
2,330
 
LPL Investment Holdings, Inc.
211,494    
606