NPORT-EX 2 edgar_6.htm
DFA INVESTMENT DIMENSIONS GROUP INC.
FORM N-Q REPORT
January 31, 2020
(UNAUDITED)
Table of Contents
Definitions of Abbreviations and Footnotes
Dimensional 2055 Target Date Retirement Income Fund
Dimensional 2060 Target Date Retirement Income Fund
Dimensional 2065 Target Date Retirement Income Fund
Dimensional 2005 Target Date Retirement Income Fund
Dimensional 2010 Target Date Retirement Income Fund
Dimensional 2015 Target Date Retirement Income Fund
Dimensional 2020 Target Date Retirement Income Fund
Dimensional 2025 Target Date Retirement Income Fund
Dimensional 2030 Target Date Retirement Income Fund
Dimensional 2035 Target Date Retirement Income Fund
Dimensional 2040 Target Date Retirement Income Fund
DFA Short-Duration Real Return Portfolio
DFA Municipal Real Return Portfolio
DFA Municipal Bond Portfolio
World Core Equity Portfolio
DFA LTIP Portfolio
U.S. Social Core Equity 2 Portfolio
U.S. Sustainability Core 1 Portfolio
International Sustainability Core 1 Portfolio
International Social Core Equity Portfolio
Global Social Core Equity Portfolio
Emerging Markets Social Core Equity Portfolio
Tax-Managed U.S. Marketwide Value Portfolio
Tax-Managed U.S. Equity Portfolio
Tax-Managed U.S. Targeted Value Portfolio
Tax-Managed U.S. Small Cap Portfolio
Notes to Financial Statements
Organization
Security Valuation
Financial Instruments
Federal Tax Cost
Recently Issued Accounting Standards
Other
Subsequent Event Evaluations
Table of Contents CONTINUED
THE DFA INVESTMENT TRUST COMPANY
SCHEDULES OF INVESTMENTS
The U.S. Large Cap Value Series
The DFA International Value Series
The Japanese Small Company Series
The Asia Pacific Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
The Tax-Managed U.S. Marketwide Value Series
NOTES TO SCHEDULES OF INVESTMENTS
Organization
Security Valuation
Financial Instruments
Federal Tax Cost
Recently Issued Accounting Standards
Other
Subsequent Event Evaluations
DIMENSIONAL EMERGING MARKETS VALUE FUND
SCHEDULE OF INVESTMENTS
NOTES TO SCHEDULE OF INVESTMENTS
Organization
Security Valuation
Financial Instruments
Federal Tax Cost
Recently Issued Accounting Standards
Other
Subsequent Event Evaluations
DFA INVESTMENT DIMENSIONS GROUP INC.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments
Investment Abbreviations
P.L.C. Public Limited Company
SA Special Assessment
CPI Consumer Price Index
ADR American Depositary Receipt
REIT Real Estate Investment Trust
ST Special Tax
CP Certificate Participation
GDR Global Depositary Receipt
LIBOR London Interbank Offered Rate
USTMMR U.S. Treasury Money Market Rate
AGM Assured Guaranty Municipal Corporation
ETM Escrowed to Maturity
GO General Obligation
PSF-GTD Public School Fund Guarantee
RB Revenue Bond
RN Revenue Note
SCH BD GTY School Bond Guaranty
SCSDE South Carolina State Department of Education
SD CRED PROG School District Credit Program
ST AID WITHHLDG State Aid Withholding
ST GTD State Guaranteed
AMBAC American Municipal Bond Assurance Corporation
SCH BD RES FD School Board Resolution Fund
FGIC Federal Guaranty Insurance Corporation
CAD Canadian Dollars
DKK Danish Krone
EUR Euro
GBP British Pounds
NOK Norwegian Krone
SEK Swedish Krona
USD United States Dollar
AUD Australian Dollars
CHF Swiss Franc
ILS Israeli New Shekel
JPY Japanese Yen
NZD New Zealand Dollars
SGD Singapore Dollars
    
CONTINUED
Investment Footnotes
^ Denominated in USD, unless otherwise noted.
† See Security Valuation Note within the Notes to Schedules of Investments.
(r) The adjustable rate shown is effective as of January 31, 2020
Ω Rule 144A, Section 4(2), or other security that is restricted as to resale to institutional investors. The Fund’s Advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
§ Affiliated Fund.
^^ See Federal Tax Cost Note within the Notes to Schedules of Investments.
* Non-Income Producing Securities.
» Securities have generally been fair valued. See Security Valuation Note within the Notes to Schedules of Investments.
± Face Amount of security is not adjusted for inflation.
¤ Pre-refunded bonds are collateralized by U.S. Government or other eligible securities that are held in escrow and used to pay principal and interest and retire the bonds at the earliest refunding date (payment date) and/or whose interest rates vary with changes in a designated base rate (such as the prime interest rate).
† See Note B to Financial Statements.
Dimensional 2055 Target Date Retirement Income Fund
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
    Shares   Value†
AFFILIATED INVESTMENT COMPANIES — (100.0%)
Investment in U.S. Large Company Portfolio of

Dimensional Investment Group Inc.
398,099   $9,860,923
Investment in U.S. Core Equity 1 Portfolio of

DFA Investment Dimensions Group Inc.
384,346   9,820,047
Investment in Large Cap International Portfolio of

DFA Investment Dimensions Group Inc.
227,963   5,240,868
Investment in Emerging Markets Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
130,456   2,667,830
Investment in International Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
196,978   2,621,774
Investment in DFA Short-Term Extended Quality Portfolio of

DFA Investment Dimensions Group Inc.
74,809   811,675
Investment in DFA Two-Year Global Fixed Income Portfolio of

DFA Investment Dimensions Group Inc.
81,650   810,785
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES

(Cost $27,687,031)^^
    $31,833,902
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Affiliated Investment Companies
$31,833,902   —   —   $31,833,902
TOTAL
$31,833,902   —   —   $31,833,902
Dimensional 2060 Target Date Retirement Income Fund
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
    Shares   Value†
AFFILIATED INVESTMENT COMPANIES — (100.0%)
Investment in U.S. Large Company Portfolio of

Dimensional Investment Group Inc.
293,325   $7,265,650
Investment in U.S. Core Equity 1 Portfolio of

DFA Investment Dimensions Group Inc.
283,869   7,252,853
Investment in Large Cap International Portfolio of

DFA Investment Dimensions Group Inc.
166,427   3,826,166
Investment in Emerging Markets Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
95,425   1,951,443
Investment in International Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
143,999   1,916,630
Investment in DFA Short-Term Extended Quality Portfolio of

DFA Investment Dimensions Group Inc.
54,869   595,328
Investment in DFA Two-Year Global Fixed Income Portfolio of

DFA Investment Dimensions Group Inc.
59,941   595,216
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES

(Cost $20,512,383)^^
    $23,403,286
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Affiliated Investment Companies
$23,403,286   —   —   $23,403,286
TOTAL
$23,403,286   —   —   $23,403,286
Dimensional 2065 Target Date Retirement Income Fund
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
    Shares   Value†
AFFILIATED INVESTMENT COMPANIES — (100.0%)
Investment in U.S. Large Company Portfolio of

Dimensional Investment Group Inc.
526   $13,027
Investment in U.S. Core Equity 1 Portfolio of

DFA Investment Dimensions Group Inc.
505   12,899
Investment in Large Cap International Portfolio of

DFA Investment Dimensions Group Inc.
300   6,896
Investment in Emerging Markets Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
172   3,519
Investment in International Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
258   3,436
Investment in DFA Short-Term Extended Quality Portfolio of

DFA Investment Dimensions Group Inc.
99   1,082
Investment in DFA Two-Year Global Fixed Income Portfolio of

DFA Investment Dimensions Group Inc.
109   1,080
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES

(Cost $43,162)^^
    $41,939
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Affiliated Investment Companies
$41,939   —   —   $41,939
TOTAL
$41,939   —   —   $41,939
Dimensional 2005 Target Date Retirement Income Fund
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
    Shares   Value†
AFFILIATED INVESTMENT COMPANIES — (100.0%)
Investment in DFA Inflation-Protected Securities Portfolio of

DFA Investment Dimensions Group Inc.
254,378   $3,136,481
Investment in DFA One-Year Fixed Income Portfolio of

DFA Investment Dimensions Group Inc.
200,045   2,062,463
Investment in U.S. Large Company Portfolio of

Dimensional Investment Group Inc.
16,501   408,724
Investment in U.S. Core Equity 1 Portfolio of

DFA Investment Dimensions Group Inc.
15,936   407,175
Investment in Large Cap International Portfolio of

DFA Investment Dimensions Group Inc.
9,412   216,390
Investment in Emerging Markets Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
5,382   110,053
Investment in International Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
8,111   107,951
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES

(Cost $5,920,916)
    $6,449,237
    
       
TEMPORARY CASH INVESTMENTS — (0.0%)
State Street Institutional U.S. Government Money Market Fund, 1.518%

(Cost $554)
554 554
TOTAL INVESTMENTS — (100.0%)

(Cost $5,921,470)^^
  $6,449,791
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Affiliated Investment Companies
$6,449,237   —   —   $6,449,237
Temporary Cash Investments
554   —   —   554
TOTAL
$6,449,791   —   —   $6,449,791
Dimensional 2010 Target Date Retirement Income Fund
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
    Shares   Value†
AFFILIATED INVESTMENT COMPANIES — (99.9%)
Investment in DFA Inflation-Protected Securities Portfolio of

DFA Investment Dimensions Group Inc.
1,037,091   $12,787,336
Investment in U.S. Large Company Portfolio of

Dimensional Investment Group Inc.
54,412   1,347,797
Investment in U.S. Core Equity 1 Portfolio of

DFA Investment Dimensions Group Inc.
52,671   1,345,739
Investment in Large Cap International Portfolio of

DFA Investment Dimensions Group Inc.
31,138   715,863
Investment in Emerging Markets Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
17,788   363,772
Investment in International Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
26,919   358,286
Investment in DFA One-Year Fixed Income Portfolio of

DFA Investment Dimensions Group Inc.
23,010   237,231
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES

(Cost $15,190,886)
    $17,156,024
    
       
TEMPORARY CASH INVESTMENTS — (0.1%)
State Street Institutional U.S. Government Money Market Fund, 1.518%

(Cost $9,529)
9,529 9,529
TOTAL INVESTMENTS — (100.0%)

(Cost $15,200,415)^^
  $17,165,553
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Affiliated Investment Companies
$17,156,024   —   —   $17,156,024
Temporary Cash Investments
9,529   —   —   9,529
TOTAL
$17,165,553   —   —   $17,165,553
Dimensional 2015 Target Date Retirement Income Fund
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
    Shares   Value†
AFFILIATED INVESTMENT COMPANIES — (100.0%)
Investment in DFA Inflation-Protected Securities Portfolio of

DFA Investment Dimensions Group Inc.
2,516,225   $31,025,058
Investment in DFA LTIP Portfolio of

DFA Investment Dimensions Group Inc.
426,918   4,644,867
Investment in U.S. Large Company Portfolio of

Dimensional Investment Group Inc.
148,590   3,680,566
Investment in U.S. Core Equity 1 Portfolio of

DFA Investment Dimensions Group Inc.
143,671   3,670,784
Investment in Large Cap International Portfolio of

DFA Investment Dimensions Group Inc.
85,033   1,954,917
Investment in Emerging Markets Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
48,583   993,529
Investment in International Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
73,510   978,420
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES

(Cost $41,187,209)
    $46,948,141
    
       
TEMPORARY CASH INVESTMENTS — (0.0%)
State Street Institutional U.S. Government Money Market Fund, 1.518%

(Cost $14,449)
14,449 14,449
TOTAL INVESTMENTS — (100.0%)

(Cost $41,201,658)^^
  $46,962,590
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Affiliated Investment Companies
$46,948,141   —   —   $46,948,141
Temporary Cash Investments
14,449   —   —   14,449
TOTAL
$46,962,590   —   —   $46,962,590
Dimensional 2020 Target Date Retirement Income Fund
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
    Shares   Value†
AFFILIATED INVESTMENT COMPANIES — (99.9%)
Investment in DFA Inflation-Protected Securities Portfolio of

DFA Investment Dimensions Group Inc.
5,112,277   $63,034,380
Investment in DFA LTIP Portfolio of

DFA Investment Dimensions Group Inc.
2,165,189   23,557,257
Investment in U.S. Large Company Portfolio of

Dimensional Investment Group Inc.
359,095   8,894,784
Investment in U.S. Core Equity 1 Portfolio of

DFA Investment Dimensions Group Inc.
347,523   8,879,197
Investment in Large Cap International Portfolio of

DFA Investment Dimensions Group Inc.
205,284   4,719,487
Investment in Emerging Markets Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
117,269   2,398,145
Investment in International Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
177,457   2,361,946
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES

(Cost $98,377,045)
    $113,845,196
    
       
TEMPORARY CASH INVESTMENTS — (0.1%)
State Street Institutional U.S. Government Money Market Fund, 1.518%

(Cost $89,410)
89,410 89,410
TOTAL INVESTMENTS — (100.0%)

(Cost $98,466,455)^^
  $113,934,606
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Affiliated Investment Companies
$113,845,196   —   —   $113,845,196
Temporary Cash Investments
89,410   —   —   89,410
TOTAL
$113,934,606   —   —   $113,934,606
Dimensional 2025 Target Date Retirement Income Fund
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
    Shares   Value†
AFFILIATED INVESTMENT COMPANIES — (100.0%)
Investment in DFA LTIP Portfolio of

DFA Investment Dimensions Group Inc.
4,981,889   $54,202,957
Investment in DFA Inflation-Protected Securities Portfolio of

DFA Investment Dimensions Group Inc.
3,358,271   41,407,479
Investment in U.S. Large Company Portfolio of

Dimensional Investment Group Inc.
798,751   19,785,053
Investment in U.S. Core Equity 1 Portfolio of

DFA Investment Dimensions Group Inc.
771,915   19,722,431
Investment in Large Cap International Portfolio of

DFA Investment Dimensions Group Inc.
455,834   10,479,637
Investment in Emerging Markets Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
261,494   5,347,545
Investment in International Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
394,297   5,248,091
Investment in DFA Short-Term Extended Quality Portfolio of

DFA Investment Dimensions Group Inc.
387,120   4,200,257
Investment in DFA Two-Year Global Fixed Income Portfolio of

DFA Investment Dimensions Group Inc.
422,915   4,199,546
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES

(Cost $138,056,441)
    $164,592,996
    
       
TEMPORARY CASH INVESTMENTS — (0.0%)
State Street Institutional U.S. Government Money Market Fund, 1.518%

(Cost $37,294)
37,294 37,294
TOTAL INVESTMENTS — (100.0%)

(Cost $138,093,735)^^
  $164,630,290
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Affiliated Investment Companies
$164,592,996   —   —   $164,592,996
Temporary Cash Investments
37,294   —   —   37,294
TOTAL
$164,630,290   —   —   $164,630,290
Dimensional 2030 Target Date Retirement Income Fund
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
    Shares   Value†
AFFILIATED INVESTMENT COMPANIES — (100.0%)
Investment in DFA LTIP Portfolio of

DFA Investment Dimensions Group Inc.
4,695,802   $51,090,327
Investment in U.S. Large Company Portfolio of

Dimensional Investment Group Inc.
1,001,391   24,804,455
Investment in U.S. Core Equity 1 Portfolio of

DFA Investment Dimensions Group Inc.
966,788   24,701,441
Investment in Large Cap International Portfolio of

DFA Investment Dimensions Group Inc.
573,036   13,174,104
Investment in DFA Inflation-Protected Securities Portfolio of

DFA Investment Dimensions Group Inc.
720,856   8,888,158
Investment in DFA Short-Term Extended Quality Portfolio of

DFA Investment Dimensions Group Inc.
729,004   7,909,686
Investment in DFA Two-Year Global Fixed Income Portfolio of

DFA Investment Dimensions Group Inc.
796,465   7,908,901
Investment in Emerging Markets Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
326,934   6,685,796
Investment in International Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
493,874   6,573,456
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES

(Cost $125,174,997)
    $151,736,324
    
       
TEMPORARY CASH INVESTMENTS — (0.0%)
State Street Institutional U.S. Government Money Market Fund, 1.518%

(Cost $32,677)
32,677 32,677
TOTAL INVESTMENTS — (100.0%)

(Cost $125,207,674)^^
  $151,769,001
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Affiliated Investment Companies
$151,736,324   —   —   $151,736,324
Temporary Cash Investments
32,677   —   —   32,677
TOTAL
$151,769,001   —   —   $151,769,001
Dimensional 2035 Target Date Retirement Income Fund
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
    Shares   Value†
AFFILIATED INVESTMENT COMPANIES — (100.0%)
Investment in U.S. Large Company Portfolio of

Dimensional Investment Group Inc.
999,737   $24,763,477
Investment in U.S. Core Equity 1 Portfolio of

DFA Investment Dimensions Group Inc.
966,647   24,697,836
Investment in DFA LTIP Portfolio of

DFA Investment Dimensions Group Inc.
2,185,174   23,774,695
Investment in Large Cap International Portfolio of

DFA Investment Dimensions Group Inc.
567,056   13,036,625
Investment in DFA Short-Term Extended Quality Portfolio of

DFA Investment Dimensions Group Inc.
859,909   9,330,013
Investment in DFA Two-Year Global Fixed Income Portfolio of

DFA Investment Dimensions Group Inc.
939,578   9,330,012
Investment in Emerging Markets Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
325,189   6,650,103
Investment in International Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
490,652   6,530,581
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES

(Cost $98,152,772)^^
    $118,113,342
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Affiliated Investment Companies
$118,113,342   —   —   $118,113,342
TOTAL
$118,113,342   —   —   $118,113,342
Dimensional 2040 Target Date Retirement Income Fund
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
    Shares   Value†
AFFILIATED INVESTMENT COMPANIES — (99.9%)
Investment in U.S. Large Company Portfolio of

Dimensional Investment Group Inc.
991,817   $24,567,319
Investment in U.S. Core Equity 1 Portfolio of

DFA Investment Dimensions Group Inc.
957,405   24,461,712
Investment in Large Cap International Portfolio of

DFA Investment Dimensions Group Inc.
568,937   13,079,855
Investment in DFA Short-Term Extended Quality Portfolio of

DFA Investment Dimensions Group Inc.
943,855   10,240,826
Investment in DFA Two-Year Global Fixed Income Portfolio of

DFA Investment Dimensions Group Inc.
1,031,111   10,238,931
Investment in Emerging Markets Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
323,972   6,625,231
Investment in International Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
491,301   6,539,211
Investment in DFA LTIP Portfolio of

DFA Investment Dimensions Group Inc.
25,651   279,080
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES

(Cost $80,249,138)
    $96,032,165
    
       
TEMPORARY CASH INVESTMENTS — (0.1%)
State Street Institutional U.S. Government Money Market Fund, 1.518%

(Cost $56,896)
56,896 56,896
TOTAL INVESTMENTS — (100.0%)

(Cost $80,306,034)^^
  $96,089,061
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Affiliated Investment Companies
$96,032,165   —   —   $96,032,165
Temporary Cash Investments
56,896   —   —   56,896
TOTAL
$96,089,061   —   —   $96,089,061
DFA Short-Duration Real Return Portfolio
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
      Face
Amount^ 		  Value†
      (000)    
BONDS — (86.0%)
AUSTRALIA — (3.2%)
ANZ New Zealand International, Ltd.        
0.400%, 03/01/22
EUR 200   $224,498
ASB Finance, Ltd.        
0.500%, 06/10/22
EUR 3,800   4,279,838
Australia & New Zealand Banking Group Ltd.        
(r)
2.364%, 05/17/21
  2,000   2,009,160
Australia & New Zealand Banking Group, Ltd.        
2.550%, 11/23/21
  2,700   2,742,026
(r)Ω
2.780%, 11/23/21
  4,000   4,047,379
 
2.625%, 05/19/22
  250   255,507
Commonwealth Bank of Australia        
Ω
2.750%, 03/10/22
  4,974   5,082,964
 
2.750%, 03/10/22
  200   204,381
 
0.500%, 07/11/22
EUR 2,500   2,818,189
National Australia Bank, Ltd.        
#
2.800%, 01/10/22
  8,000   8,163,199
 
0.875%, 01/20/22
EUR 1,700   1,924,800
 
2.500%, 05/22/22
  1,635   1,664,110
 
0.350%, 09/07/22
EUR 1,600   1,798,442
Westpac Banking Corp.        
2.100%, 05/13/21
  461   463,426
 
2.800%, 01/11/22
  11,749   11,995,032
 
0.250%, 01/17/22
EUR 450   502,825
TOTAL AUSTRALIA
      48,175,776
BELGIUM — (1.7%)
Anheuser-Busch InBev SA        
0.800%, 04/20/23
EUR 1,700   1,940,796
Dexia Credit Local SA        
2.000%, 01/22/21
EUR 2,000   2,269,514
 
0.200%, 03/16/21
EUR 5,000   5,581,802
 
0.250%, 06/02/22
EUR 350   393,876
 
0.750%, 01/25/23
EUR 7,750   8,878,825
 
0.250%, 06/01/23
EUR 5,400   6,107,423
TOTAL BELGIUM
      25,172,236
CANADA — (8.7%)
Bank of Montreal        
(r)
2.188%, 07/13/20
  1,990   1,992,749
 
3.100%, 07/13/20
  5,000   5,030,696
(r)
2.709%, 08/27/21
  800   808,047
Bank of Nova Scotia (The)        
#
2.350%, 10/21/20
  8,005   8,043,431
Canadian Natural Resources, Ltd.        
2.950%, 01/15/23
  4,500   4,624,686
      Face
Amount^ 		  Value†
      (000)    
CANADA — (Continued)
Enbridge, Inc.        
2.900%, 07/15/22
  6,010   $6,151,126
Export Development Canada Floating Rate Note        
(r)
1.001%, 01/31/22
GBP 4,000   5,287,098
Husky Energy, Inc.        
#
3.950%, 04/15/22
  1,250   1,294,572
Ontario, Province of Canada Floating Rate Note        
(r)
2.266%, 10/27/21
CAD 10,000   7,610,322
Rogers Communications, Inc.        
4.100%, 10/01/23
  3,000   3,236,949
Royal Bank of Canada        
2.125%, 03/02/20
  3,965   3,966,269
 
2.350%, 10/30/20
  11,000   11,052,691
(r)
2.160%, 04/30/21
  11,812   11,857,692
 
1.583%, 09/13/21
CAD 6,000   4,515,868
 
1.968%, 03/02/22
CAD 2,300   1,742,327
 
2.000%, 03/21/22
CAD 11,000   8,342,345
Royal Bank of Canada Floating Rate Note        
(r)
0.110%, 07/24/20
EUR 1,000   1,111,545
Toronto-Dominion Bank (The)        
#
3.150%, 09/17/20
  2,000   2,018,120
#
2.500%, 12/14/20
  16,681   16,799,700
 
1.994%, 03/23/22
CAD 16,300   12,355,188
 
3.005%, 05/30/23
CAD 5,000   3,915,747
 
0.625%, 07/20/23
EUR 7,300   8,314,396
TOTAL CANADA
      130,071,564
DENMARK — (0.2%)
Danske Bank A.S.        
Ω
2.750%, 09/17/20
USD 3,000   3,015,504
FINLAND — (1.4%)
Municipality Finance P.L.C. Floating Rate Note        
(r)
1.804%, 10/26/20
  3,000   3,000,084
(r)
1.954%, 02/17/21
  5,000   5,001,100
Municipality Finance P.L.C.        
0.750%, 12/15/20
GBP 1,017   1,341,095
Nordea Bank Abp        
#Ω
2.500%, 09/17/20
  4,000   4,018,232
#Ω
2.250%, 05/27/21
  3,800   3,824,930
 
0.300%, 06/30/22
EUR 1,000   1,122,487
OP Corporate Bank P.L.C.        
0.375%, 08/29/23
EUR 3,000   3,383,177
TOTAL FINLAND
      21,691,105
 
DFA Short-Duration Real Return Portfolio
CONTINUED
      Face
Amount^ 		  Value†
      (000)    
FRANCE — (3.1%)
Agence Francaise de Developpement EPIC Floating Rate Note        
(r)
2.005%, 06/07/21
  3,000   $2,993,573
Agence Francaise de Developpement EPIC        
0.500%, 10/25/22
EUR 500   567,744
BNP Paribas SA        
2.375%, 05/21/20
  500   500,978
#Ω
2.950%, 05/23/22
  2,500   2,559,320
BPCE SA        
2.650%, 02/03/21
  1,300   1,311,609
Bpifrance Financement SA        
0.100%, 02/19/21
EUR 5,000   5,572,486
Caisse d'Amortissement de la Dette Sociale        
0.500%, 05/25/23
EUR 4,500   5,149,697
Credit Agricole SA        
Ω
3.375%, 01/10/22
  2,000   2,054,397
Electricite de France SA        
#Ω
2.350%, 10/13/20
  1,000   1,002,792
Pernod Ricard SA        
Ω
5.750%, 04/07/21
  5,000   5,233,338
Sanofi        
0.500%, 03/21/23
EUR 5,900   6,689,716
 
2.500%, 11/14/23
EUR 3,500   4,259,655
Societe Generale S.A.        
Ω
4.250%, 09/14/23
  5,000   5,340,950
Societe Generale SA        
Ω
3.250%, 01/12/22
  2,000   2,052,119
Total Capital International SA        
0.250%, 07/12/23
EUR 1,500   1,689,692
TOTAL FRANCE
      46,978,066
GERMANY — (6.9%)
BMW Finance NV        
0.625%, 10/06/23
EUR 2,200   2,498,808
BMW US Capital LLC        
(r)Ω
2.401%, 08/13/21
  5,463   5,485,871
#Ω
3.450%, 04/12/23
  2,000   2,097,854
Daimler Finance North America LLC        
#Ω
2.700%, 08/03/20
  3,085   3,099,178
Ω
2.850%, 01/06/22
  3,000   3,047,916
Daimler Finance North America, LLC        
(r)Ω
2.349%, 02/22/21
  2,125   2,129,864
Deutsche Bahn Finance GMBH        
4.375%, 09/23/21
EUR 850   1,014,035
Deutsche Bank AG        
#
2.950%, 08/20/20
  1,900   1,907,141
Erste Abwicklungsanstalt Floating Rate Note        
(r)
2.095%, 03/09/20
  1,000   1,000,370
      Face
Amount^ 		  Value†
      (000)    
GERMANY — (Continued)
Kreditanstalt fuer Wiederaufbau        
0.000%, 12/15/22
EUR 12,500   $14,070,955
 
0.125%, 06/07/23
EUR 3,400   3,848,635
 
0.000%, 09/15/23
EUR 2,000   2,257,099
Landwirtschaftliche Rentenbank Floating Rate Note        
(r)
2.156%, 06/03/21
  4,806   4,819,687
Landwirtschaftliche Rentenbank        
0.050%, 06/12/23
EUR 7,500   8,463,185
NRW Bank        
(r)
1.944%, 02/08/21
  16,600   16,595,518
 
0.000%, 08/10/22
EUR 3,500   3,924,061
 
0.125%, 07/07/23
EUR 2,400   2,709,465
Nrw. Bank Floating Rate Note        
(r)
1.952%, 03/05/21
  10,000   10,000,800
State of North Rhine-Westphalia Germany        
1.250%, 03/13/20
EUR 2,698   2,997,410
 
0.200%, 04/17/23
EUR 1,000   1,131,219
Volkswagen Group of America Finance LLC        
Ω
2.400%, 05/22/20
  4,000   4,005,830
(r)Ω
2.675%, 11/13/20
  2,890   2,903,024
Ω
4.000%, 11/12/21
  3,000   3,106,880
TOTAL GERMANY
      103,114,805
ITALY — (0.2%)
Enel Finance International NV        
Ω
2.875%, 05/25/22
USD 2,500   2,550,240
JAPAN — (6.3%)
American Honda Finance Corp.        
2.450%, 09/24/20
  3,000   3,015,352
(r)
2.111%, 02/12/21
  3,000   3,002,918
(r)
2.241%, 11/05/21
  1,000   1,003,772
 
0.550%, 03/17/23
EUR 3,000   3,394,630
Daiwa Securities Group, Inc.        
Ω
3.129%, 04/19/22
  1,770   1,809,650
Mitsubishi UFJ Financial Group, Inc.        
2.950%, 03/01/21
  5,000   5,070,432
 
2.190%, 09/13/21
  2,000   2,012,055
Mizuho Bank, Ltd.        
Ω
2.700%, 10/20/20
  2,000   2,013,307
Mizuho Financial Group, Inc.        
(r)
3.027%, 09/13/21
  1,786   1,811,359
 
2.953%, 02/28/22
  5,000   5,114,864
MUFG Bank, Ltd.        
Ω
2.300%, 03/05/20
  3,900   3,901,871
Nissan Motor Acceptance Corp.        
Ω
2.125%, 03/03/20
  2,250   2,250,379
 
DFA Short-Duration Real Return Portfolio
CONTINUED
      Face
Amount^ 		  Value†
      (000)    
JAPAN — (Continued)
(r)Ω
2.558%, 09/21/21
  730   $732,333
Nissan Motor Acceptance Corp. Floating Rate Note        
(r)Ω
2.414%, 03/15/21
  200   200,207
Shire Acquisitions Investments Ireland DAC        
2.875%, 09/23/23
  5,000   5,143,519
Sumitomo Mitsui Financial Group, Inc.        
2.934%, 03/09/21
  5,000   5,069,585
(r)
3.565%, 03/09/21
  1,000   1,015,899
 
2.058%, 07/14/21
  400   401,942
Total Capital Canada, Ltd.        
1.125%, 03/18/22
EUR 5,000   5,708,012
Toyota Credit Canada, Inc.        
2.020%, 02/28/22
CAD 8,500   6,436,595
 
2.350%, 07/18/22
CAD 3,000   2,290,487
 
2.700%, 01/25/23
CAD 4,000   3,085,416
Toyota Finance Australia, Ltd.        
0.000%, 04/09/21
EUR 738   820,551
Toyota Motor Credit Corp. Floating Rate Note        
(r)
2.412%, 01/08/21
  1,652   1,658,394
1.900%, 04/08/21
  10,500   10,536,672
 
1.000%, 09/10/21
EUR 1,800   2,035,540
(r)
2.164%, 10/07/21
  7,000   7,017,317
 
2.600%, 01/11/22
  3,000   3,056,356
 
3.300%, 01/12/22
  1,561   1,610,583
Toyota Motor Finance Netherlands BV        
0.250%, 01/10/22
EUR 1,000   1,119,242
 
0.625%, 09/26/23
EUR 1,500   1,710,633
TOTAL JAPAN
      94,049,872
NETHERLANDS — (3.7%)
Allianz Finance II B.V.        
3.500%, 02/14/22
EUR 1,000   1,192,554
Allianz Finance II BV Floating Rate Note        
(r)
0.105%, 12/07/20
EUR 1,000   1,113,153
BNG Bank NV        
0.050%, 07/11/23
EUR 9,000   10,142,826
Cooperatieve Rabobank UA        
4.500%, 01/11/21
  3,000   3,077,953
 
2.750%, 01/10/22
  5,000   5,103,306
 
4.000%, 01/11/22
EUR 2,950   3,539,059
ING Bank NV        
Ω
2.750%, 03/22/21
  3,000   3,037,436
Nederlandse Waterschapsbank NV Floating Rate Note        
(r)
1.911%, 11/10/20
  6,500   6,499,214
Shell International Finance BV        
2.125%, 05/11/20
  2,200   2,202,632
 
1.875%, 05/10/21
  1,900   1,906,984
#
1.750%, 09/12/21
  8,500   8,522,742
      Face
Amount^ 		  Value†
      (000)    
NETHERLANDS — (Continued)
 
1.250%, 03/15/22
EUR 2,006   $2,296,560
 
1.000%, 04/06/22
EUR 6,000   6,833,431
TOTAL NETHERLANDS
      55,467,850
NORWAY — (0.3%)
Equinor ASA        
5.625%, 03/11/21
EUR 800   944,062
Kommunalbanken A.S. Floating Rate Note        
(r)
1.927%, 03/12/21
  2,250   2,250,515
Kommunalbanken A.S.        
(r)Ω
1.927%, 03/12/21
  1,200   1,200,274
TOTAL NORWAY
      4,394,851
SPAIN — (1.2%)
Banco Santander SA        
3.848%, 04/12/23
  2,000   2,107,011
Santander Holdings USA, Inc.        
2.650%, 04/17/20
  2,000   2,002,101
 
3.700%, 03/28/22
  780   805,411
 
3.400%, 01/18/23
  2,150   2,221,487
Santander UK Group Holdings P.L.C.        
2.875%, 08/05/21
  750   759,252
Santander UK P.L.C.        
2.375%, 03/16/20
  4,600   4,603,588
Telefonica Emisiones SA        
5.134%, 04/27/20
  4,250   4,281,492
 
5.462%, 02/16/21
  1,000   1,037,106
TOTAL SPAIN
      17,817,448
SUPRANATIONAL ORGANIZATION OBLIGATIONS — (4.8%)
Council Of Europe Development Bank        
3.000%, 07/13/20
EUR 1,000   1,125,750
 
0.125%, 05/25/23
EUR 8,500   9,611,764
EUROFIMA        
(r)
2.000%, 11/15/21
  3,350   3,349,765
European Financial Stability Facility        
0.000%, 11/17/22
EUR 9,842   11,063,407
 
0.125%, 10/17/23
EUR 1,000   1,132,891
European Investment Bank        
0.000%, 10/16/23
EUR 2,000   2,258,720
European Stability Mechanism        
0.000%, 10/18/22
EUR 13,950   15,679,917
 
0.100%, 07/31/23
EUR 14,500   16,398,790
European Stability Mechanism Treasury Bill        
0.000%, 03/05/20
EUR 7,000   7,766,485
Inter-American Investment Corp.        
(r)
1.938%, 10/12/21
  1,500   1,500,315
 
DFA Short-Duration Real Return Portfolio
CONTINUED
      Face
Amount^ 		  Value†
      (000)    
SUPRANATIONAL ORGANIZATION OBLIGATIONS —
(Continued)
International Bank for Reconstruction & Development Floating Rate Note        
(r)
0.997%, 05/15/24
GBP 1,000   $1,320,222
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS
      71,208,026
SWEDEN — (4.4%)
Kommuninvest I Sverige AB        
0.250%, 06/01/22
SEK 185,000   19,280,423
 
0.750%, 02/22/23
SEK 170,000   17,967,057
 
1.000%, 11/13/23
SEK 50,000   5,354,745
Skandinaviska Enskilda Banken AB        
(r)Ω
2.334%, 05/17/21
  4,823   4,836,437
Svensk Exportkredit AB        
(r)
2.007%, 12/13/21
  7,000   7,005,519
Svenska Handelsbanken AB        
1.875%, 09/07/21
  447   448,998
 
0.250%, 02/28/22
EUR 1,900   2,126,858
Swedbank AB        
0.300%, 09/06/22
EUR 3,000   3,357,885
 
0.250%, 11/07/22
EUR 4,400   4,921,794
 
0.400%, 08/29/23
EUR 250   281,469
TOTAL SWEDEN
      65,581,185
SWITZERLAND — (0.9%)
Credit Suisse AG        
3.000%, 10/29/21
  480   490,554
Nestle Finance International, Ltd.        
0.750%, 11/08/21
EUR 1,500   1,694,856
Nestle Holdings, Inc.        
1.750%, 12/09/20
GBP 1,000   1,329,585
Novartis Finance SA        
0.750%, 11/09/21
EUR 200   225,950
 
0.500%, 08/14/23
EUR 3,000   3,404,842
 
0.125%, 09/20/23
EUR 3,000   3,373,562
UBS Group Funding Switzerland AG Floating Rate Note        
(r)
3.618%, 04/14/21
  2,850   2,906,627
TOTAL SWITZERLAND
      13,425,976
UNITED KINGDOM — (3.1%)
AstraZeneca P.L.C.        
2.375%, 11/16/20
  5,071   5,098,862
Barclays P.L.C.        
3.250%, 01/12/21
  3,500   3,541,090
Barclays PLC        
3.200%, 08/10/21
  5,500   5,593,717
      Face
Amount^ 		  Value†
      (000)    
UNITED KINGDOM — (Continued)
BAT International Finance P.L.C.        
Ω
3.250%, 06/07/22
  7,900   $8,126,309
BP Capital Markets P.L.C.        
1.117%, 01/25/24
EUR 3,000   3,476,371
BP Capital Markets plc        
(r)
2.764%, 09/16/21
  137   138,725
HSBC Holdings P.L.C.        
4.000%, 03/30/22
  700   732,318
 
3.600%, 05/25/23
  775   814,876
HSBC USA, Inc.        
2.750%, 08/07/20
  4,000   4,019,408
Lloyds Banking Group P.L.C.        
3.100%, 07/06/21
  1,156   1,176,878
 
3.000%, 01/11/22
  2,500   2,549,999
Mead Johnson Nutrition Co.        
3.000%, 11/15/20
  700   706,697
Praxair, Inc.        
1.200%, 02/12/24
EUR 6,625   7,752,004
Unilever Capital Corp.        
4.250%, 02/10/21
  1,200   1,229,898
United Kingdom Treasury Bill        
0.000%, 03/09/20
GBP 535   706,582
TOTAL UNITED KINGDOM
      45,663,734
UNITED STATES — (35.9%)
3M Co.        
1.875%, 11/15/21
EUR 2,600   2,992,814
AbbVie, Inc.        
2.500%, 05/14/20
  6,000   6,007,357
 
2.900%, 11/06/22
  1,000   1,026,879
Aetna, Inc.        
2.750%, 11/15/22
  825   841,905
Agilent Technologies, Inc.        
3.200%, 10/01/22
  2,000   2,058,017
Allergan Finance LLC        
3.250%, 10/01/22
  2,300   2,373,777
Allergan Funding SCS        
3.450%, 03/15/22
  7,800   8,029,889
Altria Group, Inc.        
4.750%, 05/05/21
  500   518,309
American Express Co.        
2.500%, 08/01/22
  7,383   7,514,442
American Express Credit Corp.        
2.375%, 05/26/20
  800   801,000
American International Group, Inc.        
3.375%, 08/15/20
  3,000   3,024,502
 
6.400%, 12/15/20
  2,475   2,573,348
 
3.300%, 03/01/21
  500   507,966
 
4.875%, 06/01/22
  1,400   1,495,157
Ameriprise Financial, Inc.        
5.300%, 03/15/20
  1,000   1,004,000
Anthem, Inc.        
3.125%, 05/15/22
  1,907   1,965,702
 
3.300%, 01/15/23
  825   860,150
 
DFA Short-Duration Real Return Portfolio
CONTINUED
      Face
Amount^ 		  Value†
      (000)    
UNITED STATES — (Continued)
Aon Corp.        
5.000%, 09/30/20
  2,710   $2,766,072
Apache Corp.        
3.250%, 04/15/22
  257   262,602
Apple, Inc.        
#(r)
3.040%, 02/23/21
  496   501,544
 
2.500%, 02/09/22
  1,628   1,657,445
#
2.300%, 05/11/22
  7,500   7,621,831
#
2.100%, 09/12/22
  5,000   5,067,006
 
1.000%, 11/10/22
EUR 2,700   3,097,999
Ares Capital Corp.        
4.200%, 06/10/24
  3,000   3,170,771
Assurant, Inc.        
4.000%, 03/15/23
  3,000   3,161,109
AT&T, Inc.        
2.450%, 06/30/20
  1,331   1,332,733
#
4.600%, 02/15/21
  1,000   1,022,332
(r)
2.781%, 07/15/21
  5,000   5,052,705
 
4.000%, 01/15/22
  1,500   1,563,697
 
3.000%, 06/30/22
  620   635,860
Autodesk, Inc.        
3.600%, 12/15/22
  1,000   1,042,557
AutoZone, Inc.        
3.700%, 04/15/22
  750   777,201
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor, Inc.        
2.773%, 12/15/22
  3,000   3,072,984
Baltimore Gas & Electric Co.        
3.350%, 07/01/23
  610   638,300
Bank of America Corp.        
2.625%, 10/19/20
  2,500   2,514,491
 
3.300%, 01/11/23
  500   522,077
Bank of New York Mellon Corp. (The)        
#
2.150%, 02/24/20
  1,200   1,200,000
 
3.500%, 04/28/23
  2,000   2,111,925
BB&T Corp.        
2.050%, 05/10/21
  731   734,491
Berkshire Hathaway, Inc.        
0.625%, 01/17/23
EUR 1,500   1,700,915
 
0.750%, 03/16/23
EUR 600   682,119
Biogen, Inc.        
2.900%, 09/15/20
  1,500   1,510,192
 
3.625%, 09/15/22
  4,500   4,708,131
Booking Holdings, Inc.        
#
2.750%, 03/15/23
  4,500   4,632,234
Bristol-Myers Squibb Co.        
Ω
2.750%, 02/15/23
  5,500   5,660,016
Broadcom Corp. / Broadcom Cayman Finance Ltd.        
3.000%, 01/15/22
  5,000   5,089,200
Bunge, Ltd. Finance Corp.        
#
3.000%, 09/25/22
  2,600   2,660,880
Campbell Soup Co.        
2.500%, 08/02/22
  1,000   1,012,381
 
3.650%, 03/15/23
  3,143   3,299,773
      Face
Amount^ 		  Value†
      (000)    
UNITED STATES — (Continued)
Capital One Financial Corp.        
3.200%, 01/30/23
  6,000   $6,219,828
Cardinal Health, Inc.        
#
4.625%, 12/15/20
  1,700   1,740,150
Caterpillar Financial Services Corp.        
(r)
2.090%, 05/15/20
  3,000   3,001,604
(r)
2.124%, 03/15/21
  4,000   4,007,467
 
1.700%, 08/09/21
  1,000   1,000,374
(r)
2.165%, 09/07/21
  1,319   1,322,256
 
2.625%, 03/01/23
  500   513,003
CBS Corp.        
#
2.500%, 02/15/23
  3,000   3,058,696
Chevron Corp.        
#
2.419%, 11/17/20
  800   803,978
#
2.498%, 03/03/22
  4,680   4,766,520
Chubb INA Holdings, Inc.        
2.300%, 11/03/20
  425   426,508
Church & Dwight Co., Inc.        
2.875%, 10/01/22
  1,000   1,028,833
Cigna Corp.        
Ω
3.900%, 02/15/22
  1,866   1,939,085
Cisco Systems, Inc.        
1.850%, 09/20/21
  9,700   9,740,828
Citigroup, Inc.        
2.400%, 02/18/20
  3,000   3,000,689
 
3.875%, 10/25/23
  530   568,733
Citizens Bank N.A.        
3.700%, 03/29/23
  8,178   8,625,879
CMS Energy Corp.        
5.050%, 03/15/22
  2,549   2,693,906
CNA Financial Corp.        
5.750%, 08/15/21
  880   932,130
Comcast Corp.        
(r)
2.349%, 10/01/21
  5,765   5,795,511
Conagra Brands, Inc.        
3.200%, 01/25/23
  2,075   2,143,876
Constellation Brands, Inc.        
2.700%, 05/09/22
  7,000   7,121,031
 
3.200%, 02/15/23
  1,706   1,766,481
Cox Communications, Inc.        
Ω
3.250%, 12/15/22
  975   1,009,242
CVS Health Corp.        
2.125%, 06/01/21
  500   502,285
 
3.500%, 07/20/22
  2,500   2,589,668
 
2.750%, 12/01/22
  2,500   2,552,546
Discovery Communications LLC        
3.250%, 04/01/23
  1,489   1,549,809
Dollar General Corp.        
3.250%, 04/15/23
  2,320   2,413,205
Dollar Tree, Inc.        
3.700%, 05/15/23
  8,393   8,851,784
Dominion Energy Gas Holdings LLC        
(r)
2.494%, 06/15/21
  4,500   4,523,145
 
DFA Short-Duration Real Return Portfolio
CONTINUED
      Face
Amount^ 		  Value†
      (000)    
UNITED STATES — (Continued)
Dow Chemical Co. (The)        
3.000%, 11/15/22
  2,000   $2,057,824
DTE Energy Co.        
3.300%, 06/15/22
  503   518,073
Duke Energy Corp.        
#
2.400%, 08/15/22
  1,357   1,376,982
E*TRADE Financial Corp.        
2.950%, 08/24/22
  8,280   8,471,854
eBay, Inc.        
2.750%, 01/30/23
  417   426,171
Edison International        
#
2.950%, 03/15/23
  2,998   3,071,609
Electronic Arts, Inc.        
3.700%, 03/01/21
  2,000   2,037,436
Energy Transfer Operating L.P.        
4.650%, 06/01/21
  1,180   1,211,544
Enterprise Products Operating LLC        
3.350%, 03/15/23
  2,000   2,084,311
Equifax, Inc.        
3.950%, 06/15/23
  5,000   5,332,448
Exelon Generation Co. LLC        
#
4.000%, 10/01/20
  600   605,392
Exxon Mobil Corp.        
#
1.912%, 03/06/20
  2,400   2,399,881
#
2.397%, 03/06/22
  11,161   11,350,999
Fifth Third Bancorp        
3.500%, 03/15/22
  2,000   2,069,269
Flex, Ltd.        
#
5.000%, 02/15/23
  8,000   8,634,427
GE Capital European Funding Un, Ltd. Co.        
0.800%, 01/21/22
EUR 2,400   2,701,953
GE Capital International Funding Co., Unlimited Co.        
2.342%, 11/15/20
  3,046   3,056,370
General Mills, Inc.        
3.150%, 12/15/21
  500   511,903
#
2.600%, 10/12/22
  4,385   4,469,689
General Motors Financial Co., Inc.        
3.200%, 07/06/21
  7,200   7,313,336
Gilead Sciences, Inc.        
2.550%, 09/01/20
  1,000   1,004,506
Global Payments, Inc.        
3.750%, 06/01/23
  4,480   4,718,433
Goldman Sachs Group, Inc. (The)        
5.750%, 01/24/22
  5,500   5,915,511
Harley-Davidson Financial Services, Inc.        
Ω
2.850%, 01/15/21
  500   504,016
Ω
3.550%, 05/21/21
  1,000   1,020,617
Ω
2.550%, 06/09/22
  2,924   2,953,085
      Face
Amount^ 		  Value†
      (000)    
UNITED STATES — (Continued)
Hewlett Packard Enterprise Co.        
3.600%, 10/15/20
  3,800   $3,841,700
#(r)
2.567%, 03/12/21
  500   502,368
Huntington National Bank (The)        
2.400%, 04/01/20
  2,600   2,601,157
IBM Credit LLC        
(r)
2.079%, 01/20/21
  7,200   7,215,031
(r)
2.051%, 02/05/21
  1,000   1,001,021
Intercontinental Exchange, Inc.        
#
2.750%, 12/01/20
  268   270,093
International Business Machines Corp.        
#
1.625%, 05/15/20
  1,390   1,389,972
 
0.375%, 01/31/23
EUR 1,000   1,125,242
JM Smucker Co. (The)        
2.500%, 03/15/20
  3,320   3,322,291
John Deere Capital Corp.        
2.050%, 03/10/20
  1,625   1,625,679
Johnson & Johnson        
0.250%, 01/20/22
EUR 1,000   1,121,726
JPMorgan Chase & Co.        
#
3.250%, 09/23/22
  1,300   1,349,991
Kellogg Co.        
4.000%, 12/15/20
  162   165,084
KeyCorp        
2.900%, 09/15/20
  2,000   2,013,389
Kohl's Corp.        
3.250%, 02/01/23
  2,000   2,042,090
Kroger Co. (The)        
3.400%, 04/15/22
  1,000   1,033,080
#
2.800%, 08/01/22
  500   512,704
L3Harris Technologies, Inc.        
Ω
4.950%, 02/15/21
  701   716,948
Laboratory Corp. of America Holdings        
#
3.200%, 02/01/22
  1,500   1,539,276
 
4.000%, 11/01/23
  5,000   5,328,954
Lam Research Corp.        
2.750%, 03/15/20
  2,800   2,801,677
Liberty Mutual Group, Inc.        
#Ω
5.000%, 06/01/21
  2,900   3,014,610
LyondellBasell Industries NV        
6.000%, 11/15/21
  3,853   4,093,198
Marriott International, Inc.        
2.300%, 01/15/22
  1,385   1,396,156
Marsh & McLennan Cos., Inc.        
2.350%, 03/06/20
  2,000   2,000,540
 
2.750%, 01/30/22
  1,500   1,528,312
McKesson Corp.        
#
2.700%, 12/15/22
  2,451   2,495,015
#
2.850%, 03/15/23
  1,220   1,249,728
Microsoft Corp.        
2.375%, 02/12/22
  14,000   14,239,251
#
2.650%, 11/03/22
  6,400   6,582,688
 
DFA Short-Duration Real Return Portfolio
CONTINUED
      Face
Amount^ 		  Value†
      (000)    
UNITED STATES — (Continued)
 
2.000%, 08/08/23
  4,000   $4,062,636
Mondelez International Holdings Netherlands BV        
Ω
2.000%, 10/28/21
  2,258   2,266,568
Mondelez International, Inc.        
3.625%, 05/07/23
  890   939,238
Morgan Stanley        
2.800%, 06/16/20
  3,000   3,010,951
 
5.500%, 07/28/21
  925   975,857
 
3.125%, 01/23/23
  3,000   3,112,357
Mosaic Co. (The)        
3.750%, 11/15/21
  1,000   1,025,403
 
3.250%, 11/15/22
  1,000   1,030,845
Motorola Solutions, Inc.        
#
3.500%, 03/01/23
  1,750   1,818,851
National Oilwell Varco, Inc.        
2.600%, 12/01/22
  2,503   2,545,791
National Rural Utilities Cooperative Finance Corp.        
(r)
2.336%, 06/30/21
  7,000   7,022,123
NBCUniversal Enterprise, Inc.        
(r)Ω
2.309%, 04/01/21
  3,500   3,514,409
NetApp, Inc.        
3.250%, 12/15/22
  2,000   2,070,356
Newell Brands, Inc.        
4.000%, 06/15/22
  1,000   1,032,429
Newmont Corp.        
3.625%, 06/09/21
  398   406,028
Northrop Grumman Corp.        
3.500%, 03/15/21
  535   545,410
NVIDIA Corp.        
2.200%, 09/16/21
  575   578,755
Occidental Petroleum Corp.        
2.700%, 02/15/23
  2,352   2,389,543
Omnicom Group, Inc. / Omnicom Capital, Inc.        
3.625%, 05/01/22
  6,335   6,588,799
ONEOK, Inc.        
4.250%, 02/01/22
  3,000   3,115,631
Oracle Corp.        
1.900%, 09/15/21
  8,600   8,636,499
#
2.500%, 10/15/22
  2,000   2,048,367
Penske Truck Leasing Co. L.P. / PTL Finance Corp.        
Ω
3.375%, 02/01/22
  1,605   1,647,100
Ω
4.875%, 07/11/22
  1,455   1,555,415
Ω
4.250%, 01/17/23
  822   877,245
PepsiCo, Inc.        
2.250%, 05/02/22
  710   721,850
Pfizer, Inc.        
0.250%, 03/06/22
EUR 4,500   5,038,444
Philip Morris International, Inc.        
#
2.375%, 08/17/22
  200   202,827
Phillips 66        
4.300%, 04/01/22
  990   1,040,816
Principal Financial Group, Inc.        
3.300%, 09/15/22
  1,416   1,469,181
      Face
Amount^ 		  Value†
      (000)    
UNITED STATES — (Continued)
 
3.125%, 05/15/23
  890   $925,038
Procter & Gamble Co. (The)        
2.000%, 08/16/22
EUR 1,600   1,877,172
Progress Energy, Inc.        
4.400%, 01/15/21
  2,150   2,187,822
Prudential Financial, Inc.        
5.375%, 06/21/20
  3,000   3,043,570
QUALCOMM, Inc.        
2.250%, 05/20/20
  3,000   3,004,702
 
2.600%, 01/30/23
  6,690   6,853,026
Regions Financial Corp.        
#
2.750%, 08/14/22
  2,750   2,812,103
Reinsurance Group of America, Inc.        
4.700%, 09/15/23
  4,600   5,032,152
Ryder System, Inc.        
3.400%, 03/01/23
  1,200   1,249,241
Sempra Energy        
2.850%, 11/15/20
  5,000   5,032,263
 
4.050%, 12/01/23
  735   789,376
Sherwin-Williams Co. (The)        
2.750%, 06/01/22
  1,913   1,958,137
Southern Power Co.        
2.500%, 12/15/21
  539   546,148
Spirit AeroSystems, Inc.        
3.950%, 06/15/23
  500   506,166
Stryker Corp.        
2.625%, 03/15/21
  2,378   2,400,342
Sunoco Logistics Partners Operations L.P.        
3.450%, 01/15/23
  740   759,915
Sysco Corp.        
2.600%, 10/01/20
  3,970   3,989,702
Thermo Fisher Scientific, Inc.        
3.000%, 04/15/23
  1,200   1,242,772
Truist Financial Corp.        
2.900%, 03/03/21
  3,000   3,036,978
 
2.750%, 04/01/22
  1,090   1,112,295
Tupperware Brands Corp.        
#
4.750%, 06/01/21
  437   431,373
Tyson Foods, Inc.        
4.500%, 06/15/22
  2,000   2,111,769
United Parcel Service, Inc.        
#
2.450%, 10/01/22
  300   306,382
UnitedHealth Group, Inc.        
2.700%, 07/15/20
  439   440,952
 
2.125%, 03/15/21
  2,000   2,011,728
Viacom, Inc.        
3.875%, 12/15/21
  2,740   2,845,010
Walgreen Co.        
3.100%, 09/15/22
  1,500   1,542,885
Walgreens Boots Alliance, Inc.        
3.300%, 11/18/21
  500   510,525
Walmart, Inc.        
(r)
2.158%, 06/23/21
  4,880   4,893,412
Wells Fargo & Co.        
2.094%, 04/25/22
CAD 1,000   757,095
 
DFA Short-Duration Real Return Portfolio
CONTINUED
      Face
Amount^ 		  Value†
      (000)    
UNITED STATES — (Continued)
Wells Fargo Bank NA        
(r)
2.312%, 10/22/21
  8,000   $8,039,740
Whirlpool Corp.        
3.700%, 03/01/23
  2,170   2,281,062
Williams Cos., Inc. (The)        
#
3.700%, 01/15/23
  1,190   1,238,267
Zimmer Biomet Holdings, Inc.        
3.150%, 04/01/22
  950   973,283
Zoetis, Inc.        
3.250%, 02/01/23
  2,976   3,092,183
TOTAL UNITED STATES
      535,348,757
TOTAL BONDS
      1,283,726,995
U.S. TREASURY OBLIGATIONS — (12.2%)
Treasury Inflation Protected Security        
0.125%, 04/15/20
  15,377   15,360,082
 
1.125%, 01/15/21
  3,527   3,553,475
U.S. Treasury Notes        
(r)
1.675%, 04/30/21
  9,500   9,503,416
(r)
1.756%, 07/31/21
  124,000   124,193,917
(r)
1.836%, 10/31/21
  29,500   29,589,697
TOTAL U.S. TREASURY OBLIGATIONS
      182,200,587
      Face
Amount^ 		  Value†
      (000)    
CERTIFICATES OF DEPOSIT — (0.8%)
CANADA — (0.5%)
(r)
Canadian Imperial Bank of Commerce, Floating Rate Note
  7,000,000   $7,000,000
SINGAPORE — (0.3%)
(r)
Oversea-Chinese Banking Corp., Ltd., Floating Rate Note
  5,000,000   5,000,442
TOTAL CERTIFICATES OF DEPOSIT
      12,000,442
TOTAL INVESTMENT SECURITIES

(Cost $1,470,569,768)
      1,477,928,024
    
      Shares  
SECURITIES LENDING COLLATERAL — (1.0%)
@§
The DFA Short Term Investment Fund
  1,253,183 14,501,837
TOTAL INVESTMENTS — (100.0%)  
(Cost $1,485,068,134)^^
    $1,492,429,861
 
As of January 31, 2020, DFA Short-Duration Real Return Portfolio had entered into the following forward currency contracts and the net unrealized forward currency gain (loss) is reflected in the accompanying financial statements:
Currency Purchased   Currency Sold   Counterparty   Settlement
Date 		  Unrealized
Foreign
Exchange
Appreciation
(Depreciation)
USD 43,438,298   SEK 411,216,551   Citibank, N.A.   02/14/20   $702,661
USD 36,729,368   EUR 32,986,463   Citibank, N.A.   02/20/20   110,018
USD 3,076,591   EUR 2,758,384   ANZ Securities   02/28/20   12,914
USD 6,877,534   EUR 6,163,383   ANZ Securities   02/28/20   31,999
USD 12,550,303   EUR 11,227,119   Barclays Capital   02/28/20   80,586
USD 32,575,816   EUR 28,907,136   Barclays Capital   02/28/20   469,289
USD 103,398,801   EUR 92,456,459   Citibank, N.A.   04/14/20   419,317
USD 51,417,727   CAD 67,819,967   Barclays Capital   04/27/20   172,213
Total Appreciation           $1,998,997
USD 697,966   GBP 534,829   Citibank, N.A.   02/10/20   $(8,385)
USD 2,641,256   GBP 2,027,263   Barclays Capital   02/10/20   (36,162)
USD 6,530,046   GBP 5,010,163   Citibank, N.A.   02/10/20   (86,904)
USD 2,146,691   EUR 1,945,908   Barclays Capital   02/20/20   (13,525)
USD 78,635,948   EUR 71,197,084   Barclays Capital   02/26/20   (431,390)
Total (Depreciation)           $(576,366)
Total Appreciation
(Depreciation) 		          $1,422,631
DFA Short-Duration Real Return Portfolio
CONTINUED
As of January 31, 2020, DFA Short-Duration Real Return Portfolio had entered into the following outstanding Inflation Swaps:
Counterparty   Payments
made
by Fund 		  Payments
received
by Fund 		  Payment
Frequency 		  Notional
Amount 		  Expiration
Date 		  Upfront
Premiums
Paid 		  Upfront
Premiums
Received 		  Market
Value 		  Unrealized
Appreciation
(Depreciation)
Bank of America Corp.
  1.769% Fixed   CPI   Maturity   USD 26,000,000   05/30/20   —   —   $67,872   $67,872
Bank of America Corp.
  1.633% Fixed   CPI   Maturity   USD 27,000,000   04/14/21   —   —   465,710   465,710
Bank of America Corp.
  1.525% Fixed   CPI   Maturity   USD 43,000,000   08/31/21   —   —   760,979   760,979
Bank of America Corp.
  1.435% Fixed   CPI   Maturity   USD 30,000,000   10/30/20   —   —   603,301   603,301
Bank of America Corp.
  1.244% Fixed   CPI   Maturity   USD 30,000,000   09/05/20   —   —   139,936   139,936
Citibank, N.A.
  1.879% Fixed   CPI   Maturity   USD 54,000,000   07/26/21   —   —   59,449   59,449
Citibank, N.A.
  1.849% Fixed   CPI   Maturity   USD 20,000,000   10/27/21   —   —   61,893   61,893
Citibank, N.A.
  1.788% Fixed   CPI   Maturity   USD 30,000,000   03/08/20   —   —   146,132   146,132
Citibank, N.A.
  1.695% Fixed   CPI   Maturity   USD 42,000,000   02/21/20   —   —   220,486   220,486
Citibank, N.A.
  1.683% Fixed   CPI   Maturity   USD 22,000,000   02/28/20   —   —   131,254   131,254
Citibank, N.A.
  1.655% Fixed   CPI   Maturity   USD 40,000,000   07/20/20   —   —   666,119   666,119
Citibank, N.A.
  1.623% Fixed   CPI   Maturity   USD 38,000,000   06/20/20   —   —   791,989   791,989
Citibank, N.A.
  1.350% Fixed   CPI   Maturity   USD 43,000,000   08/07/20   —   —   136,222   136,222
Citibank, N.A.
  1.350% Fixed   CPI   Maturity   USD 48,000,000   10/09/20   —   —   116,956   116,956
Deutsche Bank AG, London Branch
  1.860% Fixed   CPI   Maturity   USD 60,000,000   06/30/20   —   —   352,513   352,513
Total Appreciation
                                $4,720,811   $4,720,811
Bank of America Corp.
  2.340% Fixed   CPI   Maturity   USD 21,000,000   09/26/23   —   —   (727,132)   (727,132)
Bank of America Corp.
  2.282% Fixed   CPI   Maturity   USD 40,000,000   02/08/20   —   —   (194,062)   (194,062)
Bank of America Corp.
  2.254% Fixed   CPI   Maturity   USD 30,000,000   10/24/23   —   —   (884,827)   (884,827)
Bank of America Corp.
  2.228% Fixed   CPI   Maturity   USD 26,000,000   03/12/22   —   —   (535,359)   (535,359)
Bank of America Corp.
  2.225% Fixed   CPI   Maturity   USD 29,000,000   03/01/20   —   —   (116,214)   (116,214)
Bank of America Corp.
  2.208% Fixed   CPI   Maturity   USD 26,000,000   02/01/23   —   —   (603,572)   (603,572)
Bank of America Corp.
  1.628% Fixed   CPI   Maturity   USD 26,000,000   01/16/21   —   —   (89,078)   (89,078)
Citibank, N.A.
  2.318% Fixed   CPI   Maturity   USD 24,000,000   07/05/22   —   —   (634,264)   (634,264)
Citibank, N.A.
  2.196% Fixed   CPI   Maturity   USD 24,000,000   05/31/23   —   —   (599,449)   (599,449)
Citibank, N.A.
  2.190% Fixed   CPI   Maturity   USD 23,000,000   08/13/21   —   —   (405,132)   (405,132)
Citibank, N.A.
  2.182% Fixed   CPI   Maturity   USD 23,000,000   01/19/23   —   —   (489,716)   (489,716)
Citibank, N.A.
  2.149% Fixed   CPI   Maturity   USD 38,000,000   01/23/21   —   —   (367,734)   (367,734)
Citibank, N.A.
  2.144% Fixed   CPI   Maturity   USD 44,000,000   01/11/21   —   —   (417,599)   (417,599)
Citibank, N.A.
  2.041% Fixed   CPI   Maturity   USD 24,000,000   10/17/22   —   —   (198,469)   (198,469)
Citibank, N.A.
  2.036% Fixed   CPI   Maturity   USD 36,000,000   11/21/22   —   —   (431,274)   (431,274)
Citibank, N.A.
  2.009% Fixed   CPI   Maturity   USD 42,000,000   10/23/22   —   —   (290,193)   (290,193)
Citibank, N.A.
  1.998% Fixed   CPI   Maturity   USD 23,000,000   12/10/23   —   —   (378,741)   (378,741)
Citibank, N.A.
  1.640% Fixed   CPI   Maturity   USD 22,000,000   11/20/20   —   —   (1,166)   (1,166)
Deutsche Bank AG
  2.333% Fixed   CPI   Maturity   USD 40,000,000   07/11/21   —   —   (817,413)   (817,413)
Deutsche Bank AG
  2.289% Fixed   CPI   Maturity   USD 33,000,000   06/13/22   —   —   (807,350)   (807,350)
Deutsche Bank AG
  2.235% Fixed   CPI   Maturity   USD 38,000,000   05/02/22   —   —   (896,691)   (896,691)
Deutsche Bank AG
  2.208% Fixed   CPI   Maturity   USD 20,000,000   04/05/23   —   —   (528,387)   (528,387)
Deutsche Bank AG
  2.203% Fixed   CPI   Maturity   USD 31,000,000   10/25/22   —   —   (697,682)   (697,682)
Deutsche Bank AG
  2.193% Fixed   CPI   Maturity   USD 40,000,000   03/08/21   —   —   (520,593)   (520,593)
DFA Short-Duration Real Return Portfolio
CONTINUED
Counterparty   Payments
made
by Fund 		  Payments
received
by Fund 		  Payment
Frequency 		  Notional
Amount 		  Expiration
Date 		  Upfront
Premiums
Paid 		  Upfront
Premiums
Received 		  Market
Value 		  Unrealized
Appreciation
(Depreciation)
Deutsche Bank AG
  2.128% Fixed   CPI   Maturity   USD 34,000,000   11/15/22   —   —   $(658,642)   $(658,642)
Deutsche Bank AG
  1.938% Fixed   CPI   Maturity   USD 25,000,000   09/08/22   —   —   (73,850)   (73,850)
Deutsche Bank AG, London Branch
  2.145% Fixed   CPI   Maturity   USD 25,000,000   03/17/20   —   —   (84,847)   (84,847)
Deutsche Bank AG, London Branch
  2.135% Fixed   CPI   Maturity   USD 30,000,000   04/05/21   —   —   (428,847)   (428,847)
Deutsche Bank AG, London Branch
  1.990% Fixed   CPI   Maturity   USD 45,000,000   06/05/22   —   —   (360,455)   (360,455)
Deutsche Bank AG, London Branch
  1.983% Fixed   CPI   Maturity   USD 32,000,000   05/12/22   —   —   (319,926)   (319,926)
Total (Depreciation)
                                $(13,558,664)   $(13,558,664)
Total Appreciation (Depreciation)
                                $(8,837,853)   $(8,837,853)
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Bonds              
Australia
—   $48,175,776   —   $48,175,776
Belgium
—   25,172,236   —   25,172,236
Canada
—   130,071,564   —   130,071,564
Denmark
—   3,015,504   —   3,015,504
Finland
—   21,691,105   —   21,691,105
France
—   46,978,066   —   46,978,066
Germany
—   103,114,805   —   103,114,805
Italy
—   2,550,240   —   2,550,240
Japan
—   94,049,872   —   94,049,872
Netherlands
—   55,467,850   —   55,467,850
Norway
—   4,394,851   —   4,394,851
Spain
—   17,817,448   —   17,817,448
Supranational Organization Obligations
—   71,208,026   —   71,208,026
Sweden
—   65,581,185   —   65,581,185
Switzerland
—   13,425,976   —   13,425,976
United Kingdom
—   45,663,734   —   45,663,734
United States
—   535,348,757   —   535,348,757
Certificates of Deposit
—   12,000,442   —   12,000,442
U.S. Treasury Obligations
—   182,200,587   —   182,200,587
Securities Lending Collateral
—   14,501,837   —   14,501,837
Forward Currency Contracts**
—   1,422,631   —   1,422,631
Swap Agreements**
—   (8,837,853)   —   (8,837,853)
TOTAL
—   $1,485,014,639   —   $1,485,014,639
** Valued at the unrealized appreciation/(depreciation) on the investment.
DFA Municipal Real Return Portfolio
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
      Face
Amount 		  Value†
      (000)    
MUNICIPAL BONDS — (98.5%)
ALABAMA — (0.5%)
Alabama State (GO) Series A        
5.000%, 08/01/20
  2,250   $2,295,832
 
5.000%, 08/01/23
  2,200   2,510,574
TOTAL ALABAMA
      4,806,406
ALASKA — (0.5%)
City of Anchorage (GO) Series A        
5.000%, 09/01/23
  600   686,454
City of Anchorage (GO) Series D        
5.000%, 09/01/23
  2,585   2,957,473
Municipality of Municipality of Anchorage AKAnchorage AK (GO) Series A        
5.000%, 09/01/21
  900   957,717
TOTAL ALASKA
      4,601,644
ARIZONA — (0.6%)
City of Phoenix (GO)        
4.000%, 07/01/20
  1,500   1,519,275
 
5.000%, 07/01/20
  875   889,796
City of Tempe (GO) Series C        
4.000%, 07/01/22
  1,400   1,505,252
Maricopa County High School District No. 210-Phoenix (GO)        
3.000%, 07/01/23
  650   695,832
Scottsdale Municipal Property Corp. (RB)        
3.000%, 07/01/21
  805   829,287
TOTAL ARIZONA
      5,439,442
ARKANSAS — (1.1%)
Arkansas State (GO)        
5.000%, 04/01/21
  2,600   2,724,384
 
5.000%, 10/01/21
  7,195   7,686,778
TOTAL ARKANSAS
      10,411,162
CALIFORNIA — (2.4%)
California State (GO)        
5.000%, 08/01/26
  9,000   11,324,340
 
3.500%, 08/01/27
  1,500   1,772,130
 
5.000%, 08/01/27
  4,000   5,158,040
California State (GO) Series B        
5.000%, 09/01/25
  3,140   3,848,761
TOTAL CALIFORNIA
      22,103,271
      Face
Amount 		  Value†
      (000)    
COLORADO — (1.1%)
City of Colorado Springs CO Utilities System Revenue (RB) Series A-1        
5.000%, 11/15/26
  3,000   $3,789,030
Denver City & County School District No. 1 (GO) (ST AID WITHHLDG) Series B        
5.000%, 12/01/24
  900   1,074,915
El Paso County School District No. 20 Academy (GO) (ST AID WITHHLDG)        
5.000%, 12/15/21
  1,240   1,335,182
Jefferson County School District R-1 (GO) (ST AID WITHHLDG) Series 1        
5.250%, 12/15/24
  1,000   1,207,230
Weld County School District No. RE-4 (GO) (ST AID WITHHLDG)        
4.000%, 12/01/23
  2,425   2,707,367
TOTAL COLORADO
      10,113,724
CONNECTICUT — (0.2%)
City of Danbury (GO)        
3.000%, 07/16/20
  2,000   2,018,740
DELAWARE — (0.5%)
New Castle County (GO)        
5.000%, 10/01/23
  2,275   2,617,387
New Castle County (GO) Series B        
5.000%, 07/15/22
  1,450   1,596,914
TOTAL DELAWARE
      4,214,301
DISTRICT OF COLUMBIA — (1.4%)
District of Columbia (GO) Series A        
5.000%, 06/01/20
  1,900   1,925,574
District of Columbia (GO) Series E        
5.000%, 06/01/21
  2,550   2,689,459
 
5.000%, 06/01/26
  1,875   2,350,313
Washington Metropolitan Area Transit Authority (RB) Series A-1        
5.000%, 07/01/27
  4,535   5,810,378
TOTAL DISTRICT OF COLUMBIA
      12,775,724
 
DFA Municipal Real Return Portfolio
CONTINUED
      Face
Amount 		  Value†
      (000)    
FLORIDA — (2.6%)
Florida Department of Environmental Protection (RB) Series A        
5.000%, 07/01/26
  5,000   $6,224,800
Florida State (GO) Series A        
5.000%, 07/01/21
  2,000   2,116,220
 
5.000%, 06/01/23
  700   793,933
 
5.000%, 07/01/24
  500   589,190
Florida State (GO) Series B        
5.000%, 06/01/20
  3,300   3,344,418
 
5.000%, 06/01/23
  650   737,223
Miami-Dade County (GO) Series A        
5.000%, 07/01/26
  1,810   2,258,464
Miami-Dade County (GO) Series D        
5.000%, 07/01/20
  3,520   3,579,523
State of Florida (GO) Series B        
5.000%, 06/01/25
  3,000   3,635,940
TOTAL FLORIDA
      23,279,711
GEORGIA — (2.8%)
Cobb County (GO)        
5.000%, 01/01/22
  2,335   2,518,484
Georgia State (GO) Series A        
5.000%, 07/01/26
  1,200   1,505,796
 
5.000%, 07/01/27
  8,000   10,289,360
Georgia State (GO) Series C        
5.000%, 10/01/21
  2,490   2,660,191
Georgia State (GO) Series C-1        
5.000%, 07/01/23
  3,000   3,419,010
 
5.000%, 07/01/24
  3,200   3,773,856
Georgia State Road & Tollway Authority (RB) (MUN GOVT GTD)        
5.000%, 10/01/23
  1,580   1,816,558
TOTAL GEORGIA
      25,983,255
HAWAII — (0.9%)
City & County of Honolulu (GO) Series B        
5.000%, 10/01/23
  2,150   2,469,382
 
5.000%, 10/01/25
  450   551,903
Hawaii State (GO)        
5.000%, 05/01/23
  1,800   2,037,438
Hawaii State (GO) Series EF        
5.000%, 11/01/22
  300   333,648
Hawaii State (GO) Series EH-2017        
5.000%, 08/01/23
  970   1,107,653
Hawaii State (GO) (ETM) Series EH        
5.000%, 08/01/23
  1,225   1,399,072
      Face
Amount 		  Value†
      (000)    
HAWAII — (Continued)
Hawaii State (GO) (ETM) Series EH-2017        
5.000%, 08/01/23
  305   $348,341
TOTAL HAWAII
      8,247,437
KANSAS — (1.4%)
City of Lenexa (GO) Series A        
5.000%, 09/01/21
  600   638,970
City of Lenexa (GO) Series B        
5.000%, 09/01/20
  1,610   1,648,334
City of Merriam (GO)        
5.000%, 10/01/25
  200   245,414
City of Wichita (GO) Series A        
5.000%, 12/01/20
  3,000   3,102,360
Johnson County (GO) Series B        
5.000%, 09/01/22
  1,405   1,552,399
Johnson County Unified School District No. 229 Blue Valley (GO) Series A        
5.000%, 10/01/26
  1,500   1,892,130
Kansas State Department of Transportation (RB) Series A        
5.000%, 09/01/27
  1,000   1,281,910
Kansas State Department of Transportation (RB) Series B        
5.000%, 09/01/20
  1,975   2,021,669
TOTAL KANSAS
      12,383,186
KENTUCKY — (0.7%)
Louisville & Jefferson County (GO)        
5.000%, 12/01/25
  3,800   4,670,010
Louisville/Jefferson County Metropolitan Government (GO)        
5.000%, 12/01/22
  1,500   1,671,480
TOTAL KENTUCKY
      6,341,490
LOUISIANA — (0.2%)
Louisiana State (GO) Series C        
5.000%, 07/15/22
  250   274,687
 
5.000%, 08/01/23
  1,100   1,253,252
Louisiana State (GO) Series D-2        
5.000%, 12/01/21
  600   644,538
TOTAL LOUISIANA
      2,172,477
MAINE — (0.1%)
Maine State (GO) Series B        
5.000%, 06/01/23
  495   561,597
 
DFA Municipal Real Return Portfolio
CONTINUED
      Face
Amount 		  Value†
      (000)    
MARYLAND — (9.2%)
Anne County Arundel (GO)        
5.000%, 04/01/23
  4,000   $4,514,320
Baltimore County (GO)        
4.000%, 03/19/20
  6,800   6,825,568
 
5.000%, 08/01/21
  500   530,845
 
3.000%, 11/01/24
  5,015   5,496,139
City of Baltimore (GO) Series B        
5.000%, 10/15/22
  645   716,008
City of Frederick (GO) Series C        
5.000%, 03/01/27
  3,100   3,936,163
Harford County (GO) Series A        
5.000%, 09/15/20
  900   922,923
Howard County (GO) Series A        
5.000%, 02/15/28
  3,000   3,910,920
Howard County (GO) Series D        
5.000%, 02/15/24
  4,000   4,656,920
 
5.000%, 02/15/25
  8,390   10,102,063
Maryland State (GO) Series A        
5.000%, 03/15/28
  7,000   9,143,750
Maryland State (GO) Series B        
4.000%, 08/01/23
  1,785   1,978,351
 
5.000%, 08/01/26
  5,500   6,916,470
 
5.000%, 08/01/26
  1,000   1,257,540
 
5.000%, 08/01/27
  325   418,548
Maryland State (GO) Series C        
5.000%, 08/01/20
  2,000   2,041,040
Montgomery County (GO) Series C        
5.000%, 10/01/27
  6,655   8,603,318
Montgomery County (GO) Series D        
3.000%, 11/01/23
  2,000   2,156,780
Washington Suburban Sanitary Commission (RB) (CNTY GTD)        
4.000%, 06/01/20
  2,600   2,626,676
 
5.000%, 06/01/24
  4,325   5,086,200
 
3.000%, 06/01/26
  2,080   2,327,333
TOTAL MARYLAND
      84,167,875
MASSACHUSETTS — (5.0%)
City of Boston (GO) Series A        
5.000%, 03/01/20
  1,200   1,203,816
City of Boston (GO) Series B        
5.000%, 04/01/24
  3,500   4,109,910
City of Quincy (GO)        
2.000%, 01/15/21
  10,000   10,098,100
Commonwealth of Massachusetts (GO) Series A        
4.000%, 04/23/20
  2,000   2,013,440
      Face
Amount 		  Value†
      (000)    
MASSACHUSETTS — (Continued)
Commonwealth of Massachusetts (GO) Series B        
4.000%, 05/21/20
  3,000   $3,027,300
 
5.250%, 08/01/21
  500   532,540
Commonwealth of Massachusetts (GO) Series C        
5.000%, 04/01/23
  4,000   4,514,320
 
5.000%, 08/01/24
  1,360   1,607,098
Commonwealth of Massachusetts (GO) Series E        
5.000%, 11/01/27
  1,000   1,292,610
Massachusetts Clean Water Trust (The) (RB)        
5.000%, 08/01/20
  400   408,168
Massachusetts School Building Authority (RB) (ETM) Series A        
5.000%, 11/15/25
  3,240   3,988,635
Massachusetts Water Resources Authority (RB) (AGM) Series B        
5.250%, 08/01/28
  9,000   12,000,690
Town of Lexington (GO)        
4.000%, 02/15/27
  1,000   1,215,080
TOTAL MASSACHUSETTS
      46,011,707
MICHIGAN — (0.5%)
Michigan State (GO) Series A        
5.000%, 05/01/23
  2,425   2,746,555
 
5.000%, 05/01/25
  1,500   1,815,780
TOTAL MICHIGAN
      4,562,335
MINNESOTA — (3.6%)
Hennepin County (GO) Series C        
5.000%, 12/01/28
  1,150   1,530,673
Metropolitan Council (GO)        
5.000%, 03/01/20
  955   957,980
Metropolitan Council (GO) Series C        
5.000%, 03/01/24
  6,250   7,284,812
Minneapolis Special School District No. 1 (GO) (SD CRED PROG) Series B        
5.000%, 02/01/28
  2,590   3,348,041
Minnesota State (GO) Series A        
5.000%, 08/01/21
  1,330   1,411,848
 
5.000%, 08/01/25
  7,000   8,553,370
 
5.000%, 08/01/28
  6,000   7,913,400
 
DFA Municipal Real Return Portfolio
CONTINUED
      Face
Amount 		  Value†
      (000)    
MINNESOTA — (Continued)
Minnesota State (GO) Series D        
5.000%, 08/01/21
  700   $743,078
Saint Paul Public Library Agency (GO) Series C        
5.000%, 03/01/20
  900   902,799
TOTAL MINNESOTA
      32,646,001
MISSISSIPPI — (0.2%)
Mississippi State (GO) Series B        
5.000%, 11/01/20
  600   618,408
Mississippi State (GO) Series C        
5.000%, 10/01/20
  1,565   1,607,631
TOTAL MISSISSIPPI
      2,226,039
MISSOURI — (0.5%)
Columbia School District (GO) Series B        
5.000%, 03/01/23
  2,500   2,810,675
North Kansas City School District No. 74 (GO) (ST AID DIR DEP)        
4.000%, 03/01/26
  1,845   2,166,860
TOTAL MISSOURI
      4,977,535
NEBRASKA — (1.1%)
Douglas County School District No. 17 (GO)        
4.000%, 12/15/26
  3,000   3,593,790
Omaha School District (GO)        
5.000%, 12/15/25
  1,345   1,660,940
 
5.000%, 12/15/26
  3,975   5,036,802
TOTAL NEBRASKA
      10,291,532
NEVADA — (3.1%)
City of Henderson NV (GO)        
5.000%, 06/01/21
  600   632,814
Clark County (GO) Series B        
5.000%, 11/01/24
  8,665   10,311,697
Nevada State (GO) Series D        
5.000%, 04/01/25
  11,625   14,002,545
Nevada State (GO) Series D1        
5.000%, 03/01/22
  2,000   2,168,700
Washoe County School District (GO) Series F        
5.000%, 06/01/21
  900   948,609
TOTAL NEVADA
      28,064,365
NEW HAMPSHIRE — (0.3%)
City of Dover (GO) Series C        
5.000%, 07/01/20
  220   223,740
      Face
Amount 		  Value†
      (000)    
NEW HAMPSHIRE — (Continued)
City of Nashua (GO)        
4.000%, 07/15/24
  2,000   $2,271,840
TOTAL NEW HAMPSHIRE
      2,495,580
NEW JERSEY — (1.1%)
City of Hoboken (GO)        
3.000%, 02/01/27
  1,000   1,111,220
City of Jersey (GO)        
3.000%, 01/13/21
  3,000   3,055,950
Hudson County (GO)        
5.000%, 09/01/20
  1,000   1,023,980
Mercer County (GO) Series B        
2.000%, 06/15/20
  2,000   2,007,220
Ocean County (GO)        
4.000%, 10/01/20
  1,000   1,020,890
Township of Parsippany-Troy Hills (GO) Series ABCD        
2.000%, 09/15/21
  1,515   1,543,846
TOTAL NEW JERSEY
      9,763,106
NEW MEXICO — (1.6%)
New Mexico State (GO)        
5.000%, 03/01/21
  2,105   2,197,578
New Mexico State Severance Tax Permanent Fund (RB) Series A        
5.000%, 07/01/27
  2,570   3,280,142
New Mexico State Severance Tax Permanent Fund (RB) Series B        
4.000%, 07/01/20
  2,000   2,025,860
New Mexico State Severance Tax Permanent Fund (RB) Series D        
5.000%, 07/01/26
  5,580   6,958,651
TOTAL NEW MEXICO
      14,462,231
NEW YORK — (6.4%)
City of New York (GO)        
5.000%, 08/01/26
  3,825   4,796,397
City of New York (GO) Series A-1        
3.000%, 08/01/20
  2,615   2,642,771
 
4.000%, 08/01/20
  2,220   2,254,454
City of New York (GO) Series C        
5.000%, 08/01/26
  500   626,980
 
5.000%, 08/01/26
  3,650   4,576,954
City of New York (GO) Series J        
5.000%, 08/01/22
  650   716,359
City of New York (GO) (ETM) Series G-1        
5.000%, 04/01/20
  2,270   2,285,164
 
DFA Municipal Real Return Portfolio
CONTINUED
      Face
Amount 		  Value†
      (000)    
NEW YORK — (Continued)
New York State Dormitory Authority (RB) Series A        
5.000%, 02/15/25
  500   $601,775
New York State Dormitory Authority (RB) Series B        
5.000%, 02/15/22
  2,500   2,706,975
 
5.000%, 02/15/24
  700   814,961
New York State Dormitory Authority (RB) Series C        
5.000%, 03/15/27
  14,000   17,906,560
New York State Dormitory Authority (RB) Series E        
5.000%, 03/15/27
  7,000   8,953,280
New York State Urban Development Corp. (RB) Series A        
5.000%, 03/15/26
  6,890   8,571,298
Riverhead Central School District (GO) (ST AID WITHHLDG)        
2.000%, 10/15/22
  700   721,007
TOTAL NEW YORK
      58,174,935
NORTH CAROLINA — (5.4%)
City of Charlotte Water & Sewer System Revenue (RB)        
5.000%, 07/01/21
  1,800   1,904,868
Forsyth County (GO)        
4.000%, 12/01/21
  1,500   1,585,935
Gaston County (GO)        
5.000%, 02/01/26
  2,500   3,087,850
Iredell County (GO) Series B        
2.500%, 02/01/24
  2,285   2,415,405
Mecklenburg County (GO) Series A        
5.000%, 04/01/22
  5,000   5,445,200
Mecklenburg County (GO) Series B        
5.000%, 12/01/21
  6,120   6,581,203
 
5.000%, 12/01/26
  8,430   10,697,164
North Carolina Eastern Municipal Power Agency (RB) (NATL-IBC) (ETM) Series B        
6.000%, 01/01/22
  650   712,576
North Carolina State (GO) Series C        
4.000%, 05/01/20
  1,000   1,007,620
Wake County (GO)        
5.000%, 09/01/21
  2,250   2,396,498
 
5.000%, 09/01/24
  4,000   4,745,880
Wake County (GO) Series C        
5.000%, 03/01/25
  7,530   9,083,740
TOTAL NORTH CAROLINA
      49,663,939
      Face
Amount 		  Value†
      (000)    
NORTH DAKOTA — (0.1%)
North Dakota State University of Agriculture & Applied Science (RB) Series A        
5.000%, 04/01/21
  545   $570,490
OHIO — (5.4%)
City of Columbus (GO)        
2.000%, 08/15/22
  2,000   2,057,940
 
4.000%, 08/15/25
  3,500   4,078,830
City of Columbus (GO) Series 1        
5.000%, 07/01/21
  2,775   2,936,255
City of Columbus (GO) Series 2017-1        
4.000%, 04/01/27
  4,205   5,053,947
City of Columbus (GO) Series A        
5.000%, 02/15/20
  650   650,819
City of Columbus (GO)        
4.000%, 04/01/24
  4,000   4,507,240
Columbus City School District (GO) Series A        
5.000%, 12/01/21
  1,595   1,714,290
Franklin County (GO)        
5.000%, 06/01/21
  1,830   1,930,083
Ohio State (GO) Series A        
4.000%, 03/01/21
  1,475   1,524,604
 
5.000%, 09/15/25
  1,950   2,384,675
 
5.000%, 09/01/28
  2,500   3,289,250
Ohio State (GO) Series B        
5.000%, 08/01/20
  650   663,208
 
5.000%, 09/01/27
  9,300   11,952,918
 
5.000%, 09/15/27
  3,500   4,502,260
Upper Arlington City School District (GO) Series A        
5.000%, 12/01/26
  1,530   1,933,385
TOTAL OHIO
      49,179,704
OREGON — (1.1%)
City of Portland Sewer System Revenue (RB) Series A        
5.000%, 10/01/23
  3,570   4,101,716
Multnomah County School District No. 1 Portland (GO) (SCH BD GTY) Series B        
5.000%, 06/15/23
  1,005   1,143,208
Oregon State (GO) Series A        
5.000%, 05/01/20
  1,800   1,818,018
 
5.000%, 05/01/21
  800   841,008
Oregon State (GO) Series G        
5.000%, 12/01/22
  2,050   2,287,410
TOTAL OREGON
      10,191,360
 
DFA Municipal Real Return Portfolio
CONTINUED
      Face
Amount 		  Value†
      (000)    
PENNSYLVANIA — (0.5%)
Commonwealth of Pennsylvania (GO)        
5.000%, 04/01/22
  3,925   $4,270,949
RHODE ISLAND — (0.4%)
Rhode Island State (GO) Series A        
5.000%, 08/01/20
  1,900   1,938,418
Rhode Island State (GO) Series D        
5.000%, 08/01/22
  600   660,942
Rhode State Island (GO) Series A        
5.000%, 04/01/27
  1,060   1,351,903
TOTAL RHODE ISLAND
      3,951,263
SOUTH CAROLINA — (2.5%)
Beaufort County (GO) (ST AID WITHHLDG)        
4.000%, 03/01/22
  640   680,858
Beaufort County School District (GO) (SCSDE) Series A        
5.000%, 03/01/23
  6,000   6,745,620
Berkeley County School District (GO) (SCSDE)        
5.000%, 03/01/27
  2,500   3,172,375
Charleston County (GO)        
5.000%, 11/01/23
  1,000   1,153,070
Charleston County School District (GO) (SCSDE) Series A        
5.000%, 02/01/21
  800   832,552
Clemson University (RB) Series B        
5.000%, 05/01/25
  750   906,608
Lexington & Richland School District No. 5 (GO) (SCSDE)        
5.000%, 03/01/24
  2,750   3,200,505
Richland County (GO) (ST AID WITHHLDG) Series A        
5.000%, 03/01/26
  1,870   2,325,999
South Carolina State (GO) (ST AID WITHHLDG) Series A        
5.000%, 10/01/23
  3,000   3,447,990
TOTAL SOUTH CAROLINA
      22,465,577
TENNESSEE — (4.2%)
City of Kingsport (GO) Series A        
5.000%, 09/01/21
  510   543,125
      Face
Amount 		  Value†
      (000)    
TENNESSEE — (Continued)
Hamilton County (GO) Series B        
5.000%, 03/01/22
  2,000   $2,170,860
Maury County (GO) Series B        
5.000%, 04/01/20
  1,205   1,212,905
Metropolitan Government of Nashville & Davidson County (GO)        
5.000%, 07/01/21
  5,000   5,290,550
 
5.000%, 01/01/26
  5,000   6,173,200
 
4.000%, 07/01/28
  1,000   1,226,170
Rutherford County (GO) Series B        
5.000%, 04/01/23
  4,085   4,608,860
Shelby County (GO)        
5.000%, 04/01/25
  5,000   6,033,850
Shelby County (GO) Series A        
5.000%, 04/01/20
  1,500   1,509,840
 
5.000%, 04/01/27
  3,975   5,053,934
Sullivan County (GO) Series A        
5.000%, 04/01/21
  1,000   1,047,600
Sumner County (GO)        
5.000%, 06/01/21
  650   685,549
 
5.000%, 12/01/21
  900   967,653
Washington County (GO) Series A        
4.000%, 06/01/26
  1,705   2,012,957
TOTAL TENNESSEE
      38,537,053
TEXAS — (14.0%)
City of Arlington (GO)        
5.000%, 08/15/25
  1,000   1,214,950
City of Dallas Waterworks & Sewer System Revenue (RB) Series A        
5.000%, 10/01/22
  9,000   9,966,690
City of Frisco (GO) Series A        
5.000%, 02/15/25
  2,000   2,397,200
City of Garland (GO) Series A        
5.000%, 02/15/24
  400   463,620
City of Houston (RN)        
3.000%, 06/26/20
  5,000   5,038,900
City of Houston (GO) Series A        
5.000%, 03/01/20
  1,515   1,519,651
 
5.000%, 03/01/27
  5,000   6,302,000
City of Lubbock (GO)        
5.000%, 02/15/23
  4,000   4,487,440
City of San Antonio Electric & Gas Systems Revenue (RB)        
5.000%, 02/01/24
  9,515   11,038,447
 
5.000%, 02/01/26
  2,850   3,522,030
City of Sugar Land (GO)        
5.000%, 02/15/21
  1,050   1,094,719
 
DFA Municipal Real Return Portfolio
CONTINUED
      Face
Amount 		  Value†
      (000)    
TEXAS — (Continued)
Conroe Independent School District (GO) (PSF-GTD) Series A        
5.000%, 02/15/26
  8,710   $10,751,537
Cypress-Fairbanks Independent School District (GO) (PSF-GTD)        
5.000%, 02/15/21
  800   834,072
Dallas County Community College District (GO)        
5.000%, 02/15/21
  2,155   2,246,566
El Paso Independent School District (GO) (PSF-GTD)        
5.000%, 08/15/24
  3,035   3,583,698
Frisco Independent School District (GO) (PSF-GTD)        
5.000%, 08/15/20
  2,460   2,514,046
Georgetown Independent School District (GO) (PSF-GTD) Series A        
4.000%, 02/15/21
  3,405   3,515,186
Goose Creek Consolidated Independent School District (GO) (PSF-GTD)        
5.000%, 02/15/27
  3,000   3,781,890
Highland Park Independent School District (GO)        
5.000%, 02/15/23
  3,120   3,499,205
Houston Independent School District (GO) (PSF-GTD)        
5.000%, 02/15/27
  5,000   6,330,200
Permanent University Fund - University of Texas System (RB) Series B        
5.250%, 07/01/28
  2,610   3,470,674
Pflugerville Independent School District (GO) (PSF-GTD)        
4.000%, 08/15/20
  2,000   2,033,380
Plano Independent School District (GO) (PSF-GTD)        
5.000%, 02/15/24
  2,225   2,581,779
San Antonio Independent School District (GO) (PSF-GTD)        
5.000%, 02/15/20
  1,790   1,792,255
Texas State (RN)        
4.000%, 08/27/20
  5,000   5,086,250
Texas State (GO)        
5.000%, 10/01/23
  4,200   4,823,910
Texas Transportation Commission State Highway Fund (RB)        
5.000%, 10/01/26
  2,505   3,141,470
      Face
Amount 		  Value†
      (000)    
TEXAS — (Continued)
University of Texas System (The) (RB)        
5.000%, 08/15/25
  12,500   $15,269,750
 
5.000%, 08/15/26
  3,850   4,832,443
Ysleta Independent School District (GO) (PSF-GTD) Series A        
5.000%, 08/15/20
  460   470,106
TOTAL TEXAS
      127,604,064
UTAH — (0.6%)
City of American Fork (GO)        
5.000%, 05/01/26
  1,165   1,439,556
Davis School District (GO) (SCH BD GTY) Series B        
5.000%, 06/01/23
  1,000   1,135,950
Tooele County School District (GO) (SCH BD GTY) Series B        
5.000%, 06/01/22
  650   711,815
Utah State (GO)        
5.000%, 07/01/22
  1,500   1,649,205
Weber School District (GO) (SCH BD GTY)        
5.000%, 06/15/21
  650   686,679
TOTAL UTAH
      5,623,205
VIRGINIA — (6.2%)
Arlington County (GO)        
5.000%, 08/15/26
  3,575   4,500,174
 
5.000%, 08/15/27
  4,000   5,155,920
 
5.000%, 08/15/27
  3,820   4,923,904
Arlington County (GO) Series B        
5.000%, 08/15/22
  4,830   5,334,494
Chesterfield County (GO) (ST AID WITHHLDG) Series A        
5.000%, 01/01/22
  1,735   1,872,030
City of Lynchburg (GO)        
5.000%, 02/01/26
  1,930   2,393,991
City of Manassas (GO) (ST AID WITHHLDG) Series C        
5.000%, 07/01/21
  1,040   1,100,736
City of Norfolk (GO) (ST AID WTHHLDG)        
5.000%, 08/01/27
  2,300   2,954,373
City of Richmond (GO) (ST AID WITHHLDG) Series A        
5.000%, 03/01/21
  900   940,176
City of Virginia Beach (GO) (ST AID WITHHLDG) Series B        
5.000%, 07/15/20
  2,200   2,241,052
 
5.000%, 09/15/24
  3,000   3,562,560
 
DFA Municipal Real Return Portfolio
CONTINUED
      Face
Amount 		  Value†
      (000)    
VIRGINIA — (Continued)
Fairfax County (GO) (ST AID WITHHLDG)        
5.000%, 10/01/26
  5,535   $6,998,288
Fairfax County (GO) (ST AID WITHHLDG) Series A        
5.000%, 10/01/23
  4,775   5,489,913
Loudoun County (GO) Series A        
5.000%, 12/01/21
  5,000   5,377,750
Virginia Public Building Authority (RB) Series C        
5.000%, 08/01/23
  600   685,146
Virginia Resources Authority (GO) Series A        
5.000%, 06/01/27
  2,115   2,718,346
Virginia Resources Authority (RB) Series D        
5.000%, 11/01/20
  200   206,196
TOTAL VIRGINIA
      56,455,049
WASHINGTON — (3.7%)
City of Marysville Water & Sewer Revenue (RB)        
5.000%, 04/01/20
  175   176,150
City of Seattle Municipal Light & Power Revenue (RB) Series B        
5.000%, 04/01/24
  3,000   3,507,990
City of Spokane (GO)        
5.000%, 12/01/25
  1,165   1,432,472
Clark County School District No. 119 Battleground (GO) (SCH BD GTY)        
4.000%, 12/01/21
  510   538,647
King County (GO) Series A        
5.000%, 07/01/20
  700   711,865
 
5.000%, 12/01/25
  1,830   2,252,474
King County School District No. 405 Bellevue (GO) (SCH BD GTY)        
5.000%, 12/01/24
  2,265   2,699,291
King County School District No. 414 Lake Washington (GO) (SCH BD GTY)        
5.000%, 12/01/22
  925   1,031,847
North Thurston Public Schools (GO) (SCH BD GTY)        
5.000%, 12/01/22
  2,080   2,319,034
Port of Seattle (GO)        
5.000%, 06/01/21
  3,150   3,321,832
Washington State (GO) Series 2017-A        
5.000%, 08/01/26
  1,480   1,857,977
      Face
Amount 		  Value†
      (000)    
WASHINGTON — (Continued)
Washington State (GO) Series A        
5.000%, 08/01/21
  500   $531,000
Washington State (GO) Series C        
5.000%, 02/01/25
  1,930   2,318,837
Washington State (GO) Series R-2012C        
4.000%, 07/01/21
  150   156,686
Washington State (GO) Series R-2013A        
5.000%, 07/01/20
  2,775   2,822,286
Washington State (GO) Series R-2015        
5.000%, 07/01/20
  1,560   1,586,582
Washington State (GO) Series R-2018C        
5.000%, 08/01/27
  4,800   6,153,696
TOTAL WASHINGTON
      33,418,666
WISCONSIN — (4.8%)
City of Janesville (GO)        
3.000%, 03/01/24
  1,245   1,343,305
City of Milwaukee (GO)        
5.000%, 05/01/20
  2,370   2,393,534
City of Milwaukee (GO) Series N2        
4.000%, 03/01/24
  6,500   7,272,070
City of Milwaukee (GO) Series N4        
5.000%, 04/01/27
  1,510   1,913,895
 
5.000%, 04/01/28
  9,990   12,900,786
City of Oshkosh (GO) Series B        
3.000%, 12/01/23
  650   699,010
Germantown School District (GO) Series A        
5.000%, 04/01/27
  2,200   2,807,596
Oregon School District (GO)        
3.000%, 03/01/21
  1,900   1,942,370
Wisconsin State (GO)        
5.000%, 11/01/22
  600   667,644
Wisconsin State (GO) Series 1        
5.000%, 05/01/20
  2,300   2,323,138
 
5.000%, 11/01/24
  4,025   4,789,911
Wisconsin State (GO) Series 2        
5.000%, 11/01/20
  800   824,664
 
DFA Municipal Real Return Portfolio
CONTINUED
      Face
Amount 		  Value†
      (000)    
WISCONSIN — (Continued)
Wisconsin State (GO) Series B        
5.000%, 05/01/21
  3,405   $3,580,426
TOTAL WISCONSIN
      43,458,349
TOTAL MUNICIPAL BONDS

Cost ($859,811,863)
      898,686,476
    
      Shares   Value†
TEMPORARY CASH INVESTMENTS — (1.5%)
 
BlackRock Liquidity Funds MuniCash Portfolio
  13,684,646   $13,684,646
TOTAL INVESTMENTS — (100.0%)    
(Cost $873,499,246)^^
      $912,371,122
 
As of January 31, 2020, DFA Municipal Real Return Portfolio had entered into the following outstanding Inflation Swaps:
Counterparty   Payments
made
by Fund 		  Payments
received
by Fund 		  Payment
Frequency 		  Notional
Amount 		  Expiration
Date 		  Upfront
Premiums
Paid 		  Upfront
Premiums
Received 		  Market
Value 		  Unrealized
Appreciation
(Depreciation)
Bank of America Corp.
  1.826% Fixed   CPI   Maturity   USD 26,000,000   11/07/20   —   —   $189,672   $189,672
Bank of America Corp.
  1.715% Fixed   CPI   Maturity   USD 11,000,000   09/28/23   —   —   118,894   118,894
Bank of America Corp.
  1.706% Fixed   CPI   Maturity   USD 11,000,000   06/14/22   —   —   145,351   145,351
Bank of America Corp.
  1.704% Fixed   CPI   Maturity   USD 27,000,000   05/31/21   —   —   382,130   382,130
Bank of America Corp.
  1.663% Fixed   CPI   Maturity   USD 17,000,000   04/15/22   —   —   263,579   263,579
Bank of America Corp.
  1.619% Fixed   CPI   Maturity   USD 12,000,000   10/14/22   —   —   107,189   107,189
Bank of America Corp.
  1.610% Fixed   CPI   Maturity   USD 20,000,000   12/31/20   —   —   264,098   264,098
Bank of America Corp.
  1.609% Fixed   CPI   Maturity   USD 17,000,000   06/24/21   —   —   305,531   305,531
Bank of America Corp.
  1.580% Fixed   CPI   Maturity   USD 14,000,000   12/30/20   —   —   207,044   207,044
Bank of America Corp.
  1.548% Fixed   CPI   Maturity   USD 8,000,000   01/08/21   —   —   133,667   133,667
Bank of America Corp.
  1.530% Fixed   CPI   Maturity   USD 19,000,000   12/24/20   —   —   331,593   331,593
Citibank, N.A.
  1.789% Fixed   CPI   Maturity   USD 21,000,000   03/31/24   —   —   134,559   134,559
Citibank, N.A.
  1.752% Fixed   CPI   Maturity   USD 17,000,000   05/20/23   —   —   200,791   200,791
Citibank, N.A.
  1.698% Fixed   CPI   Maturity   USD 22,000,000   06/02/22   —   —   320,141   320,141
Citibank, N.A.
  1.675% Fixed   CPI   Maturity   USD 20,000,000   09/03/24   —   —   27,739   27,739
Citibank, N.A.
  1.578% Fixed   CPI   Maturity   USD 25,000,000   08/09/23   —   —   506,633   506,633
Citibank, N.A.
  1.577% Fixed   CPI   Maturity   USD 10,000,000   11/18/21   —   —   137,078   137,078
Citibank, N.A.
  1.555% Fixed   CPI   Maturity   USD 10,000,000   12/11/20   —   —   161,955   161,955
Citibank, N.A.
  1.533% Fixed   CPI   Maturity   USD 10,000,000   11/10/20   —   —   158,196   158,196
Citibank, N.A.
  1.520% Fixed   CPI   Maturity   USD 24,000,000   08/01/21   —   —   485,099   485,099
Citibank, N.A.
  1.481% Fixed   CPI   Maturity   USD 17,000,000   08/18/21   —   —   356,557   356,557
Citibank, N.A.
  1.253% Fixed   CPI   Maturity   USD 12,000,000   02/11/22   —   —   445,040   445,040
Total Appreciation
                                $5,382,536   $5,382,536
Bank of America Corp.
  2.373% Fixed   CPI   Maturity   USD 18,000,000   07/13/26   —   —   (944,850)   (944,850)
Bank of America Corp.
  2.355% Fixed   CPI   Maturity   USD 17,000,000   05/29/28   —   —   (995,300)   (995,300)
Bank of America Corp.
  2.349% Fixed   CPI   Maturity   USD 14,000,000   08/13/27   —   —   (783,874)   (783,874)
Bank of America Corp.
  2.349% Fixed   CPI   Maturity   USD 14,000,000   09/20/26   —   —   (715,481)   (715,481)
Bank of America Corp.
  2.327% Fixed   CPI   Maturity   USD 17,000,000   07/30/24   —   —   (675,208)   (675,208)
DFA Municipal Real Return Portfolio
CONTINUED
Counterparty   Payments
made
by Fund 		  Payments
received
by Fund 		  Payment
Frequency 		  Notional
Amount 		  Expiration
Date 		  Upfront
Premiums
Paid 		  Upfront
Premiums
Received 		  Market
Value 		  Unrealized
Appreciation
(Depreciation)
Bank of America Corp.
  2.243% Fixed   CPI   Maturity   USD 15,000,000   11/01/27   —   —   $(658,675)   $(658,675)
Bank of America Corp.
  2.195% Fixed   CPI   Maturity   USD 15,000,000   01/09/24   —   —   (411,458)   (411,458)
Bank of America Corp.
  2.192% Fixed   CPI   Maturity   USD 14,000,000   03/29/25   —   —   (487,951)   (487,951)
Bank of America Corp.
  2.186% Fixed   CPI   Maturity   USD 20,000,000   11/20/25   —   —   (659,029)   (659,029)
Bank of America Corp.
  2.177% Fixed   CPI   Maturity   USD 11,000,000   09/20/27   —   —   (345,825)   (345,825)
Bank of America Corp.
  2.149% Fixed   CPI   Maturity   USD 14,000,000   08/10/27   —   —   (417,565)   (417,565)
Bank of America Corp.
  2.064% Fixed   CPI   Maturity   USD 13,000,000   10/24/24   —   —   (195,054)   (195,054)
Bank of America Corp.
  2.029% Fixed   CPI   Maturity   USD 15,000,000   05/24/25   —   —   (264,135)   (264,135)
Bank of America Corp.
  2.004% Fixed   CPI   Maturity   USD 14,000,000   06/13/25   —   —   (203,002)   (203,002)
Bank of America Corp.
  1.971% Fixed   CPI   Maturity   USD 25,000,000   02/21/25   —   —   (344,752)   (344,752)
Bank of America Corp.
  1.902% Fixed   CPI   Maturity   USD 25,000,000   07/14/22   —   —   (67,895)   (67,895)
Bank of America Corp.
  0.022% Fixed   CPI   Maturity   USD 16,000,000   02/14/24   —   —   (448,916)   (448,916)
Citibank, N.A.
  2.367% Fixed   CPI   Maturity   USD 10,000,000   05/04/28   —   —   (617,788)   (617,788)
Citibank, N.A.
  2.234% Fixed   CPI   Maturity   USD 34,000,000   01/23/24   —   —   (977,549)   (977,549)
Citibank, N.A.
  2.171% Fixed   CPI   Maturity   USD 11,000,000   04/07/24   —   —   (325,545)   (325,545)
Citibank, N.A.
  2.148% Fixed   CPI   Maturity   USD 19,000,000   01/04/24   —   —   (426,635)   (426,635)
Citibank, N.A.
  2.141% Fixed   CPI   Maturity   USD 17,000,000   04/16/28   —   —   (495,272)   (495,272)
Citibank, N.A.
  2.114% Fixed   CPI   Maturity   USD 14,000,000   12/19/23   —   —   (290,763)   (290,763)
Citibank, N.A.
  2.112% Fixed   CPI   Maturity   USD 11,000,000   05/02/24   —   —   (273,124)   (273,124)
Citibank, N.A.
  2.112% Fixed   CPI   Maturity   USD 27,000,000   12/21/24   —   —   (623,740)   (623,740)
Citibank, N.A.
  2.102% Fixed   CPI   Maturity   USD 11,000,000   11/21/26   —   —   (283,670)   (283,670)
Citibank, N.A.
  2.100% Fixed   CPI   Maturity   USD 18,000,000   12/11/25   —   —   (448,513)   (448,513)
Citibank, N.A.
  2.087% Fixed   CPI   Maturity   USD 23,000,000   12/29/22   —   —   (359,431)   (359,431)
Citibank, N.A.
  2.005% Fixed   CPI   Maturity   USD 12,000,000   11/09/25   —   —   (166,527)   (166,527)
Citibank, N.A.
  1.986% Fixed   CPI   Maturity   USD 20,000,000   07/24/23   —   —   (174,888)   (174,888)
Citibank, N.A.
  1.678% Fixed   CPI   Maturity   USD 15,000,000   06/17/23   —   —   (9,715)   (9,715)
Citibank, N.A.
  1.455% Fixed   CPI   Maturity   USD 20,000,000   01/30/22   —   —   (14,992)   (14,992)
Total (Depreciation)
                                $(14,107,122)   $(14,107,122)
Total Appreciation (Depreciation)
                                $(8,724,586)   $(8,724,586)
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Municipal Bonds
—   $898,686,476   —   $898,686,476
Temporary Cash Investments
—   13,684,646   —   13,684,646
Swap Agreements**
—   (8,724,586)   —   (8,724,586)
TOTAL
—   $903,646,536   —   $903,646,536
** Valued at the unrealized appreciation/(depreciation) on the investment.
DFA Municipal Bond Portfolio
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
      Face
Amount 		  Value†
      (000)    
MUNICIPAL BONDS — (99.6%)
ALABAMA — (0.4%)
Alabama State (GO) Series A        
5.000%, 08/01/20
  200   $204,074
 
5.000%, 08/01/21
  1,000   1,061,230
 
5.000%, 08/01/23
  300   342,351
Baldwin County (GO)        
4.000%, 05/01/20
  610   614,636
TOTAL ALABAMA
      2,222,291
ALASKA — (0.3%)
Alaska State (GO) Series B        
5.000%, 08/01/20
  290   295,835
Borough of Fairbanks North Star (GO) Series S        
4.000%, 10/01/21
  560   588,599
City of Anchorage (GO) Series A        
3.000%, 09/01/22
  765   806,180
TOTAL ALASKA
      1,690,614
ARIZONA — (0.5%)
City of Chandler (GO)        
3.000%, 07/01/20
  550   554,829
City of Phoenix (GO)        
5.000%, 07/01/20
  880   894,881
 
4.000%, 07/01/21
  500   522,070
Maricopa County School District No. 3 Tempe Elementary (GO)        
3.000%, 07/01/21
  550   566,593
TOTAL ARIZONA
      2,538,373
ARKANSAS — (0.6%)
Arkansas State (GO)        
5.000%, 04/01/21
  400   419,136
 
5.000%, 06/15/21
  1,250   1,320,362
 
5.000%, 04/01/22
  1,110   1,208,091
TOTAL ARKANSAS
      2,947,589
CALIFORNIA — (1.9%)
California State (GO)        
3.500%, 08/01/27
  5,000   5,907,100
 
5.000%, 10/01/27
  2,000   2,588,940
California State (GO) Series B        
5.000%, 09/01/26
  1,195   1,506,835
TOTAL CALIFORNIA
      10,002,875
      Face
Amount 		  Value†
      (000)    
COLORADO — (2.2%)
Boulder Valley School District No. Re-2 Boulder (GO) (ST AID WITHHLDG) Series B        
4.000%, 12/01/24
  1,000   $1,146,700
Denver City & County School District No. 1 (GO) (ST AID WITHHLDG)        
5.000%, 12/01/25
  4,150   5,110,725
Denver City & County School District No. 1 (GO) (ST AID WITHHLDG) Series B        
5.000%, 12/01/24
  550   656,893
Pueblo City Schools (GO) (ST AID WITHHLDG)        
5.000%, 12/15/20
  550   569,696
Weld County School District No. RE-4 (GO) (ST AID WITHHLDG)        
4.000%, 12/01/22
  1,140   1,238,929
 
5.000%, 12/01/24
  2,280   2,719,538
TOTAL COLORADO
      11,442,481
CONNECTICUT — (0.5%)
City of Danbury (GO)        
3.000%, 07/16/20
  2,000   2,018,740
Connecticut State (GO) Series E        
4.000%, 09/15/20
  550   560,445
TOTAL CONNECTICUT
      2,579,185
DELAWARE — (0.4%)
Kent County (GO)        
4.000%, 09/01/24
  415   472,992
New Castle County (GO)        
5.000%, 10/01/23
  1,600   1,840,800
TOTAL DELAWARE
      2,313,792
DISTRICT OF COLUMBIA — (0.4%)
Washington Metropolitan Area Transit Authority (RB) Series B        
5.000%, 07/01/25
  720   875,750
 
5.000%, 07/01/27
  1,000   1,281,230
TOTAL DISTRICT OF COLUMBIA
      2,156,980
FLORIDA — (1.2%)
City of Port Saint Lucie (GO)        
5.000%, 07/01/20
  420   426,930
 
DFA Municipal Bond Portfolio
CONTINUED
      Face
Amount 		  Value†
      (000)    
FLORIDA — (Continued)
Flagler County (GO) (BAM)        
5.000%, 07/01/22
  465   $509,496
Florida State (GO) Series A        
5.000%, 06/01/24
  350   410,620
Florida State (GO) Series C        
5.000%, 06/01/23
  1,015   1,151,203
Florida State Board of Education (GO) Series E        
5.000%, 06/01/20
  1,390   1,408,709
Orange County Water Utility System Revenue (RB)        
5.000%, 10/01/21
  525   560,884
Orlando Utilities Commission (RB) Series C        
5.250%, 10/01/22
  1,000   1,114,800
Palm Beach County (RB)        
5.000%, 11/01/23
  810   933,015
TOTAL FLORIDA
      6,515,657
GEORGIA — (3.3%)
Columbia County School District (GO) (ST AID WITHHLDG)        
5.000%, 04/01/20
  1,305   1,313,535
Georgia State (GO) Series A        
5.000%, 07/01/26
  1,200   1,505,796
Georgia State (GO) Series E        
5.000%, 12/01/21
  3,000   3,225,510
 
5.000%, 12/01/26
  2,000   2,536,360
Georgia State (GO) Series F        
5.000%, 07/01/26
  1,450   1,819,503
Georgia State (GO) Series I        
5.000%, 07/01/20
  2,000   2,033,820
Georgia State Road & Tollway Authority (RB) (MUN GOVT GTD)        
5.000%, 10/01/23
  4,590   5,277,215
TOTAL GEORGIA
      17,711,739
HAWAII — (2.9%)
City & County of Honolulu (GO) Series B        
5.000%, 10/01/23
  150   172,283
 
5.000%, 10/01/25
  725   889,176
Hawaii County (GO) Series D        
5.000%, 09/01/20
  1,375   1,407,890
Hawaii State (GO) Series EE        
5.000%, 11/01/20
  1,300   1,339,884
Hawaii State (GO) Series EO        
5.000%, 08/01/22
  1,000   1,102,090
Hawaii State (GO) Series FB        
5.000%, 04/01/24
  2,975   3,476,109
Hawaii State (GO) Series FE        
5.000%, 10/01/23
  2,000   2,297,100
 
5.000%, 10/01/24
  1,005   1,193,719
      Face
Amount 		  Value†
      (000)    
HAWAII — (Continued)
 
5.000%, 10/01/25
  2,790   $3,425,255
TOTAL HAWAII
      15,303,506
INDIANA — (0.5%)
Indiana University (RB) Series A        
5.000%, 06/01/21
  2,755   2,905,285
IOWA — (0.3%)
City of Davenport (GO) Series C        
4.000%, 06/01/24
  1,410   1,590,706
KANSAS — (1.3%)
City of Merriam (GO)        
5.000%, 10/01/25
  800   981,656
City of Wichita (GO) Series 811        
5.000%, 06/01/22
  550   602,173
Johnson County (GO) Series B        
5.000%, 09/01/22
  650   718,192
Johnson County Unified School District No. 229 Blue Valley (GO) Series A        
5.000%, 10/01/26
  225   283,820
Johnson County Unified School District No. 229 Blue Valley (GO) Series B        
5.000%, 10/01/23
  750   861,997
Kansas State Department of Transportation (RB) Series A        
5.000%, 09/01/26
  1,000   1,253,690
Saline County Unified School District No. 305 Salina (GO)        
5.000%, 09/01/20
  1,900   1,945,239
TOTAL KANSAS
      6,646,767
KENTUCKY — (2.1%)
Louisville & Jefferson County (RB)        
¤
5.000%, 12/01/35 (Pre-refunded @ $100, 12/1/35)
  2,200   2,404,908
Louisville & Jefferson County (GO) Series B        
5.000%, 11/01/21
  1,700   1,819,850
Louisville & Jefferson County Metropolitan Sewer District (RB) Series C        
5.000%, 05/15/23
  1,850   2,091,776
Louisville Water Co (RB)        
5.000%, 11/15/29
  3,000   4,032,390
 
DFA Municipal Bond Portfolio
CONTINUED
      Face
Amount 		  Value†
      (000)    
KENTUCKY — (Continued)
Louisville Water Co. (RB) Series A        
4.000%, 11/15/21
  800   $844,432
TOTAL KENTUCKY
      11,193,356
LOUISIANA — (0.3%)
Louisiana State (GO) Series C        
5.000%, 08/01/21
  1,000   1,060,770
 
5.000%, 08/01/23
  500   569,660
TOTAL LOUISIANA
      1,630,430
MAINE — (0.2%)
Maine State (GO) Series B        
5.000%, 06/01/23
  1,000   1,134,540
MARYLAND — (6.9%)
Anne County Arundel (GO)        
5.000%, 10/01/20
  500   513,655
Baltimore County (GO)        
5.000%, 08/01/20
  750   765,315
 
5.000%, 08/01/22
  600   661,566
 
5.000%, 03/01/28
  1,335   1,742,242
Carroll County (GO)        
5.000%, 11/01/21
  550   589,567
City of Baltimore (GO) Series B        
5.000%, 10/15/27
  2,025   2,602,834
Harford County (GO) Series A        
5.000%, 09/15/20
  570   584,518
Howard County (GO) Series D        
5.000%, 02/15/24
  1,300   1,513,499
Maryland State (GO)        
5.000%, 06/01/22
  1,175   1,287,600
 
5.000%, 06/01/23
  3,000   3,407,850
Maryland State (GO) Series A        
5.000%, 08/01/27
  3,500   4,507,440
Maryland State (GO) Series B        
5.000%, 08/01/20
  1,000   1,020,520
 
4.000%, 08/01/23
  850   942,072
 
5.000%, 08/01/24
  1,000   1,182,660
 
5.000%, 08/01/27
  500   643,920
Maryland State (GO) Series C        
5.000%, 08/01/20
  700   714,364
 
5.000%, 08/01/22
  1,000   1,102,610
Montgomery County (GO) Series A        
5.000%, 11/01/24
  2,000   2,385,220
Montgomery County (GO) Series B        
5.000%, 12/01/21
  350   376,376
Montgomery County (GO) Series D        
3.000%, 11/01/23
  3,000   3,235,170
Prince County George's (GO) Series A        
5.000%, 07/15/29
  3,500   4,708,585
      Face
Amount 		  Value†
      (000)    
MARYLAND — (Continued)
Washington Suburban Sanitary Commission (RB) (CNTY GTD)        
5.000%, 06/01/24
  655   $770,280
Worcester County (GO) Series B        
4.000%, 08/01/21
  1,000   1,046,900
TOTAL MARYLAND
      36,304,763
MASSACHUSETTS — (2.3%)
City of Lowell (GO) (ST AID WITHHLDG)        
4.000%, 09/01/23
  250   277,713
City of Springfield (GO) (ST AID WITHHLDG) Series C        
4.000%, 08/01/23
  285   315,561
Commonwealth of Massachusetts (GO) Series A        
5.000%, 07/01/26
  1,250   1,566,762
Commonwealth of Massachusetts (GO) Series B        
5.000%, 01/01/22
  1,000   1,078,380
 
5.000%, 08/01/22
  1,165   1,284,238
Commonwealth of Massachusetts (GO) Series C        
5.000%, 08/01/20
  100   102,032
 
5.000%, 10/01/21
  1,750   1,869,315
 
5.000%, 04/01/22
  1,275   1,388,245
Commonwealth of Massachusetts (GO) (AGM) Series B        
5.250%, 09/01/24
  400   478,472
Massachusetts Development Finance Agency (RB) Series I        
¤
6.750%, 01/01/36 (Pre-refunded @ $100, 1/1/21)
  2,865   3,017,590
Town of Holbrook (GO)        
5.000%, 12/01/21
  755   812,327
TOTAL MASSACHUSETTS
      12,190,635
MICHIGAN — (1.0%)
Michigan State (GO) Series A        
5.000%, 12/01/24
  1,275   1,524,798
Michigan State Trunk Line Revenue (RB) (AGM)        
5.500%, 11/01/21
  3,275   3,540,046
TOTAL MICHIGAN
      5,064,844
 
DFA Municipal Bond Portfolio
CONTINUED
      Face
Amount 		  Value†
      (000)    
MINNESOTA — (3.3%)
Bloomington Independent School District No. 271 (GO) (SD CRED PROG) Series A        
5.000%, 02/01/21
  1,100   $1,145,210
City of Rochester (GO) Series A        
5.000%, 02/01/20
  150   150,000
City of Saint Paul (GO) Series A        
5.000%, 09/01/21
  400   426,044
City of Saint Paul (GO) Series B        
5.000%, 11/01/20
  100   103,076
Elk River Independent School District No. 728 (GO) (SD CRED PROG) Series A        
5.000%, 02/01/21
  520   541,372
Elk River Independent School District No. 728 (GO) (SD CRED PROG) Series C        
5.000%, 02/01/21
  3,000   3,123,300
Hennepin County (GO) Series B        
5.000%, 12/01/21
  350   375,981
Metropolitan Council (GO)        
5.000%, 03/01/24
  1,295   1,509,413
Minnesota State (GO) Series A        
5.000%, 10/01/27
  2,000   2,587,220
Minnesota State (GO) Series D        
5.000%, 08/01/21
  2,000   2,123,080
Minnesota State (GO) Series E        
5.000%, 08/01/22
  760   837,786
 
4.000%, 10/01/22
  3,000   3,249,390
Saint Paul Independent School District No. 625 (GO) (SD CRED PROG) Series B        
5.000%, 02/01/21
  1,425   1,483,567
TOTAL MINNESOTA
      17,655,439
MISSISSIPPI — (0.2%)
Mississippi State (GO) Series C        
5.000%, 10/01/20
  950   975,878
MISSOURI — (1.8%)
Cass County Reorganized School District No. R-2 (GO) (ST AID DIR DEP)        
5.000%, 03/01/21
  1,110   1,158,452
      Face
Amount 		  Value†
      (000)    
MISSOURI — (Continued)
Columbia School District (GO) Series B        
5.000%, 03/01/25
  1,725   $2,073,312
Saint Louis County Reorganized School District No R-6 (GO)        
5.000%, 02/01/26
  5,000   6,182,300
TOTAL MISSOURI
      9,414,064
MONTANA — (0.1%)
City & County of Butte-Silver Bow (GO)        
4.000%, 07/01/21
  500   521,710
NEBRASKA — (1.2%)
Lancaster County School District 001 (GO)        
5.000%, 01/15/21
  700   727,076
Metropolitan Utilities District of Omaha (RB)        
5.000%, 12/01/20
  300   310,134
Omaha School District (GO)        
5.000%, 12/15/25
  4,000   4,939,600
Southern Public Power District (RB)        
5.000%, 12/15/21
  400   430,320
TOTAL NEBRASKA
      6,407,130
NEVADA — (1.1%)
Clark County School District (GO) Series A        
5.000%, 06/15/21
  1,250   1,318,600
Nevada State (GO) Series C        
5.000%, 11/01/24
  450   535,288
Nevada State (GO) Series D1        
5.000%, 03/01/22
  250   271,088
Washoe County School District (GO) Series D        
5.000%, 06/01/21
  3,335   3,515,123
TOTAL NEVADA
      5,640,099
NEW HAMPSHIRE — (0.3%)
City of Dover (GO)        
3.000%, 06/15/20
  610   614,819
City of Nashua (GO)        
4.000%, 07/15/24
  770   874,658
TOTAL NEW HAMPSHIRE
      1,489,477
NEW JERSEY — (2.6%)
City of Hoboken (GO)        
3.000%, 02/01/23
  2,000   2,114,360
 
3.000%, 02/01/25
  910   992,956
Middlesex County (GO)        
4.000%, 01/15/21
  1,210   1,246,348
 
DFA Municipal Bond Portfolio
CONTINUED
      Face
Amount 		  Value†
      (000)    
NEW JERSEY — (Continued)
Montville Township (GO)        
3.000%, 10/01/25
  500   $556,405
Princeton (GO)        
3.000%, 09/15/24
  1,515   1,656,516
Township of North Brunswick (GO) Series A        
3.000%, 07/21/20
  5,000   5,044,300
Township of Parsippany-Troy Hills (GO) Series ABCD        
2.000%, 09/15/21
  2,000   2,038,080
TOTAL NEW JERSEY
      13,648,965
NEW MEXICO — (1.3%)
New Mexico State (GO)        
5.000%, 03/01/21
  1,000   1,043,980
New Mexico State Severance Tax Permanent Fund (RB) Series A        
5.000%, 07/01/27
  4,000   5,105,280
Santa Fe County (GO)        
5.000%, 07/01/22
  710   780,269
TOTAL NEW MEXICO
      6,929,529
NEW YORK — (6.0%)
City of New York (GO) Series A        
5.000%, 08/01/24
  1,000   1,181,200
 
5.000%, 08/01/24
  2,100   2,480,520
 
5.000%, 08/01/25
  1,500   1,829,250
City of New York (GO) Series C        
5.000%, 08/01/22
  500   551,045
City of New York (GO) Series E        
5.000%, 08/01/21
  265   281,348
 
5.000%, 08/01/22
  1,000   1,102,090
City of New York (GO) Series F        
5.000%, 08/01/21
  450   477,760
City of New York (GO) Series F-1        
5.000%, 06/01/21
  2,110   2,225,670
City of New York (GO) Series H        
5.000%, 08/01/22
  2,010   2,215,201
Kingston City School District (GO) (ST AID WITHHLDG)        
3.000%, 06/01/26
  1,530   1,702,018
Metropolitan Transportation Authority (RB)        
5.000%, 11/15/25
  1,275   1,556,762
Middle Country Central School District (GO) (ST AID WITHHLDG)        
2.000%, 08/15/21
  400   407,408
      Face
Amount 		  Value†
      (000)    
NEW YORK — (Continued)
Middletown City School District (GO) (ST AID WITHHLDG)        
2.000%, 06/15/20
  760   $763,276
New York State Dormitory Authority (RB) Series A        
5.000%, 03/15/21
  1,000   1,045,670
 
5.000%, 02/15/22
  2,000   2,165,580
 
5.000%, 03/15/23
  600   676,278
 
5.000%, 02/15/25
  500   601,775
New York State Dormitory Authority (RB) Series B        
5.000%, 02/15/22
  800   866,232
 
5.000%, 02/15/24
  300   349,269
New York State Dormitory Authority (RB) Series E        
5.000%, 02/15/21
  100   104,228
New York State Urban Development Corp. (RB) Series A        
5.000%, 03/15/20
  810   813,791
 
5.000%, 03/15/25
  500   603,385
North Shore Central School District (GO) (ST AID WITHHLDG)        
2.000%, 12/15/23
  315   329,030
Riverhead Central School District (GO) (ST AID WITHHLDG)        
2.000%, 10/15/22
  540   556,205
Triborough Bridge & Tunnel Authority (RB) Series B        
5.000%, 11/15/20
  4,700   4,852,844
Triborough Bridge & Tunnel Authority (RB) Series C1        
4.000%, 11/15/27
  1,500   1,835,085
TOTAL NEW YORK
      31,572,920
NORTH CAROLINA — (4.6%)
City of Charlotte (GO) Series A        
5.000%, 06/01/29
  2,000   2,686,220
New Hanover County (GO)        
5.000%, 02/01/23
  1,550   1,740,417
North Carolina Eastern Municipal Power Agency (RB) (NATL-IBC) (ETM) Series B        
6.000%, 01/01/22
  1,725   1,891,066
North Carolina State (GO)        
5.000%, 06/01/25
  2,000   2,432,080
North Carolina State (GO) Series A        
5.000%, 06/01/24
  2,200   2,588,212
 
5.000%, 06/01/25
  655   796,506
 
DFA Municipal Bond Portfolio
CONTINUED
      Face
Amount 		  Value†
      (000)    
NORTH CAROLINA — (Continued)
North Carolina State (GO) Series B        
5.000%, 06/01/25
  3,455   $4,201,418
North Carolina State (GO) Series C        
4.000%, 05/01/22
  1,530   1,637,513
 
5.000%, 05/01/22
  1,950   2,130,258
North Carolina State (GO) Series D        
4.000%, 06/01/23
  350   386,253
Wake County (GO)        
5.000%, 09/01/21
  1,300   1,384,643
Wake County (GO) Series B        
5.000%, 03/01/21
  2,390   2,496,427
TOTAL NORTH CAROLINA
      24,371,013
NORTH DAKOTA — (0.4%)
City of West Fargo (GO) Series A        
5.000%, 05/01/24
  1,150   1,327,756
North Dakota State University of Agriculture & Applied Science (RB) Series A        
5.000%, 04/01/21
  500   523,385
TOTAL NORTH DAKOTA
      1,851,141
OHIO — (5.2%)
City of Columbus (GO)        
5.000%, 04/01/29
  2,000   2,664,900
City of Columbus (GO) Series 3        
5.000%, 02/15/27
  1,250   1,588,362
City of Columbus (GO) Series A        
4.000%, 04/01/22
  2,000   2,134,940
 
3.000%, 07/01/22
  835   877,911
 
5.000%, 02/15/23
  4,000   4,493,840
City of Columbus (GO) Series B        
5.000%, 02/15/23
  475   533,643
City of Columbus (GO)        
4.000%, 04/01/24
  1,500   1,690,215
Hamilton County Sewer System Revenue (RB) Series A        
5.000%, 12/01/21
  500   537,585
Ohio State (GO) Series        
5.000%, 02/01/24
  2,820   3,272,723
Ohio State (GO) Series A        
5.000%, 09/15/21
  800   853,096
 
5.000%, 08/01/22
  1,000   1,101,830
 
5.000%, 09/15/22
  2,250   2,490,165
Ohio State (GO) Series B        
5.000%, 08/01/21
  1,000   1,061,380
 
5.000%, 06/15/22
  450   493,502
      Face
Amount 		  Value†
      (000)    
OHIO — (Continued)
 
5.000%, 09/01/24
  2,000   $2,367,000
Ohio State Water Development Authority (RB) Series A        
5.000%, 06/01/21
  1,550   1,634,134
TOTAL OHIO
      27,795,226
OKLAHOMA — (1.0%)
City of Oklahoma City (GO)        
4.000%, 03/01/23
  1,680   1,840,608
 
4.000%, 03/01/25
  1,255   1,449,701
Tulsa County Independent School District No. 1 Tulsa (GO) Series B        
2.000%, 08/01/20
  2,000   2,010,660
TOTAL OKLAHOMA
      5,300,969
OREGON — (2.0%)
City of McMinnville (GO)        
5.000%, 02/01/22
  290   313,615
City of Portland Water System Revenue (RB) Series A        
5.000%, 04/01/21
  1,250   1,309,800
Lane County School District No. 4J Eugene (GO) (SCH BD GTY)        
3.000%, 06/15/25
  940   1,041,417
 
5.000%, 06/15/28
  2,500   3,264,050
Oregon State (GO) Series E        
5.000%, 08/01/21
  410   435,231
Oregon State (GO) Series F        
3.000%, 05/01/20
  750   753,892
Washington County (GO)        
5.000%, 03/01/24
  3,000   3,498,000
TOTAL OREGON
      10,616,005
PENNSYLVANIA — (0.4%)
Berks County (GO)        
5.000%, 11/15/22
  445   495,477
Commonwealth of Pennsylvania (GO) Series REF        
5.000%, 07/01/21
  550   582,043
 
5.000%, 07/01/22
  1,025   1,125,665
TOTAL PENNSYLVANIA
      2,203,185
RHODE ISLAND — (0.2%)
Rhode Island State (GO) Series A        
5.000%, 08/01/21
  1,000   1,061,080
 
DFA Municipal Bond Portfolio
CONTINUED
      Face
Amount 		  Value†
      (000)    
SOUTH CAROLINA — (3.4%)
Aiken County Consolidated School District (GO) (SCSDE) Series A        
5.000%, 03/01/20
  770   $772,372
Anderson County School District No. 4 (GO) (SCSDE) Series A        
5.000%, 03/01/21
  500   522,045
City of North Charleston (GO) (ST AID WITHHLDG)        
5.000%, 06/01/21
  500   526,320
Clemson University (RB) Series B        
5.000%, 05/01/25
  750   906,607
Florence School District One (GO) (SCSDE)        
5.000%, 03/01/22
  2,000   2,168,700
Richland County (GO) (ST AID WITHHLDG) Series A        
5.000%, 03/01/22
  1,085   1,177,464
Richland County (GO) (ST AID WITHHLDG) Series B        
5.000%, 03/01/25
  535   645,092
Richland County School District No. 2 (GO) (SCSDE)        
5.000%, 03/01/20
  500   501,540
 
5.000%, 03/01/21
  1,235   1,289,451
 
5.000%, 03/01/28
  3,000   3,896,280
Richland County School District No. 2 (GO) (SCSDE) Series A        
5.000%, 02/01/20
  600   600,000
York County (GO) (ST AID WITHHLDG)        
5.000%, 04/01/24
  4,195   4,907,227
TOTAL SOUTH CAROLINA
      17,913,098
TENNESSEE — (4.1%)
Blount County (GO) Series B        
5.000%, 06/01/22
  2,635   2,884,297
City of Clarksville Water Sewer & Gas Revenue (RB)        
5.000%, 02/01/20
  565   565,000
City of Knoxville Wastewater System Revenue (RB) Series B        
4.000%, 04/01/22
  310   330,643
City of Memphis (GO) Series A        
5.000%, 04/01/25
  1,250   1,504,950
Hamilton County (GO) Series B        
5.000%, 03/01/22
  1,735   1,883,221
      Face
Amount 		  Value†
      (000)    
TENNESSEE — (Continued)
Metropolitan Government of Nashville & Davidson County (GO)        
5.000%, 07/01/22
  650   $713,837
Metropolitan Government of Nashville & Davidson County (GO) Series A        
5.000%, 01/01/22
  615   663,327
¤
5.000%, 07/01/25 (Pre-refunded @ $100, 7/1/20)
  3,000   3,050,250
 
5.000%, 07/01/25
  2,325   2,826,572
Sullivan County (GO) Series A        
5.000%, 04/01/21
  450   471,420
Sumner County (GO)        
5.000%, 12/01/21
  230   247,289
 
5.000%, 12/01/22
  640   713,165
Town of Collierville (GO) Series A        
5.000%, 01/01/21
  1,095   1,136,128
Williamson County (GO)        
5.000%, 04/01/29
  3,620   4,834,582
TOTAL TENNESSEE
      21,824,681
TEXAS — (12.7%)
Austin Independent School District (GO) Series B        
5.000%, 08/01/20
  2,410   2,459,092
Bexar County (GO)        
5.000%, 06/15/20
  500   507,535
 
5.000%, 06/15/21
  1,275   1,346,770
City of Austin (GO)        
5.000%, 09/01/27
  2,255   2,890,707
City of Dallas (GO) Series A        
5.000%, 02/15/21
  500   520,875
City of Fort Worth Water & Sewer System Revenue (RB)        
5.000%, 02/15/21
  1,745   1,819,320
City of Fort Worth Water & Sewer System Revenue (RB) Series A        
5.000%, 02/15/25
  1,930   2,314,340
City of Garland (GO) Series A        
5.000%, 02/15/24
  200   231,810
City of Houston (GO) Series A        
5.000%, 03/01/20
  1,000   1,003,070
 
5.000%, 03/01/21
  3,000   3,131,940
City of San Antonio Electric & Gas Systems Revenue (RB) (ETM)        
5.000%, 02/01/21
  700   728,413
 
DFA Municipal Bond Portfolio
CONTINUED
      Face
Amount 		  Value†
      (000)    
TEXAS — (Continued)
City of San Antonio Electric & Gas Systems Revenue (RB)        
5.000%, 02/01/22
  3,360   $3,633,403
Conroe Independent School District (GO) (PSF-GTD)        
5.000%, 02/15/26
  2,000   2,468,780
Cypress-Fairbanks Independent School District (GO) (PSF-GTD)        
5.000%, 02/15/21
  790   823,646
Dallas Independent School District (GO) (PSF-GTD) Series A        
5.000%, 08/15/24
  3,250   3,840,720
El Paso Independent School District (GO) (PSF-GTD)        
5.000%, 08/15/24
  500   590,395
Fort Bend Independent School District (GO) (PSF-GTD) Series C        
5.000%, 02/15/24
  1,275   1,481,639
Fort Worth Independent School District (GO) (PSF-GTD)        
5.000%, 02/15/26
  445   549,597
Highland Park Independent School District (GO) (PSF-GTD)        
5.000%, 02/15/20
  1,500   1,501,890
Highland Park Independent School District (GO)        
5.000%, 02/15/23
  2,000   2,243,080
Houston Independent School District (GO) (PSF-GTD)        
5.000%, 02/15/24
  2,000   2,323,280
Houston Independent School District (GO) (PSF-GTD) Series A        
5.000%, 02/15/26
  750   928,268
Humble Independent School District (GO) (PSF-GTD) Series B        
5.000%, 02/15/20
  1,000   1,001,260
Katy Independent School District (GO) (PSF-GTD) Series A        
5.000%, 02/15/20
  750   750,945
 
5.000%, 02/15/21
  400   417,036
McAllen Independent School District (GO) (PSF-GTD) Series A        
5.000%, 02/15/22
  2,725   2,951,611
      Face
Amount 		  Value†
      (000)    
TEXAS — (Continued)
Northwest Independent School District (GO) (PSF-GTD) Series A        
5.000%, 02/15/24
  1,000   $1,160,350
Permanent University Fund - University of Texas System (RB) Series B        
5.000%, 07/01/20
  2,875   2,923,616
San Antonio Independent School District (GO) (PSF-GTD)        
5.000%, 02/15/20
  400   400,504
Texas State (GO)        
5.000%, 10/01/22
  1,140   1,264,351
 
5.000%, 10/01/23
  375   430,706
Texas State (GO) Series A        
5.000%, 10/01/21
  1,300   1,388,855
 
5.000%, 04/01/25
  2,185   2,636,792
 
5.000%, 10/01/25
  2,465   3,021,671
University of Texas System (The) (RB)        
5.000%, 08/15/21
  615   653,825
 
5.000%, 08/15/25
  3,000   3,664,740
University of Texas System (The) (RB) Series C        
5.000%, 08/15/24
  1,000   1,183,230
Williamson County (GO)        
5.000%, 02/15/21
  5,640   5,880,208
TOTAL TEXAS
      67,068,270
UTAH — (2.0%)
Alpine School District (GO) (SCH BD GTY)        
5.000%, 03/15/21
  550   575,372
Central Utah Water Conservancy District (RB) Series A        
5.000%, 10/01/20
  450   462,321
Davis School District (GO) (SCH BD GTY) Series B        
5.000%, 06/01/23
  2,445   2,777,398
Salt Lake County (GO) Series B        
5.000%, 12/15/24
  1,600   1,915,952
Snyderville Basin Special Recreation District (GO) Series B        
4.000%, 12/15/20
  540   554,747
State of Utah (GO)        
5.000%, 07/01/22
  1,045   1,148,946
Utah State (GO)        
5.000%, 07/01/22
  800   879,576
 
5.000%, 07/01/24
  2,000   2,360,560
TOTAL UTAH
      10,674,872
 
DFA Municipal Bond Portfolio
CONTINUED
      Face
Amount 		  Value†
      (000)    
VERMONT — (0.2%)
Vermont State (GO) Series B        
5.000%, 08/15/23
  1,000   $1,143,840
VIRGINIA — (5.0%)
Arlington County (GO)        
5.000%, 06/15/22
  3,000   3,292,980
City of Alexandria (GO) (ST AID WITHHLDG) Series D        
5.000%, 07/01/26
  2,235   2,807,719
City of Hampton (GO) (ST AID WITHHLDG) Series B        
5.000%, 09/01/21
  840   894,827
 
5.000%, 09/01/22
  475   524,832
City of Richmond (GO) (ST AID WITHHLDG) Series A        
5.000%, 03/01/20
  1,635   1,640,118
City of Richmond (GO) (ST AID WITHHLDG) Series B        
5.000%, 07/15/22
  1,065   1,172,086
City of Suffolk (GO) (ST AID WITHHLDG)        
5.000%, 02/01/23
  1,575   1,768,000
Commonwealth of Virginia (GO) Series A        
5.000%, 06/01/25
  1,430   1,739,781
Henrico County (GO) (ST AID WITHHLDG)        
5.000%, 08/01/27
  3,000   3,868,530
Loudoun County (GO) (ST AID WITHHLDG) Series A        
5.000%, 12/01/22
  4,620   5,157,814
 
5.000%, 12/01/22
  1,225   1,367,602
Loudoun County (GO) (ST AID WITHHLDG) Series B        
5.000%, 12/01/20
  550   568,903
Pittsylvania County (GO) (ST AID WITHHLDG)        
5.000%, 02/01/21
  1,830   1,904,463
TOTAL VIRGINIA
      26,707,655
WASHINGTON — (7.0%)
City of Marysville Water & Sewer Revenue (RB)        
5.000%, 04/01/20
  755   759,960
City of Seattle (GO) Series A        
5.000%, 05/01/26
  3,165   3,949,888
City of Seattle Drainage & Wastewater Revenue (RB)        
5.000%, 09/01/20
  1,500   1,535,535
 
5.000%, 04/01/21
  445   466,182
City of Seattle Municipal Light & Power Revenue (RB)        
5.000%, 09/01/20
  650   665,477
County of Kitsap WA (GO)        
5.000%, 06/01/21
  1,455   1,534,763
      Face
Amount 		  Value†
      (000)    
WASHINGTON — (Continued)
King County (GO) Series A        
5.000%, 07/01/20
  265   $269,492
King County (GO) Series E        
5.000%, 12/01/25
  1,275   1,569,347
King County School District No. 405 Bellevue (GO) (SCH BD GTY) Series A        
5.000%, 12/01/20
  1,350   1,396,062
King County School District No. 411 Issaquah (GO) (SCH BD GTY)        
5.000%, 12/01/23
  1,440   1,661,702
King County School District No. 414 Lake Washington (GO) (SCH BD GTY)        
5.000%, 12/01/22
  2,000   2,231,020
King County Sewer Revenue (RB)        
5.000%, 01/01/21
  585   607,025
King County Sewer Revenue (RB) Series B        
5.000%, 07/01/22
  1,165   1,279,706
 
5.000%, 07/01/25
  1,305   1,585,758
Snohomish County School District No. 6 Mukilteo (GO) (SCH BD GTY)        
5.000%, 12/01/25
  2,000   2,463,000
Spokane County (GO)        
5.000%, 12/01/20
  450   465,390
Tacoma Metropolitan Park District (GO) Series B        
5.000%, 12/01/21
  350   376,376
Washington State (GO) Series 2013A        
5.000%, 08/01/21
  200   212,400
Washington State (GO) Series 2017-A        
5.000%, 08/01/26
  1,675   2,102,778
Washington State (GO) Series A-1        
5.000%, 08/01/21
  800   849,600
Washington State (GO) Series B        
5.000%, 07/01/20
  325   330,538
 
5.000%, 07/01/24
  800   942,320
 
5.000%, 07/01/25
  475   578,593
Washington State (GO) Series C        
5.000%, 02/01/20
  1,320   1,320,000
 
5.000%, 02/01/23
  500   560,795
Washington State (GO) Series R-2012C        
4.000%, 07/01/21
  100   104,457
Washington State (GO) Series R-2013A        
5.000%, 07/01/21
  1,520   1,608,996
 
DFA Municipal Bond Portfolio
CONTINUED
      Face
Amount 		  Value†
      (000)    
WASHINGTON — (Continued)
Washington State (GO) Series R-2017A        
5.000%, 08/01/22
  1,000   $1,102,350
Washington State (GO) Series R-2018C        
5.000%, 08/01/25
  2,500   3,053,250
Washington State (GO) Series R-2018D        
5.000%, 08/01/25
  1,365   1,667,074
TOTAL WASHINGTON
      37,249,834
WEST VIRGINIA — (0.4%)
Jefferson County Board of Education (GO) (WV BD COMM)        
4.000%, 05/01/20
  250   251,900
West Virginia State (GO)        
4.000%, 11/01/20
  1,975   2,020,287
TOTAL WEST VIRGINIA
      2,272,187
WISCONSIN — (3.6%)
City of Janesville (GO)        
3.000%, 03/01/24
  2,000   2,157,920
City of Madison Water Utility Revenue (RB)        
5.000%, 01/01/21
  1,000   1,037,280
City of Milwaukee (GO) Series N3        
5.000%, 05/15/20
  1,000   1,011,530
Germantown School District (GO) Series A        
5.000%, 04/01/27
  1,000   1,276,180
Milwaukee County (GO) Series E        
2.000%, 12/01/20
  1,060   1,069,296
      Face
Amount 		  Value†
      (000)    
WISCONSIN — (Continued)
Milwaukee County Metropolitan Sewer District (GO) Series A        
5.000%, 10/01/25
  2,635   $3,230,062
Oak Creek Franklin Joint School District (GO) Series B        
3.000%, 04/01/20
  630   632,092
Wisconsin State (GO)        
5.000%, 05/01/27
  3,000   3,831,270
 
5.000%, 11/01/22
  1,400   1,557,836
Wisconsin State (GO) Series 2        
5.000%, 11/01/20
  600   618,498
Wisconsin State (GO) Series 3        
5.000%, 11/01/22
  1,875   2,086,387
Wisconsin State (GO) Series B        
5.000%, 05/01/21
  400   420,608
TOTAL WISCONSIN
      18,928,959
TOTAL MUNICIPAL BONDS

Cost ($512,549,107)
      527,323,634
    
      Shares  
TEMPORARY CASH INVESTMENTS — (0.4%)
 
BlackRock Liquidity Funds MuniCash Portfolio
  2,292,988 2,292,988
TOTAL INVESTMENTS — (100.0%)  
(Cost $514,842,554)^^
    $529,616,622
 
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Municipal Bonds
—   $527,323,634   —   $527,323,634
Temporary Cash Investments
—   2,292,988   —   2,292,988
TOTAL
—   $529,616,622   —   $529,616,622
World Core Equity Portfolio
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
    Shares   Value†
AFFILIATED INVESTMENT COMPANIES — (100.0%)
Investment in U.S. Core Equity 1 Portfolio of

DFA Investment Dimensions Group Inc.
19,637,076   $501,727,301
Investment in International Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
22,594,325   300,730,459
Investment in Emerging Markets Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
4,977,812   101,796,253
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES

(Cost $765,400,900)^^
    $904,254,013
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Affiliated Investment Companies
$904,254,013   —   —   $904,254,013
TOTAL
$904,254,013   —   —   $904,254,013
DFA LTIP Portfolio
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
    
      Face
Amount± 		  Value†
      (000)    
U.S. TREASURY OBLIGATIONS — (100.0%)
Treasury Inflation Protected Security        
 
1.000%, 02/15/46
  18,255   $23,445,653
 
0.875%, 02/15/47
  56,215   69,354,161
 
1.000%, 02/15/48
  55,685   69,544,431
 
1.000%, 02/15/49
  56,250   69,381,996
TOTAL INVESTMENTS — (100.0%)    
(Cost $194,828,515)^^
      $231,726,241
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
U.S. Treasury Obligations
—   $231,726,241   —   $231,726,241
TOTAL
—   $231,726,241   —   $231,726,241
U.S. Social Core Equity 2 Portfolio
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
    
      Shares   Value†
COMMON STOCKS — (97.2%)
COMMUNICATION SERVICES — (7.9%)
 
A.H. Belo Corp., Class A
  1,763   $5,148
 
Activision Blizzard, Inc.
  22,762   1,331,122
*
Alaska Communications Systems Group, Inc.
  2,160   4,406
*
Alphabet, Inc., Class A
  4,983   7,139,543
*
Alphabet, Inc., Class C
  5,216   7,480,944
*
Altice USA, Inc., Class A
  23,147   633,302
#
AMC Entertainment Holdings, Inc., Class A
  8,224   53,620
#*
AMC Networks, Inc., Class A
  5,887   215,405
#*
ANGI Homeservices, Inc., Class A
  3,777   30,329
#
Anterix, Inc.
  1,929   89,621
 
AT&T, Inc.
  342,304   12,877,477
 
ATN International, Inc.
  2,682   155,207
*
Ballantyne Strong, Inc.
  900   3,110
*
Boingo Wireless, Inc.
  6,938   77,983
 
Cable One, Inc.
  630   1,073,539
*
Care.com, Inc.
  2,861   42,829
*
Cargurus, Inc.
  1,568   55,899
#*
Cars.com, Inc.
  10,644   124,215
*
Central European Media Enterprises, Ltd., Class A
  1,891   8,453
 
CenturyLink, Inc.
  107,611   1,469,966
*
Charter Communications, Inc., Class A
  7,207   3,729,334
#*
Cincinnati Bell, Inc.
  8,716   119,496
#
Cinemark Holdings, Inc.
  16,489   519,568
*
Clear Channel Outdoor Holdings, Inc.
  5,653   15,433
 
Cogent Communications Holdings, Inc.
  4,641   329,186
 
Comcast Corp., Class A
  228,530   9,870,211
*
comScore, Inc.
  8,429   33,295
 
Consolidated Communications Holdings, Inc.
  14,555   70,301
*
Cumulus Media, Inc., Class A
  633   8,862
*
DHI Group, Inc.
  3,750   10,500
#*
Discovery, Inc., Class A
  10,265   300,354
*
Discovery, Inc., Class C
  24,228   672,812
*
DISH Network Corp., Class A
  18,851   692,963
*
Electronic Arts, Inc.
  6,085   656,693
 
Emerald Expositions Events, Inc.
  8,308   86,652
#
Entercom Communications Corp., Class A
  22,559   89,559
 
Entravision Communications Corp., Class A
  9,735   21,612
 
EW Scripps Co. (The), Class A
  9,868   119,798
*
Facebook, Inc., Class A
  63,263   12,773,432
#*
Fluent, Inc.
  6,199   16,799
 
Fox Corp., Class A
  19,936   739,227
*
Fox Corp., Class B
  12,687   460,919
#*
Frontier Communications Corp.
  3,122   1,722
#*
Gaia, Inc.
  1,300   10,998
#
Gannett Co., Inc.
  19,704   120,391
*
GCI Liberty, Inc., Class A
  10,919   799,052
*
Glu Mobile, Inc.
  5,578   32,910
*
Gray Television, Inc.
  14,857   301,300
*
Hemisphere Media Group, Inc.
  1,613   21,679
*
IAC/InterActiveCorp
  1,437   350,039
*
IMAX Corp.
  8,607   142,360
#*
Intelsat SA
  14,547   49,605
 
Interpublic Group of Cos., Inc. (The)
  45,927   1,042,543
*
Iridium Communications, Inc.
  14,903   380,772
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
COMMUNICATION SERVICES — (Continued)
 
John Wiley & Sons, Inc., Class A
  7,363   $321,174
 
John Wiley & Sons, Inc., Class B
  312   13,531
*
Lee Enterprises, Inc.
  1,100   2,321
*
Liberty Broadband Corp., Class A
  1,324   174,225
*
Liberty Broadband Corp., Class C
  7,034   935,030
*
Liberty Latin America, Ltd., Class A
  9,637   160,745
*
Liberty Latin America, Ltd., Class C
  20,101   338,702
*
Liberty Media Corp.-Liberty Braves, Class A
  363   10,618
*
Liberty Media Corp.-Liberty Braves, Class C
  4,147   120,885
*
Liberty Media Corp.-Liberty Formula One, Class A
  1,510   67,271
*
Liberty Media Corp.-Liberty Formula One, Class C
  10,538   493,073
*
Liberty Media Corp.-Liberty SiriusXM, Class A
  5,683   276,023
*
Liberty Media Corp.-Liberty SiriusXM, Class C
  11,335   555,642
*
Liberty TripAdvisor Holdings, Inc., Class A
  9,889   58,246
#*
Lions Gate Entertainment Corp., Class A
  10,479   104,056
*
Lions Gate Entertainment Corp., Class B
  16,116   150,362
#*
Live Nation Entertainment, Inc.
  7,217   491,911
*
Loral Space & Communications, Inc.
  2,740   88,146
*
Madison Square Garden Co. (The), Class A
  1,674   495,822
*
Marchex, Inc., Class B
  3,498   11,928
 
Marcus Corp. (The)
  3,336   97,244
#*
Match Group, Inc.
  4,722   369,355
*
Meet Group, Inc. (The)
  11,744   62,596
#
Meredith Corp.
  6,490   195,025
#*
MSG Networks, Inc., Class A
  5,969   90,789
 
National CineMedia, Inc.
  12,798   94,449
*
Netflix, Inc.
  3,142   1,084,273
 
New York Times Co. (The), Class A
  10,741   343,819
 
News Corp., Class A
  39,483   537,758
 
News Corp., Class B
  21,216   296,388
#
Nexstar Media Group, Inc., Class A
  6,119   741,317
#
Omnicom Group, Inc.
  17,720   1,334,493
*
ORBCOMM, Inc.
  6,642   23,845
#*
QuinStreet, Inc.
  6,390   82,782
*
Reading International, Inc., Class A
  2,550   26,010
#*
Roku, Inc.
  399   48,259
 
Saga Communications, Inc., Class A
  347   10,521
 
Salem Media Group, Inc.
  1,500   2,070
 
Scholastic Corp.
  5,612   184,915
 
Shenandoah Telecommunications Co.
  9,059   365,531
#
Sinclair Broadcast Group, Inc., Class A
  12,321   368,644
#
Sirius XM Holdings, Inc.
  35,386   250,179
#*
Snap, Inc., Class A
  16,364   300,770
 
Spok Holdings, Inc.
  2,587   27,474
#*
Sprint Corp.
  65,319   285,444
*
Take-Two Interactive Software, Inc.
  6,093   759,432
*
TechTarget, Inc.
  3,207   81,426
 
TEGNA, Inc.
  34,128   576,763
 
Telephone & Data Systems, Inc.
  16,403   372,020
*
T-Mobile US, Inc.
  18,373   1,454,958
 
Townsquare Media, Inc., Class A
  1,300   12,545
*
Travelzoo
  2,000   20,300
 
Tribune Publishing Co.
  5,864   73,652
 
TripAdvisor, Inc.
  9,352   255,497
#*
TrueCar Inc.
  11,250   41,625
*
Twitter, Inc.
  24,008   779,780
*
United States Cellular Corp.
  6,305   201,886
 
Verizon Communications, Inc.
  211,773   12,587,787
#
ViacomCBS, Inc., Class A
  1,096   41,626
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
COMMUNICATION SERVICES — (Continued)
 
ViacomCBS, Inc., Class B
  49,578   $1,692,097
*
Vonage Holdings Corp.
  32,155   285,215
 
Walt Disney Co. (The)
  30,995   4,286,918
#
World Wrestling Entertainment, Inc., Class A
  2,404   117,508
*
Yelp, Inc.
  9,440   307,744
*
Zayo Group Holdings, Inc.
  28,061   975,120
*
Zedge, Inc., Class B
  1,022   1,737
#*
Zillow Group, Inc., Class A
  4,266   197,089
#*
Zillow Group, Inc., Class C
  9,269   428,321
*
Zynga, Inc., Class A
  85,388   514,036
TOTAL COMMUNICATION SERVICES
      105,621,238
CONSUMER DISCRETIONARY — (12.2%)
*
1-800-Flowers.com, Inc., Class A
  5,186   78,775
 
Aaron's, Inc.
  8,664   514,295
#
Abercrombie & Fitch Co., Class A
  14,633   239,396
 
Acushnet Holdings Corp.
  9,745   301,803
*
Adient P.L.C.
  14,296   367,550
*
Adtalem Global Education, Inc.
  7,923   273,423
 
Advance Auto Parts, Inc.
  3,773   497,093
*
Amazon.com, Inc.
  14,076   28,274,743
*
American Axle & Manufacturing Holdings, Inc.
  20,599   190,335
 
American Eagle Outfitters, Inc.
  27,256   392,486
*
American Public Education, Inc.
  2,802   66,772
*
America's Car-Mart, Inc.
  1,100   120,758
 
Aptiv P.L.C.
  22,823   1,935,162
 
Aramark
  21,930   967,990
 
Ark Restaurants Corp.
  120   2,617
#*
Asbury Automotive Group, Inc.
  3,077   296,777
#*
Ascena Retail Group, Inc.
  1,933   8,505
#*
At Home Group, Inc.
  8,348   47,250
#
Autoliv, Inc.
  13,399   1,026,765
*
AutoNation, Inc.
  13,704   581,598
*
AutoZone, Inc.
  902   954,280
*
Barnes & Noble Education, Inc.
  6,289   21,634
 
Bassett Furniture Industries, Inc.
  1,200   14,676
 
BBX Capital Corp.
  10,920   42,370
*
Beazer Homes USA, Inc.
  4,142   56,952
#
Bed Bath & Beyond, Inc.
  21,255   302,884
 
Best Buy Co., Inc.
  25,279   2,140,878
 
Big 5 Sporting Goods Corp.
  3,788   14,129
#
Big Lots, Inc.
  6,301   170,505
*
Biglari Holdings, Inc., Class A
  22   13,849
*
Biglari Holdings, Inc., Class B
  227   24,625
 
Bloomin' Brands, Inc.
  11,019   228,865
*
Booking Holdings, Inc.
  1,884   3,448,756
*
Boot Barn Holdings, Inc.
  4,393   184,374
 
BorgWarner, Inc.
  26,807   919,212
*
Bright Horizons Family Solutions, Inc.
  4,585   750,702
#
Brinker International, Inc.
  3,652   155,904
 
Brunswick Corp.
  11,366   714,353
#
Buckle, Inc. (The)
  6,943   169,479
#*
Build-A-Bear Workshop, Inc.
  2,400   10,032
*
Burlington Stores, Inc.
  4,185   910,112
 
Caleres, Inc.
  7,051   123,745
 
Callaway Golf Co.
  12,039   257,875
*
Capri Holdings, Ltd.
  21,090   631,856
#*
CarMax, Inc.
  11,811   1,146,139
 
Carnival Corp.
  22,917   997,577
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
CONSUMER DISCRETIONARY — (Continued)
 
Carriage Services, Inc.
  2,352   $55,672
#*
Carrols Restaurant Group, Inc.
  8,663   39,330
#
Carter's, Inc.
  6,367   675,348
#*
Carvana Co.
  843   66,808
 
Cato Corp. (The), Class A
  4,682   75,099
*
Cavco Industries, Inc.
  1,219   273,080
*
Century Communities, Inc.
  4,391   130,281
#
Cheesecake Factory, Inc. (The)
  7,163   275,059
#*
Chegg, Inc.
  2,753   113,506
 
Chico's FAS, Inc.
  20,302   78,975
#
Children's Place, Inc. (The)
  2,492   148,698
*
Chipotle Mexican Grill, Inc.
  1,339   1,160,592
#
Choice Hotels International, Inc.
  3,662   366,932
 
Citi Trends, Inc.
  2,312   53,846
 
Collectors Universe, Inc.
  1,300   31,928
#
Columbia Sportswear Co.
  7,254   681,296
#*
Conn's, Inc.
  4,758   41,680
#*
Container Store Group, Inc. (The)
  4,590   18,544
 
Cooper Tire & Rubber Co.
  7,704   204,079
*
Cooper-Standard Holdings, Inc.
  3,315   87,914
 
Cracker Barrel Old Country Store, Inc.
  3,078   470,719
*
Crocs, Inc.
  7,359   278,980
 
CSS Industries, Inc.
  770   7,199
 
Culp, Inc.
  1,923   24,287
 
Dana, Inc.
  22,857   352,226
 
Darden Restaurants, Inc.
  9,803   1,141,363
#
Dave & Buster's Entertainment, Inc.
  5,781   255,289
*
Deckers Outdoor Corp.
  4,029   769,176
*
Del Taco Restaurants, Inc.
  5,595   42,186
*
Delphi Technologies P.L.C.
  12,365   189,679
*
Delta Apparel, Inc.
  600   15,048
*
Denny's Corp.
  5,995   122,718
#
Designer Brands, Inc., Class A
  13,719   195,359
*
Destination XL Group, Inc.
  6,598   7,324
 
Dick's Sporting Goods, Inc.
  11,333   501,259
#
Dillard's, Inc., Class A
  3,432   208,391
#
Dine Brands Global, Inc.
  1,722   146,800
*
Dixie Group, Inc. (The)
  1,369   1,917
 
Dollar General Corp.
  9,783   1,500,810
*
Dollar Tree, Inc.
  20,807   1,811,665
 
Domino's Pizza, Inc.
  1,500   422,625
*
Dorman Products, Inc.
  5,212   363,798
 
DR Horton, Inc.
  19,658   1,163,754
 
Dunkin' Brands Group, Inc.
  5,290   413,096
 
eBay, Inc.
  43,028   1,444,020
*
El Pollo Loco Holdings, Inc.
  4,262   58,730
 
Escalade, Inc.
  1,450   12,760
 
Ethan Allen Interiors, Inc.
  4,083   65,940
#*
Etsy, Inc.
  4,318   210,762
 
Expedia Group, Inc.
  11,270   1,222,231
#*
Express, Inc.
  11,471   45,999
 
Extended Stay America, Inc.
  29,125   376,295
*
Fiesta Restaurant Group, Inc.
  3,560   35,351
*
Five Below, Inc.
  5,358   606,633
 
Flexsteel Industries, Inc.
  1,721   28,224
#*
Floor & Decor Holdings, Inc., Class A
  11,435   563,860
 
Foot Locker, Inc.
  15,240   578,663
 
Ford Motor Co.
  183,302   1,616,724
#*
Fossil Group, Inc.
  8,906   59,937
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
CONSUMER DISCRETIONARY — (Continued)
*
Fox Factory Holding Corp.
  5,006   $329,495
*
Francesca's Holdings Corp.
  760   5,806
*
frontdoor, Inc.
  6,655   283,370
#*
Funko, Inc., Class A
  3,500   52,605
#
GameStop Corp., Class A
  16,305   62,611
#
Gap, Inc. (The)
  52,455   913,242
 
Garmin, Ltd.
  7,514   728,482
*
Garrett Motion, Inc.
  2,881   24,258
 
General Motors Co.
  73,459   2,452,796
*
Genesco, Inc.
  3,112   122,364
 
Gentex Corp.
  34,681   1,032,453
*
Gentherm, Inc.
  4,760   219,484
 
Genuine Parts Co.
  10,381   971,350
*
G-III Apparel Group, Ltd.
  7,768   211,367
 
Goodyear Tire & Rubber Co. (The)
  33,965   445,960
#*
GoPro, Inc., Class A
  15,660   61,700
 
Graham Holdings Co., Class B
  687   377,314
*
Grand Canyon Education, Inc.
  5,044   394,844
*
Green Brick Partners, Inc.
  5,861   67,929
 
Group 1 Automotive, Inc.
  2,918   294,047
*
Groupon, Inc.
  71,300   205,344
*
GrubHub, Inc.
  4,398   238,152
#
Guess?, Inc.
  14,243   303,233
#
H&R Block, Inc.
  18,895   438,364
*
Habit Restaurants, Inc. (The), Class A
  2,378   33,078
 
Hamilton Beach Brands Holding Co., Class A
  1,000   15,800
#
Hanesbrands, Inc.
  42,867   589,850
#
Harley-Davidson, Inc.
  24,436   816,162
 
Hasbro, Inc.
  4,580   466,565
 
Haverty Furniture Cos., Inc.
  4,379   88,149
*
Helen of Troy, Ltd.
  3,202   605,338
*
Hibbett Sports, Inc.
  3,281   81,303
*
Hilton Grand Vacations, Inc.
  14,676   468,311
 
Hilton Worldwide Holdings, Inc.
  6,628   714,498
 
Home Depot, Inc. (The)
  17,760   4,051,056
 
Hooker Furniture Corp.
  1,478   36,418
*
Horizon Global Corp.
  3,114   10,494
*
Houghton Mifflin Harcourt Co.
  20,187   111,432
*
Hudson, Ltd., Class A
  5,289   58,020
#
Hyatt Hotels Corp., Class A
  2,805   237,135
*
Installed Building Products, Inc.
  4,932   365,609
#*
iRobot Corp.
  3,767   177,237
#
J. Jill, Inc.
  4,381   5,213
#
Jack in the Box, Inc.
  2,513   205,438
#*
JC Penney Co., Inc.
  51,435   38,319
 
Johnson Outdoors, Inc., Class A
  1,404   110,354
*
K12, Inc.
  7,870   127,022
 
KB Home
  11,801   443,128
#*
Kirkland's, Inc.
  2,193   2,522
 
Kohl's Corp.
  21,863   934,643
#*
Kontoor Brands, Inc.
  2,650   101,071
#
L Brands, Inc.
  16,930   392,099
*
Lakeland Industries, Inc.
  1,000   13,940
#*
Lands' End, Inc.
  4,280   49,862
*
Laureate Education, Inc., Class A
  13,798   287,550
 
La-Z-Boy, Inc.
  7,281   223,090
 
LCI Industries
  3,843   414,929
*
Leaf Group, Ltd.
  2,563   8,945
 
Lear Corp.
  7,881   970,782
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
CONSUMER DISCRETIONARY — (Continued)
 
Leggett & Platt, Inc.
  18,744   $892,027
 
Lennar Corp., Class A
  19,828   1,315,786
 
Lennar Corp., Class B
  1,637   85,959
*
LGI Homes, Inc.
  3,499   279,010
#*
Libbey, Inc.
  2,657   3,534
 
Lifetime Brands, Inc.
  1,597   10,812
*
Lindblad Expeditions Holdings, Inc.
  7,580   124,994
*
Liquidity Services, Inc.
  3,459   18,402
#
Lithia Motors, Inc., Class A
  3,529   478,674
*
LKQ Corp.
  21,787   712,108
 
Lowe's Cos., Inc.
  27,879   3,240,655
*
Luby's, Inc.
  1,850   4,477
*
Lululemon Athletica, Inc.
  5,841   1,398,277
#*
Lumber Liquidators Holdings, Inc.
  3,367   25,623
*
M/I Homes, Inc.
  3,235   143,602
#
Macy's, Inc.
  40,676   648,782
*
Malibu Boats, Inc., Class A
  3,128   136,975
 
Marine Products Corp.
  5,029   70,406
*
MarineMax, Inc.
  3,867   77,069
 
Marriott International, Inc., Class A
  9,218   1,291,073
 
Marriott Vacations Worldwide Corp.
  4,748   570,899
*
MasterCraft Boat Holdings, Inc.
  3,129   54,977
#*
Mattel, Inc.
  8,765   128,232
 
McDonald's Corp.
  9,775   2,091,557
 
MDC Holdings, Inc.
  9,687   408,210
»
Media General, Inc.
  13,638   1,289
*
Meritage Homes Corp.
  5,126   363,741
#*
Michaels Cos., Inc. (The)
  15,366   75,754
*
Modine Manufacturing Co.
  7,038   49,477
*
Mohawk Industries, Inc.
  6,543   861,582
#
Monro, Inc.
  5,228   327,796
#*
Motorcar Parts of America, Inc.
  2,723   54,079
 
Movado Group, Inc.
  2,400   41,328
*
Murphy USA, Inc.
  4,942   504,924
 
Nathan's Famous, Inc.
  600   39,600
*
National Vision Holdings, Inc.
  9,444   322,229
*
Nautilus, Inc.
  4,510   14,342
*
New Home Co., Inc. (The)
  1,900   9,918
 
NIKE, Inc., Class B
  45,466   4,378,376
#*
Noodles & Co.
  5,800   41,412
#
Nordstrom, Inc.
  20,001   737,237
*
Norwegian Cruise Line Holdings, Ltd.
  15,307   824,282
*
NVR, Inc.
  328   1,251,966
 
Office Depot, Inc.
  101,785   225,963
#*
Ollie's Bargain Outlet Holdings, Inc.
  2,994   158,802
*
O'Reilly Automotive, Inc.
  3,427   1,391,705
#
Oxford Industries, Inc.
  2,746   190,572
 
Papa John's International, Inc.
  2,782   180,218
#*
Party City Holdco, Inc.
  16,849   48,525
 
Penske Automotive Group, Inc.
  13,288   624,137
*
Perdoceo Education Corp.
  8,848   157,317
#
PetMed Express, Inc.
  3,666   92,420
#*
Pier 1 Imports, Inc.
  486   1,526
*
Planet Fitness, Inc., Class A
  7,423   599,704
*
Playa Hotels & Resorts NV
  17,215   120,849
 
Polaris, Inc.
  7,148   656,472
 
Pool Corp.
  4,278   938,165
*
Potbelly Corp.
  2,522   10,870
 
PulteGroup, Inc.
  27,921   1,246,673
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
CONSUMER DISCRETIONARY — (Continued)
 
PVH Corp.
  7,338   $639,653
#*
Quotient Technology Inc.
  10,037   101,073
*
Qurate Retail, Inc.
  45,923   391,723
 
Ralph Lauren Corp.
  5,371   609,608
*
Red Lion Hotels Corp.
  3,317   9,155
#*
Red Robin Gourmet Burgers, Inc.
  1,987   65,313
*
Regis Corp.
  6,020   93,430
 
Rent-A-Center, Inc.
  8,566   249,528
*
RH
  2,156   450,065
 
Rocky Brands, Inc.
  402   10,910
 
Ross Stores, Inc.
  15,994   1,794,367
 
Royal Caribbean Cruises, Ltd.
  11,036   1,292,095
*
RTW RetailWinds, Inc.
  9,740   3,842
*
Rubicon Project, Inc. (The)
  4,400   41,184
#*
Sally Beauty Holdings, Inc.
  13,103   201,131
*
SeaWorld Entertainment, Inc.
  11,472   395,325
*
Select Interior Concepts, Inc., Class A
  1,800   14,868
 
Service Corp. International
  24,729   1,185,756
*
ServiceMaster Global Holdings, Inc.
  11,512   415,008
#*
Shake Shack, Inc., Class A
  2,708   182,655
*
Shiloh Industries, Inc.
  1,671   5,665
#
Shoe Carnival, Inc.
  2,230   79,968
*
Shutterstock, Inc.
  5,086   220,376
#
Signet Jewelers, Ltd.
  8,025   195,088
 
Six Flags Entertainment Corp.
  5,071   193,357
*
Skechers U.S.A., Inc., Class A
  14,807   553,634
*
Skyline Champion Corp.
  7,662   220,282
*
Sleep Number Corp.
  2,862   147,651
#
Sonic Automotive, Inc., Class A
  4,084   129,177
*
Sonos, Inc.
  6,642   91,128
#*
Sportsman's Warehouse Holdings, Inc.
  2,963   19,200
*
Stamps.com, Inc.
  2,929   218,181
 
Standard Motor Products, Inc.
  3,872   188,102
 
Starbucks Corp.
  15,505   1,315,289
 
Steven Madden, Ltd.
  10,477   403,993
*
Stoneridge, Inc.
  5,645   157,270
 
Strategic Education, Inc.
  2,887   468,531
 
Strattec Security Corp.
  400   8,798
 
Superior Group of Cos, Inc.
  1,686   19,440
 
Superior Industries International, Inc.
  2,981   9,539
#
Tailored Brands, Inc.
  6,122   24,366
 
Tapestry, Inc.
  30,654   789,954
 
Target Corp.
  26,168   2,897,844
*
Taylor Morrison Home Corp.
  18,612   481,679
*
Tempur Sealy International, Inc.
  5,761   527,823
#
Tenneco, Inc., Class A
  9,882   93,583
*
Tesla, Inc.
  1,026   667,485
 
Texas Roadhouse, Inc.
  9,453   590,812
#
Thor Industries, Inc.
  7,247   583,528
 
Tiffany & Co.
  8,629   1,156,459
 
Tilly's, Inc., Class A
  1,998   16,983
 
TJX Cos., Inc. (The)
  50,590   2,986,834
 
Toll Brothers, Inc.
  14,952   663,271
*
TopBuild Corp.
  5,984   685,228
#*
Town Sports International Holdings, Inc.
  2,998   6,296
 
Tractor Supply Co.
  8,913   828,463
*
TRI Pointe Group, Inc.
  20,623   335,330
#*
Tuesday Morning Corp.
  4,854   6,213
 
Tupperware Brands Corp.
  5,794   36,270
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
CONSUMER DISCRETIONARY — (Continued)
*
Ulta Salon Cosmetics & Fragrance, Inc.
  3,209   $859,723
#*
Under Armour, Inc., Class A
  7,938   160,189
#*
Under Armour, Inc., Class C
  11,684   209,845
*
Unifi, Inc.
  2,302   49,539
*
Universal Electronics, Inc.
  2,569   127,243
*
Universal Technical Institute, Inc.
  1,356   10,428
#*
Urban Outfitters, Inc.
  15,915   407,424
 
Vail Resorts, Inc.
  2,447   573,846
#*
Veoneer, Inc.
  13,133   171,123
*
Vera Bradley, Inc.
  7,851   75,213
 
VF Corp.
  12,437   1,031,898
#*
Visteon Corp.
  4,374   349,089
*
VOXX International Corp.
  2,097   9,017
#*
Wayfair, Inc., Class A
  2,283   213,917
 
Wendy's Co. (The)
  24,810   537,633
 
Weyco Group, Inc.
  1,047   23,715
#
Whirlpool Corp.
  8,120   1,186,900
#*
William Lyon Homes, Class A
  5,183   120,194
#
Williams-Sonoma, Inc.
  10,952   767,516
#
Wingstop, Inc.
  3,132   290,556
 
Winmark Corp.
  400   79,588
 
Winnebago Industries, Inc.
  5,225   286,121
 
Wolverine World Wide, Inc.
  9,969   314,721
#*
WW International, Inc
  6,624   218,460
 
Wyndham Destinations, Inc.
  8,926   433,179
 
Wyndham Hotels & Resorts, Inc.
  9,513   543,858
 
Yum! Brands, Inc.
  8,331   881,170
*
ZAGG, Inc.
  4,743   35,857
*
Zovio, Inc.
  6,286   9,995
*
Zumiez, Inc.
  4,107   128,015
TOTAL CONSUMER DISCRETIONARY
      163,023,373
CONSUMER STAPLES — (4.9%)
 
Alico, Inc.
  938   33,759
 
Andersons, Inc. (The)
  5,770   130,517
 
Archer-Daniels-Midland Co.
  29,517   1,321,181
#
B&G Foods, Inc.
  10,036   161,178
#*
BJ's Wholesale Club Holdings, Inc.
  13,934   285,926
 
Bunge, Ltd.
  15,938   835,629
#
Calavo Growers, Inc.
  2,253   172,602
 
Cal-Maine Foods, Inc.
  5,619   200,542
#
Campbell Soup Co.
  21,856   1,057,612
 
Casey's General Stores, Inc.
  5,772   928,484
*
Central Garden & Pet Co.
  1,889   60,845
*
Central Garden & Pet Co., Class A
  6,556   196,418
*
Chefs' Warehouse, Inc. (The)
  3,811   138,720
#
Clorox Co. (The)
  7,826   1,231,108
 
Coca-Cola Co. (The)
  151,781   8,864,010
 
Coca-Cola Consolidated, Inc.
  1,254   339,596
 
Colgate-Palmolive Co.
  10,406   767,755
 
Conagra Brands, Inc.
  20,795   684,571
 
Costco Wholesale Corp.
  17,097   5,223,475
 
Coty, Inc., Class A
  58,579   601,021
*
Darling Ingredients, Inc.
  25,308   686,606
#*
Dean Foods Co.
  15,230   4,554
*
Edgewell Personal Care Co.
  8,356   215,752
*
elf Beauty Inc.
  4,104   64,351
#
Energizer Holdings, Inc.
  7,961   368,276
*
Farmer Brothers Co.
  2,029   24,307
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
CONSUMER STAPLES — (Continued)
 
Flowers Foods, Inc.
  18,606   $400,587
 
Fresh Del Monte Produce, Inc.
  8,311   260,799
*
Freshpet Inc.
  834   52,442
 
General Mills, Inc.
  19,694   1,028,421
#*
Hain Celestial Group, Inc. (The)
  16,656   403,242
*
Herbalife Nutrition, Ltd.
  9,000   349,650
#
Hormel Foods Corp.
  23,828   1,126,111
*
Hostess Brands, Inc.
  19,002   255,007
 
Ingles Markets, Inc., Class A
  3,705   154,461
 
Ingredion, Inc.
  9,049   796,312
 
Inter Parfums, Inc.
  3,504   242,161
 
J&J Snack Foods Corp.
  1,979   328,197
 
JM Smucker Co. (The)
  6,224   644,869
 
John B. Sanfilippo & Son, Inc.
  1,772   149,380
 
Kellogg Co.
  24,544   1,674,146
#
Keurig Dr Pepper, Inc.
  6,921   197,456
 
Kimberly-Clark Corp.
  5,621   805,152
 
Kraft Heinz Co. (The)
  14,430   421,356
 
Kroger Co. (The)
  82,614   2,219,012
 
Lamb Weston Holdings, Inc.
  6,045   551,969
 
Lancaster Colony Corp.
  3,757   581,020
*
Landec Corp.
  3,686   41,283
*
Lifevantage Corp.
  1,400   22,932
*
Lifeway Foods, Inc.
  2,341   5,267
 
Limoneira Co.
  2,048   39,977
 
Mannatech, Inc.
  40   636
 
McCormick & Co., Inc.
  90   14,758
#
McCormick & Co., Inc. Non-Voting
  8,103   1,323,787
 
Medifast, Inc.
  1,250   120,788
*
Monster Beverage Corp.
  7,270   484,182
#*
National Beverage Corp.
  3,892   167,006
*
Natura & Co. Holding SA, ADR
  15,813   345,988
*
Natural Alternatives International, Inc.
  920   7,526
 
Natural Grocers by Vitamin Cottage, Inc.
  3,961   35,847
#
Natural Health Trends Corp.
  1,566   5,638
*
Nature's Sunshine Products, Inc.
  1,300   12,428
 
Nu Skin Enterprises, Inc., Class A
  9,660   314,819
 
Oil-Dri Corp. of America
  877   31,046
 
PepsiCo, Inc.
  59,559   8,458,569
*
Performance Food Group Co.
  14,676   760,070
*
Pilgrim's Pride Corp.
  21,104   549,759
*
Post Holdings, Inc.
  9,947   1,040,158
 
PriceSmart, Inc.
  4,237   259,559
#*
Primo Water Corp.
  4,305   64,876
#*
Revlon, Inc., Class A
  2,436   52,057
#*
Rite Aid Corp.
  4,177   49,915
 
Rocky Mountain Chocolate Factory, Inc.
  400   3,320
 
Sanderson Farms, Inc.
  2,916   401,504
 
Seaboard Corp.
  70   269,893
*
Seneca Foods Corp., Class A
  1,000   39,550
*
Simply Good Foods Co. (The)
  10,526   241,782
 
SpartanNash Co.
  6,615   80,571
 
Spectrum Brands Holdings, Inc.
  8,176   502,088
*
Sprouts Farmers Market, Inc.
  18,120   283,216
 
Sysco Corp.
  18,062   1,483,613
#
Tootsie Roll Industries, Inc.
  2,735   93,291
*
TreeHouse Foods, Inc.
  9,109   406,261
 
Tyson Foods, Inc., Class A
  18,199   1,503,783
*
United Natural Foods, Inc.
  8,568   61,690
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
CONSUMER STAPLES — (Continued)
*
US Foods Holding Corp.
  25,061   $1,006,700
*
USANA Health Sciences, Inc.
  3,684   227,303
 
Village Super Market, Inc., Class A
  1,203   26,779
 
Walgreens Boots Alliance, Inc.
  35,815   1,821,193
 
Walmart, Inc.
  46,193   5,288,637
#
WD-40 Co.
  1,271   237,448
 
Weis Markets, Inc.
  4,404   161,583
TOTAL CONSUMER STAPLES
      65,589,621
ENERGY — (4.7%)
*
Abraxas Petroleum Corp.
  36,839   8,436
 
Adams Resources & Energy, Inc.
  617   21,817
 
Amplify Energy Corp.
  3,560   19,188
#*
Antero Resources Corp.
  35,349   65,396
 
Apache Corp.
  38,318   1,051,446
*
Apergy Corp.
  12,063   311,949
 
Arch Coal, Inc., Class A
  3,328   171,492
 
Archrock, Inc.
  23,037   192,359
*
Ardmore Shipping Corp.
  4,312   26,519
 
Baker Hughes Co.
  30,503   660,695
 
Berry Petroleum Corp.
  9,690   66,377
*
Bonanza Creek Energy, Inc.
  3,181   57,862
 
Cabot Oil & Gas Corp.
  38,114   537,026
 
Cactus, Inc., Class A
  5,964   171,882
#*
California Resources Corp.
  4,753   34,887
#*
Callon Petroleum Co.
  89,555   268,665
*
Centennial Resource Development, Inc., Class A
  32,332   105,402
*
Cheniere Energy, Inc.
  9,449   559,759
#*
Chesapeake Energy Corp.
  107,375   54,955
 
Chevron Corp.
  73,150   7,837,291
 
Cimarex Energy Co.
  16,882   740,951
*
Clean Energy Fuels Corp.
  31,215   71,795
*
CNX Resources Corp.
  37,697   272,549
 
Concho Resources, Inc.
  9,988   756,891
 
ConocoPhillips
  60,765   3,611,264
#*
CONSOL Energy, Inc.
  5,068   41,203
#*
Contango Oil & Gas Co.
  10,050   39,296
 
Continental Resources, Inc.
  15,192   413,526
#
Core Laboratories NV
  5,333   187,348
#
CVR Energy, Inc.
  12,089   418,400
*
Dawson Geophysical Co.
  3,320   7,968
 
Delek US Holdings, Inc.
  12,636   346,985
#*
Denbury Resources, Inc.
  78,980   77,795
 
Devon Energy Corp.
  41,361   898,361
 
DHT Holdings, Inc.
  22,418   126,213
#*
Diamond Offshore Drilling, Inc.
  23,041   106,680
 
Diamondback Energy, Inc.
  8,622   641,477
#
DMC Global, Inc.
  2,624   109,762
*
Dorian LPG, Ltd.
  8,362   109,709
#*
Dril-Quip, Inc.
  6,451   263,846
*
Earthstone Energy, Inc., Class A
  2,192   10,960
#
EnLink Midstream LLC
  36,853   185,371
 
EOG Resources, Inc.
  28,191   2,055,406
#
EQT Corp.
  13,524   81,820
#
Equitrans Midstream Corp.
  9,753   94,312
*
Era Group, Inc.
  2,969   29,512
 
Evolution Petroleum Corp.
  7,931   39,972
*
Exterran Corp.
  5,185   27,999
#*
Extraction Oil & Gas, Inc.
  28,594   40,603
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
ENERGY — (Continued)
 
Exxon Mobil Corp.
  157,263   $9,769,178
*
Forum Energy Technologies, Inc.
  17,036   18,058
*
Frank's International NV
  37,238   130,333
 
GasLog, Ltd.
  11,104   71,954
*
Geospace Technologies Corp.
  900   12,069
 
Green Plains, Inc.
  6,606   82,377
*
Gulf Island Fabrication, Inc.
  2,558   13,046
#*
Gulfport Energy Corp.
  24,474   37,935
 
Hallador Energy Co.
  3,488   5,790
 
Halliburton Co.
  55,275   1,205,548
*
Helix Energy Solutions Group, Inc.
  26,378   219,993
 
Helmerich & Payne, Inc.
  11,688   473,948
 
Hess Corp.
  15,878   898,218
#*
HighPoint Resources Corp.
  31,175   36,163
 
HollyFrontier Corp.
  21,941   985,590
*
Independence Contract Drilling, Inc.
  5,696   4,001
*
International Seaways, Inc.
  5,977   133,048
*
ION Geophysical Corp.
  1,761   10,091
 
Kinder Morgan, Inc.
  61,797   1,289,703
#*
KLX Energy Services Holdings, Inc.
  3,456   13,962
 
Kosmos Energy, Ltd.
  46,744   238,862
*
Laredo Petroleum, Inc.
  39,250   67,510
#
Liberty Oilfield Services, Inc., Class A
  11,485   97,393
*
Lonestar Resources US, Inc., Class A
  3,122   5,682
#
Mammoth Energy Services, Inc.
  4,395   6,241
 
Marathon Oil Corp.
  77,681   883,233
 
Marathon Petroleum Corp.
  23,907   1,302,931
#*
Matador Resources Co.
  19,784   290,231
*
Matrix Service Co.
  3,686   74,162
*
Mitcham Industries, Inc.
  900   2,556
#*
Montage Resources Corp.
  2,270   8,286
#
Murphy Oil Corp.
  25,293   530,141
#
Nabors Industries, Ltd.
  64,804   134,144
 
NACCO Industries, Inc., Class A
  500   23,570
 
National Oilwell Varco, Inc.
  36,153   745,113
*
Natural Gas Services Group, Inc.
  1,608   16,916
#*
NCS Multistage Holdings, Inc.
  1,235   1,890
*
Newpark Resources, Inc.
  15,130   75,650
*
NexTier Oilfield Solutions, Inc.
  35,733   184,025
#*
Nine Energy Service, Inc.
  3,403   16,471
#*
Noble Corp. P.L.C.
  39,705   32,074
 
Noble Energy, Inc.
  36,913   729,770
 
Nordic American Tankers, Ltd.
  4,687   15,842
#*
Northern Oil and Gas, Inc.
  52,195   86,644
*
Oasis Petroleum, Inc.
  73,652   165,717
 
Occidental Petroleum Corp.
  49,153   1,952,357
*
Oceaneering International, Inc.
  17,327   215,028
*
Oil States International, Inc.
  10,349   111,562
 
ONEOK, Inc.
  13,451   1,007,076
*
Overseas Shipholding Group, Inc., Class A
  7,143   12,715
#*
Pacific Drilling SA
  1,420   2,613
 
Panhandle Oil and Gas, Inc., Class A
  1,762   12,739
*
Par Pacific Holdings, Inc.
  8,758   176,211
 
Parsley Energy, Inc., Class A
  37,834   629,558
 
Patterson-UTI Energy, Inc.
  34,781   276,161
 
PBF Energy, Inc., Class A
  18,928   516,734
*
PDC Energy, Inc.
  18,728   404,338
 
Peabody Energy Corp.
  17,090   115,528
*
Penn Virginia Corp.
  2,482   53,040
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
ENERGY — (Continued)
 
Phillips 66
  14,701   $1,343,230
 
Pioneer Natural Resources Co.
  7,466   1,007,910
*
ProPetro Holding Corp.
  13,968   136,048
 
QEP Resources, Inc.
  41,564   131,758
#
Range Resources Corp.
  47,668   143,004
#*
Renewable Energy Group, Inc.
  4,824   126,775
*
REX American Resources Corp.
  885   66,685
*
RigNet, Inc.
  1,558   6,481
#*
Ring Energy, Inc.
  8,136   17,574
#
RPC, Inc.
  26,451   119,823
*
SandRidge Energy, Inc.
  2,796   7,130
 
Schlumberger, Ltd.
  58,751   1,968,746
 
Scorpio Tankers, Inc.
  8,735   203,875
*
SEACOR Holdings, Inc.
  3,070   115,401
*
SEACOR Marine Holdings, Inc.
  2,298   23,991
*
Select Energy Services, Inc., Class A
  11,822   82,281
 
SFL Corp., Ltd.
  21,220   280,953
*
SilverBow Resources, Inc.
  693   3,687
 
SM Energy Co.
  23,230   213,251
#
Solaris Oilfield Infrastructure, Inc., Class A
  2,781   32,065
#*
Southwestern Energy Co.
  128,631   201,951
*
Talos Energy, Inc.
  9,633   211,348
#
Targa Resources Corp.
  18,247   666,015
 
TechnipFMC P.L.C.
  29,624   489,092
#
Teekay Corp.
  5,911   21,043
*
Teekay Tankers, Ltd., Class A
  3,398   55,353
*
TETRA Technologies, Inc.
  16,092   24,621
*
Tidewater, Inc.
  6,073   92,188
#*
Transocean, Ltd.
  55,537   253,249
*
Unit Corp.
  9,588   3,833
#
US Silica Holdings, Inc.
  13,336   68,547
#
Valaris P.L.C.
  34,361   175,585
 
Valero Energy Corp.
  18,213   1,535,538
*
W&T Offshore, Inc.
  21,180   87,685
#*
Whiting Petroleum Corp.
  15,039   68,277
 
Williams Cos., Inc. (The)
  50,477   1,044,369
 
World Fuel Services Corp.
  11,456   448,159
*
WPX Energy, Inc.
  56,284   672,594
TOTAL ENERGY
      62,813,211
FINANCIALS — (16.9%)
 
1st Constitution Bancorp
  749   15,092
 
1st Source Corp.
  4,346   205,088
 
ACNB Corp.
  303   9,711
 
Affiliated Managers Group, Inc.
  3,770   301,035
 
Aflac, Inc.
  19,614   1,011,494
*
Alleghany Corp.
  799   637,330
#*
Allegiance Bancshares, Inc.
  2,498   92,926
 
Allstate Corp. (The)
  12,328   1,461,361
 
Ally Financial, Inc.
  30,614   980,566
*
A-Mark Precious Metals, Inc.
  1,195   9,536
*
Ambac Financial Group, Inc.
  5,554   119,022
 
American Equity Investment Life Holding Co.
  14,447   381,545
 
American Express Co.
  31,736   4,121,554
 
American Financial Group, Inc.
  5,548   603,567
 
American International Group, Inc.
  22,732   1,142,510
 
American National Bankshares, Inc.
  1,300   44,330
 
American National Insurance Co.
  3,670   404,287
 
Ameriprise Financial, Inc.
  13,713   2,268,267
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Ameris Bancorp
  11,395   $457,965
 
AMERISAFE, Inc.
  2,385   163,182
 
AmeriServ Financial, Inc.
  300   1,230
 
Ames National Corp.
  500   13,340
 
Aon P.L.C.
  8,828   1,944,367
*
Arch Capital Group, Ltd.
  21,305   940,829
 
Ares Management Corp., Class A
  6,388   230,351
 
Argo Group International Holdings, Ltd.
  5,421   355,618
 
Arrow Financial Corp.
  2,296   80,498
 
Arthur J Gallagher & Co.
  9,965   1,022,110
 
Artisan Partners Asset Management, Inc., Class A
  5,857   195,624
 
Associated Banc-Corp
  26,016   518,499
 
Assurant, Inc.
  6,594   860,913
 
Assured Guaranty, Ltd.
  10,813   495,668
*
Asta Funding, Inc.
  271   2,783
*
Athene Holding, Ltd., Class A
  17,332   754,982
*
Atlantic Capital Bancshares, Inc.
  4,182   78,914
 
Atlantic Union Bankshares Corp.
  12,908   434,871
 
Axis Capital Holdings, Ltd.
  8,837   567,777
*
Axos Financial, Inc.
  9,044   254,769
 
Banc of California, Inc.
  9,859   157,350
 
BancFirst Corp.
  4,666   269,695
*
Bancorp, Inc. (The)
  11,054   130,769
 
BancorpSouth Bank
  15,525   443,549
 
Bank of America Corp.
  227,230   7,459,961
 
Bank of Commerce Holdings
  300   3,210
#
Bank of Hawaii Corp.
  5,432   486,707
 
Bank of Marin Bancorp
  2,280   100,457
 
Bank of New York Mellon Corp. (The)
  20,847   933,529
 
Bank of NT Butterfield & Son, Ltd. (The)
  9,367   311,172
 
Bank of Princeton (The)
  613   18,697
 
Bank OZK
  19,773   537,430
 
BankFinancial Corp.
  2,924   36,462
 
BankUnited, Inc.
  15,112   498,696
 
Bankwell Financial Group, Inc.
  700   18,921
 
Banner Corp.
  5,895   303,887
 
Bar Harbor Bankshares
  1,390   30,580
*
Baycom Corp.
  742   16,665
 
BCB Bancorp, Inc.
  1,443   18,932
*
Berkshire Hathaway, Inc., Class B
  52,679   11,822,748
 
Berkshire Hills Bancorp, Inc.
  7,920   222,948
 
BGC Partners, Inc., Class A
  41,530   239,628
 
BlackRock, Inc.
  3,658   1,929,046
 
Blackstone Group, Inc. (The), Class A
  5,666   346,023
*
Blucora, Inc.
  5,883   132,662
 
BOK Financial Corp.
  6,081   479,791
 
Boston Private Financial Holdings, Inc.
  13,196   150,434
 
Bridge Bancorp, Inc.
  3,707   112,507
*
Bridgewater Bancshares, Inc.
  3,552   46,886
*
Brighthouse Financial, Inc.
  12,273   477,420
*
BrightSphere Investment Group P.L.C.
  14,556   134,061
 
Brookline Bancorp, Inc.
  14,704   223,501
 
Brown & Brown, Inc.
  17,026   764,467
 
Bryn Mawr Bank Corp.
  3,259   122,278
#
Business First Bancshares, Inc.
  974   24,136
 
Byline Bancorp, Inc.
  5,176   99,897
 
C&F Financial Corp.
  500   25,025
 
Cadence BanCorp
  21,245   332,059
#
Cambridge Bancorp
  338   24,397
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Camden National Corp.
  3,149   $148,822
*
Cannae Holdings, Inc.
  13,199   536,671
 
Capital City Bank Group, Inc.
  2,300   65,596
 
Capital One Financial Corp.
  18,035   1,799,893
 
Capitol Federal Financial, Inc.
  22,312   294,072
 
Capstar Financial Holdings, Inc.
  1,712   25,629
 
Carolina Financial Corp.
  3,703   142,010
 
Cathay General Bancorp
  12,692   457,674
 
Cboe Global Markets, Inc.
  5,235   645,057
 
CBTX, Inc.
  2,954   87,291
 
CenterState Bank Corp.
  20,104   453,546
 
Central Pacific Financial Corp.
  4,075   113,000
 
Central Valley Community Bancorp
  1,231   23,130
 
Century Bancorp, Inc., Class A
  292   25,112
 
Charles Schwab Corp. (The)
  53,412   2,432,917
 
Chemung Financial Corp.
  400   15,868
 
Chubb, Ltd.
  12,309   1,870,845
 
Cincinnati Financial Corp.
  7,729   811,159
#
CIT Group, Inc.
  10,425   476,527
 
Citigroup, Inc.
  55,203   4,107,655
 
Citizens & Northern Corp.
  1,891   48,353
 
Citizens Financial Group, Inc.
  22,571   841,447
 
Citizens Holding Co.
  160   3,448
#*
Citizens, Inc.
  3,580   21,695
 
City Holding Co.
  2,229   168,691
 
Civista Bancshares, Inc.
  1,487   32,729
 
CME Group, Inc.
  6,500   1,411,215
 
CNA Financial Corp.
  500   22,315
 
CNB Financial Corp.
  2,238   66,155
 
CNO Financial Group, Inc.
  13,279   233,578
 
Codorus Valley Bancorp, Inc.
  633   13,799
 
Cohen & Steers, Inc.
  6,215   459,786
 
Columbia Banking System, Inc.
  11,299   437,271
*
Columbia Financial, Inc.
  15,415   258,510
 
Comerica, Inc.
  11,832   723,645
#
Commerce Bancshares, Inc.
  12,180   824,099
 
Community Bank System, Inc.
  6,596   437,117
 
Community Bankers Trust Corp.
  100   883
 
Community Financial Corp. (The)
  300   10,200
 
Community Trust Bancorp, Inc.
  2,916   127,575
 
ConnectOne Bancorp, Inc.
  5,084   120,033
*
Consumer Portfolio Services, Inc.
  4,008   14,148
*
Cowen, Inc., Class A
  4,505   72,395
 
Crawford & Co., Class A
  2,549   22,278
 
Crawford & Co., Class B
  3,450   27,566
#*
Credit Acceptance Corp.
  2,190   939,466
#
Cullen/Frost Bankers, Inc.
  5,733   511,154
#*
Curo Group Holdings Corp.
  8,089   84,206
*
Customers Bancorp, Inc.
  5,789   123,769
 
CVB Financial Corp.
  19,536   405,763
 
Diamond Hill Investment Group, Inc.
  832   117,121
 
Dime Community Bancshares, Inc.
  7,365   142,955
 
Discover Financial Services
  24,433   1,835,651
 
Donegal Group, Inc., Class A
  3,167   44,180
*
Donnelley Financial Solutions, Inc.
  7,932   71,864
 
E*TRADE Financial Corp.
  17,387   741,034
 
Eagle Bancorp, Inc.
  5,217   227,983
 
East West Bancorp, Inc.
  16,396   751,593
 
Eaton Vance Corp.
  14,602   668,041
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
#*
eHealth, Inc.
  2,510   $263,952
*
Elevate Credit, Inc.
  3,112   18,081
 
Employers Holdings, Inc.
  6,414   273,557
#*
Encore Capital Group, Inc.
  4,540   154,133
*
Enova International, Inc.
  5,913   148,180
*
Enstar Group, Ltd.
  2,076   405,422
 
Enterprise Bancorp, Inc.
  1,259   39,054
 
Enterprise Financial Services Corp.
  3,833   166,774
 
Equitable Holdings, Inc.
  8,175   196,364
*
Equity Bancshares, Inc., Class A
  2,425   65,136
 
Erie Indemnity Co., Class A
  3,027   503,995
 
ESSA Bancorp, Inc.
  1,600   27,120
 
Essent Group, Ltd.
  13,267   658,176
 
Evercore, Inc., Class A
  6,474   496,038
 
Everest Re Group, Ltd.
  2,258   624,495
*
EZCORP, Inc., Class A
  8,301   51,632
#
FactSet Research Systems, Inc.
  2,416   691,242
#
Farmers & Merchants Bancorp, Inc.
  978   28,753
 
Farmers National Banc Corp.
  4,026   63,691
 
FB Financial Corp.
  5,174   184,453
 
FBL Financial Group, Inc., Class A
  4,367   234,857
 
Federal Agricultural Mortgage Corp., Class C
  1,582   120,707
 
Federated Investors, Inc., Class B
  15,549   563,340
 
FedNat Holding Co.
  1,756   27,271
 
Fidelity National Financial, Inc.
  14,494   706,582
 
Fifth Third Bancorp
  46,370   1,319,226
 
Financial Institutions, Inc.
  2,921   89,996
 
First American Financial Corp.
  11,767   729,319
 
First Bancorp
  4,770   169,240
 
First BanCorp
  35,938   333,145
 
First Bancorp, Inc.
  1,481   41,883
 
First Bancshares, Inc. (The)
  1,821   62,679
 
First Bank
  916   9,801
 
First Busey Corp.
  8,680   221,340
 
First Business Financial Services, Inc.
  989   24,903
 
First Choice Bancorp
  624   15,188
 
First Citizens BancShares, Inc., Class A
  1,252   659,579
 
First Commonwealth Financial Corp.
  16,640   224,973
 
First Community Bancshares, Inc.
  3,590   105,223
 
First Defiance Financial Corp.
  3,646   107,156
 
First Financial Bancorp
  16,417   394,665
#
First Financial Bankshares, Inc.
  13,654   457,682
 
First Financial Corp.
  1,139   47,530
 
First Financial Northwest, Inc.
  1,800   26,334
 
First Foundation, Inc.
  5,470   90,255
 
First Hawaiian, Inc.
  21,301   619,007
 
First Horizon National Corp.
  33,203   531,248
 
First Internet Bancorp
  1,237   32,793
 
First Interstate BancSystem, Inc., Class A
  6,686   257,411
 
First Merchants Corp.
  8,552   339,942
 
First Mid Bancshares, Inc.
  2,167   70,969
 
First Midwest Bancorp, Inc.
  17,127   341,512
 
First Northwest Bancorp
  1,283   20,259
 
First of Long Island Corp. (The)
  3,590   79,195
 
First Republic Bank
  6,942   769,729
 
FirstCash, Inc.
  5,521   480,161
 
Flagstar Bancorp, Inc.
  8,915   314,165
 
Flushing Financial Corp.
  5,263   104,576
 
FNB Corp.
  52,496   612,628
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Franklin Financial Network, Inc.
  2,340   $86,276
 
Franklin Resources, Inc.
  24,561   621,393
 
FS Bancorp, Inc.
  425   23,256
 
Fulton Financial Corp.
  26,830   441,890
 
GAIN Capital Holdings, Inc.
  6,727   26,303
 
GAMCO Investors, Inc., Class A
  1,540   25,487
*
Genworth Financial, Inc., Class A
  60,600   248,460
 
German American Bancorp, Inc.
  3,377   115,460
 
Glacier Bancorp, Inc.
  9,633   408,150
 
Global Indemnity, Ltd.
  1,700   53,601
 
Globe Life, Inc
  5,807   605,438
 
Goldman Sachs Group, Inc. (The)
  8,353   1,985,926
#
Goosehead Insurance, Inc., Class A
  1,361   71,017
*
Great Elm Capital Group, Inc.
  619   1,857
 
Great Southern Bancorp, Inc.
  2,505   142,560
 
Great Western Bancorp, Inc.
  9,899   292,515
*
Green Dot Corp., Class A
  6,779   203,912
#*
Greenlight Capital Re, Ltd., Class A
  4,400   40,964
 
Guaranty Bancshares, Inc.
  1,200   36,720
*
Hallmark Financial Services, Inc.
  2,410   41,452
 
Hamilton Lane, Inc., Class A
  3,546   230,313
 
Hancock Whitney Corp.
  13,522   537,364
 
Hanmi Financial Corp.
  4,733   79,609
 
Hanover Insurance Group, Inc. (The)
  3,543   490,989
*
HarborOne Bancrop, Inc.
  7,463   81,421
 
Hartford Financial Services Group, Inc. (The)
  33,320   1,975,210
 
HCI Group, Inc.
  1,645   72,824
 
Heartland Financial USA, Inc.
  5,901   288,618
#
Hennessy Advisors, Inc.
  1,107   11,070
 
Heritage Commerce Corp.
  8,432   97,811
 
Heritage Financial Corp.
  6,566   169,271
 
Heritage Insurance Holdings, Inc.
  4,010   48,361
 
Hilltop Holdings, Inc.
  12,037   272,518
 
Hingham Institution for Savings
  155   32,455
 
Home Bancorp, Inc.
  1,154   41,036
 
Home BancShares, Inc.
  25,808   493,449
*
HomeStreet, Inc.
  4,364   140,128
 
HomeTrust Bancshares, Inc.
  3,038   80,568
 
Hope Bancorp, Inc.
  19,458   270,563
 
Horace Mann Educators Corp.
  6,832   293,844
 
Horizon Bancorp, Inc.
  6,336   107,205
 
Houlihan Lokey, Inc.
  4,722   244,836
*
Howard Bancorp, Inc.
  1,896   32,023
 
Huntington Bancshares, Inc.
  80,223   1,088,626
 
IBERIABANK Corp.
  7,101   516,314
 
Independence Holding Co.
  2,048   82,924
 
Independent Bank Corp.
  4,037   291,471
 
Independent Bank Corp.
  4,359   93,195
 
Independent Bank Group, Inc.
  6,708   359,012
#
Interactive Brokers Group, Inc., Class A
  10,466   491,902
 
Intercontinental Exchange, Inc.
  17,613   1,756,721
 
International Bancshares Corp.
  10,085   397,349
*
INTL. FCStone, Inc.
  3,467   165,237
 
Invesco, Ltd.
  41,052   710,200
 
Investar Holding Corp.
  501   11,077
 
Investors Bancorp, Inc.
  44,334   535,776
 
Investors Title Co.
  166   26,195
 
James River Group Holdings, Ltd.
  5,019   215,516
 
Janus Henderson Group P.L.C.
  19,486   492,411
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Jefferies Financial Group, Inc.
  31,263   $676,531
 
JPMorgan Chase & Co.
  125,349   16,591,194
 
Kearny Financial Corp.
  16,555   204,454
 
Kemper Corp.
  6,945   516,847
 
KeyCorp
  55,362   1,035,823
 
Kingstone Cos., Inc.
  707   5,585
 
Kinsale Capital Group, Inc.
  1,356   154,882
 
KKR & Co., Inc., Class A
  19,308   615,925
 
Ladenburg Thalmann Financial Services, Inc.
  20,093   70,125
 
Lakeland Bancorp, Inc.
  6,960   113,030
 
Lakeland Financial Corp.
  3,857   182,976
 
Lazard, Ltd., Class A
  16,157   677,948
 
LCNB Corp.
  700   11,599
 
Legg Mason, Inc.
  9,673   378,698
*
LendingClub Corp.
  14,348   168,159
#*
LendingTree, Inc.
  638   198,546
 
Lincoln National Corp.
  10,638   579,558
#
Live Oak Bancshares, Inc.
  5,676   99,216
 
Loews Corp.
  16,236   835,342
 
LPL Financial Holdings, Inc.
  12,925   1,190,780
 
Luther Burbank Corp.
  2,386   24,600
 
M&T Bank Corp.
  10,144   1,709,467
 
Macatawa Bank Corp.
  4,300   45,365
*
Maiden Holdings, Ltd.
  14,428   12,697
#
Manning & Napier, Inc.
  1,962   3,728
*
Markel Corp.
  756   886,765
 
MarketAxess Holdings, Inc.
  1,519   537,999
 
Marlin Business Services Corp.
  1,780   35,066
 
Marsh & McLennan Cos., Inc.
  11,393   1,274,421
*
MBIA, Inc.
  17,849   161,712
 
Mercantile Bank Corp.
  2,926   95,885
 
Merchants Bancorp
  2,662   52,388
 
Mercury General Corp.
  8,544   419,425
 
Meridian Bancorp, Inc.
  8,479   152,537
 
Meta Financial Group, Inc.
  5,963   221,943
 
MetLife, Inc.
  20,158   1,002,054
*
Metropolitan Bank Holding Corp.
  506   24,870
 
MGIC Investment Corp.
  12,754   175,878
 
Midland States Bancorp, Inc.
  3,717   98,203
 
MidWestOne Financial Group, Inc.
  1,517   49,060
 
Moelis & Co., Class A
  6,240   224,640
 
Moody's Corp.
  5,610   1,440,592
 
Morgan Stanley
  48,454   2,532,206
 
Morningstar, Inc.
  4,864   763,113
*
Mr Cooper Group, Inc.
  14,074   174,236
 
MSCI, Inc.
  3,231   923,420
 
MutualFirst Financial, Inc.
  1,200   44,676
 
MVB Financial Corp.
  1,500   29,970
 
Nasdaq, Inc.
  8,708   1,014,134
 
National Bank Holdings Corp., Class A
  5,328   173,693
 
National Bankshares, Inc.
  518   21,155
 
National General Holdings Corp.
  17,952   390,815
 
National Western Life Group, Inc., Class A
  548   145,768
 
Navient Corp.
  38,838   558,490
 
NBT Bancorp, Inc.
  7,509   283,765
 
Nelnet, Inc., Class A
  4,956   283,781
#
New York Community Bancorp, Inc.
  49,204   544,196
»
NewStar Financial, Inc.
  10,836   4,826
*
NI Holdings, Inc.
  1,752   26,893
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
*
Nicholas Financial, Inc.
  801   $6,632
*
Nicolet Bankshares, Inc.
  1,249   88,242
*
NMI Holdings, Inc., Class A
  9,763   311,635
 
Northern Trust Corp.
  11,502   1,125,011
 
Northfield Bancorp, Inc.
  8,607   136,765
 
Northrim BanCorp, Inc.
  900   33,867
 
Northwest Bancshares, Inc.
  18,491   290,771
 
OceanFirst Financial Corp.
  8,952   208,224
*
Ocwen Financial Corp.
  14,518   17,857
 
OFG Bancorp
  9,654   190,280
 
Old National Bancorp
  28,697   513,963
 
Old Republic International Corp.
  30,944   697,787
 
Old Second Bancorp, Inc.
  4,090   50,246
*
On Deck Capital, Inc.
  10,484   42,775
 
OneMain Holdings, Inc.
  16,432   696,224
 
Oppenheimer Holdings, Inc., Class A
  3,256   89,703
 
Opus Bank
  5,305   141,299
#
Origin Bancorp, Inc.
  3,105   109,420
 
Orrstown Financial Services, Inc.
  909   18,734
*
Pacific Mercantile Bancorp
  2,550   17,672
 
Pacific Premier Bancorp, Inc.
  9,455   281,759
 
PacWest Bancorp
  12,656   443,593
 
Park National Corp.
  2,477   235,241
 
Parke Bancorp, Inc.
  1,315   28,299
 
PCB Bancorp
  783   11,909
 
PCSB Financial Corp.
  2,196   43,656
 
Peapack Gladstone Financial Corp.
  2,762   80,733
 
Penns Woods Bancorp, Inc.
  1,243   39,217
 
Pennymac Financial Services, Inc.
  11,137   375,540
 
Peoples Bancorp, Inc.
  2,534   82,456
 
Peoples Financial Services Corp.
  400   18,540
 
People's United Financial, Inc.
  46,947   723,923
 
People's Utah Bancorp
  1,700   44,336
 
Pinnacle Financial Partners, Inc.
  8,118   479,449
 
Piper Sandler Cos.
  2,600   214,318
 
PJT Partners, Inc., Class A
  747   34,377
 
PNC Financial Services Group, Inc. (The)
  15,921   2,365,065
*
Ponce de Leon Federal Bank
  1,100   15,499
 
Popular, Inc.
  10,173   569,281
#*
PRA Group, Inc.
  7,470   264,139
 
Preferred Bank
  2,495   149,974
 
Premier Financial Bancorp, Inc.
  1,898   32,266
 
Primerica, Inc.
  6,504   771,114
 
Principal Financial Group, Inc.
  14,055   744,212
 
ProAssurance Corp.
  8,871   269,412
 
Progressive Corp. (The)
  25,117   2,026,691
 
Prosperity Bancshares, Inc.
  10,646   747,349
 
Protective Insurance Corp., Class B
  2,066   32,209
*
Provident Bancorp, Inc.
  1,022   12,070
 
Provident Financial Holdings, Inc.
  1,300   28,613
 
Provident Financial Services, Inc.
  11,857   270,458
 
Prudential Bancorp, Inc.
  845   14,880
 
Prudential Financial, Inc.
  10,128   922,256
 
Pzena Investment Management, Inc., Class A
  1,300   10,647
 
QCR Holdings, Inc.
  1,925   79,118
 
Radian Group, Inc.
  10,400   254,696
 
Raymond James Financial, Inc.
  7,425   678,868
 
RBB Bancorp
  2,116   41,643
*
Regional Management Corp.
  1,515   41,738
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Regions Financial Corp.
  53,679   $835,782
 
Reinsurance Group of America, Inc.
  3,257   469,171
 
RenaissanceRe Holdings, Ltd.
  4,814   911,964
 
Renasant Corp.
  9,006   287,562
 
Republic Bancorp, Inc., Class A
  3,438   144,052
*
Republic First Bancorp, Inc.
  6,280   20,033
 
Riverview Bancorp, Inc.
  100   736
 
RLI Corp.
  3,185   296,237
 
S&P Global, Inc.
  9,063   2,662,075
 
S&T Bancorp, Inc.
  7,178   269,821
 
Safeguard Scientifics, Inc.
  1,519   16,162
 
Safety Insurance Group, Inc.
  2,330   214,546
 
Sandy Spring Bancorp, Inc.
  5,754   200,239
#
Santander Consumer USA Holdings, Inc.
  38,856   1,034,347
 
SB One Bancorp
  800   19,120
*
Seacoast Banking Corp. of Florida
  4,740   128,691
 
SEI Investments Co.
  15,937   1,040,049
*
Select Bancorp, Inc.
  2,670   30,972
 
Selective Insurance Group, Inc.
  6,723   445,399
 
ServisFirst Bancshares, Inc.
  7,036   258,573
 
Shore Bancshares, Inc.
  1,532   24,895
 
Sierra Bancorp
  1,944   52,060
 
Signature Bank
  5,653   802,104
 
Silvercrest Asset Management Group, Inc., Class A
  800   9,504
 
Simmons First National Corp., Class A
  14,506   347,854
 
SLM Corp.
  48,696   531,760
 
SmartFinancial, Inc.
  641   13,858
 
South State Corp.
  5,433   410,789
*
Southern First Bancshares, Inc.
  700   27,335
 
Southern Missouri Bancorp, Inc.
  1,213   43,207
 
Southern National Bancorp of Virginia, Inc.
  3,254   50,535
 
Southside Bancshares, Inc.
  5,693   199,710
*
Spirit of Texas Bancshares, Inc.
  1,299   26,954
 
State Auto Financial Corp.
  7,246   218,177
 
State Street Corp.
  20,064   1,517,440
 
Sterling Bancorp
  21,474   429,480
 
Sterling Bancorp, Inc.
  3,844   28,177
 
Stewart Information Services Corp.
  3,962   165,414
 
Stifel Financial Corp.
  11,434   739,665
 
Stock Yards Bancorp, Inc.
  2,400   92,976
 
Summit Financial Group, Inc.
  1,249   30,663
*
SVB Financial Group
  3,366   808,951
 
Synchrony Financial
  65,540   2,124,151
 
Synovus Financial Corp.
  17,844   624,897
 
T Rowe Price Group, Inc.
  16,347   2,182,815
 
TCF Financial Corp.
  21,407   905,088
 
TD Ameritrade Holding Corp.
  22,397   1,063,410
 
Territorial Bancorp, Inc.
  1,300   37,739
*
Texas Capital Bancshares, Inc.
  6,755   371,255
 
TFS Financial Corp.
  10,988   224,485
*
Third Point Reinsurance, Ltd.
  15,019   163,557
 
Timberland Bancorp, Inc.
  500   14,080
 
Tiptree, Inc.
  5,339   36,572
 
Tompkins Financial Corp.
  1,833   157,803
 
Towne Bank
  12,538   332,884
 
Travelers Cos., Inc. (The)
  12,070   1,588,653
 
TriCo Bancshares
  5,202   189,353
*
TriState Capital Holdings, Inc.
  4,350   100,007
*
Triumph Bancorp, Inc.
  3,989   155,491
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Truist Financial Corp.
  35,384   $1,824,753
 
TrustCo Bank Corp. NY
  13,664   108,356
#
Trustmark Corp.
  10,221   326,868
 
U.S. Bancorp.
  51,879   2,761,000
 
UMB Financial Corp.
  7,538   500,975
 
Umpqua Holdings Corp.
  32,017   541,087
 
United Bankshares, Inc.
  16,146   553,808
 
United Community Banks, Inc.
  13,224   369,214
 
United Community Financial Corp.
  6,434   70,324
 
United Fire Group, Inc.
  3,989   176,553
 
United Insurance Holdings Corp.
  6,562   66,539
 
United Security Bancshares
  402   3,915
 
Unity Bancorp, Inc.
  471   10,324
 
Universal Insurance Holdings, Inc.
  6,041   147,038
 
Univest Financial Corp.
  4,401   109,321
 
Unum Group
  20,442   545,597
 
Valley National Bancorp
  55,999   589,669
 
Value Line, Inc.
  213   7,018
 
Veritex Holdings, Inc.
  7,085   200,647
#
Victory Capital Holdings, Inc., Class A
  1,612   33,626
#
Virtu Financial, Inc., Class A
  13,028   217,437
 
Virtus Investment Partners, Inc.
  1,053   129,551
 
Voya Financial, Inc.
  14,371   858,380
#
Waddell & Reed Financial, Inc., Class A
  12,818   204,832
 
Walker & Dunlop, Inc.
  5,376   356,805
 
Washington Federal, Inc.
  8,533   290,122
 
Washington Trust Bancorp, Inc.
  2,152   101,854
 
Waterstone Financial, Inc.
  4,026   70,415
 
Webster Financial Corp.
  9,015   404,413
 
Wells Fargo & Co.
  163,973   7,696,893
 
WesBanco, Inc.
  10,613   351,503
 
West Bancorporation, Inc.
  1,799   41,179
 
Westamerica Bancorporation
  3,633   230,187
 
Western Alliance Bancorp
  10,967   605,707
 
Western New England Bancorp, Inc.
  3,241   29,104
 
Westwood Holdings Group, Inc.
  1,130   31,730
 
White Mountains Insurance Group, Ltd.
  520   580,954
 
Willis Towers Watson P.L.C.
  5,793   1,224,003
 
Wintrust Financial Corp.
  8,704   550,789
 
WisdomTree Investments, Inc.
  22,580   95,062
#*
World Acceptance Corp.
  1,607   138,957
 
WR Berkley Corp.
  8,899   654,343
 
WSFS Financial Corp.
  9,099   362,959
 
Zions Bancorp NA
  16,756   762,230
TOTAL FINANCIALS
      225,684,666
HEALTH CARE — (6.4%)
 
Abbott Laboratories
  34,459   3,002,757
*
ABIOMED, Inc.
  1,829   340,724
#*
Acadia Healthcare Co., Inc.
  14,410   462,993
#*
ACADIA Pharmaceuticals, Inc.
  3,829   152,930
#*
Acceleron Pharma Inc.
  288   26,145
»
Achillion Pharmaceuticals, Inc.
  23,563   9,745
*
Acorda Therapeutics, Inc.
  6,805   13,814
*
Addus HomeCare Corp.
  1,934   182,454
*
Aduro Biotech, Inc.
  4,711   7,914
#*
Adverum Biotechnologies, Inc.
  4,625   45,649
#*
Agios Pharmaceuticals, Inc.
  2,785   135,713
#*
Akebia Therapeutics, Inc.
  14,257   102,936
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
HEALTH CARE — (Continued)
*
Albireo Pharma, Inc.
  887   $20,135
*
Alexion Pharmaceuticals, Inc.
  9,121   906,536
*
Align Technology, Inc.
  3,480   894,708
*
Alkermes P.L.C.
  7,558   131,585
*
Allscripts Healthcare Solutions, Inc.
  26,335   225,954
#*
Alnylam Pharmaceuticals, Inc.
  3,781   434,021
#*
AMAG Pharmaceuticals, Inc.
  7,011   62,117
*
Amedisys, Inc.
  4,356   768,790
*
American Renal Associates Holdings, Inc.
  5,573   50,603
 
AmerisourceBergen Corp.
  18,230   1,559,759
*
AMN Healthcare Services, Inc.
  7,401   498,679
*
AnaptysBio, Inc.
  3,513   51,009
*
AngioDynamics, Inc.
  5,619   77,374
*
Anika Therapeutics, Inc.
  2,097   86,208
 
Anthem, Inc.
  8,231   2,183,520
#*
Apollo Medical Holdings, Inc.
  2,065   37,005
*
Applied Genetic Technologies Corp.
  868   5,451
*
Arcus Biosciences, Inc.
  4,000   35,120
*
Ardelyx, Inc.
  4,740   33,559
*
Arrowhead Pharmaceuticals, Inc.
  4,636   194,295
*
Assembly Biosciences, Inc.
  4,021   70,609
#*
Assertio Therapeutics, Inc.
  8,079   8,645
*
Atara Biotherapeutics, Inc.
  5,527   73,122
*
AtriCure Inc.
  3,311   128,798
 
Atrion Corp.
  237   170,448
*
Avanos Medical, Inc.
  7,494   206,385
#*
Avrobio, Inc.
  2,900   63,017
*
AxoGen, Inc.
  3,229   39,910
 
Baxter International, Inc.
  13,945   1,244,173
*
BioMarin Pharmaceutical, Inc.
  5,370   448,395
*
BioSpecifics Technologies Corp.
  1,201   70,955
*
BioTelemetry, Inc.
  3,516   172,003
*
Boston Scientific Corp.
  20,865   873,618
*
Brookdale Senior Living, Inc.
  34,248   225,694
 
Bruker Corp.
  14,813   732,799
*
Calithera Biosciences, Inc.
  4,617   27,702
#
Cantel Medical Corp.
  3,845   250,156
*
Capital Senior Living Corp.
  2,106   5,876
#*
Cara Therapeutics, Inc.
  1,547   24,907
 
Cardinal Health, Inc.
  22,988   1,177,215
*
Cardiovascular Systems, Inc.
  1,446   65,634
*
Castlight Health, Inc., Class B
  9,290   11,520
*
Centene Corp.
  30,724   1,929,774
 
Cerner Corp.
  22,496   1,615,888
 
Chemed Corp.
  1,762   822,924
*
ChemoCentryx, Inc.
  5,991   254,138
*
Cigna Corp.
  17,801   3,424,556
#*
Codexis, Inc.
  3,003   47,087
*
Collegium Pharmaceutical, Inc.
  1,638   32,948
 
Computer Programs & Systems, Inc.
  864   22,464
*
Concert Pharmaceuticals, Inc.
  4,356   46,522
 
CONMED Corp.
  3,906   397,162
*
CorVel Corp.
  2,976   272,512
#*
Covetrus, Inc.
  4,351   53,517
*
Cross Country Healthcare, Inc.
  7,273   72,003
*
CryoLife, Inc.
  4,083   121,428
#*
Cumberland Pharmaceuticals, Inc.
  1,600   7,776
*
Cutera, Inc.
  1,041   29,335
 
CVS Health Corp.
  49,878   3,382,726
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
HEALTH CARE — (Continued)
#*
Cyclerion Therapeutics, Inc.
  1,828   $5,996
*
Cymabay Therapeutics, Inc.
  5,469   8,422
*
CytomX Therapeutics, Inc.
  1,868   13,861
*
DaVita, Inc.
  14,775   1,180,079
*
Deciphera Pharmaceuticals, Inc.
  6,534   409,224
#*
Denali Therapeutics, Inc.
  8,692   201,307
 
DENTSPLY SIRONA, Inc.
  9,782   547,792
#*
Dermira, Inc.
  3,600   68,220
*
DexCom, Inc.
  979   235,694
*
Digirad Corp.
  290   824
*
Diplomat Pharmacy, Inc.
  13,263   52,787
*
Edwards Lifesciences Corp.
  1,841   404,762
*
Elanco Animal Health, Inc.
  12,714   392,863
*
Emergent BioSolutions, Inc.
  6,778   373,400
*
Enanta Pharmaceuticals, Inc.
  2,515   129,623
 
Encompass Health Corp.
  13,306   1,024,961
 
Ensign Group, Inc. (The)
  7,280   329,056
#*
Epizyme, Inc.
  11,524   241,197
#*
Evolent Health, Inc., Class A
  15,042   151,623
#*
Exact Sciences Corp.
  2,569   239,636
*
Exelixis, Inc.
  38,631   664,453
#*
FibroGen, Inc.
  3,372   141,118
#*
Five Star Senior Living, Inc.
  85   385
*
FONAR Corp.
  1,170   24,699
#*
G1 Therapeutics, Inc.
  4,737   91,708
#*
Global Blood Therapeutics, Inc.
  4,548   296,802
*
Globus Medical, Inc., Class A
  4,611   241,063
*
GlycoMimetics, Inc.
  3,403   14,565
*
Guardant Health, Inc.
  2,103   159,912
*
Haemonetics Corp.
  3,933   422,365
*
Hanger, Inc.
  2,841   69,406
*
HealthEquity, Inc.
  2,890   190,913
*
HealthStream, Inc.
  4,637   118,475
*
Henry Schein, Inc.
  7,869   542,489
#*
Heron Therapeutics, Inc.
  1,420   29,621
#*
Heska Corp.
  405   40,577
 
Hill-Rom Holdings, Inc.
  8,548   910,276
*
HMS Holdings Corp.
  9,021   246,454
*
Hologic, Inc.
  21,592   1,155,604
*
Horizon Therapeutics P.L.C.
  21,518   742,156
 
Humana, Inc.
  5,225   1,756,854
*
ICU Medical, Inc.
  1,300   237,211
*
IDEXX Laboratories, Inc.
  3,973   1,076,723
*
Incyte Corp.
  3,843   280,808
*
Innoviva, Inc.
  12,963   178,954
*
Inogen, Inc.
  2,871   127,099
#*
Inovalon Holdings, Inc., Class A
  4,195   84,991
#*
Insmed, Inc.
  2,550   52,377
*
Insulet Corp.
  1,294   251,088
*
Integer Holdings Corp.
  4,638   396,085
*
Integra LifeSciences Holdings Corp.
  6,033   332,056
#*
Intellia Therapeutics, Inc.
  4,713   56,132
*
IntriCon Corp.
  300   5,109
*
Intuitive Surgical, Inc.
  1,035   579,372
#
Invacare Corp.
  5,484   42,172
*
Ionis Pharmaceuticals, Inc.
  4,077   237,771
#*
Iovance Biotherapeutics, Inc.
  6,498   141,267
*
IQVIA Holdings, Inc.
  12,267   1,904,452
 
IVERIC bio, Inc.
  5,889   39,103
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
HEALTH CARE — (Continued)
*
Jazz Pharmaceuticals P.L.C.
  6,496   $931,202
#*
Kala Pharmaceuticals, Inc.
  1,454   8,666
#*
KalVista Pharmaceuticals, Inc.
  1,219   18,651
#*
Karyopharm Therapeutics, Inc.
  3,855   62,258
*
Kindred Biosciences, Inc.
  4,043   35,295
*
Kura Oncology, Inc.
  4,804   56,399
*
Laboratory Corp. of America Holdings
  5,474   960,140
#*
Lannett Co., Inc.
  1,300   10,582
*
Lantheus Holdings, Inc.
  8,507   148,958
#
LeMaitre Vascular, Inc.
  1,973   70,998
*
LHC Group, Inc.
  4,032   587,664
#*
Ligand Pharmaceuticals, Inc.
  2,779   244,024
*
LivaNova P.L.C.
  5,324   361,872
 
Luminex Corp.
  6,401   145,207
*
MacroGenics, Inc.
  6,127   56,675
#*
Madrigal Pharmaceuticals, Inc.
  1,747   145,036
*
Magellan Health, Inc.
  4,058   297,086
#*
Mallinckrodt P.L.C.
  14,740   67,657
*
Masimo Corp.
  2,528   431,277
 
McKesson Corp.
  13,633   1,944,202
*
Medpace Holdings, Inc.
  4,749   406,277
 
Medtronic P.L.C.
  22,826   2,635,033
 
Meridian Bioscience, Inc.
  7,966   78,385
#*
Merit Medical Systems, Inc.
  7,216   262,807
#*
Mersana Therapeutics, Inc.
  2,705   18,259
#
Mesa Laboratories, Inc.
  245   64,298
*
Mettler-Toledo International, Inc.
  1,569   1,188,015
*
Minerva Neurosciences, Inc.
  5,706   46,390
*
Molecular Templates, Inc.
  2,700   40,338
#*
Molina Healthcare, Inc.
  8,818   1,084,349
*
Momenta Pharmaceuticals, Inc.
  9,562   277,489
*
Myriad Genetics, Inc.
  9,262   256,094
*
NantKwest, Inc.
  3,700   23,384
 
National HealthCare Corp.
  2,673   224,318
 
National Research Corp.
  2,585   174,927
*
Natus Medical, Inc.
  4,797   150,098
*
Neogen Corp.
  3,025   203,492
*
NeoGenomics, Inc.
  5,221   168,273
*
Neurocrine Biosciences, Inc.
  1,050   105,084
#*
NewLink Genetics Corp.
  540   886
*
NextGen Healthcare, Inc.
  7,770   107,692
*
Novocure, Ltd.
  1,128   91,887
*
NuVasive, Inc.
  3,653   281,719
*
ObsEva SA
  3,939   13,983
*
Omnicell, Inc.
  2,910   236,525
#*
OPKO Health, Inc.
  81,984   118,877
*
Option Care Health, Inc.
  15,003   62,713
*
OraSure Technologies, Inc.
  7,089   49,977
*
Orthofix Medical, Inc.
  2,488   107,631
*
Otonomy, Inc.
  4,367   13,974
 
Owens & Minor, Inc.
  9,088   56,891
*
Oxford Immunotec Global P.L.C.
  4,271   66,115
*
Pacira BioSciences, Inc.
  3,056   132,080
#
Patterson Cos., Inc.
  15,555   342,366
*
PDL BioPharma, Inc.
  20,904   68,774
*
Pennant Group, Inc.
  4,190   110,616
#*
Penumbra, Inc.
  718   125,980
#*
PetIQ, Inc.
  2,017   60,006
 
Phibro Animal Health Corp., Class A
  3,118   73,959
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
HEALTH CARE — (Continued)
*
PRA Health Sciences, Inc.
  6,179   $625,994
#*
Premier, Inc., Class A
  8,390   291,720
#*
Prestige Consumer Healthcare, Inc.
  8,493   344,476
*
Progenics Pharmaceuticals, Inc.
  4,762   21,239
*
Protagonist Therapeutics, Inc.
  3,345   25,255
*
Prothena Corp. P.L.C.
  5,425   66,022
*
Providence Service Corp. (The)
  1,714   111,153
 
Quest Diagnostics, Inc.
  6,881   761,520
*
Quidel Corp.
  3,607   277,018
*
R1 RCM, Inc.
  10,065   125,812
*
RadNet, Inc.
  5,706   128,784
*
Reata Pharmaceuticals Inc., Class A
  198   43,320
*
Repligen Corp.
  3,025   303,680
 
ResMed, Inc.
  6,035   959,384
*
Retrophin, Inc.
  4,493   69,462
*
Revance Therapeutics, Inc.
  5,715   127,845
#*
Rhythm Pharmaceuticals, Inc.
  2,859   50,147
*
Rigel Pharmaceuticals, Inc.
  17,905   40,465
#*
Rocket Pharmaceuticals, Inc.
  5,894   120,709
*
RTI Surgical Holdings, Inc.
  9,786   40,710
#*
Sage Therapeutics, Inc.
  1,801   119,370
#*
Sarepta Therapeutics, Inc.
  1,252   145,182
*
SeaSpine Holdings Corp.
  959   14,155
*
Seattle Genetics, Inc.
  3,143   340,670
*
Select Medical Holdings Corp.
  17,803   406,621
*
Sientra, Inc.
  4,064   24,628
#*
SIGA Technologies, Inc.
  3,400   17,510
 
Simulations Plus, Inc.
  2,208   71,937
*
Spectrum Pharmaceuticals, Inc.
  11,608   29,368
#*
STAAR Surgical Co.
  1,031   34,683
 
STERIS P.L.C.
  4,540   684,133
 
Stryker Corp.
  6,196   1,305,497
*
Supernus Pharmaceuticals, Inc.
  7,971   182,297
*
Surmodics, Inc.
  551   21,704
*
Syneos Health, Inc.
  9,646   591,879
#*
Synlogic, Inc.
  2,058   5,515
#*
Syros Pharmaceuticals, Inc.
  1,876   13,245
#*
Tactile Systems Technology, Inc.
  752   42,255
#*
Teladoc Health, Inc.
  2,994   304,520
 
Teleflex, Inc.
  1,724   640,483
#*
Tivity Health, Inc.
  7,570   163,853
#*
Triple-S Management Corp., Class B
  2,937   51,750
*
United Therapeutics Corp.
  7,208   704,005
 
US Physical Therapy, Inc.
  789   92,423
 
Utah Medical Products, Inc.
  296   27,253
*
Vanda Pharmaceuticals, Inc.
  6,449   82,225
*
Varex Imaging Corp.
  5,401   149,338
*
Varian Medical Systems, Inc.
  4,425   622,022
*
Veeva Systems, Inc., Class A
  2,151   315,358
#*
Verastem, Inc.
  3,540   6,655
*
Vertex Pharmaceuticals, Inc.
  2,086   473,626
#*
Vocera Communications, Inc.
  864   19,034
#*
Waters Corp.
  4,097   916,868
 
West Pharmaceutical Services, Inc.
  3,544   552,687
*
Wright Medical Group NV
  8,318   250,705
#*
Xencor, Inc.
  6,719   228,043
 
Zimmer Biomet Holdings, Inc.
  7,178   1,061,626
 
Zoetis, Inc.
  17,748   2,381,959
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
HEALTH CARE — (Continued)
#*
Zogenix, Inc.
  2,973   $149,750
TOTAL HEALTH CARE
      85,151,892
INDUSTRIALS — (13.5%)
 
3M Co.
  26,354   4,181,326
 
AAON, Inc.
  9,578   502,270
 
AAR Corp.
  5,387   229,378
 
ABM Industries, Inc.
  8,479   323,389
*
Acacia Research Corp.
  2,366   5,915
 
ACCO Brands Corp.
  18,062   156,056
 
Acuity Brands, Inc.
  5,701   671,977
#
ADT, Inc.
  4,684   29,041
*
Advanced Disposal Services, Inc.
  12,761   420,475
 
Advanced Drainage Systems, Inc.
  7,097   295,022
*
AECOM
  16,114   777,178
*
Aegion Corp.
  5,936   124,062
 
AGCO Corp.
  8,279   580,689
 
Air Lease Corp.
  17,658   758,235
*
Air Transport Services Group, Inc.
  9,198   192,882
 
Aircastle, Ltd.
  14,004   449,388
 
Alamo Group, Inc.
  1,500   186,840
 
Alaska Air Group, Inc.
  13,705   885,206
 
Albany International Corp., Class A
  4,589   320,175
#
Allegiant Travel Co.
  2,502   420,436
 
Allegion P.L.C.
  5,773   746,564
 
Allied Motion Technologies, Inc.
  1,625   74,490
 
Allison Transmission Holdings, Inc.
  14,113   623,795
 
Altra Industrial Motion Corp.
  6,844   227,631
 
AMERCO
  3,162   1,173,956
*
Ameresco, Inc., Class A
  3,516   67,472
#
American Airlines Group, Inc.
  23,572   632,672
*
American Woodmark Corp.
  2,938   322,152
 
AMETEK, Inc.
  13,465   1,308,125
#
AO Smith Corp.
  12,619   538,705
 
Apogee Enterprises, Inc.
  4,460   141,917
 
Applied Industrial Technologies, Inc.
  5,929   382,836
 
ARC Document Solutions, Inc.
  6,764   8,658
 
ArcBest Corp.
  4,841   108,003
 
Arconic, Inc.
  31,252   935,997
 
Arcosa, Inc.
  6,452   282,275
 
Argan, Inc.
  2,682   112,939
*
Armstrong Flooring, Inc.
  4,306   15,243
 
Armstrong World Industries, Inc.
  5,207   522,418
*
ASGN, Inc.
  7,408   501,448
 
Astec Industries, Inc.
  3,697   152,464
*
Astronics Corp.
  3,552   89,510
*
Astronics Corp., Class B
  835   21,063
*
Atkore International Group, Inc.
  6,051   240,225
*
Atlas Air Worldwide Holdings, Inc.
  4,083   91,255
*
Avis Budget Group, Inc.
  11,933   391,402
 
AZZ, Inc.
  3,732   153,982
 
Barnes Group, Inc.
  6,940   438,400
 
Barrett Business Services, Inc.
  1,545   127,972
*
Beacon Roofing Supply, Inc.
  10,519   348,284
 
BG Staffing, Inc.
  1,394   28,047
*
Blue Bird Corp.
  4,546   89,693
*
BMC Stock Holdings, Inc.
  10,755   313,885
 
Brady Corp., Class A
  6,607   365,830
#
Briggs & Stratton Corp.
  7,415   27,213
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
 
Brink's Co. (The)
  5,107   $429,958
*
Broadwind Energy, Inc.
  2,383   3,670
*
Builders FirstSource, Inc.
  18,911   468,898
*
CAI International, Inc.
  3,296   89,651
 
Carlisle Cos., Inc.
  6,318   987,061
*
Casella Waste Systems, Inc., Class A
  6,117   313,129
 
Caterpillar, Inc.
  27,830   3,655,470
*
CBIZ, Inc.
  7,764   209,628
*
CECO Environmental Corp.
  5,117   38,889
#
CH Robinson Worldwide, Inc.
  11,337   818,758
*
Chart Industries, Inc.
  5,165   330,457
#*
Cimpress P.L.C.
  3,363   402,316
 
Cintas Corp.
  6,055   1,689,163
*
CIRCOR International, Inc.
  3,070   127,497
*
Civeo Corp.
  23,478   31,461
*
Clean Harbors, Inc.
  8,583   705,694
#*
Colfax Corp.
  15,380   540,761
 
Columbus McKinnon Corp.
  2,711   94,858
 
Comfort Systems USA, Inc.
  5,828   270,419
*
Commercial Vehicle Group, Inc.
  7,440   37,126
*
Construction Partners, Inc., Class A
  4,406   73,933
*
Continental Building Products, Inc.
  6,680   247,093
 
Copa Holdings SA, Class A
  2,759   270,272
*
Copart, Inc.
  13,215   1,340,794
*
Cornerstone Building Brands, Inc.
  16,073   137,906
 
Costamare, Inc.
  18,803   149,108
*
CoStar Group, Inc.
  661   431,626
 
Covanta Holding Corp.
  16,529   247,604
*
Covenant Transportation Group, Inc., Class A
  2,890   36,660
*
CPI Aerostructures, Inc.
  1,046   6,904
 
CRA International, Inc.
  1,211   64,522
 
Crane Co.
  8,493   725,812
 
CSW Industrials, Inc.
  2,635   199,944
 
CSX Corp.
  35,426   2,704,421
 
Cummins, Inc.
  16,129   2,580,156
 
Curtiss-Wright Corp.
  6,017   875,052
 
Deere & Co.
  13,504   2,141,464
 
Delta Air Lines, Inc.
  36,528   2,036,071
 
Deluxe Corp.
  5,180   249,676
 
Donaldson Co., Inc.
  13,954   723,515
 
Douglas Dynamics, Inc.
  4,778   250,511
 
Dover Corp.
  10,328   1,175,843
*
Ducommun, Inc.
  1,848   75,639
*
DXP Enterprises, Inc.
  1,836   63,654
*
Dycom Industries, Inc.
  4,836   195,471
#*
Eagle Bulk Shipping, Inc.
  6,676   21,697
 
Eastern Co. (The)
  312   8,642
 
Eaton Corp. P.L.C.
  13,958   1,318,612
*
Echo Global Logistics, Inc.
  4,801   93,043
 
EMCOR Group, Inc.
  7,611   625,396
 
Emerson Electric Co.
  28,042   2,008,648
 
Encore Wire Corp.
  3,557   193,181
#*
Energy Recovery, Inc.
  4,025   41,095
 
Enerpac Tool Group Corp.
  6,320   146,055
 
EnerSys
  6,065   436,437
 
Ennis, Inc.
  3,943   82,251
 
EnPro Industries, Inc.
  3,288   192,151
 
Equifax, Inc.
  1,902   285,110
 
ESCO Technologies, Inc.
  3,769   361,673
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
 
Espey Manufacturing & Electronics Corp.
  200   $4,100
*
Evoqua Water Technologies Corp.
  5,531   110,454
 
Expeditors International of Washington, Inc.
  13,844   1,011,166
 
Exponent, Inc.
  6,644   483,484
 
Fastenal Co.
  33,730   1,176,502
 
Federal Signal Corp.
  10,280   330,605
 
FedEx Corp.
  12,171   1,760,413
 
Flowserve Corp.
  11,479   535,840
 
Fluor Corp.
  15,166   271,320
 
Forrester Research, Inc.
  2,047   84,684
 
Fortive Corp.
  13,529   1,013,728
 
Fortune Brands Home & Security, Inc.
  18,981   1,304,185
 
Forward Air Corp.
  4,408   288,504
*
Franklin Covey Co.
  1,696   53,933
 
Franklin Electric Co., Inc.
  6,549   377,812
*
FreightCar America, Inc.
  1,800   2,898
*
FTI Consulting, Inc.
  4,198   504,012
#*
Gardner Denver Holdings, Inc.
  28,508   1,006,617
#
GATX Corp.
  5,561   423,359
 
Genco Shipping & Trading, Ltd.
  4,464   35,132
*
Gencor Industries, Inc.
  1,048   11,748
*
Generac Holdings, Inc.
  9,570   991,356
*
Gibraltar Industries, Inc.
  4,567   248,993
*
GMS, Inc.
  6,537   174,669
 
Golden Ocean Group, Ltd.
  11,267   50,476
*
Goldfield Corp. (The)
  5,963   20,274
 
Gorman-Rupp Co. (The)
  4,380   161,666
*
GP Strategies Corp.
  2,129   28,337
 
Graco, Inc.
  18,078   960,846
#
GrafTech International, Ltd.
  18,235   195,662
 
Graham Corp.
  739   13,509
#
Granite Construction, Inc.
  8,076   219,102
*
Great Lakes Dredge & Dock Corp.
  8,897   93,152
 
Greenbrier Cos., Inc. (The)
  5,318   128,111
 
Griffon Corp.
  7,377   153,368
 
H&E Equipment Services, Inc.
  6,393   173,314
*
Harsco Corp.
  12,092   180,171
 
Hawaiian Holdings, Inc.
  7,630   212,724
*
HD Supply Holdings, Inc.
  23,170   943,946
#
Healthcare Services Group, Inc.
  7,940   203,264
 
Heartland Express, Inc.
  12,593   235,363
#
HEICO Corp.
  3,145   385,042
 
HEICO Corp., Class A
  4,738   455,559
 
Heidrick & Struggles International, Inc.
  2,552   72,528
 
Helios Technologies, Inc.
  4,776   203,076
*
Herc Holdings, Inc.
  4,935   197,992
*
Heritage-Crystal Clean, Inc.
  2,711   76,857
 
Herman Miller, Inc.
  9,288   358,981
*
Hertz Global Holdings, Inc.
  22,427   353,450
 
Hexcel Corp.
  11,394   845,663
*
Hill International, Inc.
  4,939   16,348
 
Hillenbrand, Inc.
  11,453   332,481
 
HNI Corp.
  7,531   270,890
 
Honeywell International, Inc.
  26,672   4,620,124
*
Houston Wire & Cable Co.
  3,000   11,940
*
Hub Group, Inc., Class A
  5,239   276,986
 
Hubbell, Inc.
  8,775   1,256,843
*
Hudson Global, Inc.
  230   2,762
 
Hurco Cos., Inc.
  876   27,419
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
*
Huron Consulting Group, Inc.
  3,546   $229,816
*
Huttig Building Products, Inc.
  812   1,177
 
Hyster-Yale Materials Handling, Inc.
  1,661   89,677
*
IAA Inc.
  12,630   596,894
 
ICF International, Inc.
  2,339   204,873
 
IDEX Corp.
  5,387   882,660
*
IES Holdings, Inc.
  2,130   53,271
 
Illinois Tool Works, Inc.
  11,931   2,087,686
 
Ingersoll-Rand P.L.C.
  7,760   1,033,865
*
InnerWorkings, Inc.
  10,091   41,878
*
Innovative Solutions & Support, Inc.
  400   2,280
 
Insperity, Inc.
  4,225   369,138
 
Insteel Industries, Inc.
  2,607   58,319
 
Interface, Inc.
  9,215   148,177
 
ITT, Inc.
  12,504   838,768
 
Jacobs Engineering Group, Inc.
  6,610   611,623
 
JB Hunt Transport Services, Inc.
  10,044   1,084,049
*
JELD-WEN Holding, Inc.
  15,474   369,519
*
JetBlue Airways Corp.
  31,686   628,333
 
John Bean Technologies Corp.
  5,117   578,170
 
Johnson Controls International P.L.C.
  37,886   1,494,603
 
Kadant, Inc.
  1,782   189,961
 
Kaman Corp.
  3,667   226,327
 
Kansas City Southern
  5,295   893,214
#
KAR Auction Services, Inc.
  18,085   380,147
 
Kelly Services, Inc., Class A
  6,650   118,104
 
Kennametal, Inc.
  12,657   396,038
 
Kforce, Inc.
  6,654   246,531
 
Kimball International, Inc., Class B
  8,202   154,034
*
Kirby Corp.
  6,080   445,603
#
Knight-Swift Transportation Holdings, Inc.
  20,724   768,446
 
Knoll, Inc.
  8,232   203,824
 
Korn Ferry
  7,932   325,053
 
Landstar System, Inc.
  4,726   523,404
*
Lawson Products, Inc.
  700   33,054
*
LB Foster Co., Class A
  1,400   23,744
 
Lennox International, Inc.
  1,620   377,428
 
Lincoln Electric Holdings, Inc.
  8,164   728,066
#
Lindsay Corp.
  518   51,816
*
LS Starrett Co. (The), Class A
  230   1,295
 
LSI Industries, Inc.
  3,205   21,313
*
Lydall, Inc.
  2,299   46,992
 
Macquarie Infrastructure Corp.
  13,465   593,941
*
Manitowoc Co., Inc. (The)
  5,671   81,946
 
ManpowerGroup, Inc.
  8,117   742,624
 
Marten Transport, Ltd.
  7,874   163,464
 
Masco Corp.
  11,232   533,745
*
Masonite International Corp.
  4,533   340,474
*
MasTec, Inc.
  12,037   695,137
 
Matson, Inc.
  8,426   303,420
 
Matthews International Corp., Class A
  5,311   198,207
 
McGrath RentCorp
  4,273   330,388
*
Mercury Systems, Inc.
  3,508   269,239
*
Meritor, Inc.
  17,090   374,442
*
Mesa Air Group, Inc.
  2,656   22,682
*
Middleby Corp. (The)
  7,127   799,364
 
Miller Industries, Inc.
  1,300   44,733
*
Mistras Group, Inc.
  3,322   36,775
 
Mobile Mini, Inc.
  6,113   255,157
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
 
Moog, Inc., Class A
  4,615   $413,550
*
MRC Global, Inc.
  12,769   143,779
 
MSA Safety, Inc.
  4,044   548,366
 
MSC Industrial Direct Co., Inc., Class A
  6,274   427,071
 
Mueller Industries, Inc.
  10,050   293,159
 
Mueller Water Products, Inc., Class A
  22,826   265,923
*
MYR Group, Inc.
  2,344   67,320
*
Navistar International Corp.
  9,648   353,310
 
Nielsen Holdings P.L.C.
  40,248   821,059
*
NL Industries, Inc.
  7,700   25,872
#
NN, Inc.
  5,147   44,419
 
Nordson Corp.
  6,463   1,091,342
 
Norfolk Southern Corp.
  12,257   2,552,030
*
Northwest Pipe Co.
  1,465   47,949
*
NOW, Inc.
  20,144   201,641
#*
NV5 Global, Inc.
  1,346   83,600
 
nVent Electric P.L.C.
  15,895   395,785
 
Old Dominion Freight Line, Inc.
  6,588   1,292,763
#
Omega Flex, Inc.
  981   103,397
*
Orion Group Holdings, Inc.
  3,661   15,816
 
Oshkosh Corp.
  9,487   816,261
 
Owens Corning
  15,288   924,771
 
PACCAR, Inc.
  35,480   2,632,971
*
PAM Transportation Services, Inc.
  751   40,111
 
Park Aerospace Corp.
  2,637   40,794
 
Parker-Hannifin Corp.
  9,381   1,835,768
 
Park-Ohio Holdings Corp.
  1,783   52,420
 
Patrick Industries, Inc.
  3,766   195,380
 
Patriot Transportation Holding, Inc.
  133   1,596
 
Pentair P.L.C.
  18,044   774,629
*
Performant Financial Corp.
  6,812   6,604
*
Perma-Pipe International Holdings, Inc.
  300   2,709
*
PGT Innovations, Inc.
  8,062   124,961
*
PICO Holdings, Inc.
  3,320   33,034
#
Pitney Bowes, Inc.
  35,018   130,967
 
Powell Industries, Inc.
  1,301   53,692
 
Preformed Line Products Co.
  889   48,557
 
Primoris Services Corp.
  8,827   188,280
*
Proto Labs, Inc.
  2,337   241,880
#
Quad/Graphics, Inc.
  7,683   32,653
 
Quanex Building Products Corp.
  5,988   106,107
 
Quanta Services, Inc.
  16,785   657,133
*
Radiant Logistics, Inc.
  4,889   23,614
 
Raven Industries, Inc.
  4,856   152,284
*
RBC Bearings, Inc.
  1,746   271,520
*
RCM Technologies, Inc.
  300   819
 
Regal Beloit Corp.
  6,577   516,031
 
Republic Services, Inc.
  20,710   1,968,485
*
Resideo Technologies, Inc.
  17,005   173,111
 
Resources Connection, Inc.
  5,098   77,617
 
REV Group, Inc.
  10,564   105,640
*
Rexnord Corp.
  13,889   453,476
 
Robert Half International, Inc.
  13,356   776,919
 
Rockwell Automation, Inc.
  7,273   1,393,943
#
Rollins, Inc.
  10,666   404,775
 
Roper Technologies, Inc.
  1,858   709,124
#
RR Donnelley & Sons Co.
  1,892   4,541
 
Rush Enterprises, Inc., Class A
  4,805   206,615
 
Ryder System, Inc.
  8,414   401,516
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
*
Saia, Inc.
  4,422   $385,156
 
Schneider National, Inc., Class B
  10,750   239,403
 
Scorpio Bulkers, Inc.
  8,594   31,540
*
Sensata Technologies Holding P.L.C.
  21,933   1,036,773
*
SIFCO Industries, Inc.
  157   705
 
Simpson Manufacturing Co., Inc.
  5,786   478,329
#*
SiteOne Landscape Supply, Inc.
  4,790   462,474
 
SkyWest, Inc.
  7,870   434,188
 
Snap-on, Inc.
  5,870   937,028
 
Southwest Airlines Co.
  46,362   2,548,983
*
SP Plus Corp.
  3,718   155,450
 
Spartan Motors, Inc.
  4,649   79,033
 
Spirit AeroSystems Holdings, Inc., Class A
  10,231   668,289
*
Spirit Airlines, Inc.
  9,581   393,492
*
SPX Corp.
  6,066   297,659
*
SPX FLOW, Inc.
  7,343   321,183
 
Standex International Corp.
  1,553   113,509
 
Stanley Black & Decker, Inc.
  7,968   1,269,541
 
Steelcase, Inc., Class A
  13,557   252,296
#*
Stericycle, Inc.
  8,516   533,783
*
Sterling Construction Co., Inc.
  2,955   38,932
#*
Sunrun, Inc.
  18,549   315,889
 
Systemax, Inc.
  5,216   123,358
*
Team, Inc.
  2,690   36,584
*
Teledyne Technologies, Inc.
  1,813   661,854
 
Tennant Co.
  3,041   234,826
 
Terex Corp.
  11,318   286,911
 
Tetra Tech, Inc.
  5,408   462,925
*
Textainer Group Holdings, Ltd.
  9,854   93,317
*
Thermon Group Holdings, Inc.
  3,864   91,577
 
Timken Co. (The)
  9,088   477,393
 
Titan International, Inc.
  8,488   24,276
*
Titan Machinery, Inc.
  4,124   50,354
 
Toro Co. (The)
  10,992   879,580
#*
TPI Composites, Inc.
  3,818   79,224
#
TransDigm Group, Inc.
  1,060   681,877
 
TransUnion
  7,673   703,614
#*
Trex Co., Inc.
  5,729   562,817
*
TriMas Corp.
  7,022   201,742
*
TriNet Group, Inc.
  9,757   556,734
#
Trinity Industries, Inc.
  19,945   405,482
 
Triton International, Ltd.
  12,587   472,642
 
Triumph Group, Inc.
  4,683   95,674
*
TrueBlue, Inc.
  6,368   139,523
*
Tutor Perini Corp.
  8,900   100,214
*
Twin Disc, Inc.
  1,100   10,725
*
Ultralife Corp.
  900   6,255
 
UniFirst Corp.
  1,551   316,295
 
Union Pacific Corp.
  27,184   4,877,353
*
United Airlines Holdings, Inc.
  27,064   2,024,387
 
United Parcel Service, Inc., Class B
  26,141   2,706,116
*
United Rentals, Inc.
  9,260   1,256,489
 
United Technologies Corp.
  36,129   5,426,576
#*
Univar Solutions, Inc.
  19,239   414,600
 
Universal Forest Products, Inc.
  11,574   554,395
 
Universal Logistics Holdings, Inc.
  3,206   54,181
 
US Ecology, Inc.
  4,032   217,768
#*
USA Truck, Inc.
  905   5,149
 
Valmont Industries, Inc.
  2,887   410,127
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
*
Vectrus, Inc.
  1,615   $90,036
 
Verisk Analytics, Inc.
  7,543   1,225,511
*
Veritiv Corp.
  2,207   31,075
 
Viad Corp.
  3,384   219,960
#*
Vicor Corp.
  2,134   106,807
*
Volt Information Sciences, Inc.
  639   1,610
 
VSE Corp.
  1,308   40,692
 
Wabash National Corp.
  10,621   123,204
*
WABCO Holdings, Inc.
  8,028   1,088,998
 
Wabtec Corp.
  9,507   702,187
 
Waste Management, Inc.
  19,722   2,400,167
#
Watsco, Inc.
  2,781   483,672
 
Watts Water Technologies, Inc., Class A
  3,668   365,736
*
Welbilt, Inc.
  15,412   232,567
 
Werner Enterprises, Inc.
  11,037   406,824
*
WESCO International, Inc.
  7,649   370,288
#*
Willdan Group, Inc.
  1,339   44,361
*
Willis Lease Finance Corp.
  856   50,761
*
WillScot Corp.
  12,485   235,342
 
Woodward, Inc.
  6,752   785,325
 
WW Grainger, Inc.
  4,089   1,237,618
#*
XPO Logistics, Inc.
  11,099   986,923
 
Xylem, Inc.
  9,382   766,134
#*
YRC Worldwide, Inc.
  2,988   6,753
TOTAL INDUSTRIALS
      180,936,174
INFORMATION TECHNOLOGY — (23.3%)
#*
2U, Inc.
  2,449   48,515
#*
3D Systems Corp.
  13,845   150,772
*
A10 Networks Inc.
  1,700   11,577
*
Acacia Communications, Inc.
  3,716   254,732
 
Accenture P.L.C., Class A
  24,451   5,017,590
*
ACI Worldwide, Inc.
  8,237   283,765
*
Adobe, Inc.
  4,495   1,578,374
 
ADTRAN, Inc.
  7,336   66,391
*
Advanced Energy Industries, Inc.
  3,527   246,678
*
Advanced Micro Devices, Inc.
  9,466   444,902
*
Agilysys, Inc.
  2,641   85,833
*
Akamai Technologies, Inc.
  10,003   933,780
*
Alarm.com Holdings, Inc.
  2,378   104,466
 
Alliance Data Systems Corp.
  6,529   671,116
*
Alpha & Omega Semiconductor, Ltd.
  2,773   33,803
#*
Altair Engineering, Inc., Class A
  1,766   65,254
#*
Alteryx, Inc., Class A
  585   81,590
*
Ambarella, Inc.
  4,675   276,479
 
Amdocs, Ltd.
  8,327   599,128
 
American Software, Inc., Class A
  2,466   36,817
*
Amkor Technology, Inc.
  42,762   481,072
 
Amphenol Corp., Class A
  12,151   1,208,660
*
Amtech Systems, Inc.
  531   2,724
 
Analog Devices, Inc.
  11,118   1,220,200
*
Anixter International, Inc.
  5,319   519,134
*
ANSYS, Inc.
  3,532   968,934
#*
Appfolio, Inc., Class A
  1,129   148,396
 
Apple, Inc.
  171,683   53,137,605
 
Applied Materials, Inc.
  41,246   2,391,856
#*
Applied Optoelectronics, Inc.
  1,137   12,848
*
Arista Networks, Inc.
  3,919   875,269
*
Arlo Technologies, Inc.
  6,293   26,871
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (Continued)
*
Arrow Electronics, Inc.
  8,572   $650,958
*
Aspen Technology, Inc.
  6,166   733,631
*
Atlassian Corp. P.L.C., Class A
  969   142,443
*
Autodesk, Inc.
  2,840   559,054
 
Automatic Data Processing, Inc.
  15,490   2,654,831
*
Avalara, Inc.
  844   71,858
#*
Avaya Holdings Corp.
  16,002   204,346
*
Avid Technology, Inc.
  4,744   39,873
 
Avnet, Inc.
  12,316   449,411
 
AVX Corp.
  23,635   479,081
*
Aware, Inc.
  2,169   7,808
*
Axcelis Technologies, Inc.
  5,425   131,014
*
AXT, Inc.
  5,700   22,230
 
Badger Meter, Inc.
  4,929   291,107
 
Bel Fuse, Inc., Class B
  1,369   23,711
 
Belden, Inc.
  6,061   298,625
 
Benchmark Electronics, Inc.
  7,549   232,358
#*
Black Knight, Inc.
  9,603   642,633
 
Blackbaud, Inc.
  5,088   398,543
 
Booz Allen Hamilton Holding Corp.
  14,453   1,127,912
*
Bottomline Technologies De, Inc.
  3,335   178,756
 
Broadcom, Inc.
  10,135   3,092,797
 
Broadridge Financial Solutions, Inc.
  7,308   870,748
#*
BroadVision, Inc.
  200   588
 
Brooks Automation, Inc.
  8,503   323,794
*
BSQUARE Corp.
  1,400   2,044
 
Cabot Microelectronics Corp.
  2,119   308,336
*
CACI International, Inc., Class A
  3,266   873,459
*
Cadence Design Systems, Inc.
  12,785   921,926
#*
CalAmp Corp.
  2,256   21,703
*
Calix, Inc.
  5,648   51,736
*
Cardtronics P.L.C., Class A
  8,186   368,370
 
Cass Information Systems, Inc.
  1,795   96,966
*
CCUR Holdings, Inc.
  1,400   6,160
 
CDK Global, Inc.
  8,207   440,552
 
CDW Corp.
  9,329   1,216,968
 
Cerence Inc.
  3,238   69,131
#*
Ceridian HCM Holding, Inc.
  2,349   172,158
*
CEVA, Inc.
  3,198   87,465
*
ChannelAdvisor Corp.
  1,349   12,627
*
Ciena Corp.
  13,957   567,631
*
Cirrus Logic, Inc.
  8,489   652,040
 
Cisco Systems, Inc.
  192,180   8,834,515
 
Citrix Systems, Inc.
  8,342   1,011,217
*
Clearfield, Inc.
  600   7,632
 
Cognex Corp.
  3,079   156,937
 
Cognizant Technology Solutions Corp., Class A
  22,678   1,391,976
#*
Coherent, Inc.
  2,590   366,304
 
Cohu, Inc.
  5,805   129,858
#*
CommScope Holding Co., Inc.
  20,226   246,454
 
Communications Systems, Inc.
  400   2,460
*
CommVault Systems, Inc.
  1,529   68,836
*
Computer Task Group, Inc.
  1,668   9,941
 
Comtech Telecommunications Corp.
  4,246   122,752
*
Conduent, Inc.
  30,112   128,879
 
CoreLogic, Inc.
  12,654   588,411
*
Cornerstone OnDemand Inc.
  2,231   131,183
#*
Coupa Software, Inc.
  663   106,842
*
Cree, Inc.
  10,015   465,597
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (Continued)
 
CSG Systems International, Inc.
  5,276   $262,850
 
CTS Corp.
  5,074   148,719
*
CyberOptics Corp.
  1,062   23,863
 
Cypress Semiconductor Corp.
  39,541   922,492
 
Daktronics, Inc.
  6,045   35,666
*
Dell Technologies, Inc., Class C
  3,458   168,647
#*
Diebold Nixdorf, Inc.
  2,124   24,447
*
Digi International, Inc.
  3,785   59,784
*
Digital Turbine, Inc.
  6,691   41,752
*
Diodes, Inc.
  7,824   404,031
#*
DocuSign, Inc.
  1,939   152,231
 
Dolby Laboratories, Inc., Class A
  5,762   399,537
*
Dropbox, Inc., Class A
  4,067   69,220
*
DSP Group, Inc.
  4,082   59,026
 
DXC Technology Co.
  25,421   810,421
#
Ebix, Inc.
  4,651   160,134
*
EchoStar Corp., Class A
  5,493   219,198
*
EMCORE Corp.
  2,998   10,103
*
Endurance International Group Holdings, Inc.
  19,562   92,333
#*
Enphase Energy Inc.
  5,961   187,891
 
Entegris, Inc.
  21,829   1,129,869
*
Envestnet, Inc.
  3,280   258,694
*
EPAM Systems, Inc.
  2,074   473,162
*
ePlus, Inc.
  2,309   184,073
*
Euronet Worldwide, Inc.
  5,438   857,246
 
EVERTEC, Inc.
  9,562   320,996
*
Evo Payments, Inc., Class A
  2,456   68,056
*
ExlService Holdings, Inc.
  4,354   318,321
*
F5 Networks, Inc.
  7,244   884,637
*
Fabrinet
  4,857   306,185
*
Fair Isaac Corp.
  2,573   1,035,324
*
FARO Technologies, Inc.
  2,355   121,659
 
Fidelity National Information Services, Inc.
  16,431   2,360,477
*
FireEye, Inc.
  2,292   36,626
#*
First Solar, Inc.
  10,059   498,725
*
Fiserv, Inc.
  11,924   1,414,306
#*
Fitbit, Inc., Class A
  26,095   170,139
*
FleetCor Technologies, Inc.
  5,525   1,741,646
*
Flex, Ltd.
  65,335   859,155
 
FLIR Systems, Inc.
  14,873   766,554
*
FormFactor, Inc.
  10,578   267,729
*
Fortinet, Inc.
  5,439   627,443
*
Frequency Electronics, Inc.
  400   3,700
*
Gartner, Inc.
  3,950   635,081
 
Genpact, Ltd.
  24,362   1,078,506
 
Global Payments, Inc.
  5,148   1,006,177
*
Globant SA
  3,600   441,720
*
GoDaddy, Inc., Class A
  5,914   397,480
*
GSI Technology, Inc.
  1,378   11,176
#*
GTT Communications, Inc.
  7,469   88,508
#*
Guidewire Software, Inc.
  3,721   418,612
 
Hackett Group, Inc. (The)
  7,650   118,231
*
Harmonic, Inc.
  12,292   86,474
 
Hewlett Packard Enterprise Co.
  99,939   1,392,150
 
HP, Inc.
  52,291   1,114,844
*
HubSpot, Inc.
  762   137,876
*
Ichor Holdings, Ltd.
  4,545   151,758
#*
II-VI, Inc.
  13,298   447,478
*
Immersion Corp.
  4,084   29,895
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (Continued)
#*
Infinera Corp.
  27,543   $202,992
*
Inphi Corp.
  1,905   144,704
*
Insight Enterprises, Inc.
  5,305   349,440
 
Intel Corp.
  240,711   15,388,654
 
InterDigital, Inc.
  4,536   250,614
#*
Internap Corp.
  2,275   2,275
 
International Business Machines Corp.
  41,120   5,910,178
 
Intuit, Inc.
  5,933   1,663,495
*
IPG Photonics Corp.
  4,604   587,793
*
Itron, Inc.
  5,664   463,032
#
j2 Global, Inc.
  7,345   704,092
 
Jabil, Inc.
  24,596   956,538
 
Jack Henry & Associates, Inc.
  3,250   486,005
 
Juniper Networks, Inc.
  32,523   746,078
 
KBR, Inc.
  22,339   607,621
 
KEMET Corp.
  9,197   239,490
*
Key Tronic Corp.
  700   4,060
*
Keysight Technologies, Inc.
  12,353   1,148,705
*
Kimball Electronics, Inc.
  4,412   71,386
 
KLA Corp.
  13,071   2,166,388
*
Knowles Corp.
  13,964   275,510
 
Kulicke & Soffa Industries, Inc.
  10,024   259,521
*
KVH Industries, Inc.
  2,284   23,502
 
Lam Research Corp.
  12,865   3,836,472
*
Lattice Semiconductor Corp.
  13,214   245,780
*
Limelight Networks, Inc.
  10,418   51,986
 
Littelfuse, Inc.
  2,767   489,510
*
LiveRamp Holdings, Inc.
  9,016   362,804
 
LogMeIn, Inc.
  7,911   680,109
#*
Lumentum Holdings, Inc.
  7,258   549,939
#*
MACOM Technology Solutions Holdings, Inc.
  9,413   267,517
*
MagnaChip Semiconductor Corp.
  3,475   46,739
*
Manhattan Associates, Inc.
  7,823   668,554
 
Marvell Technology Group, Ltd.
  31,228   750,721
 
Mastercard, Inc., Class A
  33,547   10,598,839
 
Maxim Integrated Products, Inc.
  15,883   954,886
 
MAXIMUS, Inc.
  8,637   619,705
*
MaxLinear, Inc.
  7,572   147,578
 
Methode Electronics, Inc.
  6,969   228,235
#
Microchip Technology, Inc.
  15,042   1,466,294
*
Micron Technology, Inc.
  62,936   3,341,272
 
Microsoft Corp.
  273,545   46,565,565
*
MicroStrategy, Inc., Class A
  1,129   171,642
*
Mimecast, Ltd.
  1,199   61,185
 
MKS Instruments, Inc.
  8,036   842,334
#*
MongoDB, Inc.
  399   65,400
 
Monolithic Power Systems, Inc.
  2,213   378,799
 
Motorola Solutions, Inc.
  6,014   1,064,478
 
MTS Systems Corp.
  2,499   126,674
*
Napco Security Technologies, Inc.
  990   29,106
 
National Instruments Corp.
  10,494   468,347
*
NCR Corp.
  15,375   518,445
*
NeoPhotonics Corp.
  3,479   26,545
 
NetApp, Inc.
  15,602   833,147
*
NETGEAR, Inc.
  5,417   139,325
*
Netscout Systems, Inc.
  11,956   307,389
*
New Relic, Inc.
  959   63,304
 
NIC, Inc.
  9,323   183,943
 
NortonLifeLock Inc.
  24,374   692,709
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (Continued)
*
Novanta, Inc.
  3,833   $347,768
*
Nuance Communications, Inc.
  14,552   275,324
#*
Nutanix, Inc., Class A
  1,594   51,757
 
NVE Corp.
  473   34,699
 
NVIDIA Corp.
  9,113   2,154,587
#*
Okta, Inc.
  828   106,025
*
ON Semiconductor Corp.
  36,110   835,946
*
OneSpan, Inc.
  4,122   68,508
*
Onto Innovation Inc.
  7,973   302,496
 
Oracle Corp.
  104,371   5,474,259
*
OSI Systems, Inc.
  2,831   244,995
*
Palo Alto Networks, Inc.
  658   154,485
*
PAR Technology Corp.
  700   23,821
 
Paychex, Inc.
  11,081   950,417
*
Paycom Software, Inc.
  3,694   1,175,283
*
Paylocity Holding Corp.
  2,071   293,854
*
PayPal Holdings, Inc.
  10,382   1,182,406
 
PC Connection, Inc.
  4,626   230,560
 
PC-Tel, Inc.
  700   5,635
#*
PDF Solutions, Inc.
  3,755   59,179
 
Pegasystems, Inc.
  1,997   172,161
*
Perceptron, Inc.
  800   4,888
*
Perficient, Inc.
  5,213   259,086
 
Perspecta, Inc.
  24,797   696,052
*
PFSweb, Inc.
  1,937   8,348
*
Photronics, Inc.
  9,051   115,672
#
Plantronics, Inc.
  5,208   149,574
*
Plexus Corp.
  4,564   324,592
 
Power Integrations, Inc.
  3,306   322,897
#*
Powerfleet, Inc.
  100   754
*
PRGX Global, Inc.
  2,000   7,920
 
Progress Software Corp.
  5,856   264,281
*
Proofpoint, Inc.
  880   108,073
*
PTC, Inc.
  3,565   296,323
*
Pure Storage, Inc., Class A
  10,661   189,766
 
QAD, Inc., Class A
  1,197   61,586
 
QAD, Inc., Class B
  92   3,450
*
Qorvo, Inc.
  8,628   913,360
 
QUALCOMM, Inc.
  41,894   3,573,977
*
Qualys, Inc.
  4,010   343,817
*
Rambus, Inc.
  17,769   281,994
*
RealNetworks, Inc.
  4,961   6,549
*
RealPage, Inc.
  5,404   315,323
*
Ribbon Communications, Inc.
  13,426   37,861
 
Richardson Electronics, Ltd.
  900   4,743
#*
RingCentral, Inc., Class A
  851   174,949
*
Rogers Corp.
  1,882   221,606
*
Rosetta Stone, Inc.
  2,177   37,336
 
Sabre Corp.
  34,255   737,853
*
salesforce.com, Inc.
  6,166   1,124,123
*
Sanmina Corp.
  10,807   344,095
 
Sapiens International Corp. NV
  5,133   130,532
*
ScanSource, Inc.
  4,044   141,095
 
Science Applications International Corp.
  6,654   584,022
 
Seagate Technology P.L.C.
  21,865   1,246,086
*
Semtech Corp.
  6,025   290,345
*
ServiceNow, Inc.
  712   240,820
*
ServiceSource International, Inc.
  4,300   8,170
*
Silicon Laboratories, Inc.
  2,427   238,598
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (Continued)
 
Skyworks Solutions, Inc.
  12,725   $1,439,834
*
SMART Global Holdings, Inc.
  3,473   104,746
*
SolarEdge Technologies, Inc.
  6,939   679,051
*
Splunk, Inc.
  1,083   168,147
*
SPS Commerce, Inc.
  2,414   137,188
*
Square, Inc., Class A
  1,700   126,973
 
SS&C Technologies Holdings, Inc.
  14,214   895,624
*
StarTek, Inc.
  2,316   17,671
#*
Stratasys, Ltd.
  9,417   169,318
*
Super Micro Computer, Inc.
  1,972   55,137
*
Sykes Enterprises, Inc.
  8,051   270,433
*
Synaptics, Inc.
  5,180   345,454
*
Synchronoss Technologies, Inc.
  4,424   24,177
 
SYNNEX Corp.
  6,842   942,554
*
Synopsys, Inc.
  5,599   825,908
 
TE Connectivity, Ltd.
  15,525   1,431,094
*
Tech Data Corp.
  6,512   937,337
*
Telenav, Inc.
  4,400   19,756
*
Teradata Corp.
  10,594   257,858
 
Teradyne, Inc.
  21,941   1,447,887
 
TESSCO Technologies, Inc.
  672   4,166
 
Texas Instruments, Inc.
  43,468   5,244,414
 
TiVo Corp.
  14,680   106,870
#*
Trade Desk, Inc. (The), Class A
  931   250,607
 
TransAct Technologies, Inc.
  400   4,208
*
Trimble, Inc.
  10,863   461,895
 
TTEC Holdings, Inc.
  7,261   288,407
#*
TTM Technologies, Inc.
  19,870   285,929
#*
Twilio, Inc., Class A
  4,028   500,842
*
Tyler Technologies, Inc.
  731   236,610
#
Ubiquiti, Inc.
  2,748   449,078
*
Ultra Clean Holdings, Inc.
  5,638   129,730
*
Unisys Corp.
  6,481   62,931
 
Universal Display Corp.
  1,757   309,531
*
Upland Software, Inc.
  318   12,415
*
Veeco Instruments, Inc.
  7,204   91,851
*
Verint Systems, Inc.
  6,720   389,760
*
VeriSign, Inc.
  4,227   879,808
*
ViaSat, Inc.
  5,454   347,147
*
Viavi Solutions, Inc.
  18,540   261,414
*
Virtusa Corp.
  3,383   140,868
 
Visa, Inc., Class A
  64,509   12,835,356
 
Vishay Intertechnology, Inc.
  22,767   461,942
*
Vishay Precision Group, Inc.
  793   27,390
#*
VMware, Inc., Class A
  2,289   338,909
 
Wayside Technology Group, Inc.
  200   3,210
 
Western Digital Corp.
  21,435   1,403,992
#
Western Union Co. (The)
  28,699   772,003
*
WEX, Inc.
  4,358   945,337
*
Workday, Inc., Class A
  696   128,502
*
Xerox Holdings Corp.
  22,478   799,542
 
Xilinx, Inc.
  10,402   878,761
 
Xperi Corp.
  6,862   110,410
*
Zebra Technologies Corp., Class A
  4,608   1,101,404
*
Zendesk, Inc.
  863   74,563
*
Zix Corp.
  5,219   35,228
TOTAL INFORMATION TECHNOLOGY
      310,888,548
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
MATERIALS — (4.4%)
*
AdvanSix, Inc.
  5,953   $111,440
*
AgroFresh Solutions, Inc.
  3,300   7,722
 
Air Products & Chemicals, Inc.
  5,648   1,348,234
#*
AK Steel Holding Corp.
  49,152   135,659
#
Albemarle Corp.
  12,823   1,029,430
*
Alcoa Corp.
  22,972   320,459
#*
Allegheny Technologies, Inc.
  20,116   347,001
*
Amcor, PLC.
  74,077   784,475
 
American Vanguard Corp.
  4,707   87,927
*
Ampco-Pittsburgh Corp.
  1,853   5,374
 
AptarGroup, Inc.
  8,090   934,476
 
Ashland Global Holdings, Inc.
  5,914   437,518
 
Avery Dennison Corp.
  8,318   1,091,654
*
Axalta Coating Systems, Ltd.
  33,036   951,767
 
Balchem Corp.
  3,382   365,324
 
Ball Corp.
  23,749   1,714,203
*
Berry Global Group, Inc.
  18,531   787,938
 
Boise Cascade Co.
  6,896   249,635
 
Cabot Corp.
  7,933   316,130
 
Carpenter Technology Corp.
  7,820   310,767
 
Celanese Corp.
  12,318   1,274,913
*
Century Aluminum Co.
  13,837   73,198
 
CF Industries Holdings, Inc.
  11,708   471,598
 
Chase Corp.
  1,440   132,437
 
Chemours Co. (The)
  19,641   272,421
*
Clearwater Paper Corp.
  3,333   93,991
#
Cleveland-Cliffs, Inc.
  36,208   254,180
*
Coeur Mining, Inc.
  38,110   229,803
 
Commercial Metals Co.
  18,623   382,703
#
Compass Minerals International, Inc.
  5,350   309,711
*
Core Molding Technologies, Inc.
  1,483   4,686
*
Corteva, Inc.
  37,596   1,087,276
*
Crown Holdings, Inc.
  15,246   1,128,661
 
Domtar Corp.
  9,965   346,981
*
Dow, Inc.
  31,505   1,451,435
 
DuPont de Nemours, Inc.
  20,130   1,030,253
 
Eagle Materials, Inc.
  3,770   343,711
 
Eastman Chemical Co.
  12,106   862,795
 
Ecolab, Inc.
  5,740   1,125,671
*
Element Solutions, Inc.
  41,494   485,480
*
Ferro Corp.
  15,399   210,658
*
Ferroglobe P.L.C.
  28,473   24,268
*
Flotek Industries, Inc.
  9,677   16,451
 
FMC Corp.
  9,353   894,053
 
Freeport-McMoRan, Inc.
  74,983   832,311
 
Friedman Industries, Inc.
  400   2,348
 
FutureFuel Corp.
  5,733   62,834
*
GCP Applied Technologies, Inc.
  11,750   261,085
 
Gold Resource Corp.
  7,506   41,283
 
Graphic Packaging Holding Co.
  45,360   708,977
 
Greif, Inc., Class A
  5,069   204,889
 
Greif, Inc., Class B
  1,804   85,510
 
Hawkins, Inc.
  1,749   73,073
 
Haynes International, Inc.
  2,316   62,092
#
HB Fuller Co.
  7,056   326,058
 
Hecla Mining Co.
  75,093   227,532
 
Huntsman Corp.
  35,873   737,549
*
Ingevity Corp.
  4,396   286,707
 
Innophos Holdings, Inc.
  2,975   95,081
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
MATERIALS — (Continued)
 
Innospec, Inc.
  3,417   $344,194
#
International Flavors & Fragrances, Inc.
  4,578   600,222
 
International Paper Co.
  30,955   1,260,488
*
Intrepid Potash, Inc.
  24,709   58,807
 
Kaiser Aluminum Corp.
  1,125   112,669
*
Koppers Holdings, Inc.
  2,199   69,005
*
Kraton Corp.
  5,299   87,169
 
Kronos Worldwide, Inc.
  11,641   126,188
 
Linde P.L.C.
  8,966   1,821,264
#*
Livent Corp.
  23,225   218,547
 
Louisiana-Pacific Corp.
  15,390   472,165
*
LSB Industries, Inc.
  2,432   7,345
 
LyondellBasell Industries NV, Class A
  31,929   2,485,992
 
Martin Marietta Materials, Inc.
  3,289   867,638
 
Materion Corp.
  2,606   141,506
 
Mercer International, Inc.
  9,632   106,048
 
Minerals Technologies, Inc.
  5,497   297,553
 
Mosaic Co. (The)
  25,117   498,321
 
Myers Industries, Inc.
  5,581   90,301
 
Neenah, Inc.
  3,401   226,643
 
NewMarket Corp.
  760   334,111
 
Newmont Corp.
  22,397   1,009,209
#
Nexa Resources SA
  8,788   69,689
 
Nucor Corp.
  26,786   1,272,067
 
O-I Glass, Inc.
  24,514   309,367
 
Olympic Steel, Inc.
  1,248   18,346
*
OMNOVA Solutions, Inc.
  6,502   65,735
 
Packaging Corp. of America
  9,677   926,573
 
PH Glatfelter Co.
  8,364   139,679
 
PolyOne Corp.
  11,954   396,634
 
PPG Industries, Inc.
  19,780   2,370,435
*
PQ Group Holdings, Inc.
  800   12,248
#
Quaker Chemical Corp.
  1,334   221,471
 
Rayonier Advanced Materials, Inc.
  9,093   28,006
 
Reliance Steel & Aluminum Co.
  7,877   904,280
*
Resolute Forest Products, Inc.
  12,875   44,934
 
Royal Gold, Inc.
  5,963   687,653
 
RPM International, Inc.
  11,333   808,836
*
Ryerson Holding Corp.
  2,729   27,972
 
Schnitzer Steel Industries, Inc., Class A
  3,400   54,672
 
Scotts Miracle-Gro Co. (The)
  5,681   697,286
 
Sealed Air Corp.
  10,249   363,839
#
Sensient Technologies Corp.
  7,028   419,923
 
Sherwin-Williams Co. (The)
  3,607   2,009,063
 
Silgan Holdings, Inc.
  18,127   559,399
 
Sonoco Products Co.
  13,576   775,733
#
Southern Copper Corp.
  6,190   233,239
 
Steel Dynamics, Inc.
  34,141   1,020,133
 
Stepan Co.
  3,841   378,915
*
Summit Materials, Inc., Class A
  19,243   422,769
 
SunCoke Energy, Inc.
  13,379   78,669
*
Synalloy Corp.
  498   6,389
 
Tecnoglass, Inc.
  6,128   46,389
*
TimkenSteel Corp.
  6,176   39,403
*
Trecora Resources
  2,437   16,498
 
Tredegar Corp.
  4,800   97,680
 
Trinseo SA
  6,272   180,132
*
Tronox Holdings P.L.C., Class A
  20,100   170,046
*
UFP Technologies, Inc.
  1,356   63,230
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
MATERIALS — (Continued)
 
United States Lime & Minerals, Inc.
  600   $53,850
#
United States Steel Corp.
  29,019   263,202
*
Universal Stainless & Alloy Products, Inc.
  900   11,925
#*
US Concrete, Inc.
  2,301   81,893
 
Valvoline, Inc.
  18,327   386,333
*
Venator Materials P.L.C
  14,175   38,839
*
Verso Corp., Class A
  6,331   106,677
 
Vulcan Materials Co.
  6,953   984,753
 
Warrior Met Coal, Inc.
  9,650   181,999
 
Westlake Chemical Corp.
  8,070   493,884
 
WestRock Co.
  19,183   748,137
 
Worthington Industries, Inc.
  8,015   294,792
 
WR Grace & Co.
  6,853   461,618
TOTAL MATERIALS
      59,132,415
REAL ESTATE — (0.4%)
#*
Altisource Portfolio Solutions SA
  1,456   27,082
*
CBRE Group, Inc., Class A
  23,898   1,458,973
 
Consolidated-Tomoka Land Co.
  400   25,384
#*
Five Point Holdings LLC, Class A
  3,432   27,833
*
Forestar Group, Inc.
  5,762   116,796
*
FRP Holdings, Inc.
  1,450   68,643
 
Griffin Industrial Realty, Inc.
  375   15,187
*
Howard Hughes Corp. (The)
  4,563   555,226
 
Jones Lang LaSalle, Inc.
  6,012   1,020,958
 
Kennedy-Wilson Holdings, Inc.
  17,337   373,786
*
Marcus & Millichap, Inc.
  7,113   251,800
 
Newmark Group, Inc., Class A
  22,861   269,074
*
Rafael Holdings, Inc., Class B
  1,879   38,031
 
RE/MAX Holdings, Inc., Class A
  3,265   124,984
#
Realogy Holdings Corp.
  21,100   223,449
 
RMR Group, Inc. (The), Class A
  2,582   118,953
#*
St Joe Co. (The)
  9,888   207,747
*
Stratus Properties, Inc.
  889   26,448
*
Tejon Ranch Co.
  3,235   52,083
TOTAL REAL ESTATE
      5,002,437
UTILITIES — (2.6%)
 
AES Corp.
  25,282   502,101
 
ALLETE, Inc.
  3,527   294,434
 
Alliant Energy Corp.
  8,610   511,090
 
Ameren Corp.
  9,183   753,465
 
American Electric Power Co., Inc.
  6,317   658,358
 
American States Water Co.
  4,161   368,498
 
American Water Works Co., Inc.
  6,549   891,974
*
AquaVenture Holdings, Ltd.
  3,728   100,656
 
Artesian Resources Corp., Class A
  900   33,948
#*
Atlantic Power Corp.
  16,242   38,818
 
Atlantica Yield P.L.C.
  10,848   311,609
 
Atmos Energy Corp.
  4,318   505,336
#
Avangrid, Inc.
  3,794   202,068
 
Avista Corp.
  6,403   325,593
 
Black Hills Corp.
  3,864   320,828
 
California Water Service Group
  4,692   246,612
 
CenterPoint Energy, Inc.
  16,294   431,465
 
Chesapeake Utilities Corp.
  1,966   189,149
 
Clearway Energy, Inc., Class A
  4,404   91,119
 
Clearway Energy, Inc., Class C
  7,141   151,175
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
UTILITIES — (Continued)
 
CMS Energy Corp.
  10,286   $704,694
 
Consolidated Edison, Inc.
  11,520   1,082,880
 
Consolidated Water Co., Ltd.
  959   16,409
 
Dominion Energy, Inc.
  9,808   841,036
 
DTE Energy Co.
  6,782   899,361
 
Duke Energy Corp.
  9,590   936,272
 
Edison International
  12,819   981,294
 
El Paso Electric Co.
  4,149   282,505
 
Entergy Corp.
  7,208   947,996
 
Essential Utilities, Inc.
  8,009   415,987
 
Evergy, Inc.
  9,451   681,984
 
Eversource Energy
  11,729   1,084,229
 
Exelon Corp.
  12,417   590,925
 
FirstEnergy Corp.
  19,283   979,384
 
Genie Energy, Ltd., Class B
  1,601   11,575
#
Hawaiian Electric Industries, Inc.
  7,563   369,906
 
IDACORP, Inc.
  3,183   357,101
 
MDU Resources Group, Inc.
  21,189   627,406
 
MGE Energy, Inc.
  3,981   318,201
 
Middlesex Water Co.
  2,438   159,104
 
National Fuel Gas Co.
  5,754   248,515
 
New Jersey Resources Corp.
  9,580   395,846
 
NextEra Energy, Inc.
  6,131   1,644,334
 
NiSource, Inc.
  13,217   387,390
 
Northwest Natural Holding Co.
  2,744   201,355
 
NorthWestern Corp.
  4,909   377,846
 
NRG Energy, Inc.
  14,705   542,467
 
OGE Energy Corp.
  10,740   492,429
 
ONE Gas, Inc.
  3,622   342,279
 
Ormat Technologies, Inc.
  6,540   518,360
 
Otter Tail Corp.
  5,140   275,298
 
Pattern Energy Group, Inc., Class A
  9,652   259,735
#*
PG&E Corp.
  8,497   129,239
 
Pinnacle West Capital Corp.
  4,285   418,602
#
PNM Resources, Inc.
  7,457   404,393
 
Portland General Electric Co.
  5,879   361,559
 
PPL Corp.
  25,418   919,877
 
Public Service Enterprise Group, Inc.
  17,716   1,048,787
 
RGC Resources, Inc.
  150   3,798
 
Sempra Energy
  3,598   577,983
 
SJW Group
  2,694   197,605
#
South Jersey Industries, Inc.
  8,752   269,562
 
Southern Co. (The)
  13,331   938,502
 
Southwest Gas Holdings, Inc.
  3,399   256,659
#
Spark Energy, Inc., Class A
  1,000   9,490
 
Spire, Inc.
  4,198   353,975
 
TerraForm Power, Inc., Class A
  23,510   425,296
 
UGI Corp.
  8,314   345,779
 
Unitil Corp.
  1,532   94,509
 
Vistra Energy Corp.
  42,474   956,515
 
WEC Energy Group, Inc.
  10,947   1,093,496
 
Xcel Energy, Inc.
  6,589   455,893
U.S. Social Core Equity 2 Portfolio
CONTINUED
      Shares   Value†
UTILITIES — (Continued)
 
York Water Co. (The)
  1,162   $55,032
TOTAL UTILITIES
      34,218,950
TOTAL COMMON STOCKS
      1,298,062,525
PREFERRED STOCKS — (0.0%)
COMMUNICATION SERVICES — (0.0%)
 
GCI Liberty, Inc.
  1,025   27,931
TOTAL INVESTMENT SECURITIES

(Cost $884,394,481)
      1,298,090,456
    
         
TEMPORARY CASH INVESTMENTS — (0.3%)
 
State Street Institutional U.S. Government Money Market Fund 1.518%
  4,110,039 4,110,039
SECURITIES LENDING COLLATERAL — (2.5%)
@§
The DFA Short Term Investment Fund
  2,830,576 32,755,431
TOTAL INVESTMENTS — (100.0%)  
(Cost $921,254,234)^^
    $1,334,955,926
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Common Stocks              
Communication Services
$105,621,238   —   —   $105,621,238
Consumer Discretionary
163,022,084   $1,289   —   163,023,373
Consumer Staples
65,589,621   —   —   65,589,621
Energy
62,813,211   —   —   62,813,211
Financials
225,679,840   4,826   —   225,684,666
Health Care
85,142,147   9,745   —   85,151,892
Industrials
180,936,174   —   —   180,936,174
Information Technology
310,888,548   —   —   310,888,548
Materials
59,132,415   —   —   59,132,415
Real Estate
5,002,437   —   —   5,002,437
Utilities
34,218,950   —   —   34,218,950
Preferred Stocks              
Communication Services
27,931   —   —   27,931
Temporary Cash Investments
4,110,039   —   —   4,110,039
Securities Lending Collateral
—   32,755,431   —   32,755,431
TOTAL
$1,302,184,635   $32,771,291   —   $1,334,955,926
U.S. Sustainability Core 1 Portfolio
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
    
      Shares   Value†
COMMON STOCKS — (98.0%)
COMMUNICATION SERVICES — (9.6%)
 
A.H. Belo Corp., Class A
  200   $584
 
Activision Blizzard, Inc.
  53,407   3,123,241
*
Alphabet, Inc., Class A
  19,325   27,688,473
*
Alphabet, Inc., Class C
  19,923   28,574,164
*
Altice USA, Inc., Class A
  47,079   1,288,081
#
AMC Entertainment Holdings, Inc., Class A
  7,693   50,158
#*
AMC Networks, Inc., Class A
  8,450   309,186
#*
ANGI Homeservices, Inc., Class A
  9,304   74,711
#
Anterix, Inc.
  1,027   47,714
 
AT&T, Inc.
  339,989   12,790,386
 
ATN International, Inc.
  3,315   191,839
#*
AutoWeb, Inc.
  864   1,875
*
Ballantyne Strong, Inc.
  1,448   5,003
 
Beasley Broadcast Group, Inc., Class A
  1,101   4,156
*
Boingo Wireless, Inc.
  8,699   97,777
 
Cable One, Inc.
  1,065   1,814,792
*
Care.com, Inc.
  3,200   47,904
*
Cargurus, Inc.
  6,312   225,023
#*
Cars.com, Inc.
  16,889   197,095
*
Central European Media Enterprises, Ltd., Class A
  13,095   58,535
*
Charter Communications, Inc., Class A
  13,951   7,219,084
#*
Cincinnati Bell, Inc.
  6,277   86,058
#
Cinemark Holdings, Inc.
  26,577   837,441
*
Clear Channel Outdoor Holdings, Inc.
  6,385   17,431
 
Cogent Communications Holdings, Inc.
  5,178   367,276
 
Comcast Corp., Class A
  365,646   15,792,251
*
comScore, Inc.
  6,024   23,795
 
Consolidated Communications Holdings, Inc.
  14,002   67,630
#*
Daily Journal Corp.
  490   134,750
*
DHI Group, Inc.
  2,357   6,600
#*
Discovery, Inc., Class A
  27,789   813,106
*
Discovery, Inc., Class C
  59,297   1,646,678
*
DISH Network Corp., Class A
  41,651   1,531,091
*
Electronic Arts, Inc.
  21,470   2,317,042
 
Emerald Expositions Events, Inc.
  2,613   27,254
#
Entercom Communications Corp., Class A
  25,371   100,723
 
Entravision Communications Corp., Class A
  13,516   30,006
 
EW Scripps Co. (The), Class A
  22,068   267,906
*
Facebook, Inc., Class A
  162,322   32,774,435
 
Fox Corp., Class A
  41,763   1,548,572
*
Fox Corp., Class B
  30,733   1,116,530
#*
Frontier Communications Corp.
  5,677   3,132
#
Gannett Co., Inc.
  21,372   130,583
*
GCI Liberty, Inc., Class A
  9,281   679,184
#*
Gogo Inc.
  4,600   24,196
*
Gray Television, Inc.
  31,074   630,181
*
Hemisphere Media Group, Inc.
  1,000   13,440
*
IAC/InterActiveCorp
  5,588   1,361,181
*
IDT Corp., Class B
  3,461   26,165
*
IMAX Corp.
  7,797   128,962
#*
Intelsat SA
  24,213   82,566
 
Interpublic Group of Cos., Inc. (The)
  141,079   3,202,493
*
Iridium Communications, Inc.
  18,004   460,002
 
John Wiley & Sons, Inc., Class A
  14,877   648,935
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
COMMUNICATION SERVICES — (Continued)
 
John Wiley & Sons, Inc., Class B
  200   $8,674
*
Liberty Broadband Corp., Class A
  2,289   301,210
*
Liberty Broadband Corp., Class C
  14,716   1,956,198
*
Liberty Latin America, Ltd., Class A
  12,581   209,851
*
Liberty Latin America, Ltd., Class C
  22,922   386,236
*
Liberty Media Corp.-Liberty Braves, Class A
  527   15,415
*
Liberty Media Corp.-Liberty Braves, Class C
  2,704   78,822
*
Liberty Media Corp.-Liberty Formula One, Class A
  3,337   148,663
*
Liberty Media Corp.-Liberty Formula One, Class C
  24,015   1,123,662
*
Liberty Media Corp.-Liberty SiriusXM, Class A
  12,315   598,140
*
Liberty Media Corp.-Liberty SiriusXM, Class C
  24,663   1,208,980
*
Liberty TripAdvisor Holdings, Inc., Class A
  16,746   98,634
#*
Lions Gate Entertainment Corp., Class A
  17,848   177,231
*
Lions Gate Entertainment Corp., Class B
  19,968   186,301
#*
Live Nation Entertainment, Inc.
  15,895   1,083,403
*
Loral Space & Communications, Inc.
  400   12,868
*
Madison Square Garden Co. (The), Class A
  2,970   879,684
*
Marchex, Inc., Class B
  2,015   6,871
#*
Match Group, Inc.
  7,675   600,338
*
Meet Group, Inc. (The)
  25,182   134,220
#
Meredith Corp.
  10,660   320,333
#*
MSG Networks, Inc., Class A
  12,712   193,350
 
National CineMedia, Inc.
  21,103   155,740
*
Netflix, Inc.
  22,867   7,891,173
#
New York Times Co. (The), Class A
  32,700   1,046,727
 
News Corp., Class A
  67,061   913,371
 
News Corp., Class B
  31,734   443,324
#
Nexstar Media Group, Inc., Class A
  15,362   1,861,106
#
Omnicom Group, Inc.
  34,929   2,630,503
*
ORBCOMM, Inc.
  7,866   28,239
#*
QuinStreet, Inc.
  6,800   88,094
*
Reading International, Inc., Class A
  1,600   16,320
#*
Roku, Inc.
  1,817   219,766
 
Saga Communications, Inc., Class A
  369   11,188
 
Salem Media Group, Inc.
  1,000   1,380
 
Scholastic Corp.
  9,232   304,194
 
Shenandoah Telecommunications Co.
  8,687   350,520
 
Sinclair Broadcast Group, Inc., Class A
  23,883   714,579
#
Sirius XM Holdings, Inc.
  199,003   1,406,951
#*
Snap, Inc., Class A
  50,469   927,620
 
Spok Holdings, Inc.
  3,028   32,157
*
Spotify Technology S.A.
  12,539   1,771,761
#*
Sprint Corp.
  80,731   352,794
*
Take-Two Interactive Software, Inc.
  14,752   1,838,689
*
TechTarget, Inc.
  6,809   172,881
 
TEGNA, Inc.
  67,970   1,148,693
 
Telephone & Data Systems, Inc.
  12,956   293,842
*
T-Mobile US, Inc.
  32,524   2,575,576
 
Townsquare Media, Inc., Class A
  1,134   10,943
*
Travelzoo
  800   8,120
 
Tribune Publishing Co.
  12,777   160,479
 
TripAdvisor, Inc.
  17,169   469,057
#*
TrueCar Inc.
  15,836   58,593
*
Twitter, Inc.
  66,055   2,145,466
*
United States Cellular Corp.
  6,027   192,985
 
Verizon Communications, Inc.
  325,654   19,356,874
#
ViacomCBS, Inc., Class A
  2,257   85,721
 
ViacomCBS, Inc., Class B
  107,400   3,665,562
*
Vonage Holdings Corp.
  25,042   222,123
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
COMMUNICATION SERVICES — (Continued)
 
Walt Disney Co. (The)
  83,682   $11,574,057
#
World Wrestling Entertainment, Inc., Class A
  5,014   245,084
*
Yelp, Inc.
  16,822   548,397
*
Zayo Group Holdings, Inc.
  34,820   1,209,995
*
Zedge, Inc., Class B
  894   1,520
#*
Zillow Group, Inc., Class A
  11,547   533,471
#*
Zillow Group, Inc., Class C
  27,642   1,277,337
*
Zynga, Inc., Class A
  196,626   1,183,689
TOTAL COMMUNICATION SERVICES
      230,583,121
CONSUMER DISCRETIONARY — (13.0%)
*
1-800-Flowers.com, Inc., Class A
  4,534   68,871
 
Aaron's, Inc.
  12,130   720,037
 
Abercrombie & Fitch Co., Class A
  23,143   378,619
 
Acushnet Holdings Corp.
  12,965   401,526
*
Adient P.L.C.
  9,870   253,758
*
Adtalem Global Education, Inc.
  43   1,484
 
Advance Auto Parts, Inc.
  6,782   893,528
*
Amazon.com, Inc.
  38,076   76,484,023
*
American Axle & Manufacturing Holdings, Inc.
  12,278   113,449
 
American Eagle Outfitters, Inc.
  39,731   572,126
*
America's Car-Mart, Inc.
  1,915   210,229
 
Aptiv P.L.C.
  33,005   2,798,494
 
Aramark
  25,767   1,137,355
 
Ark Restaurants Corp.
  500   10,905
#*
Asbury Automotive Group, Inc.
  5,471   527,678
#*
Ascena Retail Group, Inc.
  3,255   14,322
#*
At Home Group, Inc.
  10,212   57,800
#
Autoliv, Inc.
  18,376   1,408,153
*
AutoNation, Inc.
  14,145   600,314
*
AutoZone, Inc.
  1,920   2,031,283
*
Barnes & Noble Education, Inc.
  9,131   31,411
 
Bassett Furniture Industries, Inc.
  1,000   12,230
 
BBX Capital Corp.
  3,900   15,132
*
Beazer Homes USA, Inc.
  6,286   86,433
#
Bed Bath & Beyond, Inc.
  36,482   519,868
 
Best Buy Co., Inc.
  36,112   3,058,325
 
Big 5 Sporting Goods Corp.
  2,727   10,172
 
Big Lots, Inc.
  6,998   189,366
*
Biglari Holdings, Inc., Class A
  11   6,925
*
Biglari Holdings, Inc., Class B
  112   12,150
 
BJ's Restaurants, Inc.
  3,275   130,280
 
Bloomin' Brands, Inc.
  11,210   232,832
*
Booking Holdings, Inc.
  3,766   6,893,851
*
Boot Barn Holdings, Inc.
  7,189   301,722
 
BorgWarner, Inc.
  51,317   1,759,660
 
Bowl America, Inc., Class A
  348   5,258
*
Bright Horizons Family Solutions, Inc.
  208   34,056
#
Brinker International, Inc.
  4,620   197,228
 
Brunswick Corp.
  16,610   1,043,938
#
Buckle, Inc. (The)
  2,533   61,831
*
Build-A-Bear Workshop, Inc.
  1,300   5,434
*
Burlington Stores, Inc.
  6,726   1,462,703
 
Caleres, Inc.
  8,038   141,067
 
Callaway Golf Co.
  17,312   370,823
*
Capri Holdings, Ltd.
  32,974   987,901
#*
CarMax, Inc.
  20,803   2,018,723
#*
Carrols Restaurant Group, Inc.
  4,467   20,280
#
Carter's, Inc.
  9,263   982,526
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
CONSUMER DISCRETIONARY — (Continued)
#*
Carvana Co.
  1,415   $112,139
 
Cato Corp. (The), Class A
  5,374   86,199
*
Cavco Industries, Inc.
  2,078   465,514
*
Century Casinos, Inc.
  1,500   12,495
*
Century Communities, Inc.
  10,345   306,936
#
Cheesecake Factory, Inc. (The)
  4,899   188,122
#
Chico's FAS, Inc.
  29,010   112,849
#
Children's Place, Inc. (The)
  4,400   262,548
*
Chipotle Mexican Grill, Inc.
  1,341   1,162,325
 
Churchill Downs, Inc.
  2,595   374,666
*
Chuy's Holdings, Inc.
  1,407   34,542
 
Citi Trends, Inc.
  2,012   46,859
 
Collectors Universe, Inc.
  906   22,251
#
Columbia Sportswear Co.
  15,053   1,413,778
#*
Conn's, Inc.
  3,963   34,716
*
Cooper-Standard Holdings, Inc.
  2,124   56,328
 
Cracker Barrel Old Country Store, Inc.
  2,888   441,662
*
Crocs, Inc.
  5,857   222,039
 
CSS Industries, Inc.
  242   2,263
 
Culp, Inc.
  882   11,140
 
Dana, Inc.
  20,677   318,633
#
Dave & Buster's Entertainment, Inc.
  4,447   196,380
*
Deckers Outdoor Corp.
  7,364   1,405,861
*
Del Taco Restaurants, Inc.
  3,674   27,702
*
Delphi Technologies P.L.C.
  7,009   107,518
*
Delta Apparel, Inc.
  231   5,793
*
Denny's Corp.
  6,766   138,500
#
Designer Brands, Inc., Class A
  12,830   182,699
*
Destination XL Group, Inc.
  3,519   3,906
#
Dick's Sporting Goods, Inc.
  17,702   782,959
#
Dillard's, Inc., Class A
  3,924   238,265
#
Dine Brands Global, Inc.
  2,598   221,479
 
Dollar General Corp.
  17,050   2,615,640
*
Dollar Tree, Inc.
  36,821   3,206,004
 
Domino's Pizza, Inc.
  1,934   544,904
*
Dorman Products, Inc.
  3,559   248,418
 
DR Horton, Inc.
  69,209   4,097,173
#*
Drive Shack, Inc.
  4,575   17,294
 
Dunkin' Brands Group, Inc.
  22,168   1,731,099
 
eBay, Inc.
  119,994   4,026,999
*
El Pollo Loco Holdings, Inc.
  8,900   122,642
 
Escalade, Inc.
  1,044   9,187
 
Ethan Allen Interiors, Inc.
  6,584   106,332
#*
Etsy, Inc.
  10,657   520,168
*
Everi Holdings, Inc.
  6,877   85,963
 
Expedia Group, Inc.
  14,065   1,525,349
*
Express, Inc.
  14,324   57,439
*
Fiesta Restaurant Group, Inc.
  2,341   23,246
*
Five Below, Inc.
  7,497   848,810
 
Flexsteel Industries, Inc.
  561   9,200
#*
Floor & Decor Holdings, Inc., Class A
  14,508   715,389
 
Foot Locker, Inc.
  24,022   912,115
 
Ford Motor Co.
  521,854   4,602,752
#*
Fossil Group, Inc.
  10,851   73,027
*
Fox Factory Holding Corp.
  3,872   254,855
*
Francesca's Holdings Corp.
  471   3,598
*
frontdoor, Inc.
  6,887   293,248
#
GameStop Corp., Class A
  50,730   194,803
#
Gap, Inc. (The)
  99,539   1,732,974
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
CONSUMER DISCRETIONARY — (Continued)
 
Garmin, Ltd.
  17,840   $1,729,588
*
Garrett Motion, Inc.
  3,757   31,634
 
General Motors Co.
  120,117   4,010,707
*
Genesco, Inc.
  5,082   199,824
 
Gentex Corp.
  32,950   980,921
*
Gentherm, Inc.
  4,370   201,501
 
Genuine Parts Co.
  15,752   1,473,915
*
G-III Apparel Group, Ltd.
  12,016   326,955
#*
GoPro, Inc., Class A
  24,590   96,885
 
Graham Holdings Co., Class B
  541   297,128
*
Grand Canyon Education, Inc.
  845   66,147
*
Green Brick Partners, Inc.
  1,323   15,334
 
Group 1 Automotive, Inc.
  3,900   393,003
*
Groupon, Inc.
  154,901   446,115
#*
GrubHub, Inc.
  16,185   876,418
#
Guess?, Inc.
  20,348   433,209
#
H&R Block, Inc.
  11,826   274,363
*
Habit Restaurants, Inc. (The), Class A
  3,908   54,360
 
Hamilton Beach Brands Holding Co., Class A
  2,900   45,820
#
Hanesbrands, Inc.
  44,779   616,159
#
Harley-Davidson, Inc.
  38,718   1,293,181
 
Hasbro, Inc.
  16,163   1,646,525
 
Haverty Furniture Cos., Inc.
  2,689   54,130
*
Helen of Troy, Ltd.
  2,970   561,478
#*
Hibbett Sports, Inc.
  6,448   159,781
*
Hilton Grand Vacations, Inc.
  11,006   351,201
 
Home Depot, Inc. (The)
  74,439   16,979,536
 
Hooker Furniture Corp.
  2,589   63,793
*
Horizon Global Corp.
  1,167   3,933
*
Houghton Mifflin Harcourt Co.
  9,200   50,784
*
Hudson, Ltd., Class A
  3,200   35,104
#
Hyatt Hotels Corp., Class A
  3,975   336,046
#*
Installed Building Products, Inc.
  9,746   722,471
#
International Game Technology P.L.C.
  29,360   396,066
#*
iRobot Corp.
  5,251   247,060
*
J Alexander's Holdings, Inc.
  942   9,024
#
J. Jill, Inc.
  3,309   3,938
 
Jack in the Box, Inc.
  2,744   224,322
#*
JC Penney Co., Inc.
  25,567   19,047
 
Johnson Outdoors, Inc., Class A
  769   60,443
 
KB Home
  31,134   1,169,082
#*
Kirkland's, Inc.
  1,705   1,961
 
Kohl's Corp.
  40,665   1,738,429
#*
Kontoor Brands, Inc.
  2,856   108,928
#
L Brands, Inc.
  40,644   941,315
*
Lakeland Industries, Inc.
  1,175   16,380
*
Lands' End, Inc.
  2,532   29,498
 
Las Vegas Sands Corp.
  17,583   1,148,346
 
La-Z-Boy, Inc.
  9,289   284,615
#
LCI Industries
  5,127   553,562
*
Leaf Group, Ltd.
  1,900   6,631
 
Lear Corp.
  13,774   1,696,681
 
Lennar Corp., Class A
  49,064   3,255,887
 
Lennar Corp., Class B
  2,665   139,939
*
LGI Homes, Inc.
  6,958   554,831
 
Lifetime Brands, Inc.
  1,200   8,124
*
Lincoln Educational Services Corp.
  4,082   9,634
*
Liquidity Services, Inc.
  2,301   12,241
#
Lithia Motors, Inc., Class A
  4,989   676,708
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
CONSUMER DISCRETIONARY — (Continued)
*
LKQ Corp.
  43,642   $1,426,439
 
Lowe's Cos., Inc.
  58,579   6,809,223
*
Lululemon Athletica, Inc.
  18,867   4,516,571
#*
Lumber Liquidators Holdings, Inc.
  1,940   14,763
*
M/I Homes, Inc.
  4,720   209,521
#
Macy's, Inc.
  134,106   2,138,991
*
Malibu Boats, Inc., Class A
  2,400   105,096
 
Marine Products Corp.
  1,421   19,894
*
MarineMax, Inc.
  7,469   148,857
*
MasterCraft Boat Holdings, Inc.
  1,741   30,589
#*
Mattel, Inc.
  38,316   560,563
 
McDonald's Corp.
  35,806   7,661,410
 
MDC Holdings, Inc.
  20,433   861,047
»
Media General, Inc.
  7,656   723
*
Meritage Homes Corp.
  7,013   497,642
 
MGM Resorts International
  8,144   252,953
#*
Michaels Cos., Inc. (The)
  23,636   116,525
*
Modine Manufacturing Co.
  3,297   23,178
#
Monro, Inc.
  6,596   413,569
#*
Motorcar Parts of America, Inc.
  1,259   25,004
 
Movado Group, Inc.
  2,805   48,302
*
Murphy USA, Inc.
  6,296   643,262
 
Nathan's Famous, Inc.
  200   13,200
*
National Vision Holdings, Inc.
  9,555   326,017
*
Nautilus, Inc.
  3,718   11,823
*
New Home Co., Inc. (The)
  994   5,189
 
Newell Brands, Inc.
  32,823   641,033
 
NIKE, Inc., Class B
  152,693   14,704,336
#*
Noodles & Co.
  7,000   49,980
#
Nordstrom, Inc.
  35,622   1,313,027
*
NVR, Inc.
  810   3,091,746
 
Office Depot, Inc.
  100,995   224,209
#*
Ollie's Bargain Outlet Holdings, Inc.
  8,588   455,508
*
O'Reilly Automotive, Inc.
  5,769   2,342,791
#
Oxford Industries, Inc.
  2,924   202,926
 
Papa John's International, Inc.
  3,147   203,863
#*
Party City Holdco, Inc.
  9,088   26,173
*
Penn National Gaming, Inc.
  6,814   203,262
 
Penske Automotive Group, Inc.
  16,396   770,120
#
PetMed Express, Inc.
  3,207   80,848
#*
Pier 1 Imports, Inc.
  484   1,520
*
Planet Fitness, Inc., Class A
  14,806   1,196,177
*
PlayAGS, Inc.
  5,483   56,365
#
Polaris, Inc.
  13,201   1,212,380
 
Pool Corp.
  5,268   1,155,272
*
Potbelly Corp.
  1,810   7,801
 
PulteGroup, Inc.
  76,043   3,395,320
 
PVH Corp.
  17,003   1,482,152
*
Quotient Technology Inc.
  19,412   195,479
*
Qurate Retail, Inc.
  67,345   574,453
 
Ralph Lauren Corp.
  12,064   1,369,264
*
Red Lion Hotels Corp.
  1,771   4,888
#*
Red Robin Gourmet Burgers, Inc.
  1,171   38,491
*
Regis Corp.
  6,200   96,224
 
Rent-A-Center, Inc.
  11,010   320,721
*
RH
  3,165   660,694
 
Rocky Brands, Inc.
  508   13,787
 
Ross Stores, Inc.
  36,074   4,047,142
*
Rubicon Project, Inc. (The)
  3,297   30,860
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
CONSUMER DISCRETIONARY — (Continued)
 
Ruth's Hospitality Group, Inc.
  4,263   $87,392
#*
Sally Beauty Holdings, Inc.
  21,002   322,381
*
Scientific Games Corp., Class A
  7,843   194,820
 
Service Corp. International
  19,455   932,867
*
ServiceMaster Global Holdings, Inc.
  20,621   743,387
#*
Shake Shack, Inc., Class A
  3,039   204,981
*
Shiloh Industries, Inc.
  1,200   4,068
#
Shoe Carnival, Inc.
  2,176   78,031
*
Shutterstock, Inc.
  7,573   328,138
#
Signet Jewelers, Ltd.
  11,364   276,259
 
Six Flags Entertainment Corp.
  8,530   325,249
*
Skechers U.S.A., Inc., Class A
  26,796   1,001,902
*
Skyline Champion Corp.
  8,737   251,189
*
Sleep Number Corp.
  5,045   260,272
 
Sonic Automotive, Inc., Class A
  7,475   236,434
*
Sonos, Inc.
  6,437   88,316
*
Stamps.com, Inc.
  5,376   400,458
 
Standard Motor Products, Inc.
  1,900   92,302
 
Starbucks Corp.
  50,765   4,306,395
 
Steven Madden, Ltd.
  13,290   512,462
*
Stoneridge, Inc.
  2,300   64,078
 
Strategic Education, Inc.
  900   146,061
 
Superior Group of Cos, Inc.
  923   10,642
 
Superior Industries International, Inc.
  3,000   9,600
#
Tailored Brands, Inc.
  4,047   16,107
*
Tandy Leather Factory, Inc.
  1,562   8,716
 
Tapestry, Inc.
  89,106   2,296,262
 
Target Corp.
  26,818   2,969,825
*
Taylor Morrison Home Corp.
  38,053   984,812
*
Tempur Sealy International, Inc.
  9,002   824,763
#
Tenneco, Inc., Class A
  4,755   45,030
*
Tesla, Inc.
  3,094   2,012,864
 
Texas Roadhouse, Inc.
  7,283   455,187
#
Thor Industries, Inc.
  8,141   655,513
 
Tiffany & Co.
  19,007   2,547,318
 
Tilly's, Inc., Class A
  804   6,834
 
TJX Cos., Inc. (The)
  118,728   7,009,701
 
Toll Brothers, Inc.
  44,567   1,976,992
*
TopBuild Corp.
  3,356   384,296
#*
Town Sports International Holdings, Inc.
  3,271   6,869
 
Tractor Supply Co.
  8,403   781,059
*
TRI Pointe Group, Inc.
  37,214   605,100
*
Tuesday Morning Corp.
  4,976   6,369
*
Ulta Salon Cosmetics & Fragrance, Inc.
  6,382   1,709,802
#*
Under Armour, Inc., Class A
  23,467   473,564
#*
Under Armour, Inc., Class C
  27,680   497,133
*
Unifi, Inc.
  2,171   46,720
 
Unique Fabricating, Inc.
  842   3,411
*
Universal Electronics, Inc.
  1,355   67,113
*
Universal Technical Institute, Inc.
  2,800   21,532
*
Urban Outfitters, Inc.
  21,875   560,000
 
Vail Resorts, Inc.
  2,305   540,546
#*
Veoneer, Inc.
  8,838   115,159
*
Vera Bradley, Inc.
  4,500   43,110
 
VF Corp.
  24,208   2,008,538
*
Visteon Corp.
  7,065   563,858
*
VOXX International Corp.
  2,400   10,320
#*
Wayfair, Inc., Class A
  7,495   702,281
 
Wendy's Co. (The)
  25,688   556,659
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
CONSUMER DISCRETIONARY — (Continued)
 
Weyco Group, Inc.
  1,334   $30,215
#
Whirlpool Corp.
  13,207   1,930,467
*
William Lyon Homes, Class A
  9,422   218,496
#
Williams-Sonoma, Inc.
  14,858   1,041,249
 
Wingstop, Inc.
  3,249   301,410
 
Winmark Corp.
  415   82,573
#
Winnebago Industries, Inc.
  6,406   350,793
 
Wolverine World Wide, Inc.
  13,457   424,837
*
WW International, Inc
  5,193   171,265
 
Wyndham Destinations, Inc.
  10,369   503,208
 
Wynn Resorts, Ltd.
  13,224   1,668,340
 
Yum! Brands, Inc.
  13,282   1,404,837
*
ZAGG, Inc.
  2,300   17,388
*
Zumiez, Inc.
  3,334   103,921
TOTAL CONSUMER DISCRETIONARY
      312,683,623
CONSUMER STAPLES — (5.6%)
 
Alico, Inc.
  390   14,036
 
Andersons, Inc. (The)
  6,689   151,305
#
B&G Foods, Inc.
  4,822   77,441
#*
BJ's Wholesale Club Holdings, Inc.
  22,688   465,558
#*
Boston Beer Co., Inc. (The), Class A
  1,286   458,305
 
Brown-Forman Corp., Class A
  5,788   371,995
#
Brown-Forman Corp., Class B
  30,680   2,075,195
#
Calavo Growers, Inc.
  2,429   186,086
#
Campbell Soup Co.
  17,119   828,388
 
Casey's General Stores, Inc.
  9,403   1,512,567
#*
Central Garden & Pet Co.
  2,583   83,198
*
Central Garden & Pet Co., Class A
  5,818   174,307
*
Chefs' Warehouse, Inc. (The)
  6,039   219,820
 
Church & Dwight Co., Inc.
  19,648   1,458,275
 
Clorox Co. (The)
  12,128   1,907,856
 
Coca-Cola Co. (The)
  319,731   18,672,290
 
Coca-Cola Consolidated, Inc.
  1,553   420,568
 
Colgate-Palmolive Co.
  49,403   3,644,953
 
Constellation Brands, Inc., Class A
  11,789   2,219,869
 
Costco Wholesale Corp.
  40,941   12,508,294
#
Coty, Inc., Class A
  199,253   2,044,336
*
Craft Brew Alliance, Inc.
  1,900   31,160
*
Darling Ingredients, Inc.
  24,005   651,256
*
Dean Foods Co.
  10,015   2,994
*
Edgewell Personal Care Co.
  9,424   243,328
*
elf Beauty Inc.
  9,142   143,347
#
Energizer Holdings, Inc.
  4,489   207,661
 
Estee Lauder Cos., Inc. (The), Class A
  27,665   5,399,101
*
Farmer Brothers Co.
  3,036   36,371
#
Flowers Foods, Inc.
  25,222   543,030
 
Fresh Del Monte Produce, Inc.
  9,825   308,308
*
Freshpet Inc.
  700   44,016
 
General Mills, Inc.
  42,967   2,243,737
#*
Hain Celestial Group, Inc. (The)
  11,454   277,301
*
Herbalife Nutrition, Ltd.
  27,195   1,056,526
*
Hostess Brands, Inc.
  15,313   205,500
 
Ingles Markets, Inc., Class A
  3,819   159,214
 
Inter Parfums, Inc.
  7,310   505,194
 
J&J Snack Foods Corp.
  1,914   317,418
 
JM Smucker Co. (The)
  11,452   1,186,542
 
John B. Sanfilippo & Son, Inc.
  549   46,281
 
Kellogg Co.
  37,359   2,548,257
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
CONSUMER STAPLES — (Continued)
#
Keurig Dr Pepper, Inc.
  27,983   $798,355
 
Kraft Heinz Co. (The)
  42,694   1,246,665
 
Kroger Co. (The)
  152,887   4,106,545
 
Lamb Weston Holdings, Inc.
  6,220   567,948
 
Lancaster Colony Corp.
  3,667   567,102
*
Landec Corp.
  1,591   17,819
*
Lifevantage Corp.
  2,374   38,886
*
Lifeway Foods, Inc.
  1,074   2,417
 
Limoneira Co.
  2,840   55,437
 
McCormick & Co., Inc.
  200   32,796
 
McCormick & Co., Inc. Non-Voting
  16,433   2,684,659
 
Medifast, Inc.
  2,326   224,761
 
Molson Coors Beverage Co., Class B
  13,726   762,891
*
Monster Beverage Corp.
  21,144   1,408,190
#*
National Beverage Corp.
  6,471   277,671
*
Natura & Co. Holding SA, ADR
  31,119   680,884
*
Natural Alternatives International, Inc.
  1,014   8,295
 
Natural Grocers by Vitamin Cottage, Inc.
  2,440   22,082
#
Natural Health Trends Corp.
  187   673
*
Nature's Sunshine Products, Inc.
  500   4,780
 
Nu Skin Enterprises, Inc., Class A
  11,419   372,145
 
Oil-Dri Corp. of America
  489   17,311
 
PepsiCo, Inc.
  70,456   10,006,161
*
Performance Food Group Co.
  23,567   1,220,535
*
Post Holdings, Inc.
  10,379   1,085,332
 
PriceSmart, Inc.
  4,621   283,082
*
Primo Water Corp.
  6,493   97,850
 
Procter & Gamble Co. (The)
  145,697   18,156,760
#*
Revlon, Inc., Class A
  3,567   76,227
#*
RiceBran Technologies
  1,217   1,497
#*
Rite Aid Corp.
  929   11,102
 
Rocky Mountain Chocolate Factory, Inc.
  960   7,968
*
S&W Seed Co.
  2,831   6,087
*
Seneca Foods Corp., Class A
  504   19,933
*
Simply Good Foods Co. (The)
  7,384   169,610
 
SpartanNash Co.
  16,618   202,407
 
Spectrum Brands Holdings, Inc.
  9,330   572,955
*
Sprouts Farmers Market, Inc.
  27,422   428,606
 
Sysco Corp.
  43,639   3,584,507
#
Tootsie Roll Industries, Inc.
  1,560   53,212
*
TreeHouse Foods, Inc.
  9,615   428,829
*
United Natural Foods, Inc.
  25,495   183,564
 
United-Guardian, Inc.
  1,797   30,190
*
US Foods Holding Corp.
  45,406   1,823,959
*
USANA Health Sciences, Inc.
  5,627   347,186
 
Village Super Market, Inc., Class A
  1,201   26,734
 
Walgreens Boots Alliance, Inc.
  92,838   4,720,812
 
Walmart, Inc.
  102,317   11,714,273
#
Weis Markets, Inc.
  5,451   199,997
#*
Willamette Valley Vineyards, Inc.
  500   3,420
TOTAL CONSUMER STAPLES
      135,012,291
ENERGY — (1.5%)
 
Adams Resources & Energy, Inc.
  101   3,571
*
Apergy Corp.
  18,944   489,892
 
Archrock, Inc.
  42,279   353,030
 
Baker Hughes Co.
  102,555   2,221,341
 
Cactus, Inc., Class A
  9,288   267,680
*
Cheniere Energy, Inc.
  5,959   353,011
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
ENERGY — (Continued)
*
Clean Energy Fuels Corp.
  38,949   $89,583
#
Core Laboratories NV
  10,592   372,097
#
CVR Energy, Inc.
  26,824   928,379
*
Dawson Geophysical Co.
  2,598   6,235
 
Delek US Holdings, Inc.
  31,369   861,393
#*
Diamond Offshore Drilling, Inc.
  12,360   57,227
#
DMC Global, Inc.
  3,610   151,006
#*
Dril-Quip, Inc.
  10,312   421,761
#
EnLink Midstream LLC
  26,374   132,661
#
Equitrans Midstream Corp.
  16,763   162,098
 
Evolution Petroleum Corp.
  2,234   11,259
*
Exterran Corp.
  18,074   97,600
*
Forum Energy Technologies, Inc.
  24,623   26,100
*
Frank's International NV
  59,327   207,645
*
Geospace Technologies Corp.
  400   5,364
 
Green Plains, Inc.
  5,254   65,517
*
Gulf Island Fabrication, Inc.
  1,300   6,630
*
Helix Energy Solutions Group, Inc.
  44,922   374,649
 
Helmerich & Payne, Inc.
  21,045   853,375
 
HollyFrontier Corp.
  49,027   2,202,293
*
Independence Contract Drilling, Inc.
  700   492
*
KLX Energy Services Holdings, Inc.
  3,208   12,960
 
Liberty Oilfield Services, Inc., Class A
  6,100   51,728
 
Marathon Petroleum Corp.
  41,069   2,238,261
*
Matrix Service Co.
  7,677   154,461
 
Nabors Industries, Ltd.
  83,312   172,456
 
National Oilwell Varco, Inc.
  104,059   2,144,656
*
Natural Gas Services Group, Inc.
  2,367   24,901
*
Newpark Resources, Inc.
  19,968   99,840
*
NexTier Oilfield Solutions, Inc.
  5,573   28,701
*
Oceaneering International, Inc.
  42,364   525,737
*
Oil States International, Inc.
  23,910   257,750
 
ONEOK, Inc.
  22,103   1,654,852
*
Overseas Shipholding Group, Inc., Class A
  8,155   14,516
#*
Pacific Ethanol, Inc.
  2,589   1,680
 
Patterson-UTI Energy, Inc.
  45,976   365,049
 
PBF Energy, Inc., Class A
  35,222   961,561
 
Phillips 66
  48,776   4,456,663
*
ProPetro Holding Corp.
  21,994   214,222
#*
Renewable Energy Group, Inc.
  6,490   170,557
*
REX American Resources Corp.
  900   67,815
*
RigNet, Inc.
  1,879   7,817
#
RPC, Inc.
  36,702   166,260
 
Schlumberger, Ltd.
  174,650   5,852,521
*
SEACOR Marine Holdings, Inc.
  2,940   30,694
*
Select Energy Services, Inc., Class A
  16,044   111,666
 
TechnipFMC P.L.C.
  83,915   1,385,437
*
TETRA Technologies, Inc.
  36,989   56,593
#*
Transocean, Ltd.
  85,120   388,147
#
US Silica Holdings, Inc.
  4,144   21,300
#
Valaris P.L.C.
  64,049   327,290
 
Valero Energy Corp.
  53,653   4,523,484
 
World Fuel Services Corp.
  4,085   159,805
TOTAL ENERGY
      37,371,269
FINANCIALS — (16.7%)
*
1347 Property Insurance Holdings, Inc.
  1,900   10,830
 
1st Constitution Bancorp
  1,118   22,528
 
1st Source Corp.
  4,284   202,162
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
ACNB Corp.
  674   $21,602
 
Affiliated Managers Group, Inc.
  11,218   895,757
 
Aflac, Inc.
  76,836   3,962,433
*
Alleghany Corp.
  1,628   1,298,590
*
Allegiance Bancshares, Inc.
  1,631   60,673
 
Allstate Corp. (The)
  36,059   4,274,434
 
Ally Financial, Inc.
  49,946   1,599,770
*
A-Mark Precious Metals, Inc.
  800   6,384
*
Ambac Financial Group, Inc.
  4,904   105,093
 
American Equity Investment Life Holding Co.
  25,049   661,544
 
American Express Co.
  63,158   8,202,329
 
American Financial Group, Inc.
  14,936   1,624,887
 
American International Group, Inc.
  90,774   4,562,301
 
American National Bankshares, Inc.
  1,300   44,330
 
American National Insurance Co.
  6,024   663,604
 
American River Bankshares
  700   10,129
 
Ameriprise Financial, Inc.
  38,723   6,405,171
 
Ameris Bancorp
  14,618   587,497
 
AMERISAFE, Inc.
  4,756   325,406
 
AmeriServ Financial, Inc.
  3,000   12,300
 
Ames National Corp.
  512   13,660
 
Aon P.L.C.
  13,306   2,930,646
*
Arch Capital Group, Ltd.
  56,555   2,497,469
 
Ares Management Corp., Class A
  13,236   477,290
 
Argo Group International Holdings, Ltd.
  10,244   672,006
 
Arrow Financial Corp.
  1,758   61,635
 
Arthur J Gallagher & Co.
  23,691   2,429,986
 
Artisan Partners Asset Management, Inc., Class A
  10,241   342,049
 
Associated Banc-Corp
  36,053   718,536
#
Associated Capital Group, Inc., Class A
  670   27,986
 
Assurant, Inc.
  11,814   1,542,436
 
Assured Guaranty, Ltd.
  26,059   1,194,545
*
Asta Funding, Inc.
  35   359
*
Athene Holding, Ltd., Class A
  35,636   1,552,304
*
Atlantic Capital Bancshares, Inc.
  4,603   86,859
 
Atlantic Union Bankshares Corp.
  16,228   546,721
*
Atlanticus Holdings Corp.
  1,500   20,940
 
Auburn National Bancorporation, Inc.
  400   22,800
 
Axis Capital Holdings, Ltd.
  18,273   1,174,040
*
Axos Financial, Inc.
  10,851   305,673
 
Banc of California, Inc.
  10,033   160,127
 
BancFirst Corp.
  5,170   298,826
*
Bancorp, Inc. (The)
  13,671   161,728
 
BancorpSouth Bank
  21,481   613,712
 
Bank of America Corp.
  555,619   18,240,972
 
Bank of Commerce Holdings
  1,070   11,449
#
Bank of Hawaii Corp.
  6,782   607,667
 
Bank of Marin Bancorp
  1,638   72,170
 
Bank of New York Mellon Corp. (The)
  51,091   2,287,855
 
Bank of NT Butterfield & Son, Ltd. (The)
  9,036   300,176
 
Bank of Princeton (The)
  708   21,594
 
Bank of South Carolina Corp.
  550   10,456
 
Bank OZK
  21,168   575,346
 
BankFinancial Corp.
  1,550   19,329
 
BankUnited, Inc.
  15,139   499,587
 
Bankwell Financial Group, Inc.
  459   12,407
 
Banner Corp.
  6,670   343,838
 
Bar Harbor Bankshares
  1,356   29,832
*
Baycom Corp.
  656   14,734
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
BCB Bancorp, Inc.
  1,421   $18,644
 
Berkshire Hills Bancorp, Inc.
  8,361   235,362
 
BGC Partners, Inc., Class A
  33,666   194,253
 
BlackRock, Inc.
  11,846   6,246,988
 
Blackstone Group, Inc. (The), Class A
  44,419   2,712,668
*
Blucora, Inc.
  3,816   86,051
 
BOK Financial Corp.
  11,038   870,898
 
Boston Private Financial Holdings, Inc.
  16,548   188,647
 
Bridge Bancorp, Inc.
  1,706   51,777
*
Bridgewater Bancshares, Inc.
  1,630   21,516
*
Brighthouse Financial, Inc.
  24,450   951,105
*
BrightSphere Investment Group P.L.C.
  15,386   141,705
 
Brookline Bancorp, Inc.
  14,077   213,970
 
Brown & Brown, Inc.
  57,461   2,579,999
 
Bryn Mawr Bank Corp.
  4,630   173,718
#
Business First Bancshares, Inc.
  925   22,922
 
Byline Bancorp, Inc.
  3,649   70,426
 
C&F Financial Corp.
  202   10,110
 
Cadence BanCorp
  19,766   308,943
#
Cambridge Bancorp
  412   29,738
 
Camden National Corp.
  1,950   92,157
*
Cannae Holdings, Inc.
  15,701   638,403
 
Capital City Bank Group, Inc.
  2,327   66,366
 
Capital One Financial Corp.
  42,958   4,287,208
 
Capitol Federal Financial, Inc.
  34,711   457,491
 
Capstar Financial Holdings, Inc.
  607   9,087
 
Carolina Financial Corp.
  4,130   158,385
 
Cathay General Bancorp
  14,235   513,314
 
Cboe Global Markets, Inc.
  5,720   704,818
 
CBTX, Inc.
  2,095   61,907
 
CenterState Bank Corp.
  22,630   510,533
*
Central Federal Corp.
  1,038   14,470
 
Central Pacific Financial Corp.
  3,622   100,438
 
Central Valley Community Bancorp
  1,512   28,410
 
Century Bancorp, Inc., Class A
  255   21,930
 
Charles Schwab Corp. (The)
  92,401   4,208,866
 
Chemung Financial Corp.
  900   35,703
 
Chubb, Ltd.
  35,093   5,333,785
 
Cincinnati Financial Corp.
  16,513   1,733,039
#
CIT Group, Inc.
  16,645   760,843
 
Citigroup, Inc.
  147,905   11,005,611
 
Citizens & Northern Corp.
  1,544   39,480
 
Citizens Community Bancorp, Inc.
  800   9,584
 
Citizens Financial Group, Inc.
  42,461   1,582,946
#*
Citizens, Inc.
  4,745   28,755
 
City Holding Co.
  2,664   201,612
 
Civista Bancshares, Inc.
  2,072   45,605
 
CME Group, Inc.
  10,062   2,184,561
 
CNA Financial Corp.
  4,431   197,756
 
CNB Financial Corp.
  2,020   59,711
 
CNO Financial Group, Inc.
  7,390   129,990
*
Coastal Financial Corp.
  1,753   31,203
 
Codorus Valley Bancorp, Inc.
  849   18,508
 
Cohen & Steers, Inc.
  11,580   856,688
 
Colony Bankcorp, Inc.
  989   15,181
 
Columbia Banking System, Inc.
  11,761   455,151
*
Columbia Financial, Inc.
  4,550   76,304
 
Comerica, Inc.
  11,270   689,273
#
Commerce Bancshares, Inc.
  19,868   1,344,269
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Community Bank System, Inc.
  6,162   $408,356
 
Community Bankers Trust Corp.
  1,900   16,777
 
Community Financial Corp. (The)
  92   3,128
#*
Community First Bancshares, Inc.
  1,900   22,154
 
Community Trust Bancorp, Inc.
  5,088   222,600
 
Community West Bancshares
  1,400   15,400
 
ConnectOne Bancorp, Inc.
  5,971   140,975
*
Consumer Portfolio Services, Inc.
  2,632   9,291
 
County Bancorp, Inc.
  489   12,347
*
Cowen, Inc., Class A
  6,629   106,528
 
Crawford & Co., Class A
  2,485   21,719
 
Crawford & Co., Class B
  3,005   24,010
#*
Credit Acceptance Corp.
  4,516   1,937,274
#
Cullen/Frost Bankers, Inc.
  8,024   715,420
#*
Curo Group Holdings Corp.
  5,521   57,474
*
Customers Bancorp, Inc.
  7,263   155,283
 
CVB Financial Corp.
  25,260   524,650
 
Diamond Hill Investment Group, Inc.
  856   120,499
 
Dime Community Bancshares, Inc.
  9,366   181,794
 
Discover Financial Services
  66,074   4,964,140
 
Donegal Group, Inc., Class A
  3,292   45,923
*
Donnelley Financial Solutions, Inc.
  8,339   75,551
 
E*TRADE Financial Corp.
  39,120   1,667,294
 
Eagle Bancorp Montana, Inc.
  696   14,630
 
Eagle Bancorp, Inc.
  7,017   306,643
 
East West Bancorp, Inc.
  24,049   1,102,406
 
Eaton Vance Corp.
  25,045   1,145,809
#*
eHealth, Inc.
  4,542   477,637
*
Elevate Credit, Inc.
  4,886   28,388
#
Elmira Savings Bank
  444   7,282
 
Employers Holdings, Inc.
  10,615   452,730
#*
Encore Capital Group, Inc.
  6,969   236,598
*
Enova International, Inc.
  15,218   381,363
*
Enstar Group, Ltd.
  4,429   864,939
 
Enterprise Bancorp, Inc.
  881   27,329
 
Enterprise Financial Services Corp.
  5,162   224,599
 
Equitable Holdings, Inc.
  69,663   1,673,305
*
Equity Bancshares, Inc., Class A
  1,838   49,369
#
Erie Indemnity Co., Class A
  6,333   1,054,444
*
Esquire Financial Holdings, Inc.
  910   20,703
 
ESSA Bancorp, Inc.
  1,868   31,663
 
Essent Group, Ltd.
  27,638   1,371,121
 
Evans Bancorp, Inc.
  394   15,382
 
Evercore, Inc., Class A
  9,946   762,063
 
Everest Re Group, Ltd.
  5,180   1,432,633
#*
EZCORP, Inc., Class A
  15,632   97,231
#
FactSet Research Systems, Inc.
  2,091   598,256
 
Farmers & Merchants Bancorp, Inc.
  657   19,316
 
Farmers National Banc Corp.
  1,526   24,141
 
FB Financial Corp.
  5,474   195,148
 
FBL Financial Group, Inc., Class A
  6,908   371,512
 
Federal Agricultural Mortgage Corp., Class C
  2,638   201,279
 
Federated Investors, Inc., Class B
  24,293   880,135
 
FedNat Holding Co.
  1,868   29,010
 
Fidelity National Financial, Inc.
  37,844   1,844,895
 
Fifth Third Bancorp
  43,396   1,234,616
 
Financial Institutions, Inc.
  3,311   102,012
 
First American Financial Corp.
  36,392   2,255,576
 
First Bancorp
  5,408   191,876
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
First BanCorp
  47,566   $440,937
 
First Bancorp, Inc.
  1,624   45,927
 
First Bancshares, Inc. (The)
  400   13,768
 
First Bank
  1,208   12,926
 
First Busey Corp.
  10,005   255,127
 
First Business Financial Services, Inc.
  1,369   34,471
#
First Capital, Inc.
  400   26,444
 
First Citizens BancShares, Inc., Class A
  1,922   1,012,548
 
First Commonwealth Financial Corp.
  20,211   273,253
 
First Community Bancshares, Inc.
  2,068   60,613
 
First Community Corp.
  1,506   30,918
 
First Defiance Financial Corp.
  1,644   48,317
 
First Financial Bancorp
  18,083   434,715
#
First Financial Bankshares, Inc.
  15,738   527,538
 
First Financial Corp.
  935   39,018
 
First Financial Northwest, Inc.
  1,300   19,019
 
First Foundation, Inc.
  4,608   76,032
 
First Guaranty Bancshares, Inc.
  605   10,890
 
First Hawaiian, Inc.
  24,560   713,714
 
First Horizon National Corp.
  43,634   698,144
 
First Internet Bancorp
  909   24,098
 
First Interstate BancSystem, Inc., Class A
  8,016   308,616
 
First Merchants Corp.
  9,025   358,744
 
First Mid Bancshares, Inc.
  350   11,463
 
First Midwest Bancorp, Inc.
  18,539   369,668
 
First Northwest Bancorp
  817   12,900
 
First of Long Island Corp. (The)
  2,544   56,121
 
First Republic Bank
  13,329   1,477,920
 
First Savings Financial Group, Inc.
  238   15,232
 
First United Corp.
  402   9,612
 
First US Bancshares, Inc.
  700   7,875
*
First Western Financial, Inc.
  900   15,012
 
FirstCash, Inc.
  8,158   709,501
 
Flagstar Bancorp, Inc.
  14,928   526,063
 
Flushing Financial Corp.
  6,093   121,068
 
FNB Corp.
  57,689   673,231
 
Franklin Financial Network, Inc.
  2,002   73,814
 
Franklin Financial Services Corp.
  387   14,133
 
Franklin Resources, Inc.
  52,217   1,321,090
 
FS Bancorp, Inc.
  606   33,160
 
Fulton Financial Corp.
  27,905   459,595
 
GAIN Capital Holdings, Inc.
  6,006   23,483
*
Genworth Financial, Inc., Class A
  36,151   148,219
 
German American Bancorp, Inc.
  3,483   119,084
 
Glacier Bancorp, Inc.
  10,717   454,079
#
Glen Burnie Bancorp
  300   3,315
 
Global Indemnity, Ltd.
  1,893   59,686
 
Globe Life, Inc
  13,690   1,427,319
 
Goldman Sachs Group, Inc. (The)
  24,135   5,738,096
#
Goosehead Insurance, Inc., Class A
  1,976   103,108
*
Great Elm Capital Group, Inc.
  393   1,179
 
Great Southern Bancorp, Inc.
  2,513   143,015
 
Great Western Bancorp, Inc.
  10,057   297,184
*
Green Dot Corp., Class A
  7,962   239,497
 
Greene County Bancorp, Inc.
  3,316   96,794
#
Greenhill & Co., Inc.
  3,044   47,669
*
Greenlight Capital Re, Ltd., Class A
  5,732   53,365
 
Guaranty Bancshares, Inc.
  529   16,187
 
Guaranty Federal Bancshares, Inc.
  101   2,399
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
*
Hallmark Financial Services, Inc.
  1,500   $25,800
 
Hamilton Lane, Inc., Class A
  3,686   239,406
 
Hancock Whitney Corp.
  15,280   607,227
 
Hanmi Financial Corp.
  6,116   102,871
 
Hanover Insurance Group, Inc. (The)
  9,294   1,287,963
*
HarborOne Bancrop, Inc.
  3,786   41,305
 
Hartford Financial Services Group, Inc. (The)
  92,882   5,506,045
 
Hawthorn Bancshares, Inc.
  611   13,900
 
HCI Group, Inc.
  1,344   59,499
 
Heartland Financial USA, Inc.
  5,450   266,559
#
Hennessy Advisors, Inc.
  1,267   12,670
 
Heritage Commerce Corp.
  6,579   76,316
 
Heritage Financial Corp.
  6,341   163,471
 
Heritage Insurance Holdings, Inc.
  3,323   40,075
 
Hilltop Holdings, Inc.
  10,662   241,388
 
Hingham Institution for Savings
  221   46,275
*
HMN Financial, Inc.
  600   12,546
 
Home Bancorp, Inc.
  196   6,970
 
Home BancShares, Inc.
  28,778   550,235
*
HomeStreet, Inc.
  7,077   227,242
 
HomeTrust Bancshares, Inc.
  2,385   63,250
 
Hope Bancorp, Inc.
  24,516   340,895
 
Horace Mann Educators Corp.
  11,530   495,905
 
Horizon Bancorp, Inc.
  4,743   80,252
 
Houlihan Lokey, Inc.
  7,475   387,579
*
Howard Bancorp, Inc.
  900   15,201
 
IBERIABANK Corp.
  10,307   749,422
 
IF Bancorp, Inc.
  1,300   29,575
 
Independence Holding Co.
  479   19,395
 
Independent Bank Corp.
  6,166   445,185
 
Independent Bank Corp.
  2,690   57,512
 
Independent Bank Group, Inc.
  7,681   411,087
#
Interactive Brokers Group, Inc., Class A
  8,501   399,547
 
Intercontinental Exchange, Inc.
  20,613   2,055,941
 
International Bancshares Corp.
  11,889   468,427
*
INTL. FCStone, Inc.
  3,136   149,462
 
Invesco, Ltd.
  110,745   1,915,888
 
Investar Holding Corp.
  440   9,728
 
Investors Bancorp, Inc.
  50,373   608,758
 
Investors Title Co.
  67   10,573
 
James River Group Holdings, Ltd.
  8,855   380,234
 
Janus Henderson Group P.L.C.
  47,425   1,198,430
 
JPMorgan Chase & Co.
  306,362   40,550,074
 
Kearny Financial Corp.
  20,016   247,198
 
Kemper Corp.
  16,705   1,243,186
 
Kentucky First Federal Bancorp
  1,169   9,001
 
KeyCorp
  86,522   1,618,827
 
Kingstone Cos., Inc.
  1,394   11,013
 
Kinsale Capital Group, Inc.
  3,743   427,525
 
KKR & Co., Inc., Class A
  50,333   1,605,623
 
Ladenburg Thalmann Financial Services, Inc.
  19,449   67,877
 
Lake Shore Bancorp, Inc.
  663   10,111
 
Lakeland Bancorp, Inc.
  7,907   128,410
 
Lakeland Financial Corp.
  4,437   210,491
 
Landmark Bancorp, Inc.
  456   11,291
 
Lazard, Ltd., Class A
  23,624   991,263
 
LCNB Corp.
  917   15,195
 
Legg Mason, Inc.
  30,463   1,192,626
*
LendingClub Corp.
  24,673   289,168
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
#*
LendingTree, Inc.
  1,351   $420,431
 
Level One Bancorp, Inc.
  511   12,703
*
Limestone Bancorp, Inc.
  1,000   16,750
 
Lincoln National Corp.
  30,948   1,686,047
#
Live Oak Bancshares, Inc.
  6,544   114,389
 
Loews Corp.
  5,495   282,718
 
LPL Financial Holdings, Inc.
  25,847   2,381,284
 
Luther Burbank Corp.
  1,713   17,661
 
M&T Bank Corp.
  13,451   2,266,763
 
Macatawa Bank Corp.
  3,313   34,952
 
Mackinac Financial Corp.
  4,036   61,024
*
Magyar Bancorp, Inc.
  1,100   13,486
*
Maiden Holdings, Ltd.
  31,583   27,793
*
MainStreet Bancshares, Inc.
  515   11,330
*
Malvern Bancorp, Inc.
  515   10,300
#
Manning & Napier, Inc.
  1,200   2,280
*
Markel Corp.
  1,617   1,896,692
 
MarketAxess Holdings, Inc.
  2,500   885,450
 
Marlin Business Services Corp.
  1,642   32,347
 
Marsh & McLennan Cos., Inc.
  30,710   3,435,221
*
MBIA, Inc.
  3,063   27,751
 
Mercantile Bank Corp.
  1,891   61,968
 
Merchants Bancorp
  1,535   30,209
 
Mercury General Corp.
  13,258   650,835
 
Meridian Bancorp, Inc.
  11,329   203,809
*
Meridian Corp.
  1,050   21,063
 
Meta Financial Group, Inc.
  6,639   247,104
 
MetLife, Inc.
  81,275   4,040,180
*
Metropolitan Bank Holding Corp.
  500   24,575
 
MGIC Investment Corp.
  3,341   46,072
 
Mid Penn Bancorp, Inc.
  810   19,440
 
Middlefield Banc Corp.
  954   24,003
 
Midland States Bancorp, Inc.
  1,527   40,343
 
MidWestOne Financial Group, Inc.
  1,531   49,513
*
MMA Capital Holdings, Inc.
  709   21,752
 
Moelis & Co., Class A
  10,045   361,620
 
Moody's Corp.
  13,567   3,483,870
 
Morgan Stanley
  116,524   6,089,544
 
Morningstar, Inc.
  8,949   1,404,009
*
Mr Cooper Group, Inc.
  13,023   161,225
 
MSB Financial Corp.
  705   12,225
 
MSCI, Inc.
  6,302   1,801,112
 
MutualFirst Financial, Inc.
  477   17,759
 
MVB Financial Corp.
  945   18,881
 
Nasdaq, Inc.
  15,653   1,822,948
 
National Bank Holdings Corp., Class A
  6,516   212,422
 
National Bankshares, Inc.
  507   20,706
 
National General Holdings Corp.
  29,224   636,206
 
National Western Life Group, Inc., Class A
  764   203,224
 
Navient Corp.
  49,070   705,627
 
NBT Bancorp, Inc.
  7,504   283,576
 
Nelnet, Inc., Class A
  5,909   338,349
#
New York Community Bancorp, Inc.
  92,343   1,021,314
»
NewStar Financial, Inc.
  8,737   3,464
*
NI Holdings, Inc.
  962   14,767
*
Nicholas Financial, Inc.
  2,510   20,783
*
Nicolet Bankshares, Inc.
  399   28,189
*
NMI Holdings, Inc., Class A
  16,533   527,733
*
Northeast Bank
  1,100   22,077
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Northern Trust Corp.
  18,887   $1,847,337
 
Northfield Bancorp, Inc.
  5,016   79,704
 
Northrim BanCorp, Inc.
  383   14,412
 
Northwest Bancshares, Inc.
  26,339   414,181
 
Norwood Financial Corp.
  600   20,400
#
Oak Valley Bancorp
  817   15,115
 
OceanFirst Financial Corp.
  10,416   242,276
*
Ocwen Financial Corp.
  15,293   18,810
 
OFG Bancorp
  7,001   137,990
 
Ohio Valley Banc Corp.
  243   8,031
 
Old National Bancorp
  29,541   529,079
 
Old Point Financial Corp.
  189   5,296
 
Old Republic International Corp.
  62,158   1,401,663
 
Old Second Bancorp, Inc.
  1,641   20,160
*
On Deck Capital, Inc.
  19,130   78,050
 
OneMain Holdings, Inc.
  31,888   1,351,095
 
Oppenheimer Holdings, Inc., Class A
  2,150   59,233
 
Opus Bank
  6,320   168,333
 
Origin Bancorp, Inc.
  1,651   58,181
 
Orrstown Financial Services, Inc.
  1,386   28,565
*
Pacific Mercantile Bancorp
  1,500   10,395
 
Pacific Premier Bancorp, Inc.
  6,705   199,809
 
PacWest Bancorp
  16,013   561,256
 
Park National Corp.
  2,132   202,476
 
Parke Bancorp, Inc.
  601   12,934
 
Pathfinder Bancorp, Inc.
  900   12,465
 
PCB Bancorp
  653   9,932
 
PCSB Financial Corp.
  610   12,127
 
Peapack Gladstone Financial Corp.
  2,215   64,744
 
Penns Woods Bancorp, Inc.
  853   26,912
 
Pennymac Financial Services, Inc.
  17,708   597,114
 
Peoples Bancorp of North Carolina, Inc.
  1,287   35,199
 
Peoples Bancorp, Inc.
  2,291   74,549
 
Peoples Financial Corp.
  800   9,200
 
Peoples Financial Services Corp.
  500   23,175
 
People's United Financial, Inc.
  56,020   863,828
 
People's Utah Bancorp
  1,091   28,453
 
Pinnacle Financial Partners, Inc.
  9,098   537,328
 
Piper Sandler Cos.
  2,856   235,420
 
PJT Partners, Inc., Class A
  3,092   142,294
 
Plumas Bancorp
  646   16,408
 
PNC Financial Services Group, Inc. (The)
  22,952   3,409,520
*
Ponce de Leon Federal Bank
  877   12,357
 
Popular, Inc.
  13,454   752,886
#*
PRA Group, Inc.
  8,403   297,130
 
Preferred Bank
  1,425   85,657
 
Premier Financial Bancorp, Inc.
  1,616   27,472
 
Primerica, Inc.
  11,425   1,354,548
 
Principal Financial Group, Inc.
  33,846   1,792,146
 
ProAssurance Corp.
  12,357   375,282
 
Progressive Corp. (The)
  52,089   4,203,061
 
Prosperity Bancshares, Inc.
  12,689   890,768
 
Protective Insurance Corp., Class A
  1,036   15,540
 
Protective Insurance Corp., Class B
  1,722   26,846
*
Provident Bancorp, Inc.
  1,077   12,719
 
Provident Financial Holdings, Inc.
  990   21,790
 
Provident Financial Services, Inc.
  17,626   402,049
 
Prudential Bancorp, Inc.
  879   15,479
 
Prudential Financial, Inc.
  40,734   3,709,238
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Pzena Investment Management, Inc., Class A
  2,038   $16,691
 
QCR Holdings, Inc.
  1,402   57,622
 
Radian Group, Inc.
  1,600   39,184
*
Randolph Bancorp, Inc.
  800   12,648
 
Raymond James Financial, Inc.
  13,346   1,220,225
 
RBB Bancorp
  2,496   49,121
*
Regional Management Corp.
  1,439   39,644
 
Regions Financial Corp.
  96,306   1,499,484
 
Reinsurance Group of America, Inc.
  7,379   1,062,945
 
RenaissanceRe Holdings, Ltd.
  8,851   1,676,733
 
Renasant Corp.
  9,364   298,993
 
Republic Bancorp, Inc., Class A
  2,095   87,780
*
Republic First Bancorp, Inc.
  3,400   10,846
 
Riverview Bancorp, Inc.
  1,676   12,335
 
RLI Corp.
  6,955   646,885
 
S&P Global, Inc.
  16,956   4,980,486
 
S&T Bancorp, Inc.
  5,643   212,120
 
Safety Insurance Group, Inc.
  3,426   315,466
 
Salisbury Bancorp, Inc.
  800   35,560
 
Sandy Spring Bancorp, Inc.
  6,112   212,698
#
Santander Consumer USA Holdings, Inc.
  54,974   1,463,408
 
SB Financial Group, Inc.
  1,621   30,669
 
SB One Bancorp
  492   11,759
*
Seacoast Banking Corp. of Florida
  5,406   146,773
*
Security National Financial Corp., Class A
  926   5,140
 
SEI Investments Co.
  25,979   1,695,390
*
Select Bancorp, Inc.
  1,607   18,641
 
Selective Insurance Group, Inc.
  13,056   864,960
 
ServisFirst Bancshares, Inc.
  7,396   271,803
 
Severn Bancorp, Inc.
  1,832   15,114
 
Shore Bancshares, Inc.
  1,820   29,575
 
Sierra Bancorp
  1,779   47,642
 
Signature Bank
  10,971   1,556,675
 
Silvercrest Asset Management Group, Inc., Class A
  953   11,322
 
Simmons First National Corp., Class A
  14,970   358,981
 
SLM Corp.
  90,024   983,062
 
SmartFinancial, Inc.
  900   19,458
 
Sound Financial Bancorp, Inc.
  200   7,252
 
South State Corp.
  5,889   445,267
*
Southern First Bancshares, Inc.
  700   27,335
 
Southern Missouri Bancorp, Inc.
  700   24,934
 
Southern National Bancorp of Virginia, Inc.
  1,339   20,795
#
Southside Bancshares, Inc.
  5,959   209,042
*
Spirit of Texas Bancshares, Inc.
  722   14,982
 
State Auto Financial Corp.
  4,621   139,138
 
State Street Corp.
  34,561   2,613,848
 
Sterling Bancorp
  29,373   587,460
 
Sterling Bancorp, Inc.
  6,145   45,043
 
Stewart Information Services Corp.
  4,590   191,632
 
Stifel Financial Corp.
  14,026   907,342
 
Stock Yards Bancorp, Inc.
  2,229   86,351
 
Summit Financial Group, Inc.
  488   11,980
 
Summit State Bank
  845   10,968
*
SVB Financial Group
  6,680   1,605,404
 
Synchrony Financial
  130,209   4,220,074
 
Synovus Financial Corp.
  20,080   703,202
 
T Rowe Price Group, Inc.
  23,144   3,090,418
 
TCF Financial Corp.
  26,474   1,119,321
 
TD Ameritrade Holding Corp.
  57,573   2,733,566
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Territorial Bancorp, Inc.
  1,317   $38,233
*
Texas Capital Bancshares, Inc.
  7,459   409,947
 
TFS Financial Corp.
  21,817   445,721
*
Third Point Reinsurance, Ltd.
  23,306   253,802
 
Timberland Bancorp, Inc.
  618   17,403
 
Tiptree, Inc.
  3,518   24,098
 
Tompkins Financial Corp.
  2,031   174,849
 
Towne Bank
  13,691   363,496
 
Travelers Cos., Inc. (The)
  56,702   7,463,117
 
TriCo Bancshares
  3,293   119,865
*
TriState Capital Holdings, Inc.
  3,298   75,821
*
Triumph Bancorp, Inc.
  3,953   154,088
 
Truist Financial Corp.
  84,467   4,355,963
 
TrustCo Bank Corp. NY
  18,825   149,282
#
Trustmark Corp.
  10,284   328,882
 
U.S. Bancorp.
  48,256   2,568,184
 
UMB Financial Corp.
  9,091   604,188
 
Umpqua Holdings Corp.
  43,353   732,666
 
United Bancorp, Inc.
  1,200   16,812
 
United Bancshares, Inc.
  300   7,125
 
United Bankshares, Inc.
  17,401   596,854
 
United Community Banks, Inc.
  13,445   375,384
 
United Community Financial Corp.
  6,179   67,536
 
United Fire Group, Inc.
  7,187   318,097
 
United Insurance Holdings Corp.
  7,255   73,566
 
United Security Bancshares
  3,542   34,499
 
Unity Bancorp, Inc.
  600   13,152
 
Universal Insurance Holdings, Inc.
  9,298   226,313
 
Univest Financial Corp.
  5,773   143,401
 
Unum Group
  39,562   1,055,910
 
Valley National Bancorp
  74,275   782,116
 
Value Line, Inc.
  245   8,073
 
Veritex Holdings, Inc.
  7,108   201,299
#
Victory Capital Holdings, Inc., Class A
  1,710   35,671
#
Virtu Financial, Inc., Class A
  15,753   262,918
 
Virtus Investment Partners, Inc.
  2,433   299,332
 
Voya Financial, Inc.
  29,670   1,772,189
#
Waddell & Reed Financial, Inc., Class A
  16,366   261,529
 
Walker & Dunlop, Inc.
  7,179   476,470
 
Washington Federal, Inc.
  15,665   532,610
 
Washington Trust Bancorp, Inc.
  2,655   125,661
 
Waterstone Financial, Inc.
  6,401   111,953
 
Webster Financial Corp.
  14,318   642,305
 
Wellesley Bank
  1,081   43,889
 
Wells Fargo & Co.
  212,550   9,977,097
 
WesBanco, Inc.
  12,111   401,116
 
West Bancorporation, Inc.
  2,622   60,018
 
Westamerica Bancorporation
  4,107   260,220
 
Western Alliance Bancorp
  19,136   1,056,881
 
Western New England Bancorp, Inc.
  2,300   20,654
 
Westwood Holdings Group, Inc.
  1,098   30,832
 
Willis Towers Watson P.L.C.
  16,469   3,479,735
 
Wintrust Financial Corp.
  12,587   796,505
 
WisdomTree Investments, Inc.
  11,800   49,678
#*
World Acceptance Corp.
  2,207   190,839
 
WR Berkley Corp.
  24,564   1,806,191
 
WSFS Financial Corp.
  10,338   412,383
 
WVS Financial Corp.
  100   1,675
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Zions Bancorp NA
  27,434   $1,247,973
TOTAL FINANCIALS
      401,566,250
HEALTH CARE — (13.1%)
 
Abbott Laboratories
  43,554   3,795,296
 
AbbVie, Inc.
  91,643   7,424,916
*
ABIOMED, Inc.
  4,336   807,753
#*
ACADIA Pharmaceuticals, Inc.
  5,123   204,613
*
Accuray, Inc.
  6,422   24,982
»
Achillion Pharmaceuticals, Inc.
  18,031   7,343
*
Acorda Therapeutics, Inc.
  6,995   14,200
*
Addus HomeCare Corp.
  1,000   94,340
*
Aduro Biotech, Inc.
  5,482   9,210
#*
Adverum Biotechnologies, Inc.
  3,621   35,739
*
Aeglea BioTherapeutics, Inc.
  2,100   15,246
*
Affimed NV
  9,000   23,580
 
Agilent Technologies, Inc.
  33,698   2,782,107
#*
Agios Pharmaceuticals, Inc.
  2,444   119,096
*
Akebia Therapeutics, Inc.
  4,833   34,894
*
Akorn, Inc.
  7,820   11,965
*
Albireo Pharma, Inc.
  500   11,350
*
Alexion Pharmaceuticals, Inc.
  19,948   1,982,632
*
Align Technology, Inc.
  6,306   1,621,273
*
Alkermes P.L.C.
  3,226   56,165
 
Allergan P.L.C.
  21,138   3,945,196
*
Allscripts Healthcare Solutions, Inc.
  42,922   368,271
#*
Alnylam Pharmaceuticals, Inc.
  4,046   464,440
#*
AMAG Pharmaceuticals, Inc.
  7,067   62,614
*
Amedisys, Inc.
  5,572   983,402
*
American Renal Associates Holdings, Inc.
  5,278   47,924
 
AmerisourceBergen Corp.
  43,877   3,754,116
 
Amgen, Inc.
  56,803   12,272,288
*
Amicus Therapeutics, Inc.
  6,358   56,205
*
AMN Healthcare Services, Inc.
  13,634   918,659
*
Amphastar Pharmaceuticals, Inc.
  2,833   53,572
*
AnaptysBio, Inc.
  2,977   43,226
*
AngioDynamics, Inc.
  7,077   97,450
*
ANI Pharmaceuticals, Inc.
  1,307   81,034
*
Anika Therapeutics, Inc.
  2,735   112,436
 
Anthem, Inc.
  25,422   6,743,948
*
Applied Genetic Technologies Corp.
  3,753   23,569
*
Ardelyx, Inc.
  4,277   30,281
*
Arena Pharmaceuticals, Inc.
  2,544   116,235
#*
Arrowhead Pharmaceuticals, Inc.
  6,887   288,634
*
Assembly Biosciences, Inc.
  3,400   59,704
#*
Assertio Therapeutics, Inc.
  1,202   1,286
#*
Atara Biotherapeutics, Inc.
  3,132   41,436
*
AtriCure Inc.
  3,949   153,616
 
Atrion Corp.
  364   261,785
*
Avanos Medical, Inc.
  531   14,624
#*
Avrobio, Inc.
  880   19,122
 
Becton Dickinson and Co.
  12,573   3,459,838
*
BioDelivery Sciences International, Inc.
  3,149   16,532
*
Biogen, Inc.
  21,555   5,795,062
*
BioMarin Pharmaceutical, Inc.
  11,569   966,011
*
Bio-Rad Laboratories, Inc., Class A
  1,642   592,631
*
BioSpecifics Technologies Corp.
  876   51,754
 
Bio-Techne Corp.
  4,813   1,010,586
*
BioTelemetry, Inc.
  4,746   232,174
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
HEALTH CARE — (Continued)
#*
Bluebird Bio, Inc.
  6,158   $490,731
*
Boston Scientific Corp.
  69,266   2,900,167
 
Bristol-Myers Squibb Co.
  168,437   10,603,109
 
Bruker Corp.
  34,977   1,730,312
*
Calithera Biosciences, Inc.
  5,200   31,200
#
Cantel Medical Corp.
  4,819   313,524
*
Capital Senior Living Corp.
  3,685   10,281
 
Cardinal Health, Inc.
  55,014   2,817,267
*
Cardiovascular Systems, Inc.
  4,231   192,045
*
Castlight Health, Inc., Class B
  100   124
#*
Catabasis Pharmaceuticals, Inc.
  4,103   21,746
*
Catalent, Inc.
  21,816   1,332,958
*
Centene Corp.
  76,543   4,807,666
 
Cerner Corp.
  44,494   3,196,004
*
Charles River Laboratories International, Inc.
  8,160   1,261,373
*
Chembio Diagnostics, Inc.
  1,787   7,345
 
Chemed Corp.
  951   444,155
*
ChemoCentryx, Inc.
  5,216   221,263
#*
Chiasma, Inc.
  4,800   22,656
*
Chimerix, Inc.
  5,901   9,737
#*
Cidara Therapeutics, Inc.
  1,583   4,986
*
Cigna Corp.
  52,487   10,097,449
*
Collegium Pharmaceutical, Inc.
  5,728   115,219
 
Computer Programs & Systems, Inc.
  997   25,922
*
Concert Pharmaceuticals, Inc.
  800   8,544
 
CONMED Corp.
  4,320   439,258
 
Cooper Cos., Inc. (The)
  3,583   1,242,907
#*
Corcept Therapeutics, Inc.
  12,907   163,532
*
CorVel Corp.
  6,563   600,974
#*
Corvus Pharmaceuticals, Inc.
  2,175   12,006
#*
Covetrus, Inc.
  2,975   36,592
*
CRISPR Therapeutics AG
  4,286   222,658
*
Cross Country Healthcare, Inc.
  9,956   98,564
*
CryoLife, Inc.
  5,698   169,458
*
Cumberland Pharmaceuticals, Inc.
  1,705   8,286
*
Cutera, Inc.
  1,203   33,901
 
CVS Health Corp.
  141,665   9,607,720
*
Cymabay Therapeutics, Inc.
  3,616   5,569
*
CytomX Therapeutics, Inc.
  3,708   27,513
 
Danaher Corp.
  27,267   4,386,442
*
DaVita, Inc.
  28,814   2,301,374
*
Deciphera Pharmaceuticals, Inc.
  6,957   435,717
#*
Denali Therapeutics, Inc.
  4,274   98,986
 
DENTSPLY SIRONA, Inc.
  12,321   689,976
*
DexCom, Inc.
  2,909   700,342
*
Digirad Corp.
  150   426
*
Diplomat Pharmacy, Inc.
  7,144   28,433
#*
Eagle Pharmaceuticals, Inc.
  2,161   116,305
*
Edwards Lifesciences Corp.
  9,001   1,978,960
#*
Eiger BioPharmaceuticals, Inc.
  2,909   35,955
*
Elanco Animal Health, Inc.
  25,763   796,077
*
Electromed, Inc.
  2,300   22,402
*
Emergent BioSolutions, Inc.
  7,615   419,510
*
Enanta Pharmaceuticals, Inc.
  2,047   105,502
 
Encompass Health Corp.
  2,644   203,667
*
Endo International P.L.C.
  20,988   119,002
 
Envista Holdings Corp.
  11,469   339,368
#*
Enzo Biochem, Inc.
  1,646   4,131
#*
Epizyme, Inc.
  6,900   144,417
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
HEALTH CARE — (Continued)
#*
Evolent Health, Inc., Class A
  24,987   $251,869
#*
Exact Sciences Corp.
  6,068   566,023
*
Exelixis, Inc.
  36,889   634,491
#*
FibroGen, Inc.
  2,814   117,766
*
Five Prime Therapeutics, Inc.
  4,115   19,423
*
FONAR Corp.
  776   16,381
#*
G1 Therapeutics, Inc.
  2,900   56,144
 
Gilead Sciences, Inc.
  152,173   9,617,334
#*
Global Blood Therapeutics, Inc.
  4,426   288,841
*
Globus Medical, Inc., Class A
  9,220   482,022
*
GlycoMimetics, Inc.
  3,034   12,986
*
Guardant Health, Inc.
  2,015   153,221
*
Haemonetics Corp.
  7,487   804,029
*
Hanger, Inc.
  3,976   97,134
*
Harvard Bioscience, Inc.
  3,317   9,851
#*
HealthEquity, Inc.
  8,069   533,038
*
HealthStream, Inc.
  4,750   121,362
*
Henry Schein, Inc.
  16,649   1,147,782
#*
Heska Corp.
  1,107   110,910
 
Hill-Rom Holdings, Inc.
  10,467   1,114,631
*
HMS Holdings Corp.
  15,382   420,236
*
Hologic, Inc.
  42,774   2,289,264
*
Horizon Therapeutics P.L.C.
  19,600   676,004
 
Humana, Inc.
  15,217   5,116,564
*
ICU Medical, Inc.
  2,563   467,671
*
IDEXX Laboratories, Inc.
  4,139   1,121,710
*
Illumina, Inc.
  5,277   1,530,699
*
Incyte Corp.
  5,565   406,635
*
Innoviva, Inc.
  10,187   140,632
*
Inogen, Inc.
  2,652   117,404
#*
Inovalon Holdings, Inc., Class A
  5,033   101,969
*
Insulet Corp.
  3,530   684,961
*
Integer Holdings Corp.
  4,657   397,708
*
Integra LifeSciences Holdings Corp.
  10,333   568,728
#*
Intellia Therapeutics, Inc.
  7,157   85,240
*
Intra-Cellular Therapies, Inc.
  2,471   56,067
*
IntriCon Corp.
  1,700   28,951
*
Intuitive Surgical, Inc.
  4,323   2,419,929
#
Invacare Corp.
  3,836   29,499
#*
Ionis Pharmaceuticals, Inc.
  10,782   628,806
*
IQVIA Holdings, Inc.
  24,743   3,841,351
#*
iRadimed Corp.
  1,652   42,126
#*
Ironwood Pharmaceuticals Inc.
  7,241   87,471
*
Jazz Pharmaceuticals P.L.C.
  6,803   975,210
 
Johnson & Johnson
  204,531   30,448,530
*
Joint Corp. (The)
  1,721   28,741
#*
Kala Pharmaceuticals, Inc.
  3,757   22,392
*
Karyopharm Therapeutics, Inc.
  3,622   58,495
 
Kewaunee Scientific Corp.
  534   6,590
*
Kindred Biosciences, Inc.
  1,675   14,623
*
Laboratory Corp. of America Holdings
  8,028   1,408,111
#*
Lannett Co., Inc.
  400   3,256
*
Lantheus Holdings, Inc.
  7,641   133,794
#
LeMaitre Vascular, Inc.
  4,355   156,715
*
LHC Group, Inc.
  5,841   851,326
#*
Ligand Pharmaceuticals, Inc.
  1,699   149,189
*
LivaNova P.L.C.
  6,679   453,972
 
Luminex Corp.
  6,816   154,621
*
MacroGenics, Inc.
  2,879   26,631
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
HEALTH CARE — (Continued)
#*
Madrigal Pharmaceuticals, Inc.
  1,652   $137,149
*
Magellan Health, Inc.
  7,291   533,774
#*
Mallinckrodt P.L.C.
  8,123   37,285
*
Masimo Corp.
  6,732   1,148,479
 
McKesson Corp.
  41,951   5,982,632
*
MEDNAX, Inc.
  16,172   373,088
*
Medpace Holdings, Inc.
  5,469   467,873
 
Medtronic P.L.C.
  71,524   8,256,731
 
Merck & Co., Inc.
  112,373   9,601,149
 
Meridian Bioscience, Inc.
  4,317   42,479
#*
Merit Medical Systems, Inc.
  6,597   240,263
#
Merrimack Pharmaceuticals, Inc.
  2,200   6,754
*
Mersana Therapeutics, Inc.
  5,538   37,381
#
Mesa Laboratories, Inc.
  200   52,488
*
Mettler-Toledo International, Inc.
  2,599   1,967,911
*
Minerva Neurosciences, Inc.
  5,400   43,902
*
Molecular Templates, Inc.
  3,072   45,896
#*
Molina Healthcare, Inc.
  21,102   2,594,913
*
Momenta Pharmaceuticals, Inc.
  4,100   118,982
#*
MyoKardia Inc.
  718   48,846
*
Myriad Genetics, Inc.
  6,538   180,776
 
National Research Corp.
  1,731   117,137
*
Natus Medical, Inc.
  3,851   120,498
*
Neogen Corp.
  4,152   279,305
*
NeoGenomics, Inc.
  6,093   196,377
 
Neoleukin Therapeutics, Inc.
  3,400   42,024
*
Neurocrine Biosciences, Inc.
  3,014   301,641
#*
NewLink Genetics Corp.
  1,938   3,178
*
NextGen Healthcare, Inc.
  5,664   78,503
*
Novocure, Ltd.
  5,649   460,168
*
NuVasive, Inc.
  3,689   284,496
*
Omnicell, Inc.
  4,122   335,036
#*
OPKO Health, Inc.
  72,128   104,586
*
Option Care Health, Inc.
  18,552   77,547
*
OraSure Technologies, Inc.
  3,692   26,029
*
Orthofix Medical, Inc.
  1,449   62,684
#*
OrthoPediatrics Corp.
  1,393   63,980
*
Otonomy, Inc.
  3,300   10,560
*
Ovid therapeutics, Inc.
  4,442   15,991
 
Owens & Minor, Inc.
  6,914   43,282
*
Oxford Immunotec Global P.L.C.
  1,100   17,028
*
Pacira BioSciences, Inc.
  1,924   83,155
*
PDL BioPharma, Inc.
  17,391   57,216
#*
Penumbra, Inc.
  2,643   463,741
 
PerkinElmer, Inc.
  10,773   996,287
 
Perrigo Co. P.L.C.
  13,498   769,926
#*
PetIQ, Inc.
  3,429   102,013
*
Pfenex, Inc.
  2,224   23,841
 
Pfizer, Inc.
  251,336   9,359,753
*
PRA Health Sciences, Inc.
  12,365   1,252,698
#*
Premier, Inc., Class A
  12,776   444,221
#*
Prestige Consumer Healthcare, Inc.
  5,817   235,937
*
Pro-Dex, Inc.
  1,452   21,925
*
Protagonist Therapeutics, Inc.
  4,126   31,151
*
Prothena Corp. P.L.C.
  8,464   103,007
*
Providence Service Corp. (The)
  1,646   106,743
 
Psychemedics Corp.
  600   5,700
 
Quest Diagnostics, Inc.
  8,777   971,351
*
Quidel Corp.
  2,190   168,192
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
HEALTH CARE — (Continued)
*
R1 RCM, Inc.
  12,604   $157,550
#*
Ra Pharmaceuticals, Inc.
  1,700   79,679
*
RadNet, Inc.
  5,858   132,215
*
Regeneron Pharmaceuticals, Inc.
  4,747   1,604,201
#*
REGENXBIO, Inc.
  4,538   197,539
*
Repligen Corp.
  5,247   526,746
 
ResMed, Inc.
  12,013   1,909,707
*
Retrophin, Inc.
  3,350   51,791
*
Rhythm Pharmaceuticals, Inc.
  2,267   39,763
#*
Rigel Pharmaceuticals, Inc.
  10,783   24,370
*
Rocket Pharmaceuticals, Inc.
  3,300   67,584
*
RTI Surgical Holdings, Inc.
  7,852   32,664
#*
Sage Therapeutics, Inc.
  2,948   195,393
#*
Sangamo Therapeutics, Inc.
  12,900   94,557
#*
Sarepta Therapeutics, Inc.
  1,842   213,598
*
SeaSpine Holdings Corp.
  289   4,266
*
Seattle Genetics, Inc.
  4,292   465,210
#*
SIGA Technologies, Inc.
  2,512   12,937
 
Simulations Plus, Inc.
  2,272   74,022
*
Spectrum Pharmaceuticals, Inc.
  6,748   17,072
*
Spero Therapeutics, Inc.
  1,099   10,122
 
STERIS P.L.C.
  4,871   734,011
 
Stryker Corp.
  22,983   4,842,518
*
Supernus Pharmaceuticals, Inc.
  4,614   105,522
*
Surmodics, Inc.
  1,314   51,758
*
Syndax Pharmaceuticals, Inc.
  5,336   50,052
*
Syneos Health, Inc.
  16,667   1,022,687
*
Synlogic, Inc.
  3,260   8,737
#*
Syros Pharmaceuticals, Inc.
  52   367
#*
Tactile Systems Technology, Inc.
  2,040   114,628
*
Taro Pharmaceutical Industries, Ltd.
  3,672   296,220
#*
Teladoc Health, Inc.
  6,190   629,585
 
Teleflex, Inc.
  3,278   1,217,810
 
Thermo Fisher Scientific, Inc.
  20,021   6,270,377
#*
Tivity Health, Inc.
  7,661   165,822
#*
Triple-S Management Corp., Class B
  7,807   137,559
#*
Ultragenyx Pharmaceutical Inc.
  1,349   70,890
*
United Therapeutics Corp.
  8,846   863,989
 
UnitedHealth Group, Inc.
  104,117   28,366,677
 
US Physical Therapy, Inc.
  1,213   142,091
 
Utah Medical Products, Inc.
  407   37,472
*
Vanda Pharmaceuticals, Inc.
  2,458   31,339
*
Varex Imaging Corp.
  5,760   159,264
*
Varian Medical Systems, Inc.
  7,444   1,046,403
*
Veeva Systems, Inc., Class A
  7,607   1,115,262
#*
Vericel Corp.
  4,909   80,508
*
Vertex Pharmaceuticals, Inc.
  9,355   2,124,053
#*
Vocera Communications, Inc.
  332   7,314
#*
Waters Corp.
  6,199   1,387,274
*
Wright Medical Group NV
  7,475   225,296
#*
Xencor, Inc.
  3,723   126,359
#*
Xenon Pharmaceuticals, Inc.
  1,372   20,086
 
Zimmer Biomet Holdings, Inc.
  16,746   2,476,733
 
Zoetis, Inc.
  36,717   4,927,789
#*
Zogenix, Inc.
  4,233   213,216
TOTAL HEALTH CARE
      315,521,445
INDUSTRIALS — (12.3%)
 
3M Co.
  33,390   5,297,657
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
 
AAON, Inc.
  9,209   $482,920
 
AAR Corp.
  6,170   262,719
 
ABM Industries, Inc.
  22,229   847,814
*
Acacia Research Corp.
  3,806   9,515
 
ACCO Brands Corp.
  15,408   133,125
 
Acme United Corp.
  500   11,955
 
Acuity Brands, Inc.
  8,573   1,010,500
#
ADT, Inc.
  57,163   354,411
 
Advanced Drainage Systems, Inc.
  7,577   314,976
*
AECOM
  42,164   2,033,570
*
Aegion Corp.
  9,894   206,785
#*
Aerojet Rocketdyne Holdings, Inc.
  16,542   861,342
*
Aerovironment, Inc.
  3,965   264,109
 
AGCO Corp.
  21,415   1,502,048
 
Air Lease Corp.
  33,211   1,426,080
 
Aircastle, Ltd.
  27,355   877,822
 
Alamo Group, Inc.
  2,044   254,601
 
Albany International Corp., Class A
  5,426   378,572
 
Allegion P.L.C.
  6,115   790,792
 
Allied Motion Technologies, Inc.
  500   22,920
 
Allison Transmission Holdings, Inc.
  27,079   1,196,892
 
Altra Industrial Motion Corp.
  11,440   380,494
 
AMERCO
  6,442   2,391,721
*
Ameresco, Inc., Class A
  6,493   124,601
*
American Woodmark Corp.
  2,700   296,055
 
AMETEK, Inc.
  23,156   2,249,605
#
AO Smith Corp.
  12,611   538,364
 
Apogee Enterprises, Inc.
  4,771   151,813
 
Applied Industrial Technologies, Inc.
  9,233   596,175
 
ARC Document Solutions, Inc.
  2,577   3,299
 
ArcBest Corp.
  5,840   130,290
 
Arconic, Inc.
  31,398   940,370
 
Arcosa, Inc.
  6,644   290,675
 
Argan, Inc.
  3,356   141,321
*
Armstrong Flooring, Inc.
  2,090   7,399
 
Armstrong World Industries, Inc.
  5,964   598,368
*
ASGN, Inc.
  16,140   1,092,517
 
Astec Industries, Inc.
  4,309   177,703
*
Astronics Corp.
  5,151   129,805
*
Astronics Corp., Class B
  1,188   29,967
*
Atkore International Group, Inc.
  8,777   348,447
*
Avis Budget Group, Inc.
  22,510   738,328
 
AZZ, Inc.
  3,314   136,736
 
Barnes Group, Inc.
  9,557   603,716
 
Barrett Business Services, Inc.
  1,389   115,051
*
Beacon Roofing Supply, Inc.
  21,110   698,952
 
BG Staffing, Inc.
  2,546   51,226
*
Blue Bird Corp.
  2,016   39,776
*
BMC Stock Holdings, Inc.
  12,581   367,176
 
Brady Corp., Class A
  5,547   307,137
#
Briggs & Stratton Corp.
  8,492   31,166
#*
BrightView Holdings, Inc.
  1,025   16,195
 
Brink's Co. (The)
  10,118   851,834
*
Builders FirstSource, Inc.
  28,469   705,889
#
BWX Technologies, Inc.
  11,003   699,681
*
CAI International, Inc.
  3,015   82,008
 
Carlisle Cos., Inc.
  7,448   1,163,601
 
Caterpillar, Inc.
  61,753   8,111,257
*
CBIZ, Inc.
  9,062   244,674
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
*
CECO Environmental Corp.
  2,011   $15,284
#
CH Robinson Worldwide, Inc.
  19,561   1,412,695
*
Chart Industries, Inc.
  5,655   361,807
#*
Cimpress P.L.C.
  4,714   563,936
 
Cintas Corp.
  10,323   2,879,807
*
CIRCOR International, Inc.
  2,327   96,640
*
Civeo Corp.
  14,984   20,079
*
Clean Harbors, Inc.
  8,582   705,612
#*
Colfax Corp.
  23,984   843,277
 
Columbus McKinnon Corp.
  3,885   135,936
 
Comfort Systems USA, Inc.
  10,455   485,112
*
Commercial Vehicle Group, Inc.
  3,200   15,968
*
Construction Partners, Inc., Class A
  2,966   49,769
*
Continental Building Products, Inc.
  4,160   153,878
*
Copart, Inc.
  27,818   2,822,414
*
Cornerstone Building Brands, Inc.
  7,677   65,869
*
CoStar Group, Inc.
  2,917   1,904,772
*
Covenant Transportation Group, Inc., Class A
  3,969   50,347
*
CPI Aerostructures, Inc.
  1,133   7,478
 
CRA International, Inc.
  684   36,444
 
Crane Co.
  12,658   1,081,753
 
CSW Industrials, Inc.
  1,566   118,828
 
CSX Corp.
  27,933   2,132,405
 
Cubic Corp.
  5,925   386,843
 
Cummins, Inc.
  28,731   4,596,098
 
Curtiss-Wright Corp.
  8,982   1,306,252
 
Deere & Co.
  22,018   3,491,614
 
Deluxe Corp.
  7,200   347,040
#
Donaldson Co., Inc.
  26,476   1,372,781
 
Douglas Dynamics, Inc.
  4,728   247,889
 
Dover Corp.
  14,709   1,674,620
*
Ducommun, Inc.
  1,219   49,894
*
DXP Enterprises, Inc.
  5,236   181,532
*
Dycom Industries, Inc.
  6,464   261,275
 
Eastern Co. (The)
  406   11,246
 
Eaton Corp. P.L.C.
  26,746   2,526,695
*
Echo Global Logistics, Inc.
  5,738   111,202
 
EMCOR Group, Inc.
  14,618   1,201,161
 
Emerson Electric Co.
  44,970   3,221,201
 
Encore Wire Corp.
  4,262   231,469
#*
Energy Recovery, Inc.
  3,528   36,021
 
Enerpac Tool Group Corp.
  8,274   191,212
 
EnerSys
  8,254   593,958
 
Ennis, Inc.
  7,441   155,219
 
EnPro Industries, Inc.
  2,521   147,327
 
Equifax, Inc.
  7,735   1,159,476
 
ESCO Technologies, Inc.
  3,707   355,724
*
Evoqua Water Technologies Corp.
  16,637   332,241
*
ExOne Co. (The)
  1,400   9,786
 
Expeditors International of Washington, Inc.
  33,825   2,470,578
 
Exponent, Inc.
  10,538   766,850
 
Fastenal Co.
  68,466   2,388,094
 
Federal Signal Corp.
  13,257   426,345
 
FedEx Corp.
  14,541   2,103,210
 
Flowserve Corp.
  25,118   1,172,508
 
Fluor Corp.
  39,937   714,473
 
Forrester Research, Inc.
  4,222   174,664
 
Fortive Corp.
  37,928   2,841,945
 
Fortune Brands Home & Security, Inc.
  26,458   1,817,929
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
 
Forward Air Corp.
  5,320   $348,194
*
Franklin Covey Co.
  1,000   31,800
 
Franklin Electric Co., Inc.
  8,686   501,095
*
FreightCar America, Inc.
  1,405   2,262
*
FTI Consulting, Inc.
  9,087   1,090,985
#*
Gardner Denver Holdings, Inc.
  44,335   1,565,469
#*
Gates Industrial Corp. P.L.C.
  3,471   43,283
#
GATX Corp.
  5,242   399,073
*
Gencor Industries, Inc.
  1,295   14,517
*
Generac Holdings, Inc.
  12,958   1,342,319
 
General Dynamics Corp.
  20,969   3,678,801
 
General Electric Co.
  471,550   5,870,797
*
Gibraltar Industries, Inc.
  5,794   315,889
*
GMS, Inc.
  8,137   217,421
*
Goldfield Corp. (The)
  3,131   10,645
 
Gorman-Rupp Co. (The)
  3,775   139,335
*
GP Strategies Corp.
  2,804   37,321
 
Graco, Inc.
  31,266   1,661,788
#
GrafTech International, Ltd.
  31,499   337,984
 
Graham Corp.
  400   7,312
#
Granite Construction, Inc.
  9,174   248,891
*
Great Lakes Dredge & Dock Corp.
  9,514   99,612
 
Greenbrier Cos., Inc. (The)
  8,751   210,812
 
Griffon Corp.
  6,042   125,613
 
H&E Equipment Services, Inc.
  11,912   322,934
*
Harsco Corp.
  18,453   274,950
*
HD Supply Holdings, Inc.
  46,459   1,892,740
#
Healthcare Services Group, Inc.
  8,956   229,274
 
Heartland Express, Inc.
  13,348   249,474
#
HEICO Corp.
  5,475   670,304
 
HEICO Corp., Class A
  8,787   844,870
 
Heidrick & Struggles International, Inc.
  4,482   127,378
 
Helios Technologies, Inc.
  5,636   239,643
*
Herc Holdings, Inc.
  7,086   284,290
 
Herman Miller, Inc.
  10,085   389,785
*
Hertz Global Holdings, Inc.
  21,291   335,546
 
Hexcel Corp.
  14,657   1,087,843
*
Hill International, Inc.
  3,244   10,738
 
Hillenbrand, Inc.
  12,211   354,485
 
HNI Corp.
  7,765   279,307
 
Honeywell International, Inc.
  51,454   8,912,862
*
Houston Wire & Cable Co.
  1,900   7,562
*
Hub Group, Inc., Class A
  5,891   311,457
 
Hubbell, Inc.
  11,419   1,635,543
#*
Hudson Technologies, Inc.
  2,424   1,987
 
Huntington Ingalls Industries, Inc.
  8,081   2,109,141
 
Hurco Cos., Inc.
  600   18,780
*
Huron Consulting Group, Inc.
  4,001   259,305
#*
Huttig Building Products, Inc.
  2,740   3,973
 
Hyster-Yale Materials Handling, Inc.
  1,600   86,384
*
IAA Inc.
  22,738   1,074,598
 
ICF International, Inc.
  4,658   407,994
 
IDEX Corp.
  6,646   1,088,947
*
IES Holdings, Inc.
  1,364   34,114
 
Illinois Tool Works, Inc.
  24,665   4,315,882
 
Ingersoll-Rand P.L.C.
  22,962   3,059,227
*
InnerWorkings, Inc.
  7,179   29,793
 
Insperity, Inc.
  8,343   728,928
 
Insteel Industries, Inc.
  2,902   64,918
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
 
Interface, Inc.
  9,097   $146,280
 
ITT, Inc.
  31,354   2,103,226
 
Jacobs Engineering Group, Inc.
  18,435   1,705,791
 
JB Hunt Transport Services, Inc.
  7,395   798,142
*
JELD-WEN Holding, Inc.
  9,314   222,418
 
John Bean Technologies Corp.
  6,000   677,940
 
Johnson Controls International P.L.C.
  66,384   2,618,849
 
Kadant, Inc.
  2,282   243,261
 
Kaman Corp.
  5,016   309,588
 
Kansas City Southern
  2,727   460,018
#
KAR Auction Services, Inc.
  36,751   772,506
 
Kelly Services, Inc., Class A
  9,921   176,197
 
Kennametal, Inc.
  15,668   490,252
 
Kforce, Inc.
  9,003   333,561
 
Kimball International, Inc., Class B
  5,382   101,074
#
Knight-Swift Transportation Holdings, Inc.
  18,440   683,755
 
Knoll, Inc.
  8,667   214,595
 
Korn Ferry
  17,290   708,544
*
Kratos Defense & Security Solutions, Inc.
  17,831   327,021
 
L3Harris Technologies, Inc.
  22,956   5,080,851
 
Landstar System, Inc.
  5,228   579,001
*
Lawson Products, Inc.
  796   37,587
*
LB Foster Co., Class A
  958   16,248
 
Lennox International, Inc.
  4,574   1,065,651
 
Lincoln Electric Holdings, Inc.
  13,027   1,161,748
#
Lindsay Corp.
  1,188   118,836
*
LS Starrett Co. (The), Class A
  1,000   5,630
 
LSI Industries, Inc.
  1,800   11,970
*
Lydall, Inc.
  2,892   59,112
 
Macquarie Infrastructure Corp.
  6,266   276,393
*
Manitex International, Inc.
  3,706   21,272
*
Manitowoc Co., Inc. (The)
  12,841   185,552
 
ManpowerGroup, Inc.
  21,150   1,935,013
 
Marten Transport, Ltd.
  5,543   115,073
 
Masco Corp.
  28,748   1,366,105
*
Masonite International Corp.
  2,005   150,596
*
MasTec, Inc.
  29,492   1,703,163
 
Matthews International Corp., Class A
  7,666   286,095
 
McGrath RentCorp
  5,554   429,435
*
Mercury Systems, Inc.
  7,858   603,102
*
Meritor, Inc.
  23,825   522,006
*
Middleby Corp. (The)
  10,075   1,130,012
 
Miller Industries, Inc.
  900   30,969
*
Mistras Group, Inc.
  3,871   42,852
 
Mobile Mini, Inc.
  11,404   476,003
 
Moog, Inc., Class A
  5,588   500,741
*
MRC Global, Inc.
  17,222   193,920
 
MSA Safety, Inc.
  5,336   723,562
 
MSC Industrial Direct Co., Inc., Class A
  11,202   762,520
 
Mueller Industries, Inc.
  5,807   169,390
 
Mueller Water Products, Inc., Class A
  26,198   305,207
*
MYR Group, Inc.
  3,112   89,377
*
Navistar International Corp.
  17,069   625,067
 
Nielsen Holdings P.L.C.
  131,005   2,672,502
*
NL Industries, Inc.
  1,570   5,275
#
NN, Inc.
  3,098   26,736
 
Nordson Corp.
  11,500   1,941,890
 
Northrop Grumman Corp.
  14,229   5,329,757
*
Northwest Pipe Co.
  1,100   36,003
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
*
NOW, Inc.
  36,096   $361,321
#*
NV5 Global, Inc.
  2,181   135,462
 
nVent Electric P.L.C.
  20,552   511,745
 
Old Dominion Freight Line, Inc.
  7,715   1,513,914
#
Omega Flex, Inc.
  391   41,211
*
Orion Group Holdings, Inc.
  1,224   5,288
 
Oshkosh Corp.
  17,734   1,525,833
 
PACCAR, Inc.
  101,979   7,567,862
*
PAM Transportation Services, Inc.
  48   2,564
 
Park Aerospace Corp.
  565   8,741
 
Parker-Hannifin Corp.
  16,218   3,173,700
 
Park-Ohio Holdings Corp.
  4,324   127,126
 
Patrick Industries, Inc.
  4,554   236,262
 
Patriot Transportation Holding, Inc.
  404   4,848
 
Pentair P.L.C.
  33,042   1,418,493
*
PGT Innovations, Inc.
  4,692   72,726
#
Pitney Bowes, Inc.
  48,535   181,521
 
Powell Industries, Inc.
  1,050   43,334
 
Preformed Line Products Co.
  500   27,310
 
Primoris Services Corp.
  9,291   198,177
*
Proto Labs, Inc.
  3,531   365,459
#
Quad/Graphics, Inc.
  5,242   22,279
 
Quanex Building Products Corp.
  2,223   39,392
 
Quanta Services, Inc.
  28,916   1,132,061
*
Radiant Logistics, Inc.
  3,151   15,219
 
Raven Industries, Inc.
  2,635   82,634
 
Raytheon Co.
  29,224   6,456,751
*
RBC Bearings, Inc.
  3,398   528,423
 
Regal Beloit Corp.
  8,638   677,737
*
Resideo Technologies, Inc.
  9,762   99,377
 
Resources Connection, Inc.
  6,015   91,578
 
REV Group, Inc.
  4,519   45,190
*
Rexnord Corp.
  20,323   663,546
 
Robert Half International, Inc.
  40,675   2,366,065
 
Rockwell Automation, Inc.
  13,399   2,568,052
#
Rollins, Inc.
  23,535   893,153
 
Roper Technologies, Inc.
  5,402   2,061,727
#
RR Donnelley & Sons Co.
  3,608   8,659
 
Rush Enterprises, Inc., Class A
  7,387   317,641
 
Rush Enterprises, Inc., Class B
  348   15,437
 
Ryder System, Inc.
  9,464   451,622
*
Saia, Inc.
  3,500   304,850
 
Schneider National, Inc., Class B
  20,115   447,961
*
Sensata Technologies Holding P.L.C.
  34,920   1,650,668
#*
SiteOne Landscape Supply, Inc.
  9,588   925,721
 
Snap-on, Inc.
  13,717   2,189,645
*
SP Plus Corp.
  2,747   114,852
 
Spartan Motors, Inc.
  3,151   53,567
 
Spirit AeroSystems Holdings, Inc., Class A
  20,684   1,351,079
*
SPX Corp.
  6,561   321,948
*
SPX FLOW, Inc.
  7,958   348,083
 
Standex International Corp.
  1,282   93,701
 
Stanley Black & Decker, Inc.
  16,396   2,612,375
 
Steelcase, Inc., Class A
  15,524   288,902
*
Sterling Construction Co., Inc.
  1,372   18,076
#*
Sunrun, Inc.
  24,039   409,384
 
Systemax, Inc.
  13,866   327,931
#*
Team, Inc.
  3,960   53,856
*
Teledyne Technologies, Inc.
  4,089   1,492,730
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
 
Tennant Co.
  2,464   $190,270
 
Terex Corp.
  14,474   366,916
 
Tetra Tech, Inc.
  8,750   749,000
*
Textainer Group Holdings, Ltd.
  1,000   9,470
 
Textron, Inc.
  32,251   1,481,288
*
Thermon Group Holdings, Inc.
  3,145   74,537
 
Timken Co. (The)
  13,819   725,912
 
Titan International, Inc.
  6,299   18,015
*
Titan Machinery, Inc.
  1,852   22,613
 
Toro Co. (The)
  23,303   1,864,706
#*
TPI Composites, Inc.
  6,062   125,787
*
Transcat, Inc.
  923   28,244
#
TransDigm Group, Inc.
  3,841   2,470,838
 
TransUnion
  17,718   1,624,741
#*
Trex Co., Inc.
  4,022   395,121
*
TriMas Corp.
  4,787   137,531
*
TriNet Group, Inc.
  22,889   1,306,046
#
Trinity Industries, Inc.
  22,537   458,177
 
Triton International, Ltd.
  26,095   979,867
#
Triumph Group, Inc.
  7,373   150,630
*
TrueBlue, Inc.
  9,340   204,639
#*
Tutor Perini Corp.
  10,903   122,768
*
Twin Disc, Inc.
  1,000   9,750
*
Ultralife Corp.
  1,376   9,563
 
UniFirst Corp.
  2,349   479,032
 
Union Pacific Corp.
  14,027   2,516,724
 
United Parcel Service, Inc., Class B
  31,437   3,254,358
*
United Rentals, Inc.
  14,693   1,993,693
 
United Technologies Corp.
  65,414   9,825,183
#*
Univar Solutions, Inc.
  37,328   804,418
 
Universal Forest Products, Inc.
  9,153   438,429
 
Universal Logistics Holdings, Inc.
  1,639   27,699
#*
Upwork, Inc.
  7,278   66,812
#*
USA Truck, Inc.
  1,300   7,397
 
Valmont Industries, Inc.
  3,833   544,516
*
Vectrus, Inc.
  1,788   99,681
 
Verisk Analytics, Inc.
  25,879   4,204,561
*
Veritiv Corp.
  2,117   29,807
 
Viad Corp.
  2,443   158,795
#*
Vicor Corp.
  2,080   104,104
*
Volt Information Sciences, Inc.
  3,314   8,351
 
VSE Corp.
  1,028   31,981
 
Wabash National Corp.
  8,546   99,134
*
WABCO Holdings, Inc.
  11,076   1,502,459
#
Wabtec Corp.
  22,333   1,649,515
#
Watsco, Inc.
  5,603   974,474
 
Watts Water Technologies, Inc., Class A
  4,878   486,385
*
Welbilt, Inc.
  19,187   289,532
 
Werner Enterprises, Inc.
  14,808   545,823
*
WESCO International, Inc.
  17,456   845,045
#*
Willdan Group, Inc.
  407   13,484
*
Willis Lease Finance Corp.
  474   28,108
*
WillScot Corp.
  19,203   361,977
 
Woodward, Inc.
  11,090   1,289,878
 
WW Grainger, Inc.
  10,481   3,172,284
#*
XPO Logistics, Inc.
  16,377   1,456,243
 
Xylem, Inc.
  19,524   1,594,330
#*
YRC Worldwide, Inc.
  3,057   6,909
TOTAL INDUSTRIALS
      294,594,732
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (21.6%)
*
A10 Networks Inc.
  2,977   $20,273
*
Acacia Communications, Inc.
  6,401   438,789
 
Accenture P.L.C., Class A
  43,563   8,939,563
*
ACI Worldwide, Inc.
  17,352   597,776
#*
Adesto Technologies Corp.
  3,459   24,559
*
Adobe, Inc.
  25,257   8,868,743
 
ADTRAN, Inc.
  9,073   82,111
*
Advanced Micro Devices, Inc.
  40,683   1,912,101
*
Agilysys, Inc.
  5,872   190,840
*
Airgain, Inc.
  869   8,212
*
Akamai Technologies, Inc.
  10,100   942,835
*
Alarm.com Holdings, Inc.
  4,961   217,937
 
Alliance Data Systems Corp.
  10,234   1,051,953
#*
Altair Engineering, Inc., Class A
  1,700   62,815
#*
Alteryx, Inc., Class A
  2,791   389,261
 
Amdocs, Ltd.
  19,815   1,425,689
 
American Software, Inc., Class A
  1,400   20,902
*
Amkor Technology, Inc.
  32,186   362,093
*
Amtech Systems, Inc.
  1,892   9,706
 
Analog Devices, Inc.
  20,570   2,257,557
*
Anaplan, Inc.
  4,873   280,636
*
Anixter International, Inc.
  7,471   729,170
*
ANSYS, Inc.
  6,254   1,715,660
#*
Appfolio, Inc., Class A
  1,445   189,931
 
Apple, Inc.
  346,379   107,207,764
 
Applied Materials, Inc.
  71,884   4,168,553
#*
Applied Optoelectronics, Inc.
  821   9,277
*
Arista Networks, Inc.
  7,790   1,739,819
*
Arlo Technologies, Inc.
  11,974   51,129
*
Arrow Electronics, Inc.
  20,808   1,580,160
*
Aspen Technology, Inc.
  8,463   1,006,928
 
AstroNova, Inc.
  667   8,297
*
Asure Software, Inc.
  1,020   8,599
*
Atlassian Corp. P.L.C., Class A
  1,914   281,358
*
Autodesk, Inc.
  14,681   2,889,955
 
Automatic Data Processing, Inc.
  32,663   5,598,112
*
Avalara, Inc.
  6,375   542,767
#*
Avaya Holdings Corp.
  19,531   249,411
*
Avid Technology, Inc.
  2,813   23,643
 
Avnet, Inc.
  25,629   935,202
*
Aware, Inc.
  500   1,800
*
AXT, Inc.
  2,116   8,252
 
Badger Meter, Inc.
  2,964   175,054
 
Bel Fuse, Inc., Class B
  878   15,207
 
Belden, Inc.
  5,498   270,886
 
Benchmark Electronics, Inc.
  8,185   251,934
#*
Black Knight, Inc.
  17,437   1,166,884
 
Blackbaud, Inc.
  7,340   574,942
#*
Blackline Inc.
  3,619   221,374
 
Booz Allen Hamilton Holding Corp.
  21,189   1,653,590
*
Bottomline Technologies De, Inc.
  4,116   220,618
*
Brightcove, Inc.
  4,594   39,784
 
Broadcom, Inc.
  15,710   4,794,064
 
Broadridge Financial Solutions, Inc.
  12,092   1,440,762
 
Brooks Automation, Inc.
  7,442   283,391
 
Cabot Microelectronics Corp.
  3,765   547,845
*
CACI International, Inc., Class A
  4,202   1,123,783
*
Cadence Design Systems, Inc.
  22,177   1,599,183
*
CalAmp Corp.
  13,929   133,997
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (Continued)
*
Calix, Inc.
  5,447   $49,895
*
Cardtronics P.L.C., Class A
  10,306   463,770
 
Cass Information Systems, Inc.
  1,580   85,352
 
CDK Global, Inc.
  20,232   1,086,054
 
CDW Corp.
  15,481   2,019,496
 
Cerence Inc.
  5,365   114,543
#*
Ceridian HCM Holding, Inc.
  10,709   784,863
*
CEVA, Inc.
  2,935   80,272
*
ChannelAdvisor Corp.
  1,902   17,803
*
Ciena Corp.
  28,700   1,167,229
*
Cirrus Logic, Inc.
  5,778   443,808
 
Cisco Systems, Inc.
  311,190   14,305,404
 
Citrix Systems, Inc.
  13,329   1,615,741
*
Clearfield, Inc.
  1,200   15,264
#*
ClearOne, Inc.
  1,716   3,157
 
Cognex Corp.
  11,193   570,507
 
Cognizant Technology Solutions Corp., Class A
  39,232   2,408,060
*
Coherent, Inc.
  3,804   538,000
 
Cohu, Inc.
  5,249   117,420
*
CommScope Holding Co., Inc.
  8,901   108,459
*
CommVault Systems, Inc.
  3,665   164,998
*
Computer Task Group, Inc.
  2,600   15,496
 
Comtech Telecommunications Corp.
  4,990   144,261
*
Conduent, Inc.
  31,474   134,709
 
CoreLogic, Inc.
  16,467   765,715
*
Cornerstone OnDemand Inc.
  4,493   264,188
#*
Coupa Software, Inc.
  3,310   533,407
 
CSG Systems International, Inc.
  7,754   386,304
*
CyberOptics Corp.
  483   10,853
 
Daktronics, Inc.
  4,036   23,812
*
DASAN Zhone Solutions, Inc.
  1,582   14,017
*
Dell Technologies, Inc., Class C
  14,256   695,265
*
Digi International, Inc.
  2,612   41,257
*
Digital Turbine, Inc.
  10,580   66,019
#*
DocuSign, Inc.
  3,200   251,232
 
Dolby Laboratories, Inc., Class A
  5,867   406,818
*
Dropbox, Inc., Class A
  17,914   304,896
*
DSP Group, Inc.
  1,896   27,416
 
DXC Technology Co.
  39,286   1,252,438
#
Ebix, Inc.
  4,775   164,403
*
EchoStar Corp., Class A
  11,657   465,173
*
eGain Corp.
  5,400   38,880
*
Elastic N.V.
  1,456   94,465
*
EMCORE Corp.
  1,184   3,990
*
Endurance International Group Holdings, Inc.
  39,008   184,118
*
Envestnet, Inc.
  6,713   529,454
*
EPAM Systems, Inc.
  3,585   817,882
*
ePlus, Inc.
  2,542   202,648
*
Euronet Worldwide, Inc.
  9,535   1,503,097
 
EVERTEC, Inc.
  17,184   576,867
*
Evo Payments, Inc., Class A
  2,918   80,858
*
ExlService Holdings, Inc.
  6,245   456,572
*
F5 Networks, Inc.
  12,674   1,547,749
*
Fabrinet
  3,800   239,552
*
Fair Isaac Corp.
  4,534   1,824,391
*
FARO Technologies, Inc.
  3,724   192,382
 
Fidelity National Information Services, Inc.
  40,571   5,828,430
*
FireEye, Inc.
  9,000   143,820
*
Fiserv, Inc.
  32,949   3,908,081
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (Continued)
#*
Fitbit, Inc., Class A
  36,521   $238,117
*
FleetCor Technologies, Inc.
  9,123   2,875,843
*
Flex, Ltd.
  54,398   715,334
 
FLIR Systems, Inc.
  11,792   607,760
*
FormFactor, Inc.
  11,485   290,685
*
Fortinet, Inc.
  10,500   1,211,280
*
Frequency Electronics, Inc.
  1,723   15,938
*
Gartner, Inc.
  7,263   1,167,745
*
Genasys, Inc.
  2,697   10,303
 
Genpact, Ltd.
  32,446   1,436,384
 
Global Payments, Inc.
  15,358   3,001,721
 
GlobalSCAPE, Inc.
  2,764   31,897
*
Globant SA
  5,442   667,733
*
GoDaddy, Inc., Class A
  11,671   784,408
*
GSI Technology, Inc.
  2,247   18,223
#*
GTT Communications, Inc.
  9,048   107,219
#*
Guidewire Software, Inc.
  8,540   960,750
 
Hackett Group, Inc. (The)
  4,000   61,820
*
Harmonic, Inc.
  9,882   69,520
 
Hewlett Packard Enterprise Co.
  144,284   2,009,876
 
HP, Inc.
  120,763   2,574,667
*
HubSpot, Inc.
  3,307   598,369
*
I3 Verticals, Inc., Class A
  1,689   54,538
*
Ichor Holdings, Ltd.
  4,111   137,266
*
Identiv, Inc.
  2,402   11,385
#*
II-VI, Inc.
  4,378   147,320
*
Immersion Corp.
  4,600   33,672
#*
Infinera Corp.
  27,228   200,670
*
Information Services Group, Inc.
  4,171   11,262
*
Inphi Corp.
  3,230   245,351
*
Insight Enterprises, Inc.
  8,489   559,170
 
Intel Corp.
  246,515   15,759,704
 
InterDigital, Inc.
  3,428   189,397
#*
Internap Corp.
  200   200
 
International Business Machines Corp.
  96,919   13,930,168
*
Intevac, Inc.
  1,900   11,400
 
Intuit, Inc.
  21,758   6,100,508
*
Iteris, Inc.
  2,900   14,674
*
Itron, Inc.
  6,455   527,696
#
j2 Global, Inc.
  10,355   992,630
 
Jack Henry & Associates, Inc.
  5,680   849,387
 
Juniper Networks, Inc.
  46,698   1,071,252
 
KBR, Inc.
  44,438   1,208,714
*
Key Tronic Corp.
  334   1,937
*
Keysight Technologies, Inc.
  20,038   1,863,334
*
Kimball Electronics, Inc.
  1,207   19,529
 
KLA Corp.
  16,983   2,814,762
*
Knowles Corp.
  19,903   392,686
 
Kulicke & Soffa Industries, Inc.
  8,480   219,547
*
KVH Industries, Inc.
  1,119   11,515
 
Lam Research Corp.
  20,609   6,145,810
#*
Lantronix, Inc.
  3,255   12,434
*
Lattice Semiconductor Corp.
  13,590   252,774
 
Leidos Holdings, Inc.
  16,707   1,678,552
*
LGL Group, Inc. (The)
  400   5,560
*
Limelight Networks, Inc.
  9,772   48,762
*
LiveRamp Holdings, Inc.
  12,127   487,990
 
LogMeIn, Inc.
  11,094   953,751
#*
Lumentum Holdings, Inc.
  7,330   555,394
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (Continued)
*
Luna Innovations, Inc.
  6,774   $55,479
*
MagnaChip Semiconductor Corp.
  3,441   46,281
*
Majesco
  2,700   18,819
*
Manhattan Associates, Inc.
  8,544   730,170
 
ManTech International Corp., Class A
  5,183   416,091
#
Marvell Technology Group, Ltd.
  54,493   1,310,012
 
Mastercard, Inc., Class A
  81,370   25,708,038
 
MAXIMUS, Inc.
  12,054   864,874
*
MaxLinear, Inc.
  8,648   168,550
 
Methode Electronics, Inc.
  2,769   90,685
 
Microsoft Corp.
  354,736   60,386,709
*
MicroStrategy, Inc., Class A
  1,106   168,145
*
Mimecast, Ltd.
  2,916   148,803
 
MKS Instruments, Inc.
  5,684   595,797
*
MoneyGram International, Inc.
  4,365   8,992
#*
MongoDB, Inc.
  2,008   329,131
 
Monolithic Power Systems, Inc.
  2,935   502,384
 
Motorola Solutions, Inc.
  11,789   2,086,653
*
Napco Security Technologies, Inc.
  2,904   85,378
 
National Instruments Corp.
  20,479   913,978
*
NCR Corp.
  25,960   875,371
*
NeoPhotonics Corp.
  13,287   101,380
 
NetApp, Inc.
  24,218   1,293,241
*
NETGEAR, Inc.
  6,047   155,529
*
Netscout Systems, Inc.
  17,095   439,512
*
New Relic, Inc.
  2,518   166,213
 
NIC, Inc.
  9,866   194,656
 
NortonLifeLock Inc.
  48,522   1,378,995
*
Novanta, Inc.
  5,473   496,565
*
Nuance Communications, Inc.
  42,026   795,132
#*
Nutanix, Inc., Class A
  10,372   336,779
 
NVE Corp.
  386   28,317
 
NVIDIA Corp.
  38,814   9,176,794
#*
Okta, Inc.
  2,262   289,649
*
OneSpan, Inc.
  4,089   67,959
*
Onto Innovation Inc.
  5,962   226,198
 
Oracle Corp.
  221,046   11,593,863
*
OSI Systems, Inc.
  3,192   276,236
*
Palo Alto Networks, Inc.
  1,958   459,699
*
PAR Technology Corp.
  1,359   46,247
 
Paychex, Inc.
  37,227   3,192,960
*
Paycom Software, Inc.
  6,879   2,188,623
*
Paylocity Holding Corp.
  4,759   675,255
*
PayPal Holdings, Inc.
  49,398   5,625,938
 
PC Connection, Inc.
  4,867   242,571
 
PC-Tel, Inc.
  8,847   71,218
#*
PDF Solutions, Inc.
  2,200   34,672
 
Pegasystems, Inc.
  6,779   584,418
*
Perficient, Inc.
  5,864   291,441
 
Perspecta, Inc.
  32,590   914,801
*
PFSweb, Inc.
  1,693   7,297
*
Photronics, Inc.
  20,910   267,230
*
Pixelworks, Inc.
  4,600   18,400
 
Power Integrations, Inc.
  2,673   261,072
*
Powerfleet, Inc.
  2,102   15,849
*
PRGX Global, Inc.
  1,900   7,524
 
Progress Software Corp.
  11,017   497,197
*
Proofpoint, Inc.
  4,658   572,049
*
PTC, Inc.
  9,084   755,062
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (Continued)
*
Pure Storage, Inc., Class A
  24,145   $429,781
 
QAD, Inc., Class A
  1,155   59,425
 
QUALCOMM, Inc.
  93,233   7,953,707
*
Qualys, Inc.
  4,646   398,348
*
Rambus, Inc.
  16,625   263,839
*
RealNetworks, Inc.
  2,200   2,904
*
RealPage, Inc.
  13,788   804,530
 
RF Industries, Ltd.
  1,338   8,015
*
Ribbon Communications, Inc.
  4,779   13,477
 
Richardson Electronics, Ltd.
  500   2,635
#*
RingCentral, Inc., Class A
  3,191   656,006
*
Rosetta Stone, Inc.
  3,020   51,793
 
Sabre Corp.
  60,957   1,313,014
*
SailPoint Technologies Holding, Inc.
  9,066   227,466
*
salesforce.com, Inc.
  31,871   5,810,402
 
Sapiens International Corp. NV
  2,199   55,921
*
ScanSource, Inc.
  5,587   194,930
 
Science Applications International Corp.
  13,135   1,152,859
*
Seachange International, Inc.
  5,000   22,200
*
Semtech Corp.
  5,448   262,539
*
ServiceNow, Inc.
  3,560   1,204,099
*
ServiceSource International, Inc.
  4,898   9,306
#*
ShotSpotter, Inc.
  1,286   35,301
*
Sigmatron International, Inc.
  497   1,988
*
Silicon Laboratories, Inc.
  3,124   307,120
*
Smith Micro Software, Inc.
  6,724   34,091
#*
SolarWinds Corp.
  5,876   111,174
*
Splunk, Inc.
  6,561   1,018,661
*
SPS Commerce, Inc.
  2,934   166,739
*
Square, Inc., Class A
  7,484   558,980
 
SS&C Technologies Holdings, Inc.
  35,224   2,219,464
*
StarTek, Inc.
  1,400   10,682
#*
Stratasys, Ltd.
  6,894   123,954
*
Super Micro Computer, Inc.
  2,836   79,295
#
Switch, Inc., Class A
  2,831   45,296
*
Sykes Enterprises, Inc.
  10,168   341,543
*
Synaptics, Inc.
  2,318   154,587
*
Synchronoss Technologies, Inc.
  5,296   28,943
 
SYNNEX Corp.
  12,245   1,686,871
*
Synopsys, Inc.
  11,190   1,650,637
 
TE Connectivity, Ltd.
  5,294   488,001
*
Tech Data Corp.
  7,383   1,062,709
*
Telaria, Inc.
  6,046   61,367
*
Telenav, Inc.
  2,293   10,296
*
Teradata Corp.
  22,482   547,212
 
Teradyne, Inc.
  36,238   2,391,346
 
TESSCO Technologies, Inc.
  626   3,881
 
TiVo Corp.
  15,131   110,154
#*
Trade Desk, Inc. (The), Class A
  2,269   610,769
 
TransAct Technologies, Inc.
  300   3,156
*
Trimble, Inc.
  27,719   1,178,612
 
TTEC Holdings, Inc.
  5,825   231,369
#*
Twilio, Inc., Class A
  5,735   713,090
*
Tyler Technologies, Inc.
  2,943   952,590
#
Ubiquiti, Inc.
  2,640   431,429
*
Unisys Corp.
  6,140   59,619
 
Universal Display Corp.
  2,210   389,336
*
Upland Software, Inc.
  302   11,790
*
Verint Systems, Inc.
  9,133   529,714
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (Continued)
*
VeriSign, Inc.
  8,351   $1,738,177
*
ViaSat, Inc.
  8,532   543,062
*
Viavi Solutions, Inc.
  31,461   443,600
*
Virtusa Corp.
  4,344   180,884
 
Visa, Inc., Class A
  146,048   29,059,171
*
Vishay Precision Group, Inc.
  335   11,571
#*
VMware, Inc., Class A
  4,449   658,719
 
Wayside Technology Group, Inc.
  401   6,436
#
Western Union Co. (The)
  64,196   1,726,872
*
WEX, Inc.
  6,777   1,470,067
*
Workday, Inc., Class A
  3,194   589,708
*
Xerox Holdings Corp.
  42,307   1,504,860
 
Xilinx, Inc.
  19,840   1,676,083
 
Xperi Corp.
  4,264   68,608
*
Zebra Technologies Corp., Class A
  3,465   828,204
*
Zendesk, Inc.
  5,569   481,162
*
Zix Corp.
  2,090   14,108
#*
Zscaler, Inc.
  4,522   253,639
TOTAL INFORMATION TECHNOLOGY
      518,611,513
MATERIALS — (3.2%)
*
AdvanSix, Inc.
  5,770   108,014
*
AgroFresh Solutions, Inc.
  3,791   8,871
#
Albemarle Corp.
  19,807   1,590,106
*
Amcor, PLC.
  180,939   1,916,144
 
American Vanguard Corp.
  6,217   116,134
 
AptarGroup, Inc.
  13,179   1,522,306
 
Ashland Global Holdings, Inc.
  10,442   772,499
 
Avery Dennison Corp.
  14,194   1,862,821
*
Axalta Coating Systems, Ltd.
  77,156   2,222,864
 
Balchem Corp.
  5,578   602,536
 
Ball Corp.
  50,863   3,671,291
*
Berry Global Group, Inc.
  34,122   1,450,867
 
Boise Cascade Co.
  9,523   344,733
 
Celanese Corp.
  14,092   1,458,522
 
Chase Corp.
  1,529   140,622
#
Chemours Co. (The)
  36,199   502,080
*
Clearwater Paper Corp.
  2,428   68,470
*
Coeur Mining, Inc.
  54,461   328,400
 
Commercial Metals Co.
  15,594   320,457
#
Compass Minerals International, Inc.
  7,740   448,069
*
Corteva, Inc.
  18,813   544,072
*
Crown Holdings, Inc.
  29,362   2,173,669
 
Domtar Corp.
  5,740   199,867
*
Dow, Inc.
  14,868   684,969
 
DuPont de Nemours, Inc.
  20,319   1,039,926
 
Ecolab, Inc.
  28,512   5,591,488
*
Element Solutions, Inc.
  57,074   667,766
*
Ferro Corp.
  22,476   307,472
 
FMC Corp.
  16,390   1,566,720
*
Forterra, Inc.
  800   10,360
 
FutureFuel Corp.
  5,003   54,833
*
GCP Applied Technologies, Inc.
  13,183   292,926
 
Graphic Packaging Holding Co.
  63,486   992,286
 
Greif, Inc., Class A
  7,653   309,334
 
Greif, Inc., Class B
  1,339   63,469
 
Hawkins, Inc.
  1,225   51,181
 
Haynes International, Inc.
  347   9,303
#
HB Fuller Co.
  13,059   603,456
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
MATERIALS — (Continued)
 
Hecla Mining Co.
  70,349   $213,158
 
Huntsman Corp.
  60,881   1,251,713
*
Ingevity Corp.
  6,430   419,365
 
Innophos Holdings, Inc.
  2,662   85,078
 
Innospec, Inc.
  5,686   572,751
#
International Flavors & Fragrances, Inc.
  10,449   1,369,968
 
International Paper Co.
  34,144   1,390,344
*
Koppers Holdings, Inc.
  2,305   72,331
*
Kraton Corp.
  12,901   212,221
 
Kronos Worldwide, Inc.
  12,911   139,955
#*
Livent Corp.
  22,215   209,043
 
Louisiana-Pacific Corp.
  14,818   454,616
*
LSB Industries, Inc.
  1,000   3,020
 
LyondellBasell Industries NV, Class A
  31,763   2,473,067
 
Martin Marietta Materials, Inc.
  6,116   1,613,401
 
Materion Corp.
  3,829   207,915
 
Mercer International, Inc.
  9,541   105,046
 
Minerals Technologies, Inc.
  8,295   449,008
 
Mosaic Co. (The)
  22,504   446,479
 
Myers Industries, Inc.
  8,836   142,967
 
Neenah, Inc.
  3,136   208,983
 
NewMarket Corp.
  2,756   1,211,593
 
Newmont Corp.
  2,472   111,388
*
OMNOVA Solutions, Inc.
  5,800   58,638
 
Packaging Corp. of America
  9,427   902,635
 
PH Glatfelter Co.
  6,681   111,573
 
PolyOne Corp.
  7,683   254,922
 
PPG Industries, Inc.
  36,255   4,344,799
*
PQ Group Holdings, Inc.
  2,891   44,261
#
Quaker Chemical Corp.
  1,340   222,467
 
Rayonier Advanced Materials, Inc.
  8,900   27,412
 
Reliance Steel & Aluminum Co.
  22,053   2,531,684
 
Royal Gold, Inc.
  5,173   596,550
 
RPM International, Inc.
  19,319   1,378,797
*
Ryerson Holding Corp.
  4,643   47,591
 
Schnitzer Steel Industries, Inc., Class A
  10,435   167,795
 
Scotts Miracle-Gro Co. (The)
  15,624   1,917,690
 
Sealed Air Corp.
  33,303   1,182,257
 
Sensient Technologies Corp.
  8,535   509,966
 
Sherwin-Williams Co. (The)
  12,973   7,225,831
 
Silgan Holdings, Inc.
  25,977   801,650
 
Sonoco Products Co.
  21,035   1,201,940
 
Stepan Co.
  4,943   487,627
 
Tecnoglass, Inc.
  2,017   15,269
 
Trinseo SA
  9,167   263,276
#*
US Concrete, Inc.
  1,620   57,656
 
Valvoline, Inc.
  50,091   1,055,918
 
Vulcan Materials Co.
  12,949   1,833,967
 
Westlake Chemical Corp.
  8,076   494,251
 
WestRock Co.
  19,850   774,150
 
Worthington Industries, Inc.
  9,898   364,048
 
WR Grace & Co.
  4,844   326,292
TOTAL MATERIALS
      77,183,225
REAL ESTATE — (0.4%)
*
Altisource Portfolio Solutions SA
  510   9,486
*
CBRE Group, Inc., Class A
  59,862   3,654,575
 
Consolidated-Tomoka Land Co.
  572   36,299
#*
Cushman & Wakefield PLC
  28,554   548,808
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
REAL ESTATE — (Continued)
*
Forestar Group, Inc.
  740   $15,000
*
FRP Holdings, Inc.
  837   39,623
 
Griffin Industrial Realty, Inc.
  600   24,300
*
Howard Hughes Corp. (The)
  4,175   508,014
 
Jones Lang LaSalle, Inc.
  14,574   2,474,957
*
JW Mays, Inc.
  248   7,192
*
Marcus & Millichap, Inc.
  6,835   241,959
#*
Maui Land & Pineapple Co., Inc.
  7,404   77,372
 
Newmark Group, Inc., Class A
  19,848   233,611
*
Rafael Holdings, Inc., Class B
  1,730   35,015
 
RE/MAX Holdings, Inc., Class A
  6,670   255,328
#
Realogy Holdings Corp.
  19,187   203,190
 
RMR Group, Inc. (The), Class A
  3,772   173,776
#*
St Joe Co. (The)
  5,730   120,387
*
Stratus Properties, Inc.
  321   9,550
TOTAL REAL ESTATE
      8,668,442
UTILITIES — (1.0%)
 
American States Water Co.
  9,309   824,405
 
American Water Works Co., Inc.
  22,855   3,112,851
*
AquaVenture Holdings, Ltd.
  5,294   142,938
 
Atmos Energy Corp.
  11,430   1,337,653
#
Avangrid, Inc.
  9,488   505,331
 
California Water Service Group
  11,633   611,430
 
Chesapeake Utilities Corp.
  2,228   214,356
 
Clearway Energy, Inc., Class A
  5,815   120,312
 
Clearway Energy, Inc., Class C
  10,478   221,819
 
Consolidated Edison, Inc.
  30,816   2,896,704
 
Consolidated Water Co., Ltd.
  163   2,789
 
Essential Utilities, Inc.
  30,038   1,560,174
 
Eversource Energy
  40,677   3,760,182
 
Genie Energy, Ltd., Class B
  102   737
 
Middlesex Water Co.
  3,825   249,619
 
New Jersey Resources Corp.
  16,598   685,829
 
Northwest Natural Holding Co.
  6,141   450,627
 
ONE Gas, Inc.
  9,892   934,794
 
Ormat Technologies, Inc.
  12,834   1,017,223
 
Pattern Energy Group, Inc., Class A
  27,600   742,716
 
SJW Group
  5,899   432,692
#
South Jersey Industries, Inc.
  22,212   684,130
 
Southwest Gas Holdings, Inc.
  13,412   1,012,740
 
Spire, Inc.
  8,761   738,728
 
TerraForm Power, Inc., Class A
  54,465   985,272
 
Unitil Corp.
  2,002   123,503
 
York Water Co. (The)
  1,961   92,873
TOTAL UTILITIES
      23,462,427
TOTAL COMMON STOCKS
      2,355,258,338
RIGHTS/WARRANTS — (0.0%)
HEALTH CARE — (0.0%)
#*»
Cidara Therapeutics, Inc. Rights 02/10/2020
  363   232
TOTAL INVESTMENT SECURITIES

(Cost $1,673,053,165)
      2,355,258,570
    
         
TEMPORARY CASH INVESTMENTS — (0.3%)
 
State Street Institutional U.S. Government Money Market Fund 1.518%
  6,918,659 6,918,659
U.S. Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value†
SECURITIES LENDING COLLATERAL — (1.7%)
@§
The DFA Short Term Investment Fund
  3,483,663   $40,312,949
TOTAL INVESTMENTS — (100.0%)    
(Cost $1,720,277,228)^^
      $2,402,490,178
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Common Stocks              
Communication Services
$230,583,121   —   —   $230,583,121
Consumer Discretionary
312,682,900   $723   —   312,683,623
Consumer Staples
135,012,291   —   —   135,012,291
Energy
37,371,269   —   —   37,371,269
Financials
401,562,786   3,464   —   401,566,250
Health Care
315,514,102   7,343   —   315,521,445
Industrials
294,594,732   —   —   294,594,732
Information Technology
518,611,513   —   —   518,611,513
Materials
77,183,225   —   —   77,183,225
Real Estate
8,668,442   —   —   8,668,442
Utilities
23,462,427   —   —   23,462,427
Rights/Warrants              
Health Care
—   232   —   232
Temporary Cash Investments
6,918,659   —   —   6,918,659
Securities Lending Collateral
—   40,312,949   —   40,312,949
TOTAL
$2,362,165,467   $40,324,711   —   $2,402,490,178
International Sustainability Core 1 Portfolio
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
      Shares   Value»
COMMON STOCKS — (96.5%)
AUSTRALIA — (5.3%)
 
A2B Australia, Ltd.
  17,255   $16,925
 
Accent Group, Ltd.
  70,792   79,583
 
Adairs, Ltd.
  42,993   63,490
#*
Afterpay, Ltd.
  13,040   325,634
#*
Ainsworth Game Technology, Ltd.
  11,413   5,576
 
ALS, Ltd.
  123,561   789,642
 
Altium, Ltd.
  20,821   543,359
 
AMA Group, Ltd.
  49,486   30,011
 
AMP, Ltd.
  724,932   874,774
 
AP Eagers, Ltd.
  29,034   172,887
 
APA Group
  62,345   468,124
 
Appen, Ltd.
  10,672   175,947
#
ARB Corp., Ltd.
  11,552   142,054
*
Ardent Leisure Group, Ltd.
  30,005   28,129
 
Aristocrat Leisure, Ltd.
  29,760   709,751
 
Atlas Arteria, Ltd.
  147,662   795,224
 
AUB Group, Ltd.
  10,909   94,538
 
Aurelia Metals, Ltd.
  31,225   9,207
 
Austal, Ltd.
  74,939   193,544
 
Australia & New Zealand Banking Group, Ltd.
  102,626   1,746,937
 
Australian Ethical Investment, Ltd.
  5,673   18,225
 
Australian Finance Group, Ltd.
  18,215   34,555
 
Australian Pharmaceutical Industries, Ltd.
  123,165   107,712
 
Auswide Bank, Ltd.
  3,218   13,230
 
Baby Bunting Group, Ltd.
  14,204   32,081
 
Bank of Queensland, Ltd.
  83,414   424,084
 
Bapcor, Ltd.
  51,186   213,924
 
Beach Energy, Ltd.
  692,428   1,207,841
 
Beacon Lighting Group, Ltd.
  15,582   11,319
 
Bell Financial Group, Ltd.
  28,791   26,216
 
Bingo Industries, Ltd.
  97,388   179,837
#
Blackmores, Ltd.
  3,409   202,169
 
Boral, Ltd.
  98,779   325,531
 
Brambles, Ltd.
  180,917   1,511,096
 
Bravura Solutions, Ltd.
  30,043   108,782
 
Breville Group, Ltd.
  15,637   192,632
 
Brickworks, Ltd.
  8,530   112,750
 
BWX, Ltd.
  22,669   62,711
 
Caltex Australia, Ltd.
  94,643   2,158,238
#*
Cardno, Ltd.
  42,097   11,070
 
carsales.com, Ltd.
  48,962   557,309
 
Cedar Woods Properties, Ltd.
  15,506   82,576
 
Challenger, Ltd.
  142,421   843,190
*
Champion Iron, Ltd.
  25,022   40,249
#
Citadel Group, Ltd. (The)
  2,860   9,090
 
City Chic Collective, Ltd.
  5,493   11,222
 
Clean Seas Seafood, Ltd.
  14,344   7,060
#
Clinuvel Pharmaceuticals, Ltd.
  6,242   114,066
 
CML Group, Ltd.
  68,344   24,038
 
Coca-Cola Amatil, Ltd.
  86,198   684,922
 
Cochlear, Ltd.
  6,993   1,113,749
#
Codan, Ltd.
  17,379   88,420
 
Coles Group, Ltd.
  117,271   1,286,819
#
Collection House, Ltd.
  24,532   17,428
 
Collins Foods, Ltd.
  16,869   95,932
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
AUSTRALIA — (Continued)
 
Commonwealth Bank of Australia
  83,826   $4,746,018
 
Computershare, Ltd.
  104,825   1,237,779
#
Corporate Travel Management, Ltd.
  21,698   255,021
 
Credit Corp. Group, Ltd.
  10,052   236,228
 
Crown Resorts, Ltd.
  27,656   214,989
*
CSG, Ltd.
  27,740   5,668
 
CSL, Ltd.
  20,607   4,238,213
 
CSR, Ltd.
  106,659   341,928
 
Data#3, Ltd.
  18,045   54,099
 
Decmil Group, Ltd.
  13,977   3,802
 
Dicker Data, Ltd.
  5,460   24,486
#
Domain Holdings Australia, Ltd.
  47,193   118,266
#
Domino's Pizza Enterprises, Ltd.
  7,056   256,512
 
DWS, Ltd.
  10,135   7,296
*
Eclipx Group, Ltd.
  112,092   118,869
 
Elanor Investor Group
  5,923   8,558
 
Elders, Ltd.
  31,351   154,263
*
Emeco Holdings, Ltd.
  81,617   123,005
 
Emeco Holdings, Ltd.
  7,932   10,991
*
EML Payments, Ltd.
  25,801   89,421
 
EQT Holdings, Ltd.
  1,744   36,262
 
Estia Health, Ltd.
  35,289   57,654
 
EVENT Hospitality and Entertainment, Ltd.
  14,335   123,221
 
Evolution Mining, Ltd.
  151,678   382,810
*
Fleetwood Corp., Ltd.
  8,885   12,405
 
FlexiGroup, Ltd.
  71,549   99,349
 
Flight Centre Travel Group, Ltd.
  13,944   363,180
 
Fortescue Metals Group, Ltd.
  409,002   3,029,815
 
Freedom Foods Group, Ltd.
  4,298   13,761
#*
Galaxy Resources, Ltd.
  28,503   19,157
 
Genworth Mortgage Insurance Australia, Ltd.
  51,269   124,951
*
Gold Road Resources, Ltd.
  19,058   18,354
#
GUD Holdings, Ltd.
  14,479   115,147
#
GWA Group, Ltd.
  37,983   90,215
 
Hansen Technologies, Ltd.
  35,326   86,305
 
Harvey Norman Holdings, Ltd.
  78,630   220,657
 
Healius, Ltd.
  132,352   259,057
#
Helloworld Travel, Ltd.
  2,504   7,053
#
HT&E, Ltd.
  55,611   63,213
 
HUB24, Ltd.
  3,753   26,935
 
Huon Aquaculture Group, Ltd.
  3,674   11,039
 
IGO, Ltd.
  110,186   445,010
 
Iluka Resources, Ltd.
  70,153   448,706
 
Imdex, Ltd.
  60,835   58,802
*
IMF Bentham, Ltd.
  43,274   136,248
 
Infigen Energy
  263,899   138,546
 
Infomedia, Ltd.
  52,496   71,150
 
Insurance Australia Group, Ltd.
  229,522   1,079,236
*
Intega Group, Ltd.
  42,097   12,036
 
Integral Diagnostics, Ltd.
  16,030   43,118
 
Integrated Research, Ltd.
  13,001   25,530
#
InvoCare, Ltd.
  20,340   181,280
 
IOOF Holdings, Ltd.
  45,615   237,686
 
IPH, Ltd.
  16,637   100,712
 
IRESS, Ltd.
  36,195   334,433
#*
iSelect, Ltd.
  14,507   4,900
*
iSentia Group, Ltd.
  11,748   2,024
 
James Hardie Industries P.L.C.
  56,390   1,185,642
 
Japara Healthcare, Ltd.
  20,935   13,490
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
AUSTRALIA — (Continued)
#
JB Hi-Fi, Ltd.
  36,851   $969,110
#
Jumbo Interactive, Ltd.
  3,096   27,303
*
Karoon Energy, Ltd.
  115,788   88,761
#
Kogan.com, Ltd.
  3,003   10,236
 
LendLease Group
  80,193   963,139
 
Lifestyle Communities, Ltd.
  6,786   41,279
 
Link Administration Holdings, Ltd.
  151,985   684,860
 
Lovisa Holdings, Ltd.
  11,914   87,789
 
Lycopodium, Ltd.
  4,037   16,852
*
Lynas Corp., Ltd.
  59,157   85,912
 
MACA, Ltd.
  49,140   31,392
 
Macmahon Holdings, Ltd.
  133,653   24,536
 
Macquarie Group, Ltd.
  22,185   2,119,804
 
Magellan Financial Group, Ltd.
  25,614   1,128,022
 
McMillan Shakespeare, Ltd.
  35,589   304,343
 
McPherson's, Ltd.
  23,483   42,350
 
Medibank Pvt, Ltd.
  683,198   1,403,788
*
Mesoblast, Ltd.
  49,950   97,526
#*
Metals X, Ltd.
  37,047   1,960
#
Metcash, Ltd.
  326,906   566,510
#
Michael Hill International, Ltd.
  11,133   4,705
#
Mineral Resources, Ltd.
  44,413   499,334
*
MMA Offshore, Ltd.
  57,644   6,512
 
MNF Group, Ltd.
  4,580   14,890
 
Moelis Australia, Ltd.
  1,893   6,940
#
Monadelphous Group, Ltd.
  37,907   438,005
 
Monash IVF Group, Ltd.
  56,998   37,706
 
Money3 Corp., Ltd.
  22,504   36,764
 
Mortgage Choice, Ltd.
  17,757   15,680
 
Mount Gibson Iron, Ltd.
  67,839   40,698
#*
Myer Holdings, Ltd.
  113,042   32,961
 
MyState, Ltd.
  3,303   11,992
 
National Australia Bank, Ltd.
  188,179   3,214,495
 
Navigator Global Investments, Ltd.
  17,656   37,666
#
Netwealth Group, Ltd.
  17,963   95,818
 
Newcrest Mining, Ltd.
  16,421   328,749
 
nib holdings, Ltd.
  91,611   328,017
 
Nick Scali, Ltd.
  7,354   34,403
#
Nine Entertainment Co. Holdings, Ltd.
  387,614   479,434
 
Northern Star Resources, Ltd.
  147,760   1,272,827
 
NRW Holdings, Ltd.
  80,653   165,905
#*
Nufarm, Ltd.
  103,764   378,471
 
Objective Corp., Ltd.
  3,427   14,875
 
OM Holdings, Ltd.
  11,518   3,359
#*
Onevue Holdings, Ltd.
  67,609   16,293
 
oOh!media, Ltd.
  55,727   125,214
 
Orica, Ltd.
  28,292   427,442
 
Orora, Ltd.
  328,311   700,882
 
Over the Wire Holdings, Ltd.
  3,409   10,093
 
OZ Minerals, Ltd.
  74,915   500,397
 
Pacific Current Group, Ltd.
  7,389   31,374
*
Pact Group Holdings, Ltd.
  84,646   155,102
#
Paragon Care, Ltd.
  15,431   4,229
 
Peet, Ltd.
  52,127   46,999
 
Pendal Group, Ltd.
  71,858   420,518
 
Perenti Global, Ltd.
  252,732   256,190
#
Perpetual, Ltd.
  11,851   334,266
*
Perseus Mining, Ltd.
  91,475   72,766
#
Pioneer Credit, Ltd.
  5,734   6,723
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
AUSTRALIA — (Continued)
#
Platinum Asset Management, Ltd.
  59,485   $186,325
*
Praemium, Ltd.
  32,007   10,104
 
Premier Investments, Ltd.
  12,787   168,149
*
Prime Media Group, Ltd.
  65,486   6,744
 
Pro Medicus, Ltd.
  10,211   160,973
 
PWR Holdings, Ltd.
  4,526   14,277
 
QBE Insurance Group, Ltd.
  118,899   1,082,352
 
QMS Media, Ltd.
  34,568   28,021
 
Qube Holdings, Ltd.
  121,707   277,421
 
Ramelius Resources, Ltd.
  58,540   52,483
 
Ramsay Health Care, Ltd.
  17,780   935,270
#
REA Group, Ltd.
  6,227   471,165
 
Reckon, Ltd.
  5,948   2,725
#
Reece, Ltd.
  30,604   227,678
 
Regis Healthcare, Ltd.
  12,803   20,503
 
Regis Resources, Ltd.
  50,833   155,826
 
Reject Shop, Ltd. (The)
  3,970   12,869
#
Reliance Worldwide Corp., Ltd.
  86,562   257,514
#*
Resolute Mining, Ltd.
  135,921   106,759
 
Rio Tinto, Ltd.
  8,957   581,205
 
Sandfire Resources, Ltd.
  48,604   178,515
*
Saracen Mineral Holdings, Ltd.
  113,838   306,826
 
Seek, Ltd.
  78,314   1,174,114
 
Servcorp, Ltd.
  11,029   32,555
 
Service Stream, Ltd.
  99,939   173,887
 
Seven Group Holdings, Ltd.
  21,426   285,384
*
Seven West Media, Ltd.
  246,158   40,516
 
SG Fleet Group, Ltd.
  20,591   30,171
 
Sigma Healthcare, Ltd.
  201,340   80,324
*
Silver Chef, Ltd.
  2,430   1,034
*
Silver Lake Resources, Ltd.
  85,282   94,496
 
Sims Metal Management, Ltd., Sponsored ADR
  819   5,856
#
Sims, Ltd.
  61,509   434,411
 
SmartGroup Corp., Ltd.
  14,052   63,208
 
Sonic Healthcare, Ltd.
  35,586   745,908
 
Southern Cross Media Group, Ltd.
  154,987   89,983
 
St Barbara, Ltd.
  130,150   242,609
 
Star Entertainment Grp, Ltd. (The)
  98,971   273,314
 
Steadfast Group, Ltd.
  99,297   252,321
 
Suncorp Group, Ltd.
  113,770   971,897
 
Sunland Group, Ltd.
  10,665   12,591
 
Super Retail Group, Ltd.
  27,252   169,681
#*
Superloop, Ltd.
  19,932   11,621
 
Sydney Airport
  43,271   240,678
#*
Syrah Resources, Ltd.
  20,646   6,842
 
Tabcorp Holdings, Ltd.
  214,346   667,202
 
Tassal Group, Ltd.
  40,678   116,338
 
Technology One, Ltd.
  53,386   298,811
*
Thorn Group, Ltd.
  17,790   2,641
*
Tiger Resources, Ltd.
  41,785   8
 
TPG Telecom, Ltd.
  61,955   308,008
 
Transurban Group
  126,448   1,318,065
 
Treasury Wine Estates, Ltd.
  40,958   351,811
 
Virtus Health, Ltd.
  5,358   15,401
 
Vita Group, Ltd.
  31,300   24,661
 
Viva Energy Group, Ltd.
  8,553   9,731
*
Vocus Group, Ltd.
  17,802   39,897
#
Webjet, Ltd.
  13,274   102,931
 
Wesfarmers, Ltd.
  43,161   1,294,917
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
AUSTRALIA — (Continued)
 
Western Areas, Ltd.
  50,110   $84,797
*
Westgold Resources, Ltd.
  25,582   38,053
 
Westpac Banking Corp.
  230,467   3,851,432
 
Westpac Banking Corp., Sponsored ADR
  12,660   210,536
 
WiseTech Global, Ltd.
  12,522   204,620
 
Woolworths Group, Ltd.
  81,912   2,275,010
 
Worley, Ltd.
  97,671   976,282
 
WPP AUNZ, Ltd.
  63,742   24,523
*
Xero, Ltd.
  9,785   551,558
TOTAL AUSTRALIA
      83,868,414
AUSTRIA — (0.3%)
 
Agrana Beteiligungs AG
  2,065   43,912
 
ANDRITZ AG
  14,948   588,144
 
CA Immobilien Anlagen AG
  10,757   473,290
 
DO & CO AG
  711   70,907
 
Erste Group Bank AG
  13,436   493,334
#
FACC AG
  2,711   35,934
 
Flughafen Wien AG
  724   29,309
 
IMMOFINANZ AG
  15,019   416,762
 
Lenzing AG
  1,020   80,620
 
Mayr Melnhof Karton AG
  505   69,403
#
Oesterreichische Post AG
  6,642   252,137
 
Palfinger AG
  2,090   64,737
 
POLYTEC Holding AG
  633   5,619
#
Porr AG
  1,946   33,921
 
Raiffeisen Bank International AG
  30,399   692,460
#
Rosenbauer International AG
  153   7,122
 
S IMMO AG
  8,477   227,093
 
Schoeller-Bleckmann Oilfield Equipment AG
  2,586   118,856
*
Semperit AG Holding
  1,318   17,835
 
Strabag SE
  2,164   72,183
 
UBM Development AG
  575   31,060
 
UNIQA Insurance Group AG
  31,666   299,463
 
Verbund AG
  1,985   104,961
 
Vienna Insurance Group AG Wiener Versicherung Gruppe
  9,806   264,692
 
Wienerberger AG
  7,824   221,985
*
Zumtobel Group AG
  4,309   42,293
TOTAL AUSTRIA
      4,758,032
BELGIUM — (0.9%)
 
Ageas
  36,106   1,990,940
*
AGFA-Gevaert NV
  41,929   205,942
#*
Argenx SE, ADR
  1,556   224,515
 
Atenor
  345   27,771
 
Banque Nationale de Belgique
  8   20,752
 
Barco NV
  1,299   322,995
 
Bekaert SA
  12,686   322,064
#*
Biocartis NV
  1,000   6,354
 
bpost SA
  21,006   209,333
 
Cie d'Entreprises CFE
  1,752   191,047
 
Colruyt SA
  11,620   581,391
 
Deceuninck NV
  9,767   21,473
 
D'ieteren SA
  5,893   380,367
 
Econocom Group SA
  12,277   34,905
 
Elia System Operator SA
  5,129   494,642
 
EVS Broadcast Equipment SA
  2,905   65,621
*
Exmar NV
  1,527   9,074
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
BELGIUM — (Continued)
 
Fagron
  12,711   $294,249
*
Galapagos NV
  1,355   303,708
*
Galapagos NV
  817   182,599
#*
Galapagos NV, Sponsored ADR
  491   109,434
 
Gimv NV
  3,861   237,904
 
Immobel SA
  892   75,564
 
Jensen-Group NV
  524   19,957
 
KBC Group NV
  9,671   709,613
 
Kinepolis Group NV
  2,000   123,344
 
Lotus Bakeries NV
  54   163,696
#
Melexis NV
  2,684   190,749
 
Ontex Group NV
  14,812   268,465
 
Orange Belgium SA
  10,306   209,547
#*
Oxurion NV
  5,875   20,010
 
Picanol
  86   6,200
 
Proximus SADP
  36,322   1,034,890
 
Recticel SA
  11,114   94,884
 
Resilux
  110   17,199
 
Roularta Media Group NV
  245   4,521
 
Sioen Industries NV
  1,156   27,744
 
Telenet Group Holding NV
  8,021   372,946
*
Tessenderlo Group SA
  7,983   268,586
 
UCB SA
  22,288   2,050,990
#
Umicore SA
  64,182   2,955,154
 
Van de Velde NV
  1,419   44,051
TOTAL BELGIUM
      14,895,190
CANADA — (7.6%)
*
5N Plus, Inc.
  5,997   9,561
 
Absolute Software Corp.
  7,900   57,844
 
Acadian Timber Corp.
  1,500   18,611
 
Aecon Group, Inc.
  14,064   182,894
#*
Africa Oil Corp.
  13,871   14,359
#
AG Growth International, Inc.
  2,900   99,683
 
AGF Management, Ltd., Class B
  15,002   80,145
 
Agnico Eagle Mines, Ltd.
  6,676   412,647
#
Agnico Eagle Mines, Ltd.
  4,195   259,335
#*
Aimia, Inc.
  40,823   102,721
 
AirBoss of America Corp.
  2,700   17,587
*
Alacer Gold Corp.
  51,456   241,844
 
Alamos Gold, Inc., Class A
  38,473   242,746
 
Alamos Gold, Inc., Class A
  4,666   29,398
#
Alaris Royalty Corp.
  8,389   138,507
#*
Alcanna, Inc.
  5,628   17,606
#*
Alexco Resource Corp.
  5,397   9,624
 
Algoma Central Corp.
  1,600   15,512
 
Algonquin Power & Utilities Corp.
  82,089   1,256,705
 
Algonquin Power & Utilities Corp.
  9,626   147,374
 
Alimentation Couche-Tard, Inc., Class B
  84,220   2,814,758
#
AltaGas, Ltd.
  53,056   854,332
 
Altus Group, Ltd.
  7,075   231,753
 
Andrew Peller, Ltd., Class A
  4,800   40,006
*
Argonaut Gold, Inc.
  31,900   42,906
*
Aritzia, Inc.
  20,427   386,344
*
Asanko Gold, Inc.
  10,852   10,168
*
ATS Automation Tooling Systems, Inc.
  8,850   135,953
#*
Aurora Cannabis, Inc.
  32,075   60,593
#
AutoCanada, Inc.
  2,455   24,190
 
B2Gold Corp.
  186,891   809,193
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
CANADA — (Continued)
#
Badger Daylighting, Ltd.
  5,700   $148,724
 
Bank of Montreal
  25,415   1,938,292
 
Bank of Montreal
  26,327   2,006,644
 
Bank of Nova Scotia (The)
  74,327   4,059,510
 
Bank of Nova Scotia (The)
  8,642   472,026
 
Barrick Gold Corp.
  1,016   18,817
 
Barrick Gold Corp.
  141,048   2,612,209
 
Barrick Gold Corp.
  13,245   247,432
*
Bausch Health Cos., Inc.
  5,662   155,309
 
BCE, Inc.
  4,008   188,860
 
BCE, Inc.
  10,173   479,352
#
Bird Construction, Inc.
  3,200   15,765
*
BlackBerry, Ltd.
  57,656   351,147
#*
BlackBerry, Ltd.
  25,086   153,025
 
BMTC Group, Inc.
  1,803   13,781
#*
Bombardier, Inc., Class A
  26,300   26,630
*
Bombardier, Inc., Class B
  375,947   349,414
#
Boralex, Inc., Class A
  28,888   602,470
 
Bridgemarq Real Estate Services
  1,000   11,591
 
BRP, Inc.
  4,287   218,853
 
BRP, Inc.
  2,100   107,247
 
CAE, Inc.
  46,008   1,364,526
 
CAE, Inc.
  9,562   283,800
#*
Calfrac Well Services, Ltd.
  6,016   4,409
 
Calian Group, Ltd.
  800   25,873
 
Cameco Corp.
  32,176   259,421
 
Cameco Corp.
  56,314   454,454
 
Canaccord Genuity Group, Inc.
  8,640   32,121
#*
Canada Goose Holdings, Inc.
  6,300   188,705
#*
Canada Goose Holdings, Inc.
  5,572   167,160
 
Canadian Imperial Bank of Commerce
  14,929   1,217,423
 
Canadian Imperial Bank of Commerce
  21,605   1,760,159
#
Canadian Tire Corp., Ltd., Class A
  17,514   1,878,315
#
Canadian Western Bank
  13,782   340,749
*
Canfor Corp.
  15,114   135,791
 
Canfor Pulp Products, Inc.
  5,300   34,001
#*
Canopy Growth Corp.
  6,700   150,869
 
CanWel Building Materials Group, Ltd.
  6,923   27,621
*
Capstone Mining Corp.
  19,300   10,354
 
Cascades, Inc.
  23,997   205,082
 
CCL Industries, Inc., Class B
  28,175   1,188,187
*
Celestica, Inc.
  12,726   115,043
*
Celestica, Inc.
  10,522   95,250
*
Centerra Gold, Inc.
  52,107   417,357
 
Cervus Equipment Corp.
  900   5,760
#
CES Energy Solutions Corp.
  67,953   100,127
*
CGI, Inc.
  23,264   1,780,161
*
CGI, Inc.
  3,100   237,361
#
Chesswood Group, Ltd.
  1,100   8,312
#*
China Gold International Resources Corp., Ltd.
  34,632   29,571
 
CI Financial Corp.
  64,986   1,138,753
#
Cineplex, Inc.
  16,175   412,747
#
Clearwater Seafoods, Inc.
  3,100   12,673
 
Cogeco Communications, Inc.
  5,325   418,065
 
Cogeco, Inc.
  1,829   128,143
 
Colliers International Group, Inc.
  4,681   379,531
 
Colliers International Group, Inc.
  3,773   305,726
 
Computer Modelling Group, Ltd.
  27,054   165,178
 
Constellation Software, Inc.
  2,445   2,569,984
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
CANADA — (Continued)
*
Continental Gold, Inc.
  26,700   $110,359
#*
Copper Mountain Mining Corp.
  14,100   7,032
 
Corby Spirit and Wine, Ltd.
  2,400   28,164
 
Corus Entertainment, Inc., Class B
  90,369   342,793
 
Cott Corp.
  16,476   251,918
*
CRH Medical Corp.
  17,997   70,035
*
CRH Medical Corp.
  3,300   12,903
*
Denison Mines Corp.
  45,000   15,642
*
Descartes Systems Group, Inc. (The)
  3,800   170,278
*
Detour Gold Corp.
  40,314   721,960
#*
DIRTT Environmental Solutions
  4,500   11,663
 
Dollarama, Inc.
  20,116   685,379
 
Dorel Industries, Inc., Class B
  5,728   22,420
#
DREAM Unlimited Corp., Class A
  19,348   170,907
*
Dundee Precious Metals, Inc.
  16,725   77,218
 
ECN Capital Corp.
  75,162   318,050
 
E-L Financial Corp., Ltd.
  400   246,033
*
Eldorado Gold Corp.
  36,346   264,200
 
Element Fleet Management Corp.
  119,707   1,149,672
 
Empire Co., Ltd., Class A
  48,998   1,136,647
 
Enbridge, Inc.
  48,577   1,975,172
 
Enbridge, Inc.
  51,016   2,074,821
*
Endeavour Mining Corp.
  12,745   260,995
#*
Endeavour Silver Corp.
  13,413   28,480
 
Enerflex, Ltd.
  33,780   258,315
#*
Energy Fuels, Inc.
  205   294
 
Enghouse Systems, Ltd.
  8,600   340,647
 
Ensign Energy Services, Inc.
  27,178   48,466
#
Equitable Group, Inc.
  1,900   151,251
*
ERO Copper Corp.
  4,300   59,071
*
Essential Energy Services Trust
  12,100   3,200
 
Evertz Technologies, Ltd.
  6,600   86,427
 
Exco Technologies, Ltd.
  6,124   34,706
#
Extendicare, Inc.
  9,400   58,457
 
Fairfax Financial Holdings, Ltd.
  2,929   1,310,614
 
Fiera Capital Corp.
  7,600   71,211
 
Finning International, Inc.
  35,139   607,777
 
Firm Capital Mortgage Investment Corp.
  4,200   47,922
 
First Capital Real Estate Investment Trust
  18,589   304,385
#*
First Majestic Silver Corp.
  8,237   83,030
 
First National Financial Corp.
  2,500   72,446
 
First Quantum Minerals, Ltd.
  54,684   428,083
 
FirstService Corp.
  3,001   294,998
 
FirstService Corp.
  4,815   473,750
#*
Fission Uranium Corp.
  18,500   3,635
*
Fortuna Silver Mines, Inc.
  43,326   169,912
#
Freehold Royalties, Ltd.
  7,800   41,611
 
Gamehost, Inc.
  900   5,685
#*
GDI Integrated Facility Services, Inc.
  1,500   37,630
*
Gear Energy, Ltd.
  26,600   7,738
#
Genworth MI Canada, Inc.
  8,238   363,533
 
George Weston, Ltd.
  16,114   1,298,593
 
Gibson Energy, Inc.
  15,436   309,793
 
GMP Capital, Inc.
  20,837   30,545
 
goeasy, Ltd.
  1,700   86,169
#*
Golden Star Resources, Ltd.
  6,360   18,695
 
GoldMoney, Inc.
  13,300   18,391
*
Great Canadian Gaming Corp.
  6,900   207,772
 
Great-West Lifeco, Inc.
  19,677   509,842
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
CANADA — (Continued)
 
Guardian Capital Group, Ltd., Class A
  4,250   $88,571
#*
Guyana Goldfields, Inc.
  21,834   11,714
*
Heroux-Devtek, Inc.
  3,377   50,729
 
High Liner Foods, Inc.
  1,530   9,561
#
HLS Therapeutics, Inc.
  2,100   36,497
#*
Home Capital Group, Inc.
  11,300   269,393
 
Horizon North Logistics, Inc.
  14,000   10,790
 
Hudbay Minerals, Inc.
  6,494   19,937
 
Hudbay Minerals, Inc.
  64,431   197,665
 
Hydro One, Ltd.
  35,729   726,243
 
iA Financial Corp., Inc.
  32,702   1,799,673
*
IAMGOLD Corp.
  80,946   241,602
*
IAMGOLD Corp.
  6,100   18,056
*
IBI Group, Inc.
  3,800   15,620
 
IGM Financial, Inc.
  14,700   425,094
*
Imperial Metals Corp.
  2,300   3,354
*
Indigo Books & Music, Inc.
  1,191   3,375
 
Information Services Corp.
  2,743   33,267
 
Innergex Renewable Energy, Inc.
  39,773   565,009
 
Intact Financial Corp.
  6,213   673,083
#
Inter Pipeline, Ltd.
  23,499   391,532
*
Interfor Corp.
  16,742   177,237
*
Intertain Group, Ltd. (The)
  1,300   11,731
 
Intertape Polymer Group, Inc.
  18,400   224,960
#
Invesque, Inc.
  4,700   30,268
*
Ivanhoe Mines, Ltd., Class A
  64,158   165,800
 
Jamieson Wellness, Inc.
  6,774   135,951
#
Just Energy Group, Inc.
  16,822   23,389
 
K-Bro Linen, Inc.
  900   28,903
#
Keyera Corp.
  15,757   411,130
*
Kinaxis, Inc.
  2,680   222,517
*
Kinross Gold Corp.
  298,651   1,514,242
*
Kinross Gold Corp.
  106,246   538,667
 
Kirkland Lake Gold, Ltd.
  17,436   715,016
 
Kirkland Lake Gold, Ltd.
  3,908   160,736
*
Knight Therapeutics, Inc.
  23,582   139,881
 
KP Tissue, Inc.
  1,100   8,811
#
Labrador Iron Ore Royalty Corp.
  6,100   97,211
 
Lassonde Industries, Inc., Class A
  600   63,722
#
Laurentian Bank of Canada
  3,644   118,263
 
Leon's Furniture, Ltd.
  6,936   84,905
 
Linamar Corp.
  9,576   315,486
 
Loblaw Cos., Ltd.
  25,857   1,352,824
 
Lucara Diamond Corp.
  75,030   47,057
*
Lundin Gold, Inc.
  8,600   68,428
 
Lundin Mining Corp.
  113,400   594,677
 
Magellan Aerospace Corp.
  3,300   35,110
 
Magna International, Inc.
  8,200   415,700
 
Magna International, Inc.
  31,519   1,597,698
*
Mainstreet Equity Corp.
  540   32,072
*
Mav Beauty Brands, Inc.
  1,700   5,427
 
Mediagrif Interactive Technologies, Inc.
  1,302   6,788
 
Melcor Developments, Ltd.
  1,300   12,554
 
Metro, Inc.
  15,237   621,142
 
Morguard Corp.
  753   115,300
 
Morneau Shepell, Inc.
  11,101   290,569
*
Mountain Province Diamonds, Inc.
  5,600   4,570
 
MTY Food Group, Inc.
  1,707   74,536
#
Mullen Group, Ltd.
  27,221   185,738
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
CANADA — (Continued)
 
National Bank of Canada
  77,180   $4,282,399
 
Neo Performance Materials, Inc.
  1,200   9,884
*
New Gold, Inc.
  108,698   100,205
#
NFI Group, Inc.
  12,878   297,963
 
Norbord, Inc.
  4,800   140,982
 
Norbord, Inc.
  4,516   132,545
 
North American Construction Group, Ltd.
  1,900   20,710
 
North West Co., Inc. (The)
  14,705   306,234
 
Nutrien, Ltd.
  1,335   56,991
 
OceanaGold Corp.
  141,841   296,886
 
Open Text Corp.
  9,500   427,550
 
Open Text Corp.
  17,963   808,155
 
Osisko Gold Royalties, Ltd.
  21,459   214,039
 
Osisko Gold Royalties, Ltd.
  5,317   53,064
#*
Osisko Mining, Inc.
  6,095   18,330
 
Pan American Silver Corp.
  1,233   28,350
 
Pan American Silver Corp.
  32,208   740,142
 
Park Lawn Corp.
  3,070   69,338
 
Parkland Fuel Corp.
  37,036   1,288,732
 
Pason Systems, Inc.
  30,203   301,254
#
Pembina Pipeline Corp.
  1,612   61,743
 
Pembina Pipeline Corp.
  20,746   794,779
*
Photon Control, Inc.
  13,400   13,264
*
PHX Energy Services Corp.
  2,100   3,840
 
Pinnacle Renewable Energy, Inc.
  1,400   10,780
 
Pizza Pizza Royalty Corp.
  3,756   27,615
*
Points International, Ltd.
  1,029   17,174
 
Pollard Banknote, Ltd.
  1,300   19,391
#
PrairieSky Royalty, Ltd.
  39,984   438,392
*
Precision Drilling Corp.
  48,546   57,225
*
Precision Drilling Corp.
  12,221   14,299
#*
Premier Gold Mines, Ltd.
  21,100   25,351
#
Premium Brands Holdings Corp.
  4,947   364,278
*
Pretium Resources, Inc.
  10,824   117,858
 
Quarterhill, Inc.
  28,500   41,779
 
Quebecor, Inc., Class B
  45,480   1,128,580
#*
Questerre Energy Corp., Class A
  7,500   1,218
 
Recipe Unlimited Corp.
  2,400   33,768
 
Reitmans Canada, Ltd., Class A
  4,300   2,989
 
Restaurant Brands International, Inc.
  6,200   378,259
#
Restaurant Brands International, Inc.
  16,764   1,022,772
 
Richelieu Hardware, Ltd.
  13,853   305,763
 
Ritchie Bros Auctioneers, Inc.
  5,562   234,811
 
Ritchie Bros Auctioneers, Inc.
  15,889   670,834
 
Rocky Mountain Dealerships, Inc.
  1,700   8,273
 
Rogers Communications, Inc., Class B
  14,000   700,952
 
Rogers Communications, Inc., Class B
  21,518   1,077,406
#
Rogers Sugar, Inc.
  13,200   47,777
*
Roxgold, Inc.
  20,000   15,717
 
Royal Bank of Canada
  51,136   4,040,957
 
Royal Bank of Canada
  55,818   4,407,389
 
Russel Metals, Inc.
  15,715   255,069
*
Sabina Gold & Silver Corp.
  10,300   13,854
#*
Sandstorm Gold, Ltd.
  26,231   179,974
 
Saputo, Inc.
  9,564   293,843
#
Savaria Corp.
  3,600   36,370
#
Secure Energy Services, Inc.
  57,057   196,168
*
SEMAFO, Inc.
  41,774   88,068
 
Shaw Communications, Inc., Class B
  32,022   625,728
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
CANADA — (Continued)
 
Shaw Communications, Inc., Class B
  20,138   $393,295
 
ShawCor, Ltd.
  23,000   182,832
*
Shopify, Inc., Class A
  2,505   1,166,478
 
Sienna Senior Living, Inc.
  3,100   44,085
#*
Sierra Wireless, Inc.
  3,326   32,094
*
Sierra Wireless, Inc.
  4,919   47,370
#
Sleep Country Canada Holdings, Inc.
  11,405   173,479
#
SNC-Lavalin Group, Inc.
  15,340   352,841
#*
Spin Master Corp.
  10,865   259,926
#
Sprott, Inc.
  15,700   37,726
*
SSR Mining, Inc.
  5,994   109,789
*
SSR Mining, Inc.
  8,600   157,466
 
Stantec, Inc.
  15,158   450,708
 
Stantec, Inc.
  5,660   168,498
*
Stars Group, Inc. (The)
  8,992   214,574
#*
Stars Group, Inc. (The)
  13,467   321,323
 
Stella-Jones, Inc.
  21,843   618,285
*
Storm Resources, Ltd.
  5,100   5,703
 
Sun Life Financial, Inc.
  19,311   907,912
 
Sun Life Financial, Inc.
  15,837   744,656
#*
SunOpta, Inc.
  5,100   13,835
#
Superior Plus Corp.
  34,962   305,132
*
Taseko Mines, Ltd.
  5,100   2,351
 
TELUS Corp.
  4,708   188,726
*
TeraGo, Inc.
  1,600   10,107
*
Teranga Gold Corp.
  4,340   24,694
 
TerraVest Industries, Inc.
  1,000   11,062
#*
Tervita Corp.
  819   4,583
 
TFI International, Inc.
  15,057   482,179
 
Thomson Reuters Corp.
  4,883   392,551
 
Thomson Reuters Corp.
  400   32,136
#
Tidewater Midstream and Infrastructure, Ltd.
  24,657   20,122
 
Timbercreek Financial Corp.
  17,830   135,672
#*
TMAC Resources, Inc.
  3,200   6,384
 
TMX Group, Ltd.
  3,026   279,986
*
Torex Gold Resources, Inc.
  17,800   244,928
 
Toromont Industries, Ltd.
  16,300   839,387
 
Toronto-Dominion Bank (The)
  60,196   3,326,837
 
Toronto-Dominion Bank (The)
  16,886   933,120
 
Total Energy Services, Inc.
  14,570   59,451
 
Transcontinental, Inc., Class A
  16,600   195,176
 
TransGlobe Energy Corp.
  3,755   4,795
#*
Trevali Mining Corp.
  30,400   4,479
#*
Trican Well Service, Ltd.
  117,760   92,542
 
Tricon Capital Group, Inc.
  29,580   243,632
*
Trisura Group, Ltd.
  600   19,717
#*
Turquoise Hill Resources, Ltd.
  64,127   41,672
 
Uni-Select, Inc.
  7,819   71,726
 
VersaBank
  2,200   12,368
 
Wajax Corp.
  7,400   83,372
*
Wesdome Gold Mines Ltd.
  10,200   69,521
 
West Fraser Timber Co., Ltd.
  13,093   524,551
#
Western Forest Products, Inc.
  106,053   85,746
 
Wheaton Precious Metals Corp.
  6,648   195,784
#*
WildBrain, Ltd.
  18,132   20,415
 
Winpak, Ltd.
  4,811   175,805
 
WSP Global, Inc.
  24,425   1,735,810
 
Yamana Gold, Inc.
  185,545   755,696
 
Yamana Gold, Inc.
  39,631   161,298
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
CANADA — (Continued)
#*
Yangarra Resources, Ltd.
  5,600   $4,739
*
Yellow Pages, Ltd.
  2,947   22,936
TOTAL CANADA
      120,819,998
CHINA — (0.0%)
 
APT Satellite Holdings, Ltd.
  29,250   10,879
 
K Wah International Holdings, Ltd.
  102,000   49,718
*
Meituan Dianping, Class B
  17,000   215,217
TOTAL CHINA
      275,814
DENMARK — (2.4%)
*
Agat Ejendomme A.S.
  6,708   3,985
*
ALK-Abello A.S.
  1,154   308,255
 
Alm Brand A.S.
  14,637   129,612
 
Ambu A.S., Class B
  12,560   229,249
#*
Bang & Olufsen A.S.
  6,371   38,123
 
BankNordik P/F
  744   12,841
*
Bavarian Nordic A.S.
  2,204   76,489
 
Brodrene Hartmann A.S.
  226   10,092
 
Carlsberg A.S., Class B
  4,426   646,345
 
Chr Hansen Holding A.S.
  15,827   1,177,889
 
Coloplast A.S., Class B
  10,639   1,341,378
 
Columbus A.S.
  6,523   8,767
 
D/S Norden A.S.
  3,069   41,339
 
Danske Bank A.S.
  64,087   1,069,822
#*
Demant A.S.
  21,024   681,764
*
Drilling Co. of 1972 A.S.
  583   32,537
 
DSV Panalpina A.S.
  579   62,834
 
FLSmidth & Co. A.S.
  6,922   236,370
*
Genmab A.S.
  2,504   576,396
 
GN Store Nord A.S.
  20,928   1,038,030
 
H Lundbeck A.S.
  25,577   1,086,827
*
H+H International A.S., Class B
  1,880   35,839
 
ISS A.S.
  36,166   876,029
 
Jeudan A.S.
  186   39,538
*
Jyske Bank A.S.
  8,287   315,119
 
Matas A.S.
  7,736   73,018
*
Nilfisk Holding A.S.
  5,997   129,148
*
NKT A.S.
  2,878   61,903
#
NNIT A.S.
  2,493   39,357
 
Novo Nordisk A.S., Sponsored ADR
  14,665   892,072
 
Novo Nordisk A.S., Class B
  217,265   13,225,279
 
Novozymes A.S., Class B
  25,722   1,341,114
 
Orsted A.S.
  12,074   1,316,932
 
Pandora A.S.
  29,756   1,535,881
 
Parken Sport & Entertainment A.S.
  758   11,569
 
Per Aarsleff Holding A.S.
  5,205   158,210
 
Ringkjoebing Landbobank A.S.
  5,368   398,834
 
Royal Unibrew A.S.
  22,861   2,173,356
 
RTX A.S.
  954   32,468
 
Schouw & Co., A.S.
  1,724   141,099
 
SimCorp A.S.
  7,395   819,786
 
Solar A.S., Class B
  1,718   81,903
 
Spar Nord Bank A.S.
  9,865   95,549
#
Sydbank A.S.
  8,954   194,836
 
Tivoli A.S.
  333   37,324
 
Topdanmark A.S.
  8,571   405,394
 
Tryg A.S.
  13,292   402,746
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
DENMARK — (Continued)
 
Vestas Wind Systems A.S.
  37,216   $3,694,337
*
Vestjysk Bank A.S.
  80,297   39,396
*
Zealand Pharma A.S.
  3,461   125,220
TOTAL DENMARK
      37,502,200
FINLAND — (1.7%)
 
Ahlstrom-Munksjo Oyj
  1,885   31,410
 
Aktia Bank Oyj
  9,756   103,316
 
Alma Media Oyj
  5,161   49,641
 
Asiakastieto Group Oyj
  898   33,992
 
Aspo Oyj
  2,264   20,090
#*
BasWare Oyj
  341   9,971
 
Bittium Oyj
  1,503   11,094
#
Cargotec Oyj, Class B
  13,989   517,557
 
Caverion Oyj
  20,567   167,509
 
Cramo Oyj
  10,119   153,651
 
Digia Oyj
  3,392   17,253
 
Elisa Oyj
  27,365   1,648,620
#
Fiskars Oyj Abp
  3,943   52,614
*
F-Secure Oyj
  18,860   68,772
 
Huhtamaki Oyj
  25,537   1,135,003
 
Ilkka-Yhtyma Oyj
  2,760   11,793
 
Kemira Oyj
  24,181   365,320
 
Kesko Oyj, Class A
  7,497   473,368
 
Kesko Oyj, Class B
  18,368   1,241,786
 
Kone Oyj, Class B
  33,621   2,169,802
 
Konecranes Oyj
  14,094   424,835
 
Lassila & Tikanoja Oyj
  4,679   79,711
#
Lehto Group Oyj
  2,244   5,605
 
Metsa Board Oyj
  38,283   231,857
 
Metso Oyj
  29,888   1,060,572
 
Neste Oyj
  68,922   2,744,325
#
Nokia Oyj
  188,488   733,727
 
Nokia Oyj
  4,241   16,527
#
Nokian Renkaat Oyj
  19,894   534,928
 
Nordea Bank Abp
  126,848   1,000,622
 
Nordea Bank Abp
  122,482   965,458
 
Olvi Oyj, Class A
  2,822   121,827
 
Oriola Oyj, Class A
  365   862
 
Oriola Oyj, Class B
  48,584   115,514
 
Orion Oyj, Class A
  4,913   230,545
 
Orion Oyj, Class B
  21,765   1,028,331
 
Outokumpu Oyj
  85,637   294,172
*
Outotec Oyj
  44,838   257,799
 
Pihlajalinna Oyj
  935   15,870
#
Ponsse Oyj
  3,505   122,510
 
Raisio Oyj, Class V
  25,934   105,778
 
Revenio Group Oyj
  4,236   131,707
 
Sampo Oyj, Class A
  58,804   2,661,890
 
Sanoma Oyj
  28,004   335,253
*
SRV Group Oyj
  3,096   4,963
#*
Stockmann Oyj Abp, Class B
  4,541   11,680
 
Stora Enso Oyj, Class R
  106,101   1,377,244
 
Teleste Oyj
  1,086   6,627
 
TietoEVRY Oyj
  15,377   501,462
 
Tikkurila Oyj
  13,339   229,742
 
Tokmanni Group Corp.
  12,015   174,271
 
UPM-Kymmene Oyj
  55,197   1,739,170
 
Uponor Oyj
  15,660   211,877
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
FINLAND — (Continued)
 
Vaisala Oyj, Class A
  2,919   $109,079
#
Valmet Oyj
  23,859   516,111
 
Wartsila Oyj Abp
  53,108   651,225
 
YIT Oyj
  42,316   302,083
TOTAL FINLAND
      27,338,321
FRANCE — (9.0%)
 
ABC arbitrage
  2,990   21,990
 
Actia Group
  1,265   5,656
 
Aeroports de Paris
  3,202   605,819
 
Airbus SE
  60,476   8,881,743
 
Akka Technologies
  4,162   288,978
#
AKWEL
  1,450   30,089
 
Alstom SA
  17,667   936,355
 
Altamir
  1,314   24,993
 
Alten SA
  11,163   1,375,758
#*
Amplitude Surgical SAS
  1,872   3,337
 
Amundi SA
  5,700   461,361
 
Arkema SA
  17,437   1,597,739
 
Assystem SA
  1,932   67,238
 
Atos SE
  28,088   2,329,295
 
Aubay
  1,401   46,536
 
AXA SA
  193,923   5,156,715
 
Axway Software SA
  1,706   22,001
*
Bastide le Confort Medical
  836   33,520
 
Beneteau SA
  9,685   103,875
 
Bigben Interactive
  2,863   44,481
 
BioMerieux
  7,454   738,783
 
BNP Paribas SA
  69,997   3,714,567
 
Boiron SA
  1,586   60,357
 
Bonduelle SCA
  2,388   56,951
 
Bourbon Corp.
  1,000   17,175
 
Bouygues SA
  44,143   1,744,076
 
Bureau Veritas SA
  62,649   1,726,280
 
Burelle SA
  22   18,257
 
Capgemini SE
  12,285   1,525,682
 
Carrefour SA
  107,754   1,823,380
#
Casino Guichard Perrachon SA
  7,486   304,204
*
Cegedim SA
  1,985   66,630
*
CGG SA
  143,737   403,890
 
Chargeurs SA
  2,463   46,409
 
Cie des Alpes
  2,569   85,674
 
Cie Plastic Omnium SA
  10,055   253,250
 
CNP Assurances
  21,975   395,556
*
Coface SA
  26,052   321,020
 
Credit Agricole SA
  98,182   1,326,453
 
Danone SA
  54,185   4,336,124
 
Dassault Aviation SA
  244   296,811
 
Dassault Systemes SE
  9,883   1,710,883
 
Dassault Systemes SE, Sponsored ADR
  1,000   173,630
 
Derichebourg SA
  29,744   107,879
 
Devoteam SA
  1,626   151,399
 
Edenred
  53,752   2,902,691
 
Eiffage SA
  20,998   2,433,957
 
Elior Group SA
  11,937   167,358
 
Elis SA
  20,987   408,663
*
Erytech Pharma SA
  1,777   12,204
 
EssilorLuxottica SA
  6,288   930,992
*
Esso SA Francaise
  838   18,918
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
FRANCE — (Continued)
#
Eurofins Scientific SE
  2,786   $1,498,462
#
Europcar Mobility Group
  29,582   119,986
 
Eutelsat Communications SA
  66,060   990,117
 
Exel Industries, Class A
  192   9,424
 
Faurecia SE
  17,579   837,579
*
Fnac Darty S.A.
  7,034   342,717
 
Gaztransport Et Technigaz SA
  7,653   773,596
 
Getlink SE
  25,956   457,897
 
GL Events
  2,714   63,671
 
Groupe Crit
  1,032   78,719
 
Groupe Gorge
  547   10,427
 
Groupe Open
  640   8,638
 
Guerbet
  757   29,244
 
Haulotte Group SA
  2,205   11,754
 
Hermes International
  4,396   3,282,609
 
HEXAOM
  226   9,067
*
ID Logistics Group
  339   66,286
#
Iliad SA
  8,972   1,177,495
 
Imerys SA
  2,773   119,707
 
Ingenico Group SA
  16,142   1,877,203
 
Ipsen SA
  8,725   647,482
 
IPSOS
  9,174   297,238
 
Jacquet Metal Service SA
  4,428   69,125
#
JCDecaux SA
  18,466   493,548
 
Kaufman & Broad SA
  6,404   271,274
 
Kering SA
  7,786   4,757,406
 
Korian SA
  11,368   518,615
 
Lagardere SCA
  32,168   610,599
 
Laurent-Perrier
  417   37,903
 
Le Belier
  180   7,214
 
Lectra
  5,742   141,957
 
Legrand SA
  26,563   2,125,350
 
Linedata Services
  313   10,136
 
LISI
  4,382   133,262
 
LNA Sante SA
  508   25,826
 
L'Oreal SA
  17,797   4,950,158
 
LVMH Moet Hennessy Louis Vuitton SE
  28,564   12,438,826
 
Maisons du Monde SA
  4,243   56,236
 
Manitou BF SA
  2,761   50,554
 
Manutan International
  96   6,846
 
Mersen SA
  2,463   80,691
 
Metropole Television SA
  9,406   156,427
 
Natixis SA
  121,987   515,137
 
Nexans SA
  6,075   295,556
 
Nexity SA
  17,553   847,426
 
NRJ Group
  2,187   15,107
 
Oeneo SA
  5,443   82,985
*
OL Groupe SA
  2,891   9,679
 
Orange SA, Sponsored ADR
  5,900   83,131
 
Orange SA
  192,576   2,722,248
#
Orpea
  7,592   988,436
 
Pernod Ricard SA
  6,731   1,165,384
 
Peugeot SA
  163,553   3,367,597
#
Plastivaloire
  1,658   11,931
 
Publicis Groupe SA
  49,634   2,200,233
 
Quadient
  8,062   193,930
#
Rallye SA
  3,965   38,626
#*
Recylex SA
  633   2,076
 
Renault SA
  16,671   652,057
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
FRANCE — (Continued)
 
Rexel SA
  84,744   $1,013,716
#
Robertet SA
  52   52,505
 
Rothschild & Co.
  3,010   80,830
 
Rubis SCA
  24,904   1,538,259
 
Safran SA
  29,005   4,676,682
 
Samse SA
  4   741
 
Sanofi
  45,012   4,340,881
 
Sartorius Stedim Biotech
  3,659   656,145
 
Savencia SA
  995   68,550
 
Schneider Electric SE
  31,637   3,155,046
 
Schneider Electric SE
  278   27,790
 
SCOR SE
  44,147   1,876,375
 
SEB SA
  5,699   731,735
 
Seche Environnement SA
  652   29,690
 
SES SA
  76,760   942,056
 
Societe BIC SA
  5,560   375,325
*
Societe des Bains de Mer et du Cercle des Etrangers a Monaco
  162   10,631
 
Societe Generale SA
  73,305   2,372,125
 
Societe pour l'Informatique Industrielle
  1,077   32,043
#
Sodexo SA
  15,205   1,592,036
#*
Solocal Group
  102,434   49,636
 
Somfy SA
  650   65,698
 
Sopra Steria Group
  6,146   981,170
 
SPIE SA
  27,621   535,062
 
Stef SA
  548   50,312
 
Suez
  58,160   954,454
 
Sword Group
  750   29,098
 
Synergie SA
  2,798   88,722
 
Tarkett SA
  4,364   60,254
#*
Technicolor SA
  28,227   19,544
 
Teleperformance
  9,051   2,270,874
 
Television Francaise 1
  17,258   129,928
 
Thales SA
  15,070   1,653,648
 
Thermador Groupe
  635   38,594
 
Total Gabon
  88   13,090
 
Trigano SA
  1,235   117,106
*
Ubisoft Entertainment SA
  18,022   1,366,816
 
Union Financiere de France BQE SA
  1,214   27,463
 
Valeo SA
  33,968   1,008,888
#*
Valneva SE
  3,076   10,633
 
Vetoquinol SA
  354   22,724
 
VIEL & Cie SA
  300   1,591
 
Vilmorin & Cie SA
  1,348   65,331
 
Vinci SA
  44,982   4,983,513
*
Virbac SA
  989   242,091
 
Vivendi SA
  32,990   902,242
 
Vranken-Pommery Monopole SA
  575   11,817
*
Worldline SA
  10,328   727,771
TOTAL FRANCE
      143,161,623
GERMANY — (7.1%)
 
1&1 Drillisch AG
  4,635   113,632
 
Aareal Bank AG
  12,979   425,041
 
Adidas AG
  22,837   7,219,096
*
ADLER Real Estate AG
  6,632   89,034
#
ADO Properties SA
  4,740   146,555
*
ADVA Optical Networking SE
  9,981   82,351
*
AIXTRON SE
  5,902   61,948
 
All for One Group AG
  315   19,073
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
GERMANY — (Continued)
 
Allgeier SE
  500   $18,106
*
Allianz SE, Sponsored ADR
  3,199   76,580
 
Allianz SE
  24,293   5,799,794
 
Amadeus Fire AG
  1,764   298,643
 
Aroundtown SA
  211,023   1,997,716
 
Atoss Software AG
  148   25,805
 
Aurubis AG
  12,510   680,653
 
BASF SE
  26,601   1,795,479
 
Basler AG
  534   31,875
 
Bauer AG
  2,135   37,703
 
Bayerische Motoren Werke AG
  59,879   4,265,268
 
BayWa AG
  4,441   130,495
 
Bechtle AG
  8,700   1,255,310
 
Beiersdorf AG
  15,552   1,763,188
 
Bertrandt AG
  1,257   72,767
 
bet-at-home.com AG
  361   19,055
 
Bijou Brigitte AG
  771   42,646
 
Bilfinger SE
  7,009   247,241
 
Borussia Dortmund GmbH & Co. KGaA
  13,319   130,123
 
Brenntag AG
  32,954   1,705,371
 
CANCOM SE
  6,653   395,828
 
Carl Zeiss Meditec AG
  5,752   702,261
*
CECONOMY AG
  45,024   232,727
 
CENIT AG
  563   8,071
 
CENTROTEC Sustainable AG
  1,041   15,825
 
Cewe Stiftung & Co. KGAA
  1,533   174,859
 
comdirect bank AG
  1,558   24,001
 
Commerzbank AG
  164,653   944,855
 
CompuGroup Medical SE
  6,735   443,042
 
Continental AG
  10,964   1,251,180
#
Corestate Capital Holding SA
  1,650   72,385
 
Covestro AG
  41,998   1,769,912
 
CropEnergies AG
  5,982   66,797
 
CTS Eventim AG & Co. KGaA
  9,608   597,462
 
Daimler AG
  129,040   5,975,458
*
Delivery Hero SE
  11,033   848,917
 
Deutsche Bank AG
  42,112   385,280
 
Deutsche Bank AG
  40,032   366,293
 
Deutsche Beteiligungs AG
  3,090   130,098
 
Deutsche Boerse AG
  18,058   2,931,237
 
Deutsche EuroShop AG
  4,905   133,731
 
Deutsche Pfandbriefbank AG
  17,930   288,790
 
Deutsche Post AG
  55,278   1,928,642
 
Deutsche Telekom AG, Sponsored ADR
  6,013   96,869
 
Deutsche Telekom AG
  180,093   2,916,750
 
Deutz AG
  30,765   160,676
*
Dialog Semiconductor P.L.C.
  37,115   1,630,345
 
DIC Asset AG
  10,146   190,094
 
DMG Mori AG
  2,478   116,751
 
Dr Hoenle AG
  323   15,761
 
Draegerwerk AG & Co. KGaA
  864   39,346
 
Duerr AG
  15,025   449,833
 
Eckert & Ziegler Strahlen- und Medizintechnik AG
  790   150,466
 
EDAG Engineering Group AG
  1,820   20,392
*
ElringKlinger AG
  2,943   19,996
 
Energiekontor AG
  1,136   26,971
 
Evonik Industries AG
  14,698   402,781
 
Ferratum Oyj
  315   4,125
 
Fielmann AG
  7,465   593,720
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
GERMANY — (Continued)
 
First Sensor AG
  411   $17,511
 
Fraport AG Frankfurt Airport Services Worldwide
  5,797   431,163
 
Freenet AG
  31,632   701,704
 
Fresenius Medical Care AG & Co. KGaA, ADR
  6,891   264,408
 
Fresenius Medical Care AG & Co. KGaA
  35,797   2,752,251
 
Fresenius SE & Co. KGaA
  19,690   1,005,378
 
Fuchs Petrolub SE
  7,871   319,457
 
GEA Group AG
  14,843   444,440
 
Gesco AG
  1,666   35,066
 
GFT Technologies SE
  4,802   70,439
 
Grammer AG
  139   4,773
 
Grand City Properties SA
  19,650   503,633
*
H&R GmbH & Co. KGaA
  2,873   15,927
 
Hamburger Hafen und Logistik AG
  4,178   102,819
 
Hannover Rueck SE
  5,486   1,065,197
*
Heidelberger Druckmaschinen AG
  47,568   46,941
 
Hella GmbH & Co KGaA
  5,661   266,055
 
Henkel AG & Co. KGaA
  6,403   589,944
 
Hochtief AG
  4,498   520,262
 
HolidayCheck Group AG
  8,681   22,475
 
Hornbach Baumarkt AG
  1,445   31,682
 
Hornbach Holding AG & Co. KGaA
  1,833   115,803
 
Hugo Boss AG
  16,186   764,653
*
Hypoport AG
  461   162,616
 
Indus Holding AG
  6,178   251,623
 
Infineon Technologies AG
  66,345   1,425,286
 
Isra Vision AG
  4,190   156,888
 
Jenoptik AG
  6,327   173,889
 
K+S AG
  40,737   395,334
 
KION Group AG
  14,810   926,985
 
Kloeckner & Co. SE
  16,069   102,051
 
Knorr-Bremse AG
  1,709   186,423
 
Koenig & Bauer AG
  1,638   43,422
 
Krones AG
  1,684   127,163
 
KWS Saat SE & Co., KGaA
  1,272   78,545
 
Lanxess AG
  21,924   1,314,851
 
LEG Immobilien AG
  9,566   1,179,873
 
Leifheit AG
  566   14,967
*
Leoni AG
  6,219   72,611
*
LPKF Laser & Electronics AG
  2,930   61,358
*
Manz AG
  207   4,722
*
Medigene AG
  1,388   8,972
 
Merck KGaA
  3,946   505,993
 
METRO AG
  50,461   702,114
 
MLP SE
  13,290   82,835
 
MTU Aero Engines AG
  7,660   2,319,945
 
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen
  10,662   3,143,586
 
Nemetschek SE
  12,299   834,263
 
New Work SE
  402   131,492
 
Nexus AG
  3,276   124,685
*
Nordex SE
  12,619   163,288
 
Norma Group SE
  7,134   260,084
 
OHB SE
  906   40,874
 
OSRAM Licht AG
  11,909   598,779
 
Patrizia AG
  996   23,776
 
Pfeiffer Vacuum Technology AG
  1,554   258,174
 
PNE AG
  7,350   35,784
 
ProSiebenSat.1 Media SE
  84,258   1,115,457
 
PSI Software AG
  690   14,854
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
GERMANY — (Continued)
 
Puma SE
  16,094   $1,288,691
 
Puma SE
  2,960   237,674
*
QIAGEN NV
  4,086   138,031
*
QIAGEN NV
  14,881   497,031
 
QSC AG
  22,904   29,304
 
Rational AG
  665   498,702
 
Rheinmetall AG
  7,291   779,739
 
RHOEN-KLINIKUM AG
  1,770   30,969
 
RIB Software SE
  5,917   124,276
*
Rocket Internet SE
  17,376   406,172
 
RTL Group SA
  13,465   611,819
#
S&T AG
  8,460   227,111
 
SAF-Holland SA
  6,576   45,640
 
SAP SE, Sponsored ADR
  15,059   1,969,265
 
SAP SE
  28,402   3,698,825
 
Scout24 AG
  10,406   715,253
 
Secunet Security Networks AG
  212   30,480
*
Shop Apotheke Europe NV
  417   21,062
 
Siemens AG
  37,027   4,566,840
 
Sixt Leasing SE
  3,329   49,233
 
Sixt SE
  3,368   339,411
*
SMA Solar Technology AG
  983   36,175
 
Software AG
  5,844   194,825
 
Stabilus SA
  4,878   296,344
 
STRATEC SE
  663   46,971
 
Stroeer SE & Co. KGaA
  7,837   622,042
*
SUESS MicroTec SE
  1,948   22,163
 
Symrise AG
  21,445   2,203,579
 
TAG Immobilien AG
  24,369   642,262
 
Takkt AG
  8,048   105,659
*
Talanx AG
  9,696   483,872
 
Technotrans SE
  943   20,692
*
Tele Columbus AG
  6,940   26,032
 
Thyssenkrupp AG
  127,399   1,566,504
 
TLG Immobilien AG
  24,428   835,226
 
Uniper SE
  14,656   480,140
 
United Internet AG
  30,711   992,843
 
VERBIO Vereinigte BioEnergie AG
  6,662   94,275
 
Vonovia SE
  36,344   2,074,386
 
Vossloh AG
  1,268   55,889
 
Wacker Chemie AG
  1,909   137,001
 
Wacker Neuson SE
  6,335   101,711
 
Washtec AG
  2,119   119,479
 
Wirecard AG
  11,508   1,688,006
 
Wuestenrot & Wuerttembergische AG
  5,732   121,574
*
Zalando SE
  10,399   497,903
 
Zeal Network SE
  3,022   76,084
TOTAL GERMANY
      112,055,783
HONG KONG — (1.8%)
 
Aeon Credit Service Asia Co., Ltd.
  28,000   21,682
 
AIA Group, Ltd.
  654,000   6,480,450
 
Allied Properties HK, Ltd.
  226,000   42,140
 
Asia Standard International Group, Ltd.
  80,000   12,182
#
Asiasec Properties, Ltd.
  17,000   2,697
 
ASM Pacific Technology, Ltd.
  45,600   614,449
#
Associated International Hotels, Ltd.
  4,000   9,747
 
Bank of East Asia, Ltd. (The)
  92,607   199,751
 
BOC Aviation, Ltd.
  55,800   514,437
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
HONG KONG — (Continued)
 
BOC Hong Kong Holdings, Ltd.
  264,000   $872,674
 
BOCOM International Holdings Co., Ltd.
  115,000   15,834
 
Bright Smart Securities & Commodities Group, Ltd.
  72,000   18,951
*
Brightoil Petroleum Holdings, Ltd.
  229,000   33,171
#
Cathay Pacific Airways, Ltd.
  86,000   108,456
 
Century City International Holdings, Ltd.
  232,000   15,776
 
China Motor Bus Co., Ltd.
  1,000   14,879
#
China New Higher Education Group, Ltd.
  42,000   14,296
 
China Star Entertainment, Ltd.
  140,000   27,354
#*
China Strategic Holdings, Ltd.
  1,640,000   6,496
 
Chinese Estates Holdings, Ltd.
  104,000   73,387
 
Chong Hing Bank, Ltd.
  12,000   19,030
 
Chow Sang Sang Holdings International, Ltd.
  97,000   113,257
 
Chow Tai Fook Jewellery Group, Ltd.
  180,800   162,960
 
Chuang's Consortium International, Ltd.
  92,000   15,720
 
CITIC Telecom International Holdings, Ltd.
  185,000   63,872
 
CK Asset Holdings, Ltd.
  143,000   913,620
 
CK Hutchison Holdings, Ltd.
  59,704   527,527
 
CK Life Sciences Intl Holdings, Inc.
  492,000   50,838
 
CNQC International Holdings, Ltd.
  45,000   6,053
 
Convenience Retail Asia, Ltd.
  66,000   30,279
#*
Convoy Global Holdings, Ltd.
  528,000   2,128
*
Cosmopolitan International Holdings, Ltd.
  80,000   15,379
 
Cowell e Holdings, Inc.
  52,000   12,586
 
Cross-Harbour Holdings, Ltd. (The)
  19,000   29,748
 
CSI Properties, Ltd.
  1,430,000   51,199
*
CW Group Holdings, Ltd.
  85,500   477
 
Dah Sing Banking Group, Ltd.
  85,600   109,008
 
Dah Sing Financial Holdings, Ltd.
  28,400   102,102
 
Dickson Concepts International, Ltd.
  6,500   3,985
 
Eagle Nice International Holdings, Ltd.
  24,000   8,526
 
Emperor Capital Group, Ltd.
  444,000   9,689
 
Emperor International Holdings, Ltd.
  280,000   54,781
 
Emperor Watch & Jewellery, Ltd.
  350,000   6,415
*
ENM Holdings, Ltd.
  208,000   17,025
*
Esprit Holdings, Ltd.
  414,100   73,927
 
Far East Consortium International, Ltd.
  267,000   114,897
#*
FIH Mobile, Ltd.
  666,000   103,162
*
First Shanghai Investments, Ltd.
  112,000   5,338
 
Fountain SET Holdings, Ltd.
  74,000   11,402
*
Freeman Fintech Corp, Ltd.
  24,000   346
 
Galaxy Entertainment Group, Ltd.
  154,000   1,007,866
#*
Genting Hong Kong, Ltd.
  96,000   7,470
 
Get Nice Holdings, Ltd.
  884,000   22,884
 
Giordano International, Ltd.
  302,000   77,191
 
Global Brands Group Holding, Ltd.
  128,136   8,141
 
Glorious Sun Enterprises, Ltd.
  21,000   2,347
 
Golden Resources Development International, Ltd.
  76,000   6,028
#*
Gold-Finance Holdings, Ltd.
  44,000   153
#*
Goodbaby International Holdings, Ltd.
  175,000   32,077
 
Great Eagle Holdings, Ltd.
  33,000   100,616
*
G-Resources Group, Ltd.
  1,842,000   12,301
 
Guoco Group, Ltd.
  6,000   101,547
#
Guotai Junan International Holdings, Ltd.
  637,000   107,719
#
Haitong International Securities Group, Ltd.
  433,349   124,656
 
Hang Seng Bank, Ltd.
  63,700   1,287,589
 
Hanison Construction Holdings, Ltd.
  89,806   12,745
 
Harbour Centre Development, Ltd.
  9,000   12,600
 
Henderson Land Development Co., Ltd.
  100,740   452,288
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
HONG KONG — (Continued)
 
HKBN, Ltd.
  102,500   $177,625
 
HKR International, Ltd.
  122,000   51,449
 
Hon Kwok Land Investment Co., Ltd.
  26,000   9,992
*
Hong Kong Finance Investment Holding Group, Ltd.
  190,000   20,016
 
Hongkong Chinese, Ltd.
  58,000   6,051
#
Honma Golf, Ltd.
  11,500   7,763
 
Hutchison Telecommunications Hong Kong Holdings, Ltd.
  148,000   26,814
 
Hysan Development Co., Ltd.
  58,000   216,512
*
I-CABLE Communications, Ltd.
  80,392   728
#
IGG, Inc.
  274,000   190,579
*
Imagi International Holdings, Ltd.
  56,000   7,179
 
International Housewares Retail Co., Ltd.
  42,000   9,739
 
IT, Ltd.
  120,000   26,886
 
ITC Properties Group, Ltd.
  47,000   6,747
 
Jacobson Pharma Corp., Ltd.
  76,000   15,932
 
Johnson Electric Holdings, Ltd.
  75,500   166,715
 
Karrie International Holdings, Ltd.
  74,000   10,502
 
Kerry Logistics Network, Ltd.
  85,500   136,398
 
Kerry Properties, Ltd.
  124,000   345,874
 
Kingston Financial Group, Ltd.
  232,000   26,094
 
Kowloon Development Co., Ltd.
  64,000   76,468
 
Lai Sun Development Co., Ltd.
  36,900   43,648
 
Lai Sun Garment International, Ltd.
  6,000   7,119
*
Landing International Development, Ltd.
  244,800   26,051
#
Landsea Green Group Co., Ltd.
  96,000   9,486
 
Langham Hospitality Investments and Langham Hospitality Investments, Ltd.
  100,000   25,886
*
Leyou Technologies Holdings, Ltd.
  275,000   88,210
 
Li & Fung, Ltd.
  2,451,360   214,668
#
Lifestyle International Holdings, Ltd.
  91,000   91,009
 
Liu Chong Hing Investment, Ltd.
  40,000   51,418
 
L'Occitane International SA
  53,750   113,823
 
Luk Fook Holdings International, Ltd.
  83,000   224,816
 
Lung Kee Bermuda Holdings
  18,000   5,635
 
Man Wah Holdings, Ltd.
  386,400   266,401
#
Mason Group Holdings, Ltd.
  2,620,000   15,484
 
Melco International Development, Ltd.
  146,000   315,311
 
Melco Resorts & Entertainment, Ltd., ADR
  1,858   37,476
 
MGM China Holdings, Ltd.
  182,800   255,248
*
Midland Holdings, Ltd.
  89,026   11,356
 
Miramar Hotel & Investment
  17,000   31,614
 
Modern Dental Group, Ltd.
  47,000   8,455
 
MTR Corp., Ltd.
  34,358   192,702
 
NagaCorp., Ltd.
  330,000   465,481
 
Nameson Holdings, Ltd.
  26,000   1,785
 
New World Development Co., Ltd.
  409,000   510,895
#*
NewOcean Energy Holdings, Ltd.
  312,000   44,127
#
NOVA Group Holdings, Ltd.
  120,000   24,103
#
NWS Holdings, Ltd.
  125,242   160,930
 
OP Financial, Ltd.
  80,000   15,253
 
Oriental Watch Holdings
  118,000   28,339
 
Oshidori International Holdings, Ltd.
  288,000   28,905
 
Pacific Textiles Holdings, Ltd.
  207,000   133,856
 
Paliburg Holdings, Ltd.
  52,000   17,413
*
PC Partner Group, Ltd.
  30,000   6,968
 
Perfect Shape Medical, Ltd.
  28,000   9,383
 
Pico Far East Holdings, Ltd.
  98,000   26,510
 
Playmates Holdings, Ltd.
  90,000   12,674
 
Polytec Asset Holdings, Ltd.
  98,300   11,989
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
HONG KONG — (Continued)
 
Power Assets Holdings, Ltd.
  102,000   $736,380
 
Prada SpA
  81,500   312,490
#*
PT International Development Co., Ltd.
  390,000   18,552
 
Public Financial Holdings, Ltd.
  50,000   17,971
#
Regina Miracle International Holdings, Ltd.
  58,000   34,572
#
Sa Sa International Holdings, Ltd.
  285,472   50,341
 
Samsonite International SA
  263,400   491,861
#
SEA Holdings, Ltd.
  13,170   11,139
 
Singamas Container Holdings, Ltd.
  276,000   25,471
 
Sino Land Co., Ltd.
  314,197   428,199
 
Sitoy Group Holdings, Ltd.
  91,000   11,280
 
SmarTone Telecommunications Holdings, Ltd.
  47,500   34,805
 
Soundwill Holdings, Ltd.
  11,500   13,317
 
Stella International Holdings, Ltd.
  47,500   65,819
#*
Summit Ascent Holdings, Ltd.
  60,000   7,262
 
Sun Hung Kai & Co., Ltd.
  163,000   72,838
 
Sun Hung Kai Properties, Ltd.
  90,707   1,263,581
 
SUNeVision Holdings, Ltd.
  92,000   60,882
 
Swire Properties, Ltd.
  36,200   112,379
 
TAI Cheung Holdings, Ltd.
  30,000   23,741
#
Tao Heung Holdings, Ltd.
  83,000   13,175
 
Techtronic Industries Co., Ltd.
  177,500   1,416,289
 
Television Broadcasts, Ltd.
  65,300   99,972
 
Texwinca Holdings, Ltd.
  150,000   31,721
 
TK Group Holdings, Ltd.
  26,000   12,607
#*
TOM Group, Ltd.
  136,000   24,253
 
Tradelink Electronic Commerce, Ltd.
  62,000   9,036
 
Transport International Holdings, Ltd.
  20,400   51,428
*
Trinity, Ltd.
  12,000   315
 
Union Medical Healthcare, Ltd.
  32,000   21,150
#
United Laboratories International Holdings, Ltd. (The)
  94,000   61,525
*
Value Convergence Holdings, Ltd.
  44,000   1,712
 
Vitasoy International Holdings, Ltd.
  132,000   475,791
 
VPower Group International Holdings, Ltd.
  28,000   8,029
#
VSTECS Holdings, Ltd.
  204,400   98,399
 
VTech Holdings, Ltd.
  16,600   150,043
 
Wai Kee Holdings, Ltd.
  18,000   10,417
 
Wang On Group, Ltd.
  720,000   6,850
*
We Solutions, Ltd.
  84,000   4,458
 
Wharf Holdings, Ltd. (The)
  171,000   422,412
 
Wharf Real Estate Investment Co., Ltd.
  75,000   387,319
 
Wheelock & Co., Ltd.
  96,000   584,368
 
Wynn Macau, Ltd.
  74,800   155,259
 
Yue Yuen Industrial Holdings, Ltd.
  69,000   191,855
TOTAL HONG KONG
      28,212,056
IRELAND — (0.6%)
 
AIB Group P.L.C.
  29,008   85,047
 
Bank of Ireland Group P.L.C.
  105,794   515,241
 
C&C Group P.L.C.
  56,898   269,171
 
Cairn Homes P.L.C
  112,633   153,018
*
Datalex P.L.C.
  3,175   1,209
 
FBD Holdings P.L.C.
  4,987   48,018
 
Flutter Entertainment P.L.C.
  13,820   1,567,689
 
Flutter Entertainment P.L.C.
  284   32,223
 
Glanbia P.L.C.
  32,995   384,389
 
Kenmare Resources P.L.C.
  5   17
 
Kerry Group P.L.C., Class A
  4,912   627,836
 
Kingspan Group P.L.C.
  38,788   2,392,280
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
IRELAND — (Continued)
*
Permanent TSB Group Holdings P.L.C.
  16,548   $18,153
 
Smurfit Kappa Group P.L.C.
  74,802   2,586,800
TOTAL IRELAND
      8,681,091
ISRAEL — (0.5%)
 
Adgar Investment and Development, Ltd.
  5,179   12,410
*
AFI Properties, Ltd.
  2,345   95,062
*
Airport City, Ltd.
  9,974   175,372
*
Albaad Massuot Yitzhak, Ltd.
  659   3,604
*
Allot, Ltd.
  1,587   15,387
#
Alony Hetz Properties & Investments, Ltd.
  15,090   249,373
 
Alrov Properties and Lodgings, Ltd.
  935   45,502
 
Amot Investments, Ltd.
  17,552   127,671
 
Arad, Ltd.
  1,164   21,443
*
Arko Holdings, Ltd.
  28,181   11,655
 
Ashtrom Group, Ltd.
  4,258   63,445
 
Ashtrom Properties, Ltd.
  2,396   15,230
 
Atreyu Capital Markets, Ltd.
  692   14,402
 
AudioCodes, Ltd.
  711   15,786
*
Avgol Industries 1953, Ltd.
  9,272   6,360
*
Azorim-Investment Development & Construction Co., Ltd.
  8,746   21,111
 
Azrieli Group, Ltd.
  1,989   146,583
 
Bank Leumi Le-Israel BM
  2,982   21,440
 
Bayside Land Corp.
  130   104,022
 
Bet Shemesh Engines Holdings 1997, Ltd.
  1,039   42,170
*
Bezeq The Israeli Telecommunication Corp., Ltd.
  147,007   112,916
 
Big Shopping Centers, Ltd.
  847   95,341
 
Blue Square Real Estate, Ltd.
  648   46,095
*
Brack Capital Properties NV
  311   30,156
 
Camtek, Ltd.
  2,629   30,694
 
Carasso Motors, Ltd.
  6,437   30,754
*
Cellcom Israel, Ltd.
  7,235   26,069
*
Clal Insurance Enterprises Holdings, Ltd.
  9,665   122,312
*
Compugen, Ltd.
  1,357   9,808
 
Danel Adir Yeoshua, Ltd.
  481   45,203
 
Delek Automotive Systems, Ltd.
  4,240   25,170
 
Delek Group, Ltd.
  934   119,738
 
Delta-Galil Industries, Ltd.
  2,033   53,252
 
Dor Alon Energy in Israel 1988, Ltd.
  1,244   32,374
 
Duniec Brothers, Ltd.
  320   12,216
 
Electra Consumer Products 1970, Ltd.
  1,132   22,339
 
Electra, Ltd.
  311   163,556
*
Equital, Ltd.
  3,285   87,534
*
Evogene, Ltd.
  1,229   1,927
 
First International Bank Of Israel, Ltd.
  5,867   164,056
 
FMS Enterprises Migun, Ltd.
  590   20,499
 
Formula Systems 1985, Ltd.
  1,327   95,966
 
Formula Systems 1985, Ltd., Sponsored ADR
  79   5,935
 
Fox Wizel, Ltd.
  1,518   72,062
 
Gilat Satellite Networks, Ltd.
  2,508   23,433
 
Hadera Paper, Ltd.
  162   6,423
*
Hamlet Israel-Canada, Ltd.
  723   13,024
 
Harel Insurance Investments & Financial Services, Ltd.
  29,188   199,465
 
Hilan, Ltd.
  1,584   64,364
 
IDI Insurance Co., Ltd.
  1,058   35,420
 
IES Holdings, Ltd.
  199   12,069
*
Industrial Buildings Corp., Ltd.
  10,136   28,709
 
Inrom Construction Industries, Ltd.
  12,237   56,424
 
Israel Canada T.R, Ltd.
  12,050   27,779
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
ISRAEL — (Continued)
 
Israel Chemicals, Ltd.
  56,350   $236,691
 
Israel Land Development - Urban Renewal, Ltd.
  2,196   29,896
 
Isras Investment Co., Ltd.
  181   42,489
*
Kamada Ltd.
  1,000   6,500
*
Kamada, Ltd.
  2,586   16,880
 
Kerur Holdings, Ltd.
  1,061   29,020
 
Klil Industries, Ltd.
  140   11,133
 
Levinstein Properties, Ltd.
  392   11,160
 
Magic Software Enterprises, Ltd.
  1,400   15,260
 
Magic Software Enterprises, Ltd.
  1,688   18,279
 
Malam - Team, Ltd.
  132   28,340
 
Matrix IT, Ltd.
  6,777   141,346
 
Maytronics, Ltd.
  7,886   67,248
 
Mediterranean Towers, Ltd.
  7,618   23,532
 
Mega Or Holdings, Ltd.
  1,064   28,030
*
Mehadrin, Ltd.
  180   6,973
 
Meitav Dash Investments, Ltd.
  4,702   18,472
 
Melisron, Ltd.
  2,903   190,615
 
Menora Mivtachim Holdings, Ltd.
  5,649   75,028
 
Migdal Insurance & Financial Holdings, Ltd.
  97,673   78,984
 
Mivtach Shamir Holdings, Ltd.
  1,141   22,503
*
Nawi Brothers, Ltd.
  5,461   42,416
 
Neto ME Holdings, Ltd.
  281   15,667
*
Nice, Ltd.
  1,948   335,764
#*
Nice, Ltd., Sponsored ADR
  4,191   722,109
*
Nova Measuring Instruments, Ltd.
  3,931   150,792
 
Novolog, Ltd.
  17,322   10,030
 
NR Spuntech Industries, Ltd.
  3,315   5,071
 
Oil Refineries, Ltd.
  459,051   202,108
 
One Software Technologies, Ltd.
  392   30,498
 
OPC Energy, Ltd.
  3,049   26,682
*
Partner Communications Co., Ltd.
  5,874   26,044
 
Paz Oil Co., Ltd.
  1,796   217,833
*
Perion Network, Ltd.
  2,532   19,870
 
Phoenix Holdings, Ltd. (The)
  33,515   183,644
 
Plasson Industries, Ltd.
  227   10,611
 
Priortech, Ltd.
  1,051   11,621
 
Rami Levy Chain Stores Hashikma Marketing 2006, Ltd.
  1,444   83,430
 
Scope Metals Group, Ltd.
  502   11,607
 
Shalag Industries, Ltd.
  2,338   5,853
 
Shapir Engineering and Industry, Ltd.
  16,481   117,252
#
Shikun & Binui, Ltd.
  24,323   119,167
 
Shufersal, Ltd.
  23,523   146,810
 
Summit Real Estate Holdings, Ltd.
  5,845   87,214
 
Tadiran Holdings, Ltd.
  336   14,649
 
Telsys
  1,027   24,137
*
Teva Pharmaceutical Industries, Ltd., Sponsored ADR
  30,830   320,632
 
Union Bank of Israel
  2,519   14,820
 
Victory Supermarket Chain, Ltd.
  1,065   17,949
 
YH Dimri Construction & Development, Ltd.
  1,046   35,023
TOTAL ISRAEL
      7,208,792
ITALY — (2.3%)
 
ACEA SpA
  17,764   414,270
#*
Aeffe SpA
  3,089   5,230
#
Amplifon SpA
  31,282   889,488
 
Anima Holding SpA
  41,090   194,770
#
Aquafil SpA
  1,840   12,344
*
Arnoldo Mondadori Editore SpA
  34,785   71,292
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
ITALY — (Continued)
 
Ascopiave SpA
  12,034   $58,993
 
Assicurazioni Generali SpA
  124,682   2,429,512
 
ASTM SpA
  2,579   75,346
 
Atlantia SpA
  29,824   731,825
 
Autogrill SpA
  15,041   146,216
 
Autostrade Meridionali SpA
  304   9,738
 
Avio SpA
  1,274   20,781
 
Azimut Holding SpA
  22,563   553,571
 
Banca Farmafactoring SpA
  27,804   170,977
 
Banca Generali SpA
  14,533   461,973
 
Banca IFIS SpA
  4,579   72,604
 
Banca Mediolanum SpA
  13,443   121,243
#*
Banca Monte dei Paschi di Siena SpA
  519   971
 
Banca Popolare di Sondrio SCPA
  63,681   137,146
 
Banca Sistema SpA
  7,802   14,685
#*
Banco BPM SpA
  378,573   774,040
 
Banco di Desio e della Brianza SpA
  2,917   9,372
 
BasicNet SpA
  5,231   28,092
 
BE SpA
  21,403   30,596
#*
BF SpA
  4,090   17,470
#
Biesse SpA
  3,921   68,975
 
BPER Banca
  93,451   429,218
 
Brunello Cucinelli SpA
  7,221   261,829
 
Cairo Communication SpA
  17,605   46,445
 
Carel Industries SpA
  2,586   33,541
#
Carraro SpA
  4,563   9,263
 
Cerved Group SpA
  35,030   343,373
 
CIR-Compagnie Industriali Riunite SpA
  71,470   88,087
#
CNH Industrial NV
  117,575   1,119,901
 
Credito Emiliano SpA
  18,908   99,514
 
Danieli & C Officine Meccaniche SpA
  1,203   12,026
 
Danieli & C Officine Meccaniche SpA
  1,806   29,593
 
Datalogic SpA
  887   15,365
#
Davide Campari-Milano SpA
  45,226   437,154
 
De' Longhi SpA
  5,473   103,128
 
DeA Capital SpA
  12,208   19,307
 
DiaSorin SpA
  4,998   614,488
 
doValue SpA
  2,742   35,874
 
El.En. SpA
  536   16,883
 
Emak SpA
  7,007   6,419
 
Enav SpA
  22,195   143,316
 
Esprinet SpA
  10,115   52,484
 
Falck Renewables SpA
  34,844   226,701
 
Ferrari NV
  7,198   1,214,607
#
Ferrari NV
  3,170   535,159
 
Fiat Chrysler Automobiles NV
  111,776   1,456,130
#
Fiat Chrysler Automobiles NV
  184,512   2,402,346
 
Fiera Milano SpA
  4,854   29,531
#
Fila SpA
  870   12,366
#*
Fincantieri SpA
  63,031   57,227
#
FinecoBank Banca Fineco SpA
  65,743   769,232
 
FNM SpA
  43,781   35,852
*
GEDI Gruppo Editoriale SpA
  14,144   7,156
#
Geox SpA
  18,566   22,044
 
Gruppo MutuiOnline SpA
  5,831   130,062
 
Hera SpA
  241,092   1,096,582
 
Illimity Bank SpA
  9,073   92,736
#
IMA Industria Macchine Automatiche SpA
  3,980   259,713
*
IMMSI SpA
  53,304   28,760
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
ITALY — (Continued)
*
Intek Group SpA
  9,436   $3,129
 
Interpump Group SpA
  16,020   451,722
 
Intesa Sanpaolo SpA
  928,859   2,306,835
 
Iren SpA
  58,641   195,600
 
Italgas SpA
  100,034   664,949
 
Italmobiliare SpA
  1,641   45,655
 
IVS Group SA
  966   9,892
*
Juventus Football Club SpA
  75,944   95,692
 
La Doria SpA
  1,145   11,250
 
Leonardo SpA
  67,936   834,660
#
Maire Tecnimont SpA
  22,476   57,966
 
MARR SpA
  10,236   219,026
 
Massimo Zanetti Beverage Group SpA
  3,293   21,408
#*
Mediaset SpA
  106,584   281,475
 
Mediobanca Banca di Credito Finanziario SpA
  143,070   1,427,208
 
Moncler SpA
  61,704   2,655,881
 
Openjobmetis SpA agenzia per il lavoro
  1,095   9,698
#*
OVS SpA
  26,998   51,382
 
Piaggio & C SpA
  38,388   104,900
#
Prima Industrie SpA
  680   11,901
#
Prysmian SpA
  16,724   370,973
 
RAI Way SpA
  6,938   45,244
 
Recordati SpA
  20,687   885,209
 
Reno de Medici SpA
  17,508   14,731
 
Reply SpA
  3,752   294,445
#
Retelit SpA
  14,510   23,770
#
Rizzoli Corriere Della Sera Mediagroup SpA
  23,576   23,882
 
Sabaf SpA
  883   12,962
 
SAES Getters SpA
  341   10,932
#*
Safilo Group SpA
  6,117   6,935
#*
Saipem SpA
  155,225   643,507
#*
Salini Impregilo SpA
  12,528   20,288
 
Salvatore Ferragamo SpA
  19,102   352,429
 
Saras SpA
  41,476   55,655
 
Sesa SpA
  1,439   80,825
 
Snam SpA
  153,738   823,984
 
Societa Cattolica di Assicurazioni SC
  56,189   444,337
#*
Sogefi SpA
  15,342   21,814
 
SOL SpA
  1,421   15,432
 
Tamburi Investment Partners SpA
  9,445   71,201
 
Technogym SpA
  18,786   233,349
*
Telecom Italia SpA
  1,921,018   1,031,403
*
Telecom Italia SpA, Sponsored ADR
  6,420   33,705
 
Terna Rete Elettrica Nazionale SpA
  73,927   515,736
 
Tinexta S.p.A.
  3,527   42,235
 
Unieuro SpA
  1,671   23,236
#
Unione di Banche Italiane SpA
  220,611   660,255
 
Unipol Gruppo SpA
  110,794   564,119
 
UnipolSai Assicurazioni SpA
  93,184   249,507
TOTAL ITALY
      36,847,261
JAPAN — (23.0%)
 
77 Bank, Ltd. (The)
  7,500   113,640
 
A&A Material Corp.
  800   11,149
 
A&D Co., Ltd.
  4,200   34,782
 
ABC-Mart, Inc.
  3,100   198,883
 
Abist Co., Ltd.
  500   11,732
 
Achilles Corp.
  4,400   69,725
 
Acom Co., Ltd.
  34,500   161,602
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Adastria Co., Ltd.
  6,900   $135,556
 
ADEKA Corp.
  18,400   265,908
 
Ad-sol Nissin Corp.
  900   19,085
 
Advan Co., Ltd.
  3,300   38,803
 
Advantage Risk Management Co., Ltd.
  1,200   9,684
 
Advantest Corp.
  20,800   1,085,152
 
Adventure, Inc.
  300   9,718
 
Adways, Inc.
  4,000   11,672
 
Aeon Co., Ltd.
  45,799   936,749
 
Aeon Delight Co., Ltd.
  4,200   144,110
 
Aeon Fantasy Co., Ltd.
  900   19,181
 
AEON Financial Service Co., Ltd.
  26,400   412,435
#
Aeon Hokkaido Corp.
  3,500   25,536
#
Aeria, Inc.
  1,500   11,085
 
Agro-Kanesho Co., Ltd.
  800   10,621
 
Ahresty Corp.
  1,800   8,554
 
Ai Holdings Corp.
  4,400   74,821
 
Aica Kogyo Co., Ltd.
  4,400   137,351
 
Aichi Bank, Ltd. (The)
  1,200   36,932
 
Aichi Corp.
  7,600   49,750
 
Aichi Steel Corp.
  2,800   89,457
 
Aichi Tokei Denki Co., Ltd.
  300   11,890
 
Aida Engineering, Ltd.
  13,800   110,619
*
Aiful Corp.
  73,100   198,307
 
Ain Holdings, Inc.
  6,000   366,755
 
Aiphone Co., Ltd.
  2,400   37,179
 
Air Water, Inc.
  51,600   708,732
 
Airport Facilities Co., Ltd.
  2,400   12,046
 
Aisan Industry Co., Ltd.
  3,900   25,134
 
Aisin Seiki Co., Ltd.
  16,800   559,272
 
Aizawa Securities Co., Ltd.
  5,900   39,745
 
Ajis Co., Ltd.
  400   11,260
 
Akatsuki, Inc.
  800   36,506
*
Akebono Brake Industry Co., Ltd.
  17,600   35,893
 
Akita Bank, Ltd. (The)
  2,300   41,932
 
Albis Co., Ltd.
  1,500   30,220
 
Alconix Corp.
  2,300   28,056
 
Alfresa Holdings Corp.
  17,200   345,586
 
Alinco, Inc.
  2,800   30,498
 
Alleanza Holdings Co., Ltd.
  1,400   12,576
 
Alpen Co., Ltd.
  4,000   59,972
 
Alpha Corp.
  800   9,388
 
Alpha Systems, Inc.
  500   12,885
 
Alps Alpine Co., Ltd.
  33,016   592,731
 
Alps Logistics Co., Ltd.
  1,600   11,996
 
Altech Corp.
  4,900   80,707
 
Amada Holdings Co., Ltd.
  53,500   557,194
 
Amano Corp.
  6,300   181,937
 
Amiyaki Tei Co., Ltd.
  400   12,882
 
Amuse, Inc.
  1,900   48,912
 
Anabuki Kosan, Inc.
  700   10,905
 
Anest Iwata Corp.
  4,500   40,938
#
Anritsu Corp.
  24,300   467,260
 
AOI TYO Holdings, Inc.
  4,600   28,860
 
AOKI Holdings, Inc.
  5,800   56,586
 
Aomori Bank, Ltd. (The)
  2,400   58,985
 
Aoyama Trading Co., Ltd.
  10,500   134,607
 
Aozora Bank, Ltd.
  11,700   315,266
 
Apaman Co., Ltd.
  1,700   12,679
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Arakawa Chemical Industries, Ltd.
  5,000   $69,109
 
Arata Corp.
  3,000   124,086
 
Arcland Sakamoto Co., Ltd.
  6,200   68,173
 
Arcland Service Holdings Co., Ltd.
  2,000   36,213
 
Arcs Co., Ltd.
  8,823   155,234
 
Arealink Co., Ltd.
  2,300   24,661
 
Argo Graphics, Inc.
  2,500   78,622
 
Ariake Japan Co., Ltd.
  1,000   68,348
 
Arisawa Manufacturing Co., Ltd.
  4,400   39,426
 
Artnature, Inc.
  4,700   33,624
 
As One Corp.
  600   54,373
 
Asahi Broadcasting Group Holdings Corp.
  2,300   15,757
 
Asahi Co., Ltd.
  2,300   27,659
 
Asahi Diamond Industrial Co., Ltd.
  11,400   62,351
 
Asahi Group Holdings, Ltd.
  28,900   1,339,746
 
Asahi Holdings, Inc.
  14,900   374,133
 
Asahi Intecc Co., Ltd.
  24,500   675,040
 
Asahi Kasei Corp.
  118,700   1,214,105
 
Asahi Kogyosha Co., Ltd.
  800   24,834
 
Asahi Net, Inc.
  4,600   29,332
 
Asahi Yukizai Corp.
  2,600   40,159
 
Asante, Inc.
  900   16,330
 
Asanuma Corp.
  1,800   77,253
 
Ashimori Industry Co., Ltd.
  800   9,946
 
Asia Pile Holdings Corp.
  3,100   15,508
#
Asics Corp.
  23,700   346,242
 
ASKA Pharmaceutical Co., Ltd.
  5,600   62,964
 
ASKUL Corp.
  3,800   124,105
 
Astellas Pharma, Inc.
  131,100   2,316,553
 
Asukanet Co., Ltd.
  700   9,202
 
Ateam, Inc.
  2,000   16,961
#
Atom Corp.
  8,100   75,886
*
Atrae, Inc.
  1,200   39,715
 
Atsugi Co., Ltd.
  1,800   13,057
 
Aucnet, Inc.
  600   6,565
 
Autobacs Seven Co., Ltd.
  13,500   196,724
 
Avant Corp.
  5,100   47,000
 
Avantia Co., Ltd.
  1,800   16,504
 
Avex, Inc.
  7,100   78,915
 
Awa Bank, Ltd. (The)
  4,000   87,962
 
Axial Retailing, Inc.
  3,800   127,891
 
Azbil Corp.
  11,400   307,420
 
Bandai Namco Holdings, Inc.
  25,100   1,458,522
 
Bando Chemical Industries, Ltd.
  3,500   26,065
 
Bank of Iwate, Ltd. (The)
  2,300   55,873
 
Bank of Kochi, Ltd. (The)
  2,500   18,887
 
Bank of Kyoto, Ltd. (The)
  4,500   179,846
 
Bank of Nagoya, Ltd. (The)
  1,900   55,298
 
Bank of Okinawa, Ltd. (The)
  2,780   88,496
 
Bank of Saga, Ltd. (The)
  2,600   36,828
 
Bank of the Ryukyus, Ltd.
  6,200   59,529
 
Bank of Toyama, Ltd. (The)
  600   12,057
 
Baroque Japan, Ltd.
  1,300   12,479
 
BayCurrent Consulting, Inc.
  3,000   209,465
 
Beauty Garage, Inc.
  1,000   20,134
 
Belc Co., Ltd.
  2,000   106,674
 
Bell System24 Holdings, Inc.
  8,600   120,573
 
Belluna Co., Ltd.
  12,500   71,024
 
Benefit One, Inc.
  15,900   277,958
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Benesse Holdings, Inc.
  12,000   $329,638
 
BeNEXT Group, Inc.
  7,100   72,630
*
Bengo4.com, Inc.
  800   33,913
 
Bic Camera, Inc.
  21,900   237,470
 
Biofermin Pharmaceutical Co., Ltd.
  500   11,000
 
BML, Inc.
  2,900   82,126
 
BP Castrol K.K.
  1,200   15,754
 
Br Holdings Corp.
  2,900   12,735
#*
BrainPad, Inc.
  600   33,801
 
Broadleaf Co., Ltd.
  19,500   107,771
 
BRONCO BILLY Co., Ltd.
  1,000   23,604
 
Brother Industries, Ltd.
  41,000   791,806
 
Bunka Shutter Co., Ltd.
  17,500   139,893
 
Business Brain Showa-Ota, Inc.
  900   20,303
 
C Uyemura & Co., Ltd.
  400   27,879
 
CAC Holdings Corp.
  1,300   16,848
 
Can Do Co., Ltd.
  1,000   14,869
 
Canon Electronics, Inc.
  2,500   47,451
 
Canon Marketing Japan, Inc.
  12,200   290,786
#
Canon, Inc., Sponsored ADR
  14,250   372,922
 
Canon, Inc.
  19,500   511,374
 
Capcom Co., Ltd.
  15,700   444,220
 
Career Design Center Co., Ltd.
  800   9,550
#*
CareerIndex, Inc.
  800   2,690
 
Carlit Holdings Co., Ltd.
  1,500   7,832
 
Casio Computer Co., Ltd.
  25,600   474,506
 
Cawachi, Ltd.
  3,600   70,179
 
Central Automotive Products, Ltd.
  1,000   24,287
 
Central Japan Railway Co.
  4,655   913,691
#
Central Security Patrols Co., Ltd.
  1,400   76,446
 
Central Sports Co., Ltd.
  1,100   30,961
 
Ceres, Inc.
  600   6,503
 
Charm Care Corp. KK
  2,200   17,619
 
Chiba Bank, Ltd. (The)
  24,300   131,769
 
Chiba Kogyo Bank, Ltd. (The)
  8,900   28,473
 
Chilled & Frozen Logistics Holdings Co., Ltd., Class H
  2,200   25,920
 
CHIMNEY Co., Ltd.
  1,700   36,197
 
Chino Corp.
  800   10,429
 
Chiyoda Co., Ltd.
  4,200   56,438
 
Chiyoda Integre Co., Ltd.
  1,700   31,749
 
Chodai Co., Ltd.
  2,900   32,516
 
Chofu Seisakusho Co., Ltd.
  4,800   101,874
 
Chori Co., Ltd.
  700   13,728
 
Chubu Shiryo Co., Ltd.
  2,900   44,833
 
Chudenko Corp.
  6,600   152,512
 
Chugai Pharmaceutical Co., Ltd.
  14,900   1,526,188
 
Chugai Ro Co., Ltd.
  1,100   17,300
 
Chugoku Bank, Ltd. (The)
  13,700   129,867
 
Chugoku Marine Paints, Ltd.
  16,500   153,352
 
Chukyo Bank, Ltd. (The)
  1,900   38,839
 
Chuo Spring Co., Ltd.
  500   13,876
 
Chuo Warehouse Co., Ltd.
  1,000   10,105
 
CI Takiron Corp.
  13,000   81,693
 
Citizen Watch Co., Ltd.
  43,000   207,880
 
CKD Corp.
  4,600   72,795
 
Cleanup Corp.
  5,200   32,030
 
CMIC Holdings Co., Ltd.
  2,500   39,320
 
Coca-Cola Bottlers Japan Holdings, Inc.
  9,700   255,313
 
cocokara fine, Inc.
  3,500   215,527
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Coco's Japan Co., Ltd.
  700   $9,924
 
Colowide Co., Ltd.
  7,500   152,073
 
Computer Engineering & Consulting, Ltd.
  5,700   106,681
 
COMSYS Holdings Corp.
  15,321   443,219
 
Comture Corp.
  4,500   87,481
 
Concordia Financial Group, Ltd.
  47,832   180,307
 
CONEXIO Corp.
  6,100   88,910
 
Core Corp.
  1,700   21,591
 
Corona Corp.
  3,100   29,084
 
Cosel Co., Ltd.
  4,200   43,347
 
Cosmos Pharmaceutical Corp.
  2,000   439,241
 
Cota Co., Ltd.
  2,010   27,946
 
Create Medic Co., Ltd.
  1,600   15,840
 
Create Restaurants Holdings, Inc.
  4,800   100,026
 
Create SD Holdings Co., Ltd.
  5,100   126,866
 
Creek & River Co., Ltd.
  1,500   14,017
 
Cresco, Ltd.
  3,600   61,066
 
CTI Engineering Co., Ltd.
  1,100   24,287
 
CTS Co., Ltd.
  3,200   20,332
 
CyberAgent, Inc.
  18,200   725,256
 
Cybozu, Inc.
  3,500   61,172
 
Dai Nippon Printing Co., Ltd.
  12,000   330,894
 
Dai Nippon Toryo Co., Ltd.
  1,400   14,359
 
Daibiru Corp.
  7,600   93,551
 
Daicel Corp.
  45,700   432,610
 
Dai-Dan Co., Ltd.
  5,100   123,640
 
Daido Kogyo Co., Ltd.
  1,000   7,196
 
Daido Metal Co., Ltd.
  4,500   27,852
 
Daido Steel Co., Ltd.
  6,900   263,858
 
Daidoh, Ltd.
  5,000   12,659
 
Daifuku Co., Ltd.
  13,400   806,826
 
Daihatsu Diesel Manufacturing Co., Ltd.
  4,300   25,174
 
Daihen Corp.
  5,000   156,060
 
Daiho Corp.
  4,200   104,352
 
Dai-Ichi Cutter Kogyo K.K.
  1,000   16,127
 
Daiichi Jitsugyo Co., Ltd.
  1,600   50,888
 
Daiichi Kensetsu Corp.
  700   11,570
#
Daiichi Kigenso Kagaku-Kogyo Co., Ltd.
  4,300   36,240
 
Dai-ichi Life Holdings, Inc.
  72,800   1,080,438
 
Daiichi Sankyo Co., Ltd.
  15,300   1,033,930
 
Dai-ichi Seiko Co., Ltd.
  1,300   28,582
 
Daiken Corp.
  2,400   41,012
 
Daiken Medical Co., Ltd.
  1,900   12,486
 
Daiki Aluminium Industry Co., Ltd.
  10,200   63,625
 
Daikin Industries, Ltd.
  14,400   2,029,066
 
Daikoku Denki Co., Ltd.
  2,000   29,393
 
Daikokutenbussan Co., Ltd.
  1,300   42,445
 
Dainichi Co., Ltd.
  1,500   9,476
 
Dainichiseika Color & Chemicals Manufacturing Co., Ltd.
  4,200   111,547
 
Daiseki Co., Ltd.
  2,600   69,824
 
Daishi Hokuetsu Financial Group, Inc.
  4,800   118,194
 
Daisue Construction Co., Ltd.
  2,300   20,516
 
Daito Bank, Ltd. (The)
  2,000   11,446
 
Daito Pharmaceutical Co., Ltd.
  2,500   80,484
 
Daito Trust Construction Co., Ltd.
  14,400   1,696,270
 
Daitron Co., Ltd.
  1,100   17,011
 
Daiwa House Industry Co., Ltd.
  71,800   2,260,437
 
Daiwa Industries, Ltd.
  7,200   75,875
 
Daiwa Securities Group, Inc.
  85,400   431,891
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Daiwabo Holdings Co., Ltd.
  4,700   $261,658
#
DCM Holdings Co., Ltd.
  21,800   208,317
 
DD Holdings Co., Ltd.
  1,400   21,044
#
Dear Life Co., Ltd.
  4,200   22,404
#
Demae-Can Co., Ltd.
  2,400   22,469
 
DeNA Co., Ltd.
  20,500   337,141
 
Denka Co., Ltd.
  6,200   167,490
 
Denki Kogyo Co., Ltd.
  1,700   57,090
 
Densan System Co., Ltd.
  800   21,769
 
Denso Corp.
  17,900   734,297
 
Dentsu Group, Inc.
  18,100   599,816
 
Denyo Co., Ltd.
  4,000   75,963
 
Descente, Ltd.
  2,800   45,485
 
Dexerials Corp.
  8,600   73,156
 
DIC Corp.
  29,800   781,200
 
Digital Arts, Inc.
  2,300   106,710
 
Digital Garage, Inc.
  5,500   200,559
#
Digital Hearts Holdings Co., Ltd.
  1,700   14,163
 
Digital Information Technologies Corp.
  1,100   16,883
 
Dip Corp.
  5,500   175,083
 
Disco Corp.
  2,200   506,755
 
DKS Co., Ltd.
  1,600   69,661
 
DMG Mori Co., Ltd.
  31,500   433,923
 
Doshisha Co., Ltd.
  5,400   83,181
 
Double Standard, Inc.
  500   19,136
 
Doutor Nichires Holdings Co., Ltd.
  4,000   75,600
 
Dowa Holdings Co., Ltd.
  11,100   399,277
*
Drecom Co., Ltd.
  1,400   9,517
 
DTS Corp.
  6,100   141,374
 
Duskin Co., Ltd.
  5,200   143,280
 
Dvx, Inc.
  1,300   10,491
#
DyDo Group Holdings, Inc.
  2,200   82,745
 
Eagle Industry Co., Ltd.
  6,100   54,247
 
East Japan Railway Co.
  9,700   854,100
 
EAT&Co, Ltd.
  1,300   22,394
 
Ebara Corp.
  19,700   543,365
 
Ebara Foods Industry, Inc.
  1,300   26,094
 
Ebara Jitsugyo Co., Ltd.
  1,000   20,445
 
Ebase Co., Ltd.
  1,000   13,148
#
Eco's Co., Ltd.
  1,900   29,310
 
EDION Corp.
  16,400   169,542
 
EF-ON, Inc.
  4,300   29,809
 
eGuarantee, Inc.
  5,700   68,901
 
E-Guardian, Inc.
  1,100   17,817
 
Ehime Bank, Ltd. (The)
  4,399   45,154
 
Eidai Co., Ltd.
  3,400   10,769
 
Eiken Chemical Co., Ltd.
  3,000   59,603
 
Eisai Co., Ltd.
  9,400   708,399
 
Eizo Corp.
  4,100   133,836
 
Elan Corp.
  1,800   27,748
 
Elecom Co., Ltd.
  3,700   149,176
 
Elematec Corp.
  5,900   66,292
 
EM Systems Co., Ltd.
  4,000   33,225
#
Enigmo, Inc.
  4,500   35,948
 
en-japan, Inc.
  11,800   468,809
 
Entrust, Inc.
  2,900   19,620
 
EPS Holdings, Inc.
  3,300   39,303
 
eRex Co., Ltd.
  7,900   119,918
 
ES-Con Japan, Ltd.
  7,500   64,269
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
*
Escrow Agent Japan, Inc.
  4,000   $7,727
 
Eslead Corp.
  2,200   40,415
 
ESPEC Corp.
  1,000   20,246
 
Excel Co., Ltd.
  1,300   19,033
 
Exedy Corp.
  5,800   120,023
 
Ezaki Glico Co., Ltd.
  3,100   132,279
 
F@N Communications, Inc.
  9,500   38,536
 
Faith, Inc.
  700   4,986
 
FALCO HOLDINGS Co., Ltd.
  2,000   37,925
 
Fancl Corp.
  21,400   558,657
 
FANUC Corp.
  7,800   1,420,613
 
Fast Retailing Co., Ltd.
  5,400   2,904,530
 
FCC Co., Ltd.
  10,200   206,204
*
FDK Corp.
  900   7,480
 
Feed One Co., Ltd.
  9,400   15,467
 
Ferrotec Holdings Corp.
  6,000   44,062
#*
FFRI, Inc.
  400   9,671
 
FIDEA Holdings Co., Ltd.
  35,900   39,915
 
Fields Corp.
  3,500   17,847
 
Financial Products Group Co., Ltd.
  7,200   67,305
 
FINDEX, Inc.
  2,800   29,007
 
First Bank of Toyama, Ltd. (The)
  8,100   22,811
 
First Brothers Co., Ltd.
  900   9,958
 
First Juken Co., Ltd.
  1,300   14,730
#
Fixstars Corp.
  2,500   34,141
#
FJ Next Co., Ltd.
  5,400   60,226
 
Foster Electric Co., Ltd.
  6,000   89,167
 
FP Corp.
  5,800   351,852
 
France Bed Holdings Co., Ltd.
  3,800   33,145
 
Freebit Co., Ltd.
  1,600   12,291
 
Freund Corp.
  800   5,477
 
F-Tech, Inc.
  1,700   11,799
 
Fudo Tetra Corp.
  3,400   51,323
 
Fuji Co., Ltd.
  2,700   45,271
 
Fuji Corp.
  12,300   193,315
 
Fuji Corp.
  400   7,631
 
Fuji Corp., Ltd.
  4,500   27,622
 
Fuji Electric Co., Ltd.
  20,500   600,281
 
Fuji Media Holdings, Inc.
  9,000   122,369
 
Fuji Oil Co., Ltd.
  14,000   28,878
 
Fuji Pharma Co., Ltd.
  1,500   18,880
 
Fuji Seal International, Inc.
  11,700   245,038
 
Fuji Soft, Inc.
  400   16,033
 
Fujicco Co., Ltd.
  3,200   56,270
 
FUJIFILM Holdings Corp.
  8,200   407,249
 
Fujikura Composites, Inc.
  5,200   20,892
 
Fujikura Kasei Co., Ltd.
  4,500   22,178
 
Fujikura, Ltd.
  60,100   220,279
 
Fujimori Kogyo Co., Ltd.
  3,500   107,499
#
Fujio Food System Co., Ltd.
  2,400   38,597
 
Fujisash Co., Ltd.
  25,100   20,870
 
Fujishoji Co., Ltd.
  2,500   22,566
 
Fujitec Co., Ltd.
  13,200   215,009
 
Fujitsu Frontech, Ltd.
  4,400   54,196
 
Fujitsu General, Ltd.
  5,500   122,961
 
Fujitsu, Ltd.
  21,800   2,304,972
 
Fujiya Co., Ltd.
  500   10,018
 
FuKoKu Co., Ltd.
  2,000   13,211
 
Fukuda Corp.
  1,300   57,568
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Fukuda Denshi Co., Ltd.
  1,300   $88,170
 
Fukui Bank, Ltd. (The)
  4,700   70,959
 
Fukui Computer Holdings, Inc.
  1,200   36,538
 
Fukuoka Financial Group, Inc.
  14,632   253,563
 
Fukushima Bank, Ltd. (The)
  3,300   7,073
 
Fukushima Galilei Co., Ltd.
  2,300   82,406
 
Fukuyama Transporting Co., Ltd.
  3,500   116,328
 
FULLCAST Holdings Co., Ltd.
  5,900   124,692
*
Funai Electric Co., Ltd.
  5,700   33,899
 
Funai Soken Holdings, Inc.
  5,850   147,098
 
Furukawa Battery Co., Ltd. (The)
  2,000   13,490
 
Furukawa Co., Ltd.
  6,600   79,364
 
Furukawa Electric Co., Ltd.
  10,200   236,838
 
Furuno Electric Co., Ltd.
  3,500   34,353
 
Furusato Industries, Ltd.
  2,200   34,077
 
Furyu Corp.
  3,400   36,215
 
Fuso Chemical Co., Ltd.
  4,600   129,386
 
Fuso Pharmaceutical Industries, Ltd.
  1,300   23,091
 
Futaba Corp.
  4,600   54,022
 
Futaba Industrial Co., Ltd.
  12,600   75,705
 
Future Corp.
  3,700   64,118
 
Fuyo General Lease Co., Ltd.
  6,800   424,142
 
G-7 Holdings, Inc.
  3,600   81,509
 
Gakkyusha Co., Ltd.
  1,200   15,788
 
GCA Corp.
  2,100   17,752
 
Gecoss Corp.
  3,400   33,188
 
Genki Sushi Co., Ltd.
  900   24,101
 
Genky DrugStores Co., Ltd.
  1,800   32,573
 
Geo Holdings Corp.
  8,500   96,610
 
Giken, Ltd.
  2,400   105,353
 
GL Sciences, Inc.
  1,000   14,599
 
GLOBERIDE, Inc.
  2,300   49,174
 
Glory, Ltd.
  12,100   345,133
 
Glosel Co., Ltd.
  3,100   12,912
#
GMO Cloud K.K.
  700   15,834
 
GMO Financial Holdings, Inc.
  6,600   34,406
 
GMO internet, Inc.
  17,300   331,636
 
GMO Payment Gateway, Inc.
  5,800   372,959
 
Goldcrest Co., Ltd.
  4,500   77,356
#
Goldwin, Inc.
  4,300   260,912
 
Grandy House Corp.
  2,400   10,834
 
Gree, Inc.
  26,900   112,942
 
Greens Co., Ltd.
  1,400   12,386
 
GS Yuasa Corp.
  14,800   292,012
 
GSI Creos Corp.
  1,800   20,745
 
G-Tekt Corp.
  6,000   86,160
 
Gun-Ei Chemical Industry Co., Ltd.
  700   15,455
*
GungHo Online Entertainment, Inc.
  10,710   194,839
 
Gunma Bank, Ltd. (The)
  26,300   84,538
*
Gunosy, Inc.
  2,100   23,120
 
Gurunavi, Inc.
  7,600   61,737
 
H2O Retailing Corp.
  21,260   192,716
 
HABA Laboratories, Inc.
  700   47,613
 
Hachijuni Bank, Ltd. (The)
  31,400   119,933
 
Hagihara Industries, Inc.
  1,800   26,255
 
Hagiwara Electric Holdings Co., Ltd.
  900   20,861
 
Hakuhodo DY Holdings, Inc.
  37,800   535,589
 
Hakuto Co., Ltd.
  4,800   55,692
 
Halows Co., Ltd.
  1,900   47,518
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Hamakyorex Co., Ltd.
  2,100   $63,158
 
Hamamatsu Photonics KK
  3,500   147,984
 
Hamee Corp.
  1,600   21,711
 
Hankyu Hanshin Holdings, Inc.
  10,100   409,778
 
Hanwa Co., Ltd.
  13,600   327,981
 
Happinet Corp.
  5,100   61,350
 
Hard Off Corp. Co., Ltd.
  1,800   13,551
 
Harima Chemicals Group, Inc.
  1,100   11,633
#
Harmonic Drive Systems, Inc.
  5,300   235,831
#
Haruyama Holdings, Inc.
  1,400   11,078
 
Haseko Corp.
  85,100   1,109,529
 
Hazama Ando Corp.
  41,500   339,566
 
Heiwa Corp.
  7,500   155,022
 
Heiwa Real Estate Co., Ltd.
  8,100   238,717
 
Heiwado Co., Ltd.
  6,300   110,076
 
Helios Techno Holding Co., Ltd.
  4,500   17,822
 
Hibiya Engineering, Ltd.
  6,300   110,452
 
Hiday Hidaka Corp.
  1,823   32,983
 
Hikari Tsushin, Inc.
  2,800   688,251
 
HI-LEX Corp.
  2,400   38,548
 
Hino Motors, Ltd.
  50,900   476,625
 
Hinokiya Group Co., Ltd.
  1,500   27,846
 
Hioki EE Corp.
  900   32,000
 
Hirakawa Hewtech Corp.
  600   7,725
#*
Hiramatsu, Inc.
  2,800   7,015
 
Hirano Tecseed Co., Ltd.
  600   9,043
 
Hirata Corp.
  1,300   75,132
 
Hirose Electric Co., Ltd.
  1,225   151,936
#
Hirose Tusyo, Inc.
  800   13,086
 
Hiroshima Bank, Ltd. (The)
  32,000   143,672
 
HIS Co., Ltd.
  7,000   160,818
 
Hisaka Works, Ltd.
  4,700   38,842
 
Hisamitsu Pharmaceutical Co., Inc.
  4,000   202,279
 
Hitachi Capital Corp.
  16,200   438,496
 
Hitachi Chemical Co., Ltd.
  21,400   895,873
 
Hitachi Construction Machinery Co., Ltd.
  20,800   557,397
 
Hitachi High-Technologies Corp.
  7,500   536,250
 
Hitachi Metals, Ltd.
  27,810   427,423
 
Hitachi Transport System, Ltd.
  11,900   341,623
 
Hitachi Zosen Corp.
  39,400   147,819
 
Hitachi, Ltd.
  43,100   1,641,571
 
Hitachi, Ltd., ADR
  3,100   231,260
 
Hito Communications Holdings, Inc.
  800   13,155
 
Hochiki Corp.
  2,400   33,397
 
Hodogaya Chemical Co., Ltd.
  1,800   61,002
 
Hogy Medical Co., Ltd.
  1,400   48,004
 
Hokkaido Coca-Cola Bottling Co., Ltd.
  500   17,794
 
Hokkaido Gas Co., Ltd.
  800   11,966
 
Hokkan Holdings, Ltd.
  2,400   42,659
 
Hokkoku Bank, Ltd. (The)
  2,700   79,041
 
Hokuetsu Corp.
  24,100   111,093
 
Hokuetsu Industries Co., Ltd.
  3,500   40,512
 
Hokuhoku Financial Group, Inc.
  12,600   120,781
 
Hokuriku Electric Industry Co., Ltd.
  1,800   20,110
 
Hokuriku Electrical Construction Co., Ltd.
  1,500   15,366
#
Honda Motor Co., Ltd., Sponsored ADR
  20,519   525,286
 
Honda Motor Co., Ltd.
  101,600   2,598,459
 
H-One Co., Ltd.
  2,000   13,106
 
Honeys Holdings Co., Ltd.
  2,300   28,791
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Hoosiers Holdings
  3,200   $20,175
 
Horiba, Ltd.
  6,500   402,050
 
Hoshizaki Corp.
  3,500   321,972
 
Hosokawa Micron Corp.
  1,000   45,875
 
Hotland Co., Ltd.
  1,200   14,135
 
House Foods Group, Inc.
  11,500   364,639
 
Howa Machinery, Ltd.
  1,900   14,957
 
Hulic Co., Ltd.
  27,500   333,427
 
Hyakugo Bank, Ltd. (The)
  25,000   74,885
 
Hyakujushi Bank, Ltd. (The)
  2,500   44,954
 
I K K, Inc.
  1,800   11,950
 
IBJ, Inc.
  4,300   49,032
 
Ichibanya Co., Ltd.
  1,500   78,361
 
Ichigo, Inc.
  59,000   221,370
 
Ichiken Co., Ltd.
  2,100   34,033
 
Ichikoh Industries, Ltd.
  4,000   24,885
 
Ichinen Holdings Co., Ltd.
  5,700   78,831
 
Ichiyoshi Securities Co., Ltd.
  5,300   29,443
 
Icom, Inc.
  2,500   57,734
 
ID Holdings Corp.
  1,000   13,738
 
Idec Corp.
  5,100   90,732
 
IDOM, Inc.
  17,100   91,633
 
Ihara Science Corp.
  1,300   18,528
 
IHI Corp.
  38,700   916,552
 
Iida Group Holdings Co., Ltd.
  16,920   285,166
 
IJTT Co., Ltd.
  2,200   13,151
 
Imagica Group, Inc.
  4,300   20,550
 
Imasen Electric Industrial
  2,500   20,279
 
Imuraya Group Co., Ltd.
  900   15,776
 
Inaba Denki Sangyo Co., Ltd.
  6,800   170,137
#
Inaba Seisakusho Co., Ltd.
  2,000   24,942
 
Inabata & Co., Ltd.
  5,900   78,969
 
Inageya Co., Ltd.
  1,100   14,729
 
Ines Corp.
  500   7,253
 
I-Net Corp.
  1,700   23,022
 
Infocom Corp.
  4,900   135,894
 
Infomart Corp.
  56,400   446,145
 
Information Services International-Dentsu, Ltd.
  2,600   108,396
 
Innotech Corp.
  2,000   20,527
 
Insource Co., Ltd.
  1,125   33,322
 
Intage Holdings, Inc.
  4,500   36,241
#
Intelligent Wave, Inc.
  3,200   22,943
 
Internet Initiative Japan, Inc.
  6,700   186,391
 
Inui Global Logistics Co., Ltd.
  1,600   16,594
 
I-O Data Device, Inc.
  2,600   25,135
 
IR Japan Holdings, Ltd.
  800   39,157
 
I'rom Group Co., Ltd.
  1,500   18,586
 
Iseki & Co., Ltd.
  4,100   53,728
 
Isetan Mitsukoshi Holdings, Ltd.
  62,340   486,693
 
Ishihara Chemical Co., Ltd.
  1,200   19,711
 
Ishihara Sangyo Kaisha, Ltd.
  8,000   67,060
 
Ishii Iron Works Co., Ltd.
  500   12,999
 
Ishizuka Glass Co., Ltd.
  700   16,672
 
Isolite Insulating Products Co., Ltd.
  1,800   9,773
*
Istyle, Inc.
  6,000   25,680
 
Isuzu Motors, Ltd.
  100,900   988,562
 
Itfor, Inc.
  2,800   21,329
 
Ito En, Ltd.
  10,300   500,166
 
Itochu Enex Co., Ltd.
  21,300   180,650
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Itochu Techno-Solutions Corp.
  11,900   $350,440
 
Itochu-Shokuhin Co., Ltd.
  1,600   73,503
 
Itoki Corp.
  10,500   45,884
#*
Itokuro, Inc.
  1,000   12,883
 
IwaiCosmo Holdings, Inc.
  3,900   46,265
 
Iwaki & Co., Ltd.
  8,200   39,585
 
Iwasaki Electric Co., Ltd.
  700   9,082
 
Iwatani Corp.
  9,500   316,579
 
Iwatsu Electric Co., Ltd.
  1,800   13,542
 
Iwatsuka Confectionery Co., Ltd.
  400   15,376
 
Iyo Bank, Ltd. (The)
  28,400   146,562
 
Izumi Co., Ltd.
  7,500   236,396
#
J Front Retailing Co., Ltd.
  33,300   400,827
 
JAC Recruitment Co., Ltd.
  5,400   82,462
 
Jaccs Co., Ltd.
  5,500   129,839
 
Jafco Co., Ltd.
  6,600   274,481
 
Jalux, Inc.
  500   10,693
 
Jamco Corp.
  1,600   19,780
 
Janome Sewing Machine Co., Ltd.
  1,200   4,427
 
Japan Airport Terminal Co., Ltd.
  4,500   207,401
*
Japan Animal Referral Medical Center Co., Ltd.
  600   12,367
 
Japan Asia Group, Ltd.
  3,200   10,806
*
Japan Asset Marketing Co., Ltd.
  39,200   35,596
 
Japan Aviation Electronics Industry, Ltd.
  10,000   177,269
#
Japan Best Rescue System Co., Ltd.
  3,700   32,603
 
Japan Cash Machine Co., Ltd.
  3,800   28,613
#*
Japan Display, Inc.
  48,200   30,324
 
Japan Electronic Materials Corp.
  2,800   23,448
 
Japan Elevator Service Holdings Co., Ltd.
  3,600   80,428
 
Japan Exchange Group, Inc.
  56,300   1,008,976
 
Japan Foundation Engineering Co., Ltd.
  7,900   28,314
#
Japan Investment Adviser Co., Ltd.
  1,500   23,475
 
Japan Lifeline Co., Ltd.
  11,500   136,815
 
Japan Material Co., Ltd.
  7,900   115,306
 
Japan Meat Co., Ltd.
  2,100   43,344
 
Japan Medical Dynamic Marketing, Inc.
  2,800   59,242
 
Japan Property Management Center Co., Ltd.
  900   10,975
 
Japan Pulp & Paper Co., Ltd.
  2,400   88,794
 
Japan Securities Finance Co., Ltd.
  17,300   79,234
 
Japan Steel Works, Ltd. (The)
  9,600   171,844
 
Japan Transcity Corp.
  3,000   13,196
 
Japan Wool Textile Co., Ltd. (The)
  10,600   101,147
 
JBCC Holdings, Inc.
  1,200   20,592
 
JCR Pharmaceuticals Co., Ltd.
  2,200   188,708
 
JCU Corp.
  6,100   173,064
 
Jeol, Ltd.
  6,100   196,367
 
JFE Systems, Inc.
  400   15,130
 
JGC Holdings Corp.
  39,200   563,152
*
JIG-SAW, Inc.
  300   10,518
 
Jimoto Holdings, Inc.
  10,800   10,442
 
JINS Holdings, Inc.
  2,800   196,909
 
JK Holdings Co., Ltd.
  2,700   17,991
 
JMS Co., Ltd.
  3,800   30,558
 
Joban Kosan Co., Ltd.
  1,000   15,112
 
J-Oil Mills, Inc.
  1,400   52,641
 
Joshin Denki Co., Ltd.
  3,700   81,047
 
JP-Holdings, Inc.
  5,600   16,182
 
JSP Corp.
  4,200   73,196
 
JSR Corp.
  36,500   650,102
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
JTEKT Corp.
  42,300   $448,548
 
Juki Corp.
  5,400   37,331
 
Justsystems Corp.
  6,600   359,220
 
JVCKenwood Corp.
  44,520   101,355
 
K&O Energy Group, Inc.
  1,700   24,889
*
Kadokawa Dwango
  8,602   143,828
 
Kadoya Sesame Mills, Inc.
  500   17,732
 
Kagome Co., Ltd.
  5,200   128,153
 
Kajima Corp.
  115,601   1,466,564
 
Kakaku.com, Inc.
  16,800   438,890
 
Kaken Pharmaceutical Co., Ltd.
  6,100   321,663
 
Kameda Seika Co., Ltd.
  1,100   49,046
 
Kamei Corp.
  3,000   30,455
 
Kamigumi Co., Ltd.
  17,300   369,660
 
Kanaden Corp.
  3,100   37,639
 
Kanagawa Chuo Kotsu Co., Ltd.
  800   29,651
 
Kanamic Network Co., Ltd.
  3,000   21,110
 
Kanamoto Co., Ltd.
  8,200   201,885
 
Kandenko Co., Ltd.
  17,700   166,681
 
Kaneka Corp.
  9,900   303,525
 
Kaneko Seeds Co., Ltd.
  1,400   16,366
 
Kanematsu Corp.
  22,500   288,484
 
Kanematsu Electronics, Ltd.
  2,300   74,457
 
Kanemi Co., Ltd.
  400   11,566
 
Kansai Mirai Financial Group, Inc.
  7,015   40,468
 
Kansai Paint Co., Ltd.
  11,500   275,286
 
Kansai Super Market, Ltd.
  2,400   22,282
 
Kanto Denka Kogyo Co., Ltd.
  1,700   15,683
 
Kao Corp.
  23,100   1,842,390
 
Kappa Create Co., Ltd.
  1,800   24,390
 
Kasai Kogyo Co., Ltd.
  6,300   46,695
 
Katakura Industries Co., Ltd.
  5,200   59,014
 
Kato Sangyo Co., Ltd.
  3,800   117,856
 
Kato Works Co., Ltd.
  2,400   35,740
 
KAWADA TECHNOLOGIES, Inc.
  500   29,094
 
Kawai Musical Instruments Manufacturing Co., Ltd.
  1,300   41,228
 
Kawasaki Heavy Industries, Ltd.
  37,100   731,417
 
Kawasumi Laboratories, Inc.
  3,700   35,970
 
KDDI Corp.
  126,300   3,816,666
 
KeePer Technical Laboratory Co., Ltd.
  900   10,416
 
Keihan Holdings Co., Ltd.
  10,800   488,387
 
Keihanshin Building Co., Ltd.
  4,500   60,637
 
Keihin Corp.
  5,800   135,578
 
Keikyu Corp.
  15,400   283,482
 
Keio Corp.
  7,200   411,840
 
Keisei Electric Railway Co., Ltd.
  9,100   329,211
 
Keiyo Bank, Ltd. (The)
  10,900   57,611
 
Keiyo Co., Ltd.
  9,700   47,819
 
Kenedix, Inc.
  39,300   197,689
 
Kenko Mayonnaise Co., Ltd.
  900   20,169
 
Kewpie Corp.
  13,300   277,377
 
Keyence Corp.
  11,200   3,764,957
 
KFC Holdings Japan, Ltd.
  800   21,992
 
KH Neochem Co., Ltd.
  3,800   81,785
 
Kikkoman Corp.
  12,100   586,337
 
Kinden Corp.
  22,700   386,806
 
Kintetsu Department Store Co., Ltd.
  1,400   45,813
 
Kintetsu Group Holdings Co., Ltd.
  12,500   658,791
 
Kintetsu World Express, Inc.
  14,000   223,259
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Kirin Holdings Co., Ltd.
  46,000   $1,010,275
 
Kirindo Holdings Co., Ltd.
  1,200   18,732
 
Kissei Pharmaceutical Co., Ltd.
  6,900   194,176
 
Ki-Star Real Estate Co., Ltd.
  900   15,354
 
Kitagawa Corp.
  1,000   19,956
 
Kita-Nippon Bank, Ltd. (The)
  1,600   31,230
 
Kitano Construction Corp.
  1,200   27,573
#
Kitanotatsujin Corp.
  8,500   47,629
 
Kito Corp.
  2,500   37,770
 
Kitz Corp.
  16,900   116,919
 
Kiyo Bank, Ltd. (The)
  7,300   104,296
*
KLab, Inc.
  7,300   52,051
*
KNT-CT Holdings Co., Ltd.
  800   9,613
 
Koa Corp.
  3,300   34,881
 
Kobayashi Pharmaceutical Co., Ltd.
  3,900   314,023
 
Kobe Bussan Co., Ltd.
  9,400   359,822
*
Kobe Electric Railway Co., Ltd.
  400   14,579
#
Koei Tecmo Holdings Co., Ltd.
  4,000   105,022
 
Kohnan Shoji Co., Ltd.
  6,400   139,553
 
Kohsoku Corp.
  2,100   23,281
 
Koito Manufacturing Co., Ltd.
  16,000   694,343
 
Kojima Co., Ltd.
  3,200   15,398
 
Kokuyo Co., Ltd.
  23,700   350,305
 
KOMAIHALTEC, Inc.
  500   8,499
 
Komatsu Matere Co., Ltd.
  6,900   47,056
 
Komatsu Wall Industry Co., Ltd.
  1,100   21,562
 
Komatsu, Ltd.
  89,000   1,967,881
 
KOMEDA Holdings Co., Ltd.
  6,500   129,794
#
Komehyo Co., Ltd.
  800   7,569
 
Komeri Co., Ltd.
  6,000   129,324
 
Komori Corp.
  11,700   106,337
 
Konaka Co., Ltd.
  8,100   30,217
 
Konami Holdings Corp.
  7,900   305,947
 
Kondotec, Inc.
  2,500   25,662
 
Konica Minolta, Inc.
  73,000   445,600
 
Konishi Co., Ltd.
  8,600   120,496
 
Konoike Transport Co., Ltd.
  5,100   72,013
 
Kose Corp.
  5,500   708,186
#
Koshidaka Holdings Co., Ltd.
  4,300   60,694
 
Kotobuki Spirits Co., Ltd.
  4,200   277,314
#
Kourakuen Holdings Corp.
  1,800   30,679
 
Kozo Keikaku Engineering, Inc.
  500   14,441
 
Krosaki Harima Corp.
  1,100   65,251
 
KRS Corp.
  1,000   18,028
 
K's Holdings Corp.
  44,776   543,705
#
KU Holdings Co., Ltd.
  2,200   18,019
 
Kubota Corp.
  46,200   723,473
 
Kumagai Gumi Co., Ltd.
  7,500   214,095
 
Kumiai Chemical Industry Co., Ltd.
  16,400   125,799
 
Kura Sushi, Inc.
  1,000   50,266
 
Kurabo Industries, Ltd.
  3,700   78,811
 
Kuraray Co., Ltd.
  34,500   414,707
 
Kureha Corp.
  3,100   173,883
 
Kurimoto, Ltd.
  3,100   59,596
 
Kurita Water Industries, Ltd.
  6,300   184,233
 
Kushikatsu Tanaka Holdings Co.
  200   4,141
 
Kusuri no Aoki Holdings Co., Ltd.
  3,300   198,696
*
KYB Corp.
  4,500   121,065
 
Kyocera Corp.
  7,100   466,515
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Kyoden Co., Ltd.
  3,100   $9,858
 
Kyodo Printing Co., Ltd.
  1,600   43,507
#
Kyokuto Boeki Kaisha, Ltd.
  1,200   22,204
 
Kyokuto Kaihatsu Kogyo Co., Ltd.
  7,700   99,505
 
Kyokuto Securities Co., Ltd.
  2,300   15,668
 
Kyokuyo Co., Ltd.
  1,700   44,090
 
KYORIN Holdings, Inc.
  9,400   168,768
 
Kyoritsu Printing Co., Ltd.
  3,900   5,943
 
Kyosan Electric Manufacturing Co., Ltd.
  8,300   42,131
 
Kyowa Electronic Instruments Co., Ltd.
  3,500   13,521
 
Kyowa Exeo Corp.
  23,000   574,167
 
Kyowa Leather Cloth Co., Ltd.
  3,100   22,214
 
Kyudenko Corp.
  9,900   285,719
 
Kyushu Financial Group, Inc.
  40,540   169,265
 
Kyushu Leasing Service Co., Ltd.
  2,100   11,507
 
Kyushu Railway Co.
  6,600   215,948
 
LAC Co., Ltd.
  1,900   18,792
 
Lacto Japan Co., Ltd.
  600   22,093
#*
Laox Co., Ltd.
  13,500   30,673
 
Lasertec Corp.
  13,400   656,013
 
Lawson, Inc.
  9,900   572,994
 
Lecip Holdings Corp.
  1,700   10,100
#*
Leopalace21 Corp.
  79,000   227,019
 
Life Corp.
  3,800   90,557
 
LIFULL Co., Ltd.
  9,500   48,776
#
Like Co., Ltd.
  1,000   14,676
#*
LINE Corp.
  2,100   103,479
 
Linical Co., Ltd.
  1,100   10,798
 
Link And Motivation, Inc.
  3,400   16,248
 
Lintec Corp.
  12,500   270,207
 
Lion Corp.
  12,700   241,258
*
Litalico, Inc.
  1,700   42,269
 
LIXIL Group Corp.
  25,600   425,662
 
Look Holdings, Inc.
  1,900   18,228
*
M&A Capital Partners Co., Ltd.
  2,800   87,227
 
M3, Inc.
  43,300   1,260,258
 
Mabuchi Motor Co., Ltd.
  2,400   87,449
 
Macnica Fuji Electronics Holdings, Inc.
  17,800   265,813
 
Macromill, Inc.
  10,500   96,110
 
Maeda Corp.
  27,700   264,404
#
Maeda Road Construction Co., Ltd.
  6,200   209,560
 
Maezawa Kasei Industries Co., Ltd.
  1,300   13,770
 
Maezawa Kyuso Industries Co., Ltd.
  1,900   40,230
 
Makino Milling Machine Co., Ltd.
  5,600   209,477
 
Makita Corp.
  16,000   611,992
 
Mamezou Holdings Co., Ltd.
  3,700   57,026
#
Mani, Inc.
  9,900   248,483
 
MarkLines Co., Ltd.
  1,800   32,284
 
Marubun Corp.
  2,800   15,460
 
Maruha Nichiro Corp.
  6,600   157,836
 
Marui Group Co., Ltd.
  17,400   402,426
 
Maruichi Steel Tube, Ltd.
  3,400   94,340
 
Maruka Corp.
  1,600   29,873
#
Marusan Securities Co., Ltd.
  9,800   46,631
 
Maruwa Unyu Kikan Co., Ltd.
  3,600   74,030
 
Maruzen Co., Ltd.
  1,000   19,418
 
Maruzen Showa Unyu Co., Ltd.
  2,800   74,730
 
Marvelous, Inc.
  6,600   41,927
 
Matching Service Japan Co., Ltd.
  800   10,013
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Matsuda Sangyo Co., Ltd.
  4,300   $61,019
 
Matsui Construction Co., Ltd.
  3,900   27,225
 
Matsui Securities Co., Ltd.
  8,400   68,526
 
Matsumotokiyoshi Holdings Co., Ltd.
  15,200   607,794
 
Matsuya Co., Ltd.
  2,200   14,710
 
Matsuyafoods Holdings Co., Ltd.
  1,000   43,276
 
Max Co., Ltd.
  2,500   46,747
 
Maxell Holdings, Ltd.
  6,500   85,326
 
Maxvalu Tokai Co., Ltd.
  1,400   29,786
 
Mazda Motor Corp.
  69,600   584,208
 
McDonald's Holdings Co. Japan, Ltd.
  3,700   175,866
 
MCJ Co., Ltd.
  16,700   114,528
 
Mebuki Financial Group, Inc.
  72,100   159,779
 
Media Do Holdings Co., Ltd.
  2,300   66,515
*
Medical & Biological Laboratories Co., Ltd.
  600   21,025
*
Medical Data Vision Co., Ltd.
  1,800   13,258
 
Medical System Network Co., Ltd.
  6,000   28,667
 
Medipal Holdings Corp.
  18,400   389,896
 
Megmilk Snow Brand Co., Ltd.
  9,700   226,848
 
Meidensha Corp.
  9,500   176,370
 
Meiji Electric Industries Co., Ltd.
  1,200   16,587
 
MEIJI Holdings Co., Ltd.
  10,300   724,850
 
Meisei Industrial Co., Ltd.
  4,200   32,993
 
Meitec Corp.
  8,200   466,134
 
Meito Sangyo Co., Ltd.
  1,800   22,952
 
Meiwa Corp.
  6,900   37,451
#
Meiwa Estate Co., Ltd.
  2,500   14,106
 
Melco Holdings, Inc.
  900   21,672
 
Members Co., Ltd.
  1,400   23,922
 
Menicon Co., Ltd.
  3,400   152,273
 
Mercuria Investment Co., Ltd.
  900   5,955
*
Metaps, Inc.
  1,000   8,435
 
METAWATER Co., Ltd.
  800   30,782
 
Michinoku Bank, Ltd. (The)
  3,100   39,359
 
Micronics Japan Co., Ltd.
  4,100   47,270
 
Mie Kotsu Group Holdings, Inc.
  6,000   32,571
 
Mikuni Corp.
  1,500   4,506
 
Milbon Co., Ltd.
  6,600   369,338
 
Mimaki Engineering Co., Ltd.
  4,800   21,946
 
Mimasu Semiconductor Industry Co., Ltd.
  4,600   97,050
 
Minebea Mitsumi, Inc.
  22,600   439,027
 
Ministop Co., Ltd.
  2,600   36,699
 
Miraca Holdings, Inc.
  16,500   433,671
 
Mirait Holdings Corp.
  18,700   279,267
 
Miroku Jyoho Service Co., Ltd.
  3,400   93,850
 
MISUMI Group, Inc.
  18,100   449,121
 
Mitani Corp.
  1,000   55,737
 
Mitani Sangyo Co., Ltd.
  4,100   13,403
 
Mitani Sekisan Co., Ltd.
  500   17,689
#
Mito Securities Co., Ltd.
  15,500   31,860
 
Mitsuba Corp.
  5,100   29,917
 
Mitsubishi Chemical Holdings Corp.
  255,600   1,847,214
 
Mitsubishi Electric Corp.
  86,500   1,199,335
 
Mitsubishi Estate Co., Ltd.
  47,500   930,262
 
Mitsubishi Gas Chemical Co., Inc.
  30,900   467,824
 
Mitsubishi Heavy Industries, Ltd.
  31,600   1,152,685
 
Mitsubishi Kakoki Kaisha, Ltd.
  500   8,405
 
Mitsubishi Logisnext Co., Ltd.
  14,200   213,872
 
Mitsubishi Logistics Corp.
  10,999   278,667
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Mitsubishi Motors Corp.
  105,600   $393,437
 
Mitsubishi Paper Mills, Ltd.
  2,600   10,797
 
Mitsubishi Pencil Co., Ltd.
  4,300   62,859
 
Mitsubishi Research Institute, Inc.
  500   19,621
 
Mitsubishi Shokuhin Co., Ltd.
  4,000   115,517
 
Mitsubishi Steel Manufacturing Co., Ltd.
  1,000   9,105
 
Mitsubishi UFJ Financial Group, Inc.
  822,300   4,222,195
 
Mitsubishi UFJ Lease & Finance Co., Ltd.
  100,300   628,239
 
Mitsuboshi Belting, Ltd.
  2,000   34,123
 
Mitsui Chemicals, Inc.
  36,000   790,604
*
Mitsui E&S Holdings Co., Ltd.
  22,200   185,397
 
Mitsui Fudosan Co., Ltd.
  38,100   1,009,098
 
Mitsui Mining & Smelting Co., Ltd.
  15,000   353,456
 
Mitsui-Soko Holdings Co., Ltd.
  4,800   78,428
 
Mitsuuroko Group Holdings Co., Ltd.
  7,400   75,123
 
Miura Co., Ltd.
  2,300   79,668
 
Mixi, Inc.
  11,000   193,417
 
Miyaji Engineering Group, Inc.
  1,000   18,121
 
Miyazaki Bank, Ltd. (The)
  2,300   51,524
 
Miyoshi Oil & Fat Co., Ltd.
  1,900   20,534
 
Mizuho Financial Group, Inc.
  882,515   1,308,708
 
Mizuho Financial Group, Inc., ADR
  19,384   58,152
 
Mizuho Leasing Co., Ltd.
  6,100   181,854
 
Mizuno Corp.
  4,400   106,066
*
Mobile Factory, Inc.
  900   12,937
 
Mochida Pharmaceutical Co., Ltd.
  1,600   59,896
 
Modec, Inc.
  5,300   116,916
 
Monex Group, Inc.
  18,000   42,820
 
Money Partners Group Co., Ltd.
  3,000   6,493
 
Monogatari Corp. (The)
  800   64,247
 
MonotaRO Co., Ltd.
  16,000   383,804
 
Morinaga & Co., Ltd.
  7,000   336,028
 
Morinaga Milk Industry Co., Ltd.
  4,900   187,377
 
Morita Holdings Corp.
  4,700   73,840
 
Morito Co., Ltd.
  3,100   22,403
 
Morningstar Japan KK
  3,100   11,424
#
Morozoff, Ltd.
  300   13,988
 
Mory Industries, Inc.
  400   9,502
 
MrMax Holdings, Ltd.
  3,700   15,702
 
MS&AD Insurance Group Holdings, Inc.
  37,852   1,257,166
 
MTI, Ltd.
  4,000   25,190
 
Mugen Estate Co., Ltd.
  3,400   21,683
 
Murakami Corp.
  600   15,401
 
Murata Manufacturing Co., Ltd.
  5,000   283,074
 
Musashino Bank, Ltd. (The)
  3,800   59,572
 
N Field Co., Ltd.
  2,900   15,957
 
Nabtesco Corp.
  24,000   687,713
 
NAC Co., Ltd.
  1,200   12,370
 
Nachi-Fujikoshi Corp.
  3,500   128,569
 
Nafco Co., Ltd.
  1,600   20,577
#
Nagano Bank, Ltd. (The)
  1,400   19,599
 
Nagano Keiki Co., Ltd.
  2,600   21,497
 
Nagase & Co., Ltd.
  31,800   437,493
 
Nagatanien Holdings Co., Ltd.
  1,000   19,761
 
Nagawa Co., Ltd.
  600   37,707
 
Nagoya Railroad Co., Ltd.
  15,900   466,478
 
Nakabayashi Co., Ltd.
  3,000   17,048
 
Nakamuraya Co., Ltd.
  600   22,309
 
Nakanishi, Inc.
  4,600   82,056
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Nakano Corp.
  1,900   $8,454
 
Namura Shipbuilding Co., Ltd.
  16,000   35,424
 
Nankai Electric Railway Co., Ltd.
  9,600   247,795
 
Natori Co., Ltd.
  1,200   18,483
 
NEC Capital Solutions, Ltd.
  3,600   81,839
 
NEC Corp.
  28,400   1,264,179
 
NEC Networks & System Integration Corp.
  5,700   213,045
 
NET One Systems Co., Ltd.
  16,700   275,344
 
Neturen Co., Ltd.
  8,400   64,839
 
New Art Holdings Co., Ltd.
  1,600   13,205
*
Nexon Co., Ltd.
  34,200   463,168
 
Nextage Co., Ltd.
  5,200   49,006
 
Nexyz Group Corp.
  2,000   30,994
 
NFC Holdings, Inc.
  600   11,245
 
NGK Insulators, Ltd.
  18,900   316,890
 
NHK Spring Co., Ltd.
  45,400   365,538
 
Nichia Steel Works, Ltd.
  1,000   3,085
 
Nichias Corp.
  8,900   212,136
 
Nichiban Co., Ltd.
  1,500   23,620
 
Nichiden Corp.
  3,500   65,448
 
Nichiha Corp.
  3,500   84,126
 
NichiiGakkan Co., Ltd.
  8,500   117,320
 
Nichi-iko Pharmaceutical Co., Ltd.
  8,800   103,440
 
Nichirei Corp.
  18,000   435,138
 
Nichireki Co., Ltd.
  3,000   36,601
 
Nichirin Co., Ltd.
  1,430   25,448
 
Nidec Corp.
  10,300   1,295,438
#
Nidec Corp., Sponsored ADR
  5,300   168,222
 
Nifco, Inc.
  34,900   914,567
 
Nihon Chouzai Co., Ltd.
  1,600   56,277
*
Nihon Dempa Kogyo Co., Ltd.
  4,500   20,099
 
Nihon Flush Co., Ltd.
  900   21,938
 
Nihon House Holdings Co., Ltd.
  4,300   18,265
 
Nihon Kohden Corp.
  11,600   339,978
 
Nihon M&A Center, Inc.
  19,000   543,541
 
Nihon Nohyaku Co., Ltd.
  9,400   47,892
 
Nihon Parkerizing Co., Ltd.
  22,900   237,507
 
Nihon Plast Co., Ltd.
  1,900   11,643
 
Nihon Unisys, Ltd.
  25,500   777,615
 
Nihon Yamamura Glass Co., Ltd.
  1,200   13,346
 
Nikkiso Co., Ltd.
  9,600   119,328
 
Nikko Co., Ltd.
  8,000   58,959
 
Nikkon Holdings Co., Ltd.
  6,100   140,742
 
Nikon Corp.
  37,900   457,642
 
Nintendo Co., Ltd.
  10,700   3,936,055
 
Nippo Corp.
  4,900   120,218
 
Nippon Air Conditioning Services Co., Ltd.
  2,400   17,229
 
Nippon Aqua Co., Ltd.
  2,000   10,672
 
Nippon Beet Sugar Manufacturing Co., Ltd.
  1,800   31,056
#
Nippon Carbon Co., Ltd.
  1,400   47,573
 
Nippon Chemical Industrial Co., Ltd.
  400   11,637
 
Nippon Chemiphar Co., Ltd.
  500   13,685
 
Nippon Commercial Development Co., Ltd.
  1,500   23,304
 
Nippon Concept Corp.
  1,200   16,900
 
Nippon Concrete Industries Co., Ltd.
  700   1,767
 
Nippon Densetsu Kogyo Co., Ltd.
  7,900   167,000
 
Nippon Dry-Chemical Co., Ltd.
  500   7,787
 
Nippon Express Co., Ltd.
  14,200   739,948
 
Nippon Fine Chemical Co., Ltd.
  2,200   29,034
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Nippon Flour Mills Co., Ltd.
  6,200   $93,523
 
Nippon Gas Co., Ltd.
  9,300   294,089
 
Nippon Hume Corp.
  3,300   24,685
 
Nippon Kanzai Co., Ltd.
  1,300   23,143
 
Nippon Kayaku Co., Ltd.
  23,300   273,220
#
Nippon Kodoshi Corp.
  800   9,627
 
Nippon Koei Co., Ltd.
  2,800   92,202
 
Nippon Light Metal Holdings Co., Ltd.
  161,000   307,195
 
Nippon Paint Holdings Co., Ltd.
  15,500   740,919
 
Nippon Paper Industries Co., Ltd.
  6,000   97,643
 
Nippon Parking Development Co., Ltd., Class C
  42,200   55,534
 
Nippon Pillar Packing Co., Ltd.
  3,900   51,850
 
Nippon Piston Ring Co., Ltd.
  900   12,050
 
Nippon Road Co., Ltd. (The)
  1,000   67,853
 
Nippon Seiki Co., Ltd.
  5,900   86,677
 
Nippon Seisen Co., Ltd.
  500   16,959
*
Nippon Sharyo, Ltd.
  2,200   59,894
 
Nippon Shinyaku Co., Ltd.
  2,700   239,378
 
Nippon Shokubai Co., Ltd.
  5,000   293,156
 
Nippon Signal Co., Ltd.
  9,800   123,579
 
Nippon Soda Co., Ltd.
  6,900   185,683
 
Nippon Steel Trading Corp.
  3,100   140,296
 
Nippon Suisan Kaisha, Ltd.
  66,200   361,014
 
Nippon Systemware Co., Ltd.
  2,000   44,602
 
Nippon Telegraph & Telephone Corp.
  55,000   1,402,337
 
Nippon Thompson Co., Ltd.
  12,600   52,387
 
Nippon Yakin Kogyo Co., Ltd.
  1,140   21,668
 
Nipro Corp.
  33,400   380,265
 
Nishimatsu Construction Co., Ltd.
  12,300   272,813
 
Nishimatsuya Chain Co., Ltd.
  11,100   94,942
 
Nishimoto Co., Ltd.
  1,300   43,489
 
Nishi-Nippon Financial Holdings, Inc.
  14,000   92,311
 
Nishi-Nippon Railroad Co., Ltd.
  5,400   124,797
 
Nishio Rent All Co., Ltd.
  4,600   123,593
 
Nissan Chemical Corp.
  16,600   685,977
 
Nissan Motor Co., Ltd.
  216,300   1,173,708
 
Nissan Shatai Co., Ltd.
  15,500   147,154
 
Nissan Tokyo Sales Holdings Co., Ltd.
  5,300   13,396
 
Nissei ASB Machine Co., Ltd.
  1,400   47,276
 
Nissei Plastic Industrial Co., Ltd.
  2,500   21,475
 
Nissha Co., Ltd.
  4,400   39,732
 
Nisshin Group Holdings Co., Ltd.
  7,700   38,280
 
Nisshin Oillio Group, Ltd. (The)
  5,900   197,419
 
Nisshin Seifun Group, Inc.
  9,880   168,701
 
Nisshinbo Holdings, Inc.
  20,304   174,586
 
Nissin Electric Co., Ltd.
  7,600   90,718
 
Nissin Foods Holdings Co., Ltd.
  2,600   195,152
 
Nissin Kogyo Co., Ltd.
  5,300   107,143
 
Nissin Sugar Co., Ltd.
  2,600   47,574
 
Nissui Pharmaceutical Co., Ltd.
  3,800   47,325
 
Nitori Holdings Co., Ltd.
  5,200   808,085
 
Nitta Corp.
  2,900   81,152
 
Nitto Boseki Co., Ltd.
  2,300   95,428
 
Nitto Denko Corp.
  27,900   1,550,908
 
Nitto Fuji Flour Milling Co., Ltd.
  300   17,577
 
Nitto Kogyo Corp.
  3,800   78,666
 
Nitto Kohki Co., Ltd.
  2,600   56,065
 
Nitto Seiko Co., Ltd.
  6,100   32,262
 
Nittoc Construction Co., Ltd.
  1,700   13,150
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
NJS Co., Ltd.
  700   $11,475
 
Noda Corp.
  1,400   10,190
 
Noevir Holdings Co., Ltd.
  3,500   159,398
 
NOF Corp.
  10,200   332,032
 
Nohmi Bosai, Ltd.
  3,700   82,175
 
Nojima Corp.
  9,400   185,422
 
Nomura Co., Ltd.
  15,300   173,760
 
Nomura Holdings, Inc.
  196,900   1,008,010
 
Nomura Holdings, Inc., Sponsored ADR
  22,606   116,195
 
Nomura Real Estate Holdings, Inc.
  19,500   480,207
 
Nomura Research Institute, Ltd.
  25,766   566,998
 
Noritake Co., Ltd.
  1,700   67,579
 
Noritsu Koki Co., Ltd.
  4,100   59,388
 
Noritz Corp.
  7,700   94,881
 
NS Solutions Corp.
  6,400   187,985
 
NS Tool Co., Ltd.
  900   23,251
 
NSD Co., Ltd.
  12,100   194,960
 
NSK, Ltd.
  41,300   344,491
 
NTN Corp.
  106,000   280,893
 
NTT Data Corp.
  45,100   633,529
 
NTT DOCOMO, Inc.
  81,300   2,309,927
 
NuFlare Technology, Inc.
  600   64,946
 
Obara Group, Inc.
  2,600   82,497
 
Obayashi Corp.
  121,700   1,334,681
 
OBIC Business Consultants Co., Ltd.
  900   34,465
 
Obic Co., Ltd.
  2,600   354,280
 
Odakyu Electric Railway Co., Ltd.
  20,700   459,156
 
Odelic Co., Ltd.
  400   17,684
 
Oenon Holdings, Inc.
  11,900   41,519
 
Ogaki Kyoritsu Bank, Ltd. (The)
  3,800   78,227
#
Ohara, Inc.
  700   7,677
 
Ohashi Technica, Inc.
  1,000   14,202
 
Ohsho Food Service Corp.
  1,000   60,004
 
Oiles Corp.
  5,300   73,949
 
Oita Bank, Ltd. (The)
  1,900   43,977
 
Oji Holdings Corp.
  89,600   455,221
 
Okabe Co., Ltd.
  8,200   64,408
 
Okamoto Industries, Inc.
  1,800   62,649
 
Okamoto Machine Tool Works, Ltd.
  400   10,197
 
Okamura Corp.
  13,500   129,725
 
Okasan Securities Group, Inc.
  16,100   56,456
 
Oki Electric Industry Co., Ltd.
  20,000   249,004
 
Okinawa Cellular Telephone Co.
  2,800   112,574
 
OKK Corp.
  800   4,525
 
OKUMA Corp.
  3,300   150,356
 
Okumura Corp.
  7,100   187,698
 
Okura Industrial Co., Ltd.
  400   6,403
 
Okuwa Co., Ltd.
  5,700   76,530
#
Olympic Group Corp.
  2,900   16,110
 
Olympus Corp.
  109,700   1,772,449
 
Omron Corp.
  15,200   870,426
 
Ono Pharmaceutical Co., Ltd.
  17,900   412,180
 
Onoken Co., Ltd.
  4,000   49,316
 
Onward Holdings Co., Ltd.
  28,600   164,287
 
Ootoya Holdings Co., Ltd.
  1,200   26,100
*
Open Door, Inc.
  1,800   21,856
 
Open House Co., Ltd.
  20,800   552,934
 
Optex Group Co., Ltd.
  2,200   28,949
*
Optim Corp.
  1,100   40,376
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Oracle Corp.
  3,300   $285,640
 
Organo Corp.
  1,700   106,492
 
Orient Corp.
  94,700   145,524
 
Oriental Land Co., Ltd.
  10,100   1,315,373
 
Origin Co., Ltd.
  1,200   16,898
 
Oro Co., Ltd.
  400   12,336
 
Osaka Gas Co., Ltd.
  25,800   436,584
 
Osaka Organic Chemical Industry, Ltd.
  1,300   21,374
 
Osaka Soda Co., Ltd.
  2,800   74,369
 
Osaki Electric Co., Ltd.
  9,400   53,806
 
OSG Corp.
  13,700   230,617
 
OSJB Holdings Corp.
  26,900   66,364
 
Otsuka Corp.
  20,400   795,495
 
Otsuka Holdings Co., Ltd.
  7,300   324,305
 
OUG Holdings, Inc.
  500   12,379
 
Outsourcing, Inc.
  32,200   291,479
 
Oyo Corp.
  5,500   69,728
 
Ozu Corp.
  700   12,795
 
Pacific Industrial Co., Ltd.
  5,900   70,300
 
Pack Corp. (The)
  2,600   91,533
 
PAL GROUP Holdings Co., Ltd.
  2,500   73,624
 
PALTAC Corp.
  3,500   163,774
 
Pan Pacific International Holdings Corp.
  46,500   750,360
 
Panasonic Corp.
  198,400   1,971,702
 
Panasonic Corp., Sponsored ADR
  24,160   240,875
#
Paraca, Inc.
  900   16,878
 
Paramount Bed Holdings Co., Ltd.
  3,200   132,468
 
Parco Co., Ltd.
  4,400   74,088
 
Paris Miki Holdings, Inc.
  2,800   8,859
 
Park24 Co., Ltd.
  24,600   617,772
 
Parker Corp.
  2,500   13,183
#
Pasona Group, Inc.
  8,700   110,089
 
PC Depot Corp.
  9,220   49,444
 
Pegasus Sewing Machine Manufacturing Co., Ltd.
  2,600   11,333
 
Penta-Ocean Construction Co., Ltd.
  76,800   453,607
#
Pepper Food Service Co., Ltd.
  600   5,304
*
PeptiDream, Inc.
  10,500   497,045
 
Persol Holdings Co., Ltd.
  35,200   629,312
 
Phil Co., Inc.
  300   11,072
 
PIA Corp.
  700   27,804
 
Pickles Corp.
  1,200   29,426
 
Pigeon Corp.
  8,400   296,454
 
Pilot Corp.
  6,800   265,467
 
Piolax, Inc.
  4,000   70,745
 
Pola Orbis Holdings, Inc.
  16,300   353,135
 
Poletowin Pitcrew Holdings, Inc.
  7,700   63,554
 
Press Kogyo Co., Ltd.
  12,400   40,818
#
Pressance Corp.
  12,300   136,949
 
Prestige International, Inc.
  18,500   167,689
 
Pronexus, Inc.
  1,800   19,648
#*
Prospect Co., Ltd.
  33,000   9,462
 
PS Mitsubishi Construction Co., Ltd.
  6,500   42,347
 
Punch Industry Co., Ltd.
  2,400   10,377
 
Qol Holdings Co., Ltd.
  6,100   79,859
 
Quick Co., Ltd.
  2,800   38,547
 
Raccoon Holdings, Inc.
  2,900   20,985
 
Raito Kogyo Co., Ltd.
  7,700   107,872
 
Raiznext Corp.
  11,000   127,604
 
Rakus Co., Ltd.
  8,900   141,417
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
*
Rakuten, Inc.
  175,700   $1,355,429
 
Rasa Corp.
  1,500   13,301
 
Rasa Industries, Ltd.
  2,200   28,613
 
Raysum Co., Ltd.
  3,000   26,750
 
Recruit Holdings Co., Ltd.
  170,400   6,641,557
 
Relia, Inc.
  6,900   92,062
 
Relo Group, Inc.
  24,300   648,904
 
Renaissance, Inc.
  1,500   23,706
 
Rengo Co., Ltd.
  49,500   346,849
*
RENOVA, Inc.
  6,300   75,592
*
Renown, Inc.
  2,100   2,047
 
Retail Partners Co., Ltd.
  3,200   23,965
 
Rheon Automatic Machinery Co., Ltd.
  1,500   20,167
 
Rhythm Watch Co., Ltd.
  900   7,306
 
Ricoh Co., Ltd.
  77,700   881,619
 
Ricoh Leasing Co., Ltd.
  4,500   168,113
 
Ride On Express Holdings Co., Ltd.
  1,300   21,847
#
Right On Co., Ltd.
  2,600   14,141
 
Riken Keiki Co., Ltd.
  2,700   52,416
 
Riken Technos Corp.
  2,100   9,336
 
Rinnai Corp.
  4,600   327,897
 
Rion Co., Ltd.
  1,600   46,620
 
Riso Kagaku Corp.
  5,000   85,249
 
Rock Field Co., Ltd.
  2,200   28,970
 
Rohto Pharmaceutical Co., Ltd.
  20,200   559,151
 
Rokko Butter Co., Ltd.
  1,000   14,893
 
Roland DG Corp.
  3,000   54,249
 
Rorze Corp.
  2,000   73,683
#
Round One Corp.
  10,500   97,815
*
Rozetta Corp.
  600   20,277
 
Ryobi, Ltd.
  3,800   61,544
 
Ryoden Corp.
  4,200   63,105
#
Ryohin Keikaku Co., Ltd.
  31,000   518,277
 
Ryosan Co., Ltd.
  7,200   166,518
 
Ryoyo Electro Corp.
  7,100   120,225
 
S Foods, Inc.
  1,100   26,452
 
S&B Foods, Inc.
  700   27,070
 
Sac's Bar Holdings, Inc.
  2,700   21,158
 
Sagami Rubber Industries Co., Ltd.
  2,000   32,441
 
Saibu Gas Co., Ltd.
  1,200   25,715
 
Saizeriya Co., Ltd.
  2,500   54,699
 
Sakai Chemical Industry Co., Ltd.
  3,600   73,130
 
Sakai Heavy Industries, Ltd.
  1,000   24,560
 
Sakai Moving Service Co., Ltd.
  1,300   72,413
 
Sakai Ovex Co., Ltd.
  700   11,495
 
Sakata INX Corp.
  15,100   157,598
 
Sakura Internet, Inc.
  3,000   18,390
 
Sala Corp.
  15,100   84,622
 
SAMTY Co., Ltd.
  6,100   103,418
 
San Holdings, Inc.
  1,000   12,786
 
San ju San Financial Group, Inc.
  2,210   31,862
 
San-A Co., Ltd.
  3,100   126,764
 
San-Ai Oil Co., Ltd.
  18,500   184,669
*
Sanden Holdings Corp.
  2,700   16,111
 
Sanei Architecture Planning Co., Ltd.
  1,900   25,990
 
Sangetsu Corp.
  7,000   123,539
 
San-In Godo Bank, Ltd. (The)
  14,500   79,521
 
Sanken Electric Co., Ltd.
  3,399   85,719
 
Sanki Engineering Co., Ltd.
  14,600   198,438
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Sankyo Co., Ltd.
  4,500   $151,183
 
Sankyo Frontier Co., Ltd.
  1,000   37,847
 
Sankyo Seiko Co., Ltd.
  9,800   52,855
 
Sankyo Tateyama, Inc.
  3,400   44,251
 
Sankyu, Inc.
  7,500   369,796
 
Sanoh Industrial Co., Ltd.
  2,800   26,267
#
Sansei Technologies, Inc.
  1,300   10,079
 
Sansha Electric Manufacturing Co., Ltd.
  1,000   7,207
 
Sanshin Electronics Co., Ltd.
  4,000   61,538
 
Santen Pharmaceutical Co., Ltd.
  21,000   391,662
 
Sanwa Holdings Corp.
  56,400   593,276
 
Sanyo Chemical Industries, Ltd.
  3,200   149,795
 
Sanyo Denki Co., Ltd.
  2,200   107,099
 
Sanyo Electric Railway Co., Ltd.
  1,400   27,055
 
Sanyo Shokai, Ltd.
  2,800   31,822
 
Sanyo Trading Co., Ltd.
  4,400   54,871
 
Sapporo Holdings, Ltd.
  15,100   365,093
 
Sato Holdings Corp.
  7,400   210,249
 
Sato Shoji Corp.
  2,600   22,701
 
Satori Electric Co., Ltd.
  900   7,115
 
Sawada Holdings Co., Ltd.
  4,800   42,029
 
Sawai Pharmaceutical Co., Ltd.
  3,800   246,945
 
Saxa Holdings, Inc.
  1,300   24,172
 
SB Technology Corp.
  1,700   37,211
 
SBI Holdings, Inc.
  30,000   695,418
 
SBS Holdings, Inc.
  2,200   36,582
 
Scala, Inc.
  2,600   17,208
 
SCREEN Holdings Co., Ltd.
  8,800   457,058
 
Scroll Corp.
  7,900   25,365
 
SCSK Corp.
  5,743   307,804
#
SEC Carbon, Ltd.
  200   15,270
 
Secom Co., Ltd.
  12,400   1,088,132
 
Seed Co., Ltd.
  2,100   19,284
 
Sega Sammy Holdings, Inc.
  27,100   369,027
 
Seibu Holdings, Inc.
  21,400   333,574
 
Seika Corp.
  1,900   22,239
 
Seikagaku Corp.
  7,100   75,357
 
Seikitokyu Kogyo Co., Ltd.
  4,600   38,559
 
Seiko Epson Corp.
  26,500   387,487
 
Seiko Holdings Corp.
  3,800   92,630
 
Seiko PMC Corp.
  1,200   10,212
 
Seino Holdings Co., Ltd.
  14,600   186,620
 
Seiren Co., Ltd.
  9,800   125,102
#
Sekisui House, Ltd.
  59,500   1,279,378
 
Sekisui Jushi Corp.
  5,800   126,916
 
Sekisui Plastics Co., Ltd.
  6,100   42,938
 
Senko Group Holdings Co., Ltd.
  29,820   238,417
 
Senshu Electric Co., Ltd.
  2,600   71,537
 
Senshu Ikeda Holdings, Inc.
  30,200   55,135
 
Senshukai Co., Ltd.
  5,500   23,067
 
Seria Co., Ltd.
  9,000   247,673
 
Seven & I Holdings Co., Ltd.
  63,900   2,450,138
 
Seven Bank, Ltd.
  241,500   722,219
#
SFP Holdings Co., Ltd.
  2,000   40,996
#
Sharp Corp.
  15,300   207,547
 
Shibaura Electronics Co., Ltd.
  800   20,969
 
Shibaura Mechatronics Corp.
  500   16,906
 
Shibusawa Warehouse Co., Ltd. (The)
  900   17,324
 
Shibuya Corp.
  2,500   69,394
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
*
SHIFT, Inc.
  900   $61,234
#
Shikibo, Ltd.
  3,500   49,084
 
Shikoku Bank, Ltd. (The)
  3,800   33,232
 
Shikoku Chemicals Corp.
  7,600   83,258
 
Shima Seiki Manufacturing, Ltd.
  6,500   125,383
 
Shimachu Co., Ltd.
  7,300   208,374
 
Shimadzu Corp.
  12,000   336,779
 
Shimamura Co., Ltd.
  3,600   270,480
 
Shimano, Inc.
  2,600   398,651
 
Shimizu Bank, Ltd. (The)
  1,900   35,508
 
Shimizu Corp.
  88,700   909,781
 
Shimojima Co., Ltd.
  2,000   20,674
 
Shin Nippon Air Technologies Co., Ltd.
  3,000   56,621
 
Shin Nippon Biomedical Laboratories, Ltd.
  3,700   20,540
 
Shinagawa Refractories Co., Ltd.
  400   10,885
 
Shindengen Electric Manufacturing Co., Ltd.
  1,000   30,477
 
Shin-Etsu Chemical Co., Ltd.
  23,400   2,676,109
 
Shin-Etsu Polymer Co., Ltd.
  12,800   108,782
#
Shin-Keisei Electric Railway Co., Ltd.
  600   13,337
 
Shinko Electric Industries Co., Ltd.
  8,000   93,905
 
Shinko Shoji Co., Ltd.
  4,200   32,117
 
Shinmaywa Industries, Ltd.
  10,200   132,547
 
Shinnihon Corp.
  6,300   52,446
 
Shinoken Group Co., Ltd.
  4,000   44,525
 
Shinsei Bank, Ltd.
  50,100   767,092
 
Shinsho Corp.
  800   19,002
 
Shinwa Co., Ltd.
  1,300   26,140
 
Shionogi & Co., Ltd.
  17,700   1,052,691
 
Ship Healthcare Holdings, Inc.
  8,500   381,111
 
Shiseido Co., Ltd.
  53,200   3,425,048
 
Shizuoka Bank, Ltd. (The)
  21,900   153,746
 
Shizuoka Gas Co., Ltd.
  14,800   119,111
 
SHO-BOND Holdings Co., Ltd.
  800   32,662
#
Shoei Co., Ltd.
  2,300   104,602
 
Shoei Foods Corp.
  1,500   50,295
 
Shofu, Inc.
  2,000   33,380
 
Showa Corp.
  8,700   179,543
#
Showa Denko K.K.
  39,500   944,550
 
Showa Sangyo Co., Ltd.
  1,800   49,601
 
Sigma Koki Co., Ltd.
  700   8,922
 
SIGMAXYZ, Inc.
  2,100   37,615
 
Sinanen Holdings Co., Ltd.
  1,400   26,093
 
Sinfonia Technology Co., Ltd.
  5,700   63,643
 
Sinko Industries, Ltd.
  3,800   59,013
 
Sintokogio, Ltd.
  8,900   75,937
 
SK-Electronics Co., Ltd.
  1,200   20,060
 
SKY Perfect JSAT Holdings, Inc.
  29,800   128,188
#
Skylark Holdings Co., Ltd.
  25,900   474,338
 
SMC Corp.
  2,000   863,338
 
SMK Corp.
  400   11,396
 
SMS Co., Ltd.
  18,700   463,169
 
Snow Peak, Inc.
  1,000   9,220
 
SNT Corp.
  2,900   12,000
 
Soda Nikka Co., Ltd.
  2,000   11,069
 
Sodick Co., Ltd.
  10,800   83,907
 
Soft99 Corp.
  1,100   10,395
 
Softbank Corp.
  61,800   847,840
 
SoftBank Group Corp.
  167,168   6,749,350
#
Softbrain Co., Ltd.
  1,900   9,578
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Softcreate Holdings Corp.
  1,800   $29,104
 
Software Service, Inc.
  400   36,647
 
Sogo Medical Holdings Co., Ltd.
  4,400   82,688
 
Sohgo Security Services Co., Ltd.
  5,100   264,696
 
Solasto Corp.
  9,100   94,689
 
SoldOut, Inc.
  800   15,257
 
Soliton Systems K.K.
  1,700   18,584
 
Sompo Holdings, Inc.
  24,900   930,359
 
Sony Corp.
  96,000   6,712,977
 
Sony Financial Holdings, Inc.
  9,100   209,520
 
Sotetsu Holdings, Inc.
  7,100   189,750
 
Sotoh Co., Ltd.
  1,200   10,742
#
Sourcenext Corp.
  6,200   27,755
 
Space Co., Ltd.
  700   7,798
 
Space Value Holdings Co., Ltd.
  5,400   27,034
 
Sparx Group Co., Ltd.
  15,000   36,070
 
SPK Corp.
  700   16,626
 
S-Pool, Inc.
  17,400   123,372
 
Square Enix Holdings Co., Ltd.
  8,200   402,534
 
SRA Holdings
  2,000   46,483
 
SRS Holdings Co., Ltd.
  2,600   24,963
 
St Marc Holdings Co., Ltd.
  1,700   35,570
 
Star Mica Holdings Co., Ltd.
  2,000   30,102
 
Star Micronics Co., Ltd.
  6,600   84,385
 
Starts Corp., Inc.
  8,800   212,492
 
St-Care Holding Corp.
  1,700   7,381
 
Stella Chemifa Corp.
  1,700   46,789
 
Step Co., Ltd.
  1,000   14,804
 
Strike Co., Ltd.
  600   25,583
 
Studio Alice Co., Ltd.
  1,900   33,550
 
Subaru Corp.
  47,300   1,183,091
 
Subaru Enterprise Co., Ltd.
  300   26,103
 
Sugi Holdings Co., Ltd.
  7,500   375,765
 
Sugimoto & Co., Ltd.
  2,000   35,571
 
Sumida Corp.
  3,400   33,215
#
Suminoe Textile Co., Ltd.
  500   11,672
 
Sumitomo Bakelite Co., Ltd.
  4,900   176,127
 
Sumitomo Chemical Co., Ltd.
  326,931   1,389,195
 
Sumitomo Dainippon Pharma Co., Ltd.
  27,300   468,641
 
Sumitomo Densetsu Co., Ltd.
  5,400   130,017
 
Sumitomo Electric Industries, Ltd.
  47,700   635,918
 
Sumitomo Forestry Co., Ltd.
  33,200   461,017
 
Sumitomo Heavy Industries, Ltd.
  29,500   772,808
 
Sumitomo Metal Mining Co., Ltd.
  22,500   639,685
 
Sumitomo Mitsui Construction Co., Ltd.
  44,700   251,414
 
Sumitomo Mitsui Financial Group, Inc.
  85,100   2,992,064
 
Sumitomo Mitsui Financial Group, Inc., Sponsored ADR
  6,000   42,120
 
Sumitomo Mitsui Trust Holdings, Inc.
  19,900   733,711
*
Sumitomo Precision Products Co., Ltd.
  300   8,791
 
Sumitomo Realty & Development Co., Ltd.
  26,000   957,203
 
Sumitomo Riko Co., Ltd.
  4,100   32,182
 
Sumitomo Seika Chemicals Co., Ltd.
  2,000   56,978
 
Sumitomo Warehouse Co., Ltd. (The)
  7,500   97,170
 
Sun Frontier Fudousan Co., Ltd.
  9,200   102,736
 
Suncall Corp.
  2,600   12,683
 
Sundrug Co., Ltd.
  15,700   532,043
 
Suntory Beverage & Food, Ltd.
  8,200   347,174
 
Sun-Wa Technos Corp.
  1,100   9,867
#*
Suruga Bank, Ltd.
  10,500   41,361
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Sushiro Global Holdings, Ltd.
  3,300   $276,929
 
Suzuken Co., Ltd.
  11,590   444,360
 
Suzuki Co., Ltd.
  700   4,792
 
Suzuki Motor Corp.
  30,800   1,409,277
 
SWCC Showa Holdings Co., Ltd.
  4,600   57,084
 
Sysmex Corp.
  16,700   1,194,722
 
System Information Co., Ltd.
  1,100   9,806
 
System Research Co., Ltd.
  1,400   23,127
 
Systena Corp.
  14,000   234,893
 
Syuppin Co., Ltd.
  5,800   55,987
 
T Hasegawa Co., Ltd.
  6,900   141,542
 
T RAD Co., Ltd.
  800   13,393
 
T&D Holdings, Inc.
  66,200   705,645
 
T&K Toka Co., Ltd.
  3,500   31,516
 
Tachibana Eletech Co., Ltd.
  1,800   29,374
 
Tachikawa Corp.
  1,000   11,277
 
Tachi-S Co., Ltd.
  3,600   41,925
 
Tadano, Ltd.
  21,700   182,948
 
Taihei Dengyo Kaisha, Ltd.
  3,400   70,854
 
Taiho Kogyo Co., Ltd.
  1,600   10,564
 
Taikisha, Ltd.
  5,600   191,490
 
Taiko Bank, Ltd. (The)
  1,400   20,985
 
Taisei Corp.
  31,000   1,237,636
 
Taisei Lamick Co., Ltd.
  800   20,679
 
Taisei Oncho Co., Ltd.
  600   12,005
 
Taisho Pharmaceutical Holdings Co., Ltd.
  3,000   211,938
 
Taiyo Holdings Co., Ltd.
  3,100   131,135
 
Taiyo Nippon Sanso Corp.
  5,800   127,130
#
Takachiho Koheki Co., Ltd.
  1,200   12,674
 
Takamatsu Construction Group Co., Ltd.
  2,700   65,178
 
Takamiya Co., Ltd.
  5,600   32,710
 
Takano Co., Ltd.
  200   1,454
 
Takaoka Toko Co., Ltd.
  2,000   20,594
 
Takara Bio, Inc.
  3,400   63,386
 
Takara Holdings, Inc.
  1,400   12,344
 
Takara Printing Co., Ltd.
  800   12,537
 
Takara Standard Co., Ltd.
  7,200   123,523
 
Takasago International Corp.
  5,100   110,048
 
Takasago Thermal Engineering Co., Ltd.
  7,000   121,563
#
Takashimaya Co., Ltd.
  33,800   361,401
 
Take And Give Needs Co., Ltd.
  1,500   13,954
 
TAKEBISHI Corp.
  1,000   13,572
#*
Takeda Pharmaceutical Co, Ltd., Sponsored ADR
  5,752   110,611
 
Takeda Pharmaceutical Co., Ltd.
  52,130   2,001,968
 
Takeei Corp.
  3,000   29,413
 
Takeuchi Manufacturing Co., Ltd.
  9,100   153,561
 
Takihyo Co., Ltd.
  1,100   19,094
 
Takisawa Machine Tool Co., Ltd.
  1,100   13,494
 
Takuma Co., Ltd.
  7,000   76,317
 
Tama Home Co., Ltd.
  2,100   24,704
 
Tamron Co., Ltd.
  1,000   21,239
 
Tanseisha Co., Ltd.
  3,700   41,590
 
Tatsuta Electric Wire and Cable Co., Ltd.
  10,400   54,764
 
Tayca Corp.
  3,300   56,894
 
Tbk Co., Ltd.
  3,900   16,587
 
TDC Soft, Inc.
  1,200   10,719
 
TechMatrix Corp.
  3,800   90,518
 
Techno Ryowa, Ltd.
  1,600   13,219
 
TechnoPro Holdings, Inc.
  12,400   821,084
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Tecnos Japan, Inc.
  1,300   $5,608
 
Teijin, Ltd.
  57,800   1,033,395
 
Teikoku Electric Manufacturing Co., Ltd.
  2,000   25,042
 
Teikoku Sen-I Co., Ltd.
  2,300   51,646
 
Teikoku Tsushin Kogyo Co., Ltd.
  900   10,193
 
Tekken Corp.
  2,900   73,392
 
Temairazu, Inc.
  200   10,685
 
Tenma Corp.
  3,400   61,109
 
Tenpos Holdings Co., Ltd.
  900   20,228
 
Terumo Corp.
  25,000   899,894
 
T-Gaia Corp.
  4,300   105,745
 
THK Co., Ltd.
  13,200   329,088
 
Tigers Polymer Corp.
  1,800   9,410
 
TIS, Inc.
  9,800   588,748
 
TKC Corp.
  1,500   74,268
 
Toa Corp.
  2,900   29,864
 
Toa Corp.
  4,400   62,631
 
Toa Oil Co., Ltd.
  300   6,208
 
TOA ROAD Corp.
  300   9,410
 
Toagosei Co., Ltd.
  24,800   277,280
 
Tobishima Corp.
  4,930   62,378
 
Tobu Railway Co., Ltd.
  10,300   362,838
 
TOC Co., Ltd.
  10,400   83,529
 
Tocalo Co., Ltd.
  15,500   154,406
 
Tochigi Bank, Ltd. (The)
  17,000   30,933
 
Toda Corp.
  43,900   281,547
 
Toda Kogyo Corp.
  800   15,441
 
Toei Animation Co., Ltd.
  2,000   95,842
 
Toei Co., Ltd.
  1,100   151,902
 
Toenec Corp.
  2,800   101,072
 
Toho Bank, Ltd. (The)
  24,600   56,536
 
Toho Co., Ltd.
  3,200   117,884
#
Toho Co., Ltd.
  1,500   24,616
 
Toho Gas Co., Ltd.
  12,600   486,764
 
Toho Holdings Co., Ltd.
  17,200   353,230
 
Toho Titanium Co., Ltd.
  4,300   32,919
 
Toho Zinc Co., Ltd.
  2,300   39,369
 
Tohoku Bank, Ltd. (The)
  2,400   22,702
 
Tohokushinsha Film Corp.
  2,900   16,885
 
Tohto Suisan Co., Ltd.
  700   17,905
#
Tokai Carbon Co., Ltd.
  44,800   404,893
 
Tokai Corp.
  2,300   55,639
 
Tokai Rika Co., Ltd.
  7,400   125,764
 
Tokai Tokyo Financial Holdings, Inc.
  25,600   76,192
 
Token Corp.
  2,320   160,466
 
Tokio Marine Holdings, Inc.
  37,100   2,013,832
 
Tokushu Tokai Paper Co., Ltd.
  1,300   47,363
*
Tokyo Base Co., Ltd.
  3,100   14,418
 
Tokyo Broadcasting System Holdings, Inc.
  9,000   155,659
 
Tokyo Century Corp.
  13,900   707,086
#
Tokyo Dome Corp.
  11,200   105,088
 
Tokyo Electron Device, Ltd.
  1,100   25,340
 
Tokyo Electron, Ltd.
  12,900   2,837,304
 
Tokyo Energy & Systems, Inc.
  6,000   48,327
 
Tokyo Gas Co., Ltd.
  33,900   745,325
 
Tokyo Individualized Educational Institute, Inc.
  1,300   8,523
 
Tokyo Keiki, Inc.
  2,900   27,133
 
Tokyo Kiraboshi Financial Group, Inc.
  4,285   49,086
 
Tokyo Ohka Kogyo Co., Ltd.
  7,500   310,727
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Tokyo Rope Manufacturing Co., Ltd.
  3,300   $33,151
 
Tokyo Sangyo Co., Ltd.
  4,200   24,412
 
Tokyo Seimitsu Co., Ltd.
  8,700   302,706
 
Tokyo Tatemono Co., Ltd.
  37,200   601,055
 
Tokyo Theatres Co., Inc.
  1,000   12,442
 
Tokyotokeiba Co., Ltd.
  1,600   47,031
 
Tokyu Construction Co., Ltd.
  22,900   159,796
 
Tokyu Corp.
  26,083   459,633
 
Tokyu Fudosan Holdings Corp.
  88,600   624,571
 
Tokyu Recreation Co., Ltd.
  300   15,690
 
Toli Corp.
  9,000   24,235
 
Tomato Bank, Ltd.
  3,000   28,372
 
Tomoe Corp.
  3,500   13,378
 
Tomoe Engineering Co., Ltd.
  1,700   33,899
 
Tomoku Co., Ltd.
  600   10,151
 
TOMONY Holdings, Inc.
  17,400   57,782
 
Tomy Co., Ltd.
  20,300   219,564
 
Tonami Holdings Co., Ltd.
  700   31,941
 
Topcon Corp.
  28,600   393,977
 
Toppan Forms Co., Ltd.
  11,100   125,954
 
Toppan Printing Co., Ltd.
  15,240   303,734
 
Topre Corp.
  4,200   63,749
 
Topy Industries, Ltd.
  3,300   53,510
 
Toray Industries, Inc.
  226,707   1,483,414
 
Torex Semiconductor, Ltd.
  900   12,303
 
Toridoll Holdings Corp.
  3,200   72,866
 
Torigoe Co., Ltd. (The)
  3,600   27,123
#
Torikizoku Co., Ltd.
  1,000   23,572
 
Torishima Pump Manufacturing Co., Ltd.
  4,900   38,982
 
Tosei Corp.
  9,700   125,192
 
Toshiba Corp.
  500   15,980
#
Toshiba Machine Co., Ltd.
  4,700   143,688
 
Toshiba TEC Corp.
  6,900   270,196
 
Totech Corp.
  900   22,244
 
Totetsu Kogyo Co., Ltd.
  4,300   125,206
 
TOTO, Ltd.
  10,800   438,852
 
Tottori Bank, Ltd. (The)
  1,400   17,142
 
Tow Co., Ltd.
  2,900   25,399
 
Towa Bank, Ltd. (The)
  3,400   24,846
 
Towa Corp.
  2,800   25,243
 
Towa Pharmaceutical Co., Ltd.
  6,400   146,140
 
Toyo Construction Co., Ltd.
  19,400   91,898
 
Toyo Corp.
  4,000   45,610
 
Toyo Denki Seizo K.K.
  1,000   13,640
*
Toyo Engineering Corp.
  6,700   34,540
 
Toyo Ink SC Holdings Co., Ltd.
  12,500   278,674
 
Toyo Kanetsu K.K.
  2,700   53,846
#
Toyo Logistics Co., Ltd.
  3,900   11,220
 
Toyo Machinery & Metal Co., Ltd.
  1,800   8,503
 
Toyo Securities Co., Ltd.
  25,300   33,834
 
Toyo Seikan Group Holdings, Ltd.
  31,000   524,446
 
Toyo Suisan Kaisha, Ltd.
  3,700   155,015
 
Toyo Tanso Co., Ltd.
  2,700   50,212
 
Toyo Wharf & Warehouse Co., Ltd.
  900   11,657
 
Toyobo Co., Ltd.
  22,223   303,382
 
Toyoda Gosei Co., Ltd.
  15,500   351,673
 
Toyota Boshoku Corp.
  17,300   249,764
 
Toyota Industries Corp.
  4,700   254,211
#
Toyota Motor Corp., Sponsored ADR
  20,409   2,833,586
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Toyota Motor Corp.
  157,618   $10,958,811
 
TPR Co., Ltd.
  5,100   83,479
 
Trancom Co., Ltd.
  1,600   113,598
 
Transaction Co., Ltd.
  2,300   22,523
*
Trend Micro, Inc.
  15,500   809,881
#
Tri Chemical Laboratories, Inc.
  800   75,929
 
Trusco Nakayama Corp.
  5,600   130,270
 
TS Tech Co., Ltd.
  8,700   239,097
 
TSI Holdings Co., Ltd.
  16,600   78,035
 
Tsubaki Nakashima Co., Ltd.
  11,200   131,201
 
Tsubakimoto Chain Co.
  5,300   163,096
 
Tsubakimoto Kogyo Co., Ltd.
  1,200   43,579
 
Tsugami Corp.
  9,000   81,269
 
Tsukada Global Holdings, Inc.
  1,400   7,417
 
Tsukui Corp.
  11,000   57,362
 
Tsuruha Holdings, Inc.
  4,000   489,607
 
Tsurumi Manufacturing Co., Ltd.
  4,200   69,522
 
Tsutsumi Jewelry Co., Ltd.
  2,500   48,446
 
TV Asahi Holdings Corp.
  6,800   129,707
 
Tv Tokyo Holdings Corp.
  3,500   74,563
 
UACJ Corp.
  8,800   179,322
 
Uchida Yoko Co., Ltd.
  900   58,713
 
Ulvac, Inc.
  9,200   331,879
 
UMC Electronics Co., Ltd.
  600   2,264
 
Unicharm Corp.
  22,700   776,877
 
Uniden Holdings Corp.
  1,000   18,778
 
UNIMAT Retirement Community Co., Ltd.
  1,400   19,949
 
Union Tool Co.
  900   25,502
 
Unipres Corp.
  5,000   63,775
 
United Arrows, Ltd.
  5,200   138,279
#
United Super Markets Holdings, Inc.
  11,700   104,481
 
UNITED, Inc.
  2,100   22,535
 
Universal Entertainment Corp.
  3,700   108,495
 
Unizo Holdings Co., Ltd.
  4,900   249,175
#
Usen-Next Holdings Co., Ltd.
  1,300   19,553
 
Ushio, Inc.
  24,600   359,948
 
USS Co., Ltd.
  22,500   408,366
#
UT Group Co., Ltd.
  8,400   209,358
 
Utoc Corp.
  2,100   10,832
#
V Technology Co., Ltd.
  2,100   92,767
 
Valor Holdings Co., Ltd.
  10,200   178,253
 
Valqua, Ltd.
  1,000   21,141
 
Value HR Co., Ltd.
  800   22,656
#
ValueCommerce Co., Ltd.
  3,500   81,441
*
Vector, Inc.
  6,200   70,484
#*
VIA Holdings, Inc.
  1,700   10,328
*
Vision, Inc.
  3,000   39,187
 
Vital KSK Holdings, Inc.
  9,400   89,382
 
VT Holdings Co., Ltd.
  19,800   81,001
 
Wacoal Holdings Corp.
  16,200   431,215
 
Wacom Co., Ltd.
  34,000   123,850
 
Waida Manufacturing Co., Ltd.
  800   10,557
 
Wakachiku Construction Co., Ltd.
  1,200   18,211
 
Wakita & Co., Ltd.
  8,300   76,777
 
Warabeya Nichiyo Holdings Co., Ltd.
  1,600   26,385
 
Watahan & Co., Ltd.
  1,300   22,536
 
Watts Co., Ltd.
  1,800   10,222
 
WDB Holdings Co., Ltd.
  3,400   82,763
 
Weathernews, Inc.
  1,600   56,139
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Welcia Holdings Co., Ltd.
  5,900   $323,991
 
West Holdings Corp.
  2,100   33,271
 
West Japan Railway Co.
  5,200   439,971
 
Will Group, Inc.
  3,600   34,870
 
WIN-Partners Co., Ltd.
  1,100   11,559
 
Wood One Co., Ltd.
  1,000   10,504
 
Workman Co., Ltd.
  2,200   177,285
 
World Holdings Co., Ltd.
  2,300   34,763
 
Wowow, Inc.
  1,300   32,216
 
Xebio Holdings Co., Ltd.
  5,600   59,571
 
Yahagi Construction Co., Ltd.
  5,300   40,404
 
Yaizu Suisankagaku Industry Co., Ltd.
  1,300   12,326
 
Yakult Honsha Co., Ltd.
  11,700   588,455
#
YAKUODO Holdings Co., Ltd.
  1,700   34,047
 
YAMABIKO Corp.
  7,100   69,324
 
YAMADA Consulting Group Co., Ltd.
  400   5,462
 
Yamada Denki Co., Ltd.
  54,700   275,702
 
Yamagata Bank, Ltd. (The)
  3,400   42,961
 
Yamaguchi Financial Group, Inc.
  17,200   103,547
 
Yamaha Corp.
  7,300   372,934
 
Yamaha Motor Co., Ltd.
  56,900   1,055,929
*
Yamaha Motor Robotics Holdings Co., Ltd.
  400   1,796
 
Yamaichi Electronics Co., Ltd.
  3,500   51,236
#
YA-MAN, Ltd.
  5,300   31,611
 
Yamanashi Chuo Bank, Ltd. (The)
  3,300   29,875
 
Yamatane Corp.
  1,400   19,252
 
Yamato Corp.
  3,900   27,264
 
Yamato Holdings Co., Ltd.
  16,800   269,023
 
Yamato International, Inc.
  400   1,498
 
Yamaya Corp.
  1,000   20,352
 
Yamazaki Baking Co., Ltd.
  19,600   372,997
 
Yamazawa Co., Ltd.
  700   10,880
 
Yamazen Corp.
  11,700   108,400
 
Yaoko Co., Ltd.
  4,200   214,888
 
Yashima Denki Co., Ltd.
  500   4,124
#
Yaskawa Electric Corp.
  41,600   1,424,041
 
Yasuda Logistics Corp.
  1,500   14,613
#
Yasunaga Corp.
  1,200   12,619
 
YE DIGITAL Corp.
  3,200   18,050
 
Yellow Hat, Ltd.
  6,000   95,514
 
Yodogawa Steel Works, Ltd.
  5,300   94,791
 
Yokogawa Bridge Holdings Corp.
  8,300   155,692
 
Yokogawa Electric Corp.
  19,500   339,301
 
Yokohama Reito Co., Ltd.
  14,000   121,812
 
Yokowo Co., Ltd.
  1,600   42,420
 
Yomeishu Seizo Co., Ltd.
  1,400   25,429
 
Yomiuri Land Co., Ltd.
  600   23,533
 
Yondenko Corp.
  800   21,124
#
Yondoshi Holdings, Inc.
  2,300   49,956
#
Yoshinoya Holdings Co., Ltd.
  5,200   117,592
 
Yossix Co., Ltd.
  400   10,611
 
Yotai Refractories Co., Ltd.
  3,900   24,838
 
Yuasa Funashoku Co., Ltd.
  400   14,021
 
Yuasa Trading Co., Ltd.
  3,600   115,501
#
Yumeshin Holdings Co., Ltd.
  12,000   92,959
 
Yurtec Corp.
  13,900   83,385
 
Z Holdings Corp.
  178,500   708,991
 
Zaoh Co., Ltd.
  900   12,171
 
Zenitaka Corp. (The)
  400   14,729
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Zenkoku Hosho Co., Ltd.
  12,700   $543,354
#
Zenrin Co., Ltd.
  7,450   100,378
 
Zensho Holdings Co., Ltd.
  10,700   226,581
 
Zeon Corp.
  37,900   402,453
 
ZIGExN Co., Ltd.
  9,900   44,041
 
Zojirushi Corp.
  4,200   83,477
 
ZOZO, Inc.
  23,800   396,407
 
Zuiko Corp.
  400   15,500
TOTAL JAPAN
      363,709,039
NETHERLANDS — (4.1%)
 
Aalberts NV
  23,908   1,043,836
 
ABN AMRO Bank NV
  38,120   663,496
 
Accell Group NV
  4,574   141,440
 
Aegon NV
  325,841   1,319,622
#
Aegon NV
  34,732   139,275
 
Akzo Nobel NV
  14,532   1,371,391
*
Altice Europe NV
  55,324   355,576
*
Altice Europe NV, Class B
  5,130   33,431
#
AMG Advanced Metallurgical Group NV
  2,691   61,188
 
Amsterdam Commodities NV
  4,351   99,900
 
APERAM SA
  13,300   380,169
 
Arcadis NV
  20,448   464,472
 
ASM International NV
  8,884   1,079,641
 
ASML Holding NV
  5,120   1,436,836
 
ASML Holding NV
  16,997   4,770,378
 
ASR Nederland NV
  61,169   2,276,042
*
Basic-Fit NV
  7,055   261,014
 
BE Semiconductor Industries NV
  16,622   703,717
#
Brunel International NV
  1,440   13,208
 
Coca-Cola European Partners P.L.C.
  25,463   1,360,434
 
Corbion NV
  16,391   567,719
 
Flow Traders
  4,407   102,923
#
ForFarmers NV
  5,548   36,266
#*
Fugro NV
  16,706   175,453
 
GrandVision NV
  8,498   260,347
*
Heijmans NV
  5,151   40,810
 
Heineken NV
  21,781   2,369,925
 
Hunter Douglas NV
  708   46,266
 
IMCD NV
  13,623   1,176,327
 
ING Groep NV, Sponsored ADR
  52,727   573,143
 
ING Groep NV
  356,292   3,868,335
 
Intertrust NV
  13,272   236,190
 
Kendrion NV
  3,348   73,270
 
Koninklijke Ahold Delhaize NV, Sponsored ADR
  839   20,566
 
Koninklijke Ahold Delhaize NV
  279,895   6,869,028
 
Koninklijke BAM Groep NV
  59,131   162,812
 
Koninklijke DSM NV
  19,555   2,379,951
 
Koninklijke KPN NV
  952,536   2,668,850
 
Koninklijke Philips NV
  97,330   4,457,464
#
Koninklijke Philips NV
  25,354   1,160,706
 
Koninklijke Vopak NV
  14,539   778,508
*
Lucas Bols NV
  1,956   29,271
 
Nederland Apparatenfabriek
  1,321   71,538
 
NN Group NV
  48,579   1,686,104
 
Ordina NV
  14,209   31,220
#
PostNL NV
  71,767   132,407
 
Randstad NV
  47,176   2,709,600
 
Signify NV
  35,741   1,191,133
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
NETHERLANDS — (Continued)
 
Sligro Food Group NV
  3,972   $113,538
#*
Takeaway.com NV
  1,499   141,102
 
TKH Group NV
  9,890   522,837
 
TomTom NV
  15,566   168,950
 
Unilever NV
  111,733   6,511,799
 
Unilever NV
  33,039   1,927,897
 
Van Lanschot Kempen NV
  2,578   54,745
 
Wolters Kluwer NV
  53,315   4,006,169
TOTAL NETHERLANDS
      65,298,235
NEW ZEALAND — (0.4%)
 
Arvida Group, Ltd.
  58,199   69,048
 
Auckland International Airport, Ltd.
  67,649   376,545
 
Briscoe Group, Ltd.
  5,956   15,009
 
Chorus, Ltd.
  94,399   396,944
 
Chorus, Ltd., ADR
  880   18,031
 
EBOS Group, Ltd.
  26,960   413,820
 
Fisher & Paykel Healthcare Corp., Ltd.
  43,677   653,353
#
Fletcher Building, Ltd.
  140,609   501,865
 
Fletcher Building, Ltd.
  1,711   6,062
 
Freightways, Ltd.
  26,683   147,992
#
Gentrack Group, Ltd.
  3,743   4,818
 
Hallenstein Glasson Holdings, Ltd.
  4,953   19,180
 
Heartland Group Holdings, Ltd.
  94,346   113,568
 
Infratil, Ltd.
  123,622   431,634
 
Investore Property, Ltd.
  25,223   30,421
 
Kathmandu Holdings, Ltd.
  11,625   22,339
 
Mainfreight, Ltd.
  4,854   129,581
 
Mercury NZ, Ltd.
  63,879   215,202
 
Meridian Energy, Ltd.
  97,023   333,413
 
Metlifecare, Ltd.
  17,515   77,642
 
NEW Zealand King Salmon Investments, Ltd.
  6,477   9,361
 
New Zealand Refining Co., Ltd. (The)
  40,839   42,902
#*
NZME, Ltd.
  3,265   817
 
NZX, Ltd.
  49,423   44,276
#
Oceania Healthcare, Ltd.
  22,693   17,882
 
PGG Wrightson, Ltd.
  2,884   4,545
#
Port of Tauranga, Ltd.
  20,445   99,633
*
Pushpay Holdings, Ltd.
  8,107   23,410
*
Restaurant Brands New Zealand, Ltd.
  3,895   33,561
 
Ryman Healthcare, Ltd.
  11,449   121,379
 
Sanford, Ltd.
  10,196   51,648
 
Scales Corp., Ltd.
  17,828   54,609
#
Skellerup Holdings, Ltd.
  11,410   18,364
 
SKY Network Television, Ltd.
  56,118   25,002
 
Spark New Zealand, Ltd.
  251,037   751,887
#
Steel & Tube Holdings, Ltd.
  4,051   2,141
 
Summerset Group Holdings, Ltd.
  12,376   70,975
*
Synlait Milk, Ltd.
  4,558   25,733
 
Tourism Holdings, Ltd.
  31,632   60,771
*
TOWER, Ltd.
  3,696   1,667
 
Turners Automotive Group, Ltd.
  4,885   8,571
 
Vector, Ltd.
  47,148   110,695
#
Vista Group International, Ltd.
  6,694   15,398
 
Warehouse Group, Ltd. (The)
  21,957   38,041
#
Z Energy, Ltd.
  125,390   359,089
TOTAL NEW ZEALAND
      5,968,824
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
NORWAY — (0.8%)
 
ABG Sundal Collier Holding ASA
  66,881   $28,863
*
Adevinta ASA, Class B
  14,408   175,791
 
AF Gruppen ASA
  5,065   94,708
*
Akastor ASA
  49,939   49,546
*
Aker Solutions ASA
  39,627   80,022
 
American Shipping Co. ASA
  3,443   12,007
 
Atea ASA
  23,718   307,837
 
Austevoll Seafood ASA
  9,985   97,351
*
Avance Gas Holding, Ltd.
  4,868   27,787
#
B2Holding ASA
  42,116   35,153
 
Bakkafrost P/F
  4,093   291,215
 
Bonheur ASA
  2,378   54,761
 
Borregaard ASA
  19,506   186,521
*
BW Offshore, Ltd.
  32,972   179,812
 
Data Respons ASA
  5,651   29,559
 
DNB ASA
  104,627   1,829,149
*
DOF ASA
  12,049   1,860
 
Entra ASA
  27,754   473,649
 
Europris ASA
  60,638   220,495
 
Gjensidige Forsikring ASA
  20,078   437,585
 
Golar LNG, Ltd.
  568   5,464
 
Grieg Seafood ASA
  9,370   143,580
*
Kongsberg Automotive ASA
  23,789   13,367
 
Kongsberg Gruppen ASA
  14,593   226,471
 
Kvaerner ASA
  48,650   53,526
 
Leroy Seafood Group ASA
  51,677   335,292
 
Mowi ASA
  37,269   888,936
#*
Nordic Nanovector ASA
  2,120   5,669
#*
Nordic Semiconductor ASA
  15,812   100,749
 
Norsk Hydro ASA
  31,817   99,439
 
Norway Royal Salmon ASA
  1,033   26,325
*
Norwegian Finans Holding ASA
  14,277   145,885
 
Norwegian Property ASA
  10,414   15,605
#
Ocean Yield ASA
  24,790   124,573
*
Odfjell Drilling, Ltd.
  25,534   67,346
 
Olav Thon Eiendomsselskap ASA
  2,241   41,547
 
Orkla ASA
  56,550   545,922
*
Otello Corp. ASA
  23,775   42,848
#*
PGS ASA
  119,512   228,709
#*
PhotoCure ASA
  2,303   20,895
*
Protector Forsikring ASA
  10,980   49,397
 
Salmar ASA
  8,011   391,828
 
Sbanken ASA
  8,009   60,862
#
Scatec Solar ASA
  22,216   378,525
#
Schibsted ASA, Class A
  6,229   187,571
 
Schibsted ASA, Class B
  8,103   228,880
 
Selvaag Bolig ASA
  9,204   52,602
#
Solon Eiendom ASA
  2,379   9,593
 
SpareBank 1 SR-Bank ASA
  20,141   214,274
 
Storebrand ASA
  124,567   957,019
 
Subsea 7 SA
  61,648   659,079
 
TGS NOPEC Geophysical Co. ASA
  49,623   1,261,300
 
Tomra Systems ASA
  9,409   276,953
 
Treasure ASA
  7,397   11,258
 
Veidekke ASA
  23,950   301,625
 
Wilh Wilhelmsen Holding ASA, Class A
  2,067   32,459
#*
XXL ASA
  8,040   10,248
TOTAL NORWAY
      12,829,292
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
PORTUGAL — (0.2%)
 
Altri SGPS SA
  8,565   $52,865
 
CTT-Correios de Portugal SA
  24,510   79,553
 
EDP Renovaveis SA
  46,787   621,691
 
Jeronimo Martins SGPS SA
  55,551   955,916
#
Mota-Engil SGPS SA
  35,962   67,352
 
Navigator Co. SA (The)
  38,840   139,376
 
NOS SGPS SA
  57,353   297,687
 
REN - Redes Energeticas Nacionais SGPS SA
  81,548   247,100
 
Sonae Capital SGPS SA
  11,819   10,078
 
Sonae SGPS SA
  193,650   180,142
TOTAL PORTUGAL
      2,651,760
SINGAPORE — (0.8%)
 
Accordia Golf Trust
  113,300   54,664
 
AEM Holdings, Ltd.
  37,300   50,748
 
Ascendas India Trust
  70,300   81,220
 
Banyan Tree Holdings, Ltd.
  47,000   13,921
#
Best World International, Ltd.
  54,600   20,226
 
Boustead Projects, Ltd.
  5,100   3,542
 
Boustead Singapore, Ltd.
  50,700   28,206
 
BreadTalk Group, Ltd.
  21,400   8,983
 
Bukit Sembawang Estates, Ltd.
  46,700   154,402
 
Bund Center Investment, Ltd.
  5,250   2,265
 
Centurion Corp., Ltd.
  30,100   10,031
 
China Aviation Oil Singapore Corp., Ltd.
  58,000   48,545
 
China Sunsine Chemical Holdings, Ltd.
  20,600   7,279
 
Chip Eng Seng Corp., Ltd.
  86,900   37,084
 
City Developments, Ltd.
  54,800   422,362
*
COSCO Shipping International Singapore Co., Ltd.
  43,600   8,678
 
CSE Global, Ltd.
  50,200   18,677
 
Dairy Farm International Holdings, Ltd.
  31,100   159,770
 
DBS Group Holdings, Ltd.
  130,094   2,396,467
 
Del Monte Pacific, Ltd.
  92,600   9,983
 
Delfi, Ltd.
  28,200   19,860
*
Ezion Holdings, Ltd.
  350,280   2,079
#*
Ezra Holdings, Ltd.
  194,482   1,477
 
Far East Orchard, Ltd.
  17,400   14,492
 
Food Empire Holdings, Ltd.
  66,800   31,481
 
Fraser and Neave, Ltd.
  15,000   18,756
 
Frasers Property, Ltd.
  39,100   48,719
 
Frencken Group, Ltd.
  50,100   30,707
 
Fu Yu Corp., Ltd.
  139,000   25,807
 
Genting Singapore, Ltd.
  406,400   254,341
 
GL, Ltd.
  18,400   10,640
 
Great Eastern Holdings, Ltd.
  4,400   69,725
 
GuocoLand, Ltd.
  50,066   67,052
*
Halcyon Agri Corp., Ltd.
  28,372   9,449
 
Haw Par Corp., Ltd.
  15,100   134,980
 
Hi-P International, Ltd.
  16,200   15,106
 
Ho Bee Land, Ltd.
  20,300   34,025
 
Hong Fok Corp., Ltd.
  41,300   23,515
*
Hong Leong Asia, Ltd.
  47,900   20,604
 
Hong Leong Finance, Ltd.
  33,200   63,096
 
Hongkong Land Holdings, Ltd.
  47,000   249,474
 
Hour Glass, Ltd. (The)
  18,600   10,470
#
Hutchison Port Holdings Trust
  853,200   136,185
 
iFAST Corp., Ltd.
  14,500   10,796
 
Lian Beng Group, Ltd.
  60,800   22,235
 
Metro Holdings, Ltd.
  49,500   32,228
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
SINGAPORE — (Continued)
#*
Midas Holdings, Ltd.
  200,100   $5,279
*
mm2 Asia, Ltd.
  84,400   13,223
 
NSL, Ltd.
  2,000   1,307
 
Oversea-Chinese Banking Corp., Ltd.
  209,157   1,645,879
 
Oxley Holdings, Ltd.
  176,304   44,976
 
Penguin International, Ltd.
  19,400   9,045
 
Perennial Real Estate Holdings, Ltd.
  30,700   11,364
 
Q&M Dental Group Singapore, Ltd.
  44,400   14,804
*
Raffles Education Corp., Ltd.
  6,903   404
 
Riverstone Holdings, Ltd.
  18,900   14,496
 
SATS, Ltd.
  86,260   287,117
 
SBS Transit, Ltd.
  5,900   15,639
*
Sembcorp Marine, Ltd.
  62,200   52,330
 
Sheng Siong Group, Ltd.
  133,800   120,463
 
SIA Engineering Co., Ltd.
  11,900   22,750
 
Sinarmas Land, Ltd.
  101,700   17,334
 
Singapore Exchange, Ltd.
  98,800   626,824
 
Singapore Post, Ltd.
  261,400   170,977
#
Singapore Press Holdings, Ltd.
  286,500   420,976
 
Singapore Technologies Engineering, Ltd.
  188,600   564,894
 
Singapore Telecommunications, Ltd.
  311,300   749,069
 
Stamford Land Corp., Ltd.
  32,000   11,718
 
StarHub, Ltd.
  88,600   93,431
 
Straits Trading Co., Ltd.
  15,200   22,700
 
Sunningdale Tech, Ltd.
  16,000   14,602
*
Swiber Holdings, Ltd.
  50,250   751
 
Tuan Sing Holdings, Ltd.
  69,162   15,637
 
UMS Holdings, Ltd.
  38,500   26,210
 
United Industrial Corp., Ltd.
  20,000   41,182
 
United Overseas Bank, Ltd.
  57,585   1,074,083
 
UOB-Kay Hian Holdings, Ltd.
  11,465   10,156
 
UOL Group, Ltd.
  66,751   387,761
 
Valuetronics Holdings, Ltd.
  75,810   40,216
 
Venture Corp., Ltd.
  28,200   332,999
 
Vicom, Ltd.
  1,600   9,048
 
Wing Tai Holdings, Ltd.
  88,900   130,058
 
Yangzijiang Shipbuilding Holdings Ltd.
  481,200   330,309
*
Yongnam Holdings, Ltd.
  42,375   4,608
TOTAL SINGAPORE
      12,248,971
SPAIN — (2.2%)
 
Acciona SA
  6,716   762,308
 
Acerinox SA
  41,593   404,936
 
ACS Actividades de Construccion y Servicios SA
  26,039   865,712
 
Aena SME SA
  6,672   1,234,854
 
Alantra Partners SA
  2,655   45,146
 
Almirall SA
  10,415   154,037
 
Amadeus IT Group SA
  45,771   3,588,724
*
Amper SA
  117,290   33,390
 
Applus Services SA
  36,530   423,878
 
Atresmedia Corp. de Medios de Comunicacion SA
  20,434   69,337
 
Azkoyen SA
  1,659   11,820
 
Banco Bilbao Vizcaya Argentaria SA
  177,875   920,784
 
Banco Bilbao Vizcaya Argentaria SA, Sponsored ADR
  88,918   455,262
 
Banco de Sabadell SA
  1,844,146   1,661,660
 
Banco Santander SA
  1,159,847   4,570,830
#
Banco Santander SA, Sponsored ADR
  9,998   39,193
 
Bankinter SA
  106,024   687,523
 
Bolsas y Mercados Espanoles SHMSF SA
  7,484   290,312
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
SPAIN — (Continued)
 
CaixaBank SA
  225,743   $659,795
 
Construcciones y Auxiliar de Ferrocarriles SA
  5,233   232,578
*
eDreams ODIGEO SA
  8,936   43,757
 
Elecnor SA
  2,680   30,190
 
Enagas SA
  72,674   1,958,115
#
Ence Energia y Celulosa SA
  26,204   106,004
 
Ercros SA
  7,631   21,906
 
Euskaltel SA
  23,025   216,969
 
Faes Farma SA
  79,408   432,742
 
Ferrovial SA
  17,194   546,184
*
Fluidra SA
  3,712   45,625
*
Global Dominion Access SA
  22,427   82,098
 
Grifols SA
  17,339   582,334
 
Grupo Catalana Occidente SA
  7,514   246,765
*
Grupo Empresarial San Jose SA
  2,330   16,653
*
Grupo Ezentis SA
  13,405   6,374
 
Iberdrola S.A.
  219,973   2,406,797
 
Iberpapel Gestion SA
  308   8,512
#*
Indra Sistemas SA
  59,236   680,260
 
Industria de Diseno Textil SA
  90,246   3,034,708
 
Laboratorios Farmaceuticos Rovi SA
  843   23,224
 
Liberbank SA
  245,703   81,200
 
Mapfre SA
  195,982   501,548
*
Masmovil Ibercom SA
  2,316   48,448
 
Mediaset Espana Comunicacion SA
  62,746   343,541
*
Obrascon Huarte Lain SA
  12,647   14,792
*
Promotora de Informaciones SA, Class A
  39,368   59,549
 
Prosegur Cia de Seguridad SA
  73,565   290,102
*
Quabit Inmobiliaria SA
  22,607   26,538
*
Realia Business SA
  46,116   46,042
 
Red Electrica Corp. SA
  73,441   1,469,279
 
Sacyr S.A.
  20,410   58,508
 
Sacyr SA
  443   1,272
 
Siemens Gamesa Renewable Energy SA
  47,148   751,473
*
Solaria Energia y Medio Ambiente SA
  10,198   95,495
*
Talgo SA
  10,713   70,827
*
Tecnicas Reunidas SA
  2,322   56,519
 
Telefonica SA, Sponsored ADR
  24,925   167,745
 
Telefonica SA
  248,096   1,678,051
 
Tubacex SA
  26,193   74,087
 
Unicaja Banco SA
  102,841   102,849
 
Vidrala SA
  2,518   270,177
 
Vocento SA
  7,149   9,036
 
Zardoya Otis SA
  36,965   278,518
TOTAL SPAIN
      34,096,892
SWEDEN — (3.2%)
*
Adapteo Oyj
  10,119   118,268
 
AddLife AB, Class B
  2,466   74,900
 
AddNode Group AB
  3,605   72,844
 
AddTech AB, Class B
  18,989   581,162
 
AF POYRY AB
  13,084   332,324
 
Alfa Laval AB
  33,141   827,303
 
Alimak Group AB
  6,040   82,894
*
Arise AB
  4,277   16,604
 
Arjo AB, Class B
  21,153   101,328
 
Assa Abloy AB, Class B
  32,240   765,258
 
Atlas Copco AB, Class A
  68,676   2,430,719
 
Atlas Copco AB, Class B
  39,908   1,240,476
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
SWEDEN — (Continued)
 
Atrium Ljungberg AB, Class B
  6,136   $148,351
 
Attendo AB
  10,162   55,909
 
Avanza Bank Holding AB
  25,105   245,968
 
Axfood AB
  31,067   644,174
 
Beijer Alma AB
  6,700   101,438
 
Beijer Electronics Group AB
  1,922   11,249
 
Beijer Ref AB
  15,443   464,527
 
Bergman & Beving AB
  4,620   41,544
 
Besqab AB
  764   11,361
 
Betsson AB
  31,493   135,052
 
Bilia AB, Class A
  38,290   420,315
#
BillerudKorsnas AB
  62,336   801,009
 
BioGaia AB, Class B
  4,894   211,836
 
Biotage AB
  8,847   110,546
 
Bjorn Borg AB
  385   993
 
Boliden AB
  70,262   1,668,035
 
Bonava AB, Class B
  19,165   171,436
 
Bravida Holding AB
  26,686   243,256
 
Bufab AB
  6,594   90,174
#
Bulten AB
  2,524   18,773
 
Bure Equity AB
  12,761   284,141
*
Byggmax Group AB
  14,566   43,446
 
Castellum AB
  12,682   311,550
 
Catena AB
  2,887   124,993
#
Clas Ohlson AB, Class B
  5,003   53,031
 
Cloetta AB, Class B
  20,472   72,159
#*
Collector AB
  2,336   7,342
 
Concentric AB
  12,996   207,643
 
Coor Service Management Holding AB
  7,184   65,695
 
Corem Property Group AB, Class B
  10,422   30,193
 
Dios Fastigheter AB
  14,012   129,213
 
Dometic Group AB
  67,686   615,568
*
Doro AB
  4,193   20,652
 
Duni AB
  5,763   78,556
#
Dustin Group AB
  16,664   128,833
 
Eastnine AB
  3,292   48,039
 
Elanders AB, Class B
  1,312   12,063
 
Electrolux AB, Class B
  49,558   1,175,665
#
Elekta AB, Class B
  60,176   689,246
*
Eltel AB
  18,484   35,604
*
Enea AB
  2,386   40,747
#
Epiroc AB, Class A
  56,903   658,283
 
Epiroc AB, Class B
  29,569   334,180
#
eWork Group AB
  1,253   10,095
 
Fabege AB
  40,352   691,699
#
Fagerhult AB
  6,228   38,389
*
Fastighets AB Balder, Class B
  10,674   506,383
#
FastPartner AB
  4,214   44,450
 
Fenix Outdoor International AG
  665   71,021
#*
Fingerprint Cards AB, Class B
  28,611   50,643
 
Getinge AB, Class B
  33,210   565,574
 
GHP Specialty Care AB
  7,694   14,367
 
Granges AB
  22,945   211,962
 
Gunnebo AB
  17,460   45,408
 
Haldex AB
  5,613   28,490
 
Heba Fastighets AB, Class B
  4,931   45,256
#
Hennes & Mauritz AB, Class B
  69,084   1,515,688
 
Hexagon AB, Class B
  6,614   359,562
#
Hexpol AB
  67,205   605,848
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
SWEDEN — (Continued)
 
HIQ International AB
  11,519   $59,765
#
HMS Networks AB
  5,291   91,402
#*
Hoist Finance AB
  29,068   145,119
 
Holmen AB, Class B
  24,728   732,143
 
Hufvudstaden AB, Class A
  13,745   272,308
 
Humana AB
  3,327   21,352
 
Husqvarna AB, Class A
  3,992   30,036
 
Husqvarna AB, Class B
  66,629   502,168
 
ICA Gruppen AB
  11,768   517,432
 
Indutrade AB
  15,864   571,383
*
International Petroleum Corp.
  3,960   14,094
#
Intrum AB
  15,320   424,453
 
Inwido AB
  12,397   93,307
*
ITAB Shop Concept AB, Class B
  2,638   5,227
 
JM AB
  28,922   883,703
#
Kindred Group P.L.C.
  59,608   303,057
 
Klovern AB, Class B
  72,844   182,694
 
KNOW IT AB
  4,392   89,644
 
Kungsleden AB
  14,236   151,731
 
Lagercrantz Group AB, Class B
  11,274   183,148
#
Lifco AB, Class B
  4,465   263,324
 
Lindab International AB
  16,424   185,856
 
Loomis AB, Class B
  19,836   718,290
*
Medivir AB, Class B
  1,257   1,905
#*
Mekonomen AB
  3,321   27,727
#
Millicom International Cellular SA
  6,288   296,943
*
Modern Times Group MTG AB, Class B
  19,180   191,169
#
Momentum Group AB, Class B
  2,281   27,547
 
NCC AB, Class B
  8,343   155,854
 
Nederman Holding AB
  2,490   37,176
 
New Wave Group AB, Class B
  15,434   92,603
 
Nibe Industrier AB, Class B
  32,522   563,648
 
Nobia AB
  30,967   228,327
 
Nobina AB
  12,072   91,581
 
Nolato AB, Class B
  2,974   172,303
 
Nordic Entertainment Group AB, Class B
  11,337   344,006
 
NP3 Fastigheter AB
  2,467   31,990
*
Nyfosa AB
  18,473   180,827
 
OEM International AB, Class B
  1,863   47,153
 
Pandox AB
  15,811   352,548
 
Peab AB, Class B
  46,997   471,806
 
Platzer Fastigheter Holding AB, Class B
  6,068   72,103
 
Proact IT Group AB
  1,939   31,456
*
Qliro Group AB
  16,858   12,351
 
Ratos AB, Class B
  45,894   161,226
*
RaySearch Laboratories AB
  4,605   44,923
 
Resurs Holding AB
  22,500   124,528
 
Rottneros AB
  17,159   19,777
#
Saab AB, Class B
  20,804   675,460
 
Sagax AB, Class B
  10,276   158,064
 
Samhallsbyggnadsbolaget i Norden AB
  76,058   187,515
 
Samhallsbyggnadsbolaget i Norden AB
  8,047   29,743
 
Sandvik AB
  86,667   1,581,819
 
Scandic Hotels Group AB
  18,056   191,513
 
Sectra AB, Class B
  4,290   176,537
 
Securitas AB, Class B
  39,129   615,866
 
Semcon AB
  1,858   12,768
 
Sintercast AB
  1,534   32,028
 
Skandinaviska Enskilda Banken AB, Class A
  143,259   1,415,674
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
SWEDEN — (Continued)
#
Skandinaviska Enskilda Banken AB, Class C
  1,278   $13,501
 
Skanska AB, Class B
  41,142   952,302
 
SKF AB, Class A
  2,127   38,918
 
SKF AB, Class B
  53,346   976,478
#
SkiStar AB
  9,011   99,156
 
Svenska Cellulosa AB SCA, Class A
  3,383   34,655
 
Svenska Cellulosa AB SCA, Class B
  67,573   676,080
 
Svenska Handelsbanken AB, Class A
  99,057   970,482
 
Svenska Handelsbanken AB, Class B
  2,284   23,825
 
Sweco AB, Class B
  11,696   451,648
#
Swedbank AB, Class A
  76,796   1,179,105
#*
Swedish Orphan Biovitrum AB
  14,056   250,177
 
Systemair AB
  2,239   40,802
 
Telefonaktiebolaget LM Ericsson, Sponsored ADR
  67,310   529,057
 
Telefonaktiebolaget LM Ericsson, Class A
  3,084   25,961
 
Telefonaktiebolaget LM Ericsson, Class B
  58,155   457,239
 
Telia Co. AB
  265,372   1,134,849
 
Thule Group AB
  20,444   482,505
 
Trelleborg AB, Class B
  18,328   300,921
 
Troax Group AB
  8,044   109,049
 
Vitrolife AB
  8,912   186,838
 
Volvo AB, Class A
  28,237   483,014
 
Volvo AB, Class B
  187,504   3,205,143
 
Wallenstam AB, Class B
  41,187   539,333
 
Wihlborgs Fastigheter AB
  23,749   454,888
TOTAL SWEDEN
      51,127,729
SWITZERLAND — (7.9%)
#
ABB, Ltd., Sponsored ADR
  36,020   834,583
 
ABB, Ltd.
  96,906   2,256,159
 
Adecco Group AG
  48,303   2,829,983
*
Alcon, Inc.
  29,388   1,732,129
*
Alcon, Inc.
  4,130   243,991
 
Allreal Holding AG
  3,876   804,006
 
ALSO Holding AG
  1,680   274,286
#*
ams AG
  14,212   577,536
 
APG SGA SA
  280   81,192
 
Arbonia AG
  14,830   178,064
*
Aryzta AG
  147,438   147,796
 
Ascom Holding AG
  9,499   94,017
 
Baloise Holding AG
  10,434   1,885,201
 
Banque Cantonale de Geneve
  227   48,027
 
Banque Cantonale Vaudoise
  704   589,568
 
Belimo Holding AG
  105   736,201
 
Bellevue Group AG
  1,820   52,993
#
Berner Kantonalbank AG
  1,048   249,146
#
Bobst Group SA
  1,036   54,319
 
Bossard Holding AG, Class A
  1,691   245,632
 
Bucher Industries AG
  1,467   490,598
 
Burckhardt Compression Holding AG
  127   34,736
 
Burkhalter Holding AG
  1,938   154,411
 
Calida Holding AG
  610   22,916
 
Carlo Gavazzi Holding AG
  62   15,832
 
Cembra Money Bank AG
  5,216   609,918
 
Cicor Technologies, Ltd.
  223   13,491
 
Cie Financiere Richemont SA
  50,426   3,662,073
 
Cie Financiere Tradition SA
  384   43,841
#
Clariant AG
  18,034   405,941
 
Coltene Holding AG
  762   66,758
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
SWITZERLAND — (Continued)
 
Conzzeta AG
  174   $197,601
 
Credit Suisse Group AG
  142,149   1,797,467
#
Credit Suisse Group AG, Sponsored ADR
  50,589   637,927
 
Daetwyler Holding AG
  667   120,101
 
DKSH Holding AG
  9,958   513,680
 
dormakaba Holding AG
  598   376,013
*
Dottikon Es Holding AG
  19   12,061
 
Dufry AG
  11,609   1,006,378
 
EFG International AG
  19,566   121,088
 
Emmi AG
  401   388,846
 
EMS-Chemie Holding AG
  1,002   655,650
#
Feintool International Holding AG
  280   14,950
 
Flughafen Zurich AG
  4,499   781,625
 
Forbo Holding AG
  166   284,902
*
GAM Holding AG
  31,976   98,697
 
Geberit AG
  2,585   1,364,186
 
Georg Fischer AG
  708   694,319
 
Givaudan SA
  1,520   5,015,196
 
Gurit Holding AG
  97   146,796
 
Helvetia Holding AG
  10,042   1,443,598
 
Hiag Immobilien Holding AG
  90   10,131
#*
HOCHDORF Holding AG
  97   8,363
 
Huber & Suhner AG
  2,249   167,567
 
Hypothekarbank Lenzburg AG
  12   57,810
 
Implenia AG
  5,750   234,398
 
Inficon Holding AG
  294   226,580
 
Interroll Holding AG
  152   297,095
 
Intershop Holding AG
  174   112,027
 
Investis Holding SA
  523   46,923
 
Julius Baer Group, Ltd.
  47,849   2,390,901
 
Jungfraubahn Holding AG
  605   103,322
 
Kardex AG
  1,945   331,596
#
Komax Holding AG
  858   173,471
#
Kudelski SA
  3,540   19,196
 
Kuehne + Nagel International AG
  7,748   1,252,246
*
Lastminute.com NV
  1,128   51,787
 
LEM Holding SA
  52   78,560
 
Liechtensteinische Landesbank AG
  2,861   192,155
 
Logitech International SA
  16,981   760,704
#
Logitech International SA
  13,983   624,061
 
Luzerner Kantonalbank AG
  369   156,778
#*
Meier Tobler Group AG
  300   5,052
 
Metall Zug AG
  31   70,750
 
Mobilezone Holding AG
  10,058   114,096
 
Mobimo Holding AG
  1,642   529,873
 
Novartis AG, Sponsored ADR
  90,127   8,517,903
 
Novartis AG
  20,654   1,951,144
 
OC Oerlikon Corp. AG
  52,972   564,184
*
Orascom Development Holding AG
  912   13,358
 
Partners Group Holding AG
  2,519   2,306,028
 
Phoenix Mecano AG
  71   32,987
 
Plazza AG, Class A
  212   64,738
 
PSP Swiss Property AG
  7,360   1,112,883
 
Rieter Holding AG
  770   101,360
 
Roche Holding AG
  2,946   976,578
 
Roche Holding AG
  78,279   26,260,127
 
Schaffner Holding AG
  38   7,602
 
Schindler Holding AG
  2,923   726,724
*
Schmolz + Bickenbach AG
  87,913   18,728
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
SWITZERLAND — (Continued)
 
Schweiter Technologies AG
  221   $273,330
 
SFS Group AG
  2,906   270,806
 
SGS SA
  644   1,862,881
 
Sika AG
  25,404   4,568,284
 
Sonova Holding AG
  5,004   1,254,860
 
St Galler Kantonalbank AG
  671   319,504
 
Straumann Holding AG
  1,700   1,620,325
 
Sulzer AG
  4,021   443,469
 
Sunrise Communications Group AG
  12,390   1,023,211
 
Swatch Group AG (The)
  2,608   654,208
 
Swatch Group AG (The)
  4,992   242,672
 
Swiss Life Holding AG
  4,137   2,079,563
 
Swiss Prime Site AG
  13,709   1,673,666
 
Swiss Re AG
  30,563   3,451,140
 
Swisscom AG
  7,993   4,385,466
 
Swissquote Group Holding SA
  1,149   69,408
#
Temenos AG
  12,271   1,974,015
 
TX Group AG
  447   42,188
 
u-blox Holding AG
  1,030   92,418
 
UBS Group AG
  160,451   1,992,739
#*
UBS Group AG
  89,365   1,105,445
 
Valiant Holding AG
  2,309   237,404
 
Valora Holding AG
  845   224,837
 
Varia US Properties AG
  791   35,552
 
VAT Group AG
  6,785   1,024,176
 
Vaudoise Assurances Holding SA
  255   152,359
 
Vetropack Holding AG
  19   57,057
 
Vifor Pharma AG
  11,359   2,093,200
 
Vontobel Holding AG
  8,164   568,756
 
VP Bank AG
  787   134,780
 
VZ Holding AG
  330   116,735
 
Walliser Kantonalbank
  563   65,191
 
Warteck Invest AG
  17   38,433
 
Ypsomed Holding AG
  484   70,262
 
Zehnder Group AG
  1,165   55,267
 
Zug Estates Holding AG, Class B
  18   44,642
 
Zuger Kantonalbank AG
  11   74,845
 
Zurich Insurance Group AG
  12,748   5,291,920
TOTAL SWITZERLAND
      125,461,225
THAILAND — (0.0%)
*
Mermaid Maritime PCL
  138,700   9,469
UNITED ARAB EMIRATES — (0.0%)
*
Borr Drilling Ltd.
  1,454   7,526
*
Borr Drilling, Ltd.
  1,000   5,290
TOTAL UNITED ARAB EMIRATES
      12,816
UNITED KINGDOM — (14.4%)
 
3i Group P.L.C.
  140,449   2,043,079
 
4imprint Group P.L.C.
  4,476   195,609
 
888 Holdings P.L.C.
  90,612   161,064
 
A.G. Barr P.L.C.
  22,081   176,375
 
AA P.L.C.
  107,961   68,175
 
Admiral Group P.L.C.
  27,650   823,181
 
Advanced Medical Solutions Group PLC
  9,681   36,004
 
Air Partner P.L.C.
  8,770   8,705
 
Alliance Pharma P.L.C.
  25,622   29,373
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
UNITED KINGDOM — (Continued)
 
Antofagasta P.L.C.
  27,235   $294,186
 
Arrow Global Group P.L.C.
  31,377   109,792
 
Ascential P.L.C.
  6,615   31,799
 
Ashmore Group P.L.C.
  53,133   380,018
 
Ashtead Group P.L.C.
  57,463   1,854,785
*
ASOS P.L.C.
  8,001   323,654
 
AstraZeneca P.L.C., Sponsored ADR
  164,488   8,010,566
 
AstraZeneca P.L.C.
  26,371   2,579,810
 
Auto Trader Group P.L.C.
  296,427   2,187,270
 
AVEVA Group P.L.C.
  6,218   403,204
 
Aviva P.L.C.
  414,412   2,171,724
 
Avon Rubber P.L.C.
  5,565   182,824
 
B&M European Value Retail SA
  227,245   1,089,631
 
Babcock International Group P.L.C.
  127,359   988,179
 
BAE Systems P.L.C.
  276,865   2,301,567
 
Balfour Beatty P.L.C.
  110,527   387,217
 
Barclays P.L.C., Sponsored ADR
  146,529   1,289,455
 
Barclays P.L.C.
  12,130   26,787
 
Barratt Developments P.L.C.
  277,389   2,936,864
 
Beazley P.L.C.
  103,173   736,314
 
Bellway P.L.C.
  44,688   2,351,298
 
Berkeley Group Holdings P.L.C.
  46,826   3,234,096
 
Bloomsbury Publishing P.L.C.
  15,520   58,108
*
Boohoo Group P.L.C.
  154,696   616,730
 
Braemar Shipping Services P.L.C.
  3,084   8,417
 
Brewin Dolphin Holdings P.L.C.
  64,194   305,165
 
Britvic P.L.C.
  78,349   955,969
 
BT Group P.L.C.
  1,222,809   2,594,970
 
Bunzl P.L.C.
  31,462   814,874
 
Burberry Group P.L.C.
  49,707   1,274,507
 
Burford Capital, Ltd.
  26,785   222,478
 
Camellia P.L.C.
  85   9,592
*
Capita P.L.C.
  398,845   765,292
 
Capital & Counties Properties P.L.C.
  114,733   368,170
 
Card Factory P.L.C.
  76,217   88,940
 
CareTech Holdings P.L.C.
  7,464   45,026
 
Castings P.L.C.
  1,710   9,677
 
Centamin P.L.C.
  79,875   143,258
 
Central Asia Metals P.L.C.
  9,745   26,011
 
Chemring Group P.L.C.
  40,377   144,866
 
Chesnara P.L.C.
  24,800   106,587
 
Cineworld Group P.L.C.
  54,976   128,319
*
Circassia Pharmaceuticals P.L.C.
  9,031   3,289
 
City of London Investment Group P.L.C.
  5,275   31,256
 
Clarkson P.L.C.
  6,438   247,968
*
Clinigen Healthcare, Ltd.
  5,482   70,197
 
Clipper Logistics P.L.C.
  5,073   17,355
 
Close Brothers Group P.L.C.
  20,483   382,380
 
CLS Holdings P.L.C.
  25,272   90,352
 
CMC Markets P.L.C.
  8,404   17,374
 
Coca-Cola HBC AG
  15,097   554,546
 
Compass Group P.L.C.
  209,617   5,182,189
 
Computacenter P.L.C.
  29,567   699,580
 
Connect Group P.L.C.
  19,006   8,624
 
ConvaTec Group P.L.C.
  205,941   564,186
 
Costain Group P.L.C.
  23,192   59,747
 
Countryside Properties P.L.C.
  52,840   339,879
*
Countrywide P.L.C.
  5,174   25,921
 
Crest Nicholson Holdings P.L.C.
  98,480   649,138
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
UNITED KINGDOM — (Continued)
 
Croda International P.L.C.
  16,660   $1,094,027
 
Daejan Holdings P.L.C.
  679   46,588
 
Daily Mail & General Trust P.L.C., Class A
  12,203   130,956
 
DCC P.L.C.
  18,069   1,458,926
 
De La Rue P.L.C.
  10,460   19,348
 
DFS Furniture P.L.C.
  17,815   65,529
 
Diageo P.L.C., Sponsored ADR
  34,361   5,427,320
 
Diageo P.L.C.
  21,285   841,675
*
Dialight P.L.C.
  4,837   16,870
 
Dignity P.L.C.
  10,046   75,838
 
Diploma P.L.C.
  37,582   967,704
 
Direct Line Insurance Group P.L.C.
  292,902   1,304,543
 
DiscoverIE Group P.L.C.
  8,544   64,445
 
Dixons Carphone P.L.C.
  264,943   473,437
 
Domino's Pizza Group P.L.C.
  78,868   321,212
 
DS Smith P.L.C.
  265,414   1,189,976
 
Dunelm Group P.L.C.
  20,893   320,121
*
EI Group P.L.C.
  136,802   513,692
*
EKF Diagnostics Holdings P.L.C.
  32,850   14,480
 
Electrocomponents P.L.C.
  162,452   1,419,151
 
Elementis P.L.C.
  84,946   143,172
 
EMIS Group P.L.C.
  15,914   241,548
 
Equiniti Group P.L.C.
  51,020   137,731
 
Euromoney Institutional Investor P.L.C.
  12,612   203,949
 
Experian P.L.C.
  161,445   5,619,572
 
FDM Group Holdings P.L.C.
  19,214   248,879
 
Ferguson P.L.C.
  26,130   2,346,504
 
Fevertree Drinks P.L.C.
  9,145   166,025
 
Findel P.L.C.
  11,005   34,150
 
Flowtech Fluidpower P.L.C.
  100   127
 
Forterra P.L.C.
  20,601   89,514
*
Foxtons Group P.L.C.
  63,166   69,374
*
Frasers Group P.L.C.
  52,315   325,299
 
Fresnillo P.L.C.
  6,976   60,936
*
Frontier Developments PLC
  2,182   40,721
 
Fuller Smith & Turner P.L.C., Class A
  2,424   30,619
 
G4S P.L.C.
  428,171   1,101,883
 
Galliford Try Holdings P.L.C.
  39,337   77,352
 
Games Workshop Group P.L.C.
  5,889   514,677
*
Gamesys Group P.L.C.
  9,416   92,183
 
Gamma Communications P.L.C.
  3,270   60,278
*
Gem Diamonds, Ltd.
  5,103   4,147
 
Genel Energy P.L.C.
  10,760   26,043
 
GlaxoSmithKline P.L.C., Sponsored ADR
  97,843   4,579,052
 
GlaxoSmithKline P.L.C.
  44,054   1,034,362
 
Go-Ahead Group P.L.C. (The)
  6,469   174,357
 
GoCo Group P.L.C.
  92,274   113,765
 
Grafton Group P.L.C.
  35,012   425,094
 
Grainger P.L.C.
  142,942   558,113
 
Greencore Group P.L.C.
  64,452   208,496
 
Greggs P.L.C.
  15,413   458,024
 
GVC Holdings P.L.C.
  48,438   560,075
 
Gym Group P.L.C. (The)
  17,371   67,856
 
H&T Group P.L.C.
  3,020   15,002
 
Halfords Group P.L.C.
  38,780   83,743
 
Halma P.L.C.
  66,845   1,855,381
 
Hargreaves Lansdown P.L.C.
  32,088   728,382
 
Hastings Group Holdings P.L.C.
  62,561   148,624
 
Hays P.L.C.
  509,010   1,040,953
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
UNITED KINGDOM — (Continued)
 
Headlam Group P.L.C.
  8,074   $55,623
 
Helical P.L.C.
  24,911   157,451
 
Henry Boot P.L.C.
  10,910   47,705
 
Highland Gold Mining, Ltd.
  21,222   58,714
 
Hikma Pharmaceuticals P.L.C.
  11,623   280,665
 
Hill & Smith Holdings P.L.C.
  25,232   472,021
 
Hilton Food Group P.L.C.
  14,355   199,187
 
Hiscox, Ltd.
  32,436   561,164
 
Hochschild Mining P.L.C.
  85,469   189,902
 
Hollywood Bowl Group P.L.C.
  15,599   60,195
 
HomeServe P.L.C.
  80,610   1,362,173
*
Horizon Discovery Group P.L.C.
  6,652   13,905
 
Howden Joinery Group P.L.C.
  173,548   1,574,409
 
HSBC Holdings P.L.C.
  104,147   757,168
 
HSBC Holdings P.L.C., Sponsored ADR
  113,344   4,113,254
 
Hunting P.L.C.
  49,968   201,735
 
Huntsworth P.L.C.
  53,180   45,797
 
Hyve Group P.L.C.
  124,661   161,948
 
Ibstock P.L.C.
  3,136   12,032
*
IDOX P.L.C.
  54,547   25,885
 
IG Group Holdings P.L.C.
  55,133   482,747
 
IMI P.L.C.
  77,374   1,124,695
 
Inchcape P.L.C.
  161,146   1,396,693
*
Indivior P.L.C.
  286,318   143,128
 
Informa P.L.C.
  121,553   1,241,667
 
Intermediate Capital Group P.L.C.
  31,430   720,838
 
Intertek Group P.L.C.
  17,931   1,360,569
 
Investec P.L.C.
  64,888   358,046
 
iomart Group P.L.C.
  17,607   88,436
*
IP Group P.L.C.
  87,863   79,868
 
ITV P.L.C.
  1,074,921   1,915,089
 
IWG P.L.C.
  131,858   767,582
 
J D Wetherspoon P.L.C.
  4,432   90,666
 
J Sainsbury P.L.C.
  399,900   1,066,635
 
James Fisher & Sons P.L.C.
  5,991   155,809
 
JD Sports Fashion P.L.C.
  98,001   1,059,803
 
John Laing Group P.L.C.
  85,392   399,405
 
John Menzies P.L.C.
  20,176   114,811
 
John Wood Group P.L.C.
  226,823   1,122,749
 
Johnson Matthey P.L.C.
  44,833   1,537,147
 
Johnson Service Group P.L.C.
  47,104   130,757
 
Joules Group P.L.C.
  3,174   7,838
 
Jupiter Fund Management P.L.C.
  136,394   692,012
*
Just Eat P.L.C.
  47,889   543,514
*
Just Group P.L.C.
  375,009   385,567
 
Kainos Group P.L.C.
  19,261   200,137
 
Keller Group P.L.C.
  9,688   106,590
#
Kier Group P.L.C.
  14,760   17,447
 
Kin & Carta P.L.C.
  19,522   28,649
 
Kingfisher P.L.C.
  360,928   969,004
*
Lamprell P.L.C.
  62,289   27,760
 
Lancashire Holdings, Ltd.
  33,735   333,123
 
Legal & General Group P.L.C.
  980,568   3,943,750
*
Liberty Global P.L.C., Class A
  1,556   31,920
*
Liberty Global P.L.C., Class C
  3,809   74,199
 
Liontrust Asset Management P.L.C.
  5,398   95,934
 
Lloyds Banking Group P.L.C.
  5,449,981   4,068,596
 
London Stock Exchange Group P.L.C.
  14,802   1,529,650
 
Lookers P.L.C.
  86,054   62,966
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
UNITED KINGDOM — (Continued)
 
Low & Bonar P.L.C.
  37,908   $6,480
 
LSL Property Services P.L.C.
  4,773   19,297
 
Luceco P.L.C.
  20,795   38,480
 
M&C Saatchi P.L.C.
  1,389   1,831
*
M&G P.L.C.
  72,434   228,569
 
Macfarlane Group P.L.C.
  9,978   14,234
 
Man Group P.L.C.
  216,372   438,532
 
Marks & Spencer Group P.L.C.
  322,926   748,844
 
Marshalls P.L.C.
  66,630   694,282
 
McBride P.L.C.
  25,127   20,715
 
McCarthy & Stone P.L.C.
  89,034   173,385
 
Mears Group P.L.C.
  16,036   64,492
 
Mediclinic International P.L.C.
  40,480   196,878
 
Meggitt P.L.C.
  112,222   998,336
 
Melrose Industries P.L.C.
  349,984   1,072,593
 
Micro Focus International P.L.C., Sponsored ADR
  10,594   141,959
 
Micro Focus International P.L.C.
  44,294   594,850
 
Midwich Group P.L.C.
  2,793   19,488
*
Mitchells & Butlers P.L.C.
  5,084   26,808
 
Mitie Group P.L.C.
  84,389   147,581
 
MJ Gleeson P.L.C.
  2,377   30,065
 
Mondi P.L.C.
  17,403   354,095
 
Moneysupermarket.com Group P.L.C.
  157,908   677,828
 
Morgan Sindall Group P.L.C.
  14,236   343,761
 
Morses Club P.L.C.
  11,858   19,754
 
Mortgage Advice Bureau Holdings, Ltd.
  3,226   33,514
 
Motorpoint group P.L.C.
  4,035   16,785
 
N Brown Group P.L.C.
  33,268   35,925
 
NAHL Group P.L.C.
  7,284   9,242
 
Naked Wines P.L.C.
  6,930   19,162
 
National Grid P.L.C.
  94,056   1,249,690
#
National Grid P.L.C., Sponsored ADR
  18,947   1,255,835
 
NCC Group P.L.C.
  33,676   95,420
 
Next Fifteen Communications Group P.L.C.
  7,500   50,073
 
Next P.L.C.
  15,975   1,451,799
 
NMC Health P.L.C.
  10,120   172,103
 
Non-Standard Finance P.L.C.
  28,755   10,813
#
Northgate P.L.C.
  38,316   134,681
 
Numis Corp. P.L.C.
  3,080   11,608
*
Ocado Group P.L.C.
  27,188   438,371
 
On the Beach Group P.L.C.
  38,602   198,790
 
OneSavings Bank P.L.C.
  61,867   347,879
 
Oxford Instruments P.L.C.
  12,162   247,337
 
Pagegroup P.L.C.
  156,604   943,397
 
Palace Capital P.L.C.
  3,742   16,189
 
Paragon Banking Group P.L.C.
  40,154   269,087
 
Park Group P.L.C.
  10,000   7,751
 
PayPoint P.L.C.
  20,904   275,187
 
Pearson P.L.C.
  23,118   172,551
#
Pearson P.L.C., Sponsored ADR
  26,877   199,427
 
Pendragon P.L.C.
  479,754   78,102
 
Persimmon P.L.C.
  46,715   1,880,657
 
Petrofac, Ltd.
  104,155   479,110
*
Petropavlovsk P.L.C.
  139,668   33,471
 
Pets at Home Group P.L.C.
  108,145   402,101
 
Pharos Energy P.L.C.
  16,446   9,876
 
Phoenix Group Holdings P.L.C.
  110,323   1,101,307
 
Photo-Me International P.L.C.
  46,978   55,596
 
Playtech P.L.C.
  68,804   312,815
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
UNITED KINGDOM — (Continued)
 
Polar Capital Holdings P.L.C.
  9,530   $73,510
 
Polypipe Group P.L.C.
  19,552   139,552
 
Porvair P.L.C.
  1,478   15,318
 
PPHE Hotel Group, Ltd.
  317   8,369
*
Premier Foods P.L.C.
  134,320   64,108
 
Premier Miton Group P.L.C.
  2,365   5,206
 
Provident Financial P.L.C.
  23,992   146,983
 
Prudential P.L.C., ADR
  46,418   1,650,624
 
Prudential P.L.C.
  58,867   1,046,677
*
PureTech Health P.L.C.
  10,633   43,436
 
PZ Cussons P.L.C.
  23,846   60,773
 
QinetiQ Group P.L.C.
  79,137   367,627
 
Quilter P.L.C.
  190,011   425,485
 
Rank Group P.L.C.
  14,277   53,808
 
Rathbone Brothers P.L.C.
  6,096   158,115
*
Raven Property Group, Ltd.
  4,297   2,838
 
Reach P.L.C.
  73,377   128,456
 
Reckitt Benckiser Group P.L.C.
  35,933   2,974,293
 
Redde P.L.C.
  17,928   23,211
 
Redrow P.L.C.
  63,190   662,206
 
RELX P.L.C., Sponsored ADR
  140,082   3,717,771
 
RELX P.L.C.
  28,808   764,329
 
RELX P.L.C.
  62,004   1,641,305
 
Renew Holdings P.L.C.
  6,925   45,740
 
Renishaw P.L.C.
  7,437   389,339
 
Rentokil Initial P.L.C.
  346,789   2,135,722
 
Restaurant Group P.L.C. (The)
  55,831   94,872
 
Rhi Magnesita NV
  742   31,231
 
Ricardo P.L.C.
  3,720   37,738
 
Rightmove P.L.C.
  228,405   1,979,481
 
Rio Tinto P.L.C.
  17,583   940,237
 
Rio Tinto P.L.C., Sponsored ADR
  4,511   241,023
 
RM P.L.C.
  13,317   50,012
 
Robert Walters P.L.C.
  11,135   88,573
 
Rolls-Royce Holdings P.L.C.
  138,435   1,219,381
 
Rotork P.L.C.
  260,108   1,042,229
 
Royal Mail P.L.C.
  201,236   526,008
 
RPS Group P.L.C.
  59,729   137,097
 
RSA Insurance Group P.L.C.
  177,014   1,284,284
 
Sage Group P.L.C. (The)
  135,956   1,323,618
*
Savannah Petroleum P.L.C.
  50,826   11,929
 
Savills P.L.C.
  51,198   839,286
 
Schroders P.L.C.
  11,410   483,093
 
Schroders P.L.C.
  4,919   161,429
 
ScS Group P.L.C.
  3,909   12,505
 
SDL P.L.C.
  11,334   92,258
 
Secure Trust Bank P.L.C.
  32   676
 
Senior P.L.C.
  58,566   128,868
 
Severfield P.L.C.
  32,226   36,607
 
Severn Trent P.L.C.
  60,977   2,075,021
 
SIG P.L.C.
  79,851   97,352
 
Signature Aviation P.L.C.
  147,795   566,734
#
Smart Metering Systems P.L.C.
  6,524   44,307
#
Smith & Nephew P.L.C., Sponsored ADR
  31,573   1,515,820
 
Smith & Nephew P.L.C.
  32,916   791,989
 
Smiths Group P.L.C.
  73,894   1,643,018
 
Softcat P.L.C.
  37,234   567,000
 
Sophos Group P.L.C.
  57,804   424,631
 
Spectris P.L.C.
  15,429   537,238
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
UNITED KINGDOM — (Continued)
 
Speedy Hire P.L.C.
  96,090   $100,958
 
Spirax-Sarco Engineering P.L.C.
  10,239   1,202,830
 
Spire Healthcare Group P.L.C.
  64,913   112,464
 
Spirent Communications P.L.C.
  75,291   219,940
 
SSE P.L.C.
  142,042   2,827,456
 
SSP Group P.L.C.
  90,930   771,741
 
St James's Place P.L.C.
  203,076   3,054,199
 
St. Modwen Properties P.L.C.
  68,809   447,039
 
Standard Chartered P.L.C.
  133,701   1,111,782
 
Standard Life Aberdeen P.L.C.
  214,711   853,136
 
SThree P.L.C.
  39,562   190,207
#
Strix Group P.L.C.
  8,429   20,130
 
STV Group P.L.C.
  2,401   13,256
 
Superdry P.L.C.
  5,843   29,501
 
Synthomer P.L.C.
  91,855   409,098
 
T Clarke P.L.C.
  8,800   15,409
#
TalkTalk Telecom Group P.L.C.
  143,084   223,562
 
Taylor Wimpey P.L.C.
  1,116,811   3,167,749
 
Ted Baker P.L.C.
  9,460   28,069
 
Telecom Plus P.L.C.
  22,045   438,929
 
Tesco P.L.C.
  821,298   2,671,286
 
Topps Tiles P.L.C.
  28,998   29,776
 
TP ICAP P.L.C.
  49,404   258,331
 
Travis Perkins P.L.C.
  42,101   859,995
 
Trifast P.L.C.
  3,680   9,286
 
TT Electronics P.L.C.
  12,853   40,232
 
Tullow Oil P.L.C.
  132,902   88,160
 
Tyman P.L.C.
  7,295   26,221
 
U & I Group P.L.C.
  24,590   58,097
 
UDG Healthcare P.L.C.
  9,941   98,329
 
Ultra Electronics Holdings P.L.C.
  18,001   536,126
 
Unilever P.L.C., Sponsored ADR
  76,090   4,547,899
 
Unilever P.L.C.
  29,087   1,735,078
 
United Utilities Group P.L.C.
  171,289   2,291,968
 
Urban & Civic P.L.C.
  18,086   86,622
 
Vectura Group P.L.C.
  150,957   187,088
 
Vertu Motors P.L.C.
  52,520   25,310
 
Vesuvius P.L.C.
  11,339   65,121
 
Victrex P.L.C.
  28,068   819,044
 
Vistry Group P.L.C.
  59,844   1,089,408
 
Vitec Group P.L.C. (The)
  6,947   94,187
 
Vodafone Group P.L.C., Sponsored ADR
  112,520   2,206,521
 
Volution Group P.L.C.
  4,505   14,378
 
Vp P.L.C.
  2,417   31,746
 
Watkin Jones P.L.C.
  55,310   180,364
 
Weir Group P.L.C (The)
  39,190   695,476
 
WH Smith P.L.C.
  23,802   749,827
#
Whitbread P.L.C.
  8,605   507,255
 
William Hill P.L.C.
  284,422   649,501
 
Wilmington P.L.C.
  6,622   21,312
 
Wincanton P.L.C.
  12,368   48,090
 
Wm Morrison Supermarkets P.L.C.
  458,557   1,099,535
#
WPP P.L.C., Sponsored ADR
  6,805   422,999
 
WPP P.L.C.
  147,665   1,836,000
*
Xaar P.L.C.
  3,874   1,994
 
XP Power, Ltd.
  2,475   116,907
 
Young & Co's Brewery P.L.C., Class A
  299   6,113
International Sustainability Core 1 Portfolio
CONTINUED
      Shares   Value»
UNITED KINGDOM — (Continued)
 
Zotefoams P.L.C.
  1,500   $8,376
TOTAL UNITED KINGDOM
      227,632,618
TOTAL COMMON STOCKS
      1,526,671,445
PREFERRED STOCKS — (0.3%)
GERMANY — (0.3%)
 
Bayerische Motoren Werke AG
  7,616   424,524
 
Biotest AG
  2,084   49,448
 
Draegerwerk AG & Co. KGaA
  2,212   128,970
 
Fuchs Petrolub SE
  21,782   965,349
 
Henkel AG & Co. KGaA
  11,183   1,137,338
 
Jungheinrich AG
  17,755   389,839
 
Porsche Automobil Holding SE
  13,005   876,939
 
Sartorius AG
  5,372   1,250,138
 
Schaeffler AG
  6,250   62,351
 
Sixt SE
  4,660   323,238
 
STO SE & Co. KGaA
  507   59,437
 
Villeroy & Boch AG
  866   14,692
TOTAL GERMANY
      5,682,263
RIGHTS/WARRANTS — (0.0%)
AUSTRALIA — (0.0%)
*
Emeco Holdings, Ltd. Rights 02/14/20
  7,932   1,168
AUSTRIA — (0.0%)
*
Intercell AG Rights 05/16/13
  265   0
CANADA — (0.0%)
*
Pan American Silver Corp. Rights 02/22/29
  39,567   26,114
*
Pan American Silver Corp. Rights 02/22/29
  1,089   719
*
Tervita Corp. Warrants 07/19/20
  171   2
TOTAL CANADA
      26,835
HONG KONG — (0.0%)
*
Guotai Junan International Holdings Ltd. Rights 09/03/20
  212,333   0
NORWAY — (0.0%)
*
XXL ASA Rights 10/25/19
  884   0
SINGAPORE — (0.0%)
*
Ezion Holdings, Ltd. Warrants 04/16/23
  210,168   0
TOTAL RIGHTS/WARRANTS
      28,003
TOTAL INVESTMENT SECURITIES

(Cost $1,358,753,647)
      1,532,381,711
    
        Value†
SECURITIES LENDING COLLATERAL — (3.2%)
@§
The DFA Short Term Investment Fund
  4,334,935 50,163,873
TOTAL INVESTMENTS — (100.0%)  
(Cost $1,409,151,258)^^
    $1,582,545,584
International Sustainability Core 1 Portfolio
CONTINUED
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Common Stocks              
Australia
$227,383   $83,641,031   —   $83,868,414
Austria
—   4,758,032   —   4,758,032
Belgium
637,657   14,257,533   —   14,895,190
Canada
120,489,109   330,889   —   120,819,998
China
—   275,814   —   275,814
Denmark
892,072   36,610,128   —   37,502,200
Finland
—   27,338,321   —   27,338,321
France
256,761   142,904,862   —   143,161,623
Germany
3,072,540   108,983,243   —   112,055,783
Hong Kong
61,579   28,150,477   —   28,212,056
Ireland
—   8,681,091   —   8,681,091
Israel
1,070,436   6,138,356   —   7,208,792
Italy
2,971,210   33,876,051   —   36,847,261
Japan
4,746,260   358,962,779   —   363,709,039
Netherlands
13,175,867   52,122,368   —   65,298,235
New Zealand
18,031   5,950,793   —   5,968,824
Norway
5,464   12,823,828   —   12,829,292
Portugal
—   2,651,760   —   2,651,760
Singapore
—   12,248,971   —   12,248,971
Spain
662,200   33,434,692   —   34,096,892
Sweden
543,151   50,584,578   —   51,127,729
Switzerland
13,452,048   112,009,177   —   125,461,225
Thailand
—   9,469   —   9,469
United Arab Emirates
5,290   7,526   —   12,816
United Kingdom
39,425,644   188,206,974   —   227,632,618
Preferred Stocks              
Germany
—   5,682,263   —   5,682,263
Rights/Warrants              
Australia
—   1,168   —   1,168
Canada
—   26,835   —   26,835
Securities Lending Collateral
—   50,163,873   —   50,163,873
TOTAL
$201,712,702   $1,380,832,882   —   $1,582,545,584
International Social Core Equity Portfolio
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
      Shares   Value»
COMMON STOCKS — (95.4%)
AUSTRALIA — (6.3%)
*
3P Learning, Ltd.
  16,060   $9,023
 
Accent Group, Ltd.
  70,772   79,561
 
Adairs, Ltd.
  37,884   55,946
 
Adelaide Brighton, Ltd.
  115,220   278,247
 
AGL Energy, Ltd.
  27,789   368,794
#
Alliance Aviation Services, Ltd.
  20,675   36,000
 
ALS, Ltd.
  26,814   171,360
 
Altium, Ltd.
  17,452   455,439
 
Alumina, Ltd.
  21,958   31,625
 
AMA Group, Ltd.
  98,167   59,533
#*
Amaysim Australia, Ltd.
  22,467   5,069
 
AMP, Ltd.
  548,508   661,883
 
Ansell, Ltd.
  3,452   72,966
 
AP Eagers, Ltd.
  28,704   170,924
 
APA Group
  49,995   375,393
 
Appen, Ltd.
  8,169   134,680
 
ARB Corp., Ltd.
  10,014   123,141
*
Ardent Leisure Group, Ltd.
  88,209   82,694
 
ARQ Group, Ltd.
  18,865   4,547
*
Asaleo Care, Ltd.
  73,732   53,163
 
ASX, Ltd.
  2,768   156,602
 
Atlas Arteria, Ltd.
  43,358   233,502
 
Aurelia Metals, Ltd.
  153,576   45,281
 
Aurizon Holdings, Ltd.
  294,911   1,057,110
 
AusNet Services
  182,628   215,213
 
Australia & New Zealand Banking Group, Ltd.
  92,308   1,571,300
*
Australian Agricultural Co., Ltd.
  85,892   63,834
 
Australian Finance Group, Ltd.
  30,768   58,368
 
Australian Pharmaceutical Industries, Ltd.
  117,548   102,800
 
Auswide Bank, Ltd.
  3,299   13,563
 
AVJennings, Ltd.
  17,132   6,961
 
Bank of Queensland, Ltd.
  115,544   587,436
 
Bapcor, Ltd.
  50,752   212,110
*
Base Resources, Ltd.
  44,322   6,923
 
Beach Energy, Ltd.
  600,978   1,048,320
#
Bega Cheese, Ltd.
  46,107   133,590
 
Bell Financial Group, Ltd.
  31,306   28,506
 
Bendigo & Adelaide Bank, Ltd.
  83,865   579,074
 
BHP Group, Ltd.
  207,542   5,322,186
 
BHP Group, Ltd., Sponsored ADR
  254   12,982
 
Bingo Industries, Ltd.
  50,056   92,434
#
Blackmores, Ltd.
  1,997   118,431
 
BlueScope Steel, Ltd.
  133,346   1,247,981
 
Boral, Ltd.
  176,437   581,457
 
Brambles, Ltd.
  60,252   503,250
 
Bravura Solutions, Ltd.
  33,088   119,808
 
Breville Group, Ltd.
  14,081   173,463
 
Brickworks, Ltd.
  17,876   236,286
#
BWX, Ltd.
  26,598   73,580
 
Caltex Australia, Ltd.
  61,622   1,405,228
 
Capitol Health, Ltd.
  106,977   18,501
*
Cardno, Ltd.
  56,221   14,784
 
carsales.com, Ltd.
  42,540   484,211
*
Cash Converters International, Ltd.
  147,100   22,493
 
Cedar Woods Properties, Ltd.
  15,777   84,019
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
AUSTRALIA — (Continued)
 
Centuria Capital Group
  52,877   $86,249
 
Centuria Capital Group.
  4,030   6,609
 
Challenger, Ltd.
  74,799   442,840
 
CIMIC Group, Ltd.
  6,079   117,624
#
Citadel Group, Ltd. (The)
  6,156   19,565
 
Class, Ltd.
  5,320   7,203
 
Cleanaway Waste Management, Ltd.
  424,996   573,987
#
Clinuvel Pharmaceuticals, Ltd.
  2,420   44,223
 
Coca-Cola Amatil, Ltd.
  59,737   474,665
 
Cochlear, Ltd.
  4,925   784,386
 
Codan, Ltd.
  39,633   201,643
 
Coles Group, Ltd.
  87,420   959,263
#
Collection House, Ltd.
  41,771   29,674
 
Collins Foods, Ltd.
  35,393   201,276
 
Commonwealth Bank of Australia
  56,784   3,214,968
 
Computershare, Ltd.
  41,627   491,534
#*
Cooper Energy, Ltd.
  270,180   100,724
#
Corporate Travel Management, Ltd.
  12,621   148,337
#
Costa Group Holdings, Ltd.
  18,227   33,173
 
Credit Corp. Group, Ltd.
  17,246   405,292
*
CSG, Ltd.
  39,609   8,093
 
CSR, Ltd.
  148,769   476,924
 
Data#3, Ltd.
  13,503   40,482
 
Decmil Group, Ltd.
  45,323   12,327
 
Dicker Data, Ltd.
  9,917   44,474
 
Domain Holdings Australia, Ltd.
  48,556   121,682
#
Domino's Pizza Enterprises, Ltd.
  10,129   368,227
 
Downer EDI, Ltd.
  134,280   657,777
 
DWS, Ltd.
  4,748   3,418
*
Eclipx Group, Ltd.
  76,114   80,716
 
Elders, Ltd.
  23,286   114,579
*
EML Payments, Ltd.
  24,570   85,155
#*
Energy World Corp., Ltd.
  19,261   919
 
Estia Health, Ltd.
  58,859   96,162
 
EVENT Hospitality and Entertainment, Ltd.
  23,426   201,366
 
Evolution Mining, Ltd.
  220,024   555,303
*
FAR, Ltd.
  281,998   7,698
#
Finbar Group, Ltd.
  8,281   4,768
*
Fleetwood Corp., Ltd.
  19,034   26,575
 
FlexiGroup, Ltd.
  25,812   35,841
 
Flight Centre Travel Group, Ltd.
  10,111   263,347
#
Fortescue Metals Group, Ltd.
  325,178   2,408,862
 
G8 Education, Ltd.
  107,070   135,810
#*
Galaxy Resources, Ltd.
  17,015   11,436
*
Gascoyne Resources, Ltd.
  18,229   178
 
Genworth Mortgage Insurance Australia, Ltd.
  57,287   139,617
#
Grange Resources, Ltd.
  136,583   21,407
*
Greenland Minerals, Ltd.
  279,308   23,037
 
GTN, Ltd.
  1,005   545
#
GUD Holdings, Ltd.
  13,326   105,977
#
GWA Group, Ltd.
  65,361   155,242
 
Hansen Technologies, Ltd.
  27,679   67,623
#
Harvey Norman Holdings, Ltd.
  143,732   403,351
#
Helloworld Travel, Ltd.
  6,051   17,044
#
HT&E, Ltd.
  48,303   54,906
 
Huon Aquaculture Group, Ltd.
  6,086   18,286
 
IDP Education, Ltd.
  24,578   286,123
 
IGO, Ltd.
  134,830   544,540
 
Iluka Resources, Ltd.
  140,618   899,407
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
AUSTRALIA — (Continued)
 
Imdex, Ltd.
  101,591   $98,196
 
Incitec Pivot, Ltd.
  269,701   585,588
 
Infigen Energy
  206,596   108,462
 
Infomedia, Ltd.
  63,939   86,660
#
Inghams Group, Ltd.
  48,683   114,400
 
Insurance Australia Group, Ltd.
  166,290   781,913
*
Intega Group, Ltd.
  56,221   16,075
 
Integral Diagnostics, Ltd.
  14,290   38,437
 
Integrated Research, Ltd.
  9,550   18,753
#
InvoCare, Ltd.
  22,275   198,526
#
IOOF Holdings, Ltd.
  56,879   296,380
 
IPH, Ltd.
  39,526   239,271
 
IRESS, Ltd.
  24,374   225,210
#*
iSelect, Ltd.
  55,125   18,618
*
iSentia Group, Ltd.
  47,120   8,119
 
IVE Group, Ltd.
  23,613   36,436
 
James Hardie Industries P.L.C.
  37,005   778,058
#
Japara Healthcare, Ltd.
  51,658   33,286
#
JB Hi-Fi, Ltd.
  38,033   1,000,194
#
Jumbo Interactive, Ltd.
  6,105   53,839
 
Jupiter Mines, Ltd.
  226,652   43,601
*
Karoon Energy, Ltd.
  127,496   97,736
*
Kingsgate Consolidated, Ltd.
  33,671   12,728
#
Kogan.com, Ltd.
  4,259   14,517
 
LendLease Group
  60,690   728,903
 
Lifestyle Communities, Ltd.
  17,655   107,394
 
Link Administration Holdings, Ltd.
  101,775   458,609
 
Lovisa Holdings, Ltd.
  9,718   71,608
*
Lucapa Diamond Co., Ltd.
  15,354   1,125
*
Lynas Corp., Ltd.
  137,257   199,335
 
MACA, Ltd.
  65,560   41,882
 
Macmahon Holdings, Ltd.
  237,156   43,537
 
Macquarie Group, Ltd.
  13,573   1,296,931
 
Magellan Financial Group, Ltd.
  15,570   685,692
#*
Mayne Pharma Group, Ltd.
  206,742   62,040
 
McMillan Shakespeare, Ltd.
  27,118   231,902
 
McPherson's, Ltd.
  30,743   55,443
 
Medibank Pvt, Ltd.
  210,778   433,092
*
Medusa Mining, Ltd.
  45,149   23,683
#*
Mesoblast, Ltd.
  61,936   120,928
#*
Metals X, Ltd.
  186,167   9,848
 
Michael Hill International, Ltd.
  22,149   9,360
#
Mineral Resources, Ltd.
  58,225   654,622
*
MMA Offshore, Ltd.
  129,478   14,627
 
MNF Group, Ltd.
  4,270   13,883
#
Monadelphous Group, Ltd.
  26,086   301,416
 
Monash IVF Group, Ltd.
  37,578   24,859
 
Money3 Corp., Ltd.
  29,045   47,450
 
Mortgage Choice, Ltd.
  32,978   29,120
#*
Motorcycle Holdings, Ltd.
  2,826   3,683
 
Mount Gibson Iron, Ltd.
  74,835   44,895
*
Myer Holdings, Ltd.
  244,786   71,376
 
MyState, Ltd.
  7,026   25,509
 
National Australia Bank, Ltd.
  177,374   3,029,923
 
Navigator Global Investments, Ltd.
  20,379   43,475
#
New Hope Corp., Ltd.
  47,377   58,744
 
Newcrest Mining, Ltd.
  16,819   336,717
 
nib holdings, Ltd.
  85,198   305,055
 
Nick Scali, Ltd.
  11,735   54,898
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
AUSTRALIA — (Continued)
#
Nine Entertainment Co. Holdings, Ltd.
  405,156   $501,131
 
Northern Star Resources, Ltd.
  111,779   962,881
 
NRW Holdings, Ltd.
  154,462   317,732
*
Nufarm, Ltd.
  47,909   174,744
 
OFX Group, Ltd.
  40,584   40,816
 
Oil Search, Ltd.
  87,456   418,010
 
OM Holdings, Ltd.
  98,157   28,624
#*
Onevue Holdings, Ltd.
  24,977   6,019
 
oOh!media, Ltd.
  52,174   117,231
 
Orica, Ltd.
  33,857   511,520
 
Origin Energy, Ltd.
  153,460   830,168
 
Orora, Ltd.
  330,773   706,138
 
OZ Minerals, Ltd.
  93,530   624,737
 
Pacific Current Group, Ltd.
  11,857   50,345
*
Pact Group Holdings, Ltd.
  47,849   87,677
*
Panoramic Resources, Ltd.
  161,341   25,756
#
Paragon Care, Ltd.
  7,901   2,165
 
Peet, Ltd.
  82,024   73,955
 
Pendal Group, Ltd.
  55,550   325,083
 
Perenti Global, Ltd.
  178,673   181,118
#
Perpetual, Ltd.
  9,472   267,164
*
Perseus Mining, Ltd.
  278,562   221,588
#
Pioneer Credit, Ltd.
  17,994   21,097
#
Platinum Asset Management, Ltd.
  42,077   131,798
#*
Praemium, Ltd.
  43,406   13,702
 
Premier Investments, Ltd.
  9,977   131,198
*
Prime Media Group, Ltd.
  92,232   9,499
 
Pro Medicus, Ltd.
  6,317   99,585
 
PWR Holdings, Ltd.
  10,450   32,963
 
Qantas Airways, Ltd.
  67,188   284,862
 
QBE Insurance Group, Ltd.
  104,438   950,712
 
QMS Media, Ltd.
  47,001   38,099
 
Qube Holdings, Ltd.
  201,531   459,373
 
Ramelius Resources, Ltd.
  127,013   113,872
 
REA Group, Ltd.
  4,473   338,449
 
Reckon, Ltd.
  6,209   2,845
#
Reece, Ltd.
  23,559   175,267
#
Regis Healthcare, Ltd.
  30,740   49,227
 
Regis Resources, Ltd.
  145,748   446,783
 
Reject Shop, Ltd. (The)
  5,557   18,014
#*
Resolute Mining, Ltd.
  161,981   127,228
 
Ridley Corp., Ltd.
  41,173   28,371
 
Rio Tinto, Ltd.
  33,798   2,193,096
 
RXP Services, Ltd.
  24,648   7,980
 
Sandfire Resources, Ltd.
  58,335   214,255
 
Santos, Ltd.
  270,742   1,553,901
*
Saracen Mineral Holdings, Ltd.
  155,921   420,251
 
Seek, Ltd.
  28,137   421,841
 
Select Harvests, Ltd.
  21,439   121,670
*
Senex Energy, Ltd.
  220,285   45,605
 
Servcorp, Ltd.
  12,793   37,762
 
Service Stream, Ltd.
  74,410   129,468
 
Seven Group Holdings, Ltd.
  12,827   170,849
*
Seven West Media, Ltd.
  334,126   54,995
 
SG Fleet Group, Ltd.
  15,329   22,461
 
Sigma Healthcare, Ltd.
  213,333   85,109
*
Silver Chef, Ltd.
  4,994   2,124
*
Silver Lake Resources, Ltd.
  210,030   232,721
 
Sims, Ltd.
  40,061   282,934
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
AUSTRALIA — (Continued)
 
SmartGroup Corp., Ltd.
  8,685   $39,066
 
Sonic Healthcare, Ltd.
  7,596   159,218
 
South32, Ltd., ADR
  2,251   19,314
 
South32, Ltd.
  482,856   828,531
 
Southern Cross Media Group, Ltd.
  214,940   124,791
 
Spark Infrastructure Group
  112,119   164,120
#
SpeedCast International, Ltd.
  76,666   39,914
 
SRG Global, Ltd.
  113,718   30,942
 
St Barbara, Ltd.
  245,323   457,300
 
Suncorp Group, Ltd.
  99,098   846,560
 
Sunland Group, Ltd.
  9,056   10,691
 
Super Retail Group, Ltd.
  46,268   288,081
#*
Superloop, Ltd.
  27,389   15,969
 
Sydney Airport
  41,285   229,632
#*
Syrah Resources, Ltd.
  105,820   35,066
 
Tassal Group, Ltd.
  56,335   161,117
 
Technology One, Ltd.
  50,987   285,384
 
Telstra Corp., Ltd.
  217,713   555,157
 
Terracom, Ltd.
  40,724   8,670
*
Thorn Group, Ltd.
  35,581   5,282
*
Tiger Resources, Ltd.
  219,444   41
 
TPG Telecom, Ltd.
  88,273   438,848
 
Transurban Group
  52,411   546,320
*
Troy Resources, Ltd.
  583   37
 
Village Roadshow, Ltd.
  28,418   76,464
*
Virgin Australia Holdings, Ltd.
  393,465   38,232
 
Virtus Health, Ltd.
  22,644   65,088
 
Vita Group, Ltd.
  23,215   18,291
*
Vocus Group, Ltd.
  183,044   410,233
#
Webster, Ltd.
  11,619   15,456
 
Wesfarmers, Ltd.
  49,629   1,488,970
 
Western Areas, Ltd.
  61,478   104,035
*
Westgold Resources, Ltd.
  59,272   88,167
 
Westpac Banking Corp.
  130,736   2,184,785
 
Whitehaven Coal, Ltd.
  269,225   445,297
 
WiseTech Global, Ltd.
  8,160   133,341
 
Woodside Petroleum, Ltd.
  44,740   1,025,017
 
Woolworths Group, Ltd.
  35,988   999,525
 
Worley, Ltd.
  54,429   544,051
 
WPP AUNZ, Ltd.
  68,187   26,233
*
Xero, Ltd.
  1,193   67,247
TOTAL AUSTRALIA
      80,215,652
AUSTRIA — (0.5%)
 
Agrana Beteiligungs AG
  4,134   87,909
 
ANDRITZ AG
  8,890   349,786
 
Atrium European Real Estate, Ltd.
  24,184   93,125
#
Austria Technologie & Systemtechnik AG
  8,985   197,801
 
CA Immobilien Anlagen AG
  10,722   471,750
 
DO & CO AG
  1,322   131,841
 
Erste Group Bank AG
  25,825   948,226
 
EVN AG
  10,674   210,614
 
FACC AG
  1,800   23,859
 
Flughafen Wien AG
  986   39,916
 
IMMOFINANZ AG
  17,520   486,170
 
Kapsch TrafficCom AG
  788   23,227
#
Lenzing AG
  4,008   316,787
 
Mayr Melnhof Karton AG
  1,587   218,104
#
Oesterreichische Post AG
  5,490   208,406
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
AUSTRIA — (Continued)
 
OMV AG
  10,464   $519,999
 
Palfinger AG
  1,670   51,727
 
POLYTEC Holding AG
  2,865   25,433
#
Porr AG
  2,673   46,594
 
Raiffeisen Bank International AG
  38,525   877,562
#
Rosenbauer International AG
  131   6,098
 
S IMMO AG
  8,446   226,262
 
Schoeller-Bleckmann Oilfield Equipment AG
  1,480   68,023
*
Semperit AG Holding
  945   12,787
 
Strabag SE
  4,197   139,996
 
Telekom Austria AG
  26,772   215,206
 
UBM Development AG
  1,080   58,339
 
UNIQA Insurance Group AG
  37,705   356,573
 
Verbund AG
  1,562   82,594
 
voestalpine AG
  2,843   68,846
 
Wienerberger AG
  9,422   267,324
*
Zumtobel Group AG
  2,684   26,343
TOTAL AUSTRIA
      6,857,227
BELGIUM — (1.0%)
 
Ackermans & van Haaren NV
  5,529   885,677
 
Ageas
  30,305   1,671,064
*
AGFA-Gevaert NV
  70,197   344,785
#*
Argenx SE, ADR
  932   134,478
 
Atenor
  548   44,111
 
Banque Nationale de Belgique
  19   49,286
 
Barco NV
  1,081   268,789
 
Bekaert SA
  10,030   254,636
 
bpost SA
  13,289   132,430
 
Cie d'Entreprises CFE
  2,314   252,330
 
Colruyt SA
  10,547   527,705
 
Deceuninck NV
  13,585   29,866
 
D'ieteren SA
  6,984   450,786
 
Econocom Group SA
  16,652   47,344
#
Elia System Operator SA
  2,003   193,170
 
Euronav NV
  10,967   108,970
*
Euronav NV
  38,310   378,503
 
EVS Broadcast Equipment SA
  3,189   72,037
#*
Exmar NV
  9,024   53,626
 
Fagron
  8,897   205,958
 
Gimv NV
  3,652   225,026
 
Immobel SA
  381   32,276
 
Jensen-Group NV
  1,201   45,741
 
KBC Group NV
  16,843   1,235,861
 
Kinepolis Group NV
  2,693   166,083
 
Lotus Bakeries NV
  51   154,602
#
Melexis NV
  3,794   269,636
 
Ontex Group NV
  13,272   240,553
#*
Oxurion NV
  7,971   27,149
 
Picanol
  441   31,791
 
Proximus SADP
  27,141   773,304
 
Recticel SA
  11,663   99,571
 
Resilux
  280   43,780
 
Roularta Media Group NV
  370   6,828
 
Sioen Industries NV
  2,506   60,143
 
Sipef NV
  1,654   95,341
#
Solvay SA
  9,925   1,028,630
 
Telenet Group Holding NV
  8,229   382,617
 
TER Beke SA
  193   24,940
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
BELGIUM — (Continued)
*
Tessenderlo Group SA
  6,656   $223,939
#
Umicore SA
  21,764   1,002,087
 
Van de Velde NV
  784   24,338
TOTAL BELGIUM
      12,299,787
CANADA — (9.9%)
*
5N Plus, Inc.
  14,000   22,321
 
Absolute Software Corp.
  8,900   65,166
 
Acadian Timber Corp.
  3,200   39,704
#*
Advantage Oil & Gas, Ltd.
  49,377   82,457
 
Aecon Group, Inc.
  18,295   237,915
#*
Africa Oil Corp.
  14,600   15,114
#
AG Growth International, Inc.
  1,400   48,123
 
AGF Management, Ltd., Class B
  17,587   93,955
 
Agnico Eagle Mines, Ltd.
  1,400   86,548
#*
Aimia, Inc.
  32,950   82,910
*
Air Canada
  19,241   644,517
 
AirBoss of America Corp.
  3,978   25,911
*
Alacer Gold Corp.
  84,338   396,390
 
Alamos Gold, Inc., Class A
  75,598   476,985
 
Alamos Gold, Inc., Class A
  18,797   118,418
#
Alaris Royalty Corp.
  8,582   141,693
*
Alexco Resource Corp.
  1,285   2,287
 
Algoma Central Corp.
  1,200   11,634
 
Algonquin Power & Utilities Corp.
  27,370   419,009
 
Algonquin Power & Utilities Corp.
  11,652   178,392
 
Alimentation Couche-Tard, Inc., Class B
  30,252   1,011,067
#*
Alio Gold, Inc.
  6,570   4,915
#
AltaGas, Ltd.
  47,228   760,487
 
Altius Minerals Corp.
  7,201   58,276
 
Altus Group, Ltd.
  1,916   62,762
*
Americas Gold & Silver Corp.
  7,847   23,184
*
Amerigo Resources, Ltd.
  32,000   12,332
 
Andrew Peller, Ltd., Class A
  1,900   15,836
#
ARC Resources, Ltd.
  99,491   527,752
*
Argonaut Gold, Inc.
  55,372   74,476
*
Aritzia, Inc.
  14,550   275,190
*
Asanko Gold, Inc.
  35,902   33,639
 
Atco, Ltd., Class I
  7,139   278,461
#*
Athabasca Oil Corp.
  92,749   28,034
*
ATS Automation Tooling Systems, Inc.
  2,080   31,953
#*
Aurora Cannabis, Inc.
  6,246   11,799
#*
Aurora Cannabis, Inc.
  49,754   94,035
#
AutoCanada, Inc.
  4,621   45,533
 
B2Gold Corp.
  176,791   765,462
 
Badger Daylighting, Ltd.
  4,456   116,265
 
Bank of Montreal
  29,924   2,282,174
 
Bank of Montreal
  29,963   2,283,780
 
Bank of Nova Scotia (The)
  5,686   310,552
 
Bank of Nova Scotia (The)
  42,921   2,344,345
 
Barrick Gold Corp.
  124,764   2,310,629
 
Barrick Gold Corp.
  13,588   253,827
*
Baytex Energy Corp.
  106,368   115,739
*
Baytex Energy Corp.
  2,602   2,888
 
BCE, Inc.
  3,215   151,483
 
BCE, Inc.
  2,798   131,842
 
Birchcliff Energy, Ltd.
  78,147   103,338
*
Black Diamond Group, Ltd.
  7,742   11,291
*
BlackBerry, Ltd.
  52,933   322,382
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
CANADA — (Continued)
*
BlackBerry, Ltd.
  17,367   $105,939
 
BMTC Group, Inc.
  3,210   24,535
#*
Bombardier, Inc., Class A
  11,600   11,746
*
Bombardier, Inc., Class B
  127,030   118,065
#
Bonavista Energy Corp.
  84,553   32,584
#
Bonterra Energy Corp.
  6,180   15,597
 
Boralex, Inc., Class A
  14,866   310,036
 
Bridgemarq Real Estate Services
  1,100   12,750
 
BRP, Inc.
  3,968   202,568
#*
Calfrac Well Services, Ltd.
  26,244   19,236
 
Calian Group, Ltd.
  1,100   35,575
 
Cameco Corp.
  12,558   101,250
 
Cameco Corp.
  58,784   474,387
 
Canaccord Genuity Group, Inc.
  14,819   55,093
 
Canacol Energy, Ltd.
  16,100   51,826
#*
Canada Goose Holdings, Inc.
  6,110   183,300
 
Canadian Imperial Bank of Commerce
  17,282   1,409,304
 
Canadian Imperial Bank of Commerce
  17,164   1,398,351
 
Canadian National Railway Co.
  9,800   915,797
 
Canadian National Railway Co.
  17,171   1,604,458
 
Canadian Natural Resources, Ltd.
  15,385   432,696
 
Canadian Natural Resources, Ltd.
  136,764   3,847,171
 
Canadian Pacific Railway, Ltd.
  2,100   557,847
 
Canadian Pacific Railway, Ltd.
  2,847   756,761
#
Canadian Tire Corp., Ltd., Class A
  7,268   779,467
 
Canadian Utilities, Ltd., Class A
  5,383   164,736
#
Canadian Western Bank
  27,023   668,122
*
Canfor Corp.
  21,927   197,002
 
Canfor Pulp Products, Inc.
  11,391   73,077
#*
Canopy Growth Corp.
  1,399   31,502
#*
Canopy Growth Corp.
  543   12,245
 
CanWel Building Materials Group, Ltd.
  20,500   81,789
 
Capital Power Corp.
  18,001   492,532
*
Capstone Mining Corp.
  94,575   50,739
#
Cardinal Energy, Ltd.
  26,424   46,323
 
Cascades, Inc.
  23,294   199,074
 
CCL Industries, Inc., Class B
  10,350   436,477
*
Celestica, Inc.
  19,328   174,725
 
Cenovus Energy, Inc.
  46,800   407,387
 
Cenovus Energy, Inc.
  47,322   412,175
*
Centerra Gold, Inc.
  67,103   537,473
 
Cervus Equipment Corp.
  2,500   16,000
#
CES Energy Solutions Corp.
  71,198   104,909
*
CGI, Inc.
  9,574   732,602
#
Chesswood Group, Ltd.
  2,800   21,158
*
China Gold International Resources Corp., Ltd.
  56,934   48,614
 
CI Financial Corp.
  46,364   812,439
#
Cineplex, Inc.
  24,265   619,185
#
Clearwater Seafoods, Inc.
  5,177   21,163
 
Cogeco Communications, Inc.
  6,247   490,451
 
Cogeco, Inc.
  1,976   138,442
 
Colliers International Group, Inc.
  1,020   82,701
 
Colliers International Group, Inc.
  6,483   525,317
 
Computer Modelling Group, Ltd.
  15,890   97,016
 
Constellation Software, Inc.
  1,366   1,435,828
*
Continental Gold, Inc.
  28,998   119,857
#*
Copper Mountain Mining Corp.
  51,894   25,880
 
Corus Entertainment, Inc., Class B
  39,715   150,649
 
Cott Corp.
  10,800   165,132
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
CANADA — (Continued)
 
Crescent Point Energy Corp.
  81,674   $269,080
#
Crescent Point Energy Corp.
  9,725   31,994
*
Crew Energy, Inc.
  30,233   10,052
*
CRH Medical Corp.
  23,056   89,722
#*
Denison Mines Corp.
  140,508   48,839
*
Descartes Systems Group, Inc. (The)
  1,400   62,734
*
Detour Gold Corp.
  42,600   762,899
*
DIRTT Environmental Solutions
  5,700   14,773
 
Dollarama, Inc.
  13,051   444,665
 
Dorel Industries, Inc., Class B
  8,016   31,376
 
DREAM Unlimited Corp., Class A
  18,547   163,831
*
Dundee Precious Metals, Inc.
  41,531   191,744
#
Echelon Financial Holdings, Inc.
  1,200   5,531
 
ECN Capital Corp.
  99,265   420,042
 
E-L Financial Corp., Ltd.
  100   61,508
*
Eldorado Gold Corp.
  36,906   268,277
*
Eldorado Gold Corp.
  1,449   10,546
 
Element Fleet Management Corp.
  115,952   1,113,609
#
Emera, Inc.
  6,890   306,963
 
Empire Co., Ltd., Class A
  23,897   554,358
 
Enbridge, Inc.
  28,266   1,149,318
 
Enbridge, Inc.
  19,907   809,618
*
Endeavour Mining Corp.
  10,881   222,816
 
Enerflex, Ltd.
  27,441   209,841
#*
Energy Fuels, Inc.
  5,893   8,461
#
Enerplus Corp.
  42,400   216,261
 
Enerplus Corp.
  48,910   249,441
 
Enghouse Systems, Ltd.
  7,732   306,265
 
Ensign Energy Services, Inc.
  37,617   67,082
 
Equitable Group, Inc.
  2,750   218,915
*
Essential Energy Services Trust
  19,400   5,131
 
Evertz Technologies, Ltd.
  4,600   60,237
#
Exchange Income Corp.
  4,758   152,620
 
Exco Technologies, Ltd.
  6,801   38,543
#
Extendicare, Inc.
  16,049   99,806
 
Fairfax Financial Holdings, Ltd.
  2,717   1,215,752
 
Fiera Capital Corp.
  3,653   34,228
 
Finning International, Inc.
  34,235   592,141
 
Firm Capital Mortgage Investment Corp.
  7,100   81,011
 
First Capital Real Estate Investment Trust
  12,624   206,712
*
First Mining Gold Corp.
  44,500   7,902
 
First National Financial Corp.
  3,000   86,935
 
First Quantum Minerals, Ltd.
  68,302   534,690
 
FirstService Corp.
  4,525   444,807
 
FirstService Corp.
  1,700   167,264
#*
Fission Uranium Corp.
  72,500   14,244
 
Fortis, Inc.
  9,509   414,734
 
Fortis, Inc.
  8,539   372,300
#*
Fortuna Silver Mines, Inc.
  46,259   181,415
*
Fortuna Silver Mines, Inc.
  1,312   5,143
#
Franco-Nevada Corp.
  403   45,809
 
Franco-Nevada Corp.
  203   23,069
#
Freehold Royalties, Ltd.
  19,920   106,268
 
Frontera Energy Corp.
  2,400   17,065
#*
GDI Integrated Facility Services, Inc.
  2,600   65,226
*
Gear Energy, Ltd.
  59,300   17,251
#
Genworth MI Canada, Inc.
  10,049   443,450
 
George Weston, Ltd.
  9,816   791,051
 
Gibson Energy, Inc.
  24,059   482,853
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
CANADA — (Continued)
 
Gildan Activewear, Inc.
  4,100   $113,607
 
Gildan Activewear, Inc.
  7,979   221,178
 
GMP Capital, Inc.
  11,400   16,712
 
goeasy, Ltd.
  4,750   240,766
#*
Golden Star Resources, Ltd.
  10,349   30,420
 
GoldMoney, Inc.
  5,800   8,020
*
Gran Tierra Energy, Inc.
  2,706   2,696
#*
Gran Tierra Energy, Inc.
  126,076   125,752
 
Great-West Lifeco, Inc.
  14,218   368,396
 
Guardian Capital Group, Ltd., Class A
  5,128   106,869
#*
Guyana Goldfields, Inc.
  26,400   14,164
*
Heroux-Devtek, Inc.
  8,414   126,394
#
High Arctic Energy Services, Inc.
  8,400   11,933
 
High Liner Foods, Inc.
  5,650   35,307
*
Home Capital Group, Inc.
  23,185   552,733
 
Horizon North Logistics, Inc.
  26,900   20,733
 
Hudbay Minerals, Inc.
  31,643   97,144
 
Hudbay Minerals, Inc.
  49,524   151,932
 
Husky Energy, Inc.
  78,524   510,875
 
Hydro One, Ltd.
  13,800   280,505
 
iA Financial Corp., Inc.
  22,100   1,216,218
*
IAMGOLD Corp.
  108,961   325,220
#*
IAMGOLD Corp.
  4,292   12,704
*
IBI Group, Inc.
  1,900   7,810
 
IGM Financial, Inc.
  4,884   141,235
#*
Imperial Metals Corp.
  7,560   11,025
 
Imperial Oil, Ltd.
  6,500   154,126
 
Imperial Oil, Ltd.
  12,507   296,166
*
Indigo Books & Music, Inc.
  900   2,550
 
Information Services Corp.
  3,800   46,086
 
Innergex Renewable Energy, Inc.
  18,586   264,036
 
Intact Financial Corp.
  2,167   234,761
#
Inter Pipeline, Ltd.
  32,015   533,422
*
Interfor Corp.
  21,569   228,337
 
Intertape Polymer Group, Inc.
  23,559   288,034
 
Invesque, Inc.
  3,800   24,472
*
IPL Plastics, Inc.
  5,200   33,870
*
Ivanhoe Mines, Ltd., Class A
  97,547   252,086
 
Jamieson Wellness, Inc.
  3,573   71,708
#
Just Energy Group, Inc.
  15,696   21,823
 
Just Energy Group, Inc.
  4,023   5,632
 
K-Bro Linen, Inc.
  1,451   46,598
#*
Kelt Exploration, Ltd.
  37,600   107,964
#
Keyera Corp.
  34,254   893,751
*
Kinaxis, Inc.
  1,335   110,843
*
Kinross Gold Corp.
  380,521   1,929,346
*
Kinross Gold Corp.
  27,330   138,563
 
Kirkland Lake Gold, Ltd.
  24,117   988,990
*
Knight Therapeutics, Inc.
  28,671   170,068
 
KP Tissue, Inc.
  1,300   10,413
#
Labrador Iron Ore Royalty Corp.
  6,409   102,135
*
Largo Resources, Ltd.
  40,433   32,386
 
Lassonde Industries, Inc., Class A
  459   48,748
#
Laurentian Bank of Canada
  10,873   352,875
*
Leagold Mining Corp.
  10,300   28,330
 
Leon's Furniture, Ltd.
  5,506   67,400
 
Linamar Corp.
  14,328   472,042
 
Loblaw Cos., Ltd.
  16,488   862,670
 
Lucara Diamond Corp.
  114,752   71,969
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
CANADA — (Continued)
*
Lundin Gold, Inc.
  7,913   $62,962
 
Lundin Mining Corp.
  126,238   662,001
 
Magellan Aerospace Corp.
  4,737   50,398
 
Magna International, Inc.
  34,984   1,773,520
 
Magna International, Inc.
  26,058   1,320,880
*
Mainstreet Equity Corp.
  500   29,696
*
Major Drilling Group International, Inc.
  21,320   88,444
 
Manulife Financial Corp.
  1,200   23,376
 
Manulife Financial Corp.
  80,934   1,575,785
 
Maple Leaf Foods, Inc.
  9,400   184,108
 
Martinrea International, Inc.
  28,236   275,234
 
Mediagrif Interactive Technologies, Inc.
  2,100   10,949
 
Medical Facilities Corp.
  14,050   43,422
*
MEG Energy Corp.
  59,756   305,237
 
Melcor Developments, Ltd.
  1,100   10,623
 
Methanex Corp.
  1,735   56,256
 
Methanex Corp.
  10,248   332,548
 
Metro, Inc.
  10,743   437,967
 
Morguard Corp.
  700   107,185
 
Morneau Shepell, Inc.
  3,000   78,525
*
Mountain Province Diamonds, Inc.
  3,882   3,168
 
MTY Food Group, Inc.
  985   43,013
#
Mullen Group, Ltd.
  21,781   148,619
 
National Bank of Canada
  52,657   2,921,719
*
New Gold, Inc.
  140,103   129,156
#
NFI Group, Inc.
  18,644   431,373
 
North American Construction Group, Ltd.
  7,400   80,855
 
North American Construction Group, Ltd.
  5,792   63,133
 
North West Co., Inc. (The)
  10,709   223,016
#
Northland Power, Inc.
  18,164   408,875
 
Nutrien, Ltd.
  24,673   1,053,298
#*
NuVista Energy, Ltd.
  52,211   84,033
#*
Obsidian Energy, Ltd.
  9,800   6,739
 
OceanaGold Corp.
  197,015   412,371
 
Onex Corp.
  7,220   463,184
 
Open Text Corp.
  5,600   252,030
 
Open Text Corp.
  12,999   584,825
 
Osisko Gold Royalties, Ltd.
  17,199   171,552
 
Osisko Gold Royalties, Ltd.
  17,699   176,636
*
Osisko Mining, Inc.
  9,905   29,788
#*
Painted Pony Energy, Ltd.
  23,500   10,122
 
Pan American Silver Corp.
  39,313   903,409
#*
Paramount Resources, Ltd., Class A
  14,976   68,350
*
Parex Resources, Inc.
  58,874   932,001
 
Park Lawn Corp.
  3,300   74,533
 
Parkland Fuel Corp.
  24,374   848,136
 
Pason Systems, Inc.
  14,685   146,473
#
Pembina Pipeline Corp.
  1,554   59,501
 
Pembina Pipeline Corp.
  17,828   682,991
#
Peyto Exploration & Development Corp.
  50,298   109,839
*
PHX Energy Services Corp.
  8,838   16,161
 
Pizza Pizza Royalty Corp.
  7,900   58,083
*
Points International, Ltd.
  1,000   16,866
*
Points International, Ltd.
  1,715   28,623
 
Polaris Infrastructure, Inc.
  6,500   70,825
*
PolyMet Mining Corp.
  9,900   2,543
#
PrairieSky Royalty, Ltd.
  6,046   66,289
*
Precision Drilling Corp.
  37,964   44,751
*
Precision Drilling Corp.
  19,847   23,221
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
CANADA — (Continued)
*
Premier Gold Mines, Ltd.
  56,650   $68,062
#
Premium Brands Holdings Corp.
  9,754   718,246
#*
Pretium Resources, Inc.
  12,757   138,924
*
Pulse Seismic, Inc.
  4,200   5,554
 
Quarterhill, Inc.
  31,600   46,323
 
Quebecor, Inc., Class B
  22,012   546,225
*
Real Matters, Inc.
  7,500   78,774
 
Recipe Unlimited Corp.
  5,300   74,570
 
Reitmans Canada, Ltd., Class A
  12,000   8,342
#
Restaurant Brands International, Inc.
  6,391   389,915
 
Richelieu Hardware, Ltd.
  1,848   40,789
 
Ritchie Bros Auctioneers, Inc.
  1,000   42,217
 
Ritchie Bros Auctioneers, Inc.
  9,231   389,733
 
Rocky Mountain Dealerships, Inc.
  4,278   20,818
 
Rogers Communications, Inc., Class B
  10,567   529,069
 
Rogers Communications, Inc., Class B
  4,076   204,085
#
Rogers Sugar, Inc.
  31,218   112,992
*
Roxgold, Inc.
  101,700   79,921
 
Royal Bank of Canada
  23,869   1,886,217
 
Royal Bank of Canada
  68,958   5,444,924
 
Russel Metals, Inc.
  23,365   379,235
*
Sabina Gold & Silver Corp.
  40,900   55,011
*
Sandstorm Gold, Ltd.
  3,411   23,403
 
Saputo, Inc.
  9,280   285,118
#
Secure Energy Services, Inc.
  40,209   138,243
*
SEMAFO, Inc.
  83,058   175,103
*
Seven Generations Energy, Ltd., Class A
  100,026   501,868
 
Shaw Communications, Inc., Class B
  8,182   159,881
 
Shaw Communications, Inc., Class B
  36,208   707,142
 
ShawCor, Ltd.
  16,294   129,525
*
Shopify, Inc., Class A
  752   350,176
#
Sienna Senior Living, Inc.
  7,700   109,501
*
Sierra Wireless, Inc.
  4,998   48,131
 
Sleep Country Canada Holdings, Inc.
  13,187   200,585
 
SNC-Lavalin Group, Inc.
  10,079   231,831
#*
Spin Master Corp.
  4,550   108,851
 
Stantec, Inc.
  15,909   473,611
 
Stella-Jones, Inc.
  5,395   152,710
*
Storm Resources, Ltd.
  5,000   5,592
*
Stornoway Diamond Corp.
  47,014   75
 
Sun Life Financial, Inc.
  24,198   1,137,790
 
Suncor Energy, Inc.
  5,800   177,270
 
Suncor Energy, Inc.
  160,680   4,915,201
*
SunOpta, Inc.
  3,392   9,202
#
Superior Plus Corp.
  53,070   463,169
 
Supremex, Inc.
  3,700   6,514
#
Surge Energy, Inc.
  70,035   52,921
*
Tamarack Valley Energy, Ltd.
  68,150   87,028
*
Taseko Mines, Ltd.
  33,379   15,386
 
TC Energy Corp.
  7,236   396,678
 
Teck Resources, Ltd., Class B
  58,533   756,320
 
Teck Resources, Ltd., Class B
  57,219   738,697
 
TELUS Corp.
  1,498   60,049
*
Teranga Gold Corp.
  24,400   138,833
*
Tervita Corp.
  759   4,249
 
TFI International, Inc.
  29,167   934,032
#
Thomson Reuters Corp.
  3,237   260,061
 
Tidewater Midstream and Infrastructure, Ltd.
  71,300   58,186
 
Timbercreek Financial Corp.
  20,935   159,298
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
CANADA — (Continued)
#*
TMAC Resources, Inc.
  1,000   $1,995
 
TMX Group, Ltd.
  6,195   573,204
 
TORC Oil & Gas, Ltd.
  40,565   117,704
*
Torex Gold Resources, Inc.
  28,014   385,473
 
Toromont Industries, Ltd.
  7,842   403,833
 
Toronto-Dominion Bank (The)
  6,758   373,493
 
Toronto-Dominion Bank (The)
  53,477   2,955,139
 
Total Energy Services, Inc.
  13,840   56,473
 
Tourmaline Oil Corp.
  56,472   569,674
 
TransAlta Corp.
  59,192   441,905
 
TransAlta Corp.
  31,016   231,690
 
TransAlta Renewables, Inc.
  23,284   291,182
 
Transcontinental, Inc., Class A
  23,619   277,703
 
TransGlobe Energy Corp.
  16,500   21,071
#*
Trevali Mining Corp.
  127,243   18,749
#*
Trican Well Service, Ltd.
  69,115   54,315
 
Tricon Capital Group, Inc.
  22,747   187,353
*
Trisura Group, Ltd.
  588   19,307
#*
Turquoise Hill Resources, Ltd.
  77,100   50,103
*
Turquoise Hill Resources, Ltd.
  3,396   2,149
 
Uni-Select, Inc.
  7,611   69,818
#
Vermilion Energy, Inc.
  14,286   206,188
 
Vermilion Energy, Inc.
  30,353   437,994
 
VersaBank
  2,400   13,493
 
Wajax Corp.
  6,875   77,457
 
Waste Connections, Inc.
  7,371   709,901
 
Waste Connections, Inc.
  400   38,552
#*
Wesdome Gold Mines Ltd.
  21,100   143,813
 
West Fraser Timber Co., Ltd.
  14,904   597,106
#
Western Forest Products, Inc.
  128,611   103,985
#
Westshore Terminals Investment Corp.
  16,246   197,397
 
Wheaton Precious Metals Corp.
  2,500   73,625
 
Whitecap Resources, Inc.
  87,256   317,798
#*
WildBrain, Ltd.
  40,263   45,332
 
Winpak, Ltd.
  1,432   52,328
 
WSP Global, Inc.
  5,888   418,442
 
Yamana Gold, Inc.
  167,414   681,851
 
Yamana Gold, Inc.
  14,406   58,632
#*
Yangarra Resources, Ltd.
  26,719   22,612
*
Yellow Pages, Ltd.
  5,429   42,254
TOTAL CANADA
      125,817,488
CHINA — (0.0%)
 
APT Satellite Holdings, Ltd.
  63,250   23,525
DENMARK — (1.2%)
*
Agat Ejendomme A.S.
  17,713   10,523
*
ALK-Abello A.S.
  563   150,388
 
Alm Brand A.S.
  15,888   140,689
 
Ambu A.S., Class B
  13,860   252,977
 
AP Moller - Maersk A.S., Class A
  123   138,217
 
AP Moller - Maersk A.S., Class B
  240   286,983
#*
Bang & Olufsen A.S.
  7,740   46,315
 
BankNordik P/F
  1,197   20,659
*
Bavarian Nordic A.S.
  2,920   101,338
 
Brodrene Hartmann A.S.
  947   42,288
 
Chr Hansen Holding A.S.
  8,059   599,773
 
Coloplast A.S., Class B
  4,151   523,363
 
Columbus A.S.
  15,956   21,445
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
DENMARK — (Continued)
 
D/S Norden A.S.
  8,469   $114,076
 
Danske Bank A.S.
  40,308   672,873
#*
Demant A.S.
  14,187   460,054
 
DFDS A.S.
  8,218   345,117
 
DSV Panalpina A.S.
  6,596   716,120
 
FLSmidth & Co. A.S.
  6,739   230,122
 
GN Store Nord A.S.
  32,830   1,628,371
 
GronlandsBANKEN A.S.
  85   6,685
*
H+H International A.S., Class B
  5,954   113,503
 
ISS A.S.
  28,004   678,325
 
Jeudan A.S.
  324   68,873
*
Jyske Bank A.S.
  11,978   455,472
 
Matas A.S.
  7,747   73,122
*
Nilfisk Holding A.S.
  7,830   168,623
*
NKT A.S.
  4,615   99,264
 
NNIT A.S.
  2,649   41,820
 
Orsted A.S.
  3,589   391,458
 
Pandora A.S.
  33,757   1,742,395
 
Parken Sport & Entertainment A.S.
  1,139   17,383
 
Per Aarsleff Holding A.S.
  6,469   196,631
 
Ringkjoebing Landbobank A.S.
  7,451   553,546
 
Rockwool International A.S., Class A
  710   152,408
 
Rockwool International A.S., Class B
  2,142   499,384
 
RTX A.S.
  497   16,915
 
Schouw & Co., A.S.
  3,284   268,777
 
SimCorp A.S.
  5,449   604,058
 
Solar A.S., Class B
  1,580   75,324
 
Spar Nord Bank A.S.
  22,279   215,786
#
Sydbank A.S.
  11,213   243,991
 
Tivoli A.S.
  256   28,694
 
Topdanmark A.S.
  10,767   509,261
*
TORM P.L.C.
  6,179   53,618
 
Tryg A.S.
  12,901   390,898
 
United International Enterprises, Ltd.
  387   77,702
 
Vestas Wind Systems A.S.
  6,793   674,324
*
Vestjysk Bank A.S.
  107,651   52,817
TOTAL DENMARK
      14,972,748
FINLAND — (1.6%)
#*
Afarak Group Oyj
  6,116   3,333
 
Ahlstrom-Munksjo Oyj
  3,900   65,011
 
Aktia Bank Oyj
  12,613   133,572
 
Alma Media Oyj
  6,819   65,589
 
Asiakastieto Group Oyj
  967   36,604
 
Aspo Oyj
  5,171   45,887
 
Atria Oyj
  2,128   22,669
#
Cargotec Oyj, Class B
  8,754   323,875
 
Caverion Oyj
  2,736   22,283
#
Citycon Oyj
  7,699   81,450
 
Cramo Oyj
  9,188   139,515
 
Digia Oyj
  3,511   17,858
 
Elisa Oyj
  14,518   874,645
 
Finnair Oyj
  14,000   81,733
#
Fiskars Oyj Abp
  6,191   82,610
 
Fortum Oyj
  40,152   971,674
*
F-Secure Oyj
  7,922   28,887
*
HKScan Oyj, Class A
  10,963   27,850
 
Huhtamaki Oyj
  31,301   1,391,187
 
Ilkka-Yhtyma Oyj
  2,909   12,429
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
FINLAND — (Continued)
 
Kemira Oyj
  32,835   $496,063
 
Kesko Oyj, Class A
  2,339   147,687
 
Kesko Oyj, Class B
  11,960   808,567
 
Kone Oyj, Class B
  11,103   716,556
 
Konecranes Oyj
  9,197   277,225
 
Lassila & Tikanoja Oyj
  12,008   204,568
#
Lehto Group Oyj
  1,807   4,513
#
Metsa Board Oyj
  47,755   289,223
 
Metso Oyj
  30,651   1,087,647
 
Neste Oyj
  50,616   2,015,420
#
Nokia Oyj
  162,977   634,421
#
Nokian Renkaat Oyj
  9,949   267,518
 
Nordea Bank Abp
  83,521   658,844
 
Nordea Bank Abp
  66,885   527,218
 
Oriola Oyj, Class B
  38,503   91,545
 
Outokumpu Oyj
  50,552   173,651
*
Outotec Oyj
  5,885   33,836
#
Ponsse Oyj
  2,973   103,915
 
Raisio Oyj, Class V
  22,294   90,931
 
Raute Oyj, Class A
  401   11,597
 
Revenio Group Oyj
  4,498   139,853
 
Sampo Oyj, Class A
  21,786   986,190
 
Sanoma Oyj
  25,923   310,340
*
SRV Group Oyj
  3,102   4,972
#*
Stockmann Oyj Abp, Class B
  5,241   13,480
 
Stora Enso Oyj, Class R
  62,459   810,749
 
Teleste Oyj
  1,197   7,304
 
TietoEVRY Oyj
  11,128   362,897
#
Tikkurila Oyj
  12,676   218,323
 
Tokmanni Group Corp.
  20,394   295,804
#
UPM-Kymmene Oyj
  85,547   2,695,450
 
Uponor Oyj
  18,691   252,885
 
Valmet Oyj
  37,202   804,744
#
Wartsila Oyj Abp
  2,476   30,366
 
YIT Oyj
  31,573   225,391
TOTAL FINLAND
      20,228,354
FRANCE — (8.2%)
 
ABC arbitrage
  3,204   23,564
 
Accor SA
  5,060   207,158
 
Actia Group
  3,218   14,388
 
Aeroports de Paris
  2,014   381,049
 
Air Liquide SA
  17,765   2,568,631
 
Airbus SE
  22,232   3,265,079
#
Akka Technologies
  4,107   285,160
 
AKWEL
  3,913   81,199
 
Albioma SA
  8,257   274,913
 
Alstom SA
  18,467   978,756
 
Altamir
  3,848   73,191
 
Alten SA
  8,111   999,621
*
Amplitude Surgical SAS
  1,826   3,255
 
Amundi SA
  1,740   140,836
 
Arkema SA
  21,109   1,934,201
 
Assystem SA
  1,573   54,744
 
Atos SE
  11,535   956,580
 
Aubay
  1,711   56,833
 
AXA SA
  70,538   1,875,715
 
Axway Software SA
  1,116   14,392
*
Bastide le Confort Medical
  789   31,636
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
FRANCE — (Continued)
 
Beneteau SA
  9,994   $107,190
 
Bigben Interactive
  3,072   47,728
 
BNP Paribas SA
  41,242   2,188,611
 
Boiron SA
  1,900   72,307
 
Bollore SA
  46,537   189,093
*
Bollore SA
  65   263
 
Bonduelle SCA
  4,816   114,856
#
Bourbon Corp.
  2,500   42,938
 
Bouygues SA
  43,174   1,705,791
 
Bureau Veritas SA
  32,581   897,763
 
Burelle SA
  30   24,896
 
Capgemini SE
  6,549   813,325
 
Carrefour SA
  63,897   1,081,245
#
Casino Guichard Perrachon SA
  9,663   392,670
*
Cegedim SA
  1,561   52,398
#*
CGG SA
  161,860   454,814
 
Chargeurs SA
  4,018   75,710
 
Cie de Saint-Gobain
  63,372   2,390,921
 
Cie des Alpes
  2,635   87,875
 
Cie Generale des Etablissements Michelin SCA
  24,889   2,887,701
 
Cie Plastic Omnium SA
  15,525   391,020
 
CNP Assurances
  12,837   231,070
*
Coface SA
  29,501   363,519
 
Credit Agricole SA
  36,437   492,269
 
Danone SA
  24,771   1,982,285
 
Dassault Systemes SE
  1,001   173,287
 
Derichebourg SA
  37,574   136,277
 
Devoteam SA
  1,357   126,352
 
Edenred
  24,983   1,349,121
 
Eiffage SA
  24,726   2,866,083
#
Electricite de France SA
  81,709   1,008,720
#
Electricite de Strasbourg SA
  112   14,835
 
Elior Group SA
  28,156   394,750
 
Elis SA
  53,902   1,049,589
 
Engie SA
  78,813   1,356,632
#
Eramet
  2,714   113,857
#*
Erytech Pharma SA
  2,355   16,174
 
EssilorLuxottica SA
  8,962   1,326,900
*
Esso SA Francaise
  718   16,209
 
Etablissements Maurel et Prom SA
  7,575   21,256
 
Euronext NV
  11,989   1,039,241
#
Europcar Mobility Group
  35,933   145,746
 
Eutelsat Communications SA
  68,501   1,026,703
 
Exel Industries, Class A
  266   13,056
 
Faurecia SE
  19,537   930,871
 
Fleury Michon SA
  175   5,611
*
Fnac Darty S.A.
  4,763   232,067
*
Fnac Darty SA
  903   44,521
 
Gaztransport Et Technigaz SA
  3,911   395,339
 
Getlink SE
  29,951   528,374
 
GL Events
  2,690   63,108
 
Groupe Crit
  826   63,006
 
Groupe Gorge
  802   15,288
 
Groupe Open
  976   13,173
 
Guerbet
  2,118   81,821
 
Haulotte Group SA
  2,041   10,880
 
HERIGE SADCS
  200   6,386
 
Hermes International
  787   587,674
 
HEXAOM
  901   36,148
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
FRANCE — (Continued)
*
ID Logistics Group
  417   $81,537
#
Iliad SA
  10,199   1,338,528
 
Imerys SA
  8,616   371,942
 
Ingenico Group SA
  8,340   969,884
 
Ipsen SA
  2,355   174,765
 
IPSOS
  10,845   351,379
 
Jacquet Metal Service SA
  3,858   60,227
 
JCDecaux SA
  7,836   209,436
 
Kaufman & Broad SA
  7,894   334,391
 
Kering SA
  1,882   1,149,941
 
Korian SA
  14,424   658,028
 
Lagardere SCA
  28,664   544,088
 
Le Belier
  1,008   40,399
 
Lectra
  6,791   167,891
 
Legrand SA
  17,950   1,436,209
 
Linedata Services
  1,500   48,573
 
LISI
  5,674   172,553
 
LNA Sante SA
  1,351   68,684
 
L'Oreal SA
  209   58,132
 
LVMH Moet Hennessy Louis Vuitton SE
  13,701   5,966,404
 
Maisons du Monde SA
  5,716   75,759
 
Manitou BF SA
  2,548   46,654
 
Manutan International
  278   19,824
 
Mersen SA
  4,927   161,415
*
METabolic EXplorer SA
  7,040   12,818
 
Metropole Television SA
  10,154   168,867
 
Natixis SA
  68,754   290,340
 
Nexans SA
  6,931   337,202
 
Nexity SA
  13,786   665,562
#*
Nicox
  1,341   6,556
 
NRJ Group
  4,221   29,157
 
Oeneo SA
  6,216   94,770
*
OL Groupe SA
  4,903   16,415
*
Onxeo SA
  7,633   4,671
 
Orange SA
  181,465   2,565,183
 
Orpea
  4,516   587,958
 
Peugeot SA
  147,891   3,045,112
*
Pierre & Vacances SA
  743   20,219
#
Plastivaloire
  2,229   16,039
 
Publicis Groupe SA
  9,045   400,957
 
Quadient
  11,230   270,136
#
Rallye SA
  5,260   51,242
#*
Recylex SA
  3,158   10,358
 
Renault SA
  6,123   239,490
 
Rexel SA
  70,107   838,626
#
Robertet SA
  199   200,932
 
Rothschild & Co.
  5,200   139,640
 
Rubis SCA
  13,553   837,135
 
Safran SA
  5,719   922,115
 
Samse SA
  48   8,895
 
Sartorius Stedim Biotech
  2,020   362,234
 
Savencia SA
  1,061   73,097
 
SCOR SE
  24,351   1,034,988
 
SEB SA
  4,923   632,099
 
Seche Environnement SA
  1,053   47,951
 
SES SA
  82,028   1,006,708
 
Societe BIC SA
  6,130   413,803
 
Societe Generale SA
  71,026   2,298,377
 
Societe Marseillaise du Tunnel Prado-Carenage SA
  467   11,275
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
FRANCE — (Continued)
 
Societe pour l'Informatique Industrielle
  1,640   $48,793
#
Sodexo SA
  7,943   831,670
#*
SOITEC
  3,223   302,921
*
Solocal Group
  94,864   45,968
 
Somfy SA
  2,083   210,536
 
Sopra Steria Group
  3,302   527,223
 
SPIE SA
  27,246   527,798
#*
SRP Groupe SA
  2,351   2,998
 
Stef SA
  1,222   112,192
 
STMicroelectronics NV
  101,509   2,826,218
#
STMicroelectronics NV
  3,197   89,036
 
Suez
  37,066   608,284
 
Sword Group
  974   37,789
 
Synergie SA
  2,431   77,085
 
Tarkett SA
  11,085   153,050
#*
Technicolor SA
  73,458   50,860
 
Teleperformance
  9,363   2,349,154
 
Television Francaise 1
  14,992   112,868
#
TFF Group
  380   13,832
 
Thermador Groupe
  1,400   85,090
 
Total Gabon
  250   37,187
 
Total SA
  174,979   8,519,849
 
Trigano SA
  1,605   152,191
*
Ubisoft Entertainment SA
  13,221   1,002,701
 
Union Financiere de France BQE SA
  1,264   28,594
 
Valeo SA
  30,669   910,904
#*
Vallourec SA
  54,905   138,261
 
Veolia Environnement SA
  20,894   616,381
 
Vetoquinol SA
  532   34,151
 
Vicat SA
  5,467   228,053
 
Vilmorin & Cie SA
  1,927   93,392
 
Vinci SA
  31,612   3,502,263
*
Virbac SA
  918   224,712
 
Vivendi SA
  21,778   595,612
TOTAL FRANCE
      103,783,400
GERMANY — (6.5%)
 
1&1 Drillisch AG
  5,762   141,262
 
7C Solarparken AG
  9,453   39,706
 
Aareal Bank AG
  10,684   349,883
 
Adidas AG
  6,785   2,144,834
*
Adler Modemaerkte AG
  1,392   5,928
*
ADLER Real Estate AG
  8,152   109,439
 
ADO Properties SA
  5,044   155,954
*
ADVA Optical Networking SE
  14,838   122,425
 
All for One Group AG
  614   37,177
 
Allgeier SE
  901   32,627
 
Allianz SE
  13,842   3,304,686
 
Amadeus Fire AG
  1,150   194,693
 
Aroundtown SA
  67,018   634,447
 
Atoss Software AG
  243   42,370
 
Aurubis AG
  9,731   529,451
 
BASF SE
  43,484   2,935,025
 
Basler AG
  411   24,533
 
Bauer AG
  2,614   46,162
 
Bayerische Motoren Werke AG
  28,907   2,059,087
 
BayWa AG
  3,443   101,170
 
Bechtle AG
  5,456   787,238
 
Beiersdorf AG
  2,753   312,118
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
GERMANY — (Continued)
 
Bertrandt AG
  1,821   $105,416
 
Bijou Brigitte AG
  834   46,130
 
Bilfinger SE
  8,032   283,327
 
Borussia Dortmund GmbH & Co. KGaA
  13,186   128,824
 
Brenntag AG
  27,483   1,422,247
 
CANCOM SE
  7,158   425,874
 
Carl Zeiss Meditec AG
  1,144   139,671
*
CECONOMY AG
  33,172   171,464
 
CENIT AG
  209   2,996
 
CENTROTEC Sustainable AG
  947   14,396
 
Cewe Stiftung & Co. KGAA
  2,318   264,398
 
comdirect bank AG
  2,668   41,100
 
Commerzbank AG
  123,311   707,617
 
CompuGroup Medical SE
  4,659   306,478
 
Continental AG
  13,979   1,595,244
#
Corestate Capital Holding SA
  3,697   162,186
 
Covestro AG
  11,333   477,604
 
CropEnergies AG
  9,615   107,364
 
CTS Eventim AG & Co. KGaA
  11,889   739,303
 
Daimler AG
  79,755   3,693,216
*
Delivery Hero SE
  771   59,323
 
Deutsche Bank AG
  197,769   1,809,586
 
Deutsche Beteiligungs AG
  4,228   178,011
 
Deutsche Boerse AG
  11,183   1,815,263
 
Deutsche EuroShop AG
  3,175   86,564
 
Deutsche Lufthansa AG
  20,922   318,718
 
Deutsche Pfandbriefbank AG
  35,125   565,742
 
Deutsche Post AG
  33,162   1,157,018
 
Deutsche Telekom AG
  259,943   4,209,984
 
Deutsche Wohnen SE
  15,456   653,942
 
Deutz AG
  10,004   52,248
*
Dialog Semiconductor P.L.C.
  17,913   786,862
 
DIC Asset AG
  8,141   152,529
 
DMG Mori AG
  4,388   206,740
 
Dr Hoenle AG
  981   47,870
 
Draegerwerk AG & Co. KGaA
  801   36,477
 
Duerr AG
  16,230   485,910
 
E.ON SE
  197,282   2,235,398
 
Eckert & Ziegler Strahlen- und Medizintechnik AG
  1,205   229,509
 
EDAG Engineering Group AG
  3,367   37,725
 
Elmos Semiconductor AG
  4,335   134,214
*
ElringKlinger AG
  5,449   37,024
 
Energiekontor AG
  2,205   52,351
 
Evonik Industries AG
  27,076   741,984
 
Ferratum Oyj
  573   7,503
 
Fielmann AG
  4,381   348,438
 
First Sensor AG
  731   31,144
 
FORTEC Elektronik AG
  65   1,419
 
Francotyp-Postalia Holding AG, Class A
  2,956   11,695
 
Fraport AG Frankfurt Airport Services Worldwide
  7,592   564,670
 
Freenet AG
  45,068   999,760
 
Fresenius Medical Care AG & Co. KGaA
  28,159   2,165,003
 
Fuchs Petrolub SE
  4,496   182,477
 
Gerresheimer AG
  9,780   773,626
 
Gesco AG
  2,374   49,969
 
GFT Technologies SE
  5,152   75,573
 
Grand City Properties SA
  19,175   491,459
*
H&R GmbH & Co. KGaA
  3,109   17,235
 
Hamburger Hafen und Logistik AG
  10,573   260,198
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
GERMANY — (Continued)
 
Hannover Rueck SE
  2,464   $478,426
 
Hapag-Lloyd AG
  6,086   499,754
 
HeidelbergCement AG
  11,499   775,506
*
Heidelberger Druckmaschinen AG
  78,275   77,244
 
Hella GmbH & Co KGaA
  12,571   590,810
 
Henkel AG & Co. KGaA
  2,096   193,116
 
Highlight Communications AG
  1,578   7,593
 
Hochtief AG
  1,791   207,156
 
Hornbach Baumarkt AG
  2,192   48,061
 
Hornbach Holding AG & Co. KGaA
  2,702   170,704
 
Hugo Boss AG
  13,109   619,291
 
Indus Holding AG
  5,552   226,127
 
Infineon Technologies AG
  83,750   1,799,196
 
Isra Vision AG
  1,475   55,229
 
Jenoptik AG
  7,124   195,793
 
K+S AG
  53,489   519,086
 
KION Group AG
  18,471   1,156,134
 
Kloeckner & Co. SE
  12,707   80,700
 
Koenig & Bauer AG
  3,072   81,437
 
KSB SE & Co. KGaA
  11   3,794
 
KWS Saat SE & Co., KGaA
  1,695   104,665
 
Lanxess AG
  21,679   1,300,158
 
LEG Immobilien AG
  7,693   948,857
 
Leifheit AG
  993   26,258
*
Leoni AG
  9,337   109,016
*
LPKF Laser & Electronics AG
  1,872   39,202
*
Manz AG
  577   13,163
 
MasterFlex SE
  948   5,064
 
METRO AG
  60,356   839,793
 
MLP SE
  16,050   100,038
 
MTU Aero Engines AG
  6,538   1,980,130
 
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen
  5,630   1,659,950
 
Nemetschek SE
  10,653   722,612
 
New Work SE
  503   164,529
 
Nexus AG
  544   20,705
*
Nordex SE
  10,527   136,218
 
Norma Group SE
  12,279   447,655
 
OHB SE
  1,146   51,702
 
OSRAM Licht AG
  14,114   709,627
 
Paragon GmbH & Co. KGaA
  295   6,260
 
Patrizia AG
  7,619   181,873
 
Pfeiffer Vacuum Technology AG
  441   73,266
 
PNE AG
  20,038   97,558
 
Progress-Werk Oberkirch AG
  549   14,735
 
ProSiebenSat.1 Media SE
  42,290   559,860
 
PSI Software AG
  1,210   26,049
 
Puma SE
  3,530   282,657
 
Puma SE
  1,130   90,734
 
QSC AG
  38,579   49,359
*
R Stahl AG
  287   10,357
 
Rational AG
  420   314,970
 
RIB Software SE
  652   13,694
*
Rocket Internet SE
  19,642   459,140
 
RTL Group SA
  8,129   369,364
 
RWE AG
  46,206   1,601,831
#
S&T AG
  2,225   59,731
 
SAF-Holland SA
  15,350   106,534
 
Salzgitter AG
  9,848   164,891
 
SAP SE, Sponsored ADR
  2,290   299,463
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
GERMANY — (Continued)
 
SAP SE
  11,462   $1,492,709
*
Schaltbau Holding AG
  438   16,118
 
Scout24 AG
  7,183   493,721
 
Secunet Security Networks AG
  211   30,336
*
SGL Carbon SE
  6,998   31,172
 
Siltronic AG
  3,390   363,127
 
Sixt Leasing SE
  4,411   65,234
*
SMT Scharf AG
  570   6,309
 
Softing AG
  978   8,045
 
Software AG
  6,122   204,092
 
Stabilus SA
  6,518   395,976
 
Stroeer SE & Co. KGaA
  7,447   591,086
 
Suedzucker AG
  20,485   346,199
*
SUESS MicroTec SE
  2,792   31,765
 
Surteco Group SE
  1,977   48,946
 
Symrise AG
  8,978   922,534
 
TAG Immobilien AG
  22,864   602,597
 
Takkt AG
  9,442   123,961
*
Talanx AG
  9,232   460,716
 
Technotrans SE
  2,825   61,989
*
Tele Columbus AG
  4,512   16,924
 
Telefonica Deutschland Holding AG
  97,109   293,919
 
Thyssenkrupp AG
  19,380   238,297
 
TLG Immobilien AG
  16,652   569,354
 
Uniper SE
  19,038   623,697
 
United Internet AG
  32,890   1,063,287
 
VERBIO Vereinigte BioEnergie AG
  6,536   92,492
 
Volkswagen AG
  3,803   696,343
 
Vonovia SE
  21,306   1,216,063
 
Vossloh AG
  2,156   95,029
 
Wacker Chemie AG
  4,737   339,956
 
Wacker Neuson SE
  7,576   121,636
 
Washtec AG
  2,225   125,456
 
Wirecard AG
  7,008   1,027,941
 
Wuestenrot & Wuerttembergische AG
  5,572   118,180
*
Zalando SE
  1,838   88,003
TOTAL GERMANY
      81,986,265
HONG KONG — (2.5%)
 
Aeon Credit Service Asia Co., Ltd.
  22,000   17,036
#
Agritrade Resources, Ltd.
  790,000   20,790
 
AIA Group, Ltd.
  233,600   2,314,730
 
Allied Properties HK, Ltd.
  342,000   63,769
 
APAC Resources, Ltd.
  20,000   2,462
#*
Applied Development Holdings, Ltd.
  235,000   5,946
 
Asia Financial Holdings, Ltd.
  40,000   20,250
 
Asia Standard International Group, Ltd.
  156,000   23,754
 
Asiasec Properties, Ltd.
  62,000   9,837
 
ASM Pacific Technology, Ltd.
  88,900   1,197,905
 
Bank of East Asia, Ltd. (The)
  131,253   283,109
 
BOC Aviation, Ltd.
  60,000   553,159
 
BOC Hong Kong Holdings, Ltd.
  168,000   555,338
 
Bright Smart Securities & Commodities Group, Ltd.
  132,000   34,744
*
Brightoil Petroleum Holdings, Ltd.
  444,000   64,314
*
Burwill Holdings, Ltd.
  1,052,000   7,220
 
Cafe de Coral Holdings, Ltd.
  124,000   278,217
#*
Camsing International Holding, Ltd.
  28,000   3,137
#
Cathay Pacific Airways, Ltd.
  144,000   181,600
 
Century City International Holdings, Ltd.
  420,000   28,559
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
HONG KONG — (Continued)
 
CGN Mining Co., Ltd.
  245,000   $8,396
 
Chevalier International Holdings, Ltd.
  12,000   16,921
*
China Best Group Holding, Ltd.
  290,000   5,521
*
China Display Optoelectronics Technology Holdings, Ltd.
  176,000   10,924
*
China Energy Development Holdings, Ltd.
  1,680,000   37,081
 
China Motor Bus Co., Ltd.
  1,400   20,830
#
China New Higher Education Group, Ltd.
  53,000   18,040
 
China Star Entertainment, Ltd.
  180,000   35,169
#*
China Strategic Holdings, Ltd.
  2,830,000   11,209
 
Chinese Estates Holdings, Ltd.
  121,000   85,383
 
Chong Hing Bank, Ltd.
  9,000   14,273
 
Chow Sang Sang Holdings International, Ltd.
  104,000   121,430
 
Chow Tai Fook Jewellery Group, Ltd.
  151,000   136,100
 
Chuang's China Investments, Ltd.
  190,000   10,301
 
Chuang's Consortium International, Ltd.
  200,000   34,174
 
CITIC Telecom International Holdings, Ltd.
  571,000   197,141
 
CK Asset Holdings, Ltd.
  155,808   995,450
 
CK Infrastructure Holdings, Ltd.
  28,000   195,351
 
CK Life Sciences Intl Holdings, Inc.
  852,000   88,037
 
CLP Holdings, Ltd.
  37,000   384,783
 
CNQC International Holdings, Ltd.
  147,500   19,840
 
CNT Group, Ltd.
  128,000   5,845
 
Convenience Retail Asia, Ltd.
  54,000   24,774
#*
Convoy Global Holdings, Ltd.
  576,000   2,321
*
Cosmopolitan International Holdings, Ltd.
  60,000   11,534
 
Cowell e Holdings, Inc.
  141,000   34,128
 
Crocodile Garments
  111,000   7,444
 
Cross-Harbour Holdings, Ltd. (The)
  37,939   59,400
 
CSI Properties, Ltd.
  1,190,000   42,606
*
CST Group, Ltd.
  4,280,000   13,235
 
Dah Sing Banking Group, Ltd.
  131,328   167,241
 
Dah Sing Financial Holdings, Ltd.
  34,120   122,667
 
Dickson Concepts International, Ltd.
  21,500   13,183
 
Eagle Nice International Holdings, Ltd.
  74,000   26,287
 
Emperor Capital Group, Ltd.
  888,000   19,379
 
Emperor Watch & Jewellery, Ltd.
  810,000   14,847
#*
ENM Holdings, Ltd.
  156,000   12,769
#*
Esprit Holdings, Ltd.
  499,500   89,173
*
Eternity Investment, Ltd.
  710,000   16,940
#
Fairwood Holdings, Ltd.
  16,500   39,910
 
Far East Consortium International, Ltd.
  384,829   165,602
*
Far East Holdings International, Ltd.
  147,000   3,758
*
FIH Mobile, Ltd.
  830,000   128,566
 
First Pacific Co., Ltd.
  752,000   236,037
*
First Shanghai Investments, Ltd.
  128,000   6,100
 
Fountain SET Holdings, Ltd.
  164,000   25,269
*
Freeman Fintech Corp, Ltd.
  312,000   4,502
 
Get Nice Financial Group, Ltd.
  101,500   9,574
 
Get Nice Holdings, Ltd.
  1,580,000   40,901
 
Giordano International, Ltd.
  382,000   97,639
 
Global Brands Group Holding, Ltd.
  143,200   9,098
#*
Gold-Finance Holdings, Ltd.
  38,000   132
*
Good Resources Holdings, Ltd.
  410,000   5,019
*
Goodbaby International Holdings, Ltd.
  231,000   42,342
 
Great Eagle Holdings, Ltd.
  43,597   132,926
*
G-Resources Group, Ltd.
  6,825,600   45,582
#
Guotai Junan International Holdings, Ltd.
  974,000   164,707
#
Haitong International Securities Group, Ltd.
  731,956   210,553
 
Hang Lung Group, Ltd.
  116,000   286,653
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
HONG KONG — (Continued)
 
Hang Lung Properties, Ltd.
  132,000   $275,738
 
Hang Seng Bank, Ltd.
  54,400   1,099,605
 
Hanison Construction Holdings, Ltd.
  26,565   3,770
*
Hao Tian Development Group, Ltd.
  245,000   6,268
 
Henderson Land Development Co., Ltd.
  94,249   423,145
 
HK Electric Investments & HK Electric Investments, Ltd.
  102,000   101,850
 
HKBN, Ltd.
  110,500   191,488
 
HKT Trust & HKT, Ltd.
  580,000   865,784
 
Hon Kwok Land Investment Co., Ltd.
  38,000   14,603
 
Hong Kong & China Gas Co., Ltd.
  205,179   392,647
 
Hong Kong Exchanges & Clearing, Ltd.
  44,921   1,475,989
#
Hong Kong Ferry Holdings Co., Ltd.
  22,000   18,977
#*
Hong Kong Finance Investment Holding Group, Ltd.
  216,000   22,756
#*
Hong Kong Television Network, Ltd.
  68,000   36,397
 
Hongkong & Shanghai Hotels, Ltd. (The)
  118,000   118,513
 
Hongkong Chinese, Ltd.
  136,000   14,188
#
Honma Golf, Ltd.
  25,000   16,876
*
Huan Yue Interactive Holdings, Ltd.
  95,000   8,007
 
Hung Hing Printing Group, Ltd.
  86,000   12,404
 
Hutchison Telecommunications Hong Kong Holdings, Ltd.
  256,000   46,382
 
Hysan Development Co., Ltd.
  36,000   134,387
#*
I-CABLE Communications, Ltd.
  63,112   572
#
IGG, Inc.
  161,000   111,982
*
Imagi International Holdings, Ltd.
  31,500   4,038
 
International Housewares Retail Co., Ltd.
  59,000   13,681
 
IT, Ltd.
  176,000   39,432
 
ITC Properties Group, Ltd.
  117,143   16,816
#
Jacobson Pharma Corp., Ltd.
  72,000   15,093
 
Johnson Electric Holdings, Ltd.
  100,875   222,746
 
Kader Holdings Co., Ltd.
  102,000   8,986
 
Karrie International Holdings, Ltd.
  110,000   15,611
 
Kerry Logistics Network, Ltd.
  122,500   195,424
 
Kerry Properties, Ltd.
  102,500   285,904
 
Kingmaker Footwear Holdings, Ltd.
  42,000   5,230
 
Kingston Financial Group, Ltd.
  644,000   72,432
 
Kowloon Development Co., Ltd.
  101,000   120,676
 
Kwoon Chung Bus Holdings, Ltd.
  22,000   7,681
 
Lai Sun Development Co., Ltd.
  55,120   65,200
#
Landsea Green Group Co., Ltd.
  264,000   26,085
 
Langham Hospitality Investments and Langham Hospitality Investments, Ltd.
  92,000   23,815
*
Lerthai Group, Ltd.
  20,000   9,500
 
Li & Fung, Ltd.
  1,696,000   148,520
 
Lifestyle International Holdings, Ltd.
  104,000   104,010
 
Liu Chong Hing Investment, Ltd.
  46,000   59,130
 
L'Occitane International SA
  108,500   229,764
#
Luk Fook Holdings International, Ltd.
  97,000   262,737
 
Lung Kee Bermuda Holdings
  24,000   7,513
 
Magnificent Hotel Investment, Ltd.
  102,000   2,001
 
Man Wah Holdings, Ltd.
  494,400   340,861
 
Mason Group Holdings, Ltd.
  3,999,598   23,638
 
Master Glory Group, Ltd.
  163,500   4,105
*
Midland Holdings, Ltd.
  65,125   8,307
 
Ming Fai International Holdings, Ltd.
  64,000   6,538
 
Miramar Hotel & Investment
  40,000   74,386
 
Modern Dental Group, Ltd.
  72,000   12,952
 
Mongolian Mining Corp.
  112,300   7,302
 
MTR Corp., Ltd.
  18,420   103,312
 
Nameson Holdings, Ltd.
  206,000   14,144
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
HONG KONG — (Continued)
 
New World Development Co., Ltd.
  840,083   $1,049,375
*
NewOcean Energy Holdings, Ltd.
  238,000   33,661
#
OP Financial, Ltd.
  108,000   20,591
 
Oriental Watch Holdings
  118,000   28,339
#
Oshidori International Holdings, Ltd.
  984,000   98,757
 
Pacific Basin Shipping, Ltd.
  1,279,000   229,409
 
Pacific Textiles Holdings, Ltd.
  300,000   193,994
 
Paliburg Holdings, Ltd.
  58,000   19,423
*
PC Partner Group, Ltd.
  60,000   13,937
 
PCCW, Ltd.
  1,150,000   677,319
 
Perfect Shape Medical, Ltd.
  88,000   29,489
 
Pico Far East Holdings, Ltd.
  162,000   43,823
 
Playmates Holdings, Ltd.
  140,000   19,714
*
Playmates Toys, Ltd.
  212,000   10,186
 
Polytec Asset Holdings, Ltd.
  263,500   32,137
 
Power Assets Holdings, Ltd.
  29,000   209,363
 
Prada SpA
  65,000   249,225
 
Public Financial Holdings, Ltd.
  104,000   37,380
*
PYI Corp., Ltd.
  568,000   5,466
 
Rare Earth Magnesium Technology Group Holdings, Ltd.
  350,000   12,066
 
Regal Hotels International Holdings, Ltd.
  76,000   37,916
 
Regina Miracle International Holdings, Ltd.
  87,000   51,858
#
Sa Sa International Holdings, Ltd.
  389,388   68,666
 
Samsonite International SA
  381,000   711,462
 
SAS Dragon Holdings, Ltd.
  64,000   20,710
 
SEA Holdings, Ltd.
  47,706   40,348
 
Shangri-La Asia, Ltd.
  144,000   132,735
 
Shenwan Hongyuan HK, Ltd.
  67,500   9,172
 
Shun Ho Property Investments, Ltd.
  1,683   431
 
Shun Tak Holdings, Ltd.
  314,000   134,615
 
Singamas Container Holdings, Ltd.
  386,000   35,623
 
Sino Land Co., Ltd.
  246,188   335,514
 
SITC International Holdings Co., Ltd.
  364,000   428,771
 
Sitoy Group Holdings, Ltd.
  46,000   5,702
 
SmarTone Telecommunications Holdings, Ltd.
  151,500   111,011
*
SOCAM Development, Ltd.
  22,875   5,902
 
Soundwill Holdings, Ltd.
  25,500   29,529
 
Stella International Holdings, Ltd.
  99,000   137,180
 
Sun Hung Kai & Co., Ltd.
  139,000   62,113
 
Sun Hung Kai Properties, Ltd.
  46,696   650,492
 
SUNeVision Holdings, Ltd.
  106,000   70,147
 
Swire Pacific, Ltd., Class A
  53,500   469,771
 
Swire Pacific, Ltd., Class B
  112,500   159,067
 
Swire Properties, Ltd.
  51,200   158,946
*
Synergy Group Holdings International, Ltd.
  136,000   6,266
 
TAI Cheung Holdings, Ltd.
  41,000   32,446
 
Tao Heung Holdings, Ltd.
  46,000   7,302
 
Techtronic Industries Co., Ltd.
  109,000   869,721
 
Television Broadcasts, Ltd.
  56,200   86,040
 
Texwinca Holdings, Ltd.
  224,000   47,370
 
TK Group Holdings, Ltd.
  54,000   26,184
#*
TOM Group, Ltd.
  124,000   22,113
#
Town Health International Medical Group, Ltd.
  210,998   14,018
 
Tradelink Electronic Commerce, Ltd.
  164,000   23,902
 
Transport International Holdings, Ltd.
  54,000   136,134
*
Trinity, Ltd.
  32,000   841
 
Tsui Wah Holdings, Ltd.
  168,000   8,931
#
United Laboratories International Holdings, Ltd. (The)
  150,000   98,178
*
Value Convergence Holdings, Ltd.
  192,000   7,471
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
HONG KONG — (Continued)
 
Vantage International Holdings, Ltd.
  100,000   $6,589
 
Vedan International Holdings, Ltd.
  124,000   12,483
 
Vitasoy International Holdings, Ltd.
  98,000   353,239
#
VPower Group International Holdings, Ltd.
  101,000   28,962
 
VSTECS Holdings, Ltd.
  196,000   94,355
 
VTech Holdings, Ltd.
  59,200   535,092
 
Wai Kee Holdings, Ltd.
  56,000   32,408
 
Wang On Group, Ltd.
  3,440,000   32,728
 
WH Group, Ltd.
  1,299,500   1,222,961
 
Wharf Holdings, Ltd. (The)
  145,000   358,186
 
Wharf Real Estate Investment Co., Ltd.
  28,000   144,599
 
Wheelock & Co., Ltd.
  53,000   322,620
 
Win Hanverky Holdings, Ltd.
  108,000   6,475
 
Wing On Co. International, Ltd.
  9,000   24,805
 
Wing Tai Properties, Ltd.
  62,000   38,908
 
Wonderful Sky Financial Group Holdings, Ltd.
  46,000   3,914
 
Xinyi Glass Holdings, Ltd.
  514,000   644,188
#
YT Realty Group, Ltd.
  38,309   10,919
 
Yue Yuen Industrial Holdings, Ltd.
  187,000   519,955
TOTAL HONG KONG
      31,062,409
IRELAND — (0.9%)
 
AIB Group P.L.C.
  91,119   267,147
 
Bank of Ireland Group P.L.C.
  138,912   676,532
 
Cairn Homes P.L.C
  36,483   49,564
 
CRH P.L.C., Sponsored ADR
  96,236   3,617,511
*
Datalex P.L.C.
  13,426   5,115
 
FBD Holdings P.L.C.
  5,285   50,887
 
Glanbia P.L.C.
  17,683   206,005
 
Irish Continental Group P.L.C.
  65,808   341,675
 
Kerry Group P.L.C., Class A
  9,113   1,164,795
 
Kingspan Group P.L.C.
  36,564   2,255,113
*
Permanent TSB Group Holdings P.L.C.
  13,273   14,561
 
Smurfit Kappa Group P.L.C.
  63,274   2,188,139
TOTAL IRELAND
      10,837,044
ISRAEL — (0.9%)
#
Adgar Investment and Development, Ltd.
  6,846   16,405
*
AFI Properties, Ltd.
  2,148   87,076
 
Africa Israel Residences, Ltd.
  740   23,586
*
Airport City, Ltd.
  11,254   197,881
 
Alony Hetz Properties & Investments, Ltd.
  19,674   325,127
 
Alrov Properties and Lodgings, Ltd.
  1,668   81,203
 
Amot Investments, Ltd.
  16,980   123,510
 
Arad, Ltd.
  1,741   32,072
*
Arko Holdings, Ltd.
  52,460   21,696
 
Ashtrom Group, Ltd.
  4,557   67,900
 
Ashtrom Properties, Ltd.
  9,439   59,998
*
Avgol Industries 1953, Ltd.
  23,344   16,012
*
Azorim-Investment Development & Construction Co., Ltd.
  22,077   53,288
 
Azrieli Group, Ltd.
  121   8,917
 
Bank Hapoalim BM
  80,618   692,157
 
Bank Leumi Le-Israel BM
  158,799   1,141,754
#
Bayside Land Corp.
  149   119,225
 
Bet Shemesh Engines Holdings 1997, Ltd.
  331   13,434
*
Bezeq The Israeli Telecommunication Corp., Ltd.
  81,788   62,822
 
Big Shopping Centers, Ltd.
  833   93,765
 
Blue Square Real Estate, Ltd.
  814   57,904
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
ISRAEL — (Continued)
*
Brack Capital Properties NV
  439   $42,510
 
Carasso Motors, Ltd.
  2,219   10,602
*
Cellcom Israel, Ltd.
  11,947   43,047
*
Cellcom Israel, Ltd.
  3,337   11,846
#*
Ceragon Networks, Ltd.
  7,505   15,460
*
Clal Insurance Enterprises Holdings, Ltd.
  9,258   117,161
 
Danel Adir Yeoshua, Ltd.
  247   23,212
 
Delek Automotive Systems, Ltd.
  9,595   56,960
 
Delek Group, Ltd.
  588   75,399
 
Delta-Galil Industries, Ltd.
  3,106   81,359
 
Dor Alon Energy in Israel 1988, Ltd.
  967   25,165
*
El Al Israel Airlines
  62,551   17,342
 
Electra, Ltd.
  371   195,110
*
Energix-Renewable Energies, Ltd.
  10,003   35,183
*
Equital, Ltd.
  5,972   159,144
 
First International Bank Of Israel, Ltd.
  10,866   303,840
 
FMS Enterprises Migun, Ltd.
  330   11,466
 
Formula Systems 1985, Ltd.
  2,261   163,511
 
Fox Wizel, Ltd.
  2,984   141,656
 
Gilat Satellite Networks, Ltd.
  2,199   20,546
*
Hamlet Israel-Canada, Ltd.
  477   8,592
 
Harel Insurance Investments & Financial Services, Ltd.
  34,538   236,026
 
Hilan, Ltd.
  2,773   112,677
 
IDI Insurance Co., Ltd.
  1,400   46,870
#
IES Holdings, Ltd.
  544   32,992
*
Industrial Buildings Corp., Ltd.
  30,451   86,250
 
Inrom Construction Industries, Ltd.
  7,714   35,569
 
Israel Chemicals, Ltd.
  54,893   230,571
 
Israel Discount Bank, Ltd., Class A
  115,533   524,015
 
Israel Land Development - Urban Renewal, Ltd.
  1,404   19,114
 
Isras Investment Co., Ltd.
  211   49,531
 
Kenon Holdings, Ltd.
  2,757   56,865
 
Kerur Holdings, Ltd.
  968   26,477
 
Klil Industries, Ltd.
  213   16,939
 
Magic Software Enterprises, Ltd.
  1,344   14,554
 
Malam - Team, Ltd.
  164   35,210
 
Matrix IT, Ltd.
  6,841   142,681
 
Maytronics, Ltd.
  8,431   71,896
 
Mega Or Holdings, Ltd.
  3,782   99,633
*
Mehadrin, Ltd.
  180   6,966
 
Meitav Dash Investments, Ltd.
  7,248   28,474
 
Melisron, Ltd.
  1,602   105,189
 
Menora Mivtachim Holdings, Ltd.
  7,969   105,841
 
Migdal Insurance & Financial Holdings, Ltd.
  104,926   84,849
 
Mivtach Shamir Holdings, Ltd.
  1,225   24,160
 
Mizrahi Tefahot Bank, Ltd.
  11,306   307,767
 
Naphtha Israel Petroleum Corp., Ltd.
  12,979   67,744
 
Neto ME Holdings, Ltd.
  380   21,187
*
Nice, Ltd.
  653   112,553
#*
Nice, Ltd., Sponsored ADR
  2,458   423,513
*
Nova Measuring Instruments, Ltd.
  4,633   177,721
 
Oil Refineries, Ltd.
  527,463   232,228
 
One Software Technologies, Ltd.
  286   22,251
#
OPC Energy, Ltd.
  3,473   30,393
 
Palram Industries 1990, Ltd.
  1,581   7,719
*
Partner Communications Co., Ltd.
  34,075   151,079
*
Partner Communications Co., Ltd., ADR
  1,321   5,812
 
Paz Oil Co., Ltd.
  3,228   391,517
 
Phoenix Holdings, Ltd. (The)
  33,483   183,469
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
ISRAEL — (Continued)
 
Plasson Industries, Ltd.
  383   $17,903
 
Rami Levy Chain Stores Hashikma Marketing 2006, Ltd.
  1,201   69,390
 
Scope Metals Group, Ltd.
  1,610   37,224
 
Shapir Engineering and Industry, Ltd.
  29,722   211,454
 
Shikun & Binui, Ltd.
  61,820   302,878
 
Shufersal, Ltd.
  27,713   172,960
#
Strauss Group, Ltd.
  5,149   151,150
 
Summit Real Estate Holdings, Ltd.
  6,014   89,735
*
Suny Cellular Communication, Ltd.
  24,074   10,673
 
Tadiran Holdings, Ltd.
  495   21,582
*
Tower Semiconductor, Ltd.
  14,875   329,927
*
Tower Semiconductor, Ltd.
  5,566   125,002
 
Union Bank of Israel
  2,641   15,538
 
YH Dimri Construction & Development, Ltd.
  1,190   39,844
TOTAL ISRAEL
      10,778,405
ITALY — (3.1%)
 
A2A SpA
  338,403   676,012
 
ACEA SpA
  15,647   364,900
#*
Aeffe SpA
  5,749   9,733
 
Amplifon SpA
  24,370   692,949
 
Anima Holding SpA
  45,597   216,134
#
Aquafil SpA
  2,441   16,376
*
Arnoldo Mondadori Editore SpA
  26,239   53,777
 
Assicurazioni Generali SpA
  50,645   986,851
 
ASTM SpA
  4,338   126,707
 
Atlantia SpA
  18,903   463,833
 
Autogrill SpA
  25,173   244,711
 
Avio SpA
  2,121   34,597
 
Azimut Holding SpA
  32,545   798,475
 
B&C Speakers SpA
  646   9,090
*
Banca Carige SpA
  40,876   13
 
Banca Farmafactoring SpA
  14,238   87,555
 
Banca Generali SpA
  8,183   260,120
 
Banca IFIS SpA
  5,863   92,963
 
Banca Mediolanum SpA
  12,742   114,921
#*
Banca Monte dei Paschi di Siena SpA
  18,901   35,370
 
Banca Popolare di Sondrio SCPA
  117,655   253,386
 
Banca Profilo SpA
  37,962   8,663
 
Banca Sistema SpA
  9,819   18,481
*
Banco BPM SpA
  453,063   926,344
 
Banco di Desio e della Brianza SpA
  6,714   21,572
 
BasicNet SpA
  5,935   31,873
 
BE SpA
  12,564   17,960
#*
BF SpA
  5,355   22,873
#
Biesse SpA
  2,053   36,115
 
BPER Banca
  115,136   528,816
 
Brunello Cucinelli SpA
  5,789   209,906
 
Buzzi Unicem SpA
  15,525   362,562
 
Cairo Communication SpA
  17,083   45,070
 
Cementir Holding NV
  7,248   51,451
 
Cerved Group SpA
  28,334   277,737
 
CIR-Compagnie Industriali Riunite SpA
  85,893   105,863
#
CNH Industrial NV
  83,650   796,765
 
Credito Emiliano SpA
  25,960   136,629
*
Credito Valtellinese SpA
  2,067,500   144,663
#*
d'Amico International Shipping SA
  34,823   4,985
 
Danieli & C Officine Meccaniche SpA
  3,400   55,713
 
Datalogic SpA
  776   13,443
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
ITALY — (Continued)
 
De' Longhi SpA
  9,038   $170,304
 
DeA Capital SpA
  29,586   46,790
 
DiaSorin SpA
  3,572   439,166
 
doValue SpA
  4,524   59,188
 
El.En. SpA
  405   12,757
*
Elica SpA
  4,248   15,709
 
Emak SpA
  12,990   11,901
 
Enav SpA
  18,390   118,747
 
Enel SpA
  462,497   4,031,269
 
Eni SpA
  251,305   3,520,174
#
Eni SpA, Sponsored ADR
  3,109   87,021
 
ERG SpA
  9,634   227,681
 
Esprinet SpA
  9,762   50,653
 
Falck Renewables SpA
  29,454   191,632
 
Ferrari NV
  5,231   882,757
#
Ferrari NV
  1,916   323,459
 
Fiat Chrysler Automobiles NV
  108,658   1,415,511
#
Fiat Chrysler Automobiles NV
  83,504   1,087,222
 
Fiera Milano SpA
  3,369   20,496
#
FinecoBank Banca Fineco SpA
  90,530   1,059,254
 
FNM SpA
  35,502   29,073
#
Freni Brembo SpA
  28,667   327,888
*
GEDI Gruppo Editoriale SpA
  13,362   6,760
#
Geox SpA
  10,145   12,045
 
Gruppo MutuiOnline SpA
  3,454   77,042
 
Hera SpA
  161,633   735,171
 
IMA Industria Macchine Automatiche SpA
  2,658   173,447
*
IMMSI SpA
  64,785   34,954
*
Intek Group SpA
  60,280   19,989
 
Interpump Group SpA
  14,749   415,883
 
Intesa Sanpaolo SpA
  525,968   1,306,249
 
Iren SpA
  119,253   397,774
 
Italgas SpA
  85,312   567,089
 
Italmobiliare SpA
  3,339   92,895
 
IVS Group SA
  645   6,605
 
La Doria SpA
  1,769   17,381
#
Maire Tecnimont SpA
  33,875   87,364
 
MARR SpA
  5,647   120,832
 
Massimo Zanetti Beverage Group SpA
  3,336   21,688
#*
Mediaset SpA
  130,980   345,902
 
Mediobanca Banca di Credito Finanziario SpA
  110,468   1,101,984
 
Moncler SpA
  23,775   1,023,330
 
Openjobmetis SpA agenzia per il lavoro
  850   7,528
#*
OVS SpA
  65,769   125,169
 
Piaggio & C SpA
  71,436   195,208
 
Poste Italiane SpA
  4,741   54,308
#
Prima Industrie SpA
  595   10,413
#
Prysmian SpA
  5,690   126,216
 
RAI Way SpA
  18,777   122,448
 
Recordati SpA
  13,887   594,233
 
Reno de Medici SpA
  51,419   43,264
 
Reply SpA
  2,544   199,645
#
Retelit SpA
  14,038   22,997
 
Rizzoli Corriere Della Sera Mediagroup SpA
  24,091   24,404
 
Sabaf SpA
  1,265   18,570
 
SAES Getters SpA
  395   12,663
#*
Safilo Group SpA
  7,495   8,497
#*
Saipem SpA
  37,845   156,890
#*
Salini Impregilo SpA
  11,659   18,881
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
ITALY — (Continued)
 
Salvatore Ferragamo SpA
  7,903   $145,809
 
Saras SpA
  209,638   281,305
#
Servizi Italia SpA
  2,903   8,986
 
Sesa SpA
  1,124   63,132
 
Snam SpA
  139,714   748,820
 
Societa Cattolica di Assicurazioni SC
  46,906   370,928
#*
Sogefi SpA
  12,614   17,935
 
SOL SpA
  5,393   58,567
 
Technogym SpA
  17,901   222,356
*
Telecom Italia SpA
  831,443   446,405
 
Telecom Italia SpA
  63,126   33,190
 
Tenaris SA
  6,644   68,663
 
Terna Rete Elettrica Nazionale SpA
  111,736   779,502
 
Tinexta S.p.A.
  3,393   40,630
 
UniCredit SpA
  125,182   1,672,096
 
Unieuro SpA
  2,496   34,708
#
Unione di Banche Italiane SpA
  290,836   870,428
 
Unipol Gruppo SpA
  121,335   617,791
 
UnipolSai Assicurazioni SpA
  147,207   394,157
 
Zignago Vetro SpA
  4,955   74,077
TOTAL ITALY
      38,739,812
JAPAN — (22.5%)
 
77 Bank, Ltd. (The)
  14,100   213,643
 
A&A Material Corp.
  1,500   20,904
 
A&D Co., Ltd.
  7,100   58,798
 
ABC-Mart, Inc.
  1,400   89,818
 
Abist Co., Ltd.
  900   21,117
 
Access Co., Ltd.
  4,500   36,419
 
Achilles Corp.
  3,200   50,709
 
Acom Co., Ltd.
  13,900   65,109
 
Adastria Co., Ltd.
  7,780   152,844
 
ADEKA Corp.
  20,700   299,146
#
Ad-sol Nissin Corp.
  800   16,964
 
Adtec Plasma Technology Co., Ltd.
  1,000   16,276
 
Advan Co., Ltd.
  2,500   29,397
 
Advance Create Co., Ltd.
  700   11,807
 
Advanex, Inc.
  500   7,766
 
Advantest Corp.
  16,200   845,166
 
Adventure, Inc.
  300   9,718
 
Aeon Co., Ltd.
  51,565   1,054,694
 
Aeon Delight Co., Ltd.
  3,400   116,661
 
Aeon Fantasy Co., Ltd.
  2,600   55,412
 
AEON Financial Service Co., Ltd.
  17,100   267,146
#
Aeon Hokkaido Corp.
  4,700   34,291
 
Aeon Mall Co., Ltd.
  8,400   139,577
 
Aeria, Inc.
  2,400   17,736
 
AGC, Inc.
  37,500   1,264,062
 
Ahresty Corp.
  4,600   21,861
 
Ai Holdings Corp.
  6,700   113,932
 
Aica Kogyo Co., Ltd.
  4,300   134,230
 
Aichi Bank, Ltd. (The)
  2,200   67,708
 
Aichi Corp.
  7,900   51,714
 
Aichi Steel Corp.
  2,600   83,067
 
Aichi Tokei Denki Co., Ltd.
  500   19,817
 
Aida Engineering, Ltd.
  13,100   105,008
*
Aiful Corp.
  87,100   236,286
 
Aigan Co., Ltd.
  2,100   4,834
 
Ain Holdings, Inc.
  5,300   323,967
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Aiphone Co., Ltd.
  2,000   $30,982
 
Air Water, Inc.
  41,100   564,513
 
Airport Facilities Co., Ltd.
  6,100   30,617
 
Aisan Industry Co., Ltd.
  10,100   65,091
 
Aisin Seiki Co., Ltd.
  19,018   633,110
 
Aizawa Securities Co., Ltd.
  9,400   63,323
 
Ajis Co., Ltd.
  1,100   30,965
 
Akatsuki Corp.
  3,800   12,604
#
Akatsuki, Inc.
  1,700   77,574
*
Akebono Brake Industry Co., Ltd.
  28,700   58,530
 
Akita Bank, Ltd. (The)
  4,100   74,748
 
Albis Co., Ltd.
  1,400   28,206
 
Alconix Corp.
  5,900   71,971
 
Alfresa Holdings Corp.
  3,100   62,286
 
Alinco, Inc.
  3,800   41,390
 
Alpen Co., Ltd.
  4,100   61,471
 
Alpha Corp.
  1,500   17,602
 
Alps Alpine Co., Ltd.
  46,308   831,360
 
Alps Logistics Co., Ltd.
  1,800   13,496
 
Altech Corp.
  3,630   59,789
 
Amada Holdings Co., Ltd.
  39,000   406,179
 
Amano Corp.
  6,100   176,162
 
Amiyaki Tei Co., Ltd.
  600   19,323
 
Amuse, Inc.
  600   15,446
 
ANA Holdings, Inc.
  2,800   87,456
 
Anest Iwata Corp.
  3,400   30,931
#
Anritsu Corp.
  1,700   32,689
 
AOI Electronics Co., Ltd.
  900   22,378
 
AOI TYO Holdings, Inc.
  4,066   25,510
 
AOKI Holdings, Inc.
  9,700   94,635
 
Aomori Bank, Ltd. (The)
  4,600   113,054
 
Aoyama Trading Co., Ltd.
  12,200   156,401
#
Aoyama Zaisan Networks Co., Ltd.
  700   9,846
 
Aozora Bank, Ltd.
  15,500   417,661
 
Apaman Co., Ltd.
  3,300   24,613
 
Arakawa Chemical Industries, Ltd.
  4,300   59,434
 
Arata Corp.
  2,600   107,541
 
Araya Industrial Co., Ltd.
  800   10,526
 
Arcland Sakamoto Co., Ltd.
  6,900   75,870
 
Arcland Service Holdings Co., Ltd.
  2,200   39,834
 
Arcs Co., Ltd.
  8,000   140,754
 
Arealink Co., Ltd.
  1,900   20,372
 
Argo Graphics, Inc.
  1,000   31,449
 
Ariake Japan Co., Ltd.
  800   54,679
 
Arisawa Manufacturing Co., Ltd.
  7,900   70,788
#*
Arrk Corp.
  1,300   1,100
 
Artnature, Inc.
  5,000   35,770
 
ArtSpark Holdings, Inc.
  1,700   11,038
 
As One Corp.
  600   54,373
 
Asahi Broadcasting Group Holdings Corp.
  1,500   10,276
 
Asahi Co., Ltd.
  3,500   42,089
 
Asahi Diamond Industrial Co., Ltd.
  13,100   71,649
 
Asahi Holdings, Inc.
  10,600   266,161
 
Asahi Intecc Co., Ltd.
  14,400   396,758
 
Asahi Kogyosha Co., Ltd.
  1,076   33,402
 
Asahi Printing Co., Ltd.
  1,200   11,137
 
Asahi Yukizai Corp.
  3,400   52,515
 
Asanuma Corp.
  1,700   72,961
 
Asax Co., Ltd.
  2,400   15,716
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Ashimori Industry Co., Ltd.
  1,100   $13,676
 
Asia Pile Holdings Corp.
  6,300   31,516
 
ASKUL Corp.
  400   13,064
 
Asti Corp.
  600   10,373
 
Asukanet Co., Ltd.
  1,300   17,090
 
Ateam, Inc.
  1,900   16,113
*
Atrae, Inc.
  400   13,238
 
Atsugi Co., Ltd.
  5,100   36,996
 
Avant Corp.
  4,800   44,235
 
Avantia Co., Ltd.
  2,500   22,922
 
Avex, Inc.
  10,900   121,151
 
Awa Bank, Ltd. (The)
  8,200   180,322
*
Axell Corp.
  1,700   12,817
 
Axial Retailing, Inc.
  3,400   114,429
 
Azbil Corp.
  7,900   213,037
 
Bandai Namco Holdings, Inc.
  11,400   662,436
 
Bando Chemical Industries, Ltd.
  7,300   54,363
 
Bank of Iwate, Ltd. (The)
  3,700   89,883
 
Bank of Kochi, Ltd. (The)
  1,900   14,354
 
Bank of Kyoto, Ltd. (The)
  7,299   291,710
 
Bank of Nagoya, Ltd. (The)
  3,399   98,925
 
Bank of Okinawa, Ltd. (The)
  5,580   177,629
 
Bank of Saga, Ltd. (The)
  4,700   66,574
 
Bank of the Ryukyus, Ltd.
  11,900   114,257
#
Bank of Toyama, Ltd. (The)
  400   8,038
 
Baroque Japan, Ltd.
  3,800   36,476
 
BayCurrent Consulting, Inc.
  4,600   321,179
 
Belc Co., Ltd.
  2,500   133,342
 
Bell System24 Holdings, Inc.
  8,100   113,563
 
Belluna Co., Ltd.
  12,000   68,183
 
Benefit One, Inc.
  6,800   118,875
 
Benesse Holdings, Inc.
  6,500   178,554
 
BeNEXT Group, Inc.
  3,200   32,735
*
Bengo4.com, Inc.
  700   29,674
 
Bic Camera, Inc.
  5,600   60,723
 
Biofermin Pharmaceutical Co., Ltd.
  700   15,400
 
BML, Inc.
  4,100   116,109
#
Bookoff Group Holdings, Ltd.
  3,100   27,672
 
BP Castrol K.K.
  700   9,190
 
Br Holdings Corp.
  2,800   12,296
#*
BrainPad, Inc.
  800   45,068
 
Bridgestone Corp.
  35,700   1,264,459
 
Broadleaf Co., Ltd.
  10,400   57,478
 
BRONCO BILLY Co., Ltd.
  2,100   49,568
 
Brother Industries, Ltd.
  13,000   251,061
 
Bunka Shutter Co., Ltd.
  13,200   105,520
 
C Uyemura & Co., Ltd.
  600   41,819
 
CAC Holdings Corp.
  3,200   41,473
 
Calbee, Inc.
  6,000   196,203
 
Canare Electric Co., Ltd.
  700   11,803
 
Canon Electronics, Inc.
  5,100   96,801
 
Canon Marketing Japan, Inc.
  3,400   81,039
 
Canon, Inc.
  18,500   485,150
 
Capcom Co., Ltd.
  14,200   401,779
 
Career Design Center Co., Ltd.
  1,500   17,906
#*
CareerIndex, Inc.
  1,600   5,379
 
Carlit Holdings Co., Ltd.
  5,200   27,152
 
Casio Computer Co., Ltd.
  15,800   292,859
 
Cawachi, Ltd.
  3,900   76,028
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Central Automotive Products, Ltd.
  1,900   $46,146
 
Central Glass Co., Ltd.
  9,100   197,742
 
Central Japan Railway Co.
  3,500   686,985
 
Central Security Patrols Co., Ltd.
  1,200   65,525
 
Central Sports Co., Ltd.
  1,400   39,405
#
Charm Care Corp. KK
  3,000   24,026
 
Chiba Bank, Ltd. (The)
  44,700   242,389
 
Chiba Kogyo Bank, Ltd. (The)
  12,300   39,351
 
Chilled & Frozen Logistics Holdings Co., Ltd., Class H
  4,800   56,553
 
CHIMNEY Co., Ltd.
  500   10,646
 
Chino Corp.
  1,400   18,251
 
Chiyoda Co., Ltd.
  4,500   60,469
 
Chiyoda Integre Co., Ltd.
  2,800   52,292
 
Chofu Seisakusho Co., Ltd.
  4,700   99,751
 
Chori Co., Ltd.
  2,600   50,988
 
Chubu Electric Power Co., Inc.
  16,800   228,156
 
Chubu Shiryo Co., Ltd.
  4,500   69,568
 
Chudenko Corp.
  7,400   170,998
 
Chuetsu Pulp & Paper Co., Ltd.
  1,800   25,384
 
Chugai Ro Co., Ltd.
  1,400   22,019
 
Chugoku Bank, Ltd. (The)
  19,900   188,638
 
Chugoku Electric Power Co., Inc. (The)
  18,400   242,847
 
Chugoku Marine Paints, Ltd.
  10,600   98,517
 
Chukyo Bank, Ltd. (The)
  2,900   59,281
 
Chuo Spring Co., Ltd.
  400   11,100
 
Chuo Warehouse Co., Ltd.
  1,100   11,115
 
CI Takiron Corp.
  8,600   54,043
 
Citizen Watch Co., Ltd.
  51,800   250,423
 
CKD Corp.
  4,300   68,048
 
CK-San-Etsu Co., Ltd.
  700   21,181
 
Cleanup Corp.
  4,700   28,950
 
CMC Corp.
  800   15,944
 
CMIC Holdings Co., Ltd.
  2,400   37,748
 
CMK Corp.
  12,600   59,443
#
Coca-Cola Bottlers Japan Holdings, Inc.
  10,755   283,094
 
cocokara fine, Inc.
  3,400   209,369
 
Computer Engineering & Consulting, Ltd.
  2,600   48,662
 
COMSYS Holdings Corp.
  6,863   198,539
 
Comture Corp.
  3,400   66,097
 
Concordia Financial Group, Ltd.
  77,932   293,771
 
CONEXIO Corp.
  5,900   85,995
 
Corona Corp.
  3,800   35,651
 
Cosel Co., Ltd.
  6,600   68,117
 
Cosmo Energy Holdings Co., Ltd.
  17,600   339,477
 
Cosmos Initia Co., Ltd.
  2,100   14,715
 
Cosmos Pharmaceutical Corp.
  1,100   241,582
 
Cota Co., Ltd.
  1,760   24,470
 
Create Medic Co., Ltd.
  2,200   21,780
 
Create Restaurants Holdings, Inc.
  7,800   162,543
 
Create SD Holdings Co., Ltd.
  4,500   111,941
 
Credit Saison Co., Ltd.
  33,000   529,353
 
Creek & River Co., Ltd.
  1,300   12,148
 
Cresco, Ltd.
  4,200   71,244
 
CTI Engineering Co., Ltd.
  3,300   72,862
 
CTS Co., Ltd.
  4,000   25,415
 
CyberAgent, Inc.
  8,300   330,749
 
Cybozu, Inc.
  3,300   57,677
 
Dai Nippon Toryo Co., Ltd.
  5,000   51,281
 
Daibiru Corp.
  6,400   78,780
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Daicel Corp.
  63,200   $598,270
 
Dai-Dan Co., Ltd.
  3,700   89,699
 
Daido Kogyo Co., Ltd.
  2,100   15,111
 
Daido Metal Co., Ltd.
  9,100   56,324
 
Daido Steel Co., Ltd.
  7,200   275,330
 
Daidoh, Ltd.
  4,900   12,406
 
Daifuku Co., Ltd.
  8,600   517,814
 
Daihatsu Diesel Manufacturing Co., Ltd.
  4,800   28,102
 
Daihen Corp.
  5,000   156,060
 
Daiho Corp.
  5,000   124,228
 
Dai-Ichi Cutter Kogyo K.K.
  1,000   16,127
 
Daiichi Jitsugyo Co., Ltd.
  1,800   57,249
 
Daiichi Kensetsu Corp.
  900   14,876
 
Daiichi Kigenso Kagaku-Kogyo Co., Ltd.
  5,600   47,196
 
Dai-ichi Life Holdings, Inc.
  41,600   617,393
 
Dai-ichi Seiko Co., Ltd.
  2,500   54,966
 
Daiichikosho Co., Ltd.
  6,800   330,327
 
Daiken Corp.
  3,000   51,265
 
Daiken Medical Co., Ltd.
  2,300   15,114
 
Daiki Aluminium Industry Co., Ltd.
  7,200   44,912
 
Daikin Industries, Ltd.
  6,000   845,444
 
Daikokutenbussan Co., Ltd.
  2,400   78,361
 
Daikyonishikawa Corp.
  11,800   80,546
 
Dainichi Co., Ltd.
  2,000   12,635
 
Dainichiseika Color & Chemicals Manufacturing Co., Ltd.
  3,100   82,333
 
Daio Paper Corp.
  18,600   244,174
 
Daiohs Corp.
  1,500   18,580
 
Daiseki Co., Ltd.
  2,500   67,138
 
Daiseki Eco. Solution Co., Ltd.
  1,120   10,976
 
Daishi Hokuetsu Financial Group, Inc.
  10,600   261,011
#
Daishinku Corp.
  1,900   29,986
 
Daisue Construction Co., Ltd.
  1,600   14,272
 
Daito Bank, Ltd. (The)
  1,500   8,584
 
Daito Pharmaceutical Co., Ltd.
  3,000   96,581
 
Daito Trust Construction Co., Ltd.
  6,200   730,339
 
Daitron Co., Ltd.
  2,500   38,661
 
Daiwa House Industry Co., Ltd.
  54,600   1,718,939
 
Daiwa Industries, Ltd.
  9,100   95,898
 
Daiwa Securities Group, Inc.
  140,804   712,084
 
Daiwabo Holdings Co., Ltd.
  5,500   306,196
#
DCM Holdings Co., Ltd.
  26,600   254,185
 
DD Holdings Co., Ltd.
  1,400   21,044
 
Demae-Can Co., Ltd.
  2,600   24,341
 
DeNA Co., Ltd.
  12,100   198,996
 
Denka Co., Ltd.
  22,100   597,021
 
Denki Kogyo Co., Ltd.
  1,700   57,090
#
Densan System Co., Ltd.
  1,800   48,981
 
Denso Corp.
  15,000   615,332
 
Dentsu Group, Inc.
  13,200   437,435
 
Denyo Co., Ltd.
  4,200   79,762
 
Descente, Ltd.
  1,900   30,865
 
Dexerials Corp.
  14,400   122,495
 
DIC Corp.
  21,100   553,132
 
Digital Arts, Inc.
  1,900   88,151
 
Digital Hearts Holdings Co., Ltd.
  1,600   13,330
 
Digital Information Technologies Corp.
  1,000   15,348
 
Dip Corp.
  6,500   206,916
 
Disco Corp.
  2,100   483,721
 
DKS Co., Ltd.
  2,400   104,491
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
DMG Mori Co., Ltd.
  20,700   $285,150
 
Doshisha Co., Ltd.
  5,500   84,721
 
Double Standard, Inc.
  800   30,618
 
Doutor Nichires Holdings Co., Ltd.
  4,700   88,830
 
Dowa Holdings Co., Ltd.
  12,300   442,442
 
DSB Co., Ltd.
  2,000   12,711
 
DTS Corp.
  6,100   141,374
 
Duskin Co., Ltd.
  9,000   247,985
 
Dvx, Inc.
  1,700   13,718
 
DyDo Group Holdings, Inc.
  2,200   82,745
 
Dynic Corp.
  1,100   7,853
 
Eagle Industry Co., Ltd.
  7,800   69,365
 
Earth Corp.
  1,200   64,122
 
Ebara Corp.
  14,900   410,972
 
Ebara Foods Industry, Inc.
  1,600   32,116
 
Ebara Jitsugyo Co., Ltd.
  1,200   24,534
#
Eco's Co., Ltd.
  2,100   32,396
 
EDION Corp.
  17,700   182,981
 
EF-ON, Inc.
  6,039   41,865
 
eGuarantee, Inc.
  3,600   43,516
 
E-Guardian, Inc.
  1,200   19,437
 
Ehime Bank, Ltd. (The)
  7,700   79,037
 
Eidai Co., Ltd.
  6,000   19,004
 
Eiken Chemical Co., Ltd.
  3,000   59,603
 
Eizo Corp.
  4,200   137,100
#
Elan Corp.
  2,000   30,831
 
Elecom Co., Ltd.
  3,300   133,049
 
Electric Power Development Co., Ltd.
  6,600   148,838
 
Elematec Corp.
  4,200   47,191
 
EM Systems Co., Ltd.
  7,600   63,128
 
Endo Lighting Corp.
  3,700   23,597
 
Enigmo, Inc.
  4,600   36,747
 
en-japan, Inc.
  5,800   230,431
 
Enomoto Co., Ltd.
  600   6,574
 
Enplas Corp.
  1,300   34,900
 
Enshu, Ltd.
  1,300   14,787
 
EPS Holdings, Inc.
  5,100   60,741
 
eRex Co., Ltd.
  5,300   80,451
 
ES-Con Japan, Ltd.
  14,300   122,539
 
ESCRIT, Inc.
  2,500   17,569
 
Escrow Agent Japan, Inc.
  5,500   10,625
 
Eslead Corp.
  2,600   47,763
 
ESPEC Corp.
  2,500   50,615
 
Excel Co., Ltd.
  2,400   35,138
 
Exedy Corp.
  7,300   151,064
 
F@N Communications, Inc.
  9,600   38,942
 
Faith, Inc.
  1,900   13,532
 
FALCO HOLDINGS Co., Ltd.
  1,900   36,029
 
FamilyMart Co., Ltd.
  1,400   30,618
 
Fancl Corp.
  8,300   216,675
 
FANUC Corp.
  1,800   327,834
#
Fast Retailing Co., Ltd.
  2,100   1,129,540
 
FCC Co., Ltd.
  10,100   204,183
*
FDK Corp.
  1,200   9,973
 
Feed One Co., Ltd.
  23,800   39,162
 
Felissimo Corp.
  1,000   9,162
 
Fenwal Controls of Japan, Ltd.
  1,200   16,329
 
Ferrotec Holdings Corp.
  11,300   82,984
*
FFRI, Inc.
  700   16,924
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
FIDEA Holdings Co., Ltd.
  47,700   $53,035
 
Financial Products Group Co., Ltd.
  13,100   122,458
 
FINDEX, Inc.
  1,800   18,647
 
First Bank of Toyama, Ltd. (The)
  10,400   29,289
 
First Brothers Co., Ltd.
  1,700   18,810
 
First Juken Co., Ltd.
  2,200   24,928
#
First-corp, Inc.
  1,400   7,425
#
Fixstars Corp.
  2,500   34,141
 
FJ Next Co., Ltd.
  3,700   41,266
 
Foster Electric Co., Ltd.
  7,000   104,028
 
FP Corp.
  4,300   260,856
 
France Bed Holdings Co., Ltd.
  5,400   47,100
 
Freebit Co., Ltd.
  2,300   17,668
 
F-Tech, Inc.
  4,000   27,762
 
FTGroup Co., Ltd.
  1,000   13,706
 
Fudo Tetra Corp.
  4,390   66,267
 
Fuji Co., Ltd.
  5,300   88,866
 
Fuji Corp.
  15,300   240,465
 
Fuji Corp.
  1,800   34,339
 
Fuji Corp., Ltd.
  7,000   42,968
 
Fuji Die Co., Ltd.
  1,600   10,718
 
Fuji Electric Co., Ltd.
  13,400   392,379
 
Fuji Furukawa Engineering & Construction Co., Ltd.
  600   11,734
 
Fuji Kyuko Co., Ltd.
  4,299   150,714
 
Fuji Media Holdings, Inc.
  8,600   116,931
 
Fuji Oil Co., Ltd.
  12,400   25,577
 
Fuji Oil Holdings, Inc.
  5,800   150,327
 
Fuji Seal International, Inc.
  6,500   136,132
 
Fuji Soft, Inc.
  500   20,041
 
Fujibo Holdings, Inc.
  2,100   68,300
 
Fujicco Co., Ltd.
  2,400   42,202
 
Fujikura Composites, Inc.
  4,800   19,285
 
Fujikura Kasei Co., Ltd.
  5,000   24,642
 
Fujikura, Ltd.
  81,000   296,881
 
Fujimori Kogyo Co., Ltd.
  3,900   119,785
#
Fujio Food System Co., Ltd.
  1,400   22,515
#
Fujisash Co., Ltd.
  13,200   10,975
 
Fujita Kanko, Inc.
  2,000   48,357
 
Fujitec Co., Ltd.
  6,800   110,762
 
Fujitsu Frontech, Ltd.
  2,700   33,257
 
Fujitsu General, Ltd.
  8,400   187,794
 
Fujitsu, Ltd.
  7,800   824,715
 
Fujiya Co., Ltd.
  1,000   20,037
#
FuKoKu Co., Ltd.
  2,600   17,175
 
Fukuda Corp.
  1,200   53,139
 
Fukuda Denshi Co., Ltd.
  700   47,476
 
Fukui Bank, Ltd. (The)
  5,600   84,547
 
Fukui Computer Holdings, Inc.
  700   21,314
 
Fukuoka Financial Group, Inc.
  29,228   506,502
#
Fukushima Bank, Ltd. (The)
  6,100   13,074
 
Fukushima Galilei Co., Ltd.
  2,000   71,657
 
Fukuyama Transporting Co., Ltd.
  5,700   189,448
 
Full Speed, Inc.
  2,300   10,223
 
FULLCAST Holdings Co., Ltd.
  3,400   71,856
*
Funai Electric Co., Ltd.
  3,500   20,815
 
Funai Soken Holdings, Inc.
  4,480   112,650
 
Furukawa Battery Co., Ltd. (The)
  4,000   26,980
 
Furukawa Co., Ltd.
  7,400   88,983
 
Furukawa Electric Co., Ltd.
  19,200   445,813
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Furuno Electric Co., Ltd.
  7,300   $71,651
 
Furusato Industries, Ltd.
  2,200   34,077
#
Furuya Metal Co., Ltd.
  600   32,346
 
Furyu Corp.
  5,800   61,778
 
Fuso Chemical Co., Ltd.
  5,800   163,139
 
Fuso Pharmaceutical Industries, Ltd.
  1,700   30,196
 
Futaba Corp.
  9,100   106,870
 
Futaba Industrial Co., Ltd.
  15,900   95,533
 
Future Corp.
  4,600   79,714
 
Fuyo General Lease Co., Ltd.
  5,200   324,344
 
G-7 Holdings, Inc.
  4,200   95,094
 
Gakken Holdings Co., Ltd.
  800   52,875
 
Gakkyusha Co., Ltd.
  1,500   19,736
 
GCA Corp.
  3,400   28,741
 
Gecoss Corp.
  3,900   38,069
 
Genki Sushi Co., Ltd.
  700   18,745
#
Genky DrugStores Co., Ltd.
  2,000   36,192
 
Geo Holdings Corp.
  9,700   110,249
 
Geomatec Co., Ltd.
  1,800   10,646
 
Geostr Corp.
  5,000   20,963
#
Gfoot Co., Ltd.
  2,000   11,407
 
Giken, Ltd.
  2,900   127,302
 
GL Sciences, Inc.
  1,400   20,439
 
GLOBERIDE, Inc.
  3,200   68,416
 
Glory, Ltd.
  11,400   325,166
 
Glosel Co., Ltd.
  4,100   17,077
#
GMO Cloud K.K.
  600   13,572
 
GMO Financial Holdings, Inc.
  10,400   54,216
 
GMO internet, Inc.
  12,100   231,953
 
GMO Payment Gateway, Inc.
  3,600   231,492
 
Godo Steel, Ltd.
  3,000   77,775
 
Gokurakuyu Holdings Co., Ltd.
  1,800   7,629
 
Goldcrest Co., Ltd.
  5,400   92,827
#
Goldwin, Inc.
  3,000   182,032
 
Grandy House Corp.
  3,100   13,994
 
Gree, Inc.
  2,400   10,077
 
Greens Co., Ltd.
  1,100   9,732
 
GS Yuasa Corp.
  17,199   339,345
 
GSI Creos Corp.
  1,500   17,288
 
G-Tekt Corp.
  5,200   74,672
 
Gun-Ei Chemical Industry Co., Ltd.
  800   17,662
*
GungHo Online Entertainment, Inc.
  5,270   95,873
 
Gunma Bank, Ltd. (The)
  36,100   116,039
*
Gunosy, Inc.
  2,500   27,524
 
Gurunavi, Inc.
  11,400   92,606
 
H2O Retailing Corp.
  24,860   225,349
 
HABA Laboratories, Inc.
  500   34,010
 
Hachijuni Bank, Ltd. (The)
  47,700   182,192
 
Hagihara Industries, Inc.
  2,000   29,172
 
Hagiwara Electric Holdings Co., Ltd.
  1,800   41,721
 
Hakudo Co., Ltd.
  1,900   25,397
 
Hakuhodo DY Holdings, Inc.
  14,100   199,783
 
Hakuto Co., Ltd.
  3,600   41,769
#
Hakuyosha Co., Ltd.
  400   10,363
 
Halows Co., Ltd.
  2,300   57,521
 
Hamakyorex Co., Ltd.
  4,500   135,338
 
Hamamatsu Photonics KK
  2,400   101,475
#
Handsman Co., Ltd.
  800   10,029
 
Hankyu Hanshin Holdings, Inc.
  15,400   624,811
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Hanwa Co., Ltd.
  8,700   $209,812
 
Happinet Corp.
  4,100   49,321
 
Harada Industry Co., Ltd.
  3,000   26,785
 
Hard Off Corp. Co., Ltd.
  1,400   10,540
 
Harima Chemicals Group, Inc.
  3,800   40,187
#
Harmonic Drive Systems, Inc.
  2,400   106,791
 
Haruyama Holdings, Inc.
  2,200   17,409
 
Haseko Corp.
  70,600   920,479
 
Hayashikane Sangyo Co., Ltd.
  1,800   11,361
 
Hazama Ando Corp.
  49,100   401,752
 
Heiwa Real Estate Co., Ltd.
  7,200   212,193
 
Heiwado Co., Ltd.
  6,600   115,317
 
Helios Techno Holding Co., Ltd.
  4,900   19,406
 
Hibino Corp.
  900   19,430
 
Hibiya Engineering, Ltd.
  4,400   77,141
 
Hiday Hidaka Corp.
  3,829   69,278
 
Hikari Tsushin, Inc.
  1,800   442,447
 
HI-LEX Corp.
  5,100   81,915
 
Himaraya Co., Ltd.
  1,200   9,148
 
Hino Motors, Ltd.
  16,700   156,378
 
Hinokiya Group Co., Ltd.
  1,900   35,271
 
Hirakawa Hewtech Corp.
  2,600   33,475
*
Hiramatsu, Inc.
  9,300   23,300
 
Hirano Tecseed Co., Ltd.
  1,800   27,129
 
Hirata Corp.
  800   46,235
 
Hirose Tusyo, Inc.
  900   14,722
 
Hiroshima Bank, Ltd. (The)
  64,700   290,486
 
Hiroshima Gas Co., Ltd.
  7,500   24,386
 
HIS Co., Ltd.
  4,500   103,383
 
Hisaka Works, Ltd.
  5,000   41,322
#
Hitachi Capital Corp.
  19,700   533,233
 
Hitachi Construction Machinery Co., Ltd.
  900   24,118
 
Hitachi Metals, Ltd.
  17,900   275,112
 
Hitachi Transport System, Ltd.
  3,200   91,865
 
Hitachi Zosen Corp.
  43,000   161,326
 
Hitachi, Ltd.
  21,700   826,499
 
Hito Communications Holdings, Inc.
  1,100   18,088
 
Hochiki Corp.
  3,600   50,096
 
Hoden Seimitsu Kako Kenkyusho Co., Ltd.
  900   7,130
 
Hodogaya Chemical Co., Ltd.
  1,400   47,446
 
Hokkaido Coca-Cola Bottling Co., Ltd.
  400   14,235
 
Hokkaido Electric Power Co., Inc.
  29,100   136,474
 
Hokkaido Gas Co., Ltd.
  2,000   29,914
 
Hokkan Holdings, Ltd.
  2,500   44,436
 
Hokko Chemical Industry Co., Ltd.
  6,000   33,860
 
Hokkoku Bank, Ltd. (The)
  5,400   158,081
 
Hokuetsu Corp.
  34,700   159,956
 
Hokuetsu Industries Co., Ltd.
  6,000   69,449
 
Hokuhoku Financial Group, Inc.
  32,500   311,538
 
Hokuriku Electric Industry Co., Ltd.
  1,000   11,172
*
Hokuriku Electric Power Co.
  25,500   189,694
 
Hokuriku Electrical Construction Co., Ltd.
  2,900   29,708
 
Hokuto Corp.
  5,800   102,690
 
Honda Motor Co., Ltd.
  100,600   2,572,883
 
H-One Co., Ltd.
  5,000   32,764
 
Honeys Holdings Co., Ltd.
  4,450   55,704
 
Honshu Chemical Industry Co., Ltd.
  1,000   10,987
 
Hoosiers Holdings
  9,100   57,371
 
Horiba, Ltd.
  4,400   272,157
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Hoshizaki Corp.
  1,600   $147,187
 
Hosiden Corp.
  13,000   142,490
 
Hosokawa Micron Corp.
  1,800   82,576
 
Hotland Co., Ltd.
  900   10,601
#
Howa Machinery, Ltd.
  3,900   30,701
 
Hoya Corp.
  14,600   1,397,299
 
Hulic Co., Ltd.
  8,469   102,683
 
Hyakugo Bank, Ltd. (The)
  54,700   163,848
 
Hyakujushi Bank, Ltd. (The)
  6,400   115,083
 
I K K, Inc.
  2,100   13,942
 
Ibiden Co., Ltd.
  17,400   400,793
 
IBJ, Inc.
  2,700   30,787
 
Ichibanya Co., Ltd.
  1,100   57,464
 
Ichigo, Inc.
  46,300   173,719
 
Ichiken Co., Ltd.
  1,200   19,448
 
Ichikoh Industries, Ltd.
  11,300   70,300
 
Ichimasa Kamaboko Co., Ltd.
  1,500   13,436
 
Ichinen Holdings Co., Ltd.
  5,400   74,682
 
Ichiyoshi Securities Co., Ltd.
  10,100   56,109
 
Icom, Inc.
  3,500   80,827
 
ID Holdings Corp.
  1,700   23,354
#
Idec Corp.
  4,500   80,057
 
Idemitsu Kosan Co., Ltd.
  31,105   776,327
 
IDOM, Inc.
  19,900   106,637
 
Ihara Science Corp.
  2,000   28,505
 
IHI Corp.
  25,300   599,193
 
Iida Group Holdings Co., Ltd.
  10,940   184,381
 
Iino Kaiun Kaisha, Ltd.
  18,800   60,890
 
IJTT Co., Ltd.
  7,800   46,626
 
Ikegami Tsushinki Co., Ltd.
  1,400   15,073
 
Imagica Group, Inc.
  3,000   14,337
 
Imasen Electric Industrial
  3,600   29,202
 
Inaba Denki Sangyo Co., Ltd.
  1,000   25,020
#
Inaba Seisakusho Co., Ltd.
  1,700   21,200
 
Inabata & Co., Ltd.
  12,000   160,615
 
Inageya Co., Ltd.
  3,400   45,525
 
Ines Corp.
  3,800   55,124
 
I-Net Corp.
  3,730   50,512
 
Infocom Corp.
  4,800   133,121
#
Infomart Corp.
  31,600   249,968
 
Information Services International-Dentsu, Ltd.
  1,900   79,212
 
Innotech Corp.
  4,100   42,081
 
Inpex Corp.
  62,500   583,386
 
Insource Co., Ltd.
  1,375   40,727
 
Intage Holdings, Inc.
  7,700   62,013
#
Inter Action Corp.
  1,800   42,168
 
Internet Initiative Japan, Inc.
  8,500   236,466
 
I-O Data Device, Inc.
  2,600   25,135
 
IR Japan Holdings, Ltd.
  1,000   48,946
 
Iriso Electronics Co., Ltd.
  4,000   151,413
 
I'rom Group Co., Ltd.
  1,200   14,869
 
Ise Chemicals Corp.
  400   13,155
 
Iseki & Co., Ltd.
  4,600   60,280
 
Isetan Mitsukoshi Holdings, Ltd.
  46,900   366,152
 
Ishihara Chemical Co., Ltd.
  1,700   27,924
 
Ishihara Sangyo Kaisha, Ltd.
  8,500   71,252
 
Ishizuka Glass Co., Ltd.
  1,000   23,817
 
Isolite Insulating Products Co., Ltd.
  2,800   15,202
*
Istyle, Inc.
  3,800   16,264
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Isuzu Motors, Ltd.
  16,300   $159,698
 
Ito En, Ltd.
  5,000   242,799
 
ITOCHU Corp.
  21,000   490,580
 
Itochu Enex Co., Ltd.
  13,900   117,889
 
Itochu Techno-Solutions Corp.
  7,200   212,031
 
Itoham Yonekyu Holdings, Inc.
  36,100   226,948
 
Itoki Corp.
  9,400   41,077
#*
Itokuro, Inc.
  1,000   12,883
 
IwaiCosmo Holdings, Inc.
  5,600   66,431
 
Iwaki & Co., Ltd.
  6,000   28,965
 
Iwasaki Electric Co., Ltd.
  2,000   25,950
 
Iwatani Corp.
  11,500   383,228
 
Iwatsu Electric Co., Ltd.
  2,900   21,817
 
Iwatsuka Confectionery Co., Ltd.
  400   15,376
 
Iyo Bank, Ltd. (The)
  33,800   174,429
 
Izumi Co., Ltd.
  3,800   119,774
#
J Front Retailing Co., Ltd.
  31,200   375,550
#
J Trust Co., Ltd.
  17,200   64,971
 
JAC Recruitment Co., Ltd.
  2,600   39,704
 
Jaccs Co., Ltd.
  2,900   68,460
 
Jafco Co., Ltd.
  8,000   332,704
 
Jalux, Inc.
  1,000   21,386
 
Jamco Corp.
  2,300   28,434
 
Janome Sewing Machine Co., Ltd.
  7,199   26,555
 
Japan Airlines Co., Ltd.
  7,800   219,417
 
Japan Airport Terminal Co., Ltd.
  3,100   142,876
 
Japan Asia Group, Ltd.
  7,100   23,977
*
Japan Asia Investment Co., Ltd.
  2,700   6,654
*
Japan Asset Marketing Co., Ltd.
  10,100   9,171
 
Japan Aviation Electronics Industry, Ltd.
  15,000   265,904
#
Japan Best Rescue System Co., Ltd.
  2,300   20,267
*
Japan Display, Inc.
  142,900   89,903
 
Japan Exchange Group, Inc.
  43,100   772,413
 
Japan Foundation Engineering Co., Ltd.
  6,500   23,297
#
Japan Investment Adviser Co., Ltd.
  2,100   32,865
 
Japan Lifeline Co., Ltd.
  10,100   120,159
 
Japan Material Co., Ltd.
  10,600   154,714
 
Japan Meat Co., Ltd.
  2,300   47,472
 
Japan Oil Transportation Co., Ltd.
  700   19,094
 
Japan Petroleum Exploration Co., Ltd.
  4,200   103,147
 
Japan Property Management Center Co., Ltd.
  1,700   20,730
 
Japan Pulp & Paper Co., Ltd.
  2,600   96,194
 
Japan Securities Finance Co., Ltd.
  23,700   108,546
 
Japan Steel Works, Ltd. (The)
  20,800   372,328
 
Japan Transcity Corp.
  8,700   38,270
 
Japan Wool Textile Co., Ltd. (The)
  12,400   118,323
 
Jastec Co., Ltd.
  1,400   13,765
 
JCR Pharmaceuticals Co., Ltd.
  700   60,044
 
JCU Corp.
  8,700   246,829
 
Jeol, Ltd.
  9,300   299,379
 
JFE Holdings, Inc.
  47,200   558,937
 
JGC Holdings Corp.
  34,900   501,377
*
JIG-SAW, Inc.
  300   10,518
 
Jimoto Holdings, Inc.
  46,500   44,957
 
JINS Holdings, Inc.
  2,500   175,812
 
JK Holdings Co., Ltd.
  3,200   21,323
 
JMS Co., Ltd.
  5,000   40,208
#
Joban Kosan Co., Ltd.
  1,900   28,713
 
J-Oil Mills, Inc.
  2,400   90,242
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Joshin Denki Co., Ltd.
  3,600   $78,857
 
JP-Holdings, Inc.
  7,900   22,828
 
JSP Corp.
  3,300   57,511
 
JSR Corp.
  16,700   297,444
 
JTEKT Corp.
  42,200   447,488
 
Juki Corp.
  9,000   62,218
 
Juroku Bank, Ltd. (The)
  7,700   158,865
 
Justsystems Corp.
  4,400   239,480
 
JVCKenwood Corp.
  45,500   103,586
 
JXTG Holdings, Inc.
  240,350   1,022,251
 
K&O Energy Group, Inc.
  3,800   55,633
*
Kadokawa Dwango
  4,885   81,679
 
Kadoya Sesame Mills, Inc.
  400   14,186
 
Kaga Electronics Co., Ltd.
  4,200   86,906
 
Kagome Co., Ltd.
  2,600   64,077
 
Kajima Corp.
  67,400   855,062
 
Kakaku.com, Inc.
  12,100   316,105
 
Kakiyasu Honten Co., Ltd.
  2,400   71,908
 
Kameda Seika Co., Ltd.
  2,100   93,634
 
Kamei Corp.
  6,100   61,925
 
Kamigumi Co., Ltd.
  14,000   299,146
 
Kanaden Corp.
  4,800   58,279
 
Kanagawa Chuo Kotsu Co., Ltd.
  1,400   51,890
 
Kanamic Network Co., Ltd.
  2,100   14,777
 
Kanamoto Co., Ltd.
  9,800   241,277
 
Kandenko Co., Ltd.
  15,900   149,730
 
Kaneka Corp.
  9,500   291,261
 
Kaneko Seeds Co., Ltd.
  1,600   18,704
 
Kanematsu Corp.
  20,400   261,559
 
Kanematsu Electronics, Ltd.
  1,800   58,270
 
Kansai Electric Power Co., Inc. (The)
  19,200   215,478
 
Kansai Mirai Financial Group, Inc.
  15,423   88,971
 
Kansai Paint Co., Ltd.
  7,500   179,534
 
Kansai Super Market, Ltd.
  1,700   15,783
 
Kanto Denka Kogyo Co., Ltd.
  11,500   106,089
 
Kao Corp.
  18,700   1,491,459
 
Kappa Create Co., Ltd.
  1,200   16,260
 
Kasai Kogyo Co., Ltd.
  7,000   51,884
 
Katakura & Co-op Agri Corp.
  700   7,852
 
Katakura Industries Co., Ltd.
  6,600   74,903
 
Kato Works Co., Ltd.
  2,500   37,229
 
KAWADA TECHNOLOGIES, Inc.
  700   40,732
 
Kawai Musical Instruments Manufacturing Co., Ltd.
  800   25,371
 
Kawasaki Heavy Industries, Ltd.
  21,800   429,781
*
Kawasaki Kisen Kaisha, Ltd.
  14,900   196,471
 
Kawasumi Laboratories, Inc.
  3,000   29,165
 
KDDI Corp.
  140,500   4,245,777
 
KeePer Technical Laboratory Co., Ltd.
  900   10,416
 
Keihan Holdings Co., Ltd.
  13,700   619,528
 
Keihanshin Building Co., Ltd.
  4,200   56,594
 
Keihin Co., Ltd.
  900   10,712
 
Keihin Corp.
  13,900   324,919
 
Keikyu Corp.
  16,500   303,731
 
Keio Corp.
  4,500   257,400
 
Keisei Electric Railway Co., Ltd.
  4,700   170,032
 
Keiyo Bank, Ltd. (The)
  23,500   124,207
 
Keiyo Co., Ltd.
  11,200   55,214
 
KEL Corp.
  1,000   8,307
 
Kenedix, Inc.
  42,100   211,774
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Kenko Mayonnaise Co., Ltd.
  2,600   $58,265
 
Kewpie Corp.
  13,000   271,120
 
Key Coffee, Inc.
  1,600   33,153
 
Keyence Corp.
  2,200   739,545
 
KFC Holdings Japan, Ltd.
  2,700   74,225
 
KFC, Ltd.
  800   15,201
 
KH Neochem Co., Ltd.
  5,100   109,763
 
Kikkoman Corp.
  7,200   348,895
 
Kimoto Co., Ltd.
  4,300   6,765
#
Kimura Chemical Plants Co., Ltd.
  5,400   30,284
 
Kimura Unity Co., Ltd.
  1,200   12,445
 
Kinden Corp.
  17,700   301,606
 
King Co., Ltd.
  3,600   18,544
 
King Jim Co., Ltd.
  2,500   20,793
#*
Kinki Sharyo Co., Ltd. (The)
  1,300   19,354
 
Kintetsu Department Store Co., Ltd.
  1,300   42,540
 
Kintetsu Group Holdings Co., Ltd.
  7,500   395,274
 
Kintetsu World Express, Inc.
  11,300   180,202
 
Kirindo Holdings Co., Ltd.
  1,900   29,659
 
Kissei Pharmaceutical Co., Ltd.
  6,800   191,362
 
Ki-Star Real Estate Co., Ltd.
  3,100   52,887
 
Kitagawa Corp.
  2,400   47,895
 
Kita-Nippon Bank, Ltd. (The)
  1,700   33,182
 
Kitano Construction Corp.
  1,000   22,977
#
Kitanotatsujin Corp.
  4,600   25,776
 
Kito Corp.
  7,900   119,354
 
Kitz Corp.
  23,500   162,580
 
Kiyo Bank, Ltd. (The)
  16,100   230,022
*
KLab, Inc.
  8,400   59,894
 
Koa Corp.
  7,100   75,046
 
Koatsu Gas Kogyo Co., Ltd.
  6,900   50,423
 
Kobayashi Pharmaceutical Co., Ltd.
  1,400   112,726
 
Kobe Bussan Co., Ltd.
  8,200   313,887
*
Kobe Electric Railway Co., Ltd.
  700   25,513
 
Kobe Steel, Ltd.
  104,400   476,743
 
Kobelco Eco-Solutions Co., Ltd.
  1,200   23,752
 
Kohnan Shoji Co., Ltd.
  7,300   159,178
 
Kohsoku Corp.
  2,800   31,042
 
Koito Manufacturing Co., Ltd.
  9,100   394,907
 
Kojima Co., Ltd.
  5,800   27,909
 
Kokuyo Co., Ltd.
  19,000   280,835
 
KOMAIHALTEC, Inc.
  500   8,499
 
Komatsu Matere Co., Ltd.
  7,000   47,737
 
Komatsu Wall Industry Co., Ltd.
  2,000   39,203
 
Komatsu, Ltd.
  69,600   1,538,927
 
KOMEDA Holdings Co., Ltd.
  8,200   163,740
 
Komehyo Co., Ltd.
  2,300   21,762
 
Komeri Co., Ltd.
  8,400   181,054
 
Komori Corp.
  11,900   108,155
 
Konaka Co., Ltd.
  5,700   21,264
 
Konami Holdings Corp.
  4,700   182,019
 
Kondotec, Inc.
  3,600   36,953
 
Konica Minolta, Inc.
  96,100   586,606
 
Konishi Co., Ltd.
  6,000   84,067
 
Konoike Transport Co., Ltd.
  6,500   91,781
 
Konoshima Chemical Co., Ltd.
  700   6,472
*
Kosaido Co., Ltd.
  2,900   23,762
 
Kose Corp.
  2,800   360,531
 
Kosei Securities Co., Ltd. (The)
  1,000   5,425
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
#
Koshidaka Holdings Co., Ltd.
  7,400   $104,451
 
Kotobuki Spirits Co., Ltd.
  3,100   204,684
#
Kourakuen Holdings Corp.
  1,800   30,679
 
Krosaki Harima Corp.
  1,400   83,047
 
KRS Corp.
  1,500   27,042
 
K's Holdings Corp.
  29,800   361,854
 
KU Holdings Co., Ltd.
  3,800   31,123
 
Kubota Corp.
  22,200   347,643
 
Kumagai Gumi Co., Ltd.
  7,700   219,804
 
Kumiai Chemical Industry Co., Ltd.
  4,010   30,759
 
Kura Sushi, Inc.
  1,800   90,478
 
Kurabo Industries, Ltd.
  3,100   66,031
 
Kuraray Co., Ltd.
  59,000   709,208
 
Kureha Corp.
  4,500   252,411
 
Kurimoto, Ltd.
  2,100   40,371
 
Kurita Water Industries, Ltd.
  14,600   426,954
 
Kuriyama Holdings Corp.
  2,000   13,014
 
Kushikatsu Tanaka Holdings Co.
  400   8,282
 
Kusuri no Aoki Holdings Co., Ltd.
  1,900   114,401
*
KYB Corp.
  5,400   145,278
 
Kyocera Corp.
  5,500   361,385
 
Kyoden Co., Ltd.
  6,700   21,306
 
Kyodo Printing Co., Ltd.
  2,100   57,102
 
Kyoei Steel, Ltd.
  5,500   96,467
 
Kyokuto Boeki Kaisha, Ltd.
  1,500   27,755
 
Kyokuto Kaihatsu Kogyo Co., Ltd.
  7,500   96,921
 
Kyokuto Securities Co., Ltd.
  5,500   37,467
 
Kyokuyo Co., Ltd.
  2,100   54,464
 
KYORIN Holdings, Inc.
  10,100   181,336
 
Kyoritsu Maintenance Co., Ltd.
  5,180   207,287
 
Kyoritsu Printing Co., Ltd.
  7,400   11,277
 
Kyosan Electric Manufacturing Co., Ltd.
  10,000   50,760
 
Kyowa Electronic Instruments Co., Ltd.
  5,000   19,316
 
Kyowa Exeo Corp.
  7,019   175,221
 
Kyowa Leather Cloth Co., Ltd.
  3,800   27,230
 
Kyudenko Corp.
  6,000   173,163
 
Kyushu Electric Power Co., Inc.
  16,900   139,168
 
Kyushu Financial Group, Inc.
  52,950   221,080
 
Kyushu Leasing Service Co., Ltd.
  2,100   11,507
#
LAC Co., Ltd.
  1,800   17,803
 
Lacto Japan Co., Ltd.
  1,200   44,185
*
Laox Co., Ltd.
  4,600   10,451
 
Lasertec Corp.
  11,600   567,892
 
Lawson, Inc.
  3,600   208,362
 
LEC, Inc.
  5,400   59,785
*
Leopalace21 Corp.
  24,100   69,255
 
Life Corp.
  5,200   123,920
 
LIFULL Co., Ltd.
  5,600   28,752
#
Like Co., Ltd.
  1,100   16,144
*
LINE Corp.
  600   29,566
 
Linical Co., Ltd.
  2,200   21,596
 
Link And Motivation, Inc.
  4,700   22,460
 
Lintec Corp.
  9,000   194,549
 
Lion Corp.
  7,200   136,776
*
Litalico, Inc.
  600   14,919
 
LIXIL Group Corp.
  20,500   340,862
 
LIXIL VIVA Corp.
  5,900   120,702
 
Lonseal Corp.
  800   15,390
 
Look Holdings, Inc.
  2,000   19,188
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
*
M&A Capital Partners Co., Ltd.
  1,800   $56,075
 
M3, Inc.
  22,500   654,868
 
Mabuchi Motor Co., Ltd.
  3,800   138,461
 
Macnica Fuji Electronics Holdings, Inc.
  12,450   185,920
 
Macromill, Inc.
  11,800   108,009
 
Maeda Corp.
  18,900   180,406
 
Maeda Kosen Co., Ltd.
  2,900   55,481
#
Maeda Road Construction Co., Ltd.
  2,300   77,740
 
Maezawa Kasei Industries Co., Ltd.
  3,600   38,132
 
Maezawa Kyuso Industries Co., Ltd.
  2,100   44,465
 
Makino Milling Machine Co., Ltd.
  6,200   231,921
#
Mamezou Holdings Co., Ltd.
  5,100   78,603
 
Mamiya-Op Co., Ltd.
  1,100   11,044
 
Mani, Inc.
  5,400   135,536
 
MarkLines Co., Ltd.
  1,200   21,523
 
Marubeni Corp.
  55,700   400,239
 
Marubun Corp.
  3,300   18,221
 
Marudai Food Co., Ltd.
  5,000   96,758
 
Marufuji Sheet Piling Co., Ltd.
  400   8,286
 
Maruha Nichiro Corp.
  10,800   258,278
 
Marui Group Co., Ltd.
  9,300   215,090
 
Maruichi Steel Tube, Ltd.
  2,900   80,467
 
Maruka Corp.
  1,700   31,740
#
Marumae Co., Ltd.
  1,200   10,950
 
Marusan Securities Co., Ltd.
  12,900   61,382
 
Maruwa Co., Ltd.
  2,700   196,208
 
Maruwa Unyu Kikan Co., Ltd.
  2,800   57,579
 
Maruyama Manufacturing Co., Inc.
  600   8,146
 
Maruzen CHI Holdings Co., Ltd.
  3,900   12,926
 
Maruzen Co., Ltd.
  1,000   19,418
 
Maruzen Showa Unyu Co., Ltd.
  3,100   82,737
 
Marvelous, Inc.
  10,800   68,607
 
Matsuda Sangyo Co., Ltd.
  3,100   43,990
 
Matsui Construction Co., Ltd.
  6,000   41,884
 
Matsumotokiyoshi Holdings Co., Ltd.
  5,500   219,925
 
Matsuyafoods Holdings Co., Ltd.
  1,100   47,604
 
Max Co., Ltd.
  3,500   65,445
#
Maxell Holdings, Ltd.
  10,500   137,834
 
Maxvalu Tokai Co., Ltd.
  1,800   38,296
 
Mazda Motor Corp.
  53,100   445,710
 
McDonald's Holdings Co. Japan, Ltd.
  3,900   185,373
 
MCJ Co., Ltd.
  23,800   163,219
 
Mebuki Financial Group, Inc.
  118,350   262,273
 
MEC Co., Ltd.
  2,200   30,581
 
Media Do Holdings Co., Ltd.
  1,000   28,920
*
Medical Data Vision Co., Ltd.
  2,400   17,677
 
Medical System Network Co., Ltd.
  7,000   33,444
 
Medipal Holdings Corp.
  5,300   112,307
#
Medius Holdings Co., Ltd.
  1,500   11,809
*
MedPeer, Inc.
  2,600   39,583
 
Megachips Corp.
  3,500   54,475
 
Megmilk Snow Brand Co., Ltd.
  12,500   292,330
 
Meidensha Corp.
  11,700   217,214
 
Meiji Electric Industries Co., Ltd.
  1,500   20,734
 
Meiji Shipping Co., Ltd.
  2,700   9,898
 
Meiko Electronics Co., Ltd.
  7,500   119,616
 
Meiko Network Japan Co., Ltd.
  3,300   28,885
 
Meisei Industrial Co., Ltd.
  7,400   58,130
 
Meitec Corp.
  4,400   250,121
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Meito Sangyo Co., Ltd.
  2,500   $31,878
 
Meiwa Corp.
  6,500   35,280
 
Meiwa Estate Co., Ltd.
  2,100   11,849
 
Menicon Co., Ltd.
  5,200   232,888
 
Mercuria Investment Co., Ltd.
  1,500   9,926
#
Mesco, Inc.
  600   5,508
 
METAWATER Co., Ltd.
  900   34,630
 
Michinoku Bank, Ltd. (The)
  4,799   60,930
 
Micronics Japan Co., Ltd.
  6,400   73,788
 
Mie Kotsu Group Holdings, Inc.
  12,100   65,685
 
Mikuni Corp.
  7,000   21,028
 
Milbon Co., Ltd.
  3,080   172,358
 
Mimaki Engineering Co., Ltd.
  5,500   25,146
 
Mimasu Semiconductor Industry Co., Ltd.
  4,500   94,941
 
Minebea Mitsumi, Inc.
  35,490   689,429
 
Ministop Co., Ltd.
  3,800   53,637
 
Miraca Holdings, Inc.
  14,000   367,963
 
Miraial Co., Ltd.
  1,700   19,505
 
Mirait Holdings Corp.
  8,610   128,582
 
Miroku Jyoho Service Co., Ltd.
  2,600   71,768
 
MISUMI Group, Inc.
  11,100   275,428
 
Mitani Corp.
  2,000   111,473
 
Mitani Sangyo Co., Ltd.
  7,800   25,498
 
Mitani Sekisan Co., Ltd.
  1,600   56,604
 
Mito Securities Co., Ltd.
  16,800   34,532
 
Mitsuba Corp.
  9,300   54,555
 
Mitsubishi Corp.
  55,300   1,417,650
 
Mitsubishi Electric Corp.
  66,300   919,259
 
Mitsubishi Estate Co., Ltd.
  22,500   440,650
 
Mitsubishi Gas Chemical Co., Inc.
  22,500   340,649
 
Mitsubishi Heavy Industries, Ltd.
  19,400   707,661
 
Mitsubishi Kakoki Kaisha, Ltd.
  1,800   30,257
 
Mitsubishi Logisnext Co., Ltd.
  8,300   125,010
 
Mitsubishi Logistics Corp.
  9,000   228,021
 
Mitsubishi Materials Corp.
  19,000   477,863
 
Mitsubishi Motors Corp.
  50,900   189,640
 
Mitsubishi Paper Mills, Ltd.
  6,500   26,992
 
Mitsubishi Pencil Co., Ltd.
  1,300   19,004
 
Mitsubishi Research Institute, Inc.
  1,300   51,015
 
Mitsubishi Steel Manufacturing Co., Ltd.
  2,900   26,406
 
Mitsubishi UFJ Financial Group, Inc.
  489,300   2,512,368
 
Mitsubishi UFJ Lease & Finance Co., Ltd.
  98,600   617,591
 
Mitsuboshi Belting, Ltd.
  4,100   69,952
 
Mitsui Chemicals, Inc.
  29,500   647,856
*
Mitsui E&S Holdings Co., Ltd.
  17,400   145,311
 
Mitsui Fudosan Co., Ltd.
  21,100   558,844
 
Mitsui High-Tec, Inc.
  3,800   56,582
 
Mitsui Matsushima Holdings Co., Ltd.
  1,100   11,562
 
Mitsui Mining & Smelting Co., Ltd.
  17,700   417,078
 
Mitsui OSK Lines, Ltd.
  13,700   329,414
 
Mitsui Sugar Co., Ltd.
  2,500   48,980
 
Mitsui-Soko Holdings Co., Ltd.
  7,300   119,276
 
Mitsuuroko Group Holdings Co., Ltd.
  8,300   84,260
 
Miura Co., Ltd.
  1,700   58,885
 
Mixi, Inc.
  14,700   258,475
 
Miyaji Engineering Group, Inc.
  1,500   27,181
 
Miyazaki Bank, Ltd. (The)
  3,700   82,887
 
Miyoshi Oil & Fat Co., Ltd.
  2,400   25,938
 
Mizuho Financial Group, Inc.
  937,699   1,390,542
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Mizuho Leasing Co., Ltd.
  7,900   $235,515
 
Mizuno Corp.
  4,500   108,476
*
Mobile Factory, Inc.
  1,400   20,125
 
Modec, Inc.
  2,100   46,325
 
Molitec Steel Co., Ltd.
  2,000   6,523
 
Monex Group, Inc.
  45,600   108,477
 
Monogatari Corp. (The)
  900   72,278
 
MonotaRO Co., Ltd.
  11,400   273,460
 
MORESCO Corp.
  1,700   21,915
 
Mori-Gumi Co., Ltd.
  1,900   5,557
 
Morinaga & Co., Ltd.
  5,600   268,822
 
Morinaga Milk Industry Co., Ltd.
  11,000   420,642
 
Morita Holdings Corp.
  5,300   83,266
 
Morito Co., Ltd.
  5,100   36,856
 
Morozoff, Ltd.
  500   23,313
 
Mory Industries, Inc.
  1,200   28,505
 
MrMax Holdings, Ltd.
  8,700   36,920
 
MS&AD Insurance Group Holdings, Inc.
  15,600   518,118
 
MTI, Ltd.
  4,700   29,599
 
Mugen Estate Co., Ltd.
  2,600   16,581
 
Murakami Corp.
  1,000   25,669
 
Murata Manufacturing Co., Ltd.
  17,100   968,113
 
Musashi Seimitsu Industry Co., Ltd.
  15,600   182,218
 
Musashino Bank, Ltd. (The)
  7,800   122,280
 
Mutoh Holdings Co., Ltd.
  200   3,136
*
Mynet, Inc.
  2,500   14,660
 
N Field Co., Ltd.
  1,600   8,804
 
Nabtesco Corp.
  10,700   306,606
 
NAC Co., Ltd.
  2,700   27,833
 
Nachi-Fujikoshi Corp.
  4,500   165,303
 
Nadex Co., Ltd.
  1,100   9,146
 
Nafco Co., Ltd.
  1,700   21,863
#
Nagano Bank, Ltd. (The)
  1,800   25,198
 
Nagano Keiki Co., Ltd.
  2,200   18,190
 
Nagase & Co., Ltd.
  20,200   277,904
 
Nagatanien Holdings Co., Ltd.
  2,200   43,474
#
Nagawa Co., Ltd.
  900   56,560
#
Nagoya Railroad Co., Ltd.
  8,300   243,508
 
Nakabayashi Co., Ltd.
  4,900   27,845
 
Nakamoto Packs Co., Ltd.
  400   6,047
 
Nakamuraya Co., Ltd.
  600   22,309
 
Nakanishi, Inc.
  5,300   94,543
 
Nakano Corp.
  4,900   21,802
 
Nakayama Steel Works, Ltd.
  5,100   22,948
 
Nakayamafuku Co., Ltd.
  1,900   9,350
 
Nakayo, Inc.
  1,100   16,644
 
Namura Shipbuilding Co., Ltd.
  12,900   28,560
 
Nankai Electric Railway Co., Ltd.
  8,300   214,239
 
Nanto Bank, Ltd. (The)
  7,100   168,066
 
Narasaki Sangyo Co., Ltd.
  1,000   18,824
 
Natori Co., Ltd.
  800   12,322
 
NEC Capital Solutions, Ltd.
  2,400   54,559
 
NEC Corp.
  19,700   876,913
 
NEC Networks & System Integration Corp.
  4,300   160,718
 
NET One Systems Co., Ltd.
  7,100   117,062
 
Neturen Co., Ltd.
  8,500   65,611
#*
New Japan Chemical Co., Ltd.
  5,200   9,397
*
Nexon Co., Ltd.
  11,300   153,035
#
Nextage Co., Ltd.
  3,700   34,869
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Nexyz Group Corp.
  1,100   $17,047
 
NGK Insulators, Ltd.
  26,000   435,934
 
NGK Spark Plug Co., Ltd.
  22,600   397,113
 
NH Foods, Ltd.
  8,000   351,177
 
NHK Spring Co., Ltd.
  47,800   384,861
#
Nicca Chemical Co., Ltd.
  1,900   15,306
#*
Nice Holdings, Inc.
  1,400   16,325
 
Nichia Steel Works, Ltd.
  6,500   20,054
 
Nichias Corp.
  17,700   421,889
 
Nichiban Co., Ltd.
  2,800   44,090
 
Nichicon Corp.
  13,300   120,165
 
Nichiden Corp.
  3,400   63,578
 
Nichiha Corp.
  7,200   173,058
 
NichiiGakkan Co., Ltd.
  12,000   165,628
 
Nichirei Corp.
  15,400   372,284
 
Nichireki Co., Ltd.
  5,800   70,762
 
Nichirin Co., Ltd.
  2,810   50,006
 
Nidec Corp.
  2,900   364,735
 
Nifco, Inc.
  16,200   424,527
 
Nihon Chouzai Co., Ltd.
  2,800   98,486
*
Nihon Dempa Kogyo Co., Ltd.
  3,900   17,419
 
Nihon Dengi Co., Ltd.
  600   19,425
 
Nihon Denkei Co., Ltd.
  900   10,510
 
Nihon House Holdings Co., Ltd.
  11,100   47,148
 
Nihon Kagaku Sangyo Co., Ltd.
  2,900   26,734
 
Nihon Kohden Corp.
  2,900   84,994
 
Nihon M&A Center, Inc.
  15,500   443,415
#
Nihon Nohyaku Co., Ltd.
  9,800   49,930
 
Nihon Parkerizing Co., Ltd.
  5,000   51,857
 
Nihon Plast Co., Ltd.
  3,800   23,287
 
Nihon Tokushu Toryo Co., Ltd.
  2,700   31,860
 
Nihon Unisys, Ltd.
  16,300   497,064
 
Nihon Yamamura Glass Co., Ltd.
  1,600   17,795
 
Nikkato Corp.
  1,400   8,922
 
Nikkiso Co., Ltd.
  8,400   104,412
 
Nikko Co., Ltd.
  5,000   36,849
 
Nikkon Holdings Co., Ltd.
  13,300   306,864
 
Nikon Corp.
  26,300   317,572
 
Nintendo Co., Ltd.
  1,100   404,641
 
Nippi, Inc.
  400   15,402
 
Nippo Corp.
  10,000   245,344
 
Nippon Beet Sugar Manufacturing Co., Ltd.
  3,000   51,760
 
Nippon Carbide Industries Co., Inc.
  1,700   21,117
#
Nippon Carbon Co., Ltd.
  4,200   142,718
 
Nippon Chemical Industrial Co., Ltd.
  1,799   52,336
 
Nippon Chemi-Con Corp.
  3,900   58,947
 
Nippon Chemiphar Co., Ltd.
  500   13,685
 
Nippon Coke & Engineering Co., Ltd.
  51,300   37,054
 
Nippon Commercial Development Co., Ltd.
  3,100   48,161
 
Nippon Concept Corp.
  2,200   30,984
 
Nippon Concrete Industries Co., Ltd.
  13,200   33,322
*
Nippon Denko Co., Ltd.
  27,900   40,869
 
Nippon Densetsu Kogyo Co., Ltd.
  8,800   186,026
 
Nippon Electric Glass Co., Ltd.
  13,600   262,726
 
Nippon Express Co., Ltd.
  9,500   495,036
 
Nippon Filcon Co., Ltd.
  1,500   7,323
 
Nippon Fine Chemical Co., Ltd.
  2,700   35,633
 
Nippon Flour Mills Co., Ltd.
  11,900   179,504
 
Nippon Gas Co., Ltd.
  11,600   366,821
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Nippon Hume Corp.
  6,600   $49,370
 
Nippon Kanzai Co., Ltd.
  700   12,461
 
Nippon Kinzoku Co., Ltd.
  1,500   11,397
 
Nippon Kodoshi Corp.
  1,600   19,254
 
Nippon Koei Co., Ltd.
  3,000   98,788
 
Nippon Koshuha Steel Co., Ltd.
  2,000   7,873
 
Nippon Light Metal Holdings Co., Ltd.
  175,500   334,862
 
Nippon Paint Holdings Co., Ltd.
  2,800   133,843
 
Nippon Paper Industries Co., Ltd.
  19,900   323,851
 
Nippon Parking Development Co., Ltd., Class C
  20,100   26,451
 
Nippon Pillar Packing Co., Ltd.
  5,000   66,475
 
Nippon Piston Ring Co., Ltd.
  2,300   30,794
 
Nippon Road Co., Ltd. (The)
  2,000   135,707
 
Nippon Seiki Co., Ltd.
  10,700   157,193
 
Nippon Seisen Co., Ltd.
  1,000   33,918
*
Nippon Sharyo, Ltd.
  2,200   59,894
 
Nippon Sheet Glass Co., Ltd.
  28,900   155,987
 
Nippon Shinyaku Co., Ltd.
  900   79,793
 
Nippon Shokubai Co., Ltd.
  2,900   170,030
 
Nippon Signal Co., Ltd.
  2,000   25,220
 
Nippon Soda Co., Ltd.
  6,500   174,919
 
Nippon Steel Corp.
  53,398   740,923
 
Nippon Steel Trading Corp.
  4,100   185,553
 
Nippon Suisan Kaisha, Ltd.
  89,000   485,352
 
Nippon Telegraph & Telephone Corp.
  31,800   810,806
 
Nippon Thompson Co., Ltd.
  14,800   61,534
 
Nippon Yakin Kogyo Co., Ltd.
  4,660   88,573
 
Nippon Yusen K.K.
  23,600   375,805
 
Nishikawa Rubber Co., Ltd.
  1,200   19,694
 
Nishimatsu Construction Co., Ltd.
  11,300   250,633
 
Nishimatsuya Chain Co., Ltd.
  13,100   112,048
 
Nishimoto Co., Ltd.
  700   23,417
 
Nishi-Nippon Financial Holdings, Inc.
  27,900   183,962
 
Nishi-Nippon Railroad Co., Ltd.
  7,600   175,640
 
Nishio Rent All Co., Ltd.
  5,600   150,461
 
Nissan Motor Co., Ltd.
  166,300   902,393
 
Nissan Shatai Co., Ltd.
  13,400   127,217
 
Nissan Tokyo Sales Holdings Co., Ltd.
  4,900   12,385
 
Nissei ASB Machine Co., Ltd.
  1,900   64,161
 
Nissei Plastic Industrial Co., Ltd.
  4,600   39,515
 
Nissha Co., Ltd.
  5,100   46,053
 
Nisshin Group Holdings Co., Ltd.
  9,400   46,731
 
Nisshin Oillio Group, Ltd. (The)
  6,500   217,495
 
Nisshin Seifun Group, Inc.
  1,940   33,125
 
Nisshinbo Holdings, Inc.
  29,511   253,753
 
Nissin Corp.
  3,500   53,852
 
Nissin Electric Co., Ltd.
  14,600   174,274
 
Nissin Kogyo Co., Ltd.
  10,300   208,221
 
Nissin Sugar Co., Ltd.
  3,100   56,723
 
Nissui Pharmaceutical Co., Ltd.
  2,600   32,381
 
Nitori Holdings Co., Ltd.
  1,500   233,101
 
Nitta Corp.
  4,900   137,118
 
Nitta Gelatin, Inc.
  3,200   19,267
 
Nittan Valve Co., Ltd.
  4,000   9,942
 
Nittetsu Mining Co., Ltd.
  1,700   69,110
 
Nitto Denko Corp.
  21,500   1,195,144
 
Nitto Fuji Flour Milling Co., Ltd.
  300   17,577
 
Nitto Kogyo Corp.
  3,600   74,525
 
Nitto Kohki Co., Ltd.
  2,400   51,753
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Nitto Seiko Co., Ltd.
  6,900   $36,493
 
Nittoc Construction Co., Ltd.
  6,700   51,827
 
NJS Co., Ltd.
  1,500   24,589
 
Noda Corp.
  2,000   14,557
 
Noevir Holdings Co., Ltd.
  3,100   141,181
 
NOF Corp.
  7,700   250,652
 
Nojima Corp.
  9,100   179,504
 
NOK Corp.
  16,700   222,421
 
Nomura Co., Ltd.
  13,400   152,182
 
Nomura Holdings, Inc.
  135,600   694,191
 
Nomura Real Estate Holdings, Inc.
  10,400   256,110
 
Nomura Research Institute, Ltd.
  10,989   241,820
 
Noritake Co., Ltd.
  2,700   107,332
 
Noritsu Koki Co., Ltd.
  3,600   52,146
 
Noritz Corp.
  8,000   98,578
 
North Pacific Bank, Ltd.
  70,200   140,601
 
Nozawa Corp.
  2,000   13,145
 
NS Solutions Corp.
  5,400   158,612
 
NS Tool Co., Ltd.
  2,700   69,754
 
NS United Kaiun Kaisha, Ltd.
  3,000   54,676
 
NSD Co., Ltd.
  8,600   138,567
 
NSK, Ltd.
  57,900   482,955
 
NTN Corp.
  151,000   400,141
 
NTT Data Corp.
  17,200   241,612
 
NTT DOCOMO, Inc.
  80,900   2,298,562
 
NuFlare Technology, Inc.
  1,000   108,244
 
Oat Agrio Co., Ltd.
  600   7,853
 
Obara Group, Inc.
  1,900   60,286
 
Obayashi Corp.
  67,600   741,367
 
Obic Co., Ltd.
  1,100   149,888
 
Odakyu Electric Railway Co., Ltd.
  12,399   275,028
 
Odelic Co., Ltd.
  1,400   61,894
 
Ogaki Kyoritsu Bank, Ltd. (The)
  9,300   191,451
#
Ohara, Inc.
  1,700   18,644
 
Ohashi Technica, Inc.
  3,300   46,867
 
Ohsho Food Service Corp.
  2,100   126,009
 
Oiles Corp.
  5,640   78,693
 
Oita Bank, Ltd. (The)
  3,900   90,268
 
Oji Holdings Corp.
  126,400   642,187
 
Okabe Co., Ltd.
  8,900   69,907
 
Okada Aiyon Corp.
  800   8,948
#
Okamoto Machine Tool Works, Ltd.
  1,100   28,041
 
Okamura Corp.
  10,700   102,819
 
Okasan Securities Group, Inc.
  35,000   122,731
 
Oki Electric Industry Co., Ltd.
  28,100   349,851
 
Okinawa Cellular Telephone Co.
  3,200   128,656
 
Okinawa Electric Power Co., Inc. (The)
  7,193   132,497
 
OKK Corp.
  1,800   10,182
 
OKUMA Corp.
  3,900   177,693
 
Okumura Corp.
  8,300   219,422
 
Okura Industrial Co., Ltd.
  1,600   25,613
 
Okuwa Co., Ltd.
  6,600   88,614
 
Olympus Corp.
  43,600   704,456
 
Omron Corp.
  4,400   251,966
 
Ono Pharmaceutical Co., Ltd.
  4,000   92,107
 
ONO Sokki Co., Ltd.
  3,200   17,314
 
Onoken Co., Ltd.
  4,000   49,316
 
Onward Holdings Co., Ltd.
  24,500   140,735
 
Ootoya Holdings Co., Ltd.
  600   13,050
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
*
Open Door, Inc.
  1,200   $14,570
 
Open House Co., Ltd.
  12,800   340,267
 
Optex Group Co., Ltd.
  4,300   56,582
 
Oracle Corp.
  2,100   181,771
 
Organo Corp.
  1,800   112,756
 
Orient Corp.
  83,000   127,545
 
Oriental Land Co., Ltd.
  3,700   481,869
 
Origin Co., Ltd.
  1,400   19,715
 
ORIX Corp.
  153,300   2,589,614
 
Osaka Gas Co., Ltd.
  9,400   159,065
 
Osaka Organic Chemical Industry, Ltd.
  3,500   57,545
 
Osaka Soda Co., Ltd.
  2,300   61,088
 
Osaka Steel Co., Ltd.
  3,600   51,929
 
OSAKA Titanium Technologies Co., Ltd.
  3,400   43,045
 
Osaki Electric Co., Ltd.
  11,100   63,537
 
OSG Corp.
  12,300   207,050
 
OSJB Holdings Corp.
  31,900   78,699
 
Otsuka Corp.
  7,100   276,863
 
OUG Holdings, Inc.
  1,000   24,757
 
Outsourcing, Inc.
  20,600   186,474
 
Oyo Corp.
  5,800   73,531
 
Pacific Industrial Co., Ltd.
  12,700   151,324
 
Pacific Metals Co., Ltd.
  4,000   74,894
 
Pack Corp. (The)
  2,800   98,574
 
PAL GROUP Holdings Co., Ltd.
  1,800   53,009
 
PALTAC Corp.
  3,200   149,736
 
Pan Pacific International Holdings Corp.
  28,000   451,829
 
Panasonic Corp.
  135,000   1,341,632
 
PAPYLESS Co., Ltd.
  700   12,427
 
Paraca, Inc.
  1,500   28,130
 
Paramount Bed Holdings Co., Ltd.
  3,800   157,306
 
Parco Co., Ltd.
  5,900   99,345
 
Paris Miki Holdings, Inc.
  8,700   27,526
 
Park24 Co., Ltd.
  13,200   331,488
 
Parker Corp.
  3,000   15,819
 
Pasona Group, Inc.
  6,100   77,189
 
PC Depot Corp.
  7,800   41,829
 
Pegasus Sewing Machine Manufacturing Co., Ltd.
  5,300   23,101
 
Penta-Ocean Construction Co., Ltd.
  92,000   543,384
#
Pepper Food Service Co., Ltd.
  1,600   14,143
*
PeptiDream, Inc.
  8,100   383,435
 
Persol Holdings Co., Ltd.
  15,700   280,687
 
PIA Corp.
  900   35,748
 
Pickles Corp.
  700   17,165
 
Pigeon Corp.
  9,900   349,392
 
Pilot Corp.
  4,600   179,581
 
Piolax, Inc.
  6,200   109,654
 
Pola Orbis Holdings, Inc.
  6,900   149,487
 
Poletowin Pitcrew Holdings, Inc.
  4,600   37,967
 
Press Kogyo Co., Ltd.
  23,000   75,710
#
Pressance Corp.
  11,700   130,268
 
Prestige International, Inc.
  11,600   105,145
 
Prima Meat Packers, Ltd.
  8,599   190,071
 
Pronexus, Inc.
  1,800   19,648
#*
Prospect Co., Ltd.
  125,000   35,839
 
Proto Corp.
  4,300   53,985
 
PS Mitsubishi Construction Co., Ltd.
  8,000   52,120
 
Punch Industry Co., Ltd.
  4,300   18,591
 
Qol Holdings Co., Ltd.
  8,200   107,351
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Quick Co., Ltd.
  1,500   $20,650
 
Raito Kogyo Co., Ltd.
  8,000   112,075
 
Raiznext Corp.
  9,300   107,884
 
Rakus Co., Ltd.
  4,200   66,736
*
Rakuten, Inc.
  110,700   853,990
 
Rasa Corp.
  1,700   15,074
 
Rasa Industries, Ltd.
  2,100   27,313
 
Raysum Co., Ltd.
  5,400   48,150
#
RECOMM Co., Ltd.
  7,800   8,513
 
Recruit Holdings Co., Ltd.
  44,400   1,730,547
 
Relo Group, Inc.
  9,200   245,676
 
Renaissance, Inc.
  2,600   41,091
*
Renesas Electronics Corp.
  125,500   789,561
 
Rengo Co., Ltd.
  61,700   432,335
*
RENOVA, Inc.
  4,400   52,794
*
Renown, Inc.
  17,300   16,865
 
Resona Holdings, Inc.
  156,300   644,557
 
Resorttrust, Inc.
  13,100   205,570
 
Restar Holdings Corp.
  3,000   50,704
 
Retail Partners Co., Ltd.
  2,500   18,723
 
Rheon Automatic Machinery Co., Ltd.
  1,200   16,134
 
Rhythm Watch Co., Ltd.
  1,300   10,552
 
Riberesute Corp.
  1,300   10,675
 
Ricoh Co., Ltd.
  50,500   572,995
 
Ricoh Leasing Co., Ltd.
  3,900   145,698
 
Ride On Express Holdings Co., Ltd.
  1,500   25,208
#
Right On Co., Ltd.
  4,200   22,843
 
Riken Corp.
  2,100   67,657
 
Riken Keiki Co., Ltd.
  2,100   40,768
 
Riken Technos Corp.
  8,700   38,678
 
Riken Vitamin Co., Ltd.
  1,700   61,071
#
Ringer Hut Co., Ltd.
  3,600   81,244
 
Rinnai Corp.
  1,600   114,051
 
Rion Co., Ltd.
  1,800   52,448
 
Riso Kagaku Corp.
  3,500   59,674
 
Riso Kyoiku Co., Ltd.
  18,500   61,145
 
Rix Corp.
  800   12,572
 
Rock Field Co., Ltd.
  2,800   36,871
 
Rohm Co., Ltd.
  3,300   237,387
 
Rohto Pharmaceutical Co., Ltd.
  7,200   199,301
 
Rokko Butter Co., Ltd.
  1,900   28,298
 
Roland DG Corp.
  3,900   70,524
 
Rorze Corp.
  2,300   84,736
 
Round One Corp.
  21,400   199,356
 
Royal Holdings Co., Ltd.
  4,100   89,620
*
Rozetta Corp.
  900   30,416
 
RS Technologies Co., Ltd.
  600   15,372
 
Ryobi, Ltd.
  6,600   106,893
 
Ryoden Corp.
  3,500   52,588
#
Ryohin Keikaku Co., Ltd.
  19,700   329,356
 
Ryosan Co., Ltd.
  4,600   106,386
 
Ryoyo Electro Corp.
  5,100   86,359
 
S Foods, Inc.
  2,100   50,499
 
S LINE Co., Ltd.
  1,300   12,343
 
Sac's Bar Holdings, Inc.
  4,300   33,697
 
Saibu Gas Co., Ltd.
  5,500   117,862
 
Saison Information Systems Co., Ltd.
  800   15,849
 
Sakai Chemical Industry Co., Ltd.
  3,500   71,099
 
Sakai Heavy Industries, Ltd.
  500   12,280
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Sakai Moving Service Co., Ltd.
  2,300   $128,115
 
Sakai Ovex Co., Ltd.
  1,500   24,633
 
Sakata INX Corp.
  11,900   124,200
 
Sakura Internet, Inc.
  2,600   15,938
 
Sala Corp.
  11,500   64,448
 
SAMTY Co., Ltd.
  5,300   89,855
 
San Holdings, Inc.
  2,600   33,244
 
San ju San Financial Group, Inc.
  3,450   49,740
 
San-A Co., Ltd.
  3,400   139,031
 
San-Ai Oil Co., Ltd.
  13,200   131,764
*
Sanden Holdings Corp.
  5,500   32,819
 
Sanei Architecture Planning Co., Ltd.
  3,900   53,349
 
Sangetsu Corp.
  1,400   24,708
 
San-In Godo Bank, Ltd. (The)
  39,100   214,434
*
Sanix, Inc.
  7,600   23,131
 
Sanken Electric Co., Ltd.
  7,700   194,185
 
Sanki Engineering Co., Ltd.
  11,700   159,023
 
Sanko Gosei, Ltd.
  4,500   14,477
 
Sanko Metal Industrial Co., Ltd.
  800   19,132
 
Sankyo Frontier Co., Ltd.
  1,100   41,632
 
Sankyo Seiko Co., Ltd.
  8,500   45,844
 
Sankyo Tateyama, Inc.
  6,600   85,899
 
Sankyu, Inc.
  9,200   453,616
#
Sanoh Industrial Co., Ltd.
  8,500   79,738
 
Sansei Landic Co., Ltd.
  2,000   15,841
#
Sansei Technologies, Inc.
  2,400   18,607
 
Sanshin Electronics Co., Ltd.
  3,200   49,230
 
Santen Pharmaceutical Co., Ltd.
  8,600   160,395
 
Sanwa Holdings Corp.
  24,500   257,717
 
Sanyei Corp.
  500   16,637
 
Sanyo Chemical Industries, Ltd.
  3,100   145,114
 
Sanyo Denki Co., Ltd.
  2,200   107,099
 
Sanyo Electric Railway Co., Ltd.
  3,200   61,840
#
Sanyo Engineering & Construction, Inc.
  2,300   16,229
 
Sanyo Shokai, Ltd.
  3,599   40,903
 
Sanyo Special Steel Co., Ltd.
  4,300   58,283
 
Sanyo Trading Co., Ltd.
  4,800   59,859
 
Sata Construction Co., Ltd.
  3,000   11,736
 
Sato Holdings Corp.
  5,400   153,425
 
Sato Shoji Corp.
  3,600   31,432
 
Satori Electric Co., Ltd.
  3,200   25,297
 
Sawada Holdings Co., Ltd.
  4,600   40,278
 
Sawai Pharmaceutical Co., Ltd.
  7,500   487,392
 
Saxa Holdings, Inc.
  1,300   24,172
 
SB Technology Corp.
  1,200   26,266
 
SBI Holdings, Inc.
  18,700   433,477
 
SBS Holdings, Inc.
  6,000   99,770
 
Scala, Inc.
  4,600   30,446
 
SCREEN Holdings Co., Ltd.
  5,300   275,274
 
Scroll Corp.
  7,000   22,475
 
SCSK Corp.
  5,700   305,500
#
SEC Carbon, Ltd.
  500   38,174
 
Secom Joshinetsu Co., Ltd.
  420   15,450
 
Seed Co., Ltd.
  3,600   33,057
 
Seibu Electric & Machinery Co., Ltd.
  1,200   11,758
 
Seibu Holdings, Inc.
  30,200   470,744
 
Seika Corp.
  2,100   24,580
 
Seikagaku Corp.
  8,300   88,094
 
Seikitokyu Kogyo Co., Ltd.
  9,100   76,280
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Seiko Epson Corp.
  36,000   $526,398
 
Seiko Holdings Corp.
  7,499   182,799
 
Seiko PMC Corp.
  1,300   11,063
 
Seino Holdings Co., Ltd.
  20,000   255,644
 
Seiren Co., Ltd.
  9,300   118,720
 
Sekisui Chemical Co., Ltd.
  50,600   842,765
 
Sekisui House, Ltd.
  27,300   587,009
 
Sekisui Jushi Corp.
  2,800   61,270
 
Sekisui Plastics Co., Ltd.
  7,400   52,088
 
Senko Group Holdings Co., Ltd.
  36,100   288,627
#
Senshu Electric Co., Ltd.
  1,900   52,277
 
Senshu Ikeda Holdings, Inc.
  50,900   92,926
 
Senshukai Co., Ltd.
  8,300   34,810
 
Seria Co., Ltd.
  7,900   217,402
 
Seven & I Holdings Co., Ltd.
  51,000   1,955,509
 
Seven Bank, Ltd.
  99,100   296,364
#
Sharp Corp.
  12,400   168,208
 
Shibaura Electronics Co., Ltd.
  2,300   60,286
 
Shibaura Mechatronics Corp.
  1,200   40,573
 
Shibusawa Warehouse Co., Ltd. (The)
  2,600   50,048
 
Shibuya Corp.
  3,900   108,255
*
Shidax Corp.
  6,100   18,489
*
SHIFT, Inc.
  1,400   95,253
 
Shiga Bank, Ltd. (The)
  9,600   230,462
#
Shikibo, Ltd.
  2,900   40,669
 
Shikoku Bank, Ltd. (The)
  9,300   81,330
 
Shikoku Chemicals Corp.
  9,100   99,691
 
Shikoku Electric Power Co., Inc.
  14,900   126,360
 
Shima Seiki Manufacturing, Ltd.
  6,900   133,099
 
Shimachu Co., Ltd.
  6,900   196,956
 
Shimamura Co., Ltd.
  3,600   270,480
 
Shimane Bank, Ltd. (The)
  900   5,149
 
Shimano, Inc.
  900   137,995
 
Shimizu Bank, Ltd. (The)
  3,400   63,540
 
Shimizu Corp.
  55,200   566,177
 
Shimojima Co., Ltd.
  1,100   11,370
 
Shin Nippon Biomedical Laboratories, Ltd.
  5,300   29,423
 
Shinagawa Refractories Co., Ltd.
  1,600   43,539
 
Shindengen Electric Manufacturing Co., Ltd.
  2,200   67,050
 
Shin-Etsu Chemical Co., Ltd.
  12,200   1,395,237
 
Shin-Etsu Polymer Co., Ltd.
  8,100   68,839
 
Shinko Electric Industries Co., Ltd.
  17,900   210,113
 
Shinko Shoji Co., Ltd.
  9,800   74,939
 
Shinmaywa Industries, Ltd.
  14,100   183,227
 
Shinnihon Corp.
  8,500   70,761
 
Shinoken Group Co., Ltd.
  7,200   80,145
 
Shinsei Bank, Ltd.
  23,700   362,876
 
Shinsho Corp.
  1,400   33,253
 
Shinwa Co., Ltd.
  2,300   46,247
 
Ship Healthcare Holdings, Inc.
  7,500   336,275
 
Shiseido Co., Ltd.
  15,500   997,899
 
Shizuki Electric Co., Inc.
  3,200   18,042
 
Shizuoka Bank, Ltd. (The)
  32,700   229,566
 
Shizuoka Gas Co., Ltd.
  13,800   111,063
*
Shobunsha Publications, Inc.
  3,000   10,498
#
Shoei Co., Ltd.
  1,900   86,411
 
Shoei Foods Corp.
  2,200   73,765
 
Shofu, Inc.
  2,600   43,394
*
Shoko Co., Ltd.
  1,400   8,977
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Showa Aircraft Industry Co., Ltd.
  800   $20,036
 
Showa Corp.
  17,300   357,022
 
Showa Denko K.K.
  24,500   585,860
 
Showa Sangyo Co., Ltd.
  3,400   93,691
 
Showa Shinku Co., Ltd.
  700   10,533
 
Sigma Koki Co., Ltd.
  700   8,922
 
SIGMAXYZ, Inc.
  2,600   46,571
#
Siix Corp.
  7,900   91,654
 
Sinanen Holdings Co., Ltd.
  2,400   44,731
 
Sinfonia Technology Co., Ltd.
  6,900   77,041
 
Sinko Industries, Ltd.
  2,600   40,377
 
Sintokogio, Ltd.
  10,000   85,323
 
SK Kaken Co., Ltd.
  200   87,137
 
SK-Electronics Co., Ltd.
  2,100   35,105
 
SKY Perfect JSAT Holdings, Inc.
  38,100   163,891
 
Skylark Holdings Co., Ltd.
  24,200   443,204
 
SMK Corp.
  1,100   31,339
 
SMS Co., Ltd.
  9,200   227,869
 
SNT Corp.
  8,200   33,931
 
Soda Nikka Co., Ltd.
  4,200   23,244
 
Sodick Co., Ltd.
  13,900   107,991
 
Soft99 Corp.
  800   7,560
 
SoftBank Group Corp.
  139,300   5,624,175
#
Softbrain Co., Ltd.
  2,500   12,603
 
Softcreate Holdings Corp.
  800   12,935
 
Software Service, Inc.
  400   36,647
 
Sogo Medical Holdings Co., Ltd.
  5,100   95,843
 
Sohgo Security Services Co., Ltd.
  3,200   166,084
 
Sojitz Corp.
  164,300   517,149
 
Soken Chemical & Engineering Co., Ltd.
  2,200   26,284
 
Solasto Corp.
  7,600   79,081
 
Soliton Systems K.K.
  2,100   22,957
 
Sompo Holdings, Inc.
  13,700   511,884
 
Sony Corp.
  49,000   3,426,415
 
Sony Financial Holdings, Inc.
  1,800   41,443
 
Soshin Electric Co., Ltd.
  2,500   10,040
 
Sotetsu Holdings, Inc.
  6,500   173,715
 
Sotoh Co., Ltd.
  2,900   25,961
#
Sourcenext Corp.
  15,200   68,045
 
Space Co., Ltd.
  1,890   21,054
 
Space Value Holdings Co., Ltd.
  7,000   35,043
 
Sparx Group Co., Ltd.
  19,200   46,170
 
SPK Corp.
  1,100   26,127
 
Square Enix Holdings Co., Ltd.
  1,400   68,725
 
SRA Holdings
  2,600   60,428
 
SRS Holdings Co., Ltd.
  1,200   11,521
 
St Marc Holdings Co., Ltd.
  4,900   102,524
 
Stanley Electric Co., Ltd.
  12,500   321,938
 
Star Mica Holdings Co., Ltd.
  2,200   33,112
 
Star Micronics Co., Ltd.
  8,300   106,121
 
Starts Corp., Inc.
  10,500   253,542
 
Starzen Co., Ltd.
  1,700   67,091
 
St-Care Holding Corp.
  2,700   11,722
 
Stella Chemifa Corp.
  2,100   57,799
 
Step Co., Ltd.
  2,300   34,050
 
Strike Co., Ltd.
  800   34,111
 
Studio Alice Co., Ltd.
  3,800   67,100
 
Subaru Corp.
  11,100   277,639
 
Subaru Enterprise Co., Ltd.
  400   34,804
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Sugi Holdings Co., Ltd.
  2,800   $140,286
 
Sugimoto & Co., Ltd.
  2,600   46,242
#
SUMCO Corp.
  60,900   931,243
 
Sumida Corp.
  8,500   83,038
#
Suminoe Textile Co., Ltd.
  1,500   35,017
#
Sumiseki Holdings, Inc.
  13,600   16,854
 
Sumitomo Corp.
  44,800   666,385
 
Sumitomo Densetsu Co., Ltd.
  4,100   98,717
 
Sumitomo Electric Industries, Ltd.
  81,900   1,091,860
 
Sumitomo Forestry Co., Ltd.
  35,800   497,121
 
Sumitomo Heavy Industries, Ltd.
  22,300   584,190
 
Sumitomo Metal Mining Co., Ltd.
  16,800   477,632
 
Sumitomo Mitsui Construction Co., Ltd.
  55,620   312,833
 
Sumitomo Mitsui Financial Group, Inc.
  51,000   1,793,129
 
Sumitomo Mitsui Trust Holdings, Inc.
  11,600   427,691
 
Sumitomo Osaka Cement Co., Ltd.
  11,000   447,219
*
Sumitomo Precision Products Co., Ltd.
  600   17,583
 
Sumitomo Realty & Development Co., Ltd.
  14,400   530,143
 
Sumitomo Riko Co., Ltd.
  10,700   83,988
 
Sumitomo Rubber Industries, Ltd.
  52,525   577,106
 
Sumitomo Seika Chemicals Co., Ltd.
  2,400   68,374
 
Sumitomo Warehouse Co., Ltd. (The)
  15,200   196,931
 
Sun Frontier Fudousan Co., Ltd.
  9,900   110,553
 
Suncall Corp.
  3,600   17,561
 
Sundrug Co., Ltd.
  10,700   362,603
 
Suntory Beverage & Food, Ltd.
  5,300   224,393
 
Sun-Wa Technos Corp.
  3,300   29,600
#*
Suruga Bank, Ltd.
  27,400   107,934
 
Sushiro Global Holdings, Ltd.
  2,500   209,794
 
Suzuken Co., Ltd.
  1,050   40,257
 
Suzuki Co., Ltd.
  2,100   14,375
 
Suzuki Motor Corp.
  11,900   544,493
 
SWCC Showa Holdings Co., Ltd.
  5,900   73,216
 
Sysmex Corp.
  9,000   643,862
 
Systena Corp.
  12,500   209,726
 
Syuppin Co., Ltd.
  3,700   35,716
 
T Hasegawa Co., Ltd.
  7,500   153,849
 
T RAD Co., Ltd.
  1,500   25,112
 
T&D Holdings, Inc.
  51,900   553,217
 
T&K Toka Co., Ltd.
  6,000   54,027
 
Tachibana Eletech Co., Ltd.
  4,880   79,636
 
Tachikawa Corp.
  2,800   31,574
 
Tachi-S Co., Ltd.
  7,100   82,685
 
Tadano, Ltd.
  26,800   225,945
 
Taihei Dengyo Kaisha, Ltd.
  3,900   81,274
 
Taiheiyo Cement Corp.
  27,300   734,775
 
Taiheiyo Kouhatsu, Inc.
  2,400   17,184
 
Taiho Kogyo Co., Ltd.
  3,300   21,788
 
Taikisha, Ltd.
  2,600   88,906
 
Taiko Bank, Ltd. (The)
  1,900   28,479
 
Taisei Corp.
  25,800   1,030,032
 
Taisei Lamick Co., Ltd.
  900   23,263
 
Taisei Oncho Co., Ltd.
  1,100   22,009
 
Taisho Pharmaceutical Holdings Co., Ltd.
  1,500   105,969
 
Taiyo Holdings Co., Ltd.
  3,500   148,056
#
Taiyo Yuden Co., Ltd.
  34,500   994,804
 
Takachiho Koheki Co., Ltd.
  1,900   20,067
 
Takagi Seiko Corp.
  500   13,236
 
Takamatsu Construction Group Co., Ltd.
  3,600   86,904
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
#
Takamatsu Machinery Co., Ltd.
  900   $6,954
 
Takamiya Co., Ltd.
  4,700   27,453
#
Takano Co., Ltd.
  2,300   16,718
 
Takaoka Toko Co., Ltd.
  3,000   30,891
 
Takara Leben Co., Ltd.
  27,900   124,305
 
Takara Standard Co., Ltd.
  9,200   157,835
 
Takasago International Corp.
  3,400   73,365
 
Takasago Thermal Engineering Co., Ltd.
  1,900   32,996
 
Takashima & Co., Ltd.
  600   10,686
#
Takashimaya Co., Ltd.
  26,600   284,416
 
Take And Give Needs Co., Ltd.
  3,100   28,839
 
TAKEBISHI Corp.
  2,200   29,859
 
Takeei Corp.
  3,700   36,276
#
Takemoto Yohki Co., Ltd.
  2,500   19,931
 
Takeuchi Manufacturing Co., Ltd.
  10,800   182,249
 
Takihyo Co., Ltd.
  1,600   27,773
 
Takisawa Machine Tool Co., Ltd.
  1,800   22,080
 
Takuma Co., Ltd.
  7,400   80,677
 
Tama Home Co., Ltd.
  4,700   55,291
 
Tamron Co., Ltd.
  4,300   91,327
 
Tamura Corp.
  12,100   70,670
 
Tanabe Engineering Corp.
  1,100   9,224
 
Tanseisha Co., Ltd.
  5,400   60,699
 
Tatsuta Electric Wire and Cable Co., Ltd.
  10,600   55,817
 
Tayca Corp.
  3,300   56,894
#
Tazmo Co., Ltd.
  2,300   25,142
 
Tbk Co., Ltd.
  6,200   26,369
 
TDC Soft, Inc.
  2,800   25,012
 
TDK Corp.
  18,600   1,969,285
 
Tear Corp.
  1,600   8,775
 
TechMatrix Corp.
  1,900   45,259
 
Techno Medica Co., Ltd.
  900   17,147
 
Techno Ryowa, Ltd.
  1,600   13,219
 
Techno Smart Corp.
  2,600   21,914
 
TechnoPro Holdings, Inc.
  6,600   437,029
 
Tecnos Japan, Inc.
  1,400   6,039
 
Teijin, Ltd.
  61,700   1,103,122
 
Teikoku Sen-I Co., Ltd.
  2,300   51,646
 
Teikoku Tsushin Kogyo Co., Ltd.
  1,600   18,122
 
Tekken Corp.
  3,300   83,515
 
Tenma Corp.
  4,400   79,083
 
Teraoka Seisakusho Co., Ltd.
  2,100   9,619
 
T-Gaia Corp.
  3,700   90,990
 
THK Co., Ltd.
  21,400   533,522
 
Tigers Polymer Corp.
  3,500   18,298
 
TIS, Inc.
  9,700   582,740
 
TKC Corp.
  2,400   118,828
 
Toa Corp.
  6,200   63,848
 
Toa Corp.
  4,100   58,361
 
Toa Oil Co., Ltd.
  2,100   43,454
 
TOA ROAD Corp.
  1,500   47,052
 
Toagosei Co., Ltd.
  28,800   322,002
 
Toba, Inc.
  500   13,760
 
Tobishima Corp.
  4,270   54,027
 
Tobu Railway Co., Ltd.
  8,200   288,861
 
TOC Co., Ltd.
  12,700   102,002
 
Tocalo Co., Ltd.
  20,500   204,214
 
Tochigi Bank, Ltd. (The)
  29,200   53,132
 
Toda Corp.
  28,500   182,781
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Toda Kogyo Corp.
  800   $15,441
 
Toei Animation Co., Ltd.
  2,700   129,387
 
Toei Co., Ltd.
  400   55,237
#
Toell Co., Ltd.
  1,900   13,694
 
Toenec Corp.
  2,000   72,194
 
Togami Electric Manufacturing Co., Ltd.
  1,000   17,994
 
Toho Bank, Ltd. (The)
  49,400   113,532
 
Toho Co., Ltd.
  1,400   51,574
#
Toho Co., Ltd.
  2,500   41,027
 
Toho Gas Co., Ltd.
  4,700   181,571
 
Toho Holdings Co., Ltd.
  13,300   273,137
 
Toho Titanium Co., Ltd.
  3,900   29,857
 
Toho Zinc Co., Ltd.
  3,500   59,909
 
Tohoku Bank, Ltd. (The)
  1,800   17,026
 
Tohoku Electric Power Co., Inc.
  17,800   166,840
 
Tohoku Steel Co., Ltd.
  900   12,296
 
Tohokushinsha Film Corp.
  5,700   33,187
#
Tokai Carbon Co., Ltd.
  38,500   347,955
 
Tokai Corp.
  2,700   65,316
 
TOKAI Holdings Corp.
  28,600   272,492
 
Tokai Lease Co., Ltd.
  1,100   16,676
 
Tokai Rika Co., Ltd.
  18,900   321,208
 
Tokai Tokyo Financial Holdings, Inc.
  45,100   134,230
 
Token Corp.
  2,310   159,775
 
Tokio Marine Holdings, Inc.
  18,800   1,020,486
 
Tokushu Tokai Paper Co., Ltd.
  2,300   83,796
 
Tokuyama Corp.
  21,100   535,116
*
Tokyo Base Co., Ltd.
  1,800   8,372
 
Tokyo Broadcasting System Holdings, Inc.
  16,700   288,834
 
Tokyo Century Corp.
  7,600   386,608
#
Tokyo Dome Corp.
  21,700   203,608
*
Tokyo Electric Power Co. Holdings, Inc.
  68,100   269,668
 
Tokyo Electron Device, Ltd.
  1,800   41,465
 
Tokyo Electron, Ltd.
  6,000   1,319,676
 
Tokyo Energy & Systems, Inc.
  7,100   57,187
 
Tokyo Gas Co., Ltd.
  9,900   217,661
 
Tokyo Individualized Educational Institute, Inc.
  1,500   9,834
 
Tokyo Keiki, Inc.
  2,000   18,713
 
Tokyo Kiraboshi Financial Group, Inc.
  7,022   80,439
 
Tokyo Printing Ink Manufacturing Co., Ltd.
  300   6,698
 
Tokyo Rakutenchi Co., Ltd.
  400   21,971
 
Tokyo Rope Manufacturing Co., Ltd.
  2,600   26,119
 
Tokyo Sangyo Co., Ltd.
  6,600   38,362
 
Tokyo Seimitsu Co., Ltd.
  8,200   285,310
 
Tokyo Tatemono Co., Ltd.
  39,100   631,754
 
Tokyo Tekko Co., Ltd.
  2,300   31,805
#
Tokyo Theatres Co., Inc.
  1,900   23,640
 
Tokyu Construction Co., Ltd.
  28,040   195,663
 
Tokyu Corp.
  17,000   299,579
 
Tokyu Fudosan Holdings Corp.
  94,543   666,465
 
Tokyu Recreation Co., Ltd.
  600   31,381
 
Toli Corp.
  10,700   28,813
 
Tomato Bank, Ltd.
  2,600   24,589
 
Tomoe Corp.
  5,400   20,640
 
Tomoe Engineering Co., Ltd.
  2,000   39,881
 
Tomoegawa Co., Ltd.
  1,200   9,793
 
Tomoku Co., Ltd.
  2,200   37,221
 
TOMONY Holdings, Inc.
  38,500   127,851
 
Tomy Co., Ltd.
  26,400   285,541
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Tonami Holdings Co., Ltd.
  1,300   $59,319
 
Topcon Corp.
  33,400   460,098
 
Toppan Forms Co., Ltd.
  12,800   145,244
 
Toppan Printing Co., Ltd.
  23,700   472,342
 
Topre Corp.
  11,400   173,033
 
Topy Industries, Ltd.
  4,000   64,860
 
Toray Industries, Inc.
  95,500   624,886
 
Torex Semiconductor, Ltd.
  1,400   19,138
 
Toridoll Holdings Corp.
  5,800   132,069
 
Torigoe Co., Ltd. (The)
  4,100   30,890
 
Torii Pharmaceutical Co., Ltd.
  3,700   125,577
 
Torishima Pump Manufacturing Co., Ltd.
  4,500   35,800
 
Tosei Corp.
  8,900   114,867
#
Toshiba Machine Co., Ltd.
  4,900   149,803
 
Toshiba TEC Corp.
  8,800   344,598
 
Tosho Co., Ltd.
  3,200   62,270
 
Tosoh Corp.
  46,800   660,110
 
Totech Corp.
  1,700   42,016
 
Totetsu Kogyo Co., Ltd.
  4,800   139,764
 
TOTO, Ltd.
  5,799   235,639
 
Totoku Electric Co., Ltd.
  500   11,170
 
Tottori Bank, Ltd. (The)
  2,400   29,386
 
Toukei Computer Co., Ltd.
  700   22,612
 
Tow Co., Ltd.
  5,100   44,667
 
Towa Bank, Ltd. (The)
  9,200   67,231
 
Towa Corp.
  7,800   70,319
 
Towa Pharmaceutical Co., Ltd.
  5,100   116,455
 
Toyo Construction Co., Ltd.
  21,000   99,477
 
Toyo Corp.
  5,600   63,854
 
Toyo Denki Seizo K.K.
  1,200   16,368
*
Toyo Engineering Corp.
  7,500   38,664
#
Toyo Gosei Co., Ltd.
  1,400   50,179
 
Toyo Ink SC Holdings Co., Ltd.
  8,900   198,416
 
Toyo Kanetsu K.K.
  2,900   57,834
 
Toyo Logistics Co., Ltd.
  6,300   18,124
 
Toyo Machinery & Metal Co., Ltd.
  4,900   23,146
 
Toyo Securities Co., Ltd.
  14,000   18,722
 
Toyo Seikan Group Holdings, Ltd.
  23,100   390,797
 
Toyo Tanso Co., Ltd.
  3,500   65,090
 
Toyo Tire Corp
  33,000   412,511
 
Toyo Wharf & Warehouse Co., Ltd.
  1,500   19,428
 
Toyobo Co., Ltd.
  28,900   394,540
 
Toyoda Gosei Co., Ltd.
  23,700   537,719
 
Toyota Boshoku Corp.
  16,400   236,771
 
Toyota Industries Corp.
  5,200   281,255
 
Toyota Motor Corp.
  1   35
 
TPR Co., Ltd.
  6,600   108,031
 
Trancom Co., Ltd.
  2,400   170,397
 
Transaction Co., Ltd.
  2,200   21,544
*
Trend Micro, Inc.
  10,500   548,629
#
Tri Chemical Laboratories, Inc.
  1,400   132,875
#
Trinity Industrial Corp.
  2,000   17,036
 
Trusco Nakayama Corp.
  6,800   158,185
 
TS Tech Co., Ltd.
  11,700   321,544
 
TSI Holdings Co., Ltd.
  15,400   72,394
 
Tsubaki Nakashima Co., Ltd.
  14,500   169,858
 
Tsubakimoto Chain Co.
  7,100   218,487
 
Tsubakimoto Kogyo Co., Ltd.
  1,200   43,579
*
Tsudakoma Corp.
  1,200   11,896
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
#
Tsugami Corp.
  14,000   $126,418
 
Tsukada Global Holdings, Inc.
  5,000   26,491
 
Tsukishima Kikai Co., Ltd.
  6,600   87,253
 
Tsukuba Bank, Ltd.
  28,700   53,967
 
Tsukui Corp.
  16,000   83,436
 
Tsumura & Co.
  3,300   89,629
 
Tsuruha Holdings, Inc.
  2,500   306,004
 
Tsurumi Manufacturing Co., Ltd.
  4,800   79,453
 
Tsutsumi Jewelry Co., Ltd.
  1,500   29,067
 
Tsuzuki Denki Co., Ltd.
  1,700   21,395
 
TV Asahi Holdings Corp.
  5,300   101,095
 
Tv Tokyo Holdings Corp.
  3,500   74,563
 
TYK Corp.
  5,500   15,634
 
UACJ Corp.
  10,100   205,813
 
Ube Industries, Ltd.
  33,900   680,407
 
Uchida Yoko Co., Ltd.
  1,000   65,237
 
Uchiyama Holdings Co., Ltd.
  3,100   14,635
 
Ulvac, Inc.
  14,200   512,248
 
UMC Electronics Co., Ltd.
  1,400   5,282
 
Unicharm Corp.
  9,800   335,392
 
Uniden Holdings Corp.
  1,300   24,411
 
UNIMAT Retirement Community Co., Ltd.
  1,200   17,099
 
Union Tool Co.
  1,200   34,002
 
Unipres Corp.
  13,400   170,917
 
United Arrows, Ltd.
  3,800   101,050
 
United Super Markets Holdings, Inc.
  11,400   101,802
 
UNITED, Inc.
  2,400   25,754
*
Unitika, Ltd.
  18,800   73,967
 
Unizo Holdings Co., Ltd.
  4,800   244,089
 
Urbanet Corp. Co., Ltd.
  3,300   10,765
 
Usen-Next Holdings Co., Ltd.
  2,700   40,610
 
Ushio, Inc.
  27,400   400,917
 
USS Co., Ltd.
  13,900   252,280
#
UT Group Co., Ltd.
  5,200   129,603
 
Utoc Corp.
  3,900   20,116
#
V Technology Co., Ltd.
  1,600   70,680
 
Valor Holdings Co., Ltd.
  12,400   216,700
 
Valqua, Ltd.
  4,800   101,477
 
Value HR Co., Ltd.
  700   19,824
 
ValueCommerce Co., Ltd.
  2,700   62,826
 
V-Cube, Inc.
  4,000   25,436
*
Vector, Inc.
  4,800   54,568
 
Vertex Corp.
  1,060   18,873
 
Village Vanguard Co., Ltd.
  1,200   11,056
*
Vision, Inc.
  3,000   39,187
#*
Visionary Holdings Co., Ltd.
  2,390   11,374
 
Vital KSK Holdings, Inc.
  10,100   96,038
 
VT Holdings Co., Ltd.
  25,500   104,320
 
Wacoal Holdings Corp.
  11,200   298,124
 
Wacom Co., Ltd.
  22,600   82,324
 
Wakachiku Construction Co., Ltd.
  3,700   56,151
*
Wakamoto Pharmaceutical Co., Ltd.
  4,500   10,797
 
Wakita & Co., Ltd.
  9,800   90,652
 
Warabeya Nichiyo Holdings Co., Ltd.
  3,800   62,664
 
Waseda Academy Co., Ltd.
  2,000   20,680
#
Watahan & Co., Ltd.
  1,100   19,069
 
WATAMI Co., Ltd.
  4,400   51,503
 
Watts Co., Ltd.
  1,800   10,222
 
WDB Holdings Co., Ltd.
  1,400   34,079
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Weathernews, Inc.
  900   $31,578
 
Welcia Holdings Co., Ltd.
  3,530   193,845
 
West Holdings Corp.
  5,300   83,971
 
Will Group, Inc.
  3,100   30,027
 
WIN-Partners Co., Ltd.
  1,900   19,965
 
Wood One Co., Ltd.
  1,900   19,958
 
Workman Co., Ltd.
  800   64,467
 
World Holdings Co., Ltd.
  2,600   39,297
 
Wowow, Inc.
  1,700   42,128
 
Xebio Holdings Co., Ltd.
  6,300   67,017
 
YAC Holdings Co., Ltd.
  1,700   9,801
 
Yachiyo Industry Co., Ltd.
  900   5,664
 
Yagi & Co., Ltd.
  800   12,383
 
Yahagi Construction Co., Ltd.
  6,700   51,077
 
Yaizu Suisankagaku Industry Co., Ltd.
  1,700   16,119
 
Yakult Honsha Co., Ltd.
  2,700   135,797
#
YAKUODO Holdings Co., Ltd.
  1,500   30,042
 
YAMABIKO Corp.
  8,100   79,088
 
YAMADA Consulting Group Co., Ltd.
  1,400   19,116
 
Yamada Denki Co., Ltd.
  45,800   230,844
 
Yamagata Bank, Ltd. (The)
  6,099   77,064
 
Yamaguchi Financial Group, Inc.
  24,800   149,300
 
Yamaha Motor Co., Ltd.
  36,100   669,930
*
Yamaha Motor Robotics Holdings Co., Ltd.
  3,800   17,060
 
Yamaichi Electronics Co., Ltd.
  3,200   46,844
 
YA-MAN, Ltd.
  5,800   34,593
 
Yamanashi Chuo Bank, Ltd. (The)
  7,300   66,086
 
Yamatane Corp.
  2,600   35,754
 
Yamato Corp.
  4,700   32,857
 
Yamato Holdings Co., Ltd.
  14,100   225,787
 
Yamato International, Inc.
  3,200   11,985
 
Yamato Kogyo Co., Ltd.
  11,100   268,918
 
Yamaura Corp.
  2,200   18,667
 
Yamazaki Baking Co., Ltd.
  22,900   435,798
 
Yamazawa Co., Ltd.
  900   13,989
 
Yamazen Corp.
  11,300   104,694
 
Yaoko Co., Ltd.
  3,700   189,306
 
Yashima Denki Co., Ltd.
  3,400   28,044
#
Yaskawa Electric Corp.
  17,400   595,632
 
Yasuda Logistics Corp.
  3,400   33,123
#
Yasunaga Corp.
  2,300   24,186
 
Yellow Hat, Ltd.
  9,400   149,638
 
Yodogawa Steel Works, Ltd.
  5,700   101,945
 
Yokogawa Bridge Holdings Corp.
  6,500   121,927
 
Yokogawa Electric Corp.
  11,600   201,840
 
Yokohama Reito Co., Ltd.
  12,100   105,280
 
Yokohama Rubber Co., Ltd. (The)
  40,200   683,288
 
Yondenko Corp.
  1,100   29,045
 
Yondoshi Holdings, Inc.
  2,400   52,128
 
Yorozu Corp.
  5,900   77,501
#
Yotai Refractories Co., Ltd.
  4,900   31,206
 
Yuasa Trading Co., Ltd.
  3,500   112,292
 
Yuken Kogyo Co., Ltd.
  700   10,877
#
Yumeshin Holdings Co., Ltd.
  7,900   61,198
 
Yurtec Corp.
  10,600   63,588
 
Yushiro Chemical Industry Co., Ltd.
  2,000   24,755
 
Yutaka Giken Co., Ltd.
  200   4,057
 
Z Holdings Corp.
  116,500   462,731
 
Zaoh Co., Ltd.
  800   10,818
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
JAPAN — (Continued)
 
Zenitaka Corp. (The)
  600   $22,094
 
Zenkoku Hosho Co., Ltd.
  10,100   432,116
#
Zenrin Co., Ltd.
  5,700   76,800
 
Zensho Holdings Co., Ltd.
  10,400   220,228
 
Zeon Corp.
  51,600   547,931
 
ZIGExN Co., Ltd.
  9,400   41,817
 
Zojirushi Corp.
  6,100   121,240
 
ZOZO, Inc.
  13,700   228,184
 
Zuiko Corp.
  700   27,126
 
Zuken, Inc.
  1,400   31,776
TOTAL JAPAN
      285,551,286
NETHERLANDS — (3.3%)
 
Aalberts NV
  30,044   1,311,737
 
ABN AMRO Bank NV
  26,025   452,977
 
Accell Group NV
  3,450   106,683
 
Aegon NV
  214,942   870,493
 
Aegon NV
  76,768   307,840
 
Akzo Nobel NV
  16,598   1,566,333
*
Altice Europe NV
  76,429   491,221
*
Altice Europe NV, Class B
  3,103   20,222
#
AMG Advanced Metallurgical Group NV
  6,267   142,500
 
Amsterdam Commodities NV
  4,113   94,435
 
APERAM SA
  9,685   276,837
 
Arcadis NV
  14,642   332,590
 
ArcelorMittal SA
  38,288   561,302
 
ASM International NV
  9,631   1,170,421
 
ASML Holding NV
  1,474   413,659
 
ASML Holding NV
  11,471   3,219,420
 
ASR Nederland NV
  31,857   1,185,369
*
Basic-Fit NV
  9,132   337,856
 
BE Semiconductor Industries NV
  28,622   1,211,755
#*
Beter Bed Holding NV
  3,857   9,607
#
Boskalis Westminster
  14,950   349,667
#
Brunel International NV
  1,267   11,621
 
Coca-Cola European Partners P.L.C.
  21,042   1,124,229
 
Corbion NV
  15,816   547,804
 
Flow Traders
  13,664   319,114
 
ForFarmers NV
  11,164   72,976
#*
Fugro NV
  17,870   187,678
 
GrandVision NV
  15,221   466,315
*
Heijmans NV
  6,603   52,314
 
Hunter Douglas NV
  1,198   78,285
 
IMCD NV
  6,809   587,948
 
ING Groep NV
  182,241   1,978,628
 
Intertrust NV
  6,117   108,859
 
Kendrion NV
  4,270   93,448
 
Koninklijke Ahold Delhaize NV
  169,901   4,169,610
#
Koninklijke BAM Groep NV
  84,466   232,570
 
Koninklijke DSM NV
  16,449   2,001,934
 
Koninklijke KPN NV
  537,132   1,504,956
 
Koninklijke Philips NV
  37,414   1,713,465
#
Koninklijke Philips NV
  15,500   709,590
 
Koninklijke Vopak NV
  4,920   263,447
 
Nederland Apparatenfabriek
  1,294   70,076
 
NN Group NV
  32,172   1,116,642
#*
OCI NV
  22,234   383,010
 
Ordina NV
  25,878   56,858
 
Randstad NV
  32,807   1,884,302
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
NETHERLANDS — (Continued)
 
SBM Offshore NV
  52,687   $906,404
 
Signify NV
  31,291   1,042,829
 
Sligro Food Group NV
  7,241   206,981
 
TKH Group NV
  11,860   626,982
 
TomTom NV
  20,625   223,865
 
Unilever NV
  39,041   2,275,309
 
Unilever NV
  14,403   840,446
 
Van Lanschot Kempen NV
  3,124   66,340
 
Wolters Kluwer NV
  21,152   1,589,393
TOTAL NETHERLANDS
      41,947,152
NEW ZEALAND — (0.5%)
*
a2 Milk Co., Ltd.
  56,401   540,385
 
Abano Healthcare Group, Ltd.
  2,986   10,076
 
Air New Zealand, Ltd.
  201,351   365,716
 
Arvida Group, Ltd.
  18,686   22,169
 
Auckland International Airport, Ltd.
  38,639   215,069
 
CBL Corp., Ltd.
  8,101   3,113
 
Chorus, Ltd.
  129,413   544,176
#*
Comvita, Ltd.
  2,440   4,350
 
Contact Energy, Ltd.
  48,151   230,477
 
EBOS Group, Ltd.
  15,003   230,287
*
Eroad, Ltd.
  3,923   8,014
 
Fisher & Paykel Healthcare Corp., Ltd.
  30,399   454,731
 
Fletcher Building, Ltd.
  72,442   258,562
#*
Fonterra Co-operative Group, Ltd.
  11,016   28,773
 
Freightways, Ltd.
  22,414   124,315
 
Genesis Energy, Ltd.
  65,241   132,302
#
Gentrack Group, Ltd.
  5,468   7,038
 
Hallenstein Glasson Holdings, Ltd.
  9,781   37,875
 
Heartland Group Holdings, Ltd.
  98,101   118,088
 
Infratil, Ltd.
  99,871   348,706
 
Investore Property, Ltd.
  27,256   32,873
 
Kathmandu Holdings, Ltd.
  46,683   89,709
 
Mainfreight, Ltd.
  9,951   265,649
 
Mercury NZ, Ltd.
  24,238   81,655
 
Meridian Energy, Ltd.
  28,632   98,392
 
Metlifecare, Ltd.
  28,991   128,513
*
Metro Performance Glass, Ltd.
  28,095   4,623
 
NEW Zealand King Salmon Investments, Ltd.
  12,378   17,889
 
New Zealand Refining Co., Ltd. (The)
  33,462   35,152
*
NZME, Ltd.
  18,597   4,656
#
NZX, Ltd.
  42,191   37,797
#
Oceania Healthcare, Ltd.
  26,813   21,129
 
PGG Wrightson, Ltd.
  2,769   4,364
#
Port of Tauranga, Ltd.
  23,836   116,158
*
Restaurant Brands New Zealand, Ltd.
  1,504   12,959
 
Ryman Healthcare, Ltd.
  11,395   120,807
 
Sanford, Ltd.
  11,436   57,929
#
Scales Corp., Ltd.
  16,423   50,305
#
Skellerup Holdings, Ltd.
  28,994   46,665
 
SKY Network Television, Ltd.
  82,458   36,737
 
Spark New Zealand, Ltd.
  143,310   429,231
#
Steel & Tube Holdings, Ltd.
  26,145   13,817
 
Summerset Group Holdings, Ltd.
  58,228   333,933
*
Synlait Milk, Ltd.
  9,559   53,967
 
Tourism Holdings, Ltd.
  28,830   55,388
*
TOWER, Ltd.
  17,032   7,680
 
Trustpower, Ltd.
  7,314   35,407
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
NEW ZEALAND — (Continued)
 
Vector, Ltd.
  17,959   $42,165
#
Vista Group International, Ltd.
  12,295   28,281
 
Warehouse Group, Ltd. (The)
  25,303   43,838
 
Z Energy, Ltd.
  77,831   222,891
TOTAL NEW ZEALAND
      6,214,781
NORWAY — (1.0%)
 
ABG Sundal Collier Holding ASA
  85,449   36,876
*
Adevinta ASA, Class B
  4,991   60,895
 
AF Gruppen ASA
  3,661   68,455
*
Akastor ASA
  34,023   33,755
 
Aker BP ASA
  11,645   328,009
*
Aker Solutions ASA
  32,032   64,685
 
American Shipping Co. ASA
  14,670   51,159
#*
Archer, Ltd.
  12,255   3,811
 
Atea ASA
  17,327   224,888
 
Austevoll Seafood ASA
  24,096   234,930
*
Avance Gas Holding, Ltd.
  10,487   59,862
*
Axactor SE
  15,198   28,336
#
B2Holding ASA
  18,973   15,836
 
Bakkafrost P/F
  6,650   473,144
 
Bonheur ASA
  6,002   138,214
 
Borregaard ASA
  29,576   282,813
 
BW LPG, Ltd.
  22,221   178,876
*
BW Offshore, Ltd.
  27,016   147,331
 
Data Respons ASA
  7,692   40,235
 
DNB ASA
  47,752   834,828
 
DNO ASA
  210,457   208,873
 
Entra ASA
  8,739   149,139
 
Equinor ASA
  97,963   1,767,994
 
Equinor ASA, Sponsored ADR
  3,101   56,376
 
Europris ASA
  18,368   66,791
#
FLEX LNG, Ltd.
  3,497   28,566
 
Frontline, Ltd.
  17,943   162,223
 
Gjensidige Forsikring ASA
  7,694   167,685
 
Grieg Seafood ASA
  14,604   223,783
 
Hoegh LNG Holdings, Ltd.
  11,854   35,412
*
Kongsberg Automotive ASA
  69,568   39,090
 
Kvaerner ASA
  31,962   35,165
 
Leroy Seafood Group ASA
  13,669   88,687
 
Mowi ASA
  20,357   485,553
#*
NEL ASA
  38,810   38,416
*
Nordic Semiconductor ASA
  4,141   26,385
 
Norsk Hydro ASA
  169,258   528,990
 
Norway Royal Salmon ASA
  1,193   30,403
#*
Norwegian Air Shuttle ASA
  8,639   33,093
*
Norwegian Finans Holding ASA
  27,148   277,404
#
Norwegian Property ASA
  1,195   1,791
#
Ocean Yield ASA
  15,119   75,975
*
Odfjell Drilling, Ltd.
  26,164   69,008
*
Odfjell SE, Class A
  3,280   9,839
 
Olav Thon Eiendomsselskap ASA
  3,755   69,616
 
Orkla ASA
  14,424   139,246
*
Otello Corp. ASA
  37,717   67,975
#*
PGS ASA
  89,474   171,225
*
Protector Forsikring ASA
  7,037   31,658
#*
REC Silicon ASA
  28,794   16,138
 
Salmar ASA
  4,507   220,443
 
Sbanken ASA
  10,925   83,021
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
NORWAY — (Continued)
#
Scatec Solar ASA
  21,225   $361,640
 
Schibsted ASA, Class A
  2,182   65,706
 
Schibsted ASA, Class B
  2,783   78,610
 
Selvaag Bolig ASA
  9,716   55,528
#
Solon Eiendom ASA
  3,787   15,267
 
SpareBank 1 SR-Bank ASA
  23,932   254,605
 
Stolt-Nielsen, Ltd.
  7,288   94,022
 
Storebrand ASA
  87,925   675,507
 
Subsea 7 SA
  30,323   324,183
 
Telenor ASA
  23,788   429,874
 
TGS NOPEC Geophysical Co. ASA
  19,572   497,481
 
Tomra Systems ASA
  9,964   293,289
 
Treasure ASA
  11,954   18,194
 
Veidekke ASA
  20,274   255,329
#*
XXL ASA
  7,060   8,999
 
Yara International ASA
  4,353   158,081
TOTAL NORWAY
      12,299,216
PORTUGAL — (0.2%)
 
Altri SGPS SA
  17,850   110,174
 
Banco Comercial Portugues SA, Class R
  1,456,963   309,051
 
CTT-Correios de Portugal SA
  26,952   87,479
 
EDP - Energias de Portugal SA
  67,830   340,163
 
EDP Renovaveis SA
  31,735   421,684
 
Galp Energia SGPS SA
  16,919   255,655
 
Jeronimo Martins SGPS SA
  27,162   467,401
#
Mota-Engil SGPS SA
  24,656   46,178
#
Navigator Co. SA (The)
  48,904   175,493
 
NOS SGPS SA
  86,892   451,001
 
REN - Redes Energeticas Nacionais SGPS SA
  25,119   76,114
 
Semapa-Sociedade de Investimento e Gestao
  7,457   103,886
 
Sonae Capital SGPS SA
  22,088   18,834
 
Sonae SGPS SA
  220,723   205,326
TOTAL PORTUGAL
      3,068,439
SINGAPORE — (1.0%)
 
Accordia Golf Trust
  144,700   69,814
 
AEM Holdings, Ltd.
  25,700   34,966
 
Amara Holdings, Ltd.
  40,200   12,506
 
Ascendas India Trust
  123,700   142,916
 
Banyan Tree Holdings, Ltd.
  72,700   21,533
#
Best World International, Ltd.
  53,300   19,744
 
Boustead Projects, Ltd.
  2,700   1,875
 
Boustead Singapore, Ltd.
  79,500   44,228
 
BreadTalk Group, Ltd.
  24,000   10,075
 
Bukit Sembawang Estates, Ltd.
  34,300   113,405
 
CapitaLand, Ltd.
  143,400   377,884
 
Centurion Corp., Ltd.
  37,000   12,331
 
China Aviation Oil Singapore Corp., Ltd.
  51,700   43,272
 
China Sunsine Chemical Holdings, Ltd.
  214,800   75,895
 
Chip Eng Seng Corp., Ltd.
  104,700   44,680
 
Chuan Hup Holdings, Ltd.
  81,300   13,318
 
City Developments, Ltd.
  42,000   323,708
 
ComfortDelGro Corp., Ltd.
  206,400   326,491
 
Dairy Farm International Holdings, Ltd.
  20,000   102,746
 
DBS Group Holdings, Ltd.
  51,177   942,734
 
Del Monte Pacific, Ltd.
  53,748   5,795
 
Delfi, Ltd.
  26,800   18,874
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SINGAPORE — (Continued)
 
Duty Free International, Ltd.
  58,700   $6,542
 
Elec & Eltek International Co., Ltd.
  6,400   10,615
*
Ezion Holdings, Ltd.
  982,352   5,831
#*
Ezra Holdings, Ltd.
  190,010   1,443
 
Far East Orchard, Ltd.
  39,600   32,983
 
First Resources, Ltd.
  102,800   127,670
 
Food Empire Holdings, Ltd.
  42,400   19,982
*
Fragrance Group, Ltd.
  64,000   6,553
 
Fraser and Neave, Ltd.
  32,500   40,639
 
Frasers Property, Ltd.
  62,400   77,752
 
Frencken Group, Ltd.
  61,500   37,694
 
Fu Yu Corp., Ltd.
  102,100   18,956
*
Gallant Venture, Ltd.
  52,000   4,449
 
Geo Energy Resources, Ltd.
  113,700   11,768
 
GL, Ltd.
  85,500   49,440
 
Golden Agri-Resources, Ltd.
  1,138,100   174,035
 
Golden Energy & Resources, Ltd.
  34,500   4,285
 
Great Eastern Holdings, Ltd.
  3,500   55,463
 
GuocoLand, Ltd.
  70,700   94,687
*
Halcyon Agri Corp., Ltd.
  43,213   14,391
 
Hanwell Holdings, Ltd.
  88,400   13,268
 
Haw Par Corp., Ltd.
  20,800   185,933
 
Hi-P International, Ltd.
  51,800   48,300
 
Ho Bee Land, Ltd.
  39,400   66,039
 
Hong Fok Corp., Ltd.
  66,700   37,977
*
Hong Leong Asia, Ltd.
  59,600   25,637
 
Hong Leong Finance, Ltd.
  55,000   104,527
 
Hongkong Land Holdings, Ltd.
  71,200   377,926
 
Hotel Grand Central, Ltd.
  28,891   26,421
 
Hour Glass, Ltd. (The)
  3,100   1,745
 
Hutchison Port Holdings Trust
  914,900   146,034
*
Hyflux, Ltd.
  78,700   8
 
iFAST Corp., Ltd.
  17,500   13,029
 
Indofood Agri Resources, Ltd.
  119,900   28,066
 
Japfa, Ltd.
  182,930   73,352
 
Jardine Cycle & Carriage, Ltd.
  6,066   128,977
 
Keppel Corp., Ltd.
  92,900   451,524
 
Keppel Infrastructure Trust
  452,371   173,652
 
KSH Holdings, Ltd.
  38,300   10,857
 
Lian Beng Group, Ltd.
  68,800   25,161
 
Lum Chang Holdings, Ltd.
  70,700   18,347
 
Metro Holdings, Ltd.
  77,400   50,392
#*
Midas Holdings, Ltd.
  218,800   5,772
*
mm2 Asia, Ltd.
  101,700   15,934
 
Oversea-Chinese Banking Corp., Ltd.
  137,201   1,079,649
 
Oxley Holdings, Ltd.
  185,017   47,199
 
Pan-United Corp., Ltd.
  47,875   12,704
 
Penguin International, Ltd.
  28,666   13,365
 
Q&M Dental Group Singapore, Ltd.
  44,700   14,904
 
QAF, Ltd.
  44,382   24,953
*
Raffles Education Corp., Ltd.
  133,900   7,846
 
Riverstone Holdings, Ltd.
  21,800   16,720
 
Roxy-Pacific Holdings, Ltd.
  25,150   6,532
 
SATS, Ltd.
  66,500   221,346
 
SBS Transit, Ltd.
  6,200   16,434
 
Sembcorp Industries, Ltd.
  308,600   475,765
 
Sheng Siong Group, Ltd.
  98,700   88,862
 
SIIC Environment Holdings, Ltd.
  190,400   32,765
 
Sinarmas Land, Ltd.
  175,900   29,981
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SINGAPORE — (Continued)
 
Sing Holdings, Ltd.
  67,700   $19,324
 
Singapore Airlines, Ltd.
  120,000   748,083
 
Singapore Exchange, Ltd.
  55,400   351,478
 
Singapore Post, Ltd.
  342,600   224,088
#
Singapore Press Holdings, Ltd.
  272,600   400,552
 
Singapore Telecommunications, Ltd.
  217,800   524,083
 
Singapore Telecommunications, Ltd.
  32,500   78,183
 
Stamford Land Corp., Ltd.
  122,800   44,966
#
StarHub, Ltd.
  98,600   103,976
 
Straits Trading Co., Ltd.
  19,800   29,570
 
Sunningdale Tech, Ltd.
  49,000   44,718
*
Swiber Holdings, Ltd.
  23,999   359
 
Tuan Sing Holdings, Ltd.
  105,694   23,897
 
UMS Holdings, Ltd.
  71,875   48,931
 
United Overseas Bank, Ltd.
  50,870   948,834
 
UOB-Kay Hian Holdings, Ltd.
  64,419   57,066
 
UOL Group, Ltd.
  54,351   315,729
 
Valuetronics Holdings, Ltd.
  117,650   62,411
 
Venture Corp., Ltd.
  46,200   545,551
 
Wee Hur Holdings, Ltd.
  81,000   12,715
 
Wing Tai Holdings, Ltd.
  114,900   168,096
 
Yangzijiang Shipbuilding Holdings Ltd.
  143,600   98,571
*
Yongnam Holdings, Ltd.
  92,650   10,076
TOTAL SINGAPORE
      12,533,128
SPAIN — (2.3%)
 
Acciona SA
  6,672   757,314
 
Acerinox SA
  44,968   437,794
 
ACS Actividades de Construccion y Servicios SA
  22,889   760,980
 
Aena SME SA
  4,633   857,476
 
Alantra Partners SA
  1,555   26,442
 
Amadeus IT Group SA
  17,114   1,341,841
*
Amper SA
  166,633   47,436
 
Applus Services SA
  42,510   493,267
 
Atresmedia Corp. de Medios de Comunicacion SA
  12,702   43,101
 
Azkoyen SA
  1,900   13,538
 
Banco Bilbao Vizcaya Argentaria SA
  138,400   716,440
 
Banco de Sabadell SA
  656,815   591,821
 
Banco Santander SA
  673,968   2,656,034
 
Bankia SA
  155,268   282,173
 
Bankinter SA
  113,933   738,810
 
Bolsas y Mercados Espanoles SHMSF SA
  19,372   751,458
 
CaixaBank SA
  237,758   694,913
 
Cellnex Telecom SA
  38,065   1,893,169
 
CIE Automotive SA
  8,712   191,176
 
Construcciones y Auxiliar de Ferrocarriles SA
  1,770   78,667
 
Ebro Foods SA
  8,039   166,192
*
eDreams ODIGEO SA
  7,637   37,396
 
Elecnor SA
  7,592   85,523
 
Enagas SA
  37,728   1,016,536
#
Ence Energia y Celulosa SA
  46,545   188,291
 
Endesa SA
  20,349   558,724
 
Ercros SA
  32,968   94,639
 
Euskaltel SA
  29,850   281,283
 
Faes Farma SA
  92,589   504,575
 
Ferrovial SA
  4,537   144,122
*
Fluidra SA
  5,799   71,276
 
Fomento de Construcciones y Contratas SA
  5,203   64,762
*
Global Dominion Access SA
  32,538   119,109
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SPAIN — (Continued)
 
Grifols SA
  3,974   $133,468
 
Grupo Catalana Occidente SA
  2,287   75,107
*
Grupo Empresarial San Jose SA
  5,655   40,417
*
Grupo Ezentis SA
  9,294   4,419
 
Iberdrola S.A.
  402,706   4,406,145
 
Iberpapel Gestion SA
  773   21,378
*
Indra Sistemas SA
  31,444   361,100
 
Industria de Diseno Textil SA
  31,700   1,065,978
 
Laboratorios Farmaceuticos Rovi SA
  13   358
 
Liberbank SA
  583,259   192,755
 
Mapfre SA
  213,266   545,781
*
Masmovil Ibercom SA
  8,860   185,341
 
Mediaset Espana Comunicacion SA
  58,553   320,584
 
Melia Hotels International SA
  28,859   231,764
 
Naturgy Energy Group SA
  28,690   756,692
#*
Obrascon Huarte Lain SA
  27,745   32,450
*
Promotora de Informaciones SA, Class A
  63,603   96,208
 
Prosegur Cia de Seguridad SA
  35,857   141,401
*
Quabit Inmobiliaria SA
  21,153   24,831
*
Realia Business SA
  45,114   45,042
 
Red Electrica Corp. SA
  35,355   707,321
 
Repsol SA
  38,111   524,520
 
Sacyr S.A.
  105,144   301,404
 
Sacyr SA
  2,285   6,563
*
Solaria Energia y Medio Ambiente SA
  7,125   66,719
*
Talgo SA
  3,146   20,799
#
Telefonica SA, Sponsored ADR
  2,163   14,557
 
Telefonica SA
  154,966   1,048,144
 
Tubacex SA
  25,843   73,097
 
Unicaja Banco SA
  77,009   77,015
 
Vidrala SA
  5,114   548,625
 
Viscofan SA
  4,444   236,573
 
Vocento SA
  7,738   9,780
 
Zardoya Otis SA
  25,889   195,062
TOTAL SPAIN
      29,217,676
SWEDEN — (2.9%)
 
AAK AB
  21,762   408,928
 
AcadeMedia AB
  9,268   55,650
*
Adapteo Oyj
  9,188   107,386
 
AddLife AB, Class B
  2,786   84,595
 
AddNode Group AB
  5,324   107,579
 
AddTech AB, Class B
  9,863   301,859
 
AF POYRY AB
  15,609   396,457
 
Alfa Laval AB
  13,507   337,177
 
Alimak Group AB
  8,324   114,240
 
Arjo AB, Class B
  44,131   211,398
#
Atlas Copco AB, Class A
  25,253   893,805
 
Atlas Copco AB, Class B
  14,445   449,000
 
Atrium Ljungberg AB, Class B
  5,609   135,610
 
Attendo AB
  14,824   81,559
#
Avanza Bank Holding AB
  20,530   201,144
 
Axfood AB
  7,378   152,983
 
BE Group AB
  2,614   9,891
#
Beijer Alma AB
  8,702   131,748
 
Beijer Electronics Group AB
  2,445   14,310
 
Beijer Ref AB
  8,919   268,284
 
Bergman & Beving AB
  6,396   57,514
 
Besqab AB
  1,035   15,391
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SWEDEN — (Continued)
 
Bilia AB, Class A
  33,505   $367,790
 
BillerudKorsnas AB
  50,615   650,396
 
BioGaia AB, Class B
  3,627   156,994
 
Biotage AB
  9,092   113,607
 
Bjorn Borg AB
  2,898   7,474
#
Boliden AB
  42,600   1,011,333
 
Bonava AB, Class B
  21,002   187,868
 
Bravida Holding AB
  34,487   314,366
 
Bufab AB
  8,811   120,491
 
Bulten AB
  2,966   22,060
 
Bure Equity AB
  17,729   394,760
#*
Byggmax Group AB
  18,910   56,403
 
Castellum AB
  7,157   175,821
 
Catena AB
  3,861   167,163
*
Cavotec SA
  8,277   17,347
 
Clas Ohlson AB, Class B
  3,841   40,714
 
Cloetta AB, Class B
  60,701   213,958
#*
Collector AB
  2,194   6,896
 
Concentric AB
  9,782   156,291
 
Coor Service Management Holding AB
  4,123   37,703
 
Dios Fastigheter AB
  16,550   152,618
#
Dometic Group AB
  61,514   559,437
*
Doro AB
  5,800   28,567
 
Duni AB
  5,891   80,301
#
Dustin Group AB
  12,279   94,932
 
Eastnine AB
  4,136   60,355
 
Elanders AB, Class B
  1,369   12,587
 
Electrolux AB, Class B
  30,114   714,395
#
Elekta AB, Class B
  21,330   244,310
*
Eltel AB
  14,557   28,040
*
Enea AB
  3,517   60,061
 
Epiroc AB, Class A
  20,192   233,591
 
Epiroc AB, Class B
  11,238   127,008
 
Essity AB, Class A
  1,061   33,736
 
Essity AB, Class B
  33,701   1,069,869
 
Fabege AB
  6,681   114,523
#
Fagerhult AB
  8,859   54,607
*
Fastighets AB Balder, Class B
  7,208   341,953
#
FastPartner AB
  5,997   63,257
 
Fenix Outdoor International AG
  573   61,196
#*
Fingerprint Cards AB, Class B
  19,879   35,187
 
Getinge AB, Class B
  27,631   470,563
 
Granges AB
  25,022   231,149
 
Gunnebo AB
  15,756   40,977
 
Haldex AB
  9,561   48,529
#
Hennes & Mauritz AB, Class B
  29,903   656,065
 
Hexagon AB, Class B
  6,501   353,419
 
Hexpol AB
  30,226   272,485
 
HIQ International AB
  588   3,051
#
HMS Networks AB
  752   12,991
#*
Hoist Finance AB
  12,304   61,426
 
Holmen AB, Class B
  16,047   475,117
 
Hufvudstaden AB, Class A
  8,902   176,361
 
Humana AB
  8,389   53,840
 
Husqvarna AB, Class A
  3,743   28,162
 
Husqvarna AB, Class B
  46,362   349,420
#
ICA Gruppen AB
  3,974   174,735
 
Indutrade AB
  10,578   380,994
*
International Petroleum Corp.
  14,208   50,566
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SWEDEN — (Continued)
#
Intrum AB
  14,527   $402,482
 
Inwido AB
  16,779   126,289
#*
ITAB Shop Concept AB, Class B
  2,085   4,132
 
JM AB
  17,307   528,810
 
Klovern AB, Class B
  92,370   231,666
 
KNOW IT AB
  5,488   112,014
 
Kungsleden AB
  16,633   177,279
 
Lagercrantz Group AB, Class B
  15,291   248,405
 
Lifco AB, Class B
  2,502   147,556
 
Lindab International AB
  19,129   216,466
 
Loomis AB, Class B
  24,059   871,211
 
Lundin Petroleum AB
  7,146   217,343
*
Medivir AB, Class B
  2,235   3,387
#*
Mekonomen AB
  5,182   43,265
 
Millicom International Cellular SA
  8,549   403,716
*
Modern Times Group MTG AB, Class B
  3,408   33,968
#
Momentum Group AB, Class B
  4,954   59,827
#
Mycronic AB
  9,725   189,281
 
Nederman Holding AB
  5,462   81,548
#*
Net Insight AB, Class B
  19,401   4,458
 
New Wave Group AB, Class B
  14,821   88,925
 
Nibe Industrier AB, Class B
  12,755   221,061
 
Nobia AB
  31,165   229,786
 
Nobina AB
  39,899   302,684
 
Nolato AB, Class B
  3,468   200,924
 
Nordic Entertainment Group AB, Class B
  341   10,347
 
NP3 Fastigheter AB
  6,024   78,115
*
Nyfosa AB
  31,889   312,153
 
OEM International AB, Class B
  1,603   40,572
 
Pandox AB
  11,193   249,577
 
Peab AB, Class B
  57,999   582,255
 
Platzer Fastigheter Holding AB, Class B
  8,730   103,734
 
Pricer AB, Class B
  31,342   69,326
 
Proact IT Group AB
  3,942   63,950
#*
Qliro Group AB
  33,776   24,746
 
Ratos AB, Class B
  62,494   219,542
*
RaySearch Laboratories AB
  3,756   36,641
#
Recipharm AB, Class B
  11,888   174,516
 
Resurs Holding AB
  20,316   112,440
 
Rottneros AB
  22,228   25,619
 
Sagax AB, Class B
  10,830   166,586
 
Samhallsbyggnadsbolaget i Norden AB
  127,297   313,840
 
Sandvik AB
  92,603   1,690,161
#*
SAS AB
  88,072   126,408
 
Scandi Standard AB
  16,388   125,930
 
Scandic Hotels Group AB
  22,472   238,352
 
Sectra AB, Class B
  4,544   186,989
 
Securitas AB, Class B
  18,289   287,857
 
Semcon AB
  4,640   31,885
 
Sintercast AB
  448   9,354
 
Skandinaviska Enskilda Banken AB, Class A
  78,203   772,796
#
Skandinaviska Enskilda Banken AB, Class C
  1,001   10,575
 
Skanska AB, Class B
  20,472   473,860
 
SKF AB, Class A
  1,026   18,773
 
SKF AB, Class B
  31,644   579,231
#
SkiStar AB
  7,834   86,204
 
SSAB AB, Class A
  2,180   6,675
#
SSAB AB, Class A
  32,367   99,447
 
SSAB AB, Class B, Share, Class B
  12,326   35,298
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SWEDEN — (Continued)
 
SSAB AB, Class B
  59,466   $171,179
 
Svenska Cellulosa AB SCA, Class A
  2,239   22,936
 
Svenska Cellulosa AB SCA, Class B
  45,168   451,914
 
Svenska Handelsbanken AB, Class A
  63,316   620,320
 
Svenska Handelsbanken AB, Class B
  1,480   15,438
 
Sweco AB, Class B
  13,082   505,170
 
Swedbank AB, Class A
  46,150   708,575
#*
Swedish Orphan Biovitrum AB
  6,693   119,126
 
Systemair AB
  3,753   68,392
 
Tele2 AB, Class B
  22,137   333,988
 
Telia Co. AB
  183,700   785,583
 
Thule Group AB
  17,181   405,494
 
Trelleborg AB, Class B
  24,259   398,300
 
Troax Group AB
  5,952   80,689
 
Volvo AB, Class A
  11,838   202,498
 
Volvo AB, Class B
  116,784   1,996,274
 
Wallenstam AB, Class B
  9,785   128,132
 
Wihlborgs Fastigheter AB
  21,978   420,967
TOTAL SWEDEN
      36,711,535
SWITZERLAND — (4.9%)
 
ABB, Ltd.
  60,836   1,416,380
 
Adecco Group AG
  32,662   1,913,606
*
Alcon, Inc.
  18,627   1,097,875
*
Alcon, Inc.
  16,120   952,334
 
Allreal Holding AG
  4,746   984,472
 
ALSO Holding AG
  1,645   268,571
#*
ams AG
  2,344   95,254
 
APG SGA SA
  313   90,761
 
Arbonia AG
  12,911   155,023
*
Aryzta AG
  163,610   164,007
 
Ascom Holding AG
  7,876   77,953
#
Autoneum Holding AG
  854   98,323
 
Baloise Holding AG
  8,754   1,581,661
 
Banque Cantonale de Geneve
  316   66,856
 
Banque Cantonale Vaudoise
  529   443,014
 
Belimo Holding AG
  87   609,995
 
Bell Food Group AG
  632   164,752
 
Bellevue Group AG
  2,601   75,733
 
Berner Kantonalbank AG
  1,225   291,225
 
BKW AG
  2,088   194,486
#
Bobst Group SA
  2,128   111,573
#
Bossard Holding AG, Class A
  2,664   386,969
 
Bucher Industries AG
  2,165   724,024
 
Burckhardt Compression Holding AG
  280   76,584
 
Burkhalter Holding AG
  843   67,166
 
Calida Holding AG
  1,402   52,669
 
Carlo Gavazzi Holding AG
  117   29,876
 
Cembra Money Bank AG
  6,562   767,309
 
Cicor Technologies, Ltd.
  650   39,323
 
Cie Financiere Richemont SA
  16,306   1,184,186
 
Cie Financiere Tradition SA
  544   62,108
 
Clariant AG
  15,084   339,537
 
Coltene Holding AG
  940   82,352
 
Conzzeta AG
  281   319,114
 
Credit Suisse Group AG
  71,491   904,000
 
Credit Suisse Group AG, Sponsored ADR
  31,476   396,913
 
Daetwyler Holding AG
  1,231   221,655
 
DKSH Holding AG
  6,405   330,400
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SWITZERLAND — (Continued)
#
dormakaba Holding AG
  602   $378,528
 
EFG International AG
  26,058   161,265
 
Emmi AG
  490   475,148
 
EMS-Chemie Holding AG
  737   482,250
 
Energiedienst Holding AG
  346   12,859
#*
Evolva Holding SA
  22,215   6,320
#
Feintool International Holding AG
  721   38,495
 
Flughafen Zurich AG
  4,044   702,576
 
Forbo Holding AG
  368   631,589
*
GAM Holding AG
  40,315   124,437
 
Geberit AG
  2,995   1,580,556
 
Georg Fischer AG
  1,075   1,054,227
 
Givaudan SA
  685   2,260,138
 
Gurit Holding AG
  111   167,983
 
Helvetia Holding AG
  9,744   1,400,758
 
Hiag Immobilien Holding AG
  870   97,937
#*
HOCHDORF Holding AG
  269   23,193
 
Huber & Suhner AG
  3,713   276,646
 
Hypothekarbank Lenzburg AG
  6   28,905
 
Implenia AG
  3,739   152,420
 
Inficon Holding AG
  453   349,119
 
Interroll Holding AG
  152   297,095
 
Intershop Holding AG
  192   123,616
 
Investis Holding SA
  172   15,432
 
Julius Baer Group, Ltd.
  35,985   1,798,085
 
Jungfraubahn Holding AG
  613   104,688
 
Kardex AG
  3,375   575,391
#
Komax Holding AG
  807   163,160
#
Kudelski SA
  5,386   29,207
 
Kuehne + Nagel International AG
  4,290   693,358
 
LafargeHolcim, Ltd.
  17,430   885,806
*
Lastminute.com NV
  1,394   63,999
 
LEM Holding SA
  68   102,732
 
Liechtensteinische Landesbank AG
  3,082   206,998
 
Logitech International SA
  5,413   242,488
#
Logitech International SA
  9,093   405,821
 
Luzerner Kantonalbank AG
  728   309,307
*
MCH Group AG
  114   2,913
*
Meier Tobler Group AG
  721   12,141
 
Metall Zug AG
  47   107,267
 
Mikron Holding AG
  1,918   12,440
 
Mobilezone Holding AG
  7,762   88,050
 
Mobimo Holding AG
  1,797   579,892
 
OC Oerlikon Corp. AG
  44,474   473,675
#
Orell Fuessli Holding AG
  12   1,420
 
Orior AG
  1,160   106,580
 
Partners Group Holding AG
  1,398   1,279,804
 
Phoenix Mecano AG
  139   64,581
#
Plazza AG, Class A
  201   61,379
 
PSP Swiss Property AG
  7,711   1,165,957
 
Rieter Holding AG
  320   42,124
 
Romande Energie Holding SA
  24   31,667
#
Schaffner Holding AG
  178   35,608
 
Schindler Holding AG
  1,121   278,706
*
Schmolz + Bickenbach AG
  119,472   25,451
 
Schweiter Technologies AG
  283   350,365
 
SFS Group AG
  4,476   417,112
 
SGS SA
  427   1,235,171
#
Sika AG
  10,331   1,857,776
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SWITZERLAND — (Continued)
 
Sonova Holding AG
  2,499   $626,678
 
St Galler Kantonalbank AG
  549   261,413
 
Straumann Holding AG
  771   734,865
 
Sulzer AG
  4,076   449,535
 
Sunrise Communications Group AG
  12,635   1,043,444
 
Swatch Group AG (The)
  2,318   581,462
 
Swatch Group AG (The)
  4,017   195,275
 
Swiss Life Holding AG
  3,291   1,654,301
 
Swiss Prime Site AG
  12,236   1,493,834
 
Swiss Re AG
  10,554   1,191,746
 
Swisscom AG
  4,413   2,421,251
 
Swissquote Group Holding SA
  2,546   153,796
 
Temenos AG
  8,199   1,318,960
 
Thurgauer Kantonalbank
  103   11,701
 
TX Group AG
  707   66,727
 
u-blox Holding AG
  1,941   174,158
 
UBS Group AG
  1,735   21,548
*
UBS Group AG
  139,389   1,724,242
 
Valiant Holding AG
  3,154   324,285
 
Valora Holding AG
  987   262,621
 
VAT Group AG
  8,623   1,301,616
 
Vaudoise Assurances Holding SA
  240   143,397
 
Vetropack Holding AG
  64   192,193
 
Vifor Pharma AG
  2,975   548,223
*
Von Roll Holding AG
  5,887   5,133
 
Vontobel Holding AG
  7,247   504,872
 
VP Bank AG
  866   148,309
 
VZ Holding AG
  408   144,327
#
Walliser Kantonalbank
  10   1,158
 
Warteck Invest AG
  17   38,433
 
Ypsomed Holding AG
  385   55,890
 
Zehnder Group AG
  2,871   136,198
 
Zug Estates Holding AG, Class B
  33   81,843
 
Zuger Kantonalbank AG
  16   108,865
 
Zurich Insurance Group AG
  7,458   3,095,947
TOTAL SWITZERLAND
      62,708,896
UNITED KINGDOM — (14.2%)
 
3i Group P.L.C.
  94,988   1,381,768
 
4imprint Group P.L.C.
  3,249   141,987
 
A.G. Barr P.L.C.
  16,244   129,752
 
AA P.L.C.
  92,061   58,134
 
Admiral Group P.L.C.
  17,663   525,854
 
Aggreko P.L.C.
  82,578   838,248
 
Air Partner P.L.C.
  9,325   9,256
 
Anglo American P.L.C.
  138,117   3,604,038
 
Anglo Pacific Group P.L.C.
  37,140   85,036
 
Anglo-Eastern Plantations P.L.C.
  3,681   26,733
 
Antofagasta P.L.C.
  35,962   388,453
 
Arrow Global Group P.L.C.
  41,043   143,615
 
Ashmore Group P.L.C.
  56,347   403,005
 
Ashtead Group P.L.C.
  49,049   1,583,199
 
Associated British Foods P.L.C.
  3,780   130,840
 
Auto Trader Group P.L.C.
  164,268   1,212,098
 
AVEVA Group P.L.C.
  3,659   237,267
 
Aviva P.L.C.
  332,382   1,655,900
 
Avon Rubber P.L.C.
  5,568   182,923
 
B&M European Value Retail SA
  144,685   693,759
 
Balfour Beatty P.L.C.
  28,243   98,946
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
UNITED KINGDOM — (Continued)
 
Bank of Georgia Group P.L.C.
  7,070   $141,190
 
Barclays P.L.C., Sponsored ADR
  132,905   1,169,564
 
Barclays P.L.C.
  266,927   336,911
 
Barratt Developments P.L.C.
  155,043   1,641,522
 
Bellway P.L.C.
  40,333   2,122,156
 
Berkeley Group Holdings P.L.C.
  32,290   2,230,149
 
BHP Group P.L.C., ADR
  48,655   2,113,087
 
BHP Group P.L.C.
  12,358   268,992
 
Biffa P.L.C.
  11,067   41,111
 
Bloomsbury Publishing P.L.C.
  9,816   36,752
 
Bodycote P.L.C.
  53,188   600,241
*
Boohoo Group P.L.C.
  100,272   399,757
 
BP P.L.C., Sponsored ADR
  230,260   8,319,289
 
BP P.L.C.
  511,686   3,080,402
 
Braemar Shipping Services P.L.C.
  6,415   17,508
 
Brewin Dolphin Holdings P.L.C.
  48,153   228,910
 
Britvic P.L.C.
  49,636   605,629
 
BT Group P.L.C.
  1,055,752   2,240,452
 
Bunzl P.L.C.
  19,825   513,473
 
Burberry Group P.L.C.
  31,082   796,955
 
Burford Capital, Ltd.
  5,468   45,418
*
Cairn Energy P.L.C.
  186,441   416,457
*
Capita P.L.C.
  77,891   149,455
 
Capital & Counties Properties P.L.C.
  94,605   303,581
*
Carclo P.L.C.
  7,329   1,030
 
Card Factory P.L.C.
  111,232   129,800
 
CareTech Holdings P.L.C.
  11,897   71,768
 
Carnival P.L.C., ADR
  4,479   184,087
 
Centamin P.L.C.
  286,277   513,447
 
Centrica P.L.C.
  490,060   549,291
 
Chesnara P.L.C.
  19,037   81,819
 
Cineworld Group P.L.C.
  152,705   356,428
*
Circassia Pharmaceuticals P.L.C.
  29,532   10,756
 
City of London Investment Group P.L.C.
  7,175   42,514
 
Clarkson P.L.C.
  4,236   163,155
 
Clipper Logistics P.L.C.
  10,168   34,786
 
Close Brothers Group P.L.C.
  31,400   586,180
 
CLS Holdings P.L.C.
  26,474   94,649
 
CMC Markets P.L.C.
  13,684   28,290
 
Coca-Cola HBC AG
  13,883   509,953
 
Compass Group P.L.C.
  54,524   1,347,948
 
Computacenter P.L.C.
  24,302   575,027
 
Connect Group P.L.C.
  18,166   8,243
 
Consort Medical P.L.C.
  6,852   90,636
 
ConvaTec Group P.L.C.
  179,946   492,971
 
Costain Group P.L.C.
  29,107   74,985
 
Countryside Properties P.L.C.
  70,684   454,655
*
Countrywide P.L.C.
  835   4,182
 
Cranswick P.L.C.
  9,017   425,068
 
Crest Nicholson Holdings P.L.C.
  78,420   516,911
 
Croda International P.L.C.
  10,918   716,957
 
Daejan Holdings P.L.C.
  1,142   78,355
 
Daily Mail & General Trust P.L.C., Class A
  13,658   146,564
 
DCC P.L.C.
  4,000   322,968
 
De La Rue P.L.C.
  21,557   39,875
 
Devro P.L.C.
  60,589   136,982
 
DFS Furniture P.L.C.
  24,652   90,677
 
Dignity P.L.C.
  9,279   70,050
 
Diploma P.L.C.
  23,659   609,199
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
UNITED KINGDOM — (Continued)
 
Direct Line Insurance Group P.L.C.
  271,766   $1,210,407
 
DiscoverIE Group P.L.C.
  5,122   38,634
 
Dixons Carphone P.L.C.
  205,831   367,807
 
Domino's Pizza Group P.L.C.
  83,305   339,283
 
Drax Group P.L.C.
  71,384   255,732
 
DS Smith P.L.C.
  180,199   807,917
 
Dunelm Group P.L.C.
  21,181   324,534
 
easyJet P.L.C.
  37,457   687,580
 
Electrocomponents P.L.C.
  133,391   1,165,280
 
Elementis P.L.C.
  65,114   109,746
 
EMIS Group P.L.C.
  4,396   66,724
*
EnQuest P.L.C.
  385,681   121,499
 
Equiniti Group P.L.C.
  33,132   89,441
 
Euromoney Institutional Investor P.L.C.
  15,368   248,516
 
Evraz P.L.C.
  44,279   205,579
 
Experian P.L.C.
  66,671   2,320,682
 
FDM Group Holdings P.L.C.
  4,204   54,455
 
Ferguson P.L.C.
  13,617   1,222,833
 
Ferrexpo P.L.C.
  122,170   224,163
 
Fevertree Drinks P.L.C.
  5,193   94,278
 
Findel P.L.C.
  18,658   57,898
*
Firstgroup P.L.C.
  399,229   651,193
 
Forterra P.L.C.
  60,604   263,331
*
Foxtons Group P.L.C.
  38,161   41,912
*
Frasers Group P.L.C.
  44,943   279,460
 
Fresnillo P.L.C.
  11,425   99,799
 
G4S P.L.C.
  472,272   1,215,376
 
Galliford Try Holdings P.L.C.
  31,809   62,549
 
Games Workshop Group P.L.C.
  6,452   563,882
*
Gem Diamonds, Ltd.
  29,324   23,829
 
Genel Energy P.L.C.
  24,692   59,764
 
Glencore P.L.C.
  657,917   1,924,139
 
Go-Ahead Group P.L.C. (The)
  18,670   503,206
 
GoCo Group P.L.C.
  52,665   64,931
 
Grafton Group P.L.C.
  24,757   300,584
 
Grainger P.L.C.
  90,933   355,046
 
Greencore Group P.L.C.
  90,910   294,085
 
Greggs P.L.C.
  45,157   1,341,918
 
Gulf Keystone Petroleum, Ltd.
  61,826   151,326
 
Gym Group P.L.C. (The)
  12,823   50,090
 
H&T Group P.L.C.
  3,000   14,902
 
Halfords Group P.L.C.
  61,248   132,261
 
Halma P.L.C.
  61,089   1,695,614
 
Hargreaves Lansdown P.L.C.
  22,581   512,578
 
Hastings Group Holdings P.L.C.
  42,151   100,136
 
Hays P.L.C.
  433,514   886,560
 
Headlam Group P.L.C.
  277,158   82,897
 
Helical P.L.C.
  26,496   167,469
 
Henry Boot P.L.C.
  3,282   14,351
 
Highland Gold Mining, Ltd.
  36,420   100,761
 
Hill & Smith Holdings P.L.C.
  20,123   376,446
 
Hilton Food Group P.L.C.
  7,381   102,417
 
Hiscox, Ltd.
  16,764   290,028
 
Hochschild Mining P.L.C.
  81,816   181,785
 
Hollywood Bowl Group P.L.C.
  17,863   68,932
 
HomeServe P.L.C.
  81,529   1,377,709
*
Horizon Discovery Group P.L.C.
  7,750   16,200
 
Hostelworld Group P.L.C.
  2,529   5,050
 
Howden Joinery Group P.L.C.
  191,376   1,736,143
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
UNITED KINGDOM — (Continued)
 
HSBC Holdings P.L.C., Sponsored ADR
  152,743   $5,543,043
 
Hunting P.L.C.
  71,985   134,543
 
Huntsworth P.L.C.
  26,579   22,889
 
Hyve Group P.L.C.
  124,953   162,327
 
Ibstock P.L.C.
  71,243   273,336
 
IG Group Holdings P.L.C.
  73,746   645,723
 
IMI P.L.C.
  92,056   1,338,107
 
Inchcape P.L.C.
  133,755   1,159,288
*
Indivior P.L.C.
  294,858   147,397
 
Informa P.L.C.
  46,785   477,911
 
InterContinental Hotels Group P.L.C., ADR
  6,252   383,799
 
InterContinental Hotels Group P.L.C.
  4,909   302,373
 
Intermediate Capital Group P.L.C.
  26,340   604,099
 
International Consolidated Airlines Group SA
  96,938   726,439
 
International Personal Finance P.L.C.
  63,650   132,378
 
Intertek Group P.L.C.
  12,670   961,374
 
Investec P.L.C.
  104,829   578,436
*
IP Group P.L.C.
  80,263   72,960
 
ITV P.L.C.
  271,623   483,926
 
IWG P.L.C.
  224,713   1,308,117
 
J Sainsbury P.L.C.
  211,632   564,477
 
James Fisher & Sons P.L.C.
  11,386   296,118
 
JD Sports Fashion P.L.C.
  169,439   1,832,349
 
John Laing Group P.L.C.
  24,125   112,840
 
John Menzies P.L.C.
  25,276   143,833
 
John Wood Group P.L.C.
  152,980   757,234
 
Johnson Matthey P.L.C.
  10,046   344,434
 
Jupiter Fund Management P.L.C.
  88,403   448,524
*
Just Eat P.L.C.
  11,579   131,415
*
Just Group P.L.C.
  281,946   289,884
 
Kainos Group P.L.C.
  5,129   53,294
 
KAZ Minerals P.L.C.
  64,883   373,964
 
Keller Group P.L.C.
  17,172   188,931
 
Kier Group P.L.C.
  23,677   27,988
 
Kin & Carta P.L.C.
  6,584   9,662
 
Kingfisher P.L.C.
  250,266   671,903
*
Lamprell P.L.C.
  41,997   18,717
 
Lancashire Holdings, Ltd.
  35,949   354,986
 
Legal & General Group P.L.C.
  512,955   2,063,055
*
Liberty Global P.L.C., Class A
  3,806   78,098
*
Liberty Global P.L.C., Class C
  9,330   181,748
 
Liontrust Asset Management P.L.C.
  2,975   52,872
 
Lloyds Banking Group P.L.C.
  3,680,410   2,747,551
#
Lloyds Banking Group P.L.C., ADR
  153,413   454,102
 
London Stock Exchange Group P.L.C.
  18,855   1,948,519
 
Lookers P.L.C.
  75,313   55,107
 
Low & Bonar P.L.C.
  85,446   14,607
 
LSL Property Services P.L.C.
  8,985   36,327
*
M&G P.L.C.
  1,387   4,377
 
Man Group P.L.C.
  376,306   762,678
 
Marks & Spencer Group P.L.C.
  420,647   975,452
 
Marshalls P.L.C.
  69,132   720,352
 
McBride P.L.C.
  51,771   42,681
 
McCarthy & Stone P.L.C.
  70,108   136,529
 
Mears Group P.L.C.
  24,782   99,665
 
Meggitt P.L.C.
  92,288   821,002
 
Melrose Industries P.L.C.
  324,115   993,310
 
Micro Focus International P.L.C., Sponsored ADR
  27,103   363,180
 
Micro Focus International P.L.C.
  16,455   220,978
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
UNITED KINGDOM — (Continued)
 
Midwich Group P.L.C.
  5,324   $37,148
 
Mitie Group P.L.C.
  70,762   123,750
 
MJ Gleeson P.L.C.
  3,892   49,227
 
Mondi P.L.C.
  29,843   607,208
 
Moneysupermarket.com Group P.L.C.
  108,245   464,647
 
Morgan Advanced Materials P.L.C.
  106,612   438,586
 
Morgan Sindall Group P.L.C.
  10,265   247,872
 
Morses Club P.L.C.
  4,863   8,101
 
Mortgage Advice Bureau Holdings, Ltd.
  1,598   16,601
 
Motorpoint group P.L.C.
  7,562   31,456
 
MP Evans Group P.L.C.
  1,424   13,352
 
N Brown Group P.L.C.
  24,716   26,690
 
NAHL Group P.L.C.
  7,421   9,416
 
National Express Group P.L.C.
  140,758   830,059
 
National Grid P.L.C.
  6,526   86,710
#
National Grid P.L.C., Sponsored ADR
  11,128   737,553
 
Next P.L.C.
  9,979   906,886
 
Non-Standard Finance P.L.C.
  28,954   10,888
 
Norcros P.L.C.
  7,961   30,266
#
Northgate P.L.C.
  40,459   142,213
*
Ocado Group P.L.C.
  16,623   268,024
 
On the Beach Group P.L.C.
  23,702   122,059
 
OneSavings Bank P.L.C.
  60,451   339,917
 
Oxford Instruments P.L.C.
  16,863   342,940
 
Pagegroup P.L.C.
  121,868   734,144
 
Pan African Resources P.L.C.
  79,559   13,645
 
Paragon Banking Group P.L.C.
  66,887   448,235
 
PayPoint P.L.C.
  11,734   154,470
 
Pearson P.L.C.
  24,441   182,426
#
Pearson P.L.C., Sponsored ADR
  6,800   50,456
 
Pendragon P.L.C.
  410,508   66,829
 
Pennon Group P.L.C.
  72,742   1,061,760
 
Persimmon P.L.C.
  32,656   1,314,668
*
Petra Diamonds, Ltd.
  178,681   22,421
 
Petrofac, Ltd.
  37,629   173,092
*
Petropavlovsk P.L.C.
  595,412   142,689
 
Pets at Home Group P.L.C.
  139,344   518,104
 
Pharos Energy P.L.C.
  69,861   41,950
 
Phoenix Group Holdings P.L.C.
  110,361   1,101,687
 
Photo-Me International P.L.C.
  91,911   108,773
 
Polar Capital Holdings P.L.C.
  1,435   11,069
 
Polypipe Group P.L.C.
  50,707   361,919
 
Porvair P.L.C.
  3,597   37,279
*
Premier Foods P.L.C.
  201,780   96,305
 
Premier Miton Group P.L.C.
  1,993   4,387
*
Premier Oil P.L.C.
  266,330   351,582
 
Provident Financial P.L.C.
  34,288   210,060
#
Prudential P.L.C., ADR
  13,225   470,281
 
PZ Cussons P.L.C.
  40,997   104,483
 
Quilter P.L.C.
  279,465   625,796
*
Raven Property Group, Ltd.
  42,110   27,813
 
Reach P.L.C.
  80,674   141,230
 
Redrow P.L.C.
  60,082   629,637
 
RELX P.L.C., Sponsored ADR
  40,597   1,077,435
 
RELX P.L.C.
  22,194   587,496
 
Renewi P.L.C.
  74,274   34,904
 
Renishaw P.L.C.
  6,512   340,914
*
Renold P.L.C.
  9,728   2,216
 
Rentokil Initial P.L.C.
  294,780   1,815,421
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
UNITED KINGDOM — (Continued)
 
Rhi Magnesita NV
  3,146   $134,653
 
Rhi Magnesita NV
  3,276   137,888
 
Ricardo P.L.C.
  7,238   73,427
 
Rightmove P.L.C.
  147,870   1,281,521
 
Rio Tinto P.L.C.
  24,424   1,306,054
 
Rio Tinto P.L.C., Sponsored ADR
  63,797   3,408,674
 
Robert Walters P.L.C.
  10,939   87,014
*
Rockhopper Exploration P.L.C.
  43,188   9,933
 
Rolls-Royce Holdings P.L.C.
  124,927   1,100,399
 
Rotork P.L.C.
  125,868   504,342
 
Royal Bank of Scotland Group P.L.C., Sponsored ADR
  98,252   562,001
 
Royal Dutch Shell P.L.C., Class A
  73,004   1,917,120
#
Royal Dutch Shell P.L.C., Sponsored ADR, Class A
  46,737   2,437,335
#
Royal Dutch Shell P.L.C., Sponsored ADR, Class B
  70,640   3,763,699
 
Royal Dutch Shell P.L.C., Class B
  6,426   168,858
 
Royal Mail P.L.C.
  121,691   318,086
 
RPS Group P.L.C.
  41,122   94,388
 
RSA Insurance Group P.L.C.
  96,225   698,138
 
S&U P.L.C.
  377   10,852
 
Saga P.L.C.
  204,926   113,069
 
Sage Group P.L.C. (The)
  7,353   71,586
*
San Leon Energy P.L.C.
  19,595   6,761
 
Savills P.L.C.
  38,477   630,751
 
Schroders P.L.C.
  6,071   257,043
 
Schroders P.L.C.
  2,696   88,476
 
SDL P.L.C.
  2,946   23,980
 
Senior P.L.C.
  97,428   214,380
 
Severfield P.L.C.
  44,779   50,866
 
Severn Trent P.L.C.
  23,750   808,202
 
SIG P.L.C.
  91,068   111,028
 
Signature Aviation P.L.C.
  111,516   427,619
#
Smith & Nephew P.L.C., Sponsored ADR
  1,231   59,100
 
Smith & Nephew P.L.C.
  31,617   760,733
 
Softcat P.L.C.
  23,174   352,894
 
Spectris P.L.C.
  15,328   533,721
 
Speedy Hire P.L.C.
  79,422   83,445
 
Spirax-Sarco Engineering P.L.C.
  7,791   915,247
 
Spirent Communications P.L.C.
  104,099   304,094
 
SSE P.L.C.
  38,939   775,111
 
SSP Group P.L.C.
  88,000   746,872
 
St James's Place P.L.C.
  39,678   596,745
 
St. Modwen Properties P.L.C.
  51,974   337,665
 
Stagecoach Group P.L.C.
  178,513   321,357
 
Standard Chartered P.L.C.
  219,999   1,829,388
 
Standard Life Aberdeen P.L.C.
  182,004   723,178
 
SThree P.L.C.
  31,635   152,095
 
Stobart Group, Ltd.
  27,165   36,518
 
STV Group P.L.C.
  100   552
 
Superdry P.L.C.
  9,884   49,904
 
Synthomer P.L.C.
  30,517   135,915
#
TalkTalk Telecom Group P.L.C.
  84,632   132,234
 
Tate & Lyle P.L.C.
  67,050   700,907
 
Taylor Wimpey P.L.C.
  674,441   1,913,000
 
Ted Baker P.L.C.
  146,752   19,625
 
Telecom Plus P.L.C.
  10,516   209,380
 
Tesco P.L.C.
  523,649   1,703,178
 
Topps Tiles P.L.C.
  62,658   64,339
 
TP ICAP P.L.C.
  114,246   597,386
 
Travis Perkins P.L.C.
  81,053   1,655,666
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
UNITED KINGDOM — (Continued)
 
TT Electronics P.L.C.
  27,053   $84,680
 
TUI AG
  17,393   177,119
 
TUI AG
  20,624   211,302
 
Tullow Oil P.L.C.
  520,093   342,693
 
Tyman P.L.C.
  2,416   8,684
 
U & I Group P.L.C.
  32,804   77,503
 
Unilever P.L.C., Sponsored ADR
  34,715   2,074,916
 
Unilever P.L.C.
  3,266   194,821
 
United Utilities Group P.L.C.
  68,285   913,702
 
Urban & Civic P.L.C.
  13,277   63,590
 
Vectura Group P.L.C.
  170,435   211,228
 
Vertu Motors P.L.C.
  54,058   26,051
 
Vesuvius P.L.C.
  29,762   170,926
 
Victrex P.L.C.
  10,220   298,227
*
Virgin Money UK P.L.C.
  296,084   639,639
 
Vistry Group P.L.C.
  58,442   1,063,886
 
Vitec Group P.L.C. (The)
  6,546   88,751
 
Vodafone Group P.L.C.
  1,180,810   2,319,958
 
Vodafone Group P.L.C., Sponsored ADR
  5,740   112,561
 
Volution Group P.L.C.
  9,901   31,599
 
Vp P.L.C.
  2,866   37,644
 
Weir Group P.L.C (The)
  3,077   54,605
 
WH Smith P.L.C.
  21,764   685,624
 
Whitbread P.L.C.
  9,776   576,284
 
Wilmington P.L.C.
  1,608   5,175
 
Wincanton P.L.C.
  21,985   85,483
*
Wizz Air Holdings P.L.C.
  2,207   121,654
 
Wm Morrison Supermarkets P.L.C.
  274,625   658,500
 
WPP P.L.C.
  147,315   1,831,649
*
Xaar P.L.C.
  5,723   2,946
 
XP Power, Ltd.
  1,423   67,216
TOTAL UNITED KINGDOM
      180,606,986
UNITED STATES — (0.0%)
*
Epsilon Energy, Ltd.
  3,422   10,778
#
Ovintiv, Inc.
  11,224   175,428
 
Ovintiv, Inc.
  21,545   335,701
*
Sundance Energy, Inc.
  1,908   20,687
TOTAL UNITED STATES
      542,594
TOTAL COMMON STOCKS
      1,209,003,805
PREFERRED STOCKS — (0.5%)
GERMANY — (0.5%)
 
Bayerische Motoren Werke AG
  4,692   261,537
 
Biotest AG
  1,499   35,568
 
Draegerwerk AG & Co. KGaA
  1,739   101,392
 
Fuchs Petrolub SE
  9,834   435,829
 
Henkel AG & Co. KGaA
  3,344   340,093
 
Jungheinrich AG
  18,575   407,843
 
Porsche Automobil Holding SE
  12,230   824,680
 
Sartorius AG
  3,661   851,965
 
STO SE & Co. KGaA
  686   80,421
 
Volkswagen AG
  18,722   3,358,964
TOTAL GERMANY
      6,698,292
International Social Core Equity Portfolio
CONTINUED
      Shares   Value»
RIGHTS/WARRANTS — (0.0%)
CANADA — (0.0%)
*
Pan American Silver Corp. Rights 02/22/29
  51,227   $33,810
*
Pan American Silver Corp. Rights 02/22/29
  16,073   10,608
*
Tervita Corp. Warrants 07/19/20
  159   1
TOTAL CANADA
      44,419
HONG KONG — (0.0%)
*
Guotai Junan International Holdings Ltd. Rights 09/03/20
  324,666   0
NORWAY — (0.0%)
*
XXL ASA Rights 10/25/19
  776   0
SINGAPORE — (0.0%)
*
Ezion Holdings, Ltd. Warrants 04/16/23
  155,491   0
TOTAL RIGHTS/WARRANTS
      44,419
TOTAL INVESTMENT SECURITIES

(Cost $1,135,053,096)
      1,215,746,516
    
        Value†
SECURITIES LENDING COLLATERAL — (4.1%)
@§
The DFA Short Term Investment Fund
  4,502,641 52,104,560
TOTAL INVESTMENTS — (100.0%)  
(Cost $1,187,149,188)^^
    $1,267,851,076
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Common Stocks              
Australia
$38,905   $80,176,747   —   $80,215,652
Austria
—   6,857,227   —   6,857,227
Belgium
512,981   11,786,806   —   12,299,787
Canada
125,493,768   323,720   —   125,817,488
China
—   23,525   —   23,525
Denmark
—   14,972,748   —   14,972,748
Finland
—   20,228,354   —   20,228,354
France
89,036   103,694,364   —   103,783,400
Germany
2,199,783   79,786,482   —   81,986,265
Hong Kong
—   31,062,409   —   31,062,409
Ireland
3,617,511   7,219,533   —   10,837,044
Israel
786,558   9,991,847   —   10,778,405
Italy
1,497,702   37,242,110   —   38,739,812
Japan
—   285,551,286   —   285,551,286
Netherlands
7,073,461   34,873,691   —   41,947,152
New Zealand
—   6,214,781   —   6,214,781
Norway
56,376   12,242,840   —   12,299,216
Portugal
—   3,068,439   —   3,068,439
Singapore
—   12,533,128   —   12,533,128
Spain
14,557   29,203,119   —   29,217,676
Sweden
50,566   36,660,969   —   36,711,535
Switzerland
3,624,851   59,084,045   —   62,708,896
United Kingdom
33,544,008   147,062,978   —   180,606,986
United States
542,594   —   —   542,594
International Social Core Equity Portfolio
CONTINUED
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Preferred Stocks              
Germany
—   $6,698,292   —   $6,698,292
Rights/Warrants              
Canada
—   44,419   —   44,419
Securities Lending Collateral
—   52,104,560   —   52,104,560
TOTAL
$179,142,657   $1,088,708,419   —   $1,267,851,076
Global Social Core Equity Portfolio
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
    Shares   Value†
AFFILIATED INVESTMENT COMPANIES — (100.0%)
Investment in U.S. Social Core Equity 2 Portfolio of

DFA Investment Dimensions Group Inc.
2,000,089   $34,581,536
Investment in International Social Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
1,632,567   20,798,899
Investment in Emerging Markets Social Core Equity Portfolio of

DFA Investment Dimensions Group Inc.
519,796   6,923,686
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES

(Cost $62,880,370)
    $62,304,121
    
       
TEMPORARY CASH INVESTMENTS — (0.0%)
State Street Institutional U.S. Government Money Market Fund, 1.518%

(Cost $21,259)
21,259 21,259
TOTAL INVESTMENTS — (100.0%)

(Cost $62,901,629)^^
  $62,325,380
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Affiliated Investment Companies
$62,304,121   —   —   $62,304,121
Temporary Cash Investments
21,259   —   —   21,259
TOTAL
$62,325,380   —   —   $62,325,380
Emerging Markets Social Core Equity Portfolio
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
      Shares   Value»
COMMON STOCKS — (96.1%)
BELGIUM — (0.0%)
*
Titan Cement International SA
  1,215   $25,270
BRAZIL — (7.7%)
 
AES Tiete Energia SA
  140,293   499,572
 
AES Tiete Energia SA
  14,760   12,649
 
Alliar Medicos A Frente SA
  18,837   92,456
 
Alupar Investimento SA
  69,139   477,544
 
Anima Holding SA
  15,000   129,279
 
Arezzo Industria e Comercio SA
  22,928   322,832
 
Atacadao S.A.
  56,733   299,257
*
Azul SA, ADR
  36,669   1,521,763
*
B2W Cia Digital
  23,590   392,194
 
B3 SA - Brasil Bolsa Balcao
  221,831   2,496,674
 
Banco Bradesco SA, ADR
  489,020   3,731,225
 
Banco Bradesco SA
  270,674   1,981,420
 
Banco BTG Pactual SA
  35,239   617,131
 
Banco do Brasil SA
  119,174   1,350,746
 
Banco Santander Brasil SA
  82,509   810,525
 
BB Seguridade Participacoes SA
  187,322   1,521,286
 
BR Malls Participacoes SA
  281,637   1,210,041
*
BR Properties SA
  42,700   155,242
*
Brasil Brokers Participacoes SA
  13,000   14,358
 
BrasilAgro - Co. Brasileira de Propriedades Agricolas
  17,000   77,287
#
Braskem SA, Sponsored ADR
  32,252   474,104
*
BRF SA
  61,349   437,634
 
Camil Alimentos S.A.
  76,053   159,650
 
CCR SA
  493,161   2,100,420
 
Centrais Eletricas Brasileiras SA
  39,182   358,828
 
Cia de Locacao das Americas
  131,121   722,871
 
Cia de Saneamento Basico do Estado de Sao Paulo
  85,936   1,224,045
 
Cia de Saneamento Basico do Estado de Sao Paulo, ADR
  15,067   213,349
 
Cia de Saneamento de Minas Gerais-COPASA
  22,620   355,996
 
Cia de Saneamento do Parana
  50,450   1,194,515
 
Cia de Saneamento do Parana
  6,700   34,418
 
Cia Energetica de Minas Gerais
  34,769   135,178
 
Cia Hering
  22,800   132,138
 
Cia Paranaense de Energia
  11,200   205,296
#
Cia Siderurgica Nacional SA, Sponsored ADR
  356,608   1,066,258
 
Cia Siderurgica Nacional SA
  105,800   318,690
 
Cielo SA
  449,277   741,696
 
Cogna Educacao
  420,123   1,139,922
 
Construtora Tenda SA
  48,496   405,171
*
Cosan Logistica SA
  81,811   394,864
 
Cosan SA
  36,297   675,494
 
CSU Cardsystem SA
  25,900   68,642
 
CVC Brasil Operadora e Agencia de Viagens SA
  72,129   614,745
 
Cyrela Brazil Realty SA Empreendimentos e Participacoes
  136,064   1,010,329
*
Cyrela Commercial Properties SA Empreendimentos e Participacoes
  2,400   14,531
 
Direcional Engenharia SA
  58,696   223,677
 
Duratex SA
  103,452   379,255
*
EcoRodovias Infraestrutura e Logistica SA
  142,436   589,686
 
EDP - Energias do Brasil SA
  111,212   580,392
 
Embraer SA, Sponsored ADR
  87,332   1,470,671
 
Enauta Participacoes SA
  37,300   141,967
 
Energisa SA
  86,055   1,108,592
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
BRAZIL — (Continued)
*
Eneva SA
  55,128   $562,917
 
Engie Brasil Energia SA
  67,311   818,087
 
Equatorial Energia SA
  410,375   2,284,439
*
Even Construtora e Incorporadora SA
  78,600   307,051
 
Ez Tec Empreendimentos e Participacoes SA
  33,722   437,805
 
Fleury SA
  107,360   777,135
 
Fras-Le SA
  24,000   38,556
*
Gafisa SA
  45,652   86,771
 
Gerdau SA
  28,367   121,083
 
Gol Linhas Aereas Inteligentes SA, ADR
  33,315   534,047
 
Grendene SA
  67,936   181,952
 
Guararapes Confeccoes SA
  74,536   505,075
 
Hapvida Participacoes e Investimentos S.A.
  15,262   214,073
*
Helbor Empreendimentos SA
  199,681   200,959
 
Industrias Romi SA
  15,100   58,213
 
Instituto Hermes Pardini SA
  33,068   226,239
 
International Meal Co. Alimentacao SA, Class A
  37,300   75,774
 
Iochpe-Maxion SA
  83,900   425,514
 
IRB Brasil Resseguros S/A
  158,456   1,658,708
 
Itau Unibanco Holding SA
  95,539   656,766
 
JBS SA
  509,835   3,283,344
 
JHSF Participacoes SA
  113,941   209,386
 
JSL SA
  28,300   205,381
 
Kepler Weber SA
  12,772   89,171
 
Klabin SA
  396,619   1,921,693
 
Light SA
  98,537   526,899
 
Localiza Rent a Car SA
  138,538   1,734,879
 
LOG Commercial Properties e Participacoes SA
  24,976   184,290
*
Log-in Logistica Intermodal SA
  25,395   134,666
*
Lojas Americanas S.A.
  230   1,248
 
Lojas Americanas SA
  23,888   129,575
*
Lojas Americanas SA
  715   4,600
 
Lojas Renner SA
  262,325   3,519,024
 
M Dias Branco SA
  21,498   206,266
 
Magazine Luiza SA
  229,695   2,992,804
 
Mahle-Metal Leve SA
  22,637   164,389
 
Marcopolo SA
  67,500   68,089
*
Marisa Lojas SA
  55,309   173,188
*
Mills Estruturas e Servicos de Engenharia SA
  84,911   182,210
 
Movida Participacoes SA
  41,951   206,199
 
MRV Engenharia e Participacoes SA
  107,727   524,976
 
Natura & Co. Holding SA
  183,000   2,033,143
 
Odontoprev SA
  160,832   663,217
*
Omega Geracao SA
  24,093   223,344
 
Ouro Fino Saude Animal Participacoes SA
  4,300   42,161
*
Paranapanema SA
  6,366   37,843
*
Petro Rio SA
  61,200   684,938
 
Petrobras Distribuidora S.A.
  135,331   910,086
 
Petroleo Brasileiro SA, Sponsored ADR
  176,992   2,345,144
 
Petroleo Brasileiro SA, Sponsored ADR
  205,156   2,894,751
 
Petroleo Brasileiro SA
  1,047,556   7,423,837
 
Porto Seguro SA
  63,291   977,311
 
Portobello SA
  45,000   62,836
*
Profarma Distribuidora de Produtos Farmaceuticos SA
  16,726   25,347
 
Qualicorp Consultoria e Corretora de Seguros SA
  180,433   1,746,778
 
Raia Drogasil SA
  99,113   2,874,846
 
Restoque Comercio e Confeccoes de Roupas SA
  10,159   40,326
*
Rumo SA
  224,526   1,216,316
 
Santos Brasil Participacoes SA
  121,000   212,469
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
BRAZIL — (Continued)
 
Sao Carlos Empreendimentos e Participacoes SA
  8,500   $102,573
 
Sao Martinho SA
  120,631   706,164
 
Ser Educacional SA
  22,685   161,930
 
SLC Agricola SA
  56,000   297,875
 
Smiles Fidelidade SA
  36,500   327,960
*
Springs Global Participacoes SA
  15,400   45,597
 
Sul America SA
  112,502   1,654,984
 
Suzano SA
  181,354   1,679,894
#*
Suzano SA, Sponsored ADR
  597   5,497
 
T4F Entretenimento SA
  18,700   22,488
*
Technos SA
  51,055   33,023
*
Tecnisa SA
  243,706   104,138
 
Tegma Gestao Logistica SA
  22,188   205,943
 
Telefonica Brasil SA, ADR
  27,663   383,962
*
Terra Santa Agro SA
  1,900   8,722
 
TIM Participacoes SA, ADR
  13,731   267,068
 
TIM Participacoes SA
  246,832   965,403
 
Transmissora Alianca de Energia Eletrica SA
  122,753   887,413
 
Trisul SA
  43,752   166,524
 
Tupy SA
  47,700   277,227
 
Ultrapar Participacoes SA
  54,288   320,206
#
Ultrapar Participacoes SA, Sponsored ADR
  97,422   572,841
 
Unipar Carbocloro SA
  6,533   59,036
 
Usinas Siderurgicas de Minas Gerais SA
  41,700   99,902
 
Vale SA, Sponsored ADR
  317,514   3,724,444
 
Vale SA
  1,124,934   13,204,693
 
Valid Solucoes e Servicos de Seguranca em Meios de Pagamento e Identificacao S.A
  28,992   118,944
*
Via Varejo SA
  150,184   490,958
*
Vulcabras Azaleia SA
  46,309   92,129
 
WEG SA
  60,553   557,230
 
Wiz Solucoes e Corretagem de Seguros SA
  51,600   188,202
 
YDUQS Part
  155,879   1,918,550
TOTAL BRAZIL
      117,106,159
CHILE — (1.0%)
 
AES Gener SA
  1,260,761   234,508
 
Aguas Andinas SA, Class A
  1,162,882   435,950
 
Banco de Chile, ADR
  19,518   388,414
 
Banco de Credito e Inversiones SA
  7,062   294,851
 
Banco Santander Chile, ADR
  33,740   676,150
 
Besalco SA
  223,587   110,201
 
CAP SA
  48,976   291,215
 
Cencosud SA
  393,236   486,233
 
Cia Pesquera Camanchaca SA
  88,516   7,353
*
Cia Sud Americana de Vapores SA
  9,870,128   310,298
 
Colbun SA
  1,914,797   278,723
 
Embotelladora Andina SA, ADR, Class B
  12,656   196,295
*
Empresa Nacional de Telecomunicaciones SA
  98,019   642,773
 
Empresas CMPC SA
  180,596   413,981
 
Empresas COPEC SA
  59,564   531,375
 
Empresas Hites SA
  72,367   17,164
*
Empresas La Polar SA
  1,322,647   24,417
 
Enel Americas SA, ADR
  283,680   2,780,058
 
Enel Americas SA
  2,676,676   526,773
 
Enel Chile SA, ADR
  184,928   872,857
 
Engie Energia Chile SA
  231,838   324,319
 
Forus SA
  40,582   55,205
 
Grupo Security SA
  634,725   143,569
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
CHILE — (Continued)
 
Hortifrut SA
  9,628   $15,638
 
Inversiones Aguas Metropolitanas SA
  320,527   300,216
 
Inversiones La Construccion SA
  12,479   113,808
 
Itau CorpBanca
  31,741,013   154,326
 
Itau CorpBanca
  4,431   31,947
 
Latam Airlines Group SA, Sponsored ADR
  85,028   703,181
 
Latam Airlines Group SA
  5,358   44,495
*
Masisa SA
  1,158,148   42,477
 
Molibdenos y Metales SA
  3,068   30,308
 
Multiexport Foods SA
  465,609   206,453
 
Parque Arauco SA
  274,543   627,599
 
PAZ Corp. SA
  103,525   85,108
 
Ripley Corp. SA
  438,035   204,507
 
SACI Falabella
  134,629   527,844
 
Salfacorp SA
  206,280   106,899
 
Sigdo Koppers SA
  166,984   206,573
 
SMU SA
  228,828   39,706
 
Sociedad Matriz SAAM SA
  2,984,574   236,816
#
Sociedad Quimica y Minera de Chile SA, Sponsored ADR
  22,517   632,728
 
Socovesa SA
  166,772   48,952
 
SONDA SA
  242,411   187,472
TOTAL CHILE
      14,589,735
CHINA — (22.1%)
*
21Vianet Group, Inc., ADR
  16,554   152,959
 
361 Degrees International, Ltd.
  365,000   57,178
*
3SBio, Inc.
  457,000   580,478
*
51job, Inc., ADR
  5,259   379,437
*
58.com, Inc., ADR
  19,018   1,057,781
 
AAC Technologies Holdings, Inc.
  245,000   1,723,286
 
AAG Energy Holdings, Ltd.
  81,860   13,135
 
Agile Group Holdings, Ltd.
  662,749   872,137
 
Agricultural Bank of China, Ltd., Class H
  5,545,000   2,140,806
 
Air China, Ltd., Class H
  500,000   410,335
 
Ajisen China Holdings, Ltd.
  244,000   68,651
 
AKM Industrial Co., Ltd.
  70,000   11,376
*
Alibaba Group Holding, Ltd., Sponsored ADR
  88,761   18,337,135
#*
Alibaba Health Information Technology, Ltd.
  274,000   381,732
*
Aluminum Corp. of China, Ltd., ADR
  4,838   35,559
*
Aluminum Corp. of China, Ltd., Class H
  720,000   210,491
 
AMVIG Holdings, Ltd.
  138,000   33,241
 
Angang Steel Co., Ltd., Class H
  709,200   237,038
 
Anhui Conch Cement Co., Ltd., Class H
  416,500   2,658,390
 
Anhui Expressway Co., Ltd., Class H
  148,000   82,755
 
ANTA Sports Products, Ltd.
  196,000   1,706,411
 
Anton Oilfield Services Group
  802,000   74,074
*
Aowei Holdings, Ltd.
  78,000   15,929
 
APT Satellite Holdings, Ltd.
  146,000   54,303
 
Asia Cement China Holdings Corp.
  240,000   301,297
#*
Asia Television Holdings, Ltd.
  476,000   4,390
#
Ausnutria Dairy Corp., Ltd.
  204,000   247,536
 
AVIC International Holding HK, Ltd.
  1,469,171   29,048
#*
AVIC International Holdings, Ltd., Class H
  100,000   104,139
 
BAIC Motor Corp., Ltd., Class H
  857,000   422,411
*
Baidu, Inc., Sponsored ADR
  25,305   3,126,686
 
Bank of China, Ltd., Class H
  10,278,356   3,975,944
 
Bank of Chongqing Co., Ltd., Class H
  211,000   111,977
 
Bank of Communications Co., Ltd., Class H
  1,368,580   876,665
 
Bank of Tianjin Co., Ltd., Class H
  45,000   19,148
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
CHINA — (Continued)
*
Baoye Group Co., Ltd., Class H
  98,000   $54,630
#*
Baozun, Inc., Sponsored ADR
  15,396   463,574
 
BBI Life Sciences Corp.
  52,500   22,542
 
BBMG Corp., Class H
  1,040,282   277,925
 
Beijing Capital International Airport Co., Ltd., Class H
  856,000   689,432
#
Beijing Capital Land, Ltd., Class H
  796,000   208,160
*
Beijing Enterprises Clean Energy Group, Ltd.
  5,400,000   36,415
#*
Beijing Enterprises Medical & Health Group, Ltd.
  936,000   20,990
 
Beijing Enterprises Water Group, Ltd.
  1,784,000   793,379
*
Beijing Gas Blue Sky Holdings, Ltd.
  1,496,000   39,715
 
Beijing Jingneng Clean Energy Co., Ltd., Class H
  482,000   76,594
 
Beijing North Star Co., Ltd., Class H
  350,000   99,488
*
Beijing Properties Holdings, Ltd.
  636,000   15,425
 
Beijing Urban Construction Design & Development Group Co., Ltd., Class H
  125,000   36,211
 
Best Pacific International Holdings, Ltd.
  134,000   36,468
 
BII Railway Transportation Technology Holdings Co., Ltd.
  116,000   7,592
*
Bitauto Holdings, Ltd., ADR
  12,939   195,379
 
Bosideng International Holdings, Ltd.
  1,120,000   368,224
 
Boyaa Interactive International, Ltd.
  145,000   17,356
 
Brilliance China Automotive Holdings, Ltd.
  1,280,000   1,134,478
#
BYD Co., Ltd., Class H
  184,000   957,872
 
BYD Electronic International Co., Ltd.
  314,000   602,733
 
C C Land Holdings, Ltd.
  717,187   166,157
 
CA Cultural Technology Group, Ltd.
  208,000   56,920
 
Cabbeen Fashion, Ltd.
  64,000   12,124
#
Canvest Environmental Protection Group Co., Ltd.
  148,000   62,550
*
Capital Environment Holdings, Ltd.
  1,364,000   24,114
*
CAR, Inc.
  355,000   235,291
 
Carrianna Group Holdings Co., Ltd.
  248,000   23,166
*
CECEP COSTIN New Materials Group, Ltd.
  186,000   2,694
 
Central China Real Estate, Ltd.
  414,194   237,868
 
Central China Securities Co., Ltd., Class H
  310,000   59,544
*
Century Sunshine Group Holdings, Ltd.
  680,000   17,879
*
CGN Meiya Power Holdings Co., Ltd.
  690,000   86,502
 
CGN Power Co., Ltd., Class H
  1,889,000   463,562
 
Changshouhua Food Co., Ltd.
  110,000   38,261
#
Changyou.com, Ltd., ADR
  4,750   50,683
 
Chaowei Power Holdings, Ltd.
  282,000   93,250
 
Cheetah Mobile, Inc., ADR
  18,932   65,505
 
China Aerospace International Holdings, Ltd.
  624,000   34,757
 
China Agri-Industries Holdings, Ltd.
  942,800   503,566
 
China Aircraft Leasing Group Holdings, Ltd.
  136,500   139,225
*
China All Access Holdings, Ltd.
  266,000   5,742
 
China Aoyuan Group, Ltd.
  584,000   778,270
*
China Beidahuang Industry Group Holdings, Ltd.
  528,000   5,597
 
China BlueChemical, Ltd., Class H
  921,143   195,364
*
China Chengtong Development Group, Ltd.
  1,142,000   33,107
 
China Cinda Asset Management Co., Ltd., Class H
  2,211,000   442,206
 
China CITIC Bank Corp., Ltd., Class H
  1,431,000   746,993
 
China Coal Energy Co., Ltd., Class H
  564,000   191,873
 
China Common Rich Renewable Energy Investments, Ltd.
  1,016,000   122,641
 
China Communications Construction Co., Ltd., Class H
  1,003,000   708,812
 
China Communications Services Corp., Ltd., Class H
  1,044,800   701,271
 
China Conch Venture Holdings, Ltd.
  339,000   1,507,400
 
China Construction Bank Corp., Class H
  18,515,990   14,026,529
 
China Datang Corp. Renewable Power Co., Ltd., Class H
  690,000   65,414
#*
China Dili Group
  828,585   253,376
*
China Distance Education Holdings, Ltd., ADR
  11,224   85,864
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
CHINA — (Continued)
 
China Dongxiang Group Co., Ltd.
  1,381,000   $141,922
*
China Dynamics Holdings, Ltd.
  980,000   10,773
#*
China Eastern Airlines Corp., Ltd., ADR
  1,200   27,348
*
China Eastern Airlines Corp., Ltd., Class H
  508,000   231,301
 
China Electronics Huada Technology Co., Ltd.
  162,000   15,567
#
China Electronics Optics Valley Union Holding Co., Ltd.
  572,000   33,195
 
China Energy Engineering Corp., Ltd., Class H
  432,000   50,647
 
China Everbright Bank Co., Ltd., Class H
  726,000   291,253
 
China Everbright Greentech Ltd.
  251,000   118,236
 
China Everbright International, Ltd.
  1,243,592   882,046
 
China Everbright, Ltd.
  442,000   677,978
#
China Evergrande Group
  701,000   1,548,974
 
China Fiber Optic Network System Group, Ltd.
  396,000   2,677
 
China Financial Services Holdings, Ltd.
  182,000   9,192
 
China Foods, Ltd.
  376,000   141,242
 
China Galaxy Securities Co., Ltd., Class H
  698,000   346,205
 
China Gas Holdings, Ltd.
  365,600   1,444,270
 
China Glass Holdings, Ltd.
  200,000   8,047
*
China Greenland Broad Greenstate Group Co., Ltd.
  184,000   5,689
 
China Hanking Holdings, Ltd.
  191,000   45,097
 
China Harmony New Energy Auto Holding, Ltd.
  360,500   184,707
*
China High Precision Automation Group, Ltd.
  73,000   2,150
 
China High Speed Transmission Equipment Group Co., Ltd.
  148,000   88,459
 
China Hongqiao Group, Ltd.
  488,000   239,805
 
China Huarong Asset Management Co., Ltd., Class H
  2,408,000   316,130
*
China Huiyuan Juice Group, Ltd.
  159,000   28,712
#
China International Capital Corp., Ltd., Class H
  265,200   459,277
 
China International Marine Containers Group Co., Ltd., Class H
  225,600   198,265
 
China Jinmao Holdings Group, Ltd.
  1,053,120   704,033
 
China Lesso Group Holdings, Ltd.
  471,000   605,418
 
China Life Insurance Co., Ltd., ADR
  32,164   383,073
 
China Life Insurance Co., Ltd., Class H
  594,000   1,418,492
 
China Lilang, Ltd.
  206,000   145,877
*
China Logistics Property Holdings Co., Ltd.
  220,000   86,256
*
China Longevity Group Co., Ltd.
  30,000   993
 
China Longyuan Power Group Corp., Ltd., Class H
  1,039,000   614,322
 
China Machinery Engineering Corp., Class H
  432,000   160,582
 
China Maple Leaf Educational Systems, Ltd.
  540,000   192,467
 
China Medical System Holdings, Ltd.
  655,000   871,751
 
China Meidong Auto Holdings, Ltd.
  188,000   230,354
 
China Mengniu Dairy Co., Ltd.
  615,000   2,255,531
 
China Merchants Bank Co., Ltd., Class H
  987,098   4,759,353
 
China Merchants Land, Ltd.
  584,000   87,286
 
China Merchants Port Holdings Co., Ltd.
  343,731   528,748
 
China Merchants Securities Co., Ltd., Class H
  48,400   55,349
 
China Minsheng Banking Corp., Ltd., Class H
  1,159,520   809,488
 
China Mobile, Ltd.
  578,500   4,755,068
 
China Mobile, Ltd., Sponsored ADR
  231,195   9,488,243
#*
China Modern Dairy Holdings, Ltd.
  1,057,000   131,027
#
China Molybdenum Co., Ltd., Class H
  741,000   271,780
 
China National Building Material Co., Ltd., Class H
  1,720,000   1,644,226
 
China New Town Development Co., Ltd.
  416,254   8,023
#*
China Oceanwide Holdings, Ltd.
  728,000   23,128
#
China Oil & Gas Group, Ltd.
  2,350,000   78,230
 
China Oilfield Services, Ltd., Class H
  650,000   943,136
 
China Oriental Group Co., Ltd.
  556,000   190,986
 
China Overseas Grand Oceans Group, Ltd.
  829,250   541,832
 
China Overseas Land & Investment, Ltd.
  1,326,000   4,262,332
#
China Overseas Property Holdings, Ltd.
  577,000   349,849
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
CHINA — (Continued)
 
China Pacific Insurance Group Co., Ltd., Class H
  658,600   $2,196,767
*
China Pioneer Pharma Holdings, Ltd.
  119,000   28,712
 
China Power International Development, Ltd.
  1,448,999   280,274
*
China Properties Group, Ltd.
  128,000   11,611
 
China Railway Construction Corp., Ltd., Class H
  537,000   523,972
 
China Railway Group, Ltd., Class H
  922,000   505,686
 
China Railway Signal & Communication Corp., Ltd., Class H
  376,000   181,085
*
China Rare Earth Holdings, Ltd.
  325,200   14,611
 
China Reinsurance Group Corp., Class H
  1,120,000   159,035
 
China Resources Cement Holdings, Ltd.
  1,016,000   1,136,653
 
China Resources Land, Ltd.
  762,222   3,170,784
 
China Resources Power Holdings Co., Ltd.
  483,903   649,639
*
China Ruifeng Renewable Energy Holdings, Ltd.
  288,000   10,880
#
China Sanjiang Fine Chemicals Co., Ltd.
  342,000   69,936
 
China SCE Group Holdings, Ltd.
  1,009,600   530,437
*
China Shanshui Cement Group, Ltd.
  117,000   39,719
#*
China Shengmu Organic Milk, Ltd.
  716,000   19,581
 
China Shenhua Energy Co., Ltd., Class H
  1,124,884   1,976,800
 
China Shineway Pharmaceutical Group, Ltd.
  119,000   102,929
*
China Silver Group, Ltd.
  214,000   20,904
 
China South City Holdings, Ltd.
  2,188,000   243,561
#
China Southern Airlines Co., Ltd., Sponsored ADR
  5,478   151,248
 
China Southern Airlines Co., Ltd., Class H
  446,000   246,437
 
China State Construction International Holdings, Ltd.
  759,408   603,602
 
China Sunshine Paper Holdings Co., Ltd.
  91,000   14,384
 
China Suntien Green Energy Corp., Ltd., Class H
  647,000   166,742
 
China Taiping Insurance Holdings Co., Ltd.
  422,412   877,475
#
China Telecom Corp., Ltd., ADR
  21,815   844,459
 
China Telecom Corp., Ltd., Class H
  302,000   117,504
 
China Tian Lun Gas Holdings, Ltd.
  93,500   78,634
*
China Tianrui Group Cement Co., Ltd.
  59,000   53,456
 
China Traditional Chinese Medicine Holdings Co., Ltd.
  1,048,000   484,262
 
China Travel International Investment Hong Kong, Ltd.
  1,172,000   186,946
 
China Unicom Hong Kong, Ltd.
  1,424,000   1,187,928
#
China Unicom Hong Kong, Ltd., ADR
  89,553   747,768
 
China Vanke Co., Ltd., Class H
  449,200   1,583,591
#
China Vast Industrial Urban Development Co., Ltd.
  154,000   53,776
#
China Water Affairs Group, Ltd.
  296,000   230,889
#*
China Water Industry Group, Ltd.
  236,000   12,964
 
China Wood Optimization Holding, Ltd.
  60,000   15,115
 
China XLX Fertiliser, Ltd.
  204,000   59,959
 
China Yuhua Education Corp., Ltd.
  488,000   337,944
#*
China Yurun Food Group, Ltd.
  301,000   24,948
 
China ZhengTong Auto Services Holdings, Ltd.
  556,500   148,063
 
China Zhongwang Holdings, Ltd.
  883,118   292,375
#
Chinasoft International, Ltd.
  690,000   402,935
 
Chongqing Machinery & Electric Co., Ltd., Class H
  368,000   23,522
 
Chongqing Rural Commercial Bank Co., Ltd., Class H
  925,000   422,906
*
Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd.
  92,000   2,939
 
Chu Kong Shipping Enterprise Group Co., Ltd.
  132,000   19,447
 
CIFI Holdings Group Co., Ltd.
  933,465   640,974
 
CIMC Enric Holdings, Ltd.
  260,000   132,717
*
CIMC-TianDa Holdings Co., Ltd.
  1,390,000   39,449
 
CITIC Dameng Holdings, Ltd.
  235,000   9,596
 
CITIC Resources Holdings, Ltd.
  1,240,000   70,704
 
CITIC Securities Co., Ltd., Class H
  262,000   503,362
 
CITIC, Ltd.
  1,248,433   1,411,712
#*
Citychamp Watch & Jewellery Group, Ltd.
  560,000   120,259
 
Clear Media, Ltd.
  66,000   46,638
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
CHINA — (Continued)
 
CNOOC, Ltd.
  3,965,000   $5,935,753
 
CNOOC, Ltd., Sponsored ADR
  14,155   2,137,405
*
Cogobuy Group
  185,000   25,747
 
Colour Life Services Group Co., Ltd.
  159,000   74,356
 
Comba Telecom Systems Holdings, Ltd.
  450,533   162,510
 
Concord New Energy Group, Ltd.
  2,104,648   95,399
 
Consun Pharmaceutical Group, Ltd.
  205,000   104,995
 
COSCO SHIPPING Development Co., Ltd., Class H
  1,098,000   116,186
 
COSCO SHIPPING Energy Transportation Co., Ltd., Class H
  594,000   258,283
*
COSCO SHIPPING Holdings Co., Ltd., Class H
  809,500   288,914
 
COSCO SHIPPING International Hong Kong Co., Ltd.
  250,000   74,608
 
COSCO SHIPPING Ports, Ltd.
  752,560   532,284
#
Cosmo Lady China Holdings Co., Ltd.
  262,000   33,753
#
Country Garden Holdings Co., Ltd.
  2,453,744   3,103,028
 
Country Garden Services Holdings Co., Ltd.
  310,287   1,002,433
#
CP Pokphand Co., Ltd.
  1,932,000   168,145
 
CPMC Holdings, Ltd.
  259,000   97,951
 
CRCC High-Tech Equipment Corp., Ltd., Class H
  162,500   23,901
 
CRRC Corp., Ltd., Class H
  501,000   330,336
 
CSC Financial Co., Ltd., Class H
  75,000   58,602
 
CSPC Pharmaceutical Group, Ltd.
  932,000   2,044,309
*
CSSC Offshore and Marine Engineering Group Co., Ltd., Class H
  42,000   27,235
*
CT Environmental Group, Ltd.
  882,000   14,479
#*
CWT International, Ltd.
  960,000   3,065
*
Cybernaut International Holdings Co., Ltd.
  544,000   10,503
 
Dali Foods Group Co., Ltd.
  699,000   491,587
 
Datang International Power Generation Co., Ltd., Class H
  882,000   153,617
 
Dawnrays Pharmaceutical Holdings, Ltd.
  384,000   71,602
*
DBA Telecommunication Asia Holdings, Ltd.
  112,000   5,489
#*
Differ Group Holding Co., Ltd.
  702,000   41,024
 
Digital China Holdings, Ltd.
  302,250   153,434
 
Dongfang Electric Corp., Ltd., Class H
  174,400   90,835
#
Dongfeng Motor Group Co., Ltd., Class H
  574,000   428,939
#
Dongjiang Environmental Co., Ltd., Class H
  80,800   61,189
 
Dongyue Group, Ltd.
  621,000   282,240
 
E-Commodities Holdings, Ltd.
  600,000   24,487
#
EEKA Fashion Holdings, Ltd.
  91,000   96,201
 
Embry Holdings, Ltd.
  14,000   2,637
 
ENN Energy Holdings, Ltd.
  197,500   2,295,917
#
Essex Bio-technology, Ltd.
  125,000   85,612
 
EVA Precision Industrial Holdings, Ltd.
  184,000   14,365
 
Everbright Securities Co., Ltd., Class H
  67,400   46,083
*
Fang Holdings, Ltd., ADR
  14,813   38,514
#
Fanhua, Inc., ADR
  10,682   252,202
#
Fantasia Holdings Group Co., Ltd.
  754,500   134,622
*
First Tractor Co., Ltd., Class H
  84,000   15,975
#
Flat Glass Group Co., Ltd., Class H
  130,000   82,255
 
Fu Shou Yuan International Group, Ltd.
  350,000   293,684
 
Fufeng Group, Ltd.
  768,400   296,927
#
Fuguiniao Co., Ltd., Class H
  51,000   4,777
#*
Fullshare Holdings, Ltd.
  4,617,482   90,153
#
Fuyao Glass Industry Group Co., Ltd., Class H
  195,200   558,576
*
GCL New Energy Holdings, Ltd.
  1,132,000   20,176
#*
GCL-Poly Energy Holdings, Ltd.
  6,327,000   240,470
*
GDS Holdings, Ltd., ADR
  9,816   507,585
 
Geely Automobile Holdings, Ltd.
  1,766,000   2,798,415
 
Gemdale Properties & Investment Corp., Ltd.
  2,374,000   320,286
 
Genertec Universal Medical Group Co., Ltd.
  436,000   297,929
 
GF Securities Co., Ltd., Class H
  235,400   257,114
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
CHINA — (Continued)
*
Glorious Property Holdings, Ltd.
  1,043,000   $23,056
 
Golden Eagle Retail Group, Ltd.
  207,000   213,312
 
Golden Throat Holdings Group Co., Ltd.
  20,500   3,013
 
Goldlion Holdings, Ltd.
  159,152   44,313
 
Goldpac Group, Ltd.
  85,000   18,797
#*
GOME Retail Holdings, Ltd.
  4,607,940   422,838
*
Grand Baoxin Auto Group, Ltd.
  326,823   52,300
 
Great Wall Motor Co., Ltd., Class H
  605,500   400,091
 
Greatview Aseptic Packaging Co., Ltd.
  347,000   138,355
 
Greenland Hong Kong Holdings, Ltd.
  445,000   167,855
 
Greentown China Holdings, Ltd.
  332,000   394,349
 
Greentown Service Group Co., Ltd.
  308,000   324,925
 
Guangdong Investment, Ltd.
  524,000   1,063,547
*
Guangdong Land Holdings, Ltd.
  142,000   22,728
 
Guangshen Railway Co., Ltd., Sponsored ADR
  5,070   69,713
 
Guangshen Railway Co., Ltd., Class H
  416,000   115,063
 
Guangzhou Automobile Group Co., Ltd., Class H
  388,836   389,710
 
Guangzhou R&F Properties Co., Ltd., Class H
  560,400   845,349
 
Guolian Securities Co., Ltd., Class H
  36,500   12,208
 
Guorui Properties, Ltd.
  500,000   98,221
 
Guotai Junan Securities Co., Ltd., Class H
  94,800   151,146
*
Haichang Ocean Park Holdings, Ltd.
  524,000   47,229
 
Haier Electronics Group Co., Ltd.
  475,000   1,426,766
*
Hailiang Education Group, Inc., ADR
  2,865   203,701
*
Hainan Meilan International Airport Co., Ltd., Class H
  41,000   29,458
 
Haitian International Holdings, Ltd.
  238,000   514,557
 
Haitong Securities Co., Ltd., Class H
  370,400   357,944
*
Harbin Bank Co., Ltd., Class H
  312,000   56,282
#*
HC Group, Inc.
  262,500   68,172
 
Health and Happiness H&H International Holdings, Ltd.
  101,000   423,376
 
Henderson Investment, Ltd.
  255,000   20,275
 
Hengan International Group Co., Ltd.
  244,000   1,777,331
 
Hengdeli Holdings, Ltd.
  911,200   34,518
*
Hi Sun Technology China, Ltd.
  918,000   134,105
 
Hilong Holding, Ltd.
  346,000   33,071
 
Hisense Home Appliances Group Co., Ltd., Class H
  132,000   134,272
 
HKC Holdings, Ltd.
  58,723   48,127
*
Honghua Group, Ltd.
  1,396,000   76,385
 
Honworld Group, Ltd.
  72,000   25,742
 
Hopefluent Group Holdings, Ltd.
  42,000   8,920
 
Hopson Development Holdings, Ltd.
  305,000   278,709
*
Hua Han Health Industry Holdings, Ltd.
  1,184,000   80,797
#
Hua Hong Semiconductor, Ltd.
  197,000   470,243
 
Huadian Fuxin Energy Corp., Ltd., Class H
  782,000   133,709
 
Huadian Power International Corp., Ltd., Class H
  566,000   186,685
 
Huaneng Power International, Inc., Sponsored ADR
  6,108   118,556
 
Huaneng Power International, Inc., Class H
  700,000   330,356
 
Huaneng Renewables Corp., Ltd., Class H
  1,738,000   710,877
 
Huatai Securities Co., Ltd., Class H
  210,200   329,924
 
Huazhong In-Vehicle Holdings Co., Ltd.
  242,000   33,251
 
Huazhu Group, Ltd., ADR
  31,472   1,085,784
 
Huishang Bank Corp., Ltd., Class H
  123,900   45,715
 
IMAX China Holding, Inc.
  60,300   112,282
 
Industrial & Commercial Bank of China, Ltd., Class H
  12,267,017   8,142,517
 
Inner Mongolia Yitai Coal Co., Ltd., Class H
  17,400   11,218
*
JD.com, Inc., ADR
  49,686   1,872,665
*
Jiangnan Group, Ltd.
  732,000   30,427
 
Jiangsu Expressway Co., Ltd., Class H
  322,000   398,960
 
Jiangxi Copper Co., Ltd., Class H
  292,000   344,310
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
CHINA — (Continued)
 
Jiayuan International Group, Ltd.
  407,910   $146,294
 
Jinchuan Group International Resources Co., Ltd.
  1,549,000   128,371
 
Jingrui Holdings, Ltd.
  221,000   65,122
#*
JinkoSolar Holding Co., Ltd., ADR
  17,051   318,854
 
JNBY Design, Ltd.
  77,500   89,737
 
Joy City Property, Ltd.
  1,598,000   159,262
*
JOYY, Inc.
  12,126   733,987
 
Ju Teng International Holdings, Ltd.
  316,000   72,657
*
Jumei International Holding, Ltd., ADR
  1,848   30,495
 
Jutal Offshore Oil Services, Ltd.
  202,000   15,338
 
K Wah International Holdings, Ltd.
  225,892   110,105
*
Kai Yuan Holdings, Ltd.
  1,320,000   7,885
 
Kaisa Group Holdings, Ltd.
  1,268,000   525,808
#*
Kangda International Environmental Co., Ltd.
  250,000   24,956
#*
Kasen International Holdings, Ltd.
  257,000   112,000
 
Kingboard Holdings, Ltd.
  251,400   661,543
 
Kingboard Laminates Holdings, Ltd.
  488,473   499,064
 
Kingdee International Software Group Co., Ltd.
  145,000   154,839
#*
KuangChi Science, Ltd.
  291,000   8,860
 
Kunlun Energy Co., Ltd.
  1,552,000   1,202,138
 
KWG Group Holdings, Ltd.
  644,830   835,019
 
Lai Fung Holdings, Ltd.
  31,500   35,679
 
Launch Tech Co., Ltd., Class H
  76,900   17,982
 
Lee & Man Chemical Co., Ltd.
  86,000   38,138
 
Lee & Man Paper Manufacturing, Ltd.
  662,000   457,248
 
Lee's Pharmaceutical Holdings, Ltd.
  124,500   66,931
 
Legend Holdings Corp., Class H
  128,700   239,218
 
Lenovo Group, Ltd.
  3,096,000   2,020,146
 
Leoch International Technology, Ltd.
  148,000   11,497
#*
Lexinfintech Holdings, Ltd., ADR
  19,335   257,155
 
Li Ning Co., Ltd.
  385,500   1,125,806
#*
Lifestyle China Group, Ltd.
  222,000   59,388
*
Lifetech Scientific Corp.
  738,000   132,179
*
Link Motion, Inc., Sponsored ADR
  24,777   716
 
Livzon Pharmaceutical Group, Inc., Class H
  36,571   125,395
 
Logan Property Holdings Co., Ltd.
  562,000   849,515
 
Longfor Group Holdings, Ltd.
  513,500   2,167,047
 
Lonking Holdings, Ltd.
  1,059,000   277,765
#
Luye Pharma Group, Ltd.
  553,500   355,084
 
LVGEM China Real Estate Investment Co., Ltd.
  276,000   93,281
 
Maoye International Holdings, Ltd.
  383,000   24,458
 
Min Xin Holdings, Ltd.
  66,000   25,331
*
Mingfa Group International Co., Ltd.
  374,000   2,711
 
Minmetals Land, Ltd.
  565,644   87,220
 
Minth Group, Ltd.
  386,000   1,180,659
#*
MMG, Ltd.
  1,182,000   264,401
 
MOBI Development Co., Ltd.
  217,000   28,684
 
Modern Land China Co., Ltd.
  262,000   36,409
 
Momo, Inc., Sponsored ADR
  45,129   1,380,947
#
Nan Hai Corp., Ltd.
  4,000,000   47,871
*
Nature Home Holding Co., Ltd.
  168,000   31,270
 
NetDragon Websoft Holdings, Ltd.
  92,500   223,417
 
NetEase, Inc., ADR
  13,285   4,261,297
 
New China Life Insurance Co., Ltd., Class H
  158,500   591,235
*
New Oriental Education & Technology Group, Inc., Sponsored ADR
  20,110   2,444,370
*
New World Department Store China, Ltd.
  209,000   33,590
 
Nexteer Automotive Group, Ltd.
  418,000   307,303
 
Nine Dragons Paper Holdings, Ltd.
  906,000   856,179
#*
Noah Holdings, Ltd., ADR
  5,159   175,045
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
CHINA — (Continued)
#
NVC International Holdings, Ltd.
  1,151,000   $35,473
 
O-Net Technologies Group, Ltd.
  118,000   61,054
 
Orient Securities Co., Ltd., Class H
  158,800   87,401
 
Overseas Chinese Town Asia Holdings, Ltd.
  108,000   33,112
#*
Ozner Water International Holding, Ltd.
  240,000   18,305
#
Pacific Online, Ltd.
  173,000   34,820
#*
Panda Green Energy Group, Ltd.
  1,560,000   50,927
*
Parkson Retail Group, Ltd.
  380,000   26,440
 
PAX Global Technology, Ltd.
  371,000   171,918
 
People's Insurance Co. Group of China, Ltd. (The), Class H
  1,059,000   378,908
#
Phoenix Media Investment Holdings, Ltd.
  466,000   29,625
 
Phoenix New Media, Ltd., ADR
  12,224   22,125
 
PICC Property & Casualty Co., Ltd., Class H
  1,105,582   1,182,365
 
Ping An Insurance Group Co. of China, Ltd., Class H
  1,427,500   16,141,957
 
Poly Culture Group Corp., Ltd., Class H
  25,300   16,627
 
Poly Property Group Co., Ltd.
  1,025,111   397,068
 
Postal Savings Bank of China Co., Ltd., Class H
  1,495,000   930,255
 
Pou Sheng International Holdings, Ltd.
  925,687   275,688
 
Powerlong Real Estate Holdings, Ltd.
  758,000   414,886
#*
PW Medtech Group, Ltd.
  223,000   36,539
#*
Q Technology Group Co., Ltd.
  159,000   224,180
 
Qingdao Port International Co., Ltd., Class H
  179,000   116,113
 
Qingling Motors Co., Ltd., Class H
  316,000   73,801
 
Qinhuangdao Port Co., Ltd., Class H
  127,500   21,997
*
Qinqin Foodstuffs Group Cayman Co., Ltd.
  24,300   7,685
 
Red Star Macalline Group Corp., Ltd., Class H
  116,007   87,053
 
Redco Properties Group Ltd.
  422,000   185,660
 
Road King Infrastructure, Ltd.
  77,000   129,267
 
Ronshine China Holdings, Ltd.
  297,500   314,615
 
Sany Heavy Equipment International Holdings Co., Ltd.
  325,000   157,140
 
Seaspan Corp.
  39,489   476,632
#
Seazen Group, Ltd.
  724,000   726,818
#*
Semiconductor Manufacturing International Corp.
  622,900   1,137,376
 
Shandong Chenming Paper Holdings, Ltd., Class H
  158,249   61,697
 
Shandong Weigao Group Medical Polymer Co., Ltd., Class H
  636,000   758,400
 
Shandong Xinhua Pharmaceutical Co., Ltd., Class H
  67,600   43,117
 
Shanghai Electric Group Co., Ltd., Class H
  564,000   166,690
 
Shanghai Fudan-Zhangjiang Bio-Pharmaceutical Co., Ltd., Class H
  112,000   65,104
 
Shanghai Industrial Holdings, Ltd.
  156,000   274,774
 
Shanghai Industrial Urban Development Group, Ltd.
  1,688,000   194,230
 
Shanghai Jin Jiang Capital Co., Ltd., Class H
  608,000   102,132
 
Shanghai Prime Machinery Co., Ltd., Class H
  278,000   25,935
*
Shanghai Zendai Property, Ltd.
  2,775,000   15,810
 
Shengjing Bank Co., Ltd., Class H
  128,000   113,021
 
Shenguan Holdings Group, Ltd.
  550,000   22,275
 
Shenzhen Expressway Co., Ltd., Class H
  234,000   302,768
 
Shenzhen International Holdings, Ltd.
  422,950   844,867
 
Shenzhen Investment, Ltd.
  1,332,668   460,198
 
Shenzhou International Group Holdings, Ltd.
  147,900   1,955,211
 
Shimao Property Holdings, Ltd.
  484,356   1,563,015
 
Shougang Concord International Enterprises Co., Ltd.
  3,138,000   138,079
 
Shougang Fushan Resources Group, Ltd.
  1,194,000   235,060
 
Shui On Land, Ltd.
  1,756,021   350,070
*
Shunfeng International Clean Energy, Ltd.
  438,000   5,829
 
Sichuan Expressway Co., Ltd., Class H
  284,000   77,560
#
Sihuan Pharmaceutical Holdings Group, Ltd.
  1,750,000   197,321
*
Silver Grant International Holdings Group, Ltd.
  590,000   88,483
*
SINA Corp.
  18,075   700,225
 
Sino Biopharmaceutical, Ltd.
  1,823,000   2,407,410
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
CHINA — (Continued)
 
Sinofert Holdings, Ltd.
  1,006,000   $97,886
*
Sinolink Worldwide Holdings, Ltd.
  992,000   48,778
 
Sino-Ocean Group Holding, Ltd.
  1,329,003   477,921
 
Sinopec Kantons Holdings, Ltd.
  518,000   201,616
 
Sinopec Shanghai Petrochemical Co., Ltd., Class H
  982,000   249,682
 
Sinopharm Group Co., Ltd., Class H
  447,200   1,455,156
 
Sinosoft Technology Group, Ltd.
  238,800   45,990
 
Sinotrans, Ltd., Class H
  981,000   300,191
 
Sinotruk Hong Kong, Ltd.
  320,000   549,454
 
Skyfame Realty Holdings, Ltd.
  1,318,000   170,780
*
Skyworth Group, Ltd.
  819,193   218,712
#*
SMI Holdings Group, Ltd.
  323,197   20,807
 
SOHO China, Ltd.
  983,912   375,134
*
Sohu.com, Ltd., ADR
  6,475   68,829
*
Sparkle Roll Group, Ltd.
  456,000   14,372
 
Springland International Holdings, Ltd.
  239,000   68,546
*
SPT Energy Group, Inc.
  72,000   5,513
*
SRE Group, Ltd.
  2,226,857   13,951
 
SSY Group, Ltd.
  649,719   593,831
*
Starrise Media Holdings, Ltd.
  70,000   10,786
 
Sun Art Retail Group, Ltd.
  798,000   948,142
#
Sun King Power Electronics Group
  198,000   29,096
 
Sunac China Holdings, Ltd.
  811,000   3,911,504
 
Sunny Optical Technology Group Co., Ltd.
  129,400   2,056,218
#*
Sunshine 100 China Holdings, Ltd.
  120,000   21,741
#
Symphony Holdings, Ltd.
  580,000   63,389
*
TAL Education Group, ADR
  25,856   1,290,214
*
Taung Gold International, Ltd.
  4,350,000   20,715
 
TCL Electronics Holdings, Ltd.
  252,666   113,178
*
Tech Pro Technology Development, Ltd.
  1,644,000   2,709
 
Tencent Holdings, Ltd.
  899,400   42,892,541
#
Tenfu Cayman Holdings Co., Ltd.
  66,000   51,419
 
Texhong Textile Group, Ltd.
  135,500   141,297
*
Textainer Group Holdings, Ltd.
  15,097   144,849
#
Tian An China Investment Co., Ltd.
  140,000   57,856
*
Tian Ge Interactive Holdings, Ltd.
  204,000   45,787
 
Tian Shan Development Holding, Ltd.
  114,000   44,021
 
Tiangong International Co., Ltd.
  272,000   92,203
 
Tianjin Capital Environmental Protection Group Co., Ltd., Class H
  80,000   25,632
 
Tianjin Development Holdings, Ltd.
  124,000   33,020
 
Tianjin Port Development Holdings, Ltd.
  882,000   78,738
#
Tianneng Power International, Ltd.
  352,000   235,631
 
Tingyi Cayman Islands Holding Corp.
  658,000   1,110,077
 
Tomson Group, Ltd.
  198,385   50,468
 
Tong Ren Tang Technologies Co., Ltd., Class H
  211,000   195,288
#
Tongda Group Holdings, Ltd.
  2,100,000   220,808
#
Top Spring International Holdings, Ltd.
  95,000   16,041
 
Towngas China Co., Ltd.
  247,441   153,288
#
TravelSky Technology, Ltd., Class H
  188,500   407,916
 
Trigiant Group, Ltd.
  258,000   55,617
*
Trip.com Group Ltd., ADR
  63,554   2,041,990
*
Truly International Holdings, Ltd.
  641,140   83,565
 
Tsaker Chemical Group, Ltd.
  61,500   13,511
*
Tuniu Corp., Sponsored ADR
  12,347   23,706
 
Uni-President China Holdings, Ltd.
  645,966   657,480
 
United Energy Group, Ltd.
  2,540,000   448,065
 
Vinda International Holdings, Ltd.
  157,000   379,578
*
Vipshop Holdings, Ltd., ADR
  162,392   2,067,250
 
Want Want China Holdings, Ltd.
  1,698,000   1,401,614
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
CHINA — (Continued)
 
Wasion Holdings, Ltd.
  214,000   $84,347
#*
Weibo Corp., Sponsored ADR
  18,151   773,596
 
Weichai Power Co., Ltd., Class H
  680,120   1,190,707
 
Weiqiao Textile Co., Class H
  205,500   53,149
 
West China Cement, Ltd.
  1,294,000   207,925
#
Wisdom Education International Holdings Co., Ltd.
  266,000   100,169
 
Xiabuxiabu Catering Management China Holdings Co., Ltd.
  189,500   201,471
 
Xiamen International Port Co., Ltd., Class H
  426,000   51,704
 
Xingda International Holdings, Ltd.
  403,723   109,331
 
Xingfa Aluminium Holdings, Ltd.
  48,000   44,455
 
Xinhua Winshare Publishing and Media Co., Ltd., Class H
  164,000   112,970
 
Xinjiang Goldwind Science & Technology Co., Ltd., Class H
  168,658   176,725
*
Xinming China Holdings, Ltd.
  18,000   2,938
 
Xinyi Solar Holdings, Ltd.
  1,094,450   764,855
 
Xinyuan Real Estate Co., Ltd., ADR
  20,746   68,877
 
Xtep International Holdings, Ltd.
  387,468   175,415
*
Xunlei, Ltd., ADR
  12,250   51,818
 
Yadea Group Holdings, Ltd.
  474,000   122,126
*
Yanchang Petroleum International, Ltd.
  2,200,000   12,812
 
Yanzhou Coal Mining Co., Ltd., Class H
  816,000   602,075
 
Yashili International Holdings, Ltd.
  397,000   34,173
 
YiChang HEC ChangJiang Pharmaceutical Co., Ltd., Class H
  37,600   215,499
*
Yida China Holdings, Ltd.
  36,000   6,769
 
Yihai International Holding, Ltd.
  133,000   747,336
 
Yip's Chemical Holdings, Ltd.
  88,000   27,725
#*
Yiren Digital, Ltd., ADR
  20,596   94,330
*
Youyuan International Holdings, Ltd.
  136,920   3,438
*
YuanShengTai Dairy Farm, Ltd.
  760,000   26,218
 
Yuexiu Property Co., Ltd.
  3,595,292   719,672
 
Yuexiu Transport Infrastructure, Ltd.
  320,752   279,334
 
Yum China Holdings, Inc.
  93,138   4,011,454
 
Yuzhou Properties Co., Ltd.
  982,353   453,250
 
Zhejiang Expressway Co., Ltd., Class H
  484,000   395,122
 
Zhengzhou Coal Mining Machinery Group Co., Ltd., Class H
  124,000   61,556
*
Zhong An Group, Ltd.
  490,000   14,111
 
Zhongsheng Group Holdings, Ltd.
  244,500   899,842
 
Zhongyu Gas Holdings, Ltd.
  58,455   52,693
 
Zhou Hei Ya International Holdings Co., Ltd.
  207,500   101,841
*
Zhuguang Holdings Group Co., Ltd.
  344,000   50,506
 
Zhuhai Holdings Investment Group, Ltd.
  156,000   23,958
 
Zhuzhou CRRC Times Electric Co., Ltd., Class H
  190,450   641,291
 
Zijin Mining Group Co., Ltd., Class H
  1,808,000   793,357
 
Zoomlion Heavy Industry Science and Technology Co., Ltd., Class H
  281,200   206,457
*
ZTE Corp., Class H
  142,720   457,270
 
ZTO Express Cayman, Inc., ADR
  54,420   1,182,002
TOTAL CHINA
      334,116,100
COLOMBIA — (0.4%)
 
Banco de Bogota SA
  14,112   367,242
 
Bancolombia SA, Sponsored ADR
  14,286   749,586
 
Bancolombia SA
  35,012   434,476
 
Bolsa de Valores de Colombia
  3,425   11,016
 
Celsia SA ESP
  239,037   316,969
 
Cementos Argos SA
  171,894   326,699
*
CEMEX Latam Holdings SA
  76,893   94,205
*
Constructora Conconcreto SA
  2,809   391
*
Corp. Financiera Colombiana SA
  39,515   375,505
 
Ecopetrol SA
  963,173   895,582
*
Empresa de Telecomunicaciones de Bogota
  193,442   14,593
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
COLOMBIA — (Continued)
 
Grupo Argos SA
  66,196   $338,335
 
Grupo Aval Acciones y Valores SA
  17,655   149,185
 
Grupo de Inversiones Suramericana SA
  35,500   332,164
*
Grupo Energia Bogota SA ESP
  167,811   117,517
 
Grupo Nutresa SA
  40,695   294,622
 
Interconexion Electrica SA ESP
  125,172   688,080
 
Mineros SA
  5,269   4,714
 
Promigas SA ESP
  7,608   16,462
TOTAL COLOMBIA
      5,527,343
CZECH REPUBLIC — (0.2%)
 
CEZ A.S.
  40,303   882,215
 
Komercni banka A.S.
  15,235   523,638
 
Moneta Money Bank A.S.
  325,174   1,187,349
 
O2 Czech Republic A.S.
  21,410   220,485
TOTAL CZECH REPUBLIC
      2,813,687
EGYPT — (0.1%)
 
Commercial International Bank Egypt S.A.E., GDR
  266,956   1,406,004
 
Egyptian Financial Group-Hermes Holding Co., GDR
  7,191   13,878
 
Egyptian Financial Group-Hermes Holding Co., GDR
  1,326   2,551
TOTAL EGYPT
      1,422,433
GREECE — (0.4%)
 
Aegean Airlines SA
  15,499   143,670
*
Alpha Bank AE
  210,538   421,384
 
Athens Water Supply & Sewage Co. SA
  16,969   139,689
 
AUTOHELLAS SA
  8,399   71,690
 
Bank of Greece
  3,166   55,672
*
Ellaktor SA
  37,044   69,894
*
Eurobank Ergasias SA
  390,255   358,068
*
FF Group
  11,777   43,280
 
Fourlis Holdings SA
  23,710   149,308
*
GEK Terna Holding Real Estate Construction SA
  31,699   287,311
 
Hellenic Exchanges - Athens Stock Exchange SA
  17,385   89,957
 
Hellenic Petroleum SA
  20,327   177,545
 
Hellenic Telecommunications Organization SA
  61,265   914,968
 
Holding Co. ADMIE IPTO SA
  47,833   122,215
*
Intracom Holdings SA
  24,302   22,457
 
JUMBO SA
  28,161   572,743
*
LAMDA Development SA
  33,428   298,998
 
Motor Oil Hellas Corinth Refineries SA
  20,574   436,866
 
Mytilineos SA
  31,535   323,128
*
National Bank of Greece SA
  129,063   409,676
*
Piraeus Bank SA
  152,980   543,274
 
Piraeus Port Authority SA
  3,323   79,842
*
Public Power Corp. SA
  23,407   108,351
 
Sarantis SA
  9,672   95,322
*
Terna Energy SA
  19,698   177,170
*
Titan Cement International SA
  9,067   185,612
TOTAL GREECE
      6,298,090
HONG KONG — (0.0%)
*
Leyou Technologies Holdings, Ltd.
  50,000   16,038
HUNGARY — (0.3%)
#
CIG Pannonia Life Insurance P.L.C., Class A
  14,978   8,778
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
HUNGARY — (Continued)
 
Magyar Telekom Telecommunications P.L.C.
  260,648   $388,581
 
MOL Hungarian Oil & Gas P.L.C.
  260,949   2,212,763
 
OTP Bank P.L.C.
  44,441   2,058,594
TOTAL HUNGARY
      4,668,716
INDIA — (10.8%)
*
3M India, Ltd.
  554   177,659
*
5Paisa Capital, Ltd.
  8,615   22,609
 
Aarti Drugs, Ltd.
  2,801   23,976
 
Aarti Industries, Ltd.
  26,488   367,035
*
Aarti Surfactants, Ltd.
  1,324   1,479
 
ABB India, Ltd.
  5,237   95,608
 
ABB Powar Products & System India, Ltd.
  1,047   11,155
 
Abbott India, Ltd.
  1,520   266,877
 
ACC, Ltd.
  17,993   379,082
 
Action Construction Equipment, Ltd.
  7,217   8,706
 
Adani Enterprises, Ltd.
  73,800   235,958
 
Adani Gas, Ltd.
  146,362   339,626
*
Adani Green Energy, Ltd.
  111,381   293,571
*
Adani Power, Ltd.
  371,686   317,007
*
Adani Transmissions, Ltd.
  110,238   513,481
*
Aditya Birla Capital, Ltd.
  163,572   226,393
*
Aditya Birla Fashion and Retail, Ltd.
  93,200   305,007
 
Advanced Enzyme Technologies, Ltd.
  12,879   30,627
 
Aegis Logistics, Ltd.
  32,617   95,988
 
Agro Tech Foods, Ltd.
  4,264   41,328
 
Ahluwalia Contracts India, Ltd.
  2,080   9,623
 
AIA Engineering, Ltd.
  12,413   309,924
 
Ajanta Pharma, Ltd.
  12,898   199,540
 
Akzo Nobel India, Ltd.
  4,305   123,367
 
Alembic Pharmaceuticals, Ltd.
  27,495   242,042
 
Alembic, Ltd.
  54,445   43,777
*
Allahabad Bank
  289,489   71,833
 
Allcargo Logistics, Ltd.
  33,994   53,576
 
Amara Raja Batteries, Ltd.
  22,700   244,853
 
Ambuja Cements, Ltd.
  139,808   400,723
*
Amtek Auto, Ltd.
  52,973   383
 
Anant Raj, Ltd.
  53,435   27,188
*
Andhra Bank
  205,859   46,212
 
Andhra Sugars, Ltd. (The)
  2,017   8,961
*
Anup Engineering, Ltd.
  3,112   26,282
 
Apar Industries, Ltd.
  7,842   42,612
 
APL Apollo Tubes, Ltd.
  3,950   108,610
 
Apollo Tyres, Ltd.
  166,410   387,655
*
Arvind Fashions, Ltd.
  16,804   92,618
 
Arvind, Ltd.
  84,021   50,658
 
Asahi India Glass, Ltd.
  26,973   90,784
 
Ashiana Housing, Ltd.
  15,215   23,713
 
Ashok Leyland, Ltd.
  638,846   732,860
*
Ashoka Buildcon, Ltd.
  39,544   62,990
 
Asian Paints, Ltd.
  67,549   1,698,687
 
Astral Polytechnik, Ltd.
  13,530   227,437
 
Atul, Ltd.
  4,562   313,785
 
Automotive Axles, Ltd.
  3,807   44,415
 
Avanti Feeds, Ltd.
  18,377   170,575
*
Avenue Supermarts, Ltd.
  539   16,091
 
Axis Bank, Ltd.
  298,775   3,056,800
 
Bajaj Auto, Ltd.
  19,222   854,783
*
Bajaj Consumer Care, Ltd.
  33,236   104,610
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
INDIA — (Continued)
 
Bajaj Electricals, Ltd.
  11,884   $61,998
 
Bajaj Finance, Ltd.
  43,930   2,686,423
 
Bajaj Finserv, Ltd.
  8,788   1,161,458
*
Bajaj Hindusthan Sugar, Ltd.
  210,829   18,679
 
Bajaj Holdings & Investment, Ltd.
  13,923   675,160
 
Balaji Amines, Ltd.
  6,470   35,261
 
Balkrishna Industries, Ltd.
  45,952   687,356
 
Balmer Lawrie & Co., Ltd.
  30,656   51,570
 
Balrampur Chini Mills, Ltd.
  78,854   182,667
 
Banco Products India, Ltd.
  11,777   16,978
 
Bandhan Bank, Ltd.
  53,568   337,154
*
Bank of Baroda
  193,224   249,241
*
Bank of Maharashtra
  198,041   36,306
 
Bannari Amman Sugars, Ltd.
  894   18,295
 
BASF India, Ltd.
  3,352   46,574
 
Bata India, Ltd.
  9,609   242,665
 
BEML, Ltd.
  5,626   76,877
 
Berger Paints India, Ltd.
  106,165   832,379
 
Bhansali Engineering Polymers, Ltd.
  29,445   20,611
 
Bharat Forge, Ltd.
  102,023   699,336
 
Bharat Petroleum Corp., Ltd.
  171,963   1,101,955
 
Bharat Rasayan, Ltd.
  365   32,943
*
Bharti Airtel, Ltd.
  446,460   3,106,285
 
Bharti Infratel, Ltd.
  95,502   332,361
 
Biocon, Ltd.
  102,954   422,684
 
Birla Corp., Ltd.
  10,855   120,597
*
Birlasoft, Ltd.
  80,994   91,331
 
Blue Dart Express, Ltd.
  537   20,283
 
Blue Star, Ltd.
  14,558   169,460
 
Bodal Chemicals, Ltd.
  28,773   29,621
 
Bombay Dyeing & Manufacturing Co., Ltd.
  33,291   43,902
 
Borosil Glass Works, Ltd.
  14,033   33,928
 
Bosch, Ltd.
  1,532   297,408
 
Brigade Enterprises, Ltd.
  32,571   108,083
 
Britannia Industries, Ltd.
  14,010   624,881
 
BSE, Ltd.
  6,411   47,914
 
Can Fin Homes, Ltd.
  22,994   155,671
*
Canara Bank
  55,717   157,243
 
Capacit'e Infraprojects, Ltd.
  12,709   34,314
 
Carborundum Universal, Ltd.
  26,926   126,481
 
Care Ratings, Ltd.
  7,322   67,225
 
Castrol India, Ltd.
  106,814   200,540
 
CCL Products India, Ltd.
  38,497   120,941
 
Ceat, Ltd.
  12,726   178,051
 
Central Depository Services India, Ltd.
  4,550   16,850
 
Century Plyboards India, Ltd.
  37,659   89,852
 
Century Textiles & Industries, Ltd.
  18,089   161,028
 
Cera Sanitaryware, Ltd.
  2,844   107,807
 
CESC, Ltd.
  24,069   238,230
*
CG Power and Industrial Solutions, Ltd.
  203,600   27,397
 
Chambal Fertilizers & Chemicals, Ltd.
  72,529   183,441
*
Chennai Petroleum Corp., Ltd.
  17,205   30,025
 
Chennai Super Kings Cricket, Ltd.
  130,176   770
*
Cholamandalam Financial Holdings, Ltd.
  31,634   240,177
 
Cholamandalam Investment and Finance Co., Ltd.
  117,324   534,083
 
City Union Bank, Ltd.
  133,999   432,154
 
Coal India, Ltd.
  250,678   642,684
 
Colgate-Palmolive India, Ltd.
  29,408   548,509
 
Container Corp. Of India, Ltd.
  65,461   521,711
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
INDIA — (Continued)
 
Coromandel International, Ltd.
  45,855   $405,614
*
Corp. Bank
  164,998   54,056
*
Cox & Kings, Ltd.
  46,655   619
 
CRISIL, Ltd.
  9,323   222,583
 
Crompton Greaves Consumer Electricals, Ltd.
  196,701   771,913
 
Cummins India, Ltd.
  16,055   129,129
 
Cyient, Ltd.
  23,996   165,617
 
Dabur India, Ltd.
  100,058   694,953
*
Dalmia Bharat, Ltd.
  38,292   468,602
 
DB Corp., Ltd.
  25,664   49,472
 
DCB Bank, Ltd.
  99,628   249,754
 
DCM Shriram, Ltd.
  26,469   137,442
 
Deepak Fertilisers & Petrochemicals Corp., Ltd.
  16,772   26,166
 
Deepak Nitrite, Ltd.
  14,093   76,352
 
DFM Foods, Ltd.
  3,641   15,692
 
Dhampur Sugar Mills, Ltd.
  15,975   45,483
 
Dhanuka Agritech, Ltd.
  6,469   46,850
 
Dilip Buildcon, Ltd.
  18,685   108,764
*
Dish TV India, Ltd.
  176,773   31,952
 
Dishman Carbogen Amcis, Ltd.
  29,525   30,915
 
Divi's Laboratories, Ltd.
  18,285   499,339
 
Dixon Technologies India, Ltd.
  1,128   72,704
 
DLF, Ltd.
  136,360   495,881
 
Dr Lal PathLabs, Ltd.
  12,391   307,546
*
Dynamatic Technologies, Ltd.
  1,869   25,413
 
eClerx Services, Ltd.
  11,671   102,204
 
Edelweiss Financial Services, Ltd.
  176,449   234,824
 
Eicher Motors, Ltd.
  3,397   960,301
 
EID Parry India, Ltd.
  39,453   126,231
 
EIH, Ltd.
  53,723   105,412
 
Elgi Equipments, Ltd.
  25,498   89,818
 
Emami, Ltd.
  49,436   204,380
 
Endurance Technologies, Ltd.
  12,236   186,019
 
Engineers India, Ltd.
  76,414   97,104
 
Entertainment Network India, Ltd.
  2,514   8,826
*
Eris Lifesciences, Ltd.
  2,491   18,217
 
Escorts, Ltd.
  31,617   354,162
 
Essel Propack, Ltd.
  16,384   41,167
 
Excel Industries, Ltd.
  733   9,063
 
Exide Industries, Ltd.
  110,335   303,371
*
FDC, Ltd.
  24,941   81,873
 
Federal Bank, Ltd.
  710,554   908,985
 
Finolex Cables, Ltd.
  31,095   173,333
 
Finolex Industries, Ltd.
  19,213   152,386
 
Firstsource Solutions, Ltd.
  142,208   86,905
*
Future Enterprises, Ltd.
  99,463   33,254
 
Future Lifestyle Fashions, Ltd.
  13,486   78,385
*
Future Retail, Ltd.
  43,845   202,253
 
Gabriel India, Ltd.
  37,453   59,409
 
GAIL India, Ltd.
  478,088   805,759
 
Galaxy Surfactants, Ltd.
  504   11,400
 
Garware Technical Fibres, Ltd.
  5,427   113,540
 
Gateway Distriparks, Ltd.
  28,293   54,930
 
GE T&D India, Ltd.
  6,889   16,137
 
General Insurance Corp. of India
  13,962   48,695
 
GHCL, Ltd.
  20,516   53,345
 
GIC Housing Finance, Ltd.
  12,531   26,896
 
Gillette India, Ltd.
  2,205   192,831
 
Godrej Consumer Products, Ltd.
  94,722   891,541
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
INDIA — (Continued)
 
Godrej Industries, Ltd.
  15,059   $86,732
*
Godrej Properties, Ltd.
  8,798   133,306
 
Granules India, Ltd.
  79,722   162,789
 
Graphite India, Ltd.
  3,594   14,926
 
Grasim Industries, Ltd.
  53,216   579,016
 
Great Eastern Shipping Co., Ltd. (The)
  26,241   110,464
 
Greaves Cotton, Ltd.
  45,105   85,268
*
Greenpanel Industries, Ltd.
  19,337   15,146
 
Greenply Industries, Ltd.
  19,337   41,374
 
Grindwell Norton, Ltd.
  9,426   83,877
 
Gujarat Alkalies & Chemicals, Ltd.
  11,691   64,848
 
Gujarat Ambuja Exports, Ltd.
  20,394   43,839
*
Gujarat Fluorochemicals, Ltd.
  16,368   141,733
 
Gujarat Gas, Ltd.
  80,245   324,268
 
Gujarat Industries Power Co., Ltd.
  19,775   22,251
 
Gujarat Mineral Development Corp., Ltd.
  47,029   40,119
 
Gujarat Narmada Valley Fertilizers & Chemicals, Ltd.
  25,754   70,061
 
Gujarat Pipavav Port, Ltd.
  113,985   139,412
 
Gujarat State Fertilizers & Chemicals, Ltd.
  73,343   87,720
 
Gujarat State Petronet, Ltd.
  85,718   303,636
 
Gulf Oil Lubricants India, Ltd.
  7,008   79,193
 
Hatsun Agro Products, Ltd.
  11,492   102,211
 
Havells India, Ltd.
  55,386   468,157
 
HBL Power Systems, Ltd.
  56,931   15,234
 
HCL Technologies, Ltd.
  350,883   2,909,617
 
HDFC Bank Ltd.
  413,389   7,069,174
 
HDFC Life Insurance Co., Ltd.
  64,543   541,870
*
HealthCare Global Enterprises, Ltd.
  17,375   28,338
 
HEG, Ltd.
  2,260   33,822
 
HeidelbergCement India, Ltd.
  39,068   109,269
*
Hemisphere Properties India, Ltd.
  33,278   58,341
 
Heritage Foods, Ltd.
  6,774   35,166
 
Hero MotoCorp, Ltd.
  41,694   1,454,703
 
Hester Biosciences, Ltd.
  238   5,305
 
Hexaware Technologies, Ltd.
  69,847   357,018
 
HFCL, Ltd.
  362,713   85,805
 
Hikal, Ltd.
  20,117   34,844
 
HIL, Ltd.
  1,730   33,935
 
Himadri Speciality Chemical, Ltd.
  42,228   39,054
 
Himatsingka Seide, Ltd.
  20,339   36,262
 
Hindalco Industries, Ltd.
  446,962   1,179,495
 
Hinduja Global Solutions, Ltd.
  3,291   30,997
*
Hindustan Oil Exploration Co., Ltd.
  7,365   10,588
 
Hindustan Unilever, Ltd.
  141,308   4,029,006
 
Honda SIEL Power Products, Ltd.
  1,167   19,659
 
Honeywell Automation India, Ltd.
  764   296,435
 
Housing Development Finance Corp., Ltd.
  207,485   7,019,142
 
Huhtamaki PPL, Ltd.
  11,366   39,479
 
ICICI Bank, Ltd., Sponsored ADR
  164,684   2,401,100
 
ICICI Bank, Ltd.
  1,180   8,694
 
ICICI Lombard General Insurance Co., Ltd.
  15,312   283,664
 
ICICI Prudential Life Insurance Co., Ltd.
  51,567   369,229
*
IDFC First Bank, Ltd.
  718,827   408,952
 
IDFC, Ltd.
  461,764   225,999
*
IFB Industries, Ltd.
  4,858   40,831
*
IFCI, Ltd.
  477,690   42,896
 
IIFL Finance, Ltd.
  99,665   235,221
*
IIFL Securities, Ltd.
  99,665   75,648
 
IIFL Wealth Management, Ltd.
  14,238   266,346
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
INDIA — (Continued)
 
India Cements, Ltd. (The)
  65,029   $74,453
 
Indiabulls Housing Finance, Ltd.
  143,708   616,848
*
Indiabulls Integrated Services, Ltd.
  2,915   4,845
*
Indiabulls Real Estate, Ltd.
  135,430   197,458
 
Indiabulls Ventures, Ltd.
  35,876   88,868
 
Indiabulls Ventures, Ltd.
  6,548   6,661
*
Indian Bank
  59,582   86,418
 
Indian Hotels Co., Ltd. (The)
  121,267   242,340
 
Indian Hume Pipe Co., Ltd.
  8,416   30,438
 
Indian Oil Corp., Ltd.
  382,933   608,248
*
Indian Overseas Bank
  345,326   49,129
 
Indo Count Industries, Ltd.
  32,201   23,886
 
Indoco Remedies, Ltd.
  12,214   38,380
 
Indraprastha Gas, Ltd.
  97,935   694,759
 
IndusInd Bank, Ltd.
  26,493   464,206
 
INEOS Styrolution India, Ltd.
  1,619   18,110
 
Infibeam Avenues, Ltd.
  79,662   63,902
 
Info Edge India, Ltd.
  6,840   271,947
 
Infosys, Ltd., Sponsored ADR
  141,430   1,550,073
 
Infosys, Ltd.
  976,998   10,693,324
 
Ingersoll-Rand India, Ltd.
  4,807   44,888
 
Inox Leisure, Ltd.
  29,769   168,484
 
Insecticides India, Ltd.
  3,523   27,302
*
Intellect Design Arena, Ltd.
  22,152   52,555
 
InterGlobe Aviation, Ltd.
  4,829   93,624
*
IRB Infrastructure Developers, Ltd.
  83,799   121,064
 
ITD Cementation India, Ltd.
  35,112   29,673
 
J Kumar Infraprojects, Ltd.
  16,833   36,472
 
Jagran Prakashan, Ltd.
  54,556   51,599
 
Jai Corp., Ltd.
  22,407   34,920
*
Jain Irrigation Systems, Ltd.
  155,375   15,426
*
Jaiprakash Power Ventures, Ltd.
  476,905   15,401
*
Jammu & Kashmir Bank, Ltd. (The)
  143,649   55,170
 
Jamna Auto Industries, Ltd.
  77,992   45,840
 
JB Chemicals & Pharmaceuticals, Ltd.
  12,437   86,474
 
Jindal Photo Imaging, Ltd.
  579   488
 
Jindal Poly Films, Ltd.
  2,316   7,587
 
Jindal Saw, Ltd.
  82,171   103,288
*
Jindal Stainless Hisar, Ltd.
  35,791   38,474
*
Jindal Stainless, Ltd.
  88,742   49,758
*
Jindal Steel & Power, Ltd.
  157,433   386,249
 
JK Cement, Ltd.
  10,543   204,275
 
JK Lakshmi Cement, Ltd.
  15,807   78,992
 
JK Paper, Ltd.
  41,108   73,805
 
JK Tyre & Industries, Ltd.
  33,006   34,198
 
JM Financial, Ltd.
  146,953   217,162
 
JMC Projects India, Ltd.
  21,310   29,127
 
Johnson Controls-Hitachi Air Conditioning India, Ltd.
  3,653   123,193
 
JSW Energy, Ltd.
  211,709   186,126
 
JSW Steel, Ltd.
  536,050   1,867,137
 
JTEKT India, Ltd.
  33,878   39,329
 
Jubilant Foodworks, Ltd.
  30,121   797,979
 
Jubilant Life Sciences, Ltd.
  50,434   407,552
*
Just Dial, Ltd.
  13,206   103,539
 
Jyothy Labs Ltd.
  27,180   58,877
 
Kajaria Ceramics, Ltd.
  42,747   347,562
 
Kalpataru Power Transmission, Ltd.
  29,121   182,175
 
Kalyani Steels, Ltd.
  11,486   35,242
 
Kansai Nerolac Paints, Ltd.
  42,586   301,284
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
INDIA — (Continued)
 
Karnataka Bank, Ltd. (The)
  98,718   $101,767
 
Karur Vysya Bank, Ltd. (The)
  188,782   128,210
 
Kaveri Seed Co., Ltd.
  11,466   75,942
 
KCP, Ltd. (The)
  30,121   26,958
 
KEC International, Ltd.
  50,704   239,993
 
KEI Industries, Ltd.
  25,830   204,246
 
Kiri Industries, Ltd.
  7,501   40,282
 
Kirloskar Oil Engines, Ltd.
  25,693   52,812
 
KNR Constructions, Ltd.
  22,800   97,122
 
Kolte-Patil Developers, Ltd.
  11,282   41,881
 
Kotak Mahindra Bank, Ltd.
  105,755   2,497,454
*
KPIT Technologies, Ltd.
  80,994   111,839
 
KPR Mill, Ltd.
  10,432   99,497
 
KRBL, Ltd.
  34,591   127,722
 
L&T Finance Holdings, Ltd.
  305,522   499,346
 
LA Opala RG, Ltd.
  5,529   14,245
 
Lakshmi Machine Works, Ltd.
  415   19,054
*
Lakshmi Vilas Bank, Ltd. (The)
  34,290   7,274
 
Larsen & Toubro Infotech, Ltd.
  14,313   388,199
 
Laurus Labs, Ltd.
  7,515   45,323
 
LG Balakrishnan & Bros, Ltd.
  5,958   25,777
 
LIC Housing Finance, Ltd.
  151,919   932,286
 
Linde India, Ltd.
  11,710   121,955
 
LT Foods, Ltd.
  64,829   24,255
 
Lumax Industries, Ltd.
  2,016   41,941
 
LUX Industries, Ltd.
  2,738   56,849
 
Magma Fincorp, Ltd.
  72,433   58,807
 
Mahanagar Gas, Ltd.
  14,324   235,281
 
Maharashtra Scooters, Ltd.
  1,746   106,754
 
Maharashtra Seamless, Ltd.
  11,052   59,885
 
Mahindra & Mahindra Financial Services, Ltd.
  118,432   610,164
 
Mahindra & Mahindra, Ltd.
  219,556   1,746,583
*
Mahindra CIE Automotive, Ltd.
  41,536   101,827
*
Mahindra Holidays & Resorts India, Ltd.
  6,412   21,410
 
Mahindra Lifespace Developers, Ltd.
  3,562   20,947
 
Majesco, Ltd.
  8,575   46,999
 
Manappuram Finance, Ltd.
  254,929   668,570
 
Marico, Ltd.
  135,860   603,521
 
Maruti Suzuki India, Ltd.
  21,237   2,054,869
 
MAS Financial Services, Ltd.
  1,478   20,391
 
Mastek, Ltd.
  4,770   29,528
 
Mayur Uniquoters, Ltd.
  7,210   23,358
 
Meghmani Organics, Ltd.
  52,538   40,314
 
Minda Corp., Ltd.
  15,036   22,288
 
Minda Industries, Ltd.
  35,542   196,029
 
Mindtree, Ltd.
  9,695   120,228
 
MOIL, Ltd.
  36,155   77,345
 
Motherson Sumi Systems, Ltd.
  388,929   724,281
 
Motilal Oswal Financial Services, Ltd.
  16,279   180,614
 
Mphasis, Ltd.
  48,567   629,767
 
MPS, Ltd.
  2,372   11,967
 
MRF, Ltd.
  475   462,625
 
Multi Commodity Exchange of India, Ltd.
  3,805   65,946
*
Muthoot Capital Services, Ltd.
  3,237   26,994
 
Muthoot Finance, Ltd.
  58,940   626,505
 
National Aluminium Co., Ltd.
  299,608   178,780
 
Nava Bharat Ventures, Ltd.
  54,195   54,353
 
Navin Fluorine International, Ltd.
  5,554   89,714
 
Navneet Education, Ltd.
  37,731   48,321
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
INDIA — (Continued)
 
NBCC India, Ltd.
  111,654   $52,613
 
NCC, Ltd.
  226,588   172,527
 
NESCO, Ltd.
  11,674   122,256
 
Neuland Laboratories, Ltd.
  3,851   22,778
 
NHPC, Ltd.
  669,900   228,671
 
NIIT Technologies, Ltd.
  6,350   171,713
 
NIIT, Ltd.
  27,465   37,765
 
Nilkamal, Ltd.
  2,517   49,826
 
NLC India, Ltd.
  88,191   72,310
 
NOCIL, Ltd.
  29,828   39,856
 
NRB Bearings, Ltd.
  22,385   29,952
 
NTPC, Ltd.
  399,037   631,186
 
Oberoi Realty, Ltd.
  27,402   209,447
 
Omaxe, Ltd.
  22,851   49,642
*
Oracle Financial Services Software, Ltd.
  7,861   321,741
 
Orient Cement, Ltd.
  28,090   30,222
 
Orient Electric, Ltd.
  12,508   43,362
 
Orient Refractories, Ltd.
  20,027   70,827
*
Oriental Bank of Commerce
  177,435   124,413
 
Oriental Carbon & Chemicals, Ltd.
  1,568   21,986
 
Page Industries, Ltd.
  2,239   765,108
 
Paisalo Digital, Ltd.
  1,915   6,935
 
Parag Milk Foods, Ltd.
  15,727   30,517
*
PC Jeweller, Ltd.
  73,554   22,967
 
Persistent Systems, Ltd.
  24,430   237,298
 
Petronet LNG, Ltd.
  324,395   1,209,422
 
Phillips Carbon Black, Ltd.
  29,375   51,251
 
Phoenix Mills, Ltd. (The)
  22,383   271,196
 
PI Industries, Ltd.
  33,383   721,147
 
Pidilite Industries, Ltd.
  31,672   667,657
 
PNB Housing Finance, Ltd.
  15,438   93,699
 
PNC Infratech, Ltd.
  35,001   97,411
 
Poly Medicure, Ltd.
  6,882   26,430
 
Polyplex Corp., Ltd.
  6,276   47,257
*
Power Finance Corp., Ltd.
  353,810   576,221
 
Power Grid Corp. of India, Ltd.
  362,101   949,397
 
Praj Industries, Ltd.
  30,429   48,123
 
Prakash Industries, Ltd.
  32,212   20,051
 
Prestige Estates Projects, Ltd.
  66,478   358,228
*
Prime Focus, Ltd.
  35,207   21,353
*
Procter & Gamble Health, Ltd.
  1,462   90,645
 
Procter & Gamble Hygiene & Health Care, Ltd.
  3,205   495,845
 
PSP Projects, Ltd.
  3,766   27,034
 
PTC India Financial Services, Ltd.
  117,889   23,847
 
PTC India, Ltd.
  115,845   93,990
*
Punjab National Bank
  353,451   298,644
 
PVR, Ltd.
  14,617   398,749
*
Quess Corp., Ltd.
  13,875   122,651
 
Rain Industries Ltd.
  50,053   75,901
 
Rajesh Exports, Ltd.
  36,321   366,167
 
Rallis India, Ltd.
  10,737   35,292
 
Ramco Cements, Ltd. (The)
  26,445   289,521
 
Ramco Industries, Ltd.
  17,140   44,885
 
Ramkrishna Forgings, Ltd.
  7,724   38,036
 
Rane Holdings, Ltd.
  1,683   18,114
 
Rashtriya Chemicals & Fertilizers, Ltd.
  77,501   58,211
 
Ratnamani Metals & Tubes, Ltd.
  6,330   109,127
 
RBL Bank, Ltd.
  67,483   300,661
 
REC, Ltd.
  385,974   774,371
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
INDIA — (Continued)
 
Redington India, Ltd.
  143,736   $231,612
 
Relaxo Footwears, Ltd.
  12,658   130,377
*
Reliance Home Finance, Ltd.
  116,001   2,429
*
Reliance Infrastructure, Ltd.
  57,599   17,418
*
Reliance Power, Ltd.
  229,033   5,601
 
Repco Home Finance, Ltd.
  23,561   109,536
*
RP-SG Business Process Services, Ltd.
  4,814   22,738
 
Sadbhav Engineering, Ltd.
  39,909   73,256
 
Sadbhav Infrastructure Project, Ltd.
  32,915   18,978
 
Sagar Cements, Ltd.
  739   5,588
*
Sanghi Industries, Ltd.
  45,846   25,205
 
Savita Oil Technologies, Ltd.
  516   6,263
 
SBI Life Insurance Co., Ltd.
  27,457   381,058
 
Schaeffler India, Ltd.
  663   42,497
 
Security & Intelligence Services India, Ltd.
  2,016   14,052
 
Sequent Scientific, Ltd.
  34,602   44,121
 
Seshasayee Paper & Boards, Ltd.
  3,845   8,797
*
SH Kelkar & Co., Ltd.
  11,983   18,816
 
Shankara Building Products, Ltd.
  3,661   19,685
 
Sharda Cropchem, Ltd.
  11,070   36,452
*
Sheela Foam, Ltd.
  110   2,277
 
Shilpa Medicare, Ltd.
  10,912   40,849
*
Shipping Corp. of India, Ltd.
  49,571   41,705
 
Shoppers Stop, Ltd.
  5,605   32,608
 
Shree Cement, Ltd.
  2,077   668,852
 
Shriram City Union Finance, Ltd.
  6,356   120,554
 
Shriram Transport Finance Co., Ltd.
  91,493   1,303,350
*
Sintex Plastics Technology, Ltd.
  184,858   2,851
 
Siyaram Silk Mills, Ltd.
  2,906   9,168
 
SML ISUZU, Ltd.
  3,384   26,601
 
Sobha, Ltd.
  31,407   197,369
 
Solar Industries India, Ltd.
  9,823   175,117
 
Somany Ceramics, Ltd.
  7,348   22,059
*
Somany Home Innovation, Ltd.
  17,822   39,212
 
Sonata Software, Ltd.
  29,236   137,645
 
South Indian Bank, Ltd. (The)
  645,437   94,826
*
Spencer's Retail Ltd.
  6,322   7,612
 
SRF, Ltd.
  8,127   430,246
 
Srikalahasthi Pipes, Ltd.
  7,842   21,694
*
Star Cement, Ltd.
  33,904   39,565
*
State Bank of India
  234,185   1,040,097
*
State Bank of India, GDR
  1,409   62,560
 
Steel Authority of India, Ltd.
  364,495   236,380
 
Sterlite Technologies, Ltd.
  61,607   107,244
 
Strides Pharma Science, Ltd.
  26,263   169,988
 
Subros, Ltd.
  14,654   50,089
 
Sudarshan Chemical Industries
  10,535   67,130
 
Sun TV Network, Ltd.
  50,950   335,340
 
Sundaram Finance Holdings, Ltd.
  4,466   4,260
 
Sundaram Finance, Ltd.
  10,303   237,021
 
Sundaram-Clayton, Ltd.
  1,860   57,486
 
Sundram Fasteners, Ltd.
  35,624   255,507
 
Sunteck Realty, Ltd.
  29,355   163,748
 
Suprajit Engineering, Ltd.
  22,155   63,176
 
Supreme Industries, Ltd.
  20,001   392,056
 
Supreme Petrochem, Ltd.
  17,842   46,322
 
Surya Roshni, Ltd.
  12,778   32,026
 
Suven Life Sciences, Ltd.
  28,997   9,507
 
Suven Pharmaceuticals, Ltd.
  28,997   114,249
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
INDIA — (Continued)
 
Swaraj Engines, Ltd.
  2,273   $39,160
 
Symphony, Ltd.
  5,585   94,729
*
Syndicate Bank
  449,067   151,762
 
Syngene International, Ltd.
  44,968   197,263
 
TAKE Solutions, Ltd.
  24,685   33,030
 
Tasty Bite Eatables, Ltd.
  176   20,144
 
Tata Chemicals, Ltd.
  31,796   334,645
 
Tata Communications, Ltd.
  33,278   191,936
 
Tata Consultancy Services, Ltd.
  220,909   6,453,601
 
Tata Elxsi, Ltd.
  9,084   120,747
 
Tata Global Beverages, Ltd.
  141,914   762,533
 
Tata Metaliks, Ltd.
  5,166   45,022
*
Tata Motors, Ltd.
  819,291   2,012,820
 
Tata Power Co., Ltd. (The)
  420,804   339,711
*
Tata Sponge Iron, Ltd.
  8,706   48,036
 
Tata Steel, Ltd.
  126,691   771,711
 
TCI Express, Ltd.
  8,425   104,551
 
Tech Mahindra, Ltd.
  185,407   2,077,142
*
Techno Electric & Engineering Co., Ltd.
  14,738   61,705
 
Tejas Networks, Ltd.
  8,203   9,406
 
Texmaco Rail & Engineering, Ltd.
  32,187   17,029
 
Thermax, Ltd.
  5,073   76,979
 
Thirumalai Chemicals, Ltd.
  28,380   25,855
 
Thomas Cook India, Ltd.
  47,330   37,193
 
Thyrocare Technologies, Ltd.
  8,171   63,819
 
Tide Water Oil Co India, Ltd.
  569   37,291
 
Time Technoplast, Ltd.
  62,676   47,576
 
Timken India, Ltd.
  5,771   80,009
 
Tinplate Co. of India, Ltd. (The)
  23,897   47,590
 
Titan Co., Ltd.
  85,114   1,411,995
 
Torrent Power, Ltd.
  63,788   275,841
 
Tourism Finance Corp. of India, Ltd.
  4,049   4,098
 
Transport Corp. of India, Ltd.
  16,849   62,808
 
Trent, Ltd.
  23,170   192,034
 
Trident, Ltd.
  493,708   43,272
 
Triveni Engineering & Industries, Ltd.
  45,289   50,153
 
Triveni Turbine, Ltd.
  39,003   53,643
 
TTK Prestige, Ltd.
  1,165   94,232
 
Tube Investments of India, Ltd.
  37,042   267,687
 
TV Today Network, Ltd.
  13,322   45,076
*
TV18 Broadcast, Ltd.
  270,590   97,125
 
TVS Srichakra, Ltd.
  1,771   42,253
*
UCO Bank
  304,304   66,476
 
Uflex, Ltd.
  15,527   45,571
 
UltraTech Cement, Ltd.
  21,449   1,327,068
*
Union Bank of India
  213,027   147,050
 
UPL, Ltd.
  231,364   1,703,110
*
VA Tech Wabag, Ltd.
  10,086   30,260
 
Vaibhav Global, Ltd.
  5,973   89,437
 
Vakrangee, Ltd.
  180,675   126,942
 
Vardhman Textiles, Ltd.
  10,903   158,536
 
Varun Beverages, Ltd.
  3,927   42,413
 
Vedanta, Ltd.
  656,098   1,254,745
 
Venky's India, Ltd.
  2,911   68,142
 
Vesuvius India, Ltd.
  1,000   15,271
 
V-Guard Industries, Ltd.
  40,880   128,686
 
Vinati Organics, Ltd.
  7,191   225,333
 
Vindhya Telelinks, Ltd.
  1,762   21,522
 
VIP Industries, Ltd.
  23,109   149,653
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
INDIA — (Continued)
 
V-Mart Retail, Ltd.
  3,123   $87,244
 
VRL Logistics, Ltd.
  15,003   58,153
 
VST Tillers Tractors, Ltd.
  1,799   34,225
 
WABCO India, Ltd.
  1,921   183,238
 
Welspun Corp., Ltd.
  45,947   110,408
 
Welspun Enterprises, Ltd.
  26,652   29,382
 
Welspun India, Ltd.
  187,140   112,931
 
West Coast Paper Mills, Ltd.
  14,590   46,418
 
Wheels India, Ltd.
  1,390   11,608
 
Whirlpool of India, Ltd.
  8,665   298,773
 
Wipro, Ltd.
  308,377   1,024,410
 
Wonderla Holidays, Ltd.
  6,615   22,994
 
Yes Bank, Ltd.
  602,119   329,845
 
Zee Entertainment Enterprises, Ltd.
  252,322   946,436
 
Zee Learn, Ltd.
  34,956   9,187
 
Zensar Technologies, Ltd.
  39,770   95,156
TOTAL INDIA
      162,941,087
INDONESIA — (2.4%)
 
Ace Hardware Indonesia Tbk PT
  2,641,700   332,343
 
Adaro Energy Tbk PT
  9,572,400   850,737
 
Adhi Karya Persero Tbk PT
  1,039,625   78,105
*
Agung Podomoro Land Tbk PT
  1,043,700   10,958
 
AKR Corporindo Tbk PT
  658,800   159,008
*
Alam Sutera Realty Tbk PT
  6,109,300   88,388
 
Aneka Tambang Tbk
  2,431,589   127,760
 
Arwana Citramulia Tbk PT
  1,603,400   50,339
 
Astra Agro Lestari Tbk PT
  220,467   191,274
 
Astra International Tbk PT
  4,081,100   1,883,988
 
Astra Otoparts Tbk PT
  444,800   38,999
*
Astrindo Nusantara Infrastructure Tbk PT
  5,686,600   20,804
*
Asuransi Kresna Mitra Tbk PT
  678,200   66,971
*
Bank Bukopin Tbk
  3,493,200   57,145
*
Bank Capital Indonesia Tbk PT
  722,900   16,517
 
Bank Central Asia Tbk PT
  1,565,000   3,698,125
 
Bank Danamon Indonesia Tbk PT
  985,242   250,240
*
Bank Ina Perdana PT
  268,700   18,232
 
Bank Mandiri Persero Tbk PT
  3,382,744   1,849,668
 
Bank Negara Indonesia Persero Tbk PT
  1,386,700   726,544
*
Bank Pan Indonesia Tbk PT
  2,269,600   192,133
 
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT
  1,166,600   83,966
 
Bank Pembangunan Daerah Jawa Timur Tbk PT
  2,139,900   97,942
*
Bank Permata Tbk PT
  1,264,758   108,359
 
Bank Rakyat Indonesia Persero Tbk PT
  13,437,100   4,368,465
 
Bank Tabungan Negara Persero Tbk PT
  1,402,373   190,878
 
Barito Pacific Tbk PT
  13,780,500   1,313,636
 
Bayan Resources Tbk PT
  13,000   12,927
 
Bekasi Fajar Industrial Estate Tbk PT
  1,496,200   18,258
*
Bintang Oto Global Tbk PT
  442,800   50,904
 
BISI International Tbk PT
  932,700   68,201
 
Blue Bird Tbk PT
  291,800   50,194
*
Buana Lintas Lautan Tbk PT
  1,266,800   16,381
 
Bukit Asam Tbk PT
  1,654,405   265,797
*
Bumi Serpong Damai Tbk PT
  1,815,500   147,204
*
Bumi Teknokultura Unggul Tbk PT
  2,771,100   10,162
*
Capital Financial Indonesia Tbk PT
  1,669,100   51,067
 
Charoen Pokphand Indonesia Tbk PT
  2,174,115   1,053,777
*
Citra Marga Nusaphala Persada Tbk PT
  896,868   131,048
*
Delta Dunia Makmur Tbk PT
  3,936,700   63,082
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
INDONESIA — (Continued)
*
Eagle High Plantations Tbk PT
  5,480,000   $45,994
 
Elnusa Tbk PT
  2,138,700   42,308
 
Erajaya Swasembada Tbk PT
  789,500   91,080
*
Gajah Tunggal Tbk PT
  1,108,600   40,076
*
Garuda Indonesia Persero Tbk PT
  2,211,146   65,347
*
Global Mediacom Tbk PT
  5,909,100   146,993
*
Hanson International Tbk PT
  46,633,300   170,755
 
Harum Energy Tbk PT
  320,100   31,174
 
Indah Kiat Pulp & Paper Corp. Tbk PT
  1,157,600   567,543
 
Indika Energy Tbk PT
  944,200   65,723
 
Indo Tambangraya Megah Tbk PT
  256,200   187,600
 
Indocement Tunggal Prakarsa Tbk PT
  261,500   313,374
 
Indofood CBP Sukses Makmur Tbk PT
  703,900   584,112
 
Indofood Sukses Makmur Tbk PT
  1,996,000   1,143,681
*
Indosat Tbk PT
  493,300   82,271
 
Industri dan Perdagangan Bintraco Dharma Tbk PT
  2,427,000   16,702
 
Industri Jamu Dan Farmasi Sido Muncul Tbk PT
  2,232,900   195,030
*
Inti Agri Resources Tbk PT
  3,873,200   14,182
*
Intikeramik Alamasri Industri Tbk PT
  2,263,200   8,445
 
Japfa Comfeed Indonesia Tbk PT
  3,168,300   346,058
 
Jasa Marga Persero Tbk PT
  785,526   263,357
 
Jaya Real Property Tbk PT
  1,230,300   48,103
 
Kalbe Farma Tbk PT
  5,742,600   599,036
 
Kapuas Prima Coal Tbk PT
  1,774,000   46,240
*
Kawasan Industri Jababeka Tbk PT
  8,369,468   181,479
 
KMI Wire & Cable Tbk PT
  1,523,700   53,662
*
Krakatau Steel Persero Tbk PT
  1,691,031   33,569
*
Kresna Graha Investama Tbk PT
  3,259,900   114,304
 
Link Net Tbk PT
  609,400   163,674
*
Lippo Cikarang Tbk PT
  1,557,710   84,266
 
Malindo Feedmill Tbk PT
  779,500   50,728
 
Matahari Department Store Tbk PT
  1,547,900   332,475
 
Mayora Indah Tbk PT
  1,671,725   235,107
*
Medco Energi Internasional Tbk PT
  4,101,900   209,841
 
Media Nusantara Citra Tbk PT
  3,301,700   382,267
 
Metrodata Electronics Tbk PT
  487,100   59,668
 
Mitra Adiperkasa Tbk PT
  4,877,000   342,607
 
Mitra Keluarga Karyasehat Tbk PT
  1,042,400   197,628
*
MNC Investama Tbk PT
  12,227,100   58,145
*
MNC Land Tbk PT
  1,069,800   11,426
*
MNC Sky Vision Tbk PT
  269,000   25,530
*
Modernland Realty Tbk PT
  6,013,600   84,752
 
Nippon Indosari Corpindo Tbk PT
  928,544   88,319
 
Pabrik Kertas Tjiwi Kimia Tbk PT
  327,500   217,260
*
Pacific Strategic Financial Tbk PT
  1,990,200   102,073
 
Pakuwon Jati Tbk PT
  5,881,300   223,228
 
Pan Brothers Tbk PT
  1,955,500   40,037
*
Panin Financial Tbk PT
  10,892,000   207,205
*
Paninvest Tbk PT
  840,400   60,262
*
Pelayaran Tamarin Samudra Tbk PT
  1,797,000   26,835
 
Perusahaan Gas Negara Tbk PT
  3,122,300   386,972
 
Perusahaan Perkebunan London Sumatra Indonesia Tbk PT
  1,633,300   140,247
*
Pool Advista Indonesia Tbk PT
  350,400   4,003
 
PP Persero Tbk PT
  1,298,742   130,231
 
PP Properti Tbk PT
  5,985,600   23,177
 
Puradelta Lestari Tbk PT
  3,809,400   77,150
 
Ramayana Lestari Sentosa Tbk PT
  1,095,400   85,616
*
Rimo International Lestari Tbk PT
  18,540,300   68,059
*
Salim Ivomas Pratama Tbk PT
  1,609,400   43,365
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
INDONESIA — (Continued)
*
Sampoerna Agro Tbk PT
  572,600   $101,184
 
Sarana Menara Nusantara Tbk PT
  6,632,200   409,217
 
Sawit Sumbermas Sarana Tbk PT
  1,413,000   82,759
 
Selamat Sempurna Tbk PT
  1,169,600   118,648
 
Semen Baturaja Persero Tbk PT
  807,400   18,479
 
Semen Indonesia Persero Tbk PT
  547,500   476,970
*
Sentul City Tbk PT
  9,332,500   39,542
 
Sinar Mas Agro Resources & Technology Tbk PT
  36,000   9,877
*
Sinar Mas Multiartha Tbk PT
  16,500   19,061
*
Sitara Propertindo Tbk PT
  1,060,900   15,383
*
Smartfren Telecom Tbk PT
  8,189,600   61,603
 
Sri Rejeki Isman Tbk PT
  8,246,800   132,600
*
Sugih Energy Tbk PT
  5,670,200   15,572
 
Sumber Alfaria Trijaya Tbk PT
  1,508,900   88,449
 
Summarecon Agung Tbk PT
  3,205,000   198,033
 
Surya Citra Media Tbk PT
  3,223,500   337,481
*
Surya Esa Perkasa Tbk PT
  2,146,300   36,608
 
Surya Semesta Internusa Tbk PT
  2,192,100   104,983
#
Telekomunikasi Indonesia Persero Tbk PT, Sponsored ADR
  89,204   2,459,354
 
Tempo Scan Pacific Tbk PT
  107,300   10,125
*
Tiga Pilar Sejahtera Food Tbk
  1,372,000   3,165
 
Tiphone Mobile Indonesia Tbk PT
  1,094,000   16,494
 
Total Bangun Persada Tbk PT
  672,000   20,067
*
Totalindo Eka Persada Tbk PT
  559,300   7,358
 
Tower Bersama Infrastructure Tbk PT
  3,165,200   268,050
*
Trada Alam Minera Tbk PT
  12,608,800   46,169
 
Tunas Baru Lampung Tbk PT
  1,989,500   121,255
 
Tunas Ridean Tbk PT
  238,000   17,079
 
Ultrajaya Milk Industry & Trading Co. Tbk PT
  1,078,000   133,297
 
Unilever Indonesia Tbk PT
  1,610,000   935,157
 
United Tractors Tbk PT
  828,495   1,157,735
*
Vale Indonesia Tbk PT
  664,400   152,693
*
Visi Media Asia Tbk PT
  5,092,600   18,531
 
Waskita Beton Precast Tbk PT
  4,254,600   80,718
 
Waskita Karya Persero Tbk PT
  1,355,243   121,540
 
Wijaya Karya Beton Tbk PT
  1,949,300   54,501
 
Wijaya Karya Persero Tbk PT
  1,648,549   226,795
*
XL Axiata Tbk PT
  2,144,700   452,964
TOTAL INDONESIA
      37,040,373
MALAYSIA — (2.1%)
#
Duopharma Biotech Bhd
  128,046   49,551
#
Aeon Co. M Bhd
  320,600   106,059
#
AEON Credit Service M Bhd
  61,690   195,231
 
AFFIN Bank Bhd
  275,199   123,232
 
AirAsia Group Bhd
  984,900   342,129
#*
AirAsia X Bhd
  818,400   25,798
 
Ajinomoto Malaysia Bhd
  3,400   11,779
 
Alliance Bank Malaysia Bhd
  503,300   299,343
 
Allianz Malaysia Bhd
  14,500   50,975
 
AMMB Holdings Bhd
  497,075   447,162
 
Amway Malaysia Holdings Bhd
  13,300   18,204
#
Ann Joo Resources Bhd
  92,800   24,761
 
APM Automotive Holdings Bhd
  22,800   12,122
 
Astro Malaysia Holdings Bhd
  488,100   142,280
 
ATA IMS Bhd
  54,500   22,746
 
Axiata Group Bhd
  803,048   838,728
 
Batu Kawan Bhd
  39,400   156,447
 
Berjaya Food Bhd
  45,400   14,337
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
MALAYSIA — (Continued)
*
Bermaz Auto Bhd
  328,300   $147,734
 
BIMB Holdings Bhd
  181,631   175,137
 
Boustead Holdings Bhd
  238,660   47,729
#
Boustead Plantations Bhd
  324,260   47,229
*
Bumi Armada Bhd
  1,458,100   125,004
 
Bursa Malaysia Bhd
  363,700   490,813
 
CAB Cakaran Corp. Bhd
  172,400   15,510
 
Cahya Mata Sarawak Bhd
  178,100   93,353
 
Can-One Bhd
  42,900   29,998
 
CB Industrial Product Holding Bhd
  146,080   32,490
 
CIMB Group Holdings Bhd
  1,224,080   1,467,911
*
Coastal Contracts Bhd
  125,600   39,103
 
CSC Steel Holdings Bhd
  55,500   13,923
 
Cypark Resources Bhd
  141,900   45,797
 
D&O Green Technologies Bhd
  343,200   65,979
 
Dagang NeXchange Bhd
  698,200   40,596
 
Datasonic Group Bhd
  375,000   132,478
*
Dayang Enterprise Holdings Bhd
  307,945   205,697
 
Dialog Group Bhd
  508,814   404,367
 
DiGi.Com Bhd
  674,900   692,888
 
DRB-Hicom Bhd
  345,800   190,216
 
Dutch Lady Milk Industries Bhd
  6,400   63,955
#
Eastern & Oriental Bhd
  320,580   43,682
#*
Eco World Development Group Bhd
  536,900   83,415
#*
Eco World International Bhd
  172,100   31,416
#
Ekovest BHD
  287,550   44,395
 
Engtex Group Bhd
  164,000   30,568
 
Evergreen Fibreboard Bhd
  218,700   12,970
*
FGV Holdings Bhd
  517,100   151,456
 
Fraser & Neave Holdings Bhd
  13,600   109,003
 
Frontken Corp. Bhd
  391,400   221,309
 
Gabungan AQRS Bhd
  185,778   47,709
 
Gadang Holdings Bhd
  363,600   52,362
 
Gamuda Bhd
  404,900   379,579
#
Gas Malaysia Bhd
  57,400   38,444
 
Genting Plantations Bhd
  37,200   94,714
 
George Kent Malaysia Bhd
  247,900   52,244
 
Globetronics Technology Bhd
  336,066   191,198
 
Glomac Bhd
  194,040   16,466
 
Guan Chong Bhd
  49,000   35,800
 
GuocoLand Malaysia Bhd
  34,800   5,725
 
Hai-O Enterprise Bhd
  91,300   44,438
 
HAP Seng Consolidated Bhd
  275,520   653,595
 
Hap Seng Plantations Holdings Bhd
  44,900   18,256
 
Hartalega Holdings Bhd
  322,500   464,965
#*
Hengyuan Refining Co. Bhd
  63,600   55,223
 
HeveaBoard Bhd
  272,900   30,456
 
Hiap Teck Venture Bhd
  583,500   28,208
 
Hock Seng LEE Bhd
  61,600   19,685
 
Hong Leong Bank Bhd
  88,190   343,025
 
Hong Leong Financial Group Bhd
  67,713   266,493
 
Hong Leong Industries Bhd
  26,900   62,638
 
Hup Seng Industries Bhd
  218,300   47,930
 
IGB Bhd
  10,577   8,775
 
IJM Corp. Bhd
  866,114   444,925
 
IJM Plantations Bhd
  85,300   39,216
 
Inari Amertron Bhd
  864,563   365,510
 
Insas Bhd
  133,113   27,980
 
IOI Corp. Bhd
  249,605   275,075
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
MALAYSIA — (Continued)
 
IOI Properties Group Bhd
  461,310   $130,965
*
Iris Corp. Bhd
  736,100   24,017
#*
Iskandar Waterfront City Bhd
  289,100   50,940
#*
JAKS Resources Bhd
  315,000   95,008
*
Jaya Tiasa Holdings Bhd
  293,305   51,856
 
JHM Consolidation Bhd
  137,400   48,773
 
Kenanga Investment Bank Bhd
  159,100   16,237
#
Kerjaya Prospek Group Bhd
  234,960   75,876
 
Kim Loong Resources Bhd
  89,860   27,654
 
Kimlun Corp. Bhd
  52,338   13,987
*
KNM Group Bhd
  634,784   39,845
*
Kretam Holdings Bhd
  399,000   41,309
#*
KSL Holdings Bhd
  376,864   66,154
 
Kuala Lumpur Kepong Bhd
  40,050   222,077
 
Land & General Bhd
  1,013,940   33,225
*
Landmarks Bhd
  139,100   15,214
#
LBS Bina Group Bhd
  556,060   64,264
 
Lii Hen Industries Bhd
  73,000   51,464
 
Lingkaran Trans Kota Holdings Bhd
  112,800   129,079
 
Lotte Chemical Titan Holding Bhd
  35,500   17,724
 
LPI Capital Bhd
  63,200   230,263
 
Magni-Tech Industries Bhd
  117,333   70,023
 
Mah Sing Group Bhd
  610,152   99,525
 
Malakoff Corp. Bhd
  570,000   113,579
 
Malayan Banking Bhd
  787,821   1,616,794
 
Malayan Flour Mills Bhd
  285,450   39,676
*
Malayan United Industries Bhd
  357,000   16,017
 
Malaysia Airports Holdings Bhd
  439,067   719,012
 
Malaysia Building Society Bhd
  666,603   129,109
*
Malaysia Marine and Heavy Engineering Holdings Bhd
  141,900   24,021
*
Malaysian Bulk Carriers Bhd
  219,725   26,107
 
Malaysian Pacific Industries Bhd
  67,663   196,320
 
Malaysian Resources Corp. Bhd
  783,400   127,267
 
Malton Bhd
  177,500   18,760
 
Matrix Concepts Holdings Bhd
  320,550   149,170
 
Maxis Bhd
  383,500   494,284
 
MBM Resources BHD
  78,530   72,420
 
Media Chinese International, Ltd.
  100,600   5,373
*
Media Prima Bhd
  502,600   25,652
#
Mega First Corp. Bhd
  78,700   99,651
 
MKH Bhd
  164,215   62,277
#
MMC Corp. Bhd
  346,100   74,137
 
MNRB Holdings Bhd
  136,099   33,675
*
MPHB Capital Bhd
  74,900   19,006
 
Muda Holdings Bhd
  113,800   37,013
 
Muhibbah Engineering M Bhd
  112,100   46,266
*
Mulpha International Bhd
  87,720   38,417
 
My EG Services Bhd
  869,450   218,846
 
NTPM Holdings Bhd
  103,400   12,061
#
Oriental Holdings BHD
  70,300   110,175
 
OSK Holdings Bhd
  447,264   104,500
 
Padini Holdings Bhd
  228,200   184,132
 
Panasonic Manufacturing Malaysia Bhd
  3,400   28,716
 
Pantech Group Holdings Bhd
  217,196   25,586
 
Paramount Corp. Bhd
  183,540   59,000
 
Petron Malaysia Refining & Marketing Bhd
  50,500   59,074
 
PIE Industrial Bhd
  93,100   28,403
#
Pos Malaysia Bhd
  137,200   47,883
 
PPB Group Bhd
  72,260   327,389
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
MALAYSIA — (Continued)
 
Press Metal Aluminium Holdings Bhd
  434,400   $514,862
 
Public Bank Bhd
  747,170   3,378,809
 
QL Resources Bhd
  247,704   501,238
 
Ranhill Holdings Bhd
  205,800   49,224
 
RHB Bank Bhd
  452,562   628,548
*
Salcon Bhd
  329,086   16,709
 
Sam Engineering & Equipment M Bhd
  16,800   31,590
 
Sapura Energy Bhd
  2,326,211   138,023
 
Sarawak Oil Palms Bhd
  57,114   47,351
 
Scientex Bhd
  138,700   306,229
 
Serba Dinamik Holdings Bhd
  597,030   326,335
 
Shangri-La Hotels Malaysia Bhd
  63,400   72,710
#
Sime Darby Plantation Bhd
  391,800   482,912
#
Sime Darby Property Bhd
  1,272,800   241,403
 
SKP Resources Bhd
  530,700   193,618
 
SP Setia Bhd Group
  471,068   149,883
 
Sunway Construction Group Bhd
  187,510   82,573
#
Supermax Corp. Bhd
  416,103   179,690
 
Suria Capital Holdings Bhd
  21,720   6,903
 
Syarikat Takaful Malaysia Keluarga Bhd
  171,600   189,870
 
Ta Ann Holdings Bhd
  119,126   93,225
 
TA Enterprise Bhd
  620,300   84,690
 
TA Global Bhd
  529,180   30,385
 
Tan Chong Motor Holdings Bhd
  103,100   32,324
 
Telekom Malaysia Bhd
  406,160   381,420
 
Tenaga Nasional Bhd
  639,100   1,934,714
 
Thong Guan Industries Bhd
  11,900   10,263
 
TIME dotCom Bhd
  54,200   122,357
 
Tropicana Corp. Bhd
  231,391   49,362
 
TSH Resources Bhd
  99,300   28,837
 
Tune Protect Group Bhd
  184,300   22,574
 
Uchi Technologies Bhd
  152,170   97,884
 
UEM Edgenta Bhd
  150,200   97,390
*
UEM Sunrise Bhd
  701,564   102,009
 
UMW Holdings Bhd
  128,400   122,391
 
Unisem M Bhd
  10,400   5,620
#
United Malacca Bhd
  20,100   25,753
 
United Plantations Bhd
  14,100   89,577
 
UOA Development Bhd
  358,600   172,742
*
Velesto Energy Bhd
  1,287,935   107,722
 
ViTrox Corp. Bhd
  61,800   139,944
#*
Vizione Holdings Bhd
  278,200   55,660
 
VS Industry Bhd
  677,381   221,199
*
Wah Seong Corp. Bhd
  218,605   62,636
*
WCE Holdings Bhd
  56,300   4,750
*
WCT Holdings Bhd
  475,002   88,266
 
Wellcall Holdings Bhd
  272,550   72,495
 
Westports Holdings Bhd
  353,300   339,095
 
WTK Holdings Bhd
  104,800   12,332
 
Yinson Holdings Bhd
  245,400   369,754
*
YNH Property Bhd
  197,408   129,078
 
YTL Corp. Bhd
  1,899,830   413,732
#
YTL Power International Bhd
  589,246   107,583
TOTAL MALAYSIA
      32,459,129
MEXICO — (3.2%)
 
Alfa S.A.B. de C.V., Class A
  2,060,747   1,549,745
 
Alpek S.A.B. de C.V.
  365,986   343,411
*
Alsea S.A.B. de C.V.
  353,533   858,411
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
MEXICO — (Continued)
 
America Movil S.A.B. de C.V.
  4,985,903   $4,124,245
 
America Movil S.A.B. de C.V., Sponsored ADR, Class L
  116,929   1,950,376
 
Arca Continental S.A.B. de C.V.
  57,957   328,194
#*
Axtel S.A.B. de C.V.
  751,020   126,790
 
Banco del Bajio SA
  130,899   216,208
*
Bio Pappel S.A.B. de C.V.
  22,232   26,897
 
Bolsa Mexicana de Valores S.A.B. de C.V.
  210,773   490,694
 
Cemex S.A.B. de C.V.
  3,260,597   1,309,726
 
Coca-Cola Femsa S.A.B. de C.V., Sponsored ADR
  11,926   726,890
 
Consorcio ARA S.A.B. de C.V.
  338,198   74,994
*
Controladora Vuela Cia de Aviacion S.A.B. de C.V., ADR
  15,490   201,215
#*
Controladora Vuela Cia de Aviacion S.A.B. de C.V., Class A
  248,143   322,663
 
Corp. Actinver S.A.B. de C.V.
  9,800   5,653
 
Corp. Inmobiliaria Vesta S.A.B. de C.V.
  317,098   578,968
 
Corp. Moctezuma S.A.B. de C.V.
  87,200   269,138
 
Credito Real S.A.B. de C.V. SOFOM ER
  150,887   190,850
#
El Puerto de Liverpool S.A.B. de C.V.
  50,513   268,398
*
Elementia S.A.B. de C.V.
  36,084   21,025
#*
Empresas ICA S.A.B. de C.V.
  72,400   56
*
Financiera Independencia S.A.B. de C.V. SOFOM ENR
  10,724   5,789
 
Fomento Economico Mexicano S.A.B. de C.V.
  143,342   1,292,433
 
Fomento Economico Mexicano S.A.B. de C.V., Sponsored ADR
  821   74,030
 
Gentera S.A.B. de C.V.
  761,373   862,289
 
Gruma S.A.B. de C.V., Class B
  106,839   1,135,534
#*
Grupo Aeromexico S.A.B. de C.V.
  157,608   119,193
 
Grupo Aeroportuario del Centro Norte S.A.B. de C.V.
  199,076   1,515,024
 
Grupo Aeroportuario del Pacifico S.A.B. de C.V., ADR
  4,815   595,519
 
Grupo Aeroportuario del Pacifico S.A.B. de C.V., Class B
  94,110   1,165,300
 
Grupo Aeroportuario del Sureste S.A.B. de C.V., ADR
  4,576   882,207
 
Grupo Aeroportuario del Sureste S.A.B. de C.V., Class B
  10,582   203,508
#
Grupo Bimbo S.A.B. de C.V.
  435,528   781,371
 
Grupo Carso S.A.B. de C.V.
  133,837   482,565
 
Grupo Cementos de Chihuahua S.A.B. de C.V.
  87,450   453,599
 
Grupo Comercial Chedraui S.A. de C.V.
  256,033   336,310
 
Grupo Elektra S.A.B. de C.V.
  25,618   1,871,644
*
Grupo Famsa S.A.B. de C.V., Class A
  138,137   30,193
 
Grupo Financiero Banorte S.A.B. de C.V.
  591,335   3,644,302
 
Grupo Financiero Inbursa S.A.B. de C.V.
  435,285   495,514
*
Grupo GICSA SAB de CV
  209,490   76,499
 
Grupo Herdez S.A.B. de C.V.
  137,418   273,883
*
Grupo Hotelero Santa Fe S.A.B. de C.V.
  21,807   7,444
 
Grupo Industrial Saltillo S.A.B. de C.V.
  91,927   111,895
 
Grupo KUO S.A.B. de C.V., Class B
  28,600   80,947
#
Grupo Lala S.A.B. de C.V.
  266,979   239,632
 
Grupo Mexico S.A.B. de C.V., Class B
  999,501   2,656,978
#*
Grupo Pochteca S.A.B. de C.V.
  35,990   12,361
 
Grupo Rotoplas S.A.B. de C.V.
  73,189   61,005
 
Grupo Sanborns S.A.B. de C.V.
  147,588   181,990
*
Grupo Simec S.A.B. de C.V., Sponsored ADR
  2,821   28,986
*
Grupo Simec S.A.B. de C.V., Class B
  38,410   132,739
*
Grupo Sports World S.A.B. de C.V.
  42,700   44,970
 
Grupo Televisa S.A.B., Sponsored ADR
  15,502   172,382
#
Grupo Televisa S.A.B.
  848,608   1,885,796
*
Grupo Traxion S.A.B. de C.V.
  60,930   53,109
*
Hoteles City Express S.A.B. de C.V.
  177,546   133,332
*
Impulsora del Desarrollo y el Empleo en America Latina S.A.B. de C.V.
  188,521   399,081
 
Industrias Bachoco S.A.B. de C.V., Sponsored ADR
  1,286   62,165
 
Industrias Bachoco S.A.B. de C.V., Class B
  83,968   336,930
*
Industrias CH S.A.B. de C.V.
  98,329   486,506
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
MEXICO — (Continued)
#
Industrias Penoles S.A.B. de C.V.
  68,391   $709,916
 
Infraestructura Energetica Nova S.A.B. de C.V.
  85,309   400,912
 
Kimberly-Clark de Mexico S.A.B. de C.V., Class A
  577,915   1,195,560
#*
La Comer S.A.B. de C.V.
  308,419   391,736
 
Megacable Holdings S.A.B. de C.V.
  254,258   952,955
*
Minera Frisco S.A.B. de C.V.
  163,510   27,474
*
Minera Frisco S.A.B. de C.V., Class A1
  277,464   46,255
 
Nemak S.A.B. de C.V.
  519,618   215,872
#
Orbia Advance Corp. S.A.B. de C.V.
  570,872   1,348,969
 
Organizacion Cultiba S.A.B. de C.V.
  24,314   15,441
 
Organizacion Soriana S.A.B. de C.V., Class B
  226,563   287,048
 
Promotora y Operadora de Infraestructura S.A.B. de C.V.
  51,447   556,386
 
Promotora y Operadora de Infraestructura S.A.B. de C.V., Class L
  11,087   83,894
 
Qualitas Controladora S.A.B. de C.V.
  87,577   394,839
 
Regional S.A.B. de C.V.
  151,482   862,691
#*
Telesites S.A.B. de C.V.
  637,365   468,862
#
TV Azteca S.A.B. de C.V.
  760,843   32,011
 
Unifin Financiera S.A.B. de C.V.
  90,981   138,671
 
Vitro S.A.B. de C.V., Class A
  87,821   192,648
 
Wal-Mart de Mexico S.A.B. de C.V.
  1,026,541   3,003,755
TOTAL MEXICO
      48,695,396
PERU — (0.2%)
 
Cementos Pacasmayo SAA, ADR
  6,089   56,083
 
Cia de Minas Buenaventura SAA, ADR
  15,794   204,216
 
Credicorp, Ltd.
  13,122   2,710,743
*
Fossal SAA, ADR
  455   122
*
Grana y Montero SAA, Sponsored ADR
  21,229   46,704
TOTAL PERU
      3,017,868
PHILIPPINES — (1.2%)
*
8990 Holdings, Inc.
  218,000   63,106
 
Aboitiz Equity Ventures, Inc.
  422,490   408,045
 
Aboitiz Power Corp.
  427,900   272,578
*
AC Energy Philippines, Inc.
  675,000   26,225
*
AgriNurture, Inc.
  118,000   27,855
 
Altus Property Ventures, Inc.
  27,268   2,085
*
Apex Mining Co., Inc.
  1,427,000   27,802
*
Atlas Consolidated Mining & Development Corp.
  168,700   7,952
 
Ayala Corp.
  41,696   593,773
 
Ayala Land, Inc.
  1,782,360   1,450,838
 
Bank of the Philippine Islands
  205,975   333,968
 
BDO Unibank, Inc.
  372,978   1,083,170
 
Cebu Air, Inc.
  178,860   263,677
*
CEMEX Holdings Philippines, Inc.
  2,035,499   56,675
 
Century Pacific Food, Inc.
  606,500   178,818
 
Century Properties Group, Inc.
  500,000   4,785
 
Chelsea Logistics and Infrastructure Holdings Corp.
  112,100   11,142
 
China Banking Corp.
  311,037   153,590
 
China Lotsynergy Holdings Ltd.
  612,000   30,572
 
Cosco Capital, Inc.
  1,449,800   173,894
 
D&L Industries, Inc.
  1,238,200   214,661
 
DMCI Holdings, Inc.
  2,318,950   277,396
*
DoubleDragon Properties Corp.
  360,290   112,399
 
Eagle Cement Corp.
  227,300   56,698
*
East West Banking Corp.
  445,150   97,970
 
EEI Corp.
  357,100   58,875
*
Empire East Land Holdings, Inc.
  1,223,000   9,664
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
PHILIPPINES — (Continued)
 
Filinvest Development Corp.
  301,500   $76,914
 
Filinvest Land, Inc.
  5,902,000   168,952
 
First Gen Corp.
  693,400   276,504
 
First Philippine Holdings Corp.
  182,270   238,547
*
Global Ferronickel Holdings, Inc.
  762,228   21,894
 
Globe Telecom, Inc.
  11,220   417,416
 
GT Capital Holdings, Inc.
  20,139   266,995
*
Holcim Philippines, Inc.
  104,200   25,991
 
Integrated Micro-Electronics, Inc.
  339,960   46,820
 
International Container Terminal Services, Inc.
  194,400   495,609
 
JG Summit Holdings, Inc.
  490,170   672,465
 
Jollibee Foods Corp.
  121,930   457,502
*
Lepanto Consolidated Mining Co.
  1,834,182   3,520
 
Lopez Holdings Corp.
  1,438,900   105,158
 
MacroAsia Corp.
  96,450   17,310
 
Manila Electric Co.
  52,430   264,125
 
Manila Water Co., Inc.
  615,600   147,269
 
Max's Group, Inc.
  216,700   42,570
 
Megawide Construction Corp.
  345,474   98,979
 
Megaworld Corp.
  4,288,600   340,743
 
Metro Pacific Investments Corp.
  3,941,000   248,261
 
Metro Retail Stores Group, Inc.
  714,000   27,511
 
Metropolitan Bank & Trust Co.
  274,235   308,861
 
Nickel Asia Corp.
  2,019,400   113,490
 
Pepsi-Cola Products Philippines, Inc.
  737,300   26,809
 
Petron Corp.
  1,186,800   84,302
*
Philex Mining Corp.
  819,300   46,544
*
Philippine National Bank
  247,752   154,985
 
Philippine Stock Exchange, Inc. (The)
  5,304   18,539
 
Phoenix Petroleum Philippines, Inc.
  189,140   44,238
 
Pilipinas Shell Petroleum Corp.
  207,090   121,830
 
PLDT, Inc., Sponsored ADR
  14,727   282,317
 
PLDT, Inc.
  25,530   496,670
 
Puregold Price Club, Inc.
  524,830   393,026
*
PXP Energy Corp.
  151,300   25,614
 
RFM Corp.
  532,000   52,527
 
Rizal Commercial Banking Corp.
  339,756   133,293
 
Robinsons Land Corp.
  1,350,566   675,535
 
Robinsons Retail Holdings, Inc.
  186,020   282,788
 
San Miguel Food and Beverage, Inc.
  110,620   158,087
 
Security Bank Corp.
  89,986   312,148
 
Semirara Mining & Power Corp.
  667,880   288,097
 
Shakey's Pizza Asia Ventures, Inc.
  33,900   6,340
 
SM Investments Corp.
  20,980   399,019
 
SM Prime Holdings, Inc.
  1,423,012   1,084,946
 
SSI Group, Inc.
  945,000   41,222
 
STI Education Systems Holdings, Inc.
  1,881,000   22,655
*
Top Frontier Investment Holdings, Inc.
  10,142   37,258
 
Union Bank Of Philippines
  135,942   169,940
 
Universal Robina Corp.
  244,340   696,235
 
Vista Land & Lifescapes, Inc.
  3,374,400   464,946
 
Vistamalls, Inc.
  82,400   8,588
 
Wilcon Depot, Inc.
  451,200   167,284
TOTAL PHILIPPINES
      17,577,401
POLAND — (1.2%)
 
Agora SA
  20,446   65,229
*
Alior Bank SA
  48,853   334,055
 
Alumetal SA
  814   9,219
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
POLAND — (Continued)
 
Amica SA
  3,001   $113,432
*
AmRest Holdings SE
  22,525   280,210
 
Apator SA
  5,949   32,336
 
Asseco Poland SA
  6,094   100,358
 
Bank Handlowy w Warszawie SA
  8,857   128,828
*
Bank Millennium SA
  155,251   237,921
*
Bank Ochrony Srodowiska SA
  10,593   18,306
 
Bank Polska Kasa Opieki SA
  14,678   374,415
*
Bioton SA
  23,777   21,821
*
Boryszew SA
  46,467   53,321
#
Budimex SA
  5,973   284,232
 
CCC SA
  10,842   270,350
 
CD Projekt SA
  7,942   576,340
#*
Ciech SA
  23,153   231,603
 
ComArch SA
  897   47,401
 
Cyfrowy Polsat SA
  76,837   538,578
 
Develia SA
  192,214   135,608
*
Dino Polska SA
  15,010   628,373
 
Dom Development SA
  474   11,630
 
Echo Investment SA
  10,773   14,245
*
Enea SA
  137,066   253,607
*
Energa SA
  50,895   94,107
*
Fabryki Mebli Forte SA
  8,318   68,681
 
Famur SA
  102,921   84,685
 
Firma Oponiarska Debica SA
  1,289   27,416
*
Getin Noble Bank SA
  290,102   23,324
 
Globe Trade Centre SA
  71,094   172,970
*
Grupa Azoty SA
  21,745   139,432
*
Grupa Azoty Zaklady Chemiczne Police SA
  3,091   8,158
 
Grupa Kety SA
  6,769   632,668
 
Grupa Lotos SA
  62,036   1,231,134
 
ING Bank Slaski SA
  6,365   332,646
#
Inter Cars SA
  3,464   212,175
#
Jastrzebska Spolka Weglowa SA
  30,411   147,059
 
Kernel Holding SA
  38,613   468,238
*
KGHM Polska Miedz SA
  74,337   1,747,356
 
KRUK SA
  7,377   311,676
 
LPP SA
  341   743,101
 
Lubelski Wegiel Bogdanka SA
  7,028   54,045
*
mBank SA
  2,561   245,399
*
Netia SA
  82,111   96,411
 
Neuca SA
  1,064   107,034
*
Orange Polska SA
  164,642   297,058
*
PGE Polska Grupa Energetyczna SA
  169,960   301,712
 
PKP Cargo SA
  17,395   79,544
 
Polski Koncern Naftowy Orlen S.A.
  132,521   2,585,556
 
Polskie Gornictwo Naftowe i Gazownictwo SA
  260,064   241,385
 
Powszechna Kasa Oszczednosci Bank Polski SA
  126,348   1,113,463
 
Powszechny Zaklad Ubezpieczen SA
  126,069   1,306,180
 
Santander Bank Polska SA
  4,533   335,432
 
Stalexport Autostrady SA
  56,461   43,227
 
Stalprodukt SA
  658   33,615
#*
Tauron Polska Energia SA
  492,952   189,078
 
VRG SA
  79,132   79,250
 
Warsaw Stock Exchange
  11,916   128,520
 
Wawel SA
  227   38,540
*
Zespol Elektrowni Patnow Adamow Konin SA
  2,460   4,770
TOTAL POLAND
      18,486,463
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
RUSSIA — (1.8%)
 
Etalon Group P.L.C., GDR
  52,035   $119,712
 
Etalon Group P.L.C., GDR
  4,553   10,472
 
Gazprom PJSC, Sponsored ADR
  220,702   1,547,040
 
Gazprom PJSC, Sponsored ADR
  143,680   1,004,323
 
Globaltrans Investment P.L.C., GDR
  13,798   119,558
 
Globaltrans Investment P.L.C., GDR
  16,899   146,514
 
Lukoil PJSC, Sponsored ADR
  11,769   1,201,968
 
Lukoil PJSC, Sponsored ADR
  48,652   4,950,068
 
Magnitogorsk Iron & Steel Works PJSC, GDR
  47,794   437,143
*
Mail.Ru Group, Ltd., GDR
  1,271   29,905
*
Mail.Ru Group, Ltd., GDR
  14,910   350,981
*
Mechel PJSC, Sponsored ADR
  14,684   44,199
 
MMC Norilsk Nickel PJSC, ADR
  7,978   257,370
 
MMC Norilsk Nickel PJSC, ADR
  63,265   2,040,267
 
Mobile TeleSystems PJSC, Sponsored ADR
  64,172   653,913
 
Novatek PJSC, GDR
  4,918   885,240
 
Novolipetsk Steel PJSC, GDR
  21,109   456,026
 
Novolipetsk Steel PJSC, GDR
  2,526   54,663
 
O'Key Group SA, GDR
  6,334   7,912
 
PhosAgro PJSC, GDR
  24,221   307,254
 
PhosAgro PJSC, GDR
  2,510   31,852
 
POLYUS PJSC
  4,024   245,866
 
Ros Agro P.L.C., GDR
  818   8,356
 
Ros Agro P.L.C., GDR
  5,892   60,098
 
Rosneft Oil Co. PJSC, GDR
  125,858   943,180
 
Rosneft Oil Co. PJSC, GDR
  126,625   947,572
 
Rostelecom PJSC, Sponsored ADR
  15,006   122,749
 
Rostelecom PJSC, Sponsored ADR
  19,115   153,376
 
RusHydro PJSC, ADR
  240,058   243,458
 
Sberbank of Russia PJSC, Sponsored ADR
  289,118   4,611,728
 
Severstal PJSC, GDR
  34,964   491,619
 
Severstal PJSC, GDR
  11,396   160,684
 
Tatneft PJSC, Sponsored ADR
  14,051   1,008,874
 
Tatneft PJSC, Sponsored ADR
  26,173   1,878,567
 
TMK PJSC, GDR
  18,979   65,857
 
TMK PJSC, GDR
  13,562   47,042
 
VEON, Ltd.
  176,284   456,576
 
VTB Bank PJSC, GDR
  171,074   243,572
 
VTB Bank PJSC, GDR
  314,944   449,740
 
X5 Retail Group NV, GDR
  24,211   886,290
 
X5 Retail Group NV, GDR
  2,786   102,330
TOTAL RUSSIA
      27,783,914
SOUTH AFRICA — (5.6%)
 
Absa Group, Ltd.
  270,395   2,460,648
 
Adcorp Holdings, Ltd.
  61,325   48,905
 
Advtech, Ltd.
  323,333   230,768
 
AECI, Ltd.
  85,439   593,870
 
African Oxygen, Ltd.
  71,919   103,654
 
African Phoenix Investments, Ltd.
  282,387   7,510
 
African Rainbow Minerals, Ltd.
  83,223   932,142
 
Afrimat, Ltd.
  59,000   128,776
 
Alexander Forbes Group Holdings, Ltd.
  202,587   70,559
 
Allied Electronics Corp., Ltd., Class A
  134,456   203,201
 
Alviva Holdings, Ltd.
  81,663   76,817
 
Anglo American Platinum, Ltd.
  19,267   1,537,164
 
AngloGold Ashanti, Ltd., Sponsored ADR
  200,438   4,080,918
*
ArcelorMittal South Africa, Ltd.
  164,858   14,145
*
Ascendis Health, Ltd.
  107,869   7,152
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SOUTH AFRICA — (Continued)
 
Assore, Ltd.
  19,334   $311,469
 
Astral Foods, Ltd.
  35,227   469,533
*
Aveng, Ltd.
  2,154,110   2,871
 
AVI, Ltd.
  180,140   923,323
 
Barloworld, Ltd.
  156,320   965,981
 
Bid Corp., Ltd.
  87,955   1,940,454
 
Bidvest Group, Ltd. (The)
  130,939   1,801,451
*
Blue Label Telecoms, Ltd.
  273,933   49,929
#*
Brait SE
  163,021   88,784
 
Capitec Bank Holdings, Ltd.
  12,612   1,126,697
 
Cashbuild, Ltd.
  17,209   226,686
 
Caxton and CTP Publishers and Printers, Ltd.
  26,485   12,916
 
City Lodge Hotels, Ltd.
  18,594   88,051
 
Clicks Group, Ltd.
  122,955   1,983,790
 
Coronation Fund Managers, Ltd.
  121,351   336,834
 
Curro Holdings, Ltd.
  65,841   70,201
 
DataTec, Ltd.
  159,684   354,537
#
Dis-Chem Pharmacies, Ltd.
  81,127   138,513
 
Discovery, Ltd.
  124,893   969,292
*
enX Group, Ltd.
  10,265   6,870
*
EOH Holdings, Ltd.
  74,757   40,661
 
Exxaro Resources, Ltd.
  122,160   989,421
 
Famous Brands, Ltd.
  32,956   159,211
 
FirstRand, Ltd.
  1,332,731   5,107,614
#
Foschini Group, Ltd. (The)
  107,149   981,371
 
Gold Fields, Ltd.
  29,233   189,245
 
Gold Fields, Ltd., Sponsored ADR
  521,793   3,339,475
*
Grand Parade Investments, Ltd.
  131,391   28,470
*
Grindrod Shipping Holdings, Ltd.
  8,149   44,027
 
Grindrod, Ltd.
  298,451   95,624
*
Harmony Gold Mining Co., Ltd.
  113,948   384,653
*
Harmony Gold Mining Co., Ltd., Sponsored ADR
  152,302   511,735
 
Hudaco Industries, Ltd.
  23,402   158,006
 
Hulamin, Ltd.
  4,700   568
*
Impala Platinum Holdings, Ltd.
  253,150   2,378,751
 
Imperial Logistics, Ltd.
  117,688   395,825
 
Investec, Ltd.
  89,431   495,671
*
Invicta Holdings, Ltd.
  17,919   18,442
 
Italtile, Ltd.
  72,656   63,113
 
JSE, Ltd.
  25,655   186,540
 
KAP Industrial Holdings, Ltd.
  1,458,712   358,366
 
Kumba Iron Ore, Ltd.
  30,824   712,731
 
Lewis Group, Ltd.
  57,542   113,003
 
Liberty Holdings, Ltd.
  102,435   716,072
*
Long4Life, Ltd.
  284,968   70,806
#
Massmart Holdings, Ltd.
  77,310   273,502
 
Merafe Resources, Ltd.
  704,578   29,721
 
Metair Investments, Ltd.
  117,754   181,379
 
MiX Telematics, Ltd., Sponsored ADR
  8,700   113,796
 
Momentum Metropolitan Holdings
  729,985   972,553
 
Motus Holdings Ltd.
  76,006   406,912
 
Mpact, Ltd.
  120,100   123,629
 
Mr. Price Group, Ltd.
  100,584   1,133,283
#
MTN Group, Ltd.
  659,953   3,532,983
*
MultiChoice Group, Ltd.
  123,510   877,952
 
Murray & Roberts Holdings, Ltd.
  245,552   174,076
*
Nampak, Ltd.
  431,250   140,000
 
Naspers, Ltd., Class N
  26,906   4,364,059
 
Nedbank Group, Ltd.
  191,858   2,490,439
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SOUTH AFRICA — (Continued)
 
NEPI Rockcastle P.L.C.
  134,929   $1,102,938
*
Northam Platinum, Ltd.
  196,332   1,641,016
 
Novus Holdings, Ltd.
  10,396   1,534
 
Oceana Group, Ltd.
  42,817   180,119
 
Old Mutual, Ltd.
  287,754   330,689
*
Omnia Holdings, Ltd.
  110,305   244,675
 
Peregrine Holdings, Ltd.
  168,677   213,915
 
Pick n Pay Stores, Ltd.
  206,862   892,747
 
Pioneer Foods Group, Ltd.
  81,212   587,844
*
PPC, Ltd.
  1,097,019   167,838
 
PSG Group, Ltd.
  50,489   719,083
 
PSG Konsult, Ltd.
  75,149   45,225
 
Raubex Group, Ltd.
  103,405   163,401
 
RCL Foods, Ltd.
  19,226   15,406
 
Reunert, Ltd.
  120,607   489,184
 
Rhodes Food Group Pty, Ltd.
  55,653   60,340
*
Royal Bafokeng Platinum, Ltd.
  65,433   224,495
#
Sanlam, Ltd.
  420,377   2,058,407
 
Santam, Ltd.
  19,453   364,679
*
Sappi, Ltd.
  363,083   919,960
#
Sasol, Ltd.
  11,323   179,878
 
Sasol, Ltd., Sponsored ADR
  125,832   1,984,371
 
Shoprite Holdings, Ltd.
  156,208   1,212,420
#*
Sibanye Gold, Ltd.
  738,073   1,900,999
*
Sibanye Gold, Ltd., Sponsored ADR
  146,127   1,490,499
 
SPAR Group, Ltd. (The)
  80,598   1,025,510
 
Spur Corp., Ltd.
  43,547   69,495
*
Stadio Holdings, Ltd.
  55,206   6,867
 
Standard Bank Group, Ltd.
  530,319   5,531,631
*
Steinhoff International Holdings NV
  643,070   38,528
*
Super Group, Ltd.
  267,571   444,453
 
Telkom SA SOC, Ltd.
  192,751   411,066
 
Tiger Brands, Ltd.
  72,159   943,655
*
Tongaat Hulett, Ltd.
  82,116   27,104
 
Transaction Capital, Ltd.
  191,298   308,946
*
Trencor, Ltd.
  107,914   66,787
 
Truworths International, Ltd.
  238,548   696,491
 
Vodacom Group, Ltd.
  233,457   1,814,714
 
Wilson Bayly Holmes-Ovcon, Ltd.
  33,634   292,026
 
Woolworths Holdings, Ltd.
  439,556   1,288,237
TOTAL SOUTH AFRICA
      84,875,268
SOUTH KOREA — (14.4%)
*
3S Korea Co., Ltd.
  8,243   17,639
 
ABco Electronics Co., Ltd.
  3,678   15,816
*
Able C&C Co., Ltd.
  2,437   19,733
 
ABOV Semiconductor Co., Ltd.
  5,668   33,410
*
Abpro Bio Co., Ltd.
  45,652   24,883
#*
Ace Technologies Corp.
  7,562   50,743
*
Actoz Soft Co., Ltd.
  1,963   18,147
 
ADTechnology Co., Ltd.
  340   7,728
 
Advanced Nano Products Co., Ltd.
  1,159   15,096
 
Advanced Process Systems Corp.
  2,912   71,355
 
Aekyung Petrochemical Co., Ltd.
  8,325   54,407
 
AfreecaTV Co., Ltd.
  3,846   171,912
*
Agabang&Company
  12,948   46,119
 
Ahn-Gook Pharmaceutical Co., Ltd.
  3,399   29,613
 
Ahnlab, Inc.
  1,337   72,837
 
AJ Networks Co., Ltd.
  12,026   49,282
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SOUTH KOREA — (Continued)
*
Ajin Industrial Co., Ltd.
  15,410   $30,794
 
AK Holdings, Inc.
  3,176   80,138
 
ALUKO Co., Ltd.
  21,440   43,592
*
Aminologics Co., Ltd.
  18,012   25,685
 
Amorepacific Corp.
  4,231   654,888
 
AMOREPACIFIC Group
  3,731   223,177
*
Amotech Co., Ltd.
  2,859   61,810
*
Ananti, Inc.
  11,404   85,344
#*
Aprogen Healthcare & Games, Inc.
  25,054   15,451
*
Aprogen KIC, Inc.
  2,120   4,563
*
APS Holdings Corp.
  6,260   54,943
 
Asia Cement Co., Ltd.
  944   52,678
 
ASIA Holdings Co., Ltd.
  649   55,262
 
Asia Paper Manufacturing Co., Ltd.
  3,151   91,094
*
Asiana Airlines, Inc.
  56,407   212,913
 
Atinum Investment Co., Ltd.
  13,201   20,546
 
AUK Corp.
  21,315   36,283
 
Aurora World Corp.
  2,940   27,985
 
Austem Co., Ltd.
  16,074   27,215
 
Autech Corp.
  7,412   68,702
 
Avaco Co., Ltd.
  3,893   18,583
 
Baiksan Co., Ltd.
  6,975   42,316
*
Barun Electronics Co., Ltd.
  17,795   1,170
*
Barunson Entertainment & Arts Corp.
  15,922   23,762
 
Bcworld Pharm Co., Ltd.
  1,425   16,043
 
BGF Co., Ltd.
  17,273   73,635
 
BGF retail Co., Ltd.
  2,241   308,445
#*
BH Co., Ltd.
  12,339   213,741
*
Binex Co., Ltd.
  11,603   69,732
 
Binggrae Co., Ltd.
  2,078   91,920
 
BioSmart Co., Ltd.
  5,234   17,887
*
Biovill Co., Ltd.
  12,806   3,294
 
BIT Computer Co., Ltd.
  4,083   18,956
 
Bixolon Co., Ltd.
  6,510   29,097
*
Bluecom Co., Ltd.
  6,343   19,794
 
BNK Financial Group, Inc.
  69,674   392,972
 
Boditech Med, Inc.
  3,424   39,579
 
BoKwang Industry Co., Ltd.
  7,220   27,212
 
Bolak Co., Ltd.
  8,270   15,250
 
Bookook Securities Co., Ltd.
  2,445   41,919
*
Boryung Medience Co., Ltd.
  4,697   51,204
*
Bosung Power Technology Co., Ltd.
  12,851   20,616
*
Brain Contents Co., Ltd.
  63,853   32,812
*
Bubang Co., Ltd.
  6,068   12,191
 
Bukwang Pharmaceutical Co., Ltd.
  6,987   79,563
 
Busan City Gas Co., Ltd.
  1,934   55,969
 
BYC Co., Ltd.
  105   19,587
*
BYON Co., Ltd.
  24,096   23,408
 
Byucksan Corp.
  25,334   35,372
#*
CammSys Corp.
  22,883   60,249
 
Capro Corp.
  21,846   54,446
*
Caregen Co., Ltd.
  1,154   27,776
 
Cell Biotech Co., Ltd.
  1,443   20,091
*
Celltrion Pharm, Inc.
  2,403   82,818
 
Changhae Ethanol Co., Ltd.
  3,245   33,692
*
Charm Engineering Co., Ltd.
  22,386   27,147
 
Cheil Worldwide, Inc.
  23,058   407,662
 
Chemtronics Co., Ltd.
  3,054   38,737
 
Cheryong Electric Co., Ltd.
  2,732   12,400
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SOUTH KOREA — (Continued)
 
Chinyang Holdings Corp.
  14,183   $29,399
#*
Choa Pharmaceutical Co.
  4,050   15,619
 
Chokwang Paint, Ltd.
  4,183   18,106
 
Chong Kun Dang Pharmaceutical Corp.
  2,829   218,563
 
Chongkundang Holdings Corp.
  1,038   97,001
 
Choong Ang Vaccine Laboratory
  2,018   30,199
#*
Chorokbaem Media Co., Ltd.
  12,910   13,632
 
Chosun Refractories Co., Ltd.
  661   44,293
 
Chungdahm Learning, Inc.
  3,558   51,617
 
CJ CGV Co., Ltd.
  7,018   152,751
 
CJ CheilJedang Corp.
  4,038   796,903
 
CJ Corp.
  8,656   596,415
 
CJ ENM Co., Ltd.
  4,732   541,239
 
CJ Freshway Corp.
  3,084   66,097
*
CJ Logistics Corp.
  3,445   418,572
*
CJ Seafood Corp.
  9,592   19,649
 
CKD Bio Corp.
  1,789   41,972
#
Clean & Science Co., Ltd.
  2,765   68,839
*
CLIO Cosmetics Co., Ltd.
  1,429   28,052
*
CODI-M Co., Ltd.
  16,364   6,791
 
Com2uSCorp
  2,960   249,856
 
Commax Co., Ltd.
  3,567   11,572
*
Coreana Cosmetics Co., Ltd.
  6,531   25,246
 
Cosmax BTI, Inc.
  1,847   18,152
 
COSMAX NBT Inc.
  4,988   27,537
 
Cosmax, Inc.
  2,440   137,929
 
Cosmecca Korea Co., Ltd.
  1,651   15,008
#*
CosmoAM&T Co., Ltd.
  5,719   48,692
*
Cosmochemical Co., Ltd.
  5,817   42,564
*
COSON Co., Ltd.
  7,465   35,569
 
COWELL FASHION Co., Ltd.
  17,951   76,735
 
Crown Confectionery Co., Ltd.
  1,598   10,847
 
CROWNHAITAI Holdings Co., Ltd.
  4,773   40,092
*
CrucialTec Co., Ltd.
  32,411   23,297
 
CS Wind Corp.
  913   27,906
*
CTC BIO, Inc.
  3,110   16,123
*
CTGen Co., Ltd.
  9,318   14,561
 
Cuckoo Holdings Co., Ltd.
  516   45,559
 
Cuckoo Homesys Co., Ltd.
  1,914   60,751
*
Curexo, Inc.
  3,543   13,680
*
Curo Co., Ltd.
  32,241   26,821
 
Cymechs, Inc.
  2,466   23,815
 
D.I Corp.
  12,993   35,568
*
DA Technology Co., Ltd.
  7,655   6,594
 
Dae Dong Industrial Co., Ltd.
  10,164   44,002
 
Dae Han Flour Mills Co., Ltd.
  671   76,099
 
Dae Hwa Pharmaceutical Co., Ltd.
  3,709   34,129
 
Dae Hyun Co., Ltd.
  11,147   20,956
 
Dae Won Kang Up Co., Ltd.
  19,618   54,893
*
Dae Young Packaging Co., Ltd.
  31,775   37,099
 
Daea TI Co., Ltd.
  10,645   41,139
 
Daechang Co., Ltd.
  19,501   21,072
 
Daechang Forging Co., Ltd.
  807   19,137
 
Daehan Steel Co., Ltd.
  7,550   34,517
 
Dae-Il Corp.
  12,271   19,484
*
Daejoo Electronic Materials Co., Ltd.
  1,884   28,722
 
Daekyo Co., Ltd.
  8,911   42,518
 
Daelim B&Co Co., Ltd.
  4,387   14,522
*
Daelim C&S Co., Ltd.
  3,529   19,746
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SOUTH KOREA — (Continued)
 
Daelim Industrial Co., Ltd.
  14,003   $940,907
*
Daemyung Corp. Co., Ltd.
  22,117   25,524
 
Daeryuk Can Co., Ltd.
  5,712   19,254
 
Daesang Corp.
  12,237   213,451
#
Daesang Holdings Co., Ltd.
  8,544   42,165
 
Daesung Energy Co., Ltd.
  2,270   9,497
*
Daesung Industrial Co., Ltd.
  9,382   25,907
*
Daewon Cable Co., Ltd.
  22,526   19,722
 
Daewon Media Co., Ltd.
  2,653   13,945
 
Daewon Pharmaceutical Co., Ltd.
  5,892   77,775
 
Daewon San Up Co., Ltd.
  6,131   27,629
*
Daewoo Electronic Components Co., Ltd.
  17,408   33,452
*
Daewoo Engineering & Construction Co., Ltd.
  85,948   310,614
*
Daewoo Shipbuilding & Marine Engineering Co., Ltd.
  16,903   346,795
 
Daewoong Co., Ltd.
  11,899   113,553
 
Daewoong Pharmaceutical Co., Ltd.
  831   81,376
 
Daihan Pharmaceutical Co., Ltd.
  2,228   57,320
 
Daishin Securities Co., Ltd.
  19,883   175,751
*
Danal Co., Ltd.
  18,356   45,973
 
Danawa Co., Ltd.
  2,714   54,450
 
Daou Data Corp.
  8,922   58,735
 
Daou Technology, Inc.
  15,049   223,770
*
Dasan Networks, Inc.
  7,284   45,689
 
Dawonsys Co., Ltd.
  4,711   64,980
*
Dayou Automotive Seat Technology Co., Ltd.
  37,134   25,799
*
Dayou Plus Co., Ltd.
  20,668   12,008
 
DB Financial Investment Co., Ltd.
  12,275   39,568
 
DB HiTek Co., Ltd.
  21,356   478,172
 
DB Insurance Co., Ltd.
  29,085   1,029,460
*
DB, Inc.
  53,148   34,983
 
DCM Corp.
  1,241   12,174
 
Dentium Co., Ltd.
  2,353   95,341
*
Deutsch Motors, Inc.
  11,723   77,874
 
Development Advance Solution Co., Ltd.
  6,743   31,405
 
DGB Financial Group, Inc.
  88,864   481,112
 
DHP Korea Co., Ltd.
  4,848   30,899
 
DI Dong Il Corp.
  717   43,149
 
Digital Chosun Co., Ltd.
  13,524   24,270
 
Digital Daesung Co., Ltd.
  3,077   19,404
 
Digital Power Communications Co., Ltd.
  9,921   48,505
*
DIO Corp.
  2,153   67,853
 
Display Tech Co., Ltd.
  696   2,080
 
DMS Co., Ltd.
  10,092   43,542
 
DNF Co., Ltd.
  4,597   37,232
 
Dohwa Engineering Co., Ltd.
  1,622   10,792
 
Dong A Eltek Co., Ltd.
  6,688   41,236
 
Dong Ah Tire & Rubber Co., Ltd.
  2,864   27,853
 
Dong-A ST Co., Ltd.
  955   74,792
 
Dong-Ah Geological Engineering Co., Ltd.
  4,846   64,042
 
Dongbu Corp.
  3,827   26,753
 
Dongil Industries Co., Ltd.
  730   32,435
 
Dongjin Semichem Co., Ltd.
  17,598   254,050
 
DongKook Pharmaceutical Co., Ltd.
  1,511   110,270
 
Dongkuk Industries Co., Ltd.
  19,628   39,550
*
Dongkuk Steel Mill Co., Ltd.
  37,868   154,579
 
Dongkuk Structures & Construction Co., Ltd.
  16,680   31,122
 
Dongsuh Cos., Inc.
  8,742   118,698
 
DONGSUNG Corp.
  11,591   44,182
*
Dongsung Finetec Co., Ltd.
  5,363   42,961
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SOUTH KOREA — (Continued)
 
Dongwha Enterprise Co., Ltd.
  2,550   $35,897
 
Dongwha Pharm Co., Ltd.
  12,193   80,632
 
Dongwon Development Co., Ltd.
  30,221   98,463
 
Dongwon F&B Co., Ltd.
  673   117,691
 
Dongwon Industries Co., Ltd.
  898   151,769
 
Dongwon Systems Corp.
  3,041   63,953
 
Dongyang E&P, Inc.
  3,315   43,144
*
Dongyang Steel Pipe Co., Ltd.
  52,604   42,713
 
Doosan Bobcat, Inc.
  16,993   436,946
 
Doosan Co., Ltd.
  2,583   134,945
*
Doosan Fuel Cell Co., Ltd.
  8,641   53,288
*
Doosan Heavy Industries & Construction Co., Ltd.
  79,422   359,548
#*
Doosan Infracore Co., Ltd.
  84,464   344,040
*
Doosan Solus Co., Ltd.
  4,763   102,399
 
DoubleUGames Co., Ltd.
  4,276   167,529
 
Douzone Bizon Co., Ltd.
  7,423   556,322
 
DRB Holding Co., Ltd.
  3,863   16,598
*
Dream Security Co., Ltd.
  7,139   15,460
*
Dreamus Co.
  2,691   12,369
 
DSR Wire Corp.
  1,764   6,330
 
DTR Automotive Corp.
  2,675   64,834
*
Duk San Neolux Co., Ltd.
  2,327   54,295
 
DY Corp.
  8,382   35,149
 
DY POWER Corp.
  3,899   32,851
 
e Tec E&C, Ltd.
  1,166   61,746
 
E1 Corp.
  1,823   67,688
 
Eagon Holdings Co., Ltd.
  17,345   36,120
 
Easy Bio, Inc.
  25,580   97,639
*
EcoBio Holdings Co., Ltd.
  2,985   11,413
#
Ecopro Co., Ltd.
  7,642   128,829
 
e-Credible Co., Ltd.
  1,402   21,729
 
Eehwa Construction Co., Ltd.
  2,332   8,112
*
EG Corp.
  493   3,588
*
Ehwa Technologies Information Co., Ltd.
  240,455   42,250
 
Elcomtec Co., Ltd.
  9,977   15,989
*
Elentec Co., Ltd.
  6,192   24,731
 
e-LITECOM Co., Ltd.
  5,790   22,707
 
E-MART, Inc.
  5,539   510,581
*
EMKOREA Co., Ltd.
  8,717   27,530
 
EM-Tech Co., Ltd.
  7,200   54,301
*
EMW Co., Ltd.
  3,658   1,600
#
ENF Technology Co., Ltd.
  7,754   179,032
 
Eo Technics Co., Ltd.
  661   57,429
 
Estechpharma Co., Ltd.
  2,989   24,413
#
Eugene Corp.
  28,810   98,992
 
Eugene Investment & Securities Co., Ltd.
  42,469   82,395
 
Eugene Technology Co., Ltd.
  3,718   52,094
*
Eusu Holdings Co., Ltd.
  6,956   36,194
 
EVERDIGM Corp.
  5,254   18,210
*
Exem Co., Ltd.
  3,347   8,029
 
F&F Co., Ltd.
  2,309   194,204
 
Farmsco
  9,968   33,524
*
FarmStory Co., Ltd.
  32,468   26,685
*
Feelingk Co., Ltd.
  20,694   22,152
*
Feelux Co., Ltd.
  12,210   62,817
 
Fila Holdings Corp.
  16,732   612,579
 
Fine Semitech Corp.
  3,149   21,858
*
FN Republic Co., Ltd.
  20,555   12,616
*
FNC Entertainment Co., Ltd.
  1,512   9,626
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SOUTH KOREA — (Continued)
*
Foosung Co., Ltd.
  18,742   $130,542
*
Fourth-Link, Inc.
  6,152   1,413
 
Fursys, Inc.
  1,797   43,033
 
Gabia, Inc.
  4,174   31,428
*
Gamevil, Inc.
  1,925   44,637
 
Gaon Cable Co., Ltd.
  1,471   24,536
*
Genie Music Corp.
  5,644   14,315
*
Gigalane Co., Ltd.
  11,619   14,352
 
GMB Korea Corp.
  4,841   21,173
*
GNCO Co., Ltd.
  25,842   29,692
 
GOLFZON Co., Ltd.
  1,742   81,924
 
Golfzon Newdin Holdings Co., Ltd.
  11,819   35,333
*
Good People Co., Ltd.
  5,076   10,596
 
Green Cross Cell Corp.
  1,619   50,356
 
Green Cross Corp.
  1,542   158,147
 
Green Cross Holdings Corp.
  7,694   131,258
 
GS Engineering & Construction Corp.
  30,868   716,306
 
GS Global Corp.
  28,138   46,409
 
GS Holdings Corp.
  30,813   1,174,480
 
GS Home Shopping, Inc.
  1,367   148,975
 
GS Retail Co., Ltd.
  14,230   471,414
*
G-SMATT GLOBAL Co., Ltd.
  19,124   3,180
 
Gwangju Shinsegae Co., Ltd.
  320   43,618
*
GY Commerce Co., Ltd.
  6,187   2,190
 
HAESUNG DS Co., Ltd.
  5,158   76,150
 
Haimarrow Food Service Co., Ltd.
  34,351   79,206
 
Haitai Confectionery & Foods Co., Ltd.
  2,525   14,668
*
Halla Corp.
  12,823   28,667
 
Halla Holdings Corp.
  4,229   147,911
 
Han Kuk Carbon Co., Ltd.
  7,373   46,548
 
Hana Financial Group, Inc.
  68,137   1,882,997
 
Hana Micron, Inc.
  11,094   55,920
#
Hana Tour Service, Inc.
  4,480   167,077
*
Hanall Biopharma Co., Ltd.
  3,829   80,405
 
Hancom MDS, Inc.
  2,533   23,538
 
Hancom, Inc.
  8,299   76,595
 
Handok, Inc.
  3,495   67,830
 
Handsome Co., Ltd.
  7,877   179,851
 
Hanil Cement Co., Ltd.
  1,072   68,979
 
Hanil Holdings Co., Ltd.
  878   27,864
 
Hanil Hyundai Cement Co., Ltd.
  500   11,789
*
Hanil Vacuum Co., Ltd.
  25,230   18,875
*
Hanjin Heavy Industries & Construction Co., Ltd.
  9,167   32,878
*
Hanjin Heavy Industries & Construction Holdings Co., Ltd.
  6,254   12,313
 
Hanjin Kal Corp.
  2,766   94,722
#
Hanjin Transportation Co., Ltd.
  4,518   124,206
 
Hankook Cosmetics Manufacturing Co., Ltd.
  456   11,209
 
Hankook Shell Oil Co., Ltd.
  457   114,569
 
Hankook Tire & Technology Co., Ltd.
  36,260   865,265
 
Hankuk Paper Manufacturing Co., Ltd.
  2,272   30,856
 
Hanmi Semiconductor Co., Ltd.
  7,872   56,547
 
HanmiGlobal Co., Ltd.
  3,314   23,382
#
Hanon Systems
  45,925   402,432
 
Hans Biomed Corp.
  1,476   27,966
 
Hansae Co., Ltd.
  7,886   99,316
 
Hansae Yes24 Holdings Co., Ltd.
  6,281   32,908
 
Hanshin Construction
  5,084   57,259
 
Hanshin Machinery Co.
  11,420   14,343
 
Hansol Chemical Co., Ltd.
  3,688   335,222
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SOUTH KOREA — (Continued)
*
Hansol Holdings Co., Ltd.
  24,136   $70,382
 
Hansol HomeDeco Co., Ltd.
  40,610   35,206
 
Hansol Paper Co., Ltd.
  11,350   135,111
#*
Hansol Technics Co., Ltd.
  16,389   118,581
 
Hanssem Co., Ltd.
  2,045   121,152
 
Hanwha General Insurance Co., Ltd.
  39,443   76,944
*
Hanwha Investment & Securities Co., Ltd.
  60,940   97,732
 
Hanwha Life Insurance Co., Ltd.
  161,217   274,589
*
Hanwha Solutions Corp.
  27,823   386,014
 
Hanyang Eng Co., Ltd.
  6,152   60,117
 
Hanyang Securities Co., Ltd.
  5,181   41,528
*
Harim Co., Ltd.
  8,916   19,196
 
Harim Holdings Co., Ltd.
  11,610   75,052
 
HB Technology Co., Ltd.
  13,027   28,220
 
HDC Holdings Co., Ltd.
  21,279   177,427
 
HDC Hyundai Engineering Plastics Co., Ltd.
  9,569   33,734
 
HDC I-Controls Co., Ltd.
  2,438   19,102
#*
Heung-A Shipping Co., Ltd.
  43,735   14,621
*
Heungkuk Fire & Marine Insurance Co., Ltd.
  34,883   85,497
*
Hisem Co., Ltd.
  6,201   33,809
 
HJ Magnolia Yongpyong Hotel & Resort Corp.
  12,765   56,232
#*
HLB, Inc.
  4,624   350,696
*
Homecast Co., Ltd.
  8,164   26,542
 
Hotel Shilla Co., Ltd.
  10,778   778,500
 
HS Industries Co., Ltd.
  19,339   181,728
 
HS R&A Co., Ltd.
  24,330   41,821
*
HSD Engine Co., Ltd.
  10,450   35,154
 
Huchems Fine Chemical Corp.
  8,498   138,439
*
Hugel, Inc.
  293   106,764
*
Humax Co., Ltd.
  10,256   39,059
 
Humedix Co., Ltd.
  1,789   29,806
 
Huons Co., Ltd.
  2,591   102,833
 
Huons Global Co., Ltd.
  2,020   50,991
 
Husteel Co., Ltd.
  2,394   18,061
 
Huvis Corp.
  8,020   37,972
 
Huvitz Co., Ltd.
  6,177   54,262
 
Hwa Shin Co., Ltd.
  11,649   32,173
 
Hwacheon Machine Tool Co., Ltd.
  515   16,623
*
Hwajin Co., Ltd.
  13,178   6,344
 
Hwangkum Steel & Technology Co., Ltd.
  5,147   28,300
 
Hwaseung Enterprise Co., Ltd.
  7,468   97,971
 
HwaSung Industrial Co., Ltd.
  4,660   42,076
 
Hy-Lok Corp.
  6,254   81,536
*
Hyosung Advanced Materials Corp.
  1,594   131,906
 
Hyosung Chemical Corp.
  1,136   111,483
 
Hyosung Corp.
  2,263   134,233
 
Hyosung TNC Co., Ltd.
  1,540   211,865
*
Hyulim ROBOT Co., Ltd.
  21,742   17,278
*
Hyundai Bioscience Co., Ltd.
  6,711   65,140
 
Hyundai BNG Steel Co., Ltd.
  6,287   43,244
 
Hyundai Construction Equipment Co., Ltd.
  6,858   150,966
 
Hyundai Corp Holdings, Inc.
  2,602   22,452
 
Hyundai Corp.
  4,149   54,486
 
Hyundai Department Store Co., Ltd.
  3,764   244,318
*
Hyundai Electric & Energy System Co., Ltd.
  10,097   82,092
*
Hyundai Elevator Co., Ltd.
  3,340   167,612
 
Hyundai Engineering & Construction Co., Ltd.
  9,592   302,823
 
Hyundai Glovis Co., Ltd.
  7,362   903,016
 
Hyundai Greenfood Co., Ltd.
  24,770   212,790
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SOUTH KOREA — (Continued)
 
Hyundai Heavy Industries Holdings Co., Ltd.
  1,838   $418,285
 
Hyundai Home Shopping Network Corp.
  2,704   169,731
 
Hyundai Hy Communications & Networks Co., Ltd.
  21,018   66,969
 
Hyundai Livart Furniture Co., Ltd.
  8,375   77,390
 
Hyundai Marine & Fire Insurance Co., Ltd.
  39,083   716,975
*
Hyundai Merchant Marine Co., Ltd.
  41,380   119,412
 
Hyundai Mipo Dockyard Co., Ltd.
  7,942   272,658
 
Hyundai Mobis Co., Ltd.
  8,163   1,560,958
 
Hyundai Motor Co.
  24,343   2,527,099
 
Hyundai Motor Securities Co., Ltd.
  10,101   79,642
*
Hyundai Rotem Co., Ltd.
  9,351   109,603
 
Hyundai Steel Co.
  18,749   439,780
 
Hyundai Telecommunication Co., Ltd.
  2,596   16,246
 
Hyundai Wia Corp.
  3,832   135,979
 
HyVision System, Inc.
  2,577   25,799
 
i3system, Inc.
  1,104   18,270
 
ICD Co., Ltd.
  4,336   55,799
 
IDIS Holdings Co., Ltd.
  3,560   34,707
*
IHQ, Inc.
  16,278   21,790
 
Iljin Diamond Co., Ltd.
  1,220   27,120
 
Iljin Display Co., Ltd.
  411   1,990
*
Iljin Electric Co., Ltd.
  9,122   24,290
 
Iljin Holdings Co., Ltd.
  8,430   32,099
*
Iljin Materials Co., Ltd.
  4,124   163,185
 
Ilshin Spinning Co., Ltd.
  690   39,062
*
Ilyang Pharmaceutical Co., Ltd.
  3,037   60,733
*
IM Co., Ltd.
  9,895   8,630
 
iMarketKorea, Inc.
  8,309   64,502
 
InBody Co., Ltd.
  5,197   90,530
*
Incross Co., Ltd.
  620   14,813
*
Industrial Bank of Korea
  92,539   829,020
*
Infinitt Healthcare Co., Ltd.
  3,095   14,871
 
INITECH Co., Ltd.
  6,800   30,700
*
InkTec Co., Ltd.
  3,256   9,296
 
Innocean Worldwide, Inc.
  1,735   102,814
*
InnoWireless, Inc.
  1,034   25,731
*
Innox Advanced Materials Co., Ltd.
  3,520   137,810
*
Inscobee, Inc.
  29,125   67,917
*
Insun ENT Co., Ltd.
  3,566   21,747
 
Intelligent Digital Integrated Security Co., Ltd.
  1,165   22,250
*
Interflex Co., Ltd.
  1,816   19,832
 
Interojo Co., Ltd.
  3,605   81,238
 
Interpark Corp.
  4,000   15,499
 
Interpark Holdings Corp.
  25,238   42,329
 
INTOPS Co., Ltd.
  9,595   88,031
 
INVENIA Co., Ltd.
  3,944   7,824
 
Inzi Controls Co., Ltd.
  7,005   27,249
 
INZI Display Co., Ltd.
  5,255   8,563
*
Iones Co., Ltd.
  3,976   21,941
 
IS Dongseo Co., Ltd.
  6,554   156,901
 
ISC Co., Ltd.
  4,726   46,611
 
i-SENS, Inc.
  4,238   81,159
 
ISU Chemical Co., Ltd.
  4,707   36,049
 
IsuPetasys Co., Ltd.
  8,407   26,341
 
It's Hanbul Co., Ltd.
  1,615   23,602
 
J.ESTINA Co., Ltd.
  5,394   15,330
 
Jahwa Electronics Co., Ltd.
  8,314   68,833
 
JASTECH, Ltd.
  2,242   21,170
#*
Jayjun Cosmetic Co., Ltd.
  9,047   29,541
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SOUTH KOREA — (Continued)
 
JB Financial Group Co., Ltd.
  92,263   $393,457
 
JC Hyun System, Inc.
  6,531   25,367
*
Jcontentree Corp.
  2,465   79,942
*
Jeju Semiconductor Corp.
  8,133   24,895
 
Jejuair Co., Ltd.
  4,282   78,074
*
Jeongsan Aikang Co., Ltd.
  3,986   6,606
 
Jinsung T.E.C.
  7,638   39,290
 
JLS Co., Ltd.
  3,636   22,694
#*
JNK Heaters Co., Ltd.
  4,515   15,438
 
JS Corp.
  1,923   17,024
 
Jusung Engineering Co., Ltd.
  15,257   86,864
 
JVM Co., Ltd.
  850   19,127
 
JW Life Science Corp.
  3,290   52,253
 
JYP Entertainment Corp.
  9,379   191,265
*
Kakao Corp.
  3,374   444,759
*
Kanglim Co., Ltd.
  7,932   12,213
 
Kangnam Jevisco Co., Ltd.
  1,835   29,557
 
KAON Media Co., Ltd.
  4,460   26,281
*
KB Financial Group, Inc.
  65,852   2,422,410
*
KB Financial Group, Inc., ADR
  39,797   1,453,784
*
KB Metal Co., Ltd.
  9,168   11,627
 
KC Co., Ltd.
  5,083   67,698
 
KC Cottrell Co., Ltd.
  626   3,456
 
KC Green Holdings Co., Ltd.
  7,765   31,347
 
KC Tech Co., Ltd.
  3,975   67,258
 
KCC Corp.
  1,289   215,981
 
KCC Engineering & Construction Co., Ltd.
  4,872   24,400
*
KCC Glass Corp.
  1,211   34,649
*
KEC Corp.
  46,114   37,617
 
KEPCO Engineering & Construction Co., Inc.
  2,230   36,451
 
KEPCO Plant Service & Engineering Co., Ltd.
  6,401   200,545
 
Keyang Electric Machinery Co., Ltd.
  4,824   11,461
#*
KEYEAST Co., Ltd.
  36,566   92,891
 
KG Chemical Corp.
  4,943   48,980
 
KG Eco Technology Service Co., Ltd.
  10,678   27,026
 
Kginicis Co., Ltd.
  9,067   133,333
 
KGMobilians Co., Ltd.
  6,433   30,170
#*
KH Vatec Co., Ltd.
  2,618   42,975
 
Kia Motors Corp.
  35,291   1,200,346
 
KINX, Inc.
  817   31,102
 
KISCO Corp.
  10,871   39,469
 
KISCO Holdings Co., Ltd.
  4,668   46,791
 
Kishin Corp.
  757   2,357
 
KISWIRE, Ltd.
  4,002   60,023
#*
Kiwi Media Group Co., Ltd.
  162,075   15,298
 
KIWOOM Securities Co., Ltd.
  5,934   347,258
 
KL-Net Corp.
  4,538   8,275
 
KM Corp.
  1,902   28,672
 
KMH Co., Ltd.
  9,025   40,396
 
Kocom Co., Ltd.
  4,026   20,301
*
Kodaco Co., Ltd.
  19,992   13,807
 
Koentec Co., Ltd.
  6,526   46,499
 
Koh Young Technology, Inc.
  3,413   260,320
 
Kolmar BNH Co., Ltd.
  4,641   102,182
 
Kolmar Korea Co., Ltd.
  3,294   115,256
 
Kolmar Korea Holdings Co., Ltd.
  3,790   66,794
 
Kolon Corp.
  4,176   53,217
 
Kolon Global Corp.
  4,114   30,126
 
Kolon Industries, Inc.
  9,272   324,867
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SOUTH KOREA — (Continued)
 
Kolon Plastic, Inc.
  3,778   $12,597
 
KoMiCo, Ltd.
  2,410   53,995
*
KONA I Co., Ltd.
  3,617   46,233
 
Korea Asset In Trust Co., Ltd.
  27,658   67,870
 
Korea Autoglass Corp.
  5,235   65,424
 
Korea Cast Iron Pipe Industries Co., Ltd.
  4,507   35,579
*
Korea Circuit Co., Ltd.
  3,884   31,857
*
Korea District Heating Corp.
  821   28,624
*
Korea Electric Power Corp., Sponsored ADR
  58,225   615,438
*
Korea Electric Power Corp.
  14,762   312,289
 
Korea Electric Terminal Co., Ltd.
  3,484   110,940
 
Korea Electronic Certification Authority, Inc.
  4,271   14,218
 
Korea Electronic Power Industrial Development Co., Ltd.
  5,312   14,687
#*
Korea Flange Co., Ltd.
  11,755   18,857
 
Korea Gas Corp.
  10,715   290,346
*
Korea Information & Communications Co., Ltd.
  7,042   44,505
 
Korea Information Certificate Authority, Inc.
  3,853   11,454
 
Korea Investment Holdings Co., Ltd.
  18,296   1,006,293
*
Korea Line Corp.
  8,378   142,642
*
Korea Materials & Analysis Corp.
  500   4,305
 
Korea Petrochemical Ind Co., Ltd.
  2,253   173,994
 
Korea Real Estate Investment & Trust Co., Ltd.
  102,201   171,319
*
Korea Shipbuilding & Offshore Engineering Co., Ltd.
  5,111   481,606
 
Korea Zinc Co., Ltd.
  1,983   629,073
 
Korean Air Lines Co., Ltd.
  31,301   613,662
 
Korean Reinsurance Co.
  46,635   336,129
 
Kortek Corp.
  6,043   60,461
*
Kossen Co., Ltd.
  17,839   17,271
 
KPX Chemical Co., Ltd.
  1,121   50,394
*
KSIGN Co., Ltd.
  12,339   11,146
 
KSS LINE, Ltd.
  8,802   51,367
#*
KT Corp., Sponsored ADR
  12,498   130,229
*
KT Hitel Co., Ltd.
  7,684   32,706
 
KT Skylife Co., Ltd.
  14,019   101,636
 
KT Submarine Co., Ltd.
  5,549   18,704
*
KTB Investment & Securities Co., Ltd.
  28,284   50,251
 
KTCS Corp.
  20,566   35,411
 
Ktis Corp.
  11,445   20,032
 
Kukbo Design Co., Ltd.
  2,197   29,698
 
Kukdo Chemical Co., Ltd.
  1,531   52,928
 
Kumho Industrial Co., Ltd.
  2,129   16,769
 
Kumho Petrochemical Co., Ltd.
  9,898   535,900
*
Kumho Tire Co., Inc.
  27,295   87,142
 
Kumkang Kind Co., Ltd.
  12,140   34,671
*
Kwang Myung Electric Co., Ltd.
  10,184   18,065
 
Kyeryong Construction Industrial Co., Ltd.
  4,158   62,020
 
Kyobo Securities Co., Ltd.
  11,174   80,927
 
Kyongbo Pharmaceutical Co., Ltd.
  4,877   33,992
 
Kyung Dong Navien Co., Ltd.
  2,219   75,666
 
Kyungbang Co., Ltd.
  6,289   48,037
 
KyungDong City Gas Co., Ltd.
  1,501   23,267
 
KyungDong Invest Co., Ltd.
  487   15,479
#
Kyung-In Synthetic Corp.
  10,322   71,631
 
L&F Co., Ltd.
  4,671   88,095
#*
LB Semicon, Inc.
  21,559   137,918
 
LEADCORP, Inc. (The)
  9,025   44,927
*
Leaders Cosmetics Co., Ltd.
  3,392   13,962
 
LEENO Industrial, Inc.
  4,357   294,793
*
Leenos Corp.
  7,864   8,526
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SOUTH KOREA — (Continued)
 
LF Corp.
  9,746   $121,785
 
LG Chem, Ltd.
  6,743   1,880,215
 
LG Corp.
  16,420   964,940
*
LG Display Co., Ltd., ADR
  158,872   994,539
*
LG Display Co., Ltd.
  75,877   961,129
 
LG Electronics, Inc.
  54,193   2,955,084
 
LG Hausys, Ltd.
  3,869   157,823
 
LG HelloVision Co., Ltd.
  15,905   67,690
 
LG Household & Health Care, Ltd.
  2,150   2,248,730
 
LG Innotek Co., Ltd.
  7,418   924,439
 
LG International Corp.
  12,807   129,046
 
LG Uplus Corp.
  51,717   572,428
 
Lion Chemtech Co., Ltd.
  3,023   19,256
*
LIS Co., Ltd.
  2,810   24,006
 
LMS Co., Ltd.
  3,047   37,517
 
Lock & Lock Co., Ltd.
  7,507   87,210
#*
LONGTU KOREA, Inc.
  2,910   13,072
 
LOT Vacuum Co., Ltd.
  4,746   36,651
 
Lotte Chemical Corp.
  2,924   458,640
 
Lotte Confectionery Co., Ltd.
  147   16,878
 
Lotte Corp.
  6,528   191,551
 
LOTTE Fine Chemical Co., Ltd.
  8,569   277,299
 
Lotte Food Co., Ltd.
  253   76,026
 
LOTTE Himart Co., Ltd.
  5,554   123,630
*
Lotte Non-Life Insurance Co., Ltd.
  39,836   55,964
 
Lotte Shopping Co., Ltd.
  3,054   293,221
*
Lotte Tour Development Co., Ltd.
  3,991   42,624
 
LS Corp.
  5,622   185,530
 
LS Industrial Systems Co., Ltd.
  5,301   231,686
*
Lumens Co., Ltd.
  11,802   23,585
*
Lutronic Corp.
  2,913   18,074
*
LVMC Holdings
  18,095   61,526
#
Macquarie Korea Infrastructure Fund
  100,830   981,155
 
Maeil Holdings Co., Ltd.
  5,094   43,725
#*
Magicmicro Co., Ltd.
  5,200   2,689
#
Mando Corp.
  17,448   485,045
*
Maniker Co., Ltd.
  14,943   9,676
 
Mcnex Co., Ltd.
  7,663   222,400
*
ME2ON Co., Ltd.
  11,945   52,717
 
Medy-Tox, Inc.
  1,791   480,745
 
MegaStudy Co., Ltd.
  3,816   36,482
#
MegaStudyEdu Co., Ltd.
  3,460   127,597
 
Meritz Financial Group, Inc.
  20,520   183,198
 
Meritz Fire & Marine Insurance Co., Ltd.
  33,955   445,618
 
Meritz Securities Co., Ltd.
  139,511   423,744
 
META BIOMED Co., Ltd.
  6,026   13,798
*
Mgame Corp.
  5,065   15,030
 
Mi Chang Oil Industrial Co., Ltd.
  382   24,020
 
MiCo, Ltd.
  17,220   91,040
 
Minwise Co., Ltd.
  4,370   52,617
 
Mirae Asset Daewoo Co., Ltd.
  65,668   373,197
 
Mirae Asset Life Insurance Co., Ltd.
  34,677   121,541
*
Mirae Corp.
  300,952   31,137
 
Miwon Chemicals Co., Ltd.
  571   21,191
 
Miwon Commercial Co., Ltd.
  701   34,405
 
Miwon Specialty Chemical Co., Ltd.
  909   56,648
 
MK Electron Co., Ltd.
  10,839   69,783
*
MNTech Co., Ltd.
  8,025   21,741
 
Mobase Co., Ltd.
  2,867   10,215
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SOUTH KOREA — (Continued)
 
Modetour Network, Inc.
  4,014   $49,002
 
Moorim P&P Co., Ltd.
  15,640   50,670
 
Moorim Paper Co., Ltd.
  14,496   30,752
 
Motonic Corp.
  6,896   51,355
*
MP Group, Inc.
  9,820   2,031
 
Multicampus Co., Ltd.
  1,164   33,727
*
MyungMoon Pharm Co., Ltd.
  4,296   16,622
 
Nam Hwa Construction Co., Ltd.
  1,461   16,839
 
Namhae Chemical Corp.
  7,479   48,150
#*
Namsun Aluminum Co., Ltd.
  20,275   67,401
 
Namyang Dairy Products Co., Ltd.
  232   79,967
*
Nano Chem Tech, Inc.
  3,716   10,125
*
NanoenTek, Inc.
  6,677   30,968
 
Nasmedia Co., Ltd.
  1,294   40,963
 
NAVER Corp.
  15,063   2,246,324
 
NCSoft Corp.
  2,720   1,440,913
 
NeoPharm Co., Ltd.
  2,235   75,632
*
Neowiz
  5,131   72,810
*
NEOWIZ HOLDINGS Corp.
  3,627   41,322
#
NEPES Corp.
  11,408   221,405
#*
Netmarble Corp.
  2,207   163,660
*
Neuros Co., Ltd.
  9,553   28,877
*
New Power Plasma Co., Ltd.
  5,000   17,379
 
Nexen Corp.
  7,084   33,970
 
Nexen Tire Corp.
  25,203   170,689
*
Next Entertainment World Co., Ltd.
  3,907   14,735
 
NextEye Co., Ltd.
  7,648   8,035
 
Nexturn Co., Ltd.
  1,173   9,219
 
NH Investment & Securities Co., Ltd.
  45,161   411,397
*
NHN Corp.
  4,379   275,141
#
NHN KCP Corp.
  7,219   144,593
 
NICE Holdings Co., Ltd.
  11,729   217,446
 
Nice Information & Telecommunication, Inc.
  3,622   86,240
 
NICE Information Service Co., Ltd.
  20,374   283,594
 
NICE Total Cash Management Co., Ltd.
  11,894   74,608
*
NK Co., Ltd.
  30,243   26,898
 
Nong Shim Holdings Co., Ltd.
  900   58,290
 
Nong Woo Bio Co., Ltd.
  3,988   36,033
 
NongShim Co., Ltd.
  488   93,869
 
Noroo Holdings Co., Ltd.
  1,493   13,533
 
NOROO Paint & Coatings Co., Ltd.
  5,670   35,047
 
NPC
  1,809   5,758
 
NS Shopping Co., Ltd.
  4,833   35,383
 
Nuri Telecom Co., Ltd.
  4,947   23,558
 
OCI Co., Ltd.
  5,208   240,431
*
Omnisystem Co., Ltd.
  14,815   22,112
 
Opto Device Technology Co., Ltd.
  5,298   20,568
 
OptoElectronics Solutions Co., Ltd.
  1,981   69,231
 
OPTRON-TEC, Inc.
  12,673   66,886
*
Orbitech Co., Ltd.
  2,100   5,516
 
Orion Corp.
  2,406   205,488
 
Orion Holdings Corp.
  14,570   188,210
*
OSANGJAIEL Co., Ltd.
  4,152   20,778
*
Osstem Implant Co., Ltd.
  5,214   183,345
#*
Osung Advanced Materials Co., Ltd.
  18,850   35,737
 
Ottogi Corp.
  314   132,640
 
Paik Kwang Industrial Co., Ltd.
  8,646   22,848
*
Pan Ocean Co., Ltd.
  49,637   163,665
 
Pan-Pacific Co., Ltd.
  13,908   27,232
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SOUTH KOREA — (Continued)
 
Partron Co., Ltd.
  13,959   $128,477
#*
Paru Co., Ltd.
  9,531   36,476
*
Pearl Abyss Corp.
  2,268   342,610
 
Pharma Research Products Co., Ltd.
  787   25,332
*
Pharmicell Co., Ltd.
  7,843   50,425
 
PNE Solution Co., Ltd.
  3,058   27,278
 
POSCO
  19,684   3,566,120
 
POSCO Chemical Co., Ltd.
  5,456   257,979
 
Posco ICT Co., Ltd.
  7,676   31,392
 
Posco International Corp.
  24,146   338,178
#
Posco M-Tech Co., Ltd.
  10,898   38,085
*
Power Logics Co., Ltd.
  11,435   84,111
 
Protec Co., Ltd.
  3,397   46,357
 
PSK, Inc.
  6,508   120,995
 
Pulmuone Co., Ltd.
  8,410   73,855
 
Pyeong Hwa Automotive Co., Ltd.
  5,778   38,560
*
RaonSecure Co., Ltd.
  12,259   25,581
 
Rayence Co., Ltd.
  1,915   19,691
*
Redrover Co., Ltd.
  16,095   6,178
 
Reyon Pharmaceutical Co., Ltd.
  1,974   22,721
#
RFHIC Corp.
  2,343   54,275
*
RFTech Co., Ltd.
  4,687   31,331
 
Robostar Co., Ltd.
  1,376   18,425
 
S Net Systems, Inc.
  4,731   25,955
 
S&S Tech Corp.
  5,602   70,741
 
S&T Corp.
  709   9,920
 
S&T Holdings Co., Ltd.
  3,470   43,430
 
S&T Motiv Co., Ltd.
  4,675   152,421
*
S.Y. Co., Ltd.
  2,999   10,866
 
S-1 Corp.
  6,246   476,871
 
Sajo Industries Co., Ltd.
  1,469   40,541
 
Sajodaerim Corp.
  980   11,774
*
Sajodongaone Co., Ltd.
  33,458   26,941
 
Sam Young Electronics Co., Ltd.
  6,567   45,612
 
Sam Yung Trading Co., Ltd.
  7,194   96,169
 
Sambo Motors Co., Ltd.
  7,570   33,165
*
Sambon Electronics Co., Ltd.
  16,340   32,121
 
Samchully Co., Ltd.
  946   62,172
#*
Samchuly Bicycle Co., Ltd.
  5,258   24,709
 
Samho Development Co., Ltd.
  12,485   42,167
 
Samho International Co., Ltd.
  3,864   56,729
 
SAMHWA Paints Industrial Co., Ltd.
  6,914   27,980
 
Samick Musical Instruments Co., Ltd.
  25,745   38,193
 
Samick THK Co., Ltd.
  2,406   26,920
 
Samil Pharmaceutical Co., Ltd.
  1,263   20,914
 
Samji Electronics Co., Ltd.
  5,168   39,463
 
Samjin Pharmaceutical Co., Ltd.
  5,142   101,370
 
Samkee Automotive Co., Ltd.
  12,204   22,552
 
Samkwang Glass Co., Ltd.
  1,433   33,582
 
Sammok S-Form Co., Ltd.
  5,447   35,083
*
SAMPYO Cement Co., Ltd.
  24,449   64,382
*
Samsung Biologics Co., Ltd.
  310   124,595
 
Samsung C&T Corp.
  8,503   765,189
 
Samsung Card Co., Ltd.
  6,558   207,999
 
Samsung Electro-Mechanics Co., Ltd.
  19,018   1,949,866
 
Samsung Electronics Co., Ltd., GDR
  18,006   20,976,372
 
Samsung Electronics Co., Ltd.
  1,067,229   49,447,910
*
Samsung Engineering Co., Ltd.
  38,314   545,088
 
Samsung Fire & Marine Insurance Co., Ltd.
  13,337   2,348,186
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SOUTH KOREA — (Continued)
*
Samsung Heavy Industries Co., Ltd.
  62,431   $343,747
 
Samsung Life Insurance Co., Ltd.
  13,799   798,489
*
Samsung Pharmaceutical Co., Ltd.
  18,209   58,817
 
Samsung SDI Co., Ltd.
  7,034   1,601,125
 
Samsung SDS Co., Ltd.
  5,751   926,947
 
Samsung Securities Co., Ltd.
  15,351   448,465
 
SAMT Co., Ltd.
  28,486   57,282
#
Samwha Capacitor Co., Ltd.
  4,575   204,378
 
Samyang Corp.
  2,085   73,421
 
Samyang Foods Co., Ltd.
  1,461   123,252
 
Samyang Holdings Corp.
  2,057   95,511
 
Samyang Tongsang Co., Ltd.
  1,031   52,977
 
Sang-A Frontec Co., Ltd.
  2,384   30,392
*
Sangbo Corp.
  10,721   8,931
*
Sangsangin Co., Ltd.
  23,106   154,058
 
Sangsin Brake
  6,230   17,332
 
Sangsin Energy Display Precision Co., Ltd.
  3,457   25,565
 
SaraminHR Co., Ltd.
  1,626   38,956
 
SAVEZONE I&C Corp.
  8,459   20,413
*
SBI Investment Korea Co., Ltd.
  24,785   13,638
*
SBS Media Holdings Co., Ltd.
  26,174   44,704
*
SBW
  69,888   78,747
*
S-Connect Co., Ltd.
  25,055   41,994
*
SD Biotechnologies Co., Ltd.
  2,244   11,891
#*
SDN Co., Ltd.
  13,861   28,947
 
Seah Besteel Corp.
  5,195   55,764
 
SeAH Holdings Corp.
  419   25,071
 
SeAH Steel Corp.
  1,031   45,190
 
SeAH Steel Holdings Corp.
  1,150   38,966
 
Sebang Co., Ltd.
  6,490   54,314
 
Sebang Global Battery Co., Ltd.
  4,466   125,051
 
Sebo Manufacturing Engineer Corp.
  1,867   11,148
*
Seegene, Inc.
  4,985   124,387
 
Sejong Industrial Co., Ltd.
  6,842   25,810
*
Sejong Telecom, Inc.
  163,379   44,836
*
Sekonix Co., Ltd.
  5,506   31,015
*
Selvas AI, Inc.
  5,674   6,748
 
Sempio Foods Co.
  730   18,927
 
Semyung Electric Machinery Co., Ltd.
  3,019   10,556
 
S-Energy Co., Ltd.
  5,092   15,531
*
Seobu T&D
  13,411   82,237
 
Seohan Co., Ltd.
  55,168   49,157
 
Seohee Construction Co., Ltd.
  97,637   87,861
 
Seojin System Co., Ltd.
  2,390   53,032
 
Seoul Auction Co., Ltd.
  4,296   19,897
*
Seoul Pharma Co., Ltd.
  2,126   11,500
 
Seoul Semiconductor Co., Ltd.
  23,900   283,262
 
SEOWONINTECH Co., Ltd.
  5,769   30,368
 
Seoyon Co., Ltd.
  6,326   20,174
 
Seoyon E-Hwa Co., Ltd.
  8,658   35,724
*
Sewon Cellontech Co., Ltd.
  9,299   19,717
 
Sewon Precision Industry Co., Ltd.
  1,917   9,759
 
SEWOONMEDICAL Co., Ltd.
  10,144   28,804
 
SFA Engineering Corp.
  5,571   188,253
#*
SFA Semicon Co., Ltd.
  53,773   248,141
*
SFC Co., Ltd.
  4,742   2,708
*
SG Corp.
  28,911   21,142
*
SG&G Corp.
  11,339   17,189
 
SH Energy & Chemical Co., Ltd.
  21,194   18,228
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SOUTH KOREA — (Continued)
 
Shindaeyang Paper Co., Ltd.
  1,105   $58,847
*
Shinhan Financial Group Co., Ltd.
  115,422   3,766,615
#*
Shinhan Financial Group Co., Ltd., ADR
  14,952   484,295
 
Shinsegae Engineering & Construction Co., Ltd.
  2,043   42,926
 
Shinsegae Food Co., Ltd.
  986   55,450
 
Shinsegae Information & Communication Co., Ltd.
  469   43,891
 
Shinsegae International, Inc.
  506   85,707
 
Shinsegae, Inc.
  3,603   799,059
*
Shinsung E&G Co., Ltd.
  34,402   25,471
*
Shinsung Tongsang Co., Ltd.
  28,440   30,870
*
Shinwha Intertek Corp.
  21,279   52,110
*
Shinwon Corp.
  24,874   33,998
 
Shinyoung Securities Co., Ltd.
  2,196   97,561
 
SHOWBOX Corp.
  22,337   60,639
*
Signetics Corp.
  34,301   29,477
 
SIGONG TECH Co., Ltd.
  4,127   16,414
 
Silicon Works Co., Ltd.
  4,352   132,887
 
Silla Co., Ltd.
  4,459   41,634
#
SIMMTECH Co., Ltd.
  10,644   96,407
 
SIMPAC, Inc.
  9,760   20,831
 
Sindoh Co., Ltd.
  2,135   60,623
#
SK Bioland Co., Ltd.
  4,405   76,104
 
SK Chemicals Co., Ltd.
  2,346   113,079
 
SK D&D Co., Ltd.
  2,068   47,107
 
SK Discovery Co., Ltd.
  3,954   76,591
 
SK Holdings Co., Ltd.
  8,303   1,623,158
 
SK Hynix, Inc.
  193,730   14,740,206
 
SK Innovation Co., Ltd.
  9,436   1,015,566
 
SK Materials Co., Ltd.
  2,040   265,713
 
SK Networks Co., Ltd.
  98,273   405,927
*
SK Rent A Car Co., Ltd.
  4,337   39,694
 
SK Securities Co., Ltd.
  212,632   102,696
 
SK Telecom Co., Ltd., Sponsored ADR
  6,344   134,556
 
SK Telecom Co., Ltd.
  3,393   649,980
 
SKC Co., Ltd.
  8,882   383,155
*
SKC Solmics Co., Ltd.
  17,800   49,381
 
SKCKOLONPI, Inc.
  5,680   182,588
 
SL Corp.
  3,097   43,165
*
SM Culture & Contents Co., Ltd.
  6,924   8,380
*
SM Entertainment Co., Ltd.
  5,520   149,555
#*
S-MAC Co., Ltd.
  30,774   26,906
 
SMCore, Inc.
  1,609   11,869
 
SMEC Co., Ltd.
  10,746   18,902
*
SNU Precision Co., Ltd.
  5,420   12,183
 
S-Oil Corp.
  2,386   150,217
*
Solborn, Inc.
  6,999   22,668
#*
Solid, Inc.
  15,461   69,141
 
Songwon Industrial Co., Ltd.
  7,797   84,754
 
Soulbrain Co., Ltd.
  3,963   322,050
 
SPC Samlip Co., Ltd.
  1,112   70,690
 
SPG Co., Ltd.
  5,560   29,852
 
Spigen Korea Co., Ltd.
  1,132   49,176
 
Ssangyong Cement Industrial Co., Ltd.
  53,623   220,961
#*
Ssangyong Motor Co.
  26,548   43,011
 
ST Pharm Co., Ltd.
  3,092   70,680
 
Suheung Co., Ltd.
  3,327   99,609
 
Sun Kwang Co., Ltd.
  2,708   35,045
 
Sunchang Corp.
  4,035   13,549
*
SundayToz Corp.
  1,704   25,222
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SOUTH KOREA — (Continued)
 
Sung Bo Chemicals Co., Ltd.
  5,109   $18,004
 
Sung Kwang Bend Co., Ltd.
  11,782   92,772
*
Sungchang Enterprise Holdings, Ltd.
  30,377   38,860
 
Sungdo Engineering & Construction Co., Ltd.
  7,793   21,858
#
Sungshin Cement Co., Ltd.
  9,439   49,504
 
Sungwoo Hitech Co., Ltd.
  34,636   103,997
#
Sunjin Co., Ltd.
  5,383   38,976
#*
Sunny Electronics Corp.
  5,164   18,795
*
Suprema HQ, Inc.
  1,525   8,742
*
Suprema, Inc.
  1,413   52,680
*
Synopex, Inc.
  29,005   59,754
 
Systems Technology, Inc.
  3,599   52,246
 
Tae Kyung Industrial Co., Ltd.
  9,059   40,480
 
Taekwang Industrial Co., Ltd.
  184   143,269
*
Taewoong Co., Ltd.
  6,419   39,554
 
Taeyoung Engineering & Construction Co., Ltd.
  26,703   305,921
*
Taihan Electric Wire Co., Ltd.
  81,481   40,587
#*
Taihan Fiberoptics Co., Ltd.
  15,758   34,949
 
Taihan Textile Co., Ltd.
  251   4,156
 
Tailim Packaging Co., Ltd.
  8,783   26,694
*
TBH Global Co., Ltd.
  9,861   19,691
 
TechWing, Inc.
  5,726   79,686
*
Tego Science, Inc.
  1,108   17,667
*
Telcon RF Pharmaceutical, Inc.
  12,343   49,591
 
Telechips, Inc.
  2,727   23,737
 
TES Co., Ltd.
  2,054   39,902
 
Tesna, Inc.
  3,579   190,058
*
Thinkware Systems Corp.
  3,694   21,577
#*
TK Chemical Corp.
  26,714   58,419
 
TK Corp.
  5,389   45,226
*
TOBESOFT Co., Ltd.
  10,864   22,542
 
Tokai Carbon Korea Co., Ltd.
  2,655   131,141
 
Tongyang Life Insurance Co., Ltd.
  27,834   83,427
 
Tongyang, Inc.
  72,698   66,182
 
Tonymoly Co., Ltd.
  1,924   16,508
 
Top Engineering Co., Ltd.
  7,182   52,333
 
Toptec Co., Ltd.
  3,746   32,325
 
Tovis Co., Ltd.
  8,227   59,095
 
TS Corp.
  2,640   41,989
*
T'way Holdings, Inc.
  23,154   27,133
 
UBCare Co., Ltd.
  6,063   26,293
 
Ubiquoss Holdings, Inc.
  2,043   44,475
 
Ubiquoss, Inc.
  1,088   25,177
 
UIL Co., Ltd.
  5,829   23,119
 
Uju Electronics Co., Ltd.
  3,162   25,867
*
Uni-Chem Co., Ltd.
  14,724   22,131
*
Unick Corp.
  5,571   27,476
 
Unid Co., Ltd.
  3,325   122,042
 
Union Semiconductor Equipment & Materials Co., Ltd.
  7,286   36,096
 
Uniquest Corp.
  5,700   31,497
#*
Unison Co., Ltd.
  23,914   18,169
 
UniTest, Inc.
  4,655   59,643
 
Value Added Technology Co., Ltd.
  4,168   107,570
 
Very Good Tour Co., Ltd.
  1,852   8,748
 
Viatron Technologies, Inc.
  4,608   33,461
 
Vieworks Co., Ltd.
  3,125   92,897
#
Visang Education, Inc.
  4,557   27,182
*
Vitzrocell Co., Ltd.
  4,814   67,798
#*
VT GMP Co., Ltd.
  3,812   30,977
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
SOUTH KOREA — (Continued)
#*
W Holding Co., Ltd.
  65,827   $16,805
*
Webzen, Inc.
  7,179   86,670
*
Welcron Co., Ltd.
  7,245   51,358
 
Wemade Co., Ltd.
  1,592   41,864
 
Whanin Pharmaceutical Co., Ltd.
  3,902   48,942
#*
WillBes & Co. (The)
  38,655   49,799
 
Winix, Inc.
  4,338   89,384
 
Wins Co., Ltd.
  1,654   18,554
#
WiSoL Co., Ltd.
  13,375   148,442
*
WIZIT Co., Ltd.
  27,174   17,922
*
Won Ik Corp.
  5,765   18,096
*
WONIK CUBE Corp.
  9,926   15,228
*
Wonik Holdings Co., Ltd.
  21,934   95,007
 
WONIK IPS Co., Ltd.
  2,215   62,621
 
Wonik Materials Co., Ltd.
  4,486   95,992
*
Wonik QnC Corp.
  5,108   63,254
 
Woongjin Coway Co., Ltd.
  13,932   1,022,222
*
Woongjin Energy Co., Ltd.
  6,224   1,790
#*
Woori Financial Group, Inc., Sponsored ADR
  3,393   86,182
 
Woori Financial Group, Inc.
  82,609   697,390
*
Woori Investment Bank Co., Ltd.
  156,665   75,667
#
Woori Technology Investment Co., Ltd.
  10,713   24,545
*
Woori Technology, Inc.
  31,424   23,594
*
Wooridul Pharmaceutical, Ltd.
  2,913   15,461
 
Woorison F&G Co., Ltd.
  18,507   26,220
 
Woory Industrial Co., Ltd.
  2,475   45,108
 
Wooshin Systems Co., Ltd.
  5,755   22,794
*
Woosu AMS Co., Ltd.
  10,385   27,536
*
WooSung Feed Co., Ltd.
  14,799   36,143
 
Worldex Industry & Trading Co., Ltd.
  1,798   11,525
 
Y G-1 Co., Ltd.
  13,598   76,027
*
YeaRimDang Publishing Co., Ltd.
  6,392   17,490
*
Yest Co., Ltd.
  735   6,028
 
YG Entertainment, Inc.
  3,238   84,494
*
YIK Corp.
  5,142   18,938
*
YJM Games Co., Ltd.
  15,504   22,812
 
YMC Co., Ltd.
  1,001   6,814
*
Yonwoo Co., Ltd.
  1,485   24,688
 
Yoosung Enterprise Co., Ltd.
  10,361   21,732
 
YooSung T&S Co., Ltd.
  7,040   15,310
 
Youlchon Chemical Co., Ltd.
  3,845   40,095
 
Young Poong Corp.
  189   99,019
 
Young Poong Precision Corp.
  6,555   42,878
*
Youngone Corp.
  10,136   261,384
 
Youngone Holdings Co., Ltd.
  3,692   128,049
*
Yuanta Securities Korea Co., Ltd.
  50,578   113,222
 
YuHwa Securities Co., Ltd.
  2,727   26,617
*
Yujin Robot Co., Ltd.
  4,869   11,067
*
Yungjin Pharmaceutical Co., Ltd.
  20,978   96,871
 
Zeus Co., Ltd.
  3,176   35,855
TOTAL SOUTH KOREA
      217,262,227
TAIWAN — (17.0%)
 
Ability Enterprise Co., Ltd.
  132,508   63,102
 
Ability Opto-Electronics Technology Co., Ltd.
  32,528   43,921
 
AcBel Polytech, Inc.
  164,685   125,539
 
Accton Technology Corp.
  179,858   955,977
 
Acer, Inc.
  782,287   432,629
 
ACES Electronic Co., Ltd.
  56,000   49,492
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
TAIWAN — (Continued)
*
Acon Holding, Inc.
  122,000   $30,513
 
Acter Group Corp., Ltd.
  30,300   170,529
 
Action Electronics Co., Ltd.
  103,000   27,667
 
Actron Technology Corp.
  41,838   138,692
 
A-DATA Technology Co., Ltd.
  49,605   114,334
 
Addcn Technology Co., Ltd.
  10,000   76,789
 
Adlink Technology, Inc.
  48,814   74,260
 
Advanced Ceramic X Corp.
  20,000   198,657
 
Advanced International Multitech Co., Ltd.
  82,000   102,178
*
Advanced Optoelectronic Technology, Inc.
  49,000   27,306
#
Advanced Wireless Semiconductor Co.
  49,000   144,343
 
Advancetek Enterprise Co., Ltd.
  131,908   81,928
 
Advantech Co., Ltd.
  74,607   711,615
*
AGV Products Corp.
  229,172   52,064
 
Airtac International Group
  48,078   726,641
 
Alchip Technologies, Ltd.
  19,000   142,266
 
Alcor Micro Corp.
  17,000   7,215
*
ALI Corp.
  42,632   22,119
 
All Ring Tech Co., Ltd.
  35,000   47,710
 
Allied Circuit Co., Ltd.
  12,000   36,633
 
Allis Electric Co., Ltd.
  106,090   72,859
 
Alltek Technology Corp.
  51,410   32,831
 
Alltop Technology Co., Ltd.
  38,000   87,372
 
Alpha Networks, Inc.
  155,500   103,443
 
Altek Corp.
  147,727   99,429
 
Amazing Microelectronic Corp.
  36,432   110,540
 
Ambassador Hotel (The)
  122,000   103,518
 
Ampire Co., Ltd.
  61,000   41,213
 
AMPOC Far-East Co., Ltd.
  31,000   28,374
*
AmTRAN Technology Co., Ltd.
  436,907   147,776
 
Anpec Electronics Corp.
  26,317   60,960
 
AP Memory Technology Corp.
  5,248   18,836
 
Apacer Technology, Inc.
  55,506   76,641
 
APAQ Technology Co., Ltd.
  24,422   27,011
 
APCB, Inc.
  91,000   71,589
 
Apex Biotechnology Corp.
  50,477   42,802
#
Apex International Co., Ltd.
  100,868   175,450
*
Apex Science & Engineering
  68,848   28,421
 
Arcadyan Technology Corp.
  66,756   171,526
 
Ardentec Corp.
  285,411   254,876
 
Argosy Research, Inc.
  20,000   40,381
 
ASE Technology Holding Co., Ltd., ADR
  247,571   1,173,488
 
ASE Technology Holding Co., Ltd.
  802,089   1,935,449
 
Asia Cement Corp.
  728,696   1,083,882
 
Asia Optical Co., Inc.
  120,000   338,231
*
Asia Pacific Telecom Co., Ltd.
  439,139   113,671
*
Asia Plastic Recycling Holding, Ltd.
  120,857   22,360
 
Asia Polymer Corp.
  213,422   103,624
 
Asia Tech Image, Inc.
  26,000   45,286
#
Asia Vital Components Co., Ltd.
  142,278   157,414
 
ASMedia Technology, Inc.
  13,312   344,694
 
ASPEED Technology, Inc.
  9,599   293,940
 
ASROCK, Inc.
  15,000   44,215
 
Asustek Computer, Inc.
  143,996   1,060,506
 
Aten International Co., Ltd.
  46,000   127,457
 
AU Optronics Corp., Sponsored ADR
  41,957   135,104
 
AU Optronics Corp.
  2,540,000   842,614
 
Audix Corp.
  52,800   71,844
#
AURAS Technology Co., Ltd.
  18,000   95,708
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
TAIWAN — (Continued)
 
Aurona Industries, Inc.
  42,000   $24,452
 
Aurora Corp.
  23,585   69,982
 
Avalue Technology, Inc.
  19,000   45,322
 
Avermedia Technologies
  109,690   34,497
 
AVY Precision Technology, Inc.
  71,614   70,408
 
Awea Mechantronic Co., Ltd.
  13,230   13,320
 
Axiomtek Co., Ltd.
  34,000   63,732
*
Azurewave Technologies, Inc.
  24,000   12,271
 
Bank of Kaohsiung Co., Ltd.
  205,768   66,116
 
Baolong International Co., Ltd.
  45,000   19,459
 
Basso Industry Corp.
  67,000   105,109
 
BenQ Materials Corp.
  87,000   48,218
#
BES Engineering Corp.
  626,000   151,638
 
Bin Chuan Enterprise Co., Ltd.
  53,650   33,257
 
Bionime Corp.
  13,000   36,800
*
Biostar Microtech International Corp.
  91,000   31,987
 
Bioteque Corp.
  35,010   135,357
 
Bizlink Holding, Inc.
  63,807   466,136
*
Boardtek Electronics Corp.
  60,000   44,224
 
Bon Fame Co., Ltd.
  7,000   12,077
 
Bright Led Electronics Corp.
  76,100   37,781
 
Brighton-Best International Taiwan, Inc.
  83,331   76,767
 
C Sun Manufacturing, Ltd.
  80,000   62,409
*
Calin Technology Co., Ltd.
  26,000   20,641
*
Cameo Communications, Inc.
  111,000   26,309
 
Capital Futures Corp.
  45,600   64,320
 
Capital Securities Corp.
  1,024,902   344,654
 
Career Technology MFG. Co., Ltd.
  168,438   163,831
*
Carnival Industrial Corp.
  130,484   40,858
 
Casetek Holdings, Ltd.
  113,504   157,501
 
Caswell, Inc.
  7,000   25,663
 
Catcher Technology Co., Ltd.
  202,509   1,603,687
 
Cathay Financial Holding Co., Ltd.
  1,424,486   1,906,631
 
Cathay Real Estate Development Co., Ltd.
  303,300   204,813
 
Cayman Engley Industrial Co., Ltd.
  12,785   36,902
 
Celxpert Energy Corp.
  37,000   35,050
 
Center Laboratories, Inc.
  61,583   106,276
 
Central Reinsurance Co., Ltd.
  90,300   58,650
 
Chailease Holding Co., Ltd.
  356,091   1,476,644
 
ChainQui Construction Development Co., Ltd.
  37,429   27,229
*
Champion Building Materials Co., Ltd.
  168,000   34,824
 
Chang Hwa Commercial Bank, Ltd.
  1,300,976   921,510
 
Chang Wah Electromaterials, Inc.
  18,524   99,233
 
Chang Wah Technology Co., Ltd.
  90,000   86,163
 
Channel Well Technology Co., Ltd.
  100,000   81,989
 
Chant Sincere Co., Ltd.
  25,000   20,200
 
Charoen Pokphand Enterprise
  106,160   220,794
 
Chaun-Choung Technology Corp.
  7,000   47,486
 
CHC Healthcare Group
  49,000   61,174
 
CHC Resources Corp.
  30,379   49,691
 
Chen Full International Co., Ltd.
  46,000   52,292
 
Chenbro Micom Co., Ltd.
  37,000   139,735
 
Cheng Loong Corp.
  501,480   325,924
*
Cheng Mei Materials Technology Corp.
  228,250   50,775
 
Cheng Shin Rubber Industry Co., Ltd.
  606,808   785,772
 
Cheng Uei Precision Industry Co., Ltd.
  214,159   277,275
 
Chenming Electronic Technology Corp.
  64,000   27,092
 
Chia Chang Co., Ltd.
  76,000   97,168
#
Chia Hsin Cement Corp.
  226,000   153,155
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
TAIWAN — (Continued)
 
Chian Hsing Forging Industrial Co., Ltd.
  22,000   $32,567
 
Chicony Electronics Co., Ltd.
  185,350   521,892
 
Chicony Power Technology Co., Ltd.
  73,731   143,412
 
Chieftek Precision Co., Ltd.
  21,250   61,548
 
Chien Kuo Construction Co., Ltd.
  80,540   27,003
 
Chilisin Electronics Corp.
  112,590   432,833
 
Chime Ball Technology Co., Ltd.
  10,565   12,944
 
China Airlines, Ltd.
  2,032,062   537,290
 
China Bills Finance Corp.
  522,000   262,290
 
China Chemical & Pharmaceutical Co., Ltd.
  137,000   94,951
 
China Development Financial Holding Corp.
  2,514,579   769,304
 
China Ecotek Corp.
  10,000   11,338
 
China Electric Manufacturing Corp.
  141,300   53,426
 
China Fineblanking Technology Co., Ltd.
  13,650   17,204
 
China General Plastics Corp.
  238,359   149,414
 
China Glaze Co., Ltd.
  98,680   33,280
*
China Life Insurance Co., Ltd.
  821,503   667,051
 
China Man-Made Fiber Corp.
  798,390   197,524
 
China Metal Products
  178,190   176,966
 
China Motor Corp.
  112,600   138,941
#
China Petrochemical Development Corp.
  1,740,996   464,077
 
China Steel Chemical Corp.
  68,227   270,103
 
China Steel Corp.
  3,299,940   2,514,484
 
China Steel Structure Co., Ltd.
  51,000   39,910
 
China Wire & Cable Co., Ltd.
  48,120   41,242
 
Chinese Maritime Transport, Ltd.
  67,120   59,965
 
Ching Feng Home Fashions Co., Ltd.
  41,000   45,353
 
Chin-Poon Industrial Co., Ltd.
  211,113   211,659
 
Chipbond Technology Corp.
  301,000   593,447
 
ChipMOS Techinologies, Inc.
  125,594   122,909
 
ChipMOS Technologies, Inc., ADR
  5,151   100,538
 
Chlitina Holding, Ltd.
  25,000   167,017
 
Chong Hong Construction Co., Ltd.
  99,361   275,157
 
Chroma ATE, Inc.
  77,466   377,793
 
Chun YU Works & Co., Ltd.
  122,000   79,018
 
Chun Yuan Steel Industry Co., Ltd.
  238,999   79,441
 
Chung Hsin Electric & Machinery Manufacturing Corp.
  253,000   225,901
 
Chung Hung Steel Corp.
  641,889   196,155
 
Chung Hwa Pulp Corp.
  241,246   68,954
 
Chunghwa Precision Test Tech Co., Ltd.
  4,000   114,915
#
Chunghwa Telecom Co., Ltd., Sponsored ADR
  43,584   1,558,564
 
Chunghwa Telecom Co., Ltd.
  261,800   935,313
 
Cleanaway Co., Ltd.
  45,000   235,043
 
Clevo Co.
  205,869   233,658
#*
CMC Magnetics Corp.
  463,907   124,126
 
Coland Holdings, Ltd.
  22,000   21,009
 
Compal Electronics, Inc.
  1,840,086   1,108,029
#
Compeq Manufacturing Co., Ltd.
  589,000   782,216
 
Compucase Enterprise
  46,000   40,812
*
Concord Securities Co., Ltd.
  286,314   69,218
#
Concraft Holding Co., Ltd.
  24,526   106,855
 
Continental Holdings Corp.
  281,250   117,887
 
Contrel Technology Co., Ltd.
  70,000   36,433
 
Coremax Corp.
  20,287   45,024
 
Coretronic Corp.
  277,600   332,933
 
Co-Tech Development Corp.
  125,541   148,563
 
Cowealth Medical Holding Co., Ltd.
  25,920   34,118
 
Coxon Precise Industrial Co., Ltd.
  59,000   29,100
 
Creative Sensor, Inc.
  51,000   35,733
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
TAIWAN — (Continued)
*
CSBC Corp. Taiwan
  87,031   $70,411
 
CTBC Financial Holding Co., Ltd.
  4,457,612   3,233,049
 
CTCI Corp.
  203,555   253,713
 
C-Tech United Corp.
  19,555   11,936
#
Cub Elecparts, Inc.
  30,723   217,193
 
CviLux Corp.
  40,902   32,950
 
CX Technology Co., Ltd.
  35,135   20,716
 
Cyberlink Corp.
  22,356   74,382
 
CyberPower Systems, Inc.
  24,000   81,817
 
CyberTAN Technology, Inc.
  172,576   87,547
 
Cypress Technology Co., Ltd.
  16,900   44,826
 
DA CIN Construction Co., Ltd.
  121,000   85,208
 
Dadi Early-Childhood Education Group, Ltd.
  15,825   113,357
 
Dafeng TV, Ltd.
  28,396   37,983
 
Da-Li Development Co., Ltd.
  39,946   37,148
*
Danen Technology Corp.
  61,038   8,317
 
Darfon Electronics Corp.
  83,000   104,063
 
Darwin Precisions Corp.
  202,000   96,519
 
Daxin Materials Corp.
  33,000   91,001
 
De Licacy Industrial Co., Ltd.
  131,458   105,459
 
Delpha Construction Co., Ltd.
  60,639   33,111
 
Delta Electronics, Inc.
  377,940   1,765,843
 
Depo Auto Parts Ind Co., Ltd.
  65,000   122,472
 
Dimerco Data System Corp.
  31,000   46,314
 
Dimerco Express Corp.
  60,000   53,179
 
D-Link Corp.
  349,148   157,941
 
Draytek Corp.
  13,000   11,766
 
Dyaco International, Inc.
  16,880   21,195
*
Dynamic Electronics Co., Ltd.
  146,006   73,121
 
Dynapack International Technology Corp.
  84,000   183,447
 
E Ink Holdings, Inc.
  454,000   441,728
 
E.Sun Financial Holding Co., Ltd.
  3,021,454   2,791,255
 
Eastern Media International Corp.
  253,000   87,114
 
Eclat Textile Co., Ltd.
  52,279   666,766
 
ECOVE Environment Corp.
  13,000   91,354
 
Edison Opto Corp.
  54,000   21,262
 
Edom Technology Co., Ltd.
  117,014   63,905
 
eGalax_eMPIA Technology, Inc.
  28,909   44,972
 
Egis Technology, Inc.
  33,000   214,072
 
Elan Microelectronics Corp.
  139,959   393,179
*
E-Lead Electronic Co., Ltd.
  21,000   13,886
 
E-LIFE MALL Corp.
  42,000   93,944
 
Elite Advanced Laser Corp.
  79,928   166,635
#
Elite Material Co., Ltd.
  151,909   567,807
 
Elite Semiconductor Memory Technology, Inc.
  140,000   156,355
*
Elitegroup Computer Systems Co., Ltd.
  201,235   81,155
 
eMemory Technology, Inc.
  32,000   337,974
 
Ennoconn Corp.
  23,587   175,106
 
EnTie Commercial Bank Co., Ltd.
  179,500   91,375
*
Epileds Technologies, Inc.
  59,000   25,351
#
Epistar Corp.
  534,954   597,134
 
Eslite Spectrum Corp. (The)
  9,000   31,103
 
Eson Precision Ind. Co., Ltd.
  50,000   56,366
 
Eternal Materials Co., Ltd.
  381,075   338,931
*
Etron Technology, Inc.
  171,000   52,134
 
Eva Airways Corp.
  1,841,990   740,595
*
Everest Textile Co., Ltd.
  282,178   78,321
 
Evergreen International Storage & Transport Corp.
  301,000   136,903
*
Evergreen Marine Corp. Taiwan, Ltd.
  1,147,354   441,269
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
TAIWAN — (Continued)
 
Everlight Electronics Co., Ltd.
  293,149   $363,910
 
Excellence Opto, Inc.
  49,000   39,347
 
Excelsior Medical Co., Ltd.
  62,197   108,539
 
EZconn Corp.
  26,250   31,835
 
Far Eastern Department Stores, Ltd.
  519,370   421,024
 
Far Eastern International Bank
  1,207,444   473,611
 
Far Eastern New Century Corp.
  1,118,560   1,036,957
 
Far EasTone Telecommunications Co., Ltd.
  524,000   1,186,915
 
Faraday Technology Corp.
  79,000   126,850
 
Farglory F T Z Investment Holding Co., Ltd.
  30,777   24,597
 
Farglory Land Development Co., Ltd.
  160,442   213,304
*
Federal Corp.
  212,729   82,584
 
Feedback Technology Corp.
  15,400   29,773
 
Feng Hsin Steel Co., Ltd.
  239,550   419,535
 
Feng TAY Enterprise Co., Ltd.
  106,817   639,340
 
Firich Enterprises Co., Ltd.
  13,000   13,623
*
First Copper Technology Co., Ltd.
  84,000   23,981
 
First Financial Holding Co., Ltd.
  2,188,551   1,703,199
 
First Hi-Tec Enterprise Co., Ltd.
  43,000   52,939
 
First Hotel
  107,746   53,490
 
First Insurance Co., Ltd. (The)
  126,606   59,668
#
First Steamship Co., Ltd.
  355,234   112,230
 
FLEXium Interconnect, Inc.
  156,001   538,106
 
Flytech Technology Co., Ltd.
  62,373   148,849
 
FocalTech Systems Co., Ltd.
  170,792   141,866
 
Forest Water Environment Engineering Co., Ltd.
  21,667   33,714
 
Formosa Advanced Technologies Co., Ltd.
  93,000   113,613
 
Formosa Chemicals & Fibre Corp.
  575,378   1,606,078
 
Formosa International Hotels Corp.
  21,905   110,592
 
Formosa Oilseed Processing Co., Ltd.
  28,000   30,070
 
Formosa Optical Technology Co., Ltd.
  7,000   15,019
 
Formosa Petrochemical Corp.
  150,000   443,560
 
Formosa Plastics Corp.
  505,134   1,551,119
 
Formosa Sumco Technology Corp.
  23,000   83,531
 
Formosa Taffeta Co., Ltd.
  234,000   260,334
 
Formosan Rubber Group, Inc.
  154,720   96,808
 
Formosan Union Chemical
  178,847   76,825
 
Fortune Electric Co., Ltd.
  42,000   41,552
 
Founding Construction & Development Co., Ltd.
  87,460   45,630
 
Foxconn Technology Co., Ltd.
  282,536   560,745
 
Foxsemicon Integrated Technology, Inc.
  25,562   144,696
 
Froch Enterprise Co., Ltd.
  155,713   60,504
 
FSP Technology, Inc.
  78,886   54,840
 
Fubon Financial Holding Co., Ltd.
  1,589,896   2,357,765
 
Fulgent Sun International Holding Co., Ltd.
  39,216   168,586
 
Fullerton Technology Co., Ltd.
  51,000   32,572
 
Fulltech Fiber Glass Corp.
  203,559   75,403
 
Fwusow Industry Co., Ltd.
  31,756   19,304
 
G Shank Enterprise Co., Ltd.
  86,382   63,917
 
Gallant Precision Machining Co., Ltd.
  62,000   38,635
 
Gamania Digital Entertainment Co., Ltd.
  46,000   84,610
 
GCS Holdings, Inc.
  30,000   60,797
 
GEM Services, Inc.
  32,670   64,506
*
Gemtek Technology Corp.
  178,574   138,686
 
General Interface Solution Holding, Ltd.
  116,000   381,041
 
General Plastic Industrial Co., Ltd.
  34,384   33,143
 
Generalplus Technology, Inc.
  25,000   25,162
 
Genesys Logic, Inc.
  43,000   46,228
 
Genius Electronic Optical Co., Ltd.
  25,979   449,339
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
TAIWAN — (Continued)
*
GeoVision, Inc.
  37,264   $31,624
 
Getac Technology Corp.
  129,000   210,536
 
Giant Manufacturing Co., Ltd.
  97,287   572,882
*
Giantplus Technology Co., Ltd.
  167,000   67,575
 
Gigabyte Technology Co., Ltd.
  193,000   323,186
*
Gigasolar Materials Corp.
  13,280   53,882
*
Gigastorage Corp.
  156,582   60,838
 
Ginko International Co., Ltd.
  21,000   127,555
 
Global Brands Manufacture, Ltd.
  192,666   91,989
#
Global Lighting Technologies, Inc.
  27,000   122,876
 
Global Mixed Mode Technology, Inc.
  32,000   119,519
 
Global PMX Co., Ltd.
  22,000   124,134
 
Global Unichip Corp.
  39,000   302,069
#
Globalwafers Co., Ltd.
  92,000   1,186,721
 
Globe Union Industrial Corp.
  193,518   108,820
 
Gloria Material Technology Corp.
  240,708   138,682
*
GlycoNex, Inc.
  11,000   6,804
*
Gold Circuit Electronics, Ltd.
  250,263   124,485
 
Golden Friends Corp.
  22,500   45,372
 
Goldsun Building Materials Co., Ltd.
  483,730   234,569
 
Good Will Instrument Co., Ltd.
  29,859   24,975
 
Gourmet Master Co., Ltd.
  60,052   201,873
 
Grand Fortune Securities Co., Ltd.
  86,000   25,296
 
Grand Ocean Retail Group, Ltd.
  42,000   30,373
*
Grand Pacific Petrochemical
  570,000   319,083
 
Grand Plastic Technology Corp.
  9,000   82,918
 
GrandTech CG Systems, Inc.
  30,450   42,028
 
Grape King Bio, Ltd.
  54,000   341,112
 
Great China Metal Industry
  105,000   83,654
 
Great Taipei Gas Co., Ltd.
  122,000   127,077
 
Great Wall Enterprise Co., Ltd.
  307,921   419,486
 
Greatek Electronics, Inc.
  191,000   294,832
*
Green Energy Technology, Inc.
  181,537   721
 
Green River Holding Co., Ltd.
  5,080   10,283
 
GTM Holdings Corp.
  63,000   46,806
#
Hannstar Board Corp.
  176,126   216,020
 
HannStar Display Corp.
  1,319,667   324,491
*
HannsTouch Solution, Inc.
  281,781   115,477
 
Hanpin Electron Co., Ltd.
  38,000   39,893
 
Harvatek Corp.
  83,052   32,120
 
Hi-Clearance, Inc.
  5,107   17,724
 
Highlight Tech Corp.
  46,000   39,502
 
Highwealth Construction Corp.
  373,918   558,470
 
HIM International Music, Inc.
  13,190   49,922
 
Hiroca Holdings, Ltd.
  35,728   72,618
 
Hitron Technology, Inc.
  40,799   28,328
 
Hiwin Technologies Corp.
  71,132   707,783
 
Ho Tung Chemical Corp.
  474,035   124,246
 
Hocheng Corp.
  137,300   35,893
 
Holiday Entertainment Co., Ltd.
  37,000   83,688
 
Holtek Semiconductor, Inc.
  99,000   213,369
 
Holy Stone Enterprise Co., Ltd.
  80,000   258,511
 
Hon Hai Precision Industry Co., Ltd.
  1,764,599   4,797,955
 
Hon Hai Precision Industry Co., Ltd., GDR
  92,121   501,102
 
Hon Hai Precision Industry Co., Ltd., GDR
  19,301   104,611
 
Hong Pu Real Estate Development Co., Ltd.
  107,609   80,224
 
Hong TAI Electric Industrial
  125,000   43,299
 
Hong YI Fiber Industry Co.
  68,000   40,577
*
Horizon Securities Co., Ltd.
  166,000   36,073
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
TAIWAN — (Continued)
#
Hota Industrial Manufacturing Co., Ltd.
  85,871   $336,766
 
Hotai Motor Co., Ltd.
  61,000   1,244,245
 
Hotron Precision Electronic Industrial Co., Ltd.
  33,201   44,428
 
Hsin Kuang Steel Co., Ltd.
  96,788   100,859
 
Hsin Yung Chien Co., Ltd.
  16,695   45,509
 
Hsing TA Cement Co.
  20,000   12,321
 
Hu Lane Associate, Inc.
  43,151   132,667
*
HUA ENG Wire & Cable Co., Ltd.
  172,000   52,870
 
Hua Nan Financial Holdings Co., Ltd.
  1,736,861   1,237,839
 
Huaku Development Co., Ltd.
  86,465   255,394
 
Huang Hsiang Construction Corp.
  45,000   53,708
 
Hung Ching Development & Construction Co., Ltd.
  90,000   61,633
 
Hung Sheng Construction, Ltd.
  272,000   205,299
 
Huxen Corp.
  10,000   17,676
*
Hwa Fong Rubber Industrial Co., Ltd.
  118,430   42,799
 
Hwacom Systems, Inc.
  43,000   21,109
 
Ibase Technology, Inc.
  61,076   84,798
 
IBF Financial Holdings Co., Ltd.
  1,408,639   546,504
 
Ichia Technologies, Inc.
  148,897   77,492
*
I-Chiun Precision Industry Co., Ltd.
  66,000   17,484
 
IEI Integration Corp.
  61,680   102,153
 
Infortrend Technology, Inc.
  110,798   47,109
 
Info-Tek Corp.
  26,000   13,865
 
Innodisk Corp.
  35,874   206,755
 
Innolux Corp.
  3,427,461   985,351
 
Inpaq Technology Co., Ltd.
  42,750   46,118
 
Intai Technology Corp.
  14,000   56,591
*
Integrated Service Technology, Inc.
  52,345   68,632
 
IntelliEPI, Inc.
  9,000   16,884
 
International CSRC Investment Holdings Co.
  437,400   439,384
 
International Games System Co., Ltd.
  27,000   430,612
 
Inventec Corp.
  1,126,181   847,815
 
Iron Force Industrial Co., Ltd.
  24,000   80,126
 
I-Sheng Electric Wire & Cable Co., Ltd.
  50,000   73,943
 
ITE Technology, Inc.
  79,202   105,737
#
ITEQ Corp.
  67,299   289,352
 
Jarllytec Co., Ltd.
  29,000   76,546
#
Jentech Precision Industrial Co., Ltd.
  24,000   162,509
 
Jess-Link Products Co., Ltd.
  42,875   42,311
 
Jih Lin Technology Co., Ltd.
  31,000   65,615
 
Jih Sun Financial Holdings Co., Ltd.
  787,800   259,525
 
Jinan Acetate Chemical Co., Ltd.
  4,400   19,066
 
Jinli Group Holdings, Ltd.
  81,159   26,991
 
Jourdeness Group, Ltd.
  16,000   49,952
 
K Laser Technology, Inc.
  47,000   25,418
 
Kaimei Electronic Corp.
  94,978   117,652
 
Kaori Heat Treatment Co., Ltd.
  45,983   109,726
 
Kaulin Manufacturing Co., Ltd.
  33,000   15,994
 
KEE TAI Properties Co., Ltd.
  228,226   89,898
 
Kenda Rubber Industrial Co., Ltd.
  209,842   200,262
 
Kenmec Mechanical Engineering Co., Ltd.
  98,000   50,383
 
Kerry TJ Logistics Co., Ltd.
  82,000   105,349
 
Kindom Development Co., Ltd.
  147,000   136,840
 
King Chou Marine Technology Co., Ltd.
  33,660   37,530
 
King Slide Works Co., Ltd.
  19,050   220,007
 
King Yuan Electronics Co., Ltd.
  733,529   779,715
*
Kingcan Holdings, Ltd.
  27,675   13,072
 
Kingpak Technology, Inc.
  24,295   135,391
 
King's Town Bank Co., Ltd.
  455,000   514,954
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
TAIWAN — (Continued)
*
King's Town Construction Co., Ltd.
  49,348   $50,501
 
Kinik Co.
  64,000   134,713
*
Kinko Optical Co., Ltd.
  43,000   36,519
 
Kinpo Electronics
  813,028   376,346
 
Kinsus Interconnect Technology Corp.
  133,009   204,401
 
KMC Kuei Meng International, Inc.
  34,761   116,241
 
KNH Enterprise Co., Ltd.
  100,000   52,528
 
KS Terminals, Inc.
  67,760   99,744
 
Kung Long Batteries Industrial Co., Ltd.
  36,000   180,047
*
Kung Sing Engineering Corp.
  231,277   67,200
 
Kuo Toong International Co., Ltd.
  111,625   65,246
 
Kuoyang Construction Co., Ltd.
  165,652   105,903
 
Kwong Fong Industries Corp.
  50,442   21,091
 
Kwong Lung Enterprise Co., Ltd.
  41,000   60,133
 
KYE Systems Corp.
  146,426   37,902
 
L&K Engineering Co., Ltd.
  92,000   91,385
*
LAN FA Textile
  159,277   36,751
#
Land Mark Optoelectronics Corp.
  29,000   245,384
 
Lanner Electronics, Inc.
  45,813   81,694
 
Largan Precision Co., Ltd.
  19,306   2,998,753
 
Laser Tek Taiwan Co., Ltd.
  50,000   39,417
 
Laster Tech Corp., Ltd.
  31,669   28,916
 
Leader Electronics, Inc.
  67,602   15,291
 
Lealea Enterprise Co., Ltd.
  363,981   107,618
 
Ledlink Optics, Inc.
  38,467   31,994
 
LEE CHI Enterprises Co., Ltd.
  103,000   30,728
 
Lelon Electronics Corp.
  31,250   39,094
 
Lemtech Holdings Co., Ltd.
  8,798   29,111
*
Leofoo Development Co., Ltd.
  76,254   35,494
*
LES Enphants Co., Ltd.
  90,901   20,964
 
Lextar Electronics Corp.
  167,000   91,517
 
Li Cheng Enterprise Co., Ltd.
  52,763   72,160
 
Li Peng Enterprise Co., Ltd.
  323,806   71,403
 
Lian HWA Food Corp.
  49,917   67,577
 
Lida Holdings, Ltd.
  31,320   38,548
 
Lien Hwa Industrial Holdings Corp.
  218,877   272,759
 
Lifestyle Global Enterprise, Inc.
  8,000   21,162
 
Lingsen Precision Industries, Ltd.
  228,000   81,547
 
Lion Travel Service Co., Ltd.
  21,000   49,327
 
Lite-On Semiconductor Corp.
  70,213   94,698
 
Lite-On Technology Corp.
  872,395   1,351,517
 
Long Bon International Co., Ltd.
  104,180   47,960
 
Long Da Construction & Development Corp.
  54,000   26,966
 
Longchen Paper & Packaging Co., Ltd.
  351,070   158,643
 
Longwell Co.
  18,000   34,744
 
Lotes Co., Ltd.
  36,509   374,405
 
Lu Hai Holding Corp.
  20,788   27,113
*
Lucky Cement Corp.
  112,000   29,175
 
Lumax International Corp., Ltd.
  43,492   108,519
 
Lung Yen Life Service Corp.
  62,000   126,166
*
LuxNet Corp.
  39,684   27,683
 
Macauto Industrial Co., Ltd.
  30,000   82,767
 
Machvision, Inc.
  17,000   214,441
 
Macroblock, Inc.
  15,367   56,516
 
Macronix International
  858,201   1,054,773
 
Makalot Industrial Co., Ltd.
  92,420   460,961
 
Marketech International Corp.
  31,000   81,145
 
Materials Analysis Technology, Inc.
  23,160   53,826
 
Mayer Steel Pipe Corp.
  75,259   38,638
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
TAIWAN — (Continued)
 
MediaTek, Inc.
  168,360   $2,130,154
 
Mega Financial Holding Co., Ltd.
  1,436,669   1,492,695
 
Meiloon Industrial Co.
  35,650   26,966
 
Mercuries & Associates Holding, Ltd.
  197,019   146,847
*
Mercuries Life Insurance Co., Ltd.
  602,821   247,285
 
Merida Industry Co., Ltd.
  36,735   199,990
 
Merry Electronics Co., Ltd.
  64,870   313,264
*
Microbio Co., Ltd.
  152,572   70,113
 
Micro-Star International Co., Ltd.
  207,233   629,589
 
Mildef Crete, Inc.
  27,000   39,919
*
MIN AIK Technology Co., Ltd.
  83,200   31,794
 
Mirle Automation Corp.
  103,804   124,813
 
Mitac Holdings Corp.
  366,292   348,566
 
Mobiletron Electronics Co., Ltd.
  35,440   40,986
 
momo.com, Inc.
  19,000   190,757
 
Mosel Vitelic, Inc.
  26,000   15,080
*
Motech Industries, Inc.
  181,097   43,354
 
MPI Corp.
  31,000   74,837
 
Nak Sealing Technologies Corp.
  37,000   84,198
 
Namchow Holdings Co., Ltd.
  91,000   148,795
 
Nan Kang Rubber Tire Co., Ltd.
  136,139   217,097
 
Nan Liu Enterprise Co., Ltd.
  18,000   105,251
 
Nan Ren Lake Leisure Amusement Co., Ltd.
  52,000   18,681
 
Nan Ya Plastics Corp.
  596,674   1,367,547
 
Nan Ya Printed Circuit Board Corp.
  135,072   191,021
 
Nang Kuang Pharmaceutical Co., Ltd.
  21,000   30,130
 
Nantex Industry Co., Ltd.
  148,964   148,369
 
Nanya Technology Corp.
  375,000   946,418
 
National Petroleum Co., Ltd.
  37,000   55,274
 
Netronix, Inc.
  30,000   35,050
*
New Asia Construction & Development Corp.
  43,880   8,252
 
New Best Wire Industrial Co., Ltd.
  27,600   23,313
 
New Era Electronics Co., Ltd.
  33,000   17,877
 
Nexcom International Co., Ltd.
  44,000   36,146
 
Nichidenbo Corp.
  87,193   135,857
 
Nien Hsing Textile Co., Ltd.
  78,110   52,949
 
Nien Made Enterprise Co., Ltd.
  64,000   518,336
 
Nishoku Technology, Inc.
  18,400   38,983
 
Novatek Microelectronics Corp.
  180,000   1,269,210
#
Nuvoton Technology Corp.
  70,651   95,192
*
O-Bank Co., Ltd.
  563,000   142,005
*
Ocean Plastics Co., Ltd.
  82,000   91,773
 
On-Bright Electronics, Inc.
  19,380   140,025
 
OptoTech Corp.
  179,043   130,363
 
Orient Europharma Co., Ltd.
  19,000   32,663
*
Orient Semiconductor Electronics, Ltd.
  134,310   57,413
 
Oriental Union Chemical Corp.
  215,821   140,095
 
O-TA Precision Industry Co., Ltd.
  35,935   50,392
 
Pacific Construction Co.
  167,000   56,851
 
Pacific Hospital Supply Co., Ltd.
  21,000   53,185
 
Paiho Shih Holdings Corp.
  45,675   74,448
#
Pan Jit International, Inc.
  177,300   138,999
 
Pan-International Industrial Corp.
  259,514   171,857
 
Panion & BF Biotech, Inc.
  13,000   35,389
 
Parade Technologies, Ltd.
  25,400   528,491
*
Paragon Technologies Co., Ltd.
  30,762   35,632
 
PCL Technologies, Inc.
  10,088   34,609
 
P-Duke Technology Co., Ltd.
  28,270   67,545
 
Pegatron Corp.
  715,037   1,482,525
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
TAIWAN — (Continued)
#
Pharmally International Holding Co., Ltd.
  27,096   $188,026
*
Phihong Technology Co., Ltd.
  158,810   45,663
 
Phison Electronics Corp.
  42,000   437,985
 
Phoenix Tours International, Inc.
  15,435   18,570
 
Pixart Imaging, Inc.
  53,030   278,907
 
Planet Technology Corp.
  23,000   48,610
 
Plastron Precision Co., Ltd.
  59,628   36,883
 
Plotech Co., Ltd.
  67,000   40,553
 
Polytronics Technology Corp.
  27,000   55,929
 
Posiflex Technology, Inc.
  15,346   50,599
 
Pou Chen Corp.
  938,144   1,083,555
 
Power Wind Health Industry, Inc.
  15,086   83,714
 
Powertech Technology, Inc.
  446,400   1,581,592
 
Poya International Co., Ltd.
  29,873   428,102
 
President Chain Store Corp.
  148,000   1,456,053
 
President Securities Corp.
  423,795   197,291
 
Primax Electronics, Ltd.
  233,000   401,946
 
Prince Housing & Development Corp.
  592,087   212,045
*
Princeton Technology Corp.
  105,000   26,015
 
Pro Hawk Corp.
  3,000   14,537
 
Promate Electronic Co., Ltd.
  85,000   96,093
*
Promise Technology, Inc.
  76,000   16,532
 
Prosperity Dielectrics Co., Ltd.
  52,032   103,575
 
P-Two Industries, Inc.
  17,500   14,400
 
Qisda Corp.
  820,439   544,265
 
QST International Corp.
  31,000   63,590
 
Qualipoly Chemical Corp.
  52,198   46,273
 
Quang Viet Enterprise Co., Ltd.
  20,000   94,102
 
Quanta Computer, Inc.
  454,715   923,228
 
Quanta Storage, Inc.
  111,000   119,644
 
Quintain Steel Co., Ltd.
  152,306   31,775
 
Radiant Opto-Electronics Corp.
  238,144   817,169
 
Radium Life Tech Co., Ltd.
  483,537   162,852
 
Rafael Microelectronics, Inc.
  13,000   67,051
 
Realtek Semiconductor Corp.
  96,268   773,464
 
Rechi Precision Co., Ltd.
  173,173   125,448
 
Rexon Industrial Corp., Ltd.
  39,000   82,882
 
Rich Development Co., Ltd.
  285,254   94,040
#
RichWave Technology Corp.
  13,100   64,574
*
Ritek Corp.
  625,887   120,304
 
Rodex Fasteners Corp.
  25,000   30,339
*
Roo Hsing Co., Ltd.
  267,000   90,972
*
Rotam Global Agrosciences, Ltd.
  37,830   17,287
 
Ruentex Development Co., Ltd.
  287,244   401,264
 
Ruentex Engineering & Construction Co.
  21,000   43,825
 
Ruentex Industries, Ltd.
  171,941   384,386
 
Samebest Co., Ltd.
  13,860   39,229
 
Sampo Corp.
  181,200   118,303
 
San Fang Chemical Industry Co., Ltd.
  118,992   87,616
 
San Far Property, Ltd.
  103,790   88,635
 
San Shing Fastech Corp.
  56,479   93,470
 
Sanitar Co., Ltd.
  24,000   27,633
 
Sanyang Motor Co., Ltd.
  174,684   117,281
 
SCI Pharmtech, Inc.
  20,000   64,535
 
Scientech Corp.
  25,000   45,375
 
SDI Corp.
  73,000   148,666
 
Senao International Co., Ltd.
  29,000   30,509
 
Senao Networks, Inc.
  9,000   32,061
 
Sercomm Corp.
  105,000   254,920
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
TAIWAN — (Continued)
 
Sesoda Corp.
  116,925   $95,677
 
Shan-Loong Transportation Co., Ltd.
  48,000   47,114
 
Sharehope Medicine Co., Ltd.
  31,935   32,230
 
Sheng Yu Steel Co., Ltd.
  70,000   44,651
 
ShenMao Technology, Inc.
  35,435   26,623
 
Shih Her Technologies, Inc.
  20,000   31,326
*
Shih Wei Navigation Co., Ltd.
  179,446   44,274
 
Shihlin Electric & Engineering Corp.
  175,000   260,678
 
Shin Kong Financial Holding Co., Ltd.
  2,203,184   712,552
 
Shin Zu Shing Co., Ltd.
  75,149   362,990
*
Shinih Enterprise Co., Ltd.
  17,000   14,666
*
Shining Building Business Co., Ltd.
  265,397   85,620
 
Shinkong Insurance Co., Ltd.
  143,000   184,121
 
Shinkong Synthetic Fibers Corp.
  668,191   254,984
 
Shinkong Textile Co., Ltd.
  45,800   60,745
 
Shiny Chemical Industrial Co., Ltd.
  28,112   84,494
*
Shuttle, Inc.
  167,000   61,444
 
Sigurd Microelectronics Corp.
  257,538   290,214
 
Silergy Corp.
  16,000   576,100
*
Silicon Integrated Systems Corp.
  313,000   75,901
 
Simplo Technology Co., Ltd.
  50,400   528,684
 
Sinbon Electronics Co., Ltd.
  118,917   503,046
 
Sincere Navigation Corp.
  202,240   97,893
 
Single Well Industrial Corp.
  36,000   23,187
 
Sinher Technology, Inc.
  29,000   39,998
 
Sinmag Equipment Corp.
  23,979   85,955
 
Sino-American Silicon Products, Inc.
  264,000   843,421
 
Sinon Corp.
  230,000   145,148
 
SinoPac Financial Holdings Co., Ltd.
  2,051,222   869,960
 
Sinopower Semiconductor, Inc.
  6,000   19,250
 
Sinphar Pharmaceutical Co., Ltd.
  66,960   51,620
 
Sinyi Realty Co.
  93,549   91,996
 
Sirtec International Co., Ltd.
  58,600   54,337
 
Sitronix Technology Corp.
  47,434   238,584
 
Siward Crystal Technology Co., Ltd.
  111,000   68,478
 
Soft-World International Corp.
  41,000   109,310
*
Solar Applied Materials Technology Co.
  188,110   132,957
 
Solomon Technology Corp.
  71,000   47,886
 
Solteam, Inc.
  30,300   28,582
 
Song Shang Electronics Co., Ltd.
  53,040   22,699
 
Sonix Technology Co., Ltd.
  58,000   59,680
 
Southeast Cement Co., Ltd.
  137,000   77,170
 
Spirox Corp.
  21,000   24,156
 
Sporton International, Inc.
  34,892   228,768
 
St Shine Optical Co., Ltd.
  26,000   352,323
 
Standard Chemical & Pharmaceutical Co., Ltd.
  51,000   58,857
 
Standard Foods Corp.
  155,642   354,849
 
Stark Technology, Inc.
  55,200   96,672
 
Sun Yad Construction Co., Ltd.
  50,000   21,014
*
Sunko INK Co., Ltd.
  52,000   19,523
 
Sunny Friend Environmental Technology Co., Ltd.
  34,000   298,033
#
Sunonwealth Electric Machine Industry Co., Ltd.
  95,000   136,982
 
Sunplus Technology Co., Ltd.
  290,000   114,573
 
Sunrex Technology Corp.
  60,631   72,837
 
Sunspring Metal Corp.
  52,000   44,126
 
Supreme Electronics Co., Ltd.
  192,608   206,923
 
Swancor Holding Co., Ltd.
  22,435   57,369
 
Sweeten Real Estate Development Co., Ltd.
  82,076   58,891
 
Symtek Automation Asia Co., Ltd
  422   22
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
TAIWAN — (Continued)
 
Symtek Automation Asia Co., Ltd.
  13,000   $29,473
 
Syncmold Enterprise Corp.
  72,000   210,189
 
Synnex Technology International Corp.
  488,967   603,423
 
Sysage Technology Co., Ltd.
  48,457   52,524
*
Sysgration
  81,366   45,119
 
Systex Corp.
  45,000   120,278
 
T3EX Global Holdings Corp.
  57,000   43,589
 
TA Chen Stainless Pipe
  500,417   497,832
 
Ta Liang Technology Co., Ltd.
  36,000   45,967
 
Ta Ya Electric Wire & Cable
  328,820   121,581
 
Ta Yih Industrial Co., Ltd.
  16,000   32,760
 
Tah Hsin Industrial Corp.
  60,000   92,749
#
TA-I Technology Co., Ltd.
  60,936   125,724
*
Tai Tung Communication Co., Ltd.
  58,373   30,630
 
Taichung Commercial Bank Co., Ltd.
  1,318,825   528,935
 
TaiDoc Technology Corp.
  26,458   125,685
 
Taiflex Scientific Co., Ltd.
  99,540   145,630
 
Taimide Tech, Inc.
  58,117   80,262
 
Tainan Enterprises Co., Ltd.
  43,000   35,841
 
Tainan Spinning Co., Ltd.
  633,568   212,936
*
Tainergy Tech Co., Ltd.
  65,068   27,526
 
Tainet Communication System Corp.
  8,000   14,746
 
Taishin Financial Holding Co., Ltd.
  2,610,895   1,216,840
 
Taisun Enterprise Co., Ltd.
  97,000   63,719
 
Taita Chemical Co., Ltd.
  110,160   36,325
 
Taiwan Business Bank
  1,640,496   666,296
 
Taiwan Cement Corp.
  1,670,739   2,311,912
 
Taiwan Chinsan Electronic Industrial Co., Ltd.
  52,663   55,894
 
Taiwan Cogeneration Corp.
  139,077   148,828
 
Taiwan Cooperative Financial Holding Co., Ltd.
  1,744,303   1,195,757
 
Taiwan Fertilizer Co., Ltd.
  203,000   319,911
 
Taiwan Fire & Marine Insurance Co., Ltd.
  114,520   78,893
 
Taiwan FU Hsing Industrial Co., Ltd.
  88,000   122,714
 
Taiwan Glass Industry Corp.
  622,442   212,920
 
Taiwan High Speed Rail Corp.
  513,000   609,768
 
Taiwan Hon Chuan Enterprise Co., Ltd.
  183,455   364,590
 
Taiwan Hopax Chemicals Manufacturing Co., Ltd.
  104,000   65,045
*
Taiwan Land Development Corp.
  398,217   103,126
 
Taiwan Mask Corp.
  35,000   35,037
 
Taiwan Mobile Co., Ltd.
  315,800   1,117,394
 
Taiwan Navigation Co., Ltd.
  121,000   66,101
 
Taiwan Paiho, Ltd.
  156,068   403,995
 
Taiwan PCB Techvest Co., Ltd.
  158,733   172,534
*
Taiwan Prosperity Chemical Corp.
  73,000   25,797
 
Taiwan Pulp & Paper Corp.
  117,000   77,396
 
Taiwan Sakura Corp.
  73,600   118,299
 
Taiwan Sanyo Electric Co., Ltd.
  23,800   23,814
 
Taiwan Secom Co., Ltd.
  116,795   343,266
 
Taiwan Semiconductor Co., Ltd.
  129,000   188,935
#
Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR
  683,154   36,849,327
 
Taiwan Semiconductor Manufacturing Co., Ltd.
  2,346,214   24,199,328
 
Taiwan Shin Kong Security Co., Ltd.
  110,150   135,062
 
Taiwan Styrene Monomer
  288,164   183,339
 
Taiwan Surface Mounting Technology Corp.
  116,845   379,149
 
Taiwan TEA Corp.
  367,648   192,188
#
Taiwan Union Technology Corp.
  115,000   471,778
 
Taiyen Biotech Co., Ltd.
  51,712   54,232
#*
Tatung Co., Ltd.
  600,688   386,190
 
TCI Co., Ltd.
  34,153   251,415
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
TAIWAN — (Continued)
 
Te Chang Construction Co., Ltd.
  37,247   $36,849
 
Teco Electric and Machinery Co., Ltd.
  518,000   460,394
 
Tehmag Foods Corp.
  9,700   69,700
 
Tera Autotech Corp.
  21,000   20,403
 
Test Research, Inc.
  107,571   192,887
 
Test-Rite International Co., Ltd.
  130,568   88,568
 
Thinking Electronic Industrial Co., Ltd.
  32,000   92,392
 
Thye Ming Industrial Co., Ltd.
  57,125   58,774
 
Ton Yi Industrial Corp.
  494,300   177,732
 
Tong Hsing Electronic Industries, Ltd.
  66,009   325,332
 
Tong Yang Industry Co., Ltd.
  201,640   282,506
 
Tong-Tai Machine & Tool Co., Ltd.
  101,711   54,397
 
TOPBI International Holdings, Ltd.
  43,631   119,121
 
Topco Scientific Co., Ltd.
  77,249   273,839
 
Topco Technologies Corp.
  19,122   43,916
 
Topkey Corp.
  36,000   153,086
 
Topoint Technology Co., Ltd.
  73,386   51,404
 
Toung Loong Textile Manufacturing
  57,000   68,461
*
TPK Holding Co., Ltd.
  221,000   342,772
 
Trade-Van Information Services Co.
  9,000   10,900
 
Transcend Information, Inc.
  61,890   165,133
 
Tripod Technology Corp.
  233,170   855,567
*
TrueLight Corp.
  25,000   29,395
 
Tsang Yow Industrial Co., Ltd.
  52,000   31,069
 
Tsann Kuen Enterprise Co., Ltd.
  69,000   37,054
 
TSC Auto ID Technology Co., Ltd.
  15,070   109,213
*
TSEC Corp.
  192,029   45,781
 
TSRC Corp.
  310,452   235,604
 
Ttet Union Corp.
  19,000   76,562
 
TTFB Co., Ltd.
  5,000   41,494
 
TTY Biopharm Co., Ltd.
  80,000   206,213
 
Tung Ho Steel Enterprise Corp.
  510,654   379,932
*
Tung Thih Electronic Co., Ltd.
  32,073   64,097
 
TURVO International Co., Ltd.
  35,843   80,283
 
TXC Corp.
  156,204   223,578
 
TYC Brother Industrial Co., Ltd.
  162,091   137,755
*
Tycoons Group Enterprise
  247,385   40,451
 
Tyntek Corp.
  178,922   77,546
 
UDE Corp.
  37,000   30,250
 
Ultra Chip, Inc.
  27,000   23,999
 
U-Ming Marine Transport Corp.
  271,000   274,043
#
Unimicron Technology Corp.
  573,312   713,180
*
Union Bank Of Taiwan
  614,648   234,385
 
Uni-President Enterprises Corp.
  1,035,577   2,467,230
 
Unitech Computer Co., Ltd.
  50,000   37,828
 
Unitech Printed Circuit Board Corp.
  387,498   374,895
 
United Integrated Services Co., Ltd.
  81,400   501,150
#
United Microelectronics Corp., Sponsored ADR
  100,398   242,963
#
United Microelectronics Corp.
  4,189,081   2,044,919
 
United Orthopedic Corp.
  36,141   47,628
 
United Radiant Technology
  48,000   24,225
*
United Renewable Energy Co., Ltd.
  1,117,848   267,518
*
Unity Opto Technology Co., Ltd.
  275,593   56,264
 
Universal Cement Corp.
  216,972   131,821
*
Universal Microelectronics Co., Ltd.
  25,000   11,521
 
Universal Microwave Technology, Inc.
  27,102   71,343
*
Unizyx Holding Corp.
  133,118   74,468
 
UPC Technology Corp.
  519,532   173,987
 
Userjoy Technology Co., Ltd.
  8,999   33,827
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
TAIWAN — (Continued)
 
USI Corp.
  474,332   $195,996
*
Usun Technology Co., Ltd.
  21,700   18,022
 
Utechzone Co., Ltd.
  23,000   41,395
 
Vanguard International Semiconductor Corp.
  265,000   652,887
 
Ve Wong Corp.
  34,000   29,980
 
VHQ Media Holdings, Ltd.
  14,000   43,815
 
Victory New Materials, Ltd. Co.
  79,255   37,810
 
Visual Photonics Epitaxy Co., Ltd.
  75,756   247,242
 
Vivotek, Inc.
  10,352   28,258
 
Voltronic Power Technology Corp.
  22,207   533,305
 
Wafer Works Corp.
  178,000   188,233
 
Waffer Technology Corp.
  56,000   22,243
 
Wah Hong Industrial Corp.
  43,694   36,501
 
Wah Lee Industrial Corp.
  115,000   210,861
 
Walsin Lihwa Corp.
  799,000   388,636
 
Walsin Technology Corp.
  187,345   1,279,021
 
Walton Advanced Engineering, Inc.
  178,000   64,672
 
Wan Hai Lines, Ltd.
  359,000   200,230
 
WAN HWA Enterprise Co.
  12,813   5,543
 
Wei Chuan Foods Corp.
  189,000   136,152
 
Weikeng Industrial Co., Ltd.
  189,725   108,700
 
Well Shin Technology Co., Ltd.
  46,160   73,672
 
Win Semiconductors Corp.
  48,141   436,413
 
Winbond Electronics Corp.
  1,498,474   825,856
 
Winmate, Inc.
  10,000   18,269
 
Winstek Semiconductor Co., Ltd.
  23,000   19,738
 
Wintek Corp.
  461,871   5,246
 
Wisdom Marine Lines Co., Ltd.
  141,166   131,285
 
Wistron Corp.
  1,408,017   1,254,827
 
Wistron NeWeb Corp.
  105,102   243,005
 
Wonderful Hi-Tech Co., Ltd.
  65,000   33,558
 
Wowprime Corp.
  43,000   99,787
 
WPG Holdings, Ltd.
  734,779   921,161
 
WT Microelectronics Co., Ltd.
  356,089   450,404
 
WUS Printed Circuit Co., Ltd.
  89,680   84,551
 
XAC Automation Corp.
  24,000   24,832
 
Xxentria Technology Materials Corp.
  60,211   121,966
 
Yageo Corp.
  82,317   1,032,560
*
Yang Ming Marine Transport Corp.
  255,000   56,783
 
YC INOX Co., Ltd.
  173,600   146,091
 
YCC Parts Manufacturing Co., Ltd.
  23,000   38,297
 
Yea Shin International Development Co., Ltd.
  106,708   59,374
 
Yem Chio Co., Ltd.
  231,123   85,195
*
Yeong Guan Energy Technology Group Co., Ltd.
  34,212   64,566
 
YFC-Boneagle Electric Co., Ltd.
  57,000   42,759
 
YFY, Inc.
  732,891   316,354
 
Yi Jinn Industrial Co., Ltd.
  116,100   52,403
 
Yieh Phui Enterprise Co., Ltd.
  595,268   179,052
 
Yonyu Plastics Co., Ltd.
  55,000   59,973
 
Young Fast Optoelectronics Co., Ltd.
  50,298   32,608
 
Youngtek Electronics Corp.
  68,257   106,702
 
Yuanta Financial Holding Co., Ltd.
  2,891,167   1,872,261
 
Yuanta Futures Co., Ltd.
  38,000   68,960
 
Yuen Chang Stainless Steel Co., Ltd.
  55,000   31,221
 
Yulon Finance Corp.
  92,400   336,428
 
Yulon Motor Co., Ltd.
  493,783   289,793
 
Yung Chi Paint & Varnish Manufacturing Co., Ltd.
  18,362   42,552
 
Yungshin Construction & Development Co., Ltd.
  41,000   46,458
 
YungShin Global Holding Corp.
  99,000   144,953
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
TAIWAN — (Continued)
 
Zeng Hsing Industrial Co., Ltd.
  36,837   $156,349
 
Zenitron Corp.
  79,000   53,490
 
Zero One Technology Co., Ltd.
  67,000   61,086
 
Zhen Ding Technology Holding, Ltd.
  192,000   742,586
 
Zig Sheng Industrial Co., Ltd.
  220,231   53,534
 
Zinwell Corp.
  165,010   101,146
 
Zippy Technology Corp.
  70,000   82,406
 
ZongTai Real Estate Development Co., Ltd.
  64,545   65,459
TOTAL TAIWAN
      256,571,402
THAILAND — (3.1%)
 
AAPICO Hitech PCL
  32,900   14,460
 
AAPICO Hitech PCL
  84,120   36,973
 
Advanced Info Service PCL
  219,100   1,433,956
 
Advanced Information Technology PCL, Class F
  102,000   56,939
 
AEON Thana Sinsap Thailand PCL
  55,800   292,695
 
After You PCL
  153,000   50,558
 
Airports of Thailand PCL
  799,300   1,807,849
 
AJ Plast PCL
  60,300   15,960
 
Allianz Ayudhya Capital PCL
  16,500   20,910
 
AMA Marine PCL
  135,900   21,364
 
Amata Corp. PCL
  241,400   126,237
 
Amata VN PCL, Class F
  193,600   28,571
 
Ananda Development PCL
  523,400   34,591
 
AP Thailand PCL
  1,127,602   249,614
*
Asia Aviation PCL
  1,561,600   87,173
 
Asia Green Energy PCL
  36,900   1,030
 
Asia Plus Group Holdings PCL
  1,059,300   57,094
 
Asia Sermkij Leasing PCL
  94,400   77,985
 
Asian Insulators PCL
  955,920   32,508
 
Asian Sea Corp. PCL
  100,100   12,974
 
B Grimm Power PCL
  228,700   454,905
 
Bangchak Corp. PCL
  480,500   385,387
 
Bangkok Airways PCL
  376,400   71,247
 
Bangkok Aviation Fuel Services PCL
  121,650   111,230
 
Bangkok Bank PCL
  9,800   45,432
 
Bangkok Bank PCL
  50,400   232,839
 
Bangkok Expressway & Metro PCL
  2,538,535   895,858
 
Bangkok Insurance PCL
  5,680   52,481
 
Bangkok Land PCL
  4,424,000   168,898
 
Bangkok Life Assurance PCL
  138,940   86,030
 
Bangkok Ranch PCL
  559,700   41,300
 
Bank of Ayudhya PCL
  17,300   15,541
 
Banpu PCL
  1,858,500   602,209
 
Banpu PCL
  31,500   10,207
 
Banpu Power PCL
  223,700   106,216
 
Beauty Community PCL
  1,079,400   78,263
*
BEC World PCL
  811,600   138,001
 
Berli Jucker PCL
  283,100   372,380
 
Better World Green PCL
  1,839,200   31,273
 
BJC Heavy Industries PCL, Class F
  362,700   20,363
 
BTS Group Holdings PCL
  597,800   239,734
 
Buriram Sugar PCL
  63,600   7,631
 
Cal-Comp Electronics Thailand PCL, Class F
  1,659,744   94,249
 
Carabao Group PCL, Class F
  74,000   210,699
 
Central Pattana PCL
  466,300   908,814
 
Central Plaza Hotel PCL
  253,300   176,343
 
CH Karnchang PCL
  651,972   416,241
 
Charoen Pokphand Foods PCL
  1,255,893   1,208,752
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
THAILAND — (Continued)
 
Charoong Thai Wire & Cable PCL, Class F
  88,000   $14,116
 
CK Power PCL
  290,000   37,215
 
COL PCL
  74,000   39,647
 
Com7 PCL, Class F
  266,000   230,414
 
Communication & System Solution PCL
  227,000   8,666
*
Country Group Development PCL
  1,320,000   37,267
*
Country Group Holdings PCL
  407,500   10,851
 
CP ALL PCL
  1,081,900   2,455,708
 
Delta Electronics Thailand PCL
  52,700   93,413
 
Demco PCL
  129,500   10,885
 
Dhipaya Insurance PCL
  214,400   167,145
 
Diamond Building Products PCL
  206,200   42,007
 
Do Day Dream PCL
  38,200   27,452
 
Dynasty Ceramic PCL
  1,772,400   102,352
 
East Coast Furnitech P.L.C.
  456,600   17,871
 
Eastern Printing PCL
  147,400   16,740
 
Eastern Water Resources Development and Management PCL, Class F
  243,900   89,986
 
Electricity Generating PCL
  47,100   459,365
 
Energy Absolute PCL
  392,100   544,059
 
Erawan Group PCL (The)
  995,500   137,332
 
Esso Thailand PCL
  414,700   89,805
 
FN Factory Outlet PCL
  642,800   22,272
 
Forth Corp. PCL
  74,800   14,878
 
Forth Smart Service PCL
  184,100   38,391
 
Fortune Parts Industry PCL, Class F
  213,500   14,795
 
GFPT PCL
  335,100   133,309
 
Global Green Chemicals PCL, Class F
  109,500   40,399
 
Global Power Synergy PCL, Class F
  125,968   339,471
 
Gunkul Engineering PCL
  1,667,400   141,223
 
Haad Thip PCL
  50,900   36,905
 
Hana Microelectronics PCL
  263,701   298,218
 
Home Product Center PCL
  1,356,526   635,396
 
ICC International PCL
  27,800   34,560
 
Ichitan Group PCL
  437,200   69,851
 
Indorama Ventures PCL
  537,600   487,238
 
Interhides PCL
  240,200   28,359
 
Interlink Communication PCL
  87,450   10,044
 
Intouch Holdings PCL
  60,800   108,746
 
Intouch Holdings PCL, Class F
  91,800   164,192
 
IRPC PCL
  2,929,800   270,703
 
Italian-Thai Development PCL
  2,181,966   101,503
 
Jasmine International PCL
  1,948,100   315,621
 
JMT Network Services PCL, Class F
  168,500   118,388
 
Jubilee Enterprise PCL
  20,400   11,650
 
Kang Yong Electric PCL
  300   2,512
 
Karmarts PCL
  291,400   34,403
 
Kasikornbank PCL
  252,600   1,138,604
 
KCE Electronics PCL
  331,600   198,939
 
KGI Securities Thailand PCL
  1,131,300   166,955
 
Khon Kaen Sugar Industry PCL
  682,204   52,090
 
Kiatnakin Bank PCL
  106,800   233,850
 
Krung Thai Bank PCL
  692,250   357,563
 
Krungthai Card PCL
  270,300   297,009
 
Lam Soon Thailand PCL
  132,400   20,984
 
Land & Houses PCL
  1,161,800   346,639
 
Land & Houses PCL
  518,520   154,708
 
Lanna Resources PCL
  133,700   31,741
 
LH Financial Group PCL
  2,258,400   98,538
*
Loxley PCL
  2,464,570   97,254
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
THAILAND — (Continued)
 
LPN Development PCL
  742,500   $115,770
 
Major Cineplex Group PCL
  290,400   197,513
 
Maybank Kim Eng Securities Thailand PCL
  93,300   20,055
 
MBK PCL
  465,000   296,872
 
MC Group PCL
  138,600   43,577
*
MCOT PCL
  64,900   19,260
 
MCS Steel PCL
  208,200   66,127
 
Mega Lifesciences PCL
  214,500   187,524
 
Millcon Steel PCL
  547,600   9,311
 
Minor International PCL
  447,944   441,908
 
MK Restaurants Group PCL
  125,600   279,044
 
Modernform Group PCL
  18,700   1,392
*
Mono Technology PCL, Class F
  952,000   23,517
 
Muangthai Capital PCL
  246,100   513,202
 
Namyong Terminal PCL
  417,600   48,499
 
Nava Nakorn PCL
  278,000   19,443
 
Nawarat Patanakarn PCL
  509,200   7,025
 
Netbay PCL
  57,700   60,162
 
Noble Development PCL
  70,100   36,658
 
Origin Property PCL, Class F
  513,950   108,000
*
Padaeng Industry PCL
  156,600   27,130
 
PCS Machine Group Holding PCL
  188,600   33,884
 
Plan B Media Pcl, Class F
  701,600   133,927
 
Platinum Group PCL (The), Class F
  232,400   29,227
 
Polyplex Thailand PCL
  243,600   105,505
*
Precious Shipping PCL
  423,650   78,152
 
Premier Marketing PCL
  152,600   31,088
 
Prima Marine PCL
  337,700   59,588
 
Property Perfect PCL
  3,405,600   86,315
 
Pruksa Holding PCL
  371,100   167,870
 
PTG Energy PCL
  518,900   231,399
 
PTT Exploration & Production PCL
  486,486   1,950,938
 
PTT Global Chemical PCL
  350,856   551,554
 
PTT PCL
  3,647,000   5,060,403
 
Pylon PCL
  216,200   34,126
 
Quality Houses PCL
  2,946,913   234,467
 
Raimon Land PCL
  1,149,900   31,726
 
Rajthanee Hospital PCL
  84,700   67,390
 
Ratch Group PCL
  63,600   138,749
 
Ratch Group PCL
  112,700   245,865
 
Ratchthani Leasing PCL
  783,562   137,004
*
Regional Container Lines PCL
  444,300   39,341
 
Robinson PCL
  41,600   71,736
 
Rojana Industrial Park PCL
  552,532   90,405
 
RS PCL
  300,800   106,153
 
S 11 Group PCL
  82,400   19,034
 
Sabina PCL
  66,500   50,136
 
Saha Pathana Inter-Holding PCL
  18,700   41,396
*
Sahakol Equipment PCL
  579,600   32,169
 
Sahamitr Pressure Container PCL
  186,600   34,423
 
Sahaviriya Steel Industries PCL
  5,877,500   1,772
 
Samart Corp. PCL
  156,000   37,536
 
Samart Telcoms PCL
  184,800   42,391
 
Sansiri PCL
  5,059,133   162,308
 
Sappe PCL
  66,900   42,067
 
SC Asset Corp. PCL
  1,139,696   81,172
 
Scan Inter PCL, Class F
  610,300   33,873
*
SCG Ceramics PCL
  262,386   11,196
 
SEAFCO PCL
  369,980   71,218
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
THAILAND — (Continued)
 
Sena Development PCL
  519,350   $43,987
 
Sermsang Power Corp. Co., Ltd.
  198,800   45,283
 
Siam Cement PCL (The)
  107,700   1,236,978
 
Siam Cement PCL (The)
  21,550   247,510
 
Siam City Cement PCL
  22,043   132,244
 
Siam Commercial Bank PCL (The)
  207,500   652,390
 
Siam Future Development PCL
  532,740   91,439
 
Siam Global House PCL
  767,176   349,499
 
Siam Wellness Group PCL, Class F
  196,300   76,832
 
Siamgas & Petrochemicals PCL
  426,100   112,096
 
Singha Estate PCL
  1,017,100   73,745
 
Sino-Thai Engineering & Construction PCL
  417,500   202,254
 
SNC Former PCL
  110,400   32,585
 
Somboon Advance Technology PCL
  197,550   80,490
 
SPCG PCL
  286,700   183,959
 
Sri Trang Agro-Industry PCL
  421,500   175,794
*
Sriracha Construction PCL
  60,500   12,519
 
Srisawad Corp. PCL
  315,589   759,358
 
Srithai Superware PCL
  898,400   20,464
 
Srivichai Vejvivat PCL
  184,900   40,041
 
Star Petroleum Refining PCL
  662,900   180,772
 
STP & I PCL
  642,380   121,593
 
Supalai PCL
  1,038,525   539,753
 
Super Energy Corp. PCL
  5,085,700   83,212
 
Susco PCL
  413,400   35,809
 
SVI PCL
  111,300   11,498
 
Symphony Communication PCL
  17,233   1,471
 
Synnex Thailand PCL
  153,800   32,566
 
Syntec Construction PCL
  574,800   35,406
 
Taokaenoi Food & Marketing PCL, Class F
  279,100   82,826
 
Tapaco PCL
  119,200   26,769
*
Tata Steel Thailand PCL
  1,594,700   20,465
 
TCM Corp. PCL
  152,000   9,363
 
Thai Agro Energy PCL
  326,600   38,140
*
Thai Airways International PCL
  493,100   90,963
 
Thai Central Chemical PCL
  23,300   15,100
 
Thai Oil PCL
  270,400   451,100
 
Thai Reinsurance PCL
  1,003,700   19,321
 
Thai Solar Energy PCL, Class F
  373,632   40,756
 
Thai Stanley Electric PCL
  3,900   20,582
 
Thai Stanley Electric PCL, Class F
  11,300   59,636
 
Thai Union Group PCL, Class F
  891,932   437,811
 
Thai Vegetable Oil PCL
  230,600   216,396
 
Thai Wah PCL, Class F
  179,500   23,035
*
Thaicom PCL
  322,800   39,146
 
Thaifoods Group PCL
  485,500   70,403
 
Thaire Life Assurance PCL
  194,200   22,180
 
Thanachart Capital PCL
  77,800   129,791
 
Thitikorn PCL
  153,300   45,493
 
Thoresen Thai Agencies PCL
  622,156   72,655
 
Tipco Asphalt PCL
  193,900   128,769
 
TIPCO Foods PCL
  117,300   26,719
 
Tisco Financial Group PCL
  104,600   345,646
 
TKS Technologies PCL
  64,300   12,893
 
TMB Bank PCL
  10,094,192   456,619
 
TMT Steel PCL
  189,600   23,844
 
TOA Paint Thailand PCL
  133,100   153,725
 
Total Access Communication PCL
  287,400   410,308
 
TPC Power Holdings Co., Ltd.
  128,300   49,394
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
THAILAND — (Continued)
 
TPI Polene PCL
  2,702,000   $136,097
 
TPI Polene Power PCL
  922,600   127,276
 
True Corp. PCL
  6,072,120   732,473
 
TTCL PCL
  98,900   13,199
 
TTCL PCL
  25,329   3,380
 
TTW PCL
  649,700   289,728
 
Union Auction PCL
  87,100   18,163
 
Unique Engineering & Construction PCL
  508,650   116,678
 
United Paper PCL
  171,400   52,514
 
Univanich Palm Oil PCL
  84,700   14,266
 
Univentures PCL
  508,800   75,741
 
Vanachai Group PCL
  403,920   48,206
 
VGI PCL
  415,000   117,164
 
Vinythai PCL
  173,000   133,760
 
WHA Corp. PCL
  1,632,500   166,550
 
WHA Utilities and Power PCL
  458,900   75,821
 
Workpoint Entertainment PCL
  123,460   49,907
TOTAL THAILAND
      47,163,971
TURKEY — (0.9%)
 
Adana Cimento Sanayii TAS, Class A
  21,718   34,562
*
Afyon Cimento Sanayi TAS
  15,717   18,451
*
Akbank T.A.S.
  318,342   439,317
 
Akcansa Cimento A.S.
  5,535   9,810
 
Aksa Akrilik Kimya Sanayii A.S.
  69,890   164,654
*
Aksa Enerji Uretim A.S.
  64,248   43,759
 
Aksigorta A.S.
  59,107   67,462
 
Alarko Holding A.S.
  74,620   76,937
#*
Albaraka Turk Katilim Bankasi A.S.
  336,049   94,845
 
Alkim Alkali Kimya A.S.
  8,440   62,097
 
Anadolu Anonim Turk Sigorta Sirketi
  121,131   100,207
 
Anadolu Cam Sanayii A.S.
  136,622   108,047
 
Anadolu Hayat Emeklilik A.S.
  43,484   52,589
*
Arcelik A.S.
  58,627   204,364
 
AvivaSA Emeklilik ve Hayat A.S., Class A
  9,422   22,109
 
Aygaz A.S.
  33,098   73,119
*
Bera Holding A.S.
  234,423   172,804
#*
Besiktas Futbol Yatirimlari Sanayi ve Ticaret A.S.
  66,474   28,454
#
BIM Birlesik Magazalar A.S.
  118,298   962,863
 
Borusan Mannesmann Boru Sanayi ve Ticaret A.S.
  19,139   40,409
 
Borusan Yatirim ve Pazarlama A.S.
  1,351   15,752
*
Brisa Bridgestone Sabanci Sanayi ve Ticaret A.S.
  8,349   13,357
*
Bursa Cimento Fabrikasi A.S.
  21,491   23,785
 
Celebi Hava Servisi A.S.
  1,714   28,752
*
Cimsa Cimento Sanayi VE Ticaret A.S.
  17,262   28,423
 
Coca-Cola Icecek A.S.
  28,668   221,893
 
Dogan Sirketler Grubu Holding A.S.
  462,409   157,364
 
Dogus Otomotiv Servis ve Ticaret A.S.
  21,724   43,631
 
EGE Endustri VE Ticaret A.S.
  629   70,791
 
EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret A.S.
  66,633   46,490
 
ENERJISA ENERJI AS
  95,251   129,064
 
Enka Insaat ve Sanayi A.S.
  190,035   223,693
 
Erbosan Erciyas Boru Sanayii ve Ticaret A.S.
  10,999   46,686
 
Eregli Demir ve Celik Fabrikalari TAS
  476,357   739,871
*
Fenerbahce Futbol A.S.
  20,253   58,093
 
Ford Otomotiv Sanayi A.S.
  19,089   239,021
*
Global Yatirim Holding A.S.
  49,586   40,216
 
Goodyear Lastikleri TAS
  36,437   28,953
*
Gozde Girisim Sermayesi Yatirim Ortakligi A.S.
  84,526   69,296
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
TURKEY — (Continued)
*
Gubre Fabrikalari TAS
  17,211   $29,511
#
Hektas Ticaret TAS
  93,336   161,390
*
Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim A.S.
  37,047   61,259
*
Is Finansal Kiralama A.S.
  32,181   23,422
 
Is Yatirim Menkul Degerler A.S., Class A
  66,365   54,759
 
Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S., Class A
  81,597   38,345
#
Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S., Class D
  466,633   219,283
 
Kartonsan Karton Sanayi ve Ticaret A.S.
  381   28,492
#
KOC Holding A.S.
  57,094   185,819
 
Kordsa Teknik Tekstil A.S.
  40,281   94,717
*
Koza Altin Isletmeleri A.S.
  13,601   182,031
*
Koza Anadolu Metal Madencilik Isletmeleri A.S.
  105,517   186,563
*
Logo Yazilim Sanayi Ve Ticaret A.S.
  1,707   17,722
*
Mavi Giyim Sanayi Ve Ticaret AS, Class B
  4,880   46,304
*
Netas Telekomunikasyon A.S.
  13,133   32,588
 
Nuh Cimento Sanayi A.S.
  29,066   56,782
*
Pegasus Hava Tasimaciligi A.S.
  26,485   302,909
#*
Petkim Petrokimya Holding A.S.
  379,100   255,258
#
Polisan Holding A.S.
  19,331   10,935
 
Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S.
  78,705   81,055
 
Sasa Polyester Sanayi A.S.
  36,813   50,045
#*
Sekerbank Turk AS
  202,387   47,047
 
Selcuk Ecza Deposu Ticaret ve Sanayi A.S.
  99,576   118,815
#
Soda Sanayii A.S.
  103,968   115,660
*
Tat Gida Sanayi A.S.
  36,308   44,145
 
TAV Havalimanlari Holding A.S.
  95,830   435,933
#
Tekfen Holding A.S.
  87,658   281,603
 
Tofas Turk Otomobil Fabrikasi A.S.
  47,313   208,653
#
Trakya Cam Sanayii A.S.
  270,547   182,031
 
Tupras Turkiye Petrol Rafinerileri A.S.
  30,069   564,909
*
Turcas Petrol A.S.
  85,228   47,694
#*
Turk Hava Yollari AO
  238,516   544,149
*
Turk Telekomunikasyon A.S.
  149,160   193,360
*
Turk Traktor ve Ziraat Makineleri A.S.
  5,773   58,179
 
Turkcell Iletisim Hizmetleri A.S.
  389,395   916,096
 
Turkcell Iletisim Hizmetleri A.S., ADR
  2,786   16,242
#*
Turkiye Garanti Bankasi A.S.
  491,805   975,971
*
Turkiye Halk Bankasi A.S.
  191,213   220,962
*
Turkiye Is Bankasi A.S., Class C
  244,600   295,443
*
Turkiye Sinai Kalkinma Bankasi A.S.
  919,409   210,258
 
Turkiye Sise ve Cam Fabrikalari A.S.
  157,969   146,625
*
Turkiye Vakiflar Bankasi TAO, Class D
  246,701   272,009
*
Ulker Biskuvi Sanayi A.S.
  65,118   253,691
*
Vestel Elektronik Sanayi ve Ticaret A.S.
  60,315   139,902
*
Yapi ve Kredi Bankasi A.S.
  372,970   184,889
*
Yatas Yatak ve Yorgan Sanayi ve Ticaret A.S.
  45,100   63,631
TOTAL TURKEY
      13,659,076
TOTAL COMMON STOCKS
      1,454,117,146
PREFERRED STOCKS — (2.2%)
BRAZIL — (2.1%)
 
AES Tiete Energia SA
  486   330
*
Alpargatas SA
  48,700   407,558
 
Banco ABC Brasil S.A.
  39,062   198,019
 
Banco Bradesco SA
  413,236   3,173,617
 
Banco do Estado do Rio Grande do Sul SA, Class B
  142,873   670,228
 
Banco Pan SA
  92,732   210,469
 
Centrais Eletricas Brasileiras SA, Class B
  43,400   414,178
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
 
BRAZIL — (Continued)
 
Centrais Eletricas Santa Catarina
  7,850   $98,120
 
Cia Brasileira de Distribuicao
  71,196   1,414,411
 
Cia de Saneamento do Parana
  171,095   796,227
 
Cia de Transmissao de Energia Eletrica Paulista
  74,803   387,761
 
Cia Energetica de Minas Gerais
  241,032   841,410
 
Cia Energetica de Sao Paulo, Class B
  73,611   546,763
 
Cia Energetica do Ceara, Class A
  6,382   92,990
 
Cia Ferro Ligas da Bahia - FERBASA
  25,100   114,288
 
Cia Paranaense de Energia
  40,026   686,197
 
Eucatex SA Industria e Comercio
  23,400   40,871
 
Gerdau SA
  293,700   1,375,026
 
Grazziotin SA
  3,000   23,117
 
Itau Unibanco Holding SA
  769,000   5,893,284
 
Lojas Americanas SA
  74,135   476,911
 
Marcopolo SA
  220,542   249,247
 
Petroleo Brasileiro SA
  1,681,849   11,172,793
 
Randon SA Implementos e Participacoes
  72,226   229,364
 
Schulz SA
  14,600   40,228
 
Telefonica Brasil SA
  70,769   981,406
 
Unipar Carbocloro SA
  46,454   354,702
 
Usinas Siderurgicas de Minas Gerais SA, Class A
  189,716   426,602
TOTAL BRAZIL
      31,316,117
CHILE — (0.0%)
 
Coca-Cola Embonor SA, Class B
  76,479   114,105
 
Embotelladora Andina SA, Class B
  104,442   272,621
 
Sociedad Quimica y Minera de Chile SA, Class B
  1,041   29,031
TOTAL CHILE
      415,757
COLOMBIA — (0.1%)
 
Avianca Holdings SA
  234,897   138,397
 
Banco Davivienda SA
  24,468   328,959
 
Bancolombia SA
  2,446   31,970
 
Grupo Argos SA
  11,723   44,561
 
Grupo Aval Acciones y Valores SA
  834,179   353,672
 
Grupo de Inversiones Suramericana SA
  18,894   154,135
TOTAL COLOMBIA
      1,051,694
SOUTH KOREA — (0.0%)
*
AMOREPACIFIC Group
  235   9,553
TOTAL PREFERRED STOCKS
      32,793,121
RIGHTS/WARRANTS — (0.0%)
CHINA — (0.0%)
*
Legend Holdings Corp. Rights 05/23/19
  7,100   0
MALAYSIA — (0.0%)
*
Guan Chong Bhd Rights 11/04/22
  1   0
*
Serba Dinamik Holdings Bhd Rights 12/31/2099
  170,580   13,944
TOTAL MALAYSIA
      13,944
SOUTH AFRICA — (0.0%)
*
Brait SE Rights 02/14/2020
  275,016   28,769
TAIWAN — (0.0%)
*
QST International Corp. Rights 02/11/20
  2,131   0
Emerging Markets Social Core Equity Portfolio
CONTINUED
      Shares   Value»
 
THAILAND — (0.0%)
*
BTS Group Holdings PCL Warrants 02/16/21
  86,090   $0
*
Property Perfect Rights 09/30/19
  1,055,913   0
TOTAL THAILAND
      0
TOTAL RIGHTS/WARRANTS
      42,713
TOTAL INVESTMENT SECURITIES

(Cost $1,244,677,358)
      1,486,952,980
    
        Value†
SECURITIES LENDING COLLATERAL — (1.7%)
@§
The DFA Short Term Investment Fund
  2,184,328 25,277,049
TOTAL INVESTMENTS — (100.0%)  
(Cost $1,270,987,434)^^
    $1,512,230,029
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Common Stocks              
Belgium
—   $25,270   —   $25,270
Brazil
$117,100,311   5,848   —   117,106,159
Chile
6,281,630   8,308,105   —   14,589,735
China
64,498,873   269,617,227   —   334,116,100
Colombia
5,527,343   —   —   5,527,343
Czech Republic
—   2,813,687   —   2,813,687
Egypt
13,878   1,408,555   —   1,422,433
Greece
—   6,298,090   —   6,298,090
Hong Kong
—   16,038   —   16,038
Hungary
—   4,668,716   —   4,668,716
India
4,013,733   158,927,354   —   162,941,087
Indonesia
2,459,354   34,581,019   —   37,040,373
Malaysia
—   32,459,129   —   32,459,129
Mexico
48,695,340   56   —   48,695,396
Peru
3,017,746   122   —   3,017,868
Philippines
282,317   17,295,084   —   17,577,401
Poland
—   18,486,463   —   18,486,463
Russia
9,127,142   18,656,772   —   27,783,914
South Africa
11,523,665   73,351,603   —   84,875,268
South Korea
3,933,672   213,328,555   —   217,262,227
Taiwan
40,164,595   216,406,807   —   256,571,402
Thailand
47,162,199   1,772   —   47,163,971
Turkey
16,242   13,642,834   —   13,659,076
Preferred Stocks              
Brazil
31,316,117   —   —   31,316,117
Chile
—   415,757   —   415,757
Colombia
1,051,694   —   —   1,051,694
South Korea
—   9,553   —   9,553
Rights/Warrants              
Malaysia
—   13,944   —   13,944
South Africa
—   28,769   —   28,769
Securities Lending Collateral
—   25,277,049   —   25,277,049
TOTAL
$396,185,851   $1,116,044,178   —   $1,512,230,029
Tax-Managed U.S. Marketwide Value Portfolio
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
      Value†
AFFILIATED INVESTMENT COMPANIES — (100.0%)
Investment in The Tax-Managed U.S. Marketwide Value Series of

The DFA Investment Trust Company
  $5,368,847,635
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES^^
  $5,368,847,635
Summary of the Portfolio's Master Fund's investments as of January 31, 2020, based on their valuation inputs, is located within this report (see Security Valuation Note).
Tax-Managed U.S. Equity Portfolio
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
    
      Shares   Value†
COMMON STOCKS — (97.5%)
COMMUNICATION SERVICES — (9.9%)
 
Activision Blizzard, Inc.
  145,299   $8,497,086
*
Alaska Communications Systems Group, Inc.
  1,400   2,856
*
Alphabet, Inc., Class A
  41,495   59,453,206
*
Alphabet, Inc., Class C
  43,652   62,607,008
*
Altice USA, Inc., Class A
  21,272   582,002
#*
AMC Networks, Inc., Class A
  7,581   277,389
#*
ANGI Homeservices, Inc., Class A
  7,188   57,720
#
Anterix, Inc.
  1,500   69,690
 
AT&T, Inc.
  1,142,510   42,981,226
 
ATN International, Inc.
  1,149   66,493
#*
Bandwidth, Inc., Class A
  1,756   124,606
 
Beasley Broadcast Group, Inc., Class A
  325   1,227
*
Boingo Wireless, Inc.
  6,700   75,308
 
Cable One, Inc.
  700   1,192,821
#*
Care.com, Inc.
  2,690   40,269
*
Cargurus, Inc.
  13,090   466,659
#*
Cars.com, Inc.
  12,288   143,401
 
CenturyLink, Inc.
  114,437   1,563,209
*
Charter Communications, Inc., Class A
  22,137   11,455,012
#*
Cincinnati Bell, Inc.
  7,080   97,067
#
Cinemark Holdings, Inc.
  16,616   523,570
*
Clear Channel Outdoor Holdings, Inc.
  3,850   10,511
 
Cogent Communications Holdings, Inc.
  7,093   503,106
 
Comcast Corp., Class A
  632,859   27,333,180
#*
comScore, Inc.
  3,105   12,265
#*
Discovery, Inc., Class A
  23,481   687,054
*
Discovery, Inc., Class C
  49,542   1,375,781
*
DISH Network Corp., Class A
  37,997   1,396,770
*
Electronic Arts, Inc.
  40,040   4,321,117
 
Entercom Communications Corp., Class A
  21,810   86,586
 
Entravision Communications Corp., Class A
  7,308   16,224
 
EW Scripps Co. (The), Class A
  5,927   71,954
*
Facebook, Inc., Class A
  333,191   67,274,595
 
Fox Corp., Class A
  45,922   1,702,788
*
Fox Corp., Class B
  21,151   768,416
#
Gannett Co., Inc.
  12,726   77,756
*
GCI Liberty, Inc., Class A
  12,572   920,019
*
Glu Mobile, Inc.
  13,614   80,323
*
Gray Television, Inc.
  14,471   293,472
*
IAC/InterActiveCorp
  11,168   2,720,413
*
IDT Corp., Class B
  1,800   13,608
*
IMAX Corp.
  8,955   148,116
#*
Intelsat SA
  7,282   24,832
 
Interpublic Group of Cos., Inc. (The)
  54,513   1,237,445
*
Iridium Communications, Inc.
  10,799   275,914
 
John Wiley & Sons, Inc., Class A
  7,302   318,513
*
Liberty Broadband Corp., Class A
  3,994   525,570
*
Liberty Broadband Corp., Class C
  15,388   2,045,527
*
Liberty Latin America, Ltd., Class A
  2,900   48,372
#*
Liberty Latin America, Ltd., Class C
  16,586   279,474
#*
Liberty Media Corp.-Liberty Braves, Class A
  1,077   31,502
*
Liberty Media Corp.-Liberty Braves, Class B
  20   690
*
Liberty Media Corp.-Liberty Braves, Class C
  2,265   66,025
#*
Liberty Media Corp.-Liberty Formula One, Class A
  2,694   120,018
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
COMMUNICATION SERVICES — (Continued)
*
Liberty Media Corp.-Liberty Formula One, Class C
  26,872   $1,257,341
*
Liberty Media Corp.-Liberty SiriusXM, Class A
  12,538   608,971
*
Liberty Media Corp.-Liberty SiriusXM, Class B
  200   9,857
*
Liberty Media Corp.-Liberty SiriusXM, Class C
  23,330   1,143,637
*
Liberty TripAdvisor Holdings, Inc., Class A
  10,445   61,521
#*
Lions Gate Entertainment Corp., Class A
  9,697   96,291
*
Lions Gate Entertainment Corp., Class B
  11,761   109,730
#*
Live Nation Entertainment, Inc.
  21,437   1,461,146
*
Madison Square Garden Co. (The), Class A
  2,310   684,199
 
Marcus Corp. (The)
  2,400   69,960
#*
Match Group, Inc.
  8,088   632,643
#
Meredith Corp.
  4,576   137,509
#*
MSG Networks, Inc., Class A
  5,934   90,256
 
National CineMedia, Inc.
  6,419   47,372
*
Netflix, Inc.
  59,889   20,667,095
#
New York Times Co. (The), Class A
  18,633   596,442
 
News Corp., Class A
  52,850   719,817
 
News Corp., Class B
  16,856   235,478
#
Nexstar Media Group, Inc., Class A
  6,762   819,216
#
Omnicom Group, Inc.
  30,860   2,324,067
*
ORBCOMM, Inc.
  7,396   26,552
#*
QuinStreet, Inc.
  8,288   107,371
#*
Roku, Inc.
  9,914   1,199,098
 
Saga Communications, Inc., Class A
  575   17,434
 
Salem Media Group, Inc.
  400   552
 
Scholastic Corp.
  2,600   85,670
#
Shenandoah Telecommunications Co.
  7,800   314,730
 
Sinclair Broadcast Group, Inc., Class A
  10,008   299,439
#
Sirius XM Holdings, Inc.
  235,876   1,667,643
#*
Snap, Inc., Class A
  22,736   417,888
 
Spok Holdings, Inc.
  2,839   30,150
#*
Sprint Corp.
  89,897   392,850
*
Take-Two Interactive Software, Inc.
  15,957   1,988,880
#
TEGNA, Inc.
  23,899   403,893
 
Telephone & Data Systems, Inc.
  15,539   352,425
*
T-Mobile US, Inc.
  46,394   3,673,941
 
TripAdvisor, Inc.
  13,717   374,748
#*
TrueCar Inc.
  4,430   16,391
*
Twitter, Inc.
  91,386   2,968,217
*
United States Cellular Corp.
  1,000   32,020
 
Verizon Communications, Inc.
  572,491   34,028,865
#
ViacomCBS, Inc., Class A
  5,838   221,727
 
ViacomCBS, Inc., Class B
  70,041   2,390,499
*
Vonage Holdings Corp.
  25,192   223,453
 
Walt Disney Co. (The)
  272,217   37,650,333
 
World Wrestling Entertainment, Inc., Class A
  5,200   254,176
*
Yelp, Inc.
  9,465   308,559
*
Zayo Group Holdings, Inc.
  27,414   952,636
#*
Zedge, Inc., Class B
  600   1,020
#*
Zillow Group, Inc., Class A
  7,369   340,448
#*
Zillow Group, Inc., Class C
  18,207   841,345
*
Zynga, Inc., Class A
  117,300   706,146
TOTAL COMMUNICATION SERVICES
      429,127,408
CONSUMER DISCRETIONARY — (10.4%)
*
1-800-Flowers.com, Inc., Class A
  3,914   59,454
 
Aaron's, Inc.
  14,569   864,816
#
Abercrombie & Fitch Co., Class A
  8,850   144,786
 
Acushnet Holdings Corp.
  2,786   86,282
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
CONSUMER DISCRETIONARY — (Continued)
*
Adient P.L.C.
  11,297   $290,446
*
Adtalem Global Education, Inc.
  8,180   282,292
 
Advance Auto Parts, Inc.
  9,911   1,305,774
*
Amazon.com, Inc.
  57,607   115,716,333
#*
American Axle & Manufacturing Holdings, Inc.
  13,471   124,472
#
American Eagle Outfitters, Inc.
  22,400   322,560
#*
American Outdoor Brands Corp.
  5,464   51,471
*
American Public Education, Inc.
  2,200   52,426
*
America's Car-Mart, Inc.
  1,100   120,758
 
Aptiv P.L.C.
  35,433   3,004,364
 
Aramark
  31,206   1,377,433
#*
Asbury Automotive Group, Inc.
  2,900   279,705
 
Autoliv, Inc.
  12,046   923,085
*
AutoNation, Inc.
  8,573   363,838
*
AutoZone, Inc.
  3,512   3,715,556
*
Barnes & Noble Education, Inc.
  4,113   14,149
 
Bassett Furniture Industries, Inc.
  306   3,742
*
BBQ Holdings, Inc.
  1,332   5,488
*
Beazer Homes USA, Inc.
  779   10,711
#
Bed Bath & Beyond, Inc.
  18,932   269,781
 
Best Buy Co., Inc.
  33,324   2,822,210
#
Big 5 Sporting Goods Corp.
  2,146   8,005
 
Big Lots, Inc.
  5,898   159,600
*
Biglari Holdings, Inc., Class B
  7   759
 
BJ's Restaurants, Inc.
  3,098   123,238
 
Bloomin' Brands, Inc.
  13,400   278,318
*
Booking Holdings, Inc.
  6,080   11,129,744
*
Boot Barn Holdings, Inc.
  3,837   161,039
 
BorgWarner, Inc.
  30,075   1,031,272
 
Boyd Gaming Corp.
  5,900   176,115
*
Bright Horizons Family Solutions, Inc.
  8,347   1,366,654
#
Brinker International, Inc.
  6,176   263,653
 
Brunswick Corp.
  12,048   757,217
#
Buckle, Inc. (The)
  3,112   75,964
*
Burlington Stores, Inc.
  9,600   2,087,712
#*
Caesars Entertainment Corp.
  53,109   726,000
 
Caleres, Inc.
  5,187   91,032
 
Callaway Golf Co.
  13,384   286,685
*
Capri Holdings, Ltd.
  16,100   482,356
#*
CarMax, Inc.
  23,538   2,284,128
 
Carnival Corp.
  59,462   2,588,381
 
Carriage Services, Inc.
  2,167   51,293
#*
Carrols Restaurant Group, Inc.
  4,867   22,096
 
Carter's, Inc.
  6,764   717,457
#*
Carvana Co.
  6,408   507,834
 
Cato Corp. (The), Class A
  2,761   44,286
*
Cavco Industries, Inc.
  1,157   259,191
*
Century Communities, Inc.
  1,616   47,947
#
Cheesecake Factory, Inc. (The)
  6,350   243,840
#*
Chegg, Inc.
  14,531   599,113
#
Chico's FAS, Inc.
  18,000   70,020
#
Children's Place, Inc. (The)
  2,340   139,628
*
Chipotle Mexican Grill, Inc.
  3,774   3,271,152
#
Choice Hotels International, Inc.
  5,483   549,397
#
Churchill Downs, Inc.
  5,691   821,667
*
Chuy's Holdings, Inc.
  2,100   51,555
 
Citi Trends, Inc.
  1,200   27,948
 
Collectors Universe, Inc.
  600   14,736
#
Columbia Sportswear Co.
  4,654   437,104
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
CONSUMER DISCRETIONARY — (Continued)
#*
Conn's, Inc.
  2,882   $25,246
#
Cooper Tire & Rubber Co.
  9,301   246,383
*
Cooper-Standard Holdings, Inc.
  2,453   65,054
 
Core-Mark Holding Co., Inc.
  6,545   153,415
 
Cracker Barrel Old Country Store, Inc.
  2,416   369,479
*
Crocs, Inc.
  9,700   367,727
 
Culp, Inc.
  1,492   18,844
 
Dana, Inc.
  18,876   290,879
 
Darden Restaurants, Inc.
  17,885   2,082,351
#
Dave & Buster's Entertainment, Inc.
  4,945   218,371
*
Deckers Outdoor Corp.
  4,300   820,913
*
Delphi Technologies P.L.C.
  9,836   150,884
*
Denny's Corp.
  11,080   226,808
#
Designer Brands, Inc., Class A
  9,116   129,812
*
Destination XL Group, Inc.
  4,200   4,662
#
Dick's Sporting Goods, Inc.
  10,939   483,832
#
Dillard's, Inc., Class A
  1,953   118,586
#
Dine Brands Global, Inc.
  2,200   187,550
 
Dollar General Corp.
  36,786   5,643,340
*
Dollar Tree, Inc.
  32,938   2,867,912
 
Domino's Pizza, Inc.
  5,701   1,606,257
*
Dorman Products, Inc.
  4,878   340,484
 
DR Horton, Inc.
  49,537   2,932,590
 
Dunkin' Brands Group, Inc.
  11,985   935,909
 
eBay, Inc.
  120,913   4,057,840
#*
Eldorado Resorts, Inc.
  6,704   400,765
 
Ethan Allen Interiors, Inc.
  2,900   46,835
*
Etsy, Inc.
  16,299   795,554
*
Everi Holdings, Inc.
  5,930   74,125
 
Expedia Group, Inc.
  19,364   2,100,026
 
Extended Stay America, Inc.
  24,500   316,540
*
Fiesta Restaurant Group, Inc.
  2,996   29,750
*
Five Below, Inc.
  7,721   874,172
 
Flexsteel Industries, Inc.
  300   4,920
#*
Floor & Decor Holdings, Inc., Class A
  7,638   376,630
 
Foot Locker, Inc.
  16,311   619,329
 
Ford Motor Co.
  503,060   4,436,989
#*
Fossil Group, Inc.
  8,037   54,089
*
Fox Factory Holding Corp.
  6,502   427,962
*
frontdoor, Inc.
  9,601   408,811
#
GameStop Corp., Class A
  12,940   49,690
 
Gap, Inc. (The)
  27,680   481,909
 
Garmin, Ltd.
  15,640   1,516,298
*
Garrett Motion, Inc.
  10,009   84,276
 
General Motors Co.
  178,711   5,967,160
#*
Genesco, Inc.
  2,400   94,368
 
Gentex Corp.
  39,490   1,175,617
*
Gentherm, Inc.
  4,803   221,466
 
Genuine Parts Co.
  20,593   1,926,887
*
G-III Apparel Group, Ltd.
  7,975   217,000
 
Goodyear Tire & Rubber Co. (The)
  31,675   415,893
 
Graham Holdings Co., Class B
  608   333,926
#*
Grand Canyon Education, Inc.
  6,920   541,698
 
Group 1 Automotive, Inc.
  2,780   280,141
#*
Groupon, Inc.
  67,510   194,429
#*
GrubHub, Inc.
  12,333   667,832
 
Guess?, Inc.
  9,826   209,196
#
H&R Block, Inc.
  31,265   725,348
 
Hamilton Beach Brands Holding Co., Class A
  574   9,069
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
CONSUMER DISCRETIONARY — (Continued)
#
Hanesbrands, Inc.
  51,734   $711,860
#
Harley-Davidson, Inc.
  24,000   801,600
 
Hasbro, Inc.
  17,548   1,787,615
#
Haverty Furniture Cos., Inc.
  1,700   34,221
*
Helen of Troy, Ltd.
  3,400   642,770
#*
Hibbett Sports, Inc.
  2,888   71,565
*
Hilton Grand Vacations, Inc.
  14,005   446,900
 
Hilton Worldwide Holdings, Inc.
  37,820   4,076,996
 
Home Depot, Inc. (The)
  157,337   35,888,570
 
Hooker Furniture Corp.
  1,300   32,032
*
Houghton Mifflin Harcourt Co.
  3,402   18,779
#
Hyatt Hotels Corp., Class A
  6,193   523,556
*
Installed Building Products, Inc.
  3,123   231,508
#
International Game Technology P.L.C.
  7,805   105,289
#*
iRobot Corp.
  3,667   172,532
*
J Alexander's Holdings, Inc.
  1,458   13,968
#
Jack in the Box, Inc.
  3,806   311,140
 
Johnson Outdoors, Inc., Class A
  1,187   93,298
*
K12, Inc.
  3,115   50,276
 
KB Home
  8,900   334,195
#*
Kirkland's, Inc.
  1,502   1,727
 
Kohl's Corp.
  23,760   1,015,740
#*
Kontoor Brands, Inc.
  6,566   250,427
#
L Brands, Inc.
  32,088   743,158
*
Lakeland Industries, Inc.
  1,000   13,940
#*
Lands' End, Inc.
  1,303   15,180
 
Las Vegas Sands Corp.
  49,030   3,202,149
*
Laureate Education, Inc., Class A
  11,129   231,928
 
La-Z-Boy, Inc.
  6,000   183,840
 
LCI Industries
  3,891   420,111
*
Leaf Group, Ltd.
  553   1,930
 
Lear Corp.
  8,444   1,040,132
 
Leggett & Platt, Inc.
  18,177   865,043
 
Lennar Corp., Class A
  42,212   2,801,188
 
Lennar Corp., Class B
  1,957   102,762
#*
LGI Homes, Inc.
  2,722   217,052
 
Lifetime Brands, Inc.
  300   2,031
#
Lithia Motors, Inc., Class A
  2,987   405,157
*
LKQ Corp.
  45,879   1,499,555
 
Lowe's Cos., Inc.
  107,540   12,500,450
*
Luby's, Inc.
  1,849   4,475
*
Lululemon Athletica, Inc.
  12,630   3,023,496
*
M/I Homes, Inc.
  2,750   122,073
#
Macy's, Inc.
  41,752   665,944
*
Malibu Boats, Inc., Class A
  3,500   153,265
 
Marine Products Corp.
  1,049   14,686
*
MarineMax, Inc.
  4,119   82,092
 
Marriott International, Inc., Class A
  39,776   5,571,027
 
Marriott Vacations Worldwide Corp.
  6,493   780,718
*
MasterCraft Boat Holdings, Inc.
  3,540   62,198
#*
Mattel, Inc.
  41,721   610,378
 
McDonald's Corp.
  107,945   23,096,992
 
MDC Holdings, Inc.
  9,204   387,857
»
Media General, Inc.
  3,778   357
*
Meritage Homes Corp.
  3,700   262,552
 
MGM Resorts International
  54,564   1,694,758
#*
Michaels Cos., Inc. (The)
  10,455   51,543
*
Modine Manufacturing Co.
  8,649   60,802
*
Mohawk Industries, Inc.
  8,319   1,095,446
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
CONSUMER DISCRETIONARY — (Continued)
#*
Monarch Casino & Resort, Inc.
  1,845   $99,040
#
Monro, Inc.
  5,378   337,201
#*
Motorcar Parts of America, Inc.
  2,528   50,206
#
Movado Group, Inc.
  2,362   40,674
*
Murphy USA, Inc.
  4,848   495,320
 
Nathan's Famous, Inc.
  509   33,594
*
National Vision Holdings, Inc.
  7,815   266,648
*
Nautilus, Inc.
  4,149   13,194
 
Newell Brands, Inc.
  39,875   778,759
 
NIKE, Inc., Class B
  173,165   16,675,789
#
Nordstrom, Inc.
  17,457   643,465
*
Norwegian Cruise Line Holdings, Ltd.
  26,978   1,452,765
*
NVR, Inc.
  490   1,870,315
 
Office Depot, Inc.
  68,875   152,902
#*
Ollie's Bargain Outlet Holdings, Inc.
  7,467   396,050
*
O'Reilly Automotive, Inc.
  11,295   4,586,899
 
Oxford Industries, Inc.
  2,882   200,011
#
Papa John's International, Inc.
  3,800   246,164
#*
Party City Holdco, Inc.
  9,859   28,394
*
Penn National Gaming, Inc.
  10,066   300,269
#
Penske Automotive Group, Inc.
  4,700   220,759
*
Perdoceo Education Corp.
  6,800   120,904
 
PetMed Express, Inc.
  2,200   55,462
*
Planet Fitness, Inc., Class A
  12,471   1,007,532
*
PlayAGS, Inc.
  5,260   54,073
#
Polaris, Inc.
  8,338   765,762
 
Pool Corp.
  5,784   1,268,431
 
PulteGroup, Inc.
  36,663   1,637,003
 
PVH Corp.
  9,783   852,784
#*
Quotient Technology Inc.
  8,507   85,665
*
Qurate Retail, Inc.
  61,253   522,488
 
Ralph Lauren Corp.
  6,732   764,082
 
RCI Hospitality Holdings, Inc.
  1,000   17,730
*
Red Lion Hotels Corp.
  2,034   5,614
#*
Red Robin Gourmet Burgers, Inc.
  3,072   100,977
 
Red Rock Resorts, Inc., Class A
  8,652   212,061
#*
Regis Corp.
  4,556   70,709
 
Rent-A-Center, Inc.
  6,145   179,004
#*
RH
  2,835   591,806
 
Rocky Brands, Inc.
  231   6,269
 
Ross Stores, Inc.
  50,961   5,717,315
 
Royal Caribbean Cruises, Ltd.
  23,200   2,716,256
*
Rubicon Project, Inc. (The)
  1,283   12,009
 
Ruth's Hospitality Group, Inc.
  4,284   87,822
#*
Sally Beauty Holdings, Inc.
  17,735   272,232
#*
Scientific Games Corp., Class A
  12,254   304,389
*
SeaWorld Entertainment, Inc.
  7,469   257,382
 
Service Corp. International
  22,783   1,092,445
*
ServiceMaster Global Holdings, Inc.
  18,614   671,035
#*
Shake Shack, Inc., Class A
  3,585   241,808
*
Shiloh Industries, Inc.
  1,564   5,302
 
Shoe Carnival, Inc.
  771   27,648
#*
Shutterstock, Inc.
  3,545   153,605
#
Signet Jewelers, Ltd.
  8,700   211,497
 
Six Flags Entertainment Corp.
  8,978   342,331
*
Skechers U.S.A., Inc., Class A
  19,250   719,757
*
Skyline Champion Corp.
  8,160   234,600
#*
Sleep Number Corp.
  5,594   288,594
 
Sonic Automotive, Inc., Class A
  4,001   126,552
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
CONSUMER DISCRETIONARY — (Continued)
*
Stamps.com, Inc.
  2,013   $149,948
 
Standard Motor Products, Inc.
  3,866   187,810
 
Starbucks Corp.
  172,390   14,623,844
 
Steven Madden, Ltd.
  10,338   398,633
*
Stoneridge, Inc.
  3,400   94,724
 
Strategic Education, Inc.
  3,690   598,850
 
Superior Group of Cos, Inc.
  324   3,736
#
Tailored Brands, Inc.
  6,906   27,486
*
Tandy Leather Factory, Inc.
  663   3,700
 
Tapestry, Inc.
  39,190   1,009,926
 
Target Corp.
  70,314   7,786,572
*
Taylor Morrison Home Corp.
  12,000   310,560
*
Tempur Sealy International, Inc.
  7,223   661,771
#
Tenneco, Inc., Class A
  6,595   62,455
*
Tesla, Inc.
  17,139   11,150,119
#
Texas Roadhouse, Inc.
  9,593   599,562
#
Thor Industries, Inc.
  6,891   554,863
 
Tiffany & Co.
  14,675   1,966,743
 
TJX Cos., Inc. (The)
  170,258   10,052,032
 
Toll Brothers, Inc.
  20,185   895,407
*
TopBuild Corp.
  5,949   681,220
 
Tractor Supply Co.
  17,053   1,585,076
#*
TRI Pointe Group, Inc.
  14,747   239,786
 
Tupperware Brands Corp.
  6,100   38,186
*
Ulta Salon Cosmetics & Fragrance, Inc.
  7,773   2,082,464
#*
Under Armour, Inc., Class A
  25,722   519,070
#*
Under Armour, Inc., Class C
  29,264   525,581
*
Unifi, Inc.
  1,766   38,004
*
Universal Electronics, Inc.
  1,700   84,201
#*
Urban Outfitters, Inc.
  10,550   270,080
 
Vail Resorts, Inc.
  5,629   1,320,057
#*
Veoneer, Inc.
  10,946   142,626
*
Vera Bradley, Inc.
  2,206   21,133
 
VF Corp.
  45,962   3,813,467
*
Vista Outdoor, Inc.
  7,300   54,239
#*
Visteon Corp.
  4,607   367,685
#*
Wayfair, Inc., Class A
  7,810   731,797
 
Wendy's Co. (The)
  26,524   574,775
#
Whirlpool Corp.
  9,105   1,330,878
#*
William Lyon Homes, Class A
  4,412   102,314
 
Williams-Sonoma, Inc.
  11,160   782,093
 
Wingstop, Inc.
  4,405   408,652
 
Winmark Corp.
  300   59,691
 
Winnebago Industries, Inc.
  5,624   307,970
 
Wolverine World Wide, Inc.
  10,800   340,956
#*
WW International, Inc
  5,008   165,164
 
Wyndham Destinations, Inc.
  13,602   660,105
 
Wyndham Hotels & Resorts, Inc.
  13,602   777,626
 
Wynn Resorts, Ltd.
  10,942   1,380,443
 
Yum! Brands, Inc.
  43,884   4,641,611
#*
ZAGG, Inc.
  171   1,293
*
Zumiez, Inc.
  2,400   74,808
TOTAL CONSUMER DISCRETIONARY
      450,143,870
CONSUMER STAPLES — (6.6%)
 
Alico, Inc.
  496   17,851
 
Altria Group, Inc.
  251,109   11,935,211
 
Andersons, Inc. (The)
  3,670   83,015
 
Archer-Daniels-Midland Co.
  79,111   3,541,008
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
CONSUMER STAPLES — (Continued)
#
B&G Foods, Inc.
  8,042   $129,155
#*
BJ's Wholesale Club Holdings, Inc.
  15,319   314,346
#*
Boston Beer Co., Inc. (The), Class A
  1,385   493,586
 
Brown-Forman Corp., Class A
  14,752   948,111
#
Brown-Forman Corp., Class B
  39,860   2,696,130
 
Bunge, Ltd.
  19,314   1,012,633
#
Calavo Growers, Inc.
  2,564   196,428
#
Cal-Maine Foods, Inc.
  4,200   149,898
 
Campbell Soup Co.
  25,236   1,221,170
 
Casey's General Stores, Inc.
  5,202   836,794
*
Central Garden & Pet Co.
  1,175   37,847
*
Central Garden & Pet Co., Class A
  5,929   177,633
#*
Chefs' Warehouse, Inc. (The)
  4,080   148,512
 
Church & Dwight Co., Inc.
  35,040   2,600,669
 
Clorox Co. (The)
  17,676   2,780,612
 
Coca-Cola Co. (The)
  560,631   32,740,850
 
Coca-Cola Consolidated, Inc.
  781   211,503
 
Colgate-Palmolive Co.
  116,444   8,591,238
 
Conagra Brands, Inc.
  61,443   2,022,704
 
Constellation Brands, Inc., Class A
  23,743   4,470,807
 
Costco Wholesale Corp.
  61,197   18,696,908
 
Coty, Inc., Class A
  45,805   469,959
*
Darling Ingredients, Inc.
  26,952   731,208
*
Edgewell Personal Care Co.
  7,514   194,012
 
Estee Lauder Cos., Inc. (The), Class A
  30,838   6,018,344
#*
Farmer Brothers Co.
  1,300   15,574
#
Flowers Foods, Inc.
  27,221   586,068
#
Fresh Del Monte Produce, Inc.
  5,548   174,096
 
General Mills, Inc.
  83,038   4,336,244
#*
Hain Celestial Group, Inc. (The)
  12,400   300,204
#*
Herbalife Nutrition, Ltd.
  17,200   668,220
 
Hershey Co. (The)
  19,837   3,078,107
#
Hormel Foods Corp.
  41,024   1,938,794
#*
Hostess Brands, Inc.
  12,730   170,837
 
Ingles Markets, Inc., Class A
  1,110   46,276
 
Ingredion, Inc.
  9,295   817,960
 
Inter Parfums, Inc.
  3,030   209,403
 
J&J Snack Foods Corp.
  1,991   330,188
 
JM Smucker Co. (The)
  15,490   1,604,919
 
John B. Sanfilippo & Son, Inc.
  1,301   109,674
 
Kellogg Co.
  35,563   2,425,752
#
Keurig Dr Pepper, Inc.
  28,064   800,666
 
Kimberly-Clark Corp.
  48,614   6,963,469
 
Kraft Heinz Co. (The)
  70,690   2,064,148
 
Kroger Co. (The)
  112,865   3,031,554
 
Lamb Weston Holdings, Inc.
  20,571   1,878,338
 
Lancaster Colony Corp.
  3,096   478,796
*
Landec Corp.
  3,992   44,710
*
Lifeway Foods, Inc.
  315   709
 
McCormick & Co., Inc.
  607   99,536
 
McCormick & Co., Inc. Non-Voting
  16,932   2,766,181
 
Medifast, Inc.
  2,100   202,923
#
MGP Ingredients, Inc.
  2,956   100,681
 
Molson Coors Beverage Co., Class B
  22,047   1,225,372
 
Mondelez International, Inc., Class A
  203,605   11,682,855
*
Monster Beverage Corp.
  58,484   3,895,034
#*
National Beverage Corp.
  1,844   79,126
*
Natura & Co. Holding SA, ADR
  22,293   487,771
*
Natural Alternatives International, Inc.
  1,000   8,180
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
CONSUMER STAPLES — (Continued)
 
Nu Skin Enterprises, Inc., Class A
  7,059   $230,053
 
Oil-Dri Corp. of America
  641   22,691
 
PepsiCo, Inc.
  194,139   27,571,621
*
Performance Food Group Co.
  15,639   809,944
 
Philip Morris International, Inc.
  207,957   17,198,044
*
Pilgrim's Pride Corp.
  9,583   249,637
*
Post Holdings, Inc.
  9,248   967,063
 
PriceSmart, Inc.
  2,200   134,772
 
Procter & Gamble Co. (The)
  347,358   43,287,754
#*
Pyxus International, Inc.
  876   6,001
#*
Revlon, Inc., Class A
  1,909   40,795
#
Rocky Mountain Chocolate Factory, Inc.
  950   7,885
 
Sanderson Farms, Inc.
  2,941   404,946
*
Seneca Foods Corp., Class A
  500   19,775
*
Simply Good Foods Co. (The)
  8,484   194,878
 
SpartanNash Co.
  4,621   56,284
 
Spectrum Brands Holdings, Inc.
  6,297   386,699
*
Sprouts Farmers Market, Inc.
  16,414   256,551
 
Sysco Corp.
  68,280   5,608,519
#
Tootsie Roll Industries, Inc.
  2,373   80,943
#*
TreeHouse Foods, Inc.
  6,632   295,787
 
Tyson Foods, Inc., Class A
  41,051   3,392,044
*
United Natural Foods, Inc.
  6,000   43,200
 
United-Guardian, Inc.
  600   10,080
 
Universal Corp.
  3,647   193,838
*
US Foods Holding Corp.
  27,981   1,123,997
*
USANA Health Sciences, Inc.
  1,600   98,720
#
Vector Group, Ltd.
  13,792   181,227
 
Walgreens Boots Alliance, Inc.
  100,118   5,091,000
 
Walmart, Inc.
  201,176   23,032,640
#
WD-40 Co.
  1,826   341,133
#
Weis Markets, Inc.
  1,930   70,812
TOTAL CONSUMER STAPLES
      287,499,840
ENERGY — (3.5%)
 
Adams Resources & Energy, Inc.
  300   10,608
 
Apache Corp.
  38,209   1,048,455
*
Apergy Corp.
  12,138   313,889
 
Arch Coal, Inc., Class A
  2,689   138,564
 
Archrock, Inc.
  19,196   160,287
 
Baker Hughes Co.
  73,428   1,590,450
 
Cabot Oil & Gas Corp.
  60,126   847,175
 
Cactus, Inc., Class A
  7,666   220,934
#*
California Resources Corp.
  3,790   27,819
#*
Callon Petroleum Co.
  53,004   159,012
*
Cheniere Energy, Inc.
  31,700   1,877,908
 
Chevron Corp.
  267,765   28,688,342
 
Cimarex Energy Co.
  12,091   530,674
*
CNX Resources Corp.
  26,415   190,980
 
Concho Resources, Inc.
  25,623   1,941,711
 
ConocoPhillips
  156,447   9,297,645
#*
CONSOL Energy, Inc.
  3,000   24,390
 
Continental Resources, Inc.
  13,475   366,789
#
Core Laboratories NV
  4,453   156,434
#
CVR Energy, Inc.
  5,612   194,231
#
Delek US Holdings, Inc.
  10,681   293,300
#*
Denbury Resources, Inc.
  69,938   68,889
 
Devon Energy Corp.
  42,851   930,724
 
DHT Holdings, Inc.
  6,363   35,824
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
ENERGY — (Continued)
#*
Diamond Offshore Drilling, Inc.
  4,379   $20,275
 
Diamondback Energy, Inc.
  21,565   1,604,436
#
DMC Global, Inc.
  1,705   71,320
*
Dorian LPG, Ltd.
  487   6,389
#*
Dril-Quip, Inc.
  4,787   195,788
 
EnLink Midstream LLC
  7,482   37,634
 
EOG Resources, Inc.
  79,577   5,801,959
#
EQT Corp.
  31,015   187,641
#
Equitrans Midstream Corp.
  22,884   221,288
*
Era Group, Inc.
  2,200   21,868
*
Exterran Corp.
  5,062   27,335
 
Exxon Mobil Corp.
  579,866   36,021,276
*
Frank's International NV
  4,232   14,812
 
GasLog, Ltd.
  8,332   53,991
*
Geospace Technologies Corp.
  1,000   13,410
#
Green Plains, Inc.
  3,514   43,820
*
Gulf Island Fabrication, Inc.
  1,100   5,610
 
Halliburton Co.
  111,272   2,426,842
*
Helix Energy Solutions Group, Inc.
  29,825   248,740
 
Helmerich & Payne, Inc.
  17,784   721,141
 
Hess Corp.
  37,822   2,139,591
 
HollyFrontier Corp.
  23,391   1,050,724
*
International Seaways, Inc.
  2,164   48,171
 
Kinder Morgan, Inc.
  239,309   4,994,379
 
Kosmos Energy, Ltd.
  43,591   222,750
 
Marathon Oil Corp.
  113,277   1,287,959
 
Marathon Petroleum Corp.
  95,199   5,188,345
#*
Matador Resources Co.
  15,199   222,969
*
Matrix Service Co.
  3,244   65,269
#
Murphy Oil Corp.
  24,118   505,513
#
Nabors Industries, Ltd.
  48,775   100,964
 
NACCO Industries, Inc., Class A
  287   13,529
 
National Oilwell Varco, Inc.
  45,868   945,339
*
Natural Gas Services Group, Inc.
  1,600   16,832
*
Newpark Resources, Inc.
  18,686   93,430
*
NexTier Oilfield Solutions, Inc.
  9,344   48,122
 
Noble Energy, Inc.
  67,192   1,328,386
#*
Northern Oil and Gas, Inc.
  29,474   48,927
*
Oasis Petroleum, Inc.
  19,067   42,901
 
Occidental Petroleum Corp.
  105,705   4,198,603
*
Oceaneering International, Inc.
  16,090   199,677
*
Oil States International, Inc.
  8,123   87,566
 
ONEOK, Inc.
  58,148   4,353,541
 
Panhandle Oil and Gas, Inc., Class A
  2,000   14,460
*
Par Pacific Holdings, Inc.
  5,285   106,334
 
Parsley Energy, Inc., Class A
  41,843   696,268
#
Patterson-UTI Energy, Inc.
  27,725   220,137
 
PBF Energy, Inc., Class A
  15,842   432,487
*
PDC Energy, Inc.
  12,654   273,200
#
Peabody Energy Corp.
  6,060   40,966
*
Penn Virginia Corp.
  1,500   32,055
 
Phillips 66
  62,092   5,673,346
 
Pioneer Natural Resources Co.
  23,789   3,211,515
*
ProPetro Holding Corp.
  11,426   111,289
#*
Renewable Energy Group, Inc.
  5,800   152,424
*
REX American Resources Corp.
  400   30,140
#
RPC, Inc.
  9,225   41,789
 
Schlumberger, Ltd.
  152,807   5,120,563
 
Scorpio Tankers, Inc.
  5,675   132,455
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
ENERGY — (Continued)
*
SEACOR Holdings, Inc.
  2,200   $82,698
#*
SEACOR Marine Holdings, Inc.
  2,211   23,083
#
SFL Corp., Ltd.
  6,400   84,736
 
SM Energy Co.
  15,100   138,618
#*
Southwestern Energy Co.
  67,154   105,432
#*
Talos Energy, Inc.
  1,493   32,756
 
Targa Resources Corp.
  30,953   1,129,784
 
TechnipFMC P.L.C.
  52,104   860,237
*
Tidewater, Inc.
  2,855   43,339
 
Valaris P.L.C.
  8,950   45,735
 
Valero Energy Corp.
  61,712   5,202,939
*
W&T Offshore, Inc.
  6,703   27,750
 
Williams Cos., Inc. (The)
  159,016   3,290,041
 
World Fuel Services Corp.
  12,674   495,807
*
WPX Energy, Inc.
  61,784   738,319
TOTAL ENERGY
      152,654,798
FINANCIALS — (13.6%)
 
1st Source Corp.
  2,189   103,299
 
Affiliated Managers Group, Inc.
  6,797   542,740
 
Aflac, Inc.
  122,054   6,294,325
*
Alleghany Corp.
  2,171   1,731,720
 
Allstate Corp. (The)
  47,938   5,682,571
 
Ally Financial, Inc.
  57,843   1,852,711
*
Ambac Financial Group, Inc.
  5,480   117,436
 
American Equity Investment Life Holding Co.
  11,011   290,801
 
American Express Co.
  100,707   13,078,818
 
American Financial Group, Inc.
  10,824   1,177,543
 
American International Group, Inc.
  123,774   6,220,881
 
American National Insurance Co.
  1,169   128,777
 
American River Bankshares
  882   12,763
 
Ameriprise Financial, Inc.
  19,494   3,224,503
 
Ameris Bancorp
  6,188   248,696
 
AMERISAFE, Inc.
  2,573   176,045
 
AmeriServ Financial, Inc.
  100   410
 
Aon P.L.C.
  37,542   8,268,625
*
Arch Capital Group, Ltd.
  51,658   2,281,217
 
Ares Management Corp., Class A
  16,466   593,764
 
Argo Group International Holdings, Ltd.
  4,563   299,333
 
Arrow Financial Corp.
  1,060   37,164
 
Arthur J Gallagher & Co.
  24,432   2,505,990
 
Artisan Partners Asset Management, Inc., Class A
  8,297   277,120
 
Associated Banc-Corp
  24,056   479,436
 
Assurant, Inc.
  8,626   1,126,211
 
Assured Guaranty, Ltd.
  15,585   714,416
*
Asta Funding, Inc.
  47   483
*
Athene Holding, Ltd., Class A
  21,347   929,875
 
Atlantic Union Bankshares Corp.
  6,055   203,993
#*
Atlanticus Holdings Corp.
  1,196   16,696
 
Axis Capital Holdings, Ltd.
  12,040   773,570
*
Axos Financial, Inc.
  7,924   223,219
 
Banc of California, Inc.
  5,496   87,716
 
BancFirst Corp.
  1,856   107,277
*
Bancorp, Inc. (The)
  11,158   131,999
 
BancorpSouth Bank
  11,034   315,241
 
Bank of America Corp.
  1,304,159   42,815,540
#
Bank of Hawaii Corp.
  5,700   510,720
 
Bank of New York Mellon Corp. (The)
  124,181   5,560,825
 
Bank of NT Butterfield & Son, Ltd. (The)
  6,637   220,481
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Bank OZK
  16,396   $445,643
 
BankUnited, Inc.
  13,594   448,602
 
Banner Corp.
  5,157   265,843
*
Berkshire Hathaway, Inc., Class B
  272,020   61,049,449
 
Berkshire Hills Bancorp, Inc.
  7,985   224,778
 
BGC Partners, Inc., Class A
  34,233   197,524
 
BlackRock, Inc.
  16,542   8,723,424
 
Blackstone Group, Inc. (The), Class A
  25,268   1,543,117
*
Blucora, Inc.
  5,747   129,595
 
BOK Financial Corp.
  3,544   279,622
 
Boston Private Financial Holdings, Inc.
  16,355   186,447
 
Bridge Bancorp, Inc.
  439   13,324
*
Brighthouse Financial, Inc.
  15,457   601,277
*
BrightSphere Investment Group P.L.C.
  11,035   101,632
 
Brookline Bancorp, Inc.
  9,168   139,354
 
Brown & Brown, Inc.
  34,636   1,555,156
 
Bryn Mawr Bank Corp.
  2,727   102,317
 
Cadence BanCorp
  18,148   283,653
 
Camden National Corp.
  900   42,534
*
Cannae Holdings, Inc.
  8,442   343,252
#
Capital City Bank Group, Inc.
  1,069   30,488
 
Capital One Financial Corp.
  65,767   6,563,547
 
Capitol Federal Financial, Inc.
  16,210   213,648
 
Carolina Financial Corp.
  853   32,713
 
Cathay General Bancorp
  10,064   362,908
 
Cboe Global Markets, Inc.
  13,890   1,711,526
 
CenterState Bank Corp.
  13,823   311,847
 
Central Pacific Financial Corp.
  4,331   120,099
 
Charles Schwab Corp. (The)
  164,243   7,481,269
 
Chubb, Ltd.
  64,395   9,787,396
 
Cincinnati Financial Corp.
  20,767   2,179,497
 
CIT Group, Inc.
  14,192   648,716
 
Citigroup, Inc.
  331,672   24,679,714
 
Citizens Community Bancorp, Inc.
  600   7,188
 
Citizens Financial Group, Inc.
  63,145   2,354,046
#*
Citizens, Inc.
  4,015   24,331
 
City Holding Co.
  1,857   140,538
 
CME Group, Inc.
  49,592   10,766,919
 
CNA Financial Corp.
  4,268   190,481
 
CNB Financial Corp.
  280   8,277
 
CNO Financial Group, Inc.
  21,200   372,908
 
Cohen & Steers, Inc.
  3,355   248,203
 
Columbia Banking System, Inc.
  9,823   380,150
*
Columbia Financial, Inc.
  4,380   73,453
 
Comerica, Inc.
  22,555   1,379,464
#
Commerce Bancshares, Inc.
  15,536   1,051,166
 
Community Bank System, Inc.
  7,087   469,655
 
Community Trust Bancorp, Inc.
  1,749   76,519
 
ConnectOne Bancorp, Inc.
  3,250   76,733
*
Consumer Portfolio Services, Inc.
  1,025   3,618
#*
Cowen, Inc., Class A
  6,121   98,364
#
Crawford & Co., Class A
  3,717   32,487
 
Crawford & Co., Class B
  1,800   14,382
#*
Credit Acceptance Corp.
  1,774   761,011
#
Cullen/Frost Bankers, Inc.
  8,690   774,800
*
Customers Bancorp, Inc.
  2,950   63,071
 
CVB Financial Corp.
  13,135   272,814
 
Diamond Hill Investment Group, Inc.
  388   54,619
 
Dime Community Bancshares, Inc.
  5,980   116,072
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Discover Financial Services
  46,851   $3,519,916
 
Donegal Group, Inc., Class A
  1,374   19,167
*
Donnelley Financial Solutions, Inc.
  4,653   42,156
 
E*TRADE Financial Corp.
  34,791   1,482,792
 
Eagle Bancorp, Inc.
  5,963   260,583
 
East West Bancorp, Inc.
  18,946   868,485
 
Eaton Vance Corp.
  17,021   778,711
#*
eHealth, Inc.
  2,800   294,448
 
Employers Holdings, Inc.
  3,900   166,335
#*
Encore Capital Group, Inc.
  2,794   94,856
*
Enova International, Inc.
  4,161   104,275
*
Enstar Group, Ltd.
  1,377   268,914
 
Enterprise Financial Services Corp.
  3,580   155,766
#
Erie Indemnity Co., Class A
  3,717   618,880
 
ESSA Bancorp, Inc.
  707   11,984
 
Essent Group, Ltd.
  11,696   580,239
 
Evercore, Inc., Class A
  5,480   419,878
 
Everest Re Group, Ltd.
  5,600   1,548,792
#
FactSet Research Systems, Inc.
  5,709   1,633,402
 
FB Financial Corp.
  2,295   81,817
 
FBL Financial Group, Inc., Class A
  2,100   112,938
 
Federal Agricultural Mortgage Corp., Class C
  1,372   104,684
 
Federated Investors, Inc., Class B
  12,401   449,288
 
FedNat Holding Co.
  1,029   15,980
 
Fidelity National Financial, Inc.
  34,550   1,684,312
 
Fifth Third Bancorp
  106,991   3,043,894
 
Financial Institutions, Inc.
  1,243   38,297
 
First American Financial Corp.
  16,328   1,012,009
 
First Bancorp
  4,600   163,208
 
First BanCorp
  37,277   345,558
 
First Busey Corp.
  4,518   115,209
 
First Citizens BancShares, Inc., Class A
  1,022   538,410
 
First Commonwealth Financial Corp.
  18,545   250,728
 
First Community Bancshares, Inc.
  1,700   49,827
 
First Defiance Financial Corp.
  3,076   90,404
 
First Financial Bancorp
  10,146   243,910
#
First Financial Bankshares, Inc.
  18,270   612,410
 
First Financial Corp.
  1,135   47,364
 
First Hawaiian, Inc.
  8,300   241,198
 
First Horizon National Corp.
  47,233   755,728
 
First Interstate BancSystem, Inc., Class A
  3,727   143,489
 
First Merchants Corp.
  6,618   263,065
 
First Midwest Bancorp, Inc.
  13,632   271,822
 
First Republic Bank
  21,838   2,421,397
 
FirstCash, Inc.
  7,602   661,146
 
Flagstar Bancorp, Inc.
  3,528   124,327
 
Flushing Financial Corp.
  3,663   72,784
 
FNB Corp.
  48,442   565,318
#
Franklin Resources, Inc.
  43,820   1,108,646
 
Fulton Financial Corp.
  24,716   407,073
 
GAMCO Investors, Inc., Class A
  467   7,729
*
Genworth Financial, Inc., Class A
  57,056   233,930
 
German American Bancorp, Inc.
  2,097   71,696
 
Glacier Bancorp, Inc.
  10,240   433,869
 
Global Indemnity, Ltd.
  1,204   37,962
 
Globe Life, Inc
  14,850   1,548,261
 
Goldman Sachs Group, Inc. (The)
  46,722   11,108,155
#
Goosehead Insurance, Inc., Class A
  1,900   99,142
 
Great Southern Bancorp, Inc.
  1,100   62,601
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Great Western Bancorp, Inc.
  7,415   $219,113
*
Green Dot Corp., Class A
  6,227   187,308
#*
Greenlight Capital Re, Ltd., Class A
  2,682   24,969
*
Hallmark Financial Services, Inc.
  1,034   17,785
 
Hamilton Lane, Inc., Class A
  2,369   153,867
 
Hancock Whitney Corp.
  13,063   519,124
 
Hanmi Financial Corp.
  4,412   74,210
 
Hanover Insurance Group, Inc. (The)
  6,256   866,956
 
Hartford Financial Services Group, Inc. (The)
  49,236   2,918,710
#
HCI Group, Inc.
  1,104   48,874
 
Heartland Financial USA, Inc.
  4,337   212,123
 
Heritage Commerce Corp.
  6,041   70,076
 
Heritage Financial Corp.
  5,382   138,748
 
Hilltop Holdings, Inc.
  10,020   226,853
 
Home BancShares, Inc.
  20,650   394,828
*
HomeStreet, Inc.
  2,186   70,192
 
HomeTrust Bancshares, Inc.
  1,062   28,164
 
Hope Bancorp, Inc.
  15,457   214,930
 
Horace Mann Educators Corp.
  6,852   294,705
 
Horizon Bancorp, Inc.
  2,741   46,378
 
Houlihan Lokey, Inc.
  5,896   305,708
 
Huntington Bancshares, Inc.
  145,799   1,978,492
 
IBERIABANK Corp.
  7,980   580,226
 
Independence Holding Co.
  2,640   106,894
 
Independent Bank Corp.
  4,827   348,509
 
Independent Bank Group, Inc.
  3,987   213,384
#
Interactive Brokers Group, Inc., Class A
  9,172   431,084
 
Intercontinental Exchange, Inc.
  79,449   7,924,243
 
International Bancshares Corp.
  7,870   310,078
*
INTL. FCStone, Inc.
  2,928   139,548
 
Invesco, Ltd.
  48,960   847,008
 
Investors Bancorp, Inc.
  40,700   491,859
 
James River Group Holdings, Ltd.
  4,178   179,403
 
Janus Henderson Group P.L.C.
  23,677   598,318
 
Jefferies Financial Group, Inc.
  36,174   782,805
 
JPMorgan Chase & Co.
  467,565   61,886,903
 
Kearny Financial Corp.
  14,367   177,432
 
Kemper Corp.
  7,586   564,550
 
KeyCorp
  141,769   2,652,498
 
Kinsale Capital Group, Inc.
  3,185   363,791
 
Lakeland Bancorp, Inc.
  3,852   62,556
 
Lakeland Financial Corp.
  3,274   155,319
 
Lazard, Ltd., Class A
  12,235   513,381
 
Legg Mason, Inc.
  13,474   527,507
#*
LendingClub Corp.
  7,919   92,811
#*
LendingTree, Inc.
  1,121   348,855
 
Lincoln National Corp.
  28,868   1,572,729
#
Live Oak Bancshares, Inc.
  1,853   32,390
 
Loews Corp.
  36,005   1,852,457
 
LPL Financial Holdings, Inc.
  12,308   1,133,936
 
M&T Bank Corp.
  18,016   3,036,056
 
Macatawa Bank Corp.
  886   9,347
*
Markel Corp.
  1,959   2,297,848
 
MarketAxess Holdings, Inc.
  5,027   1,780,463
 
Marlin Business Services Corp.
  1,200   23,640
 
Marsh & McLennan Cos., Inc.
  75,068   8,397,106
*
MBIA, Inc.
  14,600   132,276
 
Mercantile Bank Corp.
  285   9,339
 
Mercury General Corp.
  3,136   153,946
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Meridian Bancorp, Inc.
  4,269   $76,799
 
Meta Financial Group, Inc.
  3,312   123,273
 
MetLife, Inc.
  114,695   5,701,488
 
MGIC Investment Corp.
  15,500   213,745
 
Moelis & Co., Class A
  6,804   244,944
 
Moody's Corp.
  24,111   6,191,464
 
Morgan Stanley
  178,850   9,346,701
 
Morningstar, Inc.
  3,131   491,223
#*
Mr Cooper Group, Inc.
  5,755   71,247
 
MSCI, Inc.
  11,941   3,412,738
 
Nasdaq, Inc.
  15,231   1,773,802
 
National Bank Holdings Corp., Class A
  4,119   134,279
 
National General Holdings Corp.
  7,887   171,700
 
National Western Life Group, Inc., Class A
  328   87,248
 
Navient Corp.
  42,747   614,702
 
NBT Bancorp, Inc.
  5,284   199,682
 
Nelnet, Inc., Class A
  3,140   179,796
#
New York Community Bancorp, Inc.
  64,046   708,349
»
NewStar Financial, Inc.
  3,834   2,693
*
NMI Holdings, Inc., Class A
  9,277   296,122
 
Northern Trust Corp.
  28,417   2,779,467
 
Northfield Bancorp, Inc.
  5,064   80,467
 
Northrim BanCorp, Inc.
  600   22,578
 
Northwest Bancshares, Inc.
  13,916   218,829
 
OceanFirst Financial Corp.
  5,616   130,628
 
OFG Bancorp
  7,161   141,143
#
Old National Bancorp
  20,761   371,830
 
Old Republic International Corp.
  35,057   790,535
 
OneMain Holdings, Inc.
  9,240   391,499
 
Oppenheimer Holdings, Inc., Class A
  765   21,076
 
Opus Bank
  2,493   66,401
*
Pacific Mercantile Bancorp
  1,425   9,875
 
Pacific Premier Bancorp, Inc.
  4,952   147,570
 
PacWest Bancorp
  15,683   549,689
 
Park National Corp.
  1,287   122,226
#
Patriot National Bancorp, Inc.
  20   266
 
Peapack Gladstone Financial Corp.
  1,562   45,657
 
Pennymac Financial Services, Inc.
  6,634   223,698
 
Peoples Bancorp, Inc.
  1,197   38,950
 
People's United Financial, Inc.
  53,140   819,419
 
Pinnacle Financial Partners, Inc.
  10,246   605,129
 
Piper Sandler Cos.
  1,704   140,461
 
PJT Partners, Inc., Class A
  2,689   123,748
 
PNC Financial Services Group, Inc. (The)
  64,610   9,597,815
 
Popular, Inc.
  12,467   697,653
*
PRA Group, Inc.
  5,700   201,552
 
Preferred Bank
  1,290   77,542
 
Primerica, Inc.
  6,182   732,938
 
Principal Financial Group, Inc.
  36,340   1,924,203
 
ProAssurance Corp.
  6,800   206,516
 
Progressive Corp. (The)
  80,974   6,533,792
 
Prosperity Bancshares, Inc.
  13,644   957,809
 
Protective Insurance Corp., Class B
  562   8,762
 
Provident Financial Services, Inc.
  8,862   202,142
 
Prudential Financial, Inc.
  57,143   5,203,442
 
Pzena Investment Management, Inc., Class A
  566   4,636
 
Radian Group, Inc.
  18,341   449,171
 
Raymond James Financial, Inc.
  17,400   1,590,882
*
Regional Management Corp.
  133   3,664
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Regions Financial Corp.
  145,331   $2,262,804
 
Reinsurance Group of America, Inc.
  8,590   1,237,389
 
RenaissanceRe Holdings, Ltd.
  5,405   1,023,923
 
Renasant Corp.
  7,295   232,929
 
Republic Bancorp, Inc., Class A
  805   33,730
#*
Republic First Bancorp, Inc.
  500   1,595
 
Riverview Bancorp, Inc.
  1,205   8,869
 
RLI Corp.
  6,014   559,362
 
S&P Global, Inc.
  34,388   10,100,787
 
S&T Bancorp, Inc.
  5,942   223,360
 
Safeguard Scientifics, Inc.
  1,767   18,801
 
Safety Insurance Group, Inc.
  1,800   165,744
 
Sandy Spring Bancorp, Inc.
  5,289   184,057
#
Santander Consumer USA Holdings, Inc.
  16,534   440,135
*
Seacoast Banking Corp. of Florida
  2,685   72,898
 
SEI Investments Co.
  20,218   1,319,427
 
Selective Insurance Group, Inc.
  8,098   536,492
 
ServisFirst Bancshares, Inc.
  5,118   188,086
 
Sierra Bancorp
  240   6,427
 
Signature Bank
  6,794   964,001
 
Simmons First National Corp., Class A
  11,400   273,372
 
SLM Corp.
  53,247   581,457
 
South State Corp.
  4,405   333,062
#
Southside Bancshares, Inc.
  3,294   115,554
 
State Auto Financial Corp.
  1,800   54,198
 
State Street Corp.
  50,526   3,821,281
 
Sterling Bancorp
  30,548   610,960
 
Stewart Information Services Corp.
  2,494   104,125
 
Stifel Financial Corp.
  8,789   568,560
 
Stock Yards Bancorp, Inc.
  2,599   100,685
*
SVB Financial Group
  6,992   1,680,387
 
Synchrony Financial
  93,362   3,025,862
 
Synovus Financial Corp.
  23,034   806,651
 
T Rowe Price Group, Inc.
  33,020   4,409,161
 
TCF Financial Corp.
  18,862   797,485
 
TD Ameritrade Holding Corp.
  38,548   1,830,259
 
Territorial Bancorp, Inc.
  840   24,385
*
Texas Capital Bancshares, Inc.
  5,603   307,941
#
TFS Financial Corp.
  9,945   203,176
*
Third Point Reinsurance, Ltd.
  3,922   42,711
 
Tompkins Financial Corp.
  1,215   104,599
 
Towne Bank
  7,933   210,621
 
Travelers Cos., Inc. (The)
  36,280   4,775,174
 
TriCo Bancshares
  1,628   59,259
*
Triumph Bancorp, Inc.
  4,799   187,065
 
Truist Financial Corp.
  187,401   9,664,270
 
TrustCo Bank Corp. NY
  7,300   57,889
#
Trustmark Corp.
  10,591   338,700
 
U.S. Bancorp.
  215,965   11,493,657
 
UMB Financial Corp.
  4,774   317,280
 
Umpqua Holdings Corp.
  24,579   415,385
 
United Bankshares, Inc.
  13,136   450,565
 
United Community Banks, Inc.
  10,398   290,312
 
United Community Financial Corp.
  596   6,514
 
United Fire Group, Inc.
  2,765   122,379
 
United Security Bancshares
  1,875   18,263
 
Universal Insurance Holdings, Inc.
  4,236   103,104
 
Univest Financial Corp.
  2,249   55,865
 
Unum Group
  29,554   788,796
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Valley National Bancorp
  46,678   $491,519
 
Value Line, Inc.
  300   9,885
 
Veritex Holdings, Inc.
  6,097   172,667
#
Virtu Financial, Inc., Class A
  6,550   109,319
 
Virtus Investment Partners, Inc.
  750   92,273
 
Voya Financial, Inc.
  20,581   1,229,303
#
Waddell & Reed Financial, Inc., Class A
  9,308   148,742
 
Walker & Dunlop, Inc.
  4,440   294,683
 
Washington Federal, Inc.
  11,396   387,464
 
Washington Trust Bancorp, Inc.
  1,700   80,461
 
Waterstone Financial, Inc.
  1,767   30,905
 
Webster Financial Corp.
  13,134   589,191
 
Wells Fargo & Co.
  589,936   27,691,596
 
WesBanco, Inc.
  5,168   171,164
 
West Bancorporation, Inc.
  2,033   46,535
 
Westamerica Bancorporation
  3,200   202,752
 
Western Alliance Bancorp
  14,411   795,920
 
Western New England Bancorp, Inc.
  4,099   36,809
 
Westwood Holdings Group, Inc.
  700   19,656
 
White Mountains Insurance Group, Ltd.
  483   539,617
 
Willis Towers Watson P.L.C.
  16,990   3,589,817
 
Wintrust Financial Corp.
  7,273   460,235
 
WisdomTree Investments, Inc.
  6,819   28,708
#*
World Acceptance Corp.
  933   80,677
 
WR Berkley Corp.
  20,598   1,514,571
 
WSFS Financial Corp.
  7,001   279,270
#
Zions Bancorp NA
  25,393   1,155,128
TOTAL FINANCIALS
      587,484,209
HEALTH CARE — (13.5%)
 
Abbott Laboratories
  278,430   24,262,390
 
AbbVie, Inc.
  223,884   18,139,082
*
ABIOMED, Inc.
  8,387   1,562,414
#*
Acadia Healthcare Co., Inc.
  11,576   371,937
#*
ACADIA Pharmaceuticals, Inc.
  25,966   1,037,082
#*
Acceleron Pharma Inc.
  956   86,786
#*
Accuray, Inc.
  125   486
#»
Achillion Pharmaceuticals, Inc.
  1,800   828
*
Addus HomeCare Corp.
  2,000   188,680
#*
Adverum Biotechnologies, Inc.
  9,518   93,943
 
Agilent Technologies, Inc.
  49,766   4,108,681
#*
Agios Pharmaceuticals, Inc.
  7,675   374,003
#*
Aimmune Therapeutics Inc.
  5,713   177,389
*
Alexion Pharmaceuticals, Inc.
  29,585   2,940,453
*
Align Technology, Inc.
  10,119   2,601,595
*
Alkermes P.L.C.
  18,500   322,085
 
Allergan P.L.C.
  35,721   6,666,967
*
Allscripts Healthcare Solutions, Inc.
  22,760   195,281
#*
Alnylam Pharmaceuticals, Inc.
  12,658   1,453,012
#*
AMAG Pharmaceuticals, Inc.
  4,612   40,862
*
Amedisys, Inc.
  4,237   747,788
 
AmerisourceBergen Corp.
  22,133   1,893,700
 
Amgen, Inc.
  84,121   18,174,342
*
Amicus Therapeutics, Inc.
  19,725   174,369
*
AMN Healthcare Services, Inc.
  6,328   426,381
*
Amphastar Pharmaceuticals, Inc.
  2,755   52,097
*
AnaptysBio, Inc.
  2,444   35,487
*
AngioDynamics, Inc.
  8,111   111,688
*
ANI Pharmaceuticals, Inc.
  786   48,732
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
HEALTH CARE — (Continued)
*
Anika Therapeutics, Inc.
  1,888   $77,616
 
Anthem, Inc.
  36,221   9,608,707
*
Arena Pharmaceuticals, Inc.
  8,044   367,530
#*
Atara Biotherapeutics, Inc.
  5,420   71,707
*
AtriCure Inc.
  4,507   175,322
 
Atrion Corp.
  200   143,838
*
Avanos Medical, Inc.
  7,033   193,689
 
Baxter International, Inc.
  68,835   6,141,459
 
Becton Dickinson and Co.
  37,516   10,323,653
*
BioDelivery Sciences International, Inc.
  4,425   23,231
*
Biogen, Inc.
  25,945   6,975,313
*
BioMarin Pharmaceutical, Inc.
  24,695   2,062,033
*
Bio-Rad Laboratories, Inc., Class A
  3,113   1,123,544
*
BioSpecifics Technologies Corp.
  324   19,142
 
Bio-Techne Corp.
  5,789   1,215,516
*
BioTelemetry, Inc.
  5,963   291,710
#*
Bluebird Bio, Inc.
  6,932   552,411
*
Boston Scientific Corp.
  194,600   8,147,902
 
Bristol-Myers Squibb Co.
  295,311   18,589,827
*
Brookdale Senior Living, Inc.
  33,789   222,670
 
Bruker Corp.
  14,667   725,577
#
Cantel Medical Corp.
  5,530   359,782
*
Capital Senior Living Corp.
  3,849   10,739
 
Cardinal Health, Inc.
  40,513   2,074,671
*
Cardiovascular Systems, Inc.
  6,970   316,368
*
Catalent, Inc.
  19,110   1,167,621
*
Centene Corp.
  78,710   4,943,775
 
Cerner Corp.
  41,195   2,959,037
*
Charles River Laboratories International, Inc.
  7,143   1,104,165
 
Chemed Corp.
  2,300   1,074,192
*
Cigna Corp.
  52,440   10,088,407
*
Collegium Pharmaceutical, Inc.
  4,000   80,460
 
Computer Programs & Systems, Inc.
  1,145   29,770
*
Concert Pharmaceuticals, Inc.
  2,800   29,904
 
CONMED Corp.
  3,600   366,048
 
Cooper Cos., Inc. (The)
  6,672   2,314,450
#*
Corcept Therapeutics, Inc.
  14,598   184,957
*
CorVel Corp.
  1,800   164,826
#*
Covetrus, Inc.
  8,196   100,811
#*
Cross Country Healthcare, Inc.
  5,300   52,470
*
CryoLife, Inc.
  6,761   201,072
#*
Cumberland Pharmaceuticals, Inc.
  2,792   13,569
*
Cutera, Inc.
  1,850   52,133
 
CVS Health Corp.
  181,054   12,279,082
 
Danaher Corp.
  81,280   13,075,514
*
DaVita, Inc.
  16,540   1,321,050
*
Deciphera Pharmaceuticals, Inc.
  2,834   177,493
#*
Denali Therapeutics, Inc.
  7,326   169,670
 
DENTSPLY SIRONA, Inc.
  28,853   1,615,768
*
DexCom, Inc.
  12,679   3,052,469
*
Diplomat Pharmacy, Inc.
  4,300   17,114
#*
Eagle Pharmaceuticals, Inc.
  2,534   136,380
*
Edwards Lifesciences Corp.
  29,331   6,448,714
*
Elanco Animal Health, Inc.
  59,718   1,845,286
 
Eli Lilly & Co.
  114,397   15,974,397
*
Emergent BioSolutions, Inc.
  6,931   381,829
*
Enanta Pharmaceuticals, Inc.
  1,869   96,328
 
Encompass Health Corp.
  14,301   1,101,606
 
Ensign Group, Inc. (The)
  6,268   283,314
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
HEALTH CARE — (Continued)
 
Envista Holdings Corp.
  35,406   $1,047,664
*
Enzo Biochem, Inc.
  3,718   9,332
#*
Epizyme, Inc.
  10,206   213,612
#*
Evolent Health, Inc., Class A
  7,826   78,886
#*
Exact Sciences Corp.
  18,666   1,741,164
*
Exelixis, Inc.
  39,633   681,688
#*
FibroGen, Inc.
  9,239   386,652
*
Fluidigm Corp.
  5,000   19,200
#*
G1 Therapeutics, Inc.
  1,524   29,505
 
Gilead Sciences, Inc.
  168,006   10,617,979
#*
Global Blood Therapeutics, Inc.
  7,535   491,734
*
Globus Medical, Inc., Class A
  10,657   557,148
#*
Guardant Health, Inc.
  1,424   108,281
*
Haemonetics Corp.
  7,180   771,060
*
Hanger, Inc.
  3,139   76,686
#*
Harvard Bioscience, Inc.
  4,139   12,293
 
HCA Healthcare, Inc.
  38,901   5,399,459
*
HealthEquity, Inc.
  8,405   555,234
*
HealthStream, Inc.
  2,809   71,770
*
Henry Schein, Inc.
  20,492   1,412,718
#*
Heska Corp.
  628   62,919
 
Hill-Rom Holdings, Inc.
  9,786   1,042,111
*
HMS Holdings Corp.
  13,850   378,382
*
Hologic, Inc.
  39,092   2,092,204
*
Horizon Therapeutics P.L.C.
  22,573   778,543
 
Humana, Inc.
  19,073   6,413,106
*
ICU Medical, Inc.
  2,432   443,767
*
IDEXX Laboratories, Inc.
  12,523   3,393,858
*
Illumina, Inc.
  20,721   6,010,540
*
Incyte Corp.
  24,925   1,821,270
#*
Innoviva, Inc.
  12,321   170,091
*
Inogen, Inc.
  2,436   107,842
#*
Inovalon Holdings, Inc., Class A
  2,719   55,087
#*
Insmed, Inc.
  6,543   134,393
#*
Insulet Corp.
  9,356   1,815,438
*
Integer Holdings Corp.
  5,040   430,416
#*
Integra LifeSciences Holdings Corp.
  10,300   566,912
*
Intra-Cellular Therapies, Inc.
  7,505   170,288
#*
IntriCon Corp.
  800   13,624
*
Intuitive Surgical, Inc.
  15,836   8,864,676
#*
Ionis Pharmaceuticals, Inc.
  17,930   1,045,678
*
IQVIA Holdings, Inc.
  21,731   3,373,738
*
Jazz Pharmaceuticals P.L.C.
  8,046   1,153,394
 
Johnson & Johnson
  371,427   55,294,338
*
Laboratory Corp. of America Holdings
  14,331   2,513,657
*
Lantheus Holdings, Inc.
  7,644   133,846
#
LeMaitre Vascular, Inc.
  2,283   82,154
#*
LHC Group, Inc.
  4,672   680,944
#*
Ligand Pharmaceuticals, Inc.
  2,438   214,081
*
LivaNova P.L.C.
  6,254   425,084
 
Luminex Corp.
  5,316   120,593
*
MacroGenics, Inc.
  2,287   21,155
#*
Madrigal Pharmaceuticals, Inc.
  502   41,676
*
Magellan Health, Inc.
  2,600   190,346
*
Masimo Corp.
  7,494   1,278,476
 
McKesson Corp.
  25,568   3,646,253
*
MEDNAX, Inc.
  12,981   299,472
*
Medpace Holdings, Inc.
  3,665   313,541
 
Medtronic P.L.C.
  186,734   21,556,573
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
HEALTH CARE — (Continued)
 
Merck & Co., Inc.
  362,748   $30,993,189
 
Meridian Bioscience, Inc.
  8,963   88,196
#*
Merit Medical Systems, Inc.
  7,199   262,188
#
Mesa Laboratories, Inc.
  780   204,703
*
Mettler-Toledo International, Inc.
  3,400   2,574,412
#*
Molina Healthcare, Inc.
  8,093   995,196
*
Momenta Pharmaceuticals, Inc.
  8,447   245,132
*
Mylan NV
  48,138   1,031,116
#*
MyoKardia Inc.
  261   17,756
*
Myriad Genetics, Inc.
  9,000   248,850
 
National HealthCare Corp.
  1,000   83,920
 
National Research Corp.
  700   47,369
*
Natus Medical, Inc.
  4,206   131,606
#*
Neogen Corp.
  6,541   440,013
#*
NeoGenomics, Inc.
  12,162   391,981
*
Neurocrine Biosciences, Inc.
  12,830   1,284,026
*
NextGen Healthcare, Inc.
  9,893   137,117
#*
Novocure, Ltd.
  12,588   1,025,418
*
NuVasive, Inc.
  7,117   548,863
*
Omnicell, Inc.
  5,051   410,545
*
Option Care Health, Inc.
  6,872   28,725
*
OraSure Technologies, Inc.
  10,193   71,861
*
Orthofix Medical, Inc.
  3,522   152,362
#
Owens & Minor, Inc.
  6,767   42,361
*
Pacira BioSciences, Inc.
  6,544   282,832
 
Patterson Cos., Inc.
  10,936   240,701
*
PDL BioPharma, Inc.
  14,616   48,087
*
Pennant Group, Inc.
  3,134   82,738
#*
Penumbra, Inc.
  4,797   841,682
 
PerkinElmer, Inc.
  16,170   1,495,402
 
Perrigo Co. P.L.C.
  15,385   877,560
#*
PetIQ, Inc.
  3,789   112,723
 
Pfizer, Inc.
  795,948   29,641,104
 
Phibro Animal Health Corp., Class A
  3,417   81,051
*
PRA Health Sciences, Inc.
  7,948   805,212
*
Premier, Inc., Class A
  8,307   288,834
#*
Prestige Consumer Healthcare, Inc.
  7,328   297,224
 
ProPhase Labs, Inc.
  6   12
*
Providence Service Corp. (The)
  1,602   103,890
 
Quest Diagnostics, Inc.
  17,526   1,939,602
*
Quidel Corp.
  5,538   425,318
*
R1 RCM, Inc.
  9,353   116,913
*
RadNet, Inc.
  1,992   44,959
*
Regeneron Pharmaceuticals, Inc.
  11,080   3,744,375
#*
REGENXBIO, Inc.
  5,056   220,088
*
Repligen Corp.
  5,616   563,790
 
ResMed, Inc.
  19,905   3,164,298
*
Retrophin, Inc.
  4,172   64,499
*
Revance Therapeutics, Inc.
  2,727   61,003
*
RTI Surgical Holdings, Inc.
  5,843   24,307
#*
Sage Therapeutics, Inc.
  6,393   423,728
#*
Sangamo Therapeutics, Inc.
  14,055   103,023
#*
Sarepta Therapeutics, Inc.
  9,065   1,051,177
*
SeaSpine Holdings Corp.
  866   12,782
#*
Seattle Genetics, Inc.
  15,177   1,645,035
*
Select Medical Holdings Corp.
  11,059   252,588
*
Spectrum Pharmaceuticals, Inc.
  10,623   26,876
#*
STAAR Surgical Co.
  6,533   219,770
 
STERIS P.L.C.
  11,989   1,806,622
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
HEALTH CARE — (Continued)
 
Stryker Corp.
  46,708   $9,841,376
*
Supernus Pharmaceuticals, Inc.
  7,081   161,942
#*
Surmodics, Inc.
  1,400   55,146
#*
Syneos Health, Inc.
  9,745   597,953
#*
Tactile Systems Technology, Inc.
  1,413   79,396
*
Taro Pharmaceutical Industries, Ltd.
  1,823   147,061
#*
Teladoc Health, Inc.
  5,152   524,010
 
Teleflex, Inc.
  6,387   2,372,834
*
Tenet Healthcare Corp.
  13,193   417,427
 
Thermo Fisher Scientific, Inc.
  55,766   17,465,354
#*
Tivity Health, Inc.
  5,846   126,537
#*
Triple-S Management Corp., Class B
  2,641   46,534
#*
Ultragenyx Pharmaceutical Inc.
  5,445   286,135
*
United Therapeutics Corp.
  5,524   539,529
 
UnitedHealth Group, Inc.
  133,634   36,408,583
 
Universal Health Services, Inc., Class B
  11,283   1,547,012
 
US Physical Therapy, Inc.
  1,602   187,658
 
Utah Medical Products, Inc.
  276   25,411
*
Vanda Pharmaceuticals, Inc.
  7,224   92,106
*
Varex Imaging Corp.
  4,622   127,798
*
Varian Medical Systems, Inc.
  12,464   1,752,064
*
Veeva Systems, Inc., Class A
  16,208   2,376,255
*
Vertex Pharmaceuticals, Inc.
  35,234   7,999,880
#*
Vocera Communications, Inc.
  2,138   47,100
#*
Waters Corp.
  9,876   2,210,150
 
West Pharmaceutical Services, Inc.
  9,389   1,464,215
*
Wright Medical Group NV
  14,322   431,665
#*
Xencor, Inc.
  5,879   199,533
 
Zimmer Biomet Holdings, Inc.
  27,872   4,122,269
 
Zoetis, Inc.
  66,445   8,917,583
#*
Zogenix, Inc.
  3,764   189,593
TOTAL HEALTH CARE
      583,765,528
INDUSTRIALS — (9.9%)
 
3M Co.
  80,038   12,698,829
#
AAON, Inc.
  7,351   385,486
 
AAR Corp.
  6,140   261,441
 
ABM Industries, Inc.
  8,770   334,488
 
ACCO Brands Corp.
  14,620   126,317
 
Acme United Corp.
  400   9,564
 
Acuity Brands, Inc.
  9,150   1,078,510
*
Advanced Disposal Services, Inc.
  6,342   208,969
 
Advanced Drainage Systems, Inc.
  7,190   298,888
*
AECOM
  25,181   1,214,480
*
Aegion Corp.
  6,240   130,416
*
Aerojet Rocketdyne Holdings, Inc.
  11,251   585,840
*
Aerovironment, Inc.
  2,727   181,645
 
AGCO Corp.
  13,916   976,068
 
Air Lease Corp.
  18,766   805,812
*
Air Transport Services Group, Inc.
  8,719   182,837
 
Alamo Group, Inc.
  1,990   247,874
 
Alaska Air Group, Inc.
  20,169   1,302,716
 
Albany International Corp., Class A
  4,033   281,382
#
Allegiant Travel Co.
  1,647   276,762
 
Allegion P.L.C.
  12,795   1,654,649
 
Allison Transmission Holdings, Inc.
  17,396   768,903
 
Altra Industrial Motion Corp.
  9,167   304,894
 
AMERCO
  1,054   391,319
*
Ameresco, Inc., Class A
  1,700   32,623
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
#
American Airlines Group, Inc.
  56,578   $1,518,554
*
American Woodmark Corp.
  2,688   294,739
 
AMETEK, Inc.
  33,042   3,210,030
 
AO Smith Corp.
  19,664   839,456
 
Apogee Enterprises, Inc.
  3,751   119,357
 
Applied Industrial Technologies, Inc.
  4,882   315,231
 
ARC Document Solutions, Inc.
  3,000   3,840
 
ArcBest Corp.
  3,000   66,930
 
Arconic, Inc.
  59,000   1,767,050
 
Arcosa, Inc.
  6,333   277,069
 
Argan, Inc.
  2,247   94,621
*
Armstrong Flooring, Inc.
  2,667   9,441
 
Armstrong World Industries, Inc.
  7,082   710,537
*
ASGN, Inc.
  5,785   391,587
 
Astec Industries, Inc.
  2,360   97,326
*
Astronics Corp.
  4,386   110,527
#*
Astronics Corp., Class B
  2,338   58,976
*
Atkore International Group, Inc.
  8,758   347,693
*
Atlas Air Worldwide Holdings, Inc.
  3,609   80,661
*
Avis Budget Group, Inc.
  11,377   373,166
#*
Axon Enterprise, Inc.
  6,500   499,265
 
AZZ, Inc.
  3,800   156,788
 
Barnes Group, Inc.
  7,772   490,957
 
Barrett Business Services, Inc.
  825   68,335
*
Beacon Roofing Supply, Inc.
  9,026   298,851
*
BMC Stock Holdings, Inc.
  7,729   225,571
 
Boeing Co. (The)
  75,794   24,122,956
 
Brady Corp., Class A
  6,680   369,872
#
Briggs & Stratton Corp.
  4,639   17,025
 
Brink's Co. (The)
  6,859   577,459
*
Builders FirstSource, Inc.
  15,878   393,695
#
BWX Technologies, Inc.
  12,816   814,969
*
CAI International, Inc.
  1,400   38,080
 
Carlisle Cos., Inc.
  8,398   1,312,020
*
Casella Waste Systems, Inc., Class A
  7,922   405,527
 
Caterpillar, Inc.
  78,461   10,305,852
*
CBIZ, Inc.
  5,600   151,200
*
CECO Environmental Corp.
  1,246   9,470
#
CH Robinson Worldwide, Inc.
  19,079   1,377,885
*
Chart Industries, Inc.
  3,701   236,790
#*
Cimpress P.L.C.
  3,505   419,303
#
Cintas Corp.
  13,045   3,639,164
*
CIRCOR International, Inc.
  1,580   65,617
*
Clean Harbors, Inc.
  7,136   586,722
#*
Colfax Corp.
  13,028   458,064
 
Columbus McKinnon Corp.
  2,000   69,980
 
Comfort Systems USA, Inc.
  4,929   228,706
*
Commercial Vehicle Group, Inc.
  2,700   13,473
*
Continental Building Products, Inc.
  5,343   197,638
 
Copa Holdings SA, Class A
  4,320   423,187
*
Copart, Inc.
  29,306   2,973,387
*
CoStar Group, Inc.
  5,033   3,286,499
 
Covanta Holding Corp.
  21,077   315,733
*
Covenant Transportation Group, Inc., Class A
  779   9,882
*
CPI Aerostructures, Inc.
  541   3,571
 
CRA International, Inc.
  1,100   58,608
 
Crane Co.
  7,350   628,131
 
CSW Industrials, Inc.
  1,519   115,262
 
CSX Corp.
  108,853   8,309,838
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
#
Cubic Corp.
  4,150   $270,954
 
Cummins, Inc.
  20,933   3,348,652
 
Curtiss-Wright Corp.
  5,700   828,951
 
Deere & Co.
  42,371   6,719,193
 
Delta Air Lines, Inc.
  120,246   6,702,512
 
Deluxe Corp.
  6,298   303,564
 
Donaldson Co., Inc.
  18,412   954,662
 
Douglas Dynamics, Inc.
  3,141   164,683
 
Dover Corp.
  20,958   2,386,068
*
Ducommun, Inc.
  1,100   45,023
*
DXP Enterprises, Inc.
  1,275   44,204
*
Dycom Industries, Inc.
  3,988   161,195
 
Eastern Co. (The)
  600   16,620
 
Eaton Corp. P.L.C.
  65,910   6,226,518
*
Echo Global Logistics, Inc.
  2,925   56,687
 
EMCOR Group, Inc.
  8,359   686,859
 
Emerson Electric Co.
  86,963   6,229,160
 
Encore Wire Corp.
  3,200   173,792
 
Enerpac Tool Group Corp.
  7,200   166,392
 
EnerSys
  6,500   467,740
 
Ennis, Inc.
  2,716   56,656
 
EnPro Industries, Inc.
  3,100   181,164
 
Equifax, Inc.
  16,662   2,497,634
 
ESCO Technologies, Inc.
  4,375   419,825
*
Evoqua Water Technologies Corp.
  8,192   163,594
 
Expeditors International of Washington, Inc.
  24,736   1,806,717
 
Exponent, Inc.
  9,004   655,221
 
Fastenal Co.
  79,234   2,763,682
 
Federal Signal Corp.
  8,821   283,683
 
FedEx Corp.
  35,161   5,085,687
 
Flowserve Corp.
  18,858   880,291
 
Fluor Corp.
  16,171   289,299
 
Forrester Research, Inc.
  1,137   47,038
 
Fortive Corp.
  41,017   3,073,404
 
Fortune Brands Home & Security, Inc.
  19,232   1,321,431
 
Forward Air Corp.
  4,083   267,232
*
Franklin Covey Co.
  1,500   47,700
 
Franklin Electric Co., Inc.
  5,400   311,526
*
FTI Consulting, Inc.
  5,774   693,226
#*
Gardner Denver Holdings, Inc.
  15,674   553,449
#
GATX Corp.
  4,700   357,811
*
Gencor Industries, Inc.
  600   6,726
*
Generac Holdings, Inc.
  7,928   821,262
 
General Dynamics Corp.
  35,183   6,172,506
 
General Electric Co.
  864,592   10,764,170
*
Gibraltar Industries, Inc.
  4,240   231,165
*
GMS, Inc.
  4,371   116,793
*
Goldfield Corp. (The)
  1,983   6,742
 
Gorman-Rupp Co. (The)
  2,441   90,097
*
GP Strategies Corp.
  1,842   24,517
 
Graco, Inc.
  24,201   1,286,283
#
GrafTech International, Ltd.
  13,986   150,070
 
Graham Corp.
  1,500   27,420
#
Granite Construction, Inc.
  6,930   188,011
*
Great Lakes Dredge & Dock Corp.
  6,665   69,783
 
Greenbrier Cos., Inc. (The)
  4,212   101,467
 
Griffon Corp.
  5,003   104,012
 
H&E Equipment Services, Inc.
  7,853   212,895
*
Harsco Corp.
  11,788   175,641
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
#
Hawaiian Holdings, Inc.
  5,838   $162,763
*
HD Supply Holdings, Inc.
  25,171   1,025,467
#
Healthcare Services Group, Inc.
  8,963   229,453
 
Heartland Express, Inc.
  5,162   96,478
#
HEICO Corp.
  6,163   754,536
 
HEICO Corp., Class A
  11,035   1,061,015
 
Heidrick & Struggles International, Inc.
  1,861   52,890
 
Helios Technologies, Inc.
  3,335   141,804
*
Herc Holdings, Inc.
  3,876   155,505
 
Herman Miller, Inc.
  7,886   304,794
*
Hertz Global Holdings, Inc.
  11,898   187,512
 
Hexcel Corp.
  13,057   969,091
 
Hillenbrand, Inc.
  9,601   278,717
 
HNI Corp.
  5,673   204,058
 
Honeywell International, Inc.
  102,523   17,759,034
*
Hub Group, Inc., Class A
  4,335   229,191
 
Hubbell, Inc.
  7,536   1,079,381
*
Hudson Global, Inc.
  360   4,324
 
Huntington Ingalls Industries, Inc.
  5,891   1,537,551
 
Hurco Cos., Inc.
  883   27,638
*
Huron Consulting Group, Inc.
  2,384   154,507
#
Hyster-Yale Materials Handling, Inc.
  1,066   57,553
*
IAA Inc.
  19,875   939,292
 
ICF International, Inc.
  1,750   153,283
 
IDEX Corp.
  10,641   1,743,528
*
IES Holdings, Inc.
  858   21,459
 
Illinois Tool Works, Inc.
  41,404   7,244,872
 
Ingersoll-Rand P.L.C.
  34,595   4,609,092
*
InnerWorkings, Inc.
  5,543   23,003
*
Innovative Solutions & Support, Inc.
  1,906   10,864
 
Insperity, Inc.
  5,654   493,990
 
Insteel Industries, Inc.
  2,000   44,740
 
Interface, Inc.
  12,469   200,502
 
ITT, Inc.
  12,990   871,369
 
Jacobs Engineering Group, Inc.
  18,846   1,743,820
 
JB Hunt Transport Services, Inc.
  12,057   1,301,312
*
JELD-WEN Holding, Inc.
  7,812   186,551
*
JetBlue Airways Corp.
  44,120   874,900
 
John Bean Technologies Corp.
  4,198   474,332
 
Johnson Controls International P.L.C.
  110,754   4,369,245
 
Kadant, Inc.
  1,300   138,580
 
Kaman Corp.
  3,749   231,388
 
Kansas City Southern
  13,748   2,319,150
#
KAR Auction Services, Inc.
  19,875   417,772
 
Kelly Services, Inc., Class A
  6,029   107,075
 
Kennametal, Inc.
  11,431   357,676
 
Kforce, Inc.
  3,290   121,895
 
Kimball International, Inc., Class B
  5,500   103,290
*
Kirby Corp.
  7,885   577,892
#
Knight-Swift Transportation Holdings, Inc.
  16,385   607,556
 
Knoll, Inc.
  5,103   126,350
 
Korn Ferry
  6,571   269,280
*
Kratos Defense & Security Solutions, Inc.
  11,735   215,220
 
L3Harris Technologies, Inc.
  29,698   6,573,058
 
Landstar System, Inc.
  5,210   577,007
*
Lawson Products, Inc.
  649   30,646
*
LB Foster Co., Class A
  581   9,854
 
Lennox International, Inc.
  5,200   1,211,496
 
Lincoln Electric Holdings, Inc.
  8,460   754,463
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
#
Lindsay Corp.
  1,349   $134,940
 
Lockheed Martin Corp.
  35,456   15,179,423
 
LSI Industries, Inc.
  2,400   15,960
*
Lydall, Inc.
  2,505   51,202
 
Macquarie Infrastructure Corp.
  10,514   463,773
*
Manitowoc Co., Inc. (The)
  7,211   104,199
 
ManpowerGroup, Inc.
  8,643   790,748
 
Marten Transport, Ltd.
  5,596   116,173
 
Masco Corp.
  41,826   1,987,572
*
Masonite International Corp.
  3,796   285,118
#*
MasTec, Inc.
  10,000   577,500
 
Matson, Inc.
  5,500   198,055
 
Matthews International Corp., Class A
  3,280   122,410
 
McGrath RentCorp
  2,486   192,218
*
Mercury Systems, Inc.
  6,319   484,983
#*
Meritor, Inc.
  11,775   257,990
*
Middleby Corp. (The)
  7,921   888,419
 
Miller Industries, Inc.
  1,421   48,897
*
Mistras Group, Inc.
  1,002   11,092
 
Mobile Mini, Inc.
  7,093   296,062
 
Moog, Inc., Class A
  3,953   354,228
*
MRC Global, Inc.
  9,795   110,292
 
MSA Safety, Inc.
  5,210   706,476
 
MSC Industrial Direct Co., Inc., Class A
  5,817   395,963
 
Mueller Industries, Inc.
  5,800   169,186
 
Mueller Water Products, Inc., Class A
  27,233   317,264
*
MYR Group, Inc.
  2,509   72,058
#
National Presto Industries, Inc.
  737   63,522
*
Navistar International Corp.
  7,388   270,549
 
Nielsen Holdings P.L.C.
  42,748   872,059
 
Nordson Corp.
  7,302   1,233,016
 
Norfolk Southern Corp.
  39,572   8,239,286
 
Northrop Grumman Corp.
  22,605   8,467,155
*
NOW, Inc.
  18,661   186,797
#*
NV5 Global, Inc.
  1,450   90,060
 
nVent Electric P.L.C.
  22,197   552,705
 
Old Dominion Freight Line, Inc.
  8,713   1,709,752
#
Omega Flex, Inc.
  302   31,831
 
Oshkosh Corp.
  9,200   791,568
 
Owens Corning
  13,944   843,473
 
PACCAR, Inc.
  44,718   3,318,523
*
PAM Transportation Services, Inc.
  235   12,551
 
Park Aerospace Corp.
  2,544   39,356
 
Parker-Hannifin Corp.
  18,137   3,549,230
 
Park-Ohio Holdings Corp.
  1,300   38,220
 
Patrick Industries, Inc.
  3,289   170,633
 
Pentair P.L.C.
  22,197   952,917
*
Perma-Pipe International Holdings, Inc.
  1,091   9,852
*
PGT Innovations, Inc.
  7,509   116,390
#
Pitney Bowes, Inc.
  26,440   98,886
 
Powell Industries, Inc.
  700   28,889
 
Primoris Services Corp.
  3,853   82,184
*
Proto Labs, Inc.
  4,110   425,385
 
Quanex Building Products Corp.
  3,800   67,336
 
Quanta Services, Inc.
  20,101   786,954
 
Raven Industries, Inc.
  5,746   180,195
 
Raytheon Co.
  38,917   8,598,322
*
RBC Bearings, Inc.
  3,951   614,420
*
RCM Technologies, Inc.
  395   1,078
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
 
Regal Beloit Corp.
  5,376   $421,801
 
Republic Services, Inc.
  40,028   3,804,661
*
Resideo Technologies, Inc.
  16,682   169,823
 
Resources Connection, Inc.
  4,266   64,950
*
Rexnord Corp.
  15,137   494,223
 
Robert Half International, Inc.
  17,053   991,973
 
Rockwell Automation, Inc.
  16,520   3,166,223
#
Rollins, Inc.
  21,881   830,384
 
Roper Technologies, Inc.
  14,112   5,385,986
 
Rush Enterprises, Inc., Class A
  4,816   207,088
 
Ryder System, Inc.
  6,304   300,827
*
Saia, Inc.
  4,202   365,994
 
Schneider National, Inc., Class B
  10,484   233,479
*
Sensata Technologies Holding P.L.C.
  23,802   1,125,121
*
SIFCO Industries, Inc.
  100   449
 
Simpson Manufacturing Co., Inc.
  6,128   506,602
#*
SiteOne Landscape Supply, Inc.
  4,819   465,274
 
SkyWest, Inc.
  5,941   327,765
#
Snap-on, Inc.
  6,986   1,115,175
 
Southwest Airlines Co.
  68,480   3,765,030
*
SP Plus Corp.
  2,343   97,961
 
Spartan Motors, Inc.
  3,375   57,375
 
Spirit AeroSystems Holdings, Inc., Class A
  15,589   1,018,273
*
Spirit Airlines, Inc.
  8,251   338,869
*
SPX Corp.
  7,521   369,055
*
SPX FLOW, Inc.
  5,735   250,849
 
Standex International Corp.
  1,820   133,024
 
Stanley Black & Decker, Inc.
  20,397   3,249,854
 
Steelcase, Inc., Class A
  13,910   258,865
#*
Stericycle, Inc.
  10,328   647,359
*
Sterling Construction Co., Inc.
  1,440   18,972
#*
Sunrun, Inc.
  12,203   207,817
 
Systemax, Inc.
  373   8,821
#*
Team, Inc.
  2,701   36,734
*
Teledyne Technologies, Inc.
  4,813   1,757,034
 
Tennant Co.
  3,010   232,432
 
Terex Corp.
  10,403   263,716
 
Tetra Tech, Inc.
  8,557   732,479
*
Textainer Group Holdings, Ltd.
  2,100   19,887
 
Textron, Inc.
  32,323   1,484,595
*
Thermon Group Holdings, Inc.
  2,619   62,070
 
Timken Co. (The)
  8,560   449,657
*
Titan Machinery, Inc.
  1,496   18,266
 
Toro Co. (The)
  13,600   1,088,272
 
TransDigm Group, Inc.
  6,517   4,192,256
 
TransUnion
  24,886   2,282,046
#*
Trex Co., Inc.
  9,432   926,600
*
TriMas Corp.
  6,804   195,479
*
TriNet Group, Inc.
  5,773   329,407
 
Trinity Industries, Inc.
  19,000   386,270
 
Triton International, Ltd.
  5,967   224,061
#
Triumph Group, Inc.
  9,229   188,548
*
TrueBlue, Inc.
  6,946   152,187
#*
Tutor Perini Corp.
  3,160   35,582
*
Twin Disc, Inc.
  668   6,513
*
Ultralife Corp.
  2,100   14,595
 
UniFirst Corp.
  1,640   334,445
 
Union Pacific Corp.
  100,453   18,023,277
*
United Airlines Holdings, Inc.
  34,531   2,582,919
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
 
United Parcel Service, Inc., Class B
  96,077   $9,945,891
*
United Rentals, Inc.
  10,912   1,480,649
 
United Technologies Corp.
  117,330   17,622,966
#*
Univar Solutions, Inc.
  11,753   253,277
 
Universal Forest Products, Inc.
  8,425   403,557
 
Universal Logistics Holdings, Inc.
  888   15,007
 
US Ecology, Inc.
  3,770   203,618
#*
USA Truck, Inc.
  1,235   7,027
 
Valmont Industries, Inc.
  2,900   411,974
*
Vectrus, Inc.
  1,092   60,879
 
Verisk Analytics, Inc.
  21,022   3,415,444
*
Veritiv Corp.
  831   11,700
 
Viad Corp.
  3,896   253,240
#*
Vicor Corp.
  1,200   60,060
 
Virco Manufacturing Corp.
  1,718   6,924
 
VSE Corp.
  1,600   49,776
 
Wabash National Corp.
  6,947   80,585
*
WABCO Holdings, Inc.
  7,200   976,680
 
Wabtec Corp.
  20,602   1,521,664
 
Waste Management, Inc.
  58,708   7,144,764
 
Watsco, Inc.
  3,890   676,549
 
Watts Water Technologies, Inc., Class A
  3,317   330,738
#*
Welbilt, Inc.
  19,164   289,185
 
Werner Enterprises, Inc.
  7,998   294,806
*
WESCO International, Inc.
  5,771   279,374
*
Williams Industrial Services Group, Inc.
  1,290   1,729
*
Willis Lease Finance Corp.
  400   23,720
*
WillScot Corp.
  7,633   143,882
 
Woodward, Inc.
  6,716   781,138
 
WW Grainger, Inc.
  6,800   2,058,156
#*
XPO Logistics, Inc.
  12,998   1,155,782
 
Xylem, Inc.
  23,955   1,956,165
TOTAL INDUSTRIALS
      429,002,608
INFORMATION TECHNOLOGY — (23.9%)
#*
3D Systems Corp.
  19,180   208,870
#*
Acacia Communications, Inc.
  2,873   196,944
 
Accenture P.L.C., Class A
  88,816   18,225,931
*
ACI Worldwide, Inc.
  22,030   758,933
*
ADDvantage Technologies Group, Inc.
  400   904
*
Adobe, Inc.
  70,812   24,864,926
 
ADTRAN, Inc.
  5,562   50,336
*
Advanced Energy Industries, Inc.
  5,544   387,747
*
Advanced Micro Devices, Inc.
  181,181   8,515,507
*
Agilysys, Inc.
  2,000   65,000
*
Akamai Technologies, Inc.
  24,076   2,247,495
*
Alarm.com Holdings, Inc.
  5,092   223,692
*
Alithya Group, Inc., Class A
  1,191   3,442
 
Alliance Data Systems Corp.
  4,582   470,984
*
Alpha & Omega Semiconductor, Ltd.
  1,918   23,380
#*
Altair Engineering, Inc., Class A
  2,800   103,460
#*
Alteryx, Inc., Class A
  6,127   854,533
*
Ambarella, Inc.
  4,616   272,990
 
Amdocs, Ltd.
  17,972   1,293,085
 
American Software, Inc., Class A
  2,676   39,953
*
Amkor Technology, Inc.
  20,848   234,540
 
Amphenol Corp., Class A
  41,589   4,136,858
 
Analog Devices, Inc.
  52,043   5,711,719
*
Anixter International, Inc.
  4,870   475,312
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (Continued)
*
ANSYS, Inc.
  12,012   $3,295,252
#*
Appfolio, Inc., Class A
  2,372   311,776
 
Apple, Inc.
  640,645   198,286,034
 
Applied Materials, Inc.
  131,011   7,597,328
*
Arista Networks, Inc.
  7,103   1,586,384
*
Arlo Technologies, Inc.
  7,824   33,408
*
Arrow Electronics, Inc.
  12,705   964,818
*
Aspen Technology, Inc.
  11,112   1,322,106
*
Atlassian Corp. P.L.C., Class A
  14,704   2,161,488
*
Autodesk, Inc.
  30,417   5,987,586
 
Automatic Data Processing, Inc.
  60,843   10,427,882
*
Avalara, Inc.
  7,113   605,601
#*
Avaya Holdings Corp.
  10,935   139,640
*
Avid Technology, Inc.
  3,971   33,376
 
Avnet, Inc.
  16,772   612,010
 
AVX Corp.
  6,815   138,140
*
Aware, Inc.
  2,752   9,907
*
Axcelis Technologies, Inc.
  6,777   163,665
*
AXT, Inc.
  3,074   11,989
#
Badger Meter, Inc.
  4,800   283,488
 
Bel Fuse, Inc., Class B
  1,175   20,351
 
Belden, Inc.
  5,549   273,399
 
Benchmark Electronics, Inc.
  6,470   199,147
#*
Black Knight, Inc.
  19,942   1,334,519
 
Blackbaud, Inc.
  7,414   580,739
#*
Blackline Inc.
  1,310   80,133
 
Booz Allen Hamilton Holding Corp.
  20,028   1,562,985
*
Bottomline Technologies De, Inc.
  6,263   335,697
 
Broadcom, Inc.
  55,985   17,084,383
 
Broadridge Financial Solutions, Inc.
  15,990   1,905,208
 
Brooks Automation, Inc.
  8,686   330,763
 
Cabot Microelectronics Corp.
  4,300   625,693
*
CACI International, Inc., Class A
  3,815   1,020,284
*
Cadence Design Systems, Inc.
  40,107   2,892,116
*
CalAmp Corp.
  5,287   50,861
*
Calix, Inc.
  3,886   35,596
*
Cardtronics P.L.C., Class A
  5,453   245,385
 
Cass Information Systems, Inc.
  2,002   108,148
 
CDK Global, Inc.
  18,733   1,005,587
 
CDW Corp.
  20,673   2,696,793
 
Cerence Inc.
  5,094   108,757
*
CEVA, Inc.
  3,116   85,223
*
Ciena Corp.
  22,310   907,348
*
Cirrus Logic, Inc.
  7,925   608,719
 
Cisco Systems, Inc.
  637,693   29,314,747
 
Citrix Systems, Inc.
  18,517   2,244,631
*
Clearfield, Inc.
  574   7,301
 
Cognex Corp.
  24,173   1,232,098
 
Cognizant Technology Solutions Corp., Class A
  75,130   4,611,479
*
Coherent, Inc.
  3,548   501,794
 
Cohu, Inc.
  4,183   93,574
#*
CommScope Holding Co., Inc.
  19,891   242,372
 
Communications Systems, Inc.
  1,155   7,103
*
CommVault Systems, Inc.
  6,338   285,337
 
Comtech Telecommunications Corp.
  4,944   142,931
*
Conduent, Inc.
  23,477   100,482
 
CoreLogic, Inc.
  11,749   546,328
*
Cornerstone OnDemand Inc.
  6,608   388,550
 
Corning, Inc.
  111,987   2,988,933
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (Continued)
#*
Coupa Software, Inc.
  7,790   $1,255,358
#*
Cree, Inc.
  15,570   723,849
 
CSG Systems International, Inc.
  4,900   244,118
 
CTS Corp.
  5,571   163,286
*
CyberOptics Corp.
  1,199   26,942
 
Cypress Semiconductor Corp.
  49,729   1,160,178
 
Daktronics, Inc.
  4,150   24,485
*
Dell Technologies, Inc., Class C
  20,965   1,022,463
*
Digi International, Inc.
  2,040   32,222
#*
Digital Turbine, Inc.
  8,176   51,018
#*
Diodes, Inc.
  6,555   338,500
#*
DocuSign, Inc.
  12,308   966,301
 
Dolby Laboratories, Inc., Class A
  8,303   575,730
*
Dropbox, Inc., Class A
  21,949   373,572
*
DSP Group, Inc.
  3,109   44,956
 
DXC Technology Co.
  36,464   1,162,472
#
Ebix, Inc.
  2,616   90,069
*
EchoStar Corp., Class A
  6,945   277,140
*
EMCORE Corp.
  827   2,787
*
Endurance International Group Holdings, Inc.
  7,661   36,160
#*
Enphase Energy Inc.
  11,415   359,801
 
Entegris, Inc.
  20,172   1,044,103
*
Envestnet, Inc.
  7,023   553,904
*
EPAM Systems, Inc.
  7,536   1,719,263
*
ePlus, Inc.
  2,095   167,013
*
Euronet Worldwide, Inc.
  7,490   1,180,724
 
EVERTEC, Inc.
  10,804   362,690
*
Evo Payments, Inc., Class A
  2,269   62,874
*
ExlService Holdings, Inc.
  4,142   302,822
#*
Extreme Networks, Inc.
  3,004   17,724
*
F5 Networks, Inc.
  8,448   1,031,670
*
Fabrinet
  5,460   344,198
*
Fair Isaac Corp.
  4,225   1,700,055
*
FARO Technologies, Inc.
  2,100   108,486
 
Fidelity National Information Services, Inc.
  85,044   12,217,421
*
FireEye, Inc.
  3,791   60,580
#*
First Solar, Inc.
  10,243   507,848
*
Fiserv, Inc.
  78,256   9,281,944
#*
Fitbit, Inc., Class A
  36,094   235,333
*
FleetCor Technologies, Inc.
  12,133   3,824,686
*
Flex, Ltd.
  67,259   884,456
 
FLIR Systems, Inc.
  19,256   992,454
*
FormFactor, Inc.
  14,792   374,386
*
Fortinet, Inc.
  20,161   2,325,773
*
Frequency Electronics, Inc.
  798   7,381
*
Gartner, Inc.
  12,802   2,058,306
 
Genpact, Ltd.
  19,693   871,809
 
Global Payments, Inc.
  40,501   7,915,920
#*
Globant SA
  3,734   458,162
*
GoDaddy, Inc., Class A
  23,517   1,580,578
*
GSI Technology, Inc.
  2,032   16,480
#*
GTT Communications, Inc.
  5,314   62,971
#*
Guidewire Software, Inc.
  11,718   1,318,275
 
Hackett Group, Inc. (The)
  5,500   85,002
*
Harmonic, Inc.
  10,205   71,792
 
Hewlett Packard Enterprise Co.
  192,430   2,680,550
 
HP, Inc.
  217,176   4,630,192
*
HubSpot, Inc.
  5,122   926,775
*
Ichor Holdings, Ltd.
  1,685   56,262
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (Continued)
*
IEC Electronics Corp.
  638   $5,136
#*
II-VI, Inc.
  10,120   340,538
#*
Infinera Corp.
  23,036   169,775
*
Inphi Corp.
  5,422   411,855
*
Insight Enterprises, Inc.
  4,020   264,797
 
Intel Corp.
  636,880   40,715,738
 
InterDigital, Inc.
  4,500   248,625
 
International Business Machines Corp.
  118,382   17,015,045
*
Intevac, Inc.
  2,384   14,304
 
Intuit, Inc.
  34,031   9,541,612
*
IPG Photonics Corp.
  4,920   628,136
*
Iteris, Inc.
  600   3,036
*
Itron, Inc.
  5,589   456,901
#
j2 Global, Inc.
  6,483   621,460
 
Jabil, Inc.
  21,394   832,013
 
Jack Henry & Associates, Inc.
  10,790   1,613,537
 
Juniper Networks, Inc.
  48,630   1,115,572
 
KBR, Inc.
  20,590   560,048
 
KEMET Corp.
  8,818   229,621
*
Key Tronic Corp.
  749   4,344
*
Keysight Technologies, Inc.
  25,991   2,416,903
*
Kimball Electronics, Inc.
  1,875   30,337
 
KLA Corp.
  21,424   3,550,814
*
Knowles Corp.
  16,291   321,421
 
Kulicke & Soffa Industries, Inc.
  8,552   221,411
*
KVH Industries, Inc.
  2,000   20,580
 
Lam Research Corp.
  19,385   5,780,801
*
Lattice Semiconductor Corp.
  18,052   335,767
 
Leidos Holdings, Inc.
  18,908   1,899,687
*
Limelight Networks, Inc.
  14,758   73,642
 
Littelfuse, Inc.
  3,569   631,392
*
LiveRamp Holdings, Inc.
  9,839   395,921
 
LogMeIn, Inc.
  7,314   628,785
#*
Lumentum Holdings, Inc.
  8,980   680,415
#*
MACOM Technology Solutions Holdings, Inc.
  4,158   118,170
*
MagnaChip Semiconductor Corp.
  2,100   28,245
*
Manhattan Associates, Inc.
  10,041   858,104
 
ManTech International Corp., Class A
  4,027   323,288
#
Marvell Technology Group, Ltd.
  94,766   2,278,175
 
Mastercard, Inc., Class A
  126,861   40,080,464
 
Maxim Integrated Products, Inc.
  37,289   2,241,815
 
MAXIMUS, Inc.
  8,503   610,090
*
MaxLinear, Inc.
  9,642   187,923
 
Methode Electronics, Inc.
  5,669   185,660
#
Microchip Technology, Inc.
  32,692   3,186,816
*
Micron Technology, Inc.
  155,454   8,253,053
 
Microsoft Corp.
  1,018,029   173,299,077
*
MicroStrategy, Inc., Class A
  1,168   177,571
*
Mimecast, Ltd.
  5,710   291,381
 
MKS Instruments, Inc.
  7,490   785,102
#*
MongoDB, Inc.
  5,295   867,903
 
Monolithic Power Systems, Inc.
  5,983   1,024,110
 
Motorola Solutions, Inc.
  23,431   4,147,287
 
MTS Systems Corp.
  3,390   171,839
 
National Instruments Corp.
  18,211   812,757
*
NCR Corp.
  16,791   566,193
 
NetApp, Inc.
  35,539   1,897,783
*
NETGEAR, Inc.
  3,951   101,620
*
Netscout Systems, Inc.
  11,014   283,170
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (Continued)
*
New Relic, Inc.
  5,322   $351,305
 
NIC, Inc.
  8,518   168,060
 
NortonLifeLock Inc.
  78,441   2,229,293
#*
Novanta, Inc.
  4,534   411,370
*
Nuance Communications, Inc.
  40,758   771,141
 
NVIDIA Corp.
  80,623   19,061,696
#*
Okta, Inc.
  13,830   1,770,931
*
ON Semiconductor Corp.
  56,212   1,301,308
*
OneSpan, Inc.
  601   9,989
*
Onto Innovation Inc.
  11,380   431,757
*
Optical Cable Corp.
  1,300   4,420
 
Oracle Corp.
  321,161   16,844,894
*
OSI Systems, Inc.
  2,078   179,830
*
Palo Alto Networks, Inc.
  12,861   3,019,506
*
PAR Technology Corp.
  1,750   59,552
 
Paychex, Inc.
  44,024   3,775,938
#*
Paycom Software, Inc.
  6,622   2,106,855
*
Paylocity Holding Corp.
  5,367   761,524
*
PayPal Holdings, Inc.
  155,771   17,740,759
 
PC Connection, Inc.
  1,900   94,696
*
PDF Solutions, Inc.
  3,109   48,998
#
Pegasystems, Inc.
  4,961   427,688
*
Perceptron, Inc.
  528   3,226
*
Perficient, Inc.
  2,556   127,033
 
Perspecta, Inc.
  19,232   539,842
*
Photronics, Inc.
  5,488   70,137
#
Plantronics, Inc.
  4,499   129,211
*
Plexus Corp.
  3,889   276,586
 
Power Integrations, Inc.
  4,366   426,427
#*
Powerfleet, Inc.
  1,700   12,818
*
PRGX Global, Inc.
  2,100   8,316
 
Progress Software Corp.
  6,750   304,627
*
Proofpoint, Inc.
  7,835   962,216
*
PTC, Inc.
  16,088   1,337,235
*
Pure Storage, Inc., Class A
  25,328   450,838
 
QAD, Inc., Class A
  739   38,022
#
QAD, Inc., Class B
  184   6,901
*
Qorvo, Inc.
  17,687   1,872,346
 
QUALCOMM, Inc.
  169,556   14,464,822
#*
Qualys, Inc.
  4,950   424,413
*
Rambus, Inc.
  11,313   179,537
#*
RealPage, Inc.
  10,877   634,673
*
Ribbon Communications, Inc.
  7,000   19,740
#*
RingCentral, Inc., Class A
  8,898   1,829,251
*
Rogers Corp.
  2,468   290,607
*
Rosetta Stone, Inc.
  1,296   22,226
 
Sabre Corp.
  37,967   817,809
#*
SailPoint Technologies Holding, Inc.
  5,468   137,192
*
salesforce.com, Inc.
  111,967   20,412,704
*
Sanmina Corp.
  8,298   264,208
*
ScanSource, Inc.
  2,184   76,200
 
Science Applications International Corp.
  8,020   703,915
 
Seagate Technology P.L.C.
  36,824   2,098,600
*
Semtech Corp.
  9,964   480,165
*
ServiceNow, Inc.
  24,648   8,336,693
*
Silicon Laboratories, Inc.
  5,917   581,700
 
Skyworks Solutions, Inc.
  23,303   2,636,734
*
SolarEdge Technologies, Inc.
  6,275   614,071
*
Splunk, Inc.
  19,799   3,073,993
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (Continued)
*
SPS Commerce, Inc.
  5,228   $297,107
*
Square, Inc., Class A
  41,449   3,095,826
 
SS&C Technologies Holdings, Inc.
  30,412   1,916,260
*
Steel Connect, Inc.
  5,100   7,140
*
Sykes Enterprises, Inc.
  6,423   215,749
#*
Synaptics, Inc.
  4,600   306,774
 
SYNNEX Corp.
  4,883   672,682
*
Synopsys, Inc.
  20,768   3,063,488
 
TE Connectivity, Ltd.
  46,938   4,326,745
*
Tech Data Corp.
  5,508   792,822
#*
Teradata Corp.
  15,885   386,641
 
Teradyne, Inc.
  25,310   1,670,207
 
TESSCO Technologies, Inc.
  1,314   8,147
 
Texas Instruments, Inc.
  132,090   15,936,658
 
TiVo Corp.
  15,854   115,417
#*
Trade Desk, Inc. (The), Class A
  4,351   1,171,202
 
TransAct Technologies, Inc.
  600   6,312
*
Trimble, Inc.
  33,593   1,428,374
 
TTEC Holdings, Inc.
  2,400   95,328
#*
TTM Technologies, Inc.
  10,121   145,641
#*
Twilio, Inc., Class A
  10,061   1,250,985
*
Tyler Technologies, Inc.
  4,925   1,594,124
#
Ubiquiti, Inc.
  2,518   411,492
#*
Ultra Clean Holdings, Inc.
  5,216   120,020
 
Universal Display Corp.
  5,478   965,059
#*
Upland Software, Inc.
  2,329   90,924
*
Veeco Instruments, Inc.
  7,954   101,413
*
Verint Systems, Inc.
  8,843   512,894
*
VeriSign, Inc.
  15,176   3,158,733
*
ViaSat, Inc.
  6,467   411,625
*
Viavi Solutions, Inc.
  33,523   472,674
*
Virtusa Corp.
  3,423   142,534
#
Visa, Inc., Class A
  244,606   48,669,256
 
Vishay Intertechnology, Inc.
  18,328   371,875
*
Vishay Precision Group, Inc.
  1,973   68,147
#*
VMware, Inc., Class A
  11,023   1,632,065
 
Wayside Technology Group, Inc.
  152   2,440
 
Western Digital Corp.
  37,982   2,487,821
#
Western Union Co. (The)
  63,452   1,706,859
*
WEX, Inc.
  5,640   1,223,429
*
Workday, Inc., Class A
  20,720   3,825,534
*
Xerox Holdings Corp.
  29,346   1,043,837
 
Xilinx, Inc.
  34,712   2,932,470
 
Xperi Corp.
  5,553   89,348
*
Zebra Technologies Corp., Class A
  7,337   1,753,690
*
Zendesk, Inc.
  15,467   1,336,349
*
Zix Corp.
  4,055   27,371
#*
Zscaler, Inc.
  2,289   128,390
TOTAL INFORMATION TECHNOLOGY
      1,034,100,169
MATERIALS — (2.6%)
*
AdvanSix, Inc.
  3,590   67,205
 
Air Products & Chemicals, Inc.
  38,580   9,209,432
#
Albemarle Corp.
  16,644   1,336,180
*
Alcoa Corp.
  29,099   405,931
#*
Allegheny Technologies, Inc.
  16,928   292,008
*
Amcor, PLC.
  62,684   663,824
 
American Vanguard Corp.
  2,950   55,106
 
AptarGroup, Inc.
  8,000   924,080
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
MATERIALS — (Continued)
 
Ashland Global Holdings, Inc.
  9,544   $706,065
 
Avery Dennison Corp.
  11,501   1,509,391
*
Axalta Coating Systems, Ltd.
  30,916   890,690
 
Balchem Corp.
  4,312   465,782
 
Ball Corp.
  46,182   3,333,417
*
Berry Global Group, Inc.
  18,781   798,568
 
Boise Cascade Co.
  7,452   269,762
 
Cabot Corp.
  8,136   324,220
 
Carpenter Technology Corp.
  6,401   254,376
 
Celanese Corp.
  18,430   1,907,505
*
Century Aluminum Co.
  6,661   35,237
 
CF Industries Holdings, Inc.
  32,215   1,297,620
 
Chase Corp.
  1,300   119,561
#
Chemours Co. (The)
  24,155   335,030
*
Clearwater Paper Corp.
  2,200   62,040
#
Cleveland-Cliffs, Inc.
  43,308   304,022
*
Coeur Mining, Inc.
  34,065   205,412
 
Commercial Metals Co.
  14,074   289,221
#
Compass Minerals International, Inc.
  4,658   269,652
*
Core Molding Technologies, Inc.
  389   1,229
*
Corteva, Inc.
  99,955   2,890,699
*
Crown Holdings, Inc.
  17,992   1,331,948
 
Domtar Corp.
  9,589   333,889
*
Dow, Inc.
  101,660   4,683,476
 
DuPont de Nemours, Inc.
  91,792   4,697,914
#
Eagle Materials, Inc.
  6,164   561,972
 
Eastman Chemical Co.
  21,247   1,514,274
 
Ecolab, Inc.
  36,235   7,106,046
*
Element Solutions, Inc.
  23,645   276,646
*
Ferro Corp.
  11,300   154,584
 
FMC Corp.
  18,100   1,730,179
 
Freeport-McMoRan, Inc.
  175,500   1,948,050
 
Friedman Industries, Inc.
  599   3,516
 
FutureFuel Corp.
  1,256   13,766
*
GCP Applied Technologies, Inc.
  8,700   193,314
 
Graphic Packaging Holding Co.
  39,100   611,133
 
Greif, Inc., Class A
  3,847   155,496
 
Hawkins, Inc.
  888   37,101
 
Haynes International, Inc.
  1,800   48,258
 
HB Fuller Co.
  6,500   300,365
#
Hecla Mining Co.
  47,181   142,958
 
Huntsman Corp.
  27,984   575,351
*
Ingevity Corp.
  6,510   424,582
 
Innophos Holdings, Inc.
  2,500   79,900
 
Innospec, Inc.
  3,975   400,402
#
International Flavors & Fragrances, Inc.
  10,654   1,396,846
 
International Paper Co.
  52,000   2,117,440
 
Kaiser Aluminum Corp.
  1,800   180,270
*
Koppers Holdings, Inc.
  1,900   59,622
*
Kraton Corp.
  6,011   98,881
#
Kronos Worldwide, Inc.
  2,426   26,298
 
Linde P.L.C.
  45,663   9,275,525
#*
Livent Corp.
  16,928   159,292
 
Louisiana-Pacific Corp.
  18,762   575,618
 
LyondellBasell Industries NV, Class A
  41,151   3,204,017
 
Martin Marietta Materials, Inc.
  8,399   2,215,656
 
Materion Corp.
  4,330   235,119
#*
McEwen Mining, Inc.
  13,772   15,838
 
Mercer International, Inc.
  3,588   39,504
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
MATERIALS — (Continued)
 
Minerals Technologies, Inc.
  4,300   $232,759
 
Mosaic Co. (The)
  39,149   776,716
 
Myers Industries, Inc.
  3,889   62,924
 
Neenah, Inc.
  2,619   174,530
 
NewMarket Corp.
  1,212   532,819
 
Newmont Corp.
  98,948   4,458,597
 
Northern Technologies International Corp.
  600   8,520
 
Nucor Corp.
  44,157   2,097,016
 
O-I Glass, Inc.
  19,727   248,955
 
Olin Corp.
  23,348   347,185
*
OMNOVA Solutions, Inc.
  3,300   33,363
 
Packaging Corp. of America
  12,843   1,229,717
 
PH Glatfelter Co.
  4,200   70,140
 
PolyOne Corp.
  10,028   332,729
 
PPG Industries, Inc.
  32,665   3,914,574
#
Quaker Chemical Corp.
  2,116   351,298
 
Rayonier Advanced Materials, Inc.
  4,767   14,682
 
Reliance Steel & Aluminum Co.
  9,186   1,054,553
 
Royal Gold, Inc.
  9,190   1,059,791
 
RPM International, Inc.
  18,490   1,319,631
 
Schnitzer Steel Industries, Inc., Class A
  5,069   81,509
#
Schweitzer-Mauduit International, Inc.
  3,186   111,606
#
Scotts Miracle-Gro Co. (The)
  5,865   719,870
 
Sealed Air Corp.
  23,412   831,126
 
Sensient Technologies Corp.
  5,521   329,880
 
Sherwin-Williams Co. (The)
  11,695   6,513,998
 
Silgan Holdings, Inc.
  11,200   345,632
 
Sonoco Products Co.
  11,872   678,366
#
Southern Copper Corp.
  10,534   396,921
 
Steel Dynamics, Inc.
  29,900   893,412
 
Stepan Co.
  2,863   282,435
*
Summit Materials, Inc., Class A
  11,741   257,950
 
SunCoke Energy, Inc.
  6,923   40,707
*
Synalloy Corp.
  737   9,456
*
TimkenSteel Corp.
  4,280   27,306
*
Trecora Resources
  613   4,150
 
Tredegar Corp.
  2,230   45,380
 
Trinseo SA
  5,923   170,109
*
Tronox Holdings P.L.C., Class A
  11,867   100,395
 
United States Lime & Minerals, Inc.
  353   31,682
#
United States Steel Corp.
  20,893   189,499
*
Universal Stainless & Alloy Products, Inc.
  545   7,221
#*
US Concrete, Inc.
  1,426   50,751
 
Valvoline, Inc.
  28,562   602,087
*
Verso Corp., Class A
  4,311   72,640
 
Vulcan Materials Co.
  17,700   2,506,851
#
Warrior Met Coal, Inc.
  4,151   78,288
 
Westlake Chemical Corp.
  5,120   313,344
 
WestRock Co.
  30,706   1,197,534
 
Worthington Industries, Inc.
  5,920   217,738
 
WR Grace & Co.
  8,700   586,032
TOTAL MATERIALS
      112,162,685
REAL ESTATE — (0.1%)
*
CBRE Group, Inc., Class A
  43,844   2,676,676
 
Consolidated-Tomoka Land Co.
  681   43,216
*
Forestar Group, Inc.
  384   7,784
*
Howard Hughes Corp. (The)
  5,344   650,258
 
Jones Lang LaSalle, Inc.
  7,092   1,204,363
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
REAL ESTATE — (Continued)
 
Kennedy-Wilson Holdings, Inc.
  15,273   $329,286
#*
Marcus & Millichap, Inc.
  4,041   143,051
 
Newmark Group, Inc., Class A
  25,775   303,372
*
Rafael Holdings, Inc., Class B
  900   18,216
 
RE/MAX Holdings, Inc., Class A
  3,149   120,544
#*
St Joe Co. (The)
  4,493   94,398
*
Tejon Ranch Co.
  1,978   31,846
TOTAL REAL ESTATE
      5,623,010
UTILITIES — (3.5%)
 
AES Corp.
  147,200   2,923,392
 
ALLETE, Inc.
  7,481   624,514
 
Alliant Energy Corp.
  35,012   2,078,312
 
Ameren Corp.
  34,396   2,822,192
 
American Electric Power Co., Inc.
  70,474   7,344,800
#
American States Water Co.
  6,335   561,028
 
American Water Works Co., Inc.
  25,459   3,467,516
 
Artesian Resources Corp., Class A
  471   17,766
 
Atlantica Yield P.L.C.
  9,595   275,616
 
Atmos Energy Corp.
  16,887   1,976,286
#
Avangrid, Inc.
  8,531   454,361
 
Avista Corp.
  11,052   561,994
 
Black Hills Corp.
  8,868   736,310
 
California Water Service Group
  6,569   345,267
 
CenterPoint Energy, Inc.
  69,553   1,841,763
 
Chesapeake Utilities Corp.
  2,334   224,554
 
Clearway Energy, Inc., Class A
  4,576   94,677
 
Clearway Energy, Inc., Class C
  13,482   285,414
 
CMS Energy Corp.
  39,388   2,698,472
 
Consolidated Edison, Inc.
  46,346   4,356,524
 
Consolidated Water Co., Ltd.
  777   13,295
 
Dominion Energy, Inc.
  106,460   9,128,945
 
DTE Energy Co.
  25,354   3,362,194
 
Duke Energy Corp.
  100,846   9,845,595
 
Edison International
  43,819   3,354,344
 
El Paso Electric Co.
  5,373   365,848
 
Entergy Corp.
  25,630   3,370,858
 
Essential Utilities, Inc.
  26,645   1,383,941
 
Evergy, Inc.
  34,162   2,465,130
 
Eversource Energy
  44,781   4,139,556
 
Exelon Corp.
  137,166   6,527,730
 
FirstEnergy Corp.
  73,803   3,748,454
#
Genie Energy, Ltd., Class B
  1,800   13,014
 
Hawaiian Electric Industries, Inc.
  16,851   824,182
 
IDACORP, Inc.
  6,882   772,092
 
MDU Resources Group, Inc.
  26,707   790,794
 
MGE Energy, Inc.
  4,689   374,792
 
Middlesex Water Co.
  1,620   105,721
#
National Fuel Gas Co.
  10,913   471,333
 
New Jersey Resources Corp.
  11,797   487,452
 
NextEra Energy, Inc.
  67,630   18,138,366
 
NiSource, Inc.
  52,656   1,543,347
 
Northwest Natural Holding Co.
  3,823   280,532
 
NorthWestern Corp.
  6,038   464,745
 
NRG Energy, Inc.
  35,724   1,317,858
 
OGE Energy Corp.
  27,893   1,278,894
 
ONE Gas, Inc.
  7,493   708,089
#
Ormat Technologies, Inc.
  5,235   414,926
 
Otter Tail Corp.
  5,036   269,728
Tax-Managed U.S. Equity Portfolio
CONTINUED
      Shares   Value†
UTILITIES — (Continued)
 
Pattern Energy Group, Inc., Class A
  15,418   $414,898
#*
PG&E Corp.
  25,300   384,813
 
Pinnacle West Capital Corp.
  15,304   1,495,048
 
PNM Resources, Inc.
  10,346   561,064
 
Portland General Electric Co.
  11,307   695,381
 
PPL Corp.
  98,357   3,559,540
 
Public Service Enterprise Group, Inc.
  72,941   4,318,107
 
RGC Resources, Inc.
  300   7,596
 
Sempra Energy
  38,937   6,254,840
 
SJW Group
  3,991   292,740
#
South Jersey Industries, Inc.
  12,048   371,078
 
Southern Co. (The)
  139,441   9,816,646
 
Southwest Gas Holdings, Inc.
  7,483   565,041
 
Spire, Inc.
  7,306   616,042
 
TerraForm Power, Inc., Class A
  2,876   52,027
 
UGI Corp.
  24,114   1,002,901
 
Unitil Corp.
  1,600   98,704
 
Vistra Energy Corp.
  48,697   1,096,656
#
WEC Energy Group, Inc.
  43,139   4,309,155
 
Xcel Energy, Inc.
  74,189   5,133,137
 
York Water Co. (The)
  900   42,624
TOTAL UTILITIES
      150,740,551
TOTAL COMMON STOCKS
      4,222,304,676
RIGHTS/WARRANTS — (0.0%)
HEALTH CARE — (0.0%)
*»
Bristol-Myers Squibb Co. 03/31/21
  72,686   236,647
TOTAL INVESTMENT SECURITIES

(Cost $1,836,416,077)
      4,222,541,323
    
         
TEMPORARY CASH INVESTMENTS — (0.2%)
 
State Street Institutional U.S. Government Money Market Fund 1.518%
  10,677,715 10,677,715
SECURITIES LENDING COLLATERAL — (2.3%)
@§
The DFA Short Term Investment Fund
  8,578,296 99,268,040
TOTAL INVESTMENTS — (100.0%)  
(Cost $1,946,345,290)^^
    $4,332,487,078
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Common Stocks              
Communication Services
$429,127,408   —   —   $429,127,408
Consumer Discretionary
450,143,513   $357   —   450,143,870
Consumer Staples
287,499,840   —   —   287,499,840
Energy
152,654,798   —   —   152,654,798
Financials
587,481,516   2,693   —   587,484,209
Health Care
583,764,700   828   —   583,765,528
Industrials
429,002,608   —   —   429,002,608
Information Technology
1,034,100,169   —   —   1,034,100,169
Materials
112,162,685   —   —   112,162,685
Tax-Managed U.S. Equity Portfolio
CONTINUED
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Real Estate
$5,623,010   —   —   $5,623,010
Utilities
150,740,551   —   —   150,740,551
Rights/Warrants              
Health Care
—   $236,647   —   236,647
Temporary Cash Investments
10,677,715   —   —   10,677,715
Securities Lending Collateral
—   99,268,040   —   99,268,040
TOTAL
$4,232,978,513   $99,508,565   —   $4,332,487,078
Tax-Managed U.S. Targeted Value Portfolio
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
    
      Shares   Value†
COMMON STOCKS — (95.4%)
COMMUNICATION SERVICES — (2.7%)
 
A.H. Belo Corp., Class A
  102,097   $298,123
#
AMC Entertainment Holdings, Inc., Class A
  18,144   118,299
 
ATN International, Inc.
  51,388   2,973,824
*
Ballantyne Strong, Inc.
  83,715   289,235
 
Beasley Broadcast Group, Inc., Class A
  14,405   54,379
#*
Cars.com, Inc.
  208,011   2,427,488
 
Cinemark Holdings, Inc.
  25,600   806,656
*
Clear Channel Outdoor Holdings, Inc.
  31,420   85,777
#*
comScore, Inc.
  14,250   56,288
#
Consolidated Communications Holdings, Inc.
  149,997   724,486
*
Cumulus Media, Inc., Class A
  9,275   129,850
#*
Daily Journal Corp.
  244   67,100
*
DHI Group, Inc.
  62,668   175,470
 
Emerald Expositions Events, Inc.
  50,232   523,920
#
Entercom Communications Corp., Class A
  416,370   1,652,989
 
Entravision Communications Corp., Class A
  45,270   100,499
#*
Eros International P.L.C.
  25,256   60,867
#
EW Scripps Co. (The), Class A
  288,708   3,504,915
#*
Fluent, Inc.
  32,283   87,487
#
Gannett Co., Inc.
  168,162   1,027,470
*
GCI Liberty, Inc., Class A
  92,783   6,789,860
*
Gray Television, Inc.
  289,439   5,869,823
*
Gray Television, Inc., Class A
  2,809   54,073
*
Hemisphere Media Group, Inc.
  35,730   480,211
*
IDT Corp., Class B
  32,125   242,865
#*
IMAX Corp.
  112,966   1,868,458
#*
Iridium Communications, Inc.
  234,984   6,003,841
 
John Wiley & Sons, Inc., Class A
  99,681   4,348,085
*
Liberty Latin America, Ltd., Class A
  141,165   2,354,632
#*
Liberty Latin America, Ltd., Class C
  268,962   4,532,010
*
Liberty TripAdvisor Holdings, Inc., Class A
  189,273   1,114,818
#*
Lions Gate Entertainment Corp., Class A
  251,956   2,501,923
#*
Lions Gate Entertainment Corp., Class B
  277,563   2,589,663
*
Madison Square Garden Co. (The), Class A
  2,810   832,294
*
Marchex, Inc., Class B
  37,281   127,128
 
Marcus Corp. (The)
  108,304   3,157,062
#*
Meet Group, Inc. (The)
  378,663   2,018,274
#
Meredith Corp.
  84,644   2,543,552
#*
MSG Networks, Inc., Class A
  60,153   914,927
#
New York Times Co. (The), Class A
  35,492   1,136,099
 
News Corp., Class A
  1,142,424   15,559,815
 
News Corp., Class B
  480,622   6,714,289
#
Nexstar Media Group, Inc., Class A
  93,401   11,315,531
*
ORBCOMM, Inc.
  236,209   847,990
#*
QuinStreet, Inc.
  15,681   203,147
#*
Reading International, Inc., Class A
  57,580   587,316
*
Reading International, Inc., Class B
  6,238   146,468
 
Saga Communications, Inc., Class A
  32,625   989,190
 
Scholastic Corp.
  141,084   4,648,718
#
Shenandoah Telecommunications Co.
  56,949   2,297,892
 
Sinclair Broadcast Group, Inc., Class A
  52,257   1,563,529
 
Spok Holdings, Inc.
  50,399   535,237
#*
TechTarget, Inc.
  36,182   918,661
 
TEGNA, Inc.
  412,001   6,962,817
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
COMMUNICATION SERVICES — (Continued)
 
Telephone & Data Systems, Inc.
  374,746   $8,499,239
 
Townsquare Media, Inc., Class A
  24,784   239,166
 
Tribune Publishing Co.
  38,238   480,269
#*
TrueCar Inc.
  20,088   74,326
*
United States Cellular Corp.
  114,727   3,673,559
#*
Urban One, Inc.
  33,283   62,572
#*
Yelp, Inc.
  78,785   2,568,391
#*
Zedge, Inc., Class B
  8,025   13,643
TOTAL COMMUNICATION SERVICES
      133,546,485
CONSUMER DISCRETIONARY — (13.1%)
*
1-800-Flowers.com, Inc., Class A
  169,895   2,580,705
 
Aaron's, Inc.
  241,866   14,357,166
#
Abercrombie & Fitch Co., Class A
  274,730   4,494,583
 
Acushnet Holdings Corp.
  27,312   845,853
#*
Adient P.L.C.
  355,360   9,136,306
*
Adtalem Global Education, Inc.
  227,790   7,861,033
 
AMCON Distributing Co.
  388   30,184
*
American Axle & Manufacturing Holdings, Inc.
  305,669   2,824,382
 
American Eagle Outfitters, Inc.
  532,780   7,672,032
*
American Outdoor Brands Corp.
  193,734   1,824,974
*
American Public Education, Inc.
  46,698   1,112,813
*
America's Car-Mart, Inc.
  25,350   2,782,923
 
Aramark
  316,199   13,957,024
 
Ark Restaurants Corp.
  11,846   258,361
*
Asbury Automotive Group, Inc.
  761   73,398
#*
Ascena Retail Group, Inc.
  27,498   120,991
#*
At Home Group, Inc.
  163,931   927,849
#*
AutoNation, Inc.
  282,641   11,995,284
#*
Barnes & Noble Education, Inc.
  17,423   59,935
 
Bassett Furniture Industries, Inc.
  44,588   545,311
 
BBX Capital Corp.
  52,734   204,608
*
Beazer Homes USA, Inc.
  4,951   68,076
#
Bed Bath & Beyond, Inc.
  105,528   1,503,774
 
Big 5 Sporting Goods Corp.
  3,800   14,174
#
Big Lots, Inc.
  106,808   2,890,224
*
Biglari Holdings, Inc., Class A
  125   78,688
*
Biglari Holdings, Inc., Class B
  3,228   350,173
#
BJ's Restaurants, Inc.
  51,969   2,067,327
#*
Blue Apron Holdings, Inc., Class A
  4,737   18,285
#*
Boot Barn Holdings, Inc.
  72,876   3,058,606
 
BorgWarner, Inc.
  321,069   11,009,456
 
Bowl America, Inc., Class A
  10,764   162,644
 
Boyd Gaming Corp.
  179,677   5,363,358
 
Brunswick Corp.
  63,235   3,974,320
#*
Build-A-Bear Workshop, Inc.
  65,552   274,007
 
Caleres, Inc.
  191,145   3,354,595
 
Callaway Golf Co.
  299,669   6,418,910
 
Canterbury Park Holding Corp.
  7,625   95,618
*
Capri Holdings, Ltd.
  154,951   4,642,332
 
Carriage Services, Inc.
  112,500   2,662,875
#*
Carrols Restaurant Group, Inc.
  133,112   604,328
 
Cato Corp. (The), Class A
  2,702   43,340
*
Cavco Industries, Inc.
  29,876   6,692,822
*
Century Casinos, Inc.
  501   4,173
#*
Century Communities, Inc.
  88,510   2,626,092
 
Chico's FAS, Inc.
  348,600   1,356,054
*
Chuy's Holdings, Inc.
  63,169   1,550,799
 
Citi Trends, Inc.
  16,400   381,956
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
CONSUMER DISCRETIONARY — (Continued)
#
Columbia Sportswear Co.
  9,424   $885,102
#*
Conn's, Inc.
  111,512   976,845
#*
Container Store Group, Inc. (The)
  50,854   205,450
 
Cooper Tire & Rubber Co.
  224,450   5,945,680
*
Cooper-Standard Holdings, Inc.
  37,411   992,140
 
Core-Mark Holding Co., Inc.
  203,514   4,770,368
 
CSS Industries, Inc.
  24,910   232,909
 
Culp, Inc.
  36,886   465,870
 
Dana, Inc.
  305,094   4,701,499
*
Deckers Outdoor Corp.
  4,900   935,459
*
Del Taco Restaurants, Inc.
  169,662   1,279,251
*
Delta Apparel, Inc.
  20,134   504,961
#
Designer Brands, Inc., Class A
  240,323   3,422,200
*
Destination XL Group, Inc.
  61,171   67,900
 
Dick's Sporting Goods, Inc.
  240,148   10,621,746
#
Dillard's, Inc., Class A
  154,053   9,354,098
#
Dine Brands Global, Inc.
  23,801   2,029,035
#*
Dorman Products, Inc.
  31,097   2,170,571
 
Dover Motorsports, Inc.
  50,189   91,344
#*
Drive Shack, Inc.
  27,340   103,345
 
Educational Development Corp.
  4,552   25,946
#*
El Pollo Loco Holdings, Inc.
  91,679   1,263,337
#*
Eldorado Resorts, Inc.
  67,712   4,047,823
*
Emerson Radio Corp.
  19,652   16,704
 
Escalade, Inc.
  31,822   280,034
 
Ethan Allen Interiors, Inc.
  103,362   1,669,296
*
Everi Holdings, Inc.
  15,873   198,413
*
Express, Inc.
  17,000   68,170
 
Extended Stay America, Inc.
  268,523   3,469,317
#*
Fiesta Restaurant Group, Inc.
  69,300   688,149
#
Flanigan's Enterprises, Inc.
  5,416   114,819
 
Flexsteel Industries, Inc.
  32,999   541,184
 
Foot Locker, Inc.
  237,583   9,021,027
#*
Fossil Group, Inc.
  129,062   868,587
*
Francesca's Holdings Corp.
  1,701   12,996
#
GameStop Corp., Class A
  58,831   225,911
 
Gap, Inc. (The)
  333,254   5,801,952
#*
Genesco, Inc.
  79,852   3,139,781
 
Gentex Corp.
  386,914   11,518,430
*
Gentherm, Inc.
  36,152   1,666,969
#*
G-III Apparel Group, Ltd.
  166,187   4,521,948
 
Goodyear Tire & Rubber Co. (The)
  584,703   7,677,150
 
Graham Holdings Co., Class B
  17,086   9,383,973
*
Green Brick Partners, Inc.
  64,969   752,991
 
Group 1 Automotive, Inc.
  122,299   12,324,070
#
Guess?, Inc.
  236,111   5,026,803
#*
Habit Restaurants, Inc. (The), Class A
  72,408   1,007,195
#
Hamilton Beach Brands Holding Co., Class A
  38,918   614,904
#
Harley-Davidson, Inc.
  42,964   1,434,998
 
Haverty Furniture Cos., Inc.
  108,607   2,186,259
 
Haverty Furniture Cos., Inc., Class A
  700   14,095
*
Helen of Troy, Ltd.
  72,774   13,757,925
#*
Hibbett Sports, Inc.
  53,688   1,330,389
#
Hooker Furniture Corp.
  53,234   1,311,686
#*
Horizon Global Corp.
  39,728   133,883
*
Houghton Mifflin Harcourt Co.
  462,813   2,554,728
#*
iRobot Corp.
  1,711   80,503
*
J Alexander's Holdings, Inc.
  32,233   308,792
 
Johnson Outdoors, Inc., Class A
  49,152   3,863,347
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
CONSUMER DISCRETIONARY — (Continued)
*
K12, Inc.
  189,192   $3,053,559
 
KB Home
  37,889   1,422,732
 
Kohl's Corp.
  305,090   13,042,597
*
Lakeland Industries, Inc.
  28,884   402,643
#*
Lands' End, Inc.
  31,185   363,305
*
Laureate Education, Inc., Class A
  100,296   2,090,169
 
La-Z-Boy, Inc.
  211,867   6,491,605
 
LCI Industries
  3,680   397,330
*
Leaf Group, Ltd.
  63,954   223,199
 
Lear Corp.
  51,561   6,351,284
#*
LGI Homes, Inc.
  31,702   2,527,917
 
Lifetime Brands, Inc.
  61,457   416,064
*
Lincoln Educational Services Corp.
  8,887   20,973
#*
Liquidity Services, Inc.
  52,557   279,603
#
Lithia Motors, Inc., Class A
  85,067   11,538,488
*
M/I Homes, Inc.
  95,252   4,228,236
#
Macy's, Inc.
  1,015,079   16,190,510
*
MarineMax, Inc.
  127,066   2,532,425
 
Marriott Vacations Worldwide Corp.
  162,192   19,501,966
 
MDC Holdings, Inc.
  201,448   8,489,019
»
Media General, Inc.
  109,358   10,334
*
Meritage Homes Corp.
  93,172   6,611,485
*
Modine Manufacturing Co.
  163,325   1,148,175
*
Mohawk Industries, Inc.
  43,290   5,700,427
#*
Monarch Casino & Resort, Inc.
  8,637   463,634
#
Monro, Inc.
  3,107   194,809
#*
Motorcar Parts of America, Inc.
  82,383   1,636,126
#
Movado Group, Inc.
  70,300   1,210,566
*
Murphy USA, Inc.
  16,193   1,654,439
 
Nathan's Famous, Inc.
  8,610   568,260
#*
National Vision Holdings, Inc.
  26,616   908,138
*
Nautilus, Inc.
  3,361   10,688
 
Newell Brands, Inc.
  720,914   14,079,450
 
Office Depot, Inc.
  487,800   1,082,916
 
Oxford Industries, Inc.
  23,537   1,633,468
 
P&F Industries, Inc., Class A
  1,423   9,961
#*
Party City Holdco, Inc.
  13,507   38,900
#
Penske Automotive Group, Inc.
  278,767   13,093,686
*
Perdoceo Education Corp.
  170,253   3,027,098
#*
Playa Hotels & Resorts NV
  60,944   427,827
*
PlayAGS, Inc.
  4,127   42,426
*
Potbelly Corp.
  92,438   398,408
 
PulteGroup, Inc.
  692,549   30,922,313
 
PVH Corp.
  156,690   13,658,667
*
Qurate Retail, Inc.
  634,091   5,408,796
 
Ralph Lauren Corp.
  34,537   3,919,950
 
RCI Hospitality Holdings, Inc.
  40,210   712,923
#*
Red Lion Hotels Corp.
  41,100   113,436
#*
Red Robin Gourmet Burgers, Inc.
  68,538   2,252,844
#*
Regis Corp.
  113,087   1,755,110
 
Rocky Brands, Inc.
  19,704   534,767
#*
Rubicon Project, Inc. (The)
  91,740   858,686
*
Select Interior Concepts, Inc., Class A
  6,099   50,378
 
Service Corp. International
  2,343   112,347
*
Shiloh Industries, Inc.
  79,194   268,468
#
Shoe Carnival, Inc.
  103,146   3,698,816
#
Signet Jewelers, Ltd.
  190,097   4,621,258
*
Skechers U.S.A., Inc., Class A
  93,500   3,495,965
*
Skyline Champion Corp.
  27,863   801,061
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
CONSUMER DISCRETIONARY — (Continued)
 
Sonic Automotive, Inc., Class A
  74,094   $2,343,593
#*
Sportsman's Warehouse Holdings, Inc.
  25,198   163,283
 
Stage Stores, Inc.
  5,275   5,908
*
Stamps.com, Inc.
  26,128   1,946,275
 
Standard Motor Products, Inc.
  123,563   6,002,691
*
Stoneridge, Inc.
  106,741   2,973,804
 
Strattec Security Corp.
  8,613   189,443
 
Superior Group of Cos, Inc.
  78,672   907,088
 
Superior Industries International, Inc.
  39,616   126,771
*
Tandy Leather Factory, Inc.
  48,594   271,155
 
Tapestry, Inc.
  265,073   6,830,931
*
Taylor Morrison Home Corp.
  351,801   9,104,610
 
Tilly's, Inc., Class A
  77,295   657,008
 
Toll Brothers, Inc.
  777,321   34,481,960
*
TopBuild Corp.
  84,791   9,709,417
*
TravelCenters of America, Inc.
  7,328   123,404
#*
TRI Pointe Group, Inc.
  457,997   7,447,031
#
Twin River Worldwide Holding, Inc.
  9,914   264,208
*
Unifi, Inc.
  94,608   2,035,964
*
Universal Electronics, Inc.
  48,433   2,398,886
*
Universal Technical Institute, Inc.
  3,080   23,685
#*
Urban Outfitters, Inc.
  428,884   10,979,430
*
Vera Bradley, Inc.
  102,746   984,307
*
Vista Outdoor, Inc.
  109,714   815,175
*
VOXX International Corp.
  83,524   359,153
 
Weyco Group, Inc.
  23,406   530,146
 
Winnebago Industries, Inc.
  100,191   5,486,459
 
Wolverine World Wide, Inc.
  46,732   1,475,329
#*
ZAGG, Inc.
  113,335   856,813
*
Zumiez, Inc.
  29,347   914,746
TOTAL CONSUMER DISCRETIONARY
      644,722,281
CONSUMER STAPLES — (3.9%)
 
Alico, Inc.
  16,418   590,884
 
Andersons, Inc. (The)
  112,222   2,538,462
*
Bridgford Foods Corp.
  2,376   45,287
 
Bunge, Ltd.
  304,067   15,942,233
#
Cal-Maine Foods, Inc.
  61,838   2,206,998
 
Casey's General Stores, Inc.
  4,430   712,610
#*
Central Garden & Pet Co.
  61,250   1,972,863
*
Central Garden & Pet Co., Class A
  176,558   5,289,678
#*
Chefs' Warehouse, Inc. (The)
  79,072   2,878,221
#
Coty, Inc., Class A
  1,069,054   10,968,494
#*
Craft Brew Alliance, Inc.
  79,524   1,304,194
*
Darling Ingredients, Inc.
  704,265   19,106,709
*
Edgewell Personal Care Co.
  149,184   3,851,931
*
elf Beauty Inc.
  21,988   344,772
#*
Farmer Brothers Co.
  16,731   200,437
#
Fresh Del Monte Produce, Inc.
  237,709   7,459,308
#*
Hain Celestial Group, Inc. (The)
  181,064   4,383,559
#*
Hostess Brands, Inc.
  365,607   4,906,446
 
Ingles Markets, Inc., Class A
  64,605   2,693,382
 
Ingredion, Inc.
  148,866   13,100,208
 
Inter Parfums, Inc.
  11,941   825,243
 
J&J Snack Foods Corp.
  800   132,672
 
John B. Sanfilippo & Son, Inc.
  26,769   2,256,627
#*
Landec Corp.
  114,200   1,279,040
 
Limoneira Co.
  6,474   126,372
 
Mannatech, Inc.
  7,995   127,041
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
CONSUMER STAPLES — (Continued)
#
MGP Ingredients, Inc.
  11,800   $401,908
*
Natural Alternatives International, Inc.
  27,320   223,478
 
Natural Grocers by Vitamin Cottage, Inc.
  72,004   651,636
*
Nature's Sunshine Products, Inc.
  1,214   11,606
 
Nu Skin Enterprises, Inc., Class A
  50,025   1,630,315
 
Oil-Dri Corp. of America
  28,763   1,018,210
*
Pilgrim's Pride Corp.
  100,890   2,628,184
*
Post Holdings, Inc.
  247,824   25,914,956
 
PriceSmart, Inc.
  38,857   2,380,380
#*
Pyxus International, Inc.
  10,941   74,946
 
Sanderson Farms, Inc.
  49,757   6,851,041
 
Seaboard Corp.
  2,543   9,804,816
*
Seneca Foods Corp., Class A
  25,957   1,026,599
*
Seneca Foods Corp., Class B
  1,786   69,484
*
Simply Good Foods Co. (The)
  44,769   1,028,344
 
SpartanNash Co.
  132,768   1,617,114
 
Spectrum Brands Holdings, Inc.
  39,407   2,419,984
#*
TreeHouse Foods, Inc.
  169,629   7,565,453
#*
United Natural Foods, Inc.
  205,965   1,482,948
 
Universal Corp.
  108,949   5,790,639
*
US Foods Holding Corp.
  311,820   12,525,809
 
Village Super Market, Inc., Class A
  34,357   764,787
#
Weis Markets, Inc.
  84,995   3,118,467
TOTAL CONSUMER STAPLES
      194,244,775
ENERGY — (5.5%)
 
Adams Resources & Energy, Inc.
  23,204   820,493
 
Amplify Energy Corp.
  48,814   263,107
#*
Antero Resources Corp.
  203,360   376,216
 
Apache Corp.
  288,605   7,919,321
*
Apergy Corp.
  83,655   2,163,318
#
Arch Coal, Inc., Class A
  54,127   2,789,164
 
Archrock, Inc.
  372,485   3,110,250
*
Ardmore Shipping Corp.
  73,653   452,966
*
Aspen Aerogels, Inc.
  11,182   92,475
 
Berry Petroleum Corp.
  40,762   279,220
#*
Bonanza Creek Energy, Inc.
  49,718   904,370
#*
Callon Petroleum Co.
  545,816   1,637,448
#*
Centennial Resource Development, Inc., Class A
  455,272   1,484,187
 
Cimarex Energy Co.
  220,598   9,682,046
*
Clean Energy Fuels Corp.
  649,338   1,493,477
#*
CNX Resources Corp.
  380,370   2,750,075
#*
CONSOL Energy, Inc.
  1   8
#*
Contango Oil & Gas Co.
  27,020   105,648
#
CVR Energy, Inc.
  10,755   372,231
#*
Dawson Geophysical Co.
  8,079   19,390
#
Delek US Holdings, Inc.
  279,715   7,680,974
 
Devon Energy Corp.
  165,163   3,587,340
#
DHT Holdings, Inc.
  462,896   2,606,104
 
DMC Global, Inc.
  16,522   691,115
#*
Dorian LPG, Ltd.
  155,520   2,040,422
#*
Dril-Quip, Inc.
  134,948   5,519,373
#*
Earthstone Energy, Inc., Class A
  18,748   93,740
 
EnLink Midstream LLC
  908,146   4,567,974
#
EQT Corp.
  235,849   1,426,886
*
Era Group, Inc.
  78,678   782,059
 
Evolution Petroleum Corp.
  24,641   124,191
*
Exterran Corp.
  33,092   178,697
#*
Extraction Oil & Gas, Inc.
  106,611   151,388
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
ENERGY — (Continued)
*
Frank's International NV
  168,457   $589,600
#
GasLog, Ltd.
  119,346   773,362
*
Geospace Technologies Corp.
  54,641   732,736
#*
Goodrich Petroleum Corp.
  1,736   11,649
#
Green Plains, Inc.
  168,233   2,097,866
*
Gulf Island Fabrication, Inc.
  84,917   433,077
 
Hallador Energy Co.
  27,622   45,853
*
Helix Energy Solutions Group, Inc.
  324,582   2,707,014
 
Helmerich & Payne, Inc.
  382,236   15,499,670
 
HollyFrontier Corp.
  486,689   21,862,070
#*
Hornbeck Offshore Services, Inc.
  17,941   1,848
*
International Seaways, Inc.
  100,645   2,240,358
#*
KLX Energy Services Holdings, Inc.
  72,080   291,203
 
Kosmos Energy, Ltd.
  737,042   3,766,285
*
Laredo Petroleum, Inc.
  621,532   1,069,035
#
Liberty Oilfield Services, Inc., Class A
  23,786   201,705
#*
Lonestar Resources US, Inc., Class A
  19,739   35,925
 
Marathon Oil Corp.
  16,091   182,955
#*
Matador Resources Co.
  398,023   5,838,997
*
Matrix Service Co.
  81,594   1,641,671
*
Mitcham Industries, Inc.
  59,218   168,179
#*
Montage Resources Corp.
  3,756   13,709
#
Murphy Oil Corp.
  567,620   11,897,315
 
Nabors Industries, Ltd.
  820,610   1,698,663
 
NACCO Industries, Inc., Class A
  24,983   1,177,699
 
National Oilwell Varco, Inc.
  554,583   11,429,956
*
Natural Gas Services Group, Inc.
  49,000   515,480
 
Navios Maritime Acquisition Corp.
  1,692   8,968
#*
Newpark Resources, Inc.
  343,498   1,717,490
*
NexTier Oilfield Solutions, Inc.
  292,833   1,508,090
#*
Nine Energy Service, Inc.
  17,019   82,372
#*
Noble Corp. P.L.C.
  977,288   789,453
 
Nordic American Tankers, Ltd.
  49,851   168,496
#*
Northern Oil and Gas, Inc.
  47,975   79,639
#*
Oasis Petroleum, Inc.
  1,262,724   2,841,129
*
Oceaneering International, Inc.
  352,589   4,375,629
*
Oil States International, Inc.
  190,945   2,058,387
*
Overseas Shipholding Group, Inc., Class A
  18,974   33,774
 
Panhandle Oil and Gas, Inc., Class A
  10,440   75,481
*
Par Pacific Holdings, Inc.
  50,474   1,015,537
 
Parsley Energy, Inc., Class A
  958,953   15,956,978
 
Patterson-UTI Energy, Inc.
  672,184   5,337,141
 
PBF Energy, Inc., Class A
  430,919   11,764,089
#*
PDC Energy, Inc.
  299,623   6,468,861
*
Penn Virginia Corp.
  41,659   890,253
*
PrimeEnergy Resources Corp.
  157   22,867
*
ProPetro Holding Corp.
  124,908   1,216,604
#
Range Resources Corp.
  95,274   285,822
#*
Renewable Energy Group, Inc.
  202,352   5,317,811
*
REX American Resources Corp.
  42,255   3,183,914
#*
RigNet, Inc.
  43,130   179,421
#*
Ring Energy, Inc.
  6,066   13,103
#
RPC, Inc.
  50,979   230,935
*
SandRidge Energy, Inc.
  3,000   7,650
#
Scorpio Tankers, Inc.
  202,471   4,725,673
*
SEACOR Holdings, Inc.
  70,739   2,659,079
*
SEACOR Marine Holdings, Inc.
  80,433   839,721
*
Select Energy Services, Inc., Class A
  148,672   1,034,757
#
SFL Corp., Ltd.
  239,514   3,171,165
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
ENERGY — (Continued)
*
SilverBow Resources, Inc.
  2,808   $14,939
 
SM Energy Co.
  392,565   3,603,747
#
Solaris Oilfield Infrastructure, Inc., Class A
  12,334   142,211
#*
Southwestern Energy Co.
  580,723   911,735
#*
Talos Energy, Inc.
  64,944   1,424,871
 
TechnipFMC P.L.C.
  204,093   3,369,575
#
Teekay Corp.
  3,847   13,695
*
Teekay Tankers, Ltd., Class A
  19,695   320,832
#*
Tidewater, Inc.
  71,429   1,084,292
#*
Transocean, Ltd.
  577,633   2,634,006
#*
Unit Corp.
  57,324   22,918
#
US Silica Holdings, Inc.
  100,509   516,616
#
Valaris P.L.C.
  328,138   1,676,785
#*
Whiting Petroleum Corp.
  258,389   1,173,086
 
World Fuel Services Corp.
  217,237   8,498,311
*
WPX Energy, Inc.
  1,451,842   17,349,512
TOTAL ENERGY
      273,906,973
FINANCIALS — (28.4%)
#
1st Constitution Bancorp
  4,837   97,466
 
1st Source Corp.
  131,734   6,216,527
 
ACNB Corp.
  2,174   69,677
#*
Allegiance Bancshares, Inc.
  41,938   1,560,094
*
A-Mark Precious Metals, Inc.
  3,456   27,579
#*
Ambac Financial Group, Inc.
  12,275   263,053
 
American Equity Investment Life Holding Co.
  318,969   8,423,971
 
American Financial Group, Inc.
  164,446   17,890,080
 
American National Bankshares, Inc.
  22,882   780,276
 
American National Insurance Co.
  46,339   5,104,704
 
American River Bankshares
  8,728   126,294
 
Ameris Bancorp
  206,424   8,296,181
 
AMERISAFE, Inc.
  15,891   1,087,262
 
AmeriServ Financial, Inc.
  72,711   298,115
 
Ames National Corp.
  2,159   57,602
 
Argo Group International Holdings, Ltd.
  141,225   9,264,360
 
Arrow Financial Corp.
  12,018   421,351
 
Associated Banc-Corp
  574,803   11,455,824
 
Associated Capital Group, Inc., Class A
  264   11,027
 
Assurant, Inc.
  119,360   15,583,642
 
Assured Guaranty, Ltd.
  491,931   22,550,117
*
Asta Funding, Inc.
  6,462   66,365
*
Athene Holding, Ltd., Class A
  345,170   15,035,605
 
Atlantic American Corp.
  9,523   21,046
*
Atlantic Capital Bancshares, Inc.
  62,703   1,183,206
 
Atlantic Union Bankshares Corp.
  257,462   8,673,895
#*
Atlanticus Holdings Corp.
  55,958   781,174
 
Auburn National Bancorporation, Inc.
  513   29,241
 
Axis Capital Holdings, Ltd.
  237,586   15,264,900
#*
Axos Financial, Inc.
  227,512   6,409,013
 
Banc of California, Inc.
  144,231   2,301,927
 
BancFirst Corp.
  18,886   1,091,611
*
Bancorp, Inc. (The)
  183,030   2,165,245
 
BancorpSouth Bank
  275,023   7,857,407
 
Bank of Commerce Holdings
  20,667   221,137
 
Bank of Marin Bancorp
  28,279   1,245,973
 
Bank of NT Butterfield & Son, Ltd. (The)
  8,955   297,485
 
Bank of Princeton (The)
  770   23,485
 
Bank OZK
  374,398   10,176,138
 
BankFinancial Corp.
  56,993   710,703
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
BankUnited, Inc.
  240,878   $7,948,974
#
Bankwell Financial Group, Inc.
  7,894   213,375
 
Banner Corp.
  105,383   5,432,494
 
Bar Harbor Bankshares
  40,267   885,874
#*
Baycom Corp.
  10,560   237,178
 
BCB Bancorp, Inc.
  21,361   280,256
 
Berkshire Hills Bancorp, Inc.
  172,008   4,842,025
*
Blucora, Inc.
  156,597   3,531,262
 
Blue Capital Reinsurance Holdings, Ltd.
  6,042   42,173
#
BOK Financial Corp.
  127,970   10,096,833
 
Boston Private Financial Holdings, Inc.
  242,481   2,764,283
 
Bridge Bancorp, Inc.
  42,292   1,283,562
#*
Bridgewater Bancshares, Inc.
  7,732   102,062
*
Brighthouse Financial, Inc.
  11,910   463,299
 
Brookline Bancorp, Inc.
  273,201   4,152,655
 
Bryn Mawr Bank Corp.
  46,293   1,736,913
 
Byline Bancorp, Inc.
  19,816   382,449
 
C&F Financial Corp.
  7,417   371,221
 
Cadence BanCorp
  387,478   6,056,281
 
California First National Bancorp
  14,758   247,197
 
Cambridge Bancorp
  293   21,149
 
Camden National Corp.
  45,782   2,163,657
*
Cannae Holdings, Inc.
  30,274   1,230,941
 
Capital City Bank Group, Inc.
  96,611   2,755,346
 
Capitol Federal Financial, Inc.
  413,297   5,447,254
 
Capstar Financial Holdings, Inc.
  6,699   100,284
 
Carolina Financial Corp.
  33,787   1,295,731
 
Cathay General Bancorp
  281,020   10,133,581
 
CBTX, Inc.
  3,283   97,013
 
CenterState Bank Corp.
  177,764   4,010,356
 
Central Pacific Financial Corp.
  38,844   1,077,144
 
Central Valley Community Bancorp
  19,629   368,829
 
Century Bancorp, Inc., Class A
  7,789   669,854
 
Chemung Financial Corp.
  1,976   78,388
 
CIT Group, Inc.
  301,694   13,790,433
 
Citizens & Northern Corp.
  13,179   336,987
 
Citizens Community Bancorp, Inc.
  33,725   404,026
 
Citizens Holding Co.
  1,122   24,179
#*
Citizens, Inc.
  133,854   811,155
 
City Holding Co.
  14,788   1,119,156
 
Civista Bancshares, Inc.
  20,243   445,548
 
CNB Financial Corp.
  22,946   678,284
 
CNO Financial Group, Inc.
  1,201,584   21,135,863
 
Codorus Valley Bancorp, Inc.
  10,987   239,517
 
Colony Bankcorp, Inc.
  4,653   71,424
 
Columbia Banking System, Inc.
  213,971   8,280,678
 
Community Bank System, Inc.
  89,651   5,941,172
 
Community Bankers Trust Corp.
  3,617   31,938
 
Community Financial Corp. (The)
  2,339   79,526
 
Community Trust Bancorp, Inc.
  54,019   2,363,331
 
Community West Bancshares
  18,755   206,305
 
ConnectOne Bancorp, Inc.
  116,953   2,761,260
#*
Consumer Portfolio Services, Inc.
  78,997   278,859
#*
Cowen, Inc., Class A
  66,804   1,073,540
#
Crawford & Co., Class A
  1,705   14,902
#*
Customers Bancorp, Inc.
  32,075   685,763
 
CVB Financial Corp.
  34,390   714,280
 
Dime Community Bancshares, Inc.
  116,730   2,265,729
 
Donegal Group, Inc., Class A
  77,145   1,076,173
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Donegal Group, Inc., Class B
  6,421   $77,501
*
Donnelley Financial Solutions, Inc.
  45,206   409,566
 
E*TRADE Financial Corp.
  38,306   1,632,602
 
Eagle Bancorp, Inc.
  67,539   2,951,454
 
East West Bancorp, Inc.
  850   38,964
*
Elevate Credit, Inc.
  20,387   118,448
 
Employers Holdings, Inc.
  110,964   4,732,615
#*
Encore Capital Group, Inc.
  96,854   3,288,193
*
Enova International, Inc.
  70,042   1,755,253
*
Enstar Group, Ltd.
  28,937   5,651,107
 
Enterprise Bancorp, Inc.
  13,115   406,827
 
Enterprise Financial Services Corp.
  42,119   1,832,598
*
Equity Bancshares, Inc., Class A
  31,192   837,817
 
ESSA Bancorp, Inc.
  24,400   413,580
 
Evans Bancorp, Inc.
  8,795   343,357
#*
EZCORP, Inc., Class A
  115,496   718,385
 
Farmers National Banc Corp.
  44,163   698,659
 
FB Financial Corp.
  8,170   291,261
 
FBL Financial Group, Inc., Class A
  116,453   6,262,842
 
Federal Agricultural Mortgage Corp., Class A
  2,759   186,757
 
Federal Agricultural Mortgage Corp., Class C
  42,472   3,240,614
 
FedNat Holding Co.
  58,542   909,157
 
Financial Institutions, Inc.
  50,057   1,542,256
*
First Acceptance Corp.
  90,168   62,216
 
First American Financial Corp.
  291,331   18,056,695
 
First Bancorp
  63,922   2,267,953
 
First BanCorp
  716,868   6,645,366
 
First Bancorp, Inc.
  22,437   634,518
 
First Bancshares, Inc. (The)
  17,608   606,067
#
First Bank
  15,772   168,760
 
First Busey Corp.
  98,849   2,520,649
 
First Business Financial Services, Inc.
  11,992   301,959
 
First Choice Bancorp
  400   9,736
 
First Citizens BancShares, Inc., Class A
  21,741   11,453,594
 
First Commonwealth Financial Corp.
  285,908   3,865,476
 
First Community Bancshares, Inc.
  65,021   1,905,766
 
First Community Corp.
  2,111   43,339
 
First Defiance Financial Corp.
  69,285   2,036,286
 
First Financial Bancorp
  360,197   8,659,136
 
First Financial Corp.
  50,392   2,102,858
 
First Financial Northwest, Inc.
  75,536   1,105,092
 
First Foundation, Inc.
  111,759   1,844,023
 
First Horizon National Corp.
  795,087   12,721,392
 
First Internet Bancorp
  9,968   264,252
 
First Interstate BancSystem, Inc., Class A
  121,991   4,696,653
 
First Merchants Corp.
  176,236   7,005,381
 
First Mid Bancshares, Inc.
  16,535   541,521
 
First Midwest Bancorp, Inc.
  385,869   7,694,228
 
First Northwest Bancorp
  7,168   113,183
 
First of Long Island Corp. (The)
  47,739   1,053,122
#
First Savings Financial Group, Inc.
  426   27,264
 
First United Corp.
  7,060   168,805
 
Flagstar Bancorp, Inc.
  190,559   6,715,299
 
Flushing Financial Corp.
  119,416   2,372,796
 
FNB Corp.
  1,048,665   12,237,921
#
Franklin Financial Network, Inc.
  29,474   1,086,706
 
FS Bancorp, Inc.
  3,877   212,149
 
Fulton Financial Corp.
  736,177   12,124,835
#
GAIN Capital Holdings, Inc.
  8,300   32,453
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
GAMCO Investors, Inc., Class A
  4,598   $76,097
*
Genworth Financial, Inc., Class A
  20,742   85,042
#
German American Bancorp, Inc.
  93,044   3,181,174
#
Glacier Bancorp, Inc.
  20,333   861,509
 
Global Indemnity, Ltd.
  56,695   1,787,593
 
Great Southern Bancorp, Inc.
  37,966   2,160,645
 
Great Western Bancorp, Inc.
  203,581   6,015,819
*
Green Dot Corp., Class A
  36,947   1,111,366
#*
Greenlight Capital Re, Ltd., Class A
  120,387   1,120,803
 
Guaranty Bancshares, Inc.
  7,495   229,347
 
Guaranty Federal Bancshares, Inc.
  14,051   333,711
*
Hallmark Financial Services, Inc.
  59,157   1,017,500
 
Hancock Whitney Corp.
  306,914   12,196,762
 
Hanmi Financial Corp.
  112,248   1,888,011
 
Hanover Insurance Group, Inc. (The)
  78,762   10,914,838
*
HarborOne Bancrop, Inc.
  47,720   520,625
 
Hawthorn Bancshares, Inc.
  14,406   327,737
#
HCI Group, Inc.
  32,155   1,423,502
 
Heartland Financial USA, Inc.
  84,837   4,149,378
 
Heritage Commerce Corp.
  111,283   1,290,883
 
Heritage Financial Corp.
  65,383   1,685,574
 
Heritage Insurance Holdings, Inc.
  63,564   766,582
 
Hilltop Holdings, Inc.
  306,847   6,947,016
 
Hingham Institution for Savings
  1,253   262,366
*
HMN Financial, Inc.
  17,795   372,093
 
Home Bancorp, Inc.
  9,829   349,519
 
Home BancShares, Inc.
  30,232   578,036
*
HomeStreet, Inc.
  71,609   2,299,365
 
HomeTrust Bancshares, Inc.
  21,623   573,442
 
Hope Bancorp, Inc.
  427,801   5,948,573
 
Horace Mann Educators Corp.
  204,780   8,807,588
 
Horizon Bancorp, Inc.
  90,914   1,538,265
*
Howard Bancorp, Inc.
  12,359   208,744
 
IBERIABANK Corp.
  187,885   13,661,118
 
Independence Holding Co.
  6,977   282,499
 
Independent Bank Corp.
  82,409   5,949,930
 
Independent Bank Corp.
  43,229   924,236
 
Independent Bank Group, Inc.
  132,385   7,085,245
 
International Bancshares Corp.
  272,142   10,722,395
*
INTL. FCStone, Inc.
  41,691   1,986,993
#
Invesco, Ltd.
  838,661   14,508,835
 
Investar Holding Corp.
  3,508   77,562
 
Investors Bancorp, Inc.
  1,084,861   13,110,545
 
Investors Title Co.
  7,512   1,185,394
 
James River Group Holdings, Ltd.
  12,755   547,700
#
Janus Henderson Group P.L.C.
  635,093   16,048,800
#
Jefferies Financial Group, Inc.
  196,427   4,250,680
 
Kearny Financial Corp.
  268,141   3,311,541
 
Kemper Corp.
  207,493   15,441,629
 
Kentucky First Federal Bancorp
  496   3,819
 
Kingstone Cos., Inc.
  1,214   9,591
 
Ladenburg Thalmann Financial Services, Inc.
  10,814   37,741
#
Lake Shore Bancorp, Inc.
  1,066   16,257
 
Lakeland Bancorp, Inc.
  160,777   2,611,018
 
Lakeland Financial Corp.
  31,058   1,473,392
 
Landmark Bancorp, Inc.
  3,430   84,927
 
LCNB Corp.
  770   12,759
 
Legg Mason, Inc.
  293,929   11,507,320
*
LendingClub Corp.
  6,573   77,036
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Level One Bancorp, Inc.
  507   $12,604
 
Live Oak Bancshares, Inc.
  47,617   832,345
 
Luther Burbank Corp.
  9,896   102,028
 
Macatawa Bank Corp.
  84,697   893,553
 
Mackinac Financial Corp.
  18,725   283,122
#*
Magyar Bancorp, Inc.
  6,751   82,767
*
Malvern Bancorp, Inc.
  4,264   85,280
 
Marlin Business Services Corp.
  62,483   1,230,915
#*
MBIA, Inc.
  382,403   3,464,571
 
Mercantile Bank Corp.
  49,463   1,620,903
 
Merchants Bancorp
  5,774   113,632
 
Mercury General Corp.
  20,080   985,727
 
Meridian Bancorp, Inc.
  131,046   2,357,518
 
Meta Financial Group, Inc.
  96,283   3,583,653
*
Metropolitan Bank Holding Corp.
  3,058   150,301
 
MGIC Investment Corp.
  394,009   5,433,384
 
Mid Penn Bancorp, Inc.
  262   6,288
 
Middlefield Banc Corp.
  1,934   48,659
 
Midland States Bancorp, Inc.
  34,072   900,182
 
MidWestOne Financial Group, Inc.
  20,714   669,891
#*
Mr Cooper Group, Inc.
  163,020   2,018,188
#
MSB Financial Corp.
  3,419   59,285
 
MutualFirst Financial, Inc.
  19,402   722,336
 
MVB Financial Corp.
  1,514   30,250
 
National Bank Holdings Corp., Class A
  65,744   2,143,254
 
National Bankshares, Inc.
  658   26,873
 
National General Holdings Corp.
  208,102   4,530,381
 
National Security Group, Inc. (The)
  193   2,846
 
National Western Life Group, Inc., Class A
  8,940   2,378,040
 
Navient Corp.
  809,631   11,642,494
 
NBT Bancorp, Inc.
  85,395   3,227,077
 
Nelnet, Inc., Class A
  110,931   6,351,909
#
New York Community Bancorp, Inc.
  1,634,591   18,078,576
»
NewStar Financial, Inc.
  388,119   112,159
*
NI Holdings, Inc.
  2,431   37,316
*
Nicholas Financial, Inc.
  23,562   195,093
#*
Nicolet Bankshares, Inc.
  13,329   941,694
*
NMI Holdings, Inc., Class A
  80,581   2,572,146
*
Northeast Bank
  11,376   228,316
 
Northfield Bancorp, Inc.
  157,251   2,498,718
 
Northrim BanCorp, Inc.
  26,190   985,530
 
Northwest Bancshares, Inc.
  285,760   4,493,576
 
Norwood Financial Corp.
  4,180   142,120
 
OceanFirst Financial Corp.
  128,629   2,991,911
 
OFG Bancorp
  155,622   3,067,310
 
Ohio Valley Banc Corp.
  1,614   53,343
 
Old National Bancorp
  587,691   10,525,546
 
Old Republic International Corp.
  806,796   18,193,250
 
Old Second Bancorp, Inc.
  88,537   1,087,677
#*
On Deck Capital, Inc.
  181,469   740,394
 
OneMain Holdings, Inc.
  256,535   10,869,388
 
Oppenheimer Holdings, Inc., Class A
  12,633   348,039
 
Opus Bank
  106,379   2,833,405
#
Origin Bancorp, Inc.
  576   20,298
 
Orrstown Financial Services, Inc.
  8,503   175,247
*
Pacific Mercantile Bancorp
  38,847   269,210
 
Pacific Premier Bancorp, Inc.
  168,865   5,032,177
 
PacWest Bancorp
  412,876   14,471,304
 
Park National Corp.
  2,936   278,832
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Parke Bancorp, Inc.
  5,307   $114,207
 
PCSB Financial Corp.
  12,075   240,051
 
Peapack Gladstone Financial Corp.
  63,009   1,841,753
 
Penns Woods Bancorp, Inc.
  6,916   218,200
 
Pennymac Financial Services, Inc.
  12,330   415,768
 
Peoples Bancorp of North Carolina, Inc.
  5,107   139,676
 
Peoples Bancorp, Inc.
  67,524   2,197,231
 
Peoples Financial Services Corp.
  1,644   76,199
 
People's United Financial, Inc.
  1,688,424   26,035,498
 
People's Utah Bancorp
  9,316   242,961
 
Pinnacle Financial Partners, Inc.
  226,945   13,403,372
 
Piper Sandler Cos.
  43,069   3,550,178
 
Plumas Bancorp
  600   15,240
 
Popular, Inc.
  353,844   19,801,110
#*
PRA Group, Inc.
  165,417   5,849,145
#
Preferred Bank
  22,919   1,377,661
 
Premier Financial Bancorp, Inc.
  40,901   695,317
 
ProAssurance Corp.
  117,853   3,579,196
 
Prosperity Bancshares, Inc.
  312,017   21,903,593
 
Protective Insurance Corp., Class A
  276   4,140
 
Protective Insurance Corp., Class B
  25,266   393,897
 
Provident Financial Holdings, Inc.
  26,149   575,539
 
Provident Financial Services, Inc.
  231,764   5,286,537
 
Prudential Bancorp, Inc.
  2,664   46,913
 
QCR Holdings, Inc.
  37,930   1,558,923
 
Radian Group, Inc.
  439,207   10,756,179
 
RBB Bancorp
  11,015   216,775
*
Regional Management Corp.
  23,874   657,729
 
Reinsurance Group of America, Inc.
  170,010   24,489,940
 
RenaissanceRe Holdings, Ltd.
  93,361   17,686,308
 
Renasant Corp.
  195,792   6,251,639
 
Republic Bancorp, Inc., Class A
  20,475   857,902
#*
Republic First Bancorp, Inc.
  42,994   137,151
 
Riverview Bancorp, Inc.
  47,214   347,495
 
S&T Bancorp, Inc.
  87,720   3,297,395
 
Safety Insurance Group, Inc.
  52,186   4,805,287
 
Salisbury Bancorp, Inc.
  490   21,781
 
Sandy Spring Bancorp, Inc.
  117,049   4,073,305
#
Santander Consumer USA Holdings, Inc.
  643,133   17,120,200
 
SB Financial Group, Inc.
  1,320   24,974
 
SB One Bancorp
  9,849   235,391
*
Seacoast Banking Corp. of Florida
  64,429   1,749,247
#*
Security National Financial Corp., Class A
  12,409   68,869
*
Select Bancorp, Inc.
  8,275   95,990
 
Selective Insurance Group, Inc.
  140,680   9,320,050
 
Shore Bancshares, Inc.
  14,010   227,663
 
Sierra Bancorp
  34,754   930,712
 
Signature Bank
  54,587   7,745,349
 
Simmons First National Corp., Class A
  362,067   8,682,367
 
SLM Corp.
  98,617   1,076,898
 
SmartFinancial, Inc.
  12,077   261,105
 
South State Corp.
  120,084   9,079,551
*
Southern First Bancshares, Inc.
  18,379   717,700
 
Southern Missouri Bancorp, Inc.
  11,911   424,270
 
Southern National Bancorp of Virginia, Inc.
  35,253   547,479
 
Southside Bancshares, Inc.
  61,787   2,167,488
 
Southwest Georgia Financial Corp.
  731   24,854
*
Spirit of Texas Bancshares, Inc.
  1,487   30,855
 
State Auto Financial Corp.
  141,448   4,258,999
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Sterling Bancorp
  728,325   $14,566,500
 
Sterling Bancorp, Inc.
  22,620   165,805
 
Stewart Information Services Corp.
  76,617   3,198,760
 
Stifel Financial Corp.
  183,296   11,857,418
 
Stock Yards Bancorp, Inc.
  2,249   87,126
 
Summit Financial Group, Inc.
  14,366   352,685
 
Synovus Financial Corp.
  338,146   11,841,873
 
TCF Financial Corp.
  449,286   18,995,812
 
Territorial Bancorp, Inc.
  22,403   650,359
*
Texas Capital Bancshares, Inc.
  169,400   9,310,224
*
Third Point Reinsurance, Ltd.
  294,515   3,207,268
 
Timberland Bancorp, Inc.
  49,488   1,393,582
 
Tiptree, Inc.
  139,954   958,685
 
Tompkins Financial Corp.
  14,598   1,256,742
 
Towne Bank
  169,530   4,501,021
 
TriCo Bancshares
  58,987   2,147,127
*
TriState Capital Holdings, Inc.
  81,212   1,867,064
*
Triumph Bancorp, Inc.
  54,132   2,110,065
 
TrustCo Bank Corp. NY
  258,072   2,046,511
 
Trustmark Corp.
  303,207   9,696,560
 
UMB Financial Corp.
  18,792   1,248,916
 
Umpqua Holdings Corp.
  788,799   13,330,703
#*
Unico American Corp.
  35,600   228,196
#
United Bancshares, Inc.
  590   14,013
 
United Bankshares, Inc.
  288,557   9,897,505
 
United Community Banks, Inc.
  201,739   5,632,553
 
United Community Financial Corp.
  171,309   1,872,407
 
United Fire Group, Inc.
  50,977   2,256,242
 
United Insurance Holdings Corp.
  82,494   836,489
 
United Security Bancshares
  1,687   16,431
 
Unity Bancorp, Inc.
  30,640   671,629
 
Universal Insurance Holdings, Inc.
  49,436   1,203,272
 
Univest Financial Corp.
  93,182   2,314,641
 
Unum Group
  656,140   17,512,377
 
Valley National Bancorp
  1,383,300   14,566,149
 
Veritex Holdings, Inc.
  78,554   2,224,649
#
Victory Capital Holdings, Inc., Class A
  9,243   192,809
 
Virtus Investment Partners, Inc.
  18,429   2,267,320
 
Voya Financial, Inc.
  376,240   22,472,815
#
Waddell & Reed Financial, Inc., Class A
  91,113   1,455,986
 
Walker & Dunlop, Inc.
  86,570   5,745,651
 
Washington Federal, Inc.
  320,090   10,883,060
 
Washington Trust Bancorp, Inc.
  17,053   807,118
 
Waterstone Financial, Inc.
  74,016   1,294,540
 
Webster Financial Corp.
  209,439   9,395,434
 
WesBanco, Inc.
  220,112   7,290,109
 
West Bancorporation, Inc.
  90,568   2,073,102
 
Western Alliance Bancorp
  48,874   2,699,311
 
Western New England Bancorp, Inc.
  105,704   949,222
 
Westwood Holdings Group, Inc.
  2,327   65,342
 
White Mountains Insurance Group, Ltd.
  8,590   9,596,920
 
Wintrust Financial Corp.
  182,739   11,563,724
#*
World Acceptance Corp.
  1,787   154,522
 
WR Berkley Corp.
  72,875   5,358,499
 
WSFS Financial Corp.
  166,658   6,647,988
#
WVS Financial Corp.
  1,304   21,842
#
Zions Bancorp NA
  374,079   17,016,854
TOTAL FINANCIALS
      1,403,319,968
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
HEALTH CARE — (4.4%)
#*
Abeona Therapeutics, Inc.
  6,000   $13,020
#*
Acadia Healthcare Co., Inc.
  318,901   10,246,289
#»
Achillion Pharmaceuticals, Inc.
  98,996   45,538
#*
Acorda Therapeutics, Inc.
  74,300   150,829
*
Addus HomeCare Corp.
  2,859   269,718
#*
Adverum Biotechnologies, Inc.
  86,143   850,231
*
Aeglea BioTherapeutics, Inc.
  3,852   27,966
#*
Akebia Therapeutics, Inc.
  30,255   218,441
#*
Allscripts Healthcare Solutions, Inc.
  584,191   5,012,359
#*
AMAG Pharmaceuticals, Inc.
  27,213   241,107
#*
American Shared Hospital Services
  8,624   21,514
*
AMN Healthcare Services, Inc.
  35,119   2,366,318
*
Amphastar Pharmaceuticals, Inc.
  59,325   1,121,836
*
AnaptysBio, Inc.
  13,381   194,292
#*
AngioDynamics, Inc.
  128,210   1,765,452
#*
Anika Therapeutics, Inc.
  53,584   2,202,838
*
Applied Genetic Technologies Corp.
  52,084   327,088
*
Aravive, Inc.
  2,023   20,230
*
Ardelyx, Inc.
  11,690   82,765
*
Assembly Biosciences, Inc.
  72   1,264
#*
Avanos Medical, Inc.
  149,660   4,121,636
*
Bio-Rad Laboratories, Inc., Class A
  3,997   1,442,597
*
BioTelemetry, Inc.
  9,585   468,898
*
Brookdale Senior Living, Inc.
  717,167   4,726,131
#
Cantel Medical Corp.
  3,078   200,255
#*
Capital Senior Living Corp.
  47,634   132,899
#*
Catalyst Biosciences, Inc.
  50,873   361,198
*
Centene Corp.
  30,389   1,908,733
*
Chimerix, Inc.
  31,157   51,409
#
Computer Programs & Systems, Inc.
  13,280   345,280
*
Concert Pharmaceuticals, Inc.
  3,300   35,244
 
CONMED Corp.
  92,863   9,442,310
#*
Corvus Pharmaceuticals, Inc.
  100   552
#*
Covetrus, Inc.
  158,370   1,947,951
#*
Cross Country Healthcare, Inc.
  28,266   279,833
*
CryoLife, Inc.
  11,043   328,419
#*
Cumberland Pharmaceuticals, Inc.
  73,176   355,635
*
Cutera, Inc.
  14,665   413,260
#*
Cyclerion Therapeutics, Inc.
  11,200   36,736
*
DaVita, Inc.
  156,415   12,492,866
#*
Digirad Corp.
  5,037   14,305
*
Diplomat Pharmacy, Inc.
  25,099   99,894
*
Electromed, Inc.
  22,812   222,189
*
Emergent BioSolutions, Inc.
  30,272   1,667,685
#*
Enanta Pharmaceuticals, Inc.
  16,058   827,629
 
Ensign Group, Inc. (The)
  13,508   610,562
#*
Enzo Biochem, Inc.
  237,277   595,565
#*
Evolent Health, Inc., Class A
  303,711   3,061,407
*
Five Prime Therapeutics, Inc.
  20,449   96,519
#*
Five Star Senior Living, Inc.
  17,200   77,916
#*
Fluidigm Corp.
  9,833   37,759
*
FONAR Corp.
  19,236   406,072
#*
G1 Therapeutics, Inc.
  2,719   52,640
#*
GlycoMimetics, Inc.
  29,085   124,484
#*
Harvard Bioscience, Inc.
  112,949   335,459
*
HealthStream, Inc.
  80,464   2,055,855
#
Hepion Pharmaceuticals, Inc.
  4,646   24,066
*
HMS Holdings Corp.
  53,878   1,471,947
*
Horizon Therapeutics P.L.C.
  114,209   3,939,068
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
HEALTH CARE — (Continued)
*
Inogen, Inc.
  1,709   $75,657
#*
Inovalon Holdings, Inc., Class A
  8,384   169,860
*
Integer Holdings Corp.
  126,414   10,795,756
#*
IntriCon Corp.
  12,445   211,938
 
Invacare Corp.
  130,892   1,006,560
*
IRIDEX Corp.
  37,673   99,457
*
Jazz Pharmaceuticals P.L.C.
  53,479   7,666,215
#*
Jounce Therapeutics, Inc.
  47,764   300,436
#
Kewaunee Scientific Corp.
  10,719   132,272
*
Kindred Biosciences, Inc.
  56,324   491,709
#*
Lannett Co., Inc.
  47,858   389,564
#
LeMaitre Vascular, Inc.
  36,090   1,298,699
#*
Lexicon Pharmaceuticals Inc.
  9,501   29,358
#*
LHC Group, Inc.
  72,851   10,618,033
#*
Ligand Pharmaceuticals, Inc.
  11,300   992,253
 
Luminex Corp.
  88,423   2,005,876
*
Magellan Health, Inc.
  88,061   6,446,946
#*
Mallinckrodt P.L.C.
  16,900   77,571
*
MEDNAX, Inc.
  231,596   5,342,920
*
Menlo Therapeutics, Inc.
  2,700   12,420
 
Meridian Bioscience, Inc.
  85,503   841,350
#*
Merit Medical Systems, Inc.
  74,917   2,728,477
#
Merrimack Pharmaceuticals, Inc.
  88,063   270,353
#*
Micron Solutions, Inc.
  1,132   2,955
#*
Misonix, Inc.
  20,233   337,689
*
Mylan NV
  72,104   1,544,468
#*
Myriad Genetics, Inc.
  168,284   4,653,053
 
National HealthCare Corp.
  29,307   2,459,443
*
Natus Medical, Inc.
  64,491   2,017,923
#
Neoleukin Therapeutics, Inc.
  33,079   408,856
*
Neuronetics, Inc.
  3,800   13,794
*
NextGen Healthcare, Inc.
  25,713   356,382
*
Omnicell, Inc.
  1,724   140,127
*
OraSure Technologies, Inc.
  144,345   1,017,632
*
Orthofix Medical, Inc.
  24,649   1,066,316
#*
Otonomy, Inc.
  90,334   289,069
 
Owens & Minor, Inc.
  297,422   1,861,862
#
Patterson Cos., Inc.
  262,980   5,788,190
*
PDL BioPharma, Inc.
  630,444   2,074,161
*
Pennant Group, Inc.
  6,754   178,306
 
Perrigo Co. P.L.C.
  444,809   25,371,905
#*
Pfenex, Inc.
  26,611   285,270
#*
Premier, Inc., Class A
  90,166   3,135,072
#*
Prestige Consumer Healthcare, Inc.
  180,765   7,331,828
#*
Protagonist Therapeutics, Inc.
  20,402   154,035
*
Prothena Corp. P.L.C.
  74,266   903,817
*
Providence Service Corp. (The)
  36,733   2,382,135
*
RTI Surgical Holdings, Inc.
  318,232   1,323,845
*
SeaSpine Holdings Corp.
  24,740   365,162
*
Select Medical Holdings Corp.
  369,611   8,441,915
*
Spectrum Pharmaceuticals, Inc.
  22,676   57,370
*
Supernus Pharmaceuticals, Inc.
  13,224   302,433
*
Surgery Partners, Inc.
  32,545   549,034
#*
Syneos Health, Inc.
  73,977   4,539,229
#*
Synlogic, Inc.
  22,430   60,112
#*
Tivity Health, Inc.
  55,373   1,198,549
#*
Triple-S Management Corp., Class B
  69,583   1,226,052
 
Utah Medical Products, Inc.
  1,047   96,397
*
Vanda Pharmaceuticals, Inc.
  39,882   508,496
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
HEALTH CARE — (Continued)
*
Varex Imaging Corp.
  72,183   $1,995,860
*
Wright Medical Group NV
  22,293   671,911
#*
Zynerba Pharmaceuticals, Inc.
  4,232   21,329
TOTAL HEALTH CARE
      217,127,620
INDUSTRIALS — (19.8%)
 
AAR Corp.
  153,489   6,535,562
#
ABM Industries, Inc.
  293,244   11,184,326
*
Acacia Research Corp.
  90,516   226,290
 
ACCO Brands Corp.
  258,640   2,234,650
 
Acme United Corp.
  5,282   126,293
 
Acuity Brands, Inc.
  370   43,612
#
ADT, Inc.
  159,408   988,330
*
Advanced Disposal Services, Inc.
  37,476   1,234,834
*
AECOM
  513,583   24,770,108
*
Aegion Corp.
  85,783   1,792,865
#*
AeroCentury Corp.
  6,545   28,929
#*
Aerovironment, Inc.
  67,646   4,505,900
 
AGCO Corp.
  273,209   19,162,879
 
Air Lease Corp.
  384,116   16,493,941
*
Air Transport Services Group, Inc.
  120,742   2,531,960
 
Alamo Group, Inc.
  62,459   7,779,893
 
Alaska Air Group, Inc.
  94,562   6,107,760
 
Albany International Corp., Class A
  72,670   5,070,186
 
Allied Motion Technologies, Inc.
  10,614   486,546
 
Altra Industrial Motion Corp.
  36,900   1,227,294
 
AMERCO
  43,390   16,109,405
#*
Ameresco, Inc., Class A
  57,237   1,098,378
#*
American Superconductor Corp.
  18,570   116,620
*
American Woodmark Corp.
  27,892   3,058,358
*
AMREP Corp.
  8,943   54,528
 
Apogee Enterprises, Inc.
  111,923   3,561,390
 
Applied Industrial Technologies, Inc.
  101,974   6,584,461
 
ARC Document Solutions, Inc.
  216,090   276,595
 
ArcBest Corp.
  84,767   1,891,152
 
Arconic, Inc.
  59,287   1,775,646
 
Arcosa, Inc.
  212,350   9,290,312
 
Argan, Inc.
  52,539   2,212,417
*
ASGN, Inc.
  152,272   10,307,292
 
Astec Industries, Inc.
  82,848   3,416,651
*
Astronics Corp.
  30,958   780,142
*
Atlas Air Worldwide Holdings, Inc.
  92,881   2,075,890
*
Avalon Holdings Corp., Class A
  3,700   6,845
 
AZZ, Inc.
  17,476   721,060
 
Barnes Group, Inc.
  135,925   8,586,382
 
Barrett Business Services, Inc.
  9,363   775,537
*
Beacon Roofing Supply, Inc.
  246,518   8,162,211
 
BG Staffing, Inc.
  4,163   83,760
*
BMC Stock Holdings, Inc.
  141,915   4,141,789
 
Brady Corp., Class A
  78,318   4,336,468
#
Briggs & Stratton Corp.
  37,612   138,036
#*
BrightView Holdings, Inc.
  2,811   44,414
*
Broadwind Energy, Inc.
  16,100   24,794
*
Builders FirstSource, Inc.
  46,491   1,152,744
#*
CAI International, Inc.
  77,631   2,111,563
*
CBIZ, Inc.
  181,069   4,888,863
*
CECO Environmental Corp.
  97,856   743,706
*
Chart Industries, Inc.
  144,806   9,264,688
 
Chicago Rivet & Machine Co.
  1,983   52,450
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
*
CIRCOR International, Inc.
  56,576   $2,349,601
*
Clean Harbors, Inc.
  118,511   9,743,974
#*
Colfax Corp.
  404,247   14,213,324
 
Columbus McKinnon Corp.
  75,237   2,632,543
 
Comfort Systems USA, Inc.
  47,713   2,213,883
*
Commercial Vehicle Group, Inc.
  80,072   399,559
 
CompX International, Inc.
  5,744   92,766
*
Construction Partners, Inc., Class A
  9,337   156,675
*
Continental Building Products, Inc.
  23,490   868,895
#*
Continental Materials Corp.
  1,419   9,998
 
Copa Holdings SA, Class A
  6,502   636,936
#*
Cornerstone Building Brands, Inc.
  41,055   352,252
 
Costamare, Inc.
  228,623   1,812,980
 
Covanta Holding Corp.
  4,855   72,728
*
Covenant Transportation Group, Inc., Class A
  58,293   739,447
*
CPI Aerostructures, Inc.
  71,906   474,580
 
CRA International, Inc.
  29,637   1,579,059
 
Crane Co.
  10,478   895,450
 
CSW Industrials, Inc.
  30,288   2,298,253
#
Cubic Corp.
  82,216   5,367,883
 
Curtiss-Wright Corp.
  97,769   14,218,546
#*
Daseke, Inc.
  12,220   37,088
 
Deluxe Corp.
  59,294   2,857,971
 
Douglas Dynamics, Inc.
  70,291   3,685,357
*
Ducommun, Inc.
  41,557   1,700,928
*
DXP Enterprises, Inc.
  62,522   2,167,638
#*
Dycom Industries, Inc.
  54,145   2,188,541
#*
Eagle Bulk Shipping, Inc.
  109,454   355,725
 
Eastern Co. (The)
  32,147   890,472
*
Echo Global Logistics, Inc.
  104,855   2,032,090
 
EMCOR Group, Inc.
  20,058   1,648,166
 
Encore Wire Corp.
  106,136   5,764,246
 
Enerpac Tool Group Corp.
  78,310   1,809,744
 
EnerSys
  85,269   6,135,957
 
Ennis, Inc.
  94,663   1,974,670
 
EnPro Industries, Inc.
  57,985   3,388,643
 
ESCO Technologies, Inc.
  81,824   7,851,831
 
Espey Manufacturing & Electronics Corp.
  13,355   273,777
 
Federal Signal Corp.
  261,212   8,400,578
 
Fluor Corp.
  192,402   3,442,072
 
Forward Air Corp.
  16,501   1,079,990
*
Franklin Covey Co.
  71,954   2,288,137
 
Franklin Electric Co., Inc.
  33,384   1,925,923
*
FTI Consulting, Inc.
  118,647   14,244,759
#*
Gates Industrial Corp. P.L.C.
  30,810   384,201
#
GATX Corp.
  197,842   15,061,711
#
Genco Shipping & Trading, Ltd.
  72,631   571,606
*
Gencor Industries, Inc.
  51,296   575,028
*
Gibraltar Industries, Inc.
  148,815   8,113,394
*
GMS, Inc.
  112,805   3,014,150
*
Goldfield Corp. (The)
  14,156   48,130
 
Gorman-Rupp Co. (The)
  131,920   4,869,167
*
GP Strategies Corp.
  93,790   1,248,345
 
Graham Corp.
  12,770   233,436
 
Granite Construction, Inc.
  169,118   4,588,171
*
Great Lakes Dredge & Dock Corp.
  197,942   2,072,453
 
Greenbrier Cos., Inc. (The)
  119,487   2,878,442
#
Griffon Corp.
  250,012   5,197,749
 
H&E Equipment Services, Inc.
  65,215   1,767,979
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
*
Harsco Corp.
  2,148   $32,005
#
Hawaiian Holdings, Inc.
  196,281   5,472,314
 
Heartland Express, Inc.
  56,453   1,055,107
 
Heidrick & Struggles International, Inc.
  74,957   2,130,278
 
Helios Technologies, Inc.
  22,457   954,872
*
Herc Holdings, Inc.
  45,532   1,826,744
*
Heritage-Crystal Clean, Inc.
  41,140   1,166,319
*
Hertz Global Holdings, Inc.
  346,638   5,463,015
 
Hillenbrand, Inc.
  29,536   857,430
*
Houston Wire & Cable Co.
  16,754   66,681
*
Hub Group, Inc., Class A
  110,401   5,836,901
#*
Hudson Global, Inc.
  594   7,134
 
Hurco Cos., Inc.
  32,038   1,002,789
*
Huron Consulting Group, Inc.
  78,127   5,063,411
 
Hyster-Yale Materials Handling, Inc.
  47,573   2,568,466
*
IAA Inc.
  466   22,023
 
ICF International, Inc.
  61,609   5,396,332
*
IES Holdings, Inc.
  2,029   50,745
*
InnerWorkings, Inc.
  179,958   746,826
*
Innovative Solutions & Support, Inc.
  5,621   32,040
 
Insteel Industries, Inc.
  73,215   1,637,820
 
Interface, Inc.
  52,575   845,406
 
ITT, Inc.
  86,313   5,789,876
 
Jacobs Engineering Group, Inc.
  16,016   1,481,960
*
JELD-WEN Holding, Inc.
  113,516   2,710,762
*
JetBlue Airways Corp.
  1,038,540   20,594,248
 
Kadant, Inc.
  57,227   6,100,398
 
Kaman Corp.
  77,139   4,761,019
#
KAR Auction Services, Inc.
  3,086   64,868
 
Kelly Services, Inc., Class A
  111,685   1,983,526
 
Kennametal, Inc.
  146,684   4,589,742
 
Kforce, Inc.
  1,297   48,054
 
Kimball International, Inc., Class B
  137,692   2,585,856
*
Kirby Corp.
  150,015   10,994,599
#
Knight-Swift Transportation Holdings, Inc.
  477,762   17,715,415
 
Knoll, Inc.
  16,846   417,107
 
Korn Ferry
  202,269   8,288,984
*
Kratos Defense & Security Solutions, Inc.
  25,681   470,990
*
Lawson Products, Inc.
  26,425   1,247,788
*
LB Foster Co., Class A
  37,590   637,526
 
LSI Industries, Inc.
  19,174   127,507
*
Lydall, Inc.
  102,737   2,099,944
 
Macquarie Infrastructure Corp.
  214,027   9,440,731
*
Manitex International, Inc.
  5,026   28,849
*
Manitowoc Co., Inc. (The)
  165,507   2,391,576
 
ManpowerGroup, Inc.
  105,156   9,620,722
 
Marten Transport, Ltd.
  324,263   6,731,700
*
Masonite International Corp.
  42,675   3,205,319
#*
MasTec, Inc.
  222,715   12,861,791
*
Mastech Digital, Inc.
  2,816   29,202
 
Matson, Inc.
  178,811   6,438,984
 
Matthews International Corp., Class A
  74,818   2,792,208
#*
Maxar Technologies, Inc.
  10,362   165,378
 
McGrath RentCorp
  73,078   5,650,391
*
Mercury Systems, Inc.
  16,012   1,228,921
*
Mesa Air Group, Inc.
  26,533   226,592
 
Miller Industries, Inc.
  59,589   2,050,457
*
Mistras Group, Inc.
  30,646   339,251
 
Mobile Mini, Inc.
  198,332   8,278,378
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
 
Moog, Inc., Class A
  64,931   $5,818,467
*
MRC Global, Inc.
  186,427   2,099,168
 
MSC Industrial Direct Co., Inc., Class A
  52,014   3,540,593
 
Mueller Industries, Inc.
  133,910   3,906,155
 
Mueller Water Products, Inc., Class A
  285,621   3,327,485
*
MYR Group, Inc.
  70,755   2,032,084
#
National Presto Industries, Inc.
  18,332   1,580,035
 
Nielsen Holdings P.L.C.
  40,450   825,180
*
NL Industries, Inc.
  14,037   47,164
#
NN, Inc.
  83,110   717,239
*
Northwest Pipe Co.
  51,276   1,678,263
*
NOW, Inc.
  396,849   3,972,458
#*
NV5 Global, Inc.
  32,961   2,047,208
 
nVent Electric P.L.C.
  165,310   4,116,219
*
Orion Group Holdings, Inc.
  61,237   264,544
 
Oshkosh Corp.
  168,190   14,471,068
 
Owens Corning
  335,482   20,293,306
*
PAM Transportation Services, Inc.
  25,480   1,360,887
 
Park Aerospace Corp.
  90,960   1,407,151
 
Park-Ohio Holdings Corp.
  33,117   973,640
#
Patrick Industries, Inc.
  45,534   2,362,304
 
Patriot Transportation Holding, Inc.
  9,898   118,776
*
Perma-Pipe International Holdings, Inc.
  44,798   404,526
*
PGT Innovations, Inc.
  80,772   1,251,966
*
PICO Holdings, Inc.
  50,122   498,714
 
Powell Industries, Inc.
  48,374   1,996,395
 
Preformed Line Products Co.
  17,862   975,622
 
Primoris Services Corp.
  89,403   1,906,966
 
Quanex Building Products Corp.
  79,928   1,416,324
 
Quanta Services, Inc.
  632,156   24,748,907
*
Radiant Logistics, Inc.
  163,866   791,473
 
Raven Industries, Inc.
  40,179   1,260,013
*
RBC Bearings, Inc.
  1,128   175,415
*
RCM Technologies, Inc.
  78,752   214,993
 
Regal Beloit Corp.
  146,077   11,461,201
*
Resideo Technologies, Inc.
  97,392   991,451
 
Resources Connection, Inc.
  115,252   1,754,712
 
REV Group, Inc.
  28,565   285,650
*
Rexnord Corp.
  104,382   3,408,072
 
Rush Enterprises, Inc., Class A
  197,465   8,490,995
 
Rush Enterprises, Inc., Class B
  51,902   2,302,373
 
Ryder System, Inc.
  233,530   11,144,052
*
Saia, Inc.
  125,236   10,908,056
 
Schneider National, Inc., Class B
  97,264   2,166,069
 
Scorpio Bulkers, Inc.
  68,176   250,206
#
Servotronics, Inc.
  7,061   75,023
#*
SIFCO Industries, Inc.
  12,483   56,049
 
Simpson Manufacturing Co., Inc.
  105,072   8,686,302
 
SkyWest, Inc.
  240,109   13,246,814
#
Snap-on, Inc.
  21,846   3,487,277
*
SP Plus Corp.
  75,311   3,148,753
 
Spartan Motors, Inc.
  153,129   2,603,193
#*
Spirit Airlines, Inc.
  240,280   9,868,300
*
SPX Corp.
  66,528   3,264,529
*
SPX FLOW, Inc.
  73,038   3,194,682
 
Standex International Corp.
  54,396   3,975,804
 
Steelcase, Inc., Class A
  280,648   5,222,859
#*
Stericycle, Inc.
  91,777   5,752,582
*
Sterling Construction Co., Inc.
  94,214   1,241,269
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
#*
Sunrun, Inc.
  80,756   $1,375,275
 
Systemax, Inc.
  121,936   2,883,786
*
Taylor Devices, Inc.
  706   8,444
#*
Team, Inc.
  122,348   1,663,933
 
Terex Corp.
  255,808   6,484,733
 
Tetra Tech, Inc.
  41,404   3,544,182
*
Textainer Group Holdings, Ltd.
  70,943   671,830
*
Thermon Group Holdings, Inc.
  111,311   2,638,071
 
Timken Co. (The)
  93,608   4,917,228
 
Titan International, Inc.
  69,457   198,647
*
Titan Machinery, Inc.
  66,278   809,254
*
Transcat, Inc.
  8,060   246,636
*
TriMas Corp.
  139,851   4,017,919
 
Trinity Industries, Inc.
  621,127   12,627,512
 
Triton International, Ltd.
  304,240   11,424,212
 
Triumph Group, Inc.
  20,391   416,588
*
TrueBlue, Inc.
  124,305   2,723,523
#*
Tutor Perini Corp.
  162,532   1,830,110
*
Twin Disc, Inc.
  43,433   423,472
#*
U.S. Xpress Enterprises, Inc., Class A
  4,520   24,679
#*
Ultralife Corp.
  50,697   352,344
 
UniFirst Corp.
  54,144   11,041,586
*
United Rentals, Inc.
  1,760   238,814
 
Universal Forest Products, Inc.
  262,158   12,557,368
 
Universal Logistics Holdings, Inc.
  11,902   201,144
 
US Ecology, Inc.
  2,197   118,660
#*
USA Truck, Inc.
  28,003   159,337
 
Valmont Industries, Inc.
  10,279   1,460,235
*
Vectrus, Inc.
  35,049   1,953,982
#*
Veritiv Corp.
  33,646   473,736
 
Viad Corp.
  90,779   5,900,635
 
Virco Manufacturing Corp.
  23,168   93,367
 
VSE Corp.
  19,023   591,806
 
Wabash National Corp.
  188,853   2,190,695
 
Watts Water Technologies, Inc., Class A
  83,941   8,369,757
 
Werner Enterprises, Inc.
  225,731   8,320,445
*
WESCO International, Inc.
  152,556   7,385,236
#*
Willdan Group, Inc.
  16,551   548,335
*
Willis Lease Finance Corp.
  36,581   2,169,253
*
WillScot Corp.
  23,917   450,835
#*
XPO Logistics, Inc.
  135,211   12,022,962
TOTAL INDUSTRIALS
      979,817,126
INFORMATION TECHNOLOGY — (11.1%)
#*
2U, Inc.
  18,746   371,358
*»
Actua Corp.
  11,098   4,939
 
ADTRAN, Inc.
  107,273   970,821
*
Advanced Energy Industries, Inc.
  2,785   194,783
*
Agilysys, Inc.
  9,963   323,797
*
Airgain, Inc.
  2,700   25,515
*
Alithya Group, Inc., Class A
  87,929   254,115
*
Alpha & Omega Semiconductor, Ltd.
  73,676   898,110
 
American Software, Inc., Class A
  20,941   312,649
*
Amkor Technology, Inc.
  595,912   6,704,010
*
Amtech Systems, Inc.
  16,144   82,819
*
Anixter International, Inc.
  104,070   10,157,232
*
Arlo Technologies, Inc.
  61,047   260,671
*
Arrow Electronics, Inc.
  378,565   28,748,226
 
AstroNova, Inc.
  26,277   326,886
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (Continued)
#*
Avaya Holdings Corp.
  28,002   $357,586
*
Aviat Networks, Inc.
  7,802   105,639
 
Avnet, Inc.
  398,050   14,524,844
 
AVX Corp.
  337,290   6,836,868
*
Aware, Inc.
  66,795   240,462
#*
Axcelis Technologies, Inc.
  116,642   2,816,904
*
AXT, Inc.
  148,738   580,078
 
Bel Fuse, Inc., Class A
  9,916   140,807
 
Bel Fuse, Inc., Class B
  20,109   348,288
 
Belden, Inc.
  88,317   4,351,379
 
Benchmark Electronics, Inc.
  204,163   6,284,137
#*
BroadVision, Inc.
  13,792   40,548
 
Brooks Automation, Inc.
  176,037   6,703,489
#*
BSQUARE Corp.
  33,602   49,059
 
Cabot Microelectronics Corp.
  6,417   933,738
*
CACI International, Inc., Class A
  113,624   30,387,603
*
CalAmp Corp.
  56,082   539,509
*
Calix, Inc.
  7,278   66,666
 
Cass Information Systems, Inc.
  1,372   74,115
*
CCUR Holdings, Inc.
  33,012   145,253
*
CEVA, Inc.
  810   22,154
*
Cirrus Logic, Inc.
  123,937   9,519,601
*
Clearfield, Inc.
  15,468   196,753
#*
Coherent, Inc.
  25,555   3,614,244
 
Cohu, Inc.
  63,017   1,409,690
 
Communications Systems, Inc.
  16,885   103,843
*
Computer Task Group, Inc.
  47,384   282,409
 
Comtech Telecommunications Corp.
  96,959   2,803,085
 
CoreLogic, Inc.
  108,539   5,047,063
#*
Cree, Inc.
  49,019   2,278,893
 
CSG Systems International, Inc.
  18,064   899,948
 
CSP, Inc.
  5,466   76,797
 
CTS Corp.
  91,183   2,672,574
*
CyberOptics Corp.
  39,249   881,925
 
Cypress Semiconductor Corp.
  181,517   4,234,792
 
Daktronics, Inc.
  120,547   711,227
#*
DASAN Zhone Solutions, Inc.
  2,100   18,606
*
Data I/O Corp.
  18,111   73,531
*
Digi International, Inc.
  84,178   1,329,592
*
Diodes, Inc.
  224,637   11,600,255
#*
DSP Group, Inc.
  70,659   1,021,729
 
DXC Technology Co.
  45,269   1,443,176
#
Ebix, Inc.
  1,200   41,316
*
EchoStar Corp., Class A
  164,257   6,554,676
*
EMCORE Corp.
  32,405   109,205
 
Entegris, Inc.
  64,669   3,347,267
*
ePlus, Inc.
  62,471   4,980,188
*
ExlService Holdings, Inc.
  4,788   350,051
*
Fabrinet
  126,948   8,002,802
*
FARO Technologies, Inc.
  51,763   2,674,077
#*
First Solar, Inc.
  73,494   3,643,833
#*
Fitbit, Inc., Class A
  89,900   586,148
*
Flex, Ltd.
  769,480   10,118,662
*
FormFactor, Inc.
  248,327   6,285,156
*
Frequency Electronics, Inc.
  39,092   361,601
*
Genasys, Inc.
  7,568   28,910
 
GlobalSCAPE, Inc.
  12,048   139,034
*
GSE Systems, Inc.
  23,168   33,594
*
GSI Technology, Inc.
  70,449   571,341
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (Continued)
 
Hackett Group, Inc. (The)
  87,795   $1,356,872
*
Harmonic, Inc.
  241,571   1,699,452
*
Ichor Holdings, Ltd.
  68,339   2,281,839
#*
II-VI, Inc.
  205,011   6,898,620
#*
Infinera Corp.
  159,869   1,178,235
*
Information Services Group, Inc.
  13,681   36,939
*
Insight Enterprises, Inc.
  137,520   9,058,442
 
InterDigital, Inc.
  44,066   2,434,646
*
inTEST Corp.
  48,779   263,894
*
Intevac, Inc.
  55,464   332,784
 
Jabil, Inc.
  540,808   21,032,023
 
KBR, Inc.
  399,723   10,872,466
#
KEMET Corp.
  97,770   2,545,931
#*
Key Tronic Corp.
  54,827   317,997
*
Kimball Electronics, Inc.
  104,283   1,687,299
*
Knowles Corp.
  356,394   7,031,654
 
Kulicke & Soffa Industries, Inc.
  168,941   4,373,882
*
KVH Industries, Inc.
  50,891   523,668
*
Lattice Semiconductor Corp.
  58,092   1,080,511
 
Leidos Holdings, Inc.
  3,188   320,298
*
LGL Group, Inc. (The)
  9,599   133,426
*
Limelight Networks, Inc.
  43,558   217,354
 
Littelfuse, Inc.
  6,792   1,201,573
*
LiveRamp Holdings, Inc.
  43,039   1,731,889
 
LogMeIn, Inc.
  77,885   6,695,773
#*
Lumentum Holdings, Inc.
  2,729   206,776
*
Luna Innovations, Inc.
  50,723   415,421
#*
MACOM Technology Solutions Holdings, Inc.
  39,484   1,122,135
 
ManTech International Corp., Class A
  84,966   6,821,070
 
Methode Electronics, Inc.
  159,696   5,230,044
 
MKS Instruments, Inc.
  172,747   18,107,341
 
MTS Systems Corp.
  16,183   820,316
#*
Napco Security Technologies, Inc.
  22,292   655,385
*
NeoPhotonics Corp.
  11,694   89,225
*
NETGEAR, Inc.
  112,964   2,905,434
*
Netscout Systems, Inc.
  264,974   6,812,482
#*
NetSol Technologies, Inc.
  5,758   23,896
 
Network-1 Technologies, Inc.
  4,934   12,286
 
NVE Corp.
  502   36,827
*
ON Semiconductor Corp.
  583,143   13,499,760
*
OneSpan, Inc.
  84,179   1,399,055
*
Onto Innovation Inc.
  217,623   8,256,617
#*
Optical Cable Corp.
  27,633   93,952
#*
OSI Systems, Inc.
  46,194   3,997,629
#*
PAR Technology Corp.
  21,452   730,012
 
PC Connection, Inc.
  162,970   8,122,425
 
PC-Tel, Inc.
  46,981   378,197
#*
PDF Solutions, Inc.
  1,899   29,928
*
Perceptron, Inc.
  42,485   259,583
#*
Perficient, Inc.
  116,680   5,798,996
 
Perspecta, Inc.
  27,228   764,290
*
Photronics, Inc.
  209,678   2,679,685
#
Plantronics, Inc.
  9,456   271,576
*
Plexus Corp.
  96,047   6,830,863
#*
Powerfleet, Inc.
  7,485   56,437
*
PRGX Global, Inc.
  27,766   109,953
 
Progress Software Corp.
  21,017   948,497
 
QAD, Inc., Class B
  465   17,440
*
Qumu Corp.
  8,056   19,415
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (Continued)
*
Rambus, Inc.
  230,076   $3,651,306
#*
RealNetworks, Inc.
  101,049   133,385
 
RF Industries, Ltd.
  15,951   95,546
*
Ribbon Communications, Inc.
  9,355   26,381
 
Richardson Electronics, Ltd.
  36,622   192,998
*
Rogers Corp.
  37,796   4,450,479
*
Sanmina Corp.
  275,108   8,759,439
*
ScanSource, Inc.
  86,171   3,006,506
 
Science Applications International Corp.
  19,508   1,712,217
#*
SMART Global Holdings, Inc.
  14,238   429,418
#*
SolarEdge Technologies, Inc.
  20,875   2,042,827
*
StarTek, Inc.
  2,241   17,099
*
Steel Connect, Inc.
  106,769   149,477
#*
Stratasys, Ltd.
  89,218   1,604,140
#*
Super Micro Computer, Inc.
  3,182   88,969
*
Sykes Enterprises, Inc.
  144,986   4,870,080
#*
Synaptics, Inc.
  78,256   5,218,893
 
SYNNEX Corp.
  210,135   28,948,198
*
Tech Data Corp.
  202,316   29,121,365
#*
Telaria, Inc.
  56,442   572,886
*
Telenav, Inc.
  228,007   1,023,751
 
TESSCO Technologies, Inc.
  38,446   238,365
 
TiVo Corp.
  146,767   1,068,464
 
TransAct Technologies, Inc.
  1,679   17,663
#*
Trio-Tech International
  5,279   24,178
#*
TTM Technologies, Inc.
  377,229   5,428,325
#*
Ultra Clean Holdings, Inc.
  132,384   3,046,156
*
Veeco Instruments, Inc.
  43,126   549,856
*
Verint Systems, Inc.
  12,134   703,772
*
Viavi Solutions, Inc.
  10,233   144,285
*
Virtusa Corp.
  118,156   4,920,016
 
Vishay Intertechnology, Inc.
  434,647   8,818,988
*
Vishay Precision Group, Inc.
  46,599   1,609,529
 
Wayside Technology Group, Inc.
  3,889   62,418
*
Xerox Holdings Corp.
  475,398   16,909,907
 
Xperi Corp.
  127,268   2,047,742
TOTAL INFORMATION TECHNOLOGY
      547,768,090
MATERIALS — (6.0%)
*
AdvanSix, Inc.
  58,498   1,095,083
#
Albemarle Corp.
  31,915   2,562,136
*
Alcoa Corp.
  497,543   6,940,725
#*
Allegheny Technologies, Inc.
  296,651   5,117,230
 
American Vanguard Corp.
  95,076   1,776,020
 
Ashland Global Holdings, Inc.
  89,531   6,623,503
 
Boise Cascade Co.
  113,403   4,105,189
 
Cabot Corp.
  75,897   3,024,495
 
Carpenter Technology Corp.
  178,727   7,102,611
#*
Century Aluminum Co.
  320,671   1,696,350
 
Chase Corp.
  15,612   1,435,836
#
Chemours Co. (The)
  16,823   233,335
#*
Clearwater Paper Corp.
  30,222   852,260
*
Coeur Mining, Inc.
  665,749   4,014,466
 
Commercial Metals Co.
  399,069   8,200,868
#*
Core Molding Technologies, Inc.
  23,022   72,749
 
Domtar Corp.
  207,803   7,235,700
*
Element Solutions, Inc.
  793,347   9,282,160
*
Ferro Corp.
  83,666   1,144,551
#*
Flotek Industries, Inc.
  14,960   25,432
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
MATERIALS — (Continued)
 
Friedman Industries, Inc.
  14,662   $86,060
 
FutureFuel Corp.
  127,237   1,394,517
#*
GCP Applied Technologies, Inc.
  6,099   135,520
 
Gold Resource Corp.
  103,656   570,108
 
Graphic Packaging Holding Co.
  480,349   7,507,855
 
Greif, Inc., Class A
  72,743   2,940,272
 
Greif, Inc., Class B
  12,381   586,859
 
Hawkins, Inc.
  32,065   1,339,676
 
Haynes International, Inc.
  58,093   1,557,473
 
HB Fuller Co.
  203,230   9,391,258
 
Hecla Mining Co.
  784,831   2,378,038
 
Huntsman Corp.
  533,119   10,960,927
 
Innophos Holdings, Inc.
  43,174   1,379,841
 
Innospec, Inc.
  82,081   8,268,019
*
Intrepid Potash, Inc.
  329,411   783,998
 
Kaiser Aluminum Corp.
  70,836   7,094,225
*
Kraton Corp.
  87,345   1,436,825
#
Kronos Worldwide, Inc.
  64,526   699,462
#*
Livent Corp.
  124,718   1,173,596
 
Louisiana-Pacific Corp.
  494,771   15,179,574
*
LSB Industries, Inc.
  29,735   89,800
 
Materion Corp.
  86,073   4,673,764
 
Mercer International, Inc.
  227,318   2,502,771
 
Minerals Technologies, Inc.
  119,829   6,486,344
 
Mosaic Co. (The)
  640,810   12,713,670
 
Myers Industries, Inc.
  86,603   1,401,237
 
Neenah, Inc.
  46,921   3,126,815
#
Nexa Resources SA
  24,588   194,983
 
Northern Technologies International Corp.
  42,028   596,798
 
O-I Glass, Inc.
  133,672   1,686,941
 
Olin Corp.
  536,500   7,977,755
 
Olympic Steel, Inc.
  42,600   626,220
*
OMNOVA Solutions, Inc.
  67,379   681,202
 
PH Glatfelter Co.
  220,312   3,679,210
 
PolyOne Corp.
  46,159   1,531,556
*
PQ Group Holdings, Inc.
  44,609   682,964
#
Quaker Chemical Corp.
  5,141   853,509
 
Rayonier Advanced Materials, Inc.
  72,774   224,144
 
Reliance Steel & Aluminum Co.
  288,850   33,159,980
*
Resolute Forest Products, Inc.
  50,300   175,547
*
Ryerson Holding Corp.
  7,903   81,006
 
Schnitzer Steel Industries, Inc., Class A
  136,419   2,193,617
 
Schweitzer-Mauduit International, Inc.
  89,453   3,133,539
 
Sensient Technologies Corp.
  16,762   1,001,529
 
Sonoco Products Co.
  79,105   4,520,060
 
Steel Dynamics, Inc.
  342,958   10,247,585
 
Stepan Co.
  59,628   5,882,302
*
Summit Materials, Inc., Class A
  351,507   7,722,609
 
SunCoke Energy, Inc.
  101,653   597,720
*
Synalloy Corp.
  29,583   379,550
#*
TimkenSteel Corp.
  111,260   709,839
#*
Trecora Resources
  48,912   331,134
 
Tredegar Corp.
  115,762   2,355,757
 
Trinseo SA
  36,389   1,045,092
*
Tronox Holdings P.L.C., Class A
  160,342   1,356,493
#*
UFP Technologies, Inc.
  12,347   575,741
 
United States Lime & Minerals, Inc.
  11,617   1,042,626
#
United States Steel Corp.
  414,142   3,756,268
*
Universal Stainless & Alloy Products, Inc.
  20,469   271,214
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
      Shares   Value†
MATERIALS — (Continued)
#*
US Concrete, Inc.
  60,352   $2,147,928
 
Valvoline, Inc.
  107,752   2,271,412
*
Venator Materials P.L.C
  28,559   78,252
*
Verso Corp., Class A
  141,730   2,388,150
#
Warrior Met Coal, Inc.
  29,112   549,052
 
Westlake Chemical Corp.
  90,838   5,559,286
 
WestRock Co.
  13,086   510,354
 
Worthington Industries, Inc.
  110,280   4,056,098
TOTAL MATERIALS
      295,234,225
REAL ESTATE — (0.2%)
 
Consolidated-Tomoka Land Co.
  13,014   825,868
*
Forestar Group, Inc.
  21,304   431,832
*
FRP Holdings, Inc.
  26,146   1,237,752
 
Griffin Industrial Realty, Inc.
  10,709   433,715
*
Howard Hughes Corp. (The)
  10,542   1,282,751
#*
Marcus & Millichap, Inc.
  8,968   317,467
*
Rafael Holdings, Inc., Class B
  52,808   1,068,834
 
RE/MAX Holdings, Inc., Class A
  47,668   1,824,731
 
Realogy Holdings Corp.
  5,571   58,997
#*
St Joe Co. (The)
  11,845   248,863
*
Stratus Properties, Inc.
  25,957   772,221
*
Tejon Ranch Co.
  85,632   1,378,675
TOTAL REAL ESTATE
      9,881,706
UTILITIES — (0.3%)
*
AquaVenture Holdings, Ltd.
  28,604   772,308
#
Genie Energy, Ltd., Class B
  78,472   567,352
#
Ormat Technologies, Inc.
  83,280   6,600,773
 
TerraForm Power, Inc., Class A
  64,590   1,168,433
 
Vistra Energy Corp.
  142,213   3,202,637
TOTAL UTILITIES
      12,311,503
TOTAL COMMON STOCKS
      4,711,880,752
PREFERRED STOCKS — (0.0%)
COMMUNICATION SERVICES — (0.0%)
 
GCI Liberty, Inc.
  16,916   460,961
TOTAL INVESTMENT SECURITIES

(Cost $3,073,873,458)
      4,712,341,713
    
         
TEMPORARY CASH INVESTMENTS — (0.2%)
 
State Street Institutional U.S. Government Money Market Fund 1.518%
  11,276,658 11,276,658
SECURITIES LENDING COLLATERAL — (4.4%)
@§
The DFA Short Term Investment Fund
  18,745,999 216,928,699
TOTAL INVESTMENTS — (100.0%)  
(Cost $3,302,032,470)^^
    $4,940,547,070
Tax-Managed U.S. Targeted Value Portfolio
CONTINUED
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Common Stocks              
Communication Services
$133,546,485   —   —   $133,546,485
Consumer Discretionary
644,711,947   $10,334   —   644,722,281
Consumer Staples
194,244,775   —   —   194,244,775
Energy
273,906,973   —   —   273,906,973
Financials
1,403,207,809   112,159   —   1,403,319,968
Health Care
217,082,082   45,538   —   217,127,620
Industrials
979,817,126   —   —   979,817,126
Information Technology
547,763,151   4,939   —   547,768,090
Materials
295,234,225   —   —   295,234,225
Real Estate
9,881,706   —   —   9,881,706
Utilities
12,311,503   —   —   12,311,503
Preferred Stocks              
Communication Services
460,961   —   —   460,961
Temporary Cash Investments
11,276,658   —   —   11,276,658
Securities Lending Collateral
—   216,928,699   —   216,928,699
TOTAL
$4,723,445,401   $217,101,669   —   $4,940,547,070
Tax-Managed U.S. Small Cap Portfolio
SCHEDULE OF INVESTMENTS
January 31, 2020
(Unaudited)
    
      Shares   Value†
COMMON STOCKS — (94.3%)
COMMUNICATION SERVICES — (3.1%)
 
A.H. Belo Corp., Class A
  31,619   $92,327
#
AMC Entertainment Holdings, Inc., Class A
  39,531   257,742
#*
AMC Networks, Inc., Class A
  34,348   1,256,793
#*
ANGI Homeservices, Inc., Class A
  2,400   19,272
#
Anterix, Inc.
  15,408   715,856
 
ATN International, Inc.
  28,186   1,631,124
#*
Bandwidth, Inc., Class A
  9,811   696,189
 
Beasley Broadcast Group, Inc., Class A
  5,471   20,653
#*
Boingo Wireless, Inc.
  139,117   1,563,675
#*
Boston Omaha Corp., Class A
  991   19,998
 
Cable One, Inc.
  422   719,101
#*
Care.com, Inc.
  74,537   1,115,819
#*
Cars.com, Inc.
  59,698   696,676
*
Central European Media Enterprises, Ltd., Class A
  23,816   106,458
#*
Cincinnati Bell, Inc.
  104,233   1,429,034
#*
Clear Channel Outdoor Holdings, Inc.
  30,712   83,844
 
Cogent Communications Holdings, Inc.
  88,424   6,271,914
*
comScore, Inc.
  4,495   17,755
#
Consolidated Communications Holdings, Inc.
  62,250   300,668
*
Cumulus Media, Inc., Class A
  4,437   62,118
#*
Daily Journal Corp.
  249   68,475
*
DHI Group, Inc.
  38,673   108,284
 
Emerald Expositions Events, Inc.
  20,561   214,451
#
Entercom Communications Corp., Class A
  105,339   418,196
 
Entravision Communications Corp., Class A
  90,237   200,326
 
EW Scripps Co. (The), Class A
  152,076   1,846,203
#*
Fluent, Inc.
  20,882   56,590
#*
Gaia, Inc.
  9,771   82,663
#
Gannett Co., Inc.
  63,365   387,160
*
GCI Liberty, Inc., Class A
  61,671   4,513,084
*
Glu Mobile, Inc.
  110,824   653,862
*
Gray Television, Inc.
  138,234   2,803,386
#*
Gray Television, Inc., Class A
  912   17,556
*
Hemisphere Media Group, Inc.
  20,963   281,743
*
IDT Corp., Class B
  76,166   575,815
*
IMAX Corp.
  56,442   933,551
#*
Intelsat SA
  34,628   118,081
#*
Iridium Communications, Inc.
  112,323   2,869,853
 
John Wiley & Sons, Inc., Class A
  71,204   3,105,918
*
Liberty Latin America, Ltd., Class A
  51,030   851,180
#*
Liberty Latin America, Ltd., Class C
  75,284   1,268,535
#*
Liberty Media Corp.-Liberty Braves, Class A
  11,774   344,390
*
Liberty Media Corp.-Liberty Braves, Class C
  25,084   731,199
*
Liberty TripAdvisor Holdings, Inc., Class A
  130,716   769,917
#*
Lions Gate Entertainment Corp., Class A
  70,300   698,079
*
Lions Gate Entertainment Corp., Class B
  46,731   436,000
*
Loral Space & Communications, Inc.
  941   30,272
*
Marchex, Inc., Class B
  128,300   437,503
 
Marcus Corp. (The)
  46,006   1,341,075
*
Meet Group, Inc. (The)
  260,953   1,390,879
#
Meredith Corp.
  79,088   2,376,594
#*
MSG Networks, Inc., Class A
  111,969   1,703,048
 
National CineMedia, Inc.
  342,706   2,529,170
#
New York Times Co. (The), Class A
  213,321   6,828,405
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
COMMUNICATION SERVICES — (Continued)
#
Nexstar Media Group, Inc., Class A
  73,168   $8,864,303
*
ORBCOMM, Inc.
  61,312   220,110
#*
QuinStreet, Inc.
  141,965   1,839,157
*
Reading International, Inc., Class A
  16,420   167,484
#*
Reading International, Inc., Class B
  2,340   54,943
 
Saga Communications, Inc., Class A
  17,282   523,990
 
Scholastic Corp.
  54,523   1,796,533
#
Shenandoah Telecommunications Co.
  103,180   4,163,313
#
Sinclair Broadcast Group, Inc., Class A
  34,723   1,038,912
 
Spok Holdings, Inc.
  49,865   529,566
#*
TechTarget, Inc.
  70,340   1,785,933
 
TEGNA, Inc.
  130,133   2,199,248
 
Telephone & Data Systems, Inc.
  201,647   4,573,354
 
Townsquare Media, Inc., Class A
  13,712   132,321
*
Travelzoo
  27,729   281,449
 
Tribune Publishing Co.
  52,306   656,963
 
TripAdvisor, Inc.
  9,731   265,851
#*
TrueCar Inc.
  56,215   207,996
*
United States Cellular Corp.
  34,381   1,100,880
#*
Urban One, Inc.
  43,300   81,404
*
Vonage Holdings Corp.
  386,922   3,431,998
*
Yelp, Inc.
  60,886   1,984,884
*
Zedge, Inc., Class B
  17,051   28,987
*
Zynga, Inc., Class A
  1,580,072   9,512,033
TOTAL COMMUNICATION SERVICES
      103,510,071
CONSUMER DISCRETIONARY — (12.9%)
*
1-800-Flowers.com, Inc., Class A
  119,349   1,812,911
 
Aaron's, Inc.
  116,009   6,886,294
 
Abercrombie & Fitch Co., Class A
  68,217   1,116,030
 
Acushnet Holdings Corp.
  6,773   209,760
*
Adient P.L.C.
  98,163   2,523,771
*
Adtalem Global Education, Inc.
  93,561   3,228,790
 
AMCON Distributing Co.
  300   23,338
*
American Axle & Manufacturing Holdings, Inc.
  87,656   809,941
 
American Eagle Outfitters, Inc.
  296,064   4,263,322
*
American Outdoor Brands Corp.
  107,547   1,013,093
*
American Public Education, Inc.
  40,099   955,559
*
America's Car-Mart, Inc.
  24,910   2,734,620
 
Ark Restaurants Corp.
  3,229   70,424
#*
Asbury Automotive Group, Inc.
  46,541   4,488,879
#*
Ascena Retail Group, Inc.
  10,364   45,602
#*
At Home Group, Inc.
  55,682   315,160
*
AutoNation, Inc.
  61,997   2,631,153
#*
Barnes & Noble Education, Inc.
  131,163   451,201
 
Bassett Furniture Industries, Inc.
  27,060   330,944
*
BBQ Holdings, Inc.
  15,578   64,181
 
BBX Capital Corp.
  40,789   158,261
*
Beazer Homes USA, Inc.
  1,224   16,830
#
Bed Bath & Beyond, Inc.
  19,087   271,990
#
Big Lots, Inc.
  105,022   2,841,895
*
Biglari Holdings, Inc., Class A
  59   37,140
*
Biglari Holdings, Inc., Class B
  2,239   242,887
 
BJ's Restaurants, Inc.
  56,230   2,236,829
*
Blink Charging Co.
  6,223   11,761
 
Bloomin' Brands, Inc.
  196,312   4,077,400
*
Boot Barn Holdings, Inc.
  103,158   4,329,541
 
Bowl America, Inc., Class A
  1,400   21,154
#
Brinker International, Inc.
  88,742   3,788,396
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
CONSUMER DISCRETIONARY — (Continued)
 
Brunswick Corp.
  13,800   $867,330
#
Buckle, Inc. (The)
  23,389   570,925
#*
Build-A-Bear Workshop, Inc.
  29,256   122,290
 
Caleres, Inc.
  81,772   1,435,099
 
Callaway Golf Co.
  245,956   5,268,377
 
Canterbury Park Holding Corp.
  6,569   82,375
*
Capri Holdings, Ltd.
  4,463   133,711
 
Carriage Services, Inc.
  46,628   1,103,685
#*
Carrols Restaurant Group, Inc.
  61,444   278,956
#
Carter's, Inc.
  19,906   2,111,429
 
Cato Corp. (The), Class A
  58,165   932,967
*
Cavco Industries, Inc.
  20,327   4,553,655
*
Century Casinos, Inc.
  4,960   41,317
*
Century Communities, Inc.
  133,501   3,960,975
#
Cheesecake Factory, Inc. (The)
  93,330   3,583,872
#
Chico's FAS, Inc.
  197,401   767,890
#
Children's Place, Inc. (The)
  38,725   2,310,721
#
Choice Hotels International, Inc.
  60,068   6,018,814
 
Churchill Downs, Inc.
  64,854   9,363,620
*
Chuy's Holdings, Inc.
  70,894   1,740,448
 
Citi Trends, Inc.
  17,803   414,632
 
Collectors Universe, Inc.
  28,484   699,567
#*
Conn's, Inc.
  71,920   630,019
#*
Container Store Group, Inc. (The)
  16,602   67,072
 
Cooper Tire & Rubber Co.
  134,234   3,555,859
*
Cooper-Standard Holdings, Inc.
  24,512   650,058
 
Core-Mark Holding Co., Inc.
  115,588   2,709,383
 
Cracker Barrel Old Country Store, Inc.
  23,721   3,627,653
*
Crocs, Inc.
  238,173   9,029,138
 
CSS Industries, Inc.
  8,412   78,652
 
Culp, Inc.
  37,056   468,017
 
Dana, Inc.
  163,686   2,522,401
#
Dave & Buster's Entertainment, Inc.
  23,204   1,024,689
*
Deckers Outdoor Corp.
  34,618   6,608,922
*
Del Taco Restaurants, Inc.
  29,299   220,914
*
Delphi Technologies P.L.C.
  65,331   1,002,178
*
Delta Apparel, Inc.
  7,163   179,648
*
Denny's Corp.
  145,866   2,985,877
#
Designer Brands, Inc., Class A
  138,838   1,977,053
#
Dick's Sporting Goods, Inc.
  100,933   4,464,267
#
Dillard's, Inc., Class A
  23,978   1,455,944
#
Dine Brands Global, Inc.
  22,207   1,893,147
#*
Dorman Products, Inc.
  58,084   4,054,263
#*
Drive Shack, Inc.
  135,112   510,723
 
Educational Development Corp.
  5,452   31,076
#*
El Pollo Loco Holdings, Inc.
  94,305   1,299,523
#*
Eldorado Resorts, Inc.
  42,636   2,548,780
 
Escalade, Inc.
  21,156   186,173
 
Ethan Allen Interiors, Inc.
  85,738   1,384,669
*
Everi Holdings, Inc.
  21,471   268,387
#*
Express, Inc.
  122,641   491,790
 
Extended Stay America, Inc.
  98,756   1,275,928
#*
Fiesta Restaurant Group, Inc.
  71,594   710,928
 
Flanigan's Enterprises, Inc.
  1,877   39,792
 
Flexsteel Industries, Inc.
  8,537   140,007
#*
Floor & Decor Holdings, Inc., Class A
  26,062   1,285,117
 
Foot Locker, Inc.
  14,008   531,884
#*
Fossil Group, Inc.
  39,369   264,953
*
Fox Factory Holding Corp.
  63,260   4,163,773
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
CONSUMER DISCRETIONARY — (Continued)
*
frontdoor, Inc.
  5,000   $212,900
#*
Funko, Inc., Class A
  3,600   54,108
#
GameStop Corp., Class A
  199,659   766,691
*
Garrett Motion, Inc.
  21,634   182,158
#*
Genesco, Inc.
  74,450   2,927,374
*
Gentherm, Inc.
  65,374   3,014,395
*
G-III Apparel Group, Ltd.
  108,710   2,957,999
 
Goodyear Tire & Rubber Co. (The)
  131,595   1,727,842
#*
GoPro, Inc., Class A
  22,507   88,678
 
Graham Holdings Co., Class B
  8,014   4,401,449
*
Green Brick Partners, Inc.
  22,165   256,892
 
Group 1 Automotive, Inc.
  35,286   3,555,770
#*
Groupon, Inc.
  442,228   1,273,617
#*
GrubHub, Inc.
  601   32,544
#
Guess?, Inc.
  138,291   2,944,215
#
H&R Block, Inc.
  14,500   336,400
*
Habit Restaurants, Inc. (The), Class A
  70,890   986,080
#
Hamilton Beach Brands Holding Co., Class A
  32,675   516,265
#
Haverty Furniture Cos., Inc.
  48,416   974,614
 
Haverty Furniture Cos., Inc., Class A
  457   9,202
*
Helen of Troy, Ltd.
  49,830   9,420,361
#*
Hibbett Sports, Inc.
  50,865   1,260,435
*
Hilton Grand Vacations, Inc.
  51,611   1,646,907
 
Hooker Furniture Corp.
  29,490   726,634
*
Horizon Global Corp.
  16,767   56,505
*
Houghton Mifflin Harcourt Co.
  108,045   596,408
*
Hudson, Ltd., Class A
  2,820   30,935
*
Installed Building Products, Inc.
  53,555   3,970,032
#
International Game Technology P.L.C.
  1,000   13,490
#*
iRobot Corp.
  48,291   2,272,092
*
J Alexander's Holdings, Inc.
  16,914   162,036
#
Jack in the Box, Inc.
  53,012   4,333,731
 
Johnson Outdoors, Inc., Class A
  21,599   1,697,681
*
K12, Inc.
  85,255   1,376,016
 
KB Home
  111,404   4,183,220
#*
Kontoor Brands, Inc.
  7,005   267,171
 
L Brands, Inc.
  36,545   846,382
*
Lakeland Industries, Inc.
  21,414   298,511
#*
Lands' End, Inc.
  24,849   289,491
*
Laureate Education, Inc., Class A
  68,574   1,429,082
 
La-Z-Boy, Inc.
  116,492   3,569,315
 
LCI Industries
  44,007   4,751,436
*
Leaf Group, Ltd.
  23,292   81,289
#*
LGI Homes, Inc.
  2,259   180,133
#*
Libbey, Inc.
  36,670   48,771
 
Lifetime Brands, Inc.
  17,626   119,328
*
Lindblad Expeditions Holdings, Inc.
  76,229   1,257,016
*
Liquidity Services, Inc.
  66,582   354,216
 
Lithia Motors, Inc., Class A
  51,735   7,017,335
#*
Lumber Liquidators Holdings, Inc.
  21,811   165,982
*
M/I Homes, Inc.
  42,762   1,898,205
*
Malibu Boats, Inc., Class A
  58,307   2,553,264
#
Marine Products Corp.
  40,616   568,624
*
MarineMax, Inc.
  81,558   1,625,451
 
Marriott Vacations Worldwide Corp.
  51,551   6,198,492
*
MasterCraft Boat Holdings, Inc.
  14,276   250,829
#*
Mattel, Inc.
  51,289   750,358
 
MDC Holdings, Inc.
  89,497   3,771,404
»
Media General, Inc.
  64,715   6,116
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
CONSUMER DISCRETIONARY — (Continued)
*
Meritage Homes Corp.
  43,894   $3,114,718
#*
Michaels Cos., Inc. (The)
  114,395   563,967
*
Modine Manufacturing Co.
  39,588   278,304
#*
Monarch Casino & Resort, Inc.
  36,281   1,947,564
#
Monro, Inc.
  50,548   3,169,360
#*
Motorcar Parts of America, Inc.
  53,870   1,069,858
 
Movado Group, Inc.
  41,516   714,906
*
Murphy USA, Inc.
  58,705   5,997,890
 
Nathan's Famous, Inc.
  15,237   1,005,642
*
National Vision Holdings, Inc.
  29,700   1,013,364
*
Nautilus, Inc.
  5,935   18,873
*
New Home Co., Inc. (The)
  39,939   208,482
#*
Noodles & Co.
  33,943   242,353
 
Nordstrom, Inc.
  11,800   434,948
 
Office Depot, Inc.
  761,096   1,689,633
#*
Ollie's Bargain Outlet Holdings, Inc.
  16,672   884,283
 
Oxford Industries, Inc.
  32,402   2,248,699
 
Papa John's International, Inc.
  57,440   3,720,963
#*
Party City Holdco, Inc.
  71,766   206,686
*
Penn National Gaming, Inc.
  63,991   1,908,852
#
Penske Automotive Group, Inc.
  94,396   4,433,780
*
Perdoceo Education Corp.
  217,578   3,868,537
#
PetMed Express, Inc.
  65,339   1,647,196
*
Planet Fitness, Inc., Class A
  56,872   4,594,689
#*
Playa Hotels & Resorts NV
  12,190   85,574
*
PlayAGS, Inc.
  16,337   167,944
*
Potbelly Corp.
  21,945   94,583
*
Purple Innovation, Inc.
  1,756   22,073
*
Quotient Technology Inc.
  24,637   248,095
*
Qurate Retail, Inc.
  18,353   156,551
#
RCI Hospitality Holdings, Inc.
  15,408   273,184
*
Red Lion Hotels Corp.
  20,212   55,785
#*
Red Robin Gourmet Burgers, Inc.
  31,274   1,027,976
#*
Regis Corp.
  93,192   1,446,340
 
Rent-A-Center, Inc.
  29,662   864,054
#*
RH
  18,208   3,800,920
 
Rocky Brands, Inc.
  22,109   600,038
*
Rubicon Project, Inc. (The)
  161,125   1,508,130
 
Ruth's Hospitality Group, Inc.
  103,292   2,117,486
#*
Sally Beauty Holdings, Inc.
  205,850   3,159,797
#*
Scientific Games Corp., Class A
  64,689   1,606,875
#*
SeaWorld Entertainment, Inc.
  88,289   3,042,439
*
Select Interior Concepts, Inc., Class A
  5,722   47,264
*
ServiceMaster Global Holdings, Inc.
  8,800   317,240
#*
Shake Shack, Inc., Class A
  40,071   2,702,789
*
Shiloh Industries, Inc.
  18,853   63,912
#
Shoe Carnival, Inc.
  48,652   1,744,661
*
Shutterstock, Inc.
  45,967   1,991,750
#
Signet Jewelers, Ltd.
  67,055   1,630,107
*
Skechers U.S.A., Inc., Class A
  70,830   2,648,334
*
Skyline Champion Corp.
  38,512   1,107,220
#*
Sleep Number Corp.
  89,608   4,622,877
 
Sonic Automotive, Inc., Class A
  54,604   1,727,124
*
Sonos, Inc.
  14,600   200,312
#*
Sportsman's Warehouse Holdings, Inc.
  85,124   551,604
#*
Stamps.com, Inc.
  27,448   2,044,601
 
Standard Motor Products, Inc.
  57,284   2,782,857
 
Steven Madden, Ltd.
  165,451   6,379,791
#*
Stitch Fix, Inc., Class A
  10,395   238,045
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
CONSUMER DISCRETIONARY — (Continued)
*
Stoneridge, Inc.
  93,017   $2,591,454
 
Strategic Education, Inc.
  22,709   3,685,444
 
Strattec Security Corp.
  5,259   115,672
 
Superior Group of Cos, Inc.
  18,671   215,277
 
Superior Industries International, Inc.
  26,228   83,930
#
Tailored Brands, Inc.
  38,485   153,170
*
Tandy Leather Factory, Inc.
  23,665   132,051
*
Taylor Morrison Home Corp.
  150,772   3,901,979
*
Tempur Sealy International, Inc.
  25,595   2,345,014
#
Tenneco, Inc., Class A
  26,640   252,281
#
Texas Roadhouse, Inc.
  88,757   5,547,312
#
Thor Industries, Inc.
  6,872   553,333
 
Tilly's, Inc., Class A
  64,635   549,397
*
TopBuild Corp.
  64,007   7,329,442
#*
Town Sports International Holdings, Inc.
  52,311   109,853
*
TravelCenters of America, Inc.
  6,882   115,893
*
TRI Pointe Group, Inc.
  228,472   3,714,955
 
Tupperware Brands Corp.
  38,109   238,562
#
Twin River Worldwide Holding, Inc.
  1,978   52,714
*
Unifi, Inc.
  37,068   797,703
*
Universal Electronics, Inc.
  37,439   1,854,354
*
Universal Technical Institute, Inc.
  1,500   11,535
#*
Urban Outfitters, Inc.
  141,981   3,634,714
#*
Veoneer, Inc.
  8,258   107,602
*
Vera Bradley, Inc.
  48,570   465,301
#*
Vince Holding Corp.
  1,906   28,152
*
Vista Outdoor, Inc.
  58,566   435,145
#*
Visteon Corp.
  59,589   4,755,798
*
VOXX International Corp.
  76,706   329,836
#*
Vuzix Corp.
  5,900   10,797
 
Wendy's Co. (The)
  329,738   7,145,422
 
Weyco Group, Inc.
  15,783   357,485
#*
William Lyon Homes, Class A
  63,629   1,475,556
 
Williams-Sonoma, Inc.
  17,045   1,194,514
#
Wingstop, Inc.
  28,782   2,670,106
 
Winmark Corp.
  10,214   2,032,280
 
Winnebago Industries, Inc.
  77,870   4,264,161
 
Wolverine World Wide, Inc.
  130,166   4,109,341
#*
WW International, Inc
  50,509   1,665,787
 
Wyndham Destinations, Inc.
  13,630   661,464
#*
ZAGG, Inc.
  95,476   721,799
*
Zumiez, Inc.
  56,263   1,753,718
TOTAL CONSUMER DISCRETIONARY
      428,206,428
CONSUMER STAPLES — (3.6%)
 
Alico, Inc.
  10,820   389,412
 
Andersons, Inc. (The)
  28,954   654,939
#
B&G Foods, Inc.
  65,549   1,052,717
#*
BJ's Wholesale Club Holdings, Inc.
  7,079   145,261
#*
Boston Beer Co., Inc. (The), Class A
  10,813   3,853,537
*
Bridgford Foods Corp.
  6,838   130,332
#
Calavo Growers, Inc.
  33,621   2,575,705
#
Cal-Maine Foods, Inc.
  76,362   2,725,360
 
Casey's General Stores, Inc.
  9,982   1,605,704
*
Central Garden & Pet Co.
  27,336   880,493
*
Central Garden & Pet Co., Class A
  76,906   2,304,104
#*
Chefs' Warehouse, Inc. (The)
  74,343   2,706,085
 
Coca-Cola Consolidated, Inc.
  12,876   3,486,950
*
Coffee Holding Co., Inc.
  7,765   31,526
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
CONSUMER STAPLES — (Continued)
*
Craft Brew Alliance, Inc.
  37,616   $616,902
*
Darling Ingredients, Inc.
  292,864   7,945,400
*
Edgewell Personal Care Co.
  42,318   1,092,651
*
elf Beauty Inc.
  27,647   433,505
#
Energizer Holdings, Inc.
  689   31,873
#*
Farmer Brothers Co.
  14,155   169,577
#
Flowers Foods, Inc.
  60,749   1,307,926
#
Fresh Del Monte Produce, Inc.
  91,186   2,861,417
*
Freshpet Inc.
  1,520   95,578
#*
Hain Celestial Group, Inc. (The)
  1,676   40,576
#*
Hostess Brands, Inc.
  118,036   1,584,043
 
Ingles Markets, Inc., Class A
  46,616   1,943,421
 
Inter Parfums, Inc.
  63,168   4,365,540
 
J&J Snack Foods Corp.
  28,635   4,748,828
 
John B. Sanfilippo & Son, Inc.
  31,178   2,628,305
 
Lancaster Colony Corp.
  38,638   5,975,367
*
Landec Corp.
  79,369   888,933
#*
Lifevantage Corp.
  40,287   659,901
 
Limoneira Co.
  39,716   775,256
 
Mannatech, Inc.
  1,440   22,882
 
Medifast, Inc.
  34,884   3,370,841
#
MGP Ingredients, Inc.
  44,536   1,516,896
#*
National Beverage Corp.
  81,150   3,482,146
*
Natura & Co. Holding SA, ADR
  185,195   4,052,067
*
Natural Alternatives International, Inc.
  22,059   180,443
 
Natural Grocers by Vitamin Cottage, Inc.
  48,931   442,826
#
Natural Health Trends Corp.
  1,244   4,478
*
Nature's Sunshine Products, Inc.
  216   2,065
 
Nu Skin Enterprises, Inc., Class A
  43,290   1,410,821
 
Oil-Dri Corp. of America
  13,693   484,732
*
Performance Food Group Co.
  77,695   4,023,824
 
PriceSmart, Inc.
  51,463   3,152,623
#*
Primo Water Corp.
  69,088   1,041,156
#*
Pyxus International, Inc.
  8,757   59,985
#*
Revlon, Inc., Class A
  6,810   145,530
#
Rocky Mountain Chocolate Factory, Inc.
  6,870   57,021
 
Sanderson Farms, Inc.
  46,425   6,392,258
 
Seaboard Corp.
  154   593,764
*
Seneca Foods Corp., Class A
  22,487   889,361
*
Seneca Foods Corp., Class B
  1,443   56,140
*
Simply Good Foods Co. (The)
  24,107   553,738
 
SpartanNash Co.
  74,457   906,886
 
Spectrum Brands Holdings, Inc.
  28,883   1,773,705
*
Sprouts Farmers Market, Inc.
  193,608   3,026,093
#
Tootsie Roll Industries, Inc.
  39,385   1,343,422
*
TreeHouse Foods, Inc.
  88,175   3,932,605
#
Turning Point Brands, Inc.
  14,939   341,207
#*
United Natural Foods, Inc.
  104,703   753,862
 
United-Guardian, Inc.
  14,172   238,090
 
Universal Corp.
  40,157   2,134,345
*
USANA Health Sciences, Inc.
  53,904   3,325,877
 
Vector Group, Ltd.
  248,770   3,268,838
 
Village Super Market, Inc., Class A
  20,030   445,868
 
WD-40 Co.
  20,997   3,922,659
#
Weis Markets, Inc.
  36,255   1,330,196
#*
Youngevity International, Inc.
  3,900   6,084
TOTAL CONSUMER STAPLES
      119,392,458
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
ENERGY — (3.0%)
 
Adams Resources & Energy, Inc.
  8,197   $289,846
 
Amplify Energy Corp.
  29,929   161,317
#*
Antero Resources Corp.
  75,800   140,230
#*
Apergy Corp.
  82,177   2,125,097
#
Arch Coal, Inc., Class A
  35,584   1,833,644
 
Archrock, Inc.
  144,515   1,206,700
*
Ardmore Shipping Corp.
  49,873   306,719
*
Aspen Aerogels, Inc.
  1,400   11,578
 
Berry Petroleum Corp.
  9,161   62,753
#*
Bonanza Creek Energy, Inc.
  43,996   800,287
 
Cactus, Inc., Class A
  29,824   859,528
#*
California Resources Corp.
  37,240   273,342
#*
Callon Petroleum Co.
  499,071   1,497,213
#*
Centennial Resource Development, Inc., Class A
  186,509   608,019
*
Clean Energy Fuels Corp.
  307,064   706,247
#*
CNX Resources Corp.
  283,481   2,049,568
#*
CONSOL Energy, Inc.
  19,660   159,836
#*
Contango Oil & Gas Co.
  40,900   159,919
#
Core Laboratories NV
  35,597   1,250,523
#
CVR Energy, Inc.
  50,447   1,745,971
#*
Dawson Geophysical Co.
  34,164   81,994
#
Delek US Holdings, Inc.
  164,182   4,508,438
#
DHT Holdings, Inc.
  278,127   1,565,855
#*
Diamond Offshore Drilling, Inc.
  88,069   407,759
#
DMC Global, Inc.
  39,931   1,670,314
*
Dorian LPG, Ltd.
  77,968   1,022,940
#*
Dril-Quip, Inc.
  87,089   3,561,940
#*
Earthstone Energy, Inc., Class A
  55,826   279,130
 
EnLink Midstream LLC
  89,120   448,274
#
EQT Corp.
  2,979   18,023
#
Equitrans Midstream Corp.
  31,410   303,735
*
Era Group, Inc.
  43,011   427,529
 
Evolution Petroleum Corp.
  78,334   394,803
*
Exterran Corp.
  25,424   137,290
#*
Extraction Oil & Gas, Inc.
  104,675   148,639
*
Forum Energy Technologies, Inc.
  13,512   14,323
*
Frank's International NV
  68,922   241,227
 
GasLog, Ltd.
  62,709   406,354
*
Geospace Technologies Corp.
  26,932   361,158
#*
Gevo, Inc.
  3,600   7,236
#*
Goodrich Petroleum Corp.
  7,444   49,949
#
Green Plains, Inc.
  50,355   627,927
*
Gulf Island Fabrication, Inc.
  27,011   137,756
#*
Gulfport Energy Corp.
  139,430   216,117
 
Hallador Energy Co.
  23,785   39,483
*
Helix Energy Solutions Group, Inc.
  277,075   2,310,806
 
Helmerich & Payne, Inc.
  15,383   623,781
*
International Seaways, Inc.
  56,042   1,247,495
#*
ION Geophysical Corp.
  12,419   71,161
 
Kosmos Energy, Ltd.
  610,027   3,117,237
*
Laredo Petroleum, Inc.
  453,786   780,512
#
Liberty Oilfield Services, Inc., Class A
  30,480   258,470
#*
Lonestar Resources US, Inc., Class A
  27,670   50,359
#*
Matador Resources Co.
  205,452   3,013,981
*
Matrix Service Co.
  86,647   1,743,338
*
Mitcham Industries, Inc.
  12,886   36,596
#*
Montage Resources Corp.
  12,836   46,851
#
Murphy Oil Corp.
  110,294   2,311,762
#
Nabors Industries, Ltd.
  595,924   1,233,563
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
ENERGY — (Continued)
 
NACCO Industries, Inc., Class A
  15,945   $751,647
*
Natural Gas Services Group, Inc.
  27,174   285,870
#*
NCS Multistage Holdings, Inc.
  9,951   15,225
*
Newpark Resources, Inc.
  409,450   2,047,250
*
NexTier Oilfield Solutions, Inc.
  157,163   809,389
#*
Nine Energy Service, Inc.
  5,763   27,893
 
Nordic American Tankers, Ltd.
  32,085   108,447
#*
Northern Oil and Gas, Inc.
  305,408   506,977
*
Oasis Petroleum, Inc.
  250,410   563,423
*
Oceaneering International, Inc.
  289,585   3,593,750
*
Oil States International, Inc.
  98,923   1,066,390
*
Overseas Shipholding Group, Inc., Class A
  6,393   11,380
#*
Pacific Drilling SA
  5,400   9,936
 
Panhandle Oil and Gas, Inc., Class A
  24,485   177,027
*
Par Pacific Holdings, Inc.
  45,753   920,550
 
Parsley Energy, Inc., Class A
  38,850   646,464
 
Patterson-UTI Energy, Inc.
  173,347   1,376,375
 
PBF Energy, Inc., Class A
  218,320   5,960,136
#*
PDC Energy, Inc.
  141,072   3,045,744
#
Peabody Energy Corp.
  74,409   503,005
*
Penn Virginia Corp.
  27,086   578,828
*
ProPetro Holding Corp.
  74,074   721,481
 
QEP Resources, Inc.
  240,144   761,256
#
Range Resources Corp.
  190,841   572,523
#*
Renewable Energy Group, Inc.
  118,975   3,126,663
*
REX American Resources Corp.
  18,425   1,388,324
*
RigNet, Inc.
  18,375   76,440
*
Ring Energy, Inc.
  1,124   2,428
#
RPC, Inc.
  92,572   419,351
*
SandRidge Energy, Inc.
  29,462   75,128
 
Scorpio Tankers, Inc.
  81,321   1,898,032
*
SEACOR Holdings, Inc.
  32,476   1,220,773
*
SEACOR Marine Holdings, Inc.
  36,139   377,291
*
Select Energy Services, Inc., Class A
  53,344   371,274
 
SFL Corp., Ltd.
  107,589   1,424,478
*
SilverBow Resources, Inc.
  5,514   29,334
 
SM Energy Co.
  86,237   791,656
#*
Smart Sand, Inc.
  6,902   14,011
#
Solaris Oilfield Infrastructure, Inc., Class A
  70,865   817,073
#*
Southwestern Energy Co.
  411,363   645,840
#*
Talos Energy, Inc.
  37,602   824,988
*
Teekay Tankers, Ltd., Class A
  1,725   28,100
*
TETRA Technologies, Inc.
  219,570   335,942
#*
Tidewater, Inc.
  21,508   326,491
#*
Transocean, Ltd.
  464,424   2,117,773
#*
Unit Corp.
  148,956   59,553
#
US Silica Holdings, Inc.
  60,000   308,400
*
VAALCO Energy, Inc.
  12,100   27,104
#
Valaris P.L.C.
  150,196   767,502
*
W&T Offshore, Inc.
  346,307   1,433,711
#*
Whiting Petroleum Corp.
  71,153   323,035
 
World Fuel Services Corp.
  89,961   3,519,274
*
WPX Energy, Inc.
  123,240   1,472,718
TOTAL ENERGY
      99,456,095
FINANCIALS — (20.0%)
#
1st Constitution Bancorp
  170   3,425
 
1st Source Corp.
  56,132   2,648,869
 
ACNB Corp.
  1,396   44,742
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Affiliated Managers Group, Inc.
  21,004   $1,677,169
#*
Allegiance Bancshares, Inc.
  16,039   596,651
*
A-Mark Precious Metals, Inc.
  5,785   46,164
*
Ambac Financial Group, Inc.
  28,864   618,556
 
American Equity Investment Life Holding Co.
  155,038   4,094,554
 
American National Bankshares, Inc.
  12,623   430,444
 
American National Insurance Co.
  10,808   1,190,609
 
American River Bankshares
  2,368   34,265
 
Ameris Bancorp
  132,497   5,325,054
 
AMERISAFE, Inc.
  46,160   3,158,267
 
AmeriServ Financial, Inc.
  87,157   357,344
 
Argo Group International Holdings, Ltd.
  60,193   3,948,661
 
Arrow Financial Corp.
  41,933   1,470,171
 
Artisan Partners Asset Management, Inc., Class A
  94,214   3,146,748
 
Associated Banc-Corp
  276,878   5,518,179
#
Associated Capital Group, Inc., Class A
  212   8,855
 
Assured Guaranty, Ltd.
  39,360   1,804,262
 
Atlantic American Corp.
  4,900   10,829
*
Atlantic Capital Bancshares, Inc.
  38,601   728,401
 
Atlantic Union Bankshares Corp.
  115,432   3,888,904
#*
Atlanticus Holdings Corp.
  19,846   277,050
#
Auburn National Bancorporation, Inc.
  300   17,100
*
Axos Financial, Inc.
  104,916   2,955,484
 
Banc of California, Inc.
  95,451   1,523,398
 
BancFirst Corp.
  44,276   2,559,153
*
Bancorp, Inc. (The)
  154,066   1,822,601
 
BancorpSouth Bank
  196,194   5,605,263
 
Bank of Commerce Holdings
  11,745   125,671
#
Bank of Hawaii Corp.
  68,402   6,128,819
 
Bank of Marin Bancorp
  19,870   875,472
 
Bank of NT Butterfield & Son, Ltd. (The)
  24,880   826,514
 
Bank OZK
  59,233   1,609,953
 
BankFinancial Corp.
  33,214   414,179
 
BankUnited, Inc.
  101,041   3,334,353
 
Bankwell Financial Group, Inc.
  2,702   73,035
 
Banner Corp.
  67,708   3,490,347
 
Bar Harbor Bankshares
  20,508   451,176
#*
Baycom Corp.
  4,123   92,603
 
BCB Bancorp, Inc.
  12,893   169,156
 
Berkshire Hills Bancorp, Inc.
  93,115   2,621,187
 
BGC Partners, Inc., Class A
  99,678   575,142
*
Blucora, Inc.
  92,763   2,091,806
#
Blue Capital Reinsurance Holdings, Ltd.
  1,285   8,969
 
Boston Private Financial Holdings, Inc.
  205,693   2,344,900
 
Bridge Bancorp, Inc.
  29,725   902,154
#*
Bridgewater Bancshares, Inc.
  3,877   51,176
*
Brighthouse Financial, Inc.
  12,272   477,381
*
BrightSphere Investment Group P.L.C.
  66,383   611,387
 
Brookline Bancorp, Inc.
  147,121   2,236,239
 
Bryn Mawr Bank Corp.
  41,204   1,545,974
 
Byline Bancorp, Inc.
  7,225   139,442
 
C&F Financial Corp.
  3,311   165,716
 
Cadence BanCorp
  140,214   2,191,545
 
California First National Bancorp
  3,097   51,875
 
Cambridge Bancorp
  1,603   115,705
 
Camden National Corp.
  32,169   1,520,307
*
Cannae Holdings, Inc.
  27,105   1,102,089
#
Capital City Bank Group, Inc.
  18,768   535,263
 
Capitol Federal Financial, Inc.
  354,231   4,668,765
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Capstar Financial Holdings, Inc.
  12,042   $180,269
 
Carolina Financial Corp.
  21,955   841,974
 
Cathay General Bancorp
  196,272   7,077,568
 
CBTX, Inc.
  3,404   100,588
 
CenterState Bank Corp.
  139,938   3,157,001
 
Central Pacific Financial Corp.
  36,153   1,002,523
 
Central Valley Community Bancorp
  7,779   146,167
 
Century Bancorp, Inc., Class A
  4,807   413,402
 
Chemung Financial Corp.
  763   30,268
 
CIT Group, Inc.
  16,830   769,299
 
Citizens & Northern Corp.
  13,444   343,763
 
Citizens Community Bancorp, Inc.
  20,282   242,978
 
Citizens Holding Co.
  592   12,758
#*
Citizens, Inc.
  100,100   606,606
 
City Holding Co.
  36,845   2,788,430
 
Civista Bancshares, Inc.
  7,712   169,741
 
CNB Financial Corp.
  20,394   602,847
 
CNO Financial Group, Inc.
  336,171   5,913,248
*
Coastal Financial Corp.
  1,794   31,933
 
Codorus Valley Bancorp, Inc.
  3,435   74,883
 
Cohen & Steers, Inc.
  58,981   4,363,414
 
Colony Bankcorp, Inc.
  1,629   25,005
 
Columbia Banking System, Inc.
  145,269   5,621,910
*
Columbia Financial, Inc.
  3,402   57,052
 
Community Bank System, Inc.
  93,818   6,217,319
 
Community Bankers Trust Corp.
  4,335   38,278
 
Community Financial Corp. (The)
  1,099   37,366
 
Community Trust Bancorp, Inc.
  43,311   1,894,856
 
Community West Bancshares
  1,200   13,200
 
ConnectOne Bancorp, Inc.
  63,619   1,502,045
#*
Consumer Portfolio Services, Inc.
  48,217   170,206
#
County Bancorp, Inc.
  952   24,038
#*
Cowen, Inc., Class A
  46,810   752,237
#
Crawford & Co., Class A
  70,697   617,892
 
Crawford & Co., Class B
  53,064   423,981
#*
Curo Group Holdings Corp.
  9,982   103,913
#*
Customers Bancorp, Inc.
  137,533   2,940,456
 
CVB Financial Corp.
  230,262   4,782,542
 
Diamond Hill Investment Group, Inc.
  7,918   1,114,617
 
Dime Community Bancshares, Inc.
  93,580   1,816,388
 
Donegal Group, Inc., Class A
  49,195   686,270
 
Donegal Group, Inc., Class B
  870   10,501
*
Donnelley Financial Solutions, Inc.
  26,732   242,192
 
Eagle Bancorp, Inc.
  65,471   2,861,083
 
Eaton Vance Corp.
  11,709   535,687
#*
eHealth, Inc.
  50,417   5,301,852
*
Elevate Credit, Inc.
  26,652   154,848
 
Employers Holdings, Inc.
  66,766   2,847,570
#*
Encore Capital Group, Inc.
  61,924   2,102,320
*
Enova International, Inc.
  89,166   2,234,500
*
Enstar Group, Ltd.
  17,850   3,485,926
 
Enterprise Bancorp, Inc.
  6,085   188,757
 
Enterprise Financial Services Corp.
  46,305   2,014,731
*
Equity Bancshares, Inc., Class A
  19,236   516,679
 
ESSA Bancorp, Inc.
  14,300   242,385
 
Essent Group, Ltd.
  42,753   2,120,976
 
Evans Bancorp, Inc.
  2,846   111,108
 
Evercore, Inc., Class A
  57,976   4,442,121
#*
EZCORP, Inc., Class A
  48,378   300,911
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Farmers National Banc Corp.
  27,004   $427,203
 
FB Financial Corp.
  7,505   267,553
 
FBL Financial Group, Inc., Class A
  40,672   2,187,340
 
Federal Agricultural Mortgage Corp., Class A
  1,115   75,474
 
Federal Agricultural Mortgage Corp., Class C
  23,600   1,800,680
 
Federated Investors, Inc., Class B
  167,751   6,077,619
 
FedNat Holding Co.
  32,826   509,788
 
Financial Institutions, Inc.
  36,632   1,128,632
*
First Acceptance Corp.
  96,214   66,388
 
First Bancorp
  55,196   1,958,354
 
First BanCorp
  355,320   3,293,816
 
First Bancorp, Inc.
  15,642   442,356
 
First Bancshares, Inc. (The)
  6,698   230,545
 
First Bank
  6,366   68,116
 
First Busey Corp.
  87,924   2,242,062
 
First Business Financial Services, Inc.
  8,410   211,764
 
First Choice Bancorp
  4,552   110,796
 
First Citizens BancShares, Inc., Class A
  1,503   791,810
 
First Commonwealth Financial Corp.
  185,186   2,503,715
 
First Community Bancshares, Inc.
  41,219   1,208,129
 
First Community Corp.
  400   8,212
 
First Defiance Financial Corp.
  54,410   1,599,110
#
First Financial Bancorp
  177,819   4,274,769
#
First Financial Bankshares, Inc.
  164,688   5,520,342
 
First Financial Corp.
  26,421   1,102,548
 
First Financial Northwest, Inc.
  27,065   395,961
 
First Foundation, Inc.
  64,397   1,062,550
 
First Hawaiian, Inc.
  60,429   1,756,067
 
First Horizon National Corp.
  8,945   143,120
 
First Internet Bancorp
  15,209   403,191
 
First Interstate BancSystem, Inc., Class A
  76,271   2,936,433
 
First Merchants Corp.
  107,255   4,263,386
 
First Mid Bancshares, Inc.
  7,797   255,352
 
First Midwest Bancorp, Inc.
  244,758   4,880,475
 
First Northwest Bancorp
  8,344   131,752
 
First of Long Island Corp. (The)
  44,358   978,537
 
First United Corp.
  4,814   115,103
 
FirstCash, Inc.
  83,455   7,258,081
 
Flagstar Bancorp, Inc.
  90,793   3,199,545
 
Flushing Financial Corp.
  77,544   1,540,799
 
FNB Corp.
  173,089   2,019,949
 
Franklin Financial Network, Inc.
  32,176   1,186,329
 
FS Bancorp, Inc.
  3,729   204,051
 
Fulton Financial Corp.
  354,355   5,836,227
 
GAIN Capital Holdings, Inc.
  29,170   114,055
 
GAMCO Investors, Inc., Class A
  17,798   294,557
*
Genworth Financial, Inc., Class A
  6,100   25,010
 
German American Bancorp, Inc.
  52,618   1,799,009
 
Glacier Bancorp, Inc.
  140,060   5,934,342
 
Global Indemnity, Ltd.
  24,595   775,480
#
Goosehead Insurance, Inc., Class A
  1,300   67,834
 
Great Southern Bancorp, Inc.
  34,088   1,939,948
 
Great Western Bancorp, Inc.
  83,611   2,470,705
*
Green Dot Corp., Class A
  95,211   2,863,947
#
Greenhill & Co., Inc.
  107,072   1,676,748
#*
Greenlight Capital Re, Ltd., Class A
  140,116   1,304,480
 
Guaranty Bancshares, Inc.
  3,418   104,591
 
Guaranty Federal Bancshares, Inc.
  2,022   48,022
*
Hallmark Financial Services, Inc.
  33,293   572,640
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Hamilton Lane, Inc., Class A
  8,660   $562,467
 
Hancock Whitney Corp.
  97,029   3,855,932
 
Hanmi Financial Corp.
  85,261   1,434,090
 
Hanover Insurance Group, Inc. (The)
  50,699   7,025,867
*
HarborOne Bancrop, Inc.
  26,697   291,264
#
Hawthorn Bancshares, Inc.
  2,198   50,004
#
HCI Group, Inc.
  33,285   1,473,527
 
Heartland Financial USA, Inc.
  50,223   2,456,407
#
Hennessy Advisors, Inc.
  2,761   27,610
 
Heritage Commerce Corp.
  131,114   1,520,922
 
Heritage Financial Corp.
  54,712   1,410,475
 
Heritage Insurance Holdings, Inc.
  28,677   345,845
 
Hilltop Holdings, Inc.
  197,180   4,464,155
 
Hingham Institution for Savings
  1,923   402,657
*
HMN Financial, Inc.
  3,246   67,874
 
Home Bancorp, Inc.
  2,792   99,284
 
Home BancShares, Inc.
  240,974   4,607,423
*
HomeStreet, Inc.
  52,779   1,694,734
 
HomeTrust Bancshares, Inc.
  11,678   309,701
 
Hope Bancorp, Inc.
  292,457   4,066,615
 
Horace Mann Educators Corp.
  77,779   3,345,275
 
Horizon Bancorp, Inc.
  70,465   1,192,268
 
Houlihan Lokey, Inc.
  34,382   1,782,707
*
Howard Bancorp, Inc.
  9,031   152,534
 
IBERIABANK Corp.
  35,333   2,569,062
 
Independence Holding Co.
  2,009   81,344
 
Independent Bank Corp.
  49,456   3,570,723
 
Independent Bank Corp.
  21,971   469,740
 
Independent Bank Group, Inc.
  54,478   2,915,663
#
Interactive Brokers Group, Inc., Class A
  114,563   5,384,461
 
International Bancshares Corp.
  129,425   5,099,345
*
INTL. FCStone, Inc.
  36,579   1,743,355
 
Investar Holding Corp.
  678   14,991
 
Investors Bancorp, Inc.
  79,319   958,570
 
Investors Title Co.
  2,679   422,746
 
James River Group Holdings, Ltd.
  33,682   1,446,305
 
Janus Henderson Group P.L.C.
  14,523   366,996
 
Kearny Financial Corp.
  175,852   2,171,772
 
Kemper Corp.
  86,600   6,444,772
 
Kentucky First Federal Bancorp
  3,402   26,195
 
Kingstone Cos., Inc.
  8,189   64,693
 
Kinsale Capital Group, Inc.
  18,294   2,089,541
 
Ladenburg Thalmann Financial Services, Inc.
  230,662   805,010
 
Lake Shore Bancorp, Inc.
  338   5,154
 
Lakeland Bancorp, Inc.
  96,928   1,574,111
 
Lakeland Financial Corp.
  60,442   2,867,368
 
Landmark Bancorp, Inc.
  3,294   81,559
 
Lazard, Ltd., Class A
  7,366   309,077
 
LCNB Corp.
  2,648   43,877
 
Legg Mason, Inc.
  78,974   3,091,832
#*
LendingClub Corp.
  143,463   1,681,386
#*
LendingTree, Inc.
  16,526   5,142,891
*
Limestone Bancorp, Inc.
  857   14,355
#
Live Oak Bancshares, Inc.
  33,602   587,363
 
Luther Burbank Corp.
  2,130   21,960
 
Macatawa Bank Corp.
  65,245   688,335
 
Mackinac Financial Corp.
  8,480   128,218
*
Magyar Bancorp, Inc.
  809   9,918
*
Malvern Bancorp, Inc.
  1,300   26,000
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Marlin Business Services Corp.
  37,093   $730,732
#*
MBIA, Inc.
  159,089   1,441,346
 
Mercantile Bank Corp.
  29,145   955,082
 
Merchants Bancorp
  4,419   86,966
 
Mercury General Corp.
  81,172   3,984,733
 
Meridian Bancorp, Inc.
  101,526   1,826,453
 
Meta Financial Group, Inc.
  65,821   2,449,858
*
Metropolitan Bank Holding Corp.
  2,078   102,134
 
MGIC Investment Corp.
  216,764   2,989,176
 
Mid Penn Bancorp, Inc.
  2,400   57,600
 
Middlefield Banc Corp.
  614   15,448
 
Midland States Bancorp, Inc.
  21,111   557,753
 
MidWestOne Financial Group, Inc.
  10,489   339,214
 
Moelis & Co., Class A
  67,197   2,419,092
#*
Mr Cooper Group, Inc.
  42,118   521,421
 
MutualFirst Financial, Inc.
  9,275   345,308
 
MVB Financial Corp.
  1,152   23,017
 
National Bank Holdings Corp., Class A
  64,487   2,102,276
 
National Bankshares, Inc.
  2,039   83,273
 
National General Holdings Corp.
  103,721   2,258,006
 
National Security Group, Inc. (The)
  1,000   14,745
 
National Western Life Group, Inc., Class A
  2,497   664,202
 
Navient Corp.
  301,269   4,332,248
#
NBT Bancorp, Inc.
  82,955   3,134,869
 
Nelnet, Inc., Class A
  59,149   3,386,872
»
NewStar Financial, Inc.
  154,391   79,290
*
Nicholas Financial, Inc.
  9,480   78,494
*
Nicolet Bankshares, Inc.
  4,945   349,364
*
NMI Holdings, Inc., Class A
  102,175   3,261,426
*
Northeast Bank
  8,636   173,325
 
Northfield Bancorp, Inc.
  98,988   1,572,919
 
Northrim BanCorp, Inc.
  11,583   435,868
 
Northwest Bancshares, Inc.
  257,325   4,046,436
 
Norwood Financial Corp.
  949   32,266
 
OceanFirst Financial Corp.
  82,936   1,929,091
 
OFG Bancorp
  81,453   1,605,439
 
Ohio Valley Banc Corp.
  1,400   46,270
 
Old National Bancorp
  264,103   4,730,085
 
Old Second Bancorp, Inc.
  51,433   631,854
#*
On Deck Capital, Inc.
  138,584   565,423
 
OneMain Holdings, Inc.
  45,669   1,934,996
 
Oppenheimer Holdings, Inc., Class A
  10,748   296,107
 
Opus Bank
  59,987   1,597,754
#
Origin Bancorp, Inc.
  3,849   135,639
 
Orrstown Financial Services, Inc.
  5,279   108,800
*
Pacific Mercantile Bancorp
  35,354   245,003
 
Pacific Premier Bancorp, Inc.
  86,707   2,583,869
 
PacWest Bancorp
  3,585   125,654
#
Park National Corp.
  16,584   1,574,982
 
Parke Bancorp, Inc.
  3,933   84,638
 
PCSB Financial Corp.
  5,627   111,865
 
Peapack Gladstone Financial Corp.
  43,018   1,257,416
 
Penns Woods Bancorp, Inc.
  8,683   273,949
 
Pennymac Financial Services, Inc.
  50,895   1,716,179
 
Peoples Bancorp of North Carolina, Inc.
  1,084   29,647
 
Peoples Bancorp, Inc.
  39,103   1,272,412
 
Peoples Financial Services Corp.
  60   2,781
 
People's United Financial, Inc.
  125,953   1,942,195
 
People's Utah Bancorp
  24,149   629,806
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Pinnacle Financial Partners, Inc.
  66,239   $3,912,075
 
Piper Sandler Cos.
  17,595   1,450,356
 
PJT Partners, Inc., Class A
  31,874   1,466,841
 
Popular, Inc.
  75,970   4,251,281
#*
PRA Group, Inc.
  105,839   3,742,467
 
Preferred Bank
  30,623   1,840,749
 
Premier Financial Bancorp, Inc.
  20,540   349,180
 
Primerica, Inc.
  56,551   6,704,687
 
ProAssurance Corp.
  104,561   3,175,518
 
Prosperity Bancshares, Inc.
  55,168   3,872,794
 
Protective Insurance Corp., Class A
  550   8,250
 
Protective Insurance Corp., Class B
  8,898   138,720
*
Provident Bancorp, Inc.
  519   6,129
 
Provident Financial Holdings, Inc.
  6,061   133,403
 
Provident Financial Services, Inc.
  105,610   2,408,964
 
Prudential Bancorp, Inc.
  1,711   30,131
 
Pzena Investment Management, Inc., Class A
  38,493   315,258
 
QCR Holdings, Inc.
  24,835   1,020,718
 
Radian Group, Inc.
  324,032   7,935,544
 
RBB Bancorp
  7,276   143,192
*
Regional Management Corp.
  23,372   643,899
 
Renasant Corp.
  97,404   3,110,110
 
Republic Bancorp, Inc., Class A
  39,187   1,641,935
#*
Republic First Bancorp, Inc.
  46,033   146,845
 
Riverview Bancorp, Inc.
  44,683   328,867
 
RLI Corp.
  73,080   6,797,171
 
S&T Bancorp, Inc.
  62,285   2,341,293
#
Safeguard Scientifics, Inc.
  55,071   585,955
 
Safety Insurance Group, Inc.
  38,135   3,511,471
 
Salisbury Bancorp, Inc.
  551   24,492
 
Sandy Spring Bancorp, Inc.
  62,290   2,167,692
 
SB One Bancorp
  6,777   161,970
*
Seacoast Banking Corp. of Florida
  59,709   1,621,099
#*
Security National Financial Corp., Class A
  3,847   21,346
*
Select Bancorp, Inc.
  4,362   50,599
 
Selective Insurance Group, Inc.
  96,545   6,396,106
 
ServisFirst Bancshares, Inc.
  74,169   2,725,711
 
Shore Bancshares, Inc.
  11,216   182,260
#*
Siebert Financial Corp.
  7,500   51,525
 
Sierra Bancorp
  31,357   839,740
 
Silvercrest Asset Management Group, Inc., Class A
  4,500   53,460
#
Simmons First National Corp., Class A
  160,987   3,860,468
 
SLM Corp.
  19,611   214,152
 
SmartFinancial, Inc.
  5,378   116,272
 
South State Corp.
  53,881   4,073,942
*
Southern First Bancshares, Inc.
  13,801   538,929
 
Southern Missouri Bancorp, Inc.
  6,269   223,302
 
Southern National Bancorp of Virginia, Inc.
  17,384   269,974
#
Southside Bancshares, Inc.
  62,849   2,204,743
#
Southwest Georgia Financial Corp.
  1,439   48,926
*
Spirit of Texas Bancshares, Inc.
  1,280   26,560
 
State Auto Financial Corp.
  75,429   2,271,167
 
Sterling Bancorp
  290,961   5,819,220
 
Sterling Bancorp, Inc.
  10,431   76,459
 
Stewart Information Services Corp.
  54,175   2,261,806
 
Stifel Financial Corp.
  92,246   5,967,394
 
Stock Yards Bancorp, Inc.
  47,361   1,834,765
 
Summit Financial Group, Inc.
  5,280   129,624
 
Summit State Bank
  1,000   12,980
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
FINANCIALS — (Continued)
 
Synovus Financial Corp.
  29,144   $1,020,623
 
TCF Financial Corp.
  232,861   9,845,363
 
Territorial Bancorp, Inc.
  22,292   647,137
*
Texas Capital Bancshares, Inc.
  55,297   3,039,123
 
TFS Financial Corp.
  6,500   132,795
»
TheStreet.Com, Inc.
  487   44
*
Third Point Reinsurance, Ltd.
  43,830   477,309
 
Timberland Bancorp, Inc.
  18,811   529,718
 
Tiptree, Inc.
  71,359   488,809
 
Tompkins Financial Corp.
  26,932   2,318,576
 
Towne Bank
  110,749   2,940,386
 
TriCo Bancshares
  45,738   1,664,863
#*
TriState Capital Holdings, Inc.
  67,724   1,556,975
*
Triumph Bancorp, Inc.
  26,121   1,018,197
 
TrustCo Bank Corp. NY
  217,568   1,725,314
 
Trustmark Corp.
  168,734   5,396,113
 
UMB Financial Corp.
  83,669   5,560,642
 
Umpqua Holdings Corp.
  78,738   1,330,672
*
Unico American Corp.
  4,300   27,563
 
United Bancshares, Inc.
  110   2,613
 
United Bankshares, Inc.
  162,418   5,570,937
 
United Community Banks, Inc.
  160,340   4,476,693
 
United Community Financial Corp.
  125,105   1,367,398
 
United Fire Group, Inc.
  39,695   1,756,901
 
United Insurance Holdings Corp.
  33,694   341,657
 
United Security Bancshares
  7,256   70,673
 
Unity Bancorp, Inc.
  10,777   236,232
 
Universal Insurance Holdings, Inc.
  101,962   2,481,755
 
Univest Financial Corp.
  62,444   1,551,109
 
Valley National Bancorp
  686,300   7,226,739
 
Value Line, Inc.
  2,730   89,953
 
Veritex Holdings, Inc.
  53,691   1,520,529
#
Victory Capital Holdings, Inc., Class A
  9,260   193,164
#
Virtu Financial, Inc., Class A
  4,300   71,767
 
Virtus Investment Partners, Inc.
  22,448   2,761,777
#
Waddell & Reed Financial, Inc., Class A
  155,869   2,490,787
 
Walker & Dunlop, Inc.
  67,522   4,481,435
 
Washington Federal, Inc.
  193,136   6,566,624
 
Washington Trust Bancorp, Inc.
  37,710   1,784,814
 
Waterstone Financial, Inc.
  83,761   1,464,980
 
Webster Financial Corp.
  35,000   1,570,100
 
WesBanco, Inc.
  110,317   3,653,699
 
West Bancorporation, Inc.
  41,449   948,768
 
Westamerica Bancorporation
  37,378   2,368,270
 
Western Alliance Bancorp
  15,340   847,228
 
Western New England Bancorp, Inc.
  49,422   443,810
 
Westwood Holdings Group, Inc.
  24,344   683,580
#
White Mountains Insurance Group, Ltd.
  3,547   3,962,779
 
Wintrust Financial Corp.
  62,888   3,979,553
#
WisdomTree Investments, Inc.
  117,812   495,989
#*
World Acceptance Corp.
  25,209   2,179,822
 
WSFS Financial Corp.
  100,202   3,997,058
#
WVS Financial Corp.
  700   11,725
TOTAL FINANCIALS
      664,621,264
HEALTH CARE — (9.5%)
#*
Abeona Therapeutics, Inc.
  13,944   30,258
#*
Acadia Healthcare Co., Inc.
  125,568   4,034,500
#*
Acceleron Pharma Inc.
  7,464   677,582
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
HEALTH CARE — (Continued)
*
Accuray, Inc.
  115,290   $448,478
#»
Achillion Pharmaceuticals, Inc.
  433,008   150,562
*
Addus HomeCare Corp.
  43,369   4,091,431
#*
Adverum Biotechnologies, Inc.
  121,128   1,195,533
*
Aeglea BioTherapeutics, Inc.
  41,994   304,876
#*
Agios Pharmaceuticals, Inc.
  20,694   1,008,419
#*
Aimmune Therapeutics Inc.
  666   20,679
#*
Akcea Therapeutics, Inc.
  3,623   62,569
#*
Akebia Therapeutics, Inc.
  69,703   503,256
*
Albireo Pharma, Inc.
  9,630   218,601
*
Aldeyra Therapeutics, Inc.
  16,877   90,123
*
Alkermes P.L.C.
  11,233   195,567
#*
Allena Pharmaceuticals, Inc.
  5,776   14,729
*
Allscripts Healthcare Solutions, Inc.
  314,389   2,697,458
#*
AMAG Pharmaceuticals, Inc.
  26,767   237,156
*
Amedisys, Inc.
  68,500   12,089,565
*
American Renal Associates Holdings, Inc.
  1,848   16,780
*
Amicus Therapeutics, Inc.
  69,152   611,304
*
AMN Healthcare Services, Inc.
  86,819   5,849,864
#*
Amphastar Pharmaceuticals, Inc.
  88,418   1,671,984
*
AnaptysBio, Inc.
  8,742   126,934
*
AngioDynamics, Inc.
  67,512   929,640
#*
ANI Pharmaceuticals, Inc.
  41,251   2,557,562
*
Anika Therapeutics, Inc.
  50,046   2,057,391
#*
Apollo Medical Holdings, Inc.
  364   6,523
*
Applied Genetic Technologies Corp.
  44,373   278,662
#*
Aptinyx, Inc.
  2,443   9,992
 
Apyx Medical Corp.
  26,699   202,645
*
Aravive, Inc.
  8,700   87,000
*
Arcus Biosciences, Inc.
  10,002   87,818
*
Ardelyx, Inc.
  142,622   1,009,764
*
Arena Pharmaceuticals, Inc.
  16,742   764,942
*
Assembly Biosciences, Inc.
  42,940   754,026
#*
Atara Biotherapeutics, Inc.
  33,937   448,987
*
AtriCure Inc.
  6,383   248,299
 
Atrion Corp.
  3,399   2,444,527
#*
aTyr Pharma, Inc.
  1,042   5,283
*
Avanos Medical, Inc.
  85,059   2,342,525
#*
Avrobio, Inc.
  5,860   127,338
#*
AxoGen, Inc.
  12,672   156,626
#*
Baudax Bio, Inc.
  681   5,700
*
BioDelivery Sciences International, Inc.
  12,767   67,027
#*
BioLife Solutions, Inc.
  2,851   39,315
*
BioSpecifics Technologies Corp.
  21,297   1,258,227
*
BioTelemetry, Inc.
  102,457   5,012,196
#*
Bluebird Bio, Inc.
  286   22,791
*
Brookdale Senior Living, Inc.
  511,050   3,367,820
*
Calithera Biosciences, Inc.
  40,865   245,190
#*
Calyxt, Inc.
  819   4,562
#
Cantel Medical Corp.
  83,217   5,414,098
#*
Capital Senior Living Corp.
  54,454   151,927
*
Cardiovascular Systems, Inc.
  1,244   56,465
#*
CareDx, Inc.
  11,818   285,523
#*
CASI Pharmaceuticals, Inc.
  3,000   8,550
#*
Catabasis Pharmaceuticals, Inc.
  9,338   49,491
#*
Catalyst Biosciences, Inc.
  11,331   80,450
#*
Catalyst Pharmaceuticals, Inc.
  39,874   163,882
*
Celldex Therapeutics, Inc.
  10,678   24,720
#*
Cellular Biomedicine Group, Inc.
  367   6,257
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
HEALTH CARE — (Continued)
*
Chembio Diagnostics, Inc.
  1,700   $6,987
 
Chemed Corp.
  2,679   1,251,200
#*
ChemoCentryx, Inc.
  75,691   3,210,812
#*
Chiasma, Inc.
  7,122   33,616
#*
Codexis, Inc.
  7,322   114,809
*
Collegium Pharmaceutical, Inc.
  42,363   852,132
#*
Community Health Systems, Inc.
  169,421   726,816
 
Computer Programs & Systems, Inc.
  23,591   613,366
*
Concert Pharmaceuticals, Inc.
  70,387   751,733
 
CONMED Corp.
  47,238   4,803,160
#*
Constellation Pharmaceuticals, Inc.
  3,527   116,532
#*
Corcept Therapeutics, Inc.
  131,043   1,660,315
*
CorVel Corp.
  44,234   4,050,507
#*
Corvus Pharmaceuticals, Inc.
  25,514   140,837
#*
Covetrus, Inc.
  24,563   302,125
#*
Cross Country Healthcare, Inc.
  90,253   893,505
*
CryoLife, Inc.
  114,699   3,411,148
*
Cumberland Pharmaceuticals, Inc.
  45,418   220,731
*
Cutera, Inc.
  50,628   1,426,697
#*
Cyclerion Therapeutics, Inc.
  2,793   9,161
*
CytomX Therapeutics, Inc.
  34,486   255,886
*
Deciphera Pharmaceuticals, Inc.
  12,844   804,420
#*
Denali Therapeutics, Inc.
  13,908   322,109
#*
Dicerna Pharmaceuticals, Inc.
  2,838   56,036
*
Digirad Corp.
  4,050   11,502
*
Diplomat Pharmacy, Inc.
  53,009   210,976
#*
Eagle Pharmaceuticals, Inc.
  16,350   879,957
*
Electromed, Inc.
  9,750   94,965
#*
Eloxx Pharmaceuticals, Inc.
  3,582   13,719
*
Emergent BioSolutions, Inc.
  71,414   3,934,197
*
Enanta Pharmaceuticals, Inc.
  52,726   2,717,498
*
Endo International P.L.C.
  147,501   836,331
#*
Enochian Biosciences, Inc.
  2,300   10,189
 
Ensign Group, Inc. (The)
  77,518   3,503,814
*
Enzo Biochem, Inc.
  122,211   306,750
#*
Epizyme, Inc.
  50,528   1,057,551
#*
Evelo Biosciences, Inc.
  300   1,761
#*
Evolent Health, Inc., Class A
  170,243   1,716,049
#*
FibroGen, Inc.
  4,260   178,281
*
Five Prime Therapeutics, Inc.
  39,109   184,594
#*
Flexion Therapeutics, Inc.
  3,800   66,576
#*
Fluidigm Corp.
  19,900   76,416
*
FONAR Corp.
  12,536   264,635
#*
Fulgent Genetics, Inc.
  3,094   41,398
#*
G1 Therapeutics, Inc.
  19,256   372,796
#*
Genocea Biosciences, Inc.
  3,500   7,245
#*
Global Blood Therapeutics, Inc.
  33,420   2,180,989
*
Globus Medical, Inc., Class A
  49,092   2,566,530
#*
GlycoMimetics, Inc.
  37,294   159,618
*
Haemonetics Corp.
  9,947   1,068,208
*
Halozyme Therapeutics, Inc.
  15,300   290,394
*
Hanger, Inc.
  15,781   385,530
#*
Harvard Bioscience, Inc.
  107,208   318,408
#*
HealthEquity, Inc.
  23,878   1,577,381
*
HealthStream, Inc.
  81,548   2,083,551
#*
Heron Therapeutics, Inc.
  1,231   25,679
#*
Heska Corp.
  16,780   1,681,188
*
HMS Holdings Corp.
  131,976   3,605,584
*
Horizon Therapeutics P.L.C.
  209,169   7,214,239
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
HEALTH CARE — (Continued)
*
ICU Medical, Inc.
  20,567   $3,752,860
*
InfuSystem Holdings, Inc.
  3,700   31,746
#*
Innoviva, Inc.
  138,347   1,909,880
#*
Inogen, Inc.
  31,155   1,379,232
#*
Inovalon Holdings, Inc., Class A
  7,741   156,833
#*
Insmed, Inc.
  21,563   442,904
*
Inspire Medical Systems, Inc.
  17,771   1,329,271
*
Integer Holdings Corp.
  61,421   5,245,353
#*
Integra LifeSciences Holdings Corp.
  80,508   4,431,160
#*
Intellia Therapeutics, Inc.
  75,733   901,980
*
Interpace Biosciences, Inc.
  1,140   9,017
#*
Intersect ENT Inc.
  6,500   167,960
*
Intra-Cellular Therapies, Inc.
  130,071   2,951,311
#*
IntriCon Corp.
  32,669   556,353
 
Invacare Corp.
  107,657   827,882
#*
Iovance Biotherapeutics, Inc.
  22,031   478,954
#*
iRadimed Corp.
  1,300   33,150
#*
Ironwood Pharmaceuticals Inc.
  25,444   307,364
 
IVERIC bio, Inc.
  3,500   23,240
#*
Joint Corp. (The)
  6,004   100,267
#*
Jounce Therapeutics, Inc.
  58,115   365,543
#*
Kala Pharmaceuticals, Inc.
  28,011   166,946
*
KalVista Pharmaceuticals, Inc.
  1,401   21,435
#*
Karyopharm Therapeutics, Inc.
  89,654   1,447,912
 
Kewaunee Scientific Corp.
  2,424   29,912
*
Kindred Biosciences, Inc.
  94,308   823,309
#*
Kodiak Sciences, Inc.
  1,900   116,033
#*
Krystal Biotech, Inc.
  2,037   106,454
*
Kura Oncology, Inc.
  27,793   326,290
#*
Lannett Co., Inc.
  4,756   38,714
*
Lantheus Holdings, Inc.
  78,028   1,366,270
#
LeMaitre Vascular, Inc.
  69,838   2,513,120
#*
LHC Group, Inc.
  68,923   10,045,527
#*
Ligand Pharmaceuticals, Inc.
  21,940   1,926,551
*
LivaNova P.L.C.
  34,061   2,315,126
 
Luminex Corp.
  95,686   2,170,637
*
MacroGenics, Inc.
  43,456   401,968
#*
Madrigal Pharmaceuticals, Inc.
  3,582   297,378
*
Magellan Health, Inc.
  51,479   3,768,778
#*
MediciNova, Inc.
  1,510   8,743
*
MEDNAX, Inc.
  44,489   1,026,361
*
Medpace Holdings, Inc.
  32,063   2,742,990
*
MEI Pharma, Inc.
  24,871   56,955
*
Menlo Therapeutics, Inc.
  1,754   8,068
 
Meridian Bioscience, Inc.
  33,377   328,430
#*
Merit Medical Systems, Inc.
  94,813   3,453,089
#
Merrimack Pharmaceuticals, Inc.
  15,020   46,111
#
Mesa Laboratories, Inc.
  7,941   2,084,036
#*
Micron Solutions, Inc.
  5,700   14,877
 
Millendo Therapeutics, Inc.
  650   5,161
#*
Minerva Neurosciences, Inc.
  93,846   762,968
*
Misonix, Inc.
  1,809   30,192
*
Molecular Templates, Inc.
  24,618   367,793
*
Momenta Pharmaceuticals, Inc.
  59,407   1,723,991
#*
MyoKardia Inc.
  8,550   581,657
*
Myriad Genetics, Inc.
  120,032   3,318,885
 
National HealthCare Corp.
  24,420   2,049,326
 
National Research Corp.
  42,285   2,861,426
*
Natus Medical, Inc.
  81,179   2,540,091
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
HEALTH CARE — (Continued)
#*
Nektar Therapeutics
  1,103   $21,939
*
Neogen Corp.
  51,156   3,441,264
#*
NeoGenomics, Inc.
  78,216   2,520,902
#
Neoleukin Therapeutics, Inc.
  8,321   102,848
*
Neuronetics, Inc.
  4,688   17,017
*
NextGen Healthcare, Inc.
  124,681   1,728,079
*
NuVasive, Inc.
  78,009   6,016,054
*
ObsEva SA
  13,479   47,850
#*
Ocular Therapeutix, Inc.
  9,395   40,962
#*
Odonate Therapeutics, Inc.
  1,825   53,290
*
Omnicell, Inc.
  97,919   7,958,856
*
Oncternal Therapeutics, Inc.
  2,045   7,648
*
Option Care Health, Inc.
  74,800   312,664
*
OraSure Technologies, Inc.
  215,440   1,518,852
*
Orthofix Medical, Inc.
  36,951   1,598,500
#*
OrthoPediatrics Corp.
  2,208   101,413
*
Otonomy, Inc.
  58,100   185,920
#
Owens & Minor, Inc.
  182,278   1,141,060
*
Oxford Immunotec Global P.L.C.
  12,375   191,565
*
Pacira BioSciences, Inc.
  32,556   1,407,070
 
Patterson Cos., Inc.
  114,050   2,510,241
*
PDL BioPharma, Inc.
  264,536   870,323
#
PDS Biotechnology Corp.
  1,525   3,752
#*
Pennant Group, Inc.
  38,759   1,023,238
#*
PetIQ, Inc.
  17,777   528,866
*
Pfenex, Inc.
  46,462   498,073
 
Phibro Animal Health Corp., Class A
  15,417   365,691
#*
Pieris Pharmaceuticals, Inc.
  23,833   88,182
#*
PolarityTE, Inc.
  3,500   10,850
*
Precipio, Inc.
  5,602   10,588
*
Premier, Inc., Class A
  9,700   337,269
#*
Prestige Consumer Healthcare, Inc.
  110,081   4,464,885
*
Pro-Dex, Inc.
  4,614   69,671
#*
Progenics Pharmaceuticals, Inc.
  60,482   269,750
#*
Protagonist Therapeutics, Inc.
  20,773   156,836
*
Prothena Corp. P.L.C.
  82,874   1,008,577
*
Providence Service Corp. (The)
  41,699   2,704,180
 
Psychemedics Corp.
  4,247   40,347
*
PTC Therapeutics, Inc.
  4,736   243,904
#*
Pulse Biosciences, Inc.
  2,000   28,000
*
Quidel Corp.
  56,818   4,363,622
*
R1 RCM, Inc.
  21,653   270,663
#*
Ra Pharmaceuticals, Inc.
  20,609   965,944
*
RadNet, Inc.
  104,073   2,348,928
*
Recro Pharma, Inc.
  1,704   28,099
#*
REGENXBIO, Inc.
  27,971   1,217,578
*
Repligen Corp.
  70,302   7,057,618
*
Retrophin, Inc.
  93,765   1,449,607
#*
Revance Therapeutics, Inc.
  41,415   926,454
#*
Rhythm Pharmaceuticals, Inc.
  9,569   167,840
#*
Rigel Pharmaceuticals, Inc.
  160,591   362,936
#*
Rocket Pharmaceuticals, Inc.
  13,919   285,061
*
RTI Surgical Holdings, Inc.
  119,696   497,935
#
Salarius Pharmaceuticals, Inc.
  900   2,250
#*
Sangamo Therapeutics, Inc.
  78,839   577,890
*
Savara, Inc.
  2,388   6,257
*
SeaSpine Holdings Corp.
  44,278   653,543
*
Select Medical Holdings Corp.
  241,318   5,511,703
#*
Sientra, Inc.
  39,942   242,049
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
HEALTH CARE — (Continued)
*
Sierra Oncology, Inc.
  200   $2,434
#*
SIGA Technologies, Inc.
  15,339   78,996
 
Simulations Plus, Inc.
  46,554   1,516,729
#*
Solid Biosciences, Inc.
  4,211   14,107
#*
Spectrum Pharmaceuticals, Inc.
  94,746   239,707
#*
Spero Therapeutics, Inc.
  7,130   65,667
*
Spring Bank Pharmaceuticals, Inc.
  1,200   1,500
#*
STAAR Surgical Co.
  3,494   117,538
#*
Stemline Therapeutics, Inc.
  11,502   76,258
*
Supernus Pharmaceuticals, Inc.
  40,886   935,063
*
Surgery Partners, Inc.
  51,746   872,955
#*
Surmodics, Inc.
  41,143   1,620,623
#*
Syndax Pharmaceuticals, Inc.
  89,566   840,129
#*
Syneos Health, Inc.
  36,008   2,209,451
#*
Synlogic, Inc.
  27,934   74,863
#*
Syros Pharmaceuticals, Inc.
  31,089   219,488
#*
Tabula Rasa HealthCare, Inc.
  453   26,306
#*
Tactile Systems Technology, Inc.
  6,981   392,262
*
Taro Pharmaceutical Industries, Ltd.
  900   72,603
#*
Teladoc Health, Inc.
  5,491   558,490
*
Tenet Healthcare Corp.
  183,364   5,801,637
#*
Tivity Health, Inc.
  88,869   1,923,570
#*
Triple-S Management Corp., Class B
  40,561   714,685
#*
Ultragenyx Pharmaceutical Inc.
  19,076   1,002,444
*
United Therapeutics Corp.
  28,622   2,795,511
 
US Physical Therapy, Inc.
  29,093   3,407,954
 
Utah Medical Products, Inc.
  12,463   1,147,468
*
Vanda Pharmaceuticals, Inc.
  28,550   364,013
*
Varex Imaging Corp.
  50,447   1,394,860
#*
Vericel Corp.
  21,195   347,598
#*
Verrica Pharmaceuticals, Inc.
  1,300   18,863
#*
ViewRay, Inc.
  20,950   65,364
#*
Vocera Communications, Inc.
  18,981   418,151
#*
WaVe Life Sciences Ltd.
  5,137   36,473
*
Wright Medical Group NV
  59,735   1,800,413
#*
Xencor, Inc.
  16,666   565,644
#*
XOMA Corp.
  1,200   27,828
#*
Zogenix, Inc.
  44,681   2,250,582
#*
Zynerba Pharmaceuticals, Inc.
  2,800   14,112
#*
Zynex, Inc.
  2,102   20,200
TOTAL HEALTH CARE
      314,742,350
INDUSTRIALS — (19.6%)
#
AAON, Inc.
  102,100   5,354,124
 
AAR Corp.
  58,300   2,482,414
 
ABM Industries, Inc.
  106,105   4,046,845
*
Acacia Research Corp.
  41,499   103,748
 
ACCO Brands Corp.
  158,432   1,368,852
 
Acme United Corp.
  10,426   249,286
 
Acuity Brands, Inc.
  180   21,217
#
ADT, Inc.
  3,390   21,018
*
Advanced Disposal Services, Inc.
  2,293   75,554
 
Advanced Drainage Systems, Inc.
  59,115   2,457,411
*
Aegion Corp.
  68,967   1,441,410
#*
Aerojet Rocketdyne Holdings, Inc.
  117,038   6,094,169
#*
Aerovironment, Inc.
  60,781   4,048,622
 
AGCO Corp.
  9,666   677,973
 
Air Lease Corp.
  74,564   3,201,778
*
Air Transport Services Group, Inc.
  135,939   2,850,641
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
 
Alamo Group, Inc.
  27,770   $3,459,031
 
Albany International Corp., Class A
  51,795   3,613,737
#
Allegiant Travel Co.
  24,746   4,158,318
 
Allied Motion Technologies, Inc.
  31,330   1,436,167
 
Altra Industrial Motion Corp.
  24,440   812,874
*
Ameresco, Inc., Class A
  40,773   782,434
#*
American Superconductor Corp.
  3,300   20,724
*
American Woodmark Corp.
  32,860   3,603,099
*
AMREP Corp.
  2,776   16,926
 
Apogee Enterprises, Inc.
  71,211   2,265,934
 
Applied Industrial Technologies, Inc.
  61,720   3,985,260
 
ArcBest Corp.
  65,791   1,467,797
 
Arcosa, Inc.
  6,546   286,388
 
Argan, Inc.
  50,230   2,115,185
*
Armstrong Flooring, Inc.
  16,320   57,773
 
Armstrong World Industries, Inc.
  65,441   6,565,696
*
ASGN, Inc.
  101,799   6,890,774
 
Astec Industries, Inc.
  63,788   2,630,617
*
Astronics Corp.
  49,595   1,249,794
#*
Astronics Corp., Class B
  8,090   204,070
*
Atkore International Group, Inc.
  52,146   2,070,196
*
Atlas Air Worldwide Holdings, Inc.
  20,162   450,621
*
Avis Budget Group, Inc.
  141,110   4,628,408
#*
Axon Enterprise, Inc.
  117,616   9,034,085
 
AZZ, Inc.
  49,211   2,030,446
 
Barnes Group, Inc.
  88,315   5,578,859
 
Barrett Business Services, Inc.
  23,420   1,939,879
*
Beacon Roofing Supply, Inc.
  109,467   3,624,452
 
BG Staffing, Inc.
  16,066   323,248
*
Blue Bird Corp.
  32,429   639,824
*
BMC Stock Holdings, Inc.
  79,274   2,313,612
 
Brady Corp., Class A
  69,846   3,867,373
#
Briggs & Stratton Corp.
  33,109   121,510
#*
BrightView Holdings, Inc.
  651   10,286
 
Brink's Co. (The)
  60,744   5,114,037
*
Builders FirstSource, Inc.
  199,520   4,947,098
#
BWX Technologies, Inc.
  58,682   3,731,588
*
CAI International, Inc.
  54,658   1,486,698
*
Casella Waste Systems, Inc., Class A
  143,196   7,330,203
*
CBIZ, Inc.
  126,222   3,407,994
*
CECO Environmental Corp.
  88,143   669,887
*
Chart Industries, Inc.
  77,086   4,931,962
 
Chicago Rivet & Machine Co.
  841   22,244
#*
Cimpress P.L.C.
  40,170   4,805,537
*
CIRCOR International, Inc.
  34,145   1,418,042
*
Clean Harbors, Inc.
  84,791   6,971,516
#*
Colfax Corp.
  125,756   4,421,581
 
Columbus McKinnon Corp.
  45,359   1,587,111
 
Comfort Systems USA, Inc.
  81,966   3,803,222
*
Commercial Vehicle Group, Inc.
  137,009   683,675
 
CompX International, Inc.
  2,107   34,028
#*
Construction Partners, Inc., Class A
  8,576   143,905
*
Continental Building Products, Inc.
  71,748   2,653,959
*
Continental Materials Corp.
  135   951
 
Copa Holdings SA, Class A
  27,455   2,689,492
 
Costamare, Inc.
  78,386   621,601
 
Covanta Holding Corp.
  165,468   2,478,711
*
Covenant Transportation Group, Inc., Class A
  27,793   352,554
*
CPI Aerostructures, Inc.
  13,295   87,747
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
 
CRA International, Inc.
  20,118   $1,071,887
 
Crane Co.
  5,500   470,030
 
CSW Industrials, Inc.
  25,145   1,908,003
#
Cubic Corp.
  49,038   3,201,691
 
Curtiss-Wright Corp.
  26,134   3,800,668
#*
Daseke, Inc.
  10,862   32,966
 
Deluxe Corp.
  77,461   3,733,620
 
Douglas Dynamics, Inc.
  74,591   3,910,806
*
Ducommun, Inc.
  21,433   877,253
*
DXP Enterprises, Inc.
  49,081   1,701,638
*
Dycom Industries, Inc.
  72,056   2,912,504
#*
Eagle Bulk Shipping, Inc.
  51,062   165,952
 
Eastern Co. (The)
  7,733   214,204
*
Echo Global Logistics, Inc.
  97,805   1,895,461
 
EMCOR Group, Inc.
  83,083   6,826,930
 
Encore Wire Corp.
  41,411   2,249,031
#*
Energy Recovery, Inc.
  7,134   72,838
 
Enerpac Tool Group Corp.
  106,321   2,457,078
 
EnerSys
  68,976   4,963,513
 
Ennis, Inc.
  63,660   1,327,948
 
EnPro Industries, Inc.
  41,842   2,445,246
 
ESCO Technologies, Inc.
  41,752   4,006,522
 
Espey Manufacturing & Electronics Corp.
  6,393   131,057
#
EVI Industries, Inc.
  837   22,398
*
Evoqua Water Technologies Corp.
  14,776   295,077
#*
ExOne Co. (The)
  1,980   13,840
 
Exponent, Inc.
  82,404   5,996,539
 
Federal Signal Corp.
  148,867   4,787,563
 
Fluor Corp.
  12,026   215,145
 
Forrester Research, Inc.
  43,589   1,803,277
 
Forward Air Corp.
  53,916   3,528,802
*
Franklin Covey Co.
  43,560   1,385,208
 
Franklin Electric Co., Inc.
  86,981   5,017,934
*
FreightCar America, Inc.
  16,882   27,180
*
FTI Consulting, Inc.
  76,280   9,158,177
#*
Gates Industrial Corp. P.L.C.
  3,358   41,874
#
GATX Corp.
  64,012   4,873,234
 
Genco Shipping & Trading, Ltd.
  47,901   376,981
*
Gencor Industries, Inc.
  35,043   392,832
*
Generac Holdings, Inc.
  75,685   7,840,209
*
Gibraltar Industries, Inc.
  65,935   3,594,776
*
GMS, Inc.
  43,380   1,159,114
*
Goldfield Corp. (The)
  21,775   74,035
 
Gorman-Rupp Co. (The)
  67,573   2,494,119
*
GP Strategies Corp.
  40,471   538,669
#
GrafTech International, Ltd.
  10,300   110,519
 
Graham Corp.
  33,735   616,676
#
Granite Construction, Inc.
  49,150   1,333,440
*
Great Lakes Dredge & Dock Corp.
  135,012   1,413,576
 
Greenbrier Cos., Inc. (The)
  63,084   1,519,694
 
Griffon Corp.
  91,355   1,899,270
 
H&E Equipment Services, Inc.
  97,220   2,635,634
*
Harsco Corp.
  125,867   1,875,418
 
Hawaiian Holdings, Inc.
  116,041   3,235,223
#*
HC2 Holdings, Inc.
  14,820   49,054
#
Healthcare Services Group, Inc.
  101,370   2,595,072
 
Heartland Express, Inc.
  152,321   2,846,879
 
Heidrick & Struggles International, Inc.
  61,616   1,751,127
 
Helios Technologies, Inc.
  46,648   1,983,473
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
*
Herc Holdings, Inc.
  37,666   $1,511,160
*
Heritage-Crystal Clean, Inc.
  40,956   1,161,103
 
Herman Miller, Inc.
  89,584   3,462,422
*
Hertz Global Holdings, Inc.
  209,182   3,296,708
*
Hill International, Inc.
  44,418   147,024
 
Hillenbrand, Inc.
  85,722   2,488,510
 
HNI Corp.
  64,401   2,316,504
*
Houston Wire & Cable Co.
  11,452   45,579
*
Hub Group, Inc., Class A
  59,349   3,137,782
 
Hurco Cos., Inc.
  17,511   548,094
*
Huron Consulting Group, Inc.
  44,790   2,902,840
 
Hyster-Yale Materials Handling, Inc.
  25,024   1,351,046
 
ICF International, Inc.
  46,923   4,109,986
*
IES Holdings, Inc.
  34,805   870,473
*
InnerWorkings, Inc.
  157,999   655,696
*
Innovative Solutions & Support, Inc.
  19,757   112,615
 
Insperity, Inc.
  57,030   4,982,711
 
Insteel Industries, Inc.
  65,862   1,473,333
 
Interface, Inc.
  122,955   1,977,116
 
ITT, Inc.
  10,458   701,523
*
JELD-WEN Holding, Inc.
  53,645   1,281,043
 
John Bean Technologies Corp.
  62,171   7,024,701
 
Kadant, Inc.
  23,091   2,461,501
 
Kaman Corp.
  50,949   3,144,572
 
Kelly Services, Inc., Class A
  58,105   1,031,945
 
Kennametal, Inc.
  129,752   4,059,940
 
Kforce, Inc.
  82,920   3,072,186
 
Kimball International, Inc., Class B
  126,118   2,368,496
*
Kirby Corp.
  73,165   5,362,263
 
Knoll, Inc.
  91,845   2,274,082
 
Korn Ferry
  114,090   4,675,408
#*
Kratos Defense & Security Solutions, Inc.
  192,292   3,526,635
 
Landstar System, Inc.
  44,453   4,923,170
*
Lawson Products, Inc.
  21,468   1,013,719
*
LB Foster Co., Class A
  24,669   418,386
*
Limbach Holdings, Inc.
  9,820   38,494
#
Lindsay Corp.
  17,072   1,707,712
#*
LS Starrett Co. (The), Class A
  1,920   10,810
 
LSI Industries, Inc.
  99,038   658,603
*
Lydall, Inc.
  52,593   1,075,001
 
Macquarie Infrastructure Corp.
  75,431   3,327,261
*
Manitex International, Inc.
  15,585   89,458
*
Manitowoc Co., Inc. (The)
  118,039   1,705,664
 
ManpowerGroup, Inc.
  7,801   713,713
 
Marten Transport, Ltd.
  131,915   2,738,555
*
Masonite International Corp.
  18,631   1,399,374
#*
MasTec, Inc.
  126,820   7,323,855
 
Matson, Inc.
  77,909   2,805,503
 
Matthews International Corp., Class A
  56,271   2,100,034
#*
Maxar Technologies, Inc.
  8,917   142,315
 
McGrath RentCorp
  35,076   2,712,076
*
Mercury Systems, Inc.
  72,666   5,577,115
#*
Meritor, Inc.
  186,477   4,085,711
*
Mesa Air Group, Inc.
  4,869   41,581
 
Miller Industries, Inc.
  28,647   985,743
*
Mistras Group, Inc.
  67,295   744,956
 
Mobile Mini, Inc.
  76,887   3,209,263
 
Moog, Inc., Class A
  48,955   4,386,858
*
MRC Global, Inc.
  199,112   2,242,001
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
#
MSA Safety, Inc.
  44,387   $6,018,877
 
MSC Industrial Direct Co., Inc., Class A
  4,036   274,731
 
Mueller Industries, Inc.
  104,433   3,046,311
 
Mueller Water Products, Inc., Class A
  320,702   3,736,178
*
MYR Group, Inc.
  49,036   1,408,314
#
National Presto Industries, Inc.
  7,886   679,694
*
Navistar International Corp.
  89,878   3,291,332
*
NL Industries, Inc.
  1,951   6,555
#
NN, Inc.
  100,041   863,354
*
Northwest Pipe Co.
  30,319   992,341
*
NOW, Inc.
  214,944   2,151,589
#*
NV5 Global, Inc.
  33,219   2,063,232
 
nVent Electric P.L.C.
  33,600   836,640
#
Omega Flex, Inc.
  22,050   2,324,070
#*
Orion Energy Systems, Inc.
  3,292   16,197
*
Orion Group Holdings, Inc.
  62,543   270,186
 
Oshkosh Corp.
  313   26,931
*
PAM Transportation Services, Inc.
  12,000   640,920
 
Park Aerospace Corp.
  71,585   1,107,420
 
Park-Ohio Holdings Corp.
  39,251   1,153,979
 
Patrick Industries, Inc.
  52,368   2,716,852
 
Patriot Transportation Holding, Inc.
  5,218   62,616
*
Perma-Pipe International Holdings, Inc.
  7,792   70,362
*
PGT Innovations, Inc.
  153,051   2,372,290
*
PICO Holdings, Inc.
  25,462   253,347
#
Pitney Bowes, Inc.
  135,043   505,061
 
Powell Industries, Inc.
  30,913   1,275,780
 
Preformed Line Products Co.
  8,043   439,309
 
Primoris Services Corp.
  92,739   1,978,123
#
Quad/Graphics, Inc.
  29,784   126,582
 
Quanex Building Products Corp.
  65,094   1,153,466
*
Radiant Logistics, Inc.
  105,596   510,029
 
Raven Industries, Inc.
  73,896   2,317,379
*
RBC Bearings, Inc.
  38,011   5,911,091
*
RCM Technologies, Inc.
  16,100   43,953
#*
Red Violet, Inc.
  1,609   34,127
 
Regal Beloit Corp.
  84,944   6,664,706
*
Resideo Technologies, Inc.
  23,046   234,608
 
Resources Connection, Inc.
  115,931   1,765,049
 
REV Group, Inc.
  30,102   301,020
*
Rexnord Corp.
  160,979   5,255,964
#*
Roadrunner Transportation Systems, Inc.
  1,100   10,967
#
RR Donnelley & Sons Co.
  55,721   133,730
 
Rush Enterprises, Inc., Class A
  46,147   1,984,321
 
Rush Enterprises, Inc., Class B
  18,930   839,735
 
Ryder System, Inc.
  1,354   64,613
*
Saia, Inc.
  68,445   5,961,559
 
Scorpio Bulkers, Inc.
  120,318   441,567
 
Servotronics, Inc.
  2,783   29,569
*
SIFCO Industries, Inc.
  6,261   28,112
 
Simpson Manufacturing Co., Inc.
  87,482   7,232,137
#*
SiteOne Landscape Supply, Inc.
  200   19,310
 
SkyWest, Inc.
  90,303   4,982,017
*
SP Plus Corp.
  47,738   1,995,926
 
Spartan Motors, Inc.
  107,673   1,830,441
*
Spirit Airlines, Inc.
  161,347   6,626,521
*
SPX Corp.
  51,556   2,529,853
*
SPX FLOW, Inc.
  75,304   3,293,797
 
Standex International Corp.
  32,398   2,367,970
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
INDUSTRIALS — (Continued)
 
Steelcase, Inc., Class A
  175,756   $3,270,819
#*
Stericycle, Inc.
  1,600   100,288
*
Sterling Construction Co., Inc.
  139,392   1,836,490
#*
Sunrun, Inc.
  89,603   1,525,939
 
Systemax, Inc.
  67,300   1,591,645
#*
Team, Inc.
  93,431   1,270,662
 
Tennant Co.
  32,204   2,486,793
 
Terex Corp.
  149,828   3,798,140
 
Tetra Tech, Inc.
  107,483   9,200,545
#*
Textainer Group Holdings, Ltd.
  48,572   459,977
*
Thermon Group Holdings, Inc.
  75,414   1,787,312
 
Timken Co. (The)
  121,901   6,403,460
 
Titan International, Inc.
  45,760   130,874
*
Titan Machinery, Inc.
  64,459   787,044
#*
TPI Composites, Inc.
  32,844   681,513
*
Transcat, Inc.
  8,529   260,987
#*
Trex Co., Inc.
  62,964   6,185,583
*
TriMas Corp.
  81,389   2,338,306
*
TriNet Group, Inc.
  64,978   3,707,645
#
Trinity Industries, Inc.
  64,680   1,314,944
 
Triton International, Ltd.
  125,382   4,708,094
#
Triumph Group, Inc.
  13,415   274,068
*
TrueBlue, Inc.
  80,832   1,771,029
*
Tutor Perini Corp.
  39,735   447,416
*
Twin Disc, Inc.
  29,463   287,264
#*
U.S. Xpress Enterprises, Inc., Class A
  3,037   16,582
*
Ultralife Corp.
  49,397   343,309
 
UniFirst Corp.
  26,680   5,440,852
#*
Univar Solutions, Inc.
  11,783   253,924
 
Universal Forest Products, Inc.
  116,525   5,581,547
 
Universal Logistics Holdings, Inc.
  34,938   590,452
 
US Ecology, Inc.
  42,546   2,297,909
#*
USA Truck, Inc.
  6,681   38,015
 
Valmont Industries, Inc.
  32,703   4,645,788
*
Vectrus, Inc.
  34,742   1,936,867
*
Veritiv Corp.
  12,547   176,662
 
Viad Corp.
  43,595   2,833,675
#*
Vicor Corp.
  25,089   1,255,704
 
Virco Manufacturing Corp.
  6,861   27,650
 
VSE Corp.
  16,296   506,969
 
Wabash National Corp.
  102,957   1,194,301
 
Watsco, Inc., Class B
  1,248   219,005
 
Watts Water Technologies, Inc., Class A
  47,698   4,755,968
#*
Welbilt, Inc.
  199,970   3,017,547
 
Werner Enterprises, Inc.
  136,384   5,027,114
*
WESCO International, Inc.
  63,502   3,074,132
#*
Willdan Group, Inc.
  15,431   511,229
*
Willis Lease Finance Corp.
  11,622   689,185
*
WillScot Corp.
  12,935   243,825
#*
YRC Worldwide, Inc.
  27,566   62,299
TOTAL INDUSTRIALS
      649,376,671
INFORMATION TECHNOLOGY — (13.8%)
#*
2U, Inc.
  13,948   276,310
#*
3D Systems Corp.
  38,901   423,632
*
A10 Networks Inc.
  10,321   70,286
#*
Acacia Communications, Inc.
  14,284   979,168
*
ACI Worldwide, Inc.
  178,832   6,160,762
#*
ACM Research, Inc., Class A
  2,776   96,438
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (Continued)
*»
Actua Corp.
  15,285   $6,802
#*
Adesto Technologies Corp.
  26,332   186,957
 
ADTRAN, Inc.
  129,463   1,171,640
#*
Advanced Energy Industries, Inc.
  83,474   5,838,172
*
Agilysys, Inc.
  83,904   2,726,880
*
Airgain, Inc.
  17,459   164,988
*
Alarm.com Holdings, Inc.
  59,267   2,603,599
*
Alithya Group, Inc., Class A
  14,711   42,515
*
Alpha & Omega Semiconductor, Ltd.
  50,233   612,340
#*
Altair Engineering, Inc., Class A
  8,136   300,625
*
Ambarella, Inc.
  31,789   1,880,001
 
American Software, Inc., Class A
  83,811   1,251,298
*
Amkor Technology, Inc.
  424,528   4,775,940
*
Amtech Systems, Inc.
  2,380   12,209
*
Anixter International, Inc.
  63,706   6,217,706
#*
Appfolio, Inc., Class A
  8,197   1,077,414
*
Arlo Technologies, Inc.
  169,960   725,729
 
AstroNova, Inc.
  6,447   80,201
#*
Asure Software, Inc.
  12,709   107,137
#*
Avaya Holdings Corp.
  34,725   443,438
*
Aviat Networks, Inc.
  4,294   58,141
#*
Avid Technology, Inc.
  378,090   3,177,846
 
Avnet, Inc.
  2,689   98,122
 
AVX Corp.
  112,370   2,277,740
*
Aware, Inc.
  34,012   122,443
*
Axcelis Technologies, Inc.
  105,863   2,556,591
*
AXT, Inc.
  107,959   421,040
#
Badger Meter, Inc.
  63,572   3,754,562
 
Bel Fuse, Inc., Class A
  2,583   36,679
 
Bel Fuse, Inc., Class B
  25,231   437,001
 
Belden, Inc.
  77,962   3,841,188
 
Benchmark Electronics, Inc.
  66,556   2,048,594
*
BK Technologies Corp.
  29,676   84,577
#
Blackbaud, Inc.
  52,217   4,090,158
#*
Blackline Inc.
  7,700   471,009
*
Bottomline Technologies De, Inc.
  55,492   2,974,371
*
Brightcove, Inc.
  18,656   161,561
 
Brooks Automation, Inc.
  104,431   3,976,733
 
Cabot Microelectronics Corp.
  44,906   6,534,272
*
CACI International, Inc., Class A
  44,362   11,864,173
*
CalAmp Corp.
  111,027   1,068,080
*
Calix, Inc.
  177,317   1,624,224
#*
Cardtronics P.L.C., Class A
  91,495   4,117,275
*
Casa Systems, Inc.
  24,010   96,280
 
Cass Information Systems, Inc.
  39,547   2,136,329
*
CCUR Holdings, Inc.
  10,672   46,957
*
CEVA, Inc.
  54,819   1,499,300
*
ChannelAdvisor Corp.
  17,394   162,808
*
Ciena Corp.
  1,404   57,101
*
Cirrus Logic, Inc.
  125,945   9,673,835
*
Clearfield, Inc.
  34,668   440,977
#*
Cloudera, Inc.
  54,340   559,159
#*
Coda Octopus Group, Inc.
  4,194   26,380
#*
Coherent, Inc.
  17,867   2,526,930
 
Cohu, Inc.
  89,121   1,993,637
*
CommScope Holding Co., Inc.
  2,024   24,662
 
Communications Systems, Inc.
  8,595   52,859
*
CommVault Systems, Inc.
  54,778   2,466,106
*
Computer Task Group, Inc.
  21,319   127,061
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (Continued)
 
Comtech Telecommunications Corp.
  61,465   $1,776,953
*
Conduent, Inc.
  164,770   705,216
 
CoreLogic, Inc.
  91,247   4,242,986
*
Cornerstone OnDemand Inc.
  440   25,872
#*
Cree, Inc.
  145,997   6,787,401
 
CSG Systems International, Inc.
  71,089   3,541,654
 
CSP, Inc.
  2,788   39,171
 
CTS Corp.
  72,034   2,111,317
*
CyberOptics Corp.
  25,529   573,637
 
Daktronics, Inc.
  165,170   974,503
#*
DASAN Zhone Solutions, Inc.
  4,099   36,317
*
Data I/O Corp.
  2,221   9,017
#*
Diebold Nixdorf, Inc.
  4,985   57,377
*
Digi International, Inc.
  54,794   865,471
#*
Digital Turbine, Inc.
  3,315   20,686
*
Diodes, Inc.
  86,720   4,478,221
*
DSP Group, Inc.
  79,696   1,152,404
#
Ebix, Inc.
  42,888   1,476,634
*
EchoStar Corp., Class A
  13,110   523,155
*
eGain Corp.
  59,104   425,549
*
EMCORE Corp.
  26,761   90,185
*
Endurance International Group Holdings, Inc.
  95,896   452,629
#*
Enphase Energy Inc.
  41,377   1,304,203
 
Entegris, Inc.
  113,644   5,882,213
*
Envestnet, Inc.
  37,174   2,931,913
*
ePlus, Inc.
  39,060   3,113,863
*
Euronet Worldwide, Inc.
  9,671   1,524,536
 
EVERTEC, Inc.
  79,709   2,675,831
*
Evo Payments, Inc., Class A
  3,400   94,214
*
ExlService Holdings, Inc.
  57,799   4,225,685
#*
Extreme Networks, Inc.
  78,118   460,896
*
Fabrinet
  77,707   4,898,649
*
FARO Technologies, Inc.
  44,491   2,298,405
#*
Finjan Holdings, Inc.
  63,242   120,160
*
FireEye, Inc.
  38,255   611,315
#*
Fitbit, Inc., Class A
  224,373   1,462,912
*
Flex, Ltd.
  11,646   153,145
*
FormFactor, Inc.
  168,244   4,258,256
*
Frequency Electronics, Inc.
  19,976   184,778
 
GlobalSCAPE, Inc.
  23,755   274,133
#*
Globant SA
  10,041   1,232,031
#*
GreenSky, Inc., Class A
  3,673   33,975
*
GSE Systems, Inc.
  17,551   25,449
*
GSI Technology, Inc.
  52,457   425,426
#*
GTT Communications, Inc.
  42,851   507,784
 
Hackett Group, Inc. (The)
  104,884   1,620,982
*
Harmonic, Inc.
  311,003   2,187,906
#*
I3 Verticals, Inc., Class A
  10,381   335,203
*
Ichor Holdings, Ltd.
  58,491   1,953,015
#*
IEC Electronics Corp.
  18,594   149,682
#*
II-VI, Inc.
  140,801   4,737,954
#*
Image Sensing Systems, Inc.
  700   3,745
#*
Immersion Corp.
  32,368   236,934
#*
Infinera Corp.
  159,946   1,178,802
*
Information Services Group, Inc.
  44,727   120,763
*
Inphi Corp.
  24,400   1,853,424
*
Insight Enterprises, Inc.
  60,629   3,993,632
 
InterDigital, Inc.
  63,560   3,511,690
#*
Internap Corp.
  14,818   14,818
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (Continued)
*
inTEST Corp.
  10,575   $57,211
*
Intevac, Inc.
  65,347   392,082
*
Iteris, Inc.
  32,287   163,372
*
Itron, Inc.
  60,646   4,957,811
#
j2 Global, Inc.
  43,034   4,125,239
 
Jabil, Inc.
  25,053   974,311
 
KBR, Inc.
  218,756   5,950,163
 
KEMET Corp.
  163,654   4,261,550
*
Key Tronic Corp.
  24,700   143,260
*
Kimball Electronics, Inc.
  54,202   876,988
*
Knowles Corp.
  209,233   4,128,167
 
Kulicke & Soffa Industries, Inc.
  117,342   3,037,984
*
KVH Industries, Inc.
  45,915   472,465
#*
Lantronix, Inc.
  17,133   65,448
*
Lattice Semiconductor Corp.
  271,513   5,050,142
*
Limelight Networks, Inc.
  358,815   1,790,487
 
Littelfuse, Inc.
  22,098   3,909,357
#*
LivePerson, Inc.
  7,174   294,206
*
LiveRamp Holdings, Inc.
  143,216   5,763,012
 
LogMeIn, Inc.
  5,000   429,850
#*
Lumentum Holdings, Inc.
  38,896   2,947,150
*
Luna Innovations, Inc.
  33,774   276,609
#*
MACOM Technology Solutions Holdings, Inc.
  56,293   1,599,847
#*
MagnaChip Semiconductor Corp.
  13,480   181,306
*
Manhattan Associates, Inc.
  114,370   9,774,060
 
ManTech International Corp., Class A
  45,781   3,675,299
 
MAXIMUS, Inc.
  8,797   631,185
*
MaxLinear, Inc.
  120,565   2,349,812
 
Methode Electronics, Inc.
  97,835   3,204,096
*
MicroStrategy, Inc., Class A
  17,235   2,620,237
*
Mimecast, Ltd.
  15,856   809,132
*
Mitek Systems, Inc.
  30,941   301,984
 
MKS Instruments, Inc.
  52,886   5,543,511
 
MTS Systems Corp.
  28,891   1,464,485
#*
Napco Security Technologies, Inc.
  52,414   1,540,972
#*
NCR Corp.
  32,742   1,104,060
*
NeoPhotonics Corp.
  160,356   1,223,516
*
NETGEAR, Inc.
  69,961   1,799,397
*
Netscout Systems, Inc.
  152,623   3,923,937
*
NetSol Technologies, Inc.
  13,690   56,814
 
Network-1 Technologies, Inc.
  8,465   21,078
 
NIC, Inc.
  117,171   2,311,784
*
Novanta, Inc.
  68,099   6,178,622
 
NVE Corp.
  12,116   888,830
*
OneSpan, Inc.
  81,793   1,359,400
*
Onto Innovation Inc.
  160,085   6,073,625
*
Optical Cable Corp.
  5,961   20,267
*
OSI Systems, Inc.
  40,047   3,465,667
#*
PAR Technology Corp.
  30,836   1,049,349
*
Paylocity Holding Corp.
  2,488   353,022
#
Paysign, Inc.
  10,269   89,751
 
PC Connection, Inc.
  63,474   3,163,544
 
PC-Tel, Inc.
  33,545   270,037
#*
PDF Solutions, Inc.
  67,444   1,062,917
#
Pegasystems, Inc.
  31,939   2,753,461
*
Perceptron, Inc.
  10,177   62,181
#*
Perficient, Inc.
  90,312   4,488,506
 
Perspecta, Inc.
  86,677   2,433,023
*
PFSweb, Inc.
  5,455   23,511
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (Continued)
*
Photronics, Inc.
  187,995   $2,402,576
*
Pixelworks, Inc.
  55,173   220,692
#
Plantronics, Inc.
  6,832   196,215
*
Plexus Corp.
  76,501   5,440,751
 
Power Integrations, Inc.
  53,191   5,195,165
#*
Powerfleet, Inc.
  16,326   123,098
*
PRGX Global, Inc.
  23,376   92,569
 
Progress Software Corp.
  87,734   3,959,435
*
Pure Storage, Inc., Class A
  42,446   755,539
 
QAD, Inc., Class A
  24,355   1,253,065
 
QAD, Inc., Class B
  4,173   156,508
#*
Qualys, Inc.
  12,606   1,080,838
*
Rambus, Inc.
  236,418   3,751,954
 
RF Industries, Ltd.
  3,591   21,510
*
Ribbon Communications, Inc.
  84,208   237,467
 
Richardson Electronics, Ltd.
  19,377   102,117
*
Rogers Corp.
  28,758   3,386,255
#*
Rosetta Stone, Inc.
  13,849   237,510
#*
SailPoint Technologies Holding, Inc.
  56,954   1,428,976
*
Sanmina Corp.
  148,533   4,729,291
#
Sapiens International Corp. NV
  11,592   294,785
*
ScanSource, Inc.
  44,998   1,569,980
 
Science Applications International Corp.
  82,169   7,211,973
*
Semtech Corp.
  80,651   3,886,572
#*
SharpSpring, Inc.
  2,936   36,289
#*
ShotSpotter, Inc.
  9,166   251,607
*
Silicon Laboratories, Inc.
  58,169   5,718,594
#*
SMART Global Holdings, Inc.
  57,753   1,741,830
*
Smith Micro Software, Inc.
  11,500   58,305
#*
SMTC Corp.
  6,433   23,963
*
SolarEdge Technologies, Inc.
  23,692   2,318,499
*
SPS Commerce, Inc.
  28,544   1,622,156
*
StarTek, Inc.
  54,384   414,950
*
Steel Connect, Inc.
  5,603   7,844
#*
Stratasys, Ltd.
  697   12,532
*
Super Micro Computer, Inc.
  6,972   194,937
*
Sykes Enterprises, Inc.
  83,905   2,818,369
#*
Synaptics, Inc.
  63,054   4,205,071
#*
Synchronoss Technologies, Inc.
  55,763   304,745
 
SYNNEX Corp.
  66,132   9,110,344
*
Tech Data Corp.
  67,381   9,698,821
#*
Telaria, Inc.
  83,370   846,206
*
Telenav, Inc.
  82,713   371,381
#*
Teradata Corp.
  8,213   199,904
 
TESSCO Technologies, Inc.
  20,018   124,112
 
TiVo Corp.
  99,652   725,467
#
TransAct Technologies, Inc.
  25,072   263,757
 
TTEC Holdings, Inc.
  78,570   3,120,800
#*
TTM Technologies, Inc.
  182,139   2,620,980
#*
Ultra Clean Holdings, Inc.
  131,442   3,024,480
#*
Unisys Corp.
  117,913   1,144,935
#*
Upland Software, Inc.
  30,710   1,198,918
*
Veeco Instruments, Inc.
  154,019   1,963,742
*
Verint Systems, Inc.
  83,349   4,834,242
#*
Veritone, Inc.
  3,826   8,570
#*
Verra Mobility Corp.
  10,041   159,953
#*
ViaSat, Inc.
  29,600   1,884,040
*
Viavi Solutions, Inc.
  108,328   1,527,425
*
Virtusa Corp.
  75,389   3,139,198
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
INFORMATION TECHNOLOGY — (Continued)
 
Vishay Intertechnology, Inc.
  235,440   $4,777,078
*
Vishay Precision Group, Inc.
  32,220   1,112,879
 
Wayside Technology Group, Inc.
  12,433   199,550
 
Xperi Corp.
  212,694   3,422,246
#*
Zix Corp.
  117,726   794,651
TOTAL INFORMATION TECHNOLOGY
      458,560,925
MATERIALS — (4.7%)
#
Advanced Emissions Solutions, Inc.
  4,865   55,412
*
AdvanSix, Inc.
  21,753   407,216
#*
AK Steel Holding Corp.
  511,027   1,410,435
*
Alcoa Corp.
  97,298   1,357,307
#*
Allegheny Technologies, Inc.
  201,035   3,467,854
 
American Vanguard Corp.
  60,425   1,128,739
#*
Ampco-Pittsburgh Corp.
  2,649   7,682
 
Ashland Global Holdings, Inc.
  5,785   427,974
 
Balchem Corp.
  48,190   5,205,484
 
Boise Cascade Co.
  86,910   3,146,142
 
Cabot Corp.
  72,120   2,873,982
 
Carpenter Technology Corp.
  93,523   3,716,604
*
Century Aluminum Co.
  208,660   1,103,811
 
Chase Corp.
  20,838   1,916,471
#
Chemours Co. (The)
  30,235   419,359
#*
Clearwater Paper Corp.
  24,248   683,794
#
Cleveland-Cliffs, Inc.
  397,434   2,789,987
*
Coeur Mining, Inc.
  353,633   2,132,407
 
Commercial Metals Co.
  207,556   4,265,276
#
Compass Minerals International, Inc.
  64,741   3,747,857
*
Core Molding Technologies, Inc.
  24,525   77,499
 
Domtar Corp.
  107,105   3,729,396
#
Eagle Materials, Inc.
  13,833   1,261,155
*
Element Solutions, Inc.
  379,481   4,439,928
*
Ferro Corp.
  151,792   2,076,515
 
Flexible Solutions International, Inc.
  3,406   7,493
*
Forterra, Inc.
  3,838   49,702
 
Friedman Industries, Inc.
  7,760   45,548
 
FutureFuel Corp.
  74,122   812,377
#*
GCP Applied Technologies, Inc.
  106,849   2,374,185
 
Gold Resource Corp.
  108,163   594,897
 
Graphic Packaging Holding Co.
  173,481   2,711,508
 
Greif, Inc., Class A
  49,097   1,984,501
 
Greif, Inc., Class B
  4,065   192,681
 
Hawkins, Inc.
  24,960   1,042,829
 
Haynes International, Inc.
  41,190   1,104,304
 
HB Fuller Co.
  94,929   4,386,669
 
Hecla Mining Co.
  369,314   1,119,021
 
Huntsman Corp.
  12,481   256,609
*
Ingevity Corp.
  56,174   3,663,668
 
Innophos Holdings, Inc.
  79,380   2,536,985
 
Innospec, Inc.
  49,454   4,981,501
*
Intrepid Potash, Inc.
  100,170   238,405
 
Kaiser Aluminum Corp.
  33,977   3,402,797
*
Koppers Holdings, Inc.
  45,150   1,416,807
*
Kraton Corp.
  61,782   1,016,314
#
Kronos Worldwide, Inc.
  92,361   1,001,193
#*
Livent Corp.
  24,042   226,235
 
Louisiana-Pacific Corp.
  206,881   6,347,109
#*
LSB Industries, Inc.
  22,431   67,742
 
Materion Corp.
  41,809   2,270,229
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
MATERIALS — (Continued)
 
Mercer International, Inc.
  103,520   $1,139,755
 
Minerals Technologies, Inc.
  61,810   3,345,775
 
Myers Industries, Inc.
  114,356   1,850,280
 
Neenah, Inc.
  39,603   2,639,144
#
Nexa Resources SA
  3,030   24,028
 
Northern Technologies International Corp.
  17,386   246,881
 
O-I Glass, Inc.
  141,378   1,784,190
 
Olin Corp.
  87,728   1,304,515
 
Olympic Steel, Inc.
  16,478   242,227
*
OMNOVA Solutions, Inc.
  111,422   1,126,476
 
PH Glatfelter Co.
  71,213   1,189,257
 
PolyOne Corp.
  131,230   4,354,211
*
PQ Group Holdings, Inc.
  11,216   171,717
#
Quaker Chemical Corp.
  3,429   569,283
#*
Ramaco Resources, Inc.
  3,731   11,454
 
Rayonier Advanced Materials, Inc.
  47,979   147,775
*
Resolute Forest Products, Inc.
  94,468   329,693
*
Ryerson Holding Corp.
  100,888   1,034,102
 
Schnitzer Steel Industries, Inc., Class A
  73,482   1,181,591
#
Schweitzer-Mauduit International, Inc.
  72,603   2,543,283
#
Scotts Miracle-Gro Co. (The)
  7,247   889,497
 
Sensient Technologies Corp.
  73,966   4,419,469
 
Silgan Holdings, Inc.
  116,633   3,599,294
 
Stepan Co.
  40,082   3,954,089
*
Summit Materials, Inc., Class A
  131,530   2,889,714
 
SunCoke Energy, Inc.
  165,468   972,952
*
Synalloy Corp.
  17,501   224,538
 
Tecnoglass, Inc.
  1,400   10,598
*
TimkenSteel Corp.
  72,888   465,025
*
Trecora Resources
  19,432   131,555
 
Tredegar Corp.
  66,287   1,348,940
 
Trinseo SA
  29,739   854,104
*
Tronox Holdings P.L.C., Class A
  163,022   1,379,166
*
UFP Technologies, Inc.
  8,145   379,801
 
United States Lime & Minerals, Inc.
  14,662   1,315,915
#
United States Steel Corp.
  140,534   1,274,643
*
Universal Stainless & Alloy Products, Inc.
  14,342   190,032
#*
US Concrete, Inc.
  58,748   2,090,841
 
Valvoline, Inc.
  42,550   896,954
*
Venator Materials P.L.C
  23,600   64,664
*
Verso Corp., Class A
  82,728   1,393,967
#
Warrior Met Coal, Inc.
  40,228   758,700
 
Worthington Industries, Inc.
  98,879   3,636,770
 
WR Grace & Co.
  13,684   921,754
TOTAL MATERIALS
      154,998,214
REAL ESTATE — (0.4%)
#*
Altisource Portfolio Solutions SA
  1,973   36,698
#*
CKX Lands, Inc.
  702   6,807
 
Consolidated-Tomoka Land Co.
  15,038   954,311
*
Cushman & Wakefield PLC
  4,576   87,951
*
Five Point Holdings LLC, Class A
  2,200   17,842
#*
Forestar Group, Inc.
  9,341   189,342
*
FRP Holdings, Inc.
  18,405   871,293
 
Griffin Industrial Realty, Inc.
  4,903   198,571
 
Kennedy-Wilson Holdings, Inc.
  157,826   3,402,729
#*
Marcus & Millichap, Inc.
  58,120   2,057,448
#*
Maui Land & Pineapple Co., Inc.
  36,053   376,754
 
Newmark Group, Inc., Class A
  37,717   443,929
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
REAL ESTATE — (Continued)
*
Rafael Holdings, Inc., Class B
  43,452   $879,468
 
RE/MAX Holdings, Inc., Class A
  34,542   1,322,268
#
Realogy Holdings Corp.
  29,413   311,484
 
RMR Group, Inc. (The), Class A
  11,648   536,623
#*
St Joe Co. (The)
  45,829   962,867
*
Stratus Properties, Inc.
  16,168   480,998
*
Tejon Ranch Co.
  56,659   912,210
#*
Trinity Place Holdings, Inc.
  27,705   91,426
TOTAL REAL ESTATE
      14,141,019
UTILITIES — (3.7%)
 
ALLETE, Inc.
  68,437   5,713,121
#
American States Water Co.
  64,605   5,721,419
*
AquaVenture Holdings, Ltd.
  15,000   405,000
 
Artesian Resources Corp., Class A
  28,411   1,071,663
 
Atlantica Yield P.L.C.
  58,326   1,675,414
#
Avista Corp.
  106,134   5,396,914
 
Black Hills Corp.
  75,388   6,259,466
 
California Water Service Group
  84,987   4,466,917
 
Chesapeake Utilities Corp.
  33,157   3,190,035
 
Clearway Energy, Inc., Class A
  42,245   874,049
 
Clearway Energy, Inc., Class C
  88,428   1,872,021
 
Consolidated Water Co., Ltd.
  28,136   481,407
 
El Paso Electric Co.
  68,846   4,687,724
#
Genie Energy, Ltd., Class B
  55,747   403,051
#
Hawaiian Electric Industries, Inc.
  33,010   1,614,519
 
IDACORP, Inc.
  38,631   4,334,012
 
MGE Energy, Inc.
  49,729   3,974,839
 
Middlesex Water Co.
  41,145   2,685,123
 
National Fuel Gas Co.
  8,135   351,351
 
New Jersey Resources Corp.
  145,601   6,016,233
 
Northwest Natural Holding Co.
  54,530   4,001,411
 
NorthWestern Corp.
  71,197   5,480,033
 
ONE Gas, Inc.
  56,950   5,381,775
#
Ormat Technologies, Inc.
  77,474   6,140,589
 
Otter Tail Corp.
  68,600   3,674,216
 
Pattern Energy Group, Inc., Class A
  80,530   2,167,062
 
PNM Resources, Inc.
  135,652   7,356,408
 
Portland General Electric Co.
  64,504   3,966,996
*
Pure Cycle Corp.
  840   10,911
 
RGC Resources, Inc.
  22,515   570,080
 
SJW Group
  40,978   3,005,736
#
South Jersey Industries, Inc.
  98,964   3,048,091
 
Southwest Gas Holdings, Inc.
  61,986   4,680,563
#
Spark Energy, Inc., Class A
  17,098   162,260
 
Spire, Inc.
  73,831   6,225,430
 
TerraForm Power, Inc., Class A
  33,045   597,784
 
Unitil Corp.
  52,373   3,230,890
Tax-Managed U.S. Small Cap Portfolio
CONTINUED
      Shares   Value†
UTILITIES — (Continued)
 
York Water Co. (The)
  34,366   $1,627,574
TOTAL UTILITIES
      122,522,087
TOTAL COMMON STOCKS
      3,129,527,582
PREFERRED STOCKS — (0.0%)
COMMUNICATION SERVICES — (0.0%)
 
GCI Liberty, Inc.
  11,079   301,903
RIGHTS/WARRANTS — (0.0%)
CONSUMER DISCRETIONARY — (0.0%)
*»
Social Reality, Inc. Rights 12/31/19, Class A
  10,334   310
TOTAL INVESTMENT SECURITIES

(Cost $1,808,366,783)
      3,129,829,795
    
         
TEMPORARY CASH INVESTMENTS — (0.3%)
 
State Street Institutional U.S. Government Money Market Fund 1.518%
  11,668,312 11,668,312
SECURITIES LENDING COLLATERAL — (5.4%)
@§
The DFA Short Term Investment Fund
  15,438,173 178,650,540
TOTAL INVESTMENTS — (100.0%)  
(Cost $1,998,645,755)^^
    $3,320,148,648
Summary of the Portfolio's investments as of January 31, 2020, based on their valuation inputs, is as follows (see Security Valuation Note):
  Investments in Securities (Market Value)
  Level 1   Level 2   Level 3   Total
Common Stocks              
Communication Services
$103,510,071   —   —   $103,510,071
Consumer Discretionary
428,200,312   $6,116   —   428,206,428
Consumer Staples
119,392,458   —   —   119,392,458
Energy
99,456,095   —   —   99,456,095
Financials
664,541,930   79,334   —   664,621,264
Health Care
314,591,788   150,562   —   314,742,350
Industrials
649,376,671   —   —   649,376,671
Information Technology
458,554,123   6,802   —   458,560,925
Materials
154,998,214   —   —   154,998,214
Real Estate
14,141,019   —   —   14,141,019
Utilities
122,522,087   —   —   122,522,087
Preferred Stocks              
Communication Services
301,903   —   —   301,903
Rights/Warrants              
Consumer Discretionary
—   310   —   310
Temporary Cash Investments
11,668,312   —   —   11,668,312
Securities Lending Collateral
—   178,650,540   —   178,650,540
TOTAL
$3,141,254,983   $178,893,664   —   $3,320,148,647
ORGANIZATION
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are generally offered to institutional investors, retirement plans and clients of registered investment advisors. At January 31, 2020, the Fund consisted of one hundred and five operational portfolios, (the "Portfolios") all of which are included in this document. The Fund’s advisor is Dimensional Fund Advisors LP (the "Advisor"). Some of the portfolios of the Fund are feeder funds in a master-feeder structure. The master funds are part of other entities that are also managed by the Advisor. The Schedules of Investments for the master funds have been included in this document.
SECURITY VALUATION
The Portfolios use a fair value hierarchy, which prioritizes the inputs-to-valuation techniques used to measure fair value into three broad levels described below:
•    Level 1 - inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies and futures contracts)
•    Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
•    Level 3 - significant unobservable inputs (including the Portfolios' own assumptions in determining the fair value of investments)
The Funds of Funds (International Small Company Portfolio, Global Small Company Portfolio, World ex U.S. Value Portfolio, Selectively Hedged Global Equity Portfolio, Dimensional Retirement Income Fund, Dimensional 2045 Target Date Retirement Income Fund, Dimensional 2050 Target Date Retirement Income Fund, Dimensional 2055 Target Date Retirement Income Fund, Dimensional 2060 Target Date Retirement Income Fund, Dimensional 2065 Target Date Retirement Income Fund, Dimensional 2005 Target Date Retirement Income Fund, Dimensional 2010 Target Date Retirement Income Fund, Dimensional 2015 Target Date Retirement Income Fund, Dimensional 2020 Target Date Retirement Income Fund, Dimensional 2025 Target Date Retirement Income Fund, Dimensional 2030 Target Date Retirement Income Fund, Dimensional 2035 Target Date Retirement Income Fund, Dimensional 2040 Target Date Retirement Income Fund, World Core Equity Portfolio, Global Social Core Equity Portfolio, DFA VA Global Moderate Allocation Portfolio and VA Equity Allocation Portfolio) invest in the funds indicated on the Schedule of Investments ("Underlying Funds"). The DFA Global Real Estate Securities Portfolio may pursue its investment objective by investing its assets in its Underlying Funds and/or directly in securities of companies in the real estate industry. Each of the DFA Diversified Fixed Income Portfolio and DFA Global Core Plus Fixed Income Portfolio may pursue its investment objective by investing its assets in its Underlying Funds and/or directly in fixed income securities. Each Feeder Fund (U.S. Large Cap Value Portfolio, Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, United Kingdom Small Company Portfolio, Continental Small Company Portfolio, Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value Portfolio and Tax-Managed U.S. Marketwide Value Portfolio) invests primarily in a corresponding master fund(s) ("Master Fund"). Shares held by the Portfolios in other investment companies (such as the Master Funds and the Underlying Funds) are valued at their respective daily net asset values as reported by their administrator. The Portfolios’ investments in the series of The DFA Investment Trust Company or in Dimensional Emerging Markets Value Fund reflect their proportionate interest in the net assets of such corresponding Master Fund. These valuations are classified as Level 1 in the hierarchy.
Securities held by the Domestic Equity Portfolios (U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio, DFA Real Estate Securities Portfolio, U.S. Large Cap Equity Portfolio, U.S. Social Core Equity 2 Portfolio, U.S. Sustainability Core 1 Portfolio, Tax Managed U.S. Equity Portfolio, Tax-Managed U.S. Targeted Value Portfolio, Tax-Managed U.S. Small Cap Portfolio, T.A. U.S. Core Equity 2 Portfolio, VA U.S. Targeted Value Portfolio, VA U.S. Large Value Portfolio, U.S. Large Cap Growth Portfolio, U.S. Small Cap Growth Portfolio, and U.S. High Relative Profitability Portfolio) and the International Equity Portfolios (Large Cap International Portfolio, International Core Equity Portfolio, DFA International Real Estate Securities Portfolio, DFA International Small Cap Value Portfolio, International Vector Equity Portfolio, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio, Emerging Markets Core Equity Portfolio, International Sustainability Core 1 Portfolio, International Social Core Equity Portfolio, Emerging Markets Social Core Equity Portfolio, Tax-Managed DFA International Value Portfolio, T.A. World ex U.S. Core Equity Portfolio, VA International Value Portfolio, VA International Small Portfolio,
International Large Cap Growth Portfolio, International Small Cap Growth Portfolio, International High Relative Profitability Portfolio, Emerging Markets Sustainability Core 1 Portfolio and Emerging Markets Targeted Value Portfolio), including over-the-counter securities, are valued at the last quoted sale price of the day. International equity securities are subject to a fair value factor, as described later in this note. Securities held by the Domestic Equity Portfolios and the International Equity Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Domestic Equity Portfolios and the International Equity Portfolios value the securities within the range of the most recent quoted bid and ask prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end management investment companies are valued using their respective net asset values or public offering prices, as appropriate, for purchase orders placed at the close of the New York Stock Exchange (NYSE). These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors of the Fund. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of the Advisor) occur before the net asset value of the Portfolio is calculated. When fair value pricing is used, the prices of securities used by the Domestic Equity Portfolios and the International Equity Portfolios may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy.
The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the time at which the net asset values of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the pricing of the International Equity Portfolios’ shares (at the close of the NYSE), the International Equity Portfolios will fair-value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets’ perceptions and trading activities on the International Equity Portfolios’ foreign investments since the last calculated closing prices of the foreign investments on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors of the International Equity Portfolios has determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the International Equity Portfolios uses data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When an International Equity Portfolio uses fair value pricing, the values assigned to the International Equity Portfolio’s foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy.
Debt securities held by Enhanced U.S. Large Company Portfolio, DFA Commodity Strategy Portfolio, DFA One-Year Fixed Income Portfolio, DFA Two-Year Global Fixed Income Portfolio, DFA Selectively Hedged Global Fixed Income Portfolio, DFA Short-Term Government Portfolio, DFA Five-Year Global Fixed Income Portfolio, DFA World ex U.S. Government Fixed Income, DFA Intermediate Government Fixed Income Portfolio, DFA Short-Term Extended Quality Portfolio, DFA Intermediate-Term Extended Quality Portfolio, DFA Targeted Credit Portfolio, DFA Investment Grade Portfolio, DFA Inflation-Protected Securities Portfolio, DFA Short-Term Municipal Bond Portfolio, DFA Intermediate-Term Municipal Bond Portfolio, DFA California Short-Term Municipal Bond Portfolio, DFA California Intermediate-Term Municipal Bond Portfolio, DFA NY Municipal Bond Fund, DFA Short-Duration Real Return Portfolio, DFA Municipal Real Return Portfolio, DFA Municipal Bond Portfolio, DFA LTIP Portfolio, VA Short-Term Fixed Portfolio, VA Global Bond Portfolio, VIT Inflation-Protected Securities Portfolio, DFA Social Fixed Income Portfolio, DFA Diversified Fixed Income Portfolio, DFA MN Municipal Bond Portfolio, DFA California Municipal Real Return Portfolio, DFA Global Sustainability Fixed Income Portfolio, DFA Global Core Plus Fixed Income Portfolio and DFA Oregon Municipal Bond Portfolio are valued on the basis of evaluated prices provided by one or more pricing services or other reasonably reliable sources including broker/dealers that typically handle the purchase and sale of such securities. Securities that are traded over-the-counter and on a stock exchange generally will be valued according to the broadest and most representative market, and it is expected that for bonds and other fixed income securities, this ordinarily will be the over-the-counter market. Securities for which quotations are not readily available
(including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors of the Fund. These valuations are generally categorized as Level 2 in the hierarchy.
Listed derivatives, such as futures, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts, do not require material subjectivity as pricing inputs are observed from quoted markets and are categorized as Level 2 in the hierarchy.
Swap agreements will be valued at the price provided by an independent third-party pricing service or source. If a price is not available from an independent third-party pricing service or source, the swap agreement will be valued in good faith at fair value in accordance with procedures adopted by the Board. These securities are generally categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Portfolios' investments by each major security type, industry and/or country is disclosed previously in this note. A valuation hierarchy table has been included at the end of the Schedule of Investments for the Portfolios (except for the Feeder Funds). The methodology or inputs used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
FINANCIAL INSTRUMENTS
In accordance with the Portfolios' investment objectives and policies, the Portfolios may invest either directly or indirectly (through their investments in a corresponding Master/Underlying Fund), in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below:
1.    TREASURY INFLATION-PROTECTED SECURITIES (TIPS): VIT Inflation-Protected Securities Portfolio, DFA Inflation-Protected Securities Portfolio, and DFA Short-Duration Real Return Portfolio may purchase TIPS, which are securities issued by the U.S. Treasury. Because the interest and/or principal payments on an inflation-protected security are adjusted periodically for changes in inflation, the income distributed by the Portfolio may be irregular. In addition, the current market value of inflation-protected securities is not guaranteed and will fluctuate.
2.    FOREIGN MARKET RISKS: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Portfolios may be inhibited.
Derivative Financial Instruments
Summarized below are the specific types of derivative instruments used by the Portfolios:
3.    FORWARD CURRENCY CONTRACTS: The Portfolios listed below may acquire and sell forward currency contracts to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies (foreign exchange rate risk) or to transfer balances from one currency to another currency. The Selectively Hedged Global Equity Portfolio and Enhanced U.S Large Company Portfolio may hedge some or all of the currency exposure of its foreign securities by entering into forward currency contracts. The decision to hedge the Selectively Hedged Global Equity Portfolio’s and Enhanced U.S. Large Company Portfolio’s currency exposure with respect to a foreign market will be based primarily on the Portfolio’s existing exposure to a given foreign currency. Each contract is valued daily and the change in value is recorded by the Portfolio as an unrealized gain or loss, which is presented in the Statements of Operations as the change in unrealized appreciation or depreciation of forward currency contracts. When the contract is closed or offset with the same counterparty, the Portfolio records a realized gain or loss equal to the change in the value of the contract when it was opened and the value at the time it was closed or offset. This is presented in the Statements of Operations as a net realized gain or loss on forward currency contracts. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currency relative to the U.S. dollar.
4.    FUTURES CONTRACTS: Each Portfolio listed below may purchase or sell futures contracts and options on futures contracts for equity securities and indices to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The Portfolios, however, do not intend to sell futures contracts to establish short
positions in individual securities. The Enhanced U.S. Large Company Portfolio may also use futures contracts and options thereon to hedge against securities prices or as part of its overall investment strategy. The Selectively Hedged Global Equity Portfolio may also use futures contracts to hedge some or all of the currency exposure of its foreign securities. Upon entering into a futures contract, the Portfolios deposit cash or pledge U.S. Government securities to a broker in an amount equal to the minimum "initial margin" requirements of the exchange on which the contract is traded . Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as "variation margin" and are recorded daily by the Portfolios as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolios record a realized gain or loss, which is presented in the Statements of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The DFA Commodity Strategy Portfolio may enter into commodity, foreign currency, interest rate and commodity or securities index futures contracts and purchase and write (sell) related options traded on exchanges designated by the Commodity Futures Trading Commission ("CFTC") or, consistent with CFTC regulations, on foreign exchanges. The DFA Commodity Strategy Portfolio invests in futures contracts on individual commodities or commodity indices and options on them through the Portfolio’s investment in the Dimensional Cayman Commodity Fund I, LTD., the "Subsidiary."
A commodity futures contract provides for the future sale by one party and the future purchase by the other party of a specified amount of a commodity, such as an energy, agricultural or metal commodity, at a specified price, date, time and place. A foreign currency futures contract provides for the future sale by one party and the future purchase by the other party of a certain amount of a specified non-U.S. currency at a specified price, date, time and place. An interest rate futures contract provides for the future sale by one party and the purchase by the other party of a certain amount of a specific interest-rate-sensitive financial instrument (debt security) at a specified price, date, time and place. Securities and commodities indexes are typically capitalization-or production-weighted, respectively. A securities index or commodities index futures contract is an agreement to be settled by delivery of an amount of cash equal to a specified multiplier times the difference between the value of the index at the close of the last trading day on the contract and the price at which the agreement is made. The clearing house of the exchange on which a futures contract is entered into becomes the counterparty to each purchaser and seller of the futures contract.
Payments, known as "variation margin", to and from the broker will be made daily as the currency, financial instrument or index underlying the futures contract fluctuates, making the long and short positions in the futures contract more or less valuable, a process known as "marking-to-market". As a result of the small margin deposit that is required, a small change in the market price of a futures contract can produce major losses.
At any time prior to the expiration of a futures contract, a Portfolio may elect to close the position by taking an opposite position, which will operate to terminate the Portfolio’s existing position in the contract. Positions in futures contracts and options on futures contracts (described below) may be closed out only on the exchange on which they were entered into (or through a linked exchange). However, there is no assurance that an active market will exist at any particular time. Once the daily fluctuation limit has been reached in a particular contract, most futures exchanges restrict trades at a price beyond that limit or trading may be suspended for specified periods during the day. Such restrictions may prevent prompt liquidation of futures positions at an advantageous price, potentially subjecting the Portfolio to substantial losses. In such event and in the event of adverse price movements, the Portfolio would be required to make daily cash payments of variation margin. Losses incurred in futures transactions and the costs of these transactions will affect the Portfolio’s performance.
The price volatility of commodity futures contracts has been historically greater than that for traditional securities, such as stocks and bonds, and there are a variety of factors associated with commodity futures contracts which may subject the Portfolio’s investments in the contracts to greater volatility than investments in traditional securities.
Risks may arise upon entrance into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Portfolios could lose more than the initial margin requirements. The Portfolios entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related
to exchange-traded futures is minimal because the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. Risks may also arise upon entering into commodity-linked derivative instruments. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting an industry or commodity.
5.    OPTIONS ON FUTURES CONTRACTS: The DFA Commodity Strategy Portfolio may purchase and write put and call options on foreign currency, interest rate and stock and commodity index futures contracts and may enter into closing transactions with respect to such options to terminate existing positions. There is no guarantee that such closing transactions can be effected; the ability to establish and close out positions on such options will be subject to the existence of a liquid market.
An option on a currency, interest rate or commodity or securities index futures contract, as contrasted with the direct investment in such a contract, gives the purchaser the right, in return for the premium paid, to assume a position in a futures contract at a specified exercise price at any time prior to the expiration date of the option. The writer of the option is required upon exercise to assume an offsetting futures position (a short position if the option is a call and a long position if the option is a put). Upon exercise of an option, the delivery of the futures position by the writer of the option to the holder of the option will be accompanied by delivery of the accumulated balance in the writer’s futures margin account, which represents the amount by which the market price of the futures contract exceeds, in the case of a call, or is less than, in the case of a put, the exercise price of the option on the futures contract. The potential loss related to the purchase of an option on a futures contract is limited to the premium paid for the option (plus transaction costs). The value of the option changes daily and that change is reflected in the net asset value of the Portfolio.
The DFA Commodity Strategy Portfolio may enter into options and futures transactions for several purposes, including generating current income to offset expenses or increase return and as hedges to reduce investment risk, generally by making an investment expected to move in the opposite direction of a portfolio position. A hedge is designed to offset a loss in a portfolio position with a gain in the hedged position; at the same time, however, a properly correlated hedge will result in a gain in the portfolio position being offset by a loss in the hedged position.
6.    COMMODITY-LINKED DERIVATIVES: DFA Commodity Strategy Portfolio may gain exposure to commodity markets by investing up to 25% of the Portfolio’s total assets in the Subsidiary. The Subsidiary may invest without limitation in swap agreements, commodity options, futures, options on futures and structured notes. The prices of commodity-linked derivative instruments may move in different directions than investments in traditional equity securities, fixed income securities and commodity spot prices. The accompanying consolidated schedule of investments includes investments of DFA Commodity Strategy Portfolio and its wholly-owned Subsidiary. The accompanying consolidated schedule of investments includes investments of DFA Commodity Strategy Portfolio and its wholly-owned Subsidiary. As of January 31, 2020, the DFA Commodity Strategy Portfolio held $283,235,776 in the Subsidiary, representing 20.48% of DFA Commodity Strategy Portfolio’s total assets.
7.    SWAP AGREEMENTS: The DFA Short-Duration Real Return Portfolio and DFA Municipal Real Return Portfolio may enter into credit default swap agreements. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than one year. Some types of swap agreements are negotiated bilaterally and traded over-the-counter between the two parties (uncleared swaps), while other swaps are transacted through a futures commission merchant ("FCM") and cleared through a clearinghouse that serves as a central counterparty (cleared swaps), and may be traded on swap execution facilities (exchanges). The most common types of credit default swaps and interest rate swaps are subject to mandatory central clearing and exchange trading.
The Portfolios may enter into a credit default swap on a single security or instrument (sometimes referred to as a "CDS" transaction) or on a basket or index of securities (sometimes referred to as a "CDX" transaction). The "buyer" in a credit default contract typically is obligated to pay the "seller" a periodic stream of payments over the term of the contract, provided that no credit event with respect to any underlying reference obligation has occurred. If a credit event occurs, the seller typically must pay the buyer the "par value" (full notional value) of the reference obligation in exchange for the reference obligation. The Portfolios may be either the buyer or the seller in the transaction. If a Portfolio is a buyer and no credit event occurs, the Portfolio may lose its investment and recover nothing. However, if a credit event occurs, the buyer typically receives full notional value for a reference obligation that may have little or no value. As a seller, a Portfolio typically receives a fixed rate of income throughout the term of the contract, which
typically is between six months and three years, provided a credit event does not occur. If a credit event occurs, the seller typically must pay the buyer the full notional amount of the reference obligation. The most common types of CDX are subject to mandatory central clearing and exchange-trading.
Credit default swaps involve greater risks than if the Portfolios had invested in the reference obligation directly, since, in addition to general market risks, credit default swaps are subject to illiquidity risk, counterparty risk and credit risk. A buyer also will lose its investment and recover nothing should no credit event occur and the swap is held to its termination date. If a credit event were to occur, the value of any deliverable obligation received by the seller, coupled with the up-front or periodic payments previously received, may be less than the full notional value the seller pays to the buyer, resulting in a loss of value to the Portfolio. When a Portfolio acts as a seller of a credit default swap, the Portfolio is exposed to many of the same risks of leverage since, if a credit event occurs, the seller may be required to pay the buyer the full notional value of the contract net of any amounts owed by the buyer related to its delivery of deliverable obligations.
The DFA Short-Duration Real Return Portfolio and DFA Municipal Real Return Portfolio may also enter into inflation swap agreements to seek inflation protection. Inflation swap agreements are contracts in which one party agrees to pay the cumulative percentage increase in a price index (the Consumer Price Index with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), and the other pays a compounded fixed rate. Inflation swap agreements may be used by the DFA Short-Duration Real Return Portfolio and DFA Municipal Real Return Portfolio to hedge the inflation risk in nominal bonds (i.e., non-inflation-indexed bonds) thereby creating "synthetic" inflation-indexed bonds.
Among other reasons, one factor that may lead to changes in the values of inflation swap agreements are changes in real interest rates. Real interest rates are tied to the relationship between nominal interest rates and the rate of inflation. If nominal interest rates increase at a faster rate than inflation, real interest rates may rise, which may lead to a change in the value of an inflation swap agreement. Additionally, payments received by the DFA Short-Duration Real Return Portfolio and DFA Municipal Real Return Portfolio from inflation swap agreements will result in taxable income, either as ordinary income or capital gains, which will increase the amount of taxable distributions received by shareholders. Inflation swap agreements are not currently subject to mandatory central clearing and exchange-trading.
The DFA Municipal Real Return Portfolio may also enter into interest rate swaps to hedge against changes in interest rates. Interest rate swaps involve the exchange by the Portfolio with another party of their respective commitments to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) with respect to a notional amount of principal.
Uncleared swaps are typically executed bilaterally with a swap dealer rather than traded on exchanges. Parties to uncleared swaps face greater counterparty credit risk than those engaging in cleared swaps since performance of uncleared swap obligations is the responsibility only of the swap counterparty rather than a clearing house, as is the case with cleared swaps. As a result, a Portfolio bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default, insolvency or bankruptcy of a swap agreement counterparty beyond any collateral received. In such an event, the Portfolio will have contractual remedies pursuant to the swap agreements, but bankruptcy and insolvency laws could affect the Portfolio’s rights as a creditor.
The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (the "Dodd-Frank Act") and implementing rules adopted by the CFTC currently require the clearing and exchange-trading of the most common types of credit default index swaps and interest rate swaps, and it is expected that additional categories of swaps will in the future be designated as subject to mandatory clearing and trade execution requirements. Central clearing is intended to reduce counterparty credit risk and increase liquidity, but central clearing does not eliminate these risks completely. There is also a risk of loss by a Portfolio of the initial and variation margin deposits in the event of bankruptcy of the FCM with which the Portfolio has an open position, or the central counterparty in a swap contract. The assets of a Portfolio may not be fully protected in the event of the bankruptcy of the FCM or central counterparty because the Portfolio might be limited to recovering only a pro rata share of all available funds and margin segregated on behalf of an FCM’s customers.
The Advisor and the Fund do not believe that a Portfolio’s obligations under swap contracts are senior securities and, accordingly, the Portfolio will not treat them as being subject to the Portfolio’s borrowing or senior securities restrictions. However, with respect to swap contracts that provide for the netting of payments, the net amount of the excess, if any, of the Portfolio’s obligations over its entitlements with respect to each swap contract will be accrued
on a daily basis and an amount of segregated assets having an aggregate market value at least equal to the accrued excess will be maintained to cover the transactions in accordance with SEC positions. With respect to swap contracts that do not provide for the netting of payments by the counterparties, the full notional amount for which the Portfolio is obligated under the swap contract with respect to each swap contract will be accrued on a daily basis and assets having an aggregate market value at least equal to the accrued full notional value will be segregated and maintained to cover the transactions in accordance with SEC positions. To the extent that a Portfolio cannot dispose of a swap in the ordinary course of business within seven days at approximately the value at which the Portfolio has valued the swap, the Portfolio will treat the swap as illiquid and subject to its overall limit on illiquid investments of 15% of the Portfolio’s net assets.
The Dodd-Frank Act and related regulatory developments have imposed comprehensive new regulatory requirements on swaps and swap market participants. The regulation of cleared and uncleared swaps, as well as other derivatives, is a rapidly changing area of law and is subject to modification by government and judicial action. In addition, the SEC, CFTC and the exchanges are authorized to take extraordinary actions in the event of a market emergency, including, for example, the implementation or reduction of speculative position limits, the implementation of higher margin requirements, the establishment of daily price limits and the suspension of trading. It is not possible to predict fully the effects of current or future regulation. New requirements, even if not directly applicable to a Portfolio, may increase the cost of the Portfolio’s investments and cost of doing business. It is possible that developments in the swaps market, including potential government regulation, could adversely affect a Portfolio’s ability to terminate existing swap agreements or to realize amounts to be received under such agreements.
FEDERAL TAX COST
At January 31, 2020, the total cost of securities for federal income tax purposes was:
  Federal
Tax Cost
Enhanced U.S. Large Company Portfolio
$405,881
U.S. Large Cap Value Portfolio
18,954,751
U.S. Targeted Value Portfolio
9,965,212
U.S. Small Cap Value Portfolio
12,084,514
U.S. Core Equity 1 Portfolio
17,701,809
U.S. Core Equity 2 Portfolio
18,606,894
U.S. Vector Equity Portfolio
3,133,898
U.S. Small Cap Portfolio
14,287,958
U.S. Micro Cap Portfolio
4,926,037
DFA Real Estate Securities Portfolio
7,158,931
Large Cap International Portfolio
4,517,536
International Core Equity Portfolio
28,669,076
International Small Company Portfolio
11,914,168
Global Small Company Portfolio
41,430
Japanese Small Company Portfolio
499,335
Asia Pacific Small Company Portfolio
339,996
United Kingdom Small Company Portfolio
23,352
Continental Small Company Portfolio
621,018
DFA International Real Estate Securities Portfolio
6,421,669
DFA Global Real Estate Securities Portfolio
7,885,149
DFA International Small Cap Value Portfolio
13,279,234
International Vector Equity Portfolio
2,495,149
World ex U.S. Value Portfolio
280,688
World ex U.S. Targeted Value Portfolio
562,152
World ex U.S. Core Equity Portfolio
3,649,418
Selectively Hedged Global Equity Portfolio
293,856
Emerging Markets Portfolio
4,062,162
Emerging Markets Small Cap Portfolio
6,350,220
  Federal
Tax Cost
Emerging Markets Value Portfolio
$16,156,510
Emerging Markets Core Equity Portfolio
25,589,831
U.S. Large Cap Equity Portfolio
1,090,378
DFA Commodity Strategy Portfolio
2,300,574
DFA One-Year Fixed Income Portfolio
7,620,783
DFA Two-Year Global Fixed Income Portfolio
5,769,937
DFA Selectively Hedged Global Fixed Income Portfolio
1,293,512
DFA Short-Term Government Portfolio
2,180,002
DFA Five-Year Global Fixed Income Portfolio
15,222,770
DFA World ex U.S. Government Fixed Income Portfolio
1,486,077
DFA Intermediate Government Fixed Income Portfolio
5,406,989
DFA Short-Term Extended Quality Portfolio
6,702,569
DFA Intermediate-Term Extended Quality Portfolio
2,010,743
DFA Targeted Credit Portfolio
805,518
DFA Investment Grade Portfolio
10,645,807
DFA Inflation-Protected Securities Portfolio
4,696,198
DFA Short-Term Municipal Bond Portfolio
2,579,715
DFA Intermediate-Term Municipal Bond Portfolio
2,046,961
DFA California Short-Term Municipal Bond Portfolio
1,215,954
DFA California Intermediate-Term Municipal Bond Portfolio
528,510
DFA NY Municipal Bond Portfolio
119,568
Dimensional Retirement Income Fund
18,475
Dimensional 2045 Target Date Retirement Income Fund
62,620
Dimensional 2050 Target Date Retirement Income Fund
45,905
Dimensional 2055 Target Date Retirement Income Fund
27,820
Dimensional 2060 Target Date Retirement Income Fund
20,690
Dimensional 2065 Target Date Retirement Income Fund
43
Dimensional 2005 Target Date Retirement Income Fund
5,963
Dimensional 2010 Target Date Retirement Income Fund
15,270
Dimensional 2015 Target Date Retirement Income Fund
41,805
Dimensional 2020 Target Date Retirement Income Fund
99,178
Dimensional 2025 Target Date Retirement Income Fund
139,209
Dimensional 2030 Target Date Retirement Income Fund
126,554
Dimensional 2035 Target Date Retirement Income Fund
98,983
Dimensional 2040 Target Date Retirement Income Fund
81,307
DFA Short-Duration Real Return Portfolio
1,485,177
DFA Municipal Real Return Portfolio
873,499
DFA Municipal Bond Portfolio
514,843
World Core Equity Portfolio
776,832
DFA LTIP Portfolio
195,074
U.S. Social Core Equity 2 Portfolio
920,921
U.S. Sustainability Core 1 Portfolio
1,720,156
International Sustainability Core 1 Portfolio
1,412,482
International Social Core Equity Portfolio
1,191,553
Global Social Core Equity Portfolio
62,902
Emerging Markets Social Core Equity Portfolio
1,276,533
Tax-Managed U.S. Marketwide Value Portfolio
2,895,584
Tax-Managed U.S. Equity Portfolio
1,945,209
  Federal
Tax Cost
Tax-Managed U.S. Targeted Value Portfolio
$3,303,677
Tax-Managed U.S. Small Cap Portfolio
1,999,689
T.A. U.S. Core Equity 2 Portfolio
6,082,189
Tax-Managed DFA International Value Portfolio
3,603,076
T.A. World ex U.S. Core Equity Portfolio
3,476,699
VA U.S. Targeted Value Portfolio
353,011
VA U.S. Large Value Portfolio
463,175
VA International Value Portfolio
360,383
VA International Small Portfolio
262,878
VA Short-Term Fixed Portfolio
326,365
VA Global Bond Portfolio
420,705
VIT Inflation-Protected Securities Portfolio
121,591
DFA VA Global Moderate Allocation Portfolio
119,530
U.S. Large Cap Growth Portfolio
1,871,213
U.S. Small Cap Growth Portfolio
685,469
International Large Cap Growth Portfolio
449,698
International Small Cap Growth Portfolio
201,617
DFA Social Fixed Income Portfolio
330,445
DFA Diversified Fixed Income Portfolio
1,132,332
U.S. High Relative Profitability Portfolio
1,663,043
International High Relative Profitability Portfolio
704,445
VA Equity Allocation Portfolio
71,486
DFA MN Municipal Bond Portfolio
76,413
DFA California Municipal Real Return Portfolio
147,088
DFA Global Core Plus Fixed Income Portfolio
1,787,603
Emerging Markets Sustainability Core 1 Portfolio
326,121
Emerging Markets Targeted Value Portfolio
122,963
DFA Global Sustainability Fixed Income Portfolio
366,120
DFA Oregon Municipal Bond Portfolio
29,628
RECENTLY ISSUED ACCOUNTING STANDARDS
In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2017-08 which changes the amortization period for a callable debt security from the maturity date to the earliest call date. The ASU is effective for annual periods beginning after December 15, 2018, and interim periods within those annual periods. Management has evaluated the requirements of this update and does not expect any material impact to the Fund's financial statements.
In August 2018, the FASB issued ASU No. 2018-13, “Fair Value Measurements” (“ASU 2018-13”). This update makes certain removals from, changes to and additions to existing disclosure requirements for fair value measurement. ASU 2018-13 does not change fair value measurements already required or permitted by existing standards. ASU 2018-13 is effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Portfolios’ early adoption of all of the ASU 2018-13 disclosure requirements are reflected within these financial statements prepared as of October 31, 2019.
OTHER
The Portfolios are subject to claims and suits that arise from time to time in the ordinary course of business. Although management currently believes that resolving claims against us, individually or in aggregate, will not have a material adverse impact on our financial position, our results of operations, or our cash flows, these matters are subject to inherent uncertainties and management’s view of these matters may change in the future.
The U.S. Large Cap Value Series, The Tax-Managed U.S. Marketwide Value Series and VA U.S. Large Value Portfolio have been named as defendants in a multi-district litigation pending in the United States District Court for the Southern District of New York (the "Court"), captioned IN RE TRIBUNE COMPANY FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune MDL"). The Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company ("Tribune") (the "LBO") and Tribune’s subsequent bankruptcy and reorganization. In connection with the LBO, thousands of Tribune shareholders, including The U.S. Large Cap Value Series, The Tax-Managed U.S. Marketwide Value Series and VA U.S. Large Value Portfolio sold Tribune shares back to Tribune for $34 per share. The Tribune MDL includes a series of lawsuits brought by individual creditors of Tribune (the "Individual Creditor Actions") and a lawsuit brought by a court-appointed trustee (the "Trustee") on behalf of the committee of unsecured creditors of Tribune (the "Committee Action," and with the Individual Creditor Actions, collectively referred to as the "Lawsuits"). The Lawsuits seek to unwind the LBO stock repurchases as fraudulent transfers and recover the stock repurchase proceeds paid to the Tribune shareholders who participated in the LBO.
On September 23, 2013, the Court entered an order dismissing the Individual Creditor Actions in their entirety on the grounds that the individual creditor plaintiffs lacked standing to pursue their claims. The parties appealed the Court’s dismissal order to the United States Court of Appeals for the Second Circuit (the “Second Circuit”) and on March 29, 2016, the Second Circuit affirmed the dismissal, albeit on the grounds that the individual creditor plaintiffs’ claims were preempted by the Bankruptcy Code’s safe harbor for securities transactions. The individual creditor plaintiffs filed a petition for certiorari with the Supreme Court of the United States (the Supreme Court ), seeking review of the Second Circuit’s ruling. Thereafter, the individual creditor plaintiffs moved the Second Circuit to review its prior ruling in light of the Supreme Court’s decision in MERIT MANAGEMENT GROUP, LP v. FTI CONSULTING, INC., 138 S.Ct. 883 (2018) (“Merit Mgmt.”), which addressed the scope of the Bankruptcy Code’s safe harbor for securities transactions. The Second Circuit agreed to review the matter and withdrew its mandate with respect to the affirmance of the dismissal order. Consequently, the Supreme Court dismissed the individual creditor plaintiffs’ petition for certiorari. The Second Circuit’s review is pending.
On January 6, 2017, the Court granted the shareholder defendants’ motion to dismiss the claims against them in the Committee Action. The Trustee moved for leave from the Court to file an amended complaint to assert new constructive fraudulent transfer claims against the shareholder defendants in light of the Merit Mgmt. decision. The Court denied the motion, ruling that the proposed amendment would unduly prejudice the shareholder defendants and would be futile because the Trustee’s proposed constructive fraudulent transfer claims would be barred by the Bankruptcy Code’s safe harbor for securities transactions, notwithstanding the Merit Mgmt. decision. The Trustee appealed the Court’s dismissal order and order denying the Trustee’s motion for leave to amend to the Second Circuit. The Second Circuit appeal is pending.
Litigation counsel to The U.S. Large Cap Value Series, The Tax-Managed U.S. Marketwide Value Series and VA U.S. Large Value Portfolio in the Lawsuits has advised management that it does not believe that it is possible to predict with any reasonable certainty the probable outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap Value Series, The Tax-Managed U.S. Marketwide Value Series and VA U.S. Large Value Portfolio arising from the Lawsuits. Until The U.S. Large Cap Value Series, The Tax-Managed U.S. Marketwide Value Series and VA U.S. Large Value Portfolio can do so, no reduction of the respective net asset values of The U.S. Large Cap Value Series, The Tax-Managed U.S. Marketwide Value Series and VA U.S. Large Value Portfolio will be made relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain the full recovery the plaintiffs seek, the amount would be less than 1% of the respective net asset values of The U.S. Large Cap Value Series, The Tax-Managed U.S. Marketwide Value Series and VA U.S. Large Value Portfolio at this time.
The U.S. Large Cap Value Series, The Tax-Managed U.S. Marketwide Value Series and VA U.S. Large Value Portfolio also cannot quantify the cost of the Lawsuits that could potentially be deducted from their respective net asset values. Therefore, at this time, those investors buying or redeeming shares of The U.S. Large Cap Value Series, The Tax-Managed U.S. Marketwide Value Series and VA U.S. Large Value Portfolio will pay or receive, as the case may be, a price based on the respective net asset values of The U.S. Large Cap Value Series, The Tax-Managed U.S. Marketwide Value Series and VA U.S. Large Value Portfolio, with no adjustment relating to the Lawsuits. The attorneys’ fees and costs relating to the Lawsuits will be borne by The U.S. Large Cap Value Series, The Tax-Managed U.S. Marketwide Value Series and VA U.S. Large Value Portfolio as incurred and in a manner similar to any other expenses incurred by The U.S. Large Cap Value Series , The Tax-Managed U.S. Marketwide Value Series and VA U.S. Large Value Portfolio.
SUBSEQUENT EVENT EVALUATIONS
Management has evaluated the impact of all subsequent events on the Portfolios through the date on which the financial statements were issued and has determined that there are no subsequent events requiring recognition or disclosure in the Schedules of Investments.