Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $586,800,748 | $— | $— | $586,800,748 | |||
Short-Term Investments | 38,644,823 | — | — | 38,644,823 | |||
Total Investments at Value | $625,445,571 | $— | $— | $625,445,571 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
3 | Long | S&P 500 E-Mini Index | September 2022 | $632,894 | $593,475 | $(39,419) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $79,355,489 | $— | $— | $79,355,489 | |||
Corporate Bonds & Notes | — | 15,281,418 | — | 15,281,418 | |||
Asset Backed Securities | — | 8,566,491 | — | 8,566,491 | |||
Collateralized Mortgage Obligations: | |||||||
Commercial and Residential | — | 1,645,420 | 112,789 | 1,758,209 | |||
Other Industries | — | 2,625,135 | — | 2,625,135 | |||
U.S. Government & Agency Obligations | — | 22,979,089 | — | 22,979,089 | |||
Escrows and Litigation Trusts | — | 176 | — | 176 | |||
Short-Term Investments | 1,069,223 | — | — | 1,069,223 | |||
Repurchase Agreements | — | 5,164,593 | — | 5,164,593 | |||
Total Investments at Value | $80,424,712 | $56,262,322 | $112,789 | $136,799,823 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $39,419 | $— | $— | $39,419 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Commercial Services | $12,163,191 | $1,132,873 | $— | $13,296,064 | |||
Diversified Financial Services | 43,533,435 | — | 793,493 | 44,326,928 | |||
Internet | 195,045,358 | 3,081,493 | — | 198,126,851 | |||
Other Industries | 411,584,964 | — | — | 411,584,964 | |||
Convertible Preferred Stocks | — | — | 302,896 | 302,896 | |||
Corporate Bonds & Notes | — | 1,319,750 | — | 1,319,750 | |||
Short-Term Investments | 3,247,476 | — | — | 3,247,476 | |||
Total Investments at Value | $665,574,424 | $5,534,116 | $1,096,389 | $672,204,929 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Security Description | Shares or Principal Amount | Value | ||
SHORT-TERM INVESTMENTS — 1.4% | ||||
Unaffiliated Investment Companies — 1.4% | ||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 2.25%(1) (cost $1,766,777) | 1,766,777 | $ 1,766,777 | ||
TOTAL INVESTMENTS (cost $101,891,358) | 100.0% | 128,798,823 | ||
Other assets less liabilities | 0.0 | 20,442 | ||
NET ASSETS | 100.0% | $128,819,265 |
† | Non-income producing security |
(1) | The rate shown is the 7-day yield as of August 31, 2022. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $127,032,046 | $— | $— | $127,032,046 | |||
Short-Term Investments | 1,766,777 | — | — | 1,766,777 | |||
Total Investments at Value | $128,798,823 | $— | $— | $128,798,823 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $283,022,770 | $— | $— | $283,022,770 | |||
Short-Term Investments | 32,282,686 | — | — | 32,282,686 | |||
Total Investments at Value | $315,305,456 | $— | $— | $315,305,456 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $— | $965,415,222 | $— | $965,415,222 | |||
Asset Backed Securities | — | 38,317,524 | — | 38,317,524 | |||
Collateralized Mortgage Obligations | — | 39,625,375 | — | 39,625,375 | |||
U.S. Government & Agency Obligations | — | 1,741,051,052 | — | 1,741,051,052 | |||
Foreign Government Obligations | — | 12,114,208 | — | 12,114,208 | |||
Common Stocks | — | — | 3,724,460 | 3,724,460 | |||
Preferred Stocks | 22,774 | — | — | 22,774 | |||
Escrows and Litigation Trusts | — | 744 | — | 744 | |||
Short-Term Investments | 121,821,536 | — | — | 121,821,536 | |||
Total Investments at Value | $121,844,310 | $2,796,524,125 | $3,724,460 | $2,922,092,895 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Aerospace/Defense | $23,463,879 | $14,358,369 | $— | $37,822,248 | |||
Healthcare-Products | 33,159,024 | 10,087,210 | — | 43,246,234 | |||
Home Furnishings | — | 7,743,182 | — | 7,743,182 | |||
Insurance | 69,611,072 | 5,257,299 | — | 74,868,371 | |||
Machinery-Construction & Mining | — | 8,026,678 | — | 8,026,678 | |||
Miscellaneous Manufacturing | — | 6,152,502 | — | 6,152,502 | |||
Oil & Gas | 44,858,506 | 21,048,667 | — | 65,907,173 | |||
Pharmaceuticals | 68,117,041 | 41,982,598 | — | 110,099,639 | |||
Semiconductors | 17,146,259 | 9,886,035 | — | 27,032,294 | |||
Other Industries | 789,790,129 | — | — | 789,790,129 | |||
Short-Term Investments | 52,277,275 | — | — | 52,277,275 | |||
Total Investments at Value | $1,098,423,185 | $124,542,540 | $— | $1,222,965,725 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
30 | Long | S&P 500 E-Mini Index | September 2022 | $ 6,229,161 | $ 5,934,750 | $(294,411) |
80 | Short | S&P 500 E-Mini Index | September 2022 | 15,602,750 | 15,826,000 | (223,250) |
$(517,661) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $130,629,353 | $— | $— | $130,629,353 | |||
U.S. Government & Agency Obligations | — | 23,463,325 | — | 23,463,325 | |||
Purchased Options | — | 1,848,325 | — | 1,848,325 | |||
Short-Term Investments | 5,576,480 | — | — | 5,576,480 | |||
Total Investments at Value | $136,205,833 | $25,311,650 | $— | $161,517,483 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $517,661 | $— | $— | $517,661 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Industry Allocation* | |
Banks | 15.0% |
Semiconductors | 14.2 |
Internet | 9.4 |
Oil & Gas | 7.1 |
Telecommunications | 4.3 |
Retail | 3.9 |
Food | 3.8 |
Insurance | 3.6 |
Chemicals | 3.5 |
Diversified Financial Services | 3.4 |
Electric | 3.2 |
Beverages | 2.3 |
Auto Manufacturers | 2.2 |
Transportation | 2.2 |
Mining | 2.1 |
Home Furnishings | 2.0 |
Gas | 1.8 |
Real Estate | 1.7 |
Engineering & Construction | 1.7 |
Software | 1.5 |
Agriculture | 1.3 |
Iron/Steel | 1.2 |
Electrical Components & Equipment | 1.0 |
Aerospace/Defense | 0.9 |
Energy-Alternate Sources | 0.8 |
Healthcare-Services | 0.8 |
Computers | 0.7 |
Electronics | 0.7 |
Pharmaceuticals | 0.5 |
Industry Allocation* (continued) | |
Miscellaneous Manufacturing | 0.5% |
Auto Parts & Equipment | 0.4 |
Short-Term Investments | 0.4 |
Airlines | 0.3 |
Distribution/Wholesale | 0.3 |
Commercial Services | 0.3 |
Entertainment | 0.3 |
99.3% |
* | Calculated as a percentage of net assets |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Bermuda | $4,554,843 | $4,091,807 | $1,502,960 | $10,149,610 | |||
Brazil | 46,541,893 | — | — | 46,541,893 | |||
Chile | 3,390,858 | — | — | 3,390,858 | |||
Colombia | 1,565,543 | — | — | 1,565,543 | |||
India | 22,784,648 | 34,542,977 | — | 57,327,625 | |||
Mexico | 34,789,424 | — | — | 34,789,424 | |||
Panama | 1,783,774 | — | — | 1,783,774 | |||
Russia | — | — | 0 | 0 | |||
South Africa | 1,765,966 | 28,310,871 | — | 30,076,837 | |||
Taiwan | 248,800 | 62,407,545 | — | 62,656,345 | |||
Thailand | 5,732,119 | — | — | 5,732,119 | |||
Other Countries | — | 325,936,493 | — | 325,936,493 | |||
Short-Term Investments | 2,091,977 | — | — | 2,091,977 | |||
Total Investments at Value | $125,249,845 | $455,289,693 | $1,502,960 | $582,042,498 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Security Description | Shares or Principal Amount | Value | ||
COMMON STOCKS (continued) | ||||
United States (continued) | ||||
Welltower, Inc. | 91,310 | $ 6,998,912 | ||
Weyerhaeuser Co. | 162,053 | 5,535,730 | ||
272,863,409 | ||||
Total Long-Term Investment Securities (cost $555,508,019) | 496,848,023 | |||
SHORT-TERM INVESTMENTS — 1.0% | ||||
Unaffiliated Investment Companies — 1.0% | ||||
State Street Institutional U.S. Government Money Market Fund, Administration Class 2.00%(2) (cost $4,887,043) | 4,887,043 | 4,887,043 | ||
TOTAL INVESTMENTS (cost $560,395,062) | 99.3% | 501,735,066 | ||
Other assets less liabilities | 0.7 | 3,761,048 | ||
NET ASSETS | 100.0% | $505,496,114 |
† | Non-income producing security |
# | The security or a portion thereof is out on loan.At August 31, 2022, the Fund had loaned securities with a total value of $11,579,078. This was secured by collateral of $12,299,125 received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly, are not reflected in the Fund's assets and liabilities. |
Securities | Coupon Range | Maturity Date Range | Value as of August 31, 2022 |
United States Treasury Bills | 0.00% | 10/06/2022 | $173,417 |
United States Treasury Notes/Bonds | 0.13% to 3.12% | 09/30/2022 to 05/15/2051 | 12,125,708 |
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Global Real Estate Fund has no right to demand registration of these securities. At August 31, 2022, the aggregate value of these securities was $10,613,359 representing 2.1% of net assets. |
(1) | Securities classified as Level 3 (see Note 1). |
(2) | The rate shown is the 7-day yield as of August 31, 2022. |
Industry Allocation* | |
REITS | 79.5% |
Real Estate | 17.1 |
Short-Term Investments | 1.0 |
Engineering & Construction | 0.7 |
Home Builders | 0.5 |
Lodging | 0.3 |
Telecommunications | 0.2 |
99.3% |
* | Calculated as a percentage of net assets |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Australia | $— | $21,579,935 | $1,493 | $21,581,428 | |||
Canada | 17,873,103 | — | — | 17,873,103 | |||
United States | 272,863,409 | — | — | 272,863,409 | |||
Other Countries | — | 184,530,083 | — | 184,530,083 | |||
Short-Term Investments | 4,887,043 | — | — | 4,887,043 | |||
Total Investments at Value | $295,623,555 | $206,110,018 | $1,493 | $501,735,066 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
24 | Short | S&P 500 E-Mini Index | September 2022 | $4,963,523 | $4,747,800 | $215,723 |
Unrealized (Depreciation) | ||||||
5 | Long | Euro Buxl 30 Year Bonds | September 2022 | $ 952,487 | $ 827,074 | $(125,413) |
64 | Long | U.S. Treasury 10 Year Notes | December 2022 | 7,531,104 | 7,482,000 | (49,104) |
77 | Long | U.S. Treasury Ultra Bonds | December 2022 | 11,512,996 | 11,511,500 | (1,496) |
$(176,013) | ||||||
Net Unrealized Appreciation (Depreciation) | $39,710 |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Forward Foreign Currency Contracts | |||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
HSBC Bank PLC | EUR | 1,030,000 | USD | 1,058,870 | 11/02/2022 | $ 19,504 | $ — |
Forward Foreign Currency Contracts — (continued) | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
USD | 112,702 | EUR | 110,000 | 11/02/2022 | $ — | $ (1,702) | ||
USD | 4,149,107 | JPY | 560,000,000 | 09/26/2022 | — | (110,594) | ||
19,504 | (112,296) | |||||||
JPMorgan Chase Bank, N.A. | COP | 3,220,000,000 | USD | 737,244 | 10/27/2022 | 16,973 | — | |
GBP | 9,180,000 | USD | 10,872,861 | 12/05/2022 | 189,983 | — | ||
JPY | 1,482,000,000 | USD | 11,094,517 | 09/26/2022 | 406,880 | — | ||
USD | 6,872,965 | JPY | 922,000,000 | 09/26/2022 | — | (223,841) | ||
613,836 | (223,841) | |||||||
Unrealized Appreciation (Depreciation) | $633,340 | $(336,137) |
COP—Columbian Peso |
EUR—Euro Currency |
GBP—British Pound |
JPY—Japanese Yen |
USD—United States Dollar |
Industry Allocation* | |
Short-Term Investments | 6.9% |
Foreign Government Obligations | 5.7 |
Internet | 5.5 |
Oil & Gas | 5.5 |
Telecommunications | 5.3 |
Software | 4.6 |
Pharmaceuticals | 4.4 |
Banks | 4.0 |
Computers | 3.6 |
Collateralized Mortgage Obligations | 3.6 |
Investment Companies | 3.3 |
Retail | 3.1 |
Diversified Financial Services | 3.1 |
Semiconductors | 2.8 |
Electric | 2.7 |
REITS | 2.4 |
Insurance | 2.4 |
U.S. Government & Agency Obligations | 2.3 |
Auto Manufacturers | 2.0 |
Chemicals | 2.0 |
Food | 2.0 |
Transportation | 1.7 |
Electronics | 1.5 |
Healthcare-Products | 1.5 |
Healthcare-Services | 1.5 |
Aerospace/Defense | 1.5 |
Biotechnology | 1.2 |
Media | 1.2 |
Commercial Services | 1.1 |
Beverages | 1.1 |
Agriculture | 1.0 |
Airlines | 0.9 |
Mining | 0.9 |
Iron/Steel | 0.8 |
Private Equity | 0.6 |
Cosmetics/Personal Care | 0.6 |
Pipelines | 0.6 |
Building Materials | 0.5 |
Gas | 0.5 |
Distribution/Wholesale | 0.5 |
Machinery-Construction & Mining | 0.5 |
Packaging & Containers | 0.4 |
Entertainment | 0.4 |
Industry Allocation* (continued) | |
Toys/Games/Hobbies | 0.3% |
Real Estate | 0.3 |
Lodging | 0.3 |
Engineering & Construction | 0.3 |
Machinery-Diversified | 0.2 |
Electrical Components & Equipment | 0.2 |
Household Products/Wares | 0.2 |
Home Builders | 0.2 |
Apparel | 0.2 |
Home Furnishings | 0.2 |
Oil & Gas Services | 0.2 |
Miscellaneous Manufacturing | 0.1 |
Office/Business Equipment | 0.1 |
Environmental Control | 0.1 |
Holding Companies-Diversified | 0.1 |
Hand/Machine Tools | 0.1 |
Coal | 0.1 |
Leisure Time | 0.1 |
Shipbuilding | 0.1 |
Forest Products & Paper | 0.1 |
101.2% |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Bermuda | $273,354 | $132,380 | $11,876 | $417,610 | |||
Brazil | 613,352 | — | — | 613,352 | |||
Canada | 3,880,169 | — | — | 3,880,169 | |||
Cayman Islands | 713,000 | 1,420,719 | — | 2,133,719 | |||
Chile | 254,935 | — | — | 254,935 | |||
Cyprus | — | — | 0 | 0 | |||
Ireland | 317,472 | 385,354 | — | 702,826 | |||
Israel | 299,638 | 621,869 | — | 921,507 | |||
Mexico | 424,867 | — | — | 424,867 | |||
Netherlands | 488,289 | 2,287,002 | — | 2,775,291 | |||
Russia | — | — | 0 | 0 | |||
Sweden | 6,293 | 767,274 | — | 773,567 | |||
Switzerland | 122,929 | 2,447,846 | — | 2,570,775 | |||
Thailand | 146,962 | — | — | 146,962 | |||
United Kingdom | 234,727 | 3,599,283 | — | 3,834,010 | |||
United States | 72,635,970 | — | — | 72,635,970 | |||
Other Countries | — | 35,747,112 | — | 35,747,112 | |||
Corporate Bonds & Notes | — | 52,939,782 | — | 52,939,782 | |||
Collateralized Mortgage Obligations | — | 7,884,937 | — | 7,884,937 | |||
U.S. Government & Agency Obligations | — | 4,889,090 | — | 4,889,090 | |||
Foreign Government Obligations | — | 12,404,853 | — | 12,404,853 | |||
Short-Term Investments | 15,166,774 | — | — | 15,166,774 | |||
Total Investments at Value | $95,578,731 | $125,527,501 | $11,876 | $221,118,108 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $215,723 | $— | $— | $215,723 | |||
Forward Foreign Currency Contracts | — | 633,340 | — | 633,340 | |||
Total Other Financial Instruments | $215,723 | $633,340 | $— | $849,063 |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $176,013 | $— | $— | $176,013 | |||
Forward Foreign Currency Contracts | — | 336,137 | — | 336,137 | |||
Total Other Financial Instruments | $176,013 | $336,137 | $— | $512,150 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $— | $12,185,509 | $— | $12,185,509 | |||
Asset Backed Securities | — | 5,911,490 | — | 5,911,490 | |||
Collateralized Mortgage Obligations | — | 42,870,934 | — | 42,870,934 | |||
U.S. Government & Agency Obligations | — | 153,633,988 | — | 153,633,988 | |||
Foreign Government Obligations | — | 2,498,836 | — | 2,498,836 | |||
Municipal Securities | — | 268,299 | — | 268,299 | |||
Short-Term Investments | 317,608 | — | — | 317,608 | |||
Repurchase Agreements | — | 11,206,365 | — | 11,206,365 | |||
Total Investments at Value | $317,608 | $228,575,421 | $— | $228,893,029 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
2 | Long | S&P 500 E-Mini Index | September 2022 | $374,023 | $395,650 | $21,627 |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Apparel | $7,684,306 | $19,750,561 | $— | $27,434,867 | |||
Entertainment | 166,767 | 12,584,707 | — | 12,751,474 | |||
Healthcare-Services | 21,322,023 | 19,552,676 | — | 40,874,699 | |||
Other Industries | 831,048,023 | — | — | 831,048,023 | |||
Convertible Preferred Stocks | — | — | 7,956,393 | 7,956,393 | |||
Unaffiliated Investment Companies | 5,021,100 | — | — | 5,021,100 | |||
Short-Term Investments: | |||||||
U.S. Government | — | 99,541 | — | 99,541 | |||
Other Short-Term Investments | 16,970,552 | — | — | 16,970,552 | |||
Total Investments at Value | $882,212,771 | $51,987,485 | $7,956,393 | $942,156,649 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $21,627 | $— | $— | $21,627 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Forward Foreign Currency Contracts | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
BNP Paribas SA | EUR | 8,327,000 | USD | 8,310,096 | 09/30/2022 | $— | $(73,501) |
EUR—Euro Currency |
USD—United States Dollar |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $— | $399,652,275 | $— | $399,652,275 | |||
Convertible Bonds & Notes | — | 5,718,585 | — | 5,718,585 | |||
Loans | — | 15,538,368 | — | 15,538,368 | |||
Common Stocks: | |||||||
Coal | — | 39,952 | — | 39,952 | |||
Other Industries | 1,534,085 | — | — | 1,534,085 | |||
Short-Term Investments | 8,497,895 | — | — | 8,497,895 | |||
Repurchase Agreements | — | 1,380,348 | — | 1,380,348 | |||
Total Investments at Value | $10,031,980 | $422,329,528 | $— | $432,361,508 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Forward Foreign Currency Contracts | $— | $73,501 | $— | $73,501 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Interest Rate Swaps | ||||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value | ||
Bank of America, N.A. | 75,000,000 | USD | Fixed 3.430% | 12-Month USA CPI | Maturity | Maturity | Apr 2027 | $— | $547,050 | $547,050 | ||
Goldman Sachs International | 12,000,000 | USD | Fixed 3.490 | 12-Month USA CPI | Maturity | Maturity | Apr 2027 | — | 51,590 | 51,590 | ||
$— | $598,640 | $598,640 |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
167 | Long | U.S. Treasury Ultra Bonds | December 2022 | $ 24,782,303 | $ 24,966,500 | $ 184,197 |
352 | Short | Canada 10 Year Bonds | December 2022 | 33,552,639 | 33,392,226 | 160,413 |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
658 | Short | Canada 5 Year Bonds | December 2022 | 56,724,895 | $ 56,498,770 | $ 226,125 |
41 | Short | Euro Buxl 30 Year Bonds | September 2022 | 7,153,682 | 6,782,008 | 371,674 |
174 | Short | Euro-BTP | September 2022 | 21,538,634 | 20,897,682 | 640,952 |
37 | Short | Euro-Bund | September 2022 | 5,545,824 | 5,501,993 | 43,831 |
430 | Short | Euro-Schatz | September 2022 | 47,274,496 | 46,933,494 | 341,002 |
89 | Short | Long Gilt | December 2022 | 11,318,841 | 11,159,029 | 159,812 |
575 | Short | U.S. Treasury 2 Year Notes | December 2022 | 120,024,810 | 119,788,672 | 236,138 |
443 | Short | U.S. Treasury 5 Year Notes | December 2022 | 49,258,464 | 49,093,398 | 165,066 |
99 | Short | U.S. Treasury Long Bonds | December 2022 | 13,463,186 | 13,448,531 | 14,655 |
$2,543,865 |
Unrealized (Depreciation) | ||||||
127 | Long | Australian 10 Year Bonds | September 2022 | $10,517,523 | $10,424,427 | $ (93,096) |
Net Unrealized Appreciation (Depreciation) | $2,450,769 |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Forward Foreign Currency Contracts | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
Australia & New Zealand Banking Group | NZD | 2,545,000 | USD | 1,610,247 | 09/21/2022 | $ 53,169 | $ — | |
Barclays Bank PLC | MXN | 171,635,000 | USD | 8,227,146 | 09/21/2022 | — | (261,715) | |
USD | 1,246,125 | EUR | 1,173,000 | 09/21/2022 | — | (65,850) | ||
— | (327,565) | |||||||
BNP Paribas SA | EUR | 50,276,000 | USD | 54,065,805 | 09/21/2022 | 3,478,005 | — | |
EUR | 334,000 | USD | 333,322 | 09/30/2022 | — | (2,948) | ||
3,478,005 | (2,948) | |||||||
Deutsche Bank AG | USD | 1,920,441 | AUD | 2,765,000 | 09/21/2022 | — | (27,941) | |
USD | 1,655,478 | CAD | 2,140,000 | 09/21/2022 | — | (26,283) | ||
— | (54,224) | |||||||
Goldman Sachs International | CAD | 6,495,000 | USD | 5,022,465 | 09/21/2022 | 77,781 | — | |
USD | 5,717,687 | CAD | 7,305,000 | 09/21/2022 | — | (156,345) | ||
USD | 1,825,748 | EUR | 1,693,000 | 09/21/2022 | — | (122,249) | ||
77,781 | (278,594) | |||||||
Morgan Stanley & Co. International PLC | AUD | 61,828,000 | USD | 44,410,481 | 09/21/2022 | 2,092,400 | — | |
BRL | 45,473,000 | USD | 8,140,676 | 09/21/2022 | — | (560,293) | ||
CAD | 2,050,000 | USD | 1,596,398 | 09/21/2022 | 35,720 | — | ||
2,128,120 | (560,293) | |||||||
Royal Bank of Canada | CAD | 2,010,000 | USD | 1,564,574 | 09/21/2022 | 34,348 | — | |
Standard Chartered Bank | USD | 1,742,806 | CAD | 2,255,000 | 09/21/2022 | — | (26,061) | |
USD | 1,352,384 | NZD | 2,170,000 | 09/21/2022 | — | (24,738) | ||
— | (50,799) | |||||||
State Street Bank & Trust Co. | EUR | 1,176,000 | USD | 1,199,970 | 09/21/2022 | 16,677 | — | |
Toronto Dominion Bank | CAD | 154,553,000 | USD | 123,110,562 | 09/21/2022 | 5,448,412 | — | |
UBS AG | EUR | 1,700,000 | USD | 1,727,523 | 09/21/2022 | 16,980 | — | |
NZD | 70,253,000 | USD | 45,215,533 | 09/21/2022 | 2,233,461 | — | ||
USD | 1,255,595 | EUR | 1,178,000 | 09/21/2022 | — | (70,289) | ||
2,250,441 | (70,289) | |||||||
Unrealized Appreciation (Depreciation) | $13,486,953 | $(1,344,712) |
AUD—Australian Dollar |
BRL—Brazilian Real |
CAD—Canadian Dollar |
EUR—Euro Currency |
MXN—Mexican Peso |
NZD—New Zealand Dollar |
USD—United States Dollar |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $— | $19,630,215 | $— | $19,630,215 | |||
Loans | — | 22,028,228 | — | 22,028,228 | |||
Asset Backed Securities | — | 39,077,306 | — | 39,077,306 | |||
Collateralized Mortgage Obligations | — | 19,697,342 | — | 19,697,342 | |||
U.S. Government & Agency Obligations | — | 464,407,548 | — | 464,407,548 | |||
Foreign Government Obligations | — | 262,445,830 | — | 262,445,830 | |||
Municipal Securities | — | 8,710,528 | — | 8,710,528 | |||
Escrows and Litigation Trusts | — | — | 2,100 | 2,100 | |||
Repurchase Agreements | — | 29,275,166 | — | 29,275,166 | |||
Total Investments at Value | $— | $865,272,163 | $2,100 | $865,274,263 | |||
Other Financial Instruments:† | |||||||
Swaps | $— | $598,640 | $— | $598,640 | |||
Futures Contracts | 2,543,865 | — | — | 2,543,865 | |||
Forward Foreign Currency Contracts | — | 13,486,953 | — | 13,486,953 | |||
Total Other Financial Instruments | $2,543,865 | $14,085,593 | $— | $16,629,458 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $93,096 | $— | $— | $93,096 | |||
Forward Foreign Currency Contracts | — | 1,344,712 | — | 1,344,712 | |||
Total Other Financial Instruments | $93,096 | $1,344,712 | $— | $1,437,808 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
782 | Long | MSCI EAFE Index | September 2022 | $72,065,159 | $71,439,610 | $(625,549) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Industry Allocation* | |
Banks | 9.6% |
Pharmaceuticals | 8.8 |
Food | 4.7 |
Insurance | 4.7 |
Industry Allocation* (continued) | |
Oil & Gas | 4.5% |
Short-Term Investments | 3.6 |
Repurchase Agreements | 3.6 |
Telecommunications | 3.4 |
Auto Manufacturers | 3.3 |
Mining | 2.8 |
Chemicals | 2.8 |
Electric | 2.8 |
Semiconductors | 2.7 |
Commercial Services | 2.6 |
Unaffiliated Investment Companies | 2.4 |
Apparel | 2.1 |
Cosmetics/Personal Care | 2.1 |
Healthcare-Products | 2.0 |
Beverages | 1.9 |
Machinery-Diversified | 1.9 |
Transportation | 1.7 |
Retail | 1.6 |
Building Materials | 1.6 |
Electronics | 1.5 |
Distribution/Wholesale | 1.4 |
Diversified Financial Services | 1.2 |
Software | 1.2 |
Aerospace/Defense | 1.2 |
Computers | 1.2 |
Internet | 1.1 |
Real Estate | 1.0 |
Biotechnology | 1.0 |
REITS | 0.9 |
Engineering & Construction | 0.9 |
Agriculture | 0.9 |
Electrical Components & Equipment | 0.9 |
Healthcare-Services | 0.9 |
Machinery-Construction & Mining | 0.8 |
Home Furnishings | 0.8 |
Miscellaneous Manufacturing | 0.8 |
Entertainment | 0.7 |
Auto Parts & Equipment | 0.7 |
Household Products/Wares | 0.6 |
Forest Products & Paper | 0.5 |
Private Equity | 0.5 |
Investment Companies | 0.4 |
Iron/Steel | 0.4 |
Toys/Games/Hobbies | 0.4 |
Media | 0.4 |
Food Service | 0.4 |
Gas | 0.4 |
Office/Business Equipment | 0.3 |
Water | 0.3 |
Home Builders | 0.2 |
Hand/Machine Tools | 0.2 |
Lodging | 0.2 |
Advertising | 0.2 |
Energy-Alternate Sources | 0.2 |
Leisure Time | 0.2 |
Metal Fabricate/Hardware | 0.1 |
Holding Companies-Diversified | 0.1 |
Pipelines | 0.1 |
102.4% |
* | Calculated as a percentage of net assets |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Australia | $— | $112,272,291 | $2,601 | $112,274,892 | |||
Cayman Islands | 2,907,083 | 7,314,069 | — | 10,221,152 | |||
Israel | 3,735,232 | 7,929,239 | — | 11,664,471 | |||
Netherlands | 610,753 | 75,040,509 | — | 75,651,262 | |||
Sweden | 88,140 | 43,805,261 | — | 43,893,401 | |||
United Kingdom | 2,613,085 | 199,812,590 | — | 202,425,675 | |||
Other Countries | — | 932,756,254 | — | 932,756,254 | |||
Unaffiliated Investment Companies | 35,218,360 | — | — | 35,218,360 | |||
Warrants | 60,759 | — | — | 60,759 | |||
Rights | 48,116 | — | — | 48,116 | |||
Short-Term Investments: | |||||||
U.S. Government | — | 11,528,996 | — | 11,528,996 | |||
Other Short-Term Investments | 42,991,033 | — | — | 42,991,033 | |||
Repurchase Agreements | — | 53,106,121 | — | 53,106,121 | |||
Total Investments at Value | $88,272,561 | $1,443,565,330 | $2,601 | $1,531,840,492 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $625,549 | $— | $— | $625,549 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Industry Allocation* | |
Foreign Government Obligations | 53.5% |
U.S. Government & Agency Obligations | 34.0 |
Electric | 1.8 |
Oil & Gas | 1.6 |
Banks | 1.6 |
Short-Term Investments | 1.2 |
Food | 0.5 |
Diversified Financial Services | 0.4 |
Engineering & Construction | 0.3 |
Energy-Alternate Sources | 0.3 |
Transportation | 0.3 |
Commercial Services | 0.3 |
Forest Products & Paper | 0.3 |
Pipelines | 0.3 |
Healthcare-Services | 0.2 |
Industry Allocation* (continued) | |
Chemicals | 0.2% |
Internet | 0.2 |
97.0% |
* | Calculated as a percentage of net assets |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $— | $10,602,569 | $— | $10,602,569 | |||
U.S. Government & Agency Obligations | — | 43,718,358 | — | 43,718,358 | |||
Foreign Government Obligations | — | 68,788,084 | — | 68,788,084 | |||
Short-Term Investments | 1,517,710 | — | — | 1,517,710 | |||
Total Investments at Value | $1,517,710 | $123,109,011 | $— | $124,626,721 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Industry Allocation* | |
Apparel | 13.8% |
Transportation | 10.4 |
Semiconductors | 9.5 |
Internet | 8.3 |
Banks | 7.1 |
Beverages | 6.7 |
Electric | 5.3 |
Industry Allocation* (continued) | |
Private Equity | 5.0% |
Retail | 4.9 |
Food | 4.8 |
Machinery-Diversified | 4.3 |
Commercial Services | 2.6 |
Healthcare-Products | 2.6 |
Insurance | 2.5 |
Chemicals | 2.3 |
Entertainment | 1.5 |
Biotechnology | 1.0 |
Computers | 1.0 |
Software | 0.4 |
Short-Term Investments | 0.1 |
94.1% |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Bermuda | $19,829,022 | $1,876,786 | $— | $21,705,808 | |||
Canada | 33,553,697 | — | — | 33,553,697 | |||
Cayman Islands | 3,526,707 | — | — | 3,526,707 | |||
China | 8,455,356 | — | — | 8,455,356 | |||
Japan | 1,774,126 | 16,412,165 | — | 18,186,291 | |||
United States | 13,791,316 | — | — | 13,791,316 | |||
Other Countries | — | 255,119,027 | — | 255,119,027 | |||
Short-Term Investments | 488,629 | — | — | 488,629 | |||
Total Investments at Value | $81,418,853 | $273,407,978 | $— | $354,826,831 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Industry Allocation* | |
Retail | 5.4% |
Internet | 5.0 |
Commercial Services | 4.7 |
Short-Term Investments | 4.7 |
Banks | 4.1 |
Software | 4.0 |
Computers | 3.7 |
Machinery-Diversified | 3.1 |
Building Materials | 3.0 |
Chemicals | 3.0 |
Food | 2.9 |
Electronics | 2.9 |
Engineering & Construction | 2.8 |
Distribution/Wholesale | 2.8 |
Diversified Financial Services | 2.7 |
REITS | 2.6 |
Repurchase Agreements | 2.4 |
Real Estate | 2.2 |
Pharmaceuticals | 2.2 |
Oil & Gas | 2.2 |
Industry Allocation* (continued) | |
Semiconductors | 2.1% |
Environmental Control | 2.1 |
Healthcare-Products | 2.0 |
Unaffiliated Investment Companies | 2.0 |
Healthcare-Services | 1.7 |
Mining | 1.7 |
Electric | 1.7 |
Apparel | 1.5 |
Packaging & Containers | 1.4 |
Aerospace/Defense | 1.3 |
Oil & Gas Services | 1.3 |
Insurance | 1.2 |
Beverages | 1.1 |
Home Builders | 1.1 |
Lodging | 1.1 |
Transportation | 1.0 |
Entertainment | 0.8 |
Hand/Machine Tools | 0.7 |
Metal Fabricate/Hardware | 0.7 |
Leisure Time | 0.7 |
Cosmetics/Personal Care | 0.6 |
Advertising | 0.6 |
Telecommunications | 0.6 |
Iron/Steel | 0.6 |
Home Furnishings | 0.5 |
Auto Parts & Equipment | 0.5 |
Agriculture | 0.5 |
Food Service | 0.5 |
Electrical Components & Equipment | 0.5 |
Gas | 0.4 |
Pipelines | 0.4 |
Miscellaneous Manufacturing | 0.4 |
Biotechnology | 0.4 |
Machinery-Construction & Mining | 0.3 |
Energy-Alternate Sources | 0.3 |
Media | 0.3 |
Auto Manufacturers | 0.2 |
Private Equity | 0.1 |
Textiles | 0.1 |
Holding Companies-Diversified | 0.1 |
Water | 0.1 |
Forest Products & Paper | 0.1 |
Office/Business Equipment | 0.1 |
101.8% |
* | Calculated as a percentage of net assets |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Bermuda | $2,041,954 | $4,842,444 | $— | $6,884,398 | |||
Brazil | 13,073,471 | — | — | 13,073,471 | |||
British Virgin Islands | 2,031,108 | — | — | 2,031,108 | |||
Canada | 31,232,687 | — | — | 31,232,687 | |||
Cayman Islands | 2,951,360 | 9,109,920 | — | 12,061,280 | |||
Chile | 745,545 | — | — | 745,545 | |||
Colombia | 178,151 | — | — | 178,151 | |||
Ireland | 264,386 | 7,625,069 | — | 7,889,455 | |||
Israel | 2,378,732 | — | — | 2,378,732 | |||
Mauritius | 1,211,539 | — | — | 1,211,539 | |||
Mexico | 5,577,779 | — | — | 5,577,779 | |||
Peru | 72,012 | — | — | 72,012 | |||
Russia | — | — | 0 | 0 | |||
Thailand | 1,918,292 | — | — | 1,918,292 | |||
United States | 136,784 | — | — | 136,784 | |||
Other Countries | — | 348,849,033 | — | 348,849,033 | |||
Unaffiliated Investment Companies | 9,279,415 | — | — | 9,279,415 | |||
Short-Term Investments: | |||||||
Sovereign | — | 14,062,000 | — | 14,062,000 | |||
Other Short-Term Investments | 7,762,459 | — | — | 7,762,459 | |||
Repurchase Agreements | — | 11,013,422 | — | 11,013,422 | |||
Total Investments at Value | $80,855,674 | $395,501,888 | $0 | $476,357,562 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
187 | Long | MSCI EAFE Index | September 2022 | $17,438,435 | $17,083,385 | $(355,050) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Industry Allocation* | |
Banks | 8.3% |
Insurance | 7.0 |
Pharmaceuticals | 5.0 |
Repurchase Agreements | 5.0 |
Telecommunications | 4.5 |
Chemicals | 4.0 |
Oil & Gas | 3.5 |
Commercial Services | 3.3 |
Food | 2.9 |
Healthcare-Products | 2.6 |
Semiconductors | 2.4 |
Cosmetics/Personal Care | 2.4 |
Diversified Financial Services | 2.2 |
Auto Manufacturers | 2.1 |
Distribution/Wholesale | 2.1 |
Electric | 1.9 |
Machinery-Diversified | 1.8 |
Transportation | 1.8 |
Engineering & Construction | 1.8 |
Real Estate | 1.8 |
Software | 1.7 |
Building Materials | 1.7 |
REITS | 1.7 |
Retail | 1.6 |
Iron/Steel | 1.5 |
Electronics | 1.5 |
Electrical Components & Equipment | 1.4 |
Mining | 1.3 |
Auto Parts & Equipment | 1.3 |
Biotechnology | 1.2 |
Investment Companies | 1.2 |
Apparel | 1.2 |
Household Products/Wares | 1.1 |
Healthcare-Services | 1.1 |
Machinery-Construction & Mining | 1.0 |
Gas | 1.0 |
Beverages | 0.9 |
Computers | 0.9 |
Internet | 0.8 |
Home Furnishings | 0.8 |
Private Equity | 0.8 |
Water | 0.6 |
Short-Term Investments | 0.6 |
Food Service | 0.6 |
Media | 0.6 |
Forest Products & Paper | 0.5 |
Entertainment | 0.5 |
Advertising | 0.5 |
Home Builders | 0.5 |
Toys/Games/Hobbies | 0.4 |
Office/Business Equipment | 0.4 |
Metal Fabricate/Hardware | 0.4 |
Lodging | 0.3 |
Hand/Machine Tools | 0.3 |
Holding Companies-Diversified | 0.3 |
Leisure Time | 0.3 |
Miscellaneous Manufacturing | 0.2 |
Industry Allocation* (continued) | |
Pipelines | 0.2% |
Energy-Alternate Sources | 0.2 |
99.5% |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Australia | $— | $20,236,453 | $190 | $20,236,643 | |||
Cayman Islands | 507,067 | 2,384,149 | — | 2,891,216 | |||
Israel | 654,308 | 1,840,142 | — | 2,494,450 | |||
Sweden | 23,275 | 8,106,822 | — | 8,130,097 | |||
United Kingdom | 680,267 | 36,355,566 | — | 37,035,833 | |||
Other Countries | — | 194,663,048 | — | 194,663,048 | |||
Short-Term Investments: | |||||||
U.S. Government | — | 1,470,692 | — | 1,470,692 | |||
Other Short-Term Investments | 163,783 | — | — | 163,783 | |||
Repurchase Agreements | — | 14,197,172 | — | 14,197,172 | |||
Total Investments at Value | $2,028,700 | $279,254,044 | $190 | $281,282,934 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $355,050 | $— | $— | $355,050 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The International Value Fund has no right to demand registration of these securities. At August 31, 2022, the aggregate value of these securities was $42,091,142 representing 7.8% of net assets. |
(1) | The rate shown is the 7-day yield as of August 31, 2022. |
(2) | At August 31, 2022, the Fund had loaned securities with a total value of $3,693,882. This was secured by collateral of $1,057,875, which was received in cash and subsequently invested in short-term investments currently valued at $1,057,875 as reported in the Portfolio of Investments. Additional collateral of $2,860,404 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly, are not reflected in the Fund's assets and liabilities. The components of the fixed income pooled securities referenced above are as follows: |
Securities | Coupon Range | Maturity Date Range | Value as of August 31, 2022 |
United States Treasury Bills | 0.00% | 09/29/2022 to 12/15/2022 | $49,807 |
United States Treasury Notes/Bonds | 0.13% to 5.38% | 10/31/2022 to 11/15/2051 | 2,810,597 |
ETF—Exchange Traded Fund |
Industry Allocation* | |
Banks | 14.4% |
Short-Term Investments | 6.1 |
Home Furnishings | 4.8 |
Chemicals | 4.6 |
Telecommunications | 3.2 |
Food | 3.1 |
Oil & Gas | 3.1 |
Computers | 3.0 |
Machinery-Construction & Mining | 2.8 |
Insurance | 2.8 |
Diversified Financial Services | 2.7 |
Apparel | 2.7 |
Beverages | 2.6 |
Oil & Gas Services | 2.4 |
Media | 2.4 |
Electric | 2.4 |
Building Materials | 2.4 |
Food Service | 2.2 |
Airlines | 2.1 |
Lodging | 2.1 |
Semiconductors | 2.0 |
Electrical Components & Equipment | 2.0 |
Engineering & Construction | 1.9 |
Machinery-Diversified | 1.9 |
Healthcare-Products | 1.8 |
Energy-Alternate Sources | 1.8 |
Retail | 1.7 |
Commercial Services | 1.6 |
Software | 1.6 |
Pharmaceuticals | 1.5 |
Aerospace/Defense | 1.3 |
Auto Parts & Equipment | 1.3 |
Investment Companies | 1.3 |
Entertainment | 1.3 |
Real Estate | 1.2 |
Unaffiliated Investment Companies | 1.2 |
Electronics | 1.0 |
Packaging & Containers | 0.9 |
Miscellaneous Manufacturing | 0.4 |
99.6% |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Bermuda | $10,181,756 | $— | $— | $10,181,756 | |||
Brazil | 12,762,195 | — | — | 12,762,195 | |||
British Virgin Islands | 12,555,283 | — | — | 12,555,283 | |||
Canada | 12,712,293 | — | — | 12,712,293 | |||
Israel | 16,424,423 | — | — | 16,424,423 | |||
Thailand | 24,648,439 | — | — | 24,648,439 | |||
United Kingdom | 5,496,287 | 54,402,618 | — | 59,898,905 | |||
United States | 31,452,525 | — | — | 31,452,525 | |||
Other Countries | — | 317,666,202 | — | 317,666,202 | |||
Unaffiliated Investment Companies | 6,534,252 | — | — | 6,534,252 | |||
Short-Term Investments | 32,761,475 | — | — | 32,761,475 | |||
Total Investments at Value | $165,528,928 | $372,068,820 | $— | $537,597,748 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Security Description | Shares or Principal Amount | Value | ||
SHORT-TERM INVESTMENTS — 0.9% | ||||
U.S. Government Agency — 0.9% | ||||
Federal Home Loan Bank Disc. Notes | ||||
2.10%, 09/01/2022 | $2,830,000 | $ 2,830,000 | ||
2.16%, 09/01/2022 | 3,653,000 | 3,653,000 | ||
Total Short-Term Investments (cost $6,483,000) | 6,483,000 | |||
TOTAL INVESTMENTS (cost $545,223,840) | 100.0% | 700,440,053 | ||
Other assets less liabilities | 0.0 | 36,504 | ||
NET ASSETS | 100.0% | $700,476,557 |
† | Non-income producing security |
ADR—American Depositary Receipt |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Apparel | $12,676,173 | $12,633,549 | $— | $25,309,722 | |||
Internet | 52,644,052 | 10,749,687 | — | 63,393,739 | |||
Other Industries | 605,253,592 | — | — | 605,253,592 | |||
Short-Term Investments | — | 6,483,000 | — | 6,483,000 | |||
Total Investments at Value | $670,573,817 | $29,866,236 | $— | $700,440,053 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
118 | Long | S&P Mid Cap 400 E-Mini Index | September 2022 | $29,255,643 | $28,677,540 | $(578,103) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $2,953,800,528 | $— | $— | $2,953,800,528 | |||
Short-Term Investments: | |||||||
U.S. Government | — | 8,713,366 | — | 8,713,366 | |||
Other Short-Term Investments | 22,206,644 | — | — | 22,206,644 | |||
Repurchase Agreements | — | 17,115,126 | — | 17,115,126 | |||
Total Investments at Value | $2,976,007,172 | $25,828,492 | $— | $3,001,835,664 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $578,103 | $— | $— | $578,103 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Commercial Services | $33,683,982 | $422,993 | $— | $34,106,975 | |||
Entertainment | — | 1,973,109 | — | 1,973,109 | |||
Other Industries | 628,976,042 | — | — | 628,976,042 | |||
Short-Term Investments | 3,705,133 | — | — | 3,705,133 | |||
Total Investments at Value | $666,365,157 | $2,396,102 | $— | $668,761,259 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $802,585,688 | $— | $— | $802,585,688 | |||
Short-Term Investments | 11,632,445 | — | — | 11,632,445 | |||
Repurchase Agreements | — | 609,205 | — | 609,205 | |||
Total Investments at Value | $814,218,133 | $609,205 | $— | $814,827,338 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $892,551,643 | $— | $— | $892,551,643 | |||
Short-Term Investments | 101,760,566 | — | — | 101,760,566 | |||
Total Investments at Value | $994,312,209 | $— | $— | $994,312,209 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
121 | Long | NASDAQ 100 E-Mini Index | September 2022 | $29,274,472 | $29,730,305 | $455,833 |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $690,904,151 | $— | $— | $690,904,151 | |||
Short-Term Investments: | |||||||
U.S. Government | — | 3,431,614 | — | 3,431,614 | |||
Other Short-Term Investments | 3,082,481 | — | — | 3,082,481 | |||
Repurchase Agreements | — | 24,984,624 | — | 24,984,624 | |||
Total Investments at Value | $693,986,632 | $28,416,238 | $— | $722,402,870 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $455,833 | $— | $— | $455,833 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Apparel | $— | $999,119 | $— | $999,119 | |||
Biotechnology | — | — | 259,325 | 259,325 | |||
E-Commerce/Services | — | — | 510,931 | 510,931 | |||
Electronics | 17,062,016 | 9,212,023 | — | 26,274,039 | |||
Entertainment | — | 3,056,072 | — | 3,056,072 | |||
Entertainment Software | — | — | 3,630,720 | 3,630,720 | |||
Healthcare-Services | 1,459,457 | — | 617,143 | 2,076,600 | |||
Internet | 567,049,454 | 44,891,378 | 0 | 611,940,832 | |||
Pharmaceuticals | 110,342 | — | 62,149 | 172,491 | |||
Retail | 3,558,353 | 16,316,449 | — | 19,874,802 | |||
Semiconductors | 330,173,104 | 27,284,437 | — | 357,457,541 | |||
Software | 444,931,707 | 2,745,835 | — | 447,677,542 | |||
Other Industries | 412,511,157 | — | — | 412,511,157 | |||
Convertible Preferred Stocks | — | — | 29,787,190 | 29,787,190 | |||
Escrows and Litigation Trusts | — | — | 1,084,494 | 1,084,494 | |||
Short-Term Investments | 40,123,815 | — | — | 40,123,815 | |||
Repurchase Agreements | — | 880,221 | — | 880,221 | |||
Total Investments at Value | $1,816,979,405 | $105,385,534 | $35,951,952 | $1,958,316,891 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Common Stocks | Convertible Preferred Securities | Escrow and Litigation Trusts | |||
Balance as of May 31, 2022 | $5,324,841 | $29,401,486 | $1,084,494 | ||
Accrued Discounts | - | - | - | ||
Accrued Premiums | - | - | - | ||
Realized Gain | - | - | - | ||
Realized Loss | - | - | - | ||
Change in unrealized appreciation(1) | 4,990 | 911,921 | - | ||
Change in unrealized depreciation(1) | $ (249,563) | $ (526,217) | - | ||
Net purchases | - | - | - | ||
Net sales | - | - | - | ||
Transfers into Level 3 | - | - | - | ||
Transfers out of Level 3(2) | - | - | - | ||
Balance as of August 31, 2022 | $5,080,268 | $29,787,190 | $1,084,494 |
(1) | The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at August 31, 2022 includes: |
Common Stocks | Convertible Preferred Securities | Escrow and Litigation Trusts | |||
$ (244,573) | $385,704 | $ - |
Description | Fair Value at August 31, 2022 | Valuation Technique(s) | Unobservable Input (1) | Range (weighted average) |
Common Stocks | $3,630,720 | Market Approach | Market Transaction Price* | $930.0000 |
$0 | Market Approach | Market - Last Sale | $0.8560 | |
Discount for Geo-political uncertainty | 100% | |||
$222,890 | Market Approach & | Market - Merger/Acquisition Est. Value | $150,000,000.00 | |
Cost Approach | Cost - Liquidation Est. Value | $53,000,000.00 | ||
Cost - Sept 2020 Post Money Value | $199,700,000.00 | |||
Discount for Uncertainty | 30% | |||
$510,931 | Market Approach | Primary Transaction Price* | $125.0000 | |
Secondary Transaction Price* | $118.7500 | |||
Gross Merchandise Value Multiple* | 1.33x | |||
Discount for Lack of Marketability | 10.0% | |||
$617,143 | Market Approach | Transaction Price* | $136.9300 | |
Sales Multiple* | 12.80x | |||
Discount for Lack of Marketability | 10.0% | |||
$62,149 | Income Approach | Estimated Future Cash Distribution* | $1.15 | |
$36,435 | Market Approach | Market - Earnout Probability of Additional shares* | $0.865104-$1.031077 ($0.95)# | |
Preferred Securities | $2,601,300 | Market Approach | Contractual Floor of Announced Tender* | $29.00 |
$14,323,539 | Market Approach | Market Transaction Price* | $1.01584 -$99.969($57.3605)# | |
$7,032,452 | Market Approach | Market Transaction Price* | $57.3069 | |
Future Dividend Payout Adjustment | $1.5731-$4.6731 ($3.3281) | |||
$1,001,112 | Market Approach | Primary Transaction Price* | $125.0000 | |
Secondary Transaction Price* | $118.7500 | |||
Gross Merchandise Value Multiple* | 1.33x | |||
Discount for Lack of Marketability | 10.0% | |||
$2,771,954 | Market Approach | Transaction Price* | $64.4231 | |
Sales Multiple* | 4.05x | |||
Gross Merchandise Volume Multiple* | 0.60x | |||
Discount for Lack of Marketability | 10.0% | |||
$1,433,854 | Market Approach | Market Transaction Price* | $8.1000 | |
Sales Multiple* | 5.3x | |||
Discount for Lack of Marketability | 10.0% | |||
$521,723 | Market Approach | Market Transaction Price* | $3.1600 | |
Gross Profit Multiple* | 6.05x | |||
Discount for Lack of Marketability | 10.0% | |||
$101,256 | Market Approach | Sales Multiple* | 3.4x | |
Gross Profit Multiple* | 4.5x | |||
Discount for Lack of Marketability | 10.0% | |||
Escrow and Litigation Trusts | $1,084,494 | Income Approach | Estimated Future Cash Distribution* | $0.62-$0.9000 ($0.83)# |
(1) The significant unobservable inputs regarding the Level 3 securities in the table above are attributable to private securities and include assumptions made from non-public financial statements, private transactions, and/or market comparables. For those unobservable inputs indicated with *, a significant increase (decrease) in any of those inputs in isolation may result in a significantly higher (lower) fair value measurement, while the remaining unobservable inputs have an inverse relationship. | ||||
(2) The average represents the arithmetic average of the inputs and is not weighted by the relative fair value or notional amount. | ||||
# The average represents the arithmetic average of the inputs and is weighted by the relative fair value or notional amount. |
(2) | The rate shown is the 7-day yield as of August 31, 2022. |
(3) | At August 31, 2022, the Fund had loaned securities with a total value of $47,755,935. This was secured by collateral of $27,984,692, which was received in cash and subsequently invested in short-term investments currently valued at $27,984,692 as reported in the Portfolio of Investments. Additional collateral of $21,536,382 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly, are not reflected in the Fund's assets and liabilities. The components of the fixed income pooled securities referenced above are as follows: |
Securities | Coupon Range | Maturity Date Range | Value as of August 31, 2022 |
Government National Mtg. Assoc. | 1.75% to 2.50% | 11/20/2051 to 02/20/2052 | $174,943 |
United States Treasury Bills | 0.00% | 09/08/2022 to 12/15/2022 | 1,352,967 |
United States Treasury Notes/Bonds | 0.13% to 6.25% | 09/30/2022 to 05/15/2052 | 20,008,472 |
(4) | The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts. |
CVR—Contingent Value Rights |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
373 | Long | Russell 2000 E-Mini Index | September 2022 | $33,227,471 | $34,401,790 | $1,174,319 |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Biotechnology | $66,117,915 | $— | $754 | $66,118,669 | |||
Medical - Biomedical/Gene | — | — | 1,348 | 1,348 | |||
Oil & Gas | 32,821,510 | — | 0 | 32,821,510 | |||
Pharmaceuticals | 24,603,649 | — | 63,051 | 24,666,700 | |||
Therapeutics | — | — | 0 | 0 | |||
Other Industries | 747,561,678 | — | — | 747,561,678 | |||
Warrants | 121,552 | — | — | 121,552 | |||
Short-Term Investments: | |||||||
U.S. Government | — | 2,420,086 | — | 2,420,086 | |||
Other Short-Term Investments | 27,984,692 | — | — | 27,984,692 | |||
Repurchase Agreements | — | 31,138,336 | — | 31,138,336 | |||
Total Investments at Value | $899,210,996 | $33,558,422 | $65,153 | $932,834,571 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $1,174,319 | $— | $— | $1,174,319 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Audio/Video Products | $— | $— | $6,000 | $6,000 | |||
Banks | 11,257,606 | — | 102,858 | 11,360,464 | |||
Biotechnology | 56,985,268 | — | 17,442 | 57,002,710 | |||
Computer Software | — | — | 8,247 | 8,247 | |||
E-Commerce/Products | — | — | 194 | 194 | |||
Human Resources | — | — | 79,159 | 79,159 | |||
Oil & Gas | 17,651,214 | — | 932,100 | 18,583,314 | |||
Pharmaceuticals | 19,014,176 | — | 0 | 19,014,176 | |||
Software | 79,289,957 | — | 13,162 | 79,303,119 | |||
Telecommunications | 3,947,521 | — | 0 | 3,947,521 | |||
Other Industries | 314,411,812 | — | — | 314,411,812 | |||
Convertible Preferred Stocks | — | — | 2,760,762 | 2,760,762 | |||
Warrants | — | — | 4,406 | 4,406 | |||
Short-Term Investments | 5,263,227 | — | — | 5,263,227 | |||
Total Investments at Value | $507,820,781 | $— | $3,924,330 | $511,745,111 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Closed-End Funds | $— | $— | $0 | $0 | |||
Other Industries | 209,140,832 | — | — | 209,140,832 | |||
Short-Term Investments | 8,042,958 | — | — | 8,042,958 | |||
Total Investments at Value | $217,183,790 | $— | $0 | $217,183,790 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
138 | Long | E-Mini Russell 2000 Index | September 2022 | $13,482,574 | $12,727,740 | $(754,834) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $481,131,896 | $— | $— | $481,131,896 | |||
Short-Term Investments | 4,477,805 | — | — | 4,477,805 | |||
Repurchase Agreements | — | 13,135,903 | — | 13,135,903 | |||
Total Investments at Value | $485,609,701 | $13,135,903 | $— | $498,745,604 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $754,834 | $— | $— | $754,834 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
227 | Long | S&P 500 E-Mini Index | September 2022 | $45,578,533 | $44,906,275 | $(672,258) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $4,896,610,101 | $— | $— | $4,896,610,101 | |||
Short-Term Investments: | |||||||
U.S. Government | — | 4,128,621 | — | 4,128,621 | |||
Other Short-Term Investments | 10,406,805 | — | — | 10,406,805 | |||
Repurchase Agreements | — | 33,103,760 | — | 33,103,760 | |||
Total Investments at Value | $4,907,016,906 | $37,232,381 | $— | $4,944,249,287 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $672,258 | $— | $— | $672,258 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Packaging & Containers | $2,736,302 | $154,427 | $— | $2,890,729 | |||
Other Industries | 551,928,395 | — | — | 551,928,395 | |||
Unaffiliated Investment Companies | 2,484,393 | — | — | 2,484,393 | |||
Short-Term Investments | 3,268,900 | — | — | 3,268,900 | |||
Total Investments at Value | $560,417,990 | $154,427 | $— | $560,572,417 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $440,255,138 | $— | $— | $440,255,138 | |||
Unaffiliated Investment Companies | 1,150,043 | — | — | 1,150,043 | |||
Short-Term Investments | 582,713 | — | — | 582,713 | |||
Repurchase Agreements | — | 2,842,556 | — | 2,842,556 | |||
Total Investments at Value | $441,987,894 | $2,842,556 | $— | $444,830,450 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Security Description | Shares or Principal Amount | Value | ||
REPURCHASE AGREEMENTS — 1.9% | ||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.45% dated 08/31/2022, to be repurchased 09/01/2022 in
the amount of $12,874,969 and collateralized by $14,952,600 of United States Treasury Notes, bearing interest at 1.00% due 07/31/2028 and having an approximate value of $13,132,336 (cost $12,874,808) | $12,874,808 | $ 12,874,808 | ||
TOTAL INVESTMENTS (cost $548,594,106) | 100.0% | 681,352,801 | ||
Other assets less liabilities | 0.0 | 334,354 | ||
NET ASSETS | 100.0% | $681,687,155 |
† | Non-income producing security |
(1) | The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
88 | Long | S&P 500 E-Mini Index | September 2022 | $16,457,032 | $17,408,600 | $951,568 |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $664,911,302 | $— | $— | $664,911,302 | |||
Short-Term Investments | — | 3,566,691 | — | 3,566,691 | |||
Repurchase Agreements | — | 12,874,808 | — | 12,874,808 | |||
Total Investments at Value | $664,911,302 | $16,441,499 | $— | $681,352,801 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $951,568 | $— | $— | $951,568 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Objectives for Using Derivatives | |||||||||||
Fund | Futures Contracts | Foreign Exchange Contracts | Options Contracts | Interest Rate Swap Contracts | Credit Default Swap Contracts | ||||||
Asset Allocation | 1 | - | - | - | - | ||||||
Dynamic Allocation | 1 | - | 1 | - | - | ||||||
Emerging Economies | 1 | - | - | - | - | ||||||
Global Strategy | 1, 2 | 3 | - | - | - | ||||||
Growth | 1 | - | - | - | - | ||||||
High Yield Bond | - | 3 | - | - | - | ||||||
Inflation Protected | 1, 2 | 3 | - | 2 | 4, 5 | ||||||
International Equities Index | 1 | - | - | - | - | ||||||
International Growth | - | - | 6 | - | - | ||||||
International Socially Responsible | 1 | - | - | - | - | ||||||
Mid Cap Index | 1 | - | - | - | - | ||||||
Nasdaq-100® Index | 1 | - | - | - | - | ||||||
Small Cap Index | 1 | - | - | - | - | ||||||
Small Cap Value | 1 | - | - | - | - | ||||||
Stock Index | 1 | - | - | - | - | ||||||
U.S. Socially Responsible | 1 | - | - | - | - |
Aggressive Growth Lifestyle Fund | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at May 31, 2022 | Cost of Purchases† | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at August 31, 2022 | ||||||||
VALIC Company I Blue Chip Growth Fund | $— | $— | $5,919,278 | $2,268,231 | $5,545,050 | $(1,385,335) | $767,947 | $2,025,071 | ||||||||
VALIC Company I Capital Appreciation Fund | - | - | 28,902,135 | - | - | - | (886,292) | 28,015,843 | ||||||||
VALIC Company I Core Bond Fund | - | - | 123,355,503 | - | - | - | (2,795,248) | 120,560,255 | ||||||||
VALIC Company I Dividend Value Fund | - | - | 8,273,894 | - | - | - | (507,332) | 7,766,562 | ||||||||
VALIC Company I Emerging Economies Fund | - | - | 10,147,532 | - | - | - | (1,119,727) | 9,027,805 | ||||||||
VALIC Company I Global Real Estate Fund | - | - | 18,344,606 | - | - | - | (1,357,064) | 16,987,542 | ||||||||
VALIC Company I Government Securities Fund | - | - | 2,039,886 | 28,430,840 | 4,699,763 | (183,367) | (65,983) | 25,521,613 | ||||||||
VALIC Company I High Yield Bond Fund | - | - | 10,820,074 | - | 6,470,178 | (399,300) | 97,427 | 4,048,023 | ||||||||
VALIC Company I Inflation Protected Fund | - | - | 23,548,584 | - | 5,602,807 | (13,804) | (188,788) | 17,743,185 | ||||||||
VALIC Company I International Equities Index Fund | - | - | 22,806,542 | 7,804,254 | 1,285,365 | (158,167) | (2,422,687) | 26,744,577 | ||||||||
VALIC Company I International Government Bond Fund | - | - | 8,689,210 | - | 856,900 | (139,076) | (308,403) | 7,384,831 | ||||||||
VALIC Company I International Growth Fund | - | - | 3,902,127 | - | 3,644,843 | (421,563) | 164,279 | - | ||||||||
VALIC Company I International Opportunities Fund | - | - | 32,210,899 | - | - | - | (3,036,109) | 29,174,790 | ||||||||
VALIC Company I International Value Fund | - | - | 21,498,433 | - | 3,902,127 | (723,189) | (1,240,980) | 15,632,137 | ||||||||
VALIC Company I Large Capital Growth Fund | - | - | 33,273,609 | 10,142,997 | - | - | (1,191,419) | 42,225,187 | ||||||||
VALIC Company I Mid Cap Index Fund | - | - | 30,343,226 | - | 1,285,367 | (57,970) | (840,645) | 28,159,244 | ||||||||
VALIC Company I Mid Cap Strategic Growth Fund | - | - | 16,584,783 | - | - | - | (361,749) | 16,223,034 | ||||||||
VALIC Company I Mid Cap Value Fund | - | - | 21,211,382 | - | - | - | (1,387,372) | 19,824,010 | ||||||||
VALIC Company I Nasdaq-100 Index Fund | - | - | 11,002,443 | 2,268,231 | - | - | (543,636) | 12,727,038 | ||||||||
VALIC Company I Science & Technology Fund | - | - | 1,955,235 | - | - | - | (56,599) | 1,898,636 | ||||||||
VALIC Company I Small Cap Growth Fund | - | - | 6,333,849 | - | - | - | 287,317 | 6,621,166 | ||||||||
VALIC Company I Small Cap Index Fund | - | - | 4,274,210 | - | - | - | (34,371) | 4,239,839 | ||||||||
VALIC Company I Small Cap Special Values Fund | - | - | 4,144,274 | - | 1,629,607 | 465,413 | (580,213) | 2,399,867 | ||||||||
VALIC Company I Small Cap Value Fund | - | - | 4,080,145 | - | 4,245,882 | 1,211,268 | (1,045,531) | - | ||||||||
VALIC Company I Stock Index Fund | - | - | 82,154,333 | - | 3,271,841 | 726,109 | (3,875,416) | 75,733,185 | ||||||||
VALIC Company I Systematic Core Fund | - | - | 14,066,794 | - | - | - | (578,088) | 13,488,706 | ||||||||
VALIC Company I Systematic Value Fund | - | - | 58,692,796 | - | 3,089,603 | (664,548) | (2,310,043) | 52,628,602 | ||||||||
$— | $— | $608,575,782 | $50,914,553 | $45,529,333 | $(1,743,529) | $(25,416,725) | $586,800,748 | |||||||||
† Includes reinvestments of distributions paid. |
Conservative Growth Lifestyle Fund | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at May 31, 2022 | Cost of Purchases† | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at August 31, 2022 | ||||||||
VALIC Company I Blue Chip Growth Fund | $— | $— | $1,469,662 | $100,641 | $1,376,747 | $(343,963) | $240,259 | $89,852 | ||||||||
VALIC Company I Capital Appreciation Fund | - | - | 7,766,752 | - | - | - | (238,170) | 7,528,582 | ||||||||
VALIC Company I Core Bond Fund | - | - | 152,632,044 | - | - | - | (3,458,658) | 149,173,386 | ||||||||
VALIC Company I Dividend Value Fund | - | - | 1,988,234 | - | - | - | (121,913) | 1,866,321 | ||||||||
VALIC Company I Emerging Economies Fund | - | - | 1,876,556 | - | - | - | (207,068) | 1,669,488 | ||||||||
VALIC Company I Global Real Estate Fund | - | - | 5,009,803 | - | - | - | (370,606) | 4,639,197 | ||||||||
VALIC Company I Government Securities Fund | - | - | 7,416,181 | 5,639,209 | - | - | (185,514) | 12,869,876 | ||||||||
VALIC Company I High Yield Bond Fund | - | - | 24,335,243 | - | 8,079,556 | (847,384) | 93,468 | 15,501,771 | ||||||||
VALIC Company I Inflation Protected Fund | - | - | 16,394,215 | - | 2,812,701 | (5,931) | (133,116) | 13,442,467 | ||||||||
VALIC Company I International Equities Index Fund | - | - | 7,969,764 | 219,322 | 2,212,309 | 86,860 | (800,596) | 5,263,041 | ||||||||
VALIC Company I International Government Bond Fund | - | - | 12,393,306 | - | 430,177 | (70,843) | (586,247) | 11,306,039 |
Conservative Growth Lifestyle Fund | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at May 31, 2022 | Cost of Purchases† | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at August 31, 2022 | ||||||||
VALIC Company I International Opportunities Fund | - | - | 8,473,900 | - | - | - | (798,726) | 7,675,174 | ||||||||
VALIC Company I International Value Fund | - | - | 2,717,290 | - | - | - | (279,963) | 2,437,327 | ||||||||
VALIC Company I Large Capital Growth Fund | - | - | 4,737,978 | 4,680,132 | - | - | (75,370) | 9,342,740 | ||||||||
VALIC Company I Mid Cap Index Fund | - | - | 7,208,183 | 219,322 | 6,348,634 | (1,241,403) | 952,493 | 789,961 | ||||||||
VALIC Company I Mid Cap Strategic Growth Fund | - | - | 4,198,808 | - | - | - | (91,584) | 4,107,224 | ||||||||
VALIC Company I Mid Cap Value Fund | - | - | 1,983,156 | - | - | - | (129,712) | 1,853,444 | ||||||||
VALIC Company I Nasdaq-100 Index Fund | - | - | 1,518,114 | 100,641 | - | - | (53,387) | 1,565,368 | ||||||||
VALIC Company I Science & Technology Fund | - | - | 495,283 | 808,114 | - | - | (979) | 1,302,418 | ||||||||
VALIC Company I Small Cap Growth Fund | - | - | 1,616,231 | - | 808,116 | (332,588) | 334,097 | 809,624 | ||||||||
VALIC Company I Small Cap Index Fund | - | - | 920,329 | - | 460,165 | (190,687) | 170,975 | 440,452 | ||||||||
VALIC Company I Small Cap Special Values Fund | - | - | 1,078,150 | - | 790,677 | 204,699 | (231,024) | 261,148 | ||||||||
VALIC Company I Small Cap Value Fund | - | - | 126,339 | - | 122,046 | 16,742 | (21,035) | - | ||||||||
VALIC Company I Stock Index Fund | - | - | 12,004,886 | 5,542,013 | 3,738,738 | (961,157) | 608,437 | 13,455,441 | ||||||||
VALIC Company I Systematic Core Fund | - | - | 3,804,278 | - | - | - | (156,340) | 3,647,938 | ||||||||
VALIC Company I Systematic Value Fund | - | - | 14,313,339 | - | 1,580,076 | (403,762) | (345,010) | 11,984,491 | ||||||||
$— | $— | $304,448,024 | $17,309,394 | $28,759,942 | $(4,089,417) | $(5,885,289) | $283,022,770 | |||||||||
† Includes reinvestments of distributions paid. |
Dynamic Allocation Fund | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at May 31, 2022 | Cost of Purchases† | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at August 31, 2022 | ||||||||
VALIC Company I Blue Chip Growth Fund | $— | $— | $4,352,660 | $106,450 | $199,840 | $(36,489) | $(78,073) | $4,144,708 | ||||||||
VALIC Company I Capital Appreciation Fund | — | — | 5,784,500 | 406,192 | 293,904 | 48,270 | (226,969) | 5,718,089 | ||||||||
VALIC Company I Core Bond Fund | — | — | 21,892,330 | 571,284 | 1,072,477 | (128,651) | (361,550) | 20,900,936 | ||||||||
VALIC Company I Dividend Value Fund | — | — | 8,294,785 | 212,965 | 400,485 | 41,578 | (540,163) | 7,608,680 | ||||||||
VALIC Company I Emerging Economies Fund | — | — | 977,433 | 26,548 | 49,156 | 8,718 | (115,625) | 847,918 | ||||||||
VALIC Company I Global Real Estate Fund | — | — | 1,385,053 | 753,225 | 99,920 | (9,906) | (126,404) | 1,902,048 | ||||||||
VALIC Company I Government Securities Fund | — | — | 7,631,912 | 198,707 | 373,036 | (16,654) | (98,906) | 7,342,023 | ||||||||
VALIC Company I Growth Fund | — | — | 5,931,872 | 359,740 | 300,565 | (14,475) | (181,304) | 5,795,268 | ||||||||
VALIC Company I High Yield Bond Fund | — | — | 1,396,486 | 35,483 | 66,612 | (4,555) | (46,319) | 1,314,483 | ||||||||
VALIC Company I Inflation Protected Fund | — | — | 2,623,125 | 63,870 | 119,904 | (2,537) | (18,777) | 2,545,777 | ||||||||
VALIC Company I International Equities Index Fund | — | — | 2,953,676 | 76,289 | 143,218 | 3,637 | (291,039) | 2,599,345 | ||||||||
VALIC Company I International Government Bond Fund | — | — | 639,455 | 17,742 | 33,306 | (4,274) | (29,776) | 589,841 | ||||||||
VALIC Company I International Growth Fund | — | — | 3,157,674 | 77,999 | 145,745 | 486 | (240,453) | 2,849,961 | ||||||||
VALIC Company I International Opportunities Fund | — | — | 492,358 | 14,129 | 25,841 | (14,475) | (31,220) | 434,951 | ||||||||
VALIC Company I International Socially Responsible Fund | — | — | 2,185,662 | 62,032 | 115,770 | (46,611) | (167,663) | 1,917,650 | ||||||||
VALIC Company I International Value Fund | — | — | 5,002,934 | 129,450 | 242,336 | 39,582 | (548,145) | 4,381,485 | ||||||||
VALIC Company I Large Capital Growth Fund | — | — | 6,542,883 | 322,095 | 323,075 | 131,125 | (375,346) | 6,297,682 | ||||||||
VALIC Company I Mid Cap Index Fund | — | — | 1,766,220 | 44,354 | 83,266 | 2,179 | (53,490) | 1,675,997 | ||||||||
VALIC Company I Mid Cap Strategic Growth Fund | — | — | 1,710,726 | 44,354 | 83,267 | (46,318) | 11,481 | 1,636,976 | ||||||||
VALIC Company I Mid Cap Value Fund | — | — | 2,428,635 | 53,225 | 99,920 | (10,759) | (145,086) | 2,226,095 | ||||||||
VALIC Company I Small Cap Growth Fund | — | — | 636,419 | 24,838 | 46,630 | (49,304) | 79,170 | 644,493 | ||||||||
VALIC Company I Small Cap Index Fund | — | — | 922,648 | 26,613 | 49,960 | (11,255) | 5,259 | 893,305 | ||||||||
VALIC Company I Small Cap Special Values Fund | — | — | 1,233,767 | 28,387 | 53,291 | (2,047) | (66,982) | 1,139,834 | ||||||||
VALIC Company I Small Cap Value Fund | — | — | 436,549 | 8,871 | 16,654 | 2,702 | (19,270) | 412,198 | ||||||||
VALIC Company I Stock Index Fund | — | — | 12,725,096 | 319,416 | 600,326 | 84,755 | (568,943) | 11,959,998 | ||||||||
VALIC Company I Systematic Core Fund | — | — | 10,194,941 | 255,546 | 480,422 | (63,215) | (342,195) | 9,564,655 | ||||||||
VALIC Company I Systematic Value Fund | — | — | 17,929,907 | 390,318 | 2,032,748 | (441,020) | (390,678) | 15,455,779 | ||||||||
VALIC Company I U.S. Socially Responsible Fund | — | — | 8,424,537 | 218,223 | 409,674 | 18,833 | (422,741) | 7,829,178 | ||||||||
$— | $— | $139,654,243 | $4,848,345 | $7,961,348 | $(520,680) | $(5,391,207) | $130,629,353 | |||||||||
† Includes reinvestments of distributions paid. |
Moderate Growth Lifestyle Fund | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at May 31, 2022 | Cost of Purchases† | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at August 31, 2022 | ||||||||
VALIC Company I Blue Chip Growth Fund | $— | $— | $6,607,305 | $3,008,173 | $6,189,578 | $(1,546,292) | $806,082 | $2,685,690 | ||||||||
VALIC Company I Capital Appreciation Fund | - | - | 38,241,575 | - | - | - | (1,172,689) | 37,068,886 | ||||||||
VALIC Company I Core Bond Fund | - | - | 281,305,607 | - | - | - | (6,374,413) | 274,931,194 | ||||||||
VALIC Company I Dividend Value Fund | - | - | 6,624,396 | - | - | - | (406,189) | 6,218,207 | ||||||||
VALIC Company I Emerging Economies Fund | - | - | 11,230,694 | - | - | - | (1,239,249) | 9,991,445 | ||||||||
VALIC Company I Global Real Estate Fund | - | - | 20,261,834 | - | - | - | (1,498,894) | 18,762,940 | ||||||||
VALIC Company I Government Securities Fund | - | - | 10,792,099 | 48,645,749 | 7,222,475 | (612,827) | 48,640 | 51,651,186 | ||||||||
VALIC Company I High Yield Bond Fund | - | - | 23,087,172 | - | 14,301,476 | (878,699) | 239,031 | 8,146,028 | ||||||||
VALIC Company I Inflation Protected Fund | - | - | 50,536,520 | - | 8,888,208 | 30,308 | (459,334) | 41,219,286 | ||||||||
VALIC Company I International Equities Index Fund | - | - | 53,585,227 | 5,144,970 | 7,765,063 | (786,670) | (4,331,693) | 45,846,771 | ||||||||
VALIC Company I International Government Bond Fund | - | - | 22,007,368 | - | 1,359,373 | (256,231) | (896,415) | 19,495,349 | ||||||||
VALIC Company I International Growth Fund | - | - | 2,572,485 | - | 2,402,871 | (207,344) | 37,730 | - | ||||||||
VALIC Company I International Opportunities Fund | - | - | 33,311,702 | - | - | - | (3,139,867) | 30,171,835 | ||||||||
VALIC Company I International Value Fund | - | - | 16,774,105 | - | 2,572,485 | (92,165) | (1,470,721) | 12,638,734 | ||||||||
VALIC Company I Large Capital Growth Fund | - | - | 36,222,651 | 13,052,540 | - | - | (1,273,957) | 48,001,234 | ||||||||
VALIC Company I Mid Cap Index Fund | - | - | 40,941,716 | - | 10,505,937 | (448,064) | (1,241,734) | 28,745,981 | ||||||||
VALIC Company I Mid Cap Strategic Growth Fund | - | - | 20,888,317 | - | - | - | (455,618) | 20,432,699 | ||||||||
VALIC Company I Mid Cap Value Fund | - | - | 24,229,229 | - | - | - | (1,584,760) | 22,644,469 | ||||||||
VALIC Company I Nasdaq-100 Index Fund | - | - | 14,440,515 | 8,173,137 | - | - | (1,242,704) | 21,370,948 | ||||||||
VALIC Company I Science & Technology Fund | - | - | 2,923,293 | - | - | - | (84,621) | 2,838,672 | ||||||||
VALIC Company I Small Cap Growth Fund | - | - | 7,733,016 | - | - | - | 350,787 | 8,083,803 | ||||||||
VALIC Company I Small Cap Index Fund | - | - | 5,744,108 | - | - | - | (46,191) | 5,697,917 | ||||||||
VALIC Company I Small Cap Special Values Fund | - | - | 4,393,542 | - | 2,582,482 | 756,625 | (813,688) | 1,753,997 | ||||||||
VALIC Company I Small Cap Value Fund | - | - | 4,985,822 | - | 5,188,348 | 1,536,573 | (1,334,047) | - | ||||||||
VALIC Company I Stock Index Fund | - | - | 103,932,460 | - | 7,176,660 | 1,465,666 | (5,515,291) | 92,706,175 | ||||||||
VALIC Company I Systematic Core Fund | - | - | 14,770,463 | - | - | - | (607,006) | 14,163,457 | ||||||||
VALIC Company I Systematic Value Fund | - | - | 76,109,591 | - | 4,941,148 | (1,257,736) | (2,625,967) | 67,284,740 | ||||||||
$— | $— | $934,252,812 | $78,024,569 | $81,096,104 | $(2,296,856) | $(36,332,778) | $892,551,643 | |||||||||
† Includes reinvestments of distributions paid. |
Stock Index Fund | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at May 31 , 2022 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at August 31 , 2022 | ||||||||
American International Group, Inc. - Common Stock | $41,773 | $— | $7,660,204 | $— | $728,207 | $254,498 | $(1,164,089) | $6,022,406 |