NPORT-EX 2 c10913bnymellon-january20241.htm Untitled Document

STATEMENT OF INVESTMENTS
BNY Mellon Smallcap Stock Index Fund

January 31, 2024 (Unaudited)

        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 99.1%

     

Automobiles & Components - 1.5%

     

American Axle & Manufacturing Holdings, Inc.

   

119,558

a 

967,224

 

Dana, Inc.

   

127,885

 

1,734,121

 

Dorman Products, Inc.

   

28,633

a 

2,331,013

 

Gentherm, Inc.

   

33,646

a 

1,620,055

 

LCI Industries

   

25,736

b 

2,863,902

 

Patrick Industries, Inc.

   

21,251

 

2,133,388

 

Phinia, Inc.

   

47,627

 

1,440,240

 

Standard Motor Products, Inc.

   

19,223

 

775,648

 

Winnebago Industries, Inc.

   

29,841

 

1,961,151

 

XPEL, Inc.

   

21,814

a 

1,165,958

 
    

16,992,700

 

Banks - 9.2%

     

Ameris Bancorp

   

66,100

 

3,281,204

 

Atlantic Union Bankshares Corp.

   

76,173

 

2,602,070

 

Axos Financial, Inc.

   

52,042

a 

2,884,688

 

Banc of California, Inc.

   

130,656

 

1,800,440

 

BancFirst Corp.

   

14,786

 

1,308,709

 

Bank of Hawaii Corp.

   

40,364

 

2,552,216

 

BankUnited, Inc.

   

75,255

 

2,126,706

 

Banner Corp.

   

34,192

 

1,592,663

 

Berkshire Hills Bancorp, Inc.

   

43,131

 

1,035,144

 

Brookline Bancorp, Inc.

   

89,594

 

969,407

 

Capitol Federal Financial, Inc.

   

126,320

 

800,869

 

Cathay General Bancorp

   

73,929

 

3,043,657

 

Central Pacific Financial Corp.

   

27,408

 

528,152

 

City Holding Co.

   

15,277

 

1,561,462

 

Community Bank System, Inc.

   

54,195

 

2,480,505

 

Customers Bancorp, Inc.

   

28,836

a 

1,540,996

 

CVB Financial Corp.

   

134,233

 

2,251,087

 

Dime Community Bancshares, Inc.

   

37,258

 

849,855

 

Eagle Bancorp, Inc.

   

29,811

 

739,015

 

FB Financial Corp.

   

35,906

 

1,337,498

 

First BanCorp.

   

42,007

 

1,451,762

 

First BanCorp.

   

175,125

 

2,921,085

 

First Commonwealth Financial Corp.

   

104,284

 

1,461,019

 

First Financial Bancorp

   

95,572

 

2,142,724

 

First Hawaiian, Inc.

   

128,916

 

2,796,188

 

Fulton Financial Corp.

   

166,369

 

2,593,693

 

Hanmi Financial Corp.

   

31,490

 

527,457

 


STATEMENT OF INVESTMENTS (Unaudited) (continued)

        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 99.1% (continued)

     

Banks - 9.2% (continued)

     

Heritage Financial Corp.

   

35,470

 

714,720

 

Hilltop Holdings, Inc.

   

47,014

 

1,480,471

 

Hope Bancorp, Inc.

   

121,811

 

1,349,666

 

Independent Bank Corp.

   

44,526

 

2,497,463

 

Independent Bank Group, Inc.

   

36,138

 

1,747,272

 

Lakeland Financial Corp.

   

26,131

 

1,749,732

 

National Bank Holdings Corp., Cl. A

   

38,077

 

1,332,695

 

NBT Bancorp, Inc.

   

48,379

 

1,720,841

 

Northfield Bancorp, Inc.

   

40,207

 

483,690

 

Northwest Bancshares, Inc.

   

129,712

 

1,604,537

 

OFG Bancorp

   

47,264

 

1,737,897

 

Pacific Premier Bancorp, Inc.

   

97,114

 

2,463,782

 

Park National Corp.

   

14,760

 

1,928,837

 

Pathward Financial, Inc.

   

26,621

 

1,378,435

 

Preferred Bank

   

12,832

 

921,851

 

Provident Financial Services, Inc.

   

76,137

 

1,260,067

 

Renasant Corp.

   

56,353

 

1,782,445

 

S&T Bancorp, Inc.

   

39,155

 

1,305,428

 

Seacoast Banking Corp. of Florida

   

85,932

 

2,110,490

 

ServisFirst Bancshares, Inc.

   

49,634

 

3,332,427

 

Simmons First National Corp., Cl. A

   

126,275

 

2,400,488

 

Southside Bancshares, Inc.

   

29,443

 

921,566

 

Stellar Bancorp, Inc.

   

47,541

 

1,189,951

 

The Bancorp, Inc.

   

54,201

a 

2,365,332

 

Tompkins Financial Corp.

   

12,796

 

631,994

 

Triumph Financial, Inc.

   

22,226

a 

1,570,267

 

TrustCo Bank Corp.

   

19,510

 

563,839

 

Trustmark Corp.

   

61,342

 

1,655,621

 

United Community Banks, Inc.

   

120,015

 

3,281,210

 

Veritex Holdings, Inc.

   

55,102

 

1,157,693

 

WaFd, Inc.

   

65,023

 

1,888,268

 

Westamerica Bancorporation

   

27,377

 

1,306,430

 

WSFS Financial Corp.

   

61,383

 

2,732,157

 
    

103,747,833

 

Capital Goods - 11.9%

     

3D Systems Corp.

   

136,217

a 

652,479

 

AAON, Inc.

   

68,379

 

4,797,471

 

AAR Corp.

   

33,614

a 

2,044,404

 

AeroVironment, Inc.

   

26,720

a 

3,223,501

 

Alamo Group, Inc.

   

10,435

 

2,215,142

 

Albany International Corp., Cl. A

   

31,545

 

2,804,666

 

American Woodmark Corp.

   

16,846

a 

1,537,703

 

Apogee Enterprises, Inc.

   

22,218

 

1,173,333

 

Applied Industrial Technologies, Inc.

   

39,252

 

6,926,408

 


        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 99.1% (continued)

     

Capital Goods - 11.9% (continued)

     

Arcosa, Inc.

   

49,634

 

3,885,350

 

Armstrong World Industries, Inc.

   

44,671

 

4,431,810

 

Astec Industries, Inc.

   

23,148

 

824,069

 

AZZ, Inc.

   

25,473

 

1,590,789

 

Barnes Group, Inc.

   

52,012

 

1,722,117

 

Boise Cascade Co.

   

40,111

 

5,433,436

 

DNOW, Inc.

   

108,664

a 

1,096,420

 

DXP Enterprises, Inc.

   

14,114

a 

454,753

 

Dycom Industries, Inc.

   

29,852

a 

3,334,468

 

Encore Wire Corp.

   

16,046

 

3,618,373

 

Enerpac Tool Group Corp.

   

54,662

a 

1,707,094

 

EnPro, Inc.

   

21,255

 

3,175,072

 

ESCO Technologies, Inc.

   

26,147

 

2,663,595

 

Federal Signal Corp.

   

61,710

 

4,750,436

 

Franklin Electric Co., Inc.

   

40,005

 

3,770,871

 

Gibraltar Industries, Inc.

   

30,750

a 

2,488,290

 

GMS, Inc.

   

41,253

a 

3,471,852

 

Granite Construction, Inc.

   

44,354

 

2,000,809

 

Griffon Corp.

   

41,447

 

2,414,702

 

Hayward Holdings, Inc.

   

128,517

a 

1,609,033

 

Hillenbrand, Inc.

   

71,086

 

3,310,475

 

Insteel Industries, Inc.

   

19,851

 

687,440

 

John Bean Technologies Corp.

   

32,217

 

3,181,751

 

Kaman Corp.

   

28,407

 

1,279,735

 

Kennametal, Inc.

   

80,895

 

1,983,545

 

Lindsay Corp.

   

11,277

 

1,467,250

 

Masterbrand, Inc.

   

127,930

a 

1,799,975

 

Mercury Systems, Inc.

   

52,312

a 

1,551,574

 

Moog, Inc., Cl. A

   

29,278

 

4,093,064

 

Mueller Industries, Inc.

   

115,749

 

5,555,952

 

MYR Group, Inc.

   

16,920

a 

2,433,942

 

National Presto Industries, Inc.

   

5,669

a 

448,815

 

PGT Innovations, Inc.

   

58,142

a 

2,396,613

 

Powell Industries, Inc.

   

9,441

 

1,119,042

 

Proto Labs, Inc.

   

26,456

a 

954,797

 

Quanex Building Products Corp.

   

33,236

 

1,037,628

 

Resideo Technologies, Inc.

   

147,907

a 

2,480,400

 

Rush Enterprises, Inc., Cl. A

   

62,401

 

2,802,429

 

SPX Technologies, Inc.

   

46,257

a 

4,655,304

 

Standex International Corp.

   

11,979

 

1,768,819

 

SunPower Corp.

   

86,894

a,b 

263,289

 

Tennant Co.

   

18,744

 

1,771,683

 

The Greenbrier Companies, Inc.

   

31,927

 

1,451,401

 

Titan International, Inc.

   

50,534

a 

745,882

 


STATEMENT OF INVESTMENTS (Unaudited) (continued)

        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 99.1% (continued)

     

Capital Goods - 11.9% (continued)

     

Trinity Industries, Inc.

   

82,380

 

2,071,033

 

Triumph Group, Inc.

   

78,398

a 

1,270,048

 

Vicor Corp.

   

23,151

a 

872,098

 

Wabash National Corp.

   

46,566

 

1,178,120

 
    

134,450,550

 

Commercial & Professional Services - 3.4%

     

ABM Industries, Inc.

   

66,524

 

2,713,514

 

Brady Corp., Cl. A

   

45,503

 

2,740,646

 

CoreCivic, Inc.

   

116,511

a 

1,656,786

 

CSG Systems International, Inc.

   

28,661

 

1,441,935

 

Deluxe Corp.

   

44,368

 

838,999

 

Enviri Corp.

   

83,769

a 

721,251

 

Forrester Research, Inc.

   

11,359

a 

289,427

 

Healthcare Services Group, Inc.

   

72,789

a 

687,128

 

Heidrick & Struggles International, Inc.

   

20,007

 

599,610

 

HNI Corp.

   

46,786

 

1,905,126

 

Interface, Inc.

   

59,000

 

732,190

 

Kelly Services, Inc., Cl. A

   

32,604

 

670,012

 

Korn Ferry

   

53,452

 

3,136,029

 

Liquidity Services, Inc.

   

23,089

a 

402,903

 

Matthews International Corp., Cl. A

   

31,216

 

1,027,006

 

MillerKnoll, Inc.

   

75,507

 

2,007,731

 

NV5 Global, Inc.

   

12,992

a 

1,362,731

 

Openlane, Inc.

   

110,084

a 

1,549,983

 

Pitney Bowes, Inc.

   

157,284

 

646,437

 

Resources Connection, Inc.

   

32,571

 

438,406

 

The GEO Group, Inc.

   

124,255

a 

1,381,716

 

TrueBlue, Inc.

   

31,413

a 

432,871

 

TTEC Holdings, Inc.

   

18,483

a 

376,684

 

UniFirst Corp.

   

15,260

 

2,585,349

 

Verra Mobility Corp.

   

168,038

a 

4,017,789

 

Vestis Corp.

   

132,484

 

2,835,158

 

Viad Corp.

   

21,334

a 

705,302

 
    

37,902,719

 

Consumer Discretionary Distribution & Retail - 5.1%

     

Abercrombie & Fitch Co., Cl. A

   

51,290

a 

5,226,451

 

Academy Sports & Outdoors, Inc.

   

75,541

 

4,738,687

 

Advance Auto Parts, Inc.

   

60,586

 

4,050,174

 

American Eagle Outfitters, Inc.

   

188,923

 

3,744,454

 

America's Car-Mart, Inc.

   

5,976

a 

363,879

 

Asbury Automotive Group, Inc.

   

20,834

a 

4,355,556

 

Boot Barn Holdings, Inc.

   

30,577

a,b 

2,193,594

 

Caleres, Inc.

   

34,261

 

1,074,768

 

Designer Brands, Inc., Cl. A

   

46,908

 

402,002

 


        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 99.1% (continued)

     

Consumer Discretionary Distribution & Retail - 5.1% (continued)

     

Foot Locker, Inc.

   

82,910

 

2,334,746

 

Group 1 Automotive, Inc.

   

14,064

 

3,657,484

 

Guess?, Inc.

   

27,718

 

619,220

 

Haverty Furniture Cos., Inc.

   

13,222

 

448,226

 

Hibbett, Inc.

   

12,571

 

837,857

 

Kohl's Corp.

   

112,403

 

2,895,501

 

Leslie's, Inc.

   

187,264

a 

1,256,541

 

MarineMax, Inc.

   

20,449

a 

572,572

 

Monro, Inc.

   

31,286

 

996,772

 

National Vision Holdings, Inc.

   

80,298

a 

1,526,465

 

Sally Beauty Holdings, Inc.

   

110,261

a 

1,358,416

 

Shoe Carnival, Inc.

   

18,390

 

468,945

 

Signet Jewelers Ltd.

   

45,421

 

4,518,481

 

Sonic Automotive, Inc., Cl. A

   

15,219

 

769,473

 

The Buckle, Inc.

   

30,141

 

1,120,944

 

The ODP Corp.

   

33,472

a 

1,711,758

 

Upbound Group, Inc.

   

45,615

 

1,514,418

 

Urban Outfitters, Inc.

   

57,242

a 

2,175,196

 

Victoria's Secret & Co.

   

78,059

a,b 

2,033,437

 
    

56,966,017

 

Consumer Durables & Apparel - 5.0%

     

Cavco Industries, Inc.

   

7,864

a 

2,610,219

 

Century Communities, Inc.

   

28,325

 

2,455,777

 

Ethan Allen Interiors, Inc.

   

23,288

 

678,379

 

G-III Apparel Group Ltd.

   

41,355

a 

1,244,372

 

Green Brick Partners, Inc.

   

26,082

a 

1,360,698

 

Hanesbrands, Inc.

   

359,410

a 

1,617,345

 

Installed Building Products, Inc.

   

23,866

 

4,650,290

 

iRobot Corp.

   

28,608

a,b 

389,069

 

Kontoor Brands, Inc.

   

50,858

 

2,981,296

 

La-Z-Boy, Inc.

   

44,057

 

1,533,624

 

LGI Homes, Inc.

   

20,805

a 

2,455,198

 

M.D.C. Holdings, Inc.

   

60,857

 

3,808,431

 

M/I Homes, Inc.

   

28,089

a 

3,579,100

 

Meritage Homes Corp.

   

37,359

 

6,187,024

 

Movado Group, Inc.

   

16,210

 

447,072

 

Newell Brands, Inc.

   

387,740

 

3,225,997

 

Oxford Industries, Inc.

   

14,696

 

1,395,091

 

Sonos, Inc.

   

129,503

a 

2,017,657

 

Steven Madden Ltd.

   

71,219

 

2,982,652

 

Sturm Ruger & Co., Inc.

   

17,922

 

782,475

 

Topgolf Callaway Brands Corp.

   

143,182

a 

1,885,707

 

Tri Pointe Homes, Inc.

   

98,659

a 

3,406,695

 


STATEMENT OF INVESTMENTS (Unaudited) (continued)

        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 99.1% (continued)

     

Consumer Durables & Apparel - 5.0% (continued)

     

Vista Outdoor, Inc.

   

58,425

a 

1,639,990

 

Wolverine World Wide, Inc.

   

81,538

 

681,658

 

Worthington Enterprises, Inc.

   

31,266

b 

1,783,413

 
    

55,799,229

 

Consumer Services - 3.1%

     

Adtalem Global Education, Inc.

   

40,311

a 

2,034,899

 

BJ's Restaurants, Inc.

   

23,650

a 

818,526

 

Bloomin' Brands, Inc.

   

87,856

 

2,338,727

 

Brinker International, Inc.

   

44,263

a 

1,894,014

 

Chuy's Holdings, Inc.

   

18,029

a 

609,560

 

Cracker Barrel Old Country Store, Inc.

   

22,723

b 

1,757,624

 

Dave & Buster's Entertainment, Inc.

   

34,529

a 

1,848,337

 

Dine Brands Global, Inc.

   

15,615

 

728,440

 

Frontdoor, Inc.

   

80,769

a 

2,645,992

 

Golden Entertainment, Inc.

   

21,949

a 

842,403

 

Jack in the Box, Inc.

   

20,612

 

1,607,118

 

Mister Car Wash, Inc.

   

93,030

a,b 

772,149

 

Monarch Casino & Resort, Inc.

   

13,582

 

936,207

 

Papa John's International, Inc.

   

33,153

 

2,436,082

 

Perdoceo Education Corp.

   

67,483

 

1,221,442

 

Sabre Corp.

   

389,355

a 

1,596,355

 

Shake Shack, Inc., Cl. A

   

38,013

a 

2,872,262

 

Six Flags Entertainment Corp.

   

73,767

a 

1,859,666

 

Strategic Education, Inc.

   

22,155

 

2,083,899

 

Stride, Inc.

   

40,285

a 

2,415,086

 

The Cheesecake Factory, Inc.

   

47,149

b 

1,620,511

 
    

34,939,299

 

Consumer Staples Distribution & Retail - .6%

     

PriceSmart, Inc.

   

25,217

a 

1,916,996

 

SpartanNash Co.

   

35,045

 

786,059

 

The Andersons, Inc.

   

32,566

 

1,716,554

 

The Chefs' Warehouse, Inc.

   

36,142

a 

1,150,038

 

United Natural Foods, Inc.

   

60,158

a 

896,956

 
    

6,466,603

 

Energy - 4.6%

     

Archrock, Inc.

   

141,005

 

2,304,022

 

Bristow Group, Inc.

   

23,857

a 

629,348

 

California Resources Corp.

   

65,600

 

3,127,808

 

Callon Petroleum Co.

   

55,592

a 

1,785,615

 

Comstock Resources, Inc.

   

94,852

b 

740,794

 

CONSOL Energy, Inc.

   

28,285

a 

2,675,761

 

Core Laboratories, Inc.

   

47,834

 

754,342

 

CVR Energy, Inc.

   

29,154

 

983,364

 

Dorian LPG Ltd.

   

34,969

a,b 

1,309,239

 


        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 99.1% (continued)

     

Energy - 4.6% (continued)

     

Dril-Quip, Inc.

   

33,766

a 

677,684

 

Green Plains, Inc.

   

65,521

a 

1,358,250

 

Helix Energy Solutions Group, Inc.

   

145,067

a 

1,363,630

 

Helmerich & Payne, Inc.

   

101,100

 

4,070,286

 

Liberty Energy, Inc.

   

155,762

 

3,238,292

 

Nabors Industries Ltd.

   

9,083

a 

768,240

 

Northern Oil & Gas, Inc.

   

92,736

 

3,106,656

 

Oceaneering International, Inc.

   

101,393

a 

2,106,947

 

Oil States International, Inc.

   

66,215

a 

408,547

 

Par Pacific Holdings, Inc.

   

56,068

a 

2,051,528

 

Patterson-UTI Energy, Inc.

   

326,873

 

3,625,022

 

Peabody Energy Corp.

   

111,607

 

2,979,907

 

ProPetro Holding Corp.

   

83,710

a 

708,187

 

REX American Resources Corp.

   

15,444

a 

639,227

 

RPC, Inc.

   

85,403

 

624,296

 

SM Energy Co.

   

117,171

 

4,344,701

 

Talos Energy, Inc.

   

133,544

a 

1,732,066

 

U.S. Silica Holdings, Inc.

   

78,649

a 

843,117

 

Vital Energy, Inc.

   

25,331

a 

1,110,258

 

World Kinect Corp.

   

61,697

 

1,392,501

 
    

51,459,635

 

Equity Real Estate Investment Trusts - 6.7%

     

Acadia Realty Trust

   

96,900

c 

1,653,114

 

Alexander & Baldwin, Inc.

   

73,185

c 

1,267,564

 

American Assets Trust, Inc.

   

48,992

c 

1,098,891

 

Apple Hospitality REIT, Inc.

   

214,871

c 

3,450,828

 

Armada Hoffler Properties, Inc.

   

69,736

c 

834,043

 

Brandywine Realty Trust

   

173,706

c 

823,366

 

CareTrust REIT, Inc.

   

120,446

c 

2,519,730

 

Centerspace

   

15,221

c 

833,502

 

Chatham Lodging Trust

   

49,578

c 

520,569

 

Community Healthcare Trust, Inc.

   

25,811

c 

660,503

 

DiamondRock Hospitality Co.

   

209,423

c 

1,914,126

 

Douglas Emmett, Inc.

   

168,543

c 

2,283,758

 

Easterly Government Properties, Inc.

   

96,004

b,c 

1,178,929

 

Elme Communities

   

89,165

c 

1,291,109

 

Essential Properties Realty Trust, Inc.

   

157,368

c 

3,920,037

 

Four Corners Property Trust, Inc.

   

92,343

c 

2,161,750

 

Getty Realty Corp.

   

49,117

c 

1,358,576

 

Global Net Lease, Inc.

   

195,682

b,c 

1,653,513

 

Highwoods Properties, Inc.

   

106,539

c 

2,447,201

 

Hudson Pacific Properties, Inc.

   

129,419

a,c 

1,059,942

 

Innovative Industrial Properties, Inc.

   

28,454

c 

2,652,766

 

JBG SMITH Properties

   

89,254

c 

1,428,064

 


STATEMENT OF INVESTMENTS (Unaudited) (continued)

        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 99.1% (continued)

     

Equity Real Estate Investment Trusts - 6.7% (continued)

     

LTC Properties, Inc.

   

42,063

c 

1,311,104

 

LXP Industrial Trust

   

295,723

c 

2,688,122

 

NexPoint Residential Trust, Inc.

   

22,855

c 

698,220

 

Outfront Media, Inc.

   

146,533

c 

1,907,860

 

Pebblebrook Hotel Trust

   

121,412

c 

1,847,891

 

Phillips Edison & Co., Inc.

   

121,936

c 

4,232,399

 

Retail Opportunity Investments Corp.

   

128,666

c 

1,748,571

 

Safehold, Inc.

   

45,747

b,c 

908,535

 

Saul Centers, Inc.

   

13,731

c 

525,348

 

Service Properties Trust

   

168,677

c 

1,303,873

 

SITE Centers Corp.

   

181,602

c 

2,418,939

 

SL Green Realty Corp.

   

65,458

c 

2,942,337

 

Summit Hotel Properties, Inc.

   

109,575

c 

710,046

 

Sunstone Hotel Investors, Inc.

   

207,308

c 

2,211,976

 

Tanger, Inc.

   

106,956

c 

2,877,116

 

The Macerich Company

   

218,729

c 

3,453,731

 

Uniti Group, Inc.

   

243,046

c 

1,278,422

 

Universal Health Realty Income Trust

   

13,185

c 

524,895

 

Urban Edge Properties

   

118,163

c 

2,040,675

 

Veris Residential, Inc.

   

82,375

c 

1,256,219

 

Whitestone REIT

   

47,741

c 

616,814

 

Xenia Hotels & Resorts, Inc.

   

106,092

c 

1,414,206

 
    

75,929,180

 

Financial Services - 6.3%

     

Apollo Commercial Real Estate Finance, Inc.

   

129,818

b,c 

1,448,769

 

Arbor Realty Trust, Inc.

   

190,819

b,c 

2,537,893

 

ARMOUR Residential REIT, Inc.

   

48,835

c 

930,307

 

Artisan Partners Asset Management, Inc., Cl. A

   

69,573

 

2,915,109

 

B. Riley Financial, Inc.

   

17,637

b 

413,059

 

Blackstone Mortgage Trust, Inc., Cl. A

   

175,138

b,c 

3,457,224

 

Bread Financial Holdings, Inc.

   

49,390

 

1,791,375

 

Brightsphere Investment Group, Inc.

   

33,480

 

740,578

 

Donnelley Financial Solutions, Inc.

   

25,314

a 

1,572,506

 

Ellington Financial, Inc.

   

79,951

b,c 

976,202

 

Encore Capital Group, Inc.

   

23,971

a 

1,200,468

 

Enova International, Inc.

   

30,031

a 

1,634,587

 

EVERTEC, Inc.

   

66,674

a 

2,677,628

 

EZCORP, Inc., Cl. A

   

52,155

a 

448,533

 

Franklin BSP Realty Trust, Inc.

   

84,304

c 

1,080,777

 

Green Dot Corp., Cl. A

   

46,792

a 

421,596

 

Hannon Armstrong Sustainable Infrastructure Capital, Inc.

   

112,532

b,c 

2,677,136

 


        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 99.1% (continued)

     

Financial Services - 6.3% (continued)

     

Jackson Financial, Inc., Cl. A

   

71,994

 

3,604,740

 

KKR Real Estate Finance Trust, Inc.

   

59,491

c 

728,170

 

Moelis & Co., Cl. A

   

67,254

 

3,696,952

 

Mr. Cooper Group, Inc.

   

66,669

a 

4,490,824

 

Navient Corp.

   

86,718

 

1,493,284

 

NCR Atleos Corp.

   

68,644

a 

1,536,939

 

New York Mortgage Trust, Inc.

   

92,411

b,c 

724,502

 

NMI Holdings, Inc., Cl. A

   

81,564

a 

2,603,523

 

Payoneer Global, Inc.

   

266,984

a 

1,249,485

 

PennyMac Mortgage Investment Trust

   

88,031

c 

1,262,365

 

Piper Sandler Cos.

   

15,252

 

2,646,069

 

PJT Partners, Inc., Cl. A

   

22,711

 

2,184,117

 

PRA Group, Inc.

   

40,306

a 

917,768

 

PROG Holdings, Inc.

   

45,523

a 

1,394,825

 

Radian Group, Inc.

   

156,154

 

4,525,343

 

Ready Capital Corp.

   

162,269

b,c 

1,520,461

 

Redwood Trust, Inc.

   

121,430

c 

814,795

 

StoneX Group, Inc.

   

27,595

a 

1,814,371

 

Two Harbors Investment Corp.

   

97,805

c 

1,218,650

 

Virtus Investment Partners, Inc.

   

6,855

 

1,618,534

 

Walker & Dunlop, Inc.

   

34,065

 

3,290,338

 

WisdomTree, Inc.

   

112,543

 

761,916

 

World Acceptance Corp.

   

3,539

a 

464,706

 
    

71,486,424

 

Food, Beverage & Tobacco - 1.9%

     

B&G Foods, Inc.

   

80,384

b 

808,663

 

Calavo Growers, Inc.

   

18,368

 

479,221

 

Cal-Maine Foods, Inc.

   

41,149

 

2,280,478

 

Fresh Del Monte Produce, Inc.

   

34,242

 

841,668

 

J&J Snack Foods Corp.

   

15,669

 

2,494,975

 

John B. Sanfilippo & Son, Inc.

   

9,075

a 

972,205

 

MGP Ingredients, Inc.

   

15,988

 

1,358,181

 

National Beverage Corp.

   

24,059

a 

1,112,488

 

The Hain Celestial Group, Inc.

   

90,471

a 

968,944

 

The Simply Good Foods Company

   

92,285

a 

3,488,373

 

Tootsie Roll Industries, Inc.

   

17,564

 

572,411

 

TreeHouse Foods, Inc.

   

50,639

a 

2,131,902

 

Universal Corp.

   

25,207

 

1,460,746

 

Vector Group Ltd.

   

134,666

 

1,409,953

 

WK Kellogg Co.

   

67,264

 

873,759

 
    

21,253,967

 

Health Care Equipment & Services - 6.2%

     

AdaptHealth Corp.

   

83,112

a 

600,069

 

Addus HomeCare Corp.

   

16,569

a 

1,434,875

 


STATEMENT OF INVESTMENTS (Unaudited) (continued)

        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 99.1% (continued)

     

Health Care Equipment & Services - 6.2% (continued)

     

Agiliti, Inc.

   

35,733

a 

253,347

 

AMN Healthcare Services, Inc.

   

38,208

a 

2,827,774

 

Apollo Medical Holdings, Inc.

   

42,641

a 

1,481,775

 

Artivion, Inc.

   

39,844

a 

666,192

 

Avanos Medical, Inc.

   

47,368

a 

908,992

 

Certara, Inc.

   

107,898

a 

1,743,632

 

CONMED Corp.

   

31,212

 

2,983,867

 

CorVel Corp.

   

9,168

a 

2,157,597

 

Cross Country Healthcare, Inc.

   

33,462

a 

711,067

 

Embecta Corp.

   

57,815

 

990,949

 

Enhabit, Inc.

   

52,524

a 

529,967

 

Fulgent Genetics, Inc.

   

20,157

a 

495,661

 

Glaukos Corp.

   

49,600

a 

4,415,888

 

HealthStream, Inc.

   

24,562

 

653,840

 

ICU Medical, Inc.

   

20,385

a 

1,865,839

 

Integer Holdings Corp.

   

33,887

a 

3,433,431

 

LeMaitre Vascular, Inc.

   

19,923

 

1,156,331

 

Merit Medical Systems, Inc.

   

58,463

a 

4,577,653

 

ModivCare, Inc.

   

12,664

a 

503,647

 

National HealthCare Corp.

   

13,828

 

1,286,557

 

NeoGenomics, Inc.

   

128,818

a 

1,912,947

 

Omnicell, Inc.

   

46,548

a 

1,497,449

 

OraSure Technologies, Inc.

   

77,238

a 

569,244

 

Owens & Minor, Inc.

   

78,580

a 

1,548,812

 

Patterson Cos., Inc.

   

87,055

 

2,599,462

 

Pediatrix Medical Group, Inc.

   

84,145

a 

787,597

 

Premier, Inc., Cl. A

   

120,105

 

2,596,670

 

Privia Health Group, Inc.

   

103,792

a,b 

2,092,447

 

RadNet, Inc.

   

60,889

a 

2,251,066

 

Schrodinger, Inc.

   

56,179

a,b 

1,485,935

 

Select Medical Holdings Corp.

   

106,377

 

2,764,738

 

Simulations Plus, Inc.

   

15,963

b 

604,998

 

STAAR Surgical Co.

   

50,040

a 

1,401,620

 

Tandem Diabetes Care, Inc.

   

66,815

a 

1,523,382

 

The Ensign Group, Inc.

   

57,062

 

6,460,560

 

U.S. Physical Therapy, Inc.

   

15,282

 

1,409,917

 

UFP Technologies, Inc.

   

7,079

a 

1,192,882

 

Varex Imaging Corp.

   

40,469

a,b 

779,838

 

Veradigm, Inc.

   

111,379

a 

1,016,890

 
    

70,175,404

 

Household & Personal Products - 1.3%

     

Central Garden & Pet Co.

   

9,549

a,b 

447,848

 

Central Garden & Pet Co., Cl. A

   

41,538

a 

1,714,689

 

Edgewell Personal Care Co.

   

51,645

 

1,913,447

 


        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 99.1% (continued)

     

Household & Personal Products - 1.3% (continued)

     

Energizer Holdings, Inc.

   

67,045

 

2,119,963

 

Inter Parfums, Inc.

   

18,112

 

2,520,285

 

Medifast, Inc.

   

11,024

 

602,462

 

Nu Skin Enterprises, Inc., Cl. A

   

50,113

 

930,097

 

USANA Health Sciences, Inc.

   

11,115

a 

520,404

 

WD-40 Co.

   

13,794

 

3,572,370

 
    

14,341,565

 

Insurance - 2.8%

     

Ambac Financial Group, Inc.

   

46,113

a 

749,336

 

American Equity Investment Life Holding Co.

   

63,498

a 

3,505,725

 

AMERISAFE, Inc.

   

19,427

 

968,242

 

Assured Guaranty Ltd.

   

54,998

 

4,461,988

 

Employers Holdings, Inc.

   

26,600

 

1,109,752

 

Genworth Financial, Inc., Cl. A

   

458,546

a 

2,829,229

 

Goosehead Insurance, Inc., Cl. A

   

24,936

a 

1,925,059

 

HCI Group, Inc.

   

6,336

b 

568,149

 

Horace Mann Educators Corp.

   

41,246

 

1,519,090

 

Lincoln National Corp.

   

171,658

 

4,712,012

 

Mercury General Corp.

   

26,701

 

1,069,375

 

Palomar Holdings, Inc.

   

25,073

a 

1,501,120

 

ProAssurance Corp.

   

51,886

a 

698,386

 

Safety Insurance Group, Inc.

   

15,113

 

1,259,064

 

SiriusPoint Ltd.

   

91,083

a 

1,074,779

 

Stewart Information Services Corp.

   

28,065

 

1,730,488

 

Trupanion, Inc.

   

36,368

a,b 

989,210

 

United Fire Group, Inc.

   

21,650

 

485,176

 
    

31,156,180

 

Materials - 5.5%

     

AdvanSix, Inc.

   

27,282

 

692,417

 

Alpha Metallurgical Resources, Inc.

   

12,054

 

4,812,439

 

ATI, Inc.

   

129,003

a 

5,272,353

 

Balchem Corp.

   

32,922

 

4,614,347

 

Carpenter Technology Corp.

   

50,100

 

3,085,659

 

Century Aluminum Co.

   

51,585

a 

575,173

 

Clearwater Paper Corp.

   

16,861

a 

555,907

 

Compass Minerals International, Inc.

   

34,279

b 

770,935

 

H.B. Fuller Co.

   

54,658

 

4,141,437

 

Hawkins, Inc.

   

19,237

 

1,280,607

 

Haynes International, Inc.

   

12,935

 

720,091

 

Ingevity Corp.

   

34,499

a 

1,502,776

 

Innospec, Inc.

   

25,202

 

2,926,204

 

Kaiser Aluminum Corp.

   

16,221

 

1,052,743

 

Koppers Holdings, Inc.

   

20,880

 

1,067,803

 


STATEMENT OF INVESTMENTS (Unaudited) (continued)

        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 99.1% (continued)

     

Materials - 5.5% (continued)

     

Materion Corp.

   

20,891

 

2,443,620

 

Mativ Holdings, Inc.

   

54,698

 

658,017

 

Mercer International, Inc.

   

45,903

 

388,339

 

Minerals Technologies, Inc.

   

32,887

 

2,149,165

 

Myers Industries, Inc.

   

36,917

 

692,194

 

O-I Glass, Inc.

   

157,103

a 

2,287,420

 

Olympic Steel, Inc.

   

9,824

 

663,906

 

Quaker Chemical Corp.

   

13,983

 

2,655,931

 

Sealed Air Corp.

   

146,344

 

5,056,185

 

Sensient Technologies Corp.

   

42,638

 

2,644,835

 

Stepan Co.

   

21,429

 

1,912,967

 

SunCoke Energy, Inc.

   

84,454

 

865,653

 

Sylvamo Corp.

   

36,234

 

1,682,345

 

TimkenSteel Corp.

   

39,760

a 

817,068

 

Warrior Met Coal, Inc.

   

53,006

 

3,401,395

 

Worthington Steel, Inc.

   

30,898

b 

925,395

 
    

62,315,326

 

Media & Entertainment - 1.8%

     

AMC Networks, Inc., Cl. A

   

31,165

a 

563,775

 

CarGurus, Inc.

   

86,399

a 

2,007,913

 

Cars.com, Inc.

   

61,869

a 

1,078,377

 

Cinemark Holdings, Inc.

   

108,633

a 

1,502,394

 

John Wiley & Sons, Inc., Cl. A

   

43,502

 

1,472,108

 

Madison Square Garden Sports Corp.

   

16,881

a 

3,124,673

 

QuinStreet, Inc.

   

53,166

a 

673,613

 

Scholastic Corp.

   

28,007

 

1,076,589

 

Shutterstock, Inc.

   

24,500

 

1,150,765

 

TechTarget, Inc.

   

25,730

a 

879,194

 

The E.W. Scripps Company, Cl. A

   

61,094

a 

486,919

 

The Marcus Corp.

   

23,883

 

324,331

 

Thryv Holdings, Inc.

   

30,752

a 

628,571

 

TripAdvisor, Inc.

   

109,396

a 

2,362,954

 

Yelp, Inc.

   

69,481

a 

3,038,404

 
    

20,370,580

 

Pharmaceuticals, Biotechnology & Life Sciences - 4.4%

     

Alkermes PLC

   

168,683

a 

4,562,875

 

Amphastar Pharmaceuticals, Inc.

   

37,784

a 

2,016,154

 

ANI Pharmaceuticals, Inc.

   

15,411

a 

860,242

 

Arcus Biosciences, Inc.

   

54,625

a 

827,022

 

BioLife Solutions, Inc.

   

35,572

a,b 

604,724

 

Catalyst Pharmaceuticals, Inc.

   

113,463

a 

1,633,867

 

Collegium Pharmaceutical, Inc.

   

32,736

a 

1,078,979

 

Corcept Therapeutics, Inc.

   

91,248

a 

1,925,333

 

Cytek Biosciences, Inc.

   

101,390

a,b 

765,494

 


        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 99.1% (continued)

     

Pharmaceuticals, Biotechnology & Life Sciences - 4.4% (continued)

     

Cytokinetics, Inc.

   

99,461

a 

7,770,888

 

Dynavax Technologies Corp.

   

129,472

a 

1,672,778

 

Fortrea Holdings, Inc.

   

90,247

a 

2,794,047

 

Harmony Biosciences Holdings, Inc.

   

33,665

a 

1,061,794

 

Innoviva, Inc.

   

57,566

a 

932,569

 

Ironwood Pharmaceuticals, Inc.

   

140,640

a 

1,995,682

 

Ligand Pharmaceuticals, Inc.

   

16,519

a 

1,207,539

 

Mesa Laboratories, Inc.

   

5,226

 

478,806

 

Myriad Genetics, Inc.

   

90,994

a 

1,946,362

 

Organon & Co.

   

260,343

 

4,334,711

 

Pacira Biosciences, Inc.

   

47,539

a 

1,549,296

 

Phibro Animal Health Corp., Cl. A

   

20,378

 

220,286

 

Prestige Consumer Healthcare, Inc.

   

50,372

a 

3,099,893

 

REGENXBIO, Inc.

   

40,831

a 

503,038

 

Supernus Pharmaceuticals, Inc.

   

55,851

a 

1,545,956

 

Vericel Corp.

   

48,121

a 

2,068,241

 

Vir Biotechnology, Inc.

   

86,914

a 

816,992

 

Xencor, Inc.

   

61,820

a 

1,156,034

 
    

49,429,602

 

Real Estate Management & Development - .7%

     

Anywhere Real Estate, Inc.

   

113,458

a 

807,821

 

Cushman & Wakefield PLC

   

172,706

a 

1,816,867

 

eXp World Holdings, Inc.

   

78,966

 

977,599

 

Kennedy-Wilson Holdings, Inc.

   

121,596

 

1,270,678

 

Marcus & Millichap, Inc.

   

23,996

a 

914,008

 

The St. Joe Company

   

36,032

 

1,988,966

 
    

7,775,939

 

Semiconductors & Semiconductor Equipment - 2.9%

     

Alpha & Omega Semiconductor Ltd.

   

23,498

a 

602,959

 

Axcelis Technologies, Inc.

   

33,298

a 

4,330,405

 

CEVA, Inc.

   

24,053

a 

461,818

 

Cohu, Inc.

   

47,170

a 

1,502,836

 

Diodes, Inc.

   

46,836

a 

3,153,000

 

FormFactor, Inc.

   

79,026

a 

3,063,838

 

Ichor Holdings Ltd.

   

30,039

a 

1,087,412

 

Kulicke & Soffa Industries, Inc.

   

57,420

 

2,889,374

 

MaxLinear, Inc.

   

74,559

a 

1,552,318

 

PDF Solutions, Inc.

   

31,363

a 

978,526

 

Photronics, Inc.

   

64,294

a 

1,878,671

 

Semtech Corp.

   

65,910

a 

1,307,654

 

SiTime Corp.

   

17,470

a 

1,861,778

 

SMART Global Holdings, Inc.

   

52,366

a 

1,028,992

 

SolarEdge Technologies, Inc.

   

57,479

a,b 

3,822,353

 


STATEMENT OF INVESTMENTS (Unaudited) (continued)

        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 99.1% (continued)

     

Semiconductors & Semiconductor Equipment - 2.9% (continued)

     

Ultra Clean Holdings, Inc.

   

44,941

a 

1,716,746

 

Veeco Instruments, Inc.

   

56,428

a 

1,798,925

 
    

33,037,605

 

Software & Services - 4.0%

     

A10 Networks, Inc.

   

70,116

 

937,451

 

ACI Worldwide, Inc.

   

110,638

a 

3,326,885

 

Adeia, Inc.

   

110,171

 

1,337,476

 

Agilysys, Inc.

   

20,862

a 

1,746,358

 

Alarm.com Holdings, Inc.

   

50,855

a 

3,093,001

 

Cerence, Inc.

   

40,444

a 

809,689

 

Consensus Cloud Solutions, Inc.

   

18,496

a 

402,103

 

Digital Turbine, Inc.

   

94,507

a 

509,393

 

DoubleVerify Holdings, Inc.

   

141,125

a 

5,646,411

 

DXC Technology Co.

   

197,354

a 

4,302,317

 

Envestnet, Inc.

   

50,358

a 

2,573,294

 

InterDigital, Inc.

   

26,081

 

2,739,809

 

Liveramp Holdings, Inc.

   

66,281

a 

2,616,774

 

N-Able, Inc.

   

71,191

a 

924,059

 

NCR Voyix Corp.

   

135,541

a 

1,992,453

 

Perficient, Inc.

   

35,170

a 

2,396,132

 

Progress Software Corp.

   

44,034

 

2,501,572

 

SPS Commerce, Inc.

   

37,135

a 

6,825,413

 

Xperi, Inc.

   

43,801

a 

467,795

 
    

45,148,385

 

Technology Hardware & Equipment - 5.1%

     

ADTRAN Holdings, Inc.

   

71,605

a 

448,605

 

Advanced Energy Industries, Inc.

   

37,653

 

3,922,690

 

Arlo Technologies, Inc.

   

95,634

a 

849,230

 

Badger Meter, Inc.

   

29,881

 

4,302,565

 

Benchmark Electronics, Inc.

   

36,342

 

985,595

 

Corsair Gaming, Inc.

   

43,892

a 

558,745

 

CTS Corp.

   

31,498

 

1,293,308

 

Digi International, Inc.

   

36,823

a 

895,167

 

ePlus, Inc.

   

27,227

a 

2,056,728

 

Extreme Networks, Inc.

   

130,849

a 

1,767,770

 

Fabrinet

   

36,850

a 

7,867,843

 

Harmonic, Inc.

   

115,233

a 

1,348,226

 

Insight Enterprises, Inc.

   

28,037

a 

5,179,555

 

Itron, Inc.

   

46,250

a 

3,336,475

 

Knowles Corp.

   

92,135

a 

1,502,722

 

Methode Electronics, Inc.

   

36,803

 

764,030

 

NETSCOUT Systems, Inc.

   

72,619

a 

1,562,035

 

OSI Systems, Inc.

   

15,785

a 

2,020,954

 


        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 99.1% (continued)

     

Technology Hardware & Equipment - 5.1% (continued)

     

PC Connection, Inc.

   

11,568

 

746,252

 

Plexus Corp.

   

27,970

a 

2,649,318

 

Rogers Corp.

   

17,235

a 

1,986,678

 

Sanmina Corp.

   

58,152

a 

3,478,653

 

ScanSource, Inc.

   

25,020

a 

982,285

 

TTM Technologies, Inc.

   

104,135

a 

1,448,518

 

Viasat, Inc.

   

76,773

a,b 

1,706,664

 

Viavi Solutions, Inc.

   

224,554

a 

2,207,366

 

Xerox Holdings Corp.

   

113,780

 

2,100,379

 
    

57,968,356

 

Telecommunication Services - .9%

     

ATN International, Inc.

   

10,684

 

394,240

 

Cogent Communications Holdings, Inc.

   

43,956

b 

3,393,403

 

Consolidated Communications Holdings, Inc.

   

75,078

a 

325,839

 

EchoStar Corp., Cl. A

   

123,719

a,b 

1,656,597

 

Gogo, Inc.

   

62,921

a 

556,851

 

Lumen Technologies, Inc.

   

1,036,118

a 

1,264,064

 

Shenandoah Telecommunications Co.

   

51,457

 

1,054,354

 

Telephone & Data Systems, Inc.

   

101,272

 

1,945,435

 
    

10,590,783

 

Transportation - 2.3%

     

Alaska Air Group, Inc.

   

129,337

a,b 

4,634,145

 

Allegiant Travel Co.

   

15,492

 

1,214,573

 

ArcBest Corp.

   

24,027

 

2,862,336

 

Forward Air Corp.

   

26,361

 

1,168,583

 

Heartland Express, Inc.

   

46,269

 

599,184

 

Hub Group, Inc., Cl. A

   

63,344

a 

2,868,216

 

JetBlue Airways Corp.

   

335,399

a 

1,780,969

 

Marten Transport Ltd.

   

57,795

 

1,069,207

 

Matson, Inc.

   

35,629

 

3,991,517

 

RXO, Inc.

   

118,736

a 

2,469,709

 

SkyWest, Inc.

   

41,377

a 

2,203,739

 

Sun Country Airlines Holdings, Inc.

   

39,301

a 

534,887

 
    

25,397,065

 

Utilities - 1.9%

     

American States Water Co.

   

37,504

 

2,797,798

 

Avista Corp.

   

78,464

 

2,668,561

 

California Water Service Group

   

58,629

 

2,654,135

 

Chesapeake Utilities Corp.

   

21,904

 

2,218,437

 

Clearway Energy, Inc., Cl. A

   

36,356

 

816,556

 

Clearway Energy, Inc., Cl. C

   

82,238

 

1,993,449

 

Middlesex Water Co.

   

18,020

 

1,008,579

 

Northwest Natural Holding Co.

   

37,403

 

1,378,675

 


STATEMENT OF INVESTMENTS (Unaudited) (continued)

        
 

Description

   

Shares

 

Value ($)

 

Common Stocks - 99.1% (continued)

     

Utilities - 1.9% (continued)

     

Otter Tail Corp.

   

42,515

 

3,844,206

 

SJW Group

   

29,043

 

1,729,220

 

Unitil Corp.

   

16,837

 

800,094

 
    

21,909,710

 

Total Common Stocks (cost $780,514,012)

   

1,117,010,656

 
        

Exchange-Traded Funds - .4%

     

Registered Investment Companies - .4%

     

iShares Core S&P Small-Cap ETF
(cost $5,064,182)

   

48,564

 

 5,050,656

 
    

Number of Rights

   

Rights - .0%

     

Pharmaceuticals, Biotechnology & Life Sciences - .0%

     

Omniab Operations, Inc.-Earnout 12.5
(cost $16,946)

   

9,476

d 

0

 

Omniab Operations, Inc.-Earnout 15.0
(cost $16,946)

   

9,476

d 

0

 
  

1-Day
Yield (%)

     

Investment Companies - .3%

     

Registered Investment Companies - .3%

     

Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $3,258,709)

 

5.40

 

3,258,709

e 

 3,258,709

 
        

Investment of Cash Collateral for Securities Loaned - 1.0%

     

Registered Investment Companies - 1.0%

     

Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares
(cost $11,371,877)

 

5.40

 

11,371,877

e 

 11,371,877

 

Total Investments (cost $800,242,672)

 

100.8%

 

1,136,691,898

 

Liabilities, Less Cash and Receivables

 

(.8%)

 

(9,253,883)

 

Net Assets

 

100.0%

 

1,127,438,015

 

ETF—Exchange-Traded Fund

REIT—Real Estate Investment Trust

a Non-income producing security.

b Security, or portion thereof, on loan. At January 31, 2024, the value of the fund’s securities on loan was $41,100,901 and the value of the collateral was $43,316,882, consisting of cash collateral of $11,371,877 and U.S. Government & Agency securities valued at $31,945,005. In addition, the value of collateral may include pending sales that are also on loan.

c Investment in real estate investment trust within the United States.

d The fund held Level 3 securities at January 31, 2024. These securities were valued at $0 or .0% of net assets.

e Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.


       

Futures 

   

Description

Number of
Contracts

Expiration

Notional
Value ($)

Market
Value ($)

Unrealized (Depreciation) ($)

 

Futures Long 

  

E-mini Russell 2000

59

3/15/2024

5,996,808

5,769,905

(226,903)

 

Gross Unrealized Depreciation

 

(226,903)

 

See notes to financial statements.


STATEMENT OF INVESTMENTS
BNY Mellon Smallcap Stock Index Fund

January 31, 2024 (Unaudited)

The following is a summary of the inputs used as of January 31, 2024 in valuing the fund’s investments:

       
 

Level 1-Unadjusted Quoted Prices

Level 2- Other Significant Observable Inputs

 

Level 3-Significant Unobservable Inputs

Total

 

Assets ($) 

  

Investments in Securities:

  

Equity Securities - Common Stocks

1,117,010,656

-

 

-

1,117,010,656

 

Exchange-Traded Funds

5,050,656

-

 

-

5,050,656

 

Rights

-

-

 

0

0

 

Investment Companies

14,630,586

-

 

-

14,630,586

 

Liabilities ($) 

  

Other Financial Instruments:

  

Futures††

(226,903)

-

 

-

(226,903)

 

 See Statement of Investments for additional detailed categorizations, if any.

†† Amount shown represents unrealized appreciation (depreciation) at period end.


The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the SEC under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.

The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).

Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.

Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:

Level 1—unadjusted quoted prices in active markets for identical investments.

Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).

Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:

The Company’s Board of Directors (the “Board”) has designated the Adviser as the fund’s valuation designee to make all fair value determinations with respect to the fund’s portfolio investments, subject to the Board’s oversight and pursuant to Rule 2a-5 under the Act.


Investments in equity securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. For open short positions, asked prices are used for valuation purposes. Bid price is used when no asked price is available. Registered investment companies that are not traded on an exchange are valued at their net asset value. All of the preceding securities are generally categorized within Level 1 of the fair value hierarchy.

Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices. U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by an independent pricing service (the “Service”) approved by the Board Members (“Board”).These securities are generally categorized within Level 2 of the fair value hierarchy.The Service’s procedures are reviewed by BNY Mellon under the general supervision of the Board.

Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant American Depository Receipts and futures. Utilizing these techniques may result in transfers between Level 1 and Level 2 of the fair value hierarchy.

When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.

For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.

Financial futures, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy.


Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of BNY Mellon Investment Adviser, Inc., the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by BNY Mellon Investment Adviser Inc., or U.S. Government and Agency securities. The fund is entitled to receive all dividends, interest and distributions on securities loaned, in addition to income earned as a result of the lending transaction. Should a borrower fail to return the securities in a timely manner, The Bank of New York Mellon is required to replace the securities for the benefit of the fund or credit the fund with the market value of the unreturned securities and is subrogated to the fund’s rights against the borrower and the collateral. Additionally, the contractual maturity of security lending transactions are on an overnight and continuous basis.

Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund at January 31, 2024 is discussed below.

Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including interest rate risk as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default.

At January 31, 2024, accumulated net unrealized appreciation on investments was $336,222,323, consisting of $442,675,202 gross unrealized appreciation and $106,452,879 gross unrealized depreciation.

At January 31, 2024, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).

Additional investment related disclosures are hereby incorporated by reference to the annual and semi-annual reports previously filed with the SEC on Form N-CSR.