UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-06318

CONSULTING GROUP CAPITAL MARKETS FUNDS

(Exact name of registrant as specified in charter)

2000 Westchester Avenue

Purchase, NY 10577

(Address of principal executive offices)(Zip code)

CT Corp

155 Federal Street, Suite 700

Boston, MA 02110

(Name and address of agent for service)

Registrant’s telephone number, including area code: 1 (800) 869-3326

Date of fiscal year end:

August 31

Date of reporting period:

February 29, 2016

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking rules.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under clearance requirements of 44 U.S.C. § 3507.

ITEM 1. REPORTS TO STOCKHOLDERS.

Consulting Group

Capital Markets Funds

Semi-Annual Report

» February 29, 2016

• Large Cap Equity Fund

• Small-Mid Cap Equity Fund

• International Equity Fund

• Emerging Markets Equity Fund

• Core Fixed Income Fund

• High Yield Fund

• International Fixed Income Fund

• Municipal Bond Fund

• Money Market Fund

INVESTMENT PRODUCTS: NOT FDIC INSURED  •  NO BANK GUARANTEE  •  MAY LOSE VALUE

Table of Contents

SHAREHOLDER LETTER	I
FUND EXPENSES	1
SCHEDULES OF INVESTMENTS	3
LARGE CAP EQUITY FUND	3
SMALL-MID CAP EQUITY FUND	27
INTERNATIONAL EQUITY FUND	78
EMERGING MARKETS EQUITY FUND	85
CORE FIXED INCOME FUND	91
HIGH YIELD FUND	127
INTERNATIONAL FIXED INCOME FUND	144
MUNICIPAL BOND FUND	164
MONEY MARKET FUND	167
STATEMENTS OF ASSETS AND LIABILITIES	170
STATEMENTS OF OPERATIONS	172
STATEMENTS OF CHANGES IN NET ASSETS	174
FINANCIAL HIGHLIGHTS	178
NOTES TO FINANCIAL STATEMENTS	187
BOARD APPROVAL OF MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS	214
ADDITIONAL INFORMATION	220
IMPORTANT TAX INFORMATION	225

Consulting Group

Capital Markets Funds

DEAR SHAREHOLDER,

Global risk markets were volatile over the six months ending February 29, 2016. Over the period, the S&P 500^® Index ⁱ fell 0.9%. Investor uncertainty stemmed from a much anticipated rate hike, global central bank policy and subsequent growth concerns, and volatility in emerging market currencies as well as commodities. For the six months, the Telecommunication Services and Utilities sectors posted the strongest returns, while the Energy and Financials sectors registered the weakest performance amongst the major S&P 500^® Index ⁱ sectors. During the period, U.S. equities were the top-performing global equity market.

The sectors in the S&P 500^® Index ⁱ which generated a positive return over the six month period included Telecommunication Services (+13.7%), Utilities (+11.3%), Consumer Staples (+9.0%), Industrials (+3.9%), Information Technology (+1.6%), and Consumer Discretionary (+0.1%). Sectors in negative territory were Materials (-2.2%), Health Care (-5.3%), Financials (-9.1%), and Energy (-11.0%).

Morgan Stanley & Co. economists expect U.S. real GDP growth will be approximately 1.7% in 2016 and 1.6% in 2017. They forecast global GDP growth to be close to 3.0% in 2016 and 3.4% in 2017.

Growth-style stocks of large-cap companies fell during the period. The large-cap Russell 1000^® Growth Index ⁱⁱ fell 1.2%. The Russell 1000^® Index, ^iv a large-cap index, fell 2.0% for the period. The Russell 1000^® Value Index, ⁱⁱⁱ also a large-cap index, fell 2.9% for the period. The Russell 2000^® Growth Index, ^v a small-cap index, fell sharply by 13.5% for the period. The small-cap Russell 2000^® Index ^vii also fell over the period, as it went down 10.2%. The Russell 2000^® Value Index, ^vi also a small-cap index, fell 6.7% for the period.

Over the six-month period, the MSCI All Country World Index ^ix decreased 5.3% in U.S. dollar terms, the MSCI Emerging Markets Index ^x fell 8.9% in U.S. dollar terms, and the MSCI EAFE Index ^xi (a benchmark for developed markets) declined 9.5% in U.S. dollar terms.

Over the six-month period, bond market returns were mixed. The Barclays US Aggregate Bond Index, ^xii a general measure of the bond market, rose 2.2% for the period. Interest rates decreased during the period, as the yield on the 10-Year U.S. Treasury note moved down significantly from 2.21% to 1.74%. Riskier parts of the bond market such as U.S. High Yield debt declined during the period. The Barclays US Corporate High Yield Bond Index, ^xiii a measure of lower-rated corporate bonds, fell 5.6%.

Consulting Group Capital Markets (CGCM) Funds

The Large Cap Equity Fund fell 6.2% over the six-month semi-annual period, underperforming the Russell 1000^® Index, ^iv which fell 2.0% in the period, the Russell^® 1000 Growth Index, ⁱⁱ which fell 1.2% in the period, and the average performance of mutual funds included in the Lipper Large-Cap Core investment category, ^xiv which fell 3.0%. The results reflect the performance of the Large Capitalization Growth Equity Fund through February 8, 2016 when the fund was merged with the Large Capitalization Value Equity Fund. Subsequent to this date, the results reflect the performance for the Large Cap Equity Fund. Overall, stock selection and sector allocation both detracted from returns. The fund’s underperformance and overweighting in the Health Care (pharmaceuticals) sector detracted value relative to the index, as did the fund’s underweighting and underperformance in Consumer Staples (household products). Outperformance and underweight exposure to the financials (REITs) sector added value relative to the index.

The Small-Mid Cap Equity Fund declined 19.3% over the six-month semi-annual period, as compared to the 8.6% decrease of the Russell 2500^® Index, ^viii the 13.5% decrease of the Russell^® 2000 Growth Index, ^v and the -8.3% return of the average mutual fund included in the Lipper Small-Cap Core ^xv investment category. The results reflect the

I

performance of the Small Capitalization Growth Equity Fund through February 8, 2016 when the fund was merged with the Small Capitalization Value Equity Fund. Subsequent to this date, the results reflect the performance for the Small-Mid Cap Equity Fund. The fund’s overweight exposure and negative stock selection in the Health Care (health care equipment and supplies) sector detracted value relative to the index, as did the fund’s underperformance in Financials (banks) and Industrials (electrical equipment). The fund’s outperformance in Energy (oil and gas) and underweighting in the sector added value.

The International Equity Fund fell 7.8% in the semi-annual reporting period, as compared to the 9.5% decline of the MSCI EAFE Index (Net) ^xi and the 10.2% decline in the performance of the average mutual fund included in the Lipper International Large-Cap Core investment category. ^xvi Favorable stock selection in Japan, Australia, and Switzerland added value, as did the fund’s underweight to Italy. Stock selection in Singapore and Italy detracted value. From a sector perspective, favorable stock selection in the Technology, Consumer Discretionary, and Materials sectors aided returns, while underperformance in the Utilities and Energy sectors detracted from relative performance results. Overall, stock selection and sector positioning were both positive.

The Emerging Markets Equity Fund registered a six-month loss of 6.6%, but outperformed both the 8.9% decline of the MSCI Emerging Markets Index (Net) ^x and the 8.4% decline of the average mutual fund included in the Lipper Emerging Markets investment category. ^xvii Relative to the index, the fund’s stock selection in China, Taiwan, and Russia were top contributors, while the fund’s underweighting and underperformance in South Korea detracted value. The fund’s underweighting in China also added value. Favorable stock selection in the Financials and Consumer Staples sectors added value relative to the index, while underperformance in Materials and Health Care detracted value.

The Core Fixed Income Fund rose 1.4% over past six months, trailing the 2.2% gain of the Barclays US Aggregate Bond Index, ^xii but matching the 1.4% rise for the average mutual fund included in the Lipper Core Bond investment category. ^xviii Detractors included an underweight to Treasuries and an overweight to the corporate and high-yield sectors. The fund’s overweight exposure in the asset-backed sector benefited relative performance.

The High Yield Fund experienced a decline of 8.3% in the semi-annual reporting period, below the 5.6% decrease of the Barclays US Corporate High Yield Bond Index, ^xiii and behind the 5.2% average loss of mutual funds included in the Lipper High Yield investment category. ^xix The portfolio was negatively impacted by its overweight to CCC-rated securities and underweight to BB-rated securities, which outperformed by a significant margin. Bond selection in energy also detracted from excess returns during the reporting period. At the same time, the fund’s underweight to metals and mining contributed positively to returns.

The International Fixed Income Fund gained 2.9% in the semi-annual reporting period, as compared to the 4.8% rise of the Citigroup Non-USD World Government Bond Index (USD) Hedged ^xx and the 0.9% gain for the average mutual fund included in the Lipper International Income investment category. ^xxi Overweight exposure to European peripheral bonds, especially in Spain and Italy, added value relative to the index, as yields in these regions declined. As well, a modest overweight to Canadian duration added to returns as yields fell. The fund’s allocation to high yield and investment grade credit detracted from returns as spreads widened amid volatility from falling energy prices. Additionally, overall short exposure to U.S. duration an allocation to U.S. TIPS both detracted from returns.

The Municipal Bond Fund’s six-month gain of 2.8% fell short of the 3.6% return of the Barclays US Municipal Bond Index, ^xxii as well as the 3.6% increase in the average mutual fund included in the Lipper General & Insured Municipal Debt investment category. ^xxiii The fund’s primary detractors included shorter duration securities within the A-rated category, an underweight to long-dated securities, an overweight in pre-refunded securities, underweights in the leasing and transportation sectors, and an underweight to the state of California. Primary contributors to performance included overweights to the hospital, higher education, and local general obligation sectors, a longer modified duration posture, overweights to the states of New Jersey and Texas, and an underweight to New York.

II

We thank you for your continued confidence in Morgan Stanley Wealth Management and support as shareholders of the CGCM Funds.

Sincerely,

David Berdon

Chief Executive Officer

April 26, 2016

III

Although the statements of fact and data contained herein have been obtained from, and are based upon, sources the firm believes reliable, we do not guarantee their accuracy, and any such information may be incomplete or condensed. All opinions included in this report constitute the firm’s judgment as of the date herein, and are subject to change without notice. This material is for informational purposes only, and is not intended as an offer or solicitation with respect to the purchase or sale of any security. This report may contain forward-looking statements, and there can be no guarantee that they will come to pass. The index returns shown are preliminary and subject to change. Past performance is not a guarantee of future results.

Index Definitions

i. The S&P 500^® Index tracks the performance of 500 widely held, large-capitalization U.S. stocks. Please note that an investor cannot invest directly in an index.

ii. The Russell 1000^® Growth Index measures the performance of those Russell 1000^® Index companies with higher price-to-book ratios and higher forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

iii. The Russell 1000^® Value Index measures the performance of those Russell 1000^® Index companies with lower price-to-book ratios and lower forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

iv. The Russell 1000^® Index measures the performance of the 1,000 largest U.S. companies based on the market capitalization. Please note that an investor cannot invest directly in an index.

v. The Russell 2000^® Growth Index measures the performance of those Russell 2000^® Index companies with higher price-to-book ratios and higher forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

vi. The Russell 2000^® Value Index measures the performance of those Russell 2000^® Index companies with lower price-to-book ratios and lower forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

vii. The Russell 2000^® Index measures the performance of the 2,000 smallest companies in the Russell 3000^® Index. Please note that an investor cannot invest directly in an index.

viii. The Russell 2500^® Index includes the smallest 2,500 U.S. companies out of the Russell 3000^® Index universe. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

ix. The MSCI All Country World Index is a free float-adjusted market capitalization index that is designated to measure equity market performance in the global developed emerging markets. Please note that an investor cannot invest directly in an index.

x. The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The MSCI Emerging Markets Index (Net) consists of the following 21 emerging market country indexes: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

xi. The Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE) Index (Net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. The MSCI EAFE Index consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

xii. The Barclays US Aggregate Bond Index is a broad-based index that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related, and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index

xiii. The Barclays US Corporate High Yield Bond Index measures the market of U.S. dollar-denominated, non-investment grade, fixed rate, taxable corporate bonds. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

xiv. The Lipper Large-Cap Core Funds Average are equally weighted total returns using all the active funds available within the category of funds that, by portfolio practice, invest at least 75% of their equity assets in companies with market capitalizations (on a three-year weighted basis) greater than 300% of the dollar weighted median market capitalization of the middle 1,000 securities of the S&P SuperComposite 1500 Index. Large-cap core funds have more latitude in the companies in which they invest. These funds typically have an average price-to-earnings ratio, price-to-book ratio, and three-year sales-per-share growth value, compared to the S&P 500 Index. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

xv. Lipper Small-Cap Core Funds Average are equally weighted total returns using all the active funds available within the category of funds that, by portfolio practice, invest at least 75% of their equity assets in companies with market capitalizations (on a three-year weighted basis) less than 250% of the dollar weighted median of the smallest 500 of the middle 1,000 securities of the S&P SuperComposite 1500 Index. Small-cap core funds have more latitude in the companies in which they invest. These funds typically have an average price-to-earnings ratio, price-to-book ratio, and three-year sales-per-share growth value, compared to the S&P SmallCap 600 Index. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

xvi. The Lipper International Large-Cap Core Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that, by portfolio practice, invest at least 75% of their equity assets in companies outside of the U.S. with market capitalizations (on a three-year weighted basis) above Lipper’s international large-cap floor. International large-cap core funds typically have average characteristics compared to their large-cap-specific subset of the MSCI EAFE Index. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

xvii. The Lipper Emerging Markets Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that seek long-term capital appreciation by investing at least 65% of total assets in emerging market equity securities, where “emerging market” is defined by a country’s GNP per capita or other economic measures. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index

xviii. The Lipper Core Bond Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that invest at least 85% of their assets in domestic investment-grade debt issues (rated in top four grades) with any remaining in investment in non-benchmark sectors such as high-yield, global, and emerging market debt. These funds maintain dollar-weighted average maturities of five to ten years. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

xix. The Lipper High Yield Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that aim at high (relative) current yield from fixed income securities, have no quality or maturity restrictions, and tend to invest in lower grade debt issues. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

xx. The Citigroup Non-USD World Government Bond Index (USD) Hedged and Unhedged are each sub-indices of the Citigroup World Government Bond Index (WGBI), which is comprised of the global sovereign debt of over 20 countries representative in the Americas, EMEA, EMU, Asia Pacific, and Japan

IV

regions. The Non-U.S. Dollar WGBI includes all WGBI markets except the United States and is stated in U.S. dollar hedged or unhedged base currency terms. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

xxi. The Lipper International Income Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that state in their prospectus that they invest primarily in U.S. dollar and non-U.S. dollar debt securities of issuers located in at least three countries, excluding the United States, except in periods of market weakness. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

xxii. The Barclays US Municipal Bond Index covers the U.S. dollar-denominated long-term tax exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds, and prerefunded bonds. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

xxiii. The Lipper General & Insured Municipal Debt Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that either invest primarily in municipal debt issues rated in the top four credit ratings or invest primarily in municipal debt issues insured as to timely payment. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index

Risk Considerations

Equity securities may fluctuate in response to news on companies, industries, market conditions, and general economic environment.

Investing in foreign markets entails risks not typically associated with domestic markets, such as currency fluctuations and controls, restrictions on foreign investments, less governmental supervision and regulation, and the potential for political instability. These risks may be magnified in countries with emerging markets and frontier markets, since these countries may have relatively unstable governments and less established markets and economies.

Investing in small- to medium-sized companies entails special risks, such as limited product lines, markets, and financial resources, and greater volatility than securities of larger, more established companies.

The value of fixed income securities will fluctuate and, upon a sale, may be worth more or less than their original cost or maturity value. Bonds are subject to interest rate risk, call risk, reinvestment risk, liquidity risk, and credit risk of the issuer.

High yield bonds (bonds rated below investment grade) may have speculative characteristics and present significant risks beyond those of other securities, including greater credit risk, price volatility, and limited liquidity in the secondary market. High yield bonds should comprise only a limited portion of a balanced portfolio.

Yields are subject to change with economic conditions. Yield is only one factor that should be considered when making an investment decision.

Asset allocation and diversification do not assure a profit or protect against loss in declining financial markets.

The indices are unmanaged. An investor cannot invest directly in an index. They are shown for illustrative purposes only and do not represent the performance of any specific investment.

Because of their narrow focus, sector investments tend to be more volatile than investments that diversify across many sectors and companies.

Growth investing does not guarantee a profit or eliminate risk. The stocks of these companies can have relatively high valuations. Because of these high valuations, an investment in a growth stock can be more risky than an investment in a company with more modest growth expectations.

Value investing does not guarantee a profit or eliminate risk. Not all companies whose stocks are considered to be value stocks are able to turn their business around or successfully employ corrective strategies which would result in stock prices that do not rise as initially expected.

V

Performance of the Consulting Group Capital Markets Funds For the Six Months Ended February 29, 2016†* (unaudited)
Large Cap Equity Fund	-6.17	%
Russell 1000® Index (1)	-2.03
Small-Mid Cap Equity Fund	-19.25
Russell 2500® Index (2)	-8.57
International Equity Fund	-7.80
The Morgan Stanley Capital International Europe Australasia, Far East (MSCI EAFE®) Index (Net) (3)	-9.48
Emerging Markets Equity Fund	-6.61
MSCI Emerging Markets Index (Net) (4)	-8.85
Core Fixed Income Fund	1.41
Barclays Capital U.S. Aggregate BondTM Index (5)	2.20
High Yield Fund	-8.28
Barclays Capital U.S. Corporate High-Yield Index (6)	-4.24
International Fixed Income Fund	2.94
Citigroup Non-USD World Government Bond Index (USD) Hedged (7)	5.13
Municipal Bond Fund	2.77
Barclays Capital U.S. Municipal Bond Index (8)	3.62
Money Market Fund**	0.00
90-day Treasury Bill Index	0.05
Entities previous to reorganization on February 5, 2016. (See Note 8)
Large Capitalization Growth Investments
Russell 1000® Growth Index (9)	-1.22
Large Capitalization Value Equity Investments
Russell 1000® Value Index (10)	-2.87
Small Capitalization Growth Investments
Russell 2000® Growth Index (11)	-13.47
Small Capitalization Value Equity Investments
Russell 2000® Value Index (12)	-6.73

See pages VII through VIII for all footnotes.

VI

FOOTNOTES

† All figures represent past performance and are not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemptions of fund shares. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. To obtain performance data current to the most recent month-end, please visit our website at https://www.morganstanley.com/cgcm.

* The Funds are available only to investors participating in Morgan Stanley approved advisory programs. These programs charge an annual fee, which may be up to 2.50%.

** Consulting Group Advisory Services, LLC (“CGAS”), a business of Morgan Stanley Smith Barney Holdings LLC (“MSSBH”), voluntarily waived and/or reimbursed certain fees or expense to maintain a positive net yield.

1. The Russell 1000^® Index is composed of the 1,000 largest U.S. companies by market capitalization. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

2. The Russell 2500^® Index includes the smallest 2,500 U.S. companies out of the Russell 3000^® Index universe. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

3. The Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE^®) Index (Net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. The MSCI EAFE Index consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

4. The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The MSCI Emerging Markets Index (Net) consists of the following 21 emerging market country indexes: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

5. The Barclays Capital U.S. Aggregate Bond^TM Index is a broad-based index that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM passthroughs), ABS, and CMBS. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

6. The Barclays Capital U.S. Corporate High-Yield Index measures the market of U.S. dollar-denominated, non-investment grade, fixed rate, taxable corporate bonds. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

VII

7. The Citigroup Non-USD World Government Bond Index (USD) Hedged and Unhedged are each sub-indices of the Citigroup World Government Bond Index (WGBI), which is comprised of the global sovereign debt of over 20 countries representative in the Americas, EMEA, EMU, Asia Pacific, and Japan regions. The Non-U.S. Dollar WGBI includes all WGBI markets except the United States and is stated in U.S. dollar hedged or unhedged base currency terms. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

8. The Barclays Capital U.S. Municipal Index covers the U.S. dollar-denominated long-term tax exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds, and prerefunded bonds. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

9. The Russell 1000^® Growth Index measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

10. The Russell 1000^® Value Index measures the performance of those Russell 1000 Index companies with lower price-to-book ratios and lower forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

11. The Russell 2000^® Growth Index measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

12. The Russell 2000^® Value Index measures the performance of those Russell 2000 Index companies with lower price-to-book ratios and lower forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

VIII

Fund Expenses

(unaudited)

Example

As a shareholder of a Fund, you may incur two types of costs: (1) annual advisory program fees, which may be up to 2.50% and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. This example is based on an investment of $1,000 invested on September 1, 2015 and held for the six months ended February 29, 2016.

Actual Expenses

The table below titled “Based on Actual Total Return” provides information about actual account values and actual expenses. You may use the information provided in this table, together with the amount you invested, to estimate the expenses that you paid over the period. To estimate the expenses you paid on your account during this period, divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During the Period”.

Based on Actual Total Return(1)
Fund	Total Return Without Annual Advisory Program Fees(2)			Beginning Account Value			Ending Account Value			Annualized Expense Ratios(3)			Expense Paid During the Period(4)
Large Cap Equity Fund		-6.17	%		$	1,000.00		$	938.30		0.65	%		$	3.13
Small-Mid Cap Equity Fund		-19.25	%			1,000.00			807.50		0.91	%			4.09
International Equity Fund		-7.80	%			1,000.00			922.00		0.78	%			3.73
Emerging Markets Equity Fund		-6.61	%			1,000.00			933.90		0.97	%			4.63
Core Fixed Income Fund		1.41	%			1,000.00			1,014.10		0.53	%			2.64
High Yield Fund		-8.28	%			1,000.00			917.20		0.74	%			3.51
International Fixed Income Fund		2.94	%			1,000.00			1,029.40		0.90	%			4.54
Municipal Bond Fund		2.77	%			1,000.00			1,027.70		0.66	%			3.34
Money Market Fund		0.00	%(5)			1,000.00			1,000.00		0.26	%			1.29

(1) For the six months ended February 29, 2016.

(2) Assumes reinvestment of all distributions, including returns of capital, if any, at net asset value and does not reflect the deduction of the applicable advisory program charge, which may be up to 2.50%. Total return is not annualized as it may not be representative of the total return for the year. Performance figure may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expenses reimbursements, the total return would have been lower.

(3) Annualized Expense Ratios are based on the most recent 6 month expense ratios.

(4) Expenses (net of fee waivers and/or expense reimbursements) are equal to each Fund’s respective annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days (182 days) in the most recent fiscal half-year, then divided 366 (to reflect the one-half year period).

(5) CGAS, a business of MSSBH, voluntarily waived and/or reimbursed certain fees or expense to maintain a positive net yield.

1

Fund Expenses

(unaudited) (continued)

Hypothetical Example for Comparison Purposes

The table below titled “Based on Hypothetical Total Return” provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5.00% per year before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balances or expenses you paid for the period. You may use the information provided in this table to compare the ongoing costs of investing in each Fund and other funds. To do so, compare the 5.00% hypothetical example relating to a Fund with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any advisory program annual fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these advisory program annual fees were included, your costs would have been higher.

Based on Hypothetical Total Return(1)
Fund	Hypothetical Annualized Total Return			Beginning Account Value			Ending Account Value			Annualized Expense Ratios(2)			Expense Paid During the Period(3)
Large Cap Equity Fund		5.00	%		$	1,000.00		$	1,021.64		0.65	%		$	3.27
Small-Mid Cap Equity Fund		5.00	%			1,000.00			1,020.33		0.91	%			4.57
International Equity Fund		5.00	%			1,000.00			1,020.99		0.78	%			3.93
Emerging Markets Equity Fund		5.00	%			1,000.00			1,020.07		0.97	%			4.85
Core Fixed Income Fund		5.00	%			1,000.00			1,022.24		0.53	%			2.66
High Yield Fund		5.00	%			1,000.00			1,021.20		0.74	%			3.71
International Fixed Income Fund		5.00	%			1,000.00			1,020.38		0.90	%			4.52
Municipal Bond Fund		5.00	%			1,000.00			1,021.57		0.66	%			3.34
Money Market Fund		5.00	%			1,000.00			1,023.57		0.26	%			1.31

(1) For the six months ended February 29, 2016.

(2) Annualized Expense Ratios are based on the most recent 6 month expense ratios.

(3) Expenses (net of fee waivers and/or expense reimbursements) are equal to each Fund’s respective annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days (182 days) in the most recent fiscal half-year, then divided 366 (to reflect the one-half year period).

2

Schedules of Investments

February 29, 2016 (unaudited)

Large Cap Equity Fund
Shares/Units		Security	Value
	COMMON STOCKS — 96.9%
	CONSUMER DISCRETIONARY — 12.3%
	Auto Components — 1.1%
	11,959	BorgWarner Inc.	$	390,820
	15,261	Delphi Automotive PLC		1,017,604
	15,549	Gentex Corp.		226,393
	99,165	Goodyear Tire & Rubber Co. (The)		2,986,850
	409,309	Johnson Controls Inc.		14,923,406
	4,110	Lear Corp.		416,549
	18,300	Tenneco Inc.*		833,016
	2,137	Visteon Corp.		149,419
		Total Auto Components		20,944,057
	Automobiles — 0.5%
	206,365	Ford Motor Co.		2,581,626
	84,946	General Motors Co.		2,500,810
	10,140	Harley-Davidson Inc.		437,744
	24,455	Tesla Motors Inc.*		4,693,648
	2,408	Thor Industries Inc.		133,355
		Total Automobiles		10,347,183
	Distributors — 0.4%
	8,044	Genuine Parts Co.		725,167
	277,997	LKQ Corp.*		7,672,717
		Total Distributors		8,397,884
	Diversified Consumer Services — 0.2%
	184	Graham Holdings Co., Class B Shares		89,812
	12,471	H&R Block Inc.		410,047
	143,100	Houghton Mifflin Harcourt Co.*		2,691,711
	10,681	Service Corp. International		251,217
	5,431	ServiceMaster Global Holdings Inc.*		205,998
		Total Diversified Consumer Services		3,648,785
	Hotels, Restaurants & Leisure — 1.5%
	10,216	Aramark		320,987
	3,231	Brinker International Inc.		160,904
	22,450	Carnival Corp.		1,076,702
	1,641	Chipotle Mexican Grill Inc., Class A Shares*		835,532
	1,873	Choice Hotels International Inc.		97,078
	6,649	Darden Restaurants Inc.		424,738
	2,917	Domino’s Pizza Inc.		388,078
	5,087	Dunkin’ Brands Group Inc.		236,952
	3,156	Extended Stay America Inc.		46,646
	27,452	Hilton Worldwide Holdings Inc.		570,453
	1,800	Hyatt Hotels Corp., Class A Shares*		83,070
	4,976	International Game Technology PLC		73,545
	19,322	Las Vegas Sands Corp.		932,866
	10,356	Marriott International Inc., Class A Shares		705,761
	50,660	McDonald’s Corp.		5,936,845
	23,538	MGM Resorts International*		445,574
	159,244	Norwegian Cruise Line Holdings Ltd.*		7,823,658
	1,338	Panera Bread Co., Class A Shares*		277,234
	9,090	Royal Caribbean Cruises Ltd.		676,023
	3,800	Six Flags Entertainment Corp.		193,268
	79,306	Starbucks Corp.		4,616,402
	9,032	Starwood Hotels & Resorts Worldwide Inc.		624,202

See Notes to Financial Statements.

3

Schedules of Investments

(unaudited) (continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 12.3% — (continued)
	Hotels, Restaurants & Leisure — 1.5% — (continued)
	10,790	Wendy’s Co. (The)	$	101,102
	6,345	Wyndham Worldwide Corp.		462,170
	4,296	Wynn Resorts Ltd.		354,334
	22,854	Yum! Brands Inc.		1,656,229
		Total Hotels, Restaurants & Leisure		29,120,353
	Household Durables — 0.3%
	17,350	DR Horton Inc.		463,592
	6,261	Garmin Ltd.		253,633
	4,717	GoPro Inc., Class A Shares*		56,038
	3,760	Harman International Industries Inc.		288,317
	11,155	Jarden Corp.*		589,876
	7,282	Leggett & Platt Inc.		325,214
	9,191	Lennar Corp., Class A Shares		385,471
	513	Lennar Corp., Class B Shares		17,293
	3,262	Mohawk Industries Inc.*		586,279
	14,202	Newell Rubbermaid Inc.		539,818
	215	NVR Inc.*		351,955
	19,270	PulteGroup Inc.		331,251
	3,225	Tempur Sealy International Inc.*		185,986
	9,282	Toll Brothers Inc.*		254,791
	2,047	TopBuild Corp.*		55,228
	2,634	Tupperware Brands Corp.		131,595
	4,157	Whirlpool Corp.		645,665
		Total Household Durables		5,462,002
	Internet & Catalog Retail — 2.3%
	27,847	Amazon.com Inc.*		15,386,025
	6,249	Expedia Inc.		650,583
	23,762	Groupon Inc., Class A Shares*		113,582
	178,052	Liberty Interactive Corp. QVC Group, Class A Shares*		4,518,960
	7,490	Liberty Ventures, Series A*		274,808
	22,429	NetFlix Inc.*		2,095,093
	15,539	Priceline Group Inc. (The)*		19,660,098
	5,928	TripAdvisor Inc.*		371,093
		Total Internet & Catalog Retail		43,070,242
	Leisure Products — 0.1%
	4,900	Brunswick Corp.		208,446
	5,888	Hasbro Inc.		446,723
	17,882	Mattel Inc.		581,523
	3,512	Polaris Industries Inc.		308,740
	3,375	Vista Outdoor Inc.*		166,387
		Total Leisure Products		1,711,819
	Media — 2.1%
	3,166	AMC Networks Inc., Class A Shares*		207,500
	184	Cable One Inc.		78,857
	10,703	Cablevision Systems Corp., Class A Shares		348,169
	26,011	CBS Corp., Class B Shares		1,258,412
	3,961	Charter Communications Inc., Class A Shares*		711,237
	6,125	Cinemark Holdings Inc.		202,737
	1,908	Clear Channel Outdoor Holdings Inc., Class A Shares		6,888
	197,649	Comcast Corp., Class A Shares		11,410,277
	8,229	Discovery Communications Inc., Class A Shares*		205,725
	14,493	Discovery Communications Inc., Class C Shares*		357,252

See Notes to Financial Statements.

4

Schedules of Investments

(unaudited) (continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 12.3% — (continued)
	Media — 2.1% — (continued)
	11,502	DISH Network Corp., Class A Shares*	$	542,089
	5,995	Gannett Co., Inc.		91,484
	21,825	Interpublic Group Cos., Inc. (The)		466,837
	2,447	John Wiley & Sons Inc., Class A Shares		106,518
	1,381	Liberty Broadband Corp., Class A Shares*		69,450
	3,507	Liberty Broadband Corp., Class C Shares*		176,648
	5,526	Liberty Media Corp., Class A Shares*		196,836
	10,598	Liberty Media Corp., Class C Shares*		369,870
	5,016	Lions Gate Entertainment Corp.		105,838
	7,697	Live Nation Entertainment Inc.*		169,257
	10,256	Madison Square Garden Co. (The), Class A Shares*		1,589,680
	3,249	MSG Networks Inc., Class A Shares*		53,349
	20,273	News Corp., Class A Shares		219,354
	6,390	News Corp., Class B Shares		72,910
	12,913	Omnicom Group Inc.		1,004,760
	4,375	Regal Entertainment Group, Class A Shares		86,144
	4,831	Scripps Networks Interactive Inc., Class A Shares		286,188
	121,479	Sirius XM Holdings Inc.*		451,902
	4,559	Starz, Class A Shares*		114,841
	11,991	TEGNA Inc.		295,458
	17,423	Thomson Reuters Corp.		637,682
	14,941	Time Warner Cable Inc.		2,851,639
	43,582	Time Warner Inc.		2,885,128
	4,262	Tribune Media Co., Class A Shares		153,006
	62,584	Twenty-First Century Fox Inc., Class A Shares		1,691,020
	25,560	Twenty-First Century Fox Inc., Class B Shares		694,210
	546	Viacom Inc., Class A Shares		22,637
	18,318	Viacom Inc., Class B Shares		675,018
	89,679	Walt Disney Co. (The)		8,566,138
		Total Media		39,432,945
	Multiline Retail — 0.4%
	1,124	Dillard’s Inc., Class A Shares		94,068
	16,052	Dollar General Corp.		1,191,861
	12,169	Dollar Tree Inc.*		976,562
	121,027	JC Penney Co., Inc.*		1,234,475
	10,032	Kohl’s Corp.		468,193
	16,615	Macy’s Inc.		717,934
	7,418	Nordstrom Inc.		380,692
	700	Sears Holdings Corp.*		12,229
	33,746	Target Corp.		2,647,374
		Total Multiline Retail		7,723,388
	Specialty Retail — 2.4%
	3,426	Aaron’s Inc.		78,764
	60,666	Advance Auto Parts Inc.		9,005,261
	3,850	AutoNation Inc.*		198,159
	1,651	AutoZone Inc.*		1,278,815
	9,054	Bed Bath & Beyond Inc.*		434,139
	16,041	Best Buy Co., Inc.		519,568
	2,669	Cabela’s Inc.*		128,059
	10,345	CarMax Inc.*		478,560
	4,063	CST Brands Inc.		131,804
	4,863	Dick’s Sporting Goods Inc.		206,532
	3,875	DSW Inc., Class A Shares		101,525

See Notes to Financial Statements.

5

Schedules of Investments

(unaudited) (continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 12.3% — (continued)
	Specialty Retail — 2.4% — (continued)
	7,392	Foot Locker Inc.	$	462,000
	5,664	GameStop Corp., Class A Shares		174,564
	12,595	Gap Inc. (The)		348,252
	4,578	GNC Holdings Inc., Class A Shares		130,381
	68,655	Home Depot Inc. (The)		8,521,458
	13,079	L Brands Inc.		1,108,968
	197,200	Lowe’s Cos., Inc.		13,316,916
	3,312	Michaels Cos., Inc. (The)*		77,170
	2,392	Murphy USA Inc.*		152,346
	28,933	Office Depot Inc.*		146,980
	5,338	O’Reilly Automotive Inc.*		1,389,588
	2,250	Penske Automotive Group Inc.		84,870
	21,870	Ross Stores Inc.		1,202,413
	8,334	Sally Beauty Holdings Inc.*		263,188
	4,243	Signet Jewelers Ltd.		459,941
	33,860	Staples Inc.		319,977
	5,970	Tiffany & Co.		387,931
	35,961	TJX Cos., Inc. (The)		2,664,710
	7,211	Tractor Supply Co.		609,834
	3,395	Ulta Salon Cosmetics & Fragrance Inc.*		560,820
	4,608	Urban Outfitters Inc.*		122,066
	4,844	Williams-Sonoma Inc.		252,421
		Total Specialty Retail		45,317,980
	Textiles, Apparel & Luxury Goods — 1.0%
	2,776	Carter’s Inc.		282,125
	14,603	Coach Inc.		568,641
	83,800	Deckers Outdoor Corp.*		4,739,728
	2,224	Fossil Group Inc.*		104,328
	21,230	Hanesbrands Inc.		604,843
	6,747	Kate Spade & Co.*		133,725
	5,896	Lululemon Athletica Inc.*		369,856
	9,727	Michael Kors Holdings Ltd.*		551,035
	151,374	NIKE Inc., Class B Shares		9,323,125
	4,369	PVH Corp.		345,806
	3,162	Ralph Lauren Corp., Class A Shares		286,983
	6,487	Skechers U.S.A. Inc., Class A Shares*		213,552
	9,441	Under Armour Inc., Class A Shares*		790,117
	17,863	V.F. Corp.		1,163,060
		Total Textiles, Apparel & Luxury Goods		19,476,924
		TOTAL CONSUMER DISCRETIONARY		234,653,562
	CONSUMER STAPLES — 10.2%
	Beverages — 1.8%
	1,445	Brown-Forman Corp., Class A Shares		154,023
	6,174	Brown-Forman Corp., Class B Shares		607,954
	207,250	Coca-Cola Co. (The)		8,938,692
	12,314	Coca-Cola Enterprises Inc.		597,352
	8,646	Constellation Brands Inc., Class A Shares		1,222,804
	10,133	Dr Pepper Snapple Group Inc.		927,473
	96,788	Molson Coors Brewing Co., Class B Shares		8,253,113
	53,807	Monster Beverage Corp.*		6,752,779
	78,014	PepsiCo Inc.		7,631,329
		Total Beverages		35,085,519

See Notes to Financial Statements.

6

Schedules of Investments

(unaudited) (continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER STAPLES — 10.2% — (continued)
	Food & Staples Retailing — 1.9%
	23,254	Costco Wholesale Corp.	$	3,488,798
	201,336	CVS Health Corp.		19,563,819
	51,818	Kroger Co. (The)		2,068,056
	52,263	Rite Aid Corp.*		415,491
	8,104	Sprouts Farmers Market Inc.*		230,802
	31,382	Sysco Corp.		1,384,888
	45,439	Walgreens Boots Alliance Inc.		3,586,955
	83,486	Wal-Mart Stores Inc.		5,538,461
	18,936	Whole Foods Market Inc.		592,886
		Total Food & Staples Retailing		36,870,156
	Food Products — 4.1%
	335,688	Archer-Daniels-Midland Co.		11,735,652
	2,056	Blue Buffalo Pet Products Inc.*		37,625
	7,590	Bunge Ltd.		377,375
	9,202	Campbell Soup Co.		568,224
	22,571	ConAgra Foods Inc.		949,336
	9,198	Flowers Foods Inc.		157,562
	31,505	General Mills Inc.		1,854,069
	5,423	Hain Celestial Group Inc. (The)*		200,488
	7,700	Hershey Co. (The)		699,853
	14,145	Hormel Foods Corp.		601,304
	3,767	Ingredion Inc.		381,296
	6,325	J.M. Smucker Co. (The)		806,880
	192,599	Kellogg Co.		14,256,178
	6,830	Keurig Green Mountain Inc.		627,950
	276,186	Kraft Heinz Co. (The)		21,271,846
	6,754	McCormick & Co., Inc.		629,878
	101,505	Mead Johnson Nutrition Co., Class A Shares		7,487,009
	340,072	Mondelez International Inc., Class A Shares		13,783,118
	3,376	Pilgrim’s Pride Corp.*		82,543
	6,160	Pinnacle Foods Inc.		266,050
	15,579	Tyson Foods Inc., Class A Shares		1,008,740
	9,255	WhiteWave Foods Co. (The), Class A Shares*		358,354
		Total Food Products		78,141,330
	Household Products — 1.5%
	6,917	Church & Dwight Co., Inc.		627,787
	6,933	Clorox Co. (The)		876,470
	47,809	Colgate-Palmolive Co.		3,138,183
	3,286	Energizer Holdings Inc.		127,957
	19,243	Kimberly-Clark Corp.		2,507,363
	253,990	Procter & Gamble Co. (The)		20,392,857
	1,336	Spectrum Brands Holdings Inc.		127,948
		Total Household Products		27,798,565
	Personal Products — 0.1%
	22,996	Avon Products Inc.		87,615
	4,397	Coty Inc., Class A Shares		125,227
	3,286	Edgewell Personal Care Co.		251,215
	11,086	Estee Lauder Cos., Inc. (The), Class A Shares		1,012,484
	3,871	Herbalife Ltd.*		211,937
	3,098	Nu Skin Enterprises Inc., Class A Shares		94,458
		Total Personal Products		1,782,936

See Notes to Financial Statements.

7

Schedules of Investments

(unaudited) (continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER STAPLES — 10.2% — (continued)
	Tobacco — 0.8%
	103,939	Altria Group Inc.	$	6,399,524
	81,877	Philip Morris International Inc.		7,453,263
	43,641	Reynolds American Inc.		2,200,816
		Total Tobacco		16,053,603
		TOTAL CONSUMER STAPLES		195,732,109
	ENERGY — 6.6%
	Energy Equipment & Services — 2.0%
	22,974	Baker Hughes Inc.		984,895
	10,116	Cameron International Corp.*		663,205
	59,900	Core Laboratories NV		6,285,906
	3,393	Diamond Offshore Drilling Inc.		67,894
	2,058	Dril-Quip Inc.*		111,647
	12,383	Ensco PLC, Class A Shares		107,361
	12,205	FMC Technologies Inc.*		299,389
	1,827	Frank’s International NV		25,377
	337,672	Halliburton Co.		10,900,052
	5,097	Helmerich & Payne Inc.		269,988
	17,460	Nabors Industries Ltd.		125,014
	141,800	National Oilwell Varco Inc.		4,150,486
	12,789	Noble Corp. PLC		106,532
	5,219	Oceaneering International Inc.		144,149
	7,760	Patterson-UTI Energy Inc.		120,590
	6,594	Rowan Cos. PLC, Class A Shares		87,832
	3,037	RPC Inc.		41,212
	198,809	Schlumberger Ltd.		14,258,581
	19,749	Seadrill Ltd.*		44,238
	7,952	Superior Energy Services Inc.		81,747
	40,948	Weatherford International PLC*		262,067
		Total Energy Equipment & Services		39,138,162
	Oil, Gas & Consumable Fuels — 4.6%
	26,846	Anadarko Petroleum Corp.		1,018,806
	3,684	Antero Resources Corp.*		84,179
	19,931	Apache Corp.		762,959
	21,860	Cabot Oil & Gas Corp.		440,042
	33,472	California Resources Corp.		18,815
	12,504	Cheniere Energy Inc.*		447,018
	31,006	Chesapeake Energy Corp.		80,926
	207,690	Chevron Corp.		17,329,654
	4,999	Cimarex Energy Co.		420,066
	19,380	Cobalt International Energy Inc.*		51,551
	21,133	Columbia Pipeline Group Inc.		383,564
	6,826	Concho Resources Inc.*		615,978
	305,765	ConocoPhillips		10,344,030
	12,094	CONSOL Energy Inc.		104,371
	4,530	Continental Resources Inc.*		105,005
	826	CVR Energy Inc.		19,535
	18,865	Denbury Resources Inc.		24,147
	21,728	Devon Energy Corp.		427,607
	3,773	Diamondback Energy Inc.*		268,826
	4,165	Energen Corp.		110,289
	81,613	EOG Resources Inc.		5,283,626
	1,798	EP Energy Corp., Class A Shares*		3,093
	8,052	EQT Corp.		448,818

See Notes to Financial Statements.

8

Schedules of Investments

(unaudited) (continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	ENERGY — 6.6% — (continued)
	Oil, Gas & Consumable Fuels — 4.6% — (continued)
	220,985	Exxon Mobil Corp.	$	17,711,948
	4,753	Golar LNG Ltd.		87,122
	5,717	Gulfport Energy Corp.*		137,208
	13,326	Hess Corp.		581,014
	9,667	HollyFrontier Corp.		326,938
	94,374	Kinder Morgan Inc.		1,707,226
	8,332	Kosmos Energy Ltd.*		40,660
	6,509	Laredo Petroleum Inc.*		33,261
	364,373	Marathon Oil Corp.		2,991,502
	28,714	Marathon Petroleum Corp.		983,454
	4,697	Memorial Resource Development Corp.*		45,420
	9,406	Murphy Oil Corp.		161,595
	8,604	Newfield Exploration Co.*		234,287
	22,681	Noble Energy Inc.		669,089
	179,297	Occidental Petroleum Corp.		12,339,220
	11,033	ONEOK Inc.		264,792
	5,111	PBF Energy Inc., Class A Shares		154,352
	28,627	Phillips 66		2,272,697
	8,536	Pioneer Natural Resources Co.		1,028,844
	9,337	QEP Resources Inc.		91,129
	8,936	Range Resources Corp.		212,051
	3,565	SM Energy Co.		32,228
	20,325	Southwestern Energy Co.*		117,478
	35,481	Spectra Energy Corp.		1,036,045
	112,100	Suncor Energy Inc.		2,744,208
	2,961	Targa Resources Corp.		79,592
	2,465	Teekay Corp.		19,720
	6,651	Tesoro Corp.		536,603
	25,449	Valero Energy Corp.		1,528,976
	10,788	Whiting Petroleum Corp.*		43,260
	39,585	Williams Cos., Inc. (The)		632,964
	3,815	World Fuel Services Corp.		178,580
	12,407	WPX Energy Inc.*		50,993
		Total Oil, Gas & Consumable Fuels		87,867,361
		TOTAL ENERGY		127,005,523
	FINANCIALS — 12.9%
	Banks — 3.2%
	8,061	Associated Banc-Corp.		138,649
	555,076	Bank of America Corp.		6,949,551
	2,305	Bank of Hawaii Corp.		146,367
	5,466	BankUnited Inc.		175,568
	344,102	BB&T Corp.		11,066,320
	1,492	BOK Financial Corp.		72,914
	9,199	CIT Group Inc.		274,222
	160,363	Citigroup Inc.		6,230,103
	16,483	Citizens Financial Group Inc.		316,968
	9,408	Comerica Inc.		317,802
	4,571	Commerce Bancshares Inc.		194,176
	2,865	Cullen/Frost Bankers Inc.		137,319
	7,603	East West Bancorp Inc.		227,862
	42,807	Fifth Third Bancorp		653,235
	12,342	First Horizon National Corp.		148,351
	18,766	First Niagara Financial Group Inc.		173,398

See Notes to Financial Statements.

9

Schedules of Investments

(unaudited) (continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 12.9% — (continued)
	Banks — 3.2% — (continued)
	7,518	First Republic Bank	$	462,658
	42,733	Huntington Bancshares Inc.		373,914
	196,143	JPMorgan Chase & Co.		11,042,851
	44,836	KeyCorp		473,020
	8,439	M&T Bank Corp.		865,419
	5,919	PacWest Bancorp		190,473
	16,337	People’s United Financial Inc.		238,684
	27,373	PNC Financial Services Group Inc.(The)		2,225,699
	5,471	Popular Inc.		144,981
	70,842	Regions Financial Corp.		532,732
	2,678	Signature Bank*		346,935
	27,283	SunTrust Banks Inc.		905,250
	2,708	SVB Financial Group*		240,606
	7,040	Synovus Financial Corp.		187,194
	8,928	TCF Financial Corp.		101,244
	88,539	US Bancorp		3,410,522
	246,236	Wells Fargo & Co.		11,553,393
	10,740	Zions Bancorporation		228,977
		Total Banks		60,747,357
	Capital Markets — 2.0%
	2,892	Affiliated Managers Group Inc.*		401,092
	54,486	Ameriprise Financial Inc.		4,574,100
	1,876	Artisan Partners Asset Management Inc., Class A Shares		53,241
	339,675	Bank of New York Mellon Corp. (The)		12,021,098
	6,631	BlackRock Inc., Class A Shares		2,068,607
	298,053	Charles Schwab Corp. (The)		7,466,228
	15,323	E*Trade Financial Corp.*		359,478
	6,228	Eaton Vance Corp.		180,051
	4,954	Federated Investors Inc., Class B Shares		129,646
	20,500	Franklin Resources Inc.		734,925
	22,834	Goldman Sachs Group Inc. (The)		3,414,368
	3,042	Interactive Brokers Group Inc., Class A Shares		103,945
	22,764	Invesco Ltd.		608,709
	6,660	Lazard Ltd., Class A Shares		234,299
	5,163	Legg Mason Inc.		147,455
	4,358	LPL Financial Holdings Inc.		88,162
	81,022	Morgan Stanley		2,001,243
	12,335	Northern Trust Corp.		732,452
	10,245	NorthStar Asset Management Group Inc.		111,978
	6,753	Raymond James Financial Inc.		296,052
	7,363	SEI Investments Co.		281,046
	21,759	State Street Corp.		1,191,958
	13,773	T. Rowe Price Group Inc.		951,852
	14,112	TD Ameritrade Holding Corp.		403,321
	4,455	Waddell & Reed Financial Inc., Class A Shares		104,336
		Total Capital Markets		38,659,642
	Consumer Finance — 0.4%
	25,449	Ally Financial Inc.*		447,393
	45,674	American Express Co.		2,538,561
	28,881	Capital One Financial Corp.		1,898,348
	449	Credit Acceptance Corp.*		88,484
	23,388	Discover Financial Services		1,085,671
	3,528	LendingClub Corp.*		30,800

See Notes to Financial Statements.

10

Schedules of Investments

(unaudited) (continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 12.9% — (continued)
	Consumer Finance — 0.4% — (continued)
	19,149	Navient Corp.	$	207,384
	2,754	OneMain Holdings Inc., Class A Shares*		62,158
	4,696	Santander Consumer USA Holdings Inc.*		48,134
	22,499	SLM Corp.*		131,394
	44,065	Synchrony Financial*		1,187,552
		Total Consumer Finance		7,725,879
	Diversified Financial Services — 2.1%
	213,299	Berkshire Hathaway Inc., Class B Shares*		28,618,327
	4,412	CBOE Holdings Inc.		275,750
	16,943	CME Group Inc., Class A Shares		1,549,268
	2,207	Factset Research Systems Inc.		332,131
	24,383	Intercontinental Exchange Inc.		5,814,370
	17,366	Leucadia National Corp.		250,939
	14,466	McGraw Hill Financial Inc.		1,298,179
	9,382	Moody’s Corp.		833,122
	1,008	Morningstar Inc.		80,025
	5,427	MSCI Inc., Class A Shares		382,712
	6,119	Nasdaq Inc.		387,271
	11,380	Voya Financial Inc.		334,117
		Total Diversified Financial Services		40,156,211
	Insurance — 3.1%
	86,532	Aflac Inc.		5,150,385
	846	Alleghany Corp.*		392,527
	5,045	Allied World Assurance Co. Holdings AG		163,407
	174,771	Allstate Corp. (The)		11,090,968
	3,645	American Financial Group Inc.		244,507
	65,380	American International Group Inc.		3,282,076
	382	American National Insurance Co.		38,838
	60,527	AmTrust Financial Services Inc.		1,479,885
	14,896	Aon PLC		1,419,440
	6,556	Arch Capital Group Ltd.*		445,415
	8,877	Arthur J. Gallagher & Co.		353,748
	3,256	Aspen Insurance Holdings Ltd.		145,511
	24,189	Assurant Inc.		1,719,838
	7,469	Assured Guaranty Ltd.		185,306
	5,335	Axis Capital Holdings Ltd.		286,543
	6,124	Brown & Brown Inc.		197,866
	24,570	Chubb Ltd.		2,838,572
	8,687	Cincinnati Financial Corp.		548,497
	1,422	CNA Financial Corp.		41,195
	3,289	Endurance Specialty Holdings Ltd.		204,806
	1,283	Erie Indemnity Co., Class A Shares		120,615
	2,348	Everest Re Group Ltd.		437,033
	14,823	FNF Group		488,862
	2,337	Hanover Insurance Group Inc. (The)		193,854
	22,195	Hartford Financial Services Group Inc. (The)		934,853
	13,373	Lincoln National Corp.		488,516
	16,454	Loews Corp.		598,103
	737	Markel Corp.*		631,395
	195,576	Marsh & McLennan Cos., Inc.		11,157,611
	49,511	MetLife Inc.		1,958,655
	13,804	Old Republic International Corp.		245,711
	2,523	PartnerRe Ltd.		353,901

See Notes to Financial Statements.

11

Schedules of Investments

(unaudited) (continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 12.9% — (continued)
	Insurance — 3.1% — (continued)
	15,559	Principal Financial Group Inc.	$	588,286
	2,907	ProAssurance Corp.		143,344
	31,010	Progressive Corp. (The)		989,839
	23,942	Prudential Financial Inc.		1,582,327
	3,498	Reinsurance Group of America Inc., Class A Shares		315,170
	2,434	RenaissanceRe Holdings Ltd.		275,529
	2,231	StanCorp Financial Group Inc.		256,342
	6,665	Torchmark Corp.		341,381
	16,844	Travelers Cos., Inc. (The)		1,811,067
	13,188	Unum Group		376,254
	4,471	Validus Holdings Ltd.		200,793
	5,139	W.R. Berkley Corp.		264,658
	300	White Mountains Insurance Group Ltd.		230,058
	33,600	Willis Towers Watson PLC		3,807,552
	16,207	XL Group PLC, Class A Shares		557,197
		Total Insurance		59,578,236
	Real Estate Investment Trusts (REITs) — 2.0%
	3,807	Alexandria Real Estate Equities Inc.		301,362
	5,936	American Campus Communities Inc.		259,819
	18,646	American Capital Agency Corp.		336,933
	8,757	American Homes 4 Rent, Class A Shares		122,598
	22,362	American Tower Corp.		2,061,776
	50,089	Annaly Capital Management Inc.		507,402
	8,260	Apartment Investment & Management Co., Class A Shares		302,399
	9,271	Apple Hospitality REIT Inc.		176,242
	6,987	AvalonBay Communities Inc.		1,199,249
	8,108	Boston Properties Inc.		925,447
	9,506	Brandywine Realty Trust		117,019
	9,145	Brixmor Property Group Inc.		214,267
	4,590	Camden Property Trust		343,057
	4,372	Care Capital Properties Inc.		115,902
	8,826	CBL & Associates Properties Inc.		101,764
	9,990	Chimera Investment Corp.		130,170
	6,611	Columbia Property Trust Inc.		134,005
	6,376	Communications Sales & Leasing Inc.		120,188
	4,997	Corporate Office Properties Trust		116,930
	6,185	Corrections Corp. of America		178,932
	17,640	Crown Castle International Corp.		1,525,860
	16,008	DDR Corp.		267,814
	7,735	Digital Realty Trust Inc.		611,606
	7,709	Douglas Emmett Inc.		206,910
	18,237	Duke Realty Corp.		377,141
	5,889	Empire State Realty Trust Inc., Class A Shares		92,339
	3,615	Equinix Inc.		1,097,839
	6,857	Equity Commonwealth*		182,602
	4,453	Equity LifeStyle Properties Inc.		312,422
	19,238	Equity Residential		1,433,039
	3,454	Essex Property Trust Inc.		722,853
	6,490	Extra Space Storage Inc.		533,153
	3,630	Federal Realty Investment Trust		537,458
	11,543	Forest City Realty Trust Inc., Class A Shares*		215,277
	2,216	Four Corners Property Trust Inc.		36,365
	4,663	Gaming & Leisure Properties Inc.		122,124
	30,498	General Growth Properties Inc.		839,305
	24,401	HCP Inc.		721,782

See Notes to Financial Statements.

12

Schedules of Investments

(unaudited) (continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 12.9% — (continued)
	Real Estate Investment Trusts (REITs) — 2.0% — (continued)
	6,617	Healthcare Trust of America Inc., Class A Shares	$	184,019
	7,926	Hospitality Properties Trust		192,443
	40,045	Host Hotels & Resorts Inc.		613,089
	11,128	Iron Mountain Inc.		326,941
	4,654	Kilroy Realty Corp.		252,573
	21,816	Kimco Realty Corp.		583,578
	4,281	Lamar Advertising Co., Class A Shares		244,573
	7,899	Liberty Property Trust		228,123
	8,365	Macerich Co. (The)		661,504
	19,576	MFA Financial Inc.		133,313
	3,983	Mid-America Apartment Communities Inc.		358,231
	7,083	National Retail Properties Inc.		311,510
	3,214	NorthStar Realty Europe Corp.		31,369
	9,642	NorthStar Realty Finance Corp.		120,429
	9,657	Omega Healthcare Investors Inc.		309,603
	7,262	Outfront Media Inc.		148,508
	9,439	Paramount Group Inc.		142,718
	7,691	Piedmont Office Realty Trust Inc., Class A Shares		141,284
	2,885	Post Properties Inc.		160,781
	27,697	Prologis Inc.		1,065,227
	7,655	Public Storage		1,909,846
	6,705	Rayonier Inc.		146,370
	13,192	Realty Income Corp.		772,260
	4,986	Regency Centers Corp.		351,912
	12,536	Retail Properties of America Inc., Class A Shares		184,154
	12,422	Senior Housing Properties Trust		193,907
	16,451	Simon Property Group Inc.		3,121,248
	5,264	SL Green Realty Corp.		464,179
	23,332	Spirit Realty Capital Inc.		249,419
	12,586	Starwood Property Trust Inc.		220,758
	5,066	Tanger Factory Outlet Centers Inc.		162,517
	3,266	Taubman Centers Inc.		231,298
	19,374	Two Harbors Investment Corp.		150,148
	13,688	UDR Inc.		469,909
	17,488	Ventas Inc.		973,557
	47,841	VEREIT Inc.		383,685
	9,951	Vornado Realty Trust		859,368
	6,549	Weingarten Realty Investors		230,721
	18,531	Welltower Inc.		1,181,907
	42,216	Weyerhaeuser Co.		1,096,772
	5,515	WP Carey Inc.		312,645
	9,793	WP Glimcher Inc.		84,611
		Total Real Estate Investment Trusts (REITs)		37,562,357
	Real Estate Management & Development — 0.1%
	15,117	CBRE Group Inc., Class A Shares*		384,123
	2,098	Howard Hughes Corp. (The)*		194,673
	2,371	Jones Lang LaSalle Inc.		242,008
	7,745	Realogy Holdings Corp.*		247,608
		Total Real Estate Management & Development		1,068,412
	Thrifts & Mortgage Finance — 0.0%
	25,631	New York Community Bancorp Inc.		387,797
	3,487	TFS Financial Corp.		58,930
		Total Thrifts & Mortgage Finance		446,727
		TOTAL FINANCIALS		245,944,821

See Notes to Financial Statements.

13

Schedules of Investments

(unaudited) (continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	HEALTH CARE — 15.8%
	Biotechnology — 3.5%
	87,486	AbbVie Inc.	$	4,777,611
	1,365	Agios Pharmaceuticals Inc.*		52,348
	50,204	Alexion Pharmaceuticals Inc.*		7,068,723
	7,856	Alkermes PLC*		253,513
	3,921	Alnylam Pharmaceuticals Inc.*		229,653
	40,185	Amgen Inc.		5,717,522
	280,366	Baxalta Inc.		10,799,698
	31,981	Biogen Inc.*		8,296,511
	8,474	BioMarin Pharmaceutical Inc.*		693,766
	1,890	Bluebird Bio Inc.*		87,356
	92,420	Celgene Corp.*		9,318,709
	77,673	Gilead Sciences Inc.		6,776,969
	8,269	Incyte Corp.*		607,772
	33,143	Intercept Pharmaceuticals Inc.*		3,691,467
	2,580	Intrexon Corp.*		79,851
	6,327	Ionis Pharmaceuticals Inc.*		218,661
	630	Juno Therapeutics Inc.*		22,157
	8,318	Medivation Inc.*		297,535
	15,995	OPKO Health Inc.*		148,754
	1,322	Puma Biotechnology Inc.*		59,199
	4,147	Regeneron Pharmaceuticals Inc.*		1,592,531
	5,575	Seattle Genetics Inc.*		168,309
	2,443	United Therapeutics Corp.*		297,899
	73,783	Vertex Pharmaceuticals Inc.*		6,307,709
		Total Biotechnology		67,564,223
	Health Care Equipment & Supplies — 1.4%
	78,685	Abbott Laboratories		3,048,257
	4,500	Alere Inc.*		239,850
	4,268	Align Technology Inc.*		281,816
	28,766	Baxter International Inc.		1,136,545
	11,066	Becton Dickinson and Co.		1,631,682
	70,859	Boston Scientific Corp.*		1,203,186
	2,552	Cooper Cos., Inc. (The)		364,834
	3,924	CR Bard Inc.		754,899
	7,390	DENTSPLY International Inc.		450,494
	45,892	DexCom Inc.*		2,985,734
	30,969	Edwards Lifesciences Corp.*		2,694,303
	2,994	Hill-Rom Holdings Inc.		138,772
	12,996	Hologic Inc.*		450,051
	4,947	IDEXX Laboratories Inc.*		361,922
	1,948	Intuitive Surgical Inc.*		1,096,841
	75,319	Medtronic PLC		5,828,937
	7,448	ResMed Inc.		423,866
	2,936	Sirona Dental Systems Inc.*		322,872
	14,861	St. Jude Medical Inc.		797,887
	17,852	Stryker Corp.		1,783,058
	2,195	Teleflex Inc.		313,490
	5,275	Varian Medical Systems Inc.*		412,610
	9,006	Zimmer Biomet Holdings Inc.		871,871
		Total Health Care Equipment & Supplies		27,593,777
	Health Care Providers & Services — 3.7%
	3,173	Acadia Healthcare Co., Inc.*		175,816
	54,056	Aetna Inc.		5,872,103

See Notes to Financial Statements.

14

Schedules of Investments

(unaudited) (continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	HEALTH CARE — 15.8% — (continued)
	Health Care Providers & Services — 3.7% — (continued)
	10,868	AmerisourceBergen Corp., Class A Shares	$	941,386
	42,622	Anthem Inc.		5,570,269
	9,732	Brookdale Senior Living Inc.*		139,849
	141,685	Cardinal Health Inc.		11,575,664
	6,285	Centene Corp.*		357,994
	13,603	Cigna Corp.		1,899,115
	6,239	Community Health Systems Inc.*		94,334
	9,324	DaVita HealthCare Partners Inc.*		615,104
	9,811	Envision Healthcare Holdings Inc.*		215,744
	273,414	Express Scripts Holding Co.*		19,242,877
	16,945	HCA Holdings Inc.*		1,172,763
	4,077	Health Net Inc.*		253,671
	4,420	Henry Schein Inc.*		731,289
	7,916	Humana Inc.		1,400,895
	5,307	Laboratory Corp. of America Holdings*		582,921
	2,342	LifePoint Health Inc.*		146,047
	12,239	McKesson Corp.		1,904,633
	4,944	MEDNAX Inc.*		331,446
	4,551	Patterson Cos., Inc.		197,695
	1,988	Premier Inc., Class A Shares*		64,650
	156,692	Quest Diagnostics Inc.		10,424,719
	5,245	Tenet Healthcare Corp.*		130,181
	50,311	UnitedHealth Group Inc.		5,992,040
	4,853	Universal Health Services Inc., Class B Shares		535,626
	4,343	VCA Inc.*		221,623
		Total Health Care Providers & Services		70,790,454
	Health Care Technology — 0.1%
	9,559	Allscripts Healthcare Solutions Inc.*		119,679
	2,037	athenahealth Inc.*		262,915
	15,838	Cerner Corp.*		808,688
	7,065	IMS Health Holdings Inc.*		182,136
	1,340	Inovalon Holdings Inc., Class A Shares*		23,035
	3,753	Veeva Systems Inc., Class A Shares*		91,160
		Total Health Care Technology		1,487,613
	Life Sciences Tools & Services — 0.7%
	17,600	Agilent Technologies Inc.		657,360
	1,092	Bio-Rad Laboratories Inc., Class A Shares*		147,027
	1,963	Bio-Techne Corp.		168,504
	5,868	Bruker Corp.*		152,451
	2,503	Charles River Laboratories International Inc.*		183,795
	44,016	Illumina Inc.*		6,612,964
	1,478	Mettler-Toledo International Inc.*		465,437
	5,983	PerkinElmer Inc.		282,757
	12,264	QIAGEN NV*		258,893
	4,185	Quintiles Transnational Holdings Inc.*		262,441
	21,039	Thermo Fisher Scientific Inc.		2,718,028
	1,549	VWR Corp.*		37,796
	4,371	Waters Corp.*		525,875
		Total Life Sciences Tools & Services		12,473,328
	Pharmaceuticals — 6.4%
	4,143	Akorn Inc.*		110,162
	20,742	Allergan PLC*		6,017,462

See Notes to Financial Statements.

15

Schedules of Investments

(unaudited) (continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	HEALTH CARE — 15.8% — (continued)
	Pharmaceuticals — 6.4% — (continued)
	185,505	Bristol-Myers Squibb Co.	$	11,488,325
	51,716	Eli Lilly & Co.		3,723,552
	11,966	Endo International PLC*		500,298
	3,227	Jazz Pharmaceuticals PLC*		392,339
	238,464	Johnson & Johnson		25,088,797
	31,883	Mallinckrodt PLC*		2,073,351
	345,222	Merck & Co., Inc.		17,333,597
	22,212	Mylan NV*		1,001,095
	87,500	Novo Nordisk AS, ADR		4,497,500
	79,831	Perrigo Co. PLC		10,078,664
	981,854	Pfizer Inc.		29,131,608
	272,424	Zoetis Inc., Class A Shares		11,185,729
		Total Pharmaceuticals		122,622,479
		TOTAL HEALTH CARE		302,531,874
	INDUSTRIALS — 9.8%
	Aerospace & Defense — 2.6%
	5,611	B/E Aerospace Inc.		244,752
	36,549	Boeing Co. (The)		4,319,361
	5,655	BWX Technologies Inc.		180,395
	15,409	General Dynamics Corp.		2,099,784
	5,094	Hexcel Corp.		210,535
	41,315	Honeywell International Inc.		4,187,275
	2,570	Huntington Ingalls Industries Inc.		336,824
	4,353	L-3 Communications Holdings Inc.		510,650
	14,342	Lockheed Martin Corp.		3,094,860
	61,339	Northrop Grumman Corp.		11,790,583
	3,198	Orbital ATK Inc.		267,864
	126,528	Raytheon Co.		15,670,493
	6,991	Rockwell Collins Inc.		612,202
	7,486	Spirit AeroSystems Holdings Inc., Class A Shares*		344,356
	14,674	Textron Inc.		501,117
	2,816	TransDigm Group Inc.*		601,441
	2,604	Triumph Group Inc.		79,318
	47,050	United Technologies Corp.		4,545,971
		Total Aerospace & Defense		49,597,781
	Air Freight & Logistics — 0.3%
	7,708	CH Robinson Worldwide Inc.		538,250
	10,109	Expeditors International of Washington Inc.		462,790
	14,998	FedEx Corp.		2,052,926
	37,079	United Parcel Service Inc., Class B Shares		3,579,977
		Total Air Freight & Logistics		6,633,943
	Airlines — 0.4%
	6,852	Alaska Air Group Inc.		506,363
	33,314	American Airlines Group Inc.		1,365,874
	1,739	Copa Holdings SA, Class A Shares		106,183
	43,144	Delta Air Lines Inc.		2,081,267
	16,557	JetBlue Airways Corp.*		364,254
	35,321	Southwest Airlines Co.		1,481,716
	3,857	Spirit Airlines Inc.*		184,172
	20,190	United Continental Holdings Inc.*		1,156,079
		Total Airlines		7,245,908

See Notes to Financial Statements.

16

Schedules of Investments

(unaudited) (continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	INDUSTRIALS — 9.8% — (continued)
	Building Products — 0.1%
	5,057	Allegion PLC	$	318,591
	3,923	AO Smith Corp.		276,101
	2,069	Armstrong World Industries Inc.*		83,856
	8,426	Fortune Brands Home & Security Inc.		423,154
	2,138	Lennox International Inc.		276,251
	18,424	Masco Corp.		519,557
	6,237	Owens Corning		267,692
	4,843	USG Corp.*		103,156
		Total Building Products		2,268,358
	Commercial Services & Supplies — 1.8%
	9,053	ADT Corp. (The)		365,470
	4,759	Cintas Corp.		399,708
	3,100	Clean Harbors Inc.*		132,060
	257,452	Copart Inc.*		9,718,813
	6,049	Covanta Holding Corp.		84,263
	7,493	KAR Auction Services Inc.		265,327
	10,659	Pitney Bowes Inc.		193,141
	12,815	Republic Services Inc., Class A Shares		585,645
	5,018	Rollins Inc.		138,146
	11,025	RR Donnelley & Sons Co.		167,360
	89,014	Stericycle Inc.*		10,141,365
	22,253	Tyco International PLC		782,861
	6,547	Waste Connections Inc.		403,753
	195,497	Waste Management Inc.		10,918,507
		Total Commercial Services & Supplies		34,296,419
	Construction & Engineering — 0.1%
	56,248	AECOM*		1,544,570
	5,178	Chicago Bridge & Iron Co. NV		173,670
	7,747	Fluor Corp.		356,672
	6,638	Jacobs Engineering Group Inc.*		256,559
	7,624	KBR Inc.		105,440
	8,152	Quanta Services Inc.*		165,404
		Total Construction & Engineering		2,602,315
	Electrical Equipment — 0.7%
	18,095	Acuity Brands Inc.		3,789,636
	12,766	AMETEK Inc.		592,470
	2,827	Babcock & Wilcox Enterprises Inc.*		55,211
	90,588	Eaton Corp. PLC		5,137,246
	35,322	Emerson Electric Co.		1,724,773
	3,058	Hubbell Inc., Class B Shares		303,843
	2,368	Regal Beloit Corp.		129,246
	7,113	Rockwell Automation Inc.		740,392
	3,126	SolarCity Corp.*		57,612
		Total Electrical Equipment		12,530,429
	Industrial Conglomerates — 1.2%
	33,527	3M Co.		5,259,380
	3,439	Carlisle Cos., Inc.		310,060
	31,517	Danaher Corp.		2,813,523
	497,069	General Electric Co.		14,484,591
	5,313	Roper Technologies Inc.		892,212
		Total Industrial Conglomerates		23,759,766

See Notes to Financial Statements.

17

Schedules of Investments

(unaudited) (continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	INDUSTRIALS — 9.8% — (continued)
	Machinery — 0.8%
	4,009	AGCO Corp.	$	198,406
	9,496	Allison Transmission Holdings Inc.		224,865
	31,904	Caterpillar Inc.		2,159,901
	5,308	Colfax Corp.*		134,346
	2,543	Crane Co.		124,734
	9,583	Cummins Inc.		935,013
	16,713	Deere & Co.		1,340,048
	7,217	Donaldson Co., Inc.		203,808
	8,477	Dover Corp.		515,232
	7,106	Flowserve Corp.		298,594
	3,101	Graco Inc.		242,870
	4,120	IDEX Corp.		309,659
	15,815	Illinois Tool Works Inc.		1,490,564
	13,991	Ingersoll-Rand PLC		777,340
	4,715	ITT Corp.		166,251
	5,147	Joy Global Inc.		66,499
	4,190	Kennametal Inc.		84,345
	3,996	Lincoln Electric Holdings Inc.		218,062
	7,196	Manitowoc Co., Inc. (The)		114,057
	3,030	Middleby Corp. (The)*		280,578
	3,017	Nordson Corp.		216,228
	4,134	Oshkosh Corp.		142,623
	18,752	PACCAR Inc.		965,728
	7,330	Parker-Hannifin Corp.		741,796
	9,494	Pentair PLC		452,959
	3,070	Snap-on Inc.		444,137
	2,168	SPX Corp.		25,561
	2,168	SPX FLOW Inc.*		40,607
	8,125	Stanley Black & Decker Inc.		763,831
	5,555	Terex Corp.		124,321
	4,107	Timken Co. (The)		122,512
	2,942	Toro Co. (The)		234,477
	8,189	Trinity Industries Inc.		129,714
	1,245	Valmont Industries Inc.		140,747
	2,884	WABCO Holdings Inc.*		271,961
	5,107	Wabtec Corp.		360,554
	9,586	Xylem Inc.		358,612
		Total Machinery		15,421,540
	Marine — 0.0%
	2,948	Kirby Corp.*		166,886
	Professional Services — 0.6%
	1,904	Dun & Bradstreet Corp. (The)		182,384
	6,290	Equifax Inc.		659,695
	3,636	IHS Inc., Class A Shares*		378,108
	3,890	ManpowerGroup Inc.		301,241
	19,452	Nielsen Holdings PLC		979,214
	7,139	Robert Half International Inc.		281,205
	1,718	TransUnion*		45,304
	112,936	Verisk Analytics Inc., Class A Shares*		8,226,258
		Total Professional Services		11,053,409
	Road & Rail — 0.9%
	386	AMERCO		132,325
	37,202	Avis Budget Group Inc.*		953,859

See Notes to Financial Statements.

18

Schedules of Investments

(unaudited) (continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	INDUSTRIALS — 9.8% — (continued)
	Road & Rail — 0.9% — (continued)
	52,218	CSX Corp.	$	1,260,543
	2,995	Genesee & Wyoming Inc., Class A Shares*		169,876
	163,353	Hertz Global Holdings Inc.*		1,388,501
	4,862	J.B. Hunt Transport Services Inc.		370,922
	5,843	Kansas City Southern		477,432
	2,347	Landstar System Inc.		138,942
	16,112	Norfolk Southern Corp.		1,178,915
	3,688	Old Dominion Freight Line Inc.*		238,097
	2,817	Ryder System Inc.		159,780
	133,478	Union Pacific Corp.		10,526,075
		Total Road & Rail		16,995,267
	Trading Companies & Distributors — 0.3%
	62,200	AerCap Holdings NV*		2,222,406
	5,422	Air Lease Corp., Class A Shares		162,931
	15,536	Fastenal Co.		703,625
	2,320	GATX Corp.		99,783
	9,009	HD Supply Holdings Inc.*		250,360
	32,300	MRC Global Inc.*		385,985
	2,516	MSC Industrial Direct Co., Inc., Class A Shares		175,063
	5,665	NOW Inc.*		91,660
	5,126	United Rentals Inc.*		264,348
	1,376	Watsco Inc.		175,509
	2,337	WESCO International Inc.*		102,945
	3,318	WW Grainger Inc.		719,674
		Total Trading Companies & Distributors		5,354,289
	Transportation Infrastructure — 0.0%
	3,652	Macquarie Infrastructure Corp.		222,955
		TOTAL INDUSTRIALS		188,149,265
	INFORMATION TECHNOLOGY — 22.0%
	Communications Equipment — 1.9%
	1,782	Arista Networks Inc.*		122,138
	56,734	ARRIS International PLC*		1,355,375
	22,087	Brocade Communications Systems Inc.		219,324
	1,037,606	Cisco Systems Inc.		27,164,525
	5,562	CommScope Holding Co., Inc.*		140,107
	2,331	EchoStar Corp., Class A Shares*		104,196
	3,801	F5 Networks Inc.*		365,542
	6,532	Harris Corp.		509,627
	20,869	Juniper Networks Inc.		515,464
	2,475	Lumentum Holdings Inc.*		59,474
	9,339	Motorola Solutions Inc.		686,323
	28,035	Palo Alto Networks Inc.*		4,059,188
	12,376	Viavi Solutions Inc.*		80,815
		Total Communications Equipment		35,382,098
	Electronic Equipment, Instruments & Components — 0.7%
	16,327	Amphenol Corp., Class A Shares		866,474
	5,058	Arrow Electronics Inc.*		289,115
	7,179	Avnet Inc.		295,416
	6,971	CDW Corp.		275,912
	4,605	Cognex Corp.		170,431
	265,924	Corning Inc.		4,866,409
	2,632	Dolby Laboratories Inc., Class A Shares		103,964

See Notes to Financial Statements.

19

Schedules of Investments

(unaudited) (continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 22.0% — (continued)
	Electronic Equipment, Instruments & Components — 0.7% — (continued)
	145,723	Fitbit Inc., Class A Shares*	$	1,782,192
	7,406	FLIR Systems Inc.		229,290
	8,259	Ingram Micro Inc., Class A Shares		295,672
	1,826	IPG Photonics Corp.*		150,572
	10,241	Jabil Circuit Inc.		213,525
	8,932	Keysight Technologies Inc.*		233,036
	5,942	National Instruments Corp.		171,427
	65,300	TE Connectivity Ltd.		3,716,876
	13,713	Trimble Navigation Ltd.*		318,964
	6,012	VeriFone Systems Inc.*		143,627
	2,733	Zebra Technologies Corp., Class A Shares*		168,845
		Total Electronic Equipment, Instruments & Components		14,291,747
	Internet Software & Services — 4.6%
	9,437	Akamai Technologies Inc.*		509,315
	91,900	Alibaba Group Holding Ltd., ADR*		6,323,639
	43,636	Alphabet Inc., Class A Shares*		31,296,612
	15,547	Alphabet Inc., Class C Shares*		10,848,230
	1,713	CoStar Group Inc.*		303,304
	390,107	eBay Inc.*		9,284,546
	161,375	Facebook Inc., Class A Shares*		17,254,215
	1,247	GoDaddy Inc., Class A Shares*		39,093
	3,883	IAC/InterActiveCorp.		172,483
	36,483	LinkedIn Corp., Class A Shares*		4,275,443
	1,885	Match Group Inc.*		20,528
	48,900	MercadoLibre Inc.		4,976,064
	11,174	Pandora Media Inc.*		114,198
	6,138	Rackspace Hosting Inc.*		132,151
	29,872	Twitter Inc.*		541,281
	5,468	VeriSign Inc.*		461,991
	49,599	Yahoo! Inc.*		1,576,752
	3,432	Yelp Inc., Class A Shares*		69,464
	2,325	Zillow Group Inc., Class A Shares*		53,824
	4,651	Zillow Group Inc., Class C Shares*		100,462
		Total Internet Software & Services		88,353,595
	IT Services — 4.8%
	33,199	Accenture PLC, Class A Shares		3,328,532
	3,279	Alliance Data Systems Corp.*		689,016
	8,172	Amdocs Ltd.		463,843
	24,816	Automatic Data Processing Inc.		2,101,667
	1,094	Black Knight Financial Services Inc., Class A Shares*		32,065
	5,376	Booz Allen Hamilton Holding Corp., Class A Shares		148,378
	6,336	Broadridge Financial Solutions Inc.		355,640
	321,968	Cognizant Technology Solutions Corp., Class A Shares*		18,345,737
	7,335	Computer Sciences Corp.		211,321
	4,768	CoreLogic Inc.*		164,925
	7,335	CSRA Inc.		190,343
	1,829	DST Systems Inc.		191,277
	119,382	Fidelity National Information Services Inc.		6,954,001
	9,507	First Data Corp., Class A Shares*		118,837
	12,515	Fiserv Inc.*		1,196,809
	4,853	FleetCor Technologies Inc.*		619,680
	4,389	Gartner Inc.*		361,654
	8,408	Genpact Ltd.*		222,223

See Notes to Financial Statements.

20

Schedules of Investments

(unaudited) (continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 22.0% — (continued)
	IT Services — 4.8% — (continued)
	7,025	Global Payments Inc.	$	428,174
	47,993	International Business Machines Corp.		6,288,523
	4,323	Jack Henry & Associates Inc.		355,524
	3,526	Leidos Holdings Inc.		152,394
	52,835	MasterCard Inc., Class A Shares		4,592,418
	17,148	Paychex Inc.		881,236
	237,207	PayPal Holdings Inc.*		9,047,075
	6,007	Sabre Corp.		163,090
	1,641	Square Inc., Class A Shares*		17,132
	7,030	Teradata Corp.*		175,398
	8,733	Total System Services Inc.		380,584
	7,577	Vantiv Inc., Class A Shares*		394,307
	277,256	Visa Inc., Class A Shares		20,070,562
	186,388	Western Union Co. (The)		3,403,445
	2,042	WEX Inc.*		133,343
	1,057,009	Xerox Corp.		10,157,856
		Total IT Services		92,337,009
	Semiconductors & Semiconductor Equipment — 2.5%
	16,572	Analog Devices Inc.		878,150
	60,736	Applied Materials Inc.		1,146,088
	22,060	Atmel Corp.		178,245
	49,054	Broadcom Ltd.		6,571,764
	5,447	Cree Inc.*		172,888
	17,542	Cypress Semiconductor Corp.*		139,985
	3,993	First Solar Inc.*		286,977
	581,236	Intel Corp.		17,198,773
	8,452	KLA-Tencor Corp.		572,538
	8,368	Lam Research Corp.		613,374
	12,657	Linear Technology Corp.		552,098
	23,943	Marvell Technology Group Ltd.		228,656
	15,010	Maxim Integrated Products Inc.		508,239
	11,051	Microchip Technology Inc.		491,659
	57,163	Micron Technology Inc.*		607,643
	28,435	Nvidia Corp.		891,721
	22,685	ON Semiconductor Corp.*		190,327
	7,470	Qorvo Inc.*		336,748
	253,943	QUALCOMM Inc.		12,897,765
	10,100	Skyworks Solutions Inc.		671,145
	14,399	SunEdison Inc.*		28,510
	2,890	SunPower Corp., Class A Shares*		68,262
	11,339	Teradyne Inc.		216,348
	54,986	Texas Instruments Inc.		2,915,358
	13,672	Xilinx Inc.		645,592
		Total Semiconductors & Semiconductor Equipment		49,008,853
	Software — 4.1%
	26,668	Activision Blizzard Inc.		844,576
	75,340	Adobe Systems Inc.*		6,415,201
	4,745	ANSYS Inc.*		393,930
	12,033	Autodesk Inc.*		622,587
	341,721	CA Inc.		10,009,008
	15,469	Cadence Design Systems Inc.*		333,357
	8,473	CDK Global Inc.		380,353
	8,472	Citrix Systems Inc.*		598,547

See Notes to Financial Statements.

21

Schedules of Investments

(unaudited) (continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 22.0% — (continued)
	Software — 4.1% — (continued)
	16,628	Electronic Arts Inc.*	$	1,068,183
	7,291	FireEye Inc.*		123,509
	7,548	Fortinet Inc.*		214,363
	14,570	Intuit Inc.		1,408,045
	427,565	Microsoft Corp.		21,754,507
	143,500	Mobileye NV*		4,658,010
	2,111	NetSuite Inc.*		127,547
	13,377	Nuance Communications Inc.*		260,985
	167,461	Oracle Corp.		6,159,216
	6,078	PTC Inc.*		187,871
	9,689	Red Hat Inc.*		633,176
	80,571	Salesforce.com Inc.*		5,458,685
	80,029	ServiceNow Inc.*		4,400,795
	3,547	Solera Holdings Inc.		197,568
	121,623	Splunk Inc.*		5,302,763
	4,297	SS&C Technologies Holdings Inc.		250,472
	224,779	Symantec Corp.		4,340,482
	8,197	Synopsys Inc.*		366,816
	2,619	Tableau Software Inc., Class A Shares*		119,557
	1,510	Ultimate Software Group Inc. (The)*		259,358
	4,331	VMware Inc., Class A Shares*		218,672
	5,607	Workday Inc., Class A Shares*		338,943
	40,605	Zynga Inc., Class A Shares*		85,677
		Total Software		77,532,759
	Technology Hardware, Storage & Peripherals — 3.4%
	5,909	3D Systems Corp.*		63,049
	549,090	Apple Inc.		53,091,512
	102,644	EMC Corp.		2,682,088
	96,063	Hewlett Packard Enterprise Co.		1,274,756
	96,063	HP Inc.		1,026,913
	22,839	Lexmark International Inc., Class A Shares		708,466
	49,123	NCR Corp.*		1,147,513
	15,586	NetApp Inc.		387,156
	10,987	SanDisk Corp.		793,921
	85,275	Western Digital Corp.		3,712,021
		Total Technology Hardware, Storage & Peripherals		64,887,395
		TOTAL INFORMATION TECHNOLOGY		421,793,456
	MATERIALS — 2.5%
	Chemicals — 1.9%
	11,351	Air Products & Chemicals Inc.		1,503,667
	3,591	Airgas Inc.		508,198
	5,930	Albemarle Corp.		333,385
	3,341	Ashland Inc.		318,364
	5,331	Axalta Coating Systems Ltd.*		138,393
	3,354	Cabot Corp.		149,354
	54,299	Celanese Corp., Class A Shares		3,276,402
	12,439	CF Industries Holdings Inc.		453,526
	9,569	Chemours Co. (The)		49,089
	59,130	Dow Chemical Co. (The)		2,874,309
	7,857	Eastman Chemical Co.		504,026
	13,954	Ecolab Inc.		1,430,983
	218,145	E.I. du Pont de Nemours & Co.		13,278,486
	7,058	FMC Corp.		265,663

See Notes to Financial Statements.

22

Schedules of Investments

(unaudited) (continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	MATERIALS — 2.5% — (continued)
	Chemicals — 1.9% — (continued)
	3,845	GCP Applied Technologies Inc.*	$	68,172
	10,829	Huntsman Corp.		117,603
	4,276	International Flavors & Fragrances Inc.		441,668
	19,325	LyondellBasell Industries NV, Class A Shares		1,550,058
	23,247	Monsanto Co.		2,091,997
	18,414	Mosaic Co. (The)		490,733
	449	NewMarket Corp.		163,948
	6,980	Platform Specialty Products Corp.*		49,488
	14,368	PPG Industries Inc.		1,386,943
	15,238	Praxair Inc.		1,551,076
	7,041	RPM International Inc.		287,625
	2,383	Scotts Miracle-Gro Co. (The), Class A Shares		164,475
	10,280	Sherwin-Williams Co. (The)		2,780,740
	4,295	Valspar Corp. (The)		336,041
	2,126	Westlake Chemical Corp.		91,673
	3,845	WR Grace & Co.*		264,305
		Total Chemicals		36,920,390
	Construction Materials — 0.1%
	2,655	Eagle Materials Inc.		160,415
	3,566	Martin Marietta Materials Inc.		508,583
	7,012	Vulcan Materials Co.		690,892
		Total Construction Materials		1,359,890
	Containers & Packaging — 0.3%
	3,308	AptarGroup Inc.		243,833
	4,811	Avery Dennison Corp.		313,292
	7,286	Ball Corp.		482,552
	5,150	Bemis Co., Inc.		252,710
	7,359	Crown Holdings Inc.*		344,769
	17,384	Graphic Packaging Holding Co.		214,345
	22,247	International Paper Co.		794,218
	58,723	Owens-Illinois Inc.*		878,496
	5,175	Packaging Corp. of America		250,987
	10,434	Sealed Air Corp.		477,147
	2,146	Silgan Holdings Inc.		109,940
	5,333	Sonoco Products Co.		233,052
	13,809	WestRock Co.		466,330
		Total Containers & Packaging		5,061,671
	Metals & Mining — 0.2%
	69,216	Alcoa Inc.		618,099
	5,773	Allegheny Technologies Inc.		77,416
	1,779	Compass Minerals International Inc.		120,688
	60,048	Freeport-McMoRan Inc.		458,166
	27,963	Newmont Mining Corp.		722,284
	16,867	Nucor Corp.		663,548
	3,926	Reliance Steel & Aluminum Co.		239,054
	3,425	Royal Gold Inc.		158,817
	6,033	Southern Copper Corp.		144,430
	12,780	Steel Dynamics Inc.		232,468
	8,473	Tahoe Resources Inc.		78,291
	7,700	United States Steel Corp.		70,224
		Total Metals & Mining		3,583,485

See Notes to Financial Statements.

23

Schedules of Investments

(unaudited) (continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	MATERIALS — 2.5% — (continued)
	Paper & Forest Products — 0.0%
	3,366	Domtar Corp.	$	118,450
		TOTAL MATERIALS		47,043,886
	TELECOMMUNICATION SERVICES — 2.4%
	Diversified Telecommunication Services — 2.4%
	591,538	AT&T Inc.		21,857,329
	29,796	CenturyLink Inc.		911,460
	61,749	Frontier Communications Corp.		334,062
	15,287	Level 3 Communications Inc.*		742,184
	6,842	SBA Communications Corp., Class A Shares*		649,237
	410,260	Verizon Communications Inc.		20,812,490
	7,587	Zayo Group Holdings Inc.*		179,660
		Total Diversified Telecommunication Services		45,486,422
	Wireless Telecommunication Services — 0.0%
	39,257	Sprint Corp.*		135,044
	4,969	Telephone & Data Systems Inc.		132,772
	14,509	T-Mobile US Inc.*		538,284
	694	United States Cellular Corp.*		28,731
		Total Wireless Telecommunication Services		834,831
		TOTAL TELECOMMUNICATION SERVICES		46,321,253
	UTILITIES — 2.4%
	Electric Utilities — 1.5%
	25,895	American Electric Power Co., Inc.		1,599,016
	3,032	Avangrid Inc.*		117,611
	36,550	Duke Energy Corp.		2,714,934
	172,020	Edison International		11,724,883
	9,488	Entergy Corp.		685,128
	16,789	Eversource Energy		911,643
	48,602	Exelon Corp.		1,530,477
	22,306	FirstEnergy Corp.		746,582
	8,155	Great Plains Energy Inc.		239,268
	5,678	Hawaiian Electric Industries Inc.		166,706
	8,203	ITC Holdings Corp.		333,288
	23,473	NextEra Energy Inc.		2,648,224
	10,548	OGE Energy Corp.		262,434
	13,376	Pepco Holdings Inc.		350,184
	5,854	Pinnacle West Capital Corp.		402,931
	35,311	PPL Corp.		1,235,532
	48,004	Southern Co. (The)		2,312,833
	7,466	Westar Energy Inc., Class A Shares		324,472
	26,792	Xcel Energy Inc.		1,059,356
		Total Electric Utilities		29,365,502
	Gas Utilities — 0.1%
	6,339	AGL Resources Inc.		409,817
	5,339	Atmos Energy Corp.		370,580
	4,462	National Fuel Gas Co.		203,824
	9,287	Questar Corp.		230,039
	9,117	UGI Corp.		336,964
		Total Gas Utilities		1,551,224
	Independent Power and Renewable Electricity Producers — 0.0%
	36,070	AES Corp.		353,486

See Notes to Financial Statements.

24

Schedules of Investments

(unaudited) (continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	UTILITIES — 2.4% — (continued)
	Independent Power and Renewable Electricity Producers — 0.0% — (continued)
	19,679	Calpine Corp.*	$	247,168
	16,605	NRG Energy Inc.		179,002
	3,044	TerraForm Power Inc., Class A Shares*		29,344
		Total Independent Power and Renewable Electricity Producers		809,000
	Multi-Utilities — 0.7%
	5,971	Alliant Energy Corp.		405,729
	12,824	Ameren Corp.		602,087
	22,738	CenterPoint Energy Inc.		423,609
	14,630	CMS Energy Corp.		578,763
	15,480	Consolidated Edison Inc.		1,083,755
	31,367	Dominion Resources Inc.		2,193,180
	9,478	DTE Energy Co.		797,289
	10,294	MDU Resources Group Inc.		187,454
	16,774	NiSource Inc.		360,305
	25,368	PG&E Corp.		1,439,127
	26,736	Public Service Enterprise Group Inc.		1,140,558
	7,554	SCANA Corp.		491,161
	13,086	Sempra Energy		1,262,930
	12,427	TECO Energy Inc.		341,370
	4,368	Vectren Corp.		198,831
	16,685	WEC Energy Group Inc.		940,200
		Total Multi-Utilities		12,446,348
	Water Utilities — 0.1%
	9,511	American Water Works Co., Inc.		616,503
	9,359	Aqua America Inc.		286,105
		Total Water Utilities		902,608
		TOTAL UTILITIES		45,074,682
		TOTAL COMMON STOCKS (Cost — $1,650,769,226)		1,854,250,431
	CLOSED END MUTUAL FUND SECURITIES — 0.1%
	FINANCIALS — 0.1%
	Capital Markets — 0.1%
	10,000	iShares Russell 1000 Value (Cost — $928,630)		927,500
		TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $1,651,697,856)		1,855,177,931
Face Amount
	SHORT-TERM INVESTMENTS — 3.5%
	TIME DEPOSITS — 3.5%
$	42,807,490	Banco Santander SA — Frankfurt, 0.150% due 3/1/16		42,807,490
	14,073,244	JPMorgan Chase & Co. — New York, 0.150% due 3/1/16		14,073,244
	10,064,745	Wells Fargo — Grand Cayman, 0.150% due 3/1/16		10,064,745
		TOTAL SHORT-TERM INVESTMENTS (Cost — $66,945,479)		66,945,479
		TOTAL INVESTMENTS — 100.5% (Cost — $1,718,643,335#)		1,922,123,410
		Liabilities in Excess of Other Assets — (0.5)%		(8,874,356	)
		TOTAL NET ASSETS — 100.0%	$	1,913,249,054

See Notes to Financial Statements.

25

Schedules of Investments

(unaudited) (continued)

Large Cap Equity Fund

* Non-income producing security.

# Aggregate cost for federal income tax purposes is substantially the same.

Abbreviations used in this schedule:
ADR	— American Depositary Receipts
PLC	— Public Limited Company

Summary of Investments by Security Sector^
Information Technology	21.9	%
Health Care	15.7
Financials	12.8
Consumer Discretionary	12.2
Consumer Staples	10.2
Industrials	9.8
Energy	6.6
Materials	2.5
Telecommunication Services	2.4
Utilities	2.4
Short-Term Investments	3.5
	100.0	%

^ As a percentage of total investments.

See Notes to Financial Statements.

26

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	COMMON STOCKS — 92.8%
	CONSUMER DISCRETIONARY — 16.4%
	Auto Components — 0.5%
	1,061	American Axle & Manufacturing Holdings Inc.*	$	15,512
	787	Cooper Tire & Rubber Co.		30,929
	186	Cooper-Standard Holding Inc.*		13,624
	2,106	Dana Holding Corp.		26,199
	370	Dorman Products Inc.*		18,711
	330	Drew Industries Inc.		19,863
	399	Federal-Mogul Holdings Corp.*		2,897
	217	Fox Factory Holding Corp.*		3,240
	4,069	Gentex Corp.		59,244
	490	Gentherm Inc.*		20,433
	3,754	Goodyear Tire & Rubber Co. (The)		113,070
	253	Horizon Global Corp.*		2,234
	1,062	Lear Corp.		107,634
	165	Metaldyne Performance Group Inc.		2,356
	148,571	Modine Manufacturing Co.*		1,408,453
	250	Motorcar Parts of America Inc.*		8,625
	263	Standard Motor Products Inc.		7,919
	395	Stoneridge Inc.*		4,756
	48	Strattec Security Corp.		2,469
	302	Superior Industries International Inc.		5,964
	796	Tenneco Inc.*		36,234
	271	Tower International Inc.		5,816
	549	Visteon Corp.		38,386
		Total Auto Components		1,954,568
	Automobiles — 0.0%
	622	Thor Industries Inc.		34,446
	361	Winnebago Industries Inc.		6,762
		Total Automobiles		41,208
	Distributors — 0.3%
	336	Core-Mark Holding Co., Inc.		24,739
	188	Fenix Parts Inc.*		936
	31,158	LKQ Corp.*		859,961
	611	Pool Corp.		49,045
	291	VOXX International Corp., Class A Shares*		1,161
	85	Weyco Group Inc.		2,314
		Total Distributors		938,156
	Diversified Consumer Services — 1.7%
	359	2U Inc.*		8,024
	232	American Public Education Inc.*		3,580
	1,375	Apollo Education Group Inc.*		11,261
	179	Ascent Capital Group Inc., Class A Shares*		2,488
	238	Bridgepoint Education Inc.*		1,507
	53,728	Bright Horizons Family Solutions Inc.*		3,404,743
	206	Cambium Learning Group Inc.*		915
	171	Capella Education Co.		7,907
	925	Career Education Corp.*		2,331
	235	Carriage Services Inc., Class A Shares		4,843
	1,025	Chegg Inc.*		4,397
	105	Collectors Universe Inc.		1,675
	896	DeVry Education Group Inc.		16,361
	49	Graham Holdings Co., Class B Shares		23,917

See Notes to Financial Statements.

27

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 16.4% — (continued)
	Diversified Consumer Services — 1.7% — (continued)
	652	Grand Canyon Education Inc.*	$	25,415
	971	Houghton Mifflin Harcourt Co.*		18,265
	477	K12 Inc.*		4,670
	84	Liberty Tax Inc.		1,426
	1,310	LifeLock Inc.*		14,449
	179,480	Regis Corp.*		2,571,948
	2,812	Service Corp. International		66,138
	1,447	ServiceMaster Global Holdings Inc.*		54,885
	846	Sotheby’s		19,246
	152	Strayer Education Inc.*		6,860
	309	Universal Technical Institute Inc.		1,208
	406	Weight Watchers International Inc.*		4,779
		Total Diversified Consumer Services		6,283,238
	Hotels, Restaurants & Leisure — 2.5%
	48,459	Aramark		1,522,582
	1,447	Belmond Ltd., Class A Shares*		13,298
	23	Biglari Holdings Inc.*		8,481
	301	BJ’s Restaurants Inc.*		13,268
	1,715	Bloomin’ Brands Inc.		29,652
	288	Bob Evans Farms Inc.		12,358
	115	Bojangles’ Inc.*		1,663
	1,144	Boyd Gaming Corp.*		19,814
	227	Bravo Brio Restaurant Group Inc.*		1,773
	850	Brinker International Inc.		42,330
	261	Buffalo Wild Wings Inc.*		41,408
	738	Caesars Acquisition Co., Class A Shares*		4,472
	788	Caesars Entertainment Corp.*		7,123
	473	Carrols Restaurant Group Inc.*		6,277
	677	Cheesecake Factory Inc. (The)		33,782
	530	Choice Hotels International Inc.		27,470
	187	Churchill Downs Inc.		25,361
	226	Chuy’s Holdings Inc.*		7,241
	613	ClubCorp Holdings Inc.		8,134
	266	Cracker Barrel Old Country Store Inc.		39,381
	30,964	Dave & Buster’s Entertainment Inc.*		1,142,881
	330	Del Frisco’s Restaurant Group Inc.*		5,095
	1,172	Denny’s Corp.*		12,107
	599	Diamond Resorts International Inc.*		13,052
	241	DineEquity Inc.		22,044
	759	Domino’s Pizza Inc.		100,977
	1,332	Dunkin’ Brands Group Inc.		62,045
	194	El Pollo Loco Holdings Inc.*		2,505
	463	Eldorado Resorts Inc.*		4,635
	60	Empire Resorts Inc.*		743
	887	Extended Stay America Inc.		13,110
	382	Fiesta Restaurant Group Inc.*		12,652
	73	Fogo De Chao Inc.*		1,168
	162	Habit Restaurants Inc. (The), Class A Shares*		3,366
	1,279	International Game Technology PLC		18,904
	390	International Speedway Corp., Class A Shares		13,451
	558	Interval Leisure Group Inc.		7,226
	278	Intrawest Resorts Holdings Inc.*		2,377
	363	Isle of Capri Casinos Inc.*		4,120
	197	J Alexander’s Holdings Inc.*		2,045

See Notes to Financial Statements.

28

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 16.4% — (continued)
	Hotels, Restaurants & Leisure — 2.5% — (continued)
	501	Jack in the Box Inc.	$	34,444
	183	Jamba Inc.*		2,428
	125	Kona Grill Inc.*		1,852
	900	Krispy Kreme Doughnuts Inc.*		13,176
	1,380	La Quinta Holdings Inc.*		14,987
	297	Marcus Corp. (The)		5,548
	386	Marriott Vacations Worldwide Corp.		23,372
	29,404	MGM Resorts International*		556,618
	208	Monarch Casino & Resort Inc.*		4,185
	633	Morgans Hotel Group Co.*		937
	161	Noodles & Co., Class A Shares*		2,066
	351	Panera Bread Co., Class A Shares*		72,727
	402	Papa John’s International Inc.		23,376
	140	Papa Murphy’s Holdings Inc.*		1,516
	1,199	Penn National Gaming Inc.*		16,594
	229	Planet Fitness Inc., Class A Shares*		3,282
	326	Popeyes Louisiana Kitchen Inc.*		17,764
	296	Potbelly Corp.*		3,715
	196	Red Robin Gourmet Burgers Inc.*		12,760
	11,858	Royal Caribbean Cruises Ltd.		881,879
	893	Ruby Tuesday Inc.*		4,724
	490	Ruth’s Hospitality Group Inc.		8,609
	684	Scientific Games Corp., Class A Shares*		5,821
	945	SeaWorld Entertainment Inc.		17,095
	79	Shake Shack Inc., Class A Shares*		3,289
	991	Six Flags Entertainment Corp.		50,402
	686	Sonic Corp.		20,148
	172	Speedway Motorsports Inc.		3,134
	29,028	Texas Roadhouse Inc., Class A Shares		1,210,758
	22,893	Vail Resorts Inc.		2,916,797
	2,813	Wendy’s Co. (The)		26,358
	93	Wingstop Inc.*		2,215
	262	Zoe’s Kitchen Inc.*		9,152
		Total Hotels, Restaurants & Leisure		9,282,099
	Household Durables — 1.6%
	150	Bassett Furniture Industries Inc.		4,647
	471	Beazer Homes USA Inc.*		3,448
	1,090	CalAtlantic Group Inc.		33,071
	123	Cavco Industries Inc.*		9,980
	221	Century Communities Inc.*		3,479
	134	CSS Industries Inc.		3,627
	4,420	DR Horton Inc.		118,102
	353	Ethan Allen Interiors Inc.		10,071
	77	Flexsteel Industries Inc.		3,144
	1,210	GoPro Inc., Class A Shares*		14,375
	320	Green Brick Partners Inc.*		1,955
	14,241	Harman International Industries Inc.		1,092,000
	398	Helen of Troy Ltd.*		37,953
	143	Hooker Furniture Corp.		4,565
	1,739	Hovnanian Enterprises Inc., Class A Shares*		2,626
	77,014	Installed Building Products Inc.*		1,720,493
	4,310	iRobot Corp.*		135,075
	2,932	Jarden Corp.*		155,044
	1,141	KB Home		13,920

See Notes to Financial Statements.

29

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 16.4% — (continued)
	Household Durables — 1.6% — (continued)
	702	La-Z-Boy Inc.	$	17,094
	1,890	Leggett & Platt Inc.		84,407
	2,398	Lennar Corp., Class A Shares		100,572
	134	Lennar Corp., Class B Shares		4,517
	191	LGI Homes Inc.*		4,534
	311	Libbey Inc.		5,172
	151	Lifetime Brands Inc.		1,806
	356	M/I Homes Inc.*		6,255
	545	MDC Holdings Inc.		12,050
	552	Meritage Homes Corp.*		17,923
	9,395	Mohawk Industries Inc.*		1,688,563
	56	NACCO Industries Inc., Class A Shares		2,767
	169	New Home Co., Inc. (The)*		1,698
	58	NVR Inc.*		94,946
	4,936	PulteGroup Inc.		84,850
	330	Skullcandy Inc.*		1,168
	467	Taylor Morrison Home Corp., Class A Shares*		6,496
	830	Tempur Sealy International Inc.*		47,866
	2,388	Toll Brothers Inc.*		65,551
	2,215	TRI Pointe Group Inc.*		22,837
	673	Tupperware Brands Corp.		33,623
	206	Universal Electronics Inc.*		10,947
	222	WCI Communities Inc.*		3,830
	287	William Lyon Homes, Class A Shares*		3,404
	379	ZAGG Inc.*		3,949
		Total Household Durables		5,694,400
	Internet & Catalog Retail — 1.1%
	361	1-800-Flowers.com Inc., Class A Shares*		2,819
	102,035	Blue Nile Inc.		2,659,032
	107	Duluth Holdings Inc., Class B Shares*		1,771
	282	Etsy Inc.*		2,239
	10,162	Expedia Inc.		1,057,966
	248	FTD Cos., Inc.*		5,766
	5,997	Groupon Inc., Class A Shares*		28,666
	456	HSN Inc.		24,209
	229	Lands’ End Inc.*		5,510
	1,042	Liberty TripAdvisor Holdings Inc., Class A Shares*		21,246
	1,943	Liberty Ventures, Series A*		71,289
	363	Nutrisystem Inc.		7,387
	166	Overstock.com Inc.*		2,424
	276	PetMed Express Inc.		4,554
	485	Shutterfly Inc.*		21,553
	277	Wayfair Inc., Class A Shares*		10,795
		Total Internet & Catalog Retail		3,927,226
	Leisure Products — 1.0%
	184	Arctic Cat Inc.		3,216
	322	Black Diamond Inc.*		1,385
	80,915	Brunswick Corp.		3,442,124
	1,133	Callaway Golf Co.		10,072
	137	Escalade Inc.		1,726
	245	JAKKS Pacific Inc.*		1,774
	74	Johnson Outdoors Inc., Class A Shares		1,623
	246	Malibu Boats Inc., Class A Shares*		3,801

See Notes to Financial Statements.

30

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 16.4% — (continued)
	Leisure Products — 1.0% — (continued)
	151	Marine Products Corp.	$	1,110
	103	MCBC Holdings Inc.*		1,368
	441	Nautilus Inc.*		7,448
	617	Performance Sports Group Ltd.*		4,689
	903	Polaris Industries Inc.		79,383
	772	Smith & Wesson Holding Corp.*		19,578
	267	Sturm Ruger & Co., Inc.		18,773
	887	Vista Outdoor Inc.*		43,729
		Total Leisure Products		3,641,799
	Media — 1.8%
	308	AMC Entertainment Holdings Inc., Class A Shares		7,401
	795	AMC Networks Inc., Class A Shares*		52,104
	49	Cable One Inc.		21,000
	2,834	Cablevision Systems Corp., Class A Shares		92,190
	346	Carmike Cinemas Inc.*		7,591
	933	Central European Media Enterprises Ltd., Class A Shares*		2,295
	1,577	Cinemark Holdings Inc.		52,199
	524	Clear Channel Outdoor Holdings Inc., Class A Shares		1,892
	16,418	Crown Media Holdings Inc., Class A Shares*		72,075
	2,853	Cumulus Media Inc., Class A Shares*		713
	15	Daily Journal Corp.*		2,922
	1,028	DreamWorks Animation SKG Inc., Class A Shares*		26,378
	366	Entercom Communications Corp., Class A Shares*		4,183
	902	Entravision Communications Corp., Class A Shares		6,963
	404	Eros International PLC*		3,228
	820	EW Scripps Co. (The), Class A Shares		14,153
	1,513	Gannett Co., Inc.		23,088
	625	Global Eagle Entertainment Inc.*		5,619
	877	Gray Television Inc.*		10,121
	709	Harte-Hanks Inc.		2,191
	139	Hemisphere Media Group Inc., Class A Shares*		1,924
	17,363	IMAX Corp.*		512,382
	5,775	Interpublic Group of Cos., Inc. (The)		123,527
	641	John Wiley & Sons Inc., Class A Shares		27,903
	341	Journal Media Group Inc.		4,099
	363	Liberty Broadband Corp., Class A Shares*		18,255
	907	Liberty Broadband Corp., Class C Shares*		45,686
	1,320	Lions Gate Entertainment Corp.		27,852
	1,977	Live Nation Entertainment Inc.*		43,474
	183	Loral Space & Communications Inc.*		5,867
	12,025	Madison Square Garden Co. (The), Class A Shares*		1,863,875
	580	MDC Partners Inc., Class A Shares		12,366
	1,325	Media General Inc.*		22,022
	521	Meredith Corp.		22,658
	871	MSG Networks Inc., Class A Shares*		14,302
	863	National CineMedia Inc.		12,902
	617	New Media Investment Group Inc.		9,644
	1,920	New York Times Co. (The), Class A Shares		24,134
	42,617	Nexstar Broadcasting Group Inc., Class A Shares		1,904,128
	223	Reading International Inc., Class A Shares*		2,243
	1,150	Regal Entertainment Group, Class A Shares		22,644
	50	Saga Communications Inc., Class A Shares		1,877
	372	Scholastic Corp.		13,031
	887	Sinclair Broadcast Group Inc., Class A Shares		27,382

See Notes to Financial Statements.

31

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 16.4% — (continued)
	Media — 1.8% — (continued)
	288	Sizmek Inc.*	$	939
	49,448	Starz, Class A Shares*		1,245,595
	3,083	TEGNA Inc.		75,965
	1,498	Time Inc.		21,122
	104	Townsquare Media Inc., Class A Shares*		1,014
	1,079	Tribune Media Co., Class A Shares		38,736
	408	Tribune Publishing Co.		3,423
	402	World Wrestling Entertainment Inc., Class A Shares		6,721
		Total Media		6,565,998
	Multiline Retail — 1.0%
	692	Big Lots Inc.		27,991
	300	Dillard’s Inc., Class A Shares		25,107
	16,093	Dollar General Corp.		1,194,905
	19,940	Dollar Tree Inc.*		1,600,185
	524	Fred’s Inc., Class A Shares		7,488
	4,245	JC Penney Co., Inc.*		43,299
	14,950	Nordstrom Inc.		767,234
	153	Ollie’s Bargain Outlet Holdings Inc.*		3,091
	185	Sears Holdings Corp.*		3,232
	613	Tuesday Morning Corp.*		4,126
		Total Multiline Retail		3,676,658
	Specialty Retail — 3.3%
	915	Aaron’s Inc.		21,036
	932	Abercrombie & Fitch Co., Class A Shares		27,075
	7,144	Advance Auto Parts Inc.		1,060,455
	2,673	American Eagle Outfitters Inc.		40,790
	116	America’s Car-Mart Inc.*		2,916
	341	Asbury Automotive Group Inc.*		19,914
	2,360	Ascena Retail Group Inc.*		19,942
	985	AutoNation Inc.*		50,698
	434	Barnes & Noble Education Inc.*		4,635
	684	Barnes & Noble Inc.		6,635
	258	Big 5 Sporting Goods Corp.		3,535
	169	Boot Barn Holdings Inc.*		1,717
	402	Buckle Inc. (The)		12,784
	200	Build-A-Bear Workshop Inc.*		2,856
	1,051	Burlington Stores Inc.*		58,919
	672	Cabela’s Inc.*		32,243
	609	Caleres Inc.		17,259
	365	Cato Corp. (The), Class A Shares		13,213
	1,966	Chico’s FAS Inc.		25,086
	289	Children’s Place Inc. (The)		19,692
	594	Christopher & Banks Corp.*		838
	216	Citi Trends Inc.		3,994
	325	Conn’s Inc.*		5,515
	233	Container Store Group Inc. (The)*		1,261
	1,083	CST Brands Inc.		35,133
	496	Destination XL Group Inc.*		2,207
	1,266	Dick’s Sporting Goods Inc.		53,767
	1,009	DSW Inc., Class A Shares		26,436
	18,379	Express Inc.*		316,670
	637	Finish Line Inc. (The), Class A Shares		11,606
	37,159	Five Below Inc.*		1,425,048

See Notes to Financial Statements.

32

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 16.4% — (continued)
	Specialty Retail — 3.3% — (continued)
	1,966	Foot Locker Inc.	$	122,875
	570	Francesca’s Holdings Corp.*		10,306
	1,456	GameStop Corp., Class A Shares		44,874
	309	Genesco Inc.*		20,388
	7,491	GNC Holdings Inc., Class A Shares		213,344
	324	Group 1 Automotive Inc.		18,066
	863	Guess? Inc.		18,425
	276	Haverty Furniture Cos., Inc.		5,365
	318	Hibbett Sports Inc.*		11,289
	243	Kirkland’s Inc.		3,472
	7,909	L Brands Inc.		670,604
	12,838	Lithia Motors Inc., Class A Shares		1,190,339
	484	Lumber Liquidators Holdings Inc.*		5,484
	334	MarineMax Inc.*		5,925
	282	Mattress Firm Holding Corp.*		12,698
	862	Michaels Cos., Inc. (The)*		20,085
	440	Monro Muffler Brake Inc.		30,083
	623	Murphy USA Inc.*		39,679
	16,100	New York & Co., Inc.*		32,200
	44,905	Office Depot Inc.*		228,117
	2,676	O’Reilly Automotive Inc.*		696,616
	249	Outerwall Inc.		7,766
	361	Party City Holdco Inc.*		3,570
	586	Penske Automotive Group Inc.		22,104
	1,175	Pier 1 Imports Inc.		5,804
	775	Rent-A-Center Inc.		9,897
	30,652	Restoration Hardware Holdings Inc.*		1,164,469
	66,244	Ross Stores Inc.		3,642,095
	2,196	Sally Beauty Holdings Inc.*		69,350
	8,526	Select Comfort Corp.*		152,615
	209	Shoe Carnival Inc.		4,926
	460	Sonic Automotive Inc., Class A Shares		8,809
	249	Sportsman’s Warehouse Holdings Inc.*		3,230
	437	Stage Stores Inc.		3,671
	407	Stein Mart Inc.		3,016
	669	Tailored Brands Inc.		10,329
	385	Tile Shop Holdings Inc.*		4,859
	161	Tilly’s Inc., Class A Shares*		1,158
	864	Ulta Salon Cosmetics & Fragrance Inc.*		142,724
	1,217	Urban Outfitters Inc.*		32,238
	410	Vitamin Shoppe Inc.*		11,312
	245	West Marine Inc.*		2,004
	1,270	Williams-Sonoma Inc.		66,180
	29	Winmark Corp.		2,810
	279	Zumiez Inc.*		5,764
		Total Specialty Retail		12,104,809
	Textiles, Apparel & Luxury Goods — 1.6%
	24,525	Carter’s Inc.		2,492,476
	116	Cherokee Inc.*		1,974
	403	Columbia Sportswear Co.		23,987
	15,876	Crocs Inc.*		155,426
	136	Culp Inc.		3,465
	4,356	Deckers Outdoor Corp.*		246,375
	575	Fossil Group Inc.*		26,973

See Notes to Financial Statements.

33

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 16.4% — (continued)
	Textiles, Apparel & Luxury Goods — 1.6% — (continued)
	554	G-III Apparel Group Ltd.*	$	29,224
	42,613	Hanesbrands Inc.		1,214,044
	692	Iconix Brand Group Inc.*		6,020
	1,728	Kate Spade & Co.*		34,249
	12,584	lululemon athletica Inc.*		789,394
	226	Movado Group Inc.		6,602
	205	Oxford Industries Inc.		14,889
	177	Perry Ellis International Inc.*		3,269
	9,479	PVH Corp.		750,263
	485	Sequential Brands Group Inc.*		3,380
	1,695	Skechers U.S.A. Inc., Class A Shares*		55,799
	790	Steven Madden Ltd.*		27,808
	102	Superior Uniform Group Inc.		1,811
	786	Tumi Holdings Inc.*		15,524
	210	Unifi Inc.*		4,706
	290	Vera Bradley Inc.*		4,823
	247	Vince Holding Corp.*		1,596
	1,434	Wolverine World Wide Inc.		27,146
		Total Textiles, Apparel & Luxury Goods		5,941,223
		TOTAL CONSUMER DISCRETIONARY		60,051,382
	CONSUMER STAPLES — 2.4%
	Beverages — 0.4%
	120	Boston Beer Co., Inc. (The), Class A Shares*		22,573
	9,864	Brown-Forman Corp., Class B Shares		971,308
	993	Castle Brands Inc.*		823
	69	Coca-Cola Bottling Co. Consolidated		12,056
	147	Craft Brew Alliance Inc.*		1,216
	146	MGP Ingredients Inc.		3,415
	4,609	Monster Beverage Corp.*		578,430
	165	National Beverage Corp.*		6,273
		Total Beverages		1,596,094
	Food & Staples Retailing — 0.8%
	406	Andersons Inc. (The)		10,901
	6,440	Casey’s General Stores Inc.		679,871
	266	Chefs’ Warehouse Inc. (The)*		5,019
	4,931	Fresh Market Inc. (The)*		113,758
	190	Ingles Markets Inc., Class A Shares		6,409
	45,466	Kroger Co. (The)		1,814,548
	128	Natural Grocers by Vitamin Cottage Inc.*		2,575
	234	Performance Food Group Co.*		5,787
	272	PriceSmart Inc.		21,015
	13,843	Rite Aid Corp.*		110,052
	351	Smart & Final Stores Inc.*		5,704
	528	SpartanNash Co.		14,494
	2,144	Sprouts Farmers Market Inc.*		61,061
	3,586	SUPERVALU Inc.*		18,324
	712	United Natural Foods Inc.*		21,972
	99	Village Super Market Inc., Class A Shares		2,625
	157	Weis Markets Inc.		6,536
		Total Food & Staples Retailing		2,900,651
	Food Products — 0.3%
	55	Alico Inc.		1,317

See Notes to Financial Statements.

34

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER STAPLES — 2.4% — (continued)
	Food Products — 0.3% — (continued)
	208	Amplify Snack Brands Inc.*	$	2,140
	812	B&G Foods Inc.		28,087
	544	Blue Buffalo Pet Products Inc.*		9,955
	214	Calavo Growers Inc.		11,462
	432	Cal-Maine Foods Inc.		23,060
	2,375	Darling Ingredients Inc.*		21,399
	1,437	Dean Foods Co.		27,720
	365	Diamond Foods Inc.*		13,709
	108	Farmer Brothers Co.*		2,847
	2,366	Flowers Foods Inc.		40,530
	463	Fresh Del Monte Produce Inc.		18,571
	282	Freshpet Inc.*		1,875
	1,430	Hain Celestial Group Inc. (The)*		52,867
	992	Ingredion Inc.		100,410
	289	Inventure Foods Inc.*		1,769
	208	J&J Snack Foods Corp.		23,044
	113	John B Sanfilippo & Son Inc.		7,865
	264	Lancaster Colony Corp.		26,867
	374	Landec Corp.*		3,774
	83	Lifeway Foods Inc.*		937
	159	Limoneira Co.		2,220
	3,344	Mead Johnson Nutrition Co., Class A Shares		246,653
	306	Omega Protein Corp.*		7,268
	889	Pilgrim’s Pride Corp.*		21,736
	1,627	Pinnacle Foods Inc.		70,270
	876	Post Holdings Inc.*		60,847
	313	Sanderson Farms Inc.		28,564
	4	Seaboard Corp.*		11,700
	103	Seneca Foods Corp., Class A Shares*		3,426
	686	Snyder’s-Lance Inc.		22,439
	264	Tootsie Roll Industries Inc.		8,796
	603	TreeHouse Foods Inc.*		50,905
	2,451	WhiteWave Foods Co. (The), Class A Shares*		94,903
		Total Food Products		1,049,932
	Household Products — 0.8%
	132,012	Central Garden & Pet Co.*		1,838,927
	55,243	Central Garden & Pet Co., Class A Shares*		747,438
	835	Energizer Holdings Inc.		32,515
	1,087	HRG Group Inc.*		12,653
	67	Oil-Dri Corp. of America		2,468
	128	Orchids Paper Products Co.		3,522
	347	Spectrum Brands Holdings Inc.		33,232
	205	WD-40 Co.		22,140
		Total Household Products		2,692,895
	Personal Products — 0.1%
	5,784	Avon Products Inc.		22,037
	1,172	Coty Inc., Class A Shares		33,379
	852	Edgewell Personal Care Co.		65,135
	11,362	Elizabeth Arden Inc.*		70,444
	1,033	Herbalife Ltd.*		56,557
	243	Inter Parfums Inc.		6,150
	156	Medifast Inc.		4,735
	103	Natural Health Trends Corp.		3,211

See Notes to Financial Statements.

35

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER STAPLES — 2.4% — (continued)
	Personal Products — 0.1% — (continued)
	154	Nature’s Sunshine Products Inc.	$	1,291
	810	Nu Skin Enterprises Inc., Class A Shares		24,697
	136	Nutraceutical International Corp.*		3,337
	164	Revlon Inc., Class A Shares*		5,740
	322	Synutra International Inc.*		1,639
	78	USANA Health Sciences Inc.*		8,792
		Total Personal Products		307,144
	Tobacco — 0.0%
	324	Universal Corp.		17,651
	1,200	Vector Group Ltd.		27,876
		Total Tobacco		45,527
		TOTAL CONSUMER STAPLES		8,592,243
	ENERGY — 1.7%
	Energy Equipment & Services — 0.3%
	935	Archrock Inc.		3,731
	928	Atwood Oceanics Inc.		6,385
	590	Basic Energy Services Inc.*		1,032
	454	Bristow Group Inc.		6,905
	830	C&J Energy Services Ltd.*		855
	267	CARBO Ceramics Inc.		5,337
	861	Diamond Offshore Drilling Inc.		17,229
	548	Dril-Quip Inc.*		29,729
	3,108	Ensco PLC, Class A Shares		26,946
	296	Era Group Inc.*		2,729
	469	Exterran Corp.*		6,397
	842	Fairmount Santrol Holdings Inc.*		1,667
	790	Forum Energy Technologies Inc.*		9,290
	454	Frank’s International NV		6,306
	170	Geospace Technologies Corp.*		1,899
	353	Gulfmark Offshore Inc., Class A Shares*		1,267
	1,443	Helix Energy Solutions Group Inc.*		5,628
	438	Hornbeck Offshore Services Inc.*		3,762
	219	Independence Contract Drilling Inc.*		843
	255	ION Geophysical Corp.*		791
	3,588	Key Energy Services Inc.*		822
	368	Matrix Service Co.*		6,768
	22,425	McDermott International Inc.*		74,002
	4,337	Nabors Industries Ltd.		31,053
	171	Natural Gas Services Group Inc.*		3,088
	1,062	Newpark Resources Inc.*		3,961
	3,236	Noble Corp. PLC		26,956
	255	Nordic American Offshore Ltd.		1,201
	1,372	Oceaneering International Inc.		37,895
	734	Oil States International Inc.*		19,165
	1,637	Parker Drilling Co.*		2,554
	1,996	Patterson-UTI Energy Inc.		31,018
	161	PHI Inc.*		2,937
	858	Pioneer Energy Services Corp.*		1,175
	24,373	RigNet Inc.*		321,724
	1,654	Rowan Cos. PLC, Class A Shares		22,031
	774	RPC Inc.		10,503
	256	SEACOR Holdings Inc.*		12,388
	4,927	Seadrill Ltd.*		11,036

See Notes to Financial Statements.

36

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	ENERGY — 1.7% — (continued)
	Energy Equipment & Services — 0.3% — (continued)
	2,017	Superior Energy Services Inc.	$	20,735
	490	Tesco Corp.		3,548
	36,641	TETRA Technologies Inc.*		184,671
	565	Tidewater Inc.		3,249
	700	Unit Corp.*		3,752
	718	US Silica Holdings Inc.		13,778
		Total Energy Equipment & Services		988,738
	Oil, Gas & Consumable Fuels — 1.4%
	1,483	Abraxas Petroleum Corp.*		1,335
	32	Adams Resources & Energy Inc.		1,047
	434	Alon USA Energy Inc.		4,279
	1,091	Approach Resources Inc.*		822
	256	Ardmore Shipping Corp.		2,058
	666	Bill Barrett Corp.*		1,905
	699	Bonanza Creek Energy Inc.*		1,300
	3,498	California Resources Corp.		1,966
	1,143	Callon Petroleum Co.*		7,292
	21,168	Carrizo Oil & Gas Inc.*		455,112
	82	Clayton Williams Energy Inc.*		1,200
	952	Clean Energy Fuels Corp.*		2,742
	790	Cloud Peak Energy Inc.*		1,343
	4,708	Cobalt International Energy Inc.*		12,523
	2,919	CONSOL Energy Inc.		25,191
	271	Contango Oil & Gas Co.*		1,634
	221	CVR Energy Inc.		5,227
	796	Delek US Holdings Inc.		12,593
	4,817	Denbury Resources Inc.		6,166
	1,322	DHT Holdings Inc.		7,707
	984	Diamondback Energy Inc.*		70,110
	348	Dorian LPG Ltd.*		3,748
	1,180	Eclipse Resources Corp.*		1,119
	1,048	Energen Corp.		27,751
	600	Energy Fuels Inc.*		1,482
	653	EP Energy Corp., Class A Shares*		1,123
	401	Erin Energy Corp.*		970
	380	Evolution Petroleum Corp.		1,642
	2,201	EXCO Resources Inc.*		2,311
	642	Frontline Ltd.		5,682
	575	GasLog Ltd.		5,463
	248	Gener8 Maritime Inc.*		1,540
	1,170	Golar LNG Ltd.		21,446
	523	Green Plains Inc.		7,113
	1,454	Gulfport Energy Corp.*		34,896
	1,926	Halcon Resources Corp.*		1,119
	204	Hallador Energy Co.		985
	14	Isramco Inc.*		1,141
	677	Jones Energy Inc., Class A Shares*		1,016
	1,971	Kosmos Energy Ltd.*		9,618
	1,561	Laredo Petroleum Inc.*		7,977
	955	Matador Resources Co.*		15,414
	1,215	Memorial Resource Development Corp.*		11,749
	131,850	Navigator Holdings Ltd.*		2,050,268
	1,178	Navios Maritime Acquisition Corp.		2,003
	2,089	Newfield Exploration Co.*		56,883

See Notes to Financial Statements.

37

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	ENERGY — 1.7% — (continued)
	Oil, Gas & Consumable Fuels — 1.4% — (continued)
	1,202	Nordic American Tankers Ltd.	$	16,612
	935	Northern Oil and Gas Inc.*		3,123
	1,932	Oasis Petroleum Inc.*		10,413
	468	Pacific Ethanol Inc.*		1,844
	241	Panhandle Oil and Gas Inc., Class A Shares		3,745
	219	Par Pacific Holdings Inc.*		4,314
	1,398	Parsley Energy Inc., Class A Shares*		25,695
	1,279	PBF Energy Inc., Class A Shares		38,626
	527	PDC Energy Inc.*		26,408
	405	Peabody Energy Corp.		988
	7,327	Pioneer Natural Resources Co.		883,123
	2,348	QEP Resources Inc.		22,916
	634	Renewable Energy Group Inc.*		4,622
	83	REX American Resources Corp.*		4,191
	1,323	Rex Energy Corp.*		781
	381	Ring Energy Inc.*		1,593
	896	RSP Permian Inc.*		21,423
	2,506	Scorpio Tankers Inc.		15,587
	577	SemGroup Corp., Class A Shares		10,963
	806	Ship Finance International Ltd.		10,502
	962	SM Energy Co.		8,696
	981	Stone Energy Corp.*		1,521
	1,420	Synergy Resources Corp.*		8,875
	2,271	Targa Resources Corp.		61,044
	652	Teekay Corp.		5,216
	1,353	Teekay Tankers Ltd., Class A Shares		5,561
	2,426	Ultra Petroleum Corp.*		864
	1,356	Uranium Energy Corp.*		1,168
	611	W&T Offshore Inc.*		1,112
	42,515	Western Refining Inc.		1,133,875
	237	Westmoreland Coal Co.*		1,458
	2,728	Whiting Petroleum Corp.*		10,939
	981	World Fuel Services Corp.		45,921
	3,150	WPX Energy Inc.*		12,947
		Total Oil, Gas & Consumable Fuels		5,304,677
		TOTAL ENERGY		6,293,415
	FINANCIALS — 11.9%
	Banks — 3.4%
	211	1st Source Corp.		6,425
	98	Access National Corp.		1,823
	51	Allegiance Bancshares Inc.*		880
	114	American National Bankshares Inc.		2,894
	446	Ameris Bancorp		12,038
	121	Ames National Corp.		2,833
	144	Arrow Financial Corp.		3,768
	2,152	Associated Banc-Corp.		37,014
	520	Banc of California Inc.		7,972
	90	BancFirst Corp.		5,085
	410	Banco Latinoamericano de Comercio Exterior SA, Class E Shares		8,762
	526	Bancorp Inc. (The)*		2,509
	1,364	BancorpSouth Inc.		27,171
	607	Bank of Hawaii Corp.		38,544
	79	Bank of Marin Bancorp		3,899

See Notes to Financial Statements.

38

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 11.9% — (continued)
	Banks — 3.4% — (continued)
	1,066	Bank of the Ozarks Inc.	$	40,337
	66,110	BankUnited Inc.		2,123,454
	302	Banner Corp.		11,992
	83	Bar Harbor Bankshares		2,746
	1,110	BBCN Bancorp Inc.		15,884
	401	Berkshire Hills Bancorp Inc.		10,354
	354	Blue Hills Bancorp Inc.		4,885
	410	BNC Bancorp		8,315
	397	BOK Financial Corp.		19,401
	1,134	Boston Private Financial Holdings Inc.		11,975
	203	Bridge Bancorp Inc.		5,767
	1,011	Brookline Bancorp Inc.		10,626
	243	Bryn Mawr Bank Corp.		6,107
	78	C1 Financial Inc.*		1,751
	101	Camden National Corp.		3,920
	287	Capital Bank Financial Corp., Class A Shares		8,452
	138	Capital City Bank Group Inc.		1,987
	443	Cardinal Financial Corp.		8,532
	402	Cascade Bancorp*		2,155
	1,128	Cathay General Bancorp		30,106
	632	CenterState Banks Inc.		8,848
	329	Central Pacific Financial Corp.		6,557
	50	Century Bancorp Inc., Class A Shares		1,972
	459	Chemical Financial Corp.		15,528
	28,023	CIT Group Inc.		835,366
	161	Citizens & Northern Corp.		3,204
	22,732	Citizens Financial Group Inc.		437,136
	201	City Holding Co.		8,858
	194	CNB Financial Corp.		3,440
	508	CoBiz Financial Inc.		5,512
	812	Columbia Banking System Inc.		23,410
	6,600	Comerica Inc.		222,948
	1,231	Commerce Bancshares Inc.		52,293
	605	Community Bank System Inc.		22,403
	207	Community Trust Bancorp Inc.		6,980
	177	CommunityOne Bancorp*		2,273
	410	ConnectOne Bancorp Inc.		6,322
	226	CU Bancorp*		4,945
	761	Cullen/Frost Bankers Inc.		36,475
	368	Customers Bancorp Inc.*		8,335
	1,508	CVB Financial Corp.		23,419
	417	Eagle Bancorp Inc.*		19,115
	61,328	East West Bancorp Inc.		1,838,000
	102	Enterprise Bancorp Inc.		2,318
	273	Enterprise Financial Services Corp.		7,570
	42	Equity Bancshares Inc., Class A Shares*		877
	105	Farmers Capital Bank Corp.		2,700
	403	FCB Financial Holdings Inc., Class A Shares*		12,094
	255	Fidelity Southern Corp.		3,822
	189	Financial Institutions Inc.		5,012
	1,684	First Bancorp*		4,513
	280	First Bancorp		5,177
	146	First Bancorp Inc.		2,754
	324	First Busey Corp.		6,140
	120	First Business Financial Services Inc.		2,533

See Notes to Financial Statements.

39

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 11.9% — (continued)
	Banks — 3.4% — (continued)
	107	First Citizens BancShares Inc., Class A Shares	$	25,052
	1,211	First Commonwealth Financial Corp.		10,402
	230	First Community Bancshares Inc.		4,163
	217	First Connecticut Bancorp Inc.		3,492
	834	First Financial Bancorp		13,986
	898	First Financial Bankshares Inc.		23,716
	143	First Financial Corp.		4,712
	3,273	First Horizon National Corp.		39,341
	267	First Interstate BancSystem Inc., Class A Shares		7,156
	553	First Merchants Corp.		12,271
	1,101	First Midwest Bancorp Inc.		18,387
	220	First NBC Bank Holding Co.*		5,188
	11,292	First Niagara Financial Group Inc.		104,338
	163	First of Long Island Corp. (The)		4,538
	24,052	First Republic Bank		1,480,160
	2,310	FirstMerit Corp.		45,345
	404	Flushing Financial Corp.		8,343
	2,825	FNB Corp.		34,691
	78	Franklin Financial Network Inc.*		2,143
	2,468	Fulton Financial Corp.		31,121
	182	German American Bancorp Inc.		5,811
	1,068	Glacier Bancorp Inc.		25,440
	145	Great Southern Bancorp Inc.		5,448
	596	Great Western Bancorp Inc.		14,668
	219	Green Bancorp Inc.*		1,566
	206	Guaranty Bancorp		3,067
	508	Hampton Roads Bankshares Inc.*		853
	1,082	Hancock Holding Co.		24,962
	448	Hanmi Financial Corp.		9,332
	265	Heartland Financial USA Inc.		7,791
	325	Heritage Commerce Corp.		3,032
	403	Heritage Financial Corp.		7,028
	327	Heritage Oaks Bancorp		2,374
	1,048	Hilltop Holdings Inc.*		17,481
	790	Home BancShares Inc.		31,221
	263	HomeTrust Bancshares Inc.*		4,631
	154	Horizon Bancorp		3,727
	60,364	Huntington Bancshares Inc.		528,185
	534	IBERIABANK Corp.		25,461
	665	Independent Bank Corp.		19,817
	132	Independent Bank Group Inc.		3,630
	765	International Bancshares Corp.		17,251
	4,808	Investors Bancorp Inc.		54,427
	523	Lakeland Bancorp Inc.		5,230
	220	Lakeland Financial Corp.		9,396
	680	LegacyTexas Financial Group Inc.		12,070
	64	Live Oak Bancshares Inc.		847
	299	MainSource Financial Group Inc.		6,189
	1,047	MB Financial Inc.		31,954
	235	Mercantile Bank Corp.		5,304
	65	Merchants Bancshares Inc.		1,879
	106	MidWestOne Financial Group Inc.		2,762
	412	National Bank Holdings Corp., Class A Shares		7,968
	94	National Bankshares Inc.		3,126
	86	National Commerce Corp.*		1,895

See Notes to Financial Statements.

40

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 11.9% — (continued)
	Banks — 3.4% — (continued)
	1,962	National Penn Bancshares Inc.	$	21,837
	591	NBT Bancorp Inc.		15,248
	498	NewBridge Bancorp		5,443
	650	OFG Bancorp		3,783
	1,679	Old National Bancorp		18,738
	416	Old Second Bancorp Inc.*		2,783
	140	Opus Bank		4,516
	266	Pacific Continental Corp.		4,107
	335	Pacific Premier Bancorp Inc.*		6,884
	1,537	PacWest Bancorp		49,461
	185	Park National Corp.		15,760
	678	Park Sterling Corp.		4,224
	215	Peapack Gladstone Financial Corp.		3,565
	64	Penns Woods Bancorp Inc.		2,477
	258	Peoples Bancorp Inc.		4,603
	99	Peoples Financial Services Corp.		3,586
	4,278	People’s United Financial Inc.		62,502
	60	People’s Utah Bancorp		912
	508	Pinnacle Financial Partners Inc.		23,556
	1,418	Popular Inc.		37,577
	156	Preferred Bank		4,454
	1,110	PrivateBancorp Inc.		38,140
	979	Prosperity Bancshares Inc.		39,601
	163	QCR Holdings Inc.		3,654
	573	Renasant Corp.		17,889
	131	Republic Bancorp Inc., Class A Shares		3,355
	468	S&T Bancorp Inc.		11,803
	326	Sandy Spring Bancorp Inc.		8,469
	333	Seacoast Banking Corp. of Florida*		4,935
	305	ServisFirst Bancshares Inc.		11,148
	158	Sierra Bancorp		2,966
	10,501	Signature Bank*		1,360,405
	427	Simmons First National Corp., Class A Shares		17,588
	340	South State Corp.		21,233
	345	Southside Bancshares Inc.		8,080
	276	Southwest Bancorp Inc.		4,181
	485	State Bank Financial Corp.		9,079
	1,699	Sterling Bancorp		24,483
	198	Stock Yards Bancorp Inc.		7,395
	147	Stonegate Bank		4,220
	165	Suffolk Bancorp		3,998
	113	Sun Bancorp Inc.*		2,348
	713	SVB Financial Group*		63,350
	1,854	Synovus Financial Corp.		49,298
	699	Talmer Bancorp Inc., Class A Shares		11,743
	28,950	TCF Financial Corp.		328,293
	6,527	Texas Capital Bancshares Inc.*		211,018
	204	Tompkins Financial Corp.		11,520
	634	Towne Bank		11,051
	311	TriCo Bancshares		7,713
	296	TriState Capital Holdings Inc.*		3,555
	206	Triumph Bancorp Inc.*		2,816
	966	Trustmark Corp.		21,136
	555	UMB Financial Corp.		27,256
	25,904	Umpqua Holdings Corp.		389,596

See Notes to Financial Statements.

41

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 11.9% — (continued)
	Banks — 3.4% — (continued)
	621	Union Bankshares Corp.	$	14,134
	970	United Bankshares Inc.		33,989
	707	United Community Banks Inc.		12,238
	267	Univest Corp. of Pennsylvania		5,097
	3,252	Valley National Bancorp		29,268
	200	Washington Trust Bancorp Inc.		7,420
	1,277	Webster Financial Corp.		42,920
	521	WesBanco Inc.		14,729
	217	West Bancorporation Inc.		3,811
	343	Westamerica Bancorporation		15,432
	1,207	Western Alliance Bancorp*		35,872
	982	Wilshire Bancorp Inc.		9,663
	659	Wintrust Financial Corp.		28,008
	350	Yadkin Financial Corp.		7,578
	2,763	Zions Bancorporation		58,907
		Total Banks		12,281,977
	Capital Markets — 2.3%
	517	Artisan Partners Asset Management Inc., Class A Shares		14,672
	22	Ashford Inc.*		880
	108	Associated Capital Group Inc., Class A Shares*		2,952
	149,392	BGC Partners Inc., Class A Shares		1,290,747
	340	Calamos Asset Management Inc., Class A Shares		2,880
	316	Cohen & Steers Inc.		9,834
	1,700	Cowen Group Inc., Class A Shares*		5,763
	45	Diamond Hill Investment Group Inc.		7,605
	53,313	E*Trade Financial Corp.*		1,250,723
	1,673	Eaton Vance Corp.		48,366
	1,358	Federated Investors Inc., Class B Shares		35,539
	753	Financial Engines Inc.		18,373
	111	GAMCO Investors Inc., Class A Shares		3,856
	108,500	Greenhill & Co., Inc.		2,502,010
	532	HFF Inc., Class A Shares		13,316
	194	Houlihan Lokey Inc., Class A Shares		4,959
	235	INTL. FCStone Inc.*		6,000
	2,093	Janus Capital Group Inc.		27,062
	542	KCG Holdings Inc., Class A Shares*		5,729
	1,596	Ladenburg Thalmann Financial Services Inc.*		3,719
	1,719	Lazard Ltd., Class A Shares		60,474
	1,361	Legg Mason Inc.		38,870
	1,224	LPL Financial Holdings Inc.		24,762
	151	Medley Management Inc., Class A Shares		824
	248	Moelis & Co., Class A Shares		6,131
	2,730	NorthStar Asset Management Group Inc.		29,839
	405	OM Asset Management PLC		4,617
	191	Oppenheimer Holdings Inc., Class A Shares		2,705
	230	Piper Jaffray Cos.*		9,741
	263	Pzena Investment Management Inc., Class A Shares		1,641
	27,447	Raymond James Financial Inc.		1,203,276
	326	Safeguard Scientifics Inc.*		3,853
	31,567	SEI Investments Co.		1,204,912
	1,060	Stifel Financial Corp.*		30,698
	290	Virtu Financial Inc., Class A Shares		6,470
	99	Virtus Investment Partners Inc.		9,089
	1,194	Waddell & Reed Financial Inc., Class A Shares		27,963

See Notes to Financial Statements.

42

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 11.9% — (continued)
	Capital Markets — 2.3% — (continued)
	131	Westwood Holdings Group Inc.	$	6,496
	35,190	WisdomTree Investments Inc.		417,002
	157	ZAIS Group Holdings Inc., Class A Shares*		793
		Total Capital Markets		8,345,141
	Consumer Finance — 0.0%
	351	Cash America International Inc.		11,825
	120	Credit Acceptance Corp.*		23,648
	371	Encore Capital Group Inc.*		8,626
	405	Enova International Inc.*		2,341
	733	EZCORP Inc., Class A Shares*		2,126
	391	First Cash Financial Services Inc.		16,488
	651	Green Dot Corp., Class A Shares*		13,450
	903	LendingClub Corp.*		7,883
	343	Nelnet Inc., Class A Shares		12,897
	715	OneMain Holdings Inc., Class A Shares*		16,137
	682	PRA Group Inc.*		16,641
	170	Regional Management Corp.*		2,601
	5,812	SLM Corp.*		33,942
	104	World Acceptance Corp.*		3,820
		Total Consumer Finance		172,425
	Diversified Financial Services — 0.6%
	1,193	CBOE Holdings Inc.		74,563
	578	FactSet Research Systems Inc.		86,983
	1,038	FNFV Group*		10,556
	470	GAIN Capital Holdings Inc.		3,398
	6,256	MarketAxess Holdings Inc.		741,086
	123	Marlin Business Services Corp.		1,699
	266	Morningstar Inc.		21,118
	1,417	MSCI Inc., Class A Shares		99,927
	19,793	Nasdaq Inc.		1,252,699
	349	NewStar Financial Inc.*		2,394
	169	On Deck Capital Inc.*		1,132
	328	PICO Holdings Inc.*		2,804
	244	Resource America Inc., Class A Shares		1,096
	448	Tiptree Financial Inc., Class A Shares		2,746
		Total Diversified Financial Services		2,302,201
	Insurance — 2.5%
	223	Alleghany Corp.*		103,468
	1,450	Allied World Assurance Co. Holdings AG		46,966
	1,004	American Financial Group Inc.		67,348
	148	American National Insurance Co.		15,047
	303	AMERISAFE Inc.		15,605
	1,200	AmTrust Financial Services Inc.		29,340
	15,306	Aon PLC		1,458,509
	1,783	Arch Capital Group Ltd.*		121,137
	439	Argo Group International Holdings Ltd.		24,465
	2,325	Arthur J. Gallagher & Co.		92,651
	938	Aspen Insurance Holdings Ltd.		41,919
	992	Assurant Inc.		70,531
	1,960	Assured Guaranty Ltd.		48,628
	195	Atlas Financial Holdings Inc.*		3,504
	1,488	Axis Capital Holdings Ltd.		79,920

See Notes to Financial Statements.

43

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 11.9% — (continued)
	Insurance — 2.5% — (continued)
	222	Baldwin & Lyons Inc., Class B Shares	$	5,406
	1,611	Brown & Brown Inc.		52,051
	776	Citizens Inc., Class A Shares*		5,448
	62,270	CNO Financial Group Inc.		1,085,366
	421	Crawford & Co., Class B Shares		2,071
	270	Donegal Group Inc., Class A Shares		3,958
	259	eHealth Inc.*		2,613
	195	EMC Insurance Group Inc.		4,696
	434	Employers Holdings Inc.		12,048
	929	Endurance Specialty Holdings Ltd.		57,849
	144	Enstar Group Ltd.*		22,759
	376	Erie Indemnity Co., Class A Shares		35,348
	625	Everest Re Group Ltd.		116,331
	172	FBL Financial Group Inc., Class A Shares		9,892
	228	Federated National Holding Co.		5,449
	236	Fidelity & Guaranty Life		5,846
	1,593	First American Financial Corp.		58,989
	205	Global Indemnity PLC, Class A Shares*		5,752
	466	Greenlight Capital Re Ltd., Class A Shares*		9,972
	312	Hallmark Financial Services Inc.*		3,114
	666	Hanover Insurance Group Inc. (The)		55,245
	153	HCI Group Inc.		5,376
	396	Heritage Insurance Holdings Inc.		7,730
	572	Horace Mann Educators Corp.		17,623
	176	Independence Holding Co.		2,865
	212	James River Group Holdings Ltd.		6,197
	685	Kemper Corp.		18,413
	181,369	Maiden Holdings Ltd.		2,170,987
	1,995	MBIA Inc.*		13,686
	104,143	National Interstate Corp.		2,318,223
	41	National Western Life Group Inc., Class A Shares		8,799
	199	Navigators Group Inc. (The)*		16,115
	3,795	Old Republic International Corp.		67,551
	536	OneBeacon Insurance Group Ltd., Class A Shares		6,920
	703	PartnerRe Ltd.		98,610
	143	Patriot National Inc.*		603
	727	Primerica Inc.		30,672
	855	ProAssurance Corp.		42,160
	957	Reinsurance Group of America Inc., Class A Shares		86,226
	644	RenaissanceRe Holdings Ltd.		72,901
	212	Safety Insurance Group Inc.		11,726
	603	StanCorp Financial Group Inc.		69,285
	265	State Auto Financial Corp.		5,703
	527	State National Cos., Inc.		5,939
	1,339	Third Point Reinsurance Ltd.*		14,796
	1,810	Torchmark Corp.		92,708
	331	United Fire Group Inc.		13,346
	275	United Insurance Holdings Corp.		5,365
	434	Universal Insurance Holdings Inc.		8,472
	1,257	Validus Holdings Ltd.		56,452
	83	White Mountains Insurance Group Ltd.		63,649
	1,440	WR Berkley Corp.		74,160
		Total Insurance		9,192,499

See Notes to Financial Statements.

44

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 11.9% — (continued)
	Real Estate Investment Trusts (REITs) — 2.6%
	972	Acadia Realty Trust	$	32,125
	429	AG Mortgage Investment Trust Inc.		5,290
	289	Agree Realty Corp.		10,707
	30	Alexander’s Inc.		11,545
	994	Alexandria Real Estate Equities Inc.		78,685
	822	Altisource Residential Corp.		7,710
	516	American Assets Trust Inc.		19,138
	1,583	American Campus Communities Inc.		69,288
	728	American Capital Mortgage Investment Corp.		10,061
	2,335	American Homes 4 Rent, Class A Shares		32,690
	443	American Residential Properties Inc.		7,039
	1,485	Anworth Mortgage Asset Corp.		6,979
	2,181	Apartment Investment & Management Co., Class A Shares		79,846
	819	Apollo Commercial Real Estate Finance Inc.		12,654
	441	Apollo Residential Mortgage Inc.		5,689
	2,481	Apple Hospitality REIT Inc.		47,164
	399	Ares Commercial Real Estate Corp.		3,890
	436	Armada Hoffler Properties Inc.		4,635
	590	ARMOUR Residential REIT Inc.		11,358
	69,484	Ashford Hospitality Prime Inc.		683,028
	312,354	Ashford Hospitality Trust Inc.		1,727,318
	269	Bluerock Residential Growth REIT Inc., Class A Shares		2,760
	2,522	Brandywine Realty Trust		31,046
	2,410	Brixmor Property Group Inc.		56,466
	1,207	Camden Property Trust		90,211
	1,376	Capstead Mortgage Corp.		13,361
	674	CareTrust REIT Inc.		7,677
	530	CatchMark Timber Trust Inc., Class A Shares		5,645
	2,328	CBL & Associates Properties Inc.		26,842
	1,204	Cedar Realty Trust Inc.		8,223
	529	Chatham Lodging Trust		10,612
	839	Chesapeake Lodging Trust		21,319
	2,703	Chimera Investment Corp.		35,220
	1,574	Colony Capital Inc., Class A Shares		25,814
	552	Colony Starwood Homes		12,122
	1,750	Columbia Property Trust Inc.		35,473
	11,336	Communications Sales & Leasing Inc.		213,684
	179	CorEnergy Infrastructure Trust Inc.		2,365
	335	CoreSite Realty Corp.		21,594
	1,324	Corporate Office Properties Trust		30,982
	1,653	Corrections Corp. of America		47,821
	3,022	Cousins Properties Inc.		26,171
	2,325	CubeSmart		69,517
	916	CyrusOne Inc.		36,310
	2,249	CYS Investments Inc.		17,632
	1,249	DCT Industrial Trust Inc.		45,201
	4,200	DDR Corp.		70,266
	2,834	DiamondRock Hospitality Co.		25,223
	1,995	Douglas Emmett Inc.		53,546
	4,756	Duke Realty Corp.		98,354
	886	DuPont Fabros Technology Inc.		31,586
	724	Dynex Capital Inc.		4,597
	190	Easterly Government Properties Inc.		3,249
	450	EastGroup Properties Inc.		24,403
	887	Education Realty Trust Inc.		35,170

See Notes to Financial Statements.

45

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 11.9% — (continued)
	Real Estate Investment Trusts (REITs) — 2.6% — (continued)
	1,569	Empire State Realty Trust Inc., Class A Shares	$	24,602
	809	EPR Properties		50,344
	1,801	Equity Commonwealth*		47,961
	1,167	Equity LifeStyle Properties Inc.		81,877
	1,130	Equity One Inc.		30,973
	1,726	Extra Space Storage Inc.		141,791
	957	Federal Realty Investment Trust		141,693
	1,943	FelCor Lodging Trust Inc.		14,378
	1,553	First Industrial Realty Trust Inc.		33,421
	803	First Potomac Realty Trust		6,793
	3,022	Forest City Realty Trust Inc., Class A Shares*		56,360
	1,237	Franklin Street Properties Corp.		11,764
	1,247	Gaming and Leisure Properties Inc.		32,659
	1,020	GEO Group Inc. (The)		29,621
	357	Getty Realty Corp.		6,494
	306	Gladstone Commercial Corp.		4,553
	5,864	Gramercy Property Trust		44,273
	90	Great Ajax Corp.		895
	532	Hannon Armstrong Sustainable Infrastructure Capital Inc.		9,369
	1,380	Hatteras Financial Corp.		18,975
	1,435	Healthcare Realty Trust Inc.		41,629
	1,768	Healthcare Trust of America Inc., Class A Shares		49,168
	634	Hersha Hospitality Trust, Class A Shares		12,762
	1,314	Highwoods Properties Inc.		57,225
	2,086	Hospitality Properties Trust		50,648
	57,702	Host Hotels & Resorts Inc.		883,418
	1,042	Hudson Pacific Properties Inc.		26,571
	482	Independence Realty Trust Inc.		3,099
	310	InfraREIT Inc.		6,547
	1,235	Inland Real Estate Corp.		13,091
	1,771	Invesco Mortgage Capital Inc.		20,030
	1,710	Investors Real Estate Trust		10,499
	2,908	Iron Mountain Inc.		85,437
	1,171	iStar Inc.*		9,907
	1,196	Kilroy Realty Corp.		64,907
	1,171	Kite Realty Group Trust		31,523
	535	Ladder Capital Corp., Class A Shares		5,532
	1,098	Lamar Advertising Co., Class A Shares		62,729
	1,587	LaSalle Hotel Properties		38,643
	2,900	Lexington Realty Trust		22,446
	2,074	Liberty Property Trust		59,897
	513	LTC Properties Inc.		22,798
	1,241	Mack-Cali Realty Corp.		24,696
	3,233	Medical Properties Trust Inc.		37,406
	5,259	MFA Financial Inc.		35,814
	1,040	Mid-America Apartment Communities Inc.		93,538
	856	Monmouth Real Estate Investment Corp.		9,484
	2,367	Monogram Residential Trust Inc.		21,492
	13,857	National Health Investors Inc.		871,744
	1,900	National Retail Properties Inc.		83,562
	323	National Storage Affiliates Trust		5,843
	3,249	New Residential Investment Corp.		38,046
	1,196	New Senior Investment Group Inc.		11,589
	1,584	New York Mortgage Trust Inc.		6,621
	2,284	New York REIT Inc.		21,926

See Notes to Financial Statements.

46

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 11.9% — (continued)
	Real Estate Investment Trusts (REITs) — 2.6% — (continued)
	263	NexPoint Residential Trust Inc.	$	3,114
	845	NorthStar Realty Europe Corp.		8,247
	2,505	NorthStar Realty Finance Corp.		31,287
	2,552	Omega Healthcare Investors Inc.		81,817
	178	One Liberty Properties Inc.		3,779
	323	Orchid Island Capital Inc., Class A Shares		3,107
	1,892	Outfront Media Inc.		38,691
	2,493	Paramount Group Inc.		37,694
	1,170	Parkway Properties Inc.		15,666
	1,012	Pebblebrook Hotel Trust		27,486
	985	Pennsylvania Real Estate Investment Trust		18,873
	1,230	Physicians Realty Trust		21,131
	2,027	Piedmont Office Realty Trust Inc., Class A Shares		37,236
	766	Post Properties Inc.		42,689
	577	Potlatch Corp.		15,256
	306	Preferred Apartment Communities Inc., Class A Shares		3,703
	273	PS Business Parks Inc.		25,064
	399	QTS Realty Trust Inc., Class A Shares		17,763
	1,253	RAIT Financial Trust		3,283
	1,126	Ramco-Gershenson Properties Trust		18,917
	1,743	Rayonier Inc.		38,050
	1,213	Redwood Trust Inc.		14,423
	1,322	Regency Centers Corp.		93,307
	458	Resource Capital Corp.		5,079
	1,397	Retail Opportunity Investments Corp.		25,677
	3,326	Retail Properties of America Inc., Class A Shares		48,859
	776	Rexford Industrial Realty Inc.		13,076
	1,860	RLJ Lodging Trust		39,004
	510	Rouse Properties Inc.		9,302
	623	Ryman Hospitality Properties Inc.		29,823
	894	Sabra Healthcare REIT Inc.		17,804
	134	Saul Centers Inc.		6,563
	907	Select Income REIT		18,702
	3,279	Senior Housing Properties Trust		51,185
	514	Silver Bay Realty Trust Corp.		7,068
	503	Sovran Self Storage Inc.		53,539
	6,277	Spirit Realty Capital Inc.		67,101
	917	STAG Industrial Inc.		16,103
	3,307	Starwood Property Trust Inc.		58,005
	578	STORE Capital Corp.		13,959
	1,294	Summit Hotel Properties Inc.		13,988
	714	Sun Communities Inc.		48,216
	2,915	Sunstone Hotel Investors Inc.		37,603
	1,350	Tanger Factory Outlet Centers Inc.		43,308
	871	Taubman Centers Inc.		61,684
	591	Terreno Realty Corp.		13,085
	5,171	Two Harbors Investment Corp.		40,075
	317	UMH Properties Inc.		2,977
	1,275	Urban Edge Properties		31,008
	954	Washington Real Estate Investment Trust		24,680
	1,735	Weingarten Realty Investors		61,124
	644	Western Asset Mortgage Capital Corp.		6,962
	381	Whitestone REIT, Class B Shares		4,275
	1,444	WP Carey Inc.		81,860
	2,592	WP Glimcher Inc.		22,395

See Notes to Financial Statements.

47

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 11.9% — (continued)
	Real Estate Investment Trusts (REITs) — 2.6% — (continued)
	1,588	Xenia Hotels & Resorts Inc.	$	24,328
		Total Real Estate Investment Trusts (REITs)		9,335,364
	Real Estate Management & Development — 0.4%
	684	Alexander & Baldwin Inc.		22,928
	189	Altisource Portfolio Solutions SA*		5,058
	176	AV Homes Inc.*		1,757
	49,166	CBRE Group Inc., Class A Shares*		1,249,308
	64	Consolidated-Tomoka Land Co.		3,070
	468	Forestar Group Inc.*		4,563
	89	FRP Holdings Inc.*		3,021
	547	Howard Hughes Corp. (The)*		50,756
	591	Jones Lang LaSalle Inc.		60,323
	1,268	Kennedy-Wilson Holdings Inc.		24,117
	201	Marcus & Millichap Inc.*		4,480
	166	RE/MAX Holdings Inc., Class A Shares		5,322
	2,001	Realogy Holdings Corp.*		63,972
	97	RMR Group Inc. (The), Class A Shares*		2,188
	189	Tejon Ranch Co.*		3,326
		Total Real Estate Management & Development		1,504,189
	Thrifts & Mortgage Finance — 0.1%
	110	Anchor Bancorp Wisconsin Inc.*		4,594
	1,270	Astoria Financial Corp.		18,910
	632	Bank Mutual Corp.		4,721
	246	BankFinancial Corp.		2,962
	196	Bear State Financial Inc.*		1,801
	1,167	Beneficial Bancorp Inc.*		14,926
	797	BofI Holding Inc.*		14,768
	109	BSB Bancorp Inc.*		2,386
	1,964	Capitol Federal Financial Inc.		24,687
	197	Charter Financial Corp.		2,701
	333	Clifton Bancorp Inc.		4,915
	421	Dime Community Bancshares Inc.		7,170
	758	Essent Group Ltd.*		14,592
	1,362	EverBank Financial Corp.		17,733
	142	Federal Agricultural Mortgage Corp., Class C Shares		4,608
	128	First Defiance Financial Corp.		5,016
	293	Flagstar Bancorp Inc.*		5,626
	148	Fox Chase Bancorp Inc.		2,837
	17	Hingham Institution for Savings		1,997
	317	HomeStreet Inc.*		6,330
	145	Impac Mortgage Holdings Inc.*		1,939
	1,335	Kearny Financial Corp.		15,980
	83	LendingTree Inc.*		7,335
	794	Meridian Bancorp Inc.		10,949
	106	Meta Financial Group Inc.		4,387
	4,862	MGIC Investment Corp.*		33,256
	563	Nationstar Mortgage Holdings Inc.*		6,655
	833	NMI Holdings Inc., Class A Shares*		4,248
	666	Northfield Bancorp Inc.		10,463
	1,441	Northwest Bancshares Inc.		18,142
	182	OceanFirst Financial Corp.		3,092
	1,475	Ocwen Financial Corp.*		5,590
	627	Oritani Financial Corp.		10,609

See Notes to Financial Statements.

48

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 11.9% — (continued)
	Thrifts & Mortgage Finance — 0.1% — (continued)
	655	PHH Corp.*	$	5,941
	944	Provident Financial Services Inc.		17,549
	2,739	Radian Group Inc.		29,581
	232	Stonegate Mortgage Corp.*		1,086
	111	Territorial Bancorp Inc.		2,856
	895	TFS Financial Corp.		15,126
	1,328	TrustCo Bank Corp. NY		7,663
	690	United Community Financial Corp.		4,071
	719	United Financial Bancorp Inc.		8,326
	360	Walker & Dunlop Inc.*		8,323
	534	Walter Investment Management Corp.*		4,005
	1,362	Washington Federal Inc.		28,861
	351	Waterstone Financial Inc.		4,956
	441	WSFS Financial Corp.		13,362
		Total Thrifts & Mortgage Finance		447,631
		TOTAL FINANCIALS		43,581,427
	HEALTH CARE — 13.8%
	Biotechnology — 3.3%
	352	Abeona Therapeutics Inc.*		788
	43,914	ACADIA Pharmaceuticals Inc.*		757,956
	351	Acceleron Pharma Inc.*		8,894
	1,612	Achillion Pharmaceuticals Inc.*		11,913
	594	Acorda Therapeutics Inc.*		19,430
	173	Adamas Pharmaceuticals Inc.*		2,214
	124	Aduro Biotech Inc.*		1,805
	436	Advaxis Inc.*		2,381
	340	Aegerion Pharmaceuticals Inc.*		1,918
	271	Affimed NV*		864
	1,071	Agenus Inc.*		2,967
	360	Agios Pharmaceuticals Inc.*		13,806
	168	Aimmune Therapeutics Inc.*		2,688
	454	Akebia Therapeutics Inc.*		3,314
	332	Alder Biopharmaceuticals Inc.*		6,305
	10,650	Alkermes PLC*		343,676
	75,697	AMAG Pharmaceuticals Inc.*		1,989,317
	1,554	Amicus Therapeutics Inc.*		9,573
	17,316	Anacor Pharmaceuticals Inc.*		1,104,414
	580	Anthera Pharmaceuticals Inc.*		1,757
	120	Applied Genetic Technologies Corp.*		1,592
	310	Ardelyx Inc.*		2,995
	3,353	Arena Pharmaceuticals Inc.*		4,996
	366,320	ARIAD Pharmaceuticals Inc.*		2,000,107
	2,086	Array Biopharma Inc.*		5,236
	803	Arrowhead Research Corp.*		3,132
	236	Asterias Biotherapeutics Inc.*		1,012
	239	Atara Biotherapeutics Inc.*		3,929
	278	Avalanche Biotechnologies Inc.*		1,423
	197	Axovant Sciences Ltd.*		2,484
	108	Bellicum Pharmaceuticals Inc.*		974
	977	BioCryst Pharmaceuticals Inc.*		1,944
	4,521	BioMarin Pharmaceutical Inc.*		370,134
	71	BioSpecifics Technologies Corp.*		2,521
	750	BioTime Inc.*		1,725

See Notes to Financial Statements.

49

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	HEALTH CARE — 13.8% — (continued)
	Biotechnology — 3.3% — (continued)
	492	Bluebird Bio Inc.*	$	22,740
	126	Blueprint Medicines Corp.*		2,184
	150	Calithera Biosciences Inc.*		891
	287	Cara Therapeutics Inc.*		1,412
	1,163	Catalyst Pharmaceuticals Inc.*		1,221
	1,388	Celldex Therapeutics Inc.*		9,438
	132	Cellular Biomedicine Group Inc.*		2,289
	960	Cepheid*		28,493
	406	ChemoCentryx Inc.*		1,336
	105	Chiasma Inc.*		1,036
	1,083	Chimerix Inc.*		4,993
	79	Cidara Therapeutics Inc.*		792
	25,816	Clovis Oncology Inc.*		480,694
	332	Coherus Biosciences Inc.*		4,711
	210	Concert Pharmaceuticals Inc.*		2,701
	497	CorMedix Inc.*		780
	2,874	CTI BioPharma Corp.*		1,557
	1,540	Curis Inc.*		2,110
	488	Cytokinetics Inc.*		3,074
	106	CytomX Therapeutics Inc.*		1,367
	914	CytRx Corp.*		2,413
	216	Dicerna Pharmaceuticals Inc.*		1,071
	114	Dimension Therapeutics Inc.*		767
	517	Dynavax Technologies Corp.*		8,334
	134	Eagle Pharmaceuticals Inc.*		8,494
	124	Edge Therapeutics Inc.*		888
	424	Emergent BioSolutions Inc.*		14,344
	220	Enanta Pharmaceuticals Inc.*		6,246
	560	Epizyme Inc.*		4,922
	184	Esperion Therapeutics Inc.*		2,740
	1,300	Exact Sciences Corp.*		6,539
	3,162	Exelixis Inc.*		11,510
	379	Fibrocell Science Inc.*		857
	687	FibroGen Inc.*		11,906
	316	Five Prime Therapeutics Inc.*		10,292
	193	Flexion Therapeutics Inc.*		1,825
	160	Foundation Medicine Inc.*		2,373
	2,523	Galena Biopharma Inc.*		2,094
	315	Genocea Biosciences Inc.*		1,235
	248	Genomic Health Inc.*		6,307
	2,194	Geron Corp.*		5,288
	100	Global Blood Therapeutics Inc.*		1,493
	1,516	Halozyme Therapeutics Inc.*		12,325
	381	Heron Therapeutics Inc.*		6,050
	1,208	Idera Pharmaceuticals Inc.*		2,150
	288	Ignyta Inc.*		1,840
	176	Immune Design Corp.*		1,762
	1,218	ImmunoGen Inc.*		8,867
	1,399	Immunomedics Inc.*		3,162
	6,483	Incyte Corp.*		476,501
	696	Infinity Pharmaceuticals Inc.*		4,023
	975	Inovio Pharmaceuticals Inc.*		6,143
	834	Insmed Inc.*		10,200
	345	Insys Therapeutics Inc.*		6,031
	236	Intercept Pharmaceuticals Inc.*		26,286

See Notes to Financial Statements.

50

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	HEALTH CARE — 13.8% — (continued)
	Biotechnology — 3.3% — (continued)
	682	Intrexon Corp.*	$	21,108
	113	Invitae Corp.*		975
	1,690	Ionis Pharmaceuticals Inc.*		58,406
	1,723	Ironwood Pharmaceuticals Inc., Class A Shares*		16,627
	178	Juno Therapeutics Inc.*		6,260
	318	Karyopharm Therapeutics Inc.*		1,876
	1,478	Keryx Biopharmaceuticals Inc.*		5,942
	470	Kite Pharma Inc.*		21,018
	192	La Jolla Pharmaceutical Co.*		2,955
	573	Lexicon Pharmaceuticals Inc.*		5,352
	238	Ligand Pharmaceuticals Inc.*		21,963
	623	Lion Biotechnologies Inc.*		3,476
	124	Loxo Oncology Inc.*		2,330
	440	MacroGenics Inc.*		7,031
	3,430	MannKind Corp.*		3,533
	310	Medgenics Inc.*		1,280
	13,567	Medivation Inc.*		485,292
	235,832	Merrimack Pharmaceuticals Inc.*		1,365,467
	1,478	MiMedx Group Inc.*		12,164
	149	Mirati Therapeutics Inc.*		3,142
	798	Momenta Pharmaceuticals Inc.*		6,707
	968	Myriad Genetics Inc.*		33,880
	111	NantKwest Inc.*		764
	131	Natera Inc.*		884
	2,022	Navidea Biopharmaceuticals Inc.*		2,001
	44,711	Neurocrine Biosciences Inc.*		1,644,471
	286	NewLink Genetics Corp.*		6,017
	712	Northwest Biotherapeutics Inc.*		1,310
	3,794	Novavax Inc.*		16,542
	238	OncoMed Pharmaceuticals Inc.*		2,268
	1,355	Oncothyreon Inc.*		1,342
	324	Ophthotech Corp.*		14,593
	4,090	OPKO Health Inc.*		38,037
	1,432	Orexigen Therapeutics Inc.*		1,017
	1,163	Organovo Holdings Inc.*		2,617
	266	Osiris Therapeutics Inc.*		1,899
	255	Otonomy Inc.*		3,231
	312	OvaScience Inc.*		1,732
	2,449	PDL BioPharma Inc.		7,372
	3,036	Peregrine Pharmaceuticals Inc.*		1,215
	229	Pfenex Inc.*		1,635
	692	Portola Pharmaceuticals Inc.*		19,494
	992	Progenics Pharmaceuticals Inc.*		4,375
	146	Proteon Therapeutics Inc.*		785
	471	Prothena Corp. PLC*		14,997
	486	PTC Therapeutics Inc.*		3,878
	348	Puma Biotechnology Inc.*		15,583
	371	Radius Health Inc.*		10,870
	1,049	Raptor Pharmaceutical Corp.*		3,630
	103	REGENXBIO Inc.*		1,249
	411	Regulus Therapeutics Inc.*		2,700
	436	Repligen Corp.*		11,218
	488	Retrophin Inc.*		6,944
	1,250	Rigel Pharmaceuticals Inc.*		2,838

See Notes to Financial Statements.

51

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	HEALTH CARE — 13.8% — (continued)
	Biotechnology — 3.3% — (continued)
	212	Sage Therapeutics Inc.*	$	6,233
	922	Sangamo BioSciences Inc.*		4,831
	585	Sarepta Therapeutics Inc.*		8,020
	1,475	Seattle Genetics Inc.*		44,530
	121	Seres Therapeutics Inc.*		2,796
	394	Sorrento Therapeutics Inc.*		2,380
	127	Spark Therapeutics Inc.*		4,046
	941	Spectrum Pharmaceuticals Inc.*		4,253
	208	Stemline Therapeutics Inc.*		1,000
	1,364	Synergy Pharmaceuticals Inc.*		4,256
	136	T2 Biosystems Inc.*		1,087
	330	TESARO Inc.*		13,352
	495	TG Therapeutics Inc.*		4,123
	140	Tokai Pharmaceuticals Inc.*		892
	365	Trevena Inc.*		3,055
	396	Trovagene Inc.*		2,039
	536	Ultragenyx Pharmaceutical Inc.*		32,691
	644	United Therapeutics Corp.*		78,529
	577	Vanda Pharmaceuticals Inc.*		4,529
	734	Verastem Inc.*		822
	333	Versartis Inc.*		2,188
	177	Vitae Pharmaceuticals Inc.*		1,598
	279	Vital Therapies Inc.*		2,316
	88	Voyager Therapeutics Inc.*		842
	134	vTv Therapeutics Inc., Class A Shares*		765
	114	XBiotech Inc.*		873
	398	Xencor Inc.*		4,378
	1,323	XOMA Corp.*		1,005
	241	Zafgen Inc.*		1,509
	1,553	ZIOPHARM Oncology Inc.*		12,207
		Total Biotechnology		12,126,718
	Health Care Equipment & Supplies — 5.2%
	315	Abaxis Inc.		12,354
	579	ABIOMED Inc.*		46,326
	42,957	Accuray Inc.*		216,933
	1,188	Alere Inc.*		63,320
	1,114	Align Technology Inc.*		73,557
	170	Analogic Corp.		12,747
	356	AngioDynamics Inc.*		3,870
	206	Anika Therapeutics Inc.*		9,297
	2,220	Antares Pharma Inc.*		2,131
	390	AtriCure Inc.*		6,462
	19	Atrion Corp.		7,139
	9,061	Becton Dickinson and Co.		1,336,044
	476	Cantel Medical Corp.		30,288
	456	Cardiovascular Systems Inc.*		3,812
	1,401	Cerus Corp.*		6,865
	145	ConforMIS Inc.*		1,321
	393	CONMED Corp.		15,618
	8,271	Cooper Cos., Inc. (The)		1,182,422
	6,642	CR Bard Inc.		1,277,788
	349	CryoLife Inc.		3,738
	174	Cutera Inc.*		2,058
	309	Cynosure Inc., Class A Shares*		12,567

See Notes to Financial Statements.

52

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	HEALTH CARE — 13.8% — (continued)
	Health Care Equipment & Supplies — 5.2% — (continued)
	1,948	DENTSPLY International Inc.	$	118,750
	6,127	DexCom Inc.*		398,623
	1,008	Endologix Inc.*		8,689
	76	Entellus Medical Inc.*		1,217
	146	Exactech Inc.*		2,723
	528	GenMark Diagnostics Inc.*		2,614
	98	Glaukos Corp.*		1,613
	962	Globus Medical Inc., Class A Shares*		23,377
	365	Greatbatch Inc.*		13,797
	738	Haemonetics Corp.*		23,675
	656	Halyard Health Inc.*		16,741
	240	HeartWare International Inc.*		7,670
	792	Hill-Rom Holdings Inc.		36,709
	22,232	Hologic Inc.*		769,894
	202	ICU Medical Inc.*		18,564
	1,311	IDEXX Laboratories Inc.*		95,913
	216	Inogen Inc.*		7,383
	778	Insulet Corp.*		23,838
	41,192	Integra LifeSciences Holdings Corp.*		2,527,541
	175,753	Invacare Corp.		2,128,369
	375	InVivo Therapeutics Holdings Corp.*		1,759
	113	Invuity Inc.*		828
	55	iRadimed Corp.*		981
	253	K2M Group Holdings Inc.*		2,996
	428	Lantheus Holdings Inc.*		907
	362	LDR Holding Corp.*		7,512
	171	LeMaitre Vascular Inc.		2,519
	613	LivaNova PLC*		34,598
	61,149	Masimo Corp.*		2,313,878
	578	Meridian Bioscience Inc.		11,647
	657	Merit Medical Systems Inc.*		12,358
	464	Natus Medical Inc.*		16,852
	537	Neogen Corp.*		26,447
	234	Nevro Corp.*		13,478
	116	Novocure Ltd.*		1,356
	679	NuVasive Inc.*		28,382
	890	NxStage Medical Inc.*		13,261
	794	OraSure Technologies Inc.*		5,328
	262	Orthofix International NV*		10,063
	270	Oxford Immunotec Global PLC*		2,589
	65	Penumbra Inc.*		3,030
	381	Quidel Corp.*		5,970
	1,964	ResMed Inc.		111,771
	725	Rockwell Medical Inc.*		6,960
	809	RTI Surgical Inc.*		2,832
	118	SeaSpine Holdings Corp.*		1,487
	165	Second Sight Medical Products Inc.*		845
	124	Sientra Inc.*		868
	774	Sirona Dental Systems Inc.*		85,117
	585	Spectranetics Corp. (The)*		8,295
	533	STAAR Surgical Co.*		3,321
	52,893	STERIS PLC		3,402,078
	179	SurModics Inc.*		3,340
	82,846	Tandem Diabetes Care Inc.*		740,643
	590	Teleflex Inc.		84,264

See Notes to Financial Statements.

53

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	HEALTH CARE — 13.8% — (continued)
	Health Care Equipment & Supplies — 5.2% — (continued)
	702	TransEnterix Inc.*	$	2,253
	1,443	Unilife Corp.*		1,214
	49	Utah Medical Products Inc.		2,903
	243	Vascular Solutions Inc.*		7,305
	176	Veracyte Inc.*		1,162
	1,005	West Pharmaceutical Services Inc.		62,330
	85,033	Wright Medical Group NV*		1,453,214
	427	Zeltiq Aesthetics Inc.*		9,834
		Total Health Care Equipment & Supplies		19,063,132
	Health Care Providers & Services — 1.6%
	115	AAC Holdings Inc.*		2,346
	821	Acadia Healthcare Co., Inc.*		45,492
	399	Aceto Corp.		8,559
	96	Addus HomeCare Corp.*		2,179
	86	Adeptus Health Inc., Class A Shares*		4,895
	539	Air Methods Corp.*		19,582
	123	Alliance HealthCare Services Inc.*		879
	109	Almost Family Inc.*		4,116
	393	Amedisys Inc.*		14,439
	656	AMN Healthcare Services Inc.*		18,650
	17,177	Amsurg Corp.*		1,168,895
	1,023	BioScrip Inc.*		2,210
	369	BioTelemetry Inc.*		4,450
	2,538	Brookdale Senior Living Inc.*		36,471
	409	Capital Senior Living Corp.*		6,986
	1,601	Centene Corp.*		91,193
	239	Chemed Corp.		30,711
	171	Civitas Solutions Inc.*		3,162
	1,665	Community Health Systems Inc.*		25,175
	123	CorVel Corp.*		5,103
	449	Cross Country Healthcare Inc.*		5,572
	504	Diplomat Pharmacy Inc.*		17,952
	709	Ensign Group Inc. (The)		14,542
	2,516	Envision Healthcare Holdings Inc.*		55,327
	593	ExamWorks Group Inc.*		17,256
	654	Five Star Quality Care Inc.*		1,550
	550	Genesis Healthcare Inc., Class A Shares*		979
	507	Hanger Inc.*		1,262
	1,061	Health Net Inc.*		66,015
	516	HealthEquity Inc.*		10,743
	1,251	HealthSouth Corp.		44,073
	442	Healthways Inc.*		4,654
	4,251	Humana Inc.		752,299
	1,202	Kindred Healthcare Inc.		12,633
	132	Landauer Inc.		3,837
	185	LHC Group Inc.*		6,592
	603	LifePoint Health Inc.*		37,603
	11,504	MEDNAX Inc.*		771,228
	532	Molina Healthcare Inc.*		33,005
	146	National HealthCare Corp.		9,363
	141	National Research Corp., Class A Shares		2,111
	487	Nobilis Health Corp.*		1,388
	875	Owens & Minor Inc.		34,484
	1,185	Patterson Cos., Inc.		51,476

See Notes to Financial Statements.

54

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	HEALTH CARE — 13.8% — (continued)
	Health Care Providers & Services — 1.6% — (continued)
	424	PharMerica Corp.*	$	9,799
	539	Premier Inc., Class A Shares*		17,528
	195	Providence Service Corp. (The)*		9,264
	521	RadNet Inc.*		2,970
	1,483	Select Medical Holdings Corp.		14,519
	230	Surgery Partners Inc.*		3,020
	316	Surgical Care Affiliates Inc.*		12,807
	38,323	Team Health Holdings Inc.*		1,708,056
	143	Teladoc Inc.*		1,978
	1,316	Tenet Healthcare Corp.*		32,663
	343	Triple-S Management Corp., Class B Shares*		8,993
	238	Trupanion Inc.*		2,161
	719	Universal American Corp.		4,803
	4,370	Universal Health Services Inc., Class B Shares		482,317
	179	US Physical Therapy Inc.		9,074
	1,160	VCA Inc.*		59,195
	564	WellCare Health Plans Inc.*		50,687
		Total Health Care Providers & Services		5,881,271
	Health Care Technology — 0.3%
	36,937	Allscripts Healthcare Solutions Inc.*		462,451
	536	athenahealth Inc.*		69,182
	470	Castlight Health Inc., Class B Shares*		1,560
	8,619	Cerner Corp.*		440,086
	156	Computer Programs & Systems Inc.		8,839
	197	Evolent Health Inc., Class A Shares*		1,980
	346	HealthStream Inc.*		7,152
	1,227	HMS Holdings Corp.*		16,160
	123	Imprivata Inc.*		1,419
	367	Inovalon Holdings Inc., Class A Shares*		6,309
	788	Medidata Solutions Inc.*		27,186
	503	Omnicell Inc.*		13,767
	152	Press Ganey Holdings Inc.*		4,010
	697	Quality Systems Inc.		10,838
	981	Veeva Systems Inc., Class A Shares*		23,829
	351	Vocera Communications Inc.*		4,861
		Total Health Care Technology		1,099,629
	Life Sciences Tools & Services — 2.2%
	351	Accelerate Diagnostics Inc.*		4,223
	1,086	Affymetrix Inc.*		15,247
	29,240	Agilent Technologies Inc.		1,092,114
	362	Albany Molecular Research Inc.*		5,336
	287	Bio-Rad Laboratories Inc., Class A Shares*		38,642
	520	Bio-Techne Corp.		44,637
	44,850	Bruker Corp.		1,165,203
	450	Cambrex Corp.*		17,356
	10,369	Charles River Laboratories International Inc.*		761,396
	11,589	Fluidigm Corp.*		76,835
	476	Harvard Bioscience Inc.*		1,309
	37,145	ICON PLC, ADR*		2,643,238
	3,021	Illumina Inc.*		453,875
	188	INC Research Holdings Inc., Class A Shares*		7,460
	583	Luminex Corp.*		10,890
	389	Mettler-Toledo International Inc.*		122,500

See Notes to Financial Statements.

55

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	HEALTH CARE — 13.8% — (continued)
	Life Sciences Tools & Services — 2.2% — (continued)
	170	NanoString Technologies Inc.*	$	2,047
	773	NeoGenomics Inc.*		4,924
	779	Pacific Biosciences of California Inc.*		6,458
	20,893	PAREXEL International Corp.*		1,226,210
	1,560	PerkinElmer Inc.		73,726
	280	PRA Health Sciences Inc.*		12,088
	3,217	QIAGEN NV*		67,911
	1,137	Quintiles Transnational Holdings Inc.*		71,301
	1,645	Sequenom Inc.*		2,418
	416	VWR Corp.*		10,150
		Total Life Sciences Tools & Services		7,937,494
	Pharmaceuticals — 1.2%
	81	Aclaris Therapeutics Inc.*		1,486
	313	Aerie Pharmaceuticals Inc.*		5,271
	162	Agile Therapeutics Inc.*		933
	1,074	Akorn Inc.*		28,558
	458	Alimera Sciences Inc.*		985
	463	Amphastar Pharmaceuticals Inc.*		4,875
	109	ANI Pharmaceuticals Inc.*		3,604
	413	Aralez Pharmaceuticals Inc.*		2,342
	412	Aratana Therapeutics Inc.*		1,347
	225	Assembly Biosciences Inc.*		1,022
	667	BioDelivery Sciences International Inc.*		2,588
	263,220	Cardiome Pharma Corp.*		1,374,008
	1,185	Catalent Inc.*		28,760
	516	Cempra Inc.*		8,684
	113	Collegium Pharmaceutical Inc.*		1,971
	869	Corcept Therapeutics Inc.*		3,320
	154	Corium International Inc.*		705
	208	Dermira Inc.*		4,796
	1,708	Durect Corp.*		1,930
	561	Endocyte Inc.*		1,689
	121	Flex Pharma Inc.*		899
	360	Foamix Pharmaceuticals Ltd.*		2,063
	89	Heska Corp.*		2,898
	1,044	Impax Laboratories Inc.*		34,128
	1,307	Innoviva Inc.		15,318
	250	Intersect ENT Inc.*		4,520
	355	Intra-Cellular Therapies Inc., Class A Shares*		9,983
	376	Lannett Co Inc.*		9,460
	923	Medicines Co. (The)*		29,684
	116	MyoKardia Inc.*		824
	1,851	Nektar Therapeutics*		20,676
	88	Neos Therapeutics Inc.*		872
	226	Ocular Therapeutix Inc.*		1,779
	523	Omeros Corp.*		5,303
	28,010	Pacira Pharmaceuticals Inc.*		1,456,800
	173	Paratek Pharmaceuticals Inc.*		2,643
	700	Pernix Therapeutics Holdings Inc.*		1,540
	9,341	Perrigo Co. PLC		1,179,301
	261	Phibro Animal Health Corp., Class A Shares		7,219
	745	Prestige Brands Holdings Inc.*		36,431
	471	Relypsa Inc.*		6,245
	259	Revance Therapeutics Inc.*		4,580

See Notes to Financial Statements.

56

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	HEALTH CARE — 13.8% — (continued)
	Pharmaceuticals — 1.2% — (continued)
	320	Sagent Pharmaceuticals Inc.*	$	4,538
	699	SciClone Pharmaceuticals Inc.*		6,934
	362	Sucampo Pharmaceuticals Inc., Class A Shares*		4,760
	496	Supernus Pharmaceuticals Inc.*		6,220
	621	Teligent Inc.*		3,633
	533	Tetraphase Pharmaceuticals Inc.*		2,153
	2,022	TherapeuticsMD Inc.*		12,354
	420	Theravance Biopharma Inc.*		6,602
	1,506	VIVUS Inc.*		1,566
	835	XenoPort Inc.*		3,732
	363	Zogenix Inc.*		3,848
		Total Pharmaceuticals		4,368,380
		TOTAL HEALTH CARE		50,476,624
	INDUSTRIALS — 20.1%
	Aerospace & Defense — 1.6%
	459	AAR Corp.		9,772
	856	Aerojet Rocketdyne Holdings Inc.*		13,294
	10,281	Aerovironment Inc.*		255,791
	98	American Science & Engineering Inc.		2,324
	307	Astronics Corp.*		9,766
	1,451	B/E Aerospace Inc.		63,293
	1,488	BWX Technologies Inc.		47,467
	6,600	CAE Inc.		72,600
	295	Cubic Corp.		10,366
	660	Curtiss-Wright Corp.		46,589
	1,017	DigitalGlobe Inc.*		15,296
	158	Ducommun Inc.*		2,272
	250	Engility Holdings Inc.*		3,627
	408	Esterline Technologies Corp.*		22,852
	273	HEICO Corp.		15,700
	561	HEICO Corp., Class A Shares		24,516
	82,580	Hexcel Corp.		3,413,031
	675	Huntington Ingalls Industries Inc.		88,465
	44,464	KEYW Holding Corp. (The)*		277,011
	725	KLX Inc.*		20,293
	615	Kratos Defense & Security Solutions Inc.*		2,054
	516	Moog Inc., Class A Shares*		22,281
	65	National Presto Industries Inc.		5,291
	836	Orbital ATK Inc.		70,023
	141	Sparton Corp.*		2,026
	14,633	Spirit AeroSystems Holdings Inc., Class A Shares*		673,118
	753	TASER International Inc.*		14,593
	3,392	Teledyne Technologies Inc.*		288,931
	9,100	Textron Inc.		310,765
	643	Triumph Group Inc.		19,586
	163	Vectrus Inc.*		3,138
		Total Aerospace & Defense		5,826,131
	Air Freight & Logistics — 0.0%
	763	Air Transport Services Group Inc.*		8,813
	339	Atlas Air Worldwide Holdings Inc.*		12,275
	424	Echo Global Logistics Inc.*		10,816
	422	Forward Air Corp.		17,184
	503	Hub Group Inc., Class A Shares*		18,571

See Notes to Financial Statements.

57

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INDUSTRIALS — 20.1% — (continued)
	Air Freight & Logistics — 0.0% — (continued)
	123	Park-Ohio Holdings Corp.	$	3,616
	415	Radiant Logistics Inc.*		1,315
	960	XPO Logistics Inc.*		23,770
		Total Air Freight & Logistics		96,360
	Airlines — 0.9%
	1,816	Alaska Air Group Inc.		134,202
	188	Allegiant Travel Co., Class A Shares		30,810
	33,565	American Airlines Group Inc.		1,376,165
	452	Copa Holdings SA, Class A Shares		27,599
	651	Hawaiian Holdings Inc.*		28,006
	4,195	JetBlue Airways Corp.*		92,290
	705	Republic Airways Holdings Inc.*		444
	720	SkyWest Inc.		12,996
	24,241	Spirit Airlines Inc.*		1,157,508
	8,601	United Continental Holdings Inc.*		492,493
	357	Virgin America Inc.*		11,135
		Total Airlines		3,363,648
	Building Products — 2.0%
	550	AAON Inc.		13,640
	444	Advanced Drainage Systems Inc.		8,614
	1,294	Allegion PLC		81,522
	10,307	American Woodmark Corp.*		703,865
	1,023	AO Smith Corp.		71,999
	406	Apogee Enterprises Inc.		16,211
	571	Armstrong World Industries Inc.*		23,143
	676	Builders FirstSource Inc.*		5,361
	441	Continental Building Products Inc.*		7,444
	2,202	Fortune Brands Home & Security Inc.		110,584
	446	Gibraltar Industries Inc.*		11,023
	456	Griffon Corp.		6,776
	254	Insteel Industries Inc.		6,650
	566	Lennox International Inc.		73,133
	413	Masonite International Corp.*		23,752
	269,377	NCI Building Systems Inc.*		2,946,984
	134	Nortek Inc.*		5,525
	11,846	Owens Corning		508,430
	178	Patrick Industries Inc.*		7,866
	667	PGT Inc.*		6,597
	233,807	Ply Gem Holdings Inc.*		2,384,831
	476	Quanex Building Products Corp.		8,197
	586	Simpson Manufacturing Co., Inc.		19,889
	436	Trex Co., Inc.*		18,778
	274	Universal Forest Products Inc.		21,021
	1,251	USG Corp.*		26,646
		Total Building Products		7,118,481
	Commercial Services & Supplies — 2.6%
	792	ABM Industries Inc.		24,869
	1,524	ACCO Brands Corp.*		11,140
	2,402	ADT Corp. (The)		96,969
	611	ARC Document Solutions Inc.*		2,139
	653	Brady Corp., Class A Shares		17,063
	685	Brink’s Co. (The)		20,036

See Notes to Financial Statements.

58

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INDUSTRIALS — 20.1% — (continued)
	Commercial Services & Supplies — 2.6% — (continued)
	585	Casella Waste Systems Inc., Class A Shares*	$	3,469
	399	CECO Environmental Corp.		2,478
	16,230	Cintas Corp.		1,363,158
	1,462	Civeo Corp.*		1,301
	8,819	Clean Harbors Inc.*		375,689
	1,672	Copart Inc.*		63,118
	81,871	Covanta Holding Corp.		1,140,463
	689	Deluxe Corp.		39,555
	349	Ennis Inc.		6,889
	516	Essendant Inc.		15,207
	283	G&K Services Inc., Class A Shares		18,763
	987	Healthcare Services Group Inc.		35,019
	184	Heritage-Crystal Clean Inc.*		1,413
	827	Herman Miller Inc.		21,576
	628	HNI Corp.		21,233
	413,928	InnerWorkings Inc.*		2,847,825
	915	Interface Inc., Class A Shares		14,549
	20,406	KAR Auction Services Inc.		722,576
	469	Kimball International Inc., Class B Shares		4,939
	669	Knoll Inc.		12,778
	454	Matthews International Corp., Class A Shares		21,506
	332	McGrath RentCorp		8,167
	637	Mobile Mini Inc.		18,307
	415	MSA Safety Inc.		18,123
	177	Multi-Color Corp.		8,616
	2,821	Pitney Bowes Inc.		51,117
	402	Quad/Graphics Inc.		5,089
	1,313	Rollins Inc.		36,147
	2,887	RR Donnelley & Sons Co.		43,825
	229	SP Plus Corp.*		5,718
	103,284	Steelcase Inc., Class A Shares		1,290,017
	295	Team Inc.*		7,561
	816	Tetra Tech Inc.		22,464
	259	TRC Cos., Inc.*		1,722
	210	UniFirst Corp.		22,136
	300	US Ecology Inc.		11,100
	285	Viad Corp.		8,083
	59	VSE Corp.		3,700
	18,305	Waste Connections Inc.		1,128,869
	717	West Corp.		15,975
		Total Commercial Services & Supplies		9,612,456
	Construction & Engineering — 2.6%
	2,063	AECOM*		56,650
	507	Aegion Corp., Class A Shares*		9,182
	293	Ameresco Inc., Class A Shares*		1,506
	185	Argan Inc.		5,970
	1,287	Chicago Bridge & Iron Co. NV		43,166
	519	Comfort Systems USA Inc.		14,558
	452	Dycom Industries Inc.*		25,751
	14,339	EMCOR Group Inc.		657,730
	535	Furmanite Corp.*		2,985
	88,298	Granite Construction Inc.		3,659,952
	300,224	Great Lakes Dredge & Dock Corp.*		1,020,762
	380	HC2 Holdings Inc.*		1,512

See Notes to Financial Statements.

59

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INDUSTRIALS — 20.1% — (continued)
	Construction & Engineering — 2.6% — (continued)
	41,916	Jacobs Engineering Group Inc.*	$	1,620,053
	28,687	KBR Inc.		396,741
	264,601	Layne Christensen Co.*		1,680,216
	928	MasTec Inc.*		15,758
	294	MYR Group Inc.*		6,594
	132	Northwest Pipe Co.*		1,360
	75	NV5 Global Inc.*		1,641
	423	Orion Marine Group Inc.*		1,519
	534	Primoris Services Corp.		11,406
	2,138	Quanta Services Inc.*		43,380
	517	Tutor Perini Corp.*		6,907
		Total Construction & Engineering		9,285,299
	Electrical Equipment — 0.8%
	589	Acuity Brands Inc.		123,354
	96	Allied Motion Technologies Inc.		1,772
	361	AZZ Inc.		18,230
	750	Babcock & Wilcox Enterprises Inc.*		14,648
	304	Encore Wire Corp.		10,987
	599	EnerSys		30,765
	396	Enphase Energy Inc.*		923
	660	Franklin Electric Co., Inc.		19,701
	293	FuelCell Energy Inc.*		1,673
	976	Generac Holdings Inc.*		33,906
	676	General Cable Corp.		5,807
	793	Hubbell Inc., Class B Shares		78,792
	319	LSI Industries Inc.		3,445
	2,329	Plug Power Inc.*		4,844
	99,081	Powell Industries Inc.		2,622,674
	81	Power Solutions International Inc.*		810
	316	PowerSecure International Inc.*		5,878
	40	Preformed Line Products Co.		1,308
	620	Regal Beloit Corp.		33,840
	819	SolarCity Corp.*		15,094
	279	Sunrun Inc.*		1,568
	456	Thermon Group Holdings Inc.*		7,729
	223	Vicor Corp.*		1,851
		Total Electrical Equipment		3,039,599
	Industrial Conglomerates — 0.7%
	5,773	Carlisle Cos., Inc.		520,494
	505	Raven Industries Inc.		7,716
	11,861	Roper Technologies Inc.		1,991,818
		Total Industrial Conglomerates		2,520,028
	Machinery — 4.0%
	936	Accuride Corp.*		1,198
	821	Actuant Corp., Class A Shares		19,220
	1,047	AGCO Corp.		51,816
	141	Alamo Group Inc.		7,316
	391	Albany International Corp., Class A Shares		14,318
	2,467	Allison Transmission Holdings Inc.		58,419
	357	Altra Industrial Motion Corp.		8,679
	123	American Railcar Industries Inc.		5,076
	260	Astec Industries Inc.		11,292

See Notes to Financial Statements.

60

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INDUSTRIALS — 20.1% — (continued)
	Machinery — 4.0% — (continued)
	777	Barnes Group Inc.	$	26,659
	679	Blount International Inc.*		6,586
	99	Blue Bird Corp.*		894
	23,120	Briggs & Stratton Corp.		491,762
	418	Chart Industries Inc.*		8,431
	228	CIRCOR International Inc.		9,141
	697	CLARCOR Inc.		33,554
	1,384	Colfax Corp.*		35,029
	305	Columbus McKinnon Corp.		4,224
	430	Commercial Vehicle Group Inc.*		1,079
	666	Crane Co.		32,667
	1,884	Donaldson Co., Inc.		53,204
	59,194	Douglas Dynamics Inc.		1,157,835
	319	EnPro Industries Inc.		16,550
	357	ESCO Technologies Inc.		12,741
	144	ExOne Co. (The)*		1,316
	880	Federal Signal Corp.		10,437
	179	FreightCar America Inc.		2,662
	295	Global Brass & Copper Holdings Inc.		6,502
	260	Gorman-Rupp Co. (The)		6,568
	802	Graco Inc.		62,813
	138	Graham Corp.		2,535
	371	Greenbrier Cos., Inc. (The)		9,442
	271,374	Harsco Corp.		1,028,507
	894	Hillenbrand Inc.		25,139
	88	Hurco Cos., Inc.		2,284
	129	Hyster-Yale Materials Handling Inc.		7,626
	16,166	IDEX Corp.		1,215,037
	7,522	ITT Corp.		265,226
	32,542	John Bean Technologies Corp.		1,711,709
	1,283	Joy Global Inc.		16,576
	150	Kadant Inc.		5,725
	1,099	Kennametal Inc.		22,123
	147	LB Foster Co., Class A Shares		2,020
	1,061	Lincoln Electric Holdings Inc.		57,899
	153	Lindsay Corp.		11,077
	232	Lydall Inc.*		6,716
	22,544	Manitowoc Co., Inc. (The)		357,322
	22,735	Meritor Inc.*		168,921
	790	Middleby Corp. (The)*		73,154
	195	Milacron Holdings Corp.*		2,668
	150	Miller Industries Inc.		2,904
	784	Mueller Industries Inc.		20,556
	344,016	Mueller Water Products Inc., Class A Shares		2,961,978
	655	Navistar International Corp.*		5,509
	375	NN Inc.		4,755
	788	Nordson Corp.		56,476
	40	Omega Flex Inc.		1,282
	1,079	Oshkosh Corp.		37,225
	329	Proto Labs Inc.*		21,408
	327	RBC Bearings Inc.*		20,828
	1,407	Rexnord Corp.*		25,523
	10,459	Snap-on Inc.		1,513,104
	539	SPX Corp.		6,355
	543	SPX FLOW Inc.*		10,170

See Notes to Financial Statements.

61

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INDUSTRIALS — 20.1% — (continued)
	Machinery — 4.0% — (continued)
	180	Standex International Corp.	$	12,677
	311	Sun Hydraulics Corp.		9,262
	254	Tennant Co.		11,821
	1,462	Terex Corp.		32,720
	1,076	Timken Co. (The)		32,097
	614	Titan International Inc.		3,113
	769	Toro Co. (The)		61,289
	635	TriMas Corp.*		10,503
	2,194	Trinity Industries Inc.		34,753
	8,212	Twin Disc Inc.		71,362
	2,125	Valmont Industries Inc.		240,231
	955	Wabash National Corp.*		11,202
	744	WABCO Holdings Inc.*		70,159
	29,095	Wabtec Corp.		2,054,107
	394	Watts Water Technologies Inc., Class A Shares		20,319
	923	Woodward Inc.		43,335
	164	Xerium Technologies Inc.*		1,202
	2,493	Xylem Inc.		93,263
		Total Machinery		14,651,182
	Marine — 0.9%
	24,300	Danaos Corp.*		107,649
	1,348	Golden Ocean Group Ltd.*		783
	11,877	Kirby Corp.*		672,357
	58,706	Matson Inc.		2,353,523
	1,137	Navios Maritime Holdings Inc.		939
	397	Scorpio Bulkers Inc.*		1,251
		Total Marine		3,136,502
	Professional Services — 2.1%
	721	Acacia Research Corp.		2,278
	608	Advisory Board Co. (The)*		17,930
	102	Barrett Business Services Inc.		3,564
	702	CBIZ Inc.*		7,441
	199	CDI Corp.		971
	21,638	CEB Inc.		1,174,294
	125	CRA International Inc.*		2,465
	500	Dun & Bradstreet Corp. (The)		47,895
	15,371	Equifax Inc.		1,612,111
	368	Exponent Inc.		17,182
	168	Franklin Covey Co.*		2,901
	589	FTI Consulting Inc.*		19,384
	183	GP Strategies Corp.*		4,513
	260	Heidrick & Struggles International Inc.		6,107
	553	Hill International Inc.*		1,936
	32,458	Huron Consulting Group Inc.*		1,802,068
	276	ICF International Inc.*		9,323
	270	Insperity Inc.		12,822
	416	Kelly Services Inc., Class A Shares		7,168
	345	Kforce Inc.		5,499
	706	Korn/Ferry International		20,065
	1,019	ManpowerGroup Inc.		78,911
	128,721	Mistras Group Inc.*		2,762,353
	669	Navigant Consulting Inc.*		10,156
	734	On Assignment Inc.*		24,229

See Notes to Financial Statements.

62

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INDUSTRIALS — 20.1% — (continued)
	Professional Services — 2.1% — (continued)
	2,254	Pendrell Corp.*	$	1,285
	532	Resources Connection Inc.		7,379
	1,859	Robert Half International Inc.		73,226
	758	RPX Corp.*		7,512
	456	TransUnion*		12,025
	557	TriNet Group Inc.*		7,291
	578	TrueBlue Inc.*		13,265
	133	Volt Information Sciences Inc.*		980
	501	WageWorks Inc.*		24,133
		Total Professional Services		7,800,662
	Road & Rail — 0.5%
	104	AMERCO		35,652
	357	ArcBest Corp.		6,986
	8,683	Avis Budget Group Inc.*		222,632
	389	Celadon Group Inc.		3,489
	165	Covenant Transportation Group Inc., Class A Shares*		3,656
	776	Genesee & Wyoming Inc., Class A Shares*		44,015
	699	Heartland Express Inc.		12,862
	14,226	JB Hunt Transport Services Inc.		1,085,302
	858	Knight Transportation Inc.		20,789
	609	Landstar System Inc.		36,053
	341	Marten Transport Ltd.		5,592
	963	Old Dominion Freight Line Inc.*		62,171
	43	PAM Transportation Services Inc.*		1,229
	401	Roadrunner Transportation Systems Inc.*		4,676
	5,922	Ryder System Inc.		335,896
	344	Saia Inc.*		9,030
	1,217	Swift Transportation Co., Class A Shares*		20,738
	104	Universal Truckload Services Inc.		1,629
	137	USA Truck Inc.*		2,162
	615	Werner Enterprises Inc.		16,328
	465	YRC Worldwide Inc.*		3,743
		Total Road & Rail		1,934,630
	Trading Companies & Distributors — 1.4%
	1,364	Air Lease Corp., Class A Shares		40,988
	830	Aircastle Ltd.		16,650
	569	Applied Industrial Technologies Inc.		21,906
	690	Beacon Roofing Supply Inc.*		24,909
	518	BMC Stock Holdings Inc.*		7,900
	264	CAI International Inc.*		2,051
	184	DXP Enterprises Inc.*		2,501
	599	GATX Corp.		25,763
	425	H&E Equipment Services Inc.		5,597
	36,133	HD Supply Holdings Inc.*		1,004,136
	371	Kaman Corp.		16,302
	84	Lawson Products Inc.*		1,364
	1,418	MRC Global Inc.*		16,945
	668	MSC Industrial Direct Co., Inc., Class A Shares		46,479
	205	Neff Corp., Class A Shares*		998
	1,476	NOW Inc.*		23,882
	71,733	Rush Enterprises Inc., Class A Shares*		1,243,850
	468	TAL International Group Inc.*		5,958
	291	Textainer Group Holdings Ltd.		3,498

See Notes to Financial Statements.

63

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INDUSTRIALS — 20.1% — (continued)
	Trading Companies & Distributors — 1.4% — (continued)
	254	Titan Machinery Inc.*	$	2,418
	537	Univar Inc.*		8,447
	119	Veritiv Corp.*		3,801
	19,256	Watsco Inc.		2,456,103
	613	WESCO International Inc.*		27,003
		Total Trading Companies & Distributors		5,009,449
	Transportation Infrastructure — 0.0%
	932	Macquarie Infrastructure Corp.		56,898
	848	Wesco Aircraft Holdings Inc.*		10,846
		Total Transportation Infrastructure		67,744
		TOTAL INDUSTRIALS		73,462,171
	INFORMATION TECHNOLOGY — 19.9%
	Communications Equipment — 1.6%
	46,738	ADTRAN Inc.		874,468
	299	Aerohive Networks Inc.*		1,522
	198	Alliance Fiber Optic Products Inc.*		2,732
	236	Applied Optoelectronics Inc.*		4,246
	470	Arista Networks Inc.*		32,214
	89,285	ARRIS International PLC*		2,133,019
	145	Bel Fuse Inc., Class B Shares		2,153
	205	Black Box Corp.		2,716
	32,037	Brocade Communications Systems Inc.		318,127
	501	CalAmp Corp.*		9,158
	572	Calix Inc.*		3,975
	65,549	Ciena Corp.*		1,343,755
	151	Clearfield Inc.*		2,194
	1,416	CommScope Holding Co., Inc.*		35,669
	229	Comtech Telecommunications Corp.		4,706
	344	Digi International Inc.*		2,921
	611	EchoStar Corp., Class A Shares*		27,312
	266	EMCORE Corp.*		1,418
	1,397	Extreme Networks Inc.*		3,940
	1,431	Finisar Corp.*		20,864
	1,337	Harmonic Inc.*		4,479
	22,209	Infinera Corp.*		348,459
	490	InterDigital Inc.		24,368
	846	Ixia*		9,653
	221	KVH Industries Inc.*		2,018
	5,546	Lumentum Holdings Inc.*		133,270
	445	NETGEAR Inc.*		17,582
	1,275	NetScout Systems Inc.*		26,354
	624	Novatel Wireless Inc.*		1,023
	1,366	Oclaro Inc.*		6,707
	490	Plantronics Inc.		18,375
	1,874	Polycom Inc.*		19,508
	1,024	Ruckus Wireless Inc.*		9,912
	892	ShoreTel Inc.*		6,592
	25,974	Sonus Networks Inc.*		202,338
	426	Ubiquiti Networks Inc.*		13,917
	610	ViaSat Inc.*		44,536
	28,651	Viavi Solutions Inc.*		187,091
		Total Communications Equipment		5,903,291

See Notes to Financial Statements.

64

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 19.9% — (continued)
	Electronic Equipment, Instruments & Components — 1.5%
	198	Agilysys Inc.*	$	2,069
	10,926	Amphenol Corp., Class A Shares		579,843
	401	Anixter International Inc.*		17,175
	1,339	Arrow Electronics Inc.*		76,537
	1,888	Avnet Inc.		77,691
	650	AVX Corp.		7,631
	198	Badger Meter Inc.		13,007
	603	Belden Inc.		33,026
	726	Benchmark Electronics Inc.*		15,718
	1,810	CDW Corp.		71,640
	574	Checkpoint Systems Inc.		4,311
	1,218	Cognex Corp.		45,078
	328	Coherent Inc.*		27,749
	292	Control4 Corp.*		2,394
	450	CTS Corp.		6,507
	531	Daktronics Inc.		3,754
	6,591	Dolby Laboratories Inc., Class A Shares		260,345
	247	DTS Inc.*		5,847
	229	Electro Rent Corp.		2,171
	78	ePlus Inc.*		5,857
	494	Fabrinet*		14,104
	241	FARO Technologies Inc.*		7,724
	571	FEI Co.		46,388
	562	Fitbit Inc., Class A Shares*		6,873
	1,939	FLIR Systems Inc.		60,032
	466	GSI Group Inc.*		5,997
	18,444	II-VI Inc.*		404,846
	2,213	Ingram Micro Inc., Class A Shares		79,225
	548	Insight Enterprises Inc.*		14,303
	1,090	InvenSense Inc., Class A Shares*		8,513
	482	IPG Photonics Corp.*		39,746
	9,733	Itron Inc.*		387,763
	2,685	Jabil Circuit Inc.		55,982
	51,916	Keysight Technologies Inc.*		1,354,488
	415	Kimball Electronics Inc.*		4,739
	1,161	Knowles Corp.*		13,212
	317	Littelfuse Inc.		36,018
	27,000	Maxwell Technologies Inc.*		154,710
	26,386	Mercury Systems Inc.*		431,147
	38	Mesa Laboratories Inc.		3,419
	527	Methode Electronics Inc.		15,056
	206	MTS Systems Corp.		11,320
	130	Multi-Fineline Electronix Inc.*		2,934
	1,572	National Instruments Corp.		45,352
	556	Newport Corp.*		12,660
	3,979	OSI Systems Inc.*		240,212
	285	Park Electrochemical Corp.		4,056
	143	PC Connection Inc.		3,542
	476	Plexus Corp.*		17,322
	1,211	QLogic Corp.*		15,610
	573	RealD Inc.*		6,188
	391	Rofin-Sinar Technologies Inc.*		8,735
	260	Rogers Corp.*		13,889
	1,112	Sanmina Corp.*		22,907
	378	ScanSource Inc.*		14,133

See Notes to Financial Statements.

65

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 19.9% — (continued)
	Electronic Equipment, Instruments & Components — 1.5% — (continued)
	394	SYNNEX Corp.	$	37,048
	152	Systemax Inc.*		1,339
	520	Tech Data Corp.*		36,613
	3,663	Trimble Navigation Ltd.*		85,201
	840	TTM Technologies Inc.*		5,510
	543	Universal Display Corp.*		25,945
	9,272	VeriFone Systems Inc.*		221,508
	1,890	Vishay Intertechnology Inc.		22,378
	169	Vishay Precision Group Inc.*		1,981
	714	Zebra Technologies Corp., Class A Shares*		44,111
		Total Electronic Equipment, Instruments & Components		5,303,129
	Internet Software & Services — 1.0%
	566	Actua Corp.*		4,602
	108	Alarm.com Holdings Inc.*		2,155
	243	Amber Road Inc.*		1,118
	606	Angie’s List Inc.*		5,593
	84	Appfolio Inc., Class A Shares*		983
	22,039	Bankrate Inc.*		168,819
	852	Bazaarvoice Inc.*		2,675
	106	Benefitfocus Inc.*		3,327
	566	Blucora Inc.*		3,481
	168	Box Inc., Class A Shares*		1,934
	457	Brightcove Inc.*		2,742
	231	Carbonite Inc.*		1,749
	240	Care.com Inc.*		1,454
	299	ChannelAdvisor Corp.*		3,178
	469	Cimpress NV*		41,356
	661	comScore Inc.*		27,200
	718	Cornerstone OnDemand Inc.*		20,678
	15,123	CoStar Group Inc.*		2,677,678
	329	Cvent Inc.*		6,425
	460	Demandware Inc.*		15,957
	651	DHI Group Inc.*		5,065
	1,436	EarthLink Holdings Corp.		8,099
	789	Endurance International Group Holdings Inc.*		8,868
	540	Envestnet Inc.*		11,075
	317	Everyday Health Inc.*		1,499
	309	Five9 Inc.*		2,488
	323	GoDaddy Inc., Class A Shares*		10,126
	715	Gogo Inc.*		7,779
	1,086	GrubHub Inc.*		25,565
	343	GTT Communications Inc.*		5,070
	103	Hortonworks Inc.*		1,190
	1,007	IAC/InterActiveCorp.		44,731
	68	Instructure Inc.*		972
	838	Internap Corp.*		2,137
	555	IntraLinks Holdings Inc.*		4,312
	659	j2 Global Inc.		48,160
	836	Limelight Networks Inc.*		1,296
	325	Liquidity Services Inc.*		1,518
	778	LivePerson Inc.*		3,991
	344	LogMeIn Inc.*		17,510
	447	Marchex Inc., Class B Shares		1,918
	390	Marin Software Inc.*		1,170

See Notes to Financial Statements.

66

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 19.9% — (continued)
	Internet Software & Services — 1.0% — (continued)
	477	Marketo Inc.*	$	8,047
	507	Match Group Inc.*		5,521
	95	MINDBODY Inc., Class A Shares*		1,119
	1,257	Monster Worldwide Inc.*		3,746
	79	New Relic Inc.*		2,103
	928	NIC Inc.		16,324
	364	OPOWER Inc.*		3,010
	2,770	Pandora Media Inc.*		28,309
	270	Q2 Holdings Inc.*		5,473
	459	QuinStreet Inc.*		1,363
	935	Quotient Technology Inc.*		8,135
	1,620	Rackspace Hosting Inc.*		34,879
	268	RealNetworks Inc.*		1,045
	120	Reis Inc.		2,660
	525	RetailMeNot Inc.*		4,242
	350	Rocket Fuel Inc.*		1,239
	388	SciQuest Inc.*		4,714
	275	Shutterstock Inc.*		9,598
	228	SPS Commerce Inc.*		10,196
	202	Stamps.com Inc.*		23,943
	268	TechTarget Inc.*		1,879
	116	Travelzoo Inc.*		911
	736	TrueCar Inc.*		3,997
	210	United Online Inc.*		2,585
	614	Web.com Group Inc.*		11,144
	541	WebMD Health Corp., Class A Shares*		30,004
	260	Wix.com Ltd.*		5,000
	160	Xactly Corp.*		928
	357	XO Group Inc.*		5,098
	880	Yelp Inc., Class A Shares*		17,811
	636	Zillow Group Inc., Class A Shares*		14,723
	1,249	Zillow Group Inc., Class C Shares*		26,978
		Total Internet Software & Services		3,504,367
	IT Services — 4.6%
	30,105	Acxiom Corp.*		624,378
	6,185	Alliance Data Systems Corp.*		1,299,654
	288	Black Knight Financial Services Inc., Class A Shares*		8,441
	756	Blackhawk Network Holdings Inc., Class A Shares*		25,583
	1,420	Booz Allen Hamilton Holding Corp., Class A Shares		39,192
	1,672	Broadridge Financial Solutions Inc.		93,849
	337	CACI International Inc., Class A Shares*		32,561
	620	Cardtronics Inc.*		20,906
	161	Cass Information Systems Inc.		8,028
	1,130	Ciber Inc.*		2,260
	7,794	Convergys Corp.		200,929
	18,766	CoreLogic Inc.*		649,116
	458	CSG Systems International Inc.		17,386
	304	Datalink Corp.*		2,177
	3,395	DST Systems Inc.		355,049
	712	EPAM Systems Inc.*		48,687
	47,732	Euronet Worldwide Inc.*		3,128,355
	878	Everi Holdings Inc.*		2,581
	914	EVERTEC Inc.		10,877
	463	ExlService Holdings Inc.*		21,803

See Notes to Financial Statements.

67

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 19.9% — (continued)
	IT Services — 4.6% — (continued)
	141	Forrester Research Inc.	$	4,388
	7,726	Gartner Inc.*		636,622
	19,381	Genpact Ltd.*		512,240
	24,848	Global Payments Inc.		1,514,486
	324	Hackett Group Inc. (The)		4,504
	20,397	Heartland Payment Systems Inc.		1,907,527
	65,120	InterXion Holding NV*		2,033,046
	11,620	Jack Henry & Associates Inc.		955,629
	922	Leidos Holdings Inc.		39,849
	940	Lionbridge Technologies Inc.*		4,145
	253	Luxoft Holding Inc., Class A Shares*		12,842
	334	ManTech International Corp., Class A Shares		9,729
	930	MAXIMUS Inc.		45,728
	547	ModusLink Global Solutions Inc.*		1,034
	23,923	MoneyGram International Inc.*		128,706
	16,500	NeuStar Inc., Class A Shares*		410,355
	495	Perficient Inc.*		8,935
	163	PFSweb Inc.*		2,106
	1,593	Sabre Corp.		43,250
	633	Science Applications International Corp.		28,264
	819	ServiceSource International Inc.*		3,325
	423	Square Inc., Class A Shares*		4,416
	557	Sykes Enterprises Inc.*		16,972
	439	Syntel Inc.*		20,071
	242	TeleTech Holdings Inc.		6,703
	1,877	Teradata Corp.*		46,831
	2,302	Total System Services Inc.		100,321
	1,446	Travelport Worldwide Ltd.		18,769
	702	Unisys Corp.*		7,561
	33,150	Vantiv Inc., Class A Shares*		1,725,126
	418	Virtusa Corp.*		14,797
	530	WEX Inc.*		34,609
		Total IT Services		16,894,698
	Semiconductors & Semiconductor Equipment — 3.2%
	570	Advanced Energy Industries Inc.*		17,003
	8,481	Advanced Micro Devices Inc.*		18,149
	248	Alpha & Omega Semiconductor Ltd.*		2,934
	423	Ambarella Inc.*		19,627
	1,286	Amkor Technology Inc.*		6,507
	14,530	Analog Devices Inc.		769,945
	1,069	Applied Micro Circuits Corp.*		6,179
	5,842	Atmel Corp.		47,203
	1,662	Axcelis Technologies Inc.*		4,155
	918	Brooks Automation Inc.		8,950
	345	Cabot Microelectronics Corp.*		13,269
	185	Cascade Microtech Inc.*		3,809
	791	Cavium Inc.*		47,057
	7,980	CEVA Inc.*		156,488
	50,169	Cirrus Logic Inc.*		1,767,454
	342	Cohu Inc.		3,902
	1,390	Cree Inc.*		44,119
	99,638	Cypress Semiconductor Corp.*		795,111
	514	Diodes Inc.*		9,838
	299	DSP Group Inc.*		2,580

See Notes to Financial Statements.

68

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 19.9% — (continued)
	Semiconductors & Semiconductor Equipment — 3.2% — (continued)
	1,967	Entegris Inc.*	$	24,312
	531	Exar Corp.*		2,836
	1,635	Fairchild Semiconductor International Inc., Class A Shares*		32,798
	1,036	First Solar Inc.*		74,457
	28,673	FormFactor Inc.*		217,915
	528	Inphi Corp.*		13,358
	2,016	Integrated Device Technology Inc.*		39,151
	1,828	Intersil Corp., Class A Shares		23,344
	333	IXYS Corp.		3,756
	941	Kopin Corp.*		1,797
	10,655	Lam Research Corp.		781,011
	1,629	Lattice Semiconductor Corp.*		10,312
	9,124	M/A-COM Technology Solutions Holdings Inc.*		345,800
	6,241	Marvell Technology Group Ltd.		59,602
	1,047	Mattson Technology Inc.*		3,780
	689	MaxLinear Inc., Class A Shares*		11,086
	6,200	Mellanox Technologies Ltd.*		315,022
	52,226	Microsemi Corp.*		1,808,586
	746	MKS Instruments Inc.		24,543
	25,348	Monolithic Power Systems Inc.		1,497,053
	334	Nanometrics Inc.*		4,636
	392	NeoPhotonics Corp.*		4,296
	66	NVE Corp.		3,357
	4,800	NXP Semiconductor NV*		341,952
	5,813	ON Semiconductor Corp.*		48,771
	392	PDF Solutions Inc.*		4,453
	921	Photronics Inc.*		9,367
	413	Power Integrations Inc.		18,928
	15,526	Qorvo Inc.*		699,912
	47,301	Rambus Inc.*		616,332
	9,045	Rudolph Technologies Inc.*		117,223
	921	Semtech Corp.*		17,646
	481	Sigma Designs Inc.*		3,309
	599	Silicon Laboratories Inc.*		24,709
	3,819	SunEdison Inc.*		7,562
	743	SunPower Corp., Class A Shares*		17,550
	514	Synaptics Inc.*		41,742
	3,003	Teradyne Inc.		57,297
	733	Tessera Technologies Inc.		21,609
	457	Ultra Clean Holdings Inc.*		2,390
	26,576	Ultratech Inc.*		538,961
	12,473	Veeco Instruments Inc.*		231,374
	763	Xcerra Corp.*		4,357
		Total Semiconductors & Semiconductor Equipment		11,872,531
	Software — 7.3%
	451	A10 Networks Inc.*		2,778
	1,602	ACI Worldwide Inc.*		29,893
	43,883	Activision Blizzard Inc.		1,389,775
	333	American Software Inc., Class A Shares		3,130
	1,242	ANSYS Inc.*		103,111
	1,205	Aspen Technology Inc.*		39,729
	577	AVG Technologies NV*		11,044
	120	Barracuda Networks Inc.*		1,543
	651	Blackbaud Inc.		36,801

See Notes to Financial Statements.

69

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 19.9% — (continued)
	Software — 7.3% — (continued)
	571	Bottomline Technologies de Inc.*	$	16,108
	65,135	BroadSoft Inc.*		2,402,830
	81,459	Cadence Design Systems Inc.*		1,755,441
	784	Callidus Software Inc.*		10,764
	29,180	CDK Global Inc.		1,309,890
	26,605	CommVault Systems Inc.*		996,889
	29,686	Covisint Corp.*		57,888
	106	Digimarc Corp.*		3,209
	787	Digital Turbine Inc.*		889
	384	Ebix Inc.		14,220
	33,237	Electronic Arts Inc.*		2,135,145
	425	Ellie Mae Inc.*		35,755
	369	EnerNOC Inc.*		2,266
	401	Epiq Systems Inc.		5,486
	8,994	Fair Isaac Corp.		895,083
	1,769	FireEye Inc.*		29,967
	528	Fleetmatics Group PLC*		19,066
	91,688	Fortinet Inc.*		2,603,939
	25,059	Gigamon Inc.*		685,865
	206	Globant SA*		6,355
	1,756	Glu Mobile Inc.*		6,515
	272	Guidance Software Inc.*		1,455
	975	Guidewire Software Inc.*		47,999
	248	HubSpot Inc.*		10,332
	376	Imperva Inc.*		16,495
	824	Infoblox Inc.*		12,756
	240	Interactive Intelligence Group Inc.*		7,183
	637	Jive Software Inc.*		2,064
	1,010	Manhattan Associates Inc.*		55,813
	1,425	Mentor Graphics Corp.		27,217
	130	MicroStrategy Inc., Class A Shares*		20,916
	527	MobileIron Inc.*		1,776
	286	Model N Inc.*		2,952
	538	Monotype Imaging Holdings Inc.		12,772
	551	NetSuite Inc.*		33,291
	34,248	Nuance Communications Inc.*		668,178
	159	Park City Group Inc.*		1,447
	427	Paycom Software Inc.*		13,613
	221	Paylocity Holding Corp.*		6,546
	498	Pegasystems Inc.		12,126
	723	Progress Software Corp.*		18,234
	28,394	Proofpoint Inc.*		1,329,975
	347	PROS Holdings Inc.*		3,814
	1,592	PTC Inc.*		49,209
	138	QAD Inc., Class A Shares		2,701
	47,855	Qlik Technologies Inc.*		1,111,193
	346	Qualys Inc.*		8,640
	55,584	Rapid7 Inc.*		738,711
	709	RealPage Inc.*		14,215
	15,348	Red Hat Inc.*		1,002,992
	738	RingCentral Inc., Class A Shares*		13,653
	31,925	Rovi Corp.*		727,252
	357	Rubicon Project Inc. (The)*		5,887
	332	Sapiens International Corp. NV		3,914
	30,457	Seachange International Inc.*		175,737

See Notes to Financial Statements.

70

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 19.9% — (continued)
	Software — 7.3% — (continued)
	23,604	Silver Spring Networks Inc.*	$	295,050
	938	Solera Holdings Inc.		52,247
	1,705	Splunk Inc.*		74,338
	1,120	SS&C Technologies Holdings Inc.		65,285
	547	Synchronoss Technologies Inc.*		15,321
	2,161	Synopsys Inc.*		96,705
	692	Tableau Software Inc., Class A Shares*		31,590
	1,169	Take-Two Interactive Software Inc.*		42,072
	564	Tangoe Inc.*		4,563
	390	Telenav Inc.*		2,324
	274	Textura Corp.*		4,727
	1,362	TiVo Inc.*		11,427
	224	TubeMogul Inc.*		2,876
	475	Tyler Technologies Inc.*		57,152
	14,494	Ultimate Software Group Inc. (The)*		2,489,489
	123	Varonis Systems Inc.*		2,264
	414	VASCO Data Security International Inc.*		5,692
	17,459	Verint Systems Inc.*		620,318
	733	VirnetX Holding Corp.*		3,394
	91	Workiva Inc., Class A Shares*		1,136
	22,918	Xura Inc.*		449,880
	74,437	Zendesk Inc.*		1,362,197
	792	Zix Corp.*		3,160
	10,880	Zynga Inc., Class A Shares*		22,957
		Total Software		26,488,596
	Technology Hardware, Storage & Peripherals — 0.7%
	1,423	3D Systems Corp.*		15,183
	449	Avid Technology Inc.*		3,435
	260	CPI Card Group Inc.*		2,057
	564	Cray Inc.*		23,919
	904	Diebold Inc.		22,437
	257	Eastman Kodak Co.*		2,429
	61,007	Electronics for Imaging Inc.*		2,416,487
	403	Immersion Corp.*		3,631
	835	Lexmark International Inc., Class A Shares		25,902
	1,805	NCR Corp.*		42,165
	725	Nimble Storage Inc.*		5,249
	406	Pure Storage Inc., Class A Shares*		5,838
	87,302	Quantum Corp.*		44,524
	488	Silicon Graphics International Corp.*		2,962
	676	Stratasys Ltd.*		12,743
	513	Super Micro Computer Inc.*		16,657
	1,290	Violin Memory Inc.*		1,032
		Total Technology Hardware, Storage & Peripherals		2,646,650
		TOTAL INFORMATION TECHNOLOGY		72,613,262
	MATERIALS — 5.2%
	Chemicals — 2.0%
	414	A Schulman Inc.		10,222
	13,820	Albemarle Corp.		776,960
	401	American Vanguard Corp.		5,057
	874	Ashland Inc.		83,283
	1,380	Axalta Coating Systems Ltd.*		35,825
	976	Axiall Corp.		19,422

See Notes to Financial Statements.

71

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	MATERIALS — 5.2% — (continued)
	Chemicals — 2.0% — (continued)
	444	Balchem Corp.	$	28,092
	868	Cabot Corp.		38,652
	824	Calgon Carbon Corp.		11,552
	98	Chase Corp.		4,608
	108,586	Chemtura Corp.*		2,739,625
	111	Core Molding Technologies Inc.*		1,263
	982	Ferro Corp.*		9,751
	737	Flotek Industries Inc.*		5,365
	335	FutureFuel Corp.		4,295
	989	GCP Applied Technologies Inc.*		17,535
	143	Hawkins Inc.		4,573
	700	HB Fuller Co.		26,943
	2,901	Huntsman Corp.		31,505
	269	Innophos Holdings Inc.		7,796
	342	Innospec Inc.		14,843
	1,130	International Flavors & Fragrances Inc.		116,718
	95,872	Intrepid Potash Inc.*		94,913
	136	KMG Chemicals Inc.		2,917
	275	Koppers Holdings Inc.*		4,824
	441	Kraton Performance Polymers Inc.*		7,572
	282	Kronos Worldwide Inc.		1,796
	269	LSB Industries Inc.*		1,571
	478	Minerals Technologies Inc.		24,292
	117	NewMarket Corp.		42,721
	2,193	Olin Corp.		33,246
	667	OMNOVA Solutions Inc.*		3,495
	1,817	Platform Specialty Products Corp.*		12,883
	38,269	PolyOne Corp.		1,029,819
	184	Quaker Chemical Corp.		14,317
	578	Rayonier Advanced Materials Inc.		4,318
	1,840	RPM International Inc.		75,164
	621	Scotts Miracle-Gro Co. (The), Class A Shares		42,861
	589	Senomyx Inc.*		1,955
	656	Sensient Technologies Corp.		37,707
	6,467	Sherwin-Williams Co. (The)		1,749,323
	1,164	Solazyme Inc.*		1,816
	269	Stepan Co.		13,364
	287	Trecora Resources*		2,772
	335	Tredegar Corp.		4,600
	156	Trinseo SA*		4,650
	853	Tronox Ltd., Class A Shares		4,419
	1,128	Valspar Corp. (The)		88,255
	1,017	WR Grace & Co.*		69,909
		Total Chemicals		7,369,364
	Construction Materials — 0.9%
	681	Eagle Materials Inc.		41,146
	176,253	Headwaters Inc.*		3,105,578
	919	Martin Marietta Materials Inc.		131,068
	442	Summit Materials Inc., Class A Shares*		8,071
	26	United States Lime & Minerals Inc.		1,382
	201	US Concrete Inc.*		10,804
		Total Construction Materials		3,298,049

See Notes to Financial Statements.

72

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	MATERIALS — 5.2% — (continued)
	Containers & Packaging — 1.0%
	56	AEP Industries Inc.	$	4,408
	874	AptarGroup Inc.		64,423
	10,165	Avery Dennison Corp.		661,945
	1,917	Ball Corp.		126,963
	1,371	Bemis Co., Inc.		67,275
	44,662	Berry Plastics Group Inc.*		1,390,328
	14,032	Crown Holdings Inc.*		657,399
	4,486	Graphic Packaging Holding Co.		55,312
	432	Greif Inc., Class A Shares		11,452
	263	Multi Packaging Solutions International Ltd.*		4,034
	334	Myers Industries Inc.		4,018
	2,142	Owens-Illinois Inc.*		32,044
	1,357	Packaging Corp. of America		65,815
	2,671	Sealed Air Corp.		122,145
	568	Silgan Holdings Inc.		29,099
	1,402	Sonoco Products Co.		61,267
	3,575	WestRock Co.		120,728
		Total Containers & Packaging		3,478,655
	Metals & Mining — 1.3%
	2,349	AK Steel Holding Corp.*		6,718
	1,415	Allegheny Technologies Inc.		18,975
	692	Carpenter Technology Corp.		20,566
	569	Century Aluminum Co.*		4,068
	33,770	Cliffs Natural Resources Inc.*		72,943
	1,897	Coeur Mining Inc.*		7,322
	1,583	Commercial Metals Co.		23,254
	465	Compass Minerals International Inc.		31,546
	872	Ferroglobe PLC		6,854
	50	Handy & Harman Ltd.*		998
	170	Haynes International Inc.		5,236
	5,227	Hecla Mining Co.		13,538
	237	Kaiser Aluminum Corp.		18,157
	275	Materion Corp.		7,172
	127	Olympic Steel Inc.		1,361
	346	Real Industry Inc.*		2,432
	23,701	Reliance Steel & Aluminum Co.		1,443,154
	888	Royal Gold Inc.		41,177
	251	Ryerson Holding Corp.*		929
	189,408	Schnitzer Steel Industries Inc., Class A Shares		2,772,933
	3,299	Steel Dynamics Inc.		60,009
	1,558	Stillwater Mining Co.*		13,072
	868	SunCoke Energy Inc.		4,106
	2,231	Tahoe Resources Inc.		20,614
	547	TimkenSteel Corp.		4,228
	1,948	United States Steel Corp.		17,766
	662	Worthington Industries Inc.		20,595
		Total Metals & Mining		4,639,723
	Paper & Forest Products — 0.0%
	522	Boise Cascade Co.*		8,738
	250	Clearwater Paper Corp.*		10,168
	152	Deltic Timber Corp.		8,606
	876	Domtar Corp.		30,826
	1,156	KapStone Paper and Packaging Corp.		11,838

See Notes to Financial Statements.

73

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	MATERIALS — 5.2% — (continued)
	Paper & Forest Products — 0.0% — (continued)
	1,952	Louisiana-Pacific Corp.*	$	31,017
	236	Neenah Paper Inc.		14,292
	611	PH Glatfelter Co.		11,224
	424	Schweitzer-Mauduit International Inc.		12,813
		Total Paper & Forest Products		139,522
		TOTAL MATERIALS		18,925,313
	TELECOMMUNICATION SERVICES — 0.4%
	Diversified Telecommunication Services — 0.3%
	1,229	8x8 Inc.*		14,293
	143	Atlantic Tele-Network Inc.		10,287
	2,969	Cincinnati Bell Inc.*		10,273
	21,258	Cogent Communications Holdings Inc.		780,169
	700	Consolidated Communications Holdings Inc.		16,373
	301	FairPoint Communications Inc.*		4,524
	16,114	Frontier Communications Corp.		87,177
	490	General Communication Inc., Class A Shares*		9,354
	6,297	Globalstar Inc.*		9,823
	162	Hawaiian Telcom Holdco Inc.*		3,893
	255	IDT Corp., Class B Shares		3,323
	865	inContact Inc.*		8,019
	473	Inteliquent Inc.		8,050
	493	Intelsat SA*		848
	1,173	Iridium Communications Inc.*		8,129
	325	Lumos Networks Corp.*		3,998
	803	ORBCOMM Inc.*		7,002
	176	pdvWireless Inc.*		4,998
	128	Straight Path Communications Inc., Class B Shares*		4,078
	2,581	Vonage Holdings Corp.*		13,860
	1,360	Windstream Holdings Inc.		10,227
	2,014	Zayo Group Holdings Inc.*		47,692
		Total Diversified Telecommunication Services		1,066,390
	Wireless Telecommunication Services — 0.1%
	500	Boingo Wireless Inc.*		3,585
	258	NTELOS Holdings Corp.*		2,371
	679	Shenandoah Telecommunications Co.		16,405
	323	Spok Holdings Inc.		5,723
	6,347	Telephone & Data Systems Inc.		169,592
	3,883	United States Cellular Corp.*		160,756
		Total Wireless Telecommunication Services		358,432
		TOTAL TELECOMMUNICATION SERVICES		1,424,822
	UTILITIES — 1.0%
	Electric Utilities — 0.2%
	679	ALLETE Inc.		36,001
	850	Cleco Corp.		39,024
	572	El Paso Electric Co.		23,366
	620	Empire District Electric Co. (The)		20,286
	181	Genie Energy Ltd., Class B Shares*		1,678
	2,153	Great Plains Energy Inc.		63,169
	1,493	Hawaiian Electric Industries Inc.		43,834
	701	IDACORP Inc.		49,743
	2,144	ITC Holdings Corp.		87,111
	485	MGE Energy Inc.		23,542

See Notes to Financial Statements.

74

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	UTILITIES — 1.0% — (continued)
	Electric Utilities — 0.2% — (continued)
	2,763	OGE Energy Corp.	$	68,743
	509	Otter Tail Corp.		13,926
	3,522	Pepco Holdings Inc.		92,206
	1,520	Pinnacle West Capital Corp.		104,622
	1,103	PNM Resources Inc.		35,208
	1,234	Portland General Electric Co.		46,954
	43	Spark Energy Inc., Class A Shares		1,041
	1,957	Westar Energy Inc., Class A Shares		85,051
		Total Electric Utilities		835,505
	Gas Utilities — 0.2%
	1,679	AGL Resources Inc.		108,547
	1,409	Atmos Energy Corp.		97,799
	211	Chesapeake Utilities Corp.		13,145
	609	Laclede Group Inc. (The)		39,902
	1,186	National Fuel Gas Co.		54,176
	1,206	New Jersey Resources Corp.		41,752
	388	Northwest Natural Gas Co.		19,357
	737	ONE Gas Inc.		42,731
	1,105	Piedmont Natural Gas Co., Inc.		65,648
	2,480	Questar Corp.		61,430
	958	South Jersey Industries Inc.		24,381
	656	Southwest Gas Corp.		40,016
	2,412	UGI Corp.		89,148
	697	WGL Holdings Inc.		47,528
		Total Gas Utilities		745,560
	Independent Power and Renewable Electricity Producers — 0.3%
	692	Abengoa Yield PLC		11,605
	65,238	Atlantic Power Corp.		112,209
	21,404	Dynegy Inc.*		215,752
	24,200	NRG Energy Inc.		260,876
	495	NRG Yield Inc., Class A Shares		6,128
	881	NRG Yield Inc., Class C Shares		11,515
	8,221	Ormat Technologies Inc.		313,713
	770	Pattern Energy Group Inc., Class A Shares		13,075
	1,160	Talen Energy Corp.*		7,378
	604	TerraForm Global Inc., Class A Shares		1,915
	772	TerraForm Power Inc., Class A Shares*		7,442
	296	Vivint Solar Inc.*		2,335
		Total Independent Power and Renewable Electricity Producers		963,943
	Multi-Utilities — 0.2%
	1,562	Alliant Energy Corp.		106,138
	873	Avista Corp.		32,999
	721	Black Hills Corp.		40,383
	3,846	CMS Energy Corp.		152,148
	2,686	MDU Resources Group Inc.		48,912
	656	NorthWestern Corp.		38,947
	1,989	SCANA Corp.		129,325
	3,282	TECO Energy Inc.		90,157
	185	Unitil Corp.		7,276
	1,162	Vectren Corp.		52,894
		Total Multi-Utilities		699,179

See Notes to Financial Statements.

75

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	UTILITIES — 1.0% — (continued)
	Water Utilities — 0.1%
	532	American States Water Co.	$	22,562
	2,496	American Water Works Co., Inc.		161,791
	2,463	Aqua America Inc.		75,294
	105	Artesian Resources Corp., Class A Shares		2,966
	677	California Water Service Group		16,736
	146	Connecticut Water Service Inc.		6,087
	211	Consolidated Water Co., Ltd.		2,294
	218	Middlesex Water Co.		6,108
	208	SJW Corp.		7,542
	171	York Water Co. (The)		4,750
		Total Water Utilities		306,130
		TOTAL UTILITIES		3,550,317
		TOTAL COMMON STOCKS (Cost — $330,563,681)		338,970,976
Face Amount
	SHORT-TERM INVESTMENTS — 7.4%
	TIME DEPOSITS — 7.4%
$	18,096,022	ANZ National Bank — London, 0.150% due 3/1/16		18,096,022
	7,564,857	Banco Santander SA — Frankfurt, 0.150% due 3/1/16		7,564,857
	1,148,273	Sumitomo — Tokyo, 0.150% due 3/1/16		1,148,273
	86,679	Wells Fargo — Grand Cayman, 0.150% due 3/1/16		86,679
		TOTAL SHORT-TERM INVESTMENTS (Cost — $26,895,831)		26,895,831
		TOTAL INVESTMENTS — 100.2% (Cost — $357,459,512#)		365,866,807
		Liabilities in Excess of Other Assets — (0.2)%		(690,246	)
		TOTAL NET ASSETS — 100.0%	$	365,176,561

* Non-income producing security.

# Aggregate cost for federal income tax purposes is substantially the same.

(a) Security is valued in good faith at fair value by or under the direction of the Board of Trustees.

Abbreviations used in this schedule:
ADR	— American Depositary Receipts
PLC	— Public Limited Company

See Notes to Financial Statements.

76

Schedules of Investments

(unaudited) (continued)

Small-Mid Cap Equity Fund

Summary of Investments by Security Sector^
Industrials	20.1	%
Information Technology	19.8
Consumer Discretionary	16.4
Health Care	13.8
Financials	11.9
Materials	5.2
Consumer Staples	2.3
Energy	1.7
Utilities	1.0
Telecommunication Services	0.4
Short-Term Investments	7.4
	100.0	%

^ As a percentage of total investments.

See Notes to Financial Statements.

77

Schedules of Investments

(unaudited) (continued)

International Equity Fund
Shares/Units		Security	Value
	COMMON STOCKS — 96.0%
	Australia — 2.9%
	462,864	Amcor Ltd.	$	4,629,694
	384,978	BHP Billiton PLC		3,852,008
	525,087	Brambles Ltd.		4,662,898
	129,067	CIMIC Group Ltd.		2,893,638
	116,044	CSL Ltd.		8,487,527
	189,291	Sonic Healthcare Ltd.		2,463,012
	542,800	Telstra Corp., Ltd.		2,034,435
	650,176	Westfield Corp., REIT.		4,621,786
	220,130	Westpac Banking Corp.		4,519,272
		Total Australia		38,164,270
	Belgium — 0.9%
	10,728	Anheuser-Busch InBev SA/NV		1,201,854
	118,227	KBC Groep NV		6,268,830
	51,912	UCB SA		3,825,988
		Total Belgium		11,296,672
	Brazil — 0.2%
	300,200	Embraer SA		2,258,042
	Canada — 2.0%
	111,429	Cenovus Energy Inc.		1,274,745
	122,599	Dollarama Inc.		7,135,866
	304,241	Hudson’s Bay Co.(a)		3,849,245
	113,660	Imperial Oil Ltd.		3,627,813
	177,866	Saputo Inc.		5,178,968
	115,399	Toronto-Dominion Bank (The)		4,471,322
		Total Canada		25,537,959
	China — 1.6%
	44,101	Alibaba Group Holding Ltd., ADR*		3,034,590
	9,602,500	CNOOC Ltd.		10,103,468
	73,573	JD.com Inc., ADR*		1,891,562
	3,760,000	Lenovo Group Ltd.		3,157,365
	120,200	Tencent Holdings Ltd.		2,190,358
		Total China		20,377,343
	Denmark — 1.4%
	58,620	Coloplast AS, Class B Shares		4,421,810
	123,003	Novo Nordisk AS, Class B Shares		6,320,209
	108,084	Novozymes AS, Class B Shares		4,627,775
	33,556	William Demant Holding AS*		2,907,428
		Total Denmark		18,277,222
	Finland — 0.4%
	848,428	Nokia OYJ		5,158,440
	France — 11.4%
	70,052	Accor SA		2,961,603
	89,443	Airbus Group SE		5,792,379
	62,307	Amundi SA*(b)		2,579,594
	232,320	BNP Paribas SA		10,728,623
	31,490	Cie Générale des Établissements Michelin		2,831,649
	103,671	Danone SA		7,191,313
	61,802	Dassault Systemes		4,658,623
	196,744	Edenred		3,451,330
	735,592	Engie SA		11,399,516

See Notes to Financial Statements.

78

Schedules of Investments

(unaudited) (continued)

International Equity Fund
Shares/Units		Security	Value
	France — 11.4% — (continued)
	56,461	Essilor International SA	$	6,670,354
	11,993	Hermes International		4,089,808
	19,006	Iliad SA		4,646,170
	222,130	Legrand SA		11,056,413
	25,927	LVMH Moët Hennessy Louis Vuitton SE		4,319,237
	27,264	Pernod Ricard SA		2,899,718
	49,309	Safran SA		3,057,434
	171,652	Sanofi		13,581,692
	291,883	Schneider Electric SE		17,262,379
	47,315	SEB SA		4,391,838
	86,317	Technip SA		4,265,502
	328,280	TOTAL SA		14,707,731
	42,778	Valeo SA		5,925,641
		Total France		148,468,547
	Germany — 6.9%
	18,311	adidas AG		1,960,709
	58,087	Bayer AG, Class Registered Shares		6,094,594
	76,776	Bayerische Motoren Werke AG		6,279,988
	104,332	Brenntag AG		5,044,404
	45,743	Continental AG		9,185,159
	132,806	Deutsche Bank AG, Class Registered Shares		2,312,643
	58,805	Fresenius Medical Care AG & Co. KGaA		4,973,638
	117,040	GEA Group AG		5,149,267
	38,456	HeidelbergCement AG		2,827,789
	559,700	Infineon Technologies AG		6,868,169
	67,814	Linde AG		9,468,106
	99,636	ProSiebenSat.1 Media SE		5,111,343
	246,583	SAP SE		18,756,330
	37,687	Symrise AG		2,417,649
	74,476	United Internet AG, Class Registered Shares		3,638,871
		Total Germany		90,088,659
	Hong Kong — 2.2%
	1,226,400	AIA Group Ltd.		6,220,952
	1,878,000	Brilliance China Automotive Holdings Ltd.		1,538,048
	1,341,377	China Merchants Holdings International Co., Ltd.		3,710,083
	1,055,000	China Mobile Ltd.		11,203,012
	126,640	Jardine Strategic Holdings Ltd.		3,734,135
	466,500	Link REIT		2,633,001
		Total Hong Kong		29,039,231
	India — 0.7%
	126,159	HDFC Bank Ltd.		1,806,005
	116,270	Hero MotoCorp Ltd.		4,262,360
	324,270	ICICI Bank Ltd., ADR		1,838,611
	992,662	Idea Cellular Ltd.		1,525,840
		Total India		9,432,816
	Ireland — 1.3%
	245,467	Experian PLC		4,004,767
	393,408	James Hardie Industries PLC, CDI		5,030,681
	57,887	Kerry Group PLC, Class A Shares		5,059,209
	26,175	Ryanair Holdings PLC, ADR		2,176,975
		Total Ireland		16,271,632

See Notes to Financial Statements.

79

Schedules of Investments

(unaudited) (continued)

International Equity Fund
Shares/Units		Security	Value
	Israel — 0.6%
	46,995	Check Point Software Technologies Ltd.*(a)	$	3,903,875
	63,432	Teva Pharmaceutical Industries Ltd., ADR		3,526,819
		Total Israel		7,430,694
	Italy — 0.4%
	1,250,208	Intesa Sanpaolo SpA		3,136,676
	458,678	Snam SpA		2,466,287
		Total Italy		5,602,963
	Japan — 12.3%
	56,800	ABC-Mart Inc.(a)		3,256,238
	94,200	Bridgestone Corp.		3,287,711
	38,100	Daikin Industries Ltd.		2,543,232
	31,200	Disco Corp.(a)		2,863,499
	148,100	East Japan Railway Co.		12,967,399
	14,100	FANUC Corp.		2,063,599
	2,700,000	Hitachi Ltd.		11,357,559
	122,300	Hoya Corp.		4,403,521
	217,300	Japan Airlines Co., Ltd.		7,761,350
	861,900	KDDI Corp.		21,912,774
	16,900	Keyence Corp.		8,701,863
	288,500	Kubota Corp.		3,678,274
	76,500	Nidec Corp.		5,101,353
	543,200	Nikon Corp.(a)		8,245,130
	177,700	Nippon Telegraph & Telephone Corp.		7,604,723
	293,400	ORIX Corp.		3,816,494
	107,700	Otsuka Holdings Co., Ltd.		3,795,841
	337,200	Sekisui Chemical Co., Ltd.		3,721,266
	209,100	Sekisui House Ltd.		3,392,535
	88,800	Seven & i Holdings Co., Ltd.		3,521,540
	45,800	Shin-Etsu Chemical Co., Ltd.		2,289,305
	17,100	SMC Corp.		3,935,014
	475,800	Sumitomo Mitsui Financial Group Inc.		13,265,739
	92,900	Suntory Beverage & Food Ltd.		3,931,183
	80,500	Suzuki Motor Corp.		2,003,000
	96,000	Toyota Motor Corp.		4,996,712
	83,200	Unicharm Corp.		1,804,080
	951,800	Yahoo Japan Corp.(a)		3,739,175
		Total Japan		159,960,109
	Luxembourg — 0.2%
	117,099	SES SA, ADR		3,068,356
	Mexico — 0.2%
	120,350	Grupo Televisa SAB, ADR		3,092,995
	Netherlands — 5.3%
	219,157	Aalberts Industries NV		6,775,557
	91,293	ABN AMRO Group NV, GDR*(b)		1,801,186
	320,391	Akzo Nobel NV		18,832,661
	44,237	ASML Holding NV		4,035,657
	70,240	Boskalis Westminster		2,541,682
	75,692	Gemalto NV		4,783,402
	70,568	Heineken NV		5,675,189
	356,152	ING Groep NV, Dutch Certificate		4,174,774
	91,901	Koninklijke Vopak NV		4,176,967
	850,535	PostNL NV*		3,307,484

See Notes to Financial Statements.

80

Schedules of Investments

(unaudited) (continued)

International Equity Fund
Shares/Units		Security	Value
	Netherlands — 5.3% — (continued)
	320,671	Royal Dutch Shell PLC, Class A Shares	$	7,312,450
	227,352	Royal Dutch Shell PLC, Class B Shares		5,166,721
		Total Netherlands		68,583,730
	Norway — 0.5%
	216,018	DNB ASA		2,476,603
	247,073	Statoil ASA		3,588,021
		Total Norway		6,064,624
	Singapore — 0.1%
	156,232	DBS Group Holdings Ltd.		1,508,155
	South Africa — 0.2%
	281,202	Spar Group Ltd. (The)		3,163,550
	South Korea — 2.5%
	77,988	KT&G Corp.		6,703,858
	12,664	Samsung Electronics Co., Ltd.		12,011,122
	72,847	SK Telecom Co., Ltd.		13,709,848
		Total South Korea		32,424,828
	Spain — 2.7%
	137,197	Amadeus IT Holding SA, Class A Shares		5,509,871
	384,304	Banco Bilbao Vizcaya Argentaria SA		2,436,446
	2,395,581	CaixaBank SA		6,818,650
	244,799	Grifols SA		5,328,999
	205,501	Industria de Diseno Textil SA		6,356,095
	882,314	Prosegur Cia de Seguridad SA		4,396,606
	22,481	Red Electrica Corp SA		1,781,424
	81,770	Técnicas Reunidas SA(a)		2,213,769
		Total Spain		34,841,860
	Sweden — 1.5%
	228,791	Assa Abloy AB, Class B Shares		4,376,644
	184,978	Atlas Copco AB, Class A Shares		4,163,732
	81,745	Hexagon AB, Class B Shares		2,784,672
	83,301	Swedish Match AB		2,682,144
	565,946	Telefonaktiebolaget LM Ericsson, Class B Shares		5,211,410
		Total Sweden		19,218,602
	Switzerland — 12.8%
	94,301	ABB Ltd., Class Registered Shares*		1,680,017
	246,695	Aryzta AG*		11,732,485
	3,660	Barry Callebaut AG, Class Registered Shares*		3,845,982
	173,358	Cie Financiere Richemont SA, Class Registered Shares		11,032,181
	325,596	Clariant AG, Class Registered Shares*		5,422,777
	3,189	Galenica AG, Class Registered Shares		4,777,032
	866	Givaudan SA, Class Registered Shares*		1,614,666
	54,190	Lonza Group AG, Class Registered Shares*		8,200,482
	134,161	Nestlé SA, Class Registered Shares		9,397,556
	229,990	Novartis AG, Class Registered Shares		16,415,258
	108,874	Roche Holding AG		27,888,307
	1,480	SGS SA, Class Registered Shares		2,973,098
	1,074	Sika AG		4,075,169
	30,263	Sonova Holding AG, Class Registered Shares		3,624,852
	10,280	Swatch Group AG (The)		3,555,495
	8,678	Swisscom AG, Class Registered Shares		4,229,303

See Notes to Financial Statements.

81

Schedules of Investments

(unaudited) (continued)

International Equity Fund
Shares/Units		Security	Value
	Switzerland — 12.8% — (continued)
	24,337	Syngenta AG, Class Registered Shares	$	9,778,209
	100,078	Temenos Group AG, Class Registered Shares*		4,913,888
	1,002,004	UBS Group AG, Class Registered Shares		15,268,598
	83,290	Wolseley PLC		4,258,131
	59,455	Zurich Insurance Group AG*		12,560,960
		Total Switzerland		167,244,446
	Taiwan — 0.5%
	1,348,000	Taiwan Semiconductor Manufacturing Co., Ltd.		6,065,808
	Thailand — 0.3%
	3,570,600	CP ALL PCL		4,330,579
	United Kingdom — 22.5%
	155,503	Aggreko PLC		1,900,382
	242,882	ARM Holdings PLC		3,334,346
	38,444	Associated British Foods PLC		1,809,021
	61,885	AVEVA Group PLC		1,304,780
	2,105,733	Aviva PLC		12,695,777
	1,502,239	Balfour Beatty PLC*		5,220,639
	5,384,874	Barclays PLC		12,722,611
	298,100	British American Tobacco PLC		16,225,475
	1,497,842	BT Group PLC		10,058,349
	210,472	Bunzl PLC		5,624,405
	418,407	Burberry Group PLC		7,662,845
	217,656	Capita PLC		3,012,193
	588,604	Diageo PLC		15,137,362
	97,582	Dignity PLC		3,395,118
	337,142	Domino’s Pizza Group PLC		4,888,683
	418,159	Essentra PLC		4,842,620
	860,342	GlaxoSmithKline PLC		16,705,449
	3,062,463	HSBC Holdings PLC		19,513,448
	763,606	ICAP PLC		4,593,988
	61,020	Imperial Brands PLC		3,153,841
	225,960	Inmarsat PLC		3,055,943
	741,139	International Consolidated Airlines Group SA		5,643,295
	117,725	Intertek Group PLC		4,755,678
	18,582,418	Lloyds Banking Group PLC		18,506,154
	347,361	Prudential PLC		5,996,509
	106,912	Reckitt Benckiser Group PLC		9,729,400
	947,375	RELX NV		15,502,408
	390,779	Rolls-Royce Holdings PLC*		3,641,273
	659,522	Royal Mail PLC		4,140,919
	286,328	Sky PLC		4,128,052
	89,655	Spectris PLC		2,232,565
	701,875	SSE PLC		13,438,242
	183,492	Travis Perkins PLC		4,543,924
	249,387	Tullett Prebon PLC		1,203,783
	195,817	Unilever PLC		8,380,566
	6,718,745	Vodafone Group PLC		20,426,945
	78,093	Weir Group PLC (The)		1,024,833
	33,731	Whitbread PLC		1,827,112
	972,520	William Hill PLC		5,523,144
	580,647	Worldpay Group PLC*(b)		2,301,906
	170,505	WPP PLC		3,583,668
		Total United Kingdom		293,387,651

See Notes to Financial Statements.

82

Schedules of Investments

(unaudited) (continued)

International Equity Fund
Shares/Units			Security	Value
	United States — 1.5%
	123,390		Carnival Corp.	$	5,917,784
	284,790		Carnival PLC		14,074,535
			Total United States		19,992,319
			TOTAL COMMON STOCKS (Cost — $1,346,478,663)		1,250,352,102
	PREFERRED STOCK — 1.2%
	Germany — 1.2%
	132,327		Volkswagen AG, Class Preferred Shares, 1.800% (Cost — $24,513,168)		15,442,432
			TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $1,370,991,831)		1,265,794,534
Face Amount†
	SHORT-TERM INVESTMENTS (c) — 4.2%
	MONEY MARKET FUND — 1.4%
$	18,014,299		Invesco STIT — Government & Agency Portfolio(d) (Cost — $18,014,299)		18,014,299
	TIME DEPOSITS — 2.8%
			ANZ National Bank — London:
	489,935	GBP	0.080% due 3/1/16		682,382
	13,756,268		0.150% due 3/1/16		13,756,268
	15,323,840		Banco Santander SA — Frankfurt, 0.150% due 3/1/16		15,323,840
			BBH — Grand Cayman:
	403,831	CHF	(1.000)% due 3/1/16		405,473
	627	EUR	(0.310)% due 3/1/16		681
	276,155	DKK	(0.250)% due 3/1/16		40,218
	77,354	JPY	(0.130)% due 3/1/16		685
	3	SGD	0.100% due 3/1/16		2
	1	AUD	1.229% due 3/1/16		1
	1	NZD	1.600% due 3/1/16		1
	350,820	NOK	DNB — Oslo, 0.133% due 3/1/16		40,210
	153,097	AUD	National Australia Bank Ltd. — London, 1.229% due 3/1/16		109,304
	6,708,136		Wells Fargo — Grand Cayman, 0.150% due 3/1/16		6,708,136
			TOTAL TIME DEPOSITS (Cost — $37,067,201)		37,067,201
			TOTAL SHORT-TERM INVESTMENTS (Cost — $55,081,500)		55,081,500
			TOTAL INVESTMENTS — 101.4% (Cost — $1,426,073,331#)		1,320,876,034
			Liabilities in Excess of Other Assets — (1.4)%		(17,784,239	)
			TOTAL NET ASSETS — 100.0%	$	1,303,091,795

† Amount denominated in U.S. dollars, unless otherwise noted.

* Non-income producing security.

(a) All or a portion of this security is on loan (See Note 1).

(b) Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.

(c) Inclusive of all short term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 2.8%.

(d) Represents investment of collateral received from securities lending transactions.

See Notes to Financial Statements.

83

Schedules of Investments

(unaudited) (continued)

International Equity Fund

# Aggregate cost for federal income tax purposes is substantially the same.

Abbreviations used in this schedule:
ADR	— American Depositary Receipts
CDI	— Clearing House Electronic Systems (CHESS) Depositary Interest
GDR	— Global Depositary Receipt
PCL	— Public Company Limited
PLC	— Public Limited Company
REIT	— Real Estate Investment Trust

Currency Abbreviations used in this schedule:
AUD	— Australian Dollar
CHF	— Swiss Franc
DKK	— Danish Krone
EUR	— Euro
GBP	— British Pound
JPY	— Japanese Yen
NOK	— Norwegian Krone
NZD	— New Zealand Dollar
SGD	— Singapore Dollar

Summary of Investments by Security Sector^
Consumer Discretionary	15.4	%
Financials	14.4
Industrials	14.1
Health Care	11.7
Consumer Staples	10.1
Information Technology	10.0
Telecommunication Services	7.6
Materials	6.0
Energy	4.3
Utilities	2.2
Short-Term Investments	4.2
	100.0	%

^ As a percentage of total investments.

See Notes to Financial Statements.

84

Schedules of Investments

(unaudited) (continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	COMMON STOCKS — 97.1%
	Argentina — 0.7%
	128,008	YPF SA, ADR	$	2,319,505
	Brazil — 6.3%
	1,114,101	Ambev SA, ADR		4,835,198
	204,643	Banco Bradesco SA, ADR		1,084,608
	559,585	Banco do Brasil SA		1,887,118
	286,100	BB Seguridade Participações SA		1,718,738
	176,289	BM&FBovespa SA — Bolsa de Valores Mercadorias e Futuros		510,206
	470,000	CCR SA		1,478,481
	206,700	Cia Energética de Minas Gerais, ADR		310,050
	575,809	Cielo SA		4,447,282
	168,000	Cosan SA Indústria e Comércio		1,119,303
	216,630	Estacio Participações SA		688,468
	683,890	Gerdau SA, ADR		601,823
	115,678	Localiza Rent a Car SA		662,375
	136,500	Lojas Renner SA		611,955
	101,500	Natura Cosméticos SA		671,948
	207,600	Petróleo Brasileiro SA, ADR*		525,228
	38,389	Ultrapar Participações SA		600,934
	16,468	Vale SA, Class B Shares, ADR(a)		48,416
	186,500	Via Varejo SA		201,132
		Total Brazil		22,003,263
	Canada — 0.4%
	406,290	First Quantum Minerals Ltd.		1,480,257
	China — 13.7%
	359,763	AAC Technologies Holdings Inc.		2,484,550
	2,828,000	Agricultural Bank of China Ltd., Class H Shares(b)		929,258
	64,985	Alibaba Group Holding Ltd., ADR*		4,471,618
	977,500	Anhui Conch Cement Co., Ltd., Class H Shares(b)		1,941,631
	10,045	Autohome Inc., ADR(a)*		246,203
	38,300	Baidu Inc., ADR*		6,641,986
	10,200	Bitauto Holdings Ltd., ADR*		211,038
	8,237,380	China Construction Bank Corp., Class H Shares(b)		4,821,921
	1,391,000	China Medical System Holdings Ltd.		1,753,252
	524,000	China Merchants Bank Co., Ltd., Class H Shares(b)		980,906
	601,000	China Shenhua Energy Co., Ltd., Class H Shares(b)		841,729
	2,923,442	CNOOC Ltd.		3,075,960
	34,523	NetEase Inc., ADR		4,647,141
	63,125	New Oriental Education & Technology Group Inc., ADR		1,965,081
	620,500	Ping An Insurance Group Co. of China Ltd., Class H Shares(b)		2,632,634
	361,331	Tencent Holdings Ltd.		6,584,396
	119,002	Vipshop Holdings Ltd., ADR*		1,322,112
	923,600	Weichai Power Co., Ltd., Class H Shares(b)		841,990
	275,855	Zhuzhou CSR Times Electric Co., Ltd., Class H Shares(b)		1,353,049
		Total China		47,746,455
	Colombia — 0.6%
	66,654	Bancolombia SA, ADR		2,004,952
	Egypt — 0.3%
	329,653	Commercial International Bank Egypt SAE, Class Registered Shares, GDR		1,171,945
	Hong Kong — 6.1%
	1,011,246	Brilliance China Automotive Holdings Ltd.		828,192
	64,137	China Mobile Ltd., ADR		3,430,688

See Notes to Financial Statements.

85

Schedules of Investments

(unaudited) (continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	Hong Kong — 6.1% — (continued)
	148,904	China Resources Beer Holdings Co., Ltd.	$	241,704
	2,363,000	China State Construction International Holdings Ltd.		3,626,470
	91,659	CK Hutchison Holdings Ltd.		1,107,858
	52,300	CLP Holdings Ltd.		455,359
	24,138	Hong Kong Exchanges & Clearing Ltd.		523,617
	1,831,431	Huabao International Holdings Ltd.		633,399
	354,550	Link REIT		2,001,137
	67,300	Melco Crown Entertainment Ltd., ADR(a)		1,062,667
	498,049	Power Assets Holdings Ltd.		4,712,244
	7,252,000	SMI Holdings Group Ltd.		738,596
	482,000	Techtronic Industries Co., Ltd.		1,844,874
		Total Hong Kong		21,206,805
	Hungary — 0.6%
	101,744	OTP Bank PLC		2,115,469
	India — 13.3%
	273,340	Adani Ports & Special Economic Zone Ltd.		787,812
	285,997	Aurobindo Pharma Ltd.		2,761,978
	73,320	Axis Bank Ltd., Class Registered Shares, GDR		2,072,101
	133,302	Cipla Ltd.		1,000,210
	38,998	Colgate-Palmolive India Ltd.		469,713
	22,265	Dr Reddy’s Laboratories Ltd.		989,248
	7,832	Dr Reddy’s Laboratories Ltd., ADR		344,451
	140,917	Glenmark Pharmaceuticals Ltd.		1,521,390
	155,224	HCL Technologies Ltd.		1,861,353
	349,349	HDFC Bank Ltd.		5,001,040
	58,940	HDFC Bank Ltd., ADR		3,113,211
	192,093	Hindustan Unilever Ltd.		2,325,631
	409,525	Housing Development Finance Corp., Ltd.		6,405,540
	152,200	ICICI Bank Ltd., ADR		862,974
	40,328	Infosys Ltd.		641,436
	115,500	Infosys Ltd., ADR		1,942,710
	1,132,143	ITC Ltd.		4,906,402
	120,918	Kotak Mahindra Bank Ltd.		1,119,938
	1,740	Nestle India Ltd.		127,792
	125,980	Reliance Industries Ltd.		1,781,237
	121,509	Shriram Transport Finance Co., Ltd.		1,424,747
	201,538	Sun Pharmaceutical Industries Ltd.		2,526,819
	65,806	Tata Consultancy Services Ltd.		2,095,947
	40,773	Westlife Development Ltd.(d)*		130,835
		Total India		46,214,515
	Indonesia — 6.5%
	3,382,000	Astra International Tbk PT		1,719,239
	2,335,387	Bank Central Asia Tbk PT		2,356,226
	3,545,862	Bank Mandiri Persero Tbk PT		2,531,615
	2,690,300	Bank Rakyat Indonesia Persero Tbk PT		2,232,552
	277,614	Hanjaya Mandala Sampoerna Tbk PT		2,284,479
	542,326	Matahari Department Store Tbk PT		749,051
	1,501,700	Semen Indonesia Persero Tbk PT		1,150,703
	12,248,376	Telekomunikasi Indonesia Persero Tbk PT		2,997,077
	78,425	Telekomunikasi Indonesia Persero Tbk PT, ADR(a)		3,846,746
	485,908	Unilever Indonesia Tbk PT		1,619,231
	939,178	United Tractors Tbk PT		1,090,014
		Total Indonesia		22,576,933

See Notes to Financial Statements.

86

Schedules of Investments

(unaudited) (continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	Jersey, Channel Islands — 0.9%
	15,474	Randgold Resources Ltd.	$	1,410,030
	18,451	Randgold Resources Ltd., ADR(a)		1,683,654
		Total Jersey, Channel Islands		3,093,684
	Macau — 0.2%
	653,000	Wynn Macau Ltd.		747,440
	Malaysia — 0.8%
	117,685	British American Tobacco Malaysia Bhd		1,571,777
	265,700	Public Bank Bhd		1,167,663
		Total Malaysia		2,739,440
	Mexico — 4.7%
	67,200	América Móvil SAB de CV, Class L Shares, ADR		911,232
	53,777	Fomento Económico Mexicano SAB de CV, ADR		5,032,990
	548,500	Grupo Financiero Banorte SAB de CV, Class O Shares		2,768,839
	481,935	Grupo México SAB de CV, Class B Shares		1,013,962
	51,989	Grupo Televisa SAB, ADR		1,336,117
	85,700	Industrias Peñoles SAB de CV		1,004,598
	532,100	Kimberly-Clark de México SAB de CV, Class A Shares		1,168,231
	72,600	Telesites SAB de CV*		38,687
	1,352,453	Wal-Mart de Mexico SAB de CV		3,184,937
		Total Mexico		16,459,593
	Netherlands — 0.9%
	37,929	Heineken NV		3,050,309
	Pakistan — 0.9%
	1,023,073	Habib Bank Ltd.		1,770,189
	597,162	Oil & Gas Development Co., Ltd.		612,126
	753,816	Pakistan Petroleum Ltd.		834,790
		Total Pakistan		3,217,105
	Peru — 0.8%
	24,330	Credicorp Ltd.		2,852,449
	Philippines — 0.4%
	38,676	Philippine Long Distance Telephone Co., ADR		1,496,374
	Poland — 0.2%
	63,358	Eurocash SA		786,009
	Russia — 6.1%
	1,847,150	Alrosa PAO		1,707,707
	422,689	Gazprom PAO, ADR		1,545,866
	56,079	Lukoil PJSC, ADR		1,976,071
	16,896	Magnit PJSC, Class Registered Shares, GDR		561,256
	6,573	Magnit PJSC, GDR(e)		220,195
	37,289	MegaFon PJSC, GDR		435,435
	38,078	MegaFon PJSC, GDR(e)		447,417
	165,239	Mobile Telesystems PJSC, ADR(a)		1,156,673
	23,441	Novatek OAO, Class Registered Shares, GDR		2,010,564
	4,703,064	Sberbank of Russia PJSC*		6,694,087
	218,904	TMK PAO, Class Registered Shares, GDR		585,642
	117,529	X5 Retail Group NV, Class Registered Shares, GDR*		2,176,235
	123,700	Yandex NV, Class A Shares*		1,598,204
		Total Russia		21,115,352

See Notes to Financial Statements.

87

Schedules of Investments

(unaudited) (continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	South Africa — 4.9%
	55,169	Bidvest Group Ltd. (The)	$	1,240,383
	86,888	Imperial Holdings Ltd.		652,018
	35,330	Naspers Ltd., Class N Shares		4,186,729
	66,208	Nedbank Group Ltd.		754,788
	635,691	Petra Diamonds Ltd.		828,961
	607,908	PPC Ltd.		434,819
	123,963	Remgro Ltd.		1,879,904
	289,007	Sanlam Ltd.		967,461
	169,629	Shoprite Holdings Ltd.		1,642,278
	356,145	Standard Bank Group Ltd.		2,445,134
	112,290	Vodacom Group Ltd.		1,059,407
	207,465	Woolworths Holdings Ltd.		1,054,312
		Total South Africa		17,146,194
	South Korea — 9.3%
	6,154	Amorepacific Corp.		1,821,946
	16,879	CJ CGV Co., Ltd.(a)		1,584,337
	24,758	Coway Co., Ltd.		1,947,792
	37,567	Hansae Co., Ltd.(a)		1,766,857
	294,237	Hanwha Life Insurance Co., Ltd.		1,451,875
	10,680	Hyundai Mobis Co., Ltd.		2,141,189
	9,279	Kangwon Land Inc.		308,352
	68,629	KB Financial Group Inc.		1,640,414
	59,381	Korea Aerospace Industries Ltd.		3,385,756
	16,584	KT&G Corp.		1,425,563
	2,677	LG Household & Health Care Ltd.		1,871,427
	644	Orion Corp.		475,818
	3,442	Samlip General Foods Co., Ltd.(a)		695,653
	5,479	Samsung Electronics Co., Ltd.		5,196,536
	7,717	Samsung Fire & Marine Insurance Co., Ltd.		1,888,550
	87,058	Shinhan Financial Group Co., Ltd.		2,659,614
	91,049	SK Hynix Inc.		2,198,450
		Total South Korea		32,460,129
	Spain — 0.3%
	289,239	Cemex Latam Holdings SA*		942,187
	Taiwan — 6.4%
	1,559,000	Advanced Semiconductor Engineering Inc.		1,766,798
	133,100	Catcher Technology Co., Ltd.		1,037,865
	152,473	Hiwin Technologies Corp.		608,777
	568,750	Hon Hai Precision Industry Co., Ltd.		1,332,041
	182,480	Hota Industrial Manufacturing Co., Ltd.		710,834
	24,000	Largan Precision Co., Ltd.		1,804,093
	169,088	President Chain Store Corp.		1,141,620
	62,000	Silicon Motion Technology Corp., ADR		2,088,780
	2,199,737	Taiwan Semiconductor Manufacturing Co., Ltd.		9,898,503
	73,142	Taiwan Semiconductor Manufacturing Co., Ltd., ADR		1,722,494
		Total Taiwan		22,111,805
	Thailand — 2.7%
	47,431	Airports of Thailand PCL		530,706
	1,099,000	Bangkok Dusit Medical Services PCL, Class F Shares		665,687
	2,923,200	CP ALL PCL		3,545,384
	206,300	Kasikornbank PCL		1,003,658
	454,264	PTT Exploration & Production PCL		863,050
	96,200	Siam Cement PCL (The), Class Registered Shares		1,192,261
	2,771,600	Thai Beverage PCL		1,379,592
		Total Thailand		9,180,338

See Notes to Financial Statements.

88

Schedules of Investments

(unaudited) (continued)

Emerging Markets Equity Fund
Shares/Units			Security	Value
	Turkey — 3.1%
	636,122		Akbank TAS	$	1,584,021
	299,187		Aselsan Elektronik Sanayi Ve Ticaret AS		1,778,427
	1,745,138		Emlak Konut Gayrimenkul Yatirim Ortakligi AS, REIT		1,517,080
	299,773		KOC Holding AS		1,306,863
	394,248		Turkcell Iletisim Hizmetleri AS		1,472,310
	728,072		Türkiye Garanti Bankasi AS		1,805,844
	720,540		Türkiye Is Bankasi, Class C Shares		1,097,372
			Total Turkey		10,561,917
	United Kingdom — 5.5%
	164,274		British American Tobacco PLC		8,902,297
	101,329		SABMiller PLC		5,857,070
	103,923		Unilever NV		4,442,815
			Total United Kingdom		19,202,182
	United States — 0.5%
	174,850		Freeport-McMoRan Inc.(a)		1,334,105
	9,074		Las Vegas Sands Corp.		438,093
			Total United States		1,772,198
			TOTAL COMMON STOCKS (Cost — $358,340,432)		337,774,804
Face Amount†
	SHORT-TERM INVESTMENTS (f) — 5.0%
	MONEY MARKET FUND — 2.1%
$	7,266,632		Invesco STIT — Government & Agency Portfolio(g) (Cost — $7,266,632)		7,266,632
	TIME DEPOSITS — 2.9%
	3,077,566		ANZ National Bank — London, 0.150% due 3/1/16		3,077,566
	4,887,764		Banco Santander SA — Frankfurt, 0.150% due 3/1/16		4,887,764
	192	SGD	BBH — Grand Cayman, 0.100% due 3/1/16		137
	2,075,825		Sumitomo — Tokyo, 0.150% due 3/1/16		2,075,825
			TOTAL TIME DEPOSITS (Cost — $10,041,292)		10,041,292
			TOTAL SHORT-TERM INVESTMENTS (Cost — $17,307,924)		17,307,924
			TOTAL INVESTMENTS — 102.1% (Cost — $375,648,356#)		355,082,728
			Liabilities in Excess of Other Assets — (2.1)%		(7,326,043	)
			TOTAL NET ASSETS — 100.0%	$	347,756,685

† Amount denominated in U.S. dollars, unless otherwise noted.

* Non-income producing security.

(a) All or a portion of this security is on loan (See Note 1).

(b) Security trades on the Hong Kong exchange.

(c) Security is valued in good faith at fair value by or under the direction of the Board of Trustees.

(d) Illiquid security.

(e) Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.

(f) Inclusive of all short term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 2.9%.

(g) Represents investment of collateral received from securities lending transactions.

See Notes to Financial Statements.

89

Schedules of Investments

(unaudited) (continued)

Emerging Markets Equity Fund

# Aggregate cost for federal income tax purposes is substantially the same.

Abbreviations used in this schedule:
ADR	— American Depositary Receipts
GDR	— Global Depositary Receipt
PCL	— Public Company Limited
PLC	— Public Limited Company
REIT	— Real Estate Investment Trust

Currency Abbreviations used in this schedule:
SGD	— Singapore Dollar

Summary of Investments by Security Sector^
Financials	24.1	%
Consumer Staples	19.3
Information Technology	18.3
Consumer Discretionary	8.1
Industrials	5.6
Energy	5.2
Materials	4.9
Telecommunication Services	4.9
Health Care	3.2
Utilities	1.5
Short-Term Investments	4.9
	100.0	%

^ As a percentage of total investments.

See Notes to Financial Statements.

90

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	CORPORATE BONDS & NOTES — 29.4%
	Aerospace & Defense — 0.3%
$	35,000	BBB+	BAE Systems Holdings Inc., Company Guaranteed Notes, 3.850% due 12/15/25(a)	$	36,022
			Harris Corp., Senior Unsecured Notes:
	120,000	BBB-	4.854% due 4/27/35		120,194
	155,000	BBB-	5.054% due 4/27/45		159,439
			Lockheed Martin Corp., Senior Unsecured Notes:
	30,000	BBB+	3.100% due 1/15/23		30,842
	240,000	BBB+	3.550% due 1/15/26		251,884
	45,000	BBB+	3.600% due 3/1/35		42,070
	40,000	BBB+	4.500% due 5/15/36		42,269
	115,000	BBB+	3.800% due 3/1/45		107,805
	130,000	BBB	Northrop Grumman Corp., Senior Unsecured Notes, 3.850% due 4/15/45		125,580
			United Technologies Corp.:
	910,000	BBB+	Junior Subordinated Notes, step bond to yield, 1.778% due 5/4/18		908,918
	220,000	A-	Senior Unsecured Notes, 4.500% due 6/1/42		227,460
			Total Aerospace & Defense		2,052,483
	Airlines — 0.5%
	630,118	A	American Airlines Class A Pass Through Trust, Series 2013-2, Pass Thru Certificates, 4.950% due 1/15/23		664,774
	333,873	BBB-	American Airlines Class B Pass Through Trust, Series 2013-1, Pass Thru Certificates, 5.625% due 1/15/21(a)		335,960
	308,938	BBB-	American Airlines Class B Pass Through Trust, Series 2013-2, Pass Thru Certificates, 5.600% due 7/15/20(a)		310,869
	82,380	A+	Continental Airlines Inc. Class A Pass Through Trust, Series 1998-1, Pass Thru Certificates, 6.648% due 9/15/17		83,818
	265,953	A	Continental Airlines Inc. Class A-1 Pass Through Trust, Series 1999-2, Pass Thru Certificates, 7.256% due 3/15/20		285,899
	697,519	A	Delta Air Lines Class A Pass Through Trust, Series 2009-1, Pass Thru Certificates, 7.750% due 12/17/19		784,708
	124,732	A-	JetBlue Airways G-1 Pass Through Trust, Series 2004-2, Pass Thru Certificates, 0.993% due 8/15/16(b)		124,108
	625,000	BBB+	JetBlue Airways G-2 Pass Through Trust, Series 2004-2, Pass Thru Certificates, 1.067% due 11/15/16(b)		619,531
	288,586	BBB	Northwest Airlines Inc. Class A-1 Pass Through Trust, Pass Thru Certificates, 7.041% due 4/1/22		325,020
	273,008	A+	UAL Pass Through Trust, Series 2009-1, Pass Thru Certificates, 10.400% due 11/1/16		284,953
	35,551	A	UAL Pass Through Trust, Series 2009-2A, Pass Thru Certificates, 9.750% due 1/15/17		37,550
			Total Airlines		3,857,190
	Automobiles — 0.3%
			Daimler Finance North America LLC, Company Guaranteed Notes:
	330,000	A-	2.625% due 9/15/16(a)		332,261
	250,000	A-	2.450% due 5/18/20(a)		248,076
	740,000	BBB-	Ford Motor Co., Senior Unsecured Notes, 4.750% due 1/15/43		681,833
			General Motors Co., Senior Unsecured Notes:
	330,000	BBB-	6.250% due 10/2/43		323,921
	455,000	BBB-	5.200% due 4/1/45		394,412
	275,000	BBB-	6.750% due 4/1/46		288,610
			Total Automobiles		2,269,113
	Banks — 5.0%
			Bank of America Corp.:
			Senior Unsecured Notes:
	850,000	Baa1(c)	8.950% due 5/18/17(b)		860,570

See Notes to Financial Statements.

91

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Banks — 5.0% — (continued)
$	1,584,000	Baa1(c)	9.570% due 6/6/17(b)	$	1,602,477
	80,000	BBB+	5.750% due 12/1/17		84,879
	350,000	BBB+	5.650% due 5/1/18		373,827
	453,000	BBB+	2.600% due 1/15/19		455,559
	375,000	BBB+	2.250% due 4/21/20		367,472
	500,000	BBB+	5.000% due 5/13/21		546,736
	830,000	BBB+	3.300% due 1/11/23		829,160
	490,000	BBB+	4.125% due 1/22/24		511,343
	630,000	BBB+	4.000% due 4/1/24		651,134
	635,000	BBB+	3.875% due 8/1/25		652,850
	570,000	BBB+	5.000% due 1/21/44		607,792
	270,000	BBB+	4.875% due 4/1/44		282,377
			Subordinated Notes:
	600,000	BBB	5.420% due 3/15/17		621,032
	990,000	BBB	4.200% due 8/26/24		992,723
	610,000	BBB	4.000% due 1/22/25		593,674
	400,000	BBB	3.950% due 4/21/25		386,238
			Bank of America NA:
	390,000	A	Senior Unsecured Notes, 1.650% due 3/26/18		388,518
	300,000	BBB+	Subordinated Notes, 6.100% due 6/15/17		315,022
	100,000	BBB-	Barclays Bank PLC, Subordinated Notes, 5.140% due 10/14/20		107,532
			Barclays PLC:
			Senior Unsecured Notes:
	230,000	BBB	3.650% due 3/16/25		211,831
	955,000	BBB	4.375% due 1/12/26		923,415
	200,000	BB+	Subordinated Notes, 4.375% due 9/11/24		183,994
	320,000	A+	BNP Paribas SA, Senior Unsecured Notes, 2.375% due 9/14/17		323,410
			Capital One Financial Corp.:
	560,000	BBB	Senior Unsecured Notes, 3.500% due 6/15/23		559,667
	180,000	BBB-	Subordinated Notes, 4.200% due 10/29/25		176,952
	800,000	BBB-	Chase Capital III, Limited Guaranteed Notes, 1.185% due 3/1/27(b)		642,000
			CIT Group Inc., Senior Unsecured Notes:
	290,000	BB+	6.625% due 4/1/18(a)		305,588
	300,000	BB+	5.000% due 8/15/22		301,875
			Cooperatieve Rabobank UA:
	340,000	BBB+	Bank Guaranteed Notes, 4.375% due 8/4/25		342,437
			Company Guaranteed Notes:
	200,000	A+	3.375% due 1/19/17		203,646
	310,000	BBB+	4.625% due 12/1/23		316,679
	400,000	BBB-	Junior Subordinated Notes, 11.000%(a)(b)(d)		473,584
	320,000	A+	Senior Unsecured Notes, 2.500% due 1/19/21		321,030
	450,000	BBB	Credit Agricole SA, Subordinated Notes, 4.375% due 3/17/25(a)		429,690
			Credit Suisse AG:
	750,000	A	Senior Unsecured Notes, 1.700% due 4/27/18		742,320
	471,000	BBB	Subordinated Notes, 6.000% due 2/15/18		498,878
			Credit Suisse Group Funding Guernsey Ltd., Company Guaranteed Notes:
	505,000	BBB+	2.750% due 3/26/20		488,735
	500,000	BBB+	3.800% due 9/15/22		490,564
	200,000	BB+	Deutsche Bank AG, Subordinated Notes, 4.296% due 5/24/28(b)		171,375
			Discover Bank/Greenwood DE, Senior Unsecured Notes:
	900,000	BBB	2.600% due 11/13/18		899,612
	250,000	BBB	3.100% due 6/4/20		248,865
	1,510,000	BBB-	HBOS PLC, Subordinated Notes, 6.750% due 5/21/18(a)		1,626,660
			HSBC Holdings PLC:
	210,000	Baa3(c)	Junior Subordinated Notes, 6.375%(b)(d)		193,148

See Notes to Financial Statements.

92

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Banks — 5.0% — (continued)
			Subordinated Notes:
$	390,000	BBB+	4.250% due 8/18/25	$	378,553
	500,000	BBB+	6.500% due 9/15/37		558,248
	450,000	BBB+	5.250% due 3/14/44		431,976
	385,000	A	HSBC USA Inc., Senior Unsecured Notes, 2.350% due 3/5/20		377,432
	335,000	A	ING Bank NV, Senior Unsecured Notes, 1.800% due 3/16/18(a)		334,521
	810,000	BB	Intesa Sanpaolo SpA, Subordinated Notes, 5.017% due 6/26/24(a)		745,486
	525,000	A	Lloyds Bank PLC, Company Guaranteed Notes, 1.750% due 5/14/18		521,941
	245,000	BBB-	Lloyds Banking Group PLC, Subordinated Notes, 4.582% due 12/10/25(a)		241,811
	600,000	BBB-	M&T Bank Corp., Junior Subordinated Notes, 6.875%(d)		602,640
	530,000	A	Macquarie Bank Ltd., Senior Unsecured Notes, 1.249% due 10/27/17(a)(b)		526,879
	300,000	A-	Nordea Bank AB, Subordinated Notes, 4.875% due 5/13/21(a)		320,514
			Royal Bank of Canada, Covered Notes:
	410,000	Aaa(c)	1.200% due 9/19/17		409,967
	470,000	Aaa(c)	2.200% due 9/23/19		477,357
			Royal Bank of Scotland Group PLC:
	40,000	B+	Junior Subordinated Notes, 7.648%(b)(d)		45,800
			Senior Unsecured Notes:
	500,000	BBB-	1.875% due 3/31/17		498,532
	550,000	BBB-	6.400% due 10/21/19		594,410
			Subordinated Notes:
	130,000	BB	6.125% due 12/15/22		136,602
	320,000	BB	6.100% due 6/10/23		324,423
	220,000	BB	6.000% due 12/19/23		222,556
	365,000	BB	5.125% due 5/28/24		350,639
	90,000	BB+	Royal Bank of Scotland NV, Company Guaranteed Notes, 4.650% due 6/4/18		90,793
			Santander Holdings USA Inc., Senior Unsecured Notes:
	219,000	BBB+	3.450% due 8/27/18		220,862
	55,000	BBB+	2.650% due 4/17/20		53,164
	120,000	BBB+	4.500% due 7/17/25		119,707
	180,000	BBB	Santander UK Group Holdings PLC, Senior Unsecured Notes, 2.875% due 10/16/20		176,832
	880,000	BBB	Standard Chartered PLC, Subordinated Notes, 5.700% due 3/26/44(a)		770,062
	1,000,000	A	UBS AG, Senior Unsecured Notes, 1.375% due 6/1/17		997,662
	670,000	BBB	Wachovia Capital Trust III, Limited Guaranteed Notes, 5.570%(b)(d)		645,900
			Wells Fargo & Co.:
	430,000	BBB	Junior Subordinated Notes, 5.875%(b)(d)		455,821
			Senior Unsecured Notes:
	345,000	A	2.600% due 7/22/20		349,107
	235,000	A	2.550% due 12/7/20		236,872
	41,000	A	3.550% due 9/29/25		42,671
	180,000	A	3.900% due 5/1/45		174,486
			Subordinated Notes:
	330,000	A-	3.450% due 2/13/23		334,640
	299,000	A-	4.480% due 1/16/24		318,071
	730,000	A-	4.300% due 7/22/27		758,553
	230,000	A-	5.375% due 11/2/43		249,351
	170,000	A-	5.606% due 1/15/44		188,196
	310,000	A-	4.650% due 11/4/44		303,913
	310,000	A-	4.900% due 11/17/45		314,987
	250,000	A	Wells Fargo Bank NA, Subordinated Notes, 6.000% due 11/15/17		268,377
	100,000	BBB	Wells Fargo Capital X, Limited Guaranteed Notes, 5.950% due 12/15/36		101,000
	480,000	AA-	Westpac Banking Corp., Senior Unsecured Notes, 4.875% due 11/19/19		523,608
			Total Banks		38,101,792

See Notes to Financial Statements.

93

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Beverages — 1.2%
			Anheuser-Busch InBev Finance Inc., Company Guaranteed Notes:
$	305,000	A-	2.650% due 2/1/21	$	310,393
	520,000	A-	3.300% due 2/1/23		534,844
	2,055,000	A-	3.650% due 2/1/26		2,123,797
	90,000	A-	4.700% due 2/1/36		94,533
	2,130,000	A-	4.900% due 2/1/46		2,287,976
			Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes:
	440,000	A-	5.000% due 4/15/20		486,711
	200,000	A-	2.500% due 7/15/22		197,998
	60,000	A-	3.750% due 7/15/42		54,646
	185,000	AA-	Coca-Cola Co. (The), Senior Unsecured Notes, 2.875% due 10/27/25		189,931
	545,000	A-	Coca-Cola Femsa SAB de CV, Company Guaranteed Notes, 4.625% due 2/15/20		585,084
	275,000	BB+	Constellation Brands Inc., Company Guaranteed Notes, 6.000% due 5/1/22		310,750
	213,000	A-	Diageo Capital PLC, Company Guaranteed Notes, 4.828% due 7/15/20		234,907
	200,000	A-	Diageo Investment Corp., Company Guaranteed Notes, 2.875% due 5/11/22		204,769
	275,000	BB-	DS Services of America Inc., Secured Notes, 10.000% due 9/1/21(a)		310,406
	50,000	BBB-	Molson Coors Brewing Co., Company Guaranteed Notes, 3.500% due 5/1/22(e)		51,378
	310,000	A	PepsiCo Inc., Senior Unsecured Notes, 7.900% due 11/1/18		360,812
			Pernod Ricard SA, Senior Unsecured Notes:
	200,000	BBB-	2.950% due 1/15/17(a)		202,044
	390,000	BBB-	4.450% due 1/15/22(a)		414,188
			Total Beverages		8,955,167
	Biotechnology — 0.6%
			Amgen Inc., Senior Unsecured Notes:
	189,000	A	2.125% due 5/1/20		187,886
	70,000	A	3.625% due 5/22/24		72,183
	490,000	A	5.375% due 5/15/43		525,424
	125,000	A	4.400% due 5/1/45		119,866
			Biogen Inc., Senior Unsecured Notes:
	40,000	A-	4.050% due 9/15/25		41,704
	35,000	A-	5.200% due 9/15/45		35,987
			Celgene Corp., Senior Unsecured Notes:
	80,000	BBB+	3.250% due 8/15/22		80,154
	260,000	BBB+	3.550% due 8/15/22		266,381
	540,000	BBB+	3.875% due 8/15/25		557,699
	90,000	BBB+	5.250% due 8/15/43		92,504
	830,000	BBB+	5.000% due 8/15/45		852,690
			Gilead Sciences Inc., Senior Unsecured Notes:
	450,000	A	3.700% due 4/1/24		474,964
	794,000	A	3.650% due 3/1/26		832,212
	85,000	A	4.800% due 4/1/44		89,569
	435,000	A	4.750% due 3/1/46		459,799
			Total Biotechnology		4,689,022
	Capital Markets — 1.2%
			Bank of New York Mellon Corp. (The), Senior Unsecured Notes:
	345,000	A	3.400% due 5/15/24		357,009
	35,000	A	3.000% due 2/24/25		35,129
	450,000	BB	Goldman Sachs Capital II, Limited Guaranteed Notes, 4.000%(b)(d)		320,625
			Goldman Sachs Group Inc. (The):
			Senior Unsecured Notes:
	300,000	BBB+	1.036% due 3/22/16(b)		299,996
	800,000	BBB+	6.250% due 9/1/17		848,877
	225,000	BBB+	2.375% due 1/22/18		226,468

See Notes to Financial Statements.

94

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Capital Markets — 1.2% — (continued)
$	950,000	BBB+	6.150% due 4/1/18	$	1,024,453
	389,000	BBB+	2.900% due 7/19/18		394,474
	34,000	BBB+	2.625% due 1/31/19		34,324
	150,000	BBB+	7.500% due 2/15/19		170,828
	257,000	BBB+	2.550% due 10/23/19		257,667
	1,060,000	BBB+	6.000% due 6/15/20		1,190,786
	40,000	BBB+	5.250% due 7/27/21		44,489
	550,000	BBB+	3.750% due 5/22/25		557,985
	70,000	A3e(c)	3.750% due 2/25/26		70,705
	630,000	BBB+	6.250% due 2/1/41		757,106
	75,000	BBB+	4.800% due 7/8/44		76,099
	650,000	BBB+	4.750% due 10/21/45		663,829
			Subordinated Notes:
	350,000	BBB-	4.250% due 10/21/25		348,898
	700,000	BBB-	6.750% due 10/1/37		802,450
	500,000	BBB-	5.150% due 5/22/45		478,450
	650,000	NR	Lehman Brothers Holdings Inc., Subordinated Notes, 6.750% due 12/28/17(f)(g)		—
			Total Capital Markets		8,960,647
	Chemicals — 0.2%
	100,000	BB	Axiall Corp., Company Guaranteed Notes, 4.875% due 5/15/23		97,375
			CF Industries Inc., Company Guaranteed Notes:
	30,000	BBB-	5.150% due 3/15/34		25,397
	130,000	BBB-	5.375% due 3/15/44		110,772
			Dow Chemical Co. (The), Senior Unsecured Notes:
	70,000	BBB	3.500% due 10/1/24		70,449
	40,000	BBB	4.250% due 10/1/34		36,677
	45,000	BBB	4.375% due 11/15/42		40,777
	240,000	BB	Eagle Spinco Inc., Company Guaranteed Notes, 4.625% due 2/15/21		238,308
	355,000	BBB	Eastman Chemical Co., Senior Unsecured Notes, 3.800% due 3/15/25		344,025
	140,000	BBB+	Ecolab Inc., Senior Unsecured Notes, 4.350% due 12/8/21		152,361
	200,000	BBB	LyondellBasell Industries NV, Senior Unsecured Notes, 6.000% due 11/15/21		222,561
	410,000	BBB-	OCP SA, Senior Unsecured Notes, 4.500% due 10/22/25(a)		383,239
	60,000	A-	Potash Corp. of Saskatchewan Inc., Senior Unsecured Notes, 4.875% due 3/30/20		65,457
	33,000	A-	PPG Industries Inc., Senior Unsecured Notes, 6.650% due 3/15/18		36,015
			Total Chemicals		1,823,413
	Commercial Services & Supplies — 0.2%
	460,000	AAA	Northwestern University, Unsecured Notes, 3.688% due 12/1/38		487,341
	150,000	BBB+	Republic Services Inc., Senior Unsecured Notes, 3.200% due 3/15/25		150,038
	210,000	BB-	United Rentals North America Inc., Company Guaranteed Notes, 5.750% due 11/15/24		205,758
			Waste Management Inc., Company Guaranteed Notes:
	40,000	A-	4.600% due 3/1/21		43,131
	110,000	A-	3.500% due 5/15/24		114,276
	70,000	A-	7.375% due 5/15/29		94,655
	110,000	A-	4.100% due 3/1/45		108,218
	150,000	B+	West Corp., Company Guaranteed Notes, 5.375% due 7/15/22(a)		134,812
			Total Commercial Services & Supplies		1,338,229
	Consumer Finance — 0.5%
			Ford Motor Credit Co. LLC, Senior Unsecured Notes:
	1,000,000	BBB-	1.700% due 5/9/16		1,000,824
	500,000	BBB-	6.625% due 8/15/17		530,260
	225,000	BBB-	1.724% due 12/6/17		222,016
	320,000	BBB-	8.125% due 1/15/20		372,818
	390,000	BBB-	3.200% due 1/15/21		385,447

See Notes to Financial Statements.

95

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Consumer Finance — 0.5% — (continued)
			General Motors Financial Co., Inc., Company Guaranteed Notes:
$	175,000	BBB-	3.250% due 5/15/18	$	175,418
	300,000	BBB-	3.150% due 1/15/20		293,855
	170,000	BBB-	3.450% due 4/10/22		160,582
			Hyundai Capital America, Senior Unsecured Notes:
	100,000	A-	2.125% due 10/2/17(a)		100,104
	75,000	A-	2.400% due 10/30/18(a)		75,241
	230,000	A-	3.000% due 10/30/20(a)		233,464
	410,000	AA-	Toyota Motor Credit Corp., Senior Unsecured Notes, 1.250% due 10/5/17		410,314
			Total Consumer Finance		3,960,343
	Containers & Packaging — 0.0%
	200,000	B+	Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Secured Notes, 3.512% due 12/15/19(a)(b)		195,000
			WestRock RKT Co., Company Guaranteed Notes:
	120,000	BBB	3.500% due 3/1/20		121,776
	20,000	BBB	4.000% due 3/1/23		20,583
			Total Containers & Packaging		337,359
	Diversified Financial Services — 3.8%
			ACE INA Holdings Inc., Company Guaranteed Notes:
	80,000	A	2.300% due 11/3/20		80,516
	100,000	A	3.350% due 5/3/26		102,597
			American Express Co.:
	72,000	BBB+	Senior Unsecured Notes, 2.650% due 12/2/22		70,037
	310,000	BB+	Subordinated Notes, 6.800% due 9/1/66(b)		310,000
			Bear Stearns Cos. LLC (The), Senior Unsecured Notes:
	20,000	A-	6.400% due 10/2/17		21,369
	2,280,000	A-	7.250% due 2/1/18		2,499,407
	600,000	BBB+	Capital One Bank USA NA, Senior Unsecured Notes, 1.200% due 2/13/17		598,116
	1,400,000	AAA	CDP Financial Inc., Company Guaranteed Notes, 4.400% due 11/25/19(a)		1,529,611
			Citigroup Inc.:
	530,000	BB+	Junior Subordinated Notes, 5.950%(b)(d)		498,863
			Senior Unsecured Notes:
	1,200,000	BBB+	1.579% due 7/25/16(b)		1,201,739
	500,000	BBB+	2.500% due 9/26/18		503,494
	104,000	BBB+	8.125% due 7/15/39		148,761
	770,000	BBB+	4.650% due 7/30/45		775,459
			Subordinated Notes:
	410,000	BBB	4.400% due 6/10/25		408,597
	250,000	BBB	5.500% due 9/13/25		268,280
	1,190,000	BBB	4.300% due 11/20/26		1,156,503
	340,000	BBB	4.450% due 9/29/27		335,247
	30,000	BBB	6.625% due 6/15/32		34,593
	280,000	BBB	6.675% due 9/13/43		331,298
	370,000	BBB	5.300% due 5/6/44		368,381
	100,000	A-	Farmers Exchange Capital, Subordinated Notes, 7.200% due 7/15/48(a)		133,095
	1,200,000	A-	Farmers Exchange Capital II, Subordinated Notes, 6.151% due 11/1/53(a)(b)		1,320,972
			GE Capital International Funding Co., Company Guaranteed Notes:
	912,000	AA+	0.964% due 4/15/16(a)		912,180
	607,000	AA+	2.342% due 11/15/20(a)		613,491
	1,460,000	AA+	4.418% due 11/15/35(a)		1,527,627
	430,000	A-	HSBC Finance Corp., Subordinated Notes, 6.676% due 1/15/21		478,925
	270,000	B+	ILFC E-Capital Trust II, Limited Guaranteed Notes, 4.740% due 12/21/65(a)(b)		209,925
	80,000	A	Intercontinental Exchange Inc., Company Guaranteed Notes, 3.750% due 12/1/25		82,943

See Notes to Financial Statements.

96

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Diversified Financial Services — 3.8% — (continued)
			International Lease Finance Corp., Senior Secured Notes:
$	880,000	BBB-	6.750% due 9/1/16(a)	$	896,500
	1,230,000	BBB-	7.125% due 9/1/18(a)		1,340,700
			John Deere Capital Corp., Senior Unsecured Notes:
	130,000	A	2.250% due 4/17/19		131,846
	70,000	A	1.700% due 1/15/20		69,501
			JPMorgan Chase & Co.:
			Senior Unsecured Notes:
	940,000	A-	2.000% due 8/15/17		944,454
	295,000	A-	6.000% due 1/15/18		316,541
	69,000	A-	1.800% due 1/25/18		68,880
	230,000	A-	1.700% due 3/1/18		229,546
	195,000	A-	2.200% due 10/22/19		194,973
	200,000	A-	2.250% due 1/23/20		199,519
	555,000	A-	2.750% due 6/23/20		561,334
	90,000	A-	4.400% due 7/22/20		96,560
			Subordinated Notes:
	630,000	BBB+	6.125% due 6/27/17		663,529
	190,000	BBB+	3.375% due 5/1/23		187,812
	430,000	BBB+	3.875% due 9/10/24		431,310
	489,000	BBB+	4.250% due 10/1/27		498,720
	360,000	BBB+	4.950% due 6/1/45		364,528
	900,000	BBB-	JPMorgan Chase Capital XXIII, Limited Guaranteed Notes, 1.618% due 5/15/47(b)		616,320
	30,000	A	KKR Group Finance Co. II LLC, Company Guaranteed Notes, 5.500% due 2/1/43(a)		30,020
	360,000	BB-	Navient Corp., Senior Unsecured Notes, 8.000% due 3/25/20		356,400
	493,550	BBB-	Pipeline Funding Co. LLC, Senior Secured Notes, 7.500% due 1/15/30(a)		550,488
	100,000	BB	Quicken Loans Inc., Company Guaranteed Notes, 5.750% due 5/1/25(a)		94,000
			State Street Corp.:
	430,000	BBB	Junior Subordinated Notes, 4.956% due 3/15/18		451,744
			Senior Unsecured Notes:
	250,000	A	2.550% due 8/18/20		255,483
	110,000	A	3.300% due 12/16/24		112,931
	277,307	Baa1(c)	SteelRiver Transmission Co. LLC, Senior Secured Notes, 4.710% due 6/30/17(a)		275,567
	25,000	BBB-	Synchrony Financial, Senior Unsecured Notes, 2.700% due 2/3/20		24,523
	550,000	BBB+	UBS Group Funding Jersey Ltd., Company Guaranteed Notes, 4.125% due 9/24/25(a)		548,738
			Visa Inc., Senior Unsecured Notes:
	235,000	A+	2.800% due 12/14/22		242,173
	825,000	A+	3.150% due 12/14/25		857,861
	140,000	A+	4.150% due 12/14/35		148,897
	295,000	A+	4.300% due 12/14/45		317,613
	750,000	A	ZFS Finance USA Trust II, Junior Subordinated Notes, 6.450% due 12/15/65(a)(b)		752,250
			Total Diversified Financial Services		29,353,287
	Diversified Telecommunication Services — 1.6%
			AT&T Inc., Senior Unsecured Notes:
	330,000	BBB+	5.500% due 2/1/18		351,881
	54,000	BBB+	2.375% due 11/27/18		54,617
	10,000	BBB+	5.800% due 2/15/19		11,041
	53,000	BBB+	2.300% due 3/11/19		53,361
	265,000	BBB+	2.450% due 6/30/20		263,603
	365,000	BBB+	3.000% due 6/30/22		362,235
	1,230,000	BBB+	3.400% due 5/15/25		1,210,608
	245,000	BBB+	4.500% due 5/15/35		225,593
	5,000	BBB+	5.350% due 9/1/40		4,884
	150,000	BBB+	5.550% due 8/15/41		147,837

See Notes to Financial Statements.

97

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Diversified Telecommunication Services — 1.6% — (continued)
$	70,000	BBB+	4.300% due 12/15/42	$	60,034
	110,000	BBB+	4.800% due 6/15/44		101,086
	195,000	BBB+	4.350% due 6/15/45		166,702
	650,000	BBB+	4.750% due 5/15/46		595,601
	164,000	BBB	CC Holdings GS V LLC/Crown Castle GS III Corp., Senior Secured Notes, 3.849% due 4/15/23		165,476
	220,000	BBB+	Deutsche Telekom International Finance BV, Company Guaranteed Notes, 5.750% due 3/23/16		219,985
			Intelsat Jackson Holdings SA, Company Guaranteed Notes:
	80,000	B+	7.500% due 4/1/21		56,000
	370,000	B+	5.500% due 8/1/23		242,350
			Verizon Communications Inc., Senior Unsecured Notes:
	120,000	BBB+	3.450% due 3/15/21		124,867
	900,000	BBB+	3.000% due 11/1/21		915,289
	1,112,000	BBB+	5.150% due 9/15/23		1,260,888
	284,000	BBB+	6.400% due 9/15/33		331,842
	470,000	BBB+	4.400% due 11/1/34		442,879
	200,000	BBB+	4.272% due 1/15/36		185,266
	3,028,000	BBB+	6.550% due 9/15/43		3,704,936
	65,000	BBB+	4.862% due 8/21/46		63,753
	75,000	BBB+	5.012% due 8/21/54		69,939
	520,000	B	Virgin Media Finance PLC, Company Guaranteed Notes, 6.000% due 10/15/24(a)		523,250
			Total Diversified Telecommunication Services		11,915,803
	Electric Utilities — 1.8%
			Berkshire Hathaway Energy Co., Senior Unsecured Notes:
	250,000	A-	5.950% due 5/15/37		294,174
	275,000	A-	6.500% due 9/15/37		344,050
	200,000	BB	Calpine Corp., Senior Secured Notes, 5.875% due 1/15/24(a)		204,500
	215,000	BBB+	Cleveland Electric Illuminating Co. (The), Senior Secured Notes, 7.880% due 11/1/17		234,758
	140,000	BBB	CMS Energy Corp., Senior Unsecured Notes, 4.875% due 3/1/44		146,934
	170,000	A	DTE Electric Co., General Refinance Mortgage, 3.700% due 3/15/45		165,590
	500,000	A	Duke Energy Carolinas LLC, 1st Mortgage Notes, 4.250% due 12/15/41		522,358
	310,000	BBB+	Duke Energy Corp., Senior Unsecured Notes, 3.550% due 9/15/21		322,530
	195,000	A	Duke Energy Florida LLC, 1st Mortgage Notes, 5.900% due 3/1/33		234,485
	750,000	BBB-	Duquesne Light Holdings Inc., Senior Unsecured Notes, 6.400% due 9/15/20(a)		857,045
	920,000	A-	Entergy Texas Inc., 1st Mortgage Notes, 7.125% due 2/1/19		1,043,832
			Exelon Corp., Senior Unsecured Notes:
	755,000	BBB-	1.550% due 6/9/17		751,574
	175,000	BBB-	2.850% due 6/15/20		176,642
	105,000	BBB-	5.625% due 6/15/35		114,608
			FirstEnergy Corp., Senior Unsecured Notes:
	100,000	BB+	2.750% due 3/15/18		101,066
	1,130,000	BB+	7.375% due 11/15/31		1,407,534
			Florida Power & Light Co., 1st Mortgage Notes:
	55,000	A	4.950% due 6/1/35		63,052
	275,000	A	5.950% due 2/1/38		355,234
	211,539	BBB-	Indiantown Cogeneration LP, 1st Mortgage Notes, 9.770% due 12/15/20(g)		239,039
	350,000	BB+	IPALCO Enterprises Inc., Senior Secured Notes, 5.000% due 5/1/18		366,625
	700,000	BBB-	Jersey Central Power & Light Co., Senior Unsecured Notes, 4.700% due 4/1/24(a)		747,008
	775,000	BBB+	KCP&L Greater Missouri Operations Co., Senior Unsecured Notes, 8.270% due 11/15/21.		975,915
	400,000	A+	MidAmerican Energy Co., 1st Mortgage Notes, 4.250% due 5/1/46		418,270
	487,147	CCC+	Miran Mid Atlantic Series C Pass Through Trust, Pass Thru Certificates, 10.060% due 12/30/28		475,577
	880,000	BBB	Pacific Gas & Electric Co., Senior Unsecured Notes, 6.050% due 3/1/34		1,082,943

See Notes to Financial Statements.

98

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Electric Utilities — 1.8% — (continued)
$	235,000	A+	PacifiCorp, 1st Mortgage Notes, 4.100% due 2/1/42	$	239,542
	500,000	BBB+	Public Service Co. of New Mexico, Senior Unsecured Notes, 7.950% due 5/15/18		561,608
	500,000	A	Public Service Electric & Gas Co., 1st Mortgage Notes, 4.000% due 6/1/44		514,173
	200,000	A	Texas-New Mexico Power Co., 1st Mortgage Notes, 6.950% due 4/1/43(a)		271,217
			Virginia Electric & Power Co., Senior Unsecured Notes:
	125,000	BBB+	6.000% due 5/15/37		156,374
	25,000	BBB+	6.350% due 11/30/37		32,693
	250,000	BBB+	4.000% due 1/15/43		247,290
			Total Electric Utilities		13,668,240
	Electrical Equipment — 0.0%
	30,000	A	ABB Finance USA Inc., Company Guaranteed Notes, 4.375% due 5/8/42		31,598
	Electronic Equipment, Instruments & Components — 0.0%
	303,000	BBB-	Jabil Circuit Inc., Senior Unsecured Notes, 8.250% due 3/15/18		329,134
	Energy Equipment & Services — 0.2%
	600,000	BB+	Boardwalk Pipelines LP, Company Guaranteed Notes, 4.950% due 12/15/24		514,457
	400,000	A+	Sinopec Group Overseas Development 2014 Ltd., Company Guaranteed Notes, 4.375% due 4/10/24(a)		424,424
			Williams Partners LP, Senior Unsecured Notes:
	540,000	BBB-	3.600% due 3/15/22		424,566
	60,000	BBB-	4.500% due 11/15/23		46,121
	40,000	BBB-	4.300% due 3/4/24		31,312
			Williams Partners LP/ACMP Finance Corp., Senior Unsecured Notes:
	180,000	BBB-	6.125% due 7/15/22		158,658
	30,000	BBB-	4.875% due 3/15/24		23,995
			Total Energy Equipment & Services		1,623,533
	Food & Staples Retailing — 0.4%
			CVS Health Corp., Senior Unsecured Notes:
	550,000	BBB+	1.900% due 7/20/18		552,137
	269,000	BBB+	2.800% due 7/20/20		275,722
	420,000	BBB+	2.750% due 12/1/22		418,884
	305,000	BBB+	3.875% due 7/20/25		326,850
	320,000	BBB+	4.875% due 7/20/35		344,835
	50,000	BBB+	5.300% due 12/5/43		56,915
	560,000	BBB+	5.125% due 7/20/45		630,757
	255,803	BBB+	CVS Pass-Through Trust, Pass Thru Certificates, 6.036% due 12/10/28		286,559
	90,000	BBB	Kroger Co. (The), Company Guaranteed Notes, 6.900% due 4/15/38		115,701
			Total Food & Staples Retailing		3,008,360
	Food Products — 0.3%
			Kraft Heinz Foods Co.:
			Company Guaranteed Notes:
	900,000	BBB-	1.600% due 6/30/17(a)		899,324
	150,000	BBB-	3.950% due 7/15/25(a)		157,486
	140,000	BBB-	5.000% due 7/15/35(a)		146,385
	90,000	BBB-	5.200% due 7/15/45(a)		97,266
	156,000	BBB-	Secured Notes, 4.875% due 2/15/25(a)		170,840
	270,000	BBB	Mondelez International Inc., Senior Unsecured Notes, 4.000% due 2/1/24		282,074
	40,000	BBB	Tyson Foods Inc., Company Guaranteed Notes, 5.150% due 8/15/44		42,885
			WM Wrigley Jr Co., Senior Unsecured Notes:
	50,000	A-	2.400% due 10/21/18(a)		50,331
	180,000	A-	2.900% due 10/21/19(a)		182,701
			Total Food Products		2,029,292

See Notes to Financial Statements.

99

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Health Care Equipment & Supplies — 0.3%
$	400,000	AA-	Baylor Scott & White Holdings, Unsecured Notes, 4.185% due 11/15/45	$	405,570
			Becton Dickinson & Co., Senior Unsecured Notes:
	180,000	BBB+	3.734% due 12/15/24		186,245
	60,000	BBB+	4.685% due 12/15/44		62,153
	65,000	BBB-	Boston Scientific Corp., Senior Unsecured Notes, 3.850% due 5/15/25		65,255
			Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Company Guaranteed
			Notes:
	80,000	BB-	4.875% due 4/15/20(a)		79,600
	10,000	BB-	5.625% due 10/15/23(a)		9,875
			Medtronic Inc., Company Guaranteed Notes:
	100,000	A	4.450% due 3/15/20		109,084
	165,000	A	3.625% due 3/15/24		173,880
	1,025,000	A	3.500% due 3/15/25		1,077,468
	100,000	A	5.550% due 3/15/40		119,266
	80,000	A	4.625% due 3/15/45		85,362
	330,000	BBB	Zimmer Biomet Holdings Inc., Senior Unsecured Notes, 4.450% due 8/15/45		304,616
			Total Health Care Equipment & Supplies		2,678,374
	Health Care Providers & Services — 0.8%
	165,000	A	Aetna Inc., Senior Unsecured Notes, 4.125% due 11/15/42		153,882
			Anthem Inc., Senior Unsecured Notes:
	30,000	A	5.875% due 6/15/17		31,512
	510,000	A	3.125% due 5/15/22		502,719
	530,000	A	3.300% due 1/15/23		522,295
	60,000	A	4.650% due 8/15/44		56,754
	30,000	A	Catholic Health Initiatives, Secured Notes, 4.350% due 11/1/42		29,329
	145,000	BB	CHS/Community Health Systems Inc., Senior Secured Notes, 5.125% due 8/15/18		146,269
			DaVita HealthCare Partners Inc., Company Guaranteed Notes:
	20,000	B+	5.125% due 7/15/24		20,388
	60,000	B+	5.000% due 5/1/25		60,000
	20,000	BB+	Fresenius Medical Care US Finance Inc., Company Guaranteed Notes, 5.750% due 2/15/21(a)		21,700
			HCA Inc.:
			Company Guaranteed Notes:
	210,000	B+	7.500% due 2/15/22		238,308
	60,000	B+	5.375% due 2/1/25		61,200
			Senior Secured Notes:
	10,000	BBB-	4.250% due 10/15/19		10,312
	550,000	BBB-	6.500% due 2/15/20		610,610
	180,000	BBB-	5.250% due 4/15/25		185,850
			Humana Inc., Senior Unsecured Notes:
	60,000	BBB+	3.150% due 12/1/22		59,701
	70,000	BBB+	4.625% due 12/1/42		66,998
	1,000,000	AA-	Providence Health & Services Obligated Group, Unsecured Notes, 1.562% due 10/1/17(b)		997,235
			Tenet Healthcare Corp.:
	300,000	BB-	Senior Secured Notes, 4.012% due 6/15/20(a)(b)		297,000
			Senior Unsecured Notes:
	60,000	CCC+	8.125% due 4/1/22		59,287
	80,000	CCC+	6.750% due 6/15/23		72,900
			UnitedHealth Group Inc., Senior Unsecured Notes:
	570,000	A+	3.375% due 11/15/21		604,801
	160,000	A+	3.350% due 7/15/22		167,407
	455,000	A+	3.750% due 7/15/25		484,651
	95,000	A+	4.625% due 7/15/35		102,180
	205,000	A+	4.250% due 3/15/43		205,433
	110,000	A+	4.750% due 7/15/45		120,580
			Total Health Care Providers & Services		5,889,301

See Notes to Financial Statements.

100

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Hotels, Restaurants & Leisure — 0.2%
$	130,000	B-	1011778 BC ULC/New Red Finance Inc., Secured Notes, 6.000% due 4/1/22(a)	$	135,850
	300,000	BB	Churchill Downs Inc., Company Guaranteed Notes, 5.375% due 12/15/21		309,750
	390,000	BB	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Company Guaranteed
			Notes, 5.625% due 10/15/21		406,575
			McDonald’s Corp., Senior Unsecured Notes:
	210,000	BBB+	3.700% due 1/30/26		219,082
	130,000	BBB+	4.600% due 5/26/45		131,179
			Total Hotels, Restaurants & Leisure		1,202,436
	Household Durables — 0.0%
			Taylor Morrison Communities Inc./Monarch Communities Inc., Company Guaranteed
	150,000	BB-	Notes, 5.250% due 4/15/21(a)		140,250
	Household Products — 0.1%
	245,000	A	Kimberly-Clark Corp., Senior Unsecured Notes, 2.650% due 3/1/25		247,021
	200,000	B+	Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Senior
			Secured Notes, 7.875% due 8/15/19		208,750
			Total Household Products		455,771
	Independent Power and Renewable Electricity Producers — 0.0%
			AES Corp., Senior Unsecured Notes:
	60,000	BB-	7.375% due 7/1/21		62,850
	90,000	BB-	4.875% due 5/15/23		81,450
			Total Independent Power and Renewable Electricity Producers		144,300
	Industrial Conglomerates — 0.5%
			Eaton Corp., Company Guaranteed Notes:
	80,000	A-	1.500% due 11/2/17		79,675
	608,000	A-	2.750% due 11/2/22		597,850
	310,000	A-	4.150% due 11/2/42		296,618
			General Electric Co.:
			Senior Unsecured Notes:
	90,000	AA+	5.550% due 5/4/20		103,049
	72,000	AA+	4.650% due 10/17/21		81,621
	530,000	AA+	2.700% due 10/9/22		548,564
	1,025,000	AA+	1.098% due 8/15/36(b)		881,848
	122,000	AA+	6.150% due 8/7/37		157,848
	328,000	AA+	6.875% due 1/10/39		460,542
	220,000	AA+	4.500% due 3/11/44		236,247
			Subordinated Notes:
	141,000	AA	5.300% due 2/11/21		159,582
			Total Industrial Conglomerates		3,603,444
	Insurance — 0.7%
			American International Group Inc., Senior Unsecured Notes:
	330,000	A-	4.875% due 6/1/22		352,476
	195,000	A-	4.375% due 1/15/55		159,031
	400,000	AA	Berkshire Hathaway Finance Corp., Company Guaranteed Notes, 4.400% due 5/15/42		399,083
	44,000	BBB+	Hartford Financial Services Group Inc. (The), Senior Unsecured Notes, 4.300% due 4/15/43		40,480
	605,000	AA	Jackson National Life Global Funding, Senior Secured Notes, 1.875% due 10/15/18(a)		604,305
	250,000	A+	Loews Corp., Senior Unsecured Notes, 4.125% due 5/15/43		229,617
			MetLife Inc.:
	870,000	BBB	Junior Subordinated Notes, 6.400% due 12/15/36		853,000
	320,000	A-	Senior Unsecured Notes, 4.050% due 3/1/45		289,860
	850,000	A-	Nationwide Mutual Insurance Co., Subordinated Notes, 2.802% due 12/15/24(a)(b)		828,300
	390,000	A	Prudential Financial Inc., Senior Unsecured Notes, 7.375% due 6/15/19		450,014
	595,000	A	Reliance Standard Life Global Funding II, Secured Notes, 2.150% due 10/15/18(a)		589,784

See Notes to Financial Statements.

101

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Insurance — 0.7% — (continued)
$	230,000	AA-	Swiss Re Treasury US Corp., Company Guaranteed Notes, 2.875% due 12/6/22(a)	$	228,566
			Teachers Insurance & Annuity Association of America, Subordinated Notes:
	290,000	AA-	6.850% due 12/16/39(a)		365,192
	300,000	AA-	4.900% due 9/15/44(a)		305,700
	50,000	BBB	Voya Financial Inc., Company Guaranteed Notes, 2.900% due 2/15/18		50,468
			Total Insurance		5,745,876
	Internet & Catalog Retail — 0.1%
	250,000	AA-	Amazon.com Inc., Senior Unsecured Notes, 4.950% due 12/5/44		277,552
	590,000	B+	Netflix Inc., Senior Unsecured Notes, 5.500% due 2/15/22		622,450
			Total Internet & Catalog Retail		900,002
	Life Sciences Tools & Services — 0.0%
			Thermo Fisher Scientific Inc., Senior Unsecured Notes:
	235,000	BBB	3.600% due 8/15/21		240,681
	20,000	BBB	5.300% due 2/1/44		21,617
			Total Life Sciences Tools & Services		262,298
	Machinery — 0.0%
	280,000	BBB-	AGCO Corp., Senior Unsecured Notes, 5.875% due 12/1/21		307,989
	Media — 1.5%
			21st Century Fox America Inc., Company Guaranteed Notes:
	30,000	BBB+	4.500% due 2/15/21		32,714
	125,000	BBB+	8.500% due 2/23/25		165,940
	415,000	BBB+	3.700% due 10/15/25		418,278
	25,000	BBB+	6.200% due 12/15/34		27,922
	10,000	BBB+	6.900% due 8/15/39		11,285
	200,000	BB-	Altice Financing SA, Senior Secured Notes, 6.625% due 2/15/23(a)		198,000
			CCO Holdings LLC/CCO Holdings Capital Corp., Company Guaranteed Notes:
	54,000	BB-	7.000% due 1/15/19		55,205
	555,000	BB-	5.125% due 5/1/23(a)		552,225
			CCO Safari II LLC, Senior Secured Notes:
	705,000	BBB-	3.579% due 7/23/20(a)		706,963
	125,000	BBB-	4.464% due 7/23/22(a)		127,059
	410,000	BBB-	4.908% due 7/23/25(a)		421,237
	240,000	BBB-	6.384% due 10/23/35(a)		251,236
	815,000	BBB-	6.484% due 10/23/45(a)		861,661
	200,000	A-	Comcast Cable Communications Holdings Inc., Company Guaranteed Notes, 9.455% due 11/15/22		279,874
			Comcast Corp., Company Guaranteed Notes:
	30,000	A-	5.875% due 2/15/18		32,541
	540,000	A-	5.700% due 5/15/18		589,350
	102,000	A-	4.200% due 8/15/34		104,228
	80,000	A-	6.500% due 11/15/35		100,902
	40,000	A-	6.450% due 3/15/37		50,672
	50,000	A-	6.950% due 8/15/37		66,678
	90,000	A-	6.550% due 7/1/39		116,517
	185,000	A-	4.650% due 7/15/42		196,615
			Cox Communications Inc., Senior Unsecured Notes:
	72,000	BBB	8.375% due 3/1/39(a)		78,784
	10,000	BBB	4.700% due 12/15/42(a)		7,695
	98,000	BBB	DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Company Guaranteed Notes, 4.600% due 2/15/21		105,784
			Discovery Communications LLC, Company Guaranteed Notes:
	3,000	BBB-	5.050% due 6/1/20		3,143

See Notes to Financial Statements.

102

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Media — 1.5% — (continued)
$	40,000	BBB-	3.450% due 3/15/25	$	36,060
	144,000	BBB-	4.875% due 4/1/43		115,666
			DISH DBS Corp., Company Guaranteed Notes:
	20,000	BB-	5.125% due 5/1/20		19,850
	230,000	BB-	6.750% due 6/1/21		234,887
	60,000	BB-	5.875% due 7/15/22		57,600
	150,000	BB-	5.875% due 11/15/24		135,345
	900,000	A-	NBCUniversal Enterprise Inc., Company Guaranteed Notes, 1.159% due 4/15/16(a)(b)		904,554
	321,000	A-	NBCUniversal Media LLC, Company Guaranteed Notes, 4.450% due 1/15/43		321,640
	305,000	BB-	Neptune Finco Corp., Senior Unsecured Notes, 6.625% due 10/15/25(a)		322,537
			Numericable-SFR SA, Senior Secured Notes:
	200,000	B+	6.000% due 5/15/22(a)		199,000
	380,000	B+	6.250% due 5/15/24(a)		372,400
	593,000	BBB	Scripps Networks Interactive Inc., Senior Unsecured Notes, 2.700% due 12/15/16		597,586
	200,000	BBB	Sky PLC, Company Guaranteed Notes, 3.750% due 9/16/24(a)		198,061
			Time Warner Cable Inc., Company Guaranteed Notes:
	510,000	BBB	8.250% due 4/1/19		583,470
	200,000	BBB	5.000% due 2/1/20		212,478
	140,000	BBB	4.125% due 2/15/21		144,282
	90,000	BBB	7.300% due 7/1/38		95,226
	60,000	BBB	5.875% due 11/15/40		55,989
	240,000	BBB	5.500% due 9/1/41		214,313
	80,000	BBB	Time Warner Entertainment Co. LP, Company Guaranteed Notes, 8.375% due 7/15/33		95,132
			Time Warner Inc., Company Guaranteed Notes:
	100,000	BBB	4.700% due 1/15/21		107,850
	110,000	BBB	4.750% due 3/29/21		118,737
	370,000	BBB	7.700% due 5/1/32		445,040
	30,000	BBB	6.250% due 3/29/41		32,239
	100,000	B+	Univision Communications Inc., Senior Secured Notes, 6.750% due 9/15/22(a)		106,620
			Viacom Inc., Senior Unsecured Notes:
	50,000	BBB-	4.250% due 9/1/23		48,934
	10,000	BBB-	3.875% due 4/1/24		9,376
			Total Media		11,347,380
	Metals & Mining — 0.4%
			ArcelorMittal, Senior Unsecured Notes:
	70,000	BB	6.500% due 3/1/21		63,350
	170,000	BB	6.125% due 6/1/25		138,550
	90,000	BB	8.000% due 10/15/39		71,235
	178,000	BBB-	Barrick Gold Corp., Senior Unsecured Notes, 4.100% due 5/1/23		166,425
	200,000	BBB-	Barrick North America Finance LLC, Company Guaranteed Notes, 4.400% due 5/30/21		196,341
			BHP Billiton Finance USA Ltd., Company Guaranteed Notes:
	370,000	A	6.500% due 4/1/19		406,366
	190,000	A	5.000% due 9/30/43		185,449
	310,000	BBB+	6.750% due 10/19/75(a)(b)		299,925
	120,000	BB+	FMG Resources August 2006 Pty Ltd., Senior Secured Notes, 9.750% due 3/1/22(a)		113,400
	40,000	BB	Freeport-McMoRan Inc., Company Guaranteed Notes, 4.000% due 11/14/21		27,400
	330,000	BBB-	Glencore Finance Canada Ltd., Company Guaranteed Notes, 2.700% due 10/25/17(a)		318,576
	390,000	A-	Rio Tinto Finance USA Ltd., Company Guaranteed Notes, 9.000% due 5/1/19		452,510
	660,000	BBB	Southern Copper Corp., Senior Unsecured Notes, 5.250% due 11/8/42		496,226
			Vale Overseas Ltd., Company Guaranteed Notes:
	72,000	BBB-	4.375% due 1/11/22		55,800
	260,000	BBB-	6.875% due 11/21/36		179,010
			Total Metals & Mining		3,170,563

See Notes to Financial Statements.

103

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Oil, Gas & Consumable Fuels — 2.7%
$	140,000	BBB	Anadarko Finance Co., Company Guaranteed Notes, 7.500% due 5/1/31	$	125,736
			Anadarko Petroleum Corp., Senior Unsecured Notes:
	308,000	BBB	5.950% due 9/15/16		309,563
	827,000	BBB	6.375% due 9/15/17		839,721
	200,000	BBB	3.450% due 7/15/24(e)		162,380
	170,000	BBB	6.450% due 9/15/36		141,491
	150,000	BBB	4.500% due 7/15/44		103,135
			Apache Corp., Senior Unsecured Notes:
	330,000	BBB	5.100% due 9/1/40		242,699
	78,000	BBB	4.750% due 4/15/43		59,840
	90,000	BB	Atwood Oceanics Inc., Senior Unsecured Notes, 6.500% due 2/1/20		38,250
			BP Capital Markets PLC, Company Guaranteed Notes:
	160,000	A-	3.245% due 5/6/22		157,873
	630,000	A-	3.506% due 3/17/25		613,516
	160,000	CCC+	California Resources Corp., Company Guaranteed Notes, 5.500% due 9/15/21		22,400
	300,000	CC	Chesapeake Energy Corp., Company Guaranteed Notes, 6.875% due 11/15/20		66,000
			Concho Resources Inc., Company Guaranteed Notes:
	90,000	BB+	6.500% due 1/15/22		86,850
	50,000	BB+	5.500% due 10/1/22		46,594
	230,000	A	ConocoPhillips, Company Guaranteed Notes, 6.000% due 1/15/20		241,985
			Continental Resources Inc., Company Guaranteed Notes:
	60,000	BB+	4.500% due 4/15/23		42,976
	295,000	BB+	4.900% due 6/1/44		181,389
			Devon Energy Corp., Senior Unsecured Notes:
	214,000	BBB	3.250% due 5/15/22(e)		165,063
	210,000	BBB	5.850% due 12/15/25(e)		183,020
	240,000	BBB	5.600% due 7/15/41		164,190
	29,000	BBB	5.000% due 6/15/45		19,124
			Ecopetrol SA, Senior Unsecured Notes:
	95,000	BBB	4.125% due 1/16/25		73,103
	380,000	BBB	5.375% due 6/26/26		309,225
	220,000	BBB	5.875% due 5/28/45		154,550
	430,000	BBB-	El Paso Natural Gas Co. LLC, Company Guaranteed Notes, 8.625% due 1/15/22		459,515
			Energy Transfer Partners LP, Senior Unsecured Notes:
	10,000	BBB-	4.900% due 2/1/24		8,759
	497,000	BBB-	4.050% due 3/15/25		412,583
	103,000	BBB-	4.750% due 1/15/26		88,561
	500,000	BBB-	8.250% due 11/15/29		517,851
	200,000	BBB-	4.900% due 3/15/35		145,570
	293,000	BBB-	6.500% due 2/1/42		237,459
	110,000	BBB	Ensco PLC, Senior Unsecured Notes, 4.700% due 3/15/21		59,094
			Enterprise Products Operating LLC, Company Guaranteed Notes:
	160,000	BBB+	6.300% due 9/15/17		168,057
	295,000	BBB+	3.900% due 2/15/24		279,622
	190,000	BBB+	3.750% due 2/15/25		180,498
	150,000	BBB+	3.700% due 2/15/26		140,675
	290,000	BBB+	5.100% due 2/15/45		258,542
	30,000	BBB+	4.900% due 5/15/46		26,540
	365,000	BBB+	EOG Resources Inc., Senior Unsecured Notes, 2.450% due 4/1/20		348,945
	140,000	CCC+	EP Energy LLC/Everest Acquisition Finance Inc., Company Guaranteed Notes, 6.375% due 6/15/23		38,500
			Exxon Mobile Corp., Senior Unsecured Notes:
	240,000	AAA	3.043% due 3/1/26		240,200
	70,000	AAA	4.114% due 3/1/46		71,095

See Notes to Financial Statements.

104

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Oil, Gas & Consumable Fuels — 2.7% — (continued)
$	298,000	BB	Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas Inc., Company Guaranteed Notes, 6.125% due 6/15/19	$	237,655
			Halliburton Co., Senior Unsecured Notes:
	90,000	A	2.700% due 11/15/20		88,412
	270,000	A	3.800% due 11/15/25		255,997
	10,000	BBB-	Hess Corp., Senior Unsecured Notes, 7.300% due 8/15/31		8,719
			Kerr-McGee Corp., Company Guaranteed Notes:
	200,000	BBB	6.950% due 7/1/24		189,847
	75,000	BBB	7.875% due 9/15/31		68,022
			Kinder Morgan Energy Partners LP, Company Guaranteed Notes:
	170,000	BBB-	6.850% due 2/15/20		174,938
	460,000	BBB-	6.500% due 4/1/20		464,633
	190,000	BBB-	3.500% due 3/1/21		171,527
	50,000	BBB-	4.300% due 5/1/24		44,183
	115,000	BBB-	5.400% due 9/1/44		90,294
	80,000	BBB	Marathon Petroleum Corp., Senior Unsecured Notes, 4.750% due 9/15/44		52,058
			MPLX LP, Company Guaranteed Notes:
	140,000	BBB-	5.500% due 2/15/23(a)		125,125
	90,000	BBB-	4.875% due 12/1/24(a)		73,651
	210,000	BBB-	4.875% due 6/1/25(a)		171,609
			Noble Energy Inc., Senior Unsecured Notes:
	70,000	BBB	4.150% due 12/15/21		61,057
	160,000	BBB	3.900% due 11/15/24		134,868
	265,000	BBB	5.250% due 11/15/43		196,189
			Occidental Petroleum Corp., Senior Unsecured Notes:
	120,000	A	3.125% due 2/15/22		118,855
	110,000	A	4.625% due 6/15/45		105,760
	1,000,000	BBB-	Panhandle Eastern Pipe Line Co. LP, Senior Unsecured Notes, 8.125% due 6/1/19		1,008,010
	1,800,000	B+	Petrobras Global Finance BV, Company Guaranteed Notes, 5.375% due 1/27/21		1,354,500
			Petroleos Mexicanos, Company Guaranteed Notes:
	400,000	BBB+	6.000% due 3/5/20		412,400
	920,000	BBB+	3.500% due 1/30/23		798,560
	117,000	BBB+	6.875% due 8/4/26(a)		121,446
	29,000	BBB+	6.625% due 6/15/35		26,347
	220,000	BBB+	6.500% due 6/2/41		193,336
	280,000	BBB+	6.375% due 1/23/45		244,286
	285,000	BBB+	Phillips 66, Company Guaranteed Notes, 4.875% due 11/15/44		257,440
	23,000	BBB-	Pioneer Natural Resources Co., Senior Unsecured Notes, 4.450% due 1/15/26		22,253
			Plains All American Pipeline LP/PAA Finance Corp., Senior Unsecured Notes:
	90,000	BBB	3.650% due 6/1/22		74,228
	165,000	BBB	4.650% due 10/15/25		139,018
	40,000	BBB	Pride International Inc., Company Guaranteed Notes, 6.875% due 8/15/20		23,450
			QEP Resources Inc., Senior Unsecured Notes:
	140,000	BB+	6.875% due 3/1/21		101,500
	50,000	BB+	5.250% due 5/1/23		35,250
			Range Resources Corp., Company Guaranteed Notes:
	260,000	BB+	5.000% due 3/15/23		218,400
	50,000	BB+	4.875% due 5/15/25(a)		43,438
	140,000	NR	Samson Investment Co., Company Guaranteed Notes, 9.750% due 2/15/20 (h)		385
			Schlumberger Holdings Corp., Senior Unsecured Notes:
	210,000	AA-	3.000% due 12/21/20(a)		206,444
	150,000	AA-	4.000% due 12/21/25(a)		149,096
	330,000	AA-	Schlumberger Investment SA, Company Guaranteed Notes, 3.300% due 9/14/21(a)		334,152
	20,000	AA-	Schlumberger Norge AS, Company Guaranteed Notes, 4.200% due 1/15/21(a)		20,916
	80,000	BBB-	SESI LLC, Company Guaranteed Notes, 7.125% due 12/15/21		49,300

See Notes to Financial Statements.

105

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Oil, Gas & Consumable Fuels — 2.7% — (continued)
			Shell International Finance BV, Company Guaranteed Notes:
$	230,000	A+	4.375% due 3/25/20	$	243,721
	130,000	A+	4.125% due 5/11/35		120,685
	104,000	A+	4.550% due 8/12/43		99,469
	780,000	A+	4.375% due 5/11/45		725,104
			Southern Natural Gas Co. LLC, Company Guaranteed Notes:
	40,000	BBB-	5.900% due 4/1/17(a)		40,468
	58,000	BBB-	8.000% due 3/1/32		54,625
	575,000	A+	Statoil ASA, Company Guaranteed Notes, 1.200% due 1/17/18		569,221
			Sunoco Logistics Partners Operations LP, Company Guaranteed Notes:
	80,000	BBB	3.450% due 1/15/23		65,607
	25,000	BBB	5.300% due 4/1/44		18,514
	55,000	BBB	5.350% due 5/15/45		40,945
	800,000	BBB	Texas Eastern Transmission LP, Senior Unsecured Notes, 2.800% due 10/15/22(a)		708,101
	250,000	BBB-	Transcontinental Gas Pipe Line Co. LLC, Senior Unsecured Notes, 7.850% due 2/1/26(a)		266,535
	3,000	BB+	Transocean Inc., Company Guaranteed Notes, 5.800% due 12/15/16		2,981
			Whiting Petroleum Corp., Company Guaranteed Notes:
	30,000	B	5.000% due 3/15/19		15,000
	110,000	B	6.250% due 4/1/23		50,875
			Williams Cos., Inc. (The), Senior Unsecured Notes:
	343,000	BB	7.875% due 9/1/21		296,695
	166,000	BB	8.750% due 3/15/32		136,950
			Total Oil, Gas & Consumable Fuels		20,355,789
	Paper & Forest Products — 0.1%
	340,000	BBB-	Celulosa Arauco y Constitucion SA, Senior Unsecured Notes, 4.750% due 1/11/22		349,700
			International Paper Co., Senior Unsecured Notes:
	249,000	BBB	3.650% due 6/15/24		243,313
	33,000	BBB	4.800% due 6/15/44		28,381
			Total Paper & Forest Products		621,394
	Pharmaceuticals — 1.0%
			AbbVie Inc., Senior Unsecured Notes:
	250,000	A	1.750% due 11/6/17		249,906
	1,000,000	A	1.800% due 5/14/18		997,717
	460,000	A	2.900% due 11/6/22		457,137
	120,000	A	3.600% due 5/14/25		122,743
	205,000	A	4.500% due 5/14/35		204,768
	130,000	A	4.400% due 11/6/42		125,039
			Actavis Funding SCS, Company Guaranteed Notes:
	255,000	BBB-	1.850% due 3/1/17		255,713
	200,000	BBB-	2.350% due 3/12/18		201,327
	455,000	BBB-	3.000% due 3/12/20		463,577
	120,000	BBB-	3.450% due 3/15/22		122,540
	984,000	BBB-	3.800% due 3/15/25		1,014,860
	70,000	BBB-	4.550% due 3/15/35		70,641
	694,000	BBB-	4.750% due 3/15/45		712,543
	130,000	BBB	Baxalta Inc., Senior Unsecured Notes, 5.250% due 6/23/45(a)		124,701
	340,000	A+	GlaxoSmithKline Capital PLC, Company Guaranteed Notes, 2.850% due 5/8/22		350,534
			Johnson & Johnson, Senior Unsecured Notes:
	30,000	Aaae(c)	3.550% due 3/1/36		30,104
	25,000	Aaae(c)	3.700% due 3/1/46		25,112
			Merck & Co., Inc., Senior Unsecured Notes:
	130,000	AA	2.750% due 2/10/25		130,875
	300,000	AA	3.700% due 2/10/45		287,028

See Notes to Financial Statements.

106

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Pharmaceuticals — 1.0% — (continued)
$	45,000	BBB-	Mylan Inc., Company Guaranteed Notes, 5.400% due 11/29/43	$	39,934
	350,000	AA-	Novartis Capital Corp., Company Guaranteed Notes, 4.000% due 11/20/45		360,245
			Pfizer Inc., Senior Unsecured Notes:
	160,000	AA	3.400% due 5/15/24		168,051
	130,000	AA	7.200% due 3/15/39		181,412
	40,000	AA	4.300% due 6/15/43		41,474
	30,000	AA	4.400% due 5/15/44		31,854
	125,000	BBB+	Teva Pharmaceutical Finance Co. BV, Company Guaranteed Notes, 2.950% due 12/18/22		121,462
			Valeant Pharmaceuticals International Inc., Company Guaranteed Notes:
	350,000	B-	5.500% due 3/1/23(a)		293,125
	450,000	B-	6.125% due 4/15/25(a)		378,844
	200,000	AA	Wyeth LLC, Company Guaranteed Notes, 5.950% due 4/1/37		246,320
			Total Pharmaceuticals		7,809,586
	Real Estate Investment Trusts (REITs) — 0.9%
			American Tower Corp., Senior Unsecured Notes:
	141,000	BBB-	3.300% due 2/15/21		141,158
	128,000	BBB-	4.000% due 6/1/25		128,003
	140,000	A-	AvalonBay Communities Inc., Senior Unsecured Notes, 3.450% due 6/1/25		143,106
	653,000	BBB	Duke Realty LP, Company Guaranteed Notes, 6.500% due 1/15/18		704,074
	80,000	A-	ERP Operating LP, Senior Unsecured Notes, 4.500% due 7/1/44		83,086
	555,000	BBB+	HCP Inc., Senior Unsecured Notes, 4.250% due 11/15/23		543,629
	120,000	BBB	Host Hotels & Resorts LP, Senior Unsecured Notes, 4.750% due 3/1/23		124,669
			Simon Property Group LP, Senior Unsecured Notes:
	80,000	A	3.375% due 3/15/22		84,045
	55,000	A	3.375% due 10/1/24		55,908
	400,000	BBB-	SL Green Realty Corp., Company Guaranteed Notes, 7.750% due 3/15/20		471,862
	125,000	BBB+	Ventas Realty LP, Company Guaranteed Notes, 3.750% due 5/1/24		125,094
	1,240,000	BBB+	Ventas Realty LP/Ventas Capital Corp., Company Guaranteed Notes, 2.700% due 4/1/20		1,231,210
	1,000,000	BB+	Vereit Operating Partnership LP, Company Guaranteed Notes, 2.000% due 2/6/17		986,500
	654,000	BBB+	WEA Finance LLC/Westfield UK & Europe Finance PLC, Company Guaranteed Notes, 2.700% due 9/17/19(a)		653,326
	1,395,000	BBB	Welltower Inc., Senior Unsecured Notes, 4.950% due 1/15/21		1,504,382
			Total Real Estate Investment Trusts (REITs)		6,980,052
	Road & Rail — 0.1%
			Burlington Northern Santa Fe LLC, Senior Unsecured Notes:
	150,000	A	4.375% due 9/1/42		150,727
	179,000	A	4.550% due 9/1/44		185,018
	350,000	A	4.150% due 4/1/45		339,850
			Union Pacific Corp., Senior Unsecured Notes:
	84,000	A	4.163% due 7/15/22		92,367
	42,000	A	2.750% due 4/15/23		42,544
	64,000	A	3.875% due 2/1/55		57,970
			Total Road & Rail		868,476
	Semiconductors & Semiconductor Equipment — 0.0%
			Analog Devices Inc., Senior Unsecured Notes:
	20,000	A-	3.900% due 12/15/25		21,080
	20,000	A-	5.300% due 12/15/45		21,064
			Intel Corp., Senior Unsecured Notes:
	70,000	A+	3.700% due 7/29/25		75,683
	50,000	A+	4.900% due 7/29/45		54,366
			Micron Technology Inc., Senior Unsecured Notes:
	30,000	BB	5.500% due 2/1/25		25,275
	60,000	BB	5.625% due 1/15/26(a)		48,750

See Notes to Financial Statements.

107

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Semiconductors & Semiconductor Equipment — 0.0% — (continued)
			QUALCOMM Inc., Senior Unsecured Notes:
$	85,000	A+	3.450% due 5/20/25	$	85,633
	48,000	A+	4.800% due 5/20/45		44,335
			Total Semiconductors & Semiconductor Equipment		376,186
	Software — 0.5%
			Activision Blizzard Inc., Company Guaranteed Notes:
	120,000	BB+	5.625% due 9/15/21(a)		126,750
	630,000	BB+	6.125% due 9/15/23(a)		676,462
	35,000	BBB	Fidelity National Information Services Inc., Company Guaranteed Notes, 3.500% due 4/15/23		33,295
			First Data Corp., Senior Secured Notes:
	136,000	BB	5.375% due 8/15/23(a)		141,780
	300,000	BB	5.000% due 1/15/24(a)		305,439
			Microsoft Corp., Senior Unsecured Notes:
	195,000	AAA	2.650% due 11/3/22		200,360
	110,000	AAA	3.125% due 11/3/25		115,691
	45,000	AAA	3.500% due 2/12/35		43,395
	350,000	AAA	3.750% due 2/12/45		339,777
	300,000	AAA	4.450% due 11/3/45		320,469
			Oracle Corp., Senior Unsecured Notes:
	280,000	AA-	1.200% due 10/15/17		280,814
	375,000	AA-	2.800% due 7/8/21		387,917
	393,000	AA-	3.400% due 7/8/24		409,901
	155,000	AA-	2.950% due 5/15/25		156,584
	170,000	AA-	4.500% due 7/8/44		175,743
			Total Software		3,714,377
	Specialty Retail — 0.4%
	120,000	B-	Argos Merger Sub Inc., Senior Unsecured Notes, 7.125% due 3/15/23(a)		123,000
	160,000	BB-	Dollar Tree Inc., Company Guaranteed Notes, 5.750% due 3/1/23(a)		171,000
	120,000	A	Home Depot Inc. (The), Senior Unsecured Notes, 4.400% due 3/15/45		127,336
			Lowe’s Cos., Inc., Senior Unsecured Notes:
	70,000	A-	4.650% due 4/15/42		75,745
	20,000	A-	4.250% due 9/15/44		20,600
	15,000	A-	4.375% due 9/15/45		15,792
			Macy’s Retail Holdings Inc., Company Guaranteed Notes:
	60,000	BBB+	2.875% due 2/15/23		54,264
	25,000	BBB+	4.500% due 12/15/34		19,897
			Walgreens Boots Alliance Inc., Senior Unsecured Notes:
	900,000	BBB	1.068% due 5/18/16(b)		899,977
	75,000	BBB	4.800% due 11/18/44		68,544
			Wal-Mart Stores Inc., Senior Unsecured Notes:
	700,000	AA	3.250% due 10/25/20		746,875
	50,000	AA	4.000% due 4/11/43		50,214
	475,000	AA	4.750% due 10/2/43		534,695
			Total Specialty Retail		2,907,939
	Technology Hardware, Storage & Peripherals — 0.2%
			Apple Inc., Senior Unsecured Notes:
	103,000	AA+	2.850% due 5/6/21		107,370
	153,000	AA+	3.850% due 5/4/43		142,615
	75,000	AA+	3.450% due 2/9/45		65,409
	305,000	AA+	4.375% due 5/13/45		308,475
	525,000	AA+	4.650% due 2/23/46		551,369
	150,000	AA-	International Business Machines Corp., Senior Unsecured Notes, 2.875% due 11/9/22		152,282
			Total Technology Hardware, Storage & Peripherals		1,327,520

See Notes to Financial Statements.

108

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Tobacco — 0.5%
			Altria Group Inc., Company Guaranteed Notes:
$	260,000	BBB+	9.250% due 8/6/19	$	318,649
	230,000	BBB+	4.750% due 5/5/21		254,886
	150,000	BBB+	9.950% due 11/10/38		246,316
	290,000	BBB+	10.200% due 2/6/39		489,483
	280,000	BBB+	5.375% due 1/31/44		317,360
			Philip Morris International Inc., Senior Unsecured Notes:
	240,000	A	2.900% due 11/15/21		249,743
	315,000	A	4.500% due 3/20/42		329,789
	215,000	A	4.125% due 3/4/43		213,596
			Reynolds American Inc., Company Guaranteed Notes:
	300,000	BBB-	6.750% due 6/15/17		322,145
	10,000	BBB-	8.125% due 6/23/19		11,794
	81,000	BBB-	3.250% due 6/12/20		84,314
	150,000	BBB-	4.450% due 6/12/25		163,185
	655,000	BBB-	5.850% due 8/15/45		771,586
			Total Tobacco		3,772,846
	Transportation — 0.0%
			FedEx Corp., Company Guaranteed Notes:
	135,000	BBB	3.875% due 8/1/42		117,633
	49,000	BBB	4.100% due 2/1/45		43,777
			Total Transportation		161,410
	Wireless Telecommunication Services — 0.3%
	300,000	BB-	Altice US Finance I Corp., Senior Secured Notes, 5.375% due 7/15/23(a)		305,250
	330,000	A-	América Móvil SAB de CV, Company Guaranteed Notes, 5.000% due 3/30/20		361,920
	300,000	BBB-	Bharti Airtel Ltd., Senior Unsecured Notes, 4.375% due 6/10/25(a)		298,225
	50,000	BBB+	GTE Corp., Company Guaranteed Notes, 6.940% due 4/15/28		59,058
	470,000	B	Sprint Capital Corp., Company Guaranteed Notes, 8.750% due 3/15/32		364,250
	260,000	BB-	Sprint Communications Inc., Company Guaranteed Notes, 9.000% due 11/15/18(a)		271,206
			Sprint Corp., Company Guaranteed Notes:
	20,000	B	7.250% due 9/15/21		15,150
	40,000	B	7.875% due 9/15/23		29,800
	390,000	B	7.625% due 2/15/25		280,800
			Telefónica Emisiones SAU, Company Guaranteed Notes:
	70,000	BBB	5.877% due 7/15/19		76,801
	110,000	BBB	5.134% due 4/27/20		117,936
	275,000	BB	T-Mobile USA Inc., Company Guaranteed Notes, 6.250% due 4/1/21		289,437
			Total Wireless Telecommunication Services		2,469,833
			TOTAL CORPORATE BONDS & NOTES (Cost — $225,626,188)		225,517,397
	MORTGAGE-BACKED SECURITIES — 24.4%
	FHLMC — 6.2%
			Federal Home Loan Mortgage Corp. (FHLMC):
	9,556		8.500% due 11/1/16 — 7/1/17		9,586
	2,052		8.000% due 1/1/17 — 6/1/17		2,060
	36,521		2.625% due 12/1/34(b)		38,985
	25,911		2.770% due 1/1/35(b)		27,507
	40,848		2.168% due 2/1/37(b)		42,521
	86,953		1.964% due 5/1/37(b)		90,261
	90,151		2.620% due 5/1/37(b)		96,252
	44,564		3.081% due 3/1/41(b)		46,881
	138,278		2.036% due 7/1/42(b)		143,492

See Notes to Financial Statements.

109

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Security	Value
	FHLMC — 6.2% — (continued)
		Gold:
$	645,773	6.000% due 5/1/17 — 6/1/39	$	717,566
	1,357	8.500% due 2/1/18		1,369
	1,192,670	5.000% due 6/1/21 — 6/1/41		1,324,405
	12,763,882	4.000% due 10/1/25 — 1/1/46		13,722,816
	908,221	4.500% due 4/1/29 — 7/1/41		995,199
	1,369,025	5.500% due 1/1/30 — 2/1/40		1,529,173
	8,753,481	3.000% due 8/1/30 — 2/1/46		8,981,873
	395,100	6.500% due 8/1/37 — 9/1/39		445,897
	34,395	7.000% due 3/1/39		40,485
	18,231,998	3.500% due 12/1/42 — 2/1/46		19,144,683
	300,000	3.500% due 3/1/46(i)		313,682
		TOTAL FHLMC		47,714,693
	FNMA — 15.1%
		Federal National Mortgage Association (FNMA):
	1,979,869	5.500% due 11/1/16 — 5/1/40		2,232,574
	315	8.500% due 4/1/17		324
	17,415,711	4.000% due 10/1/19 — 7/1/45		18,809,872
	1,035,000	4.399% due 2/1/20		1,139,488
	1,145,000	3.459% due 11/1/20		1,229,271
	366,991	6.000% due 9/1/21 — 10/1/35		418,205
	1,164,237	3.650% due 11/1/21		1,265,040
	9	9.500% due 11/1/21		9
	2,583,815	5.000% due 12/1/21 — 5/1/42		2,851,342
	460,994	2.830% due 6/1/22		482,849
	6,798,182	4.500% due 3/1/24 — 10/1/44		7,418,348
	36,827,880	3.500% due 11/1/25 — 1/1/46		38,815,873
	1,485,666	2.965% due 5/1/27		1,527,421
	3,656,333	2.500% due 11/1/27 — 10/1/42		3,730,143
	9,408,898	3.000% due 12/1/27 — 4/1/45		9,751,150
	4,550,000	2.500% due 3/1/31(i)		4,666,061
	9,485,000	3.000% due 3/1/31 — 3/1/46(i)		9,867,406
	5,000,000	3.500% due 4/1/31 — 3/1/46(i)		5,260,657
	274,621	2.154% due 3/1/34(b)		293,715
	82,772	2.495% due 12/1/34(b)		86,696
	7,187	2.499% due 12/1/34(b)		7,476
	85,315	2.371% due 9/1/35(b)		90,439
	87,919	2.196% due 10/1/35(b)		92,019
	136,518	2.283% due 10/1/35(b)		143,252
	22,745	2.199% due 11/1/35(b)		23,805
	69,728	2.236% due 11/1/35(b)		73,112
	22,517	2.239% due 11/1/35(b)		23,726
	28,779	2.251% due 11/1/35(b)		30,179
	28,449	2.258% due 11/1/35(b)		29,855
	25,792	2.273% due 11/1/35(b)		27,054
	311,810	2.471% due 1/1/36(b)		324,476
	178,928	2.482% due 9/1/36(b)		190,036
	33,225	2.571% due 12/1/36(b)		35,218
	120,362	7.000% due 4/1/37		137,139
	191,402	1.933% due 5/1/37(b)		203,241
	616,495	6.500% due 9/1/37 — 5/1/40		708,125
	67,712	2.889% due 2/1/41(b)		70,350
	156,926	3.230% due 7/1/41(b)		165,789
	163,203	2.015% due 7/1/42(b)		169,002

See Notes to Financial Statements.

110

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Security	Value
	FNMA — 15.1% — (continued)
$	34,744	2.261% due 7/1/42(b)	$	36,013
	1,820,000	4.000% due 3/1/46(i)		1,942,210
	820,000	4.500% due 3/1/46(i)		890,707
	700,000	5.000% due 3/1/46(i)		775,262
		TOTAL FNMA		116,034,929
	GNMA — 3.1%
		Government National Mortgage Association (GNMA):
	915	8.500% due 5/15/17		923
	174	9.500% due 8/15/17		174
	96,924	6.000% due 12/15/33 — 5/15/38		110,411
	985,715	5.000% due 10/15/34 — 9/15/40		1,098,583
	91,764	5.500% due 5/15/37 — 6/15/38		103,463
	133,424	6.500% due 1/15/38 — 10/15/38		155,439
	252,228	4.500% due 3/15/41		277,192
	674,716	4.000% due 6/15/41 — 7/15/41		731,694
		Government National Mortgage Association II (GNMA):
	981	8.500% due 1/20/17		989
	2,022	9.000% due 4/20/17 — 11/20/21		2,178
	207,687	6.000% due 7/20/37 — 11/20/40		238,409
	3,031,292	4.500% due 1/20/40 — 10/20/41		3,305,032
	416,501	5.000% due 7/20/40 — 9/20/41		463,155
	2,373,394	4.000% due 11/20/40 — 1/20/46		2,546,948
	5,011,199	3.000% due 1/20/43 — 9/20/45		5,200,360
	4,682,120	3.500% due 6/20/43 — 10/20/45		4,955,120
	2,045,000	3.500% due 3/1/46(i)		2,159,552
	1,900,000	4.000% due 3/1/46(i)		2,029,104
		TOTAL GNMA		23,378,726
		TOTAL MORTGAGE-BACKED SECURITIES (Cost — $184,529,062)		187,128,348
	U.S. GOVERNMENT & AGENCY OBLIGATIONS — 24.3%
	U.S. GOVERNMENT OBLIGATIONS — 21.7%
		U.S. Treasury Bonds:
	140,000	4.500% due 2/15/36		192,656
	1,665,000	3.125% due 2/15/42		1,861,027
	100,000	3.125% due 2/15/43		111,156
	1,960,000	3.625% due 8/15/43		2,391,774
	990,000	3.750% due 11/15/43		1,235,528
	25,320,000	3.000% due 5/15/45		27,328,788
	4,665,000	3.000% due 11/15/45		5,040,024
	10,610,000	2.500% due 2/15/46		10,353,864
		U.S. Treasury Inflation Indexed Bonds:
	1,358,592	2.500% due 7/15/16		1,381,350
	476,434	0.625% due 1/15/24		489,896
	2,017,143	0.125% due 7/15/24		1,997,548
	7,050,187	0.250% due 1/15/25		7,007,406
	2,860,944	2.375% due 1/15/25		3,370,830
	598,381	1.750% due 1/15/28		681,426
	286,712	2.125% due 2/15/40		355,948
	648,985	0.750% due 2/15/42		608,318
	663,557	0.625% due 2/15/43		600,951
	3,866,655	1.375% due 2/15/44		4,188,925
	5,137,659	0.750% due 2/15/45		4,790,533
	2,196,106	1.000% due 2/15/46		2,201,295

See Notes to Financial Statements.

111

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Security	Value
	U.S. GOVERNMENT OBLIGATIONS — 21.7% — (continued)
		U.S. Treasury Inflation Indexed Notes:
$	1,197,564	0.125% due 4/15/17	$	1,205,486
	4,512,638	0.375% due 7/15/23		4,587,643
	1,530,994	0.375% due 7/15/25		1,543,154
		U.S. Treasury Notes:
	70,000	0.750% due 6/30/17		70,015
	240,000	0.625% due 11/30/17		239,325
	12,872,500	0.750% due 2/28/18		12,861,945
	9,790,000	1.125% due 1/15/19		9,851,951
	3,915,000	0.750% due 2/15/19		3,896,647
	20,000	1.625% due 7/31/19		20,413
	250,000	1.750% due 9/30/19		256,113
	200,000	1.500% due 10/31/19		203,102
	1,060,000	1.625% due 12/31/19		1,080,744
	2,490,000	1.625% due 6/30/20		2,535,617
	20,000	1.375% due 9/30/20		20,144
	870,000	2.000% due 9/30/20		900,280
	150,000	1.375% due 10/31/20		151,040
	17,835,000	1.750% due 12/31/20		18,266,250
	8,280,000	1.375% due 1/31/21		8,334,333
	400,000	3.625% due 2/15/21		445,149
	4,325,000	1.125% due 2/28/21		4,305,066
	410,000	2.125% due 12/31/21		426,408
	1,610,000	1.500% due 1/31/22		1,617,548
	2,650,000	1.875% due 5/31/22		2,715,940
	810,000	1.750% due 1/31/23		822,245
	8,680,000	1.500% due 2/28/23		8,665,756
	1,260,000	2.000% due 8/15/25		1,288,104
	700,000	2.250% due 11/15/25		731,199
	3,225,000	1.625% due 2/15/26		3,191,363
		TOTAL U.S. GOVERNMENT OBLIGATIONS		166,422,223
	U.S. GOVERNMENT AGENCIES — 2.6%
		Federal Farm Credit Banks:
	1,260,000	0.447% due 9/14/16(b)		1,259,965
	1,250,000	0.494% due 2/27/17(b)		1,249,401
	1,130,000	0.464% due 4/26/17(b)		1,129,228
		Federal Home Loan Bank (FHLB):
	345,000	4.000% due 9/1/28		399,306
	1,520,000	stepbond to yield, 1.250% due 6/28/30		1,528,486
		Federal Home Loan Mortgage Corp. (FHLMC):
	2,965,000	0.437% due 4/20/17(b)		2,962,423
	1,225,000	1.200% due 10/29/18		1,224,841
	810,000	1.250% due 10/2/19		812,178
	130,000	1.620% due 11/21/19		129,673
		Federal National Mortgage Association (FNMA):
	2,965,000	0.452% due 7/20/17(b)		2,961,341
	3,010,000	0.439% due 10/5/17(b)		3,004,772
	650,000	zero coupon bond to yield, 21.000% due 10/9/19(p)		614,085
	405,000	7.125% due 1/15/30		622,722
		Federal National Mortgage Association (FNMA), Principal Strip:
	575,000	due 1/15/30(l)		382,756
	595,000	due 5/15/30(l)		391,712

See Notes to Financial Statements.

112

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	U.S. GOVERNMENT AGENCIES — 2.6% — (continued)
$	1,325,000		Residual Funding Corp. Principal Strip, due 10/15/19(l)	$	1,259,560
			TOTAL U.S. GOVERNMENT AGENCIES		19,932,449
			TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost — $181,832,763)		186,354,672
	COLLATERALIZED MORTGAGE OBLIGATIONS — 15.5%
	270,000	NR	225 Liberty Street Trust, Series 2016-225L, Class A, 3.597% due 2/10/36(a)		280,406
	2,800,000	CCC	Accredited Mortgage Loan Trust, Series 2007-1, Class A4, 0.656% due 2/25/37(b)		2,208,800
	28,949	AAA	ACE Securities Corp. Home Equity Loan Trust, Series 2004-SD1, Class A1, 0.926% due 11/25/33(b)		28,850
	108,724	CC	AFC Home Equity Loan Trust, Series 1999-2, Class 2A, 1.086% due 6/25/29(b)		90,887
	872,893	D	Alternative Loan Trust Resecuritization, Series 2008-2R, Class 3A1, 6.000% due 8/25/37		699,087
			Asset Backed Securities Corp. Home Equity Loan Trust:
	1,956,000	B-	Series 2005-HE5, Class M3, 1.156% due 6/25/35(b)		1,845,880
	1,572,931	CCC	Series 2007-HE1, Class A1B, 0.586% due 12/25/36(b)		1,328,097
	480,000	AA-	BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class B, 3.490% due 4/14/33(a)		481,600
			Banc of America Commercial Mortgage Trust:
	776,719	AA	Series 2008-1, Class A1A, 6.180% due 2/10/51(b)		826,978
	240,000	B+	Series 2008-1, Class AJ, 6.267% due 2/10/51(b)		246,182
	105,506	AA+	Banc of America Mortgage Trust, Series 2004-F, Class 1A1, 2.680% due 7/25/34(b)		106,775
	451,820	A+	Bayview Commercial Asset Trust, Series 2007-3, Class A1, 0.676% due 7/25/37(a)(b)		378,893
	29,764	AAA	Bayview Financial Mortgage Pass-Through Trust, Series 2004-A, Class A, 1.097% due 2/28/44(b)		29,776
	719,320	NR	BCAP LLC, Series 2013-RR1, Class 6A1, 2.802% due 5/26/36(a)(b)		717,451
			Bear Stearns Adjustable Rate Mortgage Trust:
	148,630	A+	Series 2005-2, Class A2, 2.924% due 3/25/35(b)		149,707
	519,169	D(j)	Series 2007-3, Class 1A1, 2.855% due 5/25/47(b)		465,757
			Bear Stearns ALT-A Trust:
	340,674	A+	Series 2004-7, Class 2A1, 2.645% due 8/25/34(b)		340,876
	245,671	CCC	Series 2005-2, Class 2A4, 2.678% due 4/25/35(b)		232,986
	211,730	B	Series 2005-4, Class 23A2, 2.680% due 5/25/35(b)		207,370
	781,446	CCC	Bear Stearns Asset Backed Securities Trust, Series 2005-AC6, Class 1A3, 5.500% due 9/25/35(b)		786,974
			Bear Stearns Commercial Mortgage Securities Trust:
	2,954,200	Aaa(c)	Series 2004-PWR5, Class F, 5.483% due 7/11/42(a)(b)		3,113,039
	549,806	A	Series 2007-PW15, Class A4, 5.331% due 2/11/44		562,521
	565,000	BBB	Series 2007-PW18, Class AM, 6.084% due 6/11/50(b)		597,250
	396,954	BBB	Bear Stearns Structured Products Trust, Series 2007-EMX1, Class A1, 1.436% due 3/25/37(a)(b)		392,785
	1,700,000	BB+	Centex Home Equity Loan Trust, Series 2006-A, Class AV4, 0.686% due 6/25/36(b)		1,581,627
	355,000	Aaa(c)	CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.865% due 1/10/48		377,482
	545,000	AAA	CGRBS Commercial Mortgage Trust, Series 2013-VN05, Class A, 3.369% due 3/13/35(a) .		561,863
	750	AAA	Chase Funding Trust, Series 2002-2, Class 2A1, 0.936% due 5/25/32(b)		707
	268,748	BB	Chase Mortgage Finance Trust, Series 2007-A1, Class 5A1, 2.628% due 2/25/37(b)		265,132
			Chevy Chase Funding LLC Mortgage-Backed Certificates:
	964,854	A+	Series 2004-2A, Class A1, 0.706% due 5/25/35(a)(b)		866,972
	2,731,417	CCC	Series 2004-2A, Class B1, 0.917% due 5/25/35(a)(b)		2,162,191
			Citigroup Commercial Mortgage Trust:
	270,000	Aaa(c)	Series 2013-375P, Class A, 3.251% due 5/10/35(a)		277,194
	300,000	BB(j)	Series 2014-GC19, Class E, 4.400% due 3/10/47(a)(b)		212,673
	140,000	Aa1(c)	Series 2014-GC25, Class AS, 4.017% due 10/10/47		148,713
	420,000	BBB-(j)	Series 2015-GC33, Class D, 3.172% due 9/10/58		263,514
	770,000	CCC	Citigroup Mortgage Loan Trust Inc., Series 2006-WFH2, Class M1, 0.706% due 8/25/36 (b)		602,710

See Notes to Financial Statements.

113

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	COLLATERALIZED MORTGAGE OBLIGATIONS — 15.5% — (continued)
			Citigroup/Deutsche Bank Commercial Mortgage Trust:
$	210,000	D	Series 2006-CD2, Class AJ, 5.394% due 1/15/46(b)	$	195,066
	60,000	B-	Series 2006-CD3, Class AJ, 5.688% due 10/15/48		42,263
	9,295	D	Series 2007-CD4, Class AJ, 5.398% due 12/11/49(b)		7,318
	50,000	Aa1(c)	COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class AMFX, 5.526% due 4/15/47(b)		51,702
	400,000	Aa2(c)	Colony Mortgage Capital Ltd., Series 2014-FL2, Class B, 2.879% due 11/10/31(a)(b)		388,000
	561,304	AA+	Commercial Mortgage Loan Trust, Series 2008-LS1, Class A1A, 6.097% due 12/10/49(b)		592,512
			Commercial Mortgage Trust:
	1,600,000	B-	Series 2001-J2A, Class G, 7.142% due 7/16/34(a)(b)		1,632,475
	496,000	BBB-	Series 2006-C7, Class AM, 5.802% due 6/10/46(b)		498,492
	196,000	B3(c)	Series 2006-C8, Class AJ, 5.377% due 12/10/46		186,718
	440,000	Aa3(c)	Series 2006-C8, Class AM, 5.347% due 12/10/46		447,440
	525,555	AA	Series 2007-C9, Class A4, 5.813% due 12/10/49(b)		546,150
	1,111,083	Aaa(c)	Series 2012-LC4, Class A2, 2.256% due 12/10/44		1,114,712
	665,000	Aaa(c)	Series 2012-LC4, Class A4, 3.288% due 12/10/44		695,045
	265,000	AAA(j)	Series 2013-300P, Class A1, 4.353% due 8/10/30(a)		290,310
	190,000	AA-(j)	Series 2013-300P, Class B, 4.394% due 8/10/30(a)(b)		203,386
	40,000	Aa3(c)	Series 2013-CR12, Class B, 4.762% due 10/10/46(b)		42,629
	20,000	A3(c)	Series 2013-CR12, Class C, 5.084% due 10/10/46(b)		20,412
	1,037,796	Aaa(c)	Series 2013-CR6, Class A1, 0.719% due 3/10/46		1,028,127
	260,000	BB	Series 2013-CR9, Class E, 4.254% due 7/10/45(a)(b)		182,685
	265,000	AAA(j)	Series 2014-277P, Class A, 3.611% due 8/10/49(a)(b)		277,373
	210,000	A-(j)	Series 2014-CR21, Class C, 4.419% due 12/10/47(b)		197,814
	345,000	Aaa(c)	Series 2014-LC17, Class A5, 3.917% due 10/10/47		368,123
	290,000	AAA(j)	Series 2015-3BP, Class A, 3.178% due 2/10/35(a)		292,402
	240,000	Aaa(c)	Series 2015-CR25, Class A4, 3.759% due 8/10/48		252,572
	5,381,376	Aa1(c)	Series 2015-CR25, Class XA, 0.975% due 8/10/48(b)(k)		366,572
	270,000	NR	Series 2016-787S, Class A, 3.545% due 2/10/36(a)		278,079
			Core Industrial Trust:
	699,000	AAA	Series 2015-TEXW, Class A, 3.077% due 2/10/34(a)		709,517
	1,600,000	BB-	Series 2015-TEXW, Class E, 3.849% due 2/10/34(a)(b)		1,528,520
	535,000	AAA	Series 2015-WEST, Class A, 3.292% due 2/10/37(a)		540,857
			Countrywide Alternative Loan Trust:
	574,579	CCC	Series 2005-24, Class 4A1, 0.664% due 7/20/35(b)		490,691
	808,177	D	Series 2006-OA17, Class 1A1A, 0.627% due 12/20/46(b)		597,794
			Countrywide Asset-Backed Certificates:
	4,763	AAA	Series 2002-3, Class 1A1, 1.176% due 5/25/32(b)		4,504
	12,759	AA+	Series 2003-BC2, Class 2A1, 1.036% due 6/25/33(b)		10,807
	420,546	CCC	Series 2006-SD3, Class A1, 0.766% due 7/25/36(a)(b)		350,809
	505,609	AA	Series 2007-13, Class 2A2, 1.236% due 10/25/47(b)		429,335
	989,474	CCC	Series 2007-4, Class A4W, 5.288% due 4/25/47(b)		959,873
			Countrywide Home Loan Mortgage Pass Through Trust:
	189,057	D	Series 2005-11, Class 3A3, 2.409% due 4/25/35(b)		139,730
	79,786	NR	Series 2005-11, Class 6A1, 1.036% due 3/25/35(b)		71,563
			Credit Suisse Commercial Mortgage Capital Trust:
	6,060,836	Caa3(c)	Series 2006-7, Class 3A2, 6.764% due 8/25/36(b)(k)		1,498,795
	290,000	B-	Series 2014-USA, Class F, 4.373% due 9/15/37(a)		218,811
	1,313,203	NR	Series 2015-5R, Class 1A1, 1.066% due 9/27/46(a)		1,283,668
			Credit Suisse Commercial Mortgage Trust:
	274,967	Caa2(c)	Series 2006-C3, Class AJ, 5.671% due 6/15/38(b)		268,842
	40,000	B-	Series 2006-C5, Class AJ, 5.373% due 12/15/39		35,067
	385,000	BBB	Series 2006-C5, Class AM, 5.343% due 12/15/39		390,594
	47,347	Aaa(c)	Series 2007-C1, Class AAB, 5.336% due 2/15/40		47,526
	310,000	BBB-	Series 2007-C2, Class AM, 5.615% due 1/15/49(b)		318,042

See Notes to Financial Statements.

114

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
			Credit Suisse First Boston Mortgage Securities Corp.:
$	396,277	AA+	Series 2004-AR7, Class 2A1, 2.784% due 11/25/34(b)	$	396,473
	351,481	BBB	Series 2005-6, Class 8A1, 4.500% due 7/25/20		354,119
	800,000	A+	Credit Suisse Mortgage Capital Certificates, Series 2006-C4, Class AM, 5.509% due 9/15/39		809,820
	415,000	Aaa(c)	Credit Suisse USA CSAIL Commercial Mortgage Trust, Series 2015-C1, Class A4, 3.505% due 4/15/50		429,965
	115,330	CCC	Downey Savings & Loan Association Mortgage Loan Trust, Series 2004-AR2, Class A2B, 1.230% due 11/19/44(b)		99,537
	650,000	AAA	Dryden XXV Senior Loan Fund, Series 2012-25A, Class A, 2.002% due 1/15/25 (a)(b)		645,257
			EMC Mortgage Loan Trust:
	2,709	BB(j)	Series 2002-B, Class A1, 1.521% due 2/25/41(a)(b)		2,642
	16,769	BBB-	Series 2003-A, Class A1, 0.977% due 8/25/40(a)(b)		15,287
	701,855	B-	Equifirst Mortgage Loan Trust, Series 2003-2, Class M2, 2.986% due 9/25/33(b)		665,961
			Federal Home Loan Mortgage Corp. (FHLMC), REMICS:
	8,053	NR	Series 1865, Class DA, 28.380% due 2/15/24(b)(k)		7,984
	1,337,794	NR	Series 3349, Class AS, 6.073% due 7/15/37(b)(k)		260,675
	151,681	NR	Series 3451, Class SB, 5.603% due 5/15/38(b)(k)		16,981
	176,715	NR	Series 3621, Class SB, 5.803% due 1/15/40(b)(k)		36,605
	555,000	NR	Series 3743, Class PB, 4.500% due 10/15/40		659,460
	2,339,365	NR	Series 3866, Class SA, 5.523% due 5/15/41(b)(k)		286,279
	893,915	NR	Series 3947, Class SG, 5.523% due 10/15/41(b)(k)		151,566
	238,163	NR	Series 3997, Class SK, 6.173% due 11/15/41(b)(k)		43,288
	72,337	NR	Series 4076, Class SW, 5.623% due 7/15/42(b)(k)		18,316
	69,817	NR	Series 4097, Class ST, 5.623% due 8/15/42(b)(k)		11,006
	70,762	NR	Series 4136, Class SE, 5.723% due 11/15/42(b)(k)		14,922
	74,973	NR	Series 4136, Class SJ, 5.723% due 11/15/42(b)(k)		14,797
	72,676	NR	Series 4136, Class SQ, 5.723% due 11/15/42(b)(k)		15,528
	638,973	NR	Series 4203, Class PS, 5.823% due 9/15/42(b)(k)		109,485
	108,589	NR	Series 4206, Class CZ, 3.000% due 5/15/43		109,693
	319,012	NR	Series 4210, Class Z, 3.000% due 5/15/43		307,070
	216,096	NR	Series 4226, Class GZ, 3.000% due 7/15/43		209,113
	369,749	NR	Series 4239, Class IO, 3.500% due 6/15/27(k)		42,706
	176,157	NR	Series 4335, Class SW, 5.573% due 5/15/44(b)(k)		36,113
	195,232	NR	Series R007, Class ZA, 6.000% due 5/15/36		222,262
			Federal National Mortgage Association (FNMA), ACES:
	554,540	NR	Series 2006-M2, Class A2A, 5.271% due 10/25/32(b)		610,262
	21,216,166	NR	Series 2013-M7, Class X2, 0.237% due 12/27/22(b)(k)		271,070
	540,934	NR	Series 2014-M12, Class FA, 0.726% due 10/25/21(b)		534,859
	100,000	NR	Series 2015-M7, Class AB2, 2.502% due 12/25/24		101,866
	6,589,339	NR	Series 2015-M7, Class X2, 0.528% due 12/25/24(b)(k)		259,192
	21,592,702	NR	Series 2015-M8, Class X2, 0.182% due 1/25/25(b)(k)		299,383
			Federal National Mortgage Association (FNMA), Grantor Trust:
	115,067	NR	Series 2000-T6, Class A3, 4.099% due 6/25/30(b)		119,327
	11,712	NR	Series 2002-T6, Class A1, 3.310% due 2/25/32		11,867
			Federal National Mortgage Association (FNMA), Interest Strip:
	286,601	NR	Series 409, Class C13, 3.500% due 11/25/41(k)		51,787
	550,594	NR	Series 409, Class C18, 4.000% due 4/25/42(k)		100,373
	89,320	NR	Series 409, Class C22, 4.500% due 11/25/39(k)		15,640
			Federal National Mortgage Association (FNMA), REMICS:
	59,085	NR	Series 2004-38, Class FK, 0.786% due 5/25/34(b)		58,954
	362,335	NR	Series 2005-117, Class LC, 5.500% due 11/25/35		393,567
	1,396,398	NR	Series 2006-51, Class SP, 6.214% due 3/25/36(b)(k)		247,346
	713,498	NR	Series 2007-68, Class SC, 6.264% due 7/25/37(b)(k)		129,777
	1,387,158	NR	Series 2008-18, Class SM, 6.564% due 3/25/38 (b)(k)		247,013
	770,000	NR	Series 2011-131, Class PB, 4.500% due 12/25/41		915,985
	737,215	NR	Series 2011-87, Class SG, 6.114% due 4/25/40(b)(k)		130,553

See Notes to Financial Statements.

115

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
$	452,317	NR	Series 2011-90, Class QI, 5.000% due 5/25/34(k)	$	40,513
	486,936	NR	Series 2012-118, Class CI, 3.500% due 12/25/39(k)		57,033
	76,858	NR	Series 2012-128, Class SL, 5.714% due 11/25/42(b)(k)		17,326
	153,308	NR	Series 2012-128, Class SQ, 5.714% due 11/25/42(b)(k)		35,890
	211,447	NR	Series 2012-133, Class CS, 5.714% due 12/25/42(b)(k)		41,098
	74,266	NR	Series 2012-133, Class SA, 5.714% due 12/25/42(b)(k)		15,254
	270,235	NR	Series 2012-46, Class BA, 6.000% due 5/25/42		308,438
	430,846	NR	Series 2012-51, Class B, 7.000% due 5/25/42		502,868
	61,719	NR	Series 2012-70, Class YS, 6.214% due 2/25/41(b)(k)		9,011
	300,278	NR	Series 2012-74, Class SA, 6.214% due 3/25/42(b)(k)		53,566
	50,046	NR	Series 2012-75, Class AO, due 3/25/42(l)		46,084
	201,496	NR	Series 2012-93, Class SG, 5.664% due 9/25/42(b)(k)		38,871
	449,366	NR	Series 2013-10, Class JS, 5.714% due 2/25/43(b)(k)		91,365
	436,018	NR	Series 2013-10, Class SJ, 5.714% due 2/25/43(b)(k)		89,115
	934,174	NR	Series 2013-9, Class BC, 6.500% due 7/25/42		1,078,788
	735,460	NR	Series 2013-9, Class CB, 5.500% due 4/25/42		830,709
	191,862	NR	Series 2015-60, Class SA, 5.714% due 8/25/45(b)(k)		43,548
			FHLMC Multifamily Structured Pass Through Certificates:
	263,338	AAA(j)	Series K016, Class X1, 1.551% due 10/25/21(b)(k)		18,594
	655,000	NR	Series K151, Class A3, 3.511% due 4/25/30		701,612
	450,000	Aaa(c)	Series K718, Class A2, 2.791% due 1/25/22		472,988
	1,133,011	Aa2(c)	Series KF02, Class A2, 0.977% due 7/25/20(b)		1,139,333
	295,000	NR	Series KS03, Class A4, 3.161% due 5/25/25		311,243
	315,000	NR	Series KSCT, Class A2, 4.285% due 1/25/20		347,083
			Ford Credit Floorplan Master Owner Trust:
	805,000	AAA	Series 2012-5, Class A, 1.490% due 9/15/19		806,788
	640,000	AAA	Series 2014-2, Class A, 0.931% due 2/15/21(b)		634,134
	350,000	BBB+(j)	FREMF Mortgage Trust, Series 2015-K47, Class B, 3.600% due 6/25/48(a)(b)		314,099
	505,000	BBB-	GAHR Commericial Mortgage Trust, Series 2015-NRF, Class DFX, 3.382% due 12/15/19(a)(b)		479,093
	222,263	BB+	GE Business Loan Trust, Series 2006-1A, Class C, 0.851% due 5/15/34(a)(b)		191,863
	145,757	A+	GMAC Home Equity Notes Loan Trust, Series 2004-VF1, Class A1, 1.186% due 2/25/31(a)(b)		144,039
			Government National Mortgage Association (GNMA):
	2,662,784	NR	Series 2008-51, Class GS, 5.800% due 6/16/38(b)(k)		609,530
	45,202	NR	Series 2010-107, Class SG, 5.718% due 2/20/38(b)(k)		2,968
	59,544	NR	Series 2010-31, Class GS, 6.068% due 3/20/39(b)(k)		5,109
	173,551	NR	Series 2010-85, Class HS, 6.218% due 1/20/40(b)(k)		22,196
	3,647,670	NR	Series 2013-85, Class IA, 0.754% due 3/16/47(b)(k)		185,223
	2,533,097	NR	Series 2014-105, Class IO, 1.091% due 6/16/54(b)(k)		184,833
	194,084	NR	Series 2015-167, Class OI, 4.000% due 4/16/45(k)		41,873
	350,000	Aa2(c)	GS Mortgage Securities Corp. II, Series 2015-GC30, Class AS, 3.777% due 5/10/50		353,322
			GS Mortgage Securities Trust:
	635,075	BBB-	Series 2007-GG10, Class A1A, 5.794% due 8/10/45(b)		654,928
	705,000	Aaa(c)	Series 2011-GC5, Class A4, 3.707% due 8/10/44		755,382
	5,502,240	Aa1(c)	Series 2015-GS1, Class XA, 0.845% due 11/10/48(b)(k)		353,664
	127,965	CCC	GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF, 0.786% due 9/25/35(a)(b)		104,311
			Harborview Mortgage Loan Trust:
	420,223	BBB+	Series 2004-5, Class 2A6, 2.396% due 6/19/34(b)		416,766
	157,785	WD(j)	Series 2006-2, Class 1A, 2.835% due 2/25/36(b)		131,280
	935,000	AAA	Hilton USA Trust, Series 2013-HLT, Class AFX, 2.662% due 11/5/30(a)		934,358
	480,219	A+	HSBC Home Equity Loan Trust, Series 2007-3, Class APT, 1.632% due 11/20/36(b)		479,880
	429,123	BBB+	HSI Asset Securitization Corp. Trust, Series 2006-OPT1, Class 2A3, 0.626% due 12/25/35(b)		423,483
	2,882	AA+	Impac CMB Trust, Series 2003-1, Class 1A1, 1.236% due 3/25/33(b)		2,791
			Indymac Index Mortgage Loan Trust:
	73,891	CCC	Series 2004-AR15, Class 1A1, 3.048% due 2/25/35(b)		65,176
	84,583	D	Series 2005-AR15, Class A2, 2.741% due 9/25/35(b)		71,584

See Notes to Financial Statements.

116

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
$	1,203,684	CCC	IXIS Real Estate Capital Trust, Series 2006-HE2, Class A3, 0.596% due 8/25/36(b)	$	442,773
			JPMBB Commercial Mortgage Securities Trust:
	80,000	A3(c)	Series 2013-C15, Class C, 5.081% due 11/15/45(b)		80,840
	40,000	Aa3(c)	Series 2013-C17, Class B, 4.887% due 1/15/47(b)		42,624
	350,000	BB(j)	Series 2014-C23, Class E, 3.364% due 9/15/47(a)(b)		216,087
	240,000	A3(c)	Series 2014-C24, Class C, 4.426% due 11/15/47(b)		230,187
	770,000	Aaa(c)	Series 2015-C31, Class A3, 3.801% due 8/15/48		811,915
	550,000	Aaa(c)	Series 2015-C33, Class A4, 3.770% due 12/15/48		576,941
			JPMorgan Chase Commercial Mortgage Securities Trust:
	2,194,808	AAA	Series 2006-CB16, Class A4, 5.552% due 5/12/45		2,206,556
	32,334	AA+	Series 2006-LDP9, Class A3, 5.336% due 5/15/47		32,853
	960,000	B-	Series 2007-CB18, Class AJ, 5.502% due 6/12/47(b)		871,762
	390,000	BBB-	Series 2007-CB20, Class AM, 5.884% due 2/12/51(b)		409,245
	48,302	AAA	Series 2011-C3, Class A2, 3.673% due 2/15/46(a)		48,833
	825,000	AAA	Series 2011-C4, Class A3, 4.106% due 7/15/46(a)		860,240
	140,000	Aaa(c)	Series 2011-C5, Class A3, 4.171% due 8/15/46		152,498
	175,000	Aaa(c)	Series 2011-C5, Class AS, 5.323% due 8/15/46(a)(b)		198,407
	370,000	Aa2(c)	Series 2011-C5, Class B, 5.323% due 8/15/46(a)(b)		404,078
	1,040,303	Aaa(c)	Series 2012-CBX, Class A3, 3.139% due 6/15/45		1,057,278
	2,391,353	Aaa(c)	Series 2012-CBX, Class XA, 1.704% due 6/15/45(b)(k)		156,866
	460,000	AA	Series 2012-HSBC, Class C, 4.021% due 7/5/32(a)		461,809
	650,000	AA-	Series 2014-FL6, Class B, 2.711% due 11/15/31(a)(b)		631,243
	150,000	A-	Series 2014-PHH, Class C, 2.527% due 8/15/27(a)(b)		146,003
	300,000	AAA	Series 2015-SGP, Class A, 2.127% due 7/15/36(a)(b)		298,628
	719,249	Aa1(c)	JPMorgan Trust, Series 2015-5, Class A9, 2.896% due 5/25/45(a)(b)		714,573
			LB-UBS Commercial Mortgage Trust:
	710,000	AA-	Series 2006-C7, Class AM, 5.378% due 11/15/38		721,496
	500,000	BB	Series 2007-C6, Class AM, 6.114% due 7/15/40(b)		519,756
	160,000	A-	Series 2007-C7, Class AM, 6.158% due 9/15/45(b)		171,280
			Lehman XS Trust:
	163,022	CCC	Series 2005-5N, Class 1A1, 0.736% due 11/25/35(b)		146,099
	108,397	D	Series 2005-7N, Class 1A1B, 0.736% due 12/25/35(b)		57,240
	630,000	AAA	Limerock CLO II Ltd., Series 2014-2A, Class A, 2.121% due 4/18/26(a)(b)		615,282
	518,561	AAA	Lone Star Portfolio Trust, Series 2015-LSP, Class A1A2, 2.227% due 9/15/28(a)(b)		515,417
	760,000	Aaa(c)	Magnetite IX Ltd., Series 2014-9A, Class A1, 2.039% due 7/25/26(a)(b)		751,968
	203,008	A+	MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7, 2.777% due 11/21/34(b)		206,589
	589,252	AA+	MASTR Seasoned Securitization Trust, Series 2005-1, Class 4A1, 2.554% due 10/25/32(b)		588,648
	393,679	CCC	Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A4, 0.686% due 7/25/37(b)		235,869
			Merrill Lynch Mortgage Investors Trust:
	61,433	A+	Series 2004-A3, Class 4A3, 2.704% due 5/25/34(b)		60,745
	881,450	BBB	Series 2005-2, Class 2A, 2.520% due 10/25/35(b)		836,551
	865,513	AA+	Mid-State Capital Corp. Trust, Series 2004-1, Class A, 6.005% due 8/15/37		929,062
			ML-CFC Commercial Mortgage Trust:
	291,000	Caa1(c)	Series 2007-5, Class AJ, 5.450% due 8/12/48(b)		257,826
	260,000	B-	Series 2007-9, Class AJ, 6.185% due 9/12/49(b)		222,980
	43,952	AAA	Morgan Stanley ABS Capital I Inc. Trust, Series 2004-SD3, Class A, 0.896% due
			6/25/34(a)(b)		44,093
			Morgan Stanley Bank of America Merrill Lynch Trust:
	30,000	Aaa(c)	Series 2013-C10, Class A4, 4.081% due 7/15/46(b)		32,837
	500,000	Aaa(c)	Series 2013-C13, Class A4, 4.039% due 11/15/46		541,989
			Morgan Stanley Capital I Trust:
	880,000	AAA	Series 2007-HQ11, Class A4FL, 0.562% due 2/12/44(b)		870,254
	29,508	AAA	Series 2007-HQ12, Class A5, 5.730% due 4/12/49(b)		29,464
	588,382	BBB-	Series 2007-HQ13, Class A3, 5.569% due 12/15/44		612,816
	369,420	AAA	Series 2007-IQ13, Class A1A, 5.312% due 3/15/44		378,150

See Notes to Financial Statements.

117

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
$	302,552	A	Series 2007-IQ14, Class A1A, 5.665% due 4/15/49(b)	$	311,685
	200,000	A	Series 2007-IQ14, Class A4, 5.692% due 4/15/49(b)		204,831
	424,366	Aaa(c)	Series 2007-T25, Class A3, 5.514% due 11/12/49(b)		431,613
			Park Place Securities Inc. Asset-Backed Pass-Through Certificates:
	1,205,000	A+	Series 2005-WCW2, Class M1, 0.936% due 7/25/35(b)		1,200,967
	1,940,000	CCC	Series 2005-WHQ4, Class M2, 0.926% due 9/25/35(b)		1,526,317
			PFS Financing Corp.:
	540,000	AAA	Series 2014-BA, Class A, 1.027% due 10/15/19(a)(b)		535,108
	635,000	AAA	Series 2015-AA, Class A, 1.047% due 4/15/20(a)(b)		626,814
	1,787,000	A	Popular ABS Mortgage Pass-Through Trust, Series 2006-C, Class A4, 0.686% due 7/25/36(b)		1,697,023
			Prime Mortgage Trust:
	173,762	CCC	Series 2006-DR1, Class 1A1, 5.500% due 5/25/35(a)		174,441
	62,272	CCC	Series 2006-DR1, Class 1A2, 6.000% due 5/25/35(a)		62,581
	1,263,231	CCC	Series 2006-DR1, Class 2A1, 5.500% due 5/25/35(a)		1,154,177
			RAMP Trust:
	4,124	CCC	Series 2003-RS4, Class AIIB, 1.096% due 5/25/33(b)		3,630
	774,864	AA	Series 2003-RS9, Class AI6A, 5.895% due 10/25/33		823,028
	223,517	BBB+	Series 2006-NC1, Class A2, 0.626% due 1/25/36(b)		223,743
	915,000	AAA	RBS Commercial Funding Inc. Trust, Series 2013-GSP, Class A, 3.834% due 1/13/32(a)(b)		974,024
	27,298	D	Reperforming Loan REMIC Trust, Series 2004-R2, Class 1AF1, 0.856% due 11/25/34(a)(b)		23,727
	388,406	Caa2(c)	Residential Asset Securitization Trust, Series 2005-A15, Class 1A4, 5.750% due 2/25/36		363,709
	640,000	AAA	SCG Trust, Series 2013-SRP1, Class A, 1.827% due 11/15/26(a)(b)		637,275
	193,788	NR	Small Business Administration Participation Certificates, Series 2013-20J, Class 1, 3.370% due 10/1/33		204,699
	1,000,000	BBB	Solarcity Lmc Series VI LLC, Series 2016-A, Class A, 4.800% due 9/20/48(a)		992,030
	370,342	BBB+	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 1A2, 2.642% due 11/25/34(b)		369,592
	210,339	AA+	Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3, 0.680% due 7/19/35(b)		200,529
			Structured Asset Securities Corp.:
	179,546	CCC	Series 2005-RF3, Class 1A, 0.786% due 6/25/35(a)(b)		144,341
	195,958	BB	Series 2007-BC4, Class A3, 0.686% due 11/25/37(b)		195,834
	100,000	AAA	VNDO Mortgage Trust, Series 2012-6AVE, Class A, 2.996% due 11/15/30(a)		100,752
	485,000	B	Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class AMFX, 5.703% due 6/15/49(a)		495,086
			WaMu Mortgage Pass Through Certificates Trust:
	23,234	BBB+	Series 2004-AR11, Class A, 2.553% due 10/25/34(b)		23,334
	93,529	BBB+	Series 2004-AR12, Class A2A, 0.826% due 10/25/44(b)		90,018
	281,999	AA+	Series 2005-AR11, Class A1A, 0.756% due 8/25/45(b)		260,979
	277,777	BBB-	Series 2005-AR19, Class A1A2, 0.726% due 12/25/45(b)		246,346
	791,665	B-	Series 2005-AR4, Class A5, 2.465% due 4/25/35(b)		766,664
	1,900,529	A+	Series 2006-AR1, Class 2A1A, 1.392% due 1/25/46(b)		1,820,754
	1,559,485	CCC	Series 2006-AR11, Class 1A, 1.282% due 9/25/46(b)		1,299,692
	706,220	CCC	Series 2006-AR13, Class 2A, 2.144% due 10/25/46(b)		629,127
	1,443,068	B+	Series 2006-AR3, Class A1A, 1.322% due 2/25/46(b)		1,313,347
	367,162	CC	Series 2007-HY4, Class 4A1, 2.192% due 9/25/36(b)		326,654
	804,358	Ca(c)	Washington Mutual Mortgage Pass Through Certificates Trust, Series 2007-OA2, Class 2A, 1.022% due 1/25/47(b)		577,528
			Wells Fargo Commercial Mortgage Trust:
	120,000	Aa3(c)	Series 2013-LC12, Class B, 4.298% due 7/15/46(b)		123,995
	1,000,000	Aa2(c)	Series 2015-C28, Class AS, 3.872% due 5/15/48		1,013,663
	150,000	Aaa(c)	Series 2015-LC20, Class A5, 3.184% due 4/15/50		150,603
	960,000	Aaa(c)	Series 2015-NXS1, Class A5, 3.148% due 5/15/48		966,751
	310,000	A-(j)	Series 2015-NXS1, Class C, 3.848% due 5/15/48(b)		278,387
	330,000	BBB-(j)	Series 2015-NXS1, Class D, 4.105% due 5/15/48(b)		244,418
	565,000	Aaa(c)	Series 2015-NXS4, Class A4, 3.718% due 12/15/48		594,125

See Notes to Financial Statements.

118

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
			Wells Fargo Mortgage Backed Securities Trust:
$	599,970	Caa1(c)	Series 2006-12, Class A3, 6.000% due 10/25/36	$	584,592
	275,515	CCC	Series 2006-AR2, Class 2A1, 2.830% due 3/25/36(b)		272,362
	77,594	Caa2(c)	Series 2006-AR7, Class 2A4, 2.741% due 5/25/36(b)		73,602
			WF-RBS Commercial Mortgage Trust:
	750,000	Aaa(c)	Series 2011-C2, Class A4, 4.869% due 2/15/44(a)(b)		831,540
	587,196	Aaa(c)	Series 2011-C4, Class A2, 3.454% due 6/15/44(a)		588,373
	1,050,000	Aaa(c)	Series 2011-C4, Class A3, 4.394% due 6/15/44(a)		1,107,036
	1,035,000	Aaa(c)	Series 2011-C5, Class A4, 3.667% due 11/15/44		1,100,285
	1,895,070	Aaa(c)	Series 2012-C7, Class XA, 1.520% due 6/15/45(a)(b)(k)		135,037
	145,000	Aaa(c)	Series 2013-C14, Class A4, 3.073% due 6/15/46		148,447
	2,590,372	Aaa(c)	Series 2014-C20, Class XA, 1.205% due 5/15/47(b)(k)		162,138
	240,000	BBB-(j)	Series 2014-C22, Class D, 3.908% due 9/15/57(a)(b)		169,946
			TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $122,064,288)		118,660,110
	ASSET-BACKED SECURITIES — 2.5%
	Automobiles — 0.6%
	193,953	AAA	Chrysler Capital Auto Receivables Trust, Series 2013-BA, Class A3, 0.850% due 5/15/18(a)		193,840
	965,000	AAA	Drive Auto Receivables Trust, Series 2015-CA, Class A3, 1.380% due 10/15/18(a)		964,108
	1,380,000	Aaa(c)	Hertz Vehicle Financing LLC, Series 2013-1A, Class A2, 1.830% due 8/25/19(a)		1,353,991
	745,000	AAA	Honda Auto Receivables Owner Trust, Series 2015-4, Class A2, 0.820% due 7/23/18		743,694
	755,000	Aaa(c)	Nissan Auto Receivables Owner Trust, Series 2015-C, Class A2A, 0.870% due 11/15/18		.754,299
	706,839	AAA	Toyota Auto Receivables Owner Trust, Series 2014-B, Class A3, 0.760% due 3/15/18		706,063
			Total Automobiles		4,715,995
	Credit Cards — 0.2%
	750,000	AAA	Citibank Credit Card Issuance Trust, Series 2014-A3, Class A3, 0.629% due 5/9/18(b)		750,074
	645,000	AAA	Discover Card Execution Note Trust, Series 2016-A1, Class A1, 1.640% due 7/15/21		648,726
			Total Credit Cards		1,398,800
	Student Loans — 1.7%
	557,259	AA+	CIT Education Loan Trust, Series 2007-1, Class A, 0.693% due 3/25/42(a)(b)		510,338
	850,000	AA+	EFS Volunteer LLC, Series 2010-1, Class A2, 1.469% due 10/25/35(a)(b)		818,623
			Navient Private Education Loan Trust:
	630,000	AAA	Series 2014-AA, Class A2B, 1.677% due 2/15/29(a)(b)		613,503
	312,622	AAA	Series 2014-CTA, Class A, 1.127% due 9/16/24(a)(b)		307,978
			SLM Private Education Loan Trust:
	208,554	AAA	Series 2012-A, Class A1, 1.831% due 8/15/25(a)(b)		209,012
	705,000	AAA	Series 2012-C, Class A2, 3.310% due 10/15/46(a)		719,451
	680,000	AAA	Series 2012-D, Class A2, 2.950% due 2/15/46(a)		685,360
	176,253	AAA	Series 2012-E, Class A1, 1.177% due 10/16/23(a)(b)		176,227
			SLM Student Loan Trust:
	1,220,000	AAA	Series 2003-11, Class A6, 1.262% due 12/15/25(a)(b)		1,153,266
	1,400,000	AAA	Series 2004-1, Class A4, 0.879% due 10/27/25(b)		1,328,391
	485,978	AAA	Series 2004-8A, Class A5, 1.119% due 4/25/24(a)(b)		480,305
	880,000	AA+	Series 2005-5, Class A5, 1.369% due 10/25/40(b)		817,916
	1,116,341	AAA	Series 2005-6, Class A5B, 1.819% due 7/27/26(b)		1,114,765
	1,070,000	AAA	Series 2005-6, Class A6, 0.759% due 10/27/31(b)		1,005,129
	1,233,635	AAA	Series 2011-2, Class A1, 1.036% due 11/25/27(b)		1,210,175
			SMB Private Education Loan Trust:
	675,140	AAA	Series 2015-B, Class A1, 1.131% due 2/15/23(a)(b)		672,890
	680,000	AAA	Series 2015-B, Class A2A, 2.980% due 7/15/27(a)		682,341
	545,000	AAA	Series 2015-C, Class A3, 2.381% due 8/16/32(a)(b)		529,334
			Total Student Loans		13,035,004
			TOTAL ASSET-BACKED SECURITIES (Cost — $19,378,557)		19,149,799

See Notes to Financial Statements.

119

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†			Rating††	Security	Value
	SOVEREIGN BONDS — 2.2%
	Brazil — 0.3%
	656,000	BRL	BB	Brazil Notas do Tesouro Nacional Serie B, 6.000% due 8/15/50	$	389,648
	4,266,000	BRL	BB	Brazil Notas do Tesouro Nacional Serie F, 10.000% due 1/1/17		1,048,953
				Federative Republic of Brazil:
$	430,000		BB	4.875% due 1/22/21		420,325
	490,000		BB	5.625% due 1/7/41		382,200
	400,000		BB	5.000% due 1/27/45		285,000
				Total Brazil		2,526,126
	Canada — 0.0%
	152,000		AA	Province of Manitoba Canada, 3.050% due 5/14/24		161,323
	China — 0.0%
				China Government Bond:
	1,000,000	CNH	Aa3(c)	3.380% due 11/21/24		148,964
	1,000,000	CNY	Aa3(c)	3.390% due 5/21/25		148,928
				Total China		297,892
	Colombia — 0.1%
	370,000		BBB	Colombia Government International Bond, 5.625% due 2/26/44		335,775
	Indonesia — 0.1%
	500,000		BB+	Indonesia Government International Bond, 3.750% due 4/25/22		497,978
	Mexico — 1.0%
				Mexican Bonos:
	2,118,000	MXN	A	8.000% due 6/11/20		128,577
	30,492,700	MXN	A	6.500% due 6/9/22		1,750,538
	15,120,000	MXN	A	10.000% due 12/5/24		1,065,935
	46,325,700	MXN	A	7.750% due 11/13/42		2,840,002
				Mexico Government International Bond:
	61,000		BBB+	3.500% due 1/21/21		62,983
	174,000		BBB+	3.625% due 3/15/22		178,263
	400,000		BBB+	3.600% due 1/30/25		399,000
	78,000		BBB+	6.050% due 1/11/40		87,067
	828,000		BBB+	4.750% due 3/8/44		780,390
	300,000		BBB+	5.550% due 1/21/45		313,875
				Total Mexico		7,606,630
	Panama — 0.0%
	200,000		BBB	Panama Government International Bond, 4.000% due 9/22/24		208,000
	Peru — 0.1%
				Peruvian Government International Bond:
	218,000		BBB+	4.125% due 8/25/27		224,213
	60,000		BBB+	6.550% due 3/14/37		72,450
	290,000		BBB+	5.625% due 11/18/50		311,025
				Total Peru		607,688
	Poland — 0.4%
	10,340,000	PLN	A-	Poland Government Bond, 3.250% due 7/25/25		2,694,379
	610,000		BBB+	Poland Government International Bond, 4.000% due 1/22/24		656,894
				Total Poland		3,351,273
	Russia — 0.1%
				Russian Foreign Bond - Eurobond:
	357,595		BB+	step bond to yield, 7.500% due 3/31/30		437,227
	41,650		BB+	step bond to yield, 7.500% due 3/31/30(a)		50,925
				Total Russia		488,152

See Notes to Financial Statements.

120

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	South Africa — 0.0%
$	305,000	BBB-	South Africa Government International Bond, 5.875% due 9/16/25	$	320,276
	Turkey — 0.1%
	280,000	Baa3(c)	Turkey Government International Bond, 7.375% due 2/5/25		329,459
	Uruguay — 0.0%
			Uruguay Government International Bond:
	70,000	BBB	4.500% due 8/14/24		73,500
	85,000	BBB	4.375% due 10/27/27		85,850
			Total Uruguay		159,350
			TOTAL SOVEREIGN BONDS (Cost — $19,995,822)		16,889,922
	MUNICIPAL BONDS — 0.7%
	California — 0.2%
	80,000	AA-	California Health Facilities Financing Authority, Revenue Bonds, Sutter Health Project, Series A, 5.000% due 8/15/52		89,252
			State of California, GO:
	100,000	AA-	5.000% due 12/1/37		106,971
	150,000	AA-	5.000% due 9/1/42		173,910
			University of California, Revenue Bonds:
	25,000	AA	Series AD, 4.858% due 5/15/12		25,673
	400,000	AA	Series AJ, 4.601% due 5/15/31		445,756
	266,000	AA	Series AQ, 4.767% due 5/15/15		272,929
	90,000	AA-	Series G, 5.000% due 5/15/37		105,324
			Total California		1,219,815
	Delaware — 0.0%
	300,000	AA+	Northstar Education Finance Inc., Revenue Bonds, Student Loan Asset Backed Notes, Series 2007-1, GTDSTD-Insured, 1.588% due 1/29/46(b)		263,556
	Illinois — 0.1%
	280,000	A-	State of Illinois, GO, 5.500% due 7/1/24		325,928
	Massachusetts — 0.0%
	185,000	AA-	Massachusetts Development Finance Agency, Revenue Bonds, Series M-4, 5.000% due 7/1/44		207,232
	100,000	AA+	Massachusetts School Building Authority, Revenue Bonds, Series B, 5.000% due 10/15/41		116,787
			Total Massachusetts		324,019
	Minnesota — 0.0%
	325,000	AA+	Northstar Education Finance Inc., Revenue Bonds, Student Loan Asset Backed Notes, Series 2007-1, GTDSTD-Insured, 1.588% due 1/29/46(b)		285,519
	Missouri — 0.0%
	100,000	AAA	Metropolitan St Louis Sewer District, Revenue Bonds, Series A, 5.000% due 5/1/42		115,176
	Nevada — 0.1%
	435,000	AA+	Las Vegas Valley Water District, GO, Series B, 5.000% due 6/1/37		501,572
	New Jersey — 0.0%
	165,000	A-	New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series AA, 5.000% due 6/15/36		174,047
	New York — 0.2%
	500,000	AA	City of New York, GO, Series G-1, 5.968% due 3/1/36		647,845
	80,000	AAA	New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds, Series A, 5.000% due 11/1/42		91,879
			New York City Water & Sewer System, Revenue Bonds:
	120,000	AA+	Series BB 5.000% due 6/15/47		138,445

See Notes to Financial Statements.

121

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	New York — 0.2% — (continued)
$	300,000	AA+	Series CC 5.882% due 6/15/44	$	401,577
	270,000	AAA	New York State Urban Development Corp., Revenue Bonds, Series E, 5.000% due 3/15/24		331,036
			Total New York		1,610,782
	Texas — 0.0%
	235,000	A+	Dallas/Fort Worth International Airport, Revenue Bonds, Series A, 5.000% due 11/1/45(m)		254,124
	Virginia — 0.1%
	334,798	AAA	Virginia Housing Development Authority, Revenue Bonds, Series C, 6.000% due 6/25/34		347,996
			TOTAL MUNICIPAL BONDS (Cost — $5,211,668)		5,422,534
	SENIOR LOANS — 0.2%
	73,244	NR	Activision Blizzard Inc. (Restricted), 3.250% due 10/13/20		73,358
	46,304	NR	Berry Plastics Corp. (Restricted), 4.000% due 10/3/22		46,101
	300,000	NR	Charter Communications Operating LLC (Restricted), 3.500% due 1/24/23		298,938
	49,494	NR	FMG Resources August 2006 Pty Ltd. (Restricted), 4.250% due 6/30/19		38,181
	205,275	NR	Gardner Denver Inc. (Restricted), 4.250% due 7/30/20		169,865
	192,270	NR	Hilton Worldwide Finance LLC (Restricted), 3.500% due 10/26/20		191,936
	49,875	NR	Jarden Corp. (Restricted), 3.188% due 7/30/22		49,844
	204,225	NR	Michaels Stores Inc. (Restricted), 3.750% due 1/28/20		202,151
	309,225	NR	Party City Holdings Inc. (Restricted), 4.250% due 8/19/22		297,552
			TOTAL SENIOR LOANS (Cost — $1,429,517)		1,367,926
Shares/Units
	PREFERRED STOCK — 0.1%
	FINANCIALS — 0.1%
	Banks — 0.1%
	30,275		GMAC Capital Trust I, 6.402%(b) (Cost — $751,009)		734,472
Number of Contracts
	PURCHASED OPTIONS — 0.0%
	United States — 0.0%
	63		Option on 3-Month Eurodollar March Futures, Call @ $99.50, expires 03/14/2016, GSC		394
	329		Option on 3-Month Eurodollar March Futures, Put @ $99.38, expires 03/14/2016, GSC		32,900
	28		U.S. Treasury 10-Year Note April Futures, Put @ $127.50, expires 03/24/2016, GSC		1,312
	26		U.S. Treasury 10-Year Note April Futures, Put @ $129.00, expires 03/24/2016, GSC		4,875
			Total United States		39,481
			TOTAL PURCHASED OPTIONS (Cost — $68,581)		39,481
			TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $760,887,455)		761,264,661

See Notes to Financial Statements.

122

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund
Face Amount†			Security	Value
	SHORT-TERM INVESTMENTS (n) — 4.1%
	MONEY MARKET FUND — 0.1%
$	499,205		Invesco STIT — Government & Agency Portfolio(o) (Cost — $499,205)	$	499,205
	TIME DEPOSITS — 2.4%
	10,490,294		ANZ National Bank — London, 0.150% due 3/1/16		10,490,294
	44,098	EUR	DNB — Oslo, (0.310)% due 3/1/16		47,906
	8,130,111		Wells Fargo — Grand Cayman, 0.150% due 3/1/16		8,130,111
			TOTAL TIME DEPOSITS (Cost — $18,668,311)		18,668,311
	U.S. GOVERNMENT OBLIGATIONS — 1.6%
			U.S. Treasury Bills:
	4,095,000		0.230% due 4/7/16(p)(q)		4,094,032
	1,700,000		0.255% due 4/21/16(p)		1,699,386
	1,925,000		0.343% due 5/5/16(p)		1,923,810
	4,595,000		0.436% due 8/18/16(p)		4,585,572
			TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $12,302,800)		12,302,800
			TOTAL SHORT-TERM INVESTMENTS (Cost — $31,470,316)		31,470,316
			TOTAL INVESTMENTS — 103.4% (Cost — $792,357,771#)		792,734,977
			Liabilities in Excess of Other Assets — (3.4)%		(25,578,160	)
			TOTAL NET ASSETS — 100.0%	$	767,156,817

† Amount denominated in U.S. dollars, unless otherwise noted.

†† All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited.

(a) Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.

(b) Variable rate security. Interest rate disclosed is that which was in effect at February 29, 2016.

(c) Rating by Moody’s Investors Service. All ratings are unaudited.

(d) Security is perpetual in nature and has no stated maturity date.

(e) All or a portion of this security is on loan (See Note 1).

(f) Security is valued in good faith at fair value by or under the direction of the Board of Trustees.

(g) Illiquid security.

(h) Security is currently in default.

(i) This security is traded on a TBA basis (see Note 1).

(j) Rating by Fitch Ratings Service. All ratings are unaudited.

(k) Interest only security.

(l) Principal only security.

(m) Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (AMT).

(n) Inclusive of all short term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 3.5%.

(o) Represents investment of collateral received from securities lending transactions.

(p) Rate shown represents yield-to-maturity.

(q) All or a portion of this security is held at the broker as collateral for open futures contracts.

# Aggregate cost for federal income tax purposes is substantially the same.

See Notes to Financial Statements.

123

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund

Abbreviations used in this schedule:
ABS	— Asset-Based Security
CLO	— Collateralized Loan Obligation
GO	— General Obligation
GTDSTD	— Guaranteed Student Loans
MASTR	— Mortgage Asset Securitization Transactions Inc.
PLC	— Public Limited Company
REMICS	— Real Estate Mortgage Investment Conduit
STRIP	— Separate Trading of Registered Interest and Principal

Summary of Investments by Security Type^
Corporate Bonds & Notes	28.4	%
Mortgage-Backed Securities	23.6
U.S. Government & Agency Obligations	23.5
Collateralized Mortgage Obligations	15.0
Asset-Backed Securities	2.4
Sovereign Bonds	2.1
Municipal Bonds	0.7
Senior Loans	0.2
Preferred Stocks	0.1
Purchased Options	0.0	*
Short-Term Investments	4.0
	100.0	%

^ As a percentage of total investments.

* Position represents less than 0.1%

Schedule of Options Contracts Written

Number of Contracts		Security Name	Counterparty		Expiration Date		Strike Price		Value
	United States
	28	3-Month Eurodollar March Futures, Call		GSC		3/14/16	$	99.25	$	6,300
	412	3-Month Eurodollar March Futures, Put		GSC		3/14/16		99.25		2,575
	18	U.S. Treasury 10-Year Note April Futures, Call		GSC		3/24/16		130.00		18,000
		TOTAL OPTIONS CONRACTS WRITTEN (Premiums received — $37,293)							$	26,875

During the period ended February 29, 2016, options contracts written transactions for Core Fixed Income Fund was as follows:

	Number of Contracts			Premiums Received
Options contracts written, outstanding at August 31, 2015		5,470,630		$	420,248
Options written		2,055			584,669
Options closed		(5,471,151	)		(573,540	)
Options expired		(1,076	)		(394,084	)
Options contracts written, outstanding at February 29, 2016		458		$	37,293

See Notes to Financial Statements.

124

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund

Schedule of Forward Sale Commitments

Face Amount		Security	Value
		Federal National Mortgage Association (FNMA)
$	6,400,000	3.500% due 3/1/46(a)	$	6,705,818
		TOTAL OPEN FORWARD SALE COMMITMENTS (Proceeds — $6,687,000)	$	6,705,818

(a) This security is traded on a TBA basis (see Note 1).

At February 29, 2016, Core Fixed Income Fund had open exchange traded futures contracts as described below.

Open Futures Contracts	Number of Contracts		Expiration Date (Month/Year)		Market Value		Unrealized Appreciation/ (Depreciation)
Contracts to Buy:
90-Day Eurodollar March Futures		49		3/17	$	12,143,425	$	53,000
U.S. Treasury 2-Year Note June Futures		88		6/16		19,232,125		(14,307	)
U.S. Treasury 5-Year Note June Futures		233		6/16		28,189,360		(4,045	)
								34,648
Contracts to Sell:
90-Day Eurodollar December Futures		527		12/16		130,649,887		(130,388	)
90-Day Eurodollar December Futures		61		12/17		15,094,450		(75,188	)
90-Day Eurodollar March Futures		324		3/16		80,463,375		(15,187	)
Euro FX Currency March Futures		6		3/16		816,375		2,250
Euro-BOBL March Futures		7		3/16		1,015,255		(10,660	)
Euro-Bund March Futures		40		3/16		7,248,228		(275,866	)
U.S. Treasury 10-Year Note June Futures		166		6/16		21,665,594		8,172
U.S. Treasury Long Bond June Futures		24		6/16		3,948,750		7,680
U.S. Ultra Long Bond June Futures		23		6/16		3,982,594		(4,738	)
								(493,925	)
Net Unrealized Depreciation on Open Exchange Traded Futures Contracts							$	(459,277	)

At February 29, 2016, Core Fixed Income Fund had deposited cash of $844,868 with a broker or brokers as margin collateral on open exchange traded futures contracts.

See Notes to Financial Statements.

125

Schedules of Investments

(unaudited) (continued)

Core Fixed Income Fund

At February 29, 2016, Core Fixed Income Fund had open forward foreign currency contracts as described below.

Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
Contracts to Sell:
Brazilian Real		5,881,000		BCLY	$	1,448,136		4/12/16	$	(39,277	)
Chinese Onshore Renminbi		10,230,000		BCLY		1,557,777		4/12/16		(33,641	)
Chinese Onshore Renminbi		9,350,000		BCLY		1,423,774		4/12/16		(31,576	)
Chinese Onshore Renminbi		5,100,000		BCLY		776,604		4/12/16		(16,771	)
Chinese Onshore Renminbi		5,120,000		BCLY		779,650		4/12/16		(16,837	)
Chinese Onshore Renminbi		14,910,000		CITI		2,270,425		4/12/16		(31,854	)
Chinese Onshore Renminbi		3,280,000		CITI		499,463		4/12/16		(8,372	)
Chinese Onshore Renminbi		6,380,000		CITI		971,517		4/12/16		(17,284	)
Euro		3,382,905		BCLY		3,684,677		4/12/16		1,016
Euro		1,045,683		BOA		1,138,963		4/12/16		309
Euro		6,885,000		CITI		7,499,175		4/12/16		(9,741	)
Japanese Yen		161,010,000		BOA		1,429,967		4/12/16		(58,128	)
Japanese Yen		322,522,102		CITI		2,864,392		4/12/16		(121,461	)
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts									$	(383,617	)

At February 29, 2016, Core Fixed Income Fund held the following Over The Counter Interest Rate Swap Contracts:

Pay/Receive Floating Rate

Floating Rate Index

Fixed Rate

Maturity Date

Counterparty

Notional Amount

Market Value

Upfront Premiums Paid/ (Received)

Unrealized (Depreciation)

Receive

3-Month USD-LIBOR

2.750%

02/17/2042

BCLY

USD 1,545,000

$

(222,378

)

$

—

$

(222,378

)

At February 29, 2016, Core Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:

Pay/Receive Floating Rate

Floating Rate Index

Fixed Rate

Maturity Date

Counterparty

Notional Amount

Unrealized (Depreciation)

Receive

3-Month USD-LIBOR

3.676%

11/15/2043

BCLY

USD    910,000

$

(324,556

)

At February 29, 2016, Core Fixed Income Fund deposited cash collateral with brokers in the amount of $90,756 for open Centrally Cleared Interest Rate Swap Contracts.

Currency Abbreviations used in this schedule:		Counterparty Abbreviations used in this schedule:
BRL	— Brazilian Real	BCLY	— Barclays Bank PLC
CNH	— Chinese Offshore Renminbi	BOA	— Bank of America
CNY	— Chinese Onshore Renminbi	CITI	— Citigroup Global Markets Inc.
MXN	— Mexican Peso	GSC	— Goldman Sachs & Co.
PLN	— Polish Zloty

See pages 168 and 169 for definitions of ratings.

See Notes to Financial Statements.

126

Schedules of Investments

(unaudited) (continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	CORPORATE BONDS & NOTES — 91.5%
	Aerospace & Defense — 0.5%
$	610,000	BB-	CBC Ammo LLC/CBC FinCo Inc., Senior Unsecured Notes, 7.250% due 11/15/21(a)	$	481,900
	310,000	B	LMI Aerospace Inc., Secured Notes, 7.375% due 7/15/19		290,625
	320,000	B+	Triumph Group Inc., Company Guaranteed Notes, 4.875% due 4/1/21		257,600
			Total Aerospace & Defense		1,030,125
	Airlines — 1.5%
	625,000	B	Air Canada, Company Guaranteed Notes, 7.750% due 4/15/21(a)		607,812
	273,947	BBB-	American Airlines Class B Pass Through Trust, Series 2013-1, Pass Thru Certificates, 5.625% due 1/15/21(a)		275,659
	584,478	BBB-	American Airlines Class B Pass Through Trust, Series 2013-2, Pass Thru Certificates, 5.600% due 7/15/20(a)		588,131
	40,000	BB	American Airlines Class C Pass Through Trust, Series 2013-1, Pass Thru Certificates, 6.125% due 7/15/18(a)		41,000
	430,000	B+	American Airlines Group Inc., Company Guaranteed Notes, 5.500% due 10/1/19(a)		433,182
	102,266	BB+	Continental Airlines Class B Pass Through Trust, Series 2007-1, Pass Thru Certificates, 6.903% due 4/19/22		106,357
	24,473	BBB	Continental Airlines Class B Pass Through Trust, Series 2012-2, Pass Thru Certificates, 5.500% due 10/29/20		24,809
	47,220	BBB	Delta Air Lines Class B Pass Through Trust, Series 2007-1, Pass Thru Certificates, 8.021% due 8/10/22		53,064
	39,271	A-	Delta Air Lines Class B Pass Through Trust, Series 2009-1, Pass Thru Certificates, 9.750% due 12/17/16		41,480
	164,074	BBB	United Airlines Class B Pass Through Trust. Series 2013-1, Pass Thru Certificates, 5.375% due 8/15/21		166,741
	399,879	BBB	United Airlines Class B Pass Through Trust, Series 2014-1, Pass Thru Certificates, 4.750% due 4/11/22		395,380
	270,000	BBB	United Airlines Class B Pass Through Trust, Series 2014-2, Pass Thru Certificates, 4.625% due 9/3/22		271,688
	200,711	BBB-	US Airways Class B Pass Through Trust, Series 2012-2, Pass Thru Certificates, 6.750% due 6/3/21		206,481
			Total Airlines		3,211,784
	Automobiles — 1.7%
			American Axle & Manufacturing Inc., Company Guaranteed Notes:
	440,000	BB-	5.125% due 2/15/19		438,350
	320,000	BB-	6.625% due 10/15/22		324,800
	350,000	BB-	Fiat Chrysler Automobiles NV, Senior Unsecured Notes, 5.250% due 4/15/23		332,500
			General Motors Co., Senior Unsecured Notes:
	70,000	BBB-	6.600% due 4/1/36		72,708
	560,000	BBB-	5.200% due 4/1/45		485,431
	30,000	BBB-	6.750% due 4/1/46		31,485
	350,000	BB	Goodyear Tire & Rubber Co. (The), Company Guaranteed Notes, 5.125% due 11/15/23		361,375
	980,000	B	Schaeffler Holding Finance BV, Senior Secured Notes, 6.875% (6.875% Cash or 7.625% PIK) due 8/15/18(a)(b)		1,006,950
	460,000	BB	ZF North America Capital Inc., Company Guaranteed Notes, 4.750% due 4/29/25(a)		441,025
			Total Automobiles		3,494,624
	Banks — 2.5%
			Bank of America Corp., Junior Subordinated Notes:
	260,000	BB+	5.200%(c)(d)		236,600
	150,000	BB+	6.500%(c)(d)		153,187
	200,000	BB+	Barclays Bank PLC, Subordinated Notes, 7.625% due 11/21/22		202,625
	200,000	B+	Barclays PLC, Junior Subordinated Notes, 8.250%(c)(d)		190,768

See Notes to Financial Statements.

127

Schedules of Investments

(unaudited) (continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Banks — 2.5% — (continued)
			CIT Group Inc., Senior Unsecured Notes:
$	730,000	BB+	5.375% due 5/15/20	$	755,550
	30,000	BB+	5.000% due 8/15/22		30,187
	1,250,000	BB+	5.000% due 8/1/23		1,253,125
	250,000	BBB+	Cooperatieve Rabobank UA, Bank Guaranteed Notes, 5.250% due 8/4/45		256,211
	210,000	BB+	Credit Agricole SA, Junior Subordinated Notes, 8.375%(a)(c)(d)		228,375
	310,000	Baa3(e)	HSBC Holdings PLC, Junior Subordinated Notes, 6.375%(c)(d)		285,123
	170,000	BBB-	M&T Bank Corp., Junior Subordinated Notes, 6.875%(d)		170,748
	785,000	B	Provident Funding Associates LP/PFG Finance Corp., Company Guaranteed Notes, 6.750% due 6/15/21(a)		755,562
	620,000	BB	Royal Bank of Scotland Group PLC, Subordinated Notes, 6.000% due 12/19/23		627,202
			Total Banks		5,145,263
	Beverages — 1.2%
	510,000	B-	Beverages & More Inc., Senior Secured Notes, 10.000% due 11/15/18(a)		455,812
	370,000	B-	Carolina Beverage Group LLC/Carolina Beverage Group Finance Inc., Senior Secured Notes, 10.625% due 8/1/18(a)		355,200
			Constellation Brands Inc., Company Guaranteed Notes:
	270,000	BB+	4.250% due 5/1/23		281,137
	430,000	BB+	4.750% due 12/1/25		450,963
			Cott Beverages Inc., Company Guaranteed Notes:
	260,000	B-	6.750% due 1/1/20		274,300
	330,000	B-	5.375% due 7/1/22		329,175
	370,000	BB-	DS Services of America Inc., Secured Notes, 10.000% due 9/1/21(a)		417,638
			Total Beverages		2,564,225
	Biotechnology — 0.1%
	220,000	B+	AMAG Pharmaceuticals Inc., Company Guaranteed Notes, 7.875% due 9/1/23(a)		192,500
	Building Products — 0.6%
	415,000	BB-	Griffon Corp., Company Guaranteed Notes, 5.250% due 3/1/22		395,806
	240,000	B	Hardwoods Acquisition Inc., Senior Secured Notes, 7.500% due 8/1/21(a)		114,000
			Standard Industries Inc., Senior Unsecured Notes:
	130,000	BBB-	5.125% due 2/15/21(a)		133,250
	180,000	BBB-	5.500% due 2/15/23(a)		183,150
	450,000	B	Woodside Homes Co. LLC/Woodside Homes Finance Inc., Company Guaranteed Notes, 6.750% due 12/15/21(a)		384,750
			Total Building Products		1,210,956
	Capital Markets — 0.2%
	510,000	BBB-	E*TRADE Financial Corp., Senior Unsecured Notes, 5.375% due 11/15/22		531,364
	Chemicals — 0.7%
	500,000	BB	Axiall Corp., Company Guaranteed Notes, 4.875% due 5/15/23		486,875
	185,000	BB+	Blue Cube Spinco Inc., Company Guaranteed Notes, 9.750% due 10/15/23(a)		206,737
	220,000	CCC+	Eco Services Operations LLC/Eco Finance Corp., Senior Unsecured Notes, 8.500% due 11/1/22(a)		198,000
	90,000	B+	Hercules Inc., Junior Subordinated Notes, 6.500% due 6/30/29		77,391
	400,000	CCC	Hexion Inc., Senior Secured Notes, 8.875% due 2/1/18		267,000
	385,000	B+	Platform Specialty Products Corp., Senior Unsecured Notes, 6.500% due 2/1/22(a)		313,775
			Total Chemicals		1,549,778
	Commercial Services & Supplies — 3.9%
			ADT Corp. (The), Senior Unsecured Notes:
	300,000	BB-	6.250% due 10/15/21		294,000
	500,000	BB-	4.875% due 7/15/42(f)		335,000
	600,000	B	Ahern Rentals Inc., Secured Notes, 7.375% due 5/15/23(a)(f)		363,000

See Notes to Financial Statements.

128

Schedules of Investments

(unaudited) (continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Commercial Services & Supplies — 3.9% — (continued)
			Ashtead Capital Inc., Secured Notes:
$	460,000	BB	6.500% due 7/15/22(a)	$	474,950
	380,000	BB	5.625% due 10/1/24(a)		378,100
	210,000	CCC+	Garda World Security Corp., Company Guaranteed Notes, 7.250% due 11/15/21(a)		148,050
	390,000	B3(e)	GFL Escrow Corp., Senior Unsecured Notes, 9.875% due 2/1/21(a)		397,800
	744,000	BB-	H&E Equipment Services Inc., Company Guaranteed Notes, 7.000% due 9/1/22(g)		712,380
	325,000	B	Hertz Corp. (The), Company Guaranteed Notes, 7.500% due 10/15/18		329,875
	790,000	B-	Jaguar Holding Co. II/Pharmaceutical Product Development LLC, Company Guaranteed Notes, 6.375% due 8/1/23(a)		807,775
	400,000	BB-	Mobile Mini Inc., Company Guaranteed Notes, 7.875% due 12/1/20		409,000
	470,000	B-	Modular Space Corp., Secured Notes, 10.250% due 1/31/19(a)		131,600
	470,000	CCC+	Monitronics International Inc., Company Guaranteed Notes, 9.125% due 4/1/20		400,675
	110,000	B-	NES Rentals Holdings Inc., Secured Notes, 7.875% due 5/1/18(a)		87,450
	315,000	B-	Park-Ohio Industries Inc., Company Guaranteed Notes, 8.125% due 4/1/21		318,150
	110,000	B-	StoneMor Partners LP/Cornerstone Family Services of West Virginia Subsidiary, Company Guaranteed Notes, 7.875% due 6/1/21		112,200
			United Rentals North America Inc., Company Guaranteed Notes:
	1,345,000	BB-	7.625% due 4/15/22		1,436,621
	500,000	BB-	5.750% due 11/15/24		489,900
	670,000	B+	West Corp., Company Guaranteed Notes, 5.375% due 7/15/22(a)		602,163
			Total Commercial Services & Supplies		8,228,689
	Communications Equipment — 0.3%
			CommScope Inc.:
	295,000	B	Company Guaranteed Notes, 5.500% due 6/15/24(a)		287,256
	60,000	BB	Senior Secured Notes, 4.375% due 6/15/20(a)		61,200
	350,000	B	CommScope Technologies Finance LLC, Senior Unsecured Notes, 6.000% due 6/15/25(a)		348,250
			Total Communications Equipment		696,706
	Construction Materials — 0.6%
	733,687	B-	Michael Baker Holdings LLC/Michael Baker Finance Corp., Senior Unsecured Notes, 8.875% (8.875% cash or 9.625% PIK) due 4/15/19(a)(b)		520,918
	400,000	B+	Michael Baker International LLC/CDL Acquisition Co., Inc., Senior Secured Notes, 8.250% due 10/15/18(a)		342,000
	430,000	BB-	US Concrete Inc., Senior Secured Notes, 8.500% due 12/1/18		447,200
			Total Construction Materials		1,310,118
	Consumer Finance — 1.3%
			Ally Financial Inc.:
			Company Guaranteed Notes:
	209,000	BB+	8.000% due 3/15/20		233,035
	224,000	BB+	7.500% due 9/15/20		248,080
	335,000	BB+	8.000% due 11/1/31		370,175
			Subordinated Notes:
	150,000	BB-	8.000% due 12/31/18		163,500
	340,000	BB-	5.750% due 11/20/25		331,075
	640,000	BB	Credit Acceptance Corp., Company Guaranteed Notes, 6.125% due 2/15/21		597,600
	170,000	BB	First Cash Financial Services Inc., Company Guaranteed Notes, 6.750% due 4/1/21		164,050
			Navient Corp., Senior Unsecured Notes:
	120,000	BB-	8.450% due 6/15/18		128,176
	140,000	BB-	5.875% due 3/25/21		123,375
	380,000	BB-	5.875% due 10/25/24		309,225
			Total Consumer Finance		2,668,291

See Notes to Financial Statements.

129

Schedules of Investments

(unaudited) (continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Containers & Packaging — 1.0%
			Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc.:
$	350,000	B+	Senior Secured Notes, 3.512% due 12/15/19(a)(c)	$	341,250
	215,294	Caa1(e)	Senior Unsecured Notes, 7.000% due 11/15/20(a)		201,300
	440,000	BB+	Ball Corp., Company Guaranteed Notes, 5.250% due 7/1/25		460,350
	290,000	CCC	BWAY Holding Co., Senior Unsecured Notes, 9.125% due 8/15/21(a)		242,150
	230,000	B-	Coveris Holdings SA, Company Guaranteed Notes, 7.875% due 11/1/19(a)		184,000
			Pactiv LLC, Senior Unsecured Notes:
	190,000	CCC+	7.950% due 12/15/25		164,350
	680,000	CCC+	8.375% due 4/15/27		588,200
			Total Containers & Packaging		2,181,600
	Diversified Consumer Services — 0.3%
			Service Corp. International, Senior Unsecured Notes:
	500,000	BB	5.375% due 5/15/24		534,375
	130,000	BB	7.500% due 4/1/27		149,825
			Total Diversified Consumer Services		684,200
	Diversified Financial Services — 2.7%
			AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, Company Guaranteed Notes:
	280,000	BB+	4.500% due 5/15/21		283,150
	410,000	BB+	4.625% due 7/1/22(g)		412,050
	420,000	B+	Ausdrill Finance Pty Ltd., Company Guaranteed Notes, 6.875% due 11/1/19(a)		300,300
	990,000	BB+	Citigroup Inc., Junior Subordinated Notes, 5.950%(c)(d)		931,838
	710,000	Caa2(e)	Compiler Finance Sub Inc., Senior Unsecured Notes, 7.000% due 5/1/21(a)(f)		278,675
	410,000	B	Globe Luxembourg SCA, Senior Secured Notes, 9.625% due 5/1/18(a)		219,350
	500,000	B+	ILFC E-Capital Trust I, Limited Guaranteed Notes, 4.490% due 12/21/65(a)(c)		386,250
			International Lease Finance Corp., Senior Unsecured Notes:
	370,000	BB+	8.250% due 12/15/20		429,200
	155,000	BB+	8.625% due 1/15/22		184,256
	530,000	CCC+	Jack Cooper Holdings Corp., Senior Secured Notes, 10.250% due 6/1/20(a)		400,150
	740,000	B	KCA Deutag UK Finance PLC, Senior Secured Notes, 7.250% due 5/15/21(a)		340,400
	530,000	B-	OPE KAG Finance Sub Inc., Senior Unsecured Notes, 7.875% due 7/31/23(a)		516,088
	740,000	BB	Quicken Loans Inc., Company Guaranteed Notes, 5.750% due 5/1/25(a)		695,600
	160,000	B-	SPL Logistics Escrow LLC/SPL Logistics Finance Corp., Senior Secured Notes, 8.875% due 8/1/20(a)		136,800
	320,000	B	TMX Finance LLC/TitleMax Finance Corp., Senior Secured Notes, 8.500% due 9/15/18(a)		264,000
			Total Diversified Financial Services		5,778,107
	Diversified Telecommunication Services — 4.1%
			CenturyLink Inc., Senior Unsecured Notes:
	465,000	BB	5.625% due 4/1/20		472,556
	120,000	BB	6.450% due 6/15/21		122,474
	430,000	BB	5.800% due 3/15/22		419,250
	150,000	BB	6.750% due 12/1/23		147,188
	35,000	BB-	Cincinnati Bell Telephone Co. LLC, Company Guaranteed Notes, 6.300% due 12/1/28		31,150
	550,000	B-	Cogent Communications Finance Inc., Company Guaranteed Notes, 5.625% due 4/15/21(a)		523,875
	420,000	BB+	Inmarsat Finance PLC, Company Guaranteed Notes, 4.875% due 5/15/22(a)		413,175
			Intelsat Jackson Holdings SA, Company Guaranteed Notes:
	190,000	B+	7.250% due 10/15/20		132,050
	350,000	B+	7.500% due 4/1/21		245,000
	680,000	B+	5.500% due 8/1/23		445,400
			Level 3 Financing Inc., Company Guaranteed Notes:
	130,000	B	6.125% due 1/15/21		136,175
	225,000	B	5.375% due 8/15/22		232,031
	30,000	B	5.625% due 2/1/23		31,087
	770,000	B	5.125% due 5/1/23		788,288

See Notes to Financial Statements.

130

Schedules of Investments

(unaudited) (continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Diversified Telecommunication Services — 4.1% — (continued)
$	130,000	B	Techniplas LLC, Senior Secured Notes, 10.000% due 5/1/20(a)	$	84,825
	306,000	BB	UPCB Finance V Ltd., Senior Secured Notes, 7.250% due 11/15/21(a)		325,125
	430,000	BB	VimpelCom Holdings BV, Company Guaranteed Notes, 5.950% due 2/13/23(a)		409,360
			Virgin Media Finance PLC, Company Guaranteed Notes:
	885,000	B	6.375% due 4/15/23(a)		925,931
	470,000	B	6.000% due 10/15/24(a)		472,938
	260,000	BB-	Virgin Media Secured Finance PLC, Senior Secured Notes, 5.500% due 1/15/25(a)		262,600
			Windstream Services LLC, Company Guaranteed Notes:
	430,000	B+	7.750% due 10/15/20		357,308
	1,305,000	B+	7.750% due 10/1/21		1,059,497
	650,000	B+	7.500% due 6/1/22(g)		507,000
	50,000	B+	7.500% due 4/1/23		38,026
			Total Diversified Telecommunication Services		8,582,309
	Electric Utilities — 1.5%
			Calpine Corp., Senior Unsecured Notes:
	900,000	B	5.375% due 1/15/23		843,750
	240,000	B	5.750% due 1/15/25		216,900
	520,000	B+	Dynegy Inc., Company Guaranteed Notes, 6.750% due 11/1/19		484,575
	3,449	B-	FPL Energy National Wind Portfolio LLC, Senior Secured Notes, 6.125% due 3/25/19(a)		3,475
	477,404	CCC+	Miran Mid-Atlantic Series C Pass Through Trust, Pass Thru Certificates, 10.060% due 12/30/28		466,066
	1,210,000	B	NRG REMA LLC, Pass Thru Certificates, 9.681% due 7/2/26		1,175,212
			Total Electric Utilities		3,189,978
	Electronic Equipment, Instruments & Components — 0.6%
	95,000	B+	International Wire Group Holdings Inc., Secured Notes, 8.500% due 10/15/17(a)		94,406
	250,000	B	Radio Systems Corp., Secured Notes, 8.375% due 11/1/19(a)(f)		256,875
	1,050,000	BB-	WESCO Distribution Inc., Company Guaranteed Notes, 5.375% due 12/15/21		994,875
			Total Electronic Equipment, Instruments & Components		1,346,156
	Energy Equipment & Services — 0.9%
			CGG SA, Company Guaranteed Notes:
	520,000	CCC	6.500% due 6/1/21		178,100
	200,000	CCC	6.875% due 1/15/22		70,000
			Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes:
	665,000	BB-	5.000% due 1/15/18		640,475
	130,000	BB-	6.625% due 10/1/20(a)		115,700
	555,000	BB-	6.875% due 2/1/21		485,625
	326,000	BB-	6.375% due 8/1/22		281,990
	140,000	BB-	5.250% due 5/1/23		110,250
			Total Energy Equipment & Services		1,882,140
	Food Products — 1.3%
	585,000	B-	Diamond Foods Inc., Company Guaranteed Notes, 7.000% due 3/15/19(a)		606,937
			JBS USA LLC/JBS USA Finance Inc.:
	310,000	BB+	Company Guaranteed Notes, 7.250% due 6/1/21(a)		301,475
	530,000	BB+	Senior Unsecured Notes, 5.875% due 7/15/24(a)		471,700
			Kraft Heinz Foods Co.:
	170,000	BBB-	Company Guaranteed Notes, 7.125% due 8/1/39(a)		213,138
	132,000	BBB-	Secured Notes, 4.875% due 2/15/25(a)		144,557
	430,000	BB+	Pilgrim’s Pride Corp., Company Guaranteed Notes, 5.750% due 3/15/25(a)		419,788
	720,000	CCC+	Simmons Foods Inc., Secured Notes, 7.875% due 10/1/21(a)		612,000
			Total Food Products		2,769,595

See Notes to Financial Statements.

131

Schedules of Investments

(unaudited) (continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Health Care Equipment & Supplies — 2.0%
$	430,000	CCC+	Alere Inc., Company Guaranteed Notes, 6.500% due 6/15/20	$	447,200
	200,000	B-	ConvaTec Finance International SA, Company Guaranteed Notes, 8.250% (8.250% cash or 9.000% PIK) due 1/15/19(a)(b)		177,250
			DJO Finance LLC/DJO Finance Corp., Secured Notes:
	80,000	CCC	10.750% due 4/15/20(a)		64,800
	1,150,000	CCC+	8.125% due 6/15/21(a)		968,875
	260,000	B-	Greatbatch Ltd., Company Guaranteed Notes, 9.125% due 11/1/23(a)		253,500
	420,000	CCC+	Immucor Inc., Company Guaranteed Notes, 11.125% due 8/15/19		317,100
			Kinetic Concepts Inc./KCI USA Inc.:
	460,000	CCC+	Company Guaranteed Notes, 12.500% due 11/1/19(f)(g)		357,938
	585,000	B-	Secured Notes, 10.500% due 11/1/18		542,587
			Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Company Guaranteed Notes:
	40,000	BB-	5.750% due 8/1/22(a)		39,700
	420,000	BB-	5.625% due 10/15/23(a)		414,750
	50,000	BB-	5.500% due 4/15/25(a)		47,375
	670,000	B-	Universal Hospital Services Inc., Secured Notes, 7.625% due 8/15/20		584,575
			Total Health Care Equipment & Supplies		4,215,650
	Health Care Providers & Services — 5.4%
	695,000	B	Acadia Healthcare Co., Inc., Company Guaranteed Notes, 5.125% due 7/1/22		692,567
	430,000	B-	Amsurg Corp., Company Guaranteed Notes, 5.625% due 7/15/22		444,513
			Centene Escrow Corp., Senior Unsecured Notes:
	470,000	BB	5.625% due 2/15/21(a)		492,325
	160,000	BB	6.125% due 2/15/24(a)		170,200
			CHS/Community Health Systems Inc.:
	310,000	B-	Company Guaranteed Notes, 6.875% due 2/1/22		267,375
			Senior Secured Notes:
	120,000	BB	5.125% due 8/15/18		121,050
	645,000	BB	5.125% due 8/1/21		651,450
	300,000	B+	DaVita HealthCare Partners Inc., Company Guaranteed Notes, 5.125% due 7/15/24		305,812
			Fresenius Medical Care US Finance II Inc., Company Guaranteed Notes:
	360,000	BB+	5.875% due 1/31/22(a)		395,100
	300,000	BB+	4.750% due 10/15/24(a)		308,100
			HCA Inc.:
			Company Guaranteed Notes:
	495,000	B+	7.500% due 2/15/22		561,726
	1,025,000	B+	5.375% due 2/1/25		1,045,500
	60,000	B+	7.690% due 6/15/25		64,500
	250,000	B+	5.875% due 2/15/26		258,125
			Senior Secured Notes:
	580,000	BBB-	4.750% due 5/1/23		590,875
	450,000	BBB-	5.000% due 3/15/24		460,125
	290,000	B+	HealthSouth Corp., Company Guaranteed Notes, 5.125% due 3/15/23		287,100
	520,000	CCC+	IASIS Healthcare LLC/IASIS Capital Corp., Company Guaranteed Notes, 8.375% due 5/15/19		496,600
	310,000	B-	Kindred Healthcare Inc., Company Guaranteed Notes, 8.750% due 1/15/23		279,388
	130,000	BB	Molina Healthcare Inc., Company Guaranteed Notes, 5.375% due 11/15/22(a)		132,275
	1,160,000	B-	Select Medical Corp., Company Guaranteed Notes, 6.375% due 6/1/21		1,049,800
			Tenet Healthcare Corp., Senior Unsecured Notes:
	2,015,000	CCC+	8.125% due 4/1/22		1,991,062
	280,000	CCC+	6.750% due 6/15/23		255,150
			Total Health Care Providers & Services		11,320,718
	Hotels, Restaurants & Leisure — 6.7%
			1011778 BC ULC/New Red Finance Inc.:
	410,000	B-	Secured Notes, 6.000% due 4/1/22(a)		428,450
	446,000	B+	Senior Secured Notes, 4.625% due 1/15/22(a)		454,920

See Notes to Financial Statements.

132

Schedules of Investments

(unaudited) (continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Hotels, Restaurants & Leisure — 6.7% — (continued)
$	670,000	B	AMC Entertainment Inc., Company Guaranteed Notes, 5.750% due 6/15/25	$	694,288
	146,367	NR	Bossier Casino Venture Holdco Inc., Senior Secured Notes, 14.000% (0.000% cash or 14.000% PIK) due 2/9/18(a)(b)(f)(h)		132,989
	710,000	CCC+	Boyd Gaming Corp., Company Guaranteed Notes, 9.000% due 7/1/20		752,600
	560,000	BB+	Brunswick Corp., Company Guaranteed Notes, 4.625% due 5/15/21(a)		564,200
			Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Properties Finance Inc.:
	110,000	CCC-	Secured Notes, 11.000% due 10/1/21		95,425
	800,000	CCC+	Senior Secured Notes, 8.000% due 10/1/20		786,000
	700,000	B-	Carrols Restaurant Group Inc., Secured Notes, 8.000% due 5/1/22		743,750
	160,000	CCC+	CEC Entertainment Inc., Company Guaranteed Notes, 8.000% due 2/15/22		137,200
	550,000	BB	Churchill Downs Inc., Company Guaranteed Notes, 5.375% due 12/15/21(a)		567,875
	490,000	NR	Eldorado Resorts Inc., Company Guaranteed Notes, 7.000% due 8/1/23(a)		491,225
	545,000	CCC+	Golden Nugget Escrow Inc., Senior Unsecured Notes, 8.500% due 12/1/21(a)(f)		523,200
	170,000	B-	Greektown Holdings LLC/Greektown Mothership Corp., Senior Secured Notes, 8.875% due 3/15/19(a)		166,600
	440,000	BB	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Company Guaranteed Notes, 5.625% due 10/15/21		458,700
	160,000	CCC+	Landry’s Holdings II Inc., Senior Unsecured Notes, 10.250% due 1/1/18(a)		155,600
	565,000	B-	Landry’s Inc., Company Guaranteed Notes, 9.375% due 5/1/20 (a)		594,662
			MGM Resorts International, Company Guaranteed Notes:
	1,125,000	B+	6.625% due 12/15/21		1,200,937
	700,000	B+	7.750% due 3/15/22		765,625
			NCL Corp., Ltd., Senior Unsecured Notes:
	750,000	BB-	5.250% due 11/15/19(a)		753,750
	140,000	BB-	4.625% due 11/15/20(a)		136,850
	776,350	NR	New Cotai LLC/New Cotai Capital Corp., Senior Secured Notes, 10.625% (0.000% cash or 10.625% PIK) due 5/1/19(a)(b)		522,095
	835,000	CCC	PF Chang’s China Bistro Inc., Company Guaranteed Notes, 10.250% due 6/30/20(a)(f)		716,013
	400,000	B-	Regal Entertainment Group, Senior Unsecured Notes, 5.750% due 3/15/22		406,000
	725,000	BB-	Scientific Games International Inc., Senior Secured Notes, 7.000% due 1/1/22(a)		708,688
	280,000	BB+	Speedway Motorsports Inc., Company Guaranteed Notes, 5.125% due 2/1/23		282,800
	360,000	B	Studio City Finance Ltd., Company Guaranteed Notes, 8.500% due 12/1/20(a)		352,800
	430,000	B+	Viking Cruises Ltd., Senior Unsecured Notes, 6.250% due 5/15/25(a)		365,500
			Total Hotels, Restaurants & Leisure		13,958,742
	Household Durables — 2.3%
	350,000	BB	CalAtlantic Group Inc., Company Guaranteed Notes, 6.250% due 12/15/21		366,625
	545,000	B-	K Hovnanian Enterprises Inc., Senior Secured Notes, 7.250% due 10/15/20(a)		427,825
	530,000	BB	Lennar Corp., Company Guaranteed Notes, 4.875% due 12/15/23		519,400
			PulteGroup Inc., Senior Unsecured Notes:
	30,000	BB+	4.250% due 3/1/21		30,300
	350,000	BB+	5.500% due 3/1/26		355,687
	610,000	CCC+	Serta Simmons Bedding LLC, Senior Unsecured Notes, 8.125% due 10/1/20(a)		629,825
			Shea Homes LP/Shea Homes Funding Corp., Company Guaranteed Notes:
	170,000	B+	5.875% due 4/1/23(a)		167,025
	430,000	B+	6.125% due 4/1/25(a)		423,550
	1,145,000	BB-	Taylor Morrison Communities Inc./Monarch Communities Inc., Company Guaranteed Notes, 5.250% due 4/15/21(a)		1,070,575
			Toll Brothers Finance Corp., Company Guaranteed Notes:
	60,000	BB+	4.000% due 12/31/18		61,500
	60,000	BB+	6.750% due 11/1/19		66,600
			William Lyon Homes Inc., Company Guaranteed Notes:
	725,000	B-	8.500% due 11/15/20		725,000
	60,000	B-	7.000% due 8/15/22		55,200
			Total Household Durables		4,899,112

See Notes to Financial Statements.

133

Schedules of Investments

(unaudited) (continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Household Products — 2.4%
$	650,000	BB-	Brookfield Residential Properties Inc., Company Guaranteed Notes, 6.375% due 5/15/25(a)	$	521,625
	190,000	BB-	Central Garden & Pet Co., Company Guaranteed Notes, 6.125% due 11/15/23		194,750
	400,000	B-	Century Intermediate Holding Co. 2, Senior Unsecured Notes, 9.750% (0.000% cash or 9.750% PIK) due 2/15/19(a)(b)		408,500
	100,000	CCC	Kronos Acquisition Holdings Inc., Senior Unsecured Notes, 9.000% due 8/15/23(a)		87,500
	1,845,000	B+	Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Senior Secured Notes, 5.750% due 10/15/20		1,900,350
			Spectrum Brands Inc., Company Guaranteed Notes:
	780,000	B	6.625% due 11/15/22		843,375
	220,000	B	6.125% due 12/15/24		233,750
	653,000	B	5.750% due 7/15/25		691,364
	70,000	CCC	Sun Products Corp. (The), Senior Unsecured Notes, 7.750% due 3/15/21(a)		61,950
			Total Household Products		4,943,164
	Independent Power and Renewable Electricity Producers — 1.5%
			AES Corp., Senior Unsecured Notes:
	400,000	BB-	4.875% due 5/15/23		362,000
	150,000	BB-	5.500% due 3/15/24		138,750
			NRG Energy Inc.:
			Company Guaranteed Notes:
	355,000	BB-	8.250% due 9/1/20		340,800
	555,000	BB-	7.875% due 5/15/21		526,556
	1,265,000	BB-	6.250% due 7/15/22		1,075,250
	230,000	BB-	Senior Unsecured Notes, 7.625% due 1/15/18		239,488
	470,000	B+	Red Oak Power LLC, Senior Secured Notes, 9.200% due 11/30/29		484,100
			Total Independent Power and Renewable Electricity Producers		3,166,944
	Industrial Conglomerates — 1.1%
			American Builders & Contractors Supply Co., Inc., Senior Unsecured Notes:
	370,000	BB-	5.625% due 4/15/21(a)		380,175
	250,000	BB-	5.750% due 12/15/23(a)		258,125
			HD Supply Inc.:
	1,035,000	B-	Company Guaranteed Notes, 7.500% due 7/15/20		1,094,512
	550,000	BB-	Senior Secured Notes, 5.250% due 12/15/21(a)		578,188
			Total Industrial Conglomerates		2,311,000
	Insurance — 1.0%
			CNO Financial Group Inc., Senior Unsecured Notes:
	90,000	BB+	4.500% due 5/30/20		89,887
	470,000	BB+	5.250% due 5/30/25		457,663
	500,000	BB-	Fidelity & Guaranty Life Holdings Inc., Senior Unsecured Notes, 6.375% due 4/1/21(a)		510,000
			Genworth Holdings Inc., Company Guaranteed Notes:
	250,000	B	7.700% due 6/15/20		178,750
	500,000	B	4.900% due 8/15/23		295,000
	585,000	CCC+	HUB International Ltd., Senior Unsecured Notes, 7.875% due 10/1/21(a)		525,037
			Total Insurance		2,056,337
	Internet Software & Services — 2.1%
	490,000	CCC+	Ancestry.com Holdings LLC, Senior Unsecured Notes, 9.625% (9.625% cash or 10.375% PIK) due 10/15/18(a)(b)		469,788
	70,000	CCC+	Ancestry.com Inc., Company Guaranteed Notes, 11.000% due 12/15/20		74,025
	700,000	B+	Cogent Communications Group Inc., Senior Secured Notes, 5.375% due 3/1/22(a)		680,750
	350,000	B+	CyrusOne LP/CyrusOne Finance Corp., Company Guaranteed Notes, 6.375% due 11/15/22		357,000
			EarthLink Holdings Corp.:
	653,000	CCC+	Company Guaranteed Notes, 8.875% due 5/15/19		654,632
	555,000	B+	Senior Secured Notes, 7.375% due 6/1/20		561,938

See Notes to Financial Statements.

134

Schedules of Investments

(unaudited) (continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Internet Software & Services — 2.1% — (continued)
$	495,000	BB	Equinix Inc., Senior Unsecured Notes, 5.375% due 4/1/23	$	531,976
	555,000	BB-	Match Group Inc., Senior Unsecured Notes, 6.750% due 12/15/22(a)		564,713
	500,000	B+	Netflix Inc., Senior Unsecured Notes, 5.750% due 3/1/24		526,875
			Total Internet Software & Services		4,421,697
	Leisure Products — 0.1%
	240,000	B	Downstream Development Authority of the Quapaw Tribe of Oklahoma, Senior Secured Notes, 10.500% due 7/1/19(a)		228,600
	Machinery — 0.7%
	630,000	CCC+	DH Services Luxembourg Sarl, Company Guaranteed Notes, 7.750% due 12/15/20(a)		626,850
	425,000	CCC+	Milacron LLC/Mcron Finance Corp., Company Guaranteed Notes, 7.750% due 2/15/21(a)		354,875
	520,000	B	Xerium Technologies Inc., Company Guaranteed Notes, 8.875% due 6/15/18(f)		501,800
			Total Machinery		1,483,525
	Media — 9.4%
	540,000	BB-	Altice Financing SA, Senior Secured Notes, 6.625% due 2/15/23(a)		534,600
	705,000	B	Altice Luxembourg SA, Company Guaranteed Notes, 7.625% due 2/15/25(a)		646,838
	160,000	BB	Carmike Cinemas Inc., Secured Notes, 6.000% due 6/15/23(a)		168,600
			CCO Holdings LLC/CCO Holdings Capital Corp., Company Guaranteed Notes:
	140,000	BB-	5.125% due 2/15/23		139,300
	30,000	BB-	5.875% due 4/1/24(a)		30,713
			CCO Safari II LLC, Senior Secured Notes:
	720,000	BBB-	4.908% due 7/23/25(a)		739,733
	220,000	BBB-	6.484% due 10/23/45(a)		232,596
	570,000	BB	CCOH Safari LLC, Senior Unsecured Notes, 5.750% due 2/15/26(a)		572,924
	275,000	B-	Cequel Communications Holdings I LLC/Cequel Capital Corp., Senior Unsecured Notes, 6.375% due 9/15/20(a)		270,187
	1,145,000	B-	Clear Channel Worldwide Holdings Inc., Company Guaranteed Notes, 7.625% due 3/15/20		1,006,594
			CSC Holdings LLC, Senior Unsecured Notes:
	500,000	BB	8.625% due 2/15/19		538,750
	780,000	BB	6.750% due 11/15/21		793,650
			DISH DBS Corp., Company Guaranteed Notes:
	900,000	BB-	7.875% due 9/1/19		978,291
	415,000	BB-	6.750% due 6/1/21		423,819
	1,000,000	BB-	5.875% due 7/15/22		960,000
	50,000	BB-	5.875% due 11/15/24		45,115
	745,000	B+	Entercom Radio LLC, Company Guaranteed Notes, 10.500% due 12/1/19		769,212
	530,000	CCC+	Gibson Brands Inc., Senior Secured Notes, 8.875% due 8/1/18(a)		315,350
	1,355,000	B	Gray Television Inc., Company Guaranteed Notes, 7.500% due 10/1/20		1,429,525
	160,000	BB-	Harron Communications LP/Harron Finance Corp., Senior Unsecured Notes, 9.125% due 4/1/20(a)		168,400
			iHeartCommunications Inc.:
	313,100	CC	Company Guaranteed Notes, 14.000% (12.000% cash or 2.000% PIK) due 2/1/21(b)		76,709
	965,000	CCC	Senior Secured Notes, 9.000% due 3/1/21		661,025
	245,000	BB-	Lamar Media Corp., Company Guaranteed Notes, 5.750% due 2/1/26 (a)		254,339
			LBI Media Inc.:
	458,710	CC	Company Guaranteed Notes, 13.500% (4.250% cash or 9.250% PIK) due 4/15/20(a)(b)(f)		433,481
	1,052	CC	Secured Notes, 13.500% (4.250% cash or 9.250% PIK) due 4/15/20(a)(b)(f)		994
	505,000	B-	Lee Enterprises Inc., Senior Secured Notes, 9.500% due 3/15/22(a)		480,381
	570,000	B+	LIN Television Corp., Company Guaranteed Notes, 5.875% due 11/15/22		574,988
	30,000	B-	MHGE Parent LLC/MHGE Parent Finance Inc., Senior Unsecured Notes, 8.500% due 8/1/19(a)		29,513
	660,000	B	Midcontinent Communications & Midcontinent Finance Corp., Company Guaranteed Notes, 6.250% due 8/1/21(a)		669,900
	400,000	BB-	Neptune Finco Corp., Senior Unsecured Notes, 6.625% due 10/15/25(a)		423,000

See Notes to Financial Statements.

135

Schedules of Investments

(unaudited) (continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Media — 9.4% — (continued)
$	935,000	BB-	Nexstar Broadcasting Inc., Company Guaranteed Notes, 6.875% due 11/15/20	$	952,531
			Numericable-SFR SAS, Senior Secured Notes:
	430,000	B+	6.000% due 5/15/22(a)		427,850
	1,110,000	B+	6.250% due 5/15/24(a)		1,087,800
	130,000	BB-	Outfront Media Capital LLC/Outfront Media Capital Corp., Company Guaranteed Notes, 5.250% due 2/15/22		133,413
	1,480,000	CCC	Radio One Inc., Company Guaranteed Notes, 9.250% due 2/15/20(a)(f)		1,084,100
	290,000	B+	Sinclair Television Group Inc., Company Guaranteed Notes, 5.625% due 8/1/24(a)		290,725
	465,000	BB	Time Inc., Company Guaranteed Notes, 5.750% due 4/15/22(a)		393,506
	900,000	B+	Univision Communications Inc., Senior Secured Notes, 5.125% due 2/15/25(a)		883,125
			Total Media		19,621,577
	Metals & Mining — 1.2%
			Alcoa Inc., Senior Unsecured Notes:
	530,000	BBB-	5.125% due 10/1/24		481,637
	240,000	BBB-	5.950% due 2/1/37		188,400
	500,000	BB	ArcelorMittal, Senior Unsecured Notes, 7.250% due 2/25/22(g)		453,700
	250,000	B-	Barminco Finance Pty Ltd., Company Guaranteed Notes, 9.000% due 6/1/18(a)		191,563
	365,000	B	Coeur Mining Inc., Company Guaranteed Notes, 7.875% due 2/1/21		260,975
	370,000	BB+	FMG Resources August 2006 Pty Ltd., Senior Secured Notes, 9.750% due 3/1/22(a)		349,650
			Freeport-McMoRan Inc.:
	150,000	BB	Company Guaranteed Notes, 4.000% due 11/14/21		102,750
	110,000	BB	Senior Unsecured Notes, 3.550% due 3/1/22		73,700
	200,000	B+	Global Brass & Copper Inc., Senior Secured Notes, 9.500% due 6/1/19		211,500
	190,000	NR	Midwest Vanadium Pty Ltd., Senior Secured Notes, 11.500% due 2/15/18(a)(f)(i)		11,875
			Mirabela Nickel Ltd.:
	287,343	NR	Senior Secured Notes, 9.500% due 6/24/19(a)(f)		151,892
	1,139	NR	Subordinated Notes, 1.000% due 9/10/44(a)(f)(h)		—
			Total Metals & Mining		2,477,642
	Multiline Retail — 0.5%
			JC Penney Corp., Inc., Company Guaranteed Notes:
	565,000	CCC-	7.950% due 4/1/17		586,187
	360,000	CCC-	8.125% due 10/1/19(g)		366,300
			Total Multiline Retail		952,487
	Oil, Gas & Consumable Fuels — 9.9%
			Antero Resources Corp., Company Guaranteed Notes:
	210,000	BB	5.375% due 11/1/21		182,700
	635,000	BB	5.125% due 12/1/22		544,513
	210,000	BB	Atwood Oceanics Inc., Senior Unsecured Notes, 6.500% due 2/1/20		89,250
			Berry Petroleum Co. LLC, Senior Unsecured Notes:
	30,000	CCC-	6.750% due 11/1/20		3,450
	430,000	CCC-	6.375% due 9/15/22		48,375
	950,000	B-	Blue Racer Midstream LLC/Blue Racer Finance Corp., Company Guaranteed Notes, 6.125% due 11/15/22(a)		717,250
	810,000	CCC	Bonanza Creek Energy Inc., Company Guaranteed Notes, 6.750% due 4/15/21		245,025
	70,000	CCC	BreitBurn Energy Partners LP/BreitBurn Finance Corp., Company Guaranteed Notes, 7.875% due 4/15/22		7,350
			California Resources Corp., Company Guaranteed Notes:
	30,000	CCC+	5.500% due 9/15/21		4,200
	870,000	CCC+	6.000% due 11/15/24		115,275
	280,000	B	Calumet Specialty Products Partners LP/Calumet Finance Corp., Company Guaranteed Notes, 7.625% due 1/15/22		168,350

See Notes to Financial Statements.

136

Schedules of Investments

(unaudited) (continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Oil, Gas & Consumable Fuels — 9.9% — (continued)
			Carrizo Oil & Gas Inc., Company Guaranteed Notes:
$	920,000	B+	7.500% due 9/15/20	$	717,600
	130,000	B+	6.250% due 4/15/23		92,950
			Chesapeake Energy Corp., Company Guaranteed Notes:
	20,000	CC	3.872% due 4/15/19(c)		4,050
	150,000	CC	6.875% due 11/15/20		33,000
	560,000	CC	6.125% due 2/15/21		120,400
	120,000	CC	4.875% due 4/15/22		25,800
	120,000	CC	5.750% due 3/15/23		25,800
	470,000	BB-	Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., Company Guaranteed Notes, 6.375% due 3/15/24		133,950
	230,000	BB+	Concho Resources Inc., Company Guaranteed Notes, 5.500% due 4/1/23		215,050
			Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., Company Guaranteed Notes:
	380,000	BB-	6.000% due 12/15/20		276,450
	250,000	BB-	6.125% due 3/1/22		181,250
			DCP Midstream LLC:
	265,000	B+	Junior Subordinated Notes, 5.850% due 5/21/43(a)(c)(f)		141,775
			Senior Unsecured Notes:
	115,000	BB	5.350% due 3/15/20(a)(f)		86,822
	200,000	BB	4.750% due 9/30/21(a)(f)		136,725
	290,000	BB	DCP Midstream Operating LP, Company Guaranteed Notes, 4.950% due 4/1/22		219,991
	64,000	BBB	Ecopetrol SA, Senior Unsecured Notes, 5.875% due 9/18/23		56,941
			EP Energy LLC/Everest Acquisition Finance Inc., Company Guaranteed Notes:
	420,000	CCC+	9.375% due 5/1/20		124,950
	120,000	CCC+	6.375% due 6/15/23		33,000
	210,000	CCC	EV Energy Partners LP/EV Energy Finance Corp., Company Guaranteed Notes, 8.000% due 4/15/19		47,250
	240,000	B+	Genesis Energy LP/Genesis Energy Finance Corp., Company Guaranteed Notes, 6.000% due 5/15/23		186,000
	90,000	B+	Gulfport Energy Corp., Company Guaranteed Notes, 7.750% due 11/1/20		85,050
	195,000	BBB-	Hiland Partners LP/Hiland Partners Finance Corp., Company Guaranteed Notes, 7.250% due 10/1/20(a)		196,117
	195,000	BBB-	Kinder Morgan Energy Partners LP, Company Guaranteed Notes, 5.950% due 2/15/18		198,503
			Kinder Morgan Inc., Company Guaranteed Notes:
	195,000	BBB-	5.625% due 11/15/23(a)		182,361
	10,000	BBB-	7.800% due 8/1/31		9,526
	270,000	CC	Linn Energy LLC/Linn Energy Finance Corp., Company Guaranteed Notes, 6.500% due 9/15/21		12,825
	940,000	NR	Magnum Hunter Resources Corp., Company Guaranteed Notes, 9.750% due 5/15/20(i)		220,900
			MEG Energy Corp., Company Guaranteed Notes:
	360,000	BB-	6.375% due 1/30/23(a)		171,900
	320,000	BB-	7.000% due 3/31/24(a)		148,800
	210,000	NR	Milagro Oil & Gas Inc., Secured Notes, 10.500% due 5/15/16(f)(i)		59,850
			MPLX LP, Company Guaranteed Notes:
	495,000	BBB-	5.500% due 2/15/23(a)		442,405
	640,000	BBB-	4.500% due 7/15/23(a)		533,203
	190,000	BBB-	4.875% due 12/1/24(a)		155,486
	500,000	BBB-	4.875% due 6/1/25(a)		408,594
	330,000	BB+	Murphy Oil USA Inc., Company Guaranteed Notes, 6.000% due 8/15/23		339,075
	830,000	D	Murray Energy Corp., Secured Notes, 11.250% due 4/15/21(a)		99,600
	130,000	B	Natural Resource Partners LP/NRP Finance Corp., Senior Unsecured Notes, 9.125% due 10/1/18		61,100
	230,000	BBB-	Newfield Exploration Co., Senior Unsecured Notes, 5.375% due 1/1/26		200,100

See Notes to Financial Statements.

137

Schedules of Investments

(unaudited) (continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Oil, Gas & Consumable Fuels — 9.9% — (continued)
			NGL Energy Partners LP/NGL Energy Finance Corp., Company Guaranteed Notes:
$	230,000	BB-	5.125% due 7/15/19	$	136,275
	270,000	BB-	6.875% due 10/15/21		156,600
	200,000	CCC-	NGPL PipeCo LLC, Senior Secured Notes, 7.119% due 12/15/17(a)		187,500
			Oasis Petroleum Inc., Company Guaranteed Notes:
	570,000	B	6.500% due 11/1/21		349,125
	200,000	B	6.875% due 1/15/23		116,500
	210,000	B	Pacific Drilling SA, Senior Secured Notes, 5.375% due 6/1/20(a)		43,050
	200,000	B-	Parker Drilling Co., Company Guaranteed Notes, 6.750% due 7/15/22		117,500
	400,000	B-	Parsley Energy LLC/Parsley Finance Corp., Senior Unsecured Notes, 7.500% due 2/15/22(a)		391,000
	600,000	BBB-	PBF Holding Co. LLC/PBF Finance Corp., Senior Secured Notes, 7.000% due 11/15/23(a)		518,250
	200,000	B+	Petrobras Global Finance BV, Company Guaranteed Notes, 4.375% due 5/20/23		136,800
			QEP Resources Inc., Senior Unsecured Notes:
	170,000	BB+	6.875% due 3/1/21		123,250
	700,000	BB+	5.375% due 10/1/22		479,500
	340,000	BB+	5.250% due 5/1/23		239,700
	60,000	NR	Quicksilver Resources Inc., Company Guaranteed Notes, 11.000% due 7/1/21(i)		1,200
			Range Resources Corp., Company Guaranteed Notes:
	280,000	BB+	5.750% due 6/1/21		238,000
	50,000	BB+	4.875% due 5/15/25(a)		43,438
	70,000	BBB-	Regency Energy Partners LP/Regency Energy Finance Corp., Company Guaranteed Notes, 6.500% due 7/15/21		65,275
			Rice Energy Inc., Company Guaranteed Notes:
	1,190,000	B-	6.250% due 5/1/22		969,850
	160,000	B-	7.250% due 5/1/23		128,800
			Rockies Express Pipeline LLC, Senior Unsecured Notes:
	370,000	BB+	6.850% due 7/15/18(a)		359,825
	665,000	BB+	5.625% due 4/15/20(a)		596,089
	250,000	BB+	7.500% due 7/15/38(a)		188,750
	1,735,000	BB+	6.875% due 4/15/40(a)(f)		1,223,175
	270,000	B	Rose Rock Midstream LP/Rose Rock Finance Corp., Company Guaranteed Notes, 5.625% due 11/15/23		150,525
	330,000	B+	RSP Permian Inc., Company Guaranteed Notes, 6.625% due 10/1/22(a)		297,000
			Sabine Pass Liquefaction LLC, Senior Secured Notes:
	890,000	BB+	5.625% due 2/1/21		853,844
	725,000	BB+	6.250% due 3/15/22		694,187
	370,000	BB+	5.625% due 4/15/23		343,175
	510,000	BB+	5.750% due 5/15/24		472,066
	810,000	NR	Samson Investment Co., Company Guaranteed Notes, 9.750% due 2/15/20(i)		2,228
			Sanchez Energy Corp., Company Guaranteed Notes:
	590,000	B-	7.750% due 6/15/21		241,900
	200,000	B-	6.125% due 1/15/23		72,000
	240,000	B+	Shelf Drilling Holdings Ltd., Secured Notes, 8.625% due 11/1/18(a)		154,800
			SM Energy Co., Senior Unsecured Notes:
	40,000	B+	6.125% due 11/15/22		17,600
	110,000	B+	5.000% due 1/15/24		44,275
	370,000	B+	5.625% due 6/1/25		150,775
			Summit Midstream Holdings LLC/Summit Midstream Finance Corp., Company Guaranteed Notes:
	80,000	B	7.500% due 7/1/21		60,400
	520,000	B	5.500% due 8/15/22		340,600
	345,000	BB-	Sunoco LP/Sunoco Finance Corp., Company Guaranteed Notes, 5.500% due 8/1/20(a)		329,906
	160,000	B-	Teine Energy Ltd., Senior Unsecured Notes, 6.875% due 9/30/22(a)		132,000
	575,000	B+	Western Refining Inc., Company Guaranteed Notes, 6.250% due 4/1/21(f)		462,875

See Notes to Financial Statements.

138

Schedules of Investments

(unaudited) (continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Oil, Gas & Consumable Fuels — 9.9% — (continued)
			Whiting Petroleum Corp., Company Guaranteed Notes:
$	120,000	B	5.750% due 3/15/21	$	56,700
	390,000	B	6.250% due 4/1/23(g)		180,375
			Williams Cos., Inc. (The), Senior Unsecured Notes:
	160,000	BB	4.550% due 6/24/24		120,800
	110,000	BB	7.500% due 1/15/31		85,250
			WPX Energy Inc., Senior Unsecured Notes:
	60,000	BB-	7.500% due 8/1/20		38,100
	260,000	BB-	8.250% due 8/1/23		161,850
	150,000	BB-	5.250% due 9/15/24		81,750
			Total Oil, Gas & Consumable Fuels		20,865,320
	Paper & Forest Products — 0.1%
	110,000	CCC+	Appvion Inc., Secured Notes, 9.000% due 6/1/20(a)		37,813
	220,000	BB-	Resolute Forest Products Inc., Company Guaranteed Notes, 5.875% due 5/15/23		116,600
			Total Paper & Forest Products		154,413
	Personal Products — 0.4%
	835,000	B	Revlon Consumer Products Corp., Company Guaranteed Notes, 5.750% due 2/15/21		841,263
	Pharmaceuticals — 2.5%
	540,000	CCC-	BioScrip Inc., Company Guaranteed Notes, 8.875% due 2/15/21		423,900
	420,000	CCC+	DPx Holdings BV, Senior Unsecured Notes, 7.500% due 2/1/22(a)		402,675
			Endo Ltd./Endo Finance LLC/Endo Finco Inc., Company Guaranteed Notes:
	200,000	B	6.000% due 7/15/23(a)		203,000
	700,000	B	6.000% due 2/1/25(a)		700,000
	320,000	B+	Grifols Worldwide Operations Ltd., Company Guaranteed Notes, 5.250% due 4/1/22(a)		332,400
			Valeant Pharmaceuticals International Inc., Company Guaranteed Notes:
	250,000	B-	5.375% due 3/15/20(a)		227,500
	930,000	B-	6.375% due 10/15/20(a)		857,925
	700,000	B-	7.500% due 7/15/21(a)		663,250
	1,000,000	B-	5.625% due 12/1/21(a)		860,620
	600,000	B-	6.125% due 4/15/25(a)		505,125
			Total Pharmaceuticals		5,176,395
	Real Estate Investment Trusts (REITs) — 2.0%
	330,000	B-	Ashton Woods USA LLC/Ashton Woods Finance Co., Senior Unsecured Notes, 6.875% due 2/15/21(a)		268,950
	260,000	B-	Communications Sales & Leasing Inc./CSL Capital LLC, Company Guaranteed Notes, 8.250% due 10/15/23		233,350
	610,000	B+	CTR Partnership LP/CareTrust Capital Corp., Company Guaranteed Notes, 5.875% due 6/1/21		596,275
	360,000	BB-	ESH Hospitality Inc., Company Guaranteed Notes, 5.250% due 5/1/25(a)		351,000
	475,000	B+	FelCor Lodging LP, Senior Secured Notes, 5.625% due 3/1/23		485,688
	600,000	B	Isle of Capri Casinos Inc., Company Guaranteed Notes, 8.875% due 6/15/20		633,000
	460,000	B+	Iron Mountain Inc., Company Guaranteed Notes, 6.000% due 10/1/20(a)		488,750
			iStar Inc., Senior Unsecured Notes:
	410,000	B+	9.000% due 6/1/17		419,225
	695,000	B+	5.000% due 7/1/19		649,825
	140,000	BBB-	MPT Operating Partnership LP/MPT Finance Corp., Company Guaranteed Notes, 6.375% due 3/1/24		144,200
			Total Real Estate Investment Trusts (REITs)		4,270,263
	Real Estate Management & Development — 0.7%
	200,000	BB-	Greystar Real Estate Partners LLC, Senior Secured Notes, 8.250% due 12/1/22(a)		207,500
	730,000	B	Howard Hughes Corp. (The), Senior Unsecured Notes, 6.875% due 10/1/21(a)		721,788
	385,000	B	Realogy Group LLC/Realogy Co.-Issuer Corp., Company Guaranteed Notes, 5.250% due 12/1/21(a)		392,700
			Total Real Estate Management & Development		1,321,988

See Notes to Financial Statements.

139

Schedules of Investments

(unaudited) (continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Semiconductors & Semiconductor Equipment — 0.6%
			Micron Technology Inc., Senior Unsecured Notes:
$	395,000	BB	5.250% due 8/1/23(a)	$	339,206
	400,000	BB	5.500% due 2/1/25		337,000
	475,000	BB+	Qorvo Inc., Company Guaranteed Notes, 6.750% due 12/1/23(a)		484,500
			Total Semiconductors & Semiconductor Equipment		1,160,706
	Software — 1.8%
	370,000	BB+	Activision Blizzard Inc., Company Guaranteed Notes, 6.125% due 9/15/23(a)		397,288
			First Data Corp.:
	1,680,000	B	Company Guaranteed Notes, 7.000% due 12/1/23(a)		1,684,200
	325,000	BB	Senior Secured Notes, 5.000% due 1/15/24(a)		330,892
	440,000	CCC+	Interface Security Systems Holdings Inc./Interface Security Systems LLC, Secured Notes, 9.250% due 1/15/18		415,250
	910,000	BB-	Nuance Communications Inc., Company Guaranteed Notes, 5.375% due 8/15/20(a)		935,025
			Total Software		3,762,655
	Specialty Retail — 2.0%
	915,000	B-	Argos Merger Sub Inc., Senior Unsecured Notes, 7.125% due 3/15/23(a)		937,875
	360,000	BB	CST Brands Inc., Company Guaranteed Notes, 5.000% due 5/1/23		358,200
	600,000	BB-	Dollar Tree Inc., Company Guaranteed Notes, 5.750% due 3/1/23(a)		641,250
	270,000	BB+	GameStop Corp., Company Guaranteed Notes, 5.500% due 10/1/19(a)		268,987
	850,000	CCC	Guitar Center Inc., Company Guaranteed Notes, 9.625% due 4/15/20(a)		569,500
			L Brands Inc.:
	360,000	BB+	Company Guaranteed Notes, 6.875% due 11/1/35(a)		383,850
	220,000	BB-	Senior Unsecured Notes, 6.950% due 3/1/33		218,900
	830,000	CCC	Neiman Marcus Group Ltd. LLC, Company Guaranteed Notes, 8.750% (8.750% cash or 9.500% PIK) due 10/15/21(a)(b)		504,225
	330,000	BB+	Sally Holdings LLC/Sally Capital Inc., Company Guaranteed Notes, 5.625% due 12/1/25		344,850
			Total Specialty Retail		4,227,637
	Textiles, Apparel & Luxury Goods — 0.3%
	110,000	B-	Empire Today LLC/Empire Today Finance Corp., Senior Secured Notes, 11.375% due 2/1/17(a)		110,000
	180,000	BBu	Levi Strauss & Co., Senior Unsecured Notes, 5.000% due 5/1/25		180,918
	310,000	BB+	William Carter Co. (The), Company Guaranteed Notes, 5.250% due 8/15/21		317,750
			Total Textiles, Apparel & Luxury Goods		608,668
	Tobacco — 0.2%
	480,000	CCC	Alliance One International Inc., Secured Notes, 9.875% due 7/15/21		363,600
	Transportation Infrastructure — 2.8%
	360,000	CCC+	Air Medical Merger Sub Corp., Senior Unsecured Notes, 6.375% due 5/15/23(a)		315,000
	505,000	BB+	Aircastle Ltd., Senior Unsecured Notes, 7.625% due 4/15/20		554,869
	260,000	B	CTP Transportation Products LLC/CTP Finance Inc., Senior Secured Notes, 8.250% due 12/15/19(a)		260,585
	325,000	B+	Eletson Holdings Inc., Senior Secured Notes, 9.625% due 1/15/22(a)(f)		261,625
	470,000	B+	Flexi-Van Leasing Inc., Company Guaranteed Notes, 7.875% due 8/15/18(a)		455,900
	260,000	B	Florida East Coast Holdings Corp., Senior Secured Notes, 6.750% due 5/1/19(a)		261,625
			Fly Leasing Ltd., Senior Unsecured Notes:
	335,000	BB	6.750% due 12/15/20		322,857
	315,000	BB	6.375% due 10/15/21		290,981
	438,000	B-	Gardner Denver Inc., Senior Unsecured Notes, 6.875% due 8/15/21(a)		293,460
	370,000	CCC	Neovia Logistics Intermediate Holdings LLC/Logistics Intermediate Finance Corp., Senior Unsecured Notes, 10.000% (10.000% cash or 10.750% PIK) due 2/15/18(a)(b)		260,850
	330,000	D	Ultrapetrol Bahamas Ltd., Senior Secured Notes, 8.875% due 6/15/21(f)(i)		64,350
	710,000	B	Watco Cos. LLC/Watco Finance Corp., Company Guaranteed Notes, 6.375% due 4/1/23(a)		674,500

See Notes to Financial Statements.

140

Schedules of Investments

(unaudited) (continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Transportation Infrastructure — 2.8% — (continued)
$	405,000	CCC+	WaveDivision Escrow LLC/WaveDivision Escrow Corp., Senior Unsecured Notes, 8.125% due 9/1/20(a)	$	387,787
	945,000	CCC+	XPO CNW Inc., Senior Unsecured Notes, 7.250% due 1/15/18		959,175
	570,000	B-	XPO Logistics Inc., Company Guaranteed Notes, 6.500% due 6/15/22(a)		541,500
			Total Transportation Infrastructure		5,905,064
	Wireless Telecommunication Services — 4.3%
			Frontier Communications Corp., Senior Unsecured Notes:
	685,000	BB-	8.875% due 9/15/20(a)		709,831
	355,000	BB-	9.250% due 7/1/21		356,332
	340,000	BB-	10.500% due 9/15/22(a)		344,675
	305,000	BB-	7.625% due 4/15/24		268,400
	525,000	BB-	6.875% due 1/15/25		444,281
	730,000	BB-	11.000% due 9/15/25(a)		733,650
	360,000	BB-	GEO Group Inc. (The), Company Guaranteed Notes, 5.125% due 4/1/23		345,600
	560,000	B+	Oi Brasil Holdings Cooperatief UA, Senior Unsecured Notes, 5.750% due 2/10/22(a)		140,000
	430,000	BB+	Softbank Group Corp., Company Guaranteed Notes, 4.500% due 4/15/20(a)		426,345
	1,510,000	B	Sprint Capital Corp., Company Guaranteed Notes, 8.750% due 3/15/32		1,170,250
			Sprint Communications Inc.:
	890,000	BB-	Company Guaranteed Notes, 9.000% due 11/15/18(a)		928,359
			Senior Unsecured Notes:
	835,000	B	7.000% due 8/15/20		659,650
	825,000	B	11.500% due 11/15/21		703,312
	1,380,000	B	Sprint Corp., Company Guaranteed Notes, 7.250% due 9/15/21		1,045,350
	750,000	BB	T-Mobile USA Inc., Company Guaranteed Notes, 6.500% due 1/15/26		763,778
			Total Wireless Telecommunication Services		9,039,813
			TOTAL CORPORATE BONDS & NOTES (Cost — $215,003,810)		192,003,488
	SENIOR LOANS — 0.8%
	340,000	NR	AP NMT Acquisition BV, (Restricted), 10.000% due 8/13/22		239,134
	133,633	NR	FMG Resources August 2006 Pty Ltd., (Restricted), 4.250% due 6/30/19		103,088
	560,000	NR	Hercules Offshore Inc., (Restricted), 10.500% due 5/6/20		350,000
	278,600	NR	Lantheus Medical Imaging, (Restricted), 7.000% due 6/30/22		242,382
	169,135	NR	Murray Energy Corp., (Restricted), 7.500% due 4/16/20		70,010
	317,600	NR	Panda Temple Power LLC, (Restricted), 7.250% due 3/6/22		233,436
	370,000	NR	Radnet Inc., (Restricted), 8.000% due 3/25/21		338,550
			TOTAL SENIOR LOANS (Cost — $2,109,871)		1,576,600
	COLLATERALIZED MORTGAGE OBLIGATIONS — 0.2%
	300,000	NR	Commercial Mortgage Trust, Series 2015-LC21, Class E, 3.250% due 7/10/48(a)		175,158
	200,000	NR	JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class E, 4.619% due 8/15/48(a)(c)		146,587
	300,000	NR	Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class E, 3.000% due 5/15/48(a)		171,210
			TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $520,025)		492,955
Shares/Units
	PREFERRED STOCK — 0.5%
	FINANCIALS — 0.5%
	Banks — 0.5%
	39,709		GMAC Capital Trust I, 6.402%(c)
			(Cost — $937,614)		963,340

See Notes to Financial Statements.

141

Schedules of Investments

(unaudited) (continued)

High Yield Fund
Shares/Units			Rating††	Security	Value
	COMMON STOCKS — 0.1%
	CONSUMER DISCRETIONARY — 0.0%
	Hotels, Restaurants & Leisure — 0.0%
	9,953			Bossier Casino Venture Holdco Inc. (Restricted)*(a)(f)(h)	$	—
	ENERGY — 0.0%
	Energy Equipment & Services — 0.0%
	18,163			DeepOcean Group Holdings AS (Restricted)*(a)(f)(h)		84,476
	17,453			Hercules Offshore Inc.*		22,514
				Total Energy Equipment & Services		106,990
				TOTAL ENERGY		106,990
	FINANCIALS — 0.0%
	Diversified Financial Services — 0.0%
	559			Jack Cooper Holdings Corp. Class B Shares*(a)(f)(h)		6
	HEALTH CARE — 0.1%
	Health Care Providers & Services — 0.1%
	1,400			Physiotherapy Associates Holdings Inc. (Restricted)*(a)(f)(h)		153,916
	MATERIALS — 0.0%
	Metals & Mining — 0.0%
	353,070	AUD		Mirabela Nickel Ltd.*(f)(h)		20,915
				TOTAL COMMON STOCKS (Cost — $1,476,446)		281,827
				TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $220,047,766)		195,318,210
Face Amount†
	SHORT-TERM INVESTMENTS (j) — 6.4%
	MONEY MARKET FUND — 1.3%
$	2,670,024			Invesco STIT — Government & Agency Portfolio(k) (Cost — $2,670,024)		2,670,024
	TIME DEPOSITS — 5.1%
	7,691,525			ANZ National Bank — London, 0.150% due 3/1/16		7,691,525
	3,100,223			Wells Fargo — Grand Cayman, 0.150% due 3/1/16		3,100,223
				TOTAL TIME DEPOSITS (Cost — $10,791,748)		10,791,748
				TOTAL SHORT-TERM INVESTMENTS (Cost — $13,461,772)		13,461,772
				TOTAL INVESTMENTS — 99.5% (Cost — $233,509,538#)		208,779,982
				Other Assets in Excess of Liabilities — 0.5%		948,906
				TOTAL NET ASSETS — 100.0%	$	209,728,888

† Amount denominated in U.S. dollars, unless otherwise noted.

†† All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited.

* Non-income producing security.

(a) Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.

(b) Payment in-kind security for which part of the income earned may be paid as additional principal. At the option of the issuer.

(c) Variable rate security. Interest rate disclosed is that which was in effect at February 29, 2016.

See Notes to Financial Statements.

142

Schedules of Investments

(unaudited) (continued)

High Yield Fund

(d) Security is perpetual in nature and has no stated maturity date.

(e) Rating by Moody’s Investors Service. All ratings are unaudited.

(f) Illiquid security.

(g) All or a portion of this security is on loan (See Note 1).

(h) Security is valued in good faith at fair value by or under the direction of the Board of Trustees.

(i) Security is currently in default.

(j) Inclusive of all short term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 5.1%.

(k) Represents investment of collateral received from securities lending transactions.

# Aggregate cost for federal income tax purposes is substantially the same.

Abbreviations used in this schedule:
PLC	— Public Limited Company

See pages 168 and 169 for definitions of ratings.

Summary of Investments by Security Type^
Corporate Bonds & Notes	92.0	%
Senior Loans	0.8
Preferred Stocks	0.5
Collateralized Mortgage Obligations	0.2
Common Stocks	0.1
Short-Term Investments	6.4
	100.0	%

^ As a percentage of total investments.

See Notes to Financial Statements.

143

Schedules of Investments

(unaudited) (continued)

International Fixed Income Fund
Face Amount/Units†			Security	Value
	SOVEREIGN BONDS — 45.1%
	Australia — 0.4%
	900,000	AUD	Queensland Treasury Corp., 4.250% due 7/21/23(a)	$	709,246
	Canada — 4.4%
			Province of Alberta Canada:
	900,000	CAD	1.250% due 6/1/20(b)		662,414
	900,000	CAD	2.350% due 6/1/25(b)		663,479
			Province of Ontario Canada:
$	1,000,000		1.000%due 7/22/16		1,000,278
	1,500,000	CAD	4.200% due 6/2/20		1,240,716
	3,100,000	CAD	3.150% due 6/2/22		2,483,551
	700,000	CAD	3.450% due 6/2/45		545,743
			Province of Quebec Canada:
	1,100,000	CAD	3.750% due 9/1/24		911,899
	900,000	CAD	5.000% due 12/1/38		856,821
			Total Canada		8,364,901
	France — 2.5%
	3,100,000	EUR	France Government Bond OAT, 3.250% due 5/25/45		4,796,015
	Germany — 2.5%
	2,500,000	EUR	Bundesrepublik Deutschland, 4.250% due 7/4/39		4,776,037
	Greece — 0.3%
	300,000	EUR	Athens Urban Transportation Organisation, 4.851% due 9/19/16(b)		300,582
	47,000,000	JPY	Hellenic Republic Government International Bond, 3.800% due 8/8/17		368,785
			Total Greece		669,367
	Ireland — 0.8%
	1,000,000	EUR	Ireland Government Bond, 5.400% due 3/13/25		1,523,272
	Italy — 9.0%
			Italy Buoni Poliennali Del Tesoro:
	7,500,000	EUR	3.750% due 9/1/24		9,803,049
	1,200,000	EUR	5.000% due 3/1/25(a)		1,713,272
	2,300,000	EUR	4.750% due 9/1/44(a)		3,665,792
	700,000	EUR	3.250% due 9/1/46(a)		884,740
	700,000	GBP	Italy Government International Bond, 6.000% due 8/4/28		1,206,916
			Total Italy		17,273,769
	Japan — 11.9%
			Japan Government Thirty Year Bond:
	220,000,000	JPY	1.700% due 9/20/44		2,360,512
	140,000,000	JPY	1.500% due 12/20/44		1,437,124
	1,200,000,000	JPY	1.400% due 9/20/45		12,034,886
			Japan Government Twenty Year Bond:
	100,000,000	JPY	1.300% due 6/20/35		1,012,145
	630,000,000	JPY	1.000% due 12/20/35		6,049,614
			Total Japan		22,894,281
	New Zealand — 0.1%
	300,000	NZD	New Zealand Government Bond, 5.500% due 4/15/23		234,358
	Poland — 0.4%
	2,700,000	PLN	Poland Government Bond, 3.250% due 7/25/25		703,561
	Slovenia — 2.1%
			Slovenia Government International Bond:
	1,800,000		4.750%due 5/10/18		1,907,829

See Notes to Financial Statements.

144

Schedules of Investments

(unaudited) (continued)

International Fixed Income Fund
Face Amount/Units†			Security	Value
	Slovenia — 2.1% — (continued)
$	800,000		4.125%due 2/18/19	$	842,722
	400,000		5.500%due 10/26/22		451,000
	700,000		5.250%due 2/18/24		780,500
			Total Slovenia		3,982,051
	South Korea — 0.5%
	850,000		Korea Development Bank (The), 4.000% due 9/9/16		863,331
	Spain — 5.4%
	900,000	EUR	Autonomous Community of Catalonia, 4.300% due 11/15/16		988,292
	500,000	EUR	Autonomous Community of Madrid Spain, 4.125% due 5/21/24		646,093
			Spain Government Bond:
	1,400,000	EUR	4.800% due 1/31/24(a)		1,929,083
	4,050,000	EUR	3.800% due 4/30/24(a)		5,236,524
	50,000	EUR	2.750% due 10/31/24(a)		60,270
	875,000	EUR	5.150% due 10/31/44(a)		1,427,756
			Total Spain		10,288,018
	Sweden — 0.5%
	7,500,000	SEK	Sweden Government Bond, 4.250% due 3/12/19		1,000,480
	United Kingdom — 4.3%
			United Kingdom Gilt:
	2,700,000	GBP	3.250% due 1/22/44		4,492,939
	2,100,000	GBP	3.500% due 1/22/45		3,660,358
			Total United Kingdom		8,153,297
			TOTAL SOVEREIGN BONDS (Cost — $83,420,481)		86,231,984
	CORPORATE BONDS & NOTES — 25.4%
	Austria — 0.1%
	200,000	EUR	Heta Asset Resolution AG, Senior Unsecured Notes, 0.033% due 5/31/16(b)		152,292
	Denmark — 4.9%
			Nykredit Realkredit AS, Covered Notes:
	46,000,000	DKK	1.000% due 10/1/16		6,754,577
	7,715,677	DKK	2.000% due 10/1/37		1,109,625
	6,545,955	DKK	3.000% due 10/1/47		956,914
	3,469,889	DKK	Realkredit Danmark AS, Covered Notes, 2.500% due 10/1/37		510,910
			Total Denmark		9,332,026
	France — 0.9%
			Credit Agricole SA:
	600,000		Junior Subordinated Notes, 7.875%(c)(d)		531,299
	1,200,000		Senior Unsecured Notes, 1.047% due 6/12/17(a)(c)		1,197,911
			Total France		1,729,210
	Germany — 1.4%
			Landwirtschaftliche Rentenbank, Government Guaranteed Notes:
	2,400,000	NZD	4.750% due 3/12/19		1,666,652
	1,200,000	AUD	5.500% due 3/29/22		984,255
	100,000	AUD	4.250% due 1/24/23		77,170
			Total Germany		2,728,077
	Greece — 0.6%
	1,100,000	EUR	National Bank of Greece SA, Covered Notes, 3.875% due 10/7/16(b)		1,173,293

See Notes to Financial Statements.

145

Schedules of Investments

(unaudited) (continued)

International Fixed Income Fund
Face Amount/Units†			Security	Value
	Ireland — 2.0%
			Depfa ACS Bank, Covered Notes:
	2,400,000	EUR	3.875% due 11/14/16	$	2,681,995
	900,000	EUR	4.875% due 5/21/19		1,134,292
			Total Ireland		3,816,287
	Italy — 1.5%
			Banca Carige SpA, Covered Notes:
	900,000	EUR	3.750% due 11/25/16		1,001,919
	400,000	EUR	3.875% due 10/24/18		469,140
			Banca Monte dei Paschi di Siena SpA, Covered Notes:
	800,000	EUR	4.875% due 9/15/16		889,126
	500,000	EUR	5.000% due 2/9/18		586,362
			Total Italy		2,946,547
	Jersey Channel Islands — 0.2%
	200,000	GBP	HBOS Capital Funding LP, Company Guaranteed Notes, 9.540%(c)(d)		302,082
	Luxembourg — 0.6%
	600,000	EUR	Commerzbank Finance & Covered Bond SA, Covered Notes, 4.250% due 6/4/18		708,777
	500,000	EUR	Wind Acquisition Finance SA, Secured Notes, 7.000% due 4/23/21(b)		519,425
			Total Luxembourg		1,228,202
	Netherlands — 1.3%
	700,000	CAD	Bank Nederlandse Gemeenten NV, Senior Unsecured Notes, 2.125% due 10/1/19(a)		530,658
			Cooperatieve Rabobank UA:
			Junior Subordinated Notes:
$	1,100,000		8.375%(c)(d)		1,117,257
	100,000		8.400%(c)(d)		104,162
	550,000	EUR	Senior Unsecured Notes, 6.875% due 3/19/20		692,846
			Total Netherlands		2,444,923
	Norway — 0.8%
			Eksportfinans ASA, Senior Unsecured Notes:
	900,000		2.375% due 5/25/16		900,063
	100,000	CHF	2.875% due 11/16/16		101,336
	500,000		5.500% due 6/26/17		520,660
			Total Norway		1,522,059
	Portugal — 0.2%
			Banco Espirito Santo SA, Senior Unsecured Notes:
	200,000	EUR	4.750% due 1/15/18		65,268
	200,000	EUR	4.000% due 1/21/19		65,268
	300,000	EUR	Novo Banco SA, Unsecured Notes, 5.000% due 4/4/19		243,987
			Total Portugal		374,523
	Spain — 1.1%
	1,600,000	EUR	Banco Popular Espanol SA, Junior Subordinated Notes, 8.250%(c)(d)		1,320,836
	900,000	EUR	Banco Santander SA, Junior Subordinated Notes, 6.250%(c)(d)		845,041
			Total Spain		2,165,877
	Supranational — 0.9%
	1,400,000	NZD	Asian Development Bank, Senior Unsecured Notes, 4.625% due 3/6/19		970,334
			European Investment Bank, Senior Unsecured Notes:
	500,000	AUD	0.500% due 6/21/23		288,507
	800,000	AUD	0.500% due 8/10/23		457,876
			Total Supranational		1,716,717

See Notes to Financial Statements.

146

Schedules of Investments

(unaudited) (continued)

International Fixed Income Fund
Face Amount/Units†			Security	Value
	Switzerland — 1.0%
			UBS AG, Subordinated Notes:
$	600,000		7.250% due 2/22/22(c)	$	621,840
	250,000		7.625% due 8/17/22		279,137
	700,000		4.750% due 5/22/23(c)		705,688
	400,000		5.125% due 5/15/24		397,517
			Total Switzerland		2,004,182
	United Kingdom — 2.9%
			Barclays Bank PLC, Subordinated Notes:
	400,000		7.625% due 11/21/22		405,250
	1,600,000		7.750% due 4/10/23(c)		1,623,099
	400,000		Barclays PLC, Junior Subordinated Notes, 8.250%(c)(d)		381,536
	500,000		HBOS PLC, Subordinated Notes, 6.750% due 5/21/18(a)		538,629
	800,000	GBP	Lloyds Banking Group PLC, Junior Subordinated Notes, 7.625%(c)(d)		1,041,029
	1,467,000		Royal Bank of Scotland PLC (The), Subordinated Notes, 9.500% due 3/16/22(c)		1,546,438
			Total United Kingdom		5,535,981
	United States — 5.0%
			Ally Financial Inc.:
	200,000		Company Guaranteed Notes, 3.500% due 7/18/16		200,940
	300,000		Senior Unsecured Notes, 3.250% due 9/29/17		299,625
	300,000		Anheuser-Busch InBev Finance Inc., Company Guaranteed Notes, 3.300% due 2/1/23		308,564
			CCO Safari II LLC, Senior Secured Notes:
	600,000		3.579% due 7/23/20(a)		601,671
	700,000		4.464% due 7/23/22(a)		711,529
	900,000		General Motors Financial Co., Inc., Company Guaranteed Notes, 4.000% due 1/15/25		835,218
	500,000	AUD	Goldman Sachs Group Inc. (The), Senior Unsecured Notes, 2.830% due 4/12/16(c)		355,449
			International Lease Finance Corp.:
	200,000		Senior Secured Notes, 6.750% due 9/1/16(a)		203,750
	100,000		Senior Unsecured Notes, 5.750% due 5/15/16		100,260
	1,200,000		JPMorgan Chase & Co., Senior Unsecured Notes, 1.169% due 4/25/18(c)		1,188,068
	1,300,000		Lehman Brothers Holdings Inc., Senior Unsecured Notes, 0.000% due 12/30/16(b)		105,625
	200,000		MGM Resorts International, Company Guaranteed Notes, 7.500% due 6/1/16		202,650
	1,000,000		Starwood Hotels & Resorts Worldwide Inc., Senior Unsecured Notes, 6.750% due 5/15/18		1,097,558
	100,000		Time Warner Cable Inc., Company Guaranteed Notes, 5.850% due 5/1/17		103,865
	400,000		T-Mobile USA Inc., Company Guaranteed Notes, 6.375% due 3/1/25		405,500
	2,100,000		UnitedHealth Group Inc., Senior Unsecured Notes, 3.750% due 7/15/25		2,236,851
	200,000		Wells Fargo & Co., Senior Unsecured Notes, 2.550% due 12/7/20		201,593
	400,000		Zimmer Biomet Holdings Inc., Senior Unsecured Notes, 3.550% due 4/1/25		395,833
			Total United States		9,554,549
			TOTAL CORPORATE BONDS & NOTES (Cost — $53,700,043)		48,726,827
	COLLATERALIZED MORTGAGE OBLIGATIONS — 13.9%
			ALBA PLC:
	574,428	GBP	Series 2007-1, Class A3, 0.755% due 3/17/39(c)		706,137
	617,669	GBP	Series 2015-1, Class A, 1.760% due 4/24/49(c)		847,202
	462,418		Atrium CDO Corp., Series 7AR, Class AR, 1.718% due 11/16/22(a)(c)		458,961
	1,455,063		Banc of America Alternative Loan Trust, Series 2006-3, Class 5CB1, 6.500% due 4/25/36		1,229,927
	59,685		Banc of America Funding Trust, Series 2006-A, Class 1A1, step bond to yield, 2.803% due 2/20/36(c)		58,729
	62,815		Banc of America Mortgage Trust, Series 2003-F, Class 3A1, 2.748% due 7/25/33(c)		62,564
	259,036		Banc of America Re-REMIC Trust, Series 2010-UB5, Class A4A, 5.652% due 2/17/51(a)(c)		262,274
			Bear Stearns Adjustable Rate Mortgage Trust:
	10,853		Series 2003-5, Class 1A2, 2.568% due 8/25/33(c)		10,762
	19,850		Series 2003-7, Class 6A, 2.651% due 10/25/33(c)		19,933

See Notes to Financial Statements.

147

Schedules of Investments

(unaudited) (continued)

International Fixed Income Fund
Face Amount/Units†			Security	Value
$	52,358		Series 2004-2, Class 22A, 2.712% due 5/25/34(c)	$	50,740
	12,295		Series 2004-2, Class 23A, 2.458% due 5/25/34(c)		11,356
	23,223		Series 2005-2, Class A2, 2.924% due 3/25/35(c)		23,392
	161,611		Bear Stearns Structured Products Inc. Trust, Series 2007-R6, Class 1A1, 2.699% due 1/26/36(c)		125,928
	253,755	EUR	Casa d’este Finance SRL, Series 1, Class A2, 0.222% due 9/15/40(c)		269,043
	636,902	EUR	Claris ABS SRL, Series 2011-1, Class A, 0.354% due 10/31/60(c)		684,932
	1,200,000		Commercial Mortgage Trust, Series 2014-KYO, Class A, 1.329% due 6/11/27(a)(c)		1,171,448
			Countrywide Alternative Loan Trust:
	13,960		Series 2005-21CB, Class A3, 5.250% due 6/25/35		12,728
	83,450		Series 2007-11T1, Class A12, 0.786% due 5/25/37(c)		49,419
	38,406		Series 2007-16CB, Class 5A1, 6.250% due 8/25/37		31,285
	46,838		Series 2007-7T2, Class A9, 6.000% due 4/25/37		33,469
			Countrywide Home Loan Mortgage Pass Through Trust:
	9,494		Series 2004-12, Class 11A1, 2.761% due 8/25/34(c)		8,317
	44,001		Series 2005-11, Class 3A1, 2.409% due 4/25/35(c)		36,270
	177,308		Series 2005-2, Class 1A1, 1.076% due 3/25/35(c)		133,741
	19,498		Series 2005-3, Class 2A1, 0.726% due 4/25/35(c)		16,230
	145,508		Series 2005-9, Class 1A3, 0.666% due 5/25/35(c)		122,796
	63,437		Series 2005-HYB9, Class 3A2A, 2.592% due 2/20/36(c)		58,787
	18,303		Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR20, Class 2A1, 2.612% due 8/25/33(c)		18,180
	1,299,221		Credit Suisse Mortgage Capital Certificates, Series 2007-NC1, Class 2A1, 1.036% due 9/25/37(c)		1,150,740
	47,002		Credit Suisse Mortgage Capital Trust, Series 2007-5R, Class A5, 6.500% due 7/26/36		26,777
	213,487		CSAB Mortgage Backed Trust, Series 2006-4, Class A6A, step bond to yield, 5.684% due 12/25/36		110,064
	759,926		CWABS Asset-Backed Certificates Trust, Series 2006-18, Class 2A2, 0.596% due 3/25/37(c)		704,222
	659,334	GBP	DECO 12-UK 4 PLC, Series 2007-C4X, Class A1, 0.749% due 1/27/20(c)		876,335
	1,063,616		Deutsche Alternative-A Securities Mortgage Loan Trust, Series 2007-3, Class 2A1, 1.186% due 10/25/47(c)		799,706
	330,121	GBP	Eurohome UK Mortgages PLC, Series 2007-1, Class A, 0.733% due 6/15/44(c)		416,241
			Eurosail-UK PLC:
	217,819	GBP	Series 2007-4X, Class A2A, 0.885% due 6/13/45(c)		301,191
	500,000	GBP	Series 2007-4X, Class A3, 1.535% due 6/13/45(b)(c)		648,605
	534,603	GBP	Series 2007-6NCX, Class A2A, 1.285% due 9/13/45(c)		733,404
			Federal Home Loan Mortgage Corp. (FHLMC):
	48,289		Series T-35, Class A, 0.716% due 9/25/31(c)		47,735
	70,759		Series T-62, Class 1A1, 1.485% due 10/25/44(c)		70,605
			Federal Home Loan Mortgage Corp. (FHLMC), REMICS:
	69,727		Series 2391, Class FJ, 0.927% due 4/15/28(c)		70,615
	107,961		Series 2614, Class SJ, 18.488% due 5/15/33(c)		158,630
	3,653		Series 3174, Class FM, 0.667% due 5/15/36(c)		3,652
	12,123		Federal National Mortgage Association (FNMA), Grantor Trust, Series 2004-T3, Class 1A1, 6.000% due 2/25/44		13,953
			Federal National Mortgage Association (FNMA), REMICS:
	9,616		Series 2003-34, Class A1, 6.000% due 4/25/43		10,648
	959		Series 2005-120, Class NF, 0.536% due 1/25/21(c)		959
	84,879		Federal National Mortgage Association (FNMA), Whole Loan, Series 2004-W12, Class 1A1, 6.000% due 7/25/44		98,810
			German Residential Funding Ltd.:
	461,610	EUR	Series 2013-1, Class A, 0.949% due 8/27/24(c)		506,759
	470,387	EUR	Series 2013-2, Class A, 0.799% due 11/27/24(c)		515,371
	203,088	EUR	Giovecca Mortgages SRL, Series 2011-1, Class A, 0.454% due 4/23/48(c)		220,467
	101,977		GMACM Mortgage Loan Trust, Series 2005-AR6, Class 3A1, 3.060% due 11/19/35(c)		95,013
	21,917		GSR Mortgage Loan Trust, Series 2003-1, Class A2, 2.220% due 3/25/33(c)		21,542
			Harborview Mortgage Loan Trust:
	52,089		Series 2003-1, Class A, 2.586% due 5/19/33(c)		51,079
	39,464		Series 2005-2, Class 2A1A, 0.650% due 5/19/35(c)		32,569

See Notes to Financial Statements.

148

Schedules of Investments

(unaudited) (continued)

International Fixed Income Fund
Face Amount/Units†			Security	Value
$	98,755		Series 2005-3, Class 2A1A, 0.670% due 6/19/35(c)	$	86,965
	140,145		Series 2006-SB1, Class A1A, 1.172% due 12/19/36(c)		115,709
	184,221		Series 2007-1, Class 2A1A, 0.560% due 3/19/37(c)		154,968
			JPMorgan Mortgage Trust:
	10,886		Series 2003-A2, Class 3A1, 2.126% due 11/25/33(c)		10,595
	4,833		Series 2005-A1, Class 6T1, 2.760% due 2/25/35(c)		4,798
	156,530		JPMorgan Resecuritization Trust, Series 2009-7, Class 17A1, 5.543% due 7/27/37(a)(c)		150,420
	317,782	EUR	Leo-Mesdag BV, Series 2006-1, Class A, 0.179% due 8/29/19(c)		340,537
			Ludgate Funding PLC:
	784,961	GBP	Series 2006-1X, Class A2A, 0.763% due 12/1/60(c)		956,751
	755,150	GBP	Series 2007-1, Class A2A, 0.751% due 1/1/61(c)		922,579
	61,340	EUR	Lunet RMBS BV, Series 2013-1, Class A1, 0.369% due 12/26/45(c)		66,803
			Merrill Lynch Mortgage Investors Trust:
	13,180		Series 2003-A2, Class 1A1, 2.329% due 2/25/33(c)		12,666
	54,845		Series 2005-2, Class 1A, 1.904% due 10/25/35(c)		53,126
	139,817		Merrill Lynch Mortgage Trust, Series 2007-C1, Class ASB, 5.821% due 6/12/50(c)		141,434
	40,977	GBP	Money Partners Securities 4 PLC, Series 4X, Class A1A, 0.963% due 3/15/40(c)		53,123
	1,200,000		Neuberger Berman CLO Ltd., Series 2012-12A, Class A2R, 1.769% due 7/25/23(a)(c)		1,194,313
	700,000	GBP	Newgate Funding, Series 2007-1X, Class A3, 0.733% due 12/1/50(c)		837,300
	530,308		Octagon Investment Partners XII Ltd., Series 2012-1A, Class AR, 1.891% due 5/5/23(a)(c)		527,193
	800,834	GBP	Paragon Mortgages No 13 PLC, Series 13X, Class A1, 0.831% due 1/15/39(c)		985,529
			Puma Finance Pty Ltd.:
	366,520	AUD	Series 2014-1, Class A, 2.982% due 5/13/45(c)		260,231
	357,960	AUD	Series 2014-2, Class A, 2.870% due 10/18/45(c)		253,604
			RALI Trust:
	85,213		Series 2007-QO2, Class A1, 0.586% due 2/25/47(c)		45,096
	599,318		Series 2007-QS1, Class 1A1, 6.000% due 1/25/37		498,351
			Residential Asset Securitization Trust:
	27,897		Series 2005-A15, Class 5A1, 5.750% due 2/25/36		21,873
	64,689		Series 2006-R1, Class A2, 0.836% due 1/25/46(c)		31,257
	598,730	GBP	Residential Mortgage Securities 28 PLC, Series 28, Class A, 1.733% due 6/15/46(c)		821,163
	368,322	GBP	ResLoC UK PLC, Series 2007-1X, Class A3B, 0.743% due 12/15/43(c)		455,791
			RMAC Securities No 1 PLC:
	345,189	GBP	Series 2006-NS1X, Class A2A, 0.735% due 6/12/44(c)		427,093
	652,771	GBP	Series 2006-NS3X, Class A2A, 0.735% due 6/12/44(c)		792,666
	706,872		Soundview Home Loan Trust, Series 2006-3, Class A3, 0.596% due 11/25/36(c)		592,806
			Structured Adjustable Rate Mortgage Loan Trust:
	14,681		Series 2004-1, Class 4A1, 2.786% due 2/25/34(c)		14,604
	72,982		Series 2004-19, Class 2A1, 1.722% due 1/25/35(c)		57,795
	62,405		Series 2004-4, Class 3A2, 2.628% due 4/25/34(c)		61,805
			Structured Asset Mortgage Investments II Trust:
	85,682		Series 2005-AR2, Class 2A1, 0.666% due 5/25/45(c)		74,578
	100,947		Series 2005-AR8, Class A1A, 0.716% due 2/25/36(c)		77,400
	66,110		Series 2006-AR5, Class 1A1, 0.646% due 5/25/36(c)		51,169
	355,594		Series 2007-AR4, Class A3, 0.656% due 9/25/47(c)		281,003
	152,181		Series 2007-AR6, Class A1, 1.822% due 8/25/47(c)		124,830
	124,760		Structured Asset Securities Corp. Trust, Series 2005-10, Class 4A1, 5.500% due 12/25/34		124,257
	420,899		Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A4, 5.572% due 10/15/48		425,416
			WaMu Mortgage Pass Through Certificates Trust:
	19,617		Series 2002-AR9, Class 1A, 1.683% due 8/25/42(c)		18,664
	7,494		Series 2003-AR5, Class A7, 2.569% due 6/25/33(c)		7,553
	76,478		Series 2005-AR13, Class A1A1, 0.726% due 10/25/45(c)		70,870
	122,821		Series 2006-AR13, Class 2A, 2.144% due 10/25/46(c)		109,413
	496		Washington Mutual Mortgage Loan Trust, Series 2001-7, Class A, 1.481% due 5/25/41(c)		484
	32,728		Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2006-AR5, Class 3A, 1.262% due 7/25/46(c)		20,457

See Notes to Financial Statements.

149

Schedules of Investments

(unaudited) (continued)

International Fixed Income Fund
Face Amount/Units†			Security	Value
$	191,426		Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2002-AR3, Class 1A7, 2.318% due 12/25/32(c)	$	189,886
			TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $29,472,263)		26,725,166
	U.S. GOVERNMENT & AGENCY OBLIGATIONS — 11.3%
	5,600,000		U.S. Treasury Bonds, 2.500% due 2/15/45(j)		5,457,049
			U.S. Treasury Inflation Indexed Bonds:
	597,672		0.125% due 7/15/24(f)		591,866
	7,589,436		0.250% due 1/15/25(e)		7,543,384
	5,646,600		2.375% due 1/15/25(e)		6,652,954
	1,496,085		0.375% due 7/15/25(g)		1,507,968
			TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost — $21,674,965)		21,753,221
	MORTGAGE-BACKED SECURITIES — 4.6%
	CMHC — 0.4%
			Canadian Mortgage and Housing Corp. (CMHC):
	277,443	CAD	0.960% due 6/1/20(b)(c)		202,647
	664,092	CAD	1.183% due 7/1/20(b)(c)		487,918
	193,970	CAD	1.183% due 8/1/20(b)(c)		142,464
			TOTAL CMHC		833,029
	FHLMC — 0.5%
			Federal National Mortgage Corp. (FHLMC), Gold:
	1,000,000		3.000% due 3/1/46(h)		1,023,203
	FNMA — 3.1%
			Federal National Mortgage Association (FNMA):
	566,787		5.700% due 8/1/18(c)		590,368
	92,624		3.000% due 1/1/22		98,058
	840,500		2.500% due 8/1/28		866,245
	94,217		2.638% due 11/1/34(c)		98,841
	137,722		6.500% due 8/1/37		158,766
	2,000,000		3.500% due 3/1/46(h)		2,095,568
	2,000,000		3.000% due 4/1/46(h)		2,047,200
			TOTAL FNMA		5,955,046
	GNMA — 0.6%
			Government National Mortgage Association II (GNMA):
	13,267		6.000% due 9/20/38		14,331
	1,000,000		3.000% due 3/1/46(h)		1,035,703
			TOTAL GNMA		1,050,034
			TOTAL MORTGAGE-BACKED SECURITIES (Cost — $8,768,676)		8,861,312
	MUNICIPAL BOND — 0.2%
	United States — 0.2%
	295,000		School District of Philadelphia (The), Build America General Obligation Bonds, 6.765% due 6/1/40 (Cost — $295,000)		323,314
	ASSET-BACKED SECURITIES — 0.2%
	Automobiles — 0.1%
	257,280		Motor PLC, Series 2014-1A, Class A1, 0.916% due 8/25/21(a)(c)		257,291
	Student Loans — 0.1%
	191,108		Massachusetts Educational Financing Authority, Series 2008-1, Class A1, 1.569% due 4/25/38(c)		190,289
			TOTAL ASSET-BACKED SECURITIES (Cost — $448,388)		447,580

See Notes to Financial Statements.

150

Schedules of Investments

(unaudited) (continued)

International Fixed Income Fund
Notional Amount†/ Number of Contracts			Security	Value
	PURCHASED OPTIONS — 0.2%
	Germany — 0.0%
	30	EUR	Euro-Bund April Futures, Call @ $169.00, expires 03/24/2016, DUB	$	652
	100	EUR	Euro-Schatz April Futures, Put @ $111.20, expires 03/24/2016, DUB		544
			Total Germany		1,196
	United States — 0.2%
	2,975,000	EUR	OTC Euro versus U.S. Dollar, Put @ $1.06, expires 05/06/2016, BOA		30,744
	2,975,000	EUR	OTC Euro versus U.S. Dollar, Put @ $1.12, expires 05/06/2016, BOA		122,141
	2,644,000	EUR	OTC Euro versus U.S. Dollar, Put @ $1.04, expires 05/06/2016, JPM		15,666
	2,644,000	EUR	OTC Euro versus U.S. Dollar, Put @ $1.10, expires 05/06/2016, JPM		72,068
$	1,000,000		OTC U.S. Dollar versus Brazilian Real, Call @ $4.00, expires 05/19/2016, CITI		44,251
	600,000		OTC U.S. Dollar versus Brazilian Real, Call @ $4.00, expires 05/19/2016, BNP		26,551
	54,000		OTC U.S. Dollar versus Chinese Onshore Renminbi, Call @ $6.52, expires 10/31/2016, SCB		31,360
	5,892,000		OTC U.S. Dollar versus Japanese Yen, Call @ $117.25, expires 05/06/2016, BNP		36,218
	500,000		OTC U.S. Dollar versus Russian Ruble, Put @ $76.00, expires 01/24/2017, CITI		31,166
	380,000		OTC U.S. Dollar versus Russian Ruble, Put @ $76.84, expires 02/02/2017, HSBC		25,591
	309		U.S. Treasury 10-Year Note June Futures, Put @ $112.00, expires 05/20/2016, CITI		4,828
	98		U.S. Treasury 5-Year Note June Futures, Put @ $112.25, expires 05/20/2016, CITI		766
			Total United States		441,350
			TOTAL PURCHASED OPTIONS (Cost — $370,121)		442,546
			TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $198,149,937)		193,511,950
Face Amount†
	SHORT-TERM INVESTMENTS — 5.0%
	REPURCHASE AGREEMENT — 0.3%
	600,000		Deutsche Bank Securities Inc. repurchase agreement dated 02/29/16, 0.450% due 3/1/16, Proceeds at maturity — $600,007; (Fully collateralized by U.S. Treasury Bond, 3.750% due 11/15/43; Market Valued — $612,158)(i) (Cost — $600,000)		600,000
	SOVEREIGN BOND — 0.2%
	13,000,000	CZK	Czech Republic Ministry of Finance Bill, (0.150)% due 9/30/16(b)(i) (Cost — $536,746)		523,337
	TIME DEPOSITS — 2.2%
			ANZ National Bank — London:
	91,363	GBP	0.080% due 3/1/16		127,250
	2,044,850		0.150% due 3/1/16		2,044,850
	764,576		Banco Santander SA — Frankfurt, 0.150% due 3/1/16		764,576
			BBH — Grand Cayman:
	662	CHF	(1.000)% due 3/1/16		665
	1,634	DKK	(0.250)% due 3/1/16		238
	31,692,336	JPY	(0.130)% due 3/1/16		280,749
	196,025	SGD	0.100% due 3/1/16		139,366
	136,000	NOK	0.133% due 3/1/16		15,588
	11,882	AUD	1.229% due 3/1/16		8,483
	588	NZD	1.600% due 3/1/16		387
			DNB — Oslo:
	428,977	SEK	(0.756)% due 3/1/16		49,934
	579,449	EUR	(0.310)% due 3/1/16		629,484

See Notes to Financial Statements.

151

Schedules of Investments

(unaudited) (continued)

International Fixed Income Fund
Face Amount†			Security	Value
	482,697	ZAR	HSBC Bank PLC — London, 6.400% due 3/1/16	$	30,577
	80,428	CAD	Wells Fargo — Grand Cayman, 0.050% due 3/1/16		59,336
			TOTAL TIME DEPOSITS (Cost — $4,151,483)		4,151,483
	U.S. GOVERNMENT AGENCIES — 2.3%
			Federal Home Loan Bank (FHLB), Discount Notes:
$	800,000		0.290% due 3/4/16(i)		799,981
	3,600,000		0.300% due 3/28/16(i)		3,599,190
			TOTAL U.S. GOVERNMENT AGENCIES (Cost — $4,399,171)		4,399,171
			TOTAL SHORT-TERM INVESTMENTS (Cost — $9,687,400)		9,673,991
			TOTAL INVESTMENTS — 105.9% (Cost — $207,837,337#)		203,185,941
			Liabilities in Excess of Other Assets — (5.9)%		(11,388,275	)
			TOTAL NET ASSETS — 100.0%	$	191,797,666

† Amount denominated in U.S. dollars, unless otherwise noted.

(a) Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.

(b) Illiquid security.

(c) Variable rate security. Interest rate disclosed is that which was in effect at February 29, 2016.

(d) Security is perpetual in nature and has no stated maturity date.

(e) Position, or portion thereof, has been segregated to collateralize reverse repurchase agreement.

(f) All or a portion of this security is held at the broker as collateral for open centrally cleared swap contracts.

(g) All or a portion of this security is held at the broker as collateral for open futures contracts.

(h) This security is traded on a TBA basis (see Note 1).

(i) Rate shown represents yield-to-maturity.

(j) All or a portion of this security is held at the broker as collateral for open OTC derivative instruments.

# Aggregate cost for federal income tax purposes is substantially the same.

Abbreviations used in this schedule:
ABS	— Asset-Backed Security
CDO	— Collateralized Debt Obligation
CLO	— Collateralized Loan Obligation
OTC	— Over the Counter
PLC	— Public Limited Company
REMICS	— Real Estate Mortgage Investment Conduit

Summary of Investments by Security Type^
Sovereign Bonds	42.4	%
Corporate Bonds & Notes	24.0
Collateralized Mortgage Obligations	13.2
U.S. Government & Agency Obligations	10.7
Mortgage-Backed Securities	4.3
Asset-Backed Securities	0.2
Purchased Options	0.2
Municipal Bonds	0.2
Short-Term Investments	4.8
	100.0	%

^ As a percentage of total investments.

See Notes to Financial Statements.

152

Schedules of Investments

(unaudited) (continued)

International Fixed Income Fund

Schedule of Options Contracts Written

Notional Amount/ Number of Contracts			Security Name	Counterparty		Expiration Date		Strike Price		Value
	Germany
	13	EUR	Euro-Bund June Futures, Call		CSFB		5/26/16	$	163.00	$	33,232
	United States
	600,000		Markit CDX NA Investment Grade Series 25 5-Year Index, Put		BCLY		4/20/16		1.50		462
	5,300,000	EUR	Markit iTraxx Europe Series 24 5-Year Index, Put		JPM		4/20/16		1.00		29,531
	2,050,000	GBP	10-Year Swaption, 6-Month GBP LIBOR, Call		BCLY		3/10/16		1.70		115,192
	2,050,000	GBP	10-Year Swaption, 6-Month GBP LIBOR, Put		BCLY		3/10/16		2.25		0
	3,966,000	EUR	OTC Euro versus U.S. Dollar, Put		JPM		5/6/16		1.07		54,005
	4,463,000	EUR	OTC Euro versus U.S. Dollar, Put		BOA		5/6/16		1.09		89,999
	600,000		OTC U.S. Dollar versus Brazilian Real, Put		BNP		5/19/16		3.85		7,630
	1,000,000		OTC U.S. Dollar versus Brazilian Real, Put		CITI		5/19/16		3.85		12,717
	600,000		OTC U.S. Dollar versus Brazilian Real, Call		BNP		5/19/16		4.30		10,442
	1,000,000		OTC U.S. Dollar versus Brazilian Real, Call		CITI		5/19/16		4.30		17,404
	407,000		OTC U.S. Dollar versus Chinese Offshore Renminbi, Put		CITI		4/27/16		6.60		5,734
	1,193,000		OTC U.S. Dollar versus Chinese Offshore Renminbi, Put		SOG		4/27/16		6.60		16,807
	1,300,000		OTC U.S. Dollar versus Chinese Onshore Renminbi, Call		SOG		11/1/16		7.00		22,391
	5,892,000		OTC U.S. Dollar versus Japanese Yen, Call		BNP		5/6/16		122.45		8,443
	300,000		OTC U.S. Dollar versus Korean Won, Put		SOG		1/19/17		1,145.00		4,149
	400,000		OTC U.S. Dollar versus Korean Won, Put		UBS		1/19/17		1,145.00		5,532
	500,000		OTC U.S. Dollar versus Russian Ruble, Call		CITI		3/9/16		71.50		26,213
	500,000		OTC U.S. Dollar versus Russian Ruble, Call		CITI		1/24/17		110.00		15,180
	380,000		OTC U.S. Dollar versus Russian Ruble, Call		HSBC		2/2/17		110.00		12,039
	3,000,000	EUR	5-Year Swaption, 6-Month EURIBOR, Call		BCLY		4/29/16		0.40		755
	3,000,000	EUR	5-Year Swaption, 6-Month EURIBOR, Put		BCLY		4/29/16		1.40		6,284
			TOTAL OPTIONS CONRACTS WRITTEN (Premiums received — $341,312)							$	494,141

During the period ended February 29, 2016, options contracts written transactions for International Fixed Income Fund were as follows:

	Notional Amount/ Number of Contracts			Premiums Received
Options contracts written, outstanding at August 31, 2015		14,355,600		$	63,177
Options written		103,401,071			675,226
Options closed		(21,355,658	)		(159,255	)
Options expired		(57,900,000	)		(237,836	)
Options contracts written, outstanding at February 29, 2016		38,501,013		$	341,312

See Notes to Financial Statements.

153

Schedules of Investments

(unaudited) (continued)

International Fixed Income Fund

Schedule of Reverse Repurchase Agreements

Face Amount		Security	Value
$	6,959,625	Merrill Lynch & Pierce, Fenner & Smith Inc., 0.450% due 4/7/16 (Proceeds — $6,959,625)	$	6,959,625

For the period ended February 29, 2016, the average borrowing and interest rate under the reverse repurchase agreements were $14,652,491 and 0.558%, respectively.

Schedule of Forward Sale Commitments

Face Amount		Security	Value
		Federal National Mortgage Association (FNMA):
$	2,000,000	4.000% due 4/1/46(a)	$	2,131,172
	14,000,000	4.500% due 3/1/46(a)		15,207,194
		TOTAL OPEN FORWARD SALE COMMITMENTS (Proceeds — $17,281,562)	$	17,338,366

(a) This security is traded on a TBA basis (see Note 1).

At February 29, 2016, International Fixed Income Fund had open exchange traded futures contracts as described below.

The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:

Open Futures Contracts	Number of Contracts		Expiration Date (Month/Year)		Market Value		Unrealized Appreciation/ (Depreciation)
Contracts to Buy:
Australian Government 10-Year Bond March Futures		12		3/16	$	1,129,106	$	46,303
Euro-Bobl June Futures		109		6/16		15,605,023		24,900
Euro-BTP June Futures		8		6/16		1,205,195		4,264
Euro-OAT March Futures		77		3/16		13,140,362		421,740
Euro-Schatz Note March Futures		100		3/16		12,177,376		56,022
Japan Government 10-Year Bond March Futures		10		3/16		13,494,745		274,223
U.S. Treasury 5-Year Note June Futures		98		6/16		11,856,469		6,011
U.S. Treasury 10-Year Note June Futures		309		6/16		40,329,328		15,197
United Kingdom Treasury 10-Year Gilt June Futures		19		6/16		3,223,697		23,270
								871,930
Contracts to Sell:
90-Day Eurodollar December Futures		28		12/16		6,941,550		(47,268	)
90-Day Eurodollar June Futures		2		6/16		496,350		(1,722	)
90-Day Eurodollar March Futures		16		3/17		3,965,200		(32,943	)
90-Day Eurodollar September Futures		21		9/16		5,208,787		(27,147	)
Canada Government 10-Year Bond June Futures		53		6/16		5,544,995		29,768
Euro-BONO March Futures		2		3/16		306,477		(5,483	)
Euro-Bund June Futures		29		6/16		5,171,999		(1,577	)

See Notes to Financial Statements.

154

Schedules of Investments

(unaudited) (continued)

International Fixed Income Fund

Open Futures Contracts	Number of Contracts		Expiration Date (Month/Year)		Market Value		Unrealized Appreciation/ (Depreciation)
Euro-Buxl 30-Year Bond March Futures		11		3/16	$	2,031,793	$	(187,580	)
U.S. Treasury Long Bond June Futures		22		6/16		3,809,438		16,672
U.S. Treasury Long Bond June Futures		37		6/16		6,087,656		11,851
								(245,429	)
Net Unrealized Appreciation on Open Exchange Traded Futures Contracts							$	626,501

At February 29, 2016, International Fixed Income Fund had deposited cash of $88,000 with a broker or brokers as margin collateral on open exchange traded futures contracts.

At February 29, 2016, International Fixed Income Fund had open forward foreign currency contracts as described below.

The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:

Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
Contracts to Buy:
Australian Dollar		3,447,150		BOA	$	2,460,231		3/2/16	$	(9,651	)
Australian Dollar		2,290,000		GSC		1,634,373		3/2/16		38,934
Australian Dollar		1,376,000		UBS		982,051		3/2/16		11,157
Brazilian Real		304,081		BNP		75,736		3/2/16		1,736
Brazilian Real		2,740,288		BOA		682,513		3/2/16		(6,071	)
Brazilian Real		2,617,032		DUB		651,814		3/2/16		(8,186	)
Brazilian Real		123,256		DUB		30,699		3/2/16		(301	)
Brazilian Real		9,073,449		GSC		2,259,888		3/2/16		(30,809	)
Brazilian Real		569,784		GSC		141,914		3/2/16		2,914
Brazilian Real		9,947,314		JPM		2,477,538		3/2/16		(22,039	)
Brazilian Real		646,220		JPM		160,951		3/2/16		(341	)
Brazilian Real		2,740,288		BOA		676,164		4/4/16		(5,440	)
Brazilian Real		315,000		DUB		73,737		10/4/16		1,156
Brazilian Real		400,000		BNP		86,986		7/5/17		872
British Pound		1,058,000		JPM		1,472,471		3/2/16		(41,750	)
British Pound		15,767,547		SCB		21,944,479		3/2/16		1,831
British Pound		262,000		GSC		364,687		4/4/16		(1,100	)
Canadian Dollar		11,883,448		CITI		8,782,063		3/2/16		189,693
Chinese Onshore Renminbi		4,218,795		BNP		642,014		4/29/16		12,014
Chinese Onshore Renminbi		4,964,110		SCB		754,875		5/19/16		3,875
Chinese Onshore Renminbi		733,244		SCB		111,485		5/23/16		485
Chinese Onshore Renminbi		3,568,977		SCB		542,621		5/24/16		1,621
Chinese Onshore Renminbi		2,948,060		SCB		448,185		5/26/16		2,185
Danish Krone		17,360,000		BNP		2,531,424		3/2/16		(35,964	)
Euro		34,337,465		BOA		37,352,280		3/2/16		(453,269	)
Euro		1,023,000		GSC		1,112,819		3/2/16		(33,549	)
Euro		13,805,098		HSBC		15,017,179		3/2/16		(189,136	)
Euro		1,444,000		JPM		1,570,783		3/2/16		7,128
Euro		614,000		JPM		667,909		3/2/16		(20,423	)
Euro		1,096,000		JPM		1,192,228		3/2/16		(34,570	)
Euro		642,000		JPM		698,367		3/2/16		(24,718	)
Euro		1,824,000		JPM		1,984,146		3/2/16		(1,334	)
Euro		298,000		CITI		324,507		4/4/16		(840	)
Indian Rupee		217,506,710		CITI		3,136,814		5/24/16		13,064
Japanese Yen		2,727,000,000		BOA		24,185,180		3/2/16		(141,314	)
Japanese Yen		28,700,000		CITI		254,534		3/2/16		14,069

See Notes to Financial Statements.

155

Schedules of Investments

(unaudited) (continued)

International Fixed Income Fund

Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
Japanese Yen		169,300,000		JPM	$	1,501,486		3/2/16	$	33,515
Japanese Yen		730,100,000		SCB		6,475,101		3/2/16		218,888
Korean Won		186,329,200		BOA		150,236		3/22/16		(1,764	)
Korean Won		166,074,720		BNP		133,721		5/24/16		(4,279	)
Korean Won		852,600,000		CITI		686,499		5/24/16		(9,501	)
Korean Won		198,100,000		CITI		159,507		5/24/16		(3,740	)
Korean Won		426,186,600		DUB		343,158		5/24/16		(13,842	)
Korean Won		432,123,500		HSBC		347,939		5/24/16		(17,061	)
Korean Won		510,090,400		JPM		410,716		5/24/16		(17,284	)
Korean Won		43,863,500		JPM		35,318		5/24/16		(1,682	)
Korean Won		140,459,000		JPM		113,095		5/24/16		95
Korean Won		1,192,000		JPM		960		5/24/16		(40	)
Malaysian Ringgit		952,360		BCLY		225,142		5/24/16		(6,858	)
Malaysian Ringgit		802,675		GSC		189,756		5/24/16		(4,244	)
Malaysian Ringgit		402,065		HSBC		95,050		5/24/16		(1,950	)
Malaysian Ringgit		521,599		JPM		123,308		5/24/16		1,308
Malaysian Ringgit		1,854,846		SCB		438,494		5/24/16		(2,506	)
Mexican Peso		10,456,000		BCLY		576,196		3/14/16		8,000
Mexican Peso		4,001,000		BCLY		220,482		3/14/16		2,560
Mexican Peso		6,888,000		BCLY		379,575		3/14/16		1,799
Mexican Peso		9,253,000		BOA		509,902		3/14/16		12,745
Mexican Peso		9,810,000		BOA		540,597		3/14/16		10,825
New Taiwan Dollar		8,837,700		BCLY		266,071		5/24/16		(929	)
New Taiwan Dollar		6,855,840		HSBC		206,405		5/24/16		(595	)
New Taiwan Dollar		1,955,260		JPM		58,866		5/24/16		(134	)
New Taiwan Dollar		7,866,030		JPM		236,818		5/24/16		(182	)
New Zealand Dollar		1,490,000		GSC		981,835		3/2/16		21,206
New Zealand Dollar		533,000		HSBC		351,220		3/2/16		6,068
New Zealand Dollar		5,829,135		SCB		3,841,108		3/2/16		(9,661	)
New Zealand Dollar		575,000		GSC		378,110		4/4/16		(4,887	)
Russian Ruble		3,274,800		BOA		43,223		3/23/16		3,223
Russian Ruble		46,380,600		DUB		612,165		3/23/16		45,165
Russian Ruble		47,167,650		JPM		613,142		5/18/16		1,310
Thai Baht		2,740,454		DUB		76,698		5/24/16		697
Thai Baht		71,220		HSBC		1,993		5/24/16		(7	)
Turkish Lira		413,435		HSBC		138,903		3/15/16		(97	)
Turkish Lira		1,210,821		JPM		406,802		3/15/16		(198	)
										(492,108	)
Contracts to Sell:
Australian Dollar		7,113,150		SCB		5,076,655		3/2/16		(83,003	)
Australian Dollar		3,447,150		BOA		2,456,241		4/4/16		9,940
Australian Dollar		400,000		GSC		285,017		4/4/16		2,198
Brazilian Real		304,081		BNP		75,736		3/2/16		674
Brazilian Real		2,740,288		BOA		682,513		3/2/16		5,829
Brazilian Real		2,740,288		DUB		682,513		3/2/16		6,071
Brazilian Real		9,643,233		GSC		2,401,802		3/2/16		21,365
Brazilian Real		10,593,534		JPM		2,638,489		3/2/16		(119,817	)
Brazilian Real		9,073,449		GSC		2,238,868		4/4/16		29,126
Brazilian Real		315,000		DUB		73,737		10/4/16		12,913
Brazilian Real		400,000		BNP		86,986		7/5/17		53,993
British Pound		16,454,547		BOA		22,900,611		3/2/16		555,675
British Pound		371,000		JPM		516,339		3/2/16		13,729
British Pound		15,767,547		SCB		21,947,411		4/4/16		(1,824	)
Canadian Dollar		85,000		JPM		62,816		3/2/16		(1,959	)
Canadian Dollar		11,798,448		JPM		8,719,246		3/2/16		(439,111	)

See Notes to Financial Statements.

156

Schedules of Investments

(unaudited) (continued)

International Fixed Income Fund

Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
Canadian Dollar		154,428		RBS	$	114,125		3/2/16	$	(125	)
Canadian Dollar		11,883,448		CITI		8,782,244		4/4/16		(189,961	)
Chinese Onshore Renminbi		4,963,735		SCB		754,818		5/19/16		(3,818	)
Chinese Onshore Renminbi		733,577		SCB		111,536		5/23/16		(536	)
Chinese Onshore Renminbi		16,126,243		HSBC		2,451,806		5/24/16		(8,806	)
Chinese Onshore Renminbi		3,570,600		SCB		542,868		5/24/16		(1,868	)
Chinese Onshore Renminbi		2,948,060		SCB		448,185		5/26/16		(2,185	)
Czech Koruna		13,019,584		HSBC		527,483		9/30/16		15,203
Danish Krone		16,520,000		BNP		2,408,936		3/2/16		(8,737	)
Danish Krone		840,000		UBS		122,488		3/2/16		3,352
Danish Krone		17,360,000		BNP		2,534,485		4/4/16		35,610
Danish Krone		4,800,000		JPM		705,696		10/3/16		26,871
Danish Krone		24,827,000		JPM		3,650,066		10/3/16		119,596
Danish Krone		5,100,000		JPM		749,802		10/3/16		32,167
Danish Krone		11,606,360		JPM		1,706,367		10/3/16		30,591
Euro		3,659,268		BOA		3,980,550		3/2/16		10,778
Euro		325,000		CITI		353,535		3/2/16		1,281
Euro		1,068,000		CITI		1,161,770		3/2/16		(801	)
Euro		475,000		JPM		516,705		3/2/16		10,623
Euro		824,000		UBS		896,347		3/2/16		4,717
Euro		48,434,295		UBS		52,686,805		3/2/16		(171,824	)
Euro		34,337,465		BOA		37,391,815		4/4/16		449,204
Euro		1,624,000		GSC		1,768,456		4/4/16		24,819
Euro		13,805,098		HSBC		15,033,074		4/4/16		187,557
Indian Rupee		68,279,249		BOA		984,702		5/24/16		17,845
Indian Rupee		10,212,750		UBS		147,285		5/24/16		(550	)
Japanese Yen		251,700,000		JPM		2,232,274		3/2/16		(102,307	)
Japanese Yen		514,900,000		JPM		4,566,538		3/2/16		(323,313	)
Japanese Yen		958,100,000		JPM		8,497,184		3/2/16		(569,661	)
Japanese Yen		216,900,000		JPM		1,923,640		3/2/16		(22,671	)
Japanese Yen		483,800,000		JPM		4,290,719		3/2/16		(171,706	)
Japanese Yen		1,229,700,000		SCB		10,905,947		3/2/16		(513,911	)
Japanese Yen		2,727,000,000		BOA		24,214,330		4/4/16		141,387
Korean Won		256,096,000		BNP		206,314		4/29/16		5,686
Korean Won		15,762,500		HSBC		12,692		5/24/16		308
Korean Won		972,725,300		HSBC		783,222		5/24/16		24,723
Korean Won		805,166,923		JPM		648,307		5/24/16		20,853
Korean Won		137,069,000		JPM		110,366		5/24/16		2,634
Korean Won		384,198,400		UBS		309,350		5/24/16		9,421
Malaysian Ringgit		4,578,456		BNP		1,082,368		5/24/16		(30,574	)
Mexican Peso		4,508,000		BCLY		248,421		3/14/16		(9,936	)
Mexican Peso		1,367,000		CITI		75,331		3/14/16		(1,289	)
Mexican Peso		3,395,731		GSC		187,128		3/14/16		10,902
New Taiwan Dollar		7,097,760		BNP		213,620		4/29/16		(1,620	)
New Taiwan Dollar		39,027,065		BOA		1,174,964		5/24/16		(5,964	)
New Taiwan Dollar		2,700,050		GSC		81,289		5/24/16		(570	)
New Taiwan Dollar		19,545,265		HSBC		588,437		5/24/16		1,341
New Taiwan Dollar		31,214,155		JPM		939,746		5/24/16		4,993
New Zealand Dollar		6,369,135		BOA		4,196,941		3/2/16		(64,347	)
New Zealand Dollar		1,226,000		JPM		807,873		3/2/16		(846	)
New Zealand Dollar		257,000		JPM		169,350		3/2/16		(2,837	)
New Zealand Dollar		5,829,135		SCB		3,833,142		4/4/16		10,152
Polish Zloty		2,892,133		GSC		723,485		5/12/16		(8,815	)
Russian Ruble		47,167,650		JPM		622,553		3/23/16		(1,762	)
Russian Ruble		2,487,750		JPM		32,835		3/23/16		(1,835	)

See Notes to Financial Statements.

157

Schedules of Investments

(unaudited) (continued)

International Fixed Income Fund

Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
Russian Ruble		10,857,840		SOG	$	142,381		4/15/16	$	7,382
Singapore Dollar		295,555		HSBC		209,854		4/29/16		(2,854	)
Singapore Dollar		1,074,136		CITI		762,126		5/24/16		5,583
Swedish Krona		9,290,000		CITI		1,085,002		3/2/16		14,255
Swedish Krona		9,290,000		DUB		1,086,487		4/4/16		(2,850	)
Swiss Franc		99,000		JPM		99,154		3/2/16		(2,151	)
Swiss Franc		99,000		CITI		99,331		4/4/16		(109	)
Thai Baht		19,589,440		DUB		548,253		5/24/16		1,703
Turkish Lira		1,859,000		CITI		624,572		3/15/16		(8,663	)
										(942,466	)
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts									$	(1,434,574	)

At February 29, 2016, International Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date		Counterparty		Notional Amount			Unrealized Appreciation/ (Depreciation)
Pay	28-Day MXN TIIE Banxico		4.130%		10/17/2017		UBS		MXN	65,500,000	$	(13,499	)
Pay	28-Day MXN TIIE Banxico		4.195%		10/05/2017		CITI		MXN	22,100,000		(6,483	)
Pay	28-Day MXN TIIE Banxico		5.070%		02/03/2021		UBS		MXN	10,500,000		(7,500	)
Pay	28-Day MXN TIIE Banxico		5.085%		02/02/2021		CITI		MXN	22,500,000		(14,405	)
Pay	28-Day MXN TIIE Banxico		5.095%		02/02/2021		UBS		MXN	53,500,000		(34,830	)
Pay	28-Day MXN TIIE Banxico		5.610%		07/07/2021		UBS		MXN	82,000,000		(80,832	)
Pay	28-Day MXN TIIE Banxico		5.795%		12/10/2021		CITI		MXN	21,600,000		(13,857	)
Pay	28-Day MXN TIIE Banxico		5.825%		01/12/2023		UBS		MXN	10,400,000		(5,853	)
Receive	3-Month JPY-LIBOR		0.300%		03/18/2026		CITI		JPY	90,000,000		(20,722	)
Pay	3-Month SEK-STIBOR		1.000%		03/18/2025		CITI		SEK	22,700,000		45,939
Receive	3-Month USD-LIBOR		1.300%		05/06/2017		UBS		USD	12,800,000		(38,541	)
Receive	3-Month USD-LIBOR		1.500%		12/16/2017		CITI		USD	46,300,000		(433,753	)
Receive	3-Month USD-LIBOR		2.000%		12/16/2020		CITI		USD	6,900,000		(333,530	)
Pay	3-Month USD-LIBOR		2.000%		06/15/2023		UBS		USD	1,400,000		38,051
Receive	3-Month USD-LIBOR		2.038%		08/31/2022		UBS		USD	5,100,000		(248,842	)
Receive	3-Month USD-LIBOR		2.250%		12/16/2022		CITI		USD	31,800,000		(2,185,336	)
Receive	3-Month USD-LIBOR		2.250%		06/15/2026		UBS		USD	13,500,000		(718,684	)
Receive	3-Month USD-LIBOR		2.500%		12/16/2025		CITI		USD	2,600,000		(277,085	)
Receive	3-Month USD-LIBOR		2.500%		12/16/2025		UBS		USD	6,400,000		(655,075	)
Pay	3-Month USD-LIBOR		2.500%		06/15/2046		CITI		USD	400,000		50,978
Pay	3-Month ZAR-SAJIBOR		8.000%		03/16/2018		CITI		ZAR	18,600,000		(876	)
Pay	3-Month ZAR-SAJIBOR		8.750%		03/16/2021		CITI		ZAR	15,700,000		4,583
Receive	6-Month Australian Bank Bill		3.250%		06/17/2026		UBS		AUD	200,000		(7,306	)
Receive	6-Month EURIBOR		0.150%		03/16/2018		UBS		EUR	6,100,000		(39,079	)
Pay	6-Month EURIBOR		0.493%		03/16/2021		UBS		EUR	9,200,000		262,581
Pay	6-Month EURIBOR		1.000%		03/16/2026		CITI		EUR	9,150,000		411,993
Pay	6-Month EURIBOR		1.000%		03/16/2026		UBS		EUR	1,400,000		63,053
Receive	6-Month EURIBOR		1.500%		03/16/2046		UBS		EUR	3,000,000		3,408
Pay	6-Month GBP-LIBOR		1.250%		09/21/2021		CITI		GBP	1,100,000		28,358
Receive	6-Month GBP-LIBOR		1.750%		09/16/2018		CITI		GBP	1,200,000		(34,904	)
Receive	6-Month GBP-LIBOR		1.750%		09/16/2018		UBS		GBP	3,200,000		(93,078	)
Pay	6-Month GBP-LIBOR		1.750%		03/16/2021		CITI		GBP	5,800,000		56,592
Pay	6-Month GBP-LIBOR		1.750%		03/16/2021		UBS		GBP	1,200,000		13,185
Pay	6-Month GBP-LIBOR		2.000%		03/16/2026		CITI		GBP	5,100,000		365,753
Pay	6-Month GBP-LIBOR		2.000%		03/16/2026		UBS		GBP	500,000		16,444
Receive	6-Month GBP-LIBOR		2.250%		03/16/2046		UBS		GBP	1,000,000		(248,425	)

See Notes to Financial Statements.

158

Schedules of Investments

(unaudited) (continued)

International Fixed Income Fund

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date		Counterparty		Notional Amount			Unrealized Appreciation/ (Depreciation)
Pay	6-Month JPY-LIBOR		0.150%		03/22/2018		CITI		JPY	4,870,000,000	$	282,721
Receive	6-Month JPY-LIBOR		0.500%		09/18/2022		UBS		JPY	1,000,000,000		(318,264	)
Pay	6-Month JPY-LIBOR		1.500%		06/19/2033		CITI		JPY	450,000,000		376,872
Receive	6-Month JPY-LIBOR		1.500%		12/20/2044		CITI		JPY	190,000,000		(228,858	)
											$	(4,039,106	)

At February 29, 2016, International Fixed Income Fund held the following OTC Inflation Rate Swap Contracts:

Pay/ Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date		Counterparty		Notional Amount			Market Value		Upfront Premiums Paid		Unrealized Appreciation
Pay	15-Year GBP Inflation Linked		3.188%		01/15/2031		CITI		GBP	200,000	$	7,980	$	—	$	7,980
Pay	15-Year GBP Inflation Linked		3.188%		01/15/2031		GSC		GBP	600,000		23,939		655		23,284
Pay	15-Year GBP Inflation Linked		3.220%		01/15/2031		RBS		GBP	500,000		24,385		4,881		19,504
Pay	15-Year GBP Inflation Linked		3.223%		01/15/2031		UBS		GBP	300,000		14,836		68		14,768
Pay	15-Year GBP Inflation Linked		3.223%		01/15/2031		BOA		GBP	300,000		18,279		3,676		14,603
											$	89,419	$	9,280	$	80,139

At February 29, 2016, International Fixed Income Fund held the following OTC Volatility Swap Contracts:

Pay/Receive Volatility*	Reference Obligation	Fixed Rate		Maturity Date		Counterparty		Notional Amount			Market Value			Upfront Premiums Paid		Unrealized Appreciation/ Depreciation
Pay	EUR vs. CHF spot exchange rate		10.250%		08/16/2016		DUB		CHF	300,000	$	2,359		$	—	$	2,359
Pay	EUR vs. CHF spot exchange rate		10.550%		08/16/2016		DUB		CHF	500,000		2,419			—		2,419
Pay	USD vs. CHF spot exchange rate		10.900%		08/16/2016		DUB		CHF	200,000		(287	)		—		(287	)
Pay	USD vs. CHF spot exchange rate		11.200%		08/16/2016		DUB		CHF	500,000		(1,661	)		—		(1,661	)
Pay	USD vs. CHF spot exchange rate		10.450%		08/16/2016		DUB		CHF	300,000		1,857			—		1,857
Pay	EUR vs. CHF spot exchange rate		10.800%		12/06/2016		DUB		CHF	100,000		758			—		758
Receive	EUR vs. CHF spot exchange rate		8.350%		08/16/2016		DUB		CHF	500,000		6,496			—		6,496
Receive	EUR vs. CHF spot exchange rate		8.650%		08/16/2016		DUB		CHF	300,000		4,805			—		4,805
Receive	EUR vs. CHF spot exchange rate		9.000%		08/16/2016		DUB		CHF	300,000		5,695			—		5,695
Receive	EUR vs. CHF spot exchange rate		8.450%		08/16/2016		DUB		CHF	300,000		4,182			—		4,182
Receive	EUR vs. CHF spot exchange rate		8.700%		08/16/2016		DUB		CHF	200,000		3,173			—		3,173
Receive	EUR vs. CHF spot exchange rate		8.800%		08/16/2016		DUB		CHF	200,000		3,358			—		3,358
Receive	EUR vs. CHF spot exchange rate		8.400%		12/06/2016		DUB		CHF	100,000		208			—		208
											$	33,362		$	—	$	33,362

* Fund will pay or receive the volatility of the reference asset depending on whether the realized volatility of the reference asset exceeds or is less than the fixed rate. For contracts where the Fund has elected to receive the volatility of the reference asset, it will receive a net payment of the difference between the realized volatility and the fixed rate multiplied by the notional amount if the realized volatility exceeds the fixed rate; the Fund will make a net payment of the absolute value of the difference of the realized volatility and the fixed rate multiplied by the notional amount if the realized volatility is less than the fixed rate. For contracts where the Fund has elected to pay the volatility of the reference asset, it will make a net payment of the difference between the realized volatility and the fixed rate multiplied by the notional amount if the realized volatility exceeds the fixed rate; the Fund will receive a net payment of the absolute value of the difference of the realized and the fixed rate multiplied by the notional amount if the realized volatility is less than the fixed rate.

See Notes to Financial Statements.

159

Schedules of Investments

(unaudited) (continued)

International Fixed Income Fund

At February 29, 2016, International Fixed Income Fund held the following OTC and Centrally Cleared Credit Default Swap Contracts:

OTC Credit Default Swaps on Corporate and Sovereign Issues and Indexes—Buy Protection (1)

Reference Obligation	Fixed Deal (Pay) Rate			Maturity Date		Counterparty		Implied Credit Spread at 2/29/16 (2)		Notional Amount (3)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Altria Group Inc., BBB+		(1.000%	)		12/20/2020		GSC		0.286%	USD	100,000	$	(3,569	)	$	(3,290	)	$	(279	)
Altria Group Inc., BBB+		(1.000%	)		12/20/2020		CITI		0.286%	USD	200,000		(7,137	)		(6,699	)		(438	)
Altria Group Inc., BBB+		(1.000%	)		12/20/2020		BCLY		0.286%	USD	100,000		(3,569	)		(3,398	)		(171	)
American General Finance Corp., B		(1.820%	)		12/20/2017		RBS		4.022%	USD	1,000,000		34,034			—			34,034
Bat Netherlands Finance BV, A-		(1.000%	)		12/20/2020		JPM		0.571%	EUR	100,000		(2,462	)		(2,223	)		(239	)
Bayer AG, A-		(1.000%	)		12/20/2020		BCLY		0.542%	EUR	100,000		(2,614	)		(2,249	)		(365	)
Bayer AG, A-		(1.000%	)		12/20/2020		CITI		0.542%	EUR	100,000		(2,614	)		(2,110	)		(504	)
First Energy, BBB-		(0.940%	)		06/20/2017		RBS		0.188%	USD	1,000,000		(11,748	)		—			(11,748	)
iTraxx Europe Sub Financials Series 23 Index		(0.940%	)		12/20/2020		SOG		2.368%	EUR	300,000		19,706			7,003			12,703
iTraxx Europe Sub Financials Series 23 Index		(1.000%	)		12/20/2020		BOA		2.368%	EUR	1,000,000		65,686			21,944			43,742
Koninklijke Dsm NV, A-		(1.000%	)		12/20/2020		CITI		0.553%	EUR	100,000		(2,559	)		(2,249	)		(310	)
Koninklijke Dsm NV, A-		(1.000%	)		12/20/2020		GSC		0.553%	EUR	100,000		(2,559	)		(2,193	)		(366	)
Pfizer Inc., AA		(1.000%	)		12/20/2020		JPM		0.202%	USD	300,000		(11,922	)		(11,215	)		(707	)
Reynolds American Inc., BBB-		(1.000%	)		12/20/2020		GSC		0.401%	USD	300,000		(9,056	)		(9,178	)		122
Reynolds American Inc., BBB-		(1.000%	)		12/20/2020		BOA		0.401%	USD	100,000		(3,019	)		(2,866	)		(153	)
Reynolds American Inc., BBB-		(1.000%	)		12/20/2020		BCLY		0.401%	USD	100,000		(3,019	)		(2,770	)		(249	)
Starwood Hotels & Resorts World, BBB		(1.490%	)		06/20/2018		BOA		0.084%	USD	1,000,000		(35,444	)		—			(35,444	)
Teliasonera AB, A-		(1.000%	)		12/20/2020		BNP		0.723%	EUR	100,000		(1,658	)		(858	)		(800	)
UBS AG/Stamford CT, BBB		(1.000%	)		03/20/2017		CITI		1.376%	USD	600,000		1,181			806			375
UBS AG/Stamford CT, BBB		(1.000%	)		06/20/2018		GSC		1.544%	USD	700,000		7,225			3,328			3,897
United Utilities PLC, BBB-		(1.000%	)		12/20/2020		SOG		0.980%	EUR	100,000		(316	)		—			(316	)
United Utilities PLC, BBB-		(1.000%	)		12/20/2020		GSC		0.980%	EUR	100,000		(316	)		(213	)		(103	)
Unitedhealth Group Inc., A+		(1.000%	)		12/20/2020		JPM		0.346%	USD	100,000		(3,283	)		(3,049	)		(234	)
UST Inc., BAA+		(0.720%	)		03/20/2018		GSC		0.082%	USD	500,000		(7,284	)		—			(7,284	)
Veolia Environnement SA, BBB		(1.000%	)		12/20/2020		BNP		0.859%	EUR	100,000		(945	)		(588	)		(357	)
Wind Acquisition Finance SA, B		(5.000%	)		06/20/2021		JPM		5.261%	EUR	500,000		983			(12,276	)		13,259
												$	13,722		$	(34,343	)	$	48,065

OTC Credit Default Swaps on Corporate and Sovereign Issues—Sell Protection (4)

Reference Obligation	Fixed Deal Received Rate		Maturity Date		Counterparty		Implied Credit Spread at 2/29/16 (2)		Notional Amount (3)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
France Government 20-Year Bond, AA		0.250%		03/20/2020		CITI		0.288%	USD	4,000,000	$	(4,094	)	$	(37,704	)	$	33,610
France Government 20-Year Bond, AA		0.250%		03/20/2020		JPM		0.288%	USD	600,000		(614	)		(6,106	)		5,492
France Government 20-Year Bond, AA		0.250%		03/20/2020		GSC		0.288%	USD	6,500,000		(6,652	)		(66,124	)		59,472
Hellenic Republic Government Bond, B-		1.000%		06/20/2016		GSC		30.720%	USD	300,000		(25,022	)		(30,000	)		4,978
Japan Government 20-Year Bond, A+		1.000%		03/20/2016		RBS		0.072%	USD	5,000,000		12,573			10,601			1,972
Japan Government 20-Year Bond, A+		1.000%		03/20/2016		GSC		0.072%	USD	3,100,000		7,795			(31,831	)		39,626
Tesco PLC, BB+		1.000%		12/20/2020		SOG		3.096%	EUR	900,000		(89,199	)		(77,337	)		(11,862	)
Tesco PLC, BB+		1.000%		12/20/2020		CITI		3.096%	EUR	300,000		(29,733	)		(25,496	)		(4,236	)
Tesco PLC, BB+		1.000%		12/20/2020		JPM		3.096%	EUR	300,000		(29,733	)		(23,754	)		(5,979	)
U.S. Treasury Notes, AA+		0.250%		06/20/2016		BNP		0.108%	EUR	700,000		718			(7,057	)		7,775
Volkswagen International Finance, BBB+		1.000%		12/20/2016		BOA		1.214%	EUR	200,000		56			(1,677	)		1,732
											$	(163,905	)	$	(296,485	)	$	132,580

See Notes to Financial Statements.

160

Schedules of Investments

(unaudited) (continued)

International Fixed Income Fund

Centrally Cleared—Credit Default Swaps on Indexes—Buy Protection (1)

Reference Obligation

Fixed Deal Pay Rate

Maturity Date

Counterparty

Implied Credit Spread at 2/29/16 (2)

Notional Amount (3)

Unrealized Depreciation

Markit iTraxx Europe Senior Financials Series 23 5-Year Index

(1.000%

)

12/20/2020

CITI

0.995%

EUR 4,950,000

$

(59,843

)

Centrally Cleared—Credit Default Swaps on Indexes—Sell Protection (4)

Reference Obligation

Fixed Deal Received Rate

Maturity Date

Counterparty

Implied Credit Spread at 2/29/16 (2)

Notional Amount (3)

Unrealized Depreciation

Markit CDX NA Investment Grade Series 25 5-Year Index

1.000%

12/20/2020

CITI

1.080%

USD 12,500,000

$

(41,630

)

At February 29, 2016, International Fixed Income Fund held the following OTC Cross Currency Swap Contracts:

Counterparty Pay

Counterparty Receive

Maturity Date (5)

Counterparty

Notional Amount of Currency Received (6) (amounts below are in 000’s)

Notional Amount of Currency Delivered (6) (amounts below are in 000’s)

Market Value

Upfront Premiums Paid/ (Received)

Unrealized Appreciation

Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received

Floating rate equal to 3-Month EURIBOR less 0.100% based on the notional amount of currency delivered

12/16/2020

BNP

USD 3,794

EUR 3,500

$

89,034

$

—

$

89,034

Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received

Floating rate equal to 3-Month EURIBOR less 0.100% based on the notional amount of currency delivered

03/16/2021

BNP

USD 3,401

EUR 3,100

42,836

3,875

38,961

Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received

Floating rate equal to 3-Month EURIBOR less 0.200% based on the notional amount of currency delivered

06/16/2026

BNP

USD 3,686

EUR 3,400

131,299

34,680

96,619

Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received

Floating rate equal to 3-Month EURIBOR less 0.100% based on the notional amount of currency delivered

03/16/2021

BOA

USD 7,131

EUR 6,500

89,818

(18,200

)

108,018

Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received

Floating rate equal to 3-Month EURIBOR less 0.100% based on the notional amount of currency delivered

03/16/2026

BOA

USD 824

EUR 760

29,349

2,546

26,803

Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received

Floating rate equal to 3-Month EURIBOR less 0.200% based on the notional amount of currency delivered

06/15/2026

BOA

USD 746

EUR 700

40,713

(2,415

)

43,128

See Notes to Financial Statements.

161

Schedules of Investments

(unaudited) (continued)

International Fixed Income Fund

Counterparty Pay	Counterparty Receive	Maturity Date (5)		Counterparty		Notional Amount of Currency Received (6) (amounts below are in 000’s)		Notional Amount of Currency Delivered (6) (amounts below are in 000’s)		Market Value		Upfront Premiums Paid/ (Received)			Unrealized Appreciation
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received	Floating rate equal to 3-Month EURIBOR less 0.100% based on the notional amount of currency delivered		03/16/2021		CITI		USD 5,814		EUR 5,300	$	73,236	$	(14,840	)	$	88,076
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received	Floating rate equal to 3-Month EURIBOR less 0.200% based on the notional amount of currency delivered		03/16/2026		CITI		USD 1,962		EUR 1,810		69,898		25,793			44,105
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received	Floating rate equal to 3-Month EURIBOR less 0.100% based on the notional amount of currency delivered		03/16/2021		DUB		USD 3,949		EUR 3,600		49,745		4,500			45,245
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received	Floating rate equal to 3-Month EURIBOR less 0.200% based on the notional amount of currency delivered		06/15/2026		DUB		USD 531		EUR 500		31,081		275			30,806
										$	647,009	$	36,214		$	610,795

(1) If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising the referenced index.

(2) Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as ‘‘Defaulted’’ indicates a credit event has occurred for the referenced entity or obligation.

(3) The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(4) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(5) At the maturity date, the notional amount of the currency received will be exchanged back for the notional amount of the currency delivered.

(6) The notional amounts to be received or delivered may be determined and exchanged at a future date, based on the effective date of the cross-currency swap.

See Notes to Financial Statements.

162

Schedules of Investments

(unaudited) (continued)

International Fixed Income Fund

At February 29, 2016, International Fixed Income Fund deposited cash collateral with brokers in the amount of $2,074,000 for open centrally cleared swap contracts.

At February 29, 2016, International Fixed Income Fund had cash collateral from brokers in the amount of $1,010,000 for open OTC swap contracts.

Currency Abbreviations used in this schedule:
AUD	— Australian Dollar
BRL	— Brazilian Real
CAD	— Canadian Dollar
CHF	— Swiss Franc
CNY	— Chinese Onshore Renminbi
CZK	— Czech Koruna
DKK	— Danish Krone
EUR	— Euro
GBP	— British Pound
INR	— Indian Rupee
JPY	— Japanese Yen
KRW	— Korean Won
MXN	— Mexican Peso
MYR	— Malaysian Ringgit
NZD	— New Zealand Dollar
PLN	— Polish Zloty
RUB	— Russian Ruble
SEK	— Swedish Krona
SGD	— Singapore Dollar
THB	— Thai Baht
TRY	— Turkish Lira
TWD	— New Taiwan Dollar

Counterparty Abbreviations used in this schedule:
BCLY	— Barclays Bank PLC
BNP	— BNP Paribas SA
BOA	— Bank of America
CITI	— Citigroup Global Markets Inc.
DUB	— Deutsche Bank AG
GSC	— Goldman Sachs & Co.
HSBC	— HSBC Bank USA
JPM	— JPMorgan Chase & Co.
RBS	— Royal Bank of Scotland PLC
SCB	— Standard Chartered Bank
SOG	— Societe Generale SA
UBS	— UBS Securities LLC

See Notes to Financial Statements.

163

Schedules of Investments

(unaudited) (continued)

Municipal Bond Fund
Face Amount		Rating††	Security	Value
	MUNICIPAL BONDS — 94.3%
	California — 12.7%
$	1,000,000	AA+	California Infrastructure & Economic Development Bank, Revenue Bonds, Bay Area Toll Bridges, Series A, Prerefunded 1/1/28 @ 100, AMBAC-Insured, 5.000% due 7/1/36(a)	$	1,320,750
	1,050,000	AA-	California Statewide Communities Development Authority, Revenue Bonds, Sutter Health Project, Series A, 5.500% due 8/15/26		1,249,090
	2,000,000	AA-	Garden Grove Unified School District, GO, 2010 Election, Series C, 5.000% due 8/1/35		2,292,580
	2,000,000	A3(b)	Kaweah Delta Health Care District, Revenue Bonds, Series B, 4.000% due 6/1/45		2,023,360
	1,500,000	A+	San Diego County, CA, Regional Airport Authority, Revenue Bonds, Series A, 5.000% due 7/1/43		1,693,875
	1,000,000	Aa1(b)	Santa Monica-Malibu, CA, Unified School District, GO, Election of 2006, Series A, Prerefunded 8/1/17 @ 100, FGIC & NPFG-Insured, 5.000% due 8/1/26(a)		1,063,190
			Total California		9,642,845
	Colorado — 10.3%
	1,435,000	AA	City of Colorado Springs CO Utilities System Revenue, Revenue Bonds, System Improvement, Series B-2, 5.000% due 11/15/38		1,654,397
			Colorado Health Facilities Authority, Revenue Bonds:
	1,000,000	A	Catholic Health Initiatives, Series A, 5.250% due 2/1/31		1,139,730
	1,500,000	AA-	Sisters of Charity of Leavenworth Inc., Series A, 5.000% due 1/1/44		1,670,205
	1,000,000	AAA	Colorado Water Resources & Power Development Authority, Revenue Bonds, Revolving Fund, Series A, 5.500% due 9/1/22		1,257,210
	2,000,000	AA-	University of Colorado Hospital Authority, Revenue Bonds, Series A, 4.000% due 11/15/36		2,061,600
			Total Colorado		7,783,142
	District of Colombia — 3.9%
	2,500,000	AAA	District of Columbia, Revenue Bonds, Income Tax Revenue, Series A, 5.000% due 12/1/28		2,979,825
	Florida — 2.9%
	1,000,000	A+	City of Jacksonville FL, Revenue Bonds, Better Jacksonville, 5.000% due 10/1/21		1,102,610
	1,000,000	A+	County of Miami-Dade, FL — Water & Sewer System Revenue, Revenue Bonds, Prerefunded 10/1/17 @ 100, XLCA-Insured, 5.000% due 10/1/21(a)		1,068,660
			Total Florida		2,171,270
	Georgia — 5.6%
	2,000,000	AA	Augusta GA Water & Sewerage Revenue, Revenue Bonds, AGM-Insured, 5.000% due 10/1/21		2,155,460
	1,800,000	A	Municipal Electric Authority of Georgia, Revenue Bonds, Series B, 5.000% due 1/1/20		2,068,974
			Total Georgia		4,224,434
	Illinois — 6.4%
			Illinois Finance Authority, Revenue Bonds:
	1,235,000	AA	Advocate Health Care, 4.000% due 6/1/47		1,247,190
	1,000,000	AAA	Northwestern University, 5.000% due 12/1/28		1,290,350
	1,000,000	A	Bradley University Projects, XLCA-Insured, 5.000% due 8/1/34		1,043,520
	1,095,000	A2(b)	DePaul University, Series A, 5.375% due 10/1/19		1,250,895
			Total Illinois		4,831,955
	Massachusetts — 3.2%
	1,000,000	AA+	Massachusetts Bay Transportation Authority, Revenue Bonds, Series A, 5.250% due 7/1/34		1,340,740
	1,000,000	A2(b)	Massachusetts Health & Educational Facilities Authority, Revenue Bonds, Northeastern University, Series R, 5.000% due 10/1/28		1,099,920
			Total Massachusetts		2,440,660
	New Jersey — 2.3%
	1,340,000	A2(b)	Manalapan-Englishtown Regional Board of Education, GO, FGIC & NPFG-Insured, 5.750% due 12/1/22		1,701,023

See Notes to Financial Statements.

164

Schedules of Investments

(unaudited) (continued)

Municipal Bond Fund
Face Amount		Rating††	Security	Value
	North Carolina — 3.0%
$	2,000,000	AAApre(c)	North Carolina Eastern Municipal Power Agency, Revenue Bonds, Series B, Prerefunded 1/1/19 @ 100, 5.000% due 1/1/26(a)	$	2,240,360
	Ohio — 1.0%
	1,850,000	A+	Ohio State Turnpike Commission, Revenue Bonds, Capital Appreciation Bonds, Junior Lien, Series A-2, zero coupon, due 2/15/38		783,974
	Oregon — 2.1%
	1,330,000	Aa2(b)	Washington & Clackamas Counties School District No. 23J Tigard-Tualatin, GO, NPFG-Insured, 5.000% due 6/15/22		1,617,892
	Pennsylvania — 3.0%
	2,000,000	A+	Monroeville Finance Authority, University of Pittsburgh Medical Center, Revenue Bonds, Series B, 5.000% due 7/1/39		2,241,740
	South Carolina — 2.4%
	1,535,000	Aa3(b)	Clemson University, Revenue Bonds, 5.000% due 5/1/29		1,843,243
	South Dakota — 2.1%
	1,500,000	Aa2(b)	City of Sioux Falls, SD, Sales Tax, Revenue Bonds, Series A-1, NPFG-Insured, 4.750% due 11/15/36		1,583,835
	Tennessee — 3.9%
	1,000,000	BBB+	Knox County Health Educational & Housing Facility Board, Revenue Bonds, University Health System, 5.250% due 4/1/36		1,039,050
	1,875,000	Aa2(b)	Tennessee Housing Development Agency, Revenue Bonds, Series A, 3.850% due 1/1/35		1,908,694
			Total Tennessee		2,947,744
	Texas — 13.0%
	1,000,000	AA	City of Waxahachie, TX, GO, Series A, AGM-Insured, 5.000% due 8/1/25		1,065,780
	2,000,000	AAA	Keller, TX, Independent School District, GO, Prerefunded 8/15/17 @ 100, PSF-GTD-Insured, 4.750% due 8/15/32(a)		2,122,940
	1,000,000	AAA	North East, TX, Independent School District, GO, PSF-GTD-Insured, 5.250% due 2/1/30		1,322,800
	2,000,000	AA	Round Rock, TX, Independent School District, GO, 5.000% due 8/1/33		2,210,020
			Texas Transportation Commission State Highway Fund, Revenue Bonds:
	1,000,000	AAA	Prerefunded 4/1/17 @ 100, 5.000%, due 4/1/27(a)		1,047,190
	1,575,000	AAA	5.250%, due 4/1/26		2,043,405
			Total Texas		9,812,135
	Utah — 3.0%
	2,000,000	AA	Utah State University, Revenue Bonds, Student Building Fee, Series B, 5.000% due 12/1/44		2,243,400
	Washington — 7.9%
	2,000,000	AA+	King County, School District No. 210 Federal Way, GO, Prerefunded 12/1/17 @ 100, FGIC & NPFG-Insured, 5.000% due 12/1/23(a)		2,152,820
	2,000,000	AA+	State of Washington, GO, Series A, Prerefunded 7/1/18 @ 100, 5.000% due 7/1/22(a)		2,199,680
	1,500,000	A	Washington Health Care Facilities Authority, Revenue Bonds, PeaceHealth, Series A, 5.000% due 11/1/18		1,658,535
			Total Washington		6,011,035
	Wisconsin — 5.6%
	2,500,000	AA+	Wisconsin Department of Transportation, Revenue Bonds, Series I, FGIC & NPFG-Insured, 5.000% due 7/1/20		2,929,425
	1,300,000	A+	Wisconsin Health & Educational Facilities Authority, Revenue Bonds, Aspirus Inc. Obligation Group, 4.000% due 8/15/40		1,299,948
			Total Wisconsin		4,229,373
			TOTAL MUNICIPAL BONDS (Cost — $65,675,009)		71,329,885

See Notes to Financial Statements.

165

Schedules of Investments

(unaudited) (continued)

Municipal Bond Fund
Face Amount		Rating††	Security	Value
	SHORT-TERM INVESTMENTS — 5.6%
	TIME DEPOSITS — 5.6%
$	2,660,151		Banco Santander SA — Frankfurt, 0.150% due 3/1/16	$	2,660,151
	1,573,243		Wells Fargo — Grand Cayman, 0.150% due 3/1/16		1,573,243
			TOTAL SHORT-TERM INVESTMENTS (Cost — $4,233,394)		4,233,394
			TOTAL INVESTMENTS — 99.9% (Cost — $69,908,403#)		75,563,279
			Other Assets in Excess of Liabilities — 0.1%		99,506
			TOTAL NET ASSETS — 100.0%	$	75,662,785

†† All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited.

(a) Pre-refunded bonds are escrowed with government obligations and/or government agency securities and are considered by the Manager to be triple-A rated even if the issuer has not applied for new ratings.

(b) Rating by Moody’s Investors Service. All ratings are unaudited.

(c) Rating by Fitch Ratings Service. All ratings are unaudited.

# Aggregate cost for federal income tax purposes is substantially the same.

Abbreviations used in this schedule:
AGM	— Assured Guaranty Municipal Corp.
AMBAC	— American Bond Assurance Corporation
FGIC	— Financial Guarantee Insurance Company
GO	— General Obligation
NPFG	— National Public Finance Guarantee Corp.
PSF-GTD	— Permanent School Fund Guaranteed
XLCA	— XL Capital Assurance Inc.

See pages 168 and 169 for definitions of ratings.

Summary of Investments by Industry^
Education	30.8	%
Health Care Providers & Services	19.0
General Obligation	13.6
Transportation	10.8
Water and Sewer	5.9
Power	5.7
Single Family Housing	2.5
Airport	2.2
Utilities	2.2
Development	1.7
Short-Term Investments	5.6
	100.0	%

^ As a percentage of total investments.

See Notes to Financial Statements.

166

Schedules of Investments

(unaudited) (continued)

Money Market Fund
Face Amount		Security	Amortized Cost
SHORT-TERM INVESTMENTS — 100.5%
	CERTIFICATES OF DEPOSIT — 15.2%
$	9,000,000	BNP Paribas Finance Inc., 0.440% due 3/2/16	$	9,000,000
	10,000,000	Citibank N.A. New York, 0.410% due 3/11/16		10,000,000
	8,000,000	Cooperative Centrale RA, 0.650% due 4/4/16		8,000,000
	9,000,000	Sumitomo Mitsui Banking Corp., 0.500% due 3/10/16		9,000,000
	10,000,000	Wells Fargo Bank N.A., 0.599% due 4/12/16(a)		10,000,000
		TOTAL CERTIFICATES OF DEPOSIT (Cost — $46,000,000)		46,000,000
	COMMERCIAL PAPER — 43.1%
	10,000,000	Air Products & Chemicals Inc., 0.380% due 3/7/16(b)(c)		9,999,367
	9,000,000	Apple Inc., 0.410% due 4/4/16(b)(c)		8,996,515
	10,000,000	BMW US Capital LLC, 0.350% due 3/2/16(b)(c)		9,999,903
	14,000,000	Credit Agricole North America Inc., 0.430% due 3/2/16(b)		13,999,833
	9,000,000	Credit Suisse AG, 0.450% due 3/7/16(b)		9,000,000
	10,000,000	General Electric Capital Corp., 0.350% due 3/21/16(b)		9,998,055
	10,000,000	Johnson & Johnson, 0.330% due 3/1/16(b)(c)		10,000,000
	9,000,000	Metlife Short Term Fund LLC, 0.511% due 4/4/16(b)(c)		8,995,665
	6,000,000	National Australia Bank Ltd., 0.702% due 4/15/16(b)(c)		5,994,750
	14,000,000	Natixis New York Branch, 0.370% due 3/1/16(b)		14,000,000
	9,000,000	Swedbank AB, 0.400% due 3/9/16(b)		8,999,200
	10,000,000	United Parcel Service Inc., 0.130% due 3/4/16(b)(c)		9,999,892
	10,000,000	Wal-Mart Stores Inc., 0.330% due 3/2/16(b)(c)		9,999,908
		TOTAL COMMERCIAL PAPER (Cost — $129,983,088)		129,983,088
	TIME DEPOSITS — 0.3%
	331,826	Banco Santander SA — Frankfurt, 0.150% due 3/1/16		331,826
	537,199	DNB — Oslo, 0.150% due 3/1/16		537,199
		TOTAL TIME DEPOSITS (Cost — $869,025)		869,025
	U.S. GOVERNMENT AGENCIES — 33.6%
	91,500,000	Federal Home Loan Bank (FHLB), Discount Notes, 0.100% due 3/1/16(b)		91,500,000
	10,000,000	Federal Home Loan Bank Discount Notes, 0.375% due 4/8/16(b)		9,996,042
		TOTAL U.S. GOVERNMENT AGENCIES (Cost — $101,496,042)		101,496,042
	U.S. GOVERNMENT OBLIGATION — 8.3%
	25,000,000	U.S. Treasury Bill, 0.235% due 3/3/16(b) (Cost — $24,999,673)		24,999,673
		TOTAL INVESTMENTS — 100.5% (Cost — $303,347,828#)		303,347,828
		Cash and Liabilities in Excess of Other Assets — (0.5)%		(1,453,429	)
		TOTAL NET ASSETS — 100.0%	$	301,894,399

(a) Variable rate security. Interest rate disclosed is that which was in effect at February 29, 2016.

(b) Rate shown represents yield-to-maturity.

(c) Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.

# Aggregate cost for federal income tax purposes is substantially the same.

See Notes to Financial Statements.

167

Ratings

(unaudited)

The definitions of the applicable rating symbols are set forth below:

Standard & Poor’s Ratings Service (“Standard & Poor’s”) — Ratings from “AA” to “CCC” may be modified by the addition of a plus (+) or minus (-) sign to show relative standings within the major rating categories.

AAA	— Bonds rated “AAA” have the highest rating assigned by Standard & Poor’s. Capacity to pay interest and repay principal is extremely strong.
AA	— Bonds rated “AA” have a very strong capacity to pay interest and repay principal and differ from the highest rated issues only in a small degree.
A	— Bonds rated “A” have a strong capacity to pay interest and repay principal although they are somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in higher rated categories.
BBB	— Bonds rated “BBB” are regarded as having an adequate capacity to pay interest and repay principal. Whereas they normally exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for bonds in this category than in higher rated categories.
BB, B, CCC, CC and C	— Bonds rated “BB”, “B”, “CCC”, “CC” and “C” are regarded, on balance, as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation. “BB” represents the lowest degree of speculation and “C” the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions.
D	— Bonds rated “D” are in default and payment of interest and/or repayment of principal is in arrears.
P	— Preliminary rating.

Moody’s Investors Service (“Moody’s”) — Numerical modifiers 1, 2 and 3 may be applied to each generic rating from “Aa” to “Caa,” where 1 is the highest and 3 the lowest ranking within its generic category.

Aaa	— Bonds rated “Aaa” are judged to be of the best quality. They carry the smallest degree of investment risk and are generally referred to as “gilt edge.” Interest payments are protected by a large or by an exceptionally stable margin and principal is secure. While the various protective elements are likely to change, such changes as can be visualized are most unlikely to impair the fundamentally strong position of such issues.
Aa	— Bonds rated “Aa” are judged to be of high quality by all standards. Together with the “Aaa” group they comprise what are generally known as high grade bonds. They are rated lower than the best bonds because margins of protection may not be as large as in “Aaa” securities or fluctuation of protective elements may be of greater amplitude or there may be other elements present which make the long-term risks appear somewhat larger than in “Aaa” securities.
A	— Bonds rated “A” possess many favorable investment attributes and are to be considered as upper medium grade obligations. Factors giving security to principal and interest are considered adequate but elements may be present which suggest a susceptibility to impairment some time in the future.
Baa	— Bonds rated “Baa” are considered as medium grade obligations, i.e., they are neither highly protected nor poorly secured. Interest payments and principal security appear adequate for the present but certain protective elements may be lacking or may be characteristically unreliable over any great length of time. Such bonds lack outstanding investment characteristics and in fact have speculative characteristics as well.
Ba	— Bonds rated “Ba” are judged to have speculative elements; their future cannot be considered as well assured. Often the protection of interest and principal payments may be very moderate and therefore not well safeguarded during both good and bad times over the future. Uncertainty of position characterizes bonds in this class.
B	— Bonds rated “B” generally lack characteristics of desirable investments. Assurance of interest and principal payments or of maintenance of other terms of the contract over any long period of time may be small.
Caa	— Bonds rated “Caa” are of poor standing. These may be in default, or present elements of danger may exist with respect to principal or interest.
Ca	— Bonds rated “Ca” represent obligations which are speculative in a high degree. Such issues are often in default or have other marked short-comings.
C	— Bonds rated “C” are the lowest class of bonds and issues so rated can be regarded as having extremely poor prospects of ever attaining any real investment standing.
e	— Expected.

Fitch Ratings Service (“Fitch”) — Ratings from “AA” to “CCC” may be modified by the addition of a plus (+) or minus (-) sign to show relative standings within the major rating categories.

AAA	— Bonds rated “AAA” have the highest rating assigned by Fitch. Capacity to pay interest and repay principal is extremely strong.
AAApre	— Stable Outlook rating is based on the pledge of securities in the escrow deposit fund securing the bonds and reflects the lien of the refunded bondholders on the escrow trust funds and that all amounts have been invested in direct non-callable obligations of the United States.
AA	— Bonds rated “AA” have a very strong capacity to pay interest and repay principal and differ from the highest rated issues only in a small degree.
A	— Bonds rated “A” have a strong capacity to pay interest and repay principal although they are somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in higher rated categories.
BBB	— Bonds rated “BBB” are regarded as having an adequate capacity to pay interest and repay principal. Whereas they normally exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for bonds in this category than in higher rated categories.

168

Ratings

(unaudited) (continued)

BB, B, CCC, CC and C	— Bonds rated “BB”, “B”, “CCC”, “CC” and “C” are regarded, on balance, as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation. “BB” represents a lower degree of speculation than “B”, and “CC” the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions.
D	— Bonds rated “D” are in default and payment of interest and/or repayment of principal is in arrears.
NR	— Indicates that the bond is not rated by Standard & Poor’s, Moody’s, or Fitch.
WD	— Indicates that the bonds rating has been withdrawn and the issuer is no longer rated by Standard & Poor’s, Moody’s or Fitch.

Short-Term Security Ratings (unaudited)

SP-1	— Standard & Poor’s highest rating indicating very strong or strong capacity to pay principal and interest; those issues determined to possess overwhelming safety characteristics are denoted with a plus (+) sign.
A-1	— Standard & Poor’s highest commercial paper and variable-rate demand obligation (VRDO) rating indicating that the degree of safety regarding timely payment is either overwhelming or very strong; those issues determined to possess overwhelming safety characteristics are denoted with a plus (+) sign.
VMIG 1	— Moody’s highest rating for issues having a demand feature — VRDO.
MIG1	— Moody’s highest rating for short-term municipal obligations.
P-1	— Moody’s highest rating for commercial paper and for VRDO prior to the advent of the VMIG 1 rating.
F-1	— Fitch’s highest rating indicating the strongest capacity for timely payment of financial commitments; those issues determined to possess overwhelming strong credit feature are denoted with a plus (+) sign.

169

Statements of Assets and Liabilities

February 29, 2016 (unaudited)

	Large Cap Equity Fund		Small-Mid Cap Equity Fund			International Equity Fund
ASSETS:
Investments, at value1,2	$	1,922,123,410	$	365,866,807		$	1,320,876,034
Repurchase Agreements		—		—			—
Foreign currency, at value3		—		11,963			55,912
Cash		976,974		233,284			64,412
Receivable for securities sold		—		2,617,048			2,143,548
Dividends and interest receivable		4,708,607		351,021			3,681,776
Receivable for Fund shares sold		1,303,806		354,646			1,787,348
Unrealized appreciation on open forward foreign currency contracts (Note 1)		—		—			—
Variation margin on open future contracts (Note 1)		—		—			—
Variation margin on open swap contracts (Note 1)		—		—			—
Swap contracts, at value (Note 1)		—		—			—
Deposits with counterparty		—		—			—
Prepaid expenses		69,848		25,900			60,394
Total Assets		1,929,182,645		369,460,669			1,328,669,424
LIABILITIES:
Payable for reverse repurchase agreements		—		—			—
Payable for collateral received from securities on loan		—		—			18,014,299
Payable for Fund shares repurchased		7,389,233		1,191,628			4,700,358
Payable for securities purchased		7,265,654		2,696,695			1,863,218
Investment management fee payable		682,608		176,591			610,526
Transfer agent fees payable		76,762		13,269			27,707
Custody fee payable		344,131		86,649			271,311
Trustees’ fees payable		82,115		15,171			33,132
Merger expense payable		29,950		29,516			—
Payable for manager waiver		—		—			—
Due to custodian		—		—			—
Forward sale commitments, at value (proceeds received )4 (Note 1)		—		—			—
Options contracts written, at value (premiums received )5 (Note 1)		—		—			—
Swap contracts, at value (Note 1)		—		—			—
Unrealized depreciation on open forward foreign currency contracts (Note 1)		—		—			—
Deposits from counterparty		—		—			—
Distributions payable		—		—			—
Accrued expenses		63,138		74,589			57,078
Total Liabilities		15,933,591		4,284,108			25,577,629
Total Net Assets	$	1,913,249,054	$	365,176,561		$	1,303,091,795
NET ASSETS:
Par value (Note 4)	$	127,968	$	24,551		$	131,819
Paid-in capital in excess of par value		1,606,128,051		366,859,455			1,674,385,374
Accumulated net investment loss and dividends in excess of net investment income		—		(47,608	)		—
Undistributed net investment income		3,023,642		—			5,255,569
Accumulated net realized gain (loss) on investments, futures contracts, options contracts written, forward sale commitments, swap contracts and foreign currency transactions		100,489,317		(10,066,674	)		(271,335,345	)
Net unrealized appreciation (depreciation) on investments, futures contracts, options contracts written, forward sale commitments, swap contracts and foreign currency transactions		203,480,076		8,406,837			(105,345,622	)
Total Net Assets	$	1,913,249,054	$	365,176,561		$	1,303,091,795
Shares Outstanding		127,968,225		24,550,708			131,818,992
Net Asset Value	$	14.95	$	14.87		$	9.89
1 Investments, at cost	$	1,718,643,335	$	357,459,512		$	1,426,073,331
2 Includes securities on loan	$	—	$	—		$	17,357,684
3 Foreign currency, at cost	$	—	$	12,421		$	57,918
4 Proceeds received	$	—	$	—		$	—
5 Premiums received	$	—	$	—		$	—

* Investments at value represents amortized cost.

See Notes to Financial Statements.

170

Emerging Markets Equity Fund			Core Fixed Income Fund			High Yield Fund			International Fixed Income Fund			Municipal Bond Fund		Money Market Fund
$	355,082,728		$	792,734,977		$	208,779,982		$	203,185,941		$	75,563,279	$	303,347,828	*
	—			—			—			—			—		—
	116,523			125,830			—			295,098			—		—
	1,493			—			2,157			2,593			349		38
	426,695			19,022,550			1,725,028			22,243,668			—		—
	842,855			4,440,300			4,017,377			1,741,079			685,707		48,676
	430,962			781,373			232,591			262,770			245,427		910,016
	—			1,325			—			2,613,188			—		—
	—			180,920			—			319,793			—		—
	—			4,317			—			181,035			—		—
	—			—			—			921,695			—		—
	—			935,624			—			2,162,000			—		—
	35,834			43,841			21,497			20,596			15,587		23,130
	356,937,090			818,271,057			214,778,632			233,949,456			76,510,349		304,329,688
	—			—			—			6,959,625			—		—
	7,266,632			499,205			2,670,024			—			—		—
	1,324,188			2,561,164			930,533			759,268			734,205		2,136,707
	53,624			39,998,050			1,185,671			10,883,191			—		—
	186,832			232,337			80,831			67,031			24,286		19,228
	13,301			21,327			7,171			7,116			1,695		7,754
	151,071			307,709			83,833			185,008			37,465		47,519
	9,876			25,388			9,144			10,554			2,441		15,164
	—			—			—			—			—		—
	—			—			—			—			—		126,175
	—			43,777			—			—			—		—
	—			6,705,818			—			17,338,366			—		—
	—			26,875			—			494,141			—		—
	—			222,378			—			302,088			—		—
	—			384,942			—			4,047,762			—		—
	—			—			—			1,010,000			—		—
	—			779			602			—			136		39
	174,881			84,491			81,935			87,640			47,336		82,703
	9,180,405			51,114,240			5,049,744			42,151,790			847,564		2,435,289
$	347,756,685		$	767,156,817		$	209,728,888		$	191,797,666		$	75,662,785	$	301,894,399
$	34,753		$	93,901		$	60,989		$	26,225		$	7,757	$	301,894
	456,693,582			768,895,527			276,833,740			207,964,053			68,798,362		301,591,925
	—			—			—			—			—		—
	37,383			553,625			504,568			2,814,958			431,321		263
	(88,383,925	)		(1,346,078	)		(42,940,853	)		(10,246,153	)		770,469		317
	(20,625,108	)		(1,040,158	)		(24,729,556	)		(8,761,417	)		5,654,876		—
$	347,756,685		$	767,156,817		$	209,728,888		$	191,797,666		$	75,662,785	$	301,894,399
	34,753,468			93,901,191			60,988,574			26,224,828			7,756,677		301,894,356
$	10.01		$	8.17		$	3.44		$	7.31		$	9.75	$	1.00
$	375,648,356		$	792,357,771		$	233,509,538		$	207,837,337		$	69,908,403	$	303,347,828
$	7,052,179		$	488,712		$	2,604,660		$	—		$	—	$	—
$	116,584		$	141,809		$	—		$	295,742		$	—	$	—
$	—		$	6,687,000		$	—		$	17,281,562		$	—	$	—
$	—		$	37,293		$	—		$	341,312		$	—	$	—

See Notes to Financial Statements.

171

Statements of Operations

For the Six Months Ended February 29, 2016 (unaudited)

	Large Cap Equity Fund			Small-Mid Cap Equity Fund			International Equity Fund
INVESTMENT INCOME:
Dividends	$	8,575,559		$	936,353		$	10,475,750
Interest		17,199			3,997			19,895
Income from securities lending		38,926			39,696			184,152
Less: Foreign taxes withheld		(4,986	)		(9	)		(911,592	)
Miscellaneous income		—			—			—
Income from security litigation		—			—			—
Total Investment Income		8,626,698			980,037			9,768,205
EXPENSES:
Investment management fee (Note 2)		4,057,013			905,795			4,161,721
Transfer agent fees		81,042			13,124			68,172
Custody fees		202,201			56,757			403,727
Trustees’ fees		125,580			21,352			83,774
Shareholder reports		50,963			49,710			48,672
Insurance		27,634			4,609			20,306
Audit and tax		22,605			21,860			25,745
Legal fees		16,317			15,545			15,541
Registration fees		8,193			7,307			8,222
Miscellaneous expense		14,519			2,386			18,125
Interest expense		—			—			—
Total Expenses		4,606,067			1,098,445			4,854,005
Less: Fee waivers and/or expense reimbursement (Note 2)		(207,920	)		(63,787	)		(206,065	)
Net Expenses		4,398,147			1,034,658			4,647,940
Net Investment Income (Loss)	$	4,228,551		$	(54,621	)	$	5,120,265
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS CONTRACTS WRITTEN, FORWARD SALE COMMITMENTS, SWAP CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS (NOTE 1):
Net Realized Gain (Loss) From:
Investments	$	124,563,216		$	(9,311,983	)	$	(28,548,484	)(a)
Futures contracts		—			—			—
Options contracts written		—			—			—
Forward sale commitments		—			—			—
Swap contracts		—			—			—
Foreign currency transactions		—			—			(160,190	)
Net Realized Gain (Loss)		124,563,216			(9,311,983	)		(28,708,674	)
Change in Net Unrealized Appreciation (Depreciation) From:
Investments		(165,585,139	)		(27,298,585	)		(66,325,404	)
Futures contracts		—			—			—
Options contracts written		—			—			—
Forward sale commitments		—			—			—
Swap contracts		—			—			—
Foreign currency transactions		—			(458	)		(31,355	)
Change in Net Unrealized Appreciation (Depreciation)		(165,585,139	)		(27,299,043	)		(66,356,759	)
Net Gain (Loss) on Investments, Futures Contracts, Options Contracts Written, Forward Sale Commitments, Swap Contracts and Foreign Currency Transactions		(41,021,923	)		(36,611,026	)		(95,065,433	)
Total Increase (Decrease) in Net Assets from Operations	$	(36,793,372	)	$	(36,665,647	)	$	(89,945,168	)

(a) Includes foreign capital gains tax of $887 and $18,717 for International Equity Fund and Emerging Markets Equity Fund, respectively.

See Notes to Financial Statements.

172

Emerging Markets Equity Fund			Core Fixed Income Fund			High Yield Fund			International Fixed Income Fund			Municipal Bond Fund		Money Market Fund
$	3,607,012		$	30,748		$	102,927		$	—		$	—	$	—
	5,870			11,885,533			7,980,159			2,478,460			1,471,612		294,246
	66,240			7,361			19,500			—			—		—
	(358,026	)		—			—			—			—		—
	—			—			—			—			—		—
	—			4,915			—			—			—		—
	3,321,096			11,928,557			8,102,586			2,478,460			1,471,612		294,246
	1,913,085			1,632,756			806,193			526,670			163,647		89,899
	25,639			47,877			14,521			12,518			4,609		11,593
	273,286			354,125			109,623			252,764			47,689		52,212
	30,096			60,391			18,674			19,141			6,033		22,316
	47,005			36,074			35,705			36,900			1,866		22,447
	7,143			15,565			4,524			4,374			1,451		5,027
	25,336			49,874			30,033			49,886			24,051		18,128
	14,795			14,969			14,969			15,299			14,969		14,941
	6,271			7,301			5,849			7,356			6,629		8,369
	—			13,922			2,137			2,764			663		—
	—			—			—			40,862			—		—
	2,342,656			2,232,854			1,042,228			968,534			271,607		244,932
	(289,626	)		(73,979	)		(191,889	)		(16,995	)		—		47,629
	2,053,030			2,158,875			850,339			951,539			271,607		292,561
$	1,268,066		$	9,769,682		$	7,252,247		$	1,526,921		$	1,200,005	$	1,685
$	(50,892,208	)(a)	$	2,441,518		$	(19,755,035	)	$	(7,287,008	)	$	770,526	$	(231	)
	—			(750,265	)		—			1,852,565			—		—
	—			708,752			—			308,810			—		—
	—			(137,152	)		—			(184,296	)		—		—
	—			(131,469	)		—			(328,199	)		—		—
	(195,007	)		171,796			—			5,808,184			—		—
	(51,087,215	)		2,303,180			(19,755,035	)		170,056			770,526		(231	)
	20,997,995			(139,971	)		(7,947,985	)		6,671,810			295,590		—
	—			(53,737	)		—			667,924			—		—
	—			(223,032	)		—			(99,280	)		—		—
	—			(18,818	)		—			(15,531	)		—		—
	—			(311,829	)		—			(2,870,414	)		—		—
	(17,751	)		(32,832	)		—			(357,674	)		—		—
	20,980,244			(780,219	)		(7,947,985	)		3,996,835			295,590		—
	(30,106,971	)		1,522,961			(27,703,020	)		4,166,891			1,066,116		(231	)
$	(28,838,905	)	$	11,292,643		$	(20,450,773	)	$	5,693,812		$	2,266,121	$	1,454

See Notes to Financial Statements.

173

Statements of Changes in Net Assets

For the Six Months Ended February 29, 2016 (unaudited) and Year Ended
August 31,  2015

	Large Cap Equity Fund						Small-Mid Cap Equity Fund
	2016			2015			2016			2015
OPERATIONS:
Net investment income (loss)	$	4,228,551		$	6,030,269		$	(54,621	)	$	(1,269,060	)
Net realized gain (loss)		124,563,216			316,791,624			(9,311,983	)		53,507,287
Change in unrealized appreciation (depreciation)		(165,585,139	)		(232,169,926	)		(27,299,043	)		(27,186,435	)
Net Increase from payments by affiliates		—			28,721			—			161,664
Increase (Decrease) in Net Assets From Operations		(36,793,372	)		90,680,688			(36,665,647	)		25,213,456
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1):
Net investment income		(7,025,138	)		(5,468,121	)		—			—
Net realized gains		(301,650,427	)		(191,632,667	)		(52,617,604	)		(60,598,970	)
Decrease in Net Assets From Distributions to Shareholders		(308,675,565	)		(197,100,788	)		(52,617,604	)		(60,598,970	)
FUND SHARE TRANSACTIONS (NOTE 4):
Net proceeds from sale of shares		30,509,894			56,762,414			18,788,874			12,063,989
Reinvestment of distributions		308,666,437			197,093,781			52,615,219			60,596,534
Cost of shares repurchased		(406,783,660	)		(574,838,838	)		(32,834,134	)		(105,041,718	)
Net proceeds from reorganization		973,690,395			—			187,304,118			—
Increase (Decrease) in Net Assets From Fund Share Transactions		906,083,066			(320,982,643	)		225,874,077			(32,381,195	)
Increase (Decrease) in Net Assets		560,614,129			(427,402,743	)		136,590,826			(67,766,709	)
NET ASSETS:
Beginning of period		1,352,634,925			1,780,037,668			228,585,735			296,352,444
End of period	$	1,913,249,054		$	1,352,634,925		$	365,176,561		$	228,585,735
* Includes undistributed net investment income of:	$	3,023,642		$	5,820,229		$	—		$	7,013
† Includes accumulated net investment loss of:	$	—		$	—		$	(47,608	)	$	—

See Notes to Financial Statements.

174

International Equity Fund						Emerging Markets Equity Fund						Core Fixed Income Fund
2016			2015			2016			2015			2016			2015
$	5,120,265		$	20,394,083		$	1,268,066		$	5,489,235		$	9,769,682		$	16,779,482
	(28,708,674	)		981,593			(51,087,215	)		(24,232,285	)		2,303,180			14,471,866
	(66,356,759	)		(122,703,100	)		20,980,244			(109,468,421	)		(780,219	)		(23,332,245	)
	—			2,972,363			—			—			—			—
	(89,945,168	)		(98,355,061	)		(28,838,905	)		(128,211,471	)		11,292,643			7,919,103
	(19,988,419	)		(19,199,386	)		(6,232,037	)		(5,156,168	)		(10,935,257	)		(20,111,155	)
	—			—			—			—			(6,236,992	)		(10,910,011	)
	(19,988,419	)		(19,199,386	)		(6,232,037	)		(5,156,168	)		(17,172,249	)		(31,021,166	)
	330,023,917			301,685,675			23,654,207			265,692,576			28,813,729			171,980,043
	19,988,419			19,199,115			6,232,037			5,156,168			17,171,795			31,021,046
	(138,830,093	)		(150,715,859	)		(110,878,795	)		(59,051,423	)		(132,278,387	)		(119,670,967	)
	—			—			—			—			—			—
	211,182,243			170,168,931			(80,992,551	)		211,797,321			(86,292,863	)		83,330,122
	101,248,656			52,614,484			(116,063,493	)		78,429,682			(92,172,469	)		60,228,059
	1,201,843,139			1,149,228,655			463,820,178			385,390,496			859,329,286			799,101,227
$	1,303,091,795		$	1,201,843,139		$	347,756,685		$	463,820,178		$	767,156,817		$	859,329,286
$	5,255,569		$	20,123,723		$	37,383		$	5,001,354		$	553,625		$	1,719,200
$	—		$	—		$	—		$	—		$	—		$	—

See Notes to Financial Statements.

175

Statements of Changes in Net Assets

For the Six Months Ended February 29, 2016 (unaudited) and Year Ended
August 31,  2015

	High Yield Fund
	2016			2015
OPERATIONS:
Net investment income (loss)	$	7,252,247		$	14,427,244
Net realized gain (loss)		(19,755,035	)		(7,826,144	)
Change in unrealized appreciation (depreciation)		(7,947,985	)		(22,807,926	)
Increase (Decrease) in Net Assets From Operations		(20,450,773	)		(16,206,826	)
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1):
Net investment income		(7,744,040	)		(16,219,271	)
Net realized gains		—			—
Decrease in Net Assets From Distributions to Shareholders		(7,744,040	)		(16,219,271	)
FUND SHARE TRANSACTIONS (NOTE 4):
Net proceeds from sale of shares		13,494,792			50,918,165
Reinvestment of distributions		7,744,062			16,219,472
Cost of shares repurchased		(37,652,791	)		(37,897,221	)
Increase (Decrease) in Net Assets From Fund Share Transactions		(16,413,937	)		29,240,416
Increase (Decrease) in Net Assets		(44,608,750	)		(3,185,681	)
NET ASSETS:
Beginning of period		254,337,638			257,523,319
End of period	$	209,728,888		$	254,337,638
* Includes undistributed net investment income of:	$	504,568		$	996,361
† Includes accumulated net investment loss of:	$	—		$	—

See Notes to Financial Statements.

176

International Fixed Income Fund						Municipal Bond Fund						Money Market Fund
2016			2015			2016			2015			2016			2015
$	1,526,921		$	4,113,727		$	1,200,005		$	2,368,031		$	1,685		$	3,038
	170,056			22,831,389			770,526			270,815			(231	)		4,196
	3,996,835			(24,472,307	)		295,590			(863,716	)		—			—
	5,693,812			2,472,809			2,266,121			1,775,130			1,454			7,234
	(14,225,200	)		(15,363,960	)		(1,199,651	)		(2,367,911	)		(1,640	)		(3,048	)
	—			—			(180,832	)		(413,482	)		—			(4,010	)
	(14,225,200	)		(15,363,960	)		(1,380,483	)		(2,781,393	)		(1,640	)		(7,058	)
	8,221,150			17,549,096			6,553,783			18,847,119			200,570,487			162,653,966
	14,225,200			15,363,812			1,380,377			2,781,435			1,640			7,046
	(45,152,129	)		(64,240,826	)		(18,253,745	)		(13,088,377	)		(101,440,886	)		(294,837,293	)
	(22,705,779	)		(31,327,918	)		(10,319,585	)		8,540,177			99,131,241			(132,176,281	)
	(31,237,167	)		(44,219,069	)		(9,433,947	)		7,533,914			99,131,055			(132,176,105	)
	223,034,833			267,253,902			85,096,732			77,562,818			202,763,344			334,939,449
$	191,797,666		$	223,034,833		$	75,662,785		$	85,096,732		$	301,894,399		$	202,763,344
$	2,814,958		$	15,513,237		$	431,321		$	430,967		$	263		$	218
$	—		$	—		$	—		$	—		$	—		$	—

See Notes to Financial Statements.

177

Financial Highlights

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:

Large Cap Equity Fund
	2016(1)			2015			2014			2013			2012			2011
Net asset value, Beginning of Period	$	20.63		$	22.19		$	19.29		$	16.39		$	14.24		$	11.80
Income (Loss) from Operations:
Net investment income(2)		0.06			0.08			0.07			0.11			0.06			0.07
Net realized and unrealized gain (loss)		(0.83	)		0.87			4.47			2.85			2.17			2.40
Total Income (Loss) from Operations		(0.77	)		0.95			4.54			2.96			2.23			2.47
Less Distributions From:
Net investment income		(0.11	)		(0.07	)		(0.11	)		(0.06	)		(0.08	)		(0.03	)
Net realized gain		(4.80	)		(2.44	)		(1.53	)		—			—			—
Total Distributions		(4.91	)		(2.51	)		(1.64	)		(0.06	)		(0.08	)		(0.03	)
Net Asset Value, End of Period	$	14.95		$	20.63		$	22.19		$	19.29		$	16.39		$	14.24
Total Return(3)		(6.17	)%		4.39	%(5)		24.35	%		18.11	%		15.71	%		20.89	%
Net Assets, End of Period (millions)	$	1,913		$	1,353		$	1,780		$	1,571		$	1,566		$	1,738
Ratios to Average Net Assets:
Gross expenses		0.68	%(4)		0.68	%		0.67	%		0.69	%		0.69	%		0.68	%
Net expenses(6)		0.65	(4)		0.68			0.67			0.69			0.69			0.68
Net investment income		0.63	(4)		0.36			0.33			0.60			0.40			0.47
Portfolio Turnover Rate		103	%		66	%		56	%		57	%		66	%		76	%

(1) For the six months ended February 29, 2016 (unaudited).

(2) Per share amounts have been calculated using the average shares method.

(3) Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results.

(4) Annualized.

(5) The Manager contributed a non-recourse voluntary reimbursement to Large Cap Equity Fund. The effect of the reimbursement is reflected in the Fund’s total return above. Without this reimbursement, the impact was less than 0.00% to the total return for Large Cap Equity Fund.

(6) Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

178

Financial Highlights

(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:

Small-Mid Cap Equity Fund
	2016(1)			2015			2014			2013			2012			2011
Net asset value, Beginning of Period	$	24.39		$	28.53		$	25.22		$	19.81		$	17.76		$	14.62
Income (Loss) from Operations:
Net investment loss(2)		(0.00	)(3)		(0.12	)		(0.12	)		(0.00	)(3)		(0.07	)		(0.07	)
Net realized and unrealized gain (loss)		(3.70	)		1.93			4.36			5.41			2.12			3.21
Total Income (Loss) from Operations		(3.70	)		1.81			4.24			5.41			2.05			3.14
Less Distributions From:
Net realized gain		(5.82	)		(5.95	)		(0.93	)		—			—			—
Total Distributions		(5.82	)		(5.95	)		(0.93	)		—			—			—
Net Asset Value, End of Period	$	14.87		$	24.39		$	28.53		$	25.22		$	19.81		$	17.76
Total Return(4)		(19.25	)%		7.36	%(5)		16.91	%		27.31	%		11.54	%		21.48	%
Net Assets, End of Period (millions)	$	365		$	229		$	296		$	311		$	247		$	278
Ratios to Average Net Assets:
Gross expenses		0.97	%(6)		0.93	%		0.92	%		0.97	%		0.98	%		0.95	%
Net expenses(7)		0.91	(6)		0.93			0.92			0.97			0.97			0.93
Net investment income (loss)		(0.05	)(6)		(0.45	)		(0.42	)		(0.02	)		(0.40	)		(0.37	)
Portfolio Turnover Rate		119	%		89	%		80	%		90	%		68	%		73	%

(1) For the six months ended February 29, 2016 (unaudited).

(2) Per share amounts have been calculated using the average shares method.

(3) Amounts represent greater than $(0.01) per share.

(4) Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results.

(5) The Manager contributed a non-recourse voluntary reimbursement to Small-Mid Cap Equity Fund. The effect of the reimbursement is reflected in the Fund’s total return above. Without this reimbursement, the total return for Small-Mid Cap Equity Fund was 7.27%.

(6) Annualized.

(7) Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

179

Financial Highlights

(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:

International Equity Fund
	2016(1)			2015			2014			2013			2012			2011
Net asset value, Beginning of Period	$	10.91		$	12.03		$	10.92		$	9.58		$	9.77		$	9.02
Income (Loss) from Operations:
Net investment income(2)		0.05			0.21			0.22			0.20			0.17			0.15
Net realized and unrealized gain (loss)		(0.88	)		(1.13	)		1.03			1.27			(0.18	)		0.76
Total Income (Loss) from Operations		(0.83	)		(0.92	)		1.25			1.47			(0.01	)		0.91
Less Distributions From:
Net investment income		(0.19	)		(0.20	)		(0.14	)		(0.13	)		(0.18	)		(0.16	)
Total Distributions		(0.19	)		(0.20	)		(0.14	)		(0.13	)		(0.18	)		(0.16	)
Net Asset Value, End of Period	$	9.89		$	10.91		$	12.03		$	10.92		$	9.58		$	9.77
Total Return(3)		(7.80	)%		(7.68	)%(6)		11.45	%		15.47	%		(0.06	)%		9.97	%
Net Assets, End of Period (millions)	$	1,303		$	1,202		$	1,149		$	773		$	444		$	536
Ratios to Average Net Assets:
Gross expenses		0.82	%(4)		0.81	%		0.81	%		0.84	%		0.91	%		0.84	%
Net expenses(5)		0.78	(4)		0.79			0.77			0.83			0.90			0.82
Net investment income		0.86	(4)		1.80			1.83			1.88			1.80			1.41
Portfolio Turnover Rate		16	%		80	%		95	%		63	%		75	%		70	%

(1) For the six months ended February 29, 2016 (unaudited).

(2) Per share amounts have been calculated using the average shares method.

(3) Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results.

(4) Annualized.

(5) Reflects fee waivers and/or expense reimbursements.

(6) The Manager contributed a non-recourse voluntary reimbursement to International Equity Fund. The effect of the reimbursement is reflected in the Fund’s total return above. Without this reimbursement, the total return for International Equity Fund was (7.94)%.

See Notes to Financial Statements.

180

Financial Highlights

(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:

Emerging Markets Equity Fund
	2016(1)			2015			2014			2013			2012			2011
Net asset value, Beginning of Period	$	10.87		$	14.54		$	13.67		$	14.46		$	15.85		$	14.79
Income (Loss) from Operations:
Net investment income(2)		0.03			0.17			0.20			0.21			0.29			0.31
Net realized and unrealized gain (loss)		(0.74	)		(3.64	)		2.36			(0.69	)		(1.33	)		0.99
Total Income (Loss) from Operations		(0.71	)		(3.47	)		2.56			(0.48	)		(1.04	)		1.30
Less Distributions From:
Net investment income		(0.15	)		(0.20	)		(0.29	)		(0.31	)		(0.35	)		(0.24	)
Net realized gain		—			—			(1.40	)		—			—			—
Total Distributions		(0.15	)		(0.20	)		(1.69	)		(0.31	)		(0.35	)		(0.24	)
Net Asset Value, End of Period	$	10.01		$	10.87		$	14.54		$	13.67		$	14.46		$	15.85
Total Return(3)		(6.61	)%		(24.08	)%		19.97	%		(3.54	)%		(6.52	)%		8.67	%
Net Assets, End of Period (millions)	$	348		$	464		$	385		$	414		$	695		$	841
Ratios to Average Net Assets:
Gross expenses		1.10	%(4)		1.08	%		1.09	%		1.10	%		1.06	%		1.05	%
Net expenses(5)		0.97	(4)		0.96			0.99			0.99			0.93			0.91
Net investment income		0.60	(4)		1.34			1.49			1.39			1.98			1.87
Portfolio Turnover Rate		19	%		41	%		29	%		89	%		40	%		42	%

(1) For the six months ended February 29, 2016 (unaudited).

(2) Per share amounts have been calculated using the average shares method.

(3) Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results.

(4) Annualized.

(5) Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

181

Financial Highlights

(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:

Core Fixed Income Fund
	2016(1)			2015			2014			2013			2012			2011
Net asset value, Beginning of Period	$	8.23		$	8.44		$	8.17		$	8.87		$	8.58		$	8.81
Income (Loss) from Operations:
Net investment income(2)		0.10			0.17			0.18			0.20			0.25			0.28
Net realized and unrealized gain (loss)		0.01			(0.06	)		0.31			(0.30	)		0.38			0.05
Total Income (Loss) from Operations		0.11			(0.11	)		0.49			(0.10	)		0.63			0.33
Less Distributions From:
Net investment income		(0.11	)		(0.20	)		(0.22	)		(0.24	)		(0.27	)		(0.29	)
Net realized gain		(0.06	)		(0.12	)		—			(0.36	)		(0.07	)		(0.27	)
Total Distributions		(0.17	)		(0.32	)		(0.22	)		(0.60	)		(0.34	)		(0.56	)
Net Asset Value, End of Period	$	8.17		$	8.23		$	8.44		$	8.17		$	8.87		$	8.58
Total Return(3)		1.41	%		1.35	%		6.10	%		(1.31	)%		7.58	%		3.93	%
Net Assets, End of Period (millions)	$	767		$	859		$	799		$	937		$	1,022		$	1,067
Ratios to Average Net Assets:
Gross expenses		0.55	%(4)		0.54	%(5)		0.53	%(5)		0.54	%(5)		0.52	%		0.52	%
Net expenses(6)		0.53	(4)		0.55	(5)		0.53	(5)		0.54	(5)		0.52			0.52
Net investment income		2.39	(4)		2.06			2.19			2.30			2.85			3.23
Portfolio Turnover Rate		118	%		326	%		446	%		421	%		429	%		390	%

(1) For the six months ended February 29, 2016 (unaudited).

(2) Per share amounts have been calculated using the average shares method.

(3) Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results.

(4) Annualized.

(5) Ratio includes interest expense on forward sale commitments and reverse repurchase agreements which represents less than 0.01%.

(6) Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

182

Financial Highlights

(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:

High Yield Fund
	2016(1)			2015			2014			2013			2012			2011
Net asset value, Beginning of Period	$	3.88		$	4.41		$	4.27		$	4.24		$	4.15		$	4.14
Income (Loss) from Operations:
Net investment income(2)		0.12			0.24			0.24			0.27			0.29			0.36
Net realized and unrealized gain (loss)		(0.44	)		(0.50	)		0.17			0.07			0.16			0.02
Total Income (Loss) from Operations		(0.32	)		(0.26	)		0.41			0.34			0.45			0.38
Less Distributions From:
Net investment income		(0.12	)		(0.27	)		(0.27	)		(0.31	)		(0.36	)		(0.37	)
Total Distributions		(0.12	)		(0.27	)		(0.27	)		(0.31	)		(0.36	)		(0.37	)
Net Asset Value, End of Period	$	3.44		$	3.88		$	4.41		$	4.27		$	4.24		$	4.15
Total Return(3)		(8.28	)%		(6.14	)%		9.75	%		8.07	%		11.57	%		9.01	%
Net Assets, End of Period (millions)	$	210		$	254		$	258		$	111		$	269		$	198
Ratios to Average Net Assets:
Gross expenses		0.90	%(4)		0.90	%		0.92	%		0.93	%		0.97	%		0.88	%
Net expenses(5)		0.74	(4)		0.74			0.76			0.78			0.81			0.72
Net investment income		6.30	(4)		5.74			5.53			6.25			7.58			8.26
Portfolio Turnover Rate		25	%		42	%		57	%		86	%		101	%		62	%

(1) For the six months ended February 29, 2016 (unaudited).

(2) Per share amounts have been calculated using the average shares method.

(3) Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results.

(4) Annualized.

(5) Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

183

Financial Highlights

(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:

International Fixed Income Fund
	2016(1)			2015			2014			2013			2012			2011
Net asset value, Beginning of Period	$	7.61		$	8.04		$	8.02		$	8.56		$	7.99		$	8.41
Income (Loss) from Operations:
Net investment income(2)		0.05			0.13			0.16			0.18			0.19			0.23
Net realized and unrealized gain (loss)		0.16			(0.09	)		0.40			(0.23	)		0.41			(0.15	)
Total Income (Loss) from Operations		0.21			0.04			0.56			(0.05	)		0.60			0.08
Less Distributions From:
Net investment income		(0.51	)		(0.47	)		(0.54	)		(0.49	)		(0.03	)		(0.50	)
Total Distributions		(0.51	)		(0.47	)		(0.54	)		(0.49	)		(0.03	)		(0.50	)
Net Asset Value, End of Period	$	7.31		$	7.61		$	8.04		$	8.02		$	8.56		$	7.99
Total Return(3)		2.94	%		0.44	%		7.36	%		(0.77	)%		7.53	%		1.21	%
Net Assets, End of Period (millions)	$	192		$	223		$	267		$	317		$	431		$	227
Ratios to Average Net Assets:
Gross expenses		0.92	%(4)(5)		0.87	%(5)		0.76	%(5)		0.69	%(5)		0.64	%		0.72	%
Net expenses		0.90	(4)(5)(6)		0.87	(5)		0.76	(5)		0.69	(5)		0.63	(6)		0.72	(6)
Net investment income		1.45	(4)		1.61			2.00			2.12			2.25			2.86
Portfolio Turnover Rate		182	%		416	%		397	%		198	%		223	%		150	%

(1) For the six months ended February 29, 2016 (unaudited).

(2) Per share amounts have been calculated using the average shares method.

(3) Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results.

(4) Annualized.

(5) Ratio includes interest expense on forward sale commitments and reverse repurchase agreements which represents 0.04%, 0.10%, 0.04% and less than 0.01%, respectively.

(6) Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

184

Financial Highlights

(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:

Municipal Bond Fund
	2016(1)			2015			2014			2013			2012			2011
Net asset value, Beginning of Period	$	9.65		$	9.76		$	9.21		$	9.88		$	9.48		$	9.63
Income (Loss) from Operations:
Net investment income(2)		0.14			0.28			0.29			0.29			0.28			0.30
Net realized and unrealized gain (loss)		0.12			(0.06	)		0.55			(0.67	)		0.40			(0.15	)
Total Income (Loss) from Operations		0.26			0.22			0.84			(0.38	)		0.68			0.15
Less Distributions From:
Net investment income		(0.14	)		(0.28	)		(0.29	)		(0.29	)		(0.28	)		(0.30	)
Net realized gain		(0.02	)		(0.05	)		—			—			—			—
Total Distributions		(0.16	)		(0.33	)		(0.29	)		(0.29	)		(0.28	)		(0.30	)
Net Asset Value, End of Period	$	9.75		$	9.65		$	9.76		$	9.21		$	9.88		$	9.48
Total Return(3)		2.77	%		2.32	%		9.24	%		(4.01	)%		7.23	%		1.71	%
Net Assets, End of Period (millions)	$	76		$	85		$	78		$	80		$	89		$	88
Ratios to Average Net Assets:
Gross expenses		0.66	%(4)		0.66	%		0.59	%		0.61	%		0.57	%		0.58	%
Net expenses		0.66	(4)		0.66			0.59			0.61			0.57			0.58
Net investment income		2.94	(4)		2.91			3.03			2.92			2.83			3.27
Portfolio Turnover Rate		4	%		8	%		19	%		9	%		26	%		20	%

(1) For the six months ended February 29, 2016 (unaudited).

(2) Per share amounts have been calculated using the average shares method.

(3) Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results.

(4) Annualized.

See Notes to Financial Statements.

185

Financial Highlights

(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:

Money Market Fund
	2016(1)			2015			2014			2013			2012			2011
Net asset value, Beginning of Period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Income (Loss) from Operations:
Net investment income(2)		0.00	(3)		0.00	(3)		0.00	(3)		0.00	(3)		0.00	(3)		0.00	(3)
Net realized and unrealized gain (loss)		(0.00	)(4)		0.00	(3)		0.00	(3)		0.00	(3)		0.00	(3)		0.00	(3)
Total Income from Operations		0.00	(3)		0.00	(3)		0.00	(3)		0.00	(3)		0.00	(3)		0.00	(3)
Less Distributions From:
Net investment income		(0.00	)(4)		(0.00	)(4)		(0.00	)(4)		(0.00	)(4)		(0.00	)(4)		(0.00	)(4)
Net realized gain		—			(0.00	)(4)		—			—			—			(0.00	)(4)
Total Distributions		(0.00	)(4)		(0.00	)(4)		(0.00	)(4)		(0.00	)(4)		(0.00	)(4)		(0.00	)(4)
Net Asset Value, End of Period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Return(6)		0.00	%(5)		0.00	%(5)		0.00	%		0.00	%		0.02	%		0.01	%
Net Assets, End of Period (millions)	$	302		$	203		$	335		$	467		$	238		$	119
Ratios to Average Net Assets:
Gross expenses		0.22	%(7)		0.21	%		0.23	%		0.21	%		0.23	%		0.29	%
Net expenses(8)		0.26	(7)		0.16			0.13			0.16			0.22			0.21
Net investment income		0.00	(5)(7)		0.00	(5)		0.00	(5)		0.00	(5)		0.03			0.00	(5)

(1) For the six months ended February 29, 2016 (unaudited).

(2) Per share amounts have been calculated using the average shares method.

(3) Amounts represent less than $0.01 per share.

(4) Amounts represent greater than $(0.01) per share.

(5) Amounts represent less than 0.01% per share.

(6) Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results.

(7) Annualized.

(8) Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

186

Notes to Financial Statements

(unaudited)

1. Organization and Significant Accounting Policies

The Consulting Group Capital Markets Funds (“Trust”) is organized as a Massachusetts business trust and registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. The Trust currently consists of Large Cap Equity Fund (formerly known as Large Capitalization Growth Investments), Small-Mid Cap Equity Fund (formerly known as Small Capitalization Growth Investments), International Equity Fund (formerly known as International Equity Investments), Emerging Markets Equity Fund (formerly known as Emerging Markets Equity Investments), Core Fixed Income Fund (formerly known as Core Fixed Income Investments), High Yield Fund (formerly known as High Yield Investments), International Fixed Income Fund (formerly known as International Fixed Income Investments), Municipal Bond Fund (formerly known as Municipal Bond Investments), and Money Market Fund (formerly known as Money Market Investments) (individually, a “Fund” and collectively, the “Funds”). Each Fund is a diversified series of the Trust, except for International Fixed Income Fund, which is non-diversified.

The following is a summary of significant accounting policies consistently followed by the Funds which are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). Estimates and assumptions are required to be made by management regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. The Funds are investment companies and follow the accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 – Investment Companies.

(a) Investment Valuation. Portfolio securities of Money Market Fund are valued at amortized cost, which approximates market value. Equity securities for each Fund (other than Money Market Fund) for which market quotations are readily available and are traded on an exchange are valued at the closing sale price or official closing price on the exchange on which such security is principally traded. In the event there are no sales that day, such securities are valued at the mean between the bid and ask prices. For securities that are primarily traded on foreign exchanges, these values are converted to U.S. dollars using the current exchange rates as of the close of the New York Stock Exchange (“NYSE”).

Exchange-traded purchased and written options and futures contracts are valued at the last sale price (closing price) in the market where such contracts are principally traded or, if no sales are reported, the bid price. Swaps for which quotations are available on an automated basis from approved third-party pricing services are valued using those automated third-party pricing service quotations. Foreign currency contracts are valued using the official closing price for such contracts on the NYSE.

Portfolio securities traded in the over-the-counter market for which market quotations are readily available are valued at the last sales price that day. In the event there are no sales that day, such securities are valued at the mean between the bid and ask prices. Investments in registered open-end management investment companies are valued at reported net asset value per share.

Debt obligations that will mature in 60 days or less are valued at amortized cost, which approximates market value. Debt obligations that will mature in more than 60 days are valued using valuations furnished by an approved third-party pricing service; such valuations are determined by the third-party pricing service based upon its analysis of a variety of factors, including transactions in debt obligations, quotations from bond dealers, market transactions in comparable securities and its analysis of various relationships between securities, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, and as well as industry and economic events.

Overnight repurchase agreements and repurchase agreements maturing in seven days or less are valued at cost. Term repurchase agreements maturing in more than seven days are valued at the average of the bid quotations obtained daily from at least two recognized purchasers of such term repurchase agreements selected by Consulting Group Advisory Services, LLC (“CGAS”) (the “Manager”).

The Board of Trustees (the “Board”) has ultimate responsibility for ensuring the Funds’ investments are valued appropriately. The Board has delegated primary responsibility for determining or causing to be determined the value of the Funds’ investments (including any fair valuation) to the Manager pursuant to valuation policies and procedures approved by the Board. When market quotations are not readily available or are determined to be unreliable, investments are valued at fair value as determined in good faith by the valuation committee established by the Manager in accordance with such procedures under the oversight of the Board. Circumstances that may indicate that market quotations are not readily available or are unreliable include, but are not limited to,

187

Notes to Financial Statements

(unaudited) (continued)

such instances 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, and before the applicable Fund calculates its NAV.

Each business day, Emerging Markets Equity Fund and International Equity Fund use a Board-approved third-party pricing service to assist with the valuation of foreign equity securities. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities to more accurately reflect their fair value as of the close of regular trading on the NYSE.

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The hierarchy prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, and 3). The three levels of the fair value hierarchy are as follows:

Level 1 – unadjusted quoted prices in active markets for identical securities.

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

Level 3 – significant unobservable inputs (including assumptions made by the Board or persons acting at their direction that are used 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. The following are certain inputs and techniques that the Funds generally use to evaluate how to classify each major category of assets and liabilities in accordance with GAAP.

Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign bonds, bank loans, convertible preferred securities and non-U.S. bonds are normally valued by third-party pricing service providers that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.

Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by third-party pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities and the related forward sales commitments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.

Common stocks, preferred stocks, rights, warrants, exchange-traded funds and financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities exchange, are categorized as Level 1 of the fair value hierarchy, to the extent these securities are actively traded and valuation adjustments are not applied.

Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE close. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

Investments in registered open-end investment management companies are valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy.

Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy.

188

Notes to Financial Statements

(unaudited) (continued)

Over-the-counter financial derivative instruments, such as foreign currency contracts, forward foreign currency contracts, options contracts, or swap contracts, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or by third-party pricing service providers. Depending on the product and the terms of the transaction, the value of financial derivatives can be estimated by a third-party pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, yield curves, dividends and exchange rates. Financial derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.

Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the respective exchange. For centrally cleared credit default swaps the clearing facility requires its members to provide actionable levels across complete term structures. These levels along with external third party prices are used to produce daily settlement prices. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates including the overnight index swap rate and London Interbank Offered Rate (“LIBOR”) forward rate to produce the daily settlement price. These securities are categorized as Level 2 of the fair value hierarchy.

The Funds’ policy is to recognize transfers between levels at the end of the reporting period. In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments.

The following table summarizes the valuation of each Fund’s assets and liabilities using the fair value hierarchy:

	Total Fair Value at February 29, 2016		Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Large Cap Equity Fund
Investments, at value
Common Stocks:
Consumer Discretionary	$	234,653,562	$	234,653,562	$	—	$	—
Consumer Staples		195,732,109		195,732,109		—		—
Energy		127,005,523		127,005,523		—		—
Financials		245,944,821		245,944,821		—		—
Health Care		302,531,874		302,209,002		322,872		—
Industrials		188,149,265		188,149,265		—		—
Information Technology		421,793,456		421,793,456		—		—
Materials		47,043,886		47,043,886		—		—
Telecommunication Services		46,321,253		46,321,253		—		—
Utilities		45,074,682		45,074,682		—		—
Closed End Mutual Fund Securities:
Financials		927,500		927,500		—		—
Short-Term Investments:
Time Deposits		66,945,479		—		66,945,479		—
Total Investments, at value	$	1,922,123,410	$	1,854,855,059	$	67,268,351	$	—

189

Notes to Financial Statements

(unaudited) (continued)

	Total Fair Value at February 29, 2016		Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Small-Mid Cap Equity Fund
Investments, at value
Common Stocks:
Consumer Discretionary	$	60,051,382	$	60,051,382	$	—	$	—
Consumer Staples		8,592,243		8,578,534		13,709		—
Energy		6,293,415		6,293,415		—		—
Financials		43,581,427		43,581,427		—		—
Health Care		50,476,624		50,391,507		85,117		—
Industrials		73,462,171		73,462,171		—		—
Information Technology		72,613,262		72,613,262		—		—
Materials		18,925,313		18,925,313		—		—
Telecommunication Services		1,424,822		1,424,822		—		—
Utilities		3,550,317		3,550,317		—		—
Short-Term Investments:
Time Deposits		26,895,831		—		26,895,831		—
Total Investments, at value	$	365,866,807	$	338,872,150	$	26,994,657	$	—
International Equity Fund
Investments, at value
Common Stocks:
France	$	148,468,547	$	—	$	148,468,547	$	—
Germany		90,088,659		—		90,088,659		—
Japan		159,960,109		—		159,960,109		—
Netherlands		68,583,730		—		68,583,730		—
Switzerland		167,244,446		—		167,244,446		—
United Kingdom		293,387,651		—		293,387,651		—
Other Countries*		322,618,960		53,179,212		269,439,748		—
Preferred Stock:
Germany		15,442,432		—		15,442,432		—
Short-Term Investments:
Money Market Fund		18,014,299		18,014,299		—		—
Time Deposits		37,067,201		—		37,067,201		—
Total-Investments, at value	$	1,320,876,034	$	71,193,511	$	1,249,682,523	$	—
Emerging Markets Equity Fund
Investments, at value
Common Stocks:
Brazil	$	22,003,263	$	22,003,263	$	—	$	—
China		47,746,455		19,505,179		28,241,276		—
Hong Kong		21,206,805		4,493,355		16,713,450		—
India		46,214,515		6,263,346		39,951,169		—
Indonesia		22,576,933		3,846,746		18,730,187		—
Russia		21,115,352		2,754,877		18,360,475		—
South Korea		32,460,129		—		32,460,129		—
Taiwan		22,111,805		3,811,274		18,300,531		—
United Kingdom		19,202,182		—		19,202,182		—
Other Countries*		83,137,365		31,011,169		52,126,196		—

190

Notes to Financial Statements

(unaudited) (continued)

	Total Fair Value at February 29, 2016			Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Short-Term Investments:
Money Market Fund	$	7,266,632		$	7,266,632		$	—		$	—
Time Deposits		10,041,292			—			10,041,292			—
Total-Investments, at value	$	355,082,728		$	100,955,841		$	254,126,887		$	—
Core Fixed Income Fund
Investments, at value
Corporate Bonds & Notes	$	225,517,397	**	$	—		$	225,517,397		$	—	**
Mortgage-Backed Securities		187,128,348			—			187,128,348			—
U.S. Government & Agency Obligations		186,354,672			—			186,354,672			—
Collateralized Mortgage Obligations		118,660,110			—			118,660,110			—
Asset-Backed Securities		19,149,799			—			19,149,799			—
Sovereign Bonds		16,889,922			—			16,889,922			—
Municipal Bonds		5,422,534			—			5,422,534			—
Senior Loans		1,367,926			—			1,367,926			—
Preferred Stock:
Financials		734,472			734,472			—			—
Purchased Options		39,481			39,481			—			—
Short-Term Investments:
Money Market Fund		499,205			499,205			—			—
Time Deposits		18,668,311			—			18,668,311			—
U.S. Government Obligations		12,302,800			—			12,302,800			—
Total Investments, at value	$	792,734,977	**	$	1,273,158		$	791,461,819		$	—	**
Other Financial Instruments
Futures Contracts	$	(459,277	)	$	(459,277	)	$	—		$	—
OTC Interest Rate Swap		(222,378	)		—			(222,378	)		—
Centrally Cleared Interest Rate Swap		(324,556	)		—			(324,556	)		—
Forward Foreign Currency Contracts		(383,617	)		—			(383,617	)		—
Options Contracts Written		(26,875	)		(26,875	)		—			—
Forward Sale Commitments		(6,705,818	)		—			(6,705,818	)		—
Total Other Financial Instruments	$	(8,122,521	)	$	(486,152	)	$	(7,636,369	)	$	—
High Yield Fund
Investments, at value
Corporate Bonds & Notes	$	192,003,488	**	$	—		$	191,870,499		$	132,989	**
Senior Loans		1,576,600			—			1,576,600			—
Collateralized Mortgage Obligations		492,955			—			492,955			—
Preferred Stock:
Financials		963,340			963,340			—			—
Common Stocks:
Consumer Discretionary		—	**		—			—			—	**
Energy		106,990			22,514			—			84,476
Financials		6			—			—			6
Health Care		153,916			—			—			153,916
Materials		20,915			—			—			20,915
Short-Term Investments:
Money Market Fund		2,670,024			2,670,024			—			—
Time Deposits		10,791,748			—			10,791,748			—
Total Investments, at value	$	208,779,982	**	$	3,655,878		$	204,731,802		$	392,302	**

191

Notes to Financial Statements

(unaudited) (continued)

	Total Fair Value at February 29, 2016			Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
International Fixed Income Fund
Investments, at value
Sovereign Bonds
Italy	$	17,273,769		$	—		$	17,273,769		$	—
Japan		22,894,281			—			22,894,281			—
Spain		10,288,018			—			10,288,018			—
Other Countries*		35,775,916			—			35,775,916			—
Corporate Bonds & Notes
United States		9,554,549			—			9,554,549			—
Other Countries*		39,172,278			—			39,172,278			—
Collateralized Mortgage Obligations		26,725,166			—			26,725,166			—
U.S. Government & Agency Obligations		21,753,221			—			21,753,221			—
Mortgage-Backed Securities		8,861,312			—			8,861,312			—
Municipal Bond		323,314			—			323,314			—
Asset-Backed Securities		447,580			—			447,580			—
Purchased Options		442,546			6,790			435,756			—
Short-Term Investments:
Repurchase Agreement		600,000			—			600,000			—
Sovereign Bond		523,337			—			523,337			—
Time Deposits		4,151,483			—			4,151,483			—
U.S. Government Agencies		4,399,171			—			4,399,171			—
Total-Investments, at value	$	203,185,941		$	6,790		$	203,179,151		$	—
Other Financial Instruments
OTC Credit Default Swaps	$	180,645		$	—		$	180,645		$	—
Futures Contracts		626,501			626,501			—			—
Centrally Cleared Interest Rate Swaps		(4,039,106	)		—			(4,039,106	)		—
OTC Cross Currency Swaps		610,795			—			610,795			—
Centrally Cleared Credit Default Swaps		(101,473	)		—			(101,473	)		—
OTC Inflation Rate Swaps		80,139			—			80,139			—
OTC Volatility Swaps		33,362			—			33,362			—
Forward Foreign Currency Contracts		(1,434,575	)		—			(1,434,575	)		—
Options Contracts Written		(494,141	)		(33,232	)		(460,909	)		—
Forward Sale Commitments		(17,338,366	)		—			(17,338,366	)		—
Reverse Repurchase Agreements		(6,959,625	)		—			(6,959,625	)		—
Total Other Financial Instruments	$	(28,835,844	)	$	593,269		$	(29,429,113	)	$	—
Municipal Bond Fund
Investments, at value
Municipal Bonds	$	71,329,885		$	—		$	71,329,885		$	—
Short-Term Investments:
Time Deposits		4,233,394			—			4,233,394			—
Total Investments, at value	$	75,563,279		$	—		$	75,563,279		$	—
Money Market Fund
Investments, at value
Short-Term Investments:
Certificates of Deposit	$	46,000,000		$	—		$	46,000,000		$	—
Commercial Paper		129,983,088			—			129,983,088			—
Time Deposits		869,025			—			869,025			—

192

Notes to Financial Statements

(unaudited) (continued)

	Total Fair Value at February 29, 2016		Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
U.S. Government Agencies	$	101,496,042	$	—	$	101,496,042	$	—
U.S. Government Obligation		24,999,673		—		24,999,673		—
Total Investments, at value	$	303,347,828	$	—	$	303,347,828	$	—

* Other Countries represents Countries that are individually less than 5% of Total Net Assets.

** Includes securities that are fair valued at $0.

The level classification by major category of investments is the same as the category presentation in the Schedules of Investments.

During the period ended February 29, 2016, there were no transfers from Level 1 to Level 3. Core Fixed Income Fund had a transfer from Level 3 to Level 2 of $398,508.

The following is a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining fair value during the period September 1, 2015, through February 29, 2016:

	Total			Collateralized Mortgage Obligations			Common Stocks			Corporate Bonds & Notes
Core Fixed Income Fund
Balance as of August 31, 2015	$	398,508	*	$	398,508		$	—		$	—	*
Total realized gain (loss)		—			—			—			—
Change in unrealized appreciation (depreciation)		—			—			—			—
Purchases		—			—			—			—
(Sales)		—			—			—			—
Transfers In		—			—			—			—
Transfers Out		(398,508	)		(398,508	)		—			—
Balance as of February 29, 2016	$	—	*	$	—		$	—		$	—	*
Change in unrealized appreciation (depreciation) from Investments held as of February 29, 2016	$	—		$	—		$	—		$	—
High Yield Fund
Balance as of August 31, 2015	$	385,004	*	$	—		$	254,136	*	$	130,868	*
Total realized gain (loss)		(2,729	)		—			—			(2,729	)
Accrued discounts (premiums)		1,806			—			—			1,806
Change in unrealized appreciation (depreciation)		(1,875	)		—			5,177			(7,052	)
Purchases		10,124			—			—			10,124
(Sales)		(28	)		—			—			(28	)
Transfers In		—			—			—			—
Transfers Out		—			—			—			—
Balance as of February 29, 2016	$	392,302	*	$	—		$	259,313	*	$	132,989	*
Change in unrealized appreciation (depreciation) from Investments held as of February 29, 2016	$	361		$	—		$	5,177		$	(4,816	)

* Includes securities that are fair valued at $0.

193

Notes to Financial Statements

(unaudited) (continued)

(b) Accounting for Derivative Instruments. Derivative instruments require enhanced disclosures regarding a Fund’s credit derivatives holdings, including credit default swaps, credit spread options, and hybrid financial instruments containing embedded credit derivatives.

All open derivative positions at period end for each Fund are disclosed in the Fund’s Schedule of Investments.

Certain Funds may use derivative instruments including futures, options, forward foreign currency contracts, swaptions and swap contracts as part of their investment strategies. Following is a description of these derivative instruments, including the primary underlying risk exposures related to each instrument type:

(i) Futures Contracts. Certain Funds may enter into futures contracts, to the extent permitted by their investment policies and objectives, for bonafide hedging and other permissible risk management purposes including protecting against anticipated changes in the value of securities a Fund intends to purchase. Upon entering into a futures contract, a Fund is required to deposit cash or securities as initial margin. Additional securities are also segregated as collateral up to the current market value of the futures contracts. Subsequent payments, known as variation margin, are made or received by the Fund, depending on the fluctuation in the value of the underlying financial instruments. The Fund recognizes an unrealized gain or loss equal to the variation margin. When futures contracts are closed, a realized gain or loss is recognized which is equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contracts.

The risks associated with entering into futures contracts include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. In addition, investing in futures contracts involves the risk that the Fund could lose more than the original margin deposit due to subsequent payments that may be required for a futures transaction.

(ii) Options Written. Certain Funds may write options to manage exposure to certain changes in the market. When a Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the Fund realizes a gain from investments equal to the amount of the premium received. When a written call option is exercised, the premium received is added to the proceeds from the sale of the underlying security in determining whether the Fund has a realized gain or loss. When a written put option is exercised, the amount of the premium received reduces the cost of the security purchased by the Fund.

When writing a covered call option, a Fund may forego the opportunity of profit if the market price of the underlying security increases more than the premium received and the option is exercised. When writing a put option, a Fund may incur a loss if the market price of the underlying security decreases more than the premium received and the option is exercised. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.

(iii) Purchased Options. Certain Funds may purchase options to manage exposure to certain changes in the market. A Fund will normally purchase call options in anticipation of an increase in the market value of securities of the type in which they may invest, an amount equal to the value is recorded as an asset. The purchase of a call option will entitle a Fund, in return for the premium paid, to purchase specified securities at a specified price during the option period. A Fund will ordinarily realize a gain if, during the option period, the value of such securities exceeded the sum of the exercise price, the premium paid and transaction costs; otherwise, the Fund will realize a loss equal to the amount of the premium paid on the purchase of the call option.

A Fund will normally purchase put options in anticipation of a decline in the market value of securities in its portfolio (“protective puts”) or in securities in which it may invest. The purchase of a put option will entitle the Fund, in exchange for the premium paid, to sell specified securities at a specified price during the option period. The purchase of protective puts is designed to offset or hedge against a decline in the market value of the Fund’s securities. Put options may also be purchased by a Fund for the purpose of affirmatively benefiting from a decline in the price of securities which it does not own. The Fund will ordinarily realize a gain if, during the option period, the value of the underlying securities decreased below the exercise price sufficiently to more than cover the premium and transaction costs; otherwise the Fund will realize a loss equal to the

194

Notes to Financial Statements

(unaudited) (continued)

amount of the premium paid on the purchase of the put option. Gains and losses on the purchase of protective put options would tend to be offset by countervailing changes in the value of the underlying portfolio securities.

(iv) Forward Foreign Currency Contracts. Certain Funds may enter into forward foreign currency contracts to hedge against foreign currency exchange rate risk on their non-U.S. dollar denominated securities or to facilitate settlement of foreign currency denominated portfolio transactions. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The contract is marked-to-market daily and the change in value is recorded by a Fund as an unrealized gain or loss. When a forward foreign currency contract is extinguished, through either delivery or offset by entering into another forward foreign currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished.

Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.

(v) Swaptions. Swaptions contracts entered into by the Funds typically represent an option that gives the purchaser the right, but not the obligation, to enter into a swap contract on a future date. Certain Funds may purchase swaptions to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Changes in the value of purchased swaptions are reported as net change in unrealized appreciation or depreciation on the Statements of Operations and Changes in Net Assets. Gain or loss is recognized when the swaptions contract expires or is closed as net realized gain or loss on the Statements of Operations and changes in Net Assets. Details of purchased swaptions contracts held at period end are included on the Fund’s Schedule of Investments under the caption “Purchased Options”.

Certain Funds may write swaption contracts to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Swaption contracts written by a Fund represent an option that obligates the writer upon exercise by the purchaser, to enter into a previously agreed upon swap contract on a future date. If a written call swaption is exercised, the writer will enter into a swap and is obligated to pay the fixed rate and receive a floating rate in exchange. If a written put swaption is exercised, the writer will enter a swap and is obligated to pay the floating rate and receive a fixed rate in exchange.

When a Fund writes a swaption, the premium received is recorded as a liability in the Statements of Assets and Liabilities and is subsequently adjusted to the current market value of the swaption. Changes in the value of the swaption are reported as unrealized gains or losses in the Statements of Operations. A gain or loss is recognized when the swaption contract expires or is closed. Premiums received from writing swaptions that expire or are exercised are treated by the Fund as realized gains from investments. The difference between the premium and the amount paid on effecting a closing purchase transaction is also treated as a realized gain or, if the premium received is less than the amount paid for the closing purchase, as a realized loss.

Entering into a swaption contract involves, to varying degrees, the elements of credit, market and interest rate risk, associated with both option contracts and swap contracts. To reduce credit risk from potential counterparty default, a Fund only enters into swaption contracts with counterparties that meet certain standards of creditworthiness. A Fund bears the market risk arising from any change in index values or interest rates.

(vi) Swap Contracts. Swaps involve the exchange by a Fund with another party of the respective amounts payable with respect to a notional principal amount related to one or more indices. Certain Funds may enter into these transactions to preserve a return or spread on a particular investment or portion of its assets, as a duration management technique or to protect against any increase in the price of securities the Fund anticipates purchasing at a later date. Certain Funds may also use these transactions for speculative purposes, such as to obtain the price performance of a security without actually purchasing the security in circumstances where, for example, the subject security is illiquid, is unavailable for direct investment or available only on less attractive terms.

Swaps are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as change in unrealized appreciation or depreciation in the Statements of Operations. Net receipts or payments of interest are recorded as realized gains or losses, respectively. Gains and losses are realized upon termination of a swap contract. An upfront payment

195

Notes to Financial Statements

(unaudited) (continued)

received by the Fund, is recorded as a liability on the Fund’s books. An upfront payment made by the Fund is recorded as an asset on the Fund’s books. Any upfront payments paid or received upon entering a swap contract to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as a realized gain or loss at the termination of the swap.

Swaps have risks associated with them, including possible default by the counterparty to the transaction, illiquidity and, where swaps are used as hedges, the risk that the use of a swap could result in losses greater than if the swap had not been employed. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty.

(vii) Credit Default Swaps. Certain Funds may enter into credit default swap contracts for investment purposes, to manage their credit risk or to add leverage. As a seller in a credit default swap contract, a Fund is required to pay the notional or other agreed-upon value to the counterparty in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the referenced debt obligation. In return, the Fund receives from the counterparty a periodic stream of payments over the term of the contract provided that no event of default has occurred. If no default occurs, the Fund keeps the stream of payments and has no payment obligations. Such periodic payments are accrued daily and accounted for as realized gains.

Certain Funds may also purchase credit default swap contracts in order to hedge against the risk of default by debt securities held in their portfolios. In these cases a Fund functions as the counterparty referenced in the preceding paragraph. As a purchaser of a credit default swap contract, the Fund receives the notional or other agreed upon value from the counterparty in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the referenced debt obligation. In return, the Fund makes periodic payments to the counterparty over the term of the contract provided no event of default has occurred. Such periodic payments are accrued daily and accounted for as realized losses.

For a credit default swap sold by a Fund, payment of the agreed upon amount made by the Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation received. For a credit default swap purchased by a Fund, the agreed upon amount received by the Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by the Fund.

Entering into credit default swaps involves, to varying degrees, elements of credit and market risk in excess of the related amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there will be unfavorable changes in net interest rates. As privately negotiated transactions, swaps may involve risk, which is the risk that the swap contracts fail to contemplate a particular outcome or that the parties disagree about the proper interpretation of a transaction term.

(viii) Interest Rate Swaps. Certain Funds may enter into interest rate swaps for investment purposes to manage exposure to fluctuations in interest rates or to add leverage. Interest rate swaps represent an agreement between two counterparties to exchange cash flows based on the difference in the fixed interest rate and the floating interest rate, applied to the notional principal amount for a specified period. The payment flows are usually netted against each other, with the difference being paid by one party to the other. Once the payments are settled in cash, the net amount is recorded as realized gain or loss from swap contracts on the Statements of Operations. The Funds settle accrued net receivable or payable under the swap contracts on a periodic basis.

The primary risk associated with interest rate swaps is that unfavorable changes in interest rates could adversely impact a Fund.

(ix) Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally credit and interest derivatives. In a centrally cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of the original counterparty. The Fund typically will be required to post specified levels of margin with the clearinghouse or at the instruction of the clearinghouse. The margin required by a clearinghouse may be greater than the margin the Fund would be required to post in an uncleared

196

Notes to Financial Statements

(unaudited) (continued)

derivative transaction. Daily changes in valuation of centrally cleared swaps, if any, are recorded as variation margin receivable or payable on swap contracts for the change in value as appropriate on the Statements of Assets and Liabilities. Only a limited number of derivative transactions are currently eligible for clearing by clearinghouses.

(x) Cross-Currency Swaps. Certain Funds may enter into cross-currency swaps to gain or mitigate exposure to currency risk. Cross-currency swaps involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specific exchange rates. The exchange of currencies at the inception date of the contract takes place at the current spot rate. The re-exchange at maturity may take place at the same exchange rate, a specified rate, or the then current spot rate. Interest payments, if applicable, are made between the parties based on interest rates available in the two currencies at the inception of the contract. The terms of cross-currency swap contracts may extend for many years. Cross-currency swaps are usually negotiated with commercial and investment banks. Some cross-currency swaps may not provide for exchanging principal cash flows, but only for exchanging interest cash flows.

(xi) Volatility Swap Contracts. A volatility swap is an agreement between counterparties to exchange periodic payments based on the measured volatility of a reference security, index, currency or other reference investment over a specified time frame. One cash flow is typically based on the realized volatility of the reference investment as measured by changes in its price or level over the specified time period while the other cash flow is based on a specified rate representing expected volatility for the reference investment at the time the swap is executed, or the measured volatility of a different reference investment over the specified time period. The appreciation or depreciation on a volatility swap will typically depend on the magnitude of the reference investment’s volatility, or size of the movements in its price, over the specified time period, rather than general directional increases or decreases in its price.

Volatility swaps are less standard in structure than other types of swaps and provide pure, or isolated, exposure to volatility risk of the specific underlying reference investment. Volatility swaps are typically used to speculate on future volatility levels, to trade the spread between realized and expected volatility, or to decrease the volatility exposure of investments held by the Fund.

Variance swaps are a type of volatility swap where counterparties agree to exchange periodic payments based on the measured variance (or the volatility squared) of a reference security, index, or other reference investment over a specified time period. At payment date, a net cash flow will be exchanged based on the difference between the realized variance of the reference investment over the specified time period and the specified rate representing expected variance for the reference investment at the time the swap is executed multiplied by the notional amount of the contract.

(xii) Inflation Rate Swap Contracts. The Fund may enter into inflation rate swap contracts to attempt to hedge against inflation. Pursuant to the inflation rate swap agreement, the Fund negotiates with a counterparty to exchange a periodic stream of payments, based on a benchmark inflation index. One cash flow stream will typically be a floating rate payment linked to the specified inflation index while the other is typically a fixed interest rate.

Inflation rate swaps are normally issued on a zero coupon basis where all payments compound during the life of the contract and are netted upon the termination or maturity of the contract. Final payments received or paid by the Fund are recorded as realized gains or losses in the Statement of Operations. Inflation rate swap contracts are subject to movements in interest rates.

197

Notes to Financial Statements

(unaudited) (continued)

The following is a summary of the fair valuations of the Funds’ derivative instruments categorized by risk exposure at February 29, 2016:

Emerging Markets Equity Fund

Effect of Derivative Instruments on the Statements of Operations as of February 29, 2016
Location	Interest rate risk		Foreign exchange risk		Credit risk		Total
Realized gain/(loss) on derivatives recognized in income (d)
Net realized gain (loss) on forward foreign currency contracts	$	—	$	65,495	$	—	$	65,495
	$	—	$	65,495	$	—	$	65,495

Core Fixed Income Fund

Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of February 29, 2016
Location	Interest rate risk		Foreign exchange risk		Credit risk		Total
Asset derivatives
Purchased options (c)	$	39,481	$	—	$	—	$	39,481
Unrealized appreciation on open futures contracts (b)		68,852		2,250		—		71,102
Unrealized appreciation on forward foreign currency contracts (c)		—		1,325		—		1,325
	$	108,333	$	3,575	$	—	$	111,908
Liability derivatives
Options contracts written outstanding (a)	$	26,875	$	—	$	—	$	26,875
Unrealized depreciation on open futures contracts (b)		530,379		—		—		530,379
Unrealized depreciation on forward foreign currency contracts (a)		—		384,942		—		384,942
Unrealized depreciation on centrally cleared swaps (f)		324,556		—		—		324,556
Unrealized depreciation on open swaps (a)		222,378		—		—		222,378
	$	1,104,188	$	384,942	$	—	$	1,489,130

Effect of Derivative Instruments on the Statements of Operations as of February 29, 2016
Location	Interest rate risk			Foreign exchange risk			Credit risk		Total
Realized gain/(loss) on derivatives recognized in income (d)
Net realized gain (loss) on purchased options	$	(735,119	)	$	—		$	—	$	(735,119	)
Net realized gain (loss) on futures contracts		(750,265	)		—			—		(750,265	)
Net realized gain (loss) on options written		708,752			—			—		708,752
Net realized gain (loss) on swaps contracts		(131,469	)		—			—		(131,469	)
Net realized gain (loss) on forward foreign currency contracts		—			257,752			—		257,752
	$	(908,101	)	$	257,752		$	—	$	(650,349	)
Change in unrealized appreciation (depreciation) on derivatives recognized in income (e)
Net change in unrealized appreciation (depreciation) on purchased options	$	55,861		$	—		$	—	$	55,861
Net change in unrealized appreciation (depreciation) on futures contracts		(53,737	)		—			—		(53,737	)
Net change in unrealized appreciation (depreciation) on options contracts written		(223,032	)		—			—		(223,032	)
Net change in unrealized appreciation (depreciation) on swaps contracts		(311,829	)		—			—		(311,829	)
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts		—			(19,047	)		—		(19,047	)
	$	(532,737	)	$	(19,047	)	$	—	$	(551,784	)

198

Notes to Financial Statements

(unaudited) (continued)

International Fixed Income Fund

Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of February 29, 2016
Location	Interest rate risk		Foreign exchange risk		Credit risk		Total
Asset derivatives
Purchased options (c)	$	6,790	$	435,756	$	—	$	442,546
Unrealized appreciation on open futures contracts (b)		930,221		—		—		930,221
Unrealized appreciation on forward foreign currency contracts (c)		—		2,613,188		—		2,613,188
Unrealized appreciation on centrally cleared swaps (f)		2,020,511		—		—		2,020,511
Unrealized appreciation on open swaps (a)		80,139		646,105		262,789		989,033
	$	3,037,661	$	3,695,049	$	262,789	$	6,995,499
Liability derivatives
Options contracts written outstanding (a)	$	155,463	$	308,685	$	29,993	$	494,141
Unrealized depreciation on open futures contracts (b)		303,720		—		—		303,720
Unrealized depreciation on forward foreign currency contracts (a)		—		4,047,762		—		4,047,762
Unrealized depreciation on centrally cleared swaps (f)		6,059,617		—		101,473		6,161,090
Unrealized depreciation on open swaps (a)		—		1,948		82,144		84,092
	$	6,518,800	$	4,358,395	$	213,610	$	11,090,805

Effect of Derivative Instruments on the Statements of Operations as of February 29, 2016
Location	Interest rate risk			Foreign exchange risk			Credit risk			Total
Realized gain/(loss) on derivatives recognized in income (d)
Net realized gain (loss) on purchased options	$	(5,774	)	$	(61,976	)	$	—		$	(67,750	)
Net realized gain (loss) on futures contracts		1,852,565			—			—			1,852,565
Net realized gain (loss) on options written		120,441			102,452			85,917			308,810
Net realized gain (loss) on swaps contracts		327,865			(516,348	)		(139,716	)		(328,199	)
Net realized gain (loss) on forward foreign currency contracts		—			5,051,310			—			5,051,310
	$	2,295,097		$	4,575,438		$	(53,799	)	$	6,816,736
Change in unrealized appreciation (depreciation) on derivatives recognized in income (e)
Net change in unrealized appreciation (depreciation) on purchased options	$	2,316		$	70,525		$	—		$	72,841
Net change in unrealized appreciation (depreciation) on futures contracts		667,924			—			—			667,924
Net change in unrealized appreciation (depreciation) on options contracts written		(105,963	)		28,756			(22,073	)		(99,280	)
Net change in unrealized appreciation (depreciation) on swaps contracts		(2,885,707	)		39,304			(24,011	)		(2,870,414	)
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts		—			(668,761	)		—			(668,761	)
	$	(2,321,430	)	$	(530,176	)	$	(46,084	)	$	(2,897,690	)

(a) Statements of Assets and Liabilities location: Unrealized depreciation on open forward foreign currency contracts, unrealized depreciation on open swap contracts or options contracts written, at value.

(b) Only variation margin, if any, is reported within the Statements of Assets and Liabilities. Cumulative appreciation (depreciation) on futures contracts is reported in the “Open Futures Contracts” table.

(c) Statements of Assets and Liabilities location: Investments, at value or unrealized appreciation on open forward foreign currency contracts or unrealized appreciation on open swap contracts.

(d) Statements of Operations location: Net realized gain (loss) from investments, foreign currency transactions, futures contracts, options contracts written or swap contracts.

(e) Statements of Operations location: Change in net unrealized appreciation (depreciation) from investments, foreign currency transactions, futures contracts, options contracts written or swap contracts.

(f) Only variation margin, if any, is reported within the Statements of Assets and Liabilities. Cumulative appreciation (depreciation) on centrally cleared swaps is reported in the “Open Swap Contracts” table.

199

Notes to Financial Statements

(unaudited) (continued)

The average notional amounts of futures contracts, swaps contracts and forward foreign currency contracts, and the average market value of options contracts written and purchased options outstanding during the period ended February 29, 2016 were as follows:

Core Fixed Income Fund

	Interest rate risk		Foreign exchange risk		Credit risk		Total
Purchased options	$	117,553	$	—	$	—	$	117,553
Futures contracts		309,243,680		830,218		—		310,073,898
Options contracts written		124,013		—		—		124,013
Swap contracts		2,965		—		—		2,965
Forward foreign currency contracts		—		29,973,400		—		29,973,400

International Fixed Income Fund

	Interest rate risk		Foreign exchange risk		Credit risk		Total
Purchased options	$	3,515	$	119,375	$	—	$	122,890
Futures contracts		144,482,468		—		—		144,482,468
Options contracts written		112,511		92,281		40,406		245,198
Swap contracts		290,514,029		77,279,562		47,593,872		415,387,463
Forward foreign currency contracts		—		481,642,095		—		481,642,095

(c) Repurchase Agreements. When entering into repurchase agreements, it is the Funds’ policy that their custodian or a third party custodian takes possession of the underlying collateral securities, the market value of which at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market daily to ensure the adequacy of the collateral. If the seller defaults and the market value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Funds may be delayed or limited.

(d) Stripped Securities. Certain Funds may invest in “Stripped Securities”, a term used collectively for stripped fixed income securities. Stripped Securities can be principal-only securities (“PO”), which are debt obligations that have been stripped of interest coupons, or interest-only securities (“IO”), which are interest coupons that have been stripped from debt obligations. As is the case with all securities, the market value of Stripped Securities will fluctuate in response to changes in economic conditions, interest rates and the market’s perception of the securities. However, fluctuations in response to interest rates may be greater in Stripped Securities than for debt obligations of comparable maturities that pay interest currently. The amount of fluctuation increases with a longer period of maturity. The yield-to-maturity on an IO is sensitive to the rate of principal repayments (including prepayments) on the related underlying debt obligation and principal payments may have a material effect on yield to maturity. If the underlying debt obligation experiences greater than anticipated prepayments of principal, the Fund may not fully recoup its initial investment in the IO.

(e) Time Deposits. Certain Funds may purchase overnight time deposits issued by offshore branches of U.S. banks that meet credit and risk standards established by the custodian and approved by the Board.

(f) Lending of Portfolio Securities. The Trust has an agreement with its custodian, whereby the custodian, as agent, may lend securities owned by the Funds to brokers, dealers and other financial organizations that have been approved as borrowers by the Funds. The custodian enters into agreements with the borrowers. Loans of securities by a Fund are collateralized by cash, U.S. government securities or irrevocable performance letters of credit issued by banks approved by the Funds. All non-cash collateral is received, held and administered by the custodian in an applicable custody account or other account established for the purpose of holding collateral for each Fund. Cash collateral received by the Funds as a result of securities lending activities is invested in an unaffiliated registered money market fund, and is recorded as Payable for collateral received from securities on loan within the Statements of Assets and Liabilities. Securities lending income represents the income earned on investing cash collateral plus any

200

Notes to Financial Statements

(unaudited) (continued)

premium payments that may be received on the loan of certain types of securities, less fees and expenses associated with the loan. Each Fund maintains the risk of any market loss on its securities on loan as well as the potential loss on investments purchased with cash collateral received from its securities lending. The custodian has the right under its agreement with the borrowers to recover any loaned securities from the borrower on demand. Additionally, the Funds are exposed to risks that a borrower may not provide additional collateral when required or return loaned securities when due. If the borrower fails to return the securities, the custodian will use the collateral to purchase replacement securities. The custodian is responsible for any shortfall in collateral value under certain circumstances. See Note 1 (u).

The following table presents securities on loan that are subject to enforceable netting arrangements as of February 29, 2016.

Gross Amounts Not Offset in the Statements of Assets and Liabilities

	Gross Asset Amount Presented in Statements of Assets and Liabilities (a)		Financial Instrument		Collateral Received (b)(c)			Net Amount (Not Less than $0)
International Equity Fund	$	17,357,684	$	—	$	(17,357,684	)	$	0
Emerging Markets Equity Fund		7,052,179		—		(7,052,179	)		0
Core Fixed Income Fund		488,712		—		(488,712	)		0
High Yield Fund		2,604,660		—		(2,604,660	)		0

(a) Represents market value of securities on loan at period end.

(b) The Funds received cash collateral of $18,014,299, $7,266,632, $499,205 and $2,670,024, respectively, which was subsequently invested in Invesco STIT – Government & Agency Portfolio as reported in the Schedules of Investments.

(c) The actual collateral received could be greater than the amount shown here due to overcollateralization.

The Funds have adopted the disclosure provisions of FASB Accounting Standards Update No. 2014-11 (“ASU No. 2014-11”), “Transfers & Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures”. ASU No. 2014-11 is intended to provide increased transparency about the types of collateral pledged in securities lending transactions and other similar transactions that are accounted for as secured borrowing.

The following table displays a breakdown of transactions accounted for as secured borrowings, the gross obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of February 29, 2016.

	Remaining Contractual Maturity of the Agreements As of February 29, 2016
	Overnight and Continuous		< 30 days		Between 30 & 90 days		> 90 days		Total
International Equity Fund
Securities Lending Transactions
Common Stocks	$	18,014,299	$	—	$	—	$	—	$	18,014,299
Total Borrowings	$	18,014,299	$	—	$	—	$	—	$	18,014,299
Gross amount of recognized liabilities for securities lending transactions									$	18,014,299
Emerging Markets Equity Fund
Securities Lending Transactions
Common Stocks	$	7,266,632	$	—	$	—	$	—	$	7,266,632
Total Borrowings	$	7,266,632	$	—	$	—	$	—	$	7,266,632
Gross amount of recognized liabilities for securities lending transactions									$	7,266,632
Core Fixed Income Fund
Securities Lending Transactions
Corporate Securities	$	499,205	$	—	$	—	$	—	$	499,205
Total Borrowings	$	499,205	$	—	$	—	$	—	$	499,205
Gross amount of recognized liabilities for securities lending transactions									$	499,205

201

Notes to Financial Statements

(unaudited) (continued)

	Remaining Contractual Maturity of the Agreements As of February 29, 2016
	Overnight and Continuous		< 30 days		Between 30 & 90 days		> 90 days		Total
High Yield Fund
Securities Lending Transactions
Corporate Securities	$	2,670,024	$	—	$	—	$	—	$	2,670,024
Total Borrowings	$	2,670,024	$	—	$	—	$	—	$	2,670,024
Gross amount of recognized liabilities for securities lending transactions									$	2,670,024

(g) To-Be-Announced Purchase and Sale Commitments. Certain Funds may trade securities on a to-be-announced (“TBA”) basis. In a TBA transaction, a Fund commits to purchasing or selling securities which have not yet been issued by the issuer and for which specific information is not known, such as the face amount and maturity date and the underlying pool of investments in U.S. government agency mortgage pass-through transactions. Securities purchased on a TBA basis are not settled until they are delivered to the Fund, normally 15 to 45 days later. Beginning on the date the Fund enters into a TBA transaction, cash, U.S. government securities or other liquid high-grade debt obligations are segregated in an amount equal in value to the purchase price of the TBA security. These transactions are marked-to-market on a daily basis and are subject to market fluctuations. Realized gains or losses on TBA purchase commitments are included in “Net realized gain (loss) on investments” on the Statements of Operations. Any fluctuation in the value of the purchased TBA commitments is included in “Net change in unrealized appreciation (depreciation) on investments” on the Statements of Operations.

Additionally, when a Fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A Fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund’s Schedule of Investments under the caption “Schedule of Forward Sale Commitments”. The proceeds and value of these commitments are recorded as Forward Sale Commitments at value in the Statements of Assets and Liabilities.

(h) Short Sales of Securities. A short sale is a transaction in which a Fund sells securities it does not own in anticipation of a decline in the market price of the securities. To complete a short sale, the Fund may arrange through a broker to borrow the securities to be delivered to the buyer. The proceeds received by the Fund for the short sale are retained by the broker until the Fund replaces the borrowed securities. In borrowing the securities to be delivered to the buyer, the Fund becomes obligated to replace the securities borrowed at their market price at the time of replacement, whatever that price may be.

The risk of engaging in short sale transactions is that selling short magnifies the potential for loss to a Fund. The larger the Fund’s short position, the greater the potential loss. If a security sold short increases in price, the Fund may have to cover its short position at a higher price than the short sale price, resulting in a loss. To borrow the security, the Fund also may be required to pay a premium, which could decrease the proceeds of the security sold short. The amount of any gain will be decreased, and the amount of any loss increased, by the amount of the premium, dividends, interest or expenses the Fund may be required to pay in connection with the short sale. In addition, because the Fund’s loss on a short sale arises from increases in the value of the security sold short, such loss is unlimited.

(i) Mortgage Dollar Rolls. Certain Funds may sell mortgage-backed securities for delivery in the current month and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities to settle on a specific future date at an agreed upon price. Pools of mortgage securities are used to collateralize mortgage dollar roll transactions and may have different prepayment histories than those sold. During the period between the sale and the repurchase, a Fund forgoes principal and interest paid on the securities sold. Proceeds of the sale will be invested in short-term instruments and the income from these investments, together with any additional fee income received on a sale, is intended to generate income for a Fund. A Fund accounts for mortgage dollar roll transactions as purchases and sales and realizes the gain or loss at the time the transaction is entered into on these transactions. If certain criteria are met, these dollar roll transactions may be considered financing transactions, whereby the difference in the sale price and the future purchase price is recorded as an adjustment to interest income.

202

Notes to Financial Statements

(unaudited) (continued)

Mortgage dollar roll transactions involve the risk that the market value of the securities a Fund is obligated to repurchase under the agreement may decline below the repurchase price of those securities. If investment performance of securities purchased with proceeds from these transactions does not exceed the income, capital appreciation and gain or loss that would have been realized on the securities sold as part of the dollar roll, the use of this technique will adversely impact the investment performance of a Fund. In the event the buyer of securities under a mortgage dollar roll files for bankruptcy or becomes insolvent, the Fund’s use of proceeds of the dollar roll may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund’s obligation to repurchase the securities.

(j) Credit and Market Risk. Certain Funds invest in high yield instruments that are subject to certain credit and market risks. The yields of high yield obligations reflect, among other things, perceived credit and market risks. Each Fund’s investment in securities rated below investment grade typically involve risks not associated with higher rated securities, including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading.

(k) Foreign Investment and Currency Risks. Certain Funds’ investments in foreign securities may involve risks not present in domestic investments. Because securities may be denominated in foreign currencies and may require settlement in foreign currencies and pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of a Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.

(l) Emerging Markets Risk. In addition to foreign investment and currency risks, which tend to be amplified in emerging markets, emerging markets may experience rising interest rates, or, more significantly, rapid inflation or hyperinflation. The economies of emerging market countries may grow at slower rates than expected or suffer a downturn or recession. Emerging market securities may present market, credit, liquidity, legal, political and other risks different from, or greater than, the risks of investing in developed foreign countries.

(m) Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.

(n) Security Transactions and Investment Income. Security transactions are accounted for on a trade date basis. Interest income, adjusted for amortization of premium and accretion of discount, is recorded on an accrual basis. Dividend income is recorded on the ex-dividend date. Foreign dividend income is recorded on the ex-dividend date or as soon as practical after a Fund determines the existence of a dividend declaration after exercising reasonable due diligence. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults on an expected interest payment, the Trust’s policy is to generally halt any additional “interest income accruals and accretion” and consider the Fund’s ability to realize interest accrued up to the date of default.

(o) Foreign Currency Translation. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.

The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments in the Statements of Operations.

Net realized foreign exchange gains or losses arise from sales of foreign currencies, including gains and losses on forward foreign currency contracts, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities, at the date of valuation, resulting from changes in exchange rates.

203

Notes to Financial Statements

(unaudited) (continued)

Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.

(p) Federal and Other Taxes. It is the Trust’s policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, each Fund intends to distribute substantially all of its income and net realized gains on investments, if any, to shareholders each year. Therefore, no federal income tax provision is required in the Funds’ financial statements. Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.

Management has reviewed the tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years or expected to be taken in 2015 tax returns. Each Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

(q) Reclassification. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share.

(r) Restricted Securities. All Funds may invest in non-publicly traded securities, commonly called restricted securities. Restricted securities may be less liquid than publicly-traded securities. Although certain restricted securities may be resold in privately negotiated transactions, the values realized from these sales could be less than originally paid by a Fund. Certain restricted securities may be deemed liquid by the Manager and/or Sub-adviser pursuant to the procedures approved by the Board. The value of restricted securities is determined as described in Note 1(a).

(s) Reverse Repurchase Agreements. Certain Funds may each enter into reverse repurchase agreements with the financial institutions with which it may enter into repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities to a financial institution and agrees to repurchase them at a mutually agreed upon date, price and rate of interest. During the period between the sale and repurchase, the Fund would not be entitled to principal and interest paid on the securities sold by the Fund. The Fund, however, would seek to achieve gains derived from the difference between the current sale price and the forward price for the future purchase as well as the interest earned on the proceeds on the initial sale. Reverse repurchase agreements will be viewed as borrowings by a Fund for the purpose of calculating the Fund’s indebtedness and will have the effect of leveraging the Fund’s assets.

(t) Indemnification. In the normal course of business, the Funds may enter into contracts that provide certain indemnifications. The Funds’ maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be estimated; however, based on experience, risk of loss from such claims is considered remote.

(u) Disclosure about Offsetting Assets and Liabilities. In order to better define contractual rights under derivative contracts and to secure rights that will help the Funds mitigate their counterparty risk, a sub-adviser may, on behalf of the Funds, enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty that governs OTC derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The ISDA Master Agreement gives a Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net amount payable by one party to the other. Absent an event of default by the counterparty or a termination of the agreement, the ISDA Master Agreement does not result in an offset of reported amounts of assets and liabilities in the Statements of Assets and Liabilities across the transactions between the Funds and the applicable counterparty. The right to offset and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the Funds’ credit risk to such counterparty equal to any amounts payable by the Funds under the applicable transactions, if any. The enforceability of the right to offset may vary by jurisdiction.

Cash collateral that has been received or pledged to cover obligations under derivative contracts, if any, will be reported separately in the Statements of Assets and Liabilities. Generally the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by counterparty. Collateral pledged for the benefit of the Fund and/or counterparty is held in segregated accounts by the Fund’s custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if any, is reflected as deposits with

204

Notes to Financial Statements

(unaudited) (continued)

counterparties and, in the case of cash pledged by a counterparty for the benefit of the Fund, a corresponding liability in the Statements of Assets and Liabilities. Securities pledged by the Fund as collateral, if any, are identified as such in the Schedule of Investments. The carrying amount of such deposits due to brokers at February 29, 2016 approximated their fair value. If measured at fair value, such deposits would have been considered as Level 2 in the fair value hierarchy (see Note 1(a)).

Repurchase agreements and reverse repurchase agreements may be entered into by the Funds under Master Repurchase Agreements (“MRA”) which permit a Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. The Fund’s repurchase agreements as of February 29, 2016 are shown on a gross basis and the required offsetting disclosures are shown in the Schedules of Investments. The value of the related collateral exceeded the value of the repurchase agreements as of February 29, 2016.

For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities.

The following table presents the Funds’ gross and net amounts of assets and liabilities, by derivative type, available for offset under a master netting agreement, or similar agreement as of February 29, 2016.

	Assets		Liabilities
Derivative Instruments (a)	Gross Amounts of Recognized Assets Presented in the Statements of Assets and Liabilities		Gross Amounts of Recognized Liabilities Presented in the Statements of Assets and Liabilities
Core Fixed Income Fund:
Forward foreign currency contracts	$	1,325	$	384,942
Swap contracts (b)		—		222,378
Total Derivative Instruments, subject to master netting arrangement or similar arrangement	$	1,325	$	607,320
International Fixed Income Fund:
Forward foreign currency contracts	$	2,613,188	$	4,047,762
Options contracts		435,756		430,916
Swap contracts (b)		989,033		84,092
Total Derivative Instruments, subject to master netting arrangement or similar arrangement	$	4,037,977	$	4,562,770

(a) Excludes exchange-traded derivatives.

(b) The total value of the net amounts of assets and liabilities is comprised of Swap contracts, at value on the Statements of Assets and Liabilities less the net value of the Upfront premiums paid (received) disclosed in the Fund’s Schedules of Investments.

The following table presents the Funds’ derivative assets and liabilities by counterparty net of amounts available for offset under master netting or similar agreements, and net of related collateral received or pledged as of February 29, 2016.

Counterparty	Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (a)			Collateral Received (e)		Net Amount (b)
Core Fixed Income Fund
Over-the-counter
Bank of America	$	309	$	(309	)	$	—	$	—
Barclays Bank PLC		1,016		(1,016	)		—		—
Total Over-the-counter derivative instruments	$	1,325	$	(1,325	)	$	—	$	—

205

Notes to Financial Statements

(unaudited) (continued)

Counterparty	Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (c)			Collateral Pledged (e)			Net Amount (d)
Core Fixed Income Fund
Over-the-counter
Bank of America	$	58,128	$	(309	)	$	—		$	57,819
Barclays Bank PLC		360,480		(1,016	)		—			359,464
Citigroup Global Markets Inc.		188,712		—			—			188,712
Total Over-the-counter derivative instruments	$	607,320	$	(1,325	)	$	—		$	605,995
Counterparty	Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (a)			Collateral Received (e)			Net Amount (b)
International Fixed Income Fund
Over-the-counter
Bank of America	$	1,608,362	$	(813,416	)	$	(730,000	)	$	64,946
Barclays Bank PLC		12,359		(12,359	)		—			—
BNP Paribas SA		405,743		(108,846	)		(140,000	)		156,897
Citigroup Global Markets Inc.		487,508		(297,640	)		—			189,868
Deutsche Bank AG		179,066		(27,127	)		(140,000	)		11,939
Goldman Sachs & Co.		282,843		(92,006	)		—			190,837
HSBC Bank USA.		260,791		(232,545	)		—			28,246
JPMorgan Chase & Co.		411,898		(411,898	)		—			—
Royal Bank of Scotland PLC		55,510		(11,873	)		—			43,637
Societe Generale SA.		20,085		(20,085	)		—			—
Standard Chartered Bank		270,397		(270,397	)		—			—
UBS Securities LLC		43,415		(43,415	)		—			—
Total Over-the-counter derivative instruments	$	4,037,977	$	(2,341,607	)	$	(1,010,000	)	$	686,370
Counterparty	Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (c)			Collateral Pledged (e)			Net Amount (d)
International Fixed Income Fund
Over-the-counter
Bank of America	$	813,416	$	(813,416	)	$	—		$	—
Barclays Bank PLC		140,739		(12,359	)		—			128,380
BNP Paribas SA		108,846		(108,846	)		—			—
Citigroup Global Markets Inc.		297,640		(297,640	)		—			—
Deutsche Bank AG		27,127		(27,127	)		—			—
Goldman Sachs & Co.		92,006		(92,006	)		—			—
HSBC Bank USA		232,545		(232,545	)		—			—
JPMorgan Chase & Co.		1,985,835		(411,898	)		—			1,573,937
Royal Bank of Scotland PLC		11,873		(11,873	)		—			—
Societe Generale SA		55,525		(20,085	)		—			35,440

206

Notes to Financial Statements

(unaudited) (continued)

Counterparty	Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (c)			Collateral Pledged (e)		Net Amount (d)
Standard Chartered Bank	$	619,312	$	(270,397	)	$	—	$	348,915
UBS Securities LLC		177,906		(43,415	)		—		134,491
Total Over-the-counter derivative instruments	$	4,562,770	$	(2,341,607	)	$	—	$	2,221,163

(a) Represents the amount of assets that could be offset by liabilities with the same counterparty under master netting or similar agreements that are not offset on the Statements of Assets and Liabilities.

(b) Net amount represents the new amount receivable from the counterparty in the event of default.

(c) Represents the amount of liabilities that could be offset by assets with the same counterparty under master netting or similar agreements that are not offset on the Statements of Assets and Liabilities.

(d) Net amount represents the net amount payable to the counterparty in the event of default.

(e) In some instances, the actual collateral received and/or pledged may be more than the amount shown here due to overcollateralization.

2. Investment Management Agreement and Other Transactions with Affiliates

CGAS, a business of Morgan Stanley Smith Barney Holdings LLC (“MSSBH”), serves as the investment manager to the Funds. The Manager selects and oversees professional money managers who are responsible for investing the assets of the Funds (each a “Sub-adviser,” and collectively the “Sub-advisers”). Each Fund pays the Manager an investment management fee calculated daily at an annual rate based on each Fund’s average daily net assets and paid monthly in arrears. The Manager pays each Sub-adviser a sub-advisory fee from its investment management fees.

Effective January 1, 2016, CGAS has contractually agreed to waive fees and reimburse expenses for a period of one year in order to keep the Fund’s management fee from exceeding 0.20% more than the total amount of sub-advisory fees paid by CGAS. This contractual waiver and reimbursement will only apply if the Fund’s total operating costs exceed the total amount of sub-advisory fees paid by CGAS plus 0.20%, and will not affect the Fund’s total operating costs if they are less than such amount. This fee waiver and reimbursement agreement shall remain in effect until January 1, 2017. The agreement may be amended or terminated only with the consent of the Board of Trustees.

The maximum allowable investment management fee represents the total amount that could be charged to each Fund. The aggregate fees paid by the Manager to each Fund’s Sub-advisers and the fees retained by the Manager for the period ended February 29, 2016 are indicated below:

Fund	Subadvisory Fee			Consulting Group Advisory Services LLC Fee			Maximum Allowable Annual Management Fee
Large Cap Equity Fund		0.35	%		0.22	%		0.60	%
Small-Mid Cap Equity Fund		0.46	%		0.26	%		0.80	%
International Equity Fund		0.40	%		0.27	%		0.70	%
Emerging Markets Fund		0.49	%		0.27	%		0.90	%
Core Fixed Income Fund		0.18	%		0.20	%		0.40	%
High Yield Fund		0.30	%		0.24	%		0.70	%
International Fixed Income Fund		0.25	%		0.23	%		0.50	%
Municipal Bond Fund		0.18	%		0.18	%		0.40	%
Money Market Fund*		0.08	%		0.00	%		0.08	%

* The Manager voluntarily waived and/or reimbursed certain fees or expenses to maintain a positive yield. For the period ended February 29, 2016, the Manager reimbursed the Fund $47,629.

207

Notes to Financial Statements

(unaudited) (continued)

The Manager has agreed to waive and/or reimburse a portion of its fee. For the period ended February 29, 2016, the amounts waived and/or reimbursed by the Manager were as follows:

Fund
Large Cap Equity Fund	$	207,920
Small-Mid Cap Equity Fund		63,787
International Equity Fund		206,065
Emerging Markets Equity Fund		289,626
Core Fixed Income Fund		73,979
High Yield Fund		191,889
International Fixed Income Fund		16,995

Brown Brothers Harriman & Co. (“BBH”) serves as the Trust’s administrator. For its administrative services, BBH receives an annual asset based fee of 0.0250% of the Trust’s assets up to $5 billion, 0.02% on assets between $5 billion and $8 billion and 0.0175% on assets in excess of $8 billion, plus out-of-pocket expenses. The fee is calculated and allocated daily based on the relative assets of each Fund.

For the period ended February 29, 2016, Morgan Stanley & Co. Incorporated (“MS&Co.”), and its affiliates, including MSSBH, Morgan Stanley Smith Barney LLC, the Trust’s distributor, and Citigroup Global Markets Inc. (“CGMI”), received brokerage commissions of:

Fund	Commission Dollars to CGMI		Commission Dollars to MS&Co.		Commission Aggregate
Large Cap Equity Fund	$	4,473	$	19,597	$	24,070
Small-Mid Cap Equity Fund		2,444		—		2,444
International Equity Fund		18,379		3,334		21,713
Emerging Markets Fund		26,951		807		27,758
Core Fixed Income Fund		3,713		—		3,713
International Fixed Income Fund		1,566		—		1,566

Officers of the Trust do not receive compensation directly from the Trust. The Funds may bear a portion of the annual compensation of the Fund’s Chief Compliance Officer.

3. Investments

During the period ended February 29, 2016, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) for each Fund were as follows:

Fund	Investments				U.S. Government & Agency Obligations
	Purchases		Sales		Purchases		Sales
Large Cap Equity Fund	$	1,359,081,831	$	1,706,774,133	$	—	$	—
Small-Mid Cap Equity Fund		263,297,566		280,631,785		—		—
International Equity Fund		386,366,630		189,288,441		—		—
Emerging Markets Fund		75,793,476		144,322,438		—		—
Core Fixed Income Fund		53,460,114		79,109,764		920,253,900		963,322,930
High Yield Fund		55,388,823		71,646,344		—		—
International Fixed Income Fund		133,962,049		152,722,888		253,216,417		241,018,394
Municipal Bond Fund		2,772,050		13,671,766		—		—

208

Notes to Financial Statements

(unaudited) (continued)

At February 29, 2016, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were as follows:

Fund	Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Large Cap Equity Fund	$	242,981,212	$	(39,501,137	)	$	203,480,075
Small-Mid Cap Equity Fund		32,910,428		(24,503,133	)		8,407,295
International Equity Fund		97,093,574		(202,290,871	)		(105,197,297	)
Emerging Markets Equity Fund		48,184,369		(68,749,997	)		(20,565,628	)
Core Fixed Income Fund		17,402,092		(17,024,886	)		377,206
High Yield Fund		1,747,760		(26,477,316	)		(24,729,556	)
International Fixed Income Fund		8,732,217		(13,383,613	)		(4,651,396	)
Municipal Bond Fund		5,663,078		(8,202	)		5,654,876

4. Shares of Beneficial Interest

At February 29, 2016, the Trust had an unlimited number of units of beneficial interest (shares) authorized with a par value of $0.001 per share. At February 29, 2016, Trustees and executive officers of the Trust as a group owned of record less than 1% of the outstanding shares of the Trust.

Transactions in shares of each Fund were as follows:

	Six months ended February 29, 2016			Year ended August 31, 2015
Large Cap Equity Fund
Shares sold		1,924,380			2,671,031
Shares issued on reinvestment		18,527,397			9,623,720
Shares repurchased		(25,394,313	)		(26,936,640	)
Shares issued from reorganization		67,349,198			—
Net Increase (Decrease)		62,406,662			(14,641,889	)
Small-Mid Cap Equity Fund
Shares sold		1,169,080			470,258
Shares issued on reinvestment		2,932,844			2,605,182
Shares repurchased		(1,861,835	)		(4,089,603	)
Shares issued from reorganization		12,937,939			—
Net Increase (Decrease)		15,178,028			(1,014,163	)
International Equity Fund
Shares sold		33,058,100			26,104,331
Shares issued on reinvestment		1,835,484			1,708,106
Shares repurchased		(13,276,036	)		(13,141,629	)
Net Increase		21,617,548			14,670,808
Emerging Markets Equity Fund
Shares sold		2,336,622			20,448,565
Shares issued on reinvestment		578,111			404,405
Shares repurchased		(10,849,186	)		(4,665,904	)
Net Increase (Decrease)		(7,934,453	)		16,187,066

209

Notes to Financial Statements

(unaudited) (continued)

	Six months ended February 29, 2016			Year ended August 31, 2015
Core Fixed Income Fund
Shares sold		3,532,996			20,409,102
Shares issued on reinvestment		2,107,821			3,721,496
Shares repurchased		(16,189,503	)		(14,329,013	)
Net Increase (Decrease)		(10,548,686	)		9,801,585
High Yield Fund
Shares sold		3,836,088			12,354,121
Shares issued on reinvestment		2,137,302			3,939,050
Shares repurchased		(10,476,942	)		(9,157,485	)
Net Increase (Decrease)		(4,503,552	)		7,135,686
International Fixed Income Fund
Shares sold		1,131,486			2,234,773
Shares issued on reinvestment		1,970,249			1,997,895
Shares repurchased		(6,169,667	)		(8,199,895	)
Net Decrease		(3,067,932	)		(3,967,227	)
Municipal Bond Fund
Shares sold		672,370			1,931,227
Shares issued on reinvestment		142,131			285,810
Shares repurchased		(1,872,085	)		(1,345,964	)
Net Increase (Decrease)		(1,057,584	)		871,073
Money Market Fund
Shares sold		200,570,487			162,653,966
Shares issued on reinvestment		1,640			7,046
Shares repurchased		(101,440,886	)		(294,837,293	)
Net Increase (Decrease)		99,131,241			(132,176,281	)

5. Capital Loss Carry Forward

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010, for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this, pre-enactment capital loss carryforwards may be more likely to expire unused.

As of August 31, 2015, the Funds had the following net capital loss carryforwards remaining:

	Large Cap Equity Fund		Small-Mid Cap Equity Fund		International Equity Fund
8/31/2015	$	—	$	—	$	—
8/31/2016		—		—		—
8/31/2017		—		—		—
8/31/2018		128,598,703		—		234,883,455
Non-expiring:
Short-Term		—		—		—
Long-Term		—		—		—
	$	128,598,703	$	—	$	234,883,455

210

Notes to Financial Statements

(unaudited) (continued)

	Emerging Markets Equity Fund		Core Fixed Income Fund		High Yield Fund
8/31/2015	$	—	$	—	$	—
8/31/2016		—		—		—
8/31/2017		—		—		6,697,249
8/31/2018		—		—		5,672,191
Non-expiring:
Short-Term		13,418,679		—		737,023
Long-Term		9,964,644		—		93,390
	$	23,383,323	$	—	$	13,199,853
	International Fixed Income Fund		Municipal Bond Fund		Money Market Fund
8/31/2015	$	—	$	—	$	—
8/31/2016		—		—		—
8/31/2017		—		—		—
8/31/2018		4,975,707		—		—
Non-expiring:
Short-Term		901,344		—		—
Long-Term		173,856		—		—
	$	6,050,907	$	—	$	—

These amounts will be available to offset any future taxable capital gains.

During the year ended August 31, 2015, the Large Cap Equity Fund, International Equity Fund and International Fixed Income Fund utilized $148,139,783, $5,575,922 and $8,650 capital loss carryforwards, respectively.

6. Recent Accounting Pronouncements

In January 2016, the FASB issued ASU 2016-01, Financial Instruments – Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities. The update intends to enhance the reporting model for financial instruments to provide users of financial instruments with more decision-useful information and addresses certain aspects of the recognition, measurement, presentation, and disclosure of financial instruments. The ASU will also address measurement of credit losses on financial assets. ASU 2016-01 is effective for fiscal years beginning after 15 December 2017, including interim periods within those fiscal years. Early application is permitted. At this time, it is not anticipated that these changes will have an impact on the financial statements.

7. Reorganization

On October 6, 2015, the Board of Trustees of Large Capitalization Value Equity Fund and Large Capitalization Growth Fund approved the reorganization of Large Capitalization Value Equity Fund into Large Cap Equity Fund, pursuant to which Large Cap Equity Fund would continue as the surviving fund (the “Reorganization”). On February 5, 2016 (“Closing Date”), Large Capitalization Value Equity Fund was reorganized into Large Cap Equity Fund. The purpose of this transaction was to combine two funds with similar investment objectives and strategies.

This tax-free reorganization was accomplished by exchanging the assets and liabilities of Large Capitalization Value Equity Fund for shares of Large Cap Equity Fund. Shareowners holding shares of Large Capitalization Value Equity Fund received shares of Large Cap Equity Fund in the reorganization. The investment portfolio of Large Capitalization Value Equity Fund, with an aggregate value of $926,372,833 and an identified cost of $913,396,269 at February 5, 2016, was the principal asset acquired by Large Capitalization Growth Fund.

211

Notes to Financial Statements

(unaudited) (continued)

For financial reporting purposes, assets received and shares issued by the Large Cap Equity Fund were recorded at net asset value, however, the cost basis of the investments received from Large Capitalization Value Equity Fund was carried forward to align ongoing reporting of Large Cap Equity Fund’ realized and unrealized gains and losses with amounts distributable to shareowners for tax reporting purposes.

	Large Capitalization Value Fund (Pre-Reorganization)		Large Capitalization Growth Fund (Pre-Reorganization)		Large Cap Equity Fund (Post-Reorganization)
Net Assets	$	973,690,395	$	913,232,958	$	1,886,923,353
Shares Outstanding		88,422,838		63,167,892		130,517,090
			Exchange Ratio		Shares Issued In Reorganization
				0.7617		67,349,198
			Unrealized Appreciation (Depreciation) on Closing Date		Accumulated Gain (Loss) on Closing Date
Large Capitalization Value Fund			$	12,976,564	$	(144,954,736	)
Large Cap Equity Fund			$	196,511,875	$	335,434,156

Assuming the Reorganization had been completed on September 1, 2015, the beginning of the Fund’s current fiscal period, the pro forma results of operations for the period ended February 29, 2016, are as follows:

Net investment income (loss)	$	13,432,410
Net realized and unrealized loss		(161,093,448	)
Decrease in net assets from operations	$	(147,661,039	)

On October 6, 2015, the Board of Trustees of Small Capitalization Value Equity Fund and Small Capitalization Growth Fund approved the reorganization of Small Capitalization Value Equity Fund into Small-Mid Cap Equity Fund, pursuant to which Small-Mid Cap Equity Fund would continue as the surviving fund (the “Reorganization”). On February 5, 2016 (“Closing Date”), Small Capitalization Value Equity Fund was reorganized into Small-Mid Cap Equity Fund. The purpose of this transaction was to combine two funds with similar investment objectives and strategies.

This tax-free reorganization was accomplished by exchanging the assets and liabilities of Small Capitalization Value Equity Fund for shares of Small-Mid Cap Equity Fund. Shareowners holding shares of Small Capitalization Value Equity Fund received shares of Small-Mid Cap Equity Fund in the reorganization. The investment portfolio of Small Capitalization Value Equity Fund, with an aggregate value of $175,768,641 and an identified cost of $178,133,527 at February 5, 2016, was the principal asset acquired by Small Capitalization Growth Fund.

212

Notes to Financial Statements

(unaudited) (continued)

For financial reporting purposes, assets received and shares issued by the Small-Mid Cap Equity Fund were recorded at net asset value, however, the cost basis of the investments received from Small Capitalization Value Equity Fund was carried forward to align ongoing reporting of Small-Mid Cap Equity Fund realized and unrealized gains and losses with amounts distributable to shareowners for tax reporting purposes.

	Small Capitalization Value Fund (Pre-Reorganization)		Small Capitalization Growth Fund (Pre-Reorganization)			Small-Mid Cap Equity Fund (Post-Reorganization)
Net Assets	$	187,304,118	$	174,076,542		$	361,380,660
Shares Outstanding		19,634,932		12,024,251			24,962,190
			Exchange Ratio			Shares Issued In Reorganization
				0.6589			12,937,939
			Unrealized Appreciation (Depreciation) on Closing Date			Accumulated Gain (Loss) on Closing Date
Small Capitalization Value Fund			$	(2,364,886	)	$	26,692,117
Small-Mid Cap Equity Fund			$	(3,715,701	)	$	47,577,318

Assuming the Reorganization had been completed on September 1, 2015, the beginning of the Fund’s current fiscal period, the pro forma results of operations for the period ended February 29, 2016, are as follows:

Net investment income (loss)	$	957,225
Net realized and unrealized loss		(62,617,975	)
Decrease in net assets from operations	$	(61,660,750	)

8. Subsequent Events

Management has evaluated subsequent events after the balance sheet date through the date that the financial statements were issued and has not identified any additional events or transactions that would require recognition or disclosure in the financial statements other than the distribution information below.

Subsequent to February 29, 2016, the Funds made the following distributions:

Record Date Payable Date	Core Fixed Income Fund		High Yield Fund		Municipal Bond Fund		Money Market Fund
3/01/16-3/31/16	$	0.022548	$	0.020550	$	0.025624	$	0.000000	*

* Money Market Fund distribution amount is less then $0.000001.

The Money Market Fund terminated operations on April 8, 2016, and has had no operations since then other than the settlement of receivables and payables listed on the Statement of Assets and Liabilities. The net assets of the Money Market Fund, including these remaining balances, were liquidated and distributed to participants. Events occurring after the termination date through the date the financial statements were available to be issued, April 26, 2016, have been evaluated by the Board in the preparation of the financial statements and no items were noted requiring additional disclosure.

213

Board Approval of Management Agreement and Investment Advisory  Agreements

(unaudited)

The Consulting Group Capital Markets Funds (“Trust” and, each series thereof, a “Fund”) and Consulting Group Advisory Services LLC (“Manager”), a business of Morgan Stanley Smith Barney Holdings LLC, have entered into an investment management agreement (“Management Agreement”). Pursuant to the Management Agreement, the Manager serves as “manager of managers” for the Trust and selects and oversees professional money managers (each, a “Sub-adviser” and collectively, the “Sub-advisers”) who are responsible for investing the portion of assets of the Funds allocated to them pursuant to investment advisory agreements (the “Sub-advisory Agreements” and, together with the Management Agreement, the “Agreements”) between the Manager and each of the Sub-advisers.

The Investment Company Act of 1940, as amended (the “1940 Act”), requires that the Agreements be approved initially, as well as annually thereafter, by the Trust’s Board of Trustees (“Board”) and by a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Agreements (“Independent Trustees”), by vote cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of the approval of the Agreements, the Independent Trustees must request and evaluate such information as may reasonably be necessary to make a reasonable business judgment with respect to the approval of the Agreements, and the Manager and Sub-advisers are required to provide such information.

****

Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund

At an in-person meeting of the Board held on December 16-17, 2015 (“December Meeting”), the Board approved and ratified the establishment of two new series of the Trust, Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund (each, a “New Fund” and together, the “New Funds”). In connection therewith, the Board, including a majority of the Independent Trustees, approved a Management Agreement between the Trust, on behalf of each New Fund, and the Manager, and a Sub-advisory Agreement between the Manager, with respect to each New Fund, and Pacific Investment Management Company (“PIMCO” or the “Sub-adviser”), pursuant to which PIMCO provides day-to-day management of an allocated portion of the assets of the New Fund. The Independent Trustees requested and received information from the Manager and PIMCO they deemed reasonably necessary for their review of the Agreements and the services to be provided by the Manager and PIMCO. Included was information about the Manager and PIMCO, as well as the management, sub-advisory, administration and distribution arrangements for the New Funds. Representatives from PIMCO also made a presentation to and responded to questions from the Board at the December Meeting. The Independent Trustees were assisted in their review by Fund counsel and independent legal counsel and met with independent legal counsel in executive sessions separate from representatives of the Manager and PIMCO. In voting to approve the Agreements, the Independent Trustees considered whether the approval of the Agreements would be in the best interests of each New Fund and its prospective shareholders, an evaluation based on several factors including those discussed below.

Nature, Extent and Quality of the Services to be provided to the New Funds under the Agreements

The Board received and considered information regarding the nature, extent and quality of services to be provided to each New Fund by the Manager and the Sub-adviser under the Management Agreement and Sub-advisory Agreement, respectively. The Independent Trustees considered information regarding the process by which the Manager selected and recommended for each New Fund the Sub-adviser for Board approval and the Manager’s supervisory activities over the Sub-adviser, including monitoring the Sub-adviser’s compliance with the investment objective, policies, and restrictions of the relevant Fund. In addition, the Independent Trustees received and considered other information regarding the administrative and other services to be rendered to the New Funds and their shareholders by the Manager. The Board noted information received at regular meetings throughout the year related to the services rendered by the Manager in its management of the other Funds that are series of the Trust. The Independent Trustees considered the Sub-adviser’s specific responsibilities in all aspects of day-to-day management of the portion of the respective New Fund’s assets allocated to it, as well as the qualifications, experience and responsibilities of the persons who would serve as the portfolio managers for the New Fund’s assets to be managed by the Sub-adviser, and other key personnel at the Sub-adviser. The Independent Trustees specifically took into account for each New Fund the Sub-adviser’s investment process and capabilities. The Independent Trustees also discussed the acceptability of the terms of the Sub-advisory Agreement with respect to each New Fund. The Independent Trustees also considered the Manager’s favorable assessment of the nature and quality of the

214

Board Approval of Management Agreement and Investment Advisory Agreements

(unaudited) (continued)

sub-advisory services expected to be provided to each New Fund by the Sub-adviser. The Board reviewed information received from the Manager and the Trust’s Chief Compliance Officer regarding the Trust’s compliance policies and procedures established pursuant to Rule 38a-1 under the Investment Company Act of 1940, as amended, and those of the Sub-adviser.

The Independent Trustees then discussed with representatives of management the portfolio management strategy of each New Fund’s portfolio managers. The Board considered information regarding the Sub-adviser’s financial condition. The Board also considered the Sub-adviser’s brokerage policies and trading practices.

With respect to each New Fund, the Board concluded that, overall, it was satisfied with the nature, extent and quality of services expected to be provided under the respective Agreement by the Manager and the Sub-adviser.

Fund Performance

Because the Manager and the Sub-adviser were newly-appointed for each New Fund, the Trustees could not consider their investment performance in managing the New Fund’s portfolio as a factor in evaluating the Agreements during the December Meeting. The Board, however, received information from management regarding PIMCO’s historical performance returns managing investment mandates similar to each New Fund’s investment mandate, with such performance compared to a relevant index. The Independent Trustees discussed with representatives of the Manager the investment strategy to be employed by the Manager and the Sub-adviser in the management of the respective New Fund’s assets. The Independent Trustees noted the reputation and experience of the Manager and the Sub-adviser, the respective portfolio managers’ experience, and the Manager’s experience and reputation in selecting, evaluating, and overseeing investment managers. The Board determined that these factors also supported a decision to approve the Agreements.

Fees and Expense Ratios

With respect to each New Fund, the Board reviewed and considered the contractual management fee (the “Contractual Management Fee”) payable by the New Fund to the Manager in light of the nature, extent and quality of the management and sub-advisory services expected to be provided by the Manager and the Sub-adviser, respectively. The Board noted that the Manager, and not the New Funds, pays the sub-advisory fees to the Sub-adviser and, accordingly, that the retention of the Sub-adviser would not increase the fees and expenses to be incurred by the New Funds. The Board also reviewed with management the scope of services to be provided to each New Fund by the Manager, noting that the New Funds will be provided with regulatory compliance services, office facilities and Trust officers (including the Trust’s chief financial, chief legal and chief compliance officers), and that the Manager will coordinate and oversee the provision of services to each New Fund by other fund service providers, including the Sub-adviser. Additionally, the Board received and considered information comparing the each New Fund’s Contractual Management Fee with those of comparable funds, which showed that the New Fund’s Contractual Management Fee was competitive with the management fees payable by such other funds. The Board also considered and discussed information about the Sub-adviser’s fees and comparable information for other sub-advised funds and accounts managed by the Sub-adviser.

Manager Profitability

Because the Manager and the Sub-adviser were newly-appointed for each New Fund, the Independent Trustees could not consider the profitability of the Manager in providing services to the New Fund as a factor in evaluating the Agreements during the December Meeting.

Economies of Scale

With respect to each New Fund, the Board noted that to the extent the New Fund’s assets increase over time, the New Fund and its shareholders should realize economies of scale as certain expenses, such as fixed fund fees, become a smaller percentage of overall assets. The Board noted that it appeared that the benefits of any economies of scale also would be appropriately shared with shareholders through increased investment in fund management and administration resources.

Taking all of the above into consideration, the Board determined that, with respect to each New Fund, the Contractual Management Fee was reasonable in light of the nature, extent and quality of the services expected to be provided to the New Fund under the Agreements.

215

Board Approval of Management Agreement and Investment Advisory Agreements

(unaudited) (continued)

Other Benefits to the Manager and Sub-adviser

The Board considered other benefits expected to be received by the Manager and the Sub-adviser and their affiliates as a result of their relationship with the New Funds. In light of the expected costs of providing investment management and other services to each New Fund and the Manager’s commitment to the New Funds, any other ancillary benefits that the Manager and its affiliates expect to receive were considered by the Independent Trustees to be reasonable. The Board noted that the Sub-adviser may direct fund brokerage transactions to certain brokers to obtain research and other services. However, the Board noted that the Sub-adviser was required to select brokers who met the New Fund’s requirements for seeking best execution, and that the Trust’s Chief Compliance Officer will monitor and evaluate trade execution with respect to fund brokerage transactions on a quarterly basis and will provide reports to the Board on these matters for the New Funds. The Board concluded that the benefits that the Sub-adviser may receive by virtue of its relationship with the New Funds also appeared to be reasonable.

Based on their discussions and considerations, including those described above, the Board approved the Management Agreement and the Sub-advisory Agreement with respect to each New Fund.

No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the Management Agreement and the Sub-advisory Agreement with respect to each New Fund. Each Agreement became effective as of January 20, 2016.

****

Large Cap Equity Fund

At the December Meeting, the Board also approved separate Sub-advisory Agreements between the Manager, with respect to Large Cap Equity Fund, and Blackrock Financial Management, Inc. (“Blackrock”), Columbia Management Investment Advisers, LLC (“Columbia”), Delaware Investments Fund Advisers (“Delaware”), Lazard Asset Management LLC (“Lazard”), Lyrical Asset Management (“Lyrical”), and Wedgwood Partners (“Wedgewood” and, collectively with Blackrock, Columbia, Delaware, Lazard and Lyrical, the “Sub-Advisers”), pursuant to which each Sub-adviser provides day-to-day management of a percentage of the Fund’s portfolio allocated to it by the Manager. The Independent Trustees requested and received information from the Manager and each Sub-adviser they deemed reasonably necessary for their review of the Sub-advisory Agreements and the services to be provided by Blackrock, Columbia, Delaware, Lazard, Lyrical and Wedgewood as Sub-advisers for the Fund. Included were due diligence materials prepared by the Manager and other information about each Sub-adviser. Representatives from each of Blackrock, Columbia, Delaware, Lazard, Lyrical and Wedgewood also made a presentation and responded to questions from the Board at the December Meeting. The Independent Trustees were assisted in their review by Fund counsel and independent legal counsel and met with independent legal counsel in executive sessions separate from representatives of the Manager and the Sub-advisers. In voting to approve the Sub-advisory Agreements, the Independent Trustees considered whether the approval of each Sub-advisory Agreement would be in the best interests of the Fund and its shareholders, an evaluation based on several factors including those discussed below.

Nature, Extent and Quality of the Services to be provided to the Fund under the Sub-advisory Agreements

The Board received and considered information regarding the nature, extent and quality of services to be provided to the Fund by each Sub-adviser under the respective Sub-advisory Agreement. The Independent Trustees considered information regarding the process by which the Manager selected and recommended for the Fund the Sub-advisers for Board approval and the Manager’s supervisory activities over the Sub-advisers, including monitoring the Sub-advisers’ compliance with the investment objective, policies, and restrictions of the Fund. The Independent Trustees considered each Sub-adviser’s specific responsibilities in all aspects of day-to-day management of the portion of the Fund’s assets allocated to it, as well as the qualifications, experience and responsibilities of the persons who would serve as the portfolio managers for the Fund’s assets to be managed by the Sub-adviser, and other key personnel at the Sub-adviser. The Independent Trustees specifically took into account each Sub-adviser’s investment process and capabilities, evaluating how the Sub-adviser would complement each of the other Sub-advisers. The Independent Trustees also discussed the acceptability of the terms of the Sub-advisory Agreements with respect to the Fund. The Independent Trustees also considered the Manager’s favorable assessment of the nature and quality of the sub-advisory services expected to be provided to the Fund by the Sub-advisers. The Board reviewed information received from the Manager and the

216

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(unaudited) (continued)

Trust’s Chief Compliance Officer regarding the Trust’s compliance policies and procedures established pursuant to Rule 38a-1 under the Investment Company Act of 1940, as amended, and those of the Sub-advisers.

The Independent Trustees then discussed with representatives of management the portfolio management strategy of each Sub-adviser. The Board considered information regarding each Sub-adviser’s financial condition. The Board also considered the Sub-advisers’ brokerage policies and trading practices.

The Board concluded that, overall, it was satisfied with the nature, extent and quality of services expected to be provided under the respective Sub-advisory Agreement by the Sub-advisers.

Fund Performance

Because the Sub-advisers were newly-appointed for the Fund, the Trustees could not consider their investment performance in managing the Fund’s portfolio as a factor in evaluating the Sub-advisory Agreements during the December Meeting. The Board, however, received information from management regarding each Sub-adviser’s historical performance returns managing investment mandates similar to the Fund’s investment mandate, with such performance compared to a relevant index. The Independent Trustees discussed with representatives of the Manager the investment strategy to be employed by the Sub-advisers in the management of the Fund’s assets. The Independent Trustees noted the reputation and experience of each Sub-adviser, the respective portfolio managers’ experience, and the Manager’s experience and reputation in selecting, evaluating, and overseeing investment managers. The Board determined that these factors also supported a decision to approve the Sub-advisory Agreements.

Fees and Expense Ratio; Manager Profitability

The Board considered the proposed fees payable under the Sub-advisory Agreements, noting that the proposed fees would be paid by the Manager and, thus, would not impact the fees paid by the Fund. The Board also considered and discussed information about the Sub-advisers’ fees for other sub-advised funds and accounts managed by the respective Sub-adviser. The Board recognized that, because each Sub-adviser’s fee would be paid by the Manager, and not the Fund, an analysis of profitability was more appropriate in the context of the Board’s consideration of the Management Agreement between the Trust and the Manager and, therefore, the Board received and considered a profitability analysis of the Manager with respect to the proposed engagement of the Sub-advisers as additional sub-advisers for the Fund. The Independent Trustees concluded that the proposed fees payable to the Sub-advisers by the Manager with respect to the assets to be allocated to the Sub-advisers were reasonable and appropriate and the Manager’s profitability was not excessive in light of the nature, extent and quality of the services provided by the Manager and to be provided by the Sub-advisers to the Fund.

Economies of Scale

The Independent Trustees recognized that because the proposed fees payable to the Sub-advisers would be paid by the Manager, and not the Fund, and, thus, would not impact the fees paid by the Fund, an analysis of economies of scale was more appropriate in the context of the Board’s consideration of the Management Agreement between the Trust and the Manager. Accordingly, considerations of economies of scale were not relevant to the Independent Trustees’ determination to approve the Sub-advisory Agreements during the December Meeting.

Other Benefits to the Sub-advisers

The Board considered other benefits expected to be received by the Sub-advisers and their affiliates as a result of their relationship with the Fund. The Board noted that the Sub-advisers may direct fund brokerage transactions to certain brokers to obtain research and other services. However, the Board noted that the Sub-advisers were required to select brokers who met the Fund’s requirements for seeking best execution, and that the Trust’s Chief Compliance Officer will monitor and evaluate trade execution with respect to fund brokerage transactions on a quarterly basis and will provide reports to the Board on these matters for the Fund. The Board concluded that the benefits that the Sub-advisers may receive by virtue of their relationship with the Fund appeared to be reasonable.

Based on their discussions and considerations, including those described above, the Board approved each Sub-advisory Agreement with respect to the Fund.

217

Board Approval of Management Agreement and Investment Advisory Agreements

(unaudited) (continued)

No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the Sub-advisory Agreements. The Sub-advisory Agreement between the Manager and Delaware became effective as of January 11, 2016. The Sub-advisory Agreements between the Manager and each of Blackrock, Columbia, Lazard, Lyrical and Wedgewood became effective as of February 22, 2016, respectively.

****

Small-Mid Cap Equity Fund

At the December Meeting, the Board also approved separate Sub-advisory Agreements between the Manager, with respect to Small-Mid Cap Equity Fund, and Blackrock Financial Management, Inc. (“Blackrock”), Frontier Capital Management Co., LLC (“Frontier”), Hahn Capital Management, LLC (“Hahn”), Neuberger Berman (“Neuberger”), Rutabaga Capital (“Rutabaga”), and Westfield Capital Management Company, LLC (“Westfield” and, collectively with Blackrock, Frontier, Hahn, Neuberger and Rutabaga, the “Sub-Advisers”), pursuant to which each Sub-adviser provides day-to-day management of a percentage of the Fund’s portfolio allocated to it by the Manager. The Independent Trustees requested and received information from the Manager and each Sub-adviser they deemed reasonably necessary for their review of the Sub-advisory Agreements and the services to be provided by Blackrock, Frontier, Hahn, Neuberger, Rutabaga, and Westfield as Sub-advisers for the Fund. Included was due diligence materials prepared by the Manager and other information about each Sub-adviser. Representatives from each of Blackrock, Hahn and Neuberger also made a presentation to and responded to questions from the Board at the December Meeting. The Board noted that Frontier, Rutabaga and Westfield were currently Sub-advisers for the Trust and previously had given presentations to the Board. The Independent Trustees were assisted in their review by Fund counsel and independent legal counsel and met with independent legal counsel in executive sessions separate from representatives of the Manager and the Sub-advisers. In voting to approve the Sub-advisory Agreements, the Independent Trustees considered whether the approval of each Sub-advisory Agreement would be in the best interests of the Fund and its shareholders, an evaluation based on several factors including those discussed below.

Nature, Extent and Quality of the Services to be provided to the Fund under the Sub-advisory Agreements

The Board received and considered information regarding the nature, extent and quality of services to be provided to the Fund by each Sub-adviser under the respective Sub-advisory Agreement. The Independent Trustees considered information regarding the process by which the Manager selected and recommended for the Fund the Sub-advisers for Board approval and the Manager’s supervisory activities over the Sub-advisers, including monitoring the Sub-advisers’ compliance with the investment objective, policies, and restrictions of the Fund. The Independent Trustees considered each Sub-adviser’s specific responsibilities in all aspects of day-to-day management of the portion of the Fund’s assets allocated to it, as well as the qualifications, experience and responsibilities of the persons who would serve as the portfolio managers for the Fund’s assets to be managed by the Sub-adviser, and other key personnel at the Sub-adviser. The Independent Trustees specifically took into account each Sub-adviser’s investment process and capabilities, evaluating how the Sub-adviser would complement each of the other Sub-advisers. The Independent Trustees also discussed the acceptability of the terms of the Sub-advisory Agreements with respect to the Fund. The Independent Trustees also considered the Manager’s favorable assessment of the nature and quality of the sub-advisory services expected to be provided to the Fund by the Sub-advisers. The Board reviewed information received from the Manager and the Trust’s Chief Compliance Officer regarding the Trust’s compliance policies and procedures established pursuant to Rule 38a-1 under the Investment Company Act of 1940, as amended, and those of the Sub-advisers.

The Independent Trustees then discussed with representatives of management the portfolio management strategy of each Sub-adviser. The Board considered information regarding each Sub-adviser’s financial condition. The Board also considered the Sub-advisers’ brokerage policies and trading practices.

The Board concluded that, overall, it was satisfied with the nature, extent and quality of services expected to be provided under the respective Sub-advisory Agreement by the Sub-advisers.

Fund Performance

Because the Sub-advisers were newly-appointed for the Fund, the Trustees could not consider their investment performance in managing the Fund’s portfolio as a factor in evaluating the Sub-advisory Agreements during the December Meeting. The Board,

218

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(unaudited) (continued)

however, received information from management regarding each Sub-adviser’s historical performance returns managing investment mandates similar to the Fund’s investment mandate, with such performance compared to a relevant index. In addition, the Board received and considered information regarding the performance of Frontier, Rutabaga and Westfield in managing allocated portions of the assets of other series of the Trust. The Independent Trustees discussed with representatives of the Manager the investment strategy to be employed by the Sub-advisers in the management of the Fund’s assets. The Independent Trustees noted the reputation and experience of each Sub-adviser, the respective portfolio managers’ experience, and the Manager’s experience and reputation in selecting, evaluating, and overseeing investment managers. The Board determined that these factors also supported a decision to approve the Sub-advisory Agreements.

Fees and Expense Ratio; Manager Profitability

The Board considered the proposed fees payable under the Sub-advisory Agreements, noting that the proposed fees would be paid by the Manager and, thus, would not impact the fees paid by the Fund. The Board also considered and discussed information about the Sub-advisers’ fees for other sub-advised funds and accounts managed by the respective Sub-adviser. The Board recognized that, because each Sub-adviser’s fee would be paid by the Manager, and not the Fund, an analysis of profitability was more appropriate in the context of the Board’s consideration of the Management Agreement between the Trust and the Manager and, therefore, the Board received and considered a profitability analysis of the Manager with respect to the proposed engagement of the Sub-advisers as additional sub-advisers for the Fund. The Independent Trustees concluded that the proposed fees payable to the Sub-advisers by the Manager with respect to the assets to be allocated to the Sub-advisers were reasonable and appropriate and the Manager’s profitability was not excessive in light of the nature, extent and quality of the services provided by the Manager and to be provided by the Sub-advisers to the Fund.

Economies of Scale

The Independent Trustees recognized that because the proposed fees payable to the Sub-advisers would be paid by the Manager, and not the Fund, and, thus, would not impact the fees paid by the Fund, an analysis of economies of scale was more appropriate in the context of the Board’s consideration of the Management Agreement between the Trust and the Manager. Accordingly, considerations of economies of scale were not relevant to the Independent Trustees’ determination to approve the Sub-advisory Agreements during the December Meeting.

Other Benefits to the Sub-advisers

The Board considered other benefits expected to be received by the Sub-advisers and their affiliates as a result of their relationship with the Fund. The Board noted that the Sub-advisers may direct fund brokerage transactions to certain brokers to obtain research and other services. However, the Board noted that the Sub-advisers were required to select brokers who met the Fund’s requirements for seeking best execution, and that the Trust’s Chief Compliance Officer will monitor and evaluate trade execution with respect to fund brokerage transactions on a quarterly basis and will provide reports to the Board on these matters for the Fund. The Board concluded that the benefits that the Sub-advisers may receive by virtue of their relationship with the Fund appeared to be reasonable.

Based on their discussions and considerations, including those described above, the Board approved each Sub-advisory Agreement with respect to the Fund.

No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the Sub-advisory Agreements. Each Sub-advisory Agreement became effective as of February 22, 2016.

219

Additional Information

(unaudited)

Trustees and Officers of the Trust

The Trust’s Board of Trustees (“Board” or “Trustees”) is responsible for overseeing the Trust’s management and operations. The Board approves all significant agreements between the Trust and the companies that furnish services to the Funds, including agreements with the Trust’s distributor, Sub-advisers, custodian, transfer agent and administrator. The Board elects officers who are responsible for the day-to-day operations of the Trust and the Funds and who execute policies authorized by the Board.

Consulting Group Advisory Services LLC (“CGAS” or “Manager”), a business of Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”), serves as the investment adviser for each Fund. The Funds employ a “multi-manager” strategy. The Manager selects and oversees professional money managers (each a “Sub-adviser”) who are responsible for investing the assets of the Funds allocated to them. In addition to investment management services, the Manager monitors and supervises the services provided to the Trust by its administrator. The Manager also is responsible for conducting all operations of the Trust, except those operations contracted to the Sub-advisers, the custodian, the transfer agent and the administrator.

The names of the Trustees and officers of the Trust, their addresses and years of birth, together with information as to their principal business occupations and, for the Trustees, other board memberships they have held during the past five years, are set forth below. The executive officers of the Trust are employees of organizations that provide services to the Funds.

Name, Address and Date of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served*	Principal Occupation(s) During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee	Other Board Memberships Held During Past Five Years by Trustee
INDEPENDENT TRUSTEES
John J. Murphy Murphy Capital Management, Inc. 268 Main Street Gladstone, NJ 07934 Birth Year: 1944	Chairman and Trustee	Since 2002 (Chairman since 2010)	Founder and Senior Principal, Murphy Capital Management (investment management) (1983-present)	11	Trustee, Legg Mason Partners Equity Trust (2007-present); Trustee, UBS Funds (2009-present); Director, Fort Dearborn Income Securities (2013-present); and formerly, Trustee, Nicholas Applegate Funds (2005-2010)
Adela Cepeda A.C. Advisory, Inc. 150 North Wacker Drive, Suite 2160 Chicago, IL 60606 Birth Year: 1958	Trustee	Since 2008	President, A.C. Advisory, Inc. (1995-present)	11	Director, BMO Financial Corp. (2012-present); Trustee, Mercer Funds (2005-present); Trustee, UBS Funds (2004-present); Director, Fort Dearborn Income Securities (2000-present); formerly, Director, Amalgamated Bank of Chicago (2003-2012); and formerly, Director, Municipal Securities Rulemaking Board (2010-2012)

220

Additional Information

(unaudited) (continued)

Name, Address and Date of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served*	Principal Occupation(s) During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee	Other Board Memberships Held During Past Five Years by Trustee
W. Thomas Matthews 453 Banks Mill Road Aiken, SC 29801 Birth Year: 1949	Trustee	Since 2009 (Interested Trustee from 2006-2009)	Retired; Advisor, Smith Barney (2005-2007)	11	Treasurer, Congressional Medal of Honor Foundation (2009-present); Co-Chairman, Congressional Medal of Honor Foundation (2005-2009); and Chairman, America’s Warrior Partnership (2013-present)
Mark J. Reed North American Management 1 North Brentwood Blvd., Suite 1510 St. Louis, MO 63105 Birth Year: 1964	Trustee	Since 2007	Principal & Portfolio Manager, North American Management Corp. (2013-present); and Managing Director and Chief Compliance Officer, Bush O’Donnell Investment Advisors, Inc., (1988-2013)	11	None
Eric T. McKissack, CFA® Channing Capital Management, LLC 10 S. LaSalle Street, Suite 2401 Chicago, IL 60603 Birth Year: 1953	Trustee	Since 2013	Founder and Chief Executive Officer, Channing Capital Management, LLC (investment management) (2004-present)	11	Trustee and Chairman, FlexShares Funds (2011-present); Trustee, The Art Institute of Chicago (2001-present); Director, Rehabilitation Institute of Chicago (2000-present); and Director, Urban Gateways (1995-present); and formerly, Director, ICMA Retirement Corp. (2005-2012)
INTERESTED TRUSTEE
David Berdon** Morgan Stanley 522 Fifth Avenue, 12th Floor, New York, NY 10036 Birth Year: 1970	Trustee and Chief Executive Officer and President	Since September 2015	Managing Director, Morgan Stanley (2013-present); Managing Director, Goldman Sachs (2001-2013)	11	None

221

Additional Information

(unaudited) (continued)

Name, Address and Date of Birth	Position(s) Held with Trust	Term of Office*** and Length of Time Served	Principal Occupation(s) During Past Five Years
OFFICERS
Francis Smith Morgan Stanley 522 Fifth Avenue, 4th Floor New York, NY 10036 Birth Year: 1965	Chief Financial Officer (“CFO”) and Treasurer	Since 2014	Executive Director, Morgan Stanley (2001-present); Treasurer and Principal Financial Officer of various Morgan Stanley Funds (2003-present)
Eric Metallo Morgan Stanley 485 Lexington Ave, 11th Floor, New York, NY 10017 Birth Year: 1976	Chief Legal Officer and Secretary	Since August 2015	Executive Director, Morgan Stanley Wealth Management (2014-present); Senior Vice President and Associate General Counsel, Pine Bridge Investments (2011-2014); Corporate Counsel, Franklin Templeton Investments (2006-2011)
Philip Stack Morgan Stanley 2000 Westchester Avenue, 3rd Floor Purchase, NY 10577 Birth Year: 1964	Chief Compliance Officer	Since 2013	Executive Director, Morgan Stanley (2015-present); Vice President, Morgan Stanley (2013-2015); Vice President Corporate Audit Group – Compliance, Morgan Stanley (2012-2013); Vice President, Director of Investment Compliance and Risk Management, Gannett Welsh & Kotler (2008-2012)
Donna Marley Morgan Stanley Delaware Corporate Center II 2 Righter Parkway, 3rd Fl. Wilmington, DE 19803 Birth Year: 1955	Chief Administrative Officer Chief Operating Officer	Since August 2015 2011-2015	Executive Director, Morgan Stanley (2009-present); Director, Consulting Group Product and Programs, Morgan Stanley (2011-present); Director, Consulting Group Risk Management, Morgan Stanley (2009-2011)
Robert Garcia Morgan Stanley 522 Fifth Avenue, 12th Floor New York, NY 10036 Birth Year: 1983	Chief Operating Officer Investment Officer	Since August 2015 Since July 2015	Executive Director, Morgan Stanley (2016-present); Head of Packaged Digital Solutions, Morgan Stanley (2015-present); Head of Strategy and Development – Global Investment Solutions, Morgan Stanley (2013-2015); Overlay Portfolio Manager, Morgan Stanley (2009-2013)
Franceen Jansen Morgan Stanley 522 Fifth Avenue, 12th Floor New York, NY 10036 Birth Year: 1959	Investment Officer	Since August 2015	Executive Director, Morgan Stanley (2010-2015)
Brian Mulley Morgan Stanley 522 Fifth Avenue, 11th Floor New York, NY 10036 Birth Year: 1977	Investment Officer	Since August 2015	Investment Analyst, Executive Director, Morgan Stanley (2005-present)

222

Additional Information

(unaudited) (continued)

Name, Address and Date of Birth	Position(s) Held with Trust	Term of Office*** and Length of Time Served	Principal Occupation(s) During Past Five Years
Paul Ricciardelli Morgan Stanley 522 5th Ave, 14th Floor New York, NY 10036 Birth Year: 1969	Investment Officer	Since August 2015	Head of Manager Solutions, Morgan Stanley (2015-present); Head of IAR/GIMA, Morgan Stanley (2011-present); Director, Investment Management & Guidance, Merrill Lynch (1999-2011)
Matthew Rizzo Morgan Stanley Delaware Corporate Center II 2 Righter Parkway, 3rd Fl Wilmington, DE 19803 Birth Year: 1970	Investment Officer	Since August 2015	Executive Director, Manager Solutions, Morgan Stanley (2015-present); Head of Investment Strategy and Content, Morgan Stanley (2012-2015); Senior Analyst, Morgan Stanley Smith Barney (2006-2012)
Sukru Saman Morgan Stanley 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1972	Investment Officer	Since August 2015	Investment Officer, Morgan Stanley Wealth Management (2013-present); Due Diligence Analyst, Morgan Stanley Wealth Management (2009-2013)
Lisa Shalett Morgan Stanley 522 Fifth Avenue, 12th Floor New York, NY 10036 Birth Year: 1963	Investment Officer	Since August 2015	Head of Investment and Portfolio Strategies, Morgan Stanley (2013-present); Chief Investment Officer, Bank of America/Merrill Lynch (2011-2013); Head of Alliance Growth Equities, Alliance Bernstein (1995-2010)
Drew Soffer Morgan Stanley Delaware Corporate Center II 2 Righter Parkway, 3rd Fl Wilmington, DE 19803 Birth Year: 1967	Investment Officer	Since August 2015	Executive Director, Morgan Stanley (2010-2015)
Michael Wilson Morgan Stanley 522 Fifth Avenue, 12th Floor New York, NY 10036 Birth Year: 1967	Investment Officer	Since August 2015	Managing Director, Chief Investment Officer, Morgan Stanley Wealth Management (2012-present); Managing Director, Head of Content Distribution Institutional Equities Division, Morgan Stanley (2009-2012)
Anthony Scaturro Morgan Stanley 485 Lexington Avenue, 11th floor New York, NY 10172 Birth Year: 1974	Anti-Money Laundering (“AML”) Compliance Officer	Since August 2015	AML Compliance Officer, Morgan Stanley (2014-present); Field Compliance Officer, Morgan Stanley (2009-2014)
Steven Ross Morgan Stanley 522 Fifth Avenue, 4th Floor New York, NY 10036 Birth Year: 1971	Assistant Treasurer	Since 2014	Executive Director, Morgan Stanley (2013-present); Vice President, Morgan Stanley (2005-2013)

223

Additional Information

(unaudited) (continued)

Name, Address and Date of Birth	Position(s) Held with Trust	Term of Office*** and Length of Time Served	Principal Occupation(s) During Past Five Years
Robert Creaney Morgan Stanley One Financial Place 440 South LaSalle Street 39th Floor Chicago, IL 60605 Birth Year: 1974	Assistant Treasurer	Since 2014	Executive Director, Morgan Stanley (1997-present)
Michael Conklin Morgan Stanley One Financial Place 440 South LaSalle Street 39th Floor Chicago, IL 60605 Birth Year: 1977	Assistant Treasurer	Since 2014	Vice President, Morgan Stanley (2013-present); Vice President, First Trust Portfolios (2009-2013)
Suzan M. Barron Brown Brothers Harriman & Co. (“BBH&Co.”) 50 Post Office Square Boston, MA 02110 Birth Year: 1964	Assistant Secretary	Since 2011	Practice Lead for Portfolio Compliance, Fund Administration, BBH&Co. (2015-present); Senior Vice President and Senior Investor Services Counsel, Corporate Secretary and Regulatory Support Practice of Fund Administration, BBH&Co. (2005-present)

* Each Trustee remains in office until they resign, retire or are removed.

** Mr. Berdon is an “interested person” of the Trust as defined in the 1940 Act because of his position with Morgan Stanley.

*** The President, Treasurer and Secretary hold office until their respective successors are chosen and qualified or until he or she sooner dies, resigns, is removed or becomes disqualified. Each of the other officers serves at the pleasure of the Board.

224

Important Tax Information

(unaudited)

The following information is provided with respect to the distributions paid during the taxable year ended August 31, 2015:

	Large Cap Equity Fund			International Equity Fund			Emerging Markets Equity Fund			Small- Mid Cap Equity Fund
Record Date:		12/5/2014			12/5/2014			12/5/2014			12/5/2014
Payable Date:		12/8/2014			12/8/2014			12/8/2014			12/8/2014
Ordinary Income:
Qualified Dividend Income for Individuals		47.26	%		92.60	%		91.50	%		6.12	%
Dividends Qualifying for the Dividends Received
Deduction for Corporations		43.46	%		12.89	%		—			7.57	%
Foreign Source Income		—			99.64	%		87.58	%
Foreign Tax Paid Per Share		—			0.02180			0.0445
Long-Term Capital Gain Dividend		2.07273			—			—			4.40601

	Core Fixed Income Fund			High Yield Fund		International Fixed Income Fund			Municipal Bond Fund			Money Market Fund
Record Date:		Monthly			Monthly		12/5/2014			Monthly			12/5/2014
Payable Date:		Monthly			Monthly		12/8/2014			Monthly			12/8/2014
Ordinary Income:
Qualified Dividend Income for Individuals		—			—		—			—			—
Dividends Qualifying for the Dividends Received
Deduction for Corporations		—			—		—			—			—
Interest from Tax-Exempt Obligations		—			—		—			100	%		—
Interest from Federal Obligations		32.88	%				4.23	%					4.91	%
Long-Term Capital Gain Dividend		.06523			—		—			.05140			—

* Expressed as a percentage of the cash distribution grossed-up for foreign taxes.

The law varies in each state as to whether and what percentage of dividend income attributable to Federal obligations is exempt from state income tax. We recommend that you consult with your tax adviser to determine if any portion of the dividends you received is exempt from state income taxes.

The foreign taxes paid represent taxes incurred by the Fund on income received by the Fund from foreign sources. Foreign taxes paid may be included in taxable income with an offsetting deduction from gross income or may be taken as a credit for taxes paid to foreign governments. You should consult your tax adviser regarding the appropriate treatment of foreign taxes paid.

Please retain this information for your records.

225

TK 2120A, 2/16

MORGAN STANLEY SMITH BARNEY LLC

Distributor

CONSULTING GROUP ADVISORY SERVICES LLC

Investment Adviser

This report is submitted for the general information of the shareholders of Consulting Group Capital Markets Funds. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current Prospectus for the Trust which contains information concerning the Trust’s Investment policies, charges and expenses as well as other pertinent information.

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C., and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. To obtain information on Form N-Q from the Funds, shareholders can call 1-888-454-3965 (“ask for Consulting Group”).

Information on how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 and a description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling 1-888-454-3965 (ask for “Consulting Group”), (2) on the Funds’ website at www.morganstanley.com/cgcm and (3) on the SEC’s website at www.sec.gov.

© 2016 Morgan Stanley Smith Barney LLC (“Morgan Stanley”). Consulting Group Advisory Services LLC (“CGAS”) is a business of Morgan Stanley. Securities are offered through Morgan Stanley.

Consulting Group Capital Markets Funds

2000 Westchester Avenue

Purchase, NY 10577

ITEM 2. CODE OF ETHICS.

Not Applicable. This item is only required in an annual report on Form N-CSR.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Not Applicable. This item is only required in an annual report on Form N-CSR.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not Applicable. This item is only required in an annual report on Form N-CSR.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not Applicable. This item is only required in an annual report on Form N-CSR.

ITEM 6. INVESTMENTS.

(a) A Schedule of Investments in securities of unaffiliated issuers as of the close of the Reporting Period is included as part of the report to shareholders filed under Item 1 of this Form N-CSR.

(b) Not Applicable.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not Applicable.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not Applicable.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANIES AND AFFILIATED PURCHASERS.

Not Applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s board of directors, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

ITEM 11. CONTROLS AND PROCEDURES.

(a) The Registrant’s principal executive officer and principal financial officer, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-3(c)) were effective, as of a date within 90 days of the filing date of this report, based on his evaluation of these disclosure controls and procedures as required by Rule 30a-3(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-3(b)), and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-3(d)), that occurred during the Registrant’s last fiscal half-year that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

ITEM 12. EXHIBITS.

(a)(1) Not Applicable.

(a)(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)) are attached hereto.

(a)(3) Not Applicable.

(b) Certifications pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.

Consulting Group Capital Markets Funds
By:	/s/ David Berdon
	David Berdon
	Chief Executive Officer
	Consulting Group Capital Markets Funds
Date:	May 6, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By:	/s/ David Berdon
	David Berdon
	Chief Executive Officer
	Consulting Group Capital Markets Funds
Date:	May 6, 2016

Consulting Group Capital Markets Funds
By:	/s/ Francis Smith
	Francis Smith
	Chief Financial Officer
	Consulting Group Capital Markets Funds
Date:	May 6, 2016