N-CSR

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

MORGAN STANLEY PATHWAY 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: (888) 454-3965

Date of fiscal year end: August 31

Date of reporting period: August 31, 2019

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

Morgan Stanley

Pathway Funds

(formerly Consulting Group Capital Markets Funds)

Annual Report

» August 31, 2019

• 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

• Inflation-Linked Fixed Income Fund

• Ultra-Short Term Fixed Income Fund

• Alternative Strategies Fund

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

Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website (www.morganstanley.com/wealth-investmentsolutions/cgcm), and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a financial advisor) or, if you are a direct investor, by calling 1-800-869-3326.

Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Funds, you can call 1-800-869-3326 to let the Funds know you wish to continue receiving paper copies of your shareholder reports.

Table of Contents

SHAREHOLDER LETTER	I
MORGAN STANLEY PATHWAY FUNDS (FORMERLY CONSULTING GROUP CAPITAL MARKETS FUNDS) PERFORMANCE SUMMARY
LARGE CAP EQUITY FUND	1
SMALL-MID CAP EQUITY FUND	4
INTERNATIONAL EQUITY FUND	7
EMERGING MARKETS EQUITY FUND	10
CORE FIXED INCOME FUND	12
HIGH YIELD FUND	14
INTERNATIONAL FIXED INCOME FUND	16
MUNICIPAL BOND FUND	18
INFLATION-LINKED FIXED INCOME FUND	20
ULTRA-SHORT TERM FIXED INCOME FUND	22
ALTERNATIVE STRATEGIES FUND	24
FUND EXPENSES	29
SCHEDULES OF INVESTMENTS	31
STATEMENTS OF ASSETS AND LIABILITIES	298
STATEMENTS OF OPERATIONS	300
STATEMENTS OF CHANGES IN NET ASSETS	302
STATEMENTS OF CASH FLOWS	306
FINANCIAL HIGHLIGHTS	307
NOTES TO FINANCIAL STATEMENTS	316
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	355
BOARD APPROVAL OF MANAGEMENT AGREEMENT AND INVESTMENT ADVISORY AGREEMENTS	357
ADDITIONAL INFORMATION	362
IMPORTANT TAX INFORMATION	369

Morgan Stanley Pathway Funds

DEAR SHAREHOLDER,

Global equity markets returns were mixed over the twelve-month period ending August 31, 2019. U.S. markets as measured by the S&P 500^® Index ⁱ gained 2.92%, while developed international markets represented by the MSCI EAFE^® Index (Net) ^ix lost 3.26% and the MSCI Emerging Markets Index (Net) ^xii lost 4.36%. Compared to the previous fiscal year, performance this year has been more subdued given macroeconomic and geopolitical factors including slower earnings growth, trade and Brexit.

During the trailing 12 months ending August 31, 2019, growth stocks continued to outperform value, both domestically and abroad. The U.S. large-cap Russell 1000^® Growth Index ⁱⁱⁱ gained 4.27% compared to the Russell 1000^® Index ⁱⁱ which gained 0.62%. The U.S. small-cap Russell 2000^® Growth Index ^vii decreased 11.02% compared to a loss of 14.89% for the Russell 2000^® Value Index ^viii. The differential between growth and value was more pronounced in developed international markets with the MSCI EAFE^® Growth Index ^x gaining 0.81% compared to a loss of 7.42% for the MSCI EAFE^® Value Index ^xi. However, the gap narrowed within emerging markets with the MSCI Emerging Markets Index (Net) ^xii decreasing 3.21% compared to a loss of 5.63% for the MSCI Emerging Markets Value Index (Net) ^xiv.

Within the United States, seven out of eleven S&P 500^® Index ⁱ sectors posted positive results, but dispersion between the best and worst sector was wide. The returns were as follows: Utilities (+21.18%), Real Estate (+20.30%), Consumer Staples (+16.10%), Communication Services (+9.72%), Information Technology (+6.62%), Consumer Discretionary (+2.55%), Industrials (+0.56), Health Care (-0.57%), Materials (-2.52%), Financials (-2.90%) and Energy (-20.13%).

Fixed income markets performed extremely well given the drop in yields across the yield curve during the same twelve-month period. The yield on the U.S. 2-year Treasury-Note dropped from 2.62% to 1.50% while the yield on the U.S. 10-year Treasury-Note dropped from 2.85% to 1.50%. Broad investment grade indices such as the Bloomberg Barclays U.S. Aggregate Bond^TM Index ^xvi returned 10.17% and the Bloomberg Barclays Global Aggregate Bond Index ^xvii returned 7.77%. U.S. high yield also performed well with the Bloomberg Barclays U.S. Corporate High Yield Bond Index ^xviii gaining 6.56%.

Morgan Stanley & Co. economists expect U.S. real GDP growth to be 2.3% in 2019 and 1.7% in 2020. The forecast for global real GDP growth is 3.0% for 2019 and 3.2% for 2020.

Morgan Stanley Pathway Funds

(Returns are for the fiscal one year period ending August 31, 2019)

The Large Cap Equity Fund returned 1.32% compared to 2.49% for the Russell 1000^® Index ⁱⁱ. The return of the Lipper Large-Cap Core Funds Average ^xxiii investment category was 2.37%. The Fund’s allocation effect had a positive impact on relative performance, but stock selection within energy and information technology had the largest negative impact. Top contributors included Coca-Cola Company, Merck & Co., Abbot Laboratories, Microsoft and Visa, while the top detractors included Amazon, Haliburton, Occidental Petroleum, Marathon Oil and Apple.

The Small-Mid Cap Equity Fund returned -6.25% compared to -7.14% for the Russell 2500^® Index ^v. The return of the Lipper Small-Cap Core Funds Average ^xxiv investment category was -12.00%. The Fund’s allocation and stock selection had a positive impact on relative performance with information technology and consumer discretionary having the largest effect. Top contributors included HEICO, Euronet Worldwide, Ciena, Keysight Technologies and TESARO, while the top detractors included Key Energy Services, Amneal Pharmaceuticals, Cornerstone Building Brands, Conduent and the iShares^® Russell 2000 Value ETF.

The International Equity Fund returned -6.34% compared to -3.26% for the MSCI EAFE^® Index (Net) ^ix. The return of the Lipper International Large-Cap Core Funds Average ^xxv was -5.03%. The Fund’s allocation and stock selection had a negative impact on relative performance with industrials and consumer discretionary sectors detracting the most. Top

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contributors included Nestle, Novartis, AstraZeneca, Roche Holdings, Gold Fields Limited, while top detractors included Baidu, Encana, Total SA, Prudential PLC and Infineon Technologies.

The Emerging Markets Equity Fund returned -0.40% compared to -4.36% for the MSCI Emerging Markets Index (Net) ^xii. The return of the Lipper Emerging Markets Funds Average ^xxvi was -2.10%. The Fund’s allocation and stock selection had a positive impact on relative performance with financials and industrials contributing the most. Top contributors included Kweichow Moutai, Yihai International Holding, Banco do Brasil, Ping An Insurance and Movida Participacoes, while the top detractors included Baidu, China Construction Bank, Samsung Electronics, AAC Technologies Holdings and Samsung Electronics.

The Core Fixed Income Fund returned 10.39% compared to 10.17% for the Bloomberg Barclays U.S. Aggregate Bond^TM Index ^xvi. The return of the Lipper Core Bond Funds Average ^xxvii was 9.43%.

The High Yield Fund returned 5.58% compared to 6.56% for the Bloomberg Barclays U.S. Corporate High Yield Bond Index ^xviii. The return of the Lipper High Yield Funds Average ^xxviii was 5.57%.

The International Fixed Income Fund returned 10.01% compared to 12.86% for the FTSE Non-USD World Government Bond Index (USD) Hedged ^xxi. The return of the Lipper International Income Funds Average ^xxix was 6.27%.

The Municipal Bond Fund returned 8.38% compared to 8.72% for the Bloomberg Barclays U.S. Municipal Bond Index ^xx. The return of the Lipper General & Insured Municipal Debt Funds Average ^iv was 8.35%.

The Inflation-Linked Fixed Income Fund returned 6.42% compared to 7.46% for the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index ^xix. The return of the Lipper Inflation Protected Bond Funds Average ^vi was 5.50%.

The Ultra-Short Term Fixed Income Fund returned 2.07% compared to 2.36% for the FTSE 3-Month U.S. Treasury Bill Index ^xv. The return of the Lipper Ultra-Short Obligations Funds Average ^xiii was 2.73%.

The Alternative Strategies Fund returned 2.90% compared to -1.12% for the HFRX Global Hedge Fund Index ^xxii.

Additional information regarding the investment managers of the Morgan Stanley Pathway Funds and commentary specific to each individual sub-adviser is available in the Annual Report following this Shareholder Letter.

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

Sincerely,

Paul Ricciardelli

Chief Executive Officer

II

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.

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.

III

Performance of the Morgan Stanley Pathway Funds For the Year Ended August 31, 2019†*
Large Cap Equity Fund	1.32	%
Russell 1000® Index (ii)	2.49	%
Small-Mid Cap Equity Fund	-6.25	%
Russell 2500® Index (v)	-7.14	%
International Equity Fund	-6.34	%
MSCI EAFE® Index (Net) (ix)	-3.26	%
Emerging Markets Equity Fund	-0.40	%
MSCI Emerging Markets Index (Net) (xii)	-4.36	%
Core Fixed Income Fund	10.39	%
Bloomberg Barclays U.S. Aggregate BondTM Index (xvi)	10.17	%
High Yield Fund	5.58	%
Bloomberg Barclays U.S. Corporate High Yield Bond Index (xviii)	6.56	%
International Fixed Income Fund	10.01	%
FTSE Non-USD World Government Bond Index (USD) — Hedged (xxi)	12.86	%
Municipal Bond Fund	8.38	%
Bloomberg Barclays U.S. Municipal Bond Index (xx)	8.72	%
Inflation-Linked Fixed Income Fund	6.42	%
Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (xix)	7.46	%
Ultra-Short Term Fixed Income Fund	2.07	%
FTSE 3-Month U.S. Treasury Bill Index (xv)	2.36	%
Alternative Strategies Fund	2.90	%
HFRX Global Hedge Fund Index (xxii)	-1.12	%

See pages 25 through 28 for all footnotes.

IV

Large Cap Equity Fund

ABOUT THE SUB-ADVISERS

•  ClearBridge Investments, LLC (“ClearBridge”)

ClearBridge is a wholly-owned subsidiary of Legg Mason, Inc., a financial services holding company. The Portfolio Managers for the ClearBridge Large Cap Growth strategy utilize a fundamental, bottom-up research approach that emphasizes company analysis, management and stock selection. ClearBridge invests in large capitalization companies that it believes are dominant in their industries due to product, distribution or service strength. ClearBridge emphasizes individual security selection while diversifying the Fund’s investments across industries, which may help to reduce risk. ClearBridge attempts to identify established large capitalization companies with the highest growth potential, then analyze each company in detail, ranking its management, strategy and competitive market position. The Portfolio Managers pursue a collaborative approach in which both they and the research analysts propose companies with attractive business models and good long-term growth prospects for further review. The team is particularly valuation conscious, gravitating toward “controversy”, or companies that are temporarily inefficiently priced.

•  Columbia Management Investment Advisers, LLC (“Columbia”)

Columbia uses a combination of fundamental and quantitative analysis with risk management, including cross-correlation analysis, in identifying investment opportunities and constructing it’s portion of the Fund’s portfolio. In selecting investments, Columbia considers, among other factors:

· overall economic and market conditions; and

· the financial condition and management of a company, including its competitive position, the quality of its balance sheet and earnings, its future prospects, and the potential for growth and stock price appreciation.

Columbia may sell a security when the security’s price reaches a target set by Columbia; if Columbia believes that there is deterioration in the issuer’s financial circumstances or fundamental prospects; if other investments are more attractive; or for other reasons.

•  BlackRock Financial Management, Inc. (“BlackRock”)

BlackRock employs a “passive” management approach, attempting to invest in a portfolio

As of August 31, 2019, the Sub-advisers for Morgan Stanley Pathway Large Cap Equity Fund (“Fund”) were BlackRock Financial Management, Inc. (“BlackRock”), Columbia Management Investment Advisers, LLC (“Columbia”), Lazard Asset Management, LLC (“Lazard”), Delaware Investments Fund Advisers, a member of Macquarie Investment Management Business Trust (“MIM”), Lyrical Asset Management LP (“Lyrical”) and ClearBridge Investments, LLC (“ClearBridge”).

For the fiscal year ending August 31, 2019, the Fund returned 1.32% compared to the Russell 1000^® Indexⁱⁱ return of 2.49%. Positioning within financials and industrials contributed the most to relative performance while energy and information technology were the top detractors. Top contributors included Coca-Cola Company, Merck & Co., Abbot Laboratories, Microsoft and Visa, while the top detractors included Amazon, Haliburton, Occidental Petroleum, Marathon Oil and Apple.

The Fund’s yield was 1.81%, slightly less than the benchmark’s 1.88% yield. The Fund’s one year forward price to earnings ratio (P/E) was 17.3, slightly less than the benchmark which was 18.0. The estimated earnings per share growth over the next 3-5 years is 11.8%, slightly less than the benchmark’s 12.1% growth rate. The top 10 positions accounted for 17% of the Funds’ holdings and included the iShares^® Corp S&P U.S. Value ETF, Microsoft, Amazon, Apple, Facebook, Cisco, Medtronic, Alphabet, Johnson & Johnson and Coca-Cola Company.

During the fiscal one year period, BlackRock performed in-line with the Russell 1000^® Indexⁱⁱ, which matched its passive mandate to track the index.

The portion of the Fund managed by Lazard outperformed the benchmark during the fiscal one year period due to their sector allocation positioning and individual stock selection. Out of the eight broad sectors they were positioned in, all added to relative performance except for communication services. Stock selection was strongest within health care and weakest within communication services. The top five contributors were Coco-Cola Company, S&P Global, Baxter International, Armstrong World Industries and Vulcan Materials, while the top five detractors were Elanco Animal Health, Westinghouse Air Brake Technologies, DXC Technology, Skyworks Solutions and Steel Dynamics. As of August 31, 2019, Lazard’s top ten positions represented 66% of their portfolio.

The portion of the Fund managed by MIM trailed the benchmark during the fiscal one year period due to their value style, sector positioning and individual stock selection. The top contributing sector was industrials while energy was the largest detractor. The top five contributors were Dollar Tree, Mondelez International, Merck & Co., Abbott Laboratories and Waste Management, while the top five detractors were Haliburton, Marathon Oil, Occidental Petroleum, ConocoPhillips and DuPont de Nemours. As of August 31, 2019, MIM’s top ten positions represented 34% of their portfolio.

The portion of the Fund managed by Lyrical trailed the benchmark during the fiscal one year period due to their value style, sector positioning and individual stock selection. The top contributing sector was materials while energy was the largest detractor. The top five contributors were Willis Towers Watson Public Limited,

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of assets whose performance is expected to match approximately the performance of the Russell 1000^® Index. The Fund will be substantially invested in securities in the Russell 1000^® Index, and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the Russell 1000^® Index.

•  Lazard Asset Management, LLC (“Lazard”)

Lazard, an indirect, wholly-owned subsidiary of Lazard Ltd., is known for its global perspective on investing and years of experience with global, regional and domestic portfolios. With more than 300 investment personnel worldwide, Lazard offers investors of all types an array of equity, fixed income, and alternative investment solutions from its network of local offices in ten different countries. Its team-based approach to portfolio management helps Lazard to deliver robust and consistent performance over time, and strong client relationships allow them to understand how to employ their capabilities to its clients’ advantage. Lazard manages an all cap, concentrated strategy designed to leverage the best collection of ideas from the U.S. Equity team. It is benchmark-agnostic, seeking to outperform any broad-based market index (i.e., S&P 500^® Index, Russell 1000^® Index, Russell 3000^® Index) by investing in companies that compound earnings and capital and by taking advantage of valuation anomalies.

•  Delaware Investments Fund Advisers, a member of Macquarie Investment Management Business Trust (“MIM”)

MIM will invest under normal circumstances, at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in securities of large-capitalization companies. MIM invests primarily in securities of largecapitalization companies that the Manager believes have long-term capital appreciation potential. MIM currently defines large-capitalization stocks as those with market capitalizations of $5 billion or greater at the time of purchase. Typically, the Manager seeks to select securities that it believes are undervalued in relation to their intrinsic value, as indicated by multiple factors, including the earnings and cash flow potential or the asset value of the respective issuers. The Manager also considers a company’s plans for future operations on a selective basis. The Manager may sell a security if it no longer believes the security will contribute to meeting the investment objective of the Fund.

•  Lyrical Asset Management LP (“Lyrical”)

Lyrical employs a deep value style with a high quality focus. Lyrical employs a value investing philosophy and believes that a portfolio of companies with low valuations relative to their longterm normalized earnings power will outperform the overall market over time and unlike some traditional value investors who

Assurant, Broadcom, Microchip Technology and Crown Holdings, while the top five detractors were Qurate Retail Group, National Oilwell Varco, EOG Resources, Suncor Energy and CommScope Holding. As of August 31, 2019, Lyrical’s top ten positions represented 54% of their portfolio.

The portion of the Fund managed by ClearBridge outperformed the benchmark during the fiscal one year period due to their growth style and stock selection. Sector positioning had a neutral impact on performance. Positioning was strongest within materials and weakest within energy. The top five contributors were Chipotle Mexican Grill, Zoetis, Microsoft, Visa and Red Hat, while the top five detractors were Amazon, Schlumberger, Charles Schwab, Biogen and Apple. As of August 31, 2019, ClearBridge’s top ten positions represented 37% of their portfolio.

The portion of the Fund managed by Columbia underperformed the benchmark during the fiscal one year period due to a combination of sector allocation and stock selection. Positioning was strongest within consumer discretionary and weakest within information technology. The top five contributors were New Oriental Education & Technology, MercadoLibre, Exact Sciences, Edwards Lifesciences and ServiceNow, while the top five detractors were Activision Blizzard, Canada Goose Holdings, Charles Schwab, Illumina and NVIDIA. As of August 31, 2019, Columbia’s top ten positons represented 41% of their portfolio.

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are willing to own any business at the right price, Lyrical’s philosophy is to invest only in businesses that it believes are of good quality. Lyrical invests only in the common stock of companies within its investable universe, which is the top 1,000 U.S. listed stocks by market capitalization.

The following graph depicts the performance of Russell 1000^® Indexⁱⁱ vs. the Lipper Large-Cap Core Funds Average^xxiii

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2019

LARGE CAP EQUITY FUND

Comparison of $10,000 Investment in the Fund with the Russell 1000^® Index
and the Lipper Large-Cap Core Funds Average

The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

LARGE CAP EQUITY FUND Average Annual Total Returns for the Period Ended August 31, 2019†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			Russell 1000® Index**			Lipper Large-Cap Core Funds Average**
Since inception 11/18/1991		8.39	%		6.24	%		9.83	%		9.29	%
10 years		12.85			10.64			13.49			12.15
5 years		8.92			6.79			9.85			8.76
3 years		11.11			8.94			12.57			11.56
1 year		1.32			(0.67	)		2.49			2.37

See pages 25 through 28 for all footnotes.

3

Small-Mid Cap Equity Fund

ABOUT THE SUB-ADVISERS

•  Neuberger Berman Investment Advisers LLC (“Neuberger”)

Neuberger employs in-depth research to identify out-of-favor small cap companies selling at a significant discount to intrinsic value, where there is a dynamic plan or event that is expected to both enhance value and narrow the price/value gap. Neuberger’s analysts seek to invest when there is a true disconnect between reality and market perception — something that occurs regularly in particular types of companies. For example, we believe the market tends to demonstrate inefficiency in pricing companies with complex corporate structures since many investors will not take the time to understand them. Neuberger’s valuation approach resembles the due diligence effort that Neuberger’s a private equity firm might employ to evaluate the purchase of an entire company. Neuberger’s analysts also focus on investing in businesses where management has a significant ownership stake as, in our view, such companies tend to be more aligned with shareholders’ interests.

•  Westfield Capital Management Company, L.P. (“Westfield”)

Westfield favors investing in earnings growth stocks given a conviction that stock prices follow earnings progress and that they offer the best opportunity for superior real rates of return. Reasonably priced stocks of companies with high foreseen earnings potential are best identified through in-depth, fundamental research. It is Westfield’s belief that the small capitalization portion of the market is under-researched, and therefore less efficient, than the large capitalization sector.

•  BlackRock Financial Management, Inc. (“BlackRock”)

BlackRock Financial Management, Inc. employs a “passive” management approach, attempting to invest in a portfolio of assets whose performance is expected to match approximately the performance of the Russell 2500^® Index. The Fund will be substantially invested in securities in the Russell 2500^® Index, and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the Russell 2500^® Index.

As of August 31, 2019, the Sub-advisers for the Morgan Stanley Pathway Small-Mid Cap Equity (“Fund”) were BlackRock Financial Management, Inc. (“BlackRock”), Aristotle Capital Boston, LLC (“Aristotle”), D.F. Dent & Company, Inc. (“DF Dent”), Neuberger Berman Investment Advisers LLC (“Neuberger”), Nuance Investments, LLC (“Nuance”) and Westfield Capital Management Company, L.P. (“Westfield”). Aristotle, DF Dent and Nuance were hired on May 20, 2019 to replace Frontier Capital Management Co., LLC (“Frontier”), Hahn Capital Management LLC (“Hahn”) and Rutabaga Capital Management LLC (“Rutabaga”).

For the fiscal year ending August 31, 2019, the Fund returned -6.25% compared to the Russell 2500^® Index^v return of -7.14%. Positioning within information technology and materials contributed the most to relative performance while utilities and financials were the largest detractors. Top contributors included HEICO, Euronet Worldwide, Ciena, Keysight Technologies and TESARO, while the top detractors included Key Energy Services, Amneal Pharmaceuticals, Cornerstone Building Brands, Conduent and the iShares^® Russell 2000 Value ETF.

The Fund’s yield was 1.29%, less than the benchmark’s 1.69% yield. The Fund’s forward P/E was 17.3, higher than the benchmark which was 16.7. The estimated earnings per share growth over the next 3-5 years is 12.1, slightly less than the benchmark’s 12.5% growth rate. The top 10 positions accounted for 6% of the fund’s holdings and included WABCO Holdings, Reinsurance Group of America, Equity Commonwealth, Tyler Technologies, Verisk Analytics, Sanderson Farms, Charles River Laboratories International, Ecolab, Markel Corp. and Ciena Corp.

During the fiscal one year period, BlackRock performed in-line with the Russell 2500^® index^v, which matched its passive mandate to track the index.

The portion of the Fund managed by Neuberger outperformed the benchmark during the fiscal one year period. Sector positioning had a neutral impact, while stock selection contributed to relative performance. The top contributing sector was information technology while real estate was the largest detractor. The top five contributors were Ciena, Mellano Technologies, Cypress Semiconductor, Crown Holdings and ARRIS International, while the top five detractors were Party City Holdco, Amneal Pharmaceuticals, Conduent, Cloudera and Unisys Corp. As of August 31, 2019, Neuberger’s top ten positions represented 29% of their portfolio.

The portion of the Fund managed by Westfield outperformed the benchmark during the fiscal one year period. Sector positioning had a negative impact, while stock selection contributed to relative performance. The top contributing sector was health care while energy was the largest detractor. The top five contributors were TopBuild, HEICO, Fair Isaac, Acacia Communications and Tableau Software, while the top five detractors were Frontdoor, PBF Energy, WPX Energy, Centennial Resource Development and Ironwood Pharmaceuticals. As of August 31, 2019, Westfield’s top ten positions represented 25% of their portfolio.

Aristotle began managing their portion of the Fund on May 20, 2019. Since their inception, sector allocation had a positive impact on relative performance, but stock selection detracted. The top contributing sector was industrials while consumer staples were the largest detractor. The top five contributors were Chemed, HEICO, FTI Consulting, Genesee & Wyoming and Itron, while the top five detractors were Herbalife Nutrition, QEP Resources, Range Resources, Merit Medical Systems and Harsco. As of August 31, 2019, Aristotle’s top ten positions represented 21% of their portfolio.

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•  D.F. Dent & Company, Inc (“DF Dent”)

DF Dent employs a bottom-up, fundamental process that seeks companies that are consistent growers, have strong management and are unrecognized and under-researched. The strategy looks for companies with above-average EPS growth expectations, high returns on investment, sustainable free cash flow growth, a competitive advantage and attractive relative valuations.

•  Nuance Investments, LLC (“Nuance”)

Nuance seeks to invest in companies with leading and sustainable market share positions and above-average financial strength that are trading at discounts to Nuance’s calculation of intrinsic value. Through analysis of companies’ financial statements, management strategy, and competitive positioning, Nuance attempts to provide excess returns over time.

•  Aristotle Capital Boston, LLC (“Aristotle”)

Aristotle seeks to deliver a diversified, high quality portfolio that can deliver attractive risk-adjusted results primarily driven by stock selection. They focus on companies they believe have low expectations, can create shareholder value, and have high potential for improved growth and profitability.

DF Dent began managing their portion of the Fund on May 20, 2019. Since their inception, sector allocation and stock selection added to relative performance. The top contributing sector was real estate, while energy was the largest detractor. The top five contributors were TransDigm Group, Verisk Analytics, PROS Holdings, Tyler Technologies and SBA Communications, while the top five detractors were Core Laboratories, Illumina, Healthcare Services Group, Envestnet and Brooks Automation. As of August 31, 2019, DF Dent’s top ten positions represented 45% of their portfolio.

Nuance began managing their portion of the Fund on May 20, 2019. Since their inception, sector allocation had a positive impact on relative performance, while stock selection slightly detracted. The top contributing sector was energy, mainly due to their underweight, while financials was the largest detractor. The top five contributors were Globus Medical, Smith & Nephew PLC, Lindsay, Equity Commonwealth and Aqua America Inc., while the top five detractors were Unum Group, Charles Schwab, TD Ameritrade, ICU Medical and the iShares^® Russell 2000 Value ETF. As of August 31, 2019, Nuance’s top ten positions represented 44% of their portfolio.

5

The following graph depicts performance of Russell 2500^® Index^v vs. Lipper Small-Cap Core Funds Average^xxiv

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2019

SMALL-MID CAP EQUITY FUND

Comparison of $10,000 Investment in the Fund with the Russell 2500^® Index
and the Lipper Small-Cap Core Funds Average

The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

SMALL-MID CAP EQUITY FUND Average Annual Total Returns for the Period Ended August 31, 2019†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			Russell 2500® Index**			Lipper Small-Cap Core Funds Average**
Since inception 11/18/1991		8.91	%		6.73	%		10.58	%		10.24	%
10 years		11.68			9.48			12.65			10.91
5 years		5.87			3.78			7.06			5.18
3 years		9.45			7.30			9.04			6.26
1 year		(6.25	)		(8.10	)		(7.14	)		(12.00	)

See pages 25 through 28 for all footnotes.

6

International Equity Fund

ABOUT THE SUB-ADVISERS

•  Victory Capital Management, Inc. (“Victory Capital”)

Victory Capital’s investment franchise, Trivalent Investments, employs a bottom-up investment approach that emphasizes individual stock selection. The investment process uses a combination of quantitative and traditional qualitative, fundamental analysis to identify stocks with low relative price multiples and positive trends in earnings forecasts. The stock selection process is designed to produce a diversified portfolio that, relative to the S&P Developed ex-U.S. Small Cap Index, tends to have a belowaverage price-to-earnings ratio and an aboveaverage earnings growth trend.

•  Wellington Management Company LLP (“Wellington”)

Tracing our history to 1928, Wellington is one of the world’s largest independent investment management firms. With over US$1 trillion in assets under management as of 30 June 2018, we serve as a trusted investment adviser to more than 2,200 institutional clients and mutual fund sponsors in over 60 countries. Our comprehensive investment capabilities are built on the strength of rigorous, proprietary research and span nearly all segments of the global capital markets, including equity, fixed income, multi-asset, and alternative strategies. As a private partnership whose sole business is investment management, our long-term views and interests are aligned with those of our clients. Our commitment to investment excellence is evidenced by our significant presence and long-term track records in nearly all sectors of the global securities markets.

•  Causeway Capital Management LLC (“Causeway”)

Causeway’s international developed market investment philosophy is based on a long-term value strategy and the investment team applies an active, bottom-up, research-intensive approach towards stock selection. Causeway’s investment approach seeks to identify under-priced stocks of high quality companies believed to be exhibiting superior financial strength as compared to peers. In addition to fundamental analysis, quantitative research is considered an integral part of the process and is used for screenings of investment candidates as well as risk management. Portfolio managers work as a team to make investment decisions and are supported by the firm’s dedicated fundamental and quantitative research analysts. Analysts and portfolio managers are assigned global industryspecific research responsibilities. Fundamental research is further organized

As of August 31, 2019, the Sub-advisers for the Morgan Stanley Pathway International Equity Fund (“Fund”) were BlackRock Financial Management, Inc. (“BlackRock”), Causeway Capital Management, LLC (“Causeway”), OppenheimerFunds, Inc. (“OFI”), Schroder Investment Management North America, Inc. (“Schroders”), Victory Capital Management, Inc. (“Victory Capital”) and Wellington Management Company LLP (“Wellington”).

For the fiscal year ending August 31, 2019, the Fund returned -6.34% compared to the MSCI EAFE^® Index (Net)^ix return of -3.26%. The Fund’s relative country selection detracted slightly from performance while individual stock selection within those countries was the main detractor. Overall positioning was strongest in Brazil and weakest in Switzerland. The top five positions contributing to performance included Nestle, Novartis, AstraZeneca, Roche Holdings and Gold Fields Limited, while the top five detractors were Baidu, Encana, Total SA, Prudential PLC and Infineon Technologies.

The Fund’s holdings offered a dividend yield of 3.2% compared to the benchmark of 3.4%. On a valuation basis, the Fund’s forward P/E was 13.2, less than the benchmark which was 13.8. The estimated earnings per share growth over the next 3-5 years is 9.9%, compared to the benchmark of 8.1%. The top ten individual positions by weight accounted for 11% of the Fund and included Total SA, Roche Holdings, Nestle, SAP SE, Takeda Pharmaceutical, Novartis, Royal Dutch Shell, Prudential, BP and UniCredit.

During the fiscal one year period, BlackRock performed in-line with the MSCI EAFE^® Index (Net)^ix, which matched its passive mandate to track the index.

The portion of the Fund managed by Causeway underperformed the Fund’s benchmark during the fiscal one year period. Detractors included country and individual security positioning along with their value bias. Overall positioning was strongest in Germany and weakest in the United Kingdom. The top five positions contributing to performance included Novartis, AstraZeneca, Cobham, Linde PLC and Linde AG TEMP, while the top five detractors included Baidu, British American Tobacco, Encana, Prudential and BASF. As of August 31, 2019, Causeway’s top ten positions represented 33% of their portfolio.

The portion of the Fund managed by OFI underperformed the Fund’s benchmark during the fiscal one year period. Country allocation contributed to relative performance while security selection within those countries detracted. Overall positioning was strongest in Japan and weakest in Switzerland. The top five positions contributing to performance included Alimentation Couche-Tard, ICICI Bank Limited, HOYA Corp., Edenred and EPAM Systems, while the top five detractors included Baidu, Valeo, Carnival, Infineon Technologies and AMS AG. As of August 31, 2019, OFI’s top ten positions represented 22% of their portfolio.

The portion of the Fund managed by Schroders outperformed the Fund’s benchmark during the fiscal one year period. Country allocation contributed to relative performance along with their growth bias, while individual security selection detracted somewhat. Overall positioning was strongest in Japan and weakest in Norway. The top five positions contributing to performance were Nestle, Diageo, B3 SA, Novartis and Smith & Nephew, while the top five detractors included

7

into six research clusters: financials/materials, consumer, industrial/ manufacturing, energy, technology and health care. Causeway’s unconstrained, international established market value equity approach invests in a variety of market capitalization ranges, but primarily in large- and midcapitalization non-U.S. developed market companies. Causeway can also invest in smallcap issues and less developed emerging markets. Value-driven security characteristics may include low price/earnings ratio, low price/ book ratio, low price/cash flow ratio and high dividend yield, but may also include outof- favor companies that may have high rates of growth of earnings. Sector and regional weights are byproducts of the investment process.

•  BlackRock Financial Management, Inc. (“BlackRock”)

BlackRock Financial Management, Inc. employs a “passive” management approach, attempting to invest in a portfolio of assets whose performance is expected to match approximately the performance of the MSCI EAFE^® Index (Net). The Fund will be substantially invested in securities in the MSCI EAFE^® Index (Net), and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the MSCI EAFE^® Index (Net).

•  OppenheimerFunds, Inc. (“OFI”)

OFI’s Global Equity team seeks to generate alpha through high conviction decisions driven by fundamental bottom-up analysis. Several secular growth themes are used as a way to focus attention on segments of the global marketplace that may grow faster than world GDP. The team’s investment process is driven by a number of very powerful, longterm economic, demographic and technological forces summarized as MANTRA^® — Mass Affluence, New Technologies, Restructuring and Aging. The portfolio managers utilize a bottom-up, fundamental investment approach, and seek to invest initially in high-quality companies that are temporarily out of favor; trading at attractive valuations; and which demonstrate sustainable, above-average growth potential over a three- to five-year time horizon. The process is indexagnostic, searching for companies with high growth rates and high quality balance sheets with minimal focus with respect to region or country, sector or security.

•  Schroder Investment Management North America, Inc. (“Schroders”)

Schroders uses a bottom-up growth oriented approach towards stock selection and employs a fundamental, research driven process to identify quality growth companies with attractive medium-term growth and valuation, quality management and financial position, and a sustainable competitive advantage. Schroders “best ideas” portfolio blends both core and opportunistic holdings.

Samsonite International, Total SA, Tenaris, Prudential and Norsk Hydro ASA. As of August 31, 2019, Schroders top ten positions represented 23% of their portfolio.

The portion of the Fund managed by Wellington underperformed the Fund’s benchmark during the fiscal one year period. Country allocation contributed to relative performance while their value bias and individual security selection detracted. Overall positioning was strongest in South Africa and weakest in Japan. The top five positions contributing to performance included Gazprom, Gold Fields Limited, Barrick Gold, Impala Platinum Holdings and Anglo American Platinum, while the top five detractors included J Sainsbury, CaixaBank, T&D Holdings, UBS Group and Centrica. As of August 31, 2019, Wellington’s top ten positions represented 21% of their portfolio.

The portion of the Fund managed by Victory Capital underperformed the Fund’s benchmark during the fiscal one year period. Their small cap bias along with weak country allocation and stock selection were the key detractors to relative performance. Overall positioning was strongest in Canada and weakest in Switzerland. The top five positions contributing to performance included Swiss Life Holding, Carl Zeiss Meditec, Kirkland Lake Gold, Northern Star Resources and Charter Hall Group, while the top five detractors included Canada Goose Holdings, Tamarack Valley Energy, Gran Tierra Energy, Georg Fischer and UT Group Co. As of August 31, 2019, Victory Capital’s top ten positions represented 12% of their portfolio.

8

The following graph depicts the performance of MSCI EAFE^® Index (Net)^ix vs. the Lipper International Large-Cap Core Funds Average^xxv

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2019

INTERNATIONAL EQUITY FUND

Comparison of $10,000 Investment in the Fund with the Morgan Stanley Capital International Europe, Australasia, Far
East (MSCI EAFE^®) Index (Net) and the Lipper International Large-Cap Core Funds Average

The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

INTERNATIONAL EQUITY FUND Average Annual Total Returns for the Period Ended August 31, 2019†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			MSCI EAFE® Index (Net)**			Lipper International Large-Cap Core Funds Average**
Since inception 11/18/1991		5.04	%		2.89	%		4.97	%		6.34	%
10 years		4.50			2.46			5.00			4.03
5 years		1.27			(0.72	)		1.89			0.14
3 years		4.55			2.50			5.91			4.58
1 year		(6.34	)		(8.20	)		(3.26	)		(5.03	)

See pages 25 through 28 for all footnotes.

9

Emerging Markets Equity Fund

ABOUT THE SUB-ADVISERS

•  Van Eck Associates Corporation (“VanEck”)

VanEck is privately held global asset management firm founded in 1955. VanEck’s mission is to develop and offer investors forward-looking, intelligently designed investment strategies that strengthen a longterm portfolio. VanEck’s Emerging Markets Equity Strategy (“Strategy”) seeks long-term competitive risk-adjusted returns through investments that demonstrate structural growth at a reasonable price. The Strategy seeks to uncover structural growth opportunities wherever they exist within emerging markets, and employs a fundamentally driven stock selection and research process with the flexibility to invest across the market capitalization spectrum.

•  BlackRock Financial Management, Inc. (“BlackRock”)

BlackRock Financial Management, Inc. employs a “passive” management approach, attempting to invest in a portfolio of assets whose performance is expected to match approximately the performance of the MSCI Emerging Market Index (Net). The Fund will be substantially invested in securities in the MSCI Emerging Market Index (Net), and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the MSCI Emerging Market Index (Net).

•  Lazard Asset Management LLC (“Lazard”)

Lazard, an indirect, wholly-owned subsidiary of Lazard Ltd., is known for its global perspective on investing and years of experience with global, regional and domestic portfolios. With more than 300 investment personnel worldwide, Lazard offers investors of all types an array of equity, fixed income, and alternative investment solutions from its network of local offices in ten different countries. Its team-based approach to portfolio management helps Lazard to deliver robust and consistent performance over time, and strong client relationships allow them to understand how to employ their capabilities to its clients’ advantage.

Lazard manages a relative value strategy (“Value Strategy”) and invests primarily in equity securities, principally common stocks, of non-U.S. companies whose principal activities are located in emerging or developing market countries. In the Value

As of August 31, 2019, the Sub-advisers for the Morgan Stanley Pathway Emerging Markets Equity Fund (“Fund”) were BlackRock Financial Management, Inc. (“BlackRock”), Van Eck Associates Corporation (“VanEck”) and Lazard Asset Management LLC (“Lazard”).

For the fiscal year ending August 31, 2019, the Fund returned -0.40% compared to the MSCI Emerging Markets Index (Net)^xii return of -4.36%. The outperformance can be contributed to a combination of strong country allocation and stock selection. Overall positioning was strongest in China and weakest in Russia. The top five positions contributing to performance included Kweichow Moutai Co., Yihai International Holding, Banco do Brasil, Ping An Insurance (Group) Company and Movida Participacoes, while the top five detractors included Baidu, China Construction Bank, Samsung Electronics Co LTD, AAC Technologies Holdings and Samsung Electronics Co, Ltd Preferred.

The Fund’s holdings offered a dividend yield of 2.6%, less than the MSCI Emerging Market’s Index (Net)^xii yield of 2.9%. On a valuation basis, the Fund’s forward P/E was 13.0 compared to the benchmark which was 12.6. The estimated earnings per share growth over the next 3-5 years is 11.7%, compared to the benchmark of 11.1%. The top ten individual positions by weight accounted for 22% of the Fund and included Alibaba Group Holding, Tencent Holdings, Samsung Electronics Co LTD, Ping An Insurance (Group) Company, Naspers Limited, Taiwan Semiconductor Manufacturing, China Construction Bank, SK hynix, NetEase and Banco do Brasil.

For the fiscal year ending August 31, 2019 BlackRock performed in-line with the MSCI Emerging Markets Index (Net)^xii, which matched its passive mandate to track the index.

The portion of the Fund managed by VanEck outperformed the Fund’s benchmark during the fiscal one year period. The strategy’s growth bias along with strong country allocation and stock selection contributed to the positive relative performance. Overall positioning was strongest in China and weakest in Brazil. The top five positions contributing to performance included Kweichow Moutai Co, Yihai International Holding, Ping An Insurance (Group) Company, PT Bank Rakyat Indonesia and Movida Participacoes, while the top five detractors included Focus Media Information Technology, CIE Automotive, NMC Health, TaiMed Biologics and Samsung Electronics Co, Ltd Preferred. As of August 31, 2019, VanEck’s top ten positions represented 36% of their portfolio.

The portion of the Fund managed by Lazard outperformed the Fund’s benchmark during the fiscal one year period. Strong country allocation contributed to relative outperformance while stock selection slightly detracted. Overall positioning was strongest in Brazil and weakest in South Africa. The top five positions contributing to performance included NetEase, Gazprom, Banco do Brasil, CCR S.A., and Weichai Power Co., while the top five detractors included Baidu, Shoprite Holdings, YPF SA, AAC Technologies Holdings and Samsung Electronics Co, Ltd. As of August 31, 2019, Lazard’s top ten positions represented 31% of their portfolio.

10

Strategy, assets are invested in companies that are believed to be undervalued based on their earnings, cash flow or asset values. Lazard’s approach consists of an analytical framework, accounting validation, fundamental analysis and portfolio construction parameters and its selection process focuses on growth and considers the sustainability of growth and the tradeoff between valuation and growth.

The following graph depicts the performance of MSCI Emerging Markets Index (Net)^Xii vs. the Lipper Emerging Markets Funds Average^xxvi

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2019

EMERGING MARKETS EQUITY FUND

Comparison of $10,000 Investment in the Fund with the MSCI Emerging Markets Index (Net)
and the Lipper Emerging Markets Funds Average

The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

EMERGING MARKETS EQUITY FUND Average Annual Total Returns for the Period Ended August 31, 2019†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			MSCI Emerging Markets Index (Net)**			Lipper Emerging Markets Funds Average**
Since inception 4/20/1994		4.49	%		2.44	%		N/A			5.63	%
10 years		3.55			1.52			4.07			4.35
5 years		0.65			(1.31	)		0.38			0.28
3 years		5.66			3.61			5.76			5.29
1 year		(0.40	)		(2.37	)		(4.36	)		(2.10	)

See pages 25 through 28 for all footnotes.

11

Core Fixed Income Fund

ABOUT THE SUB-ADVISERS

•  Metropolitan West Asset Management LLC (“MetWest”)

MetWest seeks to achieve consistent outperformance through the measured and diversified application of five fixed income management strategies, including: (i) duration management; (ii) yield curve positioning; (iii) sector allocation; (iv) security selection; and (v) opportunistic execution. Predicated on a long-term economic outlook, MetWest employs a value-oriented approach to managing fixed income that recognizes the periodic inefficient nature of over-the-counter markets and the mean-reverting characteristics of the investable universe.

•  Western Asset Management Company (“Western”)

Western combines traditional analysis with innovative technology applied to all sectors of the market. Western believes inefficiencies exist in the fixed-income market and attempts to add incremental value by exploiting these inefficiencies across all eligible market sectors. The key areas of focus are: (i) sector and subsector allocation; (ii) issue selection; (iii) duration; and (iv) term structure.

•  BlackRock Financial Management, Inc. (“BlackRock”)

BlackRock’s Customized Core strategy employs a fundamental, diversified, relativevalue approach that seeks alpha by strategically allocating among three alpha sources — macro strategies, sector allocation and security selection — based on best and highest information ratio ideas, and aims to provide superior long-term performance relative to the benchmark index by creating a diversified portfolio of investment grade securities. A disciplined and risk-budgeted risk management framework which consists of determining interest rate risk, yield curve risk, cash flow risk, credit risk and liquidity risk of all securities.

As of August 31, 2019, the Sub-advisers for the Morgan Stanley Pathway Core Fixed Income Fund (“Fund”) were Metropolitan West Asset Management LLC (“MetWest”), Western Asset Management Company (“Western”) and BlackRock Financial Management, Inc. (“BlackRock”).

For the fiscal year ending August 31, 2019, the Fund returned 10.39% compared its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index^TM Index^xvi which returned 10.17%.

The portion of the Fund managed by MetWest outperformed the Fund’s benchmark during the fiscal one year period. Benefiting portfolio returns was a longer duration profile, which, amid softer rates, has been reduced to slightly short the Index near the end of the period. The underweight to corporates further contributed as yield premiums increased given the aforementioned macro volatility, particularly in lower quality and those industries with more market risk such as energy and basic industry, while issue selection favoring communications and real estate investment trusts (REITS) was also beneficial. However, a modest drag came from the underweight to non-U.S. sovereigns as yield spreads compressed amid accommodative language from global central bankers. With regards to the allocation to securitized products, agency mortgage-backed securities (MBS) was a drag, though boosting performance was legacy non-agency MBS, which continued to benefit from favorable demand and shrinking supply. Commercial mortgage-backed securities (CMBS) and asset-backed securities (ABS) added marginally as these outpaced the Index on a duration-adjusted basis. Finally, a small position in Japanese government issued T-bills, with the yen exposure fully hedged out using a dollar-yen cross currency swap, contributed modestly to performance.

The portion of the Fund managed BlackRock underperformed the Fund’s benchmark during the fiscal one year period. Over the past 12 months, the portfolio’s positioning and security selection within investment grade credit and overweight positioning in ABS and CMBS were the primary contributors to performance. This was offset by the portfolio’s duration and yield curve positioning as well as an allocation to TIPS. Overweight positioning in credit notably contributed to performance in the first quarter of 2019, as a more dovish Federal Reserve supported risk assets. In terms of duration positioning, the portfolio moved to an underweight position in March of 2019 and rates have continued to move lower on a more dovish Fed, weaker global data and geopolitical tensions, detracting from performance. The portfolio’s allocation to TIPS also detracted from performance, as geopolitical tensions and weaker energy prices weighed on inflation expectations. As of the end of the period, the portfolio holds an allocation to TIPS as well as overweight positions in securitized products and agency mortgages.

The portion of the Fund managed Western outperformed the Fund’s benchmark during the fiscal one year period. Duration and yield curve positioning, in aggregate, was the largest positive contributor to performance. The strategy’s duration posture and yield curve positioning shifted throughout the period in response to the changing macro environment and benefited as rates ultimately fell from the period beginning to end. Corporate bond exposures, including investment-grade and high-yield credit, benefitted performance. While spreads initially widened in late 2018, a meaningful spread tightening during the YTD period was beneficial for the strategy’s

12

The following graph depicts the performance of Bloomberg Barclays U.S. Aggregate Bond^TM Index^xvi vs. the Lipper Core Bond Funds Average^xxvii

overall performance. Emerging market debt detracted, driven largely by local currency positions, given the persistent strength of the U.S. dollar. Structured product positions, in aggregate, were positive for performance as fundamentals in the structured product markets were generally sound.

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2019

CORE FIXED INCOME FUND

Comparison of $10,000 Investment in the Fund with the Bloomberg Barclays Capital U.S. Aggregate Bond^TM Index
and the Lipper Core Bond Funds Average

The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

CORE FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2019†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			Bloomberg Barclays Capital U.S. Aggregate BondTM Index**			Lipper Core Bond Funds Average**
Since inception 11/18/1991		5.40	%		3.31	%		5.65	%		5.50	%
10 years		4.55			2.49			3.91			4.11
5 years		3.38			1.33			3.35			3.02
3 years		3.25			1.20			3.09			2.97
1 year		10.39			8.20			10.17			9.43

See pages 25 through 28 for all footnotes.

13

High Yield Fund

ABOUT THE SUB-ADVISERS

•  Eaton Vance Management (“Eaton Vance”)

Eaton Vance monitors the credit quality of securities held by the Fund and other securities available to the Fund. Although Eaton Vance considers security ratings when making investment decisions, it performs its own credit and investment analysis utilizing various methodologies including “bottom up/ top down” analysis and consideration of macroeconomic and technical factors, and does not rely primarily on the ratings assigned by the rating services. Eaton Vance attempts to improve yield and preserve and enhance principal value through timely trading. Eaton Vance also considers the relative value of securities in the marketplace in making investment decisions.

•  Western Asset Management Company (“Western”)

Western combines traditional analysis with innovative technology applied to all sectors of the market. Western believes inefficiencies exist in the fixed-income market and attempts to add incremental value by exploiting these inefficiencies across all eligible market sectors. The key areas of focus are: (i) sector and subsector allocation; (ii) issue selection; (iii) duration; and (iv) term structure.

As of August 31, 2019, the Sub-advisers for the Morgan Stanley Pathway High Yield Fund (“Fund”) were Western Asset Management Company (“Western”) and Eaton Vance Management (“Eaton Vance”).

For the fiscal year ending August 31, 2019, the Fund returned 5.58% compared to its benchmark, the Bloomberg Barclays U.S. Corporate High Yield Bond Index^xviii which returned 6.56%.

The portion of the Fund managed by Eaton Vance outperformed the Fund’s benchmark during the fiscal one year period. While security selection was positive over this period, sector selection was modestly negative. Credit selection in the energy sector led performance relative to the Index; however, this was partially offset by adverse credit selection in the technology sector. Meanwhile an overweight in the outperforming environmental sector aided relative performance, but underweights in cable/satellite TV and banks & thrifts were detrimental to relative performance. At the end of the period, Eaton Vance was overweight the energy, utility and environmental sectors and underweight the homebuilders & real estate and telecommunications sectors.

The portion of the Fund managed by Western underperformed the Fund’s benchmark during the fiscal one year period. Asset class allocation detracted from relative performance given opportunistic exposure to bank loans, which generally underperformed high-yield. Rating positioning aided relative performance given the strategy’s underweight to CCCs, which underperformed higher-rated high-yield over the period. Industry allocation detracted from relative performance due in part to an overweight to underperforming energy. Allocation to underperforming sovereign emerging market (EM) positions (e.g., Argentina) also detracted from returns, while an overweight to outperforming financials was additive. Issue selection was overall modestly negative for relative performance. Exposure to underperforming re-organized equity positions in the energy space was the primary driver of underperformance as energy prices declined over the period. Elsewhere, exposure in basic industry underperformed the index while issuer tilts in communications and consumer cyclical outperformed. Duration positioning aided relative performance given an overweight stance as rates fell over the period.

14

The following graph depicts the performance of Bloomberg Barclays U.S. Corporate High Yield Bond Index^xviii vs. the Lipper High Yield Funds Average^xxviii

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2019

HIGH YIELD FUND

Comparison of $10,000 Investment in the Fund with the Bloomberg Barclays U.S. Corporate High Yield Bond Index
and the Lipper High Yield Funds Average

The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

HIGH YIELD FUND Average Annual Total Returns for the Period Ended August 31, 2019†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			Bloomberg Barclays U.S. Corporate High Yield Bond Index**			Lipper High Yield Funds Average**
Since inception 7/13/1998		4.54	%		2.49	%		6.58	%		5.53	%
10 years		7.22			5.12			8.50			7.38
5 years		2.94			0.92			4.85			3.84
3 years		5.79			3.71			6.17			5.36
1 year		5.58			3.51			6.56			5.57

See pages 25 through 28 for all footnotes.

15

International Fixed Income Fund

ABOUT THE SUB-ADVISER

•  Pacific Investment Management Company LLC (“PIMCO”)

PIMCO is a leading global investment management firm, with offices in 11 countries throughout North America, Europe and Asia. Founded in 1971, PIMCO offers a wide range of innovative solutions to help millions of investors worldwide meet their needs. Our goal is to provide attractive returns while maintaining a strong culture of risk management and long-term discipline. PIMCO’s investment philosophy revolves around the principle of diversification. PIMCO believes that no single risk should dominate returns. PIMCO seeks to add value through the use of “top-down” strategies such as our exposure to interest rates, or duration, changing volatility, yield curve positioning and sector rotation. PIMCO also employs “bottom-up” strategies involving analysis and selection of specific securities.

As of August 31, 2019, the Sub-adviser for the Morgan Stanley Pathway International Fixed Income Fund (“Fund”) was Pacific Investment Management Company LLC (“PIMCO”).

For the fiscal year ending August 31, 2019, the Fund returned 10.01% compared to its benchmark, the FTSE Non-USD World Government Bond Index (USD) — Hedged^xxi which returned 12.86%.

PIMCO’s out-of-benchmark exposure to U.S. duration contributed to performance as U.S. rates fell across the curve. However, this was more than offset by yield curve positioning, including a yield curve steepening bias which detracted from performance as the yield curve continued to flatten over the period. Overall, non-U.S. developed market interest rate positioning detracted from performance, including an underweight to Japanese and Italian interest rates as yields in these countries fell. Spread strategies overall detracted from performance during the period. Select exposure to investment grade credit and Agency mortgage-backed securities detracted from performance. A modest allocation to U.S. TIPS also detracted from returns as inflation expectations dipped lower during the period. Lastly, overall currency strategies contributed to performance, including short exposure to the euro which depreciated relative the U.S. dollar and long exposure to the Russian ruble which appreciated relative the U.S. dollar.

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The following graph depicts the performance of the FTSE Non-USD World Government Bond Index (USD) - Hedged^xxi vs. the FTSE Non-USD World Government Bond Index (USD) - Unhedged^xxi and the Lipper International Income Funds Average^xxix

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2019

INTERNATIONAL FIXED INCOME FUND

Comparison of $10,000 Investment in the Fund with the FTSE Non-USD World Government Bond Index (USD) — Hedged,
FTSE Non-USD World Government Bond Index (USD) — Unhedged and the Lipper International Income Funds Average

The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

INTERNATIONAL FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2019†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			FTSE Non- USD WGBI (USD) - Hedged**			FTSE Non-USD WGBI (USD) - Unhedged**			Lipper International Income Funds Average**
Since inception 11/18/1991		5.93	%		3.78	%		6.18	%		5.19	%		5.35	%
10 years		5.11			3.03			4.62			1.58			2.89
5 years		4.56			2.50			5.12			0.70			0.75
3 years		4.34			2.27			4.51			1.48			2.01
1 year		10.01			7.84			12.86			7.33			6.27

See pages 25 through 28 for all footnotes.

17

Municipal Bond Fund

ABOUT THE SUB-ADVISER

•  BlackRock Financial Management, Inc. (“BlackRock”)

BlackRock seeks to build a high quality municipal bond portfolio that offers an attractive level of tax free income and capital preservation while providing stability and consistency throughout full market cycles. By way of comprehensive sector analysis, a rigorous credit review and sophisticated risk management technology, BlackRock’s seasoned portfolio managers strive to capture market inefficiencies.

As of August 31, 2019, the Sub-adviser for the Morgan Stanley Pathway Municipal Bond Fund (“Fund”) was BlackRock Financial Management, Inc. (“BlackRock”). As of February 25, 2019, BlackRock replaced McDonnell Investment Management, LLC as the sole Sub-adviser of the Fund.

For the fiscal year ending August 31, 2019, the Fund returned 8.38% compared to its benchmark, the Bloomberg Barclays U.S. Municipal Bond Index^xx which returned 8.72%.

BlackRock’s positioning since their inception included the following: Curve positioning, particularly overweight exposure to 8-12 and 15-18 year maturities was additive to performance. Overweight exposure to A credits and to Education and Utilities sectors was also additive to performance. Duration management via hedges and underweight exposure to tax backed credits detracted performance. The portfolio’s higher quality investment grade exposure has detracted from performance as BBB credits have outperformed their higher quality peers to date.

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The following graph depicts the performance of the Bloomberg Barclays U.S. Municipal Bond Index^xx vs. the Lipper General & Insured Municipal Debt Funds Average^iv

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2019

MUNICIPAL BOND FUND

Comparison of $10,000 Investment in the Fund with the Bloomberg Barclays U.S. Municipal Bond Index
and the Lipper General & Insured Municipal Debt Funds Average

The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

MUNICIPAL BOND FUND Average Annual Total Returns for the Period Ended August 31, 2019†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			Bloomberg Barclays U.S. Municipal Bond Index**			Lipper General & Insured Municipal Debt Funds Average**
Since inception 11/18/1991		4.76	%		2.65	%		5.50	%		5.07	%
10 years		3.92			1.86			4.62			4.76
5 years		3.22			1.18			3.85			3.70
3 years		2.57			0.53			3.30			3.10
1 year		8.38			6.23			8.72			8.35

See pages 25 through 28 for all footnotes.

19

Inflation-Linked Fixed Income Fund

ABOUT THE SUB-ADVISER

•  Pacific Investment Management Company LLC (“PIMCO”)

PIMCO is a leading global investment management firm, with offices in 11 countries throughout North America, Europe and Asia. Founded in 1971, PIMCO offers a wide range of innovative solutions to help millions of investors worldwide meet their needs. Our goal is to provide attractive returns while maintaining a strong culture of risk management and long-term discipline. PIMCO’s investment philosophy revolves around the principle of diversification. PIMCO believes that no single risk should dominate returns. PIMCO seeks to add value through the use of “top-down” strategies such as our exposure to interest rates, or duration, changing volatility, yield curve positioning and sector rotation. PIMCO also employs “bottom-up” strategies involving analysis and selection of specific securities.

As of August 31, 2019, the Sub-adviser for the Morgan Stanley Pathway Inflation-Linked Fixed Income Fund (“Fund”) was Pacific Investment Management Company LLC (“PIMCO”).

For the fiscal year ending August 31, 2019, the Fund returned 6.42% compared to its benchmark, the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index^xix which returned 7.46%.

An overweight to U.S. duration contributed to performance as U.S. Treasury yields fell over the period. Non-U.S. interest rate strategies detracted from performance, including an underweight to core European and UK rates as yields in these regions fell. An overweight to U.S. breakeven inflation detracted from performance as U.S. breakeven levels dipped lower as market risk sentiment soured. Short exposure to European breakeven inflation contributed to performance as European breakevens underperformed on slowing growth momentum and weak inflationary pressures. Within spread sectors, holdings of select Agency mortgage-backed securities detracted from performance as the sector underperformed like-duration Treasuries. Lastly, tactical exposure to higher carry emerging market currencies contributed to performance.

20

The following graph depicts the performance of the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index^xix vs. the Lipper Inflation Protected Bond Funds Average^vi

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2019
INFLATION-LINKED FIXED INCOME FUND

Comparison of $10,000 Investment in the Fund with the Bloomberg Barclays U.S. Treasury Inflation Protected Securities
(TIPS) Index vs. the Lipper Inflation Protected Bond Funds Average

The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

INFLATION-LINKED FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2019†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index**			Lipper Inflation Protected Bond Funds Average**
Since inception 3/9/2016		2.92	%		1.53	%		3.60	%		2.90	%
10 years		N/A			N/A			3.82			3.05
5 years		N/A			N/A			2.21			1.45
3 years		2.64			0.60			2.87			2.42
1 year		6.42			4.31			7.46			5.50

See pages 25 through 28 for all footnotes.

21

Ultra-Short Term Fixed Income Fund

ABOUT THE SUB-ADVISER

•  Pacific Investment Management Company LLC (“PIMCO”)

PIMCO is a leading global investment management firm, with offices in 11 countries throughout North America, Europe and Asia. Founded in 1971, PIMCO offers a wide range of innovative solutions to help millions of investors worldwide meet their needs. Our goal is to provide attractive returns while maintaining a strong culture of risk management and long-term discipline. PIMCO’s investment philosophy revolves around the principle of diversification. PIMCO believes that no single risk should dominate returns. PIMCO seeks to add value through the use of “top-down” strategies such as our exposure to interest rates, or duration, changing volatility, yield curve positioning and sector rotation. PIMCO also employs “bottom-up” strategies involving analysis and selection of specific securities.

As of August 31, 2019, the Sub-adviser for the Morgan Stanley Pathway Ultra-Short Term Fixed Income Fund (“Fund”) was Pacific Investment Management Company LLC (“PIMCO”).

For the fiscal year ending August 31, 2019, the Fund returned 2.07% compared to its benchmark, the FTSE 3-Month U.S. Treasury Bill Index^xv which returned 2.36%.

Overall interest rate strategies were negative for performance including an underweight to U.S. duration as U.S. Treasury yields fell during the period. Additionally, a focus on short rates detracted from performance as short rates underperformed intermediate and long-end rates during the period. Non-U.S. interest rate strategies contributed to performance, including exposure to core European and Canadian rates as yields in these countries fell over the period. Overall spread sector strategies were positive for performance. An allocation to short-duration investment grade corporate credit added to performance as the sector outperformed like-duration Treasuries. Select holdings of securitized credit, primarily non-Agency mortgage-backed securities, were positive for performance. Overall currency strategies contributed to performance including short exposure to the euro as the euro depreciated relative the U.S. dollar.

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The following graph depicts the performance of the FTSE 3-Month U.S. Treasury Bill Index^xv vs. the Lipper Ultra-Short Obligations Funds Average^xiii

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2019
ULTRA-SHORT TERM FIXED INCOME FUND

Comparison of $10,000 Investment in the Fund with the FTSE 3-Month U.S. Treasury Bill Index vs. the Lipper
Ultra-Short Obligations Funds Average

The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

ULTRA-SHORT TERM FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2019†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			FTSE 3-Month U.S. Treasury Bill Index**			Lipper Ultra- Short Obligations Funds Average**
Since inception 3/9/2016		2.14	%		0.03	%		1.30	%		1.88	%
10 years		N/A			N/A			0.50			1.11
5 years		N/A			N/A			0.92			1.29
3 years		2.10			0.08			1.47			1.84
1 year		2.07			0.05			2.36			2.73

See pages 25 through 28 for all footnotes.

23

Alternative Strategies Fund

ABOUT THE MANAGER

•  Consulting Group Advisory Services, LLC

Consulting Group Advisory Services, LLC is a business of Morgan Stanley Wealth Management (“MSWM”). MSWM is one of the largest financial services firms in the U.S. with branch offices in all 50 states and the District of Columbia. MSWM’s advisory services are provided by its Consulting Group and Wealth Management Investment Resources business units.

During the fiscal one year period ending August 31, 2019, the Morgan Stanley Pathway Alternative Strategies Fund (“Fund”) returned 2.90% compared to its benchmark, the HFRX Global Hedge Fund Index^xxii which returned -1.12%.

Contributing to performance were exposures to strategies including multi-alternatives, non-traditional bond, long-short credit, market neutral and managed futures. Exposure to energy and master limited partnerships were a key detractor.

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2019
ALTERNATIVE STRATEGIES FUND

Comparison of $10,000 Investment in the Fund with the HFRX Global Hedge Fund Index

The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

ALTERNATIVE STRATEGIES FUND Average Annual Total Returns for the Period Ended August 31, 2019†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			HFRX Global Hedge Fund Index
Since inception 2/15/2018		1.24	%		(0.76	)%		(2.55	)%
10 years		N/A			N/A			1.25
5 years		N/A			N/A			0.08
3 years		N/A			N/A			1.97
1 year		2.90			0.87			(1.12	)

See pages 25 through 28 for all footnotes.

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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/wealth-investmentsolutions/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 2.00%.

** Inception returns of the market indices and Lipper investment category averages are calculated from the end of the inception month.

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^® 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.

iii. The U.S. large-cap 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.

iv. 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.

v. 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.

vi. The Lipper Inflation Protected Bond Funds Average — These are equally weighted total returns using all the active funds available within the category. Lipper analytical averages are an average of all funds in the specified investment objective’s universe. Averages include all funds in the group in existence for the period. The number of component funds always changes. Inflation protected bond funds invest primarily in inflation-indexed fixed income securities issued in the United States. Inflation-indexed bonds are fixed income securities that are structured to provide protection against inflation.

vii. The U.S. small-cap 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.

viii. 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.

ix. 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 (Net) consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the

25

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.

x. The MSCI EAFE^® Growth Index captures large and mid-cap securities exhibiting overall growth style characteristics across Developed Markets countries* around the world, excluding the U.S. and Canada. The growth investment style characteristics for index construction are defined using five variables: long-term forward EPS growth rate, short-term forward EPS growth rate, current internal growth rate and long-term historical EPS growth trend and long-term historical sales per share growth trend. Please note that an investor cannot invest directly in an index.

xi. The MSCI EAFE^® Value Index captures large and mid-cap securities exhibiting overall value style characteristics across Developed Markets countries* around the world, excluding the U.S. and Canada. The value investment style characteristics for index construction are defined using three variables: book value to price, 12-month forward earnings to price and dividend yield. Please note that an investor cannot invest directly in an index.

xii. The MSCI Emerging Markets Index (Net) 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 26 emerging market country indexes: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Emirates. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to nonresident 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.

xiii. The Lipper Ultra-Short Obligations Funds Average — These are equally weighted total returns using all the active funds available within the category. Lipper analytical averages are an average of all funds in the specified investment objective’s universe. Averages include all funds in the group in existence for the period. The number of component funds always changes. Ultra short obligations funds invest primarily in investment-grade debt issues or better and maintain a portfolio dollar-weighted average maturity between 91 days and 365 days.

xiv. The MSCI Emerging Markets Value Index (Net) 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 26 emerging market country indexes: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Emirates. The value investment style characteristics for index construction are defined using three variables: book value to price, 12-month forward earnings to price and dividend yield. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to nonresident 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.

xv. The FTSE 3-Month U.S. Treasury Bill Index — Equal dollar amounts of three-month Treasury bills are purchased at the beginning of each of three consecutive months. As each bill matures, all proceeds are rolled over or reinvested in a new three-month bill. The income used to calculate the monthly return is derived by subtracting the original amount invested from the maturity value. The yield curve average is the basis for calculating the return on the index. The index is rebalanced monthly by market capitalization. Please note that an investor cannot invest directly in an index.

26

xvi. The Bloomberg Barclays 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 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.

xvii. The Bloomberg Barclays Global Aggregate Bond Index is a flagship measure of global investment grade debt from twenty-four local currency markets. This multi-currency benchmark includes treasury, government-related, corporate and securitized fixed-rate bonds from both developed and emerging markets issuers. Please note that an investor cannot invest directly in an index.

xviii. The Bloomberg Barclays U.S. 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.

xix. The Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index is an unmanaged market index comprised of all U.S. Treasury Inflation Protected Securities rated investment grade (Baa3/BBB- or better), have at least one year to final maturity, and at least $250 million par amount outstanding. Please note that an investor cannot invest directly in an index.

xx. The Bloomberg Barclays U.S. 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 pre-refunded 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.

xxi. The FTSE Non-USD World Government Bond Index (USD) Hedged and Unhedged are each sub-indices of the FTSE 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.

 xxii. The HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies; including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry. Hedge Fund Research, Inc. (HFR) utilizes a UCITSIII compliant methodology to construct the HFRX Hedge Fund Indices. The methodology is based on defined and predetermined rules and objective criteria to select and rebalance components to maximize representation of the Hedge Fund Universe. HFRX Indices utilize state-of-the-art quantitative techniques and analysis; multi-level screening, cluster analysis, Monte-Carlo simulations and optimization techniques ensure that each Index is a pure representation of its corresponding investment focus.

xxiii. 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.

  xxiv. The 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

27

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.

   xxv. 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 (Net). 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.

xxvi. 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.

xxvii. 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.

xxviii. 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.

  xxix. 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.

28

Fund Expenses

Example

As a shareholder of a Fund, you may incur two types of costs: (1) annual advisory program fees, which may be up to 2.00%; 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 March 1, 2019 and held for the six months ended August 31, 2019.

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 “Expense 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		4.03	%		$	1,000.00		$	1,040.30		0.48	%		$	2.47
Small-Mid Cap Equity Fund		-0.64	%			1,000.00			993.60		0.68	%			3.42
International Equity Fund		-1.86	%			1,000.00			981.40		0.68	%			3.40
Emerging Markets Equity Fund		-1.75	%			1,000.00			982.50		0.82	%			4.10
Core Fixed Income Fund		8.01	%			1,000.00			1,080.10		0.56	%			2.94
High Yield Fund		4.65	%			1,000.00			1,046.50		1.21	%			6.24
International Fixed Income Fund		7.74	%			1,000.00			1,077.40		1.30	%			6.81
Municipal Bond Fund		5.55	%			1,000.00			1,055.50		0.75	%			3.89
Inflation-Linked Fixed Income Fund		6.72	%			1,000.00			1,067.20		1.33	%			6.93
Ultra-Short Term Fixed Income Fund		1.01	%			1,000.00			1,010.10		0.67	%			3.39
Alternative Strategies Fund		4.02	%			1,000.00			1,040.20		0.70	%			3.60

(1) For the six months ended August 31, 2019.

(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 2.00% depending on the particular program through which you invest. 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 expense reimbursements, the total return would have been lower.

(3) Annualized Expense Ratios are based on the most recent 6 months expense ratios, which may differ from expense ratios in the Financial Highlights.

(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 (184 days) in the most recent fiscal half-year, then divided by 365 (to reflect the one-half year period).

29

Fund Expenses

(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		$	1,022.79		0.48	%		$	2.45
Small-Mid Cap Equity Fund		5.00	%			1,000.00			1,021.78		0.68	%			3.47
International Equity Fund		5.00	%			1,000.00			1,021.78		0.68	%			3.47
Emerging Markets Equity Fund		5.00	%			1,000.00			1,021.07		0.82	%			4.18
Core Fixed Income Fund		5.00	%			1,000.00			1,022.38		0.56	%			2.85
High Yield Fund		5.00	%			1,000.00			1,019.11		1.21	%			6.16
International Fixed Income Fund		5.00	%			1,000.00			1,018.65		1.30	%			6.61
Municipal Bond Fund		5.00	%			1,000.00			1,021.42		0.75	%			3.82
Inflation-Linked Fixed Income Fund		5.00	%			1,000.00			1,018.50		1.33	%			6.77
Ultra-Short Term Fixed Income Fund		5.00	%			1,000.00			1,021.83		0.67	%			3.41
Alternative Strategies Fund		5.00	%			1,000.00			1,021.68		0.70	%			3.57

(1) For the six months ended August 31, 2019.

(2) Annualized Expense Ratios are based on the most recent 6 months expense ratios, which may differ from net expense ratios in the Financial Highlights.

(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 (184 days) in the most recent fiscal half-year, then divided 365 (to reflect the one-half year period).

30

Schedules of Investments

August 31, 2019

Large Cap Equity Fund
Shares/Units		Security	Value
	COMMON STOCKS — 95.2%
	COMMUNICATION SERVICES — 8.8%
	Diversified Telecommunication Services — 2.0%
	461,364	AT&T Inc.	$	16,267,695
	31,941	CenturyLink Inc.		363,488
	2,907	GCI Liberty Inc., Class A Shares*		180,932
	252,874	Verizon Communications Inc.		14,707,152
	6,622	Zayo Group Holdings Inc.*		222,896
		Total Diversified Telecommunication Services		31,742,163
	Entertainment — 1.7%
	89,567	Activision Blizzard Inc.		4,532,090
	3,132	Cinemark Holdings Inc.		119,517
	44,506	Electronic Arts Inc.*		4,169,322
	736	Liberty Media Corp-Liberty Formula One, Class A Shares*		29,138
	5,789	Liberty Media Corp-Liberty Formula One, Class C Shares*		241,633
	1,492	Lions Gate Entertainment Corp., Class A Shares		13,473
	3,040	Lions Gate Entertainment Corp., Class B Shares		25,354
	3,783	Live Nation Entertainment Inc.*		262,956
	549	Madison Square Garden Co. (The), Class A Shares*		138,529
	12,372	Netflix Inc.*		3,634,275
	3,461	Spotify Technology SA*		467,062
	3,292	Take-Two Interactive Software Inc.*		434,445
	304	Viacom Inc., Class A Shares		8,290
	10,379	Viacom Inc., Class B Shares		259,268
	92,259	Walt Disney Co. (The)		12,663,471
	1,268	World Wrestling Entertainment Inc., Class A Shares		90,573
	25,107	Zynga Inc., Class A Shares*		143,361
		Total Entertainment		27,232,757
	Interactive Media & Services — 4.0%
	17,769	Alphabet Inc., Class A Shares*		21,154,527
	12,314	Alphabet Inc., Class C Shares*		14,630,263
	128,636	Facebook Inc., Class A Shares*		23,883,846
	2,180	IAC/InterActiveCorp.*		555,115
	1,592	Match Group Inc.(a)		135,002
	3,112	TripAdvisor Inc.*		118,225
	22,092	Twitter Inc.*		942,224
	1,686	Zillow Group Inc., Class A Shares*		57,611
	3,679	Zillow Group Inc., Class C Shares*(a)		126,668
		Total Interactive Media & Services		61,603,481
	Media — 1.0%
	9,722	Altice USA Inc., Class A Shares*		280,771
	1,285	AMC Networks Inc., Class A Shares*		62,323
	126	Cable One Inc.		163,500
	9,702	CBS Corp., Class B Shares		408,066
	4,687	Charter Communications Inc., Class A Shares*		1,919,748
	195,933	Comcast Corp., Class A Shares		8,671,995
	4,573	Discovery Inc., Class A Shares*		126,215
	10,238	Discovery Inc., Class C Shares*		266,495
	6,610	DISH Network Corp., Class A Shares*		221,832
	10,291	Fox Corp., Class A Shares		341,352
	4,804	Fox Corp., Class B Shares		157,571
	11,304	Interpublic Group of Cos., Inc. (The)		224,724
	1,295	John Wiley & Sons Inc., Class A Shares		57,628
	727	Liberty Broadband Corp., Class A Shares*		76,153

See Notes to Financial Statements.

31

Schedules of Investments

(continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	COMMUNICATION SERVICES — 8.8% — (continued)
	Media — 1.0% (continued)
	3,093	Liberty Broadband Corp., Class C Shares*	$	326,126
	2,474	Liberty Media Corp-Liberty SiriusXM, Class A Shares*		100,172
	4,618	Liberty Media Corp-Liberty SiriusXM, Class C Shares*		188,461
	4,670	New York Times Co. (The), Class A Shares		136,364
	11,011	News Corp., Class A Shares		151,401
	3,589	News Corp., Class B Shares		50,820
	1,279	Nexstar Media Group Inc., Class A Shares		126,480
	6,401	Omnicom Group Inc.		486,860
	1,765	Sinclair Broadcast Group Inc., Class A Shares		78,666
	41,549	Sirius XM Holdings Inc.(a)		256,357
	2,508	Tribune Media Co., Class A Shares		116,823
		Total Media		14,996,903
	Wireless Telecommunication Services — 0.1%
	16,611	Sprint Corp.*		112,789
	2,906	Telephone & Data Systems Inc.		73,231
	9,183	T-Mobile US Inc.*		716,733
	446	United States Cellular Corp.*		16,052
		Total Wireless Telecommunication Services		918,805
		TOTAL COMMUNICATION SERVICES		136,494,109
	CONSUMER DISCRETIONARY — 10.3%
	Auto Components — 0.4%
	33,210	Adient PLC		669,846
	50,127	Aptiv PLC		4,169,063
	6,111	BorgWarner Inc.		199,402
	7,490	Gentex Corp.		199,234
	92,970	Goodyear Tire & Rubber Co. (The)		1,066,366
	1,824	Lear Corp.		204,762
	19,699	Tenneco Inc., Class A Shares		171,775
		Total Auto Components		6,680,448
	Automobiles — 0.2%
	114,804	Ford Motor Co.		1,052,753
	36,434	General Motors Co.		1,351,337
	4,527	Harley-Davidson Inc.		144,411
	4,126	Tesla Inc.*(a)		930,867
	1,451	Thor Industries Inc.		66,615
		Total Automobiles		3,545,983
	Distributors — 0.1%
	4,124	Genuine Parts Co.		372,356
	9,268	LKQ Corp.*		243,471
	1,140	Pool Corp.		223,873
		Total Distributors		839,700
	Diversified Consumer Services — 0.3%
	1,684	Bright Horizons Family Solutions Inc.*		277,944
	2,539	frontdoor Inc.*		130,352
	127	Graham Holdings Co., Class B Shares		89,416
	1,391	Grand Canyon Education Inc.*		174,710
	5,971	H&R Block Inc.		144,618
	30,268	New Oriental Education & Technology Group Inc., ADR*		3,432,391
	5,158	Service Corp. International		238,815
	3,996	ServiceMaster Global Holdings Inc.*		227,932
		Total Diversified Consumer Services		4,716,178

See Notes to Financial Statements.

32

Schedules of Investments

(continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 10.3% — (continued)
	Hotels, Restaurants & Leisure — 1.4%
	6,921	Aramark	$	282,792
	16,533	Caesars Entertainment Corp.*		190,295
	11,680	Carnival Corp.		514,854
	3,490	Chipotle Mexican Grill Inc., Class A Shares*		2,926,086
	983	Choice Hotels International Inc.		89,433
	3,610	Darden Restaurants Inc.		436,738
	1,214	Domino’s Pizza Inc.		275,384
	2,281	Dunkin’ Brands Group Inc.		188,046
	5,326	Extended Stay America Inc.		74,830
	2,633	Hilton Grand Vacations Inc.*		88,916
	8,351	Hilton Worldwide Holdings Inc.		771,382
	1,118	Hyatt Hotels Corp., Class A Shares		80,664
	3,112	International Game Technology PLC		37,282
	9,993	Las Vegas Sands Corp.		554,312
	8,143	Marriott International Inc., Class A Shares		1,026,506
	22,540	McDonald’s Corp.		4,913,044
	15,249	MGM Resorts International		427,887
	6,358	Norwegian Cruise Line Holdings Ltd.*		322,668
	24,774	Planet Fitness Inc., Class A Shares*		1,749,292
	5,050	Royal Caribbean Cruises Ltd.		526,614
	2,187	Six Flags Entertainment Corp.		129,405
	35,568	Starbucks Corp.		3,434,446
	1,178	Vail Resorts Inc.		278,338
	5,249	Wendy’s Co. (The)		115,478
	2,708	Wyndham Destinations Inc.		120,073
	2,835	Wyndham Hotels & Resorts Inc.		145,662
	2,898	Wynn Resorts Ltd.		319,215
	10,621	Yum China Holdings Inc.		482,512
	8,985	Yum! Brands Inc.		1,049,268
		Total Hotels, Restaurants & Leisure		21,551,422
	Household Durables — 0.4%
	9,976	DR Horton Inc.		493,513
	4,185	Garmin Ltd.		341,370
	3,928	Leggett & Platt Inc.		146,082
	8,240	Lennar Corp., Class A Shares		420,240
	460	Lennar Corp., Class B Shares		18,635
	1,776	Mohawk Industries Inc.*		211,149
	11,127	Newell Brands Inc.		184,708
	93	NVR Inc.*		334,707
	7,657	PulteGroup Inc.		258,807
	2,401	Roku Inc., Class A Shares*		363,415
	1,345	Tempur Sealy International Inc.*		103,726
	3,986	Toll Brothers Inc.		144,253
	24,361	Whirlpool Corp.		3,388,372
		Total Household Durables		6,408,977
	Internet & Direct Marketing Retail — 3.5%
	34,877	Alibaba Group Holding Ltd., ADR*		6,104,521
	19,006	Amazon.com Inc.*		33,760,168
	4,017	Booking Holdings Inc.*		7,899,069
	58,944	eBay Inc.		2,374,854
	3,562	Etsy Inc.*		188,038
	4,059	Expedia Group Inc.		528,076
	21,213	GrubHub Inc.*(a)		1,258,780

See Notes to Financial Statements.

33

Schedules of Investments

(continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 10.3% — (continued)
	Internet & Direct Marketing Retail — 3.5% — (continued)
	169,744	Qurate Retail Inc., Class A Shares*	$	1,817,958
	1,803	Wayfair Inc., Class A Shares*		203,270
		Total Internet & Direct Marketing Retail		54,134,734
	Leisure Products — 0.2%
	32,833	Brunswick Corp.		1,530,018
	3,403	Hasbro Inc.		375,929
	9,893	Mattel Inc.*(a)		96,951
	1,685	Polaris Inc.		138,204
		Total Leisure Products		2,141,102
	Multiline Retail — 0.7%
	7,613	Dollar General Corp.		1,188,313
	80,016	Dollar Tree Inc.*		8,124,024
	4,713	Kohl’s Corp.		222,736
	9,273	Macy’s Inc.		136,870
	3,084	Nordstrom Inc.(a)		89,344
	1,517	Ollie’s Bargain Outlet Holdings Inc.*		84,118
	14,636	Target Corp.		1,566,637
		Total Multiline Retail		11,412,042
	Specialty Retail — 2.3%
	16,423	Advance Auto Parts Inc.		2,265,553
	1,577	AutoNation Inc.*		74,844
	727	AutoZone Inc.*		800,929
	6,719	Best Buy Co., Inc.		427,664
	1,928	Burlington Stores Inc.*		390,401
	4,869	CarMax Inc.*		405,490
	1,191	Carvana Co., Class A Shares*		96,662
	1,998	Dick’s Sporting Goods Inc.		68,012
	1,604	Five Below Inc.*		197,083
	1,928	Floor & Decor Holdings Inc., Class A Shares*		94,896
	3,306	Foot Locker Inc.		119,644
	6,549	Gap Inc. (The)		103,409
	45,336	Home Depot Inc. (The)		10,332,528
	6,681	L Brands Inc.		110,303
	131,656	Lowe’s Cos., Inc.		14,771,803
	2,262	O’Reilly Automotive Inc.*		868,065
	1,074	Penske Automotive Group Inc.		45,946
	10,557	Ross Stores Inc.		1,119,148
	3,577	Tiffany & Co.		303,580
	35,657	TJX Cos., Inc. (The)		1,960,065
	3,571	Tractor Supply Co.		363,814
	1,654	Ulta Beauty Inc.*		393,205
	2,081	Urban Outfitters Inc.*		48,716
	2,290	Williams-Sonoma Inc.		150,682
		Total Specialty Retail		35,512,442
	Textiles, Apparel & Luxury Goods — 0.8%
	53,014	Canada Goose Holdings Inc.*(a)		1,977,422
	4,254	Capri Holdings Ltd.*		112,220
	1,304	Carter’s Inc.		119,290
	885	Columbia Sportswear Co.		83,004
	144,789	Hanesbrands Inc.		1,977,818
	3,462	lululemon athletica Inc.*		639,327
	71,894	NIKE Inc., Class B Shares		6,075,043

See Notes to Financial Statements.

34

Schedules of Investments

(continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 10.3% — (continued)
	Textiles, Apparel & Luxury Goods — 0.8% — (continued)
	2,206	PVH Corp.	$	167,215
	1,543	Ralph Lauren Corp., Class A Shares		136,309
	3,866	Skechers U.S.A. Inc., Class A Shares*		122,398
	8,520	Tapestry Inc.		175,938
	5,514	Under Armour Inc., Class A Shares*		102,615
	5,736	Under Armour Inc., Class C Shares*		97,053
	9,027	V.F. Corp.		739,763
		Total Textiles, Apparel & Luxury Goods		12,525,415
		TOTAL CONSUMER DISCRETIONARY		159,468,443
	CONSUMER STAPLES — 6.3%
	Beverages — 1.9%
	29,380	Anheuser-Busch InBev SA, ADR(a)		2,776,410
	1,557	Brown-Forman Corp., Class A Shares		89,636
	5,041	Brown-Forman Corp., Class B Shares		297,369
	337,793	Coca-Cola Co. (The)		18,592,127
	4,652	Constellation Brands Inc., Class A Shares		950,636
	6,045	Keurig Dr Pepper Inc.		164,908
	5,104	Molson Coors Brewing Co., Class B Shares		262,141
	11,337	Monster Beverage Corp.*		665,142
	41,146	PepsiCo Inc.		5,625,892
		Total Beverages		29,424,261
	Food & Staples Retailing — 0.9%
	1,052	Casey’s General Stores Inc.		176,578
	21,271	Costco Wholesale Corp.		6,269,840
	23,345	Kroger Co. (The)		552,809
	3,218	Sprouts Farmers Market Inc.*		57,763
	13,996	Sysco Corp.		1,040,323
	6,397	US Foods Holding Corp.*		258,759
	22,663	Walgreens Boots Alliance Inc.		1,160,119
	41,250	Walmart Inc.		4,713,225
		Total Food & Staples Retailing		14,229,416
	Food Products — 2.1%
	197,163	Archer-Daniels-Midland Co.		7,502,052
	261	Beyond Meat Inc.*(a)		43,751
	4,007	Bunge Ltd.		214,014
	4,972	Campbell Soup Co.		223,740
	267,692	Conagra Brands Inc.		7,591,745
	5,576	Flowers Foods Inc.		127,133
	17,588	General Mills Inc.		946,234
	2,774	Hain Celestial Group Inc. (The)*		52,845
	4,258	Hershey Co. (The)		674,808
	8,234	Hormel Foods Corp.(a)		350,851
	1,943	Ingredion Inc.		150,136
	3,254	J.M. Smucker Co. (The)		342,191
	7,222	Kellogg Co.		453,541
	18,314	Kraft Heinz Co. (The)		467,373
	4,330	Lamb Weston Holdings Inc.		304,789
	12,178	McCormick & Co., Inc.		1,983,431
	194,944	Mondelez International Inc., Class A Shares		10,764,808
	1,576	Pilgrim’s Pride Corp.*		49,108
	1,922	Post Holdings Inc.*		191,604
	8	Seaboard Corp.		33,041

See Notes to Financial Statements.

35

Schedules of Investments

(continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER STAPLES — 6.3% — (continued)
	Food Products — 2.1% — (continued)
	1,514	TreeHouse Foods Inc.*	$	76,684
	8,442	Tyson Foods Inc., Class A Shares		785,444
		Total Food Products		33,329,323
	Household Products — 0.9%
	7,218	Church & Dwight Co., Inc.		575,852
	3,764	Clorox Co. (The)		595,314
	24,686	Colgate-Palmolive Co.		1,830,467
	1,671	Energizer Holdings Inc.(a)		64,333
	10,024	Kimberly-Clark Corp.		1,414,487
	72,611	Procter & Gamble Co. (The)		8,730,021
	952	Spectrum Brands Holdings Inc.		53,188
		Total Household Products		13,263,662
	Personal Products — 0.1%
	8,462	Coty Inc., Class A Shares		80,812
	6,305	Estee Lauder Cos., Inc. (The), Class A Shares		1,248,327
	3,027	Herbalife Nutrition Ltd.*		104,220
	1,667	Nu Skin Enterprises Inc., Class A Shares		67,713
		Total Personal Products		1,501,072
	Tobacco — 0.4%
	54,955	Altria Group Inc.		2,403,732
	45,653	Philip Morris International Inc.		3,291,125
		Total Tobacco		5,694,857
		TOTAL CONSUMER STAPLES		97,442,591
	ENERGY — 4.7%
	Energy Equipment & Services — 0.8%
	2,264	Apergy Corp.*		58,819
	15,131	Baker Hughes a GE Co., Class A Shares		328,192
	369,254	Halliburton Co.		6,956,745
	3,157	Helmerich & Payne Inc.		118,672
	137,563	National Oilwell Varco Inc.		2,810,412
	6,008	Patterson-UTI Energy Inc.		51,969
	40,670	Schlumberger Ltd.		1,318,928
	15,646	Transocean Ltd.*		71,189
		Total Energy Equipment & Services		11,714,926
	Oil, Gas & Consumable Fuels — 3.9%
	6,739	Antero Midstream Corp.(a)		47,914
	7,956	Antero Resources Corp.*		25,220
	11,134	Apache Corp.		240,160
	12,223	Cabot Oil & Gas Corp.		209,258
	5,357	Centennial Resource Development Inc., Class A Shares*		25,821
	6,829	Cheniere Energy Inc.*		407,760
	37,981	Chesapeake Energy Corp.*(a)		54,693
	56,002	Chevron Corp.		6,592,555
	2,897	Cimarex Energy Co.		123,934
	5,850	Concho Resources Inc.		427,927
	160,524	ConocoPhillips		8,376,142
	2,618	Continental Resources Inc.*		76,446
	12,141	Devon Energy Corp.		266,981
	4,820	Diamondback Energy Inc.		472,746
	66,178	EOG Resources Inc.		4,909,746

See Notes to Financial Statements.

36

Schedules of Investments

(continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	ENERGY — 4.7% — (continued)
	Oil, Gas & Consumable Fuels — 3.9% — (continued)
	7,453	EQT Corp.	$	75,797
	6,036	Equitrans Midstream Corp.		81,426
	124,351	Exxon Mobil Corp.		8,515,556
	7,882	Hess Corp.		496,172
	4,681	HollyFrontier Corp.		207,649
	57,280	Kinder Morgan Inc.		1,161,066
	10,701	Kosmos Energy Ltd.		67,630
	586,832	Marathon Oil Corp.		6,948,091
	19,277	Marathon Petroleum Corp.		948,621
	4,815	Murphy Oil Corp.		87,777
	13,823	Noble Energy Inc.		312,123
	179,487	Occidental Petroleum Corp.		7,804,095
	12,064	ONEOK Inc.		859,922
	7,871	Parsley Energy Inc., Class A Shares*		140,970
	3,452	PBF Energy Inc., Class A Shares		81,812
	13,319	Phillips 66		1,313,653
	28,507	Pioneer Natural Resources Co.		3,518,334
	5,829	Range Resources Corp.		20,751
	122,122	Suncor Energy Inc.		3,569,626
	6,708	Targa Resources Corp.		242,293
	12,229	Valero Energy Corp.		920,599
	35,607	Williams Cos., Inc. (The)		840,325
	12,309	WPX Energy Inc.*		132,445
		Total Oil, Gas & Consumable Fuels		60,604,036
		TOTAL ENERGY		72,318,962
	FINANCIALS — 11.4%
	Banks — 3.0%
	4,919	Associated Banc-Corp.		94,642
	252,681	Bank of America Corp.		6,951,254
	1,161	Bank of Hawaii Corp.		95,992
	3,678	Bank OZK		94,892
	2,845	BankUnited Inc.		90,357
	168,851	BB&T Corp.		8,045,750
	984	BOK Financial Corp.		74,922
	2,863	CIT Group Inc.		121,935
	67,897	Citigroup Inc.		4,369,172
	13,573	Citizens Financial Group Inc.		457,953
	4,559	Comerica Inc.		281,062
	3,017	Commerce Bancshares Inc.		172,180
	1,713	Cullen/Frost Bankers Inc.		142,196
	4,053	East West Bancorp Inc.		166,700
	21,515	Fifth Third Bancorp		569,072
	221	First Citizens BancShares Inc., Class A Shares		98,257
	3,308	First Hawaiian Inc.		85,016
	9,235	First Horizon National Corp.		146,190
	4,758	First Republic Bank		426,888
	9,560	FNB Corp.		102,770
	30,859	Huntington Bancshares Inc.		408,882
	94,748	JPMorgan Chase & Co.		10,409,015
	29,734	KeyCorp		493,584
	3,997	M&T Bank Corp.		584,401
	3,488	PacWest Bancorp		118,871
	11,220	People’s United Financial Inc.		161,231

See Notes to Financial Statements.

37

Schedules of Investments

(continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 11.4% — (continued)
	Banks — 3.0% — (continued)
	2,272	Pinnacle Financial Partners Inc.	$	119,666
	13,242	PNC Financial Services Group Inc. (The)		1,707,291
	2,820	Popular Inc.		148,247
	2,023	Prosperity Bancshares Inc.		131,333
	30,022	Regions Financial Corp.		438,922
	1,601	Signature Bank		186,757
	6,125	Sterling Bancorp		116,804
	13,012	SunTrust Banks Inc.		800,368
	1,539	SVB Financial Group*		299,520
	4,455	Synovus Financial Corp.		158,331
	4,316	TCF Financial Corp.		166,425
	1,518	Texas Capital Bancshares Inc.*		81,790
	5,802	Umpqua Holdings Corp.		91,149
	42,455	US Bancorp		2,236,954
	2,778	Webster Financial Corp.		124,343
	118,960	Wells Fargo & Co.		5,539,967
	2,917	Western Alliance Bancorp		126,656
	1,485	Wintrust Financial Corp.		93,303
	5,331	Zions Bancorp N.A.		219,051
		Total Banks		47,550,061
	Capital Markets — 3.6%
	19,763	Affiliated Managers Group Inc.		1,514,439
	43,940	Ameriprise Financial Inc.		5,667,381
	172,407	Bank of New York Mellon Corp. (The)		7,251,438
	8,152	BGC Partners Inc., Class A Shares		41,575
	7,908	BlackRock Inc., Class A Shares		3,341,604
	3,281	Cboe Global Markets Inc.		390,964
	155,640	Charles Schwab Corp. (The)		5,956,343
	10,397	CME Group Inc., Class A Shares		2,259,164
	7,182	E*Trade Financial Corp.		299,777
	3,381	Eaton Vance Corp.		145,789
	1,218	Evercore Inc., Class A Shares		97,148
	1,110	FactSet Research Systems Inc.		302,020
	8,381	Franklin Resources Inc.		220,253
	9,666	Goldman Sachs Group Inc. (The)		1,970,994
	2,238	Interactive Brokers Group Inc., Class A Shares		105,634
	85,368	Intercontinental Exchange Inc.		7,980,201
	11,438	Invesco Ltd.		179,577
	2,928	Janus Henderson Group PLC		55,954
	3,122	Lazard Ltd., Class A Shares		107,209
	2,044	Legg Mason Inc.		75,199
	2,460	LPL Financial Holdings Inc.		184,377
	1,080	MarketAxess Holdings Inc.		429,429
	4,823	Moody’s Corp.		1,039,742
	35,520	Morgan Stanley(b)		1,473,725
	550	Morningstar Inc.		88,869
	14,122	MSCI Inc., Class A Shares		3,313,445
	3,398	Nasdaq Inc.		339,256
	5,870	Northern Trust Corp.		516,149
	3,776	Raymond James Financial Inc.		296,454
	31,369	S&P Global Inc.		8,161,900
	3,785	SEI Investments Co.		217,675
	10,929	State Street Corp.		560,767
	6,766	T. Rowe Price Group Inc.		748,455

See Notes to Financial Statements.

38

Schedules of Investments

(continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 11.4% — (continued)
	Capital Markets — 3.6% — (continued)
	8,005	TD Ameritrade Holding Corp.	$	355,502
	1,319	Virtu Financial Inc., Class A Shares		24,797
		Total Capital Markets		55,713,205
	Consumer Finance — 0.5%
	11,779	Ally Financial Inc.		369,272
	39,152	American Express Co.		4,712,726
	13,721	Capital One Financial Corp.		1,188,513
	307	Credit Acceptance Corp.*		138,964
	9,482	Discover Financial Services		758,276
	6,423	Navient Corp.		81,829
	1,910	OneMain Holdings Inc., Class A Shares		68,473
	3,109	Santander Consumer USA Holdings Inc.		81,176
	13,186	SLM Corp.		111,290
	20,205	Synchrony Financial		647,570
		Total Consumer Finance		8,158,089
	Diversified Financial Services — 0.8%
	7,967	AXA Equitable Holdings Inc.		165,475
	57,464	Berkshire Hathaway Inc., Class B Shares*		11,688,752
	7,536	Jefferies Financial Group Inc.		140,471
	4,303	Voya Financial Inc.		212,224
		Total Diversified Financial Services		12,206,922
	Insurance — 3.4%
	21,653	Aflac Inc.		1,086,548
	414	Alleghany Corp.*		310,214
	89,660	Allstate Corp. (The)		9,180,287
	2,214	American Financial Group Inc.		223,548
	177,853	American International Group Inc.		9,255,470
	167	American National Insurance Co.		19,050
	7,007	Aon PLC		1,365,314
	11,185	Arch Capital Group Ltd.*		441,808
	5,392	Arthur J. Gallagher & Co.		489,108
	22,825	Assurant Inc.		2,807,475
	2,938	Assured Guaranty Ltd.		125,012
	4,538	Athene Holding Ltd., Class A Shares*		176,347
	2,381	Axis Capital Holdings Ltd.		146,170
	3,398	Brighthouse Financial Inc.*		119,813
	6,932	Brown & Brown Inc.		255,721
	13,370	Chubb Ltd.		2,089,464
	4,509	Cincinnati Financial Corp.		507,217
	826	CNA Financial Corp.		38,929
	747	Erie Indemnity Co., Class A Shares		163,825
	1,178	Everest Re Group Ltd.		277,867
	7,745	Fidelity National Financial Inc.		340,315
	3,257	First American Financial Corp.		190,372
	3,061	Globe Life Inc.		273,225
	1,190	Hanover Insurance Group Inc. (The)		158,449
	10,540	Hartford Financial Services Group Inc. (The)		614,271
	1,835	Kemper Corp.		128,413
	78,942	Lincoln National Corp.		4,174,453
	7,776	Loews Corp.		373,792
	402	Markel Corp.*		459,518
	97,486	Marsh & McLennan Cos., Inc.		9,737,877

See Notes to Financial Statements.

39

Schedules of Investments

(continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 11.4% — (continued)
	Insurance — 3.4% — (continued)
	827	Mercury General Corp.	$	44,245
	23,597	MetLife Inc.		1,045,347
	8,263	Old Republic International Corp.		193,024
	1,224	Primerica Inc.		145,864
	8,102	Principal Financial Group Inc.		431,188
	17,113	Progressive Corp. (The)		1,297,165
	11,908	Prudential Financial Inc.		953,712
	1,871	Reinsurance Group of America Inc., Class A Shares		288,078
	1,279	RenaissanceRe Holdings Ltd.		230,923
	7,681	Travelers Cos., Inc. (The)		1,128,800
	6,396	Unum Group		162,522
	93	White Mountains Insurance Group Ltd.		98,645
	3,784	Willis Towers Watson PLC		749,118
	4,023	WR Berkley Corp.		286,639
		Total Insurance		52,585,142
	Mortgage Real Estate Investment Trusts (REITs) — 0.1%
	16,051	AGNC Investment Corp.		238,678
	42,333	Annaly Capital Management Inc.		351,364
	4,886	Chimera Investment Corp.		93,176
	13,603	MFA Financial Inc.		97,534
	12,464	New Residential Investment Corp.		175,368
	8,134	Starwood Property Trust Inc.		190,580
	7,445	Two Harbors Investment Corp.		94,030
		Total Mortgage Real Estate Investment Trusts (REITs)		1,240,730
	Thrifts & Mortgage Finance — 0.0%
	227	LendingTree Inc.*		70,390
	9,463	MGIC Investment Corp.		119,707
	13,285	New York Community Bancorp Inc.		153,309
	1,501	TFS Financial Corp.		26,283
		Total Thrifts & Mortgage Finance		369,689
		TOTAL FINANCIALS		177,823,838
	HEALTH CARE — 15.3%
	Biotechnology — 1.8%
	43,438	AbbVie Inc.		2,855,614
	1,532	Agios Pharmaceuticals Inc.*(a)		58,139
	47,015	Alexion Pharmaceuticals Inc.*		4,737,231
	4,562	Alkermes PLC*		95,711
	3,106	Alnylam Pharmaceuticals Inc.*		250,623
	17,913	Amgen Inc.		3,737,010
	5,680	Biogen Inc.*		1,248,180
	22,892	BioMarin Pharmaceutical Inc.*		1,718,274
	1,614	Bluebird Bio Inc.*		166,742
	20,641	Celgene Corp.*		1,998,049
	25,869	Exact Sciences Corp.*		3,084,102
	8,751	Exelixis Inc.*		173,707
	37,465	Gilead Sciences Inc.		2,380,526
	5,212	Incyte Corp.*		426,446
	3,791	Ionis Pharmaceuticals Inc.*		239,629
	790	Moderna Inc.*(a)		12,427
	2,650	Neurocrine Biosciences Inc.*		263,463
	2,400	Regeneron Pharmaceuticals Inc.*		696,120
	1,478	Sage Therapeutics Inc.*		253,728

See Notes to Financial Statements.

40

Schedules of Investments

(continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	HEALTH CARE — 15.3% — (continued)
	Biotechnology — 1.8% — (continued)
	13,146	Sarepta Therapeutics Inc.*	$	1,185,112
	3,187	Seattle Genetics Inc.*		231,504
	1,250	United Therapeutics Corp.*		103,200
	7,528	Vertex Pharmaceuticals Inc.*		1,355,191
		Total Biotechnology		27,270,728
	Health Care Equipment & Supplies — 4.6%
	145,185	Abbott Laboratories		12,387,184
	1,301	ABIOMED Inc.*		251,184
	11,095	Align Technology Inc.*		2,031,605
	139,488	Baxter International Inc.		12,267,970
	7,863	Becton Dickinson and Co.		1,996,573
	40,772	Boston Scientific Corp.*		1,742,188
	1,084	Cantel Medical Corp.		99,652
	1,427	Cooper Cos., Inc. (The)		442,013
	18,696	Danaher Corp.		2,656,515
	6,539	DENTSPLY SIRONA Inc.		341,009
	2,656	DexCom Inc.*		455,796
	16,391	Edwards Lifesciences Corp.*		3,636,179
	1,979	Hill-Rom Holdings Inc.		213,099
	7,812	Hologic Inc.*		385,678
	551	ICU Medical Inc.*		89,124
	14,605	IDEXX Laboratories Inc.*		4,231,653
	1,710	Insulet Corp.*		263,631
	2,077	Integra LifeSciences Holdings Corp.*		124,661
	3,364	Intuitive Surgical Inc.*		1,720,148
	1,381	Masimo Corp.*		211,638
	197,501	Medtronic PLC		21,308,383
	929	Penumbra Inc.*		135,216
	4,164	ResMed Inc.		580,045
	2,400	STERIS PLC		370,560
	10,073	Stryker Corp.		2,222,708
	1,354	Teleflex Inc.		492,748
	2,667	Varian Medical Systems Inc.*		282,515
	2,145	West Pharmaceutical Services Inc.		312,012
	6,018	Zimmer Biomet Holdings Inc.		837,706
		Total Health Care Equipment & Supplies		72,089,393
	Health Care Providers & Services — 3.5%
	2,622	Acadia Healthcare Co., Inc.*		69,378
	4,452	AmerisourceBergen Corp., Class A Shares		366,266
	7,557	Anthem Inc.		1,976,307
	153,746	Cardinal Health Inc.		6,631,065
	12,000	Centene Corp.*		559,440
	446	Chemed Corp.		191,526
	52,339	Cigna Corp.		8,058,636
	2,733	Covetrus Inc.*(a)		36,322
	164,227	CVS Health Corp.		10,004,709
	3,766	DaVita Inc.*		212,289
	2,899	Encompass Health Corp.		176,230
	1,028	Guardant Health Inc.*		89,981
	68,938	HCA Healthcare Inc.		8,286,348
	4,360	Henry Schein Inc.*		268,663
	3,961	Humana Inc.		1,121,795
	2,878	Laboratory Corp. of America Holdings*		482,238

See Notes to Financial Statements.

41

Schedules of Investments

(continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	HEALTH CARE — 15.3% — (continued)
	Health Care Providers & Services — 3.5% — (continued)
	5,627	McKesson Corp.	$	778,045
	2,516	MEDNAX Inc.*		53,037
	1,846	Molina Healthcare Inc.*		240,497
	1,582	Premier Inc., Class A Shares*		55,781
	3,952	Quest Diagnostics Inc.		404,566
	57,314	UnitedHealth Group Inc.		13,411,476
	2,368	Universal Health Services Inc., Class B Shares		342,365
	1,469	WellCare Health Plans Inc.*		397,717
		Total Health Care Providers & Services		54,214,677
	Health Care Technology — 0.1%
	9,497	Cerner Corp.		654,438
	1,746	Medidata Solutions Inc.*		159,899
	3,734	Veeva Systems Inc., Class A Shares*		598,859
		Total Health Care Technology		1,413,196
	Life Sciences Tools & Services — 0.9%
	9,318	Agilent Technologies Inc.		662,603
	623	Bio-Rad Laboratories Inc., Class A Shares*		210,393
	1,110	Bio-Techne Corp.		212,643
	3,043	Bruker Corp.		131,366
	1,412	Charles River Laboratories International Inc.*		185,254
	14,095	Illumina Inc.*		3,965,487
	5,268	IQVIA Holdings Inc.*		817,330
	717	Mettler-Toledo International Inc.*		470,919
	3,266	PerkinElmer Inc.		270,098
	1,697	PRA Health Sciences Inc.*		167,732
	6,553	QIAGEN NV*		227,324
	23,522	Thermo Fisher Scientific Inc.		6,752,225
	2,020	Waters Corp.*		428,018
		Total Life Sciences Tools & Services		14,501,392
	Pharmaceuticals — 4.4%
	9,632	Allergan PLC		1,538,423
	107,400	Bristol-Myers Squibb Co.		5,162,718
	4,294	Catalent Inc.*		226,466
	208,659	Elanco Animal Health Inc.*		5,429,307
	25,263	Eli Lilly & Co.		2,853,961
	5,413	Horizon Therapeutics PLC*		149,561
	1,623	Jazz Pharmaceuticals PLC*		207,988
	151,836	Johnson & Johnson		19,489,669
	174,265	Merck & Co., Inc.		15,068,695
	15,086	Mylan NV*		293,724
	4,870	Nektar Therapeutics, Class A Shares*		85,566
	3,736	Perrigo Co. PLC		174,770
	336,229	Pfizer Inc.		11,952,941
	43,343	Zoetis Inc., Class A Shares		5,479,422
		Total Pharmaceuticals		68,113,211
		TOTAL HEALTH CARE		237,602,597
	INDUSTRIALS — 8.8%
	Aerospace & Defense — 2.3%
	11,643	Arconic Inc.		300,855
	15,547	Boeing Co. (The)		5,660,507
	2,786	BWX Technologies Inc.		164,931

See Notes to Financial Statements.

42

Schedules of Investments

(continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	INDUSTRIALS — 8.8% — (continued)
	Aerospace & Defense — 2.3% — (continued)
	1,260	Curtiss-Wright Corp.	$	154,526
	7,484	General Dynamics Corp.		1,431,465
	1,179	HEICO Corp.		170,566
	2,298	HEICO Corp., Class A Shares		253,607
	2,510	Hexcel Corp.		211,217
	1,215	Huntington Ingalls Industries Inc.		253,935
	6,482	L3Harris Technologies Inc.		1,370,360
	7,263	Lockheed Martin Corp.		2,789,791
	26,748	Northrop Grumman Corp.		9,839,787
	48,614	Raytheon Co.		9,009,146
	2,994	Spirit AeroSystems Holdings Inc., Class A Shares		241,316
	1,049	Teledyne Technologies Inc.*		323,711
	6,945	Textron Inc.		312,525
	1,450	TransDigm Group Inc.		780,564
	23,823	United Technologies Corp.		3,102,708
		Total Aerospace & Defense		36,371,517
	Air Freight & Logistics — 0.7%
	17,069	CH Robinson Worldwide Inc.		1,442,160
	5,080	Expeditors International of Washington Inc.		361,188
	7,079	FedEx Corp.		1,122,800
	45,830	United Parcel Service Inc., Class B Shares		5,438,188
	45,958	XPO Logistics Inc.*		3,256,584
		Total Air Freight & Logistics		11,620,920
	Airlines — 0.2%
	3,643	Alaska Air Group Inc.		217,560
	11,921	American Airlines Group Inc.		313,642
	947	Copa Holdings SA, Class A Shares(a)		97,712
	17,105	Delta Air Lines Inc.		989,695
	8,804	JetBlue Airways Corp.*		152,485
	14,322	Southwest Airlines Co.		749,327
	7,064	United Airlines Holdings Inc.*		595,566
		Total Airlines		3,115,987
	Building Products — 0.6%
	2,705	Allegion PLC		260,410
	3,995	AO Smith Corp.		185,847
	65,855	Armstrong World Industries Inc.		6,287,177
	4,130	Fortune Brands Home & Security Inc.		210,878
	26,371	Johnson Controls International PLC		1,125,778
	1,052	Lennox International Inc.		266,977
	8,580	Masco Corp.		349,463
	3,119	Owens Corning		178,906
	3,836	Resideo Technologies Inc.*		52,860
		Total Building Products		8,918,296
	Commercial Services & Supplies — 0.8%
	3,641	ADT Inc.(a)		17,331
	2,505	Cintas Corp.		660,819
	1,510	Clean Harbors Inc.*		111,060
	5,794	Copart Inc.*		436,810
	3,800	IAA Inc.*		185,630
	3,800	KAR Auction Services Inc.		100,928
	6,315	Republic Services Inc., Class A Shares		563,614

See Notes to Financial Statements.

43

Schedules of Investments

(continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	INDUSTRIALS — 8.8% — (continued)
	Commercial Services & Supplies — 0.8% — (continued)
	4,293	Rollins Inc.	$	140,853
	2,433	Stericycle Inc.*		109,217
	84,673	Waste Management Inc.		10,105,723
		Total Commercial Services & Supplies		12,431,985
	Construction & Engineering — 0.3%
	54,907	AECOM*		1,948,100
	4,297	Fluor Corp.		75,928
	3,864	Jacobs Engineering Group Inc.		343,355
	58,516	Quanta Services Inc.		1,983,692
	635	Valmont Industries Inc.		86,043
		Total Construction & Engineering		4,437,118
	Electrical Equipment — 0.3%
	1,160	Acuity Brands Inc.		145,475
	6,735	AMETEK Inc.		578,738
	12,401	Eaton Corp. PLC		1,001,009
	17,980	Emerson Electric Co.		1,071,428
	1,240	GrafTech International Ltd.		15,116
	1,590	Hubbell Inc., Class B Shares		208,513
	4,861	nVent Electric PLC		98,484
	1,261	Regal Beloit Corp.		89,405
	3,458	Rockwell Automation Inc.		528,348
	4,709	Sensata Technologies Holding PLC*		214,636
		Total Electrical Equipment		3,951,152
	Industrial Conglomerates — 0.8%
	16,433	3M Co.		2,657,545
	1,627	Carlisle Cos., Inc.		235,850
	254,158	General Electric Co.		2,096,803
	38,214	Honeywell International Inc.		6,290,789
	2,995	Roper Technologies Inc.		1,098,446
		Total Industrial Conglomerates		12,379,433
	Machinery — 0.9%
	1,882	AGCO Corp.		130,084
	3,176	Allison Transmission Holdings Inc.		141,110
	24,909	Caterpillar Inc.		2,964,171
	2,563	Colfax Corp.*(a)		69,714
	1,502	Crane Co.		114,512
	4,400	Cummins Inc.		656,788
	9,343	Deere & Co.		1,447,324
	3,743	Donaldson Co., Inc.		181,011
	4,194	Dover Corp.		393,145
	3,843	Flowserve Corp.		164,019
	8,664	Fortive Corp.		614,278
	4,019	Gardner Denver Holdings Inc.*		115,265
	1,535	Gates Industrial Corp. PLC*		13,354
	4,836	Graco Inc.		220,376
	2,239	IDEX Corp.		368,786
	9,527	Illinois Tool Works Inc.		1,427,716
	7,065	Ingersoll-Rand PLC		855,501
	2,637	ITT Inc.		150,098
	1,784	Lincoln Electric Holdings Inc.		147,287
	1,624	Middleby Corp. (The)*		178,088
	1,696	Nordson Corp.		230,588

See Notes to Financial Statements.

44

Schedules of Investments

(continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	INDUSTRIALS — 8.8% — (continued)
	Machinery — 0.9% — (continued)
	2,057	Oshkosh Corp.	$	144,545
	9,951	PACCAR Inc.		652,388
	3,793	Parker-Hannifin Corp.		628,766
	4,761	Pentair PLC		171,015
	1,626	Snap-on Inc.		241,754
	4,450	Stanley Black & Decker Inc.		591,227
	1,987	Timken Co. (The)		79,838
	3,100	Toro Co. (The)		223,231
	3,244	Trinity Industries Inc.		56,673
	1,498	WABCO Holdings Inc.*		199,998
	4,679	Wabtec Corp.		323,834
	1,572	Woodward Inc.		169,540
	5,306	Xylem Inc.		406,493
		Total Machinery		14,472,517
	Marine — 0.0%
	1,791	Kirby Corp.*		131,800
	Professional Services — 0.4%
	1,066	CoStar Group Inc.*		655,451
	3,529	Equifax Inc.		516,575
	46,514	IHS Markit Ltd.*		3,051,784
	1,664	ManpowerGroup Inc.		136,015
	10,423	Nielsen Holdings PLC		216,381
	3,340	Robert Half International Inc.		178,590
	5,487	TransUnion		458,988
	4,683	Verisk Analytics Inc., Class A Shares		756,492
		Total Professional Services		5,970,276
	Road & Rail — 0.7%
	212	AMERCO		74,543
	31,481	Avis Budget Group Inc.*		779,784
	22,650	CSX Corp.		1,518,003
	1,641	Genesee & Wyoming Inc., Class A Shares*		181,954
	38,620	Hertz Global Holdings Inc.*		467,688
	2,543	JB Hunt Transport Services Inc.		274,746
	2,961	Kansas City Southern		372,494
	3,825	Knight-Swift Transportation Holdings Inc., Class A Shares		130,586
	1,220	Landstar System Inc.		136,054
	947	Lyft Inc., Class A Shares*		46,375
	7,810	Norfolk Southern Corp.		1,359,331
	1,890	Old Dominion Freight Line Inc.		309,506
	1,485	Ryder System Inc.		71,532
	1,355	Schneider National Inc., Class B Shares		26,341
	51,222	Uber Technologies Inc.*(a)		1,668,301
	20,799	Union Pacific Corp.		3,368,606
		Total Road & Rail		10,785,844
	Trading Companies & Distributors — 0.8%
	61,770	AerCap Holdings NV*		3,312,107
	47,064	Air Lease Corp., Class A Shares		1,955,039
	16,943	Fastenal Co.		518,795
	5,070	HD Supply Holdings Inc.*		197,274
	1,183	MSC Industrial Direct Co., Inc., Class A Shares		79,994
	32,022	United Rentals Inc.*		3,604,396
	4,471	Univar Inc.*		86,514

See Notes to Financial Statements.

45

Schedules of Investments

(continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	INDUSTRIALS — 8.8% — (continued)
	Trading Companies & Distributors — 0.8% — (continued)
	967	Watsco Inc.	$	158,153
	1,424	WESCO International Inc.*		64,194
	9,947	WW Grainger Inc.		2,721,996
		Total Trading Companies & Distributors		12,698,462
	Transportation Infrastructure — 0.0%
	2,173	Macquarie Infrastructure Corp.		82,183
		TOTAL INDUSTRIALS		137,367,490
	INFORMATION TECHNOLOGY — 21.4%
	Communications Equipment — 2.1%
	1,739	Arista Networks Inc.*		394,092
	4,561	Ciena Corp.*		186,682
	503,541	Cisco Systems Inc.		23,570,754
	66,015	CommScope Holding Co., Inc.*		709,001
	1,404	EchoStar Corp., Class A Shares*		59,319
	1,770	F5 Networks Inc.*		227,852
	10,017	Juniper Networks Inc.		231,994
	35,040	Motorola Solutions Inc.		6,339,087
	455	Ubiquiti Inc.		50,282
	1,592	ViaSat Inc.*		126,293
		Total Communications Equipment		31,895,356
	Electronic Equipment, Instruments & Components — 0.6%
	8,556	Amphenol Corp., Class A Shares		748,992
	32,931	Arrow Electronics Inc.*		2,278,825
	3,120	Avnet Inc.		130,697
	4,249	CDW Corp.		490,760
	4,632	Cognex Corp.		208,811
	732	Coherent Inc.*		106,111
	22,658	Corning Inc.		631,025
	1,889	Dolby Laboratories Inc., Class A Shares		116,287
	173,342	Flex Ltd.*		1,669,283
	4,031	FLIR Systems Inc.		198,607
	1,045	IPG Photonics Corp.*		129,298
	4,410	Jabil Inc.		127,052
	5,501	Keysight Technologies Inc.*		532,827
	730	Littelfuse Inc.		113,931
	3,754	National Instruments Corp.		157,668
	1,163	SYNNEX Corp.		97,471
	12,933	Tech Data Corp.*		1,199,277
	7,149	Trimble Inc.*		268,231
	1,568	Zebra Technologies Corp., Class A Shares*		321,487
		Total Electronic Equipment, Instruments & Components		9,526,640
	IT Services — 4.8%
	18,722	Accenture PLC, Class A Shares		3,710,139
	37,294	Akamai Technologies Inc.*		3,324,014
	21,604	Alliance Data Systems Corp.		2,656,212
	4,026	Amdocs Ltd.		260,643
	12,779	Automatic Data Processing Inc.		2,170,385
	4,273	Black Knight Inc.*		265,994
	4,039	Booz Allen Hamilton Holding Corp., Class A Shares		304,985
	3,424	Broadridge Financial Solutions Inc.		443,203
	668	CACI International Inc., Class A Shares*		148,490

See Notes to Financial Statements.

46

Schedules of Investments

(continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 21.4% — (continued)
	IT Services — 4.8% — (continued)
	16,651	Cognizant Technology Solutions Corp., Class A Shares	$	1,022,205
	2,331	CoreLogic Inc.*		112,820
	7,862	DXC Technology Co.		261,176
	1,514	EPAM Systems Inc.*		289,674
	1,457	Euronet Worldwide Inc.*		223,125
	28,992	Fidelity National Information Services Inc.		3,949,290
	56,846	Fiserv Inc.*		6,079,111
	2,501	FleetCor Technologies Inc.*		746,298
	2,588	Gartner Inc.*		345,938
	4,402	Genpact Ltd.		180,306
	4,594	Global Payments Inc.		762,512
	5,128	GoDaddy Inc., Class A Shares*		324,807
	26,053	International Business Machines Corp.		3,530,963
	2,275	Jack Henry & Associates Inc.		329,784
	3,992	Leidos Holdings Inc.		348,741
	26,368	MasterCard Inc., Class A Shares		7,419,164
	719	MongoDB Inc., Class A Shares*(a)		109,511
	2,994	Okta Inc., Class A Shares*		378,741
	9,434	Paychex Inc.		770,758
	63,371	PayPal Holdings Inc.*		6,910,608
	156,117	Sabre Corp.		3,690,606
	49,834	Square Inc., Class A Shares*		3,081,735
	1,129	Switch Inc., Class A Shares		18,516
	5,129	Total System Services Inc.		688,414
	3,384	Twilio Inc., Class A Shares*		441,510
	3,083	VeriSign Inc.*		628,470
	102,221	Visa Inc., Class A Shares		18,483,601
	12,750	Western Union Co. (The)		282,030
	1,228	WEX Inc.*		251,187
		Total IT Services		74,945,666
	Semiconductors & Semiconductor Equipment — 5.2%
	29,401	Advanced Micro Devices Inc.*		924,661
	73,139	Analog Devices Inc.		8,032,856
	88,757	Applied Materials Inc.		4,262,111
	56,450	Broadcom Inc.		15,955,028
	3,104	Cree Inc.*		133,255
	10,661	Cypress Semiconductor Corp.		245,310
	3,809	Entegris Inc.		163,139
	2,484	First Solar Inc.*		154,182
	267,218	Intel Corp.		12,668,805
	4,745	KLA Corp.		701,786
	4,394	Lam Research Corp.		924,981
	19,228	Marvell Technology Group Ltd.		460,895
	8,041	Maxim Integrated Products Inc.		438,556
	79,680	Microchip Technology Inc.		6,878,774
	32,478	Micron Technology Inc.*		1,470,279
	1,547	MKS Instruments Inc.		121,115
	1,199	Monolithic Power Systems Inc.		180,521
	47,826	NVIDIA Corp.		8,011,333
	11,784	ON Semiconductor Corp.*		209,755
	3,632	Qorvo Inc.*		259,434
	73,379	QUALCOMM Inc.		5,706,685
	82,990	Skyworks Solutions Inc.		6,246,657
	5,073	Teradyne Inc.		268,717

See Notes to Financial Statements.

47

Schedules of Investments

(continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 21.4% — (continued)
	Semiconductors & Semiconductor Equipment — 5.2% — (continued)
	46,749	Texas Instruments Inc.	$	5,785,189
	1,250	Universal Display Corp.		256,838
	3,279	Versum Materials Inc.		170,508
	7,458	Xilinx Inc.		776,080
		Total Semiconductors & Semiconductor Equipment		81,407,450
	Software — 6.3%
	1,658	2U Inc.*		29,645
	39,453	Adobe Inc.*		11,224,773
	1,361	Alteryx Inc., Class A Shares*		193,874
	2,440	Anaplan Inc.*		132,565
	2,452	ANSYS Inc.*		506,485
	2,042	Aspen Technology Inc.*		271,994
	3,087	Atlassian Corp. PLC, Class A Shares*		415,232
	6,466	Autodesk Inc.*		923,474
	1,278	Avalara Inc.*		107,787
	8,159	Cadence Design Systems Inc.*		558,728
	3,566	CDK Global Inc.		153,909
	1,780	Ceridian HCM Holding Inc.*		102,831
	3,680	Citrix Systems Inc.		342,166
	1,793	Coupa Software Inc.*		249,101
	4,560	DocuSign Inc., Class A Shares*		212,906
	6,191	Dropbox Inc., Class A Shares*		110,819
	1,103	Elastic NV*		96,943
	840	Fair Isaac Corp.*		296,285
	5,842	FireEye Inc.*		78,458
	4,199	Fortinet Inc.*		332,477
	2,416	Guidewire Software Inc.*		232,371
	1,187	HubSpot Inc.*		237,020
	7,310	Intuit Inc.		2,107,912
	1,467	LogMeIn Inc.		98,054
	1,906	Manhattan Associates Inc.*		157,493
	270,431	Microsoft Corp.		37,281,618
	1,382	New Relic Inc.*		79,244
	8,656	Nuance Communications Inc.*		145,507
	41,921	Nutanix Inc., Class A Shares*		1,015,746
	266,473	Oracle Corp.		13,872,584
	333	Pagerduty Inc.*(a)		13,077
	12,553	Palo Alto Networks Inc.*		2,556,042
	1,458	Paycom Software Inc.*		364,675
	931	Paylocity Holding Corp.*		101,684
	1,128	Pegasystems Inc.		79,129
	1,621	Pluralsight Inc., Class A Shares*		26,098
	1,620	Proofpoint Inc.*		184,048
	3,047	PTC Inc.*		199,487
	2,167	RealPage Inc.*		137,973
	2,069	RingCentral Inc., Class A Shares*		291,998
	46,080	salesforce.com Inc.*		7,191,706
	17,887	ServiceNow Inc.*		4,683,532
	2,552	Smartsheet Inc., Class A Shares*		124,027
	760	SolarWinds Corp.*		12,935
	41,607	Splunk Inc.*		4,652,495
	6,447	SS&C Technologies Holdings Inc.		300,495
	17,563	Symantec Corp.		408,340
	4,371	Synopsys Inc.*		619,852

See Notes to Financial Statements.

48

Schedules of Investments

(continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 21.4% — (continued)
	Software — 6.3% — (continued)
	3,416	Teradata Corp.*	$	105,452
	1,111	Trade Desk Inc. (The), Class A Shares*		273,050
	1,117	Tyler Technologies Inc.*		286,555
	12,018	VMware Inc., Class A Shares		1,699,826
	4,681	Workday Inc., Class A Shares*		829,848
	3,165	Zendesk Inc.*		253,833
	1,844	Zscaler Inc.*		126,757
		Total Software		97,090,915
	Technology Hardware, Storage & Peripherals — 2.4%
	149,342	Apple Inc.		31,173,649
	4,488	Dell Technologies Inc., Class C Shares*		231,267
	40,251	Hewlett Packard Enterprise Co.		556,269
	45,201	HP Inc.		826,726
	3,550	NCR Corp.*		111,860
	7,326	NetApp Inc.		352,088
	6,763	Pure Storage Inc., Class A Shares*		110,102
	72,775	Western Digital Corp.		4,167,824
	5,458	Xerox Holdings Corp.		158,227
		Total Technology Hardware, Storage & Peripherals		37,688,012
		TOTAL INFORMATION TECHNOLOGY		332,554,039
	MATERIALS — 3.3%
	Chemicals — 2.1%
	6,461	Air Products & Chemicals Inc.		1,459,669
	3,084	Albemarle Corp.(a)		190,375
	1,827	Ashland Global Holdings Inc.		133,810
	6,037	Axalta Coating Systems Ltd.*		174,349
	1,691	Cabot Corp.		67,640
	50,552	Celanese Corp., Class A Shares		5,731,080
	6,474	CF Industries Holdings Inc.		311,982
	4,838	Chemours Co. (The)		68,554
	22,014	Corteva Inc.		645,450
	21,989	Dow Inc.		937,391
	121,593	DuPont de Nemours Inc.		8,259,813
	4,059	Eastman Chemical Co.		265,337
	20,733	Ecolab Inc.		4,277,425
	6,679	Element Solutions Inc.*		62,315
	3,892	FMC Corp.		335,996
	6,701	Huntsman Corp.		133,484
	3,152	International Flavors & Fragrances Inc.		345,932
	27,660	Linde PLC		5,225,251
	8,621	LyondellBasell Industries NV, Class A Shares		667,093
	10,423	Mosaic Co. (The)		191,679
	203	NewMarket Corp.		96,374
	4,873	Olin Corp.		82,744
	6,923	PPG Industries Inc.		766,999
	3,822	RPM International Inc.		258,635
	1,020	Scotts Miracle-Gro Co. (The)		108,446
	2,434	Sherwin-Williams Co. (The)		1,282,110
	5,523	Valvoline Inc.		124,820
	1,035	Westlake Chemical Corp.		60,641
	1,692	WR Grace & Co.		114,565
		Total Chemicals		32,379,959

See Notes to Financial Statements.

49

Schedules of Investments

(continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	MATERIALS — 3.3% — (continued)
	Construction Materials — 0.6%
	1,336	Eagle Materials Inc.	$	112,478
	1,831	Martin Marietta Materials Inc.		464,653
	59,603	Vulcan Materials Co.		8,418,923
		Total Construction Materials		8,996,054
	Containers & Packaging — 0.4%
	1,870	AptarGroup Inc.		228,551
	2,470	Avery Dennison Corp.		285,458
	9,693	Ball Corp.		779,414
	3,850	Berry Global Group Inc.*		150,689
	48,734	Crown Holdings Inc.*		3,208,647
	8,709	Graphic Packaging Holding Co.		120,271
	11,653	International Paper Co.		455,632
	56,938	Owens-Illinois Inc.		579,059
	2,656	Packaging Corp. of America		267,141
	4,602	Sealed Air Corp.		183,252
	2,343	Silgan Holdings Inc.		69,728
	2,921	Sonoco Products Co.		167,081
	7,462	WestRock Co.		255,051
		Total Containers & Packaging		6,749,974
	Metals & Mining — 0.2%
	5,502	Alcoa Corp.*		98,651
	42,498	Freeport-McMoRan Inc.		390,557
	23,992	Newmont Goldcorp Corp.		957,041
	8,940	Nucor Corp.		437,881
	1,887	Reliance Steel & Aluminum Co.		183,473
	1,914	Royal Gold Inc.		255,289
	2,499	Southern Copper Corp.		78,969
	6,108	Steel Dynamics Inc.		164,916
	5,189	United States Steel Corp.(a)		57,442
		Total Metals & Mining		2,624,219
	Paper & Forest Products — 0.0%
	1,892	Domtar Corp.		62,341
		TOTAL MATERIALS		50,812,547
	REAL ESTATE — 2.7%
	Equity Real Estate Investment Trusts (REITs) — 2.7%
	3,273	Alexandria Real Estate Equities Inc.		490,426
	4,006	American Campus Communities Inc.		186,199
	7,534	American Homes 4 Rent, Class A Shares		192,720
	12,901	American Tower Corp.		2,969,681
	5,700	Americold Realty Trust		207,594
	4,377	Apartment Investment & Management Co., Class A Shares		223,227
	6,154	Apple Hospitality REIT Inc.		98,033
	4,071	AvalonBay Communities Inc.		865,332
	4,535	Boston Properties Inc.		582,385
	5,324	Brandywine Realty Trust		76,399
	8,712	Brixmor Property Group Inc.		160,562
	2,789	Brookfield Property REIT Inc., Class A Shares		52,489
	2,732	Camden Property Trust		295,739
	14,147	Colony Capital Inc.		63,661
	3,586	Columbia Property Trust Inc.		76,704
	1,103	CoreSite Realty Corp.		128,146

See Notes to Financial Statements.

50

Schedules of Investments

(continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	REAL ESTATE — 2.7% — (continued)
	Equity Real Estate Investment Trusts (REITs) — 2.7% — (continued)
	2,886	Corporate Office Properties Trust	$	83,376
	4,186	Cousins Properties Inc.		145,254
	12,175	Crown Castle International Corp.		1,767,445
	5,631	CubeSmart		202,097
	3,313	CyrusOne Inc.		243,373
	6,095	Digital Realty Trust Inc.		753,525
	4,678	Douglas Emmett Inc.		197,412
	10,304	Duke Realty Corp.		342,814
	4,296	Empire State Realty Trust Inc., Class A Shares		60,402
	2,164	EPR Properties		169,333
	6,840	Equinix Inc.		3,804,955
	3,561	Equity Commonwealth		119,863
	2,540	Equity LifeStyle Properties Inc.		342,189
	105,431	Equity Residential		8,936,331
	1,919	Essex Property Trust Inc.		616,498
	3,624	Extra Space Storage Inc.		441,838
	2,201	Federal Realty Investment Trust		284,391
	5,930	Gaming and Leisure Properties Inc.		231,982
	14,037	HCP Inc.		487,224
	6,097	Healthcare Trust of America Inc., Class A Shares		172,911
	3,080	Highwoods Properties Inc.		133,087
	4,714	Hospitality Properties Trust		113,796
	21,756	Host Hotels & Resorts Inc.		348,966
	4,496	Hudson Pacific Properties Inc.		152,864
	12,512	Invitation Homes Inc.		359,845
	8,354	Iron Mountain Inc.		266,075
	3,581	JBG SMITH Properties		137,009
	2,901	Kilroy Realty Corp.		225,872
	11,953	Kimco Realty Corp.		219,696
	2,524	Lamar Advertising Co., Class A Shares		193,465
	4,330	Liberty Property Trust		225,680
	1,390	Life Storage Inc.		147,284
	4,219	Macerich Co. (The)		120,368
	11,192	Medical Properties Trust Inc.		208,059
	3,364	Mid-America Apartment Communities Inc.		426,151
	4,804	National Retail Properties Inc.		269,745
	6,370	Omega Healthcare Investors Inc.		259,132
	4,199	Outfront Media Inc.		115,388
	6,198	Paramount Group Inc.		81,690
	5,896	Park Hotels & Resorts Inc.		138,851
	18,430	Prologis Inc.		1,541,117
	4,344	Public Storage		1,150,031
	3,908	Rayonier Inc.		104,734
	9,237	Realty Income Corp.		681,783
	4,925	Regency Centers Corp.		317,712
	6,518	Retail Properties of America Inc., Class A Shares		74,044
	3,290	SBA Communications Corp., Class A Shares		863,395
	9,021	Simon Property Group Inc.		1,343,588
	4,094	SITE Centers Corp.		56,743
	2,498	SL Green Realty Corp.		200,389
	2,596	Spirit Realty Capital Inc.		124,452
	6,134	STORE Capital Corp.		231,620
	2,502	Sun Communities Inc.		369,796
	1,712	Taubman Centers Inc.		66,854

See Notes to Financial Statements.

51

Schedules of Investments

(continued)

Large Cap Equity Fund
Shares/Units		Security	Value
	REAL ESTATE — 2.7% — (continued)
	Equity Real Estate Investment Trusts (REITs) — 2.7% — (continued)
	8,188	UDR Inc.	$	394,498
	10,507	Ventas Inc.		771,109
	28,555	VEREIT Inc.		278,411
	12,160	VICI Properties Inc.		269,466
	5,005	Vornado Realty Trust		302,652
	3,622	Weingarten Realty Investors		95,947
	11,890	Welltower Inc.		1,064,868
	21,848	Weyerhaeuser Co.		574,821
	4,956	WP Carey Inc.		445,049
		Total Equity Real Estate Investment Trusts (REITs)		41,538,612
	Real Estate Management & Development — 0.0%
	9,816	CBRE Group Inc., Class A Shares*		513,082
	1,168	Howard Hughes Corp. (The)*		147,484
	1,355	Jones Lang LaSalle Inc.		181,638
		Total Real Estate Management & Development		842,204
		TOTAL REAL ESTATE		42,380,816
	UTILITIES — 2.2%
	Electric Utilities — 1.5%
	6,961	Alliant Energy Corp.		365,104
	14,506	American Electric Power Co., Inc.		1,322,222
	1,700	Avangrid Inc.		85,918
	21,391	Duke Energy Corp.		1,983,801
	121,650	Edison International		8,791,646
	5,570	Entergy Corp.		628,519
	7,150	Evergy Inc.		464,750
	9,324	Eversource Energy		747,132
	28,475	Exelon Corp.		1,345,728
	15,586	FirstEnergy Corp.		716,956
	3,142	Hawaiian Electric Industries Inc.		139,505
	1,411	IDACORP Inc.		154,942
	14,054	NextEra Energy Inc.		3,078,950
	5,857	OGE Energy Corp.		251,090
	15,677	PG&E Corp.*		163,825
	3,288	Pinnacle West Capital Corp.		313,379
	21,201	PPL Corp.		626,490
	30,555	Southern Co. (The)		1,780,134
	15,100	Xcel Energy Inc.		969,722
		Total Electric Utilities		23,929,813
	Gas Utilities — 0.0%
	3,392	Atmos Energy Corp.		373,900
	2,397	National Fuel Gas Co.		112,036
	5,094	UGI Corp.		247,925
		Total Gas Utilities		733,861
	Independent Power & Renewable Electricity Producers — 0.1%
	19,455	AES Corp.		298,245
	7,892	NRG Energy Inc.		287,269
	12,194	Vistra Energy Corp.		304,240
		Total Independent Power & Renewable Electricity Producers		889,754
	Multi-Utilities — 0.5%
	7,184	Ameren Corp.		554,246

See Notes to Financial Statements.

52

Schedules of Investments

(continued)

Large Cap Equity Fund
Shares/Units			Security	Value
	UTILITIES — 2.2% — (continued)
	Multi-Utilities — 0.5% — (continued)
	14,731		CenterPoint Energy Inc.	$	407,901
	8,300		CMS Energy Corp.		523,315
	9,617		Consolidated Edison Inc.		854,951
	23,531		Dominion Energy Inc.		1,826,712
	5,358		DTE Energy Co.		694,718
	5,807		MDU Resources Group Inc.		156,150
	11,000		NiSource Inc.		325,050
	14,810		Public Service Enterprise Group Inc.		895,561
	8,058		Sempra Energy		1,141,255
	9,256		WEC Energy Group Inc.		886,447
			Total Multi-Utilities		8,266,306
	Water Utilities — 0.1%
	5,298		American Water Works Co., Inc.		674,541
	6,328		Aqua America Inc.		280,267
			Total Water Utilities		954,808
			TOTAL UTILITIES		34,774,542
			TOTAL COMMON STOCKS (Cost — $981,106,946)		1,479,039,974
	CLOSED END MUTUAL FUND SECURITY — 2.4%
	FINANCIALS — 2.4%
	Capital Markets — 2.4%
	675,204		iShares® Core S&P U.S. Value, Common Class Shares(a) (Cost — $38,378,528)		37,804,672
			TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $1,019,485,474)		1,516,844,646
Face Amount†
	SHORT-TERM INVESTMENTS (c) — 2.3%
	MONEY MARKET FUND — 0.6%
$	10,273,681		Invesco STIT — Government & Agency Portfolio, 1.998%, Institutional Class(d) (Cost — $10,273,681)		10,273,681
	TIME DEPOSITS — 1.7%
	2,290,580		ANZ National Bank — London, 1.490% due 9/3/19		2,290,580
	5,802,561		Banco Santander SA — Frankfurt, 1.490% due 9/3/19		5,802,561
	14,290,506		Barclays Bank PLC — London, 1.490% due 9/3/19		14,290,506
	17,069	CAD	BBH — Grand Cayman, 0.870% due 9/3/19		12,822
	3,629,640		JPMorgan Chase & Co. — New York, 1.490% due 9/3/19		3,629,640
			TOTAL TIME DEPOSITS (Cost — $26,026,109)		26,026,109
			TOTAL SHORT-TERM INVESTMENTS (Cost — $36,299,790)		36,299,790
			TOTAL INVESTMENTS — 99.9% (Cost — $1,055,785,264)		1,553,144,436
			Other Assets in Excess of Liabilities — 0.1%		778,718
			TOTAL NET ASSETS — 100.0%	$	1,553,923,154

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

* Non-income producing security.

See Notes to Financial Statements.

53

Schedules of Investments

(continued)

Large Cap Equity Fund

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

(b) Affiliated security (See Note 2). As of August 31, 2019, total cost and total market value of affiliated securities amounted to $858,128 and $1,473,725, respectively.

(c) Inclusive of all short-term holdings, including investment of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 1.7%.

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

At August 31, 2019, for Large Cap Equity Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:

Fund	Aggregate Cost For Federal Income Tax Purposes		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation
Large Cap Equity Fund	$	1,066,480,832	$	563,928,998	$	(77,264,711	)	$	486,664,287

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

Summary of Investments by Security Sector^
Information Technology	21.6	%
Health Care	15.4
Financials	14.0
Consumer Discretionary	10.3
Industrials	8.9
Communication Services	8.8
Consumer Staples	6.3
Energy	4.7
Materials	3.3
Real Estate	2.7
Utilities	2.3
Short-Term Investments	1.7
	100.0	%+

^ As a percentage of total investments.

+ Does not reflect investments of collateral received from securities lending transactions.

At August 31, 2019, Large Cap Equity 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)		Notional Amount		Market Value		Unrealized Appreciation/ (Depreciation)
Contracts to Buy:
S&P 500 E-mini Index September Futures		63		9/19	$	9,198,813	$	9,212,963	$	14,150
S&P MidCap 400 E-mini Index September Futures		4		9/19		766,027		752,560		(13,467	)
									$	683

At August 31, 2019, Large Cap Equity Fund had deposited cash of $430,984 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.

Currency Abbreviation used in this schedule:
CAD	— Canadian Dollar

See Notes to Financial Statements.

54

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	COMMON STOCKS — 95.7%
	COMMUNICATION SERVICES — 1.9%
	Diversified Telecommunication Services — 0.3%
	400	Anterix Inc.*	$	15,500
	463	ATN International Inc.		26,308
	664	Bandwidth Inc., Class A Shares*		57,894
	1,779	Cincinnati Bell Inc.*		9,660
	1,743	Cogent Communications Holdings Inc.		106,131
	2,863	Consolidated Communications Holdings Inc.		11,538
	3,297	Frontier Communications Corp.*		2,639
	4,024	GCI Liberty Inc., Class A Shares*		250,454
	693	IDT Corp., Class B Shares*		6,112
	2,769	Intelsat SA*		57,263
	4,097	Iridium Communications Inc.*		99,065
	695	Ooma Inc.*		8,688
	3,059	ORBCOMM Inc.*		14,102
	4,484	Pareteum Corp.*		9,596
	9,241	Vonage Holdings Corp.*		122,166
	9,276	Zayo Group Holdings Inc.*		312,230
		Total Diversified Telecommunication Services		1,109,346
	Entertainment — 0.7%
	2,111	AMC Entertainment Holdings Inc., Class A Shares(a)		23,453
	4,395	Cinemark Holdings Inc.		167,713
	1,517	Eros International PLC*		2,564
	379	Gaia Inc., Class A Shares*(a)		2,528
	4,971	Glu Mobile Inc.*		22,071
	2,094	IMAX Corp.*		43,807
	367	Liberty Media Corp-Liberty Braves, Class A Shares*		10,082
	1,479	Liberty Media Corp-Liberty Braves, Class C Shares*		40,613
	1,049	Liberty Media Corp-Liberty Formula One, Class A Shares*		41,530
	8,103	Liberty Media Corp-Liberty Formula One, Class C Shares*		338,219
	1,936	Lions Gate Entertainment Corp., Class A Shares		17,482
	4,396	Lions Gate Entertainment Corp., Class B Shares		36,663
	1,068	LiveXLive Media Inc.*(a)		2,371
	3,222	Madison Square Garden Co. (The), Class A Shares*		813,007
	931	Marcus Corp. (The)		31,244
	609	Reading International Inc., Class A Shares*		7,552
	869	Rosetta Stone Inc.*		15,859
	9,063	World Wrestling Entertainment Inc., Class A Shares		647,370
	110,052	Zynga Inc., Class A Shares*		628,397
		Total Entertainment		2,892,525
	Interactive Media & Services — 0.2%
	735	Care.com Inc.*		7,269
	3,064	Cargurus Inc., Class A Shares*		99,948
	2,700	Cars.com Inc.*		24,057
	2,121	DHI Group Inc.*		7,699
	1,512	Eventbrite Inc., Class A Shares*		26,430
	350	EverQuote Inc., Class A Shares*		7,836
	3,004	Liberty TripAdvisor Holdings Inc., Class A Shares*		26,255
	2,635	Meet Group Inc. (The)*		9,091
	1,869	QuinStreet Inc.*		21,400
	118	Travelzoo*		1,401
	4,329	TripAdvisor Inc.*		164,459
	4,328	TrueCar Inc.*		17,139
	3,075	Yelp Inc., Class A Shares*		103,043

See Notes to Financial Statements.

55

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	COMMUNICATION SERVICES — 1.9% — (continued)
	Interactive Media & Services — 0.2% — (continued)
	2,364	Zillow Group Inc., Class A Shares*	$	80,778
	5,022	Zillow Group Inc., Class C Shares*(a)		172,907
		Total Interactive Media & Services		769,712
	Media — 0.7%
	1,804	AMC Networks Inc., Class A Shares*		87,494
	421	Boston Omaha Corp., Class A Shares*		8,622
	179	Cable One Inc.		232,274
	562	Cardlytics Inc.*		21,114
	299	cbdMD Inc.*		1,226
	3,403	Central European Media Enterprises Ltd., Class A Shares*		15,790
	1,440	Clear Channel Outdoor Holdings Inc., Class A Shares*		3,744
	2,045	comScore Inc.*		3,804
	17,800	Criteo SA, ADR*		345,676
	587	Cumulus Media Inc., Class A Shares*		7,983
	40	Daily Journal Corp.*(a)		8,019
	930	Emerald Expositions Events Inc.		8,891
	5,132	Entercom Communications Corp., Class A Shares		18,270
	2,331	Entravision Communications Corp., Class A Shares		7,133
	2,268	EW Scripps Co. (The), Class A Shares		28,033
	2,051	Fluent Inc.*		6,112
	4,399	Gannett Co., Inc.		46,277
	3,769	Gray Television Inc.*		57,666
	634	Hemisphere Media Group Inc., Class A Shares*		7,526
	15,876	Interpublic Group of Cos., Inc. (The)		315,615
	6,526	John Wiley & Sons Inc., Class A Shares		290,407
	2,251	Lee Enterprises Inc.*		4,007
	1,808	Liberty Latin America Ltd., Class A Shares*		29,687
	4,694	Liberty Latin America Ltd., Class C Shares*		77,404
	526	Loral Space & Communications Inc.*		19,457
	1,455	Marchex Inc., Class B Shares*		4,947
	2,388	MDC Partners Inc., Class A Shares*		5,612
	1,642	Meredith Corp.		71,887
	14,836	MSG Networks Inc., Class A Shares*		243,310
	2,565	National CineMedia Inc.		21,033
	2,428	New Media Investment Group Inc.(a)		21,318
	6,652	New York Times Co. (The), Class A Shares		194,238
	15,756	News Corp., Class A Shares		216,645
	4,959	News Corp., Class B Shares		70,219
	1,837	Nexstar Media Group Inc., Class A Shares		181,661
	152	Saga Communications Inc., Class A Shares		4,338
	1,131	Scholastic Corp.		39,664
	2,457	Sinclair Broadcast Group Inc., Class A Shares		109,509
	912	TechTarget Inc.*		21,651
	8,851	TEGNA Inc.		126,658
	3,604	Tribune Media Co., Class A Shares		167,874
	653	Tribune Publishing Co.		4,995
	1,084	WideOpenWest Inc.*		6,092
		Total Media		3,163,882
	Wireless Telecommunication Services — 0.0%
	1,804	Boingo Wireless Inc.*		23,217
	2,063	Gogo Inc.*(a)		8,293
	1,991	Shenandoah Telecommunications Co.		62,796
	703	Spok Holdings Inc.		8,260

See Notes to Financial Statements.

56

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	COMMUNICATION SERVICES — 1.9% — (continued)
	Wireless Telecommunication Services — 0.0% — (continued)
	4,100	Telephone & Data Systems Inc.	$	103,320
	637	United States Cellular Corp.*		22,926
		Total Wireless Telecommunication Services		228,812
		TOTAL COMMUNICATION SERVICES		8,164,277
	CONSUMER DISCRETIONARY — 7.7%
	Auto Components — 0.3%
	3,552	Adient PLC		71,644
	4,620	American Axle & Manufacturing Holdings Inc.*		29,291
	8,470	BorgWarner Inc.		276,376
	2,080	Cooper Tire & Rubber Co.		48,859
	696	Cooper-Standard Holdings Inc.*		26,058
	5,971	Dana Inc.		76,011
	1,112	Dorman Products Inc.*		79,041
	1,527	Fox Factory Holding Corp.*		110,005
	10,531	Gentex Corp.		280,125
	1,346	Gentherm Inc.*		49,398
	9,686	Goodyear Tire & Rubber Co. (The)		111,098
	1,012	LCI Industries		85,767
	2,131	Modine Manufacturing Co.*		21,757
	780	Motorcar Parts of America Inc.*		11,333
	841	Standard Motor Products Inc.		37,265
	1,142	Stoneridge Inc.*		35,071
	2,065	Tenneco Inc., Class A Shares		18,007
	816	Tower International Inc.		25,239
	1,133	Visteon Corp.*		78,143
		Total Auto Components		1,470,488
	Automobiles — 0.1%
	6,494	Harley-Davidson Inc.		207,159
	1	Tesla Inc.*		226
	2,208	Thor Industries Inc.		101,369
	1,315	Winnebago Industries Inc.		42,106
		Total Automobiles		350,860
	Distributors — 0.1%
	1,874	Core-Mark Holding Co., Inc.		60,699
	701	Funko Inc., Class A Shares*(a)		16,817
	421	Greenlane Holdings Inc., Class A Shares*(a)		2,610
	1,583	Pool Corp.		310,869
	241	Weyco Group Inc.		5,912
		Total Distributors		396,907
	Diversified Consumer Services — 0.9%
	2,339	Adtalem Global Education Inc.*		99,922
	654	American Public Education Inc.*		15,846
	5,841	Bright Horizons Family Solutions Inc.*		964,057
	2,852	Career Education Corp.*		58,495
	686	Carriage Services Inc., Class A Shares		14,591
	4,733	Chegg Inc.*		187,616
	334	Collectors Universe Inc.		8,657
	3,485	frontdoor Inc.*		178,920
	172	Graham Holdings Co., Class B Shares		121,098
	1,949	Grand Canyon Education Inc.*		244,794
	8,364	H&R Block Inc.		202,576

See Notes to Financial Statements.

57

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 7.7% — (continued)
	Diversified Consumer Services — 0.9% — (continued)
	4,488	Houghton Mifflin Harcourt Co.*	$	26,704
	1,596	K12 Inc.*		42,055
	3,948	Laureate Education Inc., Class A Shares*		72,248
	1,866	OneSpaWorld Holdings Ltd.*		29,296
	1,186	Regis Corp.*		19,178
	886	Select Interior Concepts Inc., Class A Shares*		10,995
	7,275	Service Corp. International		336,833
	5,598	ServiceMaster Global Holdings Inc.*		319,310
	1,286	Sotheby’s*		74,267
	4,669	Strategic Education Inc.		790,135
	1,932	Weight Watchers International Inc.*		57,941
		Total Diversified Consumer Services		3,875,534
	Hotels, Restaurants & Leisure — 1.6%
	10,071	Aramark		411,501
	2,447	BBX Capital Corp., Class A Shares		10,155
	43	Biglari Holdings Inc., Class B Shares*		3,772
	817	BJ’s Restaurants Inc.		29,771
	3,821	Bloomin’ Brands Inc.		68,931
	271	Bluegreen Vacations Corp.		2,564
	3,342	Boyd Gaming Corp.		80,342
	1,559	Brinker International Inc.		59,242
	23,350	Caesars Entertainment Corp.*		268,759
	1,274	Carrols Restaurant Group Inc.*		9,300
	1,025	Century Casinos Inc.*		7,872
	1,776	Cheesecake Factory Inc. (The)		67,470
	1,375	Choice Hotels International Inc.		125,097
	1,431	Churchill Downs Inc.		176,385
	618	Chuy’s Holdings Inc.*		15,679
	790	Cracker Barrel Old Country Store Inc.		130,666
	1,499	Dave & Buster’s Entertainment Inc.		64,532
	1,362	Del Frisco’s Restaurant Group Inc.*		10,855
	1,108	Del Taco Restaurants Inc.*		12,387
	2,380	Denny’s Corp.*		56,144
	690	Dine Brands Global Inc.		48,680
	1,683	Domino’s Pizza Inc.		381,772
	2,117	Drive Shack Inc.*		9,971
	3,401	Dunkin’ Brands Group Inc.		280,378
	740	El Pollo Loco Holdings Inc.*		7,555
	17,894	Eldorado Resorts Inc.*		689,098
	163	Empire Resorts Inc.*(a)		1,578
	2,852	Everi Holdings Inc.*		25,497
	7,862	Extended Stay America Inc.		110,461
	893	Fiesta Restaurant Group Inc.*		7,716
	660	Golden Entertainment Inc.*		9,359
	705	Habit Restaurants Inc. (The), Class A Shares*		6,176
	3,755	Hilton Grand Vacations Inc.*		126,806
	1,552	Hyatt Hotels Corp., Class A Shares		111,977
	463	Inspired Entertainment Inc.*(a)		3,236
	20,093	International Game Technology PLC		240,714
	944	International Speedway Corp., Class A Shares		42,499
	603	J Alexander’s Holdings Inc.*		7,115
	1,039	Jack in the Box Inc.		88,647
	892	Lindblad Expeditions Holdings Inc.*		16,645
	1,801	Marriott Vacations Worldwide Corp.		177,561

See Notes to Financial Statements.

58

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 7.7% — (continued)
	Hotels, Restaurants & Leisure — 1.6% — (continued)
	453	Monarch Casino & Resort Inc.*	$	20,104
	109	Nathan’s Famous Inc.		7,259
	1,212	Noodles & Co., Class A Shares*		6,993
	892	Papa John’s International Inc.		44,386
	4,603	Penn National Gaming Inc.*		88,240
	3,473	Planet Fitness Inc., Class A Shares*		245,229
	1,121	PlayAGS Inc.*		10,919
	807	Potbelly Corp.*		3,736
	336	RCI Hospitality Holdings Inc.		5,981
	1,230	Red Lion Hotels Corp.*		6,445
	529	Red Robin Gourmet Burgers Inc.*		17,716
	2,915	Red Rock Resorts Inc., Class A Shares		60,778
	1,138	Ruth’s Hospitality Group Inc.		22,134
	2,261	Scientific Games Corp., Class A Shares*		41,783
	18,652	SeaWorld Entertainment Inc.*		541,095
	1,148	Shake Shack Inc., Class A Shares*		113,836
	3,269	Six Flags Entertainment Corp.		193,427
	459	Speedway Motorsports Inc.		9,065
	1,394	Target Hospitality Corp.*		8,503
	2,796	Texas Roadhouse Inc., Class A Shares		143,882
	873	Twin River Worldwide Holdings Inc.(a)		19,773
	1,651	Vail Resorts Inc.		390,098
	7,689	Wendy’s Co. (The)		169,158
	1,210	Wingstop Inc.		121,206
	3,792	Wyndham Destinations Inc.		168,137
	3,924	Wyndham Hotels & Resorts Inc.		201,615
		Total Hotels, Restaurants & Leisure		6,666,363
	Household Durables — 1.4%
	339	Bassett Furniture Industries Inc.		4,129
	1,023	Beazer Homes USA Inc.*		12,818
	350	Cavco Industries Inc.*		64,215
	1,036	Century Communities Inc.*		29,195
	1,049	Ethan Allen Interiors Inc.		18,043
	295	Flexsteel Industries Inc.		4,466
	5,174	GoPro Inc., Class A Shares*		20,023
	917	Green Brick Partners Inc.*		8,427
	230	Hamilton Beach Brands Holding Co., Class A Shares		3,259
	1,025	Helen of Troy Ltd.*		157,348
	439	Hooker Furniture Corp.		7,841
	937	Installed Building Products Inc.*		53,325
	1,134	iRobot Corp.*		70,093
	3,526	KB Home		99,045
	1,797	La-Z-Boy Inc.		57,270
	284	Legacy Housing Corp.*		4,195
	5,406	Leggett & Platt Inc.		201,049
	828	LGI Homes Inc.*		67,490
	440	Lifetime Brands Inc.		3,397
	232	Lovesac Co. (The)*		3,990
	1,066	M/I Homes Inc.*		38,525
	1,999	MDC Holdings Inc.		77,301
	1,495	Meritage Homes Corp.*		97,683
	37,604	Newell Brands Inc.		624,227
	130	NVR Inc.*		467,870
	10,594	PulteGroup Inc.		358,077

See Notes to Financial Statements.

59

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 7.7% — (continued)
	Household Durables — 1.4% — (continued)
	3,365	Roku Inc., Class A Shares*	$	509,327
	2,079	Skyline Champion Corp.*		58,212
	2,877	Sonos Inc.*		41,774
	4,342	Taylor Morrison Home Corp., Class A Shares*		103,600
	10,102	Tempur Sealy International Inc.*		779,066
	5,536	Toll Brothers Inc.		200,348
	14,236	TopBuild Corp.*		1,318,538
	5,935	TRI Pointe Group Inc.*		83,090
	1,972	Tupperware Brands Corp.		25,656
	542	Universal Electronics Inc.*		24,471
	1,267	William Lyon Homes, Class A Shares*		22,388
	1,005	ZAGG Inc.*		6,442
		Total Household Durables		5,726,213
	Internet & Direct Marketing Retail — 0.2%
	954	1-800-Flowers.com Inc., Class A Shares*		14,043
	317	Duluth Holdings Inc., Class B Shares*		2,913
	4,901	Etsy Inc.*		258,724
	18,720	Groupon Inc., Class A Shares*		46,426
	3,744	GrubHub Inc.*(a)		222,169
	409	Lands’ End Inc.*		3,170
	584	Leaf Group Ltd.*		2,441
	1,072	Liquidity Services Inc.*		8,115
	1,108	Overstock.com Inc.*(a)		17,429
	823	PetMed Express Inc.(a)		13,003
	3,192	Quotient Technology Inc.*		23,429
	16,227	Qurate Retail Inc., Class A Shares*		173,791
	1,975	Rubicon Project Inc. (The)*		20,204
	1,420	Shutterfly Inc.*		72,250
	804	Shutterstock Inc.*		28,228
	682	Stamps.com Inc.*		43,893
	1,729	Stitch Fix Inc., Class A Shares*(a)		32,955
	2,179	Waitr Holdings Inc.*(a)		3,770
		Total Internet & Direct Marketing Retail		986,953
	Leisure Products — 0.2%
	1,484	Acushnet Holdings Corp.		38,539
	2,245	American Outdoor Brands Corp.*		13,492
	3,561	Brunswick Corp.		165,943
	3,871	Callaway Golf Co.		68,749
	771	Clarus Corp.		8,489
	544	Escalade Inc.		5,619
	187	Johnson Outdoors Inc., Class A Shares		10,472
	819	Malibu Boats Inc., Class A Shares*		22,785
	338	Marine Products Corp.		5,114
	766	MasterCraft Boat Holdings Inc.*		11,605
	14,105	Mattel Inc.*(a)		138,229
	2,367	Polaris Inc.		194,141
	656	Sturm Ruger & Co., Inc.		26,903
	2,586	Vista Outdoor Inc.*		14,456
	1,275	YETI Holdings Inc.*(a)		36,019
		Total Leisure Products		760,555
	Multiline Retail — 0.2%
	1,687	Big Lots Inc.		38,379

See Notes to Financial Statements.

60

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 7.7% — (continued)
	Multiline Retail — 0.2% — (continued)
	455	Dillard’s Inc., Class A Shares(a)	$	26,627
	11,493	JC Penney Co., Inc.*(a)		8,552
	6,695	Kohl’s Corp.		316,406
	12,727	Macy’s Inc.		187,850
	4,442	Nordstrom Inc.(a)		128,685
	2,162	Ollie’s Bargain Outlet Holdings Inc.*		119,883
		Total Multiline Retail		826,382
	Specialty Retail — 2.0%
	2,768	Aaron’s Inc.		177,457
	2,783	Abercrombie & Fitch Co., Class A Shares		40,687
	26,584	American Eagle Outfitters Inc.		447,143
	268	America’s Car-Mart Inc.*		22,989
	804	Asbury Automotive Group Inc.*		75,817
	6,121	Ascena Retail Group Inc.*		1,524
	1,759	At Home Group Inc.*		11,856
	2,212	AutoNation Inc.*		104,982
	1,375	Barnes & Noble Education Inc.*		5,363
	5,077	Bed Bath & Beyond Inc.(a)		49,095
	1,173	Boot Barn Holdings Inc.*		40,175
	1,174	Buckle Inc. (The)		23,010
	2,685	Burlington Stores Inc.*		543,686
	1,638	Caleres Inc.		33,006
	1,498	Camping World Holdings Inc., Class A Shares(a)		11,385
	13,709	CarMax Inc.*		1,141,686
	1,620	Carvana Co., Class A Shares*		131,479
	835	Cato Corp. (The), Class A Shares		14,304
	41,407	Chico’s FAS Inc.		129,190
	5,121	Children’s Place Inc. (The)(a)		446,807
	480	Citi Trends Inc.		8,069
	814	Conn’s Inc.*		16,410
	550	Container Store Group Inc. (The)*		2,464
	22,265	Designer Brands Inc., Class A Shares		367,150
	2,805	Dick’s Sporting Goods Inc.		95,482
	31,186	Express Inc.*		66,114
	7,906	Five Below Inc.*		971,410
	2,724	Floor & Decor Holdings Inc., Class A Shares*		134,075
	4,591	Foot Locker Inc.		166,148
	3,928	GameStop Corp., Class A Shares(a)		15,594
	723	Genesco Inc.*		25,797
	2,827	GNC Holdings Inc., Class A Shares*(a)		5,541
	719	Group 1 Automotive Inc.		53,724
	2,336	Guess? Inc.		42,212
	849	Haverty Furniture Cos., Inc.		16,258
	705	Hibbett Sports Inc.*		11,661
	1,765	Hudson Ltd., Class A Shares*		19,150
	421	J. Jill Inc.		787
	9,367	L Brands Inc.		154,649
	902	Lithia Motors Inc., Class A Shares		118,225
	1,030	Lumber Liquidators Holdings Inc.*(a)		9,692
	970	MarineMax Inc.*		14,026
	3,489	Michaels Cos., Inc. (The)*		19,783
	12,695	Monro Inc.		986,655
	1,245	Murphy USA Inc.*		111,303
	2,843	National Vision Holdings Inc.*		80,627

See Notes to Financial Statements.

61

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 7.7% — (continued)
	Specialty Retail — 2.0% — (continued)
	145,788	Office Depot Inc.	$	189,524
	69,060	Party City Holdco Inc.*(a)		324,582
	1,473	Penske Automotive Group Inc.		63,015
	2,016	Rent-A-Center Inc.*		51,468
	744	RH*		106,578
	18,497	RTW RetailWinds Inc.*		18,682
	5,015	Sally Beauty Holdings Inc.*		61,333
	395	Shoe Carnival Inc.		12,142
	2,105	Signet Jewelers Ltd.		25,765
	1,209	Sleep Number Corp.*		50,585
	1,015	Sonic Automotive Inc., Class A Shares		27,314
	1,261	Sportsman’s Warehouse Holdings Inc.*		5,321
	1,797	Tailored Brands Inc.(a)		9,740
	1,600	Tile Shop Holdings Inc.		4,304
	777	Tilly’s Inc., Class A Shares		8,322
	3,075	Urban Outfitters Inc.*		71,986
	3,219	Williams-Sonoma Inc.		211,810
	88	Winmark Corp.		14,300
	780	Zumiez Inc.*		20,264
		Total Specialty Retail		8,241,682
	Textiles, Apparel & Luxury Goods — 0.7%
	5,858	Capri Holdings Ltd.*		154,534
	10,587	Carter’s Inc.		968,499
	931	Centric Brands Inc.*		2,579
	1,226	Columbia Sportswear Co.		114,986
	2,579	Crocs Inc.*		57,512
	481	Culp Inc.		6,753
	1,194	Deckers Outdoor Corp.*		176,055
	266	Delta Apparel Inc.*		5,969
	1,985	Fossil Group Inc.*		25,408
	1,876	G-III Apparel Group Ltd.*		38,477
	14,785	Hanesbrands Inc.		201,963
	1,843	Kontoor Brands Inc.*		63,104
	703	Movado Group Inc.		15,128
	706	Oxford Industries Inc.		49,265
	2,141	Ralph Lauren Corp., Class A Shares		189,136
	212	Rocky Brands Inc.		6,178
	5,405	Skechers U.S.A. Inc., Class A Shares*		171,122
	3,517	Steven Madden Ltd.		116,835
	332	Superior Group of Cos., Inc.		4,708
	507	Unifi Inc.*		9,755
	769	Vera Bradley Inc.*		8,144
	28,282	Wolverine World Wide Inc.		733,918
		Total Textiles, Apparel & Luxury Goods		3,120,028
		TOTAL CONSUMER DISCRETIONARY		32,421,965
	CONSUMER STAPLES — 3.0%
	Beverages — 0.2%
	340	Boston Beer Co., Inc. (The), Class A Shares*		149,063
	4,617	Brown-Forman Corp., Class B Shares		272,357
	1,034	Celsius Holdings Inc.*		4,239
	194	Coca-Cola Consolidated Inc.		65,302
	473	Craft Brew Alliance Inc.*		4,754
	522	MGP Ingredients Inc.		25,145

See Notes to Financial Statements.

62

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER STAPLES — 3.0% — (continued)
	Beverages — 0.2% — (continued)
	467	National Beverage Corp.(a)	$	19,100
	3,000	New Age Beverages Corp.*(a)		9,120
	7,479	Pernod Ricard SA, ADR(a)		285,698
	1,485	Primo Water Corp.*		18,161
		Total Beverages		852,939
	Food & Staples Retailing — 0.4%
	1,305	Andersons Inc. (The)		29,911
	4,614	BJ’s Wholesale Club Holdings Inc.*		121,164
	1,503	Casey’s General Stores Inc.		252,279
	1,005	Chefs’ Warehouse Inc. (The)*		38,773
	1,840	Grocery Outlet Holding Corp.*		74,428
	309	HF Foods Group Inc.*		5,988
	574	Ingles Markets Inc., Class A Shares		22,317
	321	Natural Grocers by Vitamin Cottage Inc.*		3,030
	4,209	Performance Food Group Co.*		196,939
	913	PriceSmart Inc.		55,173
	2,402	Rite Aid Corp.*(a)		15,517
	1,330	SpartanNash Co.		14,324
	4,922	Sprouts Farmers Market Inc.*		88,350
	3,623	Sysco Corp.		269,298
	1,879	United Natural Foods Inc.*		15,107
	8,972	US Foods Holding Corp.*		362,917
	361	Village Super Market Inc., Class A Shares		9,014
	366	Weis Markets Inc.		13,992
		Total Food & Staples Retailing		1,588,521
	Food Products — 1.8%
	215	Alico Inc.		6,418
	2,624	B&G Foods Inc.(a)		44,424
	517	Beyond Meat Inc.*(a)		86,665
	71	Bridgford Foods Corp.*		2,378
	5,659	Bunge Ltd.		302,247
	668	Calavo Growers Inc.		59,218
	40,280	Cal-Maine Foods Inc.		1,632,951
	6,759	Darling Ingredients Inc.*		125,718
	3,413	Dean Foods Co.		3,447
	410	Farmer Brothers Co.*		4,977
	7,983	Flowers Foods Inc.		182,012
	1,258	Fresh Del Monte Produce Inc.		32,758
	1,281	Freshpet Inc.*		62,872
	24,181	Hain Celestial Group Inc. (The)*		460,648
	4,119	Hostess Brands Inc., Class A Shares*		57,748
	2,746	Ingredion Inc.		212,184
	620	J&J Snack Foods Corp.		119,697
	339	John B Sanfilippo & Son Inc.		31,391
	6,005	Lamb Weston Holdings Inc.		422,692
	765	Lancaster Colony Corp.		111,614
	1,096	Landec Corp.*		12,045
	624	Limoneira Co.		11,332
	2,216	Pilgrim’s Pride Corp.*		69,051
	2,662	Post Holdings Inc.*		265,375
	16,308	Sanderson Farms Inc.		2,440,003
	11	Seaboard Corp.		45,432
	217	Seneca Foods Corp., Class A Shares*		5,963

See Notes to Financial Statements.

63

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	CONSUMER STAPLES — 3.0% — (continued)
	Food Products — 1.8% — (continued)
	2,906	Simply Good Foods Co. (The)*	$	86,105
	628	Tootsie Roll Industries Inc.		23,035
	16,382	TreeHouse Foods Inc.*		829,748
		Total Food Products		7,750,148
	Household Products — 0.3%
	2,192	Central Garden & Pet Co., Class A Shares*		53,705
	2,643	Energizer Holdings Inc.(a)		101,756
	34,073	Henkel AG & Co. KGaA, ADR		785,553
	209	Oil-Dri Corp. of America		6,429
	1,467	Spectrum Brands Holdings Inc.		81,961
	564	WD-40 Co.		102,817
		Total Household Products		1,132,221
	Personal Products — 0.3%
	2,244	Edgewell Personal Care Co.*		62,473
	1,096	elf Beauty Inc.*		17,887
	18,146	Herbalife Nutrition Ltd.*		624,767
	731	Inter Parfums Inc.		46,996
	585	Lifevantage Corp.*		7,114
	459	Medifast Inc.		45,882
	462	Nature’s Sunshine Products Inc.*		4,347
	9,694	Nu Skin Enterprises Inc., Class A Shares		393,770
	325	Revlon Inc., Class A Shares*(a)		5,372
	558	USANA Health Sciences Inc.*		37,927
	305	Youngevity International Inc.*(a)		1,305
		Total Personal Products		1,247,840
	Tobacco — 0.0%
	3,975	22nd Century Group Inc.*(a)		7,791
	288	Pyxus International Inc.*		3,850
	322	Turning Point Brands Inc.		11,544
	1,019	Universal Corp.		51,011
	4,288	Vector Group Ltd.		50,084
		Total Tobacco		124,280
		TOTAL CONSUMER STAPLES		12,695,949
	ENERGY — 1.9%
	Energy Equipment & Services — 0.7%
	3,209	Apergy Corp.*		83,370
	5,309	Archrock Inc.		51,550
	2,727	C&J Energy Services Inc.*		26,070
	1,938	Cactus Inc., Class A Shares*		49,361
	1,150	Covia Holdings Corp.*(a)		1,725
	2,878	Diamond Offshore Drilling Inc.*		18,678
	598	DMC Global Inc.		25,971
	7,493	Dril-Quip Inc.*		343,554
	852	Era Group Inc.*		8,077
	1,217	Exterran Corp.*		12,839
	40,641	Forum Energy Technologies Inc.*		57,304
	4,424	Frank’s International NV*		19,244
	1,479	FTS International Inc.*		3,712
	547	Geospace Technologies Corp.*		6,695
	5,899	Helix Energy Solutions Group Inc.*		42,709
	4,354	Helmerich & Payne Inc.		163,667

See Notes to Financial Statements.

64

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	ENERGY — 1.9% — (continued)
	Energy Equipment & Services — 0.7% — (continued)
	1,645	Independence Contract Drilling Inc.*	$	1,727
	8,500	ION Geophysical Corp.*		65,620
	39,698	Keane Group Inc.*		210,399
	797	KLX Energy Services Holdings Inc.*		7,994
	1,737	Liberty Oilfield Services Inc., Class A Shares		18,708
	496	Mammoth Energy Services Inc.		1,805
	1,065	Matrix Service Co.*		21,162
	39,587	McDermott International Inc.*(a)		186,851
	14,544	Nabors Industries Ltd.		24,434
	984	National Energy Services Reunited Corp.*		7,537
	415	Natural Gas Services Group Inc.*		4,474
	258	NCS Multistage Holdings Inc.*		557
	3,726	Newpark Resources Inc.*		24,629
	648	Nine Energy Service Inc.*		3,551
	9,245	Noble Corp. PLC*		14,792
	20,023	Oceaneering International Inc.*		259,498
	16,643	Oil States International Inc.*		229,507
	1,234	Pacific Drilling SA*		7,503
	383	Parker Drilling Co.*		6,549
	25,548	Patterson-UTI Energy Inc.		220,990
	3,297	ProPetro Holding Corp.*		35,113
	429	RigNet Inc.*		3,363
	36,896	RPC Inc.(a)		195,918
	690	SEACOR Holdings Inc.*		32,409
	894	SEACOR Marine Holdings Inc.*		11,649
	2,430	Seadrill Ltd.*(a)		5,711
	2,438	Select Energy Services Inc., Class A Shares*		19,894
	1,101	Smart Sand Inc.*		2,609
	1,342	Solaris Oilfield Infrastructure Inc., Class A Shares		18,453
	51,244	Superior Energy Services Inc.*		17,157
	52,751	TETRA Technologies Inc.*		87,567
	1,554	Tidewater Inc.*		24,491
	24,031	Transocean Ltd.*		109,341
	3,056	US Silica Holdings Inc.(a)		31,080
	818	US Well Services Inc.*		2,454
		Total Energy Equipment & Services		2,830,022
	Oil, Gas & Consumable Fuels — 1.2%
	6,058	Abraxas Petroleum Corp.*		3,162
	2,107	Altus Midstream Co., Class A Shares*		4,867
	530	Amplify Energy Corp.*		3,159
	9,385	Antero Midstream Corp.(a)		66,727
	11,002	Antero Resources Corp.*		34,876
	674	Arch Coal Inc., Class A Shares		51,601
	1,299	Ardmore Shipping Corp.*		8,106
	2,630	Berry Petroleum Corp.		21,014
	704	Bonanza Creek Energy Inc.*		15,882
	668	Brigham Minerals Inc., Class A Shares		13,353
	1,997	California Resources Corp.*(a)		19,551
	9,507	Callon Petroleum Co.*		39,074
	3,781	Carrizo Oil & Gas Inc.*		31,344
	7,634	Centennial Resource Development Inc., Class A Shares*		36,796
	1,290	Chaparral Energy Inc., Class A Shares*		1,716
	54,167	Chesapeake Energy Corp.*(a)		78,000
	4,070	Cimarex Energy Co.		174,115

See Notes to Financial Statements.

65

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	ENERGY — 1.9% — (continued)
	Oil, Gas & Consumable Fuels — 1.2% — (continued)
	5,163	Clean Energy Fuels Corp.*	$	10,274
	8,096	CNX Resources Corp.*		64,525
	715	Comstock Resources Inc.*(a)		4,090
	1,079	CONSOL Energy Inc.*		18,084
	787	Contura Energy Inc.*		22,666
	1,220	CVR Energy Inc.		48,532
	3,145	Delek US Holdings Inc.		102,999
	19,695	Denbury Resources Inc.*		21,271
	3,544	DHT Holdings Inc.		19,917
	921	Diamond S Shipping Inc.*		10,039
	1,083	Dorian LPG Ltd.*		11,252
	660	Earthstone Energy Inc., Class A Shares*		2,270
	3,416	Energy Fuels Inc.*(a)		6,251
	10,386	EQT Corp.		105,626
	8,459	Equitrans Midstream Corp.		114,112
	969	Evolution Petroleum Corp.		5,736
	4,151	Extraction Oil & Gas Inc.*(a)		16,729
	1,579	Falcon Minerals Corp.		9,253
	1,789	GasLog Ltd.		22,005
	3,926	Golar LNG Ltd.		45,973
	224	Goodrich Petroleum Corp.*		2,372
	1,752	Green Plains Inc.		14,384
	6,752	Gulfport Energy Corp.*		16,205
	658	Hallador Energy Co.		2,612
	4,080	HighPoint Resources Corp.*		4,774
	6,485	HollyFrontier Corp.		287,675
	1,043	International Seaways Inc.*		17,960
	19	Isramco Inc.*		2,286
	2,866	Jagged Peak Energy Inc.*		19,775
	15,026	Kosmos Energy Ltd.		94,964
	7,540	Laredo Petroleum Inc.*		18,699
	4,160	Magnolia Oil & Gas Corp., Class A Shares*(a)		42,474
	4,589	Matador Resources Co.*		71,818
	917	Montage Resources Corp.*		2,733
	6,711	Murphy Oil Corp.		122,342
	175	NACCO Industries Inc., Class A Shares		8,711
	636	NextDecade Corp.*		3,568
	16,929	Noble Energy Inc.		382,257
	5,132	Nordic American Tankers Ltd.(a)		9,135
	11,553	Northern Oil and Gas Inc.*		21,257
	13,172	Oasis Petroleum Inc.*		41,097
	1,628	Overseas Shipholding Group Inc., Class A Shares*		2,654
	616	Panhandle Oil and Gas Inc., Class A Shares		7,041
	1,457	Par Pacific Holdings Inc.*		31,675
	10,999	Parsley Energy Inc., Class A Shares*		196,992
	21,602	PBF Energy Inc., Class A Shares		511,967
	2,745	PDC Energy Inc.*		87,428
	2,838	Peabody Energy Corp.		52,304
	589	Penn Virginia Corp.*		16,786
	28	PrimeEnergy Resources Corp.*		3,150
	60,453	QEP Resources Inc.		215,213
	38,969	Range Resources Corp.(a)		138,730
	1,577	Renewable Energy Group Inc.*		19,192
	246	REX American Resources Corp.*		16,895

See Notes to Financial Statements.

66

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	ENERGY — 1.9% — (continued)
	Oil, Gas & Consumable Fuels — 1.2% — (continued)
	2,143	Ring Energy Inc.*	$	3,129
	2,342	Roan Resources Inc.*(a)		2,646
	1,143	SandRidge Energy Inc.*		5,349
	1,786	Scorpio Tankers Inc.		46,954
	3,391	SemGroup Corp., Class A Shares		29,976
	3,354	Ship Finance International Ltd.		47,191
	220	SilverBow Resources Inc.*		1,910
	4,645	SM Energy Co.		44,035
	22,660	Southwestern Energy Co.*		35,803
	10,161	SRC Energy Inc.*		51,008
	885	Talos Energy Inc.*		16,850
	9,363	Targa Resources Corp.		338,192
	2,597	Teekay Corp.(a)		9,531
	7,025	Teekay Tankers Ltd., Class A Shares*		7,798
	3,910	Tellurian Inc.*(a)		25,532
	2,096	Unit Corp.*		6,351
	5,949	Uranium Energy Corp.*		5,574
	3,477	W&T Offshore Inc.*		15,229
	3,776	Whiting Petroleum Corp.*		25,035
	2,687	World Fuel Services Corp.		103,181
	72,352	WPX Energy Inc.*		778,508
		Total Oil, Gas & Consumable Fuels		5,351,854
		TOTAL ENERGY		8,181,876
	FINANCIALS — 15.1%
	Banks — 5.6%
	350	1st Constitution Bancorp		6,093
	591	1st Source Corp.		26,223
	284	ACNB Corp.		9,565
	848	Allegiance Bancshares Inc.*		27,484
	634	Amalgamated Bank, Class A Shares		10,176
	800	Amerant Bancorp Inc., Class A Shares*		13,248
	449	American National Bankshares Inc.		15,356
	2,717	Ameris Bancorp		95,611
	319	Ames National Corp.		8,444
	560	Arrow Financial Corp.		18,010
	6,712	Associated Banc-Corp.		129,139
	987	Atlantic Capital Bancshares Inc.*		16,088
	3,333	Atlantic Union Bankshares Corp.		120,355
	1,928	Banc of California Inc.		28,091
	801	BancFirst Corp.		43,070
	2,088	Bancorp Inc. (The)*		19,063
	3,895	BancorpSouth Bank		107,463
	239	Bank First Corp.		13,009
	558	Bank of Commerce Holdings		5,580
	1,671	Bank of Hawaii Corp.		138,158
	578	Bank of Marin Bancorp		23,473
	2,259	Bank of NT Butterfield & Son Ltd. (The)		62,258
	221	Bank of Princeton (The)		5,901
	4,994	Bank OZK		128,845
	201	Bank7 Corp.*		3,616
	701	BankFinancial Corp.		8,174
	39,931	BankUnited Inc.		1,268,209
	317	Bankwell Financial Group Inc.		8,340

See Notes to Financial Statements.

67

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 15.1% — (continued)
	Banks — 5.6% — (continued)
	5,531	Banner Corp.	$	298,176
	625	Bar Harbor Bankshares		13,794
	434	Baycom Corp.*		9,591
	686	BCB Bancorp Inc.		8,479
	17,209	Berkshire Hills Bancorp Inc.		504,740
	1,341	BOK Financial Corp.		102,104
	3,124	Boston Private Financial Holdings Inc.		33,177
	761	Bridge Bancorp Inc.		20,478
	3,033	Brookline Bancorp Inc.		42,583
	882	Bryn Mawr Bank Corp.		30,076
	517	Business First Bancshares Inc.		12,212
	1,020	Byline Bancorp Inc.*		17,544
	102	C&F Financial Corp.		4,835
	5,225	Cadence BanCorp, Class A Shares		80,308
	183	Cambridge Bancorp		13,531
	668	Camden National Corp.		27,695
	297	Capital Bancorp Inc.*		3,594
	575	Capital City Bank Group Inc.		14,018
	637	Capstar Financial Holdings Inc.		9,848
	866	Carolina Financial Corp.		29,574
	946	Carter Bank & Trust*		17,870
	3,114	Cathay General Bancorp		103,354
	702	CBTX Inc.		18,905
	5,274	CenterState Bank Corp.		119,298
	1,053	Central Pacific Financial Corp.		29,294
	478	Central Valley Community Bancorp		9,359
	124	Century Bancorp Inc., Class A Shares		10,044
	124	Chemung Financial Corp.		4,984
	3,950	CIT Group Inc.		168,230
	468	Citizens & Northern Corp.		11,101
	664	City Holding Co.		49,368
	560	Civista Bancshares Inc.		11,441
	561	CNB Financial Corp.		14,833
	355	Coastal Financial Corp.*		5,243
	331	Codorus Valley Bancorp Inc.		7,401
	315	Colony Bankcorp Inc.		5,027
	2,807	Columbia Banking System Inc.		96,870
	4,900	Comerica Inc.		302,085
	4,097	Commerce Bancshares Inc.		233,816
	1,928	Community Bank System Inc.		117,589
	856	Community Bankers Trust Corp.		6,643
	155	Community Financial Corp. (The)		4,872
	675	Community Trust Bancorp Inc.		26,257
	1,410	ConnectOne Bancorp Inc.		28,877
	5,079	Cullen/Frost Bankers Inc.		421,608
	1,036	Customers Bancorp Inc.*		19,570
	5,486	CVB Financial Corp.		112,847
	146	DNB Financial Corp.		6,009
	1,390	Eagle Bancorp Inc.		56,629
	5,983	East West Bancorp Inc.		246,081
	361	Enterprise Bancorp Inc.		10,444
	1,047	Enterprise Financial Services Corp.		41,273
	648	Equity Bancshares Inc., Class A Shares*		16,394
	279	Esquire Financial Holdings Inc.*		6,556

See Notes to Financial Statements.

68

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 15.1% — (continued)
	Banks — 5.6% — (continued)
	187	Evans Bancorp Inc.	$	6,379
	473	Farmers & Merchants Bancorp Inc.		12,099
	1,013	Farmers National Banc Corp.		13,675
	669	FB Financial Corp.		23,997
	112	Fidelity D&D Bancorp Inc.		6,161
	611	Financial Institutions Inc.		17,756
	10,059	First Bancorp		126,953
	400	First Bancorp Inc.		10,160
	714	First Bancshares Inc. (The)		22,520
	727	First Bank		7,677
	2,229	First Busey Corp.		54,610
	370	First Business Financial Services Inc.		8,343
	136	First Capital Inc.		7,698
	408	First Choice Bancorp		8,544
	307	First Citizens BancShares Inc., Class A Shares		136,492
	3,394	First Commonwealth Financial Corp.		41,984
	616	First Community Bancshares Inc.		19,595
	28,079	First Financial Bancorp		657,610
	5,334	First Financial Bankshares Inc.		163,327
	551	First Financial Corp.		22,371
	226	First Financial Northwest Inc.		3,101
	1,548	First Foundation Inc.		21,610
	192	First Guaranty Bancshares Inc.		3,644
	22,355	First Hawaiian Inc.		574,523
	12,955	First Horizon National Corp.		205,078
	341	First Internet Bancorp		6,895
	1,483	First Interstate BancSystem Inc., Class A Shares		57,837
	2,083	First Merchants Corp.		74,405
	622	First Mid Bancshares Inc.		19,960
	4,059	First Midwest Bancorp Inc.		77,933
	347	First Northwest Bancorp		5,545
	1,067	First of Long Island Corp. (The)		23,218
	1,211	Flushing Financial Corp.		23,360
	13,686	FNB Corp.		147,124
	712	FNCB Bancorp Inc.		5,240
	495	Franklin Financial Network Inc.		14,320
	188	Franklin Financial Services Corp.		5,937
	31,176	Fulton Financial Corp.		497,257
	502	FVCBankcorp Inc.*		8,308
	941	German American Bancorp Inc.		28,729
	3,260	Glacier Bancorp Inc.		129,389
	478	Great Southern Bancorp Inc.		26,931
	2,033	Great Western Bancorp Inc.		60,644
	383	Guaranty Bancshares Inc.		11,544
	3,507	Hancock Whitney Corp.		123,131
	1,156	Hanmi Financial Corp.		20,704
	1,224	HarborOne Bancorp Inc.*		12,191
	235	Hawthorn Bancshares Inc.		5,193
	1,290	Heartland Financial USA Inc.		56,412
	1,915	Heritage Commerce Corp.		22,195
	1,513	Heritage Financial Corp.		39,610
	3,030	Hilltop Holdings Inc.		71,962
	6,533	Home BancShares Inc.		115,765
	742	HomeTrust Bancshares Inc.		18,713

See Notes to Financial Statements.

69

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 15.1% — (continued)
	Banks — 5.6% — (continued)
	4,982	Hope Bancorp Inc.	$	66,809
	1,705	Horizon Bancorp Inc.		27,723
	590	Howard Bancorp Inc.*		8,726
	30,000	Huntington Bancshares Inc.		397,500
	2,218	IBERIABANK Corp.		153,020
	2,241	Independent Bank Corp.		109,646
	1,521	Independent Bank Group Inc.		74,392
	2,191	International Bancshares Corp.		77,978
	334	Investar Holding Corp.		7,755
	9,599	Investors Bancorp Inc.		106,549
	2,138	Lakeland Bancorp Inc.		31,813
	1,025	Lakeland Financial Corp.		43,388
	530	LCNB Corp.		8,888
	1,988	LegacyTexas Financial Group Inc.		80,315
	228	Level One Bancorp Inc.		5,356
	960	Live Oak Bancshares Inc.		17,222
	1,056	Macatawa Bank Corp.		10,444
	392	Mackinac Financial Corp.		5,543
	314	MainStreet Bancshares Inc.*		6,691
	238	Malvern Bancorp Inc.*		5,034
	806	MBT Financial Corp.		7,931
	714	Mercantile Bank Corp.		21,970
	327	Metropolitan Bank Holding Corp.*		11,837
	367	Mid Penn Bancorp Inc.		8,900
	947	Midland States Bancorp Inc.		24,404
	763	MidSouth Bancorp Inc.		7,897
	467	MidWestOne Financial Group Inc.		13,529
	301	MutualFirst Financial Inc.		9,081
	362	MVB Financial Corp.		6,820
	27,148	National Bank Holdings Corp., Class A Shares		886,111
	251	National Bankshares Inc.		8,408
	1,763	NBT Bancorp Inc.		61,652
	315	Nicolet Bankshares Inc.*		19,965
	318	Northeast Bank		6,675
	262	Northrim BanCorp Inc.		9,484
	201	Norwood Financial Corp.		6,175
	304	Oak Valley Bancorp		4,910
	2,094	OFG Bancorp		42,969
	134	Ohio Valley Banc Corp.		4,316
	604	Old Line Bancshares Inc.		15,958
	7,128	Old National Bancorp		119,750
	1,221	Old Second Bancorp Inc.		14,396
	32,663	Opus Bank		678,084
	815	Origin Bancorp Inc.		26,113
	454	Orrstown Financial Services Inc.		9,688
	950	Pacific Mercantile Bancorp*		7,220
	2,555	Pacific Premier Bancorp Inc.		75,270
	18,744	PacWest Bancorp		638,796
	555	Park National Corp.		49,994
	447	Parke Bancorp Inc.		10,178
	473	PCB Bancorp		7,790
	774	Peapack Gladstone Financial Corp.		21,773
	169	Penns Woods Bancorp Inc.		6,978
	749	Peoples Bancorp Inc.		23,002

See Notes to Financial Statements.

70

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 15.1% — (continued)
	Banks — 5.6% — (continued)
	165	Peoples Bancorp of North Carolina Inc.	$	4,599
	268	Peoples Financial Services Corp.		11,998
	16,433	People’s United Financial Inc.		236,142
	672	People’s Utah Bancorp		17,808
	3,091	Pinnacle Financial Partners Inc.		162,803
	3,931	Popular Inc.		206,653
	564	Preferred Bank		28,177
	650	Premier Financial Bancorp Inc.		10,075
	2,764	Prosperity Bancshares Inc.		179,439
	642	QCR Holdings Inc.		22,669
	711	RBB Bancorp		13,104
	417	Reliant Bancorp Inc.		9,553
	2,415	Renasant Corp.		79,188
	394	Republic Bancorp Inc., Class A Shares		16,725
	1,597	Republic First Bancorp Inc.*		6,460
	1,180	S&T Bancorp Inc.		40,380
	1,372	Sandy Spring Bancorp Inc.		45,935
	331	SB One Bancorp		7,388
	2,085	Seacoast Banking Corp. of Florida*		48,664
	823	Select Bancorp Inc.*		8,971
	2,002	ServisFirst Bancshares Inc.		60,861
	449	Shore Bancshares Inc.		6,897
	590	Sierra Bancorp		14,538
	5,026	Signature Bank		586,283
	3,749	Simmons First National Corp., Class A Shares		89,976
	620	SmartFinancial Inc.*		12,016
	228	South Plains Financial Inc.		3,730
	1,421	South State Corp.		104,557
	257	Southern First Bancshares Inc.*		9,810
	756	Southern National Bancorp of Virginia Inc.		11,053
	1,324	Southside Bancshares Inc.		43,599
	505	Spirit of Texas Bancshares Inc.*		10,403
	8,536	Sterling Bancorp		162,782
	810	Stock Yards Bancorp Inc.		29,403
	395	Summit Financial Group Inc.		9,729
	6,200	Synovus Financial Corp.		220,348
	37,843	TCF Financial Corp.		1,459,226
	14,053	Texas Capital Bancshares Inc.*		757,176
	569	Tompkins Financial Corp.		45,008
	12,205	Towne Bank		320,625
	1,143	TriCo Bancshares		40,416
	1,024	TriState Capital Holdings Inc.*		20,224
	1,044	Triumph Bancorp Inc.*		31,310
	2,657	Trustmark Corp.		86,831
	17,635	UMB Financial Corp.		1,099,013
	36,927	Umpqua Holdings Corp.		580,123
	117	Union Bankshares Inc.		3,210
	4,046	United Bankshares Inc.		149,216
	2,652	United Community Banks Inc.		70,039
	508	United Security Bancshares		5,273
	281	Unity Bancorp Inc.		5,516
	1,237	Univest Financial Corp.		31,308
	135,742	Valley National Bancorp		1,426,648
	2,183	Veritex Holdings Inc.		51,519

See Notes to Financial Statements.

71

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 15.1% — (continued)
	Banks — 5.6% — (continued)
	639	Washington Trust Bancorp Inc.	$	29,650
	3,771	Webster Financial Corp.		168,790
	2,211	WesBanco Inc.		75,660
	764	West Bancorporation Inc.		15,922
	1,077	Westamerica Bancorporation		66,354
	3,987	Western Alliance Bancorp		173,116
	2,310	Wintrust Financial Corp.		145,137
	7,402	Zions Bancorp NA		304,148
		Total Banks		23,668,920
	Capital Markets — 3.1%
	2,094	Affiliated Managers Group Inc.		160,463
	2,688	Ares Management Corp., Class A Shares		78,221
	2,109	Artisan Partners Asset Management Inc., Class A Shares		56,184
	56	Associated Capital Group Inc., Class A Shares		1,946
	821	B. Riley Financial Inc.		17,372
	12,166	BGC Partners Inc., Class A Shares		62,047
	2,004	Blucora Inc.*		45,250
	2,861	Brightsphere Investment Group Inc.		26,006
	41,955	Charles Schwab Corp. (The)		1,605,618
	15,437	Cohen & Steers Inc.		832,517
	1,301	Cowen Inc., Class A Shares*		20,309
	130	Diamond Hill Investment Group Inc.		17,537
	1,232	Donnelley Financial Solutions Inc.*		13,096
	4,635	Eaton Vance Corp.		199,861
	1,679	Evercore Inc., Class A Shares		133,917
	1,543	FactSet Research Systems Inc.		419,835
	3,951	Federated Investors Inc., Class B Shares		126,590
	1,266	Focus Financial Partners Inc., Class A Shares*		25,978
	1,172	GAIN Capital Holdings Inc.(a)		5,333
	205	GAMCO Investors Inc., Class A Shares		3,622
	659	Greenhill & Co., Inc.		9,252
	8,248	Hamilton Lane Inc., Class A Shares		512,531
	1,410	Houlihan Lokey Inc., Class A Shares		62,294
	686	INTL. FCStone Inc.*		26,898
	3,556	Janus Henderson Group PLC		67,955
	5,049	Ladenburg Thalmann Financial Services Inc.		9,896
	4,444	Lazard Ltd., Class A Shares		152,607
	3,497	Legg Mason Inc.		128,655
	12,088	LPL Financial Holdings Inc.		905,996
	1,515	MarketAxess Holdings Inc.		602,394
	1,985	Moelis & Co., Class A Shares		66,557
	8,183	Moody’s Corp.		1,764,091
	809	Morningstar Inc.		130,718
	11,693	Nasdaq Inc.		1,167,429
	17,432	Northern Trust Corp.		1,532,796
	704	Och-Ziff Capital Management Group Inc., Class A Shares		15,840
	410	Oppenheimer Holdings Inc., Class A Shares		11,382
	597	Piper Jaffray Cos.		43,438
	985	PJT Partners Inc., Class A Shares		40,986
	552	Pzena Investment Management Inc., Class A Shares		4,488
	3,388	Raymond James Financial Inc.		265,992
	723	Safeguard Scientifics Inc.*		8,647
	9,764	SEI Investments Co.		561,528
	309	Siebert Financial Corp.*(a)		3,390

See Notes to Financial Statements.

72

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 15.1% — (continued)
	Capital Markets — 3.1% — (continued)
	518	Silvercrest Asset Management Group Inc., Class A Shares	$	6,770
	30,384	Solar Capital Ltd.		621,657
	2,545	Stifel Financial Corp.		135,954
	10,222	TD Ameritrade Holding Corp.		453,959
	1,969	Virtu Financial Inc., Class A Shares		37,017
	299	Virtus Investment Partners Inc.		31,900
	3,213	Waddell & Reed Financial Inc., Class A Shares		51,954
	331	Westwood Holdings Group Inc.		9,086
	5,614	WisdomTree Investments Inc.		27,003
		Total Capital Markets		13,322,762
	Consumer Finance — 0.4%
	431	Credit Acceptance Corp.*		195,092
	695	Curo Group Holdings Corp.*		9,466
	578	Elevate Credit Inc.*		2,491
	1,284	Encore Capital Group Inc.*		47,380
	1,345	Enova International Inc.*		32,146
	2,198	EZCORP Inc., Class A Shares*		17,298
	8,012	FirstCash Inc.		791,025
	2,059	Green Dot Corp., Class A Shares*		62,964
	2,763	LendingClub Corp.*		36,168
	860	Medallion Financial Corp.*		4,085
	8,739	Navient Corp.		111,335
	735	Nelnet Inc., Class A Shares		49,282
	2,700	OneMain Holdings Inc., Class A Shares		96,795
	1,832	PRA Group Inc.*		62,544
	359	Regional Management Corp.*		9,244
	4,382	Santander Consumer USA Holdings Inc.		114,414
	18,136	SLM Corp.		153,068
	278	World Acceptance Corp.*		36,946
		Total Consumer Finance		1,831,743
	Diversified Financial Services — 0.2%
	1,375	Banco Latinoamericano de Comercio Exterior SA, Class E Shares		24,929
	2,806	Cannae Holdings Inc.*		78,063
	6,321	FGL Holdings		50,442
	10,589	Jefferies Financial Group Inc.		197,379
	329	Marlin Business Services Corp.		7,116
	2,989	On Deck Capital Inc.*		9,714
	5,933	Voya Financial Inc.		292,615
		Total Diversified Financial Services		660,258
	Insurance — 4.5%
	577	Alleghany Corp.*		432,352
	1,845	Ambac Financial Group Inc.*		33,284
	16,905	American Equity Investment Life Holding Co.		364,303
	3,057	American Financial Group Inc.		308,665
	307	American National Insurance Co.		35,019
	662	AMERISAFE Inc.		45,479
	1,321	Argo Group International Holdings Ltd.		86,816
	2,531	Assurant Inc.		311,313
	4,117	Assured Guaranty Ltd.		175,178
	3,412	Axis Capital Holdings Ltd.		209,463
	4,782	Brighthouse Financial Inc.*		168,613
	9,777	Brown & Brown Inc.		360,674

See Notes to Financial Statements.

73

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 15.1% — (continued)
	Insurance — 4.5% — (continued)
	1,734	Chubb Ltd.	$	270,990
	2,289	Citizens Inc., Class A Shares*(a)		14,375
	6,762	CNO Financial Group Inc.		97,914
	698	Crawford & Co., Class A Shares		6,736
	558	Donegal Group Inc., Class A Shares		8,052
	907	eHealth Inc.*		75,562
	387	EMC Insurance Group Inc.		13,909
	1,127	Employers Holdings Inc.		48,608
	489	Enstar Group Ltd.*		87,345
	1,010	Erie Indemnity Co., Class A Shares		221,503
	3,202	Everest Re Group Ltd.		755,288
	427	FBL Financial Group Inc., Class A Shares		23,156
	416	FedNat Holding Co.		5,088
	4,517	First American Financial Corp.		264,019
	20,972	Genworth Financial Inc., Class A Shares*		92,906
	296	Global Indemnity Ltd.		7,622
	4,484	Globe Life Inc.		400,242
	462	Goosehead Insurance Inc., Class A Shares		21,363
	1,274	Greenlight Capital Re Ltd., Class A Shares*		11,708
	546	Hallmark Financial Services Inc.*		9,599
	1,692	Hanover Insurance Group Inc. (The)		225,290
	269	HCI Group Inc.		10,483
	379	Health Insurance Innovations Inc., Class A Shares*(a)		6,951
	1,153	Heritage Insurance Holdings Inc.		15,116
	1,419	Horace Mann Educators Corp.		62,252
	214	Independence Holding Co.		7,922
	67	Investors Title Co.		9,862
	991	James River Group Holdings Ltd.		48,836
	13,415	Kemper Corp.		938,782
	823	Kinsale Capital Group Inc.		80,843
	1,946	Markel Corp.*		2,224,434
	3,591	MBIA Inc.*		32,319
	1,145	Mercury General Corp.		61,257
	15,408	MetLife Inc.		682,574
	2,768	National General Holdings Corp.		65,269
	94	National Western Life Group Inc., Class A Shares		24,235
	380	NI Holdings Inc.*		6,384
	11,774	Old Republic International Corp.		275,041
	6,436	Palomar Holdings Inc.*		219,017
	1,735	Primerica Inc.		206,760
	1,849	ProAssurance Corp.		72,240
	420	Protective Insurance Corp., Class B Shares		6,804
	20,750	Reinsurance Group of America Inc., Class A Shares		3,194,878
	1,798	RenaissanceRe Holdings Ltd.		324,629
	1,653	RLI Corp.		151,365
	610	Safety Insurance Group Inc.		58,828
	2,217	Selective Insurance Group Inc.		176,540
	718	State Auto Financial Corp.		22,954
	888	Stewart Information Services Corp.		31,808
	3,194	Third Point Reinsurance Ltd.*		30,087
	1,343	Tiptree Inc.		9,320
	13,684	Travelers Cos., Inc. (The)		2,011,001
	1,181	Trupanion Inc.*(a)		28,450
	858	United Fire Group Inc.		38,747

See Notes to Financial Statements.

74

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 15.1% — (continued)
	Insurance — 4.5% — (continued)
	904	United Insurance Holdings Corp.	$	10,595
	1,245	Universal Insurance Holdings Inc.		31,125
	76,992	Unum Group		1,956,367
	864	Watford Holdings Ltd.*		20,045
	130	White Mountains Insurance Group Ltd.		137,891
	5,997	WR Berkley Corp.		427,286
		Total Insurance		18,911,731
	Mortgage Real Estate Investment Trusts (REITs) — 0.5%
	1,163	AG Mortgage Investment Trust Inc.		17,433
	22,074	AGNC Investment Corp.		328,240
	4,060	Anworth Mortgage Asset Corp.		12,586
	6,332	Apollo Commercial Real Estate Finance Inc.		117,459
	1,117	Ares Commercial Real Estate Corp.		16,744
	1,767	Arlington Asset Investment Corp., Class A Shares		8,729
	2,492	ARMOUR Residential REIT Inc.		40,919
	5,082	Blackstone Mortgage Trust Inc., Class A Shares		176,854
	3,473	Capstead Mortgage Corp.		25,249
	768	Cherry Hill Mortgage Investment Corp.		9,239
	7,644	Chimera Investment Corp.		145,771
	3,287	Colony Credit Real Estate Inc.		41,186
	1,065	Dynex Capital Inc.		15,038
	1,130	Ellington Financial Inc.		19,741
	1,104	Exantas Capital Corp.		12,376
	2,221	Granite Point Mortgage Trust Inc.		40,622
	536	Great Ajax Corp.		7,815
	5,278	Invesco Mortgage Capital Inc.		79,328
	940	KKR Real Estate Finance Trust Inc.		17,775
	4,253	Ladder Capital Corp., Class A Shares		71,365
	19,048	MFA Financial Inc.		136,574
	17,021	New Residential Investment Corp.		239,485
	8,531	New York Mortgage Trust Inc.		52,466
	1,954	Orchid Island Capital Inc., Class A Shares		10,610
	3,113	PennyMac Mortgage Investment Trust		67,739
	1,407	Ready Capital Corp.		20,655
	3,991	Redwood Trust Inc.		66,251
	11,185	Starwood Property Trust Inc.		262,064
	2,093	TPG RE Finance Trust Inc.		40,625
	11,179	Two Harbors Investment Corp.		141,191
	1,737	Western Asset Mortgage Capital Corp.		16,328
		Total Mortgage Real Estate Investment Trusts (REITs)		2,258,457
	Thrifts & Mortgage Finance — 0.8%
	2,420	Axos Financial Inc.*		62,702
	841	Bridgewater Bancshares Inc.*		9,360
	5,507	Capitol Federal Financial Inc.		74,179
	2,211	Columbia Financial Inc.*		33,519
	1,387	Dime Community Bancshares Inc.		27,504
	280	Entegra Financial Corp.*		8,411
	294	ESSA Bancorp Inc.		4,498
	17,959	Essent Group Ltd.*		871,012
	390	Federal Agricultural Mortgage Corp., Class C Shares		32,116
	879	First Defiance Financial Corp.		22,986
	1,131	Flagstar Bancorp Inc.		41,112
	171	FS Bancorp Inc.		8,276

See Notes to Financial Statements.

75

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	FINANCIALS — 15.1% — (continued)
	Thrifts & Mortgage Finance — 0.8% — (continued)
	75	Greene County Bancorp Inc.	$	2,018
	52	Hingham Institution for Savings		9,365
	296	Home Bancorp Inc.		11,035
	863	HomeStreet Inc.*		22,757
	3,475	Kearny Financial Corp.		43,716
	315	LendingTree Inc.*		97,678
	1,062	Luther Burbank Corp.		11,109
	370	Merchants Bancorp		5,868
	2,050	Meridian Bancorp Inc.		35,834
	1,526	Meta Financial Group Inc.		47,169
	14,598	MGIC Investment Corp.		184,665
	202	MMA Capital Holdings Inc.*		5,979
	3,187	Mr Cooper Group Inc.*		28,077
	18,705	New York Community Bancorp Inc.		215,856
	2,709	NMI Holdings Inc., Class A Shares*		76,773
	1,652	Northfield Bancorp Inc.		25,639
	3,818	Northwest Bancshares Inc.		60,363
	2,136	OceanFirst Financial Corp.		44,899
	5,152	Ocwen Financial Corp.*		9,222
	581	OP Bancorp		5,520
	1,724	Oritani Financial Corp.		29,532
	738	PCSB Financial Corp.		14,546
	270	PDL Community Bancorp*		3,777
	186	Provident Bancorp Inc.*		4,710
	253	Provident Financial Holdings Inc.		5,108
	2,550	Provident Financial Services Inc.		60,715
	276	Prudential Bancorp Inc.		4,466
	8,571	Radian Group Inc.		193,276
	886	Riverview Bancorp Inc.		6,246
	381	Southern Missouri Bancorp Inc.		12,725
	903	Sterling Bancorp Inc.		8,425
	291	Territorial Bancorp Inc.		7,959
	2,043	TFS Financial Corp.		35,773
	287	Timberland Bancorp Inc.		7,339
	3,578	TrustCo Bank Corp. NY		27,443
	1,873	United Community Financial Corp.		18,074
	2,189	United Financial Bancorp Inc.		27,363
	1,151	Walker & Dunlop Inc.		64,295
	3,310	Washington Federal Inc.		117,836
	1,097	Waterstone Financial Inc.		18,199
	950	Western New England Bancorp Inc.		8,446
	10,264	WSFS Financial Corp.		423,082
		Total Thrifts & Mortgage Finance		3,238,552
		TOTAL FINANCIALS		63,892,423
	HEALTH CARE — 14.3%
	Biotechnology — 3.4%
	1,193	Abeona Therapeutics Inc.*		1,837
	4,302	ACADIA Pharmaceuticals Inc.*		118,993
	14,141	Acceleron Pharma Inc.*		635,072
	5,051	Achillion Pharmaceuticals Inc.*		21,972
	1,621	Acorda Therapeutics Inc.*		5,236
	828	Adamas Pharmaceuticals Inc.*		5,225
	686	ADMA Biologics Inc.*(a)		3,073

See Notes to Financial Statements.

76

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	HEALTH CARE — 14.3% — (continued)
	Biotechnology — 3.4% — (continued)
	2,384	Aduro Biotech Inc.*	$	2,932
	2,023	Adverum Biotechnologies Inc.*		20,898
	1,061	Aeglea BioTherapeutics Inc.*		8,281
	2,541	Affimed NV*		7,064
	4,177	Agenus Inc.*		12,030
	357	AgeX Therapeutics Inc.*		971
	2,155	Agios Pharmaceuticals Inc.*(a)		81,782
	1,851	Aimmune Therapeutics Inc.*		37,742
	459	Akcea Therapeutics Inc.*(a)		9,667
	4,929	Akebia Therapeutics Inc.*		20,357
	391	Albireo Pharma Inc.*		9,560
	3,030	Alder Biopharmaceuticals Inc.*		27,118
	751	Aldeyra Therapeutics Inc.*		3,312
	419	Alector Inc.*		6,897
	6,396	Alkermes PLC*		134,188
	720	Allakos Inc.*(a)		63,691
	1,611	Allogene Therapeutics Inc.*(a)		43,868
	4,353	Alnylam Pharmaceuticals Inc.*		351,244
	1,286	AMAG Pharmaceuticals Inc.*		14,043
	9,597	Amicus Therapeutics Inc.*		94,914
	1,020	AnaptysBio Inc.*		41,463
	1,813	Anavex Life Sciences Corp.*(a)		4,786
	563	Anika Therapeutics Inc.*		31,956
	8,847	Apellis Pharmaceuticals Inc.*		257,448
	1,138	Arcus Biosciences Inc.*		8,888
	1,549	Ardelyx Inc.*		5,267
	2,032	Arena Pharmaceuticals Inc.*		107,472
	4,135	ArQule Inc.*		37,050
	3,794	Arrowhead Pharmaceuticals Inc.*		129,641
	7,570	Ascendis Pharma AS, ADR*		848,067
	901	Assembly Biosciences Inc.*		10,190
	1,863	Atara Biotherapeutics Inc.*		25,150
	2,450	Athenex Inc.*		36,089
	4,761	Athersys Inc.*		6,332
	1,816	Audentes Therapeutics Inc.*		56,478
	2,191	Avid Bioservices Inc.*		15,118
	689	Avrobio Inc.*		13,422
	443	Beyondspring Inc.*		7,996
	4,127	BioCryst Pharmaceuticals Inc.*		12,340
	1,378	Biohaven Pharmaceutical Holding Co., Ltd.*		54,004
	244	BioSpecifics Technologies Corp.*		13,440
	364	Bioxcel Therapeutics Inc.*		3,571
	2,259	Bluebird Bio Inc.*		233,377
	11,811	Blueprint Medicines Corp.*		905,549
	1,198	Calithera Biosciences Inc.*		4,756
	526	Calyxt Inc.*		3,256
	1,699	CareDx Inc.*		38,771
	1,628	CASI Pharmaceuticals Inc.*(a)		5,307
	3,568	Catalyst Pharmaceuticals Inc.*		21,979
	171	Celcuity Inc.*		3,076
	414	Cellular Biomedicine Group Inc.*		5,109
	1,087	CEL-SCI Corp.*(a)		7,794
	1,139	Checkpoint Therapeutics Inc.*		3,565
	1,698	ChemoCentryx Inc.*		11,309

See Notes to Financial Statements.

77

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	HEALTH CARE — 14.3% — (continued)
	Biotechnology — 3.4% — (continued)
	1,495	Chimerix Inc.*	$	3,020
	2,027	Clovis Oncology Inc.*		11,371
	2,559	Coherus Biosciences Inc.*		56,784
	791	Concert Pharmaceuticals Inc.*		7,965
	511	Constellation Pharmaceuticals Inc.*		3,705
	2,488	Corbus Pharmaceuticals Holdings Inc.*(a)		12,888
	122	Cortexyme Inc.*(a)		2,422
	461	Crinetics Pharmaceuticals Inc.*(a)		7,311
	519	Cue Biopharma Inc.*		4,251
	993	Cyclerion Therapeutics Inc.*		9,443
	2,271	Cytokinetics Inc.*		31,908
	1,779	CytomX Therapeutics Inc.*		15,620
	618	Deciphera Pharmaceuticals Inc.*		22,421
	2,014	Denali Therapeutics Inc.*		36,252
	2,083	Dicerna Pharmaceuticals Inc.*		28,954
	2,299	Dynavax Technologies Corp., Class A Shares*(a)		9,518
	387	Eagle Pharmaceuticals Inc.*		21,823
	2,061	Editas Medicine Inc.*		51,175
	416	Eidos Therapeutics Inc.*(a)		17,393
	979	Eiger BioPharmaceuticals Inc.*		10,671
	1,890	Emergent BioSolutions Inc.*		82,782
	713	Enanta Pharmaceuticals Inc.*		50,302
	3,219	Epizyme Inc.*		41,750
	1,033	Esperion Therapeutics Inc.*		37,849
	594	Evelo Biosciences Inc.*(a)		3,261
	5,249	Exact Sciences Corp.*		625,786
	12,263	Exelixis Inc.*		243,421
	22,718	Fate Therapeutics Inc.*		370,758
	10,828	FibroGen Inc.*		483,578
	1,231	Five Prime Therapeutics Inc.*		6,684
	1,238	Flexion Therapeutics Inc.*		16,304
	606	Forty Seven Inc.*		4,593
	1,399	G1 Therapeutics Inc.*		50,784
	1,363	Galectin Therapeutics Inc.*(a)		4,539
	1,091	Genomic Health Inc.*		83,636
	5,922	Geron Corp.*(a)		8,291
	2,212	Global Blood Therapeutics Inc.*		101,708
	1,545	GlycoMimetics Inc.*		5,145
	835	Gossamer Bio Inc.*		17,502
	1,040	Gritstone Oncology Inc.*		10,525
	5,977	Halozyme Therapeutics Inc.*		98,740
	305	Harpoon Therapeutics Inc.*(a)		4,416
	3,060	Heron Therapeutics Inc.*		56,671
	1,012	Homology Medicines Inc.*		19,137
	5,447	ImmunoGen Inc.*		14,816
	7,123	Immunomedics Inc.*		91,174
	3,158	Inovio Pharmaceuticals Inc.*(a)		6,821
	3,207	Insmed Inc.*		52,723
	1,527	Intellia Therapeutics Inc.*		21,668
	1,025	Intercept Pharmaceuticals Inc.*		65,784
	3,085	Intrexon Corp.*(a)		18,016
	3,578	Invitae Corp.*		86,802
	5,255	Ionis Pharmaceuticals Inc.*		332,169
	4,736	Iovance Biotherapeutics Inc.*		99,503

See Notes to Financial Statements.

78

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	HEALTH CARE — 14.3% — (continued)
	Biotechnology — 3.4% — (continued)
	65,059	Ironwood Pharmaceuticals Inc., Class A Shares*	$	605,699
	747	Jounce Therapeutics Inc.*		2,816
	5,724	Kadmon Holdings Inc.*		12,249
	489	KalVista Pharmaceuticals Inc.*		7,638
	2,434	Karyopharm Therapeutics Inc.*		21,030
	434	Kezar Life Sciences Inc.*		1,467
	1,656	Kindred Biosciences Inc.*		12,354
	526	Kiniksa Pharmaceuticals Ltd., Class A Shares*		4,645
	977	Kodiak Sciences Inc.*		10,747
	361	Krystal Biotech Inc.*		16,245
	1,232	Kura Oncology Inc.*		18,702
	798	La Jolla Pharmaceutical Co.*		7,637
	1,501	Lexicon Pharmaceuticals Inc.*		1,981
	777	Ligand Pharmaceuticals Inc.*		70,637
	3,583	Lineage Cell Therapeutics Inc.*		3,348
	198	LogicBio Therapeutics Inc.*		1,980
	1,978	MacroGenics Inc.*		28,365
	325	Madrigal Pharmaceuticals Inc.*		30,127
	815	Magenta Therapeutics Inc.*		8,419
	6,214	MannKind Corp.*(a)		6,835
	1,128	Marker Therapeutics Inc.*(a)		5,832
	28,302	Medicines Co. (The)*(a)		1,187,552
	1,587	MediciNova Inc.*(a)		13,743
	2,911	MEI Pharma Inc.*		4,978
	648	MeiraGTx Holdings PLC*		13,122
	1,530	Mersana Therapeutics Inc.*		3,764
	407	Millendo Therapeutics Inc.*		2,466
	1,140	Minerva Neurosciences Inc.*		8,140
	1,032	Mirati Therapeutics Inc.*		84,593
	1,049	Moderna Inc.*(a)		16,501
	514	Molecular Templates Inc.*		2,585
	26,724	Momenta Pharmaceuticals Inc.*		337,524
	1,465	Mustang Bio Inc.*		5,772
	2,861	Myriad Genetics Inc.*		67,319
	2,308	Natera Inc.*		76,049
	427	Neon Therapeutics Inc.*		1,149
	3,712	Neurocrine Biosciences Inc.*		369,047
	708	Novavax Inc.*(a)		4,227
	686	Oncocyte Corp.*		1,358
	19	Oncternal Therapeutics Inc.*#(b)		39
	14,125	OPKO Health Inc.*(a)		25,990
	18,450	Orchard Therapeutics PLC, ADR*(a)		273,060
	519	Organogenesis Holdings Inc.*(a)		2,138
	8,666	Palatin Technologies Inc.*(a)		7,809
	4,395	PDL BioPharma Inc.*		10,284
	926	Pfenex Inc.*		6,806
	567	PhaseBio Pharmaceuticals Inc.*		4,899
	1,923	Pieris Pharmaceuticals Inc.*		8,942
	389	PolarityTE Inc.*		1,443
	2,765	Portola Pharmaceuticals Inc.*(a)		80,351
	395	Precision BioSciences Inc.*		3,365
	557	Principia Biopharma Inc.*		22,113
	3,674	Progenics Pharmaceuticals Inc.*		16,166
	629	Protagonist Therapeutics Inc.*		8,196

See Notes to Financial Statements.

79

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	HEALTH CARE — 14.3% — (continued)
	Biotechnology — 3.4% — (continued)
	1,738	Prothena Corp. PLC*	$	14,617
	2,368	PTC Therapeutics Inc.*		105,542
	1,354	Puma Biotechnology Inc.*		14,555
	1,293	Ra Pharmaceuticals Inc.*		35,170
	1,871	Radius Health Inc.*		52,949
	719	Recro Pharma Inc.*		8,455
	1,381	REGENXBIO Inc.*		47,631
	1,935	Repligen Corp.*		179,587
	447	Replimune Group Inc.*		4,640
	1,733	Retrophin Inc.*		21,818
	965	Rhythm Pharmaceuticals Inc.*		21,732
	6,137	Rigel Pharmaceuticals Inc.*		10,372
	1,251	Rocket Pharmaceuticals Inc.*		13,573
	1,414	Rubius Therapeutics Inc.*(a)		13,122
	2,070	Sage Therapeutics Inc.*		355,357
	4,761	Sangamo Therapeutics Inc.*		51,895
	2,897	Sarepta Therapeutics Inc.*		261,165
	1,075	Savara Inc.*		2,430
	516	Scholar Rock Holding Corp.*		5,464
	4,483	Seattle Genetics Inc.*		325,645
	629	Seres Therapeutics Inc.*		2,535
	374	Solid Biosciences Inc.*(a)		3,022
	4,857	Sorrento Therapeutics Inc.*		10,248
	1,402	Spark Therapeutics Inc.*		136,569
	4,640	Spectrum Pharmaceuticals Inc.*		34,058
	372	Spero Therapeutics Inc.*		3,701
	1,574	Stemline Therapeutics Inc.*		18,746
	516	Sutro Biopharma Inc.*		4,164
	683	Syndax Pharmaceuticals Inc.*		5,744
	671	Synlogic Inc.*		1,872
	237	Synthorx Inc.*(a)		4,245
	1,444	Syros Pharmaceuticals Inc.*		15,841
	3,268	TG Therapeutics Inc.*		20,294
	697	Tocagen Inc.*		2,265
	1,297	Translate Bio Inc.*		11,777
	280	Turning Point Therapeutics Inc.*		15,268
	880	Twist Bioscience Corp.*		25,546
	3,771	Tyme Technologies Inc.*(a)		4,412
	2,228	Ultragenyx Pharmaceutical Inc.*		121,359
	1,774	United Therapeutics Corp.*		146,461
	903	UNITY Biotechnology Inc.*(a)		5,508
	785	UroGen Pharma Ltd.*		26,651
	2,034	Vanda Pharmaceuticals Inc.*		28,659
	3,629	VBI Vaccines Inc.*		2,205
	1,927	Veracyte Inc.*		51,065
	1,818	Vericel Corp.*		30,070
	2,766	Viking Therapeutics Inc.*(a)		19,224
	1,001	Voyager Therapeutics Inc.*		17,888
	297	X4 Pharmaceuticals Inc.*		3,787
	706	XBiotech Inc.*		5,895
	1,956	Xencor Inc.*		72,920
	847	Y-mAbs Therapeutics Inc.*		22,505
	6,641	ZIOPHARM Oncology Inc.*(a)		33,139
		Total Biotechnology		14,298,121

See Notes to Financial Statements.

80

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	HEALTH CARE — 14.3% — (continued)
	Health Care Equipment & Supplies — 4.4%
	109,961	Accuray Inc.*	$	294,695
	1,222	Alphatec Holdings Inc.*		6,391
	1,564	AngioDynamics Inc.*		28,731
	6,699	Antares Pharma Inc.*		21,705
	1,371	Apyx Medical Corp.*		9,748
	16,675	AtriCure Inc.*		456,728
	57	Atrion Corp.		44,298
	1,959	Avanos Medical Inc.*		65,000
	208	Avedro Inc.*		4,871
	1,443	AxoGen Inc.*		22,872
	636	Axonics Modulation Technologies Inc.*		21,160
	3,125	Baxter International Inc.		274,844
	282	BioLife Solutions Inc.*(a)		5,835
	636	BioSig Technologies Inc.*(a)		4,497
	1,516	Cantel Medical Corp.		139,366
	1,413	Cardiovascular Systems Inc.*		68,432
	5,678	Cerus Corp.*		30,491
	2,628	ConforMIS Inc.*		5,624
	1,118	CONMED Corp.		112,661
	3,784	Corindus Vascular Robotics Inc.*		16,082
	1,512	CryoLife Inc.*		40,522
	1,094	CryoPort Inc.*		23,805
	530	Cutera Inc.*		15,301
	1,538	CytoSorbents Corp.*		6,859
	39,315	DENTSPLY SIRONA Inc.		2,050,277
	3,721	DexCom Inc.*		638,561
	369	ElectroCore Inc.*(a)		705
	1,947	GenMark Diagnostics Inc.*		11,663
	1,472	Glaukos Corp.*		94,664
	18,925	Globus Medical Inc., Class A Shares*		966,500
	8,133	Haemonetics Corp.*		1,085,999
	288	Heska Corp.*		20,215
	2,743	Hill-Rom Holdings Inc.		295,366
	8,574	ICU Medical Inc.*		1,386,844
	756	Inogen Inc.*		35,056
	2,439	Insulet Corp.*		376,021
	1,339	Integer Holdings Corp.*		96,944
	11,920	Integra LifeSciences Holdings Corp.*		715,438
	271	IntriCon Corp.*		4,715
	1,578	Intuitive Surgical Inc.*		806,895
	1,278	Invacare Corp.		6,185
	193	iRadimed Corp.*		3,702
	1,021	iRhythm Technologies Inc.*		77,719
	1,572	Lantheus Holdings Inc.*		34,207
	657	LeMaitre Vascular Inc.		20,801
	1,983	LivaNova PLC*		153,940
	7,364	Masimo Corp.*		1,128,533
	1,702	Meridian Bioscience Inc.		15,709
	20,127	Merit Medical Systems Inc.*		700,017
	137	Mesa Laboratories Inc.		30,308
	301	Misonix Inc.*		5,894
	1,374	Natus Medical Inc.*		38,032
	2,093	Neogen Corp.*		147,598
	434	Neuronetics Inc.*		4,631

See Notes to Financial Statements.

81

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	HEALTH CARE — 14.3% — (continued)
	Health Care Equipment & Supplies — 4.4% — (continued)
	1,221	Nevro Corp.*	$	102,234
	3,462	Novocure Ltd.*		314,557
	2,118	NuVasive Inc.*		134,535
	12,300	Nuvectra Corp.*		23,985
	21,992	OraSure Technologies Inc.*		145,147
	726	Orthofix Medical Inc.*		36,910
	367	OrthoPediatrics Corp.*		11,814
	1,290	Penumbra Inc.*		187,759
	392	Pulse Biosciences Inc.*		4,700
	1,463	Quidel Corp.*		92,242
	1,804	Rockwell Medical Inc.*		4,618
	2,021	RTI Surgical Holdings Inc.*		6,427
	783	SeaSpine Holdings Corp.*		8,605
	4,888	Senseonics Holdings Inc.*(a)		4,986
	277	Shockwave Medical Inc.*(a)		11,592
	662	SI-BONE Inc.*		12,869
	870	Sientra Inc.*		5,942
	288	Silk Road Medical Inc.*		12,410
	29,566	Smith & Nephew PLC, ADR		1,417,985
	1,808	STAAR Surgical Co.*		54,439
	3,441	STERIS PLC		531,290
	565	Surmodics Inc.*		26,589
	750	Tactile Systems Technology Inc.*		37,830
	2,262	Tandem Diabetes Care Inc.*		163,837
	2,728	Teleflex Inc.		992,774
	7,074	TransEnterix Inc.*		6,478
	276	TransMedics Group Inc.*		6,610
	142	Utah Medical Products Inc.		13,961
	219	Vapotherm Inc.*		2,540
	1,497	Varex Imaging Corp.*		39,446
	7,081	Varian Medical Systems Inc.*		750,090
	2,868	ViewRay Inc.*		11,300
	3,008	West Pharmaceutical Services Inc.		437,544
	5,123	Wright Medical Group NV*		106,815
	633	Zynex Inc.(a)		5,659
		Total Health Care Equipment & Supplies		18,400,176
	Health Care Providers & Services — 1.7%
	44,535	Acadia Healthcare Co., Inc.*		1,178,396
	434	Addus HomeCare Corp.*		38,183
	1,279	Amedisys Inc.*		164,620
	683	American Renal Associates Holdings Inc.*		4,235
	1,902	AMN Healthcare Services Inc.*		111,077
	155	Apollo Medical Holdings Inc.*		3,035
	741	Avalon GloboCare Corp.*(a)		1,452
	1,372	BioTelemetry Inc.*		54,400
	7,509	Brookdale Senior Living Inc.*		61,424
	290	Catasys Inc.*(a)		4,072
	2,881	Chemed Corp.		1,237,188
	2,871	Community Health Systems Inc.*		7,149
	372	CorVel Corp.*		31,334
	4,036	Covetrus Inc.*(a)		53,639
	1,325	Cross Country Healthcare Inc.*		13,581
	2,236	Diplomat Pharmacy Inc.*		12,991
	4,032	Encompass Health Corp.		245,105

See Notes to Financial Statements.

82

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	HEALTH CARE — 14.3% — (continued)
	Health Care Providers & Services — 1.7% — (continued)
	2,052	Ensign Group Inc. (The)	$	102,395
	1,486	Enzo Biochem Inc.*		4,830
	2,272	Genesis Healthcare Inc., Class A Shares*		2,454
	1,405	Guardant Health Inc.*		122,980
	1,497	Hanger Inc.*		28,263
	2,781	HealthEquity Inc.*		165,080
	537	Joint Corp. (The)*		9,011
	1,224	LHC Group Inc.*		145,044
	819	Magellan Health Inc.*		51,605
	34,728	MEDNAX Inc.*		732,066
	6,869	Molina Healthcare Inc.*		894,893
	513	National HealthCare Corp.		41,450
	496	National Research Corp.		31,759
	4,442	Option Care Health Inc.*		15,547
	2,277	Owens & Minor Inc.		11,567
	28,449	Patterson Cos., Inc.		475,667
	782	PetIQ Inc., Class A Shares*		24,758
	2,147	Premier Inc., Class A Shares*		75,703
	471	Providence Service Corp. (The)*		26,475
	4,218	R1 RCM Inc.*		49,182
	1,777	RadNet Inc.*		24,718
	4,546	Select Medical Holdings Corp.*		73,736
	1,205	Surgery Partners Inc.*		7,760
	4,252	Tenet Healthcare Corp.*		92,056
	1,884	Tivity Health Inc.*		34,402
	945	Triple-S Management Corp., Class B Shares*		19,391
	3,466	Universal Health Services Inc., Class B Shares		501,114
	518	US Physical Therapy Inc.		69,163
		Total Health Care Providers & Services		7,054,950
	Health Care Technology — 0.6%
	6,739	Allscripts Healthcare Solutions Inc.*		61,190
	4,212	Castlight Health Inc., Class B Shares*		5,939
	3,555	Cerner Corp.		244,975
	573	Computer Programs & Systems Inc.		12,119
	2,893	Evolent Health Inc., Class A Shares*		19,875
	1,059	HealthStream Inc.*		26,761
	32,991	HMS Holdings Corp.*		1,205,161
	2,938	Inovalon Holdings Inc., Class A Shares*(a)		49,711
	530	Inspire Medical Systems Inc.*		36,840
	2,473	Medidata Solutions Inc.*		226,477
	2,243	NextGen Healthcare Inc.*		31,873
	1,667	Omnicell Inc.*		119,691
	500	OptimizeRx Corp.*		8,205
	445	Simulations Plus Inc.		16,069
	805	Tabula Rasa HealthCare Inc.*		45,724
	9,475	Teladoc Health Inc.*(a)		548,413
	1,238	Vocera Communications Inc.*		28,412
		Total Health Care Technology		2,687,435
	Life Sciences Tools & Services — 2.8%
	1,130	Accelerate Diagnostics Inc.*(a)		21,233
	4,353	Bio-Rad Laboratories Inc., Class A Shares*		1,470,052
	9,695	Bio-Techne Corp.		1,857,271
	4,242	Bruker Corp.		183,127

See Notes to Financial Statements.

83

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	HEALTH CARE — 14.3% — (continued)
	Life Sciences Tools & Services — 2.8% — (continued)
	1,367	Cambrex Corp.*	$	81,924
	17,912	Charles River Laboratories International Inc.*		2,350,054
	1,386	ChromaDex Corp.*		5,419
	2,197	Codexis Inc.*		30,824
	111,559	Fluidigm Corp.*		622,499
	7,580	ICON PLC*		1,168,760
	5,334	Illumina Inc.*		1,500,668
	22,204	Luminex Corp.		455,182
	1,141	Medpace Holdings Inc.*		92,318
	26,064	NanoString Technologies Inc.*		664,111
	3,614	NeoGenomics Inc.*		90,278
	5,759	Pacific Biosciences of California Inc.*		31,963
	4,522	PerkinElmer Inc.		373,969
	2,400	PRA Health Sciences Inc.*		237,216
	9,067	QIAGEN NV*		314,534
	391	Quanterix Corp.*		10,295
	2,536	Syneos Health Inc., Class A Shares*		133,216
	1,196	Waters Corp.*		253,421
		Total Life Sciences Tools & Services		11,948,334
	Pharmaceuticals — 1.4%
	3,301	AcelRx Pharmaceuticals Inc.*(a)		7,691
	1,271	Aclaris Therapeutics Inc.*		1,284
	1,757	Aerie Pharmaceuticals Inc.*		38,057
	3,486	Akorn Inc.*		10,075
	76,015	Amneal Pharmaceuticals Inc.*		193,838
	1,513	Amphastar Pharmaceuticals Inc.*		33,982
	387	ANI Pharmaceuticals Inc.*		25,349
	730	Arvinas Inc.*		18,987
	2,423	Assertio Therapeutics Inc.*		3,489
	1,008	Axsome Therapeutics Inc.*		25,654
	3,393	BioDelivery Sciences International Inc.*		14,556
	1,337	Cara Therapeutics Inc.*		31,339
	30,500	Catalent Inc.*		1,608,570
	902	Cerecor Inc.*		2,923
	1,078	Chiasma Inc.*		5,584
	1,384	Collegium Pharmaceutical Inc.*		16,027
	3,892	Corcept Therapeutics Inc.*		49,078
	860	Corium International Inc.*#(b)(c)		155
	974	CorMedix Inc.*		7,480
	108,800	Correvio Pharma Corp.*(a)		223,040
	2,868	Cymabay Therapeutics Inc.*		16,979
	1,935	Dermira Inc.*		15,499
	323	Dova Pharmaceuticals Inc.*(a)		4,842
	785	Eloxx Pharmaceuticals Inc.*		4,867
	9,644	Endo International PLC*		22,856
	640	Evofem Biosciences Inc.*		3,366
	339	Evolus Inc.*(a)		5,844
	2,632	EyePoint Pharmaceuticals Inc.*		3,948
	7,544	Horizon Therapeutics PLC*		208,441
	2,673	Innoviva Inc.*		30,980
	32,149	Intersect ENT Inc.*		526,601
	1,971	Intra-Cellular Therapies Inc.*		16,872
	2,274	Jazz Pharmaceuticals PLC*		291,413
	1,102	Kala Pharmaceuticals Inc.*		4,529

See Notes to Financial Statements.

84

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	HEALTH CARE — 14.3% — (continued)
	Pharmaceuticals — 1.4% — (continued)
	331	Kaleido Biosciences Inc.*	$	3,098
	1,196	Lannett Co., Inc.*(a)		12,319
	345	Liquidia Technologies Inc.*		1,401
	12,936	Mallinckrodt PLC*(a)		33,504
	1,814	Marinus Pharmaceuticals Inc.*		2,086
	936	Menlo Therapeutics Inc.*		4,605
	1,807	MyoKardia Inc.*		97,162
	6,876	Nektar Therapeutics, Class A Shares*		120,811
	290	NGM Biopharmaceuticals Inc.*		5,142
	1,503	Ocular Therapeutix Inc.*(a)		6,448
	285	Odonate Therapeutics Inc.*		8,781
	1,961	Omeros Corp.*(a)		36,259
	987	Optinose Inc.*(a)		7,560
	430	Osmotica Pharmaceuticals PLC*		1,316
	14,260	Pacira BioSciences Inc.*		531,042
	1,169	Paratek Pharmaceuticals Inc.*(a)		4,372
	5,182	Perrigo Co. PLC		242,414
	878	Phibro Animal Health Corp., Class A Shares		18,131
	17,344	Prestige Consumer Healthcare Inc.*		552,927
	831	Reata Pharmaceuticals Inc., Class A Shares*		64,070
	623	resTORbio Inc.*		5,993
	1,845	Revance Therapeutics Inc.*		19,557
	2,481	SIGA Technologies Inc.*		12,455
	1,532	Strongbridge Biopharma PLC*		3,968
	12,472	Supernus Pharmaceuticals Inc.*		337,118
	8,261	TherapeuticsMD Inc.*(a)		23,874
	1,848	Theravance Biopharma Inc.*		40,712
	904	Tricida Inc.*		31,541
	397	Verrica Pharmaceuticals Inc.*		3,934
	934	WaVe Life Sciences Ltd.*		21,482
	1,114	Xeris Pharmaceuticals Inc.*		12,911
	1,767	Zogenix Inc.*		75,433
	870	Zynerba Pharmaceuticals Inc.*(a)		9,300
		Total Pharmaceuticals		5,825,921
		TOTAL HEALTH CARE		60,214,937
	INDUSTRIALS — 17.4%
	Aerospace & Defense — 2.3%
	1,390	AAR Corp.		59,714
	2,976	Aerojet Rocketdyne Holdings Inc.*		155,436
	889	Aerovironment Inc.*		45,810
	1,006	Astronics Corp.*		27,675
	2,379	Axon Enterprise Inc.*		142,669
	3,909	BWX Technologies Inc.		231,413
	1,295	Cubic Corp.		89,705
	1,753	Curtiss-Wright Corp.		214,988
	423	Ducommun Inc.*		17,419
	18,056	HEICO Corp., Class A Shares		1,992,660
	3,490	Hexcel Corp.		293,684
	1,670	Huntington Ingalls Industries Inc.		349,030
	3,724	Kratos Defense & Security Solutions Inc.*		74,368
	2,162	Maxar Technologies Inc.		15,307
	7,784	Mercury Systems Inc.*		666,544
	1,307	Moog Inc., Class A Shares		106,194

See Notes to Financial Statements.

85

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INDUSTRIALS — 17.4% — (continued)
	Aerospace & Defense — 2.3% — (continued)
	200	National Presto Industries Inc.	$	17,142
	809	Park Aerospace Corp.		13,672
	764	Parsons Corp.*		25,991
	14,238	Spirit AeroSystems Holdings Inc., Class A Shares		1,147,583
	6,739	Teledyne Technologies Inc.*		2,079,588
	3,138	TransDigm Group Inc.		1,689,248
	2,054	Triumph Group Inc.		42,682
	458	Vectrus Inc.*		18,531
	2,024	Wesco Aircraft Holdings Inc.*		22,264
		Total Aerospace & Defense		9,539,317
	Air Freight & Logistics — 0.1%
	2,415	Air Transport Services Group Inc.*		48,783
	929	Atlas Air Worldwide Holdings Inc.*		24,015
	1,050	Echo Global Logistics Inc.*		21,042
	1,194	Forward Air Corp.		74,386
	1,383	Hub Group Inc., Class A Shares*		59,552
	1,467	Radiant Logistics Inc.*		7,159
	3,767	XPO Logistics Inc.*		266,929
		Total Air Freight & Logistics		501,866
	Airlines — 0.2%
	4,967	Alaska Air Group Inc.		296,629
	536	Allegiant Travel Co., Class A Shares		76,107
	1,296	Copa Holdings SA, Class A Shares(a)		133,721
	1,928	Hawaiian Holdings Inc.		47,063
	12,373	JetBlue Airways Corp.*		214,300
	861	Mesa Air Group Inc.*		5,562
	2,036	SkyWest Inc.		116,582
	2,784	Spirit Airlines Inc.*		104,511
		Total Airlines		994,475
	Building Products — 1.1%
	1,695	AAON Inc.		81,309
	1,446	Advanced Drainage Systems Inc.		45,390
	3,841	Allegion PLC		369,773
	630	American Woodmark Corp.*		51,893
	5,691	AO Smith Corp.		264,745
	1,058	Apogee Enterprises Inc.		39,072
	764	Armstrong Flooring Inc.*		5,172
	1,998	Armstrong World Industries Inc.		190,749
	4,622	Builders FirstSource Inc.*		89,898
	990	Caesarstone Ltd.		14,840
	1,462	Continental Building Products Inc.*		36,755
	1,547	Cornerstone Building Brands Inc.*		7,256
	597	CSW Industrials Inc.		40,722
	5,718	Fortune Brands Home & Security Inc.		291,961
	1,338	Gibraltar Industries Inc.*		53,881
	1,489	Griffon Corp.		25,983
	677	Insteel Industries Inc.		12,660
	2,826	JELD-WEN Holding Inc.*		48,777
	1,454	Lennox International Inc.		368,996
	1,030	Masonite International Corp.*		54,992
	4,413	Owens Corning		253,130
	895	Patrick Industries Inc.*		32,345

See Notes to Financial Statements.

86

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INDUSTRIALS — 17.4% — (continued)
	Building Products — 1.1% — (continued)
	2,348	PGT Innovations Inc.*	$	37,568
	1,437	Quanex Building Products Corp.		24,745
	27,909	Resideo Technologies Inc.*		384,586
	5,696	Simpson Manufacturing Co., Inc.		365,683
	13,711	Trex Co., Inc.*		1,172,702
	2,413	Universal Forest Products Inc.		94,348
		Total Building Products		4,459,931
	Commercial Services & Supplies — 2.1%
	2,701	ABM Industries Inc.		100,639
	4,135	ACCO Brands Corp.		38,331
	4,700	ADT Inc.(a)		22,372
	2,998	Advanced Disposal Services Inc.*		97,195
	1,976	Brady Corp., Class A Shares		93,287
	1,199	BrightView Holdings Inc.*		21,978
	2,035	Brink’s Co. (The)		153,134
	1,839	Casella Waste Systems Inc., Class A Shares*		83,675
	1,390	CECO Environmental Corp.*		9,661
	235	Charah Solutions Inc.*		667
	889	Cimpress NV*		101,959
	10,812	Clean Harbors Inc.*		795,223
	35,281	Covanta Holding Corp.		606,833
	1,808	Deluxe Corp.		83,313
	1,127	Ennis Inc.		22,664
	29,944	Healthcare Services Group Inc.		675,237
	554	Heritage-Crystal Clean Inc.*		13,573
	2,397	Herman Miller Inc.		101,345
	1,808	HNI Corp.		56,392
	5,476	IAA Inc.*		267,503
	2,344	Interface Inc., Class A Shares		25,901
	5,490	KAR Auction Services Inc.		145,814
	1,556	Kimball International Inc., Class B Shares		27,308
	1,958	Knoll Inc.		45,151
	1,267	LSC Communications Inc.		1,647
	15,372	Matthews International Corp., Class A Shares		450,553
	1,001	McGrath RentCorp		64,094
	1,872	Mobile Mini Inc.		58,519
	6,221	MSA Safety Inc.		657,124
	157	NL Industries Inc.*		579
	407	NRC Group Holdings Corp.*		4,778
	787	PICO Holdings Inc.*		7,579
	6,102	Pitney Bowes Inc.		21,723
	1,140	Quad/Graphics Inc.		10,249
	5,812	Rollins Inc.		190,692
	2,548	RR Donnelley & Sons Co.		6,166
	973	SP Plus Corp.*		33,578
	3,601	Steelcase Inc., Class A Shares		55,924
	21,065	Stericycle Inc.*		945,608
	35,548	Team Inc.*		585,831
	2,227	Tetra Tech Inc.		180,654
	615	UniFirst Corp.		120,485
	886	US Ecology Inc.		53,665
	802	Viad Corp.		51,833
	363	VSE Corp.		11,558
	19,174	Waste Connections Inc.		1,762,091
		Total Commercial Services & Supplies		8,864,085

See Notes to Financial Statements.

87

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INDUSTRIALS — 17.4% — (continued)
	Construction & Engineering — 0.7%
	6,389	AECOM*	$	226,682
	1,206	Aegion Corp., Class A Shares*		23,807
	965	Ameresco Inc., Class A Shares*		13,896
	2,012	Arcosa Inc.		65,370
	593	Argan Inc.		24,497
	1,508	Comfort Systems USA Inc.		58,299
	279	Concrete Pumping Holdings Inc.*		1,233
	496	Construction Partners Inc., Class A Shares*		8,179
	12,698	Dycom Industries Inc.*		565,061
	2,275	EMCOR Group Inc.		198,926
	5,704	Fluor Corp.		100,790
	1,937	Granite Construction Inc.		55,088
	2,510	Great Lakes Dredge & Dock Corp.*		27,208
	295	IES Holdings Inc.*		5,567
	5,415	Jacobs Engineering Group Inc.		481,177
	2,455	MasTec Inc.*		154,346
	677	MYR Group Inc.*		19,410
	371	Northwest Pipe Co.*		8,533
	421	NV5 Global Inc.*		25,988
	1,845	Primoris Services Corp.		36,051
	5,796	Quanta Services Inc.		196,484
	1,080	Sterling Construction Co., Inc.*		12,085
	1,678	Tutor Perini Corp.*		16,763
	3,176	Valmont Industries Inc.		430,348
	2,149	Willscot Corp., Class A Shares*		29,979
		Total Construction & Engineering		2,785,767
	Electrical Equipment — 0.8%
	38,358	ABB Ltd., ADR(a)		729,569
	1,626	Acuity Brands Inc.		203,917
	249	Allied Motion Technologies Inc.		8,020
	877	American Superconductor Corp.*		6,727
	1,904	Atkore International Group Inc.*		55,235
	7,245	AZZ Inc.		299,001
	27,196	Babcock & Wilcox Enterprises Inc.*(a)		100,081
	2,271	Bloom Energy Corp., Class A Shares*(a)		10,174
	854	Encore Wire Corp.		46,107
	872	Energous Corp.*		3,174
	1,787	EnerSys		100,072
	2,496	Generac Holdings Inc.*		194,663
	2,559	GrafTech International Ltd.		31,194
	2,226	Hubbell Inc., Class B Shares		291,918
	6,408	nVent Electric PLC		129,826
	9,516	Plug Power Inc.*		20,650
	358	Powell Industries Inc.		13,003
	102	Preformed Line Products Co.		5,227
	1,740	Regal Beloit Corp.		123,366
	42,773	Schneider Electric SE, ADR(a)		716,448
	6,520	Sensata Technologies Holding PLC*		297,182
	4,554	Sunrun Inc.*		69,813
	1,356	Thermon Group Holdings Inc.*		29,493
	1,193	TPI Composites Inc.*		21,045
	715	Vicor Corp.*		21,800
	1,903	Vivint Solar Inc.*		15,338
		Total Electrical Equipment		3,543,043

See Notes to Financial Statements.

88

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INDUSTRIALS — 17.4% — (continued)
	Industrial Conglomerates — 0.5%
	2,307	Carlisle Cos., Inc.	$	334,423
	1,515	Raven Industries Inc.		44,192
	4,475	Roper Technologies Inc.		1,641,251
		Total Industrial Conglomerates		2,019,866
	Machinery — 5.0%
	21,607	Actuant Corp., Class A Shares		479,891
	2,604	AGCO Corp.		179,989
	392	Alamo Group Inc.		44,759
	11,704	Albany International Corp., Class A Shares		962,303
	4,711	Allison Transmission Holdings Inc.		209,310
	20,857	Altra Industrial Motion Corp.		542,073
	893	Astec Industries Inc.		24,647
	8,344	Atlas Copco AB, ADR(a)		250,570
	11,760	Barnes Group Inc.		527,436
	599	Blue Bird Corp.*		10,926
	1,670	Briggs & Stratton Corp.		7,214
	1,464	Chart Industries Inc.*		91,998
	806	CIRCOR International Inc.*		27,702
	3,856	Colfax Corp.*(a)		104,883
	937	Columbus McKinnon Corp.		30,331
	1,068	Commercial Vehicle Group Inc.*		6,782
	2,054	Crane Co.		156,597
	5,238	Donaldson Co., Inc.		253,310
	909	Douglas Dynamics Inc.		37,960
	203	Eastern Co. (The)		4,478
	1,632	Energy Recovery Inc.*		15,781
	855	EnPro Industries Inc.		53,249
	46,541	Epiroc AB, ADR		481,699
	1,047	ESCO Technologies Inc.		79,708
	2,970	Evoqua Water Technologies Corp.*		45,916
	2,471	Federal Signal Corp.		73,413
	27,023	Flowserve Corp.		1,153,342
	1,922	Franklin Electric Co., Inc.		88,124
	5,345	Gardner Denver Holdings Inc.*		153,295
	2,020	Gates Industrial Corp. PLC*		17,574
	303	Gencor Industries Inc.*		3,466
	669	Gorman-Rupp Co. (The)		19,983
	11,874	Graco Inc.		541,098
	303	Graham Corp.		5,578
	1,374	Greenbrier Cos., Inc. (The)		32,000
	61,953	Harsco Corp.*		1,108,959
	1,211	Helios Technologies Inc.		51,819
	2,576	Hillenbrand Inc.		70,685
	226	Hurco Cos., Inc.		7,212
	408	Hyster-Yale Materials Handling Inc.		22,256
	7,915	IDEX Corp.		1,303,680
	3,589	ITT Inc.		204,286
	1,269	John Bean Technologies Corp.		129,844
	468	Kadant Inc.		38,512
	3,401	Kennametal Inc.		101,656
	341	LB Foster Co., Class A Shares*		6,789
	11,428	Lincoln Electric Holdings Inc.		943,496
	19,297	Lindsay Corp.		1,703,153
	1,123	Luxfer Holdings PLC		17,642

See Notes to Financial Statements.

89

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INDUSTRIALS — 17.4% — (continued)
	Machinery — 5.0% — (continued)
	17,218	Lydall Inc.*	$	346,254
	1,542	Manitowoc Co., Inc. (The)*		19,275
	3,312	Meritor Inc.*		55,708
	2,275	Middleby Corp. (The)*		249,477
	2,693	Milacron Holdings Corp.*		42,684
	418	Miller Industries Inc.		13,079
	2,231	Mueller Industries Inc.		58,809
	6,521	Mueller Water Products Inc., Class A Shares		68,210
	2,051	Navistar International Corp.*		47,173
	1,578	NN Inc.		10,131
	2,349	Nordson Corp.		319,370
	102	Omega Flex Inc.		8,588
	2,848	Oshkosh Corp.		200,129
	384	Park-Ohio Holdings Corp.		10,441
	7,030	Pentair PLC		252,518
	1,116	Proto Labs Inc.*		105,730
	989	RBC Bearings Inc.*		157,775
	1,127	REV Group Inc.		14,527
	4,349	Rexnord Corp.*		113,857
	2,254	Snap-on Inc.		335,125
	1,405	Spartan Motors Inc.		17,717
	1,814	SPX Corp.*		68,841
	1,676	SPX FLOW Inc.*		56,498
	495	Standex International Corp.		34,031
	723	Tennant Co.		49,446
	2,620	Terex Corp.		65,055
	15,572	Timken Co. (The)		625,683
	1,809	Titan International Inc.		4,703
	4,344	Toro Co. (The)		312,811
	1,928	TriMas Corp.*		56,645
	4,446	Trinity Industries Inc.		77,672
	9,719	Twin Disc Inc.*		98,259
	2,161	Wabash National Corp.		29,476
	25,466	WABCO Holdings Inc.*		3,399,966
	1,134	Watts Water Technologies Inc., Class A Shares		103,908
	36,359	Welbilt Inc.*		572,291
	8,114	Woodward Inc.		875,095
		Total Machinery		21,304,331
	Marine — 0.1%
	1,817	Costamare Inc.		10,520
	2,235	Danaos Corp.*		16,092
	1,848	Eagle Bulk Shipping Inc.*		8,501
	761	Genco Shipping & Trading Ltd.*		7,275
	2,441	Kirby Corp.*		179,633
	7,661	Matson Inc.		272,195
	2,124	Safe Bulkers Inc.*		4,376
	1,967	Scorpio Bulkers Inc.		12,451
		Total Marine		511,043
	Professional Services — 2.0%
	721	Acacia Research Corp.*		1,882
	14,056	ASGN Inc.*		878,078
	299	Barrett Business Services Inc.		26,052
	477	BG Staffing Inc.		8,939

See Notes to Financial Statements.

90

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INDUSTRIALS — 17.4% — (continued)
	Professional Services — 2.0% — (continued)
	2,038	CBIZ Inc.*	$	45,529
	2,139	CoStar Group Inc.*		1,315,207
	296	CRA International Inc.		11,512
	2,108	Exponent Inc.		149,436
	474	Forrester Research Inc.		16,528
	390	Franklin Covey Co.*		14,348
	10,933	FTI Consulting Inc.*		1,182,295
	467	GP Strategies Corp.*		6,015
	815	Heidrick & Struggles International Inc.		21,638
	911	Huron Consulting Group Inc.*		55,762
	727	ICF International Inc.		61,548
	1,497	InnerWorkings Inc.*		6,347
	1,577	Insperity Inc.		156,218
	1,375	Kelly Services Inc., Class A Shares		33,289
	900	Kforce Inc.		29,286
	2,342	Korn Ferry		91,525
	2,450	ManpowerGroup Inc.		200,263
	729	Mistras Group Inc.*		10,643
	1,569	Navigant Consulting Inc.		43,728
	1,371	Resources Connection Inc.		22,690
	4,768	Robert Half International Inc.		254,945
	10,090	TransUnion		844,029
	1,818	TriNet Group Inc.*		122,042
	1,601	TrueBlue Inc.*		31,075
	2,273	Upwork Inc.*		32,868
	15,911	Verisk Analytics Inc., Class A Shares		2,570,263
	395	Willdan Group Inc.*		14,279
		Total Professional Services		8,258,259
	Road & Rail — 1.3%
	364	AMERCO		127,990
	1,016	ArcBest Corp.		30,084
	19,502	Avis Budget Group Inc.*		483,064
	438	Covenant Transportation Group Inc., Class A Shares*		6,298
	1,485	Daseke Inc.*		2,614
	11,725	Genesee & Wyoming Inc., Class A Shares*		1,300,068
	1,964	Heartland Express Inc.		40,399
	46,915	Hertz Global Holdings Inc.*		568,141
	5,691	JB Hunt Transport Services Inc.		614,856
	5,151	Knight-Swift Transportation Holdings Inc., Class A Shares		175,855
	1,642	Landstar System Inc.		183,116
	1,675	Marten Transport Ltd.		32,947
	82	PAM Transportation Services Inc.*		4,731
	18,096	Ryder System Inc.		871,684
	1,056	Saia Inc.*		90,330
	2,331	Schneider National Inc., Class B Shares		45,315
	346	Universal Logistics Holdings Inc.		7,249
	859	US Xpress Enterprises Inc., Class A Shares*		3,608
	34,127	Werner Enterprises Inc.		1,115,270
	1,308	YRC Worldwide Inc.*		2,851
		Total Road & Rail		5,706,470
	Trading Companies & Distributors — 1.2%
	18,134	AerCap Holdings NV*		972,345
	4,275	Air Lease Corp., Class A Shares		177,583

See Notes to Financial Statements.

91

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INDUSTRIALS — 17.4% — (continued)
	Trading Companies & Distributors — 1.2% — (continued)
	2,099	Aircastle Ltd.	$	45,863
	1,586	Applied Industrial Technologies Inc.		84,676
	2,805	Beacon Roofing Supply Inc.*		89,423
	285	BlueLinx Holdings Inc.*		8,177
	2,712	BMC Stock Holdings Inc.*		68,966
	658	CAI International Inc.*		13,936
	677	DXP Enterprises Inc.*		21,969
	170	EVI Industries Inc.(a)		5,068
	39,594	Fastenal Co.		1,212,368
	649	Foundation Building Materials Inc.*		11,117
	1,462	GATX Corp.		108,510
	295	General Finance Corp.*		2,440
	1,296	GMS Inc.*		38,180
	1,324	H&E Equipment Services Inc.		32,160
	7,008	HD Supply Holdings Inc.*		272,681
	996	Herc Holdings Inc.*		41,115
	1,140	Kaman Corp.		66,565
	128	Lawson Products Inc.*		4,666
	3,366	MRC Global Inc.*		42,311
	1,797	MSC Industrial Direct Co., Inc., Class A Shares		121,513
	4,485	NOW Inc.*		53,327
	19,863	Rush Enterprises Inc., Class A Shares		717,253
	192	Rush Enterprises Inc., Class B Shares		7,139
	1,659	SiteOne Landscape Supply Inc.*		129,734
	460	Systemax Inc.		9,232
	1,090	Textainer Group Holdings Ltd.*		8,687
	743	Titan Machinery Inc.*		11,190
	269	Transcat Inc.*		6,249
	2,354	Triton International Ltd.		75,681
	6,459	Univar Inc.*		124,982
	446	Veritiv Corp.*		7,386
	1,317	Watsco Inc.		215,395
	1,880	WESCO International Inc.*		84,750
	120	Willis Lease Finance Corp.*		7,412
		Total Trading Companies & Distributors		4,900,049
	Transportation Infrastructure — 0.0%
	3,022	Macquarie Infrastructure Corp.		114,292
		TOTAL INDUSTRIALS		73,502,794
	INFORMATION TECHNOLOGY — 19.0%
	Communications Equipment — 1.4%
	1,519	Acacia Communications Inc.*		95,773
	2,047	ADTRAN Inc.		21,023
	693	Applied Optoelectronics Inc.*(a)		6,168
	33,210	CalAmp Corp.*		318,816
	1,825	Calix Inc.*		10,968
	1,434	Casa Systems Inc.*		8,260
	52,358	Ciena Corp.*		2,143,013
	411	Clearfield Inc.*		4,394
	7,929	CommScope Holding Co., Inc.*		85,157
	996	Comtech Telecommunications Corp.		26,643
	225	DASAN Zhone Solutions Inc.*		2,401
	1,251	Digi International Inc.*		15,988
	1,968	EchoStar Corp., Class A Shares*		83,148

See Notes to Financial Statements.

92

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 19.0% — (continued)
	Communications Equipment — 1.4% — (continued)
	4,933	Extreme Networks Inc.*	$	32,952
	4,857	Finisar Corp.*(a)		109,817
	3,706	Harmonic Inc.*		24,422
	114,760	Infinera Corp.*		611,671
	1,829	Inseego Corp.*(a)		8,121
	1,313	InterDigital Inc.		64,560
	659	KVH Industries Inc.*		6,129
	3,123	Lumentum Holdings Inc.*		174,138
	1,218	NETGEAR Inc.*		42,289
	3,093	NetScout Systems Inc.*		68,510
	1,395	Plantronics Inc.		43,343
	54,506	Ribbon Communications Inc.*		281,796
	253	TESSCO Technologies Inc.		3,739
	624	Ubiquiti Inc.		68,958
	2,276	ViaSat Inc.*		180,555
	95,218	Viavi Solutions Inc.*		1,322,578
		Total Communications Equipment		5,865,330
	Electronic Equipment, Instruments & Components — 3.3%
	381	Airgain Inc.*		4,279
	1,035	Akoustis Technologies Inc.*(a)		7,576
	22,975	Amphenol Corp., Class A Shares		2,011,232
	1,263	Anixter International Inc.*		75,742
	2,652	Arlo Technologies Inc.*		8,327
	3,468	Arrow Electronics Inc.*		239,986
	4,321	Avnet Inc.		181,007
	1,939	AVX Corp.		26,273
	1,171	Badger Meter Inc.		60,400
	335	Bel Fuse Inc., Class B Shares		3,685
	13,879	Belden Inc.		633,021
	1,562	Benchmark Electronics Inc.		41,362
	129	Coda Octopus Group Inc.*		1,146
	6,731	Cognex Corp.		303,434
	996	Coherent Inc.*		144,380
	1,273	CTS Corp.		36,319
	1,375	Daktronics Inc.		9,941
	2,573	Dolby Laboratories Inc., Class A Shares		158,394
	534	ePlus Inc.*		43,639
	1,504	Fabrinet*		75,937
	717	FARO Technologies Inc.*		35,305
	9,316	Fitbit Inc., Class A Shares*		28,786
	23,052	FLIR Systems Inc.		1,135,772
	8,895	II-VI Inc.*		333,651
	1,463	Insight Enterprises Inc.*		70,312
	2,557	IPG Photonics Corp.*		316,378
	974	Iteris Inc.*		5,299
	29,800	Itron Inc.*		2,069,610
	6,101	Jabil Inc.		175,770
	2,311	KEMET Corp.		38,709
	988	Kimball Electronics Inc.*		13,051
	58,386	Knowles Corp.*		1,184,068
	981	Littelfuse Inc.		153,105
	1,565	Methode Electronics Inc.		49,673
	745	MTS Systems Corp.		42,368
	505	Napco Security Technologies Inc.*		17,412

See Notes to Financial Statements.

93

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 19.0% — (continued)
	Electronic Equipment, Instruments & Components — 3.3% — (continued)
	5,341	National Instruments Corp.	$	224,322
	1,345	nLight Inc.*		17,377
	1,386	Novanta Inc.*		103,950
	6,685	OSI Systems Inc.*		701,992
	518	PAR Technology Corp.*(a)		11,981
	440	PC Connection Inc.		15,501
	386	PCM Inc.*		13,514
	1,196	Plexus Corp.*		68,423
	8,186	Rogers Corp.*		1,083,990
	2,789	Sanmina Corp.*		80,602
	1,128	ScanSource Inc.*		31,877
	1,687	SYNNEX Corp.		141,387
	1,497	Tech Data Corp.*		138,817
	30,040	Trimble Inc.*		1,127,101
	4,070	TTM Technologies Inc.*		43,386
	5,483	Vishay Intertechnology Inc.		86,796
	406	Vishay Precision Group Inc.*		12,688
	179	Wrap Technologies Inc.*(a)		743
	2,195	Zebra Technologies Corp., Class A Shares*		450,041
		Total Electronic Equipment, Instruments & Components		14,089,837
	IT Services — 3.5%
	1,831	Alliance Data Systems Corp.		225,121
	5,645	Amdocs Ltd.		365,457
	28,045	Black Knight Inc.*		1,745,801
	5,595	Booz Allen Hamilton Holding Corp., Class A Shares		422,478
	1,597	Brightcove Inc.*		19,691
	1,009	CACI International Inc., Class A Shares*		224,291
	1,415	Carbonite Inc.*		17,051
	1,534	Cardtronics PLC, Class A Shares*		45,437
	561	Cass Information Systems Inc.		28,387
	56,477	Conduent Inc.*		367,665
	22,499	CoreLogic Inc.*		1,088,952
	1,352	CSG Systems International Inc.		72,846
	2,660	Endurance International Group Holdings Inc.*		13,406
	2,126	EPAM Systems Inc.*		406,768
	6,782	Euronet Worldwide Inc.*		1,038,596
	2,496	EVERTEC Inc.		87,011
	1,280	Evo Payments Inc., Class A Shares*		37,990
	1,441	Exela Technologies Inc.*		1,657
	1,382	ExlService Holdings Inc.*		93,561
	2,603	Gartner Inc.*		347,943
	6,740	Genpact Ltd.		276,070
	1,381	GTT Communications Inc.*(a)		13,133
	920	Hackett Group Inc. (The)		14,840
	335	I3 Verticals Inc., Class A Shares*		7,578
	1,089	Information Services Group Inc.*		2,897
	516	International Money Express Inc.*		6,729
	10,530	InterXion Holding NV*		852,298
	3,154	Jack Henry & Associates Inc.		457,204
	42,383	KBR Inc.		1,081,614
	5,590	Leidos Holdings Inc.		488,342
	5,131	Limelight Networks Inc.*		12,468
	2,780	LiveRamp Holdings Inc.*		117,761
	1,104	ManTech International Corp., Class A Shares		77,589

See Notes to Financial Statements.

94

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 19.0% — (continued)
	IT Services — 3.5% — (continued)
	2,601	MAXIMUS Inc.	$	200,121
	980	MongoDB Inc., Class A Shares*(a)		149,264
	2,729	NIC Inc.		56,818
	9,595	Okta Inc., Class A Shares*		1,213,768
	1,221	Paysign Inc.*(a)		16,227
	1,322	Perficient Inc.*		48,702
	5,834	Perspecta Inc.		151,392
	1,910	Presidio Inc.		30,598
	695	PRGX Global Inc.*		3,746
	482	Priority Technology Holdings Inc.*		2,738
	17,220	Repay Holdings Corp.*		218,694
	11,309	Sabre Corp.		267,345
	2,421	Science Applications International Corp.		213,072
	675	StarTek Inc.*		4,205
	2,427	Switch Inc., Class A Shares		39,803
	1,567	Sykes Enterprises Inc.*		45,443
	571	TTEC Holdings Inc.		26,786
	371	Tucows Inc., Class A Shares*		18,721
	27,173	Unisys Corp.*(a)		177,711
	2,409	USA Technologies Inc.*		19,826
	4,053	Verra Mobility Corp., Class A Shares*		56,418
	1,209	Virtusa Corp.*		43,693
	5,543	WEX Inc.*		1,133,821
	10,000	WNS Holdings Ltd., ADR*		607,800
		Total IT Services		14,805,344
	Semiconductors & Semiconductor Equipment — 2.6%
	1,082	Adesto Technologies Corp.*		11,036
	13,202	Advanced Energy Industries Inc.*		681,751
	854	Alpha & Omega Semiconductor Ltd.*		10,060
	1,300	Ambarella Inc.*		72,631
	3,847	Amkor Technology Inc.*		33,661
	1,095	Aquantia Corp.*		14,432
	1,317	Axcelis Technologies Inc.*		20,163
	1,335	AXT Inc.*		4,526
	35,265	Brooks Automation Inc.		1,175,383
	5,994	Cabot Microelectronics Corp.		747,152
	10,099	CEVA Inc.*		317,210
	2,404	Cirrus Logic Inc.*		128,951
	1,674	Cohu Inc.		19,954
	4,315	Cree Inc.*		185,243
	55,978	Cypress Semiconductor Corp.		1,288,054
	1,687	Diodes Inc.*		61,660
	887	DSP Group Inc.*		12,276
	3,726	Enphase Energy Inc.*		110,550
	13,719	Entegris Inc.		587,585
	3,381	First Solar Inc.*		209,859
	3,009	FormFactor Inc.*		51,424
	606	GSI Technology Inc.*		5,090
	939	Ichor Holdings Ltd.*		19,963
	4,999	Impinj Inc.*(a)		181,864
	1,845	Inphi Corp.*		112,896
	5,138	Lattice Semiconductor Corp.*		101,167
	50,360	MACOM Technology Solutions Holdings Inc.*		989,070
	2,681	MaxLinear Inc., Class A Shares*		53,137

See Notes to Financial Statements.

95

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 19.0% — (continued)
	Semiconductors & Semiconductor Equipment — 2.6% — (continued)
	5,467	MKS Instruments Inc.	$	428,011
	1,716	Monolithic Power Systems Inc.		258,361
	956	Nanometrics Inc.*		26,089
	1,552	NeoPhotonics Corp.*		9,716
	187	NVE Corp.		12,005
	16,744	ON Semiconductor Corp.*		298,043
	1,169	PDF Solutions Inc.*		13,689
	2,730	Photronics Inc.*		29,484
	1,151	Power Integrations Inc.		102,462
	60,117	Rambus Inc.*		753,867
	1,305	Rudolph Technologies Inc.*		28,697
	2,675	Semtech Corp.*		112,270
	1,754	Silicon Laboratories Inc.*		191,186
	455	SMART Global Holdings Inc.*		12,927
	2,557	SunPower Corp., Class A Shares*		32,014
	1,409	Synaptics Inc.*		45,116
	7,019	Teradyne Inc.		371,796
	1,579	Ultra Clean Holdings Inc.*		18,853
	1,752	Universal Display Corp.		359,984
	43,467	Veeco Instruments Inc.*		402,504
	4,478	Versum Materials Inc.		232,856
	1,997	Xperi Corp.		36,585
		Total Semiconductors & Semiconductor Equipment		10,983,263
	Software — 7.7%
	2,320	2U Inc.*		41,482
	31,215	8x8 Inc.*		758,837
	2,126	A10 Networks Inc.*		14,754
	26,384	ACI Worldwide Inc.*		785,716
	709	Agilysys Inc.*		19,320
	1,521	Alarm.com Holdings Inc.*		72,400
	1,587	Altair Engineering Inc., Class A Shares*		54,529
	1,866	Alteryx Inc., Class A Shares*		265,812
	1,240	American Software Inc., Class A Shares		19,542
	3,369	Anaplan Inc.*		183,038
	8,530	ANSYS Inc.*		1,761,957
	617	Appfolio Inc., Class A Shares*		60,941
	1,291	Appian Corp., Class A Shares*(a)		76,776
	7,894	Aspen Technology Inc.*		1,051,481
	1,748	Avalara Inc.*		147,426
	4,587	Avaya Holdings Corp.*		64,768
	1,200	Benefitfocus Inc.*		31,344
	1,997	Blackbaud Inc.		181,667
	35,990	Blackline Inc.*		1,832,971
	20,006	Bottomline Technologies de Inc.*		825,047
	5,931	Box Inc., Class A Shares*		86,771
	2,307	Carbon Black Inc.*		60,213
	4,999	CDK Global Inc.		215,757
	2,960	Ceridian HCM Holding Inc.*		170,999
	950	ChannelAdvisor Corp.*		8,170
	3,777	Cision Ltd.*		26,137
	86,071	Cloudera Inc.*(a)		614,547
	1,423	CommVault Systems Inc.*		61,716
	2,271	Cornerstone OnDemand Inc.*		118,478
	2,509	Coupa Software Inc.*		348,575

See Notes to Financial Statements.

96

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 19.0% — (continued)
	Software — 7.7% — (continued)
	435	Digimarc Corp.*	$	17,200
	3,178	Digital Turbine Inc.*		24,185
	6,267	DocuSign Inc., Class A Shares*		292,606
	729	Domo Inc., Class B Shares*		18,101
	949	Ebix Inc.		33,614
	682	eGain Corp.*		4,897
	1,532	Elastic NV*		134,648
	12,863	Envestnet Inc.*		735,892
	1,344	Everbridge Inc.*		115,853
	3,386	Fair Isaac Corp.*		1,194,310
	59,580	FireEye Inc.*		800,159
	2,401	Five9 Inc.*		151,767
	1,681	ForeScout Technologies Inc.*		60,230
	1,270	GTY Technology Holdings Inc.*		7,950
	3,347	Guidewire Software Inc.*		321,914
	1,635	HubSpot Inc.*		326,477
	2,102	Ideanomics Inc.*(a)		3,363
	1,393	Instructure Inc.*		57,615
	281	Intelligent Systems Corp.*		14,862
	1,900	j2 Global Inc.		160,740
	2,474	LivePerson Inc.*		98,317
	2,015	LogMeIn Inc.		134,683
	231	Majesco*		1,936
	2,645	Manhattan Associates Inc.*		218,556
	330	MicroStrategy Inc., Class A Shares*		47,286
	14,370	Mimecast Ltd.*		588,164
	1,166	Mitek Systems Inc.*		11,823
	3,970	MobileIron Inc.*		27,393
	1,337	Model N Inc.*		38,278
	1,612	Monotype Imaging Holdings Inc.		31,837
	1,917	New Relic Inc.*		109,921
	4,990	Nice Ltd., ADR*		764,718
	112,437	Nuance Communications Inc.*		1,890,066
	5,719	Nutanix Inc., Class A Shares*		138,571
	24,807	OneSpan Inc.*		334,895
	426	Pagerduty Inc.*(a)		16,729
	2,021	Paycom Software Inc.*		505,493
	4,979	Paylocity Holding Corp.*		543,806
	1,564	Pegasystems Inc.		109,715
	2,588	Pluralsight Inc., Class A Shares*		41,667
	1,841	Progress Software Corp.		69,553
	8,647	Proofpoint Inc.*		982,386
	21,001	PROS Holdings Inc.*		1,491,491
	4,265	PTC Inc.*		279,230
	1,631	Q2 Holdings Inc.*		146,708
	431	QAD Inc., Class A Shares		17,464
	10,013	Qualys Inc.*		797,235
	1,987	Rapid7 Inc.*		106,682
	3,257	RealPage Inc.*		207,373
	1,073	Rimini Street Inc.*		5,118
	2,875	RingCentral Inc., Class A Shares*		405,749
	3,545	SailPoint Technologies Holding Inc.*		79,869
	333	SecureWorks Corp., Class A Shares*(a)		4,019
	361	SharpSpring Inc.*(a)		4,188

See Notes to Financial Statements.

97

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 19.0% — (continued)
	Software — 7.7% — (continued)
	360	ShotSpotter Inc.*	$	9,803
	13,263	Smartsheet Inc., Class A Shares*		644,582
	1,872	SolarWinds Corp.*		31,861
	1,486	SPS Commerce Inc.*		75,102
	3,469	SVMK Inc.*		58,071
	1,577	Synchronoss Technologies Inc.*		12,553
	1,631	Telaria Inc.*		16,277
	1,092	Telenav Inc.*		12,361
	1,538	Tenable Holdings Inc.*		35,066
	4,783	Teradata Corp.*		147,651
	89,575	TiVo Corp.		674,500
	1,557	Trade Desk Inc. (The), Class A Shares*		382,664
	10,349	Tyler Technologies Inc.*		2,654,932
	928	Upland Software Inc.*		35,264
	1,204	Varonis Systems Inc.*		82,257
	36,868	Verint Systems Inc.*		1,964,696
	2,699	VirnetX Holding Corp.*(a)		14,197
	1,448	Workiva Inc., Class A Shares*		69,663
	3,846	Yext Inc.*		60,651
	4,422	Zendesk Inc.*		354,644
	2,129	Zix Corp.*		15,648
	2,522	Zscaler Inc.*		173,362
	3,527	Zuora Inc., Class A Shares*		53,081
		Total Software		32,267,359
	Technology Hardware, Storage & Peripherals — 0.5%
	4,794	3D Systems Corp.*		33,558
	272	AstroNova Inc.		4,469
	1,054	Avid Technology Inc.*		7,863
	1,690	Cray Inc.*		59,032
	46,525	Diebold Nixdorf Inc.*		521,545
	1,328	Immersion Corp.*		10,903
	20,259	NCR Corp.*		638,361
	9,480	Pure Storage Inc., Class A Shares*		154,334
	13,350	Quantum Corp.*		79,966
	295	Sonim Technologies Inc.*		2,142
	16,226	Stratasys Ltd.*		386,503
	7,636	Xerox Holdings Corp.		221,368
		Total Technology Hardware, Storage & Peripherals		2,120,044
		TOTAL INFORMATION TECHNOLOGY		80,131,177
	MATERIALS — 5.1%
	Chemicals — 2.1%
	664	Advanced Emissions Solutions Inc.		8,380
	1,169	AdvanSix Inc.*		26,115
	13,294	Albemarle Corp.(a)		820,639
	1,301	American Vanguard Corp.		18,435
	1,175	Amyris Inc.*(a)		4,442
	2,551	Ashland Global Holdings Inc.		186,835
	8,455	Axalta Coating Systems Ltd.*		244,180
	1,304	Balchem Corp.		115,782
	2,397	Cabot Corp.		95,880
	9,071	CF Industries Holdings Inc.		437,131
	289	Chase Corp.		28,964
	6,789	Chemours Co. (The)		96,200

See Notes to Financial Statements.

98

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	MATERIALS — 5.1% — (continued)
	Chemicals — 2.1% — (continued)
	11,249	Ecolab Inc.	$	2,320,781
	9,381	Element Solutions Inc.*		87,525
	3,457	Ferro Corp.*		35,227
	2,004	Flotek Industries Inc.*		4,188
	1,023	FutureFuel Corp.		11,028
	13,690	GCP Applied Technologies Inc.*		240,259
	423	Hawkins Inc.		18,760
	2,096	HB Fuller Co.		89,311
	9,182	Huntsman Corp.		182,905
	8,751	Ingevity Corp.*		666,564
	8,467	Innophos Holdings Inc.		237,838
	1,007	Innospec Inc.		83,762
	3,591	Intrepid Potash Inc.*		10,665
	743	Koppers Holdings Inc.*		19,697
	21,331	Kraton Corp.*		585,323
	934	Kronos Worldwide Inc.		10,227
	5,850	Livent Corp.*		35,978
	973	LSB Industries Inc.*		4,544
	1,702	Marrone Bio Innovations Inc.*(a)		2,332
	1,469	Minerals Technologies Inc.		70,806
	281	NewMarket Corp.		133,405
	6,735	Olin Corp.		114,360
	1,668	OMNOVA Solutions Inc.*		16,763
	2,458	Orion Engineered Carbons SA		34,191
	3,203	PolyOne Corp.		102,528
	1,613	PQ Group Holdings Inc.*		23,050
	542	Quaker Chemical Corp.		86,102
	2,136	Rayonier Advanced Materials Inc.		7,497
	5,302	RPM International Inc.		358,786
	1,619	Scotts Miracle-Gro Co. (The)		172,132
	1,711	Sensient Technologies Corp.		111,763
	847	Stepan Co.		80,795
	792	Trecora Resources*		7,168
	977	Tredegar Corp.		16,892
	1,707	Trinseo SA		59,899
	25,153	Tronox Holdings PLC, Class A Shares		186,887
	599	Valhi Inc.		1,168
	7,726	Valvoline Inc.		174,608
	1,438	Westlake Chemical Corp.		84,252
	2,331	WR Grace & Co.		157,832
		Total Chemicals		8,730,781
	Construction Materials — 0.6%
	1,871	Eagle Materials Inc.		157,520
	749	Forterra Inc.*		4,479
	31,637	Summit Materials Inc., Class A Shares*		663,744
	79	United States Lime & Minerals Inc.		6,097
	670	US Concrete Inc.*		27,148
	13,085	Vulcan Materials Co.		1,848,256
		Total Construction Materials		2,707,244
	Containers & Packaging — 1.6%
	8,368	AptarGroup Inc.		1,022,737
	745	Ardagh Group SA, Class A Shares		12,464
	13,757	Avery Dennison Corp.		1,589,896

See Notes to Financial Statements.

99

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	MATERIALS — 5.1% — (continued)
	Containers & Packaging — 1.6% — (continued)
	16,047	Berry Global Group Inc.*	$	628,080
	29,860	Crown Holdings Inc.*		1,965,982
	12,082	Graphic Packaging Holding Co.		166,852
	1,038	Greif Inc., Class A Shares		36,527
	255	Greif Inc., Class B Shares		10,611
	1,435	Myers Industries Inc.		24,151
	6,445	Owens-Illinois Inc.		65,546
	3,849	Packaging Corp. of America		387,132
	6,384	Sealed Air Corp.		254,211
	16,138	Silgan Holdings Inc.		480,267
	4,072	Sonoco Products Co.		232,918
	306	UFP Technologies Inc.*		12,785
		Total Containers & Packaging		6,890,159
	Materials — 0.0%
	1,140	A. Schulman Inc.*#(b)(c)		494
	Metals & Mining — 0.7%
	12,527	AK Steel Holding Corp.*(a)		27,058
	57,871	Alamos Gold Inc., Class A Shares		407,991
	7,619	Alcoa Corp.*		136,609
	5,218	Allegheny Technologies Inc.*		103,421
	1,903	Carpenter Technology Corp.		92,562
	1,813	Century Aluminum Co.*		9,990
	64,146	Cleveland-Cliffs Inc.(a)		509,319
	8,401	Coeur Mining Inc.*		45,953
	4,886	Commercial Metals Co.		76,564
	1,411	Compass Minerals International Inc.		70,169
	3,346	Ferroglobe Representation & Warranty Insurance Trust*#(b)		—
	1,912	Gold Resource Corp.		6,520
	468	Haynes International Inc.		13,979
	19,538	Hecla Mining Co.		34,778
	665	Kaiser Aluminum Corp.		58,806
	839	Materion Corp.		49,367
	267	Mayville Engineering Co., Inc.*		3,530
	9,521	Novagold Resources Inc.*		70,836
	372	Olympic Steel Inc.		3,999
	2,676	Reliance Steel & Aluminum Co.		260,187
	2,682	Royal Gold Inc.		357,725
	539	Ryerson Holding Corp.*		3,703
	1,032	Schnitzer Steel Industries Inc., Class A Shares		22,848
	8,735	Steel Dynamics Inc.		235,845
	3,668	SunCoke Energy Inc.*		22,888
	272	Synalloy Corp.		4,363
	1,755	TimkenSteel Corp.*		9,161
	7,171	United States Steel Corp.(a)		79,383
	2,136	Warrior Met Coal Inc.		44,642
	1,611	Worthington Industries Inc.		55,902
		Total Metals & Mining		2,818,098
	Paper & Forest Products — 0.1%
	1,619	Boise Cascade Co.		50,837
	640	Clearwater Paper Corp.*		10,253
	2,602	Domtar Corp.		85,736
	5,055	Louisiana-Pacific Corp.		121,522
	675	Neenah Inc.		43,052

See Notes to Financial Statements.

100

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	MATERIALS — 5.1% — (continued)
	Paper & Forest Products — 0.1% — (continued)
	1,866	PH Glatfelter Co.	$	26,833
	1,278	Schweitzer-Mauduit International Inc.		42,864
	1,388	Verso Corp., Class A Shares*		14,171
		Total Paper & Forest Products		395,268
		TOTAL MATERIALS		21,542,044
	REAL ESTATE — 7.1%
	Equity Real Estate Investment Trusts (REITs) — 6.3%
	3,401	Acadia Realty Trust		93,017
	1,520	Agree Realty Corp.		113,529
	2,856	Alexander & Baldwin Inc.		65,374
	79	Alexander’s Inc.		29,828
	1,912	American Assets Trust Inc.		89,596
	5,596	American Campus Communities Inc.		260,102
	4,424	American Finance Trust Inc.(a)		52,955
	10,539	American Homes 4 Rent, Class A Shares		269,588
	7,837	Americold Realty Trust		285,424
	6,042	Apartment Investment & Management Co., Class A Shares		308,142
	8,704	Apple Hospitality REIT Inc.		138,655
	2,024	Armada Hoffler Properties Inc.		35,096
	3,221	Ashford Hospitality Trust Inc.		9,019
	830	Bluerock Residential Growth REIT Inc., Class A Shares		10,267
	1,135	Braemar Hotels & Resorts Inc.		10,408
	7,283	Brandywine Realty Trust		104,511
	12,211	Brixmor Property Group Inc.		225,049
	340	BRT Apartments Corp.		4,923
	3,810	Camden Property Trust		412,433
	3,944	CareTrust REIT Inc.		93,828
	1,883	CatchMark Timber Trust Inc., Class A Shares		18,661
	6,331	CBL & Associates Properties Inc.(a)		5,761
	3,374	Cedar Realty Trust Inc.		7,996
	1,931	Chatham Lodging Trust		32,035
	2,498	Chesapeake Lodging Trust		64,324
	195	CIM Commercial Trust Corp.		3,900
	1,758	City Office REIT Inc.		23,803
	586	Clipper Realty Inc.		6,411
	19,861	Colony Capital Inc.		89,375
	4,889	Columbia Property Trust Inc.		104,576
	717	Community Healthcare Trust Inc.		30,573
	4,934	CoreCivic Inc.		83,631
	532	CorEnergy Infrastructure Trust Inc.		23,999
	1,837	CorePoint Lodging Inc.		16,717
	1,496	CoreSite Realty Corp.		173,805
	4,583	Corporate Office Properties Trust		132,403
	5,967	Cousins Properties Inc.		207,055
	7,725	CubeSmart		277,250
	13,454	CyrusOne Inc.		988,331
	8,419	DiamondRock Hospitality Co.		79,728
	6,574	Douglas Emmett Inc.		277,423
	14,731	Duke Realty Corp.		490,100
	2,864	Easterly Government Properties Inc.		58,855
	1,463	EastGroup Properties Inc.		182,173
	6,142	Empire State Realty Trust Inc., Class A Shares		86,357
	3,084	EPR Properties		241,323

See Notes to Financial Statements.

101

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	REAL ESTATE — 7.1% — (continued)
	Equity Real Estate Investment Trusts (REITs) — 6.3% — (continued)
	84,067	Equity Commonwealth	$	2,829,695
	3,478	Equity LifeStyle Properties Inc.		468,556
	2,998	Essential Properties Realty Trust Inc.		68,085
	1,079	Farmland Partners Inc.(a)		6,506
	5,162	First Industrial Realty Trust Inc.		201,060
	2,829	Four Corners Property Trust Inc.		80,598
	4,480	Franklin Street Properties Corp.		33,914
	2,087	Front Yard Residential Corp.		23,145
	8,284	Gaming and Leisure Properties Inc.		324,070
	4,823	GEO Group Inc. (The)		82,763
	1,431	Getty Realty Corp.		45,449
	1,243	Gladstone Commercial Corp.		28,179
	777	Gladstone Land Corp.		8,943
	1,295	Global Medical REIT Inc.		14,154
	3,504	Global Net Lease Inc.		67,207
	2,541	Hannon Armstrong Sustainable Infrastructure Capital Inc.		70,208
	5,238	Healthcare Realty Trust Inc.		174,059
	8,383	Healthcare Trust of America Inc., Class A Shares		237,742
	1,352	Hersha Hospitality Trust, Class A Shares		18,793
	4,209	Highwoods Properties Inc.		181,871
	6,710	Hospitality Properties Trust		161,979
	6,232	Hudson Pacific Properties Inc.		211,888
	3,690	Independence Realty Trust Inc.		51,328
	2,580	Industrial Logistics Properties Trust		55,186
	386	Innovative Industrial Properties Inc., Class A Shares		34,416
	459	Investors Real Estate Trust		31,786
	11,696	Iron Mountain Inc.		372,518
	2,451	iStar Inc.		31,373
	22,066	JBG SMITH Properties		844,245
	973	Jernigan Capital Inc.		18,789
	4,055	Kilroy Realty Corp.		315,722
	16,607	Kimco Realty Corp.		305,237
	3,249	Kite Realty Group Trust		46,428
	3,479	Lamar Advertising Co., Class A Shares		266,665
	9,463	Lexington Realty Trust		98,321
	6,051	Liberty Property Trust		315,378
	1,907	Life Storage Inc.		202,066
	1,526	LTC Properties Inc.		74,469
	5,789	Macerich Co. (The)		165,160
	3,729	Mack-Cali Realty Corp.		75,960
	17,958	Medical Properties Trust Inc.		333,839
	3,896	Monmouth Real Estate Investment Corp.		51,116
	1,715	National Health Investors Inc.		142,276
	6,650	National Retail Properties Inc.		373,398
	2,359	National Storage Affiliates Trust		78,932
	3,400	New Senior Investment Group Inc.		21,250
	756	NexPoint Residential Trust Inc.		35,078
	1,793	NorthStar Realty Europe Corp.		30,355
	1,929	Office Properties Income Trust		52,295
	8,767	Omega Healthcare Investors Inc.		356,642
	612	One Liberty Properties Inc.		16,389
	5,777	Outfront Media Inc.		158,752
	8,429	Paramount Group Inc.		111,094
	8,262	Park Hotels & Resorts Inc.		194,570

See Notes to Financial Statements.

102

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	REAL ESTATE — 7.1% — (continued)
	Equity Real Estate Investment Trusts (REITs) — 6.3% — (continued)
	5,301	Pebblebrook Hotel Trust	$	142,968
	2,751	Pennsylvania Real Estate Investment Trust(a)		14,140
	7,603	Physicians Realty Trust		131,684
	5,222	Piedmont Office Realty Trust Inc., Class A Shares		103,082
	2,730	PotlatchDeltic Corp.		105,050
	1,708	Preferred Apartment Communities Inc., Class A Shares		22,990
	809	PS Business Parks Inc.		145,304
	26,700	QTS Realty Trust Inc., Class A Shares		1,309,902
	5,300	Rayonier Inc.		142,040
	6,789	Regency Centers Corp.		437,958
	4,674	Retail Opportunity Investments Corp.		81,842
	8,918	Retail Properties of America Inc., Class A Shares		101,308
	600	Retail Value Inc.		22,194
	4,226	Rexford Industrial Realty Inc.		186,747
	7,007	RLJ Lodging Trust		113,583
	3,306	RPT Realty		39,341
	1,865	Ryman Hospitality Properties Inc.		148,566
	7,334	Sabra Health Care REIT Inc.		158,561
	329	Safehold Inc.		9,640
	479	Saul Centers Inc.		24,060
	7,202	SBA Communications Corp., Class A Shares		1,890,021
	9,778	Senior Housing Properties Trust		83,015
	1,289	Seritage Growth Properties, Class A Shares(a)		50,387
	5,672	SITE Centers Corp.		78,614
	3,442	SL Green Realty Corp.		276,117
	1,563	Spirit MTA REIT		13,129
	22,188	Spirit Realty Capital Inc.		1,063,693
	5,175	STAG Industrial Inc.		150,489
	8,511	STORE Capital Corp.		321,375
	4,449	Summit Hotel Properties Inc.		49,651
	3,442	Sun Communities Inc.		508,728
	9,522	Sunstone Hotel Investors Inc.		125,119
	3,774	Tanger Factory Outlet Centers Inc.		53,364
	2,365	Taubman Centers Inc.		92,353
	2,537	Terreno Realty Corp.		128,271
	1,555	UMH Properties Inc.		19,997
	28,849	Uniti Group Inc.		213,194
	529	Universal Health Realty Income Trust		51,149
	4,777	Urban Edge Properties		83,645
	1,291	Urstadt Biddle Properties Inc., Class A Shares		27,098
	40,132	VEREIT Inc.		391,287
	18,352	VICI Properties Inc.		406,680
	7,293	Washington Prime Group Inc.(a)		23,556
	3,321	Washington Real Estate Investment Trust		87,973
	5,027	Weingarten Realty Investors		133,165
	1,560	Whitestone REIT, Class B Shares		19,375
	4,575	Xenia Hotels & Resorts Inc.		92,461
		Total Equity Real Estate Investment Trusts (REITs)		26,793,072
	Real Estate Management & Development — 0.8%
	191	Altisource Portfolio Solutions SA*		3,782
	33,526	CBRE Group Inc., Class A Shares*		1,752,404
	221	Consolidated-Tomoka Land Co.		14,109
	4,210	Cushman & Wakefield PLC*		70,896
	663	eXp World Holdings Inc.*(a)		5,768

See Notes to Financial Statements.

103

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	REAL ESTATE — 7.1% — (continued)
	Real Estate Management & Development — 0.8% — (continued)
	355	Forestar Group Inc.*	$	6,766
	258	FRP Holdings Inc.*		12,691
	1,644	Howard Hughes Corp. (The)*		207,588
	2,108	Jones Lang LaSalle Inc.		282,577
	5,002	Kennedy-Wilson Holdings Inc.		104,942
	958	Marcus & Millichap Inc.*		34,565
	322	Maui Land & Pineapple Co., Inc.*		3,387
	5,843	Newmark Group Inc., Class A Shares		50,717
	435	Rafael Holdings Inc., Class B Shares*		8,787
	709	RE/MAX Holdings Inc., Class A Shares		18,200
	4,719	Realogy Holdings Corp.(a)		22,557
	3,650	Redfin Corp.*(a)		61,648
	10,000	RMR Group Inc. (The), Class A Shares		465,900
	1,309	St Joe Co. (The)*		23,536
	302	Stratus Properties Inc.*		7,943
	798	Tejon Ranch Co.*		13,359
	70	Transcontinental Realty Investors Inc.		2,052
		Total Real Estate Management & Development		3,174,174
		TOTAL REAL ESTATE		29,967,246
	UTILITIES — 3.2%
	Electric Utilities — 0.9%
	16,018	ALLETE Inc.		1,373,223
	9,723	Alliant Energy Corp.		509,971
	1,675	El Paso Electric Co.		111,723
	596	Genie Energy Ltd., Class B Shares		4,267
	4,479	Hawaiian Electric Industries Inc.		198,868
	2,066	IDACORP Inc.		226,868
	1,446	MGE Energy Inc.		109,679
	8,189	OGE Energy Corp.		351,063
	1,636	Otter Tail Corp.		82,814
	4,588	Pinnacle West Capital Corp.		437,282
	3,234	PNM Resources Inc.		164,966
	3,673	Portland General Electric Co.		208,957
	502	Spark Energy Inc., Class A Shares		4,749
		Total Electric Utilities		3,784,430
	Gas Utilities — 0.5%
	4,733	Atmos Energy Corp.		521,719
	666	Chesapeake Utilities Corp.		62,990
	3,357	National Fuel Gas Co.		156,906
	3,618	New Jersey Resources Corp.		165,487
	1,195	Northwest Natural Holding Co.		85,275
	2,126	ONE Gas Inc.		194,763
	278	RGC Resources Inc.		7,890
	3,754	South Jersey Industries Inc.		121,404
	2,178	Southwest Gas Holdings Inc.		198,699
	2,025	Spire Inc.		171,922
	8,559	UGI Corp.		416,567
		Total Gas Utilities		2,103,622
	Independent Power & Renewable Electricity Producers — 0.8%
	145,680	Atlantic Power Corp.*		333,607
	1,443	Clearway Energy Inc., Class A Shares		24,185
	3,046	Clearway Energy Inc., Class C Shares		53,914

See Notes to Financial Statements.

104

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units		Security	Value
	UTILITIES — 3.2% — (continued)
	Independent Power & Renewable Electricity Producers — 0.8% — (continued)
	10,927	NRG Energy Inc.	$	397,743
	11,515	Ormat Technologies Inc.		855,219
	3,668	Pattern Energy Group Inc., Class A Shares		99,586
	2,914	TerraForm Power Inc., Class A Shares		49,422
	59,379	Vistra Energy Corp.		1,481,506
		Total Independent Power & Renewable Electricity Producers		3,295,182
	Multi-Utilities — 0.2%
	2,710	Avista Corp.		127,099
	2,457	Black Hills Corp.		188,476
	8,140	MDU Resources Group Inc.		218,885
	6,105	NorthWestern Corp.		442,246
	598	Unitil Corp.		36,101
		Total Multi-Utilities		1,012,807
	Water Utilities — 0.8%
	1,513	American States Water Co.		139,998
	31,627	Aqua America Inc.		1,400,760
	400	AquaVenture Holdings Ltd.*		7,072
	311	Artesian Resources Corp., Class A Shares		11,320
	571	Cadiz Inc.*		6,572
	1,995	California Water Service Group		112,598
	15,332	Connecticut Water Service Inc.		1,075,386
	557	Consolidated Water Co., Ltd.		8,166
	370	Global Water Resources Inc.		4,407
	668	Middlesex Water Co.		40,775
	592	Pure Cycle Corp.*		6,423
	8,893	SJW Group		607,659
	533	York Water Co. (The)		19,902
		Total Water Utilities		3,441,038
		TOTAL UTILITIES		13,637,079
		TOTAL COMMON STOCKS (Cost — $350,811,304)		404,351,767
	CONVERTIBLE PREFERRED STOCKS — 0.5%
	HEALTH CARE — 0.1%
	Health Care Equipment & Supplies — 0.1%
	8,291	Becton Dickinson & Co., 6.125% due 5/1/20		512,964
	UTILITIES — 0.4%
	Water Utilities — 0.4%
	30,049	Aqua America Inc., 6.000% due 4/30/22		1,808,048
		TOTAL CONVERTIBLE PREFERRED STOCKS (Cost — $2,161,780)		2,321,012
	CLOSED END MUTUAL FUND SECURITIES — 0.4%
	FINANCIALS — 0.4%
	Capital Markets — 0.4%
	4,963	iShares® Russell 2000 ETF, Common Class		738,693
	14,104	iShares® Russell Mid-Capital ETF, Common Class		776,707
		TOTAL FINANCIALS		1,515,400
		TOTAL CLOSED END MUTUAL FUND SECURITIES (Cost — $1,539,764)		1,515,400

See Notes to Financial Statements.

105

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund
Shares/Units				Security	Value
	PREFERRED STOCKS — 0.4%
	FINANCIALS — 0.4%
	Banks — 0.0%
	2,609			Commerce Bancshares Inc., 6.000%(d)	$	69,269
	Capital Markets — 0.2%
	30,202			Northern Trust Corp., 5.850%(d)		766,527
	Insurance — 0.2%
	983			American Financial Group Inc., 5.875% due 3/30/59		26,787
	10,773			MetLife Inc., 4.000% (3-Month USD-LIBOR + 1.000%)(d)(e)		259,091
	30,808			WR Berkley Corp., 5.625% due 4/30/53		780,058
				Total Insurance		1,065,936
				TOTAL FINANCIALS		1,901,732
				TOTAL PREFERRED STOCKS (Cost — $1,908,028)		1,901,732
Face Amount†			Rating††
	CORPORATE BOND & NOTE — 0.1%
	Electronic Equipment, Instruments & Components — 0.1%
$	353,000		NR	Maxwell Technologies Inc., Senior Unsecured Notes, 5.500% due 9/15/22(c)(f) (Cost — $353,000)		369,520
				TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $356,773,876)		410,459,431
	SHORT-TERM INVESTMENTS (g) — 4.9%
	MONEY MARKET FUND — 2.4%
	9,907,772			Invesco STIT — Government & Agency Portfolio, 1.998%, Institutional Class(h) (Cost — $9,907,772)		9,907,772
	TIME DEPOSITS — 2.5%
	4,377,435			ANZ National Bank — London, 1.490% due 9/3/19		4,377,435
	2,335,312			Banco Santander SA — Frankfurt, 1.490% due 9/3/19		2,335,312
				BBH — Grand Cayman:
	9,119	CAD		0.870% due 9/3/19		6,850
	33,980			1.490% due 9/3/19		33,980
	3,684,683			Citibank — New York, 1.490% due 9/3/19		3,684,683
	251,771			JPMorgan Chase & Co. — New York, 1.490% due 9/3/19		251,771
				TOTAL TIME DEPOSITS (Cost — $10,690,031)		10,690,031
				TOTAL SHORT-TERM INVESTMENTS (Cost — $20,597,803)		20,597,803
				TOTAL INVESTMENTS — 102.0% (Cost — $377,371,679)		431,057,234
				Liabilities in Excess of Other Assets — (2.0)%		(8,403,072	)
				TOTAL NET ASSETS — 100.0%	$	422,654,162

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

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

(c) Illiquid security.

See Notes to Financial Statements.

106

Schedules of Investments

(continued)

Small-Mid Cap Equity Fund

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

(e) Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2019.

(f) 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. The aggregate value of restricted 144A holdings at August 31, 2019 amounts to approximately $369,520 and represents 0.1% of net assets.

(g) Inclusive of all short-term holdings, including investment of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 2.5%.

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

# Security that used significant unobservable inputs to determine fair value.

At August 31, 2019, for Small-Mid Cap Equity the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:

Fund	Aggregate Cost For Federal Income Tax Purposes		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation
Small-Mid Cap Equity Fund	$	381,879,336	$	84,785,576	$	(35,674,379	)	$	49,111,197

Abbreviations used in this schedule:
ADR	— American Depositary Receipts
LIBOR	— London Interbank Offered Rate
PLC	— Public Limited Company
REIT	— Real Estate Investment Trust

Summary of Investments by Security Sector^
Information Technology	19.1	%
Industrials	17.5
Financials	16.0
Health Care	14.4
Consumer Discretionary	7.7
Real Estate	7.1
Materials	5.1
Utilities	3.7
Consumer Staples	3.0
Energy	2.0
Communication Services	1.9
Short-Term Investments	2.5
	100.0	%+

^ As a percentage of total investments.

+ Does not reflect investments of collateral received from securities lending transactions.

At August 31, 2019, Small-Mid Cap Equity 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)		Notional Amount		Market Value		Unrealized Appreciation/ (Depreciation)
Contracts to Buy:
Russell 2000 E-mini Index September Futures		12		9/19	$	931,913	$	896,520	$	(35,393	)
NASDAQ 100 E-mini Index September Futures		1		9/19		150,982		153,815		2,833
S&P MidCap 400 E-mini Index September Futures		6		9/19		1,162,981		1,128,840		(34,141	)
									$	(66,701	)

At August 31, 2019, Small-Mid Cap Equity Fund had deposited cash of $92,800 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.

Currency Abbreviation used in this schedule:
CAD	— Canadian Dollar

See pages 295-296 for definitions of ratings.

See Notes to Financial Statements.

107

Schedules of Investments

(continued)

International Equity Fund
Shares/Units		Security	Value
	COMMON STOCKS — 96.8%
	Argentina — 0.1%
	8,971	Globant SA*	$	851,617
	86,759	YPF SA, ADR		742,657
		Total Argentina		1,594,274
	Australia — 3.1%
	15,455	AGL Energy Ltd.		197,381
	61,241	Alumina Ltd.		89,359
	70,115	AMP Ltd.		79,936
	27,804	APA Group		206,342
	25,984	Appen Ltd.		451,471
	13,935	Aristocrat Leisure Ltd.		278,832
	4,662	ASX Ltd.		270,811
	5,910	Atlassian Corp. PLC, Class A Shares*		794,954
	46,721	Aurizon Holdings Ltd.		185,726
	46,512	AusNet Services		56,364
	67,325	Australia & New Zealand Banking Group Ltd.		1,211,067
	9,269	Bank of Queensland Ltd.		57,284
	993,699	Beach Energy Ltd.		1,634,869
	11,723	Bendigo & Adelaide Bank Ltd.		88,147
	69,419	BHP Group Ltd.		1,709,424
	140,543	BHP Group PLC		3,038,910
	11,753	BlueScope Steel Ltd.		98,628
	28,715	Boral Ltd.		82,088
	196,770	Brambles Ltd.		1,498,741
	5,712	Caltex Australia Ltd.		92,237
	13,096	Challenger Ltd.		59,101
	225,091	Charter Hall Group, REIT		1,917,967
	2,392	CIMIC Group Ltd.		49,827
	11,895	Coca-Cola Amatil Ltd.		87,161
	1,357	Cochlear Ltd.		199,407
	26,719	Coles Group Ltd.		249,220
	42,001	Commonwealth Bank of Australia		2,233,723
	11,835	Computershare Ltd.		122,344
	9,595	Crown Resorts Ltd.		77,538
	44,378	CSL Ltd.		7,186,727
	194,669	CSR Ltd.		510,547
	25,723	Dexus, REIT		223,416
	117,979	Downer EDI Ltd.		613,232
	1,133	Flight Centre Travel Group Ltd.		35,525
	31,838	Fortescue Metals Group Ltd.		171,060
	38,470	Goodman Group, REIT		376,294
	46,280	GPT Group (The), REIT		199,324
	13,652	Harvey Norman Holdings Ltd.		40,318
	37,499	Incitec Pivot Ltd.		81,130
	53,309	Insurance Australia Group Ltd.		289,119
	13,841	LendLease Group		159,251
	7,620	Macquarie Group Ltd.		634,322
	20,628	Magellan Financial Group Ltd.		702,696
	62,960	Medibank Pvt Ltd.		154,170
	79,617	Mineral Resources Ltd.		707,728
	93,909	Mirvac Group, REIT		201,966
	67,061	National Australia Bank Ltd.		1,234,219
	18,104	Newcrest Mining Ltd.		452,481
	138,614	Northern Star Resources Ltd.		1,116,669
	31,855	Oil Search Ltd.		142,176

See Notes to Financial Statements.

108

Schedules of Investments

(continued)

International Equity Fund
Shares/Units		Security	Value
	Australia — 3.1% — (continued)
	8,575	Orica Ltd.	$	124,438
	41,461	Origin Energy Ltd.		212,486
	89,774	OZ Minerals Ltd.		552,329
	31,310	QBE Insurance Group Ltd.		264,211
	3,264	Ramsay Health Care Ltd.		144,446
	1,263	REA Group Ltd.		88,788
	41,858	Santos Ltd.		202,886
	123,772	Scentre Group, REIT		336,684
	8,169	SEEK Ltd.		111,668
	48,500	Seven Group Holdings Ltd.		542,559
	11,142	Sonic Healthcare Ltd.		221,177
	122,491	South32 Ltd.		217,500
	56,446	Stockland, REIT		171,846
	30,599	Suncorp Group Ltd.		284,861
	25,502	Sydney Airport		144,921
	49,099	Tabcorp Holdings Ltd.		155,542
	98,093	Telstra Corp., Ltd.		245,950
	8,418	TPG Telecom Ltd.		37,793
	63,044	Transurban Group		635,215
	16,860	Treasury Wine Estates Ltd.		213,005
	74,648	Vicinity Centres, REIT		130,338
	3,114	Washington H Soul Pattinson & Co., Ltd.		43,865
	26,719	Wesfarmers Ltd.		704,260
	82,389	Westpac Banking Corp.		1,563,470
	22,060	Woodside Petroleum Ltd.		476,508
	29,661	Woolworths Group Ltd.		755,079
	8,224	WorleyParsons Ltd.		67,886
		Total Australia		41,000,940
	Austria — 0.3%
	768	ams AG*		30,853
	1,856	ANDRITZ AG		65,390
	78,831	Erste Group Bank AG		2,537,695
	3,434	OMV AG		175,326
	3,796	Raiffeisen Bank International AG		83,077
	9,575	Rhi Magnesita NV		515,933
	1,614	Verbund AG		96,097
	2,612	Voestalpine AG		60,230
		Total Austria		3,564,601
	Belgium — 0.7%
	52,663	Ageas		2,820,995
	17,956	Anheuser-Busch InBev SA/NV		1,698,113
	1,256	Colruyt SA		64,323
	6,212	Galapagos NV*		1,047,624
	1,900	Groupe Bruxelles Lambert SA		177,545
	5,875	KBC Group NV		340,338
	3,766	Proximus SADP		111,366
	1,738	Solvay SA		175,465
	1,170	Telenet Group Holding NV		58,392
	3,028	UCB SA		226,602
	42,321	Umicore SA		1,349,093
	5,021	Warehouses de Pauw CVA, REIT		935,045
		Total Belgium		9,004,901
	Brazil — 0.1%
	68,404	B3 SA — Brasil Bolsa Balcao		739,905

See Notes to Financial Statements.

109

Schedules of Investments

(continued)

International Equity Fund
Shares/Units		Security	Value
	Canada — 3.3%
	28,219	Air Canada, Class B Shares*	$	948,582
	63,952	Alimentation Couche-Tard Inc., Class B Shares		4,025,673
	79,913	ARC Resources Ltd.		337,360
	10,739	Badger Daylighting Ltd.(a)		340,341
	163,879	Barrick Gold Corp.		3,177,252
	21,989	BRP Inc.		788,548
	55,894	Cameco Corp.		490,190
	24,052	Canada Goose Holdings Inc.*(a)		897,140
	19,965	Canadian Apartment Properties REIT		803,099
	21,058	Canadian Imperial Bank of Commerce(a)		1,631,333
	19,733	Canadian Western Bank		470,776
	77,776	CCL Industries Inc., Class B Shares		3,524,677
	43,849	Detour Gold Corp.*		785,576
	69,462	Dollarama Inc.		2,658,470
	952,586	Encana Corp.(a)		4,221,790
	39,210	Enerflex Ltd.		359,333
	115,203	Entertainment One Ltd.		820,636
	11,275	Finning International Inc.		195,476
	100,798	Gildan Activewear Inc., Class A Shares		3,695,737
	23,089	IMAX Corp.*		483,022
	304,605	Kinross Gold Corp.*		1,513,887
	37,780	Kirkland Lake Gold Ltd.		1,837,279
	127,515	Manulife Financial Corp.		2,115,911
	36,667	Northland Power Inc.		695,468
	35,490	Nutrien Ltd.		1,787,496
	67,474	Parex Resources Inc.*		1,033,461
	71,918	Saputo Inc.		2,161,997
	286,252	Tamarack Valley Energy Ltd.*		404,247
	24,217	TFI International Inc.		704,908
	42,312	Tourmaline Oil Corp.		401,110
	73,680	Tricon Capital Group Inc.		546,270
		Total Canada		43,857,045
	Chile — 0.1%
	152,337	Antofagasta PLC		1,608,418
	China — 1.3%
	27,094	Alibaba Group Holding Ltd., ADR*		4,742,263
	35,279	Baidu Inc., ADR*		3,685,597
	829	BeiGene Ltd., ADR*		119,169
	252,800	China Pacific Insurance Group Co., Ltd., Class H Shares(b)		1,007,558
	4,140,969	China Telecom Corp., Ltd., Class H Shares(b)		1,850,677
	2,649,220	Dongfeng Motor Group Co., Ltd., Class H Shares(b)		2,450,268
	114,682	Meituan Dianping, Class B Shares*		1,083,183
	169,013	Sinopharm Group Co., Ltd., Class H Shares(b)		609,071
	30,300	Tencent Holdings Ltd.		1,247,826
	55,500	Yangzijiang Shipbuilding Holdings Ltd.		36,277
		Total China		16,831,889
	Denmark — 1.4%
	93	AP Moller — Maersk AS, Class A Shares		92,494
	2,361	AP Moller — Maersk AS, Class B Shares		2,511,580
	5,690	Ascendis Pharma AS, ADR*		637,451
	2,490	Carlsberg AS, Class B Shares		367,335
	2,486	Chr Hansen Holding AS		208,628
	2,751	Coloplast AS, Class B Shares		327,946
	15,835	Danske Bank AS		208,157

See Notes to Financial Statements.

110

Schedules of Investments

(continued)

International Equity Fund
Shares/Units		Security	Value
	Denmark — 1.4% — (continued)
	2,896	Demant AS*	$	87,667
	13,506	Dfds AS		463,835
	4,408	Drilling Co. of 1972 (The)*		242,526
	5,194	DSV AS		514,647
	1,481	Genmab AS*		301,991
	15,628	GN Store Nord AS		653,989
	1,585	H. Lundbeck AS		57,644
	3,711	ISS AS		94,151
	119,720	Novo Nordisk AS, Class B Shares		6,241,843
	5,159	Novozymes AS, Class B Shares		219,913
	4,436	Orsted AS(c)		423,347
	2,355	Pandora AS		100,247
	14,904	Royal Unibrew AS		1,288,972
	3,023	Tryg AS		90,476
	40,148	Vestas Wind Systems AS		2,945,578
		Total Denmark		18,080,417
	Finland — 1.1%
	33,956	Adapteo OYJ*		405,498
	3,309	Elisa OYJ		166,455
	10,466	Fortum OYJ		230,316
	31,639	Kemira OYJ		445,620
	7,986	Kone OYJ, Class B Shares		461,958
	2,657	Metso OYJ		99,649
	10,263	Neste OYJ		323,388
	1,447,801	Nokia OYJ		7,164,227
	3,106	Nokian Renkaat OYJ		85,071
	78,506	Nordea Bank Abp		490,865
	2,435	Orion OYJ, Class B Shares		90,442
	104,209	Outotec OYJ*		593,471
	10,447	Sampo OYJ, Class A Shares		415,167
	13,371	Stora Enso OYJ, Class R Shares		149,614
	15,995	Tieto OYJ		393,204
	12,392	UPM-Kymmene OYJ		334,318
	36,174	Valmet OYJ		654,990
	120,075	Wartsila OYJ Abp		1,473,268
		Total Finland		13,977,521
	France — 10.2%
	4,406	Accor SA		190,285
	761	Aeroports de Paris		131,409
	10,120	Air Liquide SA		1,409,940
	37,134	Airbus SE		5,120,179
	15,852	Alstom SA		677,850
	9,990	Alten SA		1,193,286
	22,814	Amundi SA(c)		1,459,766
	14,799	Arkema SA		1,299,183
	2,260	Atos SE		171,294
	45,715	AXA SA		1,049,535
	971	BioMerieux		78,958
	209,911	BNP Paribas SA		9,479,636
	22,523	Bollore SA		95,678
	5,187	Bouygues SA		197,150
	6,898	Bureau Veritas SA		165,148
	3,745	Capgemini SE		449,742
	142,978	Carrefour SA		2,437,345
	1,168	Casino Guichard Perrachon SA(a)		49,195

See Notes to Financial Statements.

111

Schedules of Investments

(continued)

International Equity Fund
Shares/Units		Security	Value
	France — 10.2% — (continued)
	121,239	Cie de Saint-Gobain	$	4,378,228
	4,026	Cie Générale des Établissements Michelin SCA		423,636
	4,401	CNP Assurances		79,958
	1,144	Covivio, REIT		121,736
	27,886	Credit Agricole SA		318,910
	71,296	Danone SA		6,385,145
	61	Dassault Aviation SA		86,843
	18,808	Dassault Systemes SE		2,653,131
	100,375	Edenred		4,891,746
	15,873	Eiffage SA		1,645,167
	14,127	Electricite de France SA		171,905
	192,850	Engie SA		2,933,114
	23,626	EssilorLuxottica SA		3,489,393
	1,024	Eurazeo SE		67,738
	3,877	Eutelsat Communications SA		67,452
	13,618	Faurecia SE		596,389
	5,352	Fnac Darty SA*		349,398
	1,063	Gecina SA, REIT		168,654
	10,205	Getlink SE		143,623
	8,359	Hermes International		5,710,413
	632	ICADE, REIT		55,900
	665	Iliad SA		69,672
	822	Imerys SA		33,558
	14,098	Ingenico Group SA		1,398,810
	963	Ipsen SA		101,232
	1,536	JCDecaux SA		41,077
	1,785	Kering SA		865,402
	4,745	Klepierre SA, REIT		144,860
	19,532	Korian SA		779,259
	46,761	Legrand SA		3,303,062
	5,942	L’Oréal SA		1,625,293
	14,242	LVMH Moët Hennessy Louis Vuitton SE		5,681,008
	23,444	Natixis SA		90,889
	13,493	Nexity SA		629,046
	47,013	Orange SA		714,456
	22,258	Pernod Ricard SA		4,251,632
	13,681	Peugeot SA		306,192
	5,117	Publicis Groupe SA		245,402
	518	Remy Cointreau SA*		78,315
	39,425	Renault SA		2,273,665
	209,818	Rexel SA		2,227,453
	7,713	Safran SA		1,121,338
	26,645	Sanofi		2,289,419
	684	Sartorius Stedim Biotech		105,962
	48,605	Schneider Electric SE		4,072,313
	15,960	SCOR SE		637,059
	16,725	Seb Prime de Fidelite*(d)(e)		2,600,998
	1,425	SEB SA		221,756
	3,750	SEB SA(d)*		583,183
	590	Societe BIC SA		37,687
	111,419	Societe Generale SA		2,826,431
	2,085	Sodexo SA		236,409
	6,825	SOITEC*		689,683
	8,713	Suez		135,322
	12,644	Teleperformance		2,762,182
	70,826	Television Francaise 1		644,109

See Notes to Financial Statements.

112

Schedules of Investments

(continued)

International Equity Fund
Shares/Units		Security	Value
	France — 10.2% — (continued)
	2,511	Thales SA	$	290,393
	364,368	TOTAL SA		18,192,722
	32,209	Ubisoft Entertainment SA*		2,609,314
	3,259	Unibail-Rodamco-Westfield, REIT		426,614
	52,523	Valeo SA		1,436,742
	12,389	Veolia Environnement SA		296,393
	12,219	Vinci SA		1,337,345
	99,524	Vivendi SA		2,795,675
	699	Wendel SA		98,080
	32,530	Worldline SA*(c)		2,247,488
		Total France		133,948,958
	Germany — 7.9%
	1,492	1&1 Drillisch AG		40,925
	14,382	adidas AG		4,262,379
	10,071	Allianz SE, Class Registered Shares		2,218,686
	57,061	alstria office REIT-AG		943,553
	12,297	AURELIUS Equity Opportunities SE & Co. KGaA		478,554
	1,120	Axel Springer SE*		76,933
	145,006	BASF SE		9,590,635
	78,114	Bayer AG, Class Registered Shares		5,779,970
	36,949	Bayerische Motoren Werke AG		2,474,375
	6,362	Bechtle AG		629,310
	19,922	Beiersdorf AG		2,507,137
	3,626	Brenntag AG		174,673
	14,536	Carl Zeiss Meditec AG		1,675,792
	125,941	CECONOMY AG*		642,990
	23,302	Commerzbank AG		132,090
	23,564	Continental AG		2,842,495
	4,096	Covestro AG(c)		185,397
	66,955	Daimler AG, Class Registered Shares		3,150,011
	2,868	Delivery Hero SE*(c)		144,865
	46,268	Deutsche Bank AG, Class Registered Shares		334,169
	4,477	Deutsche Boerse AG		658,079
	67,289	Deutsche Lufthansa AG, Class Registered Shares		1,033,938
	33,241	Deutsche Pfandbriefbank AG(c)		393,851
	149,488	Deutsche Post AG, Class Registered Shares		4,921,733
	79,625	Deutsche Telekom AG, Class Registered Shares		1,328,169
	69,977	Deutsche Wohnen SE		2,480,089
	68,547	Deutz AG		399,339
	160,766	E.ON SE		1,494,675
	4,345	Evonik Industries AG		110,693
	8,976	Fraport AG Frankfurt Airport Services Worldwide		749,577
	63,217	Fresenius Medical Care AG & Co. KGaA		4,252,450
	9,831	Fresenius SE & Co. KGaA		477,181
	74,486	GEA Group AG		2,008,297
	7,507	Gerresheimer AG		566,996
	1,421	Hannover Rueck SE		226,092
	3,507	HeidelbergCement AG		242,985
	2,449	Henkel AG & Co. KGaA		226,485
	631	Hochtief AG		68,629
	8,971	HUGO BOSS AG		499,734
	310,599	Infineon Technologies AG		5,370,723
	3,130	Innogy SE		129,691
	85	Innogy SE(c)		4,232
	1,534	KION Group AG		74,170

See Notes to Financial Statements.

113

Schedules of Investments

(continued)

International Equity Fund
Shares/Units		Security	Value
	Germany — 7.9% — (continued)
	15,355	Knorr-Bremse AG	$	1,434,348
	1,934	Lanxess AG		116,261
	2,994	Merck KGaA		320,413
	47,887	METRO AG		741,113
	1,225	MTU Aero Engines AG		334,860
	3,524	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Class Registered Shares		843,974
	7,942	Puma SE		604,173
	8,719	Rheinmetall AG		1,028,272
	79,196	RWE AG		2,257,412
	15,989	Salzgitter AG		290,038
	135,838	SAP SE		16,204,292
	68,947	Siemens AG, Class Registered Shares		6,892,528
	80,012	Siemens Healthineers AG(c)		3,143,911
	2,998	Symrise AG, Class A Shares		279,804
	44,944	TAG Immobilien AG		1,049,531
	23,085	Telefonica Deutschland Holding AG		58,773
	9,896	ThyssenKrupp AG		120,898
	11,019	TUI AG		109,628
	4,622	Uniper SE		140,051
	3,105	United Internet AG, Class Registered Shares		101,700
	832	Volkswagen AG		135,742
	12,072	Vonovia SE		600,895
	2,766	Wirecard AG		440,714
	2,816	Zalando SE*(c)		139,281
		Total Germany		103,391,359
	Hong Kong — 2.8%
	793,000	AIA Group Ltd.		7,677,232
	7,800	ASM Pacific Technology Ltd.		89,014
	31,600	Bank of East Asia Ltd. (The)		79,749
	688,500	BOC Hong Kong Holdings Ltd.		2,312,612
	635,000	Champion REIT		426,881
	259,000	China Mengniu Dairy Co., Ltd.*		1,023,989
	671,581	China Merchants Port Holdings Co., Ltd.		1,045,295
	1,068,942	China Mobile Ltd.		8,838,474
	2,918,917	China Unicom Hong Kong Ltd.		2,894,599
	61,000	CK Asset Holdings Ltd.		411,660
	63,500	CK Hutchison Holdings Ltd.		550,797
	15,000	CK Infrastructure Holdings Ltd.		100,828
	38,500	CLP Holdings Ltd.		395,302
	9,100	Dairy Farm International Holdings Ltd.		65,101
	51,000	Galaxy Entertainment Group Ltd.		317,690
	49,000	Hang Lung Properties Ltd.		110,486
	18,000	Hang Seng Bank Ltd.		374,406
	33,894	Henderson Land Development Co., Ltd.		157,291
	66,000	HK Electric Investments & HK Electric Investments Ltd.		63,194
	94,000	HKT Trust & HKT Ltd.		146,755
	239,381	Hong Kong & China Gas Co., Ltd.		460,723
	27,999	Hong Kong Exchanges & Clearing Ltd.(a)		852,446
	27,400	Hongkong Land Holdings Ltd.		149,309
	13,000	Hysan Development Co., Ltd.		52,483
	5,100	Jardine Matheson Holdings Ltd.		276,690
	65,632	Jardine Strategic Holdings Ltd.		2,071,482
	14,500	Kerry Properties Ltd.		48,751
	51,000	Link REIT		571,453
	192,000	Melco International Development Ltd.		426,070

See Notes to Financial Statements.

114

Schedules of Investments

(continued)

International Equity Fund
Shares/Units		Security	Value
	Hong Kong — 2.8% — (continued)
	5,159	Melco Resorts & Entertainment Ltd., ADR	$	107,307
	36,500	MTR Corp., Ltd.		210,417
	144,679	New World Development Co., Ltd.		179,673
	36,750	NWS Holdings Ltd.		63,117
	95,000	PCCW Ltd.		51,419
	32,500	Power Assets Holdings Ltd.		215,888
	24,000	Shangri-La Asia Ltd.		25,011
	76,646	Sino Land Co., Ltd.		109,117
	43,000	SJM Holdings Ltd.		40,400
	37,500	Sun Hung Kai Properties Ltd.		529,219
	12,500	Swire Pacific Ltd., Class A Shares		121,873
	29,800	Swire Properties Ltd.		97,530
	32,500	Techtronic Industries Co., Ltd.		223,376
	678,000	Towngas China Co., Ltd.*		468,041
	18,000	Vitasoy International Holdings Ltd.		83,587
	2,129,000	WH Group Ltd.(c)		1,696,728
	29,000	Wharf Holdings Ltd. (The)		63,247
	28,000	Wharf Real Estate Investment Co., Ltd.		151,022
	21,000	Wheelock & Co., Ltd.		121,759
	17,000	Yue Yuen Industrial Holdings Ltd.		43,395
		Total Hong Kong		36,592,888
	India — 0.6%
	350,984	Canara Bank*		1,082,278
	33,564	HDFC Bank Ltd.		1,046,376
	338,313	ICICI Bank Ltd., ADR		3,799,255
	130,482	NTPC Ltd.		222,569
	212,692	Zee Entertainment Enterprises Ltd.		1,118,059
		Total India		7,268,537
	Indonesia — 0.1%
	600,900	Bank Central Asia Tbk PT		1,287,878
	Ireland — 1.0%
	3,363	AerCap Holdings NV*		180,324
	20,880	AIB Group PLC		52,939
	440,590	Bank of Ireland Group PLC		1,689,251
	19,119	CRH PLC		637,016
	86,251	Dalata Hotel Group PLC		412,913
	2,315	DCC PLC		196,880
	21,446	Experian PLC		657,356
	6,916	Flutter Entertainment PLC		569,556
	58,409	Grafton Group PLC		535,300
	127,459	James Hardie Industries PLC, CDI		1,930,950
	3,739	Kerry Group PLC, Class A Shares		447,049
	3,613	Kingspan Group PLC		165,075
	19,070	Medtronic PLC		2,057,462
	46,711	Ryanair Holdings PLC, ADR*		2,676,540
	5,238	Smurfit Kappa Group PLC		161,804
	93,682	UDG Healthcare PLC		895,185
		Total Ireland		13,265,600
	Isle of Man — 0.0%
	13,229	GVC Holdings PLC		101,332
	Israel — 0.3%
	922	Azrieli Group Ltd.		68,726
	27,768	Bank Hapoalim BM*		203,579

See Notes to Financial Statements.

115

Schedules of Investments

(continued)

International Equity Fund
Shares/Units		Security	Value
	Israel — 0.3% — (continued)
	35,197	Bank Leumi Le-Israel BM	$	239,883
	14,440	Check Point Software Technologies Ltd.*		1,555,188
	948	CyberArk Software Ltd.*		106,498
	560	Elbit Systems Ltd.		86,626
	17,954	Israel Chemicals Ltd.		81,009
	146,469	Israel Discount Bank Ltd., Class A Shares		609,735
	3,396	Mizrahi Tefahot Bank Ltd.		78,140
	1,458	Nice Ltd.*		223,532
	25,677	Teva Pharmaceutical Industries Ltd., ADR*		177,171
	1,053	Wix.com Ltd.*		147,683
		Total Israel		3,577,770
	Italy — 2.6%
	44,059	ACEA SpA		855,254
	50,158	Amplifon SpA		1,290,850
	162,752	Assicurazioni Generali SpA		2,956,178
	12,072	Atlantia SpA		295,543
	277,051	BPER Banca		987,015
	28,248	Buzzi Unicem SpA		592,595
	13,277	Davide Campari-Milano SpA		124,782
	5,350	DiaSorin SpA		633,267
	191,663	Enel SpA		1,389,120
	374,169	Eni SpA		5,648,129
	2,878	Ferrari NV		453,017
	13,902	FinecoBank Banca Fineco SpA		143,315
	93,938	Infrastrutture Wireless Italiane SpA(c)		938,270
	350,720	Intesa Sanpaolo SpA		772,725
	8,628	Leonardo SpA		105,556
	14,291	Mediobanca Banca di Credito Finanziario SpA		141,537
	4,194	Moncler SpA		157,161
	10,807	Pirelli & C SpA(c)		56,121
	11,822	Poste Italiane SpA(c)		127,724
	88,070	Prysmian SpA		1,926,976
	2,683	Recordati SpA		117,549
	353,100	Saipem SpA*		1,678,432
	222,749	Saras SpA		346,202
	51,885	Snam SpA		263,480
	41,169	Technogym SpA(c)		416,538
	140,834	Telecom Italia SpA		71,720
	233,090	Telecom Italia SpA*		124,109
	33,156	Terna Rete Elettrica Nazionale SpA		208,848
	1,040,551	UniCredit SpA		11,588,673
		Total Italy		34,410,686
	Japan — 20.1%
	800	ABC-Mart Inc.		51,106
	8,800	Acom Co., Ltd.		31,019
	18,100	Adastria Co., Ltd.		349,938
	24,600	Advantest Corp.		1,007,230
	15,400	Aeon Co., Ltd.		272,750
	3,300	AEON Financial Service Co., Ltd.		48,241
	2,500	Aeon Mall Co., Ltd.		39,366
	4,200	AGC Inc.		120,924
	3,200	Air Water Inc.		54,255
	4,100	Aisin Seiki Co., Ltd.		121,322
	10,300	Ajinomoto Co., Inc.		187,432
	4,500	Alfresa Holdings Corp.		101,678

See Notes to Financial Statements.

116

Schedules of Investments

(continued)

International Equity Fund
Shares/Units		Security	Value
	Japan — 20.1% — (continued)
	5,500	Alps Alpine Co., Ltd.	$	95,845
	7,500	Amada Holdings Co., Ltd.		77,981
	2,900	ANA Holdings Inc.		99,043
	30,300	Anritsu Corp.(a)		565,643
	2,600	Aozora Bank Ltd.		60,005
	8,500	Asahi Group Holdings Ltd.		396,041
	4,800	Asahi Intecc Co., Ltd.		107,005
	29,700	Asahi Kasei Corp.		268,165
	44,300	Astellas Pharma Inc.		612,712
	4,700	Bandai Namco Holdings Inc.		275,965
	1,400	Bank of Kyoto Ltd. (The)		50,168
	20,693	Benesse Holdings Inc.		528,735
	47,200	Bic Camera Inc.		467,225
	86,400	Bridgestone Corp.		3,291,292
	5,200	Brother Industries Ltd.		90,109
	1,700	Calbee Inc.		51,779
	78,549	Canon Inc.		2,042,387
	15,500	Capcom Co., Ltd.		403,210
	5,000	Casio Computer Co., Ltd.		69,811
	3,400	Central Japan Railway Co.		671,746
	14,700	Chiba Bank Ltd. (The)		73,176
	80,496	Chiyoda Corp.		223,907
	14,600	Chubu Electric Power Co., Inc.		214,992
	5,300	Chugai Pharmaceutical Co., Ltd.		378,815
	6,700	Chugoku Electric Power Co., Inc. (The)		85,680
	192,966	Citizen Watch Co., Ltd.		880,237
	26,700	Coca-Cola Bottlers Japan Holdings Inc.		579,802
	27,100	Concordia Financial Group Ltd.		92,920
	3,100	Credit Saison Co., Ltd.		34,420
	2,200	CyberAgent Inc.		98,994
	6,200	Dai Nippon Printing Co., Ltd.		133,922
	6,400	Daicel Corp.		49,363
	12,200	Daifuku Co., Ltd.		574,561
	15,600	Daihen Corp.		446,896
	167,033	Dai-ichi Life Holdings Inc.		2,271,076
	13,400	Daiichi Sankyo Co., Ltd.		884,070
	9,200	Daikin Industries Ltd.		1,136,220
	19,300	Daiseki Co., Ltd.		470,162
	1,700	Daito Trust Construction Co., Ltd.		218,627
	13,300	Daiwa House Industry Co., Ltd.		416,534
	48	Daiwa House REIT Investment Corp., Class A Shares		126,665
	37,500	Daiwa Securities Group Inc.		161,327
	74,598	DeNA Co., Ltd.		1,574,676
	16,900	Denka Co., Ltd.		439,788
	10,200	Denso Corp.		427,246
	5,000	Dentsu Inc.		170,561
	22,200	Dip Corp.		503,340
	600	Disco Corp.		108,624
	60,000	East Japan Railway Co.		5,707,654
	19,108	Eisai Co., Ltd.		975,178
	3,300	Electric Power Development Co., Ltd.		76,368
	5,800	FamilyMart UNY Holdings Co., Ltd.		133,579
	33,800	FANUC Corp.		5,856,587
	1,400	Fast Retailing Co., Ltd.		819,334
	3,200	Fuji Electric Co., Ltd.		91,014
	40,156	Fuji Media Holdings Inc.		520,111

See Notes to Financial Statements.

117

Schedules of Investments

(continued)

International Equity Fund
Shares/Units		Security	Value
	Japan — 20.1% — (continued)
	15,300	Fuji Oil Holdings Inc.	$	423,827
	8,500	FUJIFILM Holdings Corp.		363,453
	23,999	Fujitsu Ltd.		1,855,058
	4,400	Fukuoka Financial Group Inc.		75,777
	21,100	FULLCAST Holdings Co., Ltd.		394,918
	1,000	GMO Payment Gateway Inc.		77,344
	174,767	Gree Inc.		783,054
	5,400	Hakuhodo DY Holdings Inc.		79,574
	3,300	Hamamatsu Photonics KK		113,960
	5,400	Hankyu Hanshin Holdings Inc.		204,297
	500	Hikari Tsushin Inc.		117,046
	7,200	Hino Motors Ltd.		56,569
	745	Hirose Electric Co., Ltd.		84,443
	1,400	Hisamitsu Pharmaceutical Co., Inc.		56,543
	2,600	Hitachi Chemical Co., Ltd.		81,170
	2,300	Hitachi Construction Machinery Co., Ltd.		49,016
	1,600	Hitachi High-Technologies Corp.		86,202
	164,200	Hitachi Ltd.		5,598,551
	133,005	Hitachi Metals Ltd.		1,429,141
	215,760	Honda Motor Co., Ltd.		5,117,032
	1,400	Hoshizaki Corp.		100,733
	66,300	Hoya Corp.		5,388,016
	6,400	Hulic Co., Ltd.		61,002
	33,265	Ibiden Co., Ltd.		644,531
	4,437	Idemitsu Kosan Co., Ltd.		119,923
	3,200	IHI Corp.		62,191
	3,400	Iida Group Holdings Co., Ltd.		52,842
	304,020	Inpex Corp.		2,633,280
	1,446	Invincible Investment Corp., REIT		862,617
	7,200	Isetan Mitsukoshi Holdings Ltd.		54,484
	12,600	Isuzu Motors Ltd.		135,150
	31,700	ITOCHU Corp.		631,326
	2,400	Itochu Techno-Solutions Corp.		66,025
	5,100	J Front Retailing Co., Ltd.		57,604
	2,800	Japan Airlines Co., Ltd.		87,394
	1,000	Japan Airport Terminal Co., Ltd.		39,840
	12,000	Japan Exchange Group Inc.		189,588
	31,500	Japan Lifeline Co., Ltd.		492,017
	9,900	Japan Post Bank Co., Ltd.		90,128
	37,100	Japan Post Holdings Co., Ltd.		337,062
	20	Japan Prime Realty Investment Corp., REIT		91,324
	30	Japan Real Estate Investment Corp., REIT		199,631
	62	Japan Retail Fund Investment Corp., REIT		124,070
	28,300	Japan Tobacco Inc.		598,237
	8,700	JCR Pharmaceuticals Co., Ltd.		667,124
	11,400	JFE Holdings Inc.		133,177
	127,289	JGC Corp.		1,475,505
	153,364	JSR Corp.		2,503,804
	4,900	JTEKT Corp.		52,994
	75,350	JXTG Holdings Inc.		311,636
	10,300	Kajima Corp.		125,123
	3,200	Kakaku.com Inc.		79,994
	2,600	Kamigumi Co., Ltd.		60,998
	20,000	Kanamoto Co., Ltd.		516,509
	1,200	Kaneka Corp.		35,897
	16,600	Kansai Electric Power Co., Inc. (The)		201,741

See Notes to Financial Statements.

118

Schedules of Investments

(continued)

International Equity Fund
Shares/Units		Security	Value
	Japan — 20.1% — (continued)
	3,800	Kansai Paint Co., Ltd.	$	78,923
	11,500	Kao Corp.		830,780
	3,000	Kawasaki Heavy Industries Ltd.		58,756
	360,500	KDDI Corp.		9,612,631
	2,400	Keihan Holdings Co., Ltd.		100,427
	5,300	Keikyu Corp.		97,052
	2,300	Keio Corp.		143,610
	3,200	Keisei Electric Railway Co., Ltd.		125,751
	104	Kenedix Realty Investment Corp., REIT, Class A Shares		796,203
	11,700	Keyence Corp.		6,945,994
	3,300	Kikkoman Corp.		148,225
	4,000	Kintetsu Group Holdings Co., Ltd.		199,026
	19,400	Kirin Holdings Co., Ltd.		382,899
	1,300	Kobayashi Pharmaceutical Co., Ltd.		97,149
	8,900	Kobe Steel Ltd.		46,306
	59,400	Koito Manufacturing Co., Ltd.		2,782,265
	21,800	Komatsu Ltd.		462,044
	2,100	Konami Holdings Corp.		95,091
	10,600	Konica Minolta Inc.		75,412
	800	Kose Corp.		137,128
	225,100	Kubota Corp.		3,226,489
	19,500	Kumagai Gumi Co., Ltd.		537,416
	7,700	Kuraray Co., Ltd.		87,657
	2,300	Kurita Water Industries Ltd.		59,691
	7,600	Kyocera Corp.		450,909
	6,100	Kyowa Hakko Kirin Co., Ltd.		111,489
	9,700	Kyushu Electric Power Co., Inc.		95,650
	4,100	Kyushu Railway Co.		122,781
	15,500	Lasertec Corp.		885,474
	1,400	Lawson Inc.		69,186
	1,300	LINE Corp.*		46,053
	5,300	Lion Corp.		102,641
	6,400	LIXIL Group Corp.		104,723
	10,500	M3 Inc.		222,474
	53,000	Maeda Corp.		427,342
	10,600	Makino Milling Machine Co., Ltd.		428,131
	53,900	Makita Corp.		1,581,370
	19,500	Mani Inc.		454,872
	36,900	Marubeni Corp.		235,111
	4,700	Marui Group Co., Ltd.		93,463
	1,100	Maruichi Steel Tube Ltd.		26,715
	19,900	Matsumotokiyoshi Holdings Co., Ltd.		736,096
	14,400	Mazda Motor Corp.		120,619
	1,500	McDonald’s Holdings Co. Japan Ltd.		70,340
	21,610	Mebuki Financial Group Inc.		48,120
	4,700	Medipal Holdings Corp.		99,719
	2,800	MEIJI Holdings Co., Ltd.		193,920
	1,900	Mercari Inc.*		44,263
	8,800	MINEBEA MITSUMI Inc.		135,521
	7,100	MISUMI Group Inc.		160,434
	30,200	Mitsubishi Chemical Holdings Corp.		206,880
	31,800	Mitsubishi Corp.		772,672
	43,000	Mitsubishi Electric Corp.		518,220
	128,600	Mitsubishi Estate Co., Ltd.		2,457,539
	3,700	Mitsubishi Gas Chemical Co., Inc.		44,406
	58,486	Mitsubishi Heavy Industries Ltd.		2,195,126

See Notes to Financial Statements.

119

Schedules of Investments

(continued)

International Equity Fund
Shares/Units		Security	Value
	Japan — 20.1% — (continued)
	2,400	Mitsubishi Materials Corp.	$	58,056
	61,700	Mitsubishi Motors Corp.		257,403
	6,000	Mitsubishi Tanabe Pharma Corp.		66,301
	289,900	Mitsubishi UFJ Financial Group Inc.		1,390,761
	10,300	Mitsubishi UFJ Lease & Finance Co., Ltd.		55,550
	39,000	Mitsui & Co., Ltd.		609,569
	4,700	Mitsui Chemicals Inc.		100,207
	21,000	Mitsui Fudosan Co., Ltd.		502,637
	2,400	Mitsui OSK Lines Ltd.		56,375
	2,108,487	Mizuho Financial Group Inc.		3,066,844
	2,700	MonotaRO Co., Ltd.		66,183
	11,000	MS&AD Insurance Group Holdings Inc.		349,166
	48,000	Murata Manufacturing Co., Ltd.		2,008,540
	63,600	Nabtesco Corp.		1,822,858
	4,400	Nagoya Railroad Co., Ltd.		130,962
	5,700	NEC Corp.		243,661
	60,100	NET One Systems Co., Ltd.		1,608,184
	139,600	Nexon Co., Ltd.*		1,877,328
	5,800	NGK Insulators Ltd.		77,720
	3,800	NGK Spark Plug Co., Ltd.		65,429
	2,100	NH Foods Ltd.		80,538
	32,100	Nidec Corp.		4,174,294
	107,610	Nikon Corp.		1,329,137
	12,100	Nintendo Co., Ltd.		4,580,350
	142	Nippon Accommodations Fund Inc., REIT, Class A Shares		891,422
	31	Nippon Building Fund Inc., REIT		227,651
	2,200	Nippon Electric Glass Co., Ltd.		45,562
	1,800	Nippon Express Co., Ltd.		92,827
	3,300	Nippon Paint Holdings Co., Ltd.		156,003
	43	Nippon Prologis REIT Inc.		116,517
	19,600	Nippon Steel Corp.		273,657
	122,100	Nippon Suisan Kaisha Ltd.		706,800
	15,200	Nippon Telegraph & Telephone Corp.		728,639
	77,899	Nippon Television Holdings Inc.		1,025,375
	3,300	Nippon Yusen KK		49,135
	3,200	Nissan Chemical Corp.		135,163
	298,200	Nissan Motor Co., Ltd.		1,841,134
	4,800	Nisshin Seifun Group Inc.		90,155
	1,400	Nissin Foods Holdings Co., Ltd.		96,888
	23,500	Nitori Holdings Co., Ltd.		3,386,025
	26,810	Nitto Denko Corp.		1,245,557
	657,400	Nomura Holdings Inc.		2,663,952
	2,700	Nomura Real Estate Holdings Inc.		57,154
	99	Nomura Real Estate Master Fund Inc., REIT		172,892
	8,580	Nomura Research Institute Ltd.		170,506
	178,900	North Pacific Bank Ltd.		357,999
	9,400	NSK Ltd.		75,191
	14,900	NTT Data Corp.		191,964
	31,400	NTT DOCOMO Inc.		792,069
	14,700	Obayashi Corp.		135,227
	1,500	Obic Co., Ltd.		171,341
	6,900	Odakyu Electric Railway Co., Ltd.		156,366
	19,200	Oji Holdings Corp.		89,263
	28,300	Olympus Corp.		330,932
	4,500	Omron Corp.		222,127
	8,800	Ono Pharmaceutical Co., Ltd.		162,458

See Notes to Financial Statements.

120

Schedules of Investments

(continued)

International Equity Fund
Shares/Units		Security	Value
	Japan — 20.1% — (continued)
	10,900	Open House Co., Ltd.	$	493,819
	800	Oracle Corp. Japan		68,776
	4,700	Oriental Land Co., Ltd.		683,600
	144,300	ORIX Corp.		2,133,321
	8,600	Osaka Gas Co., Ltd.		153,777
	2,500	Otsuka Corp.		92,684
	9,400	Otsuka Holdings Co., Ltd.		385,910
	17,600	PALTAC Corp.		868,034
	10,800	Pan Pacific International Holdings Corp.		169,018
	52,000	Panasonic Corp.		400,563
	3,200	Park24 Co., Ltd.		65,825
	126,000	Penta-Ocean Construction Co., Ltd.		651,822
	2,000	PeptiDream Inc.*		104,733
	4,200	Persol Holdings Co., Ltd.		85,059
	2,800	Pigeon Corp.		101,510
	2,000	Pola Orbis Holdings Inc.		47,465
	43,300	Pressance Corp.		627,872
	20,300	Rakuten Inc.		190,500
	111,000	Recruit Holdings Co., Ltd.		3,358,096
	16,700	Renesas Electronics Corp.*		104,796
	62,600	Rengo Co., Ltd.		447,624
	604,600	Resona Holdings Inc.		2,368,686
	16,800	Ricoh Co., Ltd.		155,188
	800	Rinnai Corp.		50,124
	2,400	Rohm Co., Ltd.		170,668
	49,300	Round One Corp.		804,947
	6,000	Ryohin Keikaku Co., Ltd.		103,243
	1,300	Sankyo Co., Ltd.		45,023
	11,700	Sankyu Inc.		591,459
	164,500	Santen Pharmaceutical Co., Ltd.		2,877,866
	54,300	Sanwa Holdings Corp.		602,751
	11,400	Sawai Pharmaceutical Co., Ltd.		606,158
	6,000	SBI Holdings Inc.		119,776
	4,900	Secom Co., Ltd.		417,627
	3,800	Sega Sammy Holdings Inc.		51,934
	5,400	Seibu Holdings Inc.		91,643
	6,900	Seiko Epson Corp.		91,612
	47,200	Seino Holdings Co., Ltd.		606,703
	146,100	Sekisui Chemical Co., Ltd.		2,101,270
	14,600	Sekisui House Ltd.		258,775
	17,800	Seven & i Holdings Co., Ltd.		628,792
	11,300	Seven Bank Ltd.		29,540
	3,700	SG Holdings Co., Ltd.		98,865
	4,700	Sharp Corp.		48,335
	27,100	Shiga Bank Ltd. (The)		590,801
	5,000	Shimadzu Corp.		124,066
	24,766	Shimamura Co., Ltd.		1,932,522
	1,700	Shimano Inc.		244,045
	14,200	Shimizu Corp.		118,256
	8,600	Shin-Etsu Chemical Co., Ltd.		865,490
	3,800	Shinsei Bank Ltd.		51,940
	6,300	Shionogi & Co., Ltd.		337,206
	16,400	Ship Healthcare Holdings Inc.		756,938
	9,400	Shiseido Co., Ltd.		767,011
	9,600	Shizuoka Bank Ltd. (The)		64,769
	3,400	Showa Denko KK		88,034

See Notes to Financial Statements.

121

Schedules of Investments

(continued)

International Equity Fund
Shares/Units		Security	Value
	Japan — 20.1% — (continued)
	7,800	SMC Corp.	$	2,939,012
	39,500	Softbank Corp.		554,048
	38,900	SoftBank Group Corp.		1,759,874
	1,600	Sohgo Security Services Co., Ltd.		80,622
	99,500	Sompo Holdings Inc.		3,967,553
	86,000	Sony Corp.		4,898,196
	3,600	Sony Financial Holdings Inc.		83,021
	3,200	Stanley Electric Co., Ltd.		79,332
	21,600	Starts Corp., Inc.		482,675
	14,300	Subaru Corp.		382,508
	5,600	SUMCO Corp.		69,140
	11,000	Sumitomo Bakelite Co., Ltd.		391,857
	34,500	Sumitomo Chemical Co., Ltd.		150,676
	28,000	Sumitomo Corp.		419,107
	3,900	Sumitomo Dainippon Pharma Co., Ltd.		68,017
	17,800	Sumitomo Electric Industries Ltd.		209,160
	2,500	Sumitomo Heavy Industries Ltd.		71,702
	5,400	Sumitomo Metal Mining Co., Ltd.		151,697
	216,535	Sumitomo Mitsui Financial Group Inc.		7,090,000
	68,511	Sumitomo Mitsui Trust Holdings Inc.		2,235,496
	7,800	Sumitomo Realty & Development Co., Ltd.		292,883
	3,500	Sumitomo Rubber Industries Ltd.		39,441
	1,700	Sundrug Co., Ltd.		52,848
	3,200	Suntory Beverage & Food Ltd.		138,040
	9,800	Sushiro Global Holdings Ltd.		617,424
	1,800	Suzuken Co., Ltd.		96,593
	44,600	Suzuki Motor Corp.		1,715,826
	3,900	Sysmex Corp.		248,704
	322,755	T&D Holdings Inc.		3,144,998
	43,800	Tadano Ltd.		386,338
	2,700	Taiheiyo Cement Corp.		68,073
	5,000	Taisei Corp.		176,674
	1,000	Taisho Pharmaceutical Holdings Co., Ltd.		69,639
	2,800	Taiyo Nippon Sanso Corp.		55,554
	37,400	Taiyo Yuden Co., Ltd.(a)		701,383
	33,600	Takasago Thermal Engineering Co., Ltd.		547,254
	459,294	Takeda Pharmaceutical Co., Ltd.		15,521,501
	3,000	TDK Corp.		238,117
	4,100	Teijin Ltd.		73,601
	65,800	Terumo Corp.		1,908,138
	51,500	THK Co., Ltd.		1,191,994
	25,800	TIS Inc.		1,511,273
	4,300	Tobu Railway Co., Ltd.		131,779
	72,200	Toda Corp.		400,707
	2,700	Toho Co., Ltd.		114,353
	1,800	Toho Gas Co., Ltd.		69,799
	10,600	Tohoku Electric Power Co., Inc.		105,843
	52,700	Tokai Carbon Co., Ltd.(a)		503,132
	15,300	Tokio Marine Holdings Inc.		787,032
	1,200	Tokyo Century Corp.		48,233
	37,000	Tokyo Electric Power Co. Holdings Inc.*		175,998
	3,800	Tokyo Electron Ltd.		679,254
	9,000	Tokyo Gas Co., Ltd.		227,304
	79,700	Tokyo Steel Manufacturing Co., Ltd.		617,172
	11,800	Tokyu Corp.		210,738
	14,800	Tokyu Fudosan Holdings Corp.		91,667

See Notes to Financial Statements.

122

Schedules of Investments

(continued)

International Equity Fund
Shares/Units		Security	Value
	Japan — 20.1% — (continued)
	5,800	Toppan Printing Co., Ltd.	$	92,304
	32,700	Toray Industries Inc.		232,777
	13,000	Toshiba Corp.		403,454
	6,600	Tosoh Corp.		84,534
	3,500	TOTO Ltd.		126,373
	3,700	Toyo Seikan Group Holdings Ltd.		53,802
	2,000	Toyo Suisan Kaisha Ltd.		81,322
	35,200	Toyo Tire Corp.		429,727
	1,200	Toyoda Gosei Co., Ltd.		22,280
	3,300	Toyota Industries Corp.		181,039
	104,900	Toyota Motor Corp.		6,862,297
	4,800	Toyota Tsusho Corp.		148,610
	3,100	Trend Micro Inc.		150,058
	29,100	Tsubaki Nakashima Co., Ltd.		433,314
	800	Tsuruha Holdings Inc.		87,005
	9,500	Unicharm Corp.		291,531
	72	United Urban Investment Corp., REIT		135,030
	5,000	USS Co., Ltd.		94,347
	20,100	UT Group Co., Ltd.		367,885
	900	Welcia Holdings Co., Ltd.		46,948
	3,900	West Japan Railway Co.		328,336
	1,260,593	Yahoo Japan Corp.		3,150,601
	2,800	Yakult Honsha Co., Ltd.		161,013
	13,600	Yamada Denki Co., Ltd.		63,967
	3,400	Yamaha Corp.		146,395
	7,000	Yamaha Motor Co., Ltd.		114,252
	7,100	Yamato Holdings Co., Ltd.		122,670
	20,000	Yamato Kogyo Co., Ltd.		488,253
	3,100	Yamazaki Baking Co., Ltd.		53,813
	5,600	Yaskawa Electric Corp.(a)		187,402
	5,400	Yokogawa Electric Corp.		97,856
	2,400	Yokohama Rubber Co., Ltd. (The)		46,062
	25,100	Zenkoku Hosho Co., Ltd.		955,288
	4,700	ZOZO Inc.		93,746
		Total Japan		263,196,392
	Jordan — 0.1%
	31,709	Hikma Pharmaceuticals PLC		779,438
	Luxembourg — 0.2%
	15,653	ArcelorMittal		225,851
	22,113	Aroundtown SA		183,889
	282	Eurofins Scientific SE(a)		129,180
	1,696	Millicom International Cellular SA, ADR		86,431
	827	RTL Group SA		38,525
	8,292	SES SA, FDR, Class A Shares		133,635
	156,288	Tenaris SA		1,694,335
		Total Luxembourg		2,491,846
	Macau — 0.0%
	18,400	MGM China Holdings Ltd.		27,359
	57,200	Sands China Ltd.		257,933
	40,000	Wynn Macau Ltd.		79,478
		Total Macau		364,770
	Mexico — 0.0%
	4,553	Fresnillo PLC		41,069

See Notes to Financial Statements.

123

Schedules of Investments

(continued)

International Equity Fund
Shares/Units		Security	Value
	Netherlands — 4.5%
	95,764	Aalberts NV	$	3,620,182
	9,968	ABN AMRO Group NV, Dutch Certificate, GDR(c)		177,643
	242	Adyen NV*(c)		175,381
	41,976	Aegon NV(a)		159,962
	80,893	Akzo Nobel NV		7,248,219
	9,641	ASM International NV		811,361
	50,486	ASML Holding NV		11,243,741
	23,384	ASR Nederland NV		818,277
	43,654	Boskalis Westminster(a)		868,918
	15,296	Euronext NV(c)		1,205,667
	2,541	EXOR NV		172,856
	2,715	Heineken Holding NV		268,583
	26,006	Heineken NV		2,767,133
	647,343	ING Groep NV		6,196,232
	26,593	Intertrust NV(c)		551,430
	27,895	Koninklijke Ahold Delhaize NV		653,019
	4,275	Koninklijke DSM NV		532,242
	84,184	Koninklijke KPN NV		266,619
	78,646	Koninklijke Philips NV		3,709,802
	1,803	Koninklijke Vopak NV		85,976
	7,430	NN Group NV(a)		248,972
	6,754	NXP Semiconductors NV		689,853
	372,154	PostNL NV		742,094
	5,440	QIAGEN NV*		189,273
	2,751	Randstad NV		128,473
	104,831	Royal Dutch Shell PLC, Class A Shares		2,904,648
	437,010	Royal Dutch Shell PLC, Class B Shares		12,052,867
	8,629	TKH Group NV, Dutch Certificate		414,268
	6,592	Wolters Kluwer NV		474,872
		Total Netherlands		59,378,563
	New Zealand — 0.5%
	17,112	a2 Milk Co., Ltd.*		155,332
	23,247	Auckland International Airport Ltd.		140,790
	13,107	Fisher & Paykel Healthcare Corp., Ltd.		137,534
	17,979	Fletcher Building Ltd.		50,263
	32,042	Meridian Energy Ltd.		100,446
	10,257	Ryman Healthcare Ltd.		83,805
	40,746	Spark New Zealand Ltd.		113,449
	116,786	Summerset Group Holdings Ltd.		444,274
	117,559	Xero Ltd.*		5,032,045
		Total New Zealand		6,257,938
	Norway — 0.6%
	2,770	Aker BP ASA		73,364
	168,929	DNB ASA		2,719,972
	23,603	Equinor ASA		401,723
	41,208	FLEX LNG Ltd.*		405,909
	4,664	Gjensidige Forsikring ASA		89,983
	10,336	Mowi ASA(a)		247,164
	1,203,024	Norsk Hydro ASA		3,798,563
	19,484	Orkla ASA		178,464
	2,325	Schibsted ASA, Class B Shares		67,199
	17,322	Telenor ASA		355,215
	4,185	Yara International ASA		181,352
		Total Norway		8,518,908

See Notes to Financial Statements.

124

Schedules of Investments

(continued)

International Equity Fund
Shares/Units		Security	Value
	Portugal — 0.0%
	60,317	EDP — Energias de Portugal SA	$	228,097
	11,758	Galp Energia SGPS SA		168,901
	5,728	Jeronimo Martins SGPS SA		94,717
		Total Portugal		491,715
	Russia — 0.4%
	12,906	Evraz PLC		78,001
	321,746	Gazprom PJSC, ADR		2,221,673
	17,893	LUKOIL PJSC, ADR		1,447,186
	89,277	Sberbank of Russia PJSC, ADR		1,225,773
		Total Russia		4,972,633
	Singapore — 0.5%
	58,600	Ascendas Real Estate Investment Trust		129,990
	60,619	CapitaLand Commercial Trust, REIT		93,022
	59,500	CapitaLand Ltd.		148,441
	62,700	CapitaLand Mall Trust, REIT		119,666
	12,100	City Developments Ltd.		83,345
	55,500	ComfortDelGro Corp., Ltd.		97,804
	42,300	DBS Group Holdings Ltd.		746,802
	878,500	Frasers Logistics & Industrial Trust, REIT		771,984
	130,900	Genting Singapore Ltd.		83,717
	158,600	Golden Agri-Resources Ltd.		30,226
	2,200	Jardine Cycle & Carriage Ltd.		48,760
	33,900	Keppel Corp., Ltd.		142,104
	360,800	Oversea-Chinese Banking Corp., Ltd.		2,761,660
	16,300	SATS Ltd.		56,305
	23,300	Sembcorp Industries Ltd.		34,677
	13,700	Singapore Airlines Ltd.		87,075
	17,600	Singapore Exchange Ltd.		103,883
	29,400	Singapore Press Holdings Ltd.		42,087
	38,700	Singapore Technologies Engineering Ltd.		109,687
	192,400	Singapore Telecommunications Ltd.		439,499
	47,800	Suntec Real Estate Investment Trust		66,393
	29,703	United Overseas Bank Ltd.		533,520
	12,071	UOL Group Ltd.		63,737
	7,000	Venture Corp., Ltd.		76,185
	42,800	Wilmar International Ltd.		117,329
		Total Singapore		6,987,898
	South Africa — 0.4%
	13,946	Anglo American Platinum Ltd.		855,668
	312,038	Gold Fields Ltd., ADR		1,853,506
	200,660	Impala Platinum Holdings Ltd.*(a)		1,143,505
	16,962	Investec PLC		87,247
	167,205	MTN Group Ltd.		1,129,925
		Total South Africa		5,069,851
	South Korea — 1.9%
	12,500	AfreecaTV Co., Ltd.		627,825
	11,300	Douzone Bizon Co., Ltd.		535,845
	3,069	GS Home Shopping Inc.		404,363
	61,750	KB Financial Group Inc.		2,022,627
	20,775	Korea United Pharm Inc.(a)		338,207
	204,554	KT Corp., ADR		2,297,141
	8,035	Maeil Dairies Co., Ltd.		606,871
	108,800	Meritz Securities Co., Ltd.		427,337

See Notes to Financial Statements.

125

Schedules of Investments

(continued)

International Equity Fund
Shares/Units		Security	Value
	South Korea — 1.9% — (continued)
	41,856	Partron Co., Ltd.	$	402,812
	188,157	Samsung Electronics Co., Ltd.		6,838,793
	7,105	Samsung SDI Co., Ltd.		1,460,047
	18,036	SFA Engineering Corp.		592,913
	57,550	Shinhan Financial Group Co., Ltd.		1,936,356
	6,995	SK Innovation Co., Ltd.		953,422
	23,523	SK Telecom Co., Ltd.		4,653,697
	21,765	SL Corp.		385,733
	10,453	Soulbrain Co., Ltd.(a)		588,070
		Total South Korea		25,072,059
	Spain — 2.3%
	6,169	ACS Actividades de Construccion y Servicios SA		233,310
	1,591	Aena SME SA(c)		287,006
	26,226	Almirall SA		499,459
	41,557	Amadeus IT Group SA		3,097,977
	31,549	Applus Services SA		419,749
	19,077	Atlantica Yield PLC		453,842
	634,981	Banco Bilbao Vizcaya Argentaria SA		3,011,303
	144,283	Banco de Sabadell SA		123,676
	386,172	Banco Santander SA		1,462,181
	30,062	Bankia SA		54,621
	70,480	Bankinter SA		410,808
	1,987,406	CaixaBank SA		4,507,460
	4,522	Cellnex Telecom SA*(c)		181,066
	26,190	Cia de Distribucion Integral Logista Holdings SA		514,614
	4,365	Enagas SA		95,315
	7,485	Endesa SA		192,354
	11,468	Ferrovial SA		326,553
	153,680	Grifols SA		4,867,685
	143,800	Iberdrola SA		1,479,172
	93,225	Industria de Diseno Textil SA		2,884,023
	24,538	Mapfre SA		63,917
	33,393	Masmovil Ibercom SA*		683,882
	37,000	Merlin Properties Socimi SA, REIT		494,724
	7,074	Naturgy Energy Group SA		185,238
	647,865	Prosegur Cash SA(c)		1,009,222
	436,035	Prosegur Cia de Seguridad SA		1,605,567
	10,304	Red Electrica Corp. SA		205,400
	34,242	Repsol SA		497,995
	5,851	Siemens Gamesa Renewable Energy SA		79,755
	110,118	Telefonica SA		763,124
		Total Spain		30,690,998
	Sweden — 1.7%
	7,529	Alfa Laval AB		138,754
	135,265	Assa Abloy AB, Class B Shares		2,826,448
	125,436	Atlas Copco AB, Class A Shares		3,749,605
	9,196	Atlas Copco AB, Class B Shares		245,295
	7,013	Boliden AB		155,258
	78,709	Dometic Group AB(c)		642,048
	5,469	Electrolux AB, Series B		122,439
	208,990	Epiroc AB, Class A Shares		2,168,278
	8,971	Epiroc AB, Class B Shares		88,999
	14,292	Essity AB, Class B Shares		446,120
	32,917	Evolution Gaming Group AB(c)		618,464
	18,931	Hennes & Mauritz AB, Class B Shares		362,968

See Notes to Financial Statements.

126

Schedules of Investments

(continued)

International Equity Fund
Shares/Units		Security	Value
	Sweden — 1.7% — (continued)
	6,357	Hexagon AB, Class B Shares	$	282,985
	11,408	Husqvarna AB, Class B Shares		88,516
	1,997	ICA Gruppen AB		97,962
	3,795	Industrivarden AB, Class C Shares		79,449
	10,733	Investor AB, Class B Shares		503,648
	5,573	Kinnevik AB, Class B Shares		151,946
	1,730	L E Lundbergforetagen AB, Class B Shares		64,828
	19,379	Loomis AB, Class B Shares		656,035
	4,260	Lundin Petroleum AB		129,680
	55,357	Peab AB		453,846
	72,277	Resurs Holding AB(c)		410,380
	26,604	Sandvik AB		381,798
	7,108	Securitas AB, Class B Shares		106,468
	38,099	Skandinaviska Enskilda Banken AB, Class A Shares		327,723
	7,794	Skanska AB, Class B Shares		146,155
	8,841	SKF AB, Class B Shares		142,839
	191,617	SSAB AB, Class B Shares		479,541
	35,728	Svenska Handelsbanken AB, Class A Shares		314,678
	21,341	Swedbank AB, Class A Shares		274,411
	47,120	Swedish Match AB		1,849,307
	11,676	Tele2 AB, Class B Shares		164,803
	72,401	Telefonaktiebolaget LM Ericsson, Class B Shares		567,933
	68,238	Telia Co. AB		299,282
	21,070	THQ Nordic AB, Class B Shares*		522,391
	35,001	Volvo AB, Class B Shares		483,887
	79,170	Wihlborgs Fastigheter AB		1,274,417
		Total Sweden		21,819,584
	Switzerland — 9.9%
	397,007	ABB Ltd., Class Registered Shares		7,527,367
	71,179	Adecco Group AG, Class Registered Shares		3,745,828
	10,218	Alcon Inc.*		622,954
	849,372	Aryzta AG*		691,138
	1,150	Baloise Holding AG, Class Registered Shares		196,217
	1,768	Barry Callebaut AG, Class Registered Shares		3,616,523
	1,597	Bucher Industries AG, Class Registered Shares		471,221
	4,554	Cembra Money Bank AG		462,260
	27	Chocoladefabriken Lindt & Spruengli AG		199,840
	2	Chocoladefabriken Lindt & Spruengli AG, Class Registered Shares		164,813
	86,529	Cie Financiere Richemont SA, Class Registered Shares		6,723,913
	5,107	Clariant AG, Class Registered Shares*		94,043
	34,922	Coca-Cola HBC AG		1,160,387
	60,233	Credit Suisse Group AG, Class Registered Shares*		705,336
	1,101	Dufry AG, Class Registered Shares*		89,348
	574	Emmi AG, Class Registered Shares		464,743
	184	EMS-Chemie Holding AG, Class Registered Shares(a)		109,498
	411	Forbo Holding AG, Class Registered Shares		599,145
	873	Geberit AG, Class Registered Shares		397,252
	571	Georg Fischer AG, Class Registered Shares		468,095
	218	Givaudan SA, Class Registered Shares		589,789
	262,189	Glencore PLC*		756,898
	3,443	Helvetia Holding AG, Class Registered Shares		449,062
	72,026	Julius Baer Group Ltd.*		2,851,032
	1,269	Kuehne + Nagel International AG, Class Registered Shares		184,816
	72,131	LafargeHolcim Ltd., Class Registered Shares*		3,413,431
	37,138	Logitech International SA, Class Registered Shares		1,507,314

See Notes to Financial Statements.

127

Schedules of Investments

(continued)

International Equity Fund
Shares/Units		Security	Value
	Switzerland — 9.9% — (continued)
	19,884	Lonza Group AG, Class Registered Shares*	$	7,034,337
	146,482	Nestlé SA, Class Registered Shares		16,437,982
	164,992	Novartis AG, Class Registered Shares		14,856,656
	875	Pargesa Holding SA		63,988
	440	Partners Group Holding AG		356,963
	7,489	PSP Swiss Property AG, Class Registered Shares		995,244
	65,724	Roche Holding AG		17,976,869
	10,642	Schindler Holding AG		2,431,930
	512	Schindler Holding AG, Class Registered Shares		116,152
	860	SGS SA, Class Registered Shares		2,113,164
	26,015	Sika AG, Class Registered Shares		3,737,187
	1,350	Sonova Holding AG, Class Registered Shares		314,606
	203,713	STMicroelectronics NV		3,619,084
	1,453	Straumann Holding AG, Class Registered Shares		1,139,349
	5,554	Sulzer AG, Class Registered Shares		527,911
	688	Swatch Group AG (The)		186,658
	1,423	Swatch Group AG (The), Class Registered Shares		72,780
	4,508	Swiss Life Holding AG, Class Registered Shares		2,139,124
	1,756	Swiss Prime Site AG, Class Registered Shares*		174,784
	7,182	Swiss Re AG		691,174
	596	Swisscom AG, Class Registered Shares		298,437
	25,808	Temenos AG, Class Registered Shares*		4,329,438
	583,462	UBS Group AG, Class Registered Shares*		6,168,049
	28,455	VAT Group AG*(c)		3,425,713
	1,051	Vifor Pharma AG		166,745
	12,777	Vontobel Holding AG, Class Registered Shares		667,722
	15,269	Wizz Air Holdings PLC*(c)		668,796
	3,567	Zurich Insurance Group AG		1,270,017
		Total Switzerland		130,243,122
	Taiwan — 0.4%
	3,349,000	Innolux Corp.		749,883
	75,042	MediaTek Inc.		879,032
	3,455,881	Shin Kong Financial Holding Co., Ltd.		1,014,004
	262,000	Taiwan Semiconductor Manufacturing Co., Ltd.		2,163,533
		Total Taiwan		4,806,452
	Thailand — 0.2%
	790,300	CP ALL PCL		2,168,388
	Turkey — 0.1%
	517,427	Akbank T.A.S.*		616,486
	559,149	Türkiye Garanti Bankasi AS*		854,662
		Total Turkey		1,471,148
	United Arab Emirates — 0.0%
	1,976	NMC Health PLC		60,202
	United Kingdom — 15.1%
	22,475	3i Group PLC		300,035
	4,561	Admiral Group PLC		119,207
	143,281	Anglo American PLC		3,096,897
	134,287	Ashmore Group PLC		737,640
	11,077	Ashtead Group PLC		306,386
	8,395	Associated British Foods PLC		232,139
	94,466	AstraZeneca PLC		8,427,929

See Notes to Financial Statements.

128

Schedules of Investments

(continued)

International Equity Fund
Shares/Units		Security	Value
	United Kingdom — 15.1% — (continued)
	120,345	Auto Trader Group PLC(c)	$	778,918
	94,846	Avast PLC(c)		438,908
	14,440	AVEVA Group PLC		650,307
	1,009,303	Aviva PLC		4,351,916
	104,316	B&M European Value Retail SA		454,582
	179,649	Babcock International Group PLC		1,097,613
	75,328	BAE Systems PLC		500,289
	664,580	Balfour Beatty PLC		1,747,128
	3,833,859	Barclays PLC		6,390,290
	23,705	Barratt Developments PLC		182,522
	82,143	Beazley PLC		570,586
	14,843	Bellway PLC		525,052
	2,788	Berkeley Group Holdings PLC		132,917
	26,210	Blue Prism Group PLC*		296,627
	1,925,216	BP PLC		11,737,968
	232,339	British American Tobacco PLC		8,147,552
	184,321	British Land Co. PLC (The), REIT		1,143,864
	1,148,028	BT Group PLC		2,316,182
	129,223	Bunzl PLC		3,166,506
	75,744	Burberry Group PLC		1,997,316
	237,071	Cairn Energy PLC*		482,361
	1,457,164	Centrica PLC		1,236,208
	242,019	Cineworld Group PLC		643,479
	53,280	Clinigen Group PLC		575,303
	23,927	CNH Industrial NV		247,940
	378,265	Coats Group PLC		337,095
	1,314,573	Cobham PLC*		2,583,942
	5,747	Coca-Cola European Partners PLC		323,786
	37,376	Compass Group PLC		947,908
	40,313	Computacenter PLC		650,212
	13,334	Cranswick PLC		448,060
	3,028	Croda International PLC		173,328
	152,881	Diageo PLC		6,535,548
	34,500	Direct Line Insurance Group PLC		118,903
	3,017	easyJet PLC		35,387
	91,026	Electrocomponents PLC		644,188
	28,212	Ferguson PLC		2,076,212
	25,391	Fiat Chrysler Automobiles NV		332,387
	39,416	G4S PLC		83,544
	262,271	GlaxoSmithKline PLC		5,458,564
	8,946	Halma PLC		213,785
	6,621	Hargreaves Lansdown PLC		151,462
	1,031,214	HSBC Holdings PLC		7,415,150
	56,054	Hunting PLC		312,357
	22,546	Imperial Brands PLC		583,442
	30,398	Informa PLC		322,085
	4,055	InterContinental Hotels Group PLC		251,244
	47,766	Intermediate Capital Group PLC		777,019
	34,329	Intertek Group PLC		2,270,280
	80,684	ITV PLC		113,930
	804,747	J Sainsbury PLC		1,921,146
	203,383	JD Sports Fashion PLC		1,527,998
	17,476	John Wood Group PLC		80,334
	109,231	Johnson Matthey PLC		3,870,914
	43,548	Keller Group PLC		345,203
	784,219	Kingfisher PLC		1,857,248

See Notes to Financial Statements.

129

Schedules of Investments

(continued)

International Equity Fund
Shares/Units		Security	Value
	United Kingdom — 15.1% — (continued)
	125,712	Land Securities Group PLC, REIT	$	1,186,867
	760,633	Legal & General Group PLC		2,034,920
	34,885	Linde PLC		6,542,697
	12,570	LivaNova PLC*		975,809
	9,378,570	Lloyds Banking Group PLC		5,675,739
	7,384	London Stock Exchange Group PLC		625,204
	218,237	LondonMetric Property PLC, REIT		544,973
	539,038	Marks & Spencer Group PLC		1,261,772
	92,132	Meggitt PLC		694,493
	940,079	Melrose Industries PLC		2,074,175
	16,272	Merlin Entertainments PLC(c)		89,485
	145,743	Micro Focus International PLC		1,997,707
	10,554	Mondi PLC		205,434
	106,301	Moneysupermarket.com Group PLC		483,386
	136,913	National Express Group PLC		707,200
	80,359	National Grid PLC		840,751
	7,851	Next PLC		567,352
	26,625	Nomad Foods Ltd.*		536,494
	103,200	Ocado Group PLC*		1,627,826
	138,581	OneSavings Bank PLC		543,177
	18,414	Pearson PLC		186,763
	7,437	Persimmon PLC		172,257
	743,360	Prudential PLC		12,387,881
	16,672	Reckitt Benckiser Group PLC		1,300,458
	67,614	Redrow PLC		454,948
	97,982	RELX PLC		2,344,957
	43,580	Rentokil Initial PLC		238,836
	8,748	Rio Tinto Ltd.		517,675
	26,862	Rio Tinto PLC		1,354,612
	619,414	Rolls-Royce Holdings PLC*		5,816,996
	117,215	Royal Bank of Scotland Group PLC		264,746
	24,076	RSA Insurance Group PLC		153,374
	114,867	Safestore Holdings PLC, REIT		939,075
	26,087	Sage Group PLC (The)		222,526
	2,999	Schroders PLC		99,669
	25,556	Segro PLC, REIT		244,350
	5,464	Severn Trent PLC		137,724
	128,047	Smith & Nephew PLC		3,064,279
	9,315	Smiths Group PLC		189,361
	1,735	Spirax-Sarco Engineering PLC		169,517
	309,866	SSE PLC		4,343,397
	12,388	St. James’s Place PLC		138,445
	420,368	Standard Chartered PLC		3,184,724
	59,337	Standard Life Aberdeen PLC		180,515
	148,413	Stock Spirits Group PLC		426,260
	87,466	Synthomer PLC		330,103
	102,027	Tate & Lyle PLC		894,024
	75,735	Taylor Wimpey PLC		134,537
	114,876	TechnipFMC PLC		2,855,437
	230,784	Tesco PLC		615,829
	34,668	Unilever NV		2,151,953
	94,749	Unilever PLC		5,992,444
	65,646	UNITE Group PLC (The), REIT		836,424
	15,883	United Utilities Group PLC		157,371
	88,026	Vesuvius PLC		500,393
	2,835,269	Vodafone Group PLC		5,353,652

See Notes to Financial Statements.

130

Schedules of Investments

(continued)

International Equity Fund
Shares/Units			Security	Value
	United Kingdom — 15.1% — (continued)
	96,981		Weir Group PLC (The)	$	1,730,581
	45,065		Whitbread PLC		2,399,569
	56,955		WM Morrison Supermarkets PLC		126,609
	29,635		WPP PLC		351,202
			Total United Kingdom		197,974,162
	United States — 0.9%
	848		Booking Holdings Inc.*		1,667,516
	34,620		Carnival Corp.		1,526,049
	32,049		Carnival PLC		1,347,196
	17,300		EPAM Systems Inc.*		3,310,009
	1		International Flavors & Fragrances Inc.		79
	16,610		Philip Morris International Inc.		1,197,415
	15,470		ResMed Inc.		2,154,971
	502,200		Samsonite International SA(c)		943,134
			Total United States		12,146,369
			TOTAL COMMON STOCKS (Cost — $1,219,115,216)		1,269,108,424
	PREFERRED STOCKS — 0.8%
	Germany — 0.8%
	1,426		Bayerische Motoren Werke AG, Class Preferred Shares		76,772
	1,510		FUCHS PETROLUB SE, Class Preferred Shares		52,759
	4,198		Henkel AG & Co. KGaA, Class Preferred Shares		420,348
	3,608		Porsche Automobil Holding SE, Class Preferred Shares		226,239
	833		Sartorius AG, Class Preferred Shares		166,482
	59,667		Volkswagen AG, Class Preferred Shares		9,580,083
			Total Germany		10,522,683
			TOTAL PREFERRED STOCKS (Cost — $8,464,265)		10,522,683
	CLOSED END MUTUAL FUND SECURITY — 0.0%
	United States — 0.0%
	14,843		Vanguard FTSE Developed Markets ETF, Common Class (Cost — $570,740)		595,056
			TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $1,228,150,221)		1,280,226,163
Face Amount†
	SHORT-TERM INVESTMENTS (f) — 2.9%
	MONEY MARKET FUND — 0.7%
$	9,378,863		Invesco STIT — Government & Agency Portfolio, 1.998%, Institutional Class(g) (Cost — $9,378,863)		9,378,863
	TIME DEPOSITS — 2.2%
	14,584,814		ANZ National Bank — London, 1.490% due 9/3/19		14,584,814
	1,107,823		Banco Santander SA — Frankfurt, 1.490% due 9/3/19		1,107,823
			BBH — Grand Cayman:
	265,740	CHF	(1.580)% due 9/2/19		268,478
	15,473	DKK	(0.800)% due 9/2/19		2,281
	8,925	EUR	(0.580)% due 9/2/19		9,809
	100,572	SEK	(0.320)% due 9/2/19		10,248
	80	JPY	(0.250)% due 9/2/19		1
	2,005	NZD	0.280% due 9/2/19		1,264

See Notes to Financial Statements.

131

Schedules of Investments

(continued)

International Equity Fund
Face Amount†			Security	Value
	TIME DEPOSITS — 2.2% — (continued)
	85	GBP	0.370% due 9/2/19	$	104
	56,866	AUD	0.450% due 9/2/19		38,293
	63,772	NOK	0.500% due 9/2/19		6,998
	159,987	HKD	0.750% due 9/2/19		20,404
	2,286	CAD	0.870% due 9/3/19		1,717
	18	SGD	0.940% due 9/2/19		13
	258	ZAR	5.460% due 9/2/19		17
			BNP Paribas — Paris:
	401,235	EUR	(0.580)% due 9/2/19		440,977
	1,020,212	HKD	0.750% due 9/2/19		130,115
	171,896	GBP	Citibank — London, 0.370% due 9/2/19		209,146
$	4,400,499		Citibank — New York, 1.490% due 9/3/19		4,400,499
	75,032	SGD	HSBC Bank — Singapore, 0.940% due 9/2/19		54,071
	6,762,511		JPMorgan Chase & Co. — New York, 1.490% due 9/3/19		6,762,510
	34,905,199	JPY	Sumitomo Mitsui Banking Corp. — Tokyo, (0.250)% due 9/2/19		328,597
			TOTAL TIME DEPOSITS (Cost — $28,378,179)		28,378,179
			TOTAL SHORT-TERM INVESTMENTS (Cost — $37,757,042)		37,757,042
			TOTAL INVESTMENTS — 100.5% (Cost — $1,265,907,263)		1,317,983,205
			Liabilities in Excess of Other Assets — (0.5)%		(6,941,386	)
			TOTAL NET ASSETS — 100.0%	$	1,311,041,819

† 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) 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. The aggregate value of restricted 144A holdings at August 31, 2019 amounts to approximately $22,980,780 and represents 1.8% of net assets.

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

(e) Illiquid security.

(f) Inclusive of all short-term holdings, including investment of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 2.2%.

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

At August 31, 2019, for International Equity Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:

Fund	Aggregate Cost For Federal Income Tax Purposes		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation
International Equity Fund	$	1,292,642,569	$	232,990,552	$	(207,646,661	)	$	25,343,891

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

See Notes to Financial Statements.

132

Schedules of Investments

(continued)

International Equity Fund

Summary of Investments by Security Sector^
Financials	16.5	%
Industrials	15.9
Consumer Discretionary	11.7
Health Care	11.5
Information Technology	9.8
Consumer Staples	8.1
Materials	7.4
Communication Services	6.4
Energy	6.0
Real Estate	2.6
Utilities	1.9
Short-Term Investments	2.2
	100.0	%+

^ As a percentage of total investments.

+ Does not reflect investments of collateral received from securities lending transactions.

At August 31, 2019, International Equity 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)		Notional Amount		Market Value		Unrealized Appreciation/ (Depreciation)
Contracts to Buy:
Euro STOXX 50 September Futures		19		9/19	$	701,227	$	713,954	$	12,727
FTSE 100 Index September Futures		5		9/19		441,972		436,825		(5,147	)
SPI 200 Index September Futures		2		9/19		220,017		221,246		1,229
TOPIX Index September Futures		3		9/19		432,008		426,454		(5,554	)
									$	3,255

At August 31, 2019, International Equity Fund had deposited cash of $90,782 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.

Currency Abbreviations used in this schedule:
AUD	— Australian Dollar
CAD	— Canadian Dollar
CHF	— Swiss Franc
DKK	— Danish Krone
EUR	— Euro
GBP	— British Pound
HKD	— Hong Kong Dollar
JPY	— Japanese Yen
NOK	— Norwegian Krone
NZD	— New Zealand Dollar
SEK	— Swedish Krona
SGD	— Singapore Dollar
ZAR	— South African Rand

See Notes to Financial Statements.

133

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	COMMON STOCKS — 96.3%
	Argentina — 0.3%
	2,964	Banco BBVA Argentina SA, ADR	$	12,508
	1,527	Banco Macro SA, ADR		35,594
	1,095	Globant SA*		103,948
	3,388	Grupo Financiero Galicia SA, ADR		36,726
	1,905	Pampa Energia SA, ADR*(a)		24,727
	1,726	Telecom Argentina SA, ADR		15,430
	949	Transportadora de Gas del Sur SA, ADR		7,118
	124,469	YPF SA, ADR		1,065,455
		Total Argentina		1,301,506
	Australia — 0.0%
	40,000	MMG Ltd.*		8,200
	Belgium — 0.0%
	1,168	Titan Cement International SA*		23,877
	Brazil — 6.7%
	138,001	Ambev SA		623,741
	246,471	Ambev SA, ADR		1,118,978
	11,300	Atacadao SA		60,841
	6,925	B2W Cia Digital*		78,584
	61,667	B3 SA — Brasil Bolsa Balcao		667,032
	37,127	Banco Bradesco SA		271,612
	6,360	Banco BTG Pactual SA		89,954
	467,742	Banco do Brasil SA		5,222,041
	12,695	Banco Santander Brasil SA		130,575
	358,015	BB Seguridade Participações SA		2,824,012
	23,965	BR Malls Participações SA		77,998
	16,663	BRF SA*		153,444
	724,806	CCR SA		2,843,749
	6,483	Centrais Eletricas Brasileiras SA		71,909
	9,781	Cia de Saneamento Basico do Estado de Sao Paulo		122,093
	17,041	Cia Siderurgica Nacional SA		59,083
	727,206	Cielo SA		1,360,740
	4,551	Cosan SA		54,930
	20,394	Embraer SA		88,386
	5,411	Energisa SA		62,043
	6,028	Engie Brasil Energia SA		65,465
	5,034	Equatorial Energia SA		116,402
	421,750	Fleury SA		2,443,894
	11,971	Hypera SA		92,982
	652,300	International Meal Co. Alimentacao SA		1,409,570
	154,765	IRB Brasil Resseguros SA		4,054,325
	32,529	JBS SA		232,790
	21,853	Klabin SA		79,461
	43,404	Kroton Educacional SA		105,635
	17,067	Localiza Rent a Car SA		193,839
	23,697	Lojas Renner SA		289,222
	1,822	M Dias Branco SA		15,925
	18,904	Magazine Luiza SA		165,637
	781,200	Movida Participacoes SA		2,917,888
	8,820	Multiplan Empreendimentos Imobiliarios SA		55,347
	6,254	Natura Cosméticos SA		99,629
	9,792	Notre Dame Intermedica Participacoes SA		132,585
	21,233	Petrobras Distribuidora SA		147,645
	90,732	Petroleo Brasileiro SA		619,302

See Notes to Financial Statements.

134

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	Brazil — 6.7% — (continued)
	2,824	Porto Seguro SA	$	38,183
	7,126	Raia Drogasil SA		158,357
	367,578	Rumo SA*		1,961,363
	6,835	Sul America SA		79,955
	16,700	Suzano SA		117,254
	26,912	TIM Participações SA		79,922
	22,998	Ultrapar Participações SA		91,176
	94,270	Vale SA*		1,037,215
	26,201	WEG SA		142,337
		Total Brazil		32,925,050
	Chile — 0.3%
	97,799	Aguas Andinas SA, Class A Shares		52,942
	1,144,505	Banco de Chile		163,105
	1,528	Banco de Credito e Inversiones SA		94,235
	1,935,679	Banco Santander Chile		137,352
	42,252	Cencosud SA		62,656
	5,277	Cia Cervecerias Unidas SA		59,685
	252,929	Colbun SA		44,518
	4,335	Empresa Nacional de Telecomunicaciones SA*		37,814
	31,677	Empresas CMPC SA		72,880
	12,701	Empresas COPEC SA		114,432
	1,150,114	Enel Americas SA		188,308
	895,861	Enel Chile SA		76,133
	3,934,534	Itau CorpBanca		30,252
	8,654	Latam Airlines Group SA		71,733
	22,952	SACI Falabella		128,382
		Total Chile		1,334,427
	China — 25.7%
	44,000	3SBio Inc.*(b)		67,426
	838	51job Inc., ADR*		60,277
	2,762	58.com Inc., ADR*		148,568
	266,488	AAC Technologies Holdings Inc.		1,142,802
	6,200	AECC Aviation Power Co., Ltd., Class A Shares		20,394
	42,000	Agile Group Holdings Ltd.		53,374
	110,300	Agricultural Bank of China Ltd., Class A Shares		52,363
	855,000	Agricultural Bank of China Ltd., Class H Shares(c)		328,492
	4,810	Aier Eye Hospital Group Co., Ltd., Class A Shares		22,670
	60,000	Air China Ltd., Class H Shares(c)		51,628
	104,602	Alibaba Group Holding Ltd., ADR*		18,308,488
	2,179,000	A-Living Services Co., Ltd., (Restricted, cost — $3,326,516, acquired 4/16/18), Class H Shares(b)(c)(d)		4,246,171
	31,400	Aluminum Corp. of China Ltd., Class A Shares*		15,780
	120,000	Aluminum Corp. of China Ltd., Class H Shares*(c)		35,035
	41,600	Angang Steel Co., Ltd., Class H Shares(c)		14,372
	5,800	Anhui Conch Cement Co., Ltd., Class A Shares		31,923
	455,837	Anhui Conch Cement Co., Ltd., Class H Shares(c)		2,556,165
	308,000	ANTA Sports Products Ltd.		2,545,591
	1,812	Autohome Inc., ADR*		157,934
	10,200	AVIC Aircraft Co., Ltd., Class A Shares		22,883
	76,000	AviChina Industry & Technology Co., Ltd., Class H Shares(c)		39,636
	50,500	BAIC Motor Corp., Ltd., Class H Shares(b)(c)		28,240
	23,030	Baidu Inc., ADR*		2,405,944
	19,200	Bank of Beijing Co., Ltd., Class A Shares		14,073
	58,930	Bank of China Ltd., Class A Shares		29,045
	2,353,000	Bank of China Ltd., Class H Shares(c)		894,966

See Notes to Financial Statements.

135

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	China — 25.7% — (continued)
	39,800	Bank of Communications Co., Ltd., Class A Shares	$	30,065
	298,000	Bank of Communications Co., Ltd., Class H Shares(c)		194,254
	15,300	Bank of Jiangsu Co., Ltd., Class A Shares		14,271
	16,600	Bank of Nanjing Co., Ltd., Class A Shares		18,077
	6,800	Bank of Ningbo Co., Ltd., Class A Shares		21,682
	12,740	Bank of Shanghai Co., Ltd., Class A Shares		16,044
	30,184	Baoshan Iron & Steel Co., Ltd., Class A Shares		24,484
	109,227	Baozun Inc., ADR*(a)		4,998,228
	75,000	BBMG Corp., Class H Shares(c)		21,255
	5,200	BeiGene Ltd., ADR*		747,500
	54,000	Beijing Capital International Airport Co., Ltd., Class H Shares(c)		45,199
	3,900	Beijing Shiji Information Technology Co., Ltd., Class A Shares		18,509
	30,800	BOE Technology Group Co., Ltd., Class A Shares		15,734
	2,500	BYD Co., Ltd., Class A Shares		17,256
	18,500	BYD Co., Ltd., Class H Shares(a)(c)		95,325
	29,500	BYD Electronic International Co., Ltd.		35,142
	334,000	CGN Power Co., Ltd., Class H Shares(b)(c)		87,954
	35,000	China Aoyuan Group Ltd.		41,018
	5,300	China Avionics Systems Co., Ltd., Class A Shares		11,076
	255,000	China Cinda Asset Management Co., Ltd., Class H Shares(c)		52,812
	284,000	China CITIC Bank Corp., Ltd., Class H Shares(c)		148,189
	7,000	China Coal Energy Co., Ltd., Class H Shares(c)		2,771
	159,000	China Communications Construction Co., Ltd., Class H Shares(c)		123,012
	82,000	China Communications Services Corp., Ltd., Class H Shares(c)		45,667
	51,500	China Conch Venture Holdings Ltd.		171,211
	13,631,380	China Construction Bank Corp., Class H Shares(c)		10,077,887
	40,000	China Eastern Airlines Corp., Ltd., Class H Shares*(c)		18,709
	30,812	China Everbright Bank Co., Ltd., Class A Shares		16,176
	145,000	China Everbright Bank Co., Ltd., Class H Shares(c)		60,338
	56,000	China Evergrande Group		115,410
	3,770	China Fortune Land Development Co., Ltd., Class A Shares		14,041
	91,000	China Galaxy Securities Co., Ltd., Class H Shares(c)		43,148
	45,500	China Hongqiao Group Ltd.		29,688
	286,000	China Huarong Asset Management Co., Ltd., Class H Shares(b)(c)		44,713
	102,000	China Huishan Dairy Holdings Co., Ltd.*(e)(f)		221
	34,000	China International Capital Corp., Ltd., Class H Shares(b)(c)		58,436
	1,836	China International Travel Service Corp., Ltd., Class A Shares		24,453
	4,800	China Life Insurance Co., Ltd., Class A Shares		19,329
	221,000	China Life Insurance Co., Ltd., Class H Shares(c)		513,427
	8,600	China Literature Ltd.*(b)		26,217
	98,000	China Longyuan Power Group Corp., Ltd., Class H Shares(c)		53,772
	41,000	China Medical System Holdings Ltd.		50,885
	27,500	China Merchants Bank Co., Ltd., Class A Shares		131,587
	461,000	China Merchants Bank Co., Ltd., Class H Shares(c)		2,086,629
	7,100	China Merchants Securities Co., Ltd., Class A Shares		15,837
	6,420	China Merchants Shekou Industrial Zone Holdings Co., Ltd., Class A Shares		17,699
	55,920	China Minsheng Banking Corp., Ltd., Class A Shares		45,363
	192,700	China Minsheng Banking Corp., Ltd., Class H Shares(c)		126,500
	26,600	China Molybdenum Co., Ltd., Class A Shares		13,319
	108,000	China Molybdenum Co., Ltd., Class H Shares(a)(c)		29,175
	114,000	China National Building Material Co., Ltd., Class H Shares(c)		97,183
	18,900	China National Nuclear Power Co., Ltd., Class A Shares		14,223
	50,000	China Oilfield Services Ltd., Class H Shares(c)		61,627
	34,000	China Oriental Group Co., Ltd.		13,407
	10,500	China Pacific Insurance Group Co., Ltd., Class A Shares		55,397
	75,400	China Pacific Insurance Group Co., Ltd., Class H Shares(c)		300,514

See Notes to Financial Statements.

136

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	China — 25.7% — (continued)
	38,900	China Petroleum & Chemical Corp., Class A Shares	$	27,098
	768,000	China Petroleum & Chemical Corp., Class H Shares(c)		447,985
	21,599	China Railway Construction Corp., Ltd., Class A Shares		27,438
	60,500	China Railway Construction Corp., Ltd., Class H Shares(c)		65,132
	27,800	China Railway Group Ltd., Class A Shares		23,326
	118,000	China Railway Group Ltd., Class H Shares(c)		77,016
	66,000	China Railway Signal & Communication Corp., Ltd., Class H Shares(b)(c)		39,390
	193,000	China Reinsurance Group Corp., Class H Shares(c)		31,457
	54,000	China Resources Pharmaceutical Group Ltd.(b)		55,599
	6,299	China Shenhua Energy Co., Ltd., Class A Shares		16,467
	703,500	China Shenhua Energy Co., Ltd., Class H Shares(c)		1,369,925
	21,800	China Shipbuilding Industry Co., Ltd., Class A Shares		18,502
	9,100	China South Publishing & Media Group Co., Ltd., Class A Shares		15,606
	20,400	China Southern Airlines Co., Ltd., Class A Shares		18,706
	44,000	China Southern Airlines Co., Ltd., Class H Shares(c)		24,556
	1,100	China Spacesat Co., Ltd., Class A Shares		3,575
	60,140	China State Construction Engineering Corp., Ltd., Class A Shares		45,926
	430,000	China Telecom Corp., Ltd., Class H Shares(c)		192,175
	1,234,000	China Tower Corp., Ltd., Class H Shares(b)(c)		279,964
	45,400	China United Network Communications Ltd., Class A Shares		37,072
	15,600	China Vanke Co., Ltd., Class A Shares		56,181
	42,000	China Vanke Co., Ltd., Class H Shares(c)		144,566
	30,600	China Yangtze Power Co., Ltd., Class A Shares		79,556
	44,800	China Zhongwang Holdings Ltd.		18,330
	8,800	Chinese Universe Publishing & Media Group Co., Ltd., Class A Shares		15,405
	38,000	Chongqing Rural Commercial Bank Co., Ltd., Class H Shares(c)		18,332
	2,700	Chongqing Zhifei Biological Products Co., Ltd., Class A Shares		18,003
	84,000	CIFI Holdings Group Co., Ltd.		44,927
	15,100	CITIC Securities Co., Ltd., Class A Shares		47,030
	61,000	CITIC Securities Co., Ltd., Class H Shares(c)		108,535
	1,582,442	CNOOC Ltd.		2,347,341
	1,500	Contemporary Amperex Technology Co., Ltd., Class A Shares		15,120
	36,000	COSCO SHIPPING Energy Transportation Co., Ltd., Class H Shares(c)		20,300
	69,000	COSCO SHIPPING Holdings Co., Ltd., Class H Shares*(c)		24,539
	235,000	Country Garden Holdings Co., Ltd.		290,158
	40,000	Country Garden Services Holdings Co., Ltd.		115,272
	39,299	CRRC Corp., Ltd., Class A Shares		39,942
	129,000	CRRC Corp., Ltd., Class H Shares(c)		88,491
	144,000	CSPC Pharmaceutical Group Ltd.		286,298
	12,272	Ctrip.com International Ltd., ADR*		397,367
	59,000	Dali Foods Group Co., Ltd.(b)		39,248
	12,199	Daqin Railway Co., Ltd., Class A Shares		13,180
	88,000	Datang International Power Generation Co., Ltd., Class H Shares(c)		19,261
	15,500	DHC Software Co., Ltd., Class A Shares		14,820
	86,000	Dongfeng Motor Group Co., Ltd., Class H Shares(c)		79,542
	7,300	East Money Information Co., Ltd., Class A Shares		14,740
	182,800	ENN Energy Holdings Ltd.		2,079,943
	11,900	Focus Media Information Technology Co., Ltd., Class A Shares		8,920
	3,200	Foshan Haitian Flavouring & Food Co., Ltd., Class A Shares		51,227
	71,500	Fosun International Ltd.		91,546
	16,400	Founder Securities Co., Ltd., Class A Shares		15,176
	3,100	Foxconn Industrial Internet Co., Ltd., Class A Shares		6,149
	3,133,300	Fu Shou Yuan International Group Ltd.		3,027,134
	56,000	Future Land Development Holdings Ltd.(a)		44,081
	17,600	Fuyao Glass Industry Group Co., Ltd., Class H Shares(b)(c)		50,027
	44,300	GD Power Development Co., Ltd., Class A Shares		15,216

See Notes to Financial Statements.

137

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	China — 25.7% — (continued)
	1,684	GDS Holdings Ltd., ADR*	$	67,933
	9,300	Gemdale Corp., Class A Shares		14,579
	26,000	Genscript Biotech Corp.*		57,984
	8,200	GF Securities Co., Ltd., Class A Shares*		15,198
	31,800	GF Securities Co., Ltd., Class H Shares*(c)		32,500
	7,900	GoerTek Inc., Class A Shares		14,506
	313,000	GOME Retail Holdings Ltd.*(a)		28,288
	93,000	Great Wall Motor Co., Ltd., Class H Shares(c)		58,789
	2,799	Gree Electric Appliances Inc of Zhuhai, Class A Shares		21,682
	21,900	Greenland Holdings Corp., Ltd., Class A Shares		20,270
	32,000	Greentown Service Group Co., Ltd.		29,170
	30,000	Guanghui Energy Co., Ltd., Class A Shares		13,864
	35,000	Guangshen Railway Co., Ltd., Class A Shares		15,169
	9,400	Guangzhou Automobile Group Co., Ltd., Class A Shares		15,392
	72,000	Guangzhou Automobile Group Co., Ltd., Class H Shares(c)		72,170
	2,600	Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd., Class A Shares		13,392
	7,900	Guangzhou Haige Communications Group Inc. Co., Class A Shares		10,940
	25,200	Guangzhou R&F Properties Co., Ltd., Class H Shares(c)		40,426
	9,400	Guosen Securities Co., Ltd., Class A Shares		16,950
	7,400	Guotai Junan Securities Co., Ltd., Class A Shares		17,651
	29,600	Guotai Junan Securities Co., Ltd., Class H Shares(b)(c)		42,063
	11,000	Haidilao International Holding Ltd.(b)		50,955
	7,300	Haier Smart Home Co., Ltd., Class A Shares		16,202
	16,000	Haitian International Holdings Ltd.		29,978
	9,300	Haitong Securities Co., Ltd., Class A Shares		17,729
	84,800	Haitong Securities Co., Ltd., Class H Shares(c)		80,340
	13,800	Hangzhou Hikvision Digital Technology Co., Ltd., Class A Shares		59,537
	249,000	Hengan International Group Co., Ltd.		1,631,860
	10,778	Hengli Petrochemical Co., Ltd., Class A Shares		20,681
	292,000	HengTen Networks Group Ltd.*(a)		4,637
	10,600	Hengtong Optic-electric Co., Ltd., Class A Shares		21,178
	2,300	Hengyi Petrochemical Co., Ltd., Class A Shares		3,627
	43,300	Hesteel Co., Ltd., Class A Shares		15,477
	1,299	Hithink RoyalFlush Information Network Co., Ltd., Class A Shares		16,139
	14,000	Hua Hong Semiconductor Ltd.(b)		23,293
	46,000	Huadian Power International Corp., Ltd., Class H Shares(c)		17,939
	128,000	Huaneng Power International Inc., Class H Shares(c)		70,192
	140,000	Huaneng Renewables Corp., Ltd., Class H Shares(c)(e)(f)		38,824
	7,200	Huatai Securities Co., Ltd., Class A Shares		19,050
	48,200	Huatai Securities Co., Ltd., Class H Shares(b)(c)		69,816
	14,900	Huaxia Bank Co., Ltd., Class A Shares		15,056
	5,800	Huayu Automotive Systems Co., Ltd., Class A Shares		20,175
	39,218	Huazhu Group Ltd., ADR		1,295,371
	7,200	Hubei Energy Group Co., Ltd., Class A Shares		4,051
	1,600	Hundsun Technologies Inc., Class A Shares		16,590
	56,200	HUYA Inc., ADR*		1,416,240
	3,900	Iflytek Co., Ltd., Class A Shares*		17,909
	82,200	Industrial & Commercial Bank of China Ltd., Class A Shares		61,861
	1,923,000	Industrial & Commercial Bank of China Ltd., Class H Shares(c)		1,209,860
	30,100	Industrial Bank Co., Ltd., Class A Shares		72,146
	98,200	Inner Mongolia BaoTou Steel Union Co., Ltd., Class A Shares		20,565
	32,800	Inner Mongolia Junzheng Energy & Chemical Industry Group Co., Ltd., Class A Shares		13,506
	8,700	Inner Mongolia Yili Industrial Group Co., Ltd., Class A Shares		34,766
	40,100	Inner Mongolia Yitai Coal Co., Ltd., Class B Shares		35,679
	3,784	iQIYI Inc., ADR*(a)		69,209
	22,013	JD.com Inc., ADR*		671,397

See Notes to Financial Statements.

138

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	China — 25.7% — (continued)
	44,000	Jiangsu Expressway Co., Ltd., Class H Shares(c)	$	58,272
	6,240	Jiangsu Hengrui Medicine Co., Ltd., Class A Shares		69,737
	2,200	Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A Shares		34,369
	11,800	Jiangxi Copper Co., Ltd., Class A Shares		23,572
	29,000	Jiangxi Copper Co., Ltd., Class H Shares(c)		32,533
	7,800	Jointown Pharmaceutical Group Co., Ltd., Class A Shares		14,516
	55,000	Kaisa Group Holdings Ltd.		18,915
	81,000	Kingdee International Software Group Co., Ltd.		72,826
	27,000	Kingsoft Corp., Ltd.*		49,482
	17,264	Kweichow Moutai Co., Ltd., Class A Shares		2,752,206
	39,000	KWG Group Holdings Ltd.		33,811
	8,500	Legend Holdings Corp., Class H Shares(b)(c)		18,246
	204,000	Lenovo Group Ltd.		133,571
	59,500	Li Ning Co., Ltd.		174,697
	42,000	Logan Property Holdings Co., Ltd.		58,980
	55,000	Longfor Group Holdings Ltd.(b)		195,475
	4,600	LONGi Green Energy Technology Co., Ltd., Class A Shares		17,755
	6,630	Luxshare Precision Industry Co., Ltd., Class A Shares		22,641
	27,500	Luye Pharma Group Ltd.(b)		21,260
	1,600	Luzhou Laojiao Co., Ltd., Class A Shares		21,637
	33,400	Maanshan Iron & Steel Co., Ltd., Class A Shares		12,495
	52,000	Maanshan Iron & Steel Co., Ltd., Class H Shares(c)		19,446
	9,480	Meinian Onehealth Healthcare Holdings Co., Ltd., Class A Shares		16,410
	51,500	Meitu Inc.*(b)		12,925
	29,700	Meituan Dianping, Class B Shares*		280,520
	36,900	Metallurgical Corp. of China Ltd., Class A Shares		14,166
	82,000	Metallurgical Corp. of China Ltd., Class H Shares(c)		18,276
	4,700	Midea Group Co., Ltd., Class A Shares		34,620
	4,463	Momo Inc., ADR		164,149
	1,900	Muyuan Foodstuff Co., Ltd., Class A Shares		21,325
	5,900	NARI Technology Co., Ltd., Class A Shares		14,242
	21,020	NetEase Inc., ADR		5,360,100
	2,400	New China Life Insurance Co., Ltd., Class A Shares		16,154
	25,700	New China Life Insurance Co., Ltd., Class H Shares(c)		100,776
	6,400	New Hope Liuhe Co., Ltd., Class A Shares		17,429
	9,253	New Oriental Education & Technology Group Inc., ADR*		1,049,290
	20,753	NIO Inc., ADR*(a)		59,354
	897	Noah Holdings Ltd., ADR*		26,910
	11,300	Orient Securities Co., Ltd./China, Class A Shares		15,693
	10,800	Oriental Pearl Group Co., Ltd., Class A Shares		14,075
	256,000	People’s Insurance Co. Group of China Ltd., Class H Shares(c)		99,923
	21,700	PetroChina Co., Ltd., Class A Shares		18,562
	624,000	PetroChina Co., Ltd., Class H Shares(c)		307,210
	204,000	PICC Property & Casualty Co., Ltd., Class H Shares(c)		232,858
	5,607	Pinduoduo Inc., ADR*		183,741
	25,100	Ping An Bank Co., Ltd., Class A Shares		49,608
	96,000	Ping An Healthcare & Technology Co., Ltd., (Restricted, cost — $488,251, acquired 8/9/19)*(a)(b)(d)		565,976
	14,200	Ping An Insurance Group Co. of China Ltd., Class A Shares		173,068
	1,054,500	Ping An Insurance Group Co. of China Ltd., Class H Shares(c)		12,017,624
	18,000	Poly Developments & Holdings Group Co., Ltd., Class A Shares		33,794
	239,000	Postal Savings Bank of China Co., Ltd., Class H Shares(b)(c)		143,769
	22,300	Power Construction Corp. of China Ltd., Class A Shares		14,564
	7,700	Rongsheng Petro Chemical Co., Ltd., Class A Shares		11,663
	11,800	SAIC Motor Corp., Ltd., Class A Shares		41,314
	9,400	Sany Heavy Industry Co., Ltd., Class A Shares		17,674
	8,700	SDIC Capital Co., Ltd., Class A Shares		16,039

See Notes to Financial Statements.

139

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	China — 25.7% — (continued)
	12,700	SDIC Power Holdings Co., Ltd., Class A Shares	$	17,182
	3,100	Seazen Holdings Co., Ltd., Class A Shares		10,747
	90,200	Semiconductor Manufacturing International Corp.*(a)		98,747
	4,100	SF Holding Co., Ltd., Class A Shares		23,710
	12,300	Shaanxi Coal Industry Co., Ltd., Class A Shares		15,330
	68,000	Shandong Weigao Group Medical Polymer Co., Ltd., Class H Shares(c)		69,828
	36,900	Shanghai Electric Group Co., Ltd., Class A Shares		26,269
	4,800	Shanghai Fosun Pharmaceutical Group Co., Ltd., Class A Shares		18,526
	14,000	Shanghai Fosun Pharmaceutical Group Co., Ltd., Class H Shares(c)		41,395
	2,000	Shanghai International Airport Co., Ltd., Class A Shares		23,465
	17,999	Shanghai International Port Group Co., Ltd., Class A Shares		14,417
	32,520	Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd., Class B Shares		36,449
	29,000	Shanghai Pharmaceuticals Holding Co., Ltd., Class H Shares(c)		54,686
	42,300	Shanghai Pudong Development Bank Co., Ltd., Class A Shares		66,613
	48,700	Shenwan Hongyuan Group Co., Ltd., Class A Shares		32,495
	700	Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A Shares		18,209
	15,200	Shenzhen Overseas Chinese Town Co., Ltd., Class A Shares		14,449
	120,000	Shenzhou International Group Holdings Ltd.		1,621,561
	104,000	Shui On Land Ltd.		21,521
	96,000	Sihuan Pharmaceutical Holdings Group Ltd.		16,991
	1,870	SINA Corp.*		76,988
	12,200	Sinolink Securities Co., Ltd., Class A Shares		14,949
	106,000	Sino-Ocean Group Holding Ltd.		37,761
	37,500	Sinopec Engineering Group Co., Ltd., Class H Shares(c)		24,449
	88,000	Sinopec Shanghai Petrochemical Co., Ltd., Class H Shares(c)		25,292
	37,200	Sinopharm Group Co., Ltd., Class H Shares(c)		134,057
	58,000	Sinotrans Ltd., Class H Shares(c)		18,642
	20,000	Sinotruk Hong Kong Ltd.		30,710
	52,500	SOHO China Ltd.		15,376
	75,000	Sunac China Holdings Ltd.		298,541
	9,100	Suning.com Co., Ltd., Class A Shares		13,643
	21,100	Sunny Optical Technology Group Co., Ltd.		289,092
	11,133	TAL Education Group, ADR*		396,669
	35,700	TCL Corp., Class A Shares		16,045
	390,031	Tencent Holdings Ltd.		16,062,401
	41,719	Tencent Music Entertainment Group, ADR*(a)		554,863
	60,000	Tingyi Cayman Islands Holding Corp.		82,293
	16,000	Tong Ren Tang Technologies Co., Ltd., Class H Shares(c)		17,353
	3,700	Transfar Zhilian Co., Ltd., Class A Shares		3,796
	30,000	TravelSky Technology Ltd., Class H Shares(c)		60,009
	14,000	Tsingtao Brewery Co., Ltd., Class H Shares(c)		94,051
	20,800	Tunghsu Optoelectronic Technology Co., Ltd., Class A Shares		13,210
	37,000	Uni-President China Holdings Ltd.		41,062
	13,167	Vipshop Holdings Ltd., ADR*		110,208
	4,700	Wanhua Chemical Group Co., Ltd., Class A Shares		29,330
	157,000	Want Want China Holdings Ltd.		121,747
	1,770	Weibo Corp., ADR*		73,225
	11,600	Weichai Power Co., Ltd., Class A Shares		18,746
	1,964,200	Weichai Power Co., Ltd., Class H Shares(c)		2,989,515
	7,500	Wens Foodstuffs Group Co., Ltd., Class A Shares		43,413
	11,400	Western Securities Co., Ltd., Class A Shares		14,226
	5,400	Wuliangye Yibin Co., Ltd., Class A Shares		106,655
	2,300	WuXi AppTec Co., Ltd., Class A Shares		27,835
	4,600	WuXi AppTec Co., Ltd., Class H Shares(b)(c)		51,394
	17,000	Wuxi Biologics Cayman Inc.*(b)		178,383
	233,400	Xiaomi Corp., Class B Shares*(b)		252,891

See Notes to Financial Statements.

140

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	China — 25.7% — (continued)
	10,200	Xinjiang Goldwind Science & Technology Co., Ltd., Class A Shares	$	18,439
	16,982	Xinjiang Goldwind Science & Technology Co., Ltd., Class H Shares(c)		19,936
	96,000	Xinyi Solar Holdings Ltd.		60,346
	58,000	Yanzhou Coal Mining Co., Ltd., Class H Shares(c)		50,040
	30,000	Yifeng Pharmacy Chain Co., Ltd., Class A Shares		320,666
	58,000	Yihai International Holding Ltd.*		346,380
	11,000	Yonghui Superstores Co., Ltd., Class A Shares		15,126
	4,100	Yonyou Network Technology Co., Ltd., Class A Shares		18,351
	10,735	Yum China Holdings Inc.		487,691
	3,200	Yunda Holding Co., Ltd., Class A Shares		16,405
	1,400	Yunnan Baiyao Group Co., Ltd., Class A Shares		14,992
	48,000	Yuzhou Properties Co., Ltd.		20,138
	1,609	YY Inc., ADR*		91,954
	27,000	Zhaojin Mining Industry Co., Ltd., Class H Shares(c)		35,657
	29,400	Zhejiang China Commodities City Group Co., Ltd., Class A Shares		15,636
	6,400	Zhejiang Dahua Technology Co., Ltd., Class A Shares		14,341
	36,000	Zhejiang Expressway Co., Ltd., Class H Shares(c)		30,053
	7,900	Zhejiang Longsheng Group Co., Ltd., Class A Shares		15,379
	8,100	ZhongAn Online P&C Insurance Co., Ltd., Class H Shares*(a)(b)(c)		18,196
	11,600	Zhongjin Gold Corp., Ltd., Class A Shares		15,866
	16,500	Zhongsheng Group Holdings Ltd.		51,380
	17,900	Zhuzhou CRRC Times Electric Co., Ltd., Class H Shares(c)		71,027
	30,500	Zijin Mining Group Co., Ltd., Class A Shares		15,637
	200,000	Zijin Mining Group Co., Ltd., Class H Shares(c)		75,048
	6,400	ZTE Corp., Class A Shares*		25,725
	19,000	ZTE Corp., Class H Shares*(c)		46,811
	9,384	ZTO Express Cayman Inc., ADR		192,466
		Total China		126,535,193
	Colombia — 0.1%
	7,032	Bancolombia SA		80,847
	16,471	Cementos Argos SA		36,744
	144,135	Ecopetrol SA		114,717
	10,526	Grupo Argos SA		55,035
	7,067	Grupo de Inversiones Suramericana SA		68,768
	11,971	Interconexion Electrica SA ESP		63,217
		Total Colombia		419,328
	Czech Republic — 0.1%
	4,436	CEZ AS		97,698
	2,334	Komercní Banka AS		82,789
	15,820	Moneta Money Bank AS(b)		51,204
		Total Czech Republic		231,691
	Egypt — 1.3%
	1,744,492	Cleopatra Hospital*		661,704
	984,629	Commercial International Bank Egypt SAE, Class Registered Shares, GDR		4,578,882
	38,937	Commercial International Bank Egypt SAE		189,388
	22,745	Eastern Co. SAE		21,190
	21,328	ElSewedy Electric Co.		17,999
	1,244,156	Juhayna Food Industries		745,140
		Total Egypt		6,214,303
	Georgia — 0.4%
	86,700	Bank of Georgia Group PLC		1,437,388
	61,700	Georgia Capital PLC*		749,070
		Total Georgia		2,186,458

See Notes to Financial Statements.

141

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	Germany — 0.5%
	46,600	Delivery Hero SE, (Restricted, cost — $1,952,024, acquired 2/26/19)*(b)(d)	$	2,353,804
	Greece — 0.1%
	44,403	Alpha Bank AE*		79,315
	76,270	Eurobank Ergasias SA*		67,336
	1,594	FF Group*(e)(f)		18
	6,598	Hellenic Telecommunications Organization SA		87,991
	3,378	JUMBO SA		64,840
	2,000	Motor Oil Hellas Corinth Refineries SA		48,857
	16,299	National Bank of Greece SA*		47,130
	7,444	OPAP SA		78,433
		Total Greece		473,920
	Hong Kong — 3.4%
	124,000	Alibaba Health Information Technology Ltd.*		116,930
	440,000	Alibaba Pictures Group Ltd.*		72,085
	177,800	ASM Pacific Technology Ltd.		2,029,069
	13,000	Beijing Enterprises Holdings Ltd.		61,772
	3,491,500	Beijing Enterprises Water Group Ltd.*		1,826,533
	92,000	Bosideng International Holdings Ltd.		31,442
	96,000	Brilliance China Automotive Holdings Ltd.		101,399
	60,000	China Agri-Industries Holdings Ltd.		16,868
	24,000	China Ding Yi Feng Holdings Ltd.(e)(f)		337
	1,084,000	China Education Group Holdings Ltd., (Restricted, cost — $1,675,275, acquired 3/22/19)(a)(d)		1,607,280
	106,888	China Everbright International Ltd.		83,506
	24,000	China Everbright Ltd.		27,293
	84,000	China First Capital Group Ltd.*		32,078
	55,600	China Gas Holdings Ltd.		229,093
	156,000	China Jinmao Holdings Group Ltd.		86,680
	81,000	China Mengniu Dairy Co., Ltd.*		320,244
	53,538	China Merchants Port Holdings Co., Ltd.		83,330
	183,000	China Mobile Ltd.		1,513,123
	56,937	China Mobile Ltd., ADR		2,352,067
	114,000	China Overseas Land & Investment Ltd.		358,930
	92,000	China Power International Development Ltd.		19,904
	44,000	China Resources Beer Holdings Co., Ltd.		248,849
	76,000	China Resources Cement Holdings Ltd.		67,093
	28,000	China Resources Gas Group Ltd.		138,313
	82,000	China Resources Land Ltd.		331,570
	60,000	China Resources Power Holdings Co., Ltd.		79,166
	66,000	China State Construction International Holdings Ltd.		59,331
	48,800	China Taiping Insurance Holdings Co., Ltd.		109,219
	72,000	China Traditional Chinese Medicine Holdings Co., Ltd.		33,669
	184,000	China Unicom Hong Kong Ltd.		182,467
	176,000	CITIC Ltd.		207,779
	46,000	COSCO SHIPPING Ports Ltd.		40,160
	70,000	Far East Horizon Ltd.		62,478
	407,400	Galaxy Entertainment Group Ltd.		2,537,783
	154,000	Geely Automobile Holdings Ltd.		236,418
	88,000	Guangdong Investment Ltd.		185,140
	37,000	Haier Electronics Group Co., Ltd.		95,821
	1,651	Hutchison China MediTech Ltd., ADR*		35,975
	17,500	Kingboard Holdings Ltd.		40,794
	31,000	Kingboard Laminates Holdings Ltd.		24,330
	106,000	Kunlun Energy Co., Ltd.		92,045
	49,000	Lee & Man Paper Manufacturing Ltd.		25,856
	54,000	Nine Dragons Paper Holdings Ltd.		40,752

See Notes to Financial Statements.

142

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	Hong Kong — 3.4% — (continued)
	12,000	Shanghai Industrial Holdings Ltd.	$	23,339
	26,000	Shenzhen International Holdings Ltd.		49,053
	80,000	Shenzhen Investment Ltd.		30,234
	32,500	Shimao Property Holdings Ltd.		91,416
	202,500	Sino Biopharmaceutical Ltd.		299,368
	50,000	SSY Group Ltd.		43,933
	76,500	Sun Art Retail Group Ltd.		74,018
	30,000	Towngas China Co., Ltd.*		20,710
	196,000	Yuexiu Property Co., Ltd.		42,087
		Total Hong Kong		16,519,129
	Hungary — 1.0%
	12,471	MOL Hungarian Oil & Gas PLC		121,964
	116,215	OTP Bank Nyrt		4,624,804
	4,013	Richter Gedeon Nyrt		66,950
		Total Hungary		4,813,718
	India — 10.0%
	15,996	Adani Ports & Special Economic Zone Ltd.		81,610
	18,748	Ambuja Cements Ltd.		52,947
	38,179	Ashok Leyland Ltd.		34,368
	8,651	Asian Paints Ltd.		196,023
	7,984	Aurobindo Pharma Ltd.		67,403
	3,592	Avenue Supermarts Ltd., Class A Shares*(b)		79,149
	256,131	Axis Bank Ltd.		2,382,782
	38,598	Bajaj Auto Ltd.		1,503,260
	5,087	Bajaj Finance Ltd.		236,657
	1,172	Bajaj Finserv Ltd.		116,672
	6,110	Bharat Forge Ltd.		32,893
	255,613	Bharat Petroleum Corp., Ltd.		1,271,615
	60,439	Bharti Airtel Ltd.		293,169
	91,279	Bharti Infratel Ltd.		318,537
	224	Bosch Ltd.		45,030
	1,355	Britannia Industries Ltd.		51,309
	574,400	Cholamandalam Investment & Finance Co., Ltd.		2,172,057
	10,212	Cipla Ltd.		67,612
	410,241	Coal India Ltd.		1,058,285
	6,095	Container Corp. Of India Ltd.		43,472
	17,075	Dabur India Ltd.		106,997
	2,337	Divi’s Laboratories Ltd.		53,670
	3,476	Dr Reddy’s Laboratories Ltd.		124,453
	361	Eicher Motors Ltd.		81,942
	48,168	GAIL India Ltd.		87,923
	3,495	Glenmark Pharmaceuticals Ltd.		18,919
	9,201	Godrej Consumer Products Ltd.		78,458
	6,770	Grasim Industries Ltd.		67,266
	476,446	GRUH Finance Ltd.		1,710,167
	7,396	Havells India Ltd.		70,423
	148,472	HCL Technologies Ltd.		2,285,529
	113,500	HDFC Bank Ltd.		3,538,424
	38,520	HDFC Bank Ltd., ADR		4,152,456
	14,501	HDFC Life Insurance Co., Ltd.(b)		112,812
	56,838	Hero MotoCorp Ltd.		2,028,435
	36,951	Hindalco Industries Ltd.		95,149
	17,094	Hindustan Petroleum Corp., Ltd.		62,147
	19,412	Hindustan Unilever Ltd.		511,081

See Notes to Financial Statements.

143

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	India — 10.0% — (continued)
	48,840	Housing Development Finance Corp., Ltd.	$	1,478,181
	69,019	ICICI Bank Ltd.		396,833
	4,471	ICICI Lombard General Insurance Co., Ltd.(b)		78,044
	8,567	Indiabulls Housing Finance Ltd.		54,042
	52,879	Indian Oil Corp., Ltd.		90,407
	102,975	Infosys Ltd.		1,173,448
	160,700	Infosys Ltd., ADR		1,846,443
	2,780	InterGlobe Aviation Ltd.(b)		65,531
	103,814	ITC Ltd.		356,531
	26,301	JSW Steel Ltd.		79,988
	14,771	Larsen & Toubro Ltd.		274,438
	1,634,423	Lemon Tree Hotels Ltd., (Restricted, cost — $1,316,598, acquired 8/29/19)*(b)(d)		1,241,058
	9,402	LIC Housing Finance Ltd.		56,004
	5,248	Lupin Ltd.		54,578
	10,185	Mahindra & Mahindra Financial Services Ltd.		45,505
	22,086	Mahindra & Mahindra Ltd.		163,670
	12,963	Marico Ltd.		71,013
	3,100	Maruti Suzuki India Ltd.		264,409
	28,021	Motherson Sumi Systems Ltd.		38,354
	734	Nestle India Ltd.		132,428
	67,310	NTPC Ltd.		114,814
	82,986	Oberoi Realty Ltd.		659,858
	777,695	Oil & Natural Gas Corp., Ltd.		1,317,407
	169	Page Industries Ltd.		44,139
	17,509	Petronet LNG Ltd.		65,408
	172,000	Phoenix Mills Ltd.		1,680,510
	3,802	Pidilite Industries Ltd.		73,241
	2,660	Piramal Enterprises Ltd.		76,145
	53,682	Power Grid Corp. of India Ltd.		151,092
	59,900	Quess Corp., Ltd., (Restricted, cost — $880,093, acquired 2/1/18)*(b)(d)		397,438
	24,982	REC Ltd.		50,664
	158,015	Reliance Industries Ltd.		2,769,671
	175	Shree Cement Ltd.		45,513
	4,900	Shriram Transport Finance Co., Ltd.		66,073
	54,749	State Bank of India*		209,096
	26,194	Sun Pharmaceutical Industries Ltd.		165,679
	131,703	Tata Consultancy Services Ltd.		4,161,079
	47,880	Tata Motors Ltd.*		77,834
	25,911	Tata Power Co., Ltd.		20,532
	10,143	Tata Steel Ltd.		49,058
	13,080	Tech Mahindra Ltd.		127,350
	129,566	Titan Co., Ltd.		1,995,833
	2,906	UltraTech Cement Ltd.		164,262
	6,785	United Spirits Ltd.*		60,042
	143,706	UPL Ltd.		1,131,882
	56,784	Vedanta Ltd.		110,906
	179,029	Vodafone Idea Ltd.*		13,518
	37,398	Wipro Ltd.		132,890
	51,506	Yes Bank Ltd.		43,651
	14,789	Zee Entertainment Enterprises Ltd.		77,741
		Total India		49,305,332
	Indonesia — 3.4%
	482,500	Adaro Energy Tbk PT		38,158
	4,721,200	Astra International Tbk PT		2,215,365
	287,900	Bank Central Asia Tbk PT		617,041

See Notes to Financial Statements.

144

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	Indonesia — 3.4% — (continued)
	6,539,624	Bank Mandiri Persero Tbk PT	$	3,328,251
	211,400	Bank Negara Indonesia Persero Tbk PT		114,297
	10,260,200	Bank Rakyat Indonesia Persero Tbk PT		3,076,429
	128,800	Bank Tabungan Negara Persero Tbk PT		18,085
	9,720,000	Bank Tabungan Pensiunan Nasional Syariah Tbk PT*		2,205,775
	911,500	Barito Pacific Tbk PT		57,966
	73,600	Bukit Asam Tbk PT		12,776
	223,800	Bumi Serpong Damai Tbk PT*		21,216
	231,100	Charoen Pokphand Indonesia Tbk PT		81,575
	14,300	Gudang Garam Tbk PT		70,018
	242,700	Hanjaya Mandala Sampoerna Tbk PT		45,900
	77,100	Indah Kiat Pulp & Paper Corp. Tbk PT		37,041
	57,500	Indocement Tunggal Prakarsa Tbk PT		87,688
	69,500	Indofood CBP Sukses Makmur Tbk PT		58,958
	137,000	Indofood Sukses Makmur Tbk PT		76,305
	54,967	Jasa Marga Persero Tbk PT		21,633
	715,400	Kalbe Farma Tbk PT		85,070
	42,400	Pabrik Kertas Tjiwi Kimia Tbk PT		29,604
	615,200	Pakuwon Jati Tbk PT		27,681
	365,400	Perusahaan Gas Negara Tbk PT		49,351
	663,200	Semen Indonesia Persero Tbk PT		616,482
	254,800	Surya Citra Media Tbk PT		22,110
	1,465,187	Telekomunikasi Indonesia Persero Tbk PT		460,251
	98,350	Telekomunikasi Indonesia Persero Tbk PT, ADR		3,090,157
	46,700	Unilever Indonesia Tbk PT		160,475
	53,300	United Tractors Tbk PT		78,501
		Total Indonesia		16,804,159
	Kenya — 0.3%
	5,624,000	Safaricom PLC		1,525,902
	Kuwait — 0.3%
	127,000	Humansoft Holding Co. KSC		1,339,922
	Luxembourg — 0.2%
	4,430	Reinet Investments SCA		74,011
	63,000	Ternium SA, ADR		1,112,580
		Total Luxembourg		1,186,591
	Malaysia — 1.3%
	46,100	AirAsia Group Bhd		19,595
	25,600	Alliance Bank Malaysia Bhd		18,259
	46,100	AMMB Holdings Bhd		45,970
	77,700	Axiata Group Bhd		93,285
	150,253	British American Tobacco Malaysia Bhd		704,059
	148,207	CIMB Group Holdings Bhd		178,144
	111,600	Dialog Group Bhd		92,205
	88,700	DiGi.Com Bhd		105,761
	5,500	Fraser & Neave Holdings Bhd		46,130
	56,200	Gamuda Bhd		48,061
	57,500	Genting Bhd		81,919
	80,300	Genting Malaysia Bhd		59,808
	5,900	Genting Plantations Bhd		14,030
	20,100	HAP Seng Consolidated Bhd		47,334
	37,200	Hartalega Holdings Bhd		45,303
	21,000	Hong Leong Bank Bhd		82,731
	7,300	Hong Leong Financial Group Bhd		29,232
	65,500	IHH Healthcare Bhd		90,002

See Notes to Financial Statements.

145

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	Malaysia — 1.3% — (continued)
	86,800	IJM Corp. Bhd	$	46,931
	56,900	IOI Corp. Bhd		59,575
	13,100	Kuala Lumpur Kepong Bhd		74,614
	117,809	Malayan Banking Bhd		243,219
	1,251,400	Malaysia Airports Holdings Bhd		2,443,980
	61,600	Maxis Bhd		81,439
	36,500	MISC Bhd		62,817
	1,700	Nestle Malaysia Bhd		59,585
	72,500	Petronas Chemicals Group Bhd		119,273
	9,000	Petronas Dagangan Bhd		48,935
	16,500	Petronas Gas Bhd		63,089
	16,700	PPB Group Bhd		74,043
	37,500	Press Metal Aluminium Holdings Bhd		43,790
	93,100	Public Bank Bhd		448,996
	21,000	QL Resources Bhd		34,558
	36,700	RHB Bank Bhd		49,692
	77,200	Sime Darby Bhd		41,955
	63,200	Sime Darby Plantation Bhd		74,519
	77,100	Sime Darby Property Bhd		16,108
	59,600	SP Setia Bhd Group		22,077
	28,900	Telekom Malaysia Bhd		25,737
	94,300	Tenaga Nasional Bhd		312,654
	41,500	Top Glove Corp. Bhd		46,807
	34,300	Westports Holdings Bhd		34,244
	76,350	YTL Corp. Bhd		18,134
		Total Malaysia		6,348,599
	Mexico — 3.1%
	100,440	Alfa SAB de CV, Class A Shares		86,052
	13,753	Alsea SAB de CV*		29,371
	230,562	América Móvil SAB de CV, Class L Shares, ADR		3,370,816
	990,755	América Móvil SAB de CV, Series L		724,741
	13,112	Arca Continental SAB de CV		68,586
	45,845	Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand		58,264
	446,111	Cemex SAB de CV, Class Preferred Shares		166,728
	16,529	Coca-Cola Femsa SAB de CV		98,048
	4,605	El Puerto de Liverpool SAB de CV, Class C1 Shares		23,888
	95,065	Fibra Uno Administracion SA de CV, REIT		131,633
	56,609	Fomento Economico Mexicano SAB de CV		517,791
	6,096	Gruma SAB de CV, Class B Shares		56,769
	10,336	Grupo Aeroportuario del Pacifico SAB de CV, Class B Shares		98,260
	6,186	Grupo Aeroportuario del Sureste SAB de CV, Class B Shares		91,097
	52,666	Grupo Bimbo SAB de CV, Series A		91,951
	14,300	Grupo Carso SAB de CV, Series A1		41,264
	77,345	Grupo Financiero Banorte SAB de CV, Class O Shares		417,351
	67,892	Grupo Financiero Inbursa SAB de CV, Class O Shares		83,675
	556,045	Grupo México SAB de CV, Series B		1,280,455
	76,127	Grupo Televisa SAB		135,002
	4,192	Industrias Peñoles SAB de CV		50,411
	17,432	Infraestructura Energetica Nova SAB de CV*		73,483
	808,606	Kimberly-Clark de México SAB de CV, Class A Shares*		1,658,294
	7,978	Megacable Holdings SAB de CV		32,643
	31,079	Mexichem SAB de CV		56,914
	6,730	Promotora y Operadora de Infraestructura SAB de CV		56,175
	636,000	Qualitas Controladora SAB de CV		2,136,724
	391,100	Regional SAB de CV		1,768,458

See Notes to Financial Statements.

146

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	Mexico — 3.1% — (continued)
	762,080	Unifin Financiera SAB de CV SOFOM ENR	$	1,340,045
	157,865	Wal-Mart de Mexico SAB de CV		447,894
		Total Mexico		15,192,783
	Pakistan — 0.2%
	429,935	Habib Bank Ltd.		299,904
	18,657	MCB Bank Ltd.		20,006
	60,930	Oil & Gas Development Co., Ltd.		40,502
	895,658	Pakistan Petroleum Ltd.		591,919
		Total Pakistan		952,331
	Peru — 0.2%
	7,015	Cia de Minas Buenaventura SAA, ADR		106,909
	3,756	Credicorp Ltd.		777,943
	2,647	Southern Copper Corp.		83,645
		Total Peru		968,497
	Philippines — 2.5%
	66,680	Aboitiz Equity Ventures Inc.		68,864
	43,300	Aboitiz Power Corp.		31,556
	110,700	Alliance Global Group Inc.		26,940
	9,100	Ayala Corp.		161,446
	4,728,410	Ayala Land Inc.		4,285,702
	32,088	Bank of the Philippine Islands		54,115
	57,324	BDO Unibank Inc.		163,862
	13,836,900	Bloomberry Resorts Corp.		2,740,289
	101,900	DMCI Holdings Inc.		17,677
	1,235	Globe Telecom Inc.		48,111
	2,800	GT Capital Holdings Inc.		48,728
	1,017,750	International Container Terminal Services Inc.		2,648,199
	93,810	JG Summit Holdings Inc.		129,354
	14,790	Jollibee Foods Corp.		67,392
	6,170	Manila Electric Co.		43,169
	434,000	Megaworld Corp.		42,662
	419,500	Metro Pacific Investments Corp.		39,808
	48,811	Metropolitan Bank & Trust Co.		66,310
	2,430	PLDT Inc.		54,923
	55,056	PLDT Inc., ADR		1,221,693
	52,523	Robinsons Land Corp.		25,185
	6,820	Security Bank Corp.		26,667
	6,990	SM Investments Corp.		137,721
	262,200	SM Prime Holdings Inc.		177,389
	29,910	Universal Robina Corp.		99,607
		Total Philippines		12,427,369
	Poland — 0.5%
	3,151	Alior Bank SA*		31,961
	19,087	Bank Millennium SA*		31,951
	4,804	Bank Polska Kasa Opieki SA		117,443
	607	CCC SA		18,775
	2,033	CD Projekt SA		129,098
	6,856	Cyfrowy Polsat SA		50,117
	1,497	Dino Polska SA*(b)		57,806
	3,061	Grupa Lotos SA		66,194
	516	Jastrzebska Spolka Weglowa SA		3,850
	4,374	KGHM Polska Miedz SA*		85,965
	21,966	KRUK SA		915,831

See Notes to Financial Statements.

147

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	Poland — 0.5% — (continued)
	32	LPP SA	$	59,694
	397	mBank SA*		32,147
	20,391	Orange Polska SA*		32,599
	27,259	PGE Polska Grupa Energetyczna SA*		52,708
	8,934	Polski Koncern Naftowy ORLEN SA		203,231
	56,283	Polskie Gornictwo Naftowe i Gazownictwo SA		66,977
	26,665	Powszechna Kasa Oszczednosci Bank Polski SA		262,243
	18,317	Powszechny Zaklad Ubezpieczen SA		172,045
	1,017	Santander Bank Polska SA		77,916
		Total Poland		2,468,551
	Qatar — 0.3%
	58,133	Barwa Real Estate Co.		54,297
	56,283	Commercial Bank PSQC		73,567
	54,230	Industries Qatar QSC		162,059
	112,186	Masraf Al Rayan QSC		111,765
	99,714	Mesaieed Petrochemical Holding Co.		77,757
	25,890	Ooredoo QPSC		49,762
	17,496	Qatar Electricity & Water Co. QSC		72,477
	15,190	Qatar Fuel QSC		90,088
	54,830	Qatar Insurance Co. SAQ		47,122
	35,454	Qatar Islamic Bank SAQ		153,827
	133,297	Qatar National Bank QPSC		701,046
		Total Qatar		1,593,767
	Romania — 0.0%
	11,940	NEPI Rockcastle PLC		105,785
	Russia — 5.3%
	1,988,019	Alrosa PJSC		2,213,176
	318,503	Gazprom PJSC		1,108,481
	269,618	Gazprom PJSC, ADR		1,861,726
	1,166,615	Inter RAO UES PJSC		75,029
	11,845	Lukoil PJSC		955,251
	30,245	Lukoil PJSC, ADR		2,446,216
	92,733	Magnit PJSC, Class Registered Shares, GDR		1,225,514
	28,480	Magnit PJSC, Class Registered Shares, GDR*		376,078
	86,461	Magnitogorsk Iron & Steel Works PJSC		54,229
	1,969	MMC Norilsk Nickel PJSC		474,885
	285,314	Mobile TeleSystems PJSC, ADR		2,291,071
	51,000	Moscow Exchange MICEX-RTS PJSC		72,343
	2,746	Novatek PJSC, Class Registered Shares, GDR		533,177
	39,466	Novolipetsk Steel PJSC		88,063
	4,722	PhosAgro PJSC, Class Registered Shares, GDR		61,049
	6,301	Polymetal International PLC		91,125
	547	Polyus PJSC		62,855
	27,023	Rosneft Oil Co. PJSC		164,860
	1,619,399	Sberbank of Russia PJSC		5,442,897
	235,419	Sberbank of Russia PJSC, ADR		3,232,145
	7,269	Severstal PJSC		109,277
	245,966	Surgutneftegas PJSC		101,219
	46,219	Tatneft PJSC		514,888
	92,960,626	VTB Bank PJSC		53,917
	3,497	X5 Retail Group NV, Class Registered Shares, GDR		120,514
	68,920	Yandex NV, Class A Shares*		2,556,932
		Total Russia		26,286,917

See Notes to Financial Statements.

148

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	Saudi Arabia — 0.9%
	2,671	Advanced Petrochemical Co.	$	39,897
	36,210	Al Rajhi Bank		584,748
	21,848	Alinma Bank		128,245
	7,528	Almarai Co. JSC		99,459
	10,770	Bank AlBilad		75,292
	12,294	Bank Al-Jazira		44,261
	16,032	Banque Saudi Fransi		149,858
	759	Bupa Arabia for Cooperative Insurance Co.		20,924
	1,797	Co. for Cooperative Insurance*		31,718
	16,229	Dar Al Arkan Real Estate Development Co.*		50,030
	12,531	Emaar Economic City*		33,416
	11,243	Etihad Etisalat Co.*		74,545
	1,698	Jarir Marketing Co.		70,354
	12,700	Leejam Sports Co. JSC		263,782
	35,611	National Commercial Bank		452,519
	9,889	National Industrialization Co.*		36,029
	6,566	Rabigh Refining & Petrochemical Co.*		34,711
	35,593	Riyad Bank		243,126
	10,666	Sahara International Petrochemical Co.		51,422
	29,154	Samba Financial Group		223,193
	1,171	Saudi Airlines Catering Co.		27,297
	4,851	Saudi Arabian Fertilizer Co.		102,185
	12,349	Saudi Arabian Mining Co.*		145,867
	22,126	Saudi Basic Industries Corp.		589,142
	10,922	Saudi British Bank		93,358
	2,168	Saudi Cement Co.		36,186
	24,559	Saudi Electricity Co.		134,246
	6,611	Saudi Industrial Investment Group		38,443
	22,288	Saudi Kayan Petrochemical Co.*		62,410
	11,837	Saudi Telecom Co.		312,519
	7,899	Savola Group*		65,766
	6,603	Yanbu National Petrochemical Co.		94,393
		Total Saudi Arabia		4,409,341
	Singapore — 0.0%
	6,000	BOC Aviation Ltd.(b)		51,989
	South Africa — 6.1%
	22,022	Absa Group Ltd.		222,642
	805,700	Advtech Ltd.		589,062
	1,416	Anglo American Platinum Ltd.		86,880
	11,755	AngloGold Ashanti Ltd.		267,544
	10,071	Aspen Pharmacare Holdings Ltd.		52,254
	10,547	Bid Corp., Ltd.		225,973
	111,131	Bidvest Group Ltd.		1,308,411
	1,307	Capitec Bank Holdings Ltd.		94,338
	7,661	Clicks Group Ltd.		100,426
	12,911	Discovery Ltd.		98,020
	7,496	Exxaro Resources Ltd.		67,313
	101,653	FirstRand Ltd.		401,643
	39,637	Fortress REIT Ltd., Class A Shares		55,158
	7,928	Foschini Group Ltd.		78,654
	25,996	Gold Fields Ltd.		153,799
	79,517	Growthpoint Properties Ltd., REIT		120,461
	37,514	Imperial Logistics Ltd.		136,089
	8,314	Investec Ltd.		43,895
	1,756	Kumba Iron Ore Ltd.		45,489

See Notes to Financial Statements.

149

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	South Africa — 6.1% — (continued)
	4,363	Liberty Holdings Ltd.(a)	$	31,514
	838,752	Life Healthcare Group Holdings Ltd.		1,261,239
	26,001	Momentum Metropolitan Holdings		28,179
	112,792	Motus Holdings Ltd.		556,707
	8,026	Mr Price Group Ltd.		90,709
	49,987	MTN Group Ltd.		337,798
	13,547	MultiChoice Group*		118,888
	49,768	Naspers Ltd., Class N Shares		11,330,703
	91,868	Nedbank Group Ltd.		1,367,467
	35,908	Netcare Ltd.		38,556
	145,742	Old Mutual Ltd.		174,697
	13,023	Pick n Pay Stores Ltd.		49,623
	678,697	PPC Ltd.*		178,083
	4,079	PSG Group Ltd.		53,878
	20,832	Rand Merchant Investment Holdings Ltd.		40,653
	146,274	Redefine Properties Ltd., REIT		75,669
	13,794	Remgro Ltd.		156,058
	24,733	RMB Holdings Ltd.		116,394
	335,000	Sanlam Ltd.		1,605,073
	14,753	Sappi Ltd.		43,956
	16,421	Sasol Ltd.		311,473
	188,189	Shoprite Holdings Ltd.		1,400,612
	6,132	SPAR Group Ltd.		70,212
	157,312	Standard Bank Group Ltd.		1,836,929
	7,837	Telkom SA SOC Ltd.		41,112
	4,394	Tiger Brands Ltd.		60,516
	1,926,173	Transaction Capital Ltd.		2,807,959
	13,988	Truworths International Ltd.		48,495
	225,614	Vodacom Group Ltd.		1,712,650
	28,803	Woolworths Holdings Ltd.		104,634
		Total South Africa		30,198,487
	South Korea — 9.0%
	976	Amorepacific Corp.		104,807
	981	AMOREPACIFIC Group		47,675
	233	BGF retail Co., Ltd.		39,113
	8,650	BNK Financial Group Inc.		47,880
	1,538	Celltrion Healthcare Co., Ltd.*		56,459
	2,724	Celltrion Inc.*		353,197
	477	Celltrion Pharm Inc.*		13,038
	2,195	Cheil Worldwide Inc.		47,875
	218	CJ CheilJedang Corp.		41,115
	488	CJ Corp.		32,853
	353	CJ ENM Co., Ltd.		46,912
	248	CJ Logistics Corp.*		29,297
	950	Daelim Industrial Co., Ltd.		76,440
	1,962	Daewoo Engineering & Construction Co., Ltd.*		6,761
	1,129	Daewoo Shipbuilding & Marine Engineering Co., Ltd.*		25,380
	1,408	DB Insurance Co., Ltd.		55,621
	1,233	Doosan Bobcat Inc.		36,518
	674	E-MART Inc.		64,413
	1,475	Fila Korea Ltd.		69,688
	1,746	GS Engineering & Construction Corp.		46,732
	1,329	GS Holdings Corp.		52,699
	684	GS Retail Co., Ltd.		21,869
	9,106	Hana Financial Group Inc.		244,135

See Notes to Financial Statements.

150

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	South Korea — 9.0% — (continued)
	2,119	Hankook Tire & Technology Co., Ltd.	$	50,900
	185	Hanmi Pharm Co., Ltd.		42,751
	325	Hanmi Science Co., Ltd.		10,949
	5,435	Hanon Systems		52,083
	3,358	Hanwha Chemical Corp.		47,986
	823	Hanwha Corp.		16,611
	149,443	Hanwha Life Insurance Co., Ltd.		312,653
	755	HDC Hyundai Development Co-Engineering & Construction, Class E Shares		22,359
	539	Helixmith Co., Ltd.*		81,433
	1,098	HLB Inc.*(a)		38,270
	1,026	Hotel Shilla Co., Ltd.		66,783
	403	Hyundai Department Store Co., Ltd.		25,968
	2,491	Hyundai Engineering & Construction Co., Ltd.		84,825
	569	Hyundai Glovis Co., Ltd.		75,132
	330	Hyundai Heavy Industries Holdings Co., Ltd.		90,199
	1,535	Hyundai Marine & Fire Insurance Co., Ltd.		30,325
	14,005	Hyundai Mobis Co., Ltd.		2,875,042
	4,655	Hyundai Motor Co.		494,129
	2,277	Hyundai Steel Co.		70,010
	7,803	Industrial Bank of Korea		79,936
	1,570	Kakao Corp.		174,198
	3,485	Kangwon Land Inc.		81,257
	80,830	KB Financial Group Inc.		2,647,594
	123	KCC Corp.		22,913
	7,881	Kia Motors Corp.		284,479
	9,100	Koh Young Technology Inc.		575,966
	2,035	Korea Aerospace Industries Ltd.		66,057
	7,576	Korea Electric Power Corp.		159,903
	714	Korea Gas Corp.		23,035
	1,278	Korea Investment Holdings Co., Ltd.		76,326
	1,137	Korea Shipbuilding & Offshore Engineering Co., Ltd.*		103,315
	258	Korea Zinc Co., Ltd.		92,714
	1,192	Korean Air Lines Co., Ltd.		21,828
	21,523	KT&G Corp.		1,813,718
	672	Kumho Petrochemical Co., Ltd.		39,020
	1,311	LG Chem Ltd.		357,166
	2,934	LG Corp.		172,588
	7,331	LG Display Co., Ltd.		84,828
	3,166	LG Electronics Inc.		159,970
	288	LG Household & Health Care Ltd.		280,508
	336	LG Innotek Co., Ltd.		27,334
	3,523	LG Uplus Corp.		38,418
	517	Lotte Chemical Corp.		96,091
	904	Lotte Corp.		24,836
	312	Lotte Shopping Co., Ltd.		34,969
	148	Medy-Tox Inc.		42,835
	8,685	Meritz Securities Co., Ltd.		34,112
	12,449	Mirae Asset Daewoo Co., Ltd.		76,498
	4,186	NAVER Corp.		505,674
	490	NCSoft Corp.		217,217
	740	Netmarble Corp.*(b)		57,586
	3,693	NH Investment & Securities Co., Ltd.		37,517
	582	OCI Co., Ltd.		31,924
	996	Orange Life Insurance Ltd.(b)		22,137
	609	Orion Corp.		45,330
	19	Ottogi Corp.		8,954

See Notes to Financial Statements.

151

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	South Korea — 9.0% — (continued)
	6,901	Pan Ocean Co., Ltd.*	$	27,630
	177	Pearl Abyss Corp.*		28,467
	2,315	POSCO		402,702
	706	POSCO Chemical Co., Ltd.		30,733
	1,129	Posco International Corp.		17,114
	519	S-1 Corp.		43,309
	526	Samsung Biologics Co., Ltd.*(a)(b)		116,882
	2,597	Samsung C&T Corp.		185,361
	865	Samsung Card Co., Ltd.		23,661
	1,776	Samsung Electro-Mechanics Co., Ltd.(a)		130,712
	347,766	Samsung Electronics Co., Ltd.		12,639,974
	4,498	Samsung Engineering Co., Ltd.*		57,592
	938	Samsung Fire & Marine Insurance Co., Ltd.		177,231
	13,465	Samsung Heavy Industries Co., Ltd.*		85,971
	2,175	Samsung Life Insurance Co., Ltd.		122,277
	17,253	Samsung SDI Co., Ltd.		3,545,418
	1,034	Samsung SDS Co., Ltd.		167,418
	2,009	Samsung Securities Co., Ltd.		58,438
	100,125	Shinhan Financial Group Co., Ltd.		3,368,855
	241	Shinsegae Inc.		45,817
	1,818	SillaJen Inc.*(a)		15,765
	1,065	SK Holdings Co., Ltd.		175,579
	91,400	SK Hynix Inc.		5,843,197
	1,639	SK Innovation Co., Ltd.		223,397
	580	SK Telecom Co., Ltd.		114,745
	1,393	S-Oil Corp.		111,256
	27,658	Woongjin Coway Co., Ltd.		1,923,993
	13,570	Woori Financial Group Inc.		133,080
	246	Yuhan Corp.		46,516
		Total South Korea		44,530,726
	Spain — 0.6%
	127,271	CIE Automotive SA		2,951,781
	Switzerland — 0.2%
	22,000	Wizz Air Holdings PLC, (Restricted, cost — $430,056, acquired 7/21/16)*(b)(d)		963,620
	Taiwan — 6.2%
	72,000	Acer Inc.		39,467
	11,799	Advantech Co., Ltd.		100,497
	4,000	Airtac International Group*		41,222
	106,498	ASE Technology Holding Co., Ltd.		243,046
	60,000	Asia Cement Corp.		82,220
	23,000	Asustek Computer Inc.		149,673
	267,000	AU Optronics Corp.		69,400
	248,000	Catcher Technology Co., Ltd.		1,741,246
	225,000	Cathay Financial Holding Co., Ltd.		288,245
	35,662	Chailease Holding Co., Ltd.		141,524
	168,418	Chang Hwa Commercial Bank Ltd.		108,376
	54,000	Cheng Shin Rubber Industry Co., Ltd.		75,817
	17,130	Chicony Electronics Co., Ltd.		48,175
	67,000	China Airlines Ltd.		19,720
	404,000	China Development Financial Holding Corp.		117,193
	89,390	China Life Insurance Co., Ltd.*		69,965
	341,000	China Steel Corp.		251,630
	395,900	Chroma ATE Inc.		1,917,271
	111,000	Chunghwa Telecom Co., Ltd.		386,178

See Notes to Financial Statements.

152

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	Taiwan — 6.2% — (continued)
	139,000	Compal Electronics Inc.	$	79,601
	553,880	CTBC Financial Holding Co., Ltd.		359,634
	61,000	Delta Electronics Inc.		284,980
	318,394	E.Sun Financial Holding Co., Ltd.		256,424
	5,100	Eclat Textile Co., Ltd.		62,402
	104,689	Eva Airways Corp.		47,277
	61,223	Evergreen Marine Corp. Taiwan Ltd.*		25,091
	85,000	Far Eastern New Century Corp.		77,292
	50,000	Far EasTone Telecommunications Co., Ltd.		116,819
	9,100	Feng TAY Enterprise Co., Ltd.		59,321
	303,105	First Financial Holding Co., Ltd.		207,773
	105,000	Formosa Chemicals & Fibre Corp.		295,131
	36,000	Formosa Petrochemical Corp.		111,625
	132,000	Formosa Plastics Corp.		395,687
	15,000	Formosa Taffeta Co., Ltd.		16,270
	31,230	Foxconn Technology Co., Ltd.		63,163
	201,000	Fubon Financial Holding Co., Ltd.		279,959
	7,000	Giant Manufacturing Co., Ltd.		48,777
	7,000	Globalwafers Co., Ltd.		64,246
	19,000	Highwealth Construction Corp.		30,017
	7,938	Hiwin Technologies Corp.		64,311
	1,154,660	Hon Hai Precision Industry Co., Ltd.		2,732,072
	10,000	Hotai Motor Co., Ltd.		141,149
	245,791	Hua Nan Financial Holdings Co., Ltd.		156,462
	275,000	Innolux Corp.		61,576
	79,000	Inventec Corp.		54,218
	2,541	Largan Precision Co., Ltd.		314,950
	61,264	Lite-On Technology Corp.		97,657
	47,000	MediaTek Inc.		550,552
	332,000	Mega Financial Holding Co., Ltd.		304,580
	22,000	Micro-Star International Co., Ltd.		58,804
	154,000	Nan Ya Plastics Corp.		338,062
	30,000	Nanya Technology Corp.		67,140
	5,000	Nien Made Enterprise Co., Ltd.		43,833
	17,000	Novatek Microelectronics Corp.		100,620
	63,000	Pegatron Corp.		105,211
	4,000	Phison Electronics Corp.		36,792
	59,000	Pou Chen Corp.		73,687
	17,000	Powertech Technology Inc.		40,707
	177,660	Poya International Co., Ltd.		2,362,103
	16,539	President Chain Store Corp.		154,136
	76,000	Quanta Computer Inc.		136,529
	16,000	Realtek Semiconductor Corp.		109,641
	16,120	Ruentex Development Co., Ltd.*		21,887
	4,400	Ruentex Industries Ltd.*		9,781
	101,000	Shanghai Commercial & Savings Bank Ltd.		163,475
	311,787	Shin Kong Financial Holding Co., Ltd.		91,483
	332,846	SinoPac Financial Holdings Co., Ltd.		125,660
	5,629	Standard Foods Corp.		11,161
	35,700	Synnex Technology International Corp.		42,145
	121,000	TaiMed Biologics Inc.*		562,918
	324,575	Taishin Financial Holding Co., Ltd.		138,765
	126,156	Taiwan Business Bank		49,506
	132,265	Taiwan Cement Corp.		162,023
	275,527	Taiwan Cooperative Financial Holding Co., Ltd.		175,625
	60,000	Taiwan High Speed Rail Corp.		72,498

See Notes to Financial Statements.

153

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	Taiwan — 6.2% — (continued)
	48,000	Taiwan Mobile Co., Ltd.	$	171,596
	1,283,132	Taiwan Semiconductor Manufacturing Co., Ltd.		10,595,794
	57,000	Tatung Co., Ltd.*		30,634
	148,000	Uni-President Enterprises Corp.		361,697
	343,000	United Microelectronics Corp.		147,127
	23,000	Vanguard International Semiconductor Corp.		47,069
	11,000	Walsin Technology Corp.		55,352
	10,000	Win Semiconductors Corp.		82,955
	84,000	Winbond Electronics Corp.		45,610
	73,361	Wistron Corp.		58,370
	48,760	WPG Holdings Ltd.		61,704
	8,188	Yageo Corp.		59,216
	299,000	Yuanta Financial Holding Co., Ltd.		172,132
	14,000	Zhen Ding Technology Holding Ltd.		51,708
		Total Taiwan		30,445,037
	Thailand — 2.4%
	33,400	Advanced Info Service PCL, NVDR		252,570
	128,800	Airports of Thailand PCL, NVDR		301,847
	16,300	Bangkok Bank PCL, Class Registered Shares		91,173
	279,800	Bangkok Dusit Medical Services PCL, NVDR(a)		215,093
	215,400	Bangkok Expressway & Metro PCL, NVDR		78,559
	132,800	Banpu PCL, NVDR		54,992
	34,400	Berli Jucker PCL, NVDR		60,802
	220,700	BTS Group Holdings PCL, NVDR		97,130
	15,700	Bumrungrad Hospital PCL, NVDR		70,938
	67,000	Central Pattana PCL, NVDR		146,790
	112,900	Charoen Pokphand Foods PCL, NVDR		108,548
	773,900	CP ALL PCL, NVDR		2,118,407
	7,700	Electricity Generating PCL, NVDR		84,355
	52,500	Energy Absolute PCL, NVDR		80,772
	17,300	Gulf Energy Development PCL, NVDR		81,675
	187,100	Home Product Center PCL, NVDR		109,833
	47,600	Indorama Ventures PCL, NVDR		54,414
	64,400	Intouch Holdings PCL, NVDR		134,072
	404,900	IRPC PCL, NVDR		52,671
	291,800	Kasikornbank PCL		1,522,582
	23,000	Kasikornbank PCL, NVDR		120,017
	110,000	Krung Thai Bank PCL, NVDR		61,679
	226,700	Land and Houses PCL, NVDR		79,716
	87,700	Minor International PCL, NVDR		108,558
	19,800	Muangthai Capital PCL, NVDR		35,412
	41,400	PTT Exploration & Production PCL, NVDR		167,797
	66,200	PTT Global Chemical PCL, NVDR		114,763
	329,800	PTT PCL, NVDR		475,012
	30,400	Ratch Group PCL, NVDR		72,904
	14,600	Robinson PCL, NVDR		30,604
	93,300	Siam Cement PCL, Class Registered Shares		1,249,486
	23,200	Siam Cement PCL, NVDR		314,683
	25,700	Siam Commercial Bank PCL, NVDR		103,219
	165,000	Srisawad Corp. PCL		300,466
	1,147,374	Srisawad Corp. PCL, NVDR		2,078,400
	700,000	Thai Beverage PCL		453,230
	34,300	Thai Oil PCL, NVDR		75,610
	92,400	Thai Union Group PCL, NVDR		52,445
	383,200	TMB Bank PCL, NVDR		19,470

See Notes to Financial Statements.

154

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Shares/Units		Security	Value
	Thailand — 2.4% — (continued)
	20,200	Total Access Communication PCL, NVDR	$	40,464
	336,600	True Corp. PCL, NVDR(a)		68,868
		Total Thailand		11,740,026
	Turkey — 2.1%
	80,422	Akbank T.A.S.*		95,819
	5,229	Anadolu Efes Biracilik Ve Malt Sanayii AS		22,967
	5,951	Arcelik AS*		17,456
	8,922	Aselsan Elektronik Sanayi Ve Ticaret AS		27,953
	221,491	AvivaSA Emeklilik ve Hayat AS		339,476
	12,116	BIM Birlesik Magazalar AS		97,786
	41,908	Eregli Demir ve Celik Fabrikalari TAS		46,192
	1,793	Ford Otomotiv Sanayi AS		18,075
	27,526	Haci Ömer Sabanci Holding AS		41,435
	638,617	KOC Holding AS		1,916,520
	792,066	MLP Saglik Hizmetleri AS, (Restricted, cost — $2,280,100, acquired 2/7/18), Class B Shares*(b)(d)		1,886,365
	882,254	Sok Marketler Ticaret AS*		1,596,091
	4,165	TAV Havalimanlari Holding AS		16,871
	428,100	Tofas Turk Otomobil Fabrikasi AS		1,298,326
	121,820	Tüpras Türkiye Petrol Rafinerileri AS		2,634,521
	14,117	Turk Hava Yollari AO*		27,383
	29,724	Turkcell Iletisim Hizmetleri AS		65,996
	68,320	Türkiye Garanti Bankasi AS*		104,427
	46,584	Turkiye Is Bankasi AS, Class C Shares*		44,063
	31,208	Türkiye Sise ve Cam Fabrikalari AS		23,212
		Total Turkey		10,320,934
	United Arab Emirates — 0.7%
	80,337	Abu Dhabi Commercial Bank PJSC		190,066
	113,653	Aldar Properties PJSC		69,345
	5,248	DP World PLC		73,479
	52,710	Dubai Islamic Bank PJSC		73,475
	21,467	Emaar Development PJSC		24,018
	67,240	Emaar Malls PJSC		35,494
	95,193	Emaar Properties PJSC		128,305
	55,294	Emirates Telecommunications Group Co. PJSC		254,479
	82,601	First Abu Dhabi Bank PJSC		343,414
	78,200	NMC Health PLC(a)		2,382,465
		Total United Arab Emirates		3,574,540
	United Kingdom — 0.2%
	58,264	Mondi PLC		1,134,108
	United States — 0.3%
	86,600	Laureate Education Inc., Class A Shares*		1,584,780
	25,000	Nexteer Automotive Group Ltd.		19,338
		Total United States		1,604,118
	Uruguay — 0.1%
	180,860	Biotoscana Investments SA BDR*		394,318
		TOTAL COMMON STOCKS (Cost — $410,596,057)		474,166,134
	PREFERRED STOCKS — 1.5%
	Brazil — 1.2%
	118,660	Banco Bradesco SA, Class Preferred Shares		944,008
	4,801	Braskem SA, Class Preferred A Shares*		32,712
	7,736	Centrais Eletricas Brasileiras SA, Class Preferred B Shares		87,694

See Notes to Financial Statements.

155

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Shares/Units			Security	Value
	Brazil — 1.2% — (continued)
	4,986		Cia Brasileira de Distribuicao, Class Preferred Shares	$	105,408
	28,731		Cia Energetica de Minas Gerais, Class Preferred Shares		102,389
	31,169		Gerdau SA, Class Preferred Shares		96,854
	407,153		Itaú Unibanco Holding SA, Class Preferred Shares		3,336,457
	130,984		Itausa — Investimentos Itau SA, Class Preferred Shares		388,675
	21,975		Lojas Americanas SA, Class Preferred Shares		99,376
	121,509		Petroleo Brasileiro SA, Class Preferred Shares		748,109
	13,071		Telefonica Brasil SA, Class Preferred Shares		169,378
			Total Brazil		6,111,060
	Chile — 0.0%
	10,869		Embotelladora Andina SA, Class Preferred B Shares		32,703
	3,692		Sociedad Quimica y Minera de Chile SA, Class Preferred B Shares		91,052
			Total Chile		123,755
	Colombia — 0.1%
	13,625		Bancolombia SA, Class Preferred Shares		169,152
	137,550		Grupo Aval Acciones y Valores SA, Class Preferred Shares		51,342
	3,430		Grupo de Inversiones Suramericana SA, Class Preferred Shares		30,806
			Total Colombia		251,300
	Russia — 0.0%
	212,363		Surgutneftegas PJSC, Class Preferred Shares		102,657
	13		Transneft PJSC, Class Preferred Shares		29,311
			Total Russia		131,968
	South Korea — 0.2%
	108		Amorepacific Corp., Class Preferred Shares		6,441
	723		Hyundai Motor Co., Class Preferred 2nd Shares		51,607
	565		Hyundai Motor Co., Class Preferred Shares		35,471
	303		LG Chem Ltd., Class Preferred Shares		45,056
	55		LG Household & Health Care Ltd., Class Preferred Shares		32,985
	24,763		Samsung Electronics Co., Ltd., Class Preferred Shares		753,808
			Total South Korea		925,368
			TOTAL PREFERRED STOCKS (Cost — $6,279,650)		7,543,451
	RIGHTS — 0.0%
	Brazil — 0.0%
	762		B2W Cia Digital*		1,507
	Chile — 0.0%
	8,559		Enel Americas SA*(f)		37
	China — 0.0%
	1,176		Legend Holdings Corp.*(f)		2,529
			TOTAL RIGHTS (Cost — $564)		4,073
Face Amount†
	CORPORATE BOND & NOTE — 0.0%
	India — 0.0%
	1,355	INR	Britannia Industries Ltd., Senior Secured Notes, 8.000% due 8/28/22 (Cost — $565)		19
			TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $416,876,836)		481,713,677

See Notes to Financial Statements.

156

Schedules of Investments

(continued)

Emerging Markets Equity Fund
Face Amount†			Security	Value
	SHORT-TERM INVESTMENTS (g) — 3.3%
	MONEY MARKET FUND — 1.6%
$	8,218,833		Invesco STIT — Government & Agency Portfolio, 1.998%, Institutional Class(h) (Cost — $8,218,833)	$	8,218,833
	TIME DEPOSITS — 1.7%
			BBH — Grand Cayman:
	10	GBP	0.370% due 9/2/19		12
	153,394	HKD	0.750% due 9/2/19		19,563
	1	SGD	0.940% due 9/2/19		1
	277	ZAR	5.460% due 9/2/19		18
			BNP Paribas — Paris:
	21,759	EUR	(0.580)% due 9/2/19		23,915
	561,047	HKD	0.750% due 9/2/19		71,554
	338,245	ZAR	5.460% due 9/2/19		22,300
	1,456,797		Citibank — New York, 1.490% due 9/3/19		1,456,797
	6,626,479		JPMorgan Chase & Co. — New York, 1.490% due 9/3/19		6,626,479
			TOTAL TIME DEPOSITS (Cost — $8,220,639)		8,220,639
			TOTAL SHORT-TERM INVESTMENTS (Cost — $16,439,472)		16,439,472
			TOTAL INVESTMENTS — 101.1% (Cost — $433,316,308)		498,153,149
			Liabilities in Excess of Other Assets — (1.1)%		(5,601,064	)
			TOTAL NET ASSETS — 100.0%	$	492,552,085

† 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. The aggregate value of restricted 144A holdings at August 31, 2019 amounts to approximately $14,203,452 and represents 2.9% of net assets.

(c) Security trades on the Hong Kong exchange.

(d) The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2019 amounts to approximately $13,261,712 and represents 2.7% of net assets.

(e) Illiquid security.

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

(g) Inclusive of all short-term holdings, including investment of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 1.7%.

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

At August 31, 2019, for Emerging Markets Equity Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:

Fund	Aggregate Cost For Federal Income Tax Purposes		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation
Emerging Markets Equity Fund	$	443,669,451	$	118,120,198	$	(63,708,966	)	$	54,411,232

See Notes to Financial Statements.

157

Schedules of Investments

(continued)

Emerging Markets Equity Fund

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

Summary of Investments by Security Sector^
Financials
Banks	18.4	%
Insurance	5.6
Consumer Finance	2.1
Other Financials	1.5
Consumer Discretionary	18.1
Information Technology	12.3
Communication Services	11.0
Industrials	6.6
Energy	5.6
Consumer Staples	5.6
Materials	4.5
Health Care	3.1
Real Estate	2.2
Utilities	1.7
Short-Term Investments	1.7
	100.0	%+

^ As a percentage of total investments.

+ Does not reflect investments of collateral received from securities lending transactions.

At August 31, 2019, Emerging Markets Equity Fund had open exchange-traded futures contracts as described below.

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

Open Futures Contracts	Number of Contracts		Expiration Date (Month/Year)		Notional Amount		Market Value		Unrealized Depreciation
Contracts to Buy:
MSCI Emerging Markets E-mini Index September Futures		30		9/19	$	1,548,466	$	1,476,000	$	(72,466)

At August 31, 2019, Emerging Markets Equity Fund had deposited cash of $78,994 with a broker or brokers as margin collateral on an open exchange-traded futures contract.

Currency Abbreviations used in this schedule:
EUR	— Euro
GBP	— British Pound
HKD	— Hong Kong Dollar
INR	— Indian Rupee
SGD	— Singapore Dollar
ZAR	— South African Rand

See Notes to Financial Statements.

158

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	CORPORATE BONDS & NOTES — 28.6%
	Advertising — 0.0%
$	54,000	B-	Clear Channel International BV, Company Guaranteed Notes, 8.750% due 12/15/20(a)	$	55,181
			Interpublic Group of Cos., Inc. (The), Senior Unsecured Notes:
	40,000	BBB	3.500% due 10/1/20		40,556
	25,000	BBB	3.750% due 10/1/21		25,692
			Total Advertising		121,429
	Aerospace/Defense — 0.8%
			BAE Systems Holdings Inc., Company Guaranteed Notes:
	105,000	BBB	2.850% due 12/15/20(a)		105,661
	145,000	BBB	3.800% due 10/7/24(a)		154,005
	600,000	BBB	3.850% due 12/15/25(a)		635,853
			Boeing Co. (The), Senior Unsecured Notes:
	50,000	A	3.100% due 5/1/26		52,874
	70,000	A	2.700% due 2/1/27		71,987
	60,000	A	2.800% due 3/1/27		61,955
	260,000	A	3.200% due 3/1/29		277,050
	360,000	A	3.250% due 2/1/35		383,012
	35,000	A	3.375% due 6/15/46		35,971
	100,000	A	3.750% due 2/1/50		111,427
	25,000	A	3.825% due 3/1/59		27,331
	430,000	A+	General Dynamics Corp., Company Guaranteed Notes, 3.750% due 5/15/28		485,127
			L3 Technologies Inc., Company Guaranteed Notes:
	350,000	BBB	3.850% due 6/15/23		368,943
	35,000	BBB	3.950% due 5/28/24		36,717
	320,000	BBB	3.850% due 12/15/26		331,815
			L3Harris Technologies Inc., Senior Unsecured Notes:
	945,000	BBB	4.400% due 6/15/28		1,069,882
	415,000	BBB	4.400% due 6/15/28(a)		469,842
	128,000	BBB	5.054% due 4/27/45		163,473
			Lockheed Martin Corp., Senior Unsecured Notes:
	30,000	A-	3.100% due 1/15/23		31,153
	370,000	A-	2.900% due 3/1/25		385,909
	170,000	A-	3.550% due 1/15/26		184,512
	125,000	A-	3.600% due 3/1/35		137,900
	40,000	A-	4.500% due 5/15/36		48,577
	35,000	A-	4.070% due 12/15/42		41,317
	80,000	A-	3.800% due 3/1/45		91,175
	1,000	A-	4.090% due 9/15/52		1,208
			Northrop Grumman Corp., Senior Unsecured Notes:
	80,000	BBB	2.080% due 10/15/20		80,066
	981,000	BBB	2.930% due 1/15/25		1,016,031
	892,000	BBB	3.250% due 1/15/28		948,141
	50,000	BBB	3.850% due 4/15/45		56,125
	110,000	BBB	4.030% due 10/15/47		127,684
			Raytheon Co., Senior Unsecured Notes:
	40,000	A+	7.200% due 8/15/27		53,880
	24,000	A+	7.000% due 11/1/28		32,225
	52,000	A+	4.700% due 12/15/41		66,061
	55,000	A+	4.200% due 12/15/44		66,422
			Rockwell Collins Inc., Senior Unsecured Notes:
	40,000	BBB+	3.100% due 11/15/21		40,751
	20,000	BBB+	2.800% due 3/15/22		20,353
	395,000	BBB-	Spirit AeroSystems Inc., Company Guaranteed Notes, 3.950% due 6/15/23		410,739

See Notes to Financial Statements.

159

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Aerospace/Defense — 0.8% — (continued)
			United Technologies Corp., Senior Unsecured Notes:
$	555,000	BBB+	3.350% due 8/16/21	$	569,279
	150,000	BBB+	1.950% due 11/1/21		149,957
	120,000	BBB+	3.950% due 8/16/25		131,900
	140,000	BBB+	4.125% due 11/16/28		160,279
	90,000	BBB+	4.500% due 6/1/42		108,805
	35,000	BBB+	3.750% due 11/1/46		38,905
			Total Aerospace/Defense		9,842,279
	Agriculture — 0.5%
			Altria Group Inc., Company Guaranteed Notes:
	130,000	BBB	4.750% due 5/5/21		135,658
	60,000	BBB	3.490% due 2/14/22		62,003
	70,000	BBB	3.800% due 2/14/24		74,184
	250,000	BBB	4.400% due 2/14/26		274,275
	585,000	BBB	4.800% due 2/14/29		661,736
	260,000	BBB	5.800% due 2/14/39		321,305
	172,000	BBB	5.375% due 1/31/44		203,727
	765,000	BBB	5.950% due 2/14/49		983,512
	145,000	BBB	6.200% due 2/14/59		186,702
			BAT Capital Corp., Company Guaranteed Notes:
	784,000	BBB+	3.557% due 8/15/27		803,968
	555,000	BBB+	4.540% due 8/15/47		557,458
	205,000	BBB+	BAT International Finance PLC, Company Guaranteed Notes, 3.950% due 6/15/25(a)		217,439
			Philip Morris International Inc., Senior Unsecured Notes:
	240,000	A	1.875% due 11/1/19		239,848
	190,000	A	2.900% due 11/15/21		193,185
	110,000	A	2.500% due 11/2/22		111,255
	60,000	A	4.500% due 3/20/42		68,283
			Reynolds American Inc., Company Guaranteed Notes:
	61,000	BBB+	3.250% due 6/12/20		61,470
	50,000	BBB+	4.000% due 6/12/22		52,302
	80,000	BBB+	4.450% due 6/12/25		86,649
	565,000	BBB+	5.850% due 8/15/45		637,040
	105,000	BBB+	RJ Reynolds Tobacco Co., Company Guaranteed Notes, 6.875% due 5/1/20		108,027
			Total Agriculture		6,040,026
	Airlines — 0.2%
	53,133	Aa3(b)	Air Canada Class AA Pass-Through Trust, Pass-Thru Certificates, 3.300% due 1/15/30(a)		55,700
	28,800	BBB+	Air Canada Class B Pass-Through Trust, Pass-Thru Certificates, 5.000% due 12/15/23(a)		30,208
	198,644	A-	American Airlines Class A Pass-Through Trust, Series 2013-2, Pass-Thru Certificates, 4.950% due 1/15/23		209,370
	77,500	BBB	American Airlines Class A Pass-Through Trust, Series 2016-2, Pass-Thru Certificates, 4.375% due 6/15/24(a)		80,484
	26,967	Baa3(b)	American Airlines Class A Pass-Through Trust, Series 2017-2, Pass-Thru Certificates, 3.700% due 10/15/25		27,307
	43,754	AA	American Airlines Class AA Pass-Through Trust, Series 2015-2, Pass-Thru Certificates, 3.600% due 9/22/27		46,451
	49,112	AA+	American Airlines Class AA Pass-Through Trust, Series 2016-2, Pass-Thru Certificates, 3.200% due 6/15/28		51,182
	104,049	AA+	American Airlines Class AA Pass-Through Trust, Series 2016-3, Pass-Thru Certificates, 3.000% due 10/15/28		107,470
	42,060	Aa3(b)	American Airlines Class AA Pass-Through Trust, Series 2017-1, Pass-Thru Certificates, 3.650% due 2/15/29		45,421
	35,943	Aa3(b)	American Airlines Class AA Pass-Through Trust, Series 2017-2, Pass-Thru Certificates, 3.350% due 10/15/29		37,564

See Notes to Financial Statements.

160

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Airlines — 0.2% — (continued)
$	197,839	BBB	American Airlines Class B Pass-Through Trust, Series 2013-1, Pass-Thru Certificates, 5.625% due 1/15/21(a)	$	202,459
	1,214	BBB	American Airlines Class B Pass-Through Trust, Series 2014-1, Pass-Thru Certificates, 4.375% due 10/1/22		1,245
	15,981	BBB	American Airlines Class B Pass-Through Trust, Series 2015-1, Pass-Thru Certificates, 3.700% due 5/1/23		16,203
	139,028	BBB-	American Airlines Class B Pass-Through Trust, Series 2015-2, Pass-Thru Certificates, 4.400% due 9/22/23		144,631
	62,268	BBB-	American Airlines Class B Pass-Through Trust, Series 2016-1, Pass-Thru Certificates, 5.250% due 1/15/24		66,779
	867	BBB	American Airlines Class B Pass-Through Trust, Series 2016-3, Pass-Thru Certificates, 3.750% due 10/15/25		894
	21,249	Baa3(b)	American Airlines Class B Pass-Through Trust, Series 2017-1, Pass-Thru Certificates, 4.950% due 2/15/25		22,646
	223,000	A-	British Airways 2019-1 Class A Pass-Through Trust, Pass-Thru Certificates, 3.350% due 6/15/29(a)		228,006
	19,036	A+	Continental Airlines Inc. Class A-1 Pass-Through Trust, Series 1999-2, Pass-Thru Certificates, 7.256% due 3/15/20		19,607
	392	BBB	Continental Airlines Inc. Class B Pass-Through Trust, Series 2012-1, Pass-Thru Certificates, 6.250% due 4/11/20		398
	290,561	AAA	Delta Air Lines Class A Pass-Through Trust, Series 2009-1, Pass-Thru Certificates, 7.750% due 12/17/19		294,767
	54,000	BB+	Delta Air Lines Inc., Senior Unsecured Notes, 3.625% due 3/15/22		55,517
	242,674	BBB-	Northwest Airlines Inc. Class A-1 Pass-Through Trust, Series 2001-1, Pass-Thru Certificates, 7.041% due 4/1/22		264,094
	45,000	BBB+	Southwest Airlines Co., Senior Unsecured Notes, 2.750% due 11/16/22		45,742
			United Airlines Class AA Pass-Through Trust, Pass-Thru Certificates:
	35,908	AA+	3.450% due 12/1/27		37,980
	4,472	Aa3(b)	3.100% due 7/7/28		4,702
	48,797	Aa3(b)	2.875% due 10/7/28		49,959
	19,652	Aa3(b)	3.500% due 3/1/30		20,844
	65,000	Aa3(b)	4.150% due 8/25/31		73,066
			United Airlines Class B Pass-Through Trust, Pass-Thru Certificates:
	3,173	BBB	4.750% due 4/11/22		3,271
	9,416	BBB	4.625% due 9/3/22		9,747
	5,229	Baa2(b)	3.650% due 10/7/25		5,324
	7,844	Baa2(b)	3.650% due 1/7/26		8,034
	3,492	BBB-	US Airways Class B Pass-Through Trust, Series 2012-2, Pass-Thru Certificates, 6.750% due 6/3/21		3,688
	11,928	BBB-	US Airways Class B Pass-Through Trust, Series 2013-1, Pass-Thru Certificates, 5.375% due 11/15/21		12,468
	130,598	A+	US Airways Class G Pass-Through Trust, Series 2001-1, Pass-Thru Certificates, 7.076% due 3/20/21		136,629
			Total Airlines		2,419,857
	Apparel — 0.0%
			Hanesbrands Inc., Company Guaranteed Notes:
	10,000	BB-	4.625% due 5/15/24(a)		10,512
	70,000	BB-	4.875% due 5/15/26(a)		74,143
			Total Apparel		84,655
	Auto Manufacturers — 0.7%
	65,000	A	American Honda Finance Corp., Senior Unsecured Notes, 2.900% due 2/16/24		67,444
			BMW US Capital LLC, Company Guaranteed Notes:
	30,000	A+	1.850% due 9/15/21(a)		29,797
	20,000	A+	2.800% due 4/11/26(a)		20,521

See Notes to Financial Statements.

161

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Auto Manufacturers — 0.7% — (continued)
			Daimler Finance North America LLC, Company Guaranteed Notes:
$	150,000	A	2.700% due 8/3/20(a)	$	150,670
	600,000	A	2.200% due 10/30/21(a)		599,372
	40,000	BBB	Ford Motor Co., Senior Unsecured Notes, 4.750% due 1/15/43		36,171
			Ford Motor Credit Co. LLC, Senior Unsecured Notes:
	250,000	BBB	2.597% due 11/4/19		249,948
	320,000	BBB	8.125% due 1/15/20		326,707
	290,000	BBB	2.425% due 6/12/20		289,789
	420,000	BBB	2.343% due 11/2/20		418,228
	430,000	BBB	5.085% due 1/7/21		443,121
	400,000	BBB	3.200% due 1/15/21		402,086
	440,000	BBB	3.220% (3-Month USD-LIBOR + 0.880%) due 10/12/21(c)		435,537
	295,000	BBB	3.339% due 3/28/22		296,642
	1,250,000	BBB	3.367% (3-Month USD-LIBOR + 1.080%) due 8/3/22(c)		1,230,143
	200,000	BBB	4.389% due 1/8/26		203,524
			General Motors Co., Senior Unsecured Notes:
	250,000	BBB	6.250% due 10/2/43		281,455
	455,000	BBB	5.200% due 4/1/45		464,626
			General Motors Financial Co., Inc.:
			Company Guaranteed Notes:
	295,000	BBB	3.200% due 7/13/20		296,694
	230,000	BBB	2.450% due 11/6/20		229,984
	25,000	BBB	3.550% due 4/9/21		25,425
	100,000	BBB	4.375% due 9/25/21		103,595
	15,000	BBB	3.450% due 4/10/22		15,303
	130,000	BBB	3.700% due 5/9/23		133,429
	269,000	BBB	4.350% due 1/17/27		278,929
			Senior Unsecured Notes:
	130,000	BBB	4.200% due 11/6/21		134,845
	45,000	BBB	5.650% due 1/17/29		50,376
			Hyundai Capital America, Senior Unsecured Notes:
	20,000	BBB+	2.550% due 4/3/20(a)		20,002
	218,000	BBB+	3.000% due 10/30/20(a)		219,186
	10,000	BBB+	3.750% due 7/8/21(a)		10,213
	250,000	BBB+	3.950% due 2/1/22(a)		257,688
			Hyundai Capital Services Inc., Senior Unsecured Notes:
	200,000	BBB+	3.000% due 8/29/22(a)		202,012
	200,000	BBB+	3.750% due 3/5/23(a)		208,092
	20,000	A-	Nissan Motor Acceptance Corp., Senior Unsecured Notes, 3.650% due 9/21/21(a)		20,495
	160,000	AA-	Toyota Motor Corp., Senior Unsecured Notes, 2.358% due 7/2/24		163,224
	30,000	AA-	Toyota Motor Credit Corp., Senior Unsecured Notes, 3.450% due 9/20/23		31,776
			Volkswagen Group of America Finance LLC, Company Guaranteed Notes:
	220,000	BBB+	2.400% due 5/22/20(a)		220,264
	200,000	BBB+	4.000% due 11/12/21(a)		207,274
	130,000	BBB+	Volkswagen International Finance NV, Company Guaranteed Notes, 4.000% due 8/12/20(a)		132,067
			Total Auto Manufacturers		8,906,654
	Auto Parts & Equipment — 0.0%
			Aptiv PLC, Company Guaranteed Notes:
	6,000	BBB	4.400% due 10/1/46		6,039
	15,000	BBB	5.400% due 3/15/49		17,137
	15,000	BBB-	Lear Corp., Senior Unsecured Notes, 5.250% due 5/15/49		15,694
			Total Auto Parts & Equipment		38,870

See Notes to Financial Statements.

162

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Banks — 7.4%
$	756,000	A	ABN AMRO Bank NV, Senior Unsecured Notes, 2.650% due 1/19/21(a)	$	761,227
	250,000	AA-	Australia & New Zealand Banking Group Ltd., Senior Unsecured Notes, 2.250% due 11/9/20		250,972
			Banco Santander SA, Senior Unsecured Notes:
	200,000	A-	3.848% due 4/12/23		209,116
	400,000	A	2.706% due 6/27/24		407,395
	600,000	A-	4.379% due 4/12/28		660,325
	200,000	A	3.306% due 6/27/29		209,639
			Bank of America Corp.:
			Senior Unsecured Notes:
	950,000	A-	2.369% (3-Month USD-LIBOR + 0.660%) due 7/21/21(c)		951,688
	610,000	A-	2.738% (3-Month USD-LIBOR + 0.370%) due 1/23/22(c)		614,877
	750,000	A-	3.499% (3-Month USD-LIBOR + 0.630%) due 5/17/22(c)		767,016
	1,240,000	A-	3.124% (3-Month USD-LIBOR + 1.160%) due 1/20/23(c)		1,268,383
	30,000	A-	2.816% (3-Month USD-LIBOR + 0.930%) due 7/21/23(c)		30,634
	1,111,000	A-	3.004% (3-Month USD-LIBOR + 0.790%) due 12/20/23(c)		1,140,996
	490,000	A-	4.125% due 1/22/24		530,402
	955,000	A-	3.550% (3-Month USD-LIBOR + 0.780%) due 3/5/24(c)		998,636
	515,000	A-	4.000% due 4/1/24		557,209
	610,000	A-	3.458% (3-Month USD-LIBOR + 0.970%) due 3/15/25(c)		641,229
	210,000	A-	3.500% due 4/19/26		225,002
	465,000	A-	3.559% (3-Month USD-LIBOR + 1.060%) due 4/23/27(c)		495,170
	620,000	A-	3.824% (3-Month USD-LIBOR + 1.575%) due 1/20/28(c)		672,341
	285,000	A-	3.705% (3-Month USD-LIBOR + 1.512%) due 4/24/28(c)		307,672
	155,000	A-	3.593% (3-Month USD-LIBOR + 1.370%) due 7/21/28(c)		165,796
	683,000	A-	3.419% (3-Month USD-LIBOR + 1.040%) due 12/20/28(c)		723,117
	350,000	A-	3.970% (3-Month USD-LIBOR + 1.070%) due 3/5/29(c)		384,944
	530,000	A-	4.271% (3-Month USD-LIBOR + 1.310%) due 7/23/29(c)		598,517
	500,000	A-	3.974% (3-Month USD-LIBOR + 1.210%) due 2/7/30(c)		554,994
	310,000	A-	3.194% (3-Month USD-LIBOR + 1.180%) due 7/23/30(c)		324,014
	60,000	A-	4.244% (3-Month USD-LIBOR + 1.814%) due 4/24/38(c)		70,269
	240,000	A-	5.000% due 1/21/44		312,775
	710,000	A-	4.330% (3-Month USD-LIBOR + 1.520%) due 3/15/50(c)		868,025
			Subordinated Notes:
	891,000	BBB+	4.200% due 8/26/24		961,701
	1,295,000	BBB+	4.000% due 1/22/25		1,384,382
	194,000	BBB+	4.450% due 3/3/26		213,581
	50,000	BBB+	Bank of Montreal, Subordinated Notes, 3.803% (5-Year USD Swap Rate + 1.432%) due 12/15/32(c)		52,420
			Bank of New York Mellon Corp. (The):
			Senior Unsecured Notes:
	500,000	A	2.661% (3-Month USD-LIBOR + 0.634%) due 5/16/23(c)		508,497
	195,000	A	3.400% due 5/15/24		206,415
	72,000	A	3.442% (3-Month USD-LIBOR + 1.069%) due 2/7/28(c)		77,286
	20,000	A-	Subordinated Notes, 3.300% due 8/23/29		21,358
	400,000	A	Banque Federative du Credit Mutuel SA, Senior Unsecured Notes, 2.750% due 10/15/20(a)		403,228
	100,000	BBB-	Barclays Bank PLC, Subordinated Notes, 5.140% due 10/14/20		102,394
			Barclays PLC, Senior Unsecured Notes:
	400,000	BBB	3.250% due 1/12/21		403,890
	245,000	BBB	4.338% (3-Month USD-LIBOR + 1.356%) due 5/16/24(c)		255,493
	200,000	BBB	3.932% (3-Month USD-LIBOR + 1.610%) due 5/7/25(c)		205,730
	260,000	BBB	4.375% due 1/12/26		275,136
	620,000	BBB	4.972% (3-Month USD-LIBOR + 1.902%) due 5/16/29(c)		680,865

See Notes to Financial Statements.

163

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Banks — 7.4% — (continued)
			BNP Paribas SA:
			Senior Unsecured Notes:
$	380,000	A-	3.500% due 3/1/23(a)	$	394,713
	270,000	A-	3.375% due 1/9/25(a)		280,003
	1,180,000	A-	4.705% (3-Month USD-LIBOR + 2.235%) due 1/10/25(a)(c)		1,279,243
	750,000	A-	4.400% due 8/14/28(a)		838,857
	1,000,000	A-	5.198% (3-Month USD-LIBOR + 2.567%) due 1/10/30(a)(c)		1,179,960
	200,000	BBB+	Subordinated Notes, 4.375% (5-Year USD Swap Rate + 1.483%) due 3/1/33(a)(c)		212,860
	280,000	BBB+	Capital One NA, Senior Unsecured Notes, 2.250% due 9/13/21		280,476
			CIT Group Inc., Senior Unsecured Notes:
	90,000	BB+	4.750% due 2/16/24		96,863
	40,000	BB+	5.250% due 3/7/25		44,900
			Citigroup Inc.:
	530,000	BB+	Junior Subordinated Notes, 5.950% (3-Month USD-LIBOR + 3.905%)(c)(d)		567,553
			Senior Unsecured Notes:
	100,000	BBB+	3.980% (3-Month USD-LIBOR + 1.338%) due 3/20/30(c)		110,451
	314,000	BBB+	8.125% due 7/15/39		525,415
	196,000	BBB+	4.650% due 7/30/45		244,748
	100,000	BBB+	4.650% due 7/23/48		125,903
			Subordinated Notes:
	890,000	BBB	4.400% due 6/10/25		967,303
	250,000	BBB	5.500% due 9/13/25		286,697
	890,000	BBB	4.300% due 11/20/26		971,876
	390,000	BBB	4.450% due 9/29/27		429,448
	30,000	BBB	6.625% due 6/15/32		40,077
	100,000	BBB	6.675% due 9/13/43		148,401
	286,000	BBB	5.300% due 5/6/44		365,541
	30,000	BBB	4.750% due 5/18/46		36,388
	15,000	BBB+	Citizens Financial Group Inc., Senior Unsecured Notes, 2.375% due 7/28/21		15,055
			Commonwealth Bank of Australia, Senior Unsecured Notes:
	55,000	AA-	3.450% due 3/16/23(a)		57,802
	58,000	AA-	3.900% due 7/12/47(a)		66,435
			Cooperatieve Rabobank UA:
			Company Guaranteed Notes:
	310,000	BBB+	4.625% due 12/1/23		335,336
	990,000	BBB+	4.375% due 8/4/25		1,067,475
			Senior Unsecured Notes:
	100,000	A+	4.750% due 1/15/20(a)		100,950
	510,000	A+	2.500% due 1/19/21		513,602
	270,000	A+	3.125% due 4/26/21		274,818
			Credit Suisse Group AG, Senior Unsecured Notes:
	400,000	BBB+	4.282% due 1/9/28(a)		435,758
	1,045,000	BBB+	3.869% (3-Month USD-LIBOR + 1.410%) due 1/12/29(a)(c)		1,113,792
			Credit Suisse Group Funding Guernsey Ltd., Company Guaranteed Notes:
	250,000	BBB+	3.125% due 12/10/20		252,873
	250,000	BBB+	3.800% due 9/15/22		260,997
	320,000	BBB+	4.550% due 4/17/26		354,775
			Danske Bank AS, Senior Unsecured Notes:
	440,000	BBB+	5.000% due 1/12/22(a)		464,211
	1,200,000	BBB+	5.375% due 1/12/24(a)		1,324,109
			Deutsche Bank AG, Senior Unsecured Notes:
	190,000	BBB-	4.250% due 10/14/21		193,276
	38,000	BBB-	4.100% due 1/13/26		38,366
	21,000	BB	Goldman Sachs Capital II, Limited Guaranteed Notes, 4.000% (3-Month USD-LIBOR + 0.768%)(c)(d)		17,818

See Notes to Financial Statements.

164

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Banks — 7.4% — (continued)
			Goldman Sachs Group Inc. (The):
			Senior Unsecured Notes:
$	140,000	BBB+	2.300% due 12/13/19	$	140,016
	810,000	BBB+	6.000% due 6/15/20		833,362
	190,000	BBB+	2.750% due 9/15/20		191,006
	120,000	BBB+	2.875% due 2/25/21		121,175
	155,000	BBB+	5.250% due 7/27/21		163,817
	40,000	BBB+	3.036% (3-Month USD-LIBOR + 0.780%) due 10/31/22(c)		40,100
	130,000	BBB+	3.200% due 2/23/23		134,388
	245,000	BBB+	2.908% (3-Month USD-LIBOR + 1.053%) due 6/5/23(c)		249,416
	210,000	BBB+	3.500% due 1/23/25		220,860
	745,000	BBB+	3.272% (3-Month USD-LIBOR + 1.201%) due 9/29/25(c)		775,574
	150,000	BBB+	3.328% (3-Month USD-LIBOR + 1.170%) due 5/15/26(c)		150,153
	150,000	BBB+	3.500% due 11/16/26		157,193
	285,000	BBB+	3.850% due 1/26/27		304,193
	135,000	BBB+	3.691% (3-Month USD-LIBOR + 1.510%) due 6/5/28(c)		143,643
	1,625,000	BBB+	3.814% (3-Month USD-LIBOR + 1.158%) due 4/23/29(c)		1,747,388
	1,330,000	BBB+	4.223% (3-Month USD-LIBOR + 1.301%) due 5/1/29(c)		1,473,990
	210,000	BBB+	6.250% due 2/1/41		298,400
	210,000	BBB+	4.750% due 10/21/45		259,864
			Subordinated Notes:
	610,000	BBB-	4.250% due 10/21/25		658,397
	460,000	BBB-	6.750% due 10/1/37		630,867
	290,000	BBB-	5.150% due 5/22/45		352,382
			HSBC Holdings PLC:
			Junior Subordinated Notes:
	210,000	Baa3(b)	6.375% (5-Year USD 1100 Run ICE Swap Rate + 3.705%)(c)(d)		215,270
	240,000	Baa3(b)	6.250% (5-Year USD 1100 Run ICE Swap Rate + 3.453%)(c)(d)		245,528
	640,000	Baa3(b)	6.500% (5-Year USD 1100 Run ICE Swap Rate + 3.606%)(c)(d)		658,304
			Senior Unsecured Notes:
	200,000	A	3.400% due 3/8/21		203,253
	200,000	A	3.262% (3-Month USD-LIBOR + 1.055%) due 3/13/23(c)		204,307
	200,000	A	3.950% (3-Month USD-LIBOR + 0.987%) due 5/18/24(c)		210,004
	200,000	A	4.041% (3-Month USD-LIBOR + 1.546%) due 3/13/28(c)		213,625
	1,010,000	A	4.583% (3-Month USD-LIBOR + 1.535%) due 6/19/29(c)		1,129,831
	420,000	A	3.973% (3-Month USD-LIBOR + 1.610%) due 5/22/30(c)		451,211
			Subordinated Notes:
	300,000	BBB+	4.250% due 3/14/24		316,736
	240,000	BBB+	4.250% due 8/18/25		254,197
	200,000	BBB+	4.375% due 11/23/26		215,149
	390,000	BBB+	6.500% due 9/15/37		529,500
	100,000	A-	HSBC USA Inc., Subordinated Notes, 5.000% due 9/27/20		102,911
	200,000	BBB+	ING Bank NV, Subordinated Notes, 5.800% due 9/25/23(a)		222,088
	200,000	A-	ING Groep NV, Senior Unsecured Notes, 3.950% due 3/29/27		217,731
			Intesa Sanpaolo SpA:
			Senior Unsecured Notes:
	200,000	BBB	3.125% due 7/14/22(a)		200,909
	200,000	BBB	3.375% due 1/12/23(a)		202,788
	810,000	BB+	Subordinated Notes, 5.017% due 6/26/24(a)		830,857
			JPMorgan Chase & Co.:
			Senior Unsecured Notes:
	90,000	A-	4.400% due 7/22/20		91,900
	200,000	A-	2.550% due 3/1/21		201,639
	99,000	A-	2.972% due 1/15/23		101,077
	55,000	A-	3.513% (3-Month USD-LIBOR + 1.230%) due 10/24/23(c)		55,851

See Notes to Financial Statements.

165

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Banks — 7.4% — (continued)
$	175,000	A-	3.559% (3-Month USD-LIBOR + 0.730%) due 4/23/24(c)	$	183,845
	285,000	A-	3.797% (3-Month USD-LIBOR + 0.890%) due 7/23/24(c)		302,872
	880,000	A-	4.023% (3-Month USD-LIBOR + 1.000%) due 12/5/24(c)		946,370
	450,000	A-	3.220% (3-Month USD-LIBOR + 1.155%) due 3/1/25(c)		470,587
	180,000	A-	3.300% due 4/1/26		189,917
	1,050,000	A-	3.782% (3-Month USD-LIBOR + 1.337%) due 2/1/28(c)		1,143,153
	375,000	A-	3.540% (3-Month USD-LIBOR + 1.380%) due 5/1/28(c)		402,244
	1,020,000	A-	3.509% (3-Month USD-LIBOR + 0.945%) due 1/23/29(c)		1,093,721
	750,000	A-	4.203% (3-Month USD-LIBOR + 1.260%) due 7/23/29(c)		846,624
	480,000	A-	4.452% (3-Month USD-LIBOR + 1.330%) due 12/5/29(c)		552,225
	385,000	A-	3.702% (3-Month USD-LIBOR + 1.160%) due 5/6/30(c)		420,877
	200,000	A-	3.964% (3-Month USD-LIBOR + 1.380%) due 11/15/48(c)		230,118
			Subordinated Notes:
	55,000	BBB+	3.375% due 5/1/23		57,024
	315,000	BBB+	3.875% due 9/10/24		337,027
	210,000	BBB+	4.250% due 10/1/27		234,698
	490,000	BBB+	4.950% due 6/1/45		630,811
			KeyCorp, Senior Unsecured Notes:
	150,000	BBB+	2.900% due 9/15/20		151,264
	45,000	BBB+	4.150% due 10/29/25		49,503
	425,000	A+	Lloyds Bank PLC, Company Guaranteed Notes, 2.700% due 8/17/20		427,736
			Lloyds Banking Group PLC:
			Senior Unsecured Notes:
	1,235,000	BBB+	2.907% (3-Month USD-LIBOR + 0.810%) due 11/7/23(c)		1,239,533
	400,000	BBB+	3.900% due 3/12/24		419,265
	220,000	BBB+	4.450% due 5/8/25		237,314
	200,000	BBB+	4.375% due 3/22/28		218,084
	200,000	BBB+	3.574% (3-Month USD-LIBOR + 1.205%) due 11/7/28(c)		204,813
	245,000	BBB-	Subordinated Notes, 4.582% due 12/10/25		257,319
			Mizuho Financial Group Inc., Senior Unsecured Notes:
	340,000	A-	2.953% due 2/28/22		346,322
	480,000	A-	2.839% (3-Month USD-LIBOR + 0.980%) due 7/16/25(c)		490,207
	300,000	A-	Nordea Bank Abp, Subordinated Notes, 4.875% due 5/13/21(a)		311,402
	750,000	A	PNC Bank NA, Senior Unsecured Notes, 2.400% due 10/18/19		750,090
			Royal Bank of Canada, Senior Unsecured Notes:
	120,000	AA-	2.150% due 10/26/20		120,322
	270,000	AA-	3.200% due 4/30/21		276,010
			Royal Bank of Scotland Group PLC:
			Senior Unsecured Notes:
	400,000	BBB	4.519% (3-Month USD-LIBOR + 1.550%) due 6/25/24(c)		420,093
	400,000	BBB	4.269% (3-Month USD-LIBOR + 1.762%) due 3/22/25(c)		418,037
	400,000	BBB	5.076% (3-Month USD-LIBOR + 1.905%) due 1/27/30(c)		448,518
			Subordinated Notes:
	30,000	BB+	6.125% due 12/15/22		32,474
	320,000	BB+	6.100% due 6/10/23		347,228
	80,000	BB+	6.000% due 12/19/23		87,171
	110,000	BB+	5.125% due 5/28/24		116,491
	30,000	BBB+	Santander Holdings USA Inc., Senior Unsecured Notes, 4.500% due 7/17/25		32,320
			Santander UK Group Holdings PLC, Senior Unsecured Notes:
	600,000	BBB	2.875% due 8/5/21		602,766
	560,000	BBB	3.373% (3-Month USD-LIBOR + 1.080%) due 1/5/24(c)		570,440
			Santander UK PLC:
			Senior Unsecured Notes:
	70,000	A	2.375% due 3/16/20		70,085
	380,000	A	3.400% due 6/1/21		387,976

See Notes to Financial Statements.

166

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Banks — 7.4% — (continued)
$	170,000	BBB-	Subordinated Notes, 7.950% due 10/26/29	$	222,804
			Societe Generale SA, Senior Unsecured Notes:
	205,000	A	2.625% due 9/16/20(a)		206,022
	260,000	A	2.500% due 4/8/21(a)		261,235
	335,000	BBB+	Standard Chartered PLC, Senior Unsecured Notes, 3.785% (3-Month USD-LIBOR + 1.560%) due 5/21/25(a)(c)		346,343
	60,000	A	State Street Corp., Senior Unsecured Notes, 2.650% due 5/19/26		62,092
			Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes:
	575,000	A-	2.934% due 3/9/21		582,051
	140,000	A-	2.058% due 7/14/21		139,873
	90,000	A-	2.778% due 10/18/22		91,742
	295,000	A-	2.632% due 7/14/26		298,453
	205,000	A	Sumitomo Mitsui Trust Bank Ltd., Senior Unsecured Notes, 1.950% due 9/19/19(a)		204,961
	200,000	A-	SunTrust Bank, Senior Unsecured Notes, 3.525% (3-Month USD-LIBOR + 0.500%) due 10/26/21(c)		203,048
	35,000	BBB+	SunTrust Banks Inc., Senior Unsecured Notes, 4.000% due 5/1/25		38,162
	250,000	AA-	Svenska Handelsbanken AB, Company Guaranteed Notes, 3.350% due 5/24/21		255,651
	50,000	BBB-	Synovus Financial Corp., Senior Unsecured Notes, 3.125% due 11/1/22		50,194
	170,000	AA-	Toronto-Dominion Bank (The), Senior Unsecured Notes, 3.250% due 6/11/21		173,988
	200,000	A+	UBS AG, Senior Unsecured Notes, 2.450% due 12/1/20(a)		200,966
			UBS Group Funding Switzerland AG, Company Guaranteed Notes:
	1,070,000	BB	7.000% (5-Year USD Swap Rate + 4.344%)(a)(c)(d)		1,135,538
	260,000	A-	2.650% due 2/1/22(a)		262,932
	650,000	A-	3.491% due 5/23/23(a)		670,018
	795,000	A-	2.859% (3-Month USD-LIBOR + 0.954%) due 8/15/23(a)(c)		806,630
	310,000	A-	4.253% due 3/23/28(a)		343,037
			UniCredit SpA:
	580,000	BBB-	Senior Unsecured Notes, 6.572% due 1/14/22(a)		623,879
	200,000	BB+	Subordinated Notes, 7.296% (5-Year USD 1100 Run ICE Swap Rate + 4.914%) due 4/2/34(a)(c)		226,090
	220,000	A+	US Bancorp, Senior Unsecured Notes, 2.400% due 7/30/24		224,319
	250,000	AA-	US Bank NA, Senior Unsecured Notes, 3.150% due 4/26/21		254,546
	470,000	BBB-	Wachovia Capital Trust III, Limited Guaranteed Notes, 5.570% (3-Month USD-LIBOR + 0.930%)(c)(d)		470,714
	50,000	BBB+	Wachovia Corp., Subordinated Notes, 5.500% due 8/1/35		63,093
			Wells Fargo & Co.:
	60,000	BBB-	Junior Subordinated Notes, 5.875% (3-Month USD-LIBOR + 3.990%)(c)(d)		66,219
			Senior Unsecured Notes:
	5,000	A-	2.625% due 7/22/22		5,086
	825,000	A-	3.750% due 1/24/24		879,044
	135,000	A-	3.000% due 2/19/25		139,979
	41,000	A-	3.550% due 9/29/25		43,653
	925,000	A-	3.000% due 4/22/26		958,470
	1,210,000	A-	3.000% due 10/23/26		1,258,499
	550,000	A-	3.196% (3-Month USD-LIBOR + 1.170%) due 6/17/27(c)		573,333
	180,000	A-	3.584% (3-Month USD-LIBOR + 1.310%) due 5/22/28(c)		193,132
	690,000	A-	4.150% due 1/24/29		773,809
			Subordinated Notes:
	330,000	BBB+	3.450% due 2/13/23		343,029
	169,000	BBB+	4.480% due 1/16/24		183,307
	140,000	BBB+	4.100% due 6/3/26		151,726
	950,000	BBB+	4.300% due 7/22/27		1,052,810
	230,000	BBB+	5.375% due 11/2/43		304,036
	110,000	BBB+	5.606% due 1/15/44		147,782
	280,000	BBB+	4.650% due 11/4/44		336,769

See Notes to Financial Statements.

167

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Banks — 7.4% — (continued)
$	450,000	BBB+	4.900% due 11/17/45	$	560,618
	40,000	BBB+	4.400% due 6/14/46		46,501
	160,000	BBB+	4.750% due 12/7/46		196,306
	790,000	A+	Wells Fargo Bank NA, Senior Unsecured Notes, 2.600% due 1/15/21		796,060
	100,000	BBB-	Wells Fargo Capital X, Limited Guaranteed Notes, 5.950% due 12/15/36		124,851
			Westpac Banking Corp., Senior Unsecured Notes:
	380,000	AA-	4.875% due 11/19/19		382,207
	20,000	AA-	2.300% due 5/26/20		20,039
	140,000	AA-	2.600% due 11/23/20		141,076
	195,000	AA-	3.650% due 5/15/23		206,616
			Total Banks		89,268,964
	Beverages — 0.5%
			Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes:
	340,000	A-	3.650% due 2/1/26		365,459
	720,000	A-	4.700% due 2/1/36		838,078
	1,439,000	A-	4.900% due 2/1/46		1,718,167
			Anheuser-Busch InBev Finance Inc., Company Guaranteed Notes:
	98,000	A-	2.650% due 2/1/21		98,938
	80,000	A-	3.300% due 2/1/23		83,339
			Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes:
	200,000	A-	2.500% due 7/15/22		202,951
	220,000	A-	3.500% due 1/12/24		233,250
	180,000	A-	4.150% due 1/23/25		197,200
	160,000	A-	4.000% due 4/13/28		177,405
	480,000	A-	4.750% due 1/23/29		560,901
	50,000	A-	4.950% due 1/15/42		60,032
	400,000	A-	5.550% due 1/23/49		526,163
	25,000	A-	4.750% due 4/15/58		29,304
			Bacardi Ltd., Company Guaranteed Notes:
	155,000	BBB-	4.700% due 5/15/28(a)		172,343
	140,000	BBB-	5.300% due 5/15/48(a)		161,427
	173,000	A-	Diageo Capital PLC, Company Guaranteed Notes, 4.828% due 7/15/20		177,115
	160,000	A-	Diageo Investment Corp., Company Guaranteed Notes, 2.875% due 5/11/22		164,232
	50,000	BBB-	Molson Coors Brewing Co., Company Guaranteed Notes, 3.500% due 5/1/22		51,637
			PepsiCo Inc., Senior Unsecured Notes:
	65,000	A+	2.850% due 2/24/26		68,042
	150,000	A+	2.375% due 10/6/26		153,795
	60,000	A+	4.450% due 4/14/46		76,127
	190,000	BBB	Pernod Ricard SA, Senior Unsecured Notes, 4.450% due 1/15/22(a)		200,573
			Total Beverages		6,316,478
	Biotechnology — 0.3%
			Amgen Inc., Senior Unsecured Notes:
	60,000	A	2.200% due 5/11/20		60,004
	70,000	A	3.625% due 5/22/24		74,485
	45,000	A	2.600% due 8/19/26		45,550
	300,000	A	4.400% due 5/1/45		341,827
	54,000	A	4.563% due 6/15/48		63,145
	92,000	A	4.663% due 6/15/51		109,600
			Celgene Corp., Senior Unsecured Notes:
	10,000	BBB+	3.950% due 10/15/20		10,198
	5,000	BBB+	3.250% due 8/15/22		5,167
	60,000	BBB+	3.550% due 8/15/22		62,502
	35,000	BBB+	3.250% due 2/20/23		36,408
	260,000	BBB+	3.875% due 8/15/25		282,176

See Notes to Financial Statements.

168

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Biotechnology — 0.3% — (continued)
$	325,000	BBB+	3.900% due 2/20/28	$	361,267
	910,000	BBB+	5.000% due 8/15/45		1,155,634
			Gilead Sciences Inc., Senior Unsecured Notes:
	40,000	A	2.550% due 9/1/20		40,220
	160,000	A	3.700% due 4/1/24		170,099
	60,000	A	3.650% due 3/1/26		64,562
	50,000	A	2.950% due 3/1/27		51,960
	55,000	A	4.600% due 9/1/35		65,947
	160,000	A	4.800% due 4/1/44		193,543
	315,000	A	4.750% due 3/1/46		383,578
			Total Biotechnology		3,577,872
	Building Materials — 0.0%
	5,000	BBB+	Johnson Controls International PLC, Senior Unsecured Notes, 3.900% due 2/14/26		5,395
	30,000	BBB	Owens Corning, Senior Unsecured Notes, 4.400% due 1/30/48		28,230
			Total Building Materials		33,625
	Chemicals — 0.3%
	200,000	A-	Air Liquide Finance SA, Company Guaranteed Notes, 1.750% due 9/27/21(a)		198,677
			Dow Chemical Co. (The), Senior Unsecured Notes:
	145,000	BBB	4.550% due 11/30/25(a)		159,998
	194,000	BBB	3.625% due 5/15/26(a)		204,162
	126,000	BBB	4.375% due 11/15/42		132,877
			DuPont de Nemours Inc., Senior Unsecured Notes:
	505,000	A-	4.493% due 11/15/25		561,033
	145,000	A-	5.419% due 11/15/48		186,991
	61,000	BBB	Eastman Chemical Co., Senior Unsecured Notes, 3.800% due 3/15/25		64,096
	200,000	BBB+	Equate Petrochemical BV, Company Guaranteed Notes, 4.250% due 11/3/26(a)		217,420
	405,000	BBB	International Flavors & Fragrances Inc., Senior Unsecured Notes, 5.000% due 9/26/48		457,195
	200,000	BBB+	LyondellBasell Industries NV, Senior Unsecured Notes, 6.000% due 11/15/21		214,232
			Monsanto Co., Senior Unsecured Notes:
	60,000	BBB	3.375% due 7/15/24		60,600
	30,000	BBB	4.400% due 7/15/44		29,755
	60,000	BBB	Nutrien Ltd., Senior Unsecured Notes, 4.875% due 3/30/20		60,864
	200,000	BBB-	OCP SA, Senior Unsecured Notes, 4.500% due 10/22/25(a)		212,643
	30,000	BBB	Sherwin-Williams Co. (The), Senior Unsecured Notes, 4.000% due 12/15/42		31,816
	200,000	BBB-	Syngenta Finance NV, Company Guaranteed Notes, 3.933% due 4/23/21(a)		203,558
			Total Chemicals		2,995,917
	Commercial Services — 0.1%
			Cintas Corp. No 2, Company Guaranteed Notes:
	100,000	A-	2.900% due 4/1/22		102,225
	110,000	A-	3.700% due 4/1/27		120,919
	10,000	BBB	Equifax Inc., Senior Unsecured Notes, 2.300% due 6/1/21		9,990
	220,000	(P)BBB-	Global Payments Inc., Senior Unsecured Notes, 3.200% due 8/15/29		225,987
			IHS Markit Ltd.:
			Company Guaranteed Notes:
	84,000	BBB-	5.000% due 11/1/22(a)		89,785
	48,000	BBB-	4.000% due 3/1/26(a)		51,154
	450,000	BBB-	Senior Unsecured Notes, 4.750% due 8/1/28		509,850
	100,000	B+	Matthews International Corp., Company Guaranteed Notes, 5.250% due 12/1/25(a)		95,500
			RELX Capital Inc., Company Guaranteed Notes:
	10,000	BBB+	3.125% due 10/15/22		10,260
	305,000	BBB+	3.500% due 3/16/23		318,052
	30,000	BBB+	4.000% due 3/18/29		33,103

See Notes to Financial Statements.

169

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Commercial Services — 0.1% — (continued)
			Total System Services Inc., Senior Unsecured Notes:
$	40,000	BBB-	3.800% due 4/1/21	$	40,848
	30,000	BBB-	3.750% due 6/1/23		31,394
	30,000	BBB-	4.000% due 6/1/23		31,688
	40,000	BB-	United Rentals North America Inc., Company Guaranteed Notes, 6.500% due 12/15/26		43,650
			Total Commercial Services		1,714,405
	Computers — 0.4%
			Apple Inc., Senior Unsecured Notes:
	110,000	AA+	1.550% due 8/4/21		109,490
	300,000	AA+	2.400% due 5/3/23		306,528
	280,000	AA+	2.450% due 8/4/26		286,693
	550,000	AA+	3.350% due 2/9/27		594,867
	360,000	AA+	2.900% due 9/12/27		378,593
	360,000	AA+	3.850% due 5/4/43		411,475
	145,000	AA+	3.450% due 2/9/45		157,120
	580,000	BBB-	Dell International LLC/EMC Corp., Senior Secured Notes, 4.420% due 6/15/21(a)		598,335
	30,000	BBB	HP Inc., Senior Unsecured Notes, 6.000% due 9/15/41		33,676
			International Business Machines Corp., Senior Unsecured Notes:
	150,000	A	2.875% due 11/9/22		153,973
	680,000	A	3.000% due 5/15/24		707,925
	290,000	A	3.450% due 2/19/26		311,514
	315,000	A	3.300% due 5/15/26		334,168
	45,000	BB+	Seagate HDD Cayman, Company Guaranteed Notes, 4.750% due 1/1/25		46,871
			Total Computers		4,431,228
	Cosmetics/Personal Care — 0.0%
	38,000	BB-	First Quality Finance Co., Inc., Company Guaranteed Notes, 5.000% due 7/1/25(a)		39,520
	Diversified Financial Services — 1.0%
			AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes:
	1,010,000	BBB-	4.500% due 5/15/21		1,042,179
	150,000	BBB-	5.000% due 10/1/21		157,330
	280,000	BBB-	4.875% due 1/16/24		304,267
			Air Lease Corp., Senior Unsecured Notes:
	460,000	BBB	3.500% due 1/15/22		473,054
	45,000	BBB	3.875% due 7/3/23		47,166
			American Express Co., Senior Unsecured Notes:
	72,000	BBB+	2.650% due 12/2/22		73,441
	225,000	BBB+	3.700% due 8/3/23		238,599
	60,000	BBB+	3.400% due 2/22/24		63,319
	355,000	BBB+	2.500% due 7/30/24		362,095
			American Express Credit Corp., Senior Unsecured Notes:
	140,000	A-	2.375% due 5/26/20		140,196
	30,000	A-	2.600% due 9/14/20		30,170
	60,000	BBB	Capital One Financial Corp., Senior Unsecured Notes, 3.500% due 6/15/23		62,699
	60,000	A	Charles Schwab Corp. (The), Senior Unsecured Notes, 3.250% due 5/22/29		64,491
	395,000	AA-	CME Group Inc., Senior Unsecured Notes, 3.750% due 6/15/28		445,460
	50,000	BBB-	Discover Financial Services, Senior Unsecured Notes, 3.750% due 3/4/25		52,669
			GE Capital International Funding Co. Unlimited Co., Company Guaranteed Notes:
	2,072,000	BBB+	2.342% due 11/15/20		2,058,486
	3,304,000	BBB+	4.418% due 11/15/35		3,365,017
			Intercontinental Exchange Inc.:
	185,000	A	Company Guaranteed Notes, 2.350% due 9/15/22		186,999
			Senior Unsecured Notes:
	80,000	A	3.750% due 9/21/28		89,290
	85,000	A	4.250% due 9/21/48		103,275

See Notes to Financial Statements.

170

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Diversified Financial Services — 1.0% — (continued)
$	30,000	A	KKR Group Finance Co. II LLC, Company Guaranteed Notes, 5.500% due 2/1/43(a)	$	37,220
	650,000	NR	Lehman Brothers Holdings Inc., Subordinated Notes, 6.750% due 12/28/17#(e)(f)(g)		—
			Mastercard Inc., Senior Unsecured Notes:
	200,000	A+	2.950% due 6/1/29		214,176
	45,000	A+	3.650% due 6/1/49		52,351
	80,000	B+	Navient Corp., Senior Unsecured Notes, 8.000% due 3/25/20		82,600
	630,000	A-	ORIX Corp., Senior Unsecured Notes, 2.900% due 7/18/22		643,743
			Park Aerospace Holdings Ltd., Company Guaranteed Notes:
	400,000	BBB-	5.250% due 8/15/22(a)		423,500
	255,000	BBB-	4.500% due 3/15/23(a)		264,461
	60,000	BBB-	5.500% due 2/15/24(a)		64,959
	220,000	BBB+	Raymond James Financial Inc., Senior Unsecured Notes, 4.950% due 7/15/46		269,640
	50,000	BBB-	Synchrony Financial, Senior Unsecured Notes, 4.375% due 3/19/24		53,436
			Visa Inc., Senior Unsecured Notes:
	420,000	AA-	3.150% due 12/14/25		450,185
	150,000	AA-	4.150% due 12/14/35		182,829
	310,000	AA-	4.300% due 12/14/45		394,169
			Total Diversified Financial Services		12,493,471
	Electric — 1.6%
			AEP Texas Inc., Senior Unsecured Notes:
	50,000	A-	2.400% due 10/1/22		50,377
	50,000	A-	3.850% due 10/1/25(a)		53,366
	110,000	A-	4.150% due 5/1/49		130,771
	225,000	A-	AEP Transmission Co. LLC, Senior Unsecured Notes, 3.750% due 12/1/47		250,570
			Alabama Power Co., Senior Unsecured Notes:
	17,000	A-	5.200% due 6/1/41		21,219
	30,000	A-	3.850% due 12/1/42		33,817
	185,000	A-	4.150% due 8/15/44		216,634
	65,000	A-	4.300% due 7/15/48		79,533
	100,000	BBB+	Alliant Energy Finance LLC, Company Guaranteed Notes, 3.750% due 6/15/23(a)		105,049
			Baltimore Gas & Electric Co., Senior Unsecured Notes:
	70,000	A	3.500% due 8/15/46		74,712
	150,000	A	3.750% due 8/15/47		167,201
	30,000	A	4.250% due 9/15/48		37,075
	170,000	A-	Berkshire Hathaway Energy Co., Senior Unsecured Notes, 3.250% due 4/15/28		180,851
	20,000	BBB+	Black Hills Corp., Senior Unsecured Notes, 3.150% due 1/15/27		20,510
			CenterPoint Energy Houston Electric LLC, General Refinance Mortgage:
	50,000	A	3.550% due 8/1/42		54,510
	30,000	A	3.950% due 3/1/48		35,044
	30,000	BBB	CMS Energy Corp., Senior Unsecured Notes, 3.000% due 5/15/26		30,904
			Consumers Energy Co., 1st Mortgage Notes:
	50,000	A	3.950% due 5/15/43		58,245
	95,000	A	3.750% due 2/15/50		109,861
	25,000	A	3.100% due 8/15/50		25,716
	117,000	BBB+	Dayton Power & Light Co. (The), 1st Mortgage Notes, 3.950% due 6/15/49(a)		133,491
	35,000	BBB	Dominion Energy Inc., Junior Subordinated Notes, 2.579% due 7/1/20		35,065
	310,000	BBB-	DPL Inc., Senior Unsecured Notes, 4.350% due 4/15/29(a)		309,909
			DTE Electric Co., General Refinance Mortgage:
	65,000	A	3.650% due 3/15/24		69,151
	100,000	A	3.700% due 3/15/45		111,824
	80,000	A	4.050% due 5/15/48		95,633
			Duke Energy Carolinas LLC:
			1st Mortgage Notes:
	22,000	A	3.950% due 11/15/28		24,961
	40,000	A	2.450% due 8/15/29		40,471

See Notes to Financial Statements.

171

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Electric — 1.6% — (continued)
$	590,000	A	4.250% due 12/15/41	$	696,652
	60,000	A	3.700% due 12/1/47		66,848
	16,000	A	3.950% due 3/15/48		18,518
	90,000	A	3.200% due 8/15/49		93,172
			1st Refinanced Mortgage Notes:
	145,000	A	2.950% due 12/1/26		152,020
	30,000	A	3.875% due 3/15/46		34,330
			Duke Energy Corp., Senior Unsecured Notes:
	410,000	BBB+	3.550% due 9/15/21		420,110
	180,000	BBB+	2.650% due 9/1/26		182,301
			Duke Energy Florida LLC:
			1st Mortgage Notes:
	45,000	A	3.800% due 7/15/28		50,269
	195,000	A	5.900% due 3/1/33		262,106
	165,000	A	3.400% due 10/1/46		175,699
	7,500	A-	Senior Unsecured Notes, 2.100% due 12/15/19		7,497
			Duke Energy Ohio Inc., 1st Mortgage Notes:
	335,000	A	3.650% due 2/1/29		371,534
	60,000	A	3.700% due 6/15/46		66,643
	25,000	A	4.300% due 2/1/49		30,686
			Duke Energy Progress LLC, 1st Mortgage Notes:
	35,000	A	3.000% due 9/15/21		35,704
	30,000	A	3.700% due 9/1/28		33,349
	198,000	A	4.100% due 5/15/42		231,287
	50,000	A	4.100% due 3/15/43		58,153
	35,000	A	4.200% due 8/15/45		41,363
	750,000	BBB-	Duquesne Light Holdings Inc., Senior Unsecured Notes, 6.400% due 9/15/20(a)		778,270
	35,000	BBB	Entergy Corp., Senior Unsecured Notes, 2.950% due 9/1/26		35,740
			Entergy Louisiana LLC:
	25,000	A	1st Mortgage Notes, 5.400% due 11/1/24		29,033
	115,000	A	Collateral Trust, 4.200% due 4/1/50		140,305
	60,000	A	Entergy Texas Inc., 1st Mortgage Notes, 3.450% due 12/1/27		62,429
	95,000	BBB+	Eversource Energy, Senior Unsecured Notes, 2.800% due 5/1/23		96,811
			Exelon Corp., Senior Unsecured Notes:
	175,000	BBB	2.850% due 6/15/20		175,797
	5,000	BBB	2.450% due 4/15/21		5,016
	143,000	BBB	5.625% due 6/15/35		180,609
			FirstEnergy Corp., Senior Unsecured Notes:
	310,000	BBB-	3.900% due 7/15/27		333,525
	1,250,000	BBB-	7.375% due 11/15/31		1,793,051
			FirstEnergy Transmission LLC, Senior Unsecured Notes:
	51,000	BBB-	4.350% due 1/15/25(a)		55,492
	50,000	BBB-	5.450% due 7/15/44(a)		64,678
	165,000	BBB-	4.550% due 4/1/49(a)		197,654
			Florida Power & Light Co., 1st Mortgage Notes:
	50,000	A	3.125% due 12/1/25		53,398
	40,000	A	5.690% due 3/1/40		56,156
	52,000	A	4.050% due 6/1/42		61,331
	20,000	A	3.800% due 12/15/42		22,776
	65,000	A	3.700% due 12/1/47		73,731
	15,000	A	4.125% due 6/1/48		18,244
	100,000	A	3.990% due 3/1/49		119,734
	70,000	A-	Georgia Power Co., Senior Unsecured Notes, 2.000% due 3/30/20		69,876
	15,000	A-	Indiana Michigan Power Co., Senior Unsecured Notes, 4.250% due 8/15/48		18,203
	60,929	A-	Indiantown Cogeneration LP, 1st Mortgage Notes, 9.770% due 12/15/20(f)		63,044

See Notes to Financial Statements.

172

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Electric — 1.6% — (continued)
$	400,000	A-	ITC Holdings Corp., Senior Unsecured Notes, 4.050% due 7/1/23	$	423,764
	700,000	BBB	Jersey Central Power & Light Co., Senior Unsecured Notes, 4.700% due 4/1/24(a)		769,285
	20,000	A+	Kansas City Power & Light Co., General Refinance Mortgage, 4.125% due 4/1/49		23,718
	775,000	A-	KCP&L Greater Missouri Operations Co., Senior Unsecured Notes, 8.270% due 11/15/21		871,291
			MidAmerican Energy Co., 1st Mortgage Notes:
	100,000	A+	3.100% due 5/1/27		106,500
	400,000	A+	4.250% due 5/1/46		487,636
	105,000	BBB	Mid-Atlantic Interstate Transmission LLC, Senior Unsecured Notes, 4.100% due 5/15/28(a)		117,069
			NextEra Energy Capital Holdings Inc., Company Guaranteed Notes:
	800,000	BBB+	2.767% (3-Month USD-LIBOR + 0.480%) due 5/4/21(c)		800,113
	50,000	BBB+	3.550% due 5/1/27		53,478
			Northern States Power Co., 1st Mortgage Notes:
	70,000	A	3.600% due 5/15/46		78,195
	80,000	A	3.600% due 9/15/47		89,077
	20,000	A	4.200% due 9/1/48		23,699
			Ohio Power Co., Senior Unsecured Notes:
	40,000	A-	6.600% due 2/15/33		56,833
	30,000	A-	4.150% due 4/1/48		36,035
	50,000	A-	4.000% due 6/1/49		58,384
	30,000	BBB+	Oklahoma Gas & Electric Co., Senior Unsecured Notes, 3.300% due 3/15/30		31,925
			Oncor Electric Delivery Co. LLC, Senior Secured Notes:
	90,000	A+	3.700% due 11/15/28		100,606
	20,000	A+	3.800% due 9/30/47		23,074
			PacifiCorp, 1st Mortgage Notes:
	120,000	A+	5.750% due 4/1/37		162,398
	30,000	A+	6.350% due 7/15/38		43,619
	55,000	A+	4.150% due 2/15/50		66,162
	35,000	A	PECO Energy Co., 1st Mortgage Notes, 3.900% due 3/1/48		40,465
	500,000	BBB+	Public Service Co. of New Mexico, Senior Unsecured Notes, 3.850% due 8/1/25		526,813
			Public Service Electric & Gas Co., 1st Mortgage Notes:
	200,000	A	3.000% due 5/15/27		210,934
	500,000	A	4.000% due 6/1/44		569,993
	90,000	BBB+	Sempra Energy, Senior Unsecured Notes, 2.803% (3-Month USD-LIBOR + 0.500%) due 1/15/21(c)		89,892
	130,000	BBB+	Southern Power Co., Senior Unsecured Notes, 2.375% due 6/1/20		130,082
	70,000	A-	Southwestern Electric Power Co., Senior Unsecured Notes, 4.100% due 9/15/28		78,697
	25,000	A	Southwestern Public Service Co., 1st Mortgage Notes, 3.750% due 6/15/49		28,151
	140,000	BBB+	Tampa Electric Co., Senior Unsecured Notes, 4.450% due 6/15/49		175,383
	800,000	A-	Tucson Electric Power Co., Senior Unsecured Notes, 3.850% due 3/15/23		833,094
	115,000	A	Union Electric Co., Senior Secured Notes, 2.950% due 6/15/27		120,536
			Virginia Electric & Power Co., Senior Unsecured Notes:
	205,000	BBB+	2.750% due 3/15/23		209,649
	90,000	BBB+	3.800% due 4/1/28		99,534
	195,000	BBB+	6.000% due 5/15/37		267,255
	25,000	BBB+	6.350% due 11/30/37		35,448
	70,000	BBB+	4.000% due 1/15/43		79,441
	130,000	BBB+	4.450% due 2/15/44		157,065
	595,000	BBB+	4.000% due 11/15/46		679,566
	25,000	BBB+	4.600% due 12/1/48		31,405
	160,000	BBB-	Vistra Operations Co. LLC, Senior Secured Notes, 4.300% due 7/15/29(a)		163,680
	45,000	BBB+	WEC Energy Group Inc., Senior Unsecured Notes, 3.375% due 6/15/21		46,003
			Total Electric		19,085,561

See Notes to Financial Statements.

173

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Electronics — 0.0%
			Agilent Technologies Inc., Senior Unsecured Notes:
$	120,000	BBB+	3.200% due 10/1/22	$	123,051
	10,000	BBB+	3.050% due 9/22/26		10,285
	10,000	BBB-	Avnet Inc., Senior Unsecured Notes, 4.625% due 4/15/26		10,910
	58,000	BBB-	Trimble Inc., Senior Unsecured Notes, 4.150% due 6/15/23		60,877
	20,000	A-	Tyco Electronics Group SA, Company Guaranteed Notes, 3.450% due 8/1/24		21,049
			Total Electronics		226,172
	Engineering & Construction — 0.0%
	200,000	A-	Vinci SA, Senior Unsecured Notes, 3.750% due 4/10/29(a)		221,620
	Entertainment — 0.0%
	360,000	B+	Churchill Downs Inc., Company Guaranteed Notes, 4.750% due 1/15/28(a)		372,600
	Environmental Control — 0.1%
	289,000	BB+	Clean Harbors Inc., Senior Unsecured Notes, 5.125% due 7/15/29(a)		308,508
			Republic Services Inc., Senior Unsecured Notes:
	130,000	BBB+	2.500% due 8/15/24		132,240
	45,000	BBB+	3.200% due 3/15/25		47,203
	20,000	BBB+	2.900% due 7/1/26		20,811
	260,000	BBB+	3.375% due 11/15/27		278,820
			Waste Management Inc., Company Guaranteed Notes:
	40,000	A-	4.600% due 3/1/21		41,252
	100,000	A-	3.500% due 5/15/24		106,164
	50,000	A-	3.125% due 3/1/25		52,570
	110,000	A-	3.200% due 6/15/26		117,200
	110,000	A-	3.450% due 6/15/29		120,417
	105,000	A-	4.000% due 7/15/39		121,448
	245,000	A-	4.150% due 7/15/49		292,029
			Total Environmental Control		1,638,662
	Food — 0.6%
	395,000	BBB-	Campbell Soup Co., Senior Unsecured Notes, 3.300% due 3/15/21		400,667
	179,000	BBB-	Conagra Brands Inc., Senior Unsecured Notes, 5.300% due 11/1/38		209,945
	1,130,000	BBB+	Danone SA, Senior Unsecured Notes, 2.077% due 11/2/21(a)		1,127,600
	165,000	BBB-	Kraft Foods Group Inc., Company Guaranteed Notes, 5.000% due 6/4/42		170,496
			Kraft Heinz Foods Co.:
			Company Guaranteed Notes:
	250,000	BBB-	5.375% due 2/10/20		253,015
	80,000	BBB-	3.950% due 7/15/25		83,063
	460,000	BBB-	3.000% due 6/1/26		452,714
	50,000	BBB-	5.000% due 7/15/35		53,570
	145,000	BBB-	5.200% due 7/15/45		153,174
	925,000	BBB-	4.375% due 6/1/46		890,146
	56,000	BBB-	Secured Notes, 4.875% due 2/15/25(a)		57,794
	530,000	BBB	Kroger Co. (The), Senior Unsecured Notes, 5.400% due 1/15/49		633,339
			Mars Inc., Company Guaranteed Notes:
	110,000	A	2.700% due 4/1/25(a)		113,828
	350,000	A	3.200% due 4/1/30(a)		373,688
	500,000	BBB	Mondelez International Holdings Netherlands BV, Company Guaranteed Notes, 2.000% due 10/28/21(a)		498,707
	34,000	BB-	Pilgrim’s Pride Corp., Company Guaranteed Notes, 5.875% due 9/30/27(a)		36,763
	100,000	B+	Post Holdings Inc., Company Guaranteed Notes, 5.625% due 1/15/28(a)		106,875
	200,000	AA-	Seven & i Holdings Co., Ltd., Senior Unsecured Notes, 3.350% due 9/17/21(a)		204,878
	85,000	BBB+	Sysco Corp., Company Guaranteed Notes, 3.550% due 3/15/25		90,668

See Notes to Financial Statements.

174

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Food — 0.6% — (continued)
			Tyson Foods Inc., Senior Unsecured Notes:
$	305,000	BBB	3.900% due 9/28/23	$	324,657
	400,000	BBB	4.000% due 3/1/26		436,240
	35,000	BBB	4.550% due 6/2/47		40,356
	25,000	BBB	5.100% due 9/28/48		31,176
	140,000	A	WM Wrigley Jr Co., Senior Unsecured Notes, 2.900% due 10/21/19(a)		140,061
			Total Food		6,883,420
	Forest Products & Paper — 0.0%
			Georgia-Pacific LLC:
	19,000	A+	Company Guaranteed Notes, 5.400% due 11/1/20(a)		19,705
			Senior Unsecured Notes:
	55,000	A+	3.734% due 7/15/23(a)		58,220
	140,000	A+	3.600% due 3/1/25(a)		149,160
			International Paper Co., Senior Unsecured Notes:
	10,000	BBB	7.300% due 11/15/39		13,995
	85,000	BBB	4.350% due 8/15/48		90,142
	140,000	B+	Resolute Forest Products Inc., Company Guaranteed Notes, 5.875% due 5/15/23(h)		140,000
			Total Forest Products & Paper		471,222
	Gas — 0.1%
	50,000	A	Atmos Energy Corp., Senior Unsecured Notes, 4.125% due 3/15/49		60,401
			Dominion Energy Gas Holdings LLC, Senior Unsecured Notes:
	25,000	BBB+	4.800% due 11/1/43		30,849
	35,000	BBB+	4.600% due 12/15/44		42,498
			NiSource Inc., Senior Unsecured Notes:
	400,000	BBB+	2.650% due 11/17/22		406,091
	140,000	BBB+	3.490% due 5/15/27		148,559
	250,000	A-	Southern Co. Gas Capital Corp., Company Guaranteed Notes, 4.400% due 5/30/47		285,325
			Total Gas		973,723
	Healthcare — Products — 0.3%
			Abbott Laboratories, Senior Unsecured Notes:
	151,000	BBB+	3.400% due 11/30/23		159,208
	190,000	BBB+	2.950% due 3/15/25		197,875
	146,000	BBB+	3.750% due 11/30/26		160,748
	70,000	BBB+	4.750% due 11/30/36		87,837
	150,000	BBB+	4.900% due 11/30/46		200,723
			Becton Dickinson & Co., Senior Unsecured Notes:
	265,000	BBB	2.404% due 6/5/20		265,337
	500,000	BBB	2.894% due 6/6/22		508,424
	995,000	BBB	3.363% due 6/6/24		1,039,174
	61,000	BBB	3.734% due 12/15/24		64,944
	47,000	BBB	4.685% due 12/15/44		55,966
	100,000	BB-	Hologic Inc., Company Guaranteed Notes, 4.625% due 2/1/28(a)		103,875
			Medtronic Inc., Company Guaranteed Notes:
	89,000	A	3.500% due 3/15/25		96,119
	65,000	A	4.375% due 3/15/35		79,093
	13,000	WR(b)	St Jude Medical LLC, Senior Unsecured Notes, 4.750% due 4/15/43		13,378
			Thermo Fisher Scientific Inc., Senior Unsecured Notes:
	45,000	BBB+	3.150% due 1/15/23		46,387
	205,000	BBB+	3.000% due 4/15/23		210,994
	60,000	BBB+	4.150% due 2/1/24		64,580
	20,000	BBB+	2.950% due 9/19/26		20,695
	80,000	BBB+	3.200% due 8/15/27		84,280
	500,000	BBB	Zimmer Biomet Holdings Inc., Senior Unsecured Notes, 2.700% due 4/1/20		501,128
			Total Healthcare — Products		3,960,765

See Notes to Financial Statements.

175

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Healthcare — Services — 1.0%
			Aetna Inc., Senior Unsecured Notes:
$	40,000	BBB	2.800% due 6/15/23	$	40,660
	55,000	BBB	4.125% due 11/15/42		57,022
	10,000	BBB	3.875% due 8/15/47		10,088
			Anthem Inc., Senior Unsecured Notes:
	450,000	A	3.125% due 5/15/22		461,123
	135,000	A	2.950% due 12/1/22		138,200
	1,125,000	A	3.650% due 12/1/27		1,195,295
	160,000	B+	Catalent Pharma Solutions Inc., Company Guaranteed Notes, 4.875% due 1/15/26(a)		163,200
			Centene Corp., Senior Unsecured Notes:
	929,000	BB+	5.625% due 2/15/21		942,935
	140,000	BB+	4.750% due 5/15/22		143,993
	90,000	BB+	6.125% due 2/15/24		94,432
	20,000	BB+	5.375% due 6/1/26(a)		21,431
			CHS/Community Health Systems Inc., Senior Secured Notes:
	26,000	B-	8.625% due 1/15/24(a)		26,065
	59,000	B-	8.000% due 3/15/26(a)		56,788
			Cigna Holding Co., Company Guaranteed Notes:
	125,000	A-	3.250% due 4/15/25		129,364
	20,000	A-	3.050% due 10/15/27		20,439
	30,000	BBB+	CommonSpirit Health, Secured Notes, 4.350% due 11/1/42		32,747
	20,000	BBB	Fresenius Medical Care US Finance Inc., Company Guaranteed Notes, 5.750% due 2/15/21(a)		20,874
			HCA Inc.:
			Company Guaranteed Notes:
	100,000	BB-	7.500% due 2/15/22		112,231
	40,000	BB-	5.375% due 9/1/26		44,700
	20,000	BB-	5.625% due 9/1/28		22,806
	309,000	BB-	5.875% due 2/1/29		356,122
			Senior Secured Notes:
	100,000	BBB-	4.750% due 5/1/23		107,578
	248,000	BBB-	5.000% due 3/15/24		271,131
	239,000	BBB-	5.250% due 4/15/25		267,665
	170,000	BBB-	5.250% due 6/15/26		192,110
	175,000	BBB-	4.500% due 2/15/27		189,973
	105,000	BBB-	4.125% due 6/15/29		111,940
	160,000	BBB-	5.500% due 6/15/47		184,055
	470,000	BBB-	5.250% due 6/15/49		526,764
			Humana Inc., Senior Unsecured Notes:
	360,000	BBB+	2.500% due 12/15/20		360,755
	280,000	BBB+	3.150% due 12/1/22		287,503
	30,000	BBB+	3.950% due 3/15/27		32,125
	70,000	BBB+	4.625% due 12/1/42		80,474
	40,000	BBB+	4.950% due 10/1/44		47,696
	500,000	BBB+	3.950% due 8/15/49		524,165
	500,000	AA-	Kaiser Foundation Hospitals, Company Guaranteed Notes, 3.150% due 5/1/27		534,527
	255,000	BB-	Molina Healthcare Inc., Senior Unsecured Notes, 5.375% due 11/15/22		273,498
			Tenet Healthcare Corp., Senior Secured Notes:
	225,000	BB-	4.750% due 6/1/20		228,937
	245,000	BB-	4.500% due 4/1/21		253,697
	256,000	BB-	4.375% due 10/1/21		267,136
	24,000	BB-	4.625% due 7/15/24		24,780
			UnitedHealth Group Inc., Senior Unsecured Notes:
	120,000	A+	2.700% due 7/15/20		120,808
	460,000	A+	3.375% due 11/15/21		472,339
	80,000	A+	2.875% due 12/15/21		81,647

See Notes to Financial Statements.

176

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Healthcare — Services — 1.0% — (continued)
$	390,000	A+	3.750% due 7/15/25	$	424,564
	160,000	A+	3.450% due 1/15/27		172,181
	500,000	A+	3.850% due 6/15/28		556,769
	50,000	A+	3.875% due 12/15/28		56,164
	145,000	A+	3.500% due 8/15/39		155,042
	155,000	A+	3.950% due 10/15/42		173,042
	22,000	A+	4.250% due 3/15/43		25,502
	190,000	A+	4.750% due 7/15/45		237,494
	70,000	A+	3.750% due 10/15/47		76,705
	120,000	A+	3.700% due 8/15/49		131,944
	90,000	A+	3.875% due 8/15/59		99,903
			WellCare Health Plans Inc., Senior Unsecured Notes:
	41,000	BB	5.250% due 4/1/25		43,083
	104,000	BB	5.375% due 8/15/26(a)		111,150
			Total Healthcare — Services		11,795,361
	Home Builders — 0.0%
			Lennar Corp., Company Guaranteed Notes:
	10,000	BB+	5.000% due 6/15/27		10,762
	150,000	BB+	4.750% due 11/29/27		163,875
	50,000	BB+	Toll Brothers Finance Corp., Company Guaranteed Notes, 4.375% due 4/15/23		52,375
			Total Home Builders		227,012
	Household Products/Wares — 0.0%
	45,000	A-	Clorox Co. (The), Senior Unsecured Notes, 3.900% due 5/15/28		50,522
	90,000	B+	Spectrum Brands Inc., Company Guaranteed Notes, 5.750% due 7/15/25		94,050
			Total Household Products/Wares		144,572
	Housewares — 0.0%
			Newell Brands Inc., Senior Unsecured Notes:
	60,000	BBB-	3.850% due 4/1/23		61,810
	80,000	BBB-	4.200% due 4/1/26		83,065
			Total Housewares		144,875
	Insurance — 0.6%
	10,000	BBB+	American International Group Inc., Senior Unsecured Notes, 4.875% due 6/1/22		10,720
			Aon Corp., Company Guaranteed Notes:
	55,000	A-	4.500% due 12/15/28		63,035
	56,000	A-	3.750% due 5/2/29		60,796
			Aon PLC, Company Guaranteed Notes:
	116,000	A-	4.450% due 5/24/43		129,554
	54,000	A-	4.600% due 6/14/44		63,380
	80,000	A-	4.750% due 5/15/45		96,889
	255,000	BBB+	AXA Equitable Holdings Inc., Senior Unsecured Notes, 3.900% due 4/20/23		267,964
			Berkshire Hathaway Finance Corp., Company Guaranteed Notes:
	400,000	AA	4.400% due 5/15/42		488,541
	350,000	AA	4.250% due 1/15/49		425,436
	30,000	AA	Berkshire Hathaway Inc., Senior Unsecured Notes, 3.125% due 3/15/26		31,822
	40,000	BBB+	Brighthouse Financial Inc., Senior Unsecured Notes, 4.700% due 6/22/47		36,076
			Chubb INA Holdings Inc., Company Guaranteed Notes:
	60,000	A	2.300% due 11/3/20		60,246
	70,000	A	3.350% due 5/3/26		75,152
	100,000	BBB+	Farmers Exchange Capital, Subordinated Notes, 7.200% due 7/15/48(a)		143,405
	900,000	BBB+	Farmers Exchange Capital II, Subordinated Notes, 6.151% (3-Month USD-LIBOR + 3.744%) due 11/1/53(a)(c)		1,115,976
	44,000	BBB+	Hartford Financial Services Group Inc. (The), Senior Unsecured Notes, 4.300% due 4/15/43		49,687

See Notes to Financial Statements.

177

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Insurance — 0.6% — (continued)
$	20,000	A	Loews Corp., Senior Unsecured Notes, 4.125% due 5/15/43	$	22,512
			Marsh & McLennan Cos., Inc., Senior Unsecured Notes:
	190,000	A-	2.750% due 1/30/22		193,176
	381,000	A-	3.500% due 6/3/24		402,520
	105,000	A-	4.350% due 1/30/47		125,511
	75,000	A-	4.200% due 3/1/48		87,922
			MetLife Inc.:
	620,000	BBB	Junior Subordinated Notes, 6.400% due 12/15/36		724,411
	95,000	A-	Senior Unsecured Notes, 3.000% due 3/1/25		99,124
	850,000	A-	Nationwide Mutual Insurance Co., Subordinated Notes, 4.700% (3-Month USD-LIBOR + 2.290%) due 12/15/24(a)(c)		850,038
			Teachers Insurance & Annuity Association of America, Subordinated Notes:
	24,000	AA-	6.850% due 12/16/39(a)		36,251
	320,000	AA-	4.900% due 9/15/44(a)		403,147
	55,000	BBB	Trinity Acquisition PLC, Company Guaranteed Notes, 4.400% due 3/15/26		60,295
	340,000	BBB	Willis North America Inc., Company Guaranteed Notes, 4.500% due 9/15/28		382,663
			Total Insurance		6,506,249
	Internet — 0.1%
			Amazon.com Inc., Senior Unsecured Notes:
	130,000	AA-	3.150% due 8/22/27		139,789
	109,000	AA-	3.875% due 8/22/37		127,344
	160,000	AA-	4.950% due 12/5/44		214,865
	102,000	AA-	4.050% due 8/22/47		125,311
	5,000	AA-	4.250% due 8/22/57		6,377
	35,000	BBB+	eBay Inc., Senior Unsecured Notes, 4.000% due 7/15/42		34,707
	40,000	BBB	Expedia Group Inc., Company Guaranteed Notes, 4.500% due 8/15/24		43,683
	407,000	A+	Tencent Holdings Ltd., Senior Unsecured Notes, 2.985% due 1/19/23(a)		415,758
			Total Internet		1,107,834
	Investment Companies — 0.0%
	470,000	BBB-	Ares Capital Corp., Senior Unsecured Notes, 4.250% due 3/1/25		487,359
	Iron/Steel — 0.1%
			ArcelorMittal, Senior Unsecured Notes:
	505,000	BBB-	4.550% due 3/11/26		529,709
	30,000	BBB-	7.000% due 10/15/39		35,947
	125,000	BBB-	Vale Overseas Ltd., Company Guaranteed Notes, 6.875% due 11/21/36		157,031
			Total Iron/Steel		722,687
	Leisure Time — 0.0%
	110,000	BB	VOC Escrow Ltd., Senior Secured Notes, 5.000% due 2/15/28(a)		113,300
	Lodging — 0.1%
	10,000	BB+	Hilton Domestic Operating Co., Inc., Company Guaranteed Notes, 5.125% due 5/1/26		10,580
			Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Company Guaranteed Notes:
	10,000	BB+	4.625% due 4/1/25		10,350
	60,000	BB+	4.875% due 4/1/27		63,375
	590,000	BBB-	Las Vegas Sands Corp., Senior Unsecured Notes, 3.200% due 8/8/24		602,697
	650,000	BBB-	Sands China Ltd., Senior Unsecured Notes, 5.125% due 8/8/25		721,565
			Total Lodging		1,408,567
	Machinery — Diversified — 0.0%
	20,000	BBB	CNH Industrial NV, Senior Unsecured Notes, 3.850% due 11/15/27		20,828
	20,000	BBB	Crane Co., Senior Unsecured Notes, 4.200% due 3/15/48		21,286
	70,000	A	John Deere Capital Corp., Senior Unsecured Notes, 1.700% due 1/15/20		69,907
	320,000	BBB-	nVent Finance Sarl, Company Guaranteed Notes, 3.950% due 4/15/23		327,665
			Total Machinery — Diversified		439,686

See Notes to Financial Statements.

178

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Machinery — Construction & Mining — 0.0%
$	20,000	A	ABB Finance USA Inc., Company Guaranteed Notes, 4.375% due 5/8/42	$	25,136
	Media — 1.3%
			CBS Corp., Company Guaranteed Notes:
	30,000	BBB	3.375% due 3/1/22		30,828
	350,000	BBB	3.700% due 6/1/28		371,107
			CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes:
	10,000	BB	5.250% due 9/30/22		10,119
	130,000	BB	5.125% due 5/1/27(a)		137,799
	228,000	BB	5.375% due 6/1/29(a)		244,245
			Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes:
	50,000	BBB-	3.579% due 7/23/20		50,483
	415,000	BBB-	4.464% due 7/23/22		438,080
	120,000	BBB-	4.500% due 2/1/24		129,112
	205,000	BBB-	4.908% due 7/23/25		226,700
	210,000	BBB-	3.750% due 2/15/28		217,217
	399,000	BBB-	4.200% due 3/15/28		424,913
	645,000	BBB-	5.050% due 3/30/29		729,562
	143,000	BBB-	6.384% due 10/23/35		174,756
	50,000	BBB-	5.375% due 4/1/38		56,470
	610,000	BBB-	6.484% due 10/23/45		755,122
	510,000	BBB-	5.750% due 4/1/48		594,782
	160,000	A-	Comcast Cable Communications Holdings Inc., Company Guaranteed Notes, 9.455% due 11/15/22		196,954
			Comcast Corp., Company Guaranteed Notes:
	320,000	A-	3.300% due 10/1/20		324,707
	300,000	A-	3.950% due 10/15/25		329,083
	67,000	A-	2.350% due 1/15/27		67,367
	55,000	A-	3.300% due 2/1/27		58,588
	75,000	A-	3.150% due 2/15/28		79,070
	915,000	A-	4.150% due 10/15/28		1,039,120
	290,000	A-	4.250% due 10/15/30		336,922
	30,000	A-	6.500% due 11/15/35		42,569
	100,000	A-	3.200% due 7/15/36		104,016
	80,000	A-	6.950% due 8/15/37		119,263
	50,000	A-	3.900% due 3/1/38		56,134
	307,000	A-	3.400% due 7/15/46		319,904
	253,000	A-	3.969% due 11/1/47		285,787
	1,040,000	A-	4.700% due 10/15/48		1,304,970
	23,000	A-	3.999% due 11/1/49		26,051
	39,000	A-	4.049% due 11/1/52		44,682
	85,000	A-	4.950% due 10/15/58		110,876
			Cox Communications Inc., Senior Unsecured Notes:
	40,000	BBB	3.250% due 12/15/22(a)		41,137
	227,000	BBB	3.150% due 8/15/24(a)		234,042
	18,000	BBB	3.350% due 9/15/26(a)		18,723
			CSC Holdings LLC, Company Guaranteed Notes:
	400,000	BB	6.625% due 10/15/25(a)		429,232
	200,000	BB	5.500% due 5/15/26(a)		212,000
			Discovery Communications LLC, Company Guaranteed Notes:
	35,000	BBB-	2.200% due 9/20/19		34,995
	85,000	BBB-	5.000% due 9/20/37		93,898
	66,000	BBB-	4.875% due 4/1/43		70,340

See Notes to Financial Statements.

179

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††		Security	Value
	Media — 1.3% — (continued)
				DISH DBS Corp., Company Guaranteed Notes:
$	20,000		B-	5.125% due 5/1/20	$	20,275
	10,000		B-	5.875% due 11/15/24		9,551
	50,000		B-	7.750% due 7/1/26		49,250
				Fox Corp., Senior Unsecured Notes:
	355,000		BBB	4.030% due 1/25/24(a)		380,785
	180,000		BBB	4.709% due 1/25/29(a)		208,499
	240,000		BBB	5.476% due 1/25/39(a)		300,935
	30,000		BBB	Historic TW Inc., Company Guaranteed Notes, 6.625% due 5/15/29		38,516
	370,000		BBB-	Myriad International Holdings BV, Company Guaranteed Notes, 4.850% due 7/6/27(a)		420,908
				NBCUniversal Media LLC, Company Guaranteed Notes:
	40,000		A-	5.150% due 4/30/20		40,786
	180,000		A-	5.950% due 4/1/41		250,783
	115,000		BB	Sirius XM Radio Inc., Company Guaranteed Notes, 3.875% due 8/1/22(a)		117,588
				Time Warner Cable LLC, Senior Secured Notes:
	385,000		BBB-	4.000% due 9/1/21		394,894
	230,000		BBB-	7.300% due 7/1/38		295,373
	20,000		BBB-	5.875% due 11/15/40		22,803
	490,000		BBB-	5.500% due 9/1/41		535,927
				Time Warner Entertainment Co. LP, Senior Secured Notes:
	70,000		BBB-	8.375% due 3/15/23		83,154
	240,000		BBB-	8.375% due 7/15/33		336,880
	200,000		BB	UPCB Finance IV Ltd., Senior Secured Notes, 5.375% due 1/15/25(a)		206,850
				Viacom Inc., Senior Unsecured Notes:
	40,000		BBB-	4.250% due 9/1/23		42,725
	10,000		BBB-	3.875% due 4/1/24		10,569
	80,000		BBB-	4.375% due 3/15/43		84,996
	200,000		BB-	Virgin Media Secured Finance PLC, Senior Secured Notes, 5.250% due 1/15/26(a)		205,750
				Walt Disney Co. (The), Company Guaranteed Notes:
	30,000		A	4.500% due 2/15/21(a)		31,104
	70,000		A	6.200% due 12/15/34(a)		99,265
	45,000		A	6.400% due 12/15/35(a)		65,228
	100,000		A	6.150% due 3/1/37(a)		143,539
	30,000		A	6.650% due 11/15/37(a)		45,414
	10,000		A	6.900% due 8/15/39(a)		15,595
				Warner Media LLC, Company Guaranteed Notes:
	234,000		BBB	3.875% due 1/15/26		249,515
	165,000		BBB	3.800% due 2/15/27		173,484
	45,000		BBB	7.625% due 4/15/31		62,759
	50,000		BBB	5.350% due 12/15/43		56,727
				Total Media		15,572,152
	Mining — 0.4%
				Anglo American Capital PLC, Company Guaranteed Notes:
	560,000		BBB	3.625% due 9/11/24(a)		578,201
	470,000		BBB	4.750% due 4/10/27(a)		508,548
	40,000		BBB	Barrick Gold Corp., Senior Unsecured Notes, 5.250% due 4/1/42		49,881
				Barrick North America Finance LLC, Company Guaranteed Notes:
	70,000		BBB	5.700% due 5/30/41		90,741
	190,000		BBB	5.750% due 5/1/43		255,903
				BHP Billsiton Finance USA Ltd., Company Guaranteed Notes:
	150,000		A	5.000% due 9/30/43		198,435
	310,000		BBB+	6.750% (5-Year USD Swap Rate + 5.093%) due 10/19/75(a)(c)		363,543
				Freeport-McMoRan Inc., Company Guaranteed Notes:
	30,000		BB	3.550% due 3/1/22		30,150
	10,000		BB	3.875% due 3/15/23		10,129

See Notes to Financial Statements.

180

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Mining — 0.4% — (continued)
$	10,000	BB	4.550% due 11/14/24	$	10,123
	50,000	BB	5.450% due 3/15/43		45,875
			Glencore Funding LLC, Company Guaranteed Notes:
	40,000	BBB+	2.875% due 4/16/20(a)		40,103
	950,000	BBB+	4.125% due 3/12/24(a)		1,000,758
	210,000	BBB+	4.625% due 4/29/24(a)		222,905
	270,000	BBB+	4.000% due 3/27/27(a)		279,319
	200,000	Baa2(b)	Indonesia Asahan Aluminium Persero PT, Senior Unsecured Notes, 6.530% due 11/15/28(a)		248,536
	50,000	BBB	Newmont Goldcorp Corp., Company Guaranteed Notes, 4.875% due 3/15/42		60,309
	760,000	BBB+	Southern Copper Corp., Senior Unsecured Notes, 5.250% due 11/8/42		879,790
			Teck Resources Ltd., Senior Unsecured Notes:
	10,000	BBB-	6.000% due 8/15/40		11,062
	45,000	BBB-	6.250% due 7/15/41		50,861
	90,000	BB+	Yamana Gold Inc., Company Guaranteed Notes, 4.625% due 12/15/27		95,699
			Total Mining		5,030,871
	Miscellaneous Manufacturers — 0.4%
	150,000	AA-	3M Co., Senior Unsecured Notes, 2.375% due 8/26/29		150,246
			Eaton Corp., Company Guaranteed Notes:
	386,000	A-	2.750% due 11/2/22		393,938
	185,000	A-	4.150% due 11/2/42		210,036
			General Electric Co.:
			Senior Unsecured Notes:
	20,000	BBB+	5.500% due 1/8/20		20,177
	250,000	BBB+	4.625% due 1/7/21		255,718
	72,000	BBB+	4.650% due 10/17/21		74,594
	390,000	BBB+	6.750% due 3/15/32		478,512
	1,025,000	BBB+	2.638% (3-Month USD-LIBOR + 0.480%) due 8/15/36(c)		723,861
	162,000	BBB+	6.150% due 8/7/37		191,889
	230,000	BBB+	5.875% due 1/14/38		265,963
	658,000	BBB+	6.875% due 1/10/39		839,598
	70,000	BBB+	4.500% due 3/11/44		70,856
	141,000	BBB	Subordinated Notes, 5.300% due 2/11/21		144,828
	75,000	BBB	Ingersoll-Rand Luxembourg Finance SA, Company Guaranteed Notes, 3.500% due 3/21/26		78,692
			Textron Inc., Senior Unsecured Notes:
	70,000	BBB	3.650% due 3/15/27		73,888
	140,000	BBB	3.900% due 9/17/29		151,092
			Total Miscellaneous Manufacturers		4,123,888
	Oil & Gas — 1.9%
	140,000	BBB	Anadarko Finance Co., Company Guaranteed Notes, 7.500% due 5/1/31		186,569
			Anadarko Petroleum Corp., Senior Unsecured Notes:
	56,000	BBB	4.850% due 3/15/21		57,906
	760,000	BBB	5.550% due 3/15/26		861,293
	40,000	BBB	6.450% due 9/15/36		50,397
	150,000	BBB	4.500% due 7/15/44		154,654
	40,000	BBB	6.600% due 3/15/46		52,991
	130,000	BBB	7.730% due 9/15/96		177,943
	60,000	BB	Antero Resources Corp., Company Guaranteed Notes, 5.375% due 11/1/21		58,350
			Apache Corp., Senior Unsecured Notes:
	181,000	BBB	3.250% due 4/15/22		184,397
	690,000	BBB	4.375% due 10/15/28		708,395
	280,000	BBB	5.100% due 9/1/40		283,705
	60,000	BBB	4.250% due 1/15/44		54,541

See Notes to Financial Statements.

181

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Oil & Gas — 1.9% — (continued)
			BP Capital Markets America Inc., Company Guaranteed Notes:
$	110,000	A-	3.245% due 5/6/22	$	113,608
	230,000	A-	3.216% due 11/28/23		240,006
	470,000	A-	3.410% due 2/11/26		501,003
	90,000	A-	4.234% due 11/6/28		102,606
			BP Capital Markets PLC, Company Guaranteed Notes:
	270,000	A-	3.814% due 2/10/24		289,217
	30,000	A-	3.535% due 11/4/24		32,034
	270,000	A-	3.506% due 3/17/25		288,058
	94,000	BBB+	Canadian Natural Resources Ltd., Senior Unsecured Notes, 3.850% due 6/1/27		99,833
	28,000	BB-	Centennial Resource Production LLC, Company Guaranteed Notes, 5.375% due 1/15/26(a)		26,810
			Chesapeake Energy Corp., Company Guaranteed Notes:
	10,000	B+	6.625% due 8/15/20		10,025
	30,000	B+	6.125% due 2/15/21		28,350
	230,000	AA	Chevron Corp., Senior Unsecured Notes, 2.954% due 5/16/26		243,403
			Cimarex Energy Co., Senior Unsecured Notes:
	87,000	BBB-	4.375% due 6/1/24		91,788
	486,000	BBB-	3.900% due 5/15/27		497,587
	530,000	A+	CNOOC Finance 2015 USA LLC, Company Guaranteed Notes, 3.500% due 5/5/25		557,427
			Concho Resources Inc., Company Guaranteed Notes:
	20,000	BBB-	4.375% due 1/15/25		20,748
	100,000	BBB-	3.750% due 10/1/27		104,156
	550,000	BBB-	4.300% due 8/15/28		599,002
			Continental Resources Inc., Company Guaranteed Notes:
	78,000	BBB-	4.500% due 4/15/23		80,823
	950,000	BBB-	3.800% due 6/1/24		964,532
	30,000	BBB-	4.375% due 1/15/28		30,815
			Devon Energy Corp., Senior Unsecured Notes:
	480,000	BBB	5.850% due 12/15/25		575,284
	235,000	BBB	5.600% due 7/15/41		289,963
	10,000	BBB	4.750% due 5/15/42		11,123
	50,000	BB+	Diamondback Energy Inc., Company Guaranteed Notes, 5.375% due 5/31/25		52,625
			Ecopetrol SA, Senior Unsecured Notes:
	95,000	BBB-	4.125% due 1/16/25		99,869
	750,000	BBB-	5.875% due 5/28/45		884,070
	29,000	BB-	Endeavor Energy Resources LP/EER Finance Inc., Senior Unsecured Notes, 5.750% due 1/30/28(a)		30,522
	150,000	A-	EOG Resources Inc., Senior Unsecured Notes, 3.900% due 4/1/35		168,818
			Exxon Mobil Corp., Senior Unsecured Notes:
	380,000	AA+	3.043% due 3/1/26		403,778
	70,000	AA+	4.114% due 3/1/46		85,061
	100,000	AA+	3.095% due 8/16/49		103,925
			Kerr-McGee Corp., Company Guaranteed Notes:
	200,000	BBB	6.950% due 7/1/24		236,647
	75,000	BBB	7.875% due 9/15/31		103,426
	210,000	BBB	Marathon Oil Corp., Senior Unsecured Notes, 2.700% due 6/1/20		210,497
			Marathon Petroleum Corp., Senior Unsecured Notes:
	55,000	BBB	4.750% due 12/15/23		59,961
	40,000	BBB	6.500% due 3/1/41		50,949
	90,000	BB-	Matador Resources Co., Company Guaranteed Notes, 5.875% due 9/15/26		87,637
			Noble Energy Inc., Senior Unsecured Notes:
	60,000	BBB	4.150% due 12/15/21		61,979
	120,000	BBB	3.850% due 1/15/28		125,256
	110,000	BBB	5.250% due 11/15/43		124,849
	60,000	BBB	4.950% due 8/15/47		66,828

See Notes to Financial Statements.

182

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Oil & Gas — 1.9% — (continued)
			Oasis Petroleum Inc., Company Guaranteed Notes:
$	30,000	BB-	6.875% due 3/15/22	$	28,050
	29,000	BB-	6.875% due 1/15/23		26,390
			Occidental Petroleum Corp., Senior Unsecured Notes:
	438,000	BBB	2.600% due 8/13/21		441,060
	100,000	BBB	3.125% due 2/15/22		101,517
	468,000	BBB	2.700% due 8/15/22		472,556
	225,000	BBB	2.900% due 8/15/24		227,277
	90,000	BBB	3.400% due 4/15/26		91,477
	215,000	BBB	3.500% due 8/15/29		219,135
	90,000	BBB	4.625% due 6/15/45		95,200
	57,000	BBB	4.400% due 4/15/46		58,279
	30,000	BBB	4.100% due 2/15/47		29,830
	560,000	BBB	4.200% due 3/15/48		565,946
	75,000	BB-	Parsley Energy LLC/Parsley Finance Corp., Company Guaranteed Notes, 5.375% due 1/15/25(a)		76,875
			Petrobras Global Finance BV, Company Guaranteed Notes:
	1,358,000	BB-	5.299% due 1/27/25		1,471,665
	360,000	BB-	5.750% due 2/1/29		390,780
			Petroleos Mexicanos, Company Guaranteed Notes:
	255,000	BBB+	6.000% due 3/5/20		258,310
	610,000	BBB+	3.500% due 1/30/23		594,140
	1,065,000	BBB+	6.500% due 3/13/27		1,095,885
	140,000	BBB+	5.350% due 2/12/28		132,930
	755,000	BBB+	6.500% due 1/23/29		769,262
	19,000	BBB+	6.625% due 6/15/35		18,572
	35,000	BBB+	6.500% due 6/2/41		32,823
	1,170,000	BBB+	6.750% due 9/21/47		1,117,350
	40,000	BB-	QEP Resources Inc., Senior Unsecured Notes, 6.875% due 3/1/21		39,900
			Range Resources Corp., Company Guaranteed Notes:
	20,000	BB	5.875% due 7/1/22		19,250
	110,000	BB	5.000% due 3/15/23		97,625
	267,000	BB	4.875% due 5/15/25		220,275
			Shell International Finance BV, Company Guaranteed Notes:
	180,000	AA-	4.375% due 3/25/20		182,331
	500,000	AA-	3.250% due 5/11/25		531,896
	260,000	AA-	2.875% due 5/10/26		272,593
	300,000	AA-	3.875% due 11/13/28		340,674
	145,000	AA-	4.125% due 5/11/35		169,561
	114,000	AA-	4.550% due 8/12/43		141,453
	220,000	AA-	4.375% due 5/11/45		269,844
	40,000	AA-	4.000% due 5/10/46		47,058
	400,000	A+	Sinopec Group Overseas Development 2014 Ltd., Company Guaranteed Notes, 4.375% due 4/10/24(a)		435,125
			Suncor Energy Inc., Senior Unsecured Notes:
	5,000	A-	5.950% due 5/15/35		6,519
	58,000	A-	6.800% due 5/15/38		82,944
	113,030	B+	Transocean Pontus Ltd., Senior Secured Notes, 6.125% due 8/1/25(a)		115,166
	140,000	B+	Transocean Poseidon Ltd., Senior Secured Notes, 6.875% due 2/1/27(a)		146,475
	50,000	BB-	Whiting Petroleum Corp., Company Guaranteed Notes, 5.750% due 3/15/21		46,947
			Total Oil & Gas		23,066,984

See Notes to Financial Statements.

183

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Oil & Gas Services — 0.1%
			Halliburton Co., Senior Unsecured Notes:
$	220,000	A-	3.800% due 11/15/25	$	233,380
	20,000	A-	4.850% due 11/15/35		22,600
	50,000	A-	5.000% due 11/15/45		56,062
			Schlumberger Holdings Corp., Senior Unsecured Notes:
	120,000	A+	4.000% due 12/21/25(a)		128,903
	171,000	A+	3.900% due 5/17/28(a)		182,024
	20,000	A+	Schlumberger Norge AS, Company Guaranteed Notes, 4.200% due 1/15/21(a)		20,434
	93,750	B+	Transocean Proteus Ltd., Senior Secured Notes, 6.250% due 12/1/24(a)		96,328
			Total Oil & Gas Services		739,731
	Packaging & Containers — 0.2%
	500,000	BBB	Amcor Finance USA Inc., Company Guaranteed Notes, 4.500% due 5/15/28(a)		549,978
	130,000	BB+	Ball Corp., Company Guaranteed Notes, 4.000% due 11/15/23		137,638
	80,000	BBB-	Berry Global Inc, Senior Secured Notes, 4.875% due 7/15/26(a)		84,200
	24,000	BB	OI European Group BV, Company Guaranteed Notes, 4.000% due 3/15/23(a)		24,240
	411,871	B+	Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Senior Secured Notes, 5.750% due 10/15/20		413,415
	235,000	BB+	Sealed Air Corp., Company Guaranteed Notes, 5.500% due 9/15/25(a)		255,563
	175,000	BB-	Silgan Holdings Inc., Senior Unsecured Notes, 4.750% due 3/15/25		180,486
			WestRock RKT LLC, Company Guaranteed Notes:
	39,000	BBB	4.900% due 3/1/22		41,377
	20,000	BBB	4.000% due 3/1/23		21,019
	280,000	BBB	WRKCo Inc., Company Guaranteed Notes, 4.900% due 3/15/29		320,025
			Total Packaging & Containers		2,027,941
	Pharmaceuticals — 1.7%
			AbbVie Inc., Senior Unsecured Notes:
	60,000	A-	3.375% due 11/14/21		61,554
	100,000	A-	3.600% due 5/14/25		104,341
	240,000	A-	4.500% due 5/14/35		262,020
	15,000	A-	4.300% due 5/14/36		16,020
	889,000	A-	4.400% due 11/6/42		942,960
	385,000	BBB	Allergan Finance LLC, Company Guaranteed Notes, 3.250% due 10/1/22		393,919
			Allergan Funding SCS, Company Guaranteed Notes:
	155,000	BBB	3.450% due 3/15/22		159,264
	15,000	BBB	3.850% due 6/15/24		15,831
	288,000	BBB	3.800% due 3/15/25		302,715
	255,000	BBB	4.550% due 3/15/35		274,676
	150,000	BBB	4.750% due 3/15/45		163,946
	280,000	BBB	Allergan Inc., Company Guaranteed Notes, 2.800% due 3/15/23		282,517
			AstraZeneca PLC, Senior Unsecured Notes:
	40,000	BBB+	2.375% due 6/12/22		40,332
	200,000	BBB+	3.375% due 11/16/25		212,241
	60,000	B-	Bausch Health Americas Inc., Company Guaranteed Notes, 9.250% due 4/1/26(a)		68,100
			Bausch Health Cos., Inc.:
	17,000	B-	Company Guaranteed Notes, 5.500% due 3/1/23(a)		17,234
	100,000	BB-	Senior Secured Notes, 5.500% due 11/1/25(a)		105,248
			Bayer US Finance II LLC, Company Guaranteed Notes:
	560,000	BBB	4.375% due 12/15/28(a)		611,972
	140,000	BBB	4.400% due 7/15/44(a)		145,236
	55,000	BBB	3.950% due 4/15/45(a)		53,441
	100,000	BBB	4.875% due 6/25/48(a)		112,578
			Bayer US Finance LLC, Company Guaranteed Notes:
	200,000	BBB	3.000% due 10/8/21(a)		202,577
	745,000	BBB	3.375% due 10/8/24(a)		769,060

See Notes to Financial Statements.

184

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Pharmaceuticals — 1.7% — (continued)
			Bristol-Myers Squibb Co., Senior Unsecured Notes:
$	190,000	A+	2.600% due 5/16/22(a)	$	193,640
	370,000	A+	2.900% due 7/26/24(a)		383,785
	475,000	A+	3.200% due 6/15/26(a)		502,228
	130,000	A+	3.400% due 7/26/29(a)		140,839
	100,000	A+	4.125% due 6/15/39(a)		116,760
			Cardinal Health Inc., Senior Unsecured Notes:
	20,000	BBB+	4.625% due 12/15/20		20,610
	70,000	BBB+	2.616% due 6/15/22		70,469
	350,000	BBB+	3.079% due 6/15/24		355,029
			Cigna Corp., Company Guaranteed Notes:
	110,000	A-	3.400% due 9/17/21		112,805
	410,000	A-	3.750% due 7/15/23		431,247
	90,000	A-	4.125% due 11/15/25		97,976
	1,220,000	A-	4.375% due 10/15/28		1,364,986
	500,000	A-	4.900% due 12/15/48		592,380
			CVS Health Corp., Senior Unsecured Notes:
	5,000	BBB	2.800% due 7/20/20		5,026
	99,000	BBB	3.350% due 3/9/21		100,975
	340,000	BBB	2.750% due 12/1/22		345,364
	830,000	BBB	3.700% due 3/9/23		868,014
	400,000	BBB	4.100% due 3/25/25		428,461
	116,000	BBB	3.875% due 7/20/25		123,121
	1,620,000	BBB	4.300% due 3/25/28		1,768,034
	440,000	BBB	4.780% due 3/25/38		493,012
	105,000	BBB	5.125% due 7/20/45		122,196
	2,260,000	BBB	5.050% due 3/25/48		2,636,420
	162,880	BBB	CVS Pass-Through Trust, Pass-Thru Certificates, 6.036% due 12/10/28		184,802
			Eli Lilly & Co., Senior Unsecured Notes:
	40,000	A+	3.100% due 5/15/27		42,777
	40,000	A+	3.875% due 3/15/39		46,598
	35,000	A+	4.150% due 3/15/59		41,995
	180,000	A+	GlaxoSmithKline Capital PLC, Company Guaranteed Notes, 2.850% due 5/8/22		184,316
			Johnson & Johnson, Senior Unsecured Notes:
	400,000	AAA	2.450% due 3/1/26		412,943
	30,000	AAA	2.950% due 3/3/27		31,871
	110,000	AAA	3.625% due 3/3/37		124,034
	90,000	AA	Merck & Co., Inc., Senior Unsecured Notes, 2.750% due 2/10/25		93,734
	70,000	BBB-	Mylan Inc., Company Guaranteed Notes, 5.200% due 4/15/48		76,675
			Novartis Capital Corp., Company Guaranteed Notes:
	6,000	AA-	3.000% due 11/20/25		6,363
	15,000	AA-	3.100% due 5/17/27		16,152
	55,000	AA-	Pfizer Inc., Senior Unsecured Notes, 4.125% due 12/15/46		65,925
			Shire Acquisitions Investments Ireland DAC, Company Guaranteed Notes:
	300,000	BBB+	1.900% due 9/23/19		299,938
	295,000	BBB+	2.400% due 9/23/21		296,000
	205,000	BBB+	3.200% due 9/23/26		213,349
	400,000	BBB+	Takeda Pharmaceutical Co., Ltd., Senior Unsecured Notes, 5.000% due 11/26/28(a)		473,728
			Teva Pharmaceutical Finance Co. BV, Company Guaranteed Notes:
	80,000	BB	3.650% due 11/10/21		76,400
	10,000	BB	2.950% due 12/18/22		8,762
	90,000	BB	Teva Pharmaceutical Finance IV BV, Company Guaranteed Notes, 3.650% due 11/10/21		85,950
			Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes:
	360,000	BB	2.200% due 7/21/21		338,400
	140,000	BB	2.800% due 7/21/23		118,300

See Notes to Financial Statements.

185

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Pharmaceuticals — 1.7% — (continued)
$	130,000	AA-	Wyeth LLC, Company Guaranteed Notes, 5.950% due 4/1/37	$	181,509
			Total Pharmaceuticals		20,011,680
	Pipelines — 1.5%
	70,000	B	Blue Racer Midstream LLC/Blue Racer Finance Corp., Company Guaranteed Notes, 6.125% due 11/15/22(a)		70,700
	50,000	BB	Cheniere Corpus Christi Holdings LLC, Senior Secured Notes, 5.125% due 6/30/27		55,375
	285,000	BBB	El Paso Natural Gas Co. LLC, Company Guaranteed Notes, 8.625% due 1/15/22		324,789
	270,000	BBB-	Enbridge Inc., Subordinated Notes, 5.500% (3-Month USD-LIBOR + 3.418%) due 7/15/77(c)		271,180
			Energy Transfer Operating LP, Company Guaranteed Notes:
	330,000	BBB-	4.250% due 3/15/23		346,826
	20,000	BBB-	5.875% due 1/15/24		22,392
	270,000	BBB-	4.500% due 4/15/24		289,617
	170,000	BBB-	4.050% due 3/15/25		179,103
	178,000	BBB-	4.750% due 1/15/26		194,744
	279,000	BBB-	5.500% due 6/1/27		321,095
	30,000	BBB-	4.950% due 6/15/28		33,579
	90,000	BBB-	5.250% due 4/15/29		103,081
	300,000	BBB-	8.250% due 11/15/29		393,509
	105,000	BBB-	4.900% due 3/15/35		110,072
	180,000	BBB-	6.125% due 12/15/45		214,323
	200,000	BBB-	6.000% due 6/15/48		238,803
	10,000	BBB-	6.250% due 4/15/49		12,387
			Enterprise Products Operating LLC, Company Guaranteed Notes:
	740,000	BBB+	4.150% due 10/16/28		823,825
	165,000	BBB+	4.450% due 2/15/43		181,604
	110,000	BBB+	4.800% due 2/1/49		129,818
	190,000	BBB-	5.250% (3-Month USD-LIBOR + 3.033%) due 8/16/77(c)		187,914
	130,000	BBB-	5.375% (3-Month USD-LIBOR + 2.570%) due 2/15/78(c)		126,870
			EQM Midstream Partners LP, Senior Unsecured Notes:
	420,000	BBB-	5.500% due 7/15/28		425,724
	30,000	BBB-	6.500% due 7/15/48		29,421
			Kinder Morgan Energy Partners LP, Company Guaranteed Notes:
	120,000	BBB	6.850% due 2/15/20		122,308
	50,000	BBB	3.500% due 3/1/21		50,776
	200,000	BBB	4.250% due 9/1/24		215,659
	150,000	BBB	6.375% due 3/1/41		188,916
	140,000	BBB	5.400% due 9/1/44		161,765
			Kinder Morgan Inc., Company Guaranteed Notes:
	290,000	BBB	4.300% due 3/1/28		317,909
	50,000	BBB	5.550% due 6/1/45		60,068
	35,000	BBB+	Magellan Midstream Partners LP, Senior Unsecured Notes, 4.200% due 10/3/47		37,536
			MPLX LP, Senior Unsecured Notes:
	130,000	BBB	4.875% due 12/1/24		142,658
	80,000	BBB	4.000% due 2/15/25		84,225
	369,000	BBB	4.875% due 6/1/25		407,647
	415,000	BBB	4.125% due 3/1/27		437,733
	360,000	BBB	4.800% due 2/15/29		400,666
	150,000	BBB	4.500% due 4/15/38		154,947
	260,000	BBB	4.700% due 4/15/48		268,055
	150,000	BBB	5.500% due 2/15/49		172,120
	77,000	BBB-	NGPL PipeCo LLC, Senior Unsecured Notes, 4.375% due 8/15/22(a)		79,695
	190,000	A	Northern Natural Gas Co., Senior Unsecured Notes, 4.300% due 1/15/49(a)		226,995
	210,000	BBB	Northwest Pipeline LLC, Senior Unsecured Notes, 4.000% due 4/1/27		224,069
	279,270	BBB	Pipeline Funding Co. LLC, Senior Secured Notes, 7.500% due 1/15/30(a)		354,254

See Notes to Financial Statements.

186

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Pipelines — 1.5% — (continued)
			Plains All American Pipeline LP/PAA Finance Corp., Senior Unsecured Notes:
$	15,000	BBB-	3.650% due 6/1/22	$	15,422
	300,000	BBB-	4.650% due 10/15/25		321,898
			Rockies Express Pipeline LLC, Senior Unsecured Notes:
	177,000	BBB-	5.625% due 4/15/20(a)		181,382
	300,000	BBB-	4.950% due 7/15/29(a)		306,193
	280,000	BBB-	6.875% due 4/15/40(a)		311,024
	393,939	BBB-	Ruby Pipeline LLC, Senior Unsecured Notes, 6.000% due 4/1/22(a)		412,022
			Sabine Pass Liquefaction LLC, Senior Secured Notes:
	644,000	BBB-	5.750% due 5/15/24		719,507
	322,000	BBB-	5.625% due 3/1/25		361,783
	110,000	BBB-	5.875% due 6/30/26		126,508
	210,000	BBB-	5.000% due 3/15/27		232,063
	258,000	BBB+	Southern Natural Gas Co. LLC, Senior Unsecured Notes, 8.000% due 3/1/32		369,676
	95,000	BBB+	Spectra Energy Partners LP, Company Guaranteed Notes, 3.500% due 3/15/25		99,505
			Sunoco Logistics Partners Operations LP, Company Guaranteed Notes:
	75,000	BBB-	6.100% due 2/15/42		87,399
	35,000	BBB-	5.350% due 5/15/45		38,186
	300,000	BBB-	5.400% due 10/1/47		335,014
			Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes:
	50,000	BB	4.250% due 11/15/23		50,125
	40,000	BB	5.875% due 4/15/26		42,050
	50,000	BB	6.500% due 7/15/27(a)		54,375
	20,000	BB	6.875% due 1/15/29(a)		22,150
			Texas Eastern Transmission LP, Senior Unsecured Notes:
	30,000	BBB+	2.800% due 10/15/22(a)		30,269
	106,000	BBB+	3.500% due 1/15/28(a)		111,487
	295,000	BBB+	4.150% due 1/15/48(a)		318,311
			TransCanada PipeLines Ltd., Senior Unsecured Notes:
	50,000	BBB+	2.500% due 8/1/22		50,437
	245,000	BBB+	4.875% due 1/15/26		277,163
	105,000	BBB+	4.250% due 5/15/28		117,185
	23,000	BBB+	5.850% due 3/15/36		29,244
	52,000	BBB+	4.750% due 5/15/38		59,700
	82,000	BBB+	6.100% due 6/1/40		108,900
			Transcontinental Gas Pipe Line Co. LLC, Senior Unsecured Notes:
	906,000	BBB	7.850% due 2/1/26		1,160,520
	270,000	BBB	4.000% due 3/15/28		289,234
	340,000	BBB	4.600% due 3/15/48		386,906
	140,000	BBB-	Western Midstream Operating LP, Senior Unsecured Notes, 4.000% due 7/1/22		142,684
			Williams Cos., Inc. (The), Senior Unsecured Notes:
	70,000	BBB	5.250% due 3/15/20		71,051
	30,000	BBB	4.125% due 11/15/20		30,508
	336,000	BBB	7.875% due 9/1/21		371,112
	100,000	BBB	7.500% due 1/15/31		133,218
	260,000	BBB	7.750% due 6/15/31		352,453
	116,000	BBB	8.750% due 3/15/32		169,287
			Total Pipelines		17,490,703
	Real Estate Investment Trusts (REITs) — 0.7%
	103,000	BBB+	Alexandria Real Estate Equities Inc., Company Guaranteed Notes, 3.800% due 4/15/26		111,160
	600,000	BBB	American Campus Communities Operating Partnership LP, Company Guaranteed Notes, 3.350% due 10/1/20		607,514
	80,000	BBB-	American Tower Corp., Senior Unsecured Notes, 3.950% due 3/15/29		87,278

See Notes to Financial Statements.

187

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Real Estate Investment Trusts (REITs) — 0.7% — (continued)
			Boston Properties LP, Senior Unsecured Notes:
$	235,000	A-	3.200% due 1/15/25	$	244,663
	400,000	A-	2.750% due 10/1/26		406,699
	464,000	BBB-	CC Holdings GS V LLC/Crown Castle GS III Corp., Senior Secured Notes, 3.849% due 4/15/23		489,439
			Crown Castle International Corp., Senior Unsecured Notes:
	10,000	BBB-	3.400% due 2/15/21		10,153
	35,000	BBB-	5.250% due 1/15/23		38,313
	15,000	BBB-	3.700% due 6/15/26		15,954
	305,000	Baa3(b)	3.100% due 11/15/29		312,188
	25,000	BBB-	4.750% due 5/15/47		29,604
	50,000	BBB-	5.200% due 2/15/49		63,433
	80,000	A-	ERP Operating LP, Senior Unsecured Notes, 4.500% due 7/1/44		98,959
			GLP Capital LP/GLP Financing II Inc., Company Guaranteed Notes:
	770,000	BBB-	5.250% due 6/1/25		848,525
	575,000	BBB-	5.375% due 4/15/26		632,592
	220,000	BBB-	5.300% due 1/15/29		245,472
	290,000	BBB-	4.000% due 1/15/30		293,802
			HCP Inc., Senior Unsecured Notes:
	261,000	BBB+	4.250% due 11/15/23		280,585
	500,000	BBB+	3.400% due 2/1/25		522,279
	400,000	BBB	Highwoods Realty LP, Senior Unsecured Notes, 3.200% due 6/15/21		405,332
	350,000	BBB	Life Storage LP, Company Guaranteed Notes, 3.875% due 12/15/27		374,675
	160,000	BB-	MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer Inc., Company Guaranteed Notes, 4.500% due 1/15/28		164,400
	160,000	A-	Realty Income Corp., Senior Unsecured Notes, 3.000% due 1/15/27		166,651
	400,000	BBB-	Reckson Operating Partnership LP, Company Guaranteed Notes, 7.750% due 3/15/20		410,821
	69,000	BB-	SBA Communications Corp., Senior Unsecured Notes, 4.875% due 9/1/24		71,674
	400,000	BBB+	Ventas Realty LP, Company Guaranteed Notes, 3.750% due 5/1/24		424,606
	695,000	BBB+	Welltower Inc., Senior Unsecured Notes, 4.950% due 1/15/21		716,964
			Total Real Estate Investment Trusts (REITs)		8,073,735
	Retail — 0.4%
	250,000	BBB	Alimentation Couche-Tard Inc., Company Guaranteed Notes, 3.550% due 7/26/27(a)		263,976
	190,000	B	eG Global Finance PLC, Senior Secured Notes, 6.750% due 2/7/25(a)		184,063
			Home Depot Inc. (The), Senior Unsecured Notes:
	60,000	A	3.000% due 4/1/26		63,654
	10,000	A	2.125% due 9/15/26		10,055
	55,000	A	3.900% due 12/6/28		62,736
	315,000	A	5.875% due 12/16/36		445,059
	85,000	BB	KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, Company Guaranteed Notes, 5.250% due 6/1/26(a)		90,100
			Lowe’s Cos., Inc., Senior Unsecured Notes:
	45,000	BBB+	2.500% due 4/15/26		45,349
	85,000	BBB+	3.700% due 4/15/46		86,891
	15,000	BBB+	4.050% due 5/3/47		16,318
			McDonald’s Corp., Senior Unsecured Notes:
	380,000	BBB+	3.700% due 1/30/26		412,646
	340,000	BBB+	3.800% due 4/1/28		376,890
	10,000	BBB+	3.700% due 2/15/42		10,598
	280,000	BBB+	3.625% due 5/1/43		292,287
	30,000	BBB+	4.450% due 3/1/47		35,293
	120,000	BBB+	3.625% due 9/1/49		124,703
	388,000	CCC	Rite Aid Corp., Company Guaranteed Notes, 6.125% due 4/1/23(a)		314,765

See Notes to Financial Statements.

188

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Retail — 0.4% — (continued)
			Starbucks Corp., Senior Unsecured Notes:
$	45,000	BBB+	3.800% due 8/15/25	$	48,832
	30,000	BBB+	3.750% due 12/1/47		31,590
	15,000	BBB+	4.500% due 11/15/48		17,716
	55,000	BBB	Walgreen Co., Company Guaranteed Notes, 4.400% due 9/15/42		56,306
			Walgreens Boots Alliance Inc., Senior Unsecured Notes:
	95,000	BBB	3.800% due 11/18/24		100,770
	855,000	BBB	3.450% due 6/1/26		888,361
	110,000	BBB	4.800% due 11/18/44		116,830
			Walmart Inc., Senior Unsecured Notes:
	100,000	AA	3.050% due 7/8/26		107,042
	290,000	AA	3.700% due 6/26/28		325,873
	385,000	AA	3.250% due 7/8/29		422,992
	15,000	AA	4.000% due 4/11/43		17,979
	73,000	AA	4.300% due 4/22/44		91,457
			Total Retail		5,061,131
	Savings & Loans — 0.1%
	500,000	BBB+	Nationwide Building Society, Senior Unsecured Notes, 4.363% (3-Month USD-LIBOR + 1.392%) due 8/1/24(a)(c)		525,818
	Semiconductors — 0.4%
			Analog Devices Inc., Senior Unsecured Notes:
	200,000	BBB	3.500% due 12/5/26		210,945
	10,000	BBB	5.300% due 12/15/45		12,812
			Applied Materials Inc., Senior Unsecured Notes:
	135,000	A-	3.300% due 4/1/27		145,550
	150,000	A-	5.850% due 6/15/41		208,527
	75,000	A-	4.350% due 4/1/47		92,019
			Broadcom Corp./Broadcom Cayman Finance Ltd., Company Guaranteed Notes:
	675,000	BBB-	2.375% due 1/15/20		674,760
	110,000	BBB-	3.125% due 1/15/25		108,706
	473,000	BBB-	3.875% due 1/15/27		473,645
			Broadcom Inc., Company Guaranteed Notes:
	335,000	BBB-	3.125% due 4/15/21(a)		338,570
	255,000	BBB-	3.125% due 10/15/22(a)		258,396
			Intel Corp., Senior Unsecured Notes:
	70,000	A+	3.700% due 7/29/25		76,418
	30,000	A+	4.100% due 5/19/46		35,739
	54,000	A+	3.734% due 12/8/47		61,600
			KLA Corp., Senior Unsecured Notes:
	355,000	BBB	4.100% due 3/15/29		393,785
	75,000	BBB	5.000% due 3/15/49		92,560
			Lam Research Corp., Senior Unsecured Notes:
	54,000	BBB+	2.800% due 6/15/21		54,625
	30,000	BBB+	3.800% due 3/15/25		32,140
	100,000	BBB+	3.750% due 3/15/26		107,226
	80,000	BBB+	4.875% due 3/15/49		98,417
	320,000	BBB+	NVIDIA Corp., Senior Unsecured Notes, 3.200% due 9/16/26		336,457
			NXP BV/NXP Funding LLC, Company Guaranteed Notes:
	486,000	BBB-	4.125% due 6/1/21(a)		498,937
	280,000	BBB-	4.625% due 6/1/23(a)		299,581
	100,000	BBB-	NXP BV/NXP Funding LLC/NXP USA Inc., Company Guaranteed Notes, 4.300% due 6/18/29(a)		107,451
			QUALCOMM Inc., Senior Unsecured Notes:
	30,000	A-	4.650% due 5/20/35		35,368
	79,000	A-	4.800% due 5/20/45		95,465

See Notes to Financial Statements.

189

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Semiconductors — 0.4% — (continued)
$	35,000	A+	Texas Instruments Inc., Senior Unsecured Notes, 4.150% due 5/15/48	$	43,449
			Total Semiconductors		4,893,148
	Shipbuilding — 0.0%
			Huntington Ingalls Industries Inc., Company Guaranteed Notes:
	147,000	BBB	5.000% due 11/15/25(a)		154,423
	227,000	BBB	3.483% due 12/1/27		239,667
			Total Shipbuilding		394,090
	Software — 0.7%
			Activision Blizzard Inc., Senior Unsecured Notes:
	380,000	BBB+	3.400% due 9/15/26		400,924
	165,000	BBB+	3.400% due 6/15/27		173,830
			Autodesk Inc., Senior Unsecured Notes:
	145,000	BBB	3.125% due 6/15/20		145,760
	20,000	BBB	3.500% due 6/15/27		20,961
	186,000	B-	Change Healthcare Holdings LLC/Change Healthcare Finance Inc., Senior Unsecured Notes, 5.750% due 3/1/25(a)		187,899
	125,000	BBB+	Electronic Arts Inc., Senior Unsecured Notes, 4.800% due 3/1/26		142,627
			Fidelity National Information Services Inc.:
	19,000	BBB	Company Guaranteed Notes, 3.500% due 4/15/23		19,822
			Senior Unsecured Notes:
	9,000	BBB	3.000% due 8/15/26		9,334
	10,000	BBB	4.750% due 5/15/48		12,327
			Fiserv Inc., Senior Unsecured Notes:
	35,000	BBB	3.850% due 6/1/25		37,698
	390,000	BBB	3.200% due 7/1/26		408,674
	155,000	BBB	4.200% due 10/1/28		174,281
	170,000	BBB	3.500% due 7/1/29		180,474
			Microsoft Corp., Senior Unsecured Notes:
	180,000	AAA	1.550% due 8/8/21		179,514
	270,000	AAA	2.400% due 2/6/22		274,731
	270,000	AAA	2.875% due 2/6/24		282,851
	70,000	AAA	2.700% due 2/12/25		73,156
	1,030,000	AAA	2.400% due 8/8/26		1,065,661
	690,000	AAA	3.300% due 2/6/27		754,391
	315,000	AAA	3.500% due 2/12/35		355,353
	10,000	AAA	3.450% due 8/8/36		11,251
	20,000	AAA	4.100% due 2/6/37		24,187
	135,000	AAA	3.500% due 11/15/42		152,494
	175,000	AAA	3.700% due 8/8/46		206,071
	55,000	AAA	4.000% due 2/12/55		67,939
	50,000	AAA	3.950% due 8/8/56		61,442
	20,000	AAA	4.500% due 2/6/57		26,849
			Oracle Corp., Senior Unsecured Notes:
	630,000	A+	2.500% due 10/15/22		641,559
	40,000	A+	2.950% due 11/15/24		41,912
	235,000	A+	3.250% due 11/15/27		252,913
	15,000	A+	4.300% due 7/8/34		17,684
	285,000	A+	3.900% due 5/15/35		323,054
	60,000	A+	3.800% due 11/15/37		67,163
	100,000	A+	4.500% due 7/8/44		121,491
	30,000	A+	4.000% due 11/15/47		34,508
			salesforce.com Inc., Senior Unsecured Notes:
	130,000	A	3.250% due 4/11/23		136,014
	450,000	A	3.700% due 4/11/28		502,619

See Notes to Financial Statements.

190

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Software — 0.7% — (continued)
$	227,000	B+	SS&C Technologies Inc., Company Guaranteed Notes, 5.500% due 9/30/27(a)	$	238,776
			Total Software		7,828,194
	Telecommunications — 1.7%
	40,000	BBB	AT&T Corp., Company Guaranteed Notes, 8.750% due 11/15/31		57,760
			AT&T Inc., Senior Unsecured Notes:
	1,000,000	BBB	zero coupon, due 11/27/22(a)		921,146
	290,000	BBB	3.400% due 5/15/25		304,098
	20,000	BBB	4.250% due 3/1/27		22,024
	60,000	BBB	4.350% due 3/1/29		66,991
	1,700,000	BBB	4.300% due 2/15/30		1,891,102
	149,000	BBB	4.500% due 5/15/35		166,024
	50,000	BBB	5.250% due 3/1/37		59,348
	30,000	BBB	6.250% due 3/29/41		38,764
	150,000	BBB	5.150% due 3/15/42		174,961
	225,000	BBB	4.800% due 6/15/44		251,775
	433,000	BBB	4.350% due 6/15/45		461,394
	650,000	BBB	4.750% due 5/15/46		727,121
	340,000	BBB	5.150% due 11/15/46		400,440
	278,000	BBB	4.500% due 3/9/48		305,202
			Corning Inc., Senior Unsecured Notes:
	15,000	BBB+	3.700% due 11/15/23		15,834
	25,000	BBB+	4.375% due 11/15/57		26,152
			Intelsat Jackson Holdings SA, Company Guaranteed Notes:
	184,000	CCC+	5.500% due 8/1/23		168,360
	401,000	CCC+	9.750% due 7/15/25(a)		413,531
	145,000	BB	Level 3 Financing Inc., Company Guaranteed Notes, 5.375% due 5/1/25		151,162
	235,000	BBB-	Motorola Solutions Inc., Senior Unsecured Notes, 4.600% due 5/23/29		258,334
	150,000	BBB-	Qwest Corp., Senior Unsecured Notes, 7.250% due 9/15/25		169,492
	200,000	BBB	Royal KPN NV, Senior Unsecured Notes, 8.375% due 10/1/30		274,488
	70,000	B	Sprint Capital Corp., Company Guaranteed Notes, 8.750% due 3/15/32		87,849
			Sprint Corp., Company Guaranteed Notes:
	130,000	B	7.250% due 9/15/21		140,166
	30,000	B	7.875% due 9/15/23		33,825
	35,000	B	7.625% due 3/1/26		39,419
			Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Notes:
	1,564,875	Baa2(b)	3.360% due 9/20/21(a)		1,574,734
	905,000	Baa2(b)	4.738% due 3/20/25(a)		961,562
	500,000	Baa2(b)	5.152% due 3/20/28(a)		540,000
			Telefonica Emisiones SA, Company Guaranteed Notes:
	680,000	BBB	5.134% due 4/27/20		692,366
	330,000	BBB	4.103% due 3/8/27		361,397
	150,000	BBB	4.895% due 3/6/48		167,899
			T-Mobile USA Inc., Company Guaranteed Notes:
	150,000	BB+	6.000% due 3/1/23		153,000
	63,000	BB+	4.500% due 2/1/26		65,599
	192,000	BB+	4.750% due 2/1/28		202,796
			Verizon Communications Inc., Senior Unsecured Notes:
	80,000	BBB+	3.500% due 11/1/24		85,321
	770,000	BBB+	3.376% due 2/15/25		817,670
	220,000	BBB+	2.625% due 8/15/26		225,051
	185,000	BBB+	4.125% due 3/16/27		206,564
	756,000	BBB+	4.329% due 9/21/28		868,433
	700,000	BBB+	4.016% due 12/3/29(a)		791,057

See Notes to Financial Statements.

191

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Telecommunications — 1.7% — (continued)
$	850,000	BBB+	4.500% due 8/10/33	$	1,003,797
	140,000	BBB+	4.400% due 11/1/34		162,350
	1,056,000	BBB+	4.272% due 1/15/36		1,211,959
	150,000	BBB+	5.250% due 3/16/37		189,978
	105,000	BBB+	4.862% due 8/21/46		130,846
	20,000	BBB+	5.500% due 3/16/47		26,872
	150,000	BBB+	4.522% due 9/15/48		180,696
			Vodafone Group PLC, Senior Unsecured Notes:
	260,000	BBB	3.750% due 1/16/24		274,870
	115,000	BBB	4.125% due 5/30/25		124,907
	350,000	BBB	4.375% due 5/30/28		392,916
	298,000	BBB	5.250% due 5/30/48		357,135
	500,000	BBB	4.875% due 6/19/49		579,706
			Total Telecommunications		19,976,243
	Transportation — 0.3%
			Burlington Northern Santa Fe LLC, Senior Unsecured Notes:
	100,000	A+	3.000% due 4/1/25		104,629
	50,000	A+	5.750% due 5/1/40		68,694
	79,000	A+	4.550% due 9/1/44		96,372
	15,000	A+	4.150% due 4/1/45		17,617
	10,000	A+	3.900% due 8/1/46		11,446
	15,000	A+	4.150% due 12/15/48		18,002
			CSX Corp., Senior Unsecured Notes:
	240,000	BBB+	2.600% due 11/1/26		245,130
	160,000	BBB+	3.250% due 6/1/27		169,974
	55,000	BBB+	3.800% due 3/1/28		60,582
	20,000	BBB+	6.150% due 5/1/37		26,922
	65,000	BBB+	4.300% due 3/1/48		75,681
	40,000	BBB+	4.750% due 11/15/48		49,346
	30,000	BBB+	4.500% due 3/15/49		36,071
	50,000	BBB+	3.950% due 5/1/50		55,461
			FedEx Corp., Company Guaranteed Notes:
	50,000	BBB	3.875% due 8/1/42		49,649
	90,000	BBB	5.100% due 1/15/44		105,217
	9,000	BBB	4.100% due 2/1/45		9,268
			Norfolk Southern Corp., Senior Unsecured Notes:
	30,000	BBB+	3.650% due 8/1/25		32,278
	50,000	BBB+	2.900% due 6/15/26		51,767
	95,000	BBB+	4.150% due 2/28/48		111,498
			Union Pacific Corp., Senior Unsecured Notes:
	64,000	A-	4.163% due 7/15/22		67,522
	50,000	A-	3.750% due 7/15/25		54,047
	30,000	A-	2.750% due 3/1/26		30,979
	745,000	A-	3.950% due 9/10/28		838,357
	300,000	A-	4.500% due 9/10/48		365,860
	20,000	A-	3.799% due 10/1/51		21,814
	64,000	A-	3.875% due 2/1/55		69,544
	115,000	A-	4.800% due 9/10/58		143,299
	190,000	A-	4.100% due 9/15/67		202,856
			United Parcel Service Inc., Senior Unsecured Notes:
	75,000	A	3.400% due 3/15/29		81,792
	55,000	A	2.500% due 9/1/29		55,633
	40,000	BB-	XPO Logistics Inc., Company Guaranteed Notes, 6.500% due 6/15/22(a)		40,977
			Total Transportation		3,368,284

See Notes to Financial Statements.

192

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Trucking & Leasing — 0.0%
			Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes:
$	4,000	BBB	3.400% due 11/15/26(a)	$	4,127
	1,000	BBB	4.200% due 4/1/27(a)		1,079
			Total Trucking & Leasing		5,206
			TOTAL CORPORATE BONDS & NOTES (Cost — $317,764,260)		343,471,432
	MORTGAGE-BACKED SECURITIES — 28.3%
	FHLMC — 8.4%
			Federal Home Loan Mortgage Corp. (FHLMC):
	13,342,552		3.500% due 11/1/33 — 5/1/49		13,753,132
	6,324,386		4.000% due 9/1/48 — 5/1/49		6,569,226
	1,300,290		4.500% due 12/1/48		1,368,474
	6,573,183		3.000% due 7/1/49 — 8/1/49		6,713,181
			Federal Home Loan Mortgage Corp. (FHLMC), Gold:
	2,466,818		5.000% due 6/1/21 — 1/1/49		2,655,273
	14,437,101		4.000% due 10/1/25 — 5/1/49		15,344,731
	3,135,632		4.500% due 4/1/29 — 10/1/48		3,314,020
	531,566		5.500% due 1/1/30 — 2/1/40		592,709
	17,905,668		3.000% due 3/1/31 — 1/1/48		18,444,157
	2,633,571		2.500% due 9/1/31 — 7/1/32		2,676,407
	27,339,639		3.500% due 12/1/33 — 2/1/49		28,635,447
	48,086		6.000% due 5/1/38 — 6/1/39		54,749
	13,796		7.000% due 3/1/39		16,139
	144,428		6.500% due 9/1/39		170,192
			TOTAL FHLMC		100,307,837
	FNMA — 13.6%
			Federal National Mortgage Association (FNMA):
	22,517,287		4.000% due 10/1/19 — 6/1/57		23,754,143
	1,500,646		5.500% due 1/1/20 — 9/1/56		1,670,219
	90,704		4.400% due 2/1/20		91,237
	167,229		6.000% due 9/1/21 — 10/1/35		184,373
	2,383,079		5.000% due 6/1/22 — 4/1/49		2,593,522
	10,977,005		4.500% due 3/1/24 — 9/1/57		11,739,070
	34,853,053		3.500% due 11/1/25 — 3/1/57		36,273,651
	1,067,483		2.827% due 5/1/27		1,137,391
	3,902,503		2.500% due 11/1/27 — 10/1/42		3,961,224
	32,332,110		3.000% due 12/1/27 — 9/1/49		33,292,893
	525,000		3.010% due 4/1/28		563,933
	545,000		3.050% due 4/1/28		587,079
	815,000		3.480% due 8/1/28		907,668
	100,000		3.640% due 11/1/28		112,486
	490,000		3.820% due 1/1/29		557,739
	520,000		3.830% due 1/1/29		590,259
	1,735,000		3.740% due 2/1/29		1,967,755
	1,390,000		3.870% due 2/1/29		1,591,220
	100,000		3.300% due 4/1/29		110,306
	100,000		3.090% due 5/1/29		108,846
	79,757		3.160% due 5/1/29		86,804
	99,615		3.190% due 5/1/29		108,509
	150,000		3.240% due 5/1/29		163,941
	139,659		3.260% due 5/1/29		153,114
	30,000		3.350% due 5/1/29		33,188
	100,000		2.740% due 8/1/29		105,687

See Notes to Financial Statements.

193

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Security	Value
	FNMA — 13.6% — (continued)
$	400,000	2.790% due 8/1/29	$	425,301
	779,594	4.240% due 12/1/29		905,851
	100,000	3.310% due 5/1/31		110,675
	400,000	2.765% due 8/1/31		419,864
	200,000	2.770% due 8/1/31		210,033
	100,000	2.800% due 8/1/31		105,331
	200,000	2.810% due 8/1/31		210,912
	200,000	2.850% due 8/1/31		211,684
	200,000	2.860% due 8/1/31		212,250
	100,000	2.870% due 8/1/31		106,071
	200,000	2.915% due 8/1/31		213,322
	300,000	2.930% due 8/1/31		320,011
	1,150,000	3.280% due 3/1/33		1,297,574
	1,368,485	3.990% due 11/1/33		1,581,974
	146,470	4.554% (1-Year USD-LIBOR + 1.554%) due 3/1/34(c)		152,982
	5,075,000	2.500% due 9/1/34 — 9/1/49(i)		5,121,261
	15,300,000	3.000% due 9/1/34 — 9/1/49(i)		15,609,215
	6,200,000	3.500% due 9/1/34 — 9/1/49(i)		6,407,836
	348,641	3.360% due 7/1/35		390,555
	34,970	4.367% (1-Year Treasury Average Rate + 1.846%) due 10/1/35(c)		36,104
	29,504	4.411% (1-Year Treasury Average Rate + 1.889%) due 11/1/35(c)		30,510
	12,232	4.458% (1-Year Treasury Average Rate + 1.962%) due 11/1/35(c)		12,683
	24,731	4.373% (1-Year USD-LIBOR + 1.623%) due 9/1/36(c)		24,867
	26,800	7.000% due 4/1/37		30,129
	45,374	4.140% (1-Year USD-LIBOR + 1.265%) due 5/1/37(c)		47,679
	233,478	6.500% due 9/1/37 — 5/1/40		273,547
	4,200,000	4.000% due 9/1/49(i)		4,360,781
	600,000	4.500% due 9/1/49(i)		631,781
	1,300,000	5.000% due 9/1/49(i)		1,388,359
		TOTAL FNMA		163,295,399
	GNMA — 6.3%
		Government National Mortgage Association (GNMA):
	40,726	6.000% due 12/15/33 — 6/15/37		45,680
	509,702	5.000% due 10/15/34 — 9/15/40		564,499
	41,236	5.500% due 5/15/37 — 6/15/38		46,558
	65,602	6.500% due 1/15/38 — 10/15/38		78,787
	123,385	4.500% due 3/15/41		135,010
	649,326	4.000% due 6/15/41 — 11/15/45		705,377
	594,929	3.000% due 9/15/42 — 11/15/42		615,930
	174,078	3.500% due 6/15/48		183,252
	3,075,000	3.000% due 9/15/49 — 10/15/49(i)		3,169,580
	7,900,000	3.500% due 9/15/49(i)		8,209,211
	700,000	4.000% due 9/15/49(i)		729,682
	4,350,000	4.500% due 9/15/49 — 11/15/49(i)		4,548,465
	165,000	5.000% due 9/15/49(i)		173,353
		Government National Mortgage Association II (GNMA):
	257	9.000% due 11/20/21		259
	98,541	6.000% due 7/20/37 — 11/20/40		113,105
	7,854,098	4.500% due 1/20/40 — 3/20/49		8,272,154
	2,422,463	5.000% due 7/20/40 — 1/20/49		2,571,488
	13,989,841	4.000% due 11/20/40 — 5/20/49		14,684,850
	7,924,128	3.000% due 1/20/43 — 10/20/48		8,198,115
	22,118,576	3.500% due 6/20/43 — 3/20/49		23,094,575
		TOTAL GNMA		76,139,930
		TOTAL MORTGAGE-BACKED SECURITIES (Cost — $332,545,474)		339,743,166

See Notes to Financial Statements.

194

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Security	Value
	U.S. GOVERNMENT AGENCIES & OBLIGATIONS — 26.8%
	U.S. GOVERNMENT AGENCIES — 0.2%
$	345,000	Federal Home Loan Bank (FHLB), 4.000% due 9/1/28	$	404,902
	650,000	Federal National Mortgage Association (FNMA), zero coupon, due 10/9/19		648,635
		Federal National Mortgage Association (FNMA), Principal Strip:
	575,000	zero coupon, due 1/15/30(j)		469,000
	595,000	zero coupon, due 5/15/30(j)		482,969
		Residual Funding Corp., Principal Strip:
	240,000	zero coupon, due 7/15/20(j)		236,327
	325,000	zero coupon, due 1/15/21(j)		318,056
		TOTAL U.S. GOVERNMENT AGENCIES		2,559,889
	U.S. GOVERNMENT OBLIGATIONS — 26.6%
		U.S. Treasury Bonds:
	1,660,000	4.500% due 2/15/36		2,333,337
	795,000	5.000% due 5/15/37		1,196,615
	615,000	4.625% due 2/15/40		911,341
	690,000	3.750% due 8/15/41		921,959
	4,195,000	3.125% due 11/15/41		5,131,583
	910,000	2.750% due 8/15/42		1,050,588
	100,000	3.125% due 2/15/43		122,627
	1,005,000	3.625% due 8/15/43		1,332,744
	18,400,000	3.750% due 11/15/43		24,888,156
	415,000	3.125% due 8/15/44		511,787
	310,000	2.500% due 2/15/45		344,009
	950,000	3.000% due 5/15/45		1,151,838
	625,000	2.875% due 8/15/45		742,090
	358,000	3.000% due 2/15/47		437,410
	500,000	2.750% due 8/15/47		584,277
	5,195,000	3.000% due 2/15/48		6,368,136
	3,615,000	3.125% due 5/15/48		4,534,566
	3,290,000	3.375% due 11/15/48		4,327,250
	4,565,000	3.000% due 2/15/49		5,623,242
	9,035,000	2.875% due 5/15/49		10,885,234
	13,900,000	2.250% due 8/15/49		14,781,238
		U.S. Treasury Inflation Indexed Bonds:
	293,438	1.750% due 1/15/28		335,941
	310,491	2.125% due 2/15/40		427,471
	702,813	0.750% due 2/15/42		772,343
	1,143,012	1.375% due 2/15/44		1,423,563
	1,264,805	1.000% due 2/15/46		1,470,036
	1,511,323	1.000% due 2/15/48		1,775,574
	7,920,358	1.000% due 2/15/49		9,387,678
		U.S. Treasury Inflation Indexed Notes:
	3,817,539	0.625% due 4/15/23		3,877,531
	4,453,406	0.500% due 4/15/24		4,547,111
	614,882	0.125% due 7/15/24		620,124
	2,870,809	0.875% due 1/15/29		3,111,244
	3,922,366	0.250% due 7/15/29		4,041,922
		U.S. Treasury Notes:
	4,220,000	2.250% due 3/31/21		4,261,705
	725,000	2.250% due 4/30/21		732,746
	2,424,000	1.375% due 5/31/21		2,415,810
	23,520,000	2.125% due 5/31/21		23,742,337
	4,110,000	2.625% due 6/15/21		4,186,501
	8,395,000	1.625% due 6/30/21		8,406,150

See Notes to Financial Statements.

195

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	U.S. GOVERNMENT OBLIGATIONS — 26.6% — (continued)
$	850,000		2.625% due 7/15/21	$	866,718
	29,388,000		1.750% due 7/31/21		29,511,981
	33,130,000		1.500% due 8/31/21		33,127,412
	4,105,000		2.750% due 9/15/21		4,207,064
	1,910,000		2.875% due 11/15/21		1,966,554
	20,000		2.750% due 8/31/23		21,025
	50,000		2.250% due 4/30/24		51,885
	17,200,000		1.750% due 6/30/24		17,477,148
	30,420,000		1.750% due 7/31/24		30,929,178
	14,230,000		1.250% due 8/31/24		14,135,226
	1,530,000		2.500% due 2/28/26		1,628,972
	2,460,000		2.250% due 3/31/26		2,582,375
	2,405,000		2.125% due 5/31/26		2,507,823
	880,000		1.875% due 6/30/26		904,011
	2,920,000		1.875% due 7/31/26		3,000,243
	1,400,000		1.375% due 8/31/26		1,392,808
	9,803,000		2.375% due 5/15/29		10,566,562
	1,320,000		1.625% due 8/15/29		1,334,747
			TOTAL U.S. GOVERNMENT OBLIGATIONS		319,927,546
			TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS (Cost — $305,972,023)		322,487,435
	COLLATERALIZED MORTGAGE OBLIGATIONS — 9.6%
	1,370,609	B	Aames Mortgage Investment Trust, Series 2005-4, Class M2, 2.880% (1-Month USD-LIBOR + 0.735%) due 10/25/35(c)		1,372,029
	2,800,000	BB+	Accredited Mortgage Loan Trust, Series 2007-1, Class A4, 2.365% (1-Month USD-LIBOR + 0.220%) due 2/25/37(c)		2,767,832
	88,952	CC	AFC Home Equity Loan Trust, Series 1999-2, Class 2A, 2.795% (1-Month USD-LIBOR + 0.650%) due 6/25/29(c)		77,438
	1,215,369	CCC	Alternative Loan Trust, Series 2005-56, Class 4A1, 2.455% (1-Month USD-LIBOR + 0.310%) due 11/25/35(c)		1,209,099
	680,000	BBB	Applebee’s Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I, 4.194% due 6/7/49(a)		699,496
			Ascentium Equipment Receivables Trust:
	205,299	Aaa(b)	Series 2017-2A, Class A2, 2.000% due 5/11/20(a)		205,235
	550,000	Aaa(b)	Series 2017-2A, Class A3, 2.310% due 12/10/21(a)		550,439
	2,568,754	CCC	Asset Backed Securities Corp. Home Equity Loan Trust, Series 2007-HE1, Class A4, 2.285% (1-Month USD-LIBOR + 0.140%) due 12/25/36(c)		2,498,130
	873,848	CCC	Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2007-HE1, Class A1B, 2.295% (1-Month USD-LIBOR + 0.150%) due 12/25/36(c)		858,037
			BAMLL Commercial Mortgage Securities Trust:
	480,000	AA-	Series 2015-200P, Class B, 3.490% due 4/14/33(a)		511,499
	420,000	AAA(k)	Series 2018-PARK, Class A, 4.227% due 8/10/38(a)(c)		481,675
	45,716	AA+	Banc of America Mortgage Trust, Series 2004-F, Class 1A1, 4.701% due 7/25/34(c)		47,706
	515,000	AAA	Barings CLO Ltd., Series 2013-IA, Class AR, 3.078% (3-Month USD-LIBOR + 0.800%) due 1/20/28(a)(c)		513,398
	285,000	AAA	BB-UBS Trust, Series 2012-SHOW, Class A, 3.430% due 11/5/36(a)		303,571
	807,541	NR	BCAP LLC Trust, Series 2015-RR5, Class 1A3, 3.271% due 8/26/36(a)(c)		797,511
	213,772	WD(k)	Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-3, Class 1A1, 4.373% due 5/25/47(c)		202,620
	95,621	B	Bear Stearns ALT-A Trust, Series 2005-4, Class 23A2, 4.592% due 5/25/35(c)		97,568
	424,453	CCC	Bear Stearns Asset-Backed Securities I Trust, Series 2005-AC6, Class 1A3, 5.500% due 9/25/35(c)		439,137
	18,750	BBB	Bear Stearns Structured Products Trust, Series 2007-EMX1, Class A1, 3.145% (1-Month USD-LIBOR + 1.000%) due 3/25/37(a)(c)		18,803

See Notes to Financial Statements.

196

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	COLLATERALIZED MORTGAGE OBLIGATIONS — 9.6% — (continued)
$	285,000	AAA	BENCHMARK Mortgage Trust, Series 2018-B1, Class A2, 3.571% due 1/15/51	$	298,382
			BX Commercial Mortgage Trust:
	584,729	NR	Series 2018-IND, Class G, 4.245% (1-Month USD-LIBOR + 2.050%) due 11/15/35(a)(c)		587,231
	940,000	AAA	Series 2019-IMC, Class A, 3.195% (1-Month USD-LIBOR + 1.000%) due 4/15/34(a)(c)		941,085
	1,247,000	Aaa(b)	CD 2017-CD6 Mortgage Trust, Series 2017-CD6, Class ASB, 3.332% due 11/13/50		1,325,722
	449,276	AA+	Centex Home Equity Loan Trust, Series 2006-A, Class AV4, 2.395% (1-Month USD-LIBOR + 0.250%) due 6/25/36(c)		449,586
	235,000	AA+	CGBAM Commercial Mortgage Trust, Series 2015-SMRT, Class A, 2.808% due 4/10/28(a)		235,340
	545,000	AA+	CGRBS Commercial Mortgage Trust, Series 2013-VN05, Class A, 3.369% due 3/13/35(a)		575,722
	91,396	BB	Chase Mortgage Finance Trust, Series 2007-A1, Class 5A1, 4.467% due 2/25/37(c)		94,644
			Chevy Chase Funding LLC Mortgage-Backed Certificates:
	664,804	A	Series 2004-2A, Class A1, 2.415% (1-Month USD-LIBOR + 0.270%) due 5/25/35(a)(c)		658,676
	1,408,164	CCC	Series 2004-2A, Class B1, 2.901% due 5/25/35(a)(c)		1,124,488
			CIM Trust:
	1,084,597	NR	Series 2018-R5, Class A1, 3.750% due 7/25/58(a)(c)		1,104,951
	1,013,929	NR	Series 2018-R6, Class A1, 3.306% (1-Month USD-LIBOR + 1.076%) due 9/25/58(a)(c)		1,008,432
			Citigroup Commercial Mortgage Trust:
	410,000	Aaa(b)	Series 2013-375P, Class A, 3.251% due 5/10/35(a)		427,002
	575,000	Aaa(b)	Series 2015-P1, Class A5, 3.717% due 9/15/48		626,721
	500,000	Aaa(b)	Series 2016-P5, Class A4, 2.941% due 10/10/49		526,152
	355,000	Aaa(b)	Series 2017-P7, Class AAB, 3.509% due 4/14/50		377,416
	1,440,000	B3(b)	Series 2019-SST2, Class F, 4.695% (1-Month USD-LIBOR + 2.500%) due 12/15/36(a)(c)		1,445,448
	1,651,640	CC	Citigroup Mortgage Loan Trust, Series 2006-AR6, Class 2A4, 2.365% (1-Month USD-LIBOR + 0.220%) due 9/25/36(c)		617,779
	2,043,622	AA+	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2017-CD4, Class XA, 1.468% due 5/10/50(c)(l)		151,363
	415,000	AAA	CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A, 2.871% due 11/10/31(a)(c)		427,158
			Commercial Mortgage Trust:
	265,000	AAA(k)	Series 2013-300P, Class A1, 4.353% due 8/10/30(a)		286,488
	190,000	AA-(k)	Series 2013-300P, Class B, 4.540% due 8/10/30(a)(c)		204,736
	260,000	BB	Series 2013-CR9, Class E, 4.397% due 7/10/45(a)(c)		172,466
	534,861	Aaa(b)	Series 2013-CR11, Class A3, 3.983% due 8/10/50		573,771
	40,000	Aa3(b)	Series 2013-CR12, Class B, 4.762% due 10/10/46(c)		42,341
	20,000	Baa1(b)	Series 2013-CR12, Class C, 5.231% due 10/10/46(c)		20,362
	265,000	AAA(k)	Series 2014-277P, Class A, 3.732% due 8/10/49(a)(c)		285,675
	140,000	AAA	Series 2014-CR18, Class A5, 3.828% due 7/15/47		151,243
	644,598	AAA	Series 2014-CR18, Class ASB, 3.452% due 7/15/47		662,196
	210,000	A-(k)	Series 2014-CR21, Class C, 4.579% due 12/10/47(c)		224,845
	345,000	Aaa(b)	Series 2014-LC17, Class A5, 3.917% due 10/10/47		376,178
	5,167,342	Aa1(b)	Series 2015-CR25, Class XA, 1.048% due 8/10/48(c)(l)		212,168
	270,000	AAA	Series 2016-787S, Class A, 3.545% due 2/10/36(a)		291,140
			Core Industrial Trust:
	351,008	AAA	Series 2015-CALW, Class A, 3.040% due 2/10/34(a)		360,256
	466,473	AAA	Series 2015-TEXW, Class A, 3.077% due 2/10/34(a)		480,630
			Countrywide Asset-Backed Certificates:
	142,089	CCC	Series 2006-SD3, Class A1, 2.475% (1-Month USD-LIBOR + 0.330%) due 7/25/36(a)(c)		134,452
	288,988	AA	Series 2007-13, Class 2A2, 2.945% (1-Month USD-LIBOR + 0.800%) due 10/25/47(c)		281,441
			Countrywide Home Loan Mortgage Pass-Through Trust:
	96,833	Ca(b)	Series 2005-11, Class 3A3, 2.815% due 4/25/35(c)		81,370
	65,574	WR(b)	Series 2005-11, Class 6A1, 2.745% (1-Month USD-LIBOR + 0.600%) due 3/25/35(c)		58,849
			Credit Suisse Commercial Mortgage Capital Trust:
	290,000	B-	Series 2014-USA, Class F, 4.373% due 9/15/37(a)		267,611
	622,534	NR	Series 2015-5R, Class 1A1, 3.430% due 9/27/46(a)(c)		626,616
	240,000	Aaa(b)	Series 2017-LSTK, Class A, 2.761% due 4/5/33(a)		241,205

See Notes to Financial Statements.

197

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	COLLATERALIZED MORTGAGE OBLIGATIONS — 9.6% — (continued)
			Credit Suisse Commercial Mortgage Trust:
$	13,803	Caa3(b)	Series 2006-C3, Class AJ, 6.702% due 6/15/38(c)	$	7,804
	14,773	Caa3(b)	Series 2006-C5, Class AJ, 5.373% due 12/15/39		10,015
	53,152	B+	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-6, Class 8A1, 4.500% due 7/25/20		54,777
			Credit Suisse Mortgage Capital Certificates:
	1,510,000	Aaa(b)	Series 2019-ICE4, Class A, 3.175% (1-Month USD-LIBOR + 0.980%) due 5/15/36(a)(c)		1,512,742
	950,000	B2(b)	Series 2019-ICE4, Class F, 4.845% (1-Month USD-LIBOR + 2.650%) due 5/15/36(a)(c)		956,708
	295,000	Aaa(b)	Credit Suisse USA CSAIL Commercial Mortgage Trust, Series 2015-C1, Class A4, 3.505% due 4/15/50		315,840
			CSMC Trust:
	1,698,035	NR	Series 2010-9R, Class 2A5, 4.000% due 2/27/38(a)(c)		1,734,807
	2,418,287	AAA(k)	Series 2018-J1, Class A2, 3.500% due 2/25/48(a)(c)		2,436,518
	1,054,531	CC	CWABS Revolving Home Equity Loan Trust, Series 2004-B, Class 2A, 2.415% (1-Month USD-LIBOR + 0.220%) due 2/15/29(c)		975,697
	60,356	CCC	Downey Savings & Loan Association Mortgage Loan Trust, Series 2004-AR2, Class A2B, 2.982% (1-Month USD-LIBOR + 0.800%) due 11/19/44(c)		58,099
	700,000	AAA	Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class A1LR, 3.358% (3-Month USD-LIBOR + 1.200%) due 8/15/30(a)(c)		700,257
	975,000	AAA	Eaton Vance CLO 2013-1 Ltd., Series 2013-1A, Class A1RR, 3.377% (3-Month USD-LIBOR + 1.160%) due 1/15/28(a)(c)		975,048
	365,746	B-	Equifirst Mortgage Loan Trust, Series 2003-2, Class M2, 4.695% (1-Month USD-LIBOR + 2.550%) due 9/25/33(c)		371,502
			Federal Home Loan Mortgage Corp. (FHLMC), Interest Strips:
	109,743	NR	Series 334, Class S7, 3.905% (6.100% — 1-Month USD-LIBOR) due 8/15/44(c)(l)		21,455
	149,668	NR	Series 353, Class S1, 3.805% (6.000% — 1-Month USD-LIBOR) due 12/15/46(c)(l)		26,213
			Federal Home Loan Mortgage Corp. (FHLMC), REMICS:
	8,053	NR	Series 1865, Class DA, 26.206% (31.310% — 11th District Cost of Funds Index) due 2/15/24(c)(l)		2,557
	45,339	NR	Series 3451, Class SB, 3.835% (6.030% — 1-Month USD-LIBOR) due 5/15/38(c)(l)		4,927
	86,519	NR	Series 3621, Class SB, 4.035% (6.230% — 1-Month USD-LIBOR) due 1/15/40(c)(l)		14,560
	555,000	NR	Series 3743, Class PB, 4.500% due 10/15/40		639,990
	1,080,580	NR	Series 3866, Class SA, 3.755% (5.950% — 1-Month USD-LIBOR) due 5/15/41(c)(l)		118,901
	415,157	NR	Series 3947, Class SG, 3.755% (5.950% — 1-Month USD-LIBOR) due 10/15/41(c)(l)		60,732
	28,843	NR	Series 3973, Class SA, 4.295% (6.490% — 1-Month USD-LIBOR) due 12/15/41(c)(l)		6,507
	344,902	NR	Series 4203, Class PS, 4.055% (6.250% — 1-Month USD-LIBOR) due 9/15/42(c)(l)		49,270
	354,284	NR	Series 4210, Class Z, 3.000% due 5/15/43		366,384
	154,343	NR	Series 4239, Class IO, 3.500% due 6/15/27(l)		12,080
	306,106	NR	Series 4316, Class XZ, 4.500% due 3/15/44		371,662
	108,783	NR	Series 4335, Class SW, 3.805% (6.000% — 1-Month USD-LIBOR) due 5/15/44(c)(l)		17,850
	811,581	NR	Series 4639, Class HZ, step bond to yield, 3.250% due 4/15/53		891,481
	1,785,881	NR	Series 4879, Class BC, 3.000% due 4/15/49		1,847,416
	88,657	NR	Series R007, Class ZA, 6.000% due 5/15/36		103,245
			Federal National Mortgage Association (FNMA), ACES:
	12,138,834	NR	Series 2013-M7, Class X2, 0.251% due 12/27/22(c)(l)		61,783
	5,261,593	NR	Series 2015-M7, Class X2, 0.599% due 12/25/24(c)(l)		112,861
	19,166,917	NR	Series 2015-M8, Class X2, 0.241% due 1/25/25(c)(l)		124,828
	650,000	NR	Series 2019-M1, Class A2, 3.673% due 9/25/28(c)		728,983
	85,475	A1(b)	Federal National Mortgage Association (FNMA), Connecticut Avenue Securities, Series 2016-C04, Class 1M1, 3.595% (1-Month USD-LIBOR + 1.450%) due 1/25/29(a)(c)		85,635
	69,431	NR	Federal National Mortgage Association (FNMA), Grantor Trust, Series 2000-T6, Class A3, 4.238% due 11/25/40(c)		69,489
			Federal National Mortgage Association (FNMA), Interest Strip:
	159,563	NR	Series 409, Class C13, 3.500% due 11/25/41(l)		20,668
	287,855	NR	Series 409, Class C18, 4.000% due 4/25/42(l)		37,948
	40,469	NR	Series 409, Class C22, 4.500% due 11/25/39(l)		6,749

See Notes to Financial Statements.

198

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	COLLATERALIZED MORTGAGE OBLIGATIONS — 9.6% — (continued)
			Federal National Mortgage Association (FNMA), REMICS:
$	28,941	NR	Series 2004-38, Class FK, 2.495% (1-Month USD-LIBOR + 0.350%) due 5/25/34(c)	$	28,894
	126,346	NR	Series 2005-117, Class LC, 5.500% due 11/25/35		132,775
	603,829	NR	Series 2006-51, Class SP, 4.505% (6.650% — 1-Month USD-LIBOR) due 3/25/36(c)(l)		85,228
	253,461	NR	Series 2007-68, Class SC, 4.555% (6.700% — 1-Month USD-LIBOR) due 7/25/37(c)(l)		40,020
	574,456	NR	Series 2008-18, Class SM, 4.855% (7.000% — 1-Month USD-LIBOR) due 3/25/38(c)(l)		103,214
	1,110,181	NR	Series 2011-8, Class ZA, 4.000% due 2/25/41		1,193,399
	351,688	NR	Series 2011-87, Class SG, 4.405% (6.550% — 1-Month USD-LIBOR) due 4/25/40(c)(l)		44,198
	73,536	NR	Series 2011-90, Class QI, 5.000% due 5/25/34(l)		1,777
	770,000	NR	Series 2011-131, Class PB, 4.500% due 12/25/41		897,685
	93,706	NR	Series 2012-35, Class SC, 4.355% (6.500% — 1-Month USD-LIBOR) due 4/25/42(c)(l)		15,083
	117,644	NR	Series 2012-46, Class BA, 6.000% due 5/25/42		132,162
	167,775	NR	Series 2012-51, Class B, 7.000% due 5/25/42		203,485
	21,471	NR	Series 2012-70, Class YS, 4.505% (6.650% — 1-Month USD-LIBOR) due 2/25/41(c)(l)		1,657
	144,780	NR	Series 2012-74, Class SA, 4.505% (6.650% — 1-Month USD-LIBOR) due 3/25/42(c)(l)		20,239
	24,130	NR	Series 2012-75, Class AO, zero coupon, due 3/25/42(j)		22,327
	111,145	NR	Series 2012-101, Class BI, 4.000% due 9/25/27(l)		7,934
	205,118	NR	Series 2012-118, Class CI, 3.500% due 12/25/39(l)		11,450
	120,366	NR	Series 2012-133, Class CS, 4.005% (6.150% — 1-Month USD-LIBOR) due 12/25/42(c)(l)		21,314
	407,635	NR	Series 2013-9, Class BC, 6.500% due 7/25/42		482,186
	347,309	NR	Series 2013-9, Class CB, 5.500% due 4/25/42		394,413
	101,872	NR	Series 2013-54, Class BS, 4.005% (6.150% — 1-Month USD-LIBOR) due 6/25/43(c)(l)		21,455
	289,390	NR	Series 2016-60, Class QS, 3.955% (6.100% — 1-Month USD-LIBOR) due 9/25/46(c)(l)		48,968
	936,851	NR	Series 2018-55, Class PA, 3.500% due 1/25/47		989,638
	844,674	NR	Series 2018-57, Class QA, 3.500% due 5/25/46		873,626
	786,437	NR	Series 2018-94, Class KD, 3.500% due 12/25/48		825,423
			FHLMC Multifamily Structured Pass-Through Certificates:
	226,870	AAA(k)	Series K016, Class X1, 1.635% due 10/25/21(c)(l)		6,166
	500,000	AAA(k)	Series K072, Class A2, 3.444% due 12/25/27		555,139
	185,000	AAA(k)	Series K082, Class A2, 3.920% due 9/25/28(c)		213,479
	281,000	Aaa(b)	Series K085, Class A2, 4.060% due 10/25/28(c)		327,334
	555,000	NR	Series K158, Class A3, 3.900% due 10/25/33(c)		656,513
	321,909	NR	Series KIR2, Class A1, 2.748% due 3/25/27		332,533
	1,002,467	NR	Series Q006, Class APT2, 2.490% due 9/25/26(c)		1,031,568
			FHLMC Structured Agency Credit Risk Debt Notes:
	469,000	Baa1(b)	Series 2016-DNA1, Class M3, 7.816% (1-Month USD-LIBOR + 5.550%) due 7/25/28(c)		517,750
	655,000	BB+(k)	Series 2017-DNA2, Class M2, 5.595% (1-Month USD-LIBOR + 3.450%) due 10/25/29(c)		688,741
	383,406	B(k)	Series 2017-HRP1, Class M2, 4.595% (1-Month USD-LIBOR + 2.450%) due 12/25/42(c)		387,978
	1,578,577	CC	First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A2D, 2.385% (1-Month USD-LIBOR + 0.240%) due 10/25/36(c)		1,268,245
	544,138	AAA	Flagship CLO VIII Ltd., Series 2014-8A, Class ARR, 3.172% (3-Month USD-LIBOR + 0.850%) due 1/16/26(a)(c)		544,666
	910,000	B+(k)	FNMA Connecticut Avenue Securities, Series 2017-C07, Class 1M2, 4.545% (1-Month USD-LIBOR + 2.400%) due 5/28/30(a)(c)		920,273
	99,830	NR	FNMA Grantor Trust 2017-T1, Series 2017-T1, Class A, 2.898% due 6/25/27		105,152
			FNMA-Aces:
	180,000	NR	Series 2019-M4, Class A2, 3.610% due 2/25/31		205,721
	260,000	NR	Series 2019-M5, Class A2, 3.273% due 1/25/29		284,061
	330,000	NR	Series 2019-M6, Class A2, 3.450% due 1/1/29		371,506
			Ford Credit Floorplan Master Owner Trust A:
	1,370,000	AAA	Series 2018-3, Class A1, 3.520% due 10/15/23		1,417,807
	700,000	Aaa(b)	Series 2019-2, Class A, 3.060% due 4/15/26		734,272
	931,302	AA+	Four Times Square Trust Commercial Mortgage Pass-Through Certificates, Series 2006-4TS, Class A, 5.401% due 12/13/28(a)		963,341

See Notes to Financial Statements.

199

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	COLLATERALIZED MORTGAGE OBLIGATIONS — 9.6% — (continued)
$	330,000	AAA	Freddie Mac Multifamily Structured Pass-Through Certificates, Series K091, Class A2, 3.505% due 3/25/29	$	371,267
	929,370	NR	FREMF 2019-KF58 Mortgage Trust, Series 2019-KF58, Class B, 4.374% (1-Month USD-LIBOR + 2.150%) due 1/25/26(a)(c)		937,923
	204,539	NR	FRESB 2019-SB60 Mortgage Trust, Series 2019-SB60, Class A10H, 3.500% (1-Month USD-LIBOR + 3.500%) due 1/25/39(c)		219,495
	91,356	BB+	GE Business Loan Trust, Series 2006-1A, Class C, 2.615% (1-Month USD-LIBOR + 0.420%) due 5/15/34(a)(c)		85,809
	1,460,913	NR	Government National Mortgage Association, Series 2019-86, Class C, 2.500% due 3/20/49		1,470,552
			Government National Mortgage Association (GNMA):
	515,747	NR	Series 2007-51, Class SG, 4.408% (6.580% — 1-Month USD-LIBOR) due 8/20/37(c)(l)		76,797
	1,536,466	NR	Series 2008-51, Class GS, 4.033% (6.230% — 1-Month USD-LIBOR) due 6/16/38(c)(l)		291,955
	10,869	NR	Series 2010-31, Class GS, 4.328% (6.500% — 1-Month USD-LIBOR) due 3/20/39(c)(l)		355
	60,836	NR	Series 2010-85, Class HS, 4.478% (6.650% — 1-Month USD-LIBOR) due 1/20/40(c)(l)		5,273
	338,939	NR	Series 2012-H27, Class AI, 1.740% due 10/20/62(c)(l)		17,756
	251,784	NR	Series 2013-53, Class OI, 3.500% due 4/20/43(l)		30,631
	2,822,534	NR	Series 2013-85, Class IA, 0.692% due 3/16/47(c)(l)		95,821
	1,707,669	NR	Series 2014-105, Class IO, 0.955% due 6/16/54(c)(l)		81,378
	1,787,229	NR	Series 2014-H20, Class FA, 2.810% (1-Month USD-LIBOR + 0.430%) due 10/20/64(c)		1,785,171
	112,445	NR	Series 2015-167, Class OI, 4.000% due 4/16/45(l)		17,177
	114,938	NR	Series 2016-84, Class IG, 4.500% due 11/16/45(l)		18,172
	79,606	NR	Series 2016-135, Class SB, 3.903% (6.100% — 1-Month USD-LIBOR) due 10/16/46(c)(l)		17,943
	797,785	NR	Series 2017-H22, Class IC, 2.241% due 11/20/67(c)(l)		91,282
	260,549	NR	Series 2018-124, Class NW, 3.500% due 9/20/48		269,834
	99,265	NR	Series 2018-130, Class A, 3.250% due 5/16/59		101,641
	710,000	AAA	GS Mortgage Securities Corp. II, Series 2018-SRP5, Class A, 3.495% (1-Month USD-LIBOR + 1.300%) due 9/15/31(a)(c)		701,959
			Harborview Mortgage Loan Trust:
	142,381	AA+	Series 2004-5, Class 2A6, 4.062% due 6/19/34(c)		144,072
	61,156	WD(k)	Series 2006-2, Class 1A, 4.978% due 2/25/36(c)		39,119
	1,042,200	D	Series 2006-10, Class 1A1A, 2.382% (1-Month USD-LIBOR + 0.200%) due 11/19/36(c)		968,057
	100,303	AA	Impac CMB Trust, Series 2007-A, Class A, 2.645% (1-Month USD-LIBOR + 0.500%) due 5/25/37(a)(c)		101,293
	710,000	AAA(k)	Independence Plaza Trust, Series 2018-INDP, Class A, 3.763% due 7/10/35(a)		765,790
	44,761	Caa2(b)	Indymac Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 3.851% due 9/25/35(c)		41,885
	1,590,406	CCC	IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 2A1A, 2.445% (1-Month USD-LIBOR + 0.300%) due 7/25/35(c)		1,544,110
	1,038,857	CC	IXIS Real Estate Capital Trust, Series 2006-HE2, Class A3, 2.305% (1-Month USD-LIBOR + 0.160%) due 8/25/36(c)		431,530
			JP Morgan Chase Commercial Mortgage Securities Trust:
	218,722	AAA	Series 2012-HSBC, Class A, 3.093% due 7/5/32(a)		225,884
	350,000	Aaa(b)	Series 2016-NINE, Class A, 2.949% due 10/6/38(a)(c)		366,165
	265,000	AAA	Series 2018-BCON, Class A, 3.735% due 1/5/31(a)		278,707
	365,000	Aaa(b)	Series 2019-OSB, Class A, 3.397% due 6/5/39(a)		401,057
	1,350,000	CCC	JP Morgan Mortgage Acquisition Corp., Series 2006-FRE1, Class M1, 2.535% (1-Month USD-LIBOR + 0.390%) due 5/25/35(c)		1,348,550
			JP Morgan Mortgage Trust:
	384,671	Aaa(b)	Series 2017-1, Class A4, 3.500% due 1/25/47(a)(c)		390,824
	302,494	Aaa(b)	Series 2017-2, Class A6, 3.000% due 5/25/47(a)(c)		305,661
	1,193,513	AA+	Series 2018-3, Class A1, 3.500% due 9/25/48(a)(c)		1,217,086
	460,014	AA+	Series 2018-4, Class A1, 3.500% due 10/25/48(a)(c)		469,099
	1,144,735	AA+	Series 2018-5, Class A1, 3.500% due 10/25/48(a)(c)		1,167,377
	566,137	AAA	Series 2019-1, Class A11, 3.095% (1-Month USD-LIBOR + 0.950%) due 5/25/49(a)(c)		569,192
			JPMBB Commercial Mortgage Securities Trust:
	40,000	Aa3(b)	Series 2013-C17, Class B, 5.054% due 1/15/47(c)		44,104
	350,000	BB(k)	Series 2014-C23, Class E, 3.364% due 9/15/47(a)(c)		297,563

See Notes to Financial Statements.

200

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	COLLATERALIZED MORTGAGE OBLIGATIONS — 9.6% — (continued)
$	440,000	Aaa(b)	JPMCC Commercial Mortgage Securities Trust, Series 2019-BOLT, Class A, 3.345% (1-Month USD-LIBOR + 1.150%) due 7/15/34(a)(c)	$	440,190
	190,000	Aaa(b)	JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class A5, 3.409% due 10/15/50		206,907
			JPMorgan Chase Commercial Mortgage Securities Trust:
	175,000	Aaa(b)	Series 2011-C5, Class AS, 5.554% due 8/15/46(a)(c)		184,811
	370,000	Aa1(b)	Series 2011-C5, Class B, 5.554% due 8/15/46(a)(c)		389,359
	460,000	AA	Series 2012-HSBC, Class C, 4.021% due 7/5/32(a)		478,979
	217,833	Aaa(b)	JPMorgan Trust, Series 2015-5, Class A9, 3.363% due 5/25/45(a)(c)		218,182
	1,004,579	NR	Legacy Mortgage Asset Trust, Series 2019-GS5, Class A1, step bond to yield, 3.200% due 5/25/59(a)		1,009,056
	47,193	Ca(b)	Lehman XS Trust, Series 2005-7N, Class 1A1B, 2.745% (1-Month USD-LIBOR + 0.600%) due 12/25/35(c)		36,938
	130,000	Aaa(b)	Madison Avenue Trust, Series 2013-650M, Class A, 3.843% due 10/12/32(a)		131,655
	700,000	Aaa(b)	Magnetite XVIII Ltd., Series 2016-18A, Class AR, 3.238% (3-Month USD-LIBOR + 1.080%) due 11/15/28(a)(c)		699,493
	259,967	AA+	MASTR Seasoned Securitization Trust, Series 2005-1, Class 4A1, 4.695% due 10/25/32(c)		268,652
	290,799	CC	Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A4, 2.395% (1-Month USD-LIBOR + 0.250%) due 7/25/37(c)		203,314
	16,478	A+	Merrill Lynch Mortgage Investors Trust, Series 2004-A3, Class 4A3, 4.801% due 5/25/34(c)		16,616
	522,596	AA+	Mid-State Capital Corp. Trust, Series 2004-1, Class A, 6.005% due 8/15/37		567,348
			ML-CFC Commercial Mortgage Trust:
	79,103	Caa2(b)	Series 2007-5, Class AJ, 5.450% due 8/12/48(c)		50,385
	39,815	D(k)	Series 2007-9, Class AJ, 6.193% due 9/12/49(c)		17,247
	500,000	Aaa(b)	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A4, 4.039% due 11/15/46(m)		539,501
	1,921,684	NR	Morgan Stanley Resecuritization Trust, Series 2014-R3, Class 2A, 3.000% due 7/26/48(a)(c)(m)		1,928,623
	400,000	AAA	Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class A, 3.153% (3-Month USD-LIBOR + 0.850%) due 1/15/28(a)(c)		399,129
	1,850,000	CCC	New Century Home Equity Loan Trust, Series 2005-4, Class M3, 2.695% (1-Month USD-LIBOR + 0.550%) due 9/25/35(c)		1,851,506
	329,430	AAA	New Residential Mortgage Loan Trust, Series 2016-4A, Class A1, 3.750% due 11/25/56(a)(c)		343,625
	240,000	AAA	Octagon Investment Partners 25 Ltd., Series 2015-1A, Class AR, 3.078% (3-Month USD-LIBOR + 0.800%) due 10/20/26(a)(c)		239,973
	500,000	Aaa(b)	One Bryant Park Trust, Series 2019-OBP, Class A, 2.516% due 9/13/49(a)		510,641
	977,131	BBB-	Option One Mortgage Loan Trust, Series 2004-3, Class M1, 2.925% (1-Month USD-LIBOR + 0.780%) due 11/25/34(c)		979,122
	110,000	AAA	PFS Financing Corp., Series 2016-BA, Class A, 1.870% due 10/15/21(a)		110,071
	943,739	NR	PMT Credit Risk Transfer Trust, Series 2019-2R, Class A, 4.991% (1-Month USD-LIBOR + 2.750%) due 5/27/23(a)(c)		948,549
	631,408	AA+	Popular ABS Mortgage Pass-Through Trust, Series 2006-C, Class A4, 2.395% (1-Month USD-LIBOR + 0.250%) due 7/25/36(c)		630,368
			Prime Mortgage Trust:
	22,712	Caa2(b)	Series 2006-DR1, Class 1A1, 5.500% due 5/25/35(a)		20,752
	894,371	Caa2(b)	Series 2006-DR1, Class 2A1, 5.500% due 5/25/35(a)		775,271
	915,000	AAA	RBS Commercial Funding Inc. Trust, Series 2013-GSP, Class A, 3.961% due 1/15/32(a)(c)		971,321
	204,109	Caa2(b)	Residential Asset Securitization Trust, Series 2005-A15, Class 1A4, 5.750% due 2/25/36		208,877
			SBA Small Business Investment Cos.:
	732,441	NR	Series 2018-10B, Class 1, 3.548% due 9/10/28		785,899
	400,000	NR	Series 2019-10A, Class 1, 3.113% due 3/10/29		422,920
			Seasoned Credit Risk Transfer Trust:
	205,999	NR	Series 2018-2, Class MA, 3.500% due 11/25/57		216,447
	790,000	B-(k)	Series 2019-1, Class M, 4.750% due 7/25/58(a)(c)		810,506
	511,828	NR	Series 2019-2, Class MA, 3.500% due 8/25/58		541,254

See Notes to Financial Statements.

201

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†			Rating††	Security	Value
	COLLATERALIZED MORTGAGE OBLIGATIONS — 9.6% — (continued)
$	1,373,703		AA-	Sequoia Mortgage Trust, Series 2003-1, Class 1A, 2.932% (1-Month USD-LIBOR + 0.760%) due 4/20/33(c)	$	1,359,774
	829,915		AA	Structured Asset Investment Loan Trust, Series 2004-6, Class A3, 2.945% (1-Month USD-LIBOR + 0.800%) due 7/25/34(c)		823,113
	109,221		AA+	Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3, 2.432% (1-Month USD-LIBOR + 0.250%) due 7/19/35(c)		108,383
	111,516		CCC	Structured Asset Securities Corp., Series 2005-RF3, Class 1A, 2.495% (1-Month USD-LIBOR + 0.350%) due 6/25/35(a)(c)		100,138
	81,008		AAA	Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class A, 2.973% (1-Month USD-LIBOR + 0.750%) due 11/11/34(a)(c)		81,069
	258,690		Aaa(b)	Towd Point Mortgage Trust, Series 2016-3, Class A1, 2.250% due 4/25/56(a)(c)		258,261
	120,000		NR	United States Small Business Administration, Series 2019-20D, Class 1, 2.980% due 4/1/39		127,662
	810,000		A-	Vantage Data Centers Issuer LLC, Series 2019-1A, Class A2, 3.188% due 7/15/44(a)		826,471
	530,000		AAA	VNDO Mortgage Trust, Series 2012-6AVE, Class A, 2.996% due 11/15/30(a)		547,461
				WaMu Mortgage Pass-Through Certificates Trust:
	10,200		BB	Series 2004-AR11, Class A, 4.255% due 10/25/34(c)		10,320
	49,951		A+	Series 2004-AR12, Class A2A, 2.925% (1-Month USD-LIBOR + 0.780%) due 10/25/44(c)		49,853
	262,935		BB-	Series 2005-AR4, Class A5, 4.238% due 4/25/35(c)		271,888
	1,515,734		A-	Series 2005-AR19, Class A1B3, 2.495% (1-Month USD-LIBOR + 0.350%) due 12/25/45(c)		1,510,720
	1,034,520		CCC	Series 2006-AR3, Class A1A, 3.481% (1-Year Treasury Average Rate + 1.000%) due 2/25/46(c)		1,056,086
	1,831,285		WR(b)	Series 2007-OA2, Class 1A, 3.181% (1-Year Treasury Average Rate + 0.700%) due 3/25/47(c)		1,696,166
	466,885		Ca(b)	Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2007-OA2, Class 2A, 3.181% (1-Year Treasury Average Rate + 0.700%) due 1/25/47(c)		394,751
				Wells Fargo Commercial Mortgage Trust:
	120,000		Aa3(b)	Series 2013-LC12, Class B, 4.420% due 7/15/46(c)		125,898
	1,000,000		Aa2(b)	Series 2015-C28, Class AS, 3.872% due 5/15/48(c)		1,076,405
	150,000		Aaa(b)	Series 2015-LC20, Class A5, 3.184% due 4/15/50		158,662
	500,000		AAA	Series 2016-BNK1, Class ASB, 2.514% due 8/15/49		510,580
	11,920,527		Aaa(b)	Series 2018-C43, Class XA, 0.862% due 3/15/51(c)(l)		589,918
	250,000		Aaa(b)	Series 2018-C44, Class A4, 3.948% due 5/15/51		282,102
	3,620,000		Aaa(b)	Series 2019-C52, Class XA, 1.771% due 8/15/52(c)(l)		443,988
				Wells Fargo Mortgage-Backed Securities Trust:
	176,315		Caa1(b)	Series 2006-12, Class A3, 6.000% due 10/25/36		179,239
	83,982		CCC	Series 2006-AR2, Class 2A1, 5.005% due 3/25/36(c)		86,467
	22,904		Caa2(b)	Series 2006-AR7, Class 2A4, 5.088% due 5/25/36(c)		23,832
				WF-RBS Commercial Mortgage Trust:
	193,004		Aaa(b)	Series 2011-C2, Class A4, 4.869% due 2/15/44(a)(c)		198,225
	1,664,103		Aaa(b)	Series 2012-C7, Class XA, 1.512% due 6/15/45(a)(c)(l)		47,596
	145,000		Aaa(b)	Series 2013-C14, Class A4, 3.073% due 6/15/46		150,580
				TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $116,448,286)		115,789,754
	SOVEREIGN BONDS — 2.8%
	Argentina — 0.1%
	1,910,000		CCC-	Argentine Republic Government International Bonds, 5.625% due 1/26/22		764,000
	Brazil — 0.6%
	656,000	BRL	BB-	Brazil Notas do Tesouro Nacional Serie B, 6.000% due 8/15/50		708,516
				Brazil Notas do Tesouro Nacional Serie F:
	5,296,000	BRL	BB-	10.000% due 1/1/21		1,368,390
	5,296,000	BRL	BB-	10.000% due 1/1/23		1,423,746
	910,000	BRL	BB-	10.000% due 1/1/27		255,649

See Notes to Financial Statements.

202

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†			Rating††	Security	Value
	Brazil — 0.6% — (continued)
				Brazilian Government International Bonds:
$	280,000		BB-	4.875% due 1/22/21	$	291,133
	1,300,000		BB-	4.625% due 1/13/28		1,399,788
	1,280,000		BB-	5.000% due 1/27/45		1,364,013
				Total Brazil		6,811,235
	Canada — 0.0%
	152,000		A+	Province of Manitoba Canada, 3.050% due 5/14/24		161,682
	Chile — 0.0%
	100,000		A+	Chile Government International Bonds, 3.240% due 2/6/28		109,314
	Colombia — 0.1%
				Colombia Government International Bonds:
	220,000		BBB-	8.125% due 5/21/24		276,102
	280,000		BBB-	3.875% due 4/25/27		303,243
	440,000		BBB-	4.500% due 3/15/29		501,600
	370,000		BBB-	5.625% due 2/26/44		477,304
				Total Colombia		1,558,249
	Ecuador — 0.0%
	200,000		B-	Ecuador Government International Bonds, 7.875% due 1/23/28(a)		187,650
	Egypt — 0.0%
	230,000		B	Egypt Government International Bonds, 5.577% due 2/21/23(a)		237,651
	Indonesia — 0.2%
				Indonesia Government International Bonds:
	1,400,000		BBB	3.750% due 4/25/22		1,445,572
	290,000		Baa2(b)	3.500% due 1/11/28		305,269
	80,000		BBB	4.100% due 4/24/28		87,634
	330,000		Baa2(b)	4.350% due 1/11/48		375,892
				Total Indonesia		2,214,367
	Kenya — 0.0%
	200,000		B+	Kenya Government International Bonds, 7.250% due 2/28/28(a)		209,446
	Kuwait — 0.0%
	360,000		AA	Kuwait International Government Bonds, 3.500% due 3/20/27(a)		395,848
	Mexico — 0.9%
				Mexican Bonos:
	10,752,700	MXN	A-	6.500% due 6/9/22		531,076
	15,120,000	MXN	A-	10.000% due 12/5/24		858,505
	12,800,000	MXN	A-	8.500% due 5/31/29		706,580
	60,165,700	MXN	A-	7.750% due 11/13/42		3,097,464
	48,220,000	MXN	A3(b)	8.000% due 11/7/47		2,552,008
				Mexico Government International Bonds:
	174,000		BBB+	3.625% due 3/15/22		180,527
	44,000		BBB+	4.000% due 10/2/23		46,586
	665,000		BBB+	4.150% due 3/28/27		710,892
	323,000		BBB+	3.750% due 1/11/28		338,265
	1,000,000		BBB+	4.500% due 4/22/29		1,105,260
	210,000		BBB+	4.750% due 3/8/44		232,512
				Total Mexico		10,359,675
	Nigeria — 0.0%
	260,000		B	Nigeria Government International Bonds, 7.143% due 2/23/30(a)		261,921

See Notes to Financial Statements.

203

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†			Rating††		Security	Value
	Oman — 0.0%
$	200,000			Ba1(b)	Oman Government International Bonds, 5.625% due 1/17/28(a)	$	197,405
	Panama — 0.1%
					Panama Government International Bonds:
	200,000			BBB+	4.000% due 9/22/24		216,502
	210,000			BBB+	3.875% due 3/17/28		232,971
					Total Panama		449,473
	Peru — 0.1%
					Peruvian Government International Bonds:
	210,000			BBB+	4.125% due 8/25/27		241,397
	70,000			BBB+	6.550% due 3/14/37		106,488
	160,000			BBB+	5.625% due 11/18/50		244,402
					Total Peru		592,287
	Philippines — 0.0%
	400,000			BBB+	Philippine Government International Bonds, 3.000% due 2/1/28		426,977
	Poland — 0.1%
	710,000			A-	Poland Government International Bonds, 4.000% due 1/22/24		773,816
	Qatar — 0.1%
					Qatar Government International Bonds:
	250,000			AA-	4.000% due 3/14/29(a)		285,804
	820,000			AA-	4.817% due 3/14/49(a)		1,057,018
					Total Qatar		1,342,822
	Russia — 0.4%
					Russian Federal Bonds — OFZ:
	22,990,000	RUB		BBB	7.000% due 8/16/23		348,230
	6,950,000	RUB		NR	7.750% due 9/16/26		109,243
	31,310,000	RUB		BBB	8.150% due 2/3/27		502,855
	146,093,000	RUB		BBB	7.050% due 1/19/28		2,209,820
	86,190,000	RUB		BBB(k)	6.900% due 5/23/29		1,283,712
	34,080,000	RUB		BBB(k)	7.250% due 5/10/34		513,230
	200,000			BBB(k)	Russian Foreign Bonds — Eurobond, 4.750% due 5/27/26		218,746
					Total Russia		5,185,836
	Saudi Arabia — 0.0%
	200,000			A1(b)	Saudi Government International Bonds, 3.625% due 3/4/28		217,167
	United Arab Emirates — 0.0%
	400,000			AA	Abu Dhabi Government International Bonds, 2.500% due 10/11/22(a)		406,784
	Uruguay — 0.1%
					Uruguay Government International Bonds:
	70,000			BBB	4.500% due 8/14/24		76,038
	355,000			BBB	4.375% due 10/27/27		394,719
					Total Uruguay		470,757
					TOTAL SOVEREIGN BONDS (Cost — $34,950,568)		33,334,362
	ASSET-BACKED SECURITIES — 1.7%
	Automobiles — 0.4%
	20,584			AAA	AmeriCredit Automobile Receivables Trust, Series 2017-1, Class A3, 1.870% due 8/18/21		20,571
	630,000			AAA	Credit Acceptance Auto Loan Trust, Series 2018-3A, Class A, 3.550% due 8/15/27(a)		644,084

See Notes to Financial Statements.

204

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Automobiles — 0.4% — (continued)
			Hertz Vehicle Financing II LP:
$	1,500,000	Aaa(b)	Series 2016-4A, Class A, 2.650% due 7/25/22(a)	$	1,508,891
	440,000	Aaa(b)	Series 2018-1A, Class A, 3.290% due 2/25/24(a)		453,868
	970,000	AAA	Nissan Auto Receivables Owner Trust, Series 2018-C, Class A3, 3.220% due 6/15/23		995,653
	1,340,000	Aaa(b)	Santander Drive Auto Receivables Trust, Series 2019-2, Class A3, 2.590% due 5/15/23		1,352,896
			Total Automobiles		4,975,963
	Credit Cards — 0.1%
	830,000	AAA	Capital One Multi-Asset Execution Trust, Series 2019-A1, Class A1, 2.840% due 12/15/24		853,436
	315,000	AAA	Citibank Credit Card Issuance Trust, Series 2017-A6, Class A6, 2.965% (1-Month USD-LIBOR + 0.770%) due 5/14/29(c)		314,952
			Total Credit Cards		1,168,388
	Student Loans — 1.2%
	372,568	AA+	CIT Education Loan Trust, Series 2007-1, Class A, 2.439% (3-Month USD-LIBOR + 0.090%) due 3/25/42(a)(c)		360,831
			Navient Private Education Loan Trust:
	279,846	AAA	Series 2014-AA, Class A2B, 3.445% (1-Month USD-LIBOR + 1.250%) due 2/15/29(a)(c)		283,363
	34,988	AAA	Series 2014-CTA, Class A, 2.895% (1-Month USD-LIBOR + 0.700%) due 9/16/24(a)(c)		35,013
	930,000	AAA	Navient Private Education Refi Loan Trust, Series 2019-CA, Class A2, 3.130% due 2/15/68(a)		970,039
	500,000	AAA	Navient Student Loan Trust, Series 2017-4A, Class A2, 2.645% (1-Month USD-LIBOR + 0.500%) due 9/27/66(a)(c)		499,484
	541,702	AAA	Nelnet Student Loan Trust, Series 2011-1A, Class A, 2.995% (1-Month USD-LIBOR + 0.850%) due 2/25/48(a)(c)		542,333
			SLM Student Loan Trust:
	197,098	AA+	Series 2003-4, Class A5E, 3.160% (3-Month USD-LIBOR + 0.750%) due 3/15/33(a)(c)		192,925
	1,918,548	AAA	Series 2005-5, Class A4, 2.416% (3-Month USD-LIBOR + 0.140%) due 10/25/28(c)		1,905,575
	880,000	AA+	Series 2005-5, Class A5, 3.026% (3-Month USD-LIBOR + 0.750%) due 10/25/40(c)		874,185
	640,000	AAA	Series 2011-1, Class A2, 3.295% (1-Month USD-LIBOR + 1.150%) due 10/25/34(c)		647,878
	3,535,000	AAA	Series 2011-2, Class A2, 3.345% (1-Month USD-LIBOR + 1.200%) due 10/25/34(c)		3,592,952
			SMB Private Education Loan Trust:
	52,491	AAA	Series 2015-B, Class A2A, 2.980% due 7/15/27(a)		53,017
	545,000	AAA	Series 2015-C, Class A3, 4.145% (1-Month USD-LIBOR + 1.950%) due 8/16/32(a)(c)		558,050
	65,823	Aaa(b)	Series 2016-A, Class A2A, 2.700% due 5/15/31(a)		66,643
	219,144	AAA	Series 2017-B, Class A2A, 2.820% due 10/15/35(a)		223,223
	129,494	AAA	Series 2017-B, Class A2B, 2.945% (1-Month USD-LIBOR + 0.750%) due 10/15/35(a)(c)		128,872
	400,000	AAA	Series 2018-A, Class A2B, 2.995% (1-Month USD-LIBOR + 0.800%) due 2/15/36(a)(c)		399,600
	510,000	Aaa(b)	Series 2018-B, Class A2A, 3.600% due 1/15/37(a)		532,971
	595,000	AAA	Series 2018-C, Class A2B, 2.945% (1-Month USD-LIBOR + 0.750%) due 11/15/35(a)(c)		593,523
	550,000	AAA	Sofi Professional Loan Program LLC, Series 2018-A, Class A2B, 2.950% due 2/25/42(a)		564,021
			Sofi Professional Loan Program Trust:
	390,000	AAA	Series 2018-B, Class A2FX, 3.340% due 8/25/47(a)		404,993
	910,000	AAA	Series 2018-D, Class A2FX, 3.600% due 2/25/48(a)		961,325
			Total Student Loans		14,390,816
			TOTAL ASSET-BACKED SECURITIES (Cost — $20,221,632)		20,535,167
	SENIOR LOANS — 1.1%
	138,981	NR	Albertson’s LLC, (Restricted, cost — $139,214, acquired 8/15/19), 4.862% (1-Month USD-LIBOR + 2.750%) due 8/17/26(n)		139,701
	118,288	NR	Allied Universal Holdco LLC, (Restricted, cost — $118,277, acquired 8/16/19), 6.507% (3-Month USD-LIBOR + 4.250%) due 7/10/26(n)		118,333
	9,009	NR	Allied Universal Holdco LLC, (Restricted, cost — $9,008 acquired 8/19/19), (3-Month USD-LIBOR + 4.250%) due 7/10/26(n)(o)		9,012
	159,192	NR	Alterra Mountain Co., (Restricted, cost — $158,869, acquired 3/27/19), 5.112% (1-Month USD-LIBOR + 3.000%) due 7/31/24(n)		158,933

See Notes to Financial Statements.

205

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	SENIOR LOANS — 1.1% — (continued)
$	133,650	NR	American Airlines Inc., (Restricted, cost — $134,151, acquired 10/5/17), 4.061% (3-Month USD-LIBOR + 1.750%) due 6/27/25(n)	$	131,311
	109,522	NR	Asurion LLC, (Restricted, cost — $109,056, acquired 2/14/19), 5.112% (1-Month USD-LIBOR + 3.000%) due 11/3/24(n)		109,705
	394,043	NR	Asurion LLC, (Restricted, cost — $394,340, acquired 4/10/19), 5.112% (1-Month USD-LIBOR + 3.000%) due 8/4/22(n)		394,711
	249,375	NR	athenahealth Inc., (Restricted, cost — $246,978, acquired 2/7/19), 6.681% (1-Month USD-LIBOR + 4.500%/3-Month USD-LIBOR + 4.500%) due 2/11/26(n)		248,674
	49,750	NR	Atlantic Aviation FBO Inc., (Restricted, cost — $49,304, acquired 11/30/18), 5.870% (1-Month USD-LIBOR + 3.750%) due 12/6/25(n)		50,123
	310,835	NR	Avolon TLB Borrower 1 (US) LLC, (Restricted, cost — $311,788, acquired 4/22/19), 3.922% (1-Month USD-LIBOR + 1.750%) due 1/15/25(n)		311,887
	76,921	NR	Bausch Health Cos., Inc., (Restricted, cost — $77,402, acquired 4/17/19), 5.201% (1-Month USD-LIBOR + 3.000%) due 6/2/25(n)		77,153
	4,936	NR	Berry Global Inc., (Restricted, cost — $4,951, acquired 2/12/18), 4.451% (1-Month USD-LIBOR + 2.500%) due 10/1/22(n)		4,945
	98,418	NR	Caesars Resort Collection LLC, (Restricted, cost — $98,726, acquired 4/17/19), 4.862% (1-Month USD-LIBOR + 2.750%) due 12/23/24(n)		97,120
	374,144	NR	Change Healthcare Holdings Inc., (Restricted, cost — $373,719, acquired 4/30/19), 4.612% (1-Month USD-LIBOR + 2.750%) due 3/1/24(n)		370,636
	352,358	NR	Charter Communications Operating LLC, (Restricted, cost — $351,613, acquired 3/11/19), 4.330% (3-Month USD-LIBOR + 2.000%) due 4/30/25(n)		353,560
	40,947	NR	CityCenter Holdings LLC, (Restricted, cost — $41,029, acquired 10/12/17), 4.362% (1-Month USD-LIBOR + 2.250%) due 4/18/24(n)		40,998
	252,551	NR	Dell International LLC, (Restricted, cost — $252,599, acquired 10/18/17), 4.120% (1-Month USD-LIBOR + 2.000%) due 9/7/23(n)		253,429
	991,667	NR	Delos Finance Sarl, (Restricted, cost — $1,000,344, acquired 8/9/17), 4.080% (3-Month USD-LIBOR + 1.750%) due 10/6/23(n)		994,498
	90,000	NR	Diamond Sports Group LLC, (Restricted, cost — $89,556, acquired 7/18/19), 5.420% (3-Month USD-LIBOR + 3.250%) due 8/24/26(n)		90,206
	370,000	NR	DigiCert Holdings Inc., (Restricted, cost — $370,264, acquired 8/8/19), due 8/7/26(n)(o)		369,229
	348,898	NR	Edelman Financial Center LLC, (Restricted, cost — $350,033, acquired 4/22/19), 5.432% (1-Month USD-LIBOR + 3.250%) due 7/21/25(n)		349,272
	69,825	NR	First Eagle Holdings Inc., (Restricted, cost — $69,999, acquired 4/5/19), 5.080% (3-Month USD-LIBOR + 2.750%) due 12/2/24(n)		69,825
	1,610,000	NR	Flying Fortress Holdings LLC, (Restricted, cost — $1,615,893, acquired 2/27/18), 4.080% (3-Month USD-LIBOR + 1.750%) due 10/30/22(n)		1,614,033
	59,950	NR	Focus Financial Partners LLC, (Restricted, cost — $60,150, acquired 8/6/19), 4.612% (1-Month USD-LIBOR + 2.500%) due 7/3/24(n)		60,191
	27,357	NR	HCA Inc., (Restricted, cost — $27,562, acquired 10/19/17), 4.330% (3-Month USD-LIBOR + 2.000%) due 3/13/25(n)		27,479
	171,964	NR	Hilton Worldwide Finance LLC, (Restricted, cost — $171,853, acquired 8/18/16), 3.895% (1-Month USD-LIBOR + 1.750%) due 6/22/26(n)		172,601
	193,459	NR	iHeartCommunications Inc., (Restricted, cost — $194,565, acquired 5/1/19), 6.230% (1-Month USD-LIBOR + 4.000%) due 5/1/26(n)		194,342
	140,000	NR	Intelsat Jackson Holdings SA, (Restricted, cost — $139,952, acquired 8/22/19), 5.895% (1-Month USD-LIBOR + 3.750%) due 11/27/23(n)		140,175
	189,523	NR	Jane Street Group LLC, (Restricted, cost — $189,166, acquired 8/16/19), 5.112% (1-Month USD-LIBOR + 3.000%) due 8/25/22(n)		188,772
	360,000	NR	Level 3 Financing Inc., (Restricted, cost — $359,897, acquired 10/6/17), 4.362% (1-Month USD-LIBOR + 2.250%) due 2/22/24(n)		360,675
	29,848	NR	LPL Holdings Inc., (Restricted, cost — $29,848, acquired 3/19/19), 4.395% (1-Month USD-LIBOR + 2.250%) due 9/23/24(n)		29,960
	229,599	NR	McAfee LLC, (Restricted, cost — $229,699, acquired 8/16/19), 5.866% (1-Month USD-LIBOR + 3.750%) due 9/30/24(n)		230,073

See Notes to Financial Statements.

206

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	SENIOR LOANS — 1.1% — (continued)
$	28,315	NR	MGM Growth Properties Operating Partnership LP, (Restricted, cost — $28,456, acquired 10/16/17), 4.112% (1-Month USD-LIBOR + 2.000%) due 3/21/25(n)	$	28,353
	97,515	NR	Michaels Stores Inc., (Restricted, cost — $98,246, acquired 9/28/16), 4.626% (1-Month USD-LIBOR + 2.500%) due 1/30/23(n)		92,853
	334,942	NR	MPH Acquisition Holdings LLC, (Restricted, cost — $335,076, acquired 10/13/17), 5.080% (3-Month USD-LIBOR + 2.750%) due 6/7/23(n)		312,334
	250,000	NR	Nexstar Broadcasting Inc., (Restricted, cost — $250,313, acquired 8/16/19), due 6/19/26(n)(o)		250,446
	152,527	NR	Numericable U.S. LLC, (Restricted, cost — $152,272, acquired 10/6/17), 5.885% (1-Month USD-LIBOR + 3.688%) due 1/31/26(n)		150,199
	10,116	NR	ON Semiconductor Corp., (Restricted, cost — $10,180, acquired 10/11/17), 3.862% (1-Month USD-LIBOR + 1.750%) due 3/31/23(n)		10,110
	190,000	NR	Option Care Health Inc., (Restricted, cost — $188,285, acquired 5/22/19), 6.612% (1-Month USD-LIBOR + 4.500%) due 8/6/26(n)		189,763
	240,000	NR	Panther BF Aggregator 2 L P, (Restricted, cost — $237,749, acquired 4/3/19), 5.612% (1-Month USD-LIBOR + 3.500%) due 4/30/26(n)		237,000
	123,554	NR	Party City Holdings Inc., (Restricted, cost — $123,966, acquired 2/16/18), 4.620% (1-Month USD-LIBOR + 2.500%) due 8/19/22(n)		122,318
	140,000	NR	PCI Gaming Authority, (Restricted, cost — $140,210, acquired 5/15/19), 5.112% (1-Month USD-LIBOR + 3.000%) due 5/29/26(n)		140,918
	386,052	NR	Prime Security Services Borrower LLC, (Restricted, cost — $388,350, acquired 4/22/19), 4.862% (1-Month USD-LIBOR + 2.750%) due 5/2/22(n)		386,192
	438,924	NR	Regionalcare Hospital Partners Holdings Inc., (Restricted, cost — $437,468, acquired 11/14/18), 6.645% (1-Month USD-LIBOR + 4.500%) due 11/16/25(n)		438,375
	199,056	NR	Reynolds Group Holdings Inc., (Restricted, cost — $198,754, acquired 3/14/19), 4.862% (1-Month USD-LIBOR + 2.750%) due 2/5/23(n)		199,180
	460,422	NR	RPI Finance Trust, (Restricted, cost — $462,403, acquired 4/17/17), 4.112% (1-Month USD-LIBOR + 2.000%) due 3/27/23(n)		461,926
	341,426	NR	Scientific Games International Inc., (Restricted, cost — $343,521, acquired 2/2/18), 4.889% (1-Month USD-LIBOR + 2.750%/2-Month USD-LIBOR + 2.750%) due 8/14/24(n)		337,940
	43,002	NR	Sprint Communications Inc., (Restricted, cost — $43,217, acquired 10/16/17), 4.625% (1-Month USD-LIBOR + 2.500%) due 2/2/24(n)		42,787
	997,419	NR	TKC Holdings Inc., (Restricted, cost — $997,419, acquired 4/30/19), 5.870% (1-Month USD-LIBOR + 3.750%) due 2/1/23(n)		976,224
	49,578	NR	Trans Union LLC, (Restricted, cost — $49,640, acquired 10/18/17), 4.112% (1-Month USD-LIBOR + 2.000%) due 4/10/23(n)		49,698
	448,846	NR	UFC Holdings LLC, (Restricted, cost — $452,213, acquired 4/30/19), 5.370% (1-Month USD-LIBOR + 3.250%) due 4/29/26(n)		449,638
	450,000	NR	Virgin Media Bristol LLC, (Restricted, cost — $452,200, acquired 4/30/19), 4.695% (1-Month USD-LIBOR + 2.500%) due 1/15/26(n)		450,475
	182,561	NR	Western Digital Corp., (Restricted, cost — $184,386, acquired 10/27/17), 3.862% (1-Month USD-LIBOR + 1.750%) due 4/29/23(n)		182,332
			TOTAL SENIOR LOANS (Cost — $13,344,125)		13,270,623
	MUNICIPAL BONDS — 0.3%
	California — 0.1%
	530,000	A+	Los Angeles Unified School District, GO, 5.750% due 7/1/34		709,675
			University of California, Revenue Bonds:
	25,000	AA	Series AD, 4.858% due 5/15/12		35,242
	266,000	AA	Series AQ, 4.767% due 5/15/15		364,609
			Total California		1,109,526
	Massachusetts — 0.0%
	100,000	AA+	Massachusetts School Building Authority, Revenue Bonds, Series B, 5.000% due 10/15/41		107,640

See Notes to Financial Statements.

207

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount/Units†			Rating††	Security	Value
	New Jersey — 0.1%
$	650,000		Aa3(b)	Jersey City Municipal Utilities Authority, Revenue Bonds, Series B, 5.470% due 5/15/27	$	747,662
				New Jersey Transportation Trust Fund Authority, Revenue Bonds:
	110,000		BBB+	Series AA, 5.000% due 6/15/36		120,479
	85,000		BBB+	Series B, 6.561% due 12/15/40		122,337
				Total New Jersey		990,478
	New York — 0.1%
	500,000		AA	City of New York, GO, Series G-1, 5.968% due 3/1/36		693,985
	80,000		AAA	New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds, 5.000% due 11/1/42		91,380
	350,000		AA+	New York State Dormitory Authority, Revenue Bonds, 5.289% due 3/15/33		441,987
				Total New York		1,227,352
	Texas — 0.0%
	235,000		A+	Dallas/Fort Worth International Airport, Revenue Bonds, AMT, Series A, Prerefunded 11/01/20 @ 100, 5.000% due 11/1/45(p)(q)		245,211
	Virginia — 0.0%
	198,182		AAA	Virginia Housing Development Authority, Revenue Bonds, Series C, 6.000% due 6/25/34		212,527
				TOTAL MUNICIPAL BONDS (Cost — $3,553,636)		3,892,734
Shares/Units
	PREFERRED STOCK — 0.0%
	FINANCIALS — 0.0%
	Banks — 0.0%
	3,800			GMAC Capital Trust I, 7.943% (3-Month USD-LIBOR + 5.785%) due 2/15/40(c) (Cost — $94,240)		99,560
				TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $1,144,894,244)		1,192,624,233
Face Amount†
	SHORT-TERM INVESTMENTS (r) — 9.2%
	CORPORATE BOND — 0.1%
$	955,000			BellSouth LLC, 4.266% due 4/26/20(a) (Cost — $966,785)		966,785
	MONEY MARKET FUND — 0.0%
	143,175			Invesco STIT — Government & Agency Portfolio, 1.998%, Institutional Class(s) (Cost — $143,175)		143,175
	REPURCHASE AGREEMENT — 2.6%
	31,000,000			Merril Lynch & Co., Inc. repurchase agreement dated 8/30/19, 2.130% due 9/3/19, Proceeds at maturity — $31,001,834; (Fully collateralized by U.S. Treasury Bonds, 2.750% due 7/31/23; Market Valued — $31,664,073)(t) (Cost — $31,000,000)		31,000,000
	TIME DEPOSITS — 5.3%
	2,809,909			ANZ National Bank — London, 1.490% due 9/3/19		2,809,909
	4,332,716			Banco Santander SA — Frankfurt, 1.490% due 9/3/19		4,332,716
	27,691,637			Barclays Bank PLC — London, 1.490% due 9/3/19		27,691,637
	201,013	EUR		BNP Paribas — Paris, (0.580)% due 9/2/19		220,924
	5,064,297			Citibank — New York, 1.490% due 9/3/19		5,064,297

See Notes to Financial Statements.

208

Schedules of Investments

(continued)

Core Fixed Income Fund
Face Amount†			Security	Value
	TIME DEPOSITS — 5.3% — (continued)
			Sumitomo Mitsui Banking Corp. — Tokyo:
$	7,999,997	JPY	(0.250)% due 9/2/19	$	75,312
	23,752,115		1.490% due 9/3/19		23,752,115
			TOTAL TIME DEPOSITS (Cost — $63,946,910)		63,946,910
	U.S. GOVERNMENT AGENCIES — 0.7%
			Federal Home Loan Bank Discount Notes:
	2,040,000		2.002% due 9/9/19(t)		2,039,093
	1,160,000		2.152% due 9/20/19(t)		1,158,687
	3,450,000		2.073% due 9/27/19(t)		3,444,842
	2,040,000		1.957% due 10/28/19(t)		2,033,702
			TOTAL U.S. GOVERNMENT AGENCIES (Cost — $8,676,324)		8,676,324
Face Amount/Units†
	U.S. GOVERNMENT OBLIGATIONS — 0.5%
			U.S. Treasury Bills:
$	287,000		2.115% due 9/26/19(t)(u)		286,581
	3,790,000		1.951% due 10/15/19(t)		3,780,990
	2,465,000		1.978% due 10/22/19(t)		2,458,113
			TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $6,525,684)		6,525,684
			TOTAL SHORT-TERM INVESTMENTS (Cost — $111,258,878)		111,258,878
			TOTAL INVESTMENTS IN SECURITIES (Cost — $1,256,153,122)		1,303,883,111
			TOTAL INVESTMENTS IN PURCHASED OPTIONS (Cost — $554,596)		573,318
			TOTAL INVESTMENTS — 108.4% (Cost — $1,256,707,718)		1,304,456,429
			Liabilities in Excess of Other Assets — (8.4)%		(100,923,870	)
			TOTAL NET ASSETS — 100.0%	$	1,203,532,559

† 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. The aggregate value of restricted 144A holdings at August 31, 2019 amounts to approximately $120,092,484 and represents 10.0% of net assets.

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

(c) Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2019.

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

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

(f) Illiquid security.

(g) Security is currently in default.

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

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

(j) Principal only security.

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

(l) Interest only security.

See Notes to Financial Statements.

209

Schedules of Investments

(continued)

Core Fixed Income Fund

(m) Affiliated security (See Note 2). As of August 31, 2019, total cost and total market value of affiliated securities amounted to $2,436,303 and $2,468,124, respectively.

(n) The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2019 amounts to approximately $13,270,623 and represents 1.1% of net assets.

(o) This position represents an unsettled loan commitment at year end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.

(p) 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.

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

(r) Inclusive of all short-term holdings, including investment of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 9.2%.

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

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

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

# Security that used significant unobservable inputs to determine fair value.

At August 31, 2019, for Core Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:

Fund	Aggregate Cost For Federal Income Tax Purposes		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation
Core Fixed Income Fund	$	1,259,318,077	$	64,123,066	$	(25,147,172	)	$	38,975,894

Abbreviations used in this schedule:
ABS	— Asset-Based Security
ACES	— Alternative Credit Enhancement Securities
CLO	— Collateralized Loan Obligation
GO	— General Obligation
ICE	— Intercontinental Exchange
LIBOR	— London Interbank Offered Rate
MASTR	— Mortgage Asset Securitization Transactions Incorporation
PLC	— Public Limited Company
REMICS	— Real Estate Mortgage Investment Conduits

Summary of Investments by Security Type^
Corporate Bonds & Notes	26.3	%
Mortgage-Backed Securities	26.1
U.S. Government Agencies & Obligations	24.7
Collateralized Mortgage Obligations	8.9
Sovereign Bonds	2.6
Asset-Backed Securities	1.6
Senior Loans	1.0
Municipal Bonds	0.3
Purchased Options	0.0	*
Preferred Stock	0.0	*
Short-Term Investments	8.5
	100.0	%+

^ As a percentage of total investments.

* Position represents less than 0.05%.

+ Does not reflect investments of collateral received from securities lending transactions.

See Notes to Financial Statements.

210

Schedules of Investments

(continued)

Core Fixed Income Fund

At August 31, 2019, Core Fixed Income Fund held the following Options Contracts Purchased:

Currency Options

Number of Contracts

Notional Amount†

Security Name

Counterparty

Expiration Date

Strike Price

Value

7,110,000

$7,110,000

OTC U.S. Dollar versus Euro, Call

CITI

10/21/19

EUR

1.13

$

192,812

7,115,340

7,115,340

OTC U.S. Dollar versus Euro, Call

CITI

11/4/19

EUR

1.14

245,400

Total Currency Options

$

438,212

Options on Futures
Number of Contracts		Notional Amount†		Security Name	Counterparty		Expiration Date		Strike Price		Value
	226		$27,093,516	U.S. Treasury 5-Year Note October Futures, Put		GSC		9/20/19	$	118.00	$	1,765
	241		31,721,625	U.S. Treasury 10-Year Note October Futures, Call		GSC		9/20/19	$	133.00		52,719
	110		14,478,750	U.S. Treasury 10-Year Note October Futures, Call		GSC		9/20/19	$	141.00		110
	110		14,478,750	U.S. Treasury 10-Year Note October Futures, Call		GSC		9/20/19	$	141.50		110
	339		44,620,875	U.S. Treasury 10-Year Note October Futures, Put		GSC		9/20/19	$	128.00		339
	732		96,349,500	U.S. Treasury 10-Year Note October Futures, Put		GSC		9/20/19	$	130.00		80,063
				Total Options on Futures							$	135,106
				TOTAL OPTIONS CONTRACTS PURCHASED (Cost — $554,596)							$	573,318

At August 31, 2019, Core Fixed Income Fund held the following Options Contracts Written:

Options on Futures
Number of Contracts		Notional Amount†		Security Name	Counterparty		Expiration Date		Strike Price		Value
	452		$54,187,031	U.S. Treasury 5-Year Note November Futures, Put		GSC		10/25/19	$	116.00	$	7,063
	91		11,977,875	U.S. Treasury 10-Year Note November Futures, Call		GSC		10/25/19	$	133.50		38,391
	362		47,648,250	U.S. Treasury 10-Year Note November Futures, Put		GSC		10/25/19	$	126.00		11,312
	133		17,506,125	U.S. Treasury 10-Year Note October Futures, Call		GSC		9/20/19	$	131.50		101,828
	111		14,610,375	U.S. Treasury 10-Year Note October Futures, Put		GSC		9/20/19	$	131.00		38,156
	133		17,506,125	U.S. Treasury 10-Year Note October Futures, Put		GSC		9/20/19	$	131.50		72,734
				Total Options on Futures							$	269,484
				TOTAL OPTIONS CONTRACTS WRITTEN (Premiums received — $353,204)							$	269,484

See Notes to Financial Statements.

211

Schedules of Investments

(continued)

Core Fixed Income Fund

At August 31, 2019, Core 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)		Notional Amount		Market Value		Unrealized Appreciation/ (Depreciation)
Contracts to Buy:
90-Day Eurodollar December Futures		176		12/19	$	42,905,450	$	43,181,600	$	276,150
90-Day Eurodollar June Futures		25		6/20		6,086,725		6,162,813		76,088
90-Day Eurodollar March Futures		19		3/21		4,628,163		4,694,663		66,500
Euro-BTP September Futures		76		9/19		11,149,027		12,137,425		988,398
U.S. Treasury 2-Year Note December Futures		435		12/19		93,939,755		94,010,976		71,221
U.S. Treasury 5-Year Note December Futures		176		12/19		21,023,301		21,115,875		92,574
U.S. Treasury Long Bond December Futures		88		12/19		14,510,268		14,542,000		31,732
U.S. Treasury Ultra Long Bond December Futures		236		12/19		46,103,403		46,595,250		491,847
										2,094,510
Contracts to Sell:
30-Day Federal Funds November Futures		156		11/19		63,932,989		63,893,611		39,378
Euro-Bund September Futures		246		9/19		46,224,525		48,422,603		(2,198,078	)
Japan Government 10-Year Bond September Futures		5		9/19		7,222,876		7,305,248		(82,372	)
U.S. Treasury 5-Year Note December Futures		25		12/19		2,988,727		2,999,415		(10,688	)
U.S. Treasury 10-Year Note December Futures		242		12/19		31,841,244		31,875,937		(34,693	)
										(2,286,453	)
Net Unrealized Depreciation on Open Exchange-Traded Futures Contracts									$	(191,943	)

At August 31, 2019, Core Fixed Income Fund had deposited cash of $2,676,892 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.

At August 31, 2019, Core 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		In Exchange For			Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
Contracts to Buy:
Argentine Peso		8,000,000		USD	161,943		CITI	$	125,235		9/23/19	$	(36,708	)
Argentine Peso		5,340,869		USD	102,650		CITI		82,421		9/27/19		(20,229	)
Australian Dollar		511,019		USD	354,908		CITI		344,562		10/17/19		(10,346	)
Brazilian Real		10,500,000		USD	2,760,615		CITI		2,527,231		10/17/19		(233,384	)
Brazilian Real		5,210,000		USD	1,371,414		CITI		1,253,988		10/17/19		(117,426	)
Brazilian Real		6,019,000		USD	1,586,265		CITI		1,448,705		10/17/19		(137,560	)
British Pound		545,347		USD	685,545		CITI		664,754		10/17/19		(20,791	)
Canadian Dollar		13,347,647		USD	10,181,349		CITI		10,032,920		10/17/19		(148,429	)
Euro		3,209,000		USD	3,626,491		CITI		3,540,598		10/23/19		(85,893	)
Indian Rupee		260,147,303		USD	3,752,738		CITI		3,623,058		10/17/19		(129,680	)
Indonesian Rupiah		78,867,595,537		USD	5,505,207		CITI		5,532,976		10/17/19		27,769
Mexican Peso		64,064,233		USD	3,301,463		CITI		3,173,018		10/17/19		(128,445	)
South African Rand		8,680,000		USD	605,291		CITI		569,010		10/17/19		(36,281	)
													(1,077,403	)

See Notes to Financial Statements.

212

Schedules of Investments

(continued)

Core Fixed Income Fund

Foreign Currency	Local Currency		In Exchange For			Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
Contracts to Sell:
Brazilian Real		13,576,677		USD	3,601,718		CITI	$	3,267,752		10/17/19	$	333,966
Chinese Offshore Renminbi		26,818,047		USD	3,901,318		CITI		3,739,772		10/17/19		161,546
Chinese Offshore Renminbi		3,196,254		USD	464,727		CITI		445,717		10/17/19		19,010
Euro		100,000		USD	112,008		CITI		110,281		10/17/19		1,727
Euro		300,000		USD	336,842		CITI		330,842		10/17/19		6,000
Euro		150,000		USD	168,721		CITI		165,421		10/17/19		3,300
Euro		100,000		USD	112,910		CITI		110,281		10/17/19		2,629
Euro		100,000		USD	112,459		CITI		110,281		10/17/19		2,178
Euro		100,000		USD	112,512		CITI		110,280		10/17/19		2,232
Euro		682,397		USD	773,732		CITI		752,551		10/17/19		21,181
Euro		150,000		USD	167,494		CITI		165,421		10/17/19		2,073
Japanese Yen		9,497,643		USD	88,184		CITI		89,695		10/17/19		(1,511	)
Japanese Yen		10,000,000		USD	94,242		CITI		94,440		10/17/19		(198	)
Japanese Yen		1,440,001		USD	13,623		CITI		13,600		10/17/19		23
Japanese Yen		1,700,001		USD	16,015		CITI		16,054		10/17/19		(39	)
Japanese Yen		900,001		USD	8,545		CITI		8,500		10/17/19		45
Japanese Yen		990,001		USD	9,402		CITI		9,350		10/17/19		52
Japanese Yen		280,000		USD	2,596		CITI		2,644		10/17/19		(48	)
Philippine Peso		120,583,000		USD	2,335,070		CITI		2,307,603		10/17/19		27,467
Russian Ruble		41,727,262		USD	646,013		CITI		621,866		10/17/19		24,147
Russian Ruble		33,887,448		USD	525,982		CITI		505,028		10/17/19		20,954
													626,734
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts												$	(450,669	)

At August 31, 2019, Core Fixed Income Fund held the following OTC Interest Rate Swap Contracts:

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date		Counterparty		Notional Amount		Market Value			Upfront Payment Paid		Unrealized Appreciation/ (Depreciation)
Pay	3-Month  BRL-CDI-Compounded		8.410%		1/2/20		CITI		BRL 41,620,000	$	306,925		$	13,267	$	293,658
Pay	3-Month  BRL-CDI-Compounded		7.024%		1/4/27		CITI		BRL 18,325,000		(22,658	)		7,444		(30,102	)
										$	284,267		$	20,711	$	263,556

At August 31, 2019, Core Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date		Payment Frequency		Notional Amount		Market Value			Upfront Payment Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	28-Day MXN TIIE Banxico		7.351%		4/5/21		28-Day	MXN	15,700,000	$	1,845		$	—		$	1,845
Receive	3-Month USD-LIBOR		1.656%		8/23/49		6-Month	USD	5,400,000		(140,489	)		(20,150	)		(120,339	)
Receive	3-Month USD-LIBOR		1.810%		11/15/44		6-Month	USD	1,314,000		(75,798	)		1,758			(77,556	)
Receive	3-Month USD-LIBOR		1.850%		4/30/26		6-Month	USD	15,990,000		(546,340	)		3,795			(550,135	)
Receive	3-Month USD-LIBOR		1.850%		11/15/44		6-Month	USD	1,944,000		(128,852	)		(917	)		(127,935	)
Pay	3-Month USD-LIBOR		2.264%		4/11/22		6-Month	USD	15,125,000		296,812			—			296,812
Pay	3-Month USD-LIBOR		2.283%		5/8/22		6-Month	USD	14,005,000		284,310			—			284,310
Receive	3-Month USD-LIBOR		2.337%		4/11/25		6-Month	USD	6,220,000		(330,042	)		—			(330,042	)
Receive	3-Month USD-LIBOR		2.370%		5/8/25		6-Month	USD	5,735,000		(314,135	)		—			(314,135	)
Receive	3-Month USD-LIBOR		2.500%		1/31/26		6-Month	USD	18,438,000		(1,340,386	)		(258,761	)		(1,081,625	)
Receive	3-Month USD-LIBOR		2.750%		8/15/44		6-Month	USD	3,825,000		(987,084	)		(17,835	)		(969,249	)
Receive	3-Month USD-LIBOR		2.875%		5/15/44		6-Month	USD	2,137,000		(619,356	)		3,084			(622,440	)

See Notes to Financial Statements.

213

Schedules of Investments

(continued)

Core Fixed Income Fund

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date		Payment Frequency		Notional Amount			Market Value			Upfront Payment Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Receive	3-Month USD-LIBOR		3.330%		2/15/44		6-Month		USD	3,917,000	$	(1,435,414	)	$	(2,088	)	$	(1,433,326	)
Receive	U.S. Federal Funds Effective Rate Index		1.550%		4/30/26		12-Month		USD	10,446,000		(337,494	)		13,694			(351,188	)
											$	(5,672,423	)	$	(277,420	)	$	(5,395,003	)

At August 31, 2019, Core Fixed Income Fund held the following Centrally Cleared Credit Default Swap Contracts:

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

Reference Obligation	Fixed Deal (Pay) Rate			Maturity Date		Payment Frequency		Implied Credit Spread at 8/31/19 (2)			Notional Amount (3)		Market Value			Upfront Payment (Received)			Unrealized Depreciation
Markit CDX North America Investment Grade Series 32 1-Year Index		(1.000	)%		6/20/24		3-Month		0.540	%	USD	16,100,000	$	(373,747	)	$	(304,538	)	$	(69,209	)

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

Reference Obligation	Fixed Deal Receive Rate			Maturity Date		Payment Frequency		Implied Credit Spread at 8/31/19 (2)			Notional Amount (3)		Market Value		Upfront Payment Paid		Unrealized Appreciation
Markit CDX North America High Yield Series 32 5-Year Index		5.000	%		6/20/24		3-Month		3.392	%	USD	2,039,400	$	158,337	$	100,685	$	57,652

(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.

At August 31, 2019, Core Fixed Income Fund deposited cash collateral with brokers in the amount of $1,287,880 for open centrally cleared swap contracts.

Currency Abbreviations used in this schedule:		Counterparty Abbreviations used in this schedule:
BRL	— Brazilian Real	CITI	— Citigroup Global Markets Inc.
EUR	— Euro	GSC	— Goldman Sachs & Co.
JPY	— Japanese Yen
MXN	— Mexican Peso
RUB	— Russian Ruble

See pages 295-296 for definitions of ratings.

See Notes to Financial Statements.

214

Schedules of Investments

(continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	CORPORATE BONDS & NOTES — 86.6%
	Advertising — 0.1%
$	56,000	B	MDC Partners Inc., Company Guaranteed Notes, 6.500% due 5/1/24(a)	$	51,240
	Aerospace/Defense — 0.9%
	90,000	BB	BBA US Holdings Inc., Senior Unsecured Notes, 5.375% due 5/1/26(a)		94,275
			Bombardier Inc., Senior Unsecured Notes:
	65,000	B-	6.000% due 10/15/22(a)		64,837
	30,000	B-	6.125% due 1/15/23(a)		29,925
	46,000	B-	7.875% due 4/15/27(a)		44,678
	200,000	B-	TransDigm Inc., Company Guaranteed Notes, 6.500% due 5/15/25		209,250
			Total Aerospace/Defense		442,965
	Agriculture — 0.1%
	50,000	BBB	Altria Group Inc., Company Guaranteed Notes, 5.950% due 2/14/49		64,282
	Apparel — 0.7%
	140,000	BB-	Hanesbrands Inc., Company Guaranteed Notes, 4.875% due 5/15/26(a)		148,285
	120,000	BB+	Levi Strauss & Co., Senior Unsecured Notes, 5.000% due 5/1/25		125,400
	74,000	BB+	William Carter Co., Company Guaranteed Notes, 5.625% due 3/15/27(a)		79,086
			Total Apparel		352,771
	Auto Manufacturers — 0.5%
	70,000	Ba3(b)	Allison Transmission Inc., Senior Unsecured Notes, 4.750% due 10/1/27(a)		72,100
	180,000	B-	Navistar International Corp., Company Guaranteed Notes, 6.625% due 11/1/25(a)		183,150
			Total Auto Manufacturers		255,250
	Auto Parts & Equipment — 0.7%
			American Axle & Manufacturing Inc., Company Guaranteed Notes:
	30,000	B	6.625% due 10/15/22		30,337
	70,000	B	6.500% due 4/1/27		64,488
	50,000	BB	Delphi Technologies PLC, Company Guaranteed Notes, 5.000% due 10/1/25(a)		43,375
			Panther BF Aggregator 2 LP/Panther Finance Co., Inc.:
	126,000	B	Company Guaranteed Notes, 8.500% due 5/15/27(a)		123,165
	70,000	B+	Senior Secured Notes, 6.250% due 5/15/26(a)		72,800
			Total Auto Parts & Equipment		334,165
	Banks — 3.6%
	200,000	BB+	Barclays PLC, Subordinated Notes, 5.088% (3-Month USD-LIBOR + 3.054%) due 6/20/30(c)		207,932
			CIT Group Inc.:
	20,000	BB+	Senior Unsecured Notes, 5.250% due 3/7/25		22,450
	130,000	BB	Subordinated Notes, 6.125% due 3/9/28		155,838
	40,000	BB+	Citigroup Inc., Junior Subordinated Notes, 5.950% (3-Month USD-LIBOR + 3.905%)(c)(d)		42,834
	200,000	BBB-	Credit Agricole SA, Junior Subordinated Notes, 8.125% (5-Year USD Swap Rate + 6.185%)(a)(c)(d)		233,832
	200,000	BB-	Credit Suisse Group AG, Junior Subordinated Notes, 7.500% (5-Year USD Swap Rate + 4.600%)(a)(c)(d)		213,163
	200,000	BBB+	Danske Bank AS, Senior Unsecured Notes, 5.375% due 1/12/24(a)		220,685
	240,000	Baa3(b)	HSBC Holdings PLC, Junior Subordinated Notes, 6.500% (5-Year USD 1100 Run ICE Swap Rate + 3.606%)(c)(d)		246,864
	200,000	B+	Royal Bank of Scotland Group PLC, Junior Subordinated Notes, 8.625% (5-Year USD Swap Rate + 7.598%)(c)(d)		212,250
	200,000	BB	UBS Group Funding Switzerland AG, Company Guaranteed Notes, 7.000% (5-Year USD Swap Rate + 4.344%)(a)(c)(d)		212,250
			Total Banks		1,768,098
	Beverages — 0.2%
	100,000	B	Cott Holdings Inc., Company Guaranteed Notes, 5.500% due 4/1/25(a)		104,628

See Notes to Financial Statements.

215

Schedules of Investments

(continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Building Materials — 1.0%
			Builders FirstSource Inc., Senior Secured Notes:
$	71,000	BB-	5.625% due 9/1/24(a)	$	74,195
	17,000	BB-	6.750% due 6/1/27(a)		18,658
	22,000	BB+	Masonite International Corp., Company Guaranteed Notes, 5.375% due 2/1/28(a)		23,293
			Standard Industries Inc., Senior Unsecured Notes:
	8,000	BBB-	5.500% due 2/15/23(a)		8,220
	225,000	BBB-	6.000% due 10/15/25(a)		237,656
	10,000	BBB-	4.750% due 1/15/28(a)		10,087
			Summit Materials LLC/Summit Materials Finance Corp., Company Guaranteed Notes:
	50,000	BB	5.125% due 6/1/25(a)		51,375
	40,000	BB	6.500% due 3/15/27(a)		43,100
	40,000	BB-	US Concrete Inc., Company Guaranteed Notes, 6.375% due 6/1/24		42,100
			Total Building Materials		508,684
	Chemicals — 1.1%
	6,000	BB-	Chemours Co. (The), Company Guaranteed Notes, 7.000% due 5/15/25		5,940
	26,000	B-	Hexion Inc., Company Guaranteed Notes, 7.875% due 7/15/27(a)		25,285
	54,000	BB-	Nufarm Australia Ltd./Nufarm Americas Inc., Company Guaranteed Notes, 5.750% due 4/30/26(a)		51,165
	80,000	BB+	Olin Corp., Senior Unsecured Notes, 5.000% due 2/1/30		80,200
	340,000	BB	Valvoline Inc., Company Guaranteed Notes, 5.500% due 7/15/24		355,300
			Total Chemicals		517,890
	Coal — 0.0%
	51,197	D	Murray Energy Corp., Secured Notes, 12.000% (9.000% cash and 3.000% PIK) due 4/15/24(a)(e)		5,120
	Commercial Services — 4.0%
	80,000	B	Carriage Services Inc., Company Guaranteed Notes, 6.625% due 6/1/26(a)		82,200
	80,000	CCC	Flexi-Van Leasing Inc., Secured Notes, 10.000% due 2/15/23(a)		78,600
	72,000	BB-	Harsco Corp., Company Guaranteed Notes, 5.750% due 7/31/27(a)		74,790
	115,000	B-	Jaguar Holding Co. II/Pharmaceutical Product Development LLC, Company Guaranteed Notes, 6.375% due 8/1/23(a)		119,025
	153,000	BB-	Laureate Education Inc., Company Guaranteed Notes, 8.250% due 5/1/25(a)		167,344
			Prime Security Services Borrower LLC/Prime Finance Inc.:
	44,000	B-	Secured Notes, 9.250% due 5/15/23(a)		46,353
			Senior Secured Notes:
	30,000	BB-	5.250% due 4/15/24(a)		31,062
	80,000	BB-	5.750% due 4/15/26(a)		83,600
			Service Corp. International, Senior Unsecured Notes:
	70,000	BB	7.500% due 4/1/27		84,350
	50,000	BB	5.125% due 6/1/29		53,750
			ServiceMaster Co. LLC (The):
	80,000	BB-	Company Guaranteed Notes, 5.125% due 11/15/24(a)		84,170
	280,000	B	Senior Unsecured Notes, 7.450% due 8/15/27		311,850
	47,000	CCC+	Team Health Holdings Inc., Company Guaranteed Notes, 6.375% due 2/1/25(a)		31,725
	91,000	B	TMS International Corp., Senior Unsecured Notes, 7.250% due 8/15/25(a)		87,133
			United Rentals North America Inc., Company Guaranteed Notes:
	210,000	BB-	5.875% due 9/15/26		226,012
	50,000	BB-	6.500% due 12/15/26		54,563
	20,000	BB-	5.500% due 5/15/27		21,535
	180,000	BB-	5.250% due 1/15/30		193,050
	110,000	B	Weight Watchers International Inc., Company Guaranteed Notes, 8.625% due 12/1/25(a)		110,825
			Total Commercial Services		1,941,937

See Notes to Financial Statements.

216

Schedules of Investments

(continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Computers — 0.5%
			Dell International LLC/EMC Corp.:
$	105,000	BB	Company Guaranteed Notes, 7.125% due 6/15/24(a)	$	110,694
	90,000	BBB-	Senior Secured Notes, 6.020% due 6/15/26(a)		101,630
	16,000	B+	MTS Systems Corp., Company Guaranteed Notes, 5.750% due 8/15/27(a)		16,760
			Total Computers		229,084
	Distribution/Wholesale — 0.3%
	22,000	B	IAA Inc., Senior Unsecured Notes, 5.500% due 6/15/27(a)		23,485
	89,000	B+	KAR Auction Services Inc., Company Guaranteed Notes, 5.125% due 6/1/25(a)		92,115
	25,000	BB+	Resideo Funding Inc., Company Guaranteed Notes, 6.125% due 11/1/26(a)		26,625
			Total Distribution/Wholesale		142,225
	Diversified Financial Services — 2.1%
	144,000	B-	Allied Universal Holdco LLC/Allied Universal Finance Corp., Senior Secured Notes, 6.625% due 7/15/26(a)		153,360
	90,000	BB-	Ally Financial Inc., Subordinated Notes, 5.750% due 11/20/25		103,388
	60,000	BBB-	Avolon Holdings Funding Ltd., Company Guaranteed Notes, 5.125% due 10/1/23(a)		63,852
			Navient Corp., Senior Unsecured Notes:
	50,000	B+	5.000% due 10/26/20		51,312
	50,000	B+	5.875% due 3/25/21		52,563
	50,000	B+	6.625% due 7/26/21		53,625
	50,000	B+	5.875% due 10/25/24		52,849
	28,000	B+	6.750% due 6/15/26		30,030
			Park Aerospace Holdings Ltd., Company Guaranteed Notes:
	80,000	BBB-	5.250% due 8/15/22(a)		84,700
	140,000	BBB-	5.500% due 2/15/24(a)		151,571
	200,000	BB	Quicken Loans Inc., Company Guaranteed Notes, 5.250% due 1/15/28(a)		208,250
			Total Diversified Financial Services		1,005,500
	Electric — 2.1%
			AES Corp., Senior Unsecured Notes:
	19,000	BB+	5.500% due 4/15/25		19,879
	195,000	BB+	6.000% due 5/15/26		209,818
			Calpine Corp.:
	70,000	BB	Senior Secured Notes, 5.875% due 1/15/24(a)		71,670
			Senior Unsecured Notes:
	10,000	B	5.500% due 2/1/24		10,112
	66,000	B	5.750% due 1/15/25		67,238
	152,000	BB	NextEra Energy Operating Partners LP, Company Guaranteed Notes, 4.500% due 9/15/27(a)		156,750
			NRG Energy Inc., Company Guaranteed Notes:
	155,000	BB	5.750% due 1/15/28		167,594
	27,000	BB	5.250% due 6/15/29(a)		28,845
			Talen Energy Supply LLC:
	40,000	B	Company Guaranteed Notes, 10.500% due 1/15/26(a)		36,460
	60,000	BB	Senior Secured Notes, 6.625% due 1/15/28(a)		58,350
	85,000	BB	Vistra Energy Corp., Company Guaranteed Notes, 8.125% due 1/30/26(a)		91,481
	92,000	BB	Vistra Operations Co. LLC, Company Guaranteed Notes, 5.000% due 7/31/27(a)		95,220
			Total Electric		1,013,417
	Electrical Components & Equipment — 0.4%
			Energizer Holdings Inc., Company Guaranteed Notes:
	130,000	B+	6.375% due 7/15/26(a)		137,312
	34,000	B+	7.750% due 1/15/27(a)		37,273
			Total Electrical Components & Equipment		174,585

See Notes to Financial Statements.

217

Schedules of Investments

(continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Electronics — 0.4%
$	100,000	BB-	ADT Security Corp. (The), Senior Secured Notes, 4.125% due 6/15/23	$	101,844
	80,000	BB+	Vishay Intertechnology Inc., Senior Unsecured Notes, 2.250% due 6/15/25		74,465
			Total Electronics		176,309
	Energy — Alternate Sources — 0.3%
			TerraForm Power Operating LLC, Company Guaranteed Notes:
	65,000	BB-	step bond to yield, 6.625% due 6/15/25(a)		68,900
	75,000	BB-	5.000% due 1/31/28(a)		78,470
			Total Energy — Alternate Sources		147,370
	Engineering & Construction — 0.4%
	90,000	B-	frontdoor Inc., Senior Unsecured Notes, 6.750% due 8/15/26(a)		97,875
	110,000	BB-	TopBuild Corp., Company Guaranteed Notes, 5.625% due 5/1/26(a)		115,225
			Total Engineering & Construction		213,100
	Entertainment — 2.6%
	202,000	CCC+	AMC Entertainment Holdings Inc., Company Guaranteed Notes, 5.750% due 6/15/25		192,657
	60,000	B	Boyne USA Inc., Secured Notes, 7.250% due 5/1/25(a)		65,775
	113,000	B-	Caesars Resort Collection LLC/CRC Finco Inc., Company Guaranteed Notes, 5.250% due 10/15/25(a)		115,260
	22,000	BB-	Cedar Fair LP, Company Guaranteed Notes, 5.250% due 7/15/29(a)		23,953
	115,000	BB	Cinemark USA Inc., Company Guaranteed Notes, 4.875% due 6/1/23		117,587
	102,000	B	Eldorado Resorts Inc., Company Guaranteed Notes, 6.000% due 4/1/25		108,630
	23,000	CCC+	Golden Entertainment Inc., Senior Unsecured Notes, 7.625% due 4/15/26(a)		23,980
	70,000	B-	Lions Gate Capital Holdings LLC, Company Guaranteed Notes, 5.875% due 11/1/24(a)		73,150
	200,000	BB	Merlin Entertainments PLC, Company Guaranteed Notes, 5.750% due 6/15/26(a)		209,000
			Scientific Games International Inc.:
	72,000	B-	Company Guaranteed Notes, 10.000% due 12/1/22		74,970
	80,000	B+	Senior Secured Notes, 5.000% due 10/15/25(a)		82,859
	90,000	BB+	Speedway Motorsports Inc., Company Guaranteed Notes, 5.125% due 2/1/23		91,575
	90,000	B-	Stars Group Holdings BV/Stars Group US Co-Borrower LLC, Company Guaranteed Notes, 7.000% due 7/15/26(a)		95,738
			Total Entertainment		1,275,134
	Environmental Control — 2.1%
			Clean Harbors Inc., Senior Unsecured Notes:
	23,000	BB+	4.875% due 7/15/27(a)		24,380
	14,000	BB+	5.125% due 7/15/29(a)		14,945
			Covanta Holding Corp., Senior Unsecured Notes:
	175,000	B	5.875% due 3/1/24		180,250
	70,000	B	5.875% due 7/1/25		73,237
			GFL Environmental Inc., Senior Unsecured Notes:
	150,000	CCC+	5.375% due 3/1/23(a)		151,500
	47,000	CCC+	7.000% due 6/1/26(a)		48,880
	184,000	CCC+	8.500% due 5/1/27(a)		201,940
	154,000	B+	Tervita Corp., Secured Notes, 7.625% due 12/1/21(a)		157,080
	175,000	B+	Waste Pro USA Inc., Senior Unsecured Notes, 5.500% due 2/15/26(a)		182,875
			Total Environmental Control		1,035,087
	Food — 1.7%
	38,000	BB-	Albertsons Cos LLC/Safeway Inc./New Albertsons LP/Albertson’s LLC, Company Guaranteed Notes, 5.875% due 2/15/28(a)		40,142
	104,000	B-	Dole Food Co., Inc., Senior Secured Notes, 7.250% due 6/15/25(a)		100,880
	62,000	BB-	JBS USA LUX SA/JBS USA Food Co./JBS USA Finance Inc., Senior Unsecured Notes, 5.500% due 1/15/30(a)		65,844
	110,000	BB+	Lamb Weston Holdings Inc., Company Guaranteed Notes, 4.875% due 11/1/26(a)		115,363

See Notes to Financial Statements.

218

Schedules of Investments

(continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Food — 1.7% — (continued)
$	20,000	BB-	Pilgrim’s Pride Corp., Company Guaranteed Notes, 5.875% due 9/30/27(a)	$	21,625
			Post Holdings Inc., Company Guaranteed Notes:
	180,000	B+	5.500% due 3/1/25(a)		189,000
	50,000	B+	5.000% due 8/15/26(a)		52,312
	60,000	B-	Simmons Foods Inc., Secured Notes, 5.750% due 11/1/24(a)		57,150
	205,000	BB	US Foods Inc., Company Guaranteed Notes, 5.875% due 6/15/24(a)		212,683
			Total Food		854,999
	Forest Products & Paper — 0.6%
			Mercer International Inc., Senior Unsecured Notes:
	175,000	BB-	6.500% due 2/1/24		180,906
	110,000	BB-	5.500% due 1/15/26		108,922
			Total Forest Products & Paper		289,828
	Gas — 0.3%
			AmeriGas Partners LP/AmeriGas Finance Corp., Senior Unsecured Notes:
	70,000	Ba3(b)	5.625% due 5/20/24		74,638
	80,000	Ba3(b)	5.500% due 5/20/25		85,000
			Total Gas		159,638
	Hand/Machine Tools — 0.1%
			Colfax Corp., Company Guaranteed Notes:
	19,000	BB+	6.000% due 2/15/24(a)		20,330
	32,000	BB+	6.375% due 2/15/26(a)		34,840
			Total Hand/Machine Tools		55,170
	Healthcare — Products — 0.3%
	30,000	CCC-	Immucor Inc., Company Guaranteed Notes, 11.125% due 2/15/22(a)		30,525
	115,000	BB	Teleflex Inc., Company Guaranteed Notes, 4.625% due 11/15/27		122,030
			Total Healthcare — Products		152,555
	Healthcare — Services — 6.0%
	100,000	CCC	ASP AMC Merger Sub Inc., Senior Unsecured Notes, 8.000% due 5/15/25(a)		67,750
			Catalent Pharma Solutions Inc., Company Guaranteed Notes:
	130,000	B+	4.875% due 1/15/26(a)		132,600
	26,000	B+	5.000% due 7/15/27(a)		27,303
			Centene Corp., Senior Unsecured Notes:
	150,000	BB+	6.125% due 2/15/24		157,387
	110,000	BB+	4.750% due 1/15/25		114,400
	115,000	BB+	5.375% due 6/1/26(a)		123,228
	90,000	BB	Charles River Laboratories International Inc., Company Guaranteed Notes, 5.500% due 4/1/26(a)		96,516
	100,000	B-	CHS/Community Health Systems Inc., Senior Secured Notes, 8.000% due 3/15/26(a)		96,250
	50,000	B+	DaVita Inc., Company Guaranteed Notes, 5.000% due 5/1/25		50,250
	93,000	CCC+	Eagle Holding Co. II LLC, Unsecured Notes, 7.625% (7.625% cash or 8.375 PIK) due 5/15/22(a)(e)		94,279
	940,000	NR	Escrow Magellan Health, 9.750% due 5/15/20(f)#		—
			HCA Inc.:
			Company Guaranteed Notes:
	350,000	BB-	5.375% due 2/1/25		389,375
	65,000	BB-	5.375% due 9/1/26		72,638
	75,000	BB-	5.625% due 9/1/28		85,523
	45,000	BB-	5.875% due 2/1/29		51,863
	80,000	BB-	7.500% due 11/6/33		94,100
	140,000	BB-	7.500% due 11/15/95		154,700
	25,000	BBB-	Senior Secured Notes, 5.000% due 3/15/24		27,332

See Notes to Financial Statements.

219

Schedules of Investments

(continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Healthcare — Services — 6.0% — (continued)
$	240,000	B-	MPH Acquisition Holdings LLC, Company Guaranteed Notes, 7.125% due 6/1/24(a)	$	215,714
	98,000	B-	Polaris Intermediate Corp., Senior Unsecured Notes, 8.500% (8.500% cash or 9.250% PIK) due 12/1/22(a)(e)		82,810
	80,000	B+	RegionalCare Hospital Partners Holdings Inc., Senior Secured Notes, 8.250% due 5/1/23(a)		85,574
	84,000	CCC+	RegionalCare Hospital Partners Holdings Inc./LifePoint Health Inc., Company Guaranteed Notes, 9.750% due 12/1/26(a)		89,985
	20,000	B-	Select Medical Corp., Company Guaranteed Notes, 6.250% due 8/15/26(a)		20,860
			Tenet Healthcare Corp.:
			Senior Secured Notes:
	60,000	BB-	6.000% due 10/1/20		62,370
	10,000	Ba3(b)	4.625% due 9/1/24(a)		10,313
	62,000	BB-	4.875% due 1/1/26(a)		63,789
	62,000	BB-	5.125% due 11/1/27(a)		64,170
			Senior Unsecured Notes:
	110,000	CCC+	8.125% due 4/1/22		118,926
	120,000	CCC+	6.750% due 6/15/23		123,750
			WellCare Health Plans Inc., Senior Unsecured Notes:
	69,000	BB	5.250% due 4/1/25		72,505
	76,000	BB	5.375% due 8/15/26(a)		81,225
			Total Healthcare — Services		2,927,485
	Home Builders — 1.3%
	160,000	B+	Century Communities Inc., Company Guaranteed Notes, 5.875% due 7/15/25		165,552
	80,000	B	Forestar Group Inc., Company Guaranteed Notes, 8.000% due 4/15/24(a)		86,300
			Lennar Corp., Company Guaranteed Notes:
	80,000	BB+	4.500% due 4/30/24		85,300
	30,000	BB+	5.875% due 11/15/24		33,562
	80,000	BB+	4.750% due 11/29/27		87,400
			Taylor Morrison Communities Inc., Company Guaranteed Notes:
	33,000	BB	5.875% due 6/15/27(a)		35,558
	41,000	BB	5.750% due 1/15/28(a)		43,665
			William Lyon Homes Inc., Company Guaranteed Notes:
	8,000	B+	7.000% due 8/15/22		8,025
	70,000	B+	6.000% due 9/1/23		72,975
	10,000	B+	5.875% due 1/31/25		10,150
			Total Home Builders		628,487
	Household Products/Wares — 0.9%
			Central Garden & Pet Co., Company Guaranteed Notes:
	165,000	BB	6.125% due 11/15/23		172,012
	10,000	BB	5.125% due 2/1/28		10,150
	225,000	B+	Spectrum Brands Inc., Company Guaranteed Notes, 5.750% due 7/15/25		235,125
			Total Household Products/Wares		417,287
	Insurance — 0.8%
	25,000	CCC+	Acrisure LLC/Acrisure Finance Inc., Senior Unsecured Notes, 10.125% due 8/1/26(a)		25,750
	50,000	BB+	Fidelity & Guaranty Life Holdings Inc., Senior Unsecured Notes, 5.500% due 5/1/25(a)		53,250
	23,000	CCC+	GTCR AP Finance Inc., Senior Unsecured Notes, 8.000% due 5/15/27(a)		23,460
	105,000	CCC+	HUB International Ltd., Senior Unsecured Notes, 7.000% due 5/1/26(a)		106,838
	40,000	BB+	Radian Group Inc., Senior Unsecured Notes, 4.875% due 3/15/27		40,850
	139,000	CCC+	USI Inc., Senior Unsecured Notes, 6.875% due 5/1/25(a)		138,652
			Total Insurance		388,800
	Internet — 1.5%
	65,000	CCC+	EIG Investors Corp., Company Guaranteed Notes, 10.875% due 2/1/24		68,656
	51,000	BB-	Go Daddy Operating Co. LLC/GD Finance Co., Inc., Company Guaranteed Notes, 5.250% due 12/1/27(a)		53,996

See Notes to Financial Statements.

220

Schedules of Investments

(continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Internet — 1.5% — (continued)
$	80,000	BB	Match Group Inc., Senior Unsecured Notes, 6.375% due 6/1/24	$	84,600
			Netflix Inc., Senior Unsecured Notes:
	60,000	BB-	5.875% due 2/15/25		66,375
	130,000	BB-	4.875% due 4/15/28		136,338
	150,000	BB-	5.875% due 11/15/28		168,188
	60,000	BB-	6.375% due 5/15/29(a)		69,300
	79,000	B	Zayo Group LLC/Zayo Capital Inc., Company Guaranteed Notes, 6.375% due 5/15/25		81,567
			Total Internet		729,020
	Investment Companies — 0.4%
			Icahn Enterprises LP/Icahn Enterprises Finance Corp., Company Guaranteed Notes:
	125,000	BB+	6.250% due 2/1/22		129,062
	66,000	BB+	6.250% due 5/15/26(a)		69,053
			Total Investment Companies		198,115
	Iron/Steel — 0.3%
	35,000	B+	Allegheny Ludlum LLC, Company Guaranteed Notes, 6.950% due 12/15/25		36,487
	120,000	B	Allegheny Technologies Inc., Senior Unsecured Notes, 7.875% due 8/15/23		129,150
			Total Iron/Steel		165,637
	Leisure Time — 0.9%
	355,000	B+	Viking Cruises Ltd., Company Guaranteed Notes, 5.875% due 9/15/27(a)		369,200
	90,000	BB	VOC Escrow Ltd., Senior Secured Notes, 5.000% due 2/15/28(a)		92,700
			Total Leisure Time		461,900
	Lodging — 1.3%
	20,000	CCC	Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp., Secured Notes, 10.250% due 11/15/22(a)		21,275
	200,000	BB-	MGM China Holdings Ltd., Senior Unsecured Notes, 5.875% due 5/15/26(a)		208,500
			MGM Resorts International, Company Guaranteed Notes:
	175,000	BB-	7.750% due 3/15/22		196,915
	60,000	BB-	5.750% due 6/15/25		66,377
	40,000	B-	Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., Senior Secured Notes, 5.875% due 5/15/25(a)		39,700
	101,000	BB	Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., Company Guaranteed Notes, 5.250% due 5/15/27(a)		104,788
			Total Lodging		637,555
	Machinery — Construction & Mining — 0.1%
	30,000	BB+	BWX Technologies Inc., Company Guaranteed Notes, 5.375% due 7/15/26(a)		31,875
	Machinery — Diversified — 0.3%
	60,000	B	Cleaver-Brooks Inc., Senior Secured Notes, 7.875% due 3/1/23(a)		55,350
	53,000	B	Cloud Crane LLC, Secured Notes, 10.125% due 8/1/24(a)		57,108
	30,000	CCC	MAI Holdings Inc., (Restricted, cost — $30,000, acquired 6/14/18), Senior Secured Notes, 9.500% due 6/1/23(g)		13,650
			Total Machinery — Diversified		126,108
	Media — 7.1%
	110,000	NR	American Media LLC, Secured Notes, 10.500% due 12/31/26(a)		116,050
	325,000	B	Cablevision Systems Corp., Senior Unsecured Notes, 5.875% due 9/15/22		348,465
			CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes:
	150,000	BB	5.125% due 5/1/23(a)		153,825
	205,000	BB	5.875% due 4/1/24(a)		213,969
	40,000	BB	5.750% due 2/15/26(a)		42,450
	110,000	BB	5.125% due 5/1/27(a)		116,599
	24,000	BB	5.375% due 6/1/29(a)		25,710

See Notes to Financial Statements.

221

Schedules of Investments

(continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Media — 7.1% — (continued)
$	60,000	BBB-	Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes, 4.908% due 7/23/25	$	66,351
			Clear Channel Worldwide Holdings Inc.:
	9,000	B-	Company Guaranteed Notes, 9.250% due 2/15/24(a)		9,889
	49,000	B+	Senior Secured Notes, 5.125% due 8/15/27(a)		51,389
			CSC Holdings LLC:
	200,000	BB	Company Guaranteed Notes, 6.500% due 2/1/29(a)		224,500
	100,000	B	Senior Unsecured Notes, 6.750% due 11/15/21		108,250
			Diamond Sports Group LLC/Diamond Sports Finance Co.:
	77,000	B	Company Guaranteed Notes, 6.625% due 8/15/27(a)		80,850
	78,000	BB	Senior Secured Notes, 5.375% due 8/15/26(a)		82,095
			DISH DBS Corp., Company Guaranteed Notes:
	23,487	B-	6.750% due 6/1/21		21,116
	80,000	B-	5.875% due 11/15/24		76,404
	422,000	B-	7.750% due 7/1/26		415,670
			DISH Network Corp., Senior Unsecured Notes:
	50,000	CCC+	2.375% due 3/15/24		43,802
	15,000	CCC+	3.375% due 8/15/26		13,841
	60,000	B-	Entercom Media Corp., Secured Notes, 6.500% due 5/1/27(a)		62,250
			iHeartCommunications Inc.:
	20,000	B-	Company Guaranteed Notes, 8.375% due 5/1/27		25,454
	1,924	BB-	Senior Secured Notes, 6.375% due 5/1/26		2,078
	1,124	WR(b)	LBI Media Inc., Secured Notes, 13.500% due 4/15/20(a)(h)		59
	2,000	CCC+	McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance, Senior Unsecured Notes, 7.875% due 5/15/24(a)		1,810
	80,000	B+	Meredith Corp., Company Guaranteed Notes, 6.875% due 2/1/26		84,800
	33,000	B	Nexstar Escrow Inc., Senior Secured Notes, 5.625% due 7/15/27(a)		34,485
	20,000	B3	Scripps Escrow Inc., Senior Unsecured Notes, 5.875% due 7/15/27(a)		20,225
			Sirius XM Radio Inc., Company Guaranteed Notes:
	96,000	BB	4.625% due 7/15/24(a)		100,440
	8,000	BB	5.000% due 8/1/27(a)		8,470
	70,000	BBB-	Time Warner Cable LLC, Senior Secured Notes, 7.300% due 7/1/38		89,896
	80,000	B	Univision Communications Inc., Senior Secured Notes, 5.125% due 2/15/25(a)		77,591
	400,000	BB	UPCB Finance IV Ltd., Senior Secured Notes, 5.375% due 1/15/25(a)		413,700
	200,000	BB-	Virgin Media Secured Finance PLC, Senior Secured Notes, 5.250% due 1/15/26(a)		205,750
	150,000	B+	Ziggo BV, Senior Secured Notes, 5.500% due 1/15/27(a)		158,993
			Total Media		3,497,226
	Metal Fabricate/Hardware — 0.2%
	29,000	CCC	Hillman Group Inc.(The), Company Guaranteed Notes, 6.375% due 7/15/22(a)		25,882
	89,000	B	Park-Ohio Industries Inc., Company Guaranteed Notes, 6.625% due 4/15/27		85,885
			Total Metal Fabricate/Hardware		111,767
	Mining — 4.0%
	400,000	BB+	Alcoa Nederland Holding BV, Company Guaranteed Notes, 6.125% due 5/15/28(a)		417,000
	22,000	B	Eldorado Gold Corp., Secured Notes, 9.500% due 6/1/24(a)		23,760
			First Quantum Minerals Ltd., Company Guaranteed Notes:
	30,000	B	7.000% due 2/15/21(a)		30,056
	200,000	B	7.250% due 4/1/23(a)		189,000
	200,000	B	6.875% due 3/1/26(a)		178,750
	462,000	BB	Freeport-McMoRan Inc., Company Guaranteed Notes, 5.450% due 3/15/43		423,885
	17,000	B-	Hecla Mining Co., Company Guaranteed Notes, 6.875% due 5/1/21		16,660
	200,000	B+	Hudbay Minerals Inc., Company Guaranteed Notes, 7.625% due 1/15/25(a)		203,996
	177,135	WR(b)	Midwest Vanadium Pty Ltd., Senior Secured Notes, 13.250% due 2/15/18(a)(h)		664

See Notes to Financial Statements.

222

Schedules of Investments

(continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Mining — 4.0% — (continued)
			New Gold Inc., Company Guaranteed Notes:
$	26,000	B	6.250% due 11/15/22(a)	$	25,610
	110,000	B	6.375% due 5/15/25(a)		99,000
	60,000	B+	Northwest Acquisitions ULC/Dominion Finco Inc., Secured Notes, 7.125% due 11/1/22(a)		37,650
	150,000	B+	Novelis Corp., Company Guaranteed Notes, 5.875% due 9/30/26(a)		158,813
	140,000	BBB-	Teck Resources Ltd., Senior Unsecured Notes, 6.250% due 7/15/41		158,235
			Total Mining		1,963,079
	Miscellaneous Manufacturers — 0.1%
	80,000	B	FXI Holdings Inc., Senior Secured Notes, 7.875% due 11/1/24(a)		71,200
	Oil & Gas — 8.7%
	5,000	BB	Antero Resources Corp., Company Guaranteed Notes, 5.625% due 6/1/23		4,637
			Ascent Resources Utica Holdings LLC/ARU Finance Corp., Senior Unsecured Notes:
	30,000	BB-	10.000% due 4/1/22(a)		30,375
	82,000	BB-	7.000% due 11/1/26(a)		68,548
			Berry Petroleum Co. LLC:
	31,000	B+	Company Guaranteed Notes, 7.000% due 2/15/26(a)		28,597
			Senior Unsecured Notes:
	310,000	NR	6.750% due 11/1/20(f)#		—
	790,000	NR	6.375% due 9/15/22(f)#		—
	72,000	B+	Brazos Valley Longhorn LLC/Brazos Valley Longhorn Finance Corp., Company Guaranteed Notes, 6.875% due 2/1/25		64,440
	30,000	B+	Carrizo Oil & Gas Inc., Company Guaranteed Notes, 8.250% due 7/15/25		29,250
			Centennial Resource Production LLC, Company Guaranteed Notes:
	70,000	BB-	5.375% due 1/15/26(a)		67,025
	65,000	BB-	6.875% due 4/1/27(a)		65,325
			Chesapeake Energy Corp., Company Guaranteed Notes:
	190,000	B+	5.500% due 9/15/26		120,252
	25,000	B+	8.000% due 6/15/27		18,188
	49,000	B	Citgo Holding Inc., Senior Secured Notes, 9.250% due 8/1/24(a)		51,940
	100,000	B	Covey Park Energy LLC/Covey Park Finance Corp., Company Guaranteed Notes, 7.500% due 5/15/25(a)		71,500
	216,000	BB-	CrownRock LP/CrownRock Finance Inc., Senior Unsecured Notes, 5.625% due 10/15/25(a)		214,650
	81,000	BB-	CVR Refining LLC/Coffeyville Finance Inc., Company Guaranteed Notes, 6.500% due 11/1/22		82,215
	190,000	BB+	Diamondback Energy Inc., Company Guaranteed Notes, 5.375% due 5/31/25		199,975
			Endeavor Energy Resources LP/EER Finance Inc., Senior Unsecured Notes:
	57,000	BB-	5.500% due 1/30/26(a)		59,494
	278,000	BB-	5.750% due 1/30/28(a)		292,595
	23,000	CCC	EP Energy LLC/Everest Acquisition Finance Inc., Senior Secured Notes, 7.750% due 5/15/26(a)		19,320
			Extraction Oil & Gas Inc., Company Guaranteed Notes:
	140,000	B	7.375% due 5/15/24(a)		105,700
	213,000	B	5.625% due 2/1/26(a)		141,645
	120,000	B	Great Western Petroleum LLC/Great Western Finance Corp., Senior Unsecured Notes, 9.000% due 9/30/21(a)		106,500
	125,000	BB-	Gulfport Energy Corp., Company Guaranteed Notes, 6.625% due 5/1/23		101,875
	50,000	BB+	Hilcorp Energy I LP/Hilcorp Finance Co., Senior Unsecured Notes, 6.250% due 11/1/28(a)		46,250
	10,000	B+	Indigo Natural Resources LLC, Senior Unsecured Notes, 6.875% due 2/15/26(a)		8,300
	21,000	B+	Jagged Peak Energy LLC, Company Guaranteed Notes, 5.875% due 5/1/26		21,179
	90,000	BB-	Matador Resources Co., Company Guaranteed Notes, 5.875% due 9/15/26		87,638
			MEG Energy Corp.:
	120,000	BB-	Company Guaranteed Notes, 7.000% due 3/31/24(a)		114,750
	30,000	BB	Secured Notes, 6.500% due 1/15/25(a)		30,262
	150,750	B+	Northern Oil & Gas Inc., Secured Notes, 8.500% (8.500% cash or 1.000% PIK) due 5/15/23(e)		155,838

See Notes to Financial Statements.

223

Schedules of Investments

(continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Oil & Gas — 8.7% — (continued)
			Oasis Petroleum Inc., Company Guaranteed Notes:
$	50,000	BB-	6.875% due 3/15/22	$	46,750
	37,000	BB-	6.875% due 1/15/23		33,670
			Parsley Energy LLC/Parsley Finance Corp., Company Guaranteed Notes:
	105,000	BB-	5.250% due 8/15/25(a)		107,100
	65,000	BB-	5.625% due 10/15/27(a)		67,275
	173,000	BB	PBF Holding Co. LLC/PBF Finance Corp., Company Guaranteed Notes, 7.250% due 6/15/25		179,861
			Petrobras Global Finance BV, Company Guaranteed Notes:
	40,000	BB-	7.375% due 1/17/27		47,564
	20,000	BB-	5.750% due 2/1/29		21,710
	55,000	BB-	Precision Drilling Corp., Company Guaranteed Notes, 7.125% due 1/15/26(a)		49,362
	60,000	BB	Range Resources Corp., Company Guaranteed Notes, 5.000% due 3/15/23		53,250
	185,000	BB	Seven Generations Energy Ltd., Company Guaranteed Notes, 5.375% due 9/30/25(a)		177,831
	240,000	B-	Shelf Drilling Holdings Ltd., Company Guaranteed Notes, 8.250% due 2/15/25(a)		214,800
			SM Energy Co., Senior Unsecured Notes:
	141,000	BB-	6.750% due 9/15/26		120,555
	35,000	BB-	6.625% due 1/15/27		29,925
	48,000	BB-	Sunoco LP/Sunoco Finance Corp., Company Guaranteed Notes, 5.500% due 2/15/26		49,920
	80,000	B+	Teine Energy Ltd., Senior Unsecured Notes, 6.875% due 9/30/22(a)		81,000
	84,550	B+	Transocean Guardian Ltd., Senior Secured Notes, 5.875% due 1/15/24(a)		85,713
			Transocean Inc., Company Guaranteed Notes:
	84,000	B	7.250% due 11/1/25(a)		76,755
	64,000	B	7.500% due 1/15/26(a)		58,720
	80,000	B-	6.800% due 3/15/38		53,200
	26,700	B+	Transocean Pontus Ltd., Senior Secured Notes, 6.125% due 8/1/25(a)		27,205
			Whiting Petroleum Corp., Company Guaranteed Notes:
	30,000	BB-	5.750% due 3/15/21		28,168
	94,000	BB-	6.625% due 1/15/26		68,498
			WPX Energy Inc., Senior Unsecured Notes:
	130,000	BB-	8.250% due 8/1/23		145,275
	30,000	BB-	5.750% due 6/1/26		31,238
			Total Oil & Gas		4,263,608
	Oil & Gas Services — 0.1%
	25,000	B-	Nine Energy Service Inc., Senior Unsecured Notes, 8.750% due 11/1/23(a)		22,688
	Packaging & Containers — 2.2%
	200,000	B	Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Company Guaranteed Notes, 6.000% due 2/15/25(a)		209,375
			Berry Global Inc., Secured Notes:
	75,000	BB	5.125% due 7/15/23		77,156
	19,000	BB	4.500% due 2/15/26(a)		18,953
	22,000	BB	5.625% due 7/15/27(a)		23,155
	25,000	BB-	Crown Americas LLC/Crown Americas Capital Corp. V, Company Guaranteed Notes, 4.250% due 9/30/26		26,031
	160,000	BB-	Crown Americas LLC/Crown Americas Capital Corp. VI, Company Guaranteed Notes, 4.750% due 2/1/26		168,400
	80,000	CCC+	Flex Acquisition Co., Inc., Senior Unsecured Notes, 7.875% due 7/15/26(a)		72,600
	90,000	BB-	Greif Inc., Company Guaranteed Notes, 6.500% due 3/1/27(a)		94,725
			Pactiv LLC, Senior Unsecured Notes:
	40,000	B-	7.950% due 12/15/25		43,300
	90,000	B-	8.375% due 4/15/27		96,975
	255,000	B-	Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Company Guaranteed Notes, 7.000% due 7/15/24(a)		264,084
			Total Packaging & Containers		1,094,754

See Notes to Financial Statements.

224

Schedules of Investments

(continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Pharmaceuticals — 2.2%
			Bausch Health Americas Inc., Company Guaranteed Notes:
$	180,000	B-	9.250% due 4/1/26(a)	$	204,300
	110,000	B-	8.500% due 1/31/27(a)		122,373
			Bausch Health Cos., Inc.:
			Company Guaranteed Notes:
	12,000	B-	5.500% due 3/1/23(a)		12,165
	55,000	B-	6.125% due 4/15/25(a)		56,787
	80,000	B-	9.000% due 12/15/25(a)		90,000
	28,000	B-	7.000% due 1/15/28(a)		29,412
			Senior Secured Notes:
	123,000	BB-	7.000% due 3/15/24(a)		130,215
	177,000	BB-	5.500% due 11/1/25(a)		186,289
	17,000	BB-	5.750% due 8/15/27(a)		18,275
	60,000	BB-	HLF Financing Sarl LLC/Herbalife International Inc., Company Guaranteed Notes, 7.250% due 8/15/26(a)		59,325
	70,000	B+	Par Pharmaceutical Inc., Senior Secured Notes, 7.500% due 4/1/27(a)		65,450
	80,000	BB	Teva Pharmaceutical Finance Co. BV, Company Guaranteed Notes, 2.950% due 12/18/22		70,100
	15,000	B	Vizient Inc., Senior Unsecured Notes, 6.250% due 5/15/27(a)		16,163
			Total Pharmaceuticals		1,060,854
	Pipelines — 3.8%
			Antero Midstream Partners LP/Antero Midstream Finance Corp., Company Guaranteed Notes:
	73,000	BB	5.375% due 9/15/24		69,168
	57,000	BB	5.750% due 3/1/27(a)		52,440
			Blue Racer Midstream LLC/Blue Racer Finance Corp.:
	100,000	B	Company Guaranteed Notes, 6.125% due 11/15/22(a)		101,000
	80,000	B	Senior Unsecured Notes, 6.625% due 7/15/26(a)		79,150
			Cheniere Corpus Christi Holdings LLC, Senior Secured Notes:
	200,000	BB	7.000% due 6/30/24		231,250
	100,000	BB	5.125% due 6/30/27		110,750
	20,000	NR	Cheniere Energy Inc., Senior Unsecured Notes, 4.250% due 3/15/45		15,550
	80,000	BB	Cheniere Energy Partners LP, Senior Secured Notes, 5.250% due 10/1/25		83,000
	43,000	BB-	Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., Company Guaranteed Notes, 5.625% due 5/1/27(a)		43,094
	80,000	BB+	DCP Midstream Operating LP, Company Guaranteed Notes, 6.750% due 9/15/37(a)		84,400
	39,000	BB+	EnLink Midstream LLC, Company Guaranteed Notes, 5.375% due 6/1/29		38,259
	110,000	B+	Genesis Energy LP/Genesis Energy Finance Corp., Company Guaranteed Notes, 5.625% due 6/15/24		105,600
	60,000	B+	NGL Energy Partners LP/NGL Energy Finance Corp., Company Guaranteed Notes, 7.500% due 11/1/23		61,031
	80,000	BBB-	NGPL PipeCo LLC, Senior Unsecured Notes, 7.768% due 12/15/37(a)		104,702
	100,000	BB	Plains All American Pipeline LP, Junior Subordinated Notes, 6.125% (3-Month USD-LIBOR + 4.110%)(c)(d)		95,152
			Rockies Express Pipeline LLC, Senior Unsecured Notes:
	90,000	BBB-	7.500% due 7/15/38(a)		102,487
	60,000	BBB-	6.875% due 4/15/40(a)		66,648
			Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes:
	60,000	BB	4.250% due 11/15/23		60,150
	80,000	BB	5.875% due 4/15/26		84,100
	43,000	BB	6.500% due 7/15/27(a)		46,763
	60,000	BB	5.000% due 1/15/28		60,450
	68,000	BB	6.875% due 1/15/29(a)		75,310
	60,000	BBB	Williams Cos., Inc. (The), Senior Unsecured Notes, 8.750% due 3/15/32		87,562
			Total Pipelines		1,858,016

See Notes to Financial Statements.

225

Schedules of Investments

(continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Real Estate — 0.6%
$	164,000	B	Five Point Operating Co. LP/Five Point Capital Corp., Company Guaranteed Notes, 7.875% due 11/15/25(a)	$	164,922
	115,000	BB-	Greystar Real Estate Partners LLC, Senior Secured Notes, 5.750% due 12/1/25(a)		118,203
	15,000	BB-	Hunt Cos., Inc., Senior Secured Notes, 6.250% due 2/15/26(a)		14,625
			Total Real Estate		297,750
	Real Estate Investment Trusts (REITs) — 2.3%
	50,000	BB	CoreCivic Inc., Company Guaranteed Notes, 5.000% due 10/15/22		49,687
	60,000	BB	CTR Partnership LP/CareTrust Capital Corp., Company Guaranteed Notes, 5.250% due 6/1/25		61,961
	80,000	BB-	ESH Hospitality Inc., Company Guaranteed Notes, 5.250% due 5/1/25(a)		82,900
	220,000	B+	GEO Group Inc. (The), Company Guaranteed Notes, 6.000% due 4/15/26		191,400
	120,000	BBB-	GLP Capital LP/GLP Financing II Inc., Company Guaranteed Notes, 5.750% due 6/1/28		136,820
	120,000	B	Iron Mountain Inc., Company Guaranteed Notes, 5.750% due 8/15/24		121,800
			MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer Inc., Company Guaranteed Notes:
	80,000	BB-	4.500% due 9/1/26		84,200
	23,000	BB-	5.750% due 2/1/27(a)		25,420
			MPT Operating Partnership LP / MPT Finance Corp., Company Guaranteed Notes:
	50,000	BBB-	5.000% due 10/15/27		53,500
	60,000	BBB-	4.625% due 8/1/29		62,513
	16,000	BB-	RHP Hotel Properties LP/RHP Finance Corp., Company Guaranteed Notes, 5.000% due 4/15/23		16,480
	201,754	BB	VICI Properties 1 LLC/VICI FC Inc., Secured Notes, 8.000% due 10/15/23		221,425
			Total Real Estate Investment Trusts (REITs)		1,108,106
	Retail — 3.2%
			1011778 BC ULC/New Red Finance Inc.:
	232,000	B	Secured Notes, 5.000% due 10/15/25(a)		240,120
	150,000	BB-	Senior Secured Notes, 4.250% due 5/15/24(a)		155,214
	60,000	BB+	Brinker International Inc., Company Guaranteed Notes, 5.000% due 10/1/24(a)		62,100
	80,000	BB	FirstCash Inc., Company Guaranteed Notes, 5.375% due 6/1/24(a)		83,400
			Golden Nugget Inc.:
	197,000	CCC+	Company Guaranteed Notes, 8.750% due 10/1/25(a)		207,096
	82,000	CCC+	Senior Unsecured Notes, 6.750% due 10/15/24(a)		84,050
	160,000	BB	L Brands Inc., Company Guaranteed Notes, 5.250% due 2/1/28		146,400
	170,000	BB+	Murphy Oil USA Inc., Company Guaranteed Notes, 5.625% due 5/1/27		179,350
			Party City Holdings Inc., Company Guaranteed Notes:
	25,000	B-	6.125% due 8/15/23(a)(i)		25,062
	105,000	B-	6.625% due 8/1/26(a)(i)		100,275
	150,000	BB+	Reliance Intermediate Holdings LP, Senior Secured Notes, 6.500% due 4/1/23(a)		154,875
	70,000	BB-	Sally Holdings LLC/Sally Capital Inc., Company Guaranteed Notes, 5.625% due 12/1/25		70,350
	70,000	BB-	Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Unsecured Notes, 5.875% due 3/1/27		71,138
			Total Retail		1,579,430
	Semiconductors — 0.6%
	100,000	BB	Amkor Technology Inc., Senior Unsecured Notes, 6.625% due 9/15/27(a)		109,373
	10,000	NR	Cree Inc., Senior Unsecured Notes, 0.875% due 9/1/23(a)		10,335
	55,000	BB	Entegris Inc., Company Guaranteed Notes, 4.625% due 2/10/26(a)		56,925
	100,000	BB+	Sensata Technologies UK Financing Co. PLC, Company Guaranteed Notes, 6.250% due 2/15/26(a)		106,721
			Total Semiconductors		283,354
	Software — 1.4%
	97,000	CCC+	Camelot Finance SA, Company Guaranteed Notes, 7.875% due 10/15/24(a)		101,607

See Notes to Financial Statements.

226

Schedules of Investments

(continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Software — 1.4% — (continued)
			CDK Global Inc., Senior Unsecured Notes:
$	80,000	BB+	5.875% due 6/15/26	$	85,268
	70,000	BB+	4.875% due 6/1/27		72,677
	22,000	BB+	5.250% due 5/15/29(a)		22,743
	80,000	B	Donnelley Financial Solutions Inc., Company Guaranteed Notes, 8.250% due 10/15/24		83,000
	215,000	BB	j2 Cloud Services LLC/j2 Global Co-Obligor Inc., Company Guaranteed Notes, 6.000% due 7/15/25(a)		227,072
	149,000	CCC-	Riverbed Technology Inc., Company Guaranteed Notes, 8.875% due 3/1/23(a)		87,910
	20,000	B+	SS&C Technologies Inc., Company Guaranteed Notes, 5.500% due 9/30/27(a)		21,038
			Total Software		701,315
	Telecommunications — 7.4%
	510,000	B	Altice France SA, Senior Secured Notes, 7.375% due 5/1/26(a)		545,700
			CenturyLink Inc., Senior Unsecured Notes:
	50,000	B+	6.450% due 6/15/21		52,812
	70,000	B+	6.750% due 12/1/23		76,037
	52,000	B-	CommScope Inc., Company Guaranteed Notes, 8.250% due 3/1/27(a)		51,155
			CommScope Technologies LLC, Company Guaranteed Notes:
	149,000	B-	6.000% due 6/15/25(a)		133,728
	40,000	B-	5.000% due 3/15/27(a)		33,650
	120,000	BB	Hughes Satellite Systems Corp., Company Guaranteed Notes, 6.625% due 8/1/26		129,600
			Intelsat Jackson Holdings SA:
	51,000	CCC+	Company Guaranteed Notes, 8.500% due 10/15/24(a)		50,745
	150,000	B	Senior Secured Notes, 8.000% due 2/15/24(a)		156,563
			Level 3 Financing Inc., Company Guaranteed Notes:
	100,000	BB	5.125% due 5/1/23		102,004
	40,000	BB	5.375% due 1/15/24		40,800
	90,000	BB	5.250% due 3/15/26		94,050
	10,000	B+	Level 3 Parent LLC, Senior Unsecured Notes, 5.750% due 12/1/22		10,100
			Sprint Capital Corp., Company Guaranteed Notes:
	127,000	B	6.875% due 11/15/28		141,129
	105,000	B	8.750% due 3/15/32		131,773
			Sprint Communications Inc., Senior Unsecured Notes:
	160,000	B	11.500% due 11/15/21		188,400
	15,000	B	6.000% due 11/15/22		16,003
			Sprint Corp., Company Guaranteed Notes:
	150,000	B	7.250% due 9/15/21		161,730
	200,000	B	7.875% due 9/15/23		225,500
	280,000	B	7.625% due 3/1/26		315,350
	240,000	BB+	Telecom Italia SpA, Senior Unsecured Notes, 5.303% due 5/30/24(a)		257,700
			T-Mobile USA Inc., Company Guaranteed Notes:
	460,000	BB+	6.500% due 1/15/26(f)		495,650
	45,000	BB+	4.500% due 2/1/26(f)		46,856
	60,000	BB+	4.750% due 2/1/28(f)		63,374
	33,000	BB+	ViaSat Inc., Senior Secured Notes, 5.625% due 4/15/27(a)		35,145
	56,000	CCC	West Corp., Company Guaranteed Notes, 8.500% due 10/15/25(a)		43,680
	70,000	WD(j)	Windstream Services LLC/Windstream Finance Corp., Secured Notes, 10.500% due 6/30/24(a)(h)(k)		43,750
			Total Telecommunications		3,642,984
	Toys/Games/Hobbies — 0.2%
	90,000	BB-	Mattel Inc., Company Guaranteed Notes, 6.750% due 12/31/25(a)		92,700
	Transportation — 1.1%
	140,000	B-	Navios Maritime Acquisition Corp./Navios Acquisition Finance US Inc., Senior Secured Notes, 8.125% due 11/15/21(a)		114,537

See Notes to Financial Statements.

227

Schedules of Investments

(continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	Transportation — 1.1% — (continued)
$	160,000	B-	Watco Cos. LLC/Watco Finance Corp., Company Guaranteed Notes, 6.375% due 4/1/23(a)	$	163,800
	100,000	B+	XPO CNW Inc., Senior Unsecured Notes, 6.700% due 5/1/34		98,500
	160,000	BB-	XPO Logistics Inc., Company Guaranteed Notes, 6.125% due 9/1/23(a)		165,840
			Total Transportation		542,677
	Trucking & Leasing — 0.5%
	240,000	BB+	DAE Funding LLC, Company Guaranteed Notes, 5.000% due 8/1/24(a)		251,760
			TOTAL CORPORATE BONDS & NOTES (Cost — $41,582,396)		42,426,568
	SENIOR LOANS — 6.8%
	148,858	NR	AlixPartners LLP, 4.862% (1-Month USD-LIBOR + 2.750%) due 4/4/24		149,230
	100,000	NR	Allied Universal Holdco LLC, (Restricted, cost — $100,000, acquired 8/16/19) due 7/10/26(g)(l)		100,037
	166,995	NR	Ancestry.com Operations Inc., (Restricted, cost — $167,204, acquired 11/21/17), 5.870% (1-Month USD-LIBOR + 3.750%) due 10/19/23(g)		166,526
	40,342	NR	Applied Systems Inc., 5.330% (3-Month USD-LIBOR + 3.000%) due 9/19/24		40,281
	315,000	NR	Asurion LLC, 8.612% (1-Month USD-LIBOR + 6.500%) due 8/4/25		320,180
	29,925	NR	athenahealth Inc., (Restricted, cost — $29,372, acquired 2/7/19), 6.681% (1-Month USD-LIBOR + 4.500%/3-Month USD-LIBOR + 4.500%) due 2/11/26(g)		29,841
	127,725	NR	Big River Steel LLC, 7.330% (3-Month USD-LIBOR + 5.000%) due 8/23/23		128,284
	23,854	NR	CenturyLink Inc., 4.862% (1-Month USD-LIBOR + 2.750%) due 1/31/25		23,552
	100,000	NR	CEOC LLC, (Restricted, cost — $99,875, acquired 8/16/19) due 10/7/24(g)(l)		99,969
	35,910	NR	CSC Holdings LLC, 5.195% (1-Month USD-LIBOR + 3.000%) due 4/15/27		36,094
	40,000	NR	Diamond Sports Group LLC, (Restricted, cost — $39,803, acquired 7/18/19), 5.420% (3-Month USD-LIBOR + 3.250%) due 8/24/26(g)		40,092
	240,018	NR	EIG Investors Corp., 5.882% (3-Month USD-LIBOR + 3.750%) due 2/9/23		236,417
	80,000	NR	Global Tel*Link Corp., (Restricted, cost — $76,607, acquired 8/16/19) due 11/29/25(g)(l)		76,660
	186,278	NR	Graftech International Ltd., 5.612% (1-Month USD-LIBOR + 3.500%) due 2/12/25		181,698
	69,475	NR	Herbalife Nutrition Ltd., 5.362% (1-Month USD-LIBOR + 3.250%) due 8/18/25		69,556
	27,929	NR	Hillman Group Inc., 6.112% (1-Month USD-LIBOR + 4.000%) due 5/30/25		27,147
			iHeartCommunications Inc.:
	64,000	NR	due 7/30/19(f)(l)		42,993
	71,827	NR	(Restricted, cost — $72,252, acquired 5/1/19), 6.230% (1-Month USD-LIBOR + 4.000%) due 5/1/26(g)		72,155
	60,947	NR	Infor (US) Inc., 5.080% (3-Month USD-LIBOR + 2.750%) due 2/1/22		60,985
	100,000	NR	Intelsat Jackson Holdings SA, 6.625% due 1/2/24		101,313
	40,000	NR	Jane Street Group, LLC, (Restricted, cost — $39,851, acquired 8/16/19) due 8/25/22(g)(l)		39,842
	80,000	NR	McAfee, LLC, (Restricted, cost — $80,088, acquired 8/16/19) due 9/30/24(g)(l)		80,165
	75,501	NR	National Mentor Holdings Inc., 6.370% (1-Month USD-LIBOR + 4.250%) due 3/9/26		75,533
	99,445	NR	Navistar Inc., 5.700% (1-Month USD-LIBOR + 3.500%) due 11/6/24		99,321
	123,660	NR	Panda Temple Power LLC, (Restricted, cost — $122,143, acquired 2/7/18), 10.145% (1-Month USD-LIBOR + 8.000%) due 2/7/23(g)(k)		124,279
	60,000	NR	Panther BF Aggregator 2 LP, (Restricted, cost — $59,905, acquired 4/3/19), 5.612% (1-Month USD-LIBOR + 3.500%) due 4/30/26(g)		59,250
	186,185	NR	PetSmart Inc., (Restricted, cost — $166,061, acquired 12/13/17), 6.210% (1-Month USD-LIBOR + 4.000%) due 3/11/22(g)		181,182
	89,100	NR	Ply Gem Midco Inc., (Restricted, cost — $88,837, acquired 3/29/18), 5.951% (1-Month USD-LIBOR + 3.750%) due 4/12/25(g)		86,761
	107,831	NR	Radnet Management Inc., (Restricted, cost — $107,655, acquired 8/16/17), 5.858% (3-Month USD-LIBOR + 3.500%/3-Month USD-PRIME + 2.750%) due 6/30/23(g)		107,831
	39,800	NR	Regionalcare Hospital Partners Holdings Inc., (Restricted, cost — $39,446, acquired 11/14/18), 6.645% (1-Month USD-LIBOR + 4.500%) due 11/16/25(g)		39,750
	69,650	NR	Sedgwick Claims Management Services Inc., 5.362% (1-Month USD-LIBOR + 3.250%) due 12/31/25		67,710

See Notes to Financial Statements.

228

Schedules of Investments

(continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	SENIOR LOANS — 6.8% — (continued)
$	80,000	NR	Spencer Spirit IH LLC, (Restricted, cost — $78,443, acquired 6/14/19), 8.182% (1-Month USD-LIBOR + 6.000%) due 6/19/26(g)	$	79,000
	97,791	NR	SS&C Technologies Holdings Inc., 4.362% (1-Month USD-LIBOR + 2.250%) due 4/16/25		97,974
	39,245	NR	Stars Group Holdings BV, 5.830% (3-Month USD-LIBOR + 3.500%) due 7/10/25		39,414
	20,842	NR	Transdigm Inc., 4.830% (3-Month USD-LIBOR + 2.500%) due 5/30/25		20,667
	140,000	NR	US Renal Care Inc., (Restricted, cost — $137,275, acquired 6/14/19), 7.112% (1-Month USD-LIBOR + 5.000%) due 6/26/26(g)		134,283
			TOTAL SENIOR LOANS (Cost — $3,355,731)		3,335,972
Shares/Units
	COMMON STOCKS — 0.8%
	COMMUNICATIONS — 0.0%
	Advertising — 0.0%
	800		Clear Channel Outdoor Holdings Inc., Class A Shares		2,080
	Media — 0.0%
	88		iHeartMedia Inc., Class A Shares*		1,214
			TOTAL COMMUNICATIONS		3,294
	CONSUMER CYCLICAL — 0.0%
	Lodging — 0.0%
	9,953		Bossier Casino Venture Holdco Inc.*(f)(k)#		2,103
	ENERGY — 1.0%
	Energy — Alternate Sources — 0.4%
	7,886		T1 Power Holdings LLC*		173,492
	Energy Equipment & Services — 0.0%
	17,453		Hercules Offshore Inc.*(f)(k)#		11,433
	Oil & Gas — 0.6%
	21,403		Berry Petroleum Corp.		171,010
	7,241		Montage Resources Corp.		21,578
			Total Oil & Gas		192,588
			TOTAL ENERGY		377,513
	FINANCIALS — 0.0%
	Diversified Financial Services — 0.0%
	68		MWO Holdings, ADR*(f)(k)#		5,202
			TOTAL COMMON STOCKS (Cost — $2,274,453)		388,112
	PREFERRED STOCKS — 0.2%
	FINANCIALS — 0.2%
	Banks — 0.2%
	3,884		GMAC Capital Trust I, 7.943% (3-Month USD-LIBOR + 5.785%) due 2/15/40(c)		101,761
	Diversified Financial Services — 0.0%
	1,175		B. Riley Financial Inc., 6.875% due 9/30/23		30,550
			TOTAL PREFERRED STOCKS (Cost — $97,539)		132,311
	WARRANT — 0.0%
	Media — 0.0%
	252		iHeartMedia Inc., expires 5/1/39*
			(Cost — $4,488)		3,276

See Notes to Financial Statements.

229

Schedules of Investments

(continued)

High Yield Fund
Face Amount/Units†		Rating††	Security	Value
	SOVEREIGN BOND — 0.1%
	Argentina — 0.1%
$	150,000	CCC-	Argentine Republic Government International Bonds, 7.500% due 4/22/26 (Cost — $159,450)	$	58,687
			TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $47,474,057)		46,344,926
	SHORT-TERM INVESTMENTS (m) — 5.0%
	MONEY MARKET FUND — 0.3%
	125,726		Invesco STIT — Government & Agency Portfolio, 1.998%, Institutional Class(n) (Cost — $125,726)		125,726
	TIME DEPOSITS — 4.7%
	229,221		ANZ National Bank — London, 1.490% due 9/3/19		229,221
	2,078,208		Banco Santander SA — Frankfurt, 1.490% due 9/3/19		2,078,208
			TOTAL TIME DEPOSITS (Cost — $2,307,429)		2,307,429
			TOTAL SHORT-TERM INVESTMENTS (Cost — $2,433,155)		2,433,155
			TOTAL INVESTMENTS — 99.7% (Cost — $49,907,212)		48,778,081
			Other Assets in Excess of Liabilities — 0.3%		132,954
			TOTAL NET ASSETS — 100.0%	$	48,911,035

† 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. The aggregate value of restricted 144A holdings at August 31, 2019 amounts to approximately $24,079,805 and represents 49.1% of net assets.

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

(c) Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2019.

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

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

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

(g) The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2019 amounts to approximately $1,531,273 and represents 3.1% of net assets.

(h) Security is currently in default.

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

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

(k) Illiquid security.

(l) This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.

(m) Inclusive of all short term holdings, including investment of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 4.7%.

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

# Security that used significant unobservable inputs to determine fair value.

See Notes to Financial Statements.

230

Schedules of Investments

(continued)

At August 31, 2019, for High Yield Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:

Fund	Aggregate Cost For Federal Income Tax Purposes		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation
High Yield Fund	$	50,374,433	$	2,161,943	$	(3,758,295	)	$	(1,596,352	)

Abbreviations used in this schedule:
ADR	— American Depositary Receipts
ICE	— Intercontinental Exchange
LIBOR	— London Interbank Offered Rate
PLC	— Public Limited Company
PRIME	— Prime Lending Rate

See pages 295-296 for definitions of ratings.

High Yield Fund

Summary of Investments by Security Type^
Corporate Bonds & Notes	87.2	%
Senior Loans	6.9
Common Stocks	0.8
Preferred Stocks	0.3
Sovereign Bond	0.1
Warrant	0.0	*
Short-Term Investments	4.7
	100	%+

^ As a percentage of total investments.

* Position represents less than 0.05%.

+ Does not reflect investments of collateral received from securities lending transactions.

See Notes to Financial Statements.

231

Schedules of Investments

(continued)

International Fixed Income Fund
Face Amount/Units†			Security	Value
	SOVEREIGN BONDS — 54.1%
	Argentina — 0.1%
	4,000,000	ARS	Argentina Bonar Bonds, 54.553% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days Index + 2.000%) due 4/3/22(a)	$	34,952
	7,120,000	ARS	Argentina POM Politica Monetaria, 66.380% due 6/21/20(a)		56,831
	200,000	EUR	Argentine Republic Government International Bonds, 3.375% due 1/15/23		87,045
			Total Argentina		178,828
	Brazil — 3.2%
	5,900,000	BRL	Brazil Letras do Tesouro Nacional, zero coupon, due 4/1/20		1,381,653
	3,900,000	BRL	Brazil Notas do Tesouro Nacional Serie B, 6.000% due 5/15/21		3,288,336
			Total Brazil		4,669,989
	Canada — 1.7%
	3,100,000	CAD	Province of Ontario Canada, 3.150% due 6/2/22(SBB)		2,427,862
	China — 3.0%
	22,200,000	CNY	China Development Bank, 4.240% due 8/24/27		3,232,612
	8,800,000	CNY	China Government Bonds, 3.220% due 12/6/25		1,242,063
			Total China		4,474,675
	France — 6.1%
			French Republic Government Bonds OAT:
	900,000	EUR	3.250% due 5/25/45		1,725,643
	4,500,000	EUR	2.000% due 5/25/48(b)(c)		7,162,725
			Total France		8,888,368
	Ireland — 1.0%
	1,000,000	EUR	Ireland Government Bonds, 5.400% due 3/13/25		1,459,441
	Israel — 0.2%
$	200,000		Israel Government International Bonds, 3.250% due 1/17/28		220,830
	Italy — 3.8%
			Italy Buoni Poliennali Del Tesoro:
	700,000	EUR	2.500% due 11/15/25		858,086
	700,000	EUR	2.100% due 7/15/26		841,373
	1,300,000	EUR	3.000% due 8/1/29		1,694,487
	1,100,000	EUR	3.450% due 3/1/48(b)		1,598,756
	400,000	GBP	Republic of Italy Government International Bonds, 6.000% due 8/4/28		621,531
			Total Italy		5,614,233
	Japan — 19.5%
			Development Bank of Japan Inc.:
	200,000		2.000% due 10/19/21		200,581
	1,200,000		2.500% due 10/18/22		1,225,723
			Japan Bank for International Cooperation:
	200,000		2.375% due 7/21/22		203,743
	200,000		3.250% due 7/20/23		211,303
	200,000		3.375% due 10/31/23		212,953
			Japan Finance Organization for Municipalities:
	500,000		2.125% due 4/13/21(b)		501,851
	200,000		2.625% due 4/20/22(b)		204,191
			Japan Government Ten Year Bonds:
	530,000,000	JPY	0.100% due 3/20/29		5,182,022
	120,000,000	JPY	0.100% due 6/20/29		1,173,257
			Japan Government Thirty Year Bonds:
	210,000,000	JPY	1.700% due 9/20/44		2,759,600
	310,000,000	JPY	1.400% due 9/20/45		3,884,948

See Notes to Financial Statements.

232

Schedules of Investments

(continued)

International Fixed Income Fund
Face Amount/Units†			Security	Value
	Japan — 19.5% — (continued)
	202,000,000	JPY	0.500% due 9/20/46	$	2,093,666
	218,000,000	JPY	0.700% due 12/20/48		2,382,974
	140,000,000	JPY	0.500% due 3/20/49		1,455,860
			Japan Government Twenty Year Bonds:
	40,000,000	JPY	2.200% due 9/20/28		464,085
	400,000,000	JPY	1.000% due 12/20/35		4,412,861
	60,000,000	JPY	0.400% due 3/20/36		606,220
	110,983,400	JPY	Japanese Government CPI Linked Bonds, 0.100% due 3/10/28		1,093,378
$	400,000		Tokyo Metropolitan Government, 2.000% due 5/17/21(b)		400,109
			Total Japan		28,669,325
	Kuwait — 0.7%
	900,000		Kuwait International Government Bonds, 3.500% due 3/20/27(b)		989,621
	Lithuania — 0.2%
	300,000		Lithuania Government International Bonds, 6.125% due 3/9/21		318,021
	Malaysia — 0.6%
	3,800,000	MYR	Malaysia Government Bonds, 3.654% due 10/31/19		904,357
	Peru — 0.6%
			Peruvian Government International Bonds:
	1,300,000	PEN	6.350% due 8/12/28(b)		447,476
	300,000	PEN	5.940% due 2/12/29		100,616
	400,000	PEN	5.940% due 2/12/29(b)		134,155
	700,000	PEN	6.950% due 8/12/31(b)		252,755
			Total Peru		935,002
	Poland — 0.5%
	2,700,000	PLN	Republic of Poland Government Bonds, 3.250% due 7/25/25		736,230
	Qatar — 1.3%
			Qatar Government International Bonds:
	200,000		4.500% due 1/20/22		211,613
	1,000,000		3.875% due 4/23/23(b)		1,066,150
	500,000		4.500% due 4/23/28(b)		586,563
			Total Qatar		1,864,326
	Saudi Arabia — 0.8%
	1,200,000		Saudi Government International Bonds, 2.375% due 10/26/21		1,210,358
	Slovenia — 0.2%
	250,000		Slovenia Government International Bonds, 5.250% due 2/18/24		284,213
	Spain — 7.6%
			Autonomous Community of Catalonia:
	500,000	EUR	4.950% due 2/11/20		561,242
	100,000	EUR	4.900% due 9/15/21		119,577
	100,000	EUR	4.220% due 4/26/35		137,804
			Spain Government Bonds:
	300,000	EUR	0.250% due 7/30/24(b)		339,866
	3,000,000	EUR	1.450% due 10/31/27(b)(c)		3,709,768
	1,500,000	EUR	1.400% due 7/30/28(b)(c)		1,853,536
	1,300,000	EUR	1.450% due 4/30/29(b)		1,619,195
	1,100,000	EUR	0.600% due 10/31/29(b)		1,270,284
	900,000	EUR	2.900% due 10/31/46(b)		1,453,311
	100,000	EUR	2.700% due 10/31/48(b)		157,450
			Total Spain		11,222,033

See Notes to Financial Statements.

233

Schedules of Investments

(continued)

International Fixed Income Fund
Face Amount/Units†			Security	Value
	United Arab Emirates — 0.4%
			Abu Dhabi Government International Bonds:
$	300,000		2.500% due 10/11/22(b)	$	305,088
	200,000		3.125% due 10/11/27(b)		216,951
			Total United Arab Emirates		522,039
	United Kingdom — 2.6%
			United Kingdom Gilt:
	1,400,000	GBP	3.250% due 1/22/44(c)		2,529,349
	700,000	GBP	3.500% due 1/22/45(c)		1,326,949
			Total United Kingdom		3,856,298
			TOTAL SOVEREIGN BONDS (Cost — $70,887,299)		79,446,049
	CORPORATE BONDS & NOTES — 30.4%
	Canada — 0.6%
	100,000		Enbridge Inc., Company Guaranteed Notes, 3.110% (3-Month USD-LIBOR + 0.700%) due 6/15/20(a)		100,286
	100,000	EUR	Fairfax Financial Holdings Ltd., Senior Unsecured Notes, 2.750% due 3/29/28(b)		122,650
	300,000		HSBC Bank Canada, Covered Notes, 3.300% due 11/28/21(b)		309,637
	400,000		Toronto-Dominion Bank (The), Covered Notes, 2.100% due 7/15/22(b)		404,656
			Total Canada		937,229
	Cayman Islands — 1.4%
	300,000		CK Hutchison International 17 Ltd., Company Guaranteed Notes, 2.875% due 4/5/22(b)		303,707
			KSA Sukuk Ltd., Senior Unsecured Notes:
	200,000		2.894% due 4/20/22(b)		205,110
	500,000		4.303% due 1/19/29(b)		572,526
	200,000		Sands China Ltd., Senior Unsecured Notes, 5.400% due 8/8/28		231,322
	723,559		US Capital Funding II Ltd./US Capital Funding II Corp., Asset Backed, 3.003% (3-Month USD-LIBOR + 0.750%) due 8/1/34(a)(b)		688,322
			Total Cayman Islands		2,000,987
	Denmark — 4.1%
			Jyske Realkredit AS, Covered Notes:
	2,295,532	DKK	1.500% due 10/1/37		347,152
	5,463,865	DKK	2.000% due 10/1/47		822,753
	2,701	DKK	3.000% due 10/1/47		417
	997,584	DKK	1.500% due 10/1/50		150,908
			Nordea Kredit Realkreditaktieselskab, Covered Notes:
	943,671	DKK	1.500% due 10/1/37		143,337
	216,399	DKK	2.500% due 10/1/37		33,220
	1	DKK	2.000% due 10/1/47		—
	19,967	DKK	2.500% due 10/1/47		3,038
	2,200,000	DKK	1.000% due 10/1/50		329,570
	400,000	DKK	1.500% due 10/1/50		60,315
	924,746	DKK	2.000% due 10/1/50		139,780
			Nykredit Realkredit AS, Covered Notes:
	84,463	DKK	2.500% due 10/1/36		12,966
	1	DKK	2.000% due 7/1/37		—
	529,139	DKK	1.500% due 10/1/37		80,314
	3,081,634	DKK	2.000% due 10/1/47		464,671
	11,309	DKK	2.500% due 10/1/47		1,721
	6,700,000	DKK	1.000% due 10/1/50		1,001,534
	15,668,993	DKK	1.500% due 10/1/50		2,368,408

See Notes to Financial Statements.

234

Schedules of Investments

(continued)

International Fixed Income Fund
Face Amount/Units†			Security	Value
	Denmark — 4.1% — (continued)
			Realkredit Danmark AS, Covered Notes:
	74,016	DKK	2.500% due 4/1/36	$	11,367
	1	DKK	2.000% due 10/1/37		—
	45,523	DKK	2.500% due 7/1/47		6,931
	1	DKK	2.000% due 10/1/47		—
			Total Denmark		5,978,402
	France — 1.2%
	100,000	GBP	BNP Paribas SA, Senior Unsecured Notes, 3.375% due 1/23/26		133,156
$	250,000		Credit Agricole SA, Senior Unsecured Notes, 3.750% due 4/24/23(b)		261,986
	700,000		Danone SA, Senior Unsecured Notes, 2.077% due 11/2/21(b)		698,513
			Dexia Credit Local SA, Government Liquid Guaranteed Notes:
	500,000		1.875% due 9/15/21(b)		501,052
	250,000		2.375% due 9/20/22(b)		254,636
			Total France		1,849,343
	Germany — 1.7%
	400,000		Aareal Bank AG, Pfandbriefe, 2.625% due 7/15/21		405,654
			Deutsche Bank AG, Senior Unsecured Notes:
	400,000		3.093% (3-Month USD-LIBOR + 0.815%) due 1/22/21(a)		395,485
	100,000		3.150% due 1/22/21		99,677
	800,000		4.250% due 10/14/21		813,793
	300,000		IHO Verwaltungs GmbH, Senior Secured Notes, 6.000% (6.000% cash or 6.750% PIK) due 5/15/27(b)(d)		301,500
	400,000	EUR	Volkswagen Leasing GmbH, Company Guaranteed Notes, 0.096% (3-Month EURIBOR + 0.450%) due 7/6/21(a)		439,912
			Total Germany		2,456,021
	Ireland — 1.3%
	800,000		AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes, 4.625% due 10/30/20		819,586
	200,000	EUR	Bank of Ireland, Junior Subordinated Notes, 7.375% (5-Year EUR Swap Rate + 6.956%)(a)(e)		229,887
	400,000		GE Capital International Funding Co. Unlimited Co., Company Guaranteed Notes, 2.342% due 11/15/20		397,391
	200,000		Shire Acquisitions Investments Ireland DAC, Company Guaranteed Notes, 2.400% due 9/23/21		200,678
	200,000		SMBC Aviation Capital Finance DAC, Company Guaranteed Notes, 3.000% due 7/15/22(b)		203,453
			Total Ireland		1,850,995
	Italy — 0.3%
	400,000	EUR	Banca Carige SpA, Covered Notes, 1.327% (3-Month EURIBOR + 1.700%) due 10/25/21(a)		444,872
	Japan — 1.4%
			Central Nippon Expressway Co., Ltd., Senior Unsecured Notes:
	800,000		2.827% (3-Month USD-LIBOR + 0.540%) due 8/4/20(a)		801,200
	200,000		2.091% due 9/14/21		199,421
	400,000		Chugoku Electric Power Co., Inc. (The), Senior Secured Notes, 2.701% due 3/16/20		400,601
	200,000		Mizuho Bank Ltd., Company Guaranteed Notes, 2.400% due 3/26/20(b)		200,302
	400,000		NTT Finance Corp., Senior Unsecured Notes, 1.900% due 7/21/21		398,204
			Total Japan		1,999,728
	Jersey Channel Islands — 0.2%
	300,000	GBP	Kennedy Wilson Europe Real Estate Ltd., Senior Unsecured Notes, 3.950% due 6/30/22		377,166
	Luxembourg — 0.2%
	100,000		Allergan Funding SCS, Company Guaranteed Notes, 3.450% due 3/15/22		102,751
	200,000		NORD/LB Luxembourg SA Covered Bonds Bank, Covered Notes, 2.875% due 2/16/21		202,724
			Total Luxembourg		305,475

See Notes to Financial Statements.

235

Schedules of Investments

(continued)

International Fixed Income Fund
Face Amount/Units†			Security	Value
	Netherlands — 2.6%
$	400,000		BMW Finance NV, Company Guaranteed Notes, 2.250% due 8/12/22(b)	$	401,045
	700,000	CAD	BNG Bank NV, Senior Unsecured Notes, 2.125% due 10/1/19(b)		526,616
			Cooperatieve Rabobank UA:
	300,000	EUR	Junior Subordinated Notes, 5.500% (5-Year EUR Swap Rate + 5.250%)(a)(e)		342,491
	300,000	EUR	Senior Unsecured Notes, 6.875% due 3/19/20		341,907
			ING Bank NV:
	300,000	EUR	Senior Unsecured Notes, 0.375% due 11/26/21		335,057
	600,000		Covered Notes, 2.625% due 12/5/22(b)		616,846
			Petrobras Global Finance BV, Company Guaranteed Notes:
	170,000		6.125% due 1/17/22		182,733
	500,000		6.250% due 3/17/24		557,625
	50,000	EUR	Stichting AK Rabobank Certificaten, Junior Subordinated Notes, 6.500%(e)		68,443
	400,000		Syngenta Finance NV, Company Guaranteed Notes, 3.698% due 4/24/20(b)		401,591
			Total Netherlands		3,774,354
	Norway — 0.3%
	400,000		DNB Boligkreditt AS, Covered Notes, 2.500% due 3/28/22(b)		407,862
	Portugal — 0.1%
			Banco Espirito Santo SA, Senior Unsecured Notes:
	200,000	EUR	4.750% due 1/15/18(f)(g)		51,656
	200,000	EUR	4.000% due 1/21/19(f)(g)		51,655
			Total Portugal		103,311
	Singapore — 0.2%
	200,000		BOC Aviation Ltd., Senior Unsecured Notes, 2.750% due 9/18/22(b)		200,547
	100,000		DBS Bank Ltd., Covered Notes, 3.300% due 11/27/21(b)		102,843
			Total Singapore		303,390
	Supranational — 0.6%
			European Investment Bank, Senior Unsecured Notes:
	500,000	AUD	0.500% due 6/21/23		328,328
	800,000	AUD	0.500% due 8/10/23		524,407
			Total Supranational		852,735
	Sweden — 0.1%
	2,000,000	SEK	Sveriges Sakerstallda Obligationer AB, Covered Notes, 2.000% due 6/17/26		229,522
	Switzerland — 1.5%
			Credit Suisse Group AG, Senior Unsecured Notes:
	300,000		2.997% (3-Month USD-LIBOR + 1.200%) due 12/14/23(a)(b)		304,287
	250,000		4.282% due 1/9/28(b)		272,349
	250,000		3.869% (3-Month USD-LIBOR + 1.410%) due 1/12/29(a)(b)		266,457
			UBS AG:
	300,000		Senior Unsecured Notes, 2.200% due 6/8/20(b)		300,237
			Subordinated Notes:
	250,000		7.625% due 8/17/22		282,286
	400,000		5.125% due 5/15/24		431,598
	400,000		UBS Group Funding Switzerland AG, Company Guaranteed Notes, 3.108% (3-Month USD-LIBOR + 0.950%) due 8/15/23(a)(b)		401,622
			Total Switzerland		2,258,836
	United Kingdom — 6.3%
	400,000		Barclays Bank PLC, Subordinated Notes, 7.625% due 11/21/22		441,286
			Barclays PLC:
			Junior Subordinated Notes:
	700,000	EUR	6.500% (5-Year EUR Swap Rate + 5.875%)(a)(e)		772,065
	400,000	GBP	7.000% (5-Year GBP Swap Rate + 5.084%)(a)(e)		488,214
	600,000	GBP	7.125% (5-Year UK Government Note Generic Bid Yield + 6.579%)(a)(e)		756,527

See Notes to Financial Statements.

236

Schedules of Investments

(continued)

International Fixed Income Fund
Face Amount/Units†			Security	Value
	United Kingdom — 6.3% — (continued)
			Senior Unsecured Notes:
$	600,000		4.291% (3-Month USD-LIBOR + 2.110%) due 8/10/21(a)	$	610,874
	200,000		4.610% (3-Month USD-LIBOR + 1.400%) due 2/15/23(a)		207,340
	100,000		British Telecommunications PLC, Senior Unsecured Notes, 9.625% due 12/15/30		153,230
	200,000	GBP	Co-operative Group Holdings 2011 Ltd., Company Guaranteed Notes, step bond to yield, 6.875% due 7/8/20		254,852
	100,000	EUR	FCE Bank PLC, Senior Unsecured Notes, 1.660% due 2/11/21		112,408
			HSBC Holdings PLC, Senior Unsecured Notes:
	400,000		2.724% (3-Month USD-LIBOR + 0.600%) due 5/18/21(a)		400,215
	300,000		3.124% (3-Month USD-LIBOR + 1.000%) due 5/18/24(a)		300,593
	600,000		Imperial Brands Finance PLC, Company Guaranteed Notes, 2.950% due 7/21/20(b)		603,243
	400,000		Lloyds Bank PLC, Senior Unsecured Notes, 2.250% due 8/14/22		400,548
	200,000	GBP	Marks & Spencer PLC, Senior Unsecured Notes, 3.000% due 12/8/23		252,058
	200,000		Nationwide Building Society, Senior Unsecured Notes, 3.766% (3-Month USD-LIBOR + 1.064%) due 3/8/24(a)(b)		205,525
	100,000	GBP	RAC Bonds Co. PLC, Senior Secured Notes, 4.870% due 5/6/26		120,188
			Royal Bank of Scotland Group PLC:
	200,000		Junior Subordinated Notes, 8.625% (5-Year USD Swap Rate + 7.598%)(a)(e)		212,250
			Senior Unsecured Notes:
	800,000		3.899% (3-Month USD-LIBOR + 1.550%) due 6/25/24(a)		798,779
	200,000		4.519% (3-Month USD-LIBOR + 1.550%) due 6/25/24(a)		210,046
			Santander UK Group Holdings PLC, Senior Unsecured Notes:
	400,000		4.796% (3-Month USD-LIBOR + 1.570%) due 11/15/24(a)		428,381
	600,000		3.823% (3-Month USD-LIBOR + 1.400%) due 11/3/28(a)		618,254
	97,550	GBP	Tesco Property Finance 4 PLC, Senior Secured Notes, 5.801% due 10/13/40		157,929
	300,000	GBP	Virgin Media Secured Finance PLC, Senior Secured Notes, 4.875% due 1/15/27		382,240
	300,000	GBP	Virgin Money PLC, Senior Unsecured Notes, 2.250% due 4/21/20		367,620
			Total United Kingdom		9,254,665
	United States — 6.3%
	100,000		American Honda Finance Corp., Senior Unsecured Notes, 2.637% (3-Month USD-LIBOR + 0.350%) due 11/5/21(a)		100,192
			AT&T Inc., Senior Unsecured Notes:
	300,000		2.888% (3-Month USD-LIBOR + 0.750%) due 6/1/21(a)		301,489
	300,000		3.253% (3-Month USD-LIBOR + 0.950%) due 7/15/21(a)		302,514
	300,000	EUR	1.800% due 9/5/26		365,121
	400,000		Aviation Capital Group LLC, Senior Unsecured Notes, 3.082% (3-Month USD-LIBOR + 0.950%) due 6/1/21(a)(b)		402,144
	200,000		Bank of America Corp., Junior Subordinated Notes, 5.875% (3-Month USD-LIBOR + 2.931%)(a)(e)		217,620
			BAT Capital Corp., Company Guaranteed Notes:
	100,000		2.765% (3-Month USD-LIBOR + 0.590%) due 8/14/20(a)		100,214
	100,000		3.222% due 8/15/24		102,820
	100,000		3.557% due 8/15/27		102,547
	100,000		4.390% due 8/15/37		100,792
	200,000		Campbell Soup Co., Senior Unsecured Notes, 3.650% due 3/15/23		208,427
			Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes:
	250,000		3.579% due 7/23/20		252,414
	700,000		4.464% due 7/23/22		738,931
	400,000		Comcast Corp., Company Guaranteed Notes, 2.759% (3-Month USD-LIBOR + 0.440%) due 10/1/21(a)		401,063
	300,000		Daimler Finance North America LLC, Company Guaranteed Notes, 2.611% (3-Month USD-LIBOR + 0.430%) due 2/12/21(a)(b)		299,681
	250,000		Dell International LLC/EMC Corp., Senior Secured Notes, 4.420% due 6/15/21(b)		257,903

See Notes to Financial Statements.

237

Schedules of Investments

(continued)

International Fixed Income Fund
Face Amount/Units†			Security	Value
	United States — 6.3% — (continued)
$	200,000		Dominion Energy Gas Holdings LLC, Senior Unsecured Notes, 3.010% (3-Month USD-LIBOR + 0.600%) due 6/15/21(a)	$	200,917
	400,000		Duke Energy Corp., Senior Unsecured Notes, 3.101% (3-Month USD-LIBOR + 0.650%) due 3/11/22(a)		401,966
	200,000		Emera US Finance LP, Company Guaranteed Notes, 2.700% due 6/15/21		201,496
	200,000		EPR Properties, Company Guaranteed Notes, 4.500% due 6/1/27		213,972
	100,000		Equifax Inc., Senior Unsecured Notes, 3.600% due 8/15/21		102,231
			Fidelity National Information Services Inc., Senior Unsecured Notes:
	100,000	EUR	0.400% due 1/15/21		110,905
	100,000	GBP	1.700% due 6/30/22		123,546
	100,000	EUR	0.750% due 5/21/23		113,436
			Ford Motor Credit Co. LLC, Senior Unsecured Notes:
	200,000		2.597% due 11/4/19		199,958
	200,000		2.681% due 1/9/20		200,054
	100,000		General Motors Financial Co., Inc., Company Guaranteed Notes, 3.161% (3-Month USD-LIBOR + 0.850%) due 4/9/21(a)		100,004
	400,000		KLA Corp., Senior Unsecured Notes, 3.375% due 11/1/19		400,291
	1,300,000		Lehman Brothers Holdings Inc., Senior Unsecured Notes, zero coupon, due 12/28/17(g)		18,363
	100,000		McDonald’s Corp., Senior Unsecured Notes, 2.686% (3-Month USD-LIBOR + 0.430%) due 10/28/21(a)		99,922
	400,000		Navient Corp., Senior Unsecured Notes, 8.000% due 3/25/20		413,000
	300,000		Progress Energy Inc., Senior Unsecured Notes, 4.400% due 1/15/21		307,762
	100,000		Santander Holdings USA Inc., Senior Unsecured Notes, 3.400% due 1/18/23		102,931
	100,000		Spectra Energy Partners LP, Company Guaranteed Notes, 3.179% (3-Month USD-LIBOR + 0.700%) due 6/5/20(a)		100,214
			Volkswagen Group of America Finance LLC, Company Guaranteed Notes:
	300,000		2.946% (3-Month USD-LIBOR + 0.770%) due 11/13/20(a)(b)		301,358
	200,000		3.875% due 11/13/20(b)		203,794
	300,000		3.121% (3-Month USD-LIBOR + 0.940%) due 11/12/21(a)(b)		301,673
	200,000		4.000% due 11/12/21(b)		207,274
	300,000		WEA Finance LLC/Westfield UK & Europe Finance PLC, Company Guaranteed Notes, 3.750% due 9/17/24(b)		320,407
	300,000		Zimmer Biomet Holdings Inc., Senior Unsecured Notes, 3.150% due 4/1/22		306,395
			Total United States		9,305,741
			TOTAL CORPORATE BONDS & NOTES (Cost — $44,579,302)		44,690,634
	MORTGAGE-BACKED SECURITIES — 24.3%
	CMHC — 0.3%
			Canadian Mortgage and Housing Corp. (CMHC):
	143,919	CAD	2.063% due 6/1/20		108,091
	458,973	CAD	2.263% due 7/1/20 — 8/1/20		345,298
			TOTAL CMHC		453,389
	FNMA — 24.0%
			Federal National Mortgage Association (FNMA):
	36,502		4.783% (1-Year CMT Index + 2.360%) due 11/1/34(a)		38,687
	70,523		6.500% due 8/1/37		77,772
	13,500,000		4.000% due 11/1/48(h)		14,041,490
	1,585,230		3.000% due 1/1/22 — 9/1/49		1,617,083
	19,000,000		3.500% due 11/1/48 — 10/1/49(h)		19,540,657
			TOTAL FNMA		35,315,689

See Notes to Financial Statements.

238

Schedules of Investments

(continued)

International Fixed Income Fund
Face Amount/Units†			Security	Value
	GNMA — 0.0%
$	2,993		Government National Mortgage Association II (GNMA), 6.000% due 9/20/38	$	3,229
			TOTAL MORTGAGE-BACKED SECURITIES (Cost — $35,687,267)		35,772,307
	COLLATERALIZED MORTGAGE OBLIGATIONS — 14.7%
	400,000		ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE5, Class M4, 3.045% (1-Month USD-LIBOR + 0.900%) due 8/25/35(a)		396,213
	250,000	EUR	Adagio IV CLO Ltd., Series IV-A, Class A2R, 1.100% due 10/15/29(b)		274,323
	358,320	GBP	Aggregator of Loans Backed by Assets PLC, Series 2015-1, Class A, 1.959% (1-Month GBP-LIBOR + 1.250%) due 4/24/49(a)		437,464
	388,896	GBP	ALBA PLC, Series 2007-1, Class A3, 0.956% (3-Month GBP-LIBOR + 0.170%) due 3/17/39(a)		447,339
	400,000		Apex Credit CLO 2016 Ltd., Series 2016-1A, Class ASR, 3.306% (3-Month USD-LIBOR + 1.050%) due 10/27/28(a)(b)		400,803
	641,511		Argent Mortgage Loan Trust, Series 2005-W1, Class A1, 2.625% (1-Month USD-LIBOR + 0.480%) due 5/25/35(a)		617,592
	18,974		Banc of America Funding Trust, Series 2006-A, Class 1A1, 4.742% due 2/20/36(a)		18,963
	259,634		Bayview Financial Asset Trust, Series 2007-SR1A, Class A, 2.927% (1-Month USD-LIBOR + 0.450%) due 3/25/37(a)(b)		258,635
			Bear Stearns Adjustable Rate Mortgage Trust:
	5,046		Series 2003-5, Class 1A2, 4.343% due 8/25/33(a)		5,047
	7,019		Series 2003-7, Class 6A, 4.586% due 10/25/33(a)		7,200
	20,426		Series 2004-2, Class 22A, 4.855% due 5/25/34(a)		20,311
	5,680		Series 2004-2, Class 23A, 3.442% due 5/25/34(a)		5,331
	79,806		Bear Stearns Structured Products Inc. Trust, Series 2007-R6, Class 1A1, 4.159% due 1/26/36(a)		68,851
	250,000	EUR	Black Diamond CLO Designated Activity Co., Series 2015-1A, Class A1R, 0.650% (3-Month EURIBOR + 0.650%) due 10/3/29(a)(b)		274,732
	120,719		CHL Mortgage Pass-Through Trust, Series 2007-19, Class 2A1, 6.500% due 11/25/47		100,567
			Countrywide Alternative Loan Trust:
	6,879		Series 2005-21CB, Class A3, 5.250% due 6/25/35		6,817
	24,952		Series 2007-16CB, Class 5A1, 6.250% due 8/25/37		20,908
	33,072		Series 2007-7T2, Class A9, 6.000% due 4/25/37		22,637
	47,244		Series 2007-11T1, Class A12, 2.495% (1-Month USD-LIBOR + 0.350%) due 5/25/37(a)		20,828
			Countrywide Asset-Backed Certificates:
	198,841		Series 2006-18, Class 2A2, 2.305% (1-Month USD-LIBOR + 0.160%) due 3/25/37(a)		197,711
	91,487		Series 2007-12, Class 1A1, 2.885% (1-Month USD-LIBOR + 0.740%) due 8/25/47(a)		90,728
	762,021		Series 2007-13, Class 1A, 2.985% (1-Month USD-LIBOR + 0.840%) due 10/25/47(a)		761,108
	357,511		Series 2007-SEA2, Class 1A1, 3.145% (1-Month USD-LIBOR + 1.000%) due 8/25/47(a)(b)		355,054
			Countrywide Home Loan Mortgage Pass-Through Trust:
	3,270		Series 2004-12, Class 11A1, 3.887% due 8/25/34(a)		3,126
	83,033		Series 2005-2, Class 1A1, 2.785% (1-Month USD-LIBOR + 0.640%) due 3/25/35(a)		77,490
	7,337		Series 2005-3, Class 2A1, 2.725% (1-Month USD-LIBOR + 0.580%) due 4/25/35(a)		6,948
	80,199		Series 2005-9, Class 1A3, 2.605% (1-Month USD-LIBOR + 0.460%) due 5/25/35(a)		74,635
	24,400		Series 2005-11, Class 3A1, 2.815% due 4/25/35(a)		22,566
	25,861		Series 2005-HYB9, Class 3A2A, 4.592% (1-Year USD-LIBOR + 1.750%) due 2/20/36(a)		22,982
	760,522		Series 2007-4, Class 1A47, 6.000% due 5/25/37		589,100
	530,363		Credit Suisse Mortgage Capital Certificates, Series 2007-NC1, Class 2A1, 2.745% (1-Month USD-LIBOR + 0.600%) due 9/25/37(a)		520,032
	36,938		Credit Suisse Mortgage Capital Trust, Series 2007-5R, Class A5, 6.500% due 7/26/36		17,759
	400,000		Crown Point CLO 6 Ltd., Series 2018-6A, Class A1, 3.448% (3-Month USD-LIBOR + 1.170%) due 10/20/28(a)(b)		400,024
	161,802		CSAB Mortgage-Backed Trust, Series 2006-4, Class A6A, step bond to yield, 5.684% due 12/25/36		64,304
	639,310		Deutsche Alternative-A Securities Mortgage Loan Trust, Series 2007-3, Class 2A1, 2.895% (1-Month USD-LIBOR + 0.750%) due 10/25/47(a)		614,346

See Notes to Financial Statements.

239

Schedules of Investments

(continued)

International Fixed Income Fund
Face Amount/Units†			Security	Value
	COLLATERALIZED MORTGAGE OBLIGATIONS — 14.7% — (continued)
	300,000	EUR	Dryden 46 Euro CLO 2016 BV, Series 2016-46A, Class A1R, 0.880% (3-Month EURIBOR + 0.880%) due 1/15/30(a)(b)	$	330,269
$	687,286		Ellington Loan Acquisition Trust, Series 2007-2, Class A1, 3.195% (1-Month USD-LIBOR + 1.050%) due 5/25/37(a)(b)		687,710
	193,313	GBP	Eurohome UK Mortgages PLC, Series 2007-1, Class A, 0.936% (3-Month GBP-LIBOR + 0.150%) due 6/15/44(a)		226,084
	401,035	GBP	Eurosail-UK PLC, Series 2007-4X, Class A3, 1.739% (3-Month GBP-LIBOR + 0.950%) due 6/13/45(a)		484,591
	100,000		Evans Grove CLO Ltd., Series 2018-1A, Class A1, 3.064% (3-Month USD-LIBOR + 0.920%) due 5/28/28(a)(b)		99,107
			Federal Home Loan Mortgage Corp. (FHLMC):
	27,414		Series T-35, Class A, 2.546% (1-Month USD-LIBOR + 0.140%) due 9/25/31(a)		27,151
	38,767		Series T-62, Class 1A1, 3.681% (1-Year Treasury Average Rate + 1.200%) due 10/25/44(a)		39,202
			Federal Home Loan Mortgage Corp. (FHLMC), REMICS:
	31,730		Series 2391, Class FJ, 2.695% (1-Month USD-LIBOR + 0.500%) due 4/15/28(a)		31,622
	51,539		Series 2614, Class SJ, 13.626% (19.663% - 2.75% x 1-Month USD-LIBOR) due 5/15/33(a)		69,993
	206,246		Series 4579, Class FD, 2.752% (1-Month USD-LIBOR + 0.350%) due 1/15/38(a)		205,166
	206,246		Series 4579, Class SD, 1.994% due 1/15/38(a)(i)		14,317
	6,547		Federal National Mortgage Association (FNMA), Grantor Trust, Series 2004-T3, Class 1A1, 6.000% due 2/25/44		7,546
			Federal National Mortgage Association (FNMA), REMICS:
	6,542		Series 2003-34, Class A1, 6.000% due 4/25/43		7,514
	13,986		Series 2006-48, Class TF, 2.545% (1-Month USD-LIBOR + 0.400%) due 6/25/36(a)		14,009
	104,548		Series 2009-104, Class FA, 2.945% (1-Month USD-LIBOR + 0.800%) due 12/25/39(a)		106,547
	46,329		Federal National Mortgage Association (FNMA), REMICS Trust, Series 2004-W12, Class 1A1, 6.000% due 7/25/44		52,441
	323,821		Figueroa CLO Ltd., Series 2014-1A, Class AR, 3.203% (3-Month USD-LIBOR + 0.900%) due 1/15/27(a)(b)		323,626
	228,431		First Franklin Mortgage Loan Trust, Series 2005-FF9, Class A4, 2.505% (1-Month USD-LIBOR + 0.360%) due 10/25/35(a)		228,150
	89,328		Flagship VII Ltd., Series 2013-7A, Class A1R, 3.398% (3-Month USD-LIBOR + 1.120%) due 1/20/26(a)(b)		89,398
	40,121		GMACM Mortgage Loan Trust, Series 2005-AR6, Class 3A1, 4.144% due 11/19/35(a)		38,564
	428,432		Government National Mortgage Association, Series 2016-H15, Class FA, 3.180% (1-Month USD-LIBOR + 0.800%) due 7/20/66(a)		431,673
			GSR Mortgage Loan Trust:
	10,741		Series 2003-1, Class A2, 4.300% (1-Year CMT Index + 1.750%) due 3/25/33(a)		10,890
	182,656		Series 2005-AR7, Class 2A1, 4.678% due 11/25/35(a)		184,217
			Harborview Mortgage Loan Trust:
	21,464		Series 2005-2, Class 2A1A, 2.622% (1-Month USD-LIBOR + 0.440%) due 5/19/35(a)		20,854
	49,979		Series 2005-3, Class 2A1A, 2.662% (1-Month USD-LIBOR + 0.480%) due 6/19/35(a)		50,314
	95,732		Series 2006-SB1, Class A1A, 3.331% (1-Year Treasury Average Rate + 0.850%) due 12/19/36(a)		95,275
	113,850		Series 2007-1, Class 2A1A, 2.312% (1-Month USD-LIBOR + 0.130%) due 3/19/37(a)		109,496
	500,000	GBP	Hawksmoor Mortgages, Series 2019-1A, Class A, (Sterling Overnight Index Average + 1.050%) due 5/25/53(a)(b)		609,913
			JPMorgan Mortgage Trust:
	4,607		Series 2003-A2, Class 3A1, 4.282% due 11/25/33(a)		4,754
	1,816		Series 2005-A1, Class 6T1, 4.721% due 2/25/35(a)		1,837
	54,463		JPMorgan Resecuritization Trust, Series 2009-7, Class 17A1, 5.434% due 7/27/37(a)(b)		55,159
	541,994	GBP	Ludgate Funding PLC, Series 2007-1, Class A2A, 0.940% (3-Month GBP-LIBOR + 0.160%) due 1/1/61(a)		618,851
	5,289		Merrill Lynch Mortgage Investors Trust, Series 2003-A2, Class 1A1, 4.436% due 2/25/33(a)		5,166
	400,000		Monarch Grove CLO, Series 2018-1A, Class A1, 3.156% (3-Month USD-LIBOR + 0.880%) due 1/25/28(a)(b)		398,468

See Notes to Financial Statements.

240

Schedules of Investments

(continued)

International Fixed Income Fund
Face Amount/Units†			Security	Value
	COLLATERALIZED MORTGAGE OBLIGATIONS — 14.7% — (continued)
	670,978	GBP	Newgate Funding PLC, Series 2007-1X, Class A3, 0.953% (3-Month GBP-LIBOR + 0.160%) due 12/1/50(a)	$	772,091
$	400,000		NovaStar Mortgage Funding Trust, Series 2006-1, Class A2D, 2.685% (1-Month USD-LIBOR + 0.540%) due 5/25/36(a)		375,641
	95,709		Option One Mortgage Loan Trust, Series 2007-CP1, Class 1A1, 2.285% (1-Month USD-LIBOR + 0.140%) due 3/25/37(a)		87,405
	192,692		RAAC Trust, Series 2007-SP3, Class A1, 3.345% (1-Month USD-LIBOR + 1.200%) due 9/25/47(a)		194,271
	59,436		RALI Trust, Series 2007-QO2, Class A1, 2.295% (1-Month USD-LIBOR + 0.150%) due 2/25/47(a)		33,825
	88,810	CAD	Real Estate Asset Liquidity Trust, Series 2018-1A, Class A1, 3.072% due 8/12/53(b)		68,112
			Residential Asset Securitization Trust:
	18,007		Series 2005-A15, Class 5A1, 5.750% due 2/25/36		12,614
	46,801		Series 2006-R1, Class A2, 2.545% (1-Month USD-LIBOR + 0.400%) due 1/25/46(a)		20,358
	210,620	GBP	Residential Mortgage Securities 28 PLC, Series 28, Class A, 1.936% (3-Month GBP-LIBOR + 1.150%) due 6/15/46(a)		256,857
	259,803	GBP	ResLoC UK PLC, Series 2007-1X, Class A3B, 0.946% (3-Month GBP-LIBOR + 0.160%) due 12/15/43(a)		298,451
			RMAC Securities No 1 PLC:
	252,503	GBP	Series 2006-NS1X, Class A2A, 0.943% (3-Month GBP-LIBOR + 0.150%) due 6/12/44(a)		292,541
	474,228	GBP	Series 2006-NS3X, Class A2A, 0.943% (3-Month GBP-LIBOR + 0.150%) due 6/12/44(a)		547,562
			Soundview Home Loan Trust:
	254,548		Series 2006-3, Class A3, 2.305% (1-Month USD-LIBOR + 0.160%) due 11/25/36(a)		252,187
	1,300,000		Series 2006-3, Class A4, 2.395% (1-Month USD-LIBOR + 0.250%) due 11/25/36(a)		1,218,615
			Structured Adjustable Rate Mortgage Loan Trust:
	6,910		Series 2004-1, Class 4A1, 4.442% due 2/25/34(a)		6,949
	21,829		Series 2004-4, Class 3A2, 4.707% due 4/25/34(a)		22,674
	36,649		Series 2004-19, Class 2A1, 3.881% (1-Year Treasury Average Rate + 1.400%) due 1/25/35(a)		35,843
			Structured Asset Mortgage Investments II Trust:
	50,297		Series 2005-AR2, Class 2A1, 2.605% (1-Month USD-LIBOR + 0.460%) due 5/25/45(a)		50,206
	61,256		Series 2005-AR8, Class A1A, 2.425% (1-Month USD-LIBOR + 0.280%) due 2/25/36(a)		59,075
	43,838		Series 2006-AR5, Class 1A1, 2.355% (1-Month USD-LIBOR + 0.210%) due 5/25/36(a)		41,636
	216,853		Series 2007-AR4, Class A3, 2.365% (1-Month USD-LIBOR + 0.220%) due 9/25/47(a)		212,791
	96,299		Series 2007-AR6, Class A1, 3.981% (1-Year Treasury Average Rate + 1.500%) due 8/25/47(a)		95,459
	63,856		Structured Asset Securities Corp., Series 2006-RF1, Class 1A, 2.425% (1-Month USD-LIBOR + 0.280%) due 1/25/36(a)(b)		59,033
	18,682		Structured Asset Securities Corp. Trust, Series 2005-10, Class 4A1, 5.500% due 12/25/34		18,821
	681,730		Symphony CLO XII Ltd., Series 2013-12A, Class AR, 3.333% (3-Month USD-LIBOR + 1.030%) due 10/15/25(a)(b)		682,199
	400,000		THL Credit Wind River CLO Ltd., Series 2012-1A, Class AR2, 3.183% (3-Month USD-LIBOR + 0.880%) due 1/15/26(a)(b)		400,018
	300,000	EUR	Tikehau CLO II BV, Series 2A, Class AR, 0.880% (3-Month EURIBOR + 0.880%) due 12/7/29(a)(b)		330,113
	400,000	EUR	Toro European CLO 2 DAC, Series 2A, Class AR, 0.900% (3-Month EUR-LIBOR + 0.900%) due 10/15/30(a)(b)		439,649
	400,000		Tralee CLO V Ltd., Series 2018-5A, Class A1, 3.388% (3-Month USD-LIBOR + 1.110%) due 10/20/28(a)(b)		399,079
	400,000		Venture XVI CLO Ltd., Series 2014-16A, Class ARR, 3.153% (3-Month USD-LIBOR + 0.850%) due 1/15/28(a)(b)		399,995
	100,000		Venture XVII CLO Ltd., Series 2014-17A, Class ARR, 3.183% (3-Month USD-LIBOR + 0.880%) due 4/15/27(a)(b)		99,647

See Notes to Financial Statements.

241

Schedules of Investments

(continued)

International Fixed Income Fund
Face Amount/Units†		Security	Value
	COLLATERALIZED MORTGAGE OBLIGATIONS — 14.7% — (continued)
		WaMu Mortgage Pass-Through Certificates Trust:
$	11,625	Series 2002-AR9, Class 1A, 3.881% (1-Year Treasury Average Rate + 1.400%) due 8/25/42(a)	$	11,391
	2,850	Series 2003-AR5, Class A7, 4.684% due 6/25/33(a)		2,941
	192,866	Series 2003-AR9, Class 2A, 4.462% due 9/25/33(a)		198,431
	272,697	Series 2004-AR1, Class A, 4.864% due 3/25/34(a)		279,633
	38,894	Series 2005-AR13, Class A1A1, 2.556% (1-Month USD-LIBOR + 0.290%) due 10/25/45(a)		38,906
	42,706	Series 2006-AR10, Class 2A1, 3.939% due 9/25/36(a)		41,477
	75,586	Series 2006-AR13, Class 2A, 2.641% (11th District Cost of Funds Index + 1.500%) due 10/25/46(a)		73,426
	22,601	Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2006-AR5, Class 3A, 3.421% (1-Year Treasury Average Rate + 0.940%) due 7/25/46(a)		16,833
	108,390	Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2002-AR3, Class 1A7, 4.467% due 12/25/32(a)		111,206
	106,593	Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR2, Class 2A1, 5.005% due 3/25/36(a)		109,746
		TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $22,316,422)		21,570,055
	U.S. GOVERNMENT OBLIGATIONS — 8.2%
		U.S. Treasury Inflation Indexed Bonds:
	1,725,765	2.375% due 1/15/25(c)		1,941,303
	238,606	2.500% due 1/15/29(j)		294,199
	155,811	3.875% due 4/15/29		213,292
	219,810	1.375% due 2/15/44(j)		273,762
	415,484	1.000% due 2/15/48		488,130
		U.S. Treasury Inflation Indexed Notes:
	210,648	0.125% due 4/15/22(j)		209,331
	309,363	0.625% due 4/15/23		314,225
	3,352,464	0.250% due 1/15/25(c)		3,395,677
	1,869,156	0.500% due 1/15/28(c)		1,947,631
	2,800,000	U.S. Treasury Notes, 2.875% due 4/30/25(c)		3,018,367
		TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $11,547,618)		12,095,917
	ASSET-BACKED SECURITIES — 0.6%
	Automobiles — 0.5%
	400,000	Bank of The West Auto Trust, Series 2019-1, Class A2, 2.400% due 10/17/22(b)		400,689.00
	400,000	Toyota Auto Loan Extended Notes Trust, Series 2019-1A, Class A, 2.560% due 11/25/31(b)		413,037.00
		Total Automobiles		813,726
	Student Loans — 0.1%
	81,811	Massachusetts Educational Financing Authority, Series 2008-1, Class A1, 3.226% (3-Month USD-LIBOR + 0.950%) due 4/25/38(a)		82,273
		TOTAL ASSET-BACKED SECURITIES (Cost — $881,703)		895,999
	SENIOR LOAN — 0.1%
	197,000	CenturyLink Inc., 4.862% (1-Month USD-LIBOR + 2.750%) due 1/31/25 (Cost — $196,292)		194,507
	MUNICIPAL BOND — 0.0%
	United States — 0.0%
	700,000	Tobacco Settlement Finance Authority, Revenue Bonds, Series B, zero coupon, due 6/1/47(g) (Cost — $49,135)		46,060
		TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $186,145,038)		194,711,528

See Notes to Financial Statements.

242

Schedules of Investments

(continued)

International Fixed Income Fund
Face Amount/Units†			Security	Value
	SHORT-TERM INVESTMENTS — 1.5%
	TIME DEPOSITS — 1.5%
$	1,107,486		ANZ National Bank — London, 1.490% due 9/3/19	$	1,107,486
	411,511		Banco Santander SA — Frankfurt, 1.490% due 9/3/19		411,511
			BBH — Grand Cayman:
	4,973	DKK	(0.800)% due 9/2/19		733
	193,121	SEK	(0.320)% due 9/2/19		19,678
	49	NZD	0.280% due 9/2/19		31
	46,315	AUD	0.450% due 9/2/19		31,188
	3,295	NOK	0.500% due 9/2/19		362
	250	HKD	0.750% due 9/2/19		32
	77,793	CAD	0.870% due 9/3/19		58,436
	152	SGD	0.940% due 9/2/19		109
	242,657	ZAR	5.460% due 9/2/19		15,998
	231,073	EUR	BNP Paribas — Paris, (0.580)% due 9/2/19		253,961
	167,220	GBP	Citibank — London, 0.370% due 9/2/19		203,456
	3,692,244	JPY	Sumitomo — Tokyo, (0.250)% due 9/2/19		34,759
			TOTAL SHORT-TERM INVESTMENTS IN SECURITIES (Cost — $2,137,740)		2,137,740
			TOTAL INVESTMENTS IN SECURITIES (Cost — $188,282,778)		196,849,268
			TOTAL INVESTMENTS IN PURCHASED OPTIONS (Cost — $101,686)		62,264
			TOTAL INVESTMENTS — 133.9% (Cost — $188,384,464)		196,911,532
			Liabilities in Excess of Other Assets — (33.9)%		(49,912,595	)
			TOTAL NET ASSETS — 100.0%	$	146,998,937

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

(a) Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2019.

(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. The aggregate value of restricted 144A holdings at August 31, 2019 amounts to approximately $44,851,947 and represents 30.5% of net assets.

(c) Position, or portion thereof, has been segregated to collateralize reverse repurchase agreements.

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

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

(f) Security is currently in default.

(g) Illiquid security.

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

(i) Interest only security.

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

^(SBB)  All or a portion of these securities were purchased in a sale-buyback transaction. The value of these securities total $1,018,136, which represents 0.7% of net assets.

At August 31, 2019, for International Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:

Fund	Aggregate Cost For Federal Income Tax Purposes		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation
International Fixed Income Fund	$	193,097,008	$	21,143,999	$	(17,264,492	)	$	3,879,507

See Notes to Financial Statements.

243

Schedules of Investments

(continued)

International Fixed Income Fund

Abbreviations used in this schedule:
CLO	— Collateralized Loan Obligation
CMT	— Constant Maturity Treasury Rate
CPI	— Consumer Price Index
EURIBOR	— Euro Interbank Offered Rate
LIBOR	— London Interbank Offered Rate
PLC	— Public Limited Company
REMICS	— Real Estate Mortgage Investment Conduit

Summary of Investments by Security Type^
Sovereign Bonds	40.3	%
Corporate Bonds & Notes	22.7
Mortgage-Backed Securities	18.2
Collateralized Mortgage Obligations	11.0
U.S. Government Obligations	6.1
Asset-Backed Securities	0.5
Senior Loan	0.1
Municipal Bond	0.0	*
Purchased Options	0.0	*
Short-Term Investments	1.1
	100.0	%

^ As a percentage of total investments.

* Position represents less than 0.05%.

At August 31, 2019, International Fixed Income Fund held the following Options Contracts Purchased:

Currency Options

Number of Contracts

Notional Amount†

Security Name

Counterparty

Expiration Date

Strike Price

Value

1,000,000

1,000,000

AUD

OTC Australian Dollar versus Canadian Dollar, Call

HSBC

9/13/19

CAD

0.94

$

6

2,100,000

$2,100,000

OTC U.S. Dollar versus Indian Rupee, Call

HSBC

10/16/19

INR  82.00

84

Total Currency Options

$

90

Interest Rate Swaptions
Number of Contracts		Notional Amount†		Security Name	Counterparty		Expiration Date		Exercise Rate		Value
	600,000		$   12,791	OTC 30-Year Swaption, 3-Month USD-LIBOR, Put		DUB		8/19/20		1.779%	$	24,918
	400,000		8,527	OTC 30-Year Swaption, 3-Month USD-LIBOR, Put		BCLY		8/23/21		1.758%		26,313
				Total Interest Rate Swaptions							$	51,231

Options on Futures
Number of Contracts		Notional Amount†			Security Name	Counterparty		Expiration Date		Strike Price		Value
	32		5,635,520	EUR	Euro-Bund November Futures, Put		CSFB		10/25/19	EUR	173.00	$	10,903
	6	$	719,297		U.S. Treasury 5-Year Note December Futures, Put		CITI		11/22/19	$	108.00		6
	34		4,475,250		U.S. Treasury 10-Year Note December Futures, Put		CITI		11/22/19	$	114.50		34
					Total Options on Futures							$	10,943
					TOTAL OPTIONS CONTRACTS PURCHASED (Cost — $101,686)							$	62,264

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

See Notes to Financial Statements.

244

Schedules of Investments

(continued)

International Fixed Income Fund

At August 31, 2019, International Fixed Income Fund held the following Options Contracts Written:

Credit Default Swaptions
Number of Contracts		Notional Amount†			Security Name	Counterparty		Expiration Date		Exercise Rate		Value
	400,000	$	215,824		OTC Markit CDX North America Investment Grade Series 32 5-Year Index, Put		GSC		9/18/19		0.950%	$	1
	100,000		53,956		OTC Markit CDX North America Investment Grade Series 32 5-Year Index, Put		DUB		9/18/19		0.950%		1
	300,000		141,765		OTC Markit CDX North America Investment Grade Series 31 5-Year Index, Put		GSC		9/18/19		2.400%		—
	400,000		170,504	EUR	OTC Markit iTraxx Europe Series 30 5-Year Index, Put		GSC		9/18/19		2.400%		—
					Total Credit Default Swaptions							$	2
Currency Options
Number of Contracts		Notional Amount†			Security Name	Counterparty		Expiration Date		Strike Price		Value
	1,000,000		1,000,000	AUD	OTC Australian Dollar versus Canadian Dollar, Put		HSBC		9/13/19	CAD	0.91	$	8,376
	405,000		2,899,982	CNH	OTC U.S. Dollar versus Chinese Offshore Renminbi, Call		GSC		9/17/19	CNH	7.15		2,856
	520,000		3,723,434	CNH	OTC U.S. Dollar versus Chinese Offshore Renminbi, Call		HSBC		9/27/19	CNH	7.05		9,390
	210,000		1,503,695	CNH	OTC U.S. Dollar versus Chinese Offshore Renminbi, Call		BCLY		9/27/19	CNH	7.05		3,792
	405,000	$	405,000		OTC U.S. Dollar versus Chinese Offshore Renminbi, Put		GSC		9/17/19	CNH	6.98		220
	520,000		520,000		OTC U.S. Dollar versus Chinese Offshore Renminbi, Put		HSBC		9/27/19	CNH	6.90		181
	210,000		210,000		OTC U.S. Dollar versus Chinese Offshore Renminbi, Put		BCLY		9/27/19	CNH	6.90		73
	729,000		729,000		OTC U.S. Dollar versus Japanese Yen, Put		BOA		9/12/19	JPY	104.75		1,744
					Total Currency Options							$	26,632
Interest Rate Swaptions
Number of Contracts		Notional Amount†			Security Name	Counterparty		Expiration Date		Exercise Rate		Value
	5,000,000	$	106,588		OTC 3-Year Swaption, 3-Month USD-LIBOR, Put		DUB		8/19/20		1.456%	$	24,223
	3,300,000		70,348		OTC 3-Year Swaption, 3-Month USD-LIBOR, Put		BCLY		8/23/21		1.448%		25,720
					Total Interest Rate Swaptions							$	49,943
Options on Futures
Number of Contracts		Notional Amount†			Security Name	Counterparty		Expiration Date		Strike Price		Value
	10		1,365,800	EUR	Euro-Bobl December Futures, Call		UBS		11/22/19	EUR	136.50	$	6,100
	10		1,365,800	EUR	Euro-Bobl December Futures, Put		UBS		11/22/19	EUR	136.50		3,902
	10		1,365,800	EUR	Euro-Bobl November Futures, Call		SOG		10/25/19	EUR	136.50		5,440
	10		1,365,800	EUR	Euro-Bobl November Futures, Put		SOG		10/25/19	EUR	136.50		3,242
	16		2,817,760	EUR	Euro-Bund December Futures, Call		CSFB		11/22/19	EUR	178.50		11,254
	32		5,635,520	EUR	Euro-Bund November Futures, Put		CSFB		10/25/19	EUR	170.50		3,165
	9		1,584,990	EUR	Euro-Bund October Futures, Call		UBS		9/20/19	EUR	175.50		12,859
	9		1,584,990	EUR	Euro-Bund October Futures, Put		UBS		9/20/19	EUR	175.50		5,144
	29	$	3,476,602		U.S. Treasury 5-Year Note November Futures, Call		GSC		10/25/19	$	119.00		34,664
	1		119,883		U.S. Treasury 5-Year Note November Futures, Call		CSFB		10/25/19	$	119.00		1,195
	29		3,476,602		U.S. Treasury 5-Year Note November Futures, Put		GSC		10/25/19	$	117.00		680

See Notes to Financial Statements.

245

Schedules of Investments

(continued)

International Fixed Income Fund

Number of Contracts		Notional Amount†		Security Name	Counterparty		Expiration Date		Strike Price		Value
	1		$ 119,883	U.S. Treasury 5-Year Note November Futures, Put		CSFB		10/25/19	$	117.00	$	23
				Total Options on Futures							$	87,668
				TOTAL OPTIONS CONTRACTS WRITTEN (Premiums received — $161,471)							$	164,245

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

At August 31, 2019, International Fixed Income Fund held the following Reverse Repurchase Agreements:

Face Amounts†			Security	Value
			Bank of Montreal:
$	2,275,875		2.330% due 10/22/19	$	2,275,875
			BNP Paribas SA:
	636,460	EUR	(0.450)% due 10/17/19		699,502
	1,655,775	EUR	(0.380)% due 10/17/19		1,819,779
			Crédit Agricole Securities (USA) Inc.:
	1,303,500		2.250% due 9/3/19		1,303,500
			JP Morgan Securities LLC:
	1,724,000		2.300% due 9/26/19		1,724,000
			JP Morgan Securities PLC:
	1,017,710	EUR	(0.370)% due 10/17/19		1,118,514
			Scotia Capital (USA) Inc.:
	4,971,263		2.220% due 10/15/19		4,971,263
			Toronto Dominion Bank:
	2,484,977	GBP	0.850% due 11/7/19		3,023,472
			TOTAL REVERSE REPURCHASE AGREEMENTS (Proceeds — $17,012,127)	$	16,935,905

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

For the year ended August 31, 2019, the daily average borrowing and interest rate under the reverse repurchase agreements were $12,427,942 and 1.648%, respectively.

At August 31, 2019, 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)		Notional Amount		Market Value		Unrealized Appreciation/ (Depreciation)
Contracts to Buy:
90-Day Sterling September Futures		165		9/19	$	24,806,094	$	24,903,719	$	97,625
Australian Government 3-Year Bond September Futures		54		9/19		4,169,483		4,211,057		41,574
Australian Government 10-Year Bond September Futures		16		9/19		1,589,387		1,603,105		13,718
Euro-Bobl September Futures		27		9/19		3,963,174		4,042,536		79,362
Euro-BTP December Futures		73		12/19		11,477,720		11,516,308		38,588
Euro-Buxl 30-Year Bond December Futures		11		12/19		2,683,902		2,691,859		7,957
Euro-OAT September Futures		3		9/19		557,746		561,835		4,089
U.S. Treasury 5-Year Note December Futures		105		12/19		12,588,560		12,597,539		8,979
U.S. Treasury 10-Year Note December Futures		9		12/19		1,184,391		1,185,468		1,077
U.S. Treasury Ultra Long Bond December Futures		10		12/19		1,959,688		1,974,376		14,688
										307,657

See Notes to Financial Statements.

246

Schedules of Investments

(continued)

International Fixed Income Fund

Open Futures Contracts	Number of Contracts		Expiration Date (Month/Year)		Notional Amount		Market Value		Unrealized Appreciation/ (Depreciation)
Contracts to Sell:
Canada Government 10-Year Bond December Futures		13		12/19	$	1,412,655	$	1,416,744	$	(4,089	)
Euro-Bund December Futures		6		12/19		1,162,388		1,162,443		(55	)
Japan Government 10-Year Bond September Futures		1		9/19		1,458,320		1,461,050		(2,730	)
U.S. Treasury 2-Year Note December Futures		12		12/19		2,592,094		2,593,407		(1,313	)
United Kingdom Treasury 10-Year Gilt December Futures		6		12/19		982,277		980,270		2,007
										(6,180	)
Net Unrealized Appreciation on Open Exchange-Traded Futures Contracts									$	301,477

At August 31, 2019, International Fixed Income Fund had deposited cash of $670,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.

At August 31, 2019, 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		In Exchange For			Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
Contracts to Buy:
Argentine Peso		5,091,601		USD	90,357		BNP	$	85,559		9/3/19	$	(4,798	)
Argentine Peso		5,091,601		USD	87,185		GSC		85,559		9/3/19		(1,626	)
Argentine Peso		63,000		USD	1,000		HSBC		986		9/23/19		(14	)
Australian Dollar		285,000		USD	192,279		HSBC		191,919		9/3/19		(360	)
Australian Dollar		646,000		USD	438,597		GSC		435,016		9/4/19		(3,581	)
Australian Dollar		647,000		USD	437,194		JPM		435,689		9/4/19		(1,505	)
Australian Dollar		646,000		USD	434,923		SCB		435,389		10/3/19		466
Brazilian Real		362,884		USD	89,000		BNP		87,616		9/4/19		(1,384	)
Brazilian Real		10,678,437		USD	2,580,267		BOA		2,578,242		9/4/19		(2,025	)
Brazilian Real		8,915,716		USD	2,146,814		DUB		2,152,645		9/4/19		5,831
Brazilian Real		1,399,836		USD	372,000		GSC		337,982		9/4/19		(34,018	)
Brazilian Real		5,700,000		USD	1,494,651		GSC		1,364,091		1/3/20		(130,560	)
British Pound		7,932,189		USD	9,687,971		SOG		9,651,098		9/3/19		(36,873	)
British Pound		117,000		USD	142,176		BNP		142,354		9/4/19		178
British Pound		479,000		USD	579,112		BOA		582,800		9/4/19		3,688
Canadian Dollar		1,363,375		USD	1,028,604		GSC		1,024,132		9/3/19		(4,472	)
Canadian Dollar		3,770,625		USD	2,834,630		HSBC		2,832,394		9/3/19		(2,236	)
Canadian Dollar		2,095,000		USD	1,577,696		UBS		1,573,709		9/3/19		(3,987	)
Canadian Dollar		390,000		USD	293,681		BNP		292,958		9/4/19		(723	)
Canadian Dollar		192,000		USD	145,028		BNP		144,225		9/4/19		(803	)
Canadian Dollar		387,000		USD	291,688		SCB		290,704		9/4/19		(984	)
Chilean Peso		212,456,400		USD	313,358		GSC		294,502		9/25/19		(18,856	)
Chinese Offshore Renminbi		806,384		USD	116,375		DUB		112,563		9/18/19		(3,812	)
Chinese Offshore Renminbi		2,746,400		USD	395,473		HSBC		383,368		9/18/19		(12,105	)
Chinese Offshore Renminbi		5,365,967		USD	782,325		HSBC		749,030		9/18/19		(33,295	)
Chinese Offshore Renminbi		11,962,016		USD	1,671,023		RBS		1,669,766		9/18/19		(1,257	)
Chinese Offshore Renminbi		1,960,147		USD	283,470		SCB		273,615		9/18/19		(9,855	)
Chinese Onshore Renminbi		4,754,830		USD	685,549		BNP		664,257		9/18/19		(21,292	)
Colombian Peso		1,761,336,790		USD	521,522		JPM		511,215		9/25/19		(10,307	)
Colombian Peso		615,795,780		USD	191,714		BNP		178,542		10/15/19		(13,172	)
Danish Krone		2,620,000		USD	402,562		HSBC		387,043		10/1/19		(15,519	)

See Notes to Financial Statements.

247

Schedules of Investments

(continued)

International Fixed Income Fund

Foreign Currency	Local Currency		In Exchange For			Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
Contracts to Buy: (continued)
Euro		250,000		USD	278,675		BNP	$	274,763		9/3/19	$	(3,912	)
Euro		267,000		USD	296,178		BNP		293,446		9/3/19		(2,732	)
Euro		369,000		USD	409,487		BNP		405,549		9/3/19		(3,938	)
Euro		579,000		USD	648,643		BOA		636,350		9/3/19		(12,293	)
Euro		101,000		USD	113,362		GSC		111,004		9/3/19		(2,358	)
Euro		75,000		USD	83,431		GSC		82,429		9/3/19		(1,002	)
Euro		451,000		USD	503,577		JPM		495,672		9/3/19		(7,905	)
Euro		1,017,000		USD	1,125,141		RBS		1,117,734		9/3/19		(7,407	)
Euro		98,000		USD	109,743		RBS		107,707		9/3/19		(2,036	)
Euro		394,000		USD	437,606		BOA		433,025		9/4/19		(4,581	)
Euro		649,391		USD	721,834		SCB		713,713		9/4/19		(8,121	)
Hong Kong Dollar		6,386,000		USD	814,437		BNP		814,497		9/18/19		60
Hong Kong Dollar		8,655,161		USD	1,103,693		BNP		1,103,915		9/18/19		222
Hong Kong Dollar		5,074,490		USD	649,518		JPM		647,052		12/16/19		(2,466	)
Hong Kong Dollar		1,602,000		USD	205,027		JPM		204,272		12/16/19		(755	)
Hong Kong Dollar		1,669,000		USD	213,612		SCB		212,815		12/16/19		(797	)
Indian Rupee		5,152,000		USD	70,000		HSBC		71,742		10/18/19		1,742
Indian Rupee		31,565,820		USD	429,000		HSBC		439,559		10/18/19		10,559
Indian Rupee		30,384,798		USD	427,353		HSBC		423,113		10/18/19		(4,240	)
Indian Rupee		89,156,700		USD	1,215,000		HSBC		1,213,602		4/27/20		(1,398	)
Indian Rupee		88,825,230		USD	1,209,000		BNP		1,208,079		5/4/20		(921	)
Indonesian Rupiah		8,134,160,180		USD	570,898		SCB		573,309		9/6/19		2,411
Indonesian Rupiah		2,844,286,000		USD	197,000		BCLY		200,206		9/18/19		3,206
Indonesian Rupiah		331,982,000		USD	23,000		BNP		23,368		9/18/19		368
Indonesian Rupiah		2,916,880,000		USD	202,000		HSBC		205,316		9/18/19		3,316
Indonesian Rupiah		419,137,000		USD	29,000		HSBC		29,503		9/18/19		503
Indonesian Rupiah		1,341,804,000		USD	93,000		JPM		94,448		9/18/19		1,448
Indonesian Rupiah		14,440,000		USD	1,000		JPM		1,016		9/18/19		16
Indonesian Rupiah		7,826,970,932		USD	534,191		SCB		550,932		9/18/19		16,741
Indonesian Rupiah		7,561,339,752		USD	520,323		SCB		526,662		12/18/19		6,339
Japanese Yen		69,800,000		USD	658,097		HSBC		657,096		9/3/19		(1,001	)
Japanese Yen		16,100,000		USD	152,251		HSBC		151,565		9/3/19		(686	)
Japanese Yen		75,000,000		USD	708,491		HSBC		706,048		9/3/19		(2,443	)
Japanese Yen		2,169,015,991		USD	20,514,087		UBS		20,419,072		9/3/19		(95,015	)
Japanese Yen		15,504,000		USD	145,744		BNP		145,954		9/4/19		210
Japanese Yen		394,000		USD	3,718		BNP		3,709		9/4/19		(9	)
Japanese Yen		47,585,000		USD	449,208		JPM		447,964		9/4/19		(1,244	)
Japanese Yen		310,000,000		USD	2,882,249		BNP		2,921,053		9/17/19		38,804
Korean Won		375,941,500		USD	319,000		BOA		310,715		9/18/19		(8,285	)
Korean Won		391,197,403		USD	332,000		GSC		323,324		9/18/19		(8,676	)
Korean Won		49,547,400		USD	42,000		HSBC		40,951		9/18/19		(1,049	)
Mexican Peso		13,616,000		USD	704,937		GSC		677,518		9/20/19		(27,419	)
New Taiwan Dollar		22,375,300		USD	715,552		HSBC		714,309		9/6/19		(1,243	)
New Taiwan Dollar		6,266,175		USD	201,000		HSBC		200,894		11/21/19		(106	)
New Taiwan Dollar		6,012,060		USD	194,000		SCB		192,747		11/21/19		(1,253	)
New Taiwan Dollar		1,339,450		USD	43,000		SCB		42,943		11/21/19		(57	)
New Taiwan Dollar		7,581,114		USD	243,000		SCB		243,051		11/21/19		51
New Zealand Dollar		224,000		USD	143,440		BNP		141,143		9/4/19		(2,297	)
New Zealand Dollar		10,000		USD	6,537		BOA		6,301		9/4/19		(236	)
New Zealand Dollar		686,000		USD	440,788		HSBC		432,249		9/4/19		(8,539	)
New Zealand Dollar		436,000		USD	284,280		SCB		274,723		9/4/19		(9,557	)
New Zealand Dollar		683,000		USD	431,212		SCB		430,722		10/3/19		(490	)

See Notes to Financial Statements.

248

Schedules of Investments

(continued)

International Fixed Income Fund

Foreign Currency	Local Currency		In Exchange For			Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
Contracts to Buy: (continued)
Norwegian Krone		5,865,000		USD	673,478		BNP	$	643,607		9/3/19	$	(29,871	)
Norwegian Krone		373,000		USD	41,782		HSBC		40,932		9/3/19		(850	)
Norwegian Krone		1,260,000		USD	141,288		GSC		138,269		9/4/19		(3,019	)
Norwegian Krone		40,000		USD	4,484		HSBC		4,389		9/4/19		(95	)
Peruvian Sol		43,849		USD	13,000		BNP		12,921		9/3/19		(79	)
Peruvian Sol		1,436,812		USD	425,344		BNP		423,389		9/3/19		(1,955	)
Peruvian Sol		1,068,098		USD	315,287		JPM		314,739		9/3/19		(548	)
Peruvian Sol		412,563		USD	121,782		RBS		121,570		9/3/19		(212	)
Peruvian Sol		206,485		USD	61,000		BNP		60,835		9/9/19		(165	)
Peruvian Sol		529,308		USD	156,000		HSBC		155,945		9/9/19		(55	)
Peruvian Sol		915,697		USD	272,261		HSBC		269,272		10/15/19		(2,989	)
Peruvian Sol		502,200		USD	151,365		DUB		147,599		10/28/19		(3,766	)
Romanian New Leu		1,349,000		USD	316,464		BNP		313,430		10/22/19		(3,034	)
Romanian New Leu		1,356,000		USD	316,177		RBS		315,056		10/22/19		(1,121	)
Russian Ruble		12,287,000		USD	187,109		SCB		183,902		9/16/19		(3,207	)
Russian Ruble		23,425,265		USD	354,835		SOG		350,611		9/16/19		(4,224	)
Russian Ruble		14,492,042		USD	219,879		GSC		215,136		11/15/19		(4,743	)
Singapore Dollar		945,978		USD	699,455		HSBC		681,841		9/18/19		(17,614	)
South African Rand		10,060,173		USD	704,377		BNP		660,343		10/7/19		(44,034	)
South African Rand		4,851,000		USD	332,736		BOA		318,375		10/8/19		(14,361	)
South African Rand		5,548,000		USD	359,379		JPM		364,120		10/8/19		4,741
Swedish Krona		2,331,487		USD	240,878		SCB		237,562		9/3/19		(3,316	)
Swedish Krona		2,776,000		USD	287,441		GSC		282,855		9/4/19		(4,586	)
Swedish Krona		5,497,921		USD	571,108		GSC		560,201		9/4/19		(10,907	)
Swedish Krona		1,373,000		USD	143,676		SCB		139,899		9/4/19		(3,777	)
Swedish Krona		5,614,921		USD	573,324		UBS		573,258		10/3/19		(66	)
Swiss Franc		576,000		USD	589,198		BOA		581,936		9/4/19		(7,262	)
Swiss Franc		1,000		USD	1,033		BOA		1,011		9/4/19		(22	)
Swiss Franc		283,000		USD	288,941		SCB		285,916		9/4/19		(3,025	)
													(673,889	)
Contracts to Sell:
Argentine Peso		5,091,601		USD	87,185		BNP		85,559		9/3/19		1,626
Argentine Peso		5,091,601		USD	108,413		GSC		85,559		9/3/19		22,854
Argentine Peso		63,000		USD	1,032		HSBC		986		9/23/19		46
Australian Dollar		285,000		USD	196,996		BNP		191,918		9/3/19		5,078
Australian Dollar		275,000		USD	185,523		BOA		185,185		9/3/19		338
Australian Dollar		215,000		USD	145,834		HSBC		144,781		9/4/19		1,053
Australian Dollar		432,000		USD	292,749		JPM		290,909		9/4/19		1,840
Australian Dollar		285,000		USD	192,450		HSBC		192,078		10/2/19		372
Australian Dollar		275,000		USD	185,608		SCB		185,338		10/2/19		270
Brazilian Real		362,884		USD	87,685		BNP		87,616		9/4/19		69
Brazilian Real		10,678,437		USD	2,846,824		BOA		2,578,243		9/4/19		268,581
Brazilian Real		8,915,716		USD	2,154,335		DUB		2,152,644		9/4/19		1,691
Brazilian Real		1,399,836		USD	338,247		GSC		337,982		9/4/19		265
Brazilian Real		1,553,359		USD	373,000		BNP		374,247		10/2/19		(1,247	)
Brazilian Real		8,915,716		USD	2,142,377		DUB		2,148,043		10/2/19		(5,666	)
Brazilian Real		1,657,406		USD	399,000		GSC		399,315		10/2/19		(315	)
Brazilian Real		5,700,000		USD	1,438,123		GSC		1,364,090		1/3/20		74,033
Brazilian Real		5,900,000		USD	1,485,136		JPM		1,402,565		4/2/20		82,571
British Pound		455,000		USD	556,112		BCLY		553,598		9/3/19		2,514
British Pound		7,321,189		USD	8,927,751		BOA		8,907,694		9/3/19		20,057
British Pound		156,000		USD	189,184		BOA		189,805		9/3/19		(621	)

See Notes to Financial Statements.

249

Schedules of Investments

(continued)

International Fixed Income Fund

Foreign Currency	Local Currency		In Exchange For			Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
Contracts to Sell: (continued)
British Pound		243,000		USD	295,225		BOA	$	295,659		9/4/19	$	(434	)
British Pound		113,000		USD	138,263		JPM		137,487		9/4/19		776
British Pound		596,000		USD	723,877		UBS		725,153		9/4/19		(1,276	)
British Pound		7,932,189		USD	9,700,476		SOG		9,663,184		10/2/19		37,292
British Pound		356,000		USD	434,703		JPM		433,708		10/3/19		995
Canadian Dollar		2,066,000		USD	1,561,250		BOA		1,551,925		9/3/19		9,325
Canadian Dollar		5,163,000		USD	3,924,681		SCB		3,878,310		9/3/19		46,371
Canadian Dollar		192,000		USD	145,428		BNP		144,225		9/4/19		1,203
Canadian Dollar		777,000		USD	585,671		GSC		583,662		9/4/19		2,009
Canadian Dollar		3,770,625		USD	2,835,969		HSBC		2,833,676		10/2/19		2,293
Canadian Dollar		387,000		USD	291,826		SCB		290,840		10/3/19		986
Chilean Peso		89,799,500		USD	126,212		BOA		124,478		9/25/19		1,734
Chilean Peso		63,973,200		USD	89,000		JPM		88,678		9/25/19		322
Chilean Peso		60,244,800		USD	84,000		RBS		83,510		9/25/19		490
Chinese Offshore Renminbi		2,684,000		USD	379,654		BNP		374,657		9/18/19		4,997
Chinese Offshore Renminbi		14,575,148		USD	2,097,445		HSBC		2,034,530		9/18/19		62,915
Chinese Offshore Renminbi		742,000		USD	106,832		HSBC		103,575		9/18/19		3,257
Chinese Offshore Renminbi		588,000		USD	84,784		SCB		82,078		9/18/19		2,706
Chinese Offshore Renminbi		9,006,596		USD	1,308,338		SCB		1,257,222		9/18/19		51,116
Chinese Offshore Renminbi		1,545,000		USD	218,948		BNP		215,656		9/19/19		3,292
Chinese Offshore Renminbi		23,837,000		USD	3,457,394		GSC		3,327,259		9/19/19		130,135
Chinese Offshore Renminbi		11,962,016		USD	1,666,646		RBS		1,665,200		12/18/19		1,446
Chinese Offshore Renminbi		1,261,179		USD	175,054		DUB		175,181		3/18/20		(127	)
Chinese Offshore Renminbi		3,646,751		USD	505,580		HSBC		506,543		3/18/20		(963	)
Colombian Peso		66,329,000		USD	19,000		BCLY		19,251		9/25/19		(251	)
Colombian Peso		3,487,000		USD	1,000		GSC		1,012		9/25/19		(12	)
Colombian Peso		386,724,000		USD	111,000		RBS		112,244		9/25/19		(1,244	)
Danish Krone		42,974,383		USD	6,596,586		BOA		6,348,456		10/1/19		248,130
Euro		464,000		USD	513,362		BCLY		509,959		9/3/19		3,403
Euro		344,000		USD	385,192		BNP		378,073		9/3/19		7,119
Euro		890,000		USD	984,522		BOA		978,154		9/3/19		6,368
Euro		428,000		USD	480,545		GSC		470,393		9/3/19		10,152
Euro		24,790,669		USD	27,689,789		HSBC		27,246,176		9/3/19		443,613
Euro		395,000		USD	439,205		JPM		434,124		9/3/19		5,081
Euro		4,146,095		USD	4,632,602		UBS		4,556,764		9/3/19		75,838
Euro		393,000		USD	441,455		BNP		431,927		9/4/19		9,528
Euro		320,000		USD	356,375		BNP		351,696		9/4/19		4,679
Euro		656,000		USD	729,602		GSC		720,977		9/4/19		8,625
Euro		198,000		USD	221,905		GSC		217,612		9/4/19		4,293
Euro		28,250,765		USD	31,372,700		BNP		31,117,872		10/2/19		254,828
Euro		523,609		USD	579,541		JPM		576,795		10/3/19		2,746
Euro		55,394		RON	264,467		GSC		61,113		10/22/19		333
Euro		381,989		RON	1,858,000		UBS		426,011		3/16/20		4,653
Euro		89,000		TRY	604,049		HSBC		97,823		9/5/19		5,798
Hong Kong Dollar		1,255,000		USD	160,473		BNP		160,068		9/18/19		405
Hong Kong Dollar		2,219,000		USD	283,683		HSBC		283,020		9/18/19		663
Hong Kong Dollar		3,038,000		USD	388,297		HSBC		387,479		9/18/19		818
Hong Kong Dollar		2,361,000		USD	301,883		SCB		301,131		9/18/19		752
Hong Kong Dollar		3,084,000		USD	394,182		SCB		393,346		9/18/19		836
Hong Kong Dollar		3,084,161		USD	394,270		UBS		393,367		9/18/19		903
Hong Kong Dollar		2,248,000		USD	287,412		BCLY		286,645		12/16/19		767
Hong Kong Dollar		3,912,490		USD	500,485		HSBC		498,885		12/16/19		1,600

See Notes to Financial Statements.

250

Schedules of Investments

(continued)

International Fixed Income Fund

Foreign Currency	Local Currency		In Exchange For			Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
Contracts to Sell: (continued)
Hong Kong Dollar		2,185,000		USD	279,324		HSBC	$	278,611		12/16/19	$	713
Hong Kong Dollar		691,460		USD	88,000		BNP		88,009		9/3/20		(9	)
Hong Kong Dollar		6,986,651		USD	889,000		SCB		889,264		9/3/20		(264	)
Indian Rupee		35,570,323		USD	505,548		BNP		495,323		10/18/19		10,225
Indian Rupee		20,507,895		USD	279,000		HSBC		285,576		10/18/19		(6,576	)
Indian Rupee		11,024,400		USD	150,000		HSBC		153,516		10/18/19		(3,516	)
Indian Rupee		89,156,700		USD	1,228,985		BCLY		1,213,602		4/27/20		15,383
Indian Rupee		44,451,230		USD	618,642		BNP		604,565		5/4/20		14,077
Indian Rupee		44,374,000		USD	615,792		JPM		603,514		5/4/20		12,278
Indonesian Rupiah		1,243,984,290		USD	87,000		BNP		87,678		9/6/19		(678	)
Indonesian Rupiah		6,890,175,890		USD	481,000		BNP		485,632		9/6/19		(4,632	)
Indonesian Rupiah		7,561,339,752		USD	528,322		SCB		532,235		9/18/19		(3,913	)
Indonesian Rupiah		8,134,160,180		USD	569,699		SCB		572,555		9/18/19		(2,856	)
Indonesian Rupiah		2,219,135,000		USD	155,000		JPM		156,047		9/27/19		(1,047	)
Japanese Yen		2,329,915,991		USD	21,493,214		HSBC		21,933,782		9/3/19		(440,568	)
Japanese Yen		45,970,000		USD	437,228		BOA		432,761		9/4/19		4,467
Japanese Yen		32,436,000		USD	304,800		HSBC		305,352		9/4/19		(552	)
Japanese Yen		31,398,000		USD	294,172		SCB		295,581		9/4/19		(1,409	)
Japanese Yen		310,000,000		USD	2,881,844		GSC		2,921,052		9/17/19		(39,208	)
Japanese Yen		2,169,015,991		USD	20,559,393		UBS		20,461,841		10/2/19		97,552
Japanese Yen		46,321,000		USD	437,377		RBS		437,012		10/3/19		365
Korean Won		39,195,200		USD	34,000		GSC		32,395		9/18/19		1,605
Korean Won		424,043,100		USD	360,066		SCB		350,470		9/18/19		9,596
Korean Won		355,278,000		USD	308,000		UBS		293,637		9/18/19		14,363
Korean Won		131,382,000		USD	108,000		BOA		108,615		9/27/19		(615	)
Korean Won		132,075,300		USD	109,000		HSBC		109,189		9/27/19		(189	)
Malaysian Ringgit		800,000		USD	194,269		GSC		189,994		11/4/19		4,275
Malaysian Ringgit		1,100,000		USD	266,893		GSC		261,242		11/4/19		5,651
Malaysian Ringgit		800,000		USD	194,245		UBS		189,994		11/4/19		4,251
Malaysian Ringgit		1,100,000		USD	267,088		UBS		261,243		11/4/19		5,845
Mexican Peso		366,052		USD	18,598		BCLY		18,215		9/20/19		383
Mexican Peso		1,837,000		USD	90,923		HSBC		91,407		9/20/19		(484	)
New Taiwan Dollar		17,153,770		USD	548,000		GSC		547,616		9/6/19		384
New Taiwan Dollar		5,221,530		USD	166,000		GSC		166,692		9/6/19		(692	)
New Taiwan Dollar		2,766,280		USD	88,000		BOA		88,371		9/18/19		(371	)
New Taiwan Dollar		3,870,816		USD	122,000		GSC		123,656		9/18/19		(1,656	)
New Taiwan Dollar		22,375,300		USD	716,239		HSBC		714,797		9/18/19		1,442
New Taiwan Dollar		12,553,200		USD	396,000		JPM		401,022		9/18/19		(5,022	)
New Taiwan Dollar		3,743,550		USD	118,000		JPM		119,591		9/18/19		(1,591	)
New Taiwan Dollar		3,039,398		USD	97,000		BOA		97,146		9/27/19		(146	)
New Taiwan Dollar		4,236,975		USD	135,000		JPM		135,423		9/27/19		(423	)
New Taiwan Dollar		9,057,260		USD	289,000		BNP		289,539		9/30/19		(539	)
New Taiwan Dollar		6,452,388		USD	206,000		BNP		206,268		9/30/19		(268	)
New Taiwan Dollar		4,961,699		USD	158,506		HSBC		159,073		11/21/19		(567	)
New Taiwan Dollar		10,813,670		USD	345,507		HSBC		346,687		11/21/19		(1,180	)
New Taiwan Dollar		1,305,000		USD	41,669		HSBC		41,838		11/21/19		(169	)
New Taiwan Dollar		2,020,000		USD	64,372		JPM		64,761		11/21/19		(389	)
New Taiwan Dollar		2,533,000		USD	80,965		JPM		81,208		11/21/19		(243	)
New Zealand Dollar		520,000		USD	341,589		BNP		327,652		9/3/19		13,937
New Zealand Dollar		610,000		USD	389,036		GSC		384,361		9/3/19		4,675
New Zealand Dollar		673,000		USD	434,208		UBS		424,057		9/4/19		10,151
New Zealand Dollar		1,130,000		USD	712,613		HSBC		712,595		10/2/19		18

See Notes to Financial Statements.

251

Schedules of Investments

(continued)

International Fixed Income Fund

Foreign Currency	Local Currency		In Exchange For			Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
Contracts to Sell: (continued)
Norwegian Krone		1,485,000		USD	166,890		BOA	$	162,960		9/3/19	$	3,930
Norwegian Krone		2,360,000		USD	265,000		BOA		258,980		9/3/19		6,020
Norwegian Krone		2,350,000		USD	261,610		UBS		257,881		9/3/19		3,729
Norwegian Krone		1,306,000		USD	146,650		BOA		143,317		9/4/19		3,333
Peruvian Sol		1,480,661		USD	437,070		BNP		436,310		9/3/19		760
Peruvian Sol		1,068,098		USD	324,000		JPM		314,739		9/3/19		9,261
Peruvian Sol		412,563		USD	125,000		RBS		121,571		9/3/19		3,429
Peruvian Sol		797,835		USD	241,351		BNP		234,957		9/17/19		6,394
Peruvian Sol		1,436,812		USD	424,904		BNP		423,056		9/20/19		1,848
Peruvian Sol		915,697		USD	274,745		JPM		269,272		10/15/19		5,473
Polish Zloty		283,741		USD	74,582		HSBC		71,295		9/11/19		3,287
Romanian New Leu		2,969,467		EUR	620,643		JPM		689,934		10/22/19		(5,212	)
Romanian New Leu		751,164		EUR	151,269		BNP		174,111		3/16/20		(5,409	)
Romanian New Leu		861,670		EUR	173,731		BOA		199,726		3/16/20		(5,973	)
Romanian New Leu		264,467		EUR	54,522		GSC		61,301		3/16/20		(495	)
Singapore Dollar		997,000		USD	721,721		BNP		718,617		9/18/19		3,104
Singapore Dollar		951,000		USD	694,769		BOA		685,461		9/18/19		9,308
Singapore Dollar		575,000		USD	416,705		JPM		414,448		9/18/19		2,257
Singapore Dollar		428,000		USD	309,506		JPM		308,494		9/18/19		1,012
South African Rand		5,531,000		USD	360,562		BNP		363,004		10/8/19		(2,442	)
South African Rand		5,044,000		USD	356,782		BNP		331,042		10/8/19		25,740
South African Rand		5,320,000		USD	355,134		GSC		349,155		10/8/19		5,979
South African Rand		5,113,000		USD	363,445		JPM		335,570		10/8/19		27,875
Swedish Krona		2,331,487		USD	244,750		BNP		237,563		9/3/19		7,187
Swedish Krona		2,688,000		USD	279,741		GSC		273,889		9/4/19		5,852
Swedish Krona		1,344,000		USD	139,194		GSC		136,944		9/4/19		2,250
Swedish Krona		2,331,487		USD	241,353		SCB		238,018		10/2/19		3,335
Swiss Franc		574,000		USD	583,965		GSC		579,915		9/4/19		4,050
Swiss Franc		152,000		USD	155,171		JPM		153,566		9/4/19		1,605
Swiss Franc		278,000		USD	286,028		UBS		280,865		9/4/19		5,163
Swiss Franc		144,000		USD	146,174		BOA		145,874		10/3/19		300
Turkish Lira		605,645		EUR	89,000		BNP		103,895		9/5/19		(6,072	)
													1,775,435
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts												$	1,101,546

At August 31, 2019, International Fixed Income Fund held the following OTC Total Return Swap Contracts:

Fund Pay Floating Rate Index	Fund Receive Floating Rate Index	Financing Rate		Payment Frequency		Maturity Date		Counterparty		Notional Amount			Market Value			Upfront Payment Paid		Unrealized Depreciation
iBoxx Investment Grade Index	3-Month USD-LIBOR		2.837%		PAM*		9/20/19		GSC		USD	400,000	$	(45,215	)	$	29	$	(45,244	)
iBoxx Investment Grade Index	3-Month USD-LIBOR		2.881%		PAM*		9/20/19		JPM		USD	500,000		(48,022	)		585		(48,607	)
iBoxx Investment Grade Index	3-Month USD-LIBOR		2.962%		PAM*		3/20/20		BCLY		USD	900,000		(59,351	)		5,463		(64,814	)
													$	(152,588	)	$	6,077	$	(158,665	)

* PAM — paid at maturity.

See Notes to Financial Statements.

252

Schedules of Investments

(continued)

International Fixed Income Fund

At August 31, 2019, International Fixed Income Fund held the following OTC Interest Rate Swap Contracts:

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date		Counterparty		Notional Amount		Market Value		Upfront Payment Paid		Unrealized Appreciation
Pay	Israeli Shekel 3-Month Rate		1.775%		4/25/29		JPM	ILS	1,000,000	$	23,991	$	217	$	23,774
Pay	Israeli Shekel 3-Month Rate		1.779%		4/30/29		GSC	ILS	800,000		19,228		—		19,228
Pay	Israeli Shekel 3-Month Rate		1.780%		4/22/29		GSC	ILS	500,000		12,084		—		12,084
Pay	Israeli Shekel 3-Month Rate		1.786%		5/1/29		BNP	ILS	500,000		12,106		—		12,106
										$	67,409	$	217	$	67,192

At August 31, 2019, International Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date		Payment Frequency			Notional Amount		Market Value			Upfront Payment Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Receive	BRL-CDI-Compounded		0.000%		1/2/20		PAM	*	BRL	100,000	$	(94	)	$	(1	)	$	(93	)
Receive	BRL-CDI-Compounded		0.000%		7/1/21		PAM	*	BRL	14,900,000		(97,029	)		(451	)		(96,578	)
Pay	U.S. Federal Funds Effective Rate Index		1.860%		10/30/19		PAM	*	USD	190,000,000		(589	)		—			(589	)
Receive	U.S. Federal Funds Effective Rate Index		2.684%		4/30/25		12-Month		USD	1,000,000		(91,661	)		(32	)		(91,629	)
Receive	U.S. Federal Funds Effective Rate Index		2.696%		4/30/25		12-Month		USD	300,000		(27,706	)		—			(27,706	)
Receive	U.S. Federal Funds Effective Rate Index		2.710%		4/30/25		12-Month		USD	300,000		(27,953	)		—			(27,953	)
Pay	28-Day MXN TIIE Banxico		5.825%		1/12/23		28-Day		MXN	6,800,000		(10,655	)		2,273			(12,928	)
Pay	28-Day MXN TIIE Banxico		7.317%		3/23/22		28-Day		MXN	2,100,000		1,014			—			1,014
Pay	28-Day MXN TIIE Banxico		7.740%		2/22/27		28-Day		MXN	15,800,000		44,925			(2,879	)		47,804
Pay	3-Month Canadian Bank Bill		1.900%		12/18/29		6-Month		CAD	600,000		14,181			12,610			1,571
Pay	3-Month Canadian Bank Bill		2.500%		6/19/29		6-Month		CAD	2,500,000		164,227			32,961			131,266
Pay	3-Month GBP-LIBOR		1.500%		12/18/20		PAM	*	GBP	100,000		1,109			283			826
Pay	3-Month SEK-STIBOR		0.500%		6/19/24		12-Month		SEK	4,800,000		16,469			10,994			5,475
Pay	3-Month USD-LIBOR		0.000%		12/18/29		6-Month		USD	200,000		2,406			2,185			221
Receive	3-Month USD-LIBOR		1.298%		8/25/24		6-Month		USD	1,400,000		(4,490	)		—			(4,490	)
Receive	3-Month USD-LIBOR		1.305%		8/21/23		6-Month		USD	2,000,000		(6,562	)		—			(6,562	)
Pay	3-Month USD-LIBOR		1.500%		12/18/29		6-Month		USD	300,000		3,594			3,208			386
Receive	3-Month USD-LIBOR		1.625%		1/6/30		6-Month		USD	4,800,000		(115,161	)		(84,779	)		(30,382	)
Receive	3-Month USD-LIBOR		1.625%		1/16/50		6-Month		USD	100,000		(2,033	)		(1,423	)		(610	)
Receive	3-Month USD-LIBOR		1.625%		2/3/50		6-Month		USD	200,000		(4,089	)		(14	)		(4,075	)
Pay	3-Month USD-LIBOR		1.653%		8/25/51		6-Month		USD	150,000		3,650			—			3,650
Pay	3-Month USD-LIBOR		1.678%		8/21/50		3-Month		USD	250,000		8,412			—			8,412
Receive	3-Month USD-LIBOR		1.750%		6/20/20		6-Month		USD	27,400,000		68,726			513,968			(445,242	)
Pay	3-Month USD-LIBOR		1.750%		12/18/49		6-Month		USD	600,000		30,541			19,482			11,059
Receive	3-Month USD-LIBOR		2.000%		12/20/19		6-Month		USD	8,200,000		11,444			(573	)		12,017
Receive	3-Month USD-LIBOR		2.000%		1/15/30		6-Month		USD	2,600,000		(154,453	)		(12,276	)		(142,177	)
Receive	3-Month USD-LIBOR		2.250%		12/16/22		6-Month		USD	1,300,000		(35,768	)		(7,312	)		(28,456	)
Receive	3-Month USD-LIBOR		2.250%		6/20/28		6-Month		USD	4,000,000		(294,992	)		227,274			(522,266	)
Receive	3-Month USD-LIBOR		2.250%		12/11/49		6-Month		USD	900,000		(157,350	)		(3,337	)		(154,013	)
Receive	3-Month USD-LIBOR		2.250%		3/12/50		6-Month		USD	500,000		(87,587	)		(1,246	)		(86,341	)
Receive	3-Month USD-LIBOR		2.500%		12/18/21		6-Month		USD	3,200,000		(71,388	)		(44,487	)		(26,901	)
Receive	3-Month USD-LIBOR		2.500%		12/18/24		6-Month		USD	6,000,000		(356,897	)		(326,249	)		(30,648	)
Receive	3-Month USD-LIBOR		2.500%		6/20/48		6-Month		USD	700,000		(159,912	)		73,930			(233,842	)
Pay	3-Month USD-LIBOR		2.750%		12/19/20		6-Month		USD	3,700,000		52,885			(11,349	)		64,234
Receive	3-Month USD-LIBOR		2.953%		11/12/49		6-Month		USD	600,000		(209,419	)		—			(209,419	)
Receive	3-Month USD-LIBOR		2.955%		11/12/49		6-Month		USD	600,000		(209,791	)		—			(209,791	)
Receive	3-Month USD-LIBOR		3.000%		6/19/24		6-Month		USD	1,300,000		(102,808	)		(67,527	)		(35,281	)
Pay	3-Month ZAR-SAJIBOR		7.250%		6/20/23		3-Month		ZAR	14,000,000		17,538			(14,709	)		32,247
Pay	3-Month ZAR-SAJIBOR		8.500%		3/15/27		3-Month		ZAR	5,200,000		26,266			(349	)		26,615
Pay	3-Month ZAR-SAJIBOR		8.750%		3/16/21		3-Month		ZAR	15,700,000		37,319			1,570			35,749

See Notes to Financial Statements.

253

Schedules of Investments

(continued)

International Fixed Income Fund

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date		Payment Frequency		Notional Amount		Market Value			Upfront Payment Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Receive	6-Month EURIBOR		0.000%		9/18/21		12-Month	EUR	3,700,000	$	(47,498	)	$	(23,633	)	$	(23,865	)
Receive	6-Month EURIBOR		0.000%		12/18/21		12-Month	EUR	8,800,000		(117,607	)		(73,550	)		(44,057	)
Pay	6-Month EURIBOR		0.000%		12/18/24		12-Month	EUR	4,200,000		127,038			27,330			99,708
Pay	6-Month EURIBOR		0.250%		9/18/24		12-Month	EUR	15,600,000		693,231			64,932			628,299
Pay	6-Month EURIBOR		0.750%		9/18/29		12-Month	EUR	200,000		23,676			21,591			2,085
Pay	6-Month EURIBOR		1.000%		3/8/29		12-Month	EUR	800,000		51,108			(3,819	)		54,927
Receive	6-Month EURIBOR		1.250%		9/18/49		12-Month	EUR	650,000		(260,458	)		(125,252	)		(135,206	)
Pay	6-Month EURIBOR		1.310%		6/19/29		12-Month	EUR	5,400,000		430,885			175,769			255,116
Pay	6-Month GBP-LIBOR		1.000%		9/18/21		6-Month	GBP	1,400,000		12,297			(5,024	)		17,321
Pay	6-Month GBP-LIBOR		1.000%		12/18/24		6-Month	GBP	6,500,000		166,329			26,421			139,908
Receive	6-Month GBP-LIBOR		1.000%		12/18/29		6-Month	GBP	800,000		(38,351	)		(24,270	)		(14,081	)
Pay	6-Month GBP-LIBOR		1.250%		12/18/49		6-Month	GBP	300,000		61,765			6,366			55,399
Pay	6-Month GBP-LIBOR		1.500%		9/18/49		6-Month	GBP	400,000		116,682			(6,418	)		123,100
Pay	6-Month JPY-LIBOR		0.200%		6/19/29		6-Month	JPY	250,000,000		76,163			41,950			34,213
Receive	6-Month JPY-LIBOR		0.400%		6/19/39		6-Month	JPY	80,000,000		(56,374	)		1,430			(57,804	)
Pay	6-Month JPY-LIBOR		0.500%		6/19/49		6-Month	JPY	90,000,000		104,753			8,681			96,072
										$	(380,042	)	$	434,249		$	(814,291	)

* PAM — paid at maturity.

Fund Pay Floating Rate Index	Fund Receive Floating Rate Index	Maturity Date		Notional Amount		Market Value		Upfront Payment (Received)			Unrealized Appreciation
1-Month USD-LIBOR + 0.070%	3-Month USD-LIBOR		6/12/22	USD	1,400,000	$	2,206	$	—		$	2,206
1-Month USD-LIBOR + 0.073%	3-Month USD-LIBOR		4/27/23	USD	4,600,000		731		—			731
1-Month USD-LIBOR + 0.084%	3-Month USD-LIBOR		6/12/22	USD	1,900,000		2,208		—			2,208
1-Month USD-LIBOR + 0.084%	3-Month USD-LIBOR		4/26/22	USD	6,700,000		659		—			659
1-Month USD-LIBOR + 0.085%	3-Month USD-LIBOR		6/19/22	USD	7,400,000		8,766		(555	)		9,321
1-Month USD-LIBOR + 0.086%	3-Month USD-LIBOR		4/12/23	USD	3,100,000		318		—			318
1-Month USD-LIBOR + 0.088%	3-Month USD-LIBOR		5/23/29	USD	1,000,000		160		—			160
1-Month USD-LIBOR + 0.091%	3-Month USD-LIBOR		3/18/22	USD	32,200,000		1,165		(854	)		2,019
						$	16,213	$	(1,409	)	$	17,622

See Notes to Financial Statements.

254

Schedules of Investments

(continued)

International Fixed Income Fund

At August 31, 2019, 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		Payment Frequency		Counterparty		Implied Credit Spread at 8/31/19 (2)			Notional Amount (3)			Market Value			Upfront Payment Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
China Government International, A+		(1.000	)%		6/20/23		3-Month		BCLY		0.337	%		USD	200,000	$	(5,340	)	$	(3,815	)	$	(1,525	)
China Government International, A+		(1.000	)%		6/20/23		3-Month		GSC		0.337	%		USD	500,000		(13,350	)		(9,654	)		(3,696	)
Japan Government International Bond, A+		(1.000	)%		6/20/22		3-Month		BCLY		0.111	%		USD	400,000		(10,674	)		(14,121	)		3,447
Japan Government International Bond, A+		(1.000	)%		6/20/22		3-Month		BNP		0.111	%		USD	700,000		(18,680	)		(25,057	)		6,377
Japan Government International Bond, A+		(1.000	)%		6/20/22		3-Month		BOA		0.111	%		USD	200,000		(5,337	)		(6,913	)		1,576
Japan Government International Bond, A+		(1.000	)%		6/20/22		3-Month		GSC		0.111	%		USD	500,000		(13,343	)		(17,653	)		4,310
Japan Government International Bond, A+		(1.000	)%		6/20/22		3-Month		HSBC		0.111	%		USD	300,000		(8,006	)		(10,159	)		2,153
Markit iTraxx Europe Sub Financials Series 27 5-Year Index		(1.000	)%		6/20/22		3-Month		BNP		0.749	%		EUR	700,000		(7,030	)		36,666			(43,696	)
South Korea International Bond, AA		(1.000	)%		6/20/23		3-Month		BCLY		0.254	%		USD	600,000		(17,884	)		(15,056	)		(2,828	)
South Korea International Bond, AA		(1.000	)%		6/20/23		3-Month		BNP		0.254	%		USD	400,000		(11,923	)		(9,884	)		(2,039	)
South Korea International Bond, AA		(1.000	)%		6/20/23		3-Month		HSBC		0.254	%		USD	200,000		(5,961	)		(4,989	)		(972	)
South Korea International Bond, AA		(1.000	)%		6/20/23		3-Month		JPM		0.254	%		USD	400,000		(11,923	)		(9,580	)		(2,343	)
																$	(129,451	)	$	(90,215	)	$	(39,236	)

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

Reference Obligation	Fixed Deal Receive Rate			Maturity Date		Payment Frequency		Counterparty		Implied Credit Spread at 8/31/19 (2)			Notional Amount (3)			Market Value			Upfront Premiums (Received)			Unrealized Appreciation
South Africa Government, BB		1.000	%		6/20/23		3-Month		JPM		1.494	%		USD	100,000	$	(1,599	)	$	(4,998	)	$	3,399
South Africa Government, BB		1.000	%		6/20/24		3-Month		GSC		1.785	%		USD	200,000		(6,689	)		(8,852	)		2,163
																$	(8,288	)	$	(13,850	)	$	5,562

See Notes to Financial Statements.

255

Schedules of Investments

(continued)

International Fixed Income Fund

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

Reference Obligation	Fixed Deal (Pay) Rate			Maturity Date		Payment Frequency		Implied Credit Spread at 8/31/19 (2)			Notional Amount (3)			Market Value			Upfront Payment Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Basf Se, A		(1.000	)%		12/20/20		3-Month		0.080	%		EUR	100,000	$	(1,570	)	$	(2,908	)	$	1,338
Markit CDX North America Investment Grade Series 32 5-Year Index		(1.000	)%		6/20/29		3-Month		1.024	%		USD	3,400,000		125			12,983			(12,858	)
Markit iTraxx Europe Senior Financials Series 28 5-Year Index		(1.000	)%		12/20/22		3-Month		0.381	%		EUR	300,000		(7,514	)		(8,322	)		808
Markit iTraxx Europe Senior Financials Series 30 5-Year Index		(1.000	)%		12/20/23		3-Month		0.551	%		EUR	2,100,000		(49,602	)		5,166			(54,768	)
Markit iTraxx Europe Series 26 5-Year Index		(1.000	)%		12/20/21		3-Month		0.183	%		EUR	9,300,000		(216,862	)		(664,906	)		448,044
Markit iTraxx Europe Series 28 5-Year Index		(1.000	)%		12/20/22		3-Month		0.293	%		EUR	16,500,000		(467,731	)		(643,847	)		176,116
Markit iTraxx Europe Series 30 5-Year Index		(1.000	)%		12/20/23		3-Month		0.439	%		EUR	2,600,000		(75,625	)		(30,971	)		(44,654	)
Reynolds American Inc., BBB+		(1.000	)%		12/20/20		3-Month		0.121	%		USD	500,000		(6,756	)		(14,731	)		7,975
United Utilities PLC, BBB		(1.000	)%		12/20/20		3-Month		0.131	%		EUR	200,000		(2,988	)		(3,440	)		452
														$	(828,523	)	$	(1,350,976	)	$	522,453

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

Reference Obligation	Fixed Deal Receive Rate			Maturity Date		Payment Frequency		Implied Credit Spread at 8/31/19 (2)			Notional Amount (3)			Market Value			Upfront Payment Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Daimler AG, A		1.000	%		12/20/20		3-Month		0.172	%		EUR	100,000	$	1,433		$	1,651		$	(218	)
Deutsche Bank AG, BBB-		1.000	%		12/20/19		3-Month		0.606	%		EUR	100,000		358			257			101
Markit CDX North America Investment Grade Series 32 5-Year Index		1.000	%		6/20/24		3-Month		0.545	%		USD	3,800,000		87,382			74,974			12,408
Markit iTraxx Europe Series 31 5-Year Index		5.000	%		6/20/24		3-Month		2.525	%		EUR	300,000		39,816			37,640			2,176
Marks & Spencer PLC, BBB-		1.000	%		6/20/23		3-Month		1.567	%		EUR	200,000		(4,252	)		(6,000	)		1,748
Ryder System Inc., BBB+		1.000	%		6/20/22		3-Month		0.425	%		USD	100,000		1,790			1,866			(76	)
Shell International Finance BV, AA-		1.000	%		12/20/26		3-Month		0.413	%		EUR	200,000		10,053			(5,907	)		15,960
														$	136,580		$	104,481		$	32,099

See Notes to Financial Statements.

256

Schedules of Investments

(continued)

International Fixed Income Fund

At August 31, 2019, 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)		Notional Amount of Currency Delivered (6)		Market Value			Upfront Payment Paid/ (Received)			Unrealized Depreciation
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received	Floating rate equal to 3-Month AUD-LIBOR plus 0.423% based on the notional amount of currency delivered		8/1/2029		GSC	USD	1,449,000	AUD	2,100,000	$	(33,867	)	$	(3,920	)	$	(29,947	)
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received	Floating rate equal to 3-Month EUR-LIBOR less 0.225% based on the notional amount of currency delivered		9/18/2029		BNP	USD	1,122,947	EUR	1,000,000		(19,842	)		(2,147	)		(17,695	)
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received	Floating rate equal to 3-Month EUR-LIBOR less 0.245% based on the notional amount of currency delivered		11/15/2029		GSC	USD	553,350	EUR	500,000		(2,867	)		1,100			(3,967	)
										$	(56,576	)	$	(4,967	)	$	(51,609	)

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

At August 31, 2019, International Fixed Income Fund deposited cash collateral with brokers in the amount of $1,232,000 for open centrally cleared swap contracts.

At August 31, 2019, International Fixed Income Fund had cash collateral from brokers in the amount of $380,000 for open OTC swap contracts.

At August 31, 2019, International Fixed Income Fund was involved in following sale-buyback transactions:

Counterparty	Borrowing date		Maturity date		Borrowing rate			Amount borrowed
BNP Paribas		08/27/2019		9/6/2019		1.84	%	$	773,255

See Notes to Financial Statements.

257

Schedules of Investments

(continued)

International Fixed Income Fund

Currency Abbreviations used in this schedule:		Counterparty Abbreviations used in this schedule:
ARS	— Argentine Peso	BCLY	— Barclays Bank PLC
AUD	— Australian Dollar	BNP	— BNP Paribas SA
BRL	— Brazilian Real	BOA	— Bank of America
CAD	— Canadian Dollar	CITI	— Citigroup Global Markets Inc.
CNH	— Chinese Offshore Renminbi	CSFB	— Credit Suisse Securities (USA) LLC
CNY	— China Yuan Renminbi	DUB	— Deutsche Bank AG
DKK	— Danish Krone	GSC	— Goldman Sachs & Co.
EUR	— Euro	HSBC	— HSBC Bank USA
GBP	— British Pound	JPM	— JPMorgan Chase & Co.
HKD	— Hong Kong Dollar	RBS	— Royal Bank of Scotland PLC
ILS	— Israeli New Shekel	SCB	— Standard Chartered Bank
INR	— Indian Rupee	SOG	— Societe Generale SA
JPY	— Japanese Yen	UBS	— UBS Securities LLC
MXN	— Mexican Peso
MYR	— Malaysian Ringgit
NOK	— Norwegian Krone
NZD	— New Zealand Dollar
PEN	— Peruvian Sol
PLN	— Polish Zloty
SEK	— Swedish Krona
SGD	— Singapore Dollar
TRY	— Turkish Lira
ZAR	— South African Rand

See Notes to Financial Statements.

258

Schedules of Investments

(continued)

Municipal Bond Fund
Face Amount		Rating††	Security	Value
	MUNICIPAL BONDS — 94.0%
	Arizona — 4.4%
$	2,815,000	A+	Chandler Industrial Development Authority, Revenue Bonds, Variable AMT Intel Corp., 5.000% due 6/1/49(a)(b)	$	3,267,089
	500,000	BB+	Maricopa County Industrial Development Authority, Revenue Bonds, Paradise School Project Paragon Management Inc., 4.000% due 7/1/26(c)		539,605
			Total Arizona		3,806,694
	California — 8.2%
	500,000	CCC	California County Tobacco Securitization Agency, Revenue Bonds, Asset-Backed Gold Country Funding Corp., 5.250% due 6/1/46		500,090
	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(d)		1,322,480
	1,000,000	AA-	Garden Grove Unified School District, GO, 2010 Election, Series C, 5.000% due 8/1/35		1,148,020
			Golden State Tobacco Securitization Corp., Revenue Bonds:
	290,000	NR	Series A1, 5.000% due 6/1/47		297,441
	35,000	NR	Series A2, 5.000% due 6/1/47		35,898
	1,000,000	A3(e)	Kaweah Delta Health Care District, Revenue Bonds, Series B, 4.000% due 6/1/45		1,063,190
	1,500,000	A+	San Diego County, CA, Regional Airport Authority, Revenue Bonds, Series A, 5.000% due 7/1/43		1,687,200
	1,000,000	B+	Tobacco Securitization Authority of Southern California, Revenue Bonds, Senior Series A1, 5.125% due 6/1/46		1,002,090
			Total California		7,056,409
	Colorado — 8.8%
	750,000	A+	City & County of Denver, CO, Airport System Revenue, Revenue Bonds, AMT, Series A, 5.000% due 11/15/30(b)		936,360
	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		1,629,615
	1,500,000	AA-	Colorado Health Facilities Authority, Revenue Bonds, Sisters of Charity of Leavenworth Inc., Series A, 5.000% due 1/1/44		1,690,380
	1,000,000	AAA	Colorado Water Resources & Power Development Authority, Revenue Bonds, Revolving Fund, Series A, 5.500% due 9/1/22		1,131,110
	2,000,000	AA-	University of Colorado Hospital Authority, Revenue Bonds, Series A, 4.000% due 11/15/36		2,113,180
			Total Colorado		7,500,645
	Connecticut — 0.9%
	790,000	AAA	Connecticut Housing Finance Authority, AMT, Series B2, 2.300% due 11/15/23(b)		809,687
	District of Columbia — 2.8%
	1,500,000	AAA	District of Columbia, Income Tax Revenue, Revenue Bonds, Series A, 5.000% due 12/1/28		1,628,355
	700,000	AA-	Metropolitan Washington Airports Authority, Revenue Bonds, AMT, Series A, 4.000% due 10/1/36(b)		782,992
			Total District of Columbia		2,411,347
	Florida — 7.8%
	1,400,000	A+	City of Cape Coral, FL, Water & Sewer Revenue, Revenue Bonds, 5.000% due 10/1/39		1,715,070
	1,500,000	AA-	City of Gainesville, FL, Utilities System Revenue, Revenue Bonds, Series A, 5.000% due 10/1/29		1,924,035
	100,000	NR	Florida Development Finance Corp., Revenue Bonds, AMT, Waste Pro USA Inc. Project, 5.000% due 5/1/29(b)(c)		110,846
	1,090,000	A1(e)	Florida Municipal Power Agency, Revenue Bonds, Stanton II Project, Series A, 5.000% due 10/1/24		1,211,241
	125,000	NR	Harbor Bay Community Development District, Special Assessment, Area One, Series A2, 3.100% due 5/1/24		124,996
	275,000	NR	Lakewood Ranch Stewardship District, Special Assessment, Isles Lakewood Ranch Project, 3.875% due 5/1/29		287,460

See Notes to Financial Statements.

259

Schedules of Investments

(continued)

Municipal Bond Fund
Face Amount		Rating††	Security	Value
	Florida — 7.8% — (continued)
$	1,000,000	AA	Orlando Utilities Commission, Utility System Revenue Bonds, 2018 Project, Series A, 5.000% due 10/1/33	$	1,262,550
			Total Florida		6,636,198
	Georgia — 3.5%
	2,610,000	Aa1(e)	Main Street Natural Gas Inc., Revenue Bonds, Series B, 4.000% due 8/1/49(a)		2,968,745
	Illinois — 3.9%
			Illinois Finance Authority, Revenue Bonds:
	1,235,000	AA	Advocate Health Care, 4.000% due 6/1/47		1,281,189
	600,000	A	DePaul University, 5.000% due 10/1/36		720,282
	1,000,000	AAA	Northwestern University, 5.000% due 12/1/28		1,326,700
			Total Illinois		3,328,171
	Indiana — 1.4%
	1,000,000	A+	Indiana Municipal Power Agency, Power Supply, Revenue Bonds, Series C, 5.000% due 1/1/37		1,203,670
	Iowa — 1.4%
	1,000,000	A3(e)	PEFA Inc., Revenue Bonds, 5.000% due 9/1/49(a)		1,204,410
	Louisiana — 0.7%
			New Orleans Aviation Board, AMT, General Airport North Terminal, Revenue Bonds, Series B:
	250,000	A-	5.000% due 1/1/37(b)		295,932
	250,000	A-	5.000% due 1/1/38(b)		295,365
			Total Louisiana		591,297
	Maryland — 0.6%
	500,000	BB	Maryland Health & Higher Educational Facilities Authority, Revenue Bonds, Patterson Park Public Charter School, Series A, 6.000% due 7/1/40		500,085
	Massachusetts — 2.0%
	1,000,000	AA	Massachusetts Bay Transportation Authority, Revenue Bonds, Series A1, 5.000% due 7/1/44		1,222,390
	500,000	A	Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, 4.000% due 9/1/49		522,265
			Total Massachusetts		1,744,655
	Minnesota — 3.7%
	65,000	A2(e)	City of St Cloud, MN, Revenue Bonds, Centracare Health System, 5.000% due 5/1/48		80,290
	2,995,000	AA+	Minnesota Housing Finance Agency, Revenue Bonds, Non-Ace Residential Housing Finance Bonds, Series C, 3.600% due 7/1/31		3,118,753
			Total Minnesota		3,199,043
	Nevada — 1.7%
	1,130,000	AA+	State of Nevada Highway Improvement Revenue, Revenue Bonds, 5.000% due 12/1/31		1,416,229
	New Jersey — 3.8%
	1,340,000	A3(e)	Manalapan-Englishtown Regional Board of Education, GO, FGIC & NPFG-Insured, 5.750% due 12/1/22		1,525,496
	215,000	NR	New Jersey Economic Development Authority, Revenue Bonds, Golden Door Charter School Project, 5.125% due 11/1/29(c)		233,385
	1,250,000	A+	New Jersey Transportation Trust Fund Authority, Revenue Bonds, Highway Reimbursement, 5.000% due 6/15/30		1,488,887
			Total New Jersey		3,247,768
	New Mexico — 1.2%
	1,000,000	BBB+	City of Farmington NM, Revenue Bonds, Public Service Company of New Mexico, 1.875% due 4/1/33(a)		1,009,060

See Notes to Financial Statements.

260

Schedules of Investments

(continued)

Municipal Bond Fund
Face Amount		Rating††	Security	Value
	New York — 4.3%
$	1,170,000	AA	New York City Trust for Cultural Resources, Revenue Bonds, Juilliard School, Series A, 5.000% due 1/1/33	$	1,525,470
	1,635,000	AA+	New York State Dormitory Authority, Bidding Group, Revenue Bonds, Series B, 5.000% due 2/15/43		1,999,343
	140,000	WD(f)	Niagara Tobacco Asset Securitization Corp., Revenue Bonds, Asset-Backed Bonds, 5.000% due 5/15/21		146,947
			Total New York		3,671,760
	Ohio — 0.7%
	600,000	BB+	Ohio Air Quality Development Authority, Revenue Bonds, Ohio Valley Electric Corp., Series A, 2.875% due 2/1/26		612,882
	Oregon — 1.7%
	1,330,000	Aa2(e)	Washington & Clackamas Counties School District No. 23J Tigard-Tualatin, GO, NPFG-Insured, 5.000% due 6/15/22		1,474,478
	Puerto Rico — 1.3%
			Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds:
	334,000	NR	Series A1, zero coupon, due 7/1/24		291,418
	570,000	NR	Series A1, 4.750% due 7/1/53		585,852
	216,000	NR	Series A2, 4.784% due 7/1/58		222,210
			Total Puerto Rico		1,099,480
	South Carolina — 8.6%
	1,535,000	Aa3(e)	Clemson University, Revenue Bonds, 5.000% due 5/1/29		1,831,547
	2,000,000	A	South Carolina Jobs-Economic Development Authority, Revenue Bonds, Prisma Health Obligation Group, Series A, 5.000% due 5/1/28		2,554,040
	3,000,000	A1(e)	South Carolina Transportation Infrastructure Bank, Revenue Bonds, Remarketing, Series B, zero coupon (1-Month USD-LIBOR + 0.450%) due 10/1/31(a)		3,000,690
			Total South Carolina		7,386,277
	Tennessee — 1.3%
	1,030,000	Aa2(e)	Tennessee Housing Development Agency, Revenue Bonds, Series A, 3.850% due 1/1/35		1,091,254
	Texas — 9.4%
	1,000,000	A1(e)	City of Houston, TX, Airport System Revenue, Revenue Bonds, AMT, Series C, 5.000% due 7/1/26(b)		1,225,250
	295,000	A	Lower Colorado River Authority, Revenue Bonds, LCRA Transmission Services Corp. Project, 4.000% due 5/15/36		310,030
	505,000	NR	New Hope Cultural Education Facilities Finance Corp., Revenue Bonds, Beta Academy, 3.375% due 8/15/29		512,363
	1,000,000	AAA	North East, TX, Independent School District, GO, PSF-GTD-Insured, 5.250% due 2/1/28		1,307,580
	1,000,000	A+	North Texas Tollway Authority, Revenue Bonds, Series A, 5.000% due 1/1/39		1,184,100
	1,250,000	AA	San Antonio Water System, Revenue Bonds, Junior Lien Revenue and Refunding Bonds, Series C, 5.000% due 5/15/46		1,500,175
	1,575,000	AAA	Texas Transportation Commission State Highway Fund, Revenue Bonds, 5.250% due 4/1/26		1,988,674
			Total Texas		8,028,172
	Utah — 3.4%
	500,000	A	Utah Associated Municipal Power Systems, Revenue Bonds, Horse Butte Wind, Series A, 5.000% due 9/1/32		620,725
	2,000,000	AA	Utah State University, Revenue Bonds, Student Building Fee, Series B, Prerefunded 6/1/23 @ 100, 5.000% due 12/1/44(d)		2,291,460
			Total Utah		2,912,185
	Washington — 1.5%
	1,000,000	AA+	King County School District No. 401 Highline, GO, SCH BD GTY-Insured, 5.000% due 12/1/35		1,278,050

See Notes to Financial Statements.

261

Schedules of Investments

(continued)

Municipal Bond Fund
Face Amount		Rating††	Security	Value
	Wisconsin — 4.2%
$	1,500,000	AA+	Wisconsin Department of Transportation, Revenue Bonds, Series I, 5.000% due 7/1/20	$	1,549,275
			Wisconsin Health & Educational Facilities Authority, Revenue Bonds:
	1,300,000	AA-	Aspirus Inc. Obligation Group, 4.000% due 8/15/40		1,387,802
	500,000	AA	Milwaukee Regional Medical Center Thermal Service Obligated Group, 5.000% due 4/1/37		622,290
			Total Wisconsin		3,559,367
	Wyoming — 0.8%
	680,000	A	County of Laramie, WY, Revenue Bonds, Cheyenne Regional Medical Center Project, 5.000% due 5/1/37		716,550
			TOTAL MUNICIPAL BONDS (Cost — $75,162,899)		80,464,568
Shares/Units
	CLOSED END MUTUAL FUND SECURITY — 4.0%
	UNITED STATES — 4.0%
	30,100		iShares® National Muni Bond ETF, Common Class (Cost — $3,340,729)		3,467,520
			TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $78,503,628)		83,932,088
Face Amount
	SHORT-TERM INVESTMENTS — 1.7%
	TIME DEPOSITS — 1.7%
$	202,035		ANZ National Bank — London, 1.490% due 9/3/19		202,035
	71,272		Banco Santander SA — Frankfurt, 1.490% due 9/3/19		71,272
	1,153,659		JPMorgan Chase & Co. — New York, 1.490% due 9/3/19		1,153,659
			TOTAL SHORT-TERM INVESTMENTS (Cost — $1,426,966)		1,426,966
			TOTAL INVESTMENTS — 99.7% (Cost — $79,930,594)		85,359,054
			Other Assets in Excess of Liabilities — 0.3%		275,580
			TOTAL NET ASSETS — 100.0%	$	85,634,634

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

(a) Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2019.

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

(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. The aggregate value of restricted 144A holdings at August 31, 2019 amounts to approximately $883,836 and represents 1.0% of net assets.

(d) 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.

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

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

At August 31, 2019, for Municipal Bond Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:

Fund	Aggregate Cost for Federal Income Tax Purposes		Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation
Municipal Bond Fund	$	79,950,190	$	5,448,056	$	(19,596	)	$	5,428,460

See Notes to Financial Statements.

262

Schedules of Investments

(continued)

Municipal Bond Fund

Abbreviations used in this schedule:
AMBAC	— American Bond Assurance Corporation
ETF	— Exchange-Traded Fund
FGIC	— Financial Guarantee Insurance Company
GO	— General Obligation
NPFG	— National Public Finance Guarantee Corporation
PSF-GTD	— Permanent School Fund Guaranteed
SCH BD GTY	— Oregon School Bond Guaranty

See pages 295-296 for definitions of ratings.

Summary of Investments by Industry^
General Obligation	14.0	%
Health Care Providers & Services	13.3
Transportation	12.3
Higher Education	9.0
School District	7.9
Development	7.0
Utilities	6.2
Airport	6.1
Water and Sewer	5.1
Single Family Housing	4.9
Capital Markets	4.1
Power	3.7
Tobacco Settlement	2.3
Education	1.5
Multi Family Housing	0.9
Short-Term Investments	1.7
	100.0	%

^ As a percentage of total investments.

At August 31, 2019, Municipal Bond Fund had open exchange-traded futures contracts as described below.

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

Open Futures Contracts	Number of Contracts		Expiration Date (Month/Year)		Notional Amount		Market Value		Unrealized Appreciation
Contracts to Sell:
U.S. Treasury 10-Year Note December Futures		65		12/19	$	8,581,314	$	8,561,718	$	19,596

At August 31, 2019, Municipal Bond Fund had deposited cash of $86,000 with a broker or brokers as margin collateral on an open exchange-traded futures contract.

See Notes to Financial Statements.

263

Schedules of Investments

(continued)

Inflation-Linked Fixed Income Fund
Face Amount/Units†		Security	Value
	U.S. GOVERNMENT OBLIGATIONS — 102.2%
		U.S. Treasury Inflation Indexed Bonds:
$	11,563,984	2.375% due 1/15/25(a)(SBB)	$	13,008,257
	8,934,408	2.000% due 1/15/26		10,056,671
	1,952,588	1.750% due 1/15/28		2,235,405
	6,953,895	3.625% due 4/15/28		9,100,563
	7,315,660	2.500% due 1/15/29		9,020,147
	2,722,018	3.875% due 4/15/29		3,726,203
	34,633	3.375% due 4/15/32		49,034
	4,823,276	2.125% due 2/15/40		6,640,489
	2,795,464	2.125% due 2/15/41		3,889,324
	226,714	0.750% due 2/15/42		249,143
	222,820	0.625% due 2/15/43		237,632
	6,561,329	1.375% due 2/15/44		8,171,797
	978,966	0.750% due 2/15/45		1,072,690
	6,724,007	1.000% due 2/15/46		7,815,064
	4,350,551	0.875% due 2/15/47		4,940,559
	3,562,775	1.000% due 2/15/48		4,185,717
	2,331,014	1.000% due 2/15/49(a)(SBB)		2,762,856
		U.S. Treasury Inflation Indexed Notes:
	3,159,930	0.125% due 4/15/20		3,130,399
	21,131,709	0.125% due 4/15/21(a)		20,928,102
	193,200	0.625% due 7/15/21		194,408
	5,262,405	0.125% due 1/15/22		5,230,464
	16,896,076	0.125% due 4/15/22(a)		16,790,460
	11,162,472	0.125% due 1/15/23(a)		11,143,232
	10,312	0.625% due 4/15/23		10,474
	4,334,412	0.250% due 1/15/25		4,390,281
	6,613,575	0.375% due 7/15/25		6,781,262
	17,689,816	0.625% due 1/15/26(a)		18,383,481
	8,890,669	0.125% due 7/15/26		9,001,979
	6,616,709	0.375% due 1/15/27		6,799,501
	6,366,429	0.375% due 7/15/27		6,578,309
	9,333,319	0.500% due 1/15/28		9,725,171
	4,000,046	0.750% due 7/15/28		4,282,742
	2,931,674	0.875% due 1/15/29		3,177,207
	3,728,101	0.250% due 7/15/29(a)		3,841,735
		U.S. Treasury Notes:
	1,600,000	2.125% due 3/31/24(SBB)		1,650,156
	640,000	1.875% due 8/31/24(SBB)		654,275
	900,000	2.250% due 11/15/24(SBB)		937,283
	561,000	2.750% due 2/15/28(SBB)		617,210
		TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $209,956,377)		221,409,682
	MORTGAGE-BACKED SECURITIES — 20.4%
	FNMA — 20.4%
		Federal National Mortgage Association (FNMA):
	15,300,000	4.000% due 11/1/48(b)		15,913,689
	27,370,000	3.500% due 10/1/49(b)		28,144,058
		TOTAL MORTGAGE-BACKED SECURITIES (Cost — $43,971,983)		44,057,747

See Notes to Financial Statements.

264

Schedules of Investments

(continued)

Inflation-Linked Fixed Income Fund
Face Amount/Units†			Rating††	Security	Value
	COLLATERALIZED MORTGAGE OBLIGATIONS — 10.6%
				Alternative Loan Trust:
$	385,463		Caa2(c)	Series 2006-HY11, Class A1, 2.265% (1-Month USD-LIBOR + 0.120%) due 6/25/36(d)	$	367,090
	59,926		WR(c)	Series 2007-4CB, Class 1A35, 6.000% due 4/25/37		60,783
	754,364		Caa3(c)	Alternative Loan Trust Resecuritization, Series 2008-2R, Class 1A1, 6.000% due 8/25/37(d)		758,995
	3,039		AA	American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 3.692% (6-Month USD-LIBOR + 1.500%) due 9/25/45(d)		3,070
	317,490		AAA	B&M CLO Ltd., Series 2014-1A, Class A1R, 3.052% (3-Month USD-LIBOR + 0.730%) due 4/16/26(d)(f)		317,349
	15,806		AA+	Banc of America Funding Trust, Series 2005-B, Class 3A1B, 2.792% (1-Month USD-LIBOR + 0.620%) due 4/20/35(d)		15,841
				Bayview Opportunity Master Fund IVa Trust:
	527,050		NR	Series 2019-RN2, Class A1, step bond to yield, 3.967% due 3/28/34(f)		529,608
	91,828		NR	Series 2019-SBR1, Class A1, step bond to yield, 3.475% due 6/28/34(f)		91,983
	32,805		BBB+	Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-3, Class 3A2, 5.066% due 5/25/33(d)		33,857
	323,479		CCC	Bear Stearns Asset-Backed Securities Trust, Series 2004-1, Class M1, 3.120% (1-Month USD-LIBOR + 0.975%) due 6/25/34(d)		329,289
	81,328		AA+	Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2004-A, Class A1, 2.505% (1-Month USD-LIBOR + 0.360%) due 3/25/35(d)(f)		81,071
				CHL Mortgage Pass-Through Trust:
	126,193		WR(c)	Series 2005-HYB9, Class 2A1, 3.939% (1-Year USD-LIBOR + 1.750%) due 2/20/36(d)		120,869
	158,669		Caa2(c)	Series 2006-6, Class A4, 6.000% due 4/25/36		131,221
	207,310		WD(e)	Series 2007-1, Class A1, 6.000% due 3/25/37		177,627
				Citigroup Mortgage Loan Trust:
	315,502		Caa2(c)	Series 2007-AR4, Class 1A1A, 4.624% due 3/25/37(d)		314,287
	98,747		NR	Series 2019-B, Class A1, 3.258% due 4/25/66(d)(f)		99,082
				Citigroup Mortgage Loan Trust Inc.:
	7,987		B-	Series 2004-HYB2, Class 2A, 5.131% due 3/25/34(d)		8,191
	34,688		B(e)	Series 2004-NCM2, Class 1CB1, 5.500% due 8/25/34		35,584
				Countrywide Asset-Backed Certificates:
	467,168		CC	Series 2007-1, Class 1A, 2.285% (1-Month USD-LIBOR + 0.140%) due 7/25/37(d)		424,794
	100,434		CC	Series 2007-6, Class 1A, 2.345% (1-Month USD-LIBOR + 0.200%) due 9/25/37(d)		84,962
	579,339		CCC	Series 2007-8, Class 1A1, 2.335% (1-Month USD-LIBOR + 0.190%) due 11/25/37(d)		558,221
	903,000		NR	Credit Suisse Commercial Mortgage, Series 2015-3R, Class 5A2, 2.295% (1-Month USD-LIBOR + 0.150%) due 9/29/36(d)(f)		859,277
	195,756		NR	Credit Suisse Mortgage Capital Certificates, Series 2019-RPL4, Class A1, 3.830% due 8/26/58(f)		198,279
				Credit-Based Asset Servicing & Securitization LLC:
	153,000		BB	Series 2005-CB3, Class M4, 3.195% (1-Month USD-LIBOR + 1.050%) due 5/25/35(d)		154,298
	1,088,846		CC	Series 2007-CB6, Class A3, 2.365% (1-Month USD-LIBOR + 0.220%) due 7/25/37(d)(f)		738,984
	600,000		AAA	Crown Point CLO 5 Ltd., Series 2018-5A, Class A, 3.243% (3-Month USD-LIBOR + 0.940%) due 7/17/28(d)(f)		597,432
	149,011		D	CWABS Asset-Backed Certificates Trust, Series 2004-7, Class MV5, 3.870% (1-Month USD-LIBOR + 1.725%) due 11/25/34(d)		151,096
	500,000	EUR	AAA	Euro-Galaxy V CLO BV, Series 2016-5A, Class ARV, 0.820% (3-Month EURIBOR + 0.820%) due 11/10/30(d)(f)		549,662
	100,000		Aaa(c)	Evans Grove CLO Ltd., Series 2018-1A, Class A1, 3.064% (3-Month USD-LIBOR + 0.920%) due 5/28/28(d)(f)		99,107
	1,103,329		NR	Fannie Mae REMICS, Series 2019-5, Class FA, 2.545% (1-Month USD-LIBOR + 0.400%) due 3/25/49(d)		1,103,561
	400,000		AAA	Figueroa CLO Ltd., Series 2013-2A, Class A1RR, 3.237% (3-Month USD-LIBOR + 0.850%) due 6/20/27(d)(f)		399,997
				Government National Mortgage Association:
	495,245		NR	Series 2018-H15, Class FG, 3.030% (1-Year USD-LIBOR + 0.150%) due 8/20/68(d)		488,486
	1,165,754		NR	Series 2019-20, Class FE, 2.572% (1-Month USD-LIBOR + 0.400%) due 2/20/49(d)		1,165,443

See Notes to Financial Statements.

265

Schedules of Investments

(continued)

Inflation-Linked Fixed Income Fund
Face Amount/Units†			Rating††	Security	Value
	COLLATERALIZED MORTGAGE OBLIGATIONS — 10.6% — (continued)
$	34,926		D	GSAA Trust, Series 2006-7, Class AF4A, step bond to yield, 6.220% due 3/25/46	$	28,242
	6,052		AA+	HarborView Mortgage Loan Trust, Series 2005-9, Class 2A1A, 2.512% (1-Month USD-LIBOR + 0.340%) due 6/20/35(d)		6,042
	900,000	GBP	AAA	Hawksmoor Mortgages, Series 2019-1A, Class A, zero coupon, (Sterling Overnight Index Average + 1.050%) due 5/25/53(d)(f)		1,097,844
	73,791		B-	IndyMac INDX Mortgage Loan Trust, Series 2005-16IP, Class A1, 2.785% (1-Month USD-LIBOR + 0.640%) due 7/25/45(d)		69,593
	250,000		Aaa(c)	JMP Credit Advisors CLO IIIR Ltd., Series 2014-1RA, Class A, 3.153% (3-Month USD-LIBOR + 0.850%) due 1/17/28(d)(f)		248,985
	495,406		CCC	JP Morgan Alternative Loan Trust, Series 2006-A1, Class 1A1, 2.605% (1-Month USD-LIBOR + 0.460%) due 3/25/36(d)		486,225
	260,000	EUR	NR	Jubilee CLO BV, Series 2015-16A, Class A1R, 0.490% (0.800% — 3-Month EURIBOR) due 12/15/29(d)(f)		284,198
	96,483		NR	Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, step bond to yield, 3.750% due 4/25/59(f)		99,067
	142,582		Aaa(c)	LMREC Inc., Series 2015-CRE1, Class AR, 3.147% (1-Month USD-LIBOR + 0.980%) due 2/22/32(d)(f)		142,327
	201,210		CC	Long Beach Mortgage Loan Trust, Series 2006-7, Class 2A2, 2.265% (1-Month USD-LIBOR + 0.120%) due 8/25/36(d)		103,860
	320,000		Aaa(c)	Monarch Grove CLO, Series 2018-1A, Class A1, 3.156% (3-Month USD-LIBOR + 0.880%) due 1/25/28(d)(f)		318,774
	660,000		AAA	Mountain View CLO X Ltd., Series 2015-10A, Class AR, 3.123% (3-Month USD-LIBOR + 0.820%) due 10/13/27(d)(f)		657,907
	17,717		AA+	MRFC Mortgage Pass-Through Trust, Series 2000-TBC2, Class A1, 2.675% (1-Month USD-LIBOR + 0.480%) due 6/15/30(d)		17,682
	83,696		NR	New Residential Mortgage Loan Trust, Series 2018-3A, Class A1, 4.500% due 5/25/58(d)(f)		88,654
				Option One Mortgage Loan Trust:
	129,268		CC	Series 2007-1, Class 1A1, 2.285% (1-Month USD-LIBOR + 0.140%) due 1/25/37(d)		96,909
	127,920		CC	Series 2007-2, Class 1A1, 2.285% (1-Month USD-LIBOR + 0.140%) due 3/25/37(d)		95,784
	700,000	EUR	AAA	OZLME BV, Series 1A, Class AR, 0.820% (3-Month EURIBOR + 0.820%) due 1/18/30(d)(f)		769,989
	600,000		B-	RASC Trust, Series 2006-KS3, Class M1, 2.475% (1-Month USD-LIBOR + 0.330%) due 4/25/36(d)		598,700
	626,349		WD(e)	Residential Asset Securitization Trust, Series 2006-A10, Class A5, 6.500% due 9/25/36		441,038
	371,472		NR	RMAT LP, Series 2018-NPL1, Class A1, step bond to yield, 4.090% due 5/25/48(f)		374,925
				Securitized Asset-Backed Receivables LLC Trust:
	606,279		CC	Series 2006-FR3, Class A3, 2.395% (1-Month USD-LIBOR + 0.250%) due 5/25/36(d)		395,331
	118,268		CC	Series 2006-HE2, Class A2C, 2.295% (1-Month USD-LIBOR + 0.150%) due 7/25/36(d)		65,453
	423,370		B	Sequoia Mortgage Trust, Series 6, Class A, 2.822% (1-Month USD-LIBOR + 0.640%) due 4/19/27(d)		417,920
	250,000	GBP	NR	Silverstone Master Issuer PLC, Series 2015-16A, Class 2A, 1.459% (Sterling Overnight Index Average + 0.750%) due 1/21/70(d)(f)		305,100
	900,000		Aaa(c)	Sound Point CLO XIV Ltd., Series 2016-3A, Class AR, 3.301% (3-Month USD-LIBOR + 1.150%) due 1/23/29(d)(f)		900,900
				Soundview Home Loan Trust:
	300,155		CC	Series 2007-OPT1, Class 1A1, 2.345% (1-Month USD-LIBOR + 0.200%) due 6/25/37(d)		239,381
	84,087		CCC	Series 2007-OPT2, Class 2A3, 2.325% (1-Month USD-LIBOR + 0.180%) due 7/25/37(d)		77,479
	556,434		NR	SpringCastle Funding Asset-Backed Notes, Series 2019-AA, Class A, 3.200% due 5/27/36(f)		566,527
	260,000		Aaa(c)	Symphony CLO XVII Ltd., Series 2016-17A, Class AR, 3.183% (3-Month USD-LIBOR + 0.880%) due 4/15/28(d)(f)		258,892
	250,000		AAA	THL Credit Wind River CLO Ltd., Series 2012-1A, Class AR2, 3.183% (3-Month USD-LIBOR + 0.880%) due 1/15/26(d)(f)		250,012
	360,000		Aaa(c)	TICP CLO III-2 Ltd., Series 2018-3R, Class A, 3.118% (3-Month USD-LIBOR + 0.840%) due 4/20/28(d)(f)		359,994
	500,000		Aaa(c)	Venture 35 CLO Ltd., Series 2018-35A, Class AS, 3.428% (3-Month USD-LIBOR + 1.150%) due 10/22/31(d)(f)		499,704

See Notes to Financial Statements.

266

Schedules of Investments

(continued)

Inflation-Linked Fixed Income Fund
Face Amount/Units†			Rating††	Security	Value
	COLLATERALIZED MORTGAGE OBLIGATIONS — 10.6% — (continued)
$	466,707		AAA	Venture XII CLO Ltd., Series 2012-12A, Class ARR, 2.944% (3-Month USD-LIBOR + 0.800%) due 2/28/26(d)(f)	$	465,343
	800,000		Aaa(c)	Venture XVI CLO Ltd., Series 2014-16A, Class ARR, 3.153% (3-Month USD-LIBOR + 0.850%) due 1/15/28(d)(f)		799,991
	330,000		Aaa(c)	Venture XVII CLO Ltd., Series 2014-17A, Class ARR, 3.183% (3-Month USD-LIBOR + 0.880%) due 4/15/27(d)(f)		328,834
				WaMu Mortgage Pass-Through Certificates Trust:
	15,627		Baa1(c)	Series 2002-AR2, Class A, 2.391% (11th District Cost of Funds Index + 1.250%) due 2/27/34(d)		15,592
	7,142		BBB	Series 2002-AR17, Class 1A, 3.681% (1-Year Treasury Average Rate + 1.200%) due 11/25/42(d)		7,036
	3,308		A+	Wells Fargo Mortgage-Backed Securities Trust, Series 2004-E, Class A2, 5.069% due 5/25/34(d)		3,451
				TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $22,938,917)		23,033,081
	SOVEREIGN BONDS — 8.5%
	Argentina — 0.1%
	727,000	ARS	NR	Argentina Bonar Bonds, 54.553% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days Index + 2.000%) due 4/3/22(d)		6,353
	21,644,000	ARS	NR	Argentina POM Politica Monetaria, 66.380% due 6/21/20(d)		172,759
				Total Argentina		179,112
	Australia — 0.8%
				Australia Government Bonds:
	1,040,000	AUD	Aaa(c)	1.250% due 2/21/22		836,485
	890,000	AUD	Aaa(c)	3.000% due 9/20/25		891,380
				Total Australia		1,727,865
	Brazil — 0.6%
	5,768,000	BRL	BB-	Brazil Letras do Tesouro Nacional, zero coupon, due 1/1/20		1,367,853
	Canada — 0.2%
				Canadian Government Real Return Bonds:
	465,582	CAD	AAA	4.250% due 12/1/26		458,857
	52,437	CAD	AAA	0.500% due 12/1/50		43,000
				Total Canada		501,857
	France — 1.2%
				French Republic Government Bonds OAT:
	768,372	EUR	Aa2u(c)	2.250% due 7/25/20		870,210
	740,189	EUR	Aa2u(c)	0.100% due 3/1/25		875,473
	572,164	EUR	Aa2u(c)	1.850% due 7/25/27		798,419
				Total France		2,544,102
	Japan — 1.5%
				Japanese Government CPI Linked Bonds:
	140,242,660	JPY	A1(c)	0.100% due 3/10/28		1,381,633
	181,356,570	JPY	NR	0.100% due 3/10/29		1,791,798
				Total Japan		3,173,431
	New Zealand — 0.4%
	970,000	NZD	AA+	New Zealand Government Bonds Inflation Linked Bonds, 2.500% due 9/20/35		869,861
	Peru — 0.2%
	1,400,000	PEN	A3(c)	Peru Government Bonds Inflation Linked Bonds, 6.150% due 8/12/32(f)		475,231

See Notes to Financial Statements.

267

Schedules of Investments

(continued)

Inflation-Linked Fixed Income Fund
Face Amount/Units†			Rating††	Security	Value
	Qatar — 0.1%
$	200,000		AA-	Qatar Government International Bonds, 3.875% due 4/23/23(f)	$	213,230
	United Kingdom — 3.4%
				United Kingdom Gilt Inflation Linked Bonds:
	2,984,540	GBP	Aa2u(c)	1.250% due 11/22/27		5,088,438
	1,462,353	GBP	NR	0.125% due 8/10/28		2,348,408
				Total United Kingdom		7,436,846
				TOTAL SOVEREIGN BONDS (Cost — $19,544,037)		18,489,388
	CORPORATE BONDS & NOTES — 5.2%
	Agriculture — 0.1%
	100,000		BBB+	BAT Capital Corp., Company Guaranteed Notes, 2.765% (3-Month USD-LIBOR + 0.590%) due 8/14/20(d)		100,214
	Auto Manufacturers — 0.1%
	200,000		BBB+	Hyundai Capital America, Senior Unsecured Notes, 1.750% due 9/27/19(f)		200,002
	Banks — 2.4%
	100,000	EUR	Ba1(c)	Banco Santander SA, Junior Subordinated Notes, 6.250% (5-Year EUR Swap Rate + 5.640%)(d)(g)		115,671
	200,000	EUR	Baa3(c)	Cooperatieve Rabobank UA, Junior Subordinated Notes, 6.625% (6.697% — 5-Year EUR Swap Rate)(d)(g)		241,912
	700,000		BBB-	Deutsche Bank AG, Senior Unsecured Notes, 4.250% due 10/14/21		712,069
	100,000	GBP	BBB+	HSBC Holdings PLC, Subordinated Notes, 6.000% due 3/29/40		166,173
	200,000		BBB+	Lloyds Banking Group PLC, Senior Unsecured Notes, 3.186% (3-Month USD-LIBOR + 0.800%) due 6/21/21(d)		200,638
	15,799,836	DKK	AAA	Nykredit Realkredit AS, Covered Notes, 1.000% due 10/1/50		2,371,931
				Royal Bank of Scotland Group PLC:
	240,000		B+	Junior Subordinated Notes, 8.625% (5-Year USD Swap Rate + 7.598%)(d)(g)		254,700
				Senior Unsecured Notes:
	200,000		BBB	3.899% (3-Month USD-LIBOR + 1.550%) due 6/25/24(d)		199,695
	200,000		BBB	4.519% (3-Month USD-LIBOR + 1.550%) due 6/25/24(d)		210,046
	400,000		Aaa(c)	Toronto-Dominion Bank (The), Covered Notes, 2.250% due 3/15/21(f)		402,931
	400,000		A+	UBS AG, Senior Unsecured Notes, 3.031% (3-Month USD-LIBOR + 0.580%) due 6/8/20(d)(f)		401,272
				Total Banks		5,277,038
	Diversified Financial Services — 1.8%
				Ally Financial Inc.:
	400,000		BB+	Company Guaranteed Notes, 8.000% due 11/1/31		561,000
	100,000		BB+	Senior Unsecured Notes, 8.000% due 11/1/31		139,250
	18,999,797	DKK	AAA	Jyske Realkredit AS, Covered Notes, 1.000% due 10/1/50		2,855,123
	2,700,000	DKK	AAA	Nordea Kredit Realkreditaktieselskab, Covered Notes, 1.000% due 10/1/50		405,533
				Total Diversified Financial Services		3,960,906
	Electric — 0.2%
	200,000		BBB+	NextEra Energy Capital Holdings Inc., Company Guaranteed Notes, 2.800% due 1/15/23		204,738
	100,000		BBB+	Sempra Energy, Senior Unsecured Notes, 2.860% (3-Month USD-LIBOR + 0.450%) due 3/15/21(d)		99,756
				Total Electric		304,494
	Gas — 0.1%
	200,000		BBB+	Dominion Energy Gas Holdings LLC, Senior Unsecured Notes, 3.010% (3-Month USD-LIBOR + 0.600%) due 6/15/21(d)		200,917
	Oil & Gas — 0.3%
	657,000		BB-	Petrobras Global Finance BV, Company Guaranteed Notes, 5.999% due 1/27/28		723,850

See Notes to Financial Statements.

268

Schedules of Investments

(continued)

Inflation-Linked Fixed Income Fund
Face Amount/Units†			Rating††	Security	Value
	Pipelines — 0.1%
$	200,000		BBB+	Enbridge Inc., Company Guaranteed Notes, 2.738% (3-Month USD-LIBOR + 0.400%) due 1/10/20(d)	$	200,094
	Telecommunications — 0.1%
	300,000		BBB	AT&T Inc., Senior Unsecured Notes, 2.888% (3-Month USD-LIBOR + 0.750%) due 6/1/21(d)		301,489
				TOTAL CORPORATE BONDS & NOTES (Cost — $11,081,721)		11,269,004
				TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $307,493,035)		318,258,902
	SHORT-TERM INVESTMENTS — 0.3%
	TIME DEPOSITS — 0.3%
	233,416			Banco Santander SA — Frankfurt, 1.490% due 9/3/19		233,416
				BBH — Grand Cayman:
	4,384	DKK		(0.800)% due 9/2/19		646
	7,852	NZD		0.280% due 9/2/19		4,948
	17,387	AUD		0.450% due 9/2/19		11,708
	665	SGD		0.940% due 9/2/19		479
	16,863	ZAR		5.460% due 9/2/19		1,112
	19	CAD		0.870% due 9/3/19		14
	283,879	EUR		Deutsche Bank — Frankfurt, (0.580)% due 9/2/19		311,997
	82,918	GBP		HSBC Bank PLC — London, 0.370% due 9/2/19		100,887
	2,369,974	JPY		Skandinaviska Enskilda Banken AB — Stockholm, (0.250)% due 9/2/19		22,311
				TOTAL SHORT-TERM INVESTMENTS (Cost — $687,518)		687,518
				TOTAL INVESTMENTS IN SECURITIES (Cost — $308,180,553)		318,946,420
				TOTAL INVESTMENTS IN PURCHASED OPTIONS (Cost — $25,098)		23,165
				TOTAL INVESTMENTS — 147.2% (Cost — $308,205,651)		318,969,585
				Liabilities in Excess of Other Assets — (47.2)%		(102,305,287	)
				TOTAL NET ASSETS — 100.0%	$	216,664,298

† 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) Position, or portion thereof, has been segregated to collateralize reverse repurchase agreements.

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

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

(d) Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2019.

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

(f) 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. The aggregate value of restricted 144A holdings at August 31, 2019 amounts to approximately $15,072,464 and represents 7.0% of net assets.

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

^(SBB)  All or a portion of these securities were purchased in a sale-buyback transaction. The value of these securities total $5,001,188, which represents 2.3% of net assets.

At August 31, 2019, for Inflation-Linked Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:

Fund	Aggregate Cost for Federal Income Tax Purposes		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation
Inflation-Linked Fixed Income Fund	$	310,447,752	$	15,790,100	$	(8,427,500	)	$	7,362,600

See Notes to Financial Statements.

269

Schedules of Investments

(continued)

Inflation-Linked Fixed Income Fund

Abbreviations used in this schedule:
CLO	— Collateralized Loan Obligation
CPI	— Consumer Price Index
EURIBOR	— Euro Interbank Offered Rate
LIBOR	— London Interbank Offered Rate
PLC	— Public Limited Company
REMICS	— Real Estate Mortgage Investment Conduit

Summary of Investments by Security Type^
U.S. Government Obligations	69.4	%
Mortgage-Backed Securities	13.8
Collateralized Mortgage Obligations	7.2
Sovereign Bonds	5.8
Corporate Bonds & Notes	3.6
Purchased Options	0.0	*
Short-Term Investments	0.2
	100.0	%

^ As a percentage of total investments.

* Position represents less than 0.05%.

At August 31, 2019, Inflation-Linked Fixed Income Fund held the following Options Contracts Purchased:

Options on Futures

Number of Contracts		Notional Amount†			Security Name	Counterparty		Expiration Date		Strike Price		Value
	6		676,110	EUR	Euro-Bobl October Futures, Call		SOG		9/20/19		EUR   141.25	$	33
	52		9,157,720	EUR	Euro-Bund December Futures, Put		SOG		11/22/19		EUR   151.00		572
	60		10,566,600	EUR	Euro-Bund November Futures, Put		CITI		10/25/19		EUR   173.00		20,443
	75		12,951,000	EUR	Euro OAT December Futures, Call		SOG		11/22/19		EUR   200.00		824
	221		30,184,180	EUR	Euro-Schatz October Futures, Call		SOG		9/20/19		EUR   114.70		1,214
	57		$7,502,625		U.S. Treasury 10-Year Note December Futures, Put		CITI		11/22/19	$	116.00		57
	22		2,895,750		U.S. Treasury 10-Year Note December Futures, Put		CITI		11/22/19	$	116.50		22
					Total Options on Futures							$	23,165
					TOTAL OPTIONS CONTRACTS PURCHASED (Cost — $25,098)							$	23,165

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

See Notes to Financial Statements.

270

Schedules of Investments

(continued)

Inflation-Linked Fixed Income Fund

At August 31, 2019, Inflation-Linked Fixed Income Fund held the following Options Contracts Written:

Credit Default Swaptions
Number of Contracts		Notional Amount†			Security Name	Counterparty		Expiration Date		Exercise Rate		Value
	500,000		$   269,780		OTC Markit CDX North America Investment Grade Series 32 5-Year Index, Put		DUB		9/18/19		0.950%	$	2
	800,000		431,648		OTC Markit CDX North America Investment Grade Series 32 5-Year Index, Put		BNP		9/18/19		1.000%		1
	500,000		269,780		OTC Markit CDX North America Investment Grade Series 32 5-Year Index, Put		DUB		9/18/19		1.000%		1
	700,000		377,692		OTC Markit CDX North America Investment Grade Series 32 5-Year Index, Put		DUB		11/20/19		0.900%		331
	300,000		161,868		OTC Markit CDX North America Investment Grade Series 32 5-Year Index, Put		BCLY		11/20/19		0.900%		142
	200,000		107,912		OTC Markit CDX North America Investment Grade Series 32 5-Year Index, Put		BNP		11/20/19		0.900%		95
	1,200,000		569,784	EUR	OTC Markit iTraxx Europe Series 31 5-Year Index, Put		BCLY		9/18/19		0.950%		6
	300,000		142,466	EUR	OTC Markit iTraxx Europe Series 31 5-Year Index, Put		JPM		9/18/19		1.050%		—
					Total Credit Default Swaptions							$	578

Interest Rate Swaption

Number of Contracts

Notional Amount†

Security Name

Counterparty

Expiration Date

Exercise Rate

Value

5,200,000

110,851GBP

OTC 5-Year Swaption, 3-Month USD-LIBOR, Put

BCLY

10/15/19

0.950%

$

2,178

Options on Futures

Number of Contracts

Notional Amount†

Security Name

Counterparty

Expiration Date

Strike Price

Value

8

1,408,880EUR

Euro-Bund December Futures, Call

SOG

11/22/19

EUR

176.00

$

14,771

30

5,283,300EUR

Euro-Bund December Futures, Call

CITI

11/22/19

EUR

178.50

21,102

8

1,408,880EUR

Euro-Bund December Futures, Put

SOG

11/22/19

EUR

176.00

12,309

60

10,566,600EUR

Euro-Bund November Futures, Put

CITI

10/25/19

EUR

170.50

5,935

12

2,113,320EUR

Euro-Bund October Futures, Call

UBS

9/20/19

EUR

175.50

17,145

1

176,110EUR

Euro-Bund October Futures, Call

GSC

9/20/19

EUR

175.50

1,429

12

2,113,320EUR

Euro-Bund October Futures, Put

UBS

9/20/19

EUR

175.50

6,858

1

176,110EUR

Euro-Bund October Futures, Put

GSC

9/20/19

EUR

175.50

572

Total Options on Futures

$

80,121

TOTAL OPTIONS CONTRACTS WRITTEN (Premiums received — $123,379)

$

82,877

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

See Notes to Financial Statements.

271

Schedules of Investments

(continued)

Inflation-Linked Fixed Income Fund

At August 31, 2019, Inflation-Linked Fixed Income Fund held the following Reverse Repurchase Agreements:

Face Amounts†		Security	Value
		Bank of America:
$	509,775	2.240% due 9/3/19	$	509,775
	3,848,651	2.250% due 9/3/19		3,848,651
		NatWest Markets Securities Inc.:
	775,250	2.350% due 9/3/19		775,250
	18,288,890	2.300% due 10/7/19		18,288,890
		Royal Bank of Canada:
	11,060,100	2.280% due 10/11/19		11,060,100
		Standard Chartered Bank:
	18,830,085	2.280% due 10/11/19		18,830,085
	775,250	2.280% due 10/18/19		775,250
		TOTAL REVERSE REPURCHASE AGREEMENTS (Proceeds — $54,088,001)	$	54,088,001

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

For the year ended August 31, 2019, the daily average borrowing and interest rate under the reverse repurchase agreements were $50,194,745 and 2.502%, respectively.

At August 31, 2019, Inflation-Linked Fixed Income Fund had cash collateral from brokers in the amount of $353,000 for open reverse repurchase agreements.

At August 31, 2019, Inflation-Linked 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)		Notional Amount		Market Value		Unrealized Appreciation/ (Depreciation)
Contracts to Buy:
Euro-Bund December Futures		52		12/19	$	10,084,795	$	10,074,508	$	(10,287	)
U.S. Treasury 10-Year Note December Futures		158		12/19		20,792,647		20,811,562		18,915
										8,628
Contracts to Sell:
Australian Government 3-Year Bond September Futures		14		9/19		1,081,732		1,091,756		(10,024	)
Australian Government 10-Year Bond September Futures		4		9/19		382,296		400,776		(18,480	)
Euro-Bobl September Futures		6		9/19		886,933		898,341		(11,408	)
Euro-OAT December Futures		75		12/19		14,168,260		14,196,703		(28,443	)
Euro-Schatz Note December Futures		430		12/19		53,231,524		53,253,972		(22,448	)
Japan Government 10-Year Bond September Futures		3		9/19		4,343,281		4,383,149		(39,868	)
U.S. Treasury 2-Year Note December Futures		44		12/19		9,504,344		9,509,157		(4,813	)
U.S. Treasury 5-Year Note December Futures		117		12/19		14,015,320		14,037,258		(21,938	)
U.S. Treasury Long Bond December Futures		47		12/19		7,743,250		7,766,750		(23,500	)
U.S. Treasury Ultra Long Bond December Futures		11		12/19		2,147,479		2,171,813		(24,334	)
United Kingdom Treasury 10-Year Gilt December Futures		43		12/19		6,982,629		7,025,274		(42,645	)
										(247,901	)
Net Unrealized Depreciation on Open Exchange-Traded Futures Contracts									$	(239,273	)

See Notes to Financial Statements.

272

Schedules of Investments

(continued)

Inflation-Linked Fixed Income Fund

At August 31, 2019, Inflation-Linked Fixed Income Fund had deposited cash of $542,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.

At August 31, 2019, Inflation-Linked 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		In Exchange For			Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
Contracts to Buy:
Argentine Peso		10,472,000		USD	185,839		BNP	$	175,970		9/4/19	$	(9,869	)
Argentine Peso		10,472,000		USD	176,916		HSBC		175,969		9/4/19		(947	)
Argentine Peso		126,000		USD	2,000		HSBC		1,972		9/23/19		(28	)
Australian Dollar		2,531,000		USD	1,707,573		HSBC		1,704,375		9/3/19		(3,198	)
Brazilian Real		4,439,728		USD	1,072,787		DUB		1,071,945		9/4/19		(842	)
Brazilian Real		4,439,728		USD	1,183,612		MLP		1,071,945		9/4/19		(111,667	)
Brazilian Real		4,439,728		USD	1,066,832		DUB		1,069,654		10/2/19		2,822
British Pound		1,193,000		USD	1,444,869		BCLY		1,451,524		9/3/19		6,655
British Pound		3,434,000		USD	4,158,837		SCB		4,178,149		9/3/19		19,312
Colombian Peso		3,540,078,800		USD	1,048,198		JPM		1,027,481		9/25/19		(20,717	)
Euro		977,000		USD	1,080,847		JPM		1,073,772		9/3/19		(7,075	)
Indonesian Rupiah		16,302,736,400		USD	1,112,663		SCB		1,147,532		9/18/19		34,869
Indonesian Rupiah		16,302,736,400		USD	1,121,851		SCB		1,135,519		12/18/19		13,668
Korean Won		1,351,944,610		USD	1,115,190		HSBC		1,117,380		9/18/19		2,190
Russian Ruble		9,099,025		USD	142,678		SCB		135,604		10/17/19		(7,074	)
Russian Ruble		67,739,427		USD	1,031,789		SCB		1,005,598		11/15/19		(26,191	)
South African Rand		8,324,094		USD	582,823		BNP		546,388		10/7/19		(36,435	)
													(144,527	)
Contracts to Sell:
Argentine Peso		10,472,000		USD	176,916		BNP		175,970		9/4/19		946
Argentine Peso		10,472,000		USD	176,000		HSBC		175,970		9/4/19		30
Argentine Peso		1,391,500		USD	22,000		BNP		22,021		9/20/19		(21	)
Argentine Peso		2,340,000		USD	36,000		DUB		37,031		9/20/19		(1,031	)
Argentine Peso		10,472,000		USD	176,445		BNP		163,932		9/23/19		12,513
Argentine Peso		5,461,000		USD	86,000		JPM		85,488		9/23/19		512
Australian Dollar		2,531,000		USD	1,749,467		BNP		1,704,375		9/3/19		45,092
Australian Dollar		2,531,000		USD	1,709,092		HSBC		1,705,785		10/2/19		3,307
Brazilian Real		4,439,728		USD	1,069,041		DUB		1,071,945		9/4/19		(2,904	)
Brazilian Real		4,439,728		USD	1,072,787		MLP		1,071,945		9/4/19		842
Brazilian Real		5,768,000		USD	1,499,389		JPM		1,380,364		1/3/20		119,025
British Pound		654,000		USD	798,608		BCLY		795,722		9/3/19		2,886
British Pound		302,000		USD	367,194		JPM		367,444		9/3/19		(250	)
British Pound		861,000		USD	1,052,370		JPM		1,047,579		9/3/19		4,791
British Pound		92,000		USD	111,287		JPM		111,936		9/3/19		(649	)
British Pound		115,000		USD	140,168		MLP		139,921		9/3/19		247
British Pound		9,742,000		USD	11,879,784		MLP		11,853,096		9/3/19		26,688
British Pound		550,000		USD	673,953		MLP		669,185		9/3/19		4,768
British Pound		7,689,000		USD	9,387,755		HSBC		9,366,926		10/2/19		20,829
British Pound		116,000		USD	141,705		SCB		141,314		10/2/19		391
Canadian Dollar		654,000		USD	495,195		BNP		491,268		9/3/19		3,927
Colombian Peso		1,818,490,000		USD	563,000		HSBC		527,803		9/25/19		35,197
Colombian Peso		1,758,605,000		USD	547,000		HSBC		510,422		9/25/19		36,578
Danish Krone		2,085,000		USD	320,081		BNP		308,010		10/1/19		12,071

See Notes to Financial Statements.

273

Schedules of Investments

(continued)

Inflation-Linked Fixed Income Fund

Foreign Currency	Local Currency		In Exchange For			Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
Contracts to Sell: (continued)
Danish Krone		8,304,916		USD	1,275,081		BNP	$	1,226,856		10/1/19	$	48,225
Danish Krone		7,240,000		USD	1,109,453		BNP		1,069,540		10/1/19		39,913
Danish Krone		1,690,000		USD	259,103		HSBC		249,658		10/1/19		9,445
Danish Krone		15,170,000		USD	2,313,441		JPM		2,241,011		10/1/19		72,430
Danish Krone		2,680,000		USD	411,993		MLP		395,907		10/1/19		16,086
Euro		4,170,000		USD	4,657,656		HSBC		4,583,037		9/3/19		74,619
Euro		380,000		USD	426,379		MLP		417,639		9/3/19		8,740
Euro		3,573,000		USD	3,967,845		BNP		3,935,616		10/2/19		32,229
Indonesian Rupiah		16,302,736,400		USD	1,139,096		SCB		1,147,532		9/18/19		(8,436	)
Japanese Yen		236,000,000		USD	2,177,074		HSBC		2,221,699		9/3/19		(44,625	)
Japanese Yen		108,200,000		USD	1,031,049		MLP		1,018,593		9/3/19		12,456
Japanese Yen		344,200,000		USD	3,240,652		JPM		3,247,079		10/2/19		(6,427	)
Korean Won		1,165,304,410		USD	982,882		BNP		963,123		9/18/19		19,759
Korean Won		186,640,200		USD	162,000		MLP		154,258		9/18/19		7,742
Korean Won		1,351,944,610		USD	1,118,373		HSBC		1,120,557		12/18/19		(2,184	)
Mexican Peso		761,000		USD	38,663		BCLY		37,867		9/20/19		796
New Taiwan Dollar		16,220,020		USD	517,369		BNP		520,014		11/21/19		(2,645	)
New Taiwan Dollar		4,335,000		USD	138,419		HSBC		138,980		11/21/19		(561	)
New Taiwan Dollar		6,606,000		USD	210,516		JPM		211,788		11/21/19		(1,272	)
New Taiwan Dollar		8,241,000		USD	263,316		SCB		264,207		11/21/19		(891	)
New Zealand Dollar		1,271,000		USD	834,922		BNP		800,857		9/3/19		34,065
New Zealand Dollar		1,271,000		USD	801,532		HSBC		801,511		10/2/19		21
Peruvian Sol		66,154		USD	19,650		BNP		19,458		10/9/19		192
Peruvian Sol		1,581,510		USD	478,883		BNP		464,219		11/25/19		14,664
Singapore Dollar		788,084		USD	575,748		MLP		568,034		9/18/19		7,714
													657,840
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts												$	513,313

At August 31, 2019, Inflation-Linked Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date		Payment Frequency		Notional Amount			Market Value			Upfront Payment Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Receive	U.S. Federal Funds Effective Rate Index		2.428%		12/20/47		12-Month		USD	100,000	$	(26,970	)	$	241		$	(27,211	)
Receive	U.S. Federal Funds Effective Rate Index		2.478%		12/20/47		12-Month		USD	378,000		(106,676	)		758			(107,434	)
Receive	U.S. Federal Funds Effective Rate Index		2.499%		12/20/47		12-Month		USD	950,000		(273,102	)		2,364			(275,466	)
Receive	3-Month FRA New Zealand Bank Bill		3.250%		3/21/28		6-Month		NZD	700,000		(81,879	)		2,137			(84,016	)
Receive	3-Month USD-LIBOR		1.625%		1/16/50		6-Month		USD	100,000		(2,033	)		(1,423	)		(610	)
Receive	3-Month USD-LIBOR		1.625%		2/3/50		6-Month		USD	200,000		(4,089	)		(14	)		(4,075	)
Receive	3-Month USD-LIBOR		1.750%		12/21/26		6-Month		USD	620,000		(17,087	)		(15,863	)		(1,224	)
Receive	3-Month USD-LIBOR		1.750%		9/12/29		6-Month		USD	3,400,000		(44,468	)		7,961			(52,429	)
Receive	3-Month USD-LIBOR		2.000%		7/27/26		6-Month		USD	3,100,000		(110,485	)		90,254			(200,739	)
Pay	3-Month USD-LIBOR		2.250%		12/20/22		6-Month		USD	9,600,000		265,781			12,038			253,743
Receive	3-Month USD-LIBOR		2.250%		6/20/28		6-Month		USD	1,490,000		(109,884	)		80,316			(190,200	)
Receive	3-Month USD-LIBOR		2.250%		12/11/49		6-Month		USD	700,000		(122,384	)		(2,779	)		(119,605	)
Receive	3-Month USD-LIBOR		2.250%		3/12/50		6-Month		USD	400,000		(70,069	)		(1,227	)		(68,842	)
Receive	3-Month USD-LIBOR		2.400%		12/7/26		6-Month		USD	2,900,000		(155,065	)		17,679			(172,744	)
Receive	3-Month USD-LIBOR		2.500%		2/22/26		6-Month		USD	9,530,000		(577,668	)		(281,476	)		(296,192	)
Receive	3-Month USD-LIBOR		2.500%		6/20/48		6-Month		USD	710,000		(162,198	)		84,824			(247,022	)
Pay	3-Month USD-LIBOR		2.750%		12/19/23		6-Month		USD	9,540,000		569,285			(58,761	)		628,046
Receive	3-Month USD-LIBOR		2.765%		7/18/28		6-Month		USD	1,550,000		(183,679	)		—			(183,679	)
Receive	6-Month JPY-LIBOR		0.300%		9/20/27		6-Month		JPY	5,590,000		(2,021	)		(101	)		(1,920	)
											$	(1,214,691	)	$	(63,072	)	$	(1,151,619	)

See Notes to Financial Statements.

274

Schedules of Investments

(continued)

Inflation-Linked Fixed Income Fund

At August 31, 2019, Inflation-Linked Fixed Income Fund held the following Centrally Cleared Inflation Rate Swap Contracts:

Pay/ Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date		Notional Amount			Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Receive	5-Year EUR Inflation Linked		1.030%		3/15/24		EUR	2,000,000	$	(34,698	)	$	(3,199	)	$	(31,499	)
Pay	10-Year EUR Inflation Linked		1.520%		11/15/27		EUR	1,890,000		113,171			(30,893	)		144,064
Pay	10-Year EUR Inflation Linked		1.535%		3/15/28		EUR	700,000		44,098			91			44,007
Pay	10-Year EUR Inflation Linked		1.620%		5/15/28		EUR	910,000		66,438			57			66,381
Receive	15-Year EUR Inflation Linked		1.710%		3/15/33		EUR	100,000		(11,423	)		—			(11,423	)
Pay	20-Year EUR Inflation Linked		1.242%		8/15/39		EUR	240,000		(1,551	)		—			(1,551	)
Pay	30-Year EUR Inflation Linked		1.387%		8/15/49		EUR	120,000		129			—			129
Pay	10-Year GBP Inflation Linked		3.717%		12/15/28		GBP	920,000		11,464			—			11,464
Pay	15-Year GBP Inflation Linked		3.100%		6/15/31		GBP	2,430,000		(337,116	)		(251,380	)		(85,736	)
Pay	15-Year GBP Inflation Linked		3.500%		9/15/33		GBP	250,000		(6,777	)		195			(6,972	)
Pay	15-Year GBP Inflation Linked		3.530%		10/15/31		GBP	1,190,000		(25,204	)		(7,845	)		(17,359	)
Pay	20-Year GBP Inflation Linked		3.600%		6/15/39		GBP	820,000		18,332			(227	)		18,559
Pay	20-Year GBP Inflation Linked		3.590%		6/15/39		GBP	120,000		2,156			—			2,156
Receive	1-Year USD Inflation Linked		1.430%		7/25/20		USD	4,300,000		(6,279	)		(245	)		(6,034	)
Receive	1-Year USD Inflation Linked		1.425%		8/6/20		USD	700,000		(940	)		—			(940	)
Receive	2-Year USD Inflation Linked		1.875%		3/14/21		USD	200,000		(1,038	)		—			(1,038	)
Receive	2-Year USD Inflation Linked		1.927%		3/18/21		USD	700,000		(4,297	)		—			(4,297	)
Receive	2-Year USD Inflation Linked		1.997%		3/22/21		USD	2,290,000		(16,969	)		—			(16,969	)
Receive	3-Year USD Inflation Linked		2.168%		7/15/20		USD	1,100,000		(7,826	)		—			(7,826	)
Receive	4-Year USD Inflation Linked		2.027%		11/23/20		USD	700,000		(3,773	)		—			(3,773	)
Receive	5-Year USD Inflation Linked		1.550%		7/26/21		USD	400,000		6,258			13,538			(7,280	)
Receive	5-Year USD Inflation Linked		1.603%		9/12/21		USD	310,000		3,391			9,337			(5,946	)
Receive	5-Year USD Inflation Linked		2.210%		2/5/23		USD	2,090,000		(57,164	)		—			(57,164	)
Receive	5-Year USD Inflation Linked		2.220%		4/13/23		USD	6,296,000		(197,277	)		—			(197,277	)
Pay	10-Year USD Inflation Linked		2.150%		9/25/27		USD	300,000		10,210			—			10,210
Pay	10-Year USD Inflation Linked		2.156%		10/17/27		USD	700,000		24,708			—			24,708
Pay	10-Year USD Inflation Linked		2.335%		2/5/28		USD	960,000		58,540			2,083			56,457
Pay	10-Year USD Inflation Linked		2.352%		5/9/28		USD	360,000		23,641			—			23,641
Pay	10-Year USD Inflation Linked		2.360%		5/9/28		USD	540,000		35,915			—			35,915
Pay	10-Year USD Inflation Linked		2.364%		5/10/28		USD	550,000		36,785			—			36,785
									$	(257,096	)	$	(268,488	)	$	11,392

At August 31, 2019, Inflation-Linked Fixed Income Fund held the following OTC and Centrally Cleared Credit Default Swap Contracts:

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

Reference Obligation	Fixed Deal (Pay) Rate			Maturity Date		Payment Frequency		Counterparty		Implied Credit Spread at 8/31/19 (2)			Notional Amount (3)			Market Value			Upfront Payment Paid		Unrealized Depreciation
Mexico Government International, BBB+		(1.000	)%		12/20/23		3-Month		BCLY		1.019	%		USD	500,000	$	(620	)	$	4,271	$	(4,891	)
Mexico Government International, BBB+		(1.000	)%		12/20/23		3-Month		BNP		1.019	%		USD	200,000		(248	)		1,944		(2,192	)
Mexico Government International, BBB+		(1.000	)%		12/20/23		3-Month		HSBC		1.019	%		USD	900,000		(1,117	)		8,238		(9,355	)
																$	(1,985	)	$	14,453	$	(16,438	)

See Notes to Financial Statements.

275

Schedules of Investments

(continued)

Inflation-Linked Fixed Income Fund

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

Reference Obligation	Fixed Deal Receive Rate			Maturity Date		Payment Frequency		Implied Credit Spread at 8/31/19 (2)			Notional Amount (3)			Market Value			Upfront Payment Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Daimler AG, A		1.000	%		12/20/20		3-Month		0.172	%		EUR	100,000	$	1,433		$	1,651		$	(218	)
General Electric Co., BBB+		1.000	%		12/20/23		3-Month		1.404	%		USD	100,000		(1,436	)		(4,874	)		3,438
														$	(3	)	$	(3,223	)	$	3,220

(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.

At August 31, 2019, Inflation-Linked Fixed Income Fund deposited cash collateral with brokers in the amount of $902,000 for open centrally cleared swap contracts.

At August 31, 2019, Inflation-Linked Fixed Income Fund had cash collateral from brokers in the amount of $330,000 for open OTC swap contracts.

At August 31, 2019, Inflation-Linked Fixed Income Fund was involved in following sale-buyback transactions:

Counterparty	Borrowing date		Maturity date		Borrowing rate			Amount borrowed
BNP Paribas		8/28/2019		9/3/2019		2.19	%	$	655,371
BNP Paribas		8/28/2019		9/3/2019		2.47	%		614,970
BNP Paribas		8/29/2019		9/3/2019		2.40	%		943,549
BNP Paribas		8/30/2019		9/4/2019		2.35	%		617,051
BNP Paribas		8/30/2019		9/4/2019		2.35	%		1,662,656
TD Securities (USA) LLC		8/28/2019		9/3/2019		1.52	%		535,219
								$	5,028,816

Currency Abbreviations used in this schedule:		Counterparty Abbreviations used in this schedule:
ARS	— Argentine Peso	BCLY	— Barclays Bank PLC
AUD	— Australian Dollar	BNP	— BNP Paribas SA
BRL	— Brazilian Real	CITI	— Citigroup Global Markets Inc.
CAD	— Canadian Dollar	DUB	— Deutsche Bank AG
DKK	— Danish Krone	GSC	— Goldman Sachs & Co.
EUR	— Euro	HSBC	— HSBC Bank USA
GBP	— British Pound	JPM	— JPMorgan Chase & Co.
JPY	— Japanese Yen	MLP	— Merrill Lynch, Pierce, Fenner & Smith Inc.
NZD	— New Zealand Dollar	SCB	— Standard Chartered Bank
PEN	— Peruvian Sol	SOG	— Societe Generale SA
SGD	— Singapore Dollar	UBS	— UBS Securities LLC
ZAR	— South African Rand

See pages 295-296 for definitions of ratings.

See Notes to Financial Statements.

276

Schedules of Investments

(continued)

Ultra-Short Term Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	CORPORATE BONDS & NOTES — 59.1%
	Aerospace/Defense — 0.5%
$	1,500,000	BBB-	Spirit AeroSystems Inc., Company Guaranteed Notes, 3.210% (3-Month USD-LIBOR + 0.800%) due 6/15/21(a)	$	1,500,463
	1,000,000	BBB+	United Technologies Corp., Senior Unsecured Notes, 2.818% (3-Month USD-LIBOR + 0.650%) due 8/16/21(a)		1,000,125
			Total Aerospace/Defense		2,500,588
	Agriculture — 1.8%
			BAT Capital Corp., Company Guaranteed Notes:
	1,800,000	BBB+	2.297% due 8/14/20		1,800,449
	2,330,000	BBB+	2.765% (3-Month USD-LIBOR + 0.590%) due 8/14/20(a)		2,334,985
	1,400,000	BBB+	3.038% (3-Month USD-LIBOR + 0.880%) due 8/15/22(a)		1,405,580
	1,500,000	BBB+	BAT International Finance PLC, Company Guaranteed Notes, 1.625% due 9/9/19		1,499,713
	1,100,000	BBB	Imperial Brands Finance PLC, Company Guaranteed Notes, 2.950% due 7/21/20(b)		1,105,945
	1,000,000	BBB+	Reynolds American Inc., Company Guaranteed Notes, 6.875% due 5/1/20		1,028,826
			Total Agriculture		9,175,498
	Airlines — 0.5%
	1,500,000	BB+	Delta Air Lines Inc., Senior Unsecured Notes, 2.875% due 3/13/20		1,500,444
	414,002	A+	Northwest Airlines Inc. Class A Pass-Through Trust, Series 2007-1, Pass-Thru Certificates, 7.027% due 11/1/19		416,755
	203,653	A	Northwest Airlines Inc. Class G-2 Pass-Through Trust, Series 2002-1, Pass-Thru Certificates, 6.264% due 11/20/21		210,058
	500,000	BBB+	Southwest Airlines Co., Senior Unsecured Notes, 2.750% due 11/6/19		500,116
			Total Airlines		2,627,373
	Auto Manufacturers — 7.9%
	500,000	A+	BMW US Capital LLC, Company Guaranteed Notes, 2.676% (3-Month USD-LIBOR + 0.500%) due 8/13/21(a)(b)		501,326
			Daimler Finance North America LLC, Company Guaranteed Notes:
	500,000	A	2.611% (3-Month USD-LIBOR + 0.430%) due 2/12/21(a)(b)		499,468
	5,600,000	A	3.030% (3-Month USD-LIBOR + 0.880%) due 2/22/22(a)(b)		5,623,937
			Ford Motor Credit Co. LLC, Senior Unsecured Notes:
	3,400,000	BBB	3.311% (3-Month USD-LIBOR + 1.000%) due 1/9/20(a)		3,405,895
	1,000,000	BBB	8.125% due 1/15/20		1,020,959
	1,000,000	BBB	2.343% due 11/2/20		995,781
	1,037,000	BBB	3.099% (3-Month USD-LIBOR + 0.810%) due 4/5/21(a)		1,029,417
	1,100,000	BBB	3.220% (3-Month USD-LIBOR + 0.880%) due 10/12/21(a)		1,088,842
			General Motors Co., Senior Unsecured Notes:
	1,900,000	BBB	3.009% (3-Month USD-LIBOR + 0.800%) due 8/7/20(a)		1,902,838
	200,000	BBB	3.353% (3-Month USD-LIBOR + 0.900%) due 9/10/21(a)		199,877
			General Motors Financial Co., Inc.:
			Company Guaranteed Notes:
	300,000	BBB	3.161% (3-Month USD-LIBOR + 0.850%) due 4/9/21(a)		300,013
	1,500,000	BBB	3.640% (3-Month USD-LIBOR + 1.310%) due 6/30/22(a)		1,501,338
	2,400,000	BBB	Senior Unsecured Notes, 3.339% (3-Month USD-LIBOR + 1.100%) due 11/6/21(a)		2,400,673
			Harley-Davidson Financial Services Inc., Company Guaranteed Notes:
	1,300,000	BBB+	2.400% due 9/15/19(b)		1,299,889
	500,000	BBB+	2.150% due 2/26/20(b)		499,049
	500,000	BBB+	2.400% due 6/15/20(b)		499,843
			Hyundai Capital America, Senior Unsecured Notes:
	400,000	BBB+	1.750% due 9/27/19(b)		400,004
	600,000	BBB+	3.202% (3-Month USD-LIBOR + 0.800%) due 9/18/20(a)(b)		601,409
	800,000	BBB+	3.256% (3-Month USD-LIBOR + 0.820%) due 3/12/21(a)		800,643
	600,000	BBB+	3.243% (3-Month USD-LIBOR + 0.940%) due 7/8/21(a)		600,541

See Notes to Financial Statements.

277

Schedules of Investments

(continued)

Ultra-Short Term Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Auto Manufacturers — 7.9% — (continued)
$	800,000	BBB+	Hyundai Capital Services Inc., Senior Unsecured Notes, 2.625% due 9/29/20	$	800,721
			Nissan Motor Acceptance Corp., Senior Unsecured Notes:
	3,900,000	A-	2.693% (3-Month USD-LIBOR + 0.390%) due 7/13/20(a)(b)		3,900,940
	1,500,000	A-	2.720% (3-Month USD-LIBOR + 0.390%) due 9/28/20(a)(b)		1,500,123
	1,000,000	A-	2.930% (3-Month USD-LIBOR + 0.520%) due 3/15/21(a)(b)		999,889
	1,700,000	A-	2.953% (3-Month USD-LIBOR + 0.650%) due 7/13/22(a)(b)		1,693,804
	1,000,000	A-	3.020% (3-Month USD-LIBOR + 0.690%) due 9/28/22(a)(b)		996,024
			Volkswagen Group of America Finance LLC, Company Guaranteed Notes:
	1,000,000	BBB+	2.450% due 11/20/19(b)		999,935
	500,000	BBB+	2.400% due 5/22/20(b)		500,601
	1,500,000	BBB+	2.946% (3-Month USD-LIBOR + 0.770%) due 11/13/20(a)(b)		1,506,790
	1,000,000	BBB+	3.875% due 11/13/20(b)		1,018,969
			Total Auto Manufacturers		39,089,538
	Auto Parts & Equipment — 0.1%
	300,000	BBB-	ZF North America Capital Inc., Company Guaranteed Notes, 4.000% due 4/29/20		300,989
	Banks — 17.7%
	1,400,000	A-	Aozora Bank Ltd., Senior Unsecured Notes, 2.750% due 3/9/20		1,400,890
	1,800,000	BBB-	Axis Bank Ltd., Senior Unsecured Notes, 3.250% due 5/21/20		1,806,749
	800,000	A	Banco Santander Chile, Senior Unsecured Notes, 3.344% (3-Month USD-LIBOR + 1.200%) due 11/28/21(a)		810,689
	1,600,000	A-	Bank of America Corp., Senior Unsecured Notes, 2.969% (3-Month USD-LIBOR + 0.650%) due 10/1/21(a)		1,604,744
			Barclays PLC, Senior Unsecured Notes:
	2,300,000	BBB	4.291% (3-Month USD-LIBOR + 2.110%) due 8/10/21(a)		2,341,685
	300,000	BBB	3.588% (3-Month USD-LIBOR + 1.430%) due 2/15/23(a)		300,210
	2,000,000	A	Chiba Bank Ltd. (The), Senior Unsecured Notes, 2.750% due 7/29/20		2,000,896
	2,100,000	A+	Citibank NA, Senior Unsecured Notes, 2.736% (3-Month USD-LIBOR + 0.600%) due 5/20/22(a)		2,104,612
	1,500,000	BBB+	Citigroup Inc., Senior Unsecured Notes, 3.233% (3-Month USD-LIBOR + 0.950%) due 7/24/23(a)		1,507,342
	1,200,000	A+	Cooperatieve Rabobank UA, Senior Unsecured Notes, 3.168% (3-Month USD-LIBOR + 0.830%) due 1/10/22(a)		1,212,438
	2,000,000	BBB+	Credit Suisse Group Funding Guernsey Ltd., Company Guaranteed Notes, 4.590% (3-Month USD-LIBOR + 2.290%) due 4/16/21(a)		2,058,101
			Danske Bank AS, Senior Unsecured Notes:
	900,000	A	1.650% due 9/6/19(b)		899,968
	500,000	A	2.750% due 9/17/20		501,820
			DBS Group Holdings Ltd., Senior Unsecured Notes:
	1,000,000	Aa2(c)	2.896% (3-Month USD-LIBOR + 0.620%) due 7/25/22(a)		1,005,407
	3,000,000	Aa2(c)	2.896% (3-Month USD-LIBOR + 0.620%) due 7/25/22(a)(b)		3,016,221
	300,000	BBB-	Discover Bank, Subordinated Notes, 8.700% due 11/18/19		303,622
	1,000,000	AA-	DNB Bank ASA, Senior Unsecured Notes, 3.208% (3-Month USD-LIBOR + 1.070%) due 6/2/21(a)		1,013,160
	600,000	NR	Eksportfinans ASA, Senior Unsecured Notes, 2.981% (3-Month USD-LIBOR + 0.800%) due 11/10/20(a)(d)		600,672
	300,000	A3(c)	Emirates NBD PJSC, Senior Unsecured Notes, 3.806% (3-Month USD-LIBOR + 1.550%) due 1/26/20(a)		301,872
	1,000,000	AA-	First Abu Dhabi Bank PJSC, Senior Unsecured Notes, 3.272% (3-Month USD-LIBOR + 0.950%) due 4/16/22(a)		1,006,243
	800,000	A+	Goldman Sachs Bank USA, Senior Unsecured Notes, 2.725% (SOFR + 0.600%) due 5/24/21(a)		800,581
			Goldman Sachs Group Inc. (The), Senior Unsecured Notes:
	1,000,000	BBB+	3.041% (3-Month USD-LIBOR + 0.730%) due 12/27/20(a)		1,001,352
	900,000	BBB+	3.328% (3-Month USD-LIBOR + 1.170%) due 11/15/21(a)		906,608
	1,000,000	BBB+	3.377% (3-Month USD-LIBOR + 1.110%) due 4/26/22(a)		1,008,195
	1,986,000	BBB+	3.036% (3-Month USD-LIBOR + 0.780%) due 10/31/22(a)		1,990,962

See Notes to Financial Statements.

278

Schedules of Investments

(continued)

Ultra-Short Term Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Banks — 17.7% — (continued)
			HSBC Holdings PLC, Senior Unsecured Notes:
$	2,300,000	A	3.086% (3-Month USD-LIBOR + 0.650%) due 9/11/21(a)	$	2,302,445
	1,400,000	A	3.789% (3-Month USD-LIBOR + 1.500%) due 1/5/22(a)		1,426,074
	3,100,000	A	3.124% (3-Month USD-LIBOR + 1.000%) due 5/18/24(a)		3,106,129
			ICICI Bank Ltd., Senior Unsecured Notes:
	700,000	BBB-	3.125% due 8/12/20		703,234
	500,000	BBB-	5.750% due 11/16/20		518,025
	1,200,000	A-	ING Groep NV, Senior Unsecured Notes, 3.480% (3-Month USD-LIBOR + 1.150%) due 3/29/22(a)		1,213,740
	3,900,000	A-	JPMorgan Chase & Co., Senior Unsecured Notes, 3.012% (3-Month USD-LIBOR + 0.610%) due 6/18/22(a)		3,907,575
	300,000	BBB+	Kasikornbank PCL, Senior Unsecured Notes, 3.500% due 10/25/19		300,543
	400,000	BBB+	Lloyds Banking Group PLC, Senior Unsecured Notes, 3.186% (3-Month USD-LIBOR + 0.800%) due 6/21/21(a)		401,276
	200,000	BBB	Macquarie Group Ltd., Senior Unsecured Notes, 3.661% (3-Month USD-LIBOR + 1.350%) due 3/27/24(a)(b)		202,858
			Mizuho Financial Group Inc., Senior Unsecured Notes:
	3,500,000	A-	3.590% (3-Month USD-LIBOR + 1.140%) due 9/13/21(a)		3,541,596
	500,000	A-	3.084% (3-Month USD-LIBOR + 0.940%) due 2/28/22(a)		503,078
	1,500,000	A-	3.331% (3-Month USD-LIBOR + 0.880%) due 9/11/22(a)		1,506,203
	1,400,000	A-	NatWest Markets PLC, Senior Unsecured Notes, 3.719% (3-Month USD-LIBOR + 1.400%) due 9/29/22(a)(b)		1,408,852
			QNB Finance Ltd.:
			Company Guaranteed Notes:
	1,500,000	Aa3(c)	3.559% (3-Month USD-LIBOR + 1.350%) due 2/7/20(a)		1,507,458
	600,000	A	3.474% (3-Month USD-LIBOR + 1.350%) due 5/31/21(a)		608,323
	1,000,000	Aa3(c)	3.870% (3-Month USD-LIBOR + 1.570%) due 7/18/21(a)		1,013,059
	800,000	A	3.266% (3-Month USD-LIBOR + 1.000%) due 5/2/22(a)		802,992
	1,600,000	Aa3(c)	Senior Unsecured Notes, 3.631% (3-Month USD-LIBOR + 1.450%) due 8/11/21		1,604,148
	800,000	Aa3(c)	QNB Finance Ltd., (Restricted, cost — $808,304, acquired 6/20/19), Senior Unsecured Notes, 3.794% (3-Month USD-LIBOR + 1.320%) due 12/6/21(a)(d)(e)		801,400
	4,000,000	BBB	Royal Bank of Scotland Group PLC, Senior Unsecured Notes, 3.628% (3-Month USD-LIBOR + 1.470%) due 5/15/23(a)		3,991,759
	800,000	BBB	Santander UK Group Holdings PLC, Senior Unsecured Notes, 2.875% due 10/16/20		803,929
			Santander UK PLC, Senior Unsecured Notes:
	1,000,000	A	2.350% due 9/10/19		1,000,037
	2,000,000	A	2.375% due 3/16/20		2,002,415
	800,000	A	2.758% (3-Month USD-LIBOR + 0.620%) due 6/1/21(a)		800,556
			Standard Chartered PLC, Senior Unsecured Notes:
	1,000,000	BBB+	2.400% due 9/8/19		1,000,017
	2,800,000	BBB+	2.400% due 9/8/19(b)		2,800,047
	2,550,000	BBB-	State Bank of India, Senior Unsecured Notes, 3.253% (3-Month USD-LIBOR + 0.950%) due 4/6/20(a)		2,554,441
	300,000	A	Sumitomo Mitsui Banking Corp., Company Guaranteed Notes, 2.692% (3-Month USD-LIBOR + 0.370%) due 10/16/20(a)		300,762
			Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes:
	3,100,000	A-	3.120% (3-Month USD-LIBOR + 0.780%) due 7/12/22(a)		3,111,211
	500,000	A-	3.040% (3-Month USD-LIBOR + 0.740%) due 10/18/22(a)		502,101
	1,400,000	A	Sumitomo Mitsui Trust Bank Ltd., Senior Unsecured Notes, 2.859% (3-Month USD-LIBOR + 0.440%) due 9/19/19(a)(b)		1,400,369
	650,000	BBB	Synchrony Bank, Senior Unsecured Notes, 2.955% (3-Month USD-LIBOR + 0.625%) due 3/30/20(a)		650,199
	4,300,000	A-	UBS Group Funding Switzerland AG, Company Guaranteed Notes, 4.083% (3-Month USD-LIBOR + 1.780%) due 4/14/21(a)(b)		4,393,556
	2,811,000	A-	Wells Fargo & Co., Senior Unsecured Notes, 3.111% (3-Month USD-LIBOR + 0.930%) due 2/11/22(a)		2,827,810

See Notes to Financial Statements.

279

Schedules of Investments

(continued)

Ultra-Short Term Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Banks — 17.7% — (continued)
$	1,000,000	A+	Wells Fargo Bank NA, Senior Unsecured Notes, 2.752% (3-Month USD-LIBOR + 0.620%) due 5/27/22(a)	$	1,002,116
			Total Banks		88,025,372
	Beverages — 0.2%
	1,000,000	BBB	Constellation Brands Inc., Company Guaranteed Notes, 2.858% (3-Month USD-LIBOR + 0.700%) due 11/15/21(a)		1,000,243
	Building Materials — 0.4%
	1,000,000	BBB	Holcim US Finance Sarl & Cie SCS, Company Guaranteed Notes, 6.000% due 12/30/19		1,009,408
	1,100,000	BBB	Vulcan Materials Co., Senior Unsecured Notes, 3.010% (3-Month USD-LIBOR + 0.600%) due 6/15/20(a)		1,101,264
			Total Building Materials		2,110,672
	Chemicals — 0.6%
			Incitec Pivot Finance LLC, Company Guaranteed Notes:
	1,000,000	BBB	6.000% due 12/10/19		1,008,429
	250,000	BBB	6.000% due 12/10/19(b)		252,107
	1,900,000	BBB-	Syngenta Finance NV, Company Guaranteed Notes, 3.698% due 4/24/20(b)		1,907,556
			Total Chemicals		3,168,092
	Commercial Services — 1.5%
			Central Nippon Expressway Co., Ltd., Senior Unsecured Notes:
	3,300,000	A1(c)	2.079% due 11/5/19		3,299,092
	3,000,000	A1(c)	2.948% (3-Month USD-LIBOR + 0.810%) due 3/3/22(a)		3,019,035
	1,150,000	BBB	Equifax Inc., Senior Unsecured Notes, 3.028% (3-Month USD-LIBOR + 0.870%) due 8/15/21(a)		1,148,217
			Total Commercial Services		7,466,344
	Computers — 1.0%
	1,500,000	BBB-	Dell International LLC/EMC Corp., Senior Secured Notes, 4.420% due 6/15/21(b)		1,547,419
	3,500,000	BBB	Hewlett Packard Enterprise Co., Senior Unsecured Notes, 2.100% due 10/4/19(b)		3,499,041
			Total Computers		5,046,460
	Diversified Financial Services — 4.4%
			AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes:
	600,000	BBB-	4.625% due 10/30/20		614,689
	300,000	BBB-	5.000% due 10/1/21		314,659
	400,000	BBB-	4.625% due 7/1/22		423,123
			Air Lease Corp., Senior Unsecured Notes:
	300,000	BBB	2.125% due 1/15/20		299,840
	1,400,000	BBB	3.500% due 1/15/22		1,439,729
			Aircastle Ltd., Senior Unsecured Notes:
	457,000	BBB-	7.625% due 4/15/20		471,729
	1,100,000	BBB-	5.125% due 3/15/21		1,140,796
	500,000	BB+	Ally Financial Inc., Senior Unsecured Notes, 3.750% due 11/18/19		501,063
	500,000	BBB-	Avolon Holdings Funding Ltd., Company Guaranteed Notes, 5.500% due 1/15/23(b)		533,950
			BOC Aviation Ltd., Senior Unsecured Notes:
	700,000	A-	3.000% due 3/30/20		701,958
	1,000,000	A-	3.316% (3-Month USD-LIBOR + 1.050%) due 5/2/21(a)		1,004,950
	1,000,000	A-	3.316% (3-Month USD-LIBOR + 1.050%) due 5/2/21(a)(b)		1,004,950
	1,000,000	A-	3.000% due 5/23/22		1,007,487
	500,000	A-	2.750% due 9/18/22		501,368
	200,000	A-	2.750% due 9/18/22(b)		200,547
	500,000	BBB-	Cantor Fitzgerald LP, Unsecured Notes, 7.875% due 10/15/19(b)		503,000
			International Lease Finance Corp., Senior Unsecured Notes:
	700,000	BBB-	8.250% due 12/15/20		751,350
	1,300,000	BBB-	8.625% due 1/15/22		1,481,726

See Notes to Financial Statements.

280

Schedules of Investments

(continued)

Ultra-Short Term Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Diversified Financial Services — 4.4% — (continued)
			Mitsubishi UFJ Lease & Finance Co., Ltd., Senior Unsecured Notes:
$	2,200,000	A-	2.500% due 3/9/20	$	2,209,390
	500,000	A-	2.652% due 9/19/22(b)		503,477
	1,100,000	B+	Navient Corp., Senior Unsecured Notes, 8.000% due 3/25/20		1,135,750
			ORIX Corp., Senior Unsecured Notes:
	3,300,000	A-	2.650% due 4/13/21		3,311,880
	200,000	A-	3.200% due 1/19/22		204,788
	400,000	A-	2.900% due 7/18/22		408,726
			Park Aerospace Holdings Ltd., Company Guaranteed Notes:
	100,000	BBB-	3.625% due 3/15/21(b)		100,980
	600,000	BBB-	5.250% due 8/15/22(b)		635,250
	400,000	BB-	Springleaf Finance Corp., Company Guaranteed Notes, 7.750% due 10/1/21		438,500
			Total Diversified Financial Services		21,845,655
	Electric — 2.9%
	700,000	A3(c)	Chugoku Electric Power Co., Inc. (The), Senior Secured Notes, 2.701% due 3/16/20		701,051
	1,000,000	A+	CLP Power Hong Kong Financing Ltd., Company Guaranteed Notes, 4.750% due 3/19/20		1,013,385
	1,600,000	BBB+	Duke Energy Corp., Senior Unsecured Notes, 2.675% (3-Month USD-LIBOR + 0.500%) due 5/14/21(a)(b)(d)		1,605,508
	1,500,000	A-	Duke Energy Kentucky Inc., Senior Unsecured Notes, 4.650% due 10/1/19(b)		1,502,634
			Exelon Generation Co. LLC, Senior Unsecured Notes:
	700,000	BBB+	2.950% due 1/15/20		701,392
	300,000	BBB+	4.000% due 10/1/20		304,298
	2,700,000	A-	Mississippi Power Co., Senior Unsecured Notes, 2.961% (3-Month USD-LIBOR + 0.650%) due 3/27/20(a)		2,700,390
			NextEra Energy Capital Holdings Inc., Company Guaranteed Notes:
	1,800,000	BBB+	2.544% (3-Month USD-LIBOR + 0.400%) due 8/21/20(a)		1,800,119
	700,000	BBB+	2.694% (3-Month USD-LIBOR + 0.550%) due 8/28/21(a)		700,050
	1,700,000	BBB+	Sempra Energy, Senior Unsecured Notes, 2.860% (3-Month USD-LIBOR + 0.450%) due 3/15/21(a)		1,695,851
	1,500,000	BBB+	Southern Power Co., Senior Unsecured Notes, 2.937% (3-Month USD-LIBOR + 0.550%) due 12/20/20(a)(b)		1,500,219
			Total Electric		14,224,897
	Electronics — 0.1%
	300,000	BBB-	Arrow Electronics Inc., Senior Unsecured Notes, 3.500% due 4/1/22		306,360
	Food — 1.1%
	400,000	BBB-	Campbell Soup Co., Senior Unsecured Notes, 3.040% (3-Month USD-LIBOR + 0.630%) due 3/15/21(a)		399,750
	1,500,000	BBB-	Conagra Brands Inc., Senior Unsecured Notes, 2.811% (3-Month USD-LIBOR + 0.500%) due 10/9/20(a)		1,500,698
	1,000,000	Baa2(c)	Grupo Bimbo SAB de CV, Company Guaranteed Notes, 4.875% due 6/30/20		1,018,106
	1,500,000	BBB-	Kraft Heinz Foods Co., Company Guaranteed Notes, 2.751% (3-Month USD-LIBOR + 0.570%) due 2/10/21(a)		1,494,529
	1,000,000	BBB	Mondelez International Holdings Netherlands BV, Company Guaranteed Notes, 2.866% (3-Month USD-LIBOR + 0.610%) due 10/28/19(a)(b)		1,000,941
			Total Food		5,414,024
	Gas — 0.5%
	600,000	BBB	Centrica PLC, Senior Unsecured Notes, 3.349% (3-Month USD-LIBOR + 1.000%) due 9/25/20(a)		601,565
	1,000,000	BBB+	Dominion Energy Gas Holdings LLC, Senior Unsecured Notes, 2.500% due 12/15/19		1,000,058
	950,000	BB+	WGL Holdings Inc., Senior Unsecured Notes, 2.986% (3-Month USD-LIBOR + 0.550%) due 3/12/20(a)		948,433
			Total Gas		2,550,056

See Notes to Financial Statements.

281

Schedules of Investments

(continued)

Ultra-Short Term Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Healthcare — Products — 0.5%
$	1,400,000	BBB	Becton Dickinson & Co., Senior Unsecured Notes, 2.675% due 12/15/19	$	1,401,198
	900,000	BBB	Zimmer Biomet Holdings Inc., Senior Unsecured Notes, 3.169% (3-Month USD-LIBOR + 0.750%) due 3/19/21(a)		899,229
			Total Healthcare — Products		2,300,427
	Healthcare — Services — 0.2%
	1,200,000	A-	Cigna Holding Co., Company Guaranteed Notes, 5.125% due 6/15/20		1,226,717
	Holding Companies — Diversified — 0.1%
	500,000	A	Hutchison Whampoa International 11 Ltd., Company Guaranteed Notes, 4.625% due 1/13/22		525,586
	Household Products/Wares — 0.2%
	900,000	A-	Reckitt Benckiser Treasury Services PLC, Company Guaranteed Notes, 2.903% (3-Month USD-LIBOR + 0.560%) due 6/24/22(a)(b)		895,844
	Insurance — 1.1%
	500,000	BBB+	American International Group Inc., Senior Unsecured Notes, 3.300% due 3/1/21		508,498
	1,100,000	BBB	Assurant Inc., Senior Unsecured Notes, 3.583% (3-Month USD-LIBOR + 1.250%) due 3/26/21(a)		1,100,076
			Athene Global Funding, Secured Notes:
	1,500,000	A	2.750% due 4/20/20(b)		1,505,110
	2,500,000	A	3.562% (3-Month USD-LIBOR + 1.230%) due 7/1/22(a)(b)		2,516,784
			Total Insurance		5,630,468
	Lodging — 0.3%
			Las Vegas Sands Corp., Senior Unsecured Notes:
	200,000	BBB-	3.200% due 8/8/24		204,304
	600,000	BBB-	3.500% due 8/18/26		613,463
	400,000	BBB	Marriott International Inc., Senior Unsecured Notes, 3.103% (3-Month USD-LIBOR + 0.650%) due 3/8/21(a)		401,699
	250,000	BB-	MGM Resorts International, Company Guaranteed Notes, 6.750% due 10/1/20		261,250
			Total Lodging		1,480,716
	Machinery — Diversified — 0.3%
	400,000	BBB	CNH Industrial Capital LLC, Company Guaranteed Notes, 3.875% due 10/15/21		410,072
	1,200,000	BBB	Wabtec Corp., Company Guaranteed Notes, 3.710% (3-Month USD-LIBOR + 1.300%) due 9/15/21(a)		1,200,104
			Total Machinery — Diversified		1,610,176
	Media — 0.9%
			Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes:
	3,018,000	BBB-	3.579% due 7/23/20		3,047,145
	1,000,000	BBB-	4.464% due 7/23/22		1,055,615
	500,000	BBB-	Time Warner Cable LLC, Senior Secured Notes, 5.000% due 2/1/20		505,038
			Total Media		4,607,798
	Mining — 0.1%
	300,000	Baa1(c)	Minmetals Bounteous Finance BVI Ltd., Company Guaranteed Notes, 3.500% due 7/30/20		302,528
	Miscellaneous Manufacturers — 0.5%
			General Electric Co.:
	564,000	BBB+	Senior Secured Notes, 2.100% due 12/11/19		562,372
	1,200,000	BBB+	Senior Unsecured Notes, 2.740% (3-Month USD-LIBOR + 0.410%) due 3/28/20(a)		1,192,555
	700,000	BBB	Textron Inc., Senior Unsecured Notes, 2.731% (3-Month USD-LIBOR + 0.550%) due 11/10/20(a)		700,015
			Total Miscellaneous Manufacturers		2,454,942

See Notes to Financial Statements.

282

Schedules of Investments

(continued)

Ultra-Short Term Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Oil & Gas — 2.6%
$	1,300,000	A-	BP Capital Markets America Inc., Company Guaranteed Notes, 3.069% (3-Month USD-LIBOR + 0.650%) due 9/19/22(a)	$	1,302,919
	2,800,000	A+	CNOOC Finance 2015 Australia Pty Ltd., Company Guaranteed Notes, 2.625% due 5/5/20		2,807,014
			EQT Corp., Senior Unsecured Notes:
	700,000	BBB-	2.500% due 10/1/20		696,342
	1,500,000	BBB-	3.089% (3-Month USD-LIBOR + 0.770%) due 10/1/20(a)		1,495,150
	2,000,000	BBB+	Phillips 66, Company Guaranteed Notes, 3.053% (3-Month USD-LIBOR + 0.750%) due 4/15/20(a)(b)		2,000,614
	1,000,000	A	Ras Laffan Liquefied Natural Gas Co., Ltd. III, Senior Secured Notes, 6.750% due 9/30/19		1,002,890
	2,250,000	A+	Sinopec Group Overseas Development 2015 Ltd., Company Guaranteed Notes, 2.500% due 4/28/20		2,252,432
	1,200,000	A+	Sinopec Group Overseas Development 2017 Ltd., Company Guaranteed Notes, 2.250% due 9/13/20		1,200,620
			Total Oil & Gas		12,757,981
	Pharmaceuticals — 3.6%
			Allergan Funding SCS, Company Guaranteed Notes:
	1,300,000	BBB	3.000% due 3/12/20		1,304,143
	1,500,000	BBB	3.691% (3-Month USD-LIBOR + 1.255%) due 3/12/20(a)		1,507,532
	600,000	BBB	Bayer US Finance II LLC, Company Guaranteed Notes, 2.979% (3-Month USD-LIBOR + 0.630%) due 6/25/21(a)(b)		600,317
			Bayer US Finance LLC, Company Guaranteed Notes:
	500,000	BBB	2.375% due 10/8/19		499,800
	3,000,000	BBB	2.375% due 10/8/19(b)		2,998,800
	700,000	BBB+	Cardinal Health Inc., Senior Unsecured Notes, 3.180% (3-Month USD-LIBOR + 0.770%) due 6/15/22(a)		697,651
	400,000	A-	Cigna Corp., Company Guaranteed Notes, 3.060% (3-Month USD-LIBOR + 0.650%) due 9/17/21(a)		400,013
	1,400,000	BBB	CVS Health Corp., Senior Unsecured Notes, 3.173% (3-Month USD-LIBOR + 0.720%) due 3/9/21(a)		1,406,488
			Mylan NV, Company Guaranteed Notes:
	1,400,000	BBB-	3.750% due 12/15/20		1,425,916
	200,000	BBB-	3.150% due 6/15/21		202,348
	5,900,000	BBB+	Shire Acquisitions Investments Ireland DAC, Company Guaranteed Notes, 1.900% due 9/23/19		5,898,780
	1,100,000	BB	Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes, 2.200% due 7/21/21		1,034,000
			Total Pharmaceuticals		17,975,788
	Pipelines — 1.4%
	1,000,000	BBB	Andeavor Logistics LP/Tesoro Logistics Finance Corp., Company Guaranteed Notes, 5.500% due 10/15/19		1,000,805
	1,600,000	BBB+	Enbridge Inc., Company Guaranteed Notes, 2.738% (3-Month USD-LIBOR + 0.400%) due 1/10/20(a)		1,600,753
	1,000,000	BBB	Kinder Morgan Energy Partners LP, Company Guaranteed Notes, 6.850% due 2/15/20		1,019,232
			Plains All American Pipeline LP/PAA Finance Corp., Senior Unsecured Notes:
	700,000	BBB-	2.600% due 12/15/19		699,457
	500,000	BBB-	5.750% due 1/15/20		505,481
	1,600,000	BBB-	Rockies Express Pipeline LLC, Senior Unsecured Notes, 5.625% due 4/15/20(b)		1,639,608
	300,000	BBB-	Sabine Pass Liquefaction LLC, Senior Secured Notes, 5.625% due 2/1/21		310,470
	200,000	BBB+	Spectra Energy Partners LP, Company Guaranteed Notes, 3.179% (3-Month USD-LIBOR + 0.700%) due 6/5/20(a)		200,428
			Total Pipelines		6,976,234

See Notes to Financial Statements.

283

Schedules of Investments

(continued)

Ultra-Short Term Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Real Estate — 0.5%
$	1,200,000	AA-	Qatari Diar Finance Co., GOVT GUARANTEED, 5.000% due 7/21/20	$	1,227,846
	1,000,000	A-	Sinochem Overseas Capital Co., Ltd., Company Guaranteed Notes, 4.500% due 11/12/20		1,024,530
			Total Real Estate		2,252,376
	Retail — 0.2%
	300,000	BBB-	AutoNation Inc., Company Guaranteed Notes, 5.500% due 2/1/20		303,549
	500,000	BBB+	McDonald’s Corp., Senior Unsecured Notes, 2.686% (3-Month USD-LIBOR + 0.430%) due 10/28/21(a)		499,611
			Total Retail		803,160
	Semiconductors — 1.4%
			Broadcom Corp./Broadcom Cayman Finance Ltd., Company Guaranteed Notes:
	4,600,000	BBB-	2.375% due 1/15/20		4,598,368
	500,000	BBB-	3.000% due 1/15/22		504,488
	1,000,000	BBB-	Broadcom Inc., Company Guaranteed Notes, 3.125% due 10/15/22(b)		1,013,318
			NXP BV/NXP Funding LLC, Company Guaranteed Notes:
	600,000	BBB-	4.625% due 6/15/22(b)		632,304
	300,000	BBB-	3.875% due 9/1/22(b)		311,209
			Total Semiconductors		7,059,687
	Telecommunications — 2.5%
	4,000,000	BBB	AT&T Inc., Senior Unsecured Notes, 3.616% (3-Month USD-LIBOR + 1.180%) due 6/12/24(a)		4,064,850
	2,600,000	BBB+	Deutsche Telekom International Finance BV, Company Guaranteed Notes, 2.869% (3-Month USD-LIBOR + 0.450%) due 9/19/19(a)(b)		2,600,527
	200,000	B*	Sprint Corp., Company Guaranteed Notes, 7.250% due 9/15/21		215,640
			Verizon Communications Inc., Senior Unsecured Notes:
	700,000	BBB+	3.410% (3-Month USD-LIBOR + 1.000%) due 3/16/22(a)		711,384
	1,800,000	BBB+	3.258% (3-Month USD-LIBOR + 1.100%) due 5/15/25(a)		1,828,977
	3,200,000	BBB	Vodafone Group PLC, Senior Unsecured Notes, 3.312% (3-Month USD-LIBOR + 0.990%) due 1/16/24(a)		3,225,517
			Total Telecommunications		12,646,895
	Transportation — 0.1%
	600,000	BBB-	Pacific National Finance Pty Ltd., Company Guaranteed Notes, 4.625% due 9/23/20(b)		611,880
	Trucking & Leasing — 1.4%
			Aviation Capital Group LLC, Senior Unsecured Notes:
	1,800,000	A-	2.936% (3-Month USD-LIBOR + 0.670%) due 7/30/21(a)(b)		1,799,482
	900,000	A-	2.875% due 1/20/22(b)		913,786
	100,000	BB+	DAE Funding LLC, Company Guaranteed Notes, 4.000% due 8/1/20(b)		101,444
	800,000	BBB	GATX Corp., Senior Unsecured Notes, 3.007% (3-Month USD-LIBOR + 0.720%) due 11/5/21(a)		796,227
	2,400,000	AA-	NTT Finance Corp., Senior Unsecured Notes, 2.860% (3-Month USD-LIBOR + 0.530%) due 6/29/20(a)		2,404,656
	200,000	BBB	Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes, 3.200% due 7/15/20(b)		200,814
	700,000	A-	SMBC Aviation Capital Finance DAC, Company Guaranteed Notes, 3.550% due 4/15/24(b)		730,953
			Total Trucking & Leasing		6,947,362
			TOTAL CORPORATE BONDS & NOTES (Cost — $292,635,607)		293,918,726
	COLLATERALIZED MORTGAGE OBLIGATIONS — 18.0%
	612,816	BB-	ACE Securities Corp. Home Equity Loan Trust, Series 2004-OP1, Class M1, 2.925% (1-Month USD-LIBOR + 0.780%) due 4/25/34(a)		607,582
	85,256	AAA	Apidos CLO XVI, Series 2013-16A, Class A1R, 3.283% (3-Month USD-LIBOR + 0.980%) due 1/19/25(a)(b)		85,342

See Notes to Financial Statements.

284

Schedules of Investments

(continued)

Ultra-Short Term Fixed Income Fund
Face Amount/Units†			Rating††	Security	Value
	COLLATERALIZED MORTGAGE OBLIGATIONS — 18.0% — (continued)
	400,000	EUR	Aaa(c)	Arbour CLO IV DAC, Series 2004-A, Class A2R, (3-Month EURIBOR + 0.870%) due 1/15/30(a)(b)	$	439,603
$	700,000		AAA	Atrium Hotel Portfolio Trust, Series 2018-ATRM, Class A, 3.145% (1-Month USD-LIBOR + 0.950%) due 6/15/35(a)(b)		699,173
	738,349		AAA	B&M CLO Ltd., Series 2014-1A, Class A1R, 3.052% (3-Month USD-LIBOR + 0.730%) due 4/16/26(a)(b)		738,020
				BAMLL Commercial Mortgage Securities Trust:
	500,000		AAA	Series 2019-AHT, Class A, 3.395% (1-Month USD-LIBOR + 1.200%) due 3/15/34(a)(b)		501,957
	400,000		Aaa(c)	Series 2019-RLJ, Class A, 3.245% (1-Month USD-LIBOR + 1.050%) due 4/15/36(a)(b)		400,464
	924,113		Aaa(c)	Bancorp Commercial Mortgage Trust, Series 2018-CRE4, Class A, 3.095% (1-Month USD-LIBOR + 0.900%) due 9/15/35(a)(b)		924,622
				Bayview Opportunity Master Fund IVa Trust:
	210,820		NR	Series 2019-RN2, Class A1, step bond to yield, 3.967% due 3/28/34(b)		211,843
	183,656		NR	Series 2019-SBR1, Class A1, step bond to yield, 3.475% due 6/28/34(b)		183,966
	389,873		AA+	Bear Stearns ALT-A Trust, Series 2004-10, Class 2A1, 2.805% (1-Month USD-LIBOR + 0.660%) due 9/25/34(a)		386,873
	822,241		BBB-	Bear Stearns Asset Backed Securities I Trust, Series 2005-CL1, Class A2, 2.116% (1-Month USD-LIBOR + 0.500%) due 9/25/34(a)		802,394
	1,894,503		B3(c)	Bear Stearns Second Lien Trust, Series 2007-SV1A, Class M2, 3.495% (1-Month USD-LIBOR + 1.350%) due 1/25/36(a)(b)		1,852,407
	586,798		AAA	Cent CLO 19 Ltd., Series 2013-19A, Class A1A, 3.586% (3-Month USD-LIBOR + 1.330%) due 10/29/25(a)(b)		587,311
	1,000,000		AAA	Citigroup Commercial Mortgage Trust, Series 2017-1500, Class A, 3.045% (1-Month USD-LIBOR + 0.850%) due 7/15/32(a)(b)		1,000,745
				Citigroup Mortgage Loan Trust:
	691,226		NR	Series 2019-B, Class A1, 3.258% due 4/25/66(a)(b)		693,572
	300,000		NR	Series 2019-C, Class A1, step bond to yield, 3.228% due 3/25/82(b)(f)		300,195
	1,850,596	CAD	Aaa(c)	CNH Capital Canada Receivables Trust, Series 2019-1A, Class A1, 2.103% due 2/15/22(b)(d)		1,390,619
	354,278		Aaa(c)	COMM Mortgage Trust, Series 2013-CR6, Class A3FL, 2.831% (1-Month USD-LIBOR + 0.630%) due 3/10/46(a)(b)		353,649
	489,389		NR	Credit Suisse Mortgage Capital Certificates, Series 2019-RPL4, Class A1, 3.830% due 8/26/58(b)		495,698
	300,000		NR	CSMC Trust, Series 2019-RPL8, Class A1, 3.322% due 10/25/58(a)(b)(f)		300,180
	543,760		B-	CWABS Inc. Asset-Backed Certificates Trust, Series 2004-5, Class M1, 3.000% (1-Month USD-LIBOR + 0.855%) due 8/25/34(a)		540,147
	500,000		AAA	Dorchester Park CLO DAC, Series 2015-1A, Class AR, 3.178% (3-Month USD-LIBOR + 0.900%) due 4/20/28(a)(b)		497,352
	500,000	EUR	AAA	Dryden 46 Euro CLO 2016 BV, Series 2016-46A, Class A1R, (3-Month EURIBOR + 0.880%) due 1/15/30(a)(b)		550,448
				Federal Home Loan Mortgage Corp. (FHLMC), REMICS:
	1,614,099		NR	Series 4344, Class FA, 2.852% (1-Month USD-LIBOR + 0.450%) due 12/15/37(a)		1,609,056
	2,095,411		NR	Series 4351, Class FA, 2.852% (1-Month USD-LIBOR + 0.450%) due 5/15/38(a)		2,079,527
				Federal National Mortgage Association (FNMA), REMICS:
	1,115,192		NR	Series 2011-86, Class KF, 2.695% (1-Month USD-LIBOR + 0.550%) due 9/25/41(a)		1,121,521
	2,197,545		NR	Series 2017-108, Class AF, 2.445% (1-Month USD-LIBOR + 0.300%) due 1/25/48(a)		2,189,622
	500,000		AAA	Figueroa CLO Ltd., Series 2013-2A, Class A1RR, 3.237% (3-Month USD-LIBOR + 0.850%) due 6/20/27(a)(b)		499,996
	235,830		BBB+	Finance America Mortgage Loan Trust 2004-2, Series 2004-2, Class M1, 2.970% (1-Month USD-LIBOR + 0.825%) due 8/25/34(a)		236,476
	104,975		AAA	FNBA Mortgage Loan Trust, Series 2004-AR1, Class A2, 2.582% (1-Month USD-LIBOR + 0.400%) due 8/19/34(a)		105,195
	1,200,000		AAA	Ford Credit Floorplan Master Owner Trust A, Series 2018-3, Class A2, 2.595% (1-Month USD-LIBOR + 0.400%) due 10/15/23(a)		1,198,185
	4,000,000		NR	Freddie Mac REMICS, Series 4906, Class WF, 2.567% (1-Month USD-LIBOR + 0.400%) due 12/15/38(a)(f)		3,986,008

See Notes to Financial Statements.

285

Schedules of Investments

(continued)

Ultra-Short Term Fixed Income Fund
Face Amount/Units†			Rating††	Security	Value
	COLLATERALIZED MORTGAGE OBLIGATIONS — 18.0% — (continued)
$	500,000		B	Fremont Home Loan Trust, Series 2005-A, Class M3, 2.880% (1-Month USD-LIBOR + 0.735%) due 1/25/35(a)	$	497,808
				GMF Floorplan Owner Revolving Trust:
	2,000,000		Aaa(c)	Series 2017-2, Class A2, 2.625% (1-Month USD-LIBOR + 0.430%) due 7/15/22(a)(b)		2,002,964
	500,000		AAA	Series 2018-3, Class A, 2.515% (1-Month USD-LIBOR + 0.320%) due 9/15/22(a)(b)		499,809
	1,600,000		AAA	Series 2018-4, Class A1, 3.500% due 9/15/23(b)		1,648,936
	725,157		Aaa(c)	Gosforth Funding PLC, Series 2017-1A, Class A1A, 2.889% (3-Month USD-LIBOR + 0.470%) due 12/19/59(a)(b)		725,424
				Government National Mortgage Association (GNMA):
	2,307,783		NR	Series 2016-H06, Class FD, 3.300% (1-Month USD-LIBOR + 0.920%) due 7/20/65(a)		2,334,981
	168,415		NR	Series 2016-H11, Class F, 3.180% (1-Month USD-LIBOR + 0.800%) due 5/20/66(a)		169,713
	1,927,169		NR	Series 2017-H15, Class FE, 3.310% (1-Year USD-LIBOR + 0.800%) due 7/20/67(a)		1,968,639
	1,000,000		AAA	Great Wolf Trust, Series 2017-WOLF, Class A, 3.045% (1-Month USD-LIBOR + 0.850%) due 9/15/34(a)(b)		1,000,404
	1,000,000		(P)Aaa(c)	Greystone Commercial Real Estate Notes, Series 2019-FL2, Class A, 3.442% (1-Month USD-LIBOR + 1.180%) due 9/15/37(a)(b)		1,002,825
	444,356		Aaa(c)	GS Mortgage Securities Trust, Series 2014-GC18, Class AAB, 3.648% due 1/10/47		458,825
	4,000,000	GBP	AAA	Hawksmoor Mortgages, Series 2019-1A, Class A, zero coupon, (1.050% — **Update Reference Rate Description**SONIO/N) due 5/25/53(a)(b)		4,879,308
	771,429		AAA	Holmes Master Issuer PLC, Series 2018-1A, Class A2, 2.663% (3-Month USD-LIBOR + 0.360%) due 10/15/54(a)(b)		770,800
	168,486		B	Impac CMB Trust, Series 2004-10, Class 1A1, 2.785% (1-Month USD-LIBOR + 0.640%) due 3/25/35(a)		167,336
	490,319		AAA(g)	JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-LAQ, Class A, 3.195% (1-Month USD-LIBOR + 1.000%) due 6/15/32(a)(b)		490,509
	2,000,000	EUR	AAA	Jubilee CLO BV, Series 2015-16A, Class A1R, 0.490% (3-Month EURIBOR + 0.800%) due 12/15/29(b)		2,186,138
	933,333		AAA	Lanark Master Issuer PLC, Series 2019-1A, Class 1A1, 2.902% (3-Month USD-LIBOR + 0.770%) due 12/22/69(a)(b)		935,823
	482,413		NR	Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, step bond to yield, 3.750% due 4/25/59(b)		495,337
	789,280		AAA	Madison Park Funding XVI Ltd., Series 2015-16A, Class A1R, 3.608% (3-Month USD-LIBOR + 1.330%) due 4/20/26(a)(b)		792,222
	1,000,000		AAA	Marathon CLO V Ltd., Series 2013-5A, Class A1R, 3.022% (3-Month USD-LIBOR + 0.870%) due 11/21/27(a)(b)		996,038
	261,739		A*	Mastr Asset Backed Securities Trust, Series 2004-OPT2, Class A1, 2.845% (1-Month USD-LIBOR + 0.700%) due 9/25/34(a)		260,906
	455,910		Aaa(c)	MMAF Equipment Finance LLC, Series 2018-A, Class A2, 2.920% due 7/12/21(b)		456,957
	300,000		Aaa(c)	Monarch Grove CLO, Series 2018-1A, Class A1, 3.156% (3-Month USD-LIBOR + 0.880%) due 1/25/28(a)(b)		298,851
	665,895		B-	Morgan Stanley ABS Capital I Inc. Trust, Series 2004-HE4, Class M1, 3.045% (1-Month USD-LIBOR + 0.900%) due 5/25/34(a)(g)		670,579
	1,263,098		AAA	Motel 6 Trust, Series 2017-MTL6, Class A, 3.115% (1-Month USD-LIBOR + 0.920%) due 8/15/34(a)(b)		1,264,359
	2,000,000		AAA	Mountain View CLO X Ltd., Series 2015-10A, Class AR, 3.123% (3-Month USD-LIBOR + 0.820%) due 10/13/27(a)(b)		1,993,658
	418,482		NR	New Residential Mortgage Loan Trust, Series 2018-3A, Class A1, 4.500% due 5/25/58(a)(b)		443,269
	400,000		BBB-	NovaStar Mortgage Funding Trust, Series 2005-4, Class M1, 2.805% (1-Month USD-LIBOR + 0.660%) due 1/25/36(a)		399,869
				OCP CLO Ltd.:
	1,500,000		AAA	Series 2015-9A, Class A1R, 3.103% (3-Month USD-LIBOR + 0.800%) due 7/15/27(a)(b)		1,498,297
	1,000,000		AAA	Series 2015-10A, Class A1R, 3.087% (3-Month USD-LIBOR + 0.820%) due 10/26/27(a)(b)		998,418
	747,001		AAA(g)	Palmer Square CLO Ltd., Series 2018-3A, Class A1, 3.008% (3-Month USD-LIBOR + 0.850%) due 8/15/26(a)(b)		746,934
	591,469		AA+	Pennsylvania Higher Education Assistance Agency, Series 2006-2, Class A-3, 2.405% (3-Month USD-LIBOR + 0.130%) due 10/25/36(a)		587,672

See Notes to Financial Statements.

286

Schedules of Investments

(continued)

Ultra-Short Term Fixed Income Fund
Face Amount/Units†			Rating††	Security	Value
	COLLATERALIZED MORTGAGE OBLIGATIONS — 18.0% — (continued)
$	3,400,000		AAA	Permanent Master Issuer PLC, Series 2018-1A, Class 1A1, 2.683% (3-Month USD-LIBOR + 0.380%) due 7/15/58(b)	$	3,401,850
	43,538		AAA(g)	PFP Ltd., Series 2017-4, Class A, 3.075% (1-Month USD-LIBOR + 0.880%) due 7/14/35(a)(b)		43,710
	1,200,000		AAA	PFS Financing Corp., Series 2019-A, Class A1, 2.745% (1-Month USD-LIBOR + 0.550%) due 4/15/24(a)(b)		1,201,767
	79,406		AAA	RBSSP Resecuritization Trust, Series 2009-12, Class 16A1, 4.159% due 10/25/35(a)(b)		79,926
	367,137	GBP	AAA	Residential Mortgage Securities 31 PLC, Series 2031, Class A, 1.984% (3-Month GBP-LIBOR + 1.200%) due 9/20/65		448,460
				Silverstone Master Issuer PLC:
	200,000		AAA	Series 2019-1A, Class 1A, 2.848% (3-Month USD-LIBOR + 0.570%) due 1/21/70(a)(b)		200,150
	800,000	GBP	AAA	Series 2019-1A, Class 2A, (Sterling Overnight Index Average + 0.750%), due 1/21/70(a)(b)		976,320
				Sofi Consumer Loan Program LLC:
	58,977		AA	Series 2017-3, Class A, 2.770% due 5/25/26(b)		59,204
	126,685		(P)AA	Series 2017-4, Class A, 2.500% due 5/26/26(b)		126,944
	193,472		AA	Sofi Consumer Loan Program Trust, Series 2018-2, Class A1, 2.930% due 4/26/27(b)		193,666
	2,000,000		Aaa(c)	Sound Point CLO X Ltd., Series 2015-3A, Class AR, 3.168% (3-Month USD-LIBOR + 0.890%) due 1/20/28(a)(b)		1,997,959
	2,000,000		Aaa(c)	Sound Point Clo XIV Ltd., Series 2016-3A, Class AR, 3.301% (3-Month USD-LIBOR + 1.150%) due 1/23/29(a)(b)		2,002,000
	1,432,251		BBB+	Soundview Home Loan Trust, Series 2005-OPT1, Class M2, 2.820% (1-Month USD-LIBOR + 0.675%) due 6/25/35(a)		1,433,170
	1,112,867		NR	SpringCastle Funding Asset-Backed Notes, Series 2019-AA, Class A, 3.200% due 5/27/36(b)		1,133,054
	300,000		NR	Stanwich Mortgage Loan Co. LLC, Series 2019-NPB1, Class A1, step bond to yield, 3.375% due 8/15/24(b)		300,225
	579,777		AAA	Stonemont Portfolio Trust, Series 2017-MONT, Class A, 3.022% (1-Month USD-LIBOR + 0.850%) due 8/20/30(a)(b)		580,137
	1,215,120		AAA	Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class A, 2.973% (1-Month USD-LIBOR + 0.750%) due 11/11/34(a)(b)		1,216,037
	1,000,000		AAA	THL Credit Wind River CLO Ltd., Series 2012-1A, Class AR2, 3.183% (3-Month USD-LIBOR + 0.880%) due 1/15/26(a)(b)		1,000,046
	1,079,183		Aaa(c)	Towd Point Mortgage Trust, Series 2017-5, Class A1, 2.745% (1-Month USD-LIBOR + 0.600%) due 2/25/57(a)(b)		1,077,639
	205,865	GBP	AAA	Trinity Square PLC, Series 2015-1X, Class A, 1.917% (3-Month GBP-LIBOR + 1.150%) due 7/15/51(a)		251,858
	252,813		NR	Upstart Securitization Trust, Series 2019-1, Class A, 3.450% due 4/20/26(b)		253,763
	1,800,000		Aaa(c)	Venture XVI CLO Ltd., Series 2014-16A, Class ARR, 3.153% (3-Month USD-LIBOR + 0.850%) due 1/15/28(a)(b)		1,799,979
	800,000		Aaa(c)	Venture XVII CLO Ltd., Series 2014-17A, Class ARR, 3.183% (3-Month USD-LIBOR + 0.880%) due 4/15/27(a)(b)		797,174
	679,634		NR	VOLT LXII LLC, Series 2017-NPL9, Class A1, step bond to yield, 3.125% due 9/25/47(b)		681,859
	165,517		Aaa(c)	Voya CLO Ltd., Series 2014-3A, Class A1R, 2.996% (3-Month USD-LIBOR + 0.720%) due 7/25/26(a)(b)		165,383
	910,122		AA	WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1, 2.556% (1-Month USD-LIBOR + 0.290%) due 10/25/45(a)		910,404
	1,056,436	GBP	AAA	Warwick Finance Residential Mortgages No One PLC, Series 1, Class A, 1.775% (3-Month GBP-LIBOR + 1.000%) due 9/21/49(a)		1,288,656
				Wells Fargo Commercial Mortgage Trust:
	500,000		AAA	Series 2017-HSDB, Class A, 3.044% (1-Month USD-LIBOR + 0.850%) due 12/13/31(a)(b)		498,583
	1,478,480		AAA(g)	Series 2018-BXI, Class A, 2.926% (1-Month USD-LIBOR + 0.731%) due 12/15/36(a)(b)		1,474,399
				WFRBS Commercial Mortgage Trust:
	1,500,000		Aaa(c)	Series 2012-C7, Class AFL, 3.397% (1-Month USD-LIBOR + 1.200%) due 6/15/45(a)(b)		1,514,720
	1,074,748		Aaa(c)	Series 2012-C10, Class AFL, 2.987% (1-Month USD-LIBOR + 0.790%) due 12/15/45(a)(b)		1,080,924
				TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $89,765,873)		89,403,322

See Notes to Financial Statements.

287

Schedules of Investments

(continued)

Ultra-Short Term Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	MORTGAGE-BACKED SECURITIES — 12.5%
	FHLMC — 0.4%
			Federal Home Loan Mortgage Corp.:
$	1,000,000	AA+	2.800% due 6/3/24	$	1,001,461
	1,000,000	AA+	2.800% due 6/5/24		1,000,042
			TOTAL FHLMC		2,001,503
	FNMA — 12.1%
			Federal National Mortgage Association (FNMA):
	12,978,091		3.500% due 10/1/47		13,435,354
	12,700,000		4.000% due 11/1/48(i)		13,209,402
	25,240,309		4.000% due 11/1/48 — 5/1/49		26,220,855
	7,100,000		3.000% due 9/1/49		7,242,458
			TOTAL FNMA		60,108,069
			TOTAL MORTGAGE-BACKED SECURITIES (Cost — $61,058,529)		62,109,572
	U.S. GOVERNMENT OBLIGATIONS — 6.8%
			U.S. Treasury Inflation Indexed Notes:
	6,951,384		0.125% due 4/15/22(SBB)		6,907,932
	505,293		0.625% due 4/15/23		513,233
	3,568,752		0.250% due 1/15/25		3,614,753
	3,024,336		0.375% due 7/15/25		3,101,018
	1,616,985		0.625% due 1/15/26		1,680,391
	16,938,972		0.750% due 7/15/28(SBB)		18,136,102
			TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $32,232,337)		33,953,429
	ASSET-BACKED SECURITIES — 7.0%
	Automobiles — 0.5%
	938,023	Aaa(c)	Hertz Fleet Lease Funding LP, Series 2018-1, Class A2, 3.230% due 5/10/32(b)		945,640
	274,545	Aaa(c)	OSCAR US Funding Trust IX LLC, Series 2018-2A, Class A2A, 3.150% due 8/10/21(b)		275,585
	202,686	Aaa(c)	OSCAR US Funding Trust VIII LLC, Series 2018-1A, Class A2A, 2.910% due 4/12/21(b)		203,012
	500,000	Aaa(c)	OSCAR US Funding X LLC, Series 2019-1A, Class A2, 3.100% due 4/11/22(b)		502,951
	643,086	AAA	Securitized Term Auto Receivables Trust, Series 2018-2A, Class A2A, 3.060% due 2/25/21(b)		644,938
			Total Automobiles		2,572,126
	Credit Cards — 2.6%
	1,300,000	Aaa(c)	CARDS II Trust, Series 2018-1A, Class A, 2.545% (1-Month USD-LIBOR + 0.350%) due 4/17/23(a)(b)		1,300,671
	3,000,000	(P)AAA	Evergreen Credit Card Trust, Series 2019-1, Class A, 2.675% (1-Month USD-LIBOR + 0.480%) due 1/15/23(a)(b)		3,011,023
	1,103,195	NR	LP Credit Card ABS Master Trust, Series 2018-1, Class A, 3.822% (1-Month USD-LIBOR + 1.550%) due 8/20/24(a)(b)		1,093,406
	3,000,000	Aaa(c)	Master Credit Card Trust II, Series 2018-1A, Class A, 2.659% (1-Month USD-LIBOR + 0.490%) due 7/21/24(a)(b)		3,000,730
	2,000,000	AAA	Penarth Master Issuer PLC, Series 2019-1A, Class A1, 2.722% (1-Month USD-LIBOR + 0.540%) due 7/18/23(a)(b)		1,999,969
			Trillium Credit Card Trust II:
	1,700,000	AAA	Series 2018-1A, Class A, 2.395% (1-Month USD-LIBOR + 0.250%) due 2/27/23(a)(b)		1,701,363
	800,000	AAA	Series 2019-1A, Class A, 2.625% (1-Month USD-LIBOR + 0.480%) due 1/26/24(a)(b)		800,928
			Total Credit Cards		12,908,090

See Notes to Financial Statements.

288

Schedules of Investments

(continued)

Ultra-Short Term Fixed Income Fund
Face Amount/Units†		Rating††	Security	Value
	Student Loans — 3.9%
			ECMC Group Student Loan Trust:
$	701,474	Aaa(c)	Series 2017-2A, Class A, 3.195% (1-Month USD-LIBOR + 1.050%) due 5/25/67(a)(b)	$	709,734
	596,298	Aaa(c)	Series 2018-1A, Class A, 2.895% (1-Month USD-LIBOR + 0.750%) due 2/27/68(a)(b)		592,712
	1,000,000	Aaa(c)	Series 2019-1A, Class A1B, 3.230% (1-Month USD-LIBOR + 1.000%) due 7/25/69(a)(b)		1,006,970
	245,293	AAA	EFS Volunteer LLC, Series 2010-1, Class A2, 3.126% (3-Month USD-LIBOR + 0.850%) due 10/25/35(a)(b)		243,577
	109,336	Aaa(c)	Navient Private Education Loan Trust, Series 2015-AA, Class A2A, 2.650% due 12/15/28(b)		110,305
	759,571	AAA	Navient Private Education Refi Loan Trust, Series 2019-A, Class A1, 3.030% due 1/15/43(b)		767,279
			Navient Student Loan Trust:
	1,475,702	AAA	Series 2018-1A, Class A2, 2.495% (1-Month USD-LIBOR + 0.350%) due 3/25/67(a)(b)		1,474,159
	2,900,165	AAA	Series 2018-2A, Class A2, 2.525% (1-Month USD-LIBOR + 0.380%) due 3/25/67(a)(b)		2,895,732
			Nelnet Student Loan Trust:
	1,228,014	AA+	Series 2017-3A, Class A, 2.995% (1-Month USD-LIBOR + 0.850%) due 2/25/66(a)(b)		1,230,994
	1,479,466	AA+	Series 2019-2A, Class A, 3.045% (1-Month USD-LIBOR + 0.900%) due 6/27/67(a)(b)		1,477,827
	1,300,000	AA+	Series 2019-3A, Class A, 3.093% (1-Month USD-LIBOR + 0.800%) due 8/25/67(a)(b)		1,299,506
			SLC Student Loan Trust:
	1,065,561	AAA	Series 2006-1, Class A5, 2.520% (3-Month USD-LIBOR + 0.110%) due 3/15/27(a)		1,061,263
	684,213	AAA	Series 2007-1, Class A4, 2.218% (3-Month USD-LIBOR + 0.060%) due 5/15/29(a)		676,520
			SLM Student Loan Trust:
	265,728	AAA	Series 2003-10A, Class A3, 2.880% (3-Month USD-LIBOR + 0.470%) due 12/15/27(a)(b)		265,829
	1,130,775	AAA	Series 2005-5, Class A4, 2.416% (3-Month USD-LIBOR + 0.140%) due 10/25/28(a)		1,123,129
	571,774	B	Series 2008-5, Class A4, 3.976% (3-Month USD-LIBOR + 1.700%) due 7/25/23(a)		577,754
	805,073	B	Series 2008-7, Class A4, 3.176% (3-Month USD-LIBOR + 0.900%) due 7/25/23(a)		802,255
	129,973	B	Series 2008-8, Class A4, 3.776% (3-Month USD-LIBOR + 1.500%) due 4/25/23(a)		131,447
	999,826	AAA	SMB Private Education Loan Trust, Series 2015-B, Class A2B, 3.395% (1-Month USD-LIBOR + 1.200%) due 7/15/27(a)(b)		1,007,410
	880,410	AAA	Sofi Professional Loan Program LLC, Series 2018-A, Class A2A, 2.390% due 2/25/42(b)		882,721
	903,808	AA+	Utah State Board of Regents, Series 2017-1, Class A, 2.895% (1-Month USD-LIBOR + 0.750%) due 1/25/57(a)		904,052
			Total Student Loans		19,241,175
			TOTAL ASSET-BACKED SECURITIES (Cost — $34,693,229)		34,721,391
	SOVEREIGN BONDS — 1.5%
	Canada — 0.6%
	3,000,000	AAA	Export Development Canada, 2.260% (3-Month USD-LIBOR — 0.040%) due 10/18/19(a)(b)		3,000,661
	India — 0.9%
			Export-Import Bank of India:
	200,000	BBB-	3.875% due 10/2/19		200,225
	2,500,000	BBB-	2.750% due 4/1/20		2,506,662
	1,900,000	Baa2(c)	3.152% (3-Month USD-LIBOR + 1.000%) due 8/21/22(a)		1,896,447
			Total India		4,603,334
			TOTAL SOVEREIGN BONDS (Cost — $7,609,334)		7,603,995
			TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $517,994,909)		521,710,435
	SHORT-TERM INVESTMENTS — 31.3%
	COMMERCIAL PAPER — 1.0%
	5,000,000		Encana Corp., 2.652% due 10/10/19(b)(i) (Cost — $4,985,700)		4,985,700
	TIME DEPOSITS — 0.2%
	822,364		Banco Santander SA — Frankfurt, 1.490% due 9/3/19		822,364

See Notes to Financial Statements.

289

Schedules of Investments

(continued)

Ultra-Short Term Fixed Income Fund
Face Amount/Units†			Security	Value
	TIME DEPOSITS — 0.2% — (continued)
			BBH — Grand Cayman:
	2,619	DKK	(0.800)% due 9/2/19	$	386
	974	EUR	(0.580)% due 9/2/19		1,071
	17,316	JPY	(0.250)% due 9/2/19		163
	6,065	NZD	0.280% due 9/2/19		3,821
	578	GBP	0.370% due 9/2/19		704
	867	AUD	0.450% due 9/2/19		584
	366,366	CAD	0.870% due 9/3/19		275,204
			TOTAL TIME DEPOSITS (Cost — $1,104,297)		1,104,297
	U.S. GOVERNMENT OBLIGATION — 30.2%
$	150,000,000		U.S. Treasury Bills, 2.104% due 10/1/19(j) (Cost — $149,759,230)		149,759,230
			TOTAL SHORT-TERM INVESTMENTS (Cost — $155,849,227)		155,849,227
			TOTAL INVESTMENTS — 136.3% (Cost — $673,844,136)		677,559,662
			Liabilities in Excess of Other Assets — (36.3)%		(180,270,015	)
			TOTAL NET ASSETS — 100.0%	$	497,289,647

† 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) Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2019.

(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. The aggregate value of restricted 144A holdings at August 31, 2019 amounts to approximately $175,763,381 and represents 35.3% of net assets.

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

(d) Illiquid security.

(e) The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2019 amounts to approximately $801,400 and represents 0.2% of net assets.

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

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

(h) Affiliated security (See Note 2). As of August 31, 2019, total cost and total market value of affiliated securities amounted to $662,286 and $670,579, respectively.

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

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

^(SBB)  All or a portion of these securities were purchased in a sale-buyback transaction. The value of these securities total $23,473,821, which represents 4.7% of net assets.

At August 31, 2019, for Ultra-Short Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:

Fund	Aggregate Cost For Federal Income Tax Purposes		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)		Net Unrealized (Depreciation)
Ultra-Short Term Fixed Income Fund	$	674,708,240	$	7,071,741	$	(11,765,571)	$	(4,693,830)

Abbreviations used in this schedule:
ABS	— Asset-Based Security
CLO	— Collateralized Loan Obligation
EURIBOR	— Euro Interbank Offered Rate
LIBOR	— London Interbank Offered Rate
PCL	— Public Company Limited
PLC	— Public Limited Company
REMICS	— Real Estate Mortgage Investment Conduit
SOFR	— Secured Overnight Financing Rate

See Notes to Financial Statements.

290

Schedules of Investments

(continued)

Ultra-Short Term Fixed Income Fund

Summary of Investments by Security Type^
Corporate Bonds & Notes	43.4	%
Collateralized Mortgage Obligations	13.2
Mortgage-Backed Securities	9.2
Asset-Backed Securities	5.1
U.S. Government Obligations	5.0
Sovereign Bonds	1.1
Short-Term Investments	23.0
	100.0	%

^ As a percentage of total investments.

At August 31, 2019, Ultra-Short Term Fixed Income Fund did not hold any Reverse Repurchase Agreements. For the year ended August 31, 2019, the daily average borrowing and interest rate under the reverse repurchase agreements were $12,766,869 and 2.573%, respectively. The Ultra-Short Term Fixed Income Fund held Reverse Repurchase Agreements for 186 days during the year ended August 31, 2019.

At August 31, 2019, Ultra-Short Term 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)		Notional Amount		Market Value		Unrealized Appreciation/ (Depreciation)
Contracts to Buy:
Bank Accept December Futures		269		12/20	$	49,627,023	$	49,766,262	$	139,239
Canada Government 10-Year Bond December Futures		113		12/19		12,206,896		12,314,772		107,876
U.S. Treasury 2-Year Note December Futures		1,127		12/19		243,465,328		243,564,071		98,743
U.S. Ultra Long Bond December Futures		47		12/19		6,797,375		6,788,563		(8,812	)
										337,046
Contracts to Sell:
90-Day Eurodollar December Futures		758		12/20		186,515,375		187,112,300		(596,925	)
U.S. Treasury Ultra Long Bond December Futures		14		12/19		2,733,155		2,764,125		(30,970	)
										(627,895	)
Net Unrealized Depreciation on Open Exchange-Traded Futures Contracts									$	(290,849	)

At August 31, 2019, Ultra-Short Term Fixed Income Fund had deposited cash of $1,037,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.

At August 31, 2019, Ultra-Short Term 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		In Exchange For			Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
Contracts to Buy:
Australian Dollar		7,162,000		USD	4,862,848		BCLY	$	4,822,889		9/3/19	$	(39,959	)
Australian Dollar		7,265,000		USD	4,911,179		BNP		4,892,249		9/3/19		(18,930	)

See Notes to Financial Statements.

291

Schedules of Investments

(continued)

Ultra-Short Term Fixed Income Fund

Foreign Currency	Local Currency		In Exchange For			Counterparty		Market Value		Settlement Date		Unrealized Appreciation/ (Depreciation)
Contracts to Buy: (continued)
Australian Dollar		6,758,000		USD	4,665,101		MLP	$	4,550,835		9/3/19	$	(114,266	)
Canadian Dollar		726,000		USD	546,194		JPM		545,352		9/3/19		(842	)
Euro		255,000		USD	282,867		BNP		280,258		9/3/19		(2,609	)
Japanese Yen		529,000,000		USD	4,978,042		BNP		4,979,995		9/3/19		1,953
Japanese Yen		281,200,000		USD	2,642,431		BNP		2,647,211		9/3/19		4,780
Japanese Yen		262,900,000		USD	2,473,887		BNP		2,480,119		10/2/19		6,232
Japanese Yen		810,200,000		USD	7,628,054		JPM		7,643,181		10/2/19		15,127
Mexican Peso		779,000		USD	39,154		HSBC		38,544		10/23/19		(610	)
													(149,124	)
Contracts to Sell:
Australian Dollar		21,170,000		USD	14,633,034		BNP		14,255,873		9/3/19		377,161
British Pound		3,987,000		USD	4,873,169		JPM		4,850,985		9/3/19		22,184
British Pound		2,421,000		USD	2,952,264		MLP		2,945,632		9/3/19		6,632
British Pound		6,408,000		USD	7,823,739		HSBC		7,806,380		10/2/19		17,359
Canadian Dollar		2,687,000		USD	2,034,541		BNP		2,018,404		9/3/19		16,137
Canadian Dollar		521,000		USD	391,150		BNP		391,361		9/3/19		(211	)
Canadian Dollar		2,894,000		USD	2,179,168		MLP		2,173,897		9/3/19		5,271
Canadian Dollar		5,376,000		USD	4,040,693		SCB		4,040,137		10/2/19		556
Euro		9,813,000		USD	10,960,571		HSBC		10,784,974		9/3/19		175,597
Euro		4,389,000		USD	4,867,893		MLP		4,823,729		9/3/19		44,164
Euro		2,385,000		USD	2,648,780		SCB		2,621,234		9/3/19		27,546
Euro		16,332,000		USD	18,136,817		BNP		17,989,499		10/2/19		147,318
													839,714
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts												$	690,590

At August 31, 2019, Ultra-Short Term Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate		Maturity Date		Payment Frequency		Notional Amount		Market Value			Upfront Payment Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Receive	U.S. Federal Funds Effective Rate Index		2.300%		3/1/22		12-Month		USD 221,700,000	$	(6,188,595	)	$	273,006		$	(6,461,601	)
Pay	3-Month Canadian Bank Bill		2.500%		6/19/29		6-Month		CAD   10,100,000		663,477			638,892			24,585
Receive	3-Month USD-LIBOR		2.000%		12/10/29		6-Month		USD   25,200,000		(1,485,880	)		(304,889	)		(1,180,991	)
										$	(7,010,998	)	$	607,009		$	(7,618,007	)

See Notes to Financial Statements.

292

Schedules of Investments

(continued)

Ultra-Short Term Fixed Income Fund

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

Reference Obligation	Fixed Deal (Pay) Rate			Maturity Date		Payment Frequency		Implied Credit Spread at 8/31/19 (2)		Notional Amount (3)		Market Value			Upfront Payment (Received)			Unrealized (Depreciation)
Markit CDX North America Investment Grade Series 31 5-Year Index		(1.000	)%		12/20/23		3-Month		3.416%		USD   5,100,000	$	(121,172	)	$	(93,042	)	$	(28,130	)
Markit CDX North America Investment Grade Series 32 5-Year Index		(1.000	)%		6/20/24		3-Month		3.416%		USD 24,800,000		(570,286	)		(464,604	)		(105,682	)
Markit CDX North America High Yield Index Series 32 5-Year Index		(5.000	)%		6/20/24		3-Month		3.416%		USD   3,168,000		(242,537	)		(232,689	)		(9,848	)
												$	(933,995	)	$	(790,335	)	$	(143,660	)

(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.

At August 31, 2019, Ultra-Short Term Fixed Income Fund deposited cash collateral with brokers in the amount of $3,069,000 for open centrally cleared swap contracts.

At August 31, 2019, Ultra-Short Term Fixed Income Fund had cash collateral from brokers in the amount of $390,000 for open centrally cleared swap contracts.

At August 31, 2019, Ultra-Short Term Fixed Income Fund was involved  in following sale-buyback transactions:

Counterparty	Borrowing date		Maturity date		Borrowing rate			Amount borrowed
BNP Paribas		8/30/2019		9/3/2019		2.33	%	$	5,346,816
BNP Paribas		8/30/2019		9/3/2019		2.33	%		18,197,986
								$	23,544,802

Currency Abbreviations used in this schedule:		Counterparty Abbreviations used in this schedule:
AUD	— Australian Dollar	BCLY	— Barclays Bank PLC
CAD	— Canadian Dollar	BNP	— BNP Paribas SA
DKK	— Danish Krone	HSBC	— HSBC Bank USA
EUR	— Euro	JPM	— JPMorgan Chase & Co.
GBP	— British Pound	MLP	— Merrill Lynch, Pierce, Fenner & Smith Inc.
JPY	— Japanese Yen	SCB	— Standard Chartered Bank
NZD	— New Zealand Dollar

See pages 295-296 for definitions of ratings.

See Notes to Financial Statements.

293

Schedules of Investments

(continued)

Alternative Strategies Fund
Units		Security	Value
	OPEN END MUTUAL FUND SECURITIES — 98.4%
	United States — 98.5%
	212,521	American Beacon AHL Managed Futures Strategy Fund, Class Y	$	2,446,115
	131,001	BlackRock Event Driven Equity Fund, Institutional Class		1,291,667
	158,132	BlackRock Global Long/Short Credit Fund, Institutional Class		1,597,129
	79,702	Diamond Hill Long/Short Fund, Class I		2,127,250
	141,496	Driehaus Event Driven Fund, Common Class		1,635,696
	183,415	Eaton Vance Global Macro Absolute Return Advantage Fund, Class I		1,863,492
	244,749	Goldman Sachs Absolute Return Tracker Fund, Institutional Class		2,396,092
	234,641	John Hancock Seaport Long/Short Fund, Class I		2,656,137
	141,035	LoCorr Market Trend Fund, Class I*		1,693,829
	146,351	PIMCO Mortgage Opportunities and Bond Fund, Class I-2		1,599,611
	198,555	Prudential QMA Long/Short Equity Fund, Class Z		2,374,714
	151,049	Tortoise MLP & Pipeline Fund, Institutional Class		1,848,837
	257,222	Western Asset Macro Opportunities Fund, Class I		2,901,465
		TOTAL INVESTMENTS — 98.4% (Cost — $25,556,126)		26,432,034
		Other Assets in Excess of Liabilities — 1.6%		418,526
		TOTAL NET ASSETS — 100.0%	$	26,850,560

* Non-income producing security.

At August 31, 2019, for Alternative Strategies Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:

Fund	Aggregate Cost for Federal Income Tax Purposes		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation
Alternative Strategies Fund	$	25,675,102	$	1,035,868	$	(278,936	)	$	756,932

Summary of Investments by Security Type^
Open End Mutual Fund Securities	100.0	%

^ As a percentage of total investments.

See Notes to Financial Statements.

294

Ratings

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.
u	— The upgrade state defines bonds that have recently been upgraded into higher rating categories.

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.
u	— Upgraded.

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.

295

Ratings

(continued)

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 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, WR	— 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

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.
F-2	— Fitch’s rating indicating a good capacity for timely payment of financial commitments.

296

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Statements of Assets and Liabilities

August 31, 2019

	Large Cap Equity Fund		Small-Mid Cap Equity Fund		International Equity Fund
ASSETS:
Unaffiliated investments, at value1,3	$	1,551,670,711	$	431,057,234	$	1,317,983,205
Affiliated investments, at value2		1,473,725		—		—
Foreign currency, at value4		9		11,824		131,935
Cash		10,292,657		913,295		441,971
Receivable for securities sold		1,839,774		461,449		2,923,860
Receivable for TBA securities sold		—		—		—
Dividends and interest receivable from unaffiliated investments		2,378,280		342,354		7,407,118
Dividends and interest receivable from affiliated investments		—		—		—
Receivable for manager waiver		—		—		—
Receivable for Fund shares sold		1,163,641		435,620		1,505,735
Unrealized appreciation on unfunded loan commitments		—		—		—
Unrealized appreciation on open forward foreign currency contracts (Note 1)		—		—		—
Variation margin on open future contracts (Note 1)		—		1,131		10,410
Variation margin on open centrally cleared swap contracts (Note 1)		—		—		—
Unrealized appreciation on open OTC swap contracts		—		—		—
Upfront payment paid on open OTC swap contracts		—		—		—
Deposits for collateral with counterparty		430,984		92,800		90,782
Foreign capital gain tax receivable		—		—		—
Prepaid expenses		52,067		26,017		46,411
Total Assets		1,569,301,848		433,341,724		1,330,541,427
LIABILITIES:
Payable for reverse repurchase agreements		—		—		—
Payable for collateral received from securities on loan		10,273,681		9,907,772		9,378,863
Payable for Fund shares repurchased		1,312,088		342,294		997,697
Payable for securities purchased		3,090,369		153,257		8,218,021
Payable for TBA securities purchased		—		—		—
Payable for sale-buyback transactions		—		—		—
Investment management fee payable		511,263		162,574		599,483
Transfer agent fees payable		14,240		4,897		18,971
Interest expense payable		—		—		—
Custody fee payable		77,120		30,432		158,917
Variation margin on open future contracts (Note 1)		4,583		—		—
Variation margin on open centrally cleared swap contracts (Note 1)		—		—		—
Due to custodian4		—		—		—
Options contracts written, at value5 (Note 1)		—		—		—
Unrealized depreciation on open OTC swap contracts		—		—		—
Upfront payment received on open OTC swap contracts		—		—		—
Unrealized depreciation on open forward foreign currency contracts (Note 1)		—		—		—
Deposits for collateral from counterparty		—		—		—
Distributions payable		—		—		—
Accrued expenses		95,350		86,336		127,656
Total Liabilities		15,378,694		10,687,562		19,499,608
Total Net Assets	$	1,553,923,154	$	422,654,162	$	1,311,041,819
NET ASSETS:
Paid-in-capital (Note 4)	$	999,760,589	$	324,441,969	$	1,290,617,490
Total distributable earnings (losses)		554,162,565		98,212,193		20,424,329
Total Net Assets	$	1,553,923,154	$	422,654,162	$	1,311,041,819
Shares Outstanding		81,361,017		22,721,140		113,164,944
Net Asset Value	$	19.10	$	18.60	$	11.59
1 Unaffiliated investments, at cost	$	1,054,927,136	$	377,371,679	$	1,265,907,263
2 Affiliated investments, at cost	$	858,128	$	—	$	—
3 Includes securities on loan	$	10,056,358	$	9,655,513	$	8,831,771
4 Foreign currency/Due to custodian, at cost	$	164	$	12,989	$	138,844
5 Premiums received	$	—	$	—	$	—

See Notes to Financial Statements.

298

Emerging Markets Equity Fund		Core Fixed Income Fund		High Yield Fund			International Fixed Income Fund		Municipal Bond Fund		Inflation-Linked Fixed Income Fund		Ultra-Short Term Fixed Income Fund			Alternative Strategies Fund
$	498,153,149	$	1,301,988,305	$	48,778,081		$	196,911,532	$	85,359,054	$	318,969,585	$	676,889,083		$	26,432,034
	—		2,468,124		—			—		—		—		670,579			—
	1,829,493		987,168		—			257,398		—		102,540		561			—
	49,753		41,282		3,361			1,562		609		—		740,140			231,787
	1,396,301		1,780,159		460,418			1,824,136		—		213,697		321,259			—
	—		14,802,553		—			54,839,430		—		59,797,408		26,332,160			—
	558,895		6,146,547		704,979			867,025		805,695		477,401		2,444,066			—
	—		6,487		—			—		—		—		338			—
	—		—		—			—		—		—		—			36,447
	572,771		1,301,909		66,072			114,552		42,790		159,867		567,819			215,719
	—		2		—			—		—		—		—			—
	—		656,299		—			2,433,866		—		809,252		868,017			—
	12,000		—		—			—		—		14,529		15,463			—
	—		—		—			62,694		—		174,375		139,999			—
	—		293,658		—			90,617		—		—		—			—
	—		20,711		—			44,060		—		14,453		—			—
	78,994		3,964,772		—			1,902,000		86,000		1,444,000		4,106,000			—
	69,831		—		—			—		—		—		—			—
	27,034		62,855		10,311			16,411		14,954		22,555		28,713			8,983
	502,748,221		1,334,520,831		50,023,222			259,365,283		86,309,102		382,199,662		713,124,197			26,924,970
	—		—		—			16,935,905		—		54,088,001		—			—
	8,218,833		143,175		125,726			—		—		—		—			—
	329,642		2,113,353		158,804			127,037		97,398		224,356		681,855			42,607
	1,218,694		60,420,311		699,599			2,158,597		506,392		955,214		151,159,315			4,476
	—		64,958,781		—			89,826,773		—		103,706,356		39,540,656			—
	—		—		—			773,255		—		5,028,816		23,544,802			—
	246,910		386,647		20,776			55,933		29,008		82,611		190,222			4,478
	6,149		11,447		2,281			2,276		876		3,114		5,727			540
	—		—		—			15,456		—		48,564		604			—
	64,204		131,637		36,481			82,729		11,595		31,825		46,990			12,223
	—		1,156,042		—			13,205		6,094		—		—			—
	—		138,312		—			—		—		—		—			—
	—		—		—			—		—		175,548		—			—
	—		269,484		—			164,245		—		82,877		—			—
	—		30,102		—			267,373		—		16,438		—			—
	—		—		—			146,798		—		—		—			—
	—		1,106,968		—			1,332,320		—		295,939		177,427			—
	—		—		—			380,000		—		683,000		390,000			—
	—		1,055		137			—		10		24		378			—
	111,704		120,958		68,383			84,444		23,095		112,681		96,574			10,086
	10,196,136		130,988,272		1,112,187			112,366,346		674,468		165,535,364		215,834,550			74,410
$	492,552,085	$	1,203,532,559	$	48,911,035		$	146,998,937	$	85,634,634	$	216,664,298	$	497,289,647		$	26,850,560
$	474,310,601	$	1,161,599,173	$	75,279,384		$	136,827,761	$	79,363,293	$	212,466,209	$	502,107,333		$	26,048,024
	18,241,484		41,933,386		(26,368,349	)		10,171,176		6,271,341		4,198,089		(4,817,686	)		802,536
$	492,552,085	$	1,203,532,559	$	48,911,035		$	146,998,937	$	85,634,634	$	216,664,298	$	497,289,647		$	26,850,560
	35,191,058		142,860,442		12,999,886			17,606,611		8,908,049		21,259,218		50,213,074			2,659,159
$	14.00	$	8.42	$	3.76		$	8.35	$	9.61	$	10.19	$	9.90		$	10.10
$	433,316,308	$	1,254,271,415	$	49,907,212		$	188,384,464	$	79,930,594	$	308,205,651	$	673,181,850		$	25,556,126
$	—	$	2,436,303	$	—		$	—	$	—	$	—	$	662,286		$	—
$	8,152,889	$	138,000	$	123,065		$	—	$	—	$	—	$	—		$	—
$	1,830,978	$	1,117,242	$	—		$	137,141	$	—	$	120,592	$	840		$	—
$	—	$	353,204	$	—		$	161,471	$	—	$	123,379	$	—		$	—

See Notes to Financial Statements.

299

Statements of Operations

For the Year Ended August 31, 2019

	Large Cap Equity Fund			Small-Mid Cap Equity Fund			International Equity Fund
INVESTMENT INCOME:
Dividends from unaffiliated investments	$	29,677,673		$	5,415,433		$	47,195,625
Dividends from affiliated investments		45,758			—			—
Income from non-cash dividends		—			—			2,323,191
Interest from unaffiliated investments		470,699			204,074			555,190
Interest from affiliated investments		—			—			—
Income from securities lending		72,678			130,967			520,828
Less: Foreign taxes withheld (see Note 1q)		(17,042	)		(5,310	)		(4,409,465	)
Total Investment Income		30,249,766			5,745,164			46,185,369
EXPENSES:
Investment management fee (Note 2)		9,512,735			3,556,303			10,497,403
Transfer agent fees		186,387			56,601			180,864
Custody fees		494,410			255,395			1,083,397
Trustees’ fees		277,572			81,027			272,828
Shareholder reports		224,529			252,899			227,706
Insurance		73,123			22,930			64,073
Audit and tax		58,438			62,914			144,051
Legal fees		64,379			18,458			60,776
Registration fees		36,030			31,092			43,075
Offering costs		—			—			—
Other expense		58,109			18,649			73,475
Interest expense		—			—			—
Total Expenses		10,985,712			4,356,268			12,647,648
Less: Fee waivers and/or expense reimbursement (Note 2)		(3,366,743	)		(1,433,552	)		(2,486,433	)
Net Expenses		7,618,969			2,922,716			10,161,215
Net Investment Income	$	22,630,797		$	2,822,448		$	36,024,154
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS CONTRACTS WRITTEN, UNFUNDED LOAN COMMITMENTS, SHORT SALES, SWAP CONTRACTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSLATIONS (NOTES 1 AND 3):
Net Realized Gain (Loss) from:
Unaffiliated investments	$	68,873,473		$	58,215,291		$	(44,881,567	)(a)
Affiliated investments		64,927			—			—
Futures contracts		235,642			(276,064	)		15,343
Options contracts written		—			—			—
Short sales		—			—			—
Swap contracts		—			—			—
Forward foreign currency contracts		—			—			51,557
Foreign currency translations		94,806			39,779			(211,465	)
Net Realized Gain (Loss)		69,268,848			57,979,006			(45,026,132	)
Change in Net Unrealized Appreciation (Depreciation) from:
Unaffiliated investments		(77,551,661	)		(94,369,454	)		(87,305,229	)
Affiliated investments		(343,587	)		—			—
Futures contracts		(440,956	)		(117,059	)		12,999
Options contracts written		—			—			—
Swap contracts		—			—			—
Unfunded loan commitments		—			—			—
Forward foreign currency contracts		—			—			—
Foreign currency translations		(110	)		523			(115,531	)
Change in Net Unrealized Appreciation (Depreciation):		(78,336,314	)		(94,485,990	)		(87,407,761	)
Net Gain (Loss) on Investments, Futures Contracts, Options Contracts Written, Unfunded Loan Commitments, Short Sales, Swap Contracts, Forward Foreign Currency Contracts and Foreign Currency Translations		(9,067,466	)		(36,506,984	)		(132,433,893	)
Total Increase (Decrease) in Net Assets from Operations	$	13,563,331		$	(33,684,536	)	$	(96,409,739	)

(a) Includes foreign capital gains tax of $66 and $4,576 for International Equity Fund and Emerging Markets Equity Fund, respectively.

(b) Net increase in accrued foreign capital gains taxes of $109,187 for Emerging Markets Equity Fund.

See Notes to Financial Statements.

300

Emerging Markets Equity Fund			Core Fixed Income Fund			High Yield Fund			International Fixed Income Fund			Municipal Bond Fund			Inflation-Linked Fixed Income Fund			Ultra-Short Term Fixed Income Fund			Alternative Strategies Fund
$	14,915,545		$	8,010		$	30,639		$	—		$	28,000		$	—		$	—		$	296,249
	—			—			—			—			—			—			—			—
	—			—			—			—			—			—			—			—
	259,870			32,683,032			3,291,626			2,806,432			2,216,645			8,666,445			16,634,246			—
	—			44,118			—			—			—			—			12,188			—
	168,896			2,296			6,879			—			—			—			—			—
	(1,582,925	)		—			—			—			—			—			—			—
	13,761,386			32,737,456			3,329,144			2,806,432			2,244,645			8,666,445			16,646,434			296,249
	4,465,078			3,843,633			375,340			714,035			281,588			1,152,036			2,538,768			187,610
	64,226			120,338			9,994			20,261			9,163			30,220			64,328			3,185
	555,892			884,321			208,985			482,183			121,710			211,647			293,977			100,146
	80,635			153,418			9,840			24,626			11,584			40,542			88,300			1,877
	221,044			214,175			17,231			142,896			14,290			217,859			212,759			2,438
	20,969			33,407			2,966			6,946			2,729			9,226			20,207			298
	131,780			102,387			56,060			109,705			52,511			79,460			54,920			33,275
	21,196			59,967			3,305			6,638			2,452			16,479			34,755			719
	27,224			18,904			25,648			23,679			22,390			19,169			23,979			16,633
	—			—			—			—			—			—			—			18,040
	26,275			86,366			835			24,532			3,432			20,972			44,873			1,268
	—			—			—			222,053			—			1,303,477			798,482			—
	5,614,319			5,516,916			710,204			1,777,554			521,849			3,101,087			4,175,348			365,489
	(1,540,399	)		(182,721	)		(108,094	)		(72,891	)		—			(116,355	)		(260,525	)		(227,270	)
	4,073,920			5,334,195			602,110			1,704,663			521,849			2,984,732			3,914,823			138,219
$	9,687,466		$	27,403,261		$	2,727,034		$	1,101,769		$	1,722,796		$	5,681,713		$	12,731,611		$	158,030
$	(9,595,430	)(a)	$	10,608,992		$	(248,212	)	$	(416,317	)	$	881,412		$	(1,192,053	)	$	1,175,346		$	(130,569	)
	—			15,614			—			—			—			—			198			—
	(177,032	)		6,697,636			—			2,096,235			(313,158	)		(3,073,271	)		(1,927,636	)		—
	—			3,371,150			—			191,047			—			(159,216	)		—			—
	—			—			—			479,080			—			27,794			12,452			—
	—			(163,785	)		—			(1,314,070	)		—			(298,131	)		(316,498	)		—
	(10	)		221,171			—			5,573,876			—			2,018,212			2,489,490			—
	(133,467	)		21,939			—			(1,207,026	)		—			(160,254	)		(37,618	)		—
	(9,905,939	)		20,772,717			(248,212	)		5,402,825			568,254			(2,836,919	)		1,395,734			(130,569	)
	(2,922,322	)(b)		59,518,596			228,305			8,770,573			3,610,834			13,681,294			3,628,531			850,721
	—			34,544			—			—			—			—			8,293			—
	(13,576	)		7,262			—			400,714			19,596			(339,080	)		(473,694	)		—
	—			6,786			—			(18,665	)		—			30,627			—			—
	—			(5,096,857	)		—			(2,370,414	)		—			(1,614,472	)		(7,734,684	)		—
	—			2			—			—			—			—			—			—
	—			99,677			—			594,718			—			(500,676	)		665,710			—
	6,686			(117,213	)		—			(189,450	)		—			(47,408	)		(248,874	)		—
	(2,929,212	)		54,452,797			228,305			7,187,476			3,630,430			11,210,285			(4,154,718	)		850,721
	(12,835,151	)		75,225,514			(19,907	)		12,590,301			4,198,684			8,373,366			(2,758,984	)		720,152
$	(3,147,685	)	$	102,628,775		$	2,707,127		$	13,692,070		$	5,921,480		$	14,055,079		$	9,972,627		$	878,182

See Notes to Financial Statements.

301

Statements of Changes in Net Assets

For the Year Ended August 31, 2019 and August 31, 2018

	Large Cap Equity Fund						Small-Mid Cap Equity Fund
	2019			2018			2019			2018
OPERATIONS:
Net investment income	$	22,630,797		$	22,321,653		$	2,822,448		$	2,980,795
Net realized gain (loss)		69,268,848			172,845,327			57,979,006			80,126,956
Change in unrealized appreciation (depreciation)		(78,336,314	)		107,631,587			(94,485,990	)		49,982,388
Increase (Decrease) in Net Assets from Operations		13,563,331			302,798,567			(33,684,536	)		133,090,139
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1):
Distributable earnings		(178,205,387	)		(79,134,937	)*		(61,098,943	)		(24,675,020	)*
Tax return of capital		—			—			—			—
Decrease in Net Assets from Distributions to Shareholders		(178,205,387	)		(79,134,937	)		(61,098,943	)		(24,675,020	)
FUND SHARE TRANSACTIONS (NOTE 4):
Net proceeds from sale of shares		186,428,548			220,015,930			102,921,348			104,187,172
Reinvestment of distributions		178,200,572			79,132,993			61,098,668			24,674,928
Cost of shares repurchased		(382,597,048	)		(473,065,474	)		(166,981,193	)		(390,950,259	)
Increase (Decrease) in Net Assets from Fund Share Transactions		(17,967,928	)		(173,916,551	)		(2,961,177	)		(262,088,159	)
Increase (Decrease) in Net Assets		(182,609,984	)		49,747,079			(97,744,656	)		(153,673,040	)
NET ASSETS:
Beginning of year		1,736,533,138			1,686,786,059			520,398,818			674,071,858
End of year	$	1,553,923,154		$	1,736,533,138	†	$	422,654,162		$	520,398,818	†
The following information was previously reported in the August 31, 2018 financial statements. The distribution information for the year ended August 31, 2018 presented on the Statements of Changes in Net Assets is presented for comparative purposes to the financial statements for year ended August 31, 2019, which confirm to the Securities Exchange Commission’s Final Rule on Disclosure Update and Simplification which was effective November 5, 2018. *   Distributions to Shareholders for the year ended August 31, 2018 were as follows:
				Large Cap Equity Fund						Small-Mid Cap Equity Fund
				2018						2018
Net investment income				$	(21,359,060	)				$	(1,094,809	)
Net realized gains				$	(57,775,877	)				$	(23,580,211	)
† Undistributed net investment income for the year ended August 31, 2018 were as follows:				$	12,112,827					$	2,906,926

See Notes to Financial Statements.

302

International Equity Fund						Emerging Markets Equity Fund						Core Fixed Income Fund						High Yield Fund
2019			2018			2019			2018			2019			2018			2019			2018
$	36,024,154		$	31,279,024		$	9,687,466		$	7,229,954		$	27,403,261		$	19,611,648		$	2,727,034		$	5,527,550
	(45,026,132	)		65,579,169			(9,905,939	)		18,505,790			20,772,717			(8,277,996	)		(248,212	)		2,800,897
	(87,407,761	)		(62,778,263	)		(2,929,212	)		(53,729,979	)		54,452,797			(21,354,412	)		228,305			(4,428,567	)
	(96,409,739	)		34,079,930			(3,147,685	)		(27,994,235	)		102,628,775			(10,020,760	)		2,707,127			3,899,880
	(31,325,356	)		(21,730,393	)*		(7,592,456	)		(6,507,933	)*		(29,106,437	)		(21,361,519	)*		(2,874,860	)		(5,677,244	)*
	—			—			—			—			—			(619,911	)		—			—
	(31,325,356	)		(21,730,393	)		(7,592,456	)		(6,507,933	)		(29,106,437	)		(21,981,430	)		(2,874,860	)		(5,677,244	)
	239,957,016			590,554,489			102,041,051			131,641,530			446,598,356			302,094,146			11,141,650			25,831,513
	31,325,332			21,730,372			7,592,437			6,507,915			29,106,798			21,984,592			2,874,977			5,678,670
	(509,040,936	)		(192,189,924	)		(104,107,655	)		(93,562,827	)		(212,612,744	)		(135,236,482	)		(23,401,205	)		(143,948,790	)
	(237,758,588	)		420,094,937			5,525,833			44,586,618			263,092,410			188,842,256			(9,384,578	)		(112,438,607	)
	(365,493,683	)		432,444,474			(5,214,308	)		10,084,450			336,614,748			156,840,066			(9,552,311	)		(114,215,971	)
	1,676,535,502			1,244,091,028			497,766,393			487,681,943			866,917,811			710,077,745			58,463,346			172,679,317
$	1,311,041,819		$	1,676,535,502	†	$	492,552,085		$	497,766,393	†	$	1,203,532,559		$	866,917,811	†	$	48,911,035		$	58,463,346	†
			International Equity Fund						Emerging Markets Equity Fund						Core Fixed Income Fund						High Yield Fund
			2018						2018						2018						2018
			$	(21,730,393	)				$	(6,507,933	)				$	(21,361,519	)				$	(5,677,244	)
			$	—					$	—					$	—					$	—
			$	31,326,592					$	6,153,503					$	264,111					$	1,166,148

See Notes to Financial Statements.

303

Statements of Changes in Net Assets

For the Year/Period Ended August 31, 2019 and August 31, 2018

	International Fixed Income Fund						Municipal Bond Fund
	2019			2018			2019			2018
OPERATIONS:
Net investment income (loss)	$	1,101,769		$	2,591,102		$	1,722,796		$	1,582,831
Net realized gain (loss)		5,402,825			1,288,073			568,254			320,471
Change in unrealized appreciation (depreciation)		7,187,476			(574,567	)		3,630,430			(2,058,138	)
Increase (Decrease) in Net Assets from Operations		13,692,070			3,304,608			5,921,480			(154,836	)
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1):
Distributable earnings		(4,871,339	)		(1,759,541	)*		(1,901,725	)		(1,581,149	)*
Decrease in Net Assets from Distributions to Shareholders		(4,871,339	)		(1,759,541	)		(1,901,725	)		(1,581,149	)
FUND SHARE TRANSACTIONS (NOTE 4):
Net proceeds from sale of shares		20,468,860			26,110,756			35,161,516			14,408,545
Reinvestment of distributions		4,871,339			1,759,541			1,901,976			1,580,926
Cost of shares repurchased		(31,758,662	)		(32,621,820	)		(19,072,643	)		(8,566,766	)
Increase (Decrease) in Net Assets from Fund Share Transactions		(6,418,463	)		(4,751,523	)		17,990,849			7,422,705
Increase (Decrease) in Net Assets		2,402,268			(3,206,456	)		22,010,604			5,686,720
NET ASSETS:
Beginning of year/period		144,596,669			147,803,125			63,624,030			57,937,310
End of year/period	$	146,998,937		$	144,596,669	†	$	85,634,634		$	63,624,030	†
The following information was previously reported in the August 31, 2018 financial statements. The distribution information for the year ended August 31, 2018 presented on the Statements of Changes in Net Assets is presented for comparative purposes to the financial statements for year ended August 31, 2019, which confirm to the Securities Exchange Commission’s Final Rule on Disclosure Update and Simplification which was effective November 5, 2018. *   Distributions to Shareholders for the year/period ended August 31, 2018 were as follows:
				International Fixed Income Fund						Municipal Bond Fund
				2018						2018
Net investment income				$	(1,759,541	)				$	(1,581,149	)
†  Undistributed net investment income for the year/period ended August 31, 2018 were as follows:				$	3,325,292					$	420,955

(a) The period from Fund inception (February 15, 2018) through the period ended August 31, 2018.

See Notes to Financial Statements.

304

Inflation-Linked Fixed Income Fund						Ultra-Short Term Fixed Income Fund						Alternative Strategies Fund
2019			2018			2019			2018			2019			2018(a)
$	5,681,713		$	6,695,369		$	12,731,611		$	6,991,652		$	158,030		$	(16,932	)
	(2,836,919	)		(489,734	)		1,395,734			1,532,766			(130,569	)		(2,981	)
	11,210,285			(4,729,345	)		(4,154,718	)		(810,625	)		850,721			25,187
	14,055,079			1,476,290			9,972,627			7,713,793			878,182			5,274
	(5,096,357	)		(7,721,464	)*		(13,471,881	)		(8,446,300	)*		(95,504	)		—	*
	(5,096,357	)		(7,721,464	)		(13,471,881	)		(8,446,300	)		(95,504	)		—
	29,466,773			91,224,733			105,555,158			274,391,020			26,545,340			5,854,954
	5,096,511			7,722,192			13,472,931			8,446,487			95,504			—
	(66,776,158	)		(43,271,943	)		(125,374,618	)		(50,699,785	)		(6,302,023	)		(131,167	)
	(32,212,874	)		55,674,982			(6,346,529	)		232,137,722			20,338,821			5,723,787
	(23,254,152	)		49,429,808			(9,845,783	)		231,405,215			21,121,499			5,729,061
	239,918,450			190,488,642			507,135,430			275,730,215			5,729,061			—
$	216,664,298		$	239,918,450	†	$	497,289,647		$	507,135,430	†	$	26,850,560		$	5,729,061	†
			Inflation-Linked Fixed Income Fund						Ultra-Short Term Fixed Income Fund						Alternative Strategies Fund
			2018						2018						2018(a)
			$	(7,721,464	)				$	(8,446,300	)				$	—
			$	395,911					$	793,633					$	—

See Notes to Financial Statements.

305

Statements of Cash Flows

For the Year Ended August 31, 2019

	International Fixed Income Fund			Inflation-Linked Fixed Income Fund
Cash Flows Provided by/Used in Operating Activities:
Net increase/decrease in net assets from operations	$	13,692,070		$	14,055,079
Adjustments to reconcile net increase/decrease in net assets from operations to net cash and foreign currency provided by/used in operating activities:
Purchases of long-term investments		(465,876,980	)		(448,660,443	)
Proceeds from the sale and maturity of long-term investments		435,938,331			431,061,692
Proceeds from short-term investments, net		16,191,715			4,549,210
Increase/Decrease to the principal amount of inflation-indexed bonds		379,056			(3,660,681	)
Change in net unrealized appreciation/depreciation from unaffiliated investments		(8,770,573	)		(13,681,294	)
Change in net unrealized appreciation/depreciation on option contracts written		18,665			(30,627	)
Change in net unrealized appreciation/depreciation on open OTC swap contracts		185,193			50,235
Increase/Decrease in variation margin on open centrally cleared swap contracts		155,731			(28,856	)
Net amortization (accretion) of premiums (discounts) of investments		595,472			(1,124,453	)
Net realized loss from unaffiliated investments		416,317			1,192,053
Increase in premium received on options contracts written		92,444			74,594
Increase in variation margin on open futures contracts		(21,655	)		(70,537	)
Increase/Decrease in receivable for securities sold		(1,306,112	)		756,892
Increase in receivable for TBA securities sold		(26,012,940	)		(50,210,025	)
Decrease in dividends and interest receivable from unaffiliated investments		183,849			212,696
Increase/Decrease in deposits for collateral with counterparty		149,000			(416,000	)
Increase/Decrease in net upfront payments received/paid on open OTC swap contracts		26,493			(78,562	)
Increase in prepaid expenses		(575	)		(8,969	)
Increase/Decrease in unrealized appreciation on open forward foreign currency contracts		(368,850	)		489,066
Decrease in payable for securities purchased		(859,404	)		(128,109	)
Increase in payable for TBA securities purchased		43,600,949			84,589,189
Decrease in payable for short sales		—			(5,775	)
Decrease in deposits for collateral from counterparty		(200,000	)		(287,000	)
Increase/Decrease in investment management fee payable		722			(8,847	)
Decrease in interest expense payable		(6,312	)		(41,665	)
Decrease in custody fee payable		(22,352	)		(35,207	)
Increase in transfer agent fees payable		224			288
Increase/Decrease in unrealized depreciation on open forward foreign currency contracts		(225,868	)		11,610
Increase in accrued expenses		5,187			35,469
Net cash and foreign currency provided by operating activities		7,959,797			18,601,023
Cash Flows Provided by/Used in Financing Activities:
Proceeds from sale-buyback transactions		43,399,304			247,478,995
Payments on sale-buyback transactions		(42,628,919	)		(242,524,413	)
Proceeds from reverse repurchase agreements		2,576,526			12,130,422
Proceeds from sale of shares		20,672,671			29,699,285
Cost of shares repurchased		(31,837,009	)		(66,970,317	)
Distributions to shareholders, net of reinvestments		—			(23	)
Net cash and foreign currency used in financing activities		(7,817,427	)		(20,186,051	)
Net increase/decrease in cash and foreign currency (a)		142,370			(1,585,028	)
Cash and Foreign Currency:
Cash and foreign currency at beginning of the year		116,590			1,512,020
Cash and foreign currency at end of the year	$	258,960		$	(73,008	)
Non-Cash Financing Activities:
Reinvestment of distributions	$	4,871,339		$	5,096,511

(a) Includes net change in unrealized appreciation (depreciation) on foreign currency of $130,086 and $6,560 for International Fixed Income Fund and Inflation-Linked Fixed Income Fund, respectively.

See Notes to Financial Statements.

306

Financial Highlights

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

Large Cap Equity Fund
	2019			2018			2017			2016			2015
Net Asset Value, Beginning of Year	$	21.31		$	18.76		$	17.06		$	20.63		$	22.19
Income from Operations:
Net investment income(1)		0.27			0.26			0.25			0.19			0.08
Net realized and unrealized gain (loss)		(0.24	)		3.18			2.05			1.15			0.87
Total Income from Operations		0.03			3.44			2.30			1.34			0.95
Less Distributions from:
Net investment income		(0.34	)		(0.24	)		(0.27	)		(0.11	)		(0.07	)
Net realized gain		(1.90	)		(0.65	)		(0.33	)		(4.80	)		(2.44	)
Total Distributions		(2.24	)		(0.89	)		(0.60	)		(4.91	)		(2.51	)
Net Asset Value, End of Year	$	19.10		$	21.31		$	18.76		$	17.06		$	20.63
Total Return†(2)		1.32	%		18.89	%		13.86	%		7.08	%		4.39	%(3)
Net Assets, End of Year (millions)	$	1,554		$	1,737		$	1,687		$	1,709		$	1,353
Ratios to Average Net Assets:
Gross expenses		0.69	%		0.69	%		0.69	%		0.69	%		0.68	%
Net expenses(4)		0.48			0.48			0.48			0.56			0.68
Net investment income		1.43			1.29			1.40			1.10			0.36
Portfolio Turnover Rate		13	%		29	%		18	%		105	%		66	%

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

(2) 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. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results.

(3) 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 0.005% to the total return for Large Cap Equity Fund.

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

† Calculated based on the net asset value as of the last business day of the period.

See Notes to Financial Statements.

307

Financial Highlights

(continued)

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

Small-Mid Cap Equity Fund
	2019			2018			2017			2016			2015
Net Asset Value, Beginning of Year	$	23.06		$	19.53		$	17.40		$	24.39		$	28.53
Income (Loss) from Operations:
Net investment income (loss)(1)		0.12			0.10			0.10			0.05			(0.12	)
Net realized and unrealized gain (loss)		(1.83	)		4.14			2.39			(1.22	)		1.93
Total Income (Loss) from Operations		(1.71	)		4.24			2.49			(1.17	)		1.81
Less Distributions from:
Net investment income		(0.10	)		(0.03	)		(0.06	)		—			—
Net realized gain		(2.65	)		(0.68	)		(0.30	)		(5.82	)		(5.95	)
Total Distributions		(2.75	)		(0.71	)		(0.36	)		(5.82	)		(5.95	)
Net Asset Value, End of Year	$	18.60		$	23.06		$	19.53		$	17.40		$	24.39
Total Return†(2)		(6.25	)%		22.17	%		14.49	%		(5.51	)%		7.36	%(3)
Net Assets, End of Year (millions)	$	423		$	520		$	674		$	475		$	229
Ratios to Average Net Assets:
Gross expenses		0.98	%		0.92	%		0.94	%		0.99	%		0.93	%
Net expenses(4)		0.66			0.61			0.63			0.79			0.93
Net investment income (loss)		0.63			0.47			0.52			0.28			(0.45	)
Portfolio Turnover Rate		65	%		34	%		34	%		151	%		89	%

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

(2) 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. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results.

(3) 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%.

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

† Calculated based on the net asset value as of the last business day of the period.

See Notes to Financial Statements.

308

Financial Highlights

(continued)

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

International Equity Fund
	2019			2018			2017			2016			2015
Net Asset Value, Beginning of Year	$	12.64		$	12.34		$	10.83		$	10.91		$	12.03
Income (Loss) from Operations:
Net investment income(1)		0.28			0.27			0.24			0.21			0.21
Net realized and unrealized gain (loss)		(1.09	)		0.24			1.56			(0.10	)		(1.13	)
Total Income (Loss) from Operations		(0.81	)		0.51			1.80			0.11			(0.92	)
Less Distributions from:
Net investment income		(0.24	)		(0.21	)		(0.29	)		(0.19	)		(0.20	)
Net Asset Value, End of Year	$	11.59		$	12.64		$	12.34		$	10.83		$	10.91
Total Return†(2)		(6.34	)%		4.15	%		17.14	%		0.96	%		(7.68	)%(3)
Net Assets, End of Year (millions)	$	1,311		$	1,677		$	1,244		$	1,122		$	1,202
Ratios to Average Net Assets:
Gross expenses		0.84	%		0.83	%		0.83	%		0.82	%		0.81	%
Net expenses(4)		0.68			0.66			0.65			0.76			0.79
Net investment income		2.40			2.07			2.15			2.02			1.80
Portfolio Turnover Rate		28	%		41	%		27	%		64	%		80	%

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

(2) 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. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results.

(3) 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)%.

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

† Calculated based on the net asset value as of the last business day of the period.

Emerging Markets Equity Fund
	2019			2018			2017			2016			2015
Net Asset Value, Beginning of Year	$	14.29		$	15.33		$	12.36		$	10.87			$14.54
Income (Loss) from Operations:
Net investment income(1)		0.27			0.22			0.20			0.13			0.17
Net realized and unrealized gain (loss)		(0.34	)		(1.06	)		2.90			1.51			(3.64	)
Total Income (Loss) from Operations		(0.07	)		(0.84	)		3.10			1.64			(3.47	)
Less Distributions from:
Net investment income		(0.22	)		(0.20	)		(0.13	)		(0.15	)		(0.20	)
Net Asset Value, End of Year	$	14.00		$	14.29		$	15.33		$	12.36			$10.87
Total Return†(2)		(0.40	)%		(5.55	)%		25.48	%		15.31	%		(24.08	)%
Net Assets, End of Year (millions)	$	493		$	498		$	488		$	428		$	464
Ratios to Average Net Assets:
Gross expenses		1.13	%		1.11	%		1.14	%		1.13	%		1.08	%
Net expenses(3)		0.82			0.80			0.86			0.96			0.96
Net investment income		1.95			1.42			1.51			1.15			1.34
Portfolio Turnover Rate		22	%		24	%		27	%		99	%		41	%

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

(2) 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. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results.

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

† Calculated based on the net asset value as of the last business day of the period.

See Notes to Financial Statements.

309

Financial Highlights

(continued)

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

Core Fixed Income Fund
	2019			2018			2017			2016			2015
Net Asset Value, Beginning of Year	$	7.86		$	8.19		$	8.41		$	8.23		$	8.44
Income (Loss) from Operations:
Net investment income(1)		0.23			0.20			0.19			0.20			0.17
Net realized and unrealized gain (loss)		0.57			(0.31	)		(0.11	)		0.27			(0.06	)
Total Income (Loss) from Operations		0.80			(0.11	)		0.08			0.47			0.11
Less Distributions from:
Net investment income		(0.24	)		(0.21	)		(0.22	)		(0.23	)		(0.20	)
Tax return of capital		—			(0.01	)		—			—			—
Net realized gain		—			—			(0.08	)		(0.06	)		(0.12	)
Total Distributions		(0.24	)		(0.22	)		(0.30	)		(0.29	)		(0.32	)
Net Asset Value, End of Year	$	8.42		$	7.86		$	8.19		$	8.41		$	8.23
Total Return†(2)		10.39	%		(1.35	)%		1.07	%		5.84	%		1.35	%
Net Assets, End of Year (millions)	$	1,204		$	867		$	710		$	722		$	859
Ratios to Average Net Assets:
Gross expenses		0.57	%		0.57	%		0.58	%(3)		0.55	%(3)		0.54	%(3)
Net expenses(4)		0.56			0.56			0.56	(3)		0.54	(3)		0.55	(3)
Net investment income		2.85			2.49			2.32			2.42			2.06
Portfolio Turnover Rate		210	%		253	%		236	%		245	%		326	%

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

(2) 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. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results.

(3) Ratio includes interest expense reverse repurchase agreements which represents less than 0.005%.

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

† Calculated based on the net asset value as of the last business day of the period.

See Notes to Financial Statements.

310

Financial Highlights

(continued)

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

High Yield Fund
	2019			2018			2017			2016			2015
Net Asset Value, Beginning of Year	$	3.77		$	3.86		$	3.78		$	3.88		$	4.41
Income (Loss) from Operations:
Net investment income(1)		0.19			0.20			0.22			0.23			0.24
Net realized and unrealized gain (loss)		0.00			(0.08	)		0.10			(0.09	)		(0.50	)
Total Income (Loss) from Operations		0.19			0.12			0.32			0.14			(0.26	)
Less Distributions from:
Net investment income		(0.20	)		(0.21	)		(0.24	)		(0.24	)		(0.27	)
Net Asset Value, End of Year	$	3.76		$	3.77		$	3.86		$	3.78		$	3.88
Total Return†(2)		5.58	%		3.20	%		8.38	%		4.02	%		(6.14	)%
Net Assets, End of Year (millions)	$	49		$	58		$	173		$	325		$	254
Ratios to Average Net Assets:
Gross expenses		1.32	%		1.17	%		0.95	%		0.88	%		0.90	%
Net expenses(3)		1.12			0.97			0.75			0.70			0.74
Net investment income		5.09			5.27			5.65			6.21			5.74
Portfolio Turnover Rate		43	%		57	%		72	%		64	%		42	%

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

(2) 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. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results.

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

† Calculated based on the net asset value as of the last business day of the period.

International Fixed Income Fund
	2019			2018			2017			2016			2015
Net Asset Value, Beginning of Year	$	7.86		$	7.78		$	7.79		$	7.61		$	8.04
Income from Operations:
Net investment income(1)		0.06			0.14			0.14			0.13			0.13
Net realized and unrealized gain (loss)		0.70			0.03			(0.07	)		0.56			(0.09	)
Total Income from Operations		0.76			0.17			0.07			0.69			0.04
Less Distributions from:
Net investment income		(0.27	)		(0.09	)		(0.08	)		(0.51	)		(0.47	)
Net Asset Value, End of Year	$	8.35		$	7.86		$	7.78		$	7.79		$	7.61
Total Return†(2)		10.01	%		2.25	%		0.98	%		9.56	%		0.44	%
Net Assets, End of Year (millions)	$	147		$	145		$	148		$	192		$	223
Ratios to Average Net Assets:
Gross expenses(3)		1.24	%		1.01	%		1.06	%		0.87	%		0.87	%
Net expenses(3)		1.19	(4)		0.95	(4)		1.01	(4)		0.83	(4)		0.87
Net investment income		0.77			1.76			1.82			1.71			1.61
Portfolio Turnover Rate		265	%		203	%		268	%		199	%		416	%

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

(2) 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. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results.

(3) Ratio includes interest expense on reverse repurchase agreements which represents 0.15%, 0.04%, 0.11%, 0.04% and 0.10%, respectively.

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

† Calculated based on the net asset value as of the last business day of the period.

See Notes to Financial Statements.

311

Financial Highlights

(continued)

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

Municipal Bond Fund
	2019			2018			2017			2016			2015
Net Asset Value, Beginning of Year	$	9.11		$	9.37		$	9.93		$	9.65		$	9.76
Income (Loss) from Operations:
Net investment income(1)		0.23			0.24			0.27			0.28			0.28
Net realized and unrealized gain (loss)		0.52			(0.26	)		(0.31	)		0.30			(0.06	)
Total Income (Loss) from Operations		0.75			(0.02	)		(0.04	)		0.58			0.22
Less Distributions from:
Net investment income		(0.22	)		(0.24	)		(0.27	)		(0.28	)		(0.28	)
Net realized gain		(0.03	)		—			(0.25	)		(0.02	)		(0.05	)
Total Distributions		(0.25	)		(0.24	)		(0.52	)		(0.30	)		(0.33	)
Net Asset Value, End of Year	$	9.61		$	9.11		$	9.37		$	9.93		$	9.65
Total Return†(2)		8.38	%		(0.21	)%		(0.22	)%		6.14	%		2.32	%
Net Assets, End of Year (millions)	$	86		$	64		$	58		$	69		$	85
Ratios to Average Net Assets:
Gross expenses		0.74	%		0.72	%		0.75	%		0.68	%		0.66	%
Net expenses		0.74			0.72			0.75			0.68			0.66
Net investment income		2.44			2.61			2.85			2.87			2.91
Portfolio Turnover Rate		42	%		18	%		13	%		16	%		8	%

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

(2) 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. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results.

† Calculated based on the net asset value as of the last business day of the period.

See Notes to Financial Statements.

312

Financial Highlights

(continued)

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

Inflation-Linked Fixed Income Fund
	2019			2018			2017			2016(1)
Net Asset Value, Beginning of Year/Period	$	9.79		$	10.08		$	10.23		$	10.00
Income from Operations:
Net investment income(2)		0.24			0.30			0.23			0.14
Net realized and unrealized gain (loss)		0.38			(0.25	)		(0.13	)		0.32
Total Income from Operations		0.62			0.05			0.10			0.46
Less Distributions from:
Net investment income		(0.22	)		(0.34	)		(0.24	)		(0.23	)
Net realized gain		—			—			(0.01	)		—
Total Distributions		(0.22	)		(0.34	)		(0.25	)		(0.23	)
Net Asset Value, End of Year/Period	$	10.19		$	9.79		$	10.08		$	10.23
Total Return†(3)		6.42	%		0.55	%		1.05	%		4.59	%(7)
Net Assets, End of Year/Period (millions)	$	217		$	240		$	190		$	159
Ratios to Average Net Assets:
Gross expenses(4)		1.35	%		1.27	%		1.15	%		1.03	%(5)
Net expenses(4)(6)		1.30			1.22			1.10			0.99	(5)
Net investment income		2.47			3.07			2.25			2.91	(5)
Portfolio Turnover Rate		143	%		72	%		120	%		35	%(7)

(1) For the period from Fund inception (March 8, 2016) through the period ended August 31, 2016.

(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. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results.

(4) Ratio includes interest expense on reverse repurchase agreements which represents 0.55%, 0.49%, 0.29% and 0.19%, respectively.

(5) Annualized.

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

(7) Not annualized.

† Calculated based on the net asset value as of the last business day of the period.

See Notes to Financial Statements.

313

Financial Highlights

(continued)

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

Ultra-Short Term Fixed Income Fund
	2019			2018			2017			2016(1)
Net Asset Value, Beginning of Year/Period	$	9.97		$	9.99		$	10.00		$	10.00
Income from Operations:
Net investment income(2)		0.25			0.19			0.13			0.07
Net realized and unrealized gain (loss)		(0.06	)		0.02			0.08			0.02
Total Income from Operations		0.19			0.21			0.21			0.09
Less Distributions from:
Net investment income		(0.26	)		(0.23	)		(0.22	)		(0.09	)
Net Asset Value, End of Year/Period	$	9.90		$	9.97		$	9.99		$	10.00
Total Return†(3)		2.07	%		2.09	%		2.14	%		0.89	%(7)
Net Assets, End of Year/Period (millions)	$	497		$	507		$	276		$	162
Ratios to Average Net Assets:
Gross expenses(4)		0.82	%		0.71	%		0.84	%		0.81	%(5)
Net expenses(4)(6)		0.77			0.66			0.79			0.77	(5)
Net investment income		2.51			1.90			1.29			1.47	(5)
Portfolio Turnover Rate		97	%		128	%		103	%		100	%(7)

(1) For the period from Fund inception (March 8, 2016) through the period ended August 31, 2016.

(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. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results.

(4) Ratio includes interest expense on reverse repurchase agreements which represents 0.07%, 0.04%, 0.05% and 0.02%, respectively.

(5) Annualized.

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

(7) Not annualized.

† Calculated based on the net asset value as of the last business day of the period.

See Notes to Financial Statements.

314

Financial Highlights

(continued)

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

Alternative Strategies Fund
	2019			2018(1)
Net Asset Value, Beginning of Year/Period	$	9.88		$	10.00
Income (Loss) from Operations:
Net investment income (loss)(2)		0.10			(0.09	)
Net realized and unrealized gain (loss)		0.19			(0.03	)
Total Income (Loss) from Operations		0.29			(0.12	)
Less Distributions from:
Net investment income		(0.07	)		—
Net Asset Value, End of Year/Period	$	10.10		$	9.88
Total Return†(3)		2.90	%		(1.20	)%(6)
Net Assets, End of Year/Period (millions)	$	27		$	6
Ratios to Average Net Assets:
Gross expenses		2.34	%		11.00	%(4)
Net expenses(5)		0.88			1.95	(4)
Net investment income (loss)		1.01			(1.72	)(4)
Portfolio Turnover Rate		16	%		14	%(6)

(1) For the period from Fund inception (February 15, 2018) through the period ended August 31, 2018.

(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. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results.

(4) Annualized.

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

(6) Not annualized.

† Calculated based on the net asset value as of the last business day of the period.

See Notes to Financial Statements.

315

Notes to Financial Statements

1. Organization and Significant Accounting Policies

The Morgan Stanley Pathway Funds (formerly known as Consulting Group Capital Markets Funds) (the “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, 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, Inflation-Linked Fixed Income Fund, Ultra-Short Term Fixed Income Fund and Alternative Strategies Fund (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.

In August 2018, FASB issued Accounting Standard Update (“ASU”) 2018-13, Fair Value Measurement (Topic 820) – Disclosures Framework – Changes to Disclosure Requirements of Fair Value Measurement (“ASU 2018-13”) Which introduces new fair value disclosure requirements as well as eliminates and modifies certain existing fair value disclosure requirements. ASU 2018-13 would be effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years; however, management has elected to early adopt ASU 2018-13 as permitted by the standard. The impact of the Fund’s adoption was limited to changes in the Fund’s financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy and disclosure of the range and weighted average used to develop significant unobservable inputs for Level 3 fair value measurements, when applicable.

(a) Investment Valuation. Equity securities for each 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. Forward 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

316

Notes to Financial Statements

(continued)

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, 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 Net Asset Value (“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 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.

317

Notes to Financial Statements

(continued)

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.

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 August 31, 2019		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:
Communication Services	$	136,494,109	$	136,494,109	$	—	$	—
Consumer Discretionary		159,468,443		159,468,443		—		—
Consumer Staples		97,442,591		97,442,591		—		—
Energy		72,318,962		72,318,962		—		—
Financials		177,823,838		177,823,838		—		—
Health Care		237,602,597		237,602,597		—		—
Industrials		137,367,490		137,367,490		—		—
Information Technology		332,554,039		332,554,039		—		—
Materials		50,812,547		50,812,547		—		—
Real Estate		42,380,816		42,380,816		—		—
Utilities		34,774,542		34,774,542		—		—
Closed End Mutual Fund Security:
Financials		37,804,672		37,804,672		—		—
Short-Term Investments:
Money Market Fund		10,273,681		10,273,681		—		—
Time Deposits		26,026,109		—		26,026,109		—
Total Investments, at Value	$	1,553,144,436	$	1,527,118,327	$	26,026,109	$	—

318

Notes to Financial Statements

(continued)

	Total Fair Value at August 31, 2019			Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Other Financial Instruments — Assets
Futures Contract	$	14,150		$	14,150		$	—	$	—
Total Other Financial Instruments — Assets	$	14,150		$	14,150		$	—	$	—
Other Financial Instruments — Liabilities
Futures Contract	$	(13,467	)	$	(13,467	)	$	—	$	—
Total Other Financial Instruments — Liabilities	$	(13,467	)	$	(13,467	)	$	—	$	—
Small-Mid Cap Equity Fund
Investments, at Value
Common Stocks:
Communication Services	$	8,164,277		$	8,164,277		$	—	$	—
Consumer Discretionary		32,421,965			32,421,965			—		—
Consumer Staples		12,695,949			12,695,949			—		—
Energy		8,181,876			8,181,876			—		—
Financials		63,892,423			63,892,423			—		—
Health Care		60,214,937			60,214,743			—		194
Industrials		73,502,794			73,502,794			—		—
Information Technology		80,131,177			80,131,177			—		—
Materials		21,542,044	*		21,541,550			—		494	*
Real Estate		29,967,246			29,967,246			—		—
Utilities		13,637,079			13,637,079			—		—
Convertible Preferred Stocks:
Health Care		512,964			512,964			—		—
Utilities		1,808,048			1,808,048			—		—
Closed End Mutual Fund Securities:
Financials		1,515,400			1,515,400			—		—
Preferred Stocks:
Financials		1,901,732			1,901,732			—		—
Corporate Bond & Note		369,520			—			369,520		—
Short-Term Investments:
Money Market Fund		9,907,772			9,907,772			—		—
Time Deposits		10,690,031			—			10,690,031		—
Total Investments, at Value	$	431,057,234	*	$	419,996,995		$	11,059,551	$	688	*
Other Financial Instruments — Assets
Futures Contract	$	2,833		$	2,833		$	—	$	—
Total Other Financial Instruments — Assets	$	2,833		$	2,833		$	—	$	—
Other Financial Instruments — Liabilities
Futures Contracts	$	(69,534	)	$	(69,534	)	$	—	$	—
Total Other Financial Instruments — Liabilities	$	(69,534	)	$	(69,534	)	$	—	$	—

319

Notes to Financial Statements

(continued)

	Total Fair Value at August 31, 2019			Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
International Equity Fund
Investments, at Value
Common Stocks:
France	$	133,948,958		$	80,763		$	133,868,195	$	—
Germany		103,391,359			—			103,391,359		—
Japan		263,196,392			—			263,196,392		—
Switzerland		130,243,122			—			130,243,122		—
United Kingdom		197,974,162			1,836,089			196,138,073		—
Other Countries**		440,354,431			84,036,832			356,317,599		—
Preferred Stocks:
Germany		10,522,683			—			10,522,683		—
Closed End Mutual Fund Security:
United States		595,056			595,056			—		—
Short-Term Investments:
Money Market Fund		9,378,863			9,378,863			—		—
Time Deposits		28,378,179			—			28,378,179		—
Total Investments, at Value	$	1,317,983,205		$	95,927,603		$	1,222,055,602	$	—
Other Financial Instruments — Assets
Futures Contracts	$	13,956		$	13,956		$	—	$	—
Total Other Financial Instruments — Assets	$	13,956		$	13,956		$	—	$	—
Other Financial Instruments — Liabilities
Futures Contracts	$	(10,701	)	$	(10,701	)	$	—	$	—
Total Other Financial Instruments — Liabilities	$	(10,701	)	$	(10,701	)	$	—	$	—
Emerging Markets Equity Fund
Investments, at Value
Common Stocks:
Brazil	$	32,925,050		$	32,925,050		$	—	$	—
China		126,535,193			39,572,064			86,963,129		—
India		49,305,332			5,998,899			43,306,433		—
Russia		26,286,917			21,982,200			4,304,717		—
South Africa		30,198,487			—			30,198,487		—
South Korea		44,530,726			—			44,530,726		—
Taiwan		30,445,037			—			30,445,037		—
Other Countries**		133,939,392			29,008,111			104,931,281		—
Preferred Stocks:
Brazil		6,111,060			6,111,060			—		—
Chile		123,755			123,755			—		—
Colombia		251,300			251,300			—		—
Russia		131,968			94,120			37,848		—
South Korea		925,368			—			925,368		—
Rights:
Brazil		1,507			1,507			—		—
Chile		37			37			—		—
China		2,529			—			2,529		—

320

Notes to Financial Statements

(continued)

	Total Fair Value at August 31, 2019			Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Corporate Bond & Note:
India	$	19		$	—		$	19		$	—
Short-Term Investments:
Money Market Fund		8,218,833			8,218,833			—			—
Time Deposits		8,220,639			—			8,220,639			—
Total Investments, at Value	$	498,153,149		$	144,286,936		$	353,866,213		$	—
Other Financial Instruments — Liabilities
Futures Contract	$	(72,466	)	$	(72,466	)	$	—		$	—
Total Other Financial Instruments — Liabilities	$	(72,466	)	$	(72,466	)	$	—		$	—
Core Fixed Income Fund
Investments, at Value
Corporate Bonds & Notes	$	343,471,432	*	$	—		$	343,471,432		$	—	*
Mortgage-Backed Securities		339,743,166			—			339,743,166			—
U.S. Government Agencies & Obligations		322,487,435			—			322,487,435			—
Collateralized Mortgage Obligations		115,789,754			—			115,789,754			—
Sovereign Bonds		33,334,362			—			33,334,362			—
Asset-Backed Securities		20,535,167			—			20,535,167			—
Senior Loans		13,270,623			—			13,270,623			—
Municipal Bonds		3,892,734			—			3,892,734			—
Preferred Stock:
Financials		99,560			99,560			—			—
Purchased Options		573,318			135,106			438,212			—
Short-Term Investments:
Corporate Bond		966,785			—			966,785			—
Money Market Fund		143,175			143,175			—			—
Repurchase Agreement		31,000,000			—			31,000,000			—
Time Deposits		63,946,910			—			63,946,910			—
U.S. Government Agencies		8,676,324			—			8,676,324			—
U.S. Government Obligations		6,525,684			—			6,525,684			—
Total Investments, at Value	$	1,304,456,429	*	$	377,841		$	1,304,078,588		$	—	*
Other Financial Instruments — Assets
Futures Contracts	$	2,133,888		$	2,133,888		$	—		$	—
Forward Foreign Currency Contracts		656,299			—			656,299			—
OTC Interest Rate Swap		293,658			—			293,658			—
Centrally Cleared Interest Rate Swaps		582,967			—			582,967			—
Centrally Cleared Credit Default Swap		57,652			—			57,652			—
Total Other Financial Instruments — Assets	$	3,724,464		$	2,133,888		$	1,590,576		$	—
Other Financial Instruments — Liabilities
Options Contracts Written	$	(269,484	)	$	(269,484	)	$	—		$	—
Futures Contracts		(2,325,831	)		(2,325,831	)		—			—
Forward Foreign Currency Contracts		(1,106,968	)		—			(1,106,968	)		—
OTC Interest Rate Swap		(30,102	)		—			(30,102	)		—
Centrally Cleared Interest Rate Swaps		(5,977,970	)		—			(5,977,970	)		—
Centrally Cleared Credit Default Swap		(69,209	)		—			(69,209	)		—
Total Other Financial Instruments — Liabilities	$	(9,779,564	)	$	(2,595,315	)	$	(7,184,249	)	$	—

321

Notes to Financial Statements

(continued)

	Total Fair Value at August 31, 2019			Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
High Yield Fund
Investments, at Value
Corporate Bonds & Notes	$	42,426,568	*	$	—	$	42,426,568	$	—	*
Senior Loans		3,335,972			—		3,335,972		—
Common Stocks:
Communications		3,294			3,294		—		—
Consumer Cyclical		2,103			—		—		2,103
Energy		377,513			366,080		—		11,433
Financials		5,202			—		—		5,202
Preferred Stocks:
Financials		132,311			132,311		—		—
Sovereign Bond		58,687			—		58,687		—
Warrant:
Media		3,276			3,276		—		—
Short-Term Investments:
Money Market Fund		125,726			125,726		—		—
Time Deposits		2,307,429			—		2,307,429		—
Total Investments, at Value	$	48,778,081	*	$	630,687	$	48,128,656	$	18,738	*
International Fixed Income Fund
Investments, at Value
Sovereign Bonds:
France	$	8,888,368		$	—	$	8,888,368	$	—
Japan		28,669,325			—		28,669,325		—
Spain		11,222,033			—		11,222,033		—
Other Countries**		30,666,323			—		30,666,323		—
Corporate Bonds & Notes:
United Kingdom		9,254,665			—		9,254,665		—
United States		9,305,741			—		9,305,741		—
Other Countries**		26,130,228			—		26,130,228		—
Mortgage-Backed Securities		35,772,307			—		35,772,307		—
Collateralized Mortgage Obligations		21,570,055			—		21,570,055		—
U.S. Government Obligations		12,095,917			—		12,095,917		—
Asset-Backed Securities		895,999			—		895,999		—
Senior Loan		194,507			—		194,507		—
Municipal Bond		46,060			—		46,060		—
Purchased Options		62,264			10,943		51,321		—
Short-Term Investments:
Time Deposits		2,137,740			—		2,137,740		—
Total Investments, at Value	$	196,911,532		$	10,943	$	196,900,589	$	—
Other Financial Instruments — Assets
Futures Contracts	$	309,664		$	309,664	$	—	$	—
Forward Foreign Currency Contracts		2,433,866			—		2,433,866		—
OTC Interest Rate Swaps		67,192			—		67,192		—
Centrally Cleared Interest Rate Swaps		1,906,316			—		1,906,316		—
OTC Credit Default Swaps		23,425			—		23,425		—
Centrally Cleared Credit Default Swaps		667,126			—		667,126		—
Total Other Financial Instruments — Assets	$	5,407,589		$	309,664	$	5,097,925	$	—

322

Notes to Financial Statements

(continued)

	Total Fair Value at August 31, 2019			Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Other Financial Instruments — Liabilities
Options Contracts Written	$	(164,245	)	$	(87,668	)	$	(76,577	)	$	—
Reverse Repurchase Agreements		(16,935,905	)		—			(16,935,905	)		—
Futures Contracts		(8,187	)		(8,187	)		—			—
Forward Foreign Currency Contracts		(1,332,320	)		—			(1,332,320	)		—
OTC Total Return Swaps		(158,665	)		—			(158,665	)		—
Centrally Cleared Interest Rate Swaps		(2,702,985	)		—			(2,702,985	)		—
OTC Credit Default Swaps		(57,099	)		—			(57,099	)		—
Centrally Cleared Credit Default Swaps		(112,574	)		—			(112,574	)		—
OTC Cross-Currency Swaps		(51,609	)		—			(51,609	)		—
Total Other Financial Instruments — Liabilities	$	(21,523,589	)	$	(95,855	)	$	(21,427,734	)	$	—
Municipal Bond Fund
Investments, at Value
Municipal Bonds	$	80,464,568		$	—		$	80,464,568		$	—
Closed End Mutual Fund Security:
United States		3,467,520			3,467,520			—			—
Short-Term Investments:
Time Deposits		1,426,966			—			1,426,966			—
Total Investments, at Value	$	85,359,054		$	3,467,520		$	81,891,534		$	—
Other Financial Instruments — Assets
Futures Contract	$	19,596		$	19,596		$	—		$	—
Total Other Financial Instruments — Assets	$	19,596		$	19,596		$	—		$	—
Inflation-Linked Fixed Income Fund
Investments, at Value
U.S. Government Obligations	$	221,409,682		$	—		$	221,409,682		$	—
Mortgage-Backed Securities		44,057,747			—			44,057,747			—
Collateralized Mortgage Obligations		23,033,081			—			23,033,081			—
Sovereign Bonds		18,489,388			—			18,489,388			—
Corporate Bonds & Notes		11,269,004			—			11,269,004			—
Purchased Options		23,165			23,165			—			—
Short-Term Investments:
Time Deposits		687,518			—			687,518			—
Total Investments, at Value	$	318,969,585		$	23,165		$	318,946,420		$	—
Other Financial Instruments — Assets
Futures Contracts	$	18,915		$	18,915		$	—		$	—
Forward Foreign Currency Contracts		809,252			—			809,252			—
Centrally Cleared Interest Rate Swaps		881,789			—			881,789			—
Centrally Cleared Inflation Rate Swaps		474,476			—			474,476			—
Centrally Cleared Credit Default Swap		3,438			—			3,438			—
Total Other Financial Instruments — Assets	$	2,187,870		$	18,915		$	2,168,955		$	—

323

Notes to Financial Statements

(continued)

	Total Fair Value at August 31, 2019			Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Other Financial Instruments — Liabilities
Options Contracts Written	$	(82,877	)	$	(80,121	)	$	(2,756	)	$	—
Reverse Repurchase Agreements		(54,088,001	)		—			(54,088,001	)		—
Futures Contracts		(258,188	)		(258,188	)		—			—
Forward Foreign Currency Contracts		(295,939	)		—			(295,939	)		—
Centrally Cleared Interest Rate Swaps		(2,033,408	)		—			(2,033,408	)		—
Centrally Cleared Inflation Rate Swaps		(463,084	)		—			(463,084	)		—
OTC Credit Default Swaps		(16,438	)		—			(16,438	)		—
Centrally Cleared Credit Default Swap		(218	)		—			(218	)		—
Total Other Financial Instruments — Liabilities	$	(57,238,153	)	$	(338,309	)	$	(56,899,844	)	$	—
Ultra-Short Term Fixed Income Fund
Investments, at Value
Corporate Bonds & Notes	$	293,918,726		$	—		$	293,918,726		$	—
Collateralized Mortgage Obligations		89,403,322			—			89,403,322			—
Mortgage-Backed Securities		62,109,572			—			62,109,572			—
Asset-Backed Securities		34,721,391			—			34,721,391			—
U.S. Government Obligations		33,953,429						33,953,429
Sovereign Bonds		7,603,995			—			7,603,995			—
Short-Term Investments:
Commercial Paper		4,985,700			—			4,985,700			—
Time Deposits		1,104,297			—			1,104,297			—
U.S. Government Obligation		149,759,230			—			149,759,230			—
Total Investments, at Value	$	677,559,662		$	—		$	677,559,662		$	—
Other Financial Instruments — Assets
Futures Contracts	$	345,858		$	345,858		$	—		$	—
Forward Foreign Currency Contracts		868,017			—			868,017			—
Centrally Cleared Interest Rate Swap		24,585			—			24,585			—
Total Other Financial Instruments — Assets	$	1,238,460		$	345,858		$	892,602		$	—
Other Financial Instruments — Liabilities
Futures Contracts	$	(636,707	)	$	(636,707	)	$	—		$	—
Forward Foreign Currency Contracts		(177,427	)		—			(177,427	)		—
Centrally Cleared Interest Rate Swaps		(7,642,592	)		—			(7,642,592	)		—
Centrally Cleared Credit Default Swaps		(143,660	)		—			(143,660	)		—
Total Other Financial Instruments — Liabilities	$	(8,600,386	)	$	(636,707	)	$	(7,963,679	)	$	—
Alternative Strategies Fund
Investments, at Value
Open End Mutual Fund Securities:
United States	$	26,432,034		$	26,432,034		$	—		$	—
Total Investments, at Value	$	26,432,034		$	26,432,034		$	—		$	—

* Includes securities that are valued in good faith at fair value by or under the direction of the Board of Trustees at $0.

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

324

Notes to Financial Statements

(continued)

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

Transfer between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes.

The following is a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining fair value during the year September 1, 2018 through August 31, 2019:

	Total			Common Stocks			Corporate Bonds & Notes			Convertible Preferred Stocks		Rights			Warrant
Small-Mid Cap Equity Fund
Balance as of August 31, 2018	$	2,177	*	$	2,177	*	$	—		$	—	$	—		$	—
Total realized gain (loss)		—			—			—			—		—			—
Change in unrealized appreciation (depreciation)		(1,746	)		(1,746	)		—			—		—			—
Purchases		257			257			—			—		—			—
(Sales)		—			—			—			—		—			—
Transfers in		—			—			—			—		—			—
(Transfers out)		—						—			—		—			—
Balance as of August 31, 2019	$	688	*	$	688	*	$	—		$	—	$	—		$	—
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2019	$	(1,746	)	$	(1,746	)	$	—		$	—	$	—		$	—
Emerging Markets Equity Fund
Balance as of August 31, 2018	$	4,194	*	$	1,949		$	—		$	—	$	2,245	*	$	—	*
Total realized gain (loss)		—			—			—			—		—			—
Change in unrealized appreciation (depreciation)		(3,973	)		(1,728	)		—			—		(2,245	)		—
Purchases		—			—			—			—		—			—
(Sales)		—			—			—			—		—			—
Transfers in		—			—			—			—		—			—
(Transfers out)		(221	)		(221	)		—			—		—			—
Balance as of August 31, 2019	$	—		$	—		$	—		$	—	$	—		$	—
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2019	$	—		$	—		$	—		$	—	$	—		$	—
Core Fixed Income Fund
Balance as of August 31, 2018	$	—	*	$	—		$	—	*	$	—	$	—		$	—
Total realized gain (loss)		—			—			—			—		—			—
Accrued discounts (premiums)		—			—			—			—		—			—
Change in unrealized appreciation (depreciation)		—			—			—			—		—			—
Purchases		—			—			—			—		—			—
(Sales)		—			—			—			—		—			—
Transfers in		—			—			—			—		—			—
(Transfers out)		—			—			—			—		—			—
Balance as of August 31, 2019	$	—	*	$	—		$	—	*	$	—	$	—		$	—
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2019	$	—		$	—		$	—		$	—	$	—		$	—

325

Notes to Financial Statements

(continued)

	Total			Common Stocks			Corporate Bonds & Notes			Convertible Preferred Stocks			Rights		Warrant
High Yield Fund
Balance as of August 31, 2018	$	479,128	*	$	273,891	*	$	162,832	*	$	42,405		$	—	$	—
Total realized gain (loss)		(201,743	)		36,305			(8,492	)		(229,556	)		—		—
Accured discounts (premiums)		1,877			—			1,877			—			—		—
Change in unrealized appreciation (depreciation)		25,674			(166,120	)		6,615			185,179			—		—
Purchases		9,214			—			5,825			3,389			—		—
(Sales)		(295,412	)		(125,338	)		(168,657	)		(1,417	)		—		—
Transfers in		—			—			—			—			—		—
(Transfers out)		—			—			—			—			—		—
Balance as of August 31, 2019	$	18,738	*	$	18,738		$	—	*	$	—		$	—	$	—
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2019	$	13,816		$	13,816		$	—		$	—		$	—	$	—

* Includes securities that are valued at $0.

(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 the year-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 and are reported on the Statements of Assets and Liabilities. 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.

326

Notes to Financial Statements

(continued)

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 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) Inflation-Capped Options. Certain Funds may write or purchase inflation-capped options to enhance returns or for hedging opportunities. When a Fund writes an inflation-capped option, an amount equal to the premium received is recorded as a liability on the Statements of Assets and Liabilities and subsequently marked to market to reflect the change value of the option written. When a Fund purchases an inflation-capped option, the Fund pays a premium which is recorded as an asset on the Statements of Assets and Liabilities and subsequently marked to market to reflect the current value of the option. The purpose of purchasing inflation-capped options is to protect a Fund from inflation erosion above a certain rate on a given notional exposure. A floor can be used to give downside protection to investments in inflation-linked products.

(v) 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.

(vi) 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 year-end are included on the Fund’s Schedule of Investments under the caption “Purchased Options.”

327

Notes to Financial Statements

(continued)

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.

(vii) 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 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. Such amounts are reported on the Statements of Assets and Liabilities as deposits with counterparties.

(viii) 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

328

Notes to Financial Statements

(continued)

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.

(ix) 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.

(x) 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 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 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.

(xi) 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.

(xii) 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.

329

Notes to Financial Statements

(continued)

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.

(xiii) 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 Statements of Operations. Inflation rate swap contracts are subject to movements in interest rates.

(xiv) Total Return Swaps. The Fund may enter into total return swap contracts to gain exposure and benefit from reference asset (single asset, or a basket of assets) without actually having to own it. Total return swap contracts are agreements where the total return of a reference asset is paid in exchange for periodic cash flows. The deal is structured such that the total return (asset income plus capital appreciation/depreciation) is exchanged, in the cash flows. Periodic payments received or made by the Fund are recorded as realized gains or losses in the Statements of Operations.

The following is a summary of the fair valuations of the Funds’ derivative instruments categorized by risk exposure at August 31, 2019:

Large Cap Equity Fund

Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2019:
Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Asset derivatives
Unrealized appreciation on open futures contracts (b)	$	—	$	—	$	—	$	14,150	$	14,150
Liability derivatives
Unrealized depreciation on open futures contracts (b) .	$	—	$	—	$	—	$	13,467	$	13,467

Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2019:
Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk			Total
Realized gain/(loss) on derivatives (d)
Futures contracts	$	—	$	—	$	—	$	235,642		$	235,642
Change in unrealized appreciation (depreciation) on derivatives (e)
Futures contracts	$	—	$	—	$	—	$	(440,956	)	$	(440,956	)

330

Notes to Financial Statements

(continued)

Small-Mid Cap Equity Fund

Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2019:
Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Asset derivatives
Unrealized appreciation on open futures contracts (b)	$	—	$	—	$	—	$	2,833	$	2,833
Liability derivatives
Unrealized depreciation on open futures contracts (b)	$	—	$	—	$	—	$	69,534	$	69,534

Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2019:
Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk			Total
Realized gain/(loss) on derivatives (d)
Futures contracts	$	—	$	—	$	—	$	(276,064	)	$	(276,064	)
Change in unrealized appreciation (depreciation) on derivatives (e)
Futures contracts	$	—	$	—	$	—	$	(117,059	)	$	(117,059	)

International Equity Fund

Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2019:
Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Asset derivatives
Unrealized appreciation on open futures contracts (b)	$	—	$	—	$	—	$	13,956	$	13,956
Liability derivatives
Unrealized depreciation on open futures contracts (b)	$	—	$	—	$	—	$	10,701	$	10,701

Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2019:
Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Realized gain/(loss) on derivatives (d)
Futures contracts	$	—	$	—	$	—	$	15,343	$	15,343
Forward foreign currency contracts		—		51,557		—		—		51,557
	$	—	$	51,557	$	—	$	15,343	$	66,900
Change in unrealized appreciation (depreciation) on derivatives (e)
Futures contracts	$	—	$	—	$	—	$	12,999	$	12,999

Emerging Markets Equity Fund

Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2019:
Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Liability derivatives
Unrealized depreciation on open futures contracts (b)	$	—	$	—	$	—	$	72,466	$	72,466

331

Notes to Financial Statements

(continued)

Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2019:
Location	Interest rate risk		Foreign exchange risk			Credit risk		Equity risk			Total
Realized gain/(loss) on derivatives (d)
Futures contracts	$	—	$	—		$	—	$	(177,032	)	$	(177,032	)
Forward foreign currency contracts		—		(10	)		—		—			(10	)
	$	—	$	(10	)	$	—	$	(177,032	)	$	(177,042	)
Change in unrealized appreciation (depreciation) on derivatives (e)
Futures contracts	$	—	$	—		$	—	$	(13,576	)	$	(13,576	)

Core Fixed Income Fund

Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2019:
Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Asset derivatives
Purchased options (c)	$	135,106	$	438,212	$	—	$	—	$	573,318
Unrealized appreciation on open futures contracts (b) .		2,133,888		—		—		—		2,133,888
Unrealized appreciation on forward foreign currency contracts (c) .		—		656,299		—		—		656,299
Unrealized appreciation on centrally cleared swaps (f) .		582,967		—		57,652		—		640,619
Unrealized appreciation on OTC swaps (c)		293,658		—		—		—		293,658
	$	3,145,619	$	1,094,511	$	57,652	$	—	$	4,297,782
Liability derivatives
Options contracts written outstanding (a)	$	269,484	$	—	$	—	$	—	$	269,484
Unrealized depreciation on open futures contracts (b) .		2,325,831		—		—		—		2,325,831
Unrealized depreciation on forward foreign currency contracts (a) .		—		1,106,968		—		—		1,106,968
Unrealized depreciation on centrally cleared swaps (f) .		5,977,970		—		69,209		—		6,047,179
Unrealized depreciation on OTC swaps (a)		30,102		—		—		—		30,102
	$	8,603,387	$	1,106,968	$	69,209	$	—	$	9,779,564

Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2019:
Location	Interest rate risk			Foreign exchange risk			Credit risk		Equity risk		Total
Realized gain/(loss) on derivatives (d)
Purchased options	$	(1,183,870	)	$	(180,861	)	$	—	$	—	$	(1,364,731	)
Futures contracts		6,697,636			—			—		—		6,697,636
Options contracts written		3,245,332			125,818			—		—		3,371,150
Swap contracts		(291,003	)		—			127,218		—		(163,785	)
Forward foreign currency contracts		—			221,171			—		—		221,171
	$	8,468,095		$	166,128		$	127,218	$	—	$	8,761,441
Change in unrealized appreciation (depreciation) on derivatives (e)
Purchased options	$	(123,969	)	$	264,230		$	—	$	—	$	140,261
Futures contracts		25,864			(18,602	)		—		—		7,262
Options contracts written		51,952			(45,166	)		—		—		6,786
Swap contracts		(5,109,384	)		—			12,527		—		(5,096,857	)
Forward foreign currency contracts		—			99,677			—		—		99,677
	$	(5,155,537	)	$	300,139		$	12,527	$	—	$	(4,842,871	)

332

Notes to Financial Statements

(continued)

International Fixed Income Fund

Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2019:
Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Asset derivatives
Purchased options (c)	$	62,174	$	90	$	—	$	—	$	62,264
Unrealized appreciation on open futures contracts (b)		309,664		—		—		—		309,664
Unrealized appreciation on forward foreign currency contracts (c)		—		2,433,866		—		—		2,433,866
Unrealized appreciation on centrally cleared swaps (f)		1,906,316		—		667,126		—		2,573,442
Unrealized appreciation on OTC swaps (c)		67,192		—		23,425		—		90,617
	$	2,345,346	$	2,433,956	$	690,551	$	—	$	5,469,853
Liability derivatives
Options contracts written outstanding (a)	$	137,611	$	26,632	$	2	$	—	$	164,245
Unrealized depreciation on open futures contracts (b)		8,187		—		—		—		8,187
Unrealized depreciation on forward foreign currency contracts (a)		—		1,332,320		—		—		1,332,320
Unrealized depreciation on centrally cleared swaps (f)		2,702,985		—		112,574		—		2,815,559
Unrealized depreciation on OTC swaps (a)		158,665		51,609		57,099		—		267,373
	$	3,007,448	$	1,410,561	$	169,675	$	—	$	4,587,684

Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2019:
Location	Interest rate risk			Foreign exchange risk			Credit risk			Equity risk		Total
Realized gain/(loss) on derivatives (d)
Purchased options	$	121,887		$	(31,290	)	$	—		$	—	$	90,597
Futures contracts		2,096,235			—			—			—		2,096,235
Options contracts written		27,127			139,590			24,330			—		191,047
Swap contracts		310,881			(734,935	)		(890,016	)		—		(1,314,070	)
Forward foreign currency contracts		—			5,573,876			—			—		5,573,876
	$	2,556,130		$	4,947,241		$	(865,686	)	$	—	$	6,637,685
Change in unrealized appreciation (depreciation) on derivatives (e)
Purchased options	$	(21,749	)	$	10,094		$	—		$	—	$	(11,655	)
Futures contracts		400,714			—			—			—		400,714
Options contracts written		(1,133	)		(12,778	)		(4,754	)		—		(18,665	)
Swap contracts		(2,355,708	)		(82,010	)		67,304			—		(2,370,414	)
Forward foreign currency contracts		—			594,718			—			—		594,718
	$	(1,977,876	)	$	510,024		$	62,550		$	—	$	(1,405,302	)

Municipal Bond Fund

Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2019:
Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Asset derivatives
Unrealized appreciation on open futures contracts (b)	$	19,596	$	—	$	—	$	—	$	19,596

333

Notes to Financial Statements

(continued)

Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2019:
Location	Interest rate risk			Foreign exchange risk		Credit risk		Equity risk		Total
Realized gain/(loss) on derivatives (d)
Futures contracts	$	(313,158	)	$	—	$	—	$	—	$	(313,158	)
Change in unrealized appreciation (depreciation) on derivatives (e)
Futures contracts	$	19,596		$	—	$	—	$	—	$	19,596

Inflation-Linked Fixed Income Fund

Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2019:
Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Asset derivatives
Purchased options (c)	$	23,165	$	—	$	—	$	—	$	23,165
Unrealized appreciation on open futures contracts (b)		18,915		—		—		—		18,915
Unrealized appreciation on forward foreign currency contracts (c)		—		809,252		—		—		809,252
Unrealized appreciation on centrally cleared swaps (f)		1,356,265		—		3,438		—		1,359,703
	$	1,398,345	$	809,252	$	3,438	$	—	$	2,211,035
Liability derivatives
Options contracts written outstanding (a)	$	82,299	$	—	$	578	$	—	$	82,877
Unrealized depreciation on open futures contracts (b)		258,188		—		—		—		258,188
Unrealized depreciation on forward foreign currency contracts (a)		—		295,939		—		—		295,939
Unrealized depreciation on centrally cleared swaps (f)		2,496,492		—		218		—		2,496,710
Unrealized depreciation on OTC swap contracts (a)		—		—		16,438		—		16,438
	$	2,836,979	$	295,939	$	17,234	$	—	$	3,150,152

Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2019:
Location	Interest rate risk			Foreign exchange risk			Credit risk			Equity risk		Total
Realized gain/(loss) on derivatives (d)
Purchased options	$	646,459		$	—		$	—		$	—	$	646,459
Futures contracts		(3,073,271	)		—			—			—		(3,073,271	)
Options contracts written		(181,312	)		11,178			10,918			—		(159,216	)
Swap contracts		(365,107	)		—			66,976			—		(298,131	)
Forward foreign currency contracts		—			2,018,212			—			—		2,018,212
	$	(2,973,231	)	$	2,029,390		$	77,894		$	—	$	(865,947	)
Change in unrealized appreciation (depreciation) on derivatives (e)
Purchased options	$	(1,933	)	$	—		$	—		$	—	$	(1,933	)
Futures contracts		(339,080	)		—			—			—		(339,080	)
Options contracts written		16,505			10,195			3,927			—		30,627
Swap contracts		(1,519,776	)		—			(94,696	)		—		(1,614,472	)
Forward foreign currency contracts		—			(500,676	)		—			—		(500,676	)
	$	(1,844,284	)	$	(490,481	)	$	(90,769	)	$	—	$	(2,425,534	)

334

Notes to Financial Statements

(continued)

Ultra-Short Term Fixed Income Fund

Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2019:
Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Asset derivatives
Unrealized appreciation on open futures contracts (b)	$	345,858	$	—	$	—	$	—	$	345,858
Unrealized appreciation on forward foreign currency contracts (c)		—		868,017		—		—		868,017
Unrealized appreciation on centrally cleared swaps (f)		24,585		—		—		—		24,585
	$	370,443	$	868,017	$	—	$	—	$	1,238,460
Liability derivatives
Unrealized depreciation on open futures contracts (b)	$	636,707	$	—	$	—	$	—	$	636,707
Unrealized depreciation on forward foreign currency contracts (a)		—		177,427		—		—		177,427
Unrealized depreciation on centrally cleared swaps (f)		7,642,592		—		143,660		—		7,786,252
	$	8,279,299	$	177,427	$	143,660	$	—	$	8,600,386

Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2019:
Location	Interest rate risk			Foreign exchange risk		Credit risk			Equity risk		Total
Realized gain/(loss) on derivatives (d)
Purchased options	$	(18,762	)	$	—	$	—		$	—	$	(18,762	)
Futures contracts		(1,927,636	)		—		—			—		(1,927,636	)
Swap contracts		(125,382	)		—		(191,116	)		—		(316,498	)
Forward foreign currency contracts		—			2,489,490		—			—		2,489,490
	$	(2,071,780	)	$	2,489,490	$	(191,116	)	$	—	$	226,594
Change in unrealized appreciation (depreciation) on derivatives (e)
Futures contracts	$	(473,694	)	$	—	$	—		$	—	$	(473,694	)
Swap contracts		(7,623,990	)		—		(110,694	)		—		(7,734,684	)
Forward foreign currency contracts		—			665,710		—			—		665,710
	$	(8,097,684	)	$	665,710	$	(110,694	)	$	—	$	(7,542,668	)

(a) Statements of Assets and Liabilities location: Unrealized depreciation on open forward foreign currency contracts, unrealized depreciation on OTC 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 exchanged-traded futures contracts table in the Fund’s Schedule of Investments.

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

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

(e) Statements of Operations location: Change in net unrealized appreciation (depreciation) from investments, forward foreign currency contracts, 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 in the Fund’s Schedule of Investments.

335

Notes to Financial Statements

(continued)

The average monthly notional amounts of futures contracts, swaps contracts and forward foreign currency contracts, and the monthly average market value of options contracts written and purchased options outstanding during the year ended August 31, 2019 were as follows:

Large Cap Equity Fund

	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk
Futures contracts	$	—	$	—	$	—	$	10,423,348

Small-Mid Cap Equity Fund

	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk
Futures contracts	$	—	$	—	$	—	$	2,607,408

International Equity Fund

	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk
Futures contracts	$	—	$	—	$	—	$	2,444,962
Forward foreign currency contracts		—		82,809		—		—

Emerging Markets Equity Fund

	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk
Futures contracts	$	—	$	—	$	—	$	2,214,751
Forward foreign currency contracts		—		529		—		—

Core Fixed Income Fund

	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk
Purchased options	$	196,997	$	158,894	$	—	$	—
Futures contracts		454,895,756		600,606		—		—
Option contracts written		288,088		11,100		—		—
Swap contracts		84,655,095		—		5,902,585		—
Forward foreign currency contracts		—		48,786,583		—		—

International Fixed Income Fund

	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk
Purchased options	$	8,692	$	15,387	$	—	$	—
Futures contracts		239,632,680		—		—		—
Option contracts written		30,948		43,703		2,502		—
Swap contracts		337,562,712		17,905,144		70,212,000		—
Forward foreign currency contracts		—		299,230,330		—		—

336

Notes to Financial Statements

(continued)

Municipal Bond Fund

	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk
Futures contracts	$	2,604,451	$	—	$	—	$	—

Inflation-Linked Fixed Income Fund

	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk
Purchased options	$	136,934	$	—	$	—	$	—
Futures contracts		137,046,304		—		—		—
Option contracts written		175,778		2,746		1,319		—
Swap contracts		114,299,906		—		2,582,524		—
Forward foreign currency contracts		—		61,445,558		—		—

Ultra-Short Term Fixed Income Fund

	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk
Purchased options	$	1,671	$	—	$	—	$	—
Futures contracts		771,449,153		—		—		—
Swap contracts		759,206,681		—		11,032,000		—
Forward foreign currency contracts		—		92,224,355		—		—

(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

337

Notes to Financial Statements

(continued)

Statements of Assets and Liabilities. Securities lending income represents the income earned on investing cash collateral plus any 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(x).

The following table presents securities on loan that are subject to enforceable netting arrangements as of August 31, 2019:

Gross Amounts Not Offset in the Statements of Assets and Liabilities

Fund	Gross Asset Amount Presented in the Statements of Assets and Liabilities (a)		Financial Instrument		Collateral Received (b)(c)			Net Amount (Not less than $0)
Large Cap Equity Fund	$	10,056,358	$	—	$	(10,056,358	)	$	0
Small-Mid Cap Equity Fund		9,655,513		—		(9,655,513	)		0
International Equity Fund		8,831,771		—		(8,831,771	)		0
Emerging Markets Equity Fund		8,152,889		—		(8,152,889	)		0
Core Fixed Income Fund		138,000		—		(138,000	)		0
High Yield Fund		123,065		—		(123,065	)		0

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

(b) The Funds received cash collateral of $10,273,681, $9,907,772, $9,378,863, $8,218,833, $143,175 and $125,726, 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 August 31, 2019:

	Remaining Contractual Maturity of the Agreements As of August 31, 2019
	Overnight and Continuous		< 30 days		Between 30 & 90 days		> 90 days		Total
Large Cap Equity Fund
Securities Lending Transactions
Common Stocks	$	10,273,681	$	—	$	—	$	—	$	10,273,681
Total Borrowings	$	10,273,681	$	—	$	—	$	—	$	10,273,681
Gross amount of recognized liabilities for securities lending transactions									$	10,273,681
Small-Mid Cap Equity Fund
Securities Lending Transactions
Common Stocks	$	9,907,772	$	—	$	—	$	—	$	9,907,772
Total Borrowings	$	9,907,772	$	—	$	—	$	—	$	9,907,772
Gross amount of recognized liabilities for securities lending transactions									$	9,907,772

338

Notes to Financial Statements

(continued)

	Remaining Contractual Maturity of the Agreements As of August 31, 2019
	Overnight and Continuous		< 30 days		Between 30 & 90 days		> 90 days		Total
International Equity Fund
Securities Lending Transactions
Common Stocks	$	9,378,863	$	—	$	—	$	—	$	9,378,863
Total Borrowings	$	9,378,863	$	—	$	—	$	—	$	9,378,863
Gross amount of recognized liabilities for securities lending transactions									$	9,378,863
Emerging Markets Equity Fund
Securities Lending Transactions
Common Stocks	$	8,218,833	$	—	$	—	$	—	$	8,218,833
Total Borrowings	$	8,218,833	$	—	$	—	$	—	$	8,218,833
Gross amount of recognized liabilities for securities lending transactions									$	8,218,833
Core Fixed Income Fund
Securities Lending Transactions
Corporate Security	$	—	$	—	$	—	$	143,175	$	143,175
Total Borrowings	$	—	$	—	$	—	$	143,175	$	143,175
Gross amount of recognized liabilities for securities lending transactions									$	143,175
High Yield Fund
Securities Lending Transactions
Corporate Securities	$	—	$	—	$	—	$	125,726	$	125,726
Total Borrowings	$	—	$	—	$	—	$	125,726	$	125,726
Gross amount of recognized liabilities for securities lending transactions									$	125,726
International Fixed Income Fund
Reverse Repurchase Agreements Transactions
Sovereign Bonds	$	—	$	—	$	6,661,267	$	—	$	6,661,267
U.S. Government Obligations		—		3,027,500		7,247,138		—		10,274,638
Sale-Buyback Transactions
Non-U.S. Government Obligations	$	—	$	773,255	$	—	$	—	$	773,255
Total Borrowings	$	—	$	3,800,755	$	13,908,405	$	—	$	17,709,160
Gross amount of recognized liabilities for reverse repurchase agreements transactions									$	16,935,905
Gross amount of recognized liabilities for sale-buyback transactions									$	773,255
Inflation-Linked Fixed Income Fund
Reverse Repurchase Agreements Transactions
U.S. Government Obligations	$	—	$	5,133,676	$	48,954,325	$	—	$	54,088,001
Sale-Buyback Transactions
U.S. Government Obligations	$	—	$	5,028,816	$	—	$	—	$	5,028,816
Total Borrowings	$	—	$	10,162,492	$	48,954,325	$	—	$	59,116,817
Gross amount of recognized liabilities for reverse repurchase agreements transactions									$	54,088,001
Gross amount of recognized liabilities for sale-buyback transactions									$	5,028,816
Ultra-Short Term Fixed Income Fund
Sale-Buyback Transactions
U.S. Government Obligations	$	—	$	23,544,802.00	$	—	$	—	$	23,544,802.00
Total Borrowings	$	—	$	23,544,802.00	$	—	$	—	$	23,544,802.00
Gross amount of recognized liabilities for sale-buyback transactions									$	23,544,802

339

Notes to Financial Statements

(continued)

(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.

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.

340

Notes to Financial Statements

(continued)

(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. Interest and dividend income payable by delivery of additional shares is reclassified as PIK (payment-in-kind) income upon receipt, if any, and is included in interest and dividend income, respectively. 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.

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) Distributions to Shareholders. Distributions from net investment income for Large Cap Equity Fund, Small-Mid Cap Equity Fund, International Equity Fund, Emerging Markets Equity Fund, International Fixed Income Fund and Alternative Strategies Fund, if any, are declared and paid on an annual basis. Distributions from net investment income for Core Fixed Income Fund, High Yield Fund, Municipal Bond Fund, Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund, if any, are declared and paid on a monthly basis.

The Funds intend to satisfy conditions that will enable interest from municipal securities, which are exempt from regular federal income tax and from designated state income taxes, to retain such tax-exempt status when distributed to the shareholders of the Funds. Distributions of net realized gains to shareholders of the Funds, if any, are taxable and are declared at least annually. Distributions to shareholders of the Funds are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.

341

Notes to Financial Statements

(continued)

(q) 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 2018 tax returns. Each Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

(r) 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.

Fund		Total distributable earnings (losses)			Paid-in-capital
Large Cap Equity Fund	(a)	$	(6,192,941	)	$	6,192,941
Small-Mid Cap Equity Fund	(a)		(9,201,790	)		9,201,790
International Equity Fund			—			—
Emerging Markets Fund			—			—
Core Fixed Income Fund	(a)		(544,650	)		544,650
High Yield Fund			—			—
International Fixed Income Fund			—			—
Municipal Bond Fund	(a)		(165,924	)		165,924
Inflation-Linked Fixed Income Fund			—			—
Ultra-Short Term Fixed Income Fund			—			—
Alternative Strategies Fund	(a)		(2,348	)		2,348

(a) Reclassifications are primarily due to use of tax equalization.

(s) 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).

(t) 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.

(u) 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.

(v) Offering costs. Offering costs are incurred in connection with launching of new funds. These offering costs are accounted for as deferred charges and are being amortized to expense over 12 months on a straight line basis.

(w) Senior Floating-Rate Loans. Interests in senior floating-rate loans (“Senior Loans”) for which reliable market quotations are readily available are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service. Other Senior Loans are valued at fair value by the investment adviser under procedures approved by the Trustees. In fair valuing a Senior Loan, the investment adviser utilizes one or more of the valuation techniques described in (i) through (iii) below to assess the likelihood that the borrower will make a full repayment of the loan underlying such Senior Loan relative to yields on other Senior Loans issued by companies of comparable credit quality. If the investment adviser believes that there is a reasonable likelihood of full

342

Notes to Financial Statements

(continued)

repayment, the investment adviser will determine fair value using a matrix pricing approach that considers the yield on the Senior Loan. If the investment adviser believes there is not a reasonable likelihood of full repayment, the investment adviser will determine fair value using analyses that include, but are not limited to: (i) a comparison of the value of the borrower’s outstanding equity and debt to that of comparable public companies; (ii) a discounted cash flow analysis; or (iii) when the investment adviser believes it is likely that a borrower will be liquidated or sold, an analysis of the terms of such liquidation or sale. In certain cases, the investment adviser will use a combination of analytical methods to determine fair value, such as when only a portion of a borrower’s assets are likely to be sold. In conducting its assessment and analyses for purposes of determining fair value of a Senior Loan, the investment adviser will use its discretion and judgment in considering and appraising relevant factors. Fair value determinations are made by the portfolio managers of the Fund based on information available to such managers. The portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may not possess the same information about a Senior Loan borrower as the portfolio managers of the Fund. At times, the fair value of a Senior Loan determined by the portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may vary from the fair value of the same Senior Loan determined by the portfolio managers of the Fund. The fair value of each Senior Loan is periodically reviewed and approved by the investment adviser’s Valuation Committee and by the Trustees based upon procedures approved by the Trustees. Junior Loans (i.e., subordinated loans and second lien loans) are valued in the same manner as Senior Loans.

In connection with bank loan interests, the Fund may enter into unfunded bank loan interests (“commitments”). Unfunded loan commitments may be partially or wholly unfunded. The Fund is obligated to fund those commitments at borrower’s discretion. In connection with these commitments, the Fund earns a commitment fee, which is included in interest income in the Statement of Operations and recognized respectively over the commitment period.

The following table summarizes the Core Fixed Income Fund’s partially unfunded loan position as of August 31, 2019.

	Principal		Unfunded Bank Loan Interest (Cost)		Value of Underlying Bank Loan Interest (Value)		Unrealized Appreciation
Allied Universal Holdco LLC . . . . .. . . . .	$	2,702	$	2,702	$	2,704	$	2

(x) When-Issued and Delayed Delivery Securities. Certain Fund may purchase securities, including U.S. government securities, on a when-issued basis or may purchase or sell securities for delayed delivery. In such transactions, delivery of the securities occurs beyond the normal settlement period, but no payment or delivery is made by a Fund prior to the actual delivery or payment by the other party to the transaction. The purchase of securities on a when-issued or delayed delivery basis involves the risk that the value of the securities purchased will decline prior to the settlement date. The sale of securities for delayed delivery involves the risk that the prices available in the market on the delivery date may be greater than those obtained in the sale transaction. When-issued and delayed delivery transactions will be fully collateralized by segregated liquid assets.

(y) Sale-Buyback Transactions. A sale-buyback financing transaction consists of a sale of a security by a Fund to a counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed-upon price and date. The Fund will segregate assets determined to be liquid by the Sub-adviser or will otherwise cover its obligations under sale-buyback transactions.

As of August 31, 2019, the International Fixed Income Fund, Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund participated in sale-buyback transactions. The payable for investments purchased related to sale-buyback transactions at the year end, an average amount of borrowings, incurred interest expense and a weighted average interest rate related to sale-buyback transactions outstanding during the year ended August 31, 2019, were as following:

	International Fixed Income Fund			Inflation-Linked Fixed Income Fund			Ultra-Short Term Fixed Income Fund
Payable for investments purchased	$	773,255		$	5,028,816		$	23,544,802
Average amount of borrowings		588,353			3,007,960			20,757,382
Interest expense		12,917			103,088			527,460
Weighted average interest rate		3.80	%		2.54	%		2.43	%

343

Notes to Financial Statements

(continued)

(z) 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 counterparties and, in the case of cash pledged by 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 August 31, 2019 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 August 31, 2019 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 August 31, 2019.

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 August 31, 2019:

	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	$	656,299		$	1,106,968
Options contracts		438,212	(b)		—
Swap contracts		293,658			30,102
Total Derivative Instruments, subject to master netting arrangement or similar arrangement	$	1,388,169		$	1,137,070

344

Notes to Financial Statements

(continued)

	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
International Fixed Income Fund:
Forward foreign currency contracts	$	2,433,866		$	1,332,320
Options contracts		51,321	(b)		76,577
Swap contracts		90,617			267,373
Total Derivative Instruments, subject to master netting arrangement or similar arrangement	$	2,575,804		$	1,676,270
Inflation-Linked Fixed Income Fund:
Forward foreign currency contracts	$	809,252		$	295,939
Options contracts		—			2,756
Swap contracts		—			16,438
Total Derivative Instruments, subject to master netting arrangement or similar arrangement	$	809,252		$	315,133
Ultra-Short Term Fixed Income Fund:
Forward foreign currency contracts	$	868,017		$	177,427
Total Derivative Instruments, subject to master netting arrangement or similar arrangement	$	868,017		$	177,427

(a) Excludes exchange-traded derivatives.

(b) Amounts are included in Unaffiliated Investments in the Statements of Assets and Liabilities.

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 August 31, 2019:

Counterparty	Gross Amounts of Recognized Assets Presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (a)			Collateral Received		Net Amount (b)
Core Fixed Income Fund
Over-the-counter
Citigroup Global Markets Inc.	$	1,388,169	$	(1,137,070	)	$	—	$	251,099
Total Over-the-counter derivative instruments	$	1,388,169	$	(1,137,070	)	$	—	$	251,099
Counterparty	Gross Amounts of Recognized Liabilities Presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (c)			Collateral Pledged		Net Amount (d)
Core Fixed Income Fund
Over-the-counter
Citigroup Global Markets Inc.	$	1,137,070	$	(1,137,070	)	$	—	$	0
Total Over-the-counter derivative instruments	$	1,137,070	$	(1,137,070	)	$	—	$	0

345

Notes to Financial Statements

(continued)

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	$	587,155	$	(58,969	)	$	(270,000	)	$	258,186
Barclays Bank PLC		55,416		(55,416	)		—			0
BNP Paribas SA		434,421		(219,845	)		—			214,576
Deutsche Bank AG		32,440		(32,440	)		—			0
Goldman Sachs & Co.		325,205		(325,205	)		—			0
HSBC Bank USA		546,251		(546,251	)		—			0
JPMorgan Chase & Co.		187,470		(89,607	)		—			97,863
Royal Bank of Scotland PLC		5,730		(5,730	)		—			0
Societe Generale SA		37,292		(37,292	)		—			0
Standard Chartered Bank		141,976		(52,881	)		(10,000	)		79,095
UBS Securities LLC		222,448		(100,344	)		(60,000	)		62,104
Total Over-the-counter derivative instruments	$	2,575,804	$	(1,523,980	)	$	(340,000	)	$	711,824
Counterparty	Gross Amounts of Recognized Liabilities Presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (c)			Collateral Pledged			Net Amount (d)
International Fixed Income Fund
Over-the-counter
Bank of America	$	58,969	$	(58,969	)	$	—		$	0
Barclays Bank PLC		99,003		(55,416	)		—			43,587
BNP Paribas SA		219,845		(219,845	)		—			0
Deutsche Bank AG		37,595		(32,440	)		—			5,155
Goldman Sachs & Co.		384,132		(325,205	)		—			58,927
HSBC Bank USA		579,520		(546,251	)		—			33,269
JPMorgan Chase & Co.		89,607		(89,607	)		—			0
Royal Bank of Scotland PLC		13,277		(5,730	)		—			7,547
Societe Generale SA		41,097		(37,292	)		—			3,805
Standard Chartered Bank		52,881		(52,881	)		—			0
UBS Securities LLC		100,344		(100,344	)		—			0
Total Over-the-counter derivative instruments	$	1,676,270	$	(1,523,980	)	$	—		$	152,290

346

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(continued)

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)
Inflation-Linked Fixed Income Fund
Over-the-counter
Barclays Bank PLC	$	10,337	$	(7,211	)	$	—		$	3,126
BNP Paribas SA		263,596		(51,258	)		(110,000	)		102,338
Deutsche Bank AG		2,822		(2,822	)		—			0
HSBC Bank USA		182,216		(60,898	)		(80,000	)		41,318
JPMorgan Chase & Co.		196,758		(36,396	)		(140,000	)		20,362
Merrill Lynch, Pierce, Fenner & Smith Inc.		85,283		(85,283	)		—			0
Standard Chartered Bank		68,240		(42,592	)		—			25,648
Total Over-the-counter derivative instruments	$	809,252	$	(286,460	)	$	(330,000	)	$	192,792
Counterparty	Gross Amounts of Recognized Liabilities Presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (c)			Collateral Pledged			Net Amount (d)
Inflation-Linked Fixed Income Fund
Over-the-counter
Barclays Bank PLC	$	7,211	$	(7,211	)	$	—		$	0
BNP Paribas SA		51,258		(51,258	)		—			0
Deutsche Bank AG		5,111		(2,822	)		—			2,289
HSBC Bank USA		60,898		(60,898	)		—			0
JPMorgan Chase & Co.		36,396		(36,396	)		—			0
Merrill Lynch, Pierce, Fenner & Smith Inc.		111,667		(85,283	)		—			26,384
Standard Chartered Bank		42,592		(42,592	)		—			0
Total Over-the-counter derivative instruments	$	315,133	$	(286,460	)	$	—		$	28,673
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)
Ultra-Short Term Fixed Income Fund
Over-the-counter
BNP Paribas SA	$	553,581	$	(21,750	)	$	(270,000	)	$	261,831
HSBC Bank USA		192,956		(610	)		(120,000	)		72,346
JPMorgan Chase & Co.		37,311		(842	)		—			36,469
Merrill Lynch, Pierce, Fenner & Smith Inc.		56,067		(56,067	)		—			0
Standard Chartered Bank		28,102		—			—			28,102
Total Over-the-counter derivative instruments	$	868,017	$	(79,269	)	$	(390,000	)	$	398,748

347

Notes to Financial Statements

(continued)

Counterparty	Gross Amounts of Recognized Liabilities Presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (c)			Collateral Pledged		Net Amount (d)
Ultra-Short Term Fixed Income Fund
Over-the-counter
Barclays Bank PLC	$	39,959	$	—		$	—	$	39,959
BNP Paribas SA		21,750		(21,750	)		—		0
HSBC Bank USA		610		(610	)		—		0
JPMorgan Chase & Co.		842		(842	)		—		0
Merrill Lynch, Pierce, Fenner & Smith Inc.		114,266		(56,067	)		—		58,199
Total Over-the-counter derivative instruments	$	177,427	$	(79,269	)	$	—	$	98,158

(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 Wealth Management, 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, 2019, CGAS has contractually agreed to waive fees and reimburse expenses for a period of one year in order to keep the Funds’ management fees from exceeding the total amount of sub-advisory fees paid by CGAS plus 0.20% based on average net assets. This contractual waiver will only apply if the Funds’ total management fees exceed the total amount of sub-advisory fees paid by CGAS plus 0.20%, and will not affect the Funds’ total management fees if they are less than such amount. This fee waiver and reimbursement agreement shall remain in effect until January 1, 2020. The agreement may be amended or terminated only with the consent of the Board of Trustees.

In addition, for Alternative Strategies Fund, CGAS and its affiliates have also separately agreed to waive fees and reimburse expenses in order to keep the Fund’s total annual operating expenses (exclusive of interest from borrowing, brokerage commissions, taxes, acquired fund fees and expenses, and other extraordinary expenses not incurred in the ordinary course of the Fund’s business) from exceeding 1.95%. Effective January 1, 2019, CGAS and its affiliates have agreed to waive fees and reimburse expenses in order to keep the Fund’s total operating expenses from exceeding 0.70%. The contractual waiver arrangement shall remain in effect until January 1, 2020 and may be amended or terminated only with consent of the Board of Trustees.

The maximum allowable investment management fees 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 year ended August 31, 2019 are indicated below:

Fund	Sub-advisory Fee			Consulting Group Advisory Services LLC Fee			Maximum Allowable Annual Management Fees
Large Cap Equity Fund		0.19	%		0.20	%		0.60	%
Small-Mid Cap Equity Fund		0.28	%		0.20	%		0.80	%
International Equity Fund		0.33	%		0.20	%		0.70	%
Emerging Markets Equity Fund		0.39	%		0.20	%		0.90	%

348

Notes to Financial Statements

(continued)

Fund	Sub-advisory Fee			Consulting Group Advisory Services LLC Fee			Maximum Allowable Annual Management Fees
Core Fixed Income Fund		0.18	%		0.20	%		0.40	%
High Yield Fund		0.30	%		0.20	%		0.70	%
International Fixed Income Fund		0.25	%		0.20	%		0.50	%
Municipal Bond Fund		0.20	%		0.20	%		0.40	%
Inflation-Linked Fixed Income Fund		0.25	%		0.20	%		0.50	%
Ultra-Short Term Fixed Income Fund		0.25	%		0.20	%		0.50	%
Alternative Strategies Fund		N/A			0.20	%		1.20	%

The Manager has agreed to waive and/or reimburse a portion of its fee. For the year ended August 31, 2019, the amounts waived and/or reimbursed by the Manager were as follows:

Fund	Amounts Waived and/or Reimbursed
Large Cap Equity Fund	$	3,366,743
Small-Mid Cap Equity Fund		1,433,552
International Equity Fund		2,486,433
Emerging Markets Equity Fund		1,540,399
Core Fixed Income Fund		182,721
High Yield Fund		108,094
International Fixed Income Fund		72,891
Municipal Bond Fund		—
Inflation-Linked Fixed Income Fund		116,355
Ultra-Short Term Fixed Income Fund		260,525
Alternative Strategies Fund		227,270

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 year ended August 31, 2019, Morgan Stanley & Co. Incorporated (“MS&Co.”), and its affiliates, including Morgan Stanley Smith Barney LLC, the Trust’s distributor, received brokerage commissions of:

Fund Name	Commission Dollars to MS&Co.
Large Cap Equity Fund	$	2,725
Small-Mid Cap Equity Fund		264
International Equity Fund		7,149
Emerging Markets Equity Fund		1,867
Core Fixed Income Fund		—
High Yield Fund		—
International Fixed Income Fund		—
Municipal Bond Fund		—
Inflation-Linked Fixed Income Fund		—
Ultra-Short Term Fixed Income Fund		—
Alternative Strategies Fund		—

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.

For the year ended August 31, 2019, the Funds assume the following to be affiliated issuers:

Large Cap Equity Fund

Underlying Security	Beginning Value as of August 31, 2018		Purchases at Cost		Proceeds from Sales			Net Realized Gain on Sales		Change in Unrealized (Depreciation)			Dividend/ Interest Income		Ending Value as of August 31, 2019
Morgan Stanley	$	1,898,462	$	—	$	(146,077	)	$	64,927	$	(343,587	)	$	45,758	$	1,473,725

349

Notes to Financial Statements

(continued)

Core Fixed Income Fund

Underlying Security	Beginning Value as of August 31, 2018		Purchases at Cost		Proceeds from Sales			Net Realized Gain on Sales		Change in Unrealized Appreciation		Accretion of discount		Dividend/ Interest Income		Ending Value as of August 31, 2019
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2013-C10, Class A4, 4.082% due 7/15/46	$	31,020	$	—	$	(31,397	)	$	265	$	112	$	—	$	691	$	—
Series 2013-C13, Class A4, 4.039% due 11/15/46		515,213		—		—			—		24,288		—		20,195		539,501
Series 2015-C27, Class A4, 3.753% due 12/15/47		546,831		—		(561,263	)		12,804		1,628		—		13,229		—
Series 2016-C30, Class C, 4.127% due 9/15/49		253,948		—		(259,330	)		2,545		2,778		59		6,261		—
Morgan Stanley Resecuritization Trust, Series 2014-R3, Class 2A, 3.000% due 7/26/48		—		1,922,885		—			—		5,738		—		3,683		1,928,623

Ultra-Short Term Fixed Income Fund

Underlying Security	Beginning Value as of August 31, 2018		Purchases at Cost		Proceeds from Sales			Net Realized Gain on Sales		Change in Unrealized Appreciation		Dividend/ Interest Income		Ending Value as of August 31, 2019
Morgan Stanley ABS Capital I Inc. Trust, Series 2004-HE4, Class M1, 3.045% due 5/25/34	$	—	$	697,718	$	(35,630	)	$	198	$	8,293	$	12,188	$	670,579

3. Investments

During the year ended August 31, 2019, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) for each Fund were as follows:

	Other Investments				U.S. Government Securities
Fund	Purchases		Sales		Purchases		Sales
Large Cap Equity Fund	$	208,458,162	$	369,117,973	$	—	$	—
Small-Mid Cap Equity Fund		283,109,396		341,152,144		—		—
International Equity Fund		401,264,484		620,376,801		—		—
Emerging Markets Fund		121,089,672		104,247,788		—		—
Core Fixed Income Fund		261,570,079		194,939,401		1,991,306,130		1,791,186,787
High Yield Fund		21,267,555		30,998,327		801,943		802,560
International Fixed Income Fund		64,570,374		53,642,938		394,478,198		377,517,374
Municipal Bond Fund		47,280,943		28,912,923		—		—
Inflation-Linked Fixed Income Fund		45,480,185		25,701,885		400,287,211		395,858,389
Ultra-Short Term Fixed Income Fund		219,527,875		196,340,407		305,242,837		310,479,279
Alternative Strategies Fund		22,972,984		2,370,119		—		—

The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation at August 31, 2019 have been disclosed under respective schedules of investments.

350

Notes to Financial Statements

(continued)

4. Shares of Beneficial Interest

At August 31, 2019, the Trust had an unlimited number of units of beneficial interest (shares) authorized with a par value of $0.001 per share. At August 31, 2019, 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:

	Year Ended August 31, 2019			Year Ended August 31, 2018
Large Cap Equity Fund
Shares sold		9,989,805			11,076,982
Shares issued on reinvestment		10,384,649			4,143,088
Shares repurchased		(20,518,629	)		(23,631,636	)
Net Decrease		(144,175	)		(8,411,566	)
Small-Mid Cap Equity Fund
Shares sold		5,496,318			4,940,362
Shares issued on reinvestment		3,606,769			1,203,655
Shares repurchased		(8,946,045	)		(18,092,183	)
Net Increase (Decrease)		157,042			(11,948,166	)
International Equity Fund
Shares sold		20,548,551			44,922,283
Shares issued on reinvestment		2,852,945			1,716,459
Shares repurchased		(42,827,638	)		(14,884,624	)
Net Increase (Decrease)		(19,426,142	)		31,754,118
Emerging Markets Equity Fund
Shares sold		7,176,650			8,424,930
Shares issued on reinvestment		580,462			423,141
Shares repurchased		(7,394,458	)		(5,837,311	)
Net Increase		362,654			3,010,760
Core Fixed Income Fund
Shares sold		55,563,245			37,804,916
Shares issued on reinvestment		3,630,216			2,763,385
Shares repurchased		(26,605,169	)		(16,979,802	)
Net Increase		32,588,292			23,588,499
High Yield Fund
Shares sold		3,010,925			6,782,714
Shares issued on reinvestment		782,196			1,489,503
Shares repurchased		(6,313,761	)		(37,539,894	)
Net Decrease		(2,520,640	)		(29,267,677	)
International Fixed Income Fund
Shares sold		2,603,108			3,348,481
Shares issued on reinvestment		641,810			226,162
Shares repurchased		(4,041,970	)		(4,172,975	)
Net Decrease		(797,052	)		(598,332	)

351

Notes to Financial Statements

(continued)

	Year Ended August 31, 2019			Year Ended August 31, 2018
Municipal Bond Fund
Shares sold		3,789,118			1,560,276
Shares issued on reinvestment		205,371			172,186
Shares repurchased		(2,070,229	)		(929,360	)
Net Increase		1,924,260			803,102
Inflation-Linked Fixed Income Fund
Shares sold		3,029,725			9,202,089
Shares issued on reinvestment		521,525			781,432
Shares repurchased		(6,801,137	)		(4,379,797	)
Net Increase (Decrease)		(3,249,887	)		5,603,724
Ultra-Short Term Fixed Income Fund
Shares sold		10,613,811			27,474,090
Shares issued on reinvestment		1,357,789			846,293
Shares repurchased		(12,615,669	)		(5,073,901	)
Net Increase (Decrease)		(644,069	)		23,246,482
Alternative Strategies Fund
Shares sold		2,715,976			593,287	*
Shares issued on reinvestment		10,258			—
Shares repurchased		(647,049	)		(13,313	)*
Net Increase		2,079,185			579,974

* The values shown represent the period from Fund Inception (February 15, 2018) through the period ended August 31, 2018.

5. Dividend and Tax Components of Capital

The tax character of distributors paid during the fiscal year ended August 31, 2019, were as follows:

	Large Cap Equity Fund		Small-Mid Cap Equity Fund		International Equity Fund		Emerging Markets Equity Fund
Distributions paid from:
Tax Exempt	$	—	$	—	$	—	$	—
Tax Return of Capital		—		—		—		—
Ordinary Income		49,221,433		28,001,919		31,325,356		7,592,456
Net Long-Term Capital Gains		128,983,954		33,097,024		—		—
Total Distributions Paid	$	178,205,387	$	61,098,943	$	31,325,356	$	7,592,456
	Core Fixed Income Fund		High Yield Fund		International Fixed Income Fund		Municipal Bond Fund
Distributions paid from:
Tax Exempt	$	—	$	—	$	—	$	1,700,246
Tax Return of Capital		—		—		—		—
Ordinary Income		29,106,437		2,874,860		4,871,339		22,526
Net Long-Term Capital Gains		—		—		—		178,953
Total Distributions Paid	$	29,106,437	$	2,874,860	$	4,871,339	$	1,901,725

352

Notes to Financial Statements

(continued)

	Inflation-Linked Fixed Income Fund		Ultra-Short Term Fixed Income Fund		Alternative Strategies Fund
Distributions paid from:
Tax Exempt	$	—	$	—	$	—
Tax Return of Capital		—		—		—
Ordinary Income		5,096,357		13,471,881		75,081
Net Long-Term Capital Gains		—		—		20,423
Total Distributions Paid	$	5,096,357	$	13,471,881	$	95,504

As of August 31, 2019, the components of accumulated earnings on a tax basis were as follows:

	Large Cap Equity Fund			Small-Mid Cap Equity Fund			International Equity Fund			Emerging Markets Equity Fund
Undistributed ordinary income - net	$	6,385,905		$	2,906,517		$	36,437,578		$	8,130,901
Undistributed long-term capital gains - net		61,112,484			46,195,645			—			—
Undistributed tax exempt Income - net		—			—			—			—
Total undistributed earnings		67,498,389			49,102,162			36,437,578			8,130,901
Capital loss carryforward		—			—			(41,277,627	)		(44,269,497	)
Other book/tax temporary differences		(10,695,569	)(a)		(4,507,657	)(a)		(26,735,309	)(a)		(10,353,138	)(a)
Unrealized appreciation (depreciation)		497,359,745			53,617,688			51,999,687			64,733,218
Total accumulated earnings/(losses) - net	$	554,162,565		$	98,212,193		$	20,424,329		$	18,241,484
	Core Fixed Income Fund			High Yield Fund			International Fixed Income Fund			Municipal Bond Fund
Undistributed ordinary income - net	$	3,095,090		$	1,166,685		$	6,470,637		$	30,312
Undistributed long-term capital gains - net		—			—			—			391,590
Undistributed tax exempt Income - net		—			—			—			420,989
Total undistributed earnings		3,095,090			1,166,685			6,470,637			842,891
Capital loss carryforward		—			(25,938,682	)		—			—
Other book/tax temporary differences		(3,070,921	)(a)		(467,221	)(a)		(5,628,937	)(a)		(19,606	)(a)
Unrealized appreciation (depreciation)		41,909,217			(1,129,131	)		9,329,476			5,448,056
Total accumulated earnings/(losses) - net	$	41,933,386		$	(26,368,349	)	$	10,171,176		$	6,271,341
				Inflation-Linked Fixed Income Fund			Ultra-Short Term Fixed Income Fund			Alternative Strategies Fund
Undistributed ordinary income - net				$	1,870,093		$	4,964,469		$	—
Undistributed long-term capital gains - net					—			—			45,604
Undistributed tax exempt Income - net					—			—			—
Total undistributed earnings					1,870,093			4,964,469			45,604
Capital loss carryforward					(4,959,491	)		(4,906,741	)		—
Other book/tax temporary differences					(2,562,431	)(a)		(1,047,430	)(a)		(118,976	)(a)
Unrealized appreciation (depreciation)					9,849,918			(3,827,984	)		875,908
Total accumulated earnings/(losses) - net				$	4,198,089		$	(4,817,686	)	$	802,536

(a) The differences between book-basis and tax-basis unrealized appreciation (depreciation) is attributable to the tax deferral of losses on wash sales, tax cost adjustments related to partnerships, forwards, futures, options, swaps, ROC dividends received, real estate investments, interest accrual on defaulted bonds, the difference between book and tax amortization methods for premiums on fixed income securities, and the realization for tax purposes of unrealized gains on investments in passive foreign investment companies.

353

Notes to Financial Statements

(continued)

6. 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, 2019, the Funds had the following net capital loss carryforwards remaining:

	Large Cap Equity Fund		Small-Mid Cap Equity Fund		International Equity Fund		Emerging Markets Equity Fund		Core Fixed Income Fund		High Yield Fund
Short-Term	$	—	$	—	$	16,213,927	$	39,477,375	$	—	$	4,341,997
Long-Term		—		—		25,063,700		4,792,122		—		21,596,685
	$	—	$	—	$	41,277,627	$	44,269,497	$	—	$	25,938,682
			International Fixed Income Fund		Municipal Bond Fund		Inflation-Linked Fixed Income Fund		Ultra-Short Term Fixed Income Fund		Alternative Strategies Fund
Short-Term			$	—	$	—	$	819,075	$	1,961,427	$	—
Long-Term				—		—		4,140,416		2,945,314		—
			$	—	$	—	$	4,959,491	$	4,906,741	$	—

7. Recent Accounting Pronouncements

In March 2017, the FASB issued ASU 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. ASU 2017-08 does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. ASU 2017-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018.

Management is currently evaluating the application of ASU 2017-08 and its impact, if any, on the financial statements.

Update and Simplification, which in part amends certain financial statement disclosure requirements of Regulation S-X that have become redundant, duplicative, overlapping, outdated, or superseded, in light of other Commission disclosure requirements, GAAP, or changes in the information environment. The amendments are intended to facilitate the disclosure of information to investors and simplify compliance without significantly altering the total mix of information provided to investors. The amendments to Rule 6-04.17 of Regulation S-X (balance sheet) were amended to require presentation of the total, distributable earnings on the balance sheet rather than the components of net assets. Consistent with GAAP, funds will be required to disclose total distributable earnings. The amendments to Rule 6-09 of Regulation S-X (statement of changes in net assets) omit the requirement to separately state the sources of distributions paid as well as omit the requirement to parenthetically state the book basis amount of undistributed net investment income. Instead, consistent with GAAP, funds will be required to disclose the total amount of distributions paid, except that any tax return of capital must be separately disclosed.

The requirements of the Final Rule Release became effective November 5, 2018. In accordance with new reporting requirements pursuant to Regulation S-X of the Securities and Exchange Commission, presentation of certain amounts on the Statements of Changes in Net Assets, for the year ended August 31, 2018 have been conformed to meet the new disclosure requirements. The summary of the previously disclosed distribution amounts, as reported at August 31, 2018, has been presented below the Statements of Changes in Net Assets.

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 August 31, 2019, the Funds made the following distributions:

Record Date Payable Date	Core Fixed Income Fund		High Yield Fund		Municipal Bond Fund		Inflation-Linked Fixed Income Fund		Ultra-Short Term Fixed Income Fund
9/1/19-9/30/19	$	0.018409	$	0.015532	$	0.018122	$	0.017321	$	0.019811

354

Report of Independent Registered Public
Accounting Firm

To the Board of Trustees and Shareholders of

Morgan Stanley Pathway Funds:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of assets and liabilities of the Morgan Stanley Pathway Funds comprising the 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, Inflation-Linked Fixed Income Fund, Ultra-Short Term Fixed Income Fund, and Alternative Strategies Fund (the “Funds”), including the schedules of investments, as of August 31, 2019, the related statements of operations, cash flows, changes in net assets, and the financial highlights for the periods indicated in the table below, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the funds listed above constituting the Morgan Stanley Pathway Funds as of August 31, 2019, and the results of their operations and their cash flows as applicable for the period listed in the table below, the changes in their net assets for the periods listed in the table below, and the financial highlights for the periods listed in the table below, in conformity with accounting principles generally accepted in the United States of America.

Individual Fund Comprising the Morgan Stanley Pathway Funds	Statements of Operations and Cash Flows*	Statements of Changes in Net Assets	Financial Highlights
Large Cap Equity Fund	For the year-ended August 31, 2019	For the years ended August 31, 2019 and 2018	For the years ended August 31, 2019, 2018, 2017, 2016, and 2015
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
Inflation-Linked Fixed Income Fund	For the year-ended August 31, 2019	For the years ended August 31, 2019 and 2018	For the years ended August 31, 2019, 2018, 2017 and the period of March 8, 2016 (fund inception) through August 31, 2016
Ultra-Short Term Fixed Income Fund
Alternative Strategies Fund	For year ended August 31, 2019	For year ended August 31, 2019 and the period of February 15, 2018 (fund inception) through August 31, 2018.

* Statement of Cash Flows presented for the International Fixed Income Fund and Inflation-Linked Fixed Income Fund.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

355

Report of Independent Registered Public
Accounting Firm

(continued)

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2019, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

October 30, 2019

We have served as the auditor of one or more Morgan Stanley Pathway Funds investment companies since 2009.

356

Board Approval of Management Agreement and Investment Advisory Agreements

(unaudited)

Approval of Management Agreement and Sub-advisory Agreements

The Morgan Stanley Pathway Funds (the “Trust,” and each series thereof a “Fund,” and collectively, the “Funds”) and Consulting Group Advisory Services LLC (the “Manager”), a business of Morgan Stanley LLC, have entered into an investment management agreement (the “Management Agreement”). Pursuant to the Management Agreement, other than with respect to the Alternative Strategies Fund, 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 for a two year term, as well as annually thereafter, by the Trust’s Board of Trustees (the “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 (the “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.

At an in-person meeting held on May 13-14, 2019, the Board, including a majority of the Independent Trustees, approved the continuance of the Agreements for an annual period. Both in connection with the meeting specifically held to address the continuance of the Agreements and at other meetings during the course of the year, the Independent Trustees requested and received information from the Manager and the Sub-advisers that they deemed reasonably necessary for their review of the Agreements and the performance of the Manager and Sub-advisers under the Agreements. The Independent Trustees were assisted in their review by Fund counsel and independent legal counsel (the “Independent Counsel”) and met with Independent Counsel in executive sessions separate from representatives of the Manager and the Sub-advisers. The Independent Trustees also were assisted in their review by an independent analysis of investment company contract review processes. In addition to the Management Agreement and the investment advisory agreement between the Trust, on behalf of the Alternative Strategies Fund, and the Manager (the “IM Agreement”), pursuant to which the Manager serves as the investment adviser for the Alternative Strategies Fund, the Board approved at the meeting the Sub-advisory Agreements with the following Sub-advisers on behalf of the indicated Fund to continue for another year:

Sub-adviser Name	Fund(s)
BlackRock Financial Management, Inc.	¨Core Fixed Income Fund ¨Large Cap Equity Fund ¨Small-Mid Cap Equity Fund ¨International Equity Fund ¨Emerging Markets Equity Fund ¨Municipal Bond Fund
Causeway Capital Management LLC	¨International Equity Fund
ClearBridge Investments, LLC	¨Large Cap Equity Fund
Columbia Management Investment Advisers, LLC	¨Large Cap Equity Fund
Eaton Vance Management	¨High Yield Fund
Invesco Advisers, Inc.	¨International Equity Fund
Lazard Asset Management LLC	¨Large Cap Equity Fund ¨Emerging Markets Equity Fund
Lyrical Asset Management LP	¨Large Cap Equity Fund
Macquarie Investment Management	¨Large Cap Equity Fund
Metropolitan West Asset Management LLC	¨Core Fixed Income Fund
Neuberger Berman Investment Advisers LLC	¨Small-Mid Cap Equity Fund

357

Board Approval of Management Agreement and Investment Advisory Agreements

(unaudited) (continued)

Sub-adviser Name	Fund(s)
OppenheimerFunds, Inc.	¨International Equity Fund
Pacific Investment Management Company LLC	¨International Fixed Income Fund ¨Inflation-Linked Fixed Income Fund ¨Ultra-Short Term Fixed Income Fund
Schroder Investment Management North America Inc.	¨International Equity Fund
Van Eck Associates Corporation	¨Emerging Markets Equity Fund
Victory Capital Management, Inc.	¨International Equity Fund
Wellington Management Company LLC	¨International Equity Fund
Western Asset Management Company	¨Core Fixed Income Fund ¨High Yield Fund
Westfield Capital Management Company, L.P.	¨Small-Mid Cap Equity Fund

At meetings held prior to May 13-14, 2019, the Board, including a majority of the Independent Trustees, approved for an initial two-year period, which has not expired, the Sub-advisory Agreements with the following Sub-advisers on behalf of the indicated Fund:

Sub-adviser Name	Fund
Aristotle Capital Boston, LLC	¨Small-Mid Cap Equity Fund
DF Dent and Company, Inc.	¨Small-Mid Cap Equity Fund
Nuance Investments, LLC	¨Small-Mid Cap Equity Fund

In voting to approve the Agreements at the May 13-14, 2019 meeting, the Independent Trustees considered whether the approval of the Agreements would be in the best interests of the respective Fund and its shareholders, an evaluation based on several factors including those discussed below.

Nature, Extent and Quality of the Services Provided Under the Agreements

The Board received and considered information regarding the nature, extent and quality of services provided to the Funds by the Manager and the Sub-advisers under the respective Agreements during the meeting and during the past year, as applicable. The Independent Trustees considered information regarding the process by which the Manager selected and recommended the Sub-advisers for Board approval and the Manager’s supervisory activities over the Sub-advisers. The Independent Trustees noted that the Manager monitors and evaluates the performance of each Fund’s Sub-advisers, including the Sub-advisers’ compliance with the investment objective, policies, and restrictions of the relevant Fund. The Board also received a description of the administrative and other services rendered to the Trust and its shareholders during the past year. The Board noted information received at regular meetings throughout the year related to the services rendered by the Manager about the management of the Trust’s affairs and its role in coordinating the activities of the Sub-advisers and the Trust’s other service providers. The Board considered each Sub-adviser’s specific responsibilities in all aspects of the day-to-day management of the portion of the respective Fund’s assets allocated to it, as well as the qualifications, experience and responsibilities of the persons serving as the portfolio managers for the segment of the Fund’s assets managed by the respective Sub-adviser, and other key personnel at the Sub-adviser. The Board specifically took into account each Sub-adviser’s investment process and capabilities, evaluating, if applicable, how the Sub-adviser complemented each of the other Sub-advisers, if any, to the respective Fund. Similarly, with respect to the Alternative Strategies Fund, the Independent Trustees considered the Manager’s investment process and capabilities managing assets and the Manager’s specific responsibilities in all aspects of day-to-day management of the Fund’s assets, as well as the qualification, experience and responsibilities of the person who serves as the portfolio manager for the Alternative Strategies Fund.

The Independent Trustees also discussed the acceptability of the terms of the Management Agreement, IM Agreement and Sub-advisory Agreements. The Independent Trustees considered the Manager’s favorable assessment of the nature and quality of the sub-advisory services provided to the Funds by the Sub-advisers. The Board also reviewed information received from the

358

Board Approval of Management Agreement and Investment Advisory Agreements

(unaudited) (continued)

Manager and the Trust’s Chief Compliance Officer regarding the Trust’s compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act, including those specific to the Manager providing day-to-day management of the Alternative Strategies Fund’s assets, and those of each Sub-adviser.

During the course of the year and at the meeting, the Board reviewed the qualifications, backgrounds and responsibilities of the Trust’s senior personnel and the portfolio management team primarily responsible for the management of the Funds and the selection and evaluation of Sub-advisers. In addition, the Independent Trustees discussed with representatives of management the portfolio management strategy of the Alternative Strategies Fund’s portfolio manager. The Board also considered the Manager’s and the Sub-advisers’ brokerage policies and practices, transaction execution standards, policies and practices regarding soft dollars, and quality controls applicable to brokerage allocation procedures.

The Board concluded that, overall, the nature, extent and quality of services provided (and expected to be provided) under the Management Agreement, IM Agreement and Sub-advisory Agreements were adequate and appropriate.

Fund Performance

As to each Fund, the Board received and considered performance information provided by Broadridge, an independent provider of investment company data, for the Fund and for all retail and institutional funds, regardless of asset size or primary channel of distribution, in the Fund’s Lipper category (the “Performance Universe”). As to each Fund, the Board was provided with a description of the methodology Lipper used to determine the similarity of the Fund with the funds included in the Fund’s Performance Universe. The Board also noted that it had received and discussed with advisory personnel of the Trust at periodic intervals throughout the year information on the investment performance of each Fund in comparison to similar mutual funds and benchmark performance indices. In addition, as to each Sub-adviser, the Board received and considered performance information provided by the Manager for the Sub-adviser managing the portion of the respective Fund’s assets allocated to it. The information comparing each Fund’s performance to that of its Performance Universe (except as noted below) was for the one-, three-, five- and ten-year periods ended March 31, 2019.

The Board noted that the Large Cap Equity Fund performed better than the median performance of the funds in the Performance Universe for each period. The Board further noted that the Small-Mid Cap Equity Fund and International Equity Fund each performed below the median performance of the funds in the Funds’ respective Performance Universe for each period. However, it was noted that each of the Small-Mid Cap Equity Fund and International Equity Fund were placed by Broadridge in the Lipper growth category of funds, whereas, each such Fund’s management policies and portfolio investments reflected a core style of investing. In addition, the Board noted that each of the Large Cap Equity Fund and Small-Mid Cap Equity Fund had undergone a merger with another series of the Trust in February 2016 and that the Manager had implemented changes to the portfolio management strategy of each Fund at that time, and that three new Sub-advisers had been engaged recently to manage portions of the Small-Mid Cap Equity Fund’s assets. With respect to the Emerging Markets Equity Fund, the Board noted that the Fund performed better than the median performance of the funds in its Performance Universe for both the three- and five-year periods. Based on its review, as to each of the Large Cap Equity Fund, Small-Mid Cap Equity Fund, International Equity Fund and Emerging Markets Equity Fund, the Board was generally satisfied with the absolute performance of the Funds and the performance of the Fund’s Sub-advisers whose Sub-advisory Agreements were under review.

The Board noted that the Core Fixed Income Fund and the International Fixed Income Fund each performed better than the median performance of the funds in its respective Performance Universe for each period. With respect to the High Yield Fund, the Board noted that the Fund performed better than the median performance of the funds in the Performance Universe for each period except the five-year period. The Board noted that the Municipal Bond Fund performed better than the median performance of the funds in the Performance Universe for the one-year period, but performed below the median for each of the three-, five-, and ten-year periods. Each such Fund had positive absolute returns for each period under review. With respect to the Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund, the Board noted that each Fund performed better than the median performance of the funds in its respective Performance Universe for the three-year period, but underperformed the median performance for the one-year period, the only periods of performance information provided by Broadridge as the Funds commenced operations on March 8, 2016. In addition, the Board noted that the Alternative Strategies Fund outperformed the median performance of the funds in the Performance Universe for the one-year period, the only period of performance information provided by Broadridge as the Fund commenced operations on February 15, 2018. Based on its review, as to each of the Core Fixed

359

Board Approval of Management Agreement and Investment Advisory Agreements

(unaudited) (continued)

Income Fund, High Yield Fund, International Fixed Income Fund and Municipal Bond Fund, the Board was generally satisfied with the absolute performance of the Funds and the performance of the Fund’s Sub-advisers whose Sub-advisory Agreements were under review. In addition, based on its review, as to each of the Inflation-Linked Fixed Income Fund, Ultra-Short Term Fixed Income Fund and Alternative Strategies Fund, and noting the limited period of performance data available from Broadridge, the Board was generally satisfied with the performance of the Funds and the performance of the Inflation-Linked Fixed Income Fund’s and Ultra-Short Term Fixed Income Fund’s Sub-adviser.

The Trustees determined to continue to evaluate the Funds’ performance and that of their respective Sub-advisers, as applicable, and to continue to periodically review Fund performance with the Manager.

Management Fees and Expense Ratios

As to each Fund, the Board reviewed and considered the contractual management fee rate (“Contractual Management Fee”) payable by the Fund to the Manager in light of the nature, extent and quality of the management and sub-advisory services provided by the Manager and the Sub-advisers, respectively. The Board also reviewed and considered the actual management fee rate (“Actual Management Fee”) paid by the Fund over the Fund’s last fiscal year which included reductions for fee waiver and/or expense reimbursement arrangements that were in effect for the Fund, which reduced the management fee paid to the Manager.

The Board noted that the compensation paid to the Sub-advisers is paid by the Manager, not the applicable Funds, and, accordingly, that the retention of the Sub-advisers does not increase the fees or expenses otherwise incurred by such Funds and their shareholders. The Board also reviewed with management the scope of services provided to the Funds by the Manager, noting that the Funds are 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 coordinates and oversees the provision of services to each Fund by other fund service providers, including the Sub-advisers. The Board also considered and discussed information about the Sub-advisers’ fees and comparable information for other sub-advised funds and accounts managed by the Sub-advisers.

Additionally, the Board received and considered information comparing each Fund’s Contractual Management Fee and Actual Management Fee and the Fund’s actual total expenses with those of a group of funds selected by Broadridge as comparable to the particular Fund (the “Expense Group”) and a broader group of retail no-load funds selected by Broadridge (the “Expense Universe”).

The information reviewed showed that the Contractual and Actual Management Fees of the Large Cap Equity Fund, Small-Mid Cap Equity Fund, International Equity Fund, Emerging Markets Equity Fund and Municipal Bond Fund were lower than the median Contractual and Actual Management Fees for the funds in the applicable Expense Group, and that the Actual Management Fees were lower than the average Actual Management Fees for the funds in the applicable Expense Universe for each of these Funds. For the Core Fixed Income Fund, the information reviewed showed that the Contractual Management Fee and Actual Management Fee of the Fund was slightly lower than the median Contractual and Actual Management Fees for funds in its Expense Group, and that the Actual Management Fee was slightly higher than the average Actual Management Fees for the funds in its Expense Universe. With respect to the High Yield Fund, the information reviewed showed that the Fund’s Contractual and Actual Management Fees were higher than the median Contractual and Actual Management Fees for the funds in its Expense Group, and that the Actual Management Fee was slightly lower than the average Actual Management Fees for the funds in its Expense Universe. The information reviewed showed that the Contractual Management Fee of the International Fixed Income Fund was lower than the median Contractual Management Fee for the funds in its Expense Group, and that the Fund’s Actual Management Fee was slightly higher than the median Actual Management Fee for the funds in its Expense Universe but was lower than the average Actual Management Fees for the funds in its Expense Universe. The information reviewed also showed that the Contractual and Actual Management Fees of the Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund were higher than the median Contractual and Actual Management Fees for the funds in the applicable Expense Group, and that the Funds’ Actual Management Fees were higher than the average Actual Management Fees for the funds in the applicable Expense Universe. It was noted that for each of the Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund, the management fee was appropriate given the respective Fund’s investment strategy versus that of the funds in its respective Expense Group. With respect to the Alternative Strategies Fund, the Independent Trustees noted that the Manager was waiving the entire management fee and determined that the Contractual Management Fee payable to the Manager with respect to the Fund was for services provided in addition to, and not duplicative of, services provided under the advisory contracts of the

360

Board Approval of Management Agreement and Investment Advisory Agreements

(unaudited) (continued)

underlying funds in which the Fund invested. The Independent Trustees also noted that the Broadridge expense information showed that the actual total expense ratio for each of the Large Cap Equity Fund, Small-Mid Cap Equity Fund, International Equity Fund, Emerging Markets Equity Fund, Core Fixed Income Fund and Municipal Bond Fund was lower than the median expense ratios of the funds in its respective Expense Group. The Broadridge expense information also showed that the actual total expense ratios for the Ultra-Short Term Fixed Income Fund and the International Fixed Income Fund were slightly higher than the median expense ratios of the funds in their respective Expense Groups.

The Board determined that, as to each Fund, the management fee paid by the Fund to the Manager and the sub-advisory fees paid by the Manager to the Sub-advisers, as applicable, were reasonable in light of comparative performance and expense information and the nature, extent and quality of the services provided to the Fund under the Agreements.

Manager Profitability

The Board received and considered a profitability analysis of the Manager and its affiliates in providing services to the Funds. In addition, the Board received information with respect to the Manager’s allocation methodologies used in preparing this profitability data. To the extent available, the Board also reviewed information provided by the Sub-advisers with respect to the relevant Sub-adviser’s profitability in providing sub-advisory services to the Funds. The Board also noted the profitability percentage ranges determined by appropriate court cases to be reasonable given the services rendered to investment companies. As to each Fund, the Board determined that the Manager’s profitability was not excessive in light of the nature, extent and quality of the services provided to the Fund.

Economies of Scale

As to each Fund, the Board considered information regarding whether there have been economies of scale with respect to the management of the Fund, whether the Fund has appropriately benefited from any economies of scale and whether there is potential for realization of any further economies of scale. The Board considered the various ways economies of scale could be realized and shared with Fund investors, and whether economies of scale in the provision of services to the Fund were being passed along to the shareholders. As to each Fund, the Board also noted that to the extent the Fund’s assets increase over time, the 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 resources.

Other Benefits to the Manager and the Sub-advisers

As to each Fund, the Board considered other benefits received by the Manager, the Sub-advisers and their affiliates as a result of their relationship with the Funds, including soft dollar arrangements, receipt of brokerage and the opportunity to offer additional products and services to Fund shareholders.

In light of the Manager’s costs of providing investment management and other services to the Funds and the Manager’s ongoing commitment to the Funds and each Sub-adviser’s day-to-day management of the portion of the respective Fund’s assets allocated to it, the profits and ancillary benefits that the Manager, the Sub-advisers and their affiliates received were considered reasonable.

Based on their discussions and considerations, including those described above, the Board approved the Management Agreement, the IM Agreement and the Sub-advisory Agreements to continue for another year. No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the Agreements.

361

Additional Information

(unaudited)

Trustees and Officers of the Trust

The Trust’s Board of Trustees (the “Board”) 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”) (the “Manager”), a business of Morgan Stanley, 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
Mark J. Reed 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1964	Chairman and Trustee	Since 2007 (Chairman since 2018)	Principal and Portfolio Manager, North American Management Corp. (2013-present); and formerly, Managing Director and Chief Compliance Officer, Bush O’Donnell Investment Advisors, Inc. (1988-2013)		11	None
Adela Cepeda 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1958	Vice Chairman and Trustee	Since 2008 (Vice Chairman since 2018)	Managing Director, PFM Financial Advisors, LLC (September 2016-present); and formerly, President, A.C. Advisory, Inc. (1995-September 2016)		11	Director, BMO Financial Corp. (2012-present); Trustee, Mercer Funds (2005-present); Trustee, UBS Funds (2004-present); and formerly, Director, Fort Dearborn Income Securities (2000-August 2016)

362

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 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1949	Trustee	Since 2009 (Interested Trustee from 2006-2009)	Retired; Advisor, Smith Barney (2005-2007)	11	Chairman Emeritus, Congressional Medal of Honor Foundation (2009-present); formerly Treasurer (2009-2016); and Chairman Emeritus, America’s Warrior Partnership (2017-present), formerly, Chairman (2013-2016) and Director (2013-2017)
Eric T. McKissack, CFA® 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1953	Trustee	Since 2013	Founder and Chief Executive Officer Emeritus, Channing Capital Management, LLC (Investment Management); and formerly, Chief Executive Officer, Channing Capital Management, LLC (2004-2019)	11	Trustee and Chairman, FlexShares Funds (2011-present); Trustee, The Art Institute of Chicago (2001-present); Director, Shirley Ryan AbilityLab (2000-present); and Director, Urban Gateways (1995-present)
INTERESTED TRUSTEE
Paul Ricciardelli** Morgan Stanley 522 Fifth Avenue, 14th Floor, New York, NY 10036 Birth Year: 1969	Trustee and Chief Executive Officer and President	Since April 2017	Head of IAR/GIMA, Morgan Stanley (2011-present); Head of Wealth Advisory Solutions, Morgan Stanley (March 2017-present); and formerly, Head of Manager Solutions, Morgan Stanley (2015-March 2017)	11	None

363

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 and Treasurer	Since 2014	Managing Director, Morgan Stanley (2017-present); formerly Executive Director, Morgan Stanley (2001-2016); and Treasurer and Principal Financial Officer of various Morgan Stanley Funds (2003-present)
Eric Metallo Morgan Stanley 1633 Broadway, 26th Floor New York, NY 10019 Birth Year: 1976	Chief Legal Officer and Secretary	Since August 2015	Executive Director, Morgan Stanley Wealth Management (2014-present); and formerly Senior Vice President and Associate General Counsel, PineBridge Investments (2011-2014)
Joseph Signora Morgan Stanley 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1977	Chief Compliance Officer	Since December 2017	Executive Director, Morgan Stanley (2017-present); formerly, Senior Director, AXA Equitable (2015-2017); Vice President, EQ Advisors Trust (2015-2017); Vice President, AXA Premier VIP Trust (2015-2017); Vice President, 1290 Funds (2015-2017); Vice President, FMG LLC (2015-2017); Deputy Chief Compliance Officer, Emerging Global Advisors (2014-2015); Chief Compliance Officer, EGA Emerging Global Shares Trust (2014-2015); and Chief Compliance Officer, EGA Frontier Diversified Core Fund (2014-2015)
Sara Cetron Morgan Stanley 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1980	Chief Administrative Officer	Since March 2017	Vice President, Morgan Stanley (2015-present); and formerly Platform Management, Managed Solutions, Barclays Capital Inc. (2008-2015)
Robert Garcia Morgan Stanley 522 Fifth Avenue, 14th Floor New York, NY 10036 Birth Year: 1983	Chief Operating Officer Investment Officer Co-Chief Operating Officer	Since May 2016 Since July 2015 August 2015-May 2016	Head of Operations and Strategy, Morgan Stanley (2017-present); Head of Portfolio Operations-WMIR, Morgan Stanley (2016-present); Head of Packaged Digital Solutions, Morgan Stanley (2015-present); and formerly Head of Strategy and Development-Global Investment Solutions, Morgan Stanley (2013-2015)
Zachary Apoian Morgan Stanley 522 Fifth Avenue, New York, NY 10036 Birth Year: 1979	Investment Officer	Since May 2019	Executive Director, Morgan Stanley Wealth Management (2019-present); formerly, Private Wealth Advisor, Morgan Stanley Wealth Management (2017-2019); and Executive Director, Morgan Stanley Wealth Management (2014-2017)

364

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
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-present)
Brian Mulley Morgan Stanley 522 Fifth Avenue, 14th Floor New York, NY 10036 Birth Year: 1977	Investment Officer	Since August 2015	Investment Analyst, Executive Director, Morgan Stanley (2005-present)
Sukru Saman Morgan Stanley 522 Fifth Avenue, 14th Floor New York, NY 10036 Birth Year: 1972	Investment Officer	Since August 2015	Investment Officer, Morgan Stanley Wealth Management (2013-present)
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)
James Totino Morgan Stanley 522 Fifth Avenue, 14th Floor New York, NY 10036 Birth Year: 1970	Investment Officer	Since May 2018	Portfolio Specialist, Investment Officer, Morgan Stanley (2018-present); and formerly Investment Officer, Morgan Stanley (2011-2018)
Todd McElduff Morgan Stanley 1633 Broadway, New York, NY 10019 Birth Year: 1977	Anti-Money Laundering (“AML”) Compliance Officer	Since September 2019	Head of Bank & WM AML Advisory, Morgan Stanley (2019-present); formerly, Head of Bank AML Advisory, Morgan Stanley (2017-2019); and Head of GFC US Investigations, Morgan Stanley (2014-2017)
James J. Tracy Morgan Stanley 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1957	Product Management Officer Trustee Chief Executive Officer and President	Since May 2016 2013-2015 2013-2015	Managing Director, Head of Consulting Group and Graystone Consulting (2018-present); Managing Director, Director of Consulting Group and Practice Management (2016-2018); Managing Director, Vice Chairman of Wealth Management (2015); and Managing Director, Director of Consulting Group Wealth Advisory Solutions (2012-2015)

365

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
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)
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	Executive Director, Morgan Stanley (2013-present)
Suzan M. Barron Brown Brothers Harriman & Co. (“BBH&Co.”) 50 Post Office Square Boston, MA 02110 Birth Year: 1964	Assistant Secretary	Since 2011	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 he or she resigns, retires or is removed.

** Mr. Ricciardelli 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.

Board Composition and Leadership Structure

Currently, four of the five Trustees on the Board (80%) are not “interested persons” (as defined in the 1940 Act) of the Trust and as such are not affiliated with the Manager or any Sub-adviser (“Independent Trustees”). The Board has appointed Mr. Reed, an Independent Trustee, to serve as Chairman of the Board. There are two primary committees of the Board: the Audit Committee and the Corporate Governance and Nominating Committee. Each Committee is chaired by an Independent Trustee and comprised solely of Independent Trustees. The Board has determined that this leadership structure is appropriate given the specific characteristics and circumstances of the Trust and in light of the services that the Manager and its affiliates and the Sub-advisers provide to the Trust and potential conflicts of interest that could arise from these relationships. The Board believes that the existing Board structure is appropriate because, among other things, it allows the Independent Trustees to exercise independent business judgment in evaluating the Trust’s management and service providers.

Board Oversight of Risk Management

The Board considers risk management issues as part of its general oversight responsibilities. As is the case with virtually all investment companies (as distinguished from operating companies), service providers to the Trust, primarily the Manager and its affiliates and the Sub-advisers, have responsibility for the day-to-day management of the Funds, which includes responsibility for risk management (including management of investment performance and investment risk, valuation risk, issuer and counterparty

366

Additional Information

(unaudited) (continued)

credit risk, compliance risk and operational risk). As part of its oversight, the Board, acting at its scheduled meetings, or the Chairman of the Board or the appropriate Committee, acting between Board meetings, regularly interacts with and receives reports from senior personnel of service providers, including the Manager’s investment officers, the Trust’s and the Manager’s Chief Compliance Officer (“CCO”) and the Sub-advisers’ portfolio management personnel. The Board’s Audit Committee meets during its scheduled meetings, and between meetings the Audit Committee chair maintains contact, with the Trust’s independent registered public accounting firm and the Trust’s Chief Financial Officer. The Board receives periodic presentations from senior personnel of the Manager or its affiliates regarding investment performance of the Funds and the applicable investment risk management process. The Board also receives periodic presentations from senior personnel of the Manager or its affiliates and the Sub-advisers regarding risk management generally, as well as periodic presentations regarding specific operational, compliance or investment areas, such as business continuity, anti-money laundering, cybersecurity, personal trading, valuation, credit, investment research, portfolio trading and transactions, and securities lending. The Board has adopted policies and procedures designed to address certain risks to the Funds. In addition, the Manager and other service providers to the Trust have adopted a variety of policies, procedures and controls designed to address particular risks to the Funds. Different processes, procedures and controls are employed with respect to different types of risks. However, it is not possible to eliminate all of the risks applicable to the Funds. The Board also receives reports from counsel to the Trust or counsel to the Manager and the Independent Trustees’ own independent legal counsel regarding regulatory compliance and governance matters. The Board’s oversight role does not make the Board a guarantor of the Funds’ investments or activities.

Individual Trustee Qualifications

The Board believes that each Trustee’s experience, qualifications, attributes or skills on an individual basis and in combination with those of the other Trustees lead to the conclusion that the Board possesses the requisite attributes and skills to effectively oversee the management of the Trust and the interests of Fund shareholders. The Board believes that the significance of each Trustee’s experience, qualifications, attributes or skills is an individual matter (meaning that experience that is important for one Trustee may not have the same value for another) and that these factors are best evaluated at the Board level, with no single Trustee, or particular factor, being indicative of Board effectiveness. However, the Board believes that Trustees must have the ability to critically review, evaluate, question and discuss information provided to them, and to interact effectively with Trust management, service providers and counsel, in order to exercise effective business judgment in the performance of their duties. The Board believes that the Trustees satisfy this standard. Experience relevant to having this ability may be achieved through a Trustee’s educational background; business, professional training or practice (e.g., accounting or law), public service or academic positions; experience from service as a board member (including the Board of the Trust) or as an executive of investment funds, public companies or significant private or not-for-profit entities or other organizations; and/or other life experiences. The charter for the Board’s Corporate Governance and Nominating Committee contains certain other factors considered by the Committee in identifying and evaluating potential nominees to the Board. The Board noted that most of the Trustees had experience serving as directors on the boards of operating companies and/or other investment companies. The Board considered that Ms. Cepeda and Messrs. Matthews, McKissack and Reed have or had careers in the financial services or investment management industries, including holding executive positions in companies engaged in these industries, which allows these Trustees to bring valuable, relevant experience as members of the Board. Mr. Ricciardelli has substantial experience as an executive and financial officer in leadership roles with Morgan Stanley and affiliated entities.

Board Committees

The Trust has an Audit Committee and a Corporate Governance and Nominating Committee. The members of the Audit Committee and the Corporate Governance and Nominating Committee consist of all the Independent Trustees of the Trust, namely Ms. Cepeda and Messrs. Matthews, McKissack and Reed. The Board also at times may constitute other committees of the Board to assist in the evaluation of specific matters.

The Audit Committee oversees each Fund’s audit, accounting and financial reporting policies and practices and its internal controls. The Audit Committee approves, and recommends to the Board for its ratification, the selection, appointment, retention or termination of the Trust’s independent registered public accounting firm and approves the compensation of the independent registered public accounting firm. The Audit Committee also approves all audit and permissible non-audit services provided to each Fund by the independent registered public accounting firm and all permissible non-audit services provided by the Trust’s

367

Additional Information

(unaudited) (continued)

independent registered public accounting firm to the Manager and any affiliated service providers if the engagement relates directly to Fund operations and financial reporting. The Audit Committee met two times during the Trust’s most recent fiscal year.

The Corporate Governance and Nominating Committee is charged with overseeing the Board governance matters and related Trustee practices, including selecting and nominating persons for election or appointment by the Board as Independent Trustees of the Trust. The Corporate Governance and Nominating Committee will consider nominees recommended by the Funds’ shareholders if a vacancy occurs. Shareholders who wish to recommend a nominee should send nominations to the Trust’s Secretary. The Corporate Governance and Nominating Committee also considers and recommends to the Board the appropriate compensation for serving as a Trustee on the Board. The Corporate Governance and Nominating Committee did not meet during the Trust’s most recent fiscal year.

368

Important Tax Information

(unaudited)

The following information is provided with respect to the distributions paid during the taxable year ended August 31, 2019:

	Large Cap Equity Fund			Small-Mid Cap Equity Fund			International Equity Fund			Emerging Markets Equity Fund			High Yield Fund
Record Date		12/6/2018			12/6/2018			12/6/2018			12/6/2018			Monthly
Payable Date		12/7/2018			12/7/2018			12/7/2018			12/7/2018			Monthly
Ordinary Income:
Qualified Dividend Income for Individuals		57.46	%		11.91	%		100	%		86.22	%		—
Dividends Qualifying for the Dividends Received
Deduction for Corporations		55.14	%		11.57	%		—			—			—
Foreign Source Income		—			—			99.64	%*		99.94	%*		—
Foreign Tax Paid Per Share		—			—			0.02259			0.03904			—
Long-Term Capital Gain Dividend		1.61994			1.48898			—			—			—
	Core Fixed Income Fund			International Fixed Income Fund			Municipal Bond Fund			Inflation-Linked Fixed Income Fund			Ultra-Short Term Fixed Income Fund
Record Date		Monthly			12/6/2018			Monthly			Monthly			Monthly
Payable Date		Monthly			12/7/2018			Monthly			Monthly			Monthly
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		40.17	%		10.01	%		—			95.40	%		9.41	%
Long-Term Capital Gain Dividend		—			—			0.02552			—			—
	Alternative Strategies Fund
Record Date		12/28/2018
Payable Date		12/31/2018
Ordinary Income:
Qualified Dividend Income for Individuals		29.82	%
Dividends Qualifying for the Dividends Received
Deduction for Corporations		3.68	%
Interest from Tax-Exempt Obligations		—
Interest from Federal Obligations		—
Long-Term Capital Gain Dividend		—

* 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.

369

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 Morgan Stanley Pathway 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 as an attachment to Form N-Port. The Funds’ Forms N-Port are available on the SEC’s website at www.sec.gov. To obtain information on Form N-Port 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/wealth-investmentsolutions/cgcm and (3) on the SEC’s website at www.sec.gov.

© 2019 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.

Morgan Stanley Pathway Funds

2000 Westchester Avenue

Purchase, NY 10577

ITEM 2. CODE OF ETHICS.

As of the period ended August 31, 2019 (“Reporting Period”), the Registrant has adopted a code of ethics (“Code”) that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party. The Registrant has not amended any provision in its Code that relates to an element of the Code’s definitions enumerated in paragraph (b) of Item 2 of this Form N-CSR. A copy of this Code is filed as an Exhibit to this Form N-CSR pursuant to Item 13(a)(1).

The Registrant has not granted any waiver, including any implicit waiver, from a provision of its Code to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

The Board of Trustees of the Registrant has determined that Mark J. Reed possesses the attributes identified in Instruction (b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert,” and has designated Mr. Reed as the Registrant’s audit committee financial expert. Mr. Reed is an “independent” Trustee pursuant to paragraph (a)(2) of Item 3 to Form N-CSR.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

AUDIT FEES –

(a) Audit Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2019 and August 31, 2018 for professional services rendered by the Registrant’s principal accountant (“Auditor”) for the audit of the Registrant’s annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for each of the last two fiscal years, were $616,080 in 2019 and $601,080 in 2018.

(b) Audit-Related Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2019, and August 31, 2018, for assurance and related services by the Auditor that were reasonably related to the performance of the audit of the Registrant’s financial statements and were not reported under paragraph (a) of this Item 4, were $0 in 2019 and $0 in 2018.

(c) Tax Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2019 and August 31, 2018 for professional services rendered by the Auditor for tax compliance, tax advice and tax planning (“Tax Services”) were $99,450 in 2019 and $97,450 in 2018. These services consisted of (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments, and (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held.

(d) All Other Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2019, and August 31, 2018, for products and services provided by the Auditor to the Registrant, other than the services reported in paragraphs (a) through (c) of this Item 4, were $0 for 2019 and $0 for 2018.

(e)(1) The Charter for the Audit Committee (“Committee”) of the Morgan Stanley Pathway Funds provides that the Committee may delegate its responsibility to approve any such audit and permissible non-audit services to a sub-committee consisting of the Chairperson of the Committee (“Chairperson”) and at least one other member of the Committee as the Chairperson, from time to time, may determine and appoint, and such sub-committee shall report to the Committee, at its next meeting after the sub-committee’s meeting, its decision(s). From year to year, and at such other times as the Committee deems appropriate, the Committee shall report to the Board whether this system of approval has been effective and efficient or whether this

Charter should be amended to allow for pre-approval pursuant to such policies and procedures as the Committee shall approve, including the delegation of some or all of the Committee’s pre-approval responsibilities to other persons (other than the Adviser or the Trust’s officers).

(e)(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(c) of Rule 2-01 of Regulation S-X, with respect to: Audit-Related Fees were 0% for 2019 and 0% for 2018; Tax Fees were 0% for 2019 and 0% for 2018; and Other Fees were 0% for 2019 and 0% for 2018.

(f) Not Applicable.

(g) Aggregate non-audit fees billed by the Auditor for services rendered to the Registrant and the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management as is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant of each of the last two fiscal years of the Registrant (“Service Affiliates”) were $0 for 2019 and $0 in 2018.

(h) The Registrant’s Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates that were not pre-approved pursuant to paragraph (c)(7)ii of Rule 2-01 of Regulation S-X is compatible with maintaining the Auditor’s independence.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not Applicable.

ITEM 6. INVESTMENTS.

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.

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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not Applicable.

ITEM 13. EXHIBITS.

(a)(1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.

(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.

(a)(4) 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.

Morgan Stanley Pathway Funds
By:	/s/ Paul Ricciardelli
	Paul Ricciardelli
	Chief Executive Officer
	Morgan Stanley Pathway Funds
Date:	November 6, 2019

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/ Paul Ricciardelli
	Paul Ricciardelli
	Chief Executive Officer
	Morgan Stanley Pathway Funds
Date:	November 6, 2019
Morgan Stanley Pathway Funds
By:	/s/ Francis Smith
	Francis Smith
	Chief Financial Officer
	Morgan Stanley Pathway Funds
Date:	November 6, 2019

EX-99.CODE

50. Financial Officer Code of Ethics

Policy Statement: The Sarbanes-Oxley Act of 2002 (“SOX”) effected sweeping corporate disclosure and financial reporting reform on public companies, including mutual funds, to address corporate malfeasance and assure investors that the companies in which they invest are accurately and completely disclosing financial information. Under SOX, all public companies (including the Trust) must either have a code of ethics for their senior financial officers, or disclose why they do not. SOX was intended to foster corporate environments which encourage employees to question and report unethical and potentially illegal business practices.

The Morgan Stanley Pathway Funds (“Trust”) has chosen to adopt a Code of Ethics (“Code of Ethics for Principal Executive and Senior Financial Officers”) to encourage its Principal Executive Officer, Principal Financial and Accounting Officer and Controller (“Financial Officers”) for the purpose of promoting:

• Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships.

• Full, fair, accurate, timely and understandable disclosure in reports and documents that a registrant files with, or submits to, the Securities and Exchange Commission (“SEC”) and in other public communications made by the Trust.

• Compliance with applicable laws and governmental rules or regulations.

• Prompt internal reporting of violations of the Code of Ethics for Financial Officers to an appropriate person or persons identified in the Code of Ethics of Financial Officers.

• Accountability for adherence to the Code of Ethics for Financial Officers.

Procedures: The Trust has adopted the following procedures regarding this matter:

1.    Procedures – The Trust has adopted the procedures set forth in “Code of Ethics for Principal Executive and Senior Financial Officers” (copy attached) to implement the Trust’s policies and to monitor compliance with the Trust’s policies.

2.    Compliance Responsibility – The Code of Ethics Review Officer is responsible for monitoring compliance with this policy and procedures.

MORGAN STANLEY PATHWAY FUNDS

Code of Ethics for Principal Executive and Senior Financial Officers Introduction

I. Covered Officers/Purpose of the Code

This code of ethics (“Code”) for the Morgan Stanley Pathway Funds (“Funds” or “Company”) applies to the Company’s Chief Executive Officer, Chief Financial Officer and Controller, as applicable (“Covered Officers”) for the purpose of promoting:

• honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

• full, fair, accurate, timely and understandable disclosure in reports and documents that the Company files with, or submits to, the Securities and Exchange Commission (“SEC”) and in other public communications made by the Company;

• Compliance with applicable laws and governmental rules and regulations;

• the prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and

• accountability for adherence to the Code.

Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.

II. Administration of Code

An appropriate individual within Morgan Stanley Wealth Management is responsible for administration of this Code, including granting pre-approvals (see Section III below) and waivers (as described in Section VI below), applying this Code in specific situations in which questions are presented under it and interpreting this Code in any particular situation.

III. Covered Officers Should Ethically Handle Actual & Apparent Conflicts of Interest Overview

A “conflict of interest” occurs when a Covered Officer’s private interest interferes with the interests of, or his service to, the Company. For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of his position with the Company.

Certain conflicts of interest arise out of the relationships between Covered Officers and the Company and already are subject to conflict of interest provisions in the Investment Company Act of 1940 (“1940 Act”) and the Investment Advisers Act of 1940 (“Advisers Act”). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with the Company because of their status as “affiliated persons” of the Company. The compliance programs and procedures of the Company and its investment adviser are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code (see Section VII below).

Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between a Company and the investment adviser of which the Covered Officers are also officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for a Company or for the adviser, or for both), be involved in establishing policies and implementing decisions that will have different effects on the adviser and a Company. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Company and the adviser and is consistent with the performance by the Covered Officers of their duties as officers of a Company. Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Morgan Stanley Pathway Funds (“Pathway Funds’ or Trust”) Board of Trustees (“Board”) that the Covered Officers may also be officers or employees of one or more other investment companies covered by this or other codes.

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of the Company.

* * * *

Each Covered Officer must:

• not use his personal influence or personal relationships improperly to influence investment decisions or financial reporting (e.g., through fraudulent accounting practices) by the Company whereby the Covered Officer would benefit personally to the detriment of the Company;¹ or

• not cause the Company to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than for the benefit of the Company; and

• not use material non-public knowledge of portfolio transactions made or contemplated for the Company to trade personally or cause others to trade personally in contemplation of the market effect of such transactions.

• There are some potential conflict of interest situations that should always be discussed with the Compliance Officer, if material. Examples are as follows:

(1) service as a trustee on the board of any public or private company;

(2) any ownership interest in, or any consulting or employment relationship with, any of the Company’s service providers, other than its investment adviser;

(3) a direct or indirect financial interest in commissions, transaction charges or spreads paid by the Company for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officer’s employment, such as compensation or equity ownership; and

¹  Any activity or relationship that would present a conflict for a Covered Officer would also present a conflict for the Covered Officer if a member of a Covered Officer’s family (spouse, minor children and any account over which a Covered Officer is deemed to have beneficial interest) engages in such an activity or has such a relationship.

(4) the receipt of any gifts or the conveyance of any value (including entertainment ) from any company with which the Company has current or prospective business dealings, except:

(a) any non-cash gifts of nominal value (nominal value is less than $100); and

(b) customary and reasonable meals and entertainment at which the giver is present, such as the occasional business meal or sporting event.

IV. Disclosure and Compliance

Each Covered Officer:

• should be familiar with his or her responsibilities in connection with the disclosure requirements generally applicable to the Company;

• should not knowingly misrepresent, or knowingly cause others to misrepresent, facts about the Company to others, whether within or outside the Company, including to the Company’s trustees and auditors, and to governmental regulators and self-regulatory organizations (“SROs”);

• should, to the extent appropriate within his or her area of responsibility, consult with other officers and employees of the Funds and the investment adviser with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Funds file with, or submit to, the SEC and in other public communications made by the Funds; and

• is responsible to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.

V. Reporting and Accountability

Each Covered Officer must:

• upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing to the Board that the Covered Officer has received, read, and understands the Code;

• annually thereafter affirm to the Board that he or she has complied with the requirements of the Code;

• annually disclose affiliations and other relationships related to conflicts of interest;

• not retaliate against any other Covered Officer or any employee of the Funds or their affiliated persons for reports of potential violations that are made in good faith; and

• notify the Pathway Funds’ Chief Compliance Officer (“CCO”) promptly if he knows of any violation of this Code (failure to do so is itself a violation of this Code).

In rendering decisions and interpretations and in conducting investigations of potential violations under the Code, the CCO may, at his//her discretion, consult with such persons as he determines to be appropriate, including, but not limited to, a senior legal officer of the Company or its investment adviser or its affiliates, independent auditors or other consultants, subject to any requirement to seek pre-approval from the Company’s audit committee for the retention of independent auditors to perform permissible non-audit services. The Funds will follow these procedures in investigating and enforcing the Code:

• the CCO will take all appropriate action to investigate any potential violation of which he becomes aware;

• if, after investigation the CCO believes that no violation has occurred, the CCO is not required to take any further action;

• any matter that the CCO believes is a violation will be reported to the Trustees of the Funds who are not “interested persons” (or “Non-interested Trustees) as defined in the Investment Company Act of 1940 (“1940 Act);

• if the Non-interested Trustees of the Board concur that a violation has occurred, it will consider appropriate action, which may include review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of the investment adviser or its board; or a recommendation to dismiss the Covered Officer; and

• any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules.

The CCO shall submit an annual report to the Board describing any waivers granted.

VI. Waivers²

A Covered Officer may request a waiver of any of the provisions of the Code by submitting a written request for such waiver to the CCO, setting forth the basis of such request and explaining how the waiver would be consistent with the standards of conduct described herein. The CCO shall review such request and make a determination thereon in writing, which shall be binding.

In determining whether to waive any provisions of this Code, the CCO shall consider whether the proposed waiver is consistent with honest and ethical conduct and other purposes of this Code.

VII. Other Policies and Procedures

This Code shall be the sole code of ethics adopted by the Funds for purposes of Section 406 of the Sarbanes-Oxley Act of 2002 (“SOX”) and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Funds, the Funds’ investment advisers, principal underwriters, or other service providers govern or purport to govern the behavior or activities of the Covered Officers who are subject to this Code, they are superseded by this Code to the extent that they overlap or conflict with the provisions of this Code. The codes of ethics of the funds and the investment advisers and principal underwriters under Rule 17j-1 of the Investment Company Act of 1940 and the Morgan Stanley Code of Conduct as well as other policies of the Funds’ investment adviser, sub-advisers or their affiliates are separate requirements applying to the Covered Officers and others, and are not part of this Code.

²  For purposes of this Code, Item 2 of Form N-CSR defines “waiver” as “the approval by a Company of a material departure from a provision of the Code” and includes an “implicit waiver,” which means a Company’s failure to take action within a reasonable period of time regarding a material departure from a provision of the Code that has been made known to an executive officer of the Company.

VIII. Amendments

Any amendments to this Code, other than amendments to Exhibits A and B must be approved or ratified by a majority vote of the Board, including a majority of Non-interested Trustees.

IX. Confidentiality

All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the appropriate Board and Company and their respective counsel, counsel to the non-Interested Trustees or independent auditors or other consultants referred to in Section V above.

X. Internal Use

The Code is intended solely for the internal use by the Pathway Funds and does not constitute an admission, by or on behalf of any Company, as to any fact, circumstance, or legal conclusion.

As of: May 6, 2015

EXHIBIT A

SARBANES-OXLEY ACT CODE OF ETHICS

CERTIFICATION AND ACKNOWLEDGEMENT

FOR

PRINCIPAL EXECUTIVE AND SENIOR FINANCIAL OFFICERS

OF

MORGAN STANLEY PATHWAY FUNDS

(“Funds” or “Company”)

I acknowledge that I have received and read the Sarbanes-Oxley Code of Ethics for Principal Executive and Senior Financial Officers of the Funds (“Code”), dated May 6, 2015. I fully understand the provisions of the Code as described therein and agree to abide by them.

Signature	Date
Name (Print)	Title

EXHIBIT B

SARBANES-OXLEY ACT CODE OF ETHICS

ANNUAL CERTIFICATION

FOR

PRINCIPAL EXECUTIVE AND SENIOR FINANCIAL OFFICERS

OF

MORGAN STANLEY PATHWAY FUNDS

(“Funds” or “Company”)

The purpose of this annual certification is to inform the Boards of Trustees of the Funds that the below named Covered Officer certifies:

That he or she has complied with the requirements of the Sarbanes-Oxley Act Code of Ethics for Principal Executive and Senior Financial Officers of the Funds (“Code”) dated May 6, 2015, during the last complete calendar year (or part of such year) I was subject to the Code.

Signature:

Name:

Title:

Date:

Whistle Blower Procedures

Policy Statement: Employees who observe, learn of, or, in good faith, suspect a violation of the Morgan Stanley Pathway Funds’ (or “Trust’s) Code of Ethics (“Suspected Code Violations”) should immediately report the violation in accordance with the following procedures. Similarly, any employee or other person who has good faith complaints or concerns regarding accounting, internal accounting controls or auditing matters (“Accounting Concerns”) should communicate those complaints or concerns in accordance with the following procedures. As described below, employees who report Suspected Code Violations or Accounting Concerns in good faith will not be subject to retaliation of any kind.

The Trust prohibits any form of retaliation against employees who, for lawful purposes, makes a complaint regarding a Suspected Code Violations or Accounting Concerns. The Trust also prohibits any form of retaliation against employees who provide information, cause information to be provided, or assist in an investigation conducted by the Trust’s officers or any governmental body, regarding a possible violation of any law or regulation relating to fraud or any rule or regulation of the United States Securities and Exchange Commission, or who file, cause to be filed, or assist, participate or give testimony in any proceeding relating to an alleged violation of any such law, rule or regulation.

Procedures: The Trust has adopted the following procedures regarding this matter:

1.     Reporting of Code Violation - Any person who has knowledge of a Suspected Code Violation should file a complaint by contacting the Trust’s Chief Compliance Officer (“CCO”).

Complaints may be made on a confidential or anonymous basis. When making a complaint, the employee should provide as much specific information as possible, including names, dates, places, events, and an explanation of why the employee believes the incident is a Suspected Code Violation.

2.     Procedure for Reporting Accounting Concern - Any person that has knowledge of an accounting concern should file a complaint by contacting the CCO.

Accounting concerns directed by employees may be made on a confidential or anonymous basis. When voicing a concern, the reporting person should be as clear as possible concerning the exact nature of the concern and should provide as much specific information as possible, including names, dates, places, events, and an explanation of why the employee believes the matter is an accounting concern.

Accounting Concerns which should be reported in accordance with these procedures include, without limitation, the following:

(a) fraud or deliberate error in the preparation, evaluation, review or audit of any financial statement of the Trust;

(b) fraud or deliberate error in the recording and maintaining of financial records of the Trust;

(c) deficiencies in or noncompliance with the Trust’s internal accounting controls;

(d) misrepresentation or false statement to or by a senior officer or accountant regarding a matter contained in the financial records, financial reports or audit reports of the Trust;

(e) deviation from full and fair reporting of the Company’s financial condition; or

(f) any violation of the Trust’s Code of Ethics for Senior Financial Officers by the persons subject to that Code of Ethics.

3. Treatment of Reports Concerning Suspected Code Violations and Accounting Concerns - Reports on all accounting concerns and Suspected Code Violations will be provided to the Trust’s CCO. The CCO shall maintain a log of all reports of Suspected Code Violations and Accounting Concerns, tracking their receipt investigation and resolution.

• Accounting Concerns. All reports regarding accounting concerns shall be forwarded for review to the Director of Internal Audit. Reports relating to accounting concerns will be reviewed under Audit Committee direction and oversight by the Director of Internal Audit, the Trust’s CCO or such other persons as the Audit Committee determines to be appropriate. At each meeting of the Audit Committee, the Director of Internal Audit will review with the Committee a summary of the current status of reported accounting concerns. Prompt and appropriate corrective action will be taken when and as warranted in the judgment of the Audit Committee, which corrective action may include disciplinary action, up to and including discharge.

• Suspected Code Violations. All reports regarding Suspected Code Violations shall be reviewed by the Trust’s CCO. The resolution of any Suspected Code Violation may involve corrective action and disciplinary action, up to and including discharge. The CCO will periodically review with the Board of Trustees a summary of the current status of reported Suspected Code Violations which involve the Trust’s officers or which are otherwise material to the Trust.

Suspected Code Violations and accounting concerns which are reported pursuant to these procedures will be investigated and addressed promptly and will be treated confidentially to the extent possible, consistent with the need to conduct an adequate review. Records relating to complaints received pursuant to these procedures and related investigatory records will generally be retained for a period of five years following the conclusion of the investigation. Such records may be kept electronically.

4.     Procedures to Ensure Non-Retaliation - All managers are responsible for ensuring adherence to the Trust’s non-retaliation policy. In addition, each manager is responsible for communicating this policy to employees under his or her supervision and for supporting programs and practices designed to develop understanding of, commitment to and compliance with this policy. In the event that any supervisor or manager believes that a violation of this policy has occurred or receives a report of a violation, she must immediately contact the Trust’s CCO.

If an employee believes that he or she has been retaliated against (including threatened or harassed) in violation of this policy, he or she should immediately report that fact to the Trust’s CCO. Once an employee reports retaliation prohibited by this policy, the Trust’s CCO will promptly

investigate the matter. The investigation will be handled as discreetly as reasonably possible, allowing for a fair investigation and any necessary corrective action. Appropriate corrective action will be taken whenever a violation of this policy is determined to have occurred. Depending on the nature of the violation, the offending individual may be subject to disciplinary action up to and including termination. In addition, anyone who interferes with an investigation, or provides information in an investigation that the individual knows to be untrue or inaccurate, will be subject to disciplinary action, up to and including termination of employment. Retaliation against employees who in good faith file a complaint or participate in an investigation is strictly prohibited.

EX-99.CERT

Exhibit 13(a)(2)

CERTIFICATION

I, Paul Ricciardelli, certify that:

1. I have reviewed this report on Form N-CSR of Morgan Stanley Pathway Funds;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the internal control over financial reporting.

Date: November 6, 2019	/s/ Paul Ricciardelli
	Paul Ricciardelli, Chief Executive Officer
	(principal executive officer)

Exhibit 13(a)(2)

CERTIFICATION

I, Francis Smith, certify that:

1. I have reviewed this report on Form N-CSR of Morgan Stanley Pathway Funds;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the internal control over financial reporting.

Date: November 6, 2019	/s/ Francis Smith
	Francis Smith, Chief Financial Officer
	(principal financial officer)

EX-99.906CERT

Exhibit 13(b)

CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350 AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES OXLEY ACT OF 2002

I, Paul Ricciardelli, Chief Executive Officer of the Morgan Stanley Pathway Funds (the “Registrant”), certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that to my knowledge:

1.    The Form N-CSR of the Registrant for the annual period ended August 31, 2019, as filed with the Securities and Exchange Commission on the date hereof (the “Report”), fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2.    The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Date: November 6, 2019	/s/ Paul Ricciardelli
	Paul Ricciardelli, Chief Executive Officer
	(principal executive officer)

Exhibit 13(b)

CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350 AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES OXLEY ACT OF 2002

I, Francis Smith, Chief Financial Officer of the Morgan Stanley Pathway Funds (the “Registrant”), certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that to my knowledge:

1.    The Form N-CSR of the Registrant for the annual period ended August 31, 2019, as filed with the Securities and Exchange Commission on the date hereof (the “Report”), fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2.    The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Date: November 6, 2019	/s/ Francis Smith
	Francis Smith, Chief Financial Officer
	(principal financial officer)