N-Q 1 nqcombinedfivefifteen.htm nqcombinedfivefifteen.htm - Generated by SEC Publisher for SEC Filing

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number

811-07572

Principal Funds, Inc.

(Exact name of registrant as specified in charter)

655 9th Street, Des Moines, IA 50309
(Address of principal executive offices)

Principal Management Corporation, 655 9th Street, Des Moines, IA 50309 (Name and address of agent for service)

Registrant’s telephone number, including area code: 515-247-6783
Date of fiscal year end: August 31, 2015  
Date of reporting period: May 31, 2015  

 

 

ITEM 1 – SCHEDULE OF INVESTMENTS


Schedule of Investments
Blue Chip Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS - 99.86% Shares Held                   Value (000's) COMMON STOCKS (continued) Shares Held Value (000 's)
 
Banks - 5.50%       Oil & Gas (continued)            
Bank of New York Mellon Corp/The 524,853 $ 22,758 Hess Corp 115,103 $ 7,772  
Wells Fargo & Co 910,299   50,940       $   33,836  
  $   73,698 Pharmaceuticals - 6.12%            
Beverages - 4.95%       Valeant Pharmaceuticals International Inc (a) 236,464       56,460  
Anheuser-Busch InBev NV ADR 241,220   29,082 Zoetis Inc 512,893       25,527  
Diageo PLC ADR 229,258   25,438       $   81,987  
SABMiller PLC ADR 219,679   11,812 Pipelines - 1.38%            
  $   66,332 Kinder Morgan Inc/DE 436,616       18,115  
Building Materials - 0.97%       Kinder Morgan Inc/DE - Warrants (a) 96,500       382  
Martin Marietta Materials Inc 87,236   12,999       $   18,497  
        Real Estate - 4.86%            
Chemicals - 4.38%       Brookfield Asset Management Inc 1,840,925       65,132  
Air Products & Chemicals Inc 223,266   32,767              
Monsanto Co 120,943   14,148 REITS - 2.60%            
Praxair Inc 95,867   11,778 American Tower Corp 375,843       34,875  
  $   58,693              
 
Commercial Services - 5.55%       Retail - 13.60%            
MasterCard Inc 664,285   61,287 AutoZone Inc (a) 17,556       11,826  
Moody's Corp 121,252   13,107 CarMax Inc (a) 231,554       16,450  
  $   74,394 Starbucks Corp 954,702       49,606  
Cosmetics & Personal Care - 0.47%       TJX Cos Inc/The 283,978       18,282  
Colgate-Palmolive Co 93,746   6,261 Walgreens Boots Alliance Inc 573,042       49,190  
        Yum! Brands Inc 410,684       37,007  
              $   182,361  
Diversified Financial Services - 9.03%                    
American Express Co 193,863   15,455 Semiconductors - 2.34%            
BlackRock Inc 92,076   33,680 Qualcomm Inc 449,465       31,319  
Charles Schwab Corp/The 653,847   20,694              
FNF Group 236,545   8,979 Software - 6.16%            
Visa Inc 615,676   42,285 Adobe Systems Inc (a) 334,254       26,436  
  $   121,093 Microsoft Corp 1,199,339       56,201  
Food - 1.97%             $   82,637  
Nestle SA ADR 340,176   26,343 TOTAL COMMON STOCKS     $   1,338,605  
        INVESTMENT COMPANIES - 0.03% Shares Held Value (000 's)
 
Healthcare - Products - 1.71%       Publicly Traded Investment Fund - 0.03%            
Danaher Corp 266,123   22,972 Goldman Sachs Financial Square Funds - 433,898       434  
        Government Fund            
 
Insurance - 10.06%                    
Aon PLC 216,459   21,910 TOTAL INVESTMENT COMPANIES     $   434  
Berkshire Hathaway Inc - Class B (a) 457,208   65,381 Total Investments     $   1,339,039  
Loews Corp 447,065   17,936 Other Assets in Excess of Liabilities, Net - 0.11%   $   1,442  
Markel Corp (a) 38,307   29,602 TOTAL NET ASSETS - 100.00%     $   1,340,481  
  $   134,829              
 
Internet - 9.07%       (a) Non-Income Producing Security            
Amazon.com Inc (a) 37,388   16,048              
Google Inc - A Shares (a) 58,613   31,963              
Google Inc - C Shares (a) 111,842   59,512              
Liberty Ventures (a) 340,003   14,110 Portfolio Summary (unaudited)          
  $   121,633 Sector         Percent  
        Financial         32.05 %
Leisure Products & Services - 0.60%       Consumer, Non-cyclical         20.77 %
Liberty TripAdvisor Holdings Inc (a) 285,303   7,983 Consumer, Cyclical         14.51 %
        Communications         13.00 %
Lodging - 0.31%       Technology         8.50 %
Wynn Resorts Ltd 41,076   4,136 Basic Materials         4.38 %
        Energy         3.90 %
        Industrial         2.75 %
Media - 3.93%       Exchange Traded Funds         0.03 %
Discovery Communications Inc - C Shares (a) 622,015   19,559 Other Assets in Excess of Liabilities, Net         0.11 %
Liberty Global PLC - C Shares (a) 616,649   33,145 TOTAL NET ASSETS         100.00 %
  $   52,704              
 
Metal Fabrication & Hardware - 1.78%                    
Precision Castparts Corp 112,892   23,891              
 
 
Oil & Gas - 2.52%                    
EOG Resources Inc 122,602   10,874              
Exxon Mobil Corp 178,287   15,190              

 

See accompanying notes

1

 

Schedule of Investments
Bond Market Index Fund
May 31, 2015 (unaudited)
 
 
  INVESTMENT COMPANIES - 12.83%   Shares Held                               Value (000's)            
                BONDS (continued)                             Principal Amount (000's)    Value (000's)
  Publicly Traded Investment Fund - 12.83%                        
  Morgan Stanley Institutional Liquidity Funds -   162,302,016 $ 162,302   Automobile Asset Backed Securities (continued)      
  Government Portfolio             Americredit Automobile Receivables Trust          
                2014-4          
  TOTAL INVESTMENT COMPANIES     $   162,302   1.27%, 07/08/2019(a)   $ 500 $ 501
                                       Principal       Capital Auto Receivables Asset Trust 2014-3          
BONDS - 35.31 % Amount (000's)                       Value (000's)   1.48%, 11/20/2018     164   165
                CarMax Auto Owner Trust 2013-4          
  Advertising - 0.05%             1.28%, 05/15/2019     400   401
  Interpublic Group of Cos Inc/The             CarMax Auto Owner Trust 2014-3          
  4.20%, 04/15/2024   $ 50 $ 52   1.16%, 06/17/2019     400   401
  Omnicom Group Inc             Ford Credit Auto Owner Trust 2014-A          
  4.45%, 08/15/2020     30   33   0.79%, 05/15/2018     500   501
  Svensk Exportkredit AB             Honda Auto Receivables 2013-3 Owner          
  5.13%, 03/01/2017     550   591   Trust          
        $   676   1.13%, 09/16/2019     360   361
  Aerospace & Defense - 0.39%             Honda Auto Receivables 2013-4 Owner          
  Boeing Capital Corp             Trust          
  4.70%, 10/27/2019     35   39   1.04%, 02/18/2020     50   50
  Boeing Co/The             Nissan Auto Receivables 2012-A Owner          
  2.35%, 10/30/2021     1,000   1,015   Trust          
  3.75%, 11/20/2016     30   31   1.00%, 07/16/2018     232   232
  Exelis Inc             World Omni Automobile Lease Securitization          
  4.25%, 10/01/2016     100   104   Trust 2013-A          
  L-3 Communications Corp             1.40%, 02/15/2019     500   503
  3.95%, 05/28/2024     20   20         $   3,591
  4.95%, 02/15/2021     30   32   Automobile Manufacturers - 0.35%          
  Lockheed Martin Corp             American Honda Finance Corp          
  3.35%, 09/15/2021     500   527   1.13%, 10/07/2016     30   30
  3.80%, 03/01/2045     250   233   Ford Motor Co          
  4.07%, 12/15/2042     30   30   7.45%, 07/16/2031     500   651
                                                                    Northrop Grumman Corp             Ford Motor Credit Co LLC          
  3.50%, 03/15/2021     30   31   1.70%, 05/09/2016     500   503
  5.05%, 11/15/2040     500   557   2.15%, 01/09/2018     300   303
  Raytheon Co             2.60%, 11/04/2019     500   503
  3.13%, 10/15/2020     30   31   3.66%, 09/08/2024     725   728
  4.70%, 12/15/2041     750   810   5.00%, 05/15/2018     500   542
  United Technologies Corp             5.88%, 08/02/2021     100   116
  3.10%, 06/01/2022     500   514   PACCAR Financial Corp          
  4.50%, 04/15/2020     550   614   2.20%, 09/15/2019     20   20
  4.50%, 06/01/2042     300   312   Toyota Motor Credit Corp          
  6.13%, 07/15/2038     46   57   1.13%, 05/16/2017     125   126
        $   4,957   2.00%, 10/24/2018     400   406
  Agriculture - 0.26%             3.30%, 01/12/2022     500   523
  Altria Group Inc                   $   4,451
  10.20%, 02/06/2039     540   919   Automobile Parts & Equipment - 0.09%          
  Archer-Daniels-Midland Co             BorgWarner Inc          
  4.48%, 03/01/2021(a)     35   39   4.38%, 03/15/2045     300   294
  Lorillard Tobacco Co             Johnson Controls Inc          
  8.13%, 06/23/2019     430   522   3.75%, 12/01/2021     755   794
  Philip Morris International Inc             5.25%, 12/01/2041     30   32
  2.90%, 11/15/2021     400   410         $   1,120
  4.13%, 03/04/2043     300   291              
  5.65%, 05/16/2018     430   481 Banks - 5.73 %        
  Reynolds American Inc             Abbey National Treasury Services          
  3.25%, 11/01/2022     40   39   PLC/London          
  6.15%, 09/15/2043     500   565   3.05%, 08/23/2018     1,000   1,042
        $   3,266   Associated Banc-Corp          
                4.25%, 01/15/2025     300   301
  Airlines - 0.03%             Australia & New Zealand Banking Group          
  American Airlines 2014-1 Class A Pass             Ltd/New York NY          
  Through Trust             2.25%, 06/13/2019     550   556
  3.70%, 04/01/2028(b)     19   20   Bank of America Corp          
  Southwest Airlines Co             1.95%, 05/12/2018     310   311
  2.75%, 11/06/2019     300   307   2.25%, 04/21/2020     160   158
        $   327   2.60%, 01/15/2019     100   102
  Automobile Asset Backed Securities - 0.28%         2.65%, 04/01/2019     625   636
  Ally Auto Receivables Trust 2012-4             3.30%, 01/11/2023     600   601
  0.59%, 01/17/2017     22   22   4.00%, 04/01/2024     850   886
  AmeriCredit Automobile Receivables Trust             4.25%, 10/22/2026     50   50
  2014-2             4.88%, 04/01/2044     450   481
  0.94%, 02/08/2019     455   454   5.42%, 03/15/2017     50   53
                5.63%, 07/01/2020     500   572

 

See accompanying notes.

2

 

Schedule of Investments
Bond Market Index Fund
May 31, 2015 (unaudited)
 
 
    Principal         Principal    
BONDS (continued) Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Banks (continued)         Banks (continued)        
Bank of America Corp (continued)       Fifth Third Bancorp        
6.00%, 09/01/2017 $ 100 $ 109 4.30%, 01/16/2024 $ 50 $ 52
6.11%, 01/29/2037   850   990 First Tennessee Bank NA        
6.50%, 08/01/2016   100   106 2.95%, 12/01/2019   300   303
6.88%, 04/25/2018   850   968 Goldman Sachs Group Inc/The        
Bank of America NA         2.38%, 01/22/2018   250   254
1.25%, 02/14/2017   1,000   1,001 2.55%, 10/23/2019   1,300   1,308
6.10%, 06/15/2017   850   924 2.60%, 04/23/2020   300   301
Bank of Montreal         2.90%, 07/19/2018   500   515
1.40%, 04/10/2018   500   500 5.15%, 05/22/2045   300   306
2.38%, 01/25/2019   500   509 5.25%, 07/27/2021   600   677
2.50%, 01/11/2017   100   103 5.63%, 01/15/2017   401   427
Bank of Nova Scotia/The       5.95%, 01/15/2027   700   809
1.30%, 07/21/2017   300   301 6.13%, 02/15/2033   850   1,046
Bank One Corp         6.25%, 09/01/2017   230   253
8.00%, 04/29/2027   1,000   1,341 6.25%, 02/01/2041   220   273
Barclays Bank PLC         6.75%, 10/01/2037   150   184
5.13%, 01/08/2020   250   284 HSBC Bank USA NA/New York NY        
6.75%, 05/22/2019   100   118 5.63%, 08/15/2035   500   589
BB&T Corp         HSBC Holdings PLC        
1.60%, 08/15/2017   50   50 6.10%, 01/14/2042   600   768
2.45%, 01/15/2020   500   503 HSBC USA Inc        
6.85%, 04/30/2019   45   53 2.35%, 03/05/2020   500   500
BNP Paribas SA         3.50%, 06/23/2024   500   516
1.38%, 03/17/2017   500   501 Intesa Sanpaolo SpA        
2.45%, 03/17/2019   400   407 2.38%, 01/13/2017   1,000   1,009
2.70%, 08/20/2018   400   412 JP Morgan Chase & Co        
BPCE SA         1.35%, 02/15/2017   500   502
1.63%, 01/26/2018   300   300 1.63%, 05/15/2018   1,000   997
Branch Banking & Trust Co       2.20%, 10/22/2019   1,550   1,546
1.00%, 04/03/2017   750   750 2.25%, 01/23/2020   530   527
Capital One Financial Corp       3.13%, 01/23/2025   300   294
3.50%, 06/15/2023   40   41 3.20%, 01/25/2023   132   133
4.75%, 07/15/2021   400   442 3.63%, 05/13/2024   100   102
Capital One NA/Mclean VA       3.88%, 09/10/2024   25   25
1.65%, 02/05/2018   300   299 4.13%, 12/15/2026   500   505
Citigroup Inc         4.50%, 01/24/2022   100   109
1.70%, 04/27/2018   500   497 4.85%, 02/01/2044   400   433
1.85%, 11/24/2017   750   755 5.60%, 07/15/2041   70   83
2.50%, 07/29/2019   125   126 KFW        
3.30%, 04/27/2025   500   492 0.00%, 04/18/2036(c)   260   140
5.38%, 08/09/2020   1,350   1,528 0.50%, 07/15/2016   100   100
5.50%, 09/13/2025   800   892 0.50%, 09/15/2016   200   200
6.13%, 05/15/2018   100   112 0.75%, 03/17/2017   1,600   1,602
6.68%, 09/13/2043   300   381 1.00%, 01/26/2018   300   300
8.13%, 07/15/2039   500   754 1.00%, 06/11/2018   1,600   1,597
Citizens Bank NA/Providence RI       1.25%, 02/15/2017   100   101
1.60%, 12/04/2017   500   502 1.75%, 10/15/2019   50   51
Comerica Inc         1.88%, 04/01/2019   1,200   1,225
3.80%, 07/22/2026   50   50 2.00%, 05/02/2025   280   274
Commonwealth Bank of Australia/New York       2.13%, 01/17/2023   500   503
NY         2.50%, 11/20/2024   300   307
1.40%, 09/08/2017   780   785 2.75%, 09/08/2020   1,100   1,161
Compass Bank         4.00%, 01/27/2020   100   111
3.88%, 04/10/2025   500   487 Korea Development Bank/The        
Cooperatieve Centrale Raiffeisen-       3.88%, 05/04/2017   500   523
Boerenleenbank BA/Netherlands       Landwirtschaftliche Rentenbank        
3.38%, 01/19/2017   50   52 2.13%, 07/15/2016   500   509
3.88%, 02/08/2022   450   479 5.00%, 11/08/2016   500   531
Cooperatieve Centrale Raiffeisen-       Lloyds Bank PLC        
Boerenleenbank BA/NY         2.40%, 03/17/2020   500   503
2.25%, 01/14/2019   250   254 Manufacturers & Traders Trust Co        
Credit Suisse/New York NY       2.10%, 02/06/2020   300   299
1.38%, 05/26/2017   750   751 6.63%, 12/04/2017   500   561
3.00%, 10/29/2021   250   252 Morgan Stanley        
5.40%, 01/14/2020   300   334 3.70%, 10/23/2024   1,000   1,019
Deutsche Bank AG/London       3.75%, 02/25/2023   100   103
1.40%, 02/13/2017   50   50 4.88%, 11/01/2022   650   701
1.88%, 02/13/2018   300   301 5.50%, 07/24/2020   700   796
2.50%, 02/13/2019   500   508 5.50%, 07/28/2021   1,000   1,146
Discover Bank/Greenwood DE       5.55%, 04/27/2017   690   743
3.20%, 08/09/2021   1,000   998 5.75%, 01/25/2021   100   115

 

See accompanying notes.

3

 

Schedule of Investments
Bond Market Index Fund
May 31, 2015 (unaudited)
 
 
    Principal         Principal    
BONDS (continued)   Amount (000's)    Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Banks (continued)         Beverages (continued)        
Morgan Stanley (continued)         PepsiCo Inc        
6.25%, 08/28/2017 $ 100 $ 110 2.75%, 03/05/2022 $ 280 $ 284
6.38%, 07/24/2042   200   255 3.60%, 08/13/2042   400   366
7.30%, 05/13/2019   450   533 4.50%, 01/15/2020   1,000   1,112
Oesterreichische Kontrollbank AG             $   5,969
0.75%, 12/15/2016   750   752          
2.00%, 06/03/2016   100   102 Biotechnology - 0.25%        
PNC Bank NA         Amgen Inc        
1.15%, 11/01/2016   450   451 2.13%, 05/15/2017   460   468
2.70%, 11/01/2022   300   294 5.65%, 06/15/2042   500   574
PNC Funding Corp         5.70%, 02/01/2019   34   38
6.70%, 06/10/2019   365   430 5.75%, 03/15/2040   530   612
Royal Bank of Canada         Celgene Corp        
1.25%, 06/16/2017   350   351 2.30%, 08/15/2018   440   447
2.30%, 07/20/2016   300   305 Gilead Sciences Inc        
Royal Bank of Scotland Group PLC         2.05%, 04/01/2019   40   41
6.40%, 10/21/2019   60   69 2.35%, 02/01/2020   300   306
Santander Holdings USA Inc/PA         3.70%, 04/01/2024   600   626
2.65%, 04/17/2020   500   496     $   3,112
Societe Generale SA         Building Materials - 0.00%        
2.63%, 10/01/2018   50   51 Owens Corning        
State Street Corp         4.20%, 12/15/2022   30   31
3.10%, 05/15/2023   50   50          
5.38%, 04/30/2017   47   51          
Sumitomo Mitsui Banking Corp         Chemicals - 0.63%        
1.30%, 01/10/2017   100   100 Agrium Inc        
1.35%, 07/11/2017   750   749 5.25%, 01/15/2045   300   316
Svenska Handelsbanken AB         Airgas Inc        
2.88%, 04/04/2017   275   284 2.95%, 06/15/2016   30   31
Toronto-Dominion Bank/The         CF Industries Inc        
1.50%, 09/09/2016   1,000   1,008 3.45%, 06/01/2023   500   498
2.38%, 10/19/2016   300   306 4.95%, 06/01/2043   240   232
UBS AG/Stamford CT         Dow Chemical Co/The        
1.38%, 08/14/2017   650   649 3.50%, 10/01/2024   250   249
US Bancorp/MN         9.40%, 05/15/2039   380   594
1.65%, 05/15/2017   50   51 Eastman Chemical Co        
3.00%, 03/15/2022   50   51 2.70%, 01/15/2020   1,050   1,059
3.60%, 09/11/2024   750   768 4.50%, 01/15/2021   30   33
Wells Fargo & Co         Ecolab Inc        
1.15%, 06/02/2017   950   949 5.50%, 12/08/2041   780   900
1.25%, 07/20/2016   400   401 EI du Pont de Nemours & Co        
1.50%, 01/16/2018   100   100 3.63%, 01/15/2021   750   793
3.00%, 01/22/2021   500   514 4.15%, 02/15/2043   50   50
3.30%, 09/09/2024   1,000   1,008 LYB International Finance BV        
3.45%, 02/13/2023   500   507 4.88%, 03/15/2044   30   30
3.90%, 05/01/2045   120   113 LyondellBasell Industries NV        
4.65%, 11/04/2044   500   503 5.00%, 04/15/2019   400   439
5.38%, 02/07/2035   250   292 Methanex Corp        
Westpac Banking Corp         3.25%, 12/15/2019   30   30
1.20%, 05/19/2017   1,050   1,053 Monsanto Co        
4.88%, 11/19/2019   50   56 1.15%, 06/30/2017   350   349
    $   72,430 2.75%, 07/15/2021   500   499
          Mosaic Co/The        
Beverages - 0.47%         5.45%, 11/15/2033   500   556
Anheuser-Busch InBev Worldwide Inc         5.63%, 11/15/2043   25   28
1.38%, 07/15/2017   750   755 Potash Corp of Saskatchewan Inc        
3.75%, 07/15/2042   750   693 3.00%, 04/01/2025   150   149
5.00%, 04/15/2020   609   689 3.63%, 03/15/2024   50   52
6.38%, 01/15/2040   40   52 PPG Industries Inc        
6.88%, 11/15/2019   40   48 3.60%, 11/15/2020   50   53
8.20%, 01/15/2039   40   61 Praxair Inc        
Coca-Cola Co/The         1.25%, 11/07/2018   1,000   991
1.80%, 09/01/2016   450   457 2.20%, 08/15/2022   50   49
3.15%, 11/15/2020   440   465 Sigma-Aldrich Corp        
Coca-Cola Femsa SAB de CV         3.38%, 11/01/2020   25   26
2.38%, 11/26/2018   40   41     $   8,006
Diageo Capital PLC                  
4.83%, 07/15/2020   50   56 Commercial Services - 0.12%        
5.75%, 10/23/2017   750   829 Lender Processing Services Inc / Black Knight        
Diageo Investment Corp         Lending Solutions Inc        
2.88%, 05/11/2022   30   30 5.75%, 04/15/2023   22   23
Dr Pepper Snapple Group Inc         Massachusetts Institute of Technology        
2.60%, 01/15/2019   30   31 4.68%, 07/01/2114   100   107

 

See accompanying notes.

4

 

Schedule of Investments
Bond Market Index Fund
May 31, 2015 (unaudited)
 
 
  Principal         Principal    
BONDS (continued) Amount (000's)     Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Commercial Services (continued)         Diversified Financial Services - 1.18%        
MasterCard Inc         Air Lease Corp        
2.00%, 04/01/2019 $ 30 $ 30 2.13%, 01/15/2018 $ 775 $ 770
McGraw Hill Financial Inc         3.38%, 01/15/2019   50   51
4.00%, 06/15/2025(d)   350   354 3.75%, 02/01/2022   70   71
6.55%, 11/15/2037   30   35 American Express Co        
Moody's Corp         4.05%, 12/03/2042   500   474
5.25%, 07/15/2044   90   98 7.00%, 03/19/2018   56   64
Western Union Co/The         American Express Credit Corp        
2.88%, 12/10/2017   750   771 1.13%, 06/05/2017   50   50
5.25%, 04/01/2020   30   33 2.25%, 08/15/2019   750   755
Yale University         2.38%, 03/24/2017   500   511
2.09%, 04/15/2019   50   51 2.80%, 09/19/2016   50   51
    $   1,502 Ameriprise Financial Inc        
          4.00%, 10/15/2023   775   829
Computers - 0.57%         Bear Stearns Cos LLC/The        
Apple Inc         5.55%, 01/22/2017   50   53
1.00%, 05/03/2018   500   496 6.40%, 10/02/2017   100   111
1.55%, 02/07/2020   500   493 BlackRock Inc        
2.85%, 05/06/2021   550   565 3.38%, 06/01/2022   30   31
3.20%, 05/13/2025   560   566 5.00%, 12/10/2019   430   486
3.85%, 05/04/2043   550   517 Capital One Bank USA NA        
4.38%, 05/13/2045   80   81 1.15%, 11/21/2016   250   250
Computer Sciences Corp         2.25%, 02/13/2019   400   400
6.50%, 03/15/2018   30   33 Charles Schwab Corp/The        
EMC Corp/MA         3.00%, 03/10/2025   300   300
1.88%, 06/01/2018   550   554 Credit Suisse USA Inc        
Hewlett-Packard Co         5.85%, 08/16/2016   300   318
2.65%, 06/01/2016   530   539 General Electric Capital Corp        
4.65%, 12/09/2021   500   539 2.20%, 01/09/2020   760   770
6.00%, 09/15/2041   30   32 2.30%, 04/27/2017   173   177
International Business Machines Corp         2.30%, 01/14/2019   500   511
1.63%, 05/15/2020   500   492 2.90%, 01/09/2017   750   775
5.70%, 09/14/2017   900   993 2.95%, 05/09/2016   500   511
6.22%, 08/01/2027   200   253 3.15%, 09/07/2022   500   514
7.00%, 10/30/2025   370   487 4.63%, 01/07/2021   50   56
Seagate HDD Cayman         5.38%, 10/20/2016   150   159
4.75%, 06/01/2023   550   572 5.63%, 09/15/2017   500   549
    $   7,212 5.88%, 01/14/2038   1,000   1,255
Consumer Products - 0.01%         6.38%, 11/15/2067(a)   50   55
Clorox Co/The         6.75%, 03/15/2032   250   337
3.80%, 11/15/2021   30   32 HSBC Finance Corp        
Kimberly-Clark Corp         6.68%, 01/15/2021   850   1,000
2.40%, 03/01/2022   30   30 Intercontinental Exchange Inc        
7.50%, 11/01/2018   25   30 4.00%, 10/15/2023   25   27
    $   92 Jefferies Group LLC        
          6.88%, 04/15/2021   280   323
Cosmetics & Personal Care - 0.18%         8.50%, 07/15/2019   33   40
Colgate-Palmolive Co         Legg Mason Inc        
2.45%, 11/15/2021   500   509 5.63%, 01/15/2044   25   28
Procter & Gamble Co/The         National Rural Utilities Cooperative Finance        
2.30%, 02/06/2022   500   503 Corp        
4.70%, 02/15/2019   530   590 2.85%, 01/27/2025   100   99
6.45%, 01/15/2026   500   654 3.05%, 02/15/2022   530   543
    $   2,256 Nomura Holdings Inc        
Credit Card Asset Backed Securities - 0.24%       6.70%, 03/04/2020   500   594
Capital One Multi-Asset Execution Trust         Synchrony Financial        
5.75%, 07/15/2020   100   110 1.88%, 08/15/2017   1,000   1,004
Chase Issuance Trust             $   14,902
1.15%, 01/15/2019   1,000   1,004 Electric - 1.65%        
Citibank Credit Card Issuance Trust         Ameren Illinois Co        
1.11%, 07/23/2018   50   50 2.70%, 09/01/2022   530   531
2.88%, 01/23/2023   605   630 Arizona Public Service Co        
5.30%, 03/15/2018   50   52 3.35%, 06/15/2024   40   41
Discover Card Execution Note Trust         Berkshire Hathaway Energy Co        
1.04%, 04/15/2019   491   492 3.75%, 11/15/2023   750   782
2.12%, 12/15/2021   500   507 6.13%, 04/01/2036   450   546
Synchrony Credit Card Master Note Trust         Commonwealth Edison Co        
1.36%, 08/17/2020   250   250 4.70%, 01/15/2044   150   165
    $   3,095 Consolidated Edison Co of New York Inc        
          6.65%, 04/01/2019   540   635
          6.75%, 04/01/2038   530   726

 

See accompanying notes.

5

 

Schedule of Investments
Bond Market Index Fund
May 31, 2015 (unaudited)
 
 
    Principal         Principal    
BONDS (continued)   Amount (000's)   Value (000's) BONDS (continued) Amount (000's) Value (000's)
 
Electric (continued)         Electric (continued)        
Dominion Resources Inc/VA         Progress Energy Inc        
2.50%, 12/01/2019 $ 300 $ 303 3.15%, 04/01/2022 $ 40 $ 41
4.05%, 09/15/2042   400   377 PSEG Power LLC        
DTE Electric Co         2.75%, 09/15/2016   60   61
3.70%, 03/15/2045   200   190 Public Service Co of Colorado        
Duke Energy Carolinas LLC         3.95%, 03/15/2043   30   30
4.00%, 09/30/2042   30   30 Public Service Electric & Gas Co        
6.00%, 12/01/2028   500   624 3.05%, 11/15/2024   300   304
6.45%, 10/15/2032   500   643 3.50%, 08/15/2020   372   399
Duke Energy Corp         Puget Sound Energy Inc        
2.15%, 11/15/2016   500   509 4.43%, 11/15/2041   30   31
Duke Energy Florida Inc         San Diego Gas & Electric Co        
5.65%, 06/15/2018   30   34 3.60%, 09/01/2023   30   32
Duke Energy Indiana Inc         South Carolina Electric & Gas Co        
4.20%, 03/15/2042   30   31 5.45%, 02/01/2041   40   47
Duke Energy Progress Inc         Southern California Edison Co        
4.38%, 03/30/2044   400   423 1.13%, 05/01/2017   30   30
Empresa Nacional de Electricidad SA/Chile         5.50%, 03/15/2040   350   428
4.25%, 04/15/2024   30   31 5.95%, 02/01/2038   30   38
Entergy Arkansas Inc         Southern Co/The        
3.75%, 02/15/2021   30   32 2.45%, 09/01/2018   540   554
Entergy Corp         Southwestern Electric Power Co        
5.13%, 09/15/2020   30   33 5.88%, 03/01/2018   600   666
Exelon Generation Co LLC         6.20%, 03/15/2040   390   497
4.25%, 06/15/2022   500   514 6.45%, 01/15/2019   30   34
FirstEnergy Solutions Corp         Southwestern Public Service Co        
6.80%, 08/15/2039   530   557 4.50%, 08/15/2041   600   643
Florida Power & Light Co         TransAlta Corp        
2.75%, 06/01/2023   500   500 6.50%, 03/15/2040   30   29
4.05%, 10/01/2044   25   25 Union Electric Co        
5.13%, 06/01/2041   40   47 3.65%, 04/15/2045   500   468
5.63%, 04/01/2034   200   249 Virginia Electric & Power Co        
Georgia Power Co         4.65%, 08/15/2043   300   327
5.65%, 03/01/2037   750   896 Wisconsin Power & Light Co        
Great Plains Energy Inc         4.10%, 10/15/2044   50   51
4.85%, 06/01/2021   30   33     $   20,912
Hydro-Quebec                  
8.05%, 07/07/2024   530   740 Electrical Components & Equipment - 0.01%      
Idaho Power Co         Emerson Electric Co        
3.65%, 03/01/2045   200   189 2.63%, 02/15/2023   30   30
Interstate Power & Light Co         4.88%, 10/15/2019   30   33
3.25%, 12/01/2024   300   308     $   63
Louisville Gas & Electric Co         Electronics - 0.15%        
5.13%, 11/15/2040   330   383 Amphenol Corp        
Mississippi Power Co         1.55%, 09/15/2017   500   502
4.25%, 03/15/2042   30   29 Arrow Electronics Inc        
Nevada Power Co         4.50%, 03/01/2023   30   31
5.45%, 05/15/2041   340   408 Honeywell International Inc        
7.13%, 03/15/2019   434   515 3.35%, 12/01/2023   500   525
NextEra Energy Capital Holdings Inc         Jabil Circuit Inc        
4.50%, 06/01/2021   50   54 4.70%, 09/15/2022   30   31
NiSource Finance Corp         Koninklijke Philips NV        
6.40%, 03/15/2018   215   243 5.00%, 03/15/2042   30   31
Northern States Power Co/MN         5.75%, 03/11/2018   26   29
5.35%, 11/01/2039   30   37 Thermo Fisher Scientific Inc        
Oncor Electric Delivery Co LLC         1.30%, 02/01/2017   60   60
5.25%, 09/30/2040   530   616 4.15%, 02/01/2024   600   630
Pacific Gas & Electric Co         4.70%, 05/01/2020   30   33
3.75%, 02/15/2024   125   131     $   1,872
5.40%, 01/15/2040   30   35          
5.80%, 03/01/2037   500   603 Environmental Control - 0.13%        
8.25%, 10/15/2018   300   362 Republic Services Inc        
PacifiCorp         3.20%, 03/15/2025   300   295
5.65%, 07/15/2018   30   34 5.50%, 09/15/2019   25   29
PECO Energy Co         6.20%, 03/01/2040   255   317
1.20%, 10/15/2016   500   502 Waste Management Inc        
2.38%, 09/15/2022   460   453 3.50%, 05/15/2024   1,000   1,022
Potomac Electric Power Co             $   1,663
3.60%, 03/15/2024   30   31 Federal & Federally Sponsored Credit - 0.09%      
PPL Capital Funding Inc         Federal Farm Credit Banks        
3.50%, 12/01/2022   1,000   1,022 0.54%, 11/07/2016   70   70
          4.88%, 01/17/2017   485   518

 

See accompanying notes.

6

 

Schedule of Investments
Bond Market Index Fund
May 31, 2015 (unaudited)
 
 
    Principal           Principal    
BONDS (continued)                                          Amount (000's)               Value (000's)   BONDS (continued)                                     Amount (000's)               Value (000's)
 
Federal & Federally Sponsored Credit (continued)       Finance - Mortgage Loan/Banker (continued)      
Federal Farm Credit Banks (continued)         Freddie Mac (continued)          
5.13%, 08/25/2016 $ 500 $ 529   6.75%, 03/15/2031   $ 43 $ 64
    $   1,117         $   38,485
 
Finance - Mortgage Loan/Banker - 3.04%       Food- 0.49 %        
Fannie Mae           Campbell Soup Co          
0.00%, 10/09/2019(c)   85   78   4.25%, 04/15/2021     30   33
0.88%, 10/26/2017   1,094   1,095   ConAgra Foods Inc          
0.88%, 12/20/2017   1,000   1,000   3.25%, 09/15/2022     1,030   1,014
0.88%, 12/27/2017   650   649   4.65%, 01/25/2043     30   28
0.88%, 02/08/2018   1,000   999   Delhaize Group SA          
0.88%, 05/21/2018   1,000   995   5.70%, 10/01/2040     30   32
0.95%, 08/23/2017   194   194   General Mills Inc          
1.00%, 12/28/2017   72   72   1.40%, 10/20/2017     550   550
1.05%, 05/25/2018   50   49   3.15%, 12/15/2021     30   31
1.07%, 07/28/2017   450   452   JM Smucker Co/The          
1.07%, 09/27/2017   82   82   3.00%, 03/15/2022(d)     300   301
1.13%, 04/27/2017   1,000   1,009   4.25%, 03/15/2035(d)     300   291
1.13%, 03/28/2018   70   70   Kellogg Co          
1.13%, 04/30/2018   750   749   4.00%, 12/15/2020     780   839
1.25%, 09/28/2016   1,100   1,111   Kraft Foods Group Inc          
1.25%, 01/30/2017   500   505   3.50%, 06/06/2022     500   510
1.38%, 11/15/2016   1,100   1,114   5.38%, 02/10/2020     30   34
1.50%, 06/22/2020   750   746   6.50%, 02/09/2040     30   37
1.63%, 11/27/2018   125   127   Kroger Co/The          
1.75%, 09/12/2019   1,000   1,015   2.95%, 11/01/2021     500   504
1.88%, 09/18/2018   100   102   5.40%, 07/15/2040     30   34
1.88%, 02/19/2019   500   511   Mondelez International Inc          
2.63%, 09/06/2024   500   511   4.00%, 02/01/2024     30   32
5.25%, 09/15/2016   54   57   6.50%, 02/09/2040     530   691
5.38%, 06/12/2017   700   766   Sysco Corp          
5.63%, 07/15/2037   65   89   3.50%, 10/02/2024     500   509
6.00%, 04/18/2036   54   57   Tyson Foods Inc          
6.63%, 11/15/2030   500   730   4.88%, 08/15/2034     700   740
7.13%, 01/15/2030   250   379         $   6,210
7.25%, 05/15/2030   149   227              
Federal Home Loan Banks           Forest Products & Paper - 0.06%          
0.38%, 06/24/2016   500   500   Georgia-Pacific LLC          
0.50%, 09/28/2016   1,000   1,000   7.75%, 11/15/2029     20   28
0.63%, 11/23/2016   1,200   1,202   International Paper Co          
0.88%, 05/24/2017   500   502   7.30%, 11/15/2039     326   411
1.30%, 06/05/2018   500   500   7.95%, 06/15/2018     200   235
1.63%, 06/14/2019   800   811   Plum Creek Timberlands LP          
1.88%, 03/13/2020   500   508   4.70%, 03/15/2021     30   32
2.00%, 09/14/2018   500   515         $   706
4.13%, 03/13/2020   100   112 Gas - 0.15 %        
4.75%, 12/16/2016   1,475   1,570   Atmos Energy Corp          
4.88%, 05/17/2017   60   65   4.13%, 10/15/2044     250   249
5.00%, 11/17/2017   750   826   CenterPoint Energy Inc          
5.50%, 07/15/2036   50   67   6.50%, 05/01/2018     30   34
5.63%, 06/11/2021   65   79   Dominion Gas Holdings LLC          
Freddie Mac           3.55%, 11/01/2023     30   31
0.75%, 01/12/2018   550   548   4.60%, 12/15/2044     500   502
0.88%, 10/14/2016   1,500   1,508   ONE Gas Inc          
0.88%, 02/22/2017   1,500   1,506   3.61%, 02/01/2024     50   53
0.88%, 03/07/2018   1,000   998   Piedmont Natural Gas Co Inc          
1.00%, 03/08/2017   1,500   1,510   4.10%, 09/18/2034     25   26
1.00%, 07/28/2017   500   503   Sempra Energy          
1.00%, 09/29/2017   500   502   2.40%, 03/15/2020     200   201
1.25%, 12/05/2017   2,500   2,500   6.00%, 10/15/2039     634   786
1.25%, 10/02/2019   1,000   991   Southern California Gas Co          
1.38%, 05/01/2020   500   497   4.45%, 03/15/2044     50   54
1.40%, 08/22/2019   163   163         $   1,936
2.00%, 08/25/2016   1,000   1,019              
2.38%, 01/13/2022   500   513   Hand & Machine Tools - 0.02%          
3.00%, 01/18/2028   59   57   Stanley Black & Decker Inc          
3.75%, 03/27/2019   500   545   3.40%, 12/01/2021     250   262
4.88%, 06/13/2018   63   70              
5.00%, 02/16/2017   73   78   Healthcare - Products - 0.28%          
5.13%, 10/18/2016   125   133   Baxter International Inc          
5.13%, 11/17/2017   70   77   0.95%, 06/01/2016     100   100
5.50%, 08/23/2017   169   187   3.20%, 06/15/2023     500   497
6.25%, 07/15/2032   500   719              

 

See accompanying notes.

7

 

Schedule of Investments
Bond Market Index Fund
May 31, 2015 (unaudited)
 
 
      Principal       Principal    
BONDS (continued)     Amount (000's)     Value (000's) BONDS (continued) Amount (000's) Value (000's)
 
Healthcare - Products (continued)         Insurance (continued)        
Baxter International Inc (continued)         CNA Financial Corp        
3.65%, 08/15/2042   $ 530 $ 474 5.75%, 08/15/2021 $ 40 $ 46
Becton Dickinson and Co           First American Financial Corp        
1.45%, 05/15/2017     230   231 4.60%, 11/15/2024   300   310
3.88%, 05/15/2024     30   31 Hartford Financial Services Group Inc/The        
5.00%, 11/12/2040     30   32 6.63%, 03/30/2040   530   689
Boston Scientific Corp           Lincoln National Corp        
6.00%, 01/15/2020     30   34 8.75%, 07/01/2019   430   537
Covidien International Finance SA         Marsh & McLennan Cos Inc        
6.00%, 10/15/2017     30   33 2.35%, 09/10/2019   25   25
Danaher Corp           2.35%, 03/06/2020   200   201
5.63%, 01/15/2018     25   28 MetLife Inc        
Medtronic Inc           4.05%, 03/01/2045   200   191
1.50%, 03/15/2018(d)     250   251 4.72%, 12/15/2044(a)   200   212
3.50%, 03/15/2025(d)     280   287 4.75%, 02/08/2021   750   844
4.38%, 03/15/2035(d)     250   256 6.40%, 12/15/2066(a)   430   492
4.45%, 03/15/2020     30   33 7.72%, 02/15/2019   130   156
4.63%, 03/15/2044     500   524 PartnerRe Finance B LLC        
5.55%, 03/15/2040     40   47 5.50%, 06/01/2020   40   45
Stryker Corp           Progressive Corp/The        
4.38%, 05/15/2044     25   25 3.75%, 08/23/2021   30   32
Zimmer Holdings Inc           4.35%, 04/25/2044   30   32
2.00%, 04/01/2018     200   202 Prudential Financial Inc        
3.15%, 04/01/2022     200   200 5.70%, 12/14/2036   480   551
4.45%, 08/15/2045     300   290 7.38%, 06/15/2019   500   599
      $   3,575 Reinsurance Group of America Inc        
            4.70%, 09/15/2023   30   33
Healthcare - Services - 0.32%         Travelers Cos Inc/The        
Aetna Inc           6.25%, 06/15/2037   533   699
1.50%, 11/15/2017     530   532 Unum Group        
6.63%, 06/15/2036     13   16 7.13%, 09/30/2016   30   32
Anthem Inc           Voya Financial Inc        
3.50%, 08/15/2024     450   453 5.50%, 07/15/2022   30   34
4.65%, 01/15/2043     30   31 XLIT Ltd        
4.65%, 08/15/2044     350   355 2.30%, 12/15/2018   500   507
Cigna Corp               $   10,377
4.00%, 02/15/2022     600   641          
Humana Inc           Internet - 0.20%        
2.63%, 10/01/2019     20   20 Alibaba Group Holding Ltd        
4.63%, 12/01/2042     500   499 3.60%, 11/28/2024(d)   1,000   987
Memorial Sloan-Kettering Cancer Center         Amazon.com Inc        
4.20%, 07/01/2055     250   238 2.50%, 11/29/2022   40   39
Quest Diagnostics Inc           2.60%, 12/05/2019   500   509
4.75%, 01/30/2020     12   13 eBay Inc        
UnitedHealth Group Inc           2.60%, 07/15/2022   450   429
4.70%, 02/15/2021     500   562 Google Inc        
6.50%, 06/15/2037     500   668 3.63%, 05/19/2021   40   43
      $   4,028 Symantec Corp        
            2.75%, 06/15/2017   500   507
Housewares - 0.02%               $   2,514
Newell Rubbermaid Inc                    
2.88%, 12/01/2019     200   204 Iron & Steel - 0.08%        
            Nucor Corp        
            4.00%, 08/01/2023   250   260
Insurance - 0.82%                  
ACE INA Holdings Inc            Vale Overseas Ltd        
5.90%, 06/15/2019     30   34 5.63%, 09/15/2019   380   407
            6.88%, 11/10/2039   50   49
Aflac Inc           Vale SA        
3.63%, 11/15/2024     300   308          
6.45%, 08/15/2040     30   38 5.63%, 09/11/2042   350   306
American International Group Inc             $   1,022
3.88%, 01/15/2035     300   284 Leisure Products & Services - 0.00%        
4.88%, 06/01/2022     850   949 Carnival Corp        
6.25%, 05/01/2036     100   123 3.95%, 10/15/2020   25   27
Aon Corp                    
5.00%, 09/30/2020     480   535          
AXA SA           Lodging - 0.00%        
8.60%, 12/15/2030     30   42 Wyndham Worldwide Corp        
Berkshire Hathaway Finance Corp         3.90%, 03/01/2023   25   25
1.60%, 05/15/2017     400   406          
4.25%, 01/15/2021     350   387 Machinery - Construction & Mining - 0.13%      
5.75%, 01/15/2040     450   562 Caterpillar Financial Services Corp        
Chubb Corp/The           1.63%, 06/01/2017   30   30
6.50%, 05/15/2038     326   442          

 

See accompanying notes.

8

 

Schedule of Investments
Bond Market Index Fund
May 31, 2015 (unaudited)
 
 
      Principal           Principal    
  BONDS (continued)                                      Amount (000's)                  Value (000's) BONDS (continued)     Amount (000's)              Value (000's)
 
  Machinery - Construction & Mining (continued)       Media (continued)          
  Caterpillar Financial Services           Walt Disney Co/The          
  Corp (continued)           1.35%, 08/16/2016   $ 30 $ 30
  2.45%, 09/06/2018   $ 500 $ 514 3.75%, 06/01/2021     525   571
  5.45%, 04/15/2018     500   556 7.00%, 03/01/2032     30   43
  7.15%, 02/15/2019     25   30       $   13,252
  Caterpillar Inc                      
  3.40%, 05/15/2024     500   519 Metal Fabrication & Hardware - 0.00%          
  3.80%, 08/15/2042     50   47 Precision Castparts Corp          
        $   1,696 1.25%, 01/15/2018     30   30
 
  Machinery - Diversified - 0.12%           Mining - 0.41%          
  Cummins Inc           Barrick North America Finance LLC          
  4.88%, 10/01/2043     25   28            
  John Deere Capital Corp           5.75%, 05/01/2043     280   283
              Barrick PD Australia Finance Pty Ltd          
  1.20%, 10/10/2017     30   30 4.95%, 01/15/2020     180   195
  1.55%, 12/15/2017     25   25            
  2.25%, 06/07/2016     339   345 BHP Billiton Finance USA Ltd          
              2.05%, 09/30/2018     250   255
  2.75%, 03/15/2022     530   535 5.00%, 09/30/2043     500   541
  3.35%, 06/12/2024     300   311            
  Rockwell Automation Inc           Freeport-McMoRan Inc          
              2.15%, 03/01/2017     630   632
  6.25%, 12/01/2037     129   169 4.00%, 11/14/2021     500   496
  Roper Technologies Inc                      
  1.85%, 11/15/2017     30   30 Goldcorp Inc          
              3.63%, 06/09/2021     30   30
        $   1,473 Newmont Mining Corp          
Media- 1.05 %         3.50%, 03/15/2022     500   491
  21st Century Fox America Inc           5.13%, 10/01/2019     50   55
  3.00%, 09/15/2022     40   40 Rio Tinto Alcan Inc          
  4.50%, 02/15/2021     500   549 5.75%, 06/01/2035     400   463
  6.40%, 12/15/2035     50   62 6.13%, 12/15/2033     30   35
  7.85%, 03/01/2039     500   712 Rio Tinto Finance USA Ltd          
  CBS Corp           3.75%, 09/20/2021     400   419
  3.70%, 08/15/2024     500   496 6.50%, 07/15/2018     412   470
  5.75%, 04/15/2020     530   605 Southern Copper Corp          
  7.88%, 07/30/2030     30   40 5.38%, 04/16/2020     40   44
  Comcast Corp           5.88%, 04/23/2045     350   342
  3.13%, 07/15/2022     575   582 6.75%, 04/16/2040     100   106
  3.38%, 02/15/2025     600   609 Teck Resources Ltd          
  4.50%, 01/15/2043     25   25 6.25%, 07/15/2041     300   267
  4.60%, 08/15/2045     270   280       $   5,124
  5.65%, 06/15/2035     500   590            
  5.70%, 05/15/2018     100   113 Miscellaneous Manufacturing - 0.24%          
  6.30%, 11/15/2017     500   561 3M Co        
              1.38%, 09/29/2016     25   25
  6.40%, 03/01/2040     500   644 2.00%, 06/26/2022     500   490
  6.45%, 03/15/2037     60   76            
            5.70%, 03/15/2037     30   38
   DIRECTV Holdings LLC / DIRECTV           Dover Corp          
  Financing Co Inc           5.38%, 03/01/2041     30   35
  3.80%, 03/15/2022     530   545            
  3.95%, 01/15/2025     500   505 Eaton Corp          
              1.50%, 11/02/2017     500   502
  5.88%, 10/01/2019     520   594 2.75%, 11/02/2022     20   20
  Discovery Communications LLC                      
  5.05%, 06/01/2020     430   478 4.15%, 11/02/2042     20   20
              General Electric Co          
  6.35%, 06/01/2040     40   46 4.50%, 03/11/2044     500   532
  RELX Capital Inc                      
  3.13%, 10/15/2022     16   16 Illinois Tool Works Inc          
   Scripps Networks Interactive Inc           0.90%, 02/25/2017     780   782
  3.95%, 06/15/2025 (e)     350   352 Ingersoll-Rand Luxembourg Finance SA          
              2.63%, 05/01/2020     500   503
  Thomson Reuters Corp           Parker-Hannifin Corp          
  3.95%, 09/30/2021     200   213 3.50%, 09/15/2022     30   32
  5.85%, 04/15/2040     30   34            
  Time Warner Cable Inc           Tyco Electronics Group SA          
  4.50%, 09/15/2042     500   434 7.13%, 10/01/2037     37   50
  7.30%, 07/01/2038     60   70       $   3,029
  8.75%, 02/14/2019     830   990 Mortgage Backed Securities - 2.20%          
  Time Warner Inc           Banc of America Commercial Mortgage Trust          
  3.55%, 06/01/2024     500   501 2006-3          
  4.88%, 03/15/2020     430   476 5.89%, 07/10/2044     41   43
  6.20%, 03/15/2040     430   509 Banc of America Commercial Mortgage Trust          
  Viacom Inc           2007-1          
  2.50%, 12/15/2016     30   31 5.45%, 01/15/2049     909   962
  3.88%, 12/15/2021     530   547 Banc of America Commercial Mortgage Trust          
  4.38%, 03/15/2043     330   283 2007-2          
              5.61%, 04/10/2049(a)     350   368

 

See accompanying notes.

9

 

Schedule of Investments
Bond Market Index Fund
May 31, 2015 (unaudited)
 
 
    Principal           Principal    
BONDS (continued)   Amount (000's)           Value (000's)   BONDS (continued)   Amount (000's)    Value (000's)
 
Mortgage Backed Securities (continued)           Mortgage Backed Securities (continued)        
Banc of America Commercial Mortgage Trust           GS Mortgage Securities Trust 2011-GC5        
2007-2 (continued)           3.00%, 08/10/2044 $ 62 $ 63
5.63%, 04/10/2049 $ 15 $ 15   3.71%, 08/10/2044   375   403
Banc of America Merrill Lynch Commercial           GS Mortgage Securities Trust 2013-GCJ14        
Mortgage Inc           4.24%, 08/10/2046(a)   50   56
5.16%, 09/10/2047(a)   79   80   GS Mortgage Securities Trust 2015-GC28        
Bear Stearns Commercial Mortgage Securities           3.40%, 02/10/2048(a)   600   621
Trust 2006-PWR12           JP Morgan Chase Commercial Mortgage        
5.70%, 09/11/2038(a)   1   1   Securities Trust 2006-CIBC16        
Bear Stearns Commercial Mortgage Securities           5.55%, 05/12/2045   485   499
Trust 2006-PWR13           JP Morgan Chase Commercial Mortgage        
5.54%, 09/11/2041   12   12   Securities Trust 2006-LDP7        
Bear Stearns Commercial Mortgage Securities           5.91%, 04/15/2045(a)   100   104
Trust 2006-TOP24           JP Morgan Chase Commercial Mortgage        
5.54%, 10/12/2041   434   453   Securities Trust 2006-LDP8        
CD 2006-CD3 Mortgage Trust           5.40%, 05/15/2045(a)   452   468
5.62%, 10/15/2048   4   4   JP Morgan Chase Commercial Mortgage        
CD 2007-CD4 Commercial Mortgage Trust           Securities Trust 2007-LDP10        
5.32%, 12/11/2049   348   364   5.42%, 01/15/2049   125   131
Citigroup Commercial Mortgage Trust 2008-           JPMBB Commercial Mortgage Securities        
C7           Trust 2013-C14        
6.14%, 12/10/2049(a)   32   35   4.41%, 08/15/2046   500   552
Citigroup Commercial Mortgage Trust 2013-           JPMBB Commercial Mortgage Securities        
GC15           Trust 2014-C18        
4.37%, 09/10/2046   500   559   4.08%, 02/15/2047(a)   50   54
COMM 2012-CCRE2 Mortgage Trust           JPMBB Commercial Mortgage Securities        
3.79%, 08/15/2045   200   213   Trust 2014-C19        
COMM 2012-CCRE4 Mortgage Trust           3.67%, 04/15/2047   500   529
3.25%, 10/15/2045   500   514 LB -UBS Commercial Mortgage Trust 2006-        
COMM 2013-CCRE6 Mortgage Trust           C3        
3.10%, 03/10/2046(a)   500   516   5.66%, 03/15/2039   100   103
COMM 2013-CCRE9 Mortgage Trust         LB -UBS Commercial Mortgage Trust 2006-        
1.34%, 07/10/2045   444   445   C7        
COMM 2014-CCRE15 Mortgage Trust           5.35%, 11/15/2038   400   420
4.07%, 02/10/2047   500   548 LB -UBS Commercial Mortgage Trust 2007-        
COMM 2014-LC15 Mortgage Trust           C6        
4.20%, 04/10/2047   350   381   5.86%, 07/15/2040(a)   7   7
COMM 2014-UBS3 Mortgage Trust         LB -UBS Commercial Mortgage Trust 2007-        
3.82%, 06/10/2047   550   587   C7        
COMM 2015-LC19 Mortgage Trust           5.87%, 09/15/2045(a)   374   409
3.18%, 02/10/2048(a)   500   511   Merrill Lynch Mortgage Trust 2006-C2        
Commercial Mortgage Loan Trust 2008-LS1           5.74%, 08/12/2043   21   22
6.04%, 12/10/2049(a)   15   16 ML -CFC Commercial Mortgage Trust 2006-        
Commercial Mortgage Trust 2007-GG9           3        
5.44%, 03/10/2039(a)   129   136   5.41%, 07/12/2046   1,017   1,056
Credit Suisse Commercial Mortgage Trust         ML -CFC Commercial Mortgage Trust 2006-        
Series 2006-C4           4        
5.47%, 09/15/2039   245   254   5.17%, 12/12/2049   437   456
Credit Suisse Commercial Mortgage Trust           Morgan Stanley Bank of America Merrill        
Series 2007-C2           Lynch Trust 2013-C11        
5.54%, 01/15/2049   500   529   3.09%, 08/15/2046(a)   100   105
Fannie Mae-Aces           Morgan Stanley Bank of America Merrill        
2.30%, 09/25/2022   465   465   Lynch Trust 2013-C12        
2.48%, 04/25/2022   500   507   4.26%, 10/15/2046   500   555
2.50%, 04/25/2023(a)   391   395   Morgan Stanley Bank of America Merrill        
2.51%, 11/25/2022   1,000   1,008   Lynch Trust 2014-C14        
2.53%, 09/25/2024   500   496   3.67%, 02/15/2047   500   528
3.12%, 08/25/2024(a)   996   1,039   Morgan Stanley Bank of America Merrill        
3.46%, 01/25/2024(a)   100   106   Lynch Trust 2014-C15        
4.33%, 03/25/2020   110   121   4.05%, 04/15/2047   580   634
FHLMC Multifamily Structured Pass Through           Morgan Stanley Bank of America Merrill        
Certificates           Lynch Trust 2015-C20        
2.08%, 12/25/2019(a)   29   29   3.25%, 02/15/2048(a)   500   512
2.87%, 12/25/2021   350   365   Morgan Stanley Capital I Trust 2006-HQ8        
3.02%, 02/25/2023(a)   110   115   5.42%, 03/12/2044(a)   24   24
3.06%, 07/25/2023(a)   150   157   Morgan Stanley Capital I Trust 2006-IQ12        
3.30%, 04/25/2023   500   532   5.33%, 12/15/2043   350   365
3.53%, 06/25/2020   335   360   Morgan Stanley Capital I Trust 2007-IQ13        
3.53%, 10/25/2023   500   539   5.36%, 03/15/2044(a)   290   307
4.33%, 10/25/2020   500   559   Morgan Stanley Capital I Trust 2007-IQ14        
GS Mortgage Securities Trust 2007-GG10           5.61%, 04/15/2049   75   76
5.79%, 08/10/2045(a)   65   70            

 

See accompanying notes.

10

 

Schedule of Investments
Bond Market Index Fund
May 31, 2015 (unaudited)
 
 
      Principal         Principal    
BONDS (continued)     Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Mortgage Backed Securities (continued)           Oil & Gas (continued)        
Morgan Stanley Capital I Trust 2007-TOP25           CNOOC Nexen Finance 2014        
5.51%, 11/12/2049   $ 979 $ 1,034 ULC (continued)        
UBS Commercial Mortgage Trust 2012-C1           4.25%, 04/30/2024 $ 500 $ 526
3.00%, 05/10/2045     37   38 ConocoPhillips        
3.40%, 05/10/2045(a)     71   75 1.05%, 12/15/2017   100   100
UBS-Barclays Commercial Mortgage Trust           2.88%, 11/15/2021   300   306
2012 -C3         6.00%, 01/15/2020   500   585
3.09%, 08/10/2049(a)     50   52 6.50%, 02/01/2039   490   633
UBS-Barclays Commercial Mortgage Trust           Continental Resources Inc/OK        
2012 -C4         4.50%, 04/15/2023   530   522
2.85%, 12/10/2045(a)     100   102 Devon Energy Corp        
Wachovia Bank Commercial Mortgage Trust           5.60%, 07/15/2041   495   544
Series 2005-C22           6.30%, 01/15/2019   445   506
5.27%, 12/15/2044(a)     10   10 Ecopetrol SA        
Wachovia Bank Commercial Mortgage Trust           5.88%, 09/18/2023   1,040   1,117
Series 2006-C26           Encana Corp        
6.01%, 06/15/2045     300   309 3.90%, 11/15/2021   540   561
Wachovia Bank Commercial Mortgage Trust           EOG Resources Inc        
Series 2006-C27           2.63%, 03/15/2023   480   474
5.80%, 07/15/2045     100   105 4.40%, 06/01/2020   40   44
Wachovia Bank Commercial Mortgage Trust           EQT Corp        
Series 2007-C34           6.50%, 04/01/2018   30   33
5.68%, 05/15/2046(a)     100   107 Exxon Mobil Corp        
WFRBS Commercial Mortgage Trust 2012-           0.92%, 03/15/2017   330   331
C7           1.31%, 03/06/2018   200   200
2.30%, 06/15/2045     792   800 2.71%, 03/06/2025   200   199
WFRBS Commercial Mortgage Trust 2012-           Hess Corp        
C9           1.30%, 06/15/2017   500   497
3.39%, 11/15/2045     500   520 7.30%, 08/15/2031   540   657
WFRBS Commercial Mortgage Trust 2013-           Husky Energy Inc        
C14           4.00%, 04/15/2024   100   102
3.34%, 06/15/2046     500   523 Kerr-McGee Corp        
WFRBS Commercial Mortgage Trust 2014-           6.95%, 07/01/2024   400   499
C20           Marathon Oil Corp        
4.00%, 05/15/2047     500   544 5.90%, 03/15/2018   30   33
WFRBS Commercial Mortgage Trust 2014-           Marathon Petroleum Corp        
LC14           5.00%, 09/15/2054   200   192
1.19%, 03/15/2047     100   100 Murphy Oil Corp        
      $   27,787 3.70%, 12/01/2022   40   38
            Nabors Industries Inc        
Office & Business Equipment - 0.06%           2.35%, 09/15/2016   530   532
Pitney Bowes Inc           Nexen Energy ULC        
5.75%, 09/15/2017     29   31 6.40%, 05/15/2037   230   282
Xerox Corp           7.50%, 07/30/2039   39   54
4.50%, 05/15/2021     30   32 Noble Energy Inc        
5.63%, 12/15/2019     350   395 4.15%, 12/15/2021   750   792
6.75%, 12/15/2039     250   288 Noble Holding International Ltd        
      $   746 6.20%, 08/01/2040   65   59
Oil & Gas - 2.44%           Occidental Petroleum Corp        
Anadarko Petroleum Corp           4.13%, 06/01/2016   390   403
5.95%, 09/15/2016     375   397 Petrobras Global Finance BV        
6.20%, 03/15/2040     430   502 4.38%, 05/20/2023   80   71
Apache Corp           4.88%, 03/17/2020   300   291
3.63%, 02/01/2021     530   554 6.13%, 10/06/2016   500   516
4.75%, 04/15/2043     280   271 6.88%, 01/20/2040   65   61
BP Capital Markets PLC           7.25%, 03/17/2044   500   493
1.85%, 05/05/2017     600   609 7.88%, 03/15/2019   550   592
2.52%, 01/15/2020     500   510 Petro-Canada        
3.25%, 05/06/2022     640   650 6.80%, 05/15/2038   534   691
4.75%, 03/10/2019     170   188 Petroleos Mexicanos        
Canadian Natural Resources Ltd           4.25%, 01/15/2025(d)   50   50
1.75%, 01/15/2018     300   298 4.88%, 01/24/2022   80   84
3.80%, 04/15/2024     750   754 5.50%, 06/27/2044   30   29
Cenovus Energy Inc           5.63%, 01/23/2046(d)   800   791
5.70%, 10/15/2019     290   326 5.75%, 03/01/2018   1,600   1,760
Chevron Corp           6.63%, 06/15/2035   750   842
0.89%, 06/24/2016     50   50 Phillips 66        
1.35%, 11/15/2017     300   302 4.88%, 11/15/2044   500   505
2.19%, 11/15/2019     350   356 5.88%, 05/01/2042   30   34
2.43%, 06/24/2020     290   296 Pioneer Natural Resources Co        
CNOOC Nexen Finance 2014 ULC           3.95%, 07/15/2022   30   31
1.63%, 04/30/2017     200   200          

 

See accompanying notes.

11

 

Schedule of Investments
Bond Market Index Fund
May 31, 2015 (unaudited)
 
 
    Principal         Principal    
BONDS (continued)   Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Oil & Gas (continued)         Pharmaceuticals (continued)        
Pride International Inc         Bristol-Myers Squibb Co        
7.88%, 08/15/2040 $ 1,000 $ 1,142 3.25%, 08/01/2042 $ 515 $ 451
Rowan Cos Inc         Cardinal Health Inc        
5.00%, 09/01/2017   30   31 1.90%, 06/15/2017   400   405
Shell International Finance BV         4.60%, 03/15/2043   430   437
0.90%, 11/15/2016   30   30 Eli Lilly & Co        
3.25%, 05/11/2025   280   284 5.50%, 03/15/2027   530   658
4.13%, 05/11/2035   60   61 Express Scripts Holding Co        
4.38%, 03/25/2020   565   625 3.13%, 05/15/2016   30   31
4.38%, 05/11/2045   500   512 3.90%, 02/15/2022   500   521
5.50%, 03/25/2040   430   511 4.75%, 11/15/2021   50   55
Statoil ASA         GlaxoSmithKline Capital Inc        
1.25%, 11/09/2017   750   751 5.65%, 05/15/2018   430   483
2.25%, 11/08/2019   500   508 6.38%, 05/15/2038   430   559
3.15%, 01/23/2022   300   309 Johnson & Johnson        
5.25%, 04/15/2019   58   65 4.85%, 05/15/2041   450   528
Suncor Energy Inc         5.55%, 08/15/2017   30   33
6.85%, 06/01/2039   13   17 5.95%, 08/15/2037   75   99
Talisman Energy Inc         McKesson Corp        
6.25%, 02/01/2038   30   31 1.29%, 03/10/2017   500   501
Total Capital International SA         2.70%, 12/15/2022   500   487
2.13%, 01/10/2019   400   407 4.75%, 03/01/2021   100   110
2.88%, 02/17/2022   400   406 Mead Johnson Nutrition Co        
Total Capital SA         4.60%, 06/01/2044   30   30
4.25%, 12/15/2021   550   609 Merck & Co Inc        
Valero Energy Corp         1.10%, 01/31/2018   500   501
9.38%, 03/15/2019   500   623 6.55%, 09/15/2037   290   392
    $   30,847 Merck Sharp & Dohme Corp        
          5.00%, 06/30/2019   530   596
Oil & Gas Services - 0.08%         Mylan Inc        
Baker Hughes Inc         4.20%, 11/29/2023   30   31
7.50%, 11/15/2018   34   41 Novartis Capital Corp        
Cameron International Corp         3.40%, 05/06/2024   500   521
6.38%, 07/15/2018   30   33 4.40%, 04/24/2020   30   34
Halliburton Co         4.40%, 05/06/2044   30   32
3.25%, 11/15/2021   530   551 Novartis Securities Investment Ltd        
7.45%, 09/15/2039   26   36 5.13%, 02/10/2019   500   560
Weatherford International Ltd/Bermuda         Perrigo Co PLC        
6.00%, 03/15/2018   34   36 5.30%, 11/15/2043   500   532
6.75%, 09/15/2040   380   366 Pfizer Inc        
    $   1,063 3.40%, 05/15/2024   100   102
Packaging & Containers - 0.00%         4.30%, 06/15/2043   200   201
MeadWestvaco Corp         6.20%, 03/15/2019   380   440
7.38%, 09/01/2019   25   30 Teva Pharmaceutical Finance IV BV        
Packaging Corp of America         3.65%, 11/10/2021   750   778
4.50%, 11/01/2023   25   26 Wyeth LLC        
    $   56 6.50%, 02/01/2034   500   653
          Zoetis Inc        
Pharmaceuticals - 1.28%         3.25%, 02/01/2023   40   39
Abbott Laboratories             $   16,223
2.00%, 03/15/2020   300   302          
5.13%, 04/01/2019   30   34 Pipelines - 0.81%        
AbbVie Inc         Boardwalk Pipelines LP        
1.80%, 05/14/2018   570   571 3.38%, 02/01/2023   30   28
2.50%, 05/14/2020   170   170 Buckeye Partners LP        
2.90%, 11/06/2022   550   542 4.35%, 10/15/2024   25   25
3.60%, 05/14/2025   150   151 Enbridge Energy Partners LP        
4.50%, 05/14/2035   220   222 5.20%, 03/15/2020   24   26
4.70%, 05/14/2045   320   325 Energy Transfer Partners LP        
Actavis Funding SCS         4.05%, 03/15/2025   300   293
1.85%, 03/01/2017   300   302 6.50%, 02/01/2042   530   585
3.00%, 03/12/2020   685   694 9.00%, 04/15/2019   16   20
3.80%, 03/15/2025   520   524 Enterprise Products Operating LLC        
4.55%, 03/15/2035   170   169 1.65%, 05/07/2018   175   175
Actavis Inc         3.75%, 02/15/2025   500   509
1.88%, 10/01/2017   500   501 4.85%, 08/15/2042   400   402
6.13%, 08/15/2019   34   39 5.20%, 09/01/2020   430   485
AmerisourceBergen Corp         6.88%, 03/01/2033   39   49
3.40%, 05/15/2024   30   31 8.38%, 08/01/2066   100   105
AstraZeneca PLC         Kinder Morgan Energy Partners LP        
4.00%, 09/18/2042   300   293 3.50%, 09/01/2023   390   377
5.90%, 09/15/2017   500   553 4.70%, 11/01/2042   20   18
          6.38%, 03/01/2041   380   403

 

See accompanying notes.

12

 

Schedule of Investments
Bond Market Index Fund
May 31, 2015 (unaudited)
 
 
    Principal             Principal    
BONDS (continued)   Amount (000's) Value (000's)   BONDS (continued)     Amount (000's) Value (000's)
 
Pipelines (continued)         REITS- 0.70 %        
Kinder Morgan Energy Partners           American Tower Corp          
LP (continued)           4.70%, 03/15/2022   $ 50 $ 53
6.95%, 01/15/2038 $ 383 $ 429   5.90%, 11/01/2021     500   568
Kinder Morgan Inc/DE           AvalonBay Communities Inc          
3.05%, 12/01/2019   400   402   2.85%, 03/15/2023     30   29
5.05%, 02/15/2046   300   275   3.63%, 10/01/2020     100   106
Magellan Midstream Partners LP           BioMed Realty LP          
4.25%, 02/01/2021   750   804   6.13%, 04/15/2020     17   19
ONEOK Partners LP           Boston Properties LP          
6.13%, 02/01/2041   30   30   3.13%, 09/01/2023     20   20
8.63%, 03/01/2019   530   634   5.63%, 11/15/2020     30   35
Plains All American Pipeline LP / PAA           5.88%, 10/15/2019     430   492
Finance Corp           Camden Property Trust          
4.30%, 01/31/2043   100   91   3.50%, 09/15/2024     25   25
4.70%, 06/15/2044   30   29   CBL & Associates LP          
8.75%, 05/01/2019   170   210   5.25%, 12/01/2023     200   210
Regency Energy Partners LP / Regency           CubeSmart LP          
Energy Finance Corp           4.38%, 12/15/2023     30   32
5.00%, 10/01/2022   350   366   DDR Corp          
Southern Natural Gas Co LLC           4.63%, 07/15/2022     130   139
5.90%, 04/01/2017(a),(d)   750   803   Duke Realty LP          
Spectra Energy Capital LLC           3.75%, 12/01/2024     300   305
8.00%, 10/01/2019   30   36   3.88%, 10/15/2022     530   549
Spectra Energy Partners LP           EPR Properties          
4.75%, 03/15/2024   30   33   7.75%, 07/15/2020     30   36
Sunoco Logistics Partners Operations LP           ERP Operating LP          
5.50%, 02/15/2020   30   33   2.38%, 07/01/2019     300   303
Tennessee Gas Pipeline Co LLC           5.75%, 06/15/2017     100   109
7.50%, 04/01/2017   30   33   Federal Realty Investment Trust          
TransCanada PipeLines Ltd           4.50%, 12/01/2044     300   306
3.75%, 10/16/2023   30   31   HCP Inc          
6.10%, 06/01/2040   30   36   3.75%, 02/01/2019     400   421
6.50%, 08/15/2018   30   34   3.88%, 08/15/2024     200   201
7.25%, 08/15/2038   750   1,019   4.20%, 03/01/2024     200   205
Williams Cos Inc/The           6.70%, 01/30/2018     39   44
7.50%, 01/15/2031   29   33   Health Care REIT Inc          
Williams Partners LP           2.25%, 03/15/2018     500   507
3.90%, 01/15/2025   500   493   4.50%, 01/15/2024     30   32
4.00%, 09/15/2025   50   49   Highwoods Realty LP          
5.10%, 09/15/2045   220   208   3.20%, 06/15/2021     30   30
5.25%, 03/15/2020   530   589   Hospitality Properties Trust          
6.30%, 04/15/2040   30   33   4.65%, 03/15/2024     40   41
    $   10,233   Host Hotels & Resorts LP          
            6.00%, 10/01/2021     30   34
Real Estate - 0.06%           Kimco Realty Corp          
Brookfield Asset Management Inc           3.20%, 05/01/2021     750   766
4.00%, 01/15/2025   300   301   Liberty Property LP          
Prologis LP           3.38%, 06/15/2023     40   39
2.75%, 02/15/2019   390   399   Omega Healthcare Investors Inc          
    $   700   4.95%, 04/01/2024     30   31
Regional Authority - 0.32%           Realty Income Corp          
Province of British Columbia Canada           3.25%, 10/15/2022     500   496
2.65%, 09/22/2021   400   416   4.13%, 10/15/2026     20   21
6.50%, 01/15/2026   45   60   5.88%, 03/15/2035     40   46
Province of Manitoba Canada           Simon Property Group LP          
1.75%, 05/30/2019   500   505   2.15%, 09/15/2017     50   51
3.05%, 05/14/2024   30   31   2.20%, 02/01/2019     500   508
Province of Ontario Canada           2.75%, 02/01/2023     250   247
1.10%, 10/25/2017   500   501   4.75%, 03/15/2042     164   177
3.20%, 05/16/2024   440   466   Tanger Properties LP          
4.00%, 10/07/2019   400   440   3.75%, 12/01/2024     300   303
4.95%, 11/28/2016   400   425   Ventas Realty LP          
Province of Quebec Canada           3.75%, 05/01/2024     500   506
2.75%, 08/25/2021   540   560   Weingarten Realty Investors          
2.88%, 10/16/2024   500   516   3.38%, 10/15/2022     120   118
7.50%, 09/15/2029   36   54   Weyerhaeuser Co          
Province of Saskatchewan Canada           7.38%, 10/01/2019     500   597
8.50%, 07/15/2022   17   23   7.38%, 03/15/2032     30   38
    $   3,997         $   8,795
            Retail - 0.79%          
            AutoZone Inc          
            1.30%, 01/13/2017     530   531

 

See accompanying notes.

13

 

Schedule of Investments
Bond Market Index Fund
May 31, 2015 (unaudited)
 
 
    Principal         Principal    
BONDS (continued)   Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Retail (continued)         Software (continued)        
Costco Wholesale Corp         Microsoft Corp        
1.75%, 02/15/2020 $ 250 $ 249 1.85%, 02/12/2020 $ 500 $ 503
CVS Health Corp         3.50%, 11/15/2042   350   314
1.20%, 12/05/2016   500   503 3.63%, 12/15/2023   550   585
5.75%, 06/01/2017   39   43 4.00%, 02/12/2055   500   457
6.13%, 09/15/2039   300   377 4.20%, 06/01/2019   50   55
Dollar General Corp         Oracle Corp        
1.88%, 04/15/2018   30   30 2.38%, 01/15/2019   600   614
Gap Inc/The         3.40%, 07/08/2024   550   564
5.95%, 04/12/2021   30   35 3.90%, 05/15/2035   130   126
Home Depot Inc/The         4.38%, 05/15/2055   150   145
5.88%, 12/16/2036   550   679 5.38%, 07/15/2040   550   627
Kohl's Corp         5.75%, 04/15/2018   500   561
4.00%, 11/01/2021   30   32     $   5,112
Lowe's Cos Inc                  
3.88%, 09/15/2023   30   32 Sovereign - 2.02%        
4.25%, 09/15/2044   450   459 Brazilian Government International Bond        
6.65%, 09/15/2037   33   44 4.25%, 01/07/2025   330   325
Macy's Retail Holdings Inc         4.88%, 01/22/2021   700   744
5.13%, 01/15/2042   250   271 5.63%, 01/07/2041   500   507
6.90%, 04/01/2029   510   648 8.00%, 01/15/2018   100   108
McDonald's Corp         11.00%, 08/17/2040   333   340
3.25%, 06/10/2024   175   177 10.13%, 05/15/2027   300   457
3.63%, 05/20/2021   750   799 Canada Government International Bond        
5.00%, 02/01/2019   100   111 0.88%, 02/14/2017   600   602
QVC Inc         1.13%, 03/19/2018   200   201
3.13%, 04/01/2019   30   30 Colombia Government International Bond        
Staples Inc         11.75%, 02/25/2020   300   411
4.38%, 01/12/2023   120   120 10.38%, 01/28/2033   700   1,088
Starbucks Corp         Export Development Canada        
0.88%, 12/05/2016   25   25 0.63%, 12/15/2016   50   50
Target Corp         1.75%, 08/19/2019   50   51
3.88%, 07/15/2020   500   544 Export-Import Bank of Korea        
4.00%, 07/01/2042   500   487 5.00%, 04/11/2022   500   571
TJX Cos Inc/The         Israel Government AID Bond        
2.75%, 06/15/2021   25   26 5.50%, 09/18/2023   65   80
Walgreen Co         5.50%, 04/26/2024   65   81
5.25%, 01/15/2019   30   33 5.50%, 09/18/2033   33   44
Walgreens Boots Alliance Inc         Israel Government International Bond        
1.75%, 11/17/2017   400   403 5.13%, 03/26/2019   500   565
3.80%, 11/18/2024   500   503 Italy Government International Bond        
Wal-Mart Stores Inc         5.38%, 06/15/2033   40   47
3.25%, 10/25/2020   550   585 6.88%, 09/27/2023   550   701
3.30%, 04/22/2024   550   568 Japan Bank for International        
5.63%, 04/15/2041   450   545 Cooperation/Japan        
6.50%, 08/15/2037   550   732 1.13%, 07/19/2017   500   502
6.75%, 10/15/2023   250   321 2.13%, 02/10/2025   300   295
Yum! Brands Inc         3.00%, 05/29/2024   300   315
6.25%, 03/15/2018   17   19 Mexico Government International Bond        
6.88%, 11/15/2037   17   20 3.60%, 01/30/2025   280   282
    $   9,981 3.63%, 03/15/2022   570   583
          4.60%, 01/23/2046   200   197
Semiconductors - 0.20%         4.75%, 03/08/2044   210   212
Intel Corp         5.63%, 01/15/2017   1,300   1,392
3.30%, 10/01/2021   550   582 5.75%, 10/12/2110   500   521
4.00%, 12/15/2032   500   505 6.75%, 09/27/2034   500   656
KLA-Tencor Corp         8.30%, 08/15/2031   97   147
3.38%, 11/01/2019   300   309 Panama Government International Bond        
QUALCOMM Inc         3.75%, 03/16/2025   250   251
2.25%, 05/20/2020   250   250 8.88%, 09/30/2027   570   824
3.45%, 05/20/2025   180   179 Peruvian Government International Bond        
4.65%, 05/20/2035   70   70 5.63%, 11/18/2050   800   940
4.80%, 05/20/2045   110   110 Philippine Government International Bond        
Texas Instruments Inc         4.00%, 01/15/2021   750   819
0.88%, 03/12/2017   550   551 6.38%, 10/23/2034   510   706
    $   2,556 7.75%, 01/14/2031   140   209
          9.38%, 01/18/2017   500   564
Software - 0.40%         10.63%, 03/16/2025   600   973
Fidelity National Information Services Inc         Poland Government International Bond        
2.00%, 04/15/2018   530   530 5.00%, 03/23/2022   500   564
Fiserv Inc         5.13%, 04/21/2021   580   655
3.50%, 10/01/2022   30   31 Republic of Korea        
          5.13%, 12/07/2016   750   797

 

See accompanying notes.

14

 

Schedule of Investments
Bond Market Index Fund
May 31, 2015 (unaudited)
 
 
    Principal         Principal    
BONDS (continued)   Amount (000's) Value (000's) BONDS (continued)   Amount (000's) Value (000's)
 
Sovereign (continued)         Supranational Bank (continued)        
South Africa Government International Bond         Nordic Investment Bank        
5.88%, 05/30/2022 $ 100 $ 113 1.00%, 03/07/2017 $ 750 $ 754
5.88%, 09/16/2025   500   567     $   21,536
Tennessee Valley Authority                  
3.50%, 12/15/2042   100   98 Telecommunications - 1.43%        
3.88%, 02/15/2021   200   222 America Movil SAB de CV        
4.50%, 04/01/2018   54   59 5.00%, 03/30/2020   30   34
4.63%, 09/15/2060   500   556 5.63%, 11/15/2017   39   43
5.25%, 09/15/2039   250   315 6.13%, 03/30/2040   750   902
5.38%, 04/01/2056   61   77 AT&T Inc        
5.88%, 04/01/2036   600   801 1.60%, 02/15/2017   100   100
6.75%, 11/01/2025   57   78 2.30%, 03/11/2019   150   151
Turkey Government International Bond         3.00%, 02/15/2022   760   756
4.25%, 04/14/2026   250   243 3.90%, 03/11/2024   500   516
4.88%, 04/16/2043   850   810 4.35%, 06/15/2045   500   446
5.75%, 03/22/2024   750   827 5.35%, 09/01/2040   540   554
7.00%, 09/26/2016   300   322 6.15%, 09/15/2034   400   454
8.00%, 02/14/2034   600   803 6.30%, 01/15/2038   500   570
Uruguay Government International Bond         6.50%, 09/01/2037   56   65
4.13%, 11/20/2045   386   350 British Telecommunications PLC        
    $   25,618 1.25%, 02/14/2017   500   500
          5.95%, 01/15/2018   10   11
Supranational Bank - 1.70%         9.62%, 12/15/2030(a)   30   47
African Development Bank         Cisco Systems Inc        
0.75%, 10/18/2016   600   602 1.10%, 03/03/2017   500   503
1.38%, 02/12/2020   250   248 5.90%, 02/15/2039   430   526
2.38%, 09/23/2021   15   15 Deutsche Telekom International Finance BV        
Asian Development Bank         8.75%, 06/15/2030(a)   530   782
1.13%, 03/15/2017   750   756 Harris Corp        
1.75%, 09/11/2018   500   509 4.40%, 12/15/2020   40   43
2.13%, 11/24/2021   300   304 Juniper Networks Inc        
2.13%, 03/19/2025   300   297 4.35%, 06/15/2025   200   204
5.82%, 06/16/2028   39   51 Motorola Solutions Inc        
Corp Andina de Fomento         3.50%, 09/01/2021   275   276
4.38%, 06/15/2022   559   613 Orange SA        
Council Of Europe Development Bank         4.13%, 09/14/2021   30   33
1.50%, 02/22/2017   580   588 5.38%, 01/13/2042   30   33
1.75%, 11/14/2019   300   303 9.00%, 03/01/2031(a)   500   740
European Bank for Reconstruction &         Qwest Corp        
Development         6.88%, 09/15/2033   20   20
1.00%, 02/16/2017   1,000   1,007 7.25%, 09/15/2025   565   657
European Investment Bank         Rogers Communications Inc        
0.88%, 04/18/2017   1,000   1,003 6.80%, 08/15/2018   30   35
1.00%, 06/15/2018   1,000   997 Telefonica Emisiones SAU        
1.13%, 09/15/2017   1,200   1,207 5.13%, 04/27/2020   100   111
1.38%, 06/15/2020   330   326 7.05%, 06/20/2036   530   686
1.63%, 03/16/2020   300   301 Verizon Communications Inc        
1.88%, 02/10/2025   250   242 1.10%, 11/01/2017   500   497
2.13%, 07/15/2016   1,000   1,018 1.35%, 06/09/2017   750   750
2.50%, 04/15/2021   150   156 2.55%, 06/17/2019   750   765
2.88%, 09/15/2020   1,100   1,168 2.63%, 02/21/2020   350   353
4.88%, 01/17/2017   1,100   1,175 3.50%, 11/01/2024   1,000   1,002
FMS Wertmanagement AoeR         4.15%, 03/15/2024   100   106
1.75%, 03/17/2020   200   201 4.67%, 03/15/2055(d)   380   342
Inter-American Development Bank         4.86%, 08/21/2046   750   724
0.88%, 11/15/2016   100   100 5.01%, 08/21/2054   607   577
1.75%, 10/15/2019   1,000   1,014 5.05%, 03/15/2034   50   52
2.38%, 08/15/2017   750   776 6.25%, 04/01/2037   30   35
3.88%, 09/17/2019   600   660 6.40%, 02/15/2038   750   897
4.38%, 01/24/2044   50   61 6.55%, 09/15/2043   100   121
International Bank for Reconstruction &         7.75%, 12/01/2030   750   1,015
Development         Vodafone Group PLC        
0.63%, 05/02/2017   230   229 1.63%, 03/20/2017   500   501
0.75%, 12/15/2016   1,000   1,001 4.63%, 07/15/2018   250   269
0.88%, 04/17/2017   150   151 6.15%, 02/27/2037   240   272
1.13%, 07/18/2017   530   535     $   18,076
7.63%, 01/19/2023   933   1,297          
International Finance Corp         Toys, Games & Hobbies - 0.00%        
1.00%, 04/24/2017   750   753 Mattel Inc        
1.13%, 11/23/2016   560   563 2.35%, 05/06/2019   30   30
1.75%, 09/16/2019   550   555          

 

See accompanying notes.

15

 

Schedule of Investments
Bond Market Index Fund
May 31, 2015 (unaudited)
 
 
        Principal             Principal    
  BONDS (continued)             Amount (000's)         Value (000's)   MUNICIPAL BONDS (continued)           Amount (000's)       Value (000's)
 
  Transportation - 0.53%             Connecticut - 0.00%          
  Burlington Northern Santa Fe LLC             State of Connecticut          
  4.10%, 06/01/2021   $ 400 $ 435   5.85%, 03/15/2032   $ 30 $ 37
  4.15%, 04/01/2045     200   191              
  4.40%, 03/15/2042     30   30              
  4.55%, 09/01/2044     400   407   Florida - 0.00%          
                State Board of Administration Finance Corp          
  5.40%, 06/01/2041     400   460   2.11%, 07/01/2018     30   30
  7.95%, 08/15/2030     30   44              
  Canadian National Railway Co                        
  2.25%, 11/15/2022     30   29   Georgia - 0.06%          
  2.85%, 12/15/2021     500   513   Municipal Electric Authority of Georgia          
  5.55%, 03/01/2019     39   44   6.64%, 04/01/2057     540   680
  Canadian Pacific Railway Co             State of Georgia          
  4.45%, 03/15/2023     30   33   4.50%, 11/01/2025     30   33
  CSX Corp                   $   713
  3.40%, 08/01/2024     100   102              
  4.75%, 05/30/2042     430   457   Illinois - 0.09%          
  FedEx Corp             Chicago Transit Authority          
  3.20%, 02/01/2025     1,000   992   6.20%, 12/01/2040     30   33
  3.88%, 08/01/2042     30   27   City of Chicago IL          
  4.00%, 01/15/2024     500   530   6.31%, 01/01/2044     30   27
  Norfolk Southern Corp             State of Illinois          
  3.25%, 12/01/2021     40   41   4.95%, 06/01/2023     85   88
  3.85%, 01/15/2024     200   211   5.10%, 06/01/2033     700   665
  4.80%, 08/15/2043     300   324   5.37%, 03/01/2017     350   367
  4.84%, 10/01/2041     30   33         $   1,180
  Ryder System Inc             New Jersey - 0.04%          
  2.35%, 02/26/2019     40   40   New Jersey Economic Development          
  Union Pacific Corp             Authority (credit support from AGM)          
  4.16%, 07/15/2022     500   551   0.00%, 02/15/2023(c),(f)     50   37
  4.75%, 09/15/2041     280   308   New Jersey Transportation Trust Fund          
  United Parcel Service Inc             Authority          
  1.13%, 10/01/2017     500   502   1.76%, 12/15/2018     400   394
  3.13%, 01/15/2021     30   32   6.56%, 12/15/2040     146   157
  4.88%, 11/15/2040     30   34         $   588
  5.13%, 04/01/2019     325   366              
        $   6,736   New York - 0.17%          
                City of New York NY          
  Trucking & Leasing - 0.00%             6.27%, 12/01/2037     500   651
  GATX Corp             Metropolitan Transportation Authority          
  4.75%, 06/15/2022     50   54   6.55%, 11/15/2031     30   39
                New York City Water & Sewer System          
Water- 0.00 %           5.72%, 06/15/2042     280   357
  American Water Capital Corp             New York State Dormitory Authority          
  6.59%, 10/15/2037     13   18   5.39%, 03/15/2040     500   606
                Port Authority of New York & New Jersey          
  TOTAL BONDS     $   446,761   4.46%, 10/01/2062     500   516
        Principal             $   2,169
  MUNICIPAL BONDS - 0.83%     Amount (000's)                Value (000's) Ohio- 0.03 %        
  California - 0.38%             American Municipal Power Inc          
  Bay Area Toll Authority             7.50%, 02/15/2050     30   42
  6.26%, 04/01/2049   $ 325 $ 443   7.83%, 02/15/2041     250   361
  6.91%, 10/01/2050     500   705   Ohio State University/The          
  East Bay Municipal Utility District Water             4.91%, 06/01/2040     30   35
  System Revenue                   $   438
  5.87%, 06/01/2040     20   25 Texas- 0.06 %        
  Los Angeles Department of Water             Dallas Area Rapid Transit          
  6.01%, 07/01/2039     30   37   5.02%, 12/01/2048     30   35
  Los Angeles Unified School District/CA             State of Texas          
  5.76%, 07/01/2029     530   647   5.52%, 04/01/2039     500   638
  Regents of the University of California             University of Texas System/The          
  Medical Center Pooled Revenue             5.13%, 05/15/2042     80   96
  6.55%, 05/15/2048     20   26         $   769
  State of California                        
  6.65%, 03/01/2022     350   431   Washington - 0.00%          
  7.30%, 10/01/2039     750   1,083   State of Washington          
  7.70%, 11/01/2030     250   311   5.09%, 08/01/2033     30   34
  University of California                        
  3.93%, 05/15/2045     200   195   TOTAL MUNICIPAL BONDS     $   10,522
  5.77%, 05/15/2043     530   661              
        $   4,564              

 

See accompanying notes.

16

 

Schedule of Investments
Bond Market Index Fund
May 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT   Principal     U.S. GOVERNMENT & GOVERNMENT Principal    
AGENCY OBLIGATIONS - 63.27%   Amount (000's)       Value (000's) AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC) -     Federal Home Loan Mortgage Corporation (FHLMC)      
7.77 %         (continued)        
2.00%, 03/01/2028   $ 94 $ 94 4.00%, 12/01/2024 $ 494 $ 525
2.00%, 08/01/2028     569   567 4.00%, 08/01/2025   43   46
2.00%, 01/01/2030     110   110 4.00%, 10/01/2025   34   36
2.43%, 10/01/2043(a)     41   42 4.00%, 03/01/2026   10   10
2.50%, 08/01/2027     154   158 4.00%, 12/01/2030   67   72
2.50%, 08/01/2028     363   373 4.00%, 11/01/2033   415   447
2.50%, 07/01/2029(g)     200   204 4.00%, 07/01/2034   274   295
2.50%, 09/01/2029     912   933 4.00%, 07/01/2039   111   119
2.50%, 12/01/2029     1,147   1,174 4.00%, 12/01/2040   136   145
2.50%, 01/01/2030     1,161   1,187 4.00%, 12/01/2040   113   121
2.50%, 06/01/2030(g)     2,750   2,809 4.00%, 10/01/2041   155   166
2.50%, 01/01/2043     200   195 4.00%, 12/01/2041   98   105
2.50%, 07/01/2043     98   96 4.00%, 01/01/2042   25   27
2.58%, 10/01/2044(a)     776   804 4.00%, 02/01/2044   503   540
2.96%, 11/01/2044(a)     617   641 4.00%, 05/01/2044   410   437
3.00%, 09/01/2021     12   13 4.00%, 06/01/2044(g)   6,225   6,640
3.00%, 10/01/2021     736   770 4.00%, 07/01/2044   1,113   1,187
3.00%, 05/01/2027     79   83 4.00%, 09/01/2044   390   416
3.00%, 06/01/2027     229   240 4.00%, 11/01/2044   875   936
3.00%, 04/01/2029     788   825 4.00%, 12/01/2044   3,835   4,096
3.00%, 07/01/2029(g)     200   208 4.00%, 12/01/2044   960   1,025
3.00%, 07/01/2029     148   155 4.00%, 01/01/2045   1,171   1,251
3.00%, 09/01/2029     729   762 4.50%, 09/01/2018   156   163
3.00%, 10/01/2029     232   243 4.50%, 01/01/2019   509   532
3.00%, 11/01/2029     273   286 4.50%, 05/01/2019   453   473
3.00%, 11/01/2029     442   462 4.50%, 12/01/2019   240   250
3.00%, 01/01/2030     388   406 4.50%, 01/01/2024   23   25
3.00%, 06/01/2030(g)     1,200   1,254 4.50%, 08/01/2025   59   63
3.00%, 04/01/2033     114   118 4.50%, 10/01/2030   355   388
3.00%, 09/01/2034     643   662 4.50%, 05/01/2031   36   39
3.00%, 10/01/2034     450   463 4.50%, 02/01/2039   41   44
3.00%, 09/01/2042     2,502   2,539 4.50%, 04/01/2039   51   56
3.00%, 01/01/2043     185   188 4.50%, 09/01/2039   57   62
3.00%, 01/01/2043     182   184 4.50%, 10/01/2039   49   54
3.00%, 07/01/2043     214   217 4.50%, 11/01/2039   72   78
3.00%, 09/01/2043     281   284 4.50%, 02/01/2040   56   62
3.00%, 10/01/2043     209   212 4.50%, 02/01/2040   19   21
3.00%, 07/01/2044(g)     700   706 4.50%, 02/01/2040   48   52
3.00%, 12/01/2044     885   897 4.50%, 05/01/2040   30   33
3.00%, 01/01/2045     44   44 4.50%, 07/01/2040   46   51
3.00%, 01/01/2045     245   249 4.50%, 08/01/2040   44   47
3.00%, 04/01/2045     300   304 4.50%, 08/01/2040   36   40
3.00%, 04/01/2045     675   684 4.50%, 08/01/2040   62   68
3.00%, 06/01/2045(g)     7,375   7,463 4.50%, 09/01/2040   54   59
3.50%, 01/01/2021     400   424 4.50%, 02/01/2041   631   686
3.50%, 03/01/2021     798   846 4.50%, 03/01/2041   921   1,005
3.50%, 10/01/2025     65   69 4.50%, 05/01/2041   46   50
3.50%, 11/01/2025     10   11 4.50%, 06/01/2041   33   36
3.50%, 11/01/2025     22   23 4.50%, 07/01/2041(g)   100   108
3.50%, 02/01/2026     69   73 4.50%, 08/01/2041   20   22
3.50%, 06/01/2026     32   34 4.50%, 08/01/2041   84   91
3.50%, 06/01/2029     743   788 4.50%, 05/01/2042   10   11
3.50%, 09/01/2029     31   33 4.50%, 11/01/2043   778   845
3.50%, 04/01/2032     122   129 4.50%, 02/01/2044   402   437
3.50%, 05/01/2034     691   726 4.50%, 03/01/2044   1,509   1,638
3.50%, 11/01/2041     73   76 4.50%, 06/01/2044(g)   2,900   3,150
3.50%, 01/01/2042     64   67 4.50%, 09/01/2044   900   978
3.50%, 04/01/2042     72   75 5.00%, 04/01/2021   40   43
3.50%, 06/01/2042     74   77 5.00%, 04/01/2023   656   726
3.50%, 06/01/2042     358   375 5.00%, 05/01/2023   725   803
3.50%, 07/01/2042     3,686   3,853 5.00%, 09/01/2023   703   778
3.50%, 08/01/2042     60   63 5.00%, 01/01/2026   22   25
3.50%, 10/01/2042     1,945   2,033 5.00%, 03/01/2026   13   14
3.50%, 01/01/2044     1,018   1,063 5.00%, 07/01/2026   4   4
3.50%, 06/01/2044(g)     9,075   9,467 5.00%, 03/01/2030   10   11
3.50%, 07/01/2044(g)     775   806 5.00%, 09/01/2033   491   544
3.50%, 08/01/2044     44   46 5.00%, 09/01/2033   20   23
3.50%, 01/01/2045     1,169   1,220 5.00%, 08/01/2035   23   26
4.00%, 06/01/2018     314   331 5.00%, 08/01/2036   37   41
4.00%, 04/01/2019     2   2 5.00%, 11/01/2036   37   41
4.00%, 07/01/2020     425   448 5.00%, 12/01/2038   159   176
4.00%, 07/01/2024     34   36 5.00%, 01/01/2039   37   41

 

See accompanying notes.

17

 

Schedule of Investments
Bond Market Index Fund
May 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT   Principal     U.S. GOVERNMENT & GOVERNMENT   Principal    
AGENCY OBLIGATIONS (continued) Amount (000's)   Value (000's) AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's)
Federal Home Loan Mortgage Corporation (FHLMC)              
(continued)         Federal National Mortgage Association (FNMA) (continued)    
          3.00%, 03/01/2027 $ 206 $ 216
5.00%, 01/01/2039 $ 38 $ 42 3.00%, 07/01/2027   117   123
5.00%, 08/01/2039   9   10          
5.00%, 09/01/2039   33   37 3.00%, 10/01/2027   294   307
          3.00%, 01/01/2029   255   267
5.00%, 11/01/2039   872   974 3.00%, 02/01/2029   198   207
5.00%, 01/01/2040   66   74          
5.00%, 08/01/2040   65   72 3.00%, 04/01/2029   1,104   1,154
     5.00%,  09/01/2040    20    22 3.00%, 11/01/2029   96   100
5.00%, 07/01/2041(g)   200   222 3.00%, 11/01/2029   189   197
5.00%, 09/01/2041   49   54 3.00%, 12/01/2029   482   504
          3.00%, 12/01/2029   229   239
5.00%, 12/01/2041   409   457 3.00%, 01/01/2030   1,146   1,198
   5.00%, 06/01/2044 (g)    2,100    2,330 3.00%, 06/01/2030(g)   3,675   3,840
5.50%, 01/01/2018   19   20 3.00%, 01/01/2033   116   120
5.50%, 06/01/2034   255   287 3.00%, 04/01/2033   112   116
5.50%, 07/01/2036   68   76          
5.50%, 01/01/2037   110   124 3.00%, 09/01/2034   945   975
          3.00%, 11/01/2034   742   765
5.50%, 09/01/2037   31   35 3.00%, 12/01/2034   358   370
5.50%, 11/01/2037   38   43          
5.50%, 04/01/2038   15   17 3.00%, 04/01/2042   291   296
          3.00%, 11/01/2042   1,034   1,052
5.50%, 07/01/2038   19   21 3.00%, 04/01/2043   1,084   1,101
5.50%, 07/01/2038   300   338          
5.50%, 07/01/2038   446   503 3.00%, 04/01/2043   295   299
          3.00%, 05/01/2043   281   286
5.50%, 07/01/2038   298   339 3.00%, 06/01/2043   304   309
5.50%, 09/01/2038   35   40          
5.50%, 12/01/2038   727   819 3.00%, 07/01/2043   137   139
          3.00%, 07/01/2043   265   269
5.50%, 12/01/2038   2   2 3.00%, 08/01/2043   92   93
5.50%, 10/01/2039   786   885      3.00%, 08/01/2043    178    180
5.50%, 11/01/2039   302   341 3.00%, 07/01/2044(g)   700   707
5.50%, 01/01/2040   31   36 3.00%, 01/01/2045   993   1,007
5.50%, 03/01/2040   20   23      3.00%, 01/01/2045    4,102    4,163
5.50%, 06/01/2040   45   52 3.00%, 06/01/2045(g)   14,850   15,057
5.50%, 06/01/2044(g)   500   564          
          3.03%, 12/01/2041(a)   45   47
6.00%, 04/01/2023   3   4 3.16%, 12/01/2040(a)   42   45
6.00%, 12/01/2037   41   47 3.49%, 02/01/2041(a)   12   13
6.00%, 04/01/2038   1,225   1,395          
6.00%, 05/01/2038   95   108 3.50%, 09/01/2018   6   6
          3.50%, 04/01/2020   34   36
6.00%, 07/01/2038   58   66 3.50%, 02/01/2021   40   42
6.00%, 10/01/2038   4   4          
6.00%, 11/01/2038   357   412 3.50%, 03/01/2022   26   27
          3.50%, 10/01/2025   64   68
6.00%, 01/01/2039   132   151 3.50%, 11/01/2025   76   80
6.50%, 06/01/2017   10   10          
6.50%, 09/01/2039   68   79 3.50%, 12/01/2025   371   394
          3.50%, 01/01/2026   230   244
    $   98,292 3.50%, 01/01/2026   52   56
Federal National Mortgage Association (FNMA) - 12.87%     3.50%, 08/01/2026   64   68
2.00%, 11/01/2028   95   95 3.50%, 09/01/2026   616   655
2.00%, 09/01/2029   832   833 3.50%, 10/01/2026   826   878
2.00%, 01/01/2030   98   98 3.50%, 10/01/2026   894   951
2.00%, 01/01/2030   48   48 3.50%, 06/01/2027   700   744
2.00%, 06/01/2030(g)   300   299 3.50%, 03/01/2029   498   528
2.50%, 01/01/2028   337   346 3.50%, 11/01/2029   21   23
2.50%, 07/01/2028   819   841 3.50%, 04/01/2032   62   65
2.50%, 07/01/2028   332   340 3.50%, 07/01/2032   50   53
2.50%, 08/01/2028   30   30 3.50%, 09/01/2032   57   60
2.50%, 11/01/2028   1,113   1,143 3.50%, 10/01/2033   30   32
2.50%, 09/01/2029   708   725 3.50%, 05/01/2034   209   220
2.50%, 11/01/2029   88   90 3.50%, 06/01/2034   136   143
2.50%, 12/01/2029   951   973 3.50%, 07/01/2034   923   971
2.50%, 03/01/2030   68   69 3.50%, 09/01/2034   671   706
2.50%, 03/01/2030   719   736 3.50%, 10/01/2034   222   234
2.50%, 06/01/2030(g)   4,150   4,242 3.50%, 03/01/2041   93   98
2.50%, 07/01/2030(g)   200   204 3.50%, 10/01/2041   66   69
2.50%, 07/01/2033   34   34 3.50%, 12/01/2041   87   92
2.50%, 12/01/2042   95   93 3.50%, 02/01/2042   888   929
2.50%, 01/01/2043   191   187 3.50%, 03/01/2042   201   210
2.50%, 02/01/2043   71   69 3.50%, 04/01/2042   241   253
2.50%, 05/01/2043   293   287 3.50%, 05/01/2042   170   178
2.50%, 07/01/2043   198   194 3.50%, 06/01/2042   1,175   1,230
2.69%, 02/01/2044(a)   470   485 3.50%, 07/01/2042   216   226
3.00%, 11/01/2025   187   195 3.50%, 08/01/2042   143   149
3.00%, 01/01/2026   188   197 3.50%, 09/01/2042   134   140
3.00%, 11/01/2026   140   147 3.50%, 10/01/2042   195   204
3.00%, 02/01/2027   94   99 3.50%, 06/01/2043   277   290

 

See accompanying notes.

18

 

Schedule of Investments
Bond Market Index Fund
May 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT   Principal     U.S. GOVERNMENT & GOVERNMENT   Principal    
AGENCY OBLIGATIONS (continued) Amount (000's)    Value (000's) AGENCY OBLIGATIONS (continued) Amount (000's)  Value (000's)
 
Federal National Mortgage Association (FNMA) (continued)     Federal National Mortgage Association (FNMA) (continued)    
3.50%, 09/01/2043 $ 2,666 $ 2,789 4.50%, 06/01/2039 $ 6 $ 7
3.50%, 11/01/2043   673   704 4.50%, 06/01/2039   62   67
3.50%, 01/01/2044   420   440 4.50%, 08/01/2039   68   75
3.50%, 02/01/2044   40   42 4.50%, 10/01/2039   48   52
3.50%, 06/01/2044(g)   18,750   19,598 4.50%, 12/01/2039   96   106
3.50%, 12/01/2044   1,160   1,213 4.50%, 02/01/2040   91   100
3.50%, 12/01/2044   1,143   1,195 4.50%, 05/01/2040   73   80
3.50%, 02/01/2045   1,182   1,237 4.50%, 10/01/2040   102   111
3.50%, 07/01/2045(g)   650   677 4.50%, 02/01/2041   88   96
4.00%, 07/01/2019   546   575 4.50%, 03/01/2041   81   89
4.00%, 04/01/2020   414   436 4.50%, 04/01/2041   167   183
4.00%, 05/01/2020   343   362 4.50%, 07/01/2041   70   76
4.00%, 12/01/2020   118   124 4.50%, 08/01/2041   797   867
4.00%, 03/01/2022   71   75 4.50%, 09/01/2041   92   100
4.00%, 03/01/2022   369   389 4.50%, 11/01/2041   67   73
4.00%, 09/01/2025   57   61 4.50%, 11/01/2041   79   87
4.00%, 03/01/2026   78   83 4.50%, 11/01/2043   497   540
4.00%, 09/01/2026   63   67 4.50%, 01/01/2044   808   877
4.00%, 04/01/2029   29   31 4.50%, 03/01/2044   659   717
4.00%, 12/01/2030   35   38 4.50%, 06/01/2044(g)   9,700   10,546
4.00%, 11/01/2031   43   47 4.50%, 07/01/2044   375   407
4.00%, 11/01/2033   706   761 5.00%, 04/01/2018   2   2
4.00%, 10/01/2034   460   496 5.00%, 06/01/2018   11   12
4.00%, 03/01/2039   46   49 5.00%, 12/01/2020   86   90
4.00%, 08/01/2039   152   163 5.00%, 05/01/2023   13   14
4.00%, 10/01/2040   103   110 5.00%, 10/01/2024   500   556
4.00%, 12/01/2040   67   72 5.00%, 09/01/2025   410   432
4.00%, 12/01/2040   72   77 5.00%, 08/01/2030   800   893
4.00%, 01/01/2041   35   38 5.00%, 03/01/2034   30   33
4.00%, 01/01/2041   242   259 5.00%, 04/01/2035   32   35
4.00%, 02/01/2041   179   192 5.00%, 06/01/2035   79   88
4.00%, 02/01/2041   226   242 5.00%, 07/01/2035   86   96
4.00%, 02/01/2041   94   101 5.00%, 02/01/2037   11   12
4.00%, 03/01/2041   115   123 5.00%, 04/01/2037   3   3
4.00%, 09/01/2041   98   105 5.00%, 07/01/2037   63   70
4.00%, 12/01/2041   309   331 5.00%, 04/01/2038   1   2
4.00%, 12/01/2041   157   168 5.00%, 02/01/2039   72   80
4.00%, 05/01/2042   83   89 5.00%, 07/01/2039   662   736
4.00%, 06/01/2042   342   366 5.00%, 12/01/2039   45   51
4.00%, 06/01/2042   729   781 5.00%, 01/01/2040   54   61
4.00%, 05/01/2044   414   442 5.00%, 05/01/2040   81   90
4.00%, 06/01/2044(g)   18,050   19,275 5.00%, 06/01/2040   16   18
4.00%, 08/01/2044   62   66 5.00%, 06/01/2040   78   86
4.00%, 08/01/2044   1,164   1,242 5.00%, 06/01/2040   12   14
4.00%, 09/01/2044   490   523 5.00%, 04/01/2041   1,364   1,517
4.00%, 10/01/2044   274   292 5.00%, 05/01/2041   90   100
4.00%, 10/01/2044   295   315 5.00%, 08/01/2041   668   743
4.00%, 11/01/2044   663   708 5.00%, 03/01/2044   1,023   1,137
4.00%, 11/01/2044   95   102 5.00%, 05/01/2044   400   444
4.00%, 11/01/2044   381   407 5.00%, 06/01/2044(g)   3,800   4,227
4.00%, 11/01/2044   283   302 5.50%, 01/01/2025   16   17
4.00%, 12/01/2044   724   774 5.50%, 12/01/2027   208   235
4.00%, 12/01/2044   1,388   1,483 5.50%, 06/01/2034   8   9
4.00%, 01/01/2045   1,173   1,254 5.50%, 04/01/2035   5   5
4.00%, 01/01/2045   25   27 5.50%, 09/01/2035   10   12
4.00%, 03/01/2045   297   318 5.50%, 10/01/2035   16   18
4.50%, 02/01/2018   40   42 5.50%, 04/01/2036   9   10
4.50%, 03/01/2018   350   366 5.50%, 04/01/2036   59   67
4.50%, 05/01/2018   251   262 5.50%, 09/01/2036   88   100
4.50%, 05/01/2018   155   162 5.50%, 12/01/2036   91   103
4.50%, 11/01/2018   308   321 5.50%, 02/01/2037   7   8
4.50%, 04/01/2019   4   4 5.50%, 05/01/2037   63   71
4.50%, 11/01/2019   17   17 5.50%, 06/01/2037   12   14
4.50%, 02/01/2021   273   285 5.50%, 07/01/2037   12   14
4.50%, 05/01/2025   63   68 5.50%, 08/01/2037   8   9
4.50%, 07/01/2029   16   17 5.50%, 05/01/2038   429   485
4.50%, 08/01/2030   37   41 5.50%, 06/01/2038   8   9
4.50%, 01/01/2034   81   88 5.50%, 06/01/2038   650   735
4.50%, 02/01/2039   61   67 5.50%, 06/01/2038   12   13
4.50%, 04/01/2039   464   504 5.50%, 08/01/2038   1   2
4.50%, 04/01/2039   47   51 5.50%, 09/01/2038   43   49
4.50%, 04/01/2039   104   115 5.50%, 09/01/2038   8   9

 

See accompanying notes.

19

 

Schedule of Investments
Bond Market Index Fund
May 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT     Principal     U.S. GOVERNMENT & GOVERNMENT   Principal    
AGENCY OBLIGATIONS (continued)   Amount (000's)    Value (000's) AGENCY OBLIGATIONS (continued)   Amount (000's) Value (000's)
            Government National Mortgage Association (GNMA)    
Federal National Mortgage Association (FNMA) (continued)     (continued)        
5.50%, 10/01/2038   $ 11 $ 13          
5.50%, 11/01/2038     645   730 3.00%, 06/01/2045 $ 8,800 $ 9,018
            3.50%, 12/20/2026   368   391
5.50%, 12/01/2038     58   66 3.50%, 03/20/2027   26   27
5.50%, 12/01/2038     91   103 3.50%, 03/20/2041(a)   50   53
5.50%, 04/01/2039     93   105 3.50%, 02/15/2042   124   130
5.50%, 06/01/2039     3   4 3.50%, 02/20/2042   256   269
5.50%, 12/01/2039     52   59          
5.50%, 03/01/2040     893   1,015 3.50%, 05/15/2042   195   205
            3.50%, 05/20/2042   514   541
5.50%, 07/01/2040     32   36 3.50%, 06/20/2042   520   548
5.50%, 07/01/2041     809   914          
5.50%, 06/01/2044(g)     1,800   2,038 3.50%, 07/15/2042   82   86
            3.50%, 08/15/2042   22   23
6.00%, 06/01/2017     42   43 3.50%, 08/20/2042   121   127
6.00%, 09/01/2024     534   609          
6.00%, 04/01/2026     357   408 3.50%, 11/20/2042   912   959
            3.50%, 12/20/2042   899   946
6.00%, 07/01/2035     140   161 3.50%, 02/20/2043   903   950
6.00%, 10/01/2036     523   599          
6.00%, 02/01/2037     380   434 3.50%, 04/15/2043   736   773
            3.50%, 05/20/2043   716   754
6.00%, 07/01/2037     6   6 3.50%, 10/20/2043   812   855
6.00%, 09/01/2037     398   454          
6.00%, 11/01/2037     6   7 3.50%, 04/20/2044   1,053   1,108
            3.50%, 07/01/2044   1,000   1,047
6.00%, 11/01/2037     2   3 3.50%, 08/20/2044(a)   400   420
6.00%, 02/01/2038     2   2          
6.00%, 04/01/2038     178   204 3.50%, 10/20/2044   1,093   1,150
            3.50%, 11/20/2044   1,075   1,131
6.00%, 05/01/2038     8   9 3.50%, 12/15/2044   994   1,043
6.00%, 05/01/2038     8   9          
6.00%, 08/01/2038     196   223 3.50%, 12/20/2044   1,149   1,209
            3.50%, 01/20/2045   1,160   1,221
6.00%, 09/01/2038     2   2 3.50%, 02/15/2045   521   547
6.00%, 10/01/2039     202   230          
6.00%, 04/01/2040     140   160 3.50%, 06/01/2045   12,075   12,684
            4.00%, 05/15/2026   49   52
6.00%, 10/01/2040     187   214 4.00%, 07/20/2026   108   115
6.50%, 06/01/2016     1   1          
6.50%, 12/01/2016     29   30 4.00%, 09/15/2040   51   55
6.50%, 05/01/2018     1   1 4.00%, 09/15/2040   8   9
6.50%, 07/01/2020     5   5 4.00%, 01/15/2041   50   54
            4.00%, 01/15/2041   60   65
6.50%, 06/01/2024     3   3 4.00%, 01/20/2041   159   171
6.50%, 12/01/2031     4   5          
6.50%, 03/01/2032     7   8 4.00%, 07/15/2041   115   123
            4.00%, 07/20/2041   39   42
6.50%, 10/01/2039     92   106 4.00%, 09/20/2041   36   39
      $   162,769 4.00%, 10/15/2041   45   48
Government National Mortgage Association (GNMA) -     4.00%, 11/20/2041   70   75
7.59 %         4.00%, 12/20/2041   50   53
2.00%, 06/20/2043(a)     29   30          
            4.00%, 01/20/2042   43   46
2.50%, 06/20/2027     405   417 4.00%, 02/20/2042   55   59
2.50%, 09/20/2027     42   44 4.00%, 06/20/2043   18   19
2.50%, 04/20/2028     84   86 4.00%, 11/20/2043   1,046   1,114
2.50%, 04/15/2043     297   294 4.00%, 02/20/2044   397   422
2.50%, 07/20/2043     325   321 4.00%, 03/15/2044   666   715
2.50%, 01/20/2044(a)     563   579          
            4.00%, 03/15/2044   81   87
3.00%, 02/15/2027     296   312 4.00%, 03/20/2044   99   105
3.00%, 04/15/2027     42   44 4.00%, 04/20/2044   217   231
3.00%, 09/20/2027     80   84 4.00%, 05/15/2044   567   610
3.00%, 08/20/2029     335   353 4.00%, 05/15/2044   787   845
3.00%, 09/20/2029     369   389 4.00%, 05/20/2044   472   502
3.00%, 02/20/2041(a)     48   50          
3.00%, 11/20/2041(a)     93   96 4.00%, 07/15/2044   261   280
            4.00%, 07/20/2044   135   144
3.00%, 04/15/2042     574   590 4.00%, 08/20/2044   1,029   1,096
3.00%, 09/20/2042     211   217 4.00%, 09/20/2044   123   131
3.00%, 12/20/2042     364   375 4.00%, 10/20/2044   1,849   1,971
3.00%, 03/20/2043     216   222 4.00%, 11/20/2044   767   818
3.00%, 03/20/2043     1,144   1,176 4.00%, 06/01/2045   8,700   9,263
3.00%, 03/20/2043     263   270 4.00%, 06/01/2045(g)   800   858
3.00%, 05/15/2043     94   97 4.50%, 06/15/2034   6   7
3.00%, 05/15/2043     193   198 4.50%, 03/15/2039   640   702
3.00%, 05/15/2043     135   138 4.50%, 03/20/2039   127   139
3.00%, 06/15/2043     190   195 4.50%, 06/15/2039   89   97
3.00%, 07/01/2044     450   460 4.50%, 11/15/2039   22   24
3.00%, 07/15/2044     217   223 4.50%, 12/15/2039   150   166
3.00%, 12/20/2044     2,341   2,403 4.50%, 06/15/2040   108   119
3.00%, 01/15/2045     233   239 4.50%, 08/15/2040   113   124
3.00%, 01/15/2045     562   576 4.50%, 02/20/2041   84   92
3.00%, 05/20/2045     900   924 4.50%, 02/20/2041   91   101
3.00%, 06/01/2045(g)     500   512          
            4.50%, 03/20/2041   81   90

 

See accompanying notes.

20

 

Schedule of Investments
Bond Market Index Fund
May 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT Principal     U.S. GOVERNMENT & GOVERNMENT   Principal    
AGENCY OBLIGATIONS (continued) Amount (000's)        Value (000's) AGENCY OBLIGATIONS (continued)   Amount (000's)   Value (000's)
Government National Mortgage Association (GNMA)                
(continued)         U.S. Treasury (continued)        
          0.50%, 07/31/2017 $ 3,000 $ 2,989
4.50%, 05/15/2041 $ 51 $ 56 0.63%, 07/15/2016   4,590   4,604
4.50%, 06/20/2041   57   63          
4.50%, 07/20/2041   112   123 0.63%, 08/15/2016   3,500   3,510
          0.63%, 10/15/2016   2,040   2,045
4.50%, 08/20/2041   57   63 0.63%, 11/15/2016   2,040   2,045
4.50%, 09/20/2041   52   57          
4.50%, 09/20/2043   39   42 0.63%, 12/15/2016   2,000   2,004
          0.63%, 12/31/2016   1,335   1,338
4.50%, 10/20/2043   496   537 0.63%, 02/15/2017   1,990   1,993
4.50%, 11/20/2043   792   858          
4.50%, 02/20/2044   716   776 0.63%, 05/31/2017   4,100   4,102
    4.50%, 05/20/2044    1,820    1,972 0.63%, 08/31/2017   2,700   2,695
4.50%, 07/01/2044 (g)   3,600   3,941 0.63%, 09/30/2017   3,090   3,082
4.50%, 07/20/2044   500   542 0.63%, 11/30/2017   2,000   1,992
          0.63%, 04/30/2018   3,213   3,186
4.50%, 08/20/2044   166   180 0.75%, 01/15/2017   1,990   1,998
4.50%, 06/01/2045   3,000   3,249          
5.00%, 05/15/2033   433   487 0.75%, 06/30/2017   3,555   3,563
          0.75%, 10/31/2017   3,190   3,189
5.00%, 08/15/2033   98   110 0.75%, 12/31/2017   4,200   4,193
5.00%, 12/15/2036   8   9          
5.00%, 04/20/2038   49   54 0.75%, 02/28/2018   3,062   3,051
          0.75%, 03/31/2018   3,044   3,031
5.00%, 07/20/2038   448   493 0.75%, 04/15/2018   1,675   1,668
5.00%, 10/15/2038   750   838          
5.00%, 02/15/2039   712   798 0.88%, 11/30/2016   2,378   2,392
          0.88%, 12/31/2016   1,550   1,560
5.00%, 03/15/2039   3   3 0.88%, 01/31/2017   1,435   1,443
5.00%, 04/20/2039   315   353          
5.00%, 06/20/2039   67   75 0.88%, 02/28/2017   2,113   2,126
          0.88%, 04/30/2017   1,700   1,710
5.00%, 09/15/2039   144   164 0.88%, 05/15/2017   930   935
5.00%, 02/15/2040   9   11          
5.00%, 05/20/2040   53   60 0.88%, 06/15/2017   1,520   1,528
          0.88%, 07/15/2017   3,000   3,014
5.00%, 06/20/2040   69   77 0.88%, 08/15/2017   2,000   2,008
5.00%, 12/15/2040   385   431          
5.00%, 05/20/2041   89   99 0.88%, 10/15/2017   1,655   1,660
          0.88%, 11/15/2017   1,265   1,268
5.00%, 10/15/2041   281   313 0.88%, 01/15/2018   2,805   2,808
5.00%, 05/20/2044   1,410   1,560 0.88%, 01/31/2018   1,249   1,250
5.00%, 06/20/2044   861   952 0.88%, 07/31/2019   1,520   1,493
5.00%, 07/20/2044   371   407          
5.00%, 08/20/2044   156   173 1.00%, 08/31/2016   3,005   3,028
          1.00%, 09/30/2016   955   962
5.50%, 05/20/2032   2   3 1.00%, 10/31/2016   1,635   1,647
5.50%, 07/15/2034   28   32          
5.50%, 02/15/2035   72   83 1.00%, 03/31/2017   2,225   2,243
          1.00%, 09/15/2017   4,000   4,026
5.50%, 03/15/2038   299   338 1.00%, 12/15/2017   2,300   2,312
5.50%, 06/15/2038   199   226          
5.50%, 10/20/2038   69   79 1.00%, 02/15/2018   1,595   1,601
          1.00%, 03/15/2018   1,640   1,645
5.50%, 01/15/2039   43   49 1.00%, 05/15/2018   1,675   1,678
5.50%, 02/15/2039   376   426          
5.50%, 06/15/2040   794   900 1.00%, 05/31/2018   3,203   3,207
          1.00%, 08/31/2019   1,545   1,524
5.50%, 07/20/2040   40   46 1.00%, 09/30/2019   1,173   1,156
5.50%, 04/20/2044   59   67          
5.50%, 07/20/2044   536   611 1.00%, 11/30/2019   1,450   1,425
          1.13%, 12/31/2019   1,180   1,165
5.50%, 08/20/2044   254   288 1.13%, 03/31/2020   1,600   1,575
5.50%, 09/20/2044   728   823          
6.00%, 07/20/2028   1   1 1.13%, 04/30/2020   2,495   2,455
          1.25%, 10/31/2018   2,990   3,005
6.00%, 07/15/2032   4   5 1.25%, 11/30/2018   2,430   2,441
6.00%, 12/15/2032   5   5          
6.00%, 11/20/2037   55   63 1.25%, 01/31/2019   2,569   2,577
          1.25%, 10/31/2019   1,296   1,290
6.00%, 01/15/2039   47   54 1.25%, 01/31/2020   1,750   1,736
6.50%, 05/15/2023   1   1          
6.50%, 05/20/2032   19   23 1.25%, 02/29/2020   1,750   1,735
          1.38%, 06/30/2018   3,000   3,036
7.00%, 01/15/2028   1   1 1.38%, 07/31/2018   3,635   3,676
7.00%, 03/15/2029   7   8          
7.00%, 07/15/2031   5   5 1.38%, 09/30/2018   4,091   4,132
          1.38%, 11/30/2018   299   302
8.00%, 08/20/2029   1   1 1.38%, 12/31/2018   1,705   1,719
    $   96,071 1.38%, 02/28/2019   1,341   1,350
U.S. Treasury - 35.04%         1.38%, 02/29/2020   2,900   2,892
0.38%, 10/31/2016   1,990   1,988 1.38%, 03/31/2020   2,010   2,003
0.50%, 07/31/2016   2,290   2,294 1.38%, 04/30/2020   2,005   1,996
0.50%, 08/31/2016   1,800   1,802 1.38%, 05/31/2020   2,516   2,503
0.50%, 09/30/2016   1,575   1,577 1.50%, 06/30/2016   1,550   1,569
0.50%, 11/30/2016   1,905   1,906 1.50%, 07/31/2016   3,500   3,546
0.50%, 01/31/2017   2,115   2,114 1.50%, 08/31/2018   3,333   3,382
0.50%, 02/28/2017   975   975 1.50%, 12/31/2018   3,100   3,139
0.50%, 03/31/2017   2,525   2,522 1.50%, 01/31/2019   1,190   1,204
0.50%, 04/30/2017   1,800   1,797 1.50%, 02/28/2019   2,200   2,225

 

See accompanying notes.

21

 

Schedule of Investments
Bond Market Index Fund
May 31, 2015 (unaudited)
 
 
U.S. GOVERNMENT & GOVERNMENT   Principal     U.S. GOVERNMENT & GOVERNMENT Principal      
AGENCY OBLIGATIONS (continued)   Amount (000's) Value (000's) AGENCY OBLIGATIONS (continued) Amount (000's) Value (000's)  
 
U.S. Treasury (continued)         U.S. Treasury (continued)          
1.50%, 03/31/2019 $ 750 $ 758 3.00%, 09/30/2016 $ 2,523 $ 2,609  
1.50%, 05/31/2019   3,500   3,532 3.00%, 02/28/2017   2,040   2,127  
1.50%, 10/31/2019   3,165   3,183 3.00%, 05/15/2042   400   411  
1.50%, 11/30/2019   2,110   2,121 3.00%, 11/15/2044   2,850   2,929  
1.50%, 05/31/2020(e)   3,050   3,053 3.00%, 05/15/2045   775   794  
1.50%, 01/31/2022   1,935   1,895 3.13%, 10/31/2016   1,805   1,873  
1.63%, 03/31/2019   2,616   2,656 3.13%, 01/31/2017   795   829  
1.63%, 04/30/2019   3,000   3,045 3.13%, 05/15/2019   2,500   2,680  
1.63%, 06/30/2019   3,500   3,547 3.13%, 05/15/2021   3,000   3,243  
1.63%, 07/31/2019   2,000   2,025 3.13%, 11/15/2041   458   483  
1.63%, 08/31/2019   2,155   2,182 3.13%, 02/15/2042   420   442  
1.63%, 12/31/2019   2,380   2,403 3.13%, 02/15/2043   3,170   3,327  
1.63%, 08/15/2022   1,878   1,848 3.13%, 08/15/2044   3,445   3,626  
1.63%, 11/15/2022   2,500   2,454 3.25%, 06/30/2016   3,000   3,094  
1.75%, 10/31/2018   392   400 3.25%, 07/31/2016   3,000   3,100  
1.75%, 09/30/2019   2,780   2,827 3.25%, 12/31/2016   1,260   1,315  
1.75%, 10/31/2020   1,900   1,916 3.25%, 03/31/2017   1,262   1,324  
1.75%, 02/28/2022   1,925   1,915 3.38%, 11/15/2019   2,115   2,298  
1.75%, 03/31/2022   1,985   1,974 3.38%, 05/15/2044   3,165   3,486  
1.75%, 04/30/2022   2,025   2,013 3.50%, 02/15/2018   1,500   1,606  
1.75%, 05/15/2022   1,600   1,591 3.50%, 05/15/2020   1,715   1,881  
1.75%, 05/15/2023   4,500   4,433 3.50%, 02/15/2039   1,060   1,189  
1.88%, 08/31/2017   1,860   1,908 3.63%, 08/15/2019   720   788  
1.88%, 09/30/2017   763   783 3.63%, 02/15/2020   2,348   2,585  
1.88%, 10/31/2017   2,470   2,536 3.63%, 02/15/2021   3,100   3,436  
1.88%, 06/30/2020   2,000   2,037 3.63%, 08/15/2043   1,970   2,267  
1.88%, 11/30/2021   2,040   2,050 3.63%, 02/15/2044   2,700   3,109  
1.88%, 05/31/2022(e)   3,500   3,502 3.75%, 11/15/2018   2,440   2,660  
2.00%, 07/31/2020   2,255   2,309 3.75%, 08/15/2041   100   117  
2.00%, 09/30/2020   1,670   1,707 3.75%, 11/15/2043   2,500   2,943  
2.00%, 11/30/2020   1,595   1,628 3.88%, 05/15/2018   369   400  
2.00%, 02/28/2021   845   861 3.88%, 08/15/2040   695   828  
2.00%, 05/31/2021   700   712 4.00%, 08/15/2018   2,500   2,739  
2.00%, 08/31/2021   2,260   2,293 4.25%, 11/15/2017   1,166   1,265  
2.00%, 10/31/2021   200   203 4.25%, 05/15/2039   1,050   1,318  
2.00%, 11/15/2021   3,030   3,071 4.25%, 11/15/2040   1,313   1,657  
2.00%, 02/15/2022   2,000   2,024 4.38%, 02/15/2038   20   25  
2.00%, 02/15/2023   3,961   3,986 4.38%, 11/15/2039   500   640  
2.00%, 02/15/2025   5,505   5,459 4.38%, 05/15/2040   599   768  
2.13%, 08/31/2020   2,260   2,326 4.38%, 05/15/2041   2,043   2,636  
2.13%, 01/31/2021   1,180   1,211 4.50%, 05/15/2017   1,000   1,076  
2.13%, 08/15/2021   3,250   3,323 4.50%, 02/15/2036   1,834   2,384  
2.13%, 09/30/2021   4,340   4,434 4.50%, 05/15/2038   200   259  
2.13%, 12/31/2021   1,975   2,015 4.50%, 08/15/2039   500   651  
2.13%, 05/15/2025   1,800   1,805 4.63%, 11/15/2016   1,500   1,590  
2.25%, 11/30/2017   3,000   3,110 4.63%, 02/15/2017   1,100   1,176  
2.25%, 03/31/2021   1,360   1,404 4.63%, 02/15/2040   1,870   2,482  
2.25%, 07/31/2021   2,030   2,092 4.75%, 08/15/2017   900   980  
2.25%, 11/15/2024   4,930   5,000 4.75%, 02/15/2037   610   819  
2.38%, 07/31/2017   1,260   1,306 4.75%, 02/15/2041   1,559   2,118  
2.38%, 05/31/2018   67   70 5.00%, 05/15/2037   560   777  
2.38%, 06/30/2018   125   130 5.25%, 11/15/2028   1,000   1,334  
2.38%, 12/31/2020   500   520 5.38%, 02/15/2031   140   193  
2.38%, 08/15/2024   2,750   2,821 5.50%, 08/15/2028   1,316   1,791  
2.50%, 06/30/2017   1,625   1,687 6.13%, 11/15/2027   835   1,185  
2.50%, 08/15/2023   4,000   4,165 6.25%, 08/15/2023   370   491  
2.50%, 05/15/2024   1,690   1,753 6.25%, 05/15/2030   1,620   2,396  
2.50%, 02/15/2045   3,330   3,087 6.38%, 08/15/2027   275   396  
2.63%, 01/31/2018   1,240   1,298 6.50%, 11/15/2026   28   40  
2.63%, 08/15/2020   2,400   2,530 6.63%, 02/15/2027   165   240  
2.63%, 11/15/2020   4,770   5,026 6.75%, 08/15/2026   350   510  
2.75%, 11/30/2016   1,634   1,690 7.50%, 11/15/2024   1,000   1,472  
2.75%, 05/31/2017   340   354 7.63%, 02/15/2025   627   936  
2.75%, 12/31/2017   1,100   1,154 8.13%, 05/15/2021   310   423  
2.75%, 02/15/2019   3,390   3,584     $   443,233  
2.75%, 11/15/2023   4,250   4,503 TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY      
2.75%, 02/15/2024   970   1,027 OBLIGATIONS   $   800,365  
2.75%, 08/15/2042   534   521 Total Investments   $   1,419,950  
2.75%, 11/15/2042   3,640   3,552 Liabilities in Excess of Other Assets, Net - (12.24)% $   (154,849 )
2.88%, 03/31/2018   460   486 TOTAL NET ASSETS - 100.00%   $   1,265,101  
2.88%, 05/15/2043   2,935   2,936            
3.00%, 08/31/2016   1,310   1,352            

 

See accompanying notes.

22

 

Schedule of Investments
Bond Market Index Fund
May 31, 2015 (unaudited)

(a)      Variable Rate. Rate shown is in effect at May 31, 2015.
(b)      Fair value of these investments is determined in good faith by the Manager under procedures established and periodically reviewed by the Board of Directors. At the end of the period, the fair value of these securities totaled $20 or 0.00% of net assets.
(c)      Non-Income Producing Security
(d)      Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities totaled $4,713 or 0.37% of net assets.
(e)      Security purchased on a when-issued basis.
(f)      Credit support indicates investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution, or government agency.
(g)      Security was purchased in a "to-be-announced" ("TBA") transaction. See Notes to Financial Statements for additional information.
Portfolio Summary (unaudited)
Sector Percent  
Government 42.26 %
Mortgage Securities 30.43 %
Exchange Traded Funds 12.83 %
Financial 8.49 %
Consumer, Non-cyclical 3.66 %
Energy 3.33 %
Communications 2.68 %
Utilities 1.80 %
Industrial 1.72 %
Consumer, Cyclical 1.28 %
Technology 1.23 %
Basic Materials 1.18 %
Asset Backed Securities 0.52 %
Revenue Bonds 0.43 %
General Obligation Unlimited 0.40 %
Insured 0.00 %
Liabilities in Excess of Other Assets, Net (12.24 )%
TOTAL NET ASSETS 100.00 %

 

See accompanying notes.

23

 

Schedule of Investments
Capital Securities Fund
May 31, 2015 (unaudited)
 
 
  PREFERRED STOCKS - 9.93%     Shares Held Value (000's)     Principal    
              BONDS (continued)   Amount (000's) Value (000's)
Banks- 5.73 %                  
  CoBank ACB 6.13%     6,000 $ 566 Banks (continued)        
  CoBank ACB 6.20%     4,000   407 UBS AG/Stamford CT        
  Fifth Third Bancorp     123,534   3,516 7.63%, 08/17/2022 $ 1,600 $ 1,906
  M&T Bank Corp - Series C     1,928   1,991 Wells Fargo & Co        
        $   6,480 7.98%, 12/31/2049(b)   2,400   2,640
                  $   45,363
  Electric - 0.94%                    
  Georgia Power Co 6.50%     10,000   1,067 Diversified Financial Services - 9.00%        
              Charles Schwab Corp/The        
              7.00%, 02/28/2049(b)   2,113   2,494
  Insurance - 0.73%           Depository Trust & Clearing Corp/The        
  XLIT Ltd     1,000   823 4.88%, 12/29/2049(a),(b)   1,000   1,001
              General Electric Capital Corp        
  Telecommunications - 2.53%           6.38%, 11/15/2067(b)   800   872
  Centaur Funding Corp 9.08% (a)     2,329   2,867 7.13%, 12/29/2049(b)   2,700   3,152
              Glen Meadow Pass-Through Trust        
  TOTAL PREFERRED STOCKS     $   11,237 6.51%, 02/12/2067(a),(b)   1,500   1,395
        Principal     HSBC Finance Capital Trust IX        
BONDS- 83.00 %   Amount (000's) Value (000's) 5.91%, 11/30/2035   1,250   1,264
                  $   10,178
Banks- 40.09 %                  
  Abbey National Capital Trust I           Electric - 5.62%        
  8.96%, 12/31/2049   $ 750 $ 982 Electricite de France SA        
  Banco do Brasil SA/Cayman           5.25%, 01/29/2049(a),(b)   200   208
  9.25%, 10/31/2049(a),(b)     1,000   970 5.25%, 01/29/2049(b)   2,300   2,390
  Bank of America Corp           RWE AG        
  6.50%, 10/29/2049(b)     500   529 7.00%, 10/12/2072(b)   3,500   3,762
  Bank of New York Mellon Corp/The               $   6,360
  4.95%, 12/29/2049(b)     2,000   2,000          
              Hand & Machine Tools - 0.58%        
 
  Barclays  Bank PLC     1,400   1,550 Stanley Black & Decker Inc        
   7.75%,04/10/2023 (b)           5.75%, 12/15/2053   600   653
  Barclays PLC                    
  6.63%, 06/29/2049(b)     636   631          
  BNP Paribas SA           Insurance - 22.83%        
  7.20%, 06/29/2049(a)     1,600   1,916 ACE Capital Trust II        
  Citizens Financial Group Inc           9.70%, 04/01/2030   1,170   1,748
  5.50%, 12/29/2049(a),(b)     5,000   4,887 Allstate Corp/The        
  Cooperatieve Centrale Raiffeisen-           5.75%, 08/15/2053(b)   300   323
  Boerenleenbank BA/Netherlands           Aon Corp        
  8.40%, 11/29/2049(b)     2,000   2,190 8.21%, 01/01/2027   1,000   1,305
  11.00%, 12/29/2049(a),(b)     1,400   1,792 AXA SA        
  Corestates Capital III           8.60%, 12/15/2030   1,600   2,220
  0.84%, 02/15/2027(a),(b)     2,000   1,755 Catlin Insurance Co Ltd        
  Credit Agricole SA           7.25%, 07/29/2049(a)   1,300   1,219
  8.38%, 12/31/2049(a),(b)     2,250   2,655 Dai-ichi Life Insurance Co Ltd/The        
  Credit Suisse Group AG           5.10%, 10/29/2049(a),(b)   100   108
  7.50%, 12/29/2049(a),(b)     1,300   1,383 Everest Reinsurance Holdings Inc        
  Fulton Capital Trust I           6.60%, 05/01/2067(b)   400   399
  6.29%, 02/01/2036     500   496 Great-West Life & Annuity Insurance Capital        
  Goldman Sachs Group Inc/The           LP        
  5.70%, 12/29/2049(b)     1,000   1,011 6.63%, 11/15/2034(a)   1,200   1,349
  HSBC Capital Funding LP/Jersey           Hartford Financial Services Group Inc/The        
  10.18%, 12/29/2049(a),(b)     500   763 8.13%, 06/15/2068(b)   200   225
  JP Morgan Chase & Co           Liberty Mutual Group Inc        
  6.75%, 01/29/2049(b)     2,000   2,180 7.80%, 03/07/2087(a)   700   849
  M&T Bank Corp           Liberty Mutual Insurance Co        
  6.45%, 12/29/2049(b)     1,300   1,412 7.70%, 10/15/2097(a)   1,000   1,271
  Morgan Stanley           Lincoln National Corp        
  5.55%, 12/29/2049(b)     1,500   1,506 6.05%, 04/20/2067(b)   800   734
  National Australia Bank Ltd/New York           MetLife Capital Trust IV        
  8.00%, 09/29/2049     600   644 7.88%, 12/15/2067(a)   1,800   2,335
  Nordea Bank AB           MetLife Capital Trust X        
  5.50%, 09/29/2049(a),(b)     400   405 9.25%, 04/08/2068(a)   800   1,174
  5.50%, 09/29/2049(b)     1,600   1,618 MetLife Inc        
  6.13%, 12/29/2049(a),(b)     1,000   1,024 10.75%, 08/01/2069   400   662
  PNC Financial Services Group Inc/The           Nationwide Financial Services Inc        
  6.75%, 07/29/2049(b)     1,700   1,893 6.75%, 05/15/2087   500   525
  Societe Generale SA           Nippon Life Insurance Co        
  7.88%, 12/29/2049(a),(b)     1,000   1,028 5.00%, 10/18/2042(a),(b)   1,525   1,628
  8.25%, 09/29/2049(b)     750   798 PartnerRe Finance II Inc        
  Standard Chartered PLC           6.44%, 12/01/2066(b)   1,000   1,014
  6.50%, 12/29/2049(b)     1,500   1,519 Prudential Financial Inc        
  UBS AG/Jersey           5.63%, 06/15/2043(b)   2,800   2,972
  7.25%, 02/22/2022(b)     1,200   1,280          

 

See accompanying notes.

24

 

       Schedule of Investments        
       Capital Securities Fund        
       May 31, 2015 (unaudited)        
 
 
      Principal          
BONDS (continued) Amount (000's) Value (000 's)
 
Insurance (continued)              
Prudential PLC              
  7.75%, 01/29/2049 $         2,000 $ 2,107  
Sirius International Group Ltd              
  7.51%, 05/29/2049(a),(b)   600       630  
Voya Financial Inc              
  5.65%, 05/15/2053(b)   1,000       1,037  
          $   25,834  
 
Pipelines - 1.44%              
Transcanada Trust              
  5.63%, 05/20/2075(b)   1,600       1,628  
 
 
Telecommunications - 1.42%              
Koninklijke KPN NV              
  7.00%, 03/28/2073(b)   1,500       1,601  
 
 
Transportation - 2.02%              
BNSF Funding Trust I              
  6.61%, 12/15/2055(b)   2,000       2,290  
 
TOTAL BONDS       $   93,907  
      Principal          
CONVERTIBLE BONDS - 0.44% Amount (000's) Value (000 's)
 
Banks - 0.44%              
ING Groep NV              
  6.50%, 12/29/2049(b)   500       500  
 
TOTAL CONVERTIBLE BONDS       $   500  
Total Investments       $   105,644  
Other Assets in Excess of Liabilities, Net - 6.63%   $   7,505  
TOTAL NET ASSETS - 100.00%       $   113,149  
 
 
(a) Security exempt from registration under Rule 144A of the Securities Act of  
  1933. These securities may be resold in transactions exempt from  
  registration, normally to qualified institutional buyers. At the end of the  
  period, the value of these securities totaled $34,612 or 30.59% of net  
  assets.              
(b) Variable Rate. Rate shown is in effect at May 31, 2015.          
 
 
 
  Portfolio Summary (unaudited)          
Sector           Percent  
Financial           78.82 %
Utilities           6.56 %
Communications           3.95 %
Industrial           2.60 %
Energy           1.44 %
Other Assets in Excess of Liabilities, Net           6.63 %
TOTAL NET ASSETS           100.00 %

 

See accompanying notes.

25

 

Schedule of Investments
Credit Opportunities Explorer Fund
May 31, 2015 (unaudited)
 
 
  INVESTMENT COMPANIES - 1.10%     Shares Held                        Value (000's)         Principal    
                BONDS (continued)     Amount (000's)          Value (000's)
  Publicly Traded Investment Fund - 1.10%                        
  BlackRock Liquidity Funds FedFund Portfolio     217,162 $ 217   Forest Products & Paper - 1.08%          
                Sappi Papier Holding GmbH          
  TOTAL INVESTMENT COMPANIES     $   217   8.38%, 06/15/2019(a)   $ 200 $ 214
        Principal                  
BONDS- 91.31 %   Amount (000's) Value (000's)   Healthcare - Products - 3.00%          
  Automobile Manufacturers - 2.01%             Zimmer Holdings Inc          
  General Motors Financial Co Inc             3.55%, 04/01/2025     600   593
  4.00%, 01/15/2025   $ 145 $ 144              
  Jaguar Land Rover Automotive PLC             Healthcare - Services - 0.64%          
  5.63%, 02/01/2023(a)     175   187   Centene Corp          
  Navistar International Corp             4.75%, 05/15/2022     120   126
  8.25%, 11/01/2021     65   65              
        $   396              
                Home Builders - 0.77%          
Banks- 14.19 %           WCI Communities Inc          
  Barclays PLC             6.88%, 08/15/2021     145   151
  8.25%, 12/29/2049(b)     200   214              
  BPCE SA                        
  4.63%, 07/11/2024(a)     250   252   Insurance - 6.89%          
  Capital One Financial Corp             MetLife Capital Trust IV          
                7.88%, 12/15/2067(a)     610   791
  5.55%, 12/29/2049(b)     400   400              
  Compass Bank             Prudential Financial Inc          
                5.38%, 05/15/2045(b)     400   403
  3.88%, 04/10/2025     250   244              
  Goldman Sachs Group Inc/The             Voya Financial Inc          
                5.65%, 05/15/2053(b)     160   166
  5.38%, 12/29/2049(b)     500   499              
  JP Morgan Chase & Co                   $   1,360
  5.00%, 12/29/2049(b)     100   99   Iron & Steel - 1.90%          
  5.30%, 12/29/2049(b)     200   200   Glencore Funding LLC          
  Societe Generale SA             4.00%, 04/16/2025(a)     250   241
  4.25%, 04/14/2025(a)     400   386   Signode Industrial Group Lux SA/Signode          
  State Street Corp             Industrial Group US Inc          
  5.25%, 12/29/2049(b)     500   506   6.38%, 05/01/2022(a)     135   135
        $   2,800         $   376
 
  Building Materials - 1.09%           Media - 2.77 %        
  Cemex SAB de CV             DISH DBS Corp          
  7.25%, 01/15/2021(a)     200   215   6.75%, 06/01/2021     135   144
                Time Warner Cable Inc          
  Chemicals - 1.04%             7.30%, 07/01/2038     300   350
  Consolidated Energy Finance SA             WideOpenWest Finance LLC /          
  6.75%, 10/15/2019(a)     200   206   WideOpenWest Capital Corp          
                10.25%, 07/15/2019     50   53
                      $   547
  Commercial Services - 0.05%                        
  Ahern Rentals Inc             Metal Fabrication & Hardware - 0.66%          
  7.38%, 05/15/2023(a)     10   10   Wise Metals Intermediate Holdings LLC/Wise          
                Holdings Finance Corp          
                9.75%, PIK 10.50%, 06/15/2019(a),(c)     120   130
  Computers - 1.02%                        
  Seagate HDD Cayman                        
  4.88%, 06/01/2027(a)     200   202   Mining - 4.37%          
                FMG Resources August 2006 Pty Ltd          
                9.75%, 03/01/2022(a)     80   84
  Diversified Financial Services - 1.53%             Freeport-McMoRan Inc          
  Credit Acceptance Corp             5.40%, 11/14/2034     650   584
  7.38%, 03/15/2023(a)     95   99              
                Southern Copper Corp          
  Fly Leasing Ltd             5.88%, 04/23/2045     200   195
  6.38%, 10/15/2021     200   202         $   863
        $   301              
                Mortgage Backed Securities - 5.31%          
  Electronics - 2.51%             CD 2007-CD4 Commercial Mortgage Trust          
  Keysight Technologies Inc             5.37%, 12/11/2049     200   208
  4.55%, 10/30/2024(a)     500   495              
                Commercial Mortgage Pass Through          
                Certificates          
  Entertainment - 1.36%             4.77%, 10/15/2045(a),(b)     200   211
  CCM Merger Inc             JP Morgan Chase Commercial Mortgage          
  9.13%, 05/01/2019(a)     140   152   Securities Trust 2007-C1          
  WMG Acquisition Corp             5.95%, 02/15/2051(b)     200   215
  6.75%, 04/15/2022(a)     120   117   JPMBB Commercial Mortgage Securities          
        $   269   Trust 2014-C24          
                1.09%, 11/15/2047(b)     2,718   179
Food- 2.45 %           4.43%, 11/15/2047(b)     225   235
  Grupo Bimbo SAB de CV                   $   1,048
  4.88%, 06/27/2044(a)     500   484              

 

See accompanying notes.

26

 

Schedule of Investments
Credit Opportunities Explorer Fund
May 31, 2015 (unaudited)
 
 
    Principal           Principal      
BONDS (continued)   Amount (000's)                        Value (000's)   BONDS (continued)   Amount (000's)                                 Value (000's)
 
Oil & Gas - 5.06%           Transportation (continued)          
ConocoPhillips Co           Navios Maritime Acquisition Corp / Navios          
1.18%, 05/15/2022(b) $ 400 $ 404   Acquisition Finance US Inc          
EP Energy LLC / Everest Acquisition Finance           8.13%, 11/15/2021(a)   $ 120 $ 122
Inc           Navios South American Logistics Inc / Navios          
7.75%, 09/01/2022   40   42   Logistics Finance US Inc          
9.38%, 05/01/2020   100   109   7.25%, 05/01/2022(a)     120   116
Halcon Resources Corp                 $   380
9.75%, 07/15/2020   55   40   TOTAL BONDS     $   18,025
Ocean Rig UDW Inc           SENIOR FLOATING RATE INTERESTS - Principal      
7.25%, 04/01/2019(a)   175   132   5.18 % Amount (000's) Value (000's)
Pacific Rubiales Energy Corp                      
5.38%, 01/26/2019(a)   200   181   Aerospace & Defense - 0.51%          
Seventy Seven Operating LLC           B/E Aerospace Inc, Term Loan B          
            4.00%, 11/19/2021(b)   $ 100 $ 101
6.63%, 11/15/2019   110   91              
    $   999              
 
Pharmaceuticals - 3.22%           Automobile Manufacturers - 0.36%          
Forest Laboratories Inc           Navistar Inc, Term Loan B          
            5.75%, 08/17/2017(b)     70   70
4.88%, 02/15/2021(a)   500   546              
Valeant Pharmaceuticals International Inc                      
5.38%, 03/15/2020(a)   85   89   Chemicals - 0.25%          
    $   635   AZ Chem US Inc, Term Loan          
            7.50%, 06/10/2022(b)     50   50
Pipelines - 8.85%                      
Columbia Pipeline Group Inc                      
5.80%, 06/01/2045(a)   500   517   Electronics - 0.34%          
Energy Transfer Partners LP           Isola USA Corp, Term Loan B          
5.15%, 03/15/2045   450   422   9.25%, 11/29/2018(b)     68   66
EnLink Midstream Partners LP                      
5.05%, 04/01/2045   400   382              
Williams Partners LP           Entertainment - 0.48%          
            CCM Merger Inc, Term Loan B          
5.10%, 09/15/2045   450   426   4.50%, 07/30/2021(b)     95   95
    $   1,747              
 
Private Equity - 2.31%           Forest Products & Paper - 0.91%          
KKR Group Finance Co III LLC           Caraustar Industries Inc, Term Loan B          
5.13%, 06/01/2044(a)   450   456              
            8.00%, 05/01/2019(b)     100   100
            NewPage Corp, Term Loan B          
Retail - 4.18%           9.50%, 02/05/2021(b)     93   80
Building Materials Holding Corp                 $   180
9.00%, 09/15/2018(a)   165   178              
Landry's Holdings II Inc           Healthcare - Services - 0.45%          
10.25%, 01/01/2018(a)   120   125   MPH Acquisition Holdings LLC, Term Loan          
            B          
McDonald's Corp           3.75%, 03/19/2021(b)     90   89
4.60%, 05/26/2045   400   406              
New Academy Finance Co LLC / New                      
Academy Finance Corp           Insurance - 0.52%          
8.00%, PIK 8.75%, 06/15/2018(a),(c)   115   116   Asurion LLC, Term Loan          
    $   825   8.50%, 02/19/2021(b)     100   102
 
Semiconductors - 3.02%                      
QUALCOMM Inc           Mining - 0.88%          
3.45%, 05/20/2025   600   597   American Rock Salt Co LLC, Term Loan          
            8.00%, 05/16/2022(b)     100   102
            FMG Resources August 2006 Pty Ltd, Term          
Software - 0.89%           Loan B          
Activision Blizzard Inc           3.75%, 06/30/2019(b)     80   72
6.13%, 09/15/2023(a)   160   176              
                  $   174
 
            Oil & Gas - 0.43%          
Telecommunications - 7.21%           Drillships Financing Holding Inc, Term Loan          
Altice Finco SA                      
8.13%, 01/15/2024(a)   200   210   B1          
            6.00%, 03/31/2021(b)     99   85
AT&T Inc                      
4.75%, 05/15/2046   300   286              
Verizon Communications Inc         REITS- 0.05 %        
4.67%, 03/15/2055(a)   800   720   iStar Financial Inc, Term Loan A2          
Wind Acquisition Finance SA           7.00%, 03/19/2017(b)     10   10
7.38%, 04/23/2021(a)   200   208              
    $   1,424   TOTAL SENIOR FLOATING RATE INTERESTS $   1,022
 
Transportation - 1.93%           Total Investments     $   19,264
Eletson Holdings           Other Assets in Excess of Liabilities, Net - 2.41% $   475
9.63%, 01/15/2022(a)   145   142   TOTAL NET ASSETS - 100.00%     $   19,739

 

See accompanying notes.

27

 

Schedule of Investments
Credit Opportunities Explorer Fund
May 31, 2015 (unaudited)

(a)      Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities totaled $8,645 or 43.80% of net assets.
(b)      Variable Rate. Rate shown is in effect at May 31, 2015.
(c)      Payment in kind; the issuer has the option of paying additional securities in lieu of cash.
  Portfolio Summary (unaudited)                              
Sector     Percent                          
Financial     25.46 %                        
Energy     14.34 %                        
Basic Materials     10.45 %                        
Communications     9.99 %                        
Consumer, Non-cyclical   9.81 %                        
Consumer, Cyclical     9.15 %                        
Industrial     7.04 %                        
Mortgage Securities     5.31 %                        
Technology     4.94 %                        
Exchange Traded Funds   1.10 %                        
Other Assets in Excess of Liabilities, Net   2.41 %                        
TOTAL NET ASSETS   100.00 %                        
 
Futures Contracts
                          Unrealized    
Type   Long/Short Contracts   Notional Value   Fair Value        Appreciation/(Depreciation)  
Euro Bund 10 Year Bund; September 2015 Long     3 $ 510   $   511 $     1  
Euro-Bobl 5 Year; September 2015 Long     7   1,000       1,001       1  
UK 10 Year Gilt; September 2015 Long     8   1,431       1,440       9  
US 10 Year Note; September 2015 Short     36   4,575       4,597       (22 )
US 5 Year Note; September 2015 Long     26   3,099       3,113       14  
US Long Bond; September 2015 Short     1   154       155       (1 )
US Ultra Bond; September 2015 Short     10   1,591       1,603       (12 )
Total                     $       (10 )
 
Amounts in thousands except contracts                              
Total Return Swaps
          Pay/Receive   Expiration       Fair Value  
Counterparty (Issuer) Reference Entity   Contracts            Positive Return                         Floating Rate   Date Notional Amount   Asset Liability  
Barclays Bank PLC Price return based on Principal Global N/A   Receive   0.80 % 06/04/2015 $ 100 $ 2 $ —  
  Dynamic VIX Alpha Excess Return Strategy                            
Barclays Bank PLC Price return based on S&P 500 Dynamic VIX N/A   Receive   1.40 % 06/04/2015   100   —   (1 )
  Futures Excess Return Index                              
Total                     $   2 $ (1 )
 
Amounts in thousands except contracts                              

 

See accompanying notes.

28

 

Schedule of Investments
Diversified Real Asset Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS - 52.70% Shares Held        Value (000's) COMMON STOCKS (continued) Shares Held    Value (000's)
 
Agriculture - 0.33%       Electric (continued)      
Adecoagro SA (a) 48,126 $ 465 Electricite de France SA 96,628 $ 2,373
Archer-Daniels-Midland Co 106,294   5,618 Enel Green Power SpA 726,914   1,377
Bunge Ltd 62,537   5,788 Eversource Energy 117,900   5,807
SLC Agricola SA 197,700   977 GDF Suez 466,069   9,395
  $   12,848 HK Electric Investments & HK Electric 2,119,700   1,440
        Investments Ltd (d)      
Automobile Manufacturers - 0.10%       Huadian Fuxin Energy Corp Ltd 2,266,000   1,183
Mahindra & Mahindra Ltd 174,844   3,496 Infraestructura Energetica Nova SAB de CV 444,400   2,381
Mahindra & Mahindra Ltd - Warrants (a),(b) 28,291   557        
        ITC Holdings Corp 407,800   14,392
  $   4,053 NextEra Energy Inc 20,200   2,067
Beverages - 0.03%       Origin Energy Ltd 688,300   6,965
Mcleod Russel India Ltd - Warrants (a),(b) 282,753   1,063 PG&E Corp 400,900   21,436
        Red Electrica Corp SA 111,300   9,355
        Xcel Energy Inc 63,000   2,145
Building Materials - 0.13%         $   91,573
Boise Cascade Co (a) 69,052   2,447        
Duratex SA 382,000   959 Electronics - 0.10%      
Norbord Inc 88,891   1,898 Trimble Navigation Ltd (a) 169,720   3,978
  $   5,304        
 
Chemicals - 1.69%       Energy - Alternate Sources - 0.10%      
Agrium Inc 51,322   5,332 China Longyuan Power Group Corp Ltd 945,000   1,164
CF Industries Holdings Inc 19,970   6,308 Ence Energia y Celulosa SA 513,627   1,868
China BlueChemical Ltd 4,314,000   1,928 NextEra Energy Partners LP (b) 4,780   226
Cytec Industries Inc 8,503   514 NextEra Energy Partners LP 4,246   201
FMC Corp 20,975   1,199 TerraForm Power Inc 17,247   692
Givaudan SA (a) 2,598   4,760   $   4,151
Israel Chemicals Ltd 454,739   3,252 Engineering & Construction - 1.23%      
K+S AG 30,998   1,011 Aeroports de Paris 23,300   2,881
Koninklijke DSM NV 54,242   3,211 Auckland International Airport Ltd 528,867   1,818
Mosaic Co/The 69,671   3,194 Beijing Capital International Airport Co Ltd 1,976,900   2,358
Novozymes A/S 29,828   1,433 Eiffage SA 31,617   1,843
OCI NV (a) 47,970   1,413        
Platform Specialty Products Corp (a),(c) 78,770   2,061 Ferrovial SA 442,112   9,542
        Flughafen Zuerich AG 11,814   9,352
Potash Corp of Saskatchewan Inc 65,638   2,066 Fraport AG Frankfurt Airport Services 24,509   1,612
Potash Corp of Saskatchewan Inc 104,322   3,284 Worldwide      
Sensient Technologies Corp 39,306   2,661 Hopewell Highway Infrastructure Ltd 2,174,000   1,078
Sociedad Quimica y Minera de Chile SA 133,480   2,607 SBA Communications Corp (a) 143,300   16,022
ADR       Vinci SA 34,983   2,074
Syngenta AG 29,703   13,516   $   48,580
Tessenderlo Chemie NV (a) 94,065   3,480        
Yara International ASA 69,893   3,522 Food - 1.35%      
  $   66,752 Ajinomoto Co Inc 123,000   2,534
        Almarai Co - Warrants (a),(b),(c),(d) 67,342   1,621
Coal - 0.04%       Aryzta AG (a) 50,114   3,177
Consol Energy Inc 59,467   1,656 BRF SA 101,600   2,063
        Cal-Maine Foods Inc 57,346   3,251
Commercial Services - 1.51%       ConAgra Foods Inc 110,744   4,276
Abertis Infraestructuras SA 470,397   8,261 Cosan Ltd 140,131   870
Atlantia SpA 527,026   13,582 Darling Ingredients Inc (a) 179,079   2,812
COSCO Pacific Ltd 1,000,000   1,440 Fuji Oil Co Ltd/Osaka 128,400   2,032
Hamburger Hafen und Logistik AG 88,000   1,902 Hain Celestial Group Inc (a) 37,829   2,394
Hutchison Port Holdings Trust 10,542,300   6,950 Hormel Foods Corp 74,378   4,256
Multi-Color Corp 36,796   2,357 Iwatsuka Confectionery Co Ltd (c) 23,400   1,538
OHL Mexico SAB de CV (a) 764,500   1,028 JBS SA 430,800   2,105
Transurban Group 3,140,276   24,338 Kato Sangyo Co Ltd 43,000   938
  $   59,858 McCormick & Co Inc/MD 30,651   2,406
        NH Foods Ltd 77,000   1,667
Consumer Products - 0.09%       Sao Martinho SA 86,100   964
Kimberly-Clark Corp 27,011   2,941 Saputo Inc 143,638   3,907
Wausau Paper Corp 59,956   586 Sysco Corp 90,138   3,350
  $   3,527 Tate & Lyle PLC 245,157   2,182
Cosmetics & Personal Care - 0.26%       Tingyi Cayman Islands Holding Corp 672,000   1,426
Svenska Cellulosa AB SCA 264,130   6,898 Toyo Suisan Kaisha Ltd 42,300   1,466
Unicharm Corp 155,200   3,423 Tyson Foods Inc 51,096   2,169
  $   10,321   $   53,404
 
Electric - 2.32%       Forest Products & Paper - 2.62%      
        Acadian Timber Corp (c) 90,061   1,376
American Electric Power Co Inc 50,600   2,848        
Dominion Resources Inc/VA 18,500   1,305 BillerudKorsnas AB 80,693   1,368
        Canfor Corp (a) 269,097   5,555
DUET Group 523,028   1,018 Clearwater Paper Corp (a) 41,131   2,468
Duke Energy Corp 52,500   3,976 Deltic Timber Corp (c) 109,698   7,080
Edison International 34,700   2,110 Empresas CMPC SA (c) 2,582,205   7,588

 

See accompanying notes

29

 

Schedule of Investments
Diversified Real Asset Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held              Value (000's) COMMON STOCKS (continued) Shares Held              Value (000's)
 
Forest Products & Paper (continued)       Metal Fabrication & Hardware - 0.08%      
Fibria Celulose SA ADR 604,177 $ 8,356 Valmont Industries Inc 25,837 $ 3,215
Holmen AB 117,630   3,526        
Interfor Corp (a) 167,677   2,653        
International Paper Co 59,541   3,086 Mining - 0.52%      
Klabin SA 1,410,900   8,404 African Rainbow Minerals Ltd 47,096   380
        Agnico Eagle Mines Ltd 41,895   1,348
Metsa Board OYJ 139,338   881 Alacer Gold Corp (a) 254,861   580
Mondi PLC 428,463   9,679 B2Gold Corp (a) 400,464   679
Nine Dragons Paper Holdings Ltd 1,223,000   1,117        
Pope Resources a Delaware LP (c) 45,127   3,048 Barrick Gold Corp 106,373   1,262
        BHP Billiton Ltd ADR 29,938   1,336
Portucel SA 204,027   845 Century Aluminum Co (a) 22,872   256
Smurfit Kappa Group PLC 27,633   816 Constellium NV (a) 77,123   1,050
Smurfit Kappa Group PLC 130,496   3,843 Eldorado Gold Corp 222,084   1,070
Stora Enso OYJ 555,043   5,817 First Quantum Minerals Ltd 126,710   1,638
Sumitomo Forestry Co Ltd 119,600   1,555  Freeport-McMoRan Inc  41,334    812
Suzano Papel e Celulose SA 1,796,000   9,323 Glencore  PLC (a) 427,480   1,885
TFS Corp Ltd 1,515,959   2,190 Guyana Goldfields Inc (a),(b) 31,955   95
UPM-Kymmene OYJ 216,797   3,896 Guyana Goldfields Inc (a) 117,225   348
West Fraser Timber Co Ltd 120,117   6,624 Ivanhoe Mines Ltd (a) 103,713   100
Western Forest Products Inc 1,328,467   2,350 Kinross Gold Corp (a) 149,943   352
  $   103,444 Lonmin PLC (a) 4,487   10
Gas - 4.20%       Lundin Mining Corp (a) 275,352   1,247
AGL Resources Inc 36,400   1,834 Northern Dynasty Minerals Ltd (a) 29,655   11
Beijing Enterprises Holdings Ltd 779,400   6,805 Platinum Group Metals Ltd (a) 64,574   28
CenterPoint Energy Inc 569,800   11,607 Randgold Resources Ltd ADR 27,478   1,985
Centrica PLC 614,477   2,604 Rio Tinto PLC ADR 38,676   1,693
ENN Energy Holdings Ltd 1,420,800   9,523 Silver Wheaton Corp 36,465   695
Hong Kong & China Gas Co Ltd 2,642,100   6,363 South32 Ltd ADR(a) 11,648   96
Keyera Corp 205,300   6,760 Southern Copper Corp 42,712   1,282
National Grid PLC 2,476,915   35,466 Tahoe Resources Inc 30,640   426
NiSource Inc 373,100   17,603   $   20,664
ONE Gas Inc 148,443   6,581  Miscellaneous Manufacturing - 0.08%      
Sempra Energy 282,600   30,371 LSB Industries Inc (a) 48,997   2,084
Snam SpA 1,207,900   5,983        
Tokyo Gas Co Ltd 2,879,000   15,877 Raven Industries Inc 65,369   1,259
Western Gas Equity Partners LP (c) 135,744   8,694   $   3,343
  $   166,071 Oil & Gas - 2.02%      
        Africa Oil Corp (a) 6,686   14
Healthcare - Services - 0.10%       Africa Oil Corp (a) 22,619   48
Brookdale Senior Living Inc (a) 102,890   3,878        
        Anadarko Petroleum Corp 55,087   4,606
        Antero Midstream Partners LP (c) 337,817   9,628
Holding Companies - Diversified - 0.36%       Antero Resources Corp (a) 31,048   1,242
Cengage Learning Holdings II LP 11,792   325 Bankers Petroleum Ltd (a) 133,069   325
China Merchants Holdings International Co Ltd 2,446,000   10,768 Canadian Natural Resources Ltd 26,361   813
      Cheniere Energy Inc (a) 8,010   607
Empresas COPEC SA 256,799   2,940 Cimarex Energy Co 19,331   2,233
  $   14,033 Cobalt International Energy Inc (a) 67,385   685
        Concho Resources Inc (a) 37,571   4,520
Home Builders - 0.32%       Crew Energy Inc (a) 84,957   382
DR Horton Inc 111,253   2,906 Devon Energy Corp 55,676   3,631
Lennar Corp 91,157   4,251 EOG Resources Inc 38,239   3,392
Pulte Group Inc 158,494   3,040 EQT GP Holdings LP (a) 89,012   2,868
Toll Brothers Inc (a) 62,380   2,256        
        Genel Energy PLC (a) 72,271   584
  $   12,453 Gulfport Energy Corp (a) 29,380   1,268
Home Furnishings - 0.07%       Hess Corp 18,598   1,256
Rational AG 7,486   2,880 Kosmos Energy Ltd (a) 55,825   496
        Laredo Petroleum Inc (a) 65,923   898
        Lekoil Ltd (a) 326,302   125
Iron & Steel - 0.04%       Marathon Oil Corp 75,823   2,062
Reliance Steel & Aluminum Co 22,331   1,425 Marathon Petroleum Corp 28,177   2,915
        MEG Energy Corp (a),(d) 6,400   103
Lodging - 0.12%       MEG Energy Corp (a) 45,898   738
Accor SA 85,693   4,689 Newfield Exploration Co (a) 30,045   1,136
        Noble Energy Inc 82,455   3,610
        NuVista Energy Ltd (a) 73,513   455
Machinery - Diversified - 1.05%       Oasis Petroleum Inc (a) 29,285   497
AGCO Corp 201,972   10,256 Occidental Petroleum Corp 20,114   1,573
ANDRITZ AG 48,818   3,016 Oil Search Ltd 86,581   500
Deere & Co 125,740   11,779 Patterson-UTI Energy Inc 64,742   1,308
Kubota Corp 478,000   7,948 PDC Energy Inc (a) 37,344   2,227
Manitowoc Co Inc/The 157,572   2,972 Phillips 66 30,358   2,402
Middleby Corp/The (a) 29,588   3,216        
        Pioneer Natural Resources Co 8,167   1,207
Valmet OYJ 201,436   2,258 Range Resources Corp 37,789   2,094
  $   41,445 Rice Energy Inc (a) 50,936   1,117

 

See accompanying notes

30

 

Schedule of Investments
Diversified Real Asset Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held      Value (000's) COMMON STOCKS (continued) Shares Held   Value (000's)
 
Oil & Gas (continued)       Real Estate - 1.83%      
Rowan Cos PLC 26,485 $ 569 Aeon Mall Co Ltd 260,900 $ 4,778
Seven Generations Energy Ltd (a) 22,220   298 CapitaLand Ltd 2,372,600   6,134
Suncor Energy Inc 106,459   3,112 Dalian Wanda Commercial Properties Co Ltd 398,500   3,267
Valero Energy Partners LP (c) 201,891   10,339 (d)      
Western Refining Inc 22,266   979 Deutsche Wohnen AG 194,488   4,742
Whiting Petroleum Corp (a) 27,819   918 Deutsche Wohnen AG - Rights (a) 194,488   7
  $   79,780 Fabege AB 356,290   4,967
        Hongkong Land Holdings Ltd 1,052,440   9,058
Oil & Gas Services - 1.03%       LEG Immobilien AG 28,019   2,054
Cameron International Corp (a) 49,249   2,528        
        Mitsui Fudosan Co Ltd 431,000   12,526
Core Laboratories NV 5,245   616 New World Development Co Ltd 3,991,000   5,315
Dril-Quip Inc (a) 31,945   2,414        
Flotek Industries Inc (a) 49,156   565 Nomura Real Estate Holdings Inc 242,500   4,966
FMC Technologies Inc (a) 21,129   883 ST Modwen Properties PLC 1,463   10
        Sun Hung Kai Properties Ltd 581,750   9,838
Halliburton Co 71,794   3,259 UNITE Group PLC/The 479,555   4,558
Independence Contract Drilling Inc (a) 60,486   444        
        Wihlborgs Fastigheter AB 15,603   263
National Oilwell Varco Inc 11,069   544   $   72,483
Schlumberger Ltd 43,950   3,989        
Superior Energy Services Inc 67,023   1,548 REITS - 7.96%      
Targa Resources Corp 260,273   23,933 Alexandria Real Estate Equities Inc 49,600   4,599
  $   40,723 American Tower Corp 470,078   43,618
        Apartment Investment & Management Co 126,863   4,812
Packaging & Containers - 0.84%       AvalonBay Communities Inc 43,735   7,282
Ball Corp 80,345   5,703 Boston Properties Inc 51,704   6,723
Crown Holdings Inc (a) 78,834   4,359        
        Camden Property Trust 46,415   3,480
FP Corp 55,500   2,061 CatchMark Timber Trust Inc 197,337   2,348
Graphic Packaging Holding Co 379,197   5,400 Corrections Corp of America 38,500   1,354
Huhtamaki OYJ 28,588   964 Crown Castle International Corp 311,200   25,378
KapStone Paper and Packaging Corp 56,024   1,510 CubeSmart 230,444   5,482
Mayr Melnhof Karton AG 5,937   676 DDR Corp 251,672   4,258
MeadWestvaco Corp 24,847   1,256 Duke Realty Corp 251,597   4,921
Packaging Corp of America 61,186   4,233 EPR Properties 68,820   3,969
Rexam PLC 255,077   2,178 Equity One Inc 169,115   4,191
Rock-Tenn Co 45,751   2,980 Equity Residential 61,817   4,594
Sealed Air Corp 34,559   1,683 Essex Property Trust Inc 45,960   10,232
  $   33,003 Federal Realty Investment Trust 33,386   4,489
Pharmaceuticals - 0.16%       General Growth Properties Inc 254,449   7,209
Neogen Corp (a) 16,734   782 Goodman Group 972,301   4,838
Zoetis Inc 110,596   5,504 Great Portland Estates PLC 414,088   5,241
  $   6,286 Hammerson PLC 455,751   4,658
        Kenedix Office Investment Corp 489   2,548
Pipelines - 17.48%       Kenedix Retail REIT Corp 455   1,089
Buckeye Partners LP 398,161   30,790 Kilroy Realty Corp 64,400   4,448
Columbia Pipeline Partners LP 208,519   5,640 Klepierre 118,778   5,270
DCP Midstream Partners LP 220,374   8,330 Land Securities Group PLC 422,479   8,491
Enbridge Energy Management LLC 74,421   2,690 Mirvac Group 4,969,443   7,610
Enbridge Energy Partners LP 618,347   22,934 Nippon Building Fund Inc 288   1,344
Enbridge Inc 824,512   39,435 Pebblebrook Hotel Trust 108,787   4,665
Energy Transfer Equity LP 763,755   52,447 Plum Creek Timber Co Inc 253,361   10,454
EnLink Midstream LLC 84,282   2,791 Potlatch Corp 175,367   6,362
EnLink Midstream Partners LP 225,312   5,592 Prologis Inc 205,193   8,124
Enterprise Products Partners LP 1,571,217   50,939 Public Storage 50,225   9,721
EQT Midstream Partners LP 235,176   19,677 Rayonier Inc 402,911   10,403
Genesis Energy LP 218,726   10,637 Saul Centers Inc 11,615   585
Inter Pipeline Ltd 395,500   9,840 Simon Property Group Inc 109,397   19,845
Kinder Morgan Inc/DE 859,564   35,663 SL Green Realty Corp 60,966   7,234
Koninklijke Vopak NV 67,100   3,336 Strategic Hotels & Resorts Inc (a) 251,637   3,040
Magellan Midstream Partners LP (c) 682,141   54,380 Sun Communities Inc 61,260   3,866
MarkWest Energy Partners LP 444,832   28,749 Sunstone Hotel Investors Inc 205,517   3,136
MPLX LP (c) 275,081   20,081 Ventas Inc 124,225   8,263
ONEOK Inc 338,230   14,179 Vornado Realty Trust 16,078   1,606
Pembina Pipeline Corp 374,040   12,059 Westfield Corp 1,060,141   7,805
Phillips 66 Partners LP 203,640   14,813 Weyerhaeuser Co 344,026   11,201
Plains All American Pipeline LP 1,005,637   47,215 Workspace Group PLC 283,312   3,907
Plains GP Holdings LP 301,060   8,418   $   314,693
Shell Midstream Partners LP 221,202   9,932        
Spectra Energy Corp 784,622   27,595 Storage & Warehousing - 0.03%      
Sunoco Logistics Partners LP 725,015   28,711 Safestore Holdings PLC 327,493   1,368
Tesoro Logistics LP (c) 327,470   18,931        
TransCanada Corp 412,400   17,874 Telecommunications - 0.43%      
Veresen Inc 457,500   6,832 Cellnex Telecom SAU (a),(d) 75,300   1,269
Western Gas Partners LP (c) 303,336   20,778        
        Eutelsat Communications SA 171,173   5,825
Williams Cos Inc/The 1,159,713   59,261 Intelsat SA (a) 112,600   1,204
  $   690,549        

 

See accompanying notes

31

 

Schedule of Investments
Diversified Real Asset Fund
May 31, 2015 (unaudited)
 
 
  COMMON STOCKS (continued)     Shares Held Value (000 's)          
 
  Telecommunications (continued)                   BONDS (continued)   Principal Amount (000's)      Value (000's)
  SES SA     247,300 $ 8,750     Finance - Mortgage Loan/Banker (continued)      
            $   17,048     Freddie Mac (continued)          
                      0.19%, 01/13/2017(e)   $ 12,000 $ 12,006
  Textiles - 0.13%                   0.67%, 09/19/2016     7,000   7,002
  Mohawk Industries Inc (a)     27,162       5,069                
                      0.70%, 01/30/2017     4,000   4,000
                      0.75%, 04/28/2017     7,000   6,986
  Transportation - 0.98%                   Freddie Mac Discount Notes          
  CSX Corp     84,200       2,869     0.17%, 11/04/2015(f)     6,800   6,797
  East Japan Railway Co     16,100       1,467     0.28%, 05/12/2016(f)     7,500   7,481
  Groupe Eurotunnel SE     1,376,235       20,724           $   238,484
  Kansas City Southern     25,200       2,281                
  Rumo Logistica Operadora Multimodal SA (a)     2,555,002       1,018   Media - 0.01 %        
  Union Pacific Corp     102,900       10,384     iHeartCommunications Inc          
            $   38,743     9.00%, 12/15/2019     523   514
 
Water - 0.97 %                 Sovereign - 0.53%          
  American Water Works Co Inc     326,700       17,273     Bundesrepublik Deutschland Bundesobligation          
  Severn Trent PLC     289,900       9,748     Inflation Linked Bond          
  United Utilities Group PLC     737,000       11,229     0.75%, 04/15/2018   EUR 1,354   1,545
            $   38,250     Deutsche Bundesrepublik Inflation Linked          
  TOTAL COMMON STOCKS       $ 2,082,603     Bond          
  INVESTMENT COMPANIES - 3.60%     Shares Held Value (000 's)   1.50%, 04/15/2016     6   7
  Publicly Traded Investment Fund - 3.60%                   Italy Buoni Poliennali Del Tesoro          
  BlackRock Liquidity Funds FedFund Portfolio     3,545,986       3,546     2.10%, 09/15/2016     11   12
                      2.35%, 09/15/2024(d)     5,550   6,960
  Cash Account Trust - Government & Agency     138,907,922       138,908                
  Portfolio - Government Cash Managed                   2.55%, 09/15/2041     695   929
            $   142,454     2.60%, 09/15/2023     337   429
  TOTAL INVESTMENT COMPANIES         $   142,454     Mexican Udibonos          
                    4.00%, 06/13/2019   MXN 76,331   5,352
         Principal             New Zealand Government Bond          
 BONDS- 8.78 % Amount (000's) Value (000 's)   3.07%, 09/20/2030(e)   NZD 7,032   5,629
  Federal & Federally Sponsored Credit - 2.20%                     $   20,863
  Federal Farm Credit Banks                   TOTAL BONDS     $   346,895
  0.17%, 11/22/2016(e)   $ 15,000 $ 15,002          
  0.19%, 09/19/2016(e)     10,000   9,998   COMMODITY INDEXED STRUCTURED NOTES- 4.51 % Principal Amount (000's)         Value (000's)
  0.21%, 12/19/2016(e)     6,100   6,099                
  0.21%, 03/13/2017(e)     10,000   10,006   Banks - 3.77 %        
  0.21%, 03/29/2017(e)     7,000   7,003     Bank of America Corp; Dow Jones - UBS          
  0.23%, 02/13/2017(e)     9,600   9,610     Commodity Index Linked Note          
  0.27%, 06/20/2016(e)     7,800   7,807     0.04%, 04/28/2016(e)   $ 15,900   14,345
  0.28%, 07/27/2016(e)     10,000   10,010     BNP Paribas SA; Dow Jones - UBS          
  0.30%, 11/07/2016(e)     4,200   4,205     Commodity Index Linked Note          
   Federal Farm Credit Discount Notes                   0.07%, 01/28/2016(e)     13,100   10,350
   0.25%, 01/14/2016 (f)     7,300   7,294     0.07%, 03/18/2016(e)     2,800   2,805
                      0.08%, 02/25/2016(e)     11,700   11,495
            $   87,034                
                      CIBC; Dow Jones - UBS Commodity Index          
  Finance - Mortgage Loan/Banker - 6.04%                   Linked Note          
  Fannie Mae                   0.08%, 02/08/2016(e)     7,100   6,405
  0.19%, 07/25/2016(e)     12,000   12,006     0.10%, 02/08/2016(e)     3,560   2,307
  0.20%, 01/26/2017(e)     12,000   12,005     0.13%, 03/15/2016(e)     4,000   3,936
  0.21%, 08/15/2016(e)     10,000   10,006     0.19%, 02/08/2016(e)     7,600   5,925
  0.48%, 10/03/2016(e)     9,500   9,534     Deutsche Bank AG/London; Dow Jones - UBS          
  Fannie Mae Discount Notes                   Commodity Index Linked Note          
  0.15%, 10/01/2015(f)     8,300   8,298     0.05%, 02/19/2016(d),(e)     3,300   2,572
  Federal Home Loan Bank Discount Notes                   0.05%, 03/31/2016(d),(e)     9,600   7,797
  0.08%, 07/15/2015(f)     10,000   9,999     0.05%, 04/14/2016(d),(e)     11,800   11,236
  0.23%, 01/22/2016(f)     12,000   11,990     JP Morgan Chase Bank NA; Dow Jones - UBS          
  0.24%, 01/26/2016(f)     8,000   7,994     Commodity Index Linked Note          
  0.25%, 02/08/2016(f)     10,000   9,989     0.10%, 03/31/2016(d),(e)     6,000   5,791
  0.28%, 04/28/2016(f)     8,000   7,984     0.12%, 02/11/2016(d),(e)     3,100   2,202
  0.30%, 05/20/2016(f)     6,000   5,985     0.13%, 02/11/2016(d),(e)     4,500   3,180
  Federal Home Loan Banks                   0.13%, 02/25/2016(e)     9,300   6,812
  0.22%, 08/19/2015(e)     7,500   7,501     Royal Bank of Canada; Dow Jones - UBS          
  0.22%, 10/07/2015(e)     8,000   8,002     Commodity Index Linked Note          
  0.34%, 02/22/2016     5,500   5,501     0.08%, 02/02/2016(d),(e)     5,350   3,465
  0.35%, 01/28/2016     5,000   5,002     0.08%, 03/08/2016(d),(e)     3,520   3,526
  0.40%, 06/17/2016(g)     4,700   4,696     0.08%, 03/08/2016(d),(e)     2,900   2,853
  0.41%, 03/30/2016     12,000   11,995     0.08%, 03/21/2016(d),(e)     10,600   8,268
  0.70%, 04/28/2017     8,500   8,499     Societe Generale SA; Dow Jones - UBS          
  1.30%, 08/11/2016     9,200   9,221     Commodity Index Linked Note          
  Freddie Mac                   0.18%, 03/07/2016(d),(e)     7,000   5,909
  0.17%, 12/12/2016(e)     10,000   10,001     0.19%, 03/29/2016(d),(e)     8,800   7,150
  0.18%, 07/21/2016(e)     12,000   12,005                
  0.19%, 01/12/2017(e)     6,000   5,999                

 

See accompanying notes

32

 

Schedule of Investments
Diversified Real Asset Fund
May 31, 2015 (unaudited)
 
 
COMMODITY INDEXED STRUCTURED       SENIOR FLOATING RATE INTERESTS   Principal    
NOTES (continued)   Principal Amount (000's)   Value (000's) (continued)   Amount (000's) Value (000's)
 
Banks (continued)           Chemicals - 0.14%        
UBS AG; Dow Jones - UBS Commodity           Axalta Coating Systems US Holdings Inc,        
Index Linked Note           Term Loan B        
0.10%, 03/15/2016(e)   $ 5,200 $ 4,110 3.75%, 02/01/2020(e) $ 472 $ 472
0.11%, 04/18/2016(e)     2,400   2,694 Minerals Technologies Inc, Term Loan B        
0.12%, 01/26/2016(e)     4,700   4,297 4.00%, 04/14/2021(e)   2,934   2,939
0.12%, 03/15/2016(e)     3,500   2,487 Univar Inc, Term Loan B        
0.12%, 04/18/2016(e)     3,700   3,706 5.00%, 06/30/2017(e)   1,991   1,988
0.13%, 04/18/2016(e)     3,400   3,363     $   5,399
 
      $   148,986 Commercial Services - 0.89%        
Supranational Bank - 0.74%           Acosta Holdco Inc, Term Loan B        
International Bank for Reconstruction &           4.25%, 09/26/2021(e)   1,883   1,887
Development; Dow Jones - UBS Commodity           Brand Energy & Infrastructure Services Inc,        
Index Linked Note           Term Loan B        
0.04%, 06/01/2016(e)     28,400   29,146 4.75%, 11/20/2020(e)   919   914
            Ceridian HCM Holding Inc, Term Loan B2        
TOTAL COMMODITY INDEXED STRUCTURED NOTES $   178,132 4.50%, 09/15/2020(e)   1,081   1,077
SENIOR FLOATING RATE INTERESTS - 15.24%     Harland Clarke Holdings Corp, Term Loan        
Principal Amount (000's) Value (000's) B2        
            5.52%, 06/30/2017(e)   469   469
Advertising - 0.12%           Harland Clarke Holdings Corp, Term Loan        
Advantage Sales & Marketing Inc, Term           B3        
Loan           7.00%, 04/26/2018(e)   3,718   3,731
7.50%, 07/21/2022(e)   $ 1,000 $ 1,008          
            Harland Clarke Holdings Corp, Term Loan        
          B4        
Advantage Sales & Marketing Inc, Term Loan B           6.00%, 08/30/2019(e)   969   970
4.25%, 07/21/2021(e)     2,041   2,039          
            Interactive Data Corp, Term Loan B        
Checkout Holding Corp, Term Loan B           4.75%, 04/23/2021(e)   2,235   2,241
4.50%, 04/03/2021(e)     1,737   1,567          
            iQor US Inc, Term Loan B        
      $   4,614 6.00%, 02/19/2021(e)   2,761   2,568
Aerospace & Defense - 0.23%           Laureate Education Inc, Term Loan B        
            5.00%, 06/16/2018(e)   1,152   1,100
B/E Aerospace Inc, Term Loan B                    
4.00%, 11/19/2021(e)     2,844   2,869 Millennium Health LLC, Term Loan B        
            5.25%, 04/15/2021(e)   3,403   2,336
Sequa Corp, Term Loan B                    
5.25%, 05/29/2017(e)     2,365   2,084 Pharmaceutical Product Development LLC,        
TransDigm Inc, Term Loan D           Term Loan        
3.75%, 05/21/2021(e)     4,220   4,212 4.00%, 12/05/2018(e)   4,419   4,424
      $   9,165 ServiceMaster Co LLC/The, Term Loan B        
            4.25%, 06/25/2021(e)   10,813   10,840
Airlines - 0.35%           Truven Health Analytics Inc, Term Loan B        
American Airlines Inc, Term Loan B           4.50%, 05/25/2019(e)   2,766   2,767
0.00%, 10/08/2021(e),(h)     550   551     $   35,324
3.50%, 06/27/2020(e)     3,448   3,440          
3.75%, 10/10/2021(e)     2,000   2,003 Computers - 0.07%        
Delta Air Lines Inc, Term Loan B           Riverbed Technology Inc, Term Loan B        
3.25%, 04/20/2017(e)     844   843 6.00%, 02/25/2022(e)   2,000   2,019
Delta Air Lines Inc, Term Loan B1           SunGard Data Systems Inc, Term Loan E        
3.25%, 10/18/2018(e)     2,694   2,692 4.00%, 03/07/2020(e)   872   873
Delta Air Lines Inc, Term Loan B2               $   2,892
2.43%, 04/18/2016(e)     1,995   1,993          
            Consumer Products - 0.34%        
US Airways Inc, Term Loan B1           Dell International LLC, Term Loan B        
3.50%, 05/23/2019(e)     2,207   2,203 4.50%, 03/24/2020(e)   10,695   10,700
      $   13,725 Dell International LLC, Term Loan C        
            3.75%, 09/24/2018(e)   1,999   1,999
Automobile Manufacturers - 0.28%                    
FCA US LLC, Term Loan B           Prestige Brands Inc, Term Loan B3        
3.25%, 12/05/2018(e)     11,174   11,174 3.50%, 09/03/2021(e)   752   753
                $   13,452
 
Automobile Parts & Equipment - 0.05%           Distribution & Wholesale - 0.13%        
Allison Transmission Inc, Term Loan B3           HD Supply Inc, Term Loan B        
3.50%, 09/23/2019(e)     2,000   2,007 4.00%, 06/28/2018(e)   5,012   5,016
 
 
Beverages - 0.11%           Diversified Financial Services - 0.20%        
DE Master Blenders, Term Loan           Clipper Acquisitions Corp, Term Loan B1        
3.50%, 07/02/2021(e)     4,500   4,500 3.00%, 02/06/2020(e)   1,955   1,946
            Delos Finance Sarl, Term Loan B        
            3.50%, 02/26/2021(e)   1,250   1,250
Building Materials - 0.09%           TransFirst Inc, Term Loan        
Headwaters Inc, Term Loan B           5.50%, 11/12/2021(e)   2,744   2,744
4.50%, 03/11/2022(e)     2,500   2,510          
Quikrete Holdings Inc, Term Loan B                    
4.00%, 09/18/2020(e)     945   945          
      $   3,455          

 

See accompanying notes

33

 

Schedule of Investments
Diversified Real Asset Fund
May 31, 2015 (unaudited)
 
 
  SENIOR FLOATING RATE INTERESTS           SENIOR FLOATING RATE INTERESTS        
  (continued)     Principal Amount (000's)           Value (000's)   (continued)     Principal Amount (000's) Value (000's)
 
  Diversified Financial Services (continued)           Gas - 0.02 %        
  Walter Investment Management Corp, Term             Southcross Holdings Borrower LP, Term          
  Loan             Loan          
  4.75%, 12/11/2020(e)   $ 2,195 $ 2,075   6.00%, 07/29/2021(e)   $ 726 $ 701
        $   8,015              
 
  Electric - 0.11%             Healthcare - Products - 0.86%          
  Calpine Corp, Delay-Draw Term Loan DD             Carestream Health Inc, Term Loan          
  4.00%, 10/30/2020(e)     1,731   1,731   9.50%, 12/15/2019(e)     729   729
  EFS Cogen Holdings I LLC, Term Loan B             Carestream Health Inc, Term Loan B          
  3.75%, 12/17/2020(e)     1,624   1,628   5.00%, 06/05/2019(e)     4,886   4,888
  Energy Future Intermediate Holding Co LLC,             ConvaTec Inc, Term Loan B          
  DIP Term Loan             0.00%, 12/22/2016(e),(h)     7,000   6,998
  4.25%, 06/19/2016(e)     1,000   1,004   DJO Finance LLC, Term Loan B          
        $   4,363   4.25%, 06/24/2020(e)     1,750   1,753
                Kinetic Concepts Inc, Term Loan E1          
  Electronics - 0.06%             4.50%, 05/04/2018(e)     12,269   12,349
  TTM Technologies Inc, Term Loan             Kinetic Concepts Inc, Term Loan E2          
  0.00%, 05/07/2021(e),(h)     2,444   2,424   4.00%, 11/04/2016(e)     4,472   4,472
                Sterigenics-Nordion Holdings, Term Loan          
  Engineering & Construction - 0.06%             4.25%, 05/06/2022(e)     2,750   2,750
  AECOM, Term Loan B                   $   33,939
  3.75%, 09/17/2021(e)     2,165   2,177              
                Healthcare - Services - 0.98%          
                Ardent Medical Services Inc, Term Loan B          
  Entertainment - 0.51%             6.75%, 05/19/2018(e)     545   546
  AMC Entertainment Inc, Term Loan B             CHS/Community Health Systems Inc, Term          
  3.50%, 04/23/2020(e)     875   875   Loan F          
  CCM Merger Inc, Term Loan B             3.43%, 01/25/2018(e)     32   32
  4.50%, 07/30/2021(e)     1,692   1,700   Community Health Systems Inc, Term Loan          
  Delta 2 Lux Sarl, Term Loan B             4.00%, 01/14/2021(e)     5,684   5,684
  7.75%, 07/29/2022(e)     2,250   2,255            
  Delta 2 Lux Sarl, Term Loan B3             Community Health Systems Inc, Term Loan G          
  4.75%, 07/30/2021(e)     5,368   5,365   3.75%, 12/13/2019(e)     2,841   2,841
  Pinnacle Entertainment Inc, Term Loan B2                      
  3.75%, 08/05/2020(e)     659   660   DaVita HealthCare Partners Inc, Term Loan B          
  SGMS Escrow Corp, Term Loan B2             3.50%, 06/24/2021(e)     1,704   1,707
  6.00%, 09/17/2021(e)     5,726   5,746   Drumm Investors LLC, Term Loan          
  William Morris Endeavor Entertainment LLC,             6.75%, 05/04/2018(e)     3,255   3,285
  Term Loan B             Genesis Healthcare LLC/DE, Term Loan B          
  5.25%, 05/06/2021(e)     2,235   2,236   10.00%, 10/02/2017(e)     549   560
  WMG Acquisition Corp, Term Loan B             HCA Inc, Term Loan A4          
  3.75%, 07/07/2020(e)     1,308   1,295   2.68%, 02/02/2016(e)     6,232   6,221
        $   20,132   HCA Inc, Term Loan B5          
                2.93%, 05/30/2017(e)     3,242   3,242
  Environmental Control - 0.08%             Heartland Dental LLC, Term Loan          
  ADS Waste Holdings Inc, Term Loan B2             5.50%, 12/21/2018(e)     2,951   2,947
  3.75%, 10/09/2019(e)     727   723              
                IASIS Healthcare LLC, Term Loan B2          
  Tervita Corp, Term Loan B             4.50%, 05/03/2018(e)     4,180   4,192
  6.25%, 05/14/2018(e)     2,750   2,629              
                LHP Operations Co LLC, Term Loan B          
        $   3,352   9.00%, 06/29/2018(e)     304   296
Food - 1.10 %                    
  Albertson's Holdings LLC, Term Loan B3             United Surgical Partners International Inc, Term Loan          
  5.00%, 08/04/2019(e)     1,000   1,003   4.75%, 04/03/2019(e)     5,121   5,120
  Albertson's Holdings LLC, Term Loan B4             US Renal Care Inc, Term Loan          
  5.50%, 08/11/2021(e)     14,650   14,734   4.25%, 07/03/2019(e)     2,230   2,232
  Albertsons LLC, Term Loan B2                   $   38,905
  5.37%, 05/21/2019(e)     4,963   4,986              
                         
  HJ Heinz Co, Term Loan B2             Holding Companies - Diversified - 0.30%          
  3.25%, 03/27/2020(e)     4,733   4,734              
                Emerald Expositions Holding Inc, Term Loan B          
  Pinnacle Foods Finance LLC, Term Loan G             4.75%, 06/17/2020(e)     3,189   3,190
  3.00%, 04/29/2020(e)     2,425   2,417              
                MGOC Inc, Delay-Draw Term Loan B-DD          
  Pinnacle Foods Finance LLC, Term Loan H             4.25%, 07/30/2020(e)     3,282   3,295
  3.00%, 04/29/2020(e)     493   491              
                Opal Acquisition Inc, Term Loan B          
  SUPERVALU Inc, Term Loan             5.00%, 11/20/2020(e)     1,020   1,017
  4.50%, 03/21/2019(e)     4,949   4,961              
                         
  US Foods Inc, Term Loan B             Travelport Finance Luxembourg Sarl, Term Loan B          
  4.50%, 05/31/2019(e)     9,008   9,028   5.76%, 08/13/2021(e)     4,482   4,519
  Wilton Brands LLC, Term Loan B                   $   12,021
  7.50%, 08/22/2018(e)     1,230   1,192              
        $   43,546   Insurance - 0.12%          
                HUB International Ltd, Term Loan B          
                4.00%, 09/17/2020(e)     1,734   1,727

 

See accompanying notes

34

 

Schedule of Investments
Diversified Real Asset Fund
May 31, 2015 (unaudited)
 
 
  SENIOR FLOATING RATE INTERESTS           SENIOR FLOATING RATE INTERESTS      
  (continued)     Principal Amount (000's)                 Value (000's)   (continued)   Principal Amount (000's)          Value (000's)
 
  Insurance (continued)             Media (continued)        
  USI Inc/NY, Term Loan B             Gray Television Inc, Term Loan        
  4.25%, 12/27/2019(e)   $ 2,933 $ 2,932   3.75%, 06/10/2021(e) $ 594 $ 594
        $   4,659   Houghton Mifflin Harcourt Publishers Inc,        
                Term Loan B        
  Internet - 0.21%             0.00%, 05/11/2021(e),(h)   2,000   1,997
  EIG Investors Corp, Term Loan B                    
  5.00%, 11/09/2019(e)     3,063   3,053            
                iHeartCommunications Inc, Term Loan D- EXT        
  Tibco Software Inc, Term Loan             6.93%, 01/22/2019(e)   21,205   19,800
  6.51%, 11/25/2020(e)     4,655   4,654            
                iHeartCommunications Inc, Term Loan E        
  VFH Parent LLC, Term Loan B             7.68%, 07/30/2019(e)   2,986   2,828
  5.25%, 11/05/2019(e)     307   307            
                MCC Iowa LLC, Term Loan G        
  Zayo Group LLC, Term Loan B             4.00%, 08/15/2020(e)   975   974
  3.75%, 05/06/2021(e)     151   151            
                McGraw-Hill Global Education Holdings        
        $   8,165   LLC, Term Loan        
  Investment Companies - 0.01%             4.75%, 03/22/2019(e)   2,766   2,783
  American Capital Ltd, Term Loan B                    
  3.50%, 08/22/2017(e)     327   326 Mediacom Illinois LLC, Delay-Draw Term Loan G-DD        
                3.75%, 06/18/2021(e)   498   497
                MTL Publishing LLC, Term Loan B        
  Leisure Products & Services - 0.15%             3.75%, 03/05/2018(e)   3,053   3,051
  Bombardier Recreational Products Inc, Term             Numericable US LLC, Term Loan B1        
  Loan B             4.50%, 04/23/2020(e)   4,779   4,790
  4.00%, 01/23/2019(e)     3,796   3,791            
                Numericable US LLC, Term Loan B2        
  Equinox Holdings Inc, Term Loan B             4.50%, 04/23/2020(e)   3,951   3,961
  5.00%, 01/31/2020(e)     1,225   1,231            
                Springer Science, Term Loan        
  Sabre GLBL Inc, Term Loan B2             4.75%, 08/14/2020(e)   1,650   1,651
  4.00%, 02/19/2019(e)     985   985            
                Tribune Media Co, Term Loan B        
        $   6,007   4.00%, 11/20/2020(e)   17,327   17,333
  Leisure Time - 0.04%             Virgin Media Investment Holdings Ltd, Term        
  Planet Fitness, Term Loan             Loan B        
  4.75%, 03/26/2021(e)     1,278   1,278   3.50%, 02/15/2020(e)   1,207   1,203
  Sabre GLBL Inc, Term Loan C             WideOpenWest Finance LLC, Term Loan B        
  3.50%, 02/15/2018(e)     180   180   4.50%, 04/01/2019(e)   3,179   3,176
        $   1,458   Ziggo BV, Delay-Draw Term Loan B3-DD        
                3.50%, 01/15/2022(e)   2,210   2,200
  Lodging - 0.48%             Ziggo BV, Term Loan B1        
  Boyd Gaming Corp, Term Loan B             3.50%, 01/15/2022(e)   2,099   2,089
  4.00%, 08/07/2020(e)     2,095   2,101   Ziggo BV, Term Loan B2        
  CityCenter Holdings LLC, Term Loan B             3.50%, 01/15/2022(e)   1,441   1,435
  4.25%, 10/09/2020(e)     2,273   2,280       $   85,671
  Hilton Worldwide Finance LLC, Term Loan                      
  B             Miscellaneous Manufacturing - 0.20%        
  3.50%, 09/23/2020(e)     10,326   10,341   Gates Global LLC, Term Loan        
                4.25%, 06/11/2021(e)   7,761   7,725
  Intrawest Operations Group LLC, Term Loan                      
  B                      
  4.75%, 11/26/2020(e)     1,112   1,118   Oil & Gas - 0.17%        
  MGM Resorts International, Term Loan B                    
  3.50%, 12/13/2019(e)     2,935   2,931   Drillships Financing Holding Inc, Term Loan B1        
        $   18,771   6.00%, 02/02/2021(e)   2,237   1,916
  Machinery - Construction & Mining - 0.03%       Fieldwood Energy LLC, Term Loan        
                8.37%, 09/20/2020(e)   2,417   1,974
  North American Lifting Holdings Inc, Term                      
  Loan                    
  5.50%, 11/26/2020(e)     1,047   1,016   Offshore Group Investment Ltd, Term Loan B        
                5.75%, 03/22/2019(e)   906   638
                Pacific Drilling SA, Term Loan B        
  Machinery - Diversified - 0.23%             4.50%, 05/18/2018(e)   971   841
  Onex Wizard Acquisition Co I SARL, Term             Seadrill Operating LP, Term Loan B        
  Loan B             4.00%, 02/12/2021(e)   1,079   883
  0.00%, 02/03/2022(e),(h)     250   251   Western Refining Inc, Term Loan B        
  RBS Global Inc, Term Loan B             4.25%, 11/25/2020(e)   563   564
  4.00%, 05/14/2020(e)     2,473   2,469       $   6,816
  Xerium Technologies Inc, Term Loan B                      
  5.75%, 05/02/2019(e)     2,535   2,549   Packaging & Containers - 0.08%        
  Zebra Technologies Corp, Term Loan B             BWAY Holding Co, Term Loan B        
  4.75%, 09/30/2021(e)     3,779   3,821   5.50%, 08/07/2020(e)   3,208   3,219
        $   9,090            
 
Media - 2.17 %           Pharmaceuticals - 0.83%        
              Catalent Pharma Solutions Inc, Term Loan B        
   Cengage Learning Acquisitions Inc, Term             4.25%, 05/07/2021(e)   6,356   6,377
  Loan EXIT                      
  7.00%, 03/06/2020(e)     4,040   4,049   DPx Holdings BV, Term Loan B        
                4.25%, 01/22/2021(e)   2,235   2,226
  Cumulus Media Holdings Inc, Term Loan B                      
  4.25%, 12/18/2020(e)     11,936   11,260            

 

See accompanying notes

35

 

Schedule of Investments
Diversified Real Asset Fund
May 31, 2015 (unaudited)
 
 
  SENIOR FLOATING RATE INTERESTS         SENIOR FLOATING RATE INTERESTS      
  (continued)     PrincipalAmount (000's)                  Value (000's) (continued)   Principal Amount (000's)                       Value (000's)
 
  Pharmaceuticals (continued)           Retail (continued)        
  Generic Drug Holdings Inc, Term Loan B           Staples Inc, Term Loan B        
  5.00%, 10/04/2019(e)   $ 1,170 $ 1,171 0.00%, 04/23/2021(e),(h) $ 2,000 $ 2,001
  Grifols Worldwide Operations USA Inc, Term               $   47,588
  Loan B                    
  3.18%, 03/05/2021(e)     1,461   1,464 Semiconductors - 0.45%        
  Par Pharmaceutical Cos Inc, Term Loan B2                  
  4.00%, 09/30/2019(e)     1,869   1,868 Avago Technologies Cayman Ltd, Term Loan B        
              3.75%, 04/16/2019(e)   2,849   2,851
  Par Pharmaceutical Cos Inc, Term Loan B3                    
  4.25%, 09/30/2019(e)     280   281 Freescale Semiconductor Inc, Term Loan B4        
              4.25%, 02/13/2020(e)   7,952   7,971
  PRA Holdings Inc, Term Loan                    
  4.50%, 09/18/2020(e)     4,519   4,527 Freescale Semiconductor Inc, Term Loan B5        
              5.00%, 01/15/2021(e)   3,966   3,994
  Valeant Pharmaceuticals International Inc,                    
  Term Loan BD2           NXP BV, Term Loan D        
              3.25%, 01/10/2020(e)   3,163   3,152
  3.50%, 02/13/2019(e)     1,994   1,992          
  Valeant Pharmaceuticals International Inc,               $   17,968
  Term Loan BE1           Software - 0.87%        
  3.50%, 06/26/2020(e)     6,053   6,052 Applied Systems Inc, Term Loan B        
  Valeant Pharmaceuticals International Inc,           7.50%, 01/24/2022(e)   980   985
  Term Loan BF1           Blackboard Inc, Term Loan B3        
  4.00%, 03/11/2022(e)     7,000   7,015 4.75%, 10/04/2018(e)   3,522   3,515
        $   32,973 BMC Software Finance Inc, Term Loan B        
              5.00%, 08/07/2020(e)   5,560   5,457
  Real Estate - 0.14%                    
  Capital Automotive LP, Term Loan           Compuware Corp, Term Loan B2        
              6.25%, 12/10/2021(e)   4,953   4,848
  6.00%, 04/18/2020(e)     1,861   1,891          
  Capital Automotive LP, Term Loan B           Ellucian Inc, Term Loan B        
              4.00%, 07/19/2018(e)   5,143   5,148
  4.00%, 04/05/2019(e)     1,061   1,066          
  Realogy Group LLC, Term Loan B           Emdeon Inc, Term Loan B2        
              3.75%, 11/02/2018(e)   3,158   3,163
  3.75%, 03/05/2020(e)     2,455   2,457          
        $   5,414 First Data Corp, Term Loan C1        
              0.00%, 03/23/2018(e),(h)   3,000   2,998
REITS - 0.25 %         Genesys Telecommunications Laboratories        
  Communications Sales & Leasing Inc, Term           Inc, Term Loan        
  Loan B           4.50%, 11/04/2020(e)   1,975   1,975
  5.00%, 10/14/2022(e)     9,000   8,966 Infor US Inc, Term Loan B5        
  Starwood Property Trust Inc, Term Loan B           3.75%, 06/03/2020(e)   3,222   3,205
  3.50%, 04/17/2020(e)     726   727 MA FinanceCo LLC, Term Loan B        
        $   9,693 5.25%, 10/07/2021(e)   353   354
              MA FinanceCo LLC, Term Loan C        
  Retail - 1.20%           4.50%, 10/07/2021(e)   600   599
  1011778 BC ULC, Term Loan B                  
  0.00%, 12/10/2021(e),(h)     9,723   9,728  Magic Newco LLC, Term Loan B        
              5.01%, 12/02/2018(e)   2,209   2,215
  Bass Pro Group, Term Loan B               $   34,462
  0.00%, 06/05/2020(e),(h)     1,000   1,000          
  BJ's Wholesale Club Inc, Term Loan           Telecommunications - 0.42%        
  8.50%, 03/21/2020(e)     250   253 Avaya Inc, Term Loan B6        
  BJ's Wholesale Club Inc, Term Loan B           6.50%, 03/31/2018(e)   4,215   4,211
  4.50%, 09/26/2019(e)     3,550   3,560 Cincinnati Bell Inc, Term Loan B        
  Dollar Tree Inc, Term Loan B           4.00%, 08/20/2020(e)   985   986
  4.25%, 02/06/2022(e)     5,500   5,550 CommScope Inc, Term Loan        
            0.00%, 05/27/2022(e),(h)   1,083   1,085
  Doosan Infracore International Inc, Term Loan B           FairPoint Communications Inc, Term Loan B        
  4.50%, 05/14/2021(e)     2,209   2,220 7.50%, 02/14/2019(e)   3,922   3,954
  Hillman Group Inc/The, Term Loan B           Intelsat Jackson Holdings SA, Term Loan B2        
  4.50%, 06/30/2021(e)     444   445 3.75%, 06/30/2019(e)   575   573
  Hudson's Bay Co, Term Loan B           Level 3 Financing Inc, Term Loan BII        
  4.75%, 10/07/2020(e)     650   652 3.50%, 05/06/2022(e)   2,337   2,329
  Jo-Ann Stores LLC, Term Loan           Syniverse Holdings Inc, Term Loan B        
  4.00%, 03/19/2018(e)     1,871   1,849 4.00%, 04/23/2019(e)   1,939   1,852
  Michaels Stores Inc, Term Loan B           Telx Group Inc/The, Term Loan        
  3.75%, 01/24/2020(e)     1,045   1,046 7.50%, 04/03/2021(e)   500   505
  New Albertsons Inc, Term Loan B           Telx Group Inc/The, Term Loan B        
  4.75%, 06/25/2021(e)     7,371   7,389 4.50%, 04/03/2020(e)   993   993
  PetSmart Inc, Term Loan B               $   16,488
  4.25%, 03/10/2022(e)     5,450   5,465          
  Pilot Travel Centers LLC, Term Loan B           Textiles - 0.06%        
  4.25%, 09/30/2021(e)     449   454 Polymer Group Inc, Term Loan B        
              5.25%, 12/13/2019(e)   2,472   2,481
  Rite Aid Corp, Term Loan 1                    
  5.75%, 07/07/2020(e)     3,500   3,535          
  Rite Aid Corp, Term Loan 2           Transportation - 0.05%        
  4.88%, 06/11/2021(e)     1,750   1,752 CEVA Group PLC, SYNTH LOC        
  Serta Simmons Holdings LLC, Term Loan B           6.32%, 03/19/2021(e)   371   353
  4.25%, 09/19/2019(e)     687   689          

 

See accompanying notes

36

 

Schedule of Investments
Diversified Real Asset Fund
May 31, 2015 (unaudited)
 
 
SENIOR FLOATING RATE INTERESTS   Principal       (d) Security exempt from registration under Rule 144A of the Securities Act of  
(continued)   Amount (000's)                                   Value (000's)     1933. These securities may be resold in transactions exempt from    
                  registration, normally to qualified institutional buyers. At the end of the  
Transportation (continued)               period, the value of these securities totaled $78,609 or 1.99% of net assets.  
CEVA Group PLC, Term Loan             (e) Variable Rate. Rate shown is in effect at May 31, 2015.    
  6.50%, 03/12/2021(e)   $ 535 $ 508          
  6.50%, 03/19/2021(e)     67   64   (f) Rate shown is the discount rate of the original purchase.    
                (g) Security purchased on a when-issued basis.    
CEVA Intercompany BV, Term Loan             (h) This Senior Floating Rate Note will settle after May 31, 2015, at which  
  6.50%, 03/19/2021(e)     388   368          
                  time the interest rate will be determined.    
HGIM Corp, Term Loan B                    
  5.50%, 06/12/2020(e)     750   631          
        $   1,924          
TOTAL SENIOR FLOATING RATE INTERESTS $   602,212     Portfolio Summary (unaudited)    
U.S. GOVERNMENT & GOVERNMENT   Principal       Sector   Percent  
AGENCY OBLIGATIONS - 15.77%   Amount (000's)                               Value (000's)   Government 25.28 %
                Energy 20.84 %
U.S. Treasury - 1.45%             Financial 14.28 %
  0.25%, 05/15/2016   $ 10,000 $ 9,997   Consumer, Non-cyclical 8.94 %
  0.38%, 01/15/2016     10,000   10,013   Utilities 7.62 %
  0.38%, 01/31/2016     5,000   5,006   Industrial 5.60 %
  0.50%, 04/30/2017     7,000   6,990   Basic Materials 5.01 %
  2.13%, 12/31/2015     10,000   10,113   Consumer, Cyclical 4.02 %
  2.63%, 02/29/2016     15,000   15,268   Exchange Traded Funds 3.60 %
        $   57,387   Communications 3.36 %
U.S. Treasury Inflation-Indexed Obligations - 14.32%         Technology 1.39 %
  0.13%, 04/15/2016     27,234   27,396   Diversified 0.66 %
  0.13%, 04/15/2017     28,956   29,406   Purchased Interest Rate Swaptions 0.02 %
  0.13%, 04/15/2018     23,121   23,540   Purchased Options 0.02 %
  0.13%, 04/15/2019     50,248   51,072   Purchased Capped Options 0.00 %
  0.13%, 04/15/2020     20,796   21,054   Liabilities in Excess of Other Assets, Net (0.64 )%
  0.13%, 01/15/2022     18,153   18,161   TOTAL NET ASSETS 100.00 %
  0.13%, 07/15/2022     7,259   7,280          
  0.13%, 01/15/2023     17,260   17,167          
  0.13%, 07/15/2024     47,756   47,304          
  0.25%, 01/15/2025     29,743   29,659          
  0.38%, 07/15/2023     28,297   28,706          
  0.63%, 07/15/2021     917   953          
  0.63%, 01/15/2024     31,023   31,998          
  0.63%, 02/15/2043     16,001   14,827          
  0.75%, 02/15/2042     10,746   10,296          
  0.75%, 02/15/2045     10,413   9,962          
  1.13%, 01/15/2021     21,917   23,336          
  1.25%, 07/15/2020     6,350   6,835          
  1.38%, 07/15/2018     2,387   2,542          
  1.38%, 01/15/2020     9,393   10,096          
  1.38%, 02/15/2044     24,643   27,444          
  1.75%, 01/15/2028     10,155   11,723          
  2.00%, 01/15/2026     7,929   9,267          
  2.13%, 02/15/2040     5,731   7,317          
  2.13%, 02/15/2041     4,682   6,024          
  2.38%, 01/15/2025     21,500   25,745          
  2.38%, 01/15/2027     9,256   11,272          
  2.50%, 07/15/2016     8,779   9,137          
  2.50%, 01/15/2029     8,424   10,591          
  3.38%, 04/15/2032     795   1,147          
  3.63%, 04/15/2028     14,438   20,048          
  3.88%, 04/15/2029     9,968   14,403          
        $   565,708          
TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY              
OBLIGATIONS     $   623,095          
TOTAL PURCHASED OPTIONS - 0.02%     $   916          
TOTAL PURCHASED CAPPED OPTIONS - 0.00% $   1          
TOTAL PURCHASED INTEREST RATE SWAPTIONS -              
0.02 %   $   591          
Total Investments     $   3,976,899          
Liabilities in Excess of Other Assets, Net - (0.64)% $   (25,293 )        
TOTAL NET ASSETS - 100.00%     $   3,951,606          
 
 
(a) Non-Income Producing Security                    
(b) Fair value of these investments is determined in good faith by the Manager          
  under procedures established and periodically reviewed by the Board of          
  Directors. At the end of the period, the fair value of these securities totaled          
  $3,562 or 0.09% of net assets.                    
(c) Security is Illiquid                    

 

See accompanying notes

37

 

Schedule of Investments
Diversified Real Asset Fund
May 31, 2015 (unaudited)
 
 
Foreign Currency Contracts
                            Unrealized Appreciation/(Depreciation)  
Counterparty   Delivery Date Contracts to Accept   In Exchange For     Fair Value     Asset     Liability  
Barclays Bank PLC   06/16/2015 CAD   5,452,165   $ 4,483   $ 4,384 $   —   $   (99 )
Barclays Bank PLC   08/17/2015 AUD   1,925,000     1,468     1,465     —       (3 )
BNP Paribas   06/15/2015 GBP   7,897,500     12,239     12,069     —       (170 )
BNP Paribas   06/15/2015 JPY   733,505,518     5,905     5,911     6       —  
BNP Paribas   06/16/2015 CAD   3,600,053     2,960     2,894     —       (66 )
Citigroup Inc   06/16/2015 CAD   2,172,803     1,773     1,747     —       (26 )
Commonwealth Bank of Australia 08/17/2015 AUD   1,885,000     1,448     1,435     —       (13 )
Deutsche Bank AG   06/15/2015 GBP   1,880,000     2,958     2,873     —       (85 )
Deutsche Bank AG   06/15/2015 MXN   44,256,405     2,914     2,871     —       (43 )
Deutsche Bank AG   06/16/2015 CAD   11,392,030     9,350     9,159     —       (191 )
JP Morgan Chase   06/15/2015 GBP   380,000     588       581     —       (7 )
JP Morgan Chase   06/16/2015 CAD   3,858,898     3,175     3,103     —       (72 )
RBC Dominion Securities 06/03/2015 EUR   9,754,000     10,834     10,713     —       (121 )
UBS AG   06/16/2015 CAD   673,284     549       541     —       (8 )
Total                         $   6   $   (904 )
                            Unrealized Appreciation/(Depreciation)  
Counterparty   Delivery Date Contracts to Deliver   In Exchange For     Fair Value     Asset     Liability  
Barclays Bank PLC   06/03/2015 EUR   18,651,000   $ 20,878   $ 20,485 $   393   $   —  
Barclays Bank PLC   06/15/2015 GBP   1,880,000     2,947     2,873     74       —  
Barclays Bank PLC   07/21/2015 MXN   84,269,000     5,617     5,453     164       —  
BNP Paribas   06/16/2015 CAD   7,410,065     6,170     5,958     212       —  
Citigroup Inc   06/16/2015 CAD   6,487,742     5,355     5,216     139       —  
Deutsche Bank AG   06/16/2015 CAD   12,089,463     9,998     9,720     278       —  
HSBC Securities Inc   06/15/2015 GBP   8,235,000     12,841     12,584     257       —  
JP Morgan Chase   07/21/2015 NZD   7,837,000     5,840     5,532     308       —  
UBS AG   06/16/2015 CAD   1,225,305     1,020       985     35       —  
UBS AG   07/06/2015 EUR   8,782,000     9,642     9,649     —       (7 )
Total                         $   1,860   $   (7 )
 
Amounts in thousands except contracts                                      
 
 
Futures Contracts
                                  Unrealized    
Type   Long/Short   Contracts   Notional Value       Fair Value      Appreciation/(Depreciation)  
90 Day Eurodollar; December 2017   Short   315   $ 77,167          $ 77,234 $     (67 )
Euro-Bobl 5 Year; June 2015   Short   4     565             566       (1 )
Euro-BTP; June 2015     Short   30     4,633             4,446       187  
Japan 10 Year Bond TSE; June 2015   Short   18     21,298             21,410       (112 )
US 10 Year Note; September 2015   Long   317     40,194             40,477       283  
US 2 Year Note; September 2015   Short   12     2,623             2,627       (4 )
US 5 Year Note; September 2015   Short   99     11,793             11,853       (60 )
US Long Bond; September 2015   Short   11     1,712             1,712       —  
US Ultra Bond; September 2015   Short   103     16,384             16,509       (125 )
Total                             $       101  
 
Amounts in thousands except contracts                                      
 
 
Interest Rate Swaps
    (Pay)/                                    
    Receive           Upfront                  
    Floating Fixed   Expiration   Notional          Premiums     Unrealized     Fair Value  
Counterparty (Issuer) Floating Rate Index Rate Rate   Date   Amount           Paid/(Received)                                  Appreciation/(Depreciation) Asset Liability  
Barclays Bank PLC US CPI Urban Receive 2.07 % 03/10/2018 $ 7,960 $   — $     (41 ) $ — $ (41 )
  Consumers                                      
  NAS(CPURNSA)                                      
Barclays Bank PLC US CPI Urban Pay 1.85 % 03/10/2016   7,960     —       (23 )   — (23 )
  Consumers                                      
  NAS(CPURNSA)                                      
Total               $     — $     (64 ) $ — $ (64 )
 
Amounts in thousands                                        

 

See accompanying notes

38

 

Schedule of Investments
Diversified Real Asset Fund
May 31, 2015 (unaudited)
 
 
Exchange Cleared Interest Rate Swaps
      (Pay)/                                        
      Receive                 Upfront                    
      Floating Fixed   Expiration Notional   Premiums                                                        Unrealized        
  Floating Rate Index Rate Rate     Date                                  Amount           Paid/(Received)                                             Appreciation/(Depreciation)   Fair Value  
  3 Month LIBOR   Receive 3.06 % 02/15/2040 $ 1,400 $   —   $       (128 ) $ (128 )
  3 Month LIBOR   Receive 3.05 % 02/15/2040 $ 1,400 $   —   $       (123 ) $ (123 )
  3 Month LIBOR   Receive 2.80 % 02/25/2025   5,700     —           (325 )   (325 )
  3 Month LIBOR   Receive 2.38 % 04/24/2045   705     —           35     35  
  3 Month LIBOR   Receive 2.42 % 04/24/2045   670     —           27     27  
  3 Month LIBOR   Receive 2.42 % 04/24/2045   720     33           (3 )   30  
  3 Month LIBOR   Receive 2.39 % 04/24/2045   705     39           (5 )   34  
Total                   $     72   $       (522 ) $ (450 )
 
Amounts in thousands                                              
 
 
Interest Rate Swaptions
        Pay/                                      
        Receive                 Upfront                
Purchased Swaptions          Floating Rate                  Floating              Exercise           Expiration Notional Premiums     Fair   Unrealized  
Outstanding Counterparty (Issuer) Index Rate     Rate Date                         Amount                          Paid/(Received)                                               Value           Appreciation/(Depreciation)  
Call - 30 Year Interest Barclays Bank PLC 3 Month Pay     3.00%             11/22/2017                $   2,200 $ 154     $ 268 $   114  
Rate Swap     LIBOR                                        
Put - 10 Year Interest Barclays Bank PLC 3 Month Receive  2.85%            09/07/2015   9,900   90       21     (69 )
Rate Swap     LIBOR                                        
Put - 10 Year Interest Barclays Bank PLC 3 Month Receive   2.85%            09/07/2015   19,800   159       42     (117 )
Rate Swap     LIBOR                                        
Put - 10 Year Interest Barclays Bank PLC 3 Month Receive   2.85%            09/17/2015   10,000   59       26     (33 )
Rate Swap     LIBOR                                        
Put - 10 Year Interest Barclays Bank PLC 3 Month Receive   2.75%            01/18/2016   14,200   123       157     34  
Rate Swap     LIBOR                                        
Put - 30 Year Interest Barclays Bank PLC 3 Month Receive   4.00%             11/22/2017   3,100   141       77     (64 )
Rate Swap     LIBOR                                        
Total                         $   726     $ 591 $   (135 )
 
        Pay/                                      
            Receive                 Upfront                
Written Swaptions        Floating Rate            Floating                   Exercise                 Expiration Notional Premiums     Fair   Unrealized  
Outstanding Counterparty (Issuer) Index Rate     Rate Date                         Amount                            Paid/(Received)                                           Value                 Appreciation/(Depreciation)
Call - 10 Year Interest                                          Barclays Bank PLC 3 Month Receive 2.10%               03/07/2017 $   6,400 $ (142 ) $ (145 ) $   (3 )
Rate Swap     LIBOR                                        
Call - 10 Year Interest                                        Barclays Bank PLC 3 Month Receive 2.10%               03/07/2017   3,200   (61 )     (73 )   (12 )
Rate Swap     LIBOR                                        
Call - 10 Year Interest                                        Barclays Bank PLC 3 Month Receive 2.10%               03/17/2017   3,200   (81 )     (73 )   8  
Rate Swap     LIBOR                                        
Put - 10 Year Interest Barclays Bank PLC 3 Month Pay     3.10%                03/07/2017   6,400   (180 )   (144 )   36  
Rate Swap     LIBOR                                        
Put - 10 Year Interest Barclays Bank PLC 3 Month Pay     3.10%                03/17/2017   3,200   (81 )     (74 )   7  
Rate Swap     LIBOR                                        
Put - 10 Year Interest Barclays Bank PLC 3 Month Pay     3.10%                03/07/2017   3,200   (94 )     (72 )   22  
Rate Swap     LIBOR                                        
Total                         $                     (639)                                        $ (581) $     58  
 
Amounts in thousands                                              
 
Options
                                           Upfront Premiums           Unrealized    
Purchased Options Outstanding Exercise Price                                   Expiration Date Contracts Paid/(Received)   Fair Value                Appreciation/(Depreciation)  
Call - US 10 Year Note Future $ 128.50 08/24/2015     186 $     146   $     190 $     44  
Call - USD versus CAD $ 1.28 07/06/2015   22,040,000       87         73       (14 )
Call - USD versus CAD $ 1.21 06/16/2015   14,890,000       69         48       (21 )
Call - USD versus JPY   $ 125.50 06/12/2015   29,455,000       66         84       18  
Put - 90 Day Eurodollar Future $ 98.50 06/12/2015     520       98         4       (94 )
Put - 90 Day Eurodollar Future $ 98.75 07/13/2015     720       153         112       (41 )
Put - AUD versus USD AUD 0.78 08/14/2015     7,390,000       84         170       86  
Put - AUD versus USD AUD 0.78 07/06/2015   15,260,000       127         110       (17 )
Put - US 10 Year Note Future $ 125.50 07/27/2015     75       46         28       (18 )
Put - USD versus CAD $ 1.22 07/06/2015   22,040,000       95         82       (13 )
Put - USD versus JPY   $ 120.50 06/12/2015   29,455,000       56         15       (41 )
Total                   $     1,027   $     916 $     (111 )

 

See accompanying notes

39

 

            Schedule of Investments                
Diversified Real Asset Fund
May 31, 2015 (unaudited)
 
 
Options (continued)
                  Upfront Premiums           Unrealized  
Written Options Outstanding Exercise Price Expiration Date   Contracts Paid/(Received)   Fair Value   Appreciation/(Depreciation)  
Call - AUD versus USD   AUD 0.82     08/14/2015   7,390,000 $ (61 ) $ (12 ) $   49  
Call - EUR versus USD   EUR 1.16     08/07/2015   5,305,000   (66 ) (23 )     43  
Call - EUR versus USD   EUR 1.15     08/03/2015   5,305,000   (62 ) (25 )     37  
Call - US 10 Year Note Future $ 128.00     07/27/2015   26   (19 ) (25 )     (6 )
Call - US 10 Year Note Future $ 130.50     08/24/2015   186   (64 ) (82 )     (18 )
Call - USD versus JPY   $ 126.50     11/02/2015   5,825,000   (47 ) (91 )     (44 )
Put - 90 Day Eurodollar Future $ 98.50     07/13/2015   365   (18 ) (12 )     6  
Put - AUD versus USD   AUD 0.78     08/14/2015   7,390,000   (178 ) (171 )     7  
Put - USD versus JPY   $ 113.50     11/02/2015   5,825,000   (47 ) (15 )     32  
Total                 $ (562 ) $ (456 ) $   106  
 
Amounts in thousands except contracts                                
 
 
Purchased Capped Options
                    Upfront              
  Counterparty   Strike         Expiration Notional Premiums           Unrealized  
Description (Issuer)   Index     Exercise Index   Date Amoun             Paid/(Received)                   Fair Value Appreciation/(Depreciation)  
Floor - Eurostat Barclays Bank PLC 0.15 % Max (0, 0%-   11/19/2015               EUR 3,280 $ 7   $   1 $ (6 )
Eurozone HICP ex           CPTFEMU)                      
Tobacco NSA                                  
Total                 $ 7   $   1 $ (6 )
 
Amounts in thousands                                  

 

See accompanying notes

40

 

Schedule of Investments
Dynamic High Yield Explorer Fund
May 31, 2015 (unaudited)
 
 
  COMMON STOCKS - 1.18%     Shares Held Value (000 's)     Principal    
                    BONDS (continued)   Amount (000's)  Value (000's)
  Publicly Traded Investment Fund - 1.18%                            
  PowerShares Senior Loan Portfolio     7,500 $ 181   Mining - 0.75%          
                    FMG Resources August 2006 Pty Ltd          
  TOTAL COMMON STOCKS         $   181   9.75%, 03/01/2022(a)   $ 110 $ 115
  INVESTMENT COMPANIES - 9.30%     Shares Held Value (000 's)            
 
  Publicly Traded Investment Fund - 9.30%                 Oil & Gas - 2.53%          
  BlackRock Liquidity Funds FedFund Portfolio     1,424,364       1,424   EP Energy LLC / Everest Acquisition Finance          
                    Inc          
  TOTAL INVESTMENT COMPANIES         $   1,424   7.75%, 09/01/2022     205   215
        Principal           Halcon Resources Corp          
BONDS- 37.08 %   Amount (000's) Value (000 's) 9.75%, 07/15/2020     100   72
                    QEP Resources Inc          
  Automobile Manufacturers - 4.42%                 6.80%, 04/01/2018     95   100
  General Motors Financial Co Inc                       $   387
  4.00%, 01/15/2025   $ 145 $ 144              
  Jaguar Land Rover Automotive PLC                 Packaging & Containers - 0.72%          
  4.13%, 12/15/2018(a)     295   303   Beverage Packaging Holdings Luxembourg II          
  Navistar International Corp                 SA / Beverage Packaging Holdings II          
                    5.63%, 12/15/2016(a)     110   111
  8.25%, 11/01/2021     230   230              
            $   677              
 
  Automobile Parts & Equipment - 0.43%                 Real Estate - 1.12%          
  Dana Holding Corp                 Crescent Resources LLC / Crescent Ventures          
  5.50%, 12/15/2024     65   66   Inc          
                    10.25%, 08/15/2017(a)     160   171
 
Banks - 4.30 %                          
  Barclays PLC                 Retail - 2.86%          
  8.25%, 12/29/2049(b)     200   214   Landry's Holdings II Inc          
                    10.25%, 01/01/2018(a)     280   292
  JP Morgan Chase & Co                            
  5.00%, 12/29/2049(b)     300   296   New Academy Finance Co LLC / New          
                  Academy Finance Corp          
   Popular Inc                 8.00%, PIK 8.75%, 06/15/2018(a),(c)     145   146
  7.00%, 07/01/2019     145   148              
            $   658         $   438
 
  Building Materials - 2.99%                 Software - 0.90%          
                    Activision Blizzard Inc          
  Cemex SAB de CV                 6.13%, 09/15/2023(a)     125   138
  7.25%, 01/15/2021(a)     425   458              
 
 
  Diversified Financial Services - 2.50%                 Telecommunications - 5.34%          
                    Altice Finco SA          
  Denali Borrower LLC / Denali Finance Corp                 7.63%, 02/15/2025(a)     290   297
  5.63%, 10/15/2020(a)     210   223              
                    B Communications Ltd          
  Icahn Enterprises LP / Icahn Enterprises                 7.38%, 02/15/2021(a)     210   224
  Finance Corp                            
                     Wind Acquisition Finance SA          
  4.88%, 03/15/2019     155   160    4.75%, 07/15/2020 (a)     295   297
            $   383         $   818
  Home Builders - 1.06%                            
  Lennar Corp                 Transportation - 1.60%          
  4.13%, 12/01/2018     160   163   Navios Maritime Acquisition Corp / Navios          
                    Acquisition Finance US Inc          
                    8.13%, 11/15/2021(a)     75   76
  Insurance - 0.98%                 Navios Maritime Holdings Inc / Navios          
  Voya Financial Inc                 Maritime Finance II US Inc          
  5.65%, 05/15/2053(b)     145   150   8.13%, 02/15/2019     200   169
                          $   245
  Internet - 0.68%                 TOTAL BONDS     $   5,678
  Zayo Group LLC / Zayo Capital Inc                 SENIOR FLOATING RATE INTERESTS -    Principal
  10.13%, 07/01/2020     92   104   57.72 % Amount (000's)         Value (000's)
                    Aerospace & Defense - 2.89%          
Media - 3.40 %               B/E Aerospace Inc, Term Loan B          
  DISH DBS Corp                 4.00%, 11/19/2021(b)   $ 439 $ 443
  4.25%, 04/01/2018     355   365              
  WideOpenWest Finance LLC /                 Automobile Parts & Equipment - 1.91%          
  WideOpenWest Capital Corp                 Federal-Mogul Holdings Corp, Term Loan C          
  10.25%, 07/15/2019     145   155   4.75%, 04/02/2021(b)     294   293
            $   520              
 
  Metal Fabrication & Hardware - 0.50%                 Building Materials - 1.09%          
  Wise Metals Intermediate Holdings LLC/Wise                 GYP Holdings III Corp, Term Loan B          
  Holdings Finance Corp                 7.75%, 03/25/2022(b)     175   167
  9.75%, PIK 10.50%, 06/15/2019(a),(c)     70   76              
 
 
 
  See accompanying notes                 41          

 

 

Schedule of Investments
Dynamic High Yield Explorer Fund
May 31, 2015 (unaudited)
 
 
SENIOR FLOATING RATE INTERESTS   Principal       SENIOR FLOATING RATE INTERESTS     Principal    
(continued)   Amount (000's)               Value (000's)   (continued)     Amount (000's)    Value (000's)
 
Chemicals - 7.82%           Iron & Steel - 0.86%          
A Schulman Inc, Term Loan B           Signode Industrial Group US Inc, Term Loan          
0.00%, 05/11/2022(b),(d) $ 135 $ 135   B          
Aruba Investments Inc, Term Loan B           3.75%, 04/08/2021(b)   $ 132 $ 132
5.25%, 01/28/2022(b)   100   101              
Axiall Holdco Inc, Term Loan B                      
4.00%, 02/25/2022(b)   225   227   Lodging - 0.86%          
AZ Chem US Inc, Term Loan           Hilton Worldwide Finance LLC, Term Loan          
7.50%, 06/10/2022(b)   300   297   B          
            3.50%, 09/23/2020(b)     131   131
Emerald Performance Materials LLC, Term                      
Loan                      
7.75%, 07/22/2022(b)   265   264 Media - 2.44 %        
Ineos US Finance LLC, Term Loan B           Cumulus Media Holdings Inc, Term Loan B          
3.75%, 05/04/2018(b)   173   173   4.25%, 12/23/2020(b)     239   225
    $   1,197            
            Univision Communications Inc, Term Loan C4          
Computers - 0.97%           4.00%, 03/01/2020(b)     149   149
Oberthur Technologies of America Corp,                 $   374
Term Loan B2                      
4.50%, 10/18/2019(b)   149   149   Mining - 4.15%          
            American Rock Salt Co LLC, Term Loan          
            8.00%, 05/16/2022(b)     295   301
Consumer Products - 0.80%                    
Dell International LLC, Term Loan B                      
4.50%, 03/24/2020(b)   123   123   FMG Resources August 2006 Pty Ltd, Term Loan B          
            3.75%, 06/30/2019(b)     369   334
                  $   635
Diversified Financial Services - 0.98%                      
Delos Finance Sarl, Term Loan B           Oil & Gas - 4.47%          
3.50%, 02/26/2021(b)   150   150   Drillships Financing Holding Inc, Term Loan          
            B1          
            6.00%, 03/31/2021(b)     248   212
Electronics - 3.36%           Seadrill Operating LP, Term Loan B          
Isola USA Corp, Term Loan B           4.00%, 02/12/2021(b)     377   308
9.25%, 11/29/2018(b)   234   226   Seventy Seven Operating LLC, Term Loan B          
TTM Technologies Inc, Term Loan B           3.75%, 06/17/2021(b)     175   164
0.00%, 05/07/2021(b),(d)   290   288         $   684
    $   514              
            Pharmaceuticals - 5.49%          
Entertainment - 5.04%           DPx Holdings BV, Term Loan B          
CCM Merger Inc, Term Loan B           4.25%, 01/22/2021(b)     149   148
4.50%, 07/30/2021(b)   354   356   Grifols Worldwide Operations USA Inc, Term          
          Loan B          
Lions Gate Entertainment Corp, Term Loan B           3.18%, 03/05/2021(b)     174   174
5.00%, 03/11/2022(b)   145   145   Horizon Pharma Inc, Term Loan B          
WMG Acquisition Corp, Term Loan B           4.50%, 04/29/2021(b)     45   45
3.75%, 07/07/2020(b)   273   270   Par Pharmaceutical Cos Inc, Term Loan B2          
    $   771   4.00%, 09/30/2019(b)     174   174
            Valeant Pharmaceuticals International Inc,          
Forest Products & Paper - 4.70%           Term Loan BD2          
Caraustar Industries Inc, Term Loan B           3.50%, 02/13/2019(b)     200   200
8.00%, 05/01/2019(b)   369   371              
NewPage Corp, Term Loan B           Valeant Pharmaceuticals International Inc,          
9.50%, 02/05/2021(b)   406   348   Term Loan BF1          
            0.00%, 04/01/2022(b),(d)     100   100
    $   719         $   841
Healthcare - Products - 0.33%                      
Kinetic Concepts Inc, Term Loan E1         REITS - 1.23 %        
4.50%, 05/04/2018(b)   50   50   iStar Financial Inc, Term Loan A2          
            7.00%, 03/19/2017(b)     184   188
 
Healthcare - Services - 1.06%                      
          Retail - 5.44%          
            Dollar Tree Inc, Term Loan B          
MPH Acquisition Holdings LLC, Term Loan B           4.26%, 02/06/2022(b)     30   30
3.75%, 03/19/2021(b)   143   142              
            Michaels Stores Inc, Term Loan B2          
Radnet Management Inc, Term Loan B           4.00%, 01/20/2028(b)     219   219
4.28%, 10/10/2018(b)   20   20              
            Neiman Marcus Group LTD LLC, Term          
    $   162   Loan          
Insurance - 1.83%           4.25%, 10/25/2020(b)     293   293
Asurion LLC, Term Loan           PetSmart Inc, Term Loan B          
8.50%, 02/19/2021(b)   275   281   4.25%, 03/11/2022(b)     145   146

 

See accompanying notes

42

 

              Schedule of Investments  
          Dynamic High Yield Explorer Fund  
              May 31, 2015 (unaudited)  
 
 
SENIOR FLOATING RATE INTERESTS Principal          
(continued) Amount (000's) Value (000 's)
 
Retail (continued)              
Staples Inc, Term Loan B              
  0.00%, 04/23/2021(b),(d) $ 145 $ 145  
          $   833  
TOTAL SENIOR FLOATING RATE INTERESTS     $   8,837  
Total Investments       $   16,120  
Liabilities in Excess of Other Assets, Net - (5.28)%     $   (808 )
TOTAL NET ASSETS - 100.00%       $   15,312  
 
(a) Security exempt from registration under Rule 144A of the Securities Act of  
  1933. These securities may be resold in transactions exempt from  
  registration, normally to qualified institutional buyers. At the end of the  
  period, the value of these securities totaled $2,927 or 19.12% of net assets.  
(b) Variable Rate. Rate shown is in effect at May 31, 2015.          
(c) Payment in kind; the issuer has the option of paying additional securities  
  in lieu of cash.              
(d) This Senior Floating Rate Note will settle after May 31, 2015, at which  
  time the interest rate will be determined.              
 
  Portfolio Summary (unaudited)          
Sector           Percent  
Consumer, Cyclical           22.01 %
Basic Materials           18.28 %
Industrial           13.15 %
Financial           12.95 %
Communications           11.86 %
Exchange Traded Funds           10.48 %
Consumer, Non-cyclical           7.68 %
Energy           7.00 %
Technology           1.87 %
Liabilities in Excess of Other Assets, Net           (5.28 )%
TOTAL NET ASSETS           100.00 %

 

See accompanying notes

43

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS - 46.19% Shares Held      Value (000's) COMMON STOCKS (continued) Shares Held      Value (000's)
 
Advertising - 0.06%       Automobile Parts & Equipment (continued)      
Gendai Agency Inc 10,700 $ 58 NGK Insulators Ltd 5,300 $ 131
Interpublic Group of Cos Inc/The 34,915   713 NGK Spark Plug Co Ltd 21,500   649
Journal Media Group Inc 886   7 Nissin Kogyo Co Ltd 16,800   284
Moshi Moshi Hotline Inc 23,400   277 Pirelli & C. SpA 39,882   677
Omnicom Group Inc 10,736   800 Rheinmetall AG 22,248   1,171
  $   1,855 Sumitomo Electric Industries Ltd 42,540   676
        Takata Corp 30,800   337
Aerospace & Defense - 1.08%       Tokai Rika Co Ltd 24,600   633
B/E Aerospace Inc 99,133   5,684 Toyo Tire & Rubber Co Ltd 23,800   528
Boeing Co/The 18,030   2,534 Toyoda Gosei Co Ltd 36,700   909
Finmeccanica SpA (a) 124,382   1,653 Toyota Boshoku Corp 51,400   815
General Dynamics Corp 11,090   1,555 Toyota Industries Corp 12,915   775
IHI Corp 85,000   408 TPR Co Ltd 1,000   29
Jamco Corp 23,625   727   $   13,917
Kawasaki Heavy Industries Ltd 67,000   337        
KLX Inc (a) 14,965   656 Banks - 2.22%      
L-3 Communications Holdings Inc 23,678   2,790 Alpha Bank AE (a) 694,085   253
Lockheed Martin Corp 23,494   4,422 Banca Popolare di Milano Scarl 1,085,549   1,126
MTU Aero Engines AG 1,186   113 Banco Popolare SC (a) 5,514   93
Northrop Grumman Corp 28,042   4,464 Banco Santander SA 74,277   530
Raytheon Co 29,887   3,086 Bank of America Corp 168,230   2,776
Rockwell Collins Inc 16,308   1,552 Bank of Hawaii Corp 6,890   432
Safran SA 8,117   574 Bank of New York Mellon Corp/The 77,020   3,340
TransDigm Group Inc 3,748   847 BNP Paribas SA 16,035   966
United Technologies Corp 24,110   2,825 BOK Financial Corp 17,558   1,136
  $   34,227 CaixaBank SA 213,824   1,024
        Capital One Financial Corp 15,090   1,261
Agriculture - 0.46%       Citigroup Inc 131,071   7,088
Altria Group Inc 41,680   2,134 City National Corp/CA 15,238   1,405
Archer-Daniels-Midland Co 12,570   664 Commerzbank AG (a) 2,696   36
Lorillard Inc 97,988   7,102 Cullen/Frost Bankers Inc 18,506   1,359
Philip Morris International Inc 21,970   1,825 Danske Bank A/S (b) 6,253   183
Reynolds American Inc 33,260   2,553 DNB ASA (b) 35,685   625
Swedish Match AB 8,390   250 EFG International AG (a) 85,755   1,189
  $   14,528 Eighteenth Bank Ltd/The 27,000   84
Airlines - 0.51%       First Republic Bank/CA 17,918   1,085
American Airlines Group Inc 265,734   11,259 Grupo Financiero Galicia SA ADR 13,009   261
Delta Air Lines Inc 41,420   1,778 Hancock Holding Co 21,870   637
Deutsche Lufthansa AG (a) 19,190   270 Hudson Valley Holding Corp 12,100   313
Japan Airlines Co Ltd 10,398   356 Huntington Bancshares Inc/OH 243,680   2,712
JetBlue Airways Corp (a) 39,840   803 ING Groep NV 472,056   7,794
Southwest Airlines Co 11,171   414 JP Morgan Chase & Co 13,130   864
United Continental Holdings Inc (a) 26,299   1,436 Jyske Bank A/S (a) 2,478   119
  $   16,316 M&T Bank Corp 27,141   3,281
        Mediobanca SpA 35,485   366
Apparel - 0.18%       Mitsubishi UFJ Financial Group Inc 577,358   4,257
Asics Corp 17,871   475 Mizuho Financial Group Inc 1,149,600   2,531
Descente Ltd 6,901   105 Morgan Stanley 2,447   93
Hanesbrands Inc 15,360   489 Nordea Bank AB 745   10
Iconix Brand Group Inc (a) 73,760   1,905 Oita Bank Ltd/The 36,000   150
Michael Kors Holdings Ltd (a) 368   17 Piraeus Bank SA (a) 324,924   180
Moncler SpA 6,894   131 PNC Financial Services Group Inc/The 19,172   1,835
VF Corp 38,680   2,724 Prosperity Bancshares Inc 17,010   911
  $   5,846 Regions Financial Corp 47,480   479
        Seven Bank Ltd 106,317   501
Automobile Manufacturers - 0.18%       Shinsei Bank Ltd 392,800   793
Fiat Chrysler Automobiles NV (a) 72,267   1,156        
        Skandinaviska Enskilda Banken AB 36,755   455
Hino Motors Ltd 16,500   224 Square 1 Financial Inc (a) 16,671   435
Honda Motor Co Ltd 50,000   1,719 State Street Corp 19,450   1,516
Mazda Motor Corp 29,800   638 Sumitomo Mitsui Financial Group Inc 84,725   3,845
PACCAR Inc 32,288   2,052 Susquehanna Bancshares Inc 119,185   1,655
  $   5,789 Swedbank AB 4,226   99
Automobile Parts & Equipment - 0.44%       Synovus Financial Corp 23,630   686
Aisan Industry Co Ltd 32,400   301 TCF Financial Corp 39,990   629
Allison Transmission Holdings Inc 66,230   2,027 Texas Capital Bancshares Inc (a) 20,150   1,096
Continental AG (b) 772   178 Tochigi Bank Ltd/The 39,000   210
Daikyonishikawa Corp 14,360   485 Tokyo TY Financial Group Inc 10,823   361
Delphi Automotive PLC 7,680   668 UBS Group AG (a) 86,304   1,857
Denso Corp 12,570   656 UniCredit SpA 56,247   395
Exedy Corp 19,800   515 Unione di Banche Italiane SCpA 76,176   623
Georg Fischer AG 81   61 Wells Fargo & Co 22,856   1,279
Johnson Controls Inc 10,330   537 Wilshire Bancorp Inc 85,705   946
Keihin Corp 39,800   664 Yamanashi Chuo Bank Ltd/The 44,000   201
Koito Manufacturing Co Ltd 5,405   211   $   70,366

 

See accompanying notes

44

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held     Value (000's) COMMON STOCKS (continued) Shares Held     Value (000's)
 
Beverages - 1.42%       Chemicals (continued)      
Anheuser-Busch InBev NV ADR 118,270 $ 14,259 Linde AG 322 $ 62
Asahi Group Holdings Ltd 13,110   419 Lonza Group AG (a) 8,258   1,161
C&C Group PLC 179,529   693 Methanex Corp 33,382   1,852
Coca-Cola Co/The 125,956   5,159 Mitsubishi Gas Chemical Co Inc 129,700   751
Coca-Cola Enterprises Inc 31,524   1,394 Mitsui Chemicals Inc 304,640   990
Constellation Brands Inc 7,230   852 Nippon Shokubai Co Ltd 21,100   291
Dr Pepper Snapple Group Inc 10,312   790 Nitto Denko Corp 8,400   651
Heineken NV 91,320   7,146 Platform Specialty Products Corp (a),(d) 121,792   3,187
Molson Coors Brewing Co 155,728   11,427 Praxair Inc (c) 19,929   2,449
Monster Beverage Corp (a) 9,606   1,223 RPM International Inc 40,500   2,026
PepsiCo Inc 6,375   615 Sherwin-Williams Co/The 14,486   4,174
Treasury Wine Estates Ltd 256,347   1,049 Showa Denko KK 91,000   127
  $   45,026 Sigma-Aldrich Corp (b) 26,088   3,634
        Sumitomo Bakelite Co Ltd 121,720   566
Biotechnology - 0.63%       Symrise AG 2,577   164
Alnylam Pharmaceuticals Inc (a),(c) 6,809   893        
        Teijin Ltd 94,000   350
Amgen Inc 12,584   1,966 Tokyo Ohka Kogyo Co Ltd 6,908   209
Arena Pharmaceuticals Inc (a) 199,113   782        
Biogen Inc (a),(c) 8,619   3,421 Umicore SA 5,362   263
Celgene Corp (a) 25,242   2,889 Valspar Corp/The 14,560   1,215
Five Prime Therapeutics Inc (a) 7,829   201 Wacker Chemie AG 19,556   2,126
        Yara International ASA 8,338   420
Gilead Sciences Inc 28,923   3,247   $   66,284
Illumina Inc (a) 4,449   917        
Incyte Corp (a) 7,655   843 Coal - 0.06%      
PTC Therapeutics Inc (a) 6,355   369 Consol Energy Inc 23,040   641
Puma Biotechnology Inc (a) 1,910   373 SunCoke Energy Inc 74,840   1,217
Regeneron Pharmaceuticals Inc (a) 4,051   2,076   $   1,858
Synageva BioPharma Corp (a) 5,022   1,072        
Vertex Pharmaceuticals Inc (a) 6,359   816 Commercial Services - 1.32%      
        Adecco SA (a) 1,716   136
  $   19,865 ADT Corp/The 37,880   1,382
Building Materials - 0.97%       Aeon Delight Co Ltd 12,000   328
BRAAS Monier Building Group SA 62,959   1,771 Applus Services SA (a) 1,014   12
Bunka Shutter Co Ltd 11,800   100 Atlantia SpA 3,788   98
Cie de Saint-Gobain 41,632   1,936 Automatic Data Processing Inc 12,736   1,089
CRH PLC 5,475   153 Benesse Holdings Inc 5,100   133
CRH PLC 66,530   1,863 Cintas Corp 11,930   1,027
Fortune Brands Home & Security Inc 84,801   3,889 CoStar Group Inc (a) 22,282   4,655
Geberit AG 1,960   706 Ellaktor SA (a) 102,085   190
HeidelbergCement AG (b) 11,185   908 Equifax Inc 8,510   854
Lafarge SA 14,702   1,036 Global Payments Inc 10,870   1,135
Lennox International Inc 28,436   3,202 Hertz Global Holdings Inc (a) 481,351   9,574
Louisiana-Pacific Corp (a) 191,903   3,472 ISS A/S 2,371   81
Martin Marietta Materials Inc 3,469   517 LifeLock Inc (a) 19,750   301
Masco Corp 51,426   1,392 MasterCard Inc 14,150   1,305
Norbord Inc 193,548   4,132 McGraw Hill Financial Inc (c) 25,322   2,627
Owens Corning Inc 20,560   871 Monster Worldwide Inc (a) 192,625   1,169
Sanwa Holdings Corp 53,900   468 Moody's Corp 18,544   2,005
Sika AG 98   337 Outsourcing Inc 18,100   254
Vulcan Materials Co 27,210   2,447 Prosegur Cia de Seguridad SA 6,036   33
Wienerberger AG 93,732   1,497 QinetiQ Group PLC 157,020   569
  $   30,697 Randstad Holding NV 3,080   178
        Robert Half International Inc 54,036   3,046
Chemicals - 2.09%       Securitas AB 31,512   429
Air Products & Chemicals Inc 101,215   14,854 SEI Investments Co (c) 29,372   1,405
Airgas Inc 4,360   445 TechnoPro Holdings Inc (a) 30,661   758
Akzo Nobel NV (b) 121,169   9,213        
        Total System Services Inc 90,590   3,732
Ashland Inc 20,490   2,610 TriNet Group Inc (a) 18,717   560
Brenntag AG (b) 7,560   457        
        United Rentals Inc (a) 30,830   2,741
Clariant AG (a) 3,292   71        
Daicel Corp 16,339   212   $   41,806
Dow Chemical Co/The 22,369   1,165 Computers - 1.16%      
Eastman Chemical Co 49,580   3,806 Accenture PLC - Class A 23,165   2,225
Ecolab Inc 4,790   549 Apple Inc 104,511   13,616
Evonik Industries AG 8   — Computer Sciences Corp 29,868   2,049
Fujimi Inc 11,100   168 Ferrotec Corp 26,300   145
Givaudan SA (a) 209   383 Fujitsu Ltd 453,895   2,538
Hitachi Chemical Co Ltd 25,300   499 Hewlett-Packard Co 122,185   4,081
Huntsman Corp 120,862   2,712 IGATE Corp (a) 15,592   741
International Flavors & Fragrances Inc 5,050   601 International Business Machines Corp 17,350   2,943
JSR Corp 49,000   889 Itochu Techno-Solutions Corp 28,800   678
Kansai Paint Co Ltd 15,338   264 Japan Digital Laboratory Co Ltd 8,500   120
Koninklijke DSM NV 10,061   596 Leidos Holdings Inc 13,830   588
LANXESS AG 2,186   122 Melco Holdings Inc 18,400   360

 

See accompanying notes

45

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held     Value (000's) COMMON STOCKS (continued) Shares Held     Value (000's)
 
Computers (continued)       Electric (continued)      
NCR Corp (a) 96,260 $ 2,893 EnerNOC Inc (a) 116,526 $ 1,121
NET One Systems Co Ltd 58,800   438 Entergy Corp 9,210   704
Obic Co Ltd 12,362   505 Fortum OYJ 5,553   106
SCSK Corp 15,600   422 Hawaiian Electric Industries Inc 52,737   1,611
Stratasys Ltd (a) 27,458   976 Hera SpA 55,990   148
Synaptics Inc (a) 6,500   648 Iberdrola SA (b) 224,525   1,552
TDK Corp 8,377   668 Integrys Energy Group Inc (b) 31,003   2,229
  $   36,634 NRG Energy Inc 70,220   1,769
        Pampa Energia SA ADR(a) 6,624   94
Consumer Products - 0.16%       Pepco Holdings Inc 98,697   2,689
Avery Dennison Corp 15,550   963 Red Electrica Corp SA 3,590   302
Church & Dwight Co Inc 25,837   2,169 Terna Rete Elettrica Nazionale SpA 18,770   90
Clorox Co/The 10,810   1,164 UIL Holdings Corp 1,621   82
Samsonite International SA 214,510   778   $   18,740
  $   5,074        
        Electrical Components & Equipment - 0.23%      
Cosmetics & Personal Care - 0.12%       Acuity Brands Inc 15,810   2,790
Artnature Inc 8,800   77 Advanced Energy Industries Inc (a) 26,740   763
Estee Lauder Cos Inc/The 8,810   770 Capstone Turbine Corp (a) 820,597   345
Kose Corp 7,435   486 Funai Electric Co Ltd 44,900   545
Pigeon Corp 15,138   396 Generac Holdings Inc (a) 21,714   907
Procter & Gamble Co/The 18,525   1,452 GrafTech International Ltd (a) 1,972   10
Svenska Cellulosa AB SCA 22,848   597 Osram Licht AG 7,933   419
  $   3,778 Prysmian SpA 7,075   160
Distribution & Wholesale - 0.19%       SunPower Corp (a) 27,744   843
Genuine Parts Co 21,390   1,935 Ushio Inc 40,000   587
HD Supply Holdings Inc (a) 27,940   907   $   7,369
Hitachi High-Technologies Corp 5,377   151 Electronics - 0.57%      
LKQ Corp (a) 44,880   1,282        
        Agilent Technologies Inc 19,043   784
Rexel SA 75,978   1,392 Alps Electric Co Ltd 15,990   409
Tomoe Engineering Co Ltd 9,000   126 Arrow Electronics Inc (a) 30,422   1,849
Yondoshi Holdings Inc 12,800   276 Benchmark Electronics Inc (a) 17,150   399
  $   6,069 GoPro Inc (a) 15,918   883
Diversified Financial Services - 0.66%       Hamamatsu Photonics KK 19,494   599
American Express Co 15,413   1,229 Horiba Ltd 2,600   103
Ameriprise Financial Inc 16,930   2,109 Hosiden Corp 67,500   489
BlackRock Inc 17,209   6,294 Hoya Corp 8,844   325
CME Group Inc/IL 4,460   420 IMAX Corp (a) 14,922   602
E*Trade Financial Corp (a) 17,950   529 Keyence Corp 867   465
GAM Holding AG (a) 15,003   335 Keysight Technologies Inc (a) 30,440   1,000
Greenhill & Co Inc 27,070   1,054 Koninklijke Philips NV 7,823   213
Hellenic Exchanges - Athens Stock Exchange 64,495   371 Kuroda Electric Co Ltd 27,800   493
SA Holding       Methode Electronics Inc 36,198   1,699
Home Loan Servicing Solutions Ltd (b) 40,435   28 Minebea Co Ltd 22,590   415
Huatai Securities Co Ltd (a),(e),(f) 109,373   350 Mitsumi Electric Co Ltd 23,600   166
IBJ Leasing Co Ltd 16,100   342 Murata Manufacturing Co Ltd 2,211   358
Ichiyoshi Securities Co Ltd 17,800   172 Nichicon Corp 66,300   558
Invesco Ltd 19,120   761 Nippon Ceramic Co Ltd 13,900   198
Investment Technology Group Inc 15,320   411 Sanmina Corp (a) 35,520   769
Japan Exchange Group Inc 19,054   576 SCREEN Holdings Co Ltd 165,000   1,265
Kenedix Inc 77,100   327 Siix Corp 4,474   130
Legg Mason Inc 28,404   1,516 TE Connectivity Ltd 27,521   1,899
LendingClub Corp (a),(d),(g) 4,760   91 Tokyo Seimitsu Co Ltd 27,100   627
Mirae Asset Securities Co Ltd 52   3 Trimble Navigation Ltd (a) 18,040   423
Mitsubishi UFJ Lease & Finance Co Ltd 84,100   440 Watts Water Technologies Inc 11,301   600
NASDAQ OMX Group Inc/The 13,516   699 Yaskawa Electric Corp 26,100   365
Partners Group Holding AG 828   260   $   18,085
Raymond James Financial Inc 11,253   654 Energy - Alternate Sources - 0.18%      
Springleaf Holdings Inc (a) 20,153   958        
        GCL-Poly Energy Holdings Ltd (a) 3,067,705   817
Visa Inc 6,960   478 Green Plains Inc 15,960   524
Zenkoku Hosho Co Ltd 14,280   478 SunEdison Inc (a) 145,723   4,368
  $   20,885   $   5,709
 
Electric - 0.59%       Engineering & Construction - 0.41%      
Ameren Corp 26,230   1,055 Abengoa SA 55,798   187
Cleco Corp 28,047   1,522 Acciona SA 1,678   129
DTE Energy Co 17,590   1,394 ACS Actividades de Construccion y Servicios 21,907   706
E.ON SE 39,664   584 SA (b)      
EDP - Energias de Portugal SA 4   — AECOM (a) 107,776   3,560
Empresa Distribuidora Y Comercializadora 8,677   126 Balfour Beatty PLC 393,242   1,498
Norte ADR(a)              
Endesa SA (b) 52,514   981 Boskalis Westminster NV 9,953   492
        Ferrovial SA (b) 18,353   396
Enel SpA 119,470   581 Flughafen Zuerich AG 436   345

 

See accompanying notes

46

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held     Value (000's) COMMON STOCKS (continued) Shares Held    Value (000's)
 
Engineering & Construction (continued)       Gas (continued)      
HOCHTIEF AG (b) 2,993 $ 228 NiSource Inc 23,820 $ 1,124
Jacobs Engineering Group Inc (a) 30,628   1,325 Snam SpA (b) 31,829   158
Kyudenko Corp 20,500   304 UGI Corp 107,516   4,021
NCC AB 116   4   $   8,600
Nippon Densetsu Kogyo Co Ltd 14,300   249        
Sacyr SA (a) 5,721   24 Hand & Machine Tools - 0.07%      
Skanska AB 26,932   561 DMG Mori Seiki Co Ltd 48,200   950
Taisei Corp 28,126   153 Schindler Holding AG - PC 2   —
Tecnicas Reunidas SA 17,312   861 SMC Corp/Japan 1,001   302
Toyo Engineering Corp (a) 66,000   170 Stanley Black & Decker Inc 9,738   998
Vinci SA 24,609   1,459   $   2,250
Yumeshin Holdings Co Ltd 44,000   283 Healthcare - Products - 0.48%      
  $   12,934 Asahi Intecc Co Ltd 9,934   582
Entertainment - 0.04%       Becton Dickinson and Co 29,814   4,189
Avex Group Holdings Inc 19,700   367 Coloplast A/S 2,067   156
OPAP SA 91,500   889 CR Bard Inc 2,819   480
  $   1,256 Danaher Corp 20,143   1,739
        Hologic Inc (a) 47,607   1,703
Environmental Control - 0.39%       Intuitive Surgical Inc (a) 4,308   2,101
Clean Harbors Inc (a) 26,859   1,513 Medtronic PLC 21,000   1,603
Daiseki Co Ltd 7,700   145 Nihon Kohden Corp 6,445   156
METAWATER Co Ltd 3,700   93 Olympus Corp 7,200   245
Republic Services Inc 128,708   5,186 Shimadzu Corp 10,500   139
Stericycle Inc (a) 18,030   2,475 Sorin SpA (a) 61,839   183
Waste Connections Inc 31,170   1,513 Straumann Holding AG 751   199
Waste Management Inc 30,970   1,538 Stryker Corp 13,250   1,274
  $   12,463 Sysmex Corp 4,637   267
        Tornier NV (a) 2,718   72
Food - 1.58%         $   15,088
Aryzta AG (a) 5,047   320        
Campbell Soup Co 16,299   788 Healthcare - Services - 1.11%      
ConAgra Foods Inc 40,420   1,561 Acadia Healthcare Co Inc (a) 20,139   1,493
Cosan Ltd 91,412   568 Aetna Inc 29,622   3,495
Delhaize Group SA 7,754   692 Ain Pharmaciez Inc 9,650   383
Ebro Foods SA 4,509   85 Anthem Inc 17,119   2,873
Greencore Group PLC 181,287   913 Cigna Corp 14,880   2,096
Hershey Co/The 49,141   4,563 CMIC Holdings Co Ltd 16,600   223
Hormel Foods Corp 10,140   580 Community Health Systems Inc (a) 31,230   1,727
Ingredion Inc 13,250   1,086 DaVita HealthCare Partners Inc (a) 33,210   2,782
JM Smucker Co/The 66,739   7,912 Envision Healthcare Holdings Inc (a) 31,074   1,148
Kesko OYJ 9,854   369 HCA Holdings Inc (a) 39,900   3,265
Kikkoman Corp 9,120   254 Humana Inc 18,312   3,931
Koninklijke Ahold NV 35,323   717 Laboratory Corp of America Holdings (a) 26,487   3,124
Kraft Foods Group Inc 231,483   19,549 Message Co Ltd 9,300   241
Kroger Co/The 25,390   1,848 Quest Diagnostics Inc 6,790   511
Marine Harvest ASA 2,389   27 RHOEN-KLINIKUM AG 10,300   287
MEIJI Holdings Co Ltd 1,515   172 Tenet Healthcare Corp (a) 67,946   3,614
Mondelez International Inc 70,506   2,932 UnitedHealth Group Inc 33,815   4,065
Nestle SA 6,603   512   $   35,258
Orkla ASA 32,857   258        
Post Holdings Inc (a) 20,934   906 Holding Companies - Diversified - 0.05%      
Safeway, Inc. - CVR - Casa Ley (a),(f) 11,050   — GEA Group AG 7,115   346
        Nomad Holdings Ltd (a),(f) 103,766   1,090
Safeway, Inc. - CVR - Property Development 11,050   — WL Ross Holding Corp (a) 11,600   138
Centers (a),(d),(f)              
Seven & i Holdings Co Ltd 8,400   347   $   1,574
Sonae SGPS SA 10,379   14 Home Builders - 0.46%      
Sysco Corp 47,404   1,762 DR Horton Inc 159,850   4,175
WhiteWave Foods Co/The (a) 19,660   944 Iida Group Holdings Co Ltd 23,137   375
Yaoko Co Ltd 10,062   402 NVR Inc (a) 2,789   3,795
  $   50,081 Pulte Group Inc (c) 269,501   5,169
Forest Products & Paper - 0.14%       Winnebago Industries Inc 44,210   961
BillerudKorsnas AB 3,930   67   $   14,475
Holmen AB 2,076   62 Home Furnishings - 0.36%      
International Paper Co 45,380   2,352 Electrolux AB 45,761   1,397
Smurfit Kappa Group PLC 48,733   1,435 Harman International Industries Inc 17,725   2,136
Stora Enso OYJ 21,664   227 Hoshizaki Electric Co Ltd 4,500   277
UPM-Kymmene OYJ 24,371   438 iRobot Corp (a) 14,491   463
  $   4,581 Leggett & Platt Inc 51,690   2,444
Gas - 0.27%       Matsushita Electric Industrial Co Ltd 12,607   185
Atmos Energy Corp 13,390   723 Sony Corp 52,465   1,622
        Tempur Sealy International Inc (a) 12,930   771
CenterPoint Energy Inc 93,280   1,900        
Enagas SA (b) 23,438   674 Whirlpool Corp 11,013   2,029
          $   11,324

 

See accompanying notes

47

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held    Value (000's) COMMON STOCKS (continued) Shares Held    Value (000's)
 
Housewares - 0.05%       Internet (continued)      
Newell Rubbermaid Inc 31,110 $ 1,230 Groupon Inc (a) 228,154 $ 1,456
Toro Co 7,240   495 Infomart Corp 28,500   282
  $   1,725 Marketo Inc (a) 4,737   141
        Netflix Inc (a) 4,758   2,969
Insurance - 2.16%       Optimal Payments PLC (a) 429,894   1,848
ACE Ltd 19,424   2,068 Orbitz Worldwide Inc (a) 111,417   1,256
Aegon NV 21,881   167 Pandora Media Inc (a) 39,233   733
Ageas 1,621   61 Proto Corp 9,900   159
Alleghany Corp (a),(c) 2,846   1,353        
        Rakuten Inc 19,864   325
Allstate Corp/The 48,050   3,235 Stingray Digital Group Inc (a),(e),(f) 9,400   47
American Equity Investment Life Holding Co 32,770   833 Tencent Holdings Ltd 23,880   476
American International Group Inc (c) 100,562   5,894        
        United Internet AG 7,954   372
Aon PLC 39,312   3,979 VeriSign Inc (a) 26,990   1,706
Aspen Insurance Holdings Ltd 40,030   1,856 Vipshop Holdings Ltd ADR(a) 15,495   387
Assurant Inc 19,970   1,315 Yelp Inc (a) 16,079   770
Baloise Holding AG 2,177   271 Zillow Group Inc (a) 35,883   3,279
Berkshire Hathaway Inc - Class B (a) 40,824   5,837        
Brown & Brown Inc 33,710   1,092   $   46,186
Dai-ichi Life Insurance Co Ltd/The 56,300   984 Iron & Steel - 0.35%      
Delta Lloyd NV (b) 78,702   1,366 Acerinox SA (b) 8,250   126
Fairfax Financial Holdings Ltd 3,113   1,568 Aichi Steel Corp 27,000   129
Gjensidige Forsikring ASA 13,469   208 Chubu Steel Plate Co Ltd 19,300   81
Hannover Rueck SE 3,405   331 Hitachi Metals Ltd 49,151   813
HCC Insurance Holdings Inc 11,850   678 Japan Steel Works Ltd/The 158,000   732
HCI Group Inc 13,370   578 Kobe Steel Ltd 212,000   396
Helvetia Holding AG 30   17 Kyoei Steel Ltd 25,600   462
Markel Corp (a) 4,687   3,622 ThyssenKrupp AG 217,328   5,768
Marsh & McLennan Cos Inc 68,478   3,987 Tokyo Steel Manufacturing Co Ltd 128,900   1,000
MetLife Inc 39,578   2,068 Toyo Kohan Co Ltd 25,000   117
Montpelier Re Holdings Ltd ADR 2,850   108 Worthington Industries Inc 21,010   572
Muenchener Rueckversicherungs-Gesellschaft 3,606   666 Yamato Kogyo Co Ltd 25,650   616
AG in Muenchen       Yodogawa Steel Works Ltd 66,000   298
Navigators Group Inc/The (a) 3,890   302   $   11,110
PartnerRe Ltd 179   24        
Progressive Corp/The 52,261   1,429 Leisure Products & Services - 0.24%      
Prudential Financial Inc 18,300   1,548 Harley-Davidson Inc 42,381   2,267
        Jarden Corp (a) 30,570   1,622
Reinsurance Group of America Inc 16,451   1,539 Life Time Fitness Inc (a) 11,985   862
RenaissanceRe Holdings Ltd 23,525   2,402        
Saga PLC (a) 158,003   512 Polaris Industries Inc 8,360   1,196
Sony Financial Holdings Inc 48,185   840 Shimano Inc 1,668   237
Swiss Life Holding AG (a) 6,034   1,448 TUI AG 67,506   1,198
Swiss Re AG 8,904   800 Yamaha Motor Co Ltd 9,000   224
T&D Holdings Inc 176,028   2,624   $   7,606
Talanx AG 2,379   71 Lodging - 0.69%      
Tokio Marine Holdings Inc 21,595   890 Diamond Resorts International Inc (a) 44,441   1,382
Torchmark Corp 31,015   1,770 Hilton Worldwide Holdings Inc (a) 165,343   4,788
Travelers Cos Inc/The 18,780   1,899 Interval Leisure Group Inc 26,430   688
Tryg A/S 4,492   90 Las Vegas Sands Corp 19,828   1,008
UnipolSai SpA (a) 128,771   350 MGM Resorts International (a) 237,193   4,756
Universal Insurance Holdings Inc 27,394   699 Starwood Hotels & Resorts Worldwide Inc 74,658   6,179
Unum Group 62,620   2,189 Wyndham Worldwide Corp (c) 22,746   1,931
White Mountains Insurance Group Ltd 1,851   1,202 Wynn Resorts Ltd 10,810   1,088
WR Berkley Corp 29,300   1,436   $   21,820
Zurich Insurance Group AG (a) 257   82        
  $   68,288 Machinery - Construction & Mining - 0.07%      
        Hitachi Ltd 75,100   511
Internet - 1.46%       Mitsubishi Electric Corp 76,640   1,047
Alibaba Group Holding Ltd ADR(a) 37,291   3,331 Terex Corp 24,830   614
Amazon.com Inc (a) 19,972   8,573        
AOL Inc (a) 3,252   163   $   2,172
Baidu Inc ADR(a) 4,905   968 Machinery - Diversified - 0.25%      
COOKPAD Inc 2,700   113 Amada Holdings Co Ltd 11,900   121
Corindus Vascular Robotics Inc (a),(d) 288,264   1,153 Bucher Industries AG 158   42
Coupons.com Inc (a) 121,158   1,513 Daifuku Co Ltd 19,000   287
CyberAgent Inc 21,612   1,001 Deere & Co 14,110   1,322
Digital Garage Inc 8,200   114 Denyo Co Ltd 22,200   353
Dip Corp 4,497   355 DXP Enterprises Inc (a) 14,650   601
en-japan Inc 19,100   260 Eagle Industry Co Ltd 5,200   115
Expedia Inc 19,570   2,099 Fuji Machine Manufacturing Co Ltd 9,300   98
F5 Networks Inc (a) 4,080   513 Hisaka Works Ltd 21,800   195
Facebook Inc (a) 46,278   3,665 Husqvarna AB 75,989   579
GoDaddy Inc (a) 900   24 IDEX Corp 25,562   1,975
Google Inc - C Shares (a) 10,736   5,713 KION Group AG 2,683   128
Gree Inc 67,500   422 Kubota Corp 8,200   136

 

See accompanying notes

48

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held    Value (000's) COMMON STOCKS (continued) Shares Held    Value (000's)
 
Machinery - Diversified (continued)       Office & Business Equipment - 0.12%      
Makino Milling Machine Co Ltd 34,500 $ 338 Canon Inc 40,300 $ 1,391
MAN SE 2,609   270 Ricoh Co Ltd 29,000   301
Metso OYJ 5,010   144 Xerox Corp 196,979   2,250
OC Oerlikon Corp AG (a) 32,220   413   $   3,942
Toshiba Machine Co Ltd 103,000   485        
Tsubakimoto Chain Co 12,400   110 Oil & Gas - 1.29%      
Zuiko Corp 5,030   158 Anadarko Petroleum Corp 31,297   2,617
  $   7,870 Apache Corp 13,370   800
        BG Group PLC 60,444   1,054
Media - 1.60%       Canadian Natural Resources Ltd 14,609   451
Axel Springer SE 2,293   125 Carrizo Oil & Gas Inc (a) 14,560   730
Cablevision Systems Corp 155,888   3,821 Cheniere Energy Inc (a) 78,984   5,989
CBS Corp 53,770   3,319 Cobalt International Energy Inc (a) 153,670   1,561
Comcast Corp - Class A 59,212   3,462 Devon Energy Corp 8,610   562
DIRECTV (a) 35,188   3,203 Eni SpA 43,351   781
DISH Network Corp (a) 182,765   12,938 Ensco PLC 27,840   654
EW Scripps Co/The 21   — EOG Resources Inc 8,169   724
FactSet Research Systems Inc 11,430   1,888 Exxon Mobil Corp 26,720   2,277
Liberty Global PLC - A Shares (a) 35,101   2,019 Galp Energia SGPS SA 4,014   47
Liberty Global PLC - C Shares (a) 94,308   5,069 Hess Corp 11,890   803
Nippon Television Holdings Inc 63,700   1,086 Imperial Oil Ltd 50,664   1,987
NOS SGPS SA 5,267   39 Inpex Corp 105,081   1,289
ProSiebenSat.1 Media AG 14,348   687 Japan Petroleum Exploration Co Ltd 16,800   560
Reed Elsevier NV 21,021   510 Karoon Gas Australia Ltd (a) 316,524   661
Time Warner Cable Inc (b) 23,698   4,286 Laredo Petroleum Inc (a) 87,691   1,194
Tribune Media Co 14,278   757 Marathon Petroleum Corp 19,364   2,003
TV Asahi Holdings Corp 39,650   675 Neste Oyj 5,039   128
Twenty-First Century Fox Inc - A Shares 70,075   2,355 Pacific Rubiales Energy Corp 28,752   139
Viacom Inc 37,020   2,476 Patterson-UTI Energy Inc 21,940   443
Wolters Kluwer NV 58,326   1,813 PDC Energy Inc (a) 22,880   1,365
  $   50,528 Pioneer Natural Resources Co (c) 29,762   4,400
        Range Resources Corp 22,490   1,246
Metal Fabrication & Hardware - 0.09%       Repsol SA (b) 41,851   797
Aurubis AG 12,528   779 Rice Energy Inc (a) 22,575   495
Maruichi Steel Tube Ltd 19,400   511 Rosetta Resources Inc (a) 16,383   383
Neturen Co Ltd 12,800   93 Southwestern Energy Co (a) 41,820   1,078
RTI International Metals Inc (a) 9,476   334        
        Suncor Energy Inc 15,657   458
Vallourec SA 41,511   1,026 Tesoro Corp 7,020   621
  $   2,743 Valero Energy Corp 9,210   546
Mining - 0.16%       Western Refining Inc 14,740   648
Alamos Gold Inc 8,255   54 Whiting Petroleum Corp (a) 18,608   614
Alcoa Inc 56,910   711 WPX Energy Inc (a) 50,970   657
Boliden AB 60,537   1,300   $   40,762
Freeport-McMoRan Inc 45,990   904 Oil & Gas Services - 0.58%      
Mitsubishi Materials Corp 206,435   815 Aker Solutions ASA 3,415   20
Norsk Hydro ASA 58,492   273 Baker Hughes Inc (b) 46,507   2,998
OSAKA Titanium Technologies Co Ltd 6,900   180 Cameron International Corp (a) 63,126   3,240
Rio Tinto PLC ADR 16,844   737 Dresser-Rand Group Inc (a),(b) 39,001   3,300
  $   4,974 FMC Technologies Inc (a) 50,810   2,123
Miscellaneous Manufacturing - 0.60%       Halliburton Co 66,885   3,037
3M Co 2,655   422 McDermott International Inc (a) 174,124   951
Aalberts Industries NV 1   — Oceaneering International Inc 19,100   970
Carlisle Cos Inc 18,020   1,787 Oil States International Inc (a) 14,020   573
Eaton Corp PLC (c) 10,175   728 Subsea 7 SA 13,483   141
General Electric Co 131,520   3,587 Superior Energy Services Inc 23,870   551
Glory Ltd 3,500   110 Trican Well Service Ltd 201,585   627
Hexpol AB 8,622   94   $   18,531
Illinois Tool Works Inc 18,550   1,740 Packaging & Containers - 0.35%      
Ingersoll-Rand PLC 26,900   1,850 Ball Corp 63,603   4,515
Largan Precision Co Ltd 5,750   638 Graphic Packaging Holding Co 91,404   1,301
Mitsuboshi Belting Co Ltd 9,310   73 Greif Inc - Class A 13,610   520
Nikon Corp 64,500   799 MeadWestvaco Corp 17,860   903
Pall Corp 17,697   2,202 Packaging Corp of America 22,859   1,581
Polypore International Inc (a),(b) 34,221   2,050        
        Rock-Tenn Co 20,280   1,321
Sulzer AG 1,565   172 Silgan Holdings Inc (c) 19,815   1,077
Sumitomo Riko Co Ltd 42,500   368   $   11,218
Tenma Corp 21,000   355        
Trelleborg AB 5,233   102 Pharmaceuticals - 4.95%      
Trinity Industries Inc 51,250   1,537 Abbott Laboratories 20,548   999
Wartsila OYJ Abp 6,314   282 AbbVie Inc 12,354   823
  $   18,896 Actavis PLC (a) 40,115   12,308
        Agios Pharmaceuticals Inc (a) 2,806   342
        AmerisourceBergen Corp 14,200   1,598

 

See accompanying notes

49

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held    Value (000's) COMMON STOCKS (continued) Shares Held    Value (000's)
 
Pharmaceuticals (continued)       REITS - 0.56%      
Astellas Pharma Inc 33,938 $ 493 American Tower Corp 17,547 $ 1,628
AstraZeneca PLC 27,332   1,841 Associated Estates Realty Corp 41,256   1,180
AstraZeneca PLC ADR 5,899   399 Boston Properties Inc 7,830   1,018
Bristol-Myers Squibb Co (c) 200,234   12,935 Daiwa Office Investment Corp 34   168
Cardinal Health Inc 66,282   5,844 Duke Realty Corp 36,220   708
Catamaran Corp (a) 39,356   2,355 Equity Residential 9,530   708
Chugai Pharmaceutical Co Ltd 10,836   323 Excel Trust Inc 39,430   627
Daiichi Sankyo Co Ltd 34,700   653 Extra Space Storage Inc 13,290   931
Eisai Co Ltd 34,571   2,158 General Growth Properties Inc 30,480   863
Eli Lilly & Co 15,810   1,247 Grivalia Properties REIC AE 62,514   527
Endo International PLC (a) 53,615   4,491 Hibernia REIT PLC 734,149   1,034
Express Scripts Holding Co (a) 46,473   4,050 Host Hotels & Resorts Inc 46,273   922
Furiex Pharmaceuticals Inc - Rights (a),(b),(d),(f) 4,203   41 Intu Properties PLC 265,735   1,359
Herbalife Ltd (a) 1,564   81 Irish Residential Properties REIT PLC 1,316,414   1,606
Hospira Inc (a),(b) 34,974   3,092 Lamar Advertising Co 25,286   1,533
Johnson & Johnson 38,384   3,844 Plum Creek Timber Co Inc 12,439   513
McKesson Corp 4,633   1,099 Regency Centers Corp 12,670   800
Mead Johnson Nutrition Co 154,613   15,044 Weyerhaeuser Co 50,610   1,648
Meda AB 23,828   341   $   17,773
Merck & Co Inc (c) 125,444   7,638        
Merck KGaA 4,501   482 Retail - 2.44%      
Mitsubishi Tanabe Pharma Corp 14,104   223 Adastria Co Ltd 23,210   661
        Advance Auto Parts Inc (c) 52,547   8,051
Mylan NV (a) 176,223   12,799        
        ANN Inc (a) 7,103   332
Nippon Shinyaku Co Ltd 22,061   673 Autogrill SpA (a),(b) 15,723   145
Novartis AG 1,946   200 AutoZone Inc (a) 4,306   2,901
Novo Nordisk A/S 11,228   637 Bed Bath & Beyond Inc (a) 25,160   1,794
Omnicare Inc 63,997   6,098 CarMax Inc (a) 6,018   428
Ono Pharmaceutical Co Ltd 15,378   1,679        
Orion Oyj 9,760   327 Cawachi Ltd 16,800   253
        Chipotle Mexican Grill Inc (a) 2,303   1,418
Perrigo Co PLC 103,919   19,776        
Pfizer Inc 53,760   1,868 CST Brands Inc 10,138   403
PharMerica Corp (a) 16,430   546 CVS Health Corp 45,686   4,678
Portola Pharmaceuticals Inc (a) 44,662   1,868 Dollar General Corp 7,744   562
Receptos Inc (a) 2,423   400 Domino's Pizza Inc 17,584   1,911
Regulus Therapeutics Inc (a) 12,412   175 Doutor Nichires Holdings Co Ltd 11,900   227
Roche Holding AG 5,163   1,574 Dunkin' Brands Group Inc 13,170   703
        Family Dollar Stores Inc (b) 48,707   3,776
Rohto Pharmaceutical Co Ltd 15,300   215        
Santen Pharmaceutical Co Ltd 30,850   427 Fielmann AG 18   1
Shionogi & Co Ltd 20,924   740 Gap Inc/The 23,348   895
Suzuken Co Ltd/Aichi Japan 6,490   211 H2O Retailing Corp 9,800   181
Takeda Pharmaceutical Co Ltd 44,500   2,159 Hennes & Mauritz AB 1,654   65
TESARO Inc (a) 9,477   557 Home Depot Inc/The 38,210   4,258
TherapeuticsMD Inc (a) 519,879   3,681 Honeys Co Ltd 31,480   247
TherapeuticsMD Inc (a),(f) 15,388   109 HSN Inc 10,721   719
Zoetis Inc 307,275   15,293 HUGO BOSS AG 875   100
  $   156,756 Inditex SA 2,220   74
        Isetan Mitsukoshi Holdings Ltd 13,086   219
Pipelines - 0.09%       Jand Inc (a),(f),(i) 1,693   19
Kinder Morgan Inc/DE 56,066   2,326 Kate Spade & Co (a) 33,600   833
ONEOK Inc 14,680   616 K's Holdings Corp 8,200   307
  $   2,942 Kura Corp 5,151   195
        L Brands Inc 13,542   1,172
Publicly Traded Investment Fund - 0.99%       Lowe's Cos Inc (c) 104,489   7,312
iShares Core S&P Mid-Cap ETF 5,923   902 McDonald's Corp 86,318   8,280
iShares MSCI USA Minimum Volatility ETF 725,334   30,058 MSC Industrial Direct Co Inc 26,711   1,853
Nomura TOPIX Exchange Traded Fund 21,030   291 Nishimatsuya Chain Co Ltd 43,800   402
  $   31,251 Office Depot Inc (a) 73,959   686
Real Estate - 0.33%       Pal Co Ltd 20,400   699
CBRE Group Inc (a) 81,090   3,101 Pandora A/S (b) 7,754   777
Deutsche Wohnen AG 35,447   864 Pier 1 Imports Inc 144,443   1,836
Deutsche Wohnen AG - Rights (a) 35,447   1 PVH Corp 18,900   1,978
Jones Lang LaSalle Inc 10,801   1,871 Ryohin Keikaku Co Ltd 1,963   332
Kennedy-Wilson Holdings Inc 39,077   999 Shimamura Co Ltd 6,100   655
LEG Immobilien AG 12,461   914 Signet Jewelers Ltd 4,593   594
Leopalace21 Corp (a) 117,200   675 Target Corp 17,890   1,419
Mitsubishi Estate Co Ltd 28,580   638 Tiffany & Co 7,174   672
NTT Urban Development Corp 29,800   308 TJX Cos Inc/The 54,870   3,533
Relo Holdings Inc 4,262   341 Tsuruha Holdings Inc 11,027   827
Sumitomo Realty & Development Co Ltd 12,860   493 United Arrows Ltd 6,500   211
Takara Leben Co Ltd 30,400   187 Welcia Holdings Co Ltd 7,900   363
WeWork Cos Inc (a),(d),(f),(h) 979   31 Williams-Sonoma Inc 6,550   515
  $   10,423 World Duty Free SpA (a) 25,060   278
        World Fuel Services Corp 24,973   1,249
        Xebio Co Ltd 25,200   496

 

See accompanying notes

50

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held    Value (000's) COMMON STOCKS (continued) Shares Held    Value (000's)
 
Retail (continued)       Telecommunications (continued)      
Yum! Brands Inc 52,446 $ 4,726 CalAmp Corp (a) 34,670 $ 684
Zalando SE (a),(e) 2,273   73 CenturyLink Inc 93,280   3,101
  $   77,294 Cisco Systems Inc 277,770   8,141
        DigitalGlobe Inc (a) 52,350   1,570
Savings & Loans - 0.34%       Freenet AG 20,469   674
B of I Holding Inc (a) 30,920   2,911        
Hudson City Bancorp Inc (b) 378,420   3,601 GN Store Nord A/S 5,338   115
        Gogo Inc (a) 72,368   1,549
New York Community Bancorp Inc 55,010   976 Harris Corp 56,820   4,501
People's United Financial Inc 202,990   3,159 Hellenic Telecommunications Organization 92,094   815
  $   10,647 SA (a)      
Semiconductors - 2.23%       Jazztel PLC (a) 144,877   2,063
Altera Corp 217,558   10,628 Juniper Networks Inc 56,458   1,570
Avago Technologies Ltd 40,804   6,042 KDDI Corp 23,100   520
Broadcom Corp 147,347   8,377 Koninklijke KPN NV 70,148   254
Cypress Semiconductor Corp (a) 92,180   1,266 Loral Space & Communications Inc (a) 5,998   401
Freescale Semiconductor Ltd (a) 70,886   3,198 Motorola Solutions Inc 63,021   3,719
Integrated Device Technology Inc (a) 45,270   1,071 Nippon Telegraph & Telephone Corp 18,099   1,252
Integrated Silicon Solution Inc 13,918   286 ParkerVision Inc (a) 509,099   188
Intel Corp 24,950   860 SoftBank Corp 20,405   1,215
Lam Research Corp 10,700   880 Swisscom AG 7,982   4,627
Mellanox Technologies Ltd (a) 12,400   624 TDC A/S 42,287   316
Micrel Inc 6,534   91 Tele2 AB 9,959   117
Micron Technology Inc (a) 205,372   5,735 Telefonaktiebolaget LM Ericsson 107,556   1,211
Microsemi Corp (a) 9,800   357 Telefonica SA 99,311   1,407
Mimasu Semiconductor Industry Co Ltd 18,100   194 Telenor ASA 4,207   95
Miraial Co Ltd 15,100   176 Verizon Communications Inc 36,242   1,792
MKS Instruments Inc 14,250   537 ViaSat Inc (a) 7,910   498
NXP Semiconductors NV (a) 200,859   22,547   $   44,807
Qorvo Inc (a) 7,800   641        
        Toys, Games & Hobbies - 0.08%      
Rohm Co Ltd 14,393   1,014 Bandai Namco Holdings Inc 16,400   336
Sanken Electric Co Ltd 80,400   579 Hasbro Inc 11,759   848
Shinkawa Ltd (a) 34,800   259        
        Nintendo Co Ltd 8,320   1,404
Shinko Electric Industries Co Ltd 92,600   750   $   2,588
Sumco Corp 174,295   2,621        
SunEdison Semiconductor Ltd (a) 51,097   1,235 Transportation - 0.74%      
Tessera Technologies Inc 5,490   212 Ansaldo STS SpA 12,521   129
Tokyo Electron Ltd 8,869   570 AP Moeller - Maersk A/S - B shares (b) 273   526
  $   70,750 bpost SA 22,267   643
        Canadian National Railway Co 13,990   830
Shipbuilding - 0.03%       Central Japan Railway Co 2,483   430
Huntington Ingalls Industries Inc 7,550   936 CH Robinson Worldwide Inc 2,512   155
        CSX Corp 16,233   553
Software - 1.03%       Deutsche Post AG (b) 33,528   1,013
Adobe Systems Inc (a) 10,553   835 DSV A/S 10,494   364
Advent Software Inc 37,700   1,650 East Japan Railway Co 8,739   796
Akamai Technologies Inc (a) 46,665   3,559 FedEx Corp 24,811   4,298
Alpha Systems Inc 4,500   63 Gategroup Holding AG (a) 30,157   936
Apigee Corp (a) 1,800   25 Genesee & Wyoming Inc (a) 25,050   2,063
CA Inc 51,740   1,576 Groupe Eurotunnel SE 75,342   1,135
CareView Communications Inc (a) 944,108   349 Hitachi Transport System Ltd 5,700   96
Citrix Systems Inc (a) 37,830   2,459 Landstar System Inc 33,620   2,199
Cresco Ltd 16,156   248 Old Dominion Freight Line Inc (a) 10,910   742
Dena Co Ltd 42,700   909 Swift Transportation Co (a) 41,982   977
Fidelity National Information Services Inc 51,119   3,205 TNT Express NV 112,055   944
Fiserv Inc (a) 20,232   1,622 Tsakos Energy Navigation Ltd 132,989   1,271
Informatica Corp (a) 25,489   1,234 United Parcel Service Inc (c) 27,805   2,759
Intuit Inc 29,230   3,044 UTI Worldwide Inc (a) 18,879   182
Microsoft Corp (c) 64,939   3,043 West Japan Railway Co 7,558   448
Mitel Networks Corp (a) 17,361   161   $   23,489
MSCI Inc 10,299   639        
New Relic Inc (a),(d),(j) 1,311   43 Trucking & Leasing - 0.03%      
Nexon Co Ltd 10,500   141 AMERCO 2,754   906
Paychex Inc 60,220   2,976        
Take-Two Interactive Software Inc (a) 33,450   916 Water - 0.04%      
Tangoe Inc (a) 37,182   473 Suez Environnement Co 59,113   1,139
Workday Inc (a) 42,973   3,391        
  $   32,561 TOTAL COMMON STOCKS $   1,463,240
 
Telecommunications - 1.41%       INVESTMENT COMPANIES - 20.12% Shares Held   Value (000's)
Alcatel-Lucent ADR(a) 89,881   355 Publicly Traded Investment Fund - 20.12%      
AT&T Inc 40,588   1,402 BlackRock Liquidity Funds FedFund Portfolio 9,914,172   9,914
BCE Inc 4,176   183        
Belgacom SA 13,585   472        

 

See accompanying notes

51

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
  INVESTMENT COMPANIES (continued)   Shares Held Value (000 's)   PREFERRED STOCKS (continued)   Shares Held                    Value (000's)
 
  Publicly Traded Investment Fund (continued)                 Diversified Financial Services - 0.04%          
  Wells Fargo Advantage Government Money   627,371,200 $ 627,371     Ally Financial Inc (e)     1,081 $ 1,092
  Market Fund                            
 
          $   637,285     Electronics - 0.01%          
  TOTAL INVESTMENT COMPANIES       $   637,285     Veracode Inc (a),(d),(f),(p)     6,031   174
  CONVERTIBLE PREFERRED STOCKS -                            
  0.89 % Shares Held Value (000 's)              
                    Internet - 0.06%          
  Automobile Manufacturers - 0.04%                 Lithium Technologies Inc (a),(d),(f),(q)     59,552   339
  Fiat Chrysler Automobiles NV (a)   9,175       1,262     Pinterest Inc (a),(f),(r)     17,485   628
                    Uber Technologies Inc (a),(d),(f),(s)     15,196   602
  Electric - 0.09%                 Zuora Inc (a),(d),(f),(t)     40,988   156
  Dominion Resources Inc/VA 6.00%; Series B   23,343       1,325           $   1,725
  Dominion Resources Inc/VA 6.13%; Series A   16,939       956     Pharmaceuticals - 0.26%          
  Dominion Resources Inc/VA 6.38%   11,525       581     Actavis PLC     7,874   8,346
  NextEra Energy Inc 5.89%   1,350       87                
          $   2,949                
                    Private Equity - 0.01%          
Food - 0.20 %               Forward Venture Services LLC (a),(d),(f),(u)     5,465   243
  Post Holdings Inc (e)   725       63                
  Tyson Foods Inc   122,622       6,373                
          $   6,436     Real Estate - 0.01%          
                    Redfin Corp (a),(d),(f),(v)     29,409   97
  Healthcare - Services - 0.04%                 WeWork Cos Inc Series D-1 (a),(d),(f),(w)     4,867   152
  Anthem Inc   24,025       1,308     WeWork Cos Inc Series D-2 (a),(d),(f),(x)     3,824   120
                          $   369
 
  Internet - 0.01%                 Retail - 0.03%          
  DraftKings Inc (a),(d),(f),(k)   29,108       126                
  Dropbox Inc (a),(d),(f),(l)   2,671       51     Hornbach Holding AG     12,401   1,084
          $   177                
                    Software - 0.01%          
  Iron & Steel - 0.01%                 Birst Inc (a),(d),(f),(y)     21,065   123
  ArcelorMittal   18,050       313     Marklogic Corp (a),(d),(f),(z)     14,832   172
                    Nutanix Inc (a),(d),(f),(aa)     3,575   64
  Mining - 0.11%                       $   359
  Alcoa Inc   75,682       3,318     TOTAL PREFERRED STOCKS     $   15,541
                        Principal    
                  BONDS- 22.05 % Amount (000's) Value (000's)
  Oil & Gas - 0.10%                            
  Chesapeake Energy Corp (e)   300       245     Aerospace & Defense - 0.05%          
  Southwestern Energy Co   50,200       2,774     KLX Inc          
          $   3,019     5.88%, 12/01/2022(e)   $ 530 $ 537
                    Meccanica Holdings USA Inc          
  Pharmaceuticals - 0.00%                 6.25%, 01/15/2040(e)     1,050   1,034
  Omnicare Capital Trust II   650       76     Rockwell Collins Inc          
                    0.62%, 12/15/2016(bb)     115   115
REITS - 0.21 %                     $   1,686
  American Tower Corp 5.25%   3,450       355     Airlines - 0.68%          
  Crown Castle International Corp   14,984       1,541              
  Health Care REIT Inc (b)   45,600       2,878      Latam Airlines 2015-1 Pass Through Trust A          
                    4.20%, 11/15/2027(e)     8,900   8,844
  iStar Financial Inc   2,365       142     Latam Airlines 2015-1 Pass Through Trust B          
  Weyerhaeuser Co   33,079       1,794     4.50%, 11/15/2023(e)     12,935   12,822
          $   6,710           $   21,666
 
  Retail - 0.00%                 Automobile Asset Backed Securities - 0.50%      
  Jand Inc (a),(f),(m)   3,781       43                
                             
                     AmeriCredit Automobile Receivables Trust 2013-4          
  Software - 0.01%                 3.31%, 10/08/2019(bb)     294   302
  Cloudera Inc (a),(d),(f),(n)   3,756       124     BMW Vehicle Owner Trust 2013-A          
                    0.67%, 11/27/2017     624   625
                    BMW Vehicle Owner Trust 2014-A          
  Telecommunications - 0.07%                 0.97%, 11/26/2018     970   972
  T-Mobile US Inc   33,825       2,326     Ford Credit Auto Owner Trust 2014-C          
                    1.06%, 05/15/2019     515   516
  TOTAL CONVERTIBLE PREFERRED STOCKS   $   28,061     Ford Credit Auto Owner Trust 2014-REV2          
  PREFERRED STOCKS - 0.49%   Shares Held Value (000 's)   2.31%, 04/15/2026(e),(bb)     445   452
  Automobile Manufacturers - 0.06%                 Ford Credit Auto Owner Trust 2015-A          
  Porsche Automobil Holding SE (b)   6,760       598     1.28%, 09/15/2019(bb)     840   843
  Volkswagen AG   5,813       1,412     Ford Credit Auto Owner Trust 2015-B          
                    1.16%, 11/15/2019(bb)     1,775   1,776
          $   2,010                
                             
  Computers - 0.00%                 Honda Auto Receivables 2013-4 Owner Trust          
  Pure Storage Inc (a),(d),(f),(o)   8,348       139     0.69%, 09/18/2017(bb)     740   740

 

See accompanying notes

52

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
                     
  BONDS (continued)   Principal Amount (000's)             Value (000's)   BONDS (continued)   Principal Amount (000's)       Value (000's)
 
  Automobile Asset Backed Securities (continued)         Banks (continued)          
  Honda Auto Receivables 2014-4 Owner             Bank of America Corp (continued)          
  Trust             6.00%, 09/01/2017   $ 1,100 $ 1,202
  0.99%, 09/17/2018   $ 560 $ 561   BBVA Bancomer SA/Texas          
  Honda Auto Receivables 2015-1 Owner             6.50%, 03/10/2021     10,975   12,155
  Trust             Burgan Tier 1 Financing Ltd          
  1.05%, 10/15/2018(bb)     570   571   7.25%, 09/30/2049(bb)     10,000   10,050
  Honda Auto Receivables 2015-2 Owner             Caixa Economica Federal          
  Trust             2.38%, 11/06/2017     6,250   6,047
  1.04%, 02/21/2019(bb)     1,670   1,670   Finansbank AS/Turkey          
              5.15%, 11/01/2017     5,000   5,076
  Honda Auto Receivables Owner Trust 2014-3             Intesa Sanpaolo SpA          
  0.88%, 06/15/2018(bb)     400   400   5.02%, 06/26/2024(e)     4,210   4,224
  1.31%, 10/15/2020(bb)     260   261   JP Morgan Chase & Co          
  Hyundai Auto Receivables Trust 2014-A             4.25%, 11/02/2018   NZD 1,365   974
  1.07%, 07/16/2018     130   130   Krung Thai Bank PCL/Cayman Islands          
  Hyundai Auto Receivables Trust 2015-A             5.20%, 12/26/2024(bb)   $ 4,000   4,148
  1.05%, 04/15/2019     515   515   Morgan Stanley          
  Nissan Auto Lease Trust 2014-B             4.35%, 09/08/2026     1,345   1,368
  1.12%, 09/15/2017     400   400   Novo Banco SA          
              2.63%, 05/08/2017   EUR 5,400   5,836
  Nissan Auto Receivables 2013-C OwnerTrust             4.00%, 01/21/2019     10,000   11,051
  0.67%, 08/15/2018(bb)     645   645   4.75%, 01/15/2018     3,300   3,701
  Nissan Auto Receivables 2014-B Owner             Royal Bank of Scotland Group PLC          
  Trust             6.13%, 12/15/2022   $ 3,440   3,793
  1.11%, 05/15/2019     330   331   Societe Generale SA          
  Nissan Auto Receivables 2015-A Owner             7.88%, 12/29/2049(e),(bb)     2,200   2,261
  Trust             7.88%, 12/29/2049(bb)     2,080   2,137
  1.05%, 10/15/2019(bb)     1,420   1,419   Turkiye Vakiflar Bankasi TAO          
  Toyota Auto Receivables 2014-C Owner             6.87%, 02/03/2025(e),(bb)     4,000   3,979
  Trust                   $   84,693
  0.93%, 07/16/2018     360   361              
  USAA Auto Owner Trust             Beverages - 0.18%          
  0.57%, 08/15/2017(bb)     214   214   CEDC Finance Corp International Inc          
                10.00%, 04/30/2018(bb)     5,140   4,780
  World Omni Auto Receivables Trust 2015-A                        
  1.34%, 05/15/2020(bb)     2,180   2,186   Coca-Cola Co/The          
                0.38%, 11/01/2016(bb)     985   986
        $   15,890              
                      $   5,766
  Automobile Floor Plan Asset Backed Securities - 0.07%                  
  Ally Master Owner Trust             Building Materials - 0.11%          
  0.56%, 01/16/2018(bb)     1,230   1,230   Atrium Windows & Doors Inc          
                7.75%, 05/01/2019(e)     950   784
  0.66%, 01/15/2019(bb)     900   901              
        $   2,131   Cemex SAB de CV          
                6.13%, 05/05/2025(e)     1,855   1,872
  Automobile Manufacturers - 0.37%             Masco Corp          
  Daimler Finance North America LLC             4.45%, 04/01/2025     280   287
  0.96%, 08/01/2016(e),(bb)     855   860   NCI Building Systems Inc          
  Ford Motor Credit Co LLC             8.25%, 01/15/2023(e)     220   235
  1.05%, 01/17/2017(bb)     625   626   Owens Corning          
  General Motors Co             4.20%, 12/01/2024     405   411
  5.20%, 04/01/2045     1,765   1,801         $   3,589
  General Motors Financial Co Inc                        
  3.45%, 04/10/2022     5,370   5,288   Chemicals - 0.39%          
  Hyundai Capital Services Inc             Albemarle Corp          
  1.07%, 03/18/2017(e),(bb)     950   953   4.15%, 12/01/2024     825   844
  Nissan Motor Acceptance Corp             Hercules Inc          
  0.81%, 03/03/2017(e),(bb)     925   929   6.50%, 06/30/2029     330   300
  0.97%, 09/26/2016(e),(bb)     875   880   OCP SA          
  Volkswagen International Finance NV             5.63%, 04/25/2024     10,500   11,196
  0.72%, 11/18/2016(e),(bb)     450   451         $   12,340
        $   11,788 Coal - 0.15 %        
  Automobile Parts & Equipment - 0.05%             Berau Capital Resources Pte Ltd          
  ZF North America Capital Inc             12.50%, 07/08/2015     2,800   1,708
  4.50%, 04/29/2022(e)     1,130   1,150   Berau Coal Energy Tbk PT          
                7.25%, 03/13/2017(d)     4,975   2,935
  4.75%, 04/29/2025(e)     545   545              
        $   1,695         $   4,643
 
Banks- 2.67 %           Commercial Services - 0.13%          
  Banco do Brasil SA/Cayman             ServiceMaster Co LLC/The          
  9.00%, 06/29/2049(e)     4,000   3,675   7.00%, 08/15/2020     1,945   2,062
  Bank of America Corp             Verisk Analytics Inc          
  1.32%, 01/15/2019(bb)     435   440   5.50%, 06/15/2045     1,990   2,044
  3.95%, 04/21/2025     1,175   1,164         $   4,106
  4.20%, 08/26/2024     1,390   1,412              

 

See accompanying notes

53

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
                 
BONDS (continued)   Principal Amount (000's)          Value (000's)   BONDS (continued)   Principal Amount (000's)       Value (000's)
 
Computers - 0.09%           Diversified Financial Services (continued)          
Apple Inc           Ally Financial Inc (continued)          
0.33%, 05/12/2017(bb) $ 2,300 $ 2,301   4.13%, 03/30/2020   $ 2,780 $ 2,780
IHS Inc           4.63%, 06/26/2015     400   400
5.00%, 11/01/2022(e)   415   418   4.75%, 09/10/2018     1,300   1,346
    $   2,719   5.50%, 02/15/2017     1,100   1,149
            8.00%, 03/15/2020     540   639
Cosmetics & Personal Care - 0.01%           China Cinda Finance 2014 Ltd          
Procter & Gamble Co/The           4.00%, 05/14/2019     5,000   5,159
0.36%, 11/04/2016(bb)   445   445              
            Corp Financiera de Desarrollo SA          
            3.25%, 07/15/2019(e)     200   203
Credit Card Asset Backed Securities - 0.90%       5.25%, 07/15/2029(e),(bb)     265   275
American Express Credit Account Master           Dragon Aviation Finance Luxembourg SA          
Trust           4.00%, 11/28/2022(f)     5,344   5,301
0.46%, 01/15/2020(bb)   1,065   1,066   Financiera de Desarrollo Territorial SA          
0.48%, 05/15/2020(bb)   520   520   Findeter          
0.98%, 05/15/2019(bb)   265   266   7.88%, 08/12/2024(e)   COP 3,380,000   1,332
1.26%, 01/15/2020(bb)   815   819   General Electric Capital Corp          
1.43%, 06/15/2020   610   613   0.51%, 01/14/2016(bb)   $ 460   461
1.49%, 04/15/2020(bb)   210   212   7.13%, 12/29/2049(bb)     2,800   3,269
American Express Credit Account Master           Ladder Capital Finance Holdings LLLP /          
Trust 2013-1           Ladder Capital Finance Corp          
0.61%, 02/16/2021(bb)   410   412   5.88%, 08/01/2021(e)     2,075   2,002
American Express Credit Account Secured           Quicken Loans Inc          
Note Trust 2012-4           5.75%, 05/01/2025(e)     1,430   1,432
0.43%, 05/15/2020(bb)   520   520         $   30,019
BA Credit Card Trust                      
0.52%, 06/15/2020(bb)   1,785   1,786   Electric - 0.85%          
0.57%, 06/15/2021(bb)   315   315   AES Andres Dominicana Ltd / Itabo          
Barclays Dryrock Issuance Trust           Dominicana Ltd          
2.41%, 07/15/2022(bb)   455   464   9.50%, 11/12/2020     1,500   1,575
            Cia de Eletricidade do Estado da Bahia          
Capital One Multi-Asset Execution Trust           11.75%, 04/27/2016(e)   BRL 350   105
0.24%, 11/15/2019(bb)   1,195   1,191              
0.96%, 09/16/2019(bb)   425   426   Duke Energy Progress Inc          
            0.46%, 03/06/2017(bb)   $ 220   220
1.39%, 01/15/2021(bb)   1,100   1,100              
            EDP Finance BV          
1.48%, 07/15/2020   555   559   4.13%, 01/15/2020(e)     1,200   1,236
2.08%, 03/15/2023(bb)   2,535   2,548              
            Enel SpA          
Chase Issuance Trust           8.75%, 09/24/2073(e),(bb)     3,390   4,034
0.24%, 04/15/2019(bb)   755   753              
0.44%, 11/15/2018(bb)   865   865   Lamar Funding Ltd          
            3.96%, 05/07/2025(e)     4,025   4,035
0.51%, 02/18/2020(bb)   1,270   1,270              
1.01%, 10/15/2018(bb)   900   903   PPL Energy Supply LLC          
            6.50%, 06/01/2025(e)     415   424
1.26%, 07/15/2019(bb)   600   601              
            Saudi Electricity Global Sukuk Co 3          
1.38%, 11/15/2019   890   893   5.50%, 04/08/2044(e),(cc)     14,000   15,141
1.59%, 02/18/2020(bb)   1,285   1,295              
Citibank Credit Card Issuance Trust                 $   26,770
0.32%, 12/17/2018(bb)   470   469   Electronics - 0.20%          
0.38%, 05/09/2018(bb)   1,490   1,490   Corning Inc          
0.38%, 08/24/2018(bb)   595   595   1.50%, 05/08/2018     2,325   2,329
0.61%, 09/10/2020(bb)   915   919   Jabil Circuit Inc          
0.73%, 02/07/2018(bb)   900   901   4.70%, 09/15/2022     680   704
1.02%, 02/22/2019(bb)   565   566   Keysight Technologies Inc          
1.32%, 09/07/2018(bb)   440   443   4.55%, 10/30/2024(e)     3,385   3,354
1.73%, 04/09/2020(bb)   600   606         $   6,387
Discover Card Execution Note Trust                      
0.54%, 08/17/2020(bb)   2,115   2,120   Energy - Alternate Sources - 0.02%          
1.39%, 04/15/2020   615   618   TerraForm Power Operating LLC          
            5.88%, 02/01/2023(e)     560   578
World Financial Network Credit Card Master                      
Trust                      
0.57%, 12/15/2019(bb)   305   305   Engineering & Construction - 0.10%          
0.70%, 02/15/2022(bb)   165   165   Delhi International Airport Pvt Ltd          
    $   28,594   6.13%, 02/03/2022     3,000   3,032
Diversified Financial Services - 0.95%           Odebrecht Finance Ltd          
            8.25%, 04/25/2018(e)   BRL 300   75
Air Lease Corp                      
3.75%, 02/01/2022   1,685   1,700         $   3,107
4.25%, 09/15/2024   1,570   1,590 Food - 0.24 %        
Aircastle Ltd           BRF SA          
5.50%, 02/15/2022   120   127   7.75%, 05/22/2018(e)     1,500   394
Ally Financial Inc           Cencosud SA          
2.75%, 01/30/2017   100   100   6.63%, 02/12/2045(e)   $ 6,300   6,115
3.13%, 01/15/2016   100   100   6.63%, 02/12/2045     1,000   971
3.25%, 09/29/2017   550   552              
3.50%, 07/18/2016   100   102              

 

See accompanying notes

54

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
                   
  BONDS (continued)   Principal Amount (000's)                   Value (000's)   BONDS (continued)   Principal Amount (000's)                  Value (000's)
 
  Food (continued)           Media - 0.22 %        
  Cosan Luxembourg SA             CCO Holdings LLC / CCO Holdings Capital          
  9.50%, 03/14/2018(e)   BRL 350 $ 93   Corp          
        $   7,573   5.13%, 05/01/2023(e)   $ 1,930 $ 1,940
                DISH DBS Corp          
Gas - 0.50 %           5.88%, 07/15/2022     855   872
  Fermaca Enterprises S de RL de CV             5.88%, 11/15/2024     1,925   1,930
  6.38%, 03/30/2038   $ 11,516   12,138   Grupo Televisa SAB          
  Intergas Finance BV             7.25%, 05/14/2043   MXN 4,370   245
  6.38%, 05/14/2017     3,500   3,596   NBCUniversal Enterprise Inc          
        $   15,734   5.25%, 12/19/2049(e)   $ 1,205   1,271
  Healthcare - Products - 0.05%             Time Warner Cable Inc          
  Becton Dickinson and Co             4.50%, 09/15/2042     645   559
  0.72%, 06/15/2016(bb)     1,515   1,518         $   6,817
                Mining - 0.19%          
  Healthcare - Services - 0.02%             Gold Fields Orogen Holdings BVI Ltd          
  Universal Health Services Inc             4.88%, 10/07/2020     6,500   5,858
  3.75%, 08/01/2019(e)     725   739              
                Miscellaneous Manufacturing - 0.02%          
  Holding Companies - Diversified - 0.49%             Textron Financial Corp          
  Alfa SAB de CV             6.00%, 02/15/2067(e),(bb)     700   619
  6.88%, 03/25/2044(e)     400   428              
  Brixmor Operating Partnership LP             Mortgage Backed Securities - 1.45%          
  3.85%, 02/01/2025     1,000   993   Adjustable Rate Mortgage Trust 2004-4          
  Dubai Holding Commercial Operations MTN             2.68%, 03/25/2035(bb)     137   134
  Ltd             Adjustable Rate Mortgage Trust 2004-5          
  6.00%, 02/01/2017   GBP 9,000   14,156   2.54%, 04/25/2035(bb)     286   283
        $   15,577   2.58%, 04/25/2035(bb)     166   162
  Insurance - 0.22%             Alternative Loan Trust 2003-20CB          
  Assicurazioni Generali SpA             5.75%, 10/25/2033     144   152
  7.75%, 12/12/2042   EUR 2,600   3,603   Alternative Loan Trust 2003-4CB          
  CNO Financial Group Inc             5.75%, 04/25/2033(bb)     206   209
  5.25%, 05/30/2025   $ 1,615   1,676   Alternative Loan Trust 2003-9T1          
  Old Republic International Corp             5.50%, 07/25/2033(bb)     116   117
  4.88%, 10/01/2024     1,630   1,714   Alternative Loan Trust 2004-14T2          
        $   6,993   5.50%, 08/25/2034     134   142
                Alternative Loan Trust 2004-27CB          
  Internet - 0.36%             6.00%, 12/25/2034(bb)     1,035   1,058
  Alibaba Group Holding Ltd             Alternative Loan Trust 2004-28CB          
  4.50%, 11/28/2034(e)     5,000   4,961   5.75%, 01/25/2035     103   105
  Tencent Holdings Ltd             Alternative Loan Trust 2004-J3          
  3.80%, 02/11/2025     6,500   6,530   5.50%, 04/25/2034     134   138
        $   11,491   Alternative Loan Trust 2005-14          
                0.39%, 05/25/2035(bb)     659   543
  Investment Companies - 0.35%                        
  ICD Sukuk Co Ltd             Alternative Loan Trust 2005-J1          
  3.51%, 05/21/2020     11,165   11,165   5.50%, 02/25/2025     280   287
                Alternative Loan Trust 2006-4CB          
                5.50%, 04/25/2036     475   461
  Iron & Steel - 0.37%             Alternative Loan Trust 2006-J4          
  ArcelorMittal             6.25%, 07/25/2036(bb)     155   105
  7.75%, 10/15/2039(bb)     470   483   Alternative Loan Trust 2007-4CB          
  JSW Steel Ltd             5.75%, 04/25/2037     158   143
  4.75%, 11/12/2019     6,250   6,031   Banc of America Alternative Loan Trust 2003-          
  Vale Overseas Ltd             10          
  4.63%, 09/15/2020     5,000   5,187   5.50%, 12/25/2033     174   179
        $   11,701   5.50%, 12/25/2033(bb)     263   269
                Banc of America Alternative Loan Trust 2003-          
  Lodging - 0.42%             8          
  Interval Acquisition Corp             5.50%, 10/25/2033     178   188
  5.63%, 04/15/2023(e)     1,085   1,107              
                Banc of America Alternative Loan Trust 2005-          
  MCE Finance Ltd             6          
  5.00%, 02/15/2021     4,000   3,855   5.25%, 07/25/2035(bb)     267   240
  MGM Resorts International             Banc of America Funding 2004-B Trust          
  6.00%, 03/15/2023     3,175   3,290   2.48%, 11/20/2034(bb)     277   267
  Studio City Finance Ltd             Banc of America Funding 2005-5 Trust          
  8.50%, 12/01/2020     5,000   5,050   5.50%, 09/25/2035     105   109
        $   13,302   Banc of America Funding 2005-7 Trust          
  Machinery - Construction & Mining - 0.02%         5.75%, 11/25/2035(bb)     191   195
  Caterpillar Financial Services Corp             Banc of America Funding 2007-4 Trust          
  0.49%, 03/03/2017(bb)     530   531   5.50%, 11/25/2034     305   298
                Banc of America Funding Corp          
                0.62%, 07/25/2037(e),(bb)     152   106

 

See accompanying notes

55

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
                Principal    
BONDS (continued)     Principal Amount (000's)  Value (000's) BONDS (continued)     Amount (000's)     Value (000's)
 
Mortgage Backed Securities (continued)           Mortgage Backed Securities (continued)          
Banc of America Mortgage 2005-A Trust           Deutsche Alt-A Securities Inc Mortgage Loan          
2.67%, 02/25/2035(bb)   $ 85 $ 83 Trust Series 2005-5          
Bear Stearns ARM Trust 2004-10           5.50%, 11/25/2035   $ 148 $ 140
2.62%, 01/25/2035(bb)     7   6 Deutsche Alt-A Securities Inc Mortgage Loan          
Bear Stearns ARM Trust 2004-6           Trust Series 2005-6          
2.74%, 09/25/2034(bb)     1,025   983 5.50%, 12/25/2035(bb)     156   132
Bear Stearns ARM Trust 2005-12           Extended Stay America Trust 2013-ESH          
2.55%, 02/25/2036(bb)     442   346 4.04%, 12/05/2031(e),(bb)     857   883
Bear Stearns Commercial Mortgage Securities           FDIC 2013-N1 Trust          
Trust 2004-PWR2           4.50%, 10/25/2018(e)     109   109
6.88%, 05/11/2039(e),(bb)     99   102 Freddie Mac Structured Agency Credit Risk          
BLCP Hotel Trust           Debt Notes          
2.69%, 08/15/2029(e),(bb)     300   300 1.83%, 04/25/2024(bb)     500   498
3.86%, 08/15/2029(e),(bb)     300   300 2.38%, 02/25/2024(bb)     500   506
CAM Mortgage Trust 2014-2           Ginnie Mae          
4.45%, 05/15/2048(e),(bb)     730   732 0.89%, 01/16/2053(bb)     8,721   571
Chase Mortgage Finance Trust Series 2007-           GMACM Mortgage Loan Trust 2003-J7          
A1           5.00%, 11/25/2033     28   28
2.48%, 03/25/2037(bb)     1,129   1,047 GMACM Mortgage Loan Trust 2005-AR4          
CHL Mortgage Pass-Through Trust 2004-12           2.98%, 07/19/2035(bb)     171   162
2.66%, 08/25/2034(bb)     204   191 GP Portfolio Trust 2014-GGP          
CHL Mortgage Pass-Through Trust 2004-           1.14%, 02/15/2027(e),(bb)     447   446
HYB4           GS Mortgage Securities Trust 2007-GG10          
2.45%, 09/20/2034(bb)     104   99 5.79%, 08/10/2045(bb)     1,275   1,303
CHL Mortgage Pass-Through Trust 2004-           GSR Mortgage Loan Trust 2004-14          
HYB8           2.74%, 12/25/2034(bb)     208   207
3.26%, 01/20/2035(bb)     128   125 GSR Mortgage Loan Trust 2005-4F          
CHL Mortgage Pass-Through Trust 2005-11           6.50%, 02/25/2035     244   246
0.45%, 04/25/2035(bb)     162   140 GSR Mortgage Loan Trust 2005-AR6          
CHL Mortgage Pass-Through Trust 2005-21           2.69%, 09/25/2035(bb)     499   503
5.50%, 10/25/2035(bb)     227   212 GSR Mortgage Loan Trust 2006-8F          
Citicorp Mortgage Securities Trust Series           6.00%, 09/25/2036     298   250
2006-4           Hilton USA Trust 2013-HLT          
6.00%, 08/25/2036(bb)     96   98 3.71%, 11/05/2030(e),(bb)     275   279
Citigroup Mortgage Loan Trust 2005-11           4.41%, 11/05/2030(e),(bb)     190   193
2.51%, 10/25/2035(bb)     310   307 5.22%, 11/05/2030(e),(bb)     215   219
Citigroup Mortgage Loan Trust 2014-11           IndyMac INDX Mortgage Loan Trust 2005-          
0.32%, 08/25/2036(e),(bb)     1,121   1,038 AR11          
Citigroup Mortgage Loan Trust 2015-2           4.50%, 08/25/2035(bb)     1,161   985
0.38%, 06/25/2047(e),(bb)     977   899 IndyMac INDX Mortgage Loan Trust 2005-          
Citigroup Mortgage Loan Trust Inc           AR16 IP        
2.59%, 05/25/2035(bb)     149   145 0.82%, 07/25/2045(bb)     333   289
CitiMortgage Alternative Loan Trust Series           JP Morgan Alternative Loan Trust          
2006 -A3         2.51%, 03/25/2036(bb)     927   802
6.00%, 07/25/2036     62   54 4.59%, 03/25/2036(bb)     30   24
CitiMortgage Alternative Loan Trust Series           JP Morgan Chase Commercial Mortgage          
2006 -A4         Securities Trust 2007-LDP10          
6.00%, 09/25/2036     349   314 5.46%, 01/15/2049     250   260
CitiMortgage Alternative Loan Trust Series           JP Morgan Mortgage Trust 2003-A2          
2007 -A6         1.99%, 11/25/2033(bb)     203   200
6.00%, 06/25/2037(bb)     265   234 JP Morgan Mortgage Trust 2005-A1          
COMM 2014-SAVA Mortgage Trust           2.54%, 02/25/2035(bb)     392   391
1.30%, 06/15/2034(e)     145   145 JP Morgan Mortgage Trust 2005-A2          
1.94%, 06/15/2034(e),(bb)     145   145 2.40%, 04/25/2035(bb)     296   286
2.59%, 06/15/2034(e),(bb)     290   290 JP Morgan Mortgage Trust 2005-A3          
Credit Suisse First Boston Mortgage Securities           2.66%, 06/25/2035(bb)     171   173
Corp           JP Morgan Mortgage Trust 2005-S3          
2.52%, 11/25/2033(bb)     119   114 6.00%, 01/25/2036(bb)     344   308
2.60%, 12/25/2033(bb)     76   75 JP Morgan Mortgage Trust 2006-A1          
2.63%, 05/25/2034(bb)     320   318 2.40%, 02/25/2036(bb)     259   229
5.25%, 11/25/2020     834   841 JP Morgan Mortgage Trust 2006-A7          
5.25%, 05/25/2028     30   30 2.55%, 01/25/2037(bb)     423   388
5.50%, 11/25/2035     220   203 JP Morgan Mortgage Trust 2007-S1          
Credit Suisse Mortgage Capital Certificates           5.75%, 03/25/2037     342   285
1.43%, 03/15/2017(e),(bb)     1,100   1,100 Lehman Mortgage Trust 2006-1          
CSMC Mortgage-Backed Trust 2006-8           5.50%, 02/25/2036     46   45
6.50%, 10/25/2021(bb)     120   103 Lehman XS Trust Series 2006-4N          
Del Coronado Trust 2013-DEL MZ           0.40%, 04/25/2046(bb)     1,095   799
5.19%, 03/15/2018(e),(f),(bb)     200   200 MASTR Adjustable Rate Mortgages Trust          
Deutsche Alt-A Securities Inc Mortgage Loan           2004-7          
Trust Series 2005-3           2.50%, 07/25/2034(bb)     398   397
5.25%, 06/25/2035     118   119            

 

See accompanying notes

56

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
                 
  BONDS (continued)     Principal Amount (000's)    Value (000's) BONDS (continued) Principal Amount (000's)     Value (000's)
 
  Mortgage Backed Securities (continued)           Mortgage Backed Securities (continued)        
  MASTR Adjustable Rate Mortgages Trust           WaMu Mortgage Pass-Through Certificates        
  2006-2           Series 2006-AR19 Trust        
  2.58%, 04/25/2036(bb)   $ 240 $ 231 1.95%, 01/25/2047(bb) $ 670 $ 603
  MASTR Alternative Loan Trust 2003-9           Washington Mutual Mortgage Pass-Through        
  5.25%, 11/25/2033     111   115 Certificates WMALT Series 2006-2 Trust        
  MASTR Alternative Loan Trust 2004-12           6.00%, 03/25/2036(bb)   171   159
  5.25%, 12/25/2034     37   37 Wells Fargo Mortgage Backed Securities        
  MASTR Alternative Loan Trust 2004-5           2003-J Trust        
  5.50%, 06/25/2034     115   120 2.62%, 10/25/2033(bb)   58   59
  6.00%, 06/25/2034     140   145 Wells Fargo Mortgage Backed Securities        
  MASTR Alternative Loan Trust 2004-8           2003-M Trust        
  6.00%, 09/25/2034     300   307 2.61%, 12/25/2033(bb)   386   386
  Merrill Lynch Alternative Note Asset Trust           Wells Fargo Mortgage Backed Securities        
  Series 2007-F1           2004-A Trust        
  6.00%, 03/25/2037     312   246 2.64%, 02/25/2034(bb)   165   165
  6.00%, 03/25/2037     170   134 Wells Fargo Mortgage Backed Securities        
  Merrill Lynch Mortgage Investors Trust Series           2005-11 Trust        
  MLCC 2006-1           5.50%, 11/25/2035   60   62
  2.48%, 02/25/2036(bb)     1,324   1,287 Wells Fargo Mortgage Backed Securities        
  Merrill Lynch Mortgage Investors Trust Series           2005-12 Trust        
  MLCC 2006-2           5.50%, 11/25/2035   108   110
  2.13%, 05/25/2036(bb)     76   75 Wells Fargo Mortgage Backed Securities        
  Merrill Lynch Mortgage Investors Trust Series           2005-16 Trust        
  MLCC 2007-1           6.00%, 01/25/2036(bb)   271   268
  2.50%, 01/25/2037(bb)     150   145 Wells Fargo Mortgage Backed Securities        
  Morgan Stanley Capital I Trust 2007-HQ12           2005-17 Trust        
  5.86%, 04/12/2049(bb)     279   296 5.50%, 01/25/2036(bb)   130   133
  Morgan Stanley Capital I Trust 2011-C2           Wells Fargo Mortgage Backed Securities        
  5.30%, 06/15/2044(e),(bb)     475   517 2005-AR10 Trust        
            2.64%, 06/25/2035(bb)   661   672
  Morgan Stanley Mortgage Loan Trust 2006-11           2.64%, 06/25/2035(bb)   127   128
  6.00%, 08/25/2036(bb)     223   206 Wells Fargo Mortgage Backed Securities        
  Motel 6 Trust 2015-M6MZ           Trust        
  8.23%, 02/05/2020(d),(e),(f),(bb)     2,825   2,818 2.62%, 08/25/2034(bb)   193   192
  National City Mortgage Capital Trust               $   46,079
  6.00%, 03/25/2038(bb)     966   1,011          
            Oil & Gas - 2.92%        
  Provident Funding Mortgage Loan Trust 2005-2           Antero Resources Corp        
  2.46%, 10/25/2035(bb)     137   136 5.13%, 12/01/2022   145   145
            Baytex Energy Corp        
   RALI Series 2004-QS2 Trust           5.13%, 06/01/2021(e)   35   34
  5.50%, 02/25/2034     166   169 5.63%, 06/01/2024(e)   40   39
                     
  Residential Asset Securitization Trust 2005-A8 CB         Bonanza Creek Energy Inc        
  5.38%, 07/25/2035     467   408 5.75%, 02/01/2023   210   194
            6.75%, 04/15/2021   55   53
  Residential Asset Securitization Trust 2007-A6           BP Capital Markets PLC        
              0.70%, 11/07/2016(bb)   385   385
  6.00%, 06/25/2037(bb)     219   198          
  RFMSI Series 2006-S1 Trust           California Resources Corp        
  5.75%, 01/25/2036     178   183 5.50%, 09/15/2021   10   9
  SCG Trust 2013-SRP1           6.00%, 11/15/2024   890   819
  2.69%, 11/15/2026(e),(bb)     365   365 Chesapeake Energy Corp        
              3.53%, 04/15/2019(bb)   1,000   970
  3.44%, 11/15/2026(e),(bb)     400   401          
  3.53%, 11/15/2026(e),(bb)     200   200 4.88%, 04/15/2022   625   595
            6.63%, 08/15/2020   25   26
  Structured Adjustable Rate Mortgage Loan Trust           Chevron Corp        
              0.44%, 11/15/2017(bb)   1,480   1,481
  0.49%, 07/25/2035(bb)     123   90          
  2.35%, 06/25/2034(bb)     310   305 Concho Resources Inc        
  2.45%, 11/25/2034(bb)     428   433 5.50%, 10/01/2022   165   167
  2.61%, 09/25/2034(bb)     549   548 5.50%, 04/01/2023   185   188
            ConocoPhillips Co        
   Structured Asset Securities Corp Mortgage           0.61%, 05/15/2018(bb)   2,350   2,349
Pass-Through Certificates Series 2004-20                    
  5.75%, 11/25/2034     176   184 Continental Resources Inc/OK        
            3.80%, 06/01/2024   65   61
  Structured Asset Securities Corp Trust 2005-1           4.50%, 04/15/2023   50   49
  5.50%, 02/25/2035     239   244 5.00%, 09/15/2022   115   115
            Delek & Avner Tamar Bond Ltd        
   WaMu Mortgage Pass-Through Certificates           4.44%, 12/30/2020(e)   5,350   5,444
  Series 2004-CB2 Trust           5.08%, 12/30/2023(e)   8,000   8,180
  5.50%, 07/25/2034     85   89 5.41%, 12/30/2025(e)   5,000   5,125
  WaMu Mortgage Pass-Through Certificates                    
  Series 2005-AR7 Trust           Gazprom OAO Via Gaz Capital SA        
  2.37%, 08/25/2035(bb)     1,640   1,635 3.76%, 03/15/2017 EUR 4,000   4,377
              4.30%, 11/12/2015(e) $ 5,600   5,621
              6.00%, 01/23/2021   6,000   6,000

 

See accompanying notes

57

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
  Principal       Principal    
BONDS (continued) Amount (000's)        Value (000's) BONDS (continued) Amount (000's)    Value (000's)
 
Oil & Gas (continued)         Other Asset Backed Securities (continued)        
Halcon Resources Corp         Colony American Homes 2014-2        
8.63%, 02/01/2020(e) $ 380 $ 386 3.38%, 07/17/2031(e),(bb) $ 1,000 $ 1,007
Matador Resources Co         Colony American Homes 2015-1        
6.88%, 04/15/2023(e)   312   321 0.00%, 07/17/2032(a),(e),(bb),(dd)   415   415
MEG Energy Corp         Cronos Containers Program I Ltd        
6.38%, 01/30/2023(e)   210   198 3.27%, 11/18/2029(e)   978   986
6.50%, 03/15/2021(e)   40   39 GCA2014 Holdings Ltd - Class C        
7.00%, 03/31/2024(e)   145   140 6.00%, 01/05/2030(d),(e),(f),(bb)   676   676
Oasis Petroleum Inc         GCA2014 Holdings Ltd - Class D        
6.88%, 03/15/2022   300   307 7.50%, 01/05/2030(d),(e),(f),(bb)   248   248
Odebrecht Offshore Drilling Finance Ltd         GCA2014 Holdings Ltd - Class E        
6.75%, 10/01/2023(cc)   8,836   7,985 0.00%, 01/05/2030(a),(d),(e),(f),(bb)   1,030   852
OGX Austria GmbH         Global Container Assets Ltd        
0.00%, 06/01/2018(a),(e)   600   1 4.50%, 02/05/2030(e),(f),(bb)   407   406
0.00%, 04/01/2022(a),(e)   1,100   — Invitation Homes 2014-SFR1 Trust        
Pacific Rubiales Energy Corp         1.68%, 06/17/2031(e),(bb)   1,180   1,180
5.13%, 03/28/2023(e)   285   228 OneMain Financial Issuance Trust 2014-1        
5.13%, 03/28/2023   3,000   2,400 2.43%, 06/18/2024(e),(bb)   240   240
5.38%, 01/26/2019   1,000   904 OneMain Financial Issuance Trust 2014-2        
5.63%, 01/19/2025   1,000   802 2.47%, 09/18/2024(e),(f)   130   130
Pertamina Persero PT         3.02%, 09/18/2024(e),(f),(bb)   130   130
5.63%, 05/20/2043   5,000   4,651 5.31%, 09/18/2024(e),(f),(bb)   1,210   1,205
Petrobras Global Finance BV         OneMain Financial Issuance Trust 2015-1        
2.75%, 01/15/2018 EUR 9,500   10,043 3.19%, 03/18/2026(e),(f),(bb)   220   222
3.25%, 04/01/2019   3,625   3,828 Rise Ltd        
5.63%, 05/20/2043 $ 2,900   2,388 4.75%, 02/15/2039(d),(f),(bb)   462   466
Petroleos de Venezuela SA         Sierra Timeshare 2012-1 Receivables Funding        
6.00%, 11/15/2026   7,500   2,794 LLC        
Petroleos Mexicanos         2.84%, 11/20/2028(e)   35   35
7.65%, 11/24/2021(e),(bb) MXN 6,500   432 Sierra Timeshare 2013-1 Receivables Funding        
Reliance Industries Ltd         LLC        
4.13%, 01/28/2025 $ 8,400   8,502 1.59%, 11/20/2029(e),(bb)   161   161
Rosetta Resources Inc         Sierra Timeshare 2013-3 Receivables Funding        
5.63%, 05/01/2021   40   42 LLC        
5.88%, 06/01/2022   20   21 2.20%, 10/20/2030(e),(bb)   387   390
5.88%, 06/01/2024   70   75 Springleaf Funding Trust 2014-A        
Sabine Oil & Gas Corp         2.41%, 12/15/2022(e),(f),(bb)   290   290
7.25%, 06/15/2019   300   69 TAL Advantage V LLC        
Shell International Finance BV         3.55%, 11/20/2038(e),(bb)   446   452
0.48%, 11/15/2016(bb)   455   456 U.S. Residential Opportunity Fund IV Trust        
SM Energy Co         2015-1        
5.00%, 01/15/2024   485   475 3.72%, 02/27/2035(e),(bb)   905   909
6.13%, 11/15/2022(e)   371   387 US Residential Opportunity Fund III Trust        
Ultra Petroleum Corp         2015-1        
6.13%, 10/01/2024(e)   130   119 3.72%, 01/27/2035(e),(bb)   1,064   1,072
Whiting Petroleum Corp         VOLT XXII LLC        
5.00%, 03/15/2019   90   90 3.50%, 02/25/2055(e),(bb)   1,983   1,988
5.75%, 03/15/2021   1,145   1,165 VOLT XXX LLC        
6.50%, 10/01/2018   745   762 3.62%, 10/25/2057(e),(bb)   859   862
    $   92,436 VOLT XXXI LLC        
          3.38%, 02/25/2055(e),(bb)   445   446
Oil & Gas Services - 0.01%             $   20,832
Western Refining Logistics LP / WNRL                  
Finance Corp         Pharmaceuticals - 0.33%        
7.50%, 02/15/2023(e)   395   412 AbbVie Inc        
          3.60%, 05/14/2025   2,425   2,440
          Actavis Funding SCS        
Other Asset Backed Securities - 0.66%         1.35%, 03/12/2018(bb)   2,500   2,527
AIM Aviation Finance Ltd                  
5.07%, 02/15/2040(e),(f),(bb)   1,458   1,472 Johnson & Johnson        
          0.36%, 11/28/2016(bb)   430   430
American Homes 4 Rent 2014-SFR1                  
2.75%, 06/17/2031(e),(bb)   500   491 Merck & Co Inc        
          0.40%, 02/10/2017(bb)   1,665   1,666
American Homes 4 Rent 2014-SFR2 Trust                  
5.15%, 10/17/2036(e),(bb)   280   300 Valeant Pharmaceuticals International Inc        
          4.50%, 05/15/2023(e) EUR 1,685   1,874
6.23%, 10/17/2036(e),(bb)   695   760          
          5.50%, 03/01/2023(e) $ 670   683
American Homes 4 Rent 2014-SFR3 Trust         6.38%, 10/15/2020(e)   645   688
6.42%, 12/17/2036(e),(bb)   900   983          
American Homes 4 Rent 2015-SFR1             $   10,308
5.64%, 04/17/2052(e),(bb)   1,045   1,101 Pipelines - 0.40%        
CLI Funding V LLC         MarkWest Energy Partners LP / MarkWest        
3.38%, 10/18/2029(e)   659   666 Energy Finance Corp        
Colony American Homes 2014-1         4.88%, 12/01/2024   3,005   3,035
2.10%, 05/17/2031(e),(bb)   290   291          

 

See accompanying notes

58

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
                   
  BONDS (continued)   Principal Amount (000's)               Value (000's)   BONDS (continued)   Principal Amount (000's)              Value (000's)
 
  Pipelines (continued)             Sovereign (continued)          
  Regency Energy Partners LP / Regency             Mexican Bonos          
  Energy Finance Corp             4.75%, 06/14/2018(bb)   MXN 94,000 $ 6,121
  5.75%, 09/01/2020   $ 995 $ 1,095            
  Sabine Pass Liquefaction LLC             Republic of Angola Via Northern Lights III BV          
  5.63%, 03/01/2025(e)     3,005   3,005   7.00%, 08/16/2019   $ 6,000   6,124
  Targa Resources Partners LP / Targa             Sri Lanka Government International Bond          
  Resources Partners Finance Corp             6.25%, 10/04/2020     5,000   5,107
  4.25%, 11/15/2023     35   34         $   51,680
  5.00%, 01/15/2018(e)     1,020   1,053              
  5.25%, 05/01/2023     135   136   Student Loan Asset Backed Securities - 0.03%      
  6.38%, 08/01/2022     210   222   SoFi Professional Loan Program 2014-B          
  Williams Partners LP             LLC          
                1.43%, 08/25/2032(e),(bb)     118   119
  4.00%, 09/15/2025     4,165   4,105              
        $   12,685   SoFi Professional Loan Program 2015-A          
                LLC          
  Real Estate - 1.12%             1.38%, 03/25/2033(e),(bb)     747   747
  Agile Property Holdings Ltd                   $   866
  8.88%, 04/28/2017     3,000   3,034              
  China Overseas Finance Cayman III Ltd             Telecommunications - 1.19%          
  6.38%, 10/29/2043     7,000   7,749   AT&T Inc          
                0.69%, 03/30/2017(bb)     1,525   1,525
  Country Garden Holdings Co Ltd                        
  7.25%, 04/04/2021     5,500   5,562   Axtel SAB de CV          
                9.00%, 01/31/2020(bb)     5,000   5,000
  MAF Global Securities Ltd                        
  7.13%, 10/29/2049(bb)     12,000   12,962   B Communications Ltd          
                7.38%, 02/15/2021(e)     6,000   6,397
  Rialto Holdings LLC / Rialto Corp                        
  7.00%, 12/01/2018(e)     2,888   3,025   Brasil Telecom SA          
                9.75%, 09/15/2016(e)   BRL 1,475   429
  Shimao Property Holdings Ltd                        
  8.13%, 01/22/2021     3,000   3,150   CommScope Inc          
                4.38%, 06/15/2020(e),(dd)   $ 195   197
        $   35,482   CommScope Technologies Finance LLC          
REITS - 0.09 %           6.00%, 06/15/2025(e),(dd)     495   501
  Healthcare Realty Trust Inc             Digicel Group Ltd          
  3.88%, 05/01/2025     690   681   7.13%, 04/01/2022     4,250   4,133
  Host Hotels & Resorts LP             Level 3 Financing Inc          
  5.25%, 03/15/2022     265   292   5.13%, 05/01/2023(e)     2,240   2,246
  iStar Financial Inc             MTN Mauritius Investments Ltd          
  4.00%, 11/01/2017     2,045   2,015   4.76%, 11/11/2024     4,500   4,579
        $   2,988   Turk Telekomunikasyon AS          
                4.88%, 06/19/2024     7,000   6,991
  Retail - 0.02%             VimpelCom Holdings BV          
  Foot Locker Inc             5.20%, 02/13/2019     6,000   5,805
  8.50%, 01/15/2022     410   492         $   37,803
 
                Transportation - 0.02%          
  Semiconductors - 0.15%             Canadian National Railway Co          
  KLA-Tencor Corp             0.48%, 11/06/2015(bb)     610   610
  4.65%, 11/01/2024     2,437   2,496              
  Micron Technology Inc                        
  5.25%, 01/15/2024(e)     1,130   1,119   TOTAL BONDS     $   698,449
  5.63%, 01/15/2026(e)     1,130   1,110          
        $   4,725   CONVERTIBLE BONDS - 2.63%   Principal Amount (000's)           Value (000's)
 
  Software - 0.09%             Automobile Manufacturers - 0.05%          
  Open Text Corp             Tesla Motors Inc          
  5.63%, 01/15/2023(e)     1,245   1,258   1.50%, 06/01/2018     775   1,587
  Oracle Corp                        
  0.47%, 07/07/2017(bb)     1,075   1,077   Automobile Parts & Equipment - 0.02%          
  Rolta Americas LLC             Meritor Inc          
  8.88%, 07/24/2019(e)     565   486   7.88%, 03/01/2026     325   530
        $   2,821              
 
  Sovereign - 1.63%           Banks - 0.32 %        
  1MDB Global Investments Ltd                      
  4.40%, 03/09/2023     10,000   8,710   Bank of New York Mellon Luxembourg SA/The          
  Bulgaria Government International Bond             4.49%, 12/15/2050(bb)   EUR 14,000   10,128
  2.95%, 09/03/2024   EUR 5,000   5,572              
  Cyprus Government International Bond                        
  4.63%, 02/03/2020(e)     1,500   1,722   Biotechnology - 0.08%          
                Acorda Therapeutics Inc          
  4.75%, 06/25/2019     8,000   9,221   1.75%, 06/15/2021(b)   $ 600   587
  Hellenic Republic Government International             BioMarin Pharmaceutical Inc          
  Bond             0.75%, 10/15/2018     83   122
  5.00%, 08/22/2016   JPY 225,000   1,269   1.50%, 10/15/2020     171   257
  KazAgro National Management Holding JSC             Emergent Biosolutions Inc          
  3.26%, 05/22/2019   EUR 7,500   7,834   2.88%, 01/15/2021     255   313

 

See accompanying notes

59

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
                     
  CONVERTIBLE BONDS (continued)   Principal Amount (000's)                    Value (000's)   CONVERTIBLE BONDS (continued)     Principal Amount (000's)                 Value (000's)
 
  Biotechnology (continued)             Internet (continued)          
  Gilead Sciences Inc             VeriSign Inc          
  1.63%, 05/01/2016   $ 160 $ 790   3.25%, 08/15/2037   $ 3,325 $ 6,272
  Medicines Co/The                   $   11,116
  2.50%, 01/15/2022(e)     425   469              
        $   2,538   Investment Companies - 0.00%          
                Ares Capital Corp          
Coal - 0.00 %           5.75%, 02/01/2016(b),(e)     50   51
  Alpha Natural Resources Inc             Prospect Capital Corp          
  4.88%, 12/15/2020     100   12   4.75%, 04/15/2020(b),(bb)     100   97
                      $   148
 
  Computers - 0.05%             Iron & Steel - 0.03%          
  Brocade Communications Systems Inc             United States Steel Corp          
  1.38%, 01/01/2020(e)     225   239   2.75%, 04/01/2019     800   972
  SanDisk Corp                        
  1.50%, 08/15/2017     850   1,229              
        $   1,468   Leisure Products & Services - 0.02%          
                Jarden Corp          
  Diversified Financial Services - 0.01%             1.13%, 03/15/2034     500   592
  Element Financial Corp                        
  5.13%, 06/30/2019(e)   CAD 325   322              
                Mining - 0.00%          
                Stillwater Mining Co          
  Electric - 0.02%             1.75%, 10/15/2032(b)     100   124
  NRG Yield Inc                        
  3.50%, 02/01/2019(e)   $ 650   780              
                Miscellaneous Manufacturing - 0.03%          
                Trinity Industries Inc          
  Electrical Components & Equipment - 0.00%         3.88%, 06/01/2036     650   896
  General Cable Corp                        
  4.50%, 11/15/2029(b),(bb)     75   61              
                Oil & Gas - 0.15%          
                Cheniere Energy Inc          
  Electronics - 0.02%             4.25%, 03/15/2045     1,050   842
  TTM Technologies Inc             Chesapeake Energy Corp          
  1.75%, 12/15/2020     250   290   2.50%, 05/15/2037     225   218
  Vishay Intertechnology Inc             Whiting Petroleum Corp          
  2.25%, 11/15/2040     300   307   1.25%, 04/01/2020(e)     3,270   3,581
        $   597         $   4,641
 
  Energy - Alternate Sources - 0.21%             Pharmaceuticals - 0.07%          
  SunEdison Inc             Herbalife Ltd          
  0.25%, 01/15/2020(b),(e)     25   30   2.00%, 08/15/2019     900   795
  2.00%, 10/01/2018     400   840   Mylan Inc          
  2.38%, 04/15/2022(e)     1,115   1,508   3.75%, 09/15/2015     275   1,496
  2.63%, 06/01/2023(e)     1,311   1,353         $   2,291
  2.75%, 01/01/2021     725   1,539              
  3.38%, 06/01/2025(e)     1,474   1,550 REITS - 0.10 %        
        $   6,820   Health Care REIT Inc          
                3.00%, 12/01/2029     825   1,129
  Healthcare - Products - 0.02%             Spirit Realty Capital Inc          
  Hologic Inc             2.88%, 05/15/2019     100   97
  2.00%, 12/15/2037     325   513   3.75%, 05/15/2021     350   339
                Starwood Property Trust Inc          
                3.75%, 10/15/2017     325   337
  Healthcare - Services - 0.14%             4.55%, 03/01/2018     1,175   1,272
  Anthem Inc                        
  2.75%, 10/15/2042     1,950   4,373         $   3,174
                Semiconductors - 0.63%          
  Home Builders - 0.01%             Intel Corp          
                3.25%, 08/01/2039(b)     3,051   5,183
  Lennar Corp                        
  3.25%, 11/15/2021(e)     175   352   Microchip Technology Inc          
                2.13%, 12/15/2037     600   1,186
                Micron Technology Inc          
  Insurance - 0.08%             2.13%, 02/15/2033     200   514
  MGIC Investment Corp             3.13%, 05/01/2032     300   865
  2.00%, 04/01/2020     300   487   Novellus Systems Inc          
  5.00%, 05/01/2017     775   871   2.63%, 05/15/2041     3,848   9,238
  Radian Group Inc             NXP Semiconductors NV          
  2.25%, 03/01/2019(b)     700   1,190   1.00%, 12/01/2019(e)     275   347
        $   2,548   ON Semiconductor Corp          
                2.63%, 12/15/2026     300   406
  Internet - 0.35%             Rovi Corp          
  Equinix Inc             0.50%, 03/01/2020(e)     2,240   2,082
  4.75%, 06/15/2016(b)     1,325   4,409              
  MercadoLibre Inc                   $   19,821
  2.25%, 07/01/2019(e)     335   435              

 

See accompanying notes

60

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
          SENIOR FLOATING RATE INTERESTS        
CONVERTIBLE BONDS (continued)   Principal Amount (000's)            Value (000's)   (continued)     Principal Amount (000's)          Value (000's)
 
Software - 0.07%             Commercial Services (continued)          
Electronic Arts Inc             ServiceMaster Co LLC/The, Term Loan B          
0.75%, 07/15/2016(b)   $ 875 $ 1,729   4.25%, 06/25/2021(bb)   $ 2,081 $ 2,086
Nuance Communications Inc                   $   4,217
2.75%, 11/01/2031     590   591              
      $   2,320   Distribution & Wholesale - 0.04%          
              American Builders & Contractors Supply Co          
Telecommunications - 0.13%             Inc, Term Loan B          
Ciena Corp             3.50%, 04/05/2020(bb)     571   570
3.75%, 10/15/2018(e)     270   377   American Tire Distributors Inc, Term Loan B          
Palo Alto Networks Inc             5.25%, 09/24/2021(bb)     119   121
0.00%, 07/01/2019(a),(b),(e)     2,370   3,775   HD Supply Inc, Term Loan B          
      $   4,152   4.00%, 06/28/2018(bb)     572   572
 
Transportation - 0.02%                   $   1,263
Ship Finance International Ltd             Diversified Financial Services - 0.02%          
3.25%, 02/01/2018     125   128   American Beacon Advisors Inc, Term Loan          
UTi Worldwide Inc             5.50%, 03/17/2022(bb)     238   240
4.50%, 03/01/2019     425   432   Aptean Holdings Inc, Term Loan B          
      $   560   5.25%, 02/21/2020(bb)     446   442
TOTAL CONVERTIBLE BONDS     $   83,436         $   682
 
SENIOR FLOATING RATE INTERESTS -       Electric - 0.03%          
1.69 % Principal Amount (000's)        Value (000's)   Calpine Construction Finance Co LP, Term          
Aerospace & Defense - 0.07%             Loan B1          
TransDigm Inc, Term Loan C             3.00%, 04/24/2020(bb)     260   257
3.75%, 02/28/2020(bb)   $ 683 $ 681   Calpine Corp, Term Loan          
TransDigm Inc, Term Loan D             0.00%, 05/20/2022(bb),(ee)     705   703
3.75%, 05/21/2021(bb)     571   570         $   960
TransDigm Inc, Term Loan E                        
3.50%, 05/13/2022(bb)     887   880   Electrical Components & Equipment - 0.09%    
              Generac Power Systems Inc, Term Loan B          
      $   2,131   3.59%, 06/22/2018(bb)     2,739   2,731
Agriculture - 0.01%                        
Pinnacle Operating Corp, Term Loan B           Food - 0.00 %        
4.75%, 11/14/2018(bb)     166   165              
              Reddy Ice Corp, Term Loan          
              6.75%, 05/01/2019(bb)     109   97
Automobile Parts & Equipment - 0.05%                        
Visteon Corp, Delay-Draw Term Loan B-DD             Food Service - 0.06%          
3.50%, 04/09/2021(bb)     1,527   1,526              
              Aramark Services Inc, Term Loan F          
              3.25%, 02/21/2021(bb)     2,006   2,004
Building Materials - 0.08%             Brasa Holdings Inc, Term Loan          
Continental Building Products Operating Co             11.00%, 01/18/2020(bb)     46   46
LLC, Term Loan B                   $   2,050
4.00%, 08/28/2020(bb)     503   502              
Ply Gem Industries Inc, Term Loan B             Hand & Machine Tools - 0.01%          
4.00%, 01/17/2021(bb)     83   83   Milacron LLC, Term Loan B          
              0.00%, 09/28/2020(bb),(ee)     255   256
Quikrete Holdings Inc, Term Loan B                        
4.00%, 09/18/2020(bb)     1,875   1,875              
      $   2,460   Healthcare - Products - 0.08%          
              Mallinckrodt International Finance SA, Term          
Chemicals - 0.04%             Loan B          
Axalta Coating Systems US Holdings Inc,             3.25%, 03/05/2021(bb)     1,896   1,893
Term Loan B             Ortho-Clinical Diagnostics Inc, Term Loan B          
3.75%, 02/01/2020(bb)     430   430              
              4.75%, 06/30/2021(bb)     233   230
EI du Pont de Nemours & Co, Term Loan             Sterigenics-Nordion Holdings, Term Loan          
3.75%, 05/09/2022(bb)     290   290              
              4.25%, 05/06/2022(bb)     400   400
Emerald Performance Materials LLC, Term                   $   2,523
Loan                        
4.50%, 07/23/2021(bb)     269   269   Healthcare - Services - 0.01%          
MacDermid Inc, Term Loan B             Community Health Systems Inc, Term Loan          
4.50%, 06/05/2020(bb)     152   153   4.00%, 01/14/2021(bb)     205   205
      $   1,142              
 
Commercial Services - 0.13%             Housewares - 0.01%          
Brickman Group Ltd LLC/The, Term Loan B             Libbey Glass Inc, Term Loan B          
4.00%, 12/18/2020(bb)     153   153   3.75%, 04/09/2021(bb)     366   366
Creative Artists Agency LLC, Term Loan B                        
5.50%, 12/10/2021(bb)     572   577              
              Insurance - 0.06%          
iQor US Inc, Term Loan B                      
6.00%, 02/19/2021(bb)     594   552    Asurion LLC, Term Loan B1          
              5.00%, 05/24/2019(bb)     563   564
            HUB International Ltd, Term Loan B          
Sedgwick Claims Management Services Inc, Term Loan             4.00%, 09/17/2020(bb)     909   905
3.75%, 02/11/2021(bb)     860   849              

 

See accompanying notes

61

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
  SENIOR FLOATING RATE INTERESTS           SENIOR FLOATING RATE INTERESTS     Principal    
  (continued)     Principal Amount (000's)                         Value (000's)   (continued)     Amount (000's)               Value (000's)
 
  Insurance (continued)             Pharmaceuticals - 0.06%          
  Hyperion Insurance Group Ltd, Term Loan             Amneal Pharmaceuticals LLC, Term Loan B          
  5.50%, 03/26/2022(bb)   $ 460 $ 463   5.00%, 10/31/2019(bb)   $ 304 $ 306
        $   1,932   DPx Holdings BV, Term Loan B          
                4.25%, 01/22/2021(bb)     233   232
  Internet - 0.03%                      
  Zayo Group LLC, Term Loan B             Valeant Pharmaceuticals International Inc,          
  3.75%, 05/06/2021(bb)     1,084   1,082    Term Loan BF1          
                4.00%, 03/11/2022(bb)     1,310   1,313
                      $   1,851
 
  Investment Companies - 0.00%             Pipelines - 0.08%          
  Grosvenor Capital Management Holdings             Energy Transfer Equity LP, Term Loan          
  LLLP, Term Loan B             3.25%, 11/15/2019(bb)     2,165   2,155
  3.75%, 11/25/2020(bb)     165   164              
                Southcross Energy Partners LP, Term Loan B          
                5.25%, 07/29/2021(bb)     294   293
  Leisure Products & Services - 0.01%                   $   2,448
  Performance Sports Group Ltd, Term Loan B                        
  4.00%, 04/02/2021(bb)     101   100   Private Equity - 0.01%          
              HarbourVest Partners LLC, Term Loan          
   SRAM LLC, Term Loan B             3.25%, 02/04/2021(bb)     216   215
  4.03%, 06/07/2018(bb)     304   303              
        $   403              
 
  Lodging - 0.04%             Real Estate - 0.06%          
                Realogy Group LLC, Term Loan B          
              3.75%, 03/05/2020(bb)     1,888   1,890
  Hilton Worldwide Finance LLC, Term Loan B                        
  3.50%, 09/23/2020(bb)     454   455              
  La Quinta Intermediate Holdings LLC, Term           REITS - 0.03 %        
  Loan B             Communications Sales & Leasing Inc, Term          
  4.00%, 02/19/2021(bb)     905   907   Loan B          
        $   1,362   5.00%, 10/14/2022(bb)     880   877
 
  Machinery - Diversified - 0.00%                        
  Mirror BidCo Corp, Term Loan B             Retail - 0.08%          
  4.25%, 12/28/2019(bb)     76   76   General Nutrition Centers Inc, Term Loan B          
                3.25%, 03/02/2018(bb)     959   948
                Hillman Group Inc/The, Term Loan B          
Media - 0.06 %           4.50%, 06/30/2021(bb)     53   54
  Time Inc, Delay-Draw Term Loan B-DD                      
  4.25%, 04/21/2021(bb)     288   287    PetSmart Inc, Term Loan B          
                0.00%, 03/10/2022(bb),(ee)     1,029   1,032
  Townsquare Media Inc, Term Loan B                      
  4.25%, 03/25/2022(bb)     199   200    Staples Inc, Term Loan B          
                0.00%, 04/23/2021(bb),(ee)     190   190
  Virgin Media Investment Holdings Ltd, Term             Talbots Inc/The, Term Loan B          
  Loan             5.50%, 03/13/2020(bb)     292   286
  3.50%, 06/07/2023(bb)     1,350   1,345              
                      $   2,510
        $   1,832              
                Semiconductors - 0.04%          
  Metal Fabrication & Hardware - 0.01%             Entegris Inc, Term Loan B          
  Crosby US Acquisition Corp, Term Loan             3.50%, 03/25/2021(bb)     163   162
  3.75%, 11/06/2020(bb)     311   294              
                NXP BV, Term Loan D          
  Doncasters US Finance LLC, Term Loan B             3.25%, 01/10/2020(bb)     998   994
  4.50%, 04/05/2020(bb)     93   94              
                      $   1,156
        $   388              
                Software - 0.17%          
  Miscellaneous Manufacturing - 0.02%             BMC Foreign Holding Co, Term Loan B          
  Gates Global LLC, Term Loan             5.00%, 08/07/2020(bb)     197   193
  4.25%, 06/11/2021(bb)     641   638              
                BMC Software Finance Inc, Term Loan B          
                5.00%, 08/07/2020(bb)     973   955
  Oil & Gas - 0.04%             Evergreen Skills Lux Sarl, Term Loan          
  Power Buyer LLC, Delay-Draw Term Loan             3.78%, 04/08/2021(bb)     759   756
  DD             IMS Health Inc, Term Loan B          
  4.25%, 05/06/2020(bb)     29   29   3.50%, 03/05/2021(bb)     303   303
  Power Buyer LLC, Term Loan             Infor US Inc, Term Loan B5          
  4.25%, 05/06/2020(bb)     527   526   3.75%, 06/03/2020(bb)     1,077   1,071
  Western Refining Inc, Term Loan B             MA FinanceCo LLC, Term Loan B          
  4.25%, 11/25/2020(bb)     783   784   5.25%, 10/07/2021(bb)     954   956
        $   1,339   Nuance Communications Inc, Term Loan C          
                2.94%, 03/31/2016(bb)     123   122
  Packaging & Containers - 0.01%             Renaissance Learning Inc, Term Loan          
  Ardagh Holdings USA Inc, Delay-Draw Term             4.50%, 04/02/2021(bb)     270   266
Loan B-DD             Vertafore Inc, Term Loan          
  4.00%, 12/17/2019(bb)     273   273   4.25%, 11/03/2019(bb)     747   748
  FPC Holdings Inc, Term Loan                   $   5,370
  5.25%, 11/15/2019(bb)     124   123              
        $   396   Telecommunications - 0.12%          
                Integra Telecom Holdings Inc, Term Loan          
                0.00%, 02/22/2019(bb),(ee)     1,150   1,143

 

See accompanying notes

62

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
  SENIOR FLOATING RATE INTERESTS             REPURCHASE AGREEMENTS        
  (continued)   Principal Amount (000's)                   Value (000's)   (continued)   Maturity Amount (000's)                Value (000's)
 
  Telecommunications (continued)                 Banks (continued)          
  Level 3 Financing Inc, Term Loan BII                 Barclays Bank PLC Repurchase Agreement on $ 5,454 $ 5,470
  3.50%, 05/06/2022(bb)   $ 429 $ 428   securities sold short; (0.45)% dated      
  LTS Buyer LLC, Term Loan B                 10/08/2014 (collateralized by South Africa      
  4.00%, 04/01/2020(bb)     301   301   Government International Bond;      
  Sable International Finance Ltd, Term Loan                 $5,735,098; 5.88%; dated 09/16/25)(hh)      
  5.50%, 11/25/2016(bb)     844   843   Barclays Bank PLC Repurchase Agreement on 5,800   5,808
  SBA Senior Finance II LLC, Term Loan B                 securities sold short; (0.45)% dated      
  3.25%, 03/24/2021(bb)     1,256   1,250   02/04/2015 (collateralized by South Africa      
            $   3,965   Government International Bond;      
                    $5,735,098; 5.88%; dated 09/16/25)(hh)      
  Transportation - 0.01%                 Barclays Bank PLC Repurchase Agreement on 5,040   5,046
  OSG Bulk Ships Inc, Term Loan B-EXIT                 securities sold short; (0.45)% dated      
  5.25%, 07/22/2019(bb)     214   214    03/04/2015 (collateralized by Export-      
                    Import Bank of India; $5,186,731; 4.00%;      
                    dated 01/14/23)(hh)      
  Trucking & Leasing - 0.02%                          
  AWAS Aviation Capital Ltd, Term Loan                 Barclays Bank PLC Repurchase Agreement on 3,926   3,944
  3.50%, 06/26/2018(bb)     156   156   securities sold short; (0.50)% dated        
  IBC Capital Ltd, Term Loan                 07/15/2014 (collateralized by Saudi        
  4.75%, 08/05/2021(bb)     430   431   Electricity Global Sukuk Co 2; $4,110,452;      
            $   587   3.47%; dated 04/08/23)(hh)        
  TOTAL SENIOR FLOATING RATE INTERESTS     $   53,469   Barclays Bank PLC Repurchase Agreement on 5,545   5,555
  U.S. GOVERNMENT & GOVERNMENT             securities sold short; (0.50)% dated        
  AGENCY OBLIGATIONS - 3.74%   Principal Amount (000's) Value (000 's) 01/13/2015 (collateralized by Bahrain        
                    Government International Bond;        
  U.S. Treasury - 0.19%                 $5,739,583 ; 6.13%; dated 08/01/23)(hh)        
  0.25%, 09/30/2015(ff)   $ 5,200 $ 5,202   Barclays Bank PLC Repurchase Agreement on 3,399   3,405
  1.50%, 06/30/2016     600   608   securities sold short; (0.50)% dated        
            $   5,810   01/26/2015 (collateralized by Bahrain        
  U.S. Treasury Bill - 3.55%                 Government International Bond;        
                    $3,443,750 ; 6.13%; dated 08/01/23)(hh)        
  0.01%, 07/02/2015(cc),(gg)     25,000   25,000              
  0.00%, 07/30/2015(cc),(gg)     20,000   20,000   Barclays Bank PLC Repurchase Agreement on 5,503   5,512
  0.02%, 06/25/2015(cc),(gg)     60,000   59,999   securities sold short; (0.50)% dated        
  0.07%, 08/20/2015(ff),(gg)     1,100   1,100   02/10/2015 (collateralized by Bahrain        
  0.14%, 09/10/2015(gg)     3,220   3,220   Government International Bond;        
                    $5,739,583 ; 6.13%; dated 08/01/23)(hh)        
  0.27%, 03/03/2016(gg)     3,230   3,225              
            $   112,544   Barclays Bank PLC Repurchase Agreement on 5,069   5,074
                    securities sold short; (0.50)% dated        
  TOTAL U.S. GOVERNMENT & GOVERNMENT AGENCY           03/17/2015 (collateralized by Saudi        
  OBLIGATIONS         $   118,354   Electricity Global Sukuk Co 2; $5,138,065;      
                3.47%; dated 04/08/23)(hh)        
  REPURCHASE AGREEMENTS - 3.24%   Maturity Amount (000's) Value (000 's) Barclays Bank PLC Repurchase Agreement on 5,484   5,489
Banks - 3.24 %               securities sold short; (0.50)% dated        
  Barclays Bank PLC Repurchase Agreement on $ 4,713   $   4,719   03/26/2015 (collateralized by Bahrain        
  securities sold short; (0.95)% dated                 Government International Bond;        
  08/11/2014 (collateralized by Portugal                 $5,739,583; 6.13%; dated 08/01/23)(hh)        
  Obrigacoes do Tesouro OT; $5,086,757;                 Barclays Bank PLC Repurchase Agreement on 5,090   5,095
  4.45%; dated 06/15/18)(hh)                 securities sold short; (0.50)% dated        
  Barclays Bank PLC Repurchase Agreement on     4,843       4,847   03/26/2015 (collateralized by Saudi        
  securities sold short; (0.95)% dated                 Electricity Global Sukuk Co 2; $5,138,065;      
  12/12/2014 (collateralized by Portugal                 3.47%; dated 04/08/23)(hh)        
  Obrigacoes do Tesouro OT; $5,086,757;                 Barclays Bank PLC Repurchase Agreement; 1,294   1,296
  4.45%; dated 06/15/18)(hh)                 (0.55)% dated 01/21/2015 (collateralized      
  Barclays Bank PLC Repurchase Agreement on     4,820       4,829   by Petronas Capital Ltd; $1,312,987;        
  securities sold short; (0.95)% dated                 7.88%; dated 05/22/22)(hh)        
  09/11/2014 (collateralized by Portugal                 Barclays Bank PLC Repurchase Agreement; 3,287   3,298
  Obrigacoes do Tesouro OT; $5,086,757;                 (0.60)% dated 10/31/2014 (collateralized      
  4.45%; dated 06/15/18)(hh)                 by Petronas Capital Ltd; $3,282,467;        
  Barclays Bank PLC Repurchase Agreement on     5,223       5,227   7.88%; dated 05/22/22)(hh)        
  securities sold short; (0.25)% dated                 Barclays Bank PLC Repurchase Agreement on 2,378   2,392
  02/11/2015 (collateralized by Banco                 securities sold short; (0.75)% dated        
  Nacional de Desenvolvimento Economico                 08/15/2014 (collateralized by Sinochem      
  e Social; $5,291,910; 5.75%; dated 09/26/23)(hh)                 Overseas Capital Co Ltd; $2,498,374;        
                6.30%; dated 11/12/40)(hh)        
  Barclays Bank PLC Repurchase Agreement on     4,617       4,624   Barclays Bank PLC Repurchase Agreement on 5,347   5,358
  securities sold short; (0.40)% dated                 securities sold short; (0.95)% dated        
  01/21/2015 (collateralized by Banco do                 03/11/2015 (collateralized by Morocco        
  Brasil SA/Cayman; $4,719,698; 3.88%;                 Government International Bond;        
  dated 10/10/22)(hh)                 $5,450,895; 5.50%; dated 12/11/42)(hh)        

 

See accompanying notes

63

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
REPURCHASE AGREEMENTS     Maturity       (p) Restricted Security. At the end of the period, the value of this security  
(continued)   Amount (000's) Value (000's)     totaled $174 or 0.01% of net assets. The security was purchased August  
                  26, 2014 at a cost of $111.    
Banks (continued)             (q) Restricted Security. At the end of the period, the value of this security  
Barclays Bank PLC Repurchase Agreement on $ 3,072 $ 3,082     totaled $339 or 0.01% of net assets. The security was purchased on April  
  securities sold short; (1.00)% dated               16, 2015 at a cost of $209.    
  01/31/2014 (collateralized by Bangkok             (r) Restricted Security. At the end of the period, the value of this security  
  Bank PCL/Hong Kong; $3,301,309;               totaled $628 or 0.02% of net assets. The security was purchased March  
  4.80%; dated 10/18/20)(hh)                    
                  16, 2015 at a cost of $628.    
Barclays Bank PLC Repurchase Agreement on 2,166   2,189   (s) Restricted Security. At the end of the period, the value of this security  
  securities sold short; (1.25)% dated               totaled $602 or 0.02% of net assets. The security was purchased on June  
  08/12/2014 (collateralized by Bangkok               5, 2014 at a cost of $236.    
  Bank PCL/Hong Kong; $2,200,873;             (t) Restricted Security. At the end of the period, the value of this security  
  4.80%; dated 10/18/20)(hh)                    
                  totaled $156 or 0.00% of net assets. The security was purchased on    
Barclays Bank PLC Repurchase Agreement on 4,771   4,779     January 15, 2015 at a cost of $156.    
  securities sold short; (1.85)% dated             (u) Restricted Security. At the end of the period, the value of this security  
  04/23/2015 (collateralized by Kazakhstan           totaled $243 or 0.01% of net assets. The security was purchased on    
  Government International Bond;               November 20, 2014 at a cost of $170.    
  $4,831,545 ; 3.88%; dated 10/14/24)(hh)                  
                (v) Restricted Security. At the end of the period, the value of this security  
Barclays Bank PLC Repurchase Agreement on 5,703   5,741     totaled $97 or 0.00% of the net assets. The security was purchased    
  securities sold short; (3.75)% dated               December 15, 2014 at a total cost of $97.    
  03/27/2015 (collateralized by Vale SA;             (w) Restricted Security. At the end of the period, the value of this security  
  $5,873,251 ; 3.75%; dated 01/10/23)(hh)                  
                  totaled $152 or 0.00% of net assets. The security was purchased on    
          $ 102,779     December 8, 2014 at a cost of $81.    
TOTAL REPURCHASE AGREEMENTS       $ 102,779   (x) Restricted Security. At the end of the period, the value of this security  
TOTAL PURCHASED OPTIONS - 0.18%       $ 5,836     totaled $120 or 0.00% of the net assets. The security was purchased  
TOTAL PURCHASED INTEREST RATE SWAPTIONS -         December 8, 2014 at a total cost of $64.    
0.02 %     $ 513   (y) Restricted Security. At the end of the period, the value of this security  
Total Investments       $ 3,206,963     totaled $123 or 0.00% of net assets. The security was purchased March 3,  
Liabilities in Excess of Other Assets, Net - (1.24)% $ (39,037 )   2015 at a cost of $123.    
TOTAL NET ASSETS - 100.00%       $ 3,167,926   (z) Restricted Security. At the end of the period, the value of this security  
                  totaled $172 or 0.01% of net assets. The security was purchased April 27,  
                  2015 at a cost of $172.    
(a) Non-Income Producing Security             (aa) Restricted Security. At the end of the period, the value of this security  
(b) Security or a portion of the security was pledged as collateral for short     totaled $64 or 0.00% of net assets. The security was purchased August 25,  
  sales. At the end of the period, the value of these securities totaled $31,254     2014 at a cost of $48.    
  or 0.99% of net assets.             (bb) Variable Rate. Rate shown is in effect at May 31, 2015.    
(c) Security or a portion of the security was pledged to cover margin   (cc) Security or portion of the security was pledged as collateral for reverse  
  requirements for options contracts. At the end of the period, the value of     repurchase agreements. At the end of the period, the value of these    
  these securities totaled $18,199 or 0.57% of net assets.         securities totaled $109,165 or 3.45% of net assets.    
(d) Security is Illiquid             (dd) Security purchased on a when-issued basis.    
(e) Security exempt from registration under Rule 144A of the Securities Act of   (ee) This Senior Floating Rate Note will settle after May 31, 2015, at which  
  1933. These securities may be resold in transactions exempt from     time the interest rate will be determined.    
  registration, normally to qualified institutional buyers. At the end of the   (ff) Security or a portion of the security was pledged to cover margin    
  period, the value of these securities totaled $203,837 or 6.44% of net assets.     requirements for futures contracts. At the end of the period, the value of  
(f) Fair value of these investments is determined in good faith by the Manager     these securities totaled $1,400 or 0.04% of net assets.    
  under procedures established and periodically reviewed by the Board of   (gg) Rate shown is the discount rate of the original purchase.    
  Directors. At the end of the period, the fair value of these securities totaled   (hh) Although the maturity date of the repurchase agreement is open-ended  
  $19,456 or 0.61% of net assets.               through the maturity date of the collateral, the Fund has a right to    
(g) Restricted Security. At the end of the period, the value of this security     terminate the repurchase agreement and demand repayment from the  
  totaled $91 or 0.00% of net assets. The security was purchased on April 15,     counterparty at any time with two days' notice. During periods of high  
  2014 at a cost of $48.               demand for the collateral security, the fund may also pay the counterparty  
(h) Restricted Security. At the end of the period, the value of this security     a fee.    
  totaled $31 or 0.00% of the net assets. The security was purchased          
  December 8, 2014 at a total cost of $16.                
(i) Restricted Security. At the end of the period, the value of this security     Portfolio Summary (unaudited)    
  totaled $19 or 0.00% of net assets. The security was purchased April 23,   Sector Percent  
  2015 at a cost of $19.             Exchange Traded Funds 21.11 %
(j) Restricted Security. At the end of the period, the value of this security   Financial 15.87 %
  totaled $43 or 0.00% of net assets. The security was purchased April 16,   Consumer, Non-cyclical 14.38 %
  2014 - January 15, 2015 at a total cost of $35.         Consumer, Cyclical 7.92 %
(k) Restricted Security. At the end of the period, the value of this security   Communications 7.13 %
  totaled $126 or 0.00% of net assets. The security was purchased on   Industrial 6.80 %
  December 4, 2014 at a cost of $52.             Energy 6.28 %
(l) Restricted Security. At the end of the period, the value of this security   Technology 5.76 %
  totaled $51 or 0.00% of net assets. The security was purchased on January   Government 5.37 %
  28, 2014 at a cost of $51.             Basic Materials 3.88 %
(m) Restricted Security. At the end of the period, the value of this security   Utilities 2.39 %
  totaled $43 or 0.00% of net assets. The security was purchased April 23,   Asset Backed Securities 2.16 %
  2015 at a cost of $43.             Mortgage Securities 1.45 %
(n) Restricted Security. At the end of the period, the value of this security   Diversified 0.54 %
  totaled $124 or 0.00% of the net assets. The security was purchased   Purchased Options 0.18 %
  February 5, 2014 at a cost of $55.             Purchased Interest Rate Swaptions 0.02 %
(o) Restricted Security. At the end of the period, the value of this security   Investments Sold Short (15.92 )%
  totaled $139 or 0.00% of net assets. The security was purchased on April   Other Assets in Excess of Liabilities, Net 14.68 %
  16, 2014 at a cost of $131.             TOTAL NET ASSETS 100.00 %

 

See accompanying notes

64

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
 
Credit Default Swaps
Buy Protection                                      
        (Pay)/           Upfront     Unrealized            
        Receive   Expiration       Premiums     Appreciation/     Fair Value  
Counterparty (Issuer) Reference Entity     Fixed Rate   Date Notional Amount      Paid/(Received)                  (Depreciation)     Asset Liability  
Barclays Bank PLC Brazilian Government International   (1.00 )% 06/20/2020 $ 15,000 $ 936   $ 3   $ 939 $ —  
  Bond                                    
Barclays Bank PLC Emirate of Dubai Government   (5.00 )% 03/20/2020   5,000   (599 )   (81 )   —   (680 )
  International Bonds                                    
Barclays Bank PLC Emirate of Dubai Government   (5.00 )% 03/20/2020   5,000   (600 )   (80 )   —   (680 )
  International Bonds                                    
Barclays Bank PLC Mexico Government International   (1.00 )% 06/20/2020   15,000   185     (63 )   122   —  
  Bond                                    
Barclays Bank PLC Portugal Telecom International   (5.00 )% 06/20/2018 EUR 2,500   (71 )   (18 )   —   (89 )
  Finance BV                                    
Barclays Bank PLC South Africa Government   (1.00 )% 06/20/2020 $ 10,000   495     (4 )   491   —  
  International Bond                                    
Citigroup Inc Brazilian Government International   (1.00 )% 12/20/2019   800   21     20     41   —  
  Bond                                    
Citigroup Inc ITRAXX.ASIA     (1.00 )% 06/20/2019   2,500   7     (31 )   —   (24 )
Citigroup Inc Russian Agricultural Bank OJSC   (1.00 )% 03/20/2019   5,000 $ 293     320     613   —  
  Via RSHB Capital SA                                    
Citigroup Inc Turkey Government International   (1.00 )% 06/20/2020   5,000   299     (40 )   259   —  
  Bond                                    
Goldman Sachs & Co Bondco I PLC     (1.00 )% 12/20/2019   10,000   13     (30 )   —   (17 )
HSBC Securities Inc Colombia Government     (1.00 )% 06/20/2020   20,000   581     (127 )   454   —  
  International Bond                                    
HSBC Securities Inc Indonesia Government     (1.00 )% 06/20/2020   15,000   369     104     473   —  
  International Bond                                    
HSBC Securities Inc ITRAXX.ASIA     (1.00 )% 06/20/2019   5,000   10     (58 )   —   (48 )
HSBC Securities Inc Penerbangan Malaysia Bhd   (1.00 )% 06/20/2020   30,000   560     (342 )   218   —  
HSBC Securities Inc Petroleos Mexicanos     (1.00 )% 06/20/2020   10,000   463     (73 )   390   —  
HSBC Securities Inc South Africa Government   (1.00 )% 06/20/2020   10,000   499     (8 )   491   —  
  International Bond                                    
HSBC Securities Inc Turkey Government International   (1.00 )% 06/20/2020   20,000   1,086     (50 )   1,036   —  
  Bond                                    
JP Morgan Chase Abu Dhabi Government     (1.00 )% 03/20/2020   15,000   (176 )   (111 )   —   (287 )
  International Bond                                    
JP Morgan Chase OTE PLC     (5.00 )% 06/20/2017 EUR 1,500   84     (59 )   25   —  
JP Morgan Chase Portugal Telecom International   (5.00 )% 06/20/2018   4,000   (100 )   (43 )   —   (143 )
  Finance BV                                    
JP Morgan Chase Turkey Government International   (1.00 )% 06/20/2020 $ 10,000   598     (80 )   518   —  
  Bond                                    
Merrill Lynch Brazilian Government International   (1.00 )% 12/20/2019   520   13     14     27   —  
  Bond                                    
Merrill Lynch Brazilian Government International   (1.00 )% 12/20/2019   395   12     8     20   —  
  Bond                                    
Merrill Lynch Brazilian Government International   (1.00 )% 12/20/2019   1,185   36     25     61   —  
  Bond                                    
Total               $   5,014   $ (804 ) $ 6,178 $ (1,968 )
 
 
Sell Protection                                      
    Implied                                  
  Credit Spread (Pay)/           Upfront     Unrealized            
  as of May 31,   Receive   Expiration Notional Amount   Premiums     Appreciation/     Fair Value (b)  
Counterparty (Issuer) Reference Entity 2015 (c) Fixed Rate   Date (a) Paid/(Received)              (Depreciation)     Asset Liability  
Barclays Bank PLC Penerbangan 1.15 % 1.00 % 06/20/2020 $ 10,000 $ (99 ) $ 27   $ — $   (72 )
  Malaysia BD                                    
Citigroup Inc Transocean Inc 5.41 % 1.00 % 12/20/2019   1,125   (128 )   (65 )   —   (193 )
Citigroup Inc Transocean Inc 5.41 % 1.00 % 12/20/2019   1,525   (238 )   (24 )   —   (262 )
Deutsche Bank AG Transocean Inc 5.41 % 1.00 % 12/20/2019   600   (75 )   (28 )   —   (103 )
Goldman Sachs & Co Republic of 2.08 % 1.00 % 12/20/2019   5,000   (137 )   (95 )   —   (232 )
  Kazakhstan                                    
Morgan Stanley & Co Transocean Inc 5.41 % 1.00 % 12/20/2019   460   (75 )   (4 )   —   (79 )
Total               $   (752 ) $ (189 ) $ — $   (941 )
 
 
Amounts in thousands                                      
 
 
 
 
See accompanying notes           65                          

 

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
 
 
Exchange Cleared Credit Default Swaps
 
Sell Protection                                    
  Implied                                  
              Credit Spread               (Pay)/             Upfront   Unrealized      
              as of May 31,             Receive   Expiration          Notional Amount         Premiums Appreciation/      
Reference Entity 2015 (c) Fixed Rate    Date   (a)          Paid/(Received)              (Depreciation)   Fair Value (b)  
CDX.HY.24 5Y N/A 5.00 % 06/20/2020 $        7,350 $ 496 $ 24 $ 520  
Total                     $   496 $ 24 $ 520  
 
Amounts in thousands                                    
 
(a) The maximum potential payment amount that the seller of credit protection could be required to make if a credit event occurs as defined under the terms of that  
particular swap agreement is $26,060.                                    
(b) The market price and resulting market value for credit default swap agreements on credit indices serve as an indicator of the current status of the    
payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit default swap as of the period end. Increasing market values, in  
absolute terms, when compared to the notional amount of the swap, 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.                        
(c) Implied credit spreads, represented in absolute terms, used in determining the market value of credit default swap agreements on corporate issues or sovereign  
issues 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.                            
 
 
 
Foreign Currency Contracts
                          Unrealized Appreciation/(Depreciation)  
Counterparty Delivery Date   Contracts to Accept In Exchange For   Fair Value       Asset   Liability  
Bank of America NA 06/19/2015   AUD 36,549,000 $   28,305 $ 27,915   $   20 $ (410 )
Bank of America NA 06/19/2015   CAD 54,753,000     44,014   44,020       239   (233 )
Bank of America NA 06/19/2015   CHF 86,187,000     91,061   91,770       1,239   (530 )
Bank of America NA 06/19/2015   EUR 36,489,000     39,816   40,083       512   (245 )
Bank of America NA 06/19/2015   GBP 80,939,000     123,712   123,683       1,230   (1,259 )
Bank of America NA 06/19/2015   JPY 7,674,813,000     63,339   61,856       —   (1,483 )
Bank of America NA 06/19/2015   MXN 40,914,000     2,671   2,654       2   (19 )
Bank of America NA 06/19/2015   NZD 25,256,000     19,187   17,886       —   (1,301 )
Bank of New York Mellon 06/12/2015   EUR 1,973,614     2,181   2,167       9   (23 )
Bank of New York Mellon 06/12/2015   JPY 72,525,616     605   584       —   (21 )
Bank of New York Mellon 06/17/2015   EUR 1,785,000     1,962   1,961       13   (14 )
Bank of New York Mellon 06/17/2015   GBP 2,600,000     3,833   3,973       143   (3 )
Bank of New York Mellon 12/30/2015   EUR 131,550     162   145       —   (17 )
Citigroup Inc 06/17/2015   AUD 16,059,500     12,728   12,267       —   (461 )
Citigroup Inc 06/17/2015   BRL 150,000     49   47       —   (2 )
Citigroup Inc 06/17/2015   CAD 5,271,500     4,350   4,238       —   (112 )
Citigroup Inc 06/17/2015   CHF 3,320,000     3,569   3,535       1   (35 )
Citigroup Inc 06/17/2015   CLP 25,000,000     41   40       —   (1 )
Citigroup Inc 06/17/2015   COP 150,000,000     63   59       —   (4 )
Citigroup Inc 06/17/2015   CZK 13,000,000     519   520       6   (5 )
Citigroup Inc 06/17/2015   EUR 6,864,500     7,713   7,540       5   (178 )
Citigroup Inc 06/17/2015   GBP 7,293,500     11,314   11,146       33   (201 )
Citigroup Inc 06/17/2015   HKD 2,800,000     361   361       —   —  
Citigroup Inc 06/17/2015   ILS 600,000     155   155       —   —  
Citigroup Inc 06/17/2015   INR 3,500,000     55   55       —   —  
Citigroup Inc 06/17/2015   JPY 473,444,589     3,829   3,816       —   (13 )
Citigroup Inc 06/17/2015   KRW 1,057,633,853     970   951       —   (19 )
Citigroup Inc 06/17/2015   MXN 20,500,000     1,343   1,330       —   (13 )
Citigroup Inc 06/17/2015   MYR 2,650,000     738   724       —   (14 )
Citigroup Inc 06/17/2015   NOK 26,956,500     3,556   3,468       2   (90 )
Citigroup Inc 06/17/2015   NZD 908,000     692   643       —   (49 )
Citigroup Inc 06/17/2015   PHP 1,000,000     22   22       —   —  
Citigroup Inc 06/17/2015   PLN 2,650,000     727   708       —   (19 )
Citigroup Inc 06/17/2015   SEK 42,106,000     5,077   4,941       —   (136 )
Citigroup Inc 06/17/2015   SGD 1,930,000     1,444   1,432       1   (13 )
Citigroup Inc 06/17/2015   TRY 8,900,000     3,339   3,330       31   (40 )
Citigroup Inc 06/17/2015   TWD 6,500,000     211   212       1   —  
Citigroup Inc 06/17/2015   ZAR 5,450,000     459   448       —   (11 )
Citigroup Inc 09/16/2015   AUD 2,249,899     1,716   1,710       —   (6 )
Citigroup Inc 09/16/2015   CAD 6,233,811     4,982   5,006       24   —  
Citigroup Inc 09/16/2015   CHF     5,500     6   6       —   —  
Citigroup Inc 09/16/2015   EUR 1,197,500     1,314   1,317       3   —  
Citigroup Inc 09/16/2015   GBP 892,500     1,373   1,363       —   (10 )
See accompanying notes           66                        

 

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
Foreign Currency Contracts (continued)
                  Unrealized Appreciation/(Depreciation)  
Counterparty Delivery Date Contracts to Accept   In Exchange For   Fair Value   Asset   Liability  
Citigroup Inc 09/16/2015 IDR 500,000,000 $ 37 $ 37 $ — $ —  
Citigroup Inc 09/16/2015 INR 18,500,000   284   285   1   —  
Citigroup Inc 09/16/2015 JPY 4,821,500   39   39   —   —  
Citigroup Inc 09/16/2015 KRW 397,514,489   358   356   —   (2 )
Citigroup Inc 09/16/2015 SEK 439,000   52   52   —   —  
Citigroup Inc 09/16/2015 SGD 987,866   731   731   —   —  
Citigroup Inc 09/16/2015 TRY 2,100,000   767   766   —   (1 )
Citigroup Inc 09/16/2015 TWD 8,443,170   276   275   —   (1 )
Citigroup Inc 09/16/2015 ZAR 950,000   77   77   —   —  
Credit Suisse 06/17/2015 AUD 26,404,500   20,700   20,169   16   (547 )
Credit Suisse 06/17/2015 BRL 13,050,001   4,049   4,074   44   (19 )
Credit Suisse 06/17/2015 CAD 27,234,979   22,026   21,896   94   (224 )
Credit Suisse 06/17/2015 CHF 7,090,000   7,394   7,549   190   (35 )
Credit Suisse 06/17/2015 COP 150,000,000   63   59   —   (4 )
Credit Suisse 06/17/2015 CZK 74,300,000   2,933   2,977   49   (5 )
Credit Suisse 06/17/2015 CLP 272,232,000   441   440   1   (2 )
Credit Suisse 06/17/2015 DKK 1,954,000   282   288   6   —  
Credit Suisse 06/17/2015 EUR 18,512,000   20,347   20,335   215   (227 )
Credit Suisse 06/17/2015 GBP 11,776,500   17,993   17,996   204   (201 )
Credit Suisse 06/17/2015 HKD 31,904,000   4,114   4,115   1   —  
Credit Suisse 06/17/2015 HUF 524,999,998   1,889   1,865   10   (34 )
Credit Suisse 06/17/2015 IDR 9,348,409,215   707   707   1   (1 )
Credit Suisse 06/17/2015 ILS 3,200,000   815   828   13   —  
Credit Suisse 06/17/2015 INR 270,000,000   4,253   4,220   —   (33 )
Credit Suisse 06/17/2015 JPY 4,227,023,378   35,019   34,067   —   (952 )
Credit Suisse 06/17/2015 KRW 19,215,000,001   17,335   17,286   72   (121 )
Credit Suisse 06/17/2015 MXN 330,225,441   21,557   21,423   19   (153 )
Credit Suisse 06/17/2015 MYR 5,251,000   1,446   1,434   3   (15 )
Credit Suisse 06/17/2015 NOK 86,047,500   10,989   11,070   175   (94 )
Credit Suisse 06/17/2015 NZD 43,899,997   32,535   31,095   —   (1,440 )
Credit Suisse 06/17/2015 PEN 66,000   21   21   —   —  
Credit Suisse 06/17/2015 PHP 90,000,000   2,031   2,019   1   (13 )
Credit Suisse 06/17/2015 PLN 20,386,000   5,425   5,446   46   (25 )
Credit Suisse 06/17/2015 SEK 128,574,000   15,308   15,087   42   (263 )
Credit Suisse 06/17/2015 SGD 18,450,000   13,477   13,684   221   (14 )
Credit Suisse 06/17/2015 THB 5,152,000   157   153   —   (4 )
Credit Suisse 06/17/2015 TRY 37,830,000   14,177   14,152   90   (115 )
Credit Suisse 06/17/2015 TWD 185,473,000   5,937   6,034   97   —  
Credit Suisse 06/17/2015 ZAR 70,750,001   5,863   5,814   19   (68 )
Credit Suisse 06/29/2015 CAD 7,095,712   5,765   5,704   —   (61 )
Credit Suisse 09/16/2015 AUD 2,249,900   1,716   1,710   —   (6 )
Credit Suisse 09/16/2015 CAD 6,355,401   5,079   5,103   24   —  
Credit Suisse 09/16/2015 CHF 5,500   6   6   —   —  
Credit Suisse 09/16/2015 EUR 1,197,500   1,314   1,317   3   —  
Credit Suisse 09/16/2015 GBP 892,500   1,373   1,363   —   (10 )
Credit Suisse 09/16/2015 IDR 500,000,000   37   37   —   —  
Credit Suisse 09/16/2015 INR 18,500,000   284   285   1   —  
Credit Suisse 09/16/2015 JPY 24,576,779   198   198   —   —  
Credit Suisse 09/16/2015 KRW 397,514,490   358   356   —   (2 )
Credit Suisse 09/16/2015 SEK 439,000   52   52   —   —  
Credit Suisse 09/16/2015 SGD 987,865   731   731   —   —  
Credit Suisse 09/16/2015 TRY 2,100,000   767   766   —   (1 )
Credit Suisse 09/16/2015 TWD 8,443,169   276   275   —   (1 )
Credit Suisse 09/16/2015 ZAR 950,000   77   77   —   —  
Credit Suisse 04/05/2016 EUR 1,500   2   2   —   —  
Credit Suisse 04/05/2017 EUR 1,500   2   2   —   —  
Merrill Lynch 06/29/2015 HUF 2,385,000,000   8,554   8,473   —   (81 )
Royal Bank of Scotland PLC 06/09/2015 EUR 31,222   40   34   —   (6 )
Total               $ 5,172 $ (11,771 )
                  Unrealized Appreciation/(Depreciation)  
Counterparty Delivery Date Contracts to Deliver   In Exchange For   Fair Value   Asset   Liability  
Bank of America NA 06/17/2015 JPY 492,448,000 $ 4,002 $ 3,969 $ 33 $ —  
Bank of America NA 06/19/2015 AUD 82,404,000   63,376   62,938   488   (50 )
Bank of America NA 06/19/2015 CAD 100,492,000   80,700   80,793   841   (934 )
Bank of America NA 06/19/2015 CHF 52,230,000   52,819   55,614   31   (2,826 )
Bank of America NA 06/19/2015 EUR 33,002,000   36,191   36,252   295   (356 )
Bank of America NA 06/19/2015 GBP 78,688,000   118,159   120,243   93   (2,177 )
Bank of America NA 06/19/2015 JPY 10,949,477,000   90,825   88,248   2,577   —  
Bank of America NA 06/19/2015 MXN 311,750,000   20,186   20,221   61   (96 )
Bank of America NA 06/19/2015 NZD 51,368,000   38,094   36,378   1,716   —  
Bank of New York Mellon 06/12/2015 EUR 68,814,441   74,931   75,586   78   (733 )
Bank of New York Mellon 06/12/2015 GBP 9,457,264   14,403   14,453   44   (94 )

 

See accompanying notes

67

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
Foreign Currency Contracts (continued)
                  Unrealized Appreciation/(Depreciation)  
Counterparty Delivery Date Contracts to Deliver   In Exchange For   Fair Value   Asset   Liability  
Bank of New York Mellon 06/12/2015 JPY 226,155,822 $ 1,897 $ 1,822 $ 75 $ —  
Bank of New York Mellon 06/17/2015 CHF 5,500,000   5,519   5,856   —   (337 )
Bank of New York Mellon 06/17/2015 EUR 27,455,000   29,331   30,158   37   (864 )
Bank of New York Mellon 06/17/2015 GBP 2,500,000   3,741   3,820   —   (79 )
Bank of New York Mellon 12/30/2015 EUR 131,550   162   145   17   —  
Citigroup Inc 06/17/2015 AUD 3,309,216   2,571   2,528   43   —  
Citigroup Inc 06/17/2015 BRL 600,000   197   187   10   —  
Citigroup Inc 06/17/2015 CAD 4,608,964   3,712   3,706   20   (14 )
Citigroup Inc 06/17/2015 CHF 1,567,500   1,647   1,669   2   (24 )
Citigroup Inc 06/17/2015 CZK 9,000,000   370   361   9   —  
Citigroup Inc 06/17/2015 EUR 4,817,000   5,347   5,291   79   (23 )
Citigroup Inc 06/17/2015 GBP 2,959,000   4,487   4,521   5   (39 )
Citigroup Inc 06/17/2015 HUF 285,000,000   1,042   1,012   30   —  
Citigroup Inc 06/17/2015 ILS 1,150,000   297   297   —   —  
Citigroup Inc 06/17/2015 INR 128,000,000   1,995   2,000   2   (7 )
Citigroup Inc 06/17/2015 JPY 2,074,003,500   17,345   16,715   630   —  
Citigroup Inc 06/17/2015 KRW 2,480,000,000   2,269   2,231   38   —  
Citigroup Inc 06/17/2015 MXN 19,953,996   1,299   1,295   6   (2 )
Citigroup Inc 06/17/2015 MYR 1,050,000   289   287   2   —  
Citigroup Inc 06/17/2015 NOK 3,677,500   488   473   15   —  
Citigroup Inc 06/17/2015 NZD 11,993,500   8,862   8,495   367   —  
Citigroup Inc 06/17/2015 PHP 19,000,000   424   426   —   (2 )
Citigroup Inc 06/17/2015 PLN 1,600,000   438   427   11   —  
Citigroup Inc 06/17/2015 SEK 10,259,000   1,190   1,203   5   (18 )
Citigroup Inc 06/17/2015 SGD 609,131   452   452   —   —  
Citigroup Inc 06/17/2015 TRY 200,000   74   75   —   (1 )
Citigroup Inc 06/17/2015 TWD 691,646   23   23   —   —  
Citigroup Inc 06/17/2015 ZAR 12,450,000   1,026   1,023   7   (4 )
Citigroup Inc 06/19/2015 COP 3,330,000,000   1,396   1,314   82   —  
Citigroup Inc 06/22/2015 NZD 1,310,000   964   927   37   —  
Citigroup Inc 06/30/2015 EUR 33,840,000   36,936   37,177   —   (241 )
Citigroup Inc 09/16/2015 AUD 596,000   454   453   1   —  
Citigroup Inc 09/16/2015 BRL 750,000   228   227   1   —  
Citigroup Inc 09/16/2015 CAD 1,127,000   903   905   —   (2 )
Citigroup Inc 09/16/2015 CZK 4,500,000   180   181   —   (1 )
Citigroup Inc 09/16/2015 EUR 2,122,500   2,315   2,335   —   (20 )
Citigroup Inc 09/16/2015 GBP 425,500   651   650   1   —  
Citigroup Inc 09/16/2015 HUF 65,000,000   229   231   —   (2 )
Citigroup Inc 09/16/2015 IDR 490,384,607   36   36   —   —  
Citigroup Inc 09/16/2015 ILS 100,000   26   26   —   —  
Citigroup Inc 09/16/2015 JPY 300,573,648   2,435   2,426   9   —  
Citigroup Inc 09/16/2015 KRW 35,000,000   31   31   —   —  
Citigroup Inc 09/16/2015 NOK 18,263,500   2,348   2,344   5   (1 )
Citigroup Inc 09/16/2015 NZD 2,855,000   2,042   2,005   37   —  
Citigroup Inc 09/16/2015 PHP 7,000,000   156   157   —   (1 )
Citigroup Inc 09/16/2015 PLN 2,000,000   527   533   —   (6 )
Citigroup Inc 09/16/2015 SEK 897,500   107   106   1   —  
Citigroup Inc 09/16/2015 SGD 300,000   222   222   —   —  
Citigroup Inc 09/16/2015 TWD 6,500,000   213   212   1   —  
Citigroup Inc 09/17/2015 MXN 115,904,221   7,490   7,470   20   —  
Citigroup Inc 09/17/2015 MYR 500,000   136   136   —   —  
Credit Suisse 06/08/2015 MXN 10,950,000   705   711   —   (6 )
Credit Suisse 06/09/2015 MXN 95,861,000   6,235   6,222   13   —  
Credit Suisse 06/17/2015 AUD 12,199,583   9,356   9,319   55   (18 )
Credit Suisse 06/17/2015 BRL 10,300,000   3,168   3,216   30   (78 )
Credit Suisse 06/17/2015 CAD 25,618,488   20,504   20,597   26   (119 )
Credit Suisse 06/17/2015 CHF 14,623,500   15,118   15,569   2   (453 )
Credit Suisse 06/17/2015 CLP 1,344,232,000   2,138   2,173   —   (35 )
Credit Suisse 06/17/2015 COP 610,000,000   234   240   —   (6 )
Credit Suisse 06/17/2015 CZK 40,000,000   1,596   1,603   9   (16 )
Credit Suisse 06/17/2015 DKK 4,474,000   670   659   11   —  
Credit Suisse 06/17/2015 EUR 48,962,901   53,975   53,784   750   (559 )
Credit Suisse 06/17/2015 GBP 16,728,998   25,248   25,565   34   (351 )
Credit Suisse 06/17/2015 HKD 34,798,000   4,483   4,488   —   (5 )
Credit Suisse 06/17/2015 HUF 345,000,000   1,253   1,225   30   (2 )
Credit Suisse 06/17/2015 IDR 16,167,640,000   1,208   1,221   —   (13 )
Credit Suisse 06/17/2015 ILS 18,030,000   4,534   4,661   —   (127 )
Credit Suisse 06/17/2015 INR 128,000,000   1,995   2,000   2   (7 )
Credit Suisse 06/17/2015 JPY 4,534,866,000   37,929   36,548   1,381   —  
Credit Suisse 06/17/2015 KRW 14,287,662,832   12,809   12,853   53   (97 )
Credit Suisse 06/17/2015 MXN 376,563,002   24,596   24,429   260   (93 )
Credit Suisse 06/17/2015 MYR 5,971,000   1,615   1,631   2   (18 )
Credit Suisse 06/17/2015 NOK 195,008,497   24,666   25,088   85   (507 )

 

See accompanying notes

68

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
Foreign Currency Contracts (continued)
                  Unrealized Appreciation/(Depreciation)  
Counterparty Delivery Date Contracts to Deliver   In Exchange For   Fair Value   Asset   Liability  
Credit Suisse 06/17/2015 NZD 22,935,500 $ 16,909 $ 16,246 $ 663 $ —  
Credit Suisse 06/17/2015 PEN 66,000   21   21   —   —  
Credit Suisse 06/17/2015 PHP 77,000,000   1,716   1,728   —   (12 )
Credit Suisse 06/17/2015 PLN 3,225,999   871   862   11   (2 )
Credit Suisse 06/17/2015 SEK 173,281,003   20,406   20,333   179   (106 )
Credit Suisse 06/17/2015 SGD 15,486,600   11,253   11,486   —   (233 )
Credit Suisse 06/17/2015 THB 5,152,000   155   153   2   —  
Credit Suisse 06/17/2015 TRY 19,400,000   7,425   7,258   185   (18 )
Credit Suisse 06/17/2015 TWD 66,267,696   2,123   2,156   4   (37 )
Credit Suisse 06/17/2015 ZAR 31,550,000   2,592   2,592   12   (12 )
Credit Suisse 06/26/2015 EUR 3,436,000   3,827   3,775   52   —  
Credit Suisse 06/26/2015 MXN 1,060,200   70   69   1   —  
Credit Suisse 06/26/2015 ZAR 82,800,000   6,930   6,795   135   —  
Credit Suisse 06/29/2015 AUD 7,400,000   5,766   5,649   117   —  
Credit Suisse 09/16/2015 AUD 596,000   454   453   1   —  
Credit Suisse 09/16/2015 BRL 750,000   228   227   1   —  
Credit Suisse 09/16/2015 CAD 1,163,785   933   935   —   (2 )
Credit Suisse 09/16/2015 CHF 247,000   261   264   —   (3 )
Credit Suisse 09/16/2015 CZK 4,500,000   180   181   —   (1 )
Credit Suisse 09/16/2015 DKK 2,551,000   373   377   —   (4 )
Credit Suisse 09/16/2015 EUR 2,355,666   2,568   2,591   —   (23 )
Credit Suisse 09/16/2015 GBP 512,500   785   783   2   —  
Credit Suisse 09/16/2015 HUF 65,000,000   229   231   —   (2 )
Credit Suisse 09/16/2015 IDR 490,384,608   36   36   —   —  
Credit Suisse 09/16/2015 ILS 100,000   26   26   —   —  
Credit Suisse 09/16/2015 JPY 300,573,649   2,435   2,426   9   —  
Credit Suisse 09/16/2015 KRW 35,000,000   31   31   —   —  
Credit Suisse 09/16/2015 NOK 23,636,500   3,037   3,034   5   (2 )
Credit Suisse 09/16/2015 NZD 2,855,000   2,043   2,005   38   —  
Credit Suisse 09/16/2015 PHP 7,000,000   156   157   —   (1 )
Credit Suisse 09/16/2015 PLN 2,000,000   527   533   —   (6 )
Credit Suisse 09/16/2015 SEK 2,241,500   265   264   1   —  
Credit Suisse 09/16/2015 SGD 300,000   222   222   —   —  
Credit Suisse 09/16/2015 TWD 6,500,000   213   212   1   —  
Credit Suisse 09/16/2015 ZAR 200,000   16   16   —   —  
Credit Suisse 09/17/2015 MXN 115,904,224   7,490   7,470   20   —  
Credit Suisse 09/17/2015 MYR 500,000   136   136   —   —  
Deutsche Bank AG 06/18/2015 EUR 1,700,000   1,938   1,867   71   —  
Deutsche Bank AG 06/26/2015 JPY 1,150,000,000   9,462   9,270   192   —  
HSBC Securities Inc 06/30/2015 JPY 13,024,880,000   105,818   104,997   821   —  
Merrill Lynch 06/05/2015 BRL 3,500,000   1,149   1,097   52   —  
Merrill Lynch 06/29/2015 EUR 8,000,000   8,830   8,789   41   —  
Merrill Lynch 06/29/2015 JPY 284,000,000   2,310   2,289   21   —  
National Australia Bank 06/30/2015 JPY 475,000,000   3,964   3,829   135   —  
Royal Bank of Scotland PLC 06/09/2015 EUR 22,000   28   24   4   —  
Royal Bank of Scotland PLC 11/09/2015 EUR 9,222   12   10   2   —  
Royal Bank of Scotland PLC 04/05/2016 EUR 1,500   2   2   —   —  
Royal Bank of Scotland PLC 04/05/2017 EUR 1,500   2   2   —   —  
Total             $   13,383 $ (11,928 )
 
Amounts in thousands except contracts                        

 

See accompanying notes

69

 

    Schedule of Investments            
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
Futures Contracts
                  Unrealized  
Type Long/Short Contracts   Notional Value   Fair Value   Appreciation/(Depreciation)  
3 Month Euro Swiss; December 2015 Long 3 $ 805 $   805 $ —  
3 Month Euro Swiss; March 2016 Long 2   537     537   —  
3 Month Euro Swiss; September 2015 Long 3   805     805   —  
90 Day Eurodollar; December 2015 Long 54   13,420     13,424   4  
90 Day Eurodollar; December 2016 Long 48   11,830     11,837   7  
90 Day Eurodollar; December 2016 Short 223   54,977     54,992   (15 )
90 Day Eurodollar; December 2017 Short 437   107,192     107,147   45  
90 Day Eurodollar; June 2016 Long 57   14,105     14,115   10  
90 Day Eurodollar; March 2016 Long 56   13,889     13,896   7  
90 Day Eurodollar; March 2017 Long 43   10,577     10,587   10  
90 Day Eurodollar; September 2015 Long 47   11,701     11,703   2  
90 Day Eurodollar; September 2016 Long 52   12,841     12,849   8  
90 Day Eurodollar; September 2016 Long 2,628   649,326     649,379   53  
90 Day Short Sterling; December 2015 Long 231   43,787     43,832   45  
90 Day Short Sterling; December 2016 Short 356   67,272     67,204   68  
90 Day Short Sterling; December 2016 Long 53   10,000     10,005   5  
90 Day Short Sterling; June 2016 Long 77   14,567     14,577   10  
90 Day Short Sterling; March 2016 Long 202   38,254     38,291   37  
90 Day Short Sterling; March 2017 Long 45   8,482     8,485   3  
90 Day Short Sterling; September 2015 Long 202   38,339     38,353   14  
90 Day Short Sterling; September 2016 Long 64   12,090     12,099   9  
90 Day Short Sterling; September 2016 Long 442   83,538     83,557   19  
AEX Index; June 2015 Long 41   4,418     4,445   27  
Australia 10 Year Bond; June 2015 Short 279   27,834     27,410   424  
Australia 10 Year Bond; June 2015 Short 280   27,018     27,508   (490 )
Australia 3 Year Bond; June 2015 Short 9   765     770   (5 )
BIST 30 Index; June 2015 Long 45   179     171   (8 )
CAC40 Index; June 2015 Long 170   9,258     9,307   49  
CAC40 Index; June 2015 Long 46   2,521     2,518   (3 )
Canadian Bank Acceptance; December 2015 Short 53   10,554     10,559   (5 )
Canadian Bank Acceptance; March 2016 Short 6   1,195     1,195   —  
Canadian Bank Acceptance; September 2015 Short 86   17,100     17,129   (29 )
DAX Index; June 2015 Long 30   9,978     9,402   (576 )
DAX Index; June 2015 Long 8   2,544     2,507   (37 )
DJ Euro Stoxx 50; June 2015 Short 465   18,526     18,191   335  
DJ Euro Stoxx 50; June 2015 Long 260   10,399     10,172   (227 )
DJ Euro Stoxx 50; June 2015 Long 69   2,808     2,699   (109 )
Dollar Index; June 2015 Short 20   1,924     1,940   (16 )
E-Mini DJIA Index; June 2015 Long 23   2,068     2,071   3  
E-Mini DJIA Index; June 2015 Long 219   19,903     19,720   (183 )
eMini MSCI Emerging Markets; June 2015 Long 5   262     249   (13 )
Euribor; December 2015 Short 40   10,982     10,981   1  
Euribor; December 2016 Long 16   4,392     4,390   (2 )
Euribor; June 2016 Long 14   3,844     3,843   (1 )
Euribor; March 2016 Short 117   32,122     32,119   3  
Euribor; March 2017 Long 17   4,666     4,663   (3 )
Euribor; September 2015 Long 28   7,689     7,688   (1 )
Euribor; September 2016 Long 1,249   342,910     342,806   (104 )
Euribor; September 2016 Long 17   4,668     4,666   (2 )
Euro Bund 10 Year Bund; June 2015 Long 81   13,634     13,827   193  
Euro-Bobl 5 Year; June 2015 Long 612   86,751     86,608   (143 )
FTSE KLCI Index; June 2015 Short 43   1,034     1,020   14  
FTSE/JSE Top 40; June 2015 Short 72   2,775     2,755   20  
FTSE/MIB Index; June 2015 Short 20   2,464     2,583   (119 )
FTSE100 Index; June 2015 Long 72   7,626     7,664   38  
FTSE100 Index; June 2015 Short 130   13,540     13,838   (298 )
FTSE100 Index; June 2015 Long 178   18,935     18,947   12  
Hang Seng Index; June 2015 Long 8   1,453     1,401   (52 )
Hang Seng Index; June 2015 Long 158   28,695     27,677   (1,018 )
HSCEI China Index; June 2015 Long 19   1,814     1,700   (114 )

 

See accompanying notes

70

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
Futures Contracts (continued)
                              Unrealized  
Type     Long/Short   Contracts   Notional Value   Fair Value Appreciation/(Depreciation)  
IBEX 35 Index; June 2015   Short   16   $ 2,005 $   1,963 $       42  
Japan 10 Year Bond TSE; June 2015   Short   51     60,540     60,663         (123 )
Japan Topix Index; June 2015   Short   550     68,320     74,048     (5,728 )
Japan Topix Index; June 2015   Long   33     4,220     4,443         223  
Japan Topix Index; June 2015   Long   231     29,255     31,100     1,845  
Japan Topix Index; June 2015   Long   142     17,582     19,118     1,536  
KOSPI 200 Index; June 2015   Short   11     1,289     1,296         (7 )
Mex Bolsa Index; June 2015   Short   18         511     522         (11 )
Mini Japan 10 Year Bond; June 2015   Short   351     41,626     41,747         (121 )
Mini Japan 10 Year Bond; June 2015   Short   13     1,543     1,546         (3 )
MSCI Singapore Index; June 2015   Long   21     1,211     1,176         (35 )
MSCI Taiwan Index; June 2015   Short   22         791     793         (2 )
Nasdaq 100 E-Mini; June 2015   Long   268     24,181     24,179         (2 )
Nasdaq 100 E-Mini; June 2015   Long   23     2,038     2,075         37  
Nikkei 225; June 2015     Long   345     27,085     28,589     1,504  
Russell 2000 Mini; June 2015   Short   965     120,043     120,075         (32 )
Russell 2000 Mini; June 2015   Long   199     24,814     24,762         (52 )
Russell 2000 Mini; June 2015   Short   130     16,241     16,176         65  
S&P 500 Emini; June 2015   Short   145     15,028     15,268         (240 )
S&P 500 Emini; June 2015   Short   640     65,758     67,392     (1,634 )
S&P 500 Emini; June 2015   Short   290     29,991     30,537         (546 )
S&P 500 Emini; June 2015   Short   71     7,529     7,476         53  
S&P 500 Emini; June 2015   Long   231     24,410     24,324         (86 )
S&P Mid 400 Emini; June 2015   Short   390     59,208     59,405         (197 )
S&P Mid 400 Emini; June 2015   Long   14     2,118     2,133         15  
S&P/TSX 60 Index; June 2015   Long   8     1,141     1,124         (17 )
SET50 Index; June 2015     Short   179     1,060     1,041         19  
SGX CNX Nifty Index; June 2015   Short   3         50     51         (1 )
SPI 200 Index; June 2015     Short   61     6,708     6,737         (29 )
UK 10 Year Gilt; September 2015   Short   308     55,115     55,454         (339 )
US 10 Year Note; September 2015   Long   37     4,686     4,724         38  
US 5 Year Note; June 2015   Short   240     28,535     28,862         (327 )
US 5 Year Note; September 2015   Long   637     76,045     76,266         221  
US Long Bond; June 2015   Short   170     27,029     26,722         307  
US Long Bond; September 2015   Short   101     15,403     15,718         (315 )
Total                         $     (6,040 )
Amounts in thousands except contracts                                    
 
Interest Rate Swaps
    (Pay)/                                  
    Receive               Upfront                  
    Floating Fixed   Expiration   Notional     Premiums   Unrealized     Fair Value  
Counterparty (Issuer) Floating Rate Index Rate Rate   Date   Amount Paid/(Received)                   Appreciation/(Depreciation)       Asset       Liability  
Bank of America NA 3 Month JIBAR Receive 7.95 % 05/08/2025 ZAR 12,600$   —   $ 15   $ 15 $ —  
Barclays Bank PLC 3 Month JIBAR Receive 7.95 % 05/05/2025   94,000   —     105     105   —  
JP Morgan Chase 3 Month JIBAR Receive 7.72 % 04/17/2025   18,020   —     43     43   —  
Total               $   —   $ 163   $ 163 $ —  
 
Amounts in thousands                                      
 
Exchange Cleared Interest Rate Swaps
    (Pay)/                                  
    Receive               Upfront                  
    Floating Fixed   Expiration   Notional     Premiums   Unrealized            
  Floating Rate Index Rate Rate   Date   Amount Paid/(Received)                       Appreciation/(Depreciation) Fair Value  
  3 Month LIBOR Receive 2.81 % 05/05/2025 $ 12,740 $ —   $ (6 ) $     (6 )
Total               $   —   $ (6 ) $     (6 )
 
Amounts in thousands                                      

 

See accompanying notes

71

 

        Schedule of Investments                      
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
Interest Rate Swaptions
        Pay/                          
        Receive          Upfront          
Purchased Swaptions     Floating Rate  Floating    Exercise      Expiration    Notional         Premiums   Fair    Unrealized  
Outstanding Counterparty (Issuer) Index Rate Rate Date   Amount                  Paid(Received)         Value     Appreciation/(Depreciation)   
Call - 1 Year Interest                             Merrill Lynch   MXN TIIE Pay 4.20% 10/02/2015        MXN 495,000    98 $ 92 $ (6 )
Rate Swap     Banxico                            
Call - 1 Year Interest                              Merrill Lynch   MXN TIIE Pay 4.26%  10/24/2015   279,000   78   54   (24 )
Rate Swap     Banxico                            
Put - 10 Year Interest                               Deutsche Bank AG   3 Month Receive 2.40%  11/06/2015   12,400   277   205   (72 )
Rate Swap     LIBOR                            
Put - 10 Year Interest Deutsche Bank AG   3 Month Receive 2.39%  07/23/2015   27,300   334   162   (172 )
Rate Swap     LIBOR                            
Total                 $   787 $ 513 $ (274 )
 
        Pay/                          
        Receive          Upfront          
Written Swaptions     Floating Rate            Floating              Exercise                Expiration Notional Premiums                        Fair    Unrealized  
Outstanding Counterparty (Issuer) Index Rate Rate   Date                                Amount           Paid/(Received)       Value     Appreciation/(Depreciation)   
Call - 1 Year Interest Merrill Lynch   MXN TIIE Receive 3.73%                               10/02/2015                 MXN 495,000$   (33 ) $ (24 ) $ 9  
Rate Swap     Banxico                            
Total                 $   (33 ) $ (24 ) $ 9  
 
Amounts in thousands                                  
 
 
Options
                Upfront Premiums             Unrealized  
Purchased Options Outstanding Exercise Price     Expiration Date Contracts   Paid/(Received)   Fair Value   Appreciation/(Depreciation)  
Call - American Airlines Group Inc $ 52.50 06/22/2015   987 $   213 $   2   $   (211 )
Call - Applied Materials Inc $ 22.00 06/22/2015   512     62     2       (60 )
Call - Consumer Discretionary Select $ 77.00 06/22/2015   922     141     52       (89 )
Sector SPDR Fund                                  
Call - Delta Air Lines Inc $ 45.00 07/20/2015   513     60     67       7  
Call - DISH Network Corp $ 70.00 06/22/2015   220     58     44       (14 )
Call - eBay Inc   $ 50.00 01/18/2016   1,015     956     1,272       316  
Call - Euro Stoxx 50 Index EUR 3,850.00 09/21/2015   45     44     22       (22 )
Call - iShares Russell 2000 ETF $ 124.50 06/08/2015   1,712     112     128       16  
Call - Kraft Foods Group Inc $ 67.50 06/22/2015   316     54     537       483  
Call - S&P 500 Index   $ 2,150.00 06/22/2015   716     1,194     456       (738 )
Call - United Continental Holdings Inc $ 55.00 07/20/2015   515     107     149       42  
Call - USD versus KRW $ 1,113.00 11/27/2015   20,100,000     540     563       23  
Call - Vale SA   $ 8.00 09/21/2015   1,223     85     28       (57 )
Put - Charter Communications Inc $ 210.00 03/21/2016   38     153     131       (22 )
Put - Freeport-McMoRan Inc $ 25.00 08/24/2015   1,178     127     18       (109 )
Put - iShares Russell 2000 ETF $ 113.00 07/01/2015   925     386     24       (362 )
Put - iShares US Real Estate ETF $ 75.00 06/22/2015   1,397     164     142       (22 )
Put - S&P 500 Index   $ 2,080.00 06/08/2015   415     256     271       15  
Put - S&P 500 Index   $ 1,975.00 06/22/2015   780     2,732     255       (2,477 )
Put - S&P 500 Index   $ 1,850.00 09/21/2015   865     5,944     1,249       (4,695 )
Put - S&P 500 Index   $ 2,050.00 06/22/2015   244     387     241       (146 )
Put - S&P 500 Index   $ 2,075.00 06/22/2015   103     129     151       22  
Put - SPDR S&P 500 ETF Trust $ 195.00 06/22/2015   776     438     21       (417 )
Put - USD versus INR   $ 61.50 09/01/2015   12,960,000     120     9       (111 )
Put - USD versus INR   $ 61.50 07/27/2015   7,280,000     97     2       (95 )
Total             $ 14,559 $   5,836   $   (8,723 )
 
                Upfront Premiums             Unrealized  
Written Options Outstanding Exercise Price     Expiration Date Contracts   Paid/(Received)     Fair Value                              Appreciation/(Depreciation)  
Call - Canadian Natural Resources Ltd $ 32.00 06/22/2015   146 $   (4 ) $   (5 ) $ (1 )
Call - Charter Communications Inc $ 210.00 03/21/2016   38     (10 )   (15 ) (5 )
Call - Cisco Systems Inc $ 30.00 06/22/2015   396     (7 )   (5 ) 2  
Call - Halliburton Co   $ 48.50 06/08/2015   106     (4 )   —       4  
Call - Home Depot Inc/The $ 115.00 06/22/2015   99     (6 )   (4 ) 2  
Call - Kinder Morgan Inc/DE $ 42.00 06/08/2015   280     (6 )   (4 ) 2  
Call - Lowe's Cos Inc   $ 72.50 06/22/2015   154     (7 )   (3 ) 4  
Call - Orbitz Worldwide Inc $ 12.00 08/24/2015   95     (1 )   (4 ) (3 )
Call - Perrigo Co PLC   $ 190.00 08/24/2015   4     (7 )   (3 ) 4  
Call - Perrigo Co PLC   $ 190.00 07/20/2015   4     (6 )   (2 ) 4  
Call - Perrigo Co PLC   $ 175.00 08/24/2015   2     (4 )   (4 ) —  
Call - Perrigo Co PLC   $ 175.00 06/22/2015   2     (3 )   (3 ) —  
Call - Perrigo Co PLC   $ 180.00 06/22/2015   2     (3 )   (3 ) —  
Call - Perrigo Co PLC   $ 185.00 06/22/2015   2     (2 )   (1 ) 1  
Call - Perrigo Co PLC   $ 185.00 08/24/2015   2     (3 )   (2 ) 1  
Call - Perrigo Co PLC   $ 180.00 08/24/2015   2     (3 )   (2 ) 1  

 

See accompanying notes

72

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
Options (continued)
                Upfront Premiums                  Unrealized  
Written Options Outstanding   Exercise Price          Expiration Date Contracts Paid/(Received)     Fair Value   Appreciation/(Depreciation)  
Call - Pioneer Natural Resources Co $ 157.50 06/08/2015 27 $ (1 ) $     (1 ) $             —  
Call - USD versus KRW   $ 1,150.00 11/27/2015 20,100,000   (320 )       (336 )               (16 )
Put - iShares Russell 2000 ETF $ 102.00 07/01/2015 925   (175 )       (2 )               173  
Put - S&P 500 Index     $ 1,675.00 09/21/2015 865   (3,256 )       (471 )           2,785  
Put - S&P 500 Index     $ 1,825.00 06/22/2015 780   (1,246 )       (34 )           1,212  
Put - SPDR S&P 500 ETF Trust $ 180.00 06/22/2015 776   (225 )       (4 )               221  
Total               $ (5,299 ) $     (908 ) $         4,391  
 
Amounts in thousands except contracts                                          
 
 
Synthetic Futures
                        Unrealized         Fair Value  
Counterparty (Issuer)   Reference Entity       Expiration Date Notional Value                                                             Appreciation/(Depreciation) Asset     Liability   
Bank of America NA   Canada 10 Year Bond Future; September 2015 09/30/2015 $ (6,329 ) $         (72 )   $   — $   (6,345 )
Bank of America NA   Euro Bund 10 Year Bund Future; June 2015 06/10/2015   3,289             45         3,244   —  
Bank of America NA   Euro Buxl 30 Year Bond Future; June 2015 06/10/2015   (1,070 )           (31 )       —   (1,068 )
Bank of America NA   Euro-Bobl 5 Year Future; June 2015 06/10/2015   283             —         283   —  
Bank of America NA   Euro-BTP Future; June 2015     06/10/2015   (602 )           (1 )       —   (593 )
Bank of America NA   Euro-OAT Future; June 2015   06/10/2015   (1,526 )           (14 )       —   (1,507 )
Bank of America NA   Euro-Schatz 2 Year Future; June 2015 06/10/2015   12,638             (8 )       12,821   —  
Bank of America NA   Hang Seng Index Future; June 2015   06/30/2015   539             (14 )       526   —  
Bank of America NA   HSCEI China Index Future; June 2015 06/30/2015   5,288             (187 )       5,100   —  
Bank of America NA   Tel Aviv 25 Index Future; June 2015 06/26/2015   441             (10 )       433   —  
Bank of America NA   UK 10 Year Gilt Future; September 2015 09/30/2015   24,449             189         24,486   —  
Bank of America NA   US 10 Year Note Future; September 2015 09/30/2015   17,277             89         17,366   —  
Bank of America NA   US 2 Year Note Future; September 2015 10/05/2015   28,183             50         28,233   —  
Bank of America NA   US 5 Year Note Future; September 2015 10/05/2015   10,123             54         10,177   —  
Bank of America NA   US Long Bond Future; September 2015 09/30/2015   (153 )           (3 )       —   (156 )
Bank of America NA   US Ultra Bond Future; September 2015 09/30/2015   (316 )           (5 )       —   (320 )
Bank of America NA   WIG 20 Index Future; June 2015   06/19/2015   (537 )           (28 )       —   (584 )
Morgan Stanley & Co Bovespa Index Future; June 2015   06/18/2015   (1,334 )           51         —   (1,249 )
Morgan Stanley & Co MSCI Taiwan Index Future; June 2015 06/29/2015   575             2         577   —  
Morgan Stanley & Co SGX CNX Nifty Index Future; June 2015 06/25/2015   (924 )           (9 )       —   (933 )
Morgan Stanley & Co Swiss Market Index Future; June 2015 06/19/2015 (15,325 )           (277 )       —   (16,377 )
Morgan Stanley & Co Taiwan TAIEX Index Future; June 2015 06/17/2015   63             1         63   —  
Total                     $         (178 ) $ 103,309 $ (29,132)
 
Amounts in thousands                                                
 
 
Total Return Swaps
            Pay/Receive Positive Floating Rate               Notional      Fair Value  
Counterparty (Issuer) Reference Entity     Contracts Return Index Expiration Date     Amount      Asset                           Liability  
Citigroup Inc iShares J.P. Morgan $ Emerging   50,000 Pay 3 month LIBOR   08/06/2015 $ 5,615 $ 41 $ —  
  Markets Bond UCITS ETF       less 1.5% spread                              
Citigroup Inc iShares J.P. Morgan $ Emerging   50,000 Pay 3 month LIBOR   08/07/2015       5,588   20   —  
  Markets Bond UCITS ETF       less 1.5% spread                              
Citigroup Inc iShares J.P. Morgan $ Emerging   50,000 Pay 3 month LIBOR   08/10/2015       5,578   6   —  
  Markets Bond UCITS ETF       less 1.5% spread                              
Total                                     $   67 $ —  
 
Amounts in thousands except contracts                                          
Total Return Equity Basket Swaps
                                      Fair Value      
Counterparty     Fund Pays   Fund Receives Expiration Date                                       Notional Value     Asset                       Liability  
Bank of America NA   Floating rate based on the  Total return on a custom basket of long 08/15/2019   $ (307 ) $     — $   (73 )
    Federal Funds Rate and short securities traded in USD                                  
    plus/less spread                                        
Deutsche Bank AG   Floating rate based on 1 Total return on a custom basket of long 03/18/2016     (712 )       145   —  
    month LIBOR plus/less and short securities traded in KRW                                  
      spread                                        
Deutsche Bank AG   Floating rate based on 1 Total return on a custom basket of long 03/23/2016     (252 )       —   (26 )
    month South Africa and short securities traded in ZAR                                  
    Johannesburg Interbank                                        
    Agreed Rate plus/less                                        
      spread                                        
Deutsche Bank AG   Floating rate based on 1 Total return on a custom basket of long 03/21/2016     188         —   (3 )
    week LIBOR plus/less and short securities traded in IDR                                  
      spread                                        

 

See accompanying notes

73

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
Total Return Equity Basket Swaps (continued)
                    Fair Value    
Counterparty Fund Pays     Fund Receives   Expiration Date           Notional Value   Asset Liability  
Deutsche Bank AG Floating rate based on the Total return on a custom basket of long 03/18/2016 $ 220 $ 37 $ —  
  Poland Warsaw Interbank and short securities traded in PLN                
  Offer/Bid Spot Week Rate                        
  plus/less spread                        
Deutsche Bank AG Floating rate based on 28 Total return on a custom basket of long 03/21/2016   77   21   —  
  day Mexico Interbank TIIE and short securities traded in MXN                
  plus/less spread                        
Deutsche Bank AG Floating rate based on 1 Total return on a custom basket of long 03/18/2016   (210 ) —   (19 )
  month LIBOR plus/less and short securities traded in MYR                
  spread                        
Deutsche Bank AG Floating rate based on 1 Total return on a custom basket of long 03/18/2016   (82 ) —   (83 )
  month LIBOR plus/less and short securities traded in TWD                
  spread                        
Deutsche Bank AG Floating rate based on 1 Total return on a custom basket of long 03/21/2016   132   82   —  
  month LIBOR plus/less and short securities traded in BRL                
  spread                        
Deutsche Bank AG Floating rate based on 1 Total return on a custom basket of long 04/10/2016   2,128   50   —  
  month LIBOR plus/less and short securities traded in USD                
  spread                        
Deutsche Bank AG Floating rate based on the Total return on a custom basket of long 10/16/2015   1,425   17   —  
  Overnight RBA Cash Rate and short securities traded in AUD                
  plus/less spread                        
Deutsche Bank AG Floating rate based on 1 Total return on a custom basket of long 08/20/2015   1,740   649   —  
  week EUR LIBOR and short French securities                  
  plus/less spread                        
Deutsche Bank AG Floating rate based on 1 Total return on a custom basket of long 01/22/2016   2,839   1,455   —  
  week LIBOR plus/less and short securities traded in GBP                
  spread                        
Deutsche Bank AG Floating rate based on 1 Total return on a custom basket of long 01/22/2016   (379 ) —   (141 )
  week HIBOR plus/less and short securities traded in HKD                
  spread                        
Morgan Stanley Floating rate based on 1 Total return on a custom basket of long 08/07/2015   10,540   —   (232 )
  month LIBOR plus/less and short securities traded in GBP                
  spread                        
Morgan Stanley Floating rate based on 1 Total return on a custom basket of long 08/07/2015   (28,067 ) 1,390,   —  
  month LIBOR plus/less and short securities traded in USD                
  spread                        
Morgan Stanley Floating rate based on the Total return on a custom basket of long 08/19/2016   2,027   992   —  
  Bank of Japan Estimate and short securities traded in JPY                
  Unsecured Overnight Call                        
  Rate plus/less spread                        
Morgan Stanley Floating rate based on the Total return on a custom basket of long 09/04/2015   11,742   4,205   —  
  Federal Funds Rate and short securities traded in USD                
  plus/less spread                        
Total             $ 3,049 $ 9,043 $ (577 )
 
Amounts in thousands                          
 
 
Reverse Repurchase Agreements
Counterparty Coupon Rate   Maturity Date Principal Amount Payable for Reverse Repurchase Agreements  
Barclays Bank PLC   (0.27 %) 05/06/2016 $ 58,500 $     (58,508 )
Barclays Bank PLC   (0.27 %) 05/22/2016   15,064       (15,064 )
Barclays Bank PLC   (0.27 %) 05/06/2016   23,400       (23,403 )
Barclays Bank PLC   (0.45 %) 07/12/2015   3,944       (3,959 )
Barclays Bank PLC   (0.90 %) 03/25/2016   3,242       (3,247 )
Total               $     (104,182 )
 
Amounts in thousands                          

 

See accompanying notes

74

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
Short Sales Outstanding
 
 
COMMON STOCKS - (13.03)% Shares Value (000 's) COMMON STOCKS (continued) Shares Value (000 's)
 
Advertising - 0.00%             Beverages (continued)            
DKSH Holding AG (a)     596 $ 46   Molson Coors Brewing Co 31,700 $ 2,326  
              Monster Beverage Corp (a) 10,040   1,278  
                    $   5,899  
Agriculture - (0.04)%                          
Reynolds American Inc 18,368   1,410   Biotechnology - (0.19)%            
              Acorda Therapeutics Inc (a) 9,087   277  
              Alexion Pharmaceuticals Inc (a) 3,228   529  
Airlines - (0.02)%             Bio-Rad Laboratories Inc (a) 13,400   1,934  
JetBlue Airways Corp (a) 39,841   803                
              Medicines Co/The (a) 34,786   987  
              Momenta Pharmaceuticals Inc (a) 118,899   2,360  
Apparel - (0.24)%                   $   6,087  
Adidas AG 8,087   636                
Crocs Inc (a) 44,310   666   Building Materials - (0.15)%            
Michael Kors Holdings Ltd (a) 11,180   520   Buzzi Unicem SpA     827   13  
              Holcim Ltd (a) 25,494   2,013  
Nike Inc 23,760   2,416   Louisiana-Pacific Corp (a) 100,510   1,818  
Perry Ellis International Inc (a) 29,880   734                
Ralph Lauren Corp 9,560   1,247   Simpson Manufacturing Co Inc 28,260   959  
Tod's SpA 1,496   138         $   4,803  
Under Armour Inc (a) 13,920   1,091   Chemicals - (0.23)%            
      $   7,448   Air Products & Chemicals Inc 1,150   169  
Automobile Manufacturers - (0.16)%             Albemarle Corp 13,550   815  
Bayerische Motoren Werke AG     716   79   BASF SE 7,661   711  
Daimler AG 1,419   133   EMS-Chemie Holding AG     156   67  
Fiat Chrysler Automobiles NV (a) 65,240   1,046   FMC Corp 11,965   684  
General Motors Co 39,480   1,420   K+S AG 21,980   717  
              Kraton Performance Polymers Inc (a) 46,870   1,113  
Tesla Motors Inc (a) 5,850   1,467                
Volvo AB - B Shares 76,652   996   LyondellBasell Industries NV 16,820   1,700  
              Novozymes A/S 2,034   98  
      $   5,141   OCI NV (a) 2,060   61  
Automobile Parts & Equipment - (0.10)%             OM Group Inc 16,630   441  
BorgWarner Inc 13,678   823   SGL Carbon SE (a) 1,120   19  
Goodyear Tire & Rubber Co/The 29,740   947   Solvay SA 1,031   143  
Meritor Inc (a) 22,208   318   Syngenta AG     691   314  
Nokian Renkaat OYJ 28,791   929   Wacker Chemie AG 1,878   204  
Rheinmetall AG 1,006   53         $   7,256  
 
      $   3,070   Coal - 0.00%            
Banks - (1.08)%             Alpha Natural Resources Inc (a) 4,069   2  
Banca Popolare dell'Emilia Romagna SC 69,263   601                
Banco Bilbao Vizcaya Argentaria SA 26,002   257                
Banco Comercial Portugues SA (a) 672,594   63   Commercial Services - (0.23)%            
Banco de Sabadell SA (a) 212,430   538   Abertis Infraestructuras SA 3,994   70  
              Brink's Co/The 40,420   1,292  
Banco Popular Espanol SA 207,892   1,024   Career Education Corp (a) 73,120   276  
Bankia SA (a) 497,083   642                
              Gartner Inc (a) 7,670   671  
Bankinter SA 2,228   16   Kelly Services Inc 37,810   587  
BB&T Corp 30,190   1,192   Live Nation Entertainment Inc (a) 27,310   781  
Credit Suisse Group AG (a) 47,036   1,248                
              ManpowerGroup Inc 30,549   2,586  
Deutsche Bank AG 9,833   296   SGS SA     81   156  
Fifth Third Bancorp 85,779   1,736   Towers Watson & Co 3,630   501  
Goldman Sachs Group Inc/The 7,350   1,515   Wirecard AG 5,791   240  
Intesa Sanpaolo SpA 88,294   320                
KBC Groep NV 7,659   513         $   7,160  
KeyCorp 67,730   988   Computers - (0.14)%            
M&T Bank Corp 40,362   4,879   Accenture PLC - Class A 7,270   698  
Morgan Stanley 17,660   675   Fortinet Inc (a) 20,170   808  
PacWest Bancorp 9,998   449   Gemalto NV 1,045   91  
PNC Financial Services Group Inc/The 42,390   4,056   Indra Sistemas SA 21,566   209  
Royal Bank of Canada 11,364   722   SanDisk Corp 13,684   936  
Signature Bank/New York NY (a) 23,510   3,283   Seagate Technology PLC 9,980   555  
SunTrust Banks Inc 78,190   3,337   Western Digital Corp 9,330   908  
SVB Financial Group (a) 26,800   3,616         $   4,205  
Svenska Handelsbanken AB 7,873   119                
Zions Bancorporation 72,440   2,092   Cosmetics & Personal Care - (0.09)%            
      $   34,177   Beiersdorf AG 1,256   114  
              Colgate-Palmolive Co 16,910   1,129  
Beverages - (0.18)%             Estee Lauder Cos Inc/The 17,442   1,525  
Anheuser-Busch InBev NV 1,396   169         $   2,768  
Boston Beer Co Inc/The (a) 2,310   609                
Brown-Forman Corp 9,720   917   Distribution & Wholesale - (0.05)%            
Carlsberg A/S 5,655   519   WW Grainger Inc 6,782   1,630  
Davide Campari-Milano SpA 10,638   81                

 

See accompanying notes

75

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
Short Sales Outstanding
 
 
COMMON STOCKS (continued) Shares Value (000 's) COMMON STOCKS (continued) Shares Value (000 's)
 
Diversified Financial Services - (0.41)%             Food (continued)            
Azimut Holding SpA 2,582 $ 73   Distribuidora Internacional de Alimentacion 6,920 $ 55  
Charles Schwab Corp/The 47,991   1,519   SA            
Element Financial Corp (a) 11,835   177   Jeronimo Martins SGPS SA 22,420   308  
Franklin Resources Inc 78,120   3,977   METRO AG 6,041   210  
Intercontinental Exchange Inc 11,190   2,650   Post Holdings Inc (a) 1,246   54  
Julius Baer Group Ltd (a) 17,608   961   Suedzucker AG 3,593   56  
Navient Corp 26,960   519   TreeHouse Foods Inc (a) 13,090   934  
T Rowe Price Group Inc 37,140   2,997   Tyson Foods Inc 51,547   2,188  
      $   12,873   Whole Foods Market Inc 15,440   637  
 
Electric - (0.46)%                   $   5,217  
A2A SpA 134,548   168   Gas - 0.00%            
AES Corp/VA 30,340   413   Gas Natural SDG SA     463   12  
Cleco Corp 19,840   1,076                
Consolidated Edison Inc 29,490   1,824                
Dominion Resources Inc/VA 25,163   1,774   Hand & Machine Tools - (0.07)%            
              Lincoln Electric Holdings Inc 19,686   1,323  
Enel Green Power SpA 106,767   202   Sandvik AB 82,520   995  
Exelon Corp 18,029   610                
NextEra Energy Inc 12,948   1,325         $   2,318  
NRG Yield Inc 8,259   223   Healthcare - Products - (0.39)%            
NRG Yield Inc 9,273   246   ABIOMED Inc (a) 10,740   641  
PG&E Corp 14,170   758   Cooper Cos Inc/The 7,414   1,348  
PPL Corp 39,720   1,379   Cyberonics Inc (a) 2,920   187  
RWE AG 6,094   142   DENTSPLY International Inc 25,090   1,306  
SCANA Corp 21,410   1,138   Edwards Lifesciences Corp (a) 14,950   1,954  
Southern Co/The 31,470   1,375   Elekta AB 80,067   563  
Westar Energy Inc 13,260   486   Getinge AB 9,865   239  
Wisconsin Energy Corp 34,401   1,661   Haemonetics Corp (a) 26,370   1,090  
      $   14,800   Henry Schein Inc (a) 6,280   890  
              Hologic Inc (a) 13,195   472  
Electrical Components & Equipment - (0.02)%             Luminex Corp (a) 20,690   347  
Emerson Electric Co 8,130   490   Medtronic PLC 16,300   1,244  
General Cable Corp 1,904   36   QIAGEN NV (a) 3,687   90  
      $   526   Sonova Holding AG     838   126  
Electronics - (0.29)%             STERIS Corp 7,863   525  
Arrow Electronics Inc (a) 15,020   913   Thoratec Corp (a) 11,850   538  
Avnet Inc 48,370   2,129   Varian Medical Systems Inc (a) 5,540   480  
Electro Scientific Industries Inc 40,130   220   William Demant Holding A/S (a) 2,318   191  
National Instruments Corp 61,330   1,834   Wright Medical Group Inc (a) 2,571   70  
Thermo Fisher Scientific Inc 4,660   604         $   12,301  
TTM Technologies Inc (a) 21,495   212                
Tyco International PLC 14,640   591   Healthcare - Services - (0.24)%            
              Anthem Inc 28,028   4,704  
Vishay Intertechnology Inc 19,522   254   Centene Corp (a) 15,300   1,153  
Waters Corp (a) 15,660   2,093                
              Fresenius Medical Care AG & Co KGaA 1,743   149  
      $   8,850   Humana Inc 3,460   743  
Energy - Alternate Sources - (0.09)%             WellCare Health Plans Inc (a) 10,510   900  
SunEdison Inc (a) 68,100   2,041         $   7,649  
 
Vestas Wind Systems A/S 13,162   672   Home Builders - (0.18)%            
      $   2,713   DR Horton Inc 83,530   2,182  
Engineering & Construction - (0.13)%             Lennar Corp 25,580   1,193  
Aena SA (a) 2,307   242   Pulte Group Inc 39,220   752  
Bilfinger SE 6,644   282   Toll Brothers Inc (a) 43,180   1,562  
Fluor Corp 15,602   877   YIT OYJ 1,787   13  
Fraport AG Frankfurt Airport Services 2,234   147         $   5,702  
Worldwide              Home Furnishings - (0.02)%            
KBR Inc 106,980   2,049   Select Comfort Corp (a) 20,690   644  
Obrascon Huarte Lain SA 31,838   597                
Tecnicas Reunidas SA 2,598   129                
      $   4,323   Insurance - (0.63)%            
              Aflac Inc 51,790   3,222  
Environmental Control - (0.01)%             Allianz SE     443   70  
Clean Harbors Inc (a) 7,490   422                
              American Financial Group Inc/OH 13,020   827  
              American International Group Inc 33,910   1,987  
Food - (0.17)%             Assicurazioni Generali SpA 17,006   329  
Barry Callebaut AG (a)     317   358   Cincinnati Financial Corp 42,720   2,161  
Chocoladefabriken Lindt & Sprungli AG     21   111   Endurance Specialty Holdings Ltd 1,397   85  
Chr Hansen Holding A/S 4,451   217   Everest Re Group Ltd 15,210   2,761  
Colruyt SA 1,970   89   Loews Corp 27,220   1,092  
              Mapfre SA 12,434   44  
              Mediolanum SpA 40,561   346  

 

See accompanying notes

76

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
Short Sales Outstanding
 
 
COMMON STOCKS (continued) Shares Value (000 's) COMMON STOCKS (continued) Shares Value (000 's)
 
Insurance (continued)             Metal Fabrication & Hardware (continued)            
MetLife Inc 34,360 $ 1,796   SKF AB     287 $ 7  
MGIC Investment Corp (a) 62,700   680   Tenaris SA 46,557   673  
Radian Group Inc 61,246   1,098         $   2,116  
Reinsurance Group of America Inc 14,420   1,349                
Safety Insurance Group Inc 2,690   150   Mining - (0.11)%            
Sampo Oyj 4,422   209   Alcoa Inc 27,022   338  
Unipol Gruppo Finanziario SpA     1   —   AuRico Gold Inc 16,370   54  
Unum Group 28,640   1,001   Kaiser Aluminum Corp 29,600   2,401  
              Stillwater Mining Co (a) 46,537   674  
XL Group PLC 14,913   562                
      $   19,769         $   3,467  
 
Internet - (0.67)%             Miscellaneous Manufacturing - (0.14)%            
Equinix Inc 26,382   7,072   Alfa Laval AB 23,183   438  
Priceline Group Inc/The (a) 3,650   4,278   AptarGroup Inc 15,430   984  
VeriSign Inc (a) 90,366   5,710   Donaldson Co Inc 11,680   416  
Yahoo! Inc (a) 102,060   4,382   Eaton Corp PLC 20,110   1,440  
              LSB Industries Inc (a) 9,030   384  
      $   21,442   Siemens AG     975   103  
Investment Companies - 0.00%             Trinity Industries Inc 19,418   582  
Ares Capital Corp     254   4         $   4,347  
Prospect Capital Corp     242   2                
      $   6   Oil & Gas - (0.40)%            
              Cheniere Energy Inc (a) 5,463   414  
Iron & Steel - (0.18)%             Chevron Corp 3,320   342  
Allegheny Technologies Inc 18,160   590   Cimarex Energy Co 8,370   967  
ArcelorMittal 161,831   1,725   DNO ASA (a) 5,461   8  
Nucor Corp 26,700   1,263   Helmerich & Payne Inc 13,850   1,011  
Outokumpu OYJ (a) 34,172   187   Marathon Oil Corp 42,110   1,145  
Reliance Steel & Aluminum Co 7,290   465   Newfield Exploration Co (a) 23,790   899  
Salzgitter AG     419   15   Noble Energy Inc 22,021   964  
SSAB AB - A Shares (a) 29,073   165   Occidental Petroleum Corp 36,780   2,876  
ThyssenKrupp AG 29,573   785   QEP Resources Inc 34,320   646  
United States Steel Corp 22,464   548   Seadrill Ltd 93,533   1,123  
      $   5,743   Southwestern Energy Co (a) 88,396   2,278  
              Statoil ASA 4,241   79  
Leisure Products & Services - (0.16)%                   $   12,752  
Carnival Corp 88,890   4,118                
Royal Caribbean Cruises Ltd 12,680   964   Oil & Gas Services - (0.14)%            
      $   5,082   Fred Olsen Energy ASA (a)     209   2  
              Fugro NV (a) 19,475   515  
Machinery - Construction & Mining - (0.04)%             Halliburton Co 42,788   1,943  
Atlas Copco AB - A Shares 26,997   817   Petroleum Geo-Services ASA 15,704   96  
Caterpillar Inc 5,482   468   Saipem SpA (a) 7,475   95  
      $   1,285   SBM Offshore NV (a) 55,824   743  
Machinery - Diversified - (0.29)%             Schlumberger Ltd 8,620   782  
AGCO Corp 18,250   927   TGS Nopec Geophysical Co ASA 14,811   373  
CNH Industrial NV 67,352   600         $   4,549  
Cummins Inc 10,060   1,364   Packaging & Containers - (0.08)%            
Flowserve Corp 18,260   1,004   Ball Corp 2,586   184  
FLSmidth & Co A/S 7,225   358   Rock-Tenn Co 14,031   914  
Hexagon AB 15,223   559   Sealed Air Corp 4,380   213  
Kone OYJ 12,022   504   Sonoco Products Co 27,920   1,257  
Nordson Corp 7,090   574         $   2,568  
Roper Technologies Inc 9,080   1,589                
Wabtec Corp/DE 16,440   1,649   Pharmaceuticals - (0.39)%            
Zardoya Otis SA 18,911   243   AbbVie Inc 12,362   823  
      $   9,371   Actavis PLC (a) 10,615   3,257  
              Bayer AG 5,742   816  
Media - (0.19)%             Galenica AG     257   257  
Atresmedia Corp de Medios de Comunicacion 8,456   127   Grifols SA 8,266   330  
SA             H Lundbeck A/S (a) 1,415   28  
John Wiley & Sons Inc 10,090   586   Mead Johnson Nutrition Co 34,679   3,374  
Mediaset Espana Comunicacion SA 14,266   179   Omnicare Inc     780   74  
Mediaset SpA 107,035   517   Perrigo Co PLC 14,980   2,851  
Modern Times Group MTG AB 8,015   254   Roche Holding AG     683   208  
Schibsted ASA 9,366   600   STADA Arzneimittel AG 1,354   47  
Time Warner Inc 21,860   1,847   Teva Pharmaceutical Industries Ltd ADR     735   44  
Twenty-First Century Fox Inc - A Shares 50,400   1,693   UCB SA 2,473   177  
      $   5,803         $   12,286  
 
Metal Fabrication & Hardware - (0.07)%             Pipelines - (0.18)%            
Assa Abloy AB 4,396   259   Kinder Morgan Inc/DE 63,610   2,639  
Precision Castparts Corp 5,560   1,177                

 

See accompanying notes

77

 

Schedule of Investments
Global Multi-Strategy Fund
May 31, 2015 (unaudited)
 
 
Short Sales Outstanding
 
 
COMMON STOCKS (continued) Shares Value (000 's) COMMON STOCKS (continued) Shares Value (000 's)
 
Pipelines (continued)             Semiconductors (continued)            
Koninklijke Vopak NV 13,416 $ 667   Skyworks Solutions Inc 19,870 $ 2,173  
Spectra Energy Corp 42,750   1,504         $   30,902  
Williams Cos Inc/The 20,060   1,025                
      $   5,835   Software - (0.50)%            
              Akamai Technologies Inc (a) 12,710   969  
REITS - (0.77)%             Amadeus IT Holding SA 9,178   418  
American Tower Corp 2,374   220   ANSYS Inc (a) 27,438   2,442  
AvalonBay Communities Inc 7,675   1,278   Autodesk Inc (a) 8,100   439  
CareTrust REIT Inc 10,990   143   Electronic Arts Inc (a) 38,858   2,439  
Chesapeake Lodging Trust 52,570   1,633   Interactive Intelligence Group Inc (a) 13,410   580  
Crown Castle International Corp 8,864   723   Mitel Networks Corp (a) 16,976   158  
HCP Inc 99,150   3,839   Oracle Corp 79,390   3,452  
Health Care REIT Inc 101,521   7,133   Quality Systems Inc 71,090   1,126  
LTC Properties Inc 13,860   584   Red Hat Inc (a) 11,210   866  
Omega Healthcare Investors Inc 97,040   3,496   Salesforce.com inc (a) 20,520   1,493  
Realty Income Corp 21,356   973   SAP SE 22,290   1,655  
Sabra Health Care REIT Inc 22,790   604   Software AG 2,854   81  
Spirit Realty Capital Inc 11,474   124         $   16,118  
Starwood Property Trust Inc 36,240   866                
Ventas Inc 43,080   2,866   Telecommunications - (0.50)%            
              Altice SA (a) 12,010   1,560  
Weyerhaeuser Co 4,721   154   ARRIS Group Inc (a) 8,276   273  
      $   24,636   AT&T Inc 44,467   1,536  
Retail - (0.73)%             BCE Inc 3,589   157  
Ascena Retail Group Inc (a) 5,064   75   Deutsche Telekom AG 39,454   681  
Best Buy Co Inc 16,680   579   Elisa OYJ 6,949   213  
Cabela's Inc (a) 10,697   546   Harris Corp 15,759   1,249  
CarMax Inc (a) 8,753   622   Leap Wireless International Inc - Rights (a),(b) 7,565   19  
Cie Financiere Richemont SA 11,210   968   Level 3 Communications Inc (a) 72,200   4,006  
Coach Inc 86,397   3,056   Lumos Networks Corp 10,740   153  
CST Brands Inc 16,910   672   Millicom International Cellular SA 1,158   93  
Dollar Tree Inc (a) 23,142   1,735   Nokia OYJ 4,322   32  
Dufry AG (a)     454   63   Nokia OYJ ADR 49,315   359  
Luxottica Group SpA 1,123   76   Palo Alto Networks Inc (a) 14,398   2,440  
MarineMax Inc (a) 51,940   1,242   Telecom Italia SpA (a) 501,187   617  
McDonald's Corp 16,180   1,552   Telefonica Deutschland Holding AG 34,001   188  
Men's Wearhouse Inc 9,160   531   Telenet Group Holding NV (a)     605   33  
MSC Industrial Direct Co Inc 7,220   501   TeliaSonera AB 25,788   152  
Nordstrom Inc 14,680   1,066   T-Mobile US Inc (a) 50,377   1,959  
Pep Boys-Manny Moe & Jack/The (a) 79,050   801         $   15,720  
Ross Stores Inc 7,869   761                
Salvatore Ferragamo SpA 32,474   1,025   Textiles - (0.03)%            
              Mohawk Industries Inc (a) 4,489   838  
Staples Inc 16,102   265                
Starbucks Corp 12,020   625                
Swatch Group AG/The - BR 4,826   1,919   Toys, Games & Hobbies - (0.01)%            
Walgreens Boots Alliance Inc 6,670   573   Mattel Inc 8,670   224  
World Duty Free SpA (a) 4,871   54                
World Fuel Services Corp 42,620   2,132                
Yum! Brands Inc 21,120   1,903   Transportation - (0.43)%            
      $   23,342   Cargotec Oyj 10,368   396  
              CSX Corp 31,800   1,084  
Savings & Loans - (0.01)%             Expeditors International of Washington Inc 25,190   1,155  
Sterling Bancorp/DE 23,358   316   Genesee & Wyoming Inc (a) 9,350   770  
              JB Hunt Transport Services Inc 25,190   2,117  
 Semiconductors - (0.98)%             Kansas City Southern 10,354   937  
AIXTRON SE (a) 10,938   83   Kuehne + Nagel International AG 1,109   156  
Altera Corp 36,130   1,765   Norfolk Southern Corp 40,460   3,722  
Analog Devices Inc 24,340   1,654   Panalpina Welttransport Holding AG 1,497   204  
              Ryder System Inc 7,070   648  
Applied Materials Inc 4,836   97   Ship Finance International Ltd 4,233   69  
Avago Technologies Ltd 2,935   435                
Broadcom Corp 49,020   2,787   TNT Express NV 4,375   37  
Exar Corp (a) 43,450   472   United Parcel Service Inc 14,450   1,434  
              UTI Worldwide Inc (a) 76,304   733  
Intel Corp 116,532   4,016                
KLA-Tencor Corp 15,504   925         $   13,462  
Lam Research Corp 102,358   8,419   Water - (0.02)%            
Microchip Technology Inc 22,775   1,119   Aqua America Inc 20,630   543  
Micron Technology Inc (a) 47,017   1,313                
NXP Semiconductors NV (a) 26,469   2,971   TOTAL COMMON STOCKS (proceeds $390,234)     $   412,777  
ON Semiconductor Corp (a) 22,286   295                
Qualcomm Inc 34,130   2,378                

 

See accompanying notes

78

 

              Schedule of Investments  
              Global Multi-Strategy Fund  
              May 31, 2015 (unaudited)  
 
 
              Short Sales Outstanding  
 
 
PREFERRED STOCKS - (0.02)%   Shares Value (000 's)
 
Automobile Manufacturers - (0.01)%              
Volkswagen AG   1,330 $ 323  
 
 
Chemicals - (0.01)%              
FUCHS PETROLUB SE   8,514   374  
 
 
Consumer Products - 0.00%              
Henkel AG & Co KGaA       852   102  
 
TOTAL PREFERRED STOCKS (proceeds $769)     $   799  
    Principal      
BONDS - (2.87)% Amount (000's)   Value (000's)   
 
Banks - (0.48)%              
Banco do Brasil SA/Cayman              
  3.88%, 10/10/2022 $ 5,000 $ 4,692  
Bangkok Bank PCL/Hong Kong              
  4.80%, 10/18/2020   5,000   5,474  
Export-Import Bank of India              
  4.00%, 01/14/2023   5,000   5,110  
          $   15,276  
 
Electric - (0.45)%              
Saudi Electricity Global Sukuk Co 2              
  3.47%, 04/08/2023   14,000   14,315  
 
 
Holding Companies - Diversified - (0.08)%              
Sinochem Overseas Capital Co Ltd              
  6.30%, 11/12/2040   2,000   2,492  
 
 
Iron & Steel - (0.19)%              
Vale SA              
  3.75%, 01/10/2023 EUR 5,000   5,793  
 
 
Sovereign - (1.67)%              
Bahrain Government International Bond              
  6.13%, 08/01/2023 $ 13,000   14,658  
Banco Nacional de Desenvolvimento              
Economico e Social              
  5.75%, 09/26/2023   2,000   2,096  
Kazakhstan Government International Bond              
  3.88%, 10/14/2024   5,000   4,806  
Morocco Government International Bond              
  5.50%, 12/11/2042   5,000   5,321  
Portugal Obrigacoes do Tesouro OT              
  4.45%, 06/15/2018 EUR 12,000   14,696  
South Africa Government International Bond              
  5.88%, 09/16/2025 $ 10,000   11,348  
          $   52,925  
TOTAL BONDS (proceeds $93,768)       $   90,801  
TOTAL SHORT SALES (proceeds $484,771)       $   504,377  
 
 
 
(a) Non-Income Producing Security              
(b) Fair value of these investments is determined in good faith by the Manager  
  under procedures established and periodically reviewed by the Board of  
  Directors. At the end of the period, the fair value of these securities totaled  
  $19 or 0.00% of net assets.              

 

See accompanying notes

79

 

Schedule of Investments
Global Opportunities Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS - 98.89% Shares Held      Value (000's) COMMON STOCKS (continued) Shares Held      Value (000's)
 
Aerospace & Defense - 2.11%       Healthcare - Services (continued)      
Lockheed Martin Corp 106,267 $ 19,999 HCA Holdings Inc (a) 228,119 $ 18,667
Spirit AeroSystems Holdings Inc (a) 158,298   8,642   $   43,530
 
  $   28,641 Home Builders - 1.32%      
Agriculture - 4.86%       Barratt Developments PLC 876,339   7,955
Archer-Daniels-Midland Co 416,018   21,986 Sekisui House Ltd 595,500   9,911
Imperial Tobacco Group PLC 593,862   30,624   $   17,866
Philip Morris International Inc 159,487   13,249        
  $   65,859 Insurance - 9.91%      
        AXA SA 679,476   17,073
Automobile Manufacturers - 2.99%       Berkshire Hathaway Inc - Class B (a) 93,319   13,345
Toyota Motor Corp 587,297   40,512 Direct Line Insurance Group PLC 3,733,005   19,247
        Everest Re Group Ltd 121,842   22,115
        Fairfax Financial Holdings Ltd 35,583   17,923
Automobile Parts & Equipment - 2.56%       Hannover Rueck SE 209,360   20,366
Bridgestone Corp 610,400   25,334        
Lear Corp 80,986   9,396 Lincoln National Corp 129,370   7,375
        Tokio Marine Holdings Inc 193,300   7,963
  $   34,730 Travelers Cos Inc/The 87,975   8,896
Banks - 10.34%         $   134,303
JP Morgan Chase & Co 439,113   28,885  Internet - 2.31%      
KeyCorp 782,611   11,410 Google Inc  - A Shares (a) 57,334   31,265
Mitsubishi UFJ Financial Group Inc 1,101,200   8,120        
Royal Bank of Canada 539,900   34,328        
Sumitomo Mitsui Financial Group Inc 220,486   10,006 Investment Companies - 1.77%      
SunTrust Banks Inc 311,604   13,299 CK Hutchison Holdings Ltd 418,490   6,525
Wells Fargo & Co 609,453   34,105 Investor AB 442,904   17,504
  $   140,153   $   24,029
 
Biotechnology - 3.87%       Iron & Steel - 0.59%      
Amgen Inc 145,625   22,755 JFE Holdings Inc 327,800   7,965
Gilead Sciences Inc 264,599   29,707        
 
  $   52,462 Oil & Gas - 5.33%      
Chemicals - 0.57%       Caltex Australia Ltd 248,073   6,370
LyondellBasell Industries NV 76,272   7,711 ConocoPhillips 206,068   13,122
        Denbury Resources Inc 942,192   6,944
        Exxon Mobil Corp 204,503   17,424
Commercial Services - 1.26%       Hess Corp 92,428   6,241
Adecco SA (a) 155,395   12,363        
        Royal Dutch Shell PLC - A Shares 497,975   14,844
Ashtead Group PLC 273,570   4,702 Suncor Energy Inc 250,513   7,322
  $   17,065   $   72,267
 
Computers - 4.99%       Pharmaceuticals - 13.01%      
Apple Inc 195,239   25,436 Cardinal Health Inc 249,487   21,997
DST Systems Inc 166,689   19,736 McKesson Corp 112,446   26,676
Synopsys Inc (a) 236,964   11,822        
        Novartis AG 298,558   30,641
Western Digital Corp 108,662   10,579 Novo Nordisk A/S 192,241   10,906
  $   67,573 Pfizer Inc 775,910   26,963
Cosmetics & Personal Care - 1.37%       Roche Holding AG 58,782   17,921
Unilever NV - CVA 434,322   18,555 Shire PLC 227,224   19,653
        Teva Pharmaceutical Industries Ltd ADR 358,404   21,540
          $   176,297
Electric - 3.85%              
Datang International Power Generation Co Ltd 2,286,000   1,336 Real Estate - 1.74%      
Huaneng Power International Inc 6,843,160   9,133 Brookfield Asset Management Inc 594,750   21,033
Iberdrola SA 2,029,183   14,023 Cheung Kong Property Holdings Ltd (a),(b) 418,490   2,542
Korea Electric Power Corp 218,018   9,057   $   23,575
 
Public Service Enterprise Group Inc 437,293   18,642 Retail - 5.35%      
  $   52,191 Alimentation Couche-Tard Inc 340,284   13,260
Engineering & Construction - 0.51%       Home Depot Inc/The 119,513   13,316
Lend Lease Group 542,467   6,870 Target Corp 244,487   19,393
        Wal-Mart Stores Inc 356,546   26,481
 
Food - 4.43%         $   72,450
Aryzta AG (a) 283,095   17,949 Software - 5.17%      
Kroger Co/The 285,676   20,797 Fiserv Inc (a) 180,150   14,439
SUPERVALU Inc (a) 774,271   6,837 Intuit Inc 73,529   7,658
Tyson Foods Inc 339,035   14,392 Microsoft Corp 654,668   30,678
  $   59,975 Oracle Corp 398,073   17,312
 
Gas - 1.56%         $   70,087
Gas Natural SDG SA 860,030   21,140 Telecommunications - 2.49%      
        Cisco Systems Inc 341,797   10,018
        Nippon Telegraph & Telephone Corp 157,700   10,906
Healthcare - Services - 3.21%       Orange SA 817,304   12,884
Anthem Inc 148,124   24,863   $   33,808

 

See accompanying notes

80

 

            Schedule of Investments  
            Global Opportunities Fund  
            May 31, 2015 (unaudited)  
 
 
COMMON STOCKS (continued) Shares Held Value (000 's)
 
Transportation - 1.42%            
FedEx Corp 110,950 $ 19,219  
 
TOTAL COMMON STOCKS     $   1,340,098  
INVESTMENT COMPANIES - 1.54% Shares Held Value (000 's)
 
Publicly Traded Investment Fund - 1.54%            
Morgan Stanley Institutional Liquidity Funds - 20,885,759       20,886  
Government Portfolio            
 
TOTAL INVESTMENT COMPANIES     $   20,886  
Total Investments     $   1,360,984  
Liabilities in Excess of Other Assets, Net - (0.43)%   $   (5,855 )
TOTAL NET ASSETS - 100.00%     $   1,355,129  
 
 
(a) Non-Income Producing Security            
(b) Fair value of these investments is determined in good faith by the Manager  
  under procedures established and periodically reviewed by the Board of  
  Directors. At the end of the period, the fair value of these securities totaled  
  $2,542 or 0.19% of net assets.            
 
 
 
  Portfolio Summary (unaudited)          
Country         Percent  
United States         55.54 %
Japan           8.91 %
Canada         6.92 %
United Kingdom         5.99 %
Switzerland         5.82 %
Spain           2.59 %
France         2.21 %
Bermuda         1.63 %
Israel           1.59 %
Germany         1.50 %
Ireland         1.45 %
Sweden         1.29 %
Netherlands         1.09 %
Australia         0.98 %
Denmark         0.81 %
China           0.77 %
Korea, Republic Of         0.67 %
Hong Kong         0.67 %
Liabilities in Excess of Other Assets, Net         (0.43 )%
TOTAL NET ASSETS         100.00 %

 

See accompanying notes

81

 

Schedule of Investments
International Equity Index Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS - 98.36% Shares Held     Value (000's) COMMON STOCKS (continued) Shares Held     Value (000's)
 
Advertising - 0.45%       Automobile Parts & Equipment (continued)      
Dentsu Inc 12,700 $ 639 Denso Corp 28,800 $ 1,503
Hakuhodo DY Holdings Inc 13,800   149 GKN PLC 97,566   548
JCDecaux SA 4,654   189 JTEKT Corp 12,100   220
Publicis Groupe SA 11,161   892 Koito Manufacturing Co Ltd 6,100   238
WPP PLC 77,964   1,842 NGK Insulators Ltd 15,000   371
  $   3,711 NGK Spark Plug Co Ltd 10,500   317
        NHK Spring Co Ltd 9,400   110
Aerospace & Defense - 1.14%       NOK Corp 5,600   184
Airbus Group SE 34,949   2,379 Nokian Renkaat OYJ 6,736   217
BAE Systems PLC 187,297   1,478 Pirelli & C. SpA 15,536   264
Cobham PLC 67,604   306 Stanley Electric Co Ltd 8,400   200
Finmeccanica SpA (a) 24,029   319 Sumitomo Electric Industries Ltd 44,700   711
IHI Corp 82,000   394 Sumitomo Rubber Industries Ltd 10,100   178
Kawasaki Heavy Industries Ltd 83,000   418 Toyoda Gosei Co Ltd 3,800   94
Meggitt PLC 47,401   369 Toyota Industries Corp 9,600   576
Rolls-Royce Holdings PLC (a) 110,336   1,688 Valeo SA 4,718   751
Safran SA 17,332   1,225 Yokohama Rubber Co Ltd/The 11,000   124
Thales SA 6,140   381   $   11,417
Zodiac Aerospace 11,976   436        
  $   9,393 Banks - 14.22%      
        Aozora Bank Ltd 68,000   261
Agriculture - 1.44%       Australia & New Zealand Banking Group Ltd 164,236   4,151
British American Tobacco PLC 110,685   6,114 Banca Monte dei Paschi di Siena SpA (a) 13,671   28
Golden Agri-Resources Ltd 419,100   130 Banca Monte dei Paschi di Siena SpA - Rights 12,706   84
Imperial Tobacco Group PLC 56,828   2,930 (a)      
Japan Tobacco Inc 65,200   2,366 Banco Bilbao Vizcaya Argentaria SA 374,898   3,710
Swedish Match AB 11,904   355 Banco Comercial Portugues SA (a) 2,252,549   210
  $   11,895 Banco de Sabadell SA (a) 288,956   731
        Banco Espirito Santo SA (a),(b) 131,709   —
Airlines - 0.22%       Banco Popolare SC (a) 21,504   364
ANA Holdings Inc 68,000   187        
Cathay Pacific Airways Ltd 69,000   177 Banco Popular Espanol SA 100,711   496
Deutsche Lufthansa AG (a) 13,738   194 Banco Santander SA 853,027   6,081
easyJet PLC 9,433   232 Bank Hapoalim BM 61,788   324
        Bank Leumi Le-Israel BM (a) 77,493   303
International Consolidated Airlines Group SA 48,453   409        
(a)       Bank of East Asia Ltd/The 69,600   314
        Bank of Ireland (a) 1,633,393   625
Japan Airlines Co Ltd 7,000   240        
Qantas Airways Ltd (a) 32,603   87 Bank of Kyoto Ltd/The 20,000   228
Singapore Airlines Ltd 31,900   268 Bank of Queensland Ltd 21,789   220
  $   1,794 Bank of Yokohama Ltd/The 66,000   409
        Bankia SA (a) 273,546   353
Apparel - 0.76%       Bankinter SA 40,028   294
Adidas AG 12,422   978 Barclays PLC 979,861   4,058
Asics Corp 9,300   247 Bendigo & Adelaide Bank Ltd 26,775   251
Burberry Group PLC 26,404   686 BNP Paribas SA 62,883   3,788
Christian Dior SE 3,236   648 BOC Hong Kong Holdings Ltd 219,500   901
Hermes International 1,566   611 CaixaBank SA 135,734   650
LVMH Moet Hennessy Louis Vuitton SE 16,579   2,945 Chiba Bank Ltd/The 41,000   322
Yue Yuen Industrial Holdings Ltd 44,000   151 Chugoku Bank Ltd/The 9,600   147
  $   6,266 Commerzbank AG (a) 63,206   843
        Commonwealth Bank of Australia 96,268   6,238
Automobile Manufacturers - 3.86%       Credit Agricole SA 61,190   912
Bayerische Motoren Werke AG 19,659   2,178 Credit Suisse Group AG (a) 90,657   2,405
Daihatsu Motor Co Ltd 11,300   165 Danske Bank A/S 41,922   1,229
Daimler AG 57,170   5,362 DBS Group Holdings Ltd 102,900   1,547
Fiat Chrysler Automobiles NV (a) 53,405   854        
        Deutsche Bank AG 81,896   2,470
Fuji Heavy Industries Ltd 34,800   1,306 DNB ASA 58,027   1,017
Hino Motors Ltd 15,300   207 Erste Group Bank AG (a) 16,587   481
Honda Motor Co Ltd 96,700   3,325 Fukuoka Financial Group Inc 45,000   241
Isuzu Motors Ltd 35,200   477 Gunma Bank Ltd/The 22,000   154
Mazda Motor Corp 31,900   683 Hachijuni Bank Ltd/The 24,000   181
Mitsubishi Motors Corp 37,800   350 Hang Seng Bank Ltd 45,300   908
Nissan Motor Co Ltd 147,500   1,532 Hiroshima Bank Ltd/The 30,000   176
Peugeot SA (a) 25,688   535        
        Hokuhoku Financial Group Inc 71,000   167
Renault SA 11,413   1,182 HSBC Holdings PLC 1,141,197   10,842
Suzuki Motor Corp 21,500   746 ING Groep NV 229,097   3,783
Toyota Motor Corp 162,300   11,196 Intesa Sanpaolo SpA 752,716   2,727
Volkswagen AG 2,102   507 Intesa Sanpaolo SpA - RSP 55,368   177
Volvo AB - B Shares 91,115   1,184 Iyo Bank Ltd/The 14,400   175
  $   31,789 Joyo Bank Ltd/The 36,000   194
Automobile Parts & Equipment - 1.39%       KBC Groep NV 14,883   997
Aisin Seiki Co Ltd 11,300   519 Lloyds Banking Group PLC 3,390,375   4,559
Bridgestone Corp 38,600   1,602 Mediobanca SpA 33,334   344
Cie Generale des Etablissements Michelin 11,027   1,180 Mitsubishi UFJ Financial Group Inc 757,000   5,582
Continental AG 6,530   1,510 Mizrahi Tefahot Bank Ltd (a) 8,088   92

 

See accompanying notes

82

 

Schedule of Investments
International Equity Index Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held     Value (000's) COMMON STOCKS (continued) Shares Held    Value (000's)
 
Banks (continued)       Chemicals (continued)      
Mizuho Financial Group Inc 1,380,300 $ 3,039 Brenntag AG 9,173 $ 555
National Australia Bank Ltd 155,258   4,060 Croda International PLC 8,062   360
Natixis SA 55,514   416 Daicel Corp 17,300   224
Nordea Bank AB 180,355   2,349 EMS-Chemie Holding AG 485   206
Oversea-Chinese Banking Corp Ltd 177,700   1,343 Evonik Industries AG 5,533   207
Raiffeisen Bank International AG 6,958   107 Givaudan SA (a) 547   1,002
Resona Holdings Inc 131,000   747 Hitachi Chemical Co Ltd 6,100   120
Royal Bank of Scotland Group PLC (a) 151,239   801 Incitec Pivot Ltd 99,493   302
Seven Bank Ltd 35,300   166 Israel Chemicals Ltd 26,001   186
Shinsei Bank Ltd 105,000   212 Johnson Matthey PLC 12,167   652
Shizuoka Bank Ltd/The 31,000   338 JSR Corp 11,200   203
Skandinaviska Enskilda Banken AB 90,194   1,116 K+S AG 11,364   371
Societe Generale SA 43,029   2,005 Kaneka Corp 17,000   124
Standard Chartered PLC 146,821   2,349 Kansai Paint Co Ltd 13,000   224
Sumitomo Mitsui Financial Group Inc 75,400   3,422 Koninklijke DSM NV 10,772   638
Sumitomo Mitsui Trust Holdings Inc 196,440   894 Kuraray Co Ltd 20,400   267
Suruga Bank Ltd 10,700   227 LANXESS AG 5,433   302
Svenska Handelsbanken AB 88,912   1,341 Linde AG 11,028   2,119
Swedbank AB 53,771   1,262 Lonza Group AG (a) 3,141   442
UBS Group AG (a) 216,841   4,667 Mitsubishi Chemical Holdings Corp 80,400   504
UniCredit SpA 284,088   1,993 Mitsubishi Gas Chemical Co Inc 23,000   133
Unione di Banche Italiane SCpA 53,543   438 Mitsui Chemicals Inc 48,000   156
United Overseas Bank Ltd 76,600   1,313 Nippon Paint Holdings Co Ltd 8,700   269
Westpac Banking Corp 185,267   4,747 Nitto Denko Corp 9,700   751
Yamaguchi Financial Group Inc 11,000   139 Novozymes A/S 14,212   683
  $   117,235 OCI NV (a) 5,003   147
        Shin-Etsu Chemical Co Ltd 24,300   1,479
Beverages - 2.33%       Solvay SA 3,519   487
Anheuser-Busch InBev NV 47,746   5,761 Sumitomo Chemical Co Ltd 87,000   505
Asahi Group Holdings Ltd 22,800   729 Symrise AG 7,321   467
Carlsberg A/S 6,351   583 Syngenta AG 5,518   2,511
Coca-Cola Amatil Ltd 34,004   261 Taiyo Nippon Sanso Corp 9,000   111
Coca-Cola HBC AG (a) 11,898   261        
        Teijin Ltd 55,000   205
Diageo PLC 149,373   4,145 Toray Industries Inc 86,000   714
Heineken Holding NV 5,985   416 Umicore SA 5,652   278
Heineken NV 13,679   1,070 Yara International ASA 10,660   537
Kirin Holdings Co Ltd 48,800   702   $   28,357
Pernod Ricard SA 12,607   1,556        
Remy Cointreau SA 1,445   104 Commercial Services - 1.64%      
SABMiller PLC 57,563   3,083 Abertis Infraestructuras SA 26,669   468
Suntory Beverage & Food Ltd 8,200   341 Adecco SA (a) 10,100   803
Treasury Wine Estates Ltd 38,669   158 Aggreko PLC 15,203   374
  $   19,170 Ashtead Group PLC 29,886   514
        Atlantia SpA 24,516   632
Biotechnology - 0.24%       Babcock International Group PLC 14,908   257
CSL Ltd 28,138   2,005 Benesse Holdings Inc 3,900   102
        Brambles Ltd 93,001   810
Building Materials - 1.19%       Bunzl PLC 19,875   577
Asahi Glass Co Ltd 56,000   365 Bureau Veritas SA 15,748   360
Boral Ltd 46,476   222 Capita PLC 39,304   753
Cie de Saint-Gobain 28,359   1,319 Dai Nippon Printing Co Ltd 33,000   347
CRH PLC 48,393   1,355 Edenred 12,227   309
Daikin Industries Ltd 13,900   1,061 Experian PLC 58,752   1,122
Fletcher Building Ltd 40,842   253 G4S PLC 92,128   421
Geberit AG 2,244   808 Hutchison Port Holdings Trust 336,200   222
HeidelbergCement AG 8,367   680 Intertek Group PLC 9,580   367
Holcim Ltd (a) 13,594   1,073 ISS A/S 8,819   302
Imerys SA 2,027   151 Park24 Co Ltd 5,500   97
James Hardie Industries PLC 26,698   358 Randstad Holding NV 7,485   433
Lafarge SA 11,096   782 Recruit Holdings Co Ltd 8,400   262
LIXIL Group Corp 15,700   299 Reed Elsevier PLC 67,104   1,114
Rinnai Corp 2,200   169 Secom Co Ltd 12,500   833
Sika AG 128   440 Securitas AB 18,591   253
Taiheiyo Cement Corp 69,000   202 SGS SA 324   623
TOTO Ltd 17,000   281 Toppan Printing Co Ltd 31,000   262
  $   9,818 Transurban Group 113,675   881
          $   13,498
Chemicals - 3.44%              
Air Liquide SA 20,483   2,635 Computers - 0.47%      
Air Water Inc 9,000   161 Atos SE 5,114   393
Akzo Nobel NV 14,572   1,108 Cap Gemini SA 9,228   800
Arkema SA 3,890   289 Computershare Ltd 28,071   275
Asahi Kasei Corp 75,000   663 Fujitsu Ltd 110,000   615
BASF SE 54,536   5,060 Gemalto NV 4,742   414

 

See accompanying notes

83

 

Schedule of Investments
International Equity Index Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held    Value (000's) COMMON STOCKS (continued) Shares Held   Value (000's)
 
Computers (continued)       Electric (continued)      
Itochu Techno-Solutions Corp 2,800 $ 66 Enel SpA 418,758 $ 2,035
Nomura Research Institute Ltd 6,600   253 Fortum OYJ 26,374   502
NTT Data Corp 7,500   332 GDF Suez 86,759   1,749
Otsuka Corp 3,100   150 Hokuriku Electric Power Co 9,900   150
TDK Corp 7,300   583 Iberdrola SA 322,430   2,228
  $   3,881 Kansai Electric Power Co Inc/The (a) 41,700   461
        Kyushu Electric Power Co Inc 25,300   295
Consumer Products - 0.53%       Meridian Energy Ltd 76,092   125
Henkel AG & Co KGaA 6,169   633 Mighty River Power Ltd 41,563   84
Reckitt Benckiser Group PLC 38,345   3,463 Origin Energy Ltd 65,689   665
Societe BIC SA 1,707   281 Power Assets Holdings Ltd 82,000   785
  $   4,377 Red Electrica Corp SA 6,424   540
Cosmetics & Personal Care - 1.30%       RWE AG 29,057   679
Beiersdorf AG 5,984   542 Shikoku Electric Power Co Inc 10,500   155
Kao Corp 29,800   1,354 SSE PLC 58,644   1,493
L'Oreal SA 14,995   2,828 Terna Rete Elettrica Nazionale SpA 89,510   427
Shiseido Co Ltd 21,300   426 Tohoku Electric Power Co Inc 26,900   376
Svenska Cellulosa AB SCA 34,937   912 Tokyo Electric Power Co Inc (a) 85,700   488
Unicharm Corp 22,100   488   $   19,245
Unilever NV - CVA 96,724   4,132 Electrical Components & Equipment - 0.66%      
  $   10,682 Brother Industries Ltd 14,000   218
Distribution & Wholesale - 0.98%       Casio Computer Co Ltd 11,900   223
Hitachi High-Technologies Corp 4,100   115 Legrand SA 15,721   884
ITOCHU Corp 93,700   1,259 Mabuchi Motor Co Ltd 2,900   175
Jardine Cycle & Carriage Ltd 6,300   184 Nidec Corp 12,800   932
Li & Fung Ltd 348,000   301 Osram Licht AG 5,282   279
Marubeni Corp 97,900   572 Prysmian SpA 11,581   262
Mitsubishi Corp 81,900   1,829 Schneider Electric SE 32,971   2,486
Mitsui & Co Ltd 101,300   1,417   $   5,459
Rexel SA 17,338   318 Electronics - 1.15%      
Sumitomo Corp 66,800   792 Hamamatsu Photonics KK 8,400   258
Toyota Tsusho Corp 12,500   349 Hirose Electric Co Ltd 1,785   254
Wolseley PLC 15,440   956 Hoya Corp 25,200   926
  $   8,092 Ibiden Co Ltd 7,100   133
Diversified Financial Services - 1.59%       Japan Display Inc 21,300   89
Aberdeen Asset Management PLC 55,347   378 Keyence Corp 2,740   1,470
Acom Co Ltd (a) 23,600   75 Koninklijke Philips NV 55,505   1,512
AEON Financial Service Co Ltd 6,100   147 Kyocera Corp 19,000   1,031
ASX Ltd 11,495   365 Minebea Co Ltd 19,000   349
Credit Saison Co Ltd 8,800   173 Murata Manufacturing Co Ltd 12,000   1,945
Daiwa Securities Group Inc 98,000   773 NEC Corp 154,000   502
Deutsche Boerse AG 11,459   920 Nippon Electric Glass Co Ltd 24,000   127
Hargreaves Lansdown PLC 15,490   301 Omron Corp 11,500   533
Hong Kong Exchanges and Clearing Ltd 65,800   2,525 Yaskawa Electric Corp 13,500   189
ICAP PLC 32,763   277 Yokogawa Electric Corp 13,500   160
Investec PLC 32,790   301   $   9,478
Japan Exchange Group Inc 16,200   490 Energy - Alternate Sources - 0.08%      
Julius Baer Group Ltd (a) 13,288   725        
        Vestas Wind Systems A/S 13,303   679
London Stock Exchange Group PLC 18,540   698        
Macquarie Group Ltd 17,332   1,077        
Mitsubishi UFJ Lease & Finance Co Ltd 29,200   153 Engineering & Construction - 0.94%      
Nomura Holdings Inc 215,600   1,424 ACS Actividades de Construccion y Servicios 11,210   361
ORIX Corp 78,500   1,238 SA      
Partners Group Holding AG 951   298 Aena SA (a),(c) 4,007   420
Platinum Asset Management Ltd 13,861   83 Aeroports de Paris 1,761   218
Schroders PLC 7,380   381 Auckland International Airport Ltd 56,549   194
Singapore Exchange Ltd 47,700   298 Boskalis Westminster NV 5,109   253
  $   13,100 Bouygues SA 11,973   471
        Cheung Kong Infrastructure Holdings Ltd 37,000   305
Electric - 2.34%       Chiyoda Corp 9,000   80
AGL Energy Ltd 39,973   495 CIMIC Group Ltd 6,029   111
AusNet Services 102,928   120 Ferrovial SA 26,487   572
Chubu Electric Power Co Inc 38,200   576 Fraport AG Frankfurt Airport Services 2,467   162
Chugoku Electric Power Co Inc/The 17,600   266 Worldwide      
CLP Holdings Ltd 112,000   979 Japan Airport Terminal Co Ltd 2,500   145
Contact Energy Ltd 21,771   95 JGC Corp 12,000   240
E.ON SE 118,813   1,748 Kajima Corp 50,000   219
EDP - Energias de Portugal SA 137,505   536 Lend Lease Group 32,693   414
Electric Power Development Co Ltd 8,400   291 Obayashi Corp 38,000   248
Electricite de France SA 14,357   353 Shimizu Corp 35,000   267
Endesa SA 18,859   352 Singapore Technologies Engineering Ltd 92,600   233
Enel Green Power SpA 103,909   197 Skanska AB 22,563   470

 

See accompanying notes

84

 

Schedule of Investments
International Equity Index Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held    Value (000's) COMMON STOCKS (continued) Shares Held    Value (000's)
 
Engineering & Construction (continued)       Forest Products & Paper (continued)      
Sydney Airport 64,480 $ 280 UPM-Kymmene OYJ 31,691 $ 569
Taisei Corp 60,000   327   $   1,613
Vinci SA 28,055   1,663        
WorleyParsons Ltd 12,333   102 Gas - 0.99%      
  $   7,755 Centrica PLC 295,049   1,250
        Enagas SA 12,758   367
Entertainment - 0.33%       Gas Natural SDG SA 20,796   511
Aristocrat Leisure Ltd 31,989   190 Hong Kong & China Gas Co Ltd 373,182   899
Genting Singapore PLC 358,900   245 National Grid PLC 221,994   3,179
Merlin Entertainments PLC (c) 42,134   296 Osaka Gas Co Ltd 111,000   443
Oriental Land Co Ltd/Japan 11,800   758 Snam SpA 124,714   618
Sankyo Co Ltd 2,900   107 Toho Gas Co Ltd 24,000   149
Sega Sammy Holdings Inc 11,000   159 Tokyo Gas Co Ltd 138,000   761
Tabcorp Holdings Ltd 49,249   189   $   8,177
Tatts Group Ltd 85,844   272        
Toho Co Ltd/Tokyo 6,600   166 Hand & Machine Tools - 0.41%      
William Hill PLC 52,070   335 Fuji Electric Co Ltd 33,000   157
  $   2,717 Makita Corp 7,000   379
        Sandvik AB 63,308   763
Environmental Control - 0.02%       Schindler Holding AG - PC 2,648   464
Kurita Water Industries Ltd 6,300   151 Schindler Holding AG - REG 1,214   211
        SMC Corp/Japan 3,200   965
        Techtronic Industries Co Ltd 81,000   279
Food - 4.77%       THK Co Ltd 7,100   170
Ajinomoto Co Inc 33,000   680        
Aryzta AG (a) 5,178   328   $   3,388
Associated British Foods PLC 21,152   982 Healthcare - Products - 0.74%      
Barry Callebaut AG (a) 129   146 Cochlear Ltd 3,389   229
Calbee Inc 4,300   165 Coloplast A/S 6,596   497
Carrefour SA 32,727   1,110 Elekta AB 21,884   154
Casino Guichard Perrachon SA 3,359   263 Essilor International SA 12,177   1,486
Chocoladefabriken Lindt & Sprungli AG 56   296 Getinge AB 11,883   288
Chocoladefabriken Lindt & Sprungli AG 5   314 Olympus Corp 15,200   516
Colruyt SA 4,184   188 QIAGEN NV (a) 13,087   321
Danone SA 34,403   2,363 Shimadzu Corp 14,000   185
Delhaize Group SA 6,105   545 Smith & Nephew PLC 53,179   944
Distribuidora Internacional de Alimentacion 36,725   292 Sonova Holding AG 3,189   481
SA       Sysmex Corp 8,500   490
First Pacific Co Ltd/Hong Kong 138,000   131 Terumo Corp 18,000   408
ICA Gruppen AB 4,595   160 William Demant Holding A/S (a) 1,514   125
J Sainsbury PLC 79,578   307   $   6,124
Jeronimo Martins SGPS SA 14,945   205        
Kerry Group PLC 9,395   702 Healthcare - Services - 0.45%      
Kikkoman Corp 8,000   223 Fresenius Medical Care AG & Co KGaA 12,932   1,108
Koninklijke Ahold NV 53,104   1,079 Fresenius SE & Co KGaA 22,524   1,437
MEIJI Holdings Co Ltd 3,600   409 Healthscope Ltd 66,849   142
METRO AG 9,621   335 Miraca Holdings Inc 3,300   159
Nestle SA 191,479   14,835 Ramsay Health Care Ltd 8,399   406
NH Foods Ltd 10,000   216 Ryman Healthcare Ltd 22,265   126
Nisshin Seifun Group Inc 12,595   157 Sonic Healthcare Ltd 22,641   346
Nissin Foods Holdings Co Ltd 3,800   162   $   3,724
Orkla ASA 48,400   380 Holding Companies - Diversified - 0.60%      
Seven & i Holdings Co Ltd 44,700   1,846 Bollore SA 51,430   293
Tate & Lyle PLC 27,674   246 GEA Group AG 10,857   528
Tesco PLC 482,319   1,573 Hutchison Whampoa Ltd (b) 123,000   1,824
Toyo Suisan Kaisha Ltd 5,200   180 Industrivarden AB 9,746   195
Unilever PLC 76,208   3,371 Keppel Corp Ltd 86,300   559
Wesfarmers Ltd 66,725   2,220 Noble Group Ltd 281,100   166
WH Group Ltd (a),(c) 347,500   266        
        NWS Holdings Ltd 87,500   141
Wilmar International Ltd 113,900   283 Swire Pacific Ltd 34,500   463
WM Morrison Supermarkets PLC 131,718   345 Wendel SA 1,702   217
Woolworths Ltd 75,001   1,599 Wharf Holdings Ltd/The 81,000   557
Yakult Honsha Co Ltd 5,200   288   $   4,943
Yamazaki Baking Co Ltd 6,000   99        
  $   39,289 Home Builders - 0.43%      
        Barratt Developments PLC 58,901   535
Food Service - 0.28%       Daiwa House Industry Co Ltd 35,200   843
Compass Group PLC 98,906   1,732 Iida Group Holdings Co Ltd 8,720   141
Sodexo SA 5,597   577 Persimmon PLC (a) 18,198   547
  $   2,309 Sekisui Chemical Co Ltd 25,000   336
Forest Products & Paper - 0.20%       Sekisui House Ltd 35,200   586
Mondi PLC 21,805   493 Taylor Wimpey PLC 193,181   543
Oji Holdings Corp 47,000   208   $   3,531
Stora Enso OYJ 32,683   343        

 

See accompanying notes

85

 

Schedule of Investments
International Equity Index Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held    Value (000's) COMMON STOCKS (continued) Shares Held    Value (000's)
 
Home Furnishings - 0.56%       Iron & Steel - 0.50%      
Electrolux AB 14,284 $ 436 ArcelorMittal 59,331 $ 632
Matsushita Electric Industrial Co Ltd 131,000   1,917 Fortescue Metals Group Ltd 92,443   170
Sharp Corp/Japan 86,000   120 Hitachi Metals Ltd 12,000   198
Sony Corp 69,400   2,146 JFE Holdings Inc 29,100   707
  $   4,619 Kobe Steel Ltd 183,000   342
        Nippon Steel & Sumitomo Metal Corp 450,775   1,234
Insurance - 5.33%       ThyssenKrupp AG 21,842   580
Admiral Group PLC 12,410   283 voestalpine AG 6,655   277
Aegon NV 107,575   821   $   4,140
Ageas 12,344   462        
AIA Group Ltd 715,000   4,694 Leisure Products & Services - 0.29%      
Allianz SE 27,135   4,266 Carnival PLC 10,933   529
AMP Ltd 175,621   890 Flight Centre Travel Group Ltd 3,289   117
Assicurazioni Generali SpA 69,331   1,343 Shimano Inc 4,600   653
Aviva PLC 237,611   1,906 TUI AG 26,983   479
AXA SA 116,012   2,915 Yamaha Corp 9,900   200
Baloise Holding AG 2,968   370 Yamaha Motor Co Ltd 15,500   386
CNP Assurances 10,191   169   $   2,364
Dai-ichi Life Insurance Co Ltd/The 63,900   1,116        
Delta Lloyd NV 13,019   226 Lodging - 0.52%      
Direct Line Insurance Group PLC 89,065   459 Accor SA 12,455   682
Gjensidige Forsikring ASA 11,875   183 City Developments Ltd 24,200   189
Hannover Rueck SE 3,580   348 Crown Resorts Ltd 21,624   216
Insurance Australia Group Ltd 139,037   600 Galaxy Entertainment Group Ltd 137,000   653
Legal & General Group PLC 352,835   1,436 InterContinental Hotels Group PLC 14,018   588
Mapfre SA 63,999   228 MGM China Holdings Ltd 56,400   102
Medibank Pvt Ltd (a) 163,524   267 Sands China Ltd 143,200   551
MS&AD Insurance Group Holdings Inc 30,000   928 Shangri-La Asia Ltd 74,166   113
Muenchener Rueckversicherungs-Gesellschaft 10,268   1,897 SJM Holdings Ltd 117,000   149
AG in Muenchen       Whitbread PLC 10,788   845
NN Group NV (a) 9,352   261 Wynn Macau Ltd 92,000   173
Old Mutual PLC 292,490   990   $   4,261
Prudential PLC 152,475   3,800 Machinery - Construction & Mining - 1.15%      
QBE Insurance Group Ltd 81,046   904 ABB Ltd (a) 130,570   2,863
RSA Insurance Group PLC 60,308   398 Atlas Copco AB - A Redemption Shares (a) 39,239   27
Sampo Oyj 26,543   1,252 Atlas Copco AB - A Shares 39,872   1,206
SCOR SE 9,119   312 Atlas Copco AB - B Redemption Shares (a) 22,802   16
Sompo Japan Nipponkoa Holdings Inc 19,650   711 Atlas Copco AB - B Shares 23,169   624
Sony Financial Holdings Inc 10,300   180 Hitachi Construction Machinery Co Ltd 6,300   115
Standard Life PLC 116,359   869 Hitachi Ltd 285,000   1,940
Suncorp Group Ltd 76,393   788 Komatsu Ltd 55,300   1,163
Swiss Life Holding AG (a) 1,903   457 Mitsubishi Electric Corp 114,000   1,557
Swiss Re AG 20,910   1,879   $   9,511
T&D Holdings Inc 34,300   511        
Tokio Marine Holdings Inc 41,000   1,689 Machinery - Diversified - 1.11%      
Tryg A/S 7,089   142 Alstom SA (a) 12,871   403
UnipolSai SpA (a) 47,292   129 Amada Holdings Co Ltd 20,600   210
Zurich Insurance Group AG (a) 8,885   2,836 ANDRITZ AG 4,631   286
  $   43,915 CNH Industrial NV 56,285   502
        FANUC Corp 12,100   2,664
Internet - 0.36%       Hexagon AB 15,217   559
Iliad SA 1,562   354 Husqvarna AB 24,468   186
Kakaku.com Inc 8,500   132 Kone OYJ 18,628   782
M3 Inc 11,400   216 Kubota Corp 66,000   1,097
Mixi Inc 2,500   106 MAN SE 2,091   216
Rakuten Inc 47,200   772 Metso OYJ 6,695   193
SBI Holdings Inc/Japan 12,690   181 Mitsubishi Heavy Industries Ltd 180,000   1,137
Seek Ltd 19,326   249 Nabtesco Corp 7,100   183
Trend Micro Inc/Japan 6,200   217 Sumitomo Heavy Industries Ltd 33,000   216
United Internet AG 7,303   341 Weir Group PLC/The 12,669   392
Yahoo Japan Corp 84,400   377 Zardoya Otis SA 10,330   133
  $   2,945   $   9,159
 
Investment Companies - 0.47%       Media - 0.99%      
CK Hutchison Holdings Ltd 80,000   1,247 Axel Springer SE 2,643   144
Delek Group Ltd 273   79 ITV PLC 227,432   946
Eurazeo SA 2,370   159 Kabel Deutschland Holding AG (a) 1,313   178
EXOR SpA 5,847   291 Lagardere SCA 7,006   212
Groupe Bruxelles Lambert SA 4,790   398 Numericable-SFR SAS (a) 5,782   333
Investment AB Kinnevik 13,977   467 Pearson PLC 48,705   975
Investor AB 27,045   1,069 ProSiebenSat.1 Media AG 12,991   622
Israel Corp Ltd/The 157   56 Reed Elsevier NV 39,325   954
Pargesa Holding SA 1,833   129 RTL Group SA 2,297   206
  $   3,895 Singapore Press Holdings Ltd 94,900   293

 

See accompanying notes

86

 

Schedule of Investments
International Equity Index Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held   Value (000's) COMMON STOCKS (continued) Shares Held   Value (000's)
 
Media (continued)       Oil & Gas (continued)      
Sky PLC 61,306 $ 989 Statoil ASA 66,265 $ 1,237
Vivendi SA 68,290   1,735 TonenGeneral Sekiyu KK 17,000   160
Wolters Kluwer NV 17,924   557 TOTAL SA 127,097   6,414
  $   8,144 Transocean Ltd 21,512   415
        Tullow Oil PLC 54,085   327
Metal Fabrication & Hardware - 0.34%       Woodside Petroleum Ltd 44,029   1,228
Assa Abloy AB 19,836   1,172   $   39,417
Maruichi Steel Tube Ltd 2,800   74        
NSK Ltd 27,800   455 Oil & Gas Services - 0.16%      
SKF AB 23,561   569 Amec Foster Wheeler PLC 23,081   336
Tenaris SA 28,037   405 Petrofac Ltd 15,404   213
Vallourec SA 6,591   163 Saipem SpA (a) 15,721   200
  $   2,838 Subsea 7 SA 15,778   165
        Technip SA 6,087   401
Mining - 2.35%         $   1,315
Alumina Ltd 149,962   202        
Anglo American PLC 82,930   1,299 Packaging & Containers - 0.16%      
Antofagasta PLC 23,413   268 Amcor Ltd/Australia 71,649   791
BHP Billiton Ltd 190,701   4,253 Rexam PLC 41,855   357
BHP Billiton PLC 125,408   2,644 Toyo Seikan Group Holdings Ltd 9,600   145
Boliden AB 16,239   349   $   1,293
Fresnillo PLC 13,126   152        
Glencore PLC (a) 649,907   2,867 Pharmaceuticals - 9.33%      
        Actelion Ltd (a) 6,098   853
Iluka Resources Ltd 24,860   170        
Lonmin PLC (a) 7,013   15 Alfresa Holdings Corp 10,400   159
Mitsubishi Materials Corp 65,000   257 Astellas Pharma Inc 127,300   1,848
Newcrest Mining Ltd (a) 45,512   493 AstraZeneca PLC 75,009   5,052
Norsk Hydro ASA 79,852   373 Bayer AG 49,101   6,981
Randgold Resources Ltd 5,513   399 Chugai Pharmaceutical Co Ltd 13,300   396
Rio Tinto Ltd 25,873   1,143 Daiichi Sankyo Co Ltd 37,700   709
Rio Tinto PLC 75,553   3,304 Eisai Co Ltd 14,900   930
South32 Ltd (a) 123,415   204 GlaxoSmithKline PLC 288,859   6,418
South32 Ltd (a) 316,110   529 Grifols SA 8,855   353
Sumitomo Metal Mining Co Ltd 29,000   446 Hisamitsu Pharmaceutical Co Inc 3,400   137
  $   19,367 Kyowa Hakko Kirin Co Ltd 13,000   164
        Medipal Holdings Corp 7,900   122
Miscellaneous Manufacturing - 1.17%       Merck KGaA 7,673   822
Alfa Laval AB 17,434   329 Mitsubishi Tanabe Pharma Corp 13,200   209
FUJIFILM Holdings Corp 27,500   1,046 Novartis AG 136,582   14,018
IMI PLC 16,139   307 Novo Nordisk A/S 112,893   6,405
Konica Minolta Inc 27,200   341 Ono Pharmaceutical Co Ltd 4,800   524
Melrose Industries PLC 59,092   240 Orion Oyj 5,987   200
Nikon Corp 20,200   250 Otsuka Holdings Co Ltd 23,000   718
Orica Ltd 22,132   369 Roche Holding AG 41,715   12,718
Siemens AG 47,079   4,961 Sanofi 70,505   6,943
Smiths Group PLC 23,439   430 Santen Pharmaceutical Co Ltd 22,100   306
Sulzer AG 1,423   156 Shionogi & Co Ltd 17,700   626
Toshiba Corp 239,000   838 Shire PLC 35,046   3,031
Wartsila OYJ Abp 8,783   393 Sumitomo Dainippon Pharma Co Ltd 9,300   106
  $   9,660 Suzuken Co Ltd/Aichi Japan 4,600   149
        Taisho Pharmaceutical Holdings Co Ltd 1,900   131
Office & Business Equipment - 0.35%       Takeda Pharmaceutical Co Ltd 46,800   2,270
Canon Inc 63,300   2,185 Teva Pharmaceutical Industries Ltd 50,296   3,040
Ricoh Co Ltd 41,900   435 UCB SA 7,506   536
Seiko Epson Corp 16,500   304   $   76,874
  $   2,924        
        Pipelines - 0.08%      
Oil & Gas - 4.78%       APA Group 66,163   470
BG Group PLC 202,737   3,534 Koninklijke Vopak NV 4,174   208
BP PLC 1,083,209   7,495   $   678
Caltex Australia Ltd 16,031   412        
Eni SpA 151,050   2,722 Private Equity - 0.06%      
Galp Energia SGPS SA 22,894   269 3i Group PLC 57,740   498
Idemitsu Kosan Co Ltd 5,200   103        
Inpex Corp 56,400   692        
JX Holdings Inc 133,230   587 Publicly Traded Investment Fund - 2.14%      
Lundin Petroleum AB (a) 12,929   204 iShares MSCI EAFE ETF 264,900   17,653
Neste Oyj 7,611   193        
OMV AG 8,744   248 Real Estate - 1.56%      
Repsol SA 61,218   1,165 Aeon Mall Co Ltd 6,650   122
Royal Dutch Shell PLC - A Shares 231,249   6,893 CapitaLand Ltd 152,100   393
Royal Dutch Shell PLC - B Shares 144,904   4,385 Cheung Kong Property Holdings Ltd (a),(b) 80,000   486
Santos Ltd 58,412   366 Daito Trust Construction Co Ltd 4,300   477
Seadrill Ltd 21,943   264 Deutsche Annington Immobilien SE 20,478   648
Showa Shell Sekiyu KK 11,100   104 Deutsche Wohnen AG 17,499   427

 

See accompanying notes

87

 

Schedule of Investments
International Equity Index Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held    Value (000's) COMMON STOCKS (continued) Shares Held    Value (000's)
 
Real Estate (continued)       Retail (continued)      
Global Logistic Properties Ltd 186,700 $ 382 Lawson Inc 3,800 $ 265
Hang Lung Properties Ltd 133,000   420 Luxottica Group SpA 10,011   676
Henderson Land Development Co Ltd 61,370   494 Marks & Spencer Group PLC 97,795   872
Hulic Co Ltd 17,400   179 Marui Group Co Ltd 14,000   176
Hysan Development Co Ltd 38,000   173 McDonald's Holdings Co Japan Ltd 3,900   82
Keppel Land Ltd (b) 40,600   130 Next PLC 8,623   992
Kerry Properties Ltd 38,500   161 Nitori Holdings Co Ltd 4,400   338
Mitsubishi Estate Co Ltd 74,000   1,651 Pandora A/S 6,845   686
Mitsui Fudosan Co Ltd 55,000   1,599 Shimamura Co Ltd 1,200   129
New World Development Co Ltd 317,000   422 Sports Direct International PLC (a) 15,990   165
Nomura Real Estate Holdings Inc 7,400   152 Swatch Group AG/The - BR 1,830   728
NTT Urban Development Corp 6,700   69 Swatch Group AG/The - REG 2,945   234
REA Group Ltd 3,127   93 Takashimaya Co Ltd 17,000   163
Seibu Holdings Inc 7,000   157 Travis Perkins PLC 14,773   501
Sino Land Co Ltd 179,073   305 USS Co Ltd 12,900   241
Sumitomo Realty & Development Co Ltd 21,000   806 Yamada Denki Co Ltd 40,100   168
Sun Hung Kai Properties Ltd 100,000   1,691   $   19,051
Swire Properties Ltd 69,400   236        
Swiss Prime Site AG (a) 3,928   314 Semiconductors - 0.77%      
Tokyo Tatemono Co Ltd 24,000   185 Advantest Corp 8,900   106
Tokyu Fudosan Holdings Corp 30,400   228 ARM Holdings PLC 83,809   1,482
UOL Group Ltd 27,900   152 ASM Pacific Technology Ltd 14,300   148
Wheelock & Co Ltd 54,000   290 ASML Holding NV 20,816   2,330
  $   12,842 Infineon Technologies AG 66,963   875
        Rohm Co Ltd 5,700   402
REITS - 1.54%       STMicroelectronics NV 37,845   322
Ascendas Real Estate Investment Trust 121,300   216 Tokyo Electron Ltd 10,100   649
British Land Co PLC/The 57,527   758   $   6,314
CapitaLand Commercial Trust 122,400   146        
CapitaLand Mall Trust 143,900   231 Shipbuilding - 0.05%      
Dexus Property Group 57,013   348 Sembcorp Industries Ltd 58,300   180
Federation Centres 199,795   462 Sembcorp Marine Ltd 49,600   110
Fonciere Des Regions 1,779   157 Yangzijiang Shipbuilding Holdings Ltd 113,800   122
Gecina SA 2,060   271   $   412
Goodman Group 104,089   518 Software - 0.87%      
GPT Group/The 104,768   369 Amadeus IT Holding SA 26,575   1,209
Hammerson PLC 46,569   476 COLOPL Inc 2,900   60
ICADE 1,975   154 Dassault Systemes 7,591   592
Intu Properties PLC 54,732   280 GungHo Online Entertainment Inc 23,900   88
Japan Prime Realty Investment Corp 46   151 Konami Corp 5,500   103
Japan Real Estate Investment Corp 74   340 Nexon Co Ltd 7,700   104
Japan Retail Fund Investment Corp 144   288 Oracle Corp Japan 2,300   99
Klepierre 10,026   445 Sage Group PLC/The 63,965   556
Land Securities Group PLC 46,939   943 SAP SE 58,356   4,332
Link REIT/The 135,500   785   $   7,143
Mirvac Group 219,528   336        
Nippon Building Fund Inc 84   392 Storage & Warehousing - 0.01%      
Nippon Prologis REIT Inc 86   165 Mitsubishi Logistics Corp 7,000   99
Scentre Group 316,141   951        
Segro PLC 44,078   287 Telecommunications - 5.33%      
Stockland 140,232   463 Alcatel-Lucent (a) 167,093   670
Suntec Real Estate Investment Trust 141,000   188 Altice SA (a) 5,152   669
Unibail-Rodamco SE 5,822   1,495 Belgacom SA 9,031   314
United Urban Investment Corp 156   233 Bezeq The Israeli Telecommunication Corp 112,089   188
Westfield Corp 117,221   863 Ltd      
  $   12,711 BT Group PLC 496,941   3,399
Retail - 2.31%       Deutsche Telekom AG 188,516   3,252
ABC-Mart Inc 1,600   92 Elisa OYJ 8,445   259
Aeon Co Ltd 38,800   517 Eutelsat Communications SA 10,107   344
Cie Financiere Richemont SA 30,993   2,677 Hikari Tsushin Inc 1,100   77
Citizen Holdings Co Ltd 15,600   114 HKT Trust & HKT Ltd 156,980   198
Dixons Carphone PLC 58,114   423 Inmarsat PLC 26,619   405
Don Quijote Holdings Co Ltd 3,500   270 KDDI Corp 103,700   2,334
FamilyMart Co Ltd 3,500   147 Koninklijke KPN NV 190,165   689
Fast Retailing Co Ltd 3,100   1,274 Millicom International Cellular SA 3,924   315
Harvey Norman Holdings Ltd 32,971   118 NICE-Systems Ltd 3,347   210
Hennes & Mauritz AB 56,374   2,224 Nippon Telegraph & Telephone Corp 22,200   1,535
HUGO BOSS AG 3,970   454 Nokia OYJ 218,397   1,598
Inditex SA 64,770   2,144 NTT DOCOMO Inc 90,700   1,630
Isetan Mitsukoshi Holdings Ltd 21,000   352 Orange SA 110,097   1,736
J Front Retailing Co Ltd 14,200   250 PCCW Ltd 243,000   152
Kering 4,498   789 SES SA 19,043   674
Kingfisher PLC 139,280   790 Singapore Telecommunications Ltd 473,300   1,449

 

See accompanying notes

88

 

Schedule of Investments
International Equity Index Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held     Value (000's) PREFERRED STOCKS - 0.59% Shares Held   Value (000's)  
 
Telecommunications (continued)       Automobile Manufacturers - 0.42%          
SoftBank Corp 56,900 $ 3,387 Bayerische Motoren Werke AG   3,235 $ 273  
Spark New Zealand Ltd 108,943   213 Porsche Automobil Holding SE   9,091   804  
StarHub Ltd 35,800   107 Volkswagen AG   9,652   2,346  
Swisscom AG 1,537   891       $   3,423  
TDC A/S 48,214   360              
Tele2 AB 18,949   223 Chemicals - 0.02%          
Telecom Italia SpA (a) 599,899   738 FUCHS PETROLUB SE   4,126   182  
Telecom Italia SpA - RSP 357,813   354              
Telefonaktiebolaget LM Ericsson 180,701   2,034 Consumer Products - 0.15%          
Telefonica Deutschland Holding AG 35,323   196 Henkel AG & Co KGaA   10,577   1,266  
Telefonica SA 264,433   3,748              
Telenet Group Holding NV (a) 3,120   170 TOTAL PREFERRED STOCKS   $   4,871  
Telenor ASA 44,575   1,009 Total Investments   $   821,609  
TeliaSonera AB 154,263   910 Other Assets in Excess of Liabilities, Net - 0.31% $   2,557  
Telstra Corp Ltd 254,072   1,205 TOTAL NET ASSETS - 100.00%   $   824,166  
TPG Telecom Ltd 16,495   113              
Vodafone Group PLC 1,574,165   6,153              
  $   43,908 (a) Non-Income Producing Security          
Toys, Games & Hobbies - 0.16%       (b) Fair value of these investments is determined in good faith by the Manager  
Bandai Namco Holdings Inc 10,500   215   under procedures established and periodically reviewed by the Board of  
Nintendo Co Ltd 6,200   1,046   Directors. At the end of the period, the fair value of these securities totaled  
Sanrio Co Ltd 2,900   81   $2,440 or 0.30% of net assets.          
  $   1,342 (c) Security exempt from registration under Rule 144A of the Securities Act of  
          1933. These securities may be resold in transactions exempt from  
Transportation - 1.74%         registration, normally to qualified institutional buyers. At the end of the  
AP Moeller - Maersk A/S - A shares 227   427   period, the value of these securities totaled $982 or 0.12% of net assets.  
AP Moeller - Maersk A/S - B shares 423   815              
Asciano Ltd 57,915   298              
Aurizon Holdings Ltd 126,112   513              
Central Japan Railway Co 8,500   1,473   Portfolio Summary (unaudited)      
ComfortDelGro Corp Ltd 127,100   288 Country       Percent  
Deutsche Post AG 57,532   1,739 Japan         21.69 %
DSV A/S 10,509   365 United Kingdom       17.87 %
East Japan Railway Co 19,800   1,804 Switzerland       9.67 %
Groupe Eurotunnel SE 27,758   418 France       9.20 %
Hankyu Hanshin Holdings Inc 67,000   401 Germany       8.60 %
Kamigumi Co Ltd 14,000   130 Australia       6.90 %
Keihan Electric Railway Co Ltd 30,000   171 Netherlands       3.36 %
Keikyu Corp 28,000   215 Spain         3.34 %
Keio Corp 34,000   250 Hong Kong       3.10 %
Keisei Electric Railway Co Ltd 17,000   196 United States       2.94 %
Kintetsu Group Holdings Co Ltd 107,000   357 Sweden       2.83 %
Kuehne + Nagel International AG 3,206   451 Italy         2.08 %
Mitsui OSK Lines Ltd 67,000   229 Denmark       1.61 %
MTR Corp Ltd 86,500   414 Singapore       1.37 %
Nagoya Railroad Co Ltd 51,000   193 Belgium       1.23 %
Nippon Express Co Ltd 50,000   275 Ireland       0.89 %
Nippon Yusen KK 95,000   286 Finland       0.77 %
Odakyu Electric Railway Co Ltd 37,000   350 Norway       0.58 %
Royal Mail PLC 38,594   309 Israel         0.55 %
TNT Express NV 29,295   247 Luxembourg       0.35 %
Tobu Railway Co Ltd 60,000   264 Austria       0.16 %
Tokyu Corp 66,000   431 New Zealand       0.14 %
West Japan Railway Co 9,700   575 Portugal       0.14 %
Yamato Holdings Co Ltd 20,600   420 Macao       0.10 %
  $   14,304 South Africa       0.10 %
        Jersey, Channel Islands       0.05 %
Water - 0.24%       Bermuda       0.03 %
Severn Trent PLC 14,205   477 China         0.02 %
Suez Environnement Co 17,641   340 Mexico       0.02 %
United Utilities Group PLC 40,488   617 Other Assets in Excess of Liabilities, Net       0.31 %
Veolia Environnement SA 26,710   556 TOTAL NET ASSETS       100.00 %
  $   1,990              
TOTAL COMMON STOCKS $   810,648              
INVESTMENT COMPANIES - 0.74% Shares Held      Value (000's)              
 
Publicly Traded Investment Fund - 0.74%                    
Morgan Stanley Institutional Liquidity Funds - 6,090,330   6,090              
Government Portfolio                    
 
TOTAL INVESTMENT COMPANIES $   6,090              

 

See accompanying notes

89

 

Schedule of Investments
International Equity Index Fund
May 31, 2015 (unaudited)
 
Futures Contracts
                  Unrealized
Type Long/Short Contracts   Notional Value   Fair Value Appreciation/(Depreciation)
eMini MSCI EAFE; June 2015 Long 40 $ 3,599 $  3,800 $ 201
Total             $   201
Amounts in thousands except contracts                  

 

See accompanying notes

90

 

Schedule of Investments
International Small Company Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS - 99.01% Shares Held    Value (000's) COMMON STOCKS (continued) Shares Held   Value (000's)
 
Advertising - 1.41%       Cosmetics & Personal Care (continued)      
Stroeer Media SE 1,388 $ 58 Pola Orbis Holdings Inc 1,600 $ 88
Teleperformance 1,493   110   $   158
  $   168 Distribution & Wholesale - 1.57%      
Airlines - 0.47%       Entertainment One Ltd 10,076   50
Air New Zealand Ltd 26,221   56 Inchcape PLC 8,710   112
        Trusco Nakayama Corp 800   25
          $   187
Apparel - 1.38%              
Gunze Ltd 12,000   32 Diversified Financial Services - 3.91%      
Moncler SpA 3,722   71 Century Tokyo Leasing Corp 2,000   62
Yue Yuen Industrial Holdings Ltd 18,000   62 Henderson Group PLC 19,857   87
  $   165 Intermediate Capital Group PLC 9,984   91
        Man Group PLC 36,902   101
Automobile Parts & Equipment - 4.33%       Paragon Group of Cos PLC/The 11,533   78
Brembo SpA 1,964   84 Tokai Tokyo Financial Holdings Inc 6,500   47
Calsonic Kansei Corp 10,000   75   $   466
Georg Fischer AG 102   77        
Haldex AB 2,722   39 Electric - 0.91%      
Nifco Inc/Japan 1,500   62 Hera SpA 25,296   67
Norma Group SE 996   53 Iren SpA 29,021   42
Plastic Omnium SA 2,325   66   $   109
Toyo Tire & Rubber Co Ltd 2,700   60        
  $   516 Electrical Components & Equipment - 1.90%      
        Fujikura Ltd 15,000   83
Banks - 5.08%       Gamesa Corp Tecnologica SA 5,793   89
77 Bank Ltd/The 14,000   78 Mabuchi Motor Co Ltd 900   54
Aareal Bank AG 1,776   71   $   226
Banca Popolare di Milano Scarl 49,732   52        
Bank of the Ryukyus Ltd 1,900   29 Electronics - 3.12%      
Credito Emiliano SpA 4,161   35 Alps Electric Co Ltd 3,400   87
Gunma Bank Ltd/The 11,000   77 Japan Aviation Electronics Industry Ltd 3,000   82
        Kaba Holding AG (a) 112   70
Home Capital Group Inc 1,650   56        
Israel Discount Bank Ltd (a) 34,924   62 Osaki Electric Co Ltd 7,000   41
Joyo Bank Ltd/The 5,000   27 Siix Corp 1,400   41
Keiyo Bank Ltd/The 8,000   43 Taiyo Yuden Co Ltd 3,400   51
Suruga Bank Ltd 3,600   76   $   372
  $   606 Engineering & Construction - 2.41%      
Beverages - 1.17%       Arcadis NV 2,363   67
Britvic PLC 6,298   70 Keller Group PLC 3,348   55
Royal Unibrew A/S 1,927   69 NCC AB 2,376   74
  $   139 Nippo Corp 4,000   69
        Yokogawa Bridge Holdings Corp 2,200   22
Biotechnology - 1.30%         $   287
Concordia Healthcare Corp 1,228   82        
Genmab A/S (a) 832   73 Entertainment - 1.38%      
        Betfair Group PLC (a) 2,181   89
  $   155 Betsson AB (a) 4,979   74
Building Materials - 0.93%       Betsson AB (a) 1,444   2
Cementir Holding SpA 4,418   29   $   165
Kingspan Group PLC 3,586   82        
  $   111 Food - 1.65%      
        Bakkafrost P/F 2,014   53
Chemicals - 1.94%       Ezaki Glico Co Ltd 1,200   53
DIC Corp 27,000   77 Greencore Group PLC 18,095   91
Nippon Soda Co Ltd 10,000   60   $   197
Symrise AG 726   47        
Toagosei Co Ltd 11,000   47 Forest Products & Paper - 3.40%      
        BillerudKorsnas AB 4,045   69
  $   231 Interfor Corp (a) 4,086   65
Commercial Services - 3.16%       Metsa Board OYJ 6,836   43
Ashtead Group PLC 5,040   87 Mondi PLC 4,954   112
Berendsen PLC 3,952   61 Smurfit Kappa Group PLC 2,057   60
Kanamoto Co Ltd 2,400   68 West Fraser Timber Co Ltd 1,024   56
Loomis AB 2,274   67   $   405
Northgate PLC 5,622   54        
Societa Iniziative Autostradali e Servizi SpA 3,687   40 Gas - 0.62%      
        Rubis SCA 1,084   73
  $   377 Rubis SCA - Rights (a) 943   1
Computers - 1.50%         $   74
Ingenico Group 976   121        
NS Solutions Corp 1,800   58 Hand & Machine Tools - 0.66%      
  $   179 KUKA AG 996   79
 
Cosmetics & Personal Care - 1.32%              
Lion Corp 10,000   70        

 

See accompanying notes

91

 

Schedule of Investments
International Small Company Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held    Value (000's) COMMON STOCKS (continued) Shares Held    Value (000's)
 
Healthcare - Products - 0.61%       Miscellaneous Manufacturing - 0.96%      
Fisher & Paykel Healthcare Corp Ltd 15,561 $ 73 Aalberts Industries NV 2,124 $ 66
        Senior PLC 10,115   49
 
Healthcare - Services - 1.21%         $   115
Eurofins Scientific SE 178   54 Oil & Gas - 4.16%      
Orpea 1,271   90 Bankers Petroleum Ltd (a) 17,324   42
  $   144 Caltex Australia Ltd 2,283   59
        DCC PLC 1,773   141
Holding Companies - Diversified - 0.46%       ERG SpA 4,038   50
Seiko Holdings Corp 10,000   55 Parex Resources Inc (a) 5,267   43
        Raging River Exploration Inc (a) 8,089   58
Home Builders - 2.78%       TORC Oil & Gas Ltd 4,223   33
Bellway PLC 2,837   102 Whitecap Resources Inc 6,319   70
Bovis Homes Group PLC 4,238   71   $   496
Galliford Try PLC 3,248   82        
Redrow PLC 11,399   76 Packaging & Containers - 0.66%      
  $   331 Intertape Polymer Group Inc 800   13
        Orora Ltd 39,451   66
Home Furnishings - 2.12%         $   79
Alpine Electronics Inc 2,900   62        
Howden Joinery Group PLC 15,485   121 Pharmaceuticals - 4.28%      
        BTG PLC (a) 4,240   46
Pace PLC 11,072   70        
  $   253 Hikma Pharmaceuticals PLC 2,740   87
        Ipsen 976   52
Insurance - 1.32%       Kaken Pharmaceutical Co Ltd 3,000   98
Beazley PLC 15,142   69 Nippon Shinyaku Co Ltd 2,000   61
Direct Line Insurance Group PLC 17,288   89 Recordati SpA 3,908   82
  $   158 UDG Healthcare PLC 6,924   56
        Virbac SA 116   28
Internet - 2.08%         $   510
Just Eat PLC (a) 9,322   66        
Just Eat PLC - Rights (a),(b),(c) 5,808   1 Pipelines - 0.46%      
Rightmove PLC 2,276   116 Enbridge Income Fund Holdings Inc 1,791   55
United Internet AG 1,391   65        
  $   248 Private Equity - 0.99%      
Investment Companies - 0.77%       3i Group PLC 10,396   90
Leonteq AG (a) 502   92 Aurelius AG 578   28
          $   118
 
Iron & Steel - 1.13%       Real Estate - 4.33%      
APERAM SA (a) 1,962   81 Charter Hall Group 2,700   10
Nisshin Steel Co Ltd 4,200   54 Deutsche Wohnen AG 2,208   54
  $   135 Grand City Properties SA (a) 2,458   43
        Hemfosa Fastigheter AB 6,350   65
Leisure Products & Services - 0.49%       K Wah International Holdings Ltd 65,000   40
Yamaha Corp 2,900   59 LEG Immobilien AG 1,201   88
        Sponda OYJ 7,278   28
Lodging - 0.75%       ST Modwen Properties PLC 7,208   49
Echo Entertainment Group Ltd 25,365   90 UOL Group Ltd 12,900   70
        Wheelock & Co Ltd 13,000   70
 
Machinery - Diversified - 3.35%         $   517
CKD Corp 4,600   48 REITS - 4.39%      
Daihen Corp 6,000   31 Allied Properties Real Estate Investment Trust 1,459   43
Duerr AG 905   93 Boardwalk Real Estate Investment Trust 1,357   64
Komori Corp 3,400   44 Federation Centres 25,242   58
Makino Milling Machine Co Ltd 5,000   49 Great Portland Estates PLC 6,099   77
Sumitomo Heavy Industries Ltd 11,000   72 Hulic Reit Inc 22   32
Tsubakimoto Chain Co 7,000   62 Japan Hotel REIT Investment Corp 96   65
  $   399 Mirvac Group 38,996   60
        Orix JREIT Inc 36   51
Media - 0.60%       Segro PLC 11,432   74
Cogeco Cable Inc 1,346   71   $   524
 
        Retail - 4.66%      
Mining - 2.45%       Aoyama Trading Co Ltd 2,300   88
Boliden AB 2,227   48        
Detour Gold Corp (a) 2,990   32 Citizen Holdings Co Ltd 5,400   39
        DCM Holdings Co Ltd 4,800   44
Dominion Diamond Corp 2,042   38 Dixons Carphone PLC 11,009   80
Northern Star Resources Ltd 26,148   47        
Nyrstar NV (a) 13,583   52 Dollarama Inc 1,360   75
        Domino's Pizza Group PLC 3,321   40
OceanaGold Corp 11,073   27 Doutor Nichires Holdings Co Ltd 3,300   63
Tahoe Resources Inc 3,428   48 Superior Plus Corp 3,971   44
  $   292 Tsuruha Holdings Inc 1,100   83
          $   556

 

See accompanying notes

92

 

Schedule of Investments
International Small Company Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000 's) Portfolio Summary (unaudited)    
                Country Percent  
Semiconductors - 2.09%             Japan 26.84 %
ams AG 1,791 $ 106        
Dialog Semiconductor PLC (a) 1,991       111   United Kingdom 18.91 %
Tower Semiconductor Ltd (a) 2,063       32   United States 14.34 %
                Canada 9.34 %
        $   249   Germany 7.51 %
Software - 1.80%             Italy 4.62 %
Constellation Software Inc/Canada 218       89   France 4.52 %
NetEnt AB (a) 1,328       51   Ireland 4.18 %
Nexon Co Ltd 3,100       42   Sweden 4.09 %
Nihon Unisys Ltd 3,500       33   Australia 3.49 %
        $   215   Switzerland 2.01 %
                Hong Kong 1.92 %
Telecommunications - 1.76%             Luxembourg 1.49 %
Freenet AG 2,863       94   Denmark 1.19 %
Hitachi Kokusai Electric Inc 4,000       59   Netherlands 1.11 %
PCCW Ltd 91,000       57   New Zealand 1.08 %
        $   210   Belgium 1.03 %
Textiles - 0.22%             South Africa 0.94 %
Fujibo Holdings Inc 11,000       26   Austria 0.89 %
                Israel 0.79 %
                Spain 0.75 %
Transportation - 2.61%             Jordan 0.73 %
Euronav NV 5,117       70   Finland 0.60 %
Go-Ahead Group PLC 1,714       70   Singapore 0.59 %
Kawasaki Kisen Kaisha Ltd 24,000       61   Faroe Islands 0.45 %
Seino Holdings Co Ltd 6,300       77   Liabilities in Excess of Other Assets, Net (13.41 )%
TransForce Inc 1,569       33   TOTAL NET ASSETS 100.00 %
        $   311        
TOTAL COMMON STOCKS     $   11,809        
INVESTMENT COMPANIES - 13.94% Shares Held Value (000 's)      
 
Publicly Traded Investment Fund - 13.94%                  
Goldman Sachs Financial Square Funds - 1,662,974       1,663        
Government Fund                  
 
TOTAL INVESTMENT COMPANIES     $   1,663        
PREFERRED STOCKS - 0.46% Shares Held Value (000 's)      
 
Machinery - Diversified - 0.46%                  
Jungheinrich AG 795       55        
 
TOTAL PREFERRED STOCKS     $   55        
Total Investments     $   13,527        
Liabilities in Excess of Other Assets, Net - (13.41)%   $   (1,599 )      
TOTAL NET ASSETS - 100.00%     $   11,928        
 
 
(a) Non-Income Producing Security                  
(b) Security is Illiquid                  
(c) Fair value of these investments is determined in good faith by the Manager        
  under procedures established and periodically reviewed by the Board of        
  Directors. At the end of the period, the fair value of these securities totaled        
  $1 or 0.01% of net assets.                  

 

See accompanying notes

93

 

Schedule of Investments
Opportunistic Municipal Fund
May 31, 2015 (unaudited)
 
 
  COMMON STOCKS - 1.45%     Shares Held                                 Value (000's)         Principal    
                MUNICIPAL BONDS (continued)     Amount (000's)                         Value (000's)
  Publicly Traded Investment Fund - 1.45%                        
  Market Vectors Short High-Yield Municipal     14,000 $ 355   Illinois (continued)          
  Index ETF             State of Illinois          
  SPDR Nuveen S&P High Yield Municipal     3,040   173   5.50%, 07/01/2027   $ 1,000 $ 1,081
  Bond ETF                   $   2,883
        $   528   Indiana - 1.78%          
  TOTAL COMMON STOCKS     $   528   Indiana Finance Authority          
        Principal       5.00%, 10/01/2044     300   314
BONDS - 1.41 %   Amount (000's)                   Value (000's)   Town of Shoals IN          
  U.S. Municipals - 1.41%             7.25%, 11/01/2043     300   334
  Oglala Sioux Tribe                   $   648
  5.75%, 10/01/2025(a)   $ 500 $ 512              
              Iowa- 2.96 %        
                Iowa Finance Authority          
  TOTAL BONDS     $   512   5.00%, 12/01/2019     1,000   1,076
        Principal                  
  MUNICIPAL BONDS - 95.28%     Amount (000's)                   Value (000's)              
                Kentucky - 3.04%          
  Alabama - 0.41%             Commonwealth of Kentucky          
  Alabama Industrial Development Authority             5.00%, 06/15/2038     1,000   1,107
  6.45%, 12/01/2023   $ 150 $ 151              
 
                Louisiana - 6.67%          
  California - 30.01%             Juban Crossing Economic Development          
  Abag Finance Authority for Nonprofit Corps             District          
  5.00%, 08/01/2043     500   552   7.00%, 09/15/2044(a)     1,000   1,011
  California Educational Facilities Authority             Louisiana Public Facilities Authority          
  5.00%, 10/01/2038(b)     900   999   7.00%, 07/01/2024(a)     1,000   1,005
  5.00%, 01/01/2039(b)     1,730   1,903   8.38%, 07/01/2039     400   413
  California Statewide Communities                   $   2,429
  Development Authority (credit support from                        
  GNMA COLL)             Maryland - 2.64%          
  4.90%, 07/20/2039(c)     500   532   City of Westminster MD          
  California Statewide Financing Authority             6.25%, 07/01/2044     500   536
  6.00%, 05/01/2043     1,000   1,000   Maryland Economic Development Corp          
  Golden State Tobacco Securitization Corp             5.38%, 06/01/2025     390   425
  5.75%, 06/01/2047     1,000   852         $   961
  La Verne Public Financing Authority             Missouri - 2.63%          
  7.25%, 09/01/2026     700   702            
  Morongo Band of Mission Indians/The                      
  6.50%, 03/01/2028(a)     825   926    City of St Louis MO Airport Revenue (credit support from NATL-RE)          
                5.50%, 07/01/2028(c)     400   471
  Sacramento Area Flood Control                      
  Agency (credit support from BAM)                      
  5.00%, 10/01/2039(c)     500   560   Health & Educational Facilities Authority of the State of Missouri          
                4.00%, 01/01/2045     500   489
 
  San Diego Community College District     1,050   1,205         $   960
  5.25%, 08/01/2033(b)             New Jersey - 3.79%          
  University of California 5.25%, 05/15/2039(b)     1,500   1,694   Casino Reinvestment Development Authority          
        $   10,925   5.25%, 11/01/2039     250   263
                New Jersey Economic Development          
  Connecticut - 2.66%             Authority          
  Mohegan Tribal Finance Authority             5.63%, 11/15/2030     1,000   1,119
  7.00%, 02/01/2045     1,000   968         $   1,382
 
  Florida - 2.50%             New York - 5.34%          
  Orange County Housing Finance Authority             Brooklyn Arena Local Development Corp          
  7.00%, 10/01/2025     500   508   6.25%, 07/15/2040     480   560
  Orange County Industrial Development             New York Liberty Development Corp          
  Authority/FL             5.25%, 10/01/2035     200   236
  8.00%, 07/01/2036(a)     400   403   New York State Dormitory Authority          
                5.00%, 12/01/2040     1,100   1,146
        $   911         $   1,942
  Georgia - 1.60%                        
  City of Atlanta GA             Oklahoma - 0.89%          
  7.38%, 01/01/2031     500   581   Tulsa Airports Improvement Trust          
                5.00%, 06/01/2035     300   325
 
  Illinois - 7.92%                        
  Chicago Board of Education             Oregon - 1.52%          
  5.25%, 12/01/2035     800   751            
  City of Chicago IL             Warm Springs Reservation Confederated Tribe          
  5.50%, 01/01/2042     500   495   6.38%, 11/01/2033     500   552
  City of Chicago IL Waterworks Revenue                        
  5.00%, 11/01/2025     500   556              

 

See accompanying notes

94

 

Schedule of Investments
Opportunistic Municipal Fund
May 31, 2015 (unaudited)
 
 
    Principal       Portfolio Summary (unaudited)    
MUNICIPAL BONDS (continued) Amount (000's)                                     Value (000's)   Sector Percent  
              Revenue Bonds 74.56 %
Pennsylvania - 5.17%           General Obligation Unlimited 10.27 %
               
          Insured 4.29 %
   Allegheny County Industrial Development Authority           Certificate Participation 3.04 %
  6.00%, 07/15/2038 $ 400 $ 422   Tax Allocation 1.60 %
City of Scranton PA                
  8.50%, 09/01/2022   200   208   Prerefunded 1.52 %
              Exchange Traded Funds 1.45 %
Pennsylvania Economic Development           Government 1.41 %
Financing Authority                
  6.00%, 06/01/2031   500   500   Liability For Floating Rate Notes Issued (8.42 )%
Pottsville Hospital Authority/PA           Other Assets in Excess of Liabilities, Net 10.28 %
  6.50%, 07/01/2028   700   755   TOTAL NET ASSETS 100.00 %
      $   1,885        
 
Texas - 6.83%                
City of Houston TX Airport System Revenue                
  4.50%, 07/01/2020   1,000   1,058        
Gregg County Health Facilities Development                
Corp                
  5.00%, 10/01/2016   400   407        
Texas Private Activity Bond Surface                
Transportation Corp                
  6.88%, 12/31/2039   550   649        
  7.00%, 12/31/2038   300   370        
      $   2,484        
 
Virginia - 4.54%                
County of Botetourt VA                
  6.00%, 07/01/2044   1,000   1,011        
Fairfax County Economic Development                
Authority                
  5.00%, 12/01/2042   300   307        
Fairfax County Industrial Development                
Authority                
  5.00%, 05/15/2035(b)   300   334        
      $   1,652        
 
Washington - 0.71%                
Port of Seattle Industrial Development Corp                
  5.00%, 04/01/2030   250   260        
 
Wisconsin - 1.67%                
Public Finance Authority                
  5.25%, 04/01/2030   600   609        
 
TOTAL MUNICIPAL BONDS   $   34,691        
Total Investments   $   35,731        
Liability for Floating Rate Notes Issued in Conjunction with            
Securities Held - (8.42)%                
Notes with interest rates of 0.11% - 0.12% at $ (3,065 ) $ (3,065 )      
May 31, 2015 and contractual maturity of                
collateral from 2017-2020.(d)                
Total Net Investments   $   32,666        
Other Assets in Excess of Liabilities, Net - 10.28% $   3,743        
TOTAL NET ASSETS - 100.00%   $   36,409        
 
 
(a) Security exempt from registration under Rule 144A of the Securities Act of        
  1933. These securities may be resold in transactions exempt from        
  registration, normally to qualified institutional buyers. At the end of the        
  period, the value of these securities totaled $3,857 or 10.59% of net assets.        
(b) Security or portion of underlying security related to Inverse Floaters        
  entered into by the Fund. See Notes to Financial Statements for additional        
         information.        
(c) Credit support indicates investments that benefit from credit enhancement        
  or liquidity support provided by a third party bank, institution, or        
         government agency.        
(d) Floating rate securities. The interest rate(s) shown reflect the rates in        
         effect at May 31, 2015        

 

See accompanying notes

95

 

Schedule of Investments
Origin Emerging Markets Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS - 95.46% Shares Held    Value (000's) COMMON STOCKS (continued) Shares Held    Value (000's)
 
Advertising - 0.53%       Holding Companies - Diversified - 0.92%      
Smiles SA 213,479 $ 3,402 Siam Cement PCL/The 381,500 $ 5,957
 
 
Agriculture - 0.66%       Home Furnishings - 1.22%      
KT&G Corp 49,426   4,292 Steinhoff International Holdings Ltd 1,271,314   7,879
 
 
Airlines - 0.65%       Insurance - 6.21%      
Air Arabia PJSC 9,643,534   4,177 China Life Insurance Co Ltd/Taiwan (a) 4,864,000   5,437
        People's Insurance Co Group of China Ltd 17,319,505   12,256
        PICC Property & Casualty Co Ltd 5,261,927   12,035
Automobile Manufacturers - 3.32%       Ping An Insurance Group Co of China Ltd 473,700   6,953
Great Wall Motor Co Ltd 951,100   6,111 Porto Seguro SA 300,643   3,451
Tata Motors Ltd ADR 400,776   15,350   $   40,132
  $   21,461        
        Internet - 5.72%      
Banks - 15.24%       Com2uSCorp (a) 29,953   3,630
Banco do Brasil SA 1,007,392   7,224 MercadoLibre Inc 23,146   3,359
Bank of China Ltd 19,726,772   13,068 Tencent Holdings Ltd 1,503,005   29,974
Bank Rakyat Indonesia Persero Tbk PT 15,347,131   13,647   $   36,963
China CITIC Bank Corp Ltd (a) 13,408,893   11,322        
China Construction Bank Corp 9,707,428   9,730 Machinery - Diversified - 0.82%      
China Merchants Bank Co Ltd 3,815,745   11,555 Hollysys Automation Technologies Ltd 208,410   5,306
China Minsheng Banking Corp Ltd 8,739,206   11,994        
Industrial & Commercial Bank of China Ltd 11,908,354   10,312 Metal Fabrication & Hardware - 2.39%      
Kasikornbank PCL 732,560   4,236        
Siam Commercial Bank PCL/The (b) 1,165,948   5,484 Catcher Technology Co Ltd 264,928   15,465
  $   98,572        
        Mining - 1.57%      
Building Materials - 0.36%       KGHM Polska Miedz SA 107,538   3,307
China Singyes Solar Technologies Holdings 1,525,586   2,355 MMC Norilsk Nickel OJSC ADR 390,252   6,876
Ltd         $   10,183
 
        Miscellaneous Manufacturing - 6.18%      
Commercial Services - 2.33%       CRRC Corp Ltd (b) 1,785,270   3,454
New Oriental Education & Technology Group 207,400   4,942        
Inc ADR(a)       Largan Precision Co Ltd 189,433   21,016
OHL Mexico SAB de CV (a) 1,609,432   2,163 Sunny Optical Technology Group Co Ltd 4,370,025   9,551
        Zhuzhou CSR Times Electric Co Ltd 723,700   5,923
Qualicorp SA 707,214   4,266   $   39,944
Zhejiang Expressway Co Ltd 2,378,000   3,697        
  $   15,068 Oil & Gas - 1.42%      
        PetroChina Co Ltd 3,654,980   4,312
 Computers - 4.56%
Asustek Computer  Inc (c) 202,763   9,939 Sasol Ltd 138,503   4,899
Foxconn Technology Co Ltd 1,787,000   6,273   $   9,211
Lenovo Group Ltd 8,382,892   13,257 Pharmaceuticals - 2.00%      
  $   29,469 Sino Biopharmaceutical Ltd 10,947,741   12,938
 
Diversified Financial Services - 3.27%              
Fubon Financial Holding Co Ltd 5,410,528   11,095 Real Estate - 2.56%      
Mega Financial Holding Co Ltd 5,775,000   5,164 China Overseas Land & Investment Ltd 2,375,700   8,571
Taishin Financial Holding Co Ltd 11,238,251   4,862 Highwealth Construction Corp 1,492,964   3,731
  $   21,121 Shimao Property Holdings Ltd 1,981,169   4,229
          $   16,531
Electric - 1.76%              
China Resources Power Holdings Co Ltd 1,550,425   4,297 Retail - 2.47%      
Huaneng Power International Inc 5,306,090   7,081 ANTA Sports Products Ltd 2,584,800   5,988
  $   11,378 Foschini Group Ltd/The 277,362   3,717
        Lojas Renner SA 109,200   3,702
Electronics - 4.05%       Raia Drogasil SA 224,300   2,542
AAC Technologies Holdings Inc 1,250,518   6,964   $   15,949
Hon Hai Precision Industry Co Ltd 1,761,309   11,444        
Pegatron Corp 1,052,393   3,131 Semiconductors - 12.04%      
Zhen Ding Technology Holding Ltd 1,310,954   4,643 Advanced Semiconductor Engineering Inc 1,406,330   9,929
  $   26,182 ADR      
        Novatek Microelectronics Corp 582,887   3,166
Engineering & Construction - 1.11%       Realtek Semiconductor Corp 551,249   1,677
KEPCO Plant Service & Engineering Co Ltd 50,332   4,878 Samsung Electronics Co Ltd 47,095   27,947
TAV Havalimanlari Holding AS 280,365   2,328 Taiwan Semiconductor Manufacturing Co Ltd 1,309,617   31,797
  $   7,206 ADR      
Food - 1.82%       Vanguard International Semiconductor Corp 2,067,520   3,353
JBS SA 993,400   4,854   $   77,869
SPAR Group Ltd/The 452,154   6,932 Software - 3.40%      
  $   11,786 NetEase Inc ADR 155,735   22,023
Forest Products & Paper - 1.46%              
Mondi PLC 417,777   9,438        

 

See accompanying notes

96

 

            Schedule of Investments            
Origin Emerging Markets Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS (continued) Shares Held Value (000 's)                
 
Telecommunications - 3.27%                            
China Mobile Ltd 1,607,143 $ 21,146                  
 
Water - 2.15%                            
Guangdong Investment Ltd 9,922,764       13,880                  
 
TOTAL COMMON STOCKS     $   617,283                  
INVESTMENT COMPANIES - 1.80% Shares Held Value (000 's)                
 
Publicly Traded Investment Fund - 1.80%                            
First American Government Obligations Fund 11,619,063       11,619                  
 
TOTAL INVESTMENT COMPANIES     $   11,619                  
Total Investments     $   628,902                  
Other Assets in Excess of Liabilities, Net - 2.74%   $   17,723                  
TOTAL NET ASSETS - 100.00%     $   646,625                  
 
 
(a) Non-Income Producing Security                            
(b) Fair value of these investments is determined in good faith by the Manager                  
  under procedures established and periodically reviewed by the Board of                  
  Directors. At the end of the period, the fair value of these securities totaled                  
  $8,938 or 1.38% of net assets.                            
(c) Security exempt from registration under Rule 144A of the Securities Act of                  
  1933. These securities may be resold in transactions exempt from                  
  registration, normally to qualified institutional buyers. At the end of the                  
  period, the value of these securities totaled $9,939 or 1.54% of net assets.                  
 
 
 
  Portfolio Summary (unaudited)                          
Country         Percent                  
China           33.18 %                
Taiwan, Province Of China         23.53 %                
Hong Kong         10.42 %                
Korea, Republic Of         6.29 %                
South Africa         5.09 %                
Brazil           4.55 %                
United States         3.85 %                
Thailand         2.43 %                
India           2.37 %                
Indonesia         2.11 %                
Russian Federation         1.06 %                
United Arab Emirates         0.65 %                
Argentina         0.52 %                
Poland         0.51 %                
Turkey         0.36 %                
Mexico         0.34 %                
Other Assets in Excess of Liabilities, Net         2.74 %                
TOTAL NET ASSETS         100.00 %                
 
 
 
Futures Contracts
                            Unrealized  
Type   Long/Short   Contracts   Notional Value   Fair Value Appreciation/(Depreciation)  
eMini MSCI Emerging Markets; June 2015 Long   580   $ 29,734 $  28,910 $ (824 )
Total                       $   (824 )
 
Amounts in thousands except contracts                            

 

See accompanying notes

97

 

Schedule of Investments
Preferred Securities Fund
May 31, 2015 (unaudited)
 
 
INVESTMENT COMPANIES - 2.50% Shares Held Value (000 's) PREFERRED STOCKS (continued) Shares Held                  Value (000's)
 
Publicly Traded Investment Fund - 2.50%             Diversified Financial Services (continued)      
Goldman Sachs Financial Square Funds - 10,499 $ 10   General Electric Capital Corp 4.88% 80,187 $ 2,033
Government Fund (a)             Merrill Lynch Capital Trust I (b) 318,325   8,165
Goldman Sachs Financial Square Funds - 121,353,796       121,354   Merrill Lynch Capital Trust II 133,014   3,405
Government Fund             Merrill Lynch Preferred Capital Trust V 101,682   2,652
      $   121,364   Morgan Stanley Capital Trust III 350,547   8,904
TOTAL INVESTMENT COMPANIES     $   121,364   Morgan Stanley Capital Trust IV 513,972   13,101
CONVERTIBLE PREFERRED STOCKS -             Morgan Stanley Capital Trust V 421,339   10,664
1.51% Shares Held Value (000 's) Morgan Stanley Capital Trust VIII 97,505   2,490
                $   61,685
Banks - 1.51%                    
Wells Fargo & Co 60,982       73,560   Electric - 2.17%      
              Alabama Power Co 89,000   2,450
TOTAL CONVERTIBLE PREFERRED STOCKS   $   73,560   DTE Energy Co 5.25% 313,300   7,851
PREFERRED STOCKS - 39.98% Shares Held Value (000 's) Duke Energy Corp 362,408   9,053
              Entergy Arkansas Inc 4.90% 241,096   5,984
Banks - 14.51%             Entergy Arkansas Inc 5.75% 35,363   892
AgriBank FCB 61,700       6,482   Entergy Louisiana LLC 4.70% 165,100   3,931
Bank of America Corp 6.50%; Series Y 490       13   Entergy Louisiana LLC 5.25% 237,355   6,003
Bank of America Corp 6.38%; Series III 26,378       665   Entergy Louisiana LLC 5.88% 1,981   51
Bank of America Corp 6.63%; Series I 201,813       5,273   Entergy Mississippi Inc 18,689   484
Bank of New York Mellon Corp/The 139,534       3,460   Entergy New Orleans Inc 3,299   83
Barclays Bank PLC 7.10% 1,014,169       26,095   Entergy Texas Inc 15,618   408
Barclays Bank PLC 7.75% 607,340       15,688   Georgia Power Co 6.50% 92,300   9,853
Barclays Bank PLC 8.13% 249,031       6,480   Gulf Power Co 6.00% 60,914   6,039
Capital One Financial Corp 573,401       14,301   Gulf Power Co 6.45% 4,600   463
Citigroup Inc 6.88%; Series K 493,542       13,311   Interstate Power & Light Co 485,100   12,132
Citigroup Inc 6.88%; Series L 9,618       254   NextEra Energy Capital Holdings Inc - Series G 322,465   8,046
City National Corp/CA 208,392       5,126        
CoBank ACB 6.13% 8,000       754   NextEra Energy Capital Holdings Inc - Series H 170,585   4,273
CoBank ACB 6.20% 65,000       6,620        
CoBank ACB 6.25% 224,000       23,415   NextEra Energy Capital Holdings Inc - Series I 666,456   15,868
Countrywide Capital V 218,131       5,610        
Countrywide Financial Corp 682,448       17,648   NextEra Energy Capital Holdings Inc 5.00% 491,093   11,678
Cullen/Frost Bankers Inc 281,621       7,004     $   105,542
Deutsche Bank Contingent Capital Trust II 2,083,257       55,852          
Deutsche Bank Contingent Capital Trust III 528,498       14,687   Food - 0.03%      
              Dairy Farmers of America Inc (c) 12,000   1,259
FirstMerit Corp 331,400       8,338          
Goldman Sachs Group Inc/The 774,944       19,265          
HSBC Holdings PLC 6.20% 1,047,474       26,836   Hand & Machine Tools - 0.58%      
HSBC Holdings PLC 8.00% 568,600       14,727   Stanley Black & Decker Inc 1,104,374   27,908
HSBC USA Inc 2.86% 825,140       41,334          
HSBC USA Inc 4.50% 1,136,198       28,632          
HSBC USA Inc 6.50% 2,085,705       53,332   Insurance - 8.63%      
ING Groep NV 6.13% 57,950       1,473   Aegon NV 4.00% 66,900   1,615
ING Groep NV 6.38% 834,730       21,186   Aegon NV 6.38% 975,042   24,571
ING Groep NV 7.05% 1,019,994       25,989   Aegon NV 6.50% 246,814   6,279
ING Groep NV 7.20% 165,000       4,211   Aegon NV 8.00% 63,317   1,763
ING Groep NV 7.38% 853,296       21,989   Aflac Inc 1,084,662   26,910
JP Morgan Chase & Co 57,122       1,381   Allstate Corp/The 5.10% 540,300   14,161
Lloyds Banking Group PLC 130,471       3,323   Allstate Corp/The 6.25% 181,500   4,746
M&T Bank Corp - Series A 5,400       5,577   Allstate Corp/The 6.63%; Series E 380,000   10,207
M&T Bank Corp - Series C 7,150       7,385   American Financial Group Inc/OH 5.75% 441,328   11,166
Morgan Stanley - Series E 24,282       687   American Financial Group Inc/OH 6.25% 250,786   6,410
PNC Financial Services Group Inc/The 1,723,683       48,039   Arch Capital Group Ltd 699,190   18,759
Royal Bank of Scotland Group PLC 5.75%; 596,429       14,607   Aspen Insurance Holdings Ltd 5.95% 936,500   24,077
Series L             Aspen Insurance Holdings Ltd 7.25% 143,802   3,789
Royal Bank of Scotland Group PLC 6.35%; 7,755       194   Axis Capital Holdings Ltd 5.50% 155,098   3,803
Series N             Axis Capital Holdings Ltd 6.88% 2,072,850   54,433
Royal Bank of Scotland Group PLC 6.75%; 207,600       5,256   Delphi Financial Group Inc 7.38% 527,604   13,207
Series Q             Hartford Financial Services Group Inc/The 1,014,436   31,792
State Street Corp 5.25%; Series C 1,425,192       34,932   PartnerRe Ltd 5.88% 15,416   385
State Street Corp 5.90%; Series D 241,300       6,339   PartnerRe Ltd 6.50% 90,667   2,307
State Street Corp 6.00% 349,700       8,792   PartnerRe Ltd 7.25% 11,643   302
TCF Financial Corp 229,123       6,161   Protective Life Corp 6.00% 20,311   521
US Bancorp/MN - Series G 2,083,302       56,124   Protective Life Corp 6.25% 336,151   8,760
              Prudential PLC (d) 174,600   4,512
Wells Fargo & Co 5.85% 125,027       3,233          
Wells Fargo & Co 6.63% 236,676       6,605   Prudential PLC 6.50% 92,849   2,393
      $   704,685   Reinsurance Group of America Inc 577,300   16,389
              RenaissanceRe Holdings Ltd - Series C 178,371   4,490
Diversified Financial Services - 1.27%             RenaissanceRe Holdings Ltd - Series E 654,975   15,818
Affiliated Managers Group Inc 5.25% 77,487       1,980   Torchmark Corp 472,900   12,040
Affiliated Managers Group Inc 6.38% 15,188       396   WR Berkley Corp 1,262,728   30,811
Charles Schwab Corp/The 12,535       325   XLIT Ltd 76,419   62,902
General Electric Capital Corp 4.88% 299,666       7,570     $   419,318

 

See accompanying notes

98

 

Schedule of Investments
Preferred Securities Fund
May 31, 2015 (unaudited)
 
 
  PREFERRED STOCKS (continued)     Shares Held                            Value (000's)         Principal    
 
Media - 0.25%             BONDS (continued)     Amount (000's)                 Value (000's)
  Comcast Corp         482,893 $ 12,212 Banks (continued)          
                  BAC Capital Trust XIII          
                  4.00%, 12/29/2049(f)   $ 33,564 $ 26,516
REITS - 5.59%             Banco do Brasil SA/Cayman          
  Boston Properties Inc         7,284   179 9.00%, 06/29/2049(c)     12,218   11,225
  Digital Realty Trust Inc - Series E     544,076   14,048 Bank of America Corp          
  Digital Realty Trust Inc - Series F     3,856   100 6.50%, 10/29/2049(f)     50,000   52,875
  Digital Realty Trust Inc - Series G     97,818   2,364 8.13%, 12/29/2049(f)     12,887   13,886
  Digital Realty Trust Inc - Series H     137,911   3,749 Bank of New York Mellon Corp/The          
  Health Care REIT Inc         617,185   16,028 4.95%, 12/29/2049(f)     75,100   75,100
  Hospitality Properties Trust 7.13%; Series D     411,113   10,796 Barclays PLC          
  Kimco Realty Corp 5.50%         590,922   14,330 6.63%, 06/29/2049(f)     34,178   33,900
  Kimco Realty Corp 6.00%         667,508   16,848 8.25%, 12/29/2049(f)     46,600   49,819
  Kimco Realty Corp 6.90%         338,815   8,653 BNP Paribas SA          
  National Retail Properties Inc         455,621   11,846 7.20%, 06/29/2049(c)     10,100   12,097
  Prologis Inc - Series Q         127,700   8,364              
  PS Business Parks Inc         380,000   9,352 BPCE SA 5.70%, 10/22/2023 (c)   6,000   6,510
  PS Business Parks Inc - Series R     126,911   3,262 CBA Capital Trust II          
  PS Business Parks Inc - Series S         132,228   3,427 6.02%, 03/29/2049(c)     3,400   3,493
  PS Business Parks Inc - Series T     188,128   4,718 Citigroup Inc          
  PS Business Parks Inc - Series U     520,724   12,774 5.90%, 12/29/2049     200   200
  Public Storage Inc 5.20%; Series X     70,407   1,712              
  Public Storage Inc 5.75%; Series T     222,900   5,619 5.95%, 12/29/2049     5,000   5,006
                  Cooperatieve Centrale Raiffeisen-          
  Public Storage Inc 5.88%; Series A     237,401   6,063 Boerenleenbank BA/Netherlands          
  Public Storage Inc 5.90%; Series S     56,048   1,433 11.00%, 12/29/2049(c),(f)     72,657   93,001
  Public Storage Inc 6.00%; Series Z     580,214   15,022 Corestates Capital III          
  Public Storage Inc 6.35%; Series R     746,442   19,333 0.84%, 02/15/2027(c),(f)     10,200   8,950
  Public Storage Inc 6.38%; Series Y     131,181   3,524              
  Public Storage Inc 6.50%; Series Q     4,594   119 Countrywide Capital III          
                  8.05%, 06/15/2027     6,312   7,948
  Realty Income Corp - Series F         777,954   20,421 Credit Agricole SA          
  Regency Centers Corp 6.00%         441,029   11,118 7.88%, 01/29/2049(c)     8,000   8,515
  Regency Centers Corp 6.63%         230,854   5,961 8.38%, 12/31/2049(c),(f)     13,350   15,753
  Senior Housing Properties Trust         113,931   2,742 Credit Suisse AG          
  Ventas Realty LP / Ventas Capital Corp     206,348   5,140 6.50%, 08/08/2023(c)     51,136   57,975
  Vornado Realty Trust - Series I         96,892   2,463 Credit Suisse Group AG          
  Vornado Realty Trust - Series J         174,963   4,549 6.25%, 12/29/2049(c),(f)     17,800   17,466
  Vornado Realty Trust - Series K         869,353   21,125 6.25%, 12/29/2049     475   466
  Vornado Realty Trust - Series L         191,155   4,366 7.50%, 12/29/2049(c),(f)     19,150   20,371
            $   271,548 Credit Suisse Group Guernsey I Ltd          
  Savings & Loans - 0.39%               7.88%, 02/24/2041(f)     3,900   4,115
  Astoria Financial Corp         106,851   2,707 Fifth Third Bancorp          
  First Niagara Financial Group Inc     605,146   16,309 5.10%, 12/29/2049(f)     5,100   4,819
            $   19,016 First Chicago NBD Institutional Capital I          
                  0.83%, 02/01/2027(f)     2,300   1,960
  Sovereign - 1.16%                        
  Farm Credit Bank of Texas 6.75% (c)     258,000   26,832  First Union Capital II          
                  7.95%, 11/15/2029     3,700   4,993
  Farm Credit Bank of Texas 10.00%     23,800   29,512 Fleet Capital Trust V          
            $   56,344 1.27%, 12/18/2028(f)     2,500   2,087
  Telecommunications - 5.40%               Goldman Sachs Group Inc/The          
  Centaur Funding Corp (c),(d)         28,000   22,523 5.70%, 12/29/2049(f)     41,795   42,253
  Centaur Funding Corp 9.08% (c),(e)     70,576   86,875 HSBC Capital Funding LP/Jersey          
                  10.18%, 12/29/2049(c),(f)     29,900   45,598
  Qwest Corp 6.13%         885,400   22,179              
  Qwest Corp 6.88%         258,100   6,775 HSBC USA Capital Trust I          
                  7.81%, 12/15/2026(c)     300   301
  Qwest Corp 7.00%         520,255   13,620              
  Qwest Corp 7.00%         253,178   6,598 HSBC USA Capital Trust II          
                  8.38%, 05/15/2027(c)     630   636
  Qwest Corp 7.38%         481,420   12,536              
  Qwest Corp 7.50%         949,111   25,474 HSBC USA Capital Trust III          
  Telephone & Data Systems Inc 6.63%     267,002   6,811 7.75%, 11/15/2026     7,200   7,286
  Telephone & Data Systems Inc 6.88%     2,899   73 JP Morgan Chase & Co          
   Telephone & Data Systems 7.00%         1,208,015    31,167 5.30%, 12/29/2049(f)     9,800   9,824
  United States Cellular Corp Inc (b)   110,817    2,840 6.13%, 12/29/2049(f)     22,000   22,660
                  6.75%, 01/29/2049(f)     118,707   129,391
  Verizon Communications Inc         942,517   24,685              
            $   262,156 JP Morgan Chase Capital XXI          
                  1.23%, 02/02/2037(f)     8,131   6,769
  TOTAL PREFERRED STOCKS     $   1,941,673              
            Principal     KeyCorp Capital III          
BONDS - 55.32 %       Amount (000's)                         Value (000's) 7.75%, 07/15/2029     3,500   4,400
                  Lloyds Banking Group PLC          
Banks - 26.43 %             6.41%, 01/29/2049(c)     34,174   38,787
  Abbey National Capital Trust I               6.66%, 01/29/2049(c)     32,281   36,800
  8.96%, 12/31/2049       $ 18,288 $ 23,957 7.50%, 04/30/2049(f)     25,198   26,804
  ABN AMRO Bank NV               M&T Bank Corp          
  6.25%, 09/13/2022(f)         10,000   10,825 6.45%, 12/29/2049(f)     6,615   7,186
                  6.88%, 12/29/2049     41,800   42,688

 

See accompanying notes

99

 

Schedule of Investments
Preferred Securities Fund
May 31, 2015 (unaudited)
 
 
    Principal         Principal    
BONDS (continued)   Amount (000's)     Value (000's) BONDS (continued)   Amount (000's)    Value (000's)
 
Banks (continued)         Insurance (continued)        
Morgan Stanley         American International Group Inc        
5.55%, 12/29/2049(f) $ 11,100 $ 11,142 8.18%, 05/15/2068 $ 1,500 $ 2,042
Nordea Bank AB         Aon Corp        
5.50%, 09/29/2049(c),(f)   4,000   4,045 8.21%, 01/01/2027   4,500   5,872
5.50%, 09/29/2049(f)   1,200   1,214 AXA SA        
6.13%, 12/29/2049(c),(f)   7,500   7,683 6.38%, 12/29/2049(c),(f)   21,968   24,426
PNC Financial Services Group Inc/The         8.60%, 12/15/2030   13,565   18,821
6.75%, 07/29/2049(f)   44,035   49,044 Catlin Insurance Co Ltd        
Royal Bank of Scotland Group PLC         7.25%, 07/29/2049(c)   46,496   43,590
7.65%, 08/29/2049(f)   15,480   19,621 Dai-ichi Life Insurance Co Ltd/The        
Societe Generale SA         5.10%, 10/29/2049(c),(f)   12,300   13,238
1.02%, 12/29/2049(c),(f)   5,750   5,304 7.25%, 12/29/2049(c)   13,250   15,668
7.88%, 12/29/2049(c),(f)   6,500   6,679 Everest Reinsurance Holdings Inc        
7.88%, 12/29/2049(f)   15,000   15,413 6.60%, 05/01/2067(f)   34,120   34,077
8.25%, 09/29/2049(f)   50,250   53,453 Great-West Life & Annuity Insurance Capital        
Standard Chartered PLC         LP        
0.50%, 07/29/2049(f)   2,000   1,210 6.63%, 11/15/2034(c)   7,000   7,867
State Street Capital Trust IV         Great-West Life & Annuity Insurance Capital        
1.27%, 06/01/2077(f)   600   512 LP II        
Wells Fargo & Co         7.15%, 05/16/2046(c),(f)   8,750   8,837
5.87%, 12/29/2049(f)   47,800   50,250 Hartford Financial Services Group Inc/The        
7.98%, 12/31/2049(f)   57,100   62,810 8.13%, 06/15/2068(f)   3,700   4,172
    $   1,283,591 Liberty Mutual Group Inc        
          7.00%, 03/07/2067(c),(f)   16,938   17,425
Diversified Financial Services - 4.64%         7.80%, 03/07/2087(c)   45,963   55,730
Charles Schwab Corp/The         Liberty Mutual Insurance Co        
7.00%, 02/28/2049(f)   27,158   32,046          
          7.70%, 10/15/2097(c)   17,425   22,145
Citigroup Capital III         Lincoln National Corp        
7.63%, 12/01/2036   2,700   3,390 6.05%, 04/20/2067(f)   27,905   25,603
Depository Trust & Clearing Corp/The         MetLife Capital Trust IV        
4.88%, 12/29/2049(c),(f)   4,000   4,005          
          7.88%, 12/15/2067(c)   19,020   24,678
GE Capital Trust I         MetLife Capital Trust X        
6.38%, 11/15/2067   18,008   19,573 9.25%, 04/08/2068(c)   27,475   40,320
General Electric Capital Corp         MetLife Inc        
6.25%, 12/31/2049(f)   49,095   54,848          
          5.25%, 12/29/2049(f),(g)   18,800   18,823
6.38%, 11/15/2067(f)   2,615   2,850          
7.13%, 12/29/2049(f)   87,500   102,156 10.75%, 08/01/2069   2,000   3,310
          Mitsui Sumitomo Insurance Co Ltd        
Glen Meadow Pass-Through Trust         7.00%, 03/15/2072(c)   3,375   4,042
6.51%, 02/12/2067(c),(f)   4,785   4,450          
          MMI Capital Trust I        
MBNA Capital B         7.63%, 12/15/2027   1,073   1,223
1.08%, 02/01/2027(f)   2,500   2,113          
          Nationwide Financial Services Inc        
    $   225,431 6.75%, 05/15/2087   68,095   71,500
Electric - 2.95%         Nippon Life Insurance Co        
Electricite de France SA         5.10%, 10/16/2044(c),(f)   14,900   15,906
5.25%, 01/29/2049(c),(f)   61,880   64,300 Provident Financing Trust I        
5.63%, 12/29/2049(c),(f)   6,000   6,274 7.41%, 03/15/2038   37,750   43,790
Integrys Energy Group Inc         Prudential Financial Inc        
6.11%, 12/01/2066(f)   582   553 5.63%, 06/15/2043(f)   76,965   81,679
NextEra Energy Capital Holdings Inc         5.88%, 09/15/2042(f)   11,675   12,574
6.65%, 06/15/2067(f)   2,000   1,870 Prudential PLC        
7.30%, 09/01/2067(f)   17,750   18,427 7.75%, 01/29/2049   4,800   5,058
PPL Capital Funding Inc         QBE Capital Funding III Ltd        
6.70%, 03/30/2067(f)   4,875   4,481 7.25%, 05/24/2041(c),(f)   80,745   90,737
RWE AG         Sirius International Group Ltd        
7.00%, 10/12/2072(f)   44,200   47,515 7.51%, 05/29/2049(c),(f)   1,175   1,234
    $   143,420 Sompo Japan Insurance Inc        
          5.33%, 03/28/2073(c),(f)   60,300   65,275
Hand & Machine Tools - 0.28%         Sumitomo Life Insurance Co        
Stanley Black & Decker Inc         6.50%, 09/20/2073(c),(f)   15,500   18,077
5.75%, 12/15/2053   12,250   13,322 Voya Financial Inc        
          5.65%, 05/15/2053(f)   36,851   38,233
Insurance - 20.15%         ZFS Finance USA Trust II        
          6.45%, 12/15/2065(c),(f)   11,850   12,265
ACE Capital Trust II                  
9.70%, 04/01/2030   5,490   8,202 ZFS Finance USA Trust V        
          6.50%, 05/09/2067(c)   19,683   20,938
Aegon NV                  
2.14%, 07/29/2049(f)   2,648   2,294     $   978,582
AIG Life Holdings Inc         Pipelines - 0.02%        
7.57%, 12/01/2045(c)   25,815   34,915          
          TransCanada PipeLines Ltd        
8.50%, 07/01/2030   30,200   41,374 6.35%, 05/15/2067(f)   1,000   954
Allstate Corp/The                  
5.75%, 08/15/2053(f)   7,600   8,179          
6.50%, 05/15/2067   12,505   14,443          

 

See accompanying notes

100

 

Schedule of Investments
Preferred Securities Fund
May 31, 2015 (unaudited)
 
 
    Principal                      
BONDS (continued) Amount (000's)                                                  Value (000's)                
 
Telecommunications - 0.13%                            
Koninklijke KPN NV                            
  7.00%, 03/28/2073(c),(f) $   5,800 $   6,191                
 
 
Transportation - 0.72%                            
BNSF Funding Trust I                            
  6.61%, 12/15/2055(f)     30,550   34,980                
 
TOTAL BONDS     $   2,686,471                
    Principal                      
CONVERTIBLE BONDS - 0.12% Amount (000's)                                                  Value (000's)                
 
Banks - 0.12%                            
ING Groep NV                            
  6.50%, 12/29/2049(f)     6,000     5,996                
 
TOTAL CONVERTIBLE BONDS     $     5,996                
TOTAL PURCHASED OPTIONS - 0.67%   $   32,478                
Total Investments     $   4,861,542                
Liabilities in Excess of Other Assets, Net - (0.10)%   $   (5,009 )              
TOTAL NET ASSETS - 100.00%     $   4,856,533                
 
 
(a) Security was purchased with the cash proceeds from securities loans.                
(b) Security or a portion of the security was on loan at the end of the period.                
(c) Security exempt from registration under Rule 144A of the Securities Act of                
  1933. These securities may be resold in transactions exempt from                  
  registration, normally to qualified institutional buyers. At the end of the                
  period, the value of these securities totaled $1,161,211 or 23.91% of net                
  assets.                            
(d) Non-Income Producing Security                            
(e) Affiliated Security. Please see Affiliated Sub-Schedule for transactional                
  information.                            
(f) Variable Rate. Rate shown is in effect at May 31, 2015.                      
(g) Security purchased on a when-issued basis.                          
 
 
 
  Portfolio Summary (unaudited)                      
Sector           Percent                
Financial           83.24 %              
Communications           5.78 %              
Utilities           5.12 %              
Exchange Traded Funds           2.50 %              
Industrial           1.58 %              
Government           1.16 %              
Purchased Options           0.67 %              
Consumer, Non-cyclical           0.03 %              
Energy           0.02 %              
Liabilities in Excess of Other Assets, Net           (0.10 )%              
TOTAL NET ASSETS         100.00 %              
 
 
 
 
    August 31,   August 31,                      
Affiliated Securities 2014   2014     Purchases   Purchases Sales Sales   May 31, 2015 May 31, 2015
    Shares   Cost     Shares   Cost Shares Proceeds Shares   Cost
Centaur Funding Corp 9.08% 47,903 $ 55,409     22,673 $ 28,386 — $ — 70,576 $ 83,795
    $   55,409     $   28,386   $ –   $ 83,795
 
 
                  Realized Gain/Loss     Realized Gain from  
        Income         on Investments   Capital Gain Distributions
Centaur Funding Corp 9.08% $   4,310 $     — $       —
    $   4,310 $     — $       —
Amounts in thousands except shares                            

 

See accompanying notes

101

 

      Schedule of Investments                  
Preferred Securities Fund
May 31, 2015 (unaudited)
 
 
 
Options
            Upfront Premiums           Unrealized  
Purchased Options Outstanding   Exercise Price Expiration Date Contracts   Paid/(Received)     Fair Value     Appreciation/(Depreciation)  
Call - US Long Bond Future $ 159.00 06/29/2015 3,065 $ 1,669   $ 2,826   $ 1,157  
Call - US Long Bond Future $ 155.00 06/29/2015 2,970   6,180     7,425     1,245  
Call - US Long Bond Future $ 154.00 06/29/2015 2,975   6,871     9,204     2,333  
Put - US Long Bond Future $ 153.00 06/29/2015 6,040   14,416     6,795     (7,621 )
Put - US Long Bond Future $ 152.00 06/29/2015 6,040   11,719     5,096     (6,623 )
Put - US Long Bond Future $ 147.00 06/29/2015 6,040   3,257     1,132     (2,125 )
Total         $ 44,112   $ 32,478   $ (11,634 )
 
            Upfront Premiums           Unrealized  
Written Options Outstanding   Exercise Price Expiration Date Contracts   Paid/(Received)     Fair Value     Appreciation/(Depreciation)  
Call - US Long Bond Future $ 158.00 06/29/2015 9,010 $ (6,777 ) $ (10,840 ) $ (4,063 )
Put - US Long Bond Future $ 148.00 06/29/2015 18,120   (12,672 )   (4,530 )   8,142  
Total         $ (19,449 ) $ (15,370 ) $ 4,079  
 
Amounts in thousands except contracts                          

 

See accompanying notes

102

 

Schedule of Investments
Real Estate Allocation Fund
May 31, 2015 (unaudited)
 
 
INVESTMENT COMPANIES - 100.00% Shares Held                                          Value (000's)                
Principal Funds, Inc. Institutional Class - 100.00%                        
Global Real Estate Securities Fund (a)   17,205 $   160                
Real Estate Debt Income Fund (a)   11,138     111                
    $     271                
TOTAL INVESTMENT COMPANIES   $     271                
Total Investments   $     271                
Other Assets in Excess of Liabilities, Net - 0.00% $     —                
TOTAL NET ASSETS - 100.00%   $     271                
 
 
(a) Affiliated Security. Please see Affiliated Sub-Schedule for transactional                
information.                          
 
 
Portfolio Summary (unaudited)                      
Fund Type         Percent                
International Equity Funds         59.04 %              
Fixed Income Funds         40.96 %              
Other Assets in Excess of Liabilities, Net         0.00 %              
TOTAL NET ASSETS       100.00 %              
 
 
 
August 31, August 31,                      
Affiliated Securities 2014 2014     Purchases   Purchases Sales Sales   May 31, 2015 May 31, 2015
Shares Cost     Shares   Cost Shares Proceeds Shares   Cost
Global Real Estate Securities Fund — $ —     18,339 $ 176 1,134 $ 11 17,205 $ 165
Real Estate Debt Income Fund — —     12,325   123 1,187   12 11,138   111
  $ —     $   299   $ 23   $ 276
 
 
              Realized Gain/Loss     Realized Gain from  
    Income     on Investments   Capital Gain Distributions
Global Real Estate Securities Fund $     1 $     — $       —
Real Estate Debt Income Fund       1       —         —
  $     2 $     — $       —
Amounts in thousands except shares                          

 

See accompanying notes

103

 

Schedule of Investments
Real Estate Debt Income Fund
May 31, 2015 (unaudited)
 
 
  INVESTMENT COMPANIES - 1.70%     Shares Held                                    Value (000's)         Principal      
                BONDS (continued)   Amount (000's)           Value (000's)  
  Publicly Traded Investment Fund - 1.70%                            
  First American Government Obligations Fund     770,859 $ 771   Mortgage Backed Securities (continued)            
                Wachovia Bank Commercial Mortgage Trust            
  TOTAL INVESTMENT COMPANIES     $   771   Series 2007-C30            
        Principal         5.41%, 12/15/2043(a)   $ 2,000 $ 2,051  
BONDS - 97.88 %   Amount (000's)                               Value (000's)   WFRBS Commercial Mortgage Trust 2013-            
                C12            
  Mortgage Backed Securities - 91.03%               1.48%, 03/15/2048(a),(b)     18,063   1,388  
  Banc of America Commercial Mortgage Trust             WFRBS Commercial Mortgage Trust 2014-            
  2008-1             C20            
  6.26%, 02/10/2051(a),(b)   $ 1,000 $ 959     3.99%, 05/15/2047(a),(b)     2,500   2,250  
  CFCRE Commercial Mortgage Trust 2011-                     $   41,402  
  C2                            
  1.97%, 12/15/2047(a),(b)     19,601   836 REITS - 6.85 %          
  Citigroup Commercial Mortgage Trust 2013-             Hospitality Properties Trust            
  GC15               5.00%, 08/15/2022     1,000   1,060  
  5.11%, 09/10/2046(a),(b)     2,010   2,036   Select Income REIT            
  Citigroup Commercial Mortgage Trust 2015-               3.60%, 02/01/2020     2,000   2,057  
  GC27                     $   3,117  
  3.14%, 02/10/2048(a)     2,000   2,027   TOTAL BONDS     $   44,519  
  COMM 2006-C8 Mortgage Trust             Total Investments     $   45,290  
  5.38%, 12/10/2046     2,000   2,031   Other Assets in Excess of Liabilities, Net - 0.42% $   189  
  COMM 2013-CCRE11 Mortgage Trust             TOTAL NET ASSETS - 100.00%     $   45,479  
  1.18%, 10/10/2046(a)     26,273   1,842                  
  COMM 2013-CCRE6 Mortgage Trust                            
  1.52%, 03/10/2046(a)     15,089   918   (a) Variable Rate. Rate shown is in effect at May 31, 2015.      
  COMM 2014-CCRE17 Mortgage Trust             (b) Security exempt from registration under Rule 144A of the Securities Act of  
  4.80%, 05/10/2047(a),(b)     1,000   974     1933. These securities may be resold in transactions exempt from      
  Comm 2014-UBS2 Mortgage Trust               registration, normally to qualified institutional buyers. At the end of the  
  4.20%, 03/10/2047     1,000   1,087     period, the value of these securities totaled $15,266 or 33.57% of net  
  COMM 2014-UBS3 Mortgage Trust               assets.            
  4.78%, 06/10/2047(a)     1,000   1,068                  
  COMM 2015-LC19 Mortgage Trust                            
  2.87%, 02/10/2048(a),(b)     1,000   817                  
  Commercial Mortgage Trust 2007-GG9               Portfolio Summary (unaudited)        
  5.51%, 03/10/2039     1,000   976   Sector         Percent  
  Credit Suisse Commercial Mortgage Trust             Mortgage Securities         91.03 %
  Series 2006-C2             Financial         6.85 %
  5.67%, 03/15/2039(a)     1,446   1,472   Exchange Traded Funds         1.70 %
  GS Mortgage Securities Trust 2011-GC3             Other Assets in Excess of Liabilities, Net         0.42 %
  0.94%, 03/10/2044(a),(b)     36,168   913   TOTAL NET ASSETS         100.00 %
  GS Mortgage Securities Trust 2013-GCJ14                            
  4.77%, 08/10/2046(a),(b)     1,500   1,490                  
  JP Morgan Chase Commercial Mortgage                            
  Securities Trust 2007-LDP10                            
  5.46%, 01/15/2049     2,000   2,078                  
  JP Morgan Chase Commercial Mortgage                            
  Securities Trust 2010-C1                            
  5.95%, 06/15/2043(b)     1,500   1,670                  
  JPMBB Commercial Mortgage Securities                            
  Trust 2013-C12                            
  4.09%, 07/15/2045(a)     460   441                  
  JPMBB Commercial Mortgage Securities                            
  Trust 2014-C21                            
  1.12%, 08/15/2047(a)     25,891   1,978                  
  Merrill Lynch Mortgage Trust 2005-CIP1                            
  5.14%, 07/12/2038(a)     2,500   2,509                  
  Morgan Stanley Bank of America Merrill                            
  Lynch Trust 2014-C14                            
  1.30%, 02/15/2047(a)     21,129   1,398                  
  Morgan Stanley Bank of America Merrill                            
  Lynch Trust 2014-C15                            
  4.90%, 04/15/2047(a)     1,000   1,073                  
  Morgan Stanley Bank of America Merrill                            
  Lynch Trust 2014-C18                            
  3.92%, 10/15/2047(a)     2,000   2,158                  
  Morgan Stanley Bank of America Merrill                            
  Lynch Trust 2015-C20                            
  4.16%, 02/15/2048(a)     1,000   1,029                  
  UBS-Barclays Commercial Mortgage Trust                            
  2012 -C4                          
  1.84%, 12/10/2045(a),(b)     9,683   943                  
  4.50%, 12/10/2045(a),(b)     1,000   990                  

 

See accompanying notes

104

 

Schedule of Investments
Small-MidCap Dividend Income Fund
May 31, 2015 (unaudited)
 
 
COMMON STOCKS - 97.43% Shares Held      Value (000's) COMMON STOCKS (continued) Shares Held     Value (000's)
 
Airlines - 1.71%       Healthcare - Products - 2.61%      
Copa Holdings SA 382,086 $ 32,588 STERIS Corp 368,782 $ 24,646
        Teleflex Inc 193,793   24,949
          $   49,595
Automobile Manufacturers - 0.84%              
New Flyer Industries Inc 1,278,980   16,044 Housewares - 2.57%      
        Newell Rubbermaid Inc 533,891   21,105
        Tupperware Brands Corp 423,880   27,866
Automobile Parts & Equipment - 1.26%         $   48,971
Autoliv Inc 190,076   23,978        
        Insurance - 5.32%      
        AmTrust Financial Services Inc (a) 432,010   25,998
Banks - 8.03%              
City Holding Co 139,905   6,318 Arthur J Gallagher & Co 429,030   20,786
Cullen/Frost Bankers Inc 494,388   36,293 HCC Insurance Holdings Inc 410,925   23,497
First Financial Bancorp 349,864   6,077 Validus Holdings Ltd 718,546   30,833
FirstMerit Corp 1,268,360   24,911   $   101,114
PacWest Bancorp 864,228   38,795 Internet - 2.07%      
Umpqua Holdings Corp 1,302,820   22,917 j2 Global Inc 593,977   39,446
Washington Trust Bancorp Inc 462,164   17,368        
  $   152,679        
        Investment Companies - 5.01%      
Chemicals - 5.34%       Ares Capital Corp 2,364,871   39,612
Albemarle Corp 451,260   27,143 Hercules Technology Growth Capital Inc (a) 1,570,888   20,155
Cabot Corp 549,638   22,793 Oaktree Capital Group LLC 464,515   25,441
Huntsman Corp 1,484,252   33,307 Triangle Capital Corp (a) 420,483   10,150
RPM International Inc 365,415   18,282   $   95,358
  $   101,525        
        Machinery - Diversified - 2.83%      
Coal - 1.19%       Applied Industrial Technologies Inc 702,235   29,754
Alliance Resource Partners LP 757,997   22,732 IDEX Corp 310,635   23,999
          $   53,753
 
Commercial Services - 0.69%       Media - 1.82%      
McGrath RentCorp 430,168   13,094 Sinclair Broadcast Group Inc 1,153,110   34,639
 
 
Computers - 0.63%       Miscellaneous Manufacturing - 1.42%      
MTS Systems Corp 174,871   11,898 Crane Co 447,561   27,091
 
 
Diversified Financial Services - 1.68%       Oil & Gas - 4.16%      
Fly Leasing Ltd ADR 376,857   5,849 Helmerich & Payne Inc 130,270   9,508
FNF Group 689,725   26,182 HollyFrontier Corp 531,732   22,147
  $   32,031 Suburban Propane Partners LP 461,594   20,218
Electric - 5.69%       Vermilion Energy Inc 633,973   27,207
Allete Inc 440,955   22,202   $   79,080
Alliant Energy Corp 482,893   29,601 Packaging & Containers - 1.10%      
Great Plains Energy Inc 624,993   16,294 Packaging Corp of America 303,538   20,999
ITC Holdings Corp 629,570   22,217        
PNM Resources Inc 670,657   17,833        
  $   108,147 Pipelines - 3.42%      
        EnLink Midstream Partners LP 1,095,003   27,178
Electrical Components & Equipment - 1.59%       Targa Resources Partners LP 876,824   37,905
Hubbell Inc 146,653   15,843   $   65,083
Littelfuse Inc 149,833   14,489        
  $   30,332 REITS - 16.55%      
        Agree Realty Corp 430,427   13,046
Electronics - 2.90%       Alexandria Real Estate Equities Inc 190,921   17,704
Avnet Inc 758,612   33,387 BioMed Realty Trust Inc 1,437,225   29,305
Garmin Ltd 476,852   21,687 Capstead Mortgage Corp 2,078,263   24,586
  $   55,074 Colony Capital Inc 1,474,592   37,838
        CYS Investments Inc 2,310,825   20,682
Food - 2.94%       Digital Realty Trust Inc 433,561   28,632
B&G Foods Inc 473,403   14,647 EastGroup Properties Inc 105,824   5,887
Ingredion Inc 247,197   20,263        
Sanderson Farms Inc (a) 257,884   21,025 EPR Properties 531,503   30,652
        Hatteras Financial Corp 1,517,846   27,261
  $   55,935 Medical Properties Trust Inc 2,900,675   39,333
Gas - 1.80%       Omega Healthcare Investors Inc 1,107,630   39,908
ONE Gas Inc 332,389   14,735   $   314,834
Vectren Corp 459,643   19,567 Semiconductors - 2.61%      
  $   34,302 Maxim Integrated Products Inc 636,060   22,307
Hand & Machine Tools - 2.70%       Microchip Technology Inc 554,887   27,261
Lincoln Electric Holdings Inc 378,923   25,468   $   49,568
 
Snap-on Inc 166,365   25,853 Software - 0.93%      
  $   51,321 Broadridge Financial Solutions Inc 326,828   17,708

 

See accompanying notes

105

 

            Schedule of Investments  
    Small-MidCap Dividend Income Fund  
            May 31, 2015 (unaudited)  
 
 
COMMON STOCKS (continued) Shares Held Value (000 's)
 
Supranational Bank - 1.28%            
Banco Latinoamericano de Comercio Exterior 805,505 $ 24,431  
SA              
 
 
Telecommunications - 1.94%            
Consolidated Communications Holdings Inc 601,990       12,473  
Harris Corp 308,096       24,408  
        $   36,881  
 
Toys, Games & Hobbies - 2.32%            
Hasbro Inc 611,662       44,119  
 
 
Trucking & Leasing - 0.48%            
TAL International Group Inc (b) 251,783       9,137  
 
TOTAL COMMON STOCKS     $   1,853,487  
INVESTMENT COMPANIES - 4.13% Shares Held Value (000 's)
 
Publicly Traded Investment Fund - 4.13%            
Goldman Sachs Financial Square Funds - 30,248,323       30,248  
Government Fund (c)            
Goldman Sachs Financial Square Funds - 48,333,131       48,333  
Government Fund            
        $   78,581  
TOTAL INVESTMENT COMPANIES     $   78,581  
Total Investments     $   1,932,068  
Liabilities in Excess of Other Assets, Net - (1.56)%   $   (29,757 )
TOTAL NET ASSETS - 100.00%     $   1,902,311  
 
 
(a) Security or a portion of the security was on loan at the end of the period.  
(b) Non-Income Producing Security          
(c) Security was purchased with the cash proceeds from securities loans.  
 
 
 
  Portfolio Summary (unaudited)          
Sector           Percent  
Financial         36.59 %
Industrial         13.02 %
Energy         8.77 %
Consumer, Cyclical         8.70 %
Utilities         7.49 %
Consumer, Non-cyclical         6.24 %
Communications         5.83 %
Basic Materials         5.34 %
Technology         4.17 %
Exchange Traded Funds         4.13 %
Government         1.28 %
Liabilities in Excess of Other Assets, Net         (1.56 )%
TOTAL NET ASSETS         100.00 %

 

See accompanying notes

106

 

 

Glossary to the Schedule of Investments May 31, 2015 (unaudited)

 
 

Currency Abbreviations

AUD

 BRL

 CAD

CHF

CLP

COP

 CZK

 DKK

 EUR

 GBP

HKD

HUF

 IDR

ILS

INR

JPY

KRW

 MXN

 MYR

NOK

 NZD

PEN

 PHP

PLN

SEK

SGD

THB

 TRY

TWD

USD/$

 ZAR

 

Australian Dollar

Brazilian Real

Canadian Dollar

 Swiss Franc

Chilean Peso

Colombian Peso

Czech Koruna

Danish Krone

Euro

 British Pound Sterling

 Hong Kong Dollar

 Hungarian Forint

Indonesian Rupiah

 Israeli New Shekel

Indian Rupee

 Japanese Yen

 South Korean Won

 Mexican Peso

Malaysian Ringgit

 Norwegian Krone

New Zealand Dollar

 PeruvianNuevo Sol

 Philippine Peso

 Polish Zloty

 Swedish Krona

 Singapore Dollar

 Thai Baht

 Turkish Lira

 New Taiwan Dollar

United States Dollar

South African Rand

 

See accompanying notes

107

 

At May 31, 2015, the net federal income tax unrealized appreciation (depreciation) and federal tax cost of investments held by the
Funds were as follows (amounts in thousands):                
    Unrealized   Unrealized     Net Unrealized     Cost for Federal
  Appreciation   (Depreciation)     Appreciation (Depreciation)     Income Tax Purposes
Blue Chip Fund $ 117,942 $ (18,106 ) $ 99,836   $ 1,239,203
Bond Market Index Fund   9,625   (3,986 )   5,639     1,414,311
Capital Securities Fund   1,150   (1,206 )   (56 )   105,700
Credit Opportunities Explorer Fund   172   (339 )   (167 )   19,431
Diversified Real Asset Fund   221,632   (122,950 )   98,682     3,878,217
Dynamic High Yield Explorer Fund   125   (270 )   (145 )   16,265
Global Multi-Strategy Fund   151,754   (66,800 )   84,954     3,122,009
Global Opportunities Fund   125,286   (18,410 )   106,876     1,254,108
International Equity Index Fund   123,683   (42,620 )   81,063     740,546
International Small Company Fund   1,032   (331 )   701     12,826
Opportunistic Municipal Fund   1,366   (116 )   1,250     31,416
Origin Emerging Markets Fund   22,749   (24,982 )   (2,233 )   631,135
Preferred Securities Fund   381,474   (25,036 )   356,438     4,468,823
Real Estate Allocation Fund   —   (5 )   (5 )   276
Real Estate Debt Income Fund   218   (229 )   (11 )   45,301
Small-MidCap Dividend Income Fund   205,984   (66,163 )   139,821     1,792,247

 

 

Security Valuation

Real Estate Allocation Fund invests in Institutional Class shares of other series of Principal Funds, Inc. (the “Underlying Funds”). Investments in the Underlying Funds are valued at the closing net asset value per share of each Underlying Fund on the day of valuation.

Blue Chip Fund, Bond Market Index Fund, Capital Securities Fund, Credit Opportunities Explorer Fund, Diversified Real Asset Fund, Dynamic High Yield Explorer Fund, Global Multi-Strategy Fund, Global Opportunities Fund, International Equity Index Fund, International Small Company Fund, Opportunistic Municipal Fund, Origin Emerging Markets Fund, Preferred Securities Fund, Real Estate Debt Income, and Small-MidCap Dividend Income Fund (known as the “Funds”) value securities for which market quotations are readily available at market value, which is determined using the last reported sale price. If no sales are reported, as is regularly the case for some securities traded over-the-counter, securities are valued using the last reported bid price or an evaluated bid price provided by a pricing service. Pricing services use modeling techniques that incorporate security characteristics, market conditions and dealer-supplied valuations to determine an evaluated bid price. When reliable market quotations are not considered to be readily available, which may be the case, for example, with respect to restricted securities, certain debt securities, preferred stocks, and foreign securities, the investments are valued at their fair value as determined in good faith by Principal Management Corporation (“the Manager”) under procedures established and periodically reviewed by the Fund’s Board of Directors.

The value of foreign securities used in computing the net asset value per share is generally determined as of the close of the foreign exchange where the security is principally traded. Events that occur after the close of the applicable foreign market or exchange but prior to the calculation of the Funds’ net asset values are reflected in the Funds’ net asset values and these securities are valued at fair value as determined in good faith by the Manager under procedures established and periodically reviewed by the Fund’s Board of Directors. Many factors are reviewed in the course of making a good faith determination of a security’s fair value, including, but not limited to, price movements in ADRs, futures contracts, industry indices, general indices, and foreign currencies.

To the extent the Funds invest in foreign securities listed on foreign exchanges which trade on days on which the Funds do not determine net asset values, for example weekends and other customary national U.S. holidays, the Funds’ net asset values could be significantly affected on days when shareholders cannot purchase or redeem shares.

Certain securities issued by companies in emerging market countries may have more than one quoted valuation at any given point in time, sometimes referred to as a “local” price and a “premium” price. The premium price is often a negotiated price, which may not consistently represent a price at which a specific transaction can be effected. It is the policy of the Funds to value such securities at prices at which it is expected those shares may be sold, and the Manager or any sub-advisor is authorized to make such determinations subject to such oversight by the Fund’s Board of Directors as may occasionally be necessary.

Fair value is defined as the price that the Funds would receive upon selling a security in a timely transaction to an independent buyer in the principal or most advantageous market of the security at the measurement date. In determining fair value, the Funds use various valuation approaches, including market, income and/or cost approaches. A hierarchy for inputs is used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available.

Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the Funds. Unobservable inputs are inputs that reflect the Funds own estimates about the estimates market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

ÏLevel 1 – Quoted prices are available in active markets for identical securities as of the reporting date. The type of securities included in Level 1 includes listed equities and listed derivatives.

ÏLevel 2 – Other significant observable inputs (including quoted prices for similar investments, interest rates, prepayments speeds, credit risk, etc.) Investments which are generally included in this category include corporate bonds, senior floating rate interests, and municipal bonds.

 

ÏLevel 3 – Significant unobservable inputs (including the Funds’ assumptions in determining the fair value of investments.) Investments which are generally included in this category include certain corporate bonds and certain mortgage backed securities.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the market place, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised by the Funds in determining fair value is greatest for instruments categorized in Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes 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.

Fair value is a market based measure considered from the perspective of a market participant who holds the asset rather than an entity specific measure. Therefore, even when market assumptions are not readily available, the Fund’s own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The Funds use prices and inputs that are current as of the measurement date.

Investments which are generally included in the Level 3 category are primarily valued using quoted prices from brokers and dealers participating in the market for these investments. These investments are classified as Level 3 investments due to the lack of market transparency and market corroboration to support these quoted prices. Valuation models may be used as the pricing source for other investments classified as Level 3. Valuation models rely on one or more significant unobservable inputs such as prepayment rates, probability of default, or loss severity in the event of default. Significant increases in any of those inputs in isolation would result in a significantly lower fair value measurement.

The fair values of these entities are dependent on economic, political and other considerations. The values of the underlying investee entities may be affected by significant changes in the economic conditions, changes in government policies, and other factors (e.g., natural disasters, accidents, conflicts, etc.).

Fair value of these investments is determined in good faith by the Manager under procedures established and periodically reviewed by the Fund’s Board of Directors. The Manager has established a Valuation Committee of senior officers and employees, with the responsibility of overseeing the pricing and valuation of all securities, including securities where market quotations are not readily available. The Valuation Committee meets monthly and reports directly to the Board of Directors. The Pricing Group who reports to the Valuation Committee relies on the established Pricing Policies to determine fair valuation. Included in the Pricing Policies is an overview of the approved valuation technique established for each asset class. The Pricing Group will consider all appropriate information when determining fair valuation.

The Pricing Group relies on externally provided valuation inputs to determine the value of Level 3 securities. Security values are updated as new information becomes available. Valuation data and changes in valuation amounts are reviewed on a daily basis based on specified criteria for the security, asset class, and other factors. In addition, valuation data is periodically compared to actual transactions executed by the Funds (i.e., purchases/sales) and differences between transaction prices and prior period valuation data are investigated based on specified tolerances.

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

 

The beginning of the period timing recognition has been adopted for the transfers between levels of each Fund’s assets and liabilities. During the period, there were no significant transfers into or out of Level 3. In addition, at the end of the period, there were no funds that had a significant Level 3 balance. The table below includes transfers from Level 1 to Level 2 at May 31, 2015 due to lack of exchange traded valuation data; however, observable market inputs were available to support these valuations:

Global Multi-Strategy Fund $ 476,699
Preferred Securities Fund $ 8,434,587

 

Below are transfers from Level 2 to Level 1 at November 30, 2014 due to the resumption of trading for previous thinly traded securities:

Capital Securities Fund $ 1,079,500
Global Multi-Strategy Fund $ 624,418
Preferred Securities Fund $ 73,906,619

 

 

                         
                         
The following is a summary of the inputs used as of May 31, 2015 in valuing the Funds' securities carried at value (amounts shown in  
thousands):                      
            Level 2 - Other            
      Level 1 - Quoted   Significant Observable     Level 3 - Significant      
Fund     Prices     Inputs     Unobservable Inputs                       Totals (Level 1,2,3)
 
Blue Chip Fund                      
Common Stocks* $ 1,338,605   $ —   $ — $ 1,338,605  
Investment Companies   434     —     —   434  
  Total investments in securities $ 1,339,039   $ —   $ — $ 1,339,039  
 
                         
Bond Market Index Fund                      
Bonds $ —   $ 446,741   $ 20 $ 446,761  
Investment Companies   162,302     —     —   162,302  
Municipal Bonds   —     10,522     —   10,522  
U.S. Government & Government Agency Obligations   —     800,365     —   800,365  
  Total investments in securities $ 162,302   $ 1,257,628   $ 20 $ 1,419,950  
 
                         
Capital Securities Fund                      
Bonds $ —   $ 93,907   $ — $ 93,907  
Convertible Bonds   —     500     —   500  
Preferred Stocks                      
Communications   —     2,867     —   2,867  
Financial   4,082     3,221     —   7,303  
Utilities   1,067     —     —   1,067  
  Total investments in securities $ 5,149   $ 100,495   $ — $ 105,644  
 
                         
Credit Opportunities Explorer Fund                      
Bonds $ —   $ 18,025   $ — $ 18,025  
Investment Companies   217     —     —   217  
Senior Floating Rate Interests   —     1,022     —   1,022  
  Total investments in securities $ 217   $ 19,047   $ — $ 19,264  
Assets                      
Equity Contracts**                      
Total Return Swaps   —     2     —   2  
Interest Rate Contracts**                      
Futures $ 25   $ —   $ — $ 25  
Liabilities                      
Equity Contracts**                      
Total Return Swaps   —     (1 )   —   (1 )
Interest Rate Contracts**                      
Futures $ (35 ) $ —   $ — $ (35 )
 
                         
Diversified Real Asset Fund                      
Bonds $ —   $ 346,895   $ — $ 346,895  
Commodity Indexed Structured Notes   —     178,132     —   178,132  
Common Stocks                      
Basic Materials   116,856     75,429     —   192,285  
Communications   1,204     15,844     —   17,048  
Consumer, Cyclical   21,018     9,494     —   30,512  
Consumer, Non-cyclical   71,697     79,488     —   151,185  
Diversified   3,265     10,768     —   14,033  
Energy   809,056     7,803     —   816,859  
Financial   270,950     116,226     —   387,176  
Industrial   103,761     73,850     —   177,611  
Utilities   159,190     136,704     —   295,894  
Investment Companies   142,454     —     —   142,454  
Senior Floating Rate Interests   —     602,212     —   602,212  
U.S. Government & Government Agency Obligations   —     623,095     —   623,095  
Purchased Interest Rate Swaptions   —     591     —   591  
Purchased Capped Options   —     1     —   1  
Purchased Options   334     582     —   916  
  Total investments in securities $ 1,699,785   $ 2,277,114   $ — $ 3,976,899  
Assets                      
Foreign Exchange Contracts**                      
Foreign Currency Contracts $ —   $ 1,866   $ — $ 1,866  
Interest Rate Contracts**                      
Exchange Cleared Interest Rate Swaps $ —   $ 62   $ — $ 62  
Futures   470     —     —   470  
Liabilities                      
Foreign Exchange Contracts**                      
Foreign Currency Contracts $ —   $ (911 ) $ — $ (911 )
Written Options   —     (337 )   —   (337 )
Interest Rate Contracts**                      
Exchange Cleared Interest Rate Swaps $ —   $ (584 ) $ — $ (584 )
Futures   (369 )   —     —   (369 )
Interest Rate Swaps   —     (64 )   —   (64 )
Interest Rate Swaptions   —     (581 )   —   (581 )
Options   (119 )   —     —   (119 )

 

 

                       
          Level 2 - Other            
    Level 1 - Quoted     Significant Observable     Level 3 - Significant      
Fund   Prices     Inputs     Unobservable Inputs                              Totals (Level 1,2,3)
 
Dynamic High Yield Explorer Fund                    
Bonds $ —   $ 5,678   $ — $ 5,678  
Common Stocks*   181     —     —   181  
Investment Companies   1,424     —     —   1,424  
Senior Floating Rate Interests   —     8,837     —   8,837  
  Total investments in securities $ 1,605   $ 14,515   $ — $ 16,120  
 
                       
Global Multi-Strategy Fund                      
Bonds $ —   $ 684,033   $ 14,416 $ 698,449  
Common Stocks                      
Basic Materials   50,609     36,340     —   86,949  
Communications   117,179     26,197     —   143,376  
Consumer, Cyclical   152,003     34,022     —   186,025  
Consumer, Non-cyclical   351,497     38,739     —   390,236  
Diversified   138     1,436     —   1,574  
Energy   63,507     6,295     —   69,802  
Exchange Traded Funds   30,960     291     —   31,251  
Financial   142,948     55,403     31   198,382  
Industrial   134,848     51,407     —   186,255  
Technology   125,821     15,090     —   140,911  
Utilities   22,164     6,315     —   28,479  
Convertible Bonds   —     83,436     —   83,436  
Convertible Preferred Stocks                      
Basic Materials   3,631     —     —   3,631  
Communications   2,326     —     177   2,503  
Consumer, Cyclical   1,262     43     —   1,305  
Consumer, Non-cyclical   6,449     1,371     —   7,820  
Energy   2,774     245     —   3,019  
Financial   3,832     2,878     —   6,710  
Technology   —     —     124   124  
Utilities   2,949     —     —   2,949  
Investment Companies   637,285     —     —   637,285  
Preferred Stocks                      
Communications   —     1,386     339   1,725  
Consumer, Cyclical   —     3,094     —   3,094  
Consumer, Non-cyclical   —     8,346     —   8,346  
Financial   —     1,189     515   1,704  
Industrial   —     —     174   174  
Technology   —     295     203   498  
Repurchase Agreements   —     102,779     —   102,779  
Senior Floating Rate Interests   —     53,469     —   53,469  
U.S. Government & Government Agency Obligations —     118,354     —   118,354  
Purchased Interest Rate Swaptions —     513     —   513  
Purchased Options   5,262     574     —   5,836  
  Total investments in securities $ 1,857,444   $ 1,333,540   $ 15,979 $ 3,206,963  
Short Sales                      
Bonds $ —   $ (90,801 ) $ — $ (90,801 )
Common Stocks                      
Basic Materials   (11,255 )   (5,211 )   —   (16,466 )
Communications   (37,700 )   (5,311 )   —   (43,011 )
Consumer, Cyclical   (46,842 )   (7,082 )   —   (53,924 )
Consumer, Non-cyclical   (54,803 )   (5,974 )   —   (60,777 )
Energy   (21,478 )   (4,373 )   —   (25,851 )
Financial   (84,108 )   (7,669 )   —   (91,777 )
Industrial   (44,619 )   (9,772 )   —   (54,391 )
Technology   (48,688 )   (2,537 )   —   (51,225 )
Utilities   (14,831 )   (524 )   —   (15,355 )
Preferred Stocks                      
Basic Materials   —     (374 )   —   (374 )
Consumer, Cyclical   —     (323 )   —   (323 )
Consumer, Non-cyclical   —     (102 )   —   (102 )
  Total Short Sales $ (364,324 ) $ (140,053 ) $ — $ (504,377 )

 

 

          Level 2 - Other            
    Level 1 - Quoted     Significant Observable     Level 3 - Significant      
Fund   Prices     Inputs     Unobservable Inputs                          Totals (Level 1,2,3)
 
Global Multi-Strategy Fund (continued)                      
Assets                      
Credit Contracts**                      
Credit Default Swaps $ —   $ 6,178   $ — $ 6,178  
Exchange Cleared Credit Default Swaps   —     24     —   24  
Equity Contracts**                      
Futures $ 5,837   $ —   $ — $ 5,837  
Synthetic Futures   —     54     —   54  
Total Return Equity Basket Swaps   —     9,043     —   9,043  
Foreign Exchange Contracts**                      
Foreign Currency Contracts $ —   $ 18,555   $ — $ 18,555  
Interest Rate Contracts**                      
Futures $ 1,543   $ —   $ — $ 1,543  
Interest Rate Swaps   —     163     —   163  
Synthetic Futures   —     427     —   427  
Total Return Swaps   —     67     —   67  
Liabilities                      
Credit Contracts**                      
Credit Default Swaps $ —   $ (2,909 ) $ — $ (2,909 )
Equity Contracts**                      
Futures $ (11,392 ) $ —   $ — $ (11,392 )
Options   (572 )   —     —   (572 )
Synthetic Futures   —     (525 )   —   (525 )
Total Return Equity Basket Swaps   —     (577 )   —   (577 )
Foreign Exchange Contracts**                      
Foreign Currency Contracts $ —   $ (23,699 ) $ — $ (23,699 )
Written Options   —     (336 )   —   (336 )
Interest Rate Contracts**                      
Exchange Cleared Interest Rate Swaps $ —   $ (6 ) $ — $ (6 )
Futures   (2,028 )   —     —   (2,028 )
Interest Rate Swaptions   —     (24 )   —   (24 )
Synthetic Futures   —     (134 )   —   (134 )
 
                       
Global Opportunities Fund                      
Common Stocks                      
Basic Materials $ 7,711   $ 7,965   $ — $ 15,676  
Communications   41,283     23,790     —   65,073  
Consumer, Cyclical   81,846     83,712     —   165,558  
Consumer, Non-cyclical   270,429     163,314     —   433,743  
Energy   51,053     21,214     —   72,267  
Financial   212,714     109,346     —   322,060  
Industrial   47,860     6,870     —   54,730  
Technology   137,660     —     —   137,660  
Utilities   18,642     54,689     —   73,331  
Investment Companies   20,886     —     —   20,886  
Total investments in securities $ 890,084   $ 470,900   $ — $ 1,360,984  
 
                       
International Equity Index Fund                      
Common Stocks                      
Basic Materials $ —   $ 53,477   $ — $ 53,477  
Communications   —     58,708     —   58,708  
Consumer, Cyclical   —     99,651     —   99,651  
Consumer, Non-cyclical   222     187,416     —   187,638  
Diversified   —     4,943     —   4,943  
Energy   —     42,089     —   42,089  
Exchange Traded Funds   17,653     —     —   17,653  
Financial   —     204,196     —   204,196  
Industrial   —     92,619     —   92,619  
Technology   —     20,262     —   20,262  
Utilities   —     29,412     —   29,412  
Investment Companies   6,090     —     —   6,090  
Preferred Stocks                      
Basic Materials   —     182     —   182  
Consumer, Cyclical   —     3,423     —   3,423  
Consumer, Non-cyclical   —     1,266     —   1,266  
Total investments in securities $ 23,965   $ 797,644   $ — $ 821,609  
Assets                      
Equity Contracts**                      
Futures $ 201   $ —   $ — $ 201  

 

 

          Level 2 - Other          
    Level 1 - Quoted     Significant Observable   Level 3 - Significant      
Fund   Prices     Inputs   Unobservable Inputs                      Totals (Level 1,2,3)  
 
International Small Company Fund                  
Common Stocks                    
Basic Materials $ 266   $ 797 $ — $ 1,063  
Communications   71     626   —   697  
Consumer, Cyclical   119     2,285   —   2,404  
Consumer, Non-cyclical   82     1,671   —   1,753  
Diversified   —     55   —   55  
Energy   301     250   —   551  
Financial   163     2,318   —   2,481  
Industrial   116     1,863   —   1,979  
Technology   121     522   —   643  
Utilities   —     183   —   183  
Investment Companies   1,663     —   —   1,663  
Preferred Stocks                    
Industrial   —     55   —   55  
  Total investments in securities $ 2,902   $ 10,625 $ — $ 13,527  
 
                     
Opportunistic Municipal Fund                    
Bonds $ —   $ 512 $ — $ 512  
Common Stocks*   528     —   —   528  
Municipal Bonds   —     34,691   —   34,691  
  Total investments in securities $ 528   $ 35,203 $ — $ 35,731  
 
                     
Origin Emerging Markets Fund                    
Common Stocks                    
Basic Materials $ 6,876   $ 12,745 $ — $ 19,621  
Communications   6,761     54,750   —   61,511  
Consumer, Cyclical   21,594     27,872   —   49,466  
Consumer, Non-cyclical   16,225     27,859   —   44,084  
Diversified   —     5,957   —   5,957  
Energy   —     9,211   —   9,211  
Financial   10,675     165,681   —   176,356  
Industrial   32,215     64,243   —   96,458  
Technology   101,635     27,726   —   129,361  
Utilities   —     25,258   —   25,258  
Investment Companies   11,619     —   —   11,619  
  Total investments in securities $ 207,600   $ 421,302 $ — $ 628,902  
Liabilities                    
Equity Contracts**                    
Futures $ (824 ) $ — $ — $ (824 )
 
                     
Preferred Securities Fund                    
Bonds $ —   $ 2,686,471 $ — $ 2,686,471  
Convertible Bonds   —     5,996   —   5,996  
Convertible Preferred Stocks                    
Financial   73,560     —   —   73,560  
Investment Companies   121,364     —   —   121,364  
Preferred Stocks                    
Communications   164,970     109,398   —   274,368  
Consumer, Non-cyclical   —     1,259   —   1,259  
Financial   1,350,985     125,267   —   1,476,252  
Government   —     56,344   —   56,344  
Industrial   27,908     —   —   27,908  
Utilities   96,590     8,952   —   105,542  
Purchased Options   32,478     —   —   32,478  
  Total investments in securities $ 1,867,855   $ 2,993,687 $ — $ 4,861,542  
Liabilities                    
Interest Rate Contracts**                    
Options $ (15,370 ) $ — $ — $ (15,370 )
 
                     
Real Estate Allocation Fund                    
Investment Companies $ 271   $ — $ — $ 271  
  Total investments in securities $ 271   $ — $ — $ 271  
 
                     
Real Estate Debt Income Fund                    
Bonds $ —   $ 44,519 $ — $ 44,519  
Investment Companies   771     —   —   771  
  Total investments in securities $ 771   $ 44,519 $ — $ 45,290  

 

 

        Level 2 - Other        
    Level 1 - Quoted Significant Observable   Level 3 - Significant    
Fund   Prices   Inputs   Unobservable Inputs Totals (Level 1,2,3)
 
Small-MidCap Dividend Income Fund              
Common Stocks* $ 1,853,487 $ — $ — $ 1,853,487
Investment Companies   78,581   —   —   78,581
  Total investments in securities $ 1,932,068 $ — $ — $ 1,932,068
 
 
* For additional detail regarding sector classifications, please see the Schedules of Investments.        
** Exchange Cleared Swaps, Futures, Foreign Currency Contracts, and Synthetic Futures are valued at the unrealized appreciation/(depreciation) of the  
instrument.                
 
The Funds' Schedules of Investments as of May 31, 2015 have not been audited. This report is provided for the general information of the Funds' shareholders.
For more information regarding the Fund and its holdings, please see the Funds' prospectus and annual report.        

 


ITEM 2 – CONTROLS AND PROCEDURES

a) The registrant's principal executive officer and principal financial officer 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) are effective (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing).

(b) There have been no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3 – EXHIBITS

Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act are attached hereto as Exhibit 99.CERT.

 

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.

(Registrant)

Principal Funds, Inc.

By /s/ Michael J. Beer

Michael J. Beer, President and CEO

Date 07/21/2015

     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/ Michael J. Beer

Michael J. Beer, President and CEO

Date 07/21/2015

By /s/ Tracy W. Bollin

Tracy W. Bollin, Chief Financial Officer

Date 07/21/2015