N-CSRS 1 primarydocument.htm
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES
 
 
 Investment Company Act file number
 
811-07572
 
Principal Funds, Inc.
(Exact name of registrant as specified in charter)
 
 801 Grand Avenue, Des Moines, IA 50309
(Address of principal executive offices)                                                         (Zip code)
 
Principal Global Investors, LLC, 801 Grand Avenue, Des Moines, IA 50309
(Name and address of agent for service)
                                                                                               
Registrant’s telephone number, including area code:
515-248-0156
 
Date of fiscal year end:
August 31, 2020
 
Date of reporting period:
February 29, 2020
 

ITEM 1 – REPORT TO STOCKHOLDERS
 
Principal
Funds
Institutional,
J,
&
R
Share
Classes
Semiannual
Report
February
29,
2020
Beginning
on
January
1,
2021,
as
permitted
by
regulations
adopted
by
the
Securities
and
Exchange
Commission,
paper
copies
of
the
Fund’s
annual
and
semi-annual
shareholder
reports
will
no
longer
be
sent
by
mail,
unless
you
specifically
request
paper
copies
of
the
report
from
the
Fund
or
your
financial
intermediary,
such
as
a
broker-dealer
or
bank.
Instead,
the
reports
will
be
made
available
on
a
website,
and
you
will
be
notified
by
mail
each
time
a
report
is
posted
and
provided
with
a
website
link
to
access
the
report.
If
you
already
elected
to
receive
such
reports
electronically,
you
will
not
be
affected
by
this
change
and
you
do
not
need
to
take
any
action.
If
you
have
not
previously
elected
electronic
delivery,
you
may
elect
to
receive
reports
and
other
communications
from
the
Fund
electronically
by
visiting
our
website
at
www.principalfunds.com/edelivery
for
instructions
on
enrolling
in
eDelivery
or
calling
800-222-5852.
If
you
own
these
shares
through
a
financial
intermediary,
you
may
contact
your
financial
intermediary.
You
may
elect
to
receive
all
future
reports
in
paper
free
of
charge.
If
you
wish
to
continue
receiving
paper
copies
of
your
reports,
you
can
inform
the
Fund
by
calling
800-222-5852.
If
you
own
these
shares
through
a
financial
intermediary,
you
may
contact
your
financial
intermediary
or
follow
instructions
included
with
this
disclosure
to
elect
to
continue
to
receive
paper
copies
of
reports.
Your
election
to
receive
reports
in
paper
will
apply
to
all
funds
with
the
Fund
complex
or
to
the
shares
you
own
through
your
financial
intermediary.
Sign
up
for
eDelivery!
Safe,
secure
and
ready
when
you
are,
sign
up
for
eDelivery
today.
Visit
PrincipalFunds.com
>
Note:
If
your
shares
are
not
held
directly
with
Principal
Funds
but
through
a
brokerage
firm,
please
contact
your
broker
for
electronic
delivery
options
available.
Rev.
01/2020
EE11865PFI-03
FACTS
WHAT
DOES
PRINCIPAL
FUNDS
DO
WITH
YOUR
PERSONAL
INFORMATION?
Why?
Financial
companies
choose
how
they
share
your
personal
information.
Federal
law
gives
consumers
the
right
to
limit
some
but
not
all
sharing.
Federal
law
also
requires
us
to
tell
you
how
we
collect,
share,
and
protect
your
personal
information.
Please
read
this
notice
carefully
to
understand
what
we
do.
What?
The
types
of
personal
information
we
collect
and
share
depend
on
the
product
or
service
you
have
with
us.
This
information
can
include:
•
Social
Security
number
and
income
•
Assets
and
transaction
history
•
Account
transactions
and
account
balances
When
you
are
no
longer
our
customer,
we
continue
to
share
your
information
as
described
in
this
notice
How?
All
financial
companies
need
to
share
customers’
personal
information
to
run
their
everyday
business.
In
the
section
below,
we
list
the
reasons
financial
companies
can
share
their
customers’
personal
information;
the
reasons
Principal
Funds
chooses
to
share;
and
whether
you
can
limit
this
sharing.
REASONS
WE
CAN
SHARE
YOUR
PERSONAL
INFORMATION
DOES
PRINCIPAL
FUNDS
SHARE?
CAN
YOU
LIMIT
THIS
SHARING?
For
our
everyday
business
purposes
—such
as
to
process
your
transactions,
maintain
your
account(s),
respond
to
court
orders
and
legal
investigations,
or
report
to
credit
bureaus
Yes
No
For
our
marketing
purposes
—to
offer
our
products
and
services
to
you
Yes
No
For
joint
marketing
with
other
financial
companies
No
We
don’t
share
For
our
affiliates’
everyday
business
purposes
—
information
about
your
transactions
and
experiences
Yes
No
For
our
affiliates’
everyday
business
purposes
—
information
about
your
creditworthiness
No
We
don’t
share
For
nonaffiliates
to
market
to
you
No
We
don’t
share
Questions?
Call
1-800-222-5852
or
go
to
www.principalfunds.com/customer-support/contact-us
Page
2
EE11865PFI-03
|
01/2020
Who
we
are
Who
is
providing
this
notice?
Principal
Funds
includes
Principal
Funds,
Inc.,
Principal
Funds
Distributor,
Inc.,
and
Principal
Diversified
Select
Real
Asset
Fund.
What
we
do
How
does
Principal
Funds
protect
my
personal
information?
To
protect
your
personal
information
from
unauthorized
access
and
use,
we
use
security
measures
that
comply
with
federal
law.
These
measures
include
computer
safeguards
and
secured
files
and
buildings.
How
does
Principal
Funds
collect
my
personal
information?
We
collect
your
personal
information,
for
example,
when
you
•
Open
an
account
or
seek
advice
about
your
investments
•
Direct
us
to
buy
securities
or
make
deposits,
or
withdrawals
from
your
account
•
Give
us
your
contact
information
or
show
your
government
issued
ID
We
also
collect
your
personal
information
from
others,
such
as
affiliates,
or
other
companies.
Why
can’t
I
limit
all
sharing?
Federal
law
gives
you
the
right
to
limit
only
•
sharing
for
affiliates’
everyday
business
purposes—information
about
your
creditworthiness
•
affiliates
from
using
your
information
to
market
to
you
•
sharing
for
nonaffiliates
to
market
to
you
State
laws
and
individual
companies
may
give
you
additional
rights
to
limit
sharing.
Definitions
Affiliates
Companies
related
by
common
ownership
or
control.
They
can
be
financial
and
nonfinancial
companies.
•
Our
affiliates
include
companies
of
Principal
Financial
Group
®
Nonaffiliates
Companies
not
related
by
common
ownership
or
control.
They
can
be
financial
and
nonfinancial
companies.
•
Principal
Funds
does
not
share
with
nonaffiliates
so
they
can
market
to
you.
Joint
marketing
A
formal
agreement
between
nonaffiliated
financial
companies
that
together
market
financial
products
or
services
to
you.
•
Principal
Funds
does
not
jointly
market.
Other
important
information
This
Privacy
Notice
governs
information
that
you
provide
to
Principal
(or
that
we
otherwise
receive)
when
you
apply
for
or
receive
a
product
or
service
used
primarily
for
personal,
family
or
household
purposes.
We
may
collect
additional
information
depending
on
the
nature
of
your
relationship
with
Principal
or
if
you
interact
with
us
through
our
website
or
other
digital
technologies.
Details
about
how
we
protect
and
use
this
additional
information,
including
information
about
your
privacy
rights
under
California
law
such
as
the
California
Consumer
Privacy
Act,
are
available
online
at
www.principal.com/privacy-policies
.
If
you
do
not
have
access
to
www.principal.com/privacy-policies,
please
contact
us
at
1-800-986-3343
to
have
a
copy
mailed
to
you.
Table
of
Contents
Not
FDIC
or
NCUA
insured
May
lose
value
•
Not
a
deposit
•
No
bank
or
credit
union
guarantee
Not
insured
by
any
Federal
government
agency
Financial
Statements
1
Notes
to
Financial
Statements
34
Schedules
of
Investments
63
Financial
Highlights
(includes
performance
information)
193
Shareholder
Expense
Example
213
Supplemental
Information
215
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
1
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Blue
Chip
Fund
Bond
Market
Index
Fund
Diversified
Real
Asset
Fund
(a)
Investment
in
securities--at
cost
..........................................................
$
3,874,503‌
$
2,418,573‌
$
3,612,075‌
Investment
in
affiliated
Funds--at
cost
...................................................
$
3‌
$
110,689‌
$
115,457‌
Foreign
currency--at
cost
..................................................................
$
–‌
$
–‌
$
15,265‌
Assets
Investment
in
securities--at
value 
..........................................................
$
5,092,123‌
$
2,570,573‌
(b)
$
3,609,352‌
(b)
Investment
in
affiliated
Funds--at
value
....................................................
3‌
110,689‌
115,457‌
Foreign
currency--at
value
..................................................................
–‌
–‌
15,303‌
Cash
.........................................................................................
–‌
1,285‌
3,086‌
Deposits
with
counterparty
..................................................................
–‌
–‌
16,259‌
Receivables:
Dividends
and
interest
.................................................................
2,520‌
12,692‌
6,548‌
Expense
reimbursement
from
Manager
...............................................
220‌
30‌
207‌
Expense
reimbursement
from
Distributor
.............................................
3‌
1‌
–‌
Foreign
currency
contracts
...........................................................
–‌
–‌
906‌
Fund
shares
sold
.......................................................................
28,493‌
3,887‌
6,460‌
Investment
securities
sold
.............................................................
9,006‌
28,198‌
59,872‌
Unrealized
gain
on
unfunded
loan
commitments
.....................................
–‌
–‌
1,105‌
Variation
margin
on
futures
...........................................................
–‌
–‌
12,136‌
Variation
margin
on
swaps
............................................................
–‌
–‌
1,716‌
Prepaid
directors'
expenses
..................................................................
–‌
–‌
1‌
Total
Assets  
5,132,368‌
2,727,355‌
3,848,408‌
Liabilities
Accrued
management
and
investment
advisory
fees
........................................
2,627‌
284‌
2,509‌
Accrued
administrative
service
fees
........................................................
1‌
2‌
–‌
Accrued
distribution
fees
....................................................................
271‌
7‌
22‌
Accrued
service
fees
........................................................................
4‌
8‌
–‌
Accrued
transfer
agent
fees
.................................................................
167‌
19‌
537‌
Accrued
chief
compliance
officer
fees
......................................................
–‌
–‌
1‌
Accrued
directors'
expenses
.................................................................
4‌
2‌
–‌
Accrued
professional
fees
...................................................................
20‌
25‌
96‌
Accrued
other
expenses
.....................................................................
98‌
24‌
322‌
Deposits
from
counterparty
.................................................................
–‌
–‌
210‌
Payables:
Borrowing
.............................................................................
7,880‌
–‌
–‌
Foreign
currency
contracts
............................................................
–‌
–‌
1,210‌
Fund
shares
redeemed
.................................................................
34,228‌
3,959‌
4,175‌
Investment
securities
purchased
......................................................
861‌
110,302‌
98,019‌
Options
and
swaptions
contracts
written
 (premiums
received
$
0
,
$
0
and
$
3,687
)
...
–‌
–‌
3,981‌
OTC
swap
agreements--at
value
(premiums
received
$
0
,
$
0
and
$
0
)
................
–‌
–‌
12,578‌
Variation
margin
on
futures
...........................................................
–‌
–‌
21,328‌
Variation
margin
on
swaps
............................................................
–‌
–‌
1,876‌
Collateral
obligation
on
securities
loaned,
at
value
.........................................
–‌
13,115‌
9,826‌
Total
Liabilities  
46,161‌
127,747‌
156,690‌
Net
Assets
Applicable
to
Outstanding
Shares
............................................
$
5,086,207‌
$
2,599,608‌
$
3,691,718‌
Net
Assets
Consist
of:
Capital
shares
and
additional
paid-in-capital
...............................................
$
3,808,386‌
$
2,455,365‌
$
3,954,134‌
Total
distributable
earnings
(accumulated
loss)
.............................................
1,277,821‌
144,243‌
(
262,416‌
)
Total
Net
Assets 
$
5,086,207‌
$
2,599,608‌
$
3,691,718‌
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
2
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Blue
Chip
Fund
Bond
Market
Index
Fund
Diversified
Real
Asset
Fund
(a)
Capital
Stock
(par
value:
$.01
per
share):
Shares
authorized
............................................................................
1,300,000‌
710,000‌
1,875,000‌
Net
Asset
Value
Per
Share:
Class
A
:
Net
Assets
..........................................................................
$
403,727‌
N/A‌
$
49,129‌
Shares
Issued
and
Outstanding
........................................................
15,660‌
4,485‌
Net
Asset
Value
per
share
.............................................................
$
25
.78‌
$
10
.95‌
Maximum
Offering
Price
.............................................................
$
27
.28‌
$
11
.38‌
Class
C
:
Net
Assets
..........................................................................
$
198,750‌
N/A‌
$
13,585‌
Shares
Issued
and
Outstanding
........................................................
8,117‌
1,262‌
Net
Asset
Value
per
share
.............................................................
$
24
.48‌
(c)
$
10
.76‌
(c)
Class
J
:
Net
Assets
..........................................................................
$
94,098‌
$
35,496‌
N/A‌
Shares
Issued
and
Outstanding
........................................................
3,604‌
3,092‌
Net
Asset
Value
per
share
.............................................................
$
26
.11‌
(c)
$
11
.48‌
(c)
Institutional
:
Net
Assets
.....................................................................
$
1,220,472‌
$
2,522,831‌
$
2,299,408‌
Shares
Issued
and
Outstanding
........................................................
46,532‌
215,826‌
210,265‌
Net
Asset
Value
per
share
.............................................................
$
26
.23‌
$
11
.69‌
$
10
.94‌
R-1
:
Net
Assets
..............................................................................
N/A‌
$
855‌
N/A‌
Shares
Issued
and
Outstanding
........................................................
74‌
Net
Asset
Value
per
share
.............................................................
$
11
.54‌
R-2
:
Net
Assets
..............................................................................
N/A‌
$
4,443‌
N/A‌
Shares
Issued
and
Outstanding
........................................................
387‌
Net
Asset
Value
per
share
.............................................................
$
11
.49‌
R-3
:
Net
Assets
..............................................................................
$
6,441‌
$
12,530‌
$
147‌
Shares
Issued
and
Outstanding
........................................................
249‌
1,092‌
14‌
Net
Asset
Value
per
share
.............................................................
$
25
.82‌
$
11
.47‌
$
10
.90‌
R-4
:
Net
Assets
..............................................................................
$
4,107‌
$
5,650‌
$
11‌
Shares
Issued
and
Outstanding
........................................................
158‌
488‌
1‌
Net
Asset
Value
per
share
.............................................................
$
25
.97‌
$
11
.57‌
$
10
.93‌
R-5
:
Net
Assets
..............................................................................
$
7,172‌
$
17,803‌
$
59‌
Shares
Issued
and
Outstanding
........................................................
275‌
1,544‌
5‌
Net
Asset
Value
per
share
.............................................................
$
26
.11‌
$
11
.53‌
$
10
.92‌
R-6
:
Net
Assets
..............................................................................
$
3,151,440‌
N/A‌
$
1,329,379‌
Shares
Issued
and
Outstanding
........................................................
119,974‌
121,575‌
Net
Asset
Value
per
share
.............................................................
$
26
.27‌
$
10
.93‌
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
(b)
Includes
fair
market
value
of
securities
loaned,
see
"Securities
Lending"
in
Notes
to
Financial
Statements.
(c)
Redemption
price
per
share
is
equal
to
net
asset
value
per
share
less
any
applicable
contingent
deferred
sales
charge.
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
3
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Edge
MidCap
Fund
Global
Multi-Strategy
Fund
(a)
International
Equity
Index
Fund
Investment
in
securities--at
cost
..........................................................
$
596,308‌
$
1,451,527‌
$
1,011,445‌
Investment
in
affiliated
Funds--at
cost
...................................................
$
18,968‌
$
107,586‌
$
12,910‌
Foreign
currency--at
cost
..................................................................
$
43‌
$
–‌
$
–‌
Assets
Investment
in
securities--at
value 
..........................................................
$
648,196‌
$
1,451,364‌
$
1,051,608‌
(b)
Investment
in
affiliated
Funds--at
value
....................................................
18,968‌
107,586‌
12,910‌
Foreign
currency--at
value
..................................................................
43‌
–‌
–‌
Cash
.........................................................................................
–‌
7,780‌
–‌
Deposits
with
counterparty
..................................................................
–‌
135,624‌
117‌
Receivables:
Dividends
and
interest
.................................................................
1,216‌
7,467‌
5,305‌
Expense
reimbursement
from
Manager
...............................................
35‌
108‌
24‌
Foreign
currency
contracts
...........................................................
–‌
8,670‌
–‌
Fund
shares
sold
.......................................................................
349‌
1,328‌
759‌
Investment
securities
sold
.............................................................
20,195‌
224,586‌
3,054‌
OTC
swap
agreements--at
value
(premiums
paid
$
0
,
$
343
and
$
0
)
..................
–‌
4,748‌
–‌
Variation
margin
on
futures
...........................................................
–‌
4,396‌
–‌
Variation
margin
on
swaps
............................................................
–‌
498‌
–‌
Total
Assets  
689,002‌
1,954,155‌
1,073,777‌
Liabilities
Accrued
management
and
investment
advisory
fees
........................................
410‌
1,168‌
225‌
Accrued
administrative
service
fees
........................................................
–‌
–‌
2‌
Accrued
distribution
fees
....................................................................
2‌
25‌
4‌
Accrued
service
fees
........................................................................
–‌
–‌
9‌
Accrued
transfer
agent
fees
.................................................................
9‌
133‌
8‌
Accrued
chief
compliance
officer
fees
......................................................
–‌
1‌
–‌
Accrued
directors'
expenses
.................................................................
–‌
1‌
–‌
Accrued
professional
fees
...................................................................
21‌
127‌
63‌
Accrued
other
expenses
.....................................................................
4‌
127‌
266‌
Cash
overdraft
...............................................................................
–‌
–‌
64‌
Deposits
from
counterparty
.................................................................
–‌
192‌
–‌
Payables:
Dividends
and
interest
on
securities
sold
short
.......................................
–‌
1,375‌
–‌
Foreign
currency
contracts
............................................................
–‌
8,507‌
–‌
Fund
shares
redeemed
.................................................................
1,251‌
1,844‌
1,299‌
Investment
securities
purchased
......................................................
24,503‌
199,872‌
2,345‌
Options
and
swaptions
contracts
written
 (premiums
received
$
0
,
$
1,239
and
$
0
)
...
–‌
2,510‌
–‌
Reverse
repurchase
agreements
.......................................................
–‌
410,930‌
–‌
Short
sales
(proceeds
received
$
0
,
$
418,912
and
$
0
)
.................................
–‌
418,978‌
–‌
OTC
swap
agreements--at
value
(premiums
received
$
0
,
$
309
and
$
0
)
.............
–‌
3,079‌
–‌
Variation
margin
on
futures
...........................................................
–‌
4,561‌
18‌
Variation
margin
on
swaps
............................................................
–‌
734‌
–‌
Collateral
obligation
on
securities
loaned,
at
value
.........................................
–‌
–‌
17,653‌
Total
Liabilities  
26,200‌
1,054,164‌
21,956‌
Net
Assets
Applicable
to
Outstanding
Shares
............................................
$
662,802‌
$
899,991‌
$
1,051,821‌
Net
Assets
Consist
of:
Capital
shares
and
additional
paid-in-capital
...............................................
$
589,817‌
$
925,608‌
$
1,025,063‌
Total
distributable
earnings
(accumulated
loss)
.............................................
72,985‌
(
25,617‌
)
26,758‌
Total
Net
Assets 
$
662,802‌
$
899,991‌
$
1,051,821‌
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
4
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Edge
MidCap
Fund
Global
Multi-Strategy
Fund
(a)
International
Equity
Index
Fund
Capital
Stock
(par
value:
$.01
per
share):
Shares
authorized
............................................................................
300,000‌
1,750,000‌
650,000‌
Net
Asset
Value
Per
Share:
Class
A
:
Net
Assets
..........................................................................
$
9,737‌
$
28,152‌
N/A‌
Shares
Issued
and
Outstanding
........................................................
720‌
2,647‌
Net
Asset
Value
per
share
.............................................................
$
13
.53‌
$
10
.63‌
Maximum
Offering
Price
.............................................................
$
14
.32‌
$
11
.04‌
Class
C
:
Net
Assets
..........................................................................
N/A‌
$
22,437‌
N/A‌
Shares
Issued
and
Outstanding
........................................................
2,186‌
Net
Asset
Value
per
share
.............................................................
$
10
.27‌
(c)
Institutional
:
Net
Assets
.....................................................................
$
42,478‌
$
660,759‌
$
38,549‌
Shares
Issued
and
Outstanding
........................................................
3,131‌
61,312‌
4,055‌
Net
Asset
Value
per
share
.............................................................
$
13
.57‌
$
10
.78‌
$
9
.50‌
R-1
:
Net
Assets
..............................................................................
N/A‌
N/A‌
$
454‌
Shares
Issued
and
Outstanding
........................................................
49‌
Net
Asset
Value
per
share
.............................................................
$
9
.23‌
R-2
:
Net
Assets
..............................................................................
N/A‌
N/A‌
$
537‌
Shares
Issued
and
Outstanding
........................................................
56‌
Net
Asset
Value
per
share
.............................................................
$
9
.53‌
R-3
:
Net
Assets
..............................................................................
N/A‌
N/A‌
$
16,037‌
Shares
Issued
and
Outstanding
........................................................
1,717‌
Net
Asset
Value
per
share
.............................................................
$
9
.34‌
R-4
:
Net
Assets
..............................................................................
N/A‌
N/A‌
$
7,939‌
Shares
Issued
and
Outstanding
........................................................
841‌
Net
Asset
Value
per
share
.............................................................
$
9
.44‌
R-5
:
Net
Assets
..............................................................................
N/A‌
N/A‌
$
16,875‌
Shares
Issued
and
Outstanding
........................................................
1,783‌
Net
Asset
Value
per
share
.............................................................
$
9
.46‌
R-6
:
Net
Assets
..............................................................................
$
610,587‌
$
188,643‌
$
971,430‌
Shares
Issued
and
Outstanding
........................................................
44,868‌
17,516‌
102,170‌
Net
Asset
Value
per
share
.............................................................
$
13
.61‌
$
10
.77‌
$
9
.51‌
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
(b)
Includes
fair
market
value
of
securities
loaned,
see
"Securities
Lending"
in
Notes
to
Financial
Statements.
(c)
Redemption
price
per
share
is
equal
to
net
asset
value
per
share
less
any
applicable
contingent
deferred
sales
charge.
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
5
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
International
Small
Company
Fund
Opportunistic
Municipal
Fund
Origin
Emerging
Markets
Fund
Investment
in
securities--at
cost
..........................................................
$
905,655‌
$
153,436‌
$
1,137,839‌
Investment
in
affiliated
Funds--at
cost
...................................................
$
24,650‌
$
–‌
$
24,429‌
Foreign
currency--at
cost
..................................................................
$
1,807‌
$
–‌
$
7‌
Assets
Investment
in
securities--at
value 
..........................................................
$
904,331‌
(a)
$
164,916‌
$
1,262,498‌
Investment
in
affiliated
Funds--at
value
....................................................
24,650‌
–‌
24,429‌
Foreign
currency--at
value
..................................................................
1,801‌
–‌
7‌
Cash
.........................................................................................
–‌
440‌
–‌
Receivables:
Dividends
and
interest
.................................................................
1,764‌
1,630‌
791‌
Expense
reimbursement
from
Manager
...............................................
3‌
10‌
4‌
Fund
shares
sold
.......................................................................
459‌
1,367‌
288‌
Investment
securities
sold
.............................................................
5,605‌
6,092‌
11‌
Prepaid
expenses
............................................................................
–‌
–‌
2‌
Total
Assets  
938,613‌
174,455‌
1,288,030‌
Liabilities
Accrued
management
and
investment
advisory
fees
........................................
815‌
60‌
1,094‌
Accrued
distribution
fees
....................................................................
1‌
11‌
–‌
Accrued
transfer
agent
fees
.................................................................
8‌
18‌
4‌
Accrued
directors'
expenses
.................................................................
–‌
1‌
2‌
Accrued
professional
fees
...................................................................
42‌
30‌
18‌
Accrued
other
expenses
.....................................................................
69‌
9‌
–‌
Cash
overdraft
...............................................................................
–‌
–‌
4‌
Payables:
Dividends
payable
.....................................................................
–‌
350‌
–‌
Fund
shares
redeemed
.................................................................
1,309‌
1,279‌
1,907‌
Interest
expense
and
fees
payable
.....................................................
–‌
26‌
–‌
Investment
securities
purchased
......................................................
8,790‌
13,011‌
–‌
Collateral
obligation
on
securities
loaned,
at
value
.........................................
24,353‌
–‌
–‌
Floating
rate
notes
issued
...................................................................
–‌
5,428‌
–‌
Total
Liabilities  
35,387‌
20,223‌
3,029‌
Net
Assets
Applicable
to
Outstanding
Shares
............................................
$
903,226‌
$
154,232‌
$
1,285,001‌
Net
Assets
Consist
of:
Capital
shares
and
additional
paid-in-capital
...............................................
$
914,780‌
$
142,531‌
$
1,287,818‌
Total
distributable
earnings
(accumulated
loss)
.............................................
(
11,554‌
)
11,701‌
(
2,817‌
)
Total
Net
Assets 
$
903,226‌
$
154,232‌
$
1,285,001‌
Capital
Stock
(par
value:
$.01
per
share):
Shares
authorized
............................................................................
400,000‌
300,000‌
550,000‌
Net
Asset
Value
Per
Share:
Class
A
:
Net
Assets
..........................................................................
$
4,301‌
$
58,664‌
$
2,558‌
Shares
Issued
and
Outstanding
........................................................
429‌
5,067‌
233‌
Net
Asset
Value
per
share
.............................................................
$
10
.03‌
$
11
.58‌
$
10
.99‌
Maximum
Offering
Price
.............................................................
$
10
.61‌
$
12
.03‌
$
11
.63‌
Institutional
:
Net
Assets
.....................................................................
$
42,588‌
$
95,568‌
$
14,656‌
Shares
Issued
and
Outstanding
........................................................
4,233‌
8,251‌
1,358‌
Net
Asset
Value
per
share
.............................................................
$
10
.06‌
$
11
.58‌
$
10
.79‌
R-6
:
Net
Assets
..............................................................................
$
856,337‌
N/A‌
$
1,267,787‌
Shares
Issued
and
Outstanding
........................................................
84,682‌
117,375‌
Net
Asset
Value
per
share
.............................................................
$
10
.11‌
$
10
.80‌
(a)
Includes
fair
market
value
of
securities
loaned,
see
"Securities
Lending"
in
Notes
to
Financial
Statements.
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
7
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Small-MidCap
Dividend
Income
Fund
Small-MidCap
Growth
Fund
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Investment
in
securities--at
cost
..........................................................
$
2,037,151‌
$
4,594‌
$
5,876,275‌
Investment
in
affiliated
Funds--at
cost
...................................................
$
33,610‌
$
191‌
$
128,472‌
Investment
in
affiliated
securities--at
cost
................................................
$
–‌
$
–‌
$
115,496‌
Assets
Investment
in
securities--at
value 
..........................................................
$
1,984,885‌
(a)
$
5,030‌
(a)
$
6,255,804‌
(a)
Investment
in
affiliated
Funds--at
value
....................................................
33,610‌
191‌
128,472‌
Investment
in
affiliated
securities--at
value
.................................................
–‌
–‌
96,166‌
Deposits
with
counterparty
..................................................................
–‌
–‌
2,266‌
Receivables:
Dividends
and
interest
.................................................................
5,274‌
–‌
86,742‌
Expense
reimbursement
from
Manager
...............................................
75‌
2‌
–‌
Expense
reimbursement
from
Distributor
.............................................
–‌
–‌
1‌
Fund
shares
sold
.......................................................................
5,100‌
–‌
14,031‌
Investment
securities
sold
.............................................................
43,692‌
115‌
146‌
Prepaid
directors'
expenses
..................................................................
–‌
–‌
3‌
Total
Assets  
2,072,636‌
5,338‌
6,583,631‌
Liabilities
Accrued
management
and
investment
advisory
fees
........................................
1,359‌
3‌
3,674‌
Accrued
distribution
fees
....................................................................
122‌
–‌
541‌
Accrued
service
fees
........................................................................
–‌
–‌
2‌
Accrued
transfer
agent
fees
.................................................................
426‌
–‌
706‌
Accrued
chief
compliance
officer
fees
......................................................
–‌
–‌
1‌
Accrued
directors'
expenses
.................................................................
1‌
–‌
–‌
Accrued
professional
fees
...................................................................
27‌
20‌
34‌
Accrued
other
expenses
.....................................................................
199‌
8‌
162‌
Cash
overdraft
...............................................................................
–‌
–‌
1‌
Payables:
Fund
shares
redeemed
.................................................................
9,171‌
–‌
95,101‌
Investment
securities
purchased
......................................................
44,417‌
136‌
87‌
Variation
margin
on
futures
...........................................................
–‌
–‌
13‌
Collateral
obligation
on
securities
loaned,
at
value
.........................................
27,567‌
64‌
32,740‌
Total
Liabilities  
83,289‌
231‌
133,062‌
Net
Assets
Applicable
to
Outstanding
Shares
............................................
$
1,989,347‌
$
5,107‌
$
6,450,569‌
Net
Assets
Consist
of:
Capital
shares
and
additional
paid-in-capital
...............................................
$
1,979,645‌
$
5,000‌
$
6,108,450‌
Total
distributable
earnings
(accumulated
loss)
.............................................
9,702‌
107‌
342,119‌
Total
Net
Assets 
$
1,989,347‌
$
5,107‌
$
6,450,569‌
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
8
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Small-MidCap
Dividend
Income
Fund
Small-MidCap
Growth
Fund
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Capital
Stock
(par
value:
$.01
per
share):
Shares
authorized
............................................................................
1,700,000‌
100,000‌
2,500,000‌
Net
Asset
Value
Per
Share:
Class
A
:
Net
Assets
..........................................................................
$
132,186‌
N/A‌
$
790,833‌
Shares
Issued
and
Outstanding
........................................................
10,088‌
75,991‌
Net
Asset
Value
per
share
.............................................................
$
13
.10‌
$
10
.41‌
Maximum
Offering
Price
.............................................................
$
13
.86‌
$
10
.82‌
Class
C
:
Net
Assets
..........................................................................
$
101,574‌
N/A‌
$
456,248‌
Shares
Issued
and
Outstanding
........................................................
7,832‌
43,888‌
Net
Asset
Value
per
share
.............................................................
$
12
.97‌
(b)
$
10
.40‌
(b)
Class
J
:
Net
Assets
..........................................................................
N/A‌
N/A‌
$
47,209‌
Shares
Issued
and
Outstanding
........................................................
4,672‌
Net
Asset
Value
per
share
.............................................................
$
10
.10‌
(b)
Institutional
:
Net
Assets
.....................................................................
$
1,747,039‌
$
5,107‌
$
4,110,611‌
Shares
Issued
and
Outstanding
........................................................
132,568‌
500‌
397,959‌
Net
Asset
Value
per
share
.............................................................
$
13
.18‌
$
10
.21‌
$
10
.33‌
R-1
:
Net
Assets
..............................................................................
N/A‌
N/A‌
$
465‌
Shares
Issued
and
Outstanding
........................................................
46‌
Net
Asset
Value
per
share
.............................................................
$
10
.28‌
R-2
:
Net
Assets
..............................................................................
N/A‌
N/A‌
$
1,886‌
Shares
Issued
and
Outstanding
........................................................
185‌
Net
Asset
Value
per
share
.............................................................
$
10
.20‌
R-3
:
Net
Assets
..............................................................................
N/A‌
N/A‌
$
2,288‌
Shares
Issued
and
Outstanding
........................................................
223‌
Net
Asset
Value
per
share
.............................................................
$
10
.25‌
R-4
:
Net
Assets
..............................................................................
N/A‌
N/A‌
$
1,066‌
Shares
Issued
and
Outstanding
........................................................
104‌
Net
Asset
Value
per
share
.............................................................
$
10
.23‌
R-5
:
Net
Assets
..............................................................................
N/A‌
N/A‌
$
3,725‌
Shares
Issued
and
Outstanding
........................................................
362‌
Net
Asset
Value
per
share
.............................................................
$
10
.28‌
R-6
:
Net
Assets
..............................................................................
$
8,548‌
N/A‌
$
1,036,238‌
Shares
Issued
and
Outstanding
........................................................
646‌
100,362‌
Net
Asset
Value
per
share
.............................................................
$
13
.24‌
$
10
.32‌
(a)
Includes
fair
market
value
of
securities
loaned,
see
"Securities
Lending"
in
Notes
to
Financial
Statements.
(b)
Redemption
price
per
share
is
equal
to
net
asset
value
per
share
less
any
applicable
contingent
deferred
sales
charge.
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
9
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
SystematEx
International
Fund
Investment
in
securities--at
cost
......................................................................................................................
$
233,477‌
Investment
in
affiliated
Funds--at
cost
...............................................................................................................
$
535‌
Assets
Investment
in
securities--at
value 
......................................................................................................................
$
218,849‌
(a)
Investment
in
affiliated
Funds--at
value
................................................................................................................
535‌
Receivables:
Dividends
and
interest
.............................................................................................................................
679‌
Expense
reimbursement
from
Manager
...........................................................................................................
5‌
Total
Assets  
220,068‌
Liabilities
Accrued
management
and
investment
advisory
fees
....................................................................................................
112‌
Accrued
directors'
expenses
.............................................................................................................................
1‌
Accrued
professional
fees
...............................................................................................................................
42‌
Accrued
other
expenses
.................................................................................................................................
20‌
Payables:
Fund
shares
redeemed
.............................................................................................................................
96‌
Collateral
obligation
on
securities
loaned,
at
value
.....................................................................................................
3,483‌
Total
Liabilities  
3,754‌
Net
Assets
Applicable
to
Outstanding
Shares
........................................................................................................
$
216,314‌
Net
Assets
Consist
of:
Capital
shares
and
additional
paid-in-capital
...........................................................................................................
$
231,790‌
Total
distributable
earnings
(accumulated
loss)
.........................................................................................................
(
15,476‌
)
Total
Net
Assets 
$
216,314‌
Capital
Stock
(par
value:
$.01
per
share):
Shares
authorized
........................................................................................................................................
200,000‌
Net
Asset
Value
Per
Share:
Institutional
:
Net
Assets
.................................................................................................................................
$
270‌
Shares
Issued
and
Outstanding
....................................................................................................................
28‌
Net
Asset
Value
per
share
.........................................................................................................................
$
9
.48‌
R-6
:
Net
Assets
..........................................................................................................................................
$
216,044‌
Shares
Issued
and
Outstanding
....................................................................................................................
22,551‌
Net
Asset
Value
per
share
.........................................................................................................................
$
9
.58‌
(a)
Includes
fair
market
value
of
securities
loaned,
see
"Securities
Lending"
in
Notes
to
Financial
Statements.
Statements
of
Operations
Principal
Funds,
Inc.
Six
Months
Ended
February
29,
2020
(unaudited)
11
See
accompanying
notes.
Amounts
in
thousands
Blue
Chip
Fund
Bond
Market
Index
Fund
Diversified
Real
Asset
Fund
(a)
Net
Investment
Income
(Loss)
Income:
Dividends
from
affiliated
Funds
.................................................................
$
91‌
$
835‌
$
1,063‌
Dividends
.........................................................................................
24,280‌
409‌
33,536‌
Withholding
tax
..................................................................................
(
309‌
)
–‌
(
2,182‌
)
Interest
............................................................................................
–‌
29,786‌
25,583‌
Securities
lending
-
net
...........................................................................
58‌
13‌
4‌
Total
Income
24,120‌
31,043‌
58,004‌
Expenses:
Management
and
investment
advisory
fees
......................................................
15,076‌
1,691‌
15,934‌
Distribution
f
ees
-
Class
A
.......................................................................
447‌
N/A‌
68‌
Distribution
f
ees
-
Class
C
.......................................................................
909‌
N/A‌
76‌
Distribution
f
ees
-
Class
J
........................................................................
67‌
22‌
N/A‌
Distribution
f
ees
-
R-1
...........................................................................
N/A‌
2‌
N/A‌
Distribution
f
ees
-
R-2
...........................................................................
N/A‌
6‌
N/A‌
Distribution
f
ees
-
R-3
...........................................................................
8‌
13‌
–‌
Distribution
f
ees
-
R-4
...........................................................................
2‌
3‌
–‌
Administrative
service
fees
-
R-1
................................................................
N/A‌
1‌
N/A‌
Administrative
service
fees
-
R-2
................................................................
N/A‌
4‌
N/A‌
Administrative
service
fees
-
R-3
................................................................
2‌
3‌
–‌
Administrative
service
fees
-
R-4
................................................................
1‌
1‌
–‌
Administrative
service
fees
-
R-5
................................................................
–‌
1‌
–‌
Registration
fees
-
Class
A
.......................................................................
33‌
N/A‌
8‌
Registration
fees
-
Class
C
.......................................................................
11‌
N/A‌
7‌
Registration
fees
-
Class
J
........................................................................
10‌
7‌
N/A‌
Registration
fees
-
Institutional
..................................................................
58‌
9‌
23‌
Registration
fees
-
R-6
...........................................................................
19‌
N/A‌
18‌
Service
fees
-
R-1
................................................................................
N/A‌
1‌
N/A‌
Service
fees
-
R-2
................................................................................
N/A‌
5‌
N/A‌
Service
fees
-
R-3
................................................................................
8‌
13‌
–‌
Service
fees
-
R-4
................................................................................
5‌
7‌
–‌
Service
fees
-
R-5
................................................................................
9‌
21‌
–‌
Shareholder
reports
-
Class
A
....................................................................
23‌
N/A‌
16‌
Shareholder
reports
-
Class
C
....................................................................
11‌
N/A‌
5‌
Shareholder
reports
-
Class
J
.....................................................................
36‌
33‌
N/A‌
Shareholder
reports
-
Institutional
...............................................................
17‌
2‌
145‌
Shareholder
reports
-
R-6
........................................................................
10‌
N/A‌
77‌
Transfer agent
fees
-
Class
A
.....................................................................
172‌
N/A‌
53‌
Transfer agent
fees
-
Class
C
.....................................................................
78‌
N/A‌
19‌
Transfer agent
fees
-
Class
J
.....................................................................
36‌
28‌
N/A‌
Transfer agent
fees
-
Institutional
................................................................
303‌
23‌
1,122‌
Chief
compliance
officer
expenses
...............................................................
2‌
1‌
2‌
Custodian
fees
....................................................................................
3‌
22‌
137‌
Directors'
expenses
...............................................................................
42‌
22‌
41‌
Professional fees
.................................................................................
16‌
19‌
82‌
Other
expenses
...................................................................................
28‌
8‌
27‌
Total
Gross
Expenses
17,442‌
1,968‌
17,860‌
Less: Reimbursement
from
Manager
............................................................
1,940‌
64‌
595‌
Less:
Reimbursement
from
Manager
-
Class
A
..................................................
–‌
N/A‌
29‌
Less:
Reimbursement
from
Manager
-
Class
C
..................................................
–‌
N/A‌
17‌
Less:
Reimbursement
from
Manager
-
Class
J
...................................................
–‌
3‌
N/A‌
Less:
Reimbursement
from
Manager
-
Institutional
.............................................
–‌
–‌
539‌
Less:
Reimbursement
from
Manager
-
R-6
......................................................
–‌
N/A‌
62‌
Less:
Reimbursement
from
Distributor
-
Class
J
................................................
13‌
4‌
N/A‌
Total
Net
Expenses
15,489‌
1,897‌
16,618‌
Net
Investment
Income
(Loss)
8,631‌
29,146‌
41,386‌
Statements
of
Operations
Principal
Funds,
Inc.
Six
Months
Ended
February
29,
2020
(unaudited)
12
See
accompanying
notes.
Amounts
in
thousands
Blue
Chip
Fund
Bond
Market
Index
Fund
Diversified
Real
Asset
Fund
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments,
foreign
currencies,
futures,
options
and
swaptions
and
swap
agreements
Net
realized
gain
(loss)
from:
Investment
transactions
..........................................................................
150,330‌
5,665‌
(
7,395‌
)
Foreign
currency
contracts
.......................................................................
–‌
–‌
(
288‌
)
Foreign
currency
transactions
....................................................................
–‌
–‌
(
589‌
)
Futures
contracts
.................................................................................
–‌
–‌
6,585‌
Options
and
swaptions
...........................................................................
–‌
–‌
1,687‌
Swap
agreements
.................................................................................
–‌
–‌
(
6,180‌
)
Net
change
in
unrealized
appreciation/(depreciation)
of:
Investments
.......................................................................................
72,099‌
48,394‌
(
18,039‌
)
Foreign
currency
contracts
.......................................................................
–‌
–‌
(
6‌
)
Futures
contracts
.................................................................................
–‌
–‌
(
18,183‌
)
Options
and
swaptions
...........................................................................
–‌
–‌
1,272‌
Swap
agreements
.................................................................................
–‌
–‌
(
10,657‌
)
Translation
of
assets
and
liabilities
in
foreign
currencies
........................................
–‌
–‌
85‌
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments,
foreign
currencies,
futures,
options
and
swaptions
and
swap
agreements
222,429‌
54,059‌
(
51,708‌
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
$
231,060‌
$
83,205‌
$
(
10,322‌
)
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
Statements
of
Operations
Principal
Funds,
Inc.
Six
Months
Ended
February
29,
2020
(unaudited)
13
See
accompanying
notes.
Amounts
in
thousands
Edge
MidCap
Fund
Global
Multi-Strategy
Fund
(a)
International
Equity
Index
Fund
Net
Investment
Income
(Loss)
Income:
Dividends
from
affiliated
Funds
.................................................................
$
133‌
$
911‌
$
37‌
Dividends
.........................................................................................
5,687‌
7,645‌
11,563‌
Withholding
tax
..................................................................................
(
9‌
)
(
147‌
)
(
843‌
)
Interest
............................................................................................
4‌
22,795‌
2‌
Securities
lending
-
net
...........................................................................
362‌
–‌
42‌
Total
Income
6,177‌
31,204‌
10,801‌
Expenses:
Management
and
investment
advisory
fees
......................................................
2,659‌
7,927‌
1,426‌
Distribution
f
ees
-
Class
A
.......................................................................
10‌
47‌
N/A‌
Distribution
f
ees
-
Class
C
.......................................................................
N/A‌
123‌
N/A‌
Distribution
f
ees
-
R-1
...........................................................................
N/A‌
N/A‌
1‌
Distribution
f
ees
-
R-2
...........................................................................
N/A‌
N/A‌
1‌
Distribution
f
ees
-
R-3
...........................................................................
N/A‌
N/A‌
22‌
Distribution
f
ees
-
R-4
...........................................................................
N/A‌
N/A‌
4‌
Administrative
service
fees
-
R-1
................................................................
N/A‌
N/A‌
1‌
Administrative
service
fees
-
R-2
................................................................
N/A‌
N/A‌
1‌
Administrative
service
fees
-
R-3
................................................................
N/A‌
N/A‌
6‌
Administrative
service
fees
-
R-4
................................................................
N/A‌
N/A‌
1‌
Administrative
service
fees
-
R-5
................................................................
N/A‌
N/A‌
1‌
Registration
fees
-
Class
A
.......................................................................
13‌
9‌
N/A‌
Registration
fees
-
Class
C
.......................................................................
N/A‌
8‌
N/A‌
Registration
fees
-
Institutional
..................................................................
10‌
22‌
8‌
Registration
fees
-
R-6
...........................................................................
9‌
12‌
12‌
Service
fees
-
R-1
................................................................................
N/A‌
N/A‌
1‌
Service
fees
-
R-2
................................................................................
N/A‌
N/A‌
1‌
Service
fees
-
R-3
................................................................................
N/A‌
N/A‌
22‌
Service
fees
-
R-4
................................................................................
N/A‌
N/A‌
10‌
Service
fees
-
R-5
................................................................................
N/A‌
N/A‌
22‌
Shareholder
reports
-
Class
A
....................................................................
3‌
7‌
N/A‌
Shareholder
reports
-
Class
C
....................................................................
N/A‌
5‌
N/A‌
Shareholder
reports
-
Institutional
...............................................................
1‌
45‌
3‌
Shareholder
reports
-
R-6
........................................................................
–‌
2‌
–‌
Transfer agent
fees
-
Class
A
.....................................................................
10‌
31‌
N/A‌
Transfer agent
fees
-
Class
C
.....................................................................
N/A‌
21‌
N/A‌
Transfer agent
fees
-
Institutional
................................................................
20‌
255‌
21‌
Chief
compliance
officer
expenses
...............................................................
–‌
1‌
1‌
Custodian
fees
....................................................................................
1‌
212‌
156‌
Directors'
expenses
...............................................................................
8‌
15‌
12‌
Dividends
and
interest
on
securities
sold
short
..................................................
–‌
4,642‌
–‌
Index
license
fees
................................................................................
–‌
–‌
160‌
Professional fees
.................................................................................
13‌
123‌
44‌
Short
sale
fees
....................................................................................
–‌
947‌
–‌
Other
expenses
...................................................................................
3‌
65‌
7‌
Reverse
repurchase
agreement
interest
expense
.................................................
–‌
4,603‌
–‌
Total
Gross
Expenses
2,760‌
19,122‌
1,944‌
Less: Reimbursement
from
Manager
............................................................
303‌
200‌
–‌
Less:
Reimbursement
from
Manager
-
Class
A
..................................................
18‌
–‌
N/A‌
Less:
Reimbursement
from
Manager
-
Class
C
..................................................
N/A‌
20‌
N/A‌
Less:
Reimbursement
from
Manager
-
Institutional
.............................................
8‌
315‌
34‌
Less:
Reimbursement
from
Manager
-
R-6
......................................................
–‌
92‌
151‌
Total
Net
Expenses
2,431‌
18,495‌
1,759‌
Net
Investment
Income
(Loss)
3,746‌
12,709‌
9,042‌
Statements
of
Operations
Principal
Funds,
Inc.
Six
Months
Ended
February
29,
2020
(unaudited)
14
See
accompanying
notes.
Amounts
in
thousands
Edge
MidCap
Fund
Global
Multi-Strategy
Fund
(a)
International
Equity
Index
Fund
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments,
foreign
currencies,
futures,
options
and
swaptions,
short
sales
and
swap
agreements
Net
realized
gain
(loss)
from:
Investment
transactions
..........................................................................
22,616‌
2,782‌
9,219‌
Foreign
currency
contracts
.......................................................................
–‌
2,310‌
–‌
Foreign
currency
transactions
....................................................................
2‌
(
666‌
)
(
36‌
)
Futures
contracts
.................................................................................
–‌
(
2,478‌
)
459‌
Options
and
swaptions
...........................................................................
–‌
2,957‌
–‌
Short
sales
........................................................................................
–‌
(
13,907‌
)
–‌
Swap
agreements
.................................................................................
–‌
115‌
–‌
Net
change
in
unrealized
appreciation/(depreciation)
of:
Investments
.......................................................................................
(
39,502‌
)
3,323‌
(
15,296‌
)
Foreign
currency
contracts
.......................................................................
–‌
(
4,975‌
)
–‌
Futures
contracts
.................................................................................
–‌
(
2,411‌
)
(
179‌
)
Options
and
swaptions
...........................................................................
–‌
(
465‌
)
–‌
Short
sales
........................................................................................
–‌
673‌
–‌
Swap
agreements
.................................................................................
–‌
1,194‌
–‌
Translation
of
assets
and
liabilities
in
foreign
currencies
........................................
–‌
(
415‌
)
36‌
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments,
foreign
currencies,
futures,
options
and
swaptions,
short
sales
and
swap
agreements
(
16,884‌
)
(
11,963‌
)
(
5,797‌
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
$
(
13,138‌
)
$
746‌
$
3,245‌
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
Statements
of
Operations
Principal
Funds,
Inc.
Six
Months
Ended
February
29,
2020
(unaudited)
15
See
accompanying
notes.
Amounts
in
thousands
International
Small
Company
Fund
Opportunistic
Municipal
Fund
Origin
Emerging
Markets
Fund
Net
Investment
Income
(Loss)
Income:
Dividends
from
affiliated
Funds
.................................................................
$
118‌
$
–‌
$
185‌
Dividends
.........................................................................................
7,280‌
471‌
11,086‌
Withholding
tax
..................................................................................
(
702‌
)
–‌
(
867‌
)
Interest
............................................................................................
2‌
2,425‌
–‌
Securities
lending
-
net
...........................................................................
134‌
–‌
4‌
Total
Income
6,832‌
2,896‌
10,408‌
Expenses:
Management
and
investment
advisory
fees
......................................................
4,935‌
354‌
6,712‌
Distribution
f
ees
-
Class
A
.......................................................................
6‌
68‌
3‌
Registration
fees
-
Class
A
.......................................................................
8‌
11‌
8‌
Registration
fees
-
Institutional
..................................................................
8‌
10‌
9‌
Registration
fees
-
R-6
...........................................................................
9‌
N/A‌
9‌
Shareholder
reports
-
Class
A
....................................................................
2‌
2‌
1‌
Shareholder
reports
-
Institutional
...............................................................
2‌
1‌
1‌
Shareholder
reports
-
R-6
........................................................................
1‌
N/A‌
1‌
Transfer agent
fees
-
Class
A
.....................................................................
12‌
24‌
10‌
Transfer agent
fees
-
Institutional
................................................................
13‌
35‌
6‌
Chief
compliance
officer
expenses
...............................................................
1‌
–‌
1‌
Custodian
fees
....................................................................................
124‌
1‌
125‌
Directors'
expenses
...............................................................................
10‌
3‌
11‌
Interest
expense
and
fees
.........................................................................
–‌
54‌
–‌
Professional fees
.................................................................................
25‌
23‌
19‌
Other
expenses
...................................................................................
4‌
2‌
4‌
Total
Gross
Expenses
5,160‌
588‌
6,920‌
Less: Reimbursement
from
Manager
............................................................
–‌
42‌
569‌
Less:
Reimbursement
from
Manager
-
Class
A
..................................................
16‌
6‌
16‌
Less:
Reimbursement
from
Manager
-
Institutional
.............................................
–‌
12‌
6‌
Total
Net
Expenses
5,144‌
528‌
6,329‌
Net
Investment
Income
(Loss)
1,688‌
2,368‌
4,079‌
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments
and
foreign
currencies
Net
realized
gain
(loss)
from:
Investment
transactions
..........................................................................
26,142‌
927‌
(
15,764‌
)
Foreign
currency
transactions
....................................................................
(
187‌
)
–‌
(
799‌
)
Net
change
in
unrealized
appreciation/(depreciation)
of:
Investments
.......................................................................................
(
41,084‌
)
3,413‌
55,923‌
Translation
of
assets
and
liabilities
in
foreign
currencies
........................................
17‌
–‌
(
33‌
)
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments
and
foreign
currencies
(
15,112‌
)
4,340‌
39,327‌
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
$
(
13,424‌
)
$
6,708‌
$
43,406‌
Statements
of
Operations
Principal
Funds,
Inc.
Six
Months
Ended
February
29,
2020
(unaudited)
17
See
accompanying
notes.
Amounts
in
thousands
Small-MidCap
Dividend
Income
Fund
Small-MidCap
Growth
Fund
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Net
Investment
Income
(Loss)
Income:
Dividends
from
affiliated
Funds
............................................................
$
251‌
$
1‌
$
1,598‌
Dividends
from
affiliated
securities
.........................................................
–‌
–‌
2,183‌
Dividends
....................................................................................
35,354‌
4‌
14,327‌
Withholding
tax
.............................................................................
(
577‌
)
–‌
–‌
Interest
.......................................................................................
–‌
–‌
143,004‌
Securities
lending
-
net
......................................................................
82‌
–‌
305‌
Total
Income
35,110‌
5‌
161,417‌
Expenses:
Management
and
investment
advisory
fees
.................................................
8,707‌
18‌
21,735‌
Distribution
f
ees
-
Class
A
..................................................................
191‌
N/A‌
982‌
Distribution
f
ees
-
Class
C
..................................................................
601‌
N/A‌
2,343‌
Distribution
f
ees
-
Class
J
...................................................................
N/A‌
N/A‌
35‌
Distribution
f
ees
-
R-1
......................................................................
N/A‌
N/A‌
1‌
Distribution
f
ees
-
R-2
......................................................................
N/A‌
N/A‌
3‌
Distribution
f
ees
-
R-3
......................................................................
N/A‌
N/A‌
3‌
Administrative
service
fees
-
R-1
...........................................................
N/A‌
N/A‌
1‌
Administrative
service
fees
-
R-2
...........................................................
N/A‌
N/A‌
2‌
Administrative
service
fees
-
R-3
...........................................................
N/A‌
N/A‌
1‌
Registration
fees
-
Class
A
..................................................................
14‌
N/A‌
28‌
Registration
fees
-
Class
C
..................................................................
9‌
N/A‌
12‌
Registration
fees
-
Class
J
...................................................................
N/A‌
N/A‌
10‌
Registration
fees
-
Institutional
.............................................................
27‌
14‌
55‌
Registration
fees
-
R-6
......................................................................
9‌
N/A‌
9‌
Service
fees
-
R-1
...........................................................................
N/A‌
N/A‌
1‌
Service
fees
-
R-2
...........................................................................
N/A‌
N/A‌
2‌
Service
fees
-
R-3
...........................................................................
N/A‌
N/A‌
3‌
Service
fees
-
R-4
...........................................................................
N/A‌
N/A‌
1‌
Service
fees
-
R-5
...........................................................................
N/A‌
N/A‌
4‌
Shareholder
reports
-
Class
A
...............................................................
22‌
N/A‌
35‌
Shareholder
reports
-
Class
C
...............................................................
18‌
N/A‌
33‌
Shareholder
reports
-
Class
J
................................................................
N/A‌
N/A‌
31‌
Shareholder
reports
-
Institutional
..........................................................
155‌
1‌
125‌
Shareholder
reports
-
R-6
...................................................................
–‌
N/A‌
1‌
Transfer agent
fees
-
Class
A
................................................................
92‌
N/A‌
307‌
Transfer agent
fees
-
Class
C
................................................................
70‌
N/A‌
227‌
Transfer agent
fees
-
Class
J
................................................................
N/A‌
N/A‌
29‌
Transfer agent
fees
-
Institutional
...........................................................
1,153‌
–‌
1,782‌
Chief
compliance
officer
expenses
..........................................................
1‌
–‌
3‌
Custodian
fees
...............................................................................
7‌
1‌
20‌
Directors'
expenses
..........................................................................
25‌
1‌
58‌
Professional fees
............................................................................
16‌
13‌
24‌
Other
expenses
..............................................................................
10‌
–‌
23‌
Total
Gross
Expenses
11,127‌
48‌
27,929‌
Less:
Reimbursement
from
Manager
-
Class
A
.............................................
49‌
N/A‌
–‌
Less:
Reimbursement
from
Manager
-
Class
C
.............................................
36‌
N/A‌
–‌
Less:
Reimbursement
from
Manager
-
Institutional
........................................
491‌
27‌
–‌
Less:
Reimbursement
from
Manager
-
R-6
.................................................
9‌
N/A‌
–‌
Less:
Reimbursement
from
Distributor
-
Class
J
...........................................
N/A‌
N/A‌
7‌
Total
Net
Expenses
10,542‌
21‌
27,922‌
Net
Investment
Income
(Loss)
24,568‌
(
16‌
)
133,495‌
Statements
of
Operations
Principal
Funds,
Inc.
Six
Months
Ended
February
29,
2020
(unaudited)
18
See
accompanying
notes.
Amounts
in
thousands
Small-MidCap
Dividend
Income
Fund
Small-MidCap
Growth
Fund
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments,
foreign
currencies,
futures
and
options
and
swaptions
Net
realized
gain
(loss)
from:
Investment
transactions
.....................................................................
68,452‌
(
219‌
)
(
20,109‌
)
Foreign
currency
transactions
...............................................................
2‌
–‌
–‌
Futures
contracts
............................................................................
–‌
–‌
2,154‌
Options
and
swaptions
......................................................................
–‌
–‌
27,396‌
Net
change
in
unrealized
appreciation/(depreciation)
of:
Investments
..................................................................................
(
178,205‌
)
211‌
63,663‌
Investment
in
affiliated
securities
...........................................................
–‌
–‌
(
3,606‌
)
Futures
contracts
............................................................................
–‌
–‌
(
13‌
)
Options
and
swaptions
......................................................................
–‌
–‌
(
185‌
)
Translation
of
assets
and
liabilities
in
foreign
currencies
...................................
(
4‌
)
–‌
–‌
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments,
foreign
currencies,
futures
and
options
and
swaptions
(
109,755‌
)
(
8‌
)
69,300‌
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
$
(
85,187‌
)
$
(
24‌
)
$
202,795‌
Statements
of
Operations
Principal
Funds,
Inc.
Six
Months
Ended
February
29,
2020
(unaudited)
19
See
accompanying
notes.
Amounts
in
thousands
SystematEx
International
Fund
Net
Investment
Income
(Loss)
Income:
Dividends
from
affiliated
Funds
......................................................................................................................
$
21‌
Dividends
..............................................................................................................................................
1,342‌
Withholding
tax
.......................................................................................................................................
(
102‌
)
Securities
lending
-
net
................................................................................................................................
4‌
Total
Income
1,265‌
Expenses:
Management
and
investment
advisory
fees
...........................................................................................................
423‌
Registration
fees
-
Institutional
.......................................................................................................................
9‌
Registration
fees
-
R-6
................................................................................................................................
9‌
Custodian
fees
.........................................................................................................................................
15‌
Directors'
expenses
....................................................................................................................................
2‌
Professional fees
......................................................................................................................................
33‌
Other
expenses
........................................................................................................................................
9‌
Total
Gross
Expenses
500‌
Less:
Reimbursement
from
Manager
-
Institutional
..................................................................................................
9‌
Less:
Reimbursement
from
Manager
-
R-6
...........................................................................................................
40‌
Total
Net
Expenses
451‌
Net
Investment
Income
(Loss)
814‌
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments
and
foreign
currencies
Net
realized
gain
(loss)
from:
Investment
transactions
...............................................................................................................................
(
395‌
)
Foreign
currency
transactions
.........................................................................................................................
(
87‌
)
Net
change
in
unrealized
appreciation/(depreciation)
of:
Investments
............................................................................................................................................
(
13,647‌
)
Translation
of
assets
and
liabilities
in
foreign
currencies
.............................................................................................
1‌
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments
and
foreign
currencies
(
14,128‌
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
$
(
13,314‌
)
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
(unaudited)
20
See
accompanying
notes.
Amounts
in
thousands
Blue
Chip
Fund
Period
Ended
February
29,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
8,631‌
$
8,402‌
Net
realized
gain
(loss)
on
investments
.............................................................................................
150,330‌
185,238‌
Net
change
in
unrealized
appreciation/depreciation
of
investments
................................................................
72,099‌
289,451‌
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
231,060‌
483,091‌
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
218,915‌
)
(
218,921‌
)
Total
Dividends
and
Distributions
(
218,915‌
)
(
218,921‌
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
739,438‌
854,548‌
Total
Increase
(Decrease)
in
Net
Assets
751,583‌
1,118,718‌
Net
Assets
Beginning
of
period
.................................................................................................................
4,334,624‌
3,215,906‌
End
of
period
.......................................................................................................................
$
5,086,207‌
$
4,334,624‌
Class
A
Class
C
Class
J
Institutional
R-3
R-4
R-5
R-6
Capital
Share
Transactions:
Period
Ended
February
29,
2020
Dollars:
Sold
.......................................
$
136,247‌
$
48,681‌
$
27,915‌
$
644,115‌
$
1,194‌
$
633‌
$
2,739‌
$
318,924‌
Reinvested
..................................
15,360‌
8,054‌
3,750‌
42,915‌
259‌
187‌
298‌
144,416‌
Redeemed
...................................
(
50,643‌
)
(
14,260‌
)
(
17,807‌
)
(
181,791‌
)
(
965‌
)
(
751‌
)
(
2,319‌
)
(
387,713‌
)
Net
Increase
(Decrease)
.........................
$
100,964‌
$
42,475‌
$
13,858‌
$
505,239‌
$
488‌
$
69‌
$
718‌
$
75,627‌
Shares:
Sold
.......................................
5,129‌
1,926‌
1,027‌
23,717‌
44‌
24‌
102‌
11,718‌
Reinvested
..................................
601‌
332‌
145‌
1,644‌
10‌
7‌
12‌
5,522‌
Redeemed
...................................
(
1,922‌
)
(
567‌
)
(
664‌
)
(
6,737‌
)
(
36‌
)
(
28‌
)
(
86‌
)
(
14,492‌
)
Net
Increase
(Decrease)
.........................
3,808‌
1,691‌
508‌
18,624‌
18‌
3‌
28‌
2,748‌
Year
Ended
August
31,
2019
Dollars:
Sold
.......................................
$
157,102‌
$
74,792‌
$
28,869‌
$
618,371‌
$
1,190‌
$
3,111‌
$
4,724‌
$
429,587‌
Reinvested
..................................
12,122‌
7,033‌
4,005‌
13,102‌
439‌
98‌
387‌
181,564‌
Redeemed
...................................
(
51,856‌
)
(
25,956‌
)
(
16,953‌
)
(
140,947‌
)
(
4,369‌
)
(
611‌
)
(
4,419‌
)
(
436,837‌
)
Net
Increase
(Decrease)
.........................
$
117,368‌
$
55,869‌
$
15,921‌
$
490,526‌
$
(
2,740‌
)
$
2,598‌
$
692‌
$
174,314‌
Shares:
Sold
.......................................
6,769‌
3,351‌
1,215‌
26,194‌
51‌
124‌
194‌
17,439‌
Reinvested
..................................
613‌
371‌
201‌
653‌
22‌
5‌
19‌
9,042‌
Redeemed
...................................
(
2,240‌
)
(
1,177‌
)
(
714‌
)
(
6,029‌
)
(
184‌
)
(
27‌
)
(
180‌
)
(
18,419‌
)
Net
Increase
(Decrease)
.........................
5,142‌
2,545‌
702‌
20,818‌
(
111‌
)
102‌
33‌
8,062‌
Dividends
and
Distributions
to
Shareholders:
Period Ended
February
29,
2020
From
net
investment
income
and
net
realized
gain
on
investments
..................................
$
(
15,698‌
)
$
(
8,184‌
)
$
(
3,753‌
)
$
(
44,715‌
)
$
(
259‌
)
$
(
187‌
)
$
(
298‌
)
$
(
145,821‌
)
Total
Dividends
and
Distributions
$
(
15,698‌
)
$
(
8,184‌
)
$
(
3,753‌
)
$
(
44,715‌
)
$
(
259‌
)
$
(
187‌
)
$
(
298‌
)
$
(
145,821‌
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
..................................
$
(
12,167‌
)
$
(
7,048‌
)
$
(
4,005‌
)
$
(
13,213‌
)
$
(
439‌
)
$
(
98‌
)
$
(
387‌
)
$
(
181,564‌
)
Total
Dividends
and
Distributions
$
(
12,167‌
)
$
(
7,048‌
)
$
(
4,005‌
)
$
(
13,213‌
)
$
(
439‌
)
$
(
98‌
)
$
(
387‌
)
$
(
181,564‌
)
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
(unaudited)
21
See
accompanying
notes.
Amounts
in
thousands
Bond
Market
Index
Fund
Period
Ended
February
29,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
29,146‌
$
50,014‌
Net
realized
gain
(loss)
on
investments
.............................................................................................
5,665‌
4,838‌
Net
change
in
unrealized
appreciation/depreciation
of
investments
................................................................
48,394‌
138,034‌
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
83,205‌
192,886‌
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
58,976‌
)
(
42,522‌
)
Total
Dividends
and
Distributions
(
58,976‌
)
(
42,522‌
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
452,094‌
391,965‌
Total
Increase
(Decrease)
in
Net
Assets
476,323‌
542,329‌
Net
Assets
Beginning
of
period
.................................................................................................................
2,123,285‌
1,580,956‌
End
of
period
.......................................................................................................................
$
2,599,608‌
$
2,123,285‌
Class
J
Institutional
R-1
R-2
R-3
R-4
R-5
Capital
Share
Transactions:
Period
Ended
February
29,
2020
Dollars:
Sold
................................................
$
8,677‌
$
604,076‌
$
93‌
$
1,769‌
$
3,034‌
$
2,203‌
$
3,191‌
Reinvested
...........................................
554‌
57,723‌
10‌
67‌
178‌
101‌
343‌
Redeemed
............................................
(
3,114‌
)
(
218,522‌
)
(
427‌
)
(
986‌
)
(
2,171‌
)
(
2,251‌
)
(
2,454‌
)
Net
Increase
(Decrease)
..................................
$
6,117‌
$
443,277‌
$
(
324‌
)
$
850‌
$
1,041‌
$
53‌
$
1,080‌
Shares:
Sold
................................................
764‌
52,418‌
8‌
157‌
269‌
194‌
282‌
Reinvested
...........................................
50‌
5,127‌
1‌
6‌
16‌
9‌
31‌
Redeemed
............................................
(
277‌
)
(
19,058‌
)
(
38‌
)
(
88‌
)
(
192‌
)
(
200‌
)
(
218‌
)
Net
Increase
(Decrease)
..................................
537‌
38,487‌
(
29‌
)
75‌
93‌
3‌
95‌
Year
Ended
August
31,
2019
Dollars:
Sold
................................................
$
6,090‌
$
816,609‌
$
263‌
$
2,147‌
$
5,769‌
$
3,387‌
$
5,313‌
Reinvested
...........................................
555‌
40,300‌
19‌
51‌
238‌
969‌
390‌
Redeemed
............................................
(
6,999‌
)
(
418,890‌
)
(
599‌
)
(
1,043‌
)
(
9,379‌
)
(
44,082‌
)
(
9,143‌
)
Net
Increase
(Decrease)
..................................
$
(
354‌
)
$
438,019‌
$
(
317‌
)
$
1,155‌
$
(
3,372‌
)
$
(
39,726‌
)
$
(
3,440‌
)
Shares:
Sold
................................................
568‌
75,608‌
24‌
201‌
545‌
317‌
493‌
Reinvested
...........................................
53‌
3,802‌
2‌
5‌
23‌
93‌
37‌
Redeemed
............................................
(
656‌
)
(
38,301‌
)
(
55‌
)
(
97‌
)
(
887‌
)
(
4,115‌
)
(
844‌
)
Net
Increase
(Decrease)
..................................
(
35‌
)
41,109‌
(
29‌
)
109‌
(
319‌
)
(
3,705‌
)
(
314‌
)
Dividends
and
Distributions
to
Shareholders:
Period Ended
February
29,
2020
From
net
investment
income
and
net
realized
gain
on
investments
....
$
(
554‌
)
$
(
57,723‌
)
$
(
10‌
)
$
(
67‌
)
$
(
178‌
)
$
(
101‌
)
$
(
343‌
)
Total
Dividends
and
Distributions
$
(
554‌
)
$
(
57,723‌
)
$
(
10‌
)
$
(
67‌
)
$
(
178‌
)
$
(
101‌
)
$
(
343‌
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
....
$
(
555‌
)
$
(
40,300‌
)
$
(
19‌
)
$
(
51‌
)
$
(
238‌
)
$
(
969‌
)
$
(
390‌
)
Total
Dividends
and
Distributions
$
(
555‌
)
$
(
40,300‌
)
$
(
19‌
)
$
(
51‌
)
$
(
238‌
)
$
(
969‌
)
$
(
390‌
)
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
(unaudited)
22
See
accompanying
notes.
Amounts
in
thousands
Diversified
Real
Asset
Fund
(a)
Period
Ended
February
29,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
41,386‌
$
109,172‌
Net
realized
gain
(loss)
on
investments
,
foreign
currencies
,
futures
,
options
and
swaptions
and
swap
agreements
...............
(
6,180‌
)
(
101,079‌
)
Net
change
in
unrealized
appreciation/depreciation
of
investments
,
foreign
currencies
,
futures
,
options
and
swaptions
,
swap
agreements
and
translation
of
assets
&
liabilities
in
foreign
currencies
......................................................
(
45,528‌
)
(
44,411‌
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
(
10,322‌
)
(
36,318‌
)
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
96,919‌
)
(
126,294‌
)
Total
Dividends
and
Distributions
(
96,919‌
)
(
126,294‌
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
8,688‌
(
219,389‌
)
Total
Increase
(Decrease)
in
Net
Assets
(
98,553‌
)
(
382,001‌
)
Net
Assets
Beginning
of
period
.................................................................................................................
3,790,271‌
4,172,272‌
End
of
period
.......................................................................................................................
$
3,691,718‌
$
3,790,271‌
Class
A
Class
C
Institutional
R-3
R-4
R-5
R-6
Capital
Share
Transactions:
Period
Ended
February
29,
2020
Dollars:
Sold
................................................
$
4,618‌
$
327‌
$
411,743‌
$
36‌
$
–‌
$
25‌
$
187,846‌
Reinvested
...........................................
940‌
143‌
59,146‌
3‌
–‌
2‌
34,843‌
Redeemed
............................................
(
10,127‌
)
(
2,675‌
)
(
493,706‌
)
–‌
–‌
(
41‌
)
(
184,435‌
)
Net
Increase
(Decrease)
..................................
$
(
4,569‌
)
$
(
2,205‌
)
$
(
22,817‌
)
$
39‌
$
–‌
$
(
14‌
)
$
38,254‌
Shares:
Sold
................................................
397‌
29‌
35,635‌
4‌
–‌
1‌
16,276‌
Reinvested
...........................................
81‌
12‌
5,077‌
–‌
–‌
–‌
2,991‌
Redeemed
............................................
(
880‌
)
(
237‌
)
(
42,664‌
)
–‌
–‌
(
3‌
)
(
15,918‌
)
Net
Increase
(Decrease)
..................................
(
402‌
)
(
196‌
)
(
1,952‌
)
4‌
–‌
(
2‌
)
3,349‌
Year
Ended
August
31,
2019
Dollars:
Sold
................................................
$
23,589‌
$
1,617‌
$
889,501‌
$
33‌
$
1‌
$
73‌
$
178,573‌
Reinvested
...........................................
2,486‌
359‌
74,020‌
3‌
–‌
3‌
46,729‌
Redeemed
............................................
(
74,540‌
)
(
8,139‌
)
(
995,483‌
)
–‌
(
4‌
)
(
12‌
)
(
358,198‌
)
Net
Increase
(Decrease)
..................................
$
(
48,465‌
)
$
(
6,163‌
)
$
(
31,962‌
)
$
36‌
$
(
3‌
)
$
64‌
$
(
132,896‌
)
Shares:
Sold
................................................
2,109‌
150‌
79,524‌
3‌
–‌
7‌
15,969‌
Reinvested
...........................................
241‌
35‌
7,172‌
–‌
–‌
–‌
4,528‌
Redeemed
............................................
(
6,622‌
)
(
745‌
)
(
89,030‌
)
–‌
–‌
(
1‌
)
(
32,081‌
)
Net
Increase
(Decrease)
..................................
(
4,272‌
)
(
560‌
)
(
2,334‌
)
3‌
–‌
6‌
(
11,584‌
)
Dividends
and
Distributions
to
Shareholders:
Period Ended
February
29,
2020
From
net
investment
income
and
net
realized
gain
on
investments
....
$
(
961‌
)
$
(
162‌
)
$
(
60,790‌
)
$
(
3‌
)
$
–‌
$
(
2‌
)
$
(
35,001‌
)
Total
Dividends
and
Distributions
$
(
961‌
)
$
(
162‌
)
$
(
60,790‌
)
$
(
3‌
)
$
–‌
$
(
2‌
)
$
(
35,001‌
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
....
$
(
2,541‌
)
$
(
402‌
)
$
(
76,562‌
)
$
(
3‌
)
$
–‌
$
(
3‌
)
$
(
46,783‌
)
Total
Dividends
and
Distributions
$
(
2,541‌
)
$
(
402‌
)
$
(
76,562‌
)
$
(
3‌
)
$
–‌
$
(
3‌
)
$
(
46,783‌
)
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
(unaudited)
23
See
accompanying
notes.
Amounts
in
thousands
Edge
MidCap
Fund
Period
Ended
February
29,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
3,746‌
$
5,775‌
Net
realized
gain
(loss)
on
investments
and
foreign
currencies
....................................................................
22,618‌
23,950‌
Net
change
in
unrealized
appreciation/depreciation
of
investments
................................................................
(
39,502‌
)
(
13,123‌
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
(
13,138‌
)
16,602‌
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
29,654‌
)
(
35,525‌
)
Total
Dividends
and
Distributions
(
29,654‌
)
(
35,525‌
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
11,658‌
40,409‌
Total
Increase
(Decrease)
in
Net
Assets
(
31,134‌
)
21,486‌
Net
Assets
Beginning
of
period
.................................................................................................................
693,936‌
672,450‌
End
of
period
.......................................................................................................................
$
662,802‌
$
693,936‌
Class
A
Institutional
R-6
Capital
Share
Transactions:
Period
Ended
February
29,
2020
Dollars:
Sold
.......................................................................................
$
5,997‌
$
18,291‌
$
13,437‌
Reinvested
..................................................................................
363‌
1,564‌
27,287‌
Redeemed
...................................................................................
(
1,224‌
)
(
8,408‌
)
(
45,649‌
)
Net
Increase
(Decrease)
.........................................................................
$
5,136‌
$
11,447‌
$
(
4,925‌
)
Shares:
Sold
.......................................................................................
390‌
1,198‌
879‌
Reinvested
..................................................................................
24‌
101‌
1,758‌
Redeemed
...................................................................................
(
82‌
)
(
551‌
)
(
2,992‌
)
Net
Increase
(Decrease)
.........................................................................
332‌
748‌
(
355‌
)
Year
Ended
August
31,
2019
(a)
Dollars:
Sold
.......................................................................................
$
5,716‌
$
28,623‌
$
59,856‌
Reinvested
..................................................................................
–‌
838‌
34,677‌
Redeemed
...................................................................................
(
231‌
)
(
9,696‌
)
(
79,374‌
)
Net
Increase
(Decrease)
.........................................................................
$
5,485‌
$
19,765‌
$
15,159‌
Shares:
Sold
.......................................................................................
404‌
2,041‌
4,222‌
Reinvested
..................................................................................
–‌
70‌
2,882‌
Redeemed
...................................................................................
(
16‌
)
(
693‌
)
(
5,670‌
)
Net
Increase
(Decrease)
.........................................................................
388‌
1,418‌
1,434‌
Dividends
and
Distributions
to
Shareholders:
Period Ended
February
29,
2020
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
363‌
)
$
(
1,569‌
)
$
(
27,722‌
)
Total
Dividends
and
Distributions
$
(
363‌
)
$
(
1,569‌
)
$
(
27,722‌
)
Year
Ended
August
31,
2019
(a)
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
–‌
$
(
848‌
)
$
(
34,677‌
)
Total
Dividends
and
Distributions
$
–‌
$
(
848‌
)
$
(
34,677‌
)
(a)
Period
from
December
31,
2018,
date
operations
commenced,
through
August
31,
2019
for
Class
A
shares.
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
(unaudited)
24
See
accompanying
notes.
Amounts
in
thousands
Global
Multi-Strategy
Fund
(a)
Period
Ended
February
29,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
12,709‌
$
43,879‌
Net
realized
gain
(loss)
on
investments
,
foreign
currencies
,
futures
,
options
and
swaptions
,
short
sales
and
swap
agreements
...
(
8,887‌
)
18,329‌
Net
change
in
unrealized
appreciation/depreciation
of
investments
,
foreign
currencies
,
futures
,
options
and
swaptions
,
short
sales
,
swap
agreements
and
translation
of
assets
&
liabilities
in
foreign
currencies
.........................................
(
3,076‌
)
(
35,874‌
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
746‌
26,334‌
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
–‌
(
133,695‌
)
From
tax
return
of
capital
...........................................................................................................
–‌
(
6,481‌
)
Total
Dividends
and
Distributions
–‌
(
140,176‌
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
(
439,711‌
)
(
1,182,738‌
)
Total
Increase
(Decrease)
in
Net
Assets
(
438,965‌
)
(
1,296,580‌
)
Net
Assets
Beginning
of
period
.................................................................................................................
1,338,956‌
2,635,536‌
End
of
period
.......................................................................................................................
$
899,991‌
$
1,338,956‌
Class
A
Class
C
Institutional
R-6
Capital
Share
Transactions:
Period
Ended
February
29,
2020
Dollars:
Sold
.............................................................................
$
2,047‌
$
536‌
$
291,859‌
$
17,527‌
Redeemed
.........................................................................
(
15,230‌
)
(
4,628‌
)
(
85,492‌
)
(
646,330‌
)
Net
Increase
(Decrease)
...............................................................
$
(
13,183‌
)
$
(
4,092‌
)
$
206,367‌
$
(
628,803‌
)
Shares:
Sold
.............................................................................
189‌
52‌
27,061‌
1,608‌
Redeemed
.........................................................................
(
1,404‌
)
(
445‌
)
(
7,852‌
)
(
60,194‌
)
Net
Increase
(Decrease)
...............................................................
(
1,215‌
)
(
393‌
)
19,209‌
(
58,586‌
)
Year
Ended
August
31,
2019
Dollars:
Sold
.............................................................................
$
7,989‌
$
1,840‌
$
218,661‌
$
144,584‌
Reinvested
........................................................................
2,674‌
1,564‌
30,856‌
76,963‌
Redeemed
.........................................................................
(
30,774‌
)
(
16,484‌
)
(
514,828‌
)
(
1,105,783‌
)
Net
Increase
(Decrease)
...............................................................
$
(
20,111‌
)
$
(
13,080‌
)
$
(
265,311‌
)
$
(
884,236‌
)
Shares:
Sold
.............................................................................
765‌
184‌
20,784‌
13,702‌
Reinvested
........................................................................
263‌
159‌
3,002‌
7,494‌
Redeemed
.........................................................................
(
2,925‌
)
(
1,611‌
)
(
48,573‌
)
(
103,991‌
)
Net
Increase
(Decrease)
...............................................................
(
1,897‌
)
(
1,268‌
)
(
24,787‌
)
(
82,795‌
)
Dividends
and
Distributions
to
Shareholders:
Period Ended
February
29,
2020
From
net
investment
income
and
net
realized
gain
on
investments
.................................
$
–‌
$
–‌
$
–‌
$
–‌
Total
Dividends
and
Distributions
$
–‌
$
–‌
$
–‌
$
–‌
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
.................................
$
(
2,794‌
)
$
(
1,679‌
)
$
(
35,416‌
)
$
(
93,806‌
)
From
tax
return
of
capital
..............................................................
(
150‌
)
(
104‌
)
(
1,732‌
)
(
4,495‌
)
Total
Dividends
and
Distributions
$
(
2,944‌
)
$
(
1,783‌
)
$
(
37,148‌
)
$
(
98,301‌
)
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
(unaudited)
25
See
accompanying
notes.
Amounts
in
thousands
International
Equity
Index
Fund
Period
Ended
February
29,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
9,042‌
$
32,208‌
Net
realized
gain
(loss)
on
investments
,
foreign
currencies
and
futures
............................................................
9,642‌
(
1,543‌
)
Net
change
in
unrealized
appreciation/depreciation
of
investments
,
futures
and
translation
of
assets
&
liabilities
in
foreign
currencies
......................................................................................................................
(
15,439‌
)
(
65,838‌
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
3,245‌
(
35,173‌
)
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
38,129‌
)
(
37,266‌
)
Total
Dividends
and
Distributions
(
38,129‌
)
(
37,266‌
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
(
9,312‌
)
75,452‌
Total
Increase
(Decrease)
in
Net
Assets
(
44,196‌
)
3,013‌
Net
Assets
Beginning
of
period
.................................................................................................................
1,096,017‌
1,093,004‌
End
of
period
.......................................................................................................................
$
1,051,821‌
$
1,096,017‌
Institutional
R-1
R-2
R-3
R-4
R-5
R-6
Capital
Share
Transactions:
Period
Ended
February
29,
2020
Dollars:
Sold
................................................
$
10,538‌
$
40‌
$
139‌
$
2,802‌
$
3,188‌
$
2,056‌
$
75,029‌
Reinvested
...........................................
1,572‌
12‌
12‌
491‌
260‌
578‌
35,204‌
Redeemed
............................................
(
23,522‌
)
(
181‌
)
(
350‌
)
(
3,209‌
)
(
2,644‌
)
(
2,090‌
)
(
109,237‌
)
Net
Increase
(Decrease)
..................................
$
(
11,412‌
)
$
(
129‌
)
$
(
199‌
)
$
84‌
$
804‌
$
544‌
$
996‌
Shares:
Sold
................................................
1,013‌
4‌
13‌
274‌
304‌
197‌
7,307‌
Reinvested
...........................................
148‌
1‌
1‌
47‌
25‌
54‌
3,315‌
Redeemed
............................................
(
2,213‌
)
(
18‌
)
(
34‌
)
(
315‌
)
(
254‌
)
(
201‌
)
(
10,491‌
)
Net
Increase
(Decrease)
..................................
(
1,052‌
)
(
13‌
)
(
20‌
)
6‌
75‌
50‌
131‌
Year
Ended
August
31,
2019
Dollars:
Sold
................................................
$
27,736‌
$
101‌
$
329‌
$
6,153‌
$
1,967‌
$
4,931‌
$
195,315‌
Reinvested
...........................................
1,582‌
17‌
20‌
459‌
332‌
494‌
34,362‌
Redeemed
............................................
(
22,466‌
)
(
209‌
)
(
455‌
)
(
6,746‌
)
(
5,955‌
)
(
6,011‌
)
(
156,504‌
)
Net
Increase
(Decrease)
..................................
$
6,852‌
$
(
91‌
)
$
(
106‌
)
$
(
134‌
)
$
(
3,656‌
)
$
(
586‌
)
$
73,173‌
Shares:
Sold
................................................
2,889‌
11‌
34‌
630‌
203‌
515‌
19,707‌
Reinvested
...........................................
176‌
2‌
2‌
52‌
37‌
56‌
3,829‌
Redeemed
............................................
(
2,315‌
)
(
22‌
)
(
46‌
)
(
691‌
)
(
617‌
)
(
598‌
)
(
15,851‌
)
Net
Increase
(Decrease)
..................................
750‌
(
9‌
)
(
10‌
)
(
9‌
)
(
377‌
)
(
27‌
)
7,685‌
Dividends
and
Distributions
to
Shareholders:
Period Ended
February
29,
2020
From
net
investment
income
and
net
realized
gain
on
investments
....
$
(
1,572‌
)
$
(
12‌
)
$
(
12‌
)
$
(
491‌
)
$
(
260‌
)
$
(
578‌
)
$
(
35,204‌
)
Total
Dividends
and
Distributions
$
(
1,572‌
)
$
(
12‌
)
$
(
12‌
)
$
(
491‌
)
$
(
260‌
)
$
(
578‌
)
$
(
35,204‌
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
....
$
(
1,582‌
)
$
(
17‌
)
$
(
20‌
)
$
(
459‌
)
$
(
332‌
)
$
(
494‌
)
$
(
34,362‌
)
Total
Dividends
and
Distributions
$
(
1,582‌
)
$
(
17‌
)
$
(
20‌
)
$
(
459‌
)
$
(
332‌
)
$
(
494‌
)
$
(
34,362‌
)
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
(unaudited)
26
See
accompanying
notes.
Amounts
in
thousands
International
Small
Company
Fund
Period
Ended
February
29,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
1,688‌
$
11,883‌
Net
realized
gain
(loss)
on
investments
and
foreign
currencies
....................................................................
25,955‌
(
12,951‌
)
Net
change
in
unrealized
appreciation/depreciation
of
investments
and
translation
of
assets
&
liabilities
in
foreign
currencies
..
(
41,067‌
)
(
71,249‌
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
(
13,424‌
)
(
72,317‌
)
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
27,587‌
)
(
68,970‌
)
Total
Dividends
and
Distributions
(
27,587‌
)
(
68,970‌
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
48,700‌
36,815‌
Total
Increase
(Decrease)
in
Net
Assets
7,689‌
(
104,472‌
)
Net
Assets
Beginning
of
period
.................................................................................................................
895,537‌
1,000,009‌
End
of
period
.......................................................................................................................
$
903,226‌
$
895,537‌
Class
A
Institutional
R-6
Capital
Share
Transactions:
Period
Ended
February
29,
2020
Dollars:
Sold
.......................................................................................
$
458‌
$
18,678‌
$
92,348‌
Reinvested
..................................................................................
119‌
1,106‌
26,361‌
Redeemed
...................................................................................
(
853‌
)
(
9,723‌
)
(
79,794‌
)
Net
Increase
(Decrease)
.........................................................................
$
(
276‌
)
$
10,061‌
$
38,915‌
Shares:
Sold
.......................................................................................
42‌
1,674‌
8,199‌
Reinvested
..................................................................................
10‌
98‌
2,306‌
Redeemed
...................................................................................
(
78‌
)
(
871‌
)
(
7,194‌
)
Net
Increase
(Decrease)
.........................................................................
(
26‌
)
901‌
3,311‌
Year
Ended
August
31,
2019
Dollars:
Sold
.......................................................................................
$
1,204‌
$
29,069‌
$
119,409‌
Reinvested
..................................................................................
345‌
1,694‌
66,930‌
Redeemed
...................................................................................
(
1,244‌
)
(
11,622‌
)
(
168,970‌
)
Net
Increase
(Decrease)
.........................................................................
$
305‌
$
19,141‌
$
17,369‌
Shares:
Sold
.......................................................................................
114‌
2,786‌
11,482‌
Reinvested
..................................................................................
38‌
183‌
7,182‌
Redeemed
...................................................................................
(
120‌
)
(
1,110‌
)
(
15,927‌
)
Net
Increase
(Decrease)
.........................................................................
32‌
1,859‌
2,737‌
Dividends
and
Distributions
to
Shareholders:
Period Ended
February
29,
2020
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
119‌
)
$
(
1,107‌
)
$
(
26,361‌
)
Total
Dividends
and
Distributions
$
(
119‌
)
$
(
1,107‌
)
$
(
26,361‌
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
346‌
)
$
(
1,694‌
)
$
(
66,930‌
)
Total
Dividends
and
Distributions
$
(
346‌
)
$
(
1,694‌
)
$
(
66,930‌
)
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
(unaudited)
27
See
accompanying
notes.
Amounts
in
thousands
Opportunistic
Municipal
Fund
Period
Ended
February
29,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
2,368‌
$
4,766‌
Net
realized
gain
(loss)
on
investments
.............................................................................................
927‌
988‌
Net
change
in
unrealized
appreciation/depreciation
of
investments
................................................................
3,413‌
6,188‌
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
6,708‌
11,942‌
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
2,412‌
)
(
4,560‌
)
Total
Dividends
and
Distributions
(
2,412‌
)
(
4,560‌
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
14,048‌
19,255‌
Total
Increase
(Decrease)
in
Net
Assets
18,344‌
26,637‌
Net
Assets
Beginning
of
period
.................................................................................................................
135,888‌
109,251‌
End
of
period
.......................................................................................................................
$
154,232‌
$
135,888‌
Class
A
Class
C
Institutional
Capital
Share
Transactions:
Period
Ended
February
29,
2020
Dollars:
Sold
.......................................................................................
$
9,492‌
N/A‌
$
14,507‌
Reinvested
..................................................................................
862‌
N/A‌
1,530‌
Redeemed
...................................................................................
(
7,057‌
)
N/A‌
(
5,286‌
)
Net
Increase
(Decrease)
.........................................................................
$
3,297‌
N/A‌
$
10,751‌
Shares:
Sold
.......................................................................................
847‌
N/A‌
1,290‌
Reinvested
..................................................................................
76‌
N/A‌
136‌
Redeemed
...................................................................................
(
631‌
)
N/A‌
(
467‌
)
Net
Increase
(Decrease)
.........................................................................
292‌
N/A‌
959‌
Year
Ended
August
31,
2019
(a)
Dollars:
Sold
.......................................................................................
$
24,545‌
$
883‌
$
37,477‌
Reinvested
..................................................................................
1,776‌
75‌
2,655‌
Redeemed
...................................................................................
(
22,216‌
)
(
8,001‌
)
(
17,939‌
)
Net
Increase
(Decrease)
.........................................................................
$
4,105‌
$
(
7,043‌
)
$
22,193‌
Shares:
Sold
.......................................................................................
2,304‌
85‌
3,501‌
Reinvested
..................................................................................
165‌
7‌
247‌
Redeemed
...................................................................................
(
2,096‌
)
(
764‌
)
(
1,686‌
)
Net
Increase
(Decrease)
.........................................................................
373‌
(
672‌
)
2,062‌
Dividends
and
Distributions
to
Shareholders:
Period Ended
February
29,
2020
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
880‌
)
N/A‌
$
(
1,532‌
)
Total
Dividends
and
Distributions
$
(
880‌
)
N/A‌
$
(
1,532‌
)
Year
Ended
August
31,
2019
(a)
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
1,815‌
)
$
(
86‌
)
$
(
2,659‌
)
Total
Dividends
and
Distributions
$
(
1,815‌
)
$
(
86‌
)
$
(
2,659‌
)
(a)
Class
C
shares
discontinued
operations
and
converted
to
Class
A
shares
on
January
11,
2019.
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
(unaudited)
28
See
accompanying
notes.
Amounts
in
thousands
Origin
Emerging
Markets
Fund
Period
Ended
February
29,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
4,079‌
$
16,401‌
Net
realized
gain
(loss)
on
investments
and
foreign
currencies
....................................................................
(
16,563‌
)
(
10,377‌
)
Net
change
in
unrealized
appreciation/depreciation
of
investments
and
translation
of
assets
&
liabilities
in
foreign
currencies
..
55,890‌
(
29,387‌
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
43,406‌
(
23,363‌
)
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
21,257‌
)
(
8,633‌
)
Total
Dividends
and
Distributions
(
21,257‌
)
(
8,633‌
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
166,628‌
488,958‌
Total
Increase
(Decrease)
in
Net
Assets
188,777‌
456,962‌
Net
Assets
Beginning
of
period
.................................................................................................................
1,096,224‌
639,262‌
End
of
period
.......................................................................................................................
$
1,285,001‌
$
1,096,224‌
Class
A
Institutional
R-6
Capital
Share
Transactions:
Period
Ended
February
29,
2020
Dollars:
Sold
.......................................................................................
$
1,685‌
$
4,590‌
$
237,261‌
Reinvested
..................................................................................
34‌
268‌
20,953‌
Redeemed
...................................................................................
(
1,706‌
)
(
2,159‌
)
(
94,298‌
)
Net
Increase
(Decrease)
.........................................................................
$
13‌
$
2,699‌
$
163,916‌
Shares:
Sold
.......................................................................................
152‌
407‌
20,750‌
Reinvested
..................................................................................
3‌
23‌
1,813‌
Redeemed
...................................................................................
(
153‌
)
(
191‌
)
(
8,487‌
)
Net
Increase
(Decrease)
.........................................................................
2‌
239‌
14,076‌
Year
Ended
August
31,
2019
Dollars:
Sold
.......................................................................................
$
2,340‌
$
3,112‌
$
633,844‌
Reinvested
..................................................................................
23‌
163‌
8,447‌
Redeemed
...................................................................................
(
3,889‌
)
(
2,846‌
)
(
152,236‌
)
Net
Increase
(Decrease)
.........................................................................
$
(
1,526‌
)
$
429‌
$
490,055‌
Shares:
Sold
.......................................................................................
218‌
302‌
61,048‌
Reinvested
..................................................................................
2‌
18‌
913‌
Redeemed
...................................................................................
(
378‌
)
(
279‌
)
(
14,468‌
)
Net
Increase
(Decrease)
.........................................................................
(
158‌
)
41‌
47,493‌
Dividends
and
Distributions
to
Shareholders:
Period Ended
February
29,
2020
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
35‌
)
$
(
269‌
)
$
(
20,953‌
)
Total
Dividends
and
Distributions
$
(
35‌
)
$
(
269‌
)
$
(
20,953‌
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
23‌
)
$
(
163‌
)
$
(
8,447‌
)
Total
Dividends
and
Distributions
$
(
23‌
)
$
(
163‌
)
$
(
8,447‌
)
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
(unaudited)
29
See
accompanying
notes.
Amounts
in
thousands
Small-MidCap
Dividend
Income
Fund
Period
Ended
February
29,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
24,568‌
$
49,488‌
Net
realized
gain
(loss)
on
investments
and
foreign
currencies
....................................................................
68,454‌
28,853‌
Net
change
in
unrealized
appreciation/depreciation
of
investments
and
translation
of
assets
&
liabilities
in
foreign
currencies
..
(
178,209‌
)
(
315,957‌
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
(
85,187‌
)
(
237,616‌
)
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
43,151‌
)
(
339,924‌
)
Total
Dividends
and
Distributions
(
43,151‌
)
(
339,924‌
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
(
48,847‌
)
(
102,705‌
)
Total
Increase
(Decrease)
in
Net
Assets
(
177,185‌
)
(
680,245‌
)
Net
Assets
Beginning
of
period
.................................................................................................................
2,166,532‌
2,846,777‌
End
of
period
.......................................................................................................................
$
1,989,347‌
$
2,166,532‌
Class
A
Class
C
Institutional
R-6
Capital
Share
Transactions:
Period
Ended
February
29,
2020
Dollars:
Sold
.............................................................................
$
13,624‌
$
3,474‌
$
186,858‌
$
2,224‌
Reinvested
........................................................................
2,598‌
1,585‌
36,466‌
187‌
Redeemed
.........................................................................
(
23,092‌
)
(
15,592‌
)
(
255,298‌
)
(
1,881‌
)
Net
Increase
(Decrease)
...............................................................
$
(
6,870‌
)
$
(
10,533‌
)
$
(
31,974‌
)
$
530‌
Shares:
Sold
.............................................................................
910‌
235‌
12,516‌
149‌
Reinvested
........................................................................
171‌
105‌
2,391‌
12‌
Redeemed
.........................................................................
(
1,552‌
)
(
1,058‌
)
(
17,135‌
)
(
124‌
)
Net
Increase
(Decrease)
...............................................................
(
471‌
)
(
718‌
)
(
2,228‌
)
37‌
Year
Ended
August
31,
2019
Dollars:
Sold
.............................................................................
$
24,473‌
$
4,750‌
$
537,749‌
$
3,442‌
Reinvested
........................................................................
23,194‌
18,221‌
278,193‌
1,262‌
Redeemed
.........................................................................
(
72,982‌
)
(
40,777‌
)
(
878,313‌
)
(
1,917‌
)
Net
Increase
(Decrease)
...............................................................
$
(
25,315‌
)
$
(
17,806‌
)
$
(
62,371‌
)
$
2,787‌
Shares:
Sold
.............................................................................
1,718‌
342‌
37,161‌
216‌
Reinvested
........................................................................
1,793‌
1,433‌
21,335‌
97‌
Redeemed
.........................................................................
(
4,985‌
)
(
2,893‌
)
(
60,592‌
)
(
134‌
)
Net
Increase
(Decrease)
...............................................................
(
1,474‌
)
(
1,118‌
)
(
2,096‌
)
179‌
Dividends
and
Distributions
to
Shareholders:
Period Ended
February
29,
2020
From
net
investment
income
and
net
realized
gain
on
investments
.................................
$
(
2,757‌
)
$
(
1,713‌
)
$
(
38,494‌
)
$
(
187‌
)
Total
Dividends
and
Distributions
$
(
2,757‌
)
$
(
1,713‌
)
$
(
38,494‌
)
$
(
187‌
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
.................................
$
(
24,423‌
)
$
(
19,618‌
)
$
(
294,621‌
)
$
(
1,262‌
)
Total
Dividends
and
Distributions
$
(
24,423‌
)
$
(
19,618‌
)
$
(
294,621‌
)
$
(
1,262‌
)
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
(unaudited)
30
See
accompanying
notes.
Amounts
in
thousands
Small-MidCap
Growth
Fund
Period
Ended
February
29,
2020
Period
Ended
August
31,
2019
(a)
Operations
Net
investment
income
(loss)
.......................................................................................................
$
(16‌)
$
(5‌)
Net
realized
gain
(loss)
on
investments
.............................................................................................
(219‌)
(89‌)
Net
change
in
unrealized
appreciation/depreciation
of
investments
................................................................
211‌
225‌
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
(24‌)
131‌
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
–‌
–‌
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
–‌
5,000‌
Total
Increase
(Decrease)
in
Net
Assets
(24‌)
5,131‌
Net
Assets
Beginning
of
period
.................................................................................................................
5,131‌
–‌
End
of
period
.......................................................................................................................
$
5,107‌
$
5,131‌
Institutional
Capital
Share
Transactions:
Period
Ended
February
29,
2020
Dollars:
Net
Increase
(Decrease)
.............................................................................................
$
–‌
Shares:
Net
Increase
(Decrease)
.............................................................................................
–‌
Period Ended
August
31,
2019
(a)
Dollars:
Sold
...........................................................................................................
$
5,000‌
Net
Increase
(Decrease)
.............................................................................................
$
5,000‌
Shares:
Sold
...........................................................................................................
500‌
Net
Increase
(Decrease)
.............................................................................................
500‌
Dividends
and
Distributions
to
Shareholders:
Period Ended
February
29,
2020
From
net
investment
income
and
net
realized
gain
on
investments
...............................................................
$
–‌
Total
Dividends
and
Distributions
$
–‌
Period Ended
August
31,
2019
(a)
From
net
investment
income
and
net
realized
gain
on
investments
...............................................................
$
–‌
Total
Dividends
and
Distributions
$
–‌
(a)
Period
from
June
12,
2019,
date
operations
commenced,
through
August
31,
2019.
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
(unaudited)
31
See
accompanying
notes.
Amounts
in
thousands
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Period
Ended
February
29,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
133,495‌
$
271,781‌
Net
realized
gain
(loss)
on
investments
,
futures
and
options
and
swaptions
.......................................................
9,441‌
6,927‌
Net
change
in
unrealized
appreciation/depreciation
of
investments
,
futures
and
options
and
swaptions
..........................
59,859‌
119,944‌
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
202,795‌
398,652‌
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
150,229‌
)
(
280,911‌
)
Total
Dividends
and
Distributions
(
150,229‌
)
(
280,911‌
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
638,761‌
(
16,517‌
)
Total
Increase
(Decrease)
in
Net
Assets
691,327‌
101,224‌
Net
Assets
Beginning
of
period
.................................................................................................................
5,759,242‌
5,658,018‌
End
of
period
.......................................................................................................................
$
6,450,569‌
$
5,759,242‌
Class
A
Class
C
Class
J
Institutional
R-1
R-2
R-3
R-4
R-5
R-6
Capital
Share
Transactions:
Period
Ended
February
29,
2020
Dollars:
Sold
...................
$
156,871‌
$
37,621‌
$
4,967‌
$
1,101,311‌
$
85‌
$
458‌
$
347‌
$
101‌
$
745‌
$
162,690‌
Reinvested
..............
15,580‌
7,027‌
1,074‌
73,700‌
13‌
24‌
51‌
25‌
80‌
14,088‌
Redeemed
...............
(
121,314‌
)
(
62,952‌
)
(
4,910‌
)
(
686,757‌
)
(
668‌
)
(
124‌
)
(
231‌
)
(
469‌
)
(
322‌
)
(
60,350‌
)
Net
Increase
(Decrease)
.....
$
51,137‌
$
(
18,304‌
)
$
1,131‌
$
488,254‌
$
(
570‌
)
$
358‌
$
167‌
$
(
343‌
)
$
503‌
$
116,428‌
Shares:
Sold
...................
14,979‌
3,597‌
487‌
105,856‌
9‌
45‌
33‌
10‌
71‌
15,734‌
Reinvested
..............
1,488‌
672‌
106‌
7,089‌
1‌
2‌
5‌
2‌
8‌
1,356‌
Redeemed
...............
(
11,553‌
)
(
6,010‌
)
(
482‌
)
(
66,063‌
)
(
65‌
)
(
12‌
)
(
22‌
)
(
46‌
)
(
31‌
)
(
5,808‌
)
Net
Increase
(Decrease)
.....
4,914‌
(
1,741‌
)
111‌
46,882‌
(
55‌
)
35‌
16‌
(
34‌
)
48‌
11,282‌
Year
Ended
August
31,
2019
Dollars:
Sold
...................
$
312,376‌
$
54,286‌
$
5,965‌
$
1,551,771‌
$
146‌
$
227‌
$
1,045‌
$
1,005‌
$
1,250‌
$
220,416‌
Reinvested
..............
28,123‌
19,068‌
2,182‌
128,732‌
46‌
46‌
119‌
64‌
138‌
28,982‌
Redeemed
...............
(
278,909‌
)
(
245,106‌
)
(
8,847‌
)
(
1,470,234‌
)
(
177‌
)
(
577‌
)
(
1,440‌
)
(
982‌
)
(
1,254‌
)
(
364,978‌
)
Net
Increase
(Decrease)
.....
$
61,590‌
$
(
171,752‌
)
$
(
700‌
)
$
210,269‌
$
15‌
$
(
304‌
)
$
(
276‌
)
$
87‌
$
134‌
$
(
115,580‌
)
Shares:
Sold
...................
31,239‌
5,467‌
610‌
157,894‌
15‌
23‌
107‌
103‌
125‌
22,518‌
Reinvested
..............
2,839‌
1,935‌
227‌
13,084‌
5‌
5‌
12‌
6‌
14‌
2,952‌
Redeemed
...............
(
28,125‌
)
(
24,628‌
)
(
919‌
)
(
150,781‌
)
(
18‌
)
(
59‌
)
(
146‌
)
(
101‌
)
(
129‌
)
(
37,539‌
)
Net
Increase
(Decrease)
.....
5,953‌
(
17,226‌
)
(
82‌
)
20,197‌
2‌
(
31‌
)
(
27‌
)
8‌
10‌
(
12,069‌
)
Dividends
and
Distributions
to
Shareholders:
Period Ended
February
29,
2020
From
net
investment
income
and
net
realized
gain
on
investments
$
(
18,163‌
)
$
(
8,900‌
)
$
(
1,087‌
)
$
(
96,595‌
)
$
(
13‌
)
$
(
38‌
)
$
(
51‌
)
$
(
25‌
)
$
(
80‌
)
$
(
25,277‌
)
Total
Dividends
and
Distributions
$
(
18,163‌
)
$
(
8,900‌
)
$
(
1,087‌
)
$
(
96,595‌
)
$
(
13‌
)
$
(
38‌
)
$
(
51‌
)
$
(
25‌
)
$
(
80‌
)
$
(
25,277‌
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
$
(
32,317‌
)
$
(
23,836‌
)
$
(
2,215‌
)
$
(
171,598‌
)
$
(
46‌
)
$
(
77‌
)
$
(
119‌
)
$
(
64‌
)
$
(
139‌
)
$
(
50,500‌
)
Total
Dividends
and
Distributions
$
(
32,317‌
)
$
(
23,836‌
)
$
(
2,215‌
)
$
(
171,598‌
)
$
(
46‌
)
$
(
77‌
)
$
(
119‌
)
$
(
64‌
)
$
(
139‌
)
$
(
50,500‌
)
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
(unaudited)
32
See
accompanying
notes.
Amounts
in
thousands
SystematEx
International
Fund
Period
Ended
February
29,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
814‌
$
1,566‌
Net
realized
gain
(loss)
on
investments
and
foreign
currencies
....................................................................
(
482‌
)
(
88‌
)
Net
change
in
unrealized
appreciation/depreciation
of
investments
and
translation
of
assets
&
liabilities
in
foreign
currencies
..
(
13,646‌
)
(
4,946‌
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
(
13,314‌
)
(
3,468‌
)
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
1,963‌
)
(
7,000‌
)
Total
Dividends
and
Distributions
(
1,963‌
)
(
7,000‌
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
174,699‌
13,248‌
Total
Increase
(Decrease)
in
Net
Assets
159,422‌
2,780‌
Net
Assets
Beginning
of
period
.................................................................................................................
56,892‌
54,112‌
End
of
period
.......................................................................................................................
$
216,314‌
$
56,892‌
Institutional
R-6
Capital
Share
Transactions:
Period
Ended
February
29,
2020
Dollars:
Sold
.................................................................................................
$
–‌
$
175,527‌
Reinvested
............................................................................................
2‌
1,961‌
Redeemed
.............................................................................................
–‌
(
2,791‌
)
Net
Increase
(Decrease)
...................................................................................
$
2‌
$
174,697‌
Shares:
Sold
.................................................................................................
–‌
16,732‌
Reinvested
............................................................................................
–‌
184‌
Redeemed
.............................................................................................
–‌
(
265‌
)
Net
Increase
(Decrease)
...................................................................................
–‌
16,651‌
Year
Ended
August
31,
2019
Dollars:
Sold
.................................................................................................
$
80‌
$
33,235‌
Reinvested
............................................................................................
39‌
6,961‌
Redeemed
.............................................................................................
(
95‌
)
(
26,972‌
)
Net
Increase
(Decrease)
...................................................................................
$
24‌
$
13,224‌
Shares:
Sold
.................................................................................................
8‌
3,430‌
Reinvested
............................................................................................
4‌
745‌
Redeemed
.............................................................................................
(
9‌
)
(
2,726‌
)
Net
Increase
(Decrease)
...................................................................................
3‌
1,449‌
Dividends
and
Distributions
to
Shareholders:
Period Ended
February
29,
2020
From
net
investment
income
and
net
realized
gain
on
investments
.....................................................
$
(
2‌
)
$
(
1,961‌
)
Total
Dividends
and
Distributions
$
(
2‌
)
$
(
1,961‌
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
.....................................................
$
(
39‌
)
$
(
6,961‌
)
Total
Dividends
and
Distributions
$
(
39‌
)
$
(
6,961‌
)
Statement
of
Cash
Flows
Principal
Funds,
Inc.
Six
Months
Ended
February
29,
2020
(unaudited)
33
See
accompanying
notes.
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
Amounts
in
thousands
Global
Multi-
Strategy
Fund
(a)
Cash
Flows
from
Operating
Activities:
Net increase
in
net
assets
from
operations
..............................................................................
$
746
Adjustments
to
reconcile
net
increase
in
net
assets
from
operations
to
net
cash
provided
by
operating
activities:
Purchase
of
investment
securities
...............................................................................
(3,039,644)
Proceeds
from
sale
of
investment
securities
........................................................................
3,738,361
Net
sales
or
(purchases)
of
short
term
securities
.....................................................................
203,392
Proceeds
from
(
p
ayments
on)
p
urchased
o
ptions,
net
..................................................................
(522)
Proceeds
from
(
p
ayments
on)
short
sales
transactions,
net
..............................................................
(257,474)
Net
accretion
of
bond
discounts
and
amortization
of
premiums
..........................................................
(2,932)
Proceeds
from
(payments
on)
OTC
swaps,
net
......................................................................
3,335
Proceeds
from
(
p
ayments
on)
option
and
swaption
contracts
written
,
net
....................................................
649
Change
in
unrealized
ap
preciation
on
investments
....................................................................
(3,323)
Change
in
unrealized
ap
preciation
on
OTC
swaps
....................................................................
(1,194)
Change
in
unrealized
depreciation
on
options
and
swaptions
............................................................
465
Change
in
unrealized
appreciation
on
shorts
........................................................................
(673)
Net
realized
gain
(loss)
from
investments
..........................................................................
(2,782
)
Net
realized
gain
(loss)
from
OTC
swaps
..........................................................................
(115)
Net
realized
gain
(loss)
from
options
and
swaptions
..................................................................
(2,957)
Net
realized
gain
(loss)
from
shorts
..............................................................................
13,907
(Increase)
decrease in
dividends
and
interest
receivable
...............................................................
4,831
(Increase)
decrease in
fund
shares
sold
...........................................................................
(735)
(Increase)
decrease in
deposits
with
counterparty
....................................................................
87,365
(Increase)
decrease in
investment
securities
sold
....................................................................
47,879
(Increase)
decrease in
variation
margin
on
futures,
net
................................................................
258
(Increase)
decrease in
variation
margin
on
swaps,
net
.................................................................
138
Increase
(decrease)
in
accrued
fees,
expenses,
and
expense
reimbursement
from
Manager
.......................................
(864)
Increase
(decrease)
in
dividends
and
interest
on
securities
sold
short
......................................................
(971)
Increase
(decrease)
in
fund
shares
redeemed
........................................................................
(1,066)
Increase
(decrease)
in
deposits
from
counterparty
....................................................................
(1,016)
Increase (decrease)
in
investment
securities
purchased
................................................................
(110,531)
Increase (decrease)
in
foreign
currency
contracts,
net
.................................................................
4,975
Increase (decrease)
in
unrealized
loss
on
unfunded
loan
commitments
.....................................................
(6)
Net
cash
provided
by
operating
activities
679,496
Cash
Flows
from
Financing
Activities:
Net
payments
from
reverse
repurchase
agreements
...................................................................
(243,168)
Proceeds
from
shares
sold
.....................................................................................
311,969
Payment
on
shares
redeemed
...................................................................................
(751,680)
Net
cash
used
in
financing
activities
(682,879
)
Net
increase
(decrease) in
cash
and
foreign
currency
..................................................................
(3,383)
Cash
and
Foreign
Currency:
Beginning
of
period
.........................................................................................
$
11,163
End
of
period
..............................................................................................
$
7,780
Supplemental
disclosure
of
cash
flow
information:
Reverse
repurchase
agreement
interest
paid
........................................................................
$
4,603
Accrued
reverse
repurchase
agreement
interest 
.....................................................................
$
109
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
34
1.
Organization
Principal
Funds,
Inc.
(the
"Fund")
is
registered
under
the
Investment
Company
Act
of
1940,
as
amended,
as
an
open-end
management
investment
company
and
operates
as
a
series
fund
in
the
mutual
fund
industry.
The
financial
statements
for
Blue
Chip
Fund,
Bond
Market
Index
Fund,
Diversified
Real
Asset
Fund,
Edge
MidCap
Fund,
Global
Multi-Strategy
Fund,
International
Equity
Index
Fund,
International
Small
Company
Fund,
Opportunistic
Municipal
Fund,
Origin
Emerging
Markets
Fund,
Small-MidCap
Dividend
Income
Fund,
Small-
MidCap
Growth
Fund,
Spectrum
Preferred
and
Capital
Securities
Income
Fund,
and
SystematEx
International
Fund
(known
as
the
"Funds")
are
presented
herein.
The
Funds
may
offer
up
to
ten
classes
of
shares:
Class
A,
Class
C,
Class
J,
Institutional,
R-1,
R-2,
R-3,
R-4,
R-5,
and
R-6.
Information
presented
in
these
financial
statements
pertains
to
Class
J,
Institutional,
R-1,
R-2,
R-3,
R-4,
R-5,
and
R-6
classes
of
shares.
Certain
detailed
financial
information
for
Class
A
and
Class
C
shares
is
provided
separately.
Each
of
the
Funds
is
an
investment
company
and
applies
specialized
accounting
and
reporting
under
Accounting
Standards
Codification
(“ASC”)
Topic
946,
Financial
Services
-
Investment
Companies
.
The
Funds
have
not
provided
financial
support
and
are
not
contractually
required
to
provide
financial
support
to
any
investee.
Effective
December
31,
2018,
the
initial
purchase
of
$10,000
of
Class
A
shares
of
Edge
MidCap
Fund
was
made
by
Principal
Global
Investors,
LLC
(the
“Manager”).
Effective
January
11,
2019,
Class
C
shares
discontinued
and
converted
into
Class
A
shares
for
Opportunistic
Municipal
Fund.
Effective
June
12,
2019,
the
initial
purchase
of
$5,000,000
of
Institutional
shares
of
Small-MidCap
Growth
Fund
was
made
by
the
Principal
Financial
Services,
Inc.
Effective
July
1,
2019,
Preferred
Securities
Fund
changed
its
name
to
Spectrum
Preferred
and
Capital
Securities
Income
Fund.
All
classes
of
shares
for
each
of
the
Funds
represent
interests
in
the
same
portfolio
of
investments
and
will
vote
together
as
a
single
class
except
where
otherwise
required
by
law
or
as
determined
by
the
Fund’s
Board
of
Directors.
In
addition,
the
Board
of
Directors
declares
separate
dividends
on
each
class
of
shares. 
2.
Significant
Accounting
Policies
The
preparation
of
financial
statements
in
conformity
with
U.S. GAAP
requires
management
to
make
estimates
and
assumptions
that
affect
the
reported
amounts
of
assets
and
liabilities
and
disclosure
of
contingent
assets
and
liabilities
at
the
date
of
the
financial
statements
and
the
reported
amounts
of
revenues
and
expenses
during
the
reporting
period.
Actual
results
could
differ
from
those
estimates.
The
following
summarizes
the
significant
accounting
policies
of
the
Funds:
Security
Valuation.
Certain
of
the
Funds
invest
in
Institutional
Class
shares
of
other
series
of the
Fund.
Investments
in
the
Underlying
Funds
are
valued
at
the
closing
net
asset
value
per
share
of
each
Underlying
Fund
on
the
day
of
valuation. The
Funds
also
invest
in
other
publicly
traded
investment
funds. Other
publicly
traded
investment
funds
are
valued
at
the
respective
fund's
net
asset
value.
The
shares
of
the
other
series
of
Principal
Funds,
Inc.
and
other
publicly
traded
investment
funds
are
referred
to
as
the
“Underlying
Funds”.
The
Funds
value
securities
for
which
market
quotations
are
readily
available
at
fair
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
such
as
current
quotations
by
broker/dealers,
coupon,
maturity,
quality,
type
of
issue,
trading
characteristics,
other
yield
and
risk
factors,
and
other
market
conditions
to
determine
an
evaluated
bid
price
or,
in
the
case
of
certain
credit
default
swaps,
a
mean
price
provided
by
a
pricing
service.
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
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,
provided
by
independent
pricing
services,
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
American
depository
receipts
(“ADRs”),
futures
contracts,
industry
indices,
general
indices,
and
foreign
currencies.
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
35
Euro
5
.8%
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
Fund
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.
Currency
Translation.
Foreign
holdings
are
translated
to
U.S.
dollars
using
the
exchange
rate
at
the
daily
close
of
the
New
York
Stock
Exchange.
The
identified
cost
of
the
Funds’
holdings
is
translated
at
approximate
rates
prevailing
when
acquired.
Income
and
expense
amounts
are
translated
at
approximate
rates
prevailing
when
received
or
paid,
with
daily
accruals
of
such
amounts
reported
at
approximate
rates
prevailing
at
the
date
of
valuation.
Since
the
carrying
amount
of
the
foreign
securities
is
determined
based
on
the
exchange
rate
and
market
values
at
the
close
of
the
period,
it
is
not
practicable
to
isolate
that
portion
of
the
results
of
operations
arising
as
a
result
of
changes
in
the
foreign
exchange
rates
from
the
fluctuations
arising
from
changes
in
the
market
prices
of
securities
during
the
period.
Net
realized
foreign
exchange
gains
or
losses
arise
from
sales
of
foreign
currencies,
currency
gains
or
losses
realized
between
trade
and
settlement
dates
on
security
transactions,
and
the
difference
between
the
amount
of
dividends,
interest
income,
interest
expense,
and
foreign
withholding
taxes
recorded
on
the
books
and
the
U.S.
dollar
equivalent
of
the
amounts
actually
received
or
paid.
Net
unrealized
appreciation
(depreciation)
on
translation
of
assets
and
liabilities
in
foreign
currencies
arise
from
changes
in
the
exchange
rate
relating
to
assets
and
liabilities,
other
than
investments
in
securities,
purchased
and
held
in
non-U.S.
denominated
currencies.
The
following
Funds
held
securities
denominated
in
foreign
currencies
that
exceeded
5%
of
net
assets
of
the
respective
fund
as
of
February
29,
2020:
Income
and
Investment
Transactions.
The
Funds
record
investment
transactions
on
a
trade
date
basis.
Trade
date
for
senior
floating
rate
interests
purchased
in
the
primary
market
is
considered
the
date
on
which
the
loan
allocations
are
determined.
Trade
date
for
senior
floating
rate
interests
purchased
in
the
secondary
market
is
the
date
on
which
the
transaction
is
entered
into.
The
identified
cost
basis
has
been
used
Diversified
Real
Asset
Fund
Euro
7
.5%
British
Pound
Sterling
5
.3
Canadian
Dollar
5
.1
Global
Multi-Strategy
Fund
International
Equity
Index
Fund
Euro
31
.1%
Japanese
Yen
23
.8
British
Pound
Sterling
15
.3
Swiss
Franc
9
.5
Australian
Dollar
6
.7
International
Small
Company
Fund
Euro
25
.7%
Japanese
Yen
25
.0
British
Pound
Sterling
16
.3
Canadian
Dollar
10
.2
Origin
Emerging
Markets
Fund
Hong
Kong
Dollar
32
.5%
New
Taiwan
Dollar
10
.7
Brazilian
Real
6
.5
Small-MidCap
Dividend
Income
Fund
Canadian
Dollar
5
.7%
SystematEx
International
Fund
Euro
30
.7%
Japanese
Yen
24
.3
British
Pound
Sterling
16
.7
Swiss
Franc
7
.6
Australian
Dollar
7
.3
2.
Significant
Accounting
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
36
in
determining
the
net
realized
gain
or
loss
from
investment
transactions
and
unrealized
appreciation
or
depreciation
of
investments.
The
Funds
record
dividend
income
on
the
ex-dividend
date,
except
dividend
income
from
foreign
securities
whereby
the
ex-dividend
date
has
passed;
such
dividends
are
recorded
as
soon
as
the
Funds
are
informed
of
the
ex-dividend
date.
Interest
income
is
recognized
on
an
accrual
basis.
Discounts
and
premiums
on
securities
are
accreted/amortized,
respectively,
on
the
level
yield
method
over
the
expected
lives
of
the
respective
securities.
The
Funds
allocate
all
income
and
realized
and
unrealized
gains
or
losses
on
a
daily
basis
to
each
class
of
shares
based
upon
the
relative
proportion
of
the
value
of
shares
outstanding
of
each
class.
Expenses.
Expenses
directly
attributed
to
a
particular
fund
are
charged
to
that
fund.
Other
expenses
not
directly
attributed
to
a
particular
fund
are
apportioned
among
the
registered
investment
companies
managed
by
the
Manager.
Management
fees
are
allocated
daily
to
each
class
of
shares
based
upon
the
relative
proportion
of
the
value
of
shares
outstanding
of
each
class.
Expenses
specifically
attributable
to
a
particular
class
are
charged
directly
to
such
class
and
are
included
separately
in
the
statements
of
operations.
In
addition
to
the
expenses
the
Funds
bear
directly,
each
of
the
Funds
may
indirectly
bear
a
pro
rata
share
of
the
fees
and
expenses
of
the
Underlying
Funds
in
which
they
invest.
Because
the
Underlying
Funds
have
varied
expense
levels
and
each
of
the
Funds
may
own
different
proportions
of
the
Underlying
Funds
at
different
times,
the
amount
of
expense
incurred
indirectly
by
each
Fund
will
vary.
Expenses
included
in
the
statements
of
operations
of
the
Funds
do
not
include
any
expenses
associated
with
the
Underlying
Funds.
Distributions
to
Shareholders.
With
respect
to
Opportunistic
Municipal
Fund,
net
investment
income
is
declared
as
dividends
daily
to
settled
shares
of
record
as
of
that
day,
and
all
distributions
of
realized
gains
from
investment
transactions
are
recorded
on
the
ex-dividend
date.
Dividends
and
distributions
to
shareholders
of
the
other
Funds
are
recorded
on
the
ex-dividend
date.
Dividends
and
distributions
to
shareholders
from
net
investment
income
and
net
realized
gain
from
investments
and
foreign
currency
transactions
are
determined
in
accordance
with
federal
tax
regulations,
which
may
differ
from
U.S.
GAAP.
These
differences
are
primarily
due
to
differing
treatments
for
amortization
of
premiums
and
discounts,
net
operating
losses,
foreign
currency
transactions,
inverse
floating
rate
securities,
options
and
futures
contracts,
certain
defaulted
securities,
sales
of
passive
foreign
investment
companies,
losses
deferred
due
to
wash
sales,
tax
straddles,
mortgage-backed
securities,
certain
preferred
securities,
swap
agreements,
short
sales,
partnership
investments,
Real
Estate
Investment
Trusts
(“REITs”),
utilization
of
earnings
and
profits
distributed
to
shareholders
on
redemption
of
shares,
and
limitations
imposed
by
Sections
381-384
of
the
Internal
Revenue
Code.
Permanent
book
and
tax
basis
differences
are
reclassified
within
the
capital
accounts
based
on
federal
tax-basis
treatment;
temporary
differences
do
not
require
reclassification.
To
the
extent
dividends
and
distributions
exceed
current
and
accumulated
earnings
and
profits
for
federal
income
tax
purposes,
they
are
reported
as
return
of
capital
distributions.
Federal
Income
Taxes.
No
provision
for
federal
income
taxes
is
considered
necessary
because
each
of
the
Funds
intends
to
qualify
as
a
“regulated
investment
company”
under
the
Internal
Revenue
Code
and
intends
to
distribute
each
year
substantially
all
of
its
net
investment
income
and
realized
capital
gains
to
shareholders.
Management
evaluates
tax
positions
taken
or
expected
to
be
taken
in
the
course
of
preparing
the
Funds’
tax
returns
to
determine
whether
it
is
“more
likely
than
not”
that
each
tax
position
would
be
sustained
upon
examination
by
a
taxing
authority
based
on
the
technical
merits
of
the
position.
Tax
positions
not
deemed
to
meet
the
"more
likely
than
not"
threshold
would
be
recorded
as
a
tax
benefit
or
expense
in
the
current
year.
During
the period
ended
February
29,
2020,
the
Funds
did
not
record
any
such
tax
benefit
or
expense
in
the
accompanying
financial
statements.
The
statute
of
limitations
remains
open
for
the
fiscal
years
from
2016-2018.
Foreign
Taxes.
Certain
of
the
Funds
are
subject
to
foreign
income
taxes
imposed
by
certain
countries
in
which
they
invest.
Foreign
income
taxes
are
accrued
by
the
Funds
as
a
reduction
of
income.
These
amounts
are
shown
as
withholding
tax
on
the
statements
of
operations.
In
consideration
of
recent
decisions
rendered
by
European
courts,
certain
of
the
Funds
have
filed
additional
tax
reclaims
for
taxes
withheld
in
prior
years.
Due
to
the
uncertainty
and
timing
of
these
reclaims,
a
corresponding
receivable
will
only
be
recorded
when
both
the
amount
is
known
and
there
are
no
significant
uncertainties
regarding
collectability.
Basis
for
Consolidation.
Diversified
Real
Asset
Fund
and
Global
Multi-Strategy
Fund
(the
“Consolidated
Funds”)
may
invest
up
to
25%
of
their
total
assets
in
their
respective
wholly-owned
subsidiaries
DRA
Cayman
Corporation
and
GMS
Cayman
Corporation
(the
“Cayman
Subsidiaries”),
each
organized
under
the
laws
of
the
Cayman
Islands.
The
Consolidated
Funds
are
the
sole
shareholder
of
their
respective
Cayman
Subsidiaries,
and
shares
of
the
Cayman
Subsidiaries
will
not
be
sold
or
offered
to
other
investors.
To
the
extent
that
the
Consolidated
Funds
invest
in
their
Cayman
Subsidiaries,
they
will
be
subject
to
the
particular
risks
associated
with
the
Cayman
Subsidiaries'
investments,
which
are
discussed
in
the
applicable
Prospectus
and
Statement
of
Additional
Information.
The
principal
purpose
of
investing
in
the
Cayman
Subsidiaries
is
to
allow
the
Consolidated
Funds
to
gain
exposure
to
the
commodity
markets
within
the
limitations
of
federal
tax
laws
applicable
to
regulated
investment
companies.
Diversified
Real
Asset
Fund’s
investment
portfolio
has
been
consolidated
and
includes
the
portfolio
2.
Significant
Accounting
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
37
holdings
of
Diversified
Real
Asset
Fund
and
its
Cayman
subsidiary.
Global
Multi-Strategy
Fund’s
investment
portfolio
has
been
consolidated
and
includes
the
portfolio
holdings
of
Global
Multi-Strategy
Fund
and
its
Cayman
subsidiary.
The
consolidated
financial
statements
for
Diversified
Real
Asset
Fund
include
the
accounts
of
Diversified
Real
Asset
Fund
and
its
Cayman
subsidiary
and
the
consolidated
financial
statements
for
Global
Multi-Strategy
Fund
include
the
accounts
of
Global
Multi-Strategy
Fund
and
its
Cayman
subsidiary.
All
intercompany
transactions
and
balances
have
been
eliminated
in
consolidation.
At
February
29,
2020,
the
net
assets
of
the
Cayman
Subsidiaries
were
as
follows
(amounts
in
thousands):
Recent
Accounting
Pronouncements.
In
August
2018,
the
Financial
Accounting
Standards
Board
issued
Accounting
Standards
Update
("ASU")
No.
2018-13,
Fair
Value
Measurement
(Topic
820):
Disclosure
Framework
-
Changes
to
the
Disclosure
Requirements
for
Fair
Value
Measurement,
which
amends
and
eliminates
certain
disclosure
requirements
for
fair
value
as
part
of
its
framework
project.
The
ASU
is
effective
for
annual
and
interim
periods
beginning
after
December
15,
2019.
The
early
adoption
of
the
removal
or
modification
of
disclosures
and
delay
of
adoption
of
the
additional
disclosures
is
permitted.
As
of
August
31,
2019,
the
Funds
have
adopted
the
removal
and
modification
of
applicable disclosures.  
In
March
2017,
the
Financial
Accounting
Standards
Board
issued
ASU
No.
2017-08
Premium
Amortization
on
Purchased
Callable
Debt
Securities,
which
amends
the
accounting
standards
to
shorten
the
amortization
period
of
certain
purchased
callable
debt
securities
to
the
earliest
call
date.
The
ASU
is
effective
for
annual
and
interim
periods
beginning
after
December
15,
2018.
The
Funds
have
adopted
the
new
amendment
as
of
September
1,
2019.
The
adoption
of
the
ASU
resulted
in
a
cumulative
effective
adjustment
to
components
within
total
distributable
earnings
(accumulated
loss)
on
the
statements
of
assets
and
liabilities
as
of
the
beginning
of
the
fiscal
year.
This
cumulative
effective
adjustment
did
not
have
a
material
impact
on
the
financial
statements
and
did
not
impact
net
assets
of
the
Funds.
3.
Operating
Policies
Borrowings.
Pursuant
to
an
exemptive
order
issued
by
the
Securities
and
Exchange
Commission
(the
“SEC”),
the
Funds
and
other
registered
investment
companies
managed
by
the
Manager
may
participate
in
an
interfund
lending
facility
(“Facility”).
The
Facility
allows
the
Funds
to
borrow
money
from
or
loan
money
to
the
other
participants.
Loans
under
the
Facility
are
made
to
handle
unusual
and/or
unanticipated
short-term
cash
requirements.
Interest
paid
and
received
on
borrowings
is
the
average
of
the
current
repurchase
agreement
rate
and
the
bank
loan
rate
(the
higher
of
(i)
the
Federal
Funds
Rate
or
(ii)
the
One
Month
London
Interbank
Offered
Rate
(“LIBOR”)
rate
plus
1.00%).
The
interest
income
received
is
included
in
interest
income
on
the
statements
of
operations.
The
interest
expense
associated
with
these
borrowings
is
included
in
other
expenses
on
the
statements
of
operations.
There
were
no
outstanding
loans
or
borrowings
against
the
line
of
credit
as
of
February
29,
2020
.
During
the period
ended
February
29,
2020,
Funds
lending
to
the
Facility
were
as
follows
(amounts
in
thousands):
During
the period
ended
February
29,
2020,
Funds
borrowing
from
the
Facility
were
as
follows
(amounts
in
thousands): 
Net
Assets
Percent
of
Consolidated
Fund’s
Net
Assets
DRA
Cayman
Corporation
$323,762
8.77%
GMS
Cayman
Corporation
4,903
0.54
Average
Daily
Amount
Loaned
Weighted
Average
Annual
Interest
Rates
Bond
Market
Index
Fund
$
414
2.12%
Diversified
Real
Asset
Fund
365
2.20
Edge
MidCap
Fund
348
2.15
Global
Multi-Strategy
Fund
172
2.39
International
Equity
Index
Fund
22
2.18
International
Small
Company
Fund
156
2.43
Origin
Emerging
Markets
Fund
52
2.24
Small-MidCap
Dividend
Income
Fund
113
2.14
Spectrum
Preferred
and
Capital
Securities
Income
Fund
1,542
2.15
Average
Daily
Outstanding
Balance
Weighted
Average
Annual
Interest
Rates
Blue
Chip
Fund
$
1
,
040
2.33
%
Diversified
Real
Asset
Fund
1,138
2.12
2.
Significant
Accounting
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
38
In
addition,
the
Funds
participate
with
other
registered
investment
companies
managed
by
the
Manager
in
an
unsecured
joint
line
of
credit
with
a
bank
which
allows
the
participants
to
borrow
up
to
$100
million,
collectively.
Borrowings
are
made
solely
to
facilitate
the
handling
of
unusual
and/or
unanticipated
short-term
cash
requirements.
Interest
is
charged
to
each
participant,
based
on
its
borrowings,
at
a
rate
equal
to
the
higher
of
the
Federal
Funds
Rate
or
the
One
Month
LIBOR
rate
plus
1.00%.
Additionally,
a
commitment
fee
is
charged
at
an
annual
rate
of
.15%
on
the
amount
of
the
line
of
credit
which
is
allocated
to
each
participating
fund
based
on
average
net
assets.
The
interest
expense
associated
with
these
borrowings
is
included
in
other
expenses
on
the
statements
of
operations.
During
the
year
ended
February
29,
2020
,
there
was
no
borrowing
against
the
line
of
credit.
Commodity
Linked
Notes.
Diversified
Real
Asset
Fund
invests
in
structured
notes
whose
market
values
are
primarily
derived
from
changes
in
the
value
of
various
commodity
indices
and
other
factors.
Valuations
on
these
securities
may
be
volatile
as
the
payment
features
on
certain
notes
may
contain
attributes
that
multiply
the
effects
of
changes
in
the
values
of
the
underlying
indices.
Structured
notes
may
entail
a
greater
degree
of
market
risk
than
other
types
of
debt
securities.
Structured
notes
may
also
be
more
volatile,
less
liquid,
and
more
difficult
to
accurately
price
than
less
complex
securities
or
more
traditional
debt
securities.
Fluctuations
in
the
fair
value
of
the
structured
notes
are
recorded
as
unrealized
gains
and
losses
in
the
accompanying
financial
statements.
Interest
income
is
accrued
daily.
These
notes
are
subject
to
prepayment,
credit,
and
interest
rate
risks.
At
maturity,
or
when
a
note
is
sold,
the
fund
records
a
realized
gain
or
loss. 
Contingent
Convertible
Securities.
Global
Multi-Strategy
Fund
and
Spectrum
Preferred
and
Capital
Securities
Income
Fund
invest
in
contingent
convertible
securities
(“CoCos”).
CoCos
are
hybrid
debt
securities
that
may
convert
into
equity
or
have
their
principal
written
down
upon
the
occurrence
of
certain
“triggers.”
Although
a
contingent
convertible
security’s
equity
conversion
and
principal
write-down
features
are
tailored
to
the
particular
issuing
banking
institution
and
its
regulatory
requirements,
triggers
are
generally
linked
to
regulatory
capital
thresholds
or
regulatory
actions
calling
into
question
such
institution’s
continued
viability
as
a
going-concern.
CoCos
may
have
no
stated
maturity
and
fully
discretionary
coupons,
which
means
coupon
payments
can
be
canceled
at
the
issuing
banking
institution’s
discretion
or
at
the
request
of
the
relevant
regulatory
authority
without
causing
a
default.
To
provide
the
appropriate
regulatory
capital
treatment,
CoCos
are
usually
issued
in
the
form
of
subordinated
debt
instruments
that
rank
junior
to
the
claims
of
holders
of
more
senior
obligations
in
the
event
of
the
issuer’s
liquidation.
If
CoCos
are
converted
into
equity
securities
due
to
a
trigger
event,
holders
will
be
further
subordinated.
The
future
value
of
CoCos
is
unpredictable
and
is
influenced
by
many
factors
including,
without
limitation:
the
creditworthiness
of
the
issuer
and/or
fluctuations
in
such
issuer’s
applicable
capital
ratios;
supply
and
demand
for
CoCos;
general
market
conditions
and
available
liquidity;
and
economic,
financial
and
political
events
that
affect
the
issuer,
its
particular
market
or
the
financial
markets
in
general.
Due
to
these
features,
CoCos
may
have
substantially
greater
risk
than
other
securities
in
times
of
financial
stress.
Because
of
the
uncertainty
regarding
whether
a
conversion
event
will
occur,
it
may
be
difficult
to
predict
when,
if
at
all,
a
contingent
convertible
security
will
be
converted
to
equity,
and
a
fund
may
suffer
losses
as
a
result.
If
the
trigger
level
is
breached,
the
issuer’s
decision
to
write
down,
write
off
or
convert
a
contingent
convertible
security
may
result
in
the
fund's
complete
loss
on
an
investment
in
CoCos
with
no
chance
of
recovery
even
if
the
issuer
remains
in
existence. 
Counterparties.
The
Funds
may
be
exposed
to
counterparty
risk,
or
the
risk
that
another
party
with
which
the
Funds
have
unsettled
or
open
transactions
will
fail
to
perform
on
their
commitment.
To
the
extent
that
unpaid
amounts
owed
to
the
Funds
exceed
a
predetermined
threshold
agreed
to
with
the
counterparty,
as
stated
in
the
counterparties'
master
netting
agreements
("Master
Netting
Agreements"),
such
counterparty
shall
advance
collateral
to
the
Funds
in
the
form
of
cash
or
cash
equivalents
equal
in
value
to
the
unpaid
amount
owed
to
the
Funds.
If
the
unpaid
amount
owed
to
the
Funds
subsequently
decreases,
the
Funds
would
be
required
to
return
all
or
a
portion
of
the
collateral.
Master
Netting
Agreements
may
also
help
limit
counterparty
risk
by
specifying
collateral
posting
arrangements
at
pre-arranged
exposure
levels.
Under
the
Master
Netting
Agreements,
collateral
is
routinely
transferred
if
the
total
net
exposure
to
certain
transactions
governed
under
the
relevant
master
netting
agreement
with
a
counterparty
exceeds
a
specified
threshold.
The
financial
instruments
that
are
subject
to
Master
Netting
Agreements
or
similar
agreements
may
include
right
of
setoff
provisions.
Derivative
instruments
include
provisions
to
setoff
positions
covered
under
the
agreements
with
the
same
counterparties
and
provisions
to
setoff
positions
outside
of
the
agreements
with
the
same
counterparties
in
the
event
of
default
by
one
of
the
parties.
Derivative
instruments
also
include
collateral
provisions.
Collateral
received
and
pledged
are
generally
settled
daily
with
each
counterparty.
Average
Daily
Outstanding
Balance
Weighted
Average
Annual
Interest
Rates
International
Equity
Index
Fund
$
210
2.
2
3
%
International
Small
Company
Fund
14
2.18
Opportunistic
Municipal
Fund
49
2.40
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
39
Diversified
Real
Asset
Fund
and
Global
Multi-Strategy
Fund
have
financial
instruments
that
are
subject
to
Master
Netting
Agreements
or
similar
agreements.
As
of
February
29,
2020,
financial
assets
and
liabilities
subject
to
Master
Netting
Agreements
or
similar
agreements
were
as
follows
(amounts
in
thousands):
Assets
*
Liabilities
*
Net
Market
Value
of
OTC
Derivatives
Collateral
(Received)/
Pledged
Net
Exposure
Diversified
Real
Asset
Fund
ANZ
Stockbroking
Foreign
Currency
Contracts
$
—
$
—
$
—
$
—
$
—
$
—
$
—
$
—
Bank
of
America
NA
Foreign
Currency
Contracts
86
(17
4
)
(8
8
)
Total
Return
Swaps
—
(4,939)
**
(4,939)
$
86
$
(5,113)
**
$
(5,027)
$
4,939
^^
$
(88)
Barclays
Bank
PLC
Purchased
Capped
Options
71
—
71
Foreign
Currency
Contracts
—
(1)
(1)
Purchased
Interest
Rate
Swaptions
1,517
—
1,517
Written
Interest
Rate
Swaptions
—
(2,526)
(2,526)
$
1,5
88
$
(2,527)
$
(
939
)
$
—
$
(
939
)
BMO
Capital
Markets
Foreign
Currency
Contracts
21
(11)
10
$
21
$
(11)
$
10
$
—
$
10
BNP
Paribas
Foreign
Currency
Contracts
17
(7)
10
$
17
$
(7)
$
10
$
—
$
10
CIBC
World
Markets
Foreign
Currency
Contracts
—
(21)
(21)
$
—
$
(21)
$
(21)
$
—
$
(21)
Citigroup
Inc
Foreign
Currency
Contracts
12
(23)
(11)
Purchased
Options
3
—
3
$
15
$
(23)
$
(8)
$
—
$
(8)
Deutsche
Bank
AG
Purchased
Capped
Options
2
—
2
Foreign
Currency
Contracts
—
(1)
(1)
Purchased
Interest
Rate
Swaptions
222
—
222
Written
Interest
Rate
Swaptions
—
(827)
(827)
Written
Options
—
(3)
(3)
Written
Capped
Options
—
(1)
(1)
$
224
$
(832)
$
(608)
$
—
$
(608)
Goldman
Sachs
&
Co
Foreign
Currency
Contracts
30
(96)
(66)
$
30
$
(96)
$
(66)
$
—
$
(66)
HSBC
Securities
Inc
Foreign
Currency
Contracts
195
(250)
(55)
$
195
$
(250)
$
(55)
$
—
$
(55)
JPMorgan
Chase
Purchased
Capped
Options
3
—
3
Purchased
Interest
Rate
Swaptions
432
—
432
Purchased
Options
68
—
68
Written
Interest
Rate
Swaptions
—
(222)
(222)
Written
Capped
Options
—
(1)
(1)
$
503
$
(223)
$
280
$
(210)
^
$
70
M3
Capital
Partners
Total
Return
Swaps
—
(6,008)
**
(6,008)
$
—
$
(6,008)
**
$
(6,008)
$
—
$
(6,008)
Morgan
Stanley
&
Co
Foreign
Currency
Contracts
109
(199)
(90)
Purchased
Interest
Rate
Swaptions
143
—
143
Written
Interest
Rate
Swaptions
—
(261)
(261)
$
252
$
(460)
$
(208)
$
—
$
(208)
Societe
Generale
Total
Return
Swaps
—
(1,631)
**
(1,631)
$
—
$
(1,631)
**
$
(1,631)
$
1,631
^^
$
—
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
40
Assets
*
Liabilities
*
Net
Market
Value
of
OTC
Derivatives
Collateral
(Received)/
Pledged
Net
Exposure
Diversified
Real
Asset
Fund
(continued)
Standard
Chartered
Bank,
Hong
Kong
Foreign
Currency
Contracts
$
400
$
(406)
$
(6)
$
400
$
(406)
$
(6)
$
—
$
(6)
Westpac
Banking
Corporation
Foreign
Currency
Contracts
36
(21)
15
$
36
$
(21)
$
15
$
—
$
15
Total
OTC
$
3,367
$
(17,629)
$
(14,262)
$
6,360
^^
$
(7,902)
Global
Multi-Strategy
Fund
Bank
of
America
NA
Foreign
Currency
Contracts
2,237
(2,959)
(722)
Interest
Rate
Swaps
347
—
347
Purchased
Interest
Rate
Swaptions
1,044
—
1,044
Purchased
Options
64
—
64
Written
Interest
Rate
Swaptions
—
(741)
(741)
$
3,692
$
(3,700)
$
(8)
$
8
^^
$
—
Bank
of
New
York
Mellon
Foreign
Currency
Contracts
1,358
(540)
818
$
1,358
$
(540)
$
818
$
—
$
818
Barclays
Bank
PLC
Credit
Default
Swaps
151
—
15
1
Foreign
Currency
Contracts
3,490
(4,402)
(912)
Interest
Rate
Swaps
24
(84)
(60)
Purchased
Options
118
—
118
Written
Options
—
(6)
(6)
$
3,78
3
$
(4,492)
$
(70
9
)
$
110
^^
$
(59
9
)
BNP
Paribas
Purchased
Options
4
—
4
$
4
$
—
$
4
$
—
$
4
Citigroup
Inc
Credit
Default
Swaps
97
(66)
31
Foreign
Currency
Contracts
135
(78)
57
Interest
Rate
Swaps
—
(93)
(93)
Purchased
Options
77
—
77
Total
Return
Swaps
64
—
64
Written
Options
—
(13)
(13)
$
373
$
(250)
$
123
$
—
$
123
Deutsche
Bank
AG
Foreign
Currency
Contracts
6
—
6
Purchased
Options
24
—
24
$
30
$
—
$
30
$
—
$
30
Goldman
Sachs
&
Co
Credit
Default
Swaps
—
(66)
(66)
Equity
Basket
Swaps
27
(212)
(185)
Foreign
Currency
Contracts
282
(29)
253
Purchased
Options
162
—
162
Written
Options
—
(37)
(37)
$
471
$
(344)
$
127
$
—
$
127
HSBC
Securities
Inc
Foreign
Currency
Contracts
358
(212)
146
Total
Return
Swaps
269
—
269
$
627
$
(212)
$
415
$
—
$
415
Jefferies
&
Company
Purchased
Options
1
—
1
$
1
$
—
$
1
$
—
$
1
JPMorgan
Chase
Credit
Default
Swaps
—
(18
0
)
(18
0
)
Equity
Basket
Swaps
216
(290)
(74)
Foreign
Currency
Contracts
200
—
200
Interest
Rate
Swaps
80
(38)
42
Total
Return
Swaps
26
—
26
Written
Options
—
(41)
(41)
$
522
$
(5
49
)
$
(2
7
)
$
2
7
^^
$
—
Merrill
Lynch
Foreign
Currency
Contracts
105
(216)
(111)
$
105
$
(216)
$
(111)
$
—
$
(111)
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
41
Financial
Derivative
Instrument:
Repurchase
Agreements
and
Reverse
Repurchase
Agreements
Global
Multi-Strategy
Fund
Cross
Trades. 
The
Funds
may
engage
in
cross
trades.
A
cross
trade
is
a
purchase
or
sale
transaction
between
affiliated
portfolios
executed
directly
or
through
an
intermediary.
Mutual
funds
and
other
managed
portfolios
may
be
considered
affiliated
if
they
have
a
common
investment
advisor,
so
a
fund
may
be
considered
affiliated
with
any
portfolio
for
which
the
fund's
sub-advisor
acts
as
an
investment
advisor.
Such
transactions
are
permissible
provided
that
the
conditions
of
Rule
17a-7
under
the
Investment
Company
Act
of
1940
are
satisfied. 
Deposits
with
Counterparty.
Cash
pledged
as
collateral
is
reflected
as
an
asset
on
the
statements
of
assets
and
liabilities
as
deposits
with
counterparty.
There
are
a
variety
of
security
types
which
require
varying
levels
of
pledged
collateral.
Customer
account
agreements
govern
cleared
derivatives
transactions
such
as
futures
contracts
and
certain
swap
agreements.
Such
transactions
require
posting
of
initial
margin
as
determined
by
each
relevant
clearing
agency
which
is
segregated
in
an
account
at
a
futures
commission
merchant
(“FCM”)
registered
with
the
Commodity
Futures
Trading
Commission.
International
Swaps
and
Derivatives
Association
(“ISDA”)
accounts
are
maintained
in
a
segregated
account
at
the
custodian
for
over-the-counter
("OTC")
derivatives.
Master
Securities
Forward
Transaction
Agreements
("MSFTA")
accounts
are
also
maintained
in
a
segregated
account
at
the
custodian
for
collateral
related
to
forward
currency
contracts
and
"to-be-announced"
("TBA")
securities.
Certain
of
the Funds may
pledge
cash
to
a
broker
for
securities
sold
short
and
repurchase
agreements.
As
of
February
29,
2020,
deposits
with
counterparty
were
as
follows
(amounts
in
thousands):
Assets
*
Liabilities
*
Net
Market
Value
of
OTC
Derivatives
Collateral
(Received)/
Pledged
Net
Exposure
Global
Multi-Strategy
Fund
(continued)
Morgan
Stanley
&
Co
Credit
Default
Swaps
$
194
$
(14)
$
180
Equity
Basket
Swaps
2,607
(1,381)
1,226
Foreign
Currency
Contracts
431
(7
1
)
3
60
Interest
Rate
Swaps
85
—
85
Purchased
Options
32
—
32
$
3,349
$
(1,46
6
)
$
1,88
3
$
—
$
1,88
3
Societe
Generale
Purchased
Options
6
—
6
$
6
$
—
$
6
$
—
$
6
Standard
Chartered
Hong
Kong
Purchased
Options
87
—
87
$
87
$
—
$
87
$
—
$
87
UBS
AG
Equity
Basket
Swaps
561
(655)
(94)
Foreign
Currency
Contracts
6
8
—
6
8
$
6
29
$
(655)
$
(2
6
)
$
2
6
^^
$
—
Total
OTC
$
15,0
37
$
(12,42
4
)
$
2,613
$
—
$
—
*
Represents
amount
of
offsetting
derivative
assets
or
liabilities
that
are
subject
to
an
enforceable
master
netting
agreement
or
similar
agreement
that
are
not
netted
against
the
gross
derivative
assets
or
liabilities
for
presentation
on
the
Statement
of
Assets
and
Liabilities.
**
Represents
derivatives
owned
by
the
Cayman
Subsidiary.
^
The
counterparty
has
pledged
cash
to
the
fund
as
collateral
in
a
segregated
account
which
is
not
included
in
the
assets
of
the
fund.
^^
The
fund
has
pledged
cash
to
the
counterparty
as
collateral
which
may
be
in
excess
of
the
amount
owed
to
the
counterparty.
Counterparty
Repurchase
Agreement
Proceeds
to
be
Received
Payable
for
Reverse
Repurchase
Agreements
Net
Receivable/(Payable)
Collateral
(Received)/Pledged
Net
Exposure
Barclays
Bank
$3,964
$(3,398)
$566
$—
$566
Merrill
Lynch
250,207
(407,532)
(157,325)
151,121
(6,204)
Repurchase
Agreements
FCM
(Futures
and
Cleared
Swaps)
ISDA
(OTC
Derivatives)
Shorts
Total
Deposits
with
Counterparty
Diversified
Real
Asset
Fund
$
—
$
3,150
$
13,110
$
—
$
16,260
Global
Multi-Strategy
Fund
5,498
18,221
20,727
91,178
135,624
International
Equity
Index
Fund
—
117
—
—
117
Spectrum
Preferred
and
Capital
Securities
Income
Fund
—
2,266
—
—
2,266
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
42
Deposits
from
Counterparty.
Cash
received
from
a
counterparty
as
collateral
is
reflected
as
a
liability
on
the
statements
of
assets
and
liabilities
as
deposits
from
counterparty.
There
are
a
variety
of
security
types
which
require
varying
levels
of
pledged
collateral.
The
collateral
posted
to
the Funds
by
the
broker
is
received
in
the
fund’s
custodian
account.
As
of
February
29,
2020,
deposits
from
counterparty
were
as
follows
(amounts
in
thousands):
Floating
Rate
Notes
Issued
in
Conjunction
with
Securities
Held.
Opportunistic
Municipal
Fund
has
entered
into
transactions
in
which
the
fund
transfers
fixed
rate
bonds
to
trusts
in
exchange
for
cash
and
residual
interests
in
the
trusts’
assets
and
cash
flows,
which
are
in
the
form
of
inverse
floating
rate
securities.
The
trusts
finance
the
purchases
of
the
fixed
rate
bonds
by
issuing
floating
rate
notes
to
third
parties.
The
fund
enters
into
shortfall
and
forbearance
agreements
with
the
trusts,
which
commit
the
fund
to
pay
the
trusts,
in
certain
circumstances,
the
difference
between
the
liquidation
value
of
the
fixed
rate
bonds
held
by
the
trusts
and
the
liquidation
value
of
the
floating
rate
notes
held
by
third
parties,
as
well
as
any
shortfalls
in
interest
cash
flows.
The
residual
interests
held
by
the
fund
(inverse
floating
rate
securities)
include
the
right
of
the
fund
(1)
to
cause
the
holders
of
the
floating
rate
notes
to
tender
their
notes
at
par
at
the
next
interest
rate
reset
date,
and
(2)
to
transfer
the
fixed
rate
bond
from
the
trusts
to
the
fund,
thereby
collapsing
the
trusts.
The
fund
accounts
for
the
transfer
of
bonds
to
the
trusts
as
secured
borrowings,
with
the
securities
transferred
remaining
in
the
fund’s
investment
assets,
and
the
related
floating
rate
notes
reflected
as
fund
liabilities
under
the
caption
“floating
rate
notes
issued”
in
the
statement
of
assets
and
liabilities.
The
fund
holds
the
"floating
rate
notes
issued"
in
which
the
carrying
value,
including
accrued
interest,
approximates
fair
value
for
financial
statement
purposes.
As
of
period
end,
the
“floating
rate
notes
issued”
payable
is
categorized
as
Level
2
within
the
disclosure
hierarchy.
The
balance
of
the
"floating
rate
notes
issued"
as
of February
29,
2020 was $5,428,000.
The
average
outstanding
balance
for
the
liability
during
the period
ended February
29,
2020
was
$5,428,000
at
a weighted
average
annual
interest
rate
of
1.98%.
The
notes
issued
by
the
trusts
have
interest
rates
that
reset
weekly,
and
the
floating
rate
note
holders
have
the
option
to
tender
their
notes
to
the
trusts
for
redemption
at
par
at
each
reset
date. 
Foreign
Currency
Contracts.
Certain
of
the
Funds
may
be
subject
to
foreign
currency
exchange
rate
risk
in
the
normal
course
of
pursuing
such
Funds’
investment
objectives.
The
Funds
may
use
foreign
currency
contracts
to
gain
exposure
to,
or
hedge
against
changes
in
the
value
of
foreign
currencies.
Certain
of
the
Funds
enter
into
forward
contracts
to
purchase
and
sell
foreign
currencies
at
a
specified
future
date
at
a
fixed
exchange
rate.
Forward
foreign
currency
contracts
are
valued
at
the
forward
rate,
and
are
marked-to-market
daily.
The
change
in
fair
value
is
recorded
by
the
Funds
as
an
unrealized
gain
or
loss.
When
the
contract
is
closed,
the
Funds
record
a
realized
gain
or
loss
equal
to
the
difference
between
the
value
of
the
contract
at
the
time
it
was
opened
and
the
value
at
the
time
it
was
closed.
The
use
of
forward
foreign
currency
contracts
does
not
eliminate
the
fluctuations
in
underlying
prices
of
the
Funds’
portfolio
securities,
but
it
does
establish
a
rate
of
exchange
that
can
be
achieved
in
the
future.
Although
forward
foreign
currency
contracts
limit
the
risk
of
loss
due
to
a
decline
in
the
value
of
the
hedged
currency,
they
also
limit
any
potential
gain
that
might
result
should
the
value
of
the
currency
increase.
In
addition,
the
Funds
could
be
exposed
to
risks
if
the
counterparties
to
the
contracts
are
unable
to
meet
the
terms
of
their
contracts
or
if
the
value
of
the
currency
changes
unfavorably
to
the
U.S.
dollar. 
Futures
Contracts.
The
Funds
are
subject
to
equity
price
risk,
interest
rate
risk,
and
foreign
currency
exchange
rate
risk
in
the
normal
course
of
pursuing
their
investment
objectives.
The
Funds
may
enter
into
futures
contracts
to
hedge
against
changes
in,
or
to
gain
exposure
to,
change
in
the
value
of
equities,
interest
rates
and
foreign
currencies.
Initial
margin
deposits
are
made
by
cash
deposits
or
segregation
of
specific
securities
as
may
be
required
by
the
exchange
on
which
the
transaction
was
conducted.
Pursuant
to
the
contracts,
a
fund
agrees
to
receive
from
or
pay
to
the
broker
an
amount
of
cash
equal
to
the
daily
fluctuation
in
the
value
of
the
contract.
Such
receipts
or
payments
are
known
as
“variation
margin”
and
are
recorded
by
the
fund
as
a
variation
margin
receivable
or
payable
on
financial
derivative
instruments.
Futures
contracts
are
marked
to
market
daily
at
the
closing
settlement
price
or
in
the
absence
of
such
a
price,
the
most
recent
quoted
bid
price.
If
there
are
no
quotations
available,
the
security
is
valued
at
the
last
available
closing
settlement
price.
During
the
period
the
futures
contracts
are
open,
daily
changes
in
the
fair
value
of
the
contracts
are
recognized
as
unrealized
gains
or
losses.
These
unrealized
gains
or
losses
are
included
as
a
component
of
total
distributable
earnings
(accumulated
loss)
on
the
statements
of
assets
and
liabilities.
When
the
contracts
are
closed,
the
fund
recognizes
a
realized
gain
or
loss
equal
to
the
difference
between
the
proceeds
from,
or
cost
of,
the
closing
transaction
and
the
fund’s
cost
basis
in
the
contract.
There
is
minimal
counterparty
credit
risk
to
the
Funds
because
futures
are
exchange
traded
and
the
exchange’s
clearinghouse,
as
counterparty
to
all
exchange
traded
futures,
guarantees
the
futures
against
default.
Illiquid
Securities.
Illiquid
securities
generally
cannot
be
sold
or
disposed
of
in
the
ordinary
course
of
business
(within
seven
calendar
days)
at
approximately
the
value
at
which
each
of
the
Funds
has
valued
the
investments.
This
may
have
an
adverse
effect
on
each
of
the
Funds’
ISDA
(OTC
Derivatives)
Diversified
Real
Asset
Fund
$
210
Global
Multi-Strategy
Fund
192
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
43
ability
to
dispose
of
particular
illiquid
securities
at
fair
value
and
may
limit
each
of
the
Funds’
ability
to
obtain
accurate
market
quotations
for
purposes
of
valuing
the
securities. 
Indemnification.
Under
the
Fund’s
by-laws,
present
and
past
officers,
directors,
and
employees
are
indemnified
against
certain
liabilities
arising
out
of
the
performance
of
their
duties.
In
addition,
in
the
normal
course
of
business,
the
Fund
may
enter
into
a
variety
of
contracts
that
may
contain
representations
and
warranties
which
provide
general
indemnifications.
The
Fund’s
maximum
exposure
under
these
arrangements
is
unknown,
as
this
would
involve
future
claims
that
may
be
made
against
the
Fund. 
Inflation-Indexed
Bonds.
Certain
of
the
Funds
may
invest
in
inflation-indexed
bonds.
Inflation-indexed
bonds
are
fixed-income
securities
whose
principal
value
is
periodically
adjusted
to
the
rate
of
inflation.
The
interest
rate
on
these
bonds
is
generally
fixed
at
issuance
at
a
rate
lower
than
typical
bonds.
Over
the
life
of
an
inflation-indexed
bond,
however,
interest
will
be
paid
based
on
a
principal
value,
which
is
adjusted
for
inflation.
Any
increase
or
decrease
in
the
principal
amount
of
an
inflation-indexed
bond
will
be
included
as
interest
income
on
the
statements
of
operations,
even
though
the
Funds
would
not
receive
the
principal
until
maturity.
Options
Contracts.
During
the
period, Diversified
Real
Asset
Fund,
Global
Multi-Strategy
Fund,
and
Spectrum
Preferred
and
Capital
Securities
Income
Fund
wrote
call
and
put
options
on
swaps,
securities,
indices
and
currencies
they
own
or
in
which
they
may
invest
for
both
hedging
and
non-hedging
purposes.
Writing
put
options
tends
to
increase
a
fund’s
exposure
to
the
underlying
instrument.
Writing
call
options
tends
to
decrease
a
fund’s
exposure
to
the
underlying
instrument.
When
a
fund
writes
a
call
or
put
option,
an
amount
equal
to
the
premium
received
is
recorded
as
a
liability
and
subsequently
marked
to
market
to
reflect
the
current
value
of
the
option
written.
These
liabilities
are
reflected
as
options
contracts
written
on
the
statements
of
assets
and
liabilities.
Premiums
received
from
writing
options
which
expire
are
treated
as
realized
gains.
Premiums
received
from
writing
options
which
are
exercised
or
closed
are
added
to
the
proceeds
or
offset
against
amounts
paid
on
the
underlying
swap,
security,
index
or
currency
transaction
to
determine
the
realized
gain
or
loss.
A
fund,
as
a
writer
of
an
option,
has
no
control
over
whether
the
underlying
swap,
security,
index
or
currency
may
be
sold
(call)
or
purchased
(put)
and
as
a
result
bears
the
market
risk
of
an
unfavorable
change
in
the
price
of
the
swap,
security,
index
or
currency
underlying
the
written
option.
There
is
the
risk
a
fund
may
not
be
able
to
enter
into
a
closing
transaction
because
of
an
illiquid
market.
The
maximum
potential
amount
of
future
payments
(undiscounted)
that
a
fund
as
a
writer
of
put
options
could
be
required
to
make
is
equal
to
the
notional
amount
multiplied
by
the
exercise
price
as
shown
in
the
schedule
of
investments.
A
fund
may
also
purchase
put
and
call
options.
Purchasing
call
options
tends
to
increase
a
fund’s
exposure
to
the
underlying
instrument.
Purchasing
put
options
tends
to
decrease
a
fund’s
exposure
to
the
underlying
instrument.
A
fund
pays
a
premium
which
is
included
on
the
fund’s
statements
of
assets
and
liabilities
as
an
investment
and
subsequently
marked
to
market
to
reflect
the
current
value
of
the
option.
Premiums
paid
for
purchasing
options
which
expire
are
treated
as
realized
losses.
The
risk
associated
with
purchasing
put
and
call
options
is
limited
to
the
premium
paid.
Premiums
paid
for
purchasing
options
which
are
exercised
or
closed
are
added
to
the
amounts
paid
or
offset
against
the
proceeds
on
the
underlying
swap,
security,
index
or
currency
transaction
to
determine
the
realized
gain
or
loss.
Details
of
options
contracts
open
at period
end
are
included
in
the
Funds'
schedules
of
investments. 
Rebates.
Subject
to
best
execution,
the
Funds
may
direct
certain
portfolio
transactions
to
brokerage
firms
that,
in
turn,
have
agreed
to
rebate
a
portion
of
the
related
brokerage
commission
to
the
Funds
in
cash.
Commission
rebates
are
included
as
a
component
of
realized
gain
from
investment
transactions
in
the
statements
of
operations. 
Repurchase
Agreements.
The
Funds
may
invest
in
repurchase
agreements
that
are
fully
collateralized,
typically
by
U.S.
government
or
U.S.
government
agency
securities.
It
is
the
Fund's
policy
that
the
counterparties’
custodian
takes
possession
of
the
underlying
collateral
securities.
The
fair
value
of
the
collateral
is
at
all
times
at
least
equal
to
the
total
amount
of
the
repurchase
obligation.
In
the
event
of
default
on
the
obligation
to
repurchase,
the
Funds
have
the
right
to
liquidate
the
collateral
and
apply
the
proceeds
in
satisfaction
of
the
obligation.
In
the
event
the
seller
of
a
repurchase
agreement
defaults,
the
Funds
could
experience
delays
in
the
realization
of
the
collateral. 
In
addition,
Global
Multi-Strategy
Fund
may
enter
into
repurchase
agreements
with
certain
counterparties
that
are
collateralized
by
assets
other
than
U.S.
government
or
U.S.
government
agency
securities.
The
collateral
pledged
by
the
counterparty
under
these
repurchase
agreements
is
maintained
in
a
segregated
account
at
the
counterparty’s
custodian.
After
entering
into
the
repurchase
agreement,
the
fund
may
sell
short
the
security
pledged
by
the
counterparty
as
collateral
in
anticipation
of
a
decline
in
market
value.
Upon
the
settlement
of
the
short
sale,
the
fund
will
unwind
the
repurchase
agreement.
Although
the
repurchase
agreements
are
typically
open-ended
through
the
maturity
date
of
the
collateral,
the
fund
has
a
right
to
terminate
the
repurchase
agreement
at
any
time
with
two
days’
notice.
During
periods
of
high
demand
for
the
collateral
security,
the
fund
may
also
pay
the
counterparty
a
fee
and
the
amount
is
recorded
as
interest
expense
on
the
statements
of
operations.
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
44
Global
master
repurchase
agreements
govern
the
repurchase
and
reverse
repurchase
transactions
between
the
fund
and
the
counterparty.
Collateral
requirements
for
certain
counterparties
may
be
determined
on
a
total
exposure
basis,
rather
than
on
an
individual
repurchase
agreement
or
reverse
repurchase
agreement
basis
in
order
to
determine
the
collateral
to
be
received
or
pledged.
Restricted
Securities.
Certain
of
the
Funds
may
invest
in
securities
that
are
subject
to
legal
or
contractual
restrictions
on
resale.
These
securities
generally
may
be
resold
in
transactions
exempt
from
registration
or
to
the
public
if
the
securities
are
registered.
Disposal
of
these
securities
may
involve
time-consuming
negotiations
and
expense,
and
prompt
sale
at
an
acceptable
price
may
be
difficult. 
Reverse
Repurchase
Agreements.
Global
Multi-Strategy
Fund
has
entered
into
reverse
repurchase
agreements.
Under
a
reverse
repurchase
agreement,
a
fund
sells
securities
and
agrees
to
repurchase
them
at
a
specified
date
and
price.
Reverse
repurchase
agreements
are
considered
to
be
borrowings
by
the
fund,
and
are
subject
to
the
fund’s
restrictions
on
borrowing.
Reverse
repurchase
agreements
may
increase
the
volatility
of
a
fund
and
involve
the
risk
that
interest
costs
on
money
borrowed
may
exceed
the
return
on
securities
purchased
with
the
borrowed
money.
While
a
reverse
repurchase
agreement
is
outstanding,
the
Fund
will
maintain
cash
or
appropriate
liquid
assets
to
cover
its
obligation
under
the
agreement.
The
Fund
will
enter
into
reverse
repurchase
agreements
only
with
parties
that
the
sub-advisor
deems
creditworthy.
The
fund
must
segregate
assets
in
an
amount
equal
to
the
amount
the
fund
owes
pursuant
to
the
terms
of
the
reverse
repurchase
agreements.
Reverse
repurchase
agreements
are
shown
as
a
separate
line
item
on
the
statements
of
assets
and
liabilities.
Interest
payments
made
are
shown
as
reverse
repurchase
agreement
interest
expense
on
the
statements
of
operations.
The
fund
holds
reverse
repurchase
agreements
in
which
the
carrying
value,
including
accrued
interest,
approximates
fair
value
for
financial
statement
purposes.
As
of
period
end,
the
reverse
repurchase
agreements
payable
is
categorized
as
Level
2
within
the
disclosure
hierarchy.
The
average
amount
of
borrowings
outstanding
during
the
period
ended
February
29,
2020
was
$472,338,000
at
a
weighted
average
interest
rate
of
1.949%.
The
following
table
shows
a
breakdown
of
the
obligations
owed
by
fund,
security
type
sold
and
remaining
maturity
for
the
reverse
repurchase
agreements.
Securities
Lending.
To
earn
additional
income,
certain
of
the
Funds
may
lend
portfolio
securities
to
approved
brokerage
firms.
The
Funds
receive
collateral,
in
the
form
of
cash,
against
the
loaned
securities.
During
the
period
of
the
loan,
the
borrower
must
maintain
collateral
in
an
amount
not
less
than
102%
of
the
market
value
of
the
domestic
and
foreign
fixed
income
loaned
securities
and
105%
of
the
market
value
of
the
foreign
equity
loaned
securities.
The
market
value
of
the
loaned
securities
is
determined
at
the
close
of
business
of
the
Funds
and
any
additional
required
collateral
is
delivered
to
the
Funds
on
the
next
business
day.
The
cash
collateral
received
is
usually
invested
in
a
SEC-
registered
money
market
mutual
fund
and
the
Funds
could
realize
a
loss
on
such
investments.
Further,
the
Funds
could
experience
a
delay
in
recovering
its
securities
and
possible
loss
of
income
or
value
if
the
borrower
fails
to
return
them.
Security
lending
income,
net
of
related
fees,
is
shown
on
the
statements
of
operations.
As
of
February
29,
2020
,
the
Funds
had
securities
on
loan
as
follows
(amounts
in
thousands):
Senior
Floating
Rate
Interests.
The
Funds
may
invest
in
senior
floating
rate
interests
(bank
loans).
Senior
floating
rate
interests
typically hold
the
most
senior
position
in
the
capital
structure
of
a
business
entity
(the
“Borrower”),
are
secured
by
specific
collateral
and
have
a
claim
on
the
assets
and/or
stock
of
the
Borrower
that
is
senior
to
that
held
by
subordinated
debtholders
and
stockholders
of
the
Borrower.
Senior
floating
rate
interests
are
typically
structured
and
administered
by
a
financial
institution
that
acts
as
the
agent
of
the
lenders
participating
in
the
senior
floating
rate
interest.
Borrowers
of
senior
floating
rate
interests
are
typically
rated
below-investment-grade,
which
means
they
are
more
likely
to
default
than
investment-grade
loans.
A
default
could
lead
to
non-payment
of
income
which
would
result
in
a
reduction
of
income
to
the
fund
and
there
can
be
no
assurance
that
the
liquidation
of
any
collateral
would
satisfy
the
Borrower’s
obligation
in
the
event
of
non-payment
of
scheduled
interest
or
principal
payments,
or
that
such
collateral
could
be
readily
liquidated.
Fund
Security
Type
Remaining
Contractual
Tenor
Payable
for
Reverse
Repurchase
Agreement
Global
Multi-Strategy
Fund
Corporate
Bonds
Overnight
and
Continuous
$
4,856
U.S.
Treasury
and
Agency
Securities
Overnight
and
Continuous
397,161
Corporate
Bonds
Greater
than
90
Days
3,782
Non-U.S.
Sovereign
Bonds
Greater
than
90
Days
1,733
U.S.
Treasury
and
Agency
Securities
Greater
than
90
Days
3,398
Gross
amount
of
recognized
liabilities
for
reverse
repurchase
agreements
$
410,930
Market
Value
Collateral
Value
Bond
Market
Index
Fund
$
12,979
$
13,115
Diversified
Real
Asset
Fund
9,466
9,826
International
Equity
Index
Fund
16,284
17,653
International
Small
Company
Fund
22,911
24,353
Small-MidCap
Dividend
Income
Fund
25,462
27,567
Small-MidCap
Growth
Fund
65
64
Spectrum
Preferred
and
Capital
Securities
Income
Fund
30,953
32,740
SystematEx
International
Fund
1,972
3,483
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
45
Senior
floating
rate
interests
pay
interest
at
rates
which
are
periodically
reset
by
reference
to
a
base
lending
rate
plus
a
spread.
These
base
lending
rates
are
generally
the
prime
rate
offered
by
a
designated
U.S.
bank
or
the
LIBOR
rate.
Senior
floating
rate
interests
generally
are
subject
to
mandatory
and/or
optional
prepayment.
Because
of
these
mandatory
prepayment
conditions
and
because
there
may
be
significant
economic
incentives
for
the
Borrower
to
repay,
prepayments
of
senior
floating
rate
interests
may
occur.
As
a
result,
the
actual
remaining
maturity
of
senior
floating
rate
interests
may
be
substantially
less
than
stated
maturities
shown
in
the
schedules
of
investments.
In
connection
with
the
senior
floating
rate
interests,
the
Funds
may
also
enter
into
unfunded
loan
commitments
(“commitments”).
All
or
a
portion
of
the
commitments
may
be
unfunded.
The
Funds
are
obligated
to
fund
these
commitments
at
the
Borrower’s
discretion.
Therefore,
the
Funds
must
have
funds
sufficient
to
cover
its
contractual
obligation.
Commitments
are
marked
to
market
daily
and
the
unrealized
gain
or
loss
is
shown
as
a
separate
line
item
called
unrealized
gain
or
loss
on
commitments
on
the
statements
of
assets
and
liabilities,
as
applicable.
As
of
February
29,
2020,
the
commitments
were
as
follows
(amounts
in
thousands):
Short
Sales.
Bond
Market
Index
Fund
and
Global
Multi-Strategy
Fund
entered
into
short
sales
transactions
during
the
period.
A
short
sale
is
a
transaction
in
which
a
fund
sells
a
security
it
does
not
own
as
a
hedge
against
some
of
its
long
positions
and/or
in
anticipation
of
a
decline
in
the
market
price
of
the
security.
The
fund
must
borrow
the
security
sold
short
and
deliver
it
to
the
broker
dealer
which
made
the
short
sale.
A
security
sold
in
a
short
sale
transaction
and
the
interest
or
dividend
payable
on
the
security
if
any,
is
reflected
as
a
liability
on
the
statements
of
assets
and
liabilities.
The
fund
is
obligated
to
pay
any
interest
or
dividends
received
on
the
borrowed
securities.
Interest
accrued
and
dividends
declared
on
short
positions
are
recorded
as
an
expense
and,
if
any,
appear
as
dividends
and
interest
on
shorts
on
the
statements
of
operations.
A
fund
is
obligated
to
deliver
the
security
at
the
market
price
at
the
time
the
short
position
is
closed.
Possible
losses
from
short
sales
may
be
unlimited.
The
fund
is
required
to
pledge
cash
or
securities
to
the
broker
as
collateral
for
securities
sold
short.
Collateral
requirements
are
calculated
daily
based
on
the
current
market
value
of
the
short
positions.
Cash
deposited
with
the
broker
for
collateral
is
included
in
deposits
with
counterparty
on
the
statements
of
assets
and
liabilities
and
securities
segregated
as
collateral
are
footnoted
in
the
schedule
of
investments.
The
fund
may
pay
broker’s
fees
on
the
borrowed
securities
and
may
also
pay
a
financing
charge
for
the
difference
in
the
market
value
of
the
short
position
and
cash
collateral
deposited
with
the
broker.
These
fees
are
included
as
short
sale
fees
on
the
statements
of
operations.
Swap
Agreements.
Diversified
Real
Asset
Fund
and
Global
Multi-Strategy
Fund
invested
in
swap
agreements
during
the
period.
Swap
agreements
are
negotiated
agreements
between
a
fund
and
a
counterparty
to
exchange
a
series
of
cash
flows
at
specified
intervals
based
upon,
or
calculated
by
reference
to,
changes
in
specified
prices
or
rates
for
a
specified
amount
of
an
underlying
asset.
A
fund
may
enter
into
credit
default,
currency,
interest
rate,
or
total
return
swap
agreements
to
manage
its
exposure
to
credit,
currency,
interest
rate,
or
market
risk.
In
connection
with
these
agreements,
securities
may
be
identified
as
collateral
in
accordance
with
the
terms
of
the
respective
swap
agreements
to
provide
assets
of
value
and
recourse
in
the
event
of
default
or
bankruptcy/insolvency.
Swap
agreements
are
valued
through
a
pricing
service
or
using
procedures
established
and
periodically
reviewed
by
the
Fund’s
Board
of
Directors.
Centrally
cleared
swaps
are
valued
using
the
last
traded
price
from
the
preliminary
trading
exchange.
OTC
swaps
are
modeled
taking
into
account
the
counterparties’
creditworthiness
and
using
a
series
of
techniques,
including
simulation
models.
Changes
in
value
are
recorded
as
unrealized
gain
or
loss
which
is
included
as
a
component
of
total
distributable
earnings
(accumulated
loss)
on
the
statements
of
assets
and
liabilities.
Upon
termination
of
swap
agreements,
the
Funds
recognize
a
realized
gain
or
loss.
Net
periodic
payments
to
be
received
or
paid
are
accrued
daily
and
are
recorded
in
the
statements
of
operations
as
realized
gains
or
losses.
Payments
received
or
made
at
the
beginning
of
the
measurement
period
are
reflected
as
such
on
the
statements
of
assets
and
liabilities
and
represent
payments
made
or
received
upon
entering
into
the
swap
agreement
to
compensate
for
differences
between
the
stated
terms
of
the
swap
agreement
and
prevailing
market
conditions
(credit
spreads,
interest
rates,
and
other
relevant
factors).
These
upfront
payments
are
amortized
daily
over
the
term
of
the
swap
agreement
as
realized
gains
or
losses
on
the
statements
of
operations.
Notional
principal
amounts
are
used
to
express
the
extent
of
involvement
in
these
agreements.
Risks
may
exceed
amounts
shown
on
the
statements
of
assets
and
liabilities.
These
risks
include
changes
in
the
returns
of
the
underlying
instruments,
unfavorable
interest
rate
Unfunded
Loan
Commitment
Unrealized
gain/loss
Diversified
Real
Asset
Fund
$
18,502
$
1,105
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
46
fluctuation,
that
the
counterparty
to
the
agreements
may
default
on
its
obligation
to
perform
or
disagree
as
to
the
meaning
of
contractual
terms
in
the
agreements,
and
the
possible
lack
of
liquidity
with
respect
to
the
swap
agreements.
The
Funds
and
any
counterparty
are
required
to
maintain
an
agreement
that
requires
the
Funds
and
that
counterparty
to
monitor
the
net
fair
value
of
all
derivative
transactions
entered
into
pursuant
to
the
contract
between
the
Funds
and
such
counterparty.
If
the
net
fair
value
of
such
derivatives
transactions
between
the
Funds
and
that
counterparty
exceeds
a
certain
threshold
(as
defined
in
the
agreement),
the
Funds
or
the
counterparty
are
required
to
post
cash
and/or
securities
as
collateral.
Fair
values
of
derivatives
transactions
presented
in
the
financial
statements
are
not
netted
with
the
fair
values
of
other
derivatives
transactions
or
with
any
collateral
amounts
posted
by
the
Funds
or
any
counterparty.
Credit
default
swaps
involve
commitments
to
pay
a
fixed
rate
at
a
predetermined
frequency
in
exchange
for
a
lump
sum
payment
if
a
“credit
event”,
as
defined
in
the
agreement,
affecting
a
third
party
occurs.
Credit
events
may
include
a
failure
to
pay
interest,
bankruptcy,
restructuring,
or
other
event
as
defined
in
the
agreement.
A
“buyer”
of
credit
protection
agrees
to
pay
a
counterparty
to
assume
the
credit
risk
of
an
issuer
upon
the
occurrence
of
a
credit
event.
The
“seller”
of
the
protection
receives
periodic
payments
and
agrees
to
assume
the
credit
risk
of
an
issuer
upon
the
occurrence
of
a
credit
event.
As
the
seller
of
credit
protection,
a
fund
would
add
leverage
to
its
portfolio
because,
in
addition
to
its
total
net
assets,
a
fund
would
be
subject
to
investment
exposure
on
the
notional
amount
of
the
swap.
If
a
fund
is
a
seller
of
protection
and
a
credit
event
occurs,
as
defined
under
the
terms
of
that
particular
swap
agreement,
the
fund
will
either
(i)
pay
to
the
buyer
of
protection
an
amount
equal
to
the
notional
amount
of
the
swap
and
take
delivery
of
the
referenced
obligation,
other
deliverable
obligations
or
underlying
securities
comprising
the
referenced
index
or
(ii)
pay
a
net
settlement
amount
in
the
form
of
cash
or
securities
equal
to
the
notional
amount
of
the
swap
less
the
recovery
value
of
the
referenced
obligation
or
underlying
securities
comprising
the
referenced
index.
If
a
fund
is
a
buyer
of
protection
and
a
credit
event
occurs,
as
defined
under
the
terms
of
that
particular
swap
agreement,
a
fund
will
either
(i)
receive
from
the
seller
of
protection
an
amount
equal
to
the
notional
amount
of
the
swap
and
deliver
the
referenced
obligation,
other
deliverable
obligations
or
underlying
securities
comprising
the
referenced
index
or
(ii)
receive
a
net
settlement
amount
in
the
form
of
cash
or
securities
equal
to
the
notional
amount
of
the
swap
less
the
recovery
value
of
the
referenced
obligation
or
underlying
securities
comprising
the
referenced
index.
Credit
default
swap
agreements
on
credit
indices
involve
one
party
making
a
stream
of
payments
to
another
party
in
exchange
for
the
right
to
receive
a
specified
return
in
the
event
of
a
write-down,
principal
shortfall,
interest
shortfall
or
default
of
all
or
part
of
the
referenced
entities
comprising
the
credit
index.
A
credit
index
is
a
basket
of
credit
instruments
or
exposures
designed
to
be
representative
of
some
part
of
the
credit
market
as
a
whole.
These
indices
are
made
up
of
reference
credits
that
are
judged
by
a
poll
of
dealers
to
be
the
most
liquid
entities
in
the
credit
default
swap
market
based
on
the
sector
of
the
index.
Components
of
the
indices
may
include,
but
are
not
limited
to,
investment
grade
securities,
high
yield
securities,
asset
backed
securities,
emerging
markets,
and/or
various
credit
ratings
within
each
sector.
Credit
indices
are
traded
using
credit
default
swaps
with
standardized
terms
including
a
fixed
spread
and
standard
maturity
dates.
An
index
credit
default
swap
references
all
the
names
in
the
index,
and
if
there
is
a
default,
the
credit
event
is
settled
based
on
that
name’s
weight
in
the
index.
The
composition
of
the
indices
changes
periodically,
usually
every
six
months,
and
for
most
indices,
each
name
has
an
equal
weight
in
the
index.
A
fund
may
use
credit
default
swaps
on
credit
indices
to
hedge
a
portfolio
of
credit
default
swaps
or
bonds,
which
is
less
expensive
than
it
would
be
to
buy
many
credit
default
swaps
to
achieve
a
similar
effect.
Credit
default
swaps
on
indices
are
benchmarks
for
protecting
investors
owning
bonds
against
default,
and
traders
use
them
to
speculate
on
changes
in
credit
quality.
Credit
default
swap
agreements
on
corporate
issues
or
sovereign
issues
involve
one
party
making
a
stream
of
payments
to
another
party
in
exchange
for
the
right
to
receive
a
specified
return
in
the
event
of
a
default
or
other
credit
event.
If
a
credit
event
occurs
and
cash
settlement
is
not
elected,
a
variety
of
other
deliverable
obligations
may
be
delivered
in
lieu
of
the
specific
referenced
obligation.
The
ability
to
deliver
other
obligations
may
result
in
a
cheapest-to-deliver
option
(the
buyer
of
protection’s
right
to
choose
the
deliverable
obligation
with
the
lowest
value
following
a
credit
event).
The
Funds
may
use
credit
default
swaps
on
corporate
issues
or
sovereign
issues
of
an
emerging
country
to
provide
a
measure
of
protection
against
defaults
of
the
issuers
(i.e.,
to
reduce
risk
where
the
Funds
own
or
have
exposure
to
the
referenced
obligation).
For
credit
default
swap
agreements
on
asset-backed
securities
and
credit
indices,
the
quoted
market
prices
and
resulting
values
serve
as
the
indicator
of
the
current
status
of
the
payment/performance
risk.
Wider
credit
spreads
and
increasing
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.
The
maximum
potential
amount
of
future
payments
(undiscounted)
that
a
fund
as
a
seller
of
protection
could
be
required
to
make
under
a
credit
default
swap
agreement
would
be
an
amount
equal
to
the
notional
amount
of
the
agreement.
Notional
amounts
of
all
credit
default
swap
agreements
outstanding
as
of
February
29,
2020
for
which
a
fund
is
the
seller
of
protection
are
disclosed
in
the
footnotes
to
the
schedules
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
47
of
investments.
These
potential
amounts
would
be
partially
offset
by
any
recovery
values
of
the
respective
referenced
obligations,
upfront
payments
received
upon
entering
into
the
agreement,
or
net
amounts
received
from
the
settlement
of
buy
protection
credit
default
swap
agreements
entered
into
by
a
fund
for
the
same
referenced
entity
or
entities.
Synthetic
futures,
which
are
total
return
swaps
on
futures
contracts,
along
with
equity
basket
swaps
generally
involve
the
commitment
to
receive
positive
returns
or
pay
negative
returns
on
a
specified
reference
security,
basket
of
securities,
security
index
or
index
component,
without
actually
owning
the
underlying
position.
Currency
swap
agreements
involve
the
commitment
to
exchange
cash
flows
on
a
notional
amount
based
on
changes
in
the
relative
values
of
the
specified
currencies.
Interest
rate
swaps
involve
the
commitment
to
exchange
fixed
or
floating
rate
cash
flows
based
on
changes
in
the
value
of
a
specific
reference
rate.
Certain
collateral
amounts
relate
to
exchange
cleared
swaps
which
are
not
subject
to
master
netting
agreements
with
counterparties.
To
Be
Announced
Securities.
The
Funds
may
trade
portfolio
securities
on
a
TBA
or
when-issued
basis.
In
a
TBA
or
when-issued
transaction,
the
Funds
commit
to
purchase
or
sell
securities
for
which
all
specific
information
is
not
known
at
the
time
of
the
trade.
Securities
purchased
on
a
TBA
or
when-issued
basis
are
not
settled
until
they
are
delivered
to
the
Funds,
normally
15
to
30
days
later.
These
transactions
are
subject
to
market
fluctuations
and
their
current
value
is
determined
in
the
same
manner
as
for
other
portfolio
securities. 
Underlying
Funds.
An
Underlying
Fund
to
a
fund
of
funds
may
experience
relatively
large
redemptions
or
purchases
as
the
fund
of
funds
periodically
reallocates
or
rebalances
its
assets.
These
transactions
may
accelerate
the
realization
of
taxable
income
if
sales
of
portfolio
securities
result
in
gains
and
could
increase
transaction
costs.
In
addition,
when
a
fund
of
funds
reallocates
or
redeems
significant
assets
away
from
an
Underlying
Fund,
the
loss
of
assets
to
the
Underlying
Fund
could
result
in
increased
expense
ratios
for
that
fund.
The
Manager
is
the
advisor
to
the
Fund,
Principal
Variable
Contracts
Funds,
Inc.,
and some
of
the
Underlying
Funds. 
The
Manager is
committed
to
minimizing
the
potential
impact
of
Underlying
Fund
risk
on
Underlying
Funds
to
the
extent
consistent
with
pursuing
the
investment
objectives
of
the
fund
of
funds
which
it
manages.
Each
may
face
conflicts
of
interest
in
fulfilling
its
responsibilities
to
all
such
funds.
Shareholder
reports
for
the
Underlying
Funds
can
be
found
at
www.prinicpalfunds.com.
As
of
February
29,
2020,
series
of
the
Fund
and
Principal
Variable
Contracts
Funds,
Inc.
owned
the
following
percentages,
in
the
aggregate,
of
the
outstanding
shares
of
the
Underlying Funds
listed
below:
U.S.
Government
Agencies
or
Government-Sponsored
Enterprises.
Certain
of
the
Funds
may
invest
in
U.S.
Government
agencies
or
government-sponsored
enterprises.
U.S.
Government
securities
are
obligations
of,
and
in
certain
cases,
guaranteed
by,
the
U.S.
Government
or
its
agencies.
The
U.S.
Government
does
not
guarantee
the
net
asset
value
of
the
Funds’
shares.
Some
U.S.
Government
securities
such
as
treasury
bills,
notes
and
bonds,
and
securities
guaranteed
by
the
Government
National
Mortgage
Association
(“GNMA”)
are
supported
by
the
full
faith
and
credit
of
the
U.S.
Government.
Other
securities,
such
as
those
of
the
Federal
Home
Loan
Bank,
are
supported
by
the
right
of
the
issuer
to
borrow
from
the
U.S.
Department
of
the
Treasury.
Still
other
securities,
such
as
those
of
the
Federal
National
Mortgage
Association
(“FNMA”),
are
supported
by
the
discretionary
authority
of
the
U.S.
Government
to
purchase
the
agency’s
obligations.
Government
related
guarantors
(those
not
backed
by
the
full
faith
and
credit
of
the U.S.
Government)
include
the FNMA
and
the
Federal
Home
Loan
Mortgage
Corporation
(“FHLMC”).
The
FNMA
is
a
government
sponsored
corporation,
the
common
stock
of
which
is
owned
entirely
by
private
stockholders.
The
FNMA
purchases
conventional
residential
mortgages
from
a
list
of
approved
seller/servicers
which
include
state
and
federally
chartered
savings
and
loan
associations,
mutual
savings
banks,
commercial
banks,
credit
unions,
and
mortgage
Fund
Total
Percentage
of
Outstanding
Shares
Owned
Blue
Chip
Fund
42.31%
Bond
Market
Index
Fund
90.85
Diversified
Real
Asset
Fund
14.66
Edge
MidCap
Fund
90.02
International
Equity
Index
Fund
52.66
International
Small
Company
Fund
88.46
Origin
Emerging
Markets
Fund
52.17
Spectrum
Preferred
and
Capital
Securities
Income
Fund
6.68
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
48
bankers.
Pass-through
securities
issued
by
the
FNMA
are
guaranteed
as
to
the
timely
payment
of
principal
and
interest
by
the
FNMA,
but
are
not
backed
by
the
full
faith
and
credit
of
the
U.S.
Government.
The
FHLMC
issues
participation
certificates,
which
are
pass-through
securities,
each
representing
an
undivided
interest
in
a
pool
of
residential
mortgages.
The
FHLMC
guarantees
the
timely
payment
of
interest
and
ultimate
collection
of
principal,
but
participation
certificates
are
not
backed
by
the
full
faith
and
credit
of
the
U.S.
Government. 
Derivatives.
The
following
tables
provide
information
about
where
in
the
statements
of
assets
and
liabilities
and
statements
of
operations
information
about
derivatives
can
be
found
(amounts
in
thousands):
Asset
Derivatives
February
29,
2020
Liability
Derivatives
February
29,
2020
Derivatives
not
accounted
for
as
hedging
instruments
Statement
of
Assets
and
Liabilities
Location
Fair
Value
Statement
of
Assets
and
Liabilities
Location
Fair
Value
Diversified
Real
Asset
Fund
Commodity
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
4,744
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
33,488
*
Foreign
exchange
contracts
Receivables
$
977
Payables
$
1,213
Interest
rate
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
10,767
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
12,937
*
Total
$
16,488
$
47,638
Global
Multi-Strategy
Fund
Commodity
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
1,381
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
971
*
Credit
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
1,223
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
326
*
Equity
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
12,631
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
10,280
*
Foreign
exchange
contracts
Receivables
$
9,256
*
Payables
$
8,617
*
Interest
rate
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
6,434
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
7,759
*
Total
$
30,925
$
27,953
International
Equity
Index
Fund
Equity
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
—
Payables,
Total
distributable
earnings
(accumulated
loss)
$
265
*
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Interest
rate
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
75
Payables,
Total
distributable
earnings
(accumulated
loss)
$
13
*
*
Includes
cumulative
unrealized
appreciation/depreciation
of
futures
contracts
as
shown
in
the
schedules
of
investments.
Only
the
portion
of
the
unrealized
appreciation/depreciation
not
yet
cash
settled
is
shown
in
the
statements
of
assets
and
liabilities
as
variation
margin.
Derivatives
not
accounted
for
as
hedging
instruments
Location
of
Gain
or
(Loss)
on
Derivatives
Recognized
in
Statement
of
Operations
Net
Realized
Gain
or
(Loss)
on
Derivatives
Recognized
in
Statement
of
Operations
Net
Change
in
Unrealized
Appreciation/
(Depreciation)
of
Derivatives
Recognized
in
Statement
of
Operations
Diversified
Real
Asset
Fund
Commodity
contracts
Net
realized
gain
(loss)
from
Futures
contracts
and
Swap
agreements/Net
change
in
unrealized
appreciation/(depreciation)
of
Futures
contracts
and
Swap
agreement
$
4,362
$
(33,160)
Foreign
exchange
contracts
Net
realized
gain
(loss)
from
Investment
transactions,
Foreign
currency
contracts,
and
Options
and
swaptions/Net
change
in
unrealized
appreciation/(depreciation)
of
Investments,
Foreign
currency
contracts,
and
Options
and
swaptions.
$
(110)
$
87
Interest
rate
contracts
Net
realized
gain
(loss)
from
Investment
transactions,
Futures
contracts,
Options
and
swaptions,
and
Swap
agreements/Net
change
in
unrealized
appreciation/(depreciation)
of
Investments,
Futures
contracts,
Options
and
swaptions,
and
Swap
agreements
$
(3,581)
$
4,044
Total
$
671
$
(29,029)
Global
Multi-Strategy
Fund
Commodity
contracts
Net
realized
gain
(loss)
from
Futures
contracts/
Net
change
in
unrealized
appreciation/
(depreciation)
of
Futures
contracts
$
(241)
$
(1,987)
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
49
Long
equity
futures
contracts
are
used
to
obtain
market
exposure
for
the
cash
balances
that
are
maintained
by
certain
of
the
Funds
and
the
notional
values
of
the
futures
contracts
will
vary
in
accordance
with
changing
cash
balances.
Long
and
short
U.S.
Treasury
futures
contracts
are
used
to
obtain
interest
rate
exposure
in
order
to
manage
duration
of
Diversified
Real
Asset
Fund
and
Global
Multi-Strategy
Fund.
The
Spectrum
Preferred
and
Capital
Securities
Income
Fund
uses
long
and
short
U.S.
Treasury
futures
and
options
on
those
listed
U.S.
Treasury
future
contracts
to
mitigate
interest
rate
volatility
and
for
income
generation.
The
notional
values
of
the
futures
contracts
will
vary
in
accordance
with
changing
duration
of
these
funds.
The
following
table
includes
a
summary
of
the
average
quarterly
outstanding
notional
by
derivative
instrument
type
for
the
year
ended
February
29,
2020
(amounts
in
thousands):
Derivatives
not
accounted
for
as
hedging
instruments
Location
of
Gain
or
(Loss)
on
Derivatives
Recognized
in
Statement
of
Operations
Net
Realized
Gain
or
(Loss)
on
Derivatives
Recognized
in
Statement
of
Operations
Net
Change
in
Unrealized
Appreciation/
(Depreciation)
of
Derivatives
Recognized
in
Statement
of
Operations
Credit
contracts
Net
realized
gain
(loss)
from
Swap
agreements/
Net
change
in
unrealized
appreciation/
(depreciation)
of
Swap
agreements
$
(484)
$
838
Equity
contracts
Net
realized
gain
(loss)
from
Investment
transactions,
Futures
contracts,
Options
and
swaptions,
and
Swap
agreements/Net
change
in
unrealized
appreciation/(depreciation)
of
Investments,
Futures
contracts,
Options
and
swaptions,
and
Swap
agreements
$
(2,734)
$
(2,206)
Foreign
exchange
contracts
Net
realized
gain
(loss)
from
Investment
transactions,
Foreign
currency
contracts,
Futures
contracts,
and
Options
and
swaptions/Net
change
in
unrealized
appreciation/(depreciation)
of
Investments,
Foreign
currency
contracts,
Futures
contracts,
and
Options
and
swaptions.
$
2,004
$
(4,803)
Interest
rate
contracts
Net
realized
gain
(loss)
from
Investment
transactions,
Futures
contracts,
Options
and
swaptions,
and
Swap
agreements/Net
change
in
unrealized
appreciation/(depreciation)
of
Investments,
Futures
contracts,
Options
and
swaptions,
and
Swap
agreements
$
(912)
$
3,881
Total
$
(2,367)
$
(4,277)
International
Equity
Index
Fund
Equity
contracts
Net
realized
gain
(loss)
from
Futures
contracts/
Net
change
in
unrealized
appreciation/
(depreciation)
of
Futures
contracts
$
459
$
(179)
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Interest
rate
contracts
Net
realized
gain
(loss)
from
Investment
transactions,
Futures
contracts,
and
Options
and
swaptions
/Net
change
in
unrealized
appreciation/
(depreciation)
of
Investments,
Futures
contracts,
and
Options
and
swaptions
$
(2,317)
$
43
Contract
Type
Derivative
Type
Average
Notional
Diversified
Real
Asset
Fund
Commodity
Contracts
Futures
-
Long
$353,799
Futures
-
Short
226,769
Total
Return
Swaps
-
Receive
Floating
Rate
231,631
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
-
Contracts
to
Accept
665,885
Foreign
Currency
Contracts
-
Contracts
to
Deliver
697,808
Purchased
Options
16,828
Written
Options
39,424
Interest
Rate
Contracts
Exchange
Cleared
Interest
Rate
Swaps
-
Pay
Floating
Rate
455,992
Exchange
Cleared
Interest
Rate
Swaps
-
Receive
Floating
Rate
353,529
Futures
-
Long
138,188
Futures
-
Short
92,562
Purchased
Capped
Options
41,503
Purchased
Interest
Rate
Swaptions
164,077
Purchased
Options
990
Written
Capped
Options
44,328
Written
Interest
Rate
Swaptions
720,936
Written
Options
623
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
50
4.
Fair
Valuation
Fair
value
is
defined
as
the
price
that
the
Funds
would
receive
upon
selling
a
security
or
transferring
a
liability 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
may
use
one
or
more
of
the
following
approaches:
market,
income
and/or
cost.
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
fund's
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.
Contract
Type
Derivative
Type
Average
Notional
Global
Multi-Strategy
Fund
Commodity
Contracts
Futures
-
Long
$34,135
Futures
-
Short
40,779
Synthetic
Futures
-
Long
2,391
Synthetic
Futures
-
Short
8,156
Credit
Contracts
Credit
Default
Swaps
–
Buy
Protection
30,420
Credit
Default
Swaps
–
Sell
Protection
5,988
Exchange
Cleared
Credit
Default
Swaps
–
Buy
Protection
15,587
Equity
Contracts
Futures
-
Long
79,915
Futures
-
Short
98,207
Purchased
Options
175
Synthetic
Futures
-
Long
3,093
Synthetic
Futures
-
Short
240
Total
Return
Equity
Basket
Swaps
150,865
Total
Return
Swaps
–
Pay
Floating
Rate
2,556
Total
Return
Swaps
–
Receive
Floating
Rate
2,817
Written
Options
115
Foreign
Exchange
Contracts
Currency
Swaps
-
Contracts
to
Accept
10,878
Currency
Swaps
-
Contracts
to
Deliver
10,882
Foreign
Currency
Contracts
-
Contracts
to
Accept
571,752
Foreign
Currency
Contracts
-
Contracts
to
Deliver
760,106
Futures
-
Long
2,694
Futures
-
Short
4,028
Purchased
Options
181,947
Written
Options
68,721
Interest
Rate
Contracts
Exchange
Cleared
Interest
Rate
Swaps
-
Pay
Floating
Rate
79,726
Exchange
Cleared
Interest
Rate
Swaps
-
Receive
Floating
Rate
3,544,831
Futures
-
Long
722,327
Futures
-
Short
300,365
Interest
Rate
Swaps
-
Pay
Floating
Rate
27,986
Interest
Rate
Swaps
-
Receive
Floating
Rate
29,241
Purchased
Interest
Rate
Swaptions
120,579
Purchased
Options
4,738
Synthetic
Futures
-
Long
36,571
Synthetic
Futures
-
Short
24,069
Total
Return
Swaps
–
Pay
Floating
Rate
10,717
Total
Return
Swaps
–
Receive
Floating
Rate
11,923
Written
Interest
Rate
Swaptions
36,553
Written
Options
5,420
International
Equity
Index
Fund
Equity
Contracts
Futures
-
Long
4,907
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Interest
Rate
Contracts
Futures
-
Short
20,153
Purchased
Options
4,030
Written
Options
6,020
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
51
The
three-tier
hierarchy
of
inputs
is
summarized
in
the
three
broad
levels
listed
below.
●
Level
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.
●
Level
2
–
Other
significant
observable
inputs
(including
quoted
prices
for
similar
investments,
interest
rates,
prepayment
speeds,
credit
risk,
etc.).
Investments
which
are
generally
included
in
this
category
include
certain
foreign
equities,
corporate
bonds,
senior
floating
rate
interests,
municipal
bonds,
and
U.S.
Government
and
Government
Agency
Obligations.
●
Level
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
common
stocks,
corporate
bonds,
mortgage
backed
securities
or
senior
floating
rate
interests.
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
Funds'
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,
when
available. 
Investments
which
are
included
in
the
Level
3
category
may
be
valued
using
indicative
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.
Benchmark
pricing
procedures
set
the
base
price
of
a
security
based
on
current
market
data.
The
base
price
may
be
a
broker-
dealer
quote,
transaction
price,
or
internal
value
based
on
relevant
market
data.
The
fair
values
of
these
securities
are
dependent
on
economic,
political,
and
other
considerations.
The
values
of
such
securities
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
(“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
at
least
monthly
and
reports
directly
to
the
Board
of
Directors.
A
pricing
group
(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
approaches
established
for
each
asset
class.
The
Pricing
Group
will
consider
all
appropriate
information
available
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. 
4.
Fair
Valuation
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
52
The
inputs
or
methodology
used
for
valuing
securities
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
instruments.
The
following
is
a
summary
of
the
inputs
used
as
of February
29,
2020
in
valuing
the
Funds'
securities
carried
at
value
(amounts
in
thousands):
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
Blue
Chip
Fund
Common
Stocks*
$
5,092,123
$
—
$
—
$
5,092,123
Investment
Companies
3
—
—
3
Total
investments
in
securities
$
5,092,126
$
—
$
—
$
5,092,126
Bond
Market
Index
Fund
Bonds*
—
825,658
—
825,658
Investment
Companies
153,606
—
—
153,606
Municipal
Bonds*
—
16,232
—
16,232
U.S.
Government
&
Government
Agency
Obligations*
—
1,685,766
—
1,685,766
Total
investments
in
securities
$
153,606
$
2,527,656
$
—
$
2,681,262
Diversified
Real
Asset
Fund
Bonds*
—
397,151
—
397,151
Commodity
Indexed
Structured
Notes*
—
12,809
—
12,809
Common
Stocks
Basic
Materials
155,672
144,807
—
300,479
Communications
5,808
1,888
12
7,708
Consumer,
Cyclical
12,136
11,028
33
23,197
Consumer,
Non-cyclical
49,506
76,683
41
126,230
Energy
278,122
87,609
—
365,731
Financial
247,431
140,502
—
387,933
Industrial
106,531
95,871
—
202,402
Technology
5,465
—
—
5,465
Utilities
212,539
300,124
—
512,663
Investment
Companies
127,378
—
—
127,378
Senior
Floating
Rate
Interests*
—
590,912
—
590,912
U.S.
Government
&
Government
Agency
Obligations*
—
661,916
—
661,916
Purchased
Interest
Rate
Swaptions
—
2,314
—
2,314
Purchased
Capped
Options
—
76
—
76
Purchased
Options
373
71
—
444
Total
investments
in
securities
$
1,200,961
$
2,523,761
$
86
$
3,724,808
Assets
Commodity
Contracts
Futures**
4,744
—
—
4,744
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
—
906
—
906
Interest
Rate
Contracts
Exchange
Cleared
Interest
Rate
Swaps**
—
6,978
—
6,978
Futures**
1,026
—
—
1,026
Liabilities
Commodity
Contracts
Futures**
(20,910)
—
—
(20,910)
Total
Return
Swaps
—
(12,578)
—
(12,578)
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
—
(1,210)
—
(1,210)
Written
Options
—
(3)
—
(3)
Interest
Rate
Contracts
Capped
Options
—
(2)
—
(2)
Exchange
Cleared
Interest
Rate
Swaps**
—
(7,374)
—
(7,374)
Futures**
(1,585)
—
—
(1,585)
Interest
Rate
Swaptions
—
(3,836)
—
(3,836)
Written
Options
(140)
—
—
(140)
Edge
MidCap
Fund
Common
Stocks
Basic
Materials
29,874
—
—
29,874
Communications
13,186
9,526
—
22,712
4.
Fair
Valuation
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
53
Reverse
Repurchase
Agreements
—
(410,931)
—
(410,931)
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
Edge
MidCap
Fund
Consumer,
Cyclical
$
69,278
$
—
$
—
$
69,278
Consumer,
Non-cyclical
99,143
—
—
99,143
Energy
20,537
—
—
20,537
Financial
135,806
—
—
135,806
Industrial
136,658
—
—
136,658
Technology
88,054
—
—
88,054
Utilities
46,134
—
—
46,134
Investment
Companies
18,968
—
—
18,968
Total
investments
in
securities
$
657,638
$
9,526
$
—
$
667,164
Global
Multi-Strategy
Fund
Bonds*
—
346,576
864
347,440
Common
Stocks
Basic
Materials
6,692
9,484
—
16,176
Communications
26,549
6,306
470
33,325
Consumer,
Cyclical
33,096
12,349
27
45,472
Consumer,
Non-cyclical
56,471
15,696
726
72,893
Diversified
5
139
—
144
Energy
8,769
2,027
39
10,835
Financial
42,358
11,445
2,678
56,481
Industrial
36,162
15,394
—
51,556
Technology
43,223
5,674
337
49,234
Utilities
4,837
2,468
—
7,305
Convertible
Bonds*
—
2,303
—
2,303
Convertible
Preferred
Stocks
Communications
—
—
200
200
Consumer,
Cyclical
—
—
60
60
Consumer,
Non-cyclical
693
—
—
693
Energy
69
—
—
69
Investment
Companies
121,596
—
—
121,596
Municipal
Bonds*
—
561
—
561
Preferred
Stocks
Basic
Materials
—
48
—
48
Communications
—
—
3
3
Consumer,
Cyclical
—
275
—
275
Energy
—
—
2,716
2,716
Financial
—
—
281
281
Technology
—
—
131
131
Repurchase
Agreements*
—
254,171
—
254,171
Senior
Floating
Rate
Interests*
—
15,295
—
15,295
U.S.
Government
&
Government
Agency
Obligations*
—
464,508
—
464,508
Purchased
Interest
Rate
Swaptions
—
1,044
—
1,044
Purchased
Options
3,561
575
—
4,136
Total
investments
in
securities
$
384,081
$
1,166,338
$
8,532
$
1,558,951
Short
Sales
Bonds
—
(14,979)
—
(14,979)
Common
Stocks
Basic
Materials
(3,690)
(4,466)
—
(8,156)
Communications
(7,106)
(2,236)
—
(9,342)
Consumer,
Cyclical
(12,961)
(5,601)
—
(18,562)
Consumer,
Non-cyclical
(18,346)
(4,454)
—
(22,800)
Diversified
—
(88)
—
(88)
Energy
(7,253)
(350)
—
(7,603)
Financial
(14,594)
(5,259)
—
(19,853)
Industrial
(13,011)
(8,358)
—
(21,369)
Technology
(11,852)
(2,299)
—
(14,151)
Utilities
(7,152)
(2,204)
—
(9,356)
Preferred
Stocks
Consumer,
Non-cyclical
—
(259)
—
(259)
U.S.
Government
&
Government
Agency
Obligations
—
(272,460)
—
(272,460)
Total
Short
Sales
$
(95,965)
$
(323,013)
$
—
$
(418,978)
Assets
4.
Fair
Valuation
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
54
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
Global
Multi-Strategy
Fund
Credit
Contracts
Credit
Default
Swaps
$
—
$
44
2
$
—
$
44
2
Exchange
Cleared
Credit
Default
Swaps**
—
781
—
781
Commodity
Contracts
Futures**
1,
381
—
—
1,
38
1
Equity
Contracts
Futures**
6,004
—
—
6,004
Total
Return
Equity
Basket
Swaps
—
3,41
1
—
3,41
1
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
—
8,67
0
—
8,67
0
Futures**
11
—
—
11
Interest
Rate
Contracts
Exchange
Cleared
Interest
Rate
Swaps**
—
871
—
871
Futures**
3,279
—
—
3,279
Interest
Rate
Swaps
—
536
—
536
Total
Return
Swaps
—
359
—
359
Liabilities
Credit
Contracts
Credit
Default
Swaps
—
(326)
—
(326)
Commodity
Contracts
Futures**
(971)
—
—
(971)
Equity
Contracts
Futures**
(6,223)
—
—
(6,223)
Total
Return
Equity
Basket
Swaps
—
(2,538)
—
(2,538)
Written
Options
(1,519)
—
—
(1,519)
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
—
(8,507)
—
(8,507)
Futures**
(13)
—
—
(13)
Written
Options
—
(97)
—
(97)
Interest
Rate
Contracts
Exchange
Cleared
Interest
Rate
Swaps**
—
(5,634)
—
(5,634)
Futures**
(1,016)
—
—
(1,016)
Interest
Rate
Swaps
—
(215)
—
(215)
Interest
Rate
Swaptions
—
(741)
—
(741)
Written
Options
(153)
—
—
(153)
International
Equity
Index
Fund
Common
Stocks
Basic
Materials
—
60,406
—
60,406
Communications
502
60,660
—
61,162
Consumer,
Cyclical
292
126,290
—
126,582
Consumer,
Non-cyclical
2,341
271,348
—
273,689
Diversified
—
3,230
—
3,230
Energy
—
45,064
—
45,064
Financial
487
225,065
—
225,552
Industrial
—
133,616
—
133,616
Technology
3,731
46,472
—
50,203
Utilities
—
42,868
—
42,868
Investment
Companies
36,684
—
—
36,684
Preferred
Stocks
Basic
Materials
—
205
—
205
Consumer,
Cyclical
—
3,337
—
3,337
Consumer,
Non-cyclical
—
1,279
—
1,279
Industrial
—
641
—
641
Total
investments
in
securities
$
44,037
$
1,020,481
$
—
$
1,064,518
Liabilities
Equity
Contracts
Futures**
(265)
—
—
(265)
International
Small
Company
Fund
Common
Stocks
Basic
Materials
17,527
46,376
—
63,903
Communications
—
43,241
—
43,241
Consumer,
Cyclical
12,839
130,102
—
142,941
4.
Fair
Valuation
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
55
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
International
Small
Company
Fund
Consumer,
Non-cyclical
$
10,568
$
130,657
$
—
$
141,225
Energy
13,068
19,441
—
32,509
Financial
16,915
204,080
—
220,995
Industrial
15,832
134,065
—
149,897
Technology
14,671
59,082
—
73,753
Utilities
6,754
20,081
—
26,835
Investment
Companies
33,682
—
—
33,682
Total
investments
in
securities
$
141,856
$
787,125
$
—
$
928,981
Opportunistic
Municipal
Fund
Investment
Companies
416
—
—
416
Municipal
Bonds*
—
164,500
—
164,500
Total
investments
in
securities
$
416
$
164,500
$
—
$
164,916
Origin
Emerging
Markets
Fund
Common
Stocks
Basic
Materials
31,555
18,694
—
50,249
Communications
144,147
45,544
—
189,691
Consumer,
Cyclical
16,951
73,933
—
90,884
Consumer,
Non-cyclical
52,275
60,483
—
112,758
Energy
—
45,414
—
45,414
Financial
30,924
220,483
—
251,407
Industrial
11,851
134,120
—
145,971
Technology
131,463
160,208
—
291,671
Utilities
—
74,070
—
74,070
Investment
Companies
24,429
—
—
24,429
Preferred
Stocks
10,383
—
—
10,383
Total
investments
in
securities
$
453,978
$
832,949
$
—
$
1,286,927
Small-MidCap
Dividend
Income
Fund
Common
Stocks
Basic
Materials
37,983
—
—
37,983
Communications
29,486
—
—
29,486
Consumer,
Cyclical
280,259
—
—
280,259
Consumer,
Non-cyclical
185,686
—
—
185,686
Energy
88,547
—
—
88,547
Financial
707,338
18,136
—
725,474
Government
22,322
—
—
22,322
Industrial
336,021
—
—
336,021
Technology
164,016
—
—
164,016
Utilities
100,714
—
—
100,714
Investment
Companies
47,987
—
—
47,987
Total
investments
in
securities
$
2,000,359
$
18,136
$
—
$
2,018,495
Small-MidCap
Growth
Fund
Common
Stocks*
4,966
—
—
4,966
Investment
Companies
255
—
—
255
Total
investments
in
securities
$
5,221
$
—
$
—
$
5,221
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Bonds*
—
5,235,655
—
5,235,655
Convertible
Preferred
Stocks
Financial
40,713
—
—
40,713
Investment
Companies
141,332
—
—
141,332
Preferred
Stocks
Communications
102,047
122,467
—
224,514
Consumer,
Non-cyclical
—
24,221
—
24,221
Financial
541,931
18,571
—
560,502
Government
7,838
62,918
—
70,756
Utilities
180,457
2,217
—
182,674
Purchased
Options
75
—
—
75
Total
investments
in
securities
$
1,014,393
$
5,466,049
$
—
$
6,480,442
Liabilities
Interest
Rate
Contracts
4.
Fair
Valuation
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
56
*For
additional
detail
regarding
sector
classifications,
please
see
the
schedules
of
investments.
**Exchange
cleared
swaps
and
futures
are
presented
at
the
unrealized
appreciation/(depreciation)
of
the
instrument.
At
the
end
of
the
period,
there
were
no
Funds
which
had
a
significant
Level
3
balance.
During
the
period,
there
were
no
significant
purchases,
sales,
or
transfers
into
or
out
of
Level
3.
5.
Management
Agreement
and
Transactions
with
Affiliates
Management
Services.
The
Funds
have
agreed
to
pay
investment
advisory
and
management
fees
to
the
Manager
computed
at
an
annual
percentage
rate
of
each
of
the Funds'
average
daily
net
assets.
A
portion
of
the
management
fee
is
paid
by
the
Manager
to
the
sub-advisor
of
each
of
the
Funds,
some
of
which
are
affiliates
of
the
Manager.
The
annual
rates
used
in
this
calculation
for
each
of
the
Funds
are
as
follows:
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Futures**
$
(13)
$
—
$
—
$
(13)
SystematEx
International
Fund
Common
Stocks
Basic
Materials
—
14,109
—
14,109
Communications
—
16,013
—
16,013
Consumer,
Cyclical
—
37,424
—
37,424
Consumer,
Non-cyclical
—
52,808
—
52,808
Diversified
—
1,498
—
1,498
Energy
—
10,046
—
10,046
Financial
1,987
38,789
—
40,776
Industrial
—
21,498
—
21,498
Technology
870
9,635
—
10,505
Utilities
—
10,689
—
10,689
Investment
Companies
4,018
—
—
4,018
Total
investments
in
securities
$
6,875
$
212,509
$
—
$
219,384
Net
Assets
of
Fund
First
$500
million
Next
$500
million
Next
$500
million
Over
$1.5
billion
Edge
MidCap
Fund
(Effective
December
31,
2019)
.70%
.68%
.66%
.65%
Edge
MidCap
Fund
(Prior
to
December
31,
2019)
.75%
.73%
.71%
.70%
International
Small
Company
Fund
1.05
1.03
1.01
1.00
Opportunistic
Municipal
Fund
.50
.48
.46
.45
Origin
Emerging
Markets
Fund
(Effective
December
31,
2019)
1.05
1.03
1.01
1.00
Origin
Emerging
Markets
Fund
(Prior
to
December
31,
2019)
1.20
1.18
1.16
1.15
Small-MidCap
Growth
Fund
.70
.68
.66
.65
SystematEx
International
Fund
.60
.58
.56
.55
Net
Assets
of
Fund
First
$500
million
Next
$500
million
Next
$500
million
Next
$500
million
Next
$1
billion
Over
$3
billion
Blue
Chip
Fund
(Effective
December
31,
2019)
.65%
.63%
.61%
.60%
.59%
.58%
Blue
Chip
Fu
nd
(
Prior
to
December
31,
2019
)
.70%
.68%
.66%
.65%
.64%
.63%
Diversified
Real
Asset
Fund
.85
.83
.81
.80
.79
.78
Global
Multi-Strategy
Fund
1.60
1.58
1.56
1.55
1.54
1.53
Small-MidCap
Dividend
Income
Fund
(Effective
December
31,
2019)
.79
.77
.75
.74
.73
.72
Small-MidCap
Dividend
Income
Fund
(Prior
to
December
31,
2019)
.80
.78
.76
.75
.74
.73
Spectrum
Preferred
and
Capital
Securities
Income
Fund
.75
.73
.71
.70
.69
.68
All
Net
Assets
Bond
Market
Index
Fund
.14%
International
Equity
Index
Fund
.25
4.
Fair
Valuation
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
57
In
addition
to
the
management
fee,
R-1,
R-2,
R-3,
R-4,
and
R-5
classes
of
shares
of
the
Funds
pay
the
Manager
a
service
fee
and
an
administrative
service
fee
computed
at
an
annual
percentage
rate
of
each
class’s
average
daily
net
assets.
The
annual
rates
for
the
service
fee
are
.25%,
.25%,
.25%,
.25%,
and
.25%
and
the
annual
rates
for
the
administrative
service
fee
are
.28%,
.20%,
.07%,
.03%,
and
.01%
for
R-1,
R-2,
R-3,
R-4,
and
R-5,
respectively.
Class
A,
Class
C,
and
Institutional
shares
of
the
Funds
reimburse
Principal
Shareholder
Services,
Inc.
(the
“Transfer
Agent”)
(wholly
owned
by
the
Manager)
for
transfer
agent
services.
Class
J
shares
pay
the
Transfer
Agent
a
fee
for
the
services
provided
in
an
amount
that
includes
a
profit.
The
Manager
has
contractually
agreed
to
limit
the
expenses
(excluding
interest
expense,
expenses
related
to
fund
investments,
acquired
fund
fees
and
expenses,
and
other
extraordinary
expenses)
for
certain
classes
of
shares
of
certain
of
the
Funds.
The
reductions
and
reimbursements
are
in
amounts
that
maintain
total
operating
expenses
at
or
below
certain
limits.
The
limits
are
expressed
as
a
percentage
of
average
daily
net
assets
attributable
to
each
class
of
shares
on
an
annualized
basis
during
the
reporting
period. 
The
expenses
borne
by
the
Manager
are
subject
to
reimbursement
by
the
Funds
through
the
fiscal
year
end,
provided
no
reimbursement
will
be
made
if
it
would
result
in
the
Funds
exceeding
the
total
operating
expense
limits.
Any
amounts
outstanding
at
the
end
of
the
year
are
shown
as
an
expense
reimbursement
from
Manager or
expense
reimbursement
to
Manager
on
the
statements
of
assets
and
liabilities.
The
operating
expense
limits are
as
follows:
#
Prior
to
December
31,
2019,
the
contractual
limit
was
1.13%,
1.88,
and
.86%
for
Class
A,
Class
C,
and
Institutional,
respectively.
In
addition,
the
Manager
has
contractually
agreed
to
limit
R-6
expenses
other
than
management
and
investment
advisory
fees
and
distribution
fees
and,
if
necessary,
pay
expenses
normally
payable
by
the
Funds,
excluding
interest
expense,
expenses
related
to
fund
investments,
acquired
fund
fees
and
expenses,
and
other
extraordinary
expenses.
The
limits
are
expressed
as
a
percentage
of
average
daily
net
assets
attributable
to
R-6
shares
on
an
annualized
basis
during
the
reporting
period.
The
limits
are
as
follows:
Period
from
September
1,
2019
through
February
29,
2020
Class
A
Class
C
Institutional
Expiration
Blue
Chip
Fund
N/A
N/A
.66%
December
30,
2020
Bond
Market
Index
Fund
N/A
N/A
.16
December
30,
2020
Diversified
Real
Asset
Fund
1.22%
1.97%
.85
December
30,
2020
Edge
MidCap
Fund
1.10
N/A
.77
December
30,
2020
Global
Multi-Strategy
Fund
N/A
2.75
1.63
December
30,
2020
International
Equity
Index
Fund
N/A
N/A
.31
December
30,
2020
International
Small
Company
Fund
1.60
N/A
1.20
December
30,
2020
Opportunistic
Municipal
Fund
.84
N/A
.56
December
30,
2020
Origin
Emerging
Markets
Fund
1.60
N/A
1.20
December
30,
2020
Small-MidCap
Dividend
Income
Fund
1.12#
1.87#
.85#
December
30,
2020
Small-MidCap
Growth
Fund
N/A
N/A
.83
December
30,
2020
Spectrum
Preferred
and
Capital
Securities
Income
Fund
N/A
N/A
.81
December
30,
2020
SystematEx
International
Fund
N/A
N/A
.75
December
30,
2020
Period
from
September
1,
2019
through
February
29,
2020
Class
J
R-1
R-2
R-3
R-4
R-5
Expiration
Bond
Market
Index
Fund
.71%
1.04%
.91%
.73%
.54%
.42%
December
30,
2020
Period
from
September
1,
2019
through
February
29,
2020
R-6
Expiration
Blue
Chip
Fund
.01%
December
30,
2020
Diversified
Real
Asset
Fund
.02
December
30,
2020
Edge
MidCap
Fund
.02
December
30,
2020
Global
Multi-Strategy
Fund
.02
December
30,
2020
International
Equity
Index
Fund
.04
December
30,
2020
International
Small
Company
Fund
.04
December
30,
2020
Origin
Emerging
Markets
Fund
.04
December
30,
2020
Small-MidCap
Dividend
Income
Fund
.02
December
30,
2020
Spectrum
Preferred
and
Capital
Securities
Income
Fund
.02
December
30,
2020
SystematEx
International
Fund
.04
December
30,
2020
5.
Management
Agreement
and
Transactions
with
Affiliates
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
58
In
addition,
the
Manager
has
contractually
agreed
to
limit
certain
of
the
Funds'
management
and
investment
advisory
fees.
The
expense
limit
will
reduce
the
Funds'
management
and
investment
advisory
fees.
The
limits
are
expressed
as
a
percentage
of
average
daily
net
assets on
an
annualized
basis
during
the
reporting
period.
The
limits
are
as
follows:
^
Prior
to
December
31,
2019,
there
was
no
contractual
limit.
#Prior
to
December
31,
2019,
the
contractual
limit
was
.10%.
Amounts
owed
to
the
Funds
under
the
terms
of
the
expense
limitation
agreements
are
reflected
in
the
statements
of
assets
and
liabilities
as
expense
reimbursement
from
Manager
and
are
settled
periodically. 
Distribution
Fees.
The
Class
A,
Class
C,
Class
J,
R-1,
R-2,
R-3,
and
R-4
shares
of
the
Funds
bear
distribution
fees.
The
fee
is
computed
at
an
annual
rate
of
the
average
daily
net
assets
attributable
to
each
class
of
each
of
the
Funds.
Distribution
fees
are
paid
to
Principal
Funds
Distributor,
Inc.
(“the
Distributor”)
(an
affiliate
of
the
Manager),
the
principal
distributor
of
the
Funds.
A
portion
of
the
distribution
fees
may
be
paid
to
other
selling
dealers
for
providing
certain
services.
The
annual
rates
are
.25%,
1.00%,
.15%,
.35%,
.30%,
.25%,
and
.10%
for
Class
A,
Class
C,
Class
J,
R-1,
R-2,
R-3,
and
R-4
classes
of
shares,
respectively.
The
Distributor
has
voluntarily
agreed
to
limit
the
distribution
fees
(expressed
as
a
percent
of
average
net
assets
on
an
annualized
basis)
attributable
to
Class
J
shares.
The
limit
will
maintain
the
level
of
distribution
fees
not
to
exceed
.12%
for
Class
J
shares.
The
voluntary
expense
limit
may
be
terminated
at
any
time.
Amounts
owed
to
the
Funds
under
the
terms
of
the
expense
limitation
agreements
are
reflected
in
the
statements
of
assets
and
liabilities
as
expense
reimbursement
from
Distributor
and
are
settled
monthly.
Chief
Compliance
Officer
Expenses.
The
Funds
pay
certain
expenses
associated
with
the
Chief
Compliance
Officer
(“CCO”).
This
expense
is
allocated
based
on
the
relative
net
assets
of
each
fund
and
is
shown
on
the
statements
of
operations.
Sales
Charges.
The
Distributor
receives
proceeds
of
any
contingent
deferred
sales
charge
(“CDSC”)
on
certain
Class
A,
Class
C,
and
Class
J
share
redemptions.
The
charge
for
Class
A
shares
is
1.00%
of
the
lesser
of
current
market
value
or
the
cost
of
shares
redeemed
within
12
months
of
purchase
that
were
originally
sold
without
a
sales
charge.
The
charge
for
Class
C
shares
is
1.00%
of
the
lesser
of
current
market
value
or
the
cost
of
shares
redeemed
within
12
months
of
purchase.
The
charge
for
Class
J
shares
is
1.00%
of
the
lesser
of
current
market
value
or
the
cost
of
shares
redeemed
within
18
months
of
purchase.
The
Distributor
also
retains
sales
charges
on
sales
of
Class
A
shares
based
on
declining
rates
which
begin
at
3.75%
for
Diversified
Real
Asset
Fund,
Global
Multi-Strategy
Fund,
Opportunistic
Municipal
Fund,
and
Spectrum
Preferred
and
Capital
Securities
Income
Fund,
and
5.50%
for
Blue
Chip
Fund,
Edge
MidCap
Fund,
International
Small
Company
Fund,
Origin
Emerging
Markets
Fund,
and
Small-MidCap
Dividend
Income
Fund.
The
aggregate
amounts
of
these
charges
retained
by
the
Distributor
for
the
year
ended
February
29,
2020,
were
as
follows
(amounts
in
thousands):
Class
C
shares
automatically
convert
into
Class
A
shares,
based
on
relative
net
asset
value
(without
a
sales
charge),
10
years
after
purchase.
Affiliated
Ownership.
At
February
29,
2020,
Principal
Life
Insurance
Company
(an
affiliate
of
the
Manager),
the
Manager,
the
Distributor,
Principal
Securities,
Inc.,
collective
investment
trusts
sponsored
by
Principal
Global
Investors
Trust
Company,
benefit
plans
and
separate
Expiration
Blue
Chip
Fund
.050%#
December
30,
2020
Bond
Market
Index
Fund
.015^
December
30,
2020
Diversified
Real
Asset
Fund
.030
December
30,
2020
Edge
MidCap
Fund
.050#
December
30,
2020
Global
Multi-Strategy
Fund
.040
December
30,
2020
Opportunistic
Municipal
Fund
.060
December
30,
2020
Origin
Emerging
Markets
Fund
.150
December
30,
2019
Class
A
Class
C
Class
J
Blue
Chip
Fund
$
411
$
10
$
3
Diversified
Real
Asset
Fund
4
—
N/A
Edge
MidCap
Fund
18
N/A
N/A
Global
Multi-Strategy
Fund
1
—
N/A
International
Small
Company
Fund
2
N/A
N/A
Opportunistic
Municipal
Fund
3
N/A
N/A
Origin
Emerging
Markets
Fund
1
N/A
N/A
Small-MidCap
Dividend
Income
Fund
28
1
N/A
Spectrum
Preferred
and
Capital
Securities
Income
Fund
126
9
—
5.
Management
Agreement
and
Transactions
with
Affiliates
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
59
accounts
sponsored
on
behalf
of
Principal
Life
Insurance
Company,
and
other
affiliated
entities
owned
shares
of
the
Funds
as
follows
(amounts
in
thousands):
Affiliated
Brokerage
Commissions.
With
respect
to
Spectrum
Preferred
and
Capital
Securities
Income
Fund,
$31,000
of
brokerage
commission
was
paid
to
SAMI
Brokerage
LLC,
a
member
of
the
Principal
Financial
Group.
The
other
Funds
did
not
pay
brokerage
commissions
to
any
member
of
the
Principal
Financial
Group
during
the
year
ended
February
29,
2020
.
6.
Investment
Transactions
For
the period ended
February
29,
2020,
the
cost
of
investment
securities
purchased
and
proceeds
from
investment
securities
sold
(not
including
short-term
investments
and
U.S.
government
securities)
by
the
Funds
were
as
follows
(amounts
in
thousands):
For
the period
ended
February
29,
2020,
the
cost
of
U.S.
government
securities
purchased
and
proceeds
from
U.S.
government
securities
sold
(not
including
short-term
investments)
by
the
Funds
were
as
follows
(amounts
in
thousands):
Institutional
R-3
R-4
R-5
R-6
Blue
Chip
Fund
575
–
–
–
28,904
Bond
Market
Index
Fund
5,844
–
–
–
N/A
Diversified
Real
Asset
Fund
99
1
1
1
16,101
Edge
MidCap
Fund
56
N/A
N/A
N/A
—
Global
Multi-Strategy
Fund
42
N/A
N/A
N/A
1,407
International
Equity
Index
Fund
–
–
–
–
42,905
International
Small
Company
Fund
178
N/A
N/A
N/A
587
Opportunistic
Municipal
Fund
50
N/A
N/A
N/A
N/A
Origin
Emerging
Markets
Fund
–
N/A
N/A
N/A
55,339
Small-MidCap
Dividend
Income
Fund
55
N/A
N/A
N/A
392
Small-MidCap
Growth
Fund
500
N/A
N/A
N/A
N/A
Spectrum
Preferred
and
Capital
Securities
Income
Fund
–
–
–
–
5,246
SystematEx
International
Fund
28
N/A
N/A
N/A
5,948
Purchases
Sales
Covers
on
Securities
Sold
Short
Securities
Sold
Short
Blue
Chip
Fund
$
1,123,353
$
571,920
$
—
$
—
Bond
Market
Index
Fund
646,375
435,551
—
—
Diversified
Real
Asset
Fund
1,235,687
1,203,468
—
—
Edge
MidCap
Fund
65,208
74,663
—
—
Global
Multi-Strategy
Fund
959,321
1,407,431
486,148
376,034
International
Equity
Index
Fund
116,624
149,827
—
—
International
Small
Company
Fund
245,219
207,670
—
—
Opportunistic
Municipal
Fund
72,618
52,764
—
—
Origin
Emerging
Markets
Fund
481,144
313,286
—
—
Small-MidCap
Dividend
Income
Fund
325,360
381,251
—
—
Small-MidCap
Growth
Fund
2,913
3,041
—
—
Spectrum
Preferred
and
Capital
Securities
Income
Fund
1,001,593
315,554
—
—
SystematEx
International
Fund
200,069
26,799
—
—
Purchases
Sales
Covers
on
Securities
Sold
Short
Securities
Sold
Short
Bond
Market
Index
Fund
$
682,120
$
480,207
$
—
$
—
Diversified
Real
Asset
Fund
354,245
268,881
—
—
Global
Multi-Strategy
Fund
2,067,776
2,318,062
1,275,828
1,128,491
5.
Management
Agreement
and
Transactions
with
Affiliates
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
60
7.
Federal
Tax
Information
Distributions
to
Shareholders.
The
federal
income
tax
character
of
distributions
paid
for
the periods
ended February
29,
2020 and
August
31,
2019 were
as
follows
(amounts
in
thousands):
^
The
Funds
designate
these
distributions
as
exempt
interest
per
Internal
Revenue
Code
(“IRC”)
Sec.
852(b)(5).
*The
Funds
designate
these
distributions
as
long-term
capital
gain
dividends
per
IRC
Sec.
852
(b)(3)(C)
in
the
20-percent
group
(which
may
be
taxed
at
a
20-percent
rate,
a
15-percent
rate
or
a
0-percent
rate,
depending
on
the
shareholder’s
taxable
income).
Certain
Funds
may
also
utilize
earnings
and
profits
distributed
to
shareholders
on
redemptions
of
shares
as
part
of
the
dividends
paid
deduction.
For
U.S.
federal
income
tax
purposes,
short-term
capital
gain
distributions
are
considered
ordinary
income
distributions.
Distributable
Earnings.
As
of August
31,
2019,
the
components
of
total
distributable
earnings
(accumulated
loss)
on
a
federal
tax
basis
were
as
follows
(amounts
in
thousands):
*Represents
book-to-tax
accounting
differences
related
to
straddle
loss
deferrals,
constructive
sale
gain
recognition,
defaulted
securities,
inverse
floating
rate
securities,
contingent
convertible
bonds,
short
sales,
and
perpetual
bonds.
Ordinary
Income
Tax-Exempt
Income
Long-Term
Capital
Gain
Return
of
Capital
2020
2019
2020
2019
^
2020
2019
*
2020
2019
Blue
Chip
Fund
$
35,653
$
344
$
—
$
—
$
183,262
$
218,577
$
—
$
—
Bond
Market
Index
Fund
58,976
42,522
—
—
—
—
—
—
Diversified
Real
Asset
Fund
96,919
126,294
—
—
—
—
—
—
Edge
MidCap
Fund
7,567
9,632
—
—
22,087
25,893
—
—
Global
Multi-Strategy
Fund
—
94,178
—
—
—
39,517
—
6,481
International
Equity
Index
Fund
34,826
28,659
—
—
3,303
8,607
—
—
International
Small
Company
Fund
27,587
24,796
—
—
—
44,174
—
—
Opportunistic
Municipal
Fund
—
4
2,399
4,556
—
—
—
—
Origin
Emerging
Markets
Fund
21,257
8,633
—
—
—
—
—
—
Small-MidCap
Dividend
Income
Fund
27,872
72,210
—
—
15,278
267,714
—
—
Spectrum
Preferred
and
Capital
Securities
Income
Fund
150,229
280,911
—
—
—
—
—
—
SystematEx
International
Fund
1,963
1,924
—
—
—
5,076
—
—
Undistributed
Ordinary
Income
Undistributed
Tax-Exempt
Income
Undistributed
Long-Term
Capital
Gains
Accumulated
Losses
Net
Unrealized
Appreciation
(Depreciation)
Other
Temporary
Differences
*
Total
Accumulated
Earnings
(Deficit)
Blue
Chip
Fund
$
22,693
$
—
$
99,228
$
—
$
1,143,755
$
—
$
1,265,676
Bond
Market
Index
Fund
36,759
—
—
(17,498)
100,753
—
120,014
Diversified
Real
Asset
Fund
55,676
—
—
(158,141)
(52,353)
(357)
(155,175)
Edge
MidCap
Fund
3,907
—
20,413
—
91,457
—
115,777
Global
Multi-Strategy
Fund
—
—
—
(8,453)
(12,548)
(5,362)
(26,363)
International
Equity
Index
Fund
26,083
—
—
(531)
36,090
—
61,642
International
Small
Company
Fund
20,628
—
—
(15,907)
24,736
—
29,457
Opportunistic
Municipal
Fund
—
76
—
(836)
8,179
(14)
7,405
Origin
Emerging
Markets
Fund
15,140
—
—
(107,500)
67,394
—
(24,966)
Small-MidCap
Dividend
Income
Fund
9,902
—
4,686
—
123,452
—
138,040
Small-MidCap
Growth
Fund
—
—
—
(91)
222
—
131
Spectrum
Preferred
and
Capital
Securities
Income
Fund
4,446
—
—
(2,926)
247,882
40,151
289,553
SystematEx
International
Fund
1,347
—
—
(182)
(1,364)
—
(199)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
61
Capital
Loss
Carryforwards.
For
federal
income
tax
purposes,
capital
loss
carryforwards
are
losses
that
can
be
used
to
offset
future
capital
gains
of
the
Funds.
As
of August
31,
2019,
the
Funds
had
approximate
net
capital
loss
carryforwards
as
follows
(amounts
in
thousands):
Capital
losses
generated
in
taxable
years
beginning
after
the
enactment
date
of
the
Regulated
Investment
Company
Modernization
Act
of
2010
on
December
22,
2010,
will
be
carried
forward
with
no
expiration
and
with
the
character
of
the
loss
retained.
For
the
year
ended
August
31,
2019,
the
following
funds
utilized
capital
loss
carryforwards
as
follows
(amounts
in
thousands):
Late-Year
Losses.
A
regulated
investment
company
may
elect
to
treat
any
portion
of
its
qualified
late-year
loss
as
arising
on
the
first
day
of
the
next
taxable
year.
Qualified
late-year
losses
are
certain
capital
and
ordinary
losses
which
occur
during
the
portion
of
the
fund’s
taxable
year
subsequent
to
October
31
and
December
31,
respectively. At
August
31,
2019,
the
Funds
had
late-year
capital
and
ordinary
losses
as
follows
(amounts
in
thousands):
Reclassification
of
Capital
Accounts.
The
Funds
may
record
reclassifications
in
their
capital
accounts.
These
reclassifications
have
no
impact
on
the
total
net
assets
of
the
Funds.
The
reclassifications
are
a
result
of
permanent
differences
between
U.S.
GAAP
and
tax
accounting.
Adjustments
are
made
to
reflect
the
impact
these
items
have
on
current
and
future
distributions
to
shareholders.
Therefore,
the
source
of
the
Funds’
distributions
may
be
shown
in
the
accompanying
statements
of
changes
in
net
assets
as
from
net
investment
income
and net
realized
gain
on
investments
or
from
tax
return
of
capital
depending
on
the
type
of
book
and
tax
differences
that
exist.
For
the
year
ended August
31,
2019,
the
Funds
recorded
reclassifications
as
follows
(amounts
in
thousands):
Short-Term
Long-Term
Total
Bond
Market
Index
Fund
$
2,483
$
15,015
$
17,498
Diversified
Real
Asset
Fund
148,465
9,676
158,141
International
Small
Company
Fund
15,907
—
15,907
Opportunistic
Municipal
Fund
635
201
836
Origin
Emerging
Markets
Fund
107,500
—
107,500
Small-MidCap
Growth
Fund
86
—
86
Spectrum
Preferred
and
Capital
Securities
Income
Fund
2,926
—
2,926
Utilized
Bond
Market
Index
Fund
$
2,881
Opportunistic
Municipal
Fund
995
Late
Year
Ordinary
Loss
Post
October
Capital
Loss
Global
Multi-Strategy
Fund
$
6,169
$
2,284
International
Equity
Index
Fund
—
531
Small-MidCap
Growth
Fund
5
—
SystematEx
International
Fund
—
182
Total
Distributable
Earnings
(Accumulated
Loss)
Capital
Shares
and
Additional
Paid-in-Capital
Blue
Chip
Fund
$
(34,548
)
$
34,548
Diversified
Real
Asset
Fund
43,740
(43,740
)
Edge
MidCap
Fund
(2,592
)
2,592
Global
Multi-Strategy
Fund
7,258
(7,258
)
International
Equity
Index
Fund
(2,825
)
2,825
International
Small
Company
Fund
(2,928
)
2,928
Small-MidCap
Dividend
Income
Fund
(54,292
)
54,292
SystematEx
International
Fund
(2,746
)
2,746
7.
Federal
Tax
Information
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
62
Federal
Income
Tax
Basis.
At
February
29,
2020,
the
net
federal
income
tax
unrealized
appreciation
(depreciation)
and
federal
tax
cost
of
investments
held
by
the
Funds
were
as
follows
(amounts
in
thousands):
8.
Other
Matters
As
of
the
date
these
financial
statements
were
available
to
be
issued,
the
outbreak
of
the
novel
coronavirus
(“COVID-19”)
in
many
countries
continues
to
adversely
impact
global
commercial
activity
and
has
contributed
to
significant
volatility
in
financial
markets.
The
global
impact
of
the
outbreak
has
been
rapidly
evolving
and
many
countries
have
reacted
by
instituting
quarantines
and
restriction
on
travel.
Such
measures,
as
well
as
the
general
uncertainty
surrounding
the
dangers
and
impact
of
COVID-19,
are
creating
significant
disruption
in
supply
chains
and
economic
activity.
As
COVID-19
continues
to
spread,
the
potential
impacts,
including
a
global,
regional
or
other
economic
recession,
are
increasingly
difficult
to
assess.
These
events,
or
fear
of
such
an
event,
present
material
uncertainty
and
risk
with
respect
to
the
Funds’
performance
and
financial
results.
9.
Subsequent
Events
Management
has
evaluated
events
and
transactions
that
have
occurred
through
the
date
the
financial
statements
were
issued
that
would
merit
recognition
or
disclosure
in
the
financial
statements. 
There
were
no
items
requiring
adjustment
of
the
financial
statements
or
additional
disclosure.
Unrealized
Appreciation
Unrealized
(Depreciation)
Net
Unrealized
Appreciation/
(Depreciation)
Cost
for
Federal
Income
Tax
Purposes
Blue
Chip
Fund
$
1,282,159
$
(66,305)
$
1,215,854
$
3,876,272
Bond
Market
Index
Fund
152,370
(3,235)
149,135
2,532,127
Diversified
Real
Asset
Fund
213,
112
(350,118)
(137,0
06
)
3,865,
648
Edge
MidCap
Fund
110,641
(58,686)
51,955
615,209
Global
Multi-Strategy
Fund
8
7,015
(103,4
51
)
(16,436)
1,155,1
07
International
Equity
Index
Fund
192,886
(172,211)
20,675
1,043,578
International
Small
Company
Fund
74,925
(91,255)
(16,330)
945,311
Opportunistic
Municipal
Fund
*
12,223
(617)
11,606
147,865
Origin
Emerging
Markets
Fund
177,024
(53,703)
123,321
1,163,606
Small-MidCap
Dividend
Income
Fund
243,072
(297,824)
(54,752)
2,073,247
Small-MidCap
Growth
Fund
651
(218)
433
4,788
Spectrum
Preferred
and
Capital
Securities
Income
Fund
421,125
(68,342)
352,783
6,127,646
SystematEx
International
Fund
6,945
(21,951)
(15,006)
234,390
*
The
Fund
holds
floating
rate
securities
which
are
accounted
for
differently
for
U.S.
GAAP
vs.
federal
income
tax
purposes.
This
causes
a
difference
in
cost
basis
and
fair
market
value
of
investments
for
tax
and
U.S.
GAAP
purposes.
7.
Federal
Tax
Information
(continued)
Schedule
of
Investments
Blue
Chip
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
63
INVESTMENT
COMPANIES
-
0.00%
Shares
Held
Value
(000's)
Money
Market
Funds
-
0.00%
Principal
Government
Money
Market
Fund
1.43
%
(a),(b)
2,542‌
$
3‌
TOTAL
INVESTMENT
COMPANIES
$
3‌
COMMON
STOCKS
-
100.12%
Shares
Held
Value
(000's)
Aerospace
&
Defense
-
3.71%
TransDigm
Group
Inc
338,331‌
188,724‌
Banks
-
0.47%
First
Republic
Bank/CA
238,018‌
23,937‌
Biotechnology
-
0.95%
Illumina
Inc
(
c)
181,139‌
48,123‌
Chemicals
-
3.05%
Ecolab
Inc
93,829‌
16,932‌
Linde
PLC
611,758‌
116,852‌
Sherwin-Williams
Co/The
41,034‌
21,204‌
$
154,988‌
Commercial
Services
-
9.18%
Automatic
Data
Processing
Inc
459,305‌
71,073‌
CoStar
Group
Inc
(
c)
57,674‌
38,503‌
IHS
Markit
Ltd
304,085‌
21,663‌
Moody's
Corp
256,903‌
61,664‌
PayPal
Holdings
Inc
(
c)
1,815,045‌
196,007‌
S&P
Global
Inc
293,232‌
77,973‌
$
466,883‌
Diversified
Financial
Services
-
10.98%
Charles
Schwab
Corp/The
2,592,423‌
105,641‌
Mastercard
Inc
725,621‌
210,612‌
Visa
Inc
1,331,456‌
242,005‌
$
558,258‌
Electronics
-
1.10%
Roper
Technologies
Inc
159,711‌
56,170‌
Healthcare
-
Products
-
3.17%
Danaher
Corp
836,229‌
120,902‌
IDEXX
Laboratories
Inc
(
c)
159,004‌
40,468‌
$
161,370‌
Insurance
-
8.58%
Aon
PLC
105,552‌
21,955‌
Berkshire
Hathaway
Inc
-
Class
B
(
c)
1,513,498‌
312,295‌
Markel
Corp
(
c)
46,503‌
54,948‌
Progressive
Corp/The
647,345‌
47,360‌
$
436,558‌
Internet
-
21.67%
Alphabet
Inc
-
A
Shares
(
c)
33,575‌
44,965‌
Alphabet
Inc
-
C
Shares
(
c)
295,902‌
396,311‌
Amazon.com
Inc
(
c)
247,820‌
466,831‌
Facebook
Inc
(
c)
1,009,323‌
194,264‌
$
1,102,371‌
Lodging
-
1.94%
Hilton
Worldwide
Holdings
Inc
1,016,959‌
98,848‌
Media
-
4.68%
Charter
Communications
Inc
(
c)
482,190‌
237,802‌
Private
Equity
-
5.24%
Brookfield
Asset
Management
Inc
4,008,568‌
240,354‌
KKR
&
Co
Inc
913,784‌
26,134‌
$
266,488‌
REITs
-
4.37%
American
Tower
Corp
979,844‌
222,229‌
Retail
-
2.34%
Costco
Wholesale
Corp
111,194‌
31,261‌
O'Reilly
Automotive
Inc
(
c)
62,700‌
23,119‌
Restaurant
Brands
International
Inc
673,620‌
39,407‌
Yum!
Brands
Inc
282,221‌
25,188‌
$
118,975‌
Semiconductors
-
1.34%
NVIDIA
Corp
252,038‌
68,068‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Software
-
17.35%
Adobe
Inc
(
c)
548,616‌
$
189,338‌
Intuit
Inc
923,305‌
245,461‌
Microsoft
Corp
1,563,861‌
253,361‌
salesforce.com
Inc
(
c)
1,015,858‌
173,102‌
Slack
Technologies
Inc
(
c)
779,755‌
21,069‌
$
882,331‌
TOTAL
COMMON
STOCKS
$
5,092,123‌
Total
Investments
$
5,092,126‌
Other
Assets
and
Liabilities
-  (
0.12)%
(5,919‌)
TOTAL
NET
ASSETS
-
100.00%
$
5,086,207‌
(a)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(b)
Current
yield
shown
is
as
of
period
end.
(c)
Non-income
producing
security
Portfolio
Summary  (
unaudited)
Sector
Percent
Financial
29.64‌%
Communications
26.35‌%
Technology
18.69‌%
Consumer,
Non-cyclical
13.30‌%
Industrial
4.81‌%
Consumer,
Cyclical
4.28‌%
Basic
Materials
3.05‌%
Money
Market
Funds
0.00‌%
Other
Assets
and
Liabilities
(
0.12‌)%
TOTAL
NET
ASSETS
100.00%
Schedule
of
Investments
Blue
Chip
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
64
Affiliated
Securities
August
31,
2019
Purchases
Sales
February
29,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
1.43%
$
14,510‌
$
572,032‌
$
586,539‌
$
3‌
$
14,510‌
$
572,032‌
$
586,539‌
$
3‌
Income
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/Loss
Principal
Government
Money
Market
Fund
1.43%
$
91‌
$
—‌
$
—‌
$
—‌
$
91‌
$
—‌
$
—‌
$
—‌
Amounts
in
thousands.
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
65
INVESTMENT
COMPANIES
-
5.91%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
1.45%
iShares
Core
U.S.
Aggregate
Bond
ETF
85,000‌
$
9,879‌
iShares
MBS
ETF
245,375‌
26,869‌
SPDR
Portfolio
Long
Term
Corporate
Bond
ETF
(a)
32,000‌
1,014‌
$
37,762‌
Money
Market
Funds
-
4.46%
BlackRock
Liquidity
FedFund
1.48%
(b),(c)
5,154,539‌
5,155‌
Principal
Government
Money
Market
Fund
1.43%
(b),(c),(d)
110,689,457‌
110,689‌
$
115,844‌
TOTAL
INVESTMENT
COMPANIES
$
153,606‌
BONDS
-
31.76%
Principal
Amount
(000's)
Value
(000's)
Advertising
-
0.04%
Interpublic
Group
of
Cos
Inc/The
4.20%,
04/15/2024
$
50‌
$
55‌
Omnicom
Group
Inc
2.45%,
04/30/2030
155‌
156‌
Omnicom
Group
Inc
/
Omnicom
Capital
Inc
3.60%,
04/15/2026
500‌
549‌
3.63%,
05/01/2022
75‌
78‌
WPP
Finance
2010
3.75%,
09/19/2024
75‌
82‌
$
920‌
Aerospace
&
Defense
-
0.54%
Boeing
Co/The
2.30%,
08/01/2021
2,210‌
2,236‌
2.70%,
02/01/2027
110‌
113‌
2.80%,
03/01/2024
200‌
206‌
2.95%,
02/01/2030
140‌
146‌
3.25%,
02/01/2035
335‌
357‌
3.50%,
03/01/2039
200‌
213‌
3.75%,
02/01/2050
310‌
344‌
3.95%,
08/01/2059
375‌
417‌
5.88%,
02/15/2040
100‌
134‌
Embraer
Netherlands
Finance
BV
5.05%,
06/15/2025
250‌
272‌
General
Dynamics
Corp
2.25%,
11/15/2022
400‌
409‌
3.00%,
05/11/2021
200‌
204‌
3.50%,
05/15/2025
235‌
258‌
L3Harris
Technologies
Inc
2.90%,
12/15/2029
360‌
383‌
3.83%,
04/27/2025
270‌
297‌
Lockheed
Martin
Corp
3.35%,
09/15/2021
500‌
517‌
3.55%,
01/15/2026
265‌
294‌
4.07%,
12/15/2042
105‌
130‌
4.09%,
09/15/2052
162‌
208‌
4.50%,
05/15/2036
685‌
869‌
4.70%,
05/15/2046
75‌
101‌
Northrop
Grumman
Corp
2.55%,
10/15/2022
740‌
762‌
3.20%,
02/01/2027
130‌
139‌
3.25%,
01/15/2028
755‌
815‌
3.50%,
03/15/2021
30‌
31‌
5.05%,
11/15/2040
500‌
652‌
Raytheon
Co
4.70%,
12/15/2041
350‌
474‌
Rockwell
Collins
Inc
3.20%,
03/15/2024
75‌
80‌
4.80%,
12/15/2043
525‌
690‌
United
Technologies
Corp
3.65%,
08/16/2023
300‌
324‌
3.75%,
11/01/2046
500‌
575‌
4.05%,
05/04/2047
300‌
368‌
4.13%,
11/16/2028
270‌
316‌
4.50%,
06/01/2042
410‌
526‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Aerospace
&
Defense
(continued)
United
Technologies
Corp  
(continued)
6.13%,
07/15/2038
$
46‌
$
68‌
$
13,928‌
Agriculture
-
0.32%
Altria
Group
Inc
3.80%,
02/14/2024
500‌
537‌
4.00%,
01/31/2024
500‌
540‌
4.25%,
08/09/2042
460‌
470‌
4.75%,
05/05/2021
500‌
518‌
4.80%,
02/14/2029
300‌
343‌
5.38%,
01/31/2044
25‌
29‌
6.20%,
02/14/2059
250‌
327‌
Archer-Daniels-Midland
Co
4.02%,
04/16/2043
350‌
429‌
BAT
Capital
Corp
2.76%,
08/15/2022
535‌
549‌
2.79%,
09/06/2024
210‌
217‌
3.46%,
09/06/2029
210‌
220‌
3.56%,
08/15/2027
500‌
525‌
4.54%,
08/15/2047
300‌
312‌
Philip
Morris
International
Inc
2.38%,
08/17/2022
90‌
92‌
2.75%,
02/25/2026
500‌
521‌
2.90%,
11/15/2021
400‌
409‌
3.25%,
11/10/2024
445‌
474‌
3.38%,
08/11/2025
350‌
380‌
4.13%,
03/04/2043
300‌
341‌
Reynolds
American
Inc
4.45%,
06/12/2025
220‌
242‌
5.70%,
08/15/2035
50‌
60‌
5.85%,
08/15/2045
50‌
60‌
6.15%,
09/15/2043
500‌
603‌
$
8,198‌
Airlines
-
0.04%
American
Airlines
2014-1
Class
A
Pass
Through
Trust
3.70%,
04/01/2028
15‌
16‌
American
Airlines
2019-1
Class
AA
Pass
Through
Trust
3.15%,
08/15/2033
138‌
149‌
Delta
Air
Lines
Inc
2.90%,
10/28/2024
150‌
152‌
3.75%,
10/28/2029
150‌
151‌
Southwest
Airlines
Co
3.00%,
11/15/2026
350‌
371‌
United
Airlines
2019-2
Class
AA
Pass
Through
Trust
2.70%,
11/01/2033
70‌
75‌
$
914‌
Apparel
-
0.02%
NIKE
Inc
3.88%,
11/01/2045
500‌
616‌
Automobile
Asset
Backed
Securities
-
0.13%
Americredit
Automobile
Receivables
Trust
2018-1
3.07%,
12/19/2022
856‌
862‌
GM
Financial
Automobile
Leasing
Trust
2018-1
2.61%,
01/20/2021
287‌
287‌
GM
Financial
Automobile
Leasing
Trust
2018-2
3.06%,
06/21/2021
562‌
563‌
Nissan
Auto
Receivables
2017-B
Owner
Trust
1.75%,
10/15/2021
237‌
238‌
World
Omni
Automobile
Lease
Securitization
Trust
2019-A
2.94%,
05/16/2022
1,500‌
1,531‌
$
3,481‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
66
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Automobile
Manufacturers
-
0.52%
American
Honda
Finance
Corp
1.70%,
09/09/2021
$
500‌
$
503‌
1.95%,
05/20/2022
150‌
152‌
1.95%,
05/10/2023
155‌
157‌
2.05%,
01/10/2023
425‌
432‌
2.15%,
09/10/2024
345‌
353‌
Cummins
Inc
4.88%,
10/01/2043
25‌
33‌
Daimler
Finance
North
America
LLC
8.50%,
01/18/2031
500‌
772‌
Ford
Motor
Co
4.75%,
01/15/2043
895‌
770‌
Ford
Motor
Credit
Co
LLC
3.34%,
03/18/2021
500‌
504‌
3.66%,
09/08/2024
725‌
724‌
4.25%,
09/20/2022
200‌
206‌
4.54%,
08/01/2026
750‌
770‌
5.11%,
05/03/2029
500‌
504‌
5.60%,
01/07/2022
450‌
475‌
5.88%,
08/02/2021
100‌
104‌
General
Motors
Co
4.88%,
10/02/2023
80‌
87‌
5.00%,
04/01/2035
325‌
339‌
5.15%,
04/01/2038
160‌
163‌
5.20%,
04/01/2045
425‌
424‌
5.40%,
04/01/2048
375‌
378‌
6.25%,
10/02/2043
75‌
84‌
General
Motors
Financial
Co
Inc
3.45%,
01/14/2022
1,000‌
1,022‌
3.45%,
04/10/2022
50‌
51‌
3.55%,
07/08/2022
935‌
968‌
4.00%,
10/06/2026
75‌
77‌
4.20%,
11/06/2021
250‌
259‌
4.35%,
01/17/2027
525‌
564‌
Toyota
Motor
Corp
3.67%,
07/20/2028
500‌
577‌
Toyota
Motor
Credit
Corp
1.80%,
10/07/2021
150‌
151‌
1.80%,
02/13/2025
155‌
157‌
1.90%,
04/08/2021
500‌
504‌
2.00%,
10/07/2024
145‌
149‌
2.75%,
05/17/2021
500‌
508‌
3.30%,
01/12/2022
500‌
520‌
$
13,441‌
Automobile
Parts
&
Equipment
-
0.01%
BorgWarner
Inc
4.38%,
03/15/2045
300‌
330‌
Banks
-
5.98%
Australia
&
New
Zealand
Banking
Group
Ltd/
New
York
NY
2.05%,
11/21/2022
250‌
255‌
2.63%,
05/19/2022
550‌
567‌
Banco
Santander
SA
4.25%,
04/11/2027
650‌
724‌
Bank
of
America
Corp
2.02%,
02/13/2026
(e)
365‌
368‌
3
Month
USD
LIBOR
+
0.64%
2.46%,
10/22/2025
(e)
300‌
308‌
3
Month
USD
LIBOR
+
0.87%
2.50%,
10/21/2022
75‌
76‌
2.50%,
02/13/2031
(e)
315‌
319‌
3
Month
USD
LIBOR
+
0.99%
2.63%,
04/19/2021
1,175‌
1,188‌
2.82%,
07/21/2023
(e)
75‌
77‌
3
Month
USD
LIBOR
+
0.93%
2.88%,
04/24/2023
(e)
110‌
113‌
3
Month
USD
LIBOR
+
1.02%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Bank
of
America
Corp  
(continued)
3.00%,
12/20/2023
(e)
$
2,551‌
$
2,643‌
3
Month
USD
LIBOR
+
0.79%
3.19%,
07/23/2030
(e)
285‌
306‌
3
Month
USD
LIBOR
+
1.18%
3.25%,
10/21/2027
350‌
376‌
3.30%,
01/11/2023
1,175‌
1,233‌
3.42%,
12/20/2028
(e)
639‌
691‌
3
Month
USD
LIBOR
+
1.04%
3.46%,
03/15/2025
(e)
500‌
532‌
3
Month
USD
LIBOR
+
0.97%
3.50%,
04/19/2026
335‌
366‌
3.86%,
07/23/2024
(e)
200‌
214‌
3
Month
USD
LIBOR
+
0.94%
3.95%,
01/23/2049
(e)
110‌
133‌
3
Month
USD
LIBOR
+
1.19%
3.97%,
03/05/2029
(e)
75‌
84‌
3
Month
USD
LIBOR
+
1.07%
3.97%,
02/07/2030
(e)
1,000‌
1,135‌
3
Month
USD
LIBOR
+
1.21%
4.00%,
04/01/2024
400‌
435‌
4.00%,
01/22/2025
90‌
98‌
4.10%,
07/24/2023
75‌
81‌
4.24%,
04/24/2038
(e)
835‌
986‌
3
Month
USD
LIBOR
+
1.81%
4.25%,
10/22/2026
800‌
893‌
4.27%,
07/23/2029
(e)
640‌
736‌
3
Month
USD
LIBOR
+
1.31%
4.33%,
03/15/2050
(e)
255‌
326‌
3
Month
USD
LIBOR
+
1.52%
5.00%,
01/21/2044
75‌
102‌
5.70%,
01/24/2022
75‌
81‌
5.88%,
02/07/2042
60‌
88‌
6.11%,
01/29/2037
500‌
688‌
Bank
of
Montreal
2.55%,
11/06/2022
75‌
77‌
2.90%,
03/26/2022
500‌
515‌
3.30%,
02/05/2024
750‌
799‌
Bank
of
New
York
Mellon
Corp/The
1.85%,
01/27/2023
790‌
798‌
1.95%,
08/23/2022
740‌
751‌
2.10%,
10/24/2024
750‌
770‌
Bank
of
Nova
Scotia/The
2.00%,
11/15/2022
150‌
152‌
2.45%,
03/22/2021
750‌
757‌
2.70%,
03/07/2022
145‌
148‌
2.70%,
08/03/2026
145‌
152‌
2.80%,
07/21/2021
500‌
510‌
3.40%,
02/11/2024
750‌
797‌
4.50%,
12/16/2025
60‌
68‌
Barclays
PLC
3.68%,
01/10/2023
200‌
207‌
3.93%,
05/07/2025
(e)
915‌
975‌
3
Month
USD
LIBOR
+
1.61%
4.38%,
01/12/2026
380‌
419‌
4.97%,
05/16/2029
(e)
200‌
231‌
3
Month
USD
LIBOR
+
1.90%
5.25%,
08/17/2045
750‌
953‌
BPCE
SA
4.00%,
04/15/2024
750‌
811‌
Canadian
Imperial
Bank
of
Commerce
2.55%,
06/16/2022
575‌
589‌
2.61%,
07/22/2023
(e)
220‌
225‌
3
Month
USD
LIBOR
+
0.79%
Capital
One
NA
2.15%,
09/06/2022
250‌
253‌
2.25%,
09/13/2021
650‌
656‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
67
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Citibank
NA
3.65%,
01/23/2024
$
750‌
$
805‌
Citigroup
Inc
2.31%,
11/04/2022
(e)
225‌
227‌
United
States
Secured
Overnight
Financing
Rate
+
0.87%
2.67%,
01/29/2031
(e)
310‌
317‌
United
States
Secured
Overnight
Financing
Rate
+
1.15%
2.70%,
03/30/2021
500‌
505‌
2.75%,
04/25/2022
425‌
435‌
2.90%,
12/08/2021
385‌
393‌
2.98%,
11/05/2030
(e)
150‌
158‌
United
States
Secured
Overnight
Financing
Rate
+
1.42%
3.30%,
04/27/2025
435‌
466‌
3.40%,
05/01/2026
1,110‌
1,202‌
3.52%,
10/27/2028
(e)
125‌
136‌
3
Month
USD
LIBOR
+
1.15%
3.67%,
07/24/2028
(e)
875‌
961‌
3
Month
USD
LIBOR
+
1.39%
3.70%,
01/12/2026
110‌
121‌
3.88%,
01/24/2039
(e)
220‌
256‌
3
Month
USD
LIBOR
+
1.17%
4.13%,
07/25/2028
110‌
122‌
4.30%,
11/20/2026
75‌
83‌
4.45%,
09/29/2027
75‌
85‌
4.60%,
03/09/2026
1,075‌
1,219‌
4.65%,
07/30/2045
115‌
150‌
4.65%,
07/23/2048
235‌
312‌
4.75%,
05/18/2046
395‌
496‌
5.50%,
09/13/2025
845‌
991‌
6.68%,
09/13/2043
360‌
556‌
8.13%,
07/15/2039
474‌
821‌
Citizens
Bank
NA/Providence
RI
2.55%,
05/13/2021
400‌
405‌
3.75%,
02/18/2026
250‌
277‌
Cooperatieve
Rabobank
UA
3.88%,
02/08/2022
535‌
560‌
5.25%,
05/24/2041
185‌
266‌
5.25%,
08/04/2045
550‌
728‌
Cooperatieve
Rabobank
UA/NY
2.75%,
01/10/2022
500‌
512‌
3.38%,
05/21/2025
500‌
542‌
Credit
Suisse
AG/New
York
NY
3.00%,
10/29/2021
325‌
332‌
3.63%,
09/09/2024
500‌
530‌
Credit
Suisse
Group
Funding
Guernsey
Ltd
3.75%,
03/26/2025
1,250‌
1,328‌
3.80%,
09/15/2022
705‌
743‌
3.80%,
06/09/2023
750‌
788‌
Deutsche
Bank
AG/New
York
NY
3.95%,
02/27/2023
100‌
104‌
4.10%,
01/13/2026
750‌
789‌
4.25%,
10/14/2021
400‌
413‌
Development
Bank
of
Japan
Inc
2.00%,
10/19/2021
350‌
354‌
Discover
Bank
2.70%,
02/06/2030
250‌
253‌
3.20%,
08/09/2021
1,000‌
1,021‌
Fifth
Third
Bancorp
2.38%,
01/28/2025
600‌
616‌
4.30%,
01/16/2024
50‌
54‌
Fifth
Third
Bank/Cincinnati
OH
1.80%,
01/30/2023
250‌
253‌
2.25%,
06/14/2021
300‌
303‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Goldman
Sachs
Group
Inc/The
2.60%,
02/07/2030
$
735‌
$
746‌
2.63%,
04/25/2021
500‌
506‌
3.00%,
04/26/2022
990‌
1,006‌
3.27%,
09/29/2025
(e)
75‌
79‌
3
Month
USD
LIBOR
+
1.20%
3.63%,
01/22/2023
335‌
353‌
3.69%,
06/05/2028
(e)
500‌
547‌
3
Month
USD
LIBOR
+
1.51%
3.75%,
02/25/2026
75‌
82‌
3.81%,
04/23/2029
(e)
75‌
83‌
3
Month
USD
LIBOR
+
1.16%
3.85%,
01/26/2027
110‌
121‌
4.22%,
05/01/2029
(e)
505‌
573‌
3
Month
USD
LIBOR
+
1.30%
4.25%,
10/21/2025
575‌
628‌
4.41%,
04/23/2039
(e)
175‌
207‌
3
Month
USD
LIBOR
+
1.43%
4.75%,
10/21/2045
150‌
192‌
5.15%,
05/22/2045
375‌
483‌
5.25%,
07/27/2021
1,375‌
1,443‌
5.95%,
01/15/2027
700‌
858‌
6.13%,
02/15/2033
850‌
1,177‌
6.25%,
02/01/2041
220‌
323‌
6.75%,
10/01/2037
210‌
298‌
HSBC
Holdings
PLC
2.63%,
11/07/2025
(e)
725‌
741‌
3
Month
USD
LIBOR
+
1.14%
3.26%,
03/13/2023
(e)
500‌
514‌
3
Month
USD
LIBOR
+
1.06%
3.40%,
03/08/2021
750‌
763‌
3.90%,
05/25/2026
500‌
547‌
3.97%,
05/22/2030
(e)
300‌
328‌
3
Month
USD
LIBOR
+
1.61%
4.25%,
08/18/2025
750‌
812‌
4.58%,
06/19/2029
(e)
240‌
273‌
3
Month
USD
LIBOR
+
1.53%
6.10%,
01/14/2042
600‌
867‌
6.50%,
05/02/2036
700‌
959‌
6.50%,
09/15/2037
100‌
139‌
6.80%,
06/01/2038
500‌
719‌
HSBC
USA
Inc
3.50%,
06/23/2024
500‌
540‌
Huntington
Bancshares
Inc/OH
2.55%,
02/04/2030
430‌
440‌
Huntington
National
Bank/The
1.80%,
02/03/2023
325‌
329‌
Industrial
&
Commercial
Bank
of
China
Ltd/New
York
NY
2.45%,
10/20/2021
350‌
353‌
ING
Groep
NV
3.15%,
03/29/2022
400‌
412‌
3.55%,
04/09/2024
300‌
321‌
4.55%,
10/02/2028
300‌
355‌
JPMorgan
Chase
&
Co
2.30%,
08/15/2021
860‌
862‌
2.30%,
10/15/2025
(e)
320‌
327‌
United
States
Secured
Overnight
Financing
Rate
+
1.16%
2.40%,
06/07/2021
500‌
505‌
2.55%,
03/01/2021
1,500‌
1,513‌
2.74%,
10/15/2030
(e)
625‌
651‌
United
States
Secured
Overnight
Financing
Rate
+
1.51%
2.78%,
04/25/2023
(e)
250‌
256‌
3
Month
USD
LIBOR
+
0.94%
3.20%,
01/25/2023
2,667‌
2,796‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
68
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
JPMorgan
Chase
&
Co  
(continued)
3.21%,
04/01/2023
(e)
$
500‌
$
516‌
3
Month
USD
LIBOR
+
0.70%
3.51%,
01/23/2029
(e)
200‌
218‌
3
Month
USD
LIBOR
+
0.95%
3.54%,
05/01/2028
(e)
500‌
547‌
3
Month
USD
LIBOR
+
1.38%
3.56%,
04/23/2024
(e)
75‌
79‌
3
Month
USD
LIBOR
+
0.73%
3.63%,
12/01/2027
500‌
539‌
3.80%,
07/23/2024
(e)
180‌
193‌
3
Month
USD
LIBOR
+
0.89%
3.88%,
02/01/2024
85‌
92‌
3.88%,
09/10/2024
75‌
81‌
3.88%,
07/24/2038
(e)
750‌
857‌
3
Month
USD
LIBOR
+
1.36%
3.90%,
07/15/2025
460‌
508‌
3.90%,
01/23/2049
(e)
830‌
989‌
3
Month
USD
LIBOR
+
1.22%
4.01%,
04/23/2029
(e)
350‌
395‌
3
Month
USD
LIBOR
+
1.12%
4.03%,
07/24/2048
(e)
600‌
728‌
3
Month
USD
LIBOR
+
1.46%
4.20%,
07/23/2029
(e)
230‌
265‌
3
Month
USD
LIBOR
+
1.26%
4.50%,
01/24/2022
100‌
105‌
5.60%,
07/15/2041
370‌
524‌
8.00%,
04/29/2027
1,000‌
1,372‌
KeyBank
NA/Cleveland
OH
3.30%,
06/01/2025
500‌
541‌
KeyCorp
2.25%,
04/06/2027
110‌
111‌
2.55%,
10/01/2029
270‌
276‌
Korea
Development
Bank/The
1.75%,
02/18/2025
500‌
505‌
2.75%,
03/19/2023
500‌
521‌
Kreditanstalt
fuer
Wiederaufbau
0.00%,
04/18/2036
(f)
260‌
201‌
1.50%,
06/15/2021
610‌
614‌
1.63%,
03/15/2021
2,535‌
2,546‌
2.00%,
05/02/2025
280‌
294‌
2.13%,
06/15/2022
2,500‌
2,563‌
2.13%,
01/17/2023
1,500‌
1,547‌
2.38%,
12/29/2022
440‌
457‌
2.50%,
02/15/2022
500‌
514‌
2.50%,
11/20/2024
500‌
534‌
2.88%,
04/03/2028
200‌
227‌
3.13%,
12/15/2021
750‌
778‌
Landwirtschaftliche
Rentenbank
2.38%,
06/10/2025
750‌
802‌
2.50%,
11/15/2027
500‌
550‌
Lloyds
Bank
PLC
2.25%,
08/14/2022
200‌
203‌
Lloyds
Banking
Group
PLC
3.00%,
01/11/2022
800‌
818‌
3.90%,
03/12/2024
735‌
790‌
4.55%,
08/16/2028
400‌
460‌
4.58%,
12/10/2025
575‌
628‌
4.65%,
03/24/2026
475‌
520‌
Mitsubishi
UFJ
Financial
Group
Inc
2.19%,
02/25/2025
200‌
202‌
2.56%,
02/25/2030
200‌
202‌
2.62%,
07/18/2022
400‌
409‌
2.76%,
09/13/2026
500‌
527‌
2.80%,
07/18/2024
200‌
209‌
2.95%,
03/01/2021
1,690‌
1,711‌
3.20%,
07/18/2029
200‌
214‌
3.75%,
07/18/2039
200‌
233‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Mitsubishi
UFJ
Financial
Group
Inc  
(continued)
3.76%,
07/26/2023
$
1,000‌
$
1,070‌
Mizuho
Financial
Group
Inc
2.23%,
05/25/2026
(e)
200‌
201‌
3
Month
USD
LIBOR
+
0.83%
2.27%,
09/13/2021
300‌
304‌
2.72%,
07/16/2023
(e)
200‌
206‌
3
Month
USD
LIBOR
+
0.84%
2.84%,
07/16/2025
(e)
200‌
208‌
3
Month
USD
LIBOR
+
0.98%
3.15%,
07/16/2030
(e)
800‌
845‌
3
Month
USD
LIBOR
+
1.13%
Morgan
Stanley
2.50%,
04/21/2021
1,000‌
1,011‌
2.63%,
11/17/2021
750‌
763‌
2.70%,
01/22/2031
(e)
360‌
372‌
United
States
Secured
Overnight
Financing
Rate
+
1.14%
2.72%,
07/22/2025
(e)
255‌
263‌
United
States
Secured
Overnight
Financing
Rate
+
1.15%
2.75%,
05/19/2022
360‌
370‌
3.13%,
01/23/2023
220‌
230‌
3.13%,
07/27/2026
670‌
714‌
3.59%,
07/22/2028
(e)
90‌
98‌
3
Month
USD
LIBOR
+
1.34%
3.63%,
01/20/2027
95‌
104‌
3.70%,
10/23/2024
775‌
840‌
3.75%,
02/25/2023
150‌
159‌
3.77%,
01/24/2029
(e)
430‌
478‌
3
Month
USD
LIBOR
+
1.14%
3.88%,
04/29/2024
75‌
81‌
3.95%,
04/23/2027
60‌
66‌
4.00%,
07/23/2025
25‌
28‌
4.30%,
01/27/2045
320‌
395‌
4.35%,
09/08/2026
500‌
559‌
4.88%,
11/01/2022
650‌
701‌
5.00%,
11/24/2025
75‌
87‌
5.50%,
07/28/2021
510‌
537‌
6.38%,
07/24/2042
315‌
486‌
MUFG
Union
Bank
NA
3.15%,
04/01/2022
500‌
516‌
National
Australia
Bank
Ltd/New
York
1.88%,
12/13/2022
250‌
254‌
2.50%,
05/22/2022
650‌
669‌
Oesterreichische
Kontrollbank
AG
2.38%,
10/01/2021
750‌
765‌
PNC
Bank
NA
1.74%,
02/24/2023
(e)
250‌
252‌
3
Month
USD
LIBOR
+
0.00%
2.23%,
07/22/2022
(e)
250‌
253‌
3
Month
USD
LIBOR
+
0.44%
2.70%,
11/01/2022
575‌
593‌
4.05%,
07/26/2028
400‌
455‌
PNC
Financial
Services
Group
Inc/The
2.20%,
11/01/2024
120‌
124‌
2.55%,
01/22/2030
160‌
165‌
2.60%,
07/23/2026
110‌
116‌
3.30%,
03/08/2022
750‌
776‌
3.45%,
04/23/2029
335‌
370‌
Royal
Bank
of
Canada
1.95%,
01/17/2023
265‌
268‌
2.25%,
11/01/2024
300‌
307‌
2.55%,
07/16/2024
145‌
151‌
4.65%,
01/27/2026
575‌
665‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
69
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Royal
Bank
of
Scotland
Group
PLC
3.50%,
05/15/2023
(e)
$
400‌
$
414‌
3
Month
USD
LIBOR
+
1.48%
4.27%,
03/22/2025
(e)
795‌
853‌
3
Month
USD
LIBOR
+
1.76%
4.44%,
05/08/2030
(e)
700‌
800‌
3
Month
USD
LIBOR
+
1.87%
5.08%,
01/27/2030
(e)
400‌
474‌
3
Month
USD
LIBOR
+
1.91%
6.00%,
12/19/2023
475‌
532‌
6.13%,
12/15/2022
200‌
218‌
Santander
Holdings
USA
Inc
3.40%,
01/18/2023
75‌
78‌
3.70%,
03/28/2022
75‌
78‌
Santander
UK
Group
Holdings
PLC
3.57%,
01/10/2023
500‌
515‌
Santander
UK
PLC
2.10%,
01/13/2023
470‌
476‌
State
Street
Corp
2.35%,
11/01/2025
(e)
110‌
113‌
United
States
Secured
Overnight
Financing
Rate
+
0.94%
2.40%,
01/24/2030
160‌
165‌
2.65%,
05/19/2026
500‌
527‌
3.10%,
05/15/2023
50‌
52‌
3.30%,
12/16/2024
75‌
81‌
3.55%,
08/18/2025
275‌
303‌
3.70%,
11/20/2023
75‌
81‌
Sumitomo
Mitsui
Financial
Group
Inc
2.06%,
07/14/2021
590‌
594‌
2.35%,
01/15/2025
200‌
204‌
2.44%,
10/19/2021
700‌
710‌
2.70%,
07/16/2024
800‌
832‌
2.75%,
01/15/2030
200‌
207‌
2.78%,
07/12/2022
390‌
402‌
2.85%,
01/11/2022
1,090‌
1,117‌
3.01%,
10/19/2026
75‌
80‌
3.04%,
07/16/2029
200‌
213‌
3.36%,
07/12/2027
335‌
367‌
3.45%,
01/11/2027
165‌
180‌
Svenska
Handelsbanken
AB
1.88%,
09/07/2021
1,000‌
1,008‌
Toronto-Dominion
Bank/The
1.90%,
12/01/2022
600‌
609‌
3.50%,
07/19/2023
500‌
535‌
3.62%,
09/15/2031
(e)
455‌
496‌
USD
Swap
Semi-Annual
5
Year
+
2.21%
Truist
Bank
2.15%,
12/06/2024
350‌
358‌
2.63%,
01/15/2022
1,000‌
1,019‌
2.80%,
05/17/2022
335‌
344‌
3.80%,
10/30/2026
500‌
562‌
Truist
Financial
Corp
2.50%,
08/01/2024
340‌
351‌
4.00%,
05/01/2025
75‌
83‌
US
Bancorp
2.40%,
07/30/2024
190‌
198‌
3.00%,
03/15/2022
50‌
52‌
3.00%,
07/30/2029
975‌
1,041‌
3.15%,
04/27/2027
560‌
613‌
US
Bank
NA/Cincinnati
OH
1.95%,
01/09/2023
910‌
928‌
2.05%,
01/21/2025
300‌
307‌
Wells
Fargo
&
Co
2.10%,
07/26/2021
540‌
545‌
2.16%,
02/11/2026
(e)
885‌
896‌
3
Month
USD
LIBOR
+
0.75%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Wells
Fargo
&
Co  
(continued)
2.41%,
10/30/2025
(e)
$
1,300‌
$
1,331‌
3
Month
USD
LIBOR
+
0.83%
2.57%,
02/11/2031
(e)
885‌
903‌
3
Month
USD
LIBOR
+
1.00%
2.88%,
10/30/2030
(e)
1,300‌
1,352‌
3
Month
USD
LIBOR
+
1.17%
3.00%,
04/22/2026
490‌
519‌
3.00%,
10/23/2026
590‌
625‌
3.45%,
02/13/2023
535‌
561‌
3.55%,
09/29/2025
75‌
82‌
3.58%,
05/22/2028
(e)
375‌
408‌
3
Month
USD
LIBOR
+
1.31%
4.10%,
06/03/2026
535‌
591‌
4.15%,
01/24/2029
370‌
427‌
4.40%,
06/14/2046
350‌
415‌
4.65%,
11/04/2044
430‌
525‌
4.75%,
12/07/2046
250‌
315‌
4.90%,
11/17/2045
75‌
95‌
5.38%,
02/07/2035
325‌
442‌
5.38%,
11/02/2043
185‌
244‌
Wells
Fargo
Bank
NA
2.90%,
05/27/2022
(e)
500‌
508‌
3
Month
USD
LIBOR
+
0.61%
3.55%,
08/14/2023
400‌
426‌
Westpac
Banking
Corp
2.00%,
08/19/2021
60‌
61‌
2.00%,
01/13/2023
155‌
158‌
2.10%,
05/13/2021
430‌
433‌
2.35%,
02/19/2025
150‌
155‌
2.65%,
01/16/2030
155‌
162‌
2.70%,
08/19/2026
500‌
527‌
2.85%,
05/13/2026
535‌
566‌
2.89%,
02/04/2030
(e)
155‌
157‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
1.35%
4.11%,
07/24/2034
(e)
145‌
158‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.00%
4.42%,
07/24/2039
275‌
321‌
$
155,518‌
Beverages
-
0.72%
Anheuser-Busch
Cos
LLC
/
Anheuser-Busch
InBev
Worldwide
Inc
3.65%,
02/01/2026
1,295‌
1,416‌
4.70%,
02/01/2036
1,975‌
2,366‌
4.90%,
02/01/2046
875‌
1,079‌
Anheuser-Busch
InBev
Finance
Inc
3.30%,
02/01/2023
500‌
526‌
4.63%,
02/01/2044
75‌
90‌
Anheuser-Busch
InBev
Worldwide
Inc
3.75%,
07/15/2042
750‌
806‌
4.00%,
04/13/2028
500‌
565‌
4.38%,
04/15/2038
1,175‌
1,360‌
4.60%,
04/15/2048
35‌
42‌
4.75%,
01/23/2029
470‌
557‌
4.75%,
04/15/2058
75‌
91‌
4.95%,
01/15/2042
25‌
31‌
5.45%,
01/23/2039
200‌
261‌
5.80%,
01/23/2059
210‌
298‌
8.20%,
01/15/2039
60‌
99‌
Coca-Cola
Co/The
1.75%,
09/06/2024
140‌
142‌
2.13%,
09/06/2029
180‌
184‌
2.90%,
05/25/2027
500‌
547‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
70
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Beverages
(continued)
Constellation
Brands
Inc
3.15%,
08/01/2029
$
90‌
$
94‌
3.20%,
02/15/2023
1,130‌
1,179‌
4.10%,
02/15/2048
300‌
338‌
Diageo
Capital
PLC
2.13%,
10/24/2024
200‌
205‌
2.38%,
10/24/2029
200‌
210‌
Diageo
Investment
Corp
2.88%,
05/11/2022
780‌
807‌
Keurig
Dr
Pepper
Inc
3.13%,
12/15/2023
500‌
526‌
4.06%,
05/25/2023
360‌
388‌
4.42%,
05/25/2025
75‌
84‌
4.99%,
05/25/2038
250‌
306‌
Molson
Coors
Beverage
Co
2.10%,
07/15/2021
500‌
504‌
3.00%,
07/15/2026
105‌
110‌
4.20%,
07/15/2046
250‌
259‌
PepsiCo
Inc
2.38%,
10/06/2026
590‌
617‌
2.63%,
07/29/2029
145‌
155‌
2.75%,
03/05/2022
355‌
364‌
2.75%,
03/01/2023
75‌
78‌
2.85%,
02/24/2026
90‌
96‌
2.88%,
10/15/2049
145‌
153‌
3.00%,
10/15/2027
610‌
665‌
3.38%,
07/29/2049
645‌
738‌
3.60%,
08/13/2042
400‌
466‌
$
18,802‌
Biotechnology
-
0.29%
Amgen
Inc
1.90%,
02/21/2025
155‌
157‌
2.20%,
02/21/2027
80‌
81‌
2.25%,
08/19/2023
60‌
61‌
2.45%,
02/21/2030
155‌
158‌
2.65%,
05/11/2022
50‌
51‌
3.15%,
02/21/2040
155‌
158‌
3.88%,
11/15/2021
500‌
518‌
4.10%,
06/15/2021
1,000‌
1,028‌
4.66%,
06/15/2051
390‌
483‌
5.15%,
11/15/2041
225‌
293‌
5.75%,
03/15/2040
530‌
710‌
Baxalta
Inc
5.25%,
06/23/2045
250‌
353‌
Biogen
Inc
4.05%,
09/15/2025
160‌
180‌
5.20%,
09/15/2045
30‌
39‌
Gilead
Sciences
Inc
1.95%,
03/01/2022
300‌
305‌
2.95%,
03/01/2027
240‌
256‌
3.50%,
02/01/2025
75‌
81‌
3.65%,
03/01/2026
75‌
83‌
3.70%,
04/01/2024
1,175‌
1,262‌
4.15%,
03/01/2047
25‌
30‌
4.60%,
09/01/2035
590‌
737‌
4.75%,
03/01/2046
425‌
548‌
$
7,572‌
Building
Materials
-
0.07%
Carrier
Global
Corp
1.92%,
02/15/2023
(g)
155‌
157‌
2.24%,
02/15/2025
(g)
155‌
158‌
2.49%,
02/15/2027
(g)
155‌
158‌
2.72%,
02/15/2030
(g)
310‌
313‌
3.38%,
04/05/2040
(g)
155‌
159‌
3.58%,
04/05/2050
(g)
155‌
160‌
Johnson
Controls
International
plc
5.13%,
09/14/2045
47‌
61‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Building
Materials
(continued)
Masco
Corp
4.45%,
04/01/2025
$
300‌
$
334‌
Owens
Corning
4.30%,
07/15/2047
300‌
334‌
$
1,834‌
Chemicals
-
0.39%
Dow
Chemical
Co/The
3.00%,
11/15/2022
25‌
26‌
3.50%,
10/01/2024
250‌
270‌
4.38%,
11/15/2042
610‌
675‌
9.40%,
05/15/2039
380‌
648‌
DuPont
de
Nemours
Inc
4.21%,
11/15/2023
400‌
436‌
4.49%,
11/15/2025
250‌
283‌
5.32%,
11/15/2038
145‌
177‌
5.42%,
11/15/2048
185‌
233‌
Eastman
Chemical
Co
4.65%,
10/15/2044
75‌
87‌
Ecolab
Inc
5.50%,
12/08/2041
200‌
284‌
LYB
International
Finance
BV
4.88%,
03/15/2044
530‌
621‌
LYB
International
Finance
II
BV
3.50%,
03/02/2027
300‌
326‌
LYB
International
Finance
III
LLC
4.20%,
10/15/2049
160‌
170‌
Mosaic
Co/The
4.25%,
11/15/2023
300‌
323‌
5.45%,
11/15/2033
500‌
582‌
5.63%,
11/15/2043
25‌
30‌
Nutrien
Ltd
3.00%,
04/01/2025
150‌
158‌
3.63%,
03/15/2024
550‌
591‌
5.25%,
01/15/2045
300‌
376‌
Praxair
Inc
2.20%,
08/15/2022
350‌
357‌
Sasol
Financing
USA
LLC
5.88%,
03/27/2024
1,350‌
1,438‌
Sherwin-Williams
Co/The
2.75%,
06/01/2022
1,134‌
1,167‌
2.95%,
08/15/2029
300‌
314‌
3.80%,
08/15/2049
125‌
137‌
Westlake
Chemical
Corp
5.00%,
08/15/2046
350‌
413‌
$
10,122‌
Commercial
Mortgage
Backed
Securities
-
1.53%
BANK
2018-BNK13
4.22%,
08/15/2061
(h)
1,250‌
1,464‌
CFCRE
Commercial
Mortgage
Trust
2017-C8
3.57%,
06/15/2050
1,000‌
1,109‌
Citigroup
Commercial
Mortgage
Trust
2013-GC15
4.37%,
09/10/2046
(h)
500‌
545‌
Citigroup
Commercial
Mortgage
Trust
2015-GC33
3.52%,
09/10/2058
1,000‌
1,089‌
COMM
2012-CCRE2
Mortgage
Trust
3.79%,
08/15/2045
200‌
209‌
COMM
2012-CCRE4
Mortgage
Trust
3.25%,
10/15/2045
500‌
508‌
COMM
2014-CCRE15
Mortgage
Trust
4.07%,
02/10/2047
(h)
500‌
547‌
COMM
2014-CCRE20
Mortgage
Trust
3.59%,
11/10/2047
302‌
328‌
COMM
2014-LC15
Mortgage
Trust
4.20%,
04/10/2047
350‌
382‌
COMM
2014-UBS3
Mortgage
Trust
3.82%,
06/10/2047
550‌
596‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
71
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Mortgage
Backed
Securities
(continued)
COMM
2015-DC1
Mortgage
Trust
3.08%,
02/10/2048
$
500‌
$
529‌
COMM
2015-LC19
Mortgage
Trust
3.18%,
02/10/2048
500‌
536‌
COMM
2015-PC1
Mortgage
Trust
3.90%,
07/10/2050
885‌
982‌
COMM
2016-CR28
Mortgage
Trust
3.76%,
02/10/2049
2,000‌
2,216‌
Fannie
Mae-Aces
2.30%,
09/25/2022
(h)
353‌
360‌
2.48%,
04/25/2022
277‌
282‌
2.51%,
11/25/2022
(h)
927‌
950‌
2.62%,
04/25/2023
(h)
92‌
94‌
2.83%,
04/25/2025
(h)
800‌
850‌
2.94%,
01/25/2026
(h)
1,601‌
1,724‌
2.98%,
12/25/2027
(h)
1,000‌
1,097‌
3.11%,
08/25/2024
(h)
905‌
969‌
3.38%,
07/25/2028
(h)
1,000‌
1,129‌
3.63%,
11/25/2028
(h)
250‌
288‌
Freddie
Mac
Multifamily
Structured
Pass
Through
Certificates
2.87%,
12/25/2021
319‌
325‌
3.02%,
02/25/2023
48‌
49‌
3.06%,
07/25/2023
(h)
150‌
158‌
3.17%,
10/25/2024
1,000‌
1,078‌
3.21%,
03/25/2025
1,248‌
1,355‌
3.24%,
04/25/2027
250‌
277‌
3.30%,
04/25/2023
(h)
500‌
529‌
3.41%,
12/25/2026
2,000‌
2,234‌
3.92%,
09/25/2028
(h)
1,000‌
1,172‌
GS
Mortgage
Securities
Trust
2011-GC5
3.71%,
08/10/2044
375‌
382‌
GS
Mortgage
Securities
Trust
2013-GCJ14
4.24%,
08/10/2046
50‌
54‌
GS
Mortgage
Securities
Trust
2015-GC28
3.40%,
02/10/2048
600‌
648‌
GS
Mortgage
Securities
Trust
2016-GS2
3.05%,
05/10/2049
1,000‌
1,068‌
JPMBB
Commercial
Mortgage
Securities
Trust
2013-C14
4.41%,
08/15/2046
(h)
500‌
540‌
JPMBB
Commercial
Mortgage
Securities
Trust
2014-C18
4.08%,
02/15/2047
50‌
55‌
JPMBB
Commercial
Mortgage
Securities
Trust
2014-C19
3.67%,
04/15/2047
500‌
510‌
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2013-C11
4.15%,
08/15/2046
(h)
1,130‌
1,225‌
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2013-C12
4.26%,
10/15/2046
(h)
500‌
544‌
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2014-C15
4.05%,
04/15/2047
580‌
634‌
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2015-C20
3.25%,
02/15/2048
500‌
536‌
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2015-C21
3.15%,
03/15/2048
567‌
589‌
Morgan
Stanley
Capital
I
Trust
2017-H1
3.26%,
06/15/2050
2,000‌
2,178‌
SG
Commercial
Mortgage
Securities
Trust
2016-C5
3.06%,
10/10/2048
950‌
1,014‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Mortgage
Backed
Securities
(continued)
UBS
Commercial
Mortgage
Trust
2012-C1
3.40%,
05/10/2045
$
64‌
$
66‌
UBS
Commercial
Mortgage
Trust
2018-C12
4.30%,
08/15/2051
2,000‌
2,354‌
UBS-Barclays
Commercial
Mortgage
Trust
2012-C3
3.09%,
08/10/2049
50‌
52‌
UBS-Barclays
Commercial
Mortgage
Trust
2012-C4
2.85%,
12/10/2045
100‌
103‌
WFRBS
Commercial
Mortgage
Trust
2012-C7
2.30%,
06/15/2045
80‌
80‌
WFRBS
Commercial
Mortgage
Trust
2013-C14
3.34%,
06/15/2046
500‌
527‌
WFRBS
Commercial
Mortgage
Trust
2014-C20
4.00%,
05/15/2047
500‌
546‌
$
39,665‌
Commercial
Services
-
0.21%
California
Institute
of
Technology
4.32%,
08/01/2045
50‌
67‌
4.70%,
11/01/2111
250‌
367‌
Global
Payments
Inc
2.65%,
02/15/2025
140‌
145‌
3.20%,
08/15/2029
140‌
149‌
3.80%,
04/01/2021
500‌
511‌
4.15%,
08/15/2049
70‌
80‌
4.80%,
04/01/2026
560‌
642‌
IHS
Markit
Ltd
3.63%,
05/01/2024
223‌
236‌
Massachusetts
Institute
of
Technology
3.89%,
07/01/2116
375‌
503‌
3.96%,
07/01/2038
185‌
229‌
4.68%,
07/01/2114
100‌
158‌
Moody's
Corp
4.50%,
09/01/2022
500‌
532‌
5.25%,
07/15/2044
90‌
123‌
PayPal
Holdings
Inc
2.20%,
09/26/2022
145‌
147‌
2.40%,
10/01/2024
145‌
149‌
2.85%,
10/01/2029
145‌
152‌
S&P
Global
Inc
2.50%,
12/01/2029
55‌
57‌
3.25%,
12/01/2049
55‌
62‌
4.00%,
06/15/2025
350‌
394‌
University
of
Southern
California
2.81%,
10/01/2050
675‌
719‌
5.25%,
10/01/2111
20‌
34‌
$
5,456‌
Computers
-
0.65%
Apple
Inc
1.70%,
09/11/2022
455‌
461‌
1.80%,
09/11/2024
345‌
350‌
2.20%,
09/11/2029
180‌
184‌
2.40%,
01/13/2023
75‌
77‌
2.40%,
05/03/2023
75‌
77‌
2.45%,
08/04/2026
750‌
787‌
2.50%,
02/09/2022
105‌
107‌
2.85%,
02/23/2023
785‌
819‌
2.90%,
09/12/2027
410‌
441‌
2.95%,
09/11/2049
(a)
140‌
147‌
3.00%,
11/13/2027
300‌
325‌
3.20%,
05/13/2025
595‌
642‌
3.20%,
05/11/2027
110‌
120‌
3.25%,
02/23/2026
825‌
901‌
3.35%,
02/09/2027
390‌
430‌
3.45%,
02/09/2045
375‌
423‌
3.75%,
09/12/2047
275‌
325‌
3.75%,
11/13/2047
195‌
231‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
72
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Computers
(continued)
Apple
Inc  
(continued)
3.85%,
05/04/2043
$
550‌
$
658‌
4.38%,
05/13/2045
80‌
102‌
4.65%,
02/23/2046
170‌
226‌
Dell
International
LLC
/
EMC
Corp
4.00%,
07/15/2024
(g)
300‌
322‌
4.42%,
06/15/2021
(g)
800‌
824‌
5.30%,
10/01/2029
(g)
300‌
345‌
5.45%,
06/15/2023
(g)
105‌
116‌
6.02%,
06/15/2026
(g)
300‌
352‌
8.10%,
07/15/2036
(g)
370‌
508‌
8.35%,
07/15/2046
(g)
245‌
334‌
DXC
Technology
Co
4.75%,
04/15/2027
100‌
110‌
Hewlett
Packard
Enterprise
Co
2.25%,
04/01/2023
140‌
143‌
4.90%,
10/15/2025
200‌
227‌
6.20%,
10/15/2035
75‌
94‌
6.35%,
10/15/2045
255‌
319‌
HP
Inc
6.00%,
09/15/2041
355‌
407‌
International
Business
Machines
Corp
2.25%,
02/19/2021
140‌
141‌
2.50%,
01/27/2022
500‌
511‌
2.85%,
05/13/2022
500‌
516‌
3.00%,
05/15/2024
580‌
615‌
3.30%,
05/15/2026
500‌
547‌
3.45%,
02/19/2026
800‌
875‌
3.50%,
05/15/2029
500‌
561‌
4.00%,
06/20/2042
400‌
475‌
4.15%,
05/15/2039
195‌
236‌
4.25%,
05/15/2049
290‌
362‌
4.70%,
02/19/2046
145‌
191‌
$
16,964‌
Consumer
Products
-
0.04%
Church
&
Dwight
Co
Inc
3.95%,
08/01/2047
200‌
238‌
Clorox
Co/The
3.80%,
11/15/2021
30‌
31‌
Kimberly-Clark
Corp
2.40%,
03/01/2022
30‌
31‌
2.75%,
02/15/2026
600‌
638‌
2.88%,
02/07/2050
155‌
160‌
$
1,098‌
Cosmetics
&
Personal
Care
-
0.11%
Colgate-Palmolive
Co
2.45%,
11/15/2021
500‌
510‌
Estee
Lauder
Cos
Inc/The
2.00%,
12/01/2024
(a)
235‌
242‌
2.38%,
12/01/2029
235‌
243‌
Procter
&
Gamble
Co/The
1.70%,
11/03/2021
500‌
506‌
2.30%,
02/06/2022
500‌
511‌
2.45%,
11/03/2026
75‌
81‌
Unilever
Capital
Corp
2.13%,
09/06/2029
500‌
502‌
2.60%,
05/05/2024
200‌
210‌
$
2,805‌
Credit
Card
Asset
Backed
Securities
-
0.20%
BA
Credit
Card
Trust
2.70%,
07/17/2023
1,675‌
1,697‌
Capital
One
Multi-Asset
Execution
Trust
2.84%,
12/15/2024
1,000‌
1,030‌
Citibank
Credit
Card
Issuance
Trust
2.88%,
01/23/2023
605‌
614‌
Discover
Card
Execution
Note
Trust
2.39%,
07/15/2024
1,150‌
1,174‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Credit
Card
Asset
Backed
Securities
(continued)
Synchrony
Credit
Card
Master
Note
Trust
2.21%,
05/15/2024
$
250‌
$
253‌
2.97%,
03/15/2024
445‌
453‌
$
5,221‌
Distribution
&
Wholesale
-
0.02%
WW
Grainger
Inc
4.60%,
06/15/2045
500‌
630‌
Diversified
Financial
Services
-
0.87%
AerCap
Ireland
Capital
DAC
/
AerCap
Global
Aviation
Trust
2.88%,
08/14/2024
1,610‌
1,648‌
3.95%,
02/01/2022
200‌
207‌
Air
Lease
Corp
2.25%,
01/15/2023
195‌
196‌
2.30%,
02/01/2025
585‌
585‌
2.50%,
03/01/2021
100‌
101‌
3.25%,
10/01/2029
685‌
696‌
Ally
Financial
Inc
8.00%,
11/01/2031
520‌
722‌
American
Express
Co
2.50%,
08/01/2022
1,075‌
1,097‌
2.50%,
07/30/2024
220‌
228‌
2.65%,
12/02/2022
75‌
77‌
2.75%,
05/20/2022
300‌
307‌
4.05%,
12/03/2042
600‌
758‌
American
Express
Credit
Corp
2.70%,
03/03/2022
75‌
77‌
Ameriprise
Financial
Inc
4.00%,
10/15/2023
775‌
841‌
BlackRock
Inc
2.40%,
04/30/2030
325‌
339‌
3.38%,
06/01/2022
30‌
31‌
4.25%,
05/24/2021
500‌
519‌
Brookfield
Finance
Inc
4.85%,
03/29/2029
500‌
595‌
Brookfield
Finance
LLC
3.45%,
04/15/2050
155‌
154‌
Capital
One
Financial
Corp
3.20%,
02/05/2025
60‌
63‌
3.30%,
10/30/2024
75‌
80‌
3.50%,
06/15/2023
40‌
42‌
4.25%,
04/30/2025
1,250‌
1,387‌
4.75%,
07/15/2021
400‌
417‌
Charles
Schwab
Corp/The
3.00%,
03/10/2025
300‌
320‌
CME
Group
Inc
3.00%,
09/15/2022
50‌
52‌
3.00%,
03/15/2025
575‌
612‌
Discover
Financial
Services
4.10%,
02/09/2027
75‌
82‌
GE
Capital
International
Funding
Co
Unlimited
Co
3.37%,
11/15/2025
1,075‌
1,146‌
4.42%,
11/15/2035
2,375‌
2,715‌
Intercontinental
Exchange
Inc
3.75%,
12/01/2025
75‌
82‌
4.00%,
10/15/2023
475‌
510‌
4.25%,
09/21/2048
105‌
126‌
Jefferies
Group
LLC
6.88%,
04/15/2021
280‌
296‌
Jefferies
Group
LLC
/
Jefferies
Group
Capital
Finance
Inc
4.15%,
01/23/2030
490‌
533‌
Lazard
Group
LLC
4.50%,
09/19/2028
300‌
346‌
Legg
Mason
Inc
4.75%,
03/15/2026
500‌
582‌
5.63%,
01/15/2044
25‌
34‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
73
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Diversified
Financial
Services
(continued)
Mastercard
Inc
2.00%,
03/03/2025
$
270‌
$
277‌
2.95%,
11/21/2026
300‌
324‌
3.38%,
04/01/2024
150‌
163‌
Private
Export
Funding
Corp
2.80%,
05/15/2022
500‌
518‌
Synchrony
Financial
4.25%,
08/15/2024
290‌
312‌
4.50%,
07/23/2025
575‌
632‌
Visa
Inc
2.75%,
09/15/2027
95‌
101‌
2.80%,
12/14/2022
75‌
78‌
3.15%,
12/14/2025
470‌
511‌
3.65%,
09/15/2047
500‌
594‌
4.15%,
12/14/2035
305‌
378‌
$
22,491‌
Electric
-
1.90%
AEP
Texas
Inc
3.45%,
01/15/2050
50‌
53‌
3.95%,
06/01/2028
400‌
457‌
Alabama
Power
Co
4.30%,
07/15/2048
440‌
545‌
Ameren
Illinois
Co
2.70%,
09/01/2022
530‌
545‌
3.25%,
03/15/2050
75‌
84‌
Arizona
Public
Service
Co
4.35%,
11/15/2045
400‌
509‌
Baltimore
Gas
&
Electric
Co
3.20%,
09/15/2049
315‌
333‌
Berkshire
Hathaway
Energy
Co
3.75%,
11/15/2023
750‌
809‌
3.80%,
07/15/2048
125‌
143‌
6.13%,
04/01/2036
450‌
642‌
CenterPoint
Energy
Houston
Electric
LLC
4.25%,
02/01/2049
300‌
386‌
CenterPoint
Energy
Inc
2.50%,
09/01/2024
60‌
62‌
2.95%,
03/01/2030
100‌
104‌
3.70%,
09/01/2049
60‌
66‌
Commonwealth
Edison
Co
3.00%,
03/01/2050
155‌
161‌
4.70%,
01/15/2044
150‌
193‌
Connecticut
Light
&
Power
Co/The
3.20%,
03/15/2027
140‌
153‌
Consolidated
Edison
Co
of
New
York
Inc
3.70%,
11/15/2059
80‌
90‌
3.88%,
06/15/2047
300‌
350‌
4.30%,
12/01/2056
445‌
546‌
6.75%,
04/01/2038
530‌
809‌
Consumers
Energy
Co
3.10%,
08/15/2050
205‌
221‌
Dominion
Energy
Inc
4.05%,
09/15/2042
500‌
561‌
Dominion
Energy
South
Carolina
Inc
5.45%,
02/01/2041
540‌
739‌
DTE
Electric
Co
2.25%,
03/01/2030
155‌
158‌
3.70%,
03/15/2045
200‌
229‌
3.95%,
03/01/2049
300‌
365‌
DTE
Energy
Co
2.25%,
11/01/2022
145‌
147‌
3.50%,
06/01/2024
500‌
533‌
Duke
Energy
Carolinas
LLC
2.45%,
08/15/2029
175‌
182‌
3.20%,
08/15/2049
200‌
215‌
4.00%,
09/30/2042
280‌
334‌
5.30%,
02/15/2040
250‌
343‌
6.00%,
12/01/2028
500‌
650‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Electric
(continued)
Duke
Energy
Corp
1.80%,
09/01/2021
$
500‌
$
503‌
2.65%,
09/01/2026
90‌
94‌
3.15%,
08/15/2027
90‌
97‌
Duke
Energy
Florida
LLC
2.50%,
12/01/2029
125‌
130‌
3.20%,
01/15/2027
500‌
544‌
3.40%,
10/01/2046
200‌
216‌
Duke
Energy
Progress
LLC
3.60%,
09/15/2047
610‌
687‌
4.38%,
03/30/2044
400‌
502‌
Emera
US
Finance
LP
3.55%,
06/15/2026
300‌
326‌
4.75%,
06/15/2046
75‌
92‌
Entergy
Louisiana
LLC
3.12%,
09/01/2027
300‌
328‌
3.25%,
04/01/2028
500‌
550‌
Entergy
Texas
Inc
4.00%,
03/30/2029
300‌
348‌
Evergy
Inc
2.45%,
09/15/2024
140‌
144‌
4.85%,
06/01/2021
30‌
31‌
Evergy
Metro
Inc
4.13%,
04/01/2049
400‌
500‌
Exelon
Corp
3.40%,
04/15/2026
1,840‌
1,988‌
3.50%,
06/01/2022
90‌
93‌
4.95%,
06/15/2035
320‌
392‌
Exelon
Generation
Co
LLC
4.25%,
06/15/2022
500‌
527‌
FirstEnergy
Corp
3.90%,
07/15/2027
735‌
814‌
4.85%,
07/15/2047
475‌
585‌
7.38%,
11/15/2031
60‌
88‌
Florida
Power
&
Light
Co
2.75%,
06/01/2023
500‌
522‌
3.15%,
10/01/2049
180‌
200‌
3.70%,
12/01/2047
70‌
81‌
4.05%,
10/01/2044
145‌
177‌
5.65%,
02/01/2037
250‌
356‌
Fortis
Inc/Canada
3.06%,
10/04/2026
310‌
329‌
Georgia
Power
Co
2.20%,
09/15/2024
140‌
143‌
3.25%,
03/30/2027
750‌
809‌
Hydro-Quebec
8.05%,
07/07/2024
530‌
680‌
MidAmerican
Energy
Co
3.15%,
04/15/2050
145‌
157‌
3.65%,
04/15/2029
300‌
340‌
Mississippi
Power
Co
4.25%,
03/15/2042
30‌
35‌
National
Rural
Utilities
Cooperative
Finance
Corp
2.40%,
03/15/2030
430‌
449‌
2.85%,
01/27/2025
100‌
106‌
3.05%,
02/15/2022
530‌
545‌
Nevada
Power
Co
2.40%,
05/01/2030
445‌
456‌
NextEra
Energy
Capital
Holdings
Inc
2.40%,
09/01/2021
765‌
777‌
2.75%,
11/01/2029
105‌
110‌
3.55%,
05/01/2027
475‌
517‌
5.65%,
05/01/2079
(e)
350‌
397‌
3
Month
USD
LIBOR
+
3.16%
Northern
States
Power
Co/MN
2.90%,
03/01/2050
70‌
72‌
5.35%,
11/01/2039
30‌
42‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
74
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Electric
(continued)
NSTAR
Electric
Co
2.38%,
10/15/2022
$
500‌
$
513‌
3.20%,
05/15/2027
300‌
326‌
Oncor
Electric
Delivery
Co
LLC
3.10%,
09/15/2049
195‌
213‌
5.25%,
09/30/2040
530‌
750‌
PacifiCorp
6.00%,
01/15/2039
500‌
734‌
PECO
Energy
Co
2.38%,
09/15/2022
330‌
338‌
3.70%,
09/15/2047
297‌
347‌
4.15%,
10/01/2044
400‌
486‌
Potomac
Electric
Power
Co
3.60%,
03/15/2024
30‌
32‌
PPL
Capital
Funding
Inc
3.50%,
12/01/2022
700‌
731‌
PPL
Electric
Utilities
Corp
3.00%,
10/01/2049
70‌
73‌
3.95%,
06/01/2047
300‌
358‌
Progress
Energy
Inc
3.15%,
04/01/2022
40‌
41‌
7.75%,
03/01/2031
500‌
740‌
PSEG
Power
LLC
8.63%,
04/15/2031
300‌
428‌
Public
Service
Co
of
Colorado
3.70%,
06/15/2028
200‌
230‌
3.80%,
06/15/2047
400‌
467‌
Public
Service
Electric
&
Gas
Co
2.45%,
01/15/2030
155‌
162‌
3.15%,
01/01/2050
155‌
170‌
3.25%,
09/01/2023
200‌
212‌
3.65%,
09/01/2028
200‌
228‌
Puget
Energy
Inc
6.00%,
09/01/2021
500‌
534‌
Puget
Sound
Energy
Inc
3.25%,
09/15/2049
700‌
740‌
San
Diego
Gas
&
Electric
Co
4.50%,
08/15/2040
350‌
444‌
Sempra
Energy
4.00%,
02/01/2048
70‌
77‌
6.00%,
10/15/2039
394‌
550‌
Southern
California
Edison
Co
2.85%,
08/01/2029
100‌
104‌
3.65%,
02/01/2050
310‌
333‌
4.00%,
04/01/2047
70‌
80‌
4.65%,
10/01/2043
915‌
1,125‌
5.50%,
03/15/2040
350‌
473‌
5.95%,
02/01/2038
30‌
43‌
Southern
Co/The
2.35%,
07/01/2021
430‌
433‌
2.95%,
07/01/2023
105‌
109‌
4.40%,
07/01/2046
1,350‌
1,579‌
Southern
Power
Co
2.50%,
12/15/2021
300‌
305‌
4.95%,
12/15/2046
300‌
372‌
Southwestern
Electric
Power
Co
3.85%,
02/01/2048
300‌
333‌
4.10%,
09/15/2028
500‌
573‌
6.20%,
03/15/2040
390‌
558‌
Southwestern
Public
Service
Co
4.50%,
08/15/2041
300‌
384‌
Tampa
Electric
Co
4.45%,
06/15/2049
300‌
393‌
Union
Electric
Co
3.65%,
04/15/2045
500‌
575‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Electric
(continued)
Virginia
Electric
&
Power
Co
2.88%,
07/15/2029
$
495‌
$
529‌
3.15%,
01/15/2026
775‌
834‌
3.30%,
12/01/2049
560‌
602‌
WEC
Energy
Group
Inc
3.55%,
06/15/2025
70‌
76‌
Wisconsin
Electric
Power
Co
2.05%,
12/15/2024
500‌
514‌
Xcel
Energy
Inc
2.60%,
12/01/2029
140‌
143‌
4.00%,
06/15/2028
300‌
342‌
$
49,332‌
Electronics
-
0.04%
Arrow
Electronics
Inc
4.50%,
03/01/2023
30‌
32‌
Honeywell
International
Inc
2.15%,
08/08/2022
70‌
72‌
2.30%,
08/15/2024
595‌
618‌
2.70%,
08/15/2029
70‌
75‌
Roper
Technologies
Inc
2.35%,
09/15/2024
90‌
93‌
2.95%,
09/15/2029
75‌
80‌
Tyco
Electronics
Group
SA
7.13%,
10/01/2037
37‌
59‌
$
1,029‌
Environmental
Control
-
0.09%
Republic
Services
Inc
2.30%,
03/01/2030
85‌
85‌
2.50%,
08/15/2024
515‌
535‌
2.90%,
07/01/2026
535‌
569‌
Waste
Management
Inc
3.50%,
05/15/2024
1,000‌
1,076‌
4.15%,
07/15/2049
155‌
193‌
$
2,458‌
Finance
-
Mortgage
Loan/Banker
-
0.69%
Fannie
Mae
1.25%,
05/06/2021
300‌
301‌
1.38%,
09/06/2022
300‌
303‌
2.00%,
01/05/2022
500‌
510‌
2.13%,
04/24/2026
1,000‌
1,061‌
2.25%,
04/12/2022
500‌
514‌
2.50%,
02/05/2024
500‌
529‌
2.63%,
01/11/2022
500‌
515‌
2.63%,
09/06/2024
1,550‌
1,662‌
5.63%,
07/15/2037
65‌
103‌
6.63%,
11/15/2030
500‌
756‌
7.13%,
01/15/2030
250‌
382‌
7.25%,
05/15/2030
249‌
387‌
Federal
Home
Loan
Banks
1.13%,
07/14/2021
950‌
952‌
1.88%,
11/29/2021
1,250‌
1,270‌
2.50%,
02/13/2024
1,900‌
2,010‌
3.00%,
10/12/2021
1,500‌
1,549‌
3.25%,
11/16/2028
1,000‌
1,157‌
5.50%,
07/15/2036
530‌
808‌
5.63%,
06/11/2021
65‌
69‌
Freddie
Mac
2.38%,
01/13/2022
1,250‌
1,282‌
2.75%,
06/19/2023
(a)
1,000‌
1,058‌
6.25%,
07/15/2032
500‌
768‌
6.75%,
03/15/2031
43‌
66‌
$
18,012‌
Food
-
0.27%
Campbell
Soup
Co
3.95%,
03/15/2025
565‌
614‌
4.15%,
03/15/2028
185‌
206‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
75
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Food
(continued)
Conagra
Brands
Inc
4.30%,
05/01/2024
$
500‌
$
544‌
4.85%,
11/01/2028
140‌
163‌
5.30%,
11/01/2038
85‌
103‌
5.40%,
11/01/2048
85‌
107‌
General
Mills
Inc
3.15%,
12/15/2021
30‌
31‌
3.70%,
10/17/2023
475‌
511‌
4.00%,
04/17/2025
75‌
83‌
4.20%,
04/17/2028
150‌
173‌
JM
Smucker
Co/The
3.00%,
03/15/2022
300‌
310‌
4.25%,
03/15/2035
300‌
350‌
Kellogg
Co
2.65%,
12/01/2023
384‌
400‌
Koninklijke
Ahold
Delhaize
NV
5.70%,
10/01/2040
9‌
12‌
Kroger
Co/The
2.95%,
11/01/2021
500‌
511‌
3.95%,
01/15/2050
420‌
435‌
4.45%,
02/01/2047
25‌
28‌
5.15%,
08/01/2043
300‌
376‌
5.40%,
07/15/2040
30‌
38‌
Sysco
Corp
2.40%,
02/15/2030
285‌
291‌
3.30%,
07/15/2026
500‌
544‌
Tyson
Foods
Inc
3.55%,
06/02/2027
75‌
82‌
4.35%,
03/01/2029
675‌
793‌
4.88%,
08/15/2034
350‌
432‌
$
7,137‌
Forest
Products
&
Paper
-
0.09%
Fibria
Overseas
Finance
Ltd
5.50%,
01/17/2027
300‌
327‌
Georgia-Pacific
LLC
7.75%,
11/15/2029
20‌
30‌
8.00%,
01/15/2024
400‌
497‌
International
Paper
Co
3.65%,
06/15/2024
250‌
270‌
4.40%,
08/15/2047
350‌
394‌
7.30%,
11/15/2039
326‌
482‌
Suzano
Austria
GmbH
5.00%,
01/15/2030
350‌
364‌
$
2,364‌
Gas
-
0.11%
Atmos
Energy
Corp
3.38%,
09/15/2049
145‌
159‌
4.13%,
10/15/2044
250‌
297‌
Dominion
Energy
Gas
Holdings
LLC
2.50%,
11/15/2024
150‌
155‌
4.60%,
12/15/2044
200‌
237‌
NiSource
Inc
4.38%,
05/15/2047
630‌
739‌
Southern
California
Gas
Co
2.55%,
02/01/2030
155‌
164‌
3.15%,
09/15/2024
500‌
536‌
Washington
Gas
Light
Co
3.80%,
09/15/2046
500‌
553‌
$
2,840‌
Hand
&
Machine
Tools
-
0.04%
Snap-on
Inc
3.25%,
03/01/2027
500‌
544‌
Stanley
Black
&
Decker
Inc
2.30%,
03/15/2030
155‌
157‌
3.40%,
12/01/2021
250‌
258‌
$
959‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Healthcare
-
Products
-
0.28%
Abbott
Laboratories
3.75%,
11/30/2026
$
327‌
$
369‌
4.75%,
04/15/2043
300‌
399‌
4.90%,
11/30/2046
400‌
557‌
Baxter
International
Inc
2.60%,
08/15/2026
400‌
419‌
Boston
Scientific
Corp
3.85%,
05/15/2025
484‌
533‌
Danaher
Corp
4.38%,
09/15/2045
300‌
380‌
DH
Europe
Finance
II
Sarl
2.05%,
11/15/2022
150‌
153‌
2.60%,
11/15/2029
150‌
156‌
3.25%,
11/15/2039
150‌
163‌
Koninklijke
Philips
NV
5.00%,
03/15/2042
30‌
40‌
Medtronic
Inc
3.15%,
03/15/2022
421‌
437‌
3.50%,
03/15/2025
394‌
432‌
4.38%,
03/15/2035
222‌
283‌
4.63%,
03/15/2045
86‌
116‌
Stryker
Corp
3.38%,
11/01/2025
75‌
82‌
3.50%,
03/15/2026
575‌
629‌
4.38%,
05/15/2044
25‌
31‌
Thermo
Fisher
Scientific
Inc
2.60%,
10/01/2029
145‌
151‌
2.95%,
09/19/2026
300‌
320‌
4.15%,
02/01/2024
600‌
655‌
Zimmer
Biomet
Holdings
Inc
3.15%,
04/01/2022
275‌
283‌
3.55%,
04/01/2025
575‌
617‌
$
7,205‌
Healthcare
-
Services
-
0.56%
Advocate
Health
&
Hospitals
Corp
3.83%,
08/15/2028
300‌
345‌
Aetna
Inc
2.75%,
11/15/2022
250‌
256‌
2.80%,
06/15/2023
50‌
51‌
3.88%,
08/15/2047
60‌
63‌
6.63%,
06/15/2036
253‌
351‌
6.75%,
12/15/2037
205‌
293‌
AHS
Hospital
Corp
5.02%,
07/01/2045
400‌
557‌
Anthem
Inc
2.88%,
09/15/2029
220‌
227‌
3.50%,
08/15/2024
450‌
481‌
3.65%,
12/01/2027
360‌
394‌
4.10%,
03/01/2028
255‌
286‌
4.38%,
12/01/2047
300‌
343‌
4.65%,
01/15/2043
30‌
35‌
4.65%,
08/15/2044
650‌
759‌
Baylor
Scott
&
White
Holdings
4.19%,
11/15/2045
125‌
156‌
Duke
University
Health
System
Inc
3.92%,
06/01/2047
300‌
380‌
HCA
Inc
4.75%,
05/01/2023
500‌
541‌
5.25%,
06/15/2026
970‌
1,109‌
Humana
Inc
3.13%,
08/15/2029
70‌
74‌
4.63%,
12/01/2042
500‌
587‌
Kaiser
Foundation
Hospitals
3.27%,
11/01/2049
225‌
249‌
Laboratory
Corp
of
America
Holdings
2.30%,
12/01/2024
300‌
307‌
2.95%,
12/01/2029
300‌
313‌
4.70%,
02/01/2045
250‌
301‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
76
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Healthcare
-
Services
(continued)
Memorial
Sloan-Kettering
Cancer
Center
4.13%,
07/01/2052
$
150‌
$
190‌
4.20%,
07/01/2055
250‌
323‌
Northwell
Healthcare
Inc
3.98%,
11/01/2046
500‌
579‌
Partners
Healthcare
System
Inc
3.19%,
07/01/2049
310‌
328‌
Providence
St
Joseph
Health
Obligated
Group
3.74%,
10/01/2047
250‌
293‌
Quest
Diagnostics
Inc
2.95%,
06/30/2030
155‌
160‌
Trinity
Health
Corp
4.13%,
12/01/2045
250‌
310‌
UnitedHealth
Group
Inc
2.38%,
08/15/2024
250‌
258‌
2.88%,
03/15/2023
250‌
261‌
2.88%,
08/15/2029
150‌
160‌
3.10%,
03/15/2026
250‌
269‌
3.50%,
08/15/2039
375‌
413‌
3.70%,
08/15/2049
300‌
335‌
3.75%,
07/15/2025
440‌
488‌
4.25%,
06/15/2048
110‌
133‌
4.45%,
12/15/2048
95‌
119‌
4.75%,
07/15/2045
500‌
642‌
6.50%,
06/15/2037
500‌
739‌
$
14,458‌
Home
Furnishings
-
0.01%
Leggett
&
Platt
Inc
4.40%,
03/15/2029
250‌
286‌
Insurance
-
0.77%
Aflac
Inc
3.63%,
11/15/2024
300‌
327‌
Alleghany
Corp
4.90%,
09/15/2044
500‌
645‌
Allstate
Corp/The
3.28%,
12/15/2026
335‌
364‌
5.35%,
06/01/2033
350‌
476‌
American
International
Group
Inc
3.75%,
07/10/2025
75‌
82‌
3.90%,
04/01/2026
500‌
554‌
4.20%,
04/01/2028
485‌
543‌
4.25%,
03/15/2029
300‌
343‌
4.38%,
01/15/2055
300‌
349‌
4.50%,
07/16/2044
75‌
92‌
4.88%,
06/01/2022
955‌
1,018‌
5.75%,
04/01/2048
(e)
400‌
442‌
3
Month
USD
LIBOR
+
2.87%
Aon
Corp
2.20%,
11/15/2022
60‌
61‌
Aon
PLC
3.50%,
06/14/2024
250‌
268‌
4.75%,
05/15/2045
270‌
355‌
Athene
Holding
Ltd
4.13%,
01/12/2028
575‌
612‌
AXA
SA
8.60%,
12/15/2030
30‌
44‌
Berkshire
Hathaway
Finance
Corp
4.20%,
08/15/2048
180‌
220‌
5.75%,
01/15/2040
25‌
36‌
Berkshire
Hathaway
Inc
2.75%,
03/15/2023
60‌
62‌
3.13%,
03/15/2026
275‌
298‌
3.75%,
08/15/2021
750‌
776‌
4.50%,
02/11/2043
350‌
447‌
Brown
&
Brown
Inc
4.50%,
03/15/2029
300‌
345‌
Chubb
Corp/The
6.50%,
05/15/2038
326‌
504‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Insurance
(continued)
Chubb
INA
Holdings
Inc
2.70%,
03/13/2023
$
300‌
$
312‌
2.88%,
11/03/2022
500‌
520‌
CNA
Financial
Corp
5.75%,
08/15/2021
40‌
43‌
Equitable
Holdings
Inc
4.35%,
04/20/2028
140‌
158‌
5.00%,
04/20/2048
90‌
102‌
First
American
Financial
Corp
4.60%,
11/15/2024
300‌
331‌
Hartford
Financial
Services
Group
Inc/The
3.60%,
08/19/2049
140‌
154‌
Manulife
Financial
Corp
4.15%,
03/04/2026
300‌
341‌
Marsh
&
McLennan
Cos
Inc
4.38%,
03/15/2029
1,650‌
1,924‌
4.90%,
03/15/2049
110‌
150‌
MetLife
Inc
3.60%,
11/13/2025
400‌
441‌
4.05%,
03/01/2045
450‌
539‌
4.13%,
08/13/2042
250‌
299‌
4.60%,
05/13/2046
195‌
254‌
4.88%,
11/13/2043
50‌
67‌
6.40%,
12/15/2066
430‌
531‌
3
Month
USD
LIBOR
+
2.21%
Progressive
Corp/The
3.75%,
08/23/2021
30‌
31‌
4.20%,
03/15/2048
400‌
506‌
4.35%,
04/25/2044
30‌
38‌
Prudential
Financial
Inc
3.70%,
03/13/2051
185‌
197‌
3.91%,
12/07/2047
570‌
645‌
4.35%,
02/25/2050
565‌
673‌
5.20%,
03/15/2044
(e)
400‌
427‌
3
Month
USD
LIBOR
+
3.04%
5.70%,
12/14/2036
280‌
401‌
Reinsurance
Group
of
America
Inc
4.70%,
09/15/2023
30‌
33‌
Travelers
Cos
Inc/The
4.00%,
05/30/2047
930‌
1,153‌
Voya
Financial
Inc
3.65%,
06/15/2026
335‌
370‌
Willis
North
America
Inc
2.95%,
09/15/2029
50‌
52‌
3.88%,
09/15/2049
140‌
154‌
$
20,109‌
Internet
-
0.26%
Alibaba
Group
Holding
Ltd
3.40%,
12/06/2027
260‌
280‌
3.60%,
11/28/2024
1,325‌
1,424‌
4.40%,
12/06/2057
240‌
305‌
Alphabet
Inc
2.00%,
08/15/2026
500‌
517‌
Amazon.com
Inc
2.40%,
02/22/2023
300‌
309‌
2.50%,
11/29/2022
75‌
77‌
2.80%,
08/22/2024
75‌
79‌
3.15%,
08/22/2027
485‌
532‌
3.80%,
12/05/2024
75‌
83‌
3.88%,
08/22/2037
1,005‌
1,209‌
4.25%,
08/22/2057
75‌
101‌
4.80%,
12/05/2034
350‌
464‌
Baidu
Inc
4.13%,
06/30/2025
650‌
716‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
77
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Internet
(continued)
eBay
Inc
2.60%,
07/15/2022
$
450‌
$
460‌
3.45%,
08/01/2024
60‌
64‌
4.00%,
07/15/2042
20‌
20‌
$
6,640‌
Iron
&
Steel
-
0.07%
ArcelorMittal
SA
3.60%,
07/16/2024
525‌
545‌
4.25%,
07/16/2029
65‌
67‌
Nucor
Corp
4.00%,
08/01/2023
250‌
269‌
Steel
Dynamics
Inc
2.80%,
12/15/2024
75‌
78‌
Vale
Overseas
Ltd
6.25%,
08/10/2026
200‌
235‌
6.88%,
11/10/2039
550‌
729‌
$
1,923‌
Leisure
Products
&
Services
-
0.03%
Harley-Davidson
Inc
3.50%,
07/28/2025
300‌
319‌
Royal
Caribbean
Cruises
Ltd
5.25%,
11/15/2022
300‌
323‌
7.50%,
10/15/2027
100‌
129‌
$
771‌
Lodging
-
0.10%
Las
Vegas
Sands
Corp
3.20%,
08/08/2024
140‌
145‌
3.50%,
08/18/2026
70‌
73‌
3.90%,
08/08/2029
140‌
149‌
Marriott
International
Inc/MD
2.30%,
01/15/2022
350‌
355‌
2.88%,
03/01/2021
600‌
607‌
Sands
China
Ltd
5.13%,
08/08/2025
1,185‌
1,330‌
$
2,659‌
Machinery
-
Construction
&
Mining
-
0.09%
Caterpillar
Financial
Services
Corp
1.70%,
08/09/2021
250‌
251‌
1.90%,
09/06/2022
360‌
364‌
1.93%,
10/01/2021
500‌
503‌
1.95%,
11/18/2022
580‌
588‌
Caterpillar
Inc
3.25%,
09/19/2049
145‌
157‌
3.40%,
05/15/2024
500‌
537‌
3.80%,
08/15/2042
50‌
59‌
$
2,459‌
Machinery
-
Diversified
-
0.15%
Deere
&
Co
2.88%,
09/07/2049
140‌
144‌
3.90%,
06/09/2042
500‌
613‌
Dover
Corp
5.38%,
03/01/2041
30‌
40‌
John
Deere
Capital
Corp
1.95%,
06/13/2022
865‌
879‌
2.05%,
01/09/2025
155‌
160‌
2.80%,
03/06/2023
500‌
523‌
2.80%,
07/18/2029
255‌
274‌
3.35%,
06/12/2024
300‌
323‌
Otis
Worldwide
Corp
2.06%,
04/05/2025
(g)
155‌
158‌
2.57%,
02/15/2030
(g)
155‌
159‌
3.36%,
02/15/2050
(g)
155‌
160‌
Westinghouse
Air
Brake
Technologies
Corp
4.95%,
09/15/2028
300‌
344‌
$
3,777‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Media
-
0.90%
Charter
Communications
Operating
LLC
/
Charter
Communications
Operating
Capital
4.46%,
07/23/2022
$
1,075‌
$
1,139‌
4.80%,
03/01/2050
260‌
281‌
4.91%,
07/23/2025
70‌
79‌
5.38%,
04/01/2038
50‌
58‌
5.38%,
05/01/2047
575‌
658‌
5.75%,
04/01/2048
280‌
333‌
6.38%,
10/23/2035
1,030‌
1,360‌
Comcast
Cable
Communications
Holdings
Inc
9.46%,
11/15/2022
20‌
24‌
Comcast
Corp
2.35%,
01/15/2027
155‌
160‌
2.65%,
02/01/2030
115‌
121‌
2.75%,
03/01/2023
50‌
52‌
2.85%,
01/15/2023
25‌
26‌
3.13%,
07/15/2022
610‌
636‌
3.15%,
03/01/2026
75‌
81‌
3.15%,
02/15/2028
365‌
396‌
3.25%,
11/01/2039
230‌
249‌
3.38%,
02/15/2025
635‌
686‌
3.38%,
08/15/2025
300‌
326‌
3.45%,
02/01/2050
470‌
519‌
3.55%,
05/01/2028
225‌
250‌
3.70%,
04/15/2024
475‌
516‌
3.90%,
03/01/2038
290‌
338‌
3.97%,
11/01/2047
105‌
124‌
4.00%,
03/01/2048
200‌
237‌
4.00%,
11/01/2049
205‌
244‌
4.05%,
11/01/2052
90‌
107‌
4.15%,
10/15/2028
545‌
632‌
4.50%,
01/15/2043
25‌
31‌
4.60%,
08/15/2045
270‌
344‌
4.65%,
07/15/2042
75‌
94‌
4.70%,
10/15/2048
570‌
749‌
5.65%,
06/15/2035
500‌
693‌
6.40%,
03/01/2040
500‌
748‌
6.45%,
03/15/2037
620‌
913‌
Discovery
Communications
LLC
2.95%,
03/20/2023
75‌
78‌
3.95%,
06/15/2025
350‌
383‌
3.95%,
03/20/2028
500‌
547‌
5.00%,
09/20/2037
30‌
34‌
5.20%,
09/20/2047
385‌
454‌
6.35%,
06/01/2040
40‌
53‌
Fox
Corp
4.03%,
01/25/2024
(g)
300‌
325‌
4.71%,
01/25/2029
(g)
435‌
512‌
5.48%,
01/25/2039
(g)
110‌
141‌
5.58%,
01/25/2049
(g)
140‌
188‌
Grupo
Televisa
SAB
5.00%,
05/13/2045
300‌
350‌
NBCUniversal
Media
LLC
2.88%,
01/15/2023
10‌
10‌
Thomson
Reuters
Corp
3.35%,
05/15/2026
400‌
426‌
5.85%,
04/15/2040
30‌
40‌
Time
Warner
Cable
LLC
4.00%,
09/01/2021
55‌
57‌
4.50%,
09/15/2042
665‌
692‌
5.88%,
11/15/2040
400‌
478‌
6.55%,
05/01/2037
50‌
65‌
7.30%,
07/01/2038
60‌
82‌
Time
Warner
Entertainment
Co
LP
8.38%,
07/15/2033
20‌
29‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
78
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Media
(continued)
TWDC
Enterprises
18
Corp
2.75%,
08/16/2021
$
35‌
$
36‌
3.75%,
06/01/2021
525‌
542‌
7.00%,
03/01/2032
30‌
45‌
ViacomCBS
Inc
2.90%,
06/01/2023
1,000‌
1,035‌
3.88%,
12/15/2021
530‌
552‌
4.20%,
06/01/2029
(a)
300‌
337‌
4.38%,
03/15/2043
400‌
430‌
4.85%,
07/01/2042
300‌
340‌
7.88%,
07/30/2030
30‌
43‌
Walt
Disney
Co/The
1.75%,
08/30/2024
285‌
290‌
2.00%,
09/01/2029
250‌
252‌
2.75%,
09/01/2049
285‌
289‌
3.38%,
11/15/2026
170‌
188‌
4.75%,
11/15/2046
390‌
527‌
6.40%,
12/15/2035
179‌
267‌
$
23,321‌
Metal
Fabrication
&
Hardware
-
0.01%
Precision
Castparts
Corp
3.25%,
06/15/2025
75‌
81‌
3.90%,
01/15/2043
193‌
231‌
$
312‌
Mining
-
0.16%
Barrick
North
America
Finance
LLC
5.75%,
05/01/2043
280‌
395‌
BHP
Billiton
Finance
USA
Ltd
4.13%,
02/24/2042
170‌
208‌
5.00%,
09/30/2043
525‌
707‌
Newmont
Corp
3.50%,
03/15/2022
500‌
512‌
3.63%,
06/09/2021
30‌
31‌
3.70%,
03/15/2023
500‌
531‌
6.25%,
10/01/2039
100‌
143‌
Rio
Tinto
Alcan
Inc
5.75%,
06/01/2035
400‌
550‌
6.13%,
12/15/2033
30‌
43‌
Rio
Tinto
Finance
USA
Ltd
3.75%,
06/15/2025
75‌
83‌
Southern
Copper
Corp
3.88%,
04/23/2025
500‌
533‌
5.88%,
04/23/2045
350‌
449‌
$
4,185‌
Miscellaneous
Manufacturers
-
0.29%
3M
Co
1.75%,
02/14/2023
585‌
593‌
2.00%,
02/14/2025
340‌
347‌
2.38%,
08/26/2029
990‌
1,016‌
3.25%,
08/26/2049
100‌
105‌
Eaton
Corp
2.75%,
11/02/2022
520‌
539‌
4.15%,
11/02/2042
95‌
118‌
General
Electric
Co
2.70%,
10/09/2022
75‌
77‌
3.10%,
01/09/2023
75‌
78‌
3.15%,
09/07/2022
500‌
515‌
4.13%,
10/09/2042
3‌
3‌
5.88%,
01/14/2038
420‌
546‌
6.15%,
08/07/2037
660‌
867‌
6.75%,
03/15/2032
310‌
422‌
Illinois
Tool
Works
Inc
2.65%,
11/15/2026
90‌
97‌
3.50%,
03/01/2024
540‌
585‌
Ingersoll-Rand
Luxembourg
Finance
SA
3.50%,
03/21/2026
250‌
273‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Miscellaneous
Manufacturers
(continued)
Parker-Hannifin
Corp
3.30%,
11/21/2024
$
300‌
$
321‌
3.50%,
09/15/2022
30‌
31‌
4.10%,
03/01/2047
335‌
388‌
Textron
Inc
4.00%,
03/15/2026
500‌
548‌
$
7,469‌
Oil
&
Gas
-
1.63%
Apache
Corp
4.75%,
04/15/2043
280‌
264‌
BP
Capital
Markets
America
Inc
3.00%,
02/24/2050
155‌
153‌
3.02%,
01/16/2027
600‌
638‌
3.12%,
05/04/2026
110‌
117‌
3.25%,
05/06/2022
640‌
664‌
3.59%,
04/14/2027
200‌
220‌
3.79%,
02/06/2024
435‌
470‌
BP
Capital
Markets
PLC
2.50%,
11/06/2022
75‌
77‌
3.28%,
09/19/2027
115‌
124‌
3.51%,
03/17/2025
75‌
81‌
3.72%,
11/28/2028
630‌
702‌
Canadian
Natural
Resources
Ltd
3.80%,
04/15/2024
750‌
794‌
6.25%,
03/15/2038
400‌
522‌
Cenovus
Energy
Inc
3.00%,
08/15/2022
300‌
309‌
4.25%,
04/15/2027
300‌
322‌
Chevron
Corp
2.36%,
12/05/2022
350‌
359‌
2.95%,
05/16/2026
180‌
193‌
3.33%,
11/17/2025
165‌
181‌
CNOOC
Finance
2013
Ltd
2.88%,
09/30/2029
200‌
209‌
3.00%,
05/09/2023
500‌
518‌
CNOOC
Nexen
Finance
2014
ULC
4.25%,
04/30/2024
500‌
547‌
Concho
Resources
Inc
4.88%,
10/01/2047
175‌
206‌
ConocoPhillips
6.50%,
02/01/2039
490‌
726‌
ConocoPhillips
Co
4.95%,
03/15/2026
500‌
585‌
ConocoPhillips
Holding
Co
6.95%,
04/15/2029
400‌
546‌
Continental
Resources
Inc/OK
4.38%,
01/15/2028
400‌
390‌
Devon
Energy
Corp
5.00%,
06/15/2045
75‌
81‌
5.60%,
07/15/2041
570‌
648‌
Diamondback
Energy
Inc
2.88%,
12/01/2024
150‌
153‌
3.25%,
12/01/2026
150‌
152‌
Ecopetrol
SA
5.88%,
09/18/2023
390‌
431‌
5.88%,
05/28/2045
400‌
478‌
EOG
Resources
Inc
2.63%,
03/15/2023
480‌
494‌
4.15%,
01/15/2026
500‌
561‌
Equinor
ASA
3.15%,
01/23/2022
1,800‌
1,861‌
3.25%,
11/18/2049
190‌
202‌
Exxon
Mobil
Corp
1.90%,
08/16/2022
400‌
405‌
2.02%,
08/16/2024
200‌
205‌
2.28%,
08/16/2026
400‌
413‌
2.44%,
08/16/2029
190‌
198‌
3.00%,
08/16/2039
150‌
157‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
79
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Oil
&
Gas
(continued)
Exxon
Mobil
Corp  
(continued)
3.10%,
08/16/2049
$
950‌
$
980‌
Hess
Corp
4.30%,
04/01/2027
300‌
318‌
7.13%,
03/15/2033
21‌
27‌
7.30%,
08/15/2031
349‌
447‌
HollyFrontier
Corp
5.88%,
04/01/2026
500‌
559‌
Husky
Energy
Inc
4.00%,
04/15/2024
500‌
534‌
Marathon
Oil
Corp
2.80%,
11/01/2022
75‌
76‌
3.85%,
06/01/2025
500‌
528‌
4.40%,
07/15/2027
300‌
328‌
Marathon
Petroleum
Corp
3.63%,
09/15/2024
500‌
532‌
5.00%,
09/15/2054
200‌
223‌
Newfield
Exploration
Co
5.63%,
07/01/2024
300‌
326‌
Nexen
Inc
6.40%,
05/15/2037
730‌
1,070‌
7.50%,
07/30/2039
39‌
65‌
Noble
Energy
Inc
3.25%,
10/15/2029
290‌
292‌
4.20%,
10/15/2049
570‌
536‌
Occidental
Petroleum
Corp
2.60%,
08/13/2021
70‌
71‌
2.70%,
08/15/2022
305‌
311‌
2.70%,
02/15/2023
75‌
76‌
2.90%,
08/15/2024
460‌
468‌
3.13%,
02/15/2022
25‌
26‌
3.20%,
08/15/2026
105‌
107‌
3.50%,
06/15/2025
500‌
516‌
3.50%,
08/15/2029
140‌
141‌
4.10%,
02/15/2047
500‌
456‌
4.30%,
08/15/2039
35‌
34‌
4.40%,
08/15/2049
70‌
66‌
6.20%,
03/15/2040
480‌
565‌
6.45%,
09/15/2036
60‌
71‌
6.60%,
03/15/2046
115‌
140‌
6.95%,
07/01/2024
755‌
889‌
7.50%,
05/01/2031
50‌
63‌
Petroleos
Mexicanos
5.35%,
02/12/2028
500‌
484‌
5.95%,
01/28/2031
(g)
315‌
306‌
6.49%,
01/23/2027
(g)
1,369‌
1,434‌
6.50%,
03/13/2027
500‌
524‌
6.63%,
06/15/2035
525‌
525‌
6.75%,
09/21/2047
1,000‌
954‌
6.84%,
01/23/2030
(g)
1,000‌
1,044‌
6.88%,
08/04/2026
300‌
325‌
6.95%,
01/28/2060
(g)
315‌
302‌
7.69%,
01/23/2050
(g)
904‌
942‌
Phillips
66
4.30%,
04/01/2022
75‌
79‌
4.88%,
11/15/2044
400‌
481‌
5.88%,
05/01/2042
30‌
41‌
Pioneer
Natural
Resources
Co
3.95%,
07/15/2022
30‌
31‌
Shell
International
Finance
BV
1.88%,
05/10/2021
545‌
547‌
2.00%,
11/07/2024
150‌
153‌
2.38%,
11/07/2029
150‌
153‌
2.88%,
05/10/2026
155‌
165‌
3.13%,
11/07/2049
150‌
155‌
3.25%,
05/11/2025
355‌
382‌
3.50%,
11/13/2023
235‌
251‌
3.88%,
11/13/2028
235‌
266‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Oil
&
Gas
(continued)
Shell
International
Finance
BV  
(continued)
4.00%,
05/10/2046
$
75‌
$
88‌
4.13%,
05/11/2035
335‌
403‌
4.38%,
05/11/2045
575‌
709‌
6.38%,
12/15/2038
410‌
618‌
Suncor
Energy
Inc
4.00%,
11/15/2047
450‌
494‌
6.80%,
05/15/2038
364‌
531‌
6.85%,
06/01/2039
73‌
107‌
Total
Capital
International
SA
2.22%,
07/12/2021
500‌
506‌
2.43%,
01/10/2025
110‌
114‌
2.83%,
01/10/2030
130‌
138‌
2.88%,
02/17/2022
475‌
489‌
3.46%,
02/19/2029
500‌
554‌
3.46%,
07/12/2049
75‌
82‌
Valero
Energy
Corp
4.00%,
04/01/2029
585‌
633‌
6.63%,
06/15/2037
60‌
81‌
7.50%,
04/15/2032
60‌
83‌
$
42,371‌
Oil
&
Gas
Services
-
0.10%
Baker
Hughes
a
GE
Co
LLC
/
Baker
Hughes
Co-
Obligor
Inc
2.77%,
12/15/2022
75‌
77‌
3.14%,
11/07/2029
150‌
154‌
3.34%,
12/15/2027
135‌
142‌
Halliburton
Co
3.25%,
11/15/2021
530‌
542‌
3.80%,
11/15/2025
220‌
241‌
4.85%,
11/15/2035
400‌
462‌
5.00%,
11/15/2045
230‌
250‌
7.45%,
09/15/2039
26‌
39‌
National
Oilwell
Varco
Inc
2.60%,
12/01/2022
135‌
137‌
3.60%,
12/01/2029
150‌
153‌
3.95%,
12/01/2042
400‌
382‌
Schlumberger
Investment
SA
3.65%,
12/01/2023
75‌
80‌
$
2,659‌
Packaging
&
Containers
-
0.04%
Packaging
Corp
of
America
3.00%,
12/15/2029
300‌
316‌
4.05%,
12/15/2049
150‌
168‌
WRKCo
Inc
4.90%,
03/15/2029
400‌
469‌
$
953‌
Pharmaceuticals
-
1.63%
AbbVie
Inc
2.15%,
11/19/2021
(g)
300‌
303‌
2.30%,
11/21/2022
(g)
300‌
305‌
2.60%,
11/21/2024
(g)
445‌
460‌
2.85%,
05/14/2023
40‌
41‌
2.90%,
11/06/2022
550‌
568‌
2.95%,
11/21/2026
(g)
300‌
314‌
3.20%,
05/14/2026
390‌
412‌
3.20%,
11/21/2029
(g)
745‌
786‌
3.60%,
05/14/2025
170‌
183‌
4.05%,
11/21/2039
(g)
375‌
415‌
4.25%,
11/14/2028
140‌
160‌
4.25%,
11/21/2049
(g)
595‌
673‌
4.30%,
05/14/2036
280‌
320‌
4.40%,
11/06/2042
25‌
29‌
4.45%,
05/14/2046
270‌
312‌
4.50%,
05/14/2035
245‌
288‌
4.70%,
05/14/2045
320‌
379‌
4.88%,
11/14/2048
170‌
209‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
80
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Pharmaceuticals
(continued)
Allergan
Funding
SCS
3.80%,
03/15/2025
$
395‌
$
432‌
3.85%,
06/15/2024
90‌
98‌
4.55%,
03/15/2035
170‌
203‌
4.75%,
03/15/2045
300‌
365‌
4.85%,
06/15/2044
30‌
36‌
AmerisourceBergen
Corp
3.40%,
05/15/2024
30‌
32‌
AstraZeneca
PLC
2.38%,
06/12/2022
830‌
848‌
3.38%,
11/16/2025
180‌
197‌
4.00%,
01/17/2029
400‌
460‌
4.00%,
09/18/2042
300‌
359‌
4.38%,
08/17/2048
60‌
77‌
6.45%,
09/15/2037
30‌
44‌
Becton
Dickinson
and
Co
3.73%,
12/15/2024
831‌
900‌
4.67%,
06/06/2047
155‌
196‌
4.69%,
12/15/2044
59‌
74‌
Bristol-Myers
Squibb
Co
2.90%,
07/26/2024
(g)
520‌
549‌
3.25%,
02/20/2023
(g)
85‌
89‌
3.25%,
08/01/2042
515‌
573‌
3.40%,
07/26/2029
(g)
455‌
510‌
3.45%,
11/15/2027
(g)
90‌
100‌
3.88%,
08/15/2025
(g)
790‌
876‌
3.90%,
02/20/2028
(g)
130‌
148‌
4.13%,
06/15/2039
(g)
195‌
237‌
4.25%,
10/26/2049
(g)
360‌
462‌
4.35%,
11/15/2047
(g)
210‌
271‌
4.55%,
02/20/2048
(g)
220‌
290‌
5.00%,
08/15/2045
(g)
305‌
418‌
Cardinal
Health
Inc
3.41%,
06/15/2027
400‌
426‌
4.60%,
03/15/2043
430‌
466‌
Cigna
Corp
3.40%,
09/17/2021
100‌
103‌
3.75%,
07/15/2023
605‌
645‌
3.88%,
10/15/2047
(g)
185‌
196‌
4.00%,
02/15/2022
(g)
600‌
623‌
4.13%,
11/15/2025
170‌
189‌
4.38%,
10/15/2028
300‌
342‌
4.75%,
11/15/2021
(g)
50‌
53‌
4.80%,
08/15/2038
170‌
204‌
4.80%,
07/15/2046
(g)
500‌
601‌
4.90%,
12/15/2048
395‌
490‌
CVS
Health
Corp
2.13%,
06/01/2021
35‌
35‌
2.63%,
08/15/2024
140‌
144‌
2.75%,
12/01/2022
750‌
771‌
2.88%,
06/01/2026
1,560‌
1,618‌
3.00%,
08/15/2026
105‌
110‌
3.25%,
08/15/2029
140‌
147‌
3.50%,
07/20/2022
860‌
893‌
3.70%,
03/09/2023
530‌
560‌
3.88%,
07/20/2025
60‌
66‌
4.00%,
12/05/2023
50‌
54‌
4.10%,
03/25/2025
75‌
82‌
4.30%,
03/25/2028
1,150‌
1,288‌
5.05%,
03/25/2048
770‌
947‌
5.13%,
07/20/2045
430‌
526‌
GlaxoSmithKline
Capital
Inc
3.38%,
05/15/2023
190‌
201‌
3.63%,
05/15/2025
85‌
94‌
3.88%,
05/15/2028
165‌
189‌
6.38%,
05/15/2038
430‌
665‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Pharmaceuticals
(continued)
GlaxoSmithKline
Capital
PLC
2.88%,
06/01/2022
$
500‌
$
516‌
3.00%,
06/01/2024
400‌
424‌
Johnson
&
Johnson
1.65%,
03/01/2021
265‌
265‌
2.45%,
03/01/2026
225‌
237‌
2.90%,
01/15/2028
110‌
120‌
2.95%,
03/03/2027
110‌
120‌
3.40%,
01/15/2038
500‌
570‌
3.50%,
01/15/2048
140‌
167‌
3.55%,
03/01/2036
750‌
878‌
3.70%,
03/01/2046
90‌
109‌
5.95%,
08/15/2037
75‌
114‌
McKesson
Corp
2.70%,
12/15/2022
500‌
513‌
4.75%,
03/01/2021
100‌
102‌
4.88%,
03/15/2044
80‌
95‌
Mead
Johnson
Nutrition
Co
4.60%,
06/01/2044
30‌
38‌
Merck
&
Co
Inc
2.35%,
02/10/2022
50‌
51‌
2.80%,
05/18/2023
75‌
78‌
3.70%,
02/10/2045
1,100‌
1,304‌
3.90%,
03/07/2039
385‌
460‌
4.00%,
03/07/2049
170‌
215‌
Mylan
NV
3.15%,
06/15/2021
825‌
838‌
3.95%,
06/15/2026
530‌
576‌
5.25%,
06/15/2046
305‌
366‌
Novartis
Capital
Corp
1.75%,
02/14/2025
310‌
316‌
2.00%,
02/14/2027
310‌
317‌
2.20%,
08/14/2030
155‌
160‌
2.75%,
08/14/2050
155‌
161‌
3.00%,
11/20/2025
125‌
135‌
4.40%,
05/06/2044
530‌
680‌
Pfizer
Inc
1.95%,
06/03/2021
200‌
202‌
2.95%,
03/15/2024
300‌
317‌
3.00%,
12/15/2026
500‌
544‌
3.40%,
05/15/2024
100‌
108‌
3.45%,
03/15/2029
170‌
191‌
4.00%,
12/15/2036
45‌
55‌
4.00%,
03/15/2049
195‌
242‌
4.13%,
12/15/2046
575‌
699‌
4.20%,
09/15/2048
80‌
99‌
4.30%,
06/15/2043
225‌
290‌
4.40%,
05/15/2044
75‌
96‌
7.20%,
03/15/2039
60‌
102‌
Shire
Acquisitions
Investments
Ireland
DAC
3.20%,
09/23/2026
300‌
322‌
Wyeth
LLC
5.95%,
04/01/2037
60‌
88‌
6.50%,
02/01/2034
525‌
786‌
Zoetis
Inc
3.25%,
02/01/2023
540‌
566‌
$
42,361‌
Pipelines
-
0.92%
Boardwalk
Pipelines
LP
3.38%,
02/01/2023
30‌
31‌
Cheniere
Corpus
Christi
Holdings
LLC
3.70%,
11/15/2029
(g)
300‌
301‌
Enbridge
Energy
Partners
LP
7.38%,
10/15/2045
70‌
111‌
7.50%,
04/15/2038
350‌
536‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
81
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Pipelines
(continued)
Enbridge
Inc
2.50%,
01/15/2025
$
150‌
$
154‌
3.13%,
11/15/2029
150‌
155‌
4.25%,
12/01/2026
75‌
84‌
Energy
Transfer
Operating
LP
2.90%,
05/15/2025
310‌
316‌
3.75%,
05/15/2030
155‌
157‌
4.05%,
03/15/2025
300‌
322‌
4.20%,
04/15/2027
300‌
323‌
4.90%,
03/15/2035
1,000‌
1,094‌
5.30%,
04/15/2047
410‌
426‌
6.25%,
04/15/2049
155‌
179‌
6.50%,
02/01/2042
425‌
512‌
Energy
Transfer
Partners
LP
/
Regency
Energy
Finance
Corp
5.00%,
10/01/2022
350‌
374‌
Enterprise
Products
Operating
LLC
2.80%,
01/31/2030
365‌
374‌
3.70%,
02/15/2026
400‌
435‌
3.70%,
01/31/2051
650‌
647‌
4.15%,
10/16/2028
500‌
562‌
4.25%,
02/15/2048
250‌
268‌
4.45%,
02/15/2043
350‌
387‌
4.85%,
08/15/2042
400‌
465‌
6.88%,
03/01/2033
39‌
55‌
Kinder
Morgan
Energy
Partners
LP
3.50%,
09/01/2023
390‌
408‌
3.95%,
09/01/2022
600‌
628‌
4.70%,
11/01/2042
20‌
21‌
6.38%,
03/01/2041
780‌
976‌
6.95%,
01/15/2038
383‌
513‌
Kinder
Morgan
Inc/DE
3.15%,
01/15/2023
1,100‌
1,140‌
5.05%,
02/15/2046
300‌
341‌
Magellan
Midstream
Partners
LP
3.95%,
03/01/2050
550‌
576‌
MPLX
LP
4.13%,
03/01/2027
140‌
150‌
4.25%,
12/01/2027
(g)
300‌
327‌
4.50%,
04/15/2038
200‌
204‌
4.88%,
12/01/2024
500‌
555‌
4.90%,
04/15/2058
165‌
165‌
5.20%,
12/01/2047
(g)
300‌
315‌
5.50%,
02/15/2049
130‌
148‌
ONEOK
Inc
2.75%,
09/01/2024
375‌
386‌
3.40%,
09/01/2029
350‌
362‌
4.45%,
09/01/2049
500‌
513‌
Plains
All
American
Pipeline
LP
/
PAA
Finance
Corp
3.55%,
12/15/2029
470‌
462‌
4.50%,
12/15/2026
500‌
544‌
4.70%,
06/15/2044
30‌
28‌
6.65%,
01/15/2037
500‌
604‌
Sabine
Pass
Liquefaction
LLC
4.20%,
03/15/2028
75‌
80‌
5.00%,
03/15/2027
375‌
415‌
5.63%,
03/01/2025
75‌
85‌
5.88%,
06/30/2026
665‌
772‌
Spectra
Energy
Partners
LP
4.75%,
03/15/2024
105‌
116‌
5.95%,
09/25/2043
400‌
518‌
Sunoco
Logistics
Partners
Operations
LP
5.40%,
10/01/2047
400‌
423‌
TransCanada
PipeLines
Ltd
4.88%,
05/15/2048
190‌
228‌
6.10%,
06/01/2040
30‌
42‌
7.25%,
08/15/2038
750‌
1,135‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Pipelines
(continued)
Western
Midstream
Operating
LP
3.10%,
02/01/2025
$
280‌
$
279‌
4.05%,
02/01/2030
140‌
137‌
Williams
Cos
Inc/The
3.60%,
03/15/2022
500‌
516‌
3.75%,
06/15/2027
45‌
47‌
3.90%,
01/15/2025
500‌
536‌
4.00%,
09/15/2025
50‌
54‌
5.10%,
09/15/2045
740‌
810‌
6.30%,
04/15/2040
30‌
37‌
$
23,864‌
Private
Equity
-
0.01%
Brookfield
Asset
Management
Inc
4.00%,
01/15/2025
300‌
331‌
Regional
Authority
-
0.28%
Province
of
Alberta
Canada
3.30%,
03/15/2028
700‌
802‌
Province
of
British
Columbia
Canada
2.00%,
10/23/2022
500‌
513‌
2.65%,
09/22/2021
400‌
410‌
6.50%,
01/15/2026
45‌
58‌
Province
of
Manitoba
Canada
2.60%,
04/16/2024
1,000‌
1,057‌
3.05%,
05/14/2024
30‌
32‌
Province
of
Ontario
Canada
1.75%,
01/24/2023
315‌
321‌
2.00%,
10/02/2029
700‌
737‌
2.50%,
09/10/2021
500‌
510‌
3.20%,
05/16/2024
865‌
938‌
3.40%,
10/17/2023
210‌
227‌
Province
of
Quebec
Canada
1.50%,
02/11/2025
440‌
449‌
2.75%,
08/25/2021
540‌
553‌
2.88%,
10/16/2024
500‌
540‌
7.50%,
09/15/2029
36‌
55‌
$
7,202‌
REITs
-
0.80%
Alexandria
Real
Estate
Equities
Inc
2.75%,
12/15/2029
70‌
73‌
3.38%,
08/15/2031
420‌
467‌
3.90%,
06/15/2023
750‌
799‌
4.00%,
02/01/2050
70‌
85‌
American
Campus
Communities
Operating
Partnership
LP
2.85%,
02/01/2030
160‌
167‌
American
Tower
Corp
2.90%,
01/15/2030
155‌
159‌
3.38%,
10/15/2026
670‌
721‌
3.50%,
01/31/2023
75‌
79‌
3.70%,
10/15/2049
145‌
155‌
4.70%,
03/15/2022
50‌
53‌
AvalonBay
Communities
Inc
2.30%,
03/01/2030
155‌
158‌
4.15%,
07/01/2047
300‌
374‌
Boston
Properties
LP
2.75%,
10/01/2026
350‌
370‌
2.90%,
03/15/2030
485‌
513‌
3.65%,
02/01/2026
375‌
411‌
Brixmor
Operating
Partnership
LP
3.65%,
06/15/2024
400‌
430‌
Crown
Castle
International
Corp
3.10%,
11/15/2029
125‌
132‌
3.20%,
09/01/2024
75‌
79‌
3.70%,
06/15/2026
510‌
554‌
4.00%,
11/15/2049
95‌
107‌
5.25%,
01/15/2023
500‌
549‌
CubeSmart
LP
4.38%,
12/15/2023
30‌
33‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
82
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
REITs
(continued)
Duke
Realty
LP
2.88%,
11/15/2029
$
75‌
$
80‌
3.75%,
12/01/2024
300‌
327‌
3.88%,
10/15/2022
530‌
559‌
Equinix
Inc
2.63%,
11/18/2024
150‌
153‌
3.20%,
11/18/2029
130‌
136‌
5.38%,
05/15/2027
175‌
188‌
ERP
Operating
LP
2.50%,
02/15/2030
305‌
315‌
Essex
Portfolio
LP
3.00%,
01/15/2030
140‌
149‌
4.00%,
03/01/2029
300‌
342‌
Federal
Realty
Investment
Trust
4.50%,
12/01/2044
300‌
376‌
GLP
Capital
LP
/
GLP
Financing
II
Inc
4.00%,
01/15/2030
140‌
149‌
5.25%,
06/01/2025
400‌
448‌
Healthpeak
Properties
Inc
3.00%,
01/15/2030
240‌
253‌
3.88%,
08/15/2024
200‌
218‌
4.20%,
03/01/2024
200‌
218‌
4.25%,
11/15/2023
75‌
82‌
Highwoods
Realty
LP
3.20%,
06/15/2021
30‌
30‌
Kimco
Realty
Corp
2.70%,
03/01/2024
300‌
309‌
3.20%,
05/01/2021
750‌
763‌
3.70%,
10/01/2049
30‌
32‌
Liberty
Property
LP
3.38%,
06/15/2023
40‌
43‌
Mid-America
Apartments
LP
3.60%,
06/01/2027
500‌
546‌
National
Retail
Properties
Inc
3.60%,
12/15/2026
300‌
329‌
4.80%,
10/15/2048
200‌
265‌
Office
Properties
Income
Trust
4.00%,
07/15/2022
300‌
311‌
Omega
Healthcare
Investors
Inc
4.75%,
01/15/2028
400‌
450‌
4.95%,
04/01/2024
30‌
33‌
Prologis
LP
2.13%,
04/15/2027
240‌
242‌
2.25%,
04/15/2030
260‌
261‌
3.00%,
04/15/2050
180‌
184‌
Realty
Income
Corp
3.25%,
10/15/2022
500‌
523‌
4.13%,
10/15/2026
20‌
23‌
Service
Properties
Trust
4.50%,
06/15/2023
500‌
528‌
4.65%,
03/15/2024
40‌
42‌
4.75%,
10/01/2026
140‌
152‌
Simon
Property
Group
LP
2.00%,
09/13/2024
150‌
152‌
2.45%,
09/13/2029
275‌
280‌
2.75%,
02/01/2023
250‌
258‌
3.25%,
09/13/2049
340‌
356‌
4.75%,
03/15/2042
164‌
206‌
UDR
Inc
3.20%,
01/15/2030
145‌
153‌
4.00%,
10/01/2025
200‌
223‌
Ventas
Realty
LP
3.00%,
01/15/2030
260‌
270‌
3.75%,
05/01/2024
500‌
538‌
4.88%,
04/15/2049
300‌
388‌
5.70%,
09/30/2043
225‌
311‌
VEREIT
Operating
Partnership
LP
3.10%,
12/15/2029
365‌
378‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
REITs
(continued)
Welltower
Inc
3.63%,
03/15/2024
$
120‌
$
129‌
4.00%,
06/01/2025
75‌
83‌
4.13%,
03/15/2029
300‌
344‌
4.25%,
04/15/2028
400‌
457‌
Weyerhaeuser
Co
7.38%,
03/15/2032
530‌
770‌
$
20,823‌
Retail
-
0.71%
AutoZone
Inc
3.13%,
04/21/2026
500‌
535‌
3.75%,
06/01/2027
300‌
334‌
Costco
Wholesale
Corp
2.15%,
05/18/2021
600‌
605‌
2.30%,
05/18/2022
200‌
205‌
3.00%,
05/18/2027
300‌
326‌
Dollar
Tree
Inc
4.20%,
05/15/2028
130‌
145‌
Home
Depot
Inc/The
2.00%,
04/01/2021
500‌
504‌
2.70%,
04/01/2023
50‌
52‌
2.95%,
06/15/2029
60‌
65‌
3.13%,
12/15/2049
235‌
250‌
3.75%,
02/15/2024
500‌
546‌
3.90%,
06/15/2047
800‌
976‌
4.25%,
04/01/2046
670‌
843‌
5.88%,
12/16/2036
330‌
477‌
Kohl's
Corp
4.25%,
07/17/2025
300‌
324‌
Lowe's
Cos
Inc
2.50%,
04/15/2026
90‌
93‌
3.10%,
05/03/2027
160‌
173‌
3.38%,
09/15/2025
50‌
54‌
3.65%,
04/05/2029
135‌
150‌
3.70%,
04/15/2046
20‌
21‌
4.05%,
05/03/2047
650‌
732‌
4.38%,
09/15/2045
500‌
585‌
4.55%,
04/05/2049
135‌
165‌
McDonald's
Corp
2.63%,
09/01/2029
140‌
145‌
3.25%,
06/10/2024
175‌
188‌
3.63%,
05/20/2021
750‌
769‌
3.63%,
09/01/2049
520‌
565‌
3.70%,
01/30/2026
150‌
165‌
3.70%,
02/15/2042
300‌
327‌
4.88%,
12/09/2045
340‌
440‌
Nordstrom
Inc
5.00%,
01/15/2044
300‌
303‌
O'Reilly
Automotive
Inc
3.55%,
03/15/2026
500‌
545‌
Starbucks
Corp
3.55%,
08/15/2029
305‌
342‌
4.45%,
08/15/2049
300‌
364‌
Target
Corp
2.35%,
02/15/2030
320‌
329‌
3.63%,
04/15/2046
300‌
344‌
3.90%,
11/15/2047
60‌
72‌
Walgreens
Boots
Alliance
Inc
4.80%,
11/18/2044
630‌
657‌
Walmart
Inc
2.35%,
12/15/2022
220‌
227‌
2.85%,
07/08/2024
225‌
239‌
2.95%,
09/24/2049
1,550‌
1,664‌
3.05%,
07/08/2026
600‌
651‌
3.25%,
07/08/2029
155‌
173‌
3.30%,
04/22/2024
550‌
592‌
3.40%,
06/26/2023
385‌
411‌
3.70%,
06/26/2028
255‌
290‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
83
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Retail
(continued)
Walmart
Inc  
(continued)
3.95%,
06/28/2038
$
195‌
$
238‌
5.25%,
09/01/2035
40‌
56‌
5.63%,
04/01/2040
40‌
59‌
5.63%,
04/15/2041
60‌
90‌
$
18,405‌
Semiconductors
-
0.43%
Applied
Materials
Inc
4.35%,
04/01/2047
45‌
59‌
5.85%,
06/15/2041
500‌
746‌
Broadcom
Corp
/
Broadcom
Cayman
Finance
Ltd
3.00%,
01/15/2022
1,200‌
1,223‌
3.88%,
01/15/2027
650‌
679‌
Broadcom
Inc
3.63%,
10/15/2024
(g)
415‌
437‌
4.75%,
04/15/2029
(g)
355‌
397‌
Intel
Corp
2.45%,
11/15/2029
300‌
312‌
2.60%,
05/19/2026
775‌
811‌
2.88%,
05/11/2024
105‌
110‌
3.15%,
05/11/2027
150‌
163‌
3.25%,
11/15/2049
305‌
333‌
3.30%,
10/01/2021
550‌
567‌
3.73%,
12/08/2047
105‌
124‌
4.90%,
07/29/2045
600‌
808‌
KLA
Corp
4.10%,
03/15/2029
300‌
342‌
Micron
Technology
Inc
4.19%,
02/15/2027
405‌
438‌
4.64%,
02/06/2024
300‌
328‌
4.66%,
02/15/2030
405‌
447‌
NVIDIA
Corp
2.20%,
09/16/2021
300‌
304‌
3.20%,
09/16/2026
500‌
545‌
QUALCOMM
Inc
2.60%,
01/30/2023
310‌
320‌
3.25%,
05/20/2027
420‌
453‌
3.45%,
05/20/2025
215‌
234‌
4.65%,
05/20/2035
195‌
243‌
4.80%,
05/20/2045
110‌
140‌
Texas
Instruments
Inc
2.25%,
05/01/2023
400‌
410‌
4.15%,
05/15/2048
165‌
209‌
$
11,182‌
Software
-
0.73%
Adobe
Inc
1.90%,
02/01/2025
310‌
318‌
2.30%,
02/01/2030
155‌
159‌
Fiserv
Inc
3.50%,
10/01/2022
30‌
31‌
3.50%,
07/01/2029
300‌
329‌
3.85%,
06/01/2025
2,205‌
2,416‌
Microsoft
Corp
1.55%,
08/08/2021
35‌
35‌
2.38%,
02/12/2022
750‌
767‌
2.40%,
02/06/2022
965‌
987‌
2.40%,
08/08/2026
560‌
589‌
3.13%,
11/03/2025
270‌
294‌
3.30%,
02/06/2027
140‌
155‌
3.45%,
08/08/2036
640‌
739‌
3.50%,
02/12/2035
700‌
814‌
3.63%,
12/15/2023
550‌
595‌
3.70%,
08/08/2046
1,475‌
1,791‌
3.95%,
08/08/2056
170‌
216‌
4.00%,
02/12/2055
120‌
152‌
4.10%,
02/06/2037
280‌
347‌
4.20%,
11/03/2035
360‌
450‌
4.45%,
11/03/2045
207‌
277‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Software
(continued)
Oracle
Corp
1.90%,
09/15/2021
$
80‌
$
81‌
2.40%,
09/15/2023
75‌
77‌
2.50%,
10/15/2022
75‌
77‌
2.63%,
02/15/2023
370‌
383‌
2.65%,
07/15/2026
930‌
982‌
2.80%,
07/08/2021
500‌
511‌
2.95%,
11/15/2024
85‌
90‌
2.95%,
05/15/2025
105‌
111‌
3.25%,
11/15/2027
375‌
412‌
3.40%,
07/08/2024
550‌
590‌
3.80%,
11/15/2037
485‌
561‌
3.85%,
07/15/2036
2,000‌
2,317‌
3.90%,
05/15/2035
130‌
152‌
4.00%,
11/15/2047
75‌
91‌
4.30%,
07/08/2034
75‌
92‌
4.38%,
05/15/2055
150‌
191‌
4.50%,
07/08/2044
50‌
64‌
5.38%,
07/15/2040
550‌
756‌
6.13%,
07/08/2039
60‌
90‌
$
19,089‌
Sovereign
-
1.54%
Canada
Government
International
Bond
1.63%,
01/22/2025
360‌
370‌
2.63%,
01/25/2022
500‌
515‌
Chile
Government
International
Bond
2.55%,
01/27/2032
200‌
203‌
3.86%,
06/21/2047
500‌
579‌
Colombia
Government
International
Bond
2.63%,
03/15/2023
500‌
507‌
3.00%,
01/30/2030
315‌
318‌
3.88%,
04/25/2027
500‌
537‌
5.00%,
06/15/2045
750‌
906‌
5.20%,
05/15/2049
400‌
503‌
5.63%,
02/26/2044
500‌
643‌
7.38%,
09/18/2037
220‌
324‌
10.38%,
01/28/2033
100‌
165‌
Export
Development
Canada
1.38%,
02/24/2023
(a)
250‌
253‌
2.00%,
05/17/2022
1,000‌
1,022‌
2.63%,
02/21/2024
300‌
319‌
Export-Import
Bank
of
Korea
1.88%,
10/21/2021
350‌
352‌
3.25%,
11/10/2025
1,000‌
1,094‌
5.00%,
04/11/2022
500‌
537‌
Hungary
Government
International
Bond
5.38%,
03/25/2024
650‌
737‌
6.38%,
03/29/2021
500‌
523‌
Indonesia
Government
International
Bond
2.85%,
02/14/2030
250‌
252‌
3.70%,
10/30/2049
200‌
205‌
4.35%,
01/11/2048
600‌
676‌
4.75%,
02/11/2029
300‌
345‌
Israel
Government
AID
Bond
5.50%,
09/18/2023
65‌
75‌
5.50%,
04/26/2024
65‌
76‌
5.50%,
09/18/2033
110‌
162‌
Israel
Government
International
Bond
4.00%,
06/30/2022
850‌
892‌
Japan
Bank
for
International
Cooperation
1.63%,
10/17/2022
200‌
202‌
1.75%,
01/23/2023
1,000‌
1,018‌
1.88%,
07/21/2026
664‌
686‌
2.13%,
02/10/2025
2,300‌
2,394‌
2.38%,
04/20/2026
500‌
532‌
3.00%,
05/29/2024
300‌
322‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
84
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Sovereign
(continued)
Korea
International
Bond
2.75%,
01/19/2027
$
250‌
$
269‌
3.88%,
09/20/2048
500‌
686‌
Mexico
Government
International
Bond
3.25%,
04/16/2030
200‌
206‌
3.63%,
03/15/2022
570‌
591‌
3.75%,
01/11/2028
225‌
241‌
4.13%,
01/21/2026
500‌
547‌
4.50%,
04/22/2029
500‌
565‌
4.50%,
01/31/2050
200‌
227‌
4.60%,
01/23/2046
500‌
565‌
4.60%,
02/10/2048
300‌
343‌
4.75%,
03/08/2044
610‌
706‌
5.75%,
10/12/2110
500‌
630‌
6.05%,
01/11/2040
500‌
671‌
6.75%,
09/27/2034
500‌
724‌
Panama
Government
International
Bond
3.16%,
01/23/2030
200‌
211‌
3.75%,
03/16/2025
950‌
1,019‌
4.50%,
05/15/2047
500‌
623‌
4.50%,
04/16/2050
200‌
249‌
Peruvian
Government
International
Bond
5.63%,
11/18/2050
400‌
617‌
8.75%,
11/21/2033
350‌
591‌
Philippine
Government
International
Bond
3.00%,
02/01/2028
300‌
320‌
3.70%,
03/01/2041
900‌
1,069‌
7.75%,
01/14/2031
740‌
1,121‌
10.63%,
03/16/2025
600‌
847‌
Republic
of
Italy
Government
International
Bond
2.38%,
10/17/2024
200‌
201‌
2.88%,
10/17/2029
200‌
200‌
5.38%,
06/15/2033
850‌
1,055‌
6.88%,
09/27/2023
350‌
408‌
Republic
of
Poland
Government
International
Bond
5.00%,
03/23/2022
500‌
533‌
5.13%,
04/21/2021
580‌
602‌
State
of
Israel
2.50%,
01/15/2030
400‌
415‌
3.38%,
01/15/2050
400‌
436‌
Tennessee
Valley
Authority
3.50%,
12/15/2042
100‌
125‌
4.25%,
09/15/2065
150‌
228‌
4.63%,
09/15/2060
300‌
481‌
5.25%,
09/15/2039
250‌
375‌
5.38%,
04/01/2056
61‌
107‌
5.88%,
04/01/2036
525‌
811‌
6.75%,
11/01/2025
57‌
75‌
Tunisia
Government
AID
Bonds
1.42%,
08/05/2021
250‌
248‌
Ukraine
Government
AID
Bonds
1.47%,
09/29/2021
250‌
251‌
Uruguay
Government
International
Bond
4.13%,
11/20/2045
386‌
436‌
4.38%,
10/27/2027
360‌
404‌
5.10%,
06/18/2050
200‌
252‌
7.63%,
03/21/2036
400‌
617‌
$
40,142‌
Supranational
Bank
-
1.51%
African
Development
Bank
2.38%,
09/23/2021
515‌
526‌
3.00%,
09/20/2023
600‌
642‌
Asian
Development
Bank
1.75%,
06/08/2021
3,000‌
3,024‌
1.75%,
09/13/2022
750‌
765‌
1.75%,
09/19/2029
(a)
750‌
786‌
2.13%,
11/24/2021
(a)
800‌
815‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Supranational
Bank
(continued)
Asian
Development
Bank  
(continued)
2.13%,
03/19/2025
$
300‌
$
316‌
2.38%,
08/10/2027
500‌
543‌
2.75%,
03/17/2023
670‌
706‌
2.75%,
01/19/2028
130‌
146‌
5.82%,
06/16/2028
39‌
52‌
Corp
Andina
de
Fomento
3.25%,
02/11/2022
1,000‌
1,031‌
4.38%,
06/15/2022
559‌
594‌
Council
Of
Europe
Development
Bank
1.38%,
02/27/2025
310‌
315‌
European
Bank
for
Reconstruction
&
Development
1.63%,
09/27/2024
350‌
360‌
1.88%,
02/23/2022
500‌
508‌
European
Investment
Bank
1.63%,
03/14/2025
315‌
324‌
1.88%,
02/10/2025
250‌
260‌
2.00%,
03/15/2021
2,295‌
2,316‌
2.25%,
03/15/2022
500‌
513‌
2.25%,
06/24/2024
2,440‌
2,569‌
2.38%,
05/24/2027
650‌
707‌
2.50%,
04/15/2021
650‌
660‌
2.50%,
03/15/2023
440‌
460‌
2.63%,
05/20/2022
1,000‌
1,037‌
2.88%,
12/15/2021
600‌
620‌
4.88%,
02/15/2036
500‌
726‌
FMS
Wertmanagement
2.00%,
08/01/2022
800‌
819‌
2.75%,
01/30/2024
1,310‌
1,395‌
Inter-American
Development
Bank
1.75%,
03/14/2025
580‌
600‌
2.13%,
01/18/2022
500‌
511‌
2.13%,
01/15/2025
500‌
526‌
2.38%,
07/07/2027
750‌
816‌
2.50%,
01/18/2023
1,830‌
1,909‌
2.63%,
04/19/2021
500‌
509‌
3.13%,
09/18/2028
300‌
347‌
4.38%,
01/24/2044
50‌
74‌
International
Bank
for
Reconstruction
&
Development
1.38%,
05/24/2021
345‌
346‌
1.38%,
09/20/2021
320‌
322‌
1.63%,
01/15/2025
470‌
483‌
1.75%,
10/23/2029
720‌
753‌
1.88%,
10/07/2022
4,125‌
4,220‌
2.25%,
06/24/2021
750‌
761‌
2.50%,
07/29/2025
270‌
291‌
3.00%,
09/27/2023
300‌
321‌
7.63%,
01/19/2023
933‌
1,107‌
International
Finance
Corp
2.13%,
04/07/2026
1,000‌
1,062‌
Nordic
Investment
Bank
1.38%,
10/17/2022
800‌
808‌
$
39,301‌
Telecommunications
-
1.21%
America
Movil
SAB
de
CV
3.63%,
04/22/2029
735‌
814‌
6.13%,
03/30/2040
450‌
655‌
AT&T
Inc
2.95%,
07/15/2026
580‌
609‌
3.00%,
06/30/2022
90‌
93‌
3.20%,
03/01/2022
265‌
273‌
3.55%,
06/01/2024
500‌
533‌
3.90%,
03/11/2024
500‌
543‌
3.95%,
01/15/2025
500‌
546‌
4.10%,
02/15/2028
575‌
645‌
4.13%,
02/17/2026
350‌
389‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
85
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Telecommunications
(continued)
AT&T
Inc  
(continued)
4.30%,
02/15/2030
$
937‌
$
1,073‌
4.35%,
03/01/2029
500‌
570‌
4.35%,
06/15/2045
1,025‌
1,155‌
4.50%,
05/15/2035
1,100‌
1,281‌
4.50%,
03/09/2048
985‌
1,129‌
4.55%,
03/09/2049
500‌
579‌
4.75%,
05/15/2046
90‌
106‌
4.85%,
03/01/2039
900‌
1,080‌
4.85%,
07/15/2045
500‌
584‌
5.15%,
11/15/2046
405‌
501‌
5.25%,
03/01/2037
75‌
93‌
5.35%,
09/01/2040
54‌
69‌
5.55%,
08/15/2041
75‌
97‌
6.38%,
03/01/2041
75‌
102‌
British
Telecommunications
PLC
9.62%,
12/15/2030
600‌
951‌
Cisco
Systems
Inc
1.85%,
09/20/2021
750‌
755‌
2.50%,
09/20/2026
845‌
893‌
2.95%,
02/28/2026
300‌
323‌
5.50%,
01/15/2040
60‌
87‌
Deutsche
Telekom
International
Finance
BV
8.75%,
06/15/2030
765‌
1,159‌
Juniper
Networks
Inc
4.35%,
06/15/2025
200‌
223‌
Orange
SA
4.13%,
09/14/2021
30‌
31‌
5.38%,
01/13/2042
30‌
42‌
9.00%,
03/01/2031
500‌
801‌
Rogers
Communications
Inc
3.70%,
11/15/2049
190‌
207‌
5.00%,
03/15/2044
200‌
258‌
7.50%,
08/15/2038
250‌
391‌
Telefonica
Emisiones
SA
5.21%,
03/08/2047
500‌
614‌
7.05%,
06/20/2036
530‌
764‌
Telefonica
Europe
BV
8.25%,
09/15/2030
350‌
517‌
Verizon
Communications
Inc
2.63%,
08/15/2026
500‌
525‌
2.95%,
03/15/2022
358‌
369‌
3.13%,
03/16/2022
255‌
264‌
3.50%,
11/01/2024
1,000‌
1,083‌
3.85%,
11/01/2042
90‌
102‌
3.88%,
02/08/2029
880‌
1,007‌
4.33%,
09/21/2028
60‌
71‌
4.40%,
11/01/2034
580‌
709‌
4.52%,
09/15/2048
631‌
816‌
4.67%,
03/15/2055
568‌
757‌
4.81%,
03/15/2039
75‌
96‌
4.86%,
08/21/2046
500‌
660‌
5.15%,
09/15/2023
1,000‌
1,125‌
5.25%,
03/16/2037
75‌
100‌
Vodafone
Group
PLC
3.75%,
01/16/2024
75‌
81‌
4.13%,
05/30/2025
75‌
84‌
4.25%,
09/17/2050
250‌
275‌
4.38%,
05/30/2028
375‌
431‌
5.00%,
05/30/2038
80‌
98‌
5.25%,
05/30/2048
815‌
1,027‌
6.15%,
02/27/2037
240‌
333‌
$
31,548‌
Transportation
-
0.57%
Burlington
Northern
Santa
Fe
LLC
3.55%,
02/15/2050
155‌
175‌
3.65%,
09/01/2025
500‌
550‌
4.15%,
04/01/2045
200‌
240‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Transportation
(continued)
Burlington
Northern
Santa
Fe
LLC  
(continued)
4.40%,
03/15/2042
$
30‌
$
37‌
4.55%,
09/01/2044
400‌
496‌
4.90%,
04/01/2044
795‌
1,051‌
5.40%,
06/01/2041
400‌
549‌
Canadian
National
Railway
Co
2.85%,
12/15/2021
500‌
512‌
Canadian
Pacific
Railway
Co
2.90%,
02/01/2025
500‌
534‌
6.13%,
09/15/2115
75‌
121‌
CSX
Corp
2.40%,
02/15/2030
60‌
61‌
2.60%,
11/01/2026
350‌
369‌
3.35%,
09/15/2049
60‌
63‌
3.40%,
08/01/2024
600‌
642‌
3.80%,
03/01/2028
75‌
84‌
4.30%,
03/01/2048
200‌
242‌
4.75%,
05/30/2042
720‌
901‌
FedEx
Corp
3.10%,
08/05/2029
750‌
784‌
3.88%,
08/01/2042
30‌
30‌
4.00%,
01/15/2024
250‌
270‌
4.55%,
04/01/2046
500‌
548‌
Norfolk
Southern
Corp
2.55%,
11/01/2029
150‌
157‌
3.00%,
04/01/2022
500‌
514‌
3.25%,
12/01/2021
40‌
41‌
3.94%,
11/01/2047
192‌
224‌
4.15%,
02/28/2048
500‌
613‌
4.84%,
10/01/2041
30‌
39‌
Ryder
System
Inc
2.50%,
09/01/2024
65‌
67‌
2.90%,
12/01/2026
150‌
159‌
Union
Pacific
Corp
2.15%,
02/05/2027
775‌
790‌
3.55%,
08/15/2039
435‌
476‌
3.80%,
10/01/2051
365‌
411‌
3.84%,
03/20/2060
(g)
220‌
242‌
3.95%,
09/10/2028
140‌
159‌
4.10%,
09/15/2067
560‌
645‌
4.16%,
07/15/2022
575‌
608‌
4.30%,
03/01/2049
90‌
109‌
United
Parcel
Service
Inc
2.20%,
09/01/2024
300‌
310‌
2.50%,
09/01/2029
125‌
130‌
3.40%,
09/01/2049
180‌
189‌
3.63%,
10/01/2042
500‌
546‌
4.88%,
11/15/2040
30‌
38‌
$
14,726‌
Water
-
0.04%
American
Water
Capital
Corp
3.75%,
09/01/2047
140‌
159‌
4.15%,
06/01/2049
670‌
811‌
6.59%,
10/15/2037
13‌
20‌
$
990‌
TOTAL
BONDS
$
825,658‌
MUNICIPAL
BONDS
-
0.62%
Principal
Amount
(000's)
Value
(000's)
California
-
0.19%
Bay
Area
Toll
Authority
6.26%,
04/01/2049
$
175‌
$
301‌
6.91%,
10/01/2050
250‌
467‌
California
State
University
2.98%,
11/01/2051
155‌
164‌
East
Bay
Municipal
Utility
District
Water
System
Revenue
5.87%,
06/01/2040
20‌
30‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
86
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
California
(continued)
Los
Angeles
Department
of
Water
&
Power
Power
System
Revenue
6.57%,
07/01/2045
$
250‌
$
431‌
Los
Angeles
Unified
School
District/CA
5.76%,
07/01/2029
900‌
1,158‌
Regents
of
the
University
of
California
Medical
Center
Pooled
Revenue
6.55%,
05/15/2048
20‌
32‌
State
of
California
3.50%,
04/01/2028
115‌
131‌
7.30%,
10/01/2039
300‌
486‌
7.70%,
11/01/2030
500‌
521‌
University
of
California
3.06%,
07/01/2025
400‌
436‌
5.77%,
05/15/2043
530‌
781‌
$
4,938‌
Colorado
-
0.01%
Regional
Transportation
District
Sales
Tax
Revenue
5.84%,
11/01/2050
250‌
415‌
Connecticut
-
0.03%
State
of
Connecticut
5.85%,
03/15/2032
530‌
735‌
Georgia
-
0.02%
Municipal
Electric
Authority
of
Georgia
6.64%,
04/01/2057
338‌
509‌
Illinois
-
0.07%
Chicago
Transit
Authority
6.20%,
12/01/2040
30‌
43‌
6.90%,
12/01/2040
300‌
439‌
State
of
Illinois
4.95%,
06/01/2023
74‌
79‌
5.10%,
06/01/2033
1,000‌
1,170‌
$
1,731‌
New
Jersey
-
0.07%
New
Jersey
Economic
Development
Authority
(credit
support
from
Assured
Guaranty
Municipal
Corp
)
0.00%,
02/15/2023
(f),(i)
50‌
48‌
New
Jersey
Economic
Development
Authority
(credit
support
from
National
Public
Finance
Guarantee
Corp
)
7.43%,
02/15/2029
(i)
450‌
588‌
New
Jersey
Transportation
Trust
Fund
Authority
6.56%,
12/15/2040
146‌
218‌
New
Jersey
Turnpike
Authority
7.41%,
01/01/2040
500‌
868‌
$
1,722‌
New
York
-
0.13%
City
of
New
York
NY
6.27%,
12/01/2037
500‌
757‌
New
York
City
Water
&
Sewer
System
5.72%,
06/15/2042
280‌
447‌
5.95%,
06/15/2042
250‌
407‌
New
York
State
Urban
Development
Corp
5.77%,
03/15/2039
465‌
594‌
Port
Authority
of
New
York
&
New
Jersey
4.46%,
10/01/2062
500‌
683‌
5.65%,
11/01/2040
400‌
596‌
$
3,484‌
Ohio
-
0.04%
American
Municipal
Power
Inc
7.83%,
02/15/2041
300‌
514‌
Ohio
State
University/The
3.80%,
12/01/2046
350‌
441‌
4.91%,
06/01/2040
50‌
70‌
$
1,025‌
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Texas
-
0.05%
City
of
Houston
TX
6.29%,
03/01/2032
$
465‌
$
584‌
Dallas
Area
Rapid
Transit
5.02%,
12/01/2048
30‌
45‌
State
of
Texas
4.68%,
04/01/2040
160‌
219‌
5.52%,
04/01/2039
300‌
452‌
$
1,300‌
Wisconsin
-
0.01%
State
of
Wisconsin
(credit
support
from
Assured
Guaranty
Municipal
Corp
)
5.70%,
05/01/2026
(i)
320‌
373‌
TOTAL
MUNICIPAL
BONDS
$
16,232‌
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
-
64.85%
Principal
Amount
(000's)
Value
(000's)
Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
-
3.83%
2.00%,
09/01/2031
$
147‌
$
150‌
2.00%,
12/01/2031
198‌
203‌
2.50%,
08/01/2028
152‌
156‌
2.50%,
09/01/2029
354‌
365‌
2.50%,
12/01/2029
457‌
471‌
2.50%,
01/01/2030
473‌
488‌
2.50%,
09/01/2030
1,090‌
1,124‌
2.50%,
01/01/2031
238‌
245‌
2.50%,
01/01/2031
413‌
426‌
2.50%,
02/01/2031
413‌
427‌
2.50%,
04/01/2031
135‌
139‌
2.50%,
12/01/2031
638‌
658‌
2.50%,
01/01/2032
669‌
690‌
2.50%,
03/01/2032
203‌
210‌
2.50%,
11/01/2032
274‌
283‌
2.50%,
03/01/2033
245‌
253‌
2.50%,
04/01/2033
233‌
240‌
2.50%,
05/01/2033
599‌
618‌
2.50%,
06/01/2033
422‌
436‌
2.50%,
11/01/2036
144‌
149‌
3.00%,
11/01/2028
310‌
323‌
3.00%,
04/01/2029
281‌
292‌
3.00%,
09/01/2029
262‌
272‌
3.00%,
10/01/2029
384‌
398‌
3.00%,
11/01/2029
174‌
180‌
3.00%,
01/01/2030
151‌
157‌
3.00%,
04/01/2030
99‌
103‌
3.00%,
11/01/2030
144‌
150‌
3.00%,
01/01/2031
498‌
518‌
3.00%,
03/01/2031
101‌
105‌
3.00%,
04/01/2031
399‌
414‌
3.00%,
05/01/2032
420‌
440‌
3.00%,
12/01/2032
211‌
220‌
3.00%,
02/01/2033
162‌
169‌
3.00%,
03/01/2033
234‌
244‌
3.00%,
04/01/2033
58‌
60‌
3.00%,
07/01/2033
357‌
371‌
3.00%,
09/01/2033
152‌
158‌
3.00%,
10/01/2033
207‌
215‌
3.00%,
09/01/2034
290‌
303‌
3.00%,
10/01/2034
207‌
216‌
3.00%,
12/01/2034
65‌
68‌
3.00%,
04/01/2035
171‌
178‌
3.00%,
06/01/2035
241‌
252‌
3.00%,
04/01/2036
161‌
168‌
3.00%,
04/01/2036
117‌
122‌
3.00%,
09/01/2036
203‌
211‌
3.00%,
09/01/2036
96‌
101‌
3.00%,
11/01/2036
69‌
72‌
3.00%,
02/01/2037
208‌
217‌
3.00%,
04/01/2038
198‌
206‌
3.00%,
09/01/2042
1,473‌
1,542‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
87
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
(continued)
3.00%,
10/01/2042
$
355‌
$
372‌
3.00%,
11/01/2042
590‌
617‌
3.00%,
01/01/2043
106‌
111‌
3.00%,
02/01/2043
568‌
595‌
3.00%,
04/01/2043
956‌
1,000‌
3.00%,
07/01/2043
124‌
130‌
3.00%,
08/01/2043
955‌
999‌
3.00%,
08/01/2043
768‌
802‌
3.00%,
09/01/2043
164‌
172‌
3.00%,
10/01/2043
126‌
132‌
3.00%,
12/01/2044
443‌
464‌
3.00%,
01/01/2045
114‌
119‌
3.00%,
03/01/2045
270‌
283‌
3.00%,
04/01/2045
812‌
849‌
3.00%,
06/01/2045
528‌
553‌
3.00%,
08/01/2045
848‌
888‌
3.00%,
12/01/2045
1,001‌
1,047‌
3.00%,
01/01/2046
97‌
101‌
3.00%,
03/01/2046
603‌
631‌
3.00%,
04/01/2046
1,102‌
1,153‌
3.00%,
04/01/2046
327‌
342‌
3.00%,
06/01/2046
893‌
934‌
3.00%,
06/01/2046
349‌
365‌
3.00%,
07/01/2046
377‌
394‌
3.00%,
09/01/2046
912‌
955‌
3.00%,
10/01/2046
96‌
100‌
3.00%,
10/01/2046
216‌
226‌
3.00%,
11/01/2046
1,012‌
1,057‌
3.00%,
11/01/2046
824‌
861‌
3.00%,
11/01/2046
437‌
457‌
3.00%,
11/01/2046
366‌
382‌
3.00%,
12/01/2046
995‌
1,039‌
3.00%,
12/01/2046
953‌
995‌
3.00%,
01/01/2047
539‌
563‌
3.00%,
02/01/2047
381‌
398‌
3.00%,
03/01/2047
301‌
314‌
3.00%,
04/01/2047
870‌
908‌
3.00%,
09/01/2047
350‌
363‌
3.00%,
10/01/2047
517‌
536‌
3.00%,
01/01/2048
453‌
469‌
3.50%,
12/01/2031
266‌
280‌
3.50%,
09/01/2033
274‌
288‌
3.50%,
05/01/2034
98‌
104‌
3.50%,
05/01/2034
280‌
296‌
3.50%,
11/01/2034
117‌
123‌
3.50%,
01/01/2035
238‌
251‌
3.50%,
06/01/2035
204‌
216‌
3.50%,
03/01/2037
436‌
459‌
3.50%,
04/01/2037
103‌
108‌
3.50%,
06/01/2037
219‌
231‌
3.50%,
06/01/2042
180‌
191‌
3.50%,
06/01/2042
665‌
708‌
3.50%,
06/01/2042
822‌
875‌
3.50%,
07/01/2042
1,813‌
1,932‌
3.50%,
10/01/2042
921‌
980‌
3.50%,
08/01/2043
339‌
361‌
3.50%,
01/01/2044
426‌
452‌
3.50%,
01/01/2045
573‌
609‌
3.50%,
02/01/2045
162‌
171‌
3.50%,
03/01/2045
793‌
839‌
3.50%,
03/01/2045
405‌
428‌
3.50%,
06/01/2045
428‌
453‌
3.50%,
07/01/2045
416‌
440‌
3.50%,
08/01/2045
274‌
290‌
3.50%,
09/01/2045
400‌
423‌
3.50%,
09/01/2045
551‌
583‌
3.50%,
10/01/2045
51‌
54‌
3.50%,
12/01/2045
1,064‌
1,127‌
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
(continued)
3.50%,
01/01/2046
$
950‌
$
1,006‌
3.50%,
03/01/2046
653‌
691‌
3.50%,
03/01/2046
2,066‌
2,186‌
3.50%,
04/01/2046
1,049‌
1,109‌
3.50%,
05/01/2046
639‌
676‌
3.50%,
05/01/2046
714‌
754‌
3.50%,
06/01/2046
570‌
604‌
3.50%,
08/01/2046
274‌
289‌
3.50%,
09/01/2046
472‌
491‌
3.50%,
04/01/2047
690‌
728‌
3.50%,
11/01/2047
1,292‌
1,359‌
3.50%,
11/01/2047
834‌
880‌
3.50%,
12/01/2047
569‌
601‌
3.50%,
12/01/2047
1,116‌
1,178‌
3.50%,
12/01/2047
521‌
549‌
3.50%,
12/01/2047
1,252‌
1,326‌
3.50%,
01/01/2048
1,261‌
1,328‌
3.50%,
03/01/2048
1,027‌
1,081‌
3.50%,
08/01/2048
709‌
739‌
4.00%,
12/01/2024
111‌
117‌
4.00%,
12/01/2030
25‌
26‌
4.00%,
11/01/2033
171‌
185‌
4.00%,
07/01/2034
118‌
127‌
4.00%,
04/01/2038
280‌
299‌
4.00%,
12/01/2040
242‌
263‌
4.00%,
02/01/2044
221‌
240‌
4.00%,
04/01/2044
304‌
329‌
4.00%,
05/01/2044
127‌
138‌
4.00%,
06/01/2044
220‌
238‌
4.00%,
07/01/2044
405‌
439‌
4.00%,
09/01/2044
135‌
146‌
4.00%,
11/01/2044
404‌
437‌
4.00%,
12/01/2044
1,572‌
1,703‌
4.00%,
01/01/2045
397‌
429‌
4.00%,
04/01/2045
59‌
64‌
4.00%,
05/01/2045
215‌
232‌
4.00%,
07/01/2045
305‌
329‌
4.00%,
08/01/2045
554‌
598‌
4.00%,
09/01/2045
1,438‌
1,551‌
4.00%,
10/01/2045
110‌
118‌
4.00%,
10/01/2045
792‌
854‌
4.00%,
11/01/2045
90‌
97‌
4.00%,
12/01/2045
107‌
115‌
4.00%,
02/01/2046
159‌
170‌
4.00%,
05/01/2046
232‌
250‌
4.00%,
03/01/2047
425‌
454‌
4.00%,
10/01/2047
812‌
868‌
4.00%,
12/01/2047
1,021‌
1,089‌
4.00%,
07/01/2048
816‌
865‌
4.00%,
11/01/2048
406‌
429‌
4.50%,
10/01/2030
106‌
115‌
4.50%,
05/01/2031
12‌
13‌
4.50%,
10/01/2039
418‌
461‌
4.50%,
02/01/2041
235‌
259‌
4.50%,
03/01/2041
324‌
357‌
4.50%,
09/01/2043
140‌
153‌
4.50%,
11/01/2043
317‌
347‌
4.50%,
12/01/2043
215‌
235‌
4.50%,
03/01/2044
445‌
486‌
4.50%,
04/01/2044
201‌
220‌
4.50%,
09/01/2044
293‌
320‌
4.50%,
10/01/2044
109‌
117‌
4.50%,
02/01/2047
99‌
108‌
4.50%,
03/01/2047
178‌
194‌
4.50%,
07/01/2047
150‌
163‌
4.50%,
11/01/2047
36‌
39‌
4.50%,
05/01/2048
395‌
424‌
4.50%,
07/01/2048
189‌
202‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
88
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
(continued)
4.50%,
05/01/2049
$
7,774‌
$
8,326‌
5.00%,
11/01/2035
89‌
101‌
5.00%,
12/01/2036
240‌
272‌
5.00%,
08/01/2039
116‌
129‌
5.00%,
11/01/2039
321‌
362‌
5.00%,
03/01/2041
99‌
112‌
5.00%,
12/01/2041
127‌
141‌
5.00%,
02/01/2042
522‌
584‌
5.00%,
04/01/2044
132‌
148‌
5.00%,
02/01/2048
190‌
206‌
5.00%,
06/01/2048
207‌
225‌
5.00%,
07/01/2048
105‌
114‌
5.50%,
06/01/2034
104‌
116‌
5.50%,
07/01/2038
114‌
130‌
5.50%,
07/01/2038
127‌
147‌
5.50%,
12/01/2038
240‌
275‌
5.50%,
10/01/2039
348‌
397‌
5.50%,
06/01/2041
143‌
165‌
6.00%,
04/01/2023
1‌
1‌
6.00%,
04/01/2038
356‌
416‌
6.00%,
11/01/2038
124‌
141‌
$
99,619‌
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
-
14.19%
2.00%,
09/01/2029
361‌
369‌
2.00%,
05/01/2030
152‌
156‌
2.00%,
12/01/2031
268‌
273‌
2.00%,
02/01/2032
159‌
163‌
2.50%,
01/01/2028
142‌
146‌
2.50%,
07/01/2028
372‌
383‌
2.50%,
07/01/2028
133‌
138‌
2.50%,
11/01/2028
451‌
466‌
2.50%,
09/01/2029
301‌
310‌
2.50%,
02/01/2030
104‌
107‌
2.50%,
03/01/2030
330‌
340‌
2.50%,
05/01/2030
339‌
350‌
2.50%,
07/01/2030
136‌
141‌
2.50%,
08/01/2030
358‌
369‌
2.50%,
08/01/2030
429‌
442‌
2.50%,
12/01/2030
423‌
436‌
2.50%,
03/01/2031
100‌
103‌
2.50%,
03/01/2031
371‌
381‌
2.50%,
03/01/2031
530‌
547‌
2.50%,
05/01/2031
195‌
201‌
2.50%,
07/01/2031
457‌
472‌
2.50%,
11/01/2031
2,297‌
2,369‌
2.50%,
11/01/2031
652‌
673‌
2.50%,
12/01/2031
133‌
137‌
2.50%,
01/01/2032
193‌
200‌
2.50%,
01/01/2032
335‌
346‌
2.50%,
02/01/2032
184‌
190‌
2.50%,
03/01/2032
207‌
213‌
2.50%,
09/01/2032
183‌
189‌
2.50%,
12/01/2032
425‌
438‌
2.50%,
01/01/2033
573‌
591‌
2.50%,
04/01/2033
1,684‌
1,737‌
2.50%,
07/01/2033
18‌
18‌
2.50%,
10/01/2034
2,915‌
2,995‌
2.50%,
02/01/2035
2,325‌
2,388‌
2.50%,
10/01/2036
72‌
75‌
2.50%,
10/01/2036
208‌
216‌
2.50%,
12/01/2036
188‌
194‌
2.50%,
01/01/2043
141‌
144‌
2.50%,
05/01/2043
179‌
183‌
2.50%,
10/01/2043
139‌
143‌
2.50%,
08/01/2046
138‌
142‌
2.50%,
12/01/2046
180‌
185‌
2.50%,
12/01/2046
185‌
190‌
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
(continued)
2.50%,
03/01/2050
(j)
$
8,500‌
$
8,673‌
3.00%,
12/01/2020
1‌
1‌
3.00%,
04/01/2027
119‌
123‌
3.00%,
01/01/2029
101‌
106‌
3.00%,
02/01/2029
88‌
91‌
3.00%,
12/01/2029
95‌
98‌
3.00%,
12/01/2029
203‌
211‌
3.00%,
01/01/2030
98‌
102‌
3.00%,
01/01/2030
542‌
562‌
3.00%,
01/01/2030
459‌
476‌
3.00%,
06/01/2030
348‌
361‌
3.00%,
07/01/2030
628‌
652‌
3.00%,
09/01/2030
114‌
119‌
3.00%,
10/01/2030
504‌
523‌
3.00%,
11/01/2030
496‌
516‌
3.00%,
12/01/2030
441‌
459‌
3.00%,
12/01/2030
94‌
98‌
3.00%,
02/01/2031
378‌
393‌
3.00%,
03/01/2031
268‌
278‌
3.00%,
04/01/2031
114‌
119‌
3.00%,
09/01/2031
550‌
572‌
3.00%,
12/01/2031
234‌
243‌
3.00%,
08/01/2032
504‌
524‌
3.00%,
09/01/2032
139‌
145‌
3.00%,
01/01/2033
55‌
58‌
3.00%,
04/01/2033
55‌
57‌
3.00%,
07/01/2033
227‌
236‌
3.00%,
02/01/2034
170‌
176‌
3.00%,
08/01/2034
577‌
605‌
3.00%,
09/01/2034
390‌
408‌
3.00%,
11/01/2034
303‌
317‌
3.00%,
12/01/2034
3,428‌
3,558‌
3.00%,
12/01/2034
144‌
151‌
3.00%,
02/01/2035
214‌
224‌
3.00%,
02/01/2035
127‌
133‌
3.00%,
03/01/2035
(j)
7,900‌
8,183‌
3.00%,
05/01/2035
649‌
677‌
3.00%,
06/01/2035
371‌
387‌
3.00%,
11/01/2035
157‌
163‌
3.00%,
02/01/2036
166‌
173‌
3.00%,
07/01/2036
274‌
286‌
3.00%,
12/01/2036
301‌
314‌
3.00%,
12/01/2036
191‌
199‌
3.00%,
12/01/2036
330‌
345‌
3.00%,
02/01/2037
306‌
319‌
3.00%,
11/01/2039
1,960‌
2,036‌
3.00%,
04/01/2042
160‌
168‌
3.00%,
11/01/2042
720‌
760‌
3.00%,
11/01/2042
605‌
634‌
3.00%,
12/01/2042
1,562‌
1,640‌
3.00%,
04/01/2043
630‌
659‌
3.00%,
04/01/2043
164‌
171‌
3.00%,
04/01/2043
16‌
17‌
3.00%,
04/01/2043
342‌
358‌
3.00%,
04/01/2043
638‌
668‌
3.00%,
05/01/2043
496‌
519‌
3.00%,
05/01/2043
295‌
308‌
3.00%,
05/01/2043
153‌
160‌
3.00%,
05/01/2043
611‌
642‌
3.00%,
05/01/2043
1,157‌
1,211‌
3.00%,
06/01/2043
731‌
762‌
3.00%,
06/01/2043
522‌
546‌
3.00%,
06/01/2043
177‌
185‌
3.00%,
07/01/2043
775‌
811‌
3.00%,
07/01/2043
151‌
158‌
3.00%,
07/01/2043
650‌
680‌
3.00%,
07/01/2043
901‌
945‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
89
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
(continued)
3.00%,
08/01/2043
$
856‌
$
895‌
3.00%,
08/01/2043
104‌
108‌
3.00%,
10/01/2043
725‌
759‌
3.00%,
10/01/2043
394‌
412‌
3.00%,
11/01/2043
171‌
179‌
3.00%,
01/01/2045
980‌
1,025‌
3.00%,
01/01/2045
197‌
206‌
3.00%,
01/01/2045
366‌
384‌
3.00%,
08/01/2045
241‌
252‌
3.00%,
12/01/2045
334‌
350‌
3.00%,
12/01/2045
411‌
430‌
3.00%,
01/01/2046
591‌
618‌
3.00%,
03/01/2046
266‌
278‌
3.00%,
04/01/2046
717‌
750‌
3.00%,
04/01/2046
109‌
114‌
3.00%,
04/01/2046
1,423‌
1,489‌
3.00%,
05/01/2046
276‌
289‌
3.00%,
05/01/2046
220‌
230‌
3.00%,
05/01/2046
585‌
612‌
3.00%,
08/01/2046
219‌
229‌
3.00%,
09/01/2046
924‌
966‌
3.00%,
10/01/2046
976‌
1,019‌
3.00%,
11/01/2046
535‌
561‌
3.00%,
11/01/2046
1,292‌
1,349‌
3.00%,
11/01/2046
1,038‌
1,086‌
3.00%,
11/01/2046
655‌
684‌
3.00%,
11/01/2046
446‌
466‌
3.00%,
11/01/2046
903‌
944‌
3.00%,
11/01/2046
891‌
932‌
3.00%,
12/01/2046
885‌
925‌
3.00%,
12/01/2046
392‌
409‌
3.00%,
12/01/2046
931‌
972‌
3.00%,
01/01/2047
994‌
1,037‌
3.00%,
02/01/2047
380‌
396‌
3.00%,
02/01/2047
558‌
583‌
3.00%,
03/01/2047
306‌
319‌
3.00%,
07/01/2047
1,153‌
1,204‌
3.00%,
03/01/2048
1,918‌
1,985‌
3.00%,
09/01/2048
481‌
497‌
3.00%,
10/01/2049
3,579‌
3,700‌
3.00%,
10/01/2049
1,938‌
2,004‌
3.00%,
10/01/2049
4,389‌
4,527‌
3.00%,
10/01/2049
3,273‌
3,376‌
3.00%,
10/01/2049
3,953‌
4,084‌
3.00%,
11/01/2049
1,746‌
1,803‌
3.00%,
11/01/2049
3,065‌
3,207‌
3.00%,
11/01/2049
9,881‌
10,190‌
3.00%,
11/01/2049
2,953‌
3,045‌
3.00%,
03/01/2050
(j)
18,000‌
18,541‌
3.50%,
12/01/2025
101‌
106‌
3.50%,
01/01/2026
325‌
340‌
3.50%,
10/01/2026
273‌
287‌
3.50%,
12/01/2026
179‌
187‌
3.50%,
06/01/2027
175‌
184‌
3.50%,
03/01/2029
130‌
137‌
3.50%,
09/01/2029
186‌
195‌
3.50%,
10/01/2029
282‌
296‌
3.50%,
11/01/2030
115‌
121‌
3.50%,
04/01/2032
26‌
28‌
3.50%,
07/01/2032
21‌
23‌
3.50%,
09/01/2032
24‌
25‌
3.50%,
12/01/2032
3,287‌
3,480‌
3.50%,
10/01/2033
366‌
384‌
3.50%,
10/01/2033
13‌
14‌
3.50%,
10/01/2033
329‌
345‌
3.50%,
05/01/2034
77‌
82‌
3.50%,
06/01/2034
55‌
58‌
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
(continued)
3.50%,
07/01/2034
$
347‌
$
367‌
3.50%,
09/01/2034
269‌
284‌
3.50%,
10/01/2034
84‌
89‌
3.50%,
03/01/2035
(j)
1,000‌
1,047‌
3.50%,
12/01/2035
480‌
508‌
3.50%,
02/01/2036
102‌
107‌
3.50%,
07/01/2036
160‌
168‌
3.50%,
08/01/2036
163‌
171‌
3.50%,
02/01/2037
81‌
85‌
3.50%,
05/01/2037
134‌
141‌
3.50%,
06/01/2038
263‌
276‌
3.50%,
07/01/2038
246‌
258‌
3.50%,
03/01/2041
42‌
45‌
3.50%,
02/01/2042
408‌
434‌
3.50%,
03/01/2042
98‌
104‌
3.50%,
05/01/2042
607‌
646‌
3.50%,
06/01/2042
549‌
584‌
3.50%,
07/01/2042
101‌
107‌
3.50%,
10/01/2042
781‌
831‌
3.50%,
04/01/2043
743‌
790‌
3.50%,
05/01/2043
452‌
481‌
3.50%,
05/01/2043
736‌
783‌
3.50%,
06/01/2043
136‌
145‌
3.50%,
08/01/2043
551‌
586‌
3.50%,
09/01/2043
1,445‌
1,538‌
3.50%,
11/01/2043
212‌
226‌
3.50%,
01/01/2044
1,523‌
1,642‌
3.50%,
01/01/2044
181‌
193‌
3.50%,
07/01/2044
825‌
877‌
3.50%,
10/01/2044
343‌
363‌
3.50%,
11/01/2044
384‌
407‌
3.50%,
12/01/2044
509‌
538‌
3.50%,
12/01/2044
488‌
516‌
3.50%,
01/01/2045
577‌
610‌
3.50%,
02/01/2045
377‌
395‌
3.50%,
02/01/2045
594‌
629‌
3.50%,
04/01/2045
361‌
383‌
3.50%,
04/01/2045
485‌
518‌
3.50%,
07/01/2045
631‌
668‌
3.50%,
08/01/2045
392‌
415‌
3.50%,
08/01/2045
355‌
376‌
3.50%,
09/01/2045
321‌
339‌
3.50%,
10/01/2045
182‌
192‌
3.50%,
10/01/2045
257‌
272‌
3.50%,
11/01/2045
465‌
492‌
3.50%,
11/01/2045
457‌
484‌
3.50%,
11/01/2045
461‌
488‌
3.50%,
11/01/2045
247‌
262‌
3.50%,
12/01/2045
204‌
216‌
3.50%,
12/01/2045
37‌
39‌
3.50%,
12/01/2045
621‌
657‌
3.50%,
12/01/2045
681‌
722‌
3.50%,
12/01/2045
568‌
601‌
3.50%,
12/01/2045
537‌
568‌
3.50%,
12/01/2045
271‌
287‌
3.50%,
01/01/2046
155‌
163‌
3.50%,
01/01/2046
656‌
694‌
3.50%,
01/01/2046
627‌
663‌
3.50%,
01/01/2046
650‌
687‌
3.50%,
02/01/2046
242‌
256‌
3.50%,
03/01/2046
174‌
184‌
3.50%,
03/01/2046
746‌
789‌
3.50%,
03/01/2046
593‌
627‌
3.50%,
03/01/2046
532‌
562‌
3.50%,
03/01/2046
510‌
539‌
3.50%,
04/01/2046
728‌
769‌
3.50%,
04/01/2046
119‌
125‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
90
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
(continued)
3.50%,
05/01/2046
$
293‌
$
309‌
3.50%,
05/01/2046
126‌
133‌
3.50%,
06/01/2046
146‌
155‌
3.50%,
07/01/2046
636‌
672‌
3.50%,
09/01/2046
430‌
454‌
3.50%,
12/01/2046
515‌
544‌
3.50%,
02/01/2047
917‌
968‌
3.50%,
03/01/2047
414‌
436‌
3.50%,
06/01/2047
903‌
951‌
3.50%,
09/01/2047
1,419‌
1,496‌
3.50%,
10/01/2047
1,022‌
1,077‌
3.50%,
10/01/2047
993‌
1,046‌
3.50%,
11/01/2047
1,179‌
1,242‌
3.50%,
12/01/2047
1,446‌
1,523‌
3.50%,
12/01/2047
1,020‌
1,075‌
3.50%,
12/01/2047
3,486‌
3,673‌
3.50%,
01/01/2048
1,320‌
1,390‌
3.50%,
02/01/2048
1,073‌
1,130‌
3.50%,
02/01/2048
462‌
486‌
3.50%,
03/01/2048
109‌
115‌
3.50%,
04/01/2048
847‌
889‌
3.50%,
10/01/2048
429‌
447‌
3.50%,
10/01/2048
49‌
51‌
3.50%,
02/01/2049
507‌
528‌
3.50%,
04/01/2049
1,195‌
1,250‌
3.50%,
06/01/2049
1,197‌
1,251‌
3.50%,
06/01/2049
921‌
962‌
3.50%,
06/01/2049
4,514‌
4,708‌
3.50%,
07/01/2049
5,798‌
6,049‌
3.50%,
07/01/2049
3,716‌
3,881‌
3.50%,
07/01/2049
2,580‌
2,701‌
3.50%,
07/01/2049
3,585‌
3,748‌
3.50%,
08/01/2049
2,813‌
2,933‌
3.50%,
09/01/2049
4,709‌
4,913‌
3.50%,
09/01/2049
3,713‌
3,873‌
3.50%,
09/01/2049
2,640‌
2,777‌
3.50%,
10/01/2049
2,891‌
3,016‌
3.50%,
11/01/2049
6,463‌
6,800‌
4.00%,
12/01/2024
195‌
205‌
4.00%,
04/01/2029
9‌
10‌
4.00%,
12/01/2030
13‌
14‌
4.00%,
03/01/2031
699‌
735‌
4.00%,
03/01/2031
116‌
121‌
4.00%,
11/01/2031
17‌
18‌
4.00%,
11/01/2033
77‌
81‌
4.00%,
11/01/2033
288‌
311‌
4.00%,
10/01/2034
184‌
198‌
4.00%,
02/01/2036
267‌
288‌
4.00%,
01/01/2037
89‌
95‌
4.00%,
10/01/2037
155‌
166‌
4.00%,
03/01/2038
73‌
78‌
4.00%,
07/01/2038
332‌
354‌
4.00%,
12/01/2038
223‌
236‌
4.00%,
01/01/2039
311‌
328‌
4.00%,
09/01/2040
108‌
117‌
4.00%,
01/01/2041
107‌
117‌
4.00%,
02/01/2041
40‌
43‌
4.00%,
12/01/2041
187‌
204‌
4.00%,
06/01/2042
281‌
304‌
4.00%,
06/01/2042
149‌
161‌
4.00%,
07/01/2042
835‌
903‌
4.00%,
12/01/2042
314‌
341‌
4.00%,
06/01/2043
401‌
436‌
4.00%,
09/01/2043
500‌
541‌
4.00%,
11/01/2043
507‌
549‌
4.00%,
11/01/2043
440‌
477‌
4.00%,
05/01/2044
135‌
146‌
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
(continued)
4.00%,
08/01/2044
$
392‌
$
425‌
4.00%,
08/01/2044
126‌
136‌
4.00%,
08/01/2044
176‌
190‌
4.00%,
09/01/2044
173‌
188‌
4.00%,
09/01/2044
185‌
200‌
4.00%,
10/01/2044
108‌
117‌
4.00%,
11/01/2044
197‌
212‌
4.00%,
11/01/2044
124‌
135‌
4.00%,
11/01/2044
105‌
113‌
4.00%,
11/01/2044
92‌
100‌
4.00%,
12/01/2044
213‌
231‌
4.00%,
12/01/2044
269‌
291‌
4.00%,
01/01/2045
420‌
455‌
4.00%,
01/01/2045
152‌
165‌
4.00%,
02/01/2045
147‌
158‌
4.00%,
02/01/2045
381‌
412‌
4.00%,
03/01/2045
110‌
119‌
4.00%,
04/01/2045
307‌
328‌
4.00%,
08/01/2045
159‌
172‌
4.00%,
09/01/2045
133‌
143‌
4.00%,
09/01/2045
495‌
533‌
4.00%,
11/01/2045
605‌
652‌
4.00%,
12/01/2045
146‌
157‌
4.00%,
12/01/2045
216‌
232‌
4.00%,
02/01/2046
412‌
443‌
4.00%,
03/01/2046
838‌
896‌
4.00%,
04/01/2046
413‌
443‌
4.00%,
07/01/2046
155‌
165‌
4.00%,
03/01/2047
608‌
646‌
4.00%,
06/01/2047
273‌
290‌
4.00%,
08/01/2047
447‌
476‌
4.00%,
10/01/2047
462‌
492‌
4.00%,
11/01/2047
1,718‌
1,834‌
4.00%,
01/01/2048
1,301‌
1,385‌
4.00%,
01/01/2048
1,356‌
1,444‌
4.00%,
05/01/2048
386‌
421‌
4.00%,
05/01/2048
3,604‌
3,835‌
4.00%,
06/01/2048
937‌
990‌
4.00%,
06/01/2048
7,836‌
8,287‌
4.00%,
06/01/2048
1,155‌
1,225‌
4.00%,
07/01/2048
669‌
708‌
4.00%,
07/01/2048
346‌
365‌
4.00%,
08/01/2048
739‌
782‌
4.00%,
09/01/2048
836‌
882‌
4.00%,
09/01/2048
746‌
787‌
4.00%,
09/01/2048
956‌
1,010‌
4.00%,
10/01/2048
318‌
343‌
4.00%,
01/01/2049
7,582‌
8,190‌
4.00%,
01/01/2049
4,876‌
5,187‌
4.00%,
03/01/2049
1,569‌
1,653‌
4.00%,
03/01/2049
718‌
763‌
4.00%,
04/01/2049
957‌
1,011‌
4.00%,
04/01/2049
622‌
658‌
4.00%,
04/01/2049
463‌
488‌
4.00%,
07/01/2049
2,777‌
2,938‌
4.00%,
08/01/2049
4,629‌
4,887‌
4.00%,
10/01/2049
4,279‌
4,545‌
4.00%,
10/01/2049
5,381‌
5,777‌
4.00%,
11/01/2049
2,920‌
3,090‌
4.50%,
08/01/2023
98‌
104‌
4.50%,
06/01/2029
22‌
24‌
4.50%,
07/01/2029
5‌
5‌
4.50%,
08/01/2030
12‌
13‌
4.50%,
01/01/2034
35‌
38‌
4.50%,
04/01/2039
141‌
156‌
4.50%,
09/01/2040
276‌
304‌
4.50%,
05/01/2041
336‌
371‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
91
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
(continued)
4.50%,
08/01/2041
$
313‌
$
345‌
4.50%,
09/01/2041
412‌
455‌
4.50%,
09/01/2043
258‌
283‌
4.50%,
11/01/2043
280‌
307‌
4.50%,
11/01/2043
163‌
178‌
4.50%,
01/01/2044
274‌
300‌
4.50%,
02/01/2044
87‌
95‌
4.50%,
03/01/2044
253‌
276‌
4.50%,
04/01/2044
361‌
394‌
4.50%,
04/01/2044
207‌
226‌
4.50%,
05/01/2044
295‌
322‌
4.50%,
05/01/2044
79‌
86‌
4.50%,
05/01/2044
285‌
313‌
4.50%,
08/01/2044
71‌
76‌
4.50%,
08/01/2044
339‌
370‌
4.50%,
10/01/2044
206‌
224‌
4.50%,
04/01/2045
86‌
92‌
4.50%,
04/01/2046
99‌
108‌
4.50%,
05/01/2046
205‌
224‌
4.50%,
01/01/2047
134‌
147‌
4.50%,
01/01/2047
448‌
489‌
4.50%,
03/01/2048
502‌
540‌
4.50%,
10/01/2048
2,071‌
2,214‌
4.50%,
04/01/2049
1,129‌
1,206‌
4.50%,
05/01/2049
5,300‌
5,732‌
4.50%,
07/01/2049
1,748‌
1,874‌
4.50%,
07/01/2049
1,635‌
1,751‌
4.50%,
09/01/2049
3,573‌
3,827‌
5.00%,
12/01/2025
33‌
35‌
5.00%,
01/01/2039
582‌
658‌
5.00%,
07/01/2039
215‌
242‌
5.00%,
02/01/2041
195‌
219‌
5.00%,
02/01/2041
121‌
136‌
5.00%,
04/01/2041
425‌
478‌
5.00%,
05/01/2042
237‌
266‌
5.00%,
07/01/2042
111‌
125‌
5.00%,
03/01/2044
87‌
96‌
5.00%,
05/01/2044
149‌
166‌
5.00%,
02/01/2045
205‌
230‌
5.00%,
06/01/2045
566‌
636‌
5.00%,
05/01/2048
324‌
351‌
5.00%,
06/01/2048
182‌
197‌
5.00%,
08/01/2048
121‌
131‌
5.00%,
09/01/2048
100‌
109‌
5.00%,
05/01/2049
239‌
259‌
5.00%,
06/01/2049
1,889‌
2,046‌
5.00%,
07/01/2049
346‌
381‌
5.00%,
08/01/2049
1,795‌
1,975‌
5.50%,
12/01/2027
50‌
54‌
5.50%,
03/01/2038
119‌
137‌
5.50%,
05/01/2038
140‌
161‌
5.50%,
06/01/2038
193‌
223‌
5.50%,
09/01/2038
305‌
351‌
5.50%,
11/01/2038
168‌
194‌
5.50%,
04/01/2039
160‌
185‌
5.50%,
04/01/2040
201‌
230‌
6.00%,
04/01/2026
26‌
29‌
6.00%,
10/01/2036
151‌
177‌
$
368,796‌
Government
National
Mortgage
Association
(GNMA)
-
6.98%
2.50%,
06/20/2027
142‌
147‌
2.50%,
12/20/2030
132‌
136‌
2.50%,
03/20/2031
215‌
222‌
2.50%,
07/20/2043
162‌
167‌
2.50%,
12/20/2046
525‌
542‌
2.50%,
01/20/2047
179‌
185‌
2.50%,
03/01/2050
1,000‌
1,027‌
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Government
National
Mortgage
Association
(GNMA)
(continued)
3.00%,
02/15/2027
$
89‌
$
93‌
3.00%,
08/20/2029
101‌
105‌
3.00%,
09/20/2029
120‌
125‌
3.00%,
07/20/2030
94‌
98‌
3.00%,
01/20/2031
101‌
105‌
3.00%,
07/20/2032
138‌
144‌
3.00%,
09/20/2042
93‌
97‌
3.00%,
11/20/2042
686‌
715‌
3.00%,
12/20/2042
508‌
531‌
3.00%,
01/20/2043
499‌
521‌
3.00%,
03/20/2043
560‌
583‌
3.00%,
03/20/2043
104‌
109‌
3.00%,
03/20/2043
640‌
667‌
3.00%,
04/20/2043
803‌
837‌
3.00%,
06/20/2043
715‌
745‌
3.00%,
08/20/2043
779‌
812‌
3.00%,
05/20/2044
295‌
308‌
3.00%,
12/15/2044
89‌
92‌
3.00%,
12/20/2044
917‌
960‌
3.00%,
01/15/2045
108‌
112‌
3.00%,
01/15/2045
105‌
108‌
3.00%,
02/20/2045
93‌
98‌
3.00%,
05/20/2045
617‌
647‌
3.00%,
06/20/2045
251‌
263‌
3.00%,
07/20/2045
1,744‌
1,828‌
3.00%,
08/20/2045
791‌
827‌
3.00%,
09/20/2045
339‌
355‌
3.00%,
10/20/2045
734‌
766‌
3.00%,
12/20/2045
408‌
425‌
3.00%,
01/20/2046
186‌
195‌
3.00%,
03/20/2046
785‌
820‌
3.00%,
04/20/2046
1,820‌
1,903‌
3.00%,
05/20/2046
1,310‌
1,369‌
3.00%,
06/20/2046
1,270‌
1,326‌
3.00%,
07/20/2046
783‌
817‌
3.00%,
08/20/2046
1,197‌
1,249‌
3.00%,
09/20/2046
893‌
931‌
3.00%,
10/20/2046
669‌
698‌
3.00%,
11/20/2046
1,297‌
1,352‌
3.00%,
11/20/2046
905‌
943‌
3.00%,
12/15/2046
228‌
236‌
3.00%,
12/20/2046
1,124‌
1,171‌
3.00%,
01/20/2047
871‌
908‌
3.00%,
09/20/2047
248‌
258‌
3.00%,
11/20/2047
961‌
999‌
3.00%,
02/20/2048
815‌
847‌
3.00%,
03/01/2050
21,200‌
21,908‌
3.50%,
05/20/2042
196‌
208‌
3.50%,
06/20/2042
199‌
212‌
3.50%,
07/20/2042
785‌
834‌
3.50%,
09/20/2042
589‌
624‌
3.50%,
10/20/2042
424‌
449‌
3.50%,
11/20/2042
370‌
393‌
3.50%,
12/20/2042
375‌
398‌
3.50%,
01/20/2043
609‌
645‌
3.50%,
02/20/2043
970‌
1,027‌
3.50%,
03/20/2043
663‌
701‌
3.50%,
04/15/2043
325‌
345‌
3.50%,
04/20/2043
453‌
482‌
3.50%,
05/20/2043
291‌
310‌
3.50%,
07/20/2043
376‌
400‌
3.50%,
08/20/2043
970‌
1,028‌
3.50%,
09/20/2043
683‌
724‌
3.50%,
10/20/2043
323‌
342‌
3.50%,
09/20/2044
312‌
328‌
3.50%,
10/20/2044
361‌
382‌
3.50%,
11/20/2044
354‌
373‌
3.50%,
12/20/2044
369‌
389‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
92
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Government
National
Mortgage
Association
(GNMA)
(continued)
3.50%,
01/20/2045
$
357‌
$
377‌
3.50%,
02/20/2045
491‌
517‌
3.50%,
03/15/2045
114‌
119‌
3.50%,
03/20/2045
625‌
659‌
3.50%,
04/15/2045
89‌
94‌
3.50%,
04/20/2045
387‌
408‌
3.50%,
04/20/2045
493‌
526‌
3.50%,
05/20/2045
634‌
668‌
3.50%,
06/20/2045
95‌
100‌
3.50%,
07/20/2045
527‌
555‌
3.50%,
08/20/2045
564‌
595‌
3.50%,
09/20/2045
549‌
580‌
3.50%,
10/20/2045
500‌
526‌
3.50%,
11/20/2045
871‌
917‌
3.50%,
12/20/2045
628‌
661‌
3.50%,
01/20/2046
1,347‌
1,419‌
3.50%,
02/20/2046
537‌
566‌
3.50%,
03/20/2046
533‌
561‌
3.50%,
04/20/2046
625‌
659‌
3.50%,
05/20/2046
698‌
733‌
3.50%,
06/20/2046
1,356‌
1,423‌
3.50%,
07/20/2046
689‌
726‌
3.50%,
08/15/2046
165‌
172‌
3.50%,
08/20/2046
708‌
742‌
3.50%,
09/15/2046
97‌
102‌
3.50%,
09/20/2046
696‌
733‌
3.50%,
10/20/2046
700‌
737‌
3.50%,
11/20/2046
630‌
660‌
3.50%,
12/20/2046
536‌
559‌
3.50%,
02/20/2047
612‌
640‌
3.50%,
03/20/2047
1,351‌
1,415‌
3.50%,
04/20/2047
3,040‌
3,184‌
3.50%,
05/20/2047
637‌
667‌
3.50%,
06/20/2047
864‌
901‌
3.50%,
07/20/2047
2,146‌
2,250‌
3.50%,
08/20/2047
2,514‌
2,637‌
3.50%,
09/20/2047
779‌
820‌
3.50%,
10/20/2047
1,019‌
1,067‌
3.50%,
11/20/2047
1,933‌
2,024‌
3.50%,
12/20/2047
1,109‌
1,162‌
3.50%,
01/15/2048
109‌
114‌
3.50%,
01/20/2048
1,247‌
1,301‌
3.50%,
04/20/2048
887‌
932‌
3.50%,
08/20/2048
778‌
814‌
3.50%,
09/15/2048
98‌
106‌
3.50%,
03/01/2050
16,800‌
17,410‌
4.00%,
11/20/2043
601‌
644‌
4.00%,
02/20/2044
244‌
261‌
4.00%,
05/15/2044
162‌
176‌
4.00%,
05/20/2044
140‌
150‌
4.00%,
07/20/2044
40‌
43‌
4.00%,
08/20/2044
304‌
326‌
4.00%,
09/20/2044
266‌
286‌
4.00%,
10/20/2044
992‌
1,064‌
4.00%,
11/15/2044
81‌
86‌
4.00%,
11/20/2044
197‌
212‌
4.00%,
12/20/2044
354‌
380‌
4.00%,
01/20/2045
150‌
161‌
4.00%,
03/20/2045
225‌
241‌
4.00%,
08/20/2045
315‌
338‌
4.00%,
09/15/2045
124‌
133‌
4.00%,
09/20/2045
377‌
405‌
4.00%,
10/20/2045
464‌
497‌
4.00%,
11/20/2045
632‌
677‌
4.00%,
12/15/2045
136‌
147‌
4.00%,
01/20/2046
732‌
787‌
4.00%,
02/20/2046
114‌
122‌
4.00%,
04/20/2046
446‌
476‌
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Government
National
Mortgage
Association
(GNMA)
(continued)
4.00%,
10/20/2046
$
128‌
$
135‌
4.00%,
11/20/2046
604‌
637‌
4.00%,
01/20/2047
37‌
39‌
4.00%,
02/20/2047
654‌
688‌
4.00%,
03/20/2047
474‌
501‌
4.00%,
05/20/2047
163‌
172‌
4.00%,
07/20/2047
3,337‌
3,552‌
4.00%,
09/20/2047
5,850‌
6,198‌
4.00%,
11/20/2047
1,058‌
1,116‌
4.00%,
12/20/2047
1,043‌
1,104‌
4.00%,
01/20/2048
708‌
750‌
4.00%,
02/20/2048
8,810‌
9,325‌
4.00%,
06/20/2048
755‌
792‌
4.00%,
07/20/2048
952‌
1,006‌
4.00%,
08/20/2048
1,419‌
1,493‌
4.00%,
09/20/2048
827‌
871‌
4.00%,
10/20/2048
1,038‌
1,090‌
4.00%,
11/20/2048
624‌
658‌
4.00%,
12/20/2048
807‌
846‌
4.50%,
03/15/2039
206‌
228‌
4.50%,
03/15/2040
281‌
310‌
4.50%,
07/15/2040
275‌
304‌
4.50%,
02/20/2041
40‌
44‌
4.50%,
03/20/2041
31‌
34‌
4.50%,
10/20/2043
159‌
172‌
4.50%,
11/20/2043
234‌
253‌
4.50%,
01/20/2044
286‌
310‌
4.50%,
02/20/2044
217‌
234‌
4.50%,
05/20/2044
536‌
580‌
4.50%,
07/20/2044
143‌
154‌
4.50%,
01/20/2045
111‌
120‌
4.50%,
04/20/2045
174‌
189‌
4.50%,
05/15/2045
158‌
175‌
4.50%,
05/20/2045
124‌
134‌
4.50%,
09/15/2045
71‌
77‌
4.50%,
02/20/2046
213‌
231‌
4.50%,
03/20/2046
112‌
120‌
4.50%,
04/20/2046
132‌
143‌
4.50%,
08/15/2046
105‌
115‌
4.50%,
12/20/2046
368‌
398‌
4.50%,
03/15/2047
220‌
241‌
4.50%,
06/20/2047
332‌
356‌
4.50%,
10/15/2047
217‌
235‌
4.50%,
02/20/2048
4,158‌
4,427‌
4.50%,
03/20/2048
184‌
194‌
4.50%,
05/20/2048
2,039‌
2,166‌
4.50%,
06/20/2048
597‌
634‌
4.50%,
07/20/2048
545‌
580‌
4.50%,
08/20/2048
973‌
1,032‌
4.50%,
09/20/2048
735‌
778‌
4.50%,
10/20/2048
742‌
786‌
4.50%,
11/20/2048
693‌
730‌
4.50%,
12/20/2048
614‌
648‌
5.00%,
05/15/2033
176‌
197‌
5.00%,
07/20/2038
159‌
178‌
5.00%,
10/15/2038
232‌
261‌
5.00%,
04/20/2039
107‌
119‌
5.00%,
10/15/2041
158‌
174‌
5.00%,
01/20/2045
198‌
220‌
5.00%,
02/20/2046
65‌
73‌
5.00%,
12/20/2046
166‌
186‌
5.00%,
06/20/2048
3,759‌
4,048‌
5.00%,
08/20/2048
101‌
108‌
5.00%,
10/20/2048
382‌
407‌
5.50%,
03/15/2038
160‌
176‌
5.50%,
02/15/2039
93‌
104‌
5.50%,
06/15/2040
307‌
339‌
5.50%,
07/20/2044
152‌
171‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
93
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Government
National
Mortgage
Association
(GNMA)
(continued)
5.50%,
09/20/2044
$
190‌
$
214‌
5.50%,
12/20/2048
56‌
60‌
$
181,316‌
U.S.
Treasury
-
39.85%
1.13%,
06/30/2021
6,280‌
6,288‌
1.13%,
07/31/2021
4,170‌
4,178‌
1.13%,
08/31/2021
5,835‌
5,847‌
1.13%,
09/30/2021
3,585‌
3,594‌
1.13%,
02/28/2022
(k)
18,700‌
18,791‌
1.25%,
10/31/2021
5,830‌
5,859‌
1.25%,
07/31/2023
9,625‌
9,741‌
1.25%,
08/31/2024
7,495‌
7,604‌
1.38%,
04/30/2021
4,920‌
4,937‌
1.38%,
05/31/2021
9,465‌
9,505‌
1.38%,
01/31/2022
(a)
4,630‌
4,672‌
1.38%,
06/30/2023
2,745‌
2,788‌
1.38%,
08/31/2023
10,210‌
10,378‌
1.38%,
09/30/2023
3,375‌
3,432‌
1.38%,
08/31/2026
7,400‌
7,564‌
1.50%,
08/31/2021
3,600‌
3,628‌
1.50%,
09/30/2021
1,450‌
1,462‌
1.50%,
10/31/2021
3,950‌
3,986‌
1.50%,
11/30/2021
6,450‌
6,514‌
1.50%,
01/31/2022
3,800‌
3,842‌
1.50%,
08/15/2022
2,200‌
2,233‌
1.50%,
02/28/2023
2,090‌
2,128‌
1.50%,
03/31/2023
3,520‌
3,586‌
1.50%,
09/30/2024
1,925‌
1,975‌
1.50%,
11/30/2024
6,000‌
6,163‌
1.50%,
08/15/2026
15,480‌
15,940‌
1.63%,
12/31/2021
3,025‌
3,064‌
1.63%,
08/15/2022
6,128‌
6,239‌
1.63%,
08/31/2022
3,500‌
3,564‌
1.63%,
11/15/2022
4,915‌
5,012‌
1.63%,
04/30/2023
1,875‌
1,918‌
1.63%,
05/31/2023
3,000‌
3,070‌
1.63%,
10/31/2023
3,270‌
3,356‌
1.63%,
02/15/2026
11,523‌
11,940‌
1.63%,
05/15/2026
5,851‌
6,067‌
1.63%,
09/30/2026
4,225‌
4,386‌
1.63%,
11/30/2026
6,285‌
6,527‌
1.63%,
08/15/2029
(a)
6,575‌
6,870‌
1.75%,
11/30/2021
3,600‌
3,651‌
1.75%,
02/28/2022
2,815‌
2,862‌
1.75%,
03/31/2022
3,070‌
3,124‌
1.75%,
04/30/2022
3,325‌
3,386‌
1.75%,
05/15/2022
2,620‌
2,669‌
1.75%,
05/31/2022
3,370‌
3,434‌
1.75%,
06/30/2022
2,730‌
2,784‌
1.75%,
09/30/2022
12,360‌
12,634‌
1.75%,
01/31/2023
4,310‌
4,418‌
1.75%,
05/15/2023
4,000‌
4,108‌
1.75%,
07/31/2024
11,385‌
11,795‌
1.75%,
11/15/2029
3,475‌
3,672‌
1.88%,
11/30/2021
4,660‌
4,736‌
1.88%,
01/31/2022
1,670‌
1,700‌
1.88%,
02/28/2022
3,370‌
3,434‌
1.88%,
03/31/2022
3,750‌
3,825‌
1.88%,
04/30/2022
1,160‌
1,184‌
1.88%,
05/31/2022
1,580‌
1,615‌
1.88%,
07/31/2022
2,850‌
2,917‌
1.88%,
08/31/2022
2,655‌
2,719‌
1.88%,
09/30/2022
3,210‌
3,292‌
1.88%,
10/31/2022
3,955‌
4,058‌
1.88%,
08/31/2024
10,900‌
11,357‌
1.88%,
07/31/2026
3,000‌
3,160‌
2.00%,
05/31/2021
7,700‌
7,791‌
2.00%,
08/31/2021
3,150‌
3,198‌
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
U.S.
Treasury
(continued)
2.00%,
10/31/2021
$
4,750‌
$
4,832‌
2.00%,
11/15/2021
10,040‌
10,220‌
2.00%,
12/31/2021
3,000‌
3,058‌
2.00%,
02/15/2022
4,000‌
4,085‌
2.00%,
07/31/2022
5,600‌
5,749‌
2.00%,
10/31/2022
7,320‌
7,535‌
2.00%,
11/30/2022
3,785‌
3,899‌
2.00%,
02/15/2023
4,741‌
4,896‌
2.00%,
04/30/2024
1,990‌
2,078‌
2.00%,
05/31/2024
4,660‌
4,870‌
2.00%,
06/30/2024
1,500‌
1,569‌
2.00%,
02/15/2025
9,325‌
9,807‌
2.00%,
08/15/2025
4,020‌
4,240‌
2.00%,
11/15/2026
2,840‌
3,017‌
2.13%,
05/31/2021
3,200‌
3,243‌
2.13%,
08/15/2021
2,810‌
2,856‌
2.13%,
09/30/2021
4,400‌
4,480‌
2.13%,
12/31/2021
4,000‌
4,087‌
2.13%,
05/15/2022
1,000‌
1,027‌
2.13%,
06/30/2022
2,000‌
2,057‌
2.13%,
12/31/2022
4,080‌
4,222‌
2.13%,
11/30/2023
6,845‌
7,152‌
2.13%,
02/29/2024
5,315‌
5,568‌
2.13%,
03/31/2024
4,200‌
4,404‌
2.13%,
09/30/2024
7,825‌
8,246‌
2.13%,
11/30/2024
5,450‌
5,753‌
2.13%,
05/15/2025
6,500‌
6,888‌
2.13%,
05/31/2026
9,900‌
10,567‌
2.25%,
03/31/2021
4,270‌
4,324‌
2.25%,
04/30/2021
5,570‌
5,647‌
2.25%,
07/31/2021
3,500‌
3,562‌
2.25%,
04/15/2022
3,440‌
3,537‌
2.25%,
12/31/2023
5,300‌
5,568‌
2.25%,
01/31/2024
4,855‌
5,105‌
2.25%,
04/30/2024
3,710‌
3,912‌
2.25%,
10/31/2024
8,350‌
8,855‌
2.25%,
11/15/2024
10,245‌
10,868‌
2.25%,
12/31/2024
4,000‌
4,249‌
2.25%,
11/15/2025
7,120‌
7,621‌
2.25%,
03/31/2026
4,985‌
5,352‌
2.25%,
02/15/2027
5,910‌
6,389‌
2.25%,
08/15/2027
8,065‌
8,758‌
2.25%,
11/15/2027
6,860‌
7,463‌
2.25%,
08/15/2046
3,620‌
4,056‌
2.25%,
08/15/2049
6,335‌
7,192‌
2.38%,
03/15/2021
2,325‌
2,356‌
2.38%,
04/15/2021
3,460‌
3,510‌
2.38%,
03/15/2022
3,535‌
3,641‌
2.38%,
01/31/2023
2,985‌
3,113‌
2.38%,
02/29/2024
3,640‌
3,849‌
2.38%,
08/15/2024
8,135‌
8,652‌
2.38%,
04/30/2026
2,895‌
3,132‌
2.38%,
05/15/2027
6,075‌
6,636‌
2.38%,
05/15/2029
9,110‌
10,110‌
2.38%,
11/15/2049
2,205‌
2,571‌
2.50%,
01/15/2022
3,735‌
3,844‌
2.50%,
02/15/2022
3,375‌
3,479‌
2.50%,
03/31/2023
2,905‌
3,048‌
2.50%,
08/15/2023
18,660‌
19,677‌
2.50%,
01/31/2024
3,600‌
3,820‌
2.50%,
05/15/2024
3,500‌
3,729‌
2.50%,
01/31/2025
2,500‌
2,689‌
2.50%,
02/28/2026
2,840‌
3,088‌
2.50%,
02/15/2045
4,825‌
5,629‌
2.50%,
02/15/2046
7,105‌
8,320‌
2.50%,
05/15/2046
4,080‌
4,785‌
2.63%,
05/15/2021
3,095‌
3,153‌
2.63%,
06/15/2021
6,145‌
6,271‌
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
94
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
U.S.
Treasury
(continued)
2.63%,
07/15/2021
$
3,000‌
$
3,066‌
2.63%,
12/15/2021
3,185‌
3,280‌
2.63%,
02/28/2023
3,030‌
3,186‌
2.63%,
06/30/2023
5,000‌
5,284‌
2.63%,
12/31/2023
3,435‌
3,657‌
2.63%,
12/31/2025
2,160‌
2,360‌
2.63%,
01/31/2026
6,790‌
7,426‌
2.63%,
02/15/2029
13,500‌
15,243‌
2.75%,
08/15/2021
2,640‌
2,707‌
2.75%,
09/15/2021
2,465‌
2,532‌
2.75%,
04/30/2023
2,875‌
3,042‌
2.75%,
05/31/2023
2,900‌
3,072‌
2.75%,
07/31/2023
2,818‌
2,993‌
2.75%,
08/31/2023
2,875‌
3,058‌
2.75%,
11/15/2023
6,380‌
6,809‌
2.75%,
02/15/2024
4,600‌
4,929‌
2.75%,
02/28/2025
3,500‌
3,810‌
2.75%,
08/31/2025
2,000‌
2,191‌
2.75%,
02/15/2028
4,790‌
5,405‌
2.75%,
08/15/2042
3,264‌
3,959‌
2.75%,
11/15/2042
3,230‌
3,919‌
2.75%,
08/15/2047
5,875‌
7,260‌
2.75%,
11/15/2047
4,620‌
5,718‌
2.88%,
10/15/2021
3,590‌
3,701‌
2.88%,
11/15/2021
3,190‌
3,294‌
2.88%,
09/30/2023
2,935‌
3,139‌
2.88%,
10/31/2023
3,405‌
3,646‌
2.88%,
11/30/2023
3,445‌
3,694‌
2.88%,
04/30/2025
3,325‌
3,648‌
2.88%,
05/31/2025
2,000‌
2,197‌
2.88%,
07/31/2025
2,000‌
2,201‌
2.88%,
11/30/2025
1,470‌
1,625‌
2.88%,
05/15/2028
6,645‌
7,582‌
2.88%,
08/15/2028
11,385‌
13,026‌
2.88%,
05/15/2043
4,430‌
5,485‌
2.88%,
08/15/2045
3,750‌
4,678‌
2.88%,
11/15/2046
4,855‌
6,109‌
2.88%,
05/15/2049
2,530‌
3,239‌
3.00%,
09/30/2025
540‌
599‌
3.00%,
10/31/2025
3,000‌
3,333‌
3.00%,
05/15/2042
240‌
303‌
3.00%,
11/15/2044
4,505‌
5,714‌
3.00%,
05/15/2045
4,225‌
5,373‌
3.00%,
11/15/2045
5,485‌
6,998‌
3.00%,
02/15/2047
3,135‌
4,040‌
3.00%,
05/15/2047
3,235‌
4,171‌
3.00%,
02/15/2048
4,380‌
5,676‌
3.00%,
08/15/2048
5,075‌
6,607‌
3.00%,
02/15/2049
7,625‌
9,970‌
3.13%,
05/15/2021
3,000‌
3,075‌
3.13%,
11/15/2028
7,025‌
8,205‌
3.13%,
11/15/2041
2,600‌
3,337‌
3.13%,
02/15/2042
1,140‌
1,465‌
3.13%,
02/15/2043
2,680‌
3,447‌
3.13%,
08/15/2044
5,990‌
7,745‌
3.13%,
05/15/2048
5,355‌
7,108‌
3.38%,
05/15/2044
3,845‌
5,162‌
3.38%,
11/15/2048
6,470‌
9,005‌
3.63%,
08/15/2043
2,840‌
3,942‌
3.63%,
02/15/2044
8,030‌
11,174‌
3.75%,
08/15/2041
2,660‌
3,718‌
3.75%,
11/15/2043
2,960‌
4,189‌
3.88%,
08/15/2040
2,230‌
3,153‌
4.25%,
05/15/2039
2,135‌
3,138‌
4.25%,
11/15/2040
1,038‌
1,540‌
4.38%,
02/15/2038
495‌
730‌
4.38%,
11/15/2039
2,030‌
3,037‌
4.38%,
05/15/2040
389‌
584‌
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
U.S.
Treasury
(continued)
4.38%,
05/15/2041
$
1,610‌
$
2,434‌
4.50%,
02/15/2036
1,550‌
2,256‌
4.50%,
08/15/2039
2,945‌
4,463‌
4.63%,
02/15/2040
925‌
1,429‌
4.75%,
02/15/2041
2,589‌
4,088‌
5.25%,
11/15/2028
409‌
550‌
5.25%,
02/15/2029
795‌
1,077‌
5.38%,
02/15/2031
2,620‌
3,755‌
6.00%,
02/15/2026
2,000‌
2,583‌
6.13%,
11/15/2027
1,260‌
1,736‌
6.25%,
05/15/2030
2,000‌
2,987‌
6.38%,
08/15/2027
1,540‌
2,133‌
6.50%,
11/15/2026
1,000‌
1,357‌
6.63%,
02/15/2027
795‌
1,096‌
8.13%,
05/15/2021
1,150‌
1,247‌
$
1,036,035‌
TOTAL
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
$
1,685,766‌
Total
Investments
$
2,681,262‌
Other
Assets
and
Liabilities
-  (3.14)%
(81,654‌)
TOTAL
NET
ASSETS
-
100.00%
$
2,599,608‌
(a)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
(b)
Current
yield
shown
is
as
of
period
end.
(c)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$13,115
or
0.50%
of
net
assets.
(d)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(e)
Rate
shown
is
as
of
period
end.
The
rate
may
be
a
variable
or
floating
rate
or
a
fixed
rate
which
may
convert
to
a
variable
or
floating
rate
in
the
future.
(f)
Non-income
producing
security
(g)
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
$20,275
or
0.78%
of
net
assets.
(h)
Certain
variable
rate
securities
are
not
based
on
a
published
reference
rate
and
spread
but
are
determined
by
the
issuer
or
agent
and
are
based
on
current
market
conditions.  These
securities
do
not
indicate
a
reference
rate
and
spread
in
their
description.
Rate
shown
is
the
rate
in
effect
as
of
period
end.
(i)
Credit
support
indicates
investments
that
benefit
from
credit
enhancement
or
liquidity
support
provided
by
a
third
party
bank,
institution,
or
government
agency.
(j)
Security
was
purchased
in
a
"to-be-announced"
("TBA")
transaction.  See
Notes
to
Financial
Statements
for
additional
information.
(k)
Security
purchased
on
a
when-issued
basis.
Schedule
of
Investments
Bond
Market
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
95
Portfolio
Summary  (unaudited)
Sector
Percent
Government
43.87‌%
Mortgage
Securities
26.53‌%
Financial
8.43‌%
Money
Market
Funds
4.46‌%
Consumer,
Non-cyclical
4.43‌%
Energy
2.65‌%
Communications
2.41‌%
Utilities
2.05‌%
Industrial
1.93‌%
Technology
1.81‌%
Consumer,
Cyclical
1.46‌%
Investment
Companies
1.45‌%
Basic
Materials
0.71‌%
Revenue
Bonds
0.35‌%
Asset
Backed
Securities
0.33‌%
General
Obligation
Unlimited
0.22‌%
Insured
0.03‌%
General
Obligation
Limited
0.02‌%
Other
Assets
and
Liabilities
(3.14‌)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
February
29,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
1.43%
$
74,643‌
$
777,084‌
$
741,038‌
$
110,689‌
$
74,643‌
$
777,084‌
$
741,038‌
$
110,689‌
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/Loss
Principal
Government
Money
Market
Fund
1.43%
$
835‌
$
—‌
$
—‌
$
—‌
$
835‌
$
—‌
$
—‌
$
—‌
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
96
INVESTMENT
COMPANIES
-
3.45%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
0.22%
Invesco
S&P
Global
Water
Index
ETF
(a)
107,975‌
$
4,16
9‌
SPDR
S&P
Global
Natural
Resources
ETF
101,974‌
3,89
7‌
$
8,06
6‌
Money
Market
Funds
-
3.23%
BlackRock
Liquidity
FedFund
1.48%
(b),(c)
3,856,264‌
3,856‌
Principal
Government
Money
Market
Fund
1.43%
(b),(c),(d)
115,457,312‌
115,45
7‌
$
119,31
3‌
TOTAL
INVESTMENT
COMPANIES
$
127,37
9‌
COMMON
STOCKS
-
52.33%
Shares
Held
Value
(000's)
Advertising
-
0.03%
Clear
Channel
Outdoor
Holdings
Inc
(e)
596,711‌
1,235‌
Agriculture
-
0.57%
Archer-Daniels-Midland
Co
374,832‌
14,113‌
Bunge
Ltd
144,911‌
6,803‌
$
20,916‌
Automobile
Parts
&
Equipment
-
0.07%
Georg
Fischer
AG
3,020‌
2,596‌
Biotechnology
-
0.08%
Advanz
Pharma
Corp
Ltd
(e),(f)
22,681‌
101‌
Corteva
Inc
110,868‌
3,016‌
$
3,117‌
Building
Materials
-
0.64%
Forterra
Inc
(e)
13,721‌
186‌
Fortune
Brands
Home
&
Security
Inc
17,986‌
1,111‌
Geberit
AG
15,359‌
7,664‌
Louisiana-Pacific
Corp
268,799‌
7,647‌
Norbord
Inc
243,170‌
6,458‌
Pinnacle
Renewable
Energy
Inc
94,847‌
640‌
$
23,706‌
Chemicals
-
1.83%
Air
Liquide
SA
56,307‌
7,670‌
CF
Industries
Holdings
Inc
352,783‌
13,003‌
FMC
Corp
121,372‌
11,300‌
Ingevity
Corp
(e)
18,106‌
815‌
Israel
Chemicals
Ltd
614,150‌
2,234‌
K+S
AG
(a)
255,132‌
2,112‌
Mosaic
Co/The
561,154‌
9,557‌
Nutrien
Ltd
61,100‌
2,469‌
OCI
NV
(e)
152,114‌
2,547‌
Olin
Corp
120,880‌
1,957‌
Sociedad
Quimica
y
Minera
de
Chile
SA
ADR
121,058‌
3,315‌
Yara
International
ASA
287,088‌
10,540‌
$
67,519‌
Commercial
Services
-
2.03%
ALEATICA
SAB
de
CV
6,408,936‌
9,313‌
Atlantia
SpA
755,599‌
16,343‌
Atlas
Arteria
Ltd
1,298,830‌
6,845‌
Cengage
Learning
Holdings
II
Inc
(e)
2,772‌
35‌
China
Merchants
Port
Holdings
Co
Ltd
8,085,687‌
12,016‌
Transurban
Group
3,123,279‌
30,455‌
$
75,007‌
Consumer
Products
-
0.16%
Avery
Dennison
Corp
22,130‌
2,533‌
Kimberly-Clark
Corp
25,557‌
3,353‌
$
5,886‌
Cosmetics
&
Personal
Care
-
0.17%
Essity
AB
73,912‌
2,228‌
Kao
Corp
20,100‌
1,463‌
Unicharm
Corp
75,600‌
2,449‌
$
6,140‌
Electric
-
8.55%
ACEA
SpA
29,801‌
628‌
Algonquin
Power
&
Utilities
Corp
330,200‌
5,018‌
American
Electric
Power
Co
Inc
105,444‌
9,412‌
Atlantica
Yield
PLC
539,860‌
15,607‌
AusNet
Services
12,242,723‌
13,574‌
CenterPoint
Energy
Inc
189,589‌
4,364‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Electric
(continued)
China
Longyuan
Power
Group
Corp
Ltd
4,339,000‌
$
2,280‌
Clearway
Energy
Inc
-
Class
C
617,987‌
13,002‌
CLP
Holdings
Ltd
879,000‌
9,288‌
Dominion
Energy
Inc
286,570‌
22,404‌
DTE
Energy
Co
42,437‌
4,739‌
Duke
Energy
Corp
120,551‌
11,055‌
EDP
-
Energias
de
Portugal
SA
3,230,936‌
15,084‌
Emera
Inc
386,449‌
16,284‌
Enel
SpA
650,497‌
5,460‌
Eversource
Energy
48,558‌
4,198‌
Hera
SpA
526,034‌
2,258‌
Huadian
Fuxin
Energy
Corp
Ltd
17,732,000‌
3,033‌
Hydro
One
Ltd
(g)
600,873‌
12,060‌
Iberdrola
SA
921,686‌
10,552‌
Infraestructura
Energetica
Nova
SAB
de
CV
1,602,583‌
7,035‌
NextEra
Energy
Inc
100,274‌
25,345‌
Orsted
A/S
(g)
33,702‌
3,479‌
Red
Electrica
Corp
SA
1,177,138‌
22,499‌
Sembcorp
Industries
Ltd
606,500‌
808‌
Sempra
Energy
112,418‌
15,714‌
Spark
Infrastructure
Group
12,050,376‌
16,651‌
SSE
PLC
759,396‌
14,930‌
Terna
Rete
Elettrica
Nazionale
SpA
3,426,559‌
22,652‌
Transmissora
Alianca
de
Energia
Eletrica
SA
927,300‌
6,157‌
$
315,570‌
Electronics
-
0.37%
Badger
Meter
Inc
21,422‌
1,290‌
Halma
PLC
278,016‌
6,987‌
Itron
Inc
(e)
47,318‌
3,588‌
Watts
Water
Technologies
Inc
20,339‌
1,910‌
$
13,775‌
Energy
-
Alternate
Sources
-
1.36%
First
Solar
Inc
(e)
116,169‌
5,317‌
NextEra
Energy
Partners
LP
(a)
277,125‌
15,982‌
Pattern
Energy
Group
Inc
183,940‌
4,976‌
TerraForm
Power
Inc
842,857‌
15,837‌
Vestas
Wind
Systems
A/S
84,458‌
8,148‌
$
50,260‌
Engineering
&
Construction
-
1.63%
Aegion
Corp
(e)
20,586‌
371‌
Aena
SME
SA
(g)
67,297‌
10,840‌
Aeroports
de
Paris
30,827‌
4,582‌
Enav
SpA
(g)
1,800,333‌
10,720‌
Flughafen
Zurich
AG
49,869‌
7,564‌
Grupo
Aeroportuario
del
Pacifico
SAB
de
CV
675,200‌
7,307‌
Sacyr
SA
593,337‌
1,583‌
Sydney
Airport
2,770,199‌
14,156‌
Vinci
SA
29,282‌
2,959‌
$
60,082‌
Environmental
Control
-
0.77%
AquaVenture
Holdings
Ltd
(e)
13,314‌
360‌
Casella
Waste
Systems
Inc
(e)
149,484‌
7,243‌
China
Water
Affairs
Group
Ltd
568,000‌
456‌
Clean
Harbors
Inc
(e)
71,655‌
4,982‌
Covanta
Holding
Corp
299,797‌
4,005‌
Energy
Recovery
Inc
(e)
24,265‌
239‌
Evoqua
Water
Technologies
Corp
(e)
53,000‌
1,111‌
Kurita
Water
Industries
Ltd
78,700‌
2,030‌
METAWATER
Co
Ltd
8,000‌
283‌
Pentair
PLC
123,639‌
4,870‌
Tetra
Tech
Inc
36,418‌
2,945‌
$
28,524‌
Food
-
0.15%
Ingredion
Inc
34,688‌
2,889‌
Wilmar
International
Ltd
964,700‌
2,785‌
$
5,674‌
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
97
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Forest
Products
&
Paper
-
2.14%
Acadian
Timber
Corp
137,178‌
$
1,697‌
BillerudKorsnas
AB
25,809‌
314‌
Canfor
Corp
(e)
483,598‌
4,014‌
Clearwater
Paper
Corp
(e)
39,548‌
1,078‌
Domtar
Corp
53,146‌
1,529‌
Empresas
CMPC
SA
757,605‌
1,546‌
Holmen
AB
110,818‌
3,122‌
Interfor
Corp
(e)
441,637‌
3,925‌
International
Paper
Co
126,707‌
4,683‌
Mercer
International
Inc
80,619‌
714‌
Mondi
PLC
375,383‌
7,624‌
Nine
Dragons
Paper
Holdings
Ltd
4,057,000‌
4,874‌
Oji
Holdings
Corp
1,088,600‌
5,156‌
Sappi
Ltd
(e)
301,545‌
567‌
Smurfit
Kappa
Group
PLC
150,915‌
5,084‌
Stora
Enso
Oyj
512,522‌
6,074‌
Sumitomo
Forestry
Co
Ltd
170,200‌
2,524‌
Suzano
SA
359,300‌
3,030‌
Svenska
Cellulosa
AB
SCA
808,739‌
7,760‌
UPM-Kymmene
Oyj
203,309‌
6,256‌
West
Fraser
Timber
Co
Ltd
151,188‌
5,645‌
Western
Forest
Products
Inc
(a)
2,465,754‌
1,966‌
$
79,182‌
Gas
-
1.89%
Atmos
Energy
Corp
33,219‌
3,430‌
Enagas
SA
177,714‌
4,611‌
Italgas
SpA
1,107,528‌
6,768‌
National
Grid
PLC
2,213,374‌
27,901‌
Snam
SpA
3,825,888‌
18,970‌
Southwest
Gas
Holdings
Inc
123,693‌
8,001‌
$
69,681‌
Hand
&
Machine
Tools
-
0.04%
Franklin
Electric
Co
Inc
28,298‌
1,463‌
Healthcare
-
Products
-
0.26%
Danaher
Corp
51,768‌
7,485‌
Hengan
International
Group
Co
Ltd
260,500‌
1,963‌
$
9,448‌
Healthcare
-
Services
-
0.00%
Millennium
Health
LLC
(e),(f)
22,091‌
1‌
Millennium
Health
LLC
(e),(f),(h),(i)
20,580‌
22‌
Millennium
Health
LLC
(e),(f),(h),(i)
19,318‌
19‌
$
42‌
Home
Builders
-
0.19%
DR
Horton
Inc
28,451‌
1,516‌
Lennar
Corp
-
A
Shares
29,330‌
1,770‌
PulteGroup
Inc
33,906‌
1,363‌
Toll
Brothers
Inc
39,081‌
1,447‌
TRI
Pointe
Group
Inc
(e)
50,888‌
780‌
$
6,876‌
Internet
-
0.00%
Catalina
Marketing
Corp
(e),(h),(i)
3,965‌
12‌
Iron
&
Steel
-
1.03%
ArcelorMittal
SA
717,474‌
10,217‌
Evraz
PLC
602,118‌
2,571‌
Fortescue
Metals
Group
Ltd
438,332‌
2,928‌
JFE
Holdings
Inc
226,500‌
2,075‌
Nippon
Steel
Corp
196,900‌
2,204‌
Novolipetsk
Steel
PJSC
143,237‌
2,750‌
Nucor
Corp
51,188‌
2,117‌
POSCO
14,785‌
2,375‌
Steel
Dynamics
Inc
227,063‌
6,047‌
thyssenkrupp
AG
(a),(e)
229,911‌
2,254‌
Vale
SA
ADR
245,308‌
2,409‌
$
37,947‌
Lodging
-
0.26%
City
Developments
Ltd
610,300‌
4,362‌
Hilton
Worldwide
Holdings
Inc
54,114‌
5,260‌
$
9,622‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Machinery
-
Diversified
-
0.71%
ANDRITZ
AG
73,093‌
$
2,587‌
Gorman-Rupp
Co/The
12,882‌
412‌
IDEX
Corp
46,161‌
6,832‌
Kadant
Inc
12,207‌
1,109‌
Lindsay
Corp
7,939‌
786‌
Mueller
Water
Products
Inc
-
Class
A
115,772‌
1,268‌
Organo
Corp
4,500‌
265‌
SIG
Combibloc
Group
AG
(e)
83,129‌
1,238‌
Valmet
Oyj
66,350‌
1,584‌
Xylem
Inc/NY
132,456‌
10,244‌
$
26,325‌
Media
-
0.12%
Cumulus
Media
Inc
(e)
61,334‌
739‌
iHeartMedia
Inc
(e)
253,758‌
3,834‌
$
4,573‌
Metal
Fabrication
&
Hardware
-
0.08%
Advanced
Drainage
Systems
Inc
37,341‌
1,563‌
Reliance
Worldwide
Corp
Ltd
581,343‌
1,301‌
$
2,864‌
Mining
-
3.14%
Agnico
Eagle
Mines
Ltd
48,600‌
2,306‌
Anglo
American
PLC
829,474‌
19,515‌
Antofagasta
PLC
256,941‌
2,540‌
Barrick
Gold
Corp
1,015,927‌
19,376‌
BHP
Group
Ltd
111,561‌
2,425‌
Franco-Nevada
Corp
29,300‌
3,146‌
Freeport-McMoRan
Inc
1,490,360‌
14,844‌
Glencore
PLC
(e)
914,412‌
2,308‌
Kirkland
Lake
Gold
Ltd
68,600‌
2,212‌
Korea
Zinc
Co
Ltd
8,394‌
2,872‌
Lundin
Mining
Corp
1,092,226‌
5,574‌
MMC
Norilsk
Nickel
PJSC
ADR
109,898‌
3,332‌
Newcrest
Mining
Ltd
138,652‌
2,274‌
Newmont
Corp
363,486‌
16,223‌
Norsk
Hydro
ASA
814,973‌
2,373‌
Rio
Tinto
Ltd
44,015‌
2,529‌
South32
Ltd
1,579,618‌
2,245‌
Southern
Copper
Corp
75,857‌
2,553‌
Sumitomo
Metal
Mining
Co
Ltd
95,300‌
2,348‌
Teck
Resources
Ltd
184,200‌
1,853‌
Wheaton
Precious
Metals
Corp
104,900‌
2,983‌
$
115,831‌
Miscellaneous
Manufacturers
-
0.21%
Aalberts
NV
70,780‌
2,640‌
Alfa
Laval
AB
220,459‌
4,998‌
$
7,638‌
Oil
&
Gas
-
4.52%
BP
PLC
3,459,776‌
17,976‌
Canadian
Natural
Resources
Ltd
103,300‌
2,659‌
Chevron
Corp
24,631‌
2,299‌
CNOOC
Ltd
1,987,000‌
2,764‌
Concho
Resources
Inc
100,231‌
6,818‌
ConocoPhillips
299,259‌
14,490‌
Ecopetrol
SA
ADR
157,555‌
2,781‌
Empresas
COPEC
SA
196,034‌
1,532‌
Eni
SpA
190,781‌
2,377‌
EOG
Resources
Inc
40,688‌
2,574‌
Equinor
ASA
807,611‌
12,439‌
Exxon
Mobil
Corp
42,343‌
2,178‌
Fieldwood
Energy
Inc
(e)
2,556‌
26‌
Fieldwood
Energy
LLC
(e),(f),(i)
12,648‌
126‌
Gazprom
PJSC
ADR
363,146‌
2,223‌
Helmerich
&
Payne
Inc
103,409‌
3,815‌
Hess
Corp
153,481‌
8,623‌
Imperial
Oil
Ltd
115,200‌
2,522‌
LUKOIL
PJSC
ADR
30,253‌
2,610‌
Marathon
Petroleum
Corp
229,568‌
10,886‌
Neste
Oyj
85,281‌
3,408‌
Novatek
PJSC
14,572‌
2,126‌
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
98
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Oil
&
Gas
(continued)
Occidental
Petroleum
Corp
74,795‌
$
2,449‌
PBF
Energy
Inc
150,170‌
3,362‌
Petroleo
Brasileiro
SA
ADR
195,846‌
2,370‌
Petroleo
Brasileiro
SA
ADR
810,071‌
9,121‌
Phillips
66
25,148‌
1,883‌
Pioneer
Natural
Resources
Co
118,582‌
14,559‌
Repsol
SA
183,092‌
2,069‌
Rosneft
Oil
Co
PJSC
425,491‌
2,606‌
Royal
Dutch
Shell
PLC
-
A
Shares
100,871‌
2,177‌
Suncor
Energy
Inc
92,400‌
2,546‌
Tatneft
PJSC
ADR
41,834‌
2,516‌
TOTAL
SA
54,922‌
2,374‌
Transocean
Ltd
(e)
54,446‌
182‌
Valero
Energy
Corp
136,159‌
9,021‌
Vantage
Drilling
International
(e)
4,456‌
98‌
Woodside
Petroleum
Ltd
123,586‌
2,301‌
$
166,886‌
Oil
&
Gas
Services
-
0.39%
Halliburton
Co
137,438‌
2,331‌
Saipem
SpA
(e)
696,980‌
2,663‌
Schlumberger
Ltd
331,825‌
8,989‌
Select
Energy
Services
Inc
(e)
41,674‌
271‌
$
14,254‌
Packaging
&
Containers
-
0.85%
Amcor
PLC
281,173‌
2,621‌
Ball
Corp
91,369‌
6,438‌
DS
Smith
PLC
926,122‌
3,785‌
Graphic
Packaging
Holding
Co
87,202‌
1,179‌
Greif
Inc
-
Class
A
36,855‌
1,302‌
Klabin
SA
344,100‌
1,484‌
Lee
&
Man
Paper
Manufacturing
Ltd
1,156,000‌
920‌
Packaging
Corp
of
America
46,314‌
4,197‌
Sealed
Air
Corp
76,459‌
2,317‌
Sonoco
Products
Co
36,209‌
1,746‌
Westrock
Co
159,634‌
5,307‌
$
31,296‌
Pipelines
-
3.64%
AltaGas
Ltd
560,014‌
8,374‌
APA
Group
1,850,899‌
13,045‌
Cheniere
Energy
Inc
(e)
337,856‌
17,329‌
Enbridge
Inc
772,575‌
28,756‌
Energy
Transfer
LP
268,068‌
2,970‌
Enterprise
Products
Partners
LP
189,084‌
4,413‌
Gibson
Energy
Inc
480,327‌
9,168‌
Kinder
Morgan
Inc/DE
368,020‌
7,055‌
Koninklijke
Vopak
NV
42,118‌
2,005‌
Magellan
Midstream
Partners
LP
59,649‌
3,254‌
Pembina
Pipeline
Corp
115,282‌
4,153‌
TC
Energy
Corp
295,787‌
15,417‌
Williams
Cos
Inc/The
965,512‌
18,392‌
$
134,331‌
Real
Estate
-
1.23%
Aroundtown
SA
626,224‌
5,441‌
Entra
ASA
(g)
325,789‌
5,160‌
Fabege
AB
399,575‌
6,563‌
LEG
Immobilien
AG
20,700‌
2,486‌
Mitsubishi
Estate
Co
Ltd
608,000‌
10,376‌
Mitsui
Fudosan
Co
Ltd
183,870‌
4,220‌
New
World
Development
Co
Ltd
2,048,840‌
2,684‌
Pope
Resources
a
Delaware
LP
37,260‌
4,080‌
Tokyo
Tatemono
Co
Ltd
184,500‌
2,508‌
Zhongliang
Holdings
Group
Co
Ltd
2,621,500‌
1,912‌
$
45,430‌
REITs
-
9.28%
Alexandria
Real
Estate
Equities
Inc
102,909‌
15,630‌
Allied
Properties
Real
Estate
Investment
Trust
100,400‌
4,074‌
American
Homes
4
Rent
125,658‌
3,253‌
Americold
Realty
Trust
241,539‌
7,408‌
Apartment
Investment
&
Management
Co
99,663‌
4,768‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
REITs
(continued)
AvalonBay
Communities
Inc
62,266‌
$
12,490‌
Boston
Properties
Inc
16,100‌
2,076‌
Brandywine
Realty
Trust
163,800‌
2,224‌
CatchMark
Timber
Trust
Inc
266,033‌
2,445‌
CFE
Capital
S
de
RL
de
CV
5,686,252‌
7,237‌
Cousins
Properties
Inc
106,896‌
3,815‌
Crown
Castle
International
Corp
109,749‌
15,726‌
CubeSmart
107,932‌
3,267‌
Daiwa
Office
Investment
Corp
816‌
6,291‌
Dexus
730,092‌
5,816‌
EPR
Properties
48,957‌
2,900‌
Equinix
Inc
12,931‌
7,407‌
Essential
Properties
Realty
Trust
Inc
178,875‌
4,098‌
Essex
Property
Trust
Inc
46,178‌
13,085‌
Frasers
Logistics
&
Industrial
Trust
2,977,251‌
2,658‌
Gecina
SA
44,913‌
7,996‌
Goodman
Group
1,367,107‌
13,423‌
Inmobiliaria
Colonial
Socimi
SA
870,742‌
11,122‌
InterRent
Real
Estate
Investment
Trust
283,160‌
3,500‌
Invitation
Homes
Inc
504,718‌
14,480‌
Japan
Hotel
REIT
Investment
Corp
7,280‌
4,066‌
Japan
Retail
Fund
Investment
Corp
1,374‌
2,605‌
Kilroy
Realty
Corp
43,591‌
3,169‌
Link
REIT
918,070‌
8,570‌
MCUBS
MidCity
Investment
Corp
5,381‌
5,600‌
Merlin
Properties
Socimi
SA
278,456‌
3,594‌
Minto
Apartment
Real
Estate
Investment
Trust
392,242‌
7,569‌
Nippon
Prologis
REIT
Inc
(e)
1,800‌
4,875‌
Park
Hotels
&
Resorts
Inc
134,500‌
2,456‌
Physicians
Realty
Trust
197,907‌
3,733‌
PotlatchDeltic
Corp
206,978‌
7,604‌
Prologis
Inc
198,893‌
16,763‌
Rayonier
Inc
405,575‌
10,760‌
Regency
Centers
Corp
112,452‌
6,459‌
Rexford
Industrial
Realty
Inc
329,813‌
15,425‌
Segro
PLC
813,571‌
8,625‌
Simon
Property
Group
Inc
57,601‌
7,090‌
STORE
Capital
Corp
245,120‌
8,055‌
Summit
Industrial
Income
REIT
204,347‌
1,933‌
Sunstone
Hotel
Investors
Inc
183,280‌
2,007‌
UNITE
Group
PLC/The
482,505‌
7,019‌
United
Urban
Investment
Corp
2,769‌
4,432‌
Warehouses
De
Pauw
CVA
91,800‌
2,460‌
Welltower
Inc
131,212‌
9,817‌
Weyerhaeuser
Co
409,057‌
10,628‌
$
342,503‌
Retail
-
0.00%
Gymboree
Corp/The
(e),(f),(h),(i)
17,842‌
9‌
Gymboree
Holding
Corp
(e),(h),(i)
48,577‌
24‌
$
33‌
Software
-
0.15%
Avaya
Holdings
Corp
(e)
105,046‌
1,362‌
InterXion
Holding
NV
(e)
48,335‌
4,103‌
$
5,465‌
Storage
&
Warehousing
-
0.11%
Safestore
Holdings
PLC
404,643‌
4,070‌
Telecommunications
-
0.05%
Eutelsat
Communications
SA
139,602‌
1,888‌
Transportation
-
0.18%
East
Japan
Railway
Co
88,100‌
6,729‌
Water
-
3.45%
Aguas
Andinas
SA
35,348,340‌
12,144‌
American
States
Water
Co
24,544‌
1,880‌
American
Water
Works
Co
Inc
113,758‌
14,067‌
Beijing
Enterprises
Water
Group
Ltd
(e)
4,004,000‌
1,886‌
California
Water
Service
Group
32,080‌
1,538‌
Cia
de
Saneamento
Basico
do
Estado
de
Sao
Paulo
ADR
227,719‌
2,967‌
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
99
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Water
(continued)
Essential
Utilities
Inc
143,777‌
$
6,184‌
Guangdong
Investment
Ltd
1,916,000‌
3,639‌
Middlesex
Water
Co
11,043‌
657‌
Pennon
Group
PLC
791,152‌
11,065‌
Severn
Trent
PLC
730,287‌
23,182‌
SJW
Group
17,247‌
1,055‌
Suez
282,445‌
4,485‌
United
Utilities
Group
PLC
2,807,855‌
34,069‌
Veolia
Environnement
SA
285,578‌
8,228‌
York
Water
Co/The
8,648‌
366‌
$
127,412‌
TOTAL
COMMON
STOCKS
$
1,931,808‌
BONDS
-
10.76%
Principal
Amount
(000's)
Value
(000's)
Commercial
Mortgage
Backed
Securities
-
4.12%
Bank
2019-BNK19
0.96%,
08/15/2061
(j),(k)
$
63,863‌
$
4,984‌
BBCMS
2018-TALL
Mortgage
Trust
2.38%,
03/15/2037
(g)
15,000‌
14,978‌
1.00
x
1
Month
USD
LIBOR
+
0.72%
BBCMS
2019-BWAY
Mortgage
Trust
2.61%,
11/25/2034
(g)
11,500‌
11,482‌
1.00
x
1
Month
USD
LIBOR
+
0.96%
Benchmark
2019-B12
Mortgage
Trust
1.07%,
08/15/2052
(j),(k)
94,871‌
7,156‌
2.26%,
08/15/2052
2,763‌
2,814‌
Benchmark
2019-B15
Mortgage
Trust
0.83%,
12/15/2072
(j),(k)
16,124‌
1,062‌
2.00%,
12/15/2072
3,178‌
3,222‌
BF
2019-NYT
Mortgage
Trust
2.86%,
11/15/2035
(g)
6,950‌
6,965‌
1.00
x
1
Month
USD
LIBOR
+
1.20%
BHP
Trust
2019-BXHP
2.63%,
08/15/2036
(g)
10,000‌
9,981‌
1.00
x
1
Month
USD
LIBOR
+
0.98%
BX
Commercial
Mortgage
Trust
2018-IND
2.41%,
11/15/2035
(g)
6,585‌
6,583‌
1.00
x
1
Month
USD
LIBOR
+
0.75%
BX
Commercial
Mortgage
Trust
2019-XL
2.58%,
10/15/2036
(g)
4,777‌
4,798‌
1.00
x
1
Month
USD
LIBOR
+
0.92%
BX
Commercial
Mortgage
Trust
2020-BXLP
2.46%,
12/15/2036
(g)
9,000‌
9,004‌
1.00
x
1
Month
USD
LIBOR
+
0.80%
BX
Trust
2018-EXCL
2.75%,
09/15/2037
(g)
5,762‌
5,755‌
1.00
x
1
Month
USD
LIBOR
+
1.09%
BX
Trust
2019-CALM
2.53%,
11/15/2032
(g)
2,500‌
2,501‌
1.00
x
1
Month
USD
LIBOR
+
0.88%
CAMB
Commercial
Mortgage
Trust
2019-LIFE
2.73%,
12/15/2037
(g)
4,562‌
4,572‌
1.00
x
1
Month
USD
LIBOR
+
1.07%
CGDB
Commercial
Mortgage
Trust
2019-MOB
2.61%,
11/15/2036
(g)
6,500‌
6,496‌
1.00
x
1
Month
USD
LIBOR
+
0.95%
Citigroup
Commercial
Mortgage
Trust
2019-GC41
1.19%,
08/10/2056
(j),(k)
71,435‌
5,697‌
1.95%,
08/10/2056
3,699‌
3,746‌
Citigroup
Commercial
Mortgage
Trust
2020-GC46
0.99%,
01/15/2053
(j),(k)
6,250‌
509‌
COMM
2018-HCLV
Mortgage
Trust
2.66%,
09/15/2033
(g)
10,120‌
10,098‌
1.00
x
1
Month
USD
LIBOR
+
1.00%
CORE
2019-CORE
Mortgage
Trust
2.54%,
12/15/2031
(g)
6,100‌
6,098‌
1.00
x
1
Month
USD
LIBOR
+
0.88%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Mortgage
Backed
Securities
(continued)
DBCG
2017-BBG
Mortgage
Trust
2.36%,
06/15/2034
(g)
$
3,840‌
$
3,833‌
1.00
x
1
Month
USD
LIBOR
+
0.70%
Freddie
Mac
Multifamily
Structured
Pass
Through
Certificates
0.97%,
05/25/2026
(j),(k)
73,709‌
3,986‌
1.31%,
07/25/2026
(j),(k)
12,098‌
869‌
GS
Mortgage
Securities
Corp
Trust
2019-SMP
2.81%,
08/15/2032
(g)
4,000‌
3,996‌
1.00
x
1
Month
USD
LIBOR
+
1.15%
GS
Mortgage
Securities
Corp
Trust
2019-SOHO
2.56%,
06/15/2036
(g)
3,000‌
3,001‌
1.00
x
1
Month
USD
LIBOR
+
0.90%
JP
Morgan
Chase
Commercial
Mortgage
Securities
Trust
2019-BKWD
2.66%,
09/15/2029
(g)
5,000‌
5,002‌
1.00
x
1
Month
USD
LIBOR
+
1.00%
UBS-Barclays
Commercial
Mortgage
Trust
2012-C3
3.09%,
08/10/2049
2,994‌
3,092‌
$
152,280‌
Federal
&
Federally
Sponsored
Credit
-
2.06%
Federal
Farm
Credit
Banks
Funding
Corp
1.61%,
06/28/2021
(l)
3,800‌
3,801‌
1
Month
USD
LIBOR
+
0.01%
1.73%,
04/21/2021
(l)
11,000‌
11,013‌
1
Month
USD
LIBOR
+
0.09%
1.73%,
12/23/2021
(l)
3,000‌
3,004‌
1
Month
USD
LIBOR
+
0.10%
1.74%,
12/13/2021
2,100‌
2,102‌
1
Month
USD
LIBOR
+
0.09%
1.75%,
11/18/2021
(l)
21,000‌
21,022‌
1
Month
USD
LIBOR
+
0.18%
1.80%,
11/05/2021
(l)
35,000‌
35,061‌
1
Month
USD
LIBOR
+
0.26%
$
76,003‌
Finance
-
Mortgage
Loan/Banker
-
3.59%
Fannie
Mae
1.64%,
01/29/2021
(l)
14,700‌
14,698‌
United
States
Secured
Overnight
Financing
Rate
+
0.04%
1.68%,
10/30/2020
(l)
22,500‌
22,505‌
United
States
Secured
Overnight
Financing
Rate
+
0.15%
Federal
Home
Loan
Banks
1.63%,
12/20/2021
(l)
10,200‌
10,321‌
1.64%,
05/03/2021
(l)
20,500‌
20,499‌
1
Month
USD
LIBOR
+
(0.01)%
1.65%,
04/05/2021
(l)
22,500‌
22,502‌
1
Month
USD
LIBOR
+
(0.01)%
F
reddie
Mac
1.63%,
08/27/2021
(l)
42,000‌
41,987‌
United
States
Secured
Overnight
Financing
Rate
+
0.09%
$
132,512‌
Media
-
0.08%
iHeartCommunications
Inc
8.38%,
05/01/2027
2,601‌
2,825‌
Sovereign
-
0.91%
Colombia
Government
International
Bond
3.00%,
01/30/2030
975‌
984‌
Italy
Buoni
Poliennali
Del
Tesoro
1.30%,
05/15/2028
(g)
EUR
2,925‌
3,458‌
3.85%,
09/01/2049
(g)
1,510‌
2,305‌
Japanese
Government
CPI
Linked
Bond
0.10%,
03/10/2027
JPY
491,032‌
4,661‌
0.10%,
03/10/2028
628,020‌
5,965‌
0.10%,
03/10/2029
914,761‌
8,689‌
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
100
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Sovereign
(continued)
Mexico
Government
International
Bond
3.25%,
04/16/2030
$
975‌
$
1,002‌
New
Zealand
Government
Inflation
Linked
Bond
2.50%,
09/20/2035
NZD
3,020‌
2,490‌
2.50%,
09/20/2040
907‌
783‌
Saudi
Government
International
Bond
4.38%,
04/16/2029
(g)
$
225‌
256‌
Spain
Government
Bond
0.50%,
04/30/2030
(g)
EUR
2,605‌
2,938‌
$
33,531‌
TOTAL
BONDS
$
397,151‌
COMMODITY
INDEXED
STRUCTURED
NOTES
-
0.35%
Principal
Amount
(000's)
Value
(000's)
Banks
-
0.35%
Royal
Bank
of
Canada;
Dow
Jones
-
UBS
Commodity
Index
Linked
Note
1.58%,
05/18/2020
(g),(k)
$
21,700‌
12,809‌
TOTAL
COMMODITY
INDEXED
STRUCTURED
NOTES
$
12,809‌
SENIOR
FLOATING
RATE
INTERESTS
-
16.01%
Principal
Amount
(000's)
Value
(000's)
Advertising
-
0.32%
Advantage
Sales
&
Marketing
Inc
4.85%,
07/23/2021
(m)
$
1,262‌
$
1,218‌
3
Month
USD
LIBOR
+
3.25%
4.85%,
07/23/2021
(m)
429‌
413‌
3
Month
USD
LIBOR
+
3.25%
Affinion
Group
Inc
5.60%,
04/10/2024
(m)
743‌
611‌
1
Month
USD
LIBOR
+
4.00%
Checkout
Holding
Corp
2.63%,
08/15/2023
(m)
245‌
90‌
3
Month
USD
LIBOR
+
1.00%
9.13%,
02/15/2023
(m)
182‌
136‌
3
Month
USD
LIBOR
+
7.50%
Clear
Channel
Outdoor
Holdings
Inc
5.10%,
08/07/2026
(m)
5,855‌
5,775‌
1
Month
USD
LIBOR
+
3.50%
Outfront
Media
Capital
LLC
3.40%,
11/18/2026
(m)
1,157‌
1,147‌
1
Month
USD
LIBOR
+
1.75%
Red
Ventures
LLC
4.11%,
11/08/2024
(m)
631‌
619‌
1
Month
USD
LIBOR
+
2.50%
Terrier
Media
Buyer
Inc
6.15%,
12/17/2026
(m)
2,000‌
1,983‌
1
Month
USD
LIBOR
+
4.25%
$
11,992‌
Aerospace
&
Defense
-
0.27%
Cobham
0.00%,
01/29/2027
(m),(n)
1,300‌
1,284‌
1
Month
USD
LIBOR
+
3.50%
Sequa
Mezzanine
Holdings
LLC
6.74%,
10/28/2021
(m)
3,453‌
3,440‌
3
Month
USD
LIBOR
+
5.00%
10.77%,
04/28/2022
(m)
1,304‌
1,302‌
3
Month
USD
LIBOR
+
9.00%
Transdigm,
Inc
3.85%,
05/30/2025
(m)
983‌
958‌
1
Month
USD
LIBOR
+
2.25%
3.85%,
12/24/2025
(m)
3,219‌
3,143‌
1
Month
USD
LIBOR
+
2.25%
$
10,127‌
Airlines
-
0.16%
Allegiant
Travel
4.71%,
02/05/2024
(m)
594‌
558‌
1
Month
USD
LIBOR
+
3.00%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Airlines
(continued)
American
Airlines
Inc
3.36%,
06/27/2025
(m)
$
303‌
$
288‌
3
Month
USD
LIBOR
+
1.75%
3.60%,
04/28/2023
(m)
750‌
726‌
3
Month
USD
LIBOR
+
2.00%
3.66%,
12/14/2023
(m)
1,630‌
1,577‌
3
Month
USD
LIBOR
+
2.00%
Kestrel
Bidco
Inc
4.65%,
12/11/2026
(m)
2,750‌
2,644‌
3
Month
USD
LIBOR
+
3.00%
$
5,793‌
Apparel
-
0.03%
Champ
Acquisition
Corp
7.44%,
12/17/2025
(m)
983‌
977‌
3
Month
USD
LIBOR
+
5.50%
Automobile
Parts
&
Equipment
-
0.12%
Panther
BF
Aggregator
2
LP
5.14%,
04/30/2026
(m)
4,389‌
4,274‌
3
Month
USD
LIBOR
+
3.50%
Basic
Materials
-
0.05%
Innophos
Holdings
5.42%,
02/04/2027
(m)
1,920‌
1,901‌
1
Month
USD
LIBOR
+
3.75%
Beverages
-
0.04%
Jacobs
Douwe
Egberts
International
BV
3.69%,
10/23/2025
(m)
1,400‌
1,390‌
3
Month
USD
LIBOR
+
2.00%
Biotechnology
-
0.17%
Concordia
International
Corp
7.45%,
09/06/2024
(m)
6,573‌
6,146‌
1
Week
USD
LIBOR
+
5.50%
Building
Materials
-
0.16%
Gardner
Denver
0.00%,
02/05/2027
(m),(n)
2,367‌
2,328‌
1
Month
USD
LIBOR
+
1.75%
Quikrete
Holdings
Inc
4.10%,
02/01/2027
(m)
3,812‌
3,734‌
3
Month
USD
LIBOR
+
2.75%
$
6,062‌
Chemicals
-
0.06%
ASP
Unifrax
Holdings
Inc
5.69%,
12/12/2025
(m)
1,586‌
1,443‌
3
Month
USD
LIBOR
+
3.75%
INEOS
US
Finance
LLC
3.60%,
03/31/2024
(m)
236‌
231‌
3
Month
USD
LIBOR
+
2.00%
Minerals
Technologies
Inc
4.75%,
05/09/2021
(m)
415‌
413‌
Tronox
Finance
LLC
4.49%,
09/13/2024
(m)
33‌
32‌
3
Month
USD
LIBOR
+
3.00%
$
2,119‌
Coal
-
0.02%
Peabody
Energy
Corp
4.35%,
03/31/2025
(m)
954‌
639‌
3
Month
USD
LIBOR
+
2.75%
Commercial
Services
-
0.61%
Belron
Finance
4.27%,
10/25/2026
(m)
1,000‌
995‌
1
Month
USD
LIBOR
+
2.50%
Fly
Funding
3.48%,
08/09/2025
(m)
1,457‌
1,435‌
3
Month
USD
LIBOR
+
1.75%
Garda
World
Security
6.39%,
10/23/2026
(m)
606‌
603‌
1
Month
USD
LIBOR
+
4.75%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
101
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Services
(continued)
PAREXEL
International
Corp
4.35%,
08/09/2024
(m)
$
2,380‌
$
2,305‌
3
Month
USD
LIBOR
+
2.75%
Refinitiv
US
Holdings
Inc
4.88%,
10/01/2025
(m)
3,603‌
3,592‌
1
Month
USD
LIBOR
+
3.25%
Sabert
Corp
6.19%,
11/26/2026
(m)
1,000‌
995‌
1
Month
USD
LIBOR
+
4.50%
Syniverse
Holdings
Inc
6.87%,
02/09/2023
(m)
2,808‌
2,566‌
3
Month
USD
LIBOR
+
5.00%
10.87%,
02/09/2024
(m)
2,350‌
1,637‌
3
Month
USD
LIBOR
+
9.00%
Team
Health
Holdings
Inc
4.35%,
02/06/2024
(m)
1,383‌
1,043‌
3
Month
USD
LIBOR
+
2.75%
Trans
Union
LLC
3.35%,
11/13/2026
(m)
2,291‌
2,269‌
1
Month
USD
LIBOR
+
1.75%
Verscend
Holding
Corp
6.10%,
08/08/2025
(m)
2,214‌
2,203‌
3
Month
USD
LIBOR
+
4.50%
Wand
NewCo
3
Inc
4.65%,
02/05/2026
(m)
2,001‌
1,959‌
1
Month
USD
LIBOR
+
3.00%
WEX
Inc
3.85%,
05/14/2026
(m)
913‌
901‌
3
Month
USD
LIBOR
+
2.25%
$
22,503‌
Computers
-
0.77%
Dell
International
LLC
3.61%,
09/12/2025
(m)
6,079‌
6,001‌
1
Month
USD
LIBOR
+
2.00%
Diebold
Nixdorf
Inc
10.88%,
08/31/2022
(m)
2,611‌
2,724‌
3
Month
USD
LIBOR
+
9.25%
Harland
Clarke
Holdings
Corp
0.00%,
11/03/2023
(m),(n)
1,444‌
1,136‌
3
Month
USD
LIBOR
+
4.75%
iQor
US
Inc
6.91%,
04/01/2021
(m)
918‌
768‌
3
Month
USD
LIBOR
+
5.00%
McAfee
LLC
5.35%,
09/30/2024
(m)
8,357‌
8,261‌
3
Month
USD
LIBOR
+
3.75%
10.10%,
09/29/2025
(m)
656‌
655‌
3
Month
USD
LIBOR
+
8.50%
NCR
Corp
4.11%,
08/07/2026
(m)
998‌
992‌
1
Month
USD
LIBOR
+
2.50%
NeuStar
Inc
5.10%,
08/08/2024
(m)
799‌
726‌
3
Month
USD
LIBOR
+
3.50%
Perforce
Software
Inc
5.35%,
07/01/2026
(m)
998‌
980‌
1
Month
USD
LIBOR
+
3.75%
Presidio
Holdings
Inc
5.28%,
01/15/2027
(m)
1,100‌
1,084‌
1
Month
USD
LIBOR
+
3.50%
Reynolds
Consumer
3.50%,
01/29/2027
(m)
1,102‌
1,088‌
1
Month
USD
LIBOR
+
1.75%
Tempo
Acquisition
LLC
4.40%,
05/01/2024
(m)
2,207‌
2,175‌
3
Month
USD
LIBOR
+
3.00%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Computers
(continued)
Western
Digital
Corp
3.35%,
04/29/2023
(m)
$
1,760‌
$
1,734‌
1
Month
USD
LIBOR
+
1.75%
$
28,324‌
Consumer
Products
-
0.06%
KIK
Custom
Products
Inc
5.60%,
05/15/2023
(m)
2,125‌
2,090‌
3
Month
USD
LIBOR
+
4.00%
Cosmetics
&
Personal
Care
-
0.15%
Coty
Inc
3.17%,
04/05/2023
(m)
3,084‌
3,014‌
1
Month
USD
LIBOR
+
1.75%
Revlon
Consumer
Products
Corp
5.18%,
07/21/2023
(m)
3,689‌
2,472‌
1
Month
USD
LIBOR
+
3.50%
$
5,486‌
Distribution
&
Wholesale
-
0.08%
Core
&
Main
LP
4.51%,
08/01/2024
(m)
1,466‌
1,440‌
3
Month
USD
LIBOR
+
3.00%
IAA
Inc
3.88%,
05/22/2026
(m)
209‌
208‌
3
Month
USD
LIBOR
+
2.25%
KAR
Auction
Services
Inc
3.94%,
09/11/2026
(m)
279‌
277‌
1
Month
USD
LIBOR
+
2.25%
Univar
Solutions
USA
Inc/Washington
3.85%,
07/01/2024
(m)
1,138‌
1,119‌
3
Month
USD
LIBOR
+
2.25%
$
3,044‌
Diversified
Financial
Services
-
0.22%
American
Express
0.00%,
02/26/2027
(m),(n)
408‌
399‌
Avolon
TLB
Borrower
3.15%,
02/05/2027
(m)
2,459‌
2,410‌
1
Month
USD
LIBOR
+
1.50%
Avolon
TLB
Borrower
1
US
LLC
3.40%,
01/15/2025
(m)
1,942‌
1,919‌
3
Month
USD
LIBOR
+
1.75%
Ditech
Holding
Corp
0.00%,
06/30/2022
(e),(m)
1,523‌
620‌
3
Month
USD
LIBOR
+
6.00%
RPI
Finance
Trust
0.00%,
02/05/2027
(m),(n)
734‌
729‌
1
Month
USD
LIBOR
+
1.75%
3.42%,
02/05/2027
(m)
2,056‌
2,053‌
1
Month
USD
LIBOR
+
1.75%
$
8,130‌
Electric
-
0.19%
Calpine
Corp
3.60%,
08/12/2026
(m)
1,945‌
1,910‌
3
Month
USD
LIBOR
+
2.50%
4.20%,
01/15/2024
(m)
831‌
816‌
1
Month
USD
LIBOR
+
2.25%
Exgen
Renewables
IV
LLC
4.62%,
11/28/2024
(m)
988‌
982‌
3
Month
USD
LIBOR
+
3.00%
Vistra
Operations
Co
LLC
3.40%,
12/31/2025
(m)
3,230‌
3,189‌
1
Month
USD
LIBOR
+
1.75%
$
6,897‌
Electrical
Components
&
Equipment
-
0.01%
Energizer
Holdings
Inc
3.94%,
12/17/2025
(m)
235‌
234‌
3
Month
USD
LIBOR
+
2.25%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
102
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Electronics
-
0.03%
TTM
Technologies
Inc
4.16%,
09/13/2024
(m)
$
1,307‌
$
1,291‌
3
Month
USD
LIBOR
+
2.50%
Engineering
&
Construction
-
0.08%
Atlantic
Aviation
FBO
Inc
5.36%,
11/28/2025
(m)
743‌
740‌
3
Month
USD
LIBOR
+
3.75%
Brand
Industrial
Services
Inc
6.09%,
06/21/2024
(m)
380‌
371‌
3
Month
USD
LIBOR
+
4.25%
Standard
Aero
5.21%,
04/06/2026
(m)
1,297‌
1,270‌
1
Month
USD
LIBOR
+
3.50%
5.21%,
04/06/2026
(m)
698‌
683‌
1
Month
USD
LIBOR
+
3.50%
$
3,064‌
Entertainment
-
1.20%
AMC
Entertainment
Holdings
Inc
4.61%,
03/20/2026
(m)
4,392‌
4,241‌
3
Month
USD
LIBOR
+
3.00%
CCM
Merger
Inc
3.85%,
08/08/2021
(m)
3,185‌
3,179‌
3
Month
USD
LIBOR
+
2.25%
CEOC
LLC
3.65%,
10/06/2024
(m)
1,633‌
1,624‌
3
Month
USD
LIBOR
+
2.00%
Cineworld
Ltd
0.00%,
02/05/2027
(m),(n)
4,570‌
4,243‌
Formula
One
Management
Ltd
4.10%,
02/01/2024
(m)
8,452‌
8,156‌
3
Month
USD
LIBOR
+
2.50%
Lions
Gate
Capital
Holdings
LLC
3.85%,
03/24/2025
(m)
477‌
462‌
3
Month
USD
LIBOR
+
2.25%
Merlin
Entertainment
0.00%,
10/16/2026
(m),(n)
1,414‌
1,358‌
Metro-Goldwyn-Mayer
Inc
4.11%,
07/03/2025
(m)
3,077‌
3,046‌
3
Month
USD
LIBOR
+
2.50%
6.11%,
07/03/2026
(m)
1,500‌
1,462‌
3
Month
USD
LIBOR
+
4.50%
Nascar
Holdings
LLC
4.39%,
10/19/2026
(m)
1,651‌
1,641‌
3
Month
USD
LIBOR
+
2.75%
PCI
Gaming
Authority
4.10%,
05/29/2026
(m)
1,757‌
1,741‌
3
Month
USD
LIBOR
+
3.00%
Penn
National
Gaming
Inc
3.85%,
08/14/2025
(m)
1,484‌
1,462‌
3
Month
USD
LIBOR
+
2.25%
Scientific
Games
International
Inc
4.37%,
08/14/2024
(m)
5,284‌
5,116‌
3
Month
USD
LIBOR
+
2.75%
Stars
Group
Holdings
BV
5.44%,
06/27/2025
(m)
4,777‌
4,760‌
3
Month
USD
LIBOR
+
3.50%
William
Morris
Endeavor
Entertainment
LLC
4.40%,
05/16/2025
(m)
1,948‌
1,882‌
3
Month
USD
LIBOR
+
2.75%
$
44,373‌
Environmental
Control
-
0.25%
Advanced
Disposal
Services
Inc
3.83%,
11/10/2023
(m)
3,198‌
3,189‌
3
Month
USD
LIBOR
+
2.25%
GFL
Environmental
Inc
5.27%,
05/09/2025
(m)
6,091‌
5,967‌
3
Month
USD
LIBOR
+
3.00%
$
9,156‌
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Food
-
0.34%
Atkins
Nutritionals
Holdings
Inc
5.40%,
07/07/2024
(m)
$
2,351‌
$
2,345‌
1
Month
USD
LIBOR
+
3.75%
Bellring
Brands
LLC
6.60%,
10/10/2024
(m)
1,000‌
1,005‌
1
Month
USD
LIBOR
+
5.00%
CHG
PPC
Parent
LLC
4.35%,
03/30/2025
(m)
243‌
237‌
3
Month
USD
LIBOR
+
2.75%
Froneri
International
3.85%,
01/29/2027
(m)
2,500‌
2,456‌
1
Month
USD
LIBOR
+
2.25%
7.40%,
01/28/2028
(m)
500‌
499‌
1
Month
USD
LIBOR
+
5.75%
US
Foods
Inc
3.40%,
06/27/2023
(m)
6,174‌
6,091‌
1
Month
USD
LIBOR
+
1.75%
$
12,633‌
Food
Service
-
0.02%
8th
Avenue
Food
&
Provisions
Inc
5.40%,
09/19/2025
(m)
891‌
886‌
3
Month
USD
LIBOR
+
3.75%
Hand
&
Machine
Tools
-
0.01%
Apex
Tool
Group
LLC
7.10%,
08/01/2024
(m)
561‌
532‌
3
Month
USD
LIBOR
+
5.50%
Healthcare
-
Products
-
0.23%
Carestream
Health
Inc
7.65%,
02/28/2021
(m)
1,932‌
1,849‌
3
Month
USD
LIBOR
+
5.75%
11.15%,
06/07/2021
(m)
570‌
504‌
3
Month
USD
LIBOR
+
9.50%
CPI
Holdco
LLC
6.19%,
10/28/2026
(m)
1,705‌
1,709‌
1
Month
USD
LIBOR
+
4.25%
Viant
Medical
Holdings
Inc
5.69%,
07/02/2025
(m)
2,203‌
2,117‌
3
Month
USD
LIBOR
+
3.75%
VVC
Holding
Corp
6.16%,
02/07/2026
(m)
950‌
938‌
3
Month
USD
LIBOR
+
4.50%
Vyaire
Medical
Inc
6.66%,
04/11/2025
(m)
1,436‌
1,210‌
3
Month
USD
LIBOR
+
4.75%
$
8,327‌
Healthcare
-
Services
-
1.27%
AHP
Health
Partners
Inc
6.10%,
06/16/2025
(m)
1,430‌
1,434‌
3
Month
USD
LIBOR
+
4.50%
Air
Medical
Group
Holdings
Inc
4.93%,
04/28/2022
(m)
3,522‌
3,320‌
3
Month
USD
LIBOR
+
3.25%
Air
Methods
Corp
5.44%,
04/12/2024
(m)
1,411‌
1,161‌
3
Month
USD
LIBOR
+
3.50%
Brightspring
Health
4.92%,
03/05/2026
(m)
3,022‌
2,971‌
1
Month
USD
LIBOR
+
3.25%
BW
NHHC
Holdco
Inc
6.62%,
05/15/2025
(m)
749‌
633‌
3
Month
USD
LIBOR
+
5.00%
Catalent
Pharma
Solutions
Inc
3.85%,
05/08/2026
(m)
993‌
978‌
3
Month
USD
LIBOR
+
2.25%
Davita,
Inc
3.35%,
08/12/2026
(m)
1,995‌
1,970‌
1
Month
USD
LIBOR
+
1.75%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
103
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Healthcare
-
Services
(continued)
Envision
Healthcare
Corp
5.35%,
10/10/2025
(m)
$
3,390‌
$
2,719‌
3
Month
USD
LIBOR
+
3.75%
Eyecare
Partners
LLC
5.42%,
02/05/2027
(m)
892‌
876‌
1
Month
USD
LIBOR
+
3.75%
Gentiva
Health
Services
Inc
4.88%,
07/02/2025
(m)
5,378‌
5,324‌
1
Month
USD
LIBOR
+
3.25%
HCA
Inc
3.35%,
03/13/2025
(m)
1,677‌
1,672‌
1
Month
USD
LIBOR
+
1.75%
3.35%,
03/17/2026
(m)
2,600‌
2,590‌
1
Month
USD
LIBOR
+
1.75%
Heartland
Dental
LLC
4.94%,
04/18/2025
(m)
122‌
120‌
3
Month
USD
LIBOR
+
3.75%
Jaguar
Holding
Co
II
4.10%,
08/18/2022
(m)
6,598‌
6,538‌
3
Month
USD
LIBOR
+
2.50%
LifePoint
Health
Inc
5.40%,
11/14/2025
(m)
8,236‌
8,154‌
1
Month
USD
LIBOR
+
3.75%
MMM
Holdings
LLC
7.69%,
10/30/2026
(m)
1,250‌
1,216‌
1
Month
USD
LIBOR
+
5.75%
New
Millennium
Holdco
Inc
8.10%,
12/21/2020
(m)
650‌
291‌
3
Month
USD
LIBOR
+
6.50%
Quorum
Health
Corp
8.53%,
04/29/2022
(m)
367‌
360‌
3
Month
USD
LIBOR
+
6.75%
Select
Medical
Corp
4.67%,
03/06/2025
(m)
3,229‌
3,196‌
3
Month
USD
LIBOR
+
2.50%
Syneos
Health
Inc
3.40%,
08/01/2024
(m)
1,256‌
1,244‌
3
Month
USD
LIBOR
+
2.00%
$
46,767‌
Holding
Companies
-
Diversified
-
0.05%
Travelport
Finance
Luxembourg
Sarl
6.94%,
03/18/2026
(m)
2,240‌
1,699‌
3
Month
USD
LIBOR
+
5.00%
Insurance
-
0.23%
Acrisure
LLC
5.21%,
02/12/2027
(m)
2,561‌
2,518‌
1
Month
USD
LIBOR
+
3.50%
Alliant
Holdings
Intermediate
LLC
4.60%,
05/09/2025
(m)
2,181‌
2,134‌
3
Month
USD
LIBOR
+
3.00%
BroadStreet
Partners
Inc
4.87%,
01/22/2027
(m)
1,122‌
1,110‌
1
Month
USD
LIBOR
+
3.25%
HUB
International
Ltd
4.54%,
04/25/2025
(m)
2,039‌
1,979‌
3
Month
USD
LIBOR
+
3.00%
5.69%,
04/25/2025
(m)
575‌
573‌
1
Month
USD
LIBOR
+
4.00%
$
8,314‌
Internet
-
0.14%
Ancestry.com
Operations
Inc
5.36%,
10/19/2023
(m)
1,830‌
1,684‌
1
Month
USD
LIBOR
+
3.75%
ProQuest
LLC
5.10%,
10/16/2026
(m)
1,200‌
1,194‌
1
Month
USD
LIBOR
+
3.50%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Internet
(continued)
Uber
Technologies
Inc
5.11%,
07/13/2023
(m)
$
1,902‌
$
1,881‌
3
Month
USD
LIBOR
+
3.50%
5.64%,
04/04/2025
(m)
581‌
577‌
3
Month
USD
LIBOR
+
4.00%
$
5,336‌
Leisure
Products
&
Services
-
0.37%
Alterra
Mountain
Co
4.35%,
07/31/2024
(m)
4,042‌
3,961‌
1
Month
USD
LIBOR
+
2.75%
Callaway
Golf
Co
6.15%,
12/17/2025
(m)
1,395‌
1,388‌
3
Month
USD
LIBOR
+
4.50%
ClubCorp
Holdings
Inc
4.69%,
08/16/2024
(m)
1,135‌
1,052‌
3
Month
USD
LIBOR
+
2.75%
Equinox
Holdings
Inc
4.60%,
03/08/2024
(m)
1,766‌
1,736‌
3
Month
USD
LIBOR
+
3.00%
Fitness
International
LLC
3.90%,
01/08/2025
(m)
1,639‌
1,633‌
3
Month
USD
LIBOR
+
2.50%
Life
Time
Inc
4.36%,
06/10/2022
(m)
3,029‌
2,980‌
3
Month
USD
LIBOR
+
2.75%
Sabre
GLBL
Inc
3.60%,
02/22/2024
(m)
957‌
913‌
3
Month
USD
LIBOR
+
2.00%
$
13,663‌
Lodging
-
0.42%
Boyd
Gaming
Corp
3.83%,
09/15/2023
(m)
4,225‌
4,164‌
3
Month
USD
LIBOR
+
2.25%
Caesars
Resort
Collection
LLC
4.35%,
12/22/2024
(m)
5,837‌
5,623‌
3
Month
USD
LIBOR
+
2.75%
CityCenter
Holdings
LLC
3.85%,
04/18/2024
(m)
2,500‌
2,467‌
3
Month
USD
LIBOR
+
2.25%
Hilton
Worldwide
Finance
LLC
3.38%,
06/18/2026
(m)
1,829‌
1,807‌
3
Month
USD
LIBOR
+
1.75%
Wyndham
Hotels
&
Resorts
Inc
3.35%,
05/30/2025
(m)
1,479‌
1,463‌
3
Month
USD
LIBOR
+
1.75%
$
15,524‌
Machinery
-
Construction
&
Mining
-
0.09%
North
American
Lifting
Holdings
Inc
6.44%,
11/27/2020
(m)
2,501‌
2,197‌
3
Month
USD
LIBOR
+
4.50%
Vertiv
Group
Corp
0.00%,
02/11/2027
(m),(n)
1,250‌
1,238‌
$
3,435‌
Machinery
-
Diversified
-
0.11%
Altra
Industrial
Motion
Corp
3.60%,
09/26/2025
(m)
430‌
425‌
3
Month
USD
LIBOR
+
2.00%
Columbus
McKinnon
Corp/NY
4.44%,
01/31/2024
(m)
997‌
997‌
3
Month
USD
LIBOR
+
2.50%
NN
Inc
6.85%,
10/19/2022
(m)
658‌
646‌
1
Month
USD
LIBOR
+
5.25%
6.85%,
10/19/2022
(m)
1,015‌
996‌
1
Month
USD
LIBOR
+
5.25%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
104
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Machinery
-
Diversified
(continued)
RBS
Global
Inc
3.38%,
08/21/2024
(m)
$
960‌
$
956‌
1
Month
USD
LIBOR
+
1.75%
$
4,020‌
Media
-
1.20%
Altice
Financing
SA
4.41%,
07/15/2025
(m)
2,324‌
2,241‌
3
Month
USD
LIBOR
+
2.75%
Charter
Communications
Operating
LLC
3.36%,
02/01/2027
(m)
5,908‌
5,819‌
1
Month
USD
LIBOR
+
1.75%
CSC
Holdings
LLC
3.91%,
07/17/2025
(m)
497‌
491‌
3
Month
USD
LIBOR
+
2.25%
4.16%,
04/27/2027
(m)
1,481‌
1,463‌
1
Month
USD
LIBOR
+
2.50%
Cumulus
Media
New
Holdings
Inc
5.35%,
03/18/2026
(m)
1,331‌
1,301‌
1
Month
USD
LIBOR
+
3.75%
Entercom
Media
Corp
4.10%,
11/18/2024
(m)
1,107‌
1,092‌
1
Month
USD
LIBOR
+
2.50%
EW
Scripps
Co/The
4.10%,
05/01/2026
(m)
2,481‌
2,466‌
1
Month
USD
LIBOR
+
2.50%
Gray
Television
Inc
3.91%,
02/02/2024
(m)
2,053‌
2,033‌
3
Month
USD
LIBOR
+
2.25%
4.16%,
11/02/2025
(m)
637‌
632‌
3
Month
USD
LIBOR
+
2.50%
Houghton
Mifflin
Harcourt
Publishers
Inc
7.89%,
11/19/2024
(m)
1,500‌
1,491‌
1
Month
USD
LIBOR
+
6.25%
iHeartCommunications
Inc
4.66%,
05/01/2026
(m)
6,885‌
6,747‌
1
Month
USD
LIBOR
+
4.00%
LCPR
Loan
Financing
LLC
6.66%,
10/22/2026
(m)
1,815‌
1,821‌
1
Month
USD
LIBOR
+
5.00%
McGraw-Hill
Global
Education
Holdings
LLC
5.60%,
05/04/2022
(m)
2,755‌
2,586‌
3
Month
USD
LIBOR
+
4.00%
Mediacom
Illinois
LLC
3.34%,
02/15/2024
(m)
477‌
472‌
3
Month
USD
LIBOR
+
1.75%
Meredith
Corp
4.10%,
01/31/2025
(m)
2,091‌
2,068‌
1
Month
USD
LIBOR
+
2.50%
Mission
Broadcasting
Inc
3.91%,
01/17/2024
(m)
401‌
398‌
3
Month
USD
LIBOR
+
2.25%
Nexstar
Broadcasting
Inc
3.85%,
01/17/2024
(m)
1,791‌
1,778‌
3
Month
USD
LIBOR
+
2.25%
4.40%,
09/21/2026
(m)
1,895‌
1,876‌
1
Month
USD
LIBOR
+
2.75%
Nielsen
Finance
LLC
3.67%,
10/04/2023
(m)
1,930‌
1,910‌
3
Month
USD
LIBOR
+
2.00%
Sinclair
Television
Group
Inc
3.86%,
01/03/2024
(m)
2,475‌
2,425‌
3
Month
USD
LIBOR
+
2.25%
4.16%,
07/17/2026
(m)
998‌
978‌
1
Month
USD
LIBOR
+
2.50%
Ziggo
BV
4.16%,
04/17/2028
(m)
2,125‌
2,058‌
1
Month
USD
LIBOR
+
2.50%
$
44,146‌
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Mining
-
0.00%
Covia
Holdings
Corp
5.87%,
04/09/2025
(m)
$
153‌
$
114‌
3
Month
USD
LIBOR
+
3.75%
Miscellaneous
Manufacturers
-
0.06%
Gates
Global
LLC
4.35%,
03/31/2024
(m)
2,242‌
2,197‌
3
Month
USD
LIBOR
+
2.75%
Office
&
Business
Equipment
-
0.03%
Pitney
Bowes
7.16%,
01/17/2025
(m)
1,110‌
1,094‌
1
Month
USD
LIBOR
+
5.50%
Oil
&
Gas
-
0.36%
California
Resources
Corp
6.36%,
11/14/2022
(m)
4,375‌
3,715‌
1
Month
USD
LIBOR
+
4.75%
11.99%,
12/31/2021
(m)
764‌
384‌
1
Month
USD
LIBOR
+
10.37%
Delek
US
Holdings
Inc
3.85%,
03/14/2025
(m)
1,489‌
1,459‌
3
Month
USD
LIBOR
+
2.25%
Fieldwood
Energy
LLC
7.03%,
04/11/2022
(m)
6,028‌
4,672‌
3
Month
USD
LIBOR
+
5.25%
9.03%,
04/11/2023
(m)
3,648‌
1,842‌
3
Month
USD
LIBOR
+
7.25%
Gulf
Finance
LLC
7.02%,
08/17/2023
(m)
1,837‌
1,380‌
3
Month
USD
LIBOR
+
5.25%
$
13,452‌
Oil
&
Gas
Services
-
0.04%
PGS
ASA
8.66%,
03/19/2023
(m)
1,675‌
1,614‌
3
Month
USD
LIBOR
+
5.50%
Packaging
&
Containers
-
0.32%
Berry
Global
Inc
3.67%,
01/19/2024
(m)
1,443‌
1,421‌
1
Month
USD
LIBOR
+
2.00%
3.67%,
07/01/2026
(m)
2,559‌
2,513‌
1
Month
USD
LIBOR
+
2.00%
Kloeckner
Pentaplast
of
America
Inc
6.01%,
06/29/2022
(m)
2,371‌
2,059‌
3
Month
USD
LIBOR
+
4.25%
Reynolds
Group
Holdings
Inc
4.35%,
02/05/2023
(m)
5,819‌
5,754‌
3
Month
USD
LIBOR
+
2.75%
$
11,747‌
Pharmaceuticals
-
0.75%
Akorn
Inc
11.69%,
04/16/2021
(m)
900‌
867‌
1
Month
USD
LIBOR
+
9.25%
Amneal
Pharmaceuticals
LLC
5.12%,
03/21/2025
(m)
948‌
835‌
3
Month
USD
LIBOR
+
3.50%
Bausch
Health
Americas
Inc
4.41%,
11/14/2025
(m)
3,844‌
3,819‌
3
Month
USD
LIBOR
+
2.75%
4.66%,
05/19/2025
(m)
6,011‌
5,969‌
3
Month
USD
LIBOR
+
3.00%
Change
Healthcare
Holdings
LLC
4.13%,
03/01/2024
(m)
7,241‌
7,088‌
1
Month
USD
LIBOR
+
2.50%
Elanco
Animal
Health
0.00%,
02/04/2027
(m),(n)
1,800‌
1,779‌
Grifols
Worldwide
Operations
USA
Inc
3.58%,
11/08/2027
(m)
3,233‌
3,203‌
1
Month
USD
LIBOR
+
2.00%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
105
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Pharmaceuticals
(continued)
Mallinckrodt
International
Finance
SA
0.00%,
03/24/2024
(i),(m),(n)
$
1,351‌
$
1,351‌
4.69%,
09/24/2024
(m)
1,862‌
1,654‌
3
Month
USD
LIBOR
+
2.75%
4.70%,
02/24/2025
(m)
1,267‌
1,111‌
3
Month
USD
LIBOR
+
3.00%
$
27,676‌
Pipelines
-
0.20%
BCP
Renaissance
Parent
LLC
5.44%,
10/31/2024
(m)
1,433‌
1,254‌
3
Month
USD
LIBOR
+
3.50%
Blackstone
CQP
Holdco
LP
5.41%,
09/30/2024
(m)
2,490‌
2,433‌
3
Month
USD
LIBOR
+
3.50%
Buckeye
Partners
LP
4.40%,
11/15/2026
(m)
2,350‌
2,319‌
1
Month
USD
LIBOR
+
2.75%
Traverse
Midstream
Partners
LLC
5.61%,
09/21/2024
(m)
1,466‌
1,216‌
3
Month
USD
LIBOR
+
4.00%
$
7,222‌
Real
Estate
-
0.13%
Brookfield
Retail
Holdings
VII
Sub
3
LLC
3.85%,
08/28/2023
(m)
4,016‌
4,001‌
3
Month
USD
LIBOR
+
2.25%
Realogy
Group
LLC
3.90%,
02/08/2025
(m)
966‌
925‌
3
Month
USD
LIBOR
+
2.25%
$
4,926‌
REITs
-
0.04%
Blackstone
Mortgage
Trust
Inc
3.85%,
04/23/2026
(m)
1,493‌
1,478‌
1
Month
USD
LIBOR
+
2.25%
Retail
-
0.81%
1011778
BC
ULC
3.35%,
11/14/2026
(m)
9,336‌
9,173‌
1
Month
USD
LIBOR
+
1.75%
Academy
Ltd
5.66%,
07/01/2022
(m)
2,198‌
1,742‌
3
Month
USD
LIBOR
+
4.00%
Arby's
Restaurant
Group
4.38%,
02/05/2025
(m)
1,243‌
1,209‌
1
Month
USD
LIBOR
+
2.75%
Belk
Inc
8.80%,
07/31/2025
(m)
2,855‌
1,949‌
1
Month
USD
LIBOR
+
6.75%
BJ's
Wholesale
Club
Inc
3.90%,
02/03/2024
(m)
1,085‌
1,074‌
1
Month
USD
LIBOR
+
2.75%
Carrols
Restaurant
Group
Inc
4.87%,
04/03/2026
(m)
1,990‌
1,890‌
3
Month
USD
LIBOR
+
3.25%
EG
America
LLC
5.96%,
02/07/2025
(m)
1,228‌
1,192‌
3
Month
USD
LIBOR
+
4.00%
Petco
Animal
Supplies
Inc
5.03%,
01/26/2023
(m)
571‌
452‌
3
Month
USD
LIBOR
+
3.25%
PetSmart
Inc
5.66%,
03/11/2022
(m)
6,986‌
6,895‌
1
Month
USD
LIBOR
+
4.00%
Serta
Simmons
Bedding
LLC
5.15%,
10/20/2023
(m)
2,124‌
1,235‌
3
Month
USD
LIBOR
+
3.50%
9.63%,
11/08/2024
(m)
470‌
127‌
3
Month
USD
LIBOR
+
8.00%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Retail
(continued)
SRS
Distribution
Inc
4.60%,
05/19/2025
(m)
$
1,152‌
$
1,117‌
3
Month
USD
LIBOR
+
3.25%
Whatabrands
LLC
4.42%,
08/02/2026
(m)
2,047‌
2,006‌
1
Month
USD
LIBOR
+
2.75%
$
30,061‌
Semiconductors
-
0.08%
Bright
Bidco
BV
5.33%,
06/30/2024
(m)
2,081‌
977‌
3
Month
USD
LIBOR
+
3.50%
Macom
Technology
0.00%,
05/17/2024
(m),(n)
630‌
604‌
3
Month
USD
LIBOR
+
2.25%
Microchip
Technology
Inc
3.61%,
05/29/2025
(m)
575‌
571‌
3
Month
USD
LIBOR
+
2.00%
MKS
Instruments
Inc
3.35%,
02/26/2026
(m)
666‌
656‌
1
Month
USD
LIBOR
+
1.75%
ON
Semiconductor
Corp
3.60%,
09/16/2026
(m)
262‌
258‌
1
Month
USD
LIBOR
+
2.00%
$
3,066‌
Software
-
2.12%
Blackboard
Inc
7.74%,
06/30/2024
(m)
2,993‌
2,843‌
1
Month
USD
LIBOR
+
6.00%
Boxer
Parent
Co
Inc
5.85%,
10/02/2025
(m)
2,381‌
2,283‌
3
Month
USD
LIBOR
+
4.25%
Camelot
Finance
SA
4.90%,
10/28/2026
(m)
1,211‌
1,203‌
1
Month
USD
LIBOR
+
3.25%
Cengage
Learning
Inc
5.85%,
06/07/2023
(m)
5,267‌
4,849‌
3
Month
USD
LIBOR
+
4.25%
Ceridian
HCM
Holding
Inc
4.10%,
04/04/2025
(m)
1,529‌
1,506‌
3
Month
USD
LIBOR
+
3.00%
Compuware
Corp
5.60%,
08/08/2025
(m)
992‌
992‌
1
Month
USD
LIBOR
+
4.00%
DiscoverOrg
LLC
5.60%,
02/02/2026
(m)
1,644‌
1,639‌
3
Month
USD
LIBOR
+
4.50%
DTI
Holdco
Inc
6.53%,
10/02/2023
(m)
797‌
742‌
3
Month
USD
LIBOR
+
4.75%
Dun
&
Bradstreet
Corp/The
5.61%,
02/06/2026
(m)
1,000‌
1,002‌
3
Month
USD
LIBOR
+
5.00%
Dynatrace
LLC
4.38%,
08/08/2025
(m)
606‌
601‌
1
Month
USD
LIBOR
+
2.75%
Epicor
Software
Corp
4.86%,
05/12/2022
(m)
4,497‌
4,458‌
3
Month
USD
LIBOR
+
3.25%
Evergreen
Skills
Lux
Sarl
6.53%,
04/23/2021
(m)
5,015‌
3,962‌
3
Month
USD
LIBOR
+
4.75%
10.03%,
04/28/2022
(m)
804‌
157‌
3
Month
USD
LIBOR
+
8.25%
Finastra
USA
Inc
5.28%,
06/13/2024
(m)
4,337‌
4,127‌
3
Month
USD
LIBOR
+
3.50%
9.03%,
04/28/2025
(m)
200‌
190‌
3
Month
USD
LIBOR
+
7.25%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
106
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Software
(continued)
Greeneden
US
Holdings
II
LLC
4.88%,
12/01/2023
(m)
$
3,069‌
$
3,028‌
3
Month
USD
LIBOR
+
3.25%
Greenway
Health
LLC
5.69%,
02/16/2024
(m)
268‌
217‌
3
Month
USD
LIBOR
+
4.25%
Infor
US
Inc
4.69%,
02/01/2022
(m)
5,139‌
5,099‌
3
Month
USD
LIBOR
+
2.75%
Informatica
LLC
0.00%,
02/14/2027
(m),(n)
4,027‌
3,937‌
Kronos
Inc/MA
4.76%,
11/01/2023
(m)
1,505‌
1,492‌
3
Month
USD
LIBOR
+
3.00%
MA
FinanceCo
LLC
3.85%,
11/19/2021
(m)
650‌
642‌
3
Month
USD
LIBOR
+
2.25%
4.10%,
06/21/2024
(m)
695‌
658‌
3
Month
USD
LIBOR
+
2.50%
Project
Boost
Purchaser
LLC
5.10%,
05/22/2026
(m)
996‌
968‌
3
Month
USD
LIBOR
+
3.50%
Rackspace
Hosting
Inc
4.76%,
11/03/2023
(m)
5,738‌
5,468‌
3
Month
USD
LIBOR
+
3.00%
Riverbed
Technology
Inc
0.00%,
04/24/2022
(m),(n)
1,980‌
1,792‌
US
LIBOR
+
3.25%
RP
Crown
Parent
LLC
4.35%,
10/12/2023
(m)
1,923‌
1,903‌
3
Month
USD
LIBOR
+
2.75%
Seattle
SpinCo
Inc
4.10%,
06/21/2024
(m)
4,692‌
4,446‌
3
Month
USD
LIBOR
+
2.50%
Sophia
LP
5.19%,
09/30/2022
(m)
3,062‌
3,038‌
3
Month
USD
LIBOR
+
3.25%
SS&C
European
Holdings
Sarl
3.75%,
04/16/2025
(m)
930‌
916‌
3
Month
USD
LIBOR
+
2.25%
SS&C
Technologies
Inc
3.35%,
04/16/2025
(m)
2,303‌
2,273‌
3
Month
USD
LIBOR
+
2.25%
4.35%,
04/16/2025
(m)
2,143‌
2,113‌
3
Month
USD
LIBOR
+
2.25%
TIBCO
Sorftware,
Inc
0.00%,
06/30/2026
(m),(n)
5,133‌
5,069‌
Ultimate
Software
Group
Inc/The
5.35%,
05/03/2026
(m)
2,244‌
2,234‌
3
Month
USD
LIBOR
+
3.75%
Zelis
Payments
Buyer
Inc
6.35%,
09/25/2026
(m)
2,250‌
2,232‌
1
Month
USD
LIBOR
+
4.75%
$
78,079‌
Telecommunications
-
1.35%
Altice
France
SA/France
5.66%,
08/14/2026
(m)
3,950‌
3,861‌
3
Month
USD
LIBOR
+
4.00%
Avaya
Inc
5.90%,
12/16/2024
(m)
4,342‌
4,118‌
3
Month
USD
LIBOR
+
4.25%
Centurylink,
Inc
3.60%,
01/31/2025
(m)
1,350‌
1,345‌
1
Month
USD
LIBOR
+
2.00%
3.85%,
03/15/2027
(m)
7,608‌
7,374‌
1
Month
USD
LIBOR
+
2.25%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Telecommunications
(continued)
CommScope
Inc
4.85%,
02/06/2026
(m)
$
2,785‌
$
2,736‌
3
Month
USD
LIBOR
+
3.25%
Connect
Finco
SARL
6.14%,
09/23/2026
(m)
1,875‌
1,854‌
1
Month
USD
LIBOR
+
4.50%
Consolidated
Communications
Inc
4.61%,
10/05/2023
(m)
338‌
319‌
3
Month
USD
LIBOR
+
3.00%
Frontier
Communications
Corp
5.40%,
06/15/2024
(m)
3,766‌
3,773‌
3
Month
USD
LIBOR
+
3.75%
Intelsat
Jackson
Holdings
SA
5.68%,
11/27/2023
(m)
5,176‌
5,103‌
1
Month
USD
LIBOR
+
3.75%
6.62%,
01/15/2024
(m)
2,425‌
2,437‌
Intrado
Corp
5.10%,
10/10/2024
(m)
337‌
264‌
3
Month
USD
LIBOR
+
3.50%
5.64%,
10/10/2024
(m)
1,053‌
834‌
3
Month
USD
LIBOR
+
4.00%
Iridium
Satellite
LLC
5.35%,
10/16/2026
(m)
2,607‌
2,603‌
1
Month
USD
LIBOR
+
3.75%
Maxar
Technologies
Ltd
4.36%,
10/05/2024
(m)
1,894‌
1,775‌
3
Month
USD
LIBOR
+
2.75%
MLN
US
Holdco
LLC
6.16%,
11/30/2025
(m)
748‌
704‌
3
Month
USD
LIBOR
+
4.50%
Plantronics
Inc
4.10%,
06/02/2025
(m)
1,544‌
1,412‌
3
Month
USD
LIBOR
+
2.50%
Sprint
Communications
Inc
4.13%,
02/02/2024
(m)
4,315‌
4,272‌
1
Month
USD
LIBOR
+
2.50%
4.62%,
02/02/2024
(m)
2,475‌
2,453‌
3
Month
USD
LIBOR
+
3.00%
Windstream
Services
LLC
4.11%,
03/08/2021
(m)
1,000‌
999‌
3
Month
USD
LIBOR
+
2.50%
Zayo
Group
Holdings
0.00%,
02/19/2027
(m),(n)
1,500‌
1,463‌
1
Month
USD
LIBOR
+
3.00%
$
49,699‌
Transportation
-
0.19%
American
Commercial
9.00%,
02/11/2027
(i),(m)
24‌
23‌
1
Month
USD
LIBOR
+
7.00%
CEVA
Logistics
Finance
BV
6.94%,
08/04/2025
(m)
737‌
545‌
3
Month
USD
LIBOR
+
5.00%
Commercial
Barge
Line
Co
0.00%,
11/12/2020
(e),(m)
519‌
176‌
3
Month
USD
LIBOR
+
8.75%
Genesee
&
Wyoming
Inc
3.96%,
11/06/2026
(m)
3,000‌
2,980‌
1
Month
USD
LIBOR
+
2.00%
HGIM
Corp
7.71%,
07/02/2023
(m)
1,282‌
937‌
3
Month
USD
LIBOR
+
6.00%
Savage
Enterprises
0.00%,
08/01/2025
(m),(n)
1,408‌
1,403‌
1
Month
USD
LIBOR
+
3.00%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
107
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Transportation
(continued)
XPO
Logistics
Inc
3.61%,
02/24/2025
(m)
$
1,144‌
$
1,129‌
3
Month
USD
LIBOR
+
2.00%
$
7,193‌
TOTAL
SENIOR
FLOATING
RATE
INTERESTS
$
590,912‌
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
-
17.93%
Principal
Amount
(000's)
Value
(000's)
U.S.
Treasury
-
3.03%
1.13%,
04/30/2020
$
2,000‌
$
1,999‌
1.65%,
04/30/2021
(l)
15,000‌
15,005‌
US
Treasury
3
Month
Bill
Money
Market
Yield
+
0.28%
1.73%,
07/31/2021
(l),(o)
24,600‌
24,649‌
US
Treasury
3
Month
Bill
Money
Market
Yield
+
0.22%
1.75%,
12/31/2020
(l)
7,000‌
7,035‌
1.81%,
10/31/2021
(l),(p)
48,000‌
48,180‌
US
Treasury
3
Month
Bill
Money
Market
Yield
+
0.60%
2.50%,
06/30/2020
(l)
15,000‌
15,057‌
$
111,925‌
U.S.
Treasury
Bill
-
0.68%
1.57%,
03/17/2020
(l),(q)
25,000‌
24,985‌
U.S.
Treasury
Inflation-Indexed
Obligations
-
14.22%
0.13%,
01/15/2022
19,861‌
20,009‌
0.13%,
04/15/2022
25,082‌
25,272‌
0.13%,
07/15/2022
23,018‌
23,352‌
0.13%,
01/15/2023
18,998‌
19,247‌
0.13%,
07/15/2024
17,701‌
18,164‌
0.13%,
07/15/2026
23,802‌
24,612‌
0.13%,
01/15/2030
10,892‌
11,386‌
0.25%,
01/15/2025
23,573‌
24,322‌
0.25%,
07/15/2029
8,429‌
8,899‌
0.25%,
02/15/2050
2,134‌
2,210‌
0.38%,
07/15/2023
18,530‌
19,049‌
0.38%,
07/15/2025
(p)
24,613‌
25,717‌
0.38%,
01/15/2027
15,552‌
16,314‌
0.38%,
07/15/2027
18,862‌
19,912‌
0.50%,
01/15/2028
20,681‌
22,009‌
0.63%,
07/15/2021
5,116‌
5,191‌
0.63%,
04/15/2023
18,552‌
19,081‌
0.63%,
01/15/2024
18,096‌
18,793‌
0.63%,
01/15/2026
23,649‌
25,020‌
0.63%,
02/15/2043
9,327‌
10,473‌
0.75%,
07/15/2028
18,082‌
19,772‌
0.75%,
02/15/2042
8,417‌
9,673‌
0.75%,
02/15/2045
10,511‌
12,200‌
0.88%,
01/15/2029
(p)
20,447‌
22,600‌
0.88%,
02/15/2047
7,228‌
8,724‌
1.00%,
02/15/2046
7,229‌
8,897‌
1.00%,
02/15/2048
7,539‌
9,417‌
1.00%,
02/15/2049
7,863‌
9,902‌
1.38%,
02/15/2044
7,029‌
9,183‌
1.66%,
01/31/2022
5,000‌
4,999‌
US
Treasury
3
Month
Bill
Money
Market
Yield
+
0.15%
1.75%,
01/15/2028
3,139‌
3,647‌
2.00%,
01/15/2026
7,827‌
8,920‌
2.13%,
02/15/2040
3,366‌
4,791‌
2.13%,
02/15/2041
5,000‌
7,195‌
2.38%,
01/15/2025
2,335‌
2,652‌
2.38%,
01/15/2027
7,341‌
8,722‌
2.50%,
01/15/2029
4,215‌
5,270‌
3.38%,
04/15/2032
3,252‌
4,681‌
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
U.S.
Treasury
Inflation-Indexed
Obligations
(continued)
3.63%,
04/15/2028
$
3,586‌
$
4,729‌
$
525,006‌
TOTAL
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
$
661,916‌
TOTAL
PURCHASED
OPTIONS
-
0.01%
$
444‌
TOTAL
PURCHASED
INTEREST
RATE
SWAPTIONS
-
0.06%
$
2,314‌
TOTAL
PURCHASED
CAPPED
OPTIONS
-
0.00%
76‌
Total
Investments
$
3,724,80
9‌
Other
Assets
and
Liabilities
-  (0.90)%
(33,09
1‌
)
TOTAL
NET
ASSETS
-
100.00%
$
3,691,718‌
(a)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
(b)
Current
yield
shown
is
as
of
period
end.
(c)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$9,826
or
0.27%
of
net
assets.
(d)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(e)
Non-income
producing
security
(f)
Restricted
Security.
Please
see
Restricted
Security
Sub-Schedule
for
more
information.
(g)
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
$179,168
or
4.85%
of
net
assets.
(h)
The
value
of
these
investments
was
determined
using
significant
unobservable
inputs.
(i)
Fair
value
of
these
investments
is
determined
in
good
faith
by
the
Manager
under
procedures
established
and
periodically
reviewed
by
the
Board
of
Directors.
Certain
inputs
used
in
the
valuation
may
be
unobservable;
however,
each
security
is
evaluated
individually
for
purposes
of
ASC
820
which
results
in
not
all
securities
being
identified
as
Level
3
of
the
fair
value
hierarchy.
At
the
end
of
the
period,
the
fair
value
of
these
securities
totaled
$1,586
or
0.04%
of
net
assets.
(j)
Security
is
an
Interest
Only
Strip.
(k)
Certain
variable
rate
securities
are
not
based
on
a
published
reference
rate
and
spread
but
are
determined
by
the
issuer
or
agent
and
are
based
on
current
market
conditions.  These
securities
do
not
indicate
a
reference
rate
and
spread
in
their
description.
Rate
shown
is
the
rate
in
effect
as
of
period
end.
(l)
All
or
a
portion
of
this
security
is
owned
by
the
DRA
Cayman
Corporation,
which
is
a
100%
owned
subsidiary
of
the
fund.
(m)
Rate
information
disclosed
is
based
on
an
average
weighted
rate
of
the
underlying
tranches
as
of
period
end.
(n)
This
Senior
Floating
Rate
Note
will
settle
after
February
29,
2020,
at
which
time
the
interest
rate
will
be
determined.
(o)
Security
or
a
portion
of
the
security
was
pledged
to
cover
margin
requirements
for
futures
contracts.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$24,649
or
0.67%
of
net
assets.
(p)
Security
or
a
portion
of
the
security
was
pledged
to
cover
margin
requirements
for
swap
and/or
swaption
contracts.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$8,810
or
0.24%
of
net
assets.
(q)
Rate
shown
is
the
discount
rate
of
the
original
purchase.
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
108
Portfolio
Summary  (unaudited)
Sector
Percent
Government
24.49‌%
Utilities
14.08‌%
Financial
11.48‌%
Energy
10.53‌%
Basic
Materials
8.25‌%
Industrial
7.09‌%
Consumer,
Non-cyclical
7.04‌%
Mortgage
Securities
4.12‌%
Consumer,
Cyclical
3.84‌%
Communications
3.29‌%
Money
Market
Funds
3.23‌%
Technology
3.12‌%
Investment
Companies
0.22‌%
Purchased
Interest
Rate
Swaptions
0.06‌%
Diversified
0.05‌%
Purchased
Options
0.01‌%
Purchased
Capped
Options
0.00‌%
Other
Assets
and
Liabilities
(0.90‌)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
February
29,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
1.43%
$
115,751‌
$
1,461,60
5‌
$
1,461,899‌
$
115,45
7‌
$
115,751‌
$
1,461,60
5‌
$
1,461,899‌
$
115,45
7‌
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/Loss
Principal
Government
Money
Market
Fund
1.43%
$
1,063‌
$
—‌
$
—‌
$
—‌
$
1,063‌
$
—‌
$
—‌
$
—‌
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Restricted
Securities
Security
Name
Acquisition
Date
Cost
Value
Percent
of
Net
Assets
Advanz
Pharma
Corp
Ltd
08/08/2018
$
311‌
$
101‌
0.00%
Fieldwood
Energy
LLC
04/05/2018
273‌
126‌
0.00%
Gymboree
Corp/The
08/18/2017
223‌
9‌
0.00%
Millennium
Health
LLC
12/21/2015
206‌
1‌
0.00%
Millennium
Health
LLC
03/15/2016
—‌
22‌
0.00%
Millennium
Health
LLC
03/15/2016
—‌
19‌
0.00%
Total
$
278‌
0.00%
Amounts
in
thousands.
Purchased
Capped
Options
Description
Counterparty
Range
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
5Y-30Y
CMS
Index
Cap
Barclays
Bank
PLC
Max
(0,
5Y
CMS-0.30%)
Receive
$
38,200‌
0.30%
02/15/2022
$
68‌
$
71‌
$
3‌
Call
-
5Y-30Y
CMS
Index
Floor
Deutsche
Bank
AG
Max
(0,
5Y
CMS-0.35%)
Receive
8,300‌
0.35%
07/09/2020
7‌
2‌
(5‌)
Call
-
5Y-30Y
CMS
Index
Floor
JPMorgan
Chase
Max
(0,
5Y
CMS-0.40%)
Receive
8,190‌
0.40%
06/30/2020
6‌
3‌
(3‌)
Total
$
81‌
$
76‌
$
(5‌)
Written
Capped
Options
Description
Counterparty
Range
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
5Y-30Y
CMS
Index
Floor
Deutsche
Bank
AG
Max
(0,
5Y
CMS-0.25%)
Pay
$
16,610‌
0.25%
07/09/2020
$
(8‌)
$
(1‌)
$
7‌
Put
-
5Y-30Y
CMS
Index
Floor
JPMorgan
Chase
Max
(0,
5Y
CMS-0.30%)
Pay
16,380‌
0.30%
06/30/2020
(8‌)
(1‌)
7‌
Total
$
(16‌)
$
(2‌)
$
14‌
Amounts
in
thousands.
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
109
Options
Purchased
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
EUR
versus
GBP
JPMorgan
Chase
1
EUR
5,095‌
EUR
0.88‌
08/06/2020
$
34‌
$
68‌
$
34‌
Call
-
GBP
versus
USD
Citigroup
Inc
1
GBP
3,790‌
GBP
1.35‌
05/04/2020
84‌
3‌
(81‌)
Call
-
90
Day
Eurodollar
Future;
December
2021
N/A
186‌
$
465‌
$
99.75‌
12/14/2021
33‌
40‌
7‌
Call
-
90
Day
Eurodollar
Future;
March
2020
N/A
122‌
305‌
$
97.75‌
03/17/2020
21‌
272‌
251‌
Call
-
US
10
Year
Note
Future;
June
2020
N/A
19‌
19‌
$
133.00‌
04/27/2020
18‌
45‌
27‌
Put
-
90
Day
Eurodollar
Future;
June
2022
N/A
51‌
128‌
$
98.25‌
06/15/2020
12‌
1‌
(11‌)
Put
-
US
10
Year
Note
Future;
June
2020
N/A
15‌
15‌
$
134.00‌
04/27/2020
16‌
15‌
(1‌)
Put
-
US
10
Year
Note
Future;
June
2020
N/A
10‌
10‌
$
128.50‌
03/30/2020
4‌
—‌
(4‌)
Put
-
US
10
Year
Note
Future;
June
2020
N/A
6‌
6‌
$
128.00‌
03/30/2020
2‌
—‌
(2‌)
Total
$
224‌
$
444‌
$
220‌
Written
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
GBP
versus
USD
Deutsche
Bank
AG
1
GBP
3,790‌
GBP
1.35‌
05/04/2020
$
(48‌)
$
(3‌)
$
45‌
Call
-
90
Day
Eurodollar
Future;
December
2021
N/A
93‌
$
233‌
$
99.38‌
12/14/2021
(41‌)
(55‌)
(14‌)
Call
-
90
Day
Eurodollar
Future;
March
2020
N/A
27‌
68‌
$
97.88‌
03/17/2020
(4‌)
(52‌)
(48‌)
Call
-
US
10
Year
Note
Future;
June
2020
N/A
19‌
19‌
$
134.00‌
04/27/2020
(11‌)
(33‌)
(22‌)
Total
$
(104‌)
$
(143‌)
$
(39‌)
Amounts
in
thousands
except
contracts/shares.
Interest
Rate
Swaptions
Purchased
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
$
4,560‌
2.10%
05/14/2020
$
29‌
$
50‌
$
21‌
Call
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
9,290‌
1.77%
11/06/2024
50‌
88‌
38‌
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
560‌
3.08%
01/30/2029
32‌
91‌
59‌
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,120‌
1.50%
02/26/2025
59‌
68‌
9‌
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,490‌
3.09%
12/07/2038
69‌
241‌
172‌
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
560‌
3.05%
01/11/2029
32‌
90‌
58‌
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,956‌
2.98%
03/08/2024
89‌
318‌
229‌
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,330‌
2.95%
03/13/2024
60‌
213‌
153‌
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,760‌
1.46%
08/17/2021
63‌
85‌
22‌
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
2,440‌
1.23%
08/28/2020
47‌
67‌
20‌
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,700‌
1.20%
03/01/2022
60‌
60‌
—‌
Call
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
410‌
2.99%
04/28/2038
19‌
64‌
45‌
Call
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
130‌
2.86%
02/23/2039
6‌
19‌
13‌
Call
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
560‌
3.04%
01/12/2029
32‌
89‌
57‌
Call
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
6,176‌
1.50%
06/02/2020
19‌
76‌
57‌
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
110
Interest
Rate
Swaptions
(continued)
Purchased
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
16,130‌
1.20%
09/24/2020
$
51‌
$
137‌
$
86‌
Call
-
2
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
11,430‌
1.25%
08/11/2020
55‌
101‌
46‌
Call
-
20
Year
Interest
Rate
Swap
JPMorgan
Chase
6
Month
JPY
LIBOR
Receive
JPY
39,560‌
0.78%
04/19/2021
12‌
51‌
39‌
Put
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
$
4,560‌
2.10%
05/14/2020
2‌
—‌
(2‌)
Put
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
9,290‌
1.77%
11/06/2024
50‌
26‌
(24‌)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,120‌
1.72%
05/20/2020
19‌
2‌
(17‌)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,120‌
1.50%
02/26/2025
58‌
50‌
(8‌)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,490‌
3.09%
12/07/2038
69‌
40‌
(29‌)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
560‌
3.05%
01/11/2029
32‌
10‌
(22‌)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
3,280‌
2.35%
07/14/2020
12‌
1‌
(11‌)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
560‌
3.08%
01/30/2029
32‌
10‌
(22‌)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,760‌
1.46%
08/17/2021
62‌
32‌
(30‌)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,956‌
2.98%
03/08/2024
90‌
13‌
(77‌)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,330‌
2.95%
03/13/2024
60‌
9‌
(51‌)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,390‌
2.25%
08/09/2022
33‌
12‌
(21‌)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
JPY
LIBOR
Pay
JPY
758,545‌
1.10%
06/30/2022
103‌
4‌
(99‌)
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
$
2,440‌
1.23%
08/28/2020
47‌
35‌
(12‌)
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
1,700‌
1.20%
03/01/2022
60‌
60‌
—‌
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
130‌
2.86%
02/23/2039
6‌
4‌
(2‌)
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
410‌
2.99%
04/28/2038
19‌
12‌
(7‌)
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
2,010‌
2.25%
08/03/2022
55‌
17‌
(38‌)
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
1,330‌
2.50%
06/21/2024
54‌
18‌
(36‌)
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
560‌
3.04%
01/12/2029
32‌
10‌
(22‌)
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
1,960‌
2.50%
06/14/2024
88‌
26‌
(62‌)
Put
-
20
Year
Interest
Rate
Swap
JPMorgan
Chase
6
Month
JPY
LIBOR
Receive
JPY
39,560‌
0.78%
04/19/2021
12‌
—‌
(12‌)
Put
-
30
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
$
2,210‌
2.85%
05/10/2022
129‌
14‌
(115‌)
Put
-
30
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,390‌
3.80%
06/08/2021
55‌
1‌
(54‌)
Total
$
1,963‌
$
2,314‌
$
351‌
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
$
9,290‌
1.58%
11/06/2020
$
(22‌)
$
(68‌)
$
(46‌)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
2,170‌
1.25%
08/20/2020
(38‌)
(62‌)
(24‌)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,590‌
3.05%
03/13/2029
(84‌)
(254‌)
(170‌)
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
111
Interest
Rate
Swaptions
(continued)
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
$
1,950‌
1.65%
01/11/2022
$
(45‌)
$
(120‌)
$
(75‌)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
2,420‌
1.74%
11/20/2020
(59‌)
(160‌)
(101‌)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,950‌
1.60%
01/07/2022
(45‌)
(114‌)
(69‌)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,040‌
1.64%
11/03/2020
(26‌)
(60‌)
(34‌)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,050‌
1.62%
11/03/2020
(26‌)
(59‌)
(33‌)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
2,610‌
2.20%
06/12/2020
(56‌)
(279‌)
(223‌)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,010‌
1.62%
09/15/2020
(25‌)
(55‌)
(30‌)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
2,464‌
2.79%
03/09/2021
(74‌)
(393‌)
(319‌)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,760‌
1.42%
08/18/2020
(46‌)
(69‌)
(23‌)
Call
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
2,180‌
1.20%
08/18/2020
(41‌)
(56‌)
(15‌)
Call
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
1,760‌
1.45%
01/31/2022
(41‌)
(87‌)
(46‌)
Call
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
5,728‌
1.53%
12/14/2020
(27‌)
(82‌)
(55‌)
Call
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
12,356‌
1.00%
06/02/2020
(17‌)
(58‌)
(41‌)
Call
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
32,250‌
0.70%
09/24/2020
(35‌)
(107‌)
(72‌)
Call
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
1,750‌
2.94%
04/20/2020
(12‌)
(69‌)
(57‌)
Call
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
7,480‌
2.89%
04/15/2020
(54‌)
(290‌)
(236‌)
Call
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
7,470‌
2.88%
04/15/2020
(54‌)
(288‌)
(234‌)
Call
-
2
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
22,860‌
0.75%
08/11/2020
(44‌)
(76‌)
(32‌)
Call
-
2
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
5,725‌
1.51%
12/15/2020
(28‌)
(80‌)
(52‌)
Call
-
30
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
410‌
1.91%
11/30/2026
(53‌)
(93‌)
(40‌)
Call
-
30
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
2,350‌
1.39%
08/24/2020
(75‌)
(164‌)
(89‌)
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
EUR
10,415‌
0.29%
08/21/2020
(50‌)
(77‌)
(27‌)
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
1,023‌
0.14%
09/13/2022
(15‌)
(17‌)
(2‌)
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
$
3,300‌
1.25%
03/01/2022
(59‌)
(80‌)
(21‌)
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
EUR
1,020‌
0.04%
09/14/2022
(16‌)
(21‌)
(5‌)
Put
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
27,720‌
2.15%
05/28/2021
(78‌)
(2‌)
76‌
Put
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
20,360‌
2.35%
05/18/2021
(42‌)
(1‌)
41‌
Put
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
25,890‌
2.31%
04/07/2020
(55‌)
—‌
55‌
Put
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
25,890‌
2.33%
04/07/2020
(56‌)
—‌
56‌
Put
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
9,290‌
1.58%
11/06/2020
(22‌)
(2‌)
20‌
Put
-
1
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
34,330‌
2.40%
06/02/2021
(62‌)
(1‌)
61‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
2,464‌
2.79%
03/09/2021
(73‌)
(1‌)
72‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,950‌
2.15%
01/11/2022
(46‌)
(13‌)
33‌
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
112
Interest
Rate
Swaptions
(continued)
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
1,950‌
2.10%
01/07/2022
$
(45‌)
$
(14‌)
$
31‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,590‌
3.05%
03/13/2029
(84‌)
(29‌)
55‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,300‌
1.85%
02/23/2022
(23‌)
(16‌)
7‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,960‌
2.30%
06/16/2020
(28‌)
(1‌)
27‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,760‌
1.42%
08/18/2020
(45‌)
(14‌)
31‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,010‌
1.62%
09/15/2020
(25‌)
(5‌)
20‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
2,610‌
2.20%
06/12/2020
(57‌)
(1‌)
56‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,640‌
1.95%
07/14/2020
(18‌)
(2‌)
16‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
2,170‌
1.65%
08/20/2020
(38‌)
(9‌)
29‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,300‌
1.85%
02/23/2022
(23‌)
(16‌)
7‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,040‌
1.64%
11/03/2020
(25‌)
(6‌)
19‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
2,420‌
1.74%
11/20/2020
(58‌)
(12‌)
46‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
2,000‌
1.76%
09/17/2020
(51‌)
(7‌)
44‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,050‌
1.62%
11/03/2020
(26‌)
(7‌)
19‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
560‌
2.35%
07/13/2020
(6‌)
—‌
6‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,390‌
3.25%
08/09/2022
(8‌)
(2‌)
6‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,090‌
2.00%
08/04/2020
(16‌)
(1‌)
15‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,390‌
2.75%
08/09/2022
(17‌)
(5‌)
12‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
2,010‌
2.30%
07/27/2020
(26‌)
(1‌)
25‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
4,810‌
2.75%
05/10/2022
(140‌)
(14‌)
126‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
2,930‌
3.87%
06/08/2021
(57‌)
—‌
57‌
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
5,215‌
0.18%
07/17/2020
(71‌)
(16‌)
55‌
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
$
560‌
2.35%
07/13/2020
(5‌)
—‌
5‌
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
2,010‌
3.25%
08/03/2022
(13‌)
(3‌)
10‌
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
2,180‌
1.60%
08/18/2020
(40‌)
(10‌)
30‌
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
2,010‌
2.75%
08/03/2022
(27‌)
(7‌)
20‌
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,960‌
3.50%
06/14/2024
(33‌)
(8‌)
25‌
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,730‌
2.25%
08/21/2024
(52‌)
(33‌)
19‌
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,760‌
1.95%
01/31/2022
(41‌)
(17‌)
24‌
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,330‌
3.00%
06/21/2024
(33‌)
(10‌)
23‌
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,330‌
3.50%
06/21/2024
(19‌)
(5‌)
14‌
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,960‌
3.00%
06/14/2024
(53‌)
(14‌)
39‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
2,400‌
0.00%
06/28/2021
(5‌)
(1‌)
4‌
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
113
Interest
Rate
Swaptions
(continued)
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
$
8,350‌
3.50%
08/25/2020
$
(28‌)
$
—‌
$
28‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
4,950‌
0.11%
05/18/2021
(16‌)
(1‌)
15‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
7,830‌
0.16%
04/13/2021
(27‌)
(1‌)
26‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
7,830‌
0.10%
04/13/2021
(26‌)
(1‌)
25‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
$
2,400‌
3.25%
12/30/2020
(9‌)
—‌
9‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
5,880‌
0.15%
08/10/2021
(8‌)
(6‌)
2‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
5,728‌
1.53%
12/14/2020
(28‌)
(4‌)
24‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
8,490‌
0.25%
09/07/2021
(14‌)
(14‌)
—‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
3,330‌
0.15%
08/10/2021
(4‌)
(3‌)
1‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
11,740‌
2.00%
11/30/2020
(16‌)
(1‌)
15‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
2,500‌
0.05%
07/06/2021
(5‌)
(1‌)
4‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
4,870‌
0.05%
06/11/2021
(13‌)
(2‌)
11‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,570‌
0.00%
06/22/2021
(6‌)
(1‌)
5‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,200‌
0.00%
06/21/2021
(5‌)
(1‌)
4‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,130‌
0.00%
06/15/2021
(6‌)
(1‌)
5‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,190‌
0.00%
06/15/2021
(6‌)
(1‌)
5‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
10,110‌
0.10%
03/30/2021
(36‌)
(2‌)
34‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,570‌
0.00%
07/02/2021
(5‌)
(1‌)
4‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,630‌
0.00%
07/20/2021
(4‌)
(1‌)
3‌
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
$
1,750‌
2.94%
04/20/2020
(12‌)
—‌
12‌
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
7,470‌
2.88%
04/15/2020
(54‌)
—‌
54‌
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
3,580‌
3.50%
06/16/2020
(13‌)
—‌
13‌
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
5,640‌
3.45%
06/09/2020
(24‌)
—‌
24‌
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
4,030‌
2.90%
06/01/2020
(30‌)
—‌
30‌
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
5,660‌
3.35%
06/01/2020
(21‌)
—‌
21‌
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
4,100‌
3.15%
05/06/2020
(23‌)
—‌
23‌
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
7,480‌
2.89%
04/15/2020
(54‌)
—‌
54‌
Put
-
2
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
7,790‌
0.15%
04/20/2021
(28‌)
(1‌)
27‌
Put
-
2
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
6
Month
Euro
Interbank
Offered
Rate
Pay
3,140‌
0.08%
06/01/2021
(9‌)
(1‌)
8‌
Put
-
2
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
$
5,725‌
1.51%
12/15/2020
(27‌)
(4‌)
23‌
Put
-
30
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
410‌
1.91%
11/30/2026
(53‌)
(34‌)
19‌
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
3,140‌
0.00%
07/28/2020
(9‌)
(2‌)
7‌
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
1,020‌
0.04%
09/14/2022
(16‌)
(11‌)
5‌
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
114
Interest
Rate
Swaptions
(continued)
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
10,415‌
0.29%
08/21/2020
$
(50‌)
$
(42‌)
$
8‌
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
1,023‌
0.14%
09/13/2022
(15‌)
(13‌)
2‌
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
3,300‌
1.25%
03/01/2022
(58‌)
(42‌)
16‌
Total
$
(3,567‌)
$
(3,836‌)
$
(269‌)
Amounts
in
thousands.
Futures
Contracts
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
90
Day
Eurodollar;
June
2022
Long
16‌
$
3,966‌
$
29‌
90
Day
Eurodollar;
March
2020
Short
95‌
23,427‌
(182‌)
Brent
Crude;
May
2020
(a)
Long
173‌
8,593‌
(2,378‌)
Canada
10
Year
Bond;
June
2020
Long
155‌
16,481‌
134‌
Cocoa;
May
2020
(a)
Long
365‌
9,753‌
(791‌)
Coffee
'C';
May
2020
(a)
Long
459‌
19,166‌
863‌
Copper;
May
2020
(a)
Long
148‌
9,398‌
(209‌)
Corn;
May
2020
(a)
Short
33‌
608‌
27‌
Cotton
No.2;
May
2020
(a)
Short
262‌
8,055‌
660‌
Euro
Bond
10
Year
Bond;
March
2020
Short
63‌
12,342‌
(226‌)
Euro
Schatz;
March
2020
Long
536‌
66,459‌
177‌
Euro-Bobl
5
Year;
March
2020
Short
79‌
11,831‌
(90‌)
Euro-BTP;
March
2020
Short
53‌
8,528‌
(135‌)
Feeder
Cattle;
May
2020
(a)
Short
199‌
13,286‌
222‌
Gasoline
RBOB;
May
2020
(a)
Long
210‌
13,028‌
(2,315‌)
Gold
100
oz;
April
2020
(a)
Long
122‌
19,114‌
(573‌)
Japan
10
Year
Bond
TSE;
March
2020
Long
7‌
9,999‌
63‌
KC
HRW
Wheat;
May
2020
(a)
Short
375‌
8,498‌
415‌
Lean
Hogs;
April
2020
(a)
Short
464‌
11,558‌
1,056‌
Live
Cattle;
April
2020
(a)
Long
292‌
12,565‌
(1,893‌)
Live
Cattle;
June
2020
(a)
Long
70‌
2,834‌
(280‌)
LME
Lead;
March
2020
(a)
Short
—‌
—‌
(870‌)
LME
Lead;
May
2020
(a)
Long
59‌
2,728‌
26‌
LME
Nickel;
June
2020
(a)
Short
24‌
1,768‌
(525‌)
LME
Nickel;
March
2020
(a)
Short
—‌
—‌
(122‌)
LME
PRI
Alum;
June
2020
(a)
Long
304‌
12,918‌
(1‌)
LME
PRI
Alum;
March
2020
(a)
Short
—‌
—‌
(157‌)
LME
Zinc;
June
2020
(a)
Short
59‌
2,981‌
(2,352‌)
LME
Zinc;
March
2020
(a)
Short
—‌
—‌
(2,023‌)
Low
Sulphur
Gasoline;
May
2020
(a)
Long
133‌
5,849‌
(883‌)
Natural
Gas;
May
2020
(a)
Short
254‌
4,399‌
93‌
NY
Harb
ULSD;
May
2020
(a)
Long
286‌
17,688‌
(2,234‌)
Palladium;
June
2020
(a)
Long
27‌
6,726‌
491‌
Palladium;
September
2020
(a)
Short
34‌
8,423‌
264‌
Platinum;
April
2020
(a)
Long
359‌
15,521‌
(1,584‌)
Silver;
May
2020
(a)
Long
101‌
8,311‌
(873‌)
Soybean
Meal;
May
2020
(a)
Short
488‌
14,913‌
(464‌)
Soybean
Oil;
May
2020
(a)
Short
328‌
5,644‌
265‌
Soybean;
May
2020
(a)
Long
482‌
21,515‌
(51‌)
Sugar
#11;
May
2020
(a)
Long
616‌
9,755‌
(327‌)
US
10
Year
Note;
June
2020
Short
147‌
19,808‌
(268‌)
US
10
Year
Ultra
Note;
June
2020
Short
202‌
30,344‌
(571‌)
US
2
Year
Note;
June
2020
Long
290‌
63,315‌
316‌
US
5
Year
Note;
June
2020
Long
206‌
25,286‌
242‌
US
Long
Bond;
June
2020
Short
18‌
3,065‌
(113‌)
US
Ultra
Bond;
June
2020
Long
7‌
1,452‌
65‌
Wheat;
May
2020
(a)
Long
3‌
79‌
(5‌)
WTI
Crude;
May
2020
(a)
Short
53‌
2,382‌
362‌
Total
$
(16,725‌)
Amounts
in
thousands
except
contracts.
(a)
All
or
a
portion
of
this
security
is
owned
by
the
DRA
Cayman
Corporation,
which
is
a
100%
owned
subsidiary
of
the
fund.
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
115
Foreign
Currency
Contracts
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
ANZ
Stockbroking
03/04/2020
$
30‌
NZD
48‌
$
—‌
$
—‌
Bank
of
America
NA
03/04/2020
$
10,098‌
EUR
9,145‌
2‌
—‌
Bank
of
America
NA
03/04/2020
EUR
2,637‌
$
2,901‌
10‌
—‌
Bank
of
America
NA
03/18/2020
AUD
1,725‌
$
1,162‌
—‌
(38‌)
Bank
of
America
NA
03/18/2020
GBP
470‌
$
611‌
—‌
(8‌)
Bank
of
America
NA
03/18/2020
CAD
3,320‌
$
2,540‌
—‌
(66‌)
Bank
of
America
NA
03/18/2020
$
557‌
CAD
742‌
4‌
—‌
Bank
of
America
NA
03/18/2020
$
5,985‌
CAD
8,052‌
—‌
(15‌)
Bank
of
America
NA
03/18/2020
EUR
980‌
$
1,096‌
—‌
(13‌)
Bank
of
America
NA
03/18/2020
$
551‌
EUR
510‌
—‌
(13‌)
Bank
of
America
NA
03/18/2020
$
482‌
EUR
430‌
7‌
—‌
Bank
of
America
NA
03/18/2020
$
1,169‌
JPY
127,103‌
—‌
(11‌)
Bank
of
America
NA
03/18/2020
JPY
311,291‌
$
2,826‌
63‌
—‌
Bank
of
America
NA
04/03/2020
$
2,906‌
EUR
2,637‌
—‌
(10‌)
Barclays
Bank
PLC
03/18/2020
$
540‌
EUR
490‌
—‌
(1‌)
BMO
Capital
Markets
03/18/2020
$
562‌
AUD
830‌
21‌
—‌
BMO
Capital
Markets
03/18/2020
CAD
1,490‌
$
1,121‌
—‌
(11‌)
BNP
Paribas
03/04/2020
$
602‌
CAD
796‌
9‌
—‌
BNP
Paribas
03/18/2020
CAD
1,119‌
$
840‌
—‌
(7‌)
BNP
Paribas
03/18/2020
EUR
555‌
$
607‌
6‌
—‌
BNP
Paribas
04/03/2020
EUR
324‌
$
356‌
2‌
—‌
CIBC
World
Markets
03/04/2020
$
1,313‌
JPY
143,862‌
—‌
(21‌)
Citigroup
Inc
03/18/2020
CAD
371‌
$
280‌
—‌
(3‌)
Citigroup
Inc
03/18/2020
$
600‌
CAD
798‌
6‌
—‌
Citigroup
Inc
03/18/2020
EUR
510‌
$
558‌
6‌
—‌
Citigroup
Inc
03/18/2020
$
1,118‌
JPY
122,655‌
—‌
(20‌)
Deutsche
Bank
AG
04/03/2020
$
167‌
GBP
131‌
—‌
(1‌)
Deutsche
Bank
AG
04/03/2020
$
273‌
CAD
367‌
—‌
—‌
Goldman
Sachs
&
Co
03/18/2020
AUD
2,018‌
$
1,382‌
—‌
(67‌)
Goldman
Sachs
&
Co
03/18/2020
$
1,382‌
CAD
1,815‌
30‌
—‌
Goldman
Sachs
&
Co
03/18/2020
CAD
3,048‌
$
2,300‌
—‌
(29‌)
HSBC
Securities
Inc
03/04/2020
EUR
5,427‌
$
5,958‌
33‌
—‌
HSBC
Securities
Inc
03/04/2020
$
17,772‌
JPY
1,933,612‌
—‌
(156‌)
HSBC
Securities
Inc
03/04/2020
$
3,186‌
NZD
4,897‌
125‌
—‌
HSBC
Securities
Inc
03/18/2020
AUD
860‌
$
601‌
—‌
(41‌)
HSBC
Securities
Inc
03/18/2020
$
590‌
AUD
860‌
30‌
—‌
HSBC
Securities
Inc
03/18/2020
CAD
1,108‌
$
840‌
—‌
(14‌)
HSBC
Securities
Inc
03/18/2020
EUR
490‌
$
545‌
—‌
(4‌)
HSBC
Securities
Inc
03/18/2020
$
602‌
JPY
65,061‌
—‌
(2‌)
HSBC
Securities
Inc
03/18/2020
JPY
64,368‌
$
590‌
7‌
—‌
HSBC
Securities
Inc
04/03/2020
$
5,969‌
EUR
5,427‌
—‌
(33‌)
Morgan
Stanley
&
Co
03/04/2020
$
188‌
EUR
169‌
1‌
—‌
Morgan
Stanley
&
Co
03/04/2020
NZD
4,946‌
$
3,131‌
—‌
(39‌)
Morgan
Stanley
&
Co
03/18/2020
AUD
830‌
$
581‌
—‌
(40‌)
Morgan
Stanley
&
Co
03/18/2020
$
573‌
AUD
830‌
32‌
—‌
Morgan
Stanley
&
Co
03/18/2020
CAD
7,816‌
$
5,938‌
—‌
(114‌)
Morgan
Stanley
&
Co
03/18/2020
$
581‌
CAD
754‌
19‌
—‌
Morgan
Stanley
&
Co
03/18/2020
$
612‌
EUR
550‌
4‌
—‌
Morgan
Stanley
&
Co
03/18/2020
JPY
67,217‌
$
612‌
12‌
—‌
Morgan
Stanley
&
Co
03/18/2020
$
555‌
JPY
60,422‌
—‌
(6‌)
Morgan
Stanley
&
Co
04/03/2020
$
3,132‌
NZD
4,946‌
41‌
—‌
Standard
Chartered
Bank,
Hong
Kong
03/04/2020
JPY
2,074,872‌
$
18,838‌
400‌
—‌
Standard
Chartered
Bank,
Hong
Kong
04/03/2020
$
18,869‌
JPY
2,074,872‌
—‌
(406‌)
Westpac
Banking
Corporation
03/18/2020
$
1,365‌
AUD
2,040‌
36‌
—‌
Westpac
Banking
Corporation
03/18/2020
CAD
2,931‌
$
2,205‌
—‌
(21‌)
Total
$
906‌
$
(1,210‌)
Amounts
in
thousands.
Exchange
Cleared
Interest
Rate
Swaps
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
USD
LIBOR
Pay
1.80%
Quarterly
Semiannual
N/A
01/07/2030
$
660‌
$
44‌
$
—‌
$
44‌
3
Month
USD
LIBOR
Pay
1.70%
Quarterly
Semiannual
N/A
01/27/2030
300‌
17‌
—‌
17‌
3
Month
USD
LIBOR
Pay
1.68%
Quarterly
Semiannual
N/A
01/27/2030
300‌
17‌
—‌
17‌
3
Month
USD
LIBOR
Pay
1.69%
Quarterly
Semiannual
N/A
01/28/2030
600‌
34‌
—‌
34‌
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
116
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
USD
LIBOR
Pay
1.66%
Quarterly
Semiannual
N/A
01/28/2030
$
300‌
$
16‌
$
—‌
$
16‌
3
Month
USD
LIBOR
Pay
1.66%
Quarterly
Semiannual
N/A
01/28/2030
300‌
16‌
—‌
16‌
3
Month
USD
LIBOR
Pay
1.58%
Quarterly
Semiannual
N/A
01/29/2030
600‌
28‌
—‌
28‌
3
Month
USD
LIBOR
Pay
1.75%
Quarterly
Semiannual
N/A
01/23/2030
485‌
30‌
—‌
30‌
3
Month
USD
LIBOR
Pay
1.57%
Quarterly
Semiannual
N/A
01/29/2030
300‌
14‌
—‌
14‌
3
Month
USD
LIBOR
Pay
1.57%
Quarterly
Semiannual
N/A
04/29/2030
660‌
30‌
—‌
30‌
3
Month
USD
LIBOR
Pay
1.24%
Quarterly
Semiannual
N/A
03/02/2030
600‌
8‌
—‌
8‌
3
Month
USD
LIBOR
Pay
1.06%
Quarterly
Semiannual
N/A
03/02/2023
1,460‌
6‌
—‌
6‌
3
Month
USD
LIBOR
Receive
2.46%
Semiannual
Quarterly
N/A
02/28/2022
12,970‌
(379‌)
—‌
(379‌)
3
Month
USD
LIBOR
Pay
1.58%
Quarterly
Semiannual
N/A
01/30/2030
650‌
30‌
—‌
30‌
3
Month
USD
LIBOR
Pay
1.61%
Quarterly
Semiannual
N/A
01/30/2030
300‌
15‌
—‌
15‌
3
Month
USD
LIBOR
Pay
1.58%
Quarterly
Semiannual
N/A
01/29/2030
300‌
14‌
—‌
14‌
3
Month
USD
LIBOR
Pay
1.61%
Quarterly
Semiannual
N/A
01/30/2030
600‌
29‌
—‌
29‌
3
Month
USD
LIBOR
Pay
1.77%
Quarterly
Semiannual
N/A
01/23/2030
300‌
19‌
—‌
19‌
3
Month
USD
LIBOR
Pay
1.97%
Quarterly
Semiannual
N/A
01/10/2050
160‌
28‌
—‌
28‌
3
Month
USD
LIBOR
Pay
3.17%
Quarterly
Semiannual
N/A
10/31/2024
805‌
82‌
—‌
82‌
3
Month
USD
LIBOR
Receive
2.00%
Semiannual
Quarterly
N/A
11/07/2034
570‌
(35‌)
—‌
(35‌)
3
Month
USD
LIBOR
Receive
2.11%
Semiannual
Quarterly
N/A
11/12/2034
660‌
(48‌)
—‌
(48‌)
3
Month
USD
LIBOR
Receive
2.11%
Semiannual
Quarterly
N/A
11/15/2044
800‌
(43‌)
—‌
(43‌)
3
Month
USD
LIBOR
Pay
1.31%
Quarterly
Semiannual
N/A
02/26/2030
390‌
8‌
—‌
8‌
3
Month
USD
LIBOR
Pay
1.24%
Quarterly
Semiannual
N/A
03/02/2030
350‌
5‌
—‌
5‌
3
Month
USD
LIBOR
Pay
1.78%
Quarterly
Semiannual
N/A
01/22/2030
300‌
20‌
—‌
20‌
3
Month
USD
LIBOR
Receive
1.46%
Semiannual
Quarterly
N/A
12/01/2022
1,840‌
(22‌)
—‌
(22‌)
3
Month
USD
LIBOR
Pay
3.09%
Quarterly
Semiannual
N/A
11/29/2024
6,660‌
663‌
—‌
663‌
3
Month
USD
LIBOR
Pay
0.98%
Quarterly
Semiannual
N/A
03/02/2023
1,460‌
4‌
—‌
4‌
3
Month
USD
LIBOR
Pay
0.99%
Quarterly
Semiannual
N/A
03/02/2023
1,460‌
4‌
—‌
4‌
3
Month
USD
LIBOR
Pay
0.88%
Quarterly
Semiannual
N/A
03/02/2023
2,920‌
2‌
—‌
2‌
3
Month
USD
LIBOR
Pay
1.73%
Quarterly
Semiannual
N/A
01/08/2030
660‌
40‌
—‌
40‌
3
Month
USD
LIBOR
Receive
1.76%
Semiannual
Quarterly
N/A
07/09/2030
615‌
(39‌)
—‌
(39‌)
3
Month
USD
LIBOR
Pay
1.93%
Quarterly
Semiannual
N/A
12/01/2056
50‌
7‌
—‌
7‌
3
Month
USD
LIBOR
Receive
1.61%
Semiannual
Quarterly
N/A
11/01/2023
1,270‌
(18‌)
—‌
(18‌)
3
Month
USD
LIBOR
Pay
1.52%
Quarterly
Semiannual
N/A
02/03/2030
300‌
12‌
—‌
12‌
3
Month
USD
LIBOR
Pay
2.52%
Quarterly
Semiannual
N/A
02/28/2025
4,510‌
343‌
1‌
344‌
3
Month
USD
LIBOR
Pay
1.52%
Quarterly
Semiannual
N/A
02/20/2030
150‌
6‌
—‌
6‌
3
Month
USD
LIBOR
Pay
1.48%
Quarterly
Semiannual
N/A
02/24/2030
300‌
11‌
—‌
11‌
3
Month
USD
LIBOR
Pay
1.64%
Quarterly
Semiannual
N/A
11/15/2045
900‌
71‌
—‌
71‌
3
Month
USD
LIBOR
Pay
1.47%
Quarterly
Semiannual
N/A
02/24/2030
150‌
5‌
—‌
5‌
3
Month
USD
LIBOR
Pay
1.58%
Quarterly
Semiannual
N/A
02/15/2036
2,610‌
137‌
—‌
137‌
3
Month
USD
LIBOR
Receive
1.33%
Semiannual
Quarterly
N/A
08/31/2024
8,050‌
(138‌)
(1‌)
(139‌)
3
Month
USD
LIBOR
Pay
1.51%
Quarterly
Semiannual
N/A
02/20/2030
300‌
12‌
—‌
12‌
3
Month
USD
LIBOR
Pay
1.47%
Quarterly
Semiannual
N/A
02/24/2030
150‌
5‌
—‌
5‌
3
Month
USD
LIBOR
Receive
1.45%
Semiannual
Quarterly
N/A
11/15/2029
3,800‌
(130‌)
1‌
(129‌)
3
Month
USD
LIBOR
Pay
1.38%
Quarterly
Semiannual
N/A
02/15/2027
3,990‌
101‌
—‌
101‌
3
Month
USD
LIBOR
Pay
1.43%
Quarterly
Semiannual
N/A
02/25/2030
600‌
19‌
—‌
19‌
3
Month
USD
LIBOR
Pay
1.39%
Quarterly
Semiannual
N/A
02/25/2030
300‌
8‌
—‌
8‌
3
Month
USD
LIBOR
Pay
1.40%
Quarterly
Semiannual
N/A
02/25/2030
300‌
9‌
—‌
9‌
3
Month
USD
LIBOR
Pay
1.32%
Quarterly
Semiannual
N/A
02/26/2030
600‌
13‌
—‌
13‌
3
Month
USD
LIBOR
Pay
1.30%
Quarterly
Semiannual
N/A
02/26/2030
300‌
6‌
—‌
6‌
3
Month
USD
LIBOR
Pay
1.52%
Quarterly
Semiannual
N/A
02/03/2030
300‌
12‌
—‌
12‌
3
Month
USD
LIBOR
Pay
1.30%
Quarterly
Semiannual
N/A
02/26/2030
300‌
6‌
—‌
6‌
3
Month
USD
LIBOR
Pay
1.51%
Quarterly
Semiannual
N/A
02/12/2030
300‌
12‌
—‌
12‌
3
Month
USD
LIBOR
Pay
1.32%
Quarterly
Semiannual
N/A
02/28/2030
220‌
5‌
—‌
5‌
3
Month
USD
LIBOR
Pay
1.26%
Quarterly
Semiannual
N/A
02/27/2030
300‌
5‌
—‌
5‌
3
Month
USD
LIBOR
Pay
1.10%
Quarterly
Semiannual
N/A
03/01/2023
5,810‌
28‌
—‌
28‌
3
Month
USD
LIBOR
Pay
1.51%
Quarterly
Semiannual
N/A
02/03/2030
300‌
12‌
—‌
12‌
3
Month
USD
LIBOR
Pay
1.50%
Quarterly
Semiannual
N/A
02/05/2030
190‌
7‌
—‌
7‌
3
Month
USD
LIBOR
Pay
1.81%
Quarterly
Semiannual
N/A
05/07/2050
470‌
63‌
—‌
63‌
3
Month
USD
LIBOR
Receive
1.32%
Semiannual
Quarterly
N/A
08/27/2030
1,640‌
(34‌)
—‌
(34‌)
3
Month
USD
LIBOR
Receive
1.63%
Semiannual
Quarterly
N/A
02/10/2030
600‌
(31‌)
—‌
(31‌)
3
Month
USD
LIBOR
Receive
1.31%
Semiannual
Quarterly
N/A
02/27/2030
1,200‌
(25‌)
—‌
(25‌)
3
Month
USD
LIBOR
Pay
1.58%
Quarterly
Semiannual
N/A
02/11/2030
300‌
14‌
—‌
14‌
3
Month
USD
LIBOR
Pay
1.56%
Quarterly
Semiannual
N/A
02/11/2030
150‌
7‌
—‌
7‌
3
Month
USD
LIBOR
Pay
1.58%
Quarterly
Semiannual
N/A
02/11/2030
150‌
7‌
—‌
7‌
3
Month
USD
LIBOR
Pay
1.54%
Quarterly
Semiannual
N/A
02/12/2030
310‌
13‌
—‌
13‌
3
Month
USD
LIBOR
Pay
1.54%
Quarterly
Semiannual
N/A
02/12/2030
300‌
13‌
—‌
13‌
3
Month
USD
LIBOR
Pay
1.83%
Quarterly
Semiannual
N/A
02/10/2050
240‌
33‌
—‌
33‌
3
Month
USD
LIBOR
Receive
1.58%
Semiannual
Quarterly
N/A
11/01/2023
1,270‌
(17‌)
—‌
(17‌)
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
117
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
USD
LIBOR
Receive
2.40%
Semiannual
Quarterly
N/A
02/26/2022
$
42,310‌
$
(1,187‌)
$
1‌
$
(1,186‌)
3
Month
USD
LIBOR
Pay
0.90%
Quarterly
Semiannual
N/A
03/02/2023
1,460‌
2‌
—‌
2‌
3
Month
USD
LIBOR
Receive
1.71%
Semiannual
Quarterly
N/A
08/16/2049
240‌
(6‌)
—‌
(6‌)
3
Month
USD
LIBOR
Pay
1.53%
Quarterly
Semiannual
N/A
08/04/2021
3,850‌
24‌
—‌
24‌
3
Month
USD
LIBOR
Receive
1.74%
Semiannual
Quarterly
N/A
07/14/2022
9,380‌
(161‌)
—‌
(161‌)
3
Month
USD
LIBOR
Pay
3.21%
Quarterly
Semiannual
N/A
10/29/2024
4,985‌
515‌
—‌
515‌
3
Month
USD
LIBOR
Receive
1.77%
Semiannual
Quarterly
N/A
07/12/2023
19,920‌
(171‌)
—‌
(171‌)
3
Month
USD
LIBOR
Receive
2.38%
Semiannual
Quarterly
N/A
07/05/2049
300‌
(23‌)
—‌
(23‌)
3
Month
USD
LIBOR
Receive
2.33%
Semiannual
Quarterly
N/A
06/24/2034
150‌
(14‌)
—‌
(14‌)
3
Month
USD
LIBOR
Pay
2.10%
Quarterly
Semiannual
N/A
06/22/2031
210‌
19‌
—‌
19‌
3
Month
USD
LIBOR
Pay
1.74%
Quarterly
Semiannual
N/A
06/16/2022
3,870‌
66‌
—‌
66‌
3
Month
USD
LIBOR
Receive
2.37%
Semiannual
Quarterly
N/A
06/15/2050
780‌
(217‌)
—‌
(217‌)
3
Month
USD
LIBOR
Receive
1.77%
Semiannual
Quarterly
N/A
06/15/2021
24,700‌
(207‌)
—‌
(207‌)
3
Month
USD
LIBOR
Pay
2.01%
Quarterly
Semiannual
N/A
07/02/2021
6,090‌
78‌
—‌
78‌
3
Month
USD
LIBOR
Pay
2.08%
Quarterly
Semiannual
N/A
07/02/2021
5,150‌
71‌
—‌
71‌
3
Month
USD
LIBOR
Receive
1.67%
Semiannual
Quarterly
N/A
08/17/2049
180‌
(4‌)
—‌
(4‌)
3
Month
USD
LIBOR
Receive
1.87%
Semiannual
Quarterly
N/A
06/03/2022
12,690‌
(130‌)
—‌
(130‌)
3
Month
USD
LIBOR
Pay
2.25%
Quarterly
Semiannual
N/A
04/27/2022
12,110‌
322‌
—‌
322‌
3
Month
USD
LIBOR
Receive
2.31%
Semiannual
Quarterly
N/A
04/03/2025
1,680‌
(113‌)
—‌
(113‌)
3
Month
USD
LIBOR
Receive
2.36%
Semiannual
Quarterly
N/A
03/29/2030
2,300‌
(279‌)
—‌
(279‌)
3
Month
USD
LIBOR
Pay
2.60%
Quarterly
Semiannual
N/A
03/26/2029
1,360‌
182‌
—‌
182‌
3
Month
USD
LIBOR
Pay
2.43%
Quarterly
Semiannual
N/A
03/23/2022
385‌
11‌
—‌
11‌
3
Month
USD
LIBOR
Pay
0.88%
Quarterly
Semiannual
N/A
03/02/2023
1,460‌
1‌
—‌
1‌
3
Month
USD
LIBOR
Receive
2.43%
Semiannual
Quarterly
N/A
03/15/2023
5,700‌
(178‌)
—‌
(178‌)
3
Month
USD
LIBOR
Receive
2.90%
Semiannual
Quarterly
N/A
02/15/2049
30‌
(12‌)
—‌
(12‌)
3
Month
USD
LIBOR
Pay
2.53%
Semiannual
Semiannual
N/A
02/07/2022
55,240‌
1,661‌
(27‌)
1,634‌
3
Month
USD
LIBOR
Receive
2.57%
Semiannual
Quarterly
N/A
02/07/2025
5,220‌
(412‌)
5‌
(407‌)
3
Month
USD
LIBOR
Receive
2.53%
Semiannual
Quarterly
N/A
02/07/2023
390‌
(13‌)
—‌
(13‌)
3
Month
USD
LIBOR
Pay
0.88%
Quarterly
Semiannual
N/A
03/02/2023
2,905‌
2‌
—‌
2‌
3
Month
USD
LIBOR
Pay
0.87%
Quarterly
Semiannual
N/A
03/02/2023
1,720‌
1‌
—‌
1‌
3
Month
USD
LIBOR
Pay
2.45%
Quarterly
Semiannual
N/A
05/18/2031
460‌
57‌
—‌
57‌
3
Month
USD
LIBOR
Pay
1.53%
Quarterly
Semiannual
N/A
11/22/2020
4,970‌
11‌
—‌
11‌
3
Month
USD
LIBOR
Pay
1.71%
Quarterly
Semiannual
N/A
07/13/2022
19,600‌
168‌
—‌
168‌
3
Month
USD
LIBOR
Receive
1.98%
Semiannual
Quarterly
N/A
10/23/2034
240‌
(15‌)
—‌
(15‌)
3
Month
USD
LIBOR
Receive
1.93%
Semiannual
Quarterly
N/A
10/22/2034
540‌
(30‌)
—‌
(30‌)
3
Month
USD
LIBOR
Receive
1.65%
Semiannual
Quarterly
N/A
08/22/2034
535‌
(16‌)
—‌
(16‌)
3
Month
USD
LIBOR
Receive
1.91%
Semiannual
Quarterly
N/A
10/21/2034
480‌
(26‌)
—‌
(26‌)
3
Month
USD
LIBOR
Pay
1.12%
Quarterly
Semiannual
N/A
03/03/2030
300‌
1‌
—‌
1‌
3
Month
USD
LIBOR
Pay
0.92%
Quarterly
Semiannual
N/A
03/02/2023
470‌
1‌
—‌
1‌
3
Month
USD
LIBOR
Receive
1.98%
Semiannual
Quarterly
N/A
10/23/2034
240‌
(14‌)
—‌
(14‌)
3
Month
USD
LIBOR
Receive
2.10%
Semiannual
Quarterly
N/A
10/23/2039
310‌
(17‌)
—‌
(17‌)
3
Month
USD
LIBOR
Receive
1.55%
Semiannual
Quarterly
N/A
10/26/2023
1,450‌
(19‌)
—‌
(19‌)
3
Month
USD
LIBOR
Receive
1.56%
Semiannual
Quarterly
N/A
03/27/2021
11,890‌
(61‌)
—‌
(61‌)
3
Month
USD
LIBOR
Pay
1.13%
Quarterly
Semiannual
N/A
03/03/2030
300‌
1‌
—‌
1‌
3
Month
USD
LIBOR
Receive
1.56%
Semiannual
Quarterly
N/A
03/30/2021
3,640‌
(19‌)
—‌
(19‌)
3
Month
USD
LIBOR
Pay
1.17%
Quarterly
Semiannual
N/A
09/08/2021
2,650‌
8‌
—‌
8‌
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.18)%
Annual
Semiannual
N/A
03/18/2025
EUR
120‌
(1‌)
—‌
(1‌)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.17)%
Annual
Semiannual
N/A
12/13/2023
2,370‌
(12‌)
—‌
(12‌)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.45)%
Annual
Semiannual
N/A
12/16/2021
2,045‌
1‌
—‌
1‌
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.44)%
Semiannual
Annual
N/A
10/06/2023
540‌
(1‌)
1‌
—‌
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.17)%
Annual
Semiannual
N/A
11/11/2024
460‌
(5‌)
—‌
(5‌)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.06)%
Annual
Semiannual
N/A
01/03/2024
1,335‌
(10‌)
—‌
(10‌)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.05)%
Annual
Semiannual
N/A
01/03/2024
1,335‌
(10‌)
—‌
(10‌)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.45)%
Semiannual
Annual
N/A
09/28/2023
430‌
(1‌)
1‌
—‌
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.43)%
Semiannual
Annual
N/A
09/14/2023
530‌
—‌
—‌
—‌
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.50)%
Semiannual
Annual
N/A
09/14/2023
1,800‌
(4‌)
—‌
(4‌)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.30)%
Semiannual
Annual
N/A
01/16/2022
4,940‌
13‌
—‌
13‌
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.29)%
Annual
Semiannual
N/A
07/26/2023
7,870‌
(21‌)
—‌
(21‌)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.30)%
Annual
Semiannual
N/A
07/25/2023
5,450‌
(13‌)
—‌
(13‌)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.58)%
Semiannual
Annual
N/A
08/17/2023
700‌
(3‌)
—‌
(3‌)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.33)%
Semiannual
Annual
N/A
02/12/2023
1,390‌
3‌
—‌
3‌
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.41)%
Semiannual
Annual
N/A
03/02/2023
2,340‌
1‌
—‌
1‌
6
Month
Euro
Interbank
Offered
Rate
Receive
0.19%
Annual
Semiannual
N/A
01/16/2030
1,020‌
(43‌)
1‌
(42‌)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.45)%
Semiannual
Annual
N/A
08/11/2023
830‌
(1‌)
—‌
(1‌)
6
Month
JPY
LIBOR
Receive
0.30%
Semiannual
Semiannual
N/A
06/17/2039
JPY
11,470‌
(5‌)
—‌
(5‌)
6
Month
JPY
LIBOR
Receive
0.34%
Semiannual
Semiannual
N/A
02/08/2034
8,650‌
(4‌)
—‌
(4‌)
6
Month
JPY
LIBOR
Receive
0.20%
Semiannual
Semiannual
N/A
08/28/2044
1,270‌
—‌
—‌
—‌
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
118
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
6
Month
JPY
LIBOR
Receive
0.72%
Semiannual
Semiannual
N/A
03/21/2044
JPY
8,220‌
$
(9‌)
$
—‌
$
(9‌)
6
Month
JPY
LIBOR
Receive
0.17%
Semiannual
Semiannual
N/A
08/08/2039
8,330‌
(2‌)
—‌
(2‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.90%
Annual
Annual
N/A
02/12/2024
$
3,930‌
(75‌)
—‌
(75‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
2.25%
Annual
Annual
N/A
10/30/2028
2,195‌
(145‌)
—‌
(145‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Pay
1.86%
Annual
Annual
N/A
11/25/2029
2,720‌
50‌
—‌
50‌
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.79%
Annual
Annual
N/A
08/22/2049
760‌
3‌
—‌
3‌
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.95%
Annual
Annual
N/A
11/25/2049
870‌
(48‌)
—‌
(48‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.85%
Annual
Annual
N/A
05/10/2021
17,627‌
(73‌)
(10‌)
(83‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.71%
Annual
Annual
N/A
08/12/2024
5,460‌
(62‌)
—‌
(62‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.85%
Annual
Annual
N/A
08/01/2024
5,860‌
(114‌)
—‌
(114‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.92%
Annual
Annual
N/A
05/08/2021
13,823‌
(82‌)
1‌
(81‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.82%
Annual
Annual
N/A
02/03/2030
5,375‌
(93‌)
1‌
(92‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.96%
Annual
Annual
N/A
12/12/2049
1,540‌
(93‌)
—‌
(93‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.84%
Annual
Annual
N/A
01/31/2030
5,410‌
(103‌)
—‌
(103‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Pay
1.94%
Annual
Annual
N/A
02/10/2050
1,715‌
96‌
—‌
96‌
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.85%
Annual
Annual
N/A
02/10/2030
5,405‌
(111‌)
1‌
(110‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Pay
1.75%
Annual
Annual
N/A
08/22/2029
2,390‌
21‌
—‌
21‌
Harmonised
Indices
of
Consumer
Prices
Excluding
Food
and
Energy
Pay
1.13%
Annual
Annual
N/A
01/15/2030
EUR
4,525‌
100‌
1‌
101‌
Harmonised
Indices
of
Consumer
Prices
Excluding
Food
and
Energy
Receive
1.13%
Annual
Annual
N/A
02/15/2030
605‌
(13‌)
—‌
(13‌)
Harmonised
Indices
of
Consumer
Prices
Excluding
Food
and
Energy
Receive
1.29%
Annual
Annual
N/A
03/15/2029
4,285‌
(196‌)
—‌
(196‌)
Harmonised
Indices
of
Consumer
Prices
Excluding
Food
and
Energy
Receive
1.15%
Annual
Annual
N/A
02/15/2030
2,695‌
(64‌)
—‌
(64‌)
New
Zealand
Bank
Bill
3
Month
FRA
Receive
1.55%
Semiannual
Quarterly
N/A
11/12/2029
NZD
1,250‌
(28‌)
1‌
(27‌)
New
Zealand
Bank
Bill
3
Month
FRA
Receive
2.55%
Semiannual
Quarterly
N/A
03/20/2029
3,335‌
(270‌)
13‌
(257‌)
New
Zealand
Bank
Bill
3
Month
FRA
Receive
2.59%
Semiannual
Quarterly
N/A
03/20/2029
651‌
(54‌)
2‌
(52‌)
New
Zealand
Bank
Bill
3
Month
FRA
Receive
2.58%
Semiannual
Quarterly
N/A
03/20/2029
1,219‌
(101‌)
5‌
(96‌)
New
Zealand
Bank
Bill
3
Month
FRA
Receive
2.80%
Semiannual
Quarterly
N/A
03/20/2029
2,353‌
(226‌)
12‌
(214‌)
United
Kingdom
Retail
Prices
Index
Pay
3.40%
Annual
Annual
N/A
08/15/2028
GBP
5,285‌
179‌
(13‌)
166‌
United
Kingdom
Retail
Prices
Index
Pay
3.24%
Annual
Annual
N/A
01/15/2045
1,300‌
59‌
—‌
59‌
United
Kingdom
Retail
Prices
Index
Receive
3.16%
Annual
Annual
N/A
10/15/2049
2,725‌
(220‌)
(26‌)
(246‌)
United
Kingdom
Retail
Prices
Index
Pay
3.27%
Annual
Annual
N/A
10/15/2044
2,725‌
210‌
2‌
212‌
United
Kingdom
Retail
Prices
Index
Pay
3.49%
Annual
Annual
N/A
03/15/2029
3,035‌
114‌
(4‌)
110‌
United
Kingdom
Retail
Prices
Index
Pay
3.61%
Annual
Annual
N/A
01/15/2029
1,145‌
78‌
(3‌)
75‌
United
Kingdom
Retail
Prices
Index
Receive
3.46%
Annual
Annual
N/A
12/15/2029
1,660‌
(35‌)
—‌
(35‌)
United
Kingdom
Retail
Prices
Index
Receive
3.13%
Annual
Annual
N/A
01/15/2050
1,300‌
(71‌)
—‌
(71‌)
United
Kingdom
Retail
Prices
Index
Pay
3.36%
Annual
Annual
N/A
10/15/2039
3,555‌
251‌
(12‌)
239‌
United
Kingdom
Retail
Prices
Index
Receive
3.42%
Annual
Annual
N/A
10/15/2034
3,555‌
(203‌)
15‌
(188‌)
United
Kingdom
Retail
Prices
Index
Receive
3.39%
Annual
Annual
N/A
01/15/2035
1,700‌
(55‌)
—‌
(55‌)
United
Kingdom
Retail
Prices
Index
Pay
3.31%
Annual
Annual
N/A
01/15/2040
1,700‌
55‌
—‌
55‌
United
Kingdom
Retail
Prices
Index
Receive
3.36%
Annual
Annual
N/A
01/15/2035
1,700‌
(40‌)
—‌
(40‌)
United
Kingdom
Retail
Prices
Index
Pay
3.22%
Annual
Annual
N/A
01/15/2045
1,300‌
44‌
—‌
44‌
United
Kingdom
Retail
Prices
Index
Receive
3.11%
Annual
Annual
N/A
01/15/2050
1,300‌
(49‌)
—‌
(49‌)
United
Kingdom
Retail
Prices
Index
Pay
3.45%
Annual
Annual
N/A
02/15/2030
530‌
7‌
—‌
7‌
United
Kingdom
Retail
Prices
Index
Pay
3.51%
Annual
Annual
N/A
10/15/2028
3,095‌
176‌
(8‌)
168‌
United
Kingdom
Retail
Prices
Index
Pay
3.34%
Annual
Annual
N/A
01/15/2040
1,700‌
78‌
(1‌)
77‌
US
Federal
Funds
Effective
Rate
(continuous
series)
Receive
0.66%
Annual
Annual
N/A
03/15/2022
$
11,700‌
(10‌)
4‌
(6‌)
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
119
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
US
Federal
Funds
Effective
Rate
(continuous
series)
Receive
1.28%
Annual
Annual
N/A
12/15/2021
$
4,775‌
$
(48‌)
$
—‌
$
(48‌)
US
Federal
Funds
Effective
Rate
(continuous
series)
Receive
1.41%
Annual
Annual
N/A
12/15/2021
4,660‌
(57‌)
—‌
(57‌)
US
Federal
Funds
Effective
Rate
(continuous
series)
Receive
1.31%
Annual
Annual
N/A
12/15/2021
8,957‌
(93‌)
—‌
(93‌)
US
Federal
Funds
Effective
Rate
(continuous
series)
Receive
1.13%
Annual
Annual
N/A
08/31/2024
1,960‌
(35‌)
(1‌)
(36‌)
US
Federal
Funds
Effective
Rate
(continuous
series)
Receive
1.28%
Annual
Annual
N/A
12/15/2021
4,775‌
(47‌)
—‌
(47‌)
US
Federal
Funds
Effective
Rate
(continuous
series)
Pay
0.71%
Annual
Annual
N/A
03/15/2022
8,760‌
12‌
—‌
12‌
US
Federal
Funds
Effective
Rate
(continuous
series)
Receive
0.66%
Annual
Annual
N/A
03/15/2022
11,700‌
(12‌)
6‌
(6‌)
Total
$
(396‌)
$
(31‌)
$
(427‌)
Amounts
in
thousands.
(a)    
Forward
swap.
Total
Return
Swaps
Counterparty
Reference
Entity
Contracts
Pay/Receive
Positive
Return
Financing
Rate
Payment
Frequency
Expiration
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Value
and
Unrealized
Appreciation/
(Depreciation)
Asset
----
Liability
Bank
of
America
NA
Bloomberg
Commodity
Index
Total
Return
(a)
442,842
Receive
UST
13
Week
Bill
High
Discount
Rate
+
0.11%
Monthly
03/25/2020
$
71,927‌
$
—‌
$
—‌
$
(4,939‌)
Bank
of
America
NA
BofA
Merrill
Lynch
Commodity
MLBXCS3T
Total
Return
Strategy
(a)
186,106
Receive
1.14%
Annual
03/09/2020
16,720‌
—‌
—‌
—‌
M3
Capital
Partners
Bloomberg
Commodity
Index
Total
Return
(a)
538,621
Receive
UST
13
Week
Bill
High
Discount
Rate
+
0.09%
Monthly
03/25/2020
87,483‌
—‌
—‌
(6,008‌)
M3
Capital
Partners
Macquarie
Commodity
Product
251E
(a)
124,077
Receive
0.33%
Annual
03/09/2020
10,620‌
—‌
—‌
—‌
Societe
Generale
Bloomberg
Commodity
Index
Total
Return
(a)
146,250
Receive
UST
13
Week
Bill
High
Discount
Rate
+
0.11%
Monthly
03/25/2020
23,754‌
—‌
—‌
(1,631‌)
Societe
Generale
Societe
Generale
Commodities
Custom
Alpha
(a)
175,393
Receive
0.35%
Annual
03/09/2020
14,419‌
—‌
—‌
—‌
Total
$
—‌
$
—‌
$
(12,57
8‌
)
Amounts
in
thousands
except
contracts.
(a)
All
or
a
portion
of
this
security
is
owned
by
the
DRA
Cayman
Corporation,
which
is
a
100%
owned
subsidiary
of
the
fund.
Schedule
of
Investments
Edge
MidCap
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
120
INVESTMENT
COMPANIES
-
2.86%
Shares
Held
Value
(000's)
Money
Market
Funds
-
2.86%
Principal
Government
Money
Market
Fund
1.43
%
(a),(b)
18,968,426‌
$
18,968‌
TOTAL
INVESTMENT
COMPANIES
$
18,968‌
COMMON
STOCKS
-
97.80%
Shares
Held
Value
(000's)
Advertising
-
1.99%
Interpublic
Group
of
Cos
Inc/The
617,313‌
13,186‌
Airlines
-
1.45%
Alaska
Air
Group
Inc
190,579‌
9,617‌
Automobile
Parts
&
Equipment
-
1.00%
Autoliv
Inc
99,669‌
6,651‌
Banks
-
3.03%
Bank
OZK
244,687‌
6,213‌
Cullen/Frost
Bankers
Inc
176,859‌
13,864‌
$
20,077‌
Chemicals
-
4.51%
FMC
Corp
175,442‌
16,333‌
HB
Fuller
Co
345,165‌
13,541‌
$
29,874‌
Commercial
Services
-
2.94%
Aaron's
Inc
298,260‌
11,731‌
Morningstar
Inc
52,959‌
7,780‌
$
19,511‌
Consumer
Products
-
2.02%
Avery
Dennison
Corp
116,929‌
13,387‌
Electric
-
6.96%
Alliant
Energy
Corp
391,844‌
20,423‌
Eversource
Energy
259,779‌
22,460‌
WEC
Energy
Group
Inc
35,206‌
3,251‌
$
46,134‌
Electrical
Components
&
Equipment
-
5.03%
Energizer
Holdings
Inc
383,628‌
16,492‌
Littelfuse
Inc
105,404‌
16,831‌
$
33,323‌
Electronics
-
2.63%
Arrow
Electronics
Inc
(
c)
259,866‌
17,427‌
Environmental
Control
-
2.22%
Waste
Connections
Inc
152,175‌
14,683‌
Hand
&
Machine
Tools
-
4.74%
Lincoln
Electric
Holdings
Inc
233,428‌
19,115‌
Snap-on
Inc
85,057‌
12,312‌
$
31,427‌
Healthcare
-
Products
-
6.69%
Teleflex
Inc
66,745‌
22,361‌
Varian
Medical
Systems
Inc
(
c)
178,629‌
21,966‌
$
44,327‌
Healthcare
-
Services
-
3.31%
Universal
Health
Services
Inc
177,131‌
21,918‌
Insurance
-
5.97%
Fidelity
National
Financial
Inc
505,032‌
19,575‌
Markel
Corp
(
c)
16,951‌
20,029‌
$
39,604‌
Internet
-
1.44%
Rightmove
PLC
1,187,978‌
9,526‌
Leisure
Products
&
Services
-
1.56%
YETI
Holdings
Inc
(
c)
342,835‌
10,371‌
Machinery
-
Diversified
-
1.66%
Nordson
Corp
75,744‌
11,006‌
Oil
&
Gas
-
3.10%
Cimarex
Energy
Co
229,808‌
7,595‌
Helmerich
&
Payne
Inc
185,458‌
6,842‌
HollyFrontier
Corp
181,116‌
6,100‌
$
20,537‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
REITs
-
8.70%
Alexandria
Real
Estate
Equities
Inc
130,433‌
$
19,810‌
CyrusOne
Inc
353,251‌
21,400‌
STORE
Capital
Corp
499,673‌
16,419‌
$
57,629‌
Retail
-
4.23%
Chipotle
Mexican
Grill
Inc
(
c)
23,169‌
17,923‌
Tiffany
&
Co
75,247‌
10,052‌
$
27,975‌
Savings
&
Loans
-
2.79%
Washington
Federal
Inc
616,725‌
18,496‌
Semiconductors
-
4.65%
Microchip
Technology
Inc
227,620‌
20,647‌
Teradyne
Inc
173,149‌
10,174‌
$
30,821‌
Software
-
8.64%
Black
Knight
Inc
(
c)
442,999‌
29,553‌
Fair
Isaac
Corp
(
c)
73,610‌
27,680‌
$
57,233‌
Toys,
Games
&
Hobbies
-
2.21%
Hasbro
Inc
189,826‌
14,664‌
Transportation
-
4.33%
Expeditors
International
of
Washington
Inc
292,002‌
20,562‌
Kirby
Corp
(
c)
129,092‌
8,230‌
$
28,792‌
TOTAL
COMMON
STOCKS
$
648,196‌
Total
Investments
$
667,164‌
Other
Assets
and
Liabilities
-  (
0.66)%
(4,362‌)
TOTAL
NET
ASSETS
-
100.00%
$
662,802‌
(a)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(b)
Current
yield
shown
is
as
of
period
end.
(c)
Non-income
producing
security
Portfolio
Summary  (
unaudited)
Sector
Percent
Industrial
20.61‌%
Financial
20.49‌%
Consumer,
Non-cyclical
14.96‌%
Technology
13.29‌%
Consumer,
Cyclical
10.45‌%
Utilities
6.96‌%
Basic
Materials
4.51‌%
Communications
3.43‌%
Energy
3.10‌%
Money
Market
Funds
2.86‌%
Other
Assets
and
Liabilities
(
0.66‌)%
TOTAL
NET
ASSETS
100.00%
Schedule
of
Investments
Edge
MidCap
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
121
Affiliated
Securities
August
31,
2019
Purchases
Sales
February
29,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
1.43%
$
19,943‌
$
98,616‌
$
99,591‌
$
18,968‌
$
19,943‌
$
98,616‌
$
99,591‌
$
18,968‌
Income
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/Loss
Principal
Government
Money
Market
Fund
1.43%
$
133‌
$
—‌
$
—‌
$
—‌
$
133‌
$
—‌
$
—‌
$
—‌
Amounts
in
thousands.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
122
INVESTMENT
COMPANIES
-
13.51%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
0.00%
iShares
Russell
2000
Value
ETF
288‌
$
3
1‌
Money
Market
Funds
-
13.51%
First
American
Government
Obligations
Fund
1.46%
(a)
2,236,587‌
2,237‌
Morgan
Stanley
Institutional
Liquidity
Funds
-
Government
Portfolio
1.48%
(a),(b),(c)
11,741,116‌
11,741‌
Principal
Government
Money
Market
Fund
1.43%
(a),(d)
107,586,431‌
107,586‌
$
121,564‌
TOTAL
INVESTMENT
COMPANIES
$
121,59
5‌
COMMON
STOCKS
-
38.16%
Shares
Held
Value
(000's)
Advertising
-
0.05%
Clear
Channel
Outdoor
Holdings
Inc
(e)
43,695‌
90‌
Interpublic
Group
of
Cos
Inc/The
(b)
13,426‌
287‌
Omnicom
Group
Inc
(b)
1,468‌
102‌
$
479‌
Aerospace
&
Defense
-
0.79%
Arconic
Inc
(b)
18,244‌
536‌
Boeing
Co/The
6,290‌
1,730‌
General
Dynamics
Corp
2,081‌
332‌
HEICO
Corp
-
Class
A
(b)
1,428‌
126‌
L3Harris
Technologies
Inc
834‌
165‌
Lockheed
Martin
Corp
(b)
4,213‌
1,558‌
Moog
Inc
999‌
77‌
Northrop
Grumman
Corp
(b)
1,492‌
491‌
Raytheon
Co
(b)
3,252‌
613‌
Thales
SA
2,549‌
257‌
TransDigm
Group
Inc
(b)
1,168‌
652‌
Triumph
Group
Inc
3,599‌
68‌
Ultra
Electronics
Holdings
PLC
5,883‌
149‌
United
Technologies
Corp
(b)
2,738‌
358‌
$
7,112‌
Agriculture
-
0.36%
Altria
Group
Inc
498‌
20‌
Archer-Daniels-Midland
Co
(b)
4,594‌
173‌
Philip
Morris
International
Inc
(b)
31,453‌
2,575‌
Swedish
Match
AB
7,788‌
457‌
$
3,225‌
Airlines
-
0.15%
Alaska
Air
Group
Inc
(b)
7,243‌
365‌
Delta
Air
Lines
Inc
(b)
10,645‌
492‌
Southwest
Airlines
Co
(b)
6,003‌
277‌
United
Airlines
Holdings
Inc
(b),(e)
2,964‌
182‌
$
1,316‌
Apparel
-
0.31%
Burberry
Group
PLC
1,504‌
32‌
Capri
Holdings
Ltd
(b),(e)
12,809‌
331‌
Carter's
Inc
1,554‌
142‌
Hanesbrands
Inc
(b)
8,632‌
114‌
Kontoor
Brands
Inc
2,722‌
92‌
LVMH
Moet
Hennessy
Louis
Vuitton
SE
1,748‌
730‌
NIKE
Inc
(b)
2,732‌
244‌
PVH
Corp
(b)
4,154‌
308‌
Ralph
Lauren
Corp
(b)
2,648‌
279‌
Tapestry
Inc
(b)
13,038‌
306‌
Under
Armour
Inc
-
Class
A
(e)
9,277‌
132‌
Under
Armour
Inc
-
Class
C
(e)
5,290‌
66‌
$
2,776‌
Automobile
Manufacturers
-
0.34%
Cummins
Inc
(b)
3,108‌
470‌
Ferrari
NV
4,968‌
783‌
Fiat
Chrysler
Automobiles
NV
24,133‌
304‌
Ford
Motor
Co
4,643‌
32‌
General
Motors
Co
2,702‌
82‌
Navistar
International
Corp
(e)
5,621‌
204‌
PACCAR
Inc
6,516‌
436‌
REV
Group
Inc
6,846‌
54‌
Subaru
Corp
10,000‌
242‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Automobile
Manufacturers
(continued)
Tesla
Inc
(e)
288‌
$
193‌
Volvo
AB
-
B
Shares
17,457‌
274‌
$
3,074‌
Automobile
Parts
&
Equipment
-
0.09%
BorgWarner
Inc
(b)
12,386‌
391‌
Cooper
Tire
&
Rubber
Co
2,702‌
69‌
Koito
Manufacturing
Co
Ltd
3,100‌
121‌
Nokian
Renkaat
OYJ
3,903‌
102‌
Rheinmetall
AG
1,632‌
152‌
$
835‌
Banks
-
1.33%
Allegiance
Bancshares
Inc
2,066‌
69‌
Ameris
Bancorp
2,192‌
75‌
Aozora
Bank
Ltd
1,300‌
32‌
Atlantic
Union
Bankshares
Corp
2,053‌
61‌
Banca
Generali
SpA
5,481‌
170‌
BancorpSouth
Bank
3,275‌
80‌
Bank
of
America
Corp
(b)
10,234‌
292‌
Bank
OZK
3,088‌
78‌
Cadence
BanCorp
5,317‌
75‌
Citigroup
Inc
(b)
1,004‌
64‌
Citizens
Financial
Group
Inc
5,951‌
188‌
Comerica
Inc
174‌
9‌
DBS
Group
Holdings
Ltd
2,500‌
44‌
DNB
ASA
3,344‌
56‌
East
West
Bancorp
Inc
(b)
11,118‌
431‌
FinecoBank
Banca
Fineco
SpA
41,658‌
437‌
First
Citizens
BancShares
Inc/NC
321‌
146‌
First
Hawaiian
Inc
2,975‌
71‌
First
Interstate
BancSystem
Inc
2,104‌
72‌
First
Midwest
Bancorp
Inc/IL
4,546‌
83‌
First
Republic
Bank/CA
6,882‌
692‌
FNB
Corp/PA
5,871‌
59‌
Fukuoka
Financial
Group
Inc
5,900‌
88‌
Goldman
Sachs
Group
Inc/The
1,369‌
275‌
Great
Western
Bancorp
Inc
2,796‌
75‌
Heritage
Commerce
Corp
7,684‌
79‌
Hilltop
Holdings
Inc
3,604‌
75‌
JPMorgan
Chase
&
Co
(b)
9,690‌
1,125‌
KBC
Group
NV
3,829‌
255‌
M&T
Bank
Corp
5,069‌
712‌
Macquarie
Group
Ltd
1,952‌
174‌
Morgan
Stanley
(b)
7,393‌
333‌
Opus
Bank
3,363‌
80‌
Oversea-Chinese
Banking
Corp
Ltd
8,000‌
62‌
PNC
Financial
Services
Group
Inc/The
(b)
3,577‌
452‌
Popular
Inc
281‌
14‌
Raiffeisen
Bank
International
AG
11,473‌
237‌
Regions
Financial
Corp
(b)
5,784‌
78‌
Resona
Holdings
Inc
600‌
2‌
Seven
Bank
Ltd
10,900‌
29‌
Shinsei
Bank
Ltd
17,800‌
233‌
Skandinaviska
Enskilda
Banken
AB
1,495‌
14‌
Standard
Chartered
PLC
56,902‌
412‌
State
Street
Corp
634‌
43‌
Sumitomo
Mitsui
Financial
Group
Inc
17,700‌
562‌
Sumitomo
Mitsui
Trust
Holdings
Inc
17,300‌
587‌
SVB
Financial
Group
(e)
2,047‌
426‌
Truist
Financial
Corp
(b)
7,752‌
358‌
UBS
Group
AG
(e)
26,824‌
295‌
Umpqua
Holdings
Corp
4,444‌
68‌
United
Community
Banks
Inc/GA
3,237‌
80‌
Univest
Financial
Corp
2,868‌
67‌
US
Bancorp
(b)
23,564‌
1,094‌
Veritex
Holdings
Inc
3,300‌
79‌
Wells
Fargo
&
Co
6,192‌
253‌
$
12,000‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
123
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Beverages
-
0.41%
Asahi
Group
Holdings
Ltd
2,600‌
$
100‌
Boston
Beer
Co
Inc/The
(e)
202‌
75‌
Carlsberg
A/S
3,266‌
432‌
Coca-Cola
Co/The
(b)
9,124‌
488‌
Coca-Cola
HBC
AG
(e)
7,156‌
228‌
Constellation
Brands
Inc
(b)
1,510‌
260‌
Heineken
NV
1,691‌
169‌
Molson
Coors
Beverage
Co
(b)
766‌
38‌
Monster
Beverage
Corp
(b),(e)
23,320‌
1,455‌
PepsiCo
Inc
(b)
3,414‌
451‌
$
3,696‌
Biotechnology
-
0.49%
Abcam
PLC
11,092‌
165‌
Alexion
Pharmaceuticals
Inc
(e)
2,344‌
220‌
Amgen
Inc
2,531‌
506‌
Apellis
Pharmaceuticals
Inc
(e)
3,376‌
117‌
Arena
Pharmaceuticals
Inc
(e)
1,122‌
50‌
Ascendis
Pharma
A/S
ADR
(e)
304‌
40‌
Biogen
Inc
(b),(e)
4,537‌
1,399‌
Constellation
Pharmaceuticals
Inc
(e)
1,550‌
55‌
Corteva
Inc
(b)
17,034‌
463‌
Emergent
BioSolutions
Inc
(e)
1,500‌
88‌
Exact
Sciences
Corp
(e)
2,445‌
198‌
Incyte
Corp
(b),(e)
8,200‌
618‌
Ionis
Pharmaceuticals
Inc
(e)
2,545‌
129‌
Iovance
Biotherapeutics
Inc
(e)
6,600‌
217‌
Sage
Therapeutics
Inc
(e)
850‌
40‌
Y-mAbs
Therapeutics
Inc
(e)
2,396‌
71‌
$
4,376‌
Building
Materials
-
0.55%
American
Woodmark
Corp
(e)
900‌
75‌
Boise
Cascade
Co
3,210‌
114‌
Cemex
SAB
de
CV
ADR
88,953‌
292‌
Cie
de
Saint-Gobain
9,687‌
342‌
CRH
PLC
6,814‌
230‌
Daikin
Industries
Ltd
2,200‌
296‌
Fortune
Brands
Home
&
Security
Inc
(b)
16,550‌
1,022‌
Imerys
SA
3,444‌
135‌
JELD-WEN
Holding
Inc
(e)
7,808‌
147‌
Johnson
Controls
International
plc
537‌
20‌
Lennox
International
Inc
2,651‌
605‌
LIXIL
Group
Corp
26,700‌
398‌
Louisiana-Pacific
Corp
3,092‌
88‌
Marshalls
PLC
8,755‌
82‌
Martin
Marietta
Materials
Inc
967‌
220‌
Masco
Corp
(b)
10,790‌
446‌
Norbord
Inc
3,870‌
103‌
ROCKWOOL
International
A/S
759‌
177‌
Vulcan
Materials
Co
(b)
100‌
12‌
Wienerberger
AG
6,846‌
175‌
$
4,979‌
Chemicals
-
1.26%
A.
Schulman
Inc.
(e),(f)
2,332‌
1‌
Akzo
Nobel
NV
14,022‌
1,121‌
Ashland
Global
Holdings
Inc
16,377‌
1,172‌
Borregaard
ASA
8,162‌
87‌
Brenntag
AG
3,393‌
154‌
Celanese
Corp
(b)
4,434‌
416‌
CF
Industries
Holdings
Inc
(b)
4,130‌
152‌
Covestro
AG
(g)
15,828‌
613‌
Dow
Inc
6,383‌
258‌
DuPont
de
Nemours
Inc
5,107‌
219‌
Eastman
Chemical
Co
1,333‌
82‌
Ecolab
Inc
8‌
1‌
EMS-Chemie
Holding
AG
2,032‌
1,193‌
FMC
Corp
(b)
4,235‌
394‌
Hexion
Holdings
Corp
(e)
22,049‌
244‌
IMCD
NV
1,228‌
100‌
Ingevity
Corp
(e)
750‌
34‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Chemicals
(continued)
International
Flavors
&
Fragrances
Inc
740‌
$
89‌
Linde
PLC
(b)
1,746‌
334‌
LyondellBasell
Industries
NV
(b)
2,217‌
159‌
Mosaic
Co/The
(b)
10,536‌
179‌
Nippon
Paint
Holdings
Co
Ltd
6,800‌
308‌
Nissan
Chemical
Corp
12,400‌
521‌
Nitto
Denko
Corp
5,600‌
278‌
PPG
Industries
Inc
(b)
6,685‌
698‌
Sherwin-Williams
Co/The
(b)
2,043‌
1,055‌
Shin-Etsu
Chemical
Co
Ltd
8,500‌
940‌
Synthomer
PLC
44,110‌
161‌
Taiyo
Nippon
Sanso
Corp
2,500‌
45‌
Toray
Industries
Inc
52,345‌
301‌
$
11,309‌
Commercial
Services
-
1.78%
Adtalem
Global
Education
Inc
(e)
3,008‌
93‌
AMERCO
1,195‌
385‌
Aramark
36,300‌
1,261‌
Atlantia
SpA
10,158‌
220‌
Babcock
International
Group
PLC
34,916‌
201‌
BrightView
Holdings
Inc
(e)
4,359‌
61‌
Brink's
Co/The
1,076‌
84‌
Bureau
Veritas
SA
63,507‌
1,563‌
Carriage
Services
Inc
4,021‌
85‌
Chegg
Inc
(e)
3,756‌
147‌
Cintas
Corp
5,657‌
1,510‌
CoStar
Group
Inc
(e)
234‌
156‌
Deluxe
Corp
1,981‌
66‌
Elis
SA
7,435‌
130‌
Equifax
Inc
2,570‌
365‌
Escrow
Altegrity
Inc
NPV
(e),(f),(h)
33,568‌
726‌
EVERTEC
Inc
2,590‌
77‌
FleetCor
Technologies
Inc
(e)
139‌
37‌
Global
Payments
Inc
6,337‌
1,166‌
Grand
Canyon
Education
Inc
(e)
2,052‌
166‌
H&R
Block
Inc
343‌
7‌
IHS
Markit
Ltd
261‌
19‌
Kforce
Inc
2,088‌
64‌
LiveRamp
Holdings
Inc
(e)
2,561‌
91‌
Loomis
AB
5,523‌
193‌
Medifast
Inc
930‌
77‌
Moody's
Corp
(b)
6,919‌
1,660‌
Nielsen
Holdings
PLC
(b)
15,007‌
273‌
PayPal
Holdings
Inc
(e)
2,655‌
287‌
Persol
Holdings
Co
Ltd
34,000‌
457‌
Quanta
Services
Inc
2,845‌
108‌
Robert
Half
International
Inc
(b)
15,662‌
789‌
Rollins
Inc
(b)
17,113‌
641‌
S&P
Global
Inc
(b)
6,012‌
1,598‌
SEACOR
Marine
Holdings
Inc
(e)
4,844‌
39‌
Square
Inc
(e)
3,393‌
283‌
TriNet
Group
Inc
(e)
1,761‌
93‌
United
Rentals
Inc
(b),(e)
3,306‌
438‌
Wirecard
AG
2,911‌
375‌
$
15,991‌
Computers
-
1.50%
Accenture
PLC
-
Class
A
(b)
2,768‌
500‌
Apple
Inc
(b)
22,722‌
6,210‌
Cognizant
Technology
Solutions
Corp
966‌
59‌
Conduent
Inc
(e)
8,547‌
28‌
Cubic
Corp
2,212‌
120‌
Endava
PLC
ADR
(e)
1,046‌
56‌
Fortinet
Inc
(b),(e)
3,802‌
388‌
Hewlett
Packard
Enterprise
Co
630‌
8‌
HP
Inc
(b)
18,913‌
393‌
International
Business
Machines
Corp
(b)
2,513‌
327‌
Itochu
Techno-Solutions
Corp
20,000‌
560‌
Leidos
Holdings
Inc
(b)
5,263‌
540‌
Lumentum
Holdings
Inc
(e)
857‌
67‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
124
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Computers
(continued)
NetApp
Inc
(b)
10,927‌
$
511‌
NTT
Data
Corp
44,453‌
530‌
Obic
Co
Ltd
1,600‌
198‌
Otsuka
Corp
24,600‌
1,063‌
Rapid7
Inc
(e)
2,422‌
112‌
Science
Applications
International
Corp
21,017‌
1,684‌
Vocera
Communications
Inc
(e)
4,244‌
104‌
$
13,458‌
Consumer
Products
-
0.18%
ACCO
Brands
Corp
32,508‌
261‌
Avery
Dennison
Corp
(b)
2,579‌
295‌
Kimberly-Clark
Corp
2,664‌
349‌
Spectrum
Brands
Holdings
Inc
13,749‌
741‌
$
1,646‌
Cosmetics
&
Personal
Care
-
0.42%
Colgate-Palmolive
Co
(b)
7,971‌
539‌
Coty
Inc
43,030‌
397‌
Edgewell
Personal
Care
Co
(e)
2,394‌
73‌
Estee
Lauder
Cos
Inc/The
(b)
1,728‌
318‌
Procter
&
Gamble
Co/The
(b)
15,163‌
1,716‌
Unilever
NV
13,891‌
733‌
$
3,776‌
Distribution
&
Wholesale
-
0.13%
Copart
Inc
(e)
1,690‌
143‌
Diploma
PLC
8,328‌
200‌
Fastenal
Co
8,150‌
279‌
LKQ
Corp
(b),(e)
7,222‌
214‌
Toyota
Tsusho
Corp
4,100‌
123‌
WW
Grainger
Inc
(b)
833‌
231‌
$
1,190‌
Diversified
Financial
Services
-
1.94%
4L
Technologies
(e),(f),(h)
24,306‌
164‌
Alliance
Data
Systems
Corp
(b)
1,284‌
110‌
American
Express
Co
(b)
7,806‌
858‌
Ares
Management
Corp
1,855‌
64‌
B.
Riley
Financial
Inc
4,001‌
95‌
BlackRock
Inc
(b)
2,754‌
1,275‌
Capital
One
Financial
Corp
(b)
344‌
30‌
Cboe
Global
Markets
Inc
7,808‌
890‌
Charles
Schwab
Corp/The
12,656‌
516‌
CI
Financial
Corp
10,800‌
179‌
Credit
Acceptance
Corp
(e)
1,145‌
462‌
Discover
Financial
Services
943‌
62‌
Eaton
Vance
Corp
(b)
14,602‌
602‌
ECN
Capital
Corp
21,067‌
86‌
Element
Comm
Aviation
(e),(f),(h),(i)
280‌
2,505‌
Euronext
NV
(g)
2,232‌
186‌
Federal
Agricultural
Mortgage
Corp
1,033‌
78‌
Franklin
Resources
Inc
(b)
20,315‌
442‌
Greenhill
&
Co
Inc
4,829‌
71‌
Hamilton
Lane
Inc
1,388‌
86‌
Hannon
Armstrong
Sustainable
Infrastructure
Capital
Inc
2,908‌
99‌
Hargreaves
Lansdown
PLC
14,265‌
286‌
Hypoport
AG
(e)
466‌
158‌
Invesco
Ltd
(b)
21,334‌
307‌
Julius
Baer
Group
Ltd
5,411‌
228‌
Legg
Mason
Inc
16,516‌
823‌
LPL
Financial
Holdings
Inc
223‌
18‌
Magellan
Financial
Group
Ltd
1,217‌
45‌
Mastercard
Inc
(b)
2,493‌
724‌
Moelis
&
Co
2,553‌
82‌
Nasdaq
Inc
(b)
3,646‌
374‌
Navient
Corp
6,405‌
72‌
PRA
Group
Inc
(e)
6,155‌
239‌
Raymond
James
Financial
Inc
304‌
25‌
Sanne
Group
PLC
14,697‌
108‌
SEI
Investments
Co
(b)
12,605‌
690‌
Singapore
Exchange
Ltd
82,800‌
511‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Diversified
Financial
Services
(continued)
Synchrony
Financial
22,748‌
$
662‌
T
Rowe
Price
Group
Inc
(b)
5,802‌
684‌
Visa
Inc
(b)
8,057‌
1,465‌
VZ
Holding
AG
428‌
148‌
Western
Union
Co/The
(b)
41,849‌
937‌
$
17,446‌
Electric
-
0.68%
AES
Corp/VA
(b)
1,974‌
33‌
CMS
Energy
Corp
2,196‌
133‌
Dominion
Energy
Inc
(b)
3,648‌
285‌
Duke
Energy
Corp
218‌
20‌
Electric
Power
Development
Co
Ltd
2,200‌
47‌
Endesa
SA
14,068‌
362‌
Entergy
Corp
70‌
8‌
Evergy
Inc
(b)
13,766‌
900‌
FirstEnergy
Corp
286‌
13‌
Fortum
Oyj
12,366‌
264‌
Meridian
Energy
Ltd
89,377‌
259‌
NRG
Energy
Inc
(b)
54,317‌
1,804‌
Public
Service
Enterprise
Group
Inc
4,062‌
208‌
Red
Electrica
Corp
SA
30,240‌
578‌
RWE
AG
4,814‌
167‌
Southern
Co/The
(b)
4,203‌
254‌
Terna
Rete
Elettrica
Nazionale
SpA
317‌
2‌
Vistra
Energy
Corp
41,601‌
800‌
$
6,137‌
Electrical
Components
&
Equipment
-
0.29%
AMETEK
Inc
(b)
2,849‌
245‌
Belden
Inc
10,273‌
410‌
Casio
Computer
Co
Ltd
2,800‌
48‌
Emerson
Electric
Co
(b)
13,817‌
886‌
Energizer
Holdings
Inc
1,922‌
83‌
EnerSys
2,507‌
154‌
Legrand
SA
5,975‌
459‌
Schneider
Electric
SE
3,087‌
313‌
$
2,598‌
Electronics
-
1.23%
Allegion
plc
(b)
2,876‌
331‌
Alps
Alpine
Co
Ltd
10,300‌
157‌
Amphenol
Corp
59‌
5‌
Assa
Abloy
AB
25,657‌
577‌
Electrocomponents
PLC
20,951‌
164‌
FARO
Technologies
Inc
(e)
1,850‌
106‌
FLIR
Systems
Inc
1,286‌
55‌
Fortive
Corp
6,334‌
438‌
Garmin
Ltd
(b)
9,560‌
844‌
GoPro
Inc
(e)
20,253‌
77‌
Halma
PLC
8,736‌
220‌
Hitachi
High-Tech
Corp
51,436‌
3,820‌
Honeywell
International
Inc
(b)
10,681‌
1,733‌
LEM
Holding
SA
56‌
73‌
Mettler-Toledo
International
Inc
(e)
102‌
72‌
Murata
Manufacturing
Co
Ltd
800‌
42‌
nVent
Electric
PLC
3,185‌
76‌
PerkinElmer
Inc
2,834‌
245‌
Roper
Technologies
Inc
(b)
714‌
251‌
Rotork
PLC
41,895‌
153‌
Woodward
Inc
14,372‌
1,483‌
Yokogawa
Electric
Corp
9,200‌
149‌
$
11,071‌
Energy
-
Alternate
Sources
-
0.05%
Vestas
Wind
Systems
A/S
4,514‌
436‌
Engineering
&
Construction
-
0.54%
AECOM
(e)
28,384‌
1,276‌
Aeroports
de
Paris
229‌
34‌
Alten
SA
2,036‌
228‌
Badger
Daylighting
Ltd
2,276‌
53‌
CIMIC
Group
Ltd
6,572‌
103‌
Dycom
Industries
Inc
(e)
1,966‌
58‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
125
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Engineering
&
Construction
(continued)
Eiffage
SA
3,842‌
$
411‌
Gaztransport
Et
Technigaz
SA
1,040‌
93‌
HOCHTIEF
AG
2,563‌
256‌
Jacobs
Engineering
Group
Inc
8,880‌
820‌
JGC
Holdings
Corp
38,300‌
463‌
Obayashi
Corp
13,500‌
136‌
Taisei
Corp
21,800‌
739‌
Vinci
SA
1,836‌
186‌
$
4,856‌
Entertainment
-
0.19%
Aristocrat
Leisure
Ltd
5,413‌
119‌
Deluxe
Entertainment
(e)
67,048‌
48‌
Eldorado
Resorts
Inc
(e)
237‌
12‌
Genting
Singapore
Ltd
717,800‌
423‌
GVC
Holdings
PLC
2,008‌
21‌
Live
Nation
Entertainment
Inc
(e)
1,010‌
61‌
Marriott
Vacations
Worldwide
Corp
2,496‌
242‌
OPAP
SA
14,223‌
155‌
Penn
National
Gaming
Inc
(e)
422‌
12‌
Red
Rock
Resorts
Inc
3,900‌
80‌
Sankyo
Co
Ltd
12,300‌
405‌
Vail
Resorts
Inc
460‌
98‌
$
1,676‌
Environmental
Control
-
0.07%
Pentair
PLC
(b)
3,656‌
144‌
Republic
Services
Inc
(b)
1,611‌
145‌
Waste
Management
Inc
(b)
2,860‌
317‌
$
606‌
Food
-
0.71%
a2
Milk
Co
Ltd
(e)
8,326‌
86‌
Ajinomoto
Co
Inc
11,285‌
189‌
Associated
British
Foods
PLC
1,804‌
53‌
Campbell
Soup
Co
(b)
9,860‌
445‌
Cranswick
PLC
5,804‌
249‌
General
Mills
Inc
(b)
4,019‌
197‌
Hershey
Co/The
2,620‌
377‌
Hostess
Brands
Inc
(e)
6,318‌
80‌
Just
Eat
Takeaway
(e),(g)
5,624‌
493‌
Koninklijke
Ahold
Delhaize
NV
15,780‌
369‌
Kraft
Heinz
Co/The
(b)
5,814‌
144‌
Lamb
Weston
Holdings
Inc
1,486‌
129‌
McCormick
&
Co
Inc/MD
1,063‌
155‌
Mondelez
International
Inc
977‌
52‌
Performance
Food
Group
Co
(e)
1,989‌
84‌
Post
Holdings
Inc
(e)
18,661‌
1,890‌
Seven
&
i
Holdings
Co
Ltd
16,900‌
575‌
Simply
Good
Foods
Co/The
(e)
8,832‌
195‌
Tyson
Foods
Inc
(b)
8,019‌
544‌
Viscofan
SA
2,267‌
121‌
$
6,427‌
Food
Service
-
0.08%
Compass
Group
PLC
25,163‌
554‌
Elior
Group
SA
(g)
11,611‌
147‌
$
701‌
Forest
Products
&
Paper
-
0.08%
International
Paper
Co
(b)
4,904‌
181‌
Mondi
PLC
8,960‌
182‌
Schweitzer-Mauduit
International
Inc
2,593‌
88‌
Smurfit
Kappa
Group
PLC
8,472‌
285‌
$
736‌
Gas
-
0.10%
Centrica
PLC
95,349‌
88‌
New
Jersey
Resources
Corp
2,200‌
78‌
Osaka
Gas
Co
Ltd
29,600‌
474‌
UGI
Corp
8,363‌
301‌
$
941‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Hand
&
Machine
Tools
-
0.08%
Disco
Corp
600‌
$
122‌
Kennametal
Inc
2,922‌
81‌
Makita
Corp
500‌
17‌
Stanley
Black
&
Decker
Inc
(b)
3,498‌
503‌
$
723‌
Healthcare
-
Products
-
1.09%
Abbott
Laboratories
7,022‌
541‌
ABIOMED
Inc
(b),(e)
1,860‌
279‌
Align
Technology
Inc
(b),(e)
1,256‌
274‌
Carl
Zeiss
Meditec
AG
811‌
86‌
Cellavision
AB
3,070‌
93‌
Cochlear
Ltd
3,851‌
527‌
Coloplast
A/S
174‌
23‌
Danaher
Corp
(b)
3,817‌
552‌
DiaSorin
SpA
1,537‌
176‌
Edwards
Lifesciences
Corp
(b),(e)
861‌
176‌
Elekta
AB
6,560‌
70‌
Globus
Medical
Inc
(e)
1,186‌
54‌
Haemonetics
Corp
(e)
1,334‌
145‌
Henry
Schein
Inc
(b),(e)
8,421‌
513‌
Hill-Rom
Holdings
Inc
1,033‌
99‌
Insulet
Corp
(e)
2,337‌
444‌
Intuitive
Surgical
Inc
(e)
881‌
470‌
Koninklijke
Philips
NV
9,063‌
388‌
Medtronic
PLC
(b)
16,378‌
1,649‌
Natus
Medical
Inc
(e)
2,437‌
66‌
Novocure
Ltd
(e)
517‌
38‌
Olympus
Corp
13,600‌
246‌
OraSure
Technologies
Inc
(e)
6,383‌
39‌
Sonova
Holding
AG
91‌
22‌
STERIS
PLC
1,675‌
266‌
Sysmex
Corp
3,800‌
243‌
Tandem
Diabetes
Care
Inc
(e)
2,368‌
177‌
Thermo
Fisher
Scientific
Inc
(b)
2,421‌
704‌
Varian
Medical
Systems
Inc
(b),(e)
11,585‌
1,424‌
Zimmer
Biomet
Holdings
Inc
358‌
49‌
$
9,833‌
Healthcare
-
Services
-
0.52%
DaVita
Inc
(b),(e)
3,510‌
272‌
HCA
Healthcare
Inc
2,636‌
335‌
Humana
Inc
(b)
3,176‌
1,015‌
IQVIA
Holdings
Inc
(e)
5,350‌
746‌
Laboratory
Corp
of
America
Holdings
(e)
1,877‌
330‌
Lonza
Group
AG
1,870‌
746‌
Orpea
1,582‌
205‌
Quest
Diagnostics
Inc
(b)
2,881‌
306‌
Sonic
Healthcare
Ltd
1,203‌
23‌
Teladoc
Health
Inc
(e)
693‌
87‌
UnitedHealth
Group
Inc
(b)
1,690‌
431‌
Universal
Health
Services
Inc
(b)
1,429‌
177‌
$
4,673‌
Holding
Companies
-
Diversified
-
0.02%
CK
Hutchison
Holdings
Ltd
14,500‌
128‌
US
Well
Services
Inc
-
Warrants
(e)
103,668‌
5‌
Washington
H
Soul
Pattinson
&
Co
Ltd
852‌
11‌
$
144‌
Home
Builders
-
0.41%
Berkeley
Group
Holdings
PLC
7,911‌
488‌
Cairn
Homes
PLC
143,660‌
194‌
Cavco
Industries
Inc
(e)
623‌
126‌
DR
Horton
Inc
363‌
19‌
Glenveagh
Properties
PLC
(e),(g)
183,548‌
153‌
Installed
Building
Products
Inc
(e)
1,405‌
93‌
Kaufman
&
Broad
SA
3,486‌
141‌
Lennar
Corp
-
A
Shares
556‌
33‌
NVR
Inc
(b),(e)
426‌
1,562‌
Persimmon
PLC
11,568‌
428‌
PulteGroup
Inc
(b)
7,470‌
301‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
126
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Home
Builders
(continued)
Skyline
Champion
Corp
(e)
7,069‌
$
180‌
$
3,718‌
Home
Furnishings
-
0.11%
Hoshizaki
Corp
6,800‌
576‌
Leggett
&
Platt
Inc
(b)
7,334‌
291‌
Whirlpool
Corp
881‌
113‌
$
980‌
Housewares
-
0.03%
Newell
Brands
Inc
(b)
19,910‌
307‌
Insurance
-
2.11%
Admiral
Group
PLC
17,435‌
479‌
Aflac
Inc
(b)
8,460‌
363‌
Alleghany
Corp
(e)
1,861‌
1,251‌
Allianz
SE
1,463‌
319‌
Allstate
Corp/The
(b)
2,332‌
245‌
Aon
PLC
1,485‌
309‌
Arthur
J
Gallagher
&
Co
1,935‌
189‌
Assurant
Inc
(b)
2,217‌
267‌
Beazley
PLC
22,100‌
153‌
Berkshire
Hathaway
Inc
-
Class
B
(b),(e)
16,748‌
3,455‌
Chubb
Ltd
(b)
2,010‌
291‌
Cincinnati
Financial
Corp
(b)
4,515‌
420‌
CNP
Assurances
11,002‌
173‌
Direct
Line
Insurance
Group
PLC
27,649‌
110‌
Everest
Re
Group
Ltd
318‌
79‌
Fairfax
Financial
Holdings
Ltd
1,100‌
474‌
Fidelity
National
Financial
Inc
(b)
23,435‌
908‌
Genworth
Financial
Inc
157,697‌
615‌
Globe
Life
Inc
(b)
3,516‌
326‌
Hartford
Financial
Services
Group
Inc/The
(b)
3,959‌
198‌
Insurance
Australia
Group
Ltd
288,150‌
1,213‌
James
River
Group
Holdings
Ltd
2,382‌
96‌
Lancashire
Holdings
Ltd
9,600‌
90‌
Loews
Corp
801‌
37‌
Markel
Corp
(b),(e)
1,226‌
1,449‌
Marsh
&
McLennan
Cos
Inc
(b)
9,068‌
948‌
MBIA
Inc
(e)
8,587‌
67‌
Medibank
Pvt
Ltd
28,877‌
54‌
MetLife
Inc
(b)
5,463‌
234‌
NMI
Holdings
Inc
(e)
3,150‌
74‌
NN
Group
NV
1,775‌
61‌
Progressive
Corp/The
5,662‌
414‌
Prudential
Financial
Inc
46‌
3‌
Radian
Group
Inc
5,027‌
107‌
RSA
Insurance
Group
PLC
16,325‌
109‌
Sampo
Oyj
20,860‌
852‌
Sony
Financial
Holdings
Inc
22,181‌
442‌
Third
Point
Reinsurance
Ltd
(e)
7,017‌
63‌
Travelers
Cos
Inc/The
(b)
826‌
99‌
Tryg
A/S
10,091‌
283‌
Unum
Group
462‌
11‌
White
Mountains
Insurance
Group
Ltd
266‌
263‌
Willis
Towers
Watson
PLC
6,812‌
1,289‌
WR
Berkley
Corp
2,101‌
141‌
$
19,023‌
Internet
-
2.01%
Adevinta
ASA
-
B
Shares
(e)
29,845‌
310‌
Alphabet
Inc
-
A
Shares
(b),(e)
2,350‌
3,147‌
Amazon.com
Inc
(b),(e)
1,586‌
2,988‌
Booking
Holdings
Inc
(e)
461‌
782‌
Cardlytics
Inc
(e)
629‌
50‌
CDW
Corp/DE
883‌
101‌
Cerved
Group
SpA
21,559‌
205‌
DraftKings
Inc
(e),(f),(h),(i)
54,277‌
280‌
eBay
Inc
(b)
30,447‌
1,055‌
Expedia
Group
Inc
178‌
18‌
Facebook
Inc
(b),(e)
7,117‌
1,369‌
GoDaddy
Inc
(e)
9,405‌
658‌
JD.com
Inc
ADR
(e)
11,463‌
441‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Internet
(continued)
Kakaku.com
Inc
13,000‌
$
278‌
Klarna
Holding
AB
(e),(f),(h),(i)
808‌
190‌
Limelight
Networks
Inc
(e)
23,328‌
118‌
Match
Group
Inc
(e)
803‌
52‌
Mimecast
Ltd
(e)
3,323‌
132‌
MonotaRO
Co
Ltd
33,900‌
755‌
Netflix
Inc
(e)
1,069‌
395‌
NortonLifeLock
Inc
(b)
44,086‌
839‌
Pinterest
Inc
(e)
1,321‌
26‌
Proofpoint
Inc
(e)
700‌
75‌
Rubicon
Project
Inc/The
(e)
9,000‌
102‌
Scout24
AG
(g)
5,701‌
375‌
Spotify
Technology
SA
(e)
2,682‌
368‌
TripAdvisor
Inc
(b)
1,249‌
29‌
Uber
Technologies
Inc
(e)
42,792‌
1,449‌
VeriSign
Inc
(b),(e)
2,964‌
562‌
Z
Holdings
Corp
266,825‌
968‌
$
18,117‌
Iron
&
Steel
-
0.22%
Evraz
PLC
131,704‌
563‌
Hitachi
Metals
Ltd
88,957‌
1,281‌
Nucor
Corp
(b)
3,299‌
136‌
Reliance
Steel
&
Aluminum
Co
41‌
4‌
$
1,984‌
Leisure
Products
&
Services
-
0.28%
BRP
Inc
2,122‌
87‌
Carnival
Corp
(b)
14,102‌
472‌
CTS
Eventim
AG
&
Co
KGaA
3,659‌
196‌
Malibu
Boats
Inc
(e)
1,834‌
81‌
MIPS
AB
6,549‌
146‌
Norwegian
Cruise
Line
Holdings
Ltd
(e)
1,732‌
64‌
Peloton
Interactive
Inc
(e)
7,496‌
200‌
Planet
Fitness
Inc
(e)
3,633‌
245‌
Shimano
Inc
6,400‌
889‌
Thule
Group
AB
(g)
5,653‌
124‌
$
2,504‌
Lodging
-
0.22%
Choice
Hotels
International
Inc
6,075‌
555‌
Hilton
Worldwide
Holdings
Inc
(b)
6,504‌
632‌
InterContinental
Hotels
Group
PLC
1,048‌
58‌
MGM
Resorts
International
(b)
19,766‌
485‌
Wyndham
Hotels
&
Resorts
Inc
4,260‌
217‌
Wynn
Macau
Ltd
9,600‌
20‌
$
1,967‌
Machinery
-
Construction
&
Mining
-
0.14%
Argan
Inc
3,534‌
148‌
Astec
Industries
Inc
2,438‌
92‌
Caterpillar
Inc
3,859‌
479‌
Mitsubishi
Heavy
Industries
Ltd
400‌
13‌
Sandvik
AB
29,959‌
499‌
$
1,231‌
Machinery
-
Diversified
-
0.60%
Atlas
Copco
AB
-
A
Shares
5,442‌
194‌
Chart
Industries
Inc
(e)
1,024‌
58‌
Curtiss-Wright
Corp
784‌
94‌
Deere
&
Co
180‌
28‌
Dover
Corp
(b)
10,984‌
1,129‌
Flowserve
Corp
(b)
151‌
6‌
GEA
Group
AG
2,233‌
60‌
Hexagon
AB
11,282‌
608‌
Ichor
Holdings
Ltd
(e)
2,633‌
76‌
IDEX
Corp
(b)
10,009‌
1,481‌
Inficon
Holding
AG
159‌
112‌
Interpump
Group
SpA
5,309‌
161‌
Keyence
Corp
100‌
32‌
Kone
Oyj
5,913‌
335‌
Marel
HF
(g)
28,882‌
129‌
Rockwell
Automation
Inc
2,791‌
512‌
Spirax-Sarco
Engineering
PLC
993‌
109‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
127
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Machinery
-
Diversified
(continued)
Stabilus
SA
2,321‌
$
127‌
Washtec
AG
2,580‌
140‌
Westinghouse
Air
Brake
Technologies
Corp
267‌
18‌
$
5,409‌
Media
-
0.72%
Altice
USA
Inc
(e)
32,444‌
839‌
Charter
Communications
Inc
(b),(e)
3,278‌
1,617‌
Comcast
Corp
-
Class
A
519‌
21‌
Discovery
Inc
-
A
Shares
(e)
9,401‌
241‌
Discovery
Inc
-
C
Shares
(b),(e)
24,249‌
609‌
DISH
Network
Corp
(e)
767‌
26‌
FactSet
Research
Systems
Inc
687‌
183‌
Fox
Corp
-
A
Shares
1,075‌
33‌
iHeartMedia
Inc
(e)
18,582‌
281‌
Liberty
Global
PLC
-
A
Shares
(e)
2,800‌
55‌
Liberty
Global
PLC
-
C
Shares
(e)
13,895‌
258‌
Quebecor
Inc
6,800‌
159‌
Shaw
Communications
Inc
15,700‌
272‌
TEGNA
Inc
5,922‌
85‌
Telenet
Group
Holding
NV
5,335‌
205‌
ViacomCBS
Inc
501‌
12‌
Walt
Disney
Co/The
(b)
8,578‌
1,009‌
Wolters
Kluwer
NV
8,345‌
610‌
$
6,515‌
Metal
Fabrication
&
Hardware
-
0.06%
Advanced
Drainage
Systems
Inc
3,556‌
149‌
Rexnord
Corp
8,106‌
237‌
Troax
Group
AB
10,341‌
131‌
$
517‌
Mining
-
0.46%
BHP
Group
Ltd
24,722‌
537‌
BHP
Group
PLC
20,737‌
379‌
Compass
Minerals
International
Inc
1,263‌
69‌
Ecobat
Holdings,
Inc
-
Class
B
(e)
2,998‌
2,014‌
First
Quantum
Minerals
Ltd
5,200‌
38‌
Franco-Nevada
Corp
1,700‌
182‌
Kinross
Gold
Corp
(e)
36,300‌
183‌
Kirkland
Lake
Gold
Ltd
12,300‌
397‌
Rio
Tinto
PLC
4,033‌
190‌
Teck
Resources
Ltd
17,100‌
172‌
$
4,161‌
Miscellaneous
Manufacturers
-
0.51%
3M
Co
(b)
4,850‌
724‌
Alstom
SA
3,968‌
196‌
AO
Smith
Corp
(b)
3,534‌
140‌
Eaton
Corp
PLC
(b)
9,039‌
819‌
Enerpac
Tool
Group
Corp
4,244‌
91‌
Illinois
Tool
Works
Inc
(b)
8,050‌
1,351‌
Ingersoll-Rand
PLC
(b)
7,173‌
925‌
ITT
Inc
1,743‌
105‌
JSR
Corp
7,923‌
138‌
Sturm
Ruger
&
Co
Inc
1,723‌
83‌
$
4,572‌
Office
&
Business
Equipment
-
0.08%
Xerox
Holdings
Corp
(b)
7,677‌
247‌
Zebra
Technologies
Corp
(b),(e)
2,069‌
437‌
$
684‌
Office
Furnishings
-
0.01%
Knoll
Inc
3,929‌
69‌
Oil
&
Gas
-
0.94%
Apache
Corp
(b)
25,378‌
632‌
Bellatrix
Exploration
Ltd
(e),(f),(h)
94,641‌
—‌
Cabot
Oil
&
Gas
Corp
1,037‌
15‌
Chevron
Corp
(b)
9,131‌
852‌
Concho
Resources
Inc
13,062‌
889‌
ConocoPhillips
(b)
21,386‌
1,036‌
Continental
Resources
Inc/OK
4,741‌
90‌
DCC
PLC
63‌
5‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Oil
&
Gas
(continued)
Devon
Energy
Corp
(b)
573‌
$
9‌
Dommo
Energia
SA
ADR
(e)
269‌
1‌
EOG
Resources
Inc
(b)
10,951‌
693‌
Exxon
Mobil
Corp
18,029‌
927‌
Helmerich
&
Payne
Inc
(b)
2,446‌
90‌
HollyFrontier
Corp
(b)
14,173‌
477‌
JXTG
Holdings
Inc
97,537‌
395‌
Lundin
Petroleum
AB
13,533‌
386‌
Marathon
Petroleum
Corp
(b)
1,880‌
89‌
Neste
Oyj
14,348‌
573‌
Occidental
Petroleum
Corp
(b)
12,400‌
406‌
Ovintiv
Inc
13,260‌
153‌
Phillips
66
(b)
2,946‌
221‌
Royal
Dutch
Shell
PLC
-
A
Shares
5,143‌
111‌
Suncor
Energy
Inc
5,200‌
143‌
Valero
Energy
Corp
3,695‌
245‌
Whiting
Petroleum
Corp
(e)
14,653‌
27‌
$
8,465‌
Oil
&
Gas
Services
-
0.13%
DMC
Global
Inc
2,124‌
76‌
Halliburton
Co
(b)
19,201‌
326‌
National
Oilwell
Varco
Inc
(b)
14,511‌
271‌
TechnipFMC
PLC
(b)
25,590‌
380‌
TGS
NOPEC
Geophysical
Co
ASA
5,174‌
121‌
$
1,174‌
Packaging
&
Containers
-
0.32%
Amcor
PLC
13,203‌
123‌
Ball
Corp
5,354‌
377‌
Crown
Holdings
Inc
(e)
5,515‌
389‌
Graphic
Packaging
Holding
Co
53,959‌
730‌
Packaging
Corp
of
America
(b)
1,534‌
139‌
Sealed
Air
Corp
(b)
30,213‌
916‌
Vidrala
SA
2,045‌
199‌
$
2,873‌
Pharmaceuticals
-
1.92%
AbbVie
Inc
(b)
25,031‌
2,146‌
Aerie
Pharmaceuticals
Inc
(e)
2,237‌
39‌
Aimmune
Therapeutics
Inc
(e)
1,948‌
46‌
Allergan
PLC
1,643‌
313‌
AmerisourceBergen
Corp
(b)
2,070‌
174‌
Astellas
Pharma
Inc
38,200‌
599‌
AstraZeneca
PLC
ADR
2,483‌
109‌
AstraZeneca
PLC
1,923‌
169‌
Becton
Dickinson
and
Co
602‌
143‌
Bristol-Myers
Squibb
Co
(b)
31,492‌
1,860‌
China
Biologic
Products
Holdings
Inc
(e)
6,571‌
758‌
Chugai
Pharmaceutical
Co
Ltd
1,600‌
172‌
Cigna
Corp
(b)
644‌
118‌
CVS
Health
Corp
(b)
27,941‌
1,653‌
DexCom
Inc
(e)
1,409‌
389‌
Elanco
Animal
Health
Inc
(e)
30,630‌
839‌
Galapagos
NV
ADR
(e)
246‌
52‌
Galapagos
NV
(e)
754‌
159‌
GlaxoSmithKline
PLC
749‌
15‌
Global
Blood
Therapeutics
Inc
(e)
1,725‌
110‌
Grifols
SA
ADR
3,047‌
65‌
Ipsen
SA
898‌
59‌
Jazz
Pharmaceuticals
PLC
(b),(e)
958‌
110‌
Johnson
&
Johnson
(b)
9,309‌
1,251‌
KalVista
Pharmaceuticals
Inc
(e)
3,953‌
53‌
Kyowa
Kirin
Co
Ltd
13,703‌
327‌
Merck
&
Co
Inc
(b)
8,786‌
673‌
Mylan
NV
(b),(e)
8,451‌
145‌
MyoKardia
Inc
(e)
877‌
56‌
Novartis
AG
4,195‌
353‌
Novo
Nordisk
A/S
6,840‌
401‌
Odonate
Therapeutics
Inc
(e)
1,847‌
55‌
Otsuka
Holdings
Co
Ltd
1,400‌
52‌
Pfizer
Inc
(b)
15,162‌
507‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
128
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Pharmaceuticals
(continued)
PRA
Health
Sciences
Inc
(e)
950‌
$
89‌
Principia
Biopharma
Inc
(e)
600‌
39‌
Rhythm
Pharmaceuticals
Inc
(e)
3,260‌
62‌
Roche
Holding
AG
7,229‌
2,324‌
Sarepta
Therapeutics
Inc
(e)
800‌
92‌
Shionogi
&
Co
Ltd
600‌
32‌
Sumitomo
Dainippon
Pharma
Co
Ltd
30,396‌
434‌
UCB
SA
2,095‌
194‌
$
17,236‌
Pipelines
-
0.08%
Enterprise
Products
Partners
LP
751‌
17‌
Kinder
Morgan
Inc/DE
(b)
35,697‌
684‌
Magellan
Midstream
Partners
LP
358‌
20‌
Southcross
Holdings
(e),(f),(h)
388,623‌
39‌
$
760‌
Private
Equity
-
0.02%
3i
Group
PLC
3,228‌
43‌
Blackstone
Group
Inc/The
2,702‌
145‌
$
188‌
Real
Estate
-
0.10%
Catena
AB
4,280‌
143‌
CBRE
Group
Inc
(b),(e)
4,828‌
271‌
CK
Asset
Holdings
Ltd
23,500‌
150‌
Daito
Trust
Construction
Co
Ltd
1,900‌
193‌
Hill
Street
(e),(f),(h)
222‌
6‌
Hill
Street
-
Warrants
(e),(f),(h)
377‌
—‌
LEG
Immobilien
AG
1,383‌
166‌
REA
Group
Ltd
158‌
10‌
WE
Company
Common
Class
A
(e),(f),(h),(i)
356‌
3‌
$
942‌
REITs
-
0.75%
Agree
Realty
Corp
1,306‌
94‌
Alexandria
Real
Estate
Equities
Inc
(b)
2,086‌
317‌
American
Tower
Corp
3,605‌
817‌
AvalonBay
Communities
Inc
505‌
101‌
Big
Yellow
Group
PLC
8,191‌
114‌
Boston
Properties
Inc
107‌
14‌
CoreCivic
Inc
5,425‌
80‌
Dexus
1,657‌
13‌
Digital
Realty
Trust
Inc
(b)
1,588‌
191‌
Duke
Realty
Corp
(b)
2,412‌
78‌
Easterly
Government
Properties
Inc
4,531‌
108‌
Equity
Residential
790‌
59‌
Extra
Space
Storage
Inc
(b)
4,123‌
414‌
Federal
Realty
Investment
Trust
515‌
60‌
Gaming
and
Leisure
Properties
Inc
320‌
14‌
Goodman
Group
11,129‌
109‌
Hibernia
REIT
plc
96,428‌
130‌
Iron
Mountain
Inc
692‌
21‌
Japan
Real
Estate
Investment
Corp
24‌
164‌
Japan
Retail
Fund
Investment
Corp
81‌
154‌
Kimco
Realty
Corp
(b)
918‌
16‌
Mid-America
Apartment
Communities
Inc
(b)
2,347‌
303‌
Monmouth
Real
Estate
Investment
Corp
6,726‌
96‌
Outfront
Media
Inc
3,100‌
82‌
Pebblebrook
Hotel
Trust
3,151‌
64‌
Piedmont
Office
Realty
Trust
Inc
3,800‌
82‌
PotlatchDeltic
Corp
5,486‌
202‌
Prologis
Inc
(b)
1,352‌
114‌
Public
Storage
(b)
3,956‌
827‌
Realty
Income
Corp
(b)
4,024‌
291‌
RPT
Realty
6,108‌
79‌
Scentre
Group
12,042‌
27‌
Segro
PLC
13,265‌
141‌
Simon
Property
Group
Inc
(b)
5,913‌
728‌
UDR
Inc
1,251‌
56‌
Vicinity
Centres
135,054‌
191‌
Welltower
Inc
1,407‌
105‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
REITs
(continued)
Weyerhaeuser
Co
(b)
10,485‌
$
273‌
$
6,729‌
Retail
-
2.63%
ABC-Mart
Inc
4,100‌
236‌
Advance
Auto
Parts
Inc
(b)
7,095‌
944‌
Alimentation
Couche-Tard
Inc
19,647‌
597‌
AutoZone
Inc
(b),(e)
1,964‌
2,028‌
Best
Buy
Co
Inc
(b)
2,713‌
205‌
Burlington
Stores
Inc
(e)
545‌
118‌
Cannae
Holdings
Inc
(e)
3,800‌
142‌
CarMax
Inc
(e)
4,902‌
428‌
Cheesecake
Factory
Inc/The
4,054‌
144‌
Children's
Place
Inc/The
2,258‌
130‌
Costco
Wholesale
Corp
(b)
1,297‌
365‌
Dollar
General
Corp
(b)
6,102‌
917‌
Domino's
Pizza
Inc
(b)
1,608‌
546‌
FamilyMart
Co
Ltd
17,100‌
373‌
Fast
Retailing
Co
Ltd
400‌
197‌
Five
Below
Inc
(e)
818‌
79‌
Floor
&
Decor
Holdings
Inc
(e)
4,552‌
232‌
Gap
Inc/The
(b)
43,863‌
629‌
Genuine
Parts
Co
1,670‌
146‌
Hennes
&
Mauritz
AB
19,144‌
347‌
Home
Depot
Inc/The
(b)
9,895‌
2,155‌
Jand
Inc
(e),(f),(h),(i)
1,693‌
27‌
Kohl's
Corp
(b)
12,578‌
492‌
Lowe's
Cos
Inc
(b)
17,203‌
1,833‌
Macy's
Inc
12,329‌
163‌
McDonald's
Corp
(b)
2,792‌
543‌
McDonald's
Holdings
Co
Japan
Ltd
8,900‌
375‌
Michaels
Cos
Inc/The
(e)
8,557‌
37‌
Moncler
SpA
7,529‌
296‌
Movado
Group
Inc
4,361‌
64‌
Next
PLC
3,912‌
308‌
Nitori
Holdings
Co
Ltd
2,700‌
375‌
Pandora
A/S
1,174‌
53‌
Panera
Bread
Co
(e),(f),(h)
1,664‌
—‌
Restaurant
Brands
International
Inc
1,000‌
59‌
Starbucks
Corp
(b)
11,563‌
907‌
Sundrug
Co
Ltd
11,200‌
349‌
Target
Corp
(b)
14,671‌
1,511‌
TJX
Cos
Inc/The
(b)
27,201‌
1,627‌
Tractor
Supply
Co
2,665‌
236‌
Vera
Bradley
Inc
(e)
5,872‌
49‌
Walgreens
Boots
Alliance
Inc
(b)
3,604‌
165‌
Walmart
Inc
(b)
13,942‌
1,501‌
Welcia
Holdings
Co
Ltd
5,600‌
334‌
Wesfarmers
Ltd
7,445‌
199‌
Yum
China
Holdings
Inc
1,747‌
77‌
Yum!
Brands
Inc
(b)
13,094‌
1,168‌
$
23,706‌
Savings
&
Loans
-
0.02%
OceanFirst
Financial
Corp
4,001‌
82‌
Sterling
Bancorp/DE
4,323‌
71‌
$
153‌
Semiconductors
-
1.46%
Advanced
Micro
Devices
Inc
(e)
8,764‌
399‌
Applied
Materials
Inc
(b)
21,929‌
1,274‌
ASML
Holding
NV
2,095‌
581‌
BE
Semiconductor
Industries
NV
2,132‌
83‌
Broadcom
Inc
(b)
2,869‌
782‌
Entegris
Inc
2,325‌
124‌
FormFactor
Inc
(e)
4,151‌
93‌
Hamamatsu
Photonics
KK
4,700‌
183‌
Intel
Corp
(b)
27,388‌
1,520‌
IPG
Photonics
Corp
(e)
129‌
16‌
KLA
Corp
407‌
63‌
Lam
Research
Corp
(b)
4,177‌
1,226‌
Marvell
Technology
Group
Ltd
7,392‌
157‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
129
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Semiconductors
(continued)
Maxim
Integrated
Products
Inc
8,898‌
$
495‌
Microchip
Technology
Inc
3,314‌
301‌
Micron
Technology
Inc
(e)
2,704‌
142‌
NVIDIA
Corp
(b)
3,720‌
1,005‌
NXP
Semiconductors
NV
92‌
10‌
Qorvo
Inc
(b),(e)
10,741‌
1,080‌
QUALCOMM
Inc
(b)
7,734‌
606‌
Renesas
Electronics
Corp
(e)
61,793‌
376‌
Rohm
Co
Ltd
5,288‌
346‌
Silicon
Motion
Technology
Corp
ADR
2,066‌
77‌
Skyworks
Solutions
Inc
(b)
8,110‌
812‌
SOITEC
(e)
1,618‌
135‌
Texas
Instruments
Inc
(b)
5,875‌
671‌
Tokyo
Electron
Ltd
1,000‌
209‌
Tower
Semiconductor
Ltd
(e)
14,452‌
286‌
Xperi
Corp
5,005‌
86‌
$
13,138‌
Shipbuilding
-
0.01%
Huntington
Ingalls
Industries
Inc
426‌
88‌
Software
-
2.44%
Activision
Blizzard
Inc
2,426‌
141‌
Adobe
Inc
(e)
4,145‌
1,431‌
Akamai
Technologies
Inc
(b),(e)
2,352‌
203‌
Avid
Technology
Inc
(e)
10,255‌
76‌
Bandwidth
Inc
(e)
2,665‌
168‌
Black
Knight
Inc
(e)
6,546‌
437‌
Cadence
Design
Systems
Inc
(b),(e)
9,879‌
653‌
CDK
Global
Inc
9,140‌
421‌
Cerner
Corp
(b)
3,380‌
234‌
Change
Healthcare
Inc
(e)
69,838‌
949‌
Citrix
Systems
Inc
(b)
8,478‌
877‌
Cloudera
Inc
(e)
12,392‌
110‌
Constellation
Software
Inc/Canada
608‌
619‌
CSG
Systems
International
Inc
1,787‌
79‌
Dassault
Systemes
SE
4,040‌
641‌
Dropbox
Inc
-
A
Shares
(b),(e)
15,314‌
300‌
Electronic
Arts
Inc
(b),(e)
774‌
78‌
Envestnet
Inc
(e)
1,431‌
108‌
Everbridge
Inc
(e)
734‌
78‌
Fair
Isaac
Corp
(e)
333‌
125‌
Fidelity
National
Information
Services
Inc
8,025‌
1,121‌
Five9
Inc
(e)
1,290‌
94‌
Guidewire
Software
Inc
(e)
3,072‌
337‌
HubSpot
Inc
(e)
578‌
104‌
Microsoft
Corp
(b)
33,708‌
5,461‌
MINDBODY
Inc
(e),(f),(h)
9,229‌
337‌
MSCI
Inc
(b)
2,953‌
872‌
Omnicell
Inc
(e)
2,940‌
240‌
Oracle
Corp
(b)
22,729‌
1,124‌
Paychex
Inc
6,935‌
537‌
PROS
Holdings
Inc
(e)
931‌
43‌
SAP
SE
5,669‌
708‌
ServiceNow
Inc
(b),(e)
937‌
305‌
SimCorp
A/S
606‌
58‌
Slack
Technologies
Inc
(e)
8,558‌
231‌
Splunk
Inc
(e)
2,550‌
376‌
Tabula
Rasa
HealthCare
Inc
(e)
1,588‌
89‌
Take-Two
Interactive
Software
Inc
(b),(e)
6,797‌
731‌
Ubisoft
Entertainment
SA
(e)
45‌
3‌
Veeva
Systems
Inc
(b),(e)
2,625‌
373‌
Workday
Inc
(e)
5,849‌
1,013‌
Zoom
Video
Communications
Inc
(e)
658‌
69‌
$
21,954‌
Telecommunications
-
0.91%
AT&T
Inc
(b)
58,814‌
2,071‌
Calix
Inc
(e)
12,359‌
111‌
Cisco
Systems
Inc
(b)
17,890‌
714‌
Corning
Inc
(b)
10,801‌
258‌
Deutsche
Telekom
AG
51,644‌
846‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Telecommunications
(continued)
Elisa
Oyj
539‌
$
31‌
Harmonic
Inc
(e)
16,089‌
99‌
Hellenic
Telecommunications
Organization
SA
11,201‌
159‌
Hikari
Tsushin
Inc
100‌
19‌
HMS
Networks
AB
4,996‌
66‌
InterDigital
Inc
1,443‌
76‌
Juniper
Networks
Inc
(b)
6,907‌
147‌
Motorola
Solutions
Inc
(b)
10,623‌
1,760‌
Oi
SA
ADR
(e)
4,925‌
5‌
Ooma
Inc
(e)
5,756‌
74‌
Plantronics
Inc
2,630‌
36‌
Rogers
Communications
Inc
1,600‌
73‌
Sectra
AB
-
B
Shares
(e)
2,648‌
97‌
SES
SA
3,633‌
42‌
Softbank
Corp
9,600‌
126‌
SoftBank
Group
Corp
25,686‌
1,194‌
Spark
New
Zealand
Ltd
7,108‌
20‌
T-Mobile
US
Inc
(b),(e)
1,339‌
121‌
Verizon
Communications
Inc
(b)
1,278‌
69‌
$
8,214‌
Textiles
-
0.00%
Mohawk
Industries
Inc
(e)
377‌
46‌
Toys,
Games
&
Hobbies
-
0.07%
Games
Workshop
Group
PLC
1,676‌
137‌
Nintendo
Co
Ltd
1,400‌
470‌
$
607‌
Transportation
-
0.52%
Aurizon
Holdings
Ltd
59,726‌
190‌
Canadian
National
Railway
Co
5,155‌
437‌
Canadian
Pacific
Railway
Ltd
400‌
99‌
Central
Japan
Railway
Co
1,800‌
296‌
CH
Robinson
Worldwide
Inc
(b)
3,234‌
223‌
CSX
Corp
(b)
418‌
29‌
Dorian
LPG
Ltd
(e)
19,152‌
213‌
East
Japan
Railway
Co
100‌
8‌
Expeditors
International
of
Washington
Inc
(b)
7,858‌
554‌
Hub
Group
Inc
(e)
1,600‌
74‌
JB
Hunt
Transport
Services
Inc
2,846‌
274‌
Kansas
City
Southern
(b)
3,770‌
568‌
Scorpio
Tankers
Inc
8,843‌
175‌
SEACOR
Holdings
Inc
(e)
4,543‌
169‌
Seibu
Holdings
Inc
36,200‌
513‌
Union
Pacific
Corp
(b)
4,766‌
762‌
United
Parcel
Service
Inc
991‌
90‌
$
4,674‌
Trucking
&
Leasing
-
0.03%
GATX
Corp
3,447‌
247‌
Water
-
0.03%
Veolia
Environnement
SA
7,879‌
227‌
TOTAL
COMMON
STOCKS
$
343,421‌
CONVERTIBLE
PREFERRED
STOCKS
-
0.11%
Shares
Held
Value
(000's)
Agriculture
-
0.08%
Bunge
Ltd
4.88%
(j)
6,930‌
$
693‌
Internet
-
0.02%
Airbnb
Inc
-
Series
E
0.00%
(e),(f),(h),(i)
1,685‌
200‌
Oil
&
Gas
-
0.00%
Chesapeake
Energy
Corp
5.75%
(j)
355‌
46‌
Pipelines
-
0.00%
El
Paso
Energy
Capital
Trust
I
4.75%,
03/31/2028
452‌
23‌
Retail
-
0.01%
Jand
Inc
0.00%
(e),(f),(h),(i)
3,781‌
60‌
TOTAL
CONVERTIBLE
PREFERRED
STOCKS
$
1,022‌
PREFERRED
STOCKS
-
0.38%
Shares
Held
Value
(000's)
Automobile
Manufacturers
-
0.03%
Volkswagen
AG
6.56%
1,659‌
275‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
130
PREFERRED
STOCKS
(continued)
Shares
Held
Value
(000’s)
Chemicals
-
0.01%
FUCHS
PETROLUB
SE
0.97%
1,260‌
$
48‌
Internet
-
0.00%
Veracode
Inc
0.00%
(e),(f),(h),(i)
6,031‌
3‌
Pipelines
-
0.30%
Southcross
Energy
Series
A
0.00%
(e),(f),(h)
2,399,338‌
1,871‌
Southcross
Energy
Series
B
0.00%
(e),(f),(h)
703,848‌
845‌
$
2,716‌
Private
Equity
-
0.02%
Forward
Venture
Services
LLC
0.00%
(e),(f),(h),(i)
32,815‌
184‌
Real
Estate
-
0.01%
WE
Company
Preferred
D-1
0.00%
(e),(f),(h),(i)
4,867‌
54‌
WE
Company
Preferred
D-2
0.00%
(e),(f),(h),(i)
3,824‌
43‌
$
97‌
Software
-
0.01%
Marklogic
Corp
0.00%
(e),(f),(h),(i)
14,832‌
131‌
TOTAL
PREFERRED
STOCKS
$
3,454‌
BONDS
-
38.61%
Principal
Amount
(000's)
Value
(000's)
Advertising
-
0.01%
Outfront
Media
Capital
LLC
/
Outfront
Media
Capital
Corp
4.63%,
03/15/2030
(g)
$
120‌
$
120‌
Aerospace
&
Defense
-
0.09%
Leonardo
US
Holdings
Inc
6.25%,
01/15/2040
(g)
716‌
796‌
Spirit
AeroSystems
Inc
4.60%,
06/15/2028
35‌
35‌
$
831‌
Agriculture
-
0.28%
JBS
Investments
II
GmbH
7.00%,
01/15/2026
(g)
2,400‌
2,562‌
Airlines
-
0.16%
Latam
Airlines
2015-1
Pass
Through
Trust
B
4.50%,
08/15/2025
475‌
476‌
United
Airlines
2019-2
Class
B
Pass
Through
Trust
3.50%,
11/01/2029
925‌
959‌
$
1,435‌
Automobile
Asset
Backed
Securities
-
2.02%
Ally
Auto
Receivables
Trust
2019-4
1.84%,
06/17/2024
705‌
712‌
Americredit
Automobile
Receivables
Trust
2018-2
4.01%,
07/18/2024
550‌
583‌
Americredit
Automobile
Receivables
Trust
2018-3
1.91%,
01/18/2022
185‌
185‌
1.00
x
1
Month
USD
LIBOR
+
0.25%
4.04%,
11/18/2024
670‌
712‌
AmeriCredit
Automobile
Receivables
Trust
2019-3
2.06%,
04/18/2024
330‌
334‌
Avid
Automobile
Receivables
Trust
2019-1
3.14%,
07/15/2026
(g)
150‌
153‌
CarMax
Auto
Owner
Trust
2.64%,
07/15/2026
175‌
179‌
CarMax
Auto
Owner
Trust
2018-1
3.37%,
07/15/2024
25‌
26‌
CarMax
Auto
Owner
Trust
2018-2
3.99%,
04/15/2025
320‌
335‌
Carmax
Auto
Owner
Trust
2018-4
4.15%,
04/15/2025
205‌
217‌
Carmax
Auto
Owner
Trust
2019-1
3.05%,
03/15/2024
1,415‌
1,454‌
Chesapeake
Funding
II
LLC
3.57%,
04/15/2030
(g)
175‌
181‌
3.71%,
05/15/2029
(g)
130‌
133‌
3.92%,
04/15/2030
(g)
455‌
472‌
CIG
AUTO
RECEIVABLES
TRUST
2017-1
2.71%,
05/15/2023
(g)
15‌
15‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Automobile
Asset
Backed
Securities
(continued)
CPS
Auto
Receivables
Trust
2017-D
3.73%,
09/15/2023
(g)
$
190‌
$
194‌
CPS
Auto
Receivables
Trust
2018-A
3.05%,
12/15/2023
(g)
105‌
106‌
CPS
Auto
Receivables
Trust
2018-D
3.83%,
09/15/2023
(g)
330‌
339‌
Drive
Auto
Receivables
Trust
2018-1
3.81%,
05/15/2024
685‌
698‌
Drive
Auto
Receivables
Trust
2018-5
4.30%,
04/15/2026
420‌
437‌
Drive
Auto
Receivables
Trust
2019-1
4.09%,
06/15/2026
260‌
269‌
Drive
Auto
Receivables
Trust
2019-3
2.49%,
06/15/2023
205‌
207‌
DT
Auto
Owner
Trust
2018-2
4.15%,
03/15/2024
(g)
290‌
299‌
DT
Auto
Owner
Trust
2018-3
3.79%,
07/15/2024
(g)
395‌
404‌
First
Investors
Auto
Owner
Trust
2016-2
3.35%,
11/15/2022
(g)
70‌
71‌
First
Investors
Auto
Owner
Trust
2019-2
2.80%,
12/15/2025
(g)
75‌
77‌
3.88%,
01/15/2026
(g)
175‌
179‌
Flagship
Credit
Auto
Trust
2019-2
3.53%,
05/15/2025
(g)
520‌
545‌
Ford
Credit
Auto
Owner
Trust
2017-B
1.69%,
11/15/2021
653‌
653‌
GLS
Auto
Receivables
Issuer
Trust
2019-2
3.54%,
02/18/2025
(g)
785‌
812‌
Hertz
Vehicle
Financing
II
LP
3.29%,
10/25/2023
(g)
315‌
328‌
4.39%,
02/25/2024
(g)
135‌
142‌
5.31%,
10/25/2023
(g)
185‌
198‌
Honda
Auto
Receivables
2016-4
Owner
Trust
1.21%,
12/18/2020
9‌
9‌
Honda
Auto
Receivables
2017-3
Owner
Trust
1.79%,
09/20/2021
158‌
158‌
Motor
2017-1
PLC
2.16%,
09/25/2024
(g)
143‌
143‌
1.00
x
1
Month
USD
LIBOR
+
0.53%
Nissan
Auto
Receivables
2017-A
Owner
Trust
1.74%,
08/16/2021
100‌
100‌
Nissan
Auto
Receivables
2018-A
Owner
Trust
2.65%,
05/16/2022
622‌
626‌
Prestige
Auto
Receivables
Trust
2016-1
5.15%,
11/15/2021
(g)
815‌
827‌
Prestige
Auto
Receivables
Trust
2019-1
3.90%,
05/15/2026
(g)
145‌
149‌
Santander
Drive
Auto
Receivables
Trust
2018-2
3.88%,
02/15/2024
800‌
827‌
Santander
Drive
Auto
Receivables
Trust
2018-5
3.81%,
12/16/2024
490‌
499‌
Santander
Drive
Auto
Receivables
Trust
2019-2
3.22%,
07/15/2025
655‌
672‌
Tidewater
Auto
Receivables
Trust
2018-A
4.30%,
11/15/2024
(g)
100‌
103‌
Toyota
Auto
Receivables
2017-A
Owner
Trust
1.73%,
02/16/2021
37‌
37‌
Toyota
Auto
Receivables
2018-B
Owner
Trust
2.96%,
09/15/2022
1,190‌
1,203‌
United
Auto
Credit
Securitization
Trust
2019-1
3.16%,
08/12/2024
(g)
480‌
483‌
Westlake
Automobile
Receivables
Trust
2018-1
3.41%,
05/15/2023
(g)
175‌
177‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
131
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Automobile
Asset
Backed
Securities
(continued)
Westlake
Automobile
Receivables
Trust
2018-3
2.01%,
01/18/2022
(g)
$
291‌
$
291‌
1.00
x
1
Month
USD
LIBOR
+
0.35%
4.00%,
10/16/2023
(g)
225‌
233‌
$
18,186‌
Automobile
Floor
Plan
Asset
Backed
Securities
-
0.02%
Navistar
Financial
Dealer
Note
Master
Owner
Trust
II
2.26%,
09/25/2023
(g)
205‌
205‌
1.00
x
1
Month
USD
LIBOR
+
0.63%
Automobile
Manufacturers
-
0.08%
American
Honda
Finance
Corp
1.95%,
05/20/2022
300‌
304‌
2.10%,
05/10/2023
445‌
444‌
3
Month
USD
LIBOR
+
0.37%
$
748‌
Banks
-
1.74%
Banco
Hipotecario
SA
35.19%,
11/07/2022
(g)
ARS
10,245‌
156‌
Argentina
Deposit
Rates
Badlar
Private
Banks
ARS
30
to
35
Days
+
4.00%
Banco
Macro
SA
17.50%,
05/08/2022
(g)
5,115‌
45‌
Banco
Mercantil
del
Norte
SA/Grand
Cayman
6.75%,
12/31/2049
(g),(j),(k)
$
725‌
767‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.97%
6.75%,
12/31/2049
(j),(k)
1,925‌
2,036‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.97%
Banco
Supervielle
SA
38.71%,
08/09/2020
(g)
ARS
5,500‌
84‌
Argentina
Deposit
Rates
Badlar
Private
Banks
ARS
30
to
35
Days
+
4.50%
Bancolombia
SA
4.63%,
12/18/2029
(k)
$
1,500‌
1,528‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.94%
Bank
Leumi
Le-Israel
BM
3.28%,
01/29/2031
(g),(k)
2,975‌
2,971‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
1.63%
Citibank
NA
2.29%,
05/20/2022
1,170‌
1,173‌
3
Month
USD
LIBOR
+
0.60%
Danske
Bank
A/S
3.24%,
12/20/2025
(g),(k)
200‌
210‌
3
Month
USD
LIBOR
+
1.59%
Financiera
de
Desarrollo
Territorial
SA
Findeter
7.88%,
08/12/2024
(g)
COP
3,380,000‌
1,020‌
International
Bank
of
Azerbaijan
OJSC
3.50%,
09/01/2024
$
2,000‌
1,930‌
MUFG
Union
Bank
NA
1.94%,
12/09/2022
750‌
754‌
United
States
Secured
Overnight
Financing
Rate
+
0.71%
PNC
Bank
NA
2.32%,
12/09/2022
1,480‌
1,487‌
3
Month
USD
LIBOR
+
0.43%
US
Bank
NA/Cincinnati
OH
2.28%,
12/09/2022
1,500‌
1,507‌
3
Month
USD
LIBOR
+
0.40%
$
15,668‌
Building
Materials
-
0.01%
Carrier
Global
Corp
1.92%,
02/15/2023
(g)
105‌
106‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Mortgage
Backed
Securities
-
5.06%
Banc
of
America
Commercial
Mortgage
Trust
2015-UBS7
3.17%,
09/15/2048
$
531‌
$
458‌
CCRESG
Commercial
Mortgage
Trust
2016-HEAT
5.49%,
04/10/2029
(g),(l)
255‌
261‌
COMM
2012-LC4
Mortgage
Trust
5.54%,
12/10/2044
(l)
10‌
11‌
COMM
2014-CCRE18
Mortgage
Trust
3.60%,
07/15/2047
(g)
1,925‌
1,616‌
COMM
2015-CCRE25
Mortgage
Trust
3.79%,
08/10/2048
(l)
2,280‌
2,111‌
COMM
2015-CCRE27
Mortgage
Trust
3.25%,
10/10/2048
(g)
2,800‌
2,338‌
COMM
2015-LC21
Mortgage
Trust
1.05%,
07/10/2048
(g),(l),(m)
10,000‌
540‌
1.05%,
07/10/2048
(g),(l),(m)
3,125‌
167‌
3.25%,
07/10/2048
(g)
1,012‌
846‌
COMM
2016-CR28
Mortgage
Trust
3.25%,
02/10/2049
(g)
850‌
705‌
Credit
Suisse
Commercial
Mortgage
Securities
Corp
2019-SLKZ
5.26%,
01/15/2034
(g)
155‌
155‌
1.00
x
1
Month
USD
LIBOR
+
3.60%
Csail
2015-C2
Commercial
Mortgage
Trust
4.19%,
06/15/2057
(l)
960‌
962‌
4.19%,
06/15/2057
(l)
2,184‌
2,006‌
CSAIL
2015-C3
Commercial
Mortgage
Trust
3.35%,
08/15/2048
(l)
1,690‌
1,483‌
CSMC
2014-USA
OA
LLC
4.37%,
09/15/2037
(g)
1,055‌
1,028‌
GS
Mortgage
Securities
Corp
II
4.41%,
07/10/2051
(g),(l)
635‌
528‌
GS
Mortgage
Securities
Trust
2014-GC20
4.96%,
04/10/2047
(g),(l)
1,820‌
1,685‌
GS
Mortgage
Securities
Trust
2015-GC32
4.43%,
07/10/2048
(g),(l)
2,476‌
2,023‌
HPLY
Trust
2019-HIT
3.26%,
11/15/2036
(g)
284‌
284‌
1.00
x
1
Month
USD
LIBOR
+
1.60%
JPMBB
Commercial
Mortgage
Securities
Trust
2013-C12
4.10%,
07/15/2045
(g),(l)
932‌
887‌
JPMBB
Commercial
Mortgage
Securities
Trust
2014-C21
3.90%,
08/15/2047
(g),(l)
1,120‌
900‌
JPMBB
Commercial
Mortgage
Securities
Trust
2014-C26
4.00%,
01/15/2048
(g)
1,300‌
1,153‌
JPMBB
Commercial
Mortgage
Securities
Trust
2015-C29
3.68%,
05/15/2048
(l),(n)
2,735‌
2,366‌
3.90%,
05/15/2048
(g),(l)
2,160‌
1,702‌
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2013-C12
3.71%,
10/15/2046
(g)
1,275‌
1,130‌
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2015-C25
4.53%,
10/15/2048
(g),(l)
350‌
317‌
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2017-C34
0.88%,
11/15/2052
(g),(l),(m)
3,150‌
191‌
Morgan
Stanley
Capital
I
Trust
2011-C2
5.49%,
06/15/2044
(g),(l)
475‌
482‌
5.49%,
06/15/2044
(g),(l)
160‌
157‌
Motel
6
Trust
2017-M6MZ
8.58%,
08/15/2024
(g)
955‌
964‌
1.00
x
1
Month
USD
LIBOR
+
6.93%
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
132
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Mortgage
Backed
Securities
(continued)
SG
Commercial
Mortgage
Securities
Trust
2016-C5
2.54%,
10/10/2048
(g)
$
1,665‌
$
1,232‌
Starwood
Retail
Property
Trust
2014-STAR
4.41%,
11/15/2027
(g)
170‌
158‌
1.00
x
1
Month
USD
LIBOR
+
2.75%
6.06%,
11/15/2027
(g)
645‌
284‌
1.00
x
1
Month
USD
LIBOR
+
4.40%
Wells
Fargo
Commercial
Mortgage
Trust
2015-C26
3.25%,
02/15/2048
(g)
1,981‌
1,580‌
Wells
Fargo
Commercial
Mortgage
Trust
2015-C28
3.00%,
05/15/2048
(g)
1,794‌
1,398‌
Wells
Fargo
Commercial
Mortgage
Trust
2015-LC22
3.36%,
09/15/2058
(g)
260‌
212‌
Wells
Fargo
Commercial
Mortgage
Trust
2015-NXS1
2.88%,
05/15/2048
(g),(l)
1,485‌
1,356‌
Wells
Fargo
Commercial
Mortgage
Trust
2016-NXS6
2.00%,
11/15/2049
(g),(l),(m)
7,575‌
862‌
Wells
Fargo
Commercial
Mortgage
Trust
2019-JWDR
3.14%,
09/15/2031
(g),(l)
650‌
667‌
WF-RBS
Commercial
Mortgage
Trust
2011-C2
5.66%,
02/15/2044
(g),(l)
115‌
117‌
WFRBS
Commercial
Mortgage
Trust
2011-C3
5.68%,
03/15/2044
(g),(l)
350‌
305‌
WFRBS
Commercial
Mortgage
Trust
2011-C4
5.23%,
06/15/2044
(g),(l)
845‌
865‌
WFRBS
Commercial
Mortgage
Trust
2012-C6
5.58%,
04/15/2045
(g),(l)
500‌
529‌
WFRBS
Commercial
Mortgage
Trust
2012-C7
4.81%,
06/15/2045
(l)
80‌
82‌
4.81%,
06/15/2045
(g),(l)
225‌
194‌
WFRBS
Commercial
Mortgage
Trust
2014-C20
3.99%,
05/15/2047
(g)
267‌
223‌
WFRBS
Commercial
Mortgage
Trust
2014-C21
3.49%,
08/15/2047
(g)
1,030‌
837‌
3.50%,
08/15/2047
(g),(n)
4,515‌
4,082‌
WFRBS
Commercial
Mortgage
Trust
2014-LC14
3.50%,
03/15/2047
(g),(l)
1,300‌
1,096‌
$
45,535‌
Commercial
Services
-
0.18%
APX
Group
Inc
6.75%,
02/15/2027
(g)
1,000‌
969‌
United
Rentals
North
America
Inc
4.00%,
07/15/2030
630‌
613‌
$
1,582‌
Computers
-
0.18%
Apple
Inc
1.70%,
09/11/2022
720‌
729‌
Hewlett
Packard
Enterprise
Co
2.57%,
03/12/2021
930‌
934‌
3
Month
USD
LIBOR
+
0.68%
$
1,663‌
Consumer
Products
-
0.11%
Kronos
Acquisition
Holdings
Inc
9.00%,
08/15/2023
(g)
1,000‌
965‌
Credit
Card
Asset
Backed
Securities
-
0.49%
BA
Credit
Card
Trust
1.95%,
08/15/2022
1,030‌
1,030‌
Chase
Issuance
Trust
2.21%,
06/15/2023
1,150‌
1,156‌
1.00
x
1
Month
USD
LIBOR
+
0.55%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Credit
Card
Asset
Backed
Securities
(continued)
Citibank
Credit
Card
Issuance
Trust
1.89%,
04/07/2022
$
1,330‌
$
1,330‌
1.00
x
1
Month
USD
LIBOR
+
0.22%
Discover
Card
Execution
Note
Trust
3.04%,
07/15/2024
585‌
605‌
Genesis
Sales
Finance
Master
Trust
Series
2019-A
4.68%,
08/20/2023
(g)
255‌
261‌
$
4,382‌
Diversified
Financial
Services
-
1.37%
Aircastle
Ltd
4.25%,
06/15/2026
945‌
1,021‌
American
Express
Co
2.34%,
11/05/2021
870‌
876‌
3
Month
USD
LIBOR
+
0.60%
Ameriprise
Financial
Inc
3.00%,
03/22/2022
515‌
533‌
Capital
One
Bank
USA
NA
2.01%,
01/27/2023
(k)
1,445‌
1,458‌
United
States
Secured
Overnight
Financing
Rate
+
0.62%
CSN
Islands
XI
Corp
6.75%,
01/28/2028
(g)
1,950‌
1,769‌
Power
Finance
Corp
Ltd
5.25%,
08/10/2028
2,740‌
3,006‌
Shriram
Transport
Finance
Co
Ltd
5.10%,
07/16/2023
(g)
210‌
211‌
Unifin
Financiera
SAB
de
CV
7.25%,
09/27/2023
2,890‌
2,926‌
USAA
Capital
Corp
2.63%,
06/01/2021
(g)
560‌
570‌
$
12,370‌
Electric
-
0.38%
Adani
Electricity
Mumbai
Ltd
3.95%,
02/12/2030
(g)
1,800‌
1,809‌
Enel
SpA
8.75%,
09/24/2073
(g),(k)
320‌
372‌
USD
Swap
Semi-Annual
5
Year
+
5.88%
GenOn
Energy
Inc
-
Escrow
0.00%,
10/15/2018
(e),(f),(h)
6,993‌
—‌
0.00%,
10/15/2020
(e),(f),(h)
6,143‌
—‌
Vistra
Operations
Co
LLC
3.70%,
01/30/2027
(g)
1,210‌
1,229‌
$
3,410‌
Engineering
&
Construction
-
0.06%
GMR
Hyderabad
International
Airport
Ltd
5.38%,
04/10/2024
270‌
282‌
IHS
Netherlands
Holdco
BV
7.13%,
03/18/2025
(g)
265‌
281‌
$
563‌
Entertainment
-
0.34%
Resorts
World
Las
Vegas
LLC
/
RWLV
Capital
Inc
4.63%,
04/16/2029
(g)
2,800‌
3,033‌
Food
-
0.55%
JBS
USA
LUX
SA
/
JBS
USA
Food
Co
/
JBS
USA
Finance
Inc
5.50%,
01/15/2030
(g)
465‌
488‌
Kraft
Heinz
Foods
Co
4.38%,
06/01/2046
170‌
158‌
4.88%,
10/01/2049
(g)
270‌
266‌
5.00%,
06/04/2042
85‌
85‌
MARB
BondCo
PLC
7.00%,
03/15/2024
3,075‌
3,152‌
NBM
US
Holdings
Inc
7.00%,
05/14/2026
(g)
795‌
831‌
$
4,980‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
133
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Healthcare
-
Services
-
0.18%
Hadrian
Merger
Sub
Inc
8.50%,
05/01/2026
(g)
$
971‌
$
993‌
Rede
D'or
Finance
Sarl
4.50%,
01/22/2030
(g)
660‌
644‌
$
1,637‌
Insurance
-
0.36%
AIA
Group
Ltd
2.43%,
09/20/2021
(g)
515‌
515‌
3
Month
USD
LIBOR
+
0.52%
Metropolitan
Life
Global
Funding
I
2.14%,
01/13/2023
(g)
600‌
602‌
United
States
Secured
Overnight
Financing
Rate
+
0.57%
3.38%,
01/11/2022
(g)
835‌
865‌
New
York
Life
Global
Funding
2.95%,
01/28/2021
(g)
855‌
866‌
Reliance
Standard
Life
Global
Funding
II
2.15%,
01/21/2023
(g)
355‌
362‌
$
3,210‌
Internet
-
0.10%
Uber
Technologies
Inc
7.50%,
09/15/2027
(g)
570‌
594‌
8.00%,
11/01/2026
(g),(i)
255‌
266‌
$
860‌
Investment
Companies
-
0.09%
Ares
Capital
Corp
3.25%,
07/15/2025
750‌
767‌
Leisure
Products
&
Services
-
0.23%
Constellation
Merger
Sub
Inc
8.50%,
09/15/2025
(g),(n)
2,449‌
2,106‌
Lodging
-
0.21%
Boyd
Gaming
Corp
4.75%,
12/01/2027
(g)
430‌
424‌
Diamond
Resorts
International
Inc
10.75%,
09/01/2024
(g)
180‌
186‌
Marriott
International
Inc/MD
2.13%,
10/03/2022
455‌
458‌
2.54%,
03/08/2021
845‌
849‌
3
Month
USD
LIBOR
+
0.65%
$
1,917‌
Media
-
0.48%
Cable
Onda
SA
4.50%,
01/30/2030
(g)
205‌
209‌
Cengage
Learning
Inc
9.50%,
06/15/2024
(g)
1,548‌
1,348‌
Fox
Corp
3.67%,
01/25/2022
(g)
910‌
948‌
iHeartCommunications
Inc
4.75%,
01/15/2028
(g)
320‌
318‌
NBCUniversal
Enterprise
Inc
5.25%,
12/31/2099
(g),(j)
1,205‌
1,239‌
Ziggo
BV
4.88%,
01/15/2030
(g)
215‌
223‌
$
4,285‌
Mining
-
0.10%
First
Quantum
Minerals
Ltd
6.88%,
03/01/2026
(g)
205‌
192‌
Freeport-McMoRan
Inc
4.13%,
03/01/2028
(o)
62‌
59‌
4.25%,
03/01/2030
(o)
122‌
114‌
Minera
Mexico
SA
de
CV
4.50%,
01/26/2050
(g)
490‌
494‌
$
859‌
Miscellaneous
Manufacturers
-
0.12%
FXI
Holdings
Inc
7.88%,
11/01/2024
(g),(n)
1,182‌
1,111‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Mortgage
Backed
Securities
-
3.43%
Alternative
Loan
Trust
2003-22CB
5.75%,
12/25/2033
$
97‌
$
100‌
Alternative
Loan
Trust
2004-16CB
5.50%,
07/25/2034
72‌
74‌
5.50%,
08/25/2034
81‌
84‌
Alternative
Loan
Trust
2004-J10
6.00%,
09/25/2034
181‌
187‌
Alternative
Loan
Trust
2005-J1
5.50%,
02/25/2025
82‌
84‌
Banc
of
America
Alternative
Loan
Trust
2003-8
5.50%,
10/25/2033
73‌
75‌
Banc
of
America
Funding
2005-7
Trust
5.75%,
11/25/2035
75‌
82‌
Banc
of
America
Funding
2007-4
Trust
5.50%,
11/25/2034
98‌
99‌
Banc
of
America
Mortgage
2005-A
Trust
3.68%,
02/25/2035
(l)
25‌
25‌
CHL
Mortgage
Pass-Through
Trust
2004-HYB4
4.10%,
09/20/2034
(l)
32‌
32‌
Citigroup
Mortgage
Loan
Trust
2018-A
4.00%,
01/25/2068
(g),(l)
229‌
230‌
Citigroup
Mortgage
Loan
Trust
2018-C
4.13%,
03/25/2059
(g),(l)
516‌
522‌
Citigroup
Mortgage
Loan
Trust
2019-B
3.26%,
04/25/2066
(g),(l)
340‌
341‌
Connecticut
Avenue
Securities
Trust
2019-R04
6.88%,
06/25/2039
(g)
280‌
313‌
1.00
x
1
Month
USD
LIBOR
+
5.25%
Connecticut
Avenue
Securities
Trust
2019-R07
5.03%,
10/25/2039
(g)
2,000‌
2,055‌
1.00
x
1
Month
USD
LIBOR
+
3.40%
Connecticut
Avenue
Securities
Trust
2020-R01
4.88%,
01/25/2040
(g)
260‌
260‌
1.00
x
1
Month
USD
LIBOR
+
3.25%
CSFB
Mortgage-Backed
Pass-Through
Certificates
Series
2003-27
5.75%,
11/25/2033
38‌
39‌
CSMC
2018-RPL2
Trust
4.03%,
08/25/2062
(g),(l)
559‌
558‌
CSMC
2019-RP10
Trust
3.32%,
12/26/2059
(g),(l)
293‌
297‌
DSLA
Mortgage
Loan
Trust
2005-AR5
1.98%,
09/19/2045
134‌
109‌
1.00
x
1
Month
USD
LIBOR
+
0.33%
Dukinfield
II
PLC
2.05%,
12/20/2052
GBP
286‌
369‌
1.00
x
3
Month
GBP
LIBOR
+
1.25%
Fannie
Mae
Connecticut
Avenue
Securities
3.83%,
01/25/2030
$
38‌
39‌
1.00
x
1
Month
USD
LIBOR
+
2.20%
4.03%,
05/25/2030
65‌
66‌
1.00
x
1
Month
USD
LIBOR
+
2.40%
5.88%,
01/25/2031
4,451‌
4,918‌
1.00
x
1
Month
USD
LIBOR
+
4.25%
7.38%,
07/25/2029
1,215‌
1,444‌
1.00
x
1
Month
USD
LIBOR
+
5.75%
Fannie
Mae
REMICS
4.47%,
05/25/2047
(m)
1,931‌
413‌
(1.00)
x
1
Month
USD
LIBOR
+
6.10%
4.57%,
12/25/2045
(m)
1,162‌
278‌
(1.00)
x
1
Month
USD
LIBOR
+
6.20%
Freddie
Mac
Stacr
Remic
Trust
2019-Hqa4
8.23%,
11/25/2049
(g)
530‌
572‌
1.00
x
1
Month
USD
LIBOR
+
6.60%
Freddie
Mac
Stacr
Remic
Trust
2020-DNA1
6.88%,
01/25/2050
(g)
350‌
345‌
1.00
x
1
Month
USD
LIBOR
+
5.25%
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
134
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Mortgage
Backed
Securities
(continued)
Freddie
Mac
STACR
Remic
Trust
2020-DNA2
6.46%,
02/25/2050
(g)
$
470‌
$
453‌
1.00
x
1
Month
USD
LIBOR
+
4.80%
Freddie
Mac
STACR
REMIC
Trust
2020-HQA1
6.73%,
01/25/2050
(g)
220‌
216‌
1.00
x
1
Month
USD
LIBOR
+
5.10%
Freddie
Mac
STACR
Trust
2019-DNA4
7.88%,
10/25/2049
(g)
300‌
312‌
1.00
x
1
Month
USD
LIBOR
+
6.25%
Freddie
Mac
STACR
Trust
2019-HRP1
5.68%,
02/25/2049
(g)
270‌
290‌
1.00
x
1
Month
USD
LIBOR
+
4.05%
Freddie
Mac
Structured
Agency
Credit
Risk
Debt
Notes
3.28%,
04/25/2024
60‌
61‌
1.00
x
1
Month
USD
LIBOR
+
1.65%
3.43%,
07/25/2030
25‌
25‌
1.00
x
1
Month
USD
LIBOR
+
1.80%
3.48%,
10/25/2027
218‌
219‌
1.00
x
1
Month
USD
LIBOR
+
1.85%
3.83%,
02/25/2024
182‌
184‌
1.00
x
1
Month
USD
LIBOR
+
2.20%
6.58%,
07/25/2029
1,369‌
1,563‌
1.00
x
1
Month
USD
LIBOR
+
4.95%
10.43%,
03/25/2028
4,461‌
5,400‌
1.00
x
1
Month
USD
LIBOR
+
8.80%
Gosforth
Funding
2018-1
plc
2.13%,
08/25/2060
(g)
224‌
224‌
1.00
x
3
Month
USD
LIBOR
+
0.45%
Grand
Avenue
Mortgage
Loan
Trust
2017-RPL1
3.25%,
08/25/2064
(g)
129‌
131‌
GSR
Mortgage
Loan
Trust
2005-4F
6.50%,
02/25/2035
40‌
40‌
IndyMac
INDX
Mortgage
Loan
Trust
2004-AR7
2.85%,
09/25/2034
124‌
117‌
1.00
x
1
Month
USD
LIBOR
+
1.22%
IndyMac
INDX
Mortgage
Loan
Trust
2005-AR11
3.61%,
08/25/2035
(l)
512‌
462‌
Lanark
Master
Issuer
PLC
2.45%,
12/22/2069
(g)
254‌
255‌
1.00
x
3
Month
USD
LIBOR
+
0.77%
Lehman
XS
Trust
Series
2006-2N
1.89%,
02/25/2046
95‌
89‌
1.00
x
1
Month
USD
LIBOR
+
0.26%
MASTR
Alternative
Loan
Trust
2003-9
5.25%,
11/25/2033
39‌
40‌
MASTR
Alternative
Loan
Trust
2004-5
5.50%,
06/25/2034
37‌
37‌
6.00%,
06/25/2034
46‌
47‌
MASTR
Alternative
Loan
Trust
2004-8
6.00%,
09/25/2034
241‌
252‌
Merrill
Lynch
Mortgage
Investors
Trust
Series
MLCC
2006-2
3.88%,
05/25/2036
(l)
15‌
16‌
OBX
2019-EXP3
Trust
3.50%,
10/25/2059
(g),(l)
262‌
268‌
RCO
V
Mortgage
LLC
2019-1
3.72%,
05/24/2024
(g),(l)
516‌
521‌
Residential
Asset
Securitization
Trust
2005-A8CB
5.38%,
07/25/2035
245‌
225‌
Sequoia
Mortgage
Trust
2018-CH1
4.00%,
02/25/2048
(g),(l)
131‌
135‌
Sequoia
Mortgage
Trust
2019-CH1
4.50%,
03/25/2049
(g),(l)
465‌
478‌
STACR
Trust
2018-HRP2
4.03%,
02/25/2047
(g)
2,390‌
2,441‌
1.00
x
1
Month
USD
LIBOR
+
2.40%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Mortgage
Backed
Securities
(continued)
Structured
Adjustable
Rate
Mortgage
Loan
Trust
1.94%,
07/25/2035
$
575‌
$
450‌
1.00
x
1
Month
USD
LIBOR
+
0.31%
Toorak
Mortgage
Corp
2018-1
Ltd
4.34%,
08/25/2021
(g),(l)
1,880‌
1,900‌
$
30,861‌
Oil
&
Gas
-
0.92%
Aker
BP
ASA
3.75%,
01/15/2030
(g)
355‌
361‌
Bellatrix
Exploration
Ltd
0.00%,
09/11/2023
(e),(f),(h)
236‌
141‌
0.00%,
PIK
12.50%,
12/15/2023
(e),(f),(h),(i),(p)
257‌
—‌
Bruin
E&P
Partners
LLC
8.88%,
08/01/2023
(g)
675‌
358‌
California
Resources
Corp
8.00%,
12/15/2022
(g)
795‌
179‌
Cobalt
International
Energy
Inc
0.00%,
12/01/2023
(e)
4,635‌
104‌
Gulfport
Energy
Corp
6.38%,
05/15/2025
705‌
224‌
Odebrecht
Drilling
Norbe
VIII/IX
Ltd
6.35%,
12/01/2021
1,549‌
1,545‌
Odebrecht
Offshore
Drilling
Finance
Ltd
6.72%,
12/01/2022
669‌
663‌
OGX
Austria
GmbH
0.00%,
06/01/2018
(e),(g)
600‌
—‌
0.00%,
04/01/2022
(e),(g)
1,100‌
—‌
Petrobras
Global
Finance
BV
7.25%,
03/17/2044
125‌
154‌
Petroleos
Mexicanos
6.49%,
01/23/2027
(g)
950‌
995‌
6.84%,
01/23/2030
(g)
2,200‌
2,297‌
6.84%,
01/23/2030
900‌
940‌
Whiting
Petroleum
Corp
6.63%,
01/15/2026
175‌
64‌
YPF
SA
6.95%,
07/21/2027
(g)
240‌
192‌
11.14%,
07/07/2020
(g)
410‌
90‌
Argentina
Deposit
Rates
Badlar
Private
Banks
ARS
30
to
35
Days
+
4.00%
$
8,307‌
Other
Asset
Backed
Securities
-
5.63%
Accelerated
Assets
2018-1
LLC
4.51%,
12/02/2033
(g)
162‌
169‌
Adams
Outdoor
Advertising
LP
4.81%,
11/15/2048
(g)
759‌
809‌
AIG
CLO
2018-1
Ltd
8.27%,
01/20/2032
(g)
2,640‌
2,445‌
1.00
x
3
Month
USD
LIBOR
+
6.45%
AIM
Aviation
Finance
Ltd
5.07%,
02/15/2040
(g),(l)
713‌
710‌
Ajax
Mortgage
Loan
Trust
2017-B
3.16%,
09/25/2056
(g),(l)
275‌
278‌
Allegro
CLO
VI
Ltd
4.59%,
01/17/2031
(g)
250‌
239‌
1.00
x
3
Month
USD
LIBOR
+
2.75%
ALM
VII
R
Ltd
8.97%,
10/15/2028
(g)
2,000‌
1,992‌
1.00
x
3
Month
USD
LIBOR
+
7.14%
American
Homes
4
Rent
2014-SFR2
Trust
5.15%,
10/17/2036
(g)
280‌
305‌
6.23%,
10/17/2036
(g)
695‌
771‌
American
Homes
4
Rent
2014-SFR3
Trust
6.42%,
12/17/2036
(g)
900‌
1,008‌
American
Homes
4
Rent
2015-SFR1
5.64%,
04/17/2052
(g)
1,045‌
1,155‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
135
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Other
Asset
Backed
Securities
(continued)
Apidos
CLO
XXII
7.82%,
10/20/2027
(g)
$
750‌
$
750‌
1.00
x
3
Month
USD
LIBOR
+
6.00%
Apidos
CLO
XXIII
3.60%,
04/15/2033
(g)
370‌
370‌
1.00
x
3
Month
USD
LIBOR
+
2.00%
Ascentium
Equipment
Receivables
2017-2
Trust
2.87%,
08/10/2022
(g)
80‌
82‌
Avery
Point
VII
CLO
Ltd
8.43%,
01/15/2028
(g)
1,400‌
1,387‌
1.00
x
3
Month
USD
LIBOR
+
6.60%
Bayview
Opportunity
Master
Fund
IVa
Trust
2019-RN2
3.97%,
03/28/2034
(g),(l)
75‌
77‌
BCC
Funding
XIV
LLC
6.00%,
04/21/2025
(g)
250‌
258‌
Blackbird
Capital
Aircraft
Lease
Securitization
Ltd
2016-1
4.21%,
12/16/2041
(g),(l)
206‌
211‌
5.68%,
12/16/2041
(g),(l)
569‌
588‌
Bowman
Park
CLO
Ltd
7.08%,
11/23/2025
(g)
1,000‌
997‌
1.00
x
3
Month
USD
LIBOR
+
5.40%
Cairn
CLO
XI
DAC
6.77%,
07/15/2035
(g)
EUR
360‌
397‌
1.00
x
3
Month
Euro
Interbank
Offered
Rate
+
6.77%
Carlyle
Global
Market
Strategies
Euro
CLO
2015-1
Ltd
3.40%,
01/16/2033
(g)
2,205‌
2,434‌
1.00
x
3
Month
Euro
Interbank
Offered
Rate
+
3.40%
5.50%,
01/16/2033
(g)
882‌
940‌
1.00
x
3
Month
Euro
Interbank
Offered
Rate
+
5.50%
CCG
Receivables
Trust
2018-1
3.42%,
06/16/2025
(g)
$
100‌
102‌
Coinstar
Funding
LLC
Series
2017-1
5.22%,
04/25/2047
(g)
705‌
734‌
Colony
American
Finance
2015-1
Ltd
5.65%,
10/15/2047
(g)
550‌
561‌
Colony
American
Finance
2016-1
Ltd
4.64%,
06/15/2048
(g),(l)
260‌
263‌
CVP
Cascade
CLO-2
Ltd
3.02%,
07/18/2026
(g)
335‌
335‌
1.00
x
3
Month
USD
LIBOR
+
1.20%
DB
Master
Finance
LLC
4.35%,
05/20/2049
(g)
208‌
224‌
Diamond
Resorts
Owner
Trust
6.07%,
10/22/2029
(g)
79‌
82‌
Diamond
Resorts
Owner
Trust
2018-1
4.53%,
01/21/2031
(g)
277‌
288‌
Diamond
Resorts
Owner
Trust
2019-1
3.53%,
02/20/2032
(g)
284‌
290‌
Domino's
Pizza
Master
Issuer
LLC
4.12%,
07/25/2047
(g)
327‌
350‌
4.12%,
07/25/2048
(g)
49‌
52‌
Driven
Brands
Funding
LLC
4.74%,
04/20/2048
(g)
167‌
179‌
Dryden
33
Senior
Loan
Fund
8.80%,
04/15/2029
(g)
700‌
697‌
1.00
x
3
Month
USD
LIBOR
+
6.97%
Dryden
63
GBP
CLO
2018
BV
3.62%,
10/15/2032
(g)
GBP
2,060‌
2,625‌
1.00
x
3
Month
GBP
LIBOR
+
2.90%
5.23%,
10/15/2032
(g)
1,052‌
1,347‌
1.00
x
3
Month
GBP
LIBOR
+
4.50%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Other
Asset
Backed
Securities
(continued)
Elevation
CLO
2015-4
Ltd
2.81%,
04/18/2027
(g)
$
242‌
$
242‌
1.00
x
3
Month
USD
LIBOR
+
0.99%
Fairstone
Financial
Issuance
Trust
I
3.95%,
03/21/2033
(g)
CAD
515‌
388‌
Five
Guys
Funding
LLC
4.60%,
07/25/2047
(g)
$
462‌
492‌
GCA2014
Holdings
Ltd
-
Class
C
6.00%,
01/05/2030
(f),(g),(h)
658‌
548‌
GCA2014
Holdings
Ltd
-
Class
D
7.50%,
01/05/2030
(f),(g),(h)
295‌
175‌
GCA2014
Holdings
Ltd
-
Class
E
0.00%,
01/05/2030
(e),(f),(g),(h)
1,030‌
—‌
Global
Container
Assets
Ltd
4.50%,
02/05/2030
(g)
226‌
226‌
Halcyon
Loan
Advisors
Funding
2014-2
Ltd
2.98%,
04/28/2025
(g)
146‌
146‌
1.00
x
3
Month
USD
LIBOR
+
1.18%
Harbour
Aircraft
Investments
Ltd
8.00%,
11/15/2037
574‌
581‌
HPEFS
Equipment
Trust
2020-1
2.26%,
02/20/2030
(g)
115‌
116‌
Invitation
Homes
2018-SFR1
Trust
3.66%,
03/17/2037
(g)
470‌
470‌
1.00
x
1
Month
USD
LIBOR
+
2.00%
Invitation
Homes
2018-SFR2
Trust
3.66%,
06/17/2037
(g)
835‌
831‌
1.00
x
1
Month
USD
LIBOR
+
2.00%
Invitation
Homes
2018-SFR4
Trust
3.31%,
01/17/2038
(g)
210‌
209‌
1.00
x
1
Month
USD
LIBOR
+
1.65%
Jamestown
CLO
VII
Ltd
2.62%,
07/25/2027
(g)
468‌
467‌
1.00
x
3
Month
USD
LIBOR
+
0.83%
Kestrel
Aircraft
Funding
Ltd
4.25%,
12/15/2038
(g)
359‌
374‌
KKR
Clo
25
Ltd
8.37%,
04/15/2032
(g)
640‌
598‌
1.00
x
3
Month
USD
LIBOR
+
6.54%
Legacy
Mortgage
Asset
Trust
2019-GS3
3.75%,
04/25/2059
(g),(l)
366‌
372‌
Madison
Park
Funding
XII
Ltd
3.47%,
07/20/2026
(g)
250‌
250‌
1.00
x
3
Month
USD
LIBOR
+
1.65%
MAPS
2018-1
Ltd
4.21%,
05/15/2043
(g)
657‌
681‌
Marlette
Funding
Trust
2019-1
3.44%,
04/16/2029
(g)
148‌
150‌
Marlette
Funding
Trust
2019-3
2.69%,
09/17/2029
(g)
162‌
163‌
Mountain
View
CLO
X
Ltd
2.67%,
10/13/2027
(g)
608‌
606‌
1.00
x
3
Month
USD
LIBOR
+
0.82%
Neuberger
Berman
CLO
XIV
Ltd
3.52%,
01/28/2030
(g)
365‌
365‌
1.00
x
3
Month
USD
LIBOR
+
1.90%
OCP
CLO
2015-10
Ltd
2.61%,
10/26/2027
(g)
341‌
340‌
1.00
x
3
Month
USD
LIBOR
+
0.82%
Octagon
Investment
Partners
XVI
Ltd
7.59%,
07/17/2030
(g)
500‌
454‌
1.00
x
3
Month
USD
LIBOR
+
5.75%
OHA
Credit
Funding
5
Ltd
0.00%,
04/18/2033
(e),(g),(o)
420‌
420‌
1.00
x
3
Month
USD
LIBOR
+
2.00%
OHA
Loan
Funding
2016-1
Ltd
3.68%,
01/20/2033
(g)
345‌
345‌
1.00
x
3
Month
USD
LIBOR
+
1.95%
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
136
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Other
Asset
Backed
Securities
(continued)
OneMain
Financial
Issuance
Trust
2015-3
4.16%,
11/20/2028
(g)
$
790‌
$
796‌
OneMain
Financial
Issuance
Trust
2019-1
4.22%,
02/14/2031
(g)
620‌
642‌
Oxford
Finance
Funding
2019-1
LLC
4.46%,
02/15/2027
(g)
145‌
149‌
Parallel
2015-1
Ltd
2.67%,
07/20/2027
(g)
531‌
530‌
1.00
x
3
Month
USD
LIBOR
+
0.85%
Parallel
2017-1
Ltd
3.71%,
07/20/2029
(g)
305‌
305‌
1.00
x
3
Month
USD
LIBOR
+
2.00%
Parallel
2018-2
Ltd
3.97%,
10/20/2031
(g)
480‌
465‌
1.00
x
3
Month
USD
LIBOR
+
2.15%
Planet
Fitness
Master
Issuer
LLC
3.86%,
12/05/2049
(g)
275‌
287‌
4.26%,
09/05/2048
(g)
597‌
618‌
Progress
Residential
2017-SFR2
Trust
4.14%,
12/17/2034
(g)
100‌
101‌
Progress
Residential
2018-SFR2
Trust
4.66%,
08/17/2035
(g)
100‌
103‌
Progress
Residential
2019-SFR1
Trust
4.47%,
08/17/2035
(g)
420‌
438‌
Prosper
Pass-Thru
Trust
II
Series
2019-St2
0.00%,
11/15/2025
(e),(f),(g)
1,190‌
1,104‌
0.00%,
11/15/2025
(e),(f),(g)
595‌
431‌
PRPM
2018-1
LLC
5.00%,
04/25/2023
(g),(l)
200‌
201‌
PRPM
2019-4
LLC
3.35%,
11/25/2024
(g),(l)
204‌
206‌
PRPM
2020-1
LLC
2.98%,
02/25/2025
(g),(l)
145‌
146‌
Republic
FInance
Issuance
Trust
2019-A
3.43%,
11/22/2027
(g)
490‌
501‌
Rockford
Tower
CLO
2017-2
Ltd
1.90%,
10/15/2029
(g),(o)
295‌
295‌
1.00
x
3
Month
USD
LIBOR
+
1.90%
SCF
Equipment
Leasing
2018-1
LLC
4.21%,
04/20/2027
(g)
795‌
816‌
S-Jets
2017-1
Ltd
3.97%,
08/15/2042
(g)
773‌
796‌
Sofi
Consumer
Loan
Program
2018-2
Trust
3.35%,
04/26/2027
(g)
312‌
314‌
Sound
Point
Clo
XV
Ltd
7.77%,
01/23/2029
(g)
1,500‌
1,335‌
1.00
x
3
Month
USD
LIBOR
+
5.96%
Sprite
2017-1
Ltd
5.75%,
12/15/2037
(g)
248‌
260‌
Staniford
Street
CLO
Ltd
3.07%,
06/15/2025
(g)
195‌
195‌
1.00
x
3
Month
USD
LIBOR
+
1.18%
TAL
Advantage
V
LLC
3.55%,
11/20/2038
(g)
197‌
199‌
Thunderbolt
Aircraft
Lease
Ltd
5.75%,
05/17/2032
(g),(l)
164‌
172‌
Towd
Point
Mortgage
Trust
2.50%,
11/25/2060
(g),(l)
234‌
235‌
Towd
Point
Mortgage
Trust
2019-4
2.90%,
10/25/2059
(g),(l)
441‌
459‌
Tricon
American
Homes
2019-SFR1
Trust
2.75%,
03/17/2038
(g)
220‌
230‌
Venture
XX
CLO
Ltd
2.65%,
04/15/2027
(g)
195‌
194‌
1.00
x
3
Month
USD
LIBOR
+
0.82%
Venture
XXI
CLO
Ltd
2.71%,
07/15/2027
(g)
447‌
446‌
1.00
x
3
Month
USD
LIBOR
+
0.88%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Other
Asset
Backed
Securities
(continued)
VOLT
LXXXVII
LLC
2.98%,
02/25/2050
(g),(l)
$
453‌
$
455‌
WAVE
2017-1
Trust
5.68%,
11/15/2042
(g)
244‌
255‌
Wendy's
Funding
LLC
4.08%,
06/15/2049
(g)
85‌
89‌
Wingstop
Funding
2018-1
LLC
4.97%,
12/05/2048
(g)
154‌
160‌
York
CLO-2
Ltd
3.65%,
01/22/2031
(g)
250‌
242‌
1.00
x
3
Month
USD
LIBOR
+
1.85%
$
50,680‌
Pharmaceuticals
-
0.33%
CVS
Health
Corp
2.60%,
03/09/2021
1,385‌
1,389‌
3
Month
USD
LIBOR
+
0.72%
Teva
Pharmaceutical
Finance
Netherlands
II
BV
6.00%,
01/31/2025
(g)
EUR
190‌
218‌
Teva
Pharmaceutical
Finance
Netherlands
III
BV
4.10%,
10/01/2046
$
1,420‌
1,104‌
7.13%,
01/31/2025
(g)
210‌
221‌
$
2,932‌
Pipelines
-
0.12%
Cheniere
Corpus
Christi
Holdings
LLC
3.70%,
11/15/2029
(g)
630‌
631‌
Midwest
Connector
Capital
Co
LLC
3.63%,
04/01/2022
(g)
410‌
423‌
$
1,054‌
Real
Estate
-
1.15%
Arabian
Centres
Sukuk
Ltd
5.38%,
11/26/2024
(g)
3,450‌
3,567‌
CFLD
Cayman
Investment
Ltd
6.50%,
12/21/2020
200‌
201‌
China
Evergrande
Group
8.25%,
03/23/2022
925‌
870‌
Country
Garden
Holdings
Co
Ltd
4.75%,
07/25/2022
975‌
981‌
4.75%,
09/28/2023
650‌
651‌
Easy
Tactic
Ltd
8.13%,
02/27/2023
200‌
197‌
Greenland
Global
Investment
Ltd
5.88%,
07/03/2024
225‌
217‌
Kaisa
Group
Holdings
Ltd
8.50%,
06/30/2022
1,650‌
1,639‌
11.95%,
10/22/2022
(g)
210‌
225‌
Sunac
China
Holdings
Ltd
7.25%,
06/14/2022
200‌
205‌
7.88%,
02/15/2022
1,531‌
1,579‌
$
10,332‌
Regional
Authority
-
0.07%
Provincia
de
Buenos
Aires/Government
Bonds
38.13%,
04/12/2025
(g)
ARS
11,045‌
97‌
Argentina
Deposit
Rates
Badlar
Private
Banks
ARS
30
to
35
Days
+
3.75%
43.08%,
05/31/2022
51,665‌
496‌
Argentina
Deposit
Rates
Badlar
Private
Banks
ARS
30
to
35
Days
+
3.83%
$
593‌
REITs
-
0.03%
Ladder
Capital
Finance
Holdings
LLLP
/
Ladder
Capital
Finance
Corp
4.25%,
02/01/2027
(g)
$
280‌
266‌
Retail
-
0.28%
1011778
BC
ULC
/
New
Red
Finance
Inc
4.38%,
01/15/2028
(g)
565‌
562‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
137
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Retail
(continued)
Staples
Inc
10.75%,
04/15/2027
(g),(n)
$
2,048‌
$
1,961‌
$
2,523‌
Semiconductors
-
0.09%
Broadcom
Inc
4.75%,
04/15/2029
(g)
685‌
766‌
Software
-
0.18%
Adobe
Inc
1.70%,
02/01/2023
1,160‌
1,176‌
MSCI
Inc
3.63%,
09/01/2030
(g),(o)
265‌
265‌
4.00%,
11/15/2029
(g)
155‌
161‌
$
1,602‌
Sovereign
-
9.39%
1MDB
Global
Investments
Ltd
4.40%,
03/09/2023
4,100‌
3,977‌
Argentina
POM
Politica
Monetaria
51.19%,
06/21/2020
ARS
6,725‌
72‌
Argentina
Blended
Historical
Policy
Rate
+
0.00%
Argentine
Republic
Government
International
Bond
3.88%,
01/15/2022
EUR
66‌
32‌
5.00%,
01/15/2027
1,800‌
778‌
5.25%,
01/15/2028
6,490‌
2,794‌
5.88%,
01/11/2028
$
1,300‌
523‌
6.63%,
07/06/2028
3,750‌
1,608‌
Bahrain
Government
International
Bond
5.63%,
09/30/2031
(g)
2,350‌
2,435‌
Bonos
de
la
Tesoreria
de
la
Republica
1.90%,
09/01/2030
CLP
5,380,743‌
7,298‌
Costa
Rica
Government
International
Bond
4.25%,
01/26/2023
$
1,880‌
1,875‌
6.13%,
02/19/2031
2,742‌
2,831‌
7.00%,
04/04/2044
(n)
1,673‌
1,715‌
Dominican
Republic
International
Bond
5.88%,
01/30/2060
(g)
1,500‌
1,489‌
6.00%,
07/19/2028
(n)
2,253‌
2,490‌
6.40%,
06/05/2049
298‌
316‌
Egypt
Government
International
Bond
5.63%,
04/16/2030
EUR
3,850‌
4,256‌
Export-Import
Bank
of
Korea
2.47%,
06/25/2022
$
650‌
653‌
3
Month
USD
LIBOR
+
0.53%
Ghana
Government
International
Bond
6.38%,
02/11/2027
(g)
3,300‌
3,266‌
Hellenic
Republic
Treasury
Bill
0.00%,
06/12/2020
(e)
EUR
1,124‌
1,241‌
Ivory
Coast
Government
International
Bond
5.25%,
03/22/2030
3,319‌
3,733‌
Kenya
Government
International
Bond
7.00%,
05/22/2027
(g)
$
3,400‌
3,586‌
Mexican
Bonos
7.75%,
11/13/2042
MXN
53,200‌
2,891‌
Montenegro
Government
International
Bond
5.75%,
03/10/2021
EUR
2,282‌
2,655‌
Peru
Government
Bond
6.15%,
08/12/2032
(g)
PEN
9,875‌
3,282‌
Peruvian
Government
International
Bond
6.90%,
08/12/2037
11,150‌
3,930‌
Republic
of
Italy
Government
International
Bond
2.38%,
10/17/2024
$
412‌
414‌
Republic
of
South
Africa
Government
Bond
8.00%,
01/31/2030
ZAR
41,143‌
2,446‌
8.88%,
02/28/2035
18,238‌
1,075‌
10.50%,
12/21/2026
36,732‌
2,632‌
Romanian
Government
International
Bond
3.38%,
01/28/2050
(g)
EUR
2,850‌
3,256‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Sovereign
(continued)
Russian
Federal
Bond
-
OFZ
7.05%,
01/19/2028
RUB
444,350‌
$
6,971‌
Turkey
Government
International
Bond
6.88%,
03/17/2036
(n)
$
497‌
492‌
Ukraine
Government
Bond
16.00%,
08/11/2021
UAH
51,750‌
2,259‌
Ukraine
Government
International
Bond
0.00%,
05/31/2040
(e),(l)
$
1,870‌
1,846‌
4.38%,
01/27/2030
(g)
EUR
3,300‌
3,434‌
$
84,551‌
Student
Loan
Asset
Backed
Securities
-
0.31%
Education
Funding
Trust
Trust
2.79%,
07/25/2041
(g)
$
394‌
401‌
Navient
Private
Education
Refi
Loan
Trust
2018-A
3.68%,
02/18/2042
(g)
140‌
148‌
Navient
Private
Education
Refi
Loan
Trust
2019-F
3.12%,
08/15/2068
(g)
445‌
465‌
Navient
Private
Education
Refi
Loan
Trust
2019-G
3.08%,
10/15/2068
(g)
105‌
109‌
SLM
Private
Credit
Student
Loan
Trust
2003-A
5.05%,
06/15/2032
239‌
239‌
1.00
x
US
28
Day
Auction
Rate
+
0.00%
SLM
Private
Credit
Student
Loan
Trust
2003-B
4.59%,
03/15/2033
50‌
50‌
1.00
x
US
28
Day
Auction
Rate
+
0.00%
5.04%,
03/15/2033
500‌
499‌
1.00
x
US
28
Day
Auction
Rate
+
0.00%
SMB
Private
Education
Loan
Trust
2015-C
3.50%,
09/15/2043
(g)
100‌
105‌
SMB
Private
Education
Loan
Trust
2017-B
2.41%,
10/15/2035
(g)
255‌
255‌
1.00
x
1
Month
USD
LIBOR
+
0.75%
SMB
Private
Education
Loan
Trust
2018-C
4.00%,
11/17/2042
(g)
100‌
110‌
SoFi
Professional
Loan
Program
2015-C
LLC
3.58%,
08/25/2036
(g)
39‌
40‌
Sofi
Professional
Loan
Program
2016-A
LLC
3.57%,
01/26/2038
(g)
217‌
222‌
SoFi
Professional
Loan
Program
2020-ATrust
3.12%,
05/15/2046
(g)
160‌
169‌
$
2,812‌
Supranational
Bank
-
0.62%
African
Export-Import
Bank/The
3.99%,
09/21/2029
(g)
1,700‌
1,775‌
Banque
Ouest
Africaine
de
Developpement
5.00%,
07/27/2027
(g)
200‌
217‌
5.00%,
07/27/2027
1,900‌
2,059‌
Eastern
&
Southern
African
Trade
&
Development
Bank
4.88%,
05/23/2024
1,425‌
1,510‌
$
5,561‌
Telecommunications
-
0.98%
Bharti
Airtel
Ltd
4.38%,
06/10/2025
200‌
214‌
C&W
Senior
Financing
DAC
7.50%,
10/15/2026
(g)
1,850‌
1,943‌
Front
Range
BidCo
Inc
4.00%,
03/01/2027
(g),(o)
35‌
34‌
6.13%,
03/01/2028
(g),(o)
18‌
18‌
Gogo
Intermediate
Holdings
LLC
/
Gogo
Finance
Co
Inc
9.88%,
05/01/2024
(g),(n)
2,000‌
2,034‌
Intrado
Corp
8.50%,
10/15/2025
(g)
1,912‌
1,286‌
Kenbourne
Invest
SA
6.88%,
11/26/2024
(g)
355‌
362‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
138
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Telecommunications
(continued)
Millicom
International
Cellular
SA
5.13%,
01/15/2028
(g)
$
200‌
$
206‌
MTN
Mauritius
Investments
Ltd
5.37%,
02/13/2022
2,610‌
2,708‌
T-Mobile
US
Inc
0.00%,
02/01/2028
(e),(f),(h)
706‌
—‌
$
8,805‌
Transportation
-
0.08%
FedEx
Corp
3.40%,
01/14/2022
675‌
699‌
TOTAL
BONDS
$
347,440‌
CONVERTIBLE
BONDS
-
0.26%
Principal
Amount
(000's)
Value
(000's)
Biotechnology
-
0.05%
BioMarin
Pharmaceutical
Inc
0.60%,
08/01/2024
455‌
498‌
Healthcare
-
Services
-
0.04%
NMC
Health
Jersey
Ltd
1.88%,
04/30/2025
800‌
360‌
Media
-
0.11%
DISH
Network
Corp
2.38%,
03/15/2024
555‌
516‌
3.38%,
08/15/2026
480‌
463‌
$
979‌
Oil
&
Gas
-
0.01%
Chesapeake
Energy
Corp
5.50%,
09/15/2026
190‌
50‌
Telecommunications
-
0.04%
CalAmp
Corp
2.00%,
08/01/2025
405‌
342‌
Trucking
&
Leasing
-
0.01%
Greenbrier
Cos
Inc/The
2.88%,
02/01/2024
80‌
74‌
TOTAL
CONVERTIBLE
BONDS
$
2,303‌
MUNICIPAL
BONDS
-
0.06%
Principal
Amount
(000's)
Value
(000's)
Massachusetts
-
0.06%
Massachusetts
Educational
Financing
Authority
3.85%,
05/25/2033
$
529‌
$
561‌
TOTAL
MUNICIPAL
BONDS
$
561‌
SENIOR
FLOATING
RATE
INTERESTS
-
1.70%
Principal
Amount
(000's)
Value
(000's)
Advertising
-
0.01%
Lamar
Media
Corp
3.17%,
01/29/2027
(q)
$
90‌
$
90‌
1
Month
USD
LIBOR
+
1.50%
Automobile
Parts
&
Equipment
-
0.15%
American
Axle
&
Manufacturing
Inc
3.88%,
03/08/2024
(q)
403‌
392‌
3
Month
USD
LIBOR
+
2.25%
GC
EOS
Buyer
Inc
6.15%,
06/27/2025
(q)
980‌
958‌
3
Month
USD
LIBOR
+
3.25%
$
1,350‌
Building
Materials
-
0.07%
Airxcel
Inc
10.35%,
04/27/2026
(q)
282‌
252‌
3
Month
USD
LIBOR
+
8.75%
Ingersoll-Rand
Services
Co
0.00%,
02/05/2027
(q),(r)
110‌
108‌
1
Month
USD
LIBOR
+
1.75%
JELD-WEN
Inc
3.94%,
12/14/2024
(q)
300‌
298‌
3
Month
USD
LIBOR
+
2.00%
$
658‌
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Chemicals
-
0.14%
ASP
Unifrax
Holdings
Inc
10.63%,
12/14/2026
(q)
$
637‌
$
572‌
3
Month
USD
LIBOR
+
8.50%
Polymer
Additives
Inc
7.78%,
07/25/2025
(q)
964‌
694‌
3
Month
USD
LIBOR
+
6.00%
$
1,266‌
Commercial
Services
-
0.14%
Digital
Room
Holdings
Inc
6.60%,
05/08/2026
(q)
240‌
224‌
3
Month
USD
LIBOR
+
5.00%
Imagine!
Print
Solutions
Inc
10.36%,
06/21/2023
(q)
427‌
61‌
3
Month
USD
LIBOR
+
8.75%
PSC
Industrial
Outsourcing
LP
10.16%,
10/13/2025
(q)
980‌
938‌
3
Month
USD
LIBOR
+
8.50%
$
1,223‌
Computers
-
0.21%
Electronics
For
Imaging
Inc
6.94%,
07/02/2026
(q)
374‌
344‌
3
Month
USD
LIBOR
+
5.00%
McAfee
LLC
10.10%,
09/29/2025
(q)
1,435‌
1,433‌
3
Month
USD
LIBOR
+
3.25%
Reynolds
Consumer
3.50%,
01/29/2027
(q)
90‌
89‌
1
Month
USD
LIBOR
+
1.75%
$
1,866‌
Diversified
Financial
Services
-
0.02%
4L
Technologies
9.16%,
02/05/2024
(q)
205‌
201‌
1
Month
USD
LIBOR
+
7.50%
Engineering
&
Construction
-
0.06%
Qualtek
USA
LLC
8.03%,
07/18/2025
(q)
581‌
567‌
1
Month
USD
LIBOR
+
6.25%
Entertainment
-
0.13%
Deluxe
Entertainment
Services
Group
Inc
6.94%,
03/25/2024
(q)
609‌
625‌
1
Month
USD
LIBOR
+
6.50%
7.94%,
09/25/2024
(q)
782‌
567‌
1
Month
USD
LIBOR
+
8.50%
$
1,192‌
Environmental
Control
-
0.03%
Innovative
Water
Care
Global
Corp
6.94%,
02/27/2026
(q)
368‌
291‌
3
Month
USD
LIBOR
+
5.00%
Home
Furnishings
-
0.05%
TGP
Holdings
III
LLC
10.28%,
09/25/2025
(q)
516‌
469‌
3
Month
USD
LIBOR
+
8.50%
Insurance
-
0.11%
AIS
Holdco
LLC
6.79%,
08/15/2025
(q)
12‌
11‌
3
Month
USD
LIBOR
+
5.00%
Confie
Seguros
Holding
II
Co
10.41%,
10/31/2025
(q)
979‌
925‌
3
Month
USD
LIBOR
+
8.50%
$
936‌
Internet
-
0.03%
Uber
Technologies
Inc
5.11%,
07/13/2023
(q)
275‌
272‌
3
Month
USD
LIBOR
+
3.50%
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
139
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Media
-
0.08%
MediArena
Acquisition
BV
10.91%,
08/13/2022
(q)
$
491‌
$
490‌
3
Month
USD
LIBOR
+
2.25%
Ziggo
BV
3.00%,
01/17/2029
(q)
EUR
235‌
254‌
3
Month
Euro
Interbank
Offered
Rate
+
3.00%
$
744‌
Oil
&
Gas
-
0.04%
California
Resources
Corp
6.36%,
11/14/2022
(q)
$
184‌
156‌
1
Month
USD
LIBOR
+
4.75%
Gavilan
Resources
LLC
7.65%,
03/01/2024
(q)
680‌
227‌
3
Month
USD
LIBOR
+
6.00%
$
383‌
Oil
&
Gas
Services
-
0.14%
McDermott
Technology
Americas
Inc
10.72%,
10/21/2020
(q)
360‌
364‌
1
Month
USD
LIBOR
+
9.00%
11.97%,
10/21/2021
(q)
800‌
870‌
1
Month
USD
LIBOR
+
10.00%
$
1,234‌
Pharmaceuticals
-
0.02%
Elanco
Animal
Health
0.00%,
02/04/2027
(q),(r)
180‌
178‌
Pipelines
-
0.14%
Southcross
Energy
0.00%,
01/06/2025
(f),(q),(r)
663‌
499‌
10.65%,
01/06/2025
(q)
769‌
784‌
1
Month
USD
LIBOR
+
9.00%
$
1,283‌
Real
Estate
-
0.00%
Toys
R
Us
Property
Co
I
LLC
0.00%,
02/04/2024
(e),(q)
10‌
10‌
0.00%,
02/04/2024
(e),(q)
3‌
3‌
$
13‌
REITs
-
0.07%
Iron
Mountain
Inc
3.40%,
01/02/2026
(q)
607‌
591‌
3
Month
USD
LIBOR
+
1.75%
Retail
-
0.06%
Spencer
Spirit
IH
LLC
7.63%,
06/12/2026
(q)
489‌
488‌
3
Month
USD
LIBOR
+
5.50%
TOTAL
SENIOR
FLOATING
RATE
INTERESTS
$
15,295‌
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
-
51.61%
Principal
Amount
(000's)
Value
(000's)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
-
2.28%
2.50%,
04/01/2050
(s)
$
20,168‌
$
20,554‌
U.S.
Treasury
-
46.65%
1.13%,
02/28/2022
(o)
6,898‌
6,931‌
1.25%,
10/31/2021
(n)
20,120‌
20,221‌
1.50%,
02/15/2030
1,881‌
1,947‌
1.63%,
12/31/2021
(n)
26‌
26‌
1.63%,
12/15/2022
(n)
7,528‌
7,682‌
1.63%,
09/30/2026
(n)
48,841‌
50,697‌
1.63%,
10/31/2026
(n)
43,386‌
45,040‌
1.75%,
11/15/2029
(n)
2,868‌
3,030‌
1.88%,
03/31/2022
(n)
18,234‌
18,599‌
1.88%,
09/30/2022
(n)
11,272‌
11,559‌
2.13%,
05/15/2022
(n)
50,093‌
51,435‌
2.13%,
11/30/2024
(n)
48,717‌
51,425‌
2.25%,
03/31/2021
(n)
13,602‌
13,774‌
2.50%,
01/15/2022
(n)
26,693‌
27,473‌
2.50%,
02/15/2022
(n)
18,234‌
18,795‌
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
U.S.
Treasury
(continued)
2.63%,
12/31/2023
(n)
$
36,039‌
$
38,365‌
2.75%,
05/31/2023
(n)
13,414‌
14,210‌
2.88%,
07/31/2025
(n)
17,215‌
18,949‌
2.88%,
05/15/2043
(n)
3,622‌
4,485‌
3.00%,
11/15/2045
(n)
7,353‌
9,381‌
3.75%,
11/15/2043
(n)
4,107‌
5,812‌
$
419,836‌
U.S.
Treasury
Bill
-
1.59%
1.47%,
03/19/2020
(n),(t)
4,000‌
3,997‌
1.47%,
12/03/2020
(t)
1,200‌
1,191‌
1.50%,
11/05/2020
(t)
3,100‌
3,077‌
1.52%,
09/10/2020
(t)
2,280‌
2,266‌
1.53%,
10/08/2020
(t)
2,285‌
2,270‌
1.90%,
06/18/2020
(t),(u)
1,470‌
1,465‌
$
14,266‌
U.S.
Treasury
Inflation-Indexed
Obligations
-
1.09%
0.13%,
10/15/2024
(n)
4,861‌
4,995‌
0.50%,
04/15/2024
(n)
4,694‌
4,857‌
$
9,852‌
TOTAL
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
$
464,508‌
REPURCHASE
AGREEMENTS
-
28.24%
Maturity
Amount
(000's)
Value
(000's)
Banks
-
28.24%
Barclays
Repurchase
Agreement
on
securities
sold
short;
1.25%
traded
10/23/2019
(collateralized
by
Comision
Federal
de
Electricidad;
$4,993,401;
6.13%;
dated
06/16/45)
(v)
$
3,982‌
$
3,964‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.25%
traded
02/28/2020
maturing
03/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$23,952,498;
1.38%;
dated
01/31/25)
23,355‌
23,354‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.25%
traded
02/04/2020
(collateralized
by
Argentine
Republic
Government
International
Bond;
$2,930,006;
7.50%;
dated
04/22/26)
(v)
3,137‌
3,135‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.30%
traded
02/14/2020
(collateralized
by
Colombia
Government
International
Bond;
$1,332,276;
5.00%;
dated
06/15/45)
(v)
1,331‌
1,331‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.30%
traded
02/19/2020
(collateralized
by
Mexico
Government
International
Bond;
$2,743,932;
3.75%;
dated
01/11/28)
(v)
2,738‌
2,737‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.45%
traded
09/26/2019
(collateralized
by
Republic
of
South
Africa
Government
International
Bond;
$3,264,818;
4.85%;
dated
09/27/27)
(v)
3,210‌
3,190‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.51%
traded
02/28/2020
maturing
03/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$5,562,167;
2.38%;
dated
11/15/49)
5,074‌
5,074‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.51%
traded
02/28/2020
maturing
03/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$50,365,487;
1.75%;
dated
12/31/24)
49,122‌
49,117‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.54%
traded
02/28/2020
maturing
03/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$38,433,128;
1.50%;
dated
01/31/27)
37,248‌
37,245‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
140
REPURCHASE
AGREEMENTS
(continued)
Maturity
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.59%
traded
02/28/2020
maturing
03/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$31,235,127;
2.38%;
dated
05/15/27)
$
30,191‌
$
30,189‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.59%
traded
02/28/2020
maturing
03/02/2020
(collateralized
by
United
States
Treasury
Inflation
Indexed
Bonds;
$3,071,477;
0.25%;
dated
07/15/29)
2,997‌
2,996‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.59%
traded
02/28/2020
maturing
03/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$19,622,776;
1.75%;
dated
12/31/26)
18,994‌
18,993‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.59%
traded
02/28/2020
maturing
03/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$30,088,481;
1.50%;
dated
01/15/23)
29,666‌
29,664‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.60%
traded
02/28/2020
maturing
03/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$22,775,366;
1.50%;
dated
09/15/22)
22,471‌
22,469‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.61%
traded
02/28/2020
maturing
03/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$20,537,147;
1.50%;
dated
10/31/24)
20,035‌
20,033‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
2.00%
traded
08/02/2019
(collateralized
by
Turkey
Government
International
Bond;
$691,852;
11.88%;
dated
01/15/30)
(v)
688‌
680‌
$
254,171‌
TOTAL
REPURCHASE
AGREEMENTS
$
254,171‌
TOTAL
PURCHASED
OPTIONS
-
0.46%
$
4,136‌
TOTAL
PURCHASED
INTEREST
RATE
SWAPTIONS
-
0.12%
$
1,044‌
Total
Investments
$
1,558,95
0‌
Other
Assets
and
Liabilities
-  (73.22)%
(658,9
59‌
)
TOTAL
NET
ASSETS
-
100.00%
$
899,991‌
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
pledged
as
collateral
for
short
sales.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$109,532
or
12.17%
of
net
assets.
(c)
All
or
a
portion
of
this
security
is
owned
by
the
GMS
Cayman
Corporation,
which
is
a
100%
owned
subsidiary
of
the
fund.
(d)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(e)
Non-income
producing
security
(f)
Fair
value
of
these
investments
is
determined
in
good
faith
by
the
Manager
under
procedures
established
and
periodically
reviewed
by
the
Board
of
Directors.
Certain
inputs
used
in
the
valuation
may
be
unobservable;
however,
each
security
is
evaluated
individually
for
purposes
of
ASC
820
which
results
in
not
all
securities
being
identified
as
Level
3
of
the
fair
value
hierarchy.
At
the
end
of
the
period,
the
fair
value
of
these
securities
totaled
$10,567
or
1.17%
of
net
assets.
(g)
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
$189,629
or
21.07%
of
net
assets.
(h)
The
value
of
these
investments
was
determined
using
significant
unobservable
inputs.
(i)
Restricted
Security.
Please
see
Restricted
Security
Sub-Schedule
for
more
information.
(j)
Perpetual
security.
Perpetual
securities
pay
an
indefinite
stream
of
interest,
but
they
may
be
called
by
the
issuer
at
an
earlier
date.
Date
shown,
if
any,
reflects
the
next
call
date
or
final
legal
maturity
date.
Rate
shown
is
as
of
period
end.
(k)
Rate
shown
is
as
of
period
end.
The
rate
may
be
a
variable
or
floating
rate
or
a
fixed
rate
which
may
convert
to
a
variable
or
floating
rate
in
the
future.
(l)
Certain
variable
rate
securities
are
not
based
on
a
published
reference
rate
and
spread
but
are
determined
by
the
issuer
or
agent
and
are
based
on
current
market
conditions.  These
securities
do
not
indicate
a
reference
rate
and
spread
in
their
description.
Rate
shown
is
the
rate
in
effect
as
of
period
end.
(m)
Security
is
an
Interest
Only
Strip.
(n)
Security
or
portion
of
the
security
was
pledged
as
collateral
for
reverse
repurchase
agreements.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$405,662
or
45.07%
of
net
assets.
(o)
Security
purchased
on
a
when-issued
basis.
(p)
Payment
in
kind;
the
issuer
has
the
option
of
paying
additional
securities
in
lieu
of
cash.
(q)
Rate
information
disclosed
is
based
on
an
average
weighted
rate
of
the
underlying
tranches
as
of
period
end.
(r)
This
Senior
Floating
Rate
Note
will
settle
after
February
29,
2020,
at
which
time
the
interest
rate
will
be
determined.
(s)
Security
was
purchased
in
a
"to-be-announced"
("TBA")
transaction.  See
Notes
to
Financial
Statements
for
additional
information.
(t)
Rate
shown
is
the
discount
rate
of
the
original
purchase.
(u)
Security
or
a
portion
of
the
security
was
pledged
to
cover
margin
requirements
for
futures
contracts.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$847
or
0.09%
of
net
assets.
(v)
Although
the
maturity
date
of
the
repurchase
agreement
is
open-ended
through
the
maturity
date
of
the
collateral,
the
Fund
has
a
right
to
terminate
the
repurchase
agreement
and
demand
repayment
from
the
counterparty
at
any
time
with
two
days'
notice
or
less.
During
periods
of
high
demand
for
the
collateral
security,
the
fund
may
also
pay
the
counterparty
a
fee.
Portfolio
Summary  (unaudited)
Sector
Percent
Government
59.41‌%
Financial
39.48‌%
Money
Market
Funds
13.51‌%
Mortgage
Securities
10.77‌%
Consumer,
Non-cyclical
10.06‌%
Asset
Backed
Securities
8.47‌%
Consumer,
Cyclical
6.78‌%
Industrial
6.28‌%
Technology
6.14‌%
Communications
5.55‌%
Energy
2.87‌%
Basic
Materials
2.05‌%
Utilities
1.19‌%
Purchased
Options
0.46‌%
Purchased
Interest
Rate
Swaptions
0.12‌%
Revenue
Bonds
0.06‌%
Diversified
0.02‌%
Investment
Companies
0.00‌%
Investments
Sold
Short
(46.55‌)%
Other
Assets
and
Liabilities
(26.67‌)%
TOTAL
NET
ASSETS
100.00%
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
141
Affiliated
Securities
August
31,
2019
Purchases
Sales
February
29,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
1.43%
$
151,384‌
$
665,977‌
$
709,775‌
$
107,586‌
$
151,384‌
$
665,977‌
$
709,775‌
$
107,586‌
Income
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/Loss
Principal
Government
Money
Market
Fund
1.43%
$
911‌
$
—‌
$
—‌
$
—‌
$
911‌
$
—‌
$
—‌
$
—‌
Amounts
in
thousands.
Restricted
Securities
Security
Name
Acquisition
Date
Cost
Value
Percent
of
Net
Assets
Airbnb
Inc
-
Series
E  
0.00%
06/24/2015
$
157‌
$
200‌
0.02%
Bellatrix
Exploration
Ltd  
0.00%,
PIK
12.50%,
12/15/2023
06/03/2019
153‌
—‌
0.00%
DraftKings
Inc
12/04/2014
89‌
280‌
0.03%
Element
Comm
Aviation
06/15/2015
2,800‌
2,505‌
0.28%
Forward
Venture
Services
LLC  
0.00%
11/20/2014
102‌
184‌
0.02%
Jand
Inc
04/23/2015
19‌
27‌
0.00%
Jand
Inc  
0.00%
04/23/2015
43‌
60‌
0.01%
Klarna
Holding
AB
08/07/2015
89‌
190‌
0.02%
Marklogic
Corp  
0.00%
04/27/2015
172‌
131‌
0.01%
Uber
Technologies
Inc  
8.00%,
11/01/2026
10/18/2018
-
12/04/2019
260‌
266‌
0.03%
Veracode
Inc  
0.00%
04/18/2017
24‌
3‌
0.00%
WE
Company
Common
Class
A
12/08/2014
6‌
3‌
0.00%
WE
Company
Preferred
D-1  
0.00%
12/08/2014
81‌
54‌
0.01%
WE
Company
Preferred
D-2  
0.00%
12/08/2014
64‌
43‌
0.00%
Total
$
3,946‌
0.43%
Amounts
in
thousands.
Options
Purchased
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
MAXIS
Nikkei
225
Index
N/A
13‌
JPY
13‌
JPY
24,750.00‌
03/16/2020
$
25‌
$
—‌
$
(25‌)
Put
-
S&P
500
Index
N/A
37‌
$
4‌
$
2,775.00‌
09/21/2020
467‌
547‌
80‌
Put
-
S&P
500
Index
N/A
37‌
4‌
$
2,850.00‌
03/23/2020
328‌
300‌
(28‌)
Put
-
S&P
500
Index
N/A
40‌
4‌
$
2,875.00‌
12/21/2020
460‌
841‌
381‌
Put
-
S&P
500
Index
N/A
52‌
5‌
$
3,000.00‌
06/22/2020
310‌
972‌
662‌
Put
-
S&P
500
Index
N/A
21‌
2‌
$
3,200.00‌
03/23/2020
67‌
556‌
489‌
Call
-
EUR
versus
NOK
Goldman
Sachs
&
Co
1
EUR
1,971‌
EUR
10.00‌
03/03/2020
12‌
82‌
70‌
Call
-
EUR
versus
RON
Societe
Generale
1
2,577‌
EUR
4.92‌
05/15/2020
17‌
6‌
(11‌)
Call
-
EUR
versus
RON
BNP
Paribas
1
1,718‌
EUR
4.92‌
05/15/2020
11‌
4‌
(7‌)
Call
-
EUR
versus
USD
Barclays
Bank
PLC
1
6,428‌
EUR
1.23‌
03/31/2020
61‌
—‌
(61‌)
Call
-
EUR
versus
USD
Citigroup
Inc
1
2,815‌
EUR
1.16‌
06/12/2020
15‌
8‌
(7‌)
Call
-
EUR
versus
USD
Barclays
Bank
PLC
1
2,815‌
EUR
1.16‌
06/12/2020
15‌
8‌
(7‌)
Call
-
EUR
versus
USD
Citigroup
Inc
1
3,576‌
EUR
1.11‌
04/13/2020
24‌
37‌
13‌
Call
-
EUR
versus
USD
Barclays
Bank
PLC
1
1,788‌
EUR
1.09‌
04/08/2020
12‌
31‌
19‌
Call
-
EUR
versus
USD
Barclays
Bank
PLC
1
1,788‌
EUR
1.10‌
04/24/2020
12‌
32‌
20‌
Call
-
GBP
versus
USD
Jefferies
&
Company
1
GBP
2,815‌
GBP
1.34‌
03/18/2020
42‌
1‌
(41‌)
Call
-
USD
versus
JPY
Barclays
Bank
PLC
1
$
4,223‌
$
113.25‌
06/01/2020
21‌
4‌
(17‌)
Call
-
USD
versus
THB
Standard
Chartered
Hong
Kong
1
4,700‌
$
32.25‌
08/26/2020
51‌
39‌
(12‌)
Call
-
USD
versus
THB
Standard
Chartered
Hong
Kong
1
5,550‌
$
32.20‌
08/25/2020
62‌
48‌
(14‌)
Put
-
EUR
versus
HUF
Deutsche
Bank
AG
1
EUR
3,015‌
EUR
336.00‌
05/15/2020
31‌
24‌
(7‌)
Put
-
EUR
versus
NOK
Bank
of
America
NA
1
2,815‌
EUR
10.30‌
04/30/2020
29‌
21‌
(8‌)
Put
-
EUR
versus
NOK
Bank
of
America
NA
1
2,815‌
EUR
10.00‌
06/15/2020
28‌
7‌
(21‌)
Put
-
EUR
versus
NOK
Goldman
Sachs
&
Co
1
2,815‌
EUR
10.04‌
05/15/2020
30‌
6‌
(24‌)
Put
-
USD
versus
BRL
Goldman
Sachs
&
Co
1
$
5,185‌
$
4.30‌
06/15/2020
85‌
36‌
(49‌)
Put
-
USD
versus
BRL
Morgan
Stanley
&
Co
1
1,604‌
$
4.28‌
06/15/2020
24‌
10‌
(14‌)
Put
-
USD
versus
BRL
Morgan
Stanley
&
Co
1
3,581‌
$
4.28‌
06/15/2020
57‌
22‌
(35‌)
Put
-
USD
versus
JPY
Citigroup
Inc
1
1,788‌
$
109.00‌
04/13/2020
14‌
32‌
18‌
Put
-
USD
versus
JPY
Goldman
Sachs
&
Co
1
1,689‌
$
109.50‌
04/27/2020
14‌
38‌
24‌
Put
-
USD
versus
JPY
Barclays
Bank
PLC
1
1,788‌
$
109.75‌
04/24/2020
12‌
43‌
31‌
Put
-
USD
versus
JPY
Bank
of
America
NA
1
2,815‌
$
107.50‌
04/27/2020
33‌
36‌
3‌
Call
-
US
10
Year
Note
Future;
June
2020
N/A
60‌
60‌
$
134.50‌
04/27/2020
27‌
91‌
64‌
Call
-
US
10
Year
Note
Future;
June
2020
N/A
60‌
60‌
$
131.50‌
03/30/2020
40‌
202‌
162‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
142
Options
(continued)
Purchased
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
90
Day
Eurodollar
Future;
June
2020
N/A
292‌
$
730‌
$
98.50‌
04/13/2020
$
9‌
$
5‌
$
(4‌)
Put
-
90
Day
Eurodollar
Future;
June
2020
N/A
226‌
565‌
$
98.25‌
06/16/2020
17‌
1‌
(16‌)
Put
-
90
Day
Eurodollar
Future;
March
2020
N/A
869‌
2,173‌
$
98.38‌
03/17/2020
21‌
5‌
(16‌)
Put
-
90
Day
Eurodollar
Future;
March
2020
N/A
338‌
845‌
$
98.13‌
03/17/2020
7‌
2‌
(5‌)
Put
-
90
Day
Eurodollar
Future;
March
2020
N/A
23‌
58‌
$
97.38‌
03/17/2020
3‌
—‌
(3‌)
Put
-
90
Day
Eurodollar
Future;
March
2021
N/A
153‌
383‌
$
98.25‌
03/16/2020
14‌
1‌
(13‌)
Put
-
US
10
Year
Note
Future;
June
2020
N/A
118‌
118‌
$
132.50‌
03/02/2020
29‌
—‌
(29‌)
Put
-
US
10
Year
Note
Future;
June
2020
N/A
30‌
30‌
$
132.00‌
04/27/2020
12‌
11‌
(1‌)
Put
-
US
10
Year
Note
Future;
June
2020
N/A
150‌
150‌
$
129.00‌
04/27/2020
28‌
9‌
(19‌)
Put
-
US
10
Year
Note
Future;
June
2020
N/A
45‌
45‌
$
133.00‌
03/30/2020
24‌
18‌
(6‌)
Total
$
2,600‌
$
4,136‌
$
1,536‌
Written
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
Applied
Materials
Inc
N/A
1‌
$
—‌
$
70.00‌
04/20/2020
$
—‌
$
—‌
$
—‌
Call
-
AT&T
Inc
N/A
4‌
—‌
$
39.00‌
04/20/2020
—‌
—‌
—‌
Call
-
Bristol-Myers
Squibb
Co
N/A
3‌
—‌
$
67.50‌
04/20/2020
—‌
—‌
—‌
Call
-
Citigroup
Inc
N/A
1‌
—‌
$
80.00‌
04/20/2020
—‌
—‌
—‌
Call
-
Comcast
Corp
N/A
3‌
—‌
$
47.50‌
04/20/2020
—‌
—‌
—‌
Call
-
Eaton
Corp
PLC
N/A
1‌
—‌
$
110.00‌
04/20/2020
—‌
—‌
—‌
Call
-
Garmin
Ltd
N/A
1‌
—‌
$
105.00‌
04/20/2020
—‌
—‌
—‌
Call
-
Intel
Corp
N/A
2‌
—‌
$
67.50‌
04/20/2020
—‌
—‌
—‌
Call
-
Interpublic
Group
of
Cos
Inc/The
N/A
1‌
—‌
$
25.00‌
04/20/2020
—‌
—‌
—‌
Call
-
Invesco
Ltd
N/A
6‌
1‌
$
19.00‌
04/20/2020
—‌
—‌
—‌
Call
-
Iron
Mountain
Inc
N/A
3‌
—‌
$
35.00‌
04/20/2020
—‌
—‌
—‌
Call
-
Johnson
Controls
International
plc
N/A
2‌
—‌
$
44.00‌
04/20/2020
—‌
—‌
—‌
Call
-
LPL
Financial
Holdings
Inc
N/A
1‌
—‌
$
100.00‌
04/20/2020
—‌
—‌
—‌
Call
-
Magellan
Midstream
Partners
LP
N/A
2‌
—‌
$
62.50‌
04/20/2020
—‌
—‌
—‌
Call
-
MetLife
Inc
N/A
3‌
—‌
$
52.50‌
04/20/2020
—‌
—‌
—‌
Call
-
Omnicom
Group
Inc
N/A
1‌
—‌
$
80.00‌
04/20/2020
—‌
—‌
—‌
Call
-
Oracle
Corp
N/A
2‌
—‌
$
57.50‌
04/20/2020
—‌
—‌
—‌
Call
-
QUALCOMM
Inc
N/A
1‌
—‌
$
95.00‌
04/20/2020
—‌
—‌
—‌
Call
-
Target
Corp
N/A
1‌
—‌
$
125.00‌
04/20/2020
—‌
—‌
—‌
Call
-
Verizon
Communications
Inc
N/A
1‌
—‌
$
60.00‌
04/20/2020
—‌
—‌
—‌
Put
-
S&P
500
Index
N/A
18‌
2‌
$
2,800.00‌
03/23/2020
(47‌)
(128‌)
(81‌)
Put
-
S&P
500
Index
N/A
40‌
4‌
$
2,625.00‌
12/21/2020
(272‌)
(517‌)
(245‌)
Put
-
S&P
500
Index
N/A
26‌
3‌
$
2,750.00‌
06/22/2020
(71‌)
(272‌)
(201‌)
Put
-
S&P
500
Index
N/A
21‌
2‌
$
3,000.00‌
03/23/2020
(24‌)
(281‌)
(257‌)
Put
-
S&P
500
Index
N/A
37‌
4‌
$
2,550.00‌
09/21/2020
(292‌)
(321‌)
(29‌)
Call
-
EUR
versus
NOK
Goldman
Sachs
&
Co
1
EUR
2,192‌
EUR
10.40‌
03/03/2020
(12‌)
(5‌)
7‌
Call
-
USD
versus
BRL
JPMorgan
Chase
1
$
1,408‌
$
4.46‌
06/15/2020
(23‌)
(41‌)
(18‌)
Call
-
USD
versus
JPY
Barclays
Bank
PLC
1
894‌
$
112.25‌
04/24/2020
(4‌)
(1‌)
3‌
Call
-
USD
versus
JPY
Citigroup
Inc
1
894‌
$
111.00‌
06/01/2020
(6‌)
(3‌)
3‌
Put
-
EUR
versus
USD
Barclays
Bank
PLC
1
EUR
894‌
EUR
1.08‌
05/26/2020
(5‌)
(3‌)
2‌
Put
-
EUR
versus
USD
Barclays
Bank
PLC
1
894‌
EUR
1.08‌
04/24/2020
(5‌)
(2‌)
3‌
Put
-
EUR
versus
USD
Citigroup
Inc
1
1,490‌
EUR
1.09‌
06/01/2020
(11‌)
(10‌)
1‌
Put
-
USD
versus
BRL
Goldman
Sachs
&
Co
1
$
10,370‌
$
4.19‌
06/15/2020
(82‌)
(32‌)
50‌
Call
-
US
10
Year
Note
Future;
June
2020
N/A
60‌
60‌
$
137.00‌
04/27/2020
(25‌)
(40‌)
(15‌)
Call
-
US
10
Year
Note
Future;
June
2020
N/A
21‌
21‌
$
132.50‌
04/27/2020
(9‌)
(57‌)
(48‌)
Call
-
US
10
Year
Note
Future;
June
2020
N/A
45‌
45‌
$
136.50‌
04/27/2020
(20‌)
(35‌)
(15‌)
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
143
Options
(continued)
Written
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
90
Day
Eurodollar
Future;
June
2020
N/A
226‌
$
565‌
$
98.13‌
06/16/2020
$
(6‌)
$
(2‌)
$
4‌
Put
-
90
Day
Eurodollar
Future;
March
2020
N/A
338‌
845‌
$
98.00‌
03/17/2020
(2‌)
(2‌)
—‌
Put
-
US
10
Year
Note
Future;
June
2020
N/A
60‌
60‌
$
131.00‌
04/27/2020
(20‌)
(11‌)
9‌
Put
-
US
10
Year
Note
Future;
June
2020
N/A
30‌
30‌
$
130.00‌
03/30/2020
(14‌)
(1‌)
13‌
Put
-
US
10
Year
Note
Future;
June
2020
N/A
300‌
300‌
$
128.00‌
03/30/2020
(37‌)
(5‌)
32‌
Total
$
(987‌)
$
(1,769‌)
$
(782‌)
Amounts
in
thousands
except
contracts/shares.
Interest
Rate
Swaptions
Purchased
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
2
Year
Interest
Rate
Swap
Bank
of
America
NA
3
Month
KRW
Certificate
of
Deposit
Receive
KRW
85,700,000‌
1.75%
03/16/2020
$
183‌
$
934‌
$
751‌
Call
-
2
Year
Interest
Rate
Swap
Bank
of
America
NA
3
Month
KRW
Certificate
of
Deposit
Pay
72,500,000‌
0.95%
08/06/2020
192‌
110‌
(82‌)
Total
$
375‌
$
1,044‌
$
669‌
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
10
Year
Interest
Rate
Swap
Bank
of
America
NA
3
Month
KRW
Certificate
of
Deposit
Receive
KRW
12,855,000‌
1.70%
03/16/2020
$
(113‌)
$
(697‌)
$
(584‌)
Put
-
10
Year
Interest
Rate
Swap
Bank
of
America
NA
3
Month
KRW
Certificate
of
Deposit
Pay
12,855,000‌
2.00%
03/16/2020
(70‌)
—‌
70‌
Put
-
10
Year
Interest
Rate
Swap
Bank
of
America
NA
3
Month
KRW
Certificate
of
Deposit
Receive
14,500,000‌
1.40%
08/06/2020
(69‌)
(44‌)
25‌
Total
$
(252‌)
$
(741‌)
$
(489‌)
Amounts
in
thousands.
Futures
Contracts
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
90
Day
Eurodollar;
June
2021
Long
365‌
$
90,538‌
$
696‌
90
Day
Eurodollar;
March
2021
Short
3‌
744‌
(4‌)
90
Day
Eurodollar;
September
2023
Short
85‌
21,036‌
(34‌)
90
Day
Short
Sterling;
June
2021
Long
245‌
39,099‌
70‌
90
Day
Short
Sterling;
March
2021
Long
42‌
6,703‌
7‌
Australia
10
Year
Bond;
March
2020
Long
84‌
8,192‌
179‌
Australia
10
Year
Bond;
March
2020
Long
15‌
1,463‌
52‌
Brent
Crude;
May
2020
(a)
Long
6‌
298‌
(48‌)
CAC40
Index;
March
2020
Long
37‌
2,168‌
(321‌)
Canada
10
Year
Bond;
June
2020
Long
4‌
425‌
—‌
Canada
10
Year
Bond;
June
2020
Long
121‌
12,866‌
175‌
Canadian
Bank
Acceptance;
December
2020
Long
74‌
13,603‌
67‌
Canadian
Bank
Acceptance;
June
2021
Long
28‌
5,149‌
32‌
Canadian
Bank
Acceptance;
March
2021
Long
21‌
3,862‌
8‌
Cocoa;
May
2020
(a)
Long
31‌
777‌
(16‌)
Coffee
'C';
May
2020
(a)
Short
8‌
334‌
(15‌)
Corn;
May
2020
(a)
Short
79‌
1,455‌
61‌
Cotton
No.2;
May
2020
(a)
Long
18‌
553‌
(69‌)
DAX
Index;
March
2020
Long
20‌
6,524‌
(887‌)
DJ
Euro
Stoxx
50;
March
2020
Short
323‌
11,817‌
1,491‌
DJ
Euro
Stoxx
50;
March
2020
Long
197‌
7,207‌
(928‌)
Dollar
Index;
March
2020
Long
9‌
883‌
(13‌)
E-Mini
DJIA
Index;
March
2020
Long
14‌
1,775‌
(266‌)
eMini
MSCI
Emerging
Markets;
March
2020
Short
33‌
1,664‌
125‌
EUR/USD
Future;
March
2020
Short
7‌
966‌
11‌
Euribor;
June
2021
Short
23‌
6,381‌
(4‌)
Euribor;
March
2021
Long
39‌
10,820‌
4‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
144
Futures
Contracts
(continued)
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
Euro
Bond
10
Year
Bond;
March
2020
Short
8‌
$
1,567‌
$
(6‌)
Euro
Bond
10
Year
Bond;
March
2020
Long
54‌
10,579‌
177‌
Euro
Buxl
30
Year
Bond;
June
2020
Short
9‌
2,168‌
(50‌)
Euro-Bobl
5
Year;
March
2020
Long
83‌
12,430‌
47‌
Euro-BTP;
June
2020
Long
37‌
5,974‌
8‌
FTSE
China
A50
Index;
March
2020
Short
54‌
716‌
30‌
FTSE100
Index;
March
2020
Short
51‌
4,269‌
607‌
FTSE100
Index;
March
2020
Long
21‌
1,758‌
(274‌)
Gasoline
RBOB;
April
2020
(a)
Long
8‌
498‌
(98‌)
Gold
100
oz;
April
2020
(a)
Long
39‌
6,110‌
(36‌)
Hang
Seng
Index;
March
2020
Long
20‌
3,357‌
(38‌)
Hang
Seng
Index;
March
2020
Short
6‌
1,007‌
22‌
HSCEI
China
Index;
March
2020
Short
16‌
1,063‌
23‌
Japan
10
Year
Bond
TSE;
March
2020
Long
1‌
1,428‌
17‌
Japan
10
Year
Bond
TSE;
March
2020
Short
11‌
15,713‌
(198‌)
Japan
Topix
Index;
March
2020
Long
53‌
7,368‌
(1,077‌)
Japan
Topix
Index;
March
2020
Short
18‌
2,502‌
357‌
KC
HRW
Wheat;
July
2020
(a)
Long
4‌
92‌
(2‌)
LME
Copper;
June
2020
(a)
Short
25‌
3,526‌
54‌
LME
Copper;
March
2020
(a)
Short
—‌
—‌
(248‌)
LME
PRI
Alum;
June
2020
(a)
Short
30‌
1,275‌
20‌
LME
PRI
Alum;
March
2020
(a)
Short
—‌
—‌
59‌
LME
Zinc;
June
2020
(a)
Short
34‌
1,717‌
166‌
LME
Zinc;
March
2020
(a)
Short
—‌
—‌
214‌
Low
Sulphur
Gasoline;
April
2020
(a)
Short
32‌
1,406‌
216‌
Mini
Japan
10
Year
Bond;
March
2020
Short
9‌
1,285‌
(8‌)
Nasdaq
100
E-Mini;
March
2020
Long
25‌
4,227‌
(416‌)
Natural
Gas;
April
2020
(a)
Short
51‌
859‌
105‌
Nikkei
225
OSE;
March
2020
Long
30‌
5,863‌
(672‌)
Nikkei
225
OSE;
March
2020
Short
11‌
2,150‌
269‌
NY
Harb
ULSD;
April
2020
(a)
Short
27‌
1,675‌
226‌
Russell
2000
Emini;
March
2020
Long
58‌
4,277‌
(585‌)
Russell
2000
Emini;
March
2020
Short
192‌
14,159‌
1,640‌
S&P
500
Emini;
March
2020
Long
44‌
6,492‌
(759‌)
S&P
500
Emini;
March
2020
Short
72‌
10,624‌
915‌
S&P
Mid
400
Emini;
March
2020
Short
19‌
3,443‌
465‌
S&P/TSX
60
Index;
March
2020
Short
10‌
1,447‌
60‌
Short
Term
Euro-BTP;
March
2020
Long
27‌
3,356‌
9‌
Silver;
May
2020
(a)
Long
33‌
2,715‌
(316‌)
Soybean
Meal;
May
2020
(a)
Short
21‌
642‌
(17‌)
Soybean
Oil;
May
2020
(a)
Long
14‌
241‌
(20‌)
Soybean;
May
2020
(a)
Short
42‌
1,875‌
26‌
Sugar
#11;
May
2020
(a)
Long
42‌
665‌
(38‌)
UK
10
Year
Gilt;
June
2020
Long
11‌
1,910‌
2‌
UK
10
Year
Gilt;
June
2020
Long
87‌
15,103‌
138‌
US
10
Year
Note;
June
2020
Short
107‌
14,418‌
(109‌)
US
10
Year
Note;
June
2020
Long
61‌
8,220‌
101‌
US
10
Year
Note;
June
2020
Long
167‌
22,503‌
366‌
US
2
Year
Note;
June
2020
Long
204‌
44,539‌
272‌
US
2
Year
Note;
June
2020
Short
441‌
96,283‌
(349‌)
US
5
Year
Note;
June
2020
Long
24‌
2,946‌
31‌
US
5
Year
Note;
June
2020
Long
301‌
36,948‌
451‌
US
Long
Bond;
June
2020
Short
31‌
5,278‌
(70‌)
US
Long
Bond;
June
2020
Long
66‌
11,237‌
297‌
US
Long
Bond;
June
2020
Long
19‌
3,235‌
71‌
US
Ultra
Bond;
June
2020
Short
21‌
4,357‌
2‌
US
Ultra
Bond;
June
2020
Short
51‌
10,582‌
(184‌)
Wheat;
May
2020
(a)
Long
45‌
1,181‌
(48‌)
WTI
Crude;
April
2020
(a)
Short
37‌
1,656‌
234‌
Total
$
2,452‌
Amounts
in
thousands
except
contracts.
(a)
All
or
a
portion
of
this
security
is
owned
by
the
GMS
Cayman
Corporation,
which
is
a
100%
owned
subsidiary
of
the
fund.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
145
Foreign
Currency
Contracts
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
Bank
of
America
NA
03/19/2020
JPY
1,549,578‌
$
14,180‌
$
201‌
$
—‌
Bank
of
America
NA
03/19/2020
$
30,001‌
JPY
3,283,362‌
—‌
(471‌)
Bank
of
America
NA
03/20/2020
AUD
17,766‌
$
12,344‌
—‌
(767‌)
Bank
of
America
NA
03/20/2020
AUD
596‌
$
388‌
—‌
—‌
Bank
of
America
NA
03/20/2020
$
22,954‌
AUD
33,685‌
1,004‌
—‌
Bank
of
America
NA
03/20/2020
GBP
13,947‌
$
18,272‌
—‌
(383‌)
Bank
of
America
NA
03/20/2020
$
7,637‌
GBP
5,906‌
62‌
—‌
Bank
of
America
NA
03/20/2020
$
127‌
CAD
170‌
—‌
—‌
Bank
of
America
NA
03/20/2020
CAD
17,719‌
$
13,588‌
—‌
(386‌)
Bank
of
America
NA
03/20/2020
$
9,960‌
CAD
13,196‌
128‌
—‌
Bank
of
America
NA
03/20/2020
EUR
3,045‌
$
3,333‌
32‌
—‌
Bank
of
America
NA
03/20/2020
$
6,373‌
EUR
5,786‌
—‌
(21‌)
Bank
of
America
NA
03/20/2020
EUR
8,632‌
$
9,646‌
—‌
(107‌)
Bank
of
America
NA
03/20/2020
$
32,416‌
EUR
29,052‌
312‌
—‌
Bank
of
America
NA
03/20/2020
$
127‌
MXN
2,514‌
—‌
—‌
Bank
of
America
NA
03/20/2020
MXN
73,506‌
$
3,811‌
—‌
(86‌)
Bank
of
America
NA
03/20/2020
$
331‌
MXN
6,305‌
11‌
—‌
Bank
of
America
NA
03/20/2020
NZD
13,705‌
$
9,113‌
—‌
(547‌)
Bank
of
America
NA
03/20/2020
NZD
272‌
$
170‌
—‌
—‌
Bank
of
America
NA
03/20/2020
$
13,507‌
NZD
20,963‌
405‌
—‌
Bank
of
America
NA
03/20/2020
$
262‌
CHF
252‌
—‌
—‌
Bank
of
America
NA
03/20/2020
CHF
858‌
$
891‌
—‌
—‌
Bank
of
America
NA
03/20/2020
$
12,355‌
CHF
12,086‌
—‌
(191‌)
Bank
of
America
NA
03/20/2020
CHF
17,513‌
$
18,097‌
82‌
—‌
Bank
of
New
York
Mellon
03/02/2020
AUD
16‌
$
11‌
—‌
—‌
Bank
of
New
York
Mellon
03/02/2020
ZAR
25,712‌
$
1,682‌
—‌
(34‌)
Bank
of
New
York
Mellon
03/13/2020
EUR
6,475‌
$
7,354‌
—‌
(202‌)
Bank
of
New
York
Mellon
03/13/2020
$
7,543‌
EUR
6,475‌
391‌
—‌
Bank
of
New
York
Mellon
03/16/2020
$
3,350‌
EUR
3,100‌
—‌
(75‌)
Bank
of
New
York
Mellon
03/16/2020
$
392‌
EUR
350‌
5‌
—‌
Bank
of
New
York
Mellon
03/18/2020
GBP
4,367‌
$
5,729‌
—‌
(127‌)
Bank
of
New
York
Mellon
03/18/2020
$
981‌
GBP
750‌
19‌
—‌
Bank
of
New
York
Mellon
03/18/2020
$
679‌
CAD
900‌
8‌
—‌
Bank
of
New
York
Mellon
03/18/2020
EUR
490‌
$
549‌
—‌
(8‌)
Bank
of
New
York
Mellon
03/18/2020
EUR
750‌
$
826‌
3‌
—‌
Bank
of
New
York
Mellon
03/18/2020
$
3,235‌
EUR
2,965‌
—‌
(41‌)
Bank
of
New
York
Mellon
03/18/2020
$
2,585‌
EUR
2,320‌
22‌
—‌
Bank
of
New
York
Mellon
03/18/2020
$
174‌
HKD
1,350‌
1‌
—‌
Bank
of
New
York
Mellon
03/18/2020
$
191‌
HKD
1,500‌
—‌
(1‌)
Bank
of
New
York
Mellon
03/18/2020
$
13,885‌
JPY
1,498,500‌
—‌
(21‌)
Bank
of
New
York
Mellon
03/18/2020
JPY
318,300‌
$
2,898‌
56‌
—‌
Bank
of
New
York
Mellon
03/18/2020
NOK
7,000‌
$
745‌
—‌
(1‌)
Bank
of
New
York
Mellon
03/18/2020
$
1,299‌
NOK
11,850‌
39‌
—‌
Bank
of
New
York
Mellon
03/18/2020
NOK
805‌
$
85‌
1‌
—‌
Bank
of
New
York
Mellon
03/18/2020
$
1,955‌
SEK
18,400‌
38‌
—‌
Bank
of
New
York
Mellon
03/18/2020
SEK
17,000‌
$
1,755‌
16‌
—‌
Bank
of
New
York
Mellon
03/18/2020
$
3,116‌
CHF
3,030‌
—‌
(29‌)
Bank
of
New
York
Mellon
03/18/2020
CHF
1,500‌
$
1,535‌
22‌
—‌
Bank
of
New
York
Mellon
03/20/2020
EUR
1,620‌
$
1,753‌
38‌
—‌
Bank
of
New
York
Mellon
03/20/2020
EUR
723‌
$
800‌
—‌
(1‌)
Bank
of
New
York
Mellon
03/20/2020
$
7,347‌
EUR
6,565‌
92‌
—‌
Bank
of
New
York
Mellon
04/17/2020
$
4,062‌
GBP
3,100‌
83‌
—‌
Bank
of
New
York
Mellon
04/20/2020
$
909‌
ZAR
13,559‌
46‌
—‌
Bank
of
New
York
Mellon
04/24/2020
$
2,815‌
EUR
2,532‌
11‌
—‌
Bank
of
New
York
Mellon
04/24/2020
$
5,970‌
ZAR
87,919‌
375‌
—‌
Bank
of
New
York
Mellon
05/26/2020
$
1,663‌
ZAR
25,712‌
34‌
—‌
Bank
of
New
York
Mellon
06/12/2020
$
1,300‌
EUR
1,119‌
58‌
—‌
Barclays
Bank
PLC
03/02/2020
BRL
9,974‌
$
2,394‌
—‌
(164‌)
Barclays
Bank
PLC
03/02/2020
$
2,310‌
BRL
9,974‌
80‌
—‌
Barclays
Bank
PLC
03/02/2020
EUR
3,286‌
$
3,608‌
19‌
—‌
Barclays
Bank
PLC
03/02/2020
$
3,606‌
EUR
3,286‌
—‌
(21‌)
Barclays
Bank
PLC
03/02/2020
$
1,013‌
JPY
111,351‌
—‌
(19‌)
Barclays
Bank
PLC
03/02/2020
JPY
111,351‌
$
1,013‌
19‌
—‌
Barclays
Bank
PLC
03/02/2020
NOK
13,361‌
$
1,422‌
—‌
(2‌)
Barclays
Bank
PLC
03/02/2020
$
1,424‌
NOK
13,361‌
4‌
—‌
Barclays
Bank
PLC
03/03/2020
JPY
121,946‌
$
1,126‌
5‌
—‌
Barclays
Bank
PLC
03/03/2020
$
2,167‌
JPY
234,400‌
—‌
(6‌)
Barclays
Bank
PLC
03/04/2020
EUR
1,295‌
$
1,428‌
2‌
—‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
146
Foreign
Currency
Contracts
(continued)
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
Barclays
Bank
PLC
03/04/2020
$
1,541‌
EUR
1,408‌
$
—‌
$
(13‌)
Barclays
Bank
PLC
03/04/2020
NOK
14,476‌
$
1,541‌
—‌
(2‌)
Barclays
Bank
PLC
03/04/2020
$
496‌
NOK
4,644‌
2‌
—‌
Barclays
Bank
PLC
03/04/2020
$
932‌
NOK
8,780‌
—‌
(1‌)
Barclays
Bank
PLC
03/05/2020
CNH
8,346‌
$
1,198‌
—‌
(2‌)
Barclays
Bank
PLC
03/05/2020
$
13,814‌
CNH
97,414‌
—‌
(145‌)
Barclays
Bank
PLC
03/05/2020
CNH
61,299‌
$
8,739‌
45‌
—‌
Barclays
Bank
PLC
03/06/2020
AUD
563‌
$
374‌
—‌
(7‌)
Barclays
Bank
PLC
03/06/2020
CAD
756‌
$
563‌
—‌
—‌
Barclays
Bank
PLC
03/06/2020
$
1,116‌
CAD
1,479‌
14‌
—‌
Barclays
Bank
PLC
03/06/2020
CAD
2,809‌
$
2,107‌
—‌
(14‌)
Barclays
Bank
PLC
03/06/2020
$
1,970‌
CAD
2,650‌
—‌
(4‌)
Barclays
Bank
PLC
03/06/2020
$
4,297‌
EUR
3,914‌
—‌
(25‌)
Barclays
Bank
PLC
03/06/2020
EUR
6,026‌
$
6,614‌
39‌
—‌
Barclays
Bank
PLC
03/06/2020
$
625‌
EUR
563‌
3‌
—‌
Barclays
Bank
PLC
03/06/2020
$
3,941‌
JPY
429,538‌
—‌
(42‌)
Barclays
Bank
PLC
03/06/2020
JPY
438,329‌
$
3,984‌
81‌
—‌
Barclays
Bank
PLC
03/06/2020
NOK
5,234‌
$
563‌
—‌
(7‌)
Barclays
Bank
PLC
03/06/2020
NOK
2,649‌
$
282‌
—‌
—‌
Barclays
Bank
PLC
03/06/2020
SEK
17,938‌
$
1,861‌
6‌
—‌
Barclays
Bank
PLC
03/06/2020
$
2,169‌
SEK
20,882‌
—‌
(4‌)
Barclays
Bank
PLC
03/09/2020
$
729‌
AUD
1,105‌
9‌
—‌
Barclays
Bank
PLC
03/09/2020
AUD
677‌
$
453‌
—‌
(12‌)
Barclays
Bank
PLC
03/09/2020
JPY
65,140‌
$
591‌
13‌
—‌
Barclays
Bank
PLC
03/09/2020
$
2,023‌
JPY
222,970‌
—‌
(45‌)
Barclays
Bank
PLC
03/09/2020
NZD
3,176‌
$
2,035‌
—‌
(50‌)
Barclays
Bank
PLC
03/09/2020
$
675‌
NZD
1,052‌
17‌
—‌
Barclays
Bank
PLC
03/09/2020
NOK
11,959‌
$
1,289‌
—‌
(18‌)
Barclays
Bank
PLC
03/09/2020
$
1,539‌
NOK
14,224‌
27‌
—‌
Barclays
Bank
PLC
03/09/2020
$
1,080‌
SEK
10,557‌
—‌
(19‌)
Barclays
Bank
PLC
03/09/2020
SEK
13,009‌
$
1,352‌
2‌
—‌
Barclays
Bank
PLC
03/13/2020
GBP
563‌
$
725‌
—‌
(3‌)
Barclays
Bank
PLC
03/13/2020
NZD
563‌
$
356‌
—‌
(4‌)
Barclays
Bank
PLC
03/16/2020
$
1,896‌
MYR
7,875‌
26‌
—‌
Barclays
Bank
PLC
03/16/2020
MYR
7,875‌
$
1,892‌
—‌
(22‌)
Barclays
Bank
PLC
03/18/2020
$
137‌
INR
9,969‌
—‌
(1‌)
Barclays
Bank
PLC
03/18/2020
$
2,230‌
INR
160,067‌
20‌
—‌
Barclays
Bank
PLC
03/18/2020
INR
177,683‌
$
2,480‌
—‌
(26‌)
Barclays
Bank
PLC
03/18/2020
$
1,463‌
IDR
20,098,144‌
72‌
—‌
Barclays
Bank
PLC
03/18/2020
IDR
28,454,447‌
$
2,068‌
—‌
(98‌)
Barclays
Bank
PLC
03/18/2020
MYR
837‌
$
197‌
2‌
—‌
Barclays
Bank
PLC
03/18/2020
$
40,180‌
MXN
765,852‌
1,360‌
—‌
Barclays
Bank
PLC
03/18/2020
MXN
714,609‌
$
37,551‌
—‌
(1,329‌)
Barclays
Bank
PLC
03/18/2020
MXN
56,020‌
$
2,830‌
10‌
—‌
Barclays
Bank
PLC
03/18/2020
$
1,195‌
THB
36,125‌
50‌
—‌
Barclays
Bank
PLC
03/18/2020
THB
36,112‌
$
1,195‌
—‌
(50‌)
Barclays
Bank
PLC
03/20/2020
$
1,697‌
PEN
5,675‌
55‌
—‌
Barclays
Bank
PLC
03/20/2020
PEN
5,726‌
$
1,696‌
—‌
(40‌)
Barclays
Bank
PLC
03/23/2020
$
265‌
EUR
245‌
—‌
(6‌)
Barclays
Bank
PLC
03/25/2020
$
2,815‌
MXN
55,850‌
—‌
(13‌)
Barclays
Bank
PLC
03/25/2020
MXN
53,612‌
$
2,815‌
—‌
(100‌)
Barclays
Bank
PLC
04/02/2020
$
1,126‌
KRW
1,359,445‌
—‌
(6‌)
Barclays
Bank
PLC
04/10/2020
$
2,111‌
JPY
230,369‌
—‌
(30‌)
Barclays
Bank
PLC
04/10/2020
JPY
353,742‌
$
3,246‌
41‌
—‌
Barclays
Bank
PLC
04/10/2020
TRY
12,095‌
$
1,989‌
—‌
(80‌)
Barclays
Bank
PLC
04/10/2020
$
1,989‌
TRY
12,100‌
79‌
—‌
Barclays
Bank
PLC
04/14/2020
EUR
609‌
$
665‌
9‌
—‌
Barclays
Bank
PLC
04/14/2020
$
1,481‌
EUR
1,350‌
—‌
(13‌)
Barclays
Bank
PLC
04/14/2020
$
424‌
EUR
378‌
5‌
—‌
Barclays
Bank
PLC
04/14/2020
EUR
1,350‌
$
1,510‌
—‌
(16‌)
Barclays
Bank
PLC
04/14/2020
$
464‌
EUR
420‌
—‌
(1‌)
Barclays
Bank
PLC
04/14/2020
EUR
1,556‌
$
1,734‌
—‌
(12‌)
Barclays
Bank
PLC
04/17/2020
$
384‌
CNH
2,662‌
3‌
—‌
Barclays
Bank
PLC
04/17/2020
CNH
5,293‌
$
757‌
1‌
—‌
Barclays
Bank
PLC
04/17/2020
$
1,157‌
CNH
8,207‌
—‌
(18‌)
Barclays
Bank
PLC
04/17/2020
$
1,746‌
MXN
33,006‌
81‌
—‌
Barclays
Bank
PLC
04/17/2020
MXN
5,186‌
$
276‌
—‌
(14‌)
Barclays
Bank
PLC
04/17/2020
MXN
29,221‌
$
1,470‌
4‌
—‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
147
Foreign
Currency
Contracts
(continued)
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
Barclays
Bank
PLC
04/22/2020
BRL
37,468‌
$
9,204‌
$
—‌
$
(846‌)
Barclays
Bank
PLC
04/22/2020
$
8,832‌
BRL
37,468‌
474‌
—‌
Barclays
Bank
PLC
04/28/2020
$
434‌
EUR
390‌
2‌
—‌
Barclays
Bank
PLC
04/28/2020
EUR
390‌
$
433‌
—‌
(1‌)
Barclays
Bank
PLC
04/28/2020
EUR
1,440‌
$
1,595‌
—‌
—‌
Barclays
Bank
PLC
04/28/2020
ZAR
6,317‌
$
434‌
—‌
(32‌)
Barclays
Bank
PLC
04/28/2020
$
432‌
ZAR
6,291‌
32‌
—‌
Barclays
Bank
PLC
04/28/2020
$
1,595‌
ZAR
25,281‌
—‌
(13‌)
Barclays
Bank
PLC
05/11/2020
$
1,788‌
PEN
6,046‌
41‌
—‌
Barclays
Bank
PLC
05/11/2020
PEN
6,065‌
$
1,787‌
—‌
(35‌)
Barclays
Bank
PLC
05/14/2020
COP
4,898,722‌
$
1,463‌
—‌
(74‌)
Barclays
Bank
PLC
05/26/2020
$
1,336‌
CNH
9,388‌
—‌
(7‌)
Barclays
Bank
PLC
05/27/2020
BRL
5,254‌
$
1,206‌
—‌
(36‌)
Barclays
Bank
PLC
05/27/2020
$
1,196‌
BRL
5,254‌
26‌
—‌
Barclays
Bank
PLC
06/11/2020
$
9,690‌
THB
298,707‌
205‌
—‌
Barclays
Bank
PLC
06/11/2020
$
850‌
THB
27,022‌
—‌
(8‌)
Barclays
Bank
PLC
06/11/2020
THB
26,792‌
$
850‌
1‌
—‌
Barclays
Bank
PLC
06/11/2020
THB
298,305‌
$
9,690‌
—‌
(218‌)
Barclays
Bank
PLC
06/16/2020
$
2,001‌
BRL
8,751‌
54‌
—‌
Barclays
Bank
PLC
06/16/2020
BRL
8,745‌
$
2,002‌
—‌
(57‌)
Barclays
Bank
PLC
06/16/2020
$
412‌
MXN
7,777‌
23‌
—‌
Barclays
Bank
PLC
06/16/2020
MXN
7,782‌
$
412‌
—‌
(23‌)
Barclays
Bank
PLC
06/17/2020
$
8,430‌
MXN
162,655‌
300‌
—‌
Barclays
Bank
PLC
06/17/2020
MXN
214,606‌
$
11,260‌
—‌
(534‌)
Barclays
Bank
PLC
06/17/2020
$
2,830‌
MXN
56,812‌
—‌
(10‌)
Barclays
Bank
PLC
08/25/2020
MXN
57,170‌
$
2,815‌
12‌
—‌
Barclays
Bank
PLC
08/25/2020
$
2,815‌
MXN
54,762‌
107‌
—‌
Barclays
Bank
PLC
08/27/2020
$
555‌
THB
17,588‌
—‌
(4‌)
Barclays
Bank
PLC
08/27/2020
THB
17,707‌
$
555‌
8‌
—‌
Citigroup
Inc
03/11/2020
$
16,214‌
EUR
14,713‌
—‌
(37‌)
Citigroup
Inc
03/18/2020
$
10,885‌
EUR
9,751‌
111‌
—‌
Citigroup
Inc
04/30/2020
$
738‌
BRL
3,200‌
24‌
—‌
Citigroup
Inc
04/30/2020
BRL
3,200‌
$
755‌
—‌
(41‌)
Deutsche
Bank
AG
04/30/2020
$
380‌
GBP
291‌
6‌
—‌
Goldman
Sachs
&
Co
03/11/2020
$
51‌
EUR
46‌
—‌
—‌
Goldman
Sachs
&
Co
03/20/2020
$
1,585‌
MXN
30,000‌
65‌
—‌
Goldman
Sachs
&
Co
03/20/2020
$
4,525‌
RUB
290,950‌
192‌
—‌
Goldman
Sachs
&
Co
04/14/2020
MXN
14,035‌
$
737‌
—‌
(29‌)
Goldman
Sachs
&
Co
04/14/2020
$
733‌
MXN
14,035‌
25‌
—‌
HSBC
Securities
Inc
03/11/2020
$
104‌
EUR
96‌
—‌
(2‌)
HSBC
Securities
Inc
03/11/2020
EUR
893‌
$
980‌
6‌
—‌
HSBC
Securities
Inc
03/20/2020
$
1,585‌
MXN
30,175‌
56‌
—‌
HSBC
Securities
Inc
03/20/2020
$
4,535‌
PEN
15,450‌
65‌
—‌
HSBC
Securities
Inc
03/20/2020
$
2,936‌
RUB
192,600‌
67‌
—‌
HSBC
Securities
Inc
03/20/2020
KRW
5,400,000‌
$
4,537‌
—‌
(61‌)
HSBC
Securities
Inc
03/20/2020
$
4,485‌
KRW
5,400,000‌
9‌
—‌
HSBC
Securities
Inc
04/13/2020
CAD
1,955‌
$
1,499‌
—‌
(42‌)
HSBC
Securities
Inc
04/13/2020
$
1,470‌
CAD
1,955‌
13‌
—‌
HSBC
Securities
Inc
04/15/2020
$
736‌
SEK
7,100‌
—‌
(5‌)
HSBC
Securities
Inc
04/15/2020
SEK
7,100‌
$
752‌
—‌
(11‌)
HSBC
Securities
Inc
04/22/2020
AUD
2,160‌
$
1,490‌
—‌
(82‌)
HSBC
Securities
Inc
04/22/2020
$
1,445‌
AUD
2,160‌
37‌
—‌
HSBC
Securities
Inc
05/13/2020
$
77‌
EUR
70‌
—‌
(1‌)
HSBC
Securities
Inc
05/28/2020
$
2,940‌
IDR
41,650,000‌
105‌
—‌
HSBC
Securities
Inc
05/28/2020
IDR
3,600,000‌
$
253‌
—‌
(8‌)
JPMorgan
Chase
03/20/2020
$
7,837‌
CLP
6,245,000‌
200‌
—‌
Merrill
Lynch
03/23/2020
$
400‌
CAD
530‌
5‌
—‌
Merrill
Lynch
03/23/2020
$
205‌
EUR
190‌
—‌
(5‌)
Merrill
Lynch
04/14/2020
$
743‌
IDR
10,293,645‌
37‌
—‌
Merrill
Lynch
04/14/2020
IDR
10,293,645‌
$
744‌
—‌
(38‌)
Merrill
Lynch
04/15/2020
JPY
327,555‌
$
3,007‌
38‌
—‌
Merrill
Lynch
04/15/2020
$
2,995‌
JPY
327,555‌
—‌
(50‌)
Merrill
Lynch
04/15/2020
$
1,825‌
NOK
16,955‌
22‌
—‌
Merrill
Lynch
04/15/2020
NOK
16,955‌
$
1,905‌
—‌
(102‌)
Merrill
Lynch
04/15/2020
$
730‌
PLN
2,850‌
3‌
—‌
Merrill
Lynch
04/15/2020
PLN
2,850‌
$
748‌
—‌
(21‌)
Morgan
Stanley
&
Co
03/03/2020
BRL
30‌
$
7‌
—‌
—‌
Morgan
Stanley
&
Co
03/03/2020
$
86‌
BRL
365‌
4‌
—‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
148
Foreign
Currency
Contracts
(continued)
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
Morgan
Stanley
&
Co
03/03/2020
BRL
335‌
$
80‌
$
—‌
$
(5‌)
Morgan
Stanley
&
Co
03/18/2020
$
4,985‌
GBP
3,811‌
97‌
—‌
Morgan
Stanley
&
Co
03/18/2020
$
650‌
CNH
4,505‌
5‌
—‌
Morgan
Stanley
&
Co
03/18/2020
$
2,348‌
CNH
16,542‌
—‌
(22‌)
Morgan
Stanley
&
Co
03/18/2020
CNH
9,836‌
$
1,400‌
9‌
—‌
Morgan
Stanley
&
Co
04/02/2020
$
7‌
BRL
30‌
—‌
—‌
Morgan
Stanley
&
Co
04/07/2020
$
997‌
COP
3,330,000‌
51‌
—‌
Morgan
Stanley
&
Co
04/14/2020
$
741‌
NZD
1,130‌
35‌
—‌
Morgan
Stanley
&
Co
04/14/2020
NZD
1,130‌
$
751‌
—‌
(4
4‌
)
Morgan
Stanley
&
Co
04/30/2020
$
3,555‌
ZAR
52,530‌
215‌
—‌
Morgan
Stanley
&
Co
04/30/2020
ZAR
52,530‌
$
3,325‌
15‌
—‌
UBS
AG
04/22/2020
$
1,919‌
THB
58,310‌
6
8‌
—‌
Total
$
8,67
0‌
$
(8,50
7‌
)
Amounts
in
thousands.
Credit
Default
Swaps
Buy
Protection
Counterparty
Reference
Entity
Implied
Credit
Spread
as
of
February
29,
2020
(a)
(Pay)/
Receive
Fixed
Rate
Payment
Frequency
Maturity
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Unrealized
Appreciation/
(Depreciation)
Fair
Value
Asset
----
Liability
Citigroup
Inc
CDX.32.EM.100
N/A
(1.00)%
Quarterly
12/20/2024
$
1,500‌
$
74‌
$
23‌
$
97‌
$
—‌
Morgan
Stanley
&
Co
CDX.32.EM.100
N/A
(1.00)%
Quarterly
12/20/2024
2,990‌
137‌
57‌
194‌
—‌
Morgan
Stanley
&
Co
Enel
Spa,
5.25%,
05/20/2024
0.55%
(1.00)%
Quarterly
12/20/2023
EUR
750‌
4‌
(18‌)
—‌
(14‌)
Total
$
215‌
$
62‌
$
291‌
$
(14‌)
Sell
Protection
Counterparty
Reference
Entity
Implied
Credit
Spread
as
of
February
29,
2020
(a)
(Pay)/
Receive
Fixed
Rate
Payment
Frequency
Maturity
Date
Notional
Amount
(b)
Upfront
Payments/
(Receipts)
Unrealized
Appreciation/
(Depreciation)
Fair
Value
(c)
Asset
----
Liability
Barclays
Bank
PLC
Ukraine
Government
Bond,
7.75%,
09/01/2022
3.88%
5.00%
Quarterly
12/20/2024
$
1,900‌
$
75‌
$
16‌
$
91‌
$
—‌
Barclays
Bank
PLC
Ukraine
Government
Bond,
7.75%,
09/01/2022
3.88%
5.00%
Quarterly
12/20/2024
1,275‌
5
7‌
3‌
6
0‌
—‌
Citigroup
Inc
Petroleos
Mexicanos,
6.63%,
06/15/2035
2.76%
1.00%
Quarterly
06/20/2024
925‌
(64‌)
(2‌)
—‌
(66‌)
Goldman
Sachs
&
Co
Petroleos
Mexicanos,
6.63%,
06/15/2035
2.76%
1.00%
Quarterly
06/20/2024
925‌
(66‌)
—‌
—‌
(66‌)
JPMorgan
Chase
Petroleos
Mexicanos,
6.63%,
06/15/2035
2.76%
1.00%
Quarterly
06/20/2024
2,550‌
(183‌)
3‌
—‌
(18
0‌
)
Total
$
(18
1‌
)
$
20‌
$
15
1‌
$
(31
2‌
)
Amounts
in
thousands.
Exchange
Cleared
Credit
Default
Swaps
Buy
Protection
Reference
Entity
Implied
Credit
Spread
as
of
February
29,
2020
(a)
(Pay)/
Receive
Fixed
Rate
Payment
Frequency
Maturity
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Unrealized
Appreciation/
(Depreciation)
Fair
Value
Argentine
Republic
Government
International
Bond,
7.50%,
04/22/2026
6.52%
(5.00)%
Quarterly
06/20/2023
$
3,184‌
$
1,639‌
$
348‌
$
1,987‌
CDX.33.HY.500
N/A
(5.00)%
Quarterly
12/20/2024
4,440‌
(361‌)
121‌
(240‌)
Turkey
Government
International
Bond,
11.88%,
01/15/2030
3.39%
(1.00)%
Quarterly
12/20/2024
11,120‌
1,016‌
312‌
1,328‌
Total
$
2,294‌
$
781‌
$
3,075‌
Amounts
in
thousands.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
149
Exchange
Cleared
Credit
Default
Swaps
(continued)
(a)
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.
(b)
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
$7,575
.
(c)
The
market
price
and
resulting
market
value
for
credit
default
swap
agreements
on
an
issuer
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.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
150
Interest
Rate
Swaps
Counterparty
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
Asset
Liability
Bank
of
America
NA
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.78%
Quarterly
Quarterly
N/A
08/22/2024
CNY
16,312‌
$
40‌
$
—‌
$
40‌
$
—‌
Bank
of
America
NA
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
3.77%
Quarterly
Quarterly
N/A
09/18/2022
5,859‌
31‌
—‌
31‌
—‌
Bank
of
America
NA
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
3.85%
Quarterly
Quarterly
N/A
09/08/2022
8,370‌
47‌
—‌
47‌
—‌
Bank
of
America
NA
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
3.63%
Quarterly
Quarterly
N/A
05/04/2023
21,937‌
127‌
—‌
127‌
—‌
Bank
of
America
NA
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
3.72%
Quarterly
Quarterly
N/A
06/22/2022
11,886‌
56‌
—‌
56‌
—‌
Bank
of
America
NA
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
3.98%
Quarterly
Quarterly
N/A
03/24/2022
9,200‌
46‌
—‌
46‌
—‌
Barclays
Bank
PLC
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.20%
Annual
Semiannual
N/A
12/12/2023
PLN
10,712‌
(84‌)
—‌
—‌
(84‌)
Barclays
Bank
PLC
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.98%
Quarterly
Quarterly
N/A
12/12/2023
CNY
7,120‌
24‌
—‌
24‌
—‌
Citigroup
Inc
Sinacofi
Chile
Interbank
Rate
Avg
Receive
2.23%
Semiannual
Semiannual
N/A
12/18/2021
CLP
8,900,000‌
(93‌)
—‌
—‌
(93‌)
JPMorgan
Chase
Sinacofi
Chile
Interbank
Rate
Avg
Receive
1.51%
Semiannual
Semiannual
N/A
12/18/2021
14,850,000‌
80‌
—‌
80‌
—‌
JPMorgan
Chase
Sinacofi
Chile
Interbank
Rate
Avg
Receive
2.06%
Semiannual
Semiannual
N/A
12/18/2021
5,500,000‌
(37‌)
—‌
—‌
(37‌)
JPMorgan
Chase
Sinacofi
Chile
Interbank
Rate
Avg
Receive
1.81%
Semiannual
Semiannual
N/A
01/28/2022
900,000‌
(1‌)
—‌
—‌
(1‌)
Morgan
Stanley
&
Co
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
3.09%
Quarterly
Quarterly
N/A
11/08/2024
CNY
18,894‌
85‌
—‌
85‌
—‌
Total
$
321‌
$
—‌
$
536‌
$
(215‌)
Amounts
in
thousands.
Exchange
Cleared
Interest
Rate
Swaps
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
Johannesburg
Interbank
Agreed
Rate
Receive
7.26%
Quarterly
Quarterly
N/A
01/31/2030
ZAR
23,365‌
$
29‌
$
1‌
$
30‌
3
Month
Johannesburg
Interbank
Agreed
Rate
Receive
7.54%
Quarterly
Quarterly
N/A
02/28/2030
12,900‌
—‌
1‌
1‌
3
Month
Johannesburg
Interbank
Agreed
Rate
Pay
7.20%
Quarterly
Quarterly
N/A
11/11/2022
105,000‌
151‌
(10‌)
141‌
3
Month
Johannesburg
Interbank
Agreed
Rate
Receive
6.59%
Quarterly
Quarterly
N/A
11/11/2022
105,000‌
(45‌)
6‌
(39‌)
3
Month
KRW
Certificate
of
Deposit
Receive
1.39%
Quarterly
Quarterly
N/A
12/18/2029
$
1,690,489‌
(52‌)
—‌
(52‌)
3
Month
KRW
Certificate
of
Deposit
Receive
1.31%
Quarterly
Quarterly
N/A
11/22/2029
1,391,000‌
(34‌)
—‌
(34‌)
3
Month
KRW
Certificate
of
Deposit
Receive
1.41%
Quarterly
Quarterly
N/A
01/28/2022
8,790,000‌
(41‌)
—‌
(41‌)
3
Month
USD
LIBOR
Receive
2.93%
Semiannual
Quarterly
N/A
06/11/2025
3,963‌
(405‌)
—‌
(405‌)
3
Month
USD
LIBOR
Receive
3.09%
Semiannual
Quarterly
N/A
10/01/2024
4,584‌
(444‌)
—‌
(444‌)
3
Month
USD
LIBOR
Receive
3.04%
Semiannual
Quarterly
N/A
08/07/2028
2,362‌
(384‌)
—‌
(384‌)
3
Month
USD
LIBOR
Pay
2.98%
Quarterly
Semiannual
N/A
08/07/2023
4,428‌
308‌
—‌
308‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
151
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
USD
LIBOR
Receive
2.75%
Semiannual
Quarterly
N/A
03/08/2023
$
1,892‌
$
(103‌)
$
—‌
$
(103‌)
3
Month
USD
LIBOR
Receive
2.23%
Semiannual
Quarterly
N/A
04/03/2024
4,061‌
(215‌)
—‌
(215‌)
3
Month
USD
LIBOR
Receive
2.97%
Semiannual
Quarterly
N/A
04/25/2025
2,700‌
(274‌)
—‌
(274‌)
3
Month
USD
LIBOR
Receive
2.94%
Semiannual
Quarterly
N/A
05/10/2023
1,785‌
(113‌)
—‌
(113‌)
3
Month
USD
LIBOR
Receive
2.88%
Semiannual
Quarterly
N/A
08/21/2025
6,337‌
(650‌)
—‌
(650‌)
3
Month
USD
LIBOR
Receive
3.04%
Semiannual
Quarterly
N/A
05/22/2025
3,180‌
(338‌)
—‌
(338‌)
3
Month
USD
LIBOR
Receive
2.75%
Semiannual
Quarterly
N/A
03/29/2025
1,575‌
(141‌)
1‌
(140‌)
3
Month
USD
LIBOR
Receive
2.02%
Semiannual
Quarterly
N/A
01/23/2022
5,283‌
(103‌)
—‌
(103‌)
3
Month
USD
LIBOR
Receive
2.12%
Semiannual
Quarterly
N/A
03/08/2022
6,219‌
(146‌)
—‌
(146‌)
3
Month
USD
LIBOR
Receive
2.02%
Semiannual
Quarterly
N/A
02/07/2022
4,265‌
(85‌)
—‌
(85‌)
3
Month
USD
LIBOR
Receive
2.21%
Semiannual
Quarterly
N/A
03/15/2022
5,314‌
(136‌)
—‌
(136‌)
3
Month
USD
LIBOR
Receive
1.89%
Semiannual
Quarterly
N/A
01/19/2022
2,111‌
(36‌)
—‌
(36‌)
3
Month
USD
LIBOR
Receive
2.09%
Semiannual
Quarterly
N/A
03/03/2022
7,419‌
(169‌)
—‌
(169‌)
3
Month
USD
LIBOR
Receive
2.00%
Semiannual
Quarterly
N/A
04/11/2022
5,502‌
(120‌)
—‌
(120‌)
3
Month
USD
LIBOR
Receive
2.97%
Semiannual
Quarterly
N/A
05/04/2025
2,381‌
(243‌)
1‌
(242‌)
3
Month
USD
LIBOR
Receive
1.93%
Semiannual
Quarterly
N/A
01/13/2022
4,225‌
(74‌)
—‌
(74‌)
3
Month
USD
LIBOR
Receive
2.77%
Semiannual
Quarterly
N/A
03/07/2025
3,938‌
(353‌)
1‌
(352‌)
6
Month
Budapest
Interbank
Offered
Rate
Receive
2.09%
Annual
Semiannual
N/A
07/11/2023
HUF
482,425‌
(64‌)
8‌
(56‌)
6
Month
Budapest
Interbank
Offered
Rate
Receive
1.09%
Annual
Semiannual
N/A
02/10/2025
745,000‌
12‌
1‌
13‌
6
Month
Euro
Interbank
Offered
Rate
Receive
0.06%
Annual
Semiannual
N/A
04/18/2024
EUR
1,487‌
(33‌)
1‌
(32‌)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.19)%
Semiannual
Annual
N/A
08/27/2029
1,305‌
1‌
1‌
2‌
6
Month
Euro
Interbank
Offered
Rate
Receive
0.05%
Annual
Semiannual
N/A
08/27/2034
870‌
(8‌)
—‌
(8‌)
6
Month
Prague
Interbank
Offered
Rate
Pay
1.59%
Semiannual
Annual
N/A
08/16/2021
CZK
85,188‌
(25‌)
(1‌)
(26‌)
6
Month
Warsaw
Interbank
Offered
Rate
Pay
1.44%
Semiannual
Annual
N/A
09/02/2024
PLN
22,192‌
14‌
3‌
17‌
6
Month
Warsaw
Interbank
Offered
Rate
Pay
1.85%
Semiannual
Annual
N/A
01/28/2022
146,200‌
288‌
1‌
289‌
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.55%
Annual
Semiannual
N/A
03/10/2022
6,420‌
(38‌)
1‌
(37‌)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.48%
Annual
Semiannual
N/A
03/23/2023
4,152‌
(36‌)
1‌
(35‌)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.37%
Annual
Semiannual
N/A
04/26/2022
6,600‌
(37‌)
2‌
(35‌)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.02%
Annual
Semiannual
N/A
05/27/2024
11,140‌
(76‌)
—‌
(76‌)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.52%
Annual
Semiannual
N/A
03/09/2022
3,605‌
(21‌)
1‌
(20‌)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.54%
Annual
Semiannual
N/A
05/17/2023
5,873‌
(57‌)
2‌
(55‌)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.02%
Annual
Semiannual
N/A
01/28/2030
31,050‌
(438‌)
(2‌)
(440‌)
6
Month
Warsaw
Interbank
Offered
Rate
Pay
1.51%
Semiannual
Annual
N/A
02/19/2022
27,840‌
11‌
1‌
12‌
Brazil
Cetip
DI
Interbank
Deposit
Rate
Receive
5.27%
Annual
Annual
N/A
01/02/2023
BRL
21,113‌
(9‌)
—‌
(9‌)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.62%
Quarterly
Quarterly
N/A
02/07/2025
$
16,890‌
26‌
—‌
26‌
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.59%
Quarterly
Quarterly
N/A
02/10/2025
16,890‌
22‌
1‌
23‌
Colombia
IBR
Overnight
Interbank
Reference
Rate
Receive
4.00%
Annual
Annual
N/A
03/02/2023
COP
13,793,500‌
4‌
—‌
4‌
Sinacofi
Chile
Interbank
Rate
Avg
Receive
2.47%
Semiannual
Semiannual
N/A
01/13/2025
CLP
960,000‌
(8‌)
—‌
(8‌)
Sinacofi
Chile
Interbank
Rate
Avg
Receive
2.43%
Semiannual
Semiannual
N/A
01/31/2025
923,320‌
(4‌)
—‌
(4‌)
Sinacofi
Chile
Interbank
Rate
Avg
Receive
2.28%
Semiannual
Semiannual
N/A
02/11/2025
928,950‌
5‌
—‌
5‌
US
Federal
Funds
Effective
Rate
(continuous
series)
Receive
1.40%
Annual
Annual
N/A
03/31/2021
$
13,602‌
(76‌)
—‌
(76‌)
Total
$
(4,763‌)
$
22‌
$
(4,741‌)
Amounts
in
thousands.
(a)    
Forward
swap.
Total
Return
Equity
Basket
Swaps
Counterparty
Fund
Pays
Fund
Receives
Payment
Frequency
Expiration
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Value
and
Unrealized
Appreciation/(Depreciation)
Asset
-----
Liability
Goldman
Sachs
&
Co
Floating
rate
based
on
1
Month
Euro
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
EUR
Monthly
02/01/2029-
02/07/2029
$
892‌
$
—‌
$
—‌
$
(202‌)
Goldman
Sachs
&
Co
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
GBP
Monthly
12/22/2028-
12/26/2028
—‌
—‌
—‌
(10‌)
Goldman
Sachs
&
Co
Floating
rate
based
on
1
Month
JPY
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
JPY
Monthly
12/25/2028-
12/26/2028
224‌
—‌
27‌
—‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
152
Total
Return
Equity
Basket
Swaps
(continued)
Counterparty
Fund
Pays
Fund
Receives
Payment
Frequency
Expiration
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Value
and
Unrealized
Appreciation/(Depreciation)
Asset
-----
Liability
JPMorgan
Chase
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
CNY
Monthly
12/04/2020
$
1,576‌
$
—‌
$
133‌
$
—‌
JPMorgan
Chase
Floating
rate
based
on
Norway
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
NOK
Monthly
11/02/2020-
11/04/2020
844‌
—‌
—‌
(98‌)
JPMorgan
Chase
Floating
rate
based
on
1
Month
JPY
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
JPY
Monthly
03/25/2021
—‌
—‌
6‌
—‌
JPMorgan
Chase
Floating
rate
based
on
the
Hong
Kong
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
HKD
Monthly
11/30/2020
—‌
—‌
—‌
(17‌)
JPMorgan
Chase
Floating
rate
based
on
1
Month
GBP
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
GBP
Monthly
11/02/2020-
12/07/2020
2,562‌
—‌
—‌
(175‌)
JPMorgan
Chase
Floating
rate
based
on
1
Month
Euro
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
EUR
Monthly
11/03/2020-
12/04/2020
4,506‌
—‌
36‌
—‌
JPMorgan
Chase
Floating
rate
based
on
1
Month
CHF
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
CHF
Monthly
02/26/2021
298‌
—‌
41‌
—‌
Morgan
Stanley
&
Co
(a)
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
USD
Monthly
08/24/2020-
10/05/2021
19,191‌
—‌
2,298‌
—‌
Morgan
Stanley
&
Co
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
JPY
Monthly
01/21/2021-
11/30/2021
3,058‌
—‌
264‌
—‌
Morgan
Stanley
&
Co
Floating
rate
based
on
the
Hong
Kong
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
HKD
Monthly
01/28/2021
1,122‌
—‌
—‌
(4‌)
Morgan
Stanley
&
Co
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
GBP
Monthly
05/20/2020
4,430‌
—‌
—‌
(482‌)
Morgan
Stanley
&
Co
(b)
Floating
rate
based
on
1
Month
Euro
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
EUR
Monthly
10/09/2020-
02/10/2021
17,404‌
—‌
—‌
(895‌)
Morgan
Stanley
&
Co
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
CHF
Monthly
03/10/2021
720‌
—‌
45‌
—‌
UBS
AG
Floating
rate
based
on
the
Copenhagen
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
DKK
Monthly
01/27/2023
342‌
—‌
41‌
—‌
UBS
AG
Floating
rate
based
on
1
Month
EUR
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
EUR
Monthly
02/01/2022
3,702‌
—‌
512‌
—‌
UBS
AG
Floating
rate
based
on
1
Month
GBP
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
GBP
Monthly
02/01/2022
4,401‌
—‌
—‌
(623‌)
UBS
AG
Floating
rate
based
on
the
Hong
Kong
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
HKD
Monthly
03/01/2022
249‌
—‌
—‌
(32‌)
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
153
Description
Shares
Notional
Amount
%
of
Total
Absolute
Notional
Amount
Allergan
PLC
34,271
$
6,534
34.05%
Escrow
Altegrity
Inc
NPV
124,036
2,684
13.98%
AbbVie
Inc
(29,679)
(2,544
)
(13.25)%
iShares
iBoxx
High
Yield
Corporate
Bond
ETF
(22,639)
(1,948
)
(10.15)%
TransDigm
Group
Inc
(1,545)
(862
)
(4.49)%
UnitedHealth
Group
Inc
(3,104)
(791
)
(4.12)%
American
Express
Co
(5,658)
(622
)
(3.24)%
Exxon
Mobil
Corp
(9,322)
(480
)
(2.50)%
Morgan
Stanley
Leisure
Travel
Basket
(7,875)
(465
)
(2.42)%
iShares
Nasdaq
Biotechnology
ETF
(3,539)
(403
)
(2.10)%
Walt
Disney
Co/The
(3,392)
(399
)
(2.08)%
Sysco
Corp
(5,866)
(391
)
(2.04)%
Ceridian
HCM
Holding
Inc
(3,799)
(269
)
(1.40)%
Cabot
Oil
&
Gas
Corp
(14,757)
(206
)
(1.07)%
Bristol-Myers
Squibb
Co
55,774
187
0.97%
ONEOK
Inc
(2,747)
(183
)
(0.96)%
Alibaba
Group
Holding
Ltd
(774)
(161
)
(0.84)%
T-Mobile
US
Inc
(690)
(62
)
(0.32)%
Description
Shares
Notional
Amount
%
of
Total
Absolute
Notional
Amount
Stoxx
Europe
600
Index
(27,721)
$
(11,496
)
(66.05)%
Vivendi
SA
59,843
1,521
8.74%
Engie
SA
83,461
1,385
7.96%
Getlink
SE
46,152
743
4.27%
Cie
de
Saint-Gobain
20,304
708
4.07%
Grifols
SA
24,406
539
3.10%
Grifols
SA
(16,589)
(531
)
(3.05)%
Delivery
Hero
SE
(3,790)
(285
)
(1.64)%
Eurofins
Scientific
SE
(393)
(197
)
(1.14)%
Total
Return
Equity
Basket
Swaps
(continued)
Counterparty
Fund
Pays
Fund
Receives
Payment
Frequency
Expiration
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Value
and
Unrealized
Appreciation/(Depreciation)
Asset
-----
Liability
UBS
AG
Floating
rate
based
on
1
Day
JPY
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
JPY
Monthly
02/01/2022
$
48‌
$
—‌
$
8‌
$
—‌
Total
$
65,569‌
$
—‌
$
3,411‌
$
(2,538‌)
The
expiration
dates
are
measured
from
the
commencement
of
investment
in
each
underlying
swap
position.
The
fund
pays
a
floating
rate
based
on
the
reference
rate
plus/less
a
spread.
The
spread
is
negotiated
at
the
security
level
and
is
usually
similar
within
a
region
but
may
vary
depending
on
how
difficult
it
is
to
borrow
the
security.
Notional
Amount
represents
the
total
absolute
value
of
the
underlying
securities.
Amounts
in
thousands.
(a)
Top
Underlying
Securities
YORKEBS
(b)
Top
Underlying
Securities
YRKEBSEUR
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
154
Reverse
Repurchase
Agreements
Counterparty
Coupon
Rate
Maturity
Date
Principal
Amount
Payable
for
Reverse
Repurchase
Agreements
Barclays
Bank
PLC
(1.75‌)%
Open
ended
$
3,390‌
$
(3,398‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
26‌
(26‌)
Merrill
Lynch
(2.65‌)%
Open
ended
441‌
(448‌)
Merrill
Lynch
(2.65‌)%
Open
ended
720‌
(731‌)
Merrill
Lynch
(2.40‌)%
Open
ended
549‌
(554‌)
Merrill
Lynch
(2.65‌)%
Open
ended
1,684‌
(1,699‌)
Merrill
Lynch
(2.65‌)%
Open
ended
520‌
(525‌)
Merrill
Lynch
(2.25‌)%
Open
ended
713‌
(717‌)
Merrill
Lynch
(2.25‌)%
Open
ended
835‌
(841‌)
Merrill
Lynch
(2.67‌)%
03/06/2020
1,795‌
(1,798‌)
Merrill
Lynch
(2.82‌)%
03/06/2020
3,053‌
(3,058‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
11,483‌
(11,484‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
4,188‌
(4,188‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
9,127‌
(9,128‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
5,591‌
(5,592‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
612‌
(612‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
50,422‌
(50,427‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
18,530‌
(18,532‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
14,051‌
(14,052‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
37,751‌
(37,755‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
18,690‌
(18,692‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
27,260‌
(27,263‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
4,820‌
(4,820‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
23,730‌
(23,732‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
27,365‌
(27,368‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
49,452‌
(49,457‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
20,120‌
(20,122‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
28,741‌
(28,744‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
1,408‌
(1,408‌)
Merrill
Lynch
(1.62‌)%
03/02/2020
2,915‌
(2,915‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
7,594‌
(7,595‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
18,485‌
(18,487‌)
Merrill
Lynch
(1.68‌)%
03/02/2020
14,762‌
(14,76
2‌
)
Total
$
(410,93
0‌
)
Amounts
in
thousands.
Total
Return
Swaps
Counterparty
Reference
Entity
Contracts
Pay/Receive
Positive
Return
Financing
Rate
Payment
Frequency
Expiration
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Value
and
Unrealized
Appreciation/
(Depreciation)
Asset
----
Liability
Citigroup
Inc
iShares
J.P.
Morgan
USD
EM
Bond
UCITS
ETF
34,400
Pay
3
Month
USD
LIBOR
-
1.70%
Quarterly
05/21/2020
$
3,972‌
$
—‌
$
57‌
$
—‌
Citigroup
Inc
iShares
J.P.
Morgan
USD
EM
Bond
UCITS
ETF
11,500
Pay
3
Month
USD
LIBOR
-
1.70%
Quarterly
05/21/2020
1,316‌
—‌
7‌
—‌
HSBC
Securities
Inc
Egypt
Government
Bond,
14.30%,
09/03/2022
26,675,000
Receive
3
Month
USD
LIBOR
+
0.80%
Annual
11/13/2020
$
1,707‌
—‌
126‌
—‌
HSBC
Securities
Inc
Egypt
Government
Bond,
14.30%,
09/03/2022
11,500,000
Receive
3
Month
USD
LIBOR
+
0.80%
Annual
12/24/2020
758‌
—‌
30‌
—‌
HSBC
Securities
Inc
Egypt
Treasury
Bills,
0.00%,
08/11/2020
24,750,000
Receive
3
Month
USD
LIBOR
+
0.80%
Annual
08/12/2020
1,374‌
—‌
113‌
—‌
JPMorgan
Chase
Egypt
Treasury
Bills,
0.00%,
01/05/2021
23,500,000
Receive
3
Month
USD
LIBOR
+
0.80%
Annual
01/08/2021
1,314‌
—‌
2
6‌
—‌
Total
$
—‌
$
35
9‌
$
—‌
Amounts
in
thousands
except
contracts.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
155
Short
Sales
Outstanding
PREFERRED
STOCKS
-
(0.03)%
Shares
Value
(000's)
Consumer
Products
-
(0.03)%
Henkel
AG
&
Co
KGaA
1.85%
2,783‌
$
259‌
TOTAL
PREFERRED
STOCKS
(proceeds
$282)
$
259‌
COMMON
STOCKS
-
(14.59)%
Shares
Value
(000's)
Advertising
-
(0.07)%
Dentsu
Group
Inc
7,000‌
$
181‌
Hakuhodo
DY
Holdings
Inc
14,300‌
165‌
JCDecaux
SA
13,034‌
301‌
$
647‌
Aerospace
&
Defense
-
(0.25)%
Boeing
Co/The
2,919‌
803‌
IHI
Corp
10,300‌
214‌
Kawasaki
Heavy
Industries
Ltd
14,100‌
253‌
L3Harris
Technologies
Inc
5,010‌
991‌
$
2,261‌
Agriculture
-
(0.14)%
Altria
Group
Inc
16,454‌
664‌
Archer-Daniels-Midland
Co
15,100‌
569‌
$
1,233‌
Airlines
-
(0.09)%
American
Airlines
Group
Inc
21,504‌
410‌
ANA
Holdings
Inc
3,000‌
81‌
easyJet
PLC
843‌
12‌
Singapore
Airlines
Ltd
30,800‌
178‌
United
Airlines
Holdings
Inc
1,544‌
95‌
$
776‌
Apparel
-
(0.08)%
Adidas
AG
215‌
61‌
Capri
Holdings
Ltd
4,900‌
127‌
Puma
SE
1,409‌
109‌
PVH
Corp
413‌
31‌
Tapestry
Inc
2,498‌
59‌
VF
Corp
6,022‌
433‌
$
820‌
Automobile
Manufacturers
-
(0.09)%
Bayerische
Motoren
Werke
AG
256‌
17‌
Daimler
AG
1,948‌
82‌
Nissan
Motor
Co
Ltd
52,800‌
226‌
PACCAR
Inc
5,749‌
385‌
Suzuki
Motor
Corp
3,000‌
121‌
Toyota
Motor
Corp
600‌
39‌
Volkswagen
AG
210‌
36‌
$
906‌
Automobile
Parts
&
Equipment
-
(0.19)%
Aptiv
PLC
1,989‌
155‌
Cie
Generale
des
Etablissements
Michelin
SCA
4,443‌
476‌
NGK
Insulators
Ltd
11,300‌
177‌
Nokian
Renkaat
OYJ
16,238‌
425‌
Sumitomo
Electric
Industries
Ltd
25,000‌
295‌
Toyoda
Gosei
Co
Ltd
7,300‌
154‌
$
1,682‌
Banks
-
(0.62)%
Australia
&
New
Zealand
Banking
Group
Ltd
15,815‌
255‌
Bank
of
New
York
Mellon
Corp/The
10,541‌
421‌
Bendigo
&
Adelaide
Bank
Ltd
124,108‌
749‌
Canadian
Imperial
Bank
of
Commerce
3,700‌
282‌
Citizens
Financial
Group
Inc
7,134‌
226‌
Comerica
Inc
2,418‌
127‌
Commonwealth
Bank
of
Australia
6,851‌
368‌
Danske
Bank
A/S
3,657‌
57‌
Fifth
Third
Bancorp
4,468‌
109‌
Huntington
Bancshares
Inc/OH
21,058‌
258‌
KeyCorp
5,576‌
91‌
M&T
Bank
Corp
1,757‌
247‌
Nordea
Bank
Abp
66,870‌
528‌
Northern
Trust
Corp
6,579‌
577‌
Regions
Financial
Corp
18,420‌
249‌
State
Street
Corp
4,990‌
340‌
Wells
Fargo
&
Co
11,200‌
458‌
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Banks
(continued)
Zions
Bancorp
NA
3,906‌
$
156‌
$
5,498‌
Beverages
-
(0.24)%
Brown-Forman
Corp
-
B
Shares
7,125‌
437‌
Coca-Cola
Bottlers
Japan
Holdings
Inc
39,700‌
916‌
Monster
Beverage
Corp
4,071‌
254‌
Remy
Cointreau
SA
5,029‌
512‌
$
2,119‌
Biotechnology
-
(0.36)%
Alnylam
Pharmaceuticals
Inc
1,220‌
144‌
BeiGene
Ltd
ADR
700‌
111‌
BioMarin
Pharmaceutical
Inc
167‌
15‌
Corteva
Inc
1,361‌
37‌
Exact
Sciences
Corp
1,165‌
94‌
Gilead
Sciences
Inc
1,012‌
70‌
Illumina
Inc
959‌
255‌
Incyte
Corp
14,159‌
1,068‌
Regeneron
Pharmaceuticals
Inc
948‌
421‌
Seattle
Genetics
Inc
1,947‌
222‌
Vertex
Pharmaceuticals
Inc
3,716‌
832‌
$
3,269‌
Building
Materials
-
(0.24)%
Cie
de
Saint-Gobain
8,005‌
283‌
CRH
PLC
9,587‌
323‌
James
Hardie
Industries
PLC
18,045‌
337‌
Johnson
Controls
International
plc
21,796‌
797‌
Owens
Corning
3,455‌
195‌
Sika
AG
68‌
12‌
Vulcan
Materials
Co
1,360‌
164‌
$
2,111‌
Chemicals
-
(0.49)%
Air
Products
&
Chemicals
Inc
659‌
145‌
Albemarle
Corp
15,406‌
1,261‌
BASF
SE
2,718‌
161‌
CF
Industries
Holdings
Inc
12,695‌
468‌
DuPont
de
Nemours
Inc
1,449‌
62‌
Hitachi
Chemical
Co
Ltd
15,500‌
656‌
International
Flavors
&
Fragrances
Inc
2,877‌
345‌
Johnson
Matthey
PLC
1,473‌
48‌
LANXESS
AG
5,062‌
269‌
Linde
PLC
458‌
87‌
LyondellBasell
Industries
NV
2,361‌
169‌
Mosaic
Co/The
6,077‌
103‌
Umicore
SA
10,643‌
448‌
Westlake
Chemical
Corp
1,000‌
56‌
$
4,278‌
Commercial
Services
-
(0.31)%
AMERCO
142‌
46‌
Automatic
Data
Processing
Inc
776‌
120‌
Equifax
Inc
1,576‌
224‌
Gartner
Inc
4,086‌
528‌
Global
Payments
Inc
1,801‌
331‌
GMO
Payment
Gateway
Inc
6,500‌
403‌
IHS
Markit
Ltd
2,107‌
150‌
ISS
A/S
640‌
11‌
MarketAxess
Holdings
Inc
559‌
181‌
PayPal
Holdings
Inc
2,711‌
293‌
Rollins
Inc
9,882‌
370‌
Verisk
Analytics
Inc
1,449‌
225‌
$
2,882‌
Computers
-
(0.35)%
Atos
SE
5,887‌
443‌
Computershare
Ltd
2,722‌
28‌
Dell
Technologies
Inc
8,853‌
358‌
DXC
Technology
Co
5,848‌
141‌
Fortinet
Inc
4,758‌
486‌
Hewlett
Packard
Enterprise
Co
15,797‌
202‌
International
Business
Machines
Corp
1,286‌
167‌
Seagate
Technology
PLC
6,959‌
334‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
156
Short
Sales
Outstanding
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Computers
(continued)
Western
Digital
Corp
17,932‌
$
996‌
$
3,155‌
Consumer
Products
-
(0.09)%
Church
&
Dwight
Co
Inc
3,837‌
267‌
Clorox
Co/The
3,586‌
572‌
$
839‌
Cosmetics
&
Personal
Care
-
(0.05)%
Coty
Inc
23,119‌
213‌
Kose
Corp
600‌
71‌
Shiseido
Co
Ltd
2,500‌
149‌
$
433‌
Distribution
&
Wholesale
-
(0.11)%
Copart
Inc
2,754‌
233‌
Fastenal
Co
11,563‌
396‌
Jardine
Cycle
&
Carriage
Ltd
19,400‌
381‌
$
1,010‌
Diversified
Financial
Services
-
(0.53)%
Alliance
Data
Systems
Corp
1,787‌
153‌
Ameriprise
Financial
Inc
2,925‌
413‌
Capital
One
Financial
Corp
974‌
86‌
Cboe
Global
Markets
Inc
6,724‌
767‌
Charles
Schwab
Corp/The
6,875‌
280‌
CME
Group
Inc
2,561‌
509‌
Credit
Saison
Co
Ltd
22,900‌
330‌
E*TRADE
Financial
Corp
3,207‌
147‌
Intercontinental
Exchange
Inc
1,300‌
116‌
Japan
Exchange
Group
Inc
5,000‌
84‌
Raymond
James
Financial
Inc
7,300‌
610‌
SBI
Holdings
Inc/Japan
15,700‌
317‌
St
James's
Place
PLC
37,280‌
494‌
Synchrony
Financial
8,819‌
257‌
$
4,563‌
Electric
-
(0.82)%
Alliant
Energy
Corp
3,874‌
202‌
Ameren
Corp
2,643‌
209‌
American
Electric
Power
Co
Inc
2,756‌
246‌
CenterPoint
Energy
Inc
14,004‌
322‌
Chugoku
Electric
Power
Co
Inc/The
44,900‌
596‌
CLP
Holdings
Ltd
1,500‌
16‌
Consolidated
Edison
Inc
4,354‌
343‌
DTE
Energy
Co
2,771‌
309‌
Duke
Energy
Corp
493‌
45‌
E.ON
SE
44,167‌
513‌
Edison
International
6,773‌
455‌
Entergy
Corp
10,797‌
1,262‌
Eversource
Energy
1,491‌
129‌
Exelon
Corp
7,010‌
302‌
FirstEnergy
Corp
612‌
27‌
Kyushu
Electric
Power
Co
Inc
39,800‌
288‌
NextEra
Energy
Inc
279‌
71‌
Pinnacle
West
Capital
Corp
762‌
68‌
Power
Assets
Holdings
Ltd
6,500‌
47‌
PPL
Corp
6,952‌
209‌
Sempra
Energy
2,770‌
388‌
Southern
Co/The
1,084‌
65‌
SSE
PLC
34,466‌
678‌
WEC
Energy
Group
Inc
2,570‌
237‌
Xcel
Energy
Inc
4,718‌
294‌
$
7,321‌
Electrical
Components
&
Equipment
-
(0.03)%
AMETEK
Inc
2,994‌
257‌
Electronics
-
(0.18)%
Agilent
Technologies
Inc
1,201‌
93‌
Arrow
Electronics
Inc
724‌
49‌
Keysight
Technologies
Inc
4,143‌
393‌
Nidec
Corp
1,000‌
118‌
Roper
Technologies
Inc
1,572‌
553‌
TE
Connectivity
Ltd
584‌
48‌
Trimble
Inc
7,114‌
281‌
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Electronics
(continued)
Waters
Corp
633‌
$
123‌
$
1,658‌
Energy
-
Alternate
Sources
-
(0.01)%
Siemens
Gamesa
Renewable
Energy
SA
4,150‌
67‌
Engineering
&
Construction
-
(0.42)%
Auckland
International
Airport
Ltd
3,749‌
19‌
CK
Infrastructure
Holdings
Ltd
6,000‌
41‌
Ferrovial
SA
45,360‌
1,303‌
Jacobs
Engineering
Group
Inc
15,476‌
1,429‌
Japan
Airport
Terminal
Co
Ltd
24,700‌
960‌
Kajima
Corp
11,200‌
120‌
$
3,872‌
Entertainment
-
(0.07)%
Flutter
Entertainment
PLC
3,510‌
373‌
Live
Nation
Entertainment
Inc
5,664‌
344‌
$
717‌
Environmental
Control
-
0.00%
Kurita
Water
Industries
Ltd
800‌
21‌
Food
-
(0.35)%
Barry
Callebaut
AG
89‌
184‌
Conagra
Brands
Inc
6,703‌
179‌
Hormel
Foods
Corp
12,948‌
539‌
Jardine
Strategic
Holdings
Ltd
5,500‌
160‌
JM
Smucker
Co/The
133‌
14‌
Kellogg
Co
2,825‌
171‌
Kikkoman
Corp
5,000‌
230‌
Kroger
Co/The
26,912‌
757‌
Lamb
Weston
Holdings
Inc
1,898‌
165‌
McCormick
&
Co
Inc/MD
1,389‌
203‌
Mowi
ASA
5,370‌
114‌
NH
Foods
Ltd
3,100‌
117‌
Ocado
Group
PLC
14,797‌
205‌
Sysco
Corp
1,190‌
79‌
Yamazaki
Baking
Co
Ltd
7,200‌
122‌
$
3,239‌
Food
Service
-
(0.03)%
Sodexo
SA
2,945‌
285‌
Forest
Products
&
Paper
-
(0.03)%
Mondi
PLC
3,477‌
71‌
Stora
Enso
Oyj
8,893‌
105‌
West
Fraser
Timber
Co
Ltd
3,600‌
134‌
$
310‌
Gas
-
(0.20)%
Atmos
Energy
Corp
10,856‌
1,121‌
NiSource
Inc
18,393‌
497‌
UGI
Corp
4,725‌
170‌
$
1,788‌
Hand
&
Machine
Tools
-
(0.02)%
Snap-on
Inc
1,377‌
199‌
Healthcare
-
Products
-
(0.36)%
ABIOMED
Inc
2,111‌
317‌
Align
Technology
Inc
354‌
77‌
Baxter
International
Inc
3,678‌
307‌
Boston
Scientific
Corp
6,801‌
254‌
Cooper
Cos
Inc/The
670‌
217‌
Demant
A/S
709‌
22‌
DENTSPLY
SIRONA
Inc
1,947‌
96‌
Edwards
Lifesciences
Corp
1,256‌
257‌
Hologic
Inc
6,967‌
328‌
IDEXX
Laboratories
Inc
1,280‌
326‌
Intuitive
Surgical
Inc
445‌
238‌
ResMed
Inc
170‌
27‌
STERIS
PLC
844‌
134‌
Stryker
Corp
1,007‌
192‌
Teleflex
Inc
977‌
327‌
Terumo
Corp
400‌
13‌
Varian
Medical
Systems
Inc
948‌
117‌
$
3,249‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
157
Short
Sales
Outstanding
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Healthcare
-
Services
-
(0.28)%
Anthem
Inc
1,572‌
$
404‌
Centene
Corp
6,346‌
337‌
Fresenius
Medical
Care
AG
&
Co
KGaA
4,614‌
356‌
Fresenius
SE
&
Co
KGaA
2,086‌
99‌
HCA
Healthcare
Inc
702‌
89‌
IQVIA
Holdings
Inc
2,407‌
336‌
Laboratory
Corp
of
America
Holdings
3,916‌
688‌
Ryman
Healthcare
Ltd
26,852‌
257‌
$
2,566‌
Holding
Companies
-
Diversified
-
(0.01)%
Jardine
Matheson
Holdings
Ltd
1,600‌
88‌
Home
Builders
-
(0.04)%
DR
Horton
Inc
1,465‌
78‌
NVR
Inc
68‌
249‌
$
327‌
Home
Furnishings
-
(0.03)%
Electrolux
AB
7,539‌
153‌
Panasonic
Corp
8,400‌
80‌
$
233‌
Insurance
-
(0.56)%
Aflac
Inc
7,100‌
304‌
American
International
Group
Inc
5,867‌
247‌
Arthur
J
Gallagher
&
Co
4,751‌
463‌
Chubb
Ltd
3,615‌
524‌
Great-West
Lifeco
Inc
6,600‌
155‌
Lincoln
National
Corp
8,246‌
374‌
Progressive
Corp/The
4,961‌
363‌
Prudential
Financial
Inc
7,463‌
563‌
Prudential
PLC
17,901‌
298‌
Reinsurance
Group
of
America
Inc
5,416‌
661‌
Suncorp
Group
Ltd
31,412‌
235‌
Travelers
Cos
Inc/The
2,520‌
302‌
Unum
Group
10,605‌
247‌
Willis
Towers
Watson
PLC
1,479‌
280‌
$
5,016‌
Internet
-
(0.37)%
CyberAgent
Inc
7,900‌
299‌
eBay
Inc
3,518‌
122‌
Expedia
Group
Inc
4,258‌
420‌
Grubhub
Inc
3,993‌
192‌
Iliad
SA
2,558‌
360‌
MercadoLibre
Inc
56‌
34‌
Netflix
Inc
392‌
145‌
Okta
Inc
1,300‌
166‌
Palo
Alto
Networks
Inc
317‌
59‌
Rakuten
Inc
31,200‌
263‌
Shopify
Inc
1,100‌
511‌
Twitter
Inc
12,010‌
399‌
VeriSign
Inc
962‌
183‌
Wayfair
Inc
360‌
23‌
Zillow
Group
Inc
-
C
Shares
5,126‌
286‌
$
3,462‌
Investment
Companies
-
(0.10)%
Industrivarden
AB
2,854‌
65‌
Kinnevik
AB
5,438‌
111‌
L
E
Lundbergforetagen
AB
1,965‌
82‌
Pargesa
Holding
SA
9,027‌
665‌
$
923‌
Iron
&
Steel
-
(0.18)%
Hitachi
Metals
Ltd
90,200‌
1,299‌
voestalpine
AG
15,378‌
335‌
$
1,634‌
Leisure
Products
&
Services
-
(0.12)%
Carnival
Corp
151‌
5‌
Flight
Centre
Travel
Group
Ltd
6,253‌
134‌
Harley-Davidson
Inc
8,419‌
256‌
Norwegian
Cruise
Line
Holdings
Ltd
8,739‌
326‌
Royal
Caribbean
Cruises
Ltd
2,560‌
206‌
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Leisure
Products
&
Services
(continued)
TUI
AG
20,696‌
$
163‌
$
1,090‌
Lodging
-
(0.29)%
City
Developments
Ltd
62,000‌
443‌
Crown
Resorts
Ltd
3,676‌
25‌
Las
Vegas
Sands
Corp
6,018‌
351‌
Marriott
International
Inc/MD
861‌
107‌
MGM
Resorts
International
17,695‌
435‌
Whitbread
PLC
8,216‌
414‌
Wynn
Resorts
Ltd
6,961‌
752‌
$
2,527‌
Machinery
-
Construction
&
Mining
-
(0.06)%
Hitachi
Construction
Machinery
Co
Ltd
10,000‌
244‌
Weir
Group
PLC/The
14,006‌
237‌
$
481‌
Machinery
-
Diversified
-
(0.37)%
ANDRITZ
AG
5,303‌
188‌
CNH
Industrial
NV
31,213‌
291‌
Daifuku
Co
Ltd
5,700‌
335‌
Deere
&
Co
6,117‌
957‌
Flowserve
Corp
218‌
9‌
IDEX
Corp
1,412‌
209‌
Rockwell
Automation
Inc
3,512‌
644‌
THK
Co
Ltd
600‌
14‌
Westinghouse
Air
Brake
Technologies
Corp
2,753‌
189‌
Xylem
Inc/NY
1,404‌
109‌
Yaskawa
Electric
Corp
13,600‌
424‌
$
3,369‌
Media
-
(0.40)%
DISH
Network
Corp
28,097‌
942‌
Liberty
Broadband
Corp
-
C
Shares
5,401‌
680‌
News
Corp
-
A
Shares
37,240‌
449‌
Pearson
PLC
45,756‌
332‌
ViacomCBS
Inc
13,103‌
322‌
Walt
Disney
Co/The
6,892‌
811‌
$
3,536‌
Metal
Fabrication
&
Hardware
-
(0.04)%
MISUMI
Group
Inc
17,700‌
373‌
Mining
-
(0.23)%
Anglo
American
PLC
6,749‌
159‌
Barrick
Gold
Corp
3,100‌
59‌
Boliden
AB
25,546‌
536‌
Cameco
Corp
1,400‌
12‌
Freeport-McMoRan
Inc
56,189‌
560‌
Lundin
Mining
Corp
30,000‌
153‌
Mitsubishi
Materials
Corp
16,700‌
379‌
Newmont
Corp
1,711‌
76‌
$
1,934‌
Miscellaneous
Manufacturers
-
(0.27)%
General
Electric
Co
26,227‌
285‌
JSR
Corp
12,800‌
223‌
Nikon
Corp
7,600‌
78‌
Parker-Hannifin
Corp
4,846‌
895‌
Smiths
Group
PLC
16,461‌
328‌
Textron
Inc
14,435‌
586‌
$
2,395‌
Office
&
Business
Equipment
-
(0.14)%
Konica
Minolta
Inc
39,300‌
215‌
Ricoh
Co
Ltd
71,700‌
670‌
Seiko
Epson
Corp
32,300‌
453‌
$
1,338‌
Oil
&
Gas
-
(0.51)%
Cabot
Oil
&
Gas
Corp
29,726‌
414‌
Cimarex
Energy
Co
12,034‌
398‌
Concho
Resources
Inc
708‌
48‌
Diamondback
Energy
Inc
8,983‌
557‌
Hess
Corp
14,542‌
817‌
Husky
Energy
Inc
1,800‌
9‌
Marathon
Oil
Corp
58,263‌
482‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
158
Short
Sales
Outstanding
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Oil
&
Gas
(continued)
Noble
Energy
Inc
35,866‌
$
568‌
Occidental
Petroleum
Corp
27,046‌
885‌
Oil
Search
Ltd
11,006‌
40‌
Pioneer
Natural
Resources
Co
3,947‌
485‌
$
4,703‌
Oil
&
Gas
Services
-
(0.03)%
Schlumberger
Ltd
7,395‌
200‌
TechnipFMC
PLC
5,251‌
78‌
$
278‌
Packaging
&
Containers
-
(0.04)%
Ball
Corp
1,009‌
71‌
Crown
Holdings
Inc
3,643‌
257‌
Sealed
Air
Corp
28‌
1‌
Westrock
Co
1,234‌
41‌
$
370‌
Pharmaceuticals
-
(0.32)%
Alfresa
Holdings
Corp
21,600‌
377‌
Cardinal
Health
Inc
9,253‌
482‌
Eli
Lilly
&
Co
1,897‌
239‌
McKesson
Corp
2,805‌
392‌
Orion
Oyj
296‌
12‌
Perrigo
Co
PLC
16,716‌
847‌
Suzuken
Co
Ltd/Aichi
Japan
200‌
7‌
Taisho
Pharmaceutical
Holdings
Co
Ltd
1,900‌
117‌
Zoetis
Inc
3,741‌
498‌
$
2,971‌
Pipelines
-
(0.29)%
Cheniere
Energy
Inc
5,892‌
302‌
Keyera
Corp
12,100‌
290‌
Kinder
Morgan
Inc/DE
21,267‌
408‌
Koninklijke
Vopak
NV
5,107‌
243‌
ONEOK
Inc
7,568‌
505‌
Targa
Resources
Corp
16,400‌
531‌
Williams
Cos
Inc/The
14,470‌
276‌
$
2,555‌
Private
Equity
-
(0.06)%
Onex
Corp
9,800‌
550‌
Real
Estate
-
(0.07)%
Aeon
Mall
Co
Ltd
1,300‌
18‌
Hulic
Co
Ltd
13,800‌
154‌
Tokyu
Fudosan
Holdings
Corp
71,100‌
449‌
$
621‌
REITs
-
(0.30)%
American
Tower
Corp
1,141‌
259‌
Apartment
Investment
&
Management
Co
2,980‌
143‌
Crown
Castle
International
Corp
2,368‌
339‌
Equinix
Inc
633‌
363‌
Essex
Property
Trust
Inc
433‌
123‌
Healthpeak
Properties
Inc
157‌
5‌
Host
Hotels
&
Resorts
Inc
1,926‌
28‌
Iron
Mountain
Inc
11,106‌
338‌
Regency
Centers
Corp
5,854‌
336‌
SBA
Communications
Corp
1,301‌
345‌
SL
Green
Realty
Corp
876‌
69‌
Ventas
Inc
1,210‌
65‌
Vornado
Realty
Trust
3,773‌
202‌
$
2,615‌
Retail
-
(0.89)%
Advance
Auto
Parts
Inc
1,565‌
208‌
Aeon
Co
Ltd
3,900‌
73‌
Canadian
Tire
Corp
Ltd
300‌
29‌
CarMax
Inc
12,646‌
1,104‌
Chipotle
Mexican
Grill
Inc
639‌
494‌
Costco
Wholesale
Corp
479‌
135‌
Darden
Restaurants
Inc
6,219‌
606‌
Dollar
Tree
Inc
18,295‌
1,519‌
Gap
Inc/The
10,021‌
144‌
Genuine
Parts
Co
6,421‌
560‌
Isetan
Mitsukoshi
Holdings
Ltd
7,700‌
50‌
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Retail
(continued)
J
Front
Retailing
Co
Ltd
30,000‌
$
319‌
Kohl's
Corp
9,388‌
368‌
L
Brands
Inc
11,123‌
241‌
Lowe's
Cos
Inc
4,403‌
469‌
Marui
Group
Co
Ltd
5,000‌
98‌
Nordstrom
Inc
10,351‌
359‌
O'Reilly
Automotive
Inc
627‌
231‌
Ross
Stores
Inc
3,386‌
368‌
Ryohin
Keikaku
Co
Ltd
6,000‌
81‌
Tiffany
&
Co
1,509‌
201‌
Ulta
Beauty
Inc
1,399‌
360‌
Walgreens
Boots
Alliance
Inc
1,006‌
46‌
Yamada
Denki
Co
Ltd
8,300‌
40‌
$
8,103‌
Savings
&
Loans
-
(0.01)%
People's
United
Financial
Inc
4,768‌
67‌
Semiconductors
-
(0.47)%
Advanced
Micro
Devices
Inc
9,545‌
434‌
Analog
Devices
Inc
3,312‌
361‌
Broadcom
Inc
1,070‌
292‌
IPG
Photonics
Corp
97‌
12‌
KLA
Corp
5,577‌
857‌
Marvell
Technology
Group
Ltd
27,900‌
594‌
Maxim
Integrated
Products
Inc
5,724‌
318‌
Microchip
Technology
Inc
4,338‌
393‌
Micron
Technology
Inc
8,816‌
463‌
QUALCOMM
Inc
849‌
66‌
SUMCO
Corp
5,900‌
89‌
Xilinx
Inc
3,896‌
325‌
$
4,204‌
Shipbuilding
-
(0.01)%
Wartsila
OYJ
Abp
4,530‌
47‌
Software
-
(0.61)%
Activision
Blizzard
Inc
6,201‌
360‌
Akamai
Technologies
Inc
526‌
46‌
Autodesk
Inc
978‌
187‌
Broadridge
Financial
Solutions
Inc
3,471‌
362‌
Cadence
Design
Systems
Inc
2,833‌
187‌
Electronic
Arts
Inc
3,333‌
338‌
Fidelity
National
Information
Services
Inc
1,150‌
161‌
Fiserv
Inc
2,939‌
321‌
Intuit
Inc
856‌
228‌
Jack
Henry
&
Associates
Inc
547‌
83‌
Konami
Holdings
Corp
5,900‌
213‌
MongoDB
Inc
2,300‌
351‌
Nexon
Co
Ltd
4,600‌
73‌
Paycom
Software
Inc
681‌
192‌
salesforce.com
Inc
259‌
44‌
ServiceNow
Inc
1,863‌
608‌
Splunk
Inc
2,954‌
435‌
Synopsys
Inc
1,197‌
165‌
Twilio
Inc
8,741‌
985‌
Worldline
SA/France
1,488‌
115‌
$
5,454‌
Telecommunications
-
(0.19)%
Arista
Networks
Inc
1,061‌
205‌
CenturyLink
Inc
30,989‌
374‌
Corning
Inc
9,569‌
228‌
Juniper
Networks
Inc
3,335‌
71‌
Millicom
International
Cellular
SA
1,946‌
90‌
Nokia
OYJ
11,287‌
43‌
Orange
SA
13,833‌
186‌
Tele2
AB
1,083‌
16‌
Verizon
Communications
Inc
8,930‌
484‌
$
1,697‌
Toys,
Games
&
Hobbies
-
(0.01)%
Hasbro
Inc
1,119‌
86‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
159
Short
Sales
Outstanding
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Transportation
-
(0.44)%
CH
Robinson
Worldwide
Inc
1,109‌
$
76‌
FedEx
Corp
7,703‌
1,087‌
Getlink
SE
36,359‌
589‌
JB
Hunt
Transport
Services
Inc
2,700‌
260‌
Keihan
Holdings
Co
Ltd
300‌
12‌
Kintetsu
Group
Holdings
Co
Ltd
9,800‌
423‌
Knight-Swift
Transportation
Holdings
Inc
13,701‌
438‌
Mitsui
OSK
Lines
Ltd
18,000‌
371‌
Norfolk
Southern
Corp
748‌
136‌
Odakyu
Electric
Railway
Co
Ltd
2,000‌
38‌
Old
Dominion
Freight
Line
Inc
861‌
167‌
Union
Pacific
Corp
1,300‌
208‌
United
Parcel
Service
Inc
120‌
11‌
Yamato
Holdings
Co
Ltd
8,800‌
139‌
$
3,955‌
Water
-
(0.03)%
American
Water
Works
Co
Inc
1,462‌
181‌
Suez
4,175‌
66‌
$
247‌
TOTAL
COMMON
STOCKS
(proceeds
$140,316)
$
131,280‌
BONDS
-
(1.66)%
Principal
Amount
(000's)
Value
(000's)
Electric
-
(0.55)%
Comision
Federal
de
Electricidad
6.13%,
06/16/2045
$
4,000‌
$
4,943‌
Sovereign
-
(1.11)%
Argentine
Republic
Government
International
Bond
7.50%,
04/22/2026
6,381‌
2,760‌
Colombia
Government
International
Bond
5.00%,
06/15/2045
546‌
660‌
Mexico
Government
International
Bond
3.75%,
01/11/2028
2,552‌
2,731‌
Republic
of
South
Africa
Government
International
Bond
4.85%,
09/27/2027
3,071‌
3,201‌
Turkey
Government
International
Bond
11.88%,
01/15/2030
497‌
684‌
$
10,036‌
TOTAL
BONDS
(proceeds
$14,994)
$
14,979‌
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
-
(30.27)%
Principal
Amount
(000's)
Value
(000's)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
-
(1.89)%
3.00%,
04/01/2050
$
16,550‌
$
17,026‌
U.S.
Treasury
-
(28.04)%
1.13%,
02/28/2025
10,493‌
10,601‌
1.38%,
01/31/2025
23,412‌
23,926‌
1.50%,
09/15/2022
22,274‌
22,621‌
1.50%,
01/15/2023
29,516‌
30,033‌
1.50%,
10/31/2024
19,909‌
20,437‌
1.50%,
01/31/2027
37,245‌
38,387‌
1.75%,
12/31/2024
48,332‌
50,224‌
1.75%,
12/31/2026
18,689‌
19,568‌
2.38%,
05/15/2027
28,413‌
31,037‌
2.38%,
11/15/2049
4,742‌
5,529‌
$
252,363‌
U.S.
Treasury
Inflation-Indexed
Obligations
-
(0.34)%
0.25%,
07/15/2029
2,908‌
3,071‌
TOTAL
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(proceeds
$263,320)
$
272,460‌
TOTAL
SHORT
SALES
(proceeds
$418,912)
$
418,978‌
Schedule
of
Investments
International
Equity
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
160
INVESTMENT
COMPANIES
-
3.49%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
1.60%
iShares
MSCI
EAFE
ETF
270,600‌
$
16,842‌
Money
Market
Funds
-
1.89%
BlackRock
Liquidity
FedFund
1.48
%
(a),(b)
6,932,655‌
6,932‌
Principal
Government
Money
Market
Fund
1.43%
(a),(b),(c)
12,909,831‌
12,910‌
$
19,842‌
TOTAL
INVESTMENT
COMPANIES
$
36,684‌
COMMON
STOCKS
-
97.20%
Shares
Held
Value
(000's)
Advertising
-
0.23%
Dentsu
Group
Inc
16,700‌
432‌
Hakuhodo
DY
Holdings
Inc
18,000‌
208‌
JCDecaux
SA
6,558‌
152‌
Publicis
Groupe
SA
16,669‌
648‌
WPP
PLC
97,235‌
934‌
$
2,374‌
Aerospace
&
Defense
-
1.47%
Airbus
SE
45,008‌
5,432‌
BAE
Systems
PLC
247,164‌
1,955‌
Dassault
Aviation
SA
193‌
202‌
Elbit
Systems
Ltd
1,872‌
278‌
IHI
Corp
11,400‌
237‌
Kawasaki
Heavy
Industries
Ltd
11,000‌
197‌
Leonardo
SpA
31,184‌
320‌
Meggitt
PLC
59,866‌
422‌
MTU
Aero
Engines
AG
4,023‌
995‌
Rolls-Royce
Holdings
PLC
(d)
134,027‌
1,079‌
Safran
SA
25,240‌
3,494‌
Thales
SA
8,212‌
829‌
$
15,440‌
Agriculture
-
1.05%
British
American
Tobacco
PLC
176,902‌
6,994‌
Imperial
Brands
PLC
73,001‌
1,475‌
Japan
Tobacco
Inc
92,500‌
1,829‌
Swedish
Match
AB
13,096‌
768‌
$
11,066‌
Airlines
-
0.13%
ANA
Holdings
Inc
(e)
9,000‌
242‌
Deutsche
Lufthansa
AG
18,439‌
244‌
easyJet
PLC
12,242‌
177‌
Japan
Airlines
Co
Ltd
8,800‌
216‌
Qantas
Airways
Ltd
56,286‌
206‌
Singapore
Airlines
Ltd
41,500‌
240‌
$
1,325‌
Apparel
-
1.82%
Adidas
AG
13,909‌
3,916‌
Burberry
Group
PLC
31,511‌
679‌
Hermes
International
2,441‌
1,722‌
Kering
SA
5,842‌
3,294‌
LVMH
Moet
Hennessy
Louis
Vuitton
SE
21,437‌
8,946‌
Puma
SE
6,393‌
496‌
Yue
Yuen
Industrial
Holdings
Ltd
55,500‌
135‌
$
19,188‌
Automobile
Manufacturers
-
2.81%
Bayerische
Motoren
Werke
AG
25,513‌
1,683‌
Daimler
AG
70,130‌
2,951‌
Ferrari
NV
9,299‌
1,465‌
Fiat
Chrysler
Automobiles
NV
84,621‌
1,066‌
Hino
Motors
Ltd
22,100‌
181‌
Honda
Motor
Co
Ltd
125,600‌
3,222‌
Isuzu
Motors
Ltd
42,400‌
397‌
Mazda
Motor
Corp
43,700‌
299‌
Mitsubishi
Motors
Corp
51,700‌
170‌
Nissan
Motor
Co
Ltd
178,800‌
766‌
Peugeot
SA
45,319‌
878‌
Renault
SA
14,812‌
440‌
Subaru
Corp
47,400‌
1,147‌
Suzuki
Motor
Corp
28,400‌
1,143‌
Toyota
Motor
Corp
176,100‌
11,564‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Automobile
Manufacturers
(continued)
Volkswagen
AG
2,503‌
$
425‌
Volvo
AB
-
B
Shares
114,598‌
1,799‌
$
29,596‌
Automobile
Parts
&
Equipment
-
0.91%
Aisin
Seiki
Co
Ltd
12,500‌
402‌
Bridgestone
Corp
44,000‌
1,458‌
Cie
Generale
des
Etablissements
Michelin
SCA
13,183‌
1,413‌
Continental
AG
8,478‌
970‌
Denso
Corp
33,400‌
1,285‌
Faurecia
SE
5,851‌
268‌
JTEKT
Corp
15,900‌
153‌
Koito
Manufacturing
Co
Ltd
8,000‌
313‌
NGK
Insulators
Ltd
20,200‌
317‌
NGK
Spark
Plug
Co
Ltd
12,000‌
195‌
Nokian
Renkaat
OYJ
9,633‌
252‌
Pirelli
&
C
SpA
(f)
30,822‌
147‌
Stanley
Electric
Co
Ltd
10,100‌
243‌
Sumitomo
Electric
Industries
Ltd
58,100‌
686‌
Sumitomo
Rubber
Industries
Ltd
13,100‌
136‌
Toyoda
Gosei
Co
Ltd
5,000‌
106‌
Toyota
Industries
Corp
11,300‌
589‌
Valeo
SA
18,572‌
472‌
Yokohama
Rubber
Co
Ltd/The
9,100‌
148‌
$
9,553‌
Banks
-
10.20%
ABN
AMRO
Bank
NV
(f)
32,594‌
447‌
AEON
Financial
Service
Co
Ltd
8,500‌
123‌
AIB
Group
PLC
(e)
62,747‌
146‌
Aozora
Bank
Ltd
9,200‌
228‌
Australia
&
New
Zealand
Banking
Group
Ltd
218,604‌
3,525‌
Banco
Bilbao
Vizcaya
Argentaria
SA
514,232‌
2,463‌
Banco
de
Sabadell
SA
433,957‌
381‌
Banco
Espirito
Santo
SA
(d),(g),(h)
131,709‌
—‌
Banco
Santander
SA
1,281,601‌
4,737‌
Bank
Hapoalim
BM
87,447‌
680‌
Bank
Leumi
Le-Israel
BM
114,001‌
737‌
Bank
of
East
Asia
Ltd/The
100,800‌
215‌
Bank
of
Ireland
Group
PLC
74,586‌
279‌
Bank
of
Kyoto
Ltd/The
4,100‌
136‌
Bankia
SA
94,608‌
150‌
Bankinter
SA
51,946‌
307‌
Barclays
PLC
(e)
1,331,991‌
2,553‌
Bendigo
&
Adelaide
Bank
Ltd
40,148‌
242‌
BNP
Paribas
SA
86,746‌
4,211‌
BOC
Hong
Kong
Holdings
Ltd
285,000‌
997‌
CaixaBank
SA
276,540‌
711‌
Chiba
Bank
Ltd/The
42,000‌
204‌
Commerzbank
AG
77,199‌
446‌
Commonwealth
Bank
of
Australia
136,522‌
7,329‌
Concordia
Financial
Group
Ltd
81,600‌
275‌
Credit
Agricole
SA
88,910‌
1,069‌
Credit
Suisse
Group
AG
(d)
197,120‌
2,215‌
Danske
Bank
A/S
49,826‌
772‌
DBS
Group
Holdings
Ltd
138,300‌
2,418‌
Deutsche
Bank
AG
151,292‌
1,328‌
DNB
ASA
73,061‌
1,224‌
Erste
Group
Bank
AG
23,183‌
794‌
FinecoBank
Banca
Fineco
SpA
46,919‌
492‌
Fukuoka
Financial
Group
Inc
13,200‌
198‌
Hang
Seng
Bank
Ltd
59,000‌
1,244‌
HSBC
Holdings
PLC
(e)
1,566,521‌
10,581‌
ING
Groep
NV
300,506‌
2,878‌
Intesa
Sanpaolo
SpA
1,147,809‌
2,790‌
Israel
Discount
Bank
Ltd
89,693‌
374‌
Japan
Post
Bank
Co
Ltd
31,100‌
275‌
KBC
Group
NV
19,241‌
1,282‌
Lloyds
Banking
Group
PLC
5,402,617‌
3,507‌
Macquarie
Group
Ltd
25,963‌
2,309‌
Mediobanca
Banca
di
Credito
Finanziario
SpA
47,855‌
435‌
Schedule
of
Investments
International
Equity
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
161
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Banks
(continued)
Mitsubishi
UFJ
Financial
Group
Inc
948,600‌
$
4,635‌
Mizrahi
Tefahot
Bank
Ltd
10,839‌
278‌
Mizuho
Financial
Group
Inc
1,860,300‌
2,517‌
National
Australia
Bank
Ltd
222,348‌
3,659‌
Natixis
SA
72,888‌
298‌
Nordea
Bank
Abp
249,868‌
1,972‌
Oversea-Chinese
Banking
Corp
Ltd
254,900‌
1,962‌
Raiffeisen
Bank
International
AG
11,406‌
236‌
Resona
Holdings
Inc
161,100‌
600‌
Royal
Bank
of
Scotland
Group
PLC
372,676‌
862‌
Seven
Bank
Ltd
45,400‌
119‌
Shinsei
Bank
Ltd
14,900‌
195‌
Shizuoka
Bank
Ltd/The
35,000‌
217‌
Skandinaviska
Enskilda
Banken
AB
125,408‌
1,202‌
Societe
Generale
SA
62,522‌
1,772‌
Standard
Chartered
PLC
209,522‌
1,516‌
Sumitomo
Mitsui
Financial
Group
Inc
100,700‌
3,195‌
Sumitomo
Mitsui
Trust
Holdings
Inc
24,744‌
840‌
Svenska
Handelsbanken
AB
119,949‌
1,213‌
Swedbank
AB
69,781‌
1,060‌
UBS
Group
AG
(d)
297,613‌
3,278‌
UniCredit
SpA
155,015‌
1,993‌
United
Overseas
Bank
Ltd
97,100‌
1,733‌
Westpac
Banking
Corp
275,237‌
4,215‌
$
107,274‌
Beverages
-
2.13%
Anheuser-Busch
InBev
SA/NV
58,762‌
3,395‌
Asahi
Group
Holdings
Ltd
27,900‌
1,068‌
Budweiser
Brewing
Co
APAC
Ltd
(d),(f)
101,900‌
311‌
Carlsberg
A/S
8,244‌
1,090‌
Coca-Cola
Amatil
Ltd
39,051‌
294‌
Coca-Cola
Bottlers
Japan
Holdings
Inc
9,500‌
219‌
Coca-Cola
European
Partners
PLC
17,604‌
897‌
Coca-Cola
HBC
AG
(d)
15,385‌
491‌
Davide
Campari-Milano
SpA
44,753‌
374‌
Diageo
PLC
180,991‌
6,458‌
Heineken
Holding
NV
8,879‌
788‌
Heineken
NV
19,989‌
1,992‌
Kirin
Holdings
Co
Ltd
63,400‌
1,205‌
Pernod
Ricard
SA
16,375‌
2,670‌
Remy
Cointreau
SA
1,740‌
177‌
Suntory
Beverage
&
Food
Ltd
10,700‌
409‌
Treasury
Wine
Estates
Ltd
55,458‌
405‌
Vitasoy
International
Holdings
Ltd
56,000‌
203‌
$
22,446‌
Biotechnology
-
0.85%
BeiGene
Ltd
ADR
(d)
2,989‌
473‌
CSL
Ltd
35,002‌
7,150‌
Genmab
A/S
(d)
5,018‌
1,135‌
H
Lundbeck
A/S
5,371‌
187‌
$
8,945‌
Building
Materials
-
1.43%
AGC
Inc/Japan
14,100‌
403‌
Boral
Ltd
90,333‌
270‌
Cie
de
Saint-Gobain
37,905‌
1,338‌
CRH
PLC
60,950‌
2,056‌
Daikin
Industries
Ltd
19,200‌
2,587‌
Fletcher
Building
Ltd
64,147‌
209‌
Geberit
AG
2,855‌
1,425‌
HeidelbergCement
AG
11,467‌
687‌
James
Hardie
Industries
PLC
34,141‌
638‌
Kingspan
Group
PLC
11,843‌
753‌
LafargeHolcim
Ltd
(d)
38,000‌
1,769‌
LIXIL
Group
Corp
20,500‌
305‌
Rinnai
Corp
2,600‌
177‌
Sika
AG
9,833‌
1,760‌
Taiheiyo
Cement
Corp
9,300‌
229‌
TOTO
Ltd
10,900‌
409‌
$
15,015‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Chemicals
-
3.06%
Air
Liquide
SA
36,479‌
$
4,969‌
Air
Water
Inc
14,000‌
186‌
Akzo
Nobel
NV
15,601‌
1,248‌
Arkema
SA
5,317‌
503‌
Asahi
Kasei
Corp
96,900‌
794‌
BASF
SE
70,833‌
4,192‌
Brenntag
AG
11,906‌
540‌
Chr
Hansen
Holding
A/S
8,129‌
586‌
Clariant
AG
(d)
15,346‌
325‌
Covestro
AG
(f)
13,397‌
519‌
Croda
International
PLC
9,939‌
587‌
Daicel
Corp
19,100‌
164‌
EMS-
Chemie
Holding
AG
632‌
371‌
Evonik
Industries
AG
16,171‌
405‌
Givaudan
SA
713‌
2,221‌
Hitachi
Chemical
Co
Ltd
8,000‌
339‌
Incitec
Pivot
Ltd
123,732‌
223‌
Israel
Chemicals
Ltd
54,260‌
197‌
Johnson
Matthey
PLC
14,913‌
489‌
Kansai
Paint
Co
Ltd
13,600‌
295‌
Koninklijke
DSM
NV
13,981‌
1,577‌
Kuraray
Co
Ltd
24,600‌
256‌
LANXESS
AG
6,402‌
341‌
Mitsubishi
Chemical
Holdings
Corp
98,600‌
659‌
Mitsubishi
Gas
Chemical
Co
Inc
12,300‌
184‌
Mitsui
Chemicals
Inc
14,100‌
304‌
Nippon
Paint
Holdings
Co
Ltd
11,300‌
511‌
Nissan
Chemical
Corp
9,600‌
403‌
Nitto
Denko
Corp
12,200‌
607‌
Novozymes
A/S
16,453‌
843‌
Shin-Etsu
Chemical
Co
Ltd
27,500‌
3,043‌
Showa
Denko
KK
10,400‌
223‌
Solvay
SA
5,712‌
521‌
Sumitomo
Chemical
Co
Ltd
114,700‌
418‌
Symrise
AG
9,915‌
972‌
Taiyo
Nippon
Sanso
Corp
10,000‌
178‌
Toray
Industries
Inc
106,800‌
614‌
Tosoh
Corp
20,000‌
271‌
Umicore
SA
15,190‌
640‌
Yara
International
ASA
13,644‌
501‌
$
32,219‌
Commercial
Services
-
2.70%
Adecco
Group
AG
11,957‌
640‌
Adyen
NV
(d),(f)
807‌
710‌
Amadeus
IT
Group
SA
33,259‌
2,358‌
Ashtead
Group
PLC
35,131‌
1,101‌
Atlantia
SpA
38,179‌
826‌
Benesse
Holdings
Inc
5,600‌
144‌
Brambles
Ltd
119,933‌
944‌
Bureau
Veritas
SA
22,634‌
557‌
Dai
Nippon
Printing
Co
Ltd
18,700‌
451‌
Edenred
18,739‌
981‌
Experian
PLC
70,063‌
2,332‌
G4S
PLC
119,558‌
265‌
GMO
Payment
Gateway
Inc
3,200‌
199‌
Intertek
Group
PLC
12,436‌
849‌
ISS
A/S
12,162‌
216‌
Park24
Co
Ltd
8,900‌
175‌
Persol
Holdings
Co
Ltd
13,600‌
183‌
Randstad
NV
9,181‌
473‌
Recruit
Holdings
Co
Ltd
104,600‌
3,658‌
RELX
PLC
149,515‌
3,617‌
Rentokil
Initial
PLC
142,500‌
892‌
Secom
Co
Ltd
16,300‌
1,293‌
Securitas
AB
24,127‌
328‌
SGS
SA
466‌
1,164‌
Sohgo
Security
Services
Co
Ltd
5,500‌
257‌
Toppan
Printing
Co
Ltd
21,500‌
376‌
Transurban
Group
210,776‌
2,055‌
Schedule
of
Investments
International
Equity
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
162
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Commercial
Services
(continued)
Wirecard
AG
(e)
9,047‌
$
1,165‌
Worley
Ltd
25,994‌
218‌
$
28,427‌
Computers
-
0.95%
Atos
SE
7,573‌
570‌
Capgemini
SE
12,247‌
1,357‌
Check
Point
Software
Technologies
Ltd
(d)
9,385‌
974‌
Computershare
Ltd
37,543‌
380‌
CyberArk
Software
Ltd
(d)
2,920‌
306‌
Fujitsu
Ltd
15,200‌
1,585‌
Ingenico
Group
SA
4,664‌
665‌
Itochu
Techno-Solutions
Corp
7,400‌
207‌
NEC
Corp
19,000‌
713‌
Nomura
Research
Institute
Ltd
26,143‌
574‌
NTT
Data
Corp
48,600‌
580‌
Obic
Co
Ltd
5,000‌
617‌
Otsuka
Corp
8,000‌
346‌
Teleperformance
4,528‌
1,105‌
$
9,979‌
Consumer
Products
-
0.45%
Henkel
AG
&
Co
KGaA
8,009‌
684‌
Reckitt
Benckiser
Group
PLC
54,709‌
4,043‌
$
4,727‌
Cosmetics
&
Personal
Care
-
2.34%
Beiersdorf
AG
7,769‌
820‌
Essity
AB
46,733‌
1,409‌
Kao
Corp
37,200‌
2,707‌
Kose
Corp
2,600‌
310‌
Lion
Corp
17,300‌
288‌
L'Oreal
SA
19,369‌
5,206‌
Pigeon
Corp
8,900‌
301‌
Pola
Orbis
Holdings
Inc
7,000‌
133‌
Shiseido
Co
Ltd
30,800‌
1,839‌
Unicharm
Corp
31,100‌
1,008‌
Unilever
NV
113,173‌
5,975‌
Unilever
PLC
85,543‌
4,599‌
$
24,595‌
Distribution
&
Wholesale
-
1.14%
Bunzl
PLC
25,947‌
623‌
Ferguson
PLC
17,471‌
1,522‌
ITOCHU
Corp
103,800‌
2,352‌
Jardine
Cycle
&
Carriage
Ltd
7,600‌
149‌
Marubeni
Corp
120,400‌
798‌
Mitsubishi
Corp
104,200‌
2,594‌
Mitsui
&
Co
Ltd
127,600‌
2,108‌
Sumitomo
Corp
91,600‌
1,315‌
Toyota
Tsusho
Corp
16,400‌
493‌
$
11,954‌
Diversified
Financial
Services
-
1.70%
Acom
Co
Ltd
30,600‌
126‌
AerCap
Holdings
NV
(d)
9,353‌
487‌
Amundi
SA
(f)
4,663‌
335‌
ASX
Ltd
14,918‌
729‌
Credit
Saison
Co
Ltd
12,100‌
175‌
Daiwa
Securities
Group
Inc
117,900‌
499‌
Deutsche
Boerse
AG
14,642‌
2,304‌
Hargreaves
Lansdown
PLC
25,575‌
513‌
Hong
Kong
Exchanges
&
Clearing
Ltd
92,300‌
3,088‌
Japan
Exchange
Group
Inc
39,200‌
656‌
Julius
Baer
Group
Ltd
17,246‌
726‌
London
Stock
Exchange
Group
PLC
24,274‌
2,384‌
Magellan
Financial
Group
Ltd
9,824‌
364‌
Mebuki
Financial
Group
Inc
68,100‌
131‌
Mitsubishi
UFJ
Lease
&
Finance
Co
Ltd
31,000‌
177‌
Nomura
Holdings
Inc
255,700‌
1,129‌
ORIX
Corp
102,100‌
1,655‌
SBI
Holdings
Inc/Japan
18,190‌
367‌
Schroders
PLC
9,579‌
356‌
Singapore
Exchange
Ltd
61,900‌
382‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Diversified
Financial
Services
(continued)
St
James's
Place
PLC
41,197‌
$
546‌
Standard
Life
Aberdeen
PLC
181,116‌
649‌
Tokyo
Century
Corp
3,300‌
136‌
$
17,914‌
Electric
-
3.01%
AGL
Energy
Ltd
49,744‌
623‌
AusNet
Services
142,156‌
158‌
Chubu
Electric
Power
Co
Inc
49,600‌
646‌
Chugoku
Electric
Power
Co
Inc/The
21,400‌
284‌
CLP
Holdings
Ltd
126,500‌
1,337‌
E.ON
SE
173,145‌
2,011‌
EDP
-
Energias
de
Portugal
SA
197,228‌
921‌
Electric
Power
Development
Co
Ltd
11,300‌
242‌
Electricite
de
France
SA
47,017‌
660‌
Endesa
SA
24,474‌
630‌
Enel
SpA
627,249‌
5,265‌
Engie
SA
140,857‌
2,352‌
Fortum
Oyj
34,224‌
731‌
HK
Electric
Investments
&
HK
Electric
Investments
Ltd
204,000‌
205‌
Iberdrola
SA
474,747‌
5,435‌
Kansai
Electric
Power
Co
Inc/The
54,200‌
584‌
Kyushu
Electric
Power
Co
Inc
29,300‌
212‌
Mercury
NZ
Ltd
52,484‌
158‌
Meridian
Energy
Ltd
98,745‌
286‌
Origin
Energy
Ltd
135,710‌
627‌
Orsted
A/S
(f)
14,578‌
1,505‌
Power
Assets
Holdings
Ltd
106,500‌
764‌
Red
Electrica
Corp
SA
33,354‌
637‌
RWE
AG
45,000‌
1,562‌
Sembcorp
Industries
Ltd
75,800‌
101‌
SSE
PLC
79,799‌
1,569‌
Terna
Rete
Elettrica
Nazionale
SpA
108,415‌
717‌
Tohoku
Electric
Power
Co
Inc
32,900‌
289‌
Tokyo
Electric
Power
Co
Holdings
Inc
(d)
117,600‌
446‌
Uniper
SE
15,510‌
461‌
Verbund
AG
5,247‌
250‌
$
31,668‌
Electrical
Components
&
Equipment
-
0.66%
Brother
Industries
Ltd
17,200‌
305‌
Casio
Computer
Co
Ltd
14,900‌
254‌
Legrand
SA
20,559‌
1,578‌
Prysmian
SpA
18,595‌
444‌
Schneider
Electric
SE
42,638‌
4,332‌
$
6,913‌
Electronics
-
1.69%
ABB
Ltd
142,127‌
3,080‌
Alps
Alpine
Co
Ltd
16,100‌
245‌
Assa
Abloy
AB
77,233‌
1,737‌
Halma
PLC
29,255‌
735‌
Hirose
Electric
Co
Ltd
2,499‌
265‌
Hitachi
High-Tech
Corp
5,300‌
394‌
Hoya
Corp
29,300‌
2,598‌
Kyocera
Corp
24,700‌
1,545‌
MINEBEA
MITSUMI
Inc
28,000‌
490‌
Murata
Manufacturing
Co
Ltd
44,200‌
2,316‌
Nidec
Corp
17,400‌
2,049‌
Omron
Corp
14,500‌
776‌
TDK
Corp
10,100‌
963‌
Venture
Corp
Ltd
21,200‌
255‌
Yokogawa
Electric
Corp
17,600‌
286‌
$
17,734‌
Energy
-
Alternate
Sources
-
0.16%
Siemens
Gamesa
Renewable
Energy
SA
18,369‌
298‌
Vestas
Wind
Systems
A/S
14,562‌
1,405‌
$
1,703‌
Schedule
of
Investments
International
Equity
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
163
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Engineering
&
Construction
-
1.45%
ACS
Actividades
de
Construccion
y
Servicios
SA
19,404‌
$
579‌
ACS
Actividades
de
Construccion
y
Servicios
SA
-
Rights
(d)
20,174‌
9‌
Aena
SME
SA
(f)
5,203‌
838‌
Aeroports
de
Paris
2,289‌
340‌
Auckland
International
Airport
Ltd
74,963‌
370‌
Bouygues
SA
17,269‌
683‌
Cellnex
Telecom
SA
(f)
19,301‌
941‌
CIMIC
Group
Ltd
7,496‌
118‌
CK
Infrastructure
Holdings
Ltd
51,000‌
351‌
Eiffage
SA
6,043‌
646‌
Ferrovial
SA
37,644‌
1,081‌
Fraport
AG
Frankfurt
Airport
Services
Worldwide
3,206‌
205‌
HOCHTIEF
AG
1,906‌
190‌
Japan
Airport
Terminal
Co
Ltd
3,900‌
152‌
JGC
Holdings
Corp
16,900‌
204‌
Kajima
Corp
34,600‌
371‌
Keppel
Corp
Ltd
112,100‌
517‌
Lendlease
Group
43,469‌
506‌
NWS
Holdings
Ltd
120,500‌
149‌
Obayashi
Corp
50,000‌
504‌
SATS
Ltd
52,000‌
152‌
Shimizu
Corp
45,500‌
414‌
Singapore
Technologies
Engineering
Ltd
120,200‌
364‌
Skanska
AB
26,209‌
577‌
Sydney
Airport
85,275‌
436‌
Taisei
Corp
15,600‌
529‌
Vinci
SA
39,674‌
4,009‌
$
15,235‌
Entertainment
-
0.48%
Aristocrat
Leisure
Ltd
44,282‌
971‌
Flutter
Entertainment
PLC
6,027‌
641‌
Genting
Singapore
Ltd
465,600‌
274‌
GVC
Holdings
PLC
44,837‌
461‌
Oriental
Land
Co
Ltd/Japan
15,500‌
1,765‌
Sankyo
Co
Ltd
3,400‌
112‌
Sega
Sammy
Holdings
Inc
13,300‌
176‌
Tabcorp
Holdings
Ltd
156,191‌
389‌
Toho
Co
Ltd/Tokyo
8,700‌
269‌
$
5,058‌
Environmental
Control
-
0.02%
Kurita
Water
Industries
Ltd
7,600‌
196‌
Food
-
4.92%
a2
Milk
Co
Ltd
(d)
56,751‌
585‌
Ajinomoto
Co
Inc
33,900‌
569‌
Associated
British
Foods
PLC
27,452‌
802‌
Barry
Callebaut
AG
233‌
481‌
Calbee
Inc
6,100‌
155‌
Carrefour
SA
46,651‌
806‌
Casino
Guichard
Perrachon
SA
(e)
4,177‌
164‌
Chocoladefabriken
Lindt
&
Spruengli
AG
-
PC
83‌
650‌
Chocoladefabriken
Lindt
&
Spruengli
AG
-
REG
8‌
696‌
Coles
Group
Ltd
87,368‌
819‌
Colruyt
SA
4,256‌
197‌
Dairy
Farm
International
Holdings
Ltd
26,058‌
126‌
Danone
SA
47,621‌
3,361‌
ICA
Gruppen
AB
6,975‌
262‌
J
Sainsbury
PLC
136,360‌
345‌
Jardine
Strategic
Holdings
Ltd
17,077‌
495‌
Jeronimo
Martins
SGPS
SA
(e)
19,396‌
343‌
Just
Eat
Takeaway
(d),(e),(f)
8,873‌
778‌
Kerry
Group
PLC
12,250‌
1,556‌
Kikkoman
Corp
11,200‌
515‌
Koninklijke
Ahold
Delhaize
NV
84,890‌
1,983‌
MEIJI
Holdings
Co
Ltd
8,800‌
521‌
METRO
AG
13,874‌
162‌
Mowi
ASA
33,868‌
718‌
Nestle
SA
229,510‌
23,618‌
NH
Foods
Ltd
6,300‌
237‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Food
(continued)
Nisshin
Seifun
Group
Inc
15,195‌
$
256‌
Nissin
Foods
Holdings
Co
Ltd
4,900‌
386‌
Ocado
Group
PLC
(d)
35,009‌
485‌
Orkla
ASA
57,873‌
492‌
Seven
&
i
Holdings
Co
Ltd
58,100‌
1,977‌
Tesco
PLC
755,281‌
2,250‌
Toyo
Suisan
Kaisha
Ltd
6,800‌
270‌
WH
Group
Ltd
(f)
737,500‌
774‌
Wilmar
International
Ltd
148,000‌
427‌
Wm
Morrison
Supermarkets
PLC
(e)
184,937‌
414‌
Woolworths
Group
Ltd
97,265‌
2,488‌
Yakult
Honsha
Co
Ltd
9,200‌
420‌
Yamazaki
Baking
Co
Ltd
9,300‌
157‌
$
51,740‌
Food
Service
-
0.32%
Compass
Group
PLC
122,344‌
2,696‌
Sodexo
SA
6,819‌
659‌
$
3,355‌
Forest
Products
&
Paper
-
0.33%
Mondi
PLC
37,414‌
760‌
Oji
Holdings
Corp
66,300‌
314‌
Smurfit
Kappa
Group
PLC
17,403‌
586‌
Stora
Enso
Oyj
44,825‌
531‌
UPM-
Kymmene
Oyj
41,128‌
1,266‌
$
3,457‌
Gas
-
0.79%
Centrica
PLC
448,323‌
415‌
Enagas
SA
19,194‌
498‌
Hong
Kong
&
China
Gas
Co
Ltd
782,020‌
1,518‌
National
Grid
PLC
268,434‌
3,384‌
Naturgy
Energy
Group
SA
22,749‌
530‌
Osaka
Gas
Co
Ltd
28,900‌
463‌
Snam
SpA
156,954‌
778‌
Toho
Gas
Co
Ltd
5,800‌
197‌
Tokyo
Gas
Co
Ltd
29,000‌
582‌
$
8,365‌
Hand
&
Machine
Tools
-
0.33%
Amada
Holdings
Co
Ltd
25,400‌
237‌
Disco
Corp
2,100‌
426‌
Fuji
Electric
Co
Ltd
9,700‌
266‌
Makita
Corp
17,300‌
586‌
Schindler
Holding
AG
-
PC
3,140‌
704‌
Schindler
Holding
AG
-
REG
1,551‌
335‌
Techtronic
Industries
Co
Ltd
105,500‌
875‌
$
3,429‌
Healthcare
-
Products
-
1.97%
Alcon
Inc
(d)
32,034‌
1,959‌
Asahi
Intecc
Co
Ltd
15,000‌
362‌
Carl
Zeiss
Meditec
AG
3,102‌
330‌
Cochlear
Ltd
4,453‌
610‌
Coloplast
A/S
9,155‌
1,229‌
Demant
A/S
(d)
8,506‌
260‌
EssilorLuxottica
SA
21,880‌
2,999‌
Fisher
&
Paykel
Healthcare
Corp
Ltd
44,297‌
717‌
Koninklijke
Philips
NV
69,815‌
2,990‌
Olympus
Corp
89,800‌
1,626‌
QIAGEN
NV
(d)
17,490‌
647‌
Sartorius
Stedim
Biotech
2,132‌
408‌
Shimadzu
Corp
17,100‌
414‌
Siemens
Healthineers
AG
(f)
11,559‌
473‌
Smith
&
Nephew
PLC
67,477‌
1,514‌
Sonova
Holding
AG
4,223‌
1,009‌
Straumann
Holding
AG
797‌
749‌
Sysmex
Corp
12,900‌
825‌
Terumo
Corp
49,700‌
1,596‌
$
20,717‌
Schedule
of
Investments
International
Equity
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
164
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Healthcare
-
Services
-
0.73%
BioMerieux
3,194‌
$
296‌
Eurofins
Scientific
SE
(e)
891‌
451‌
Fresenius
Medical
Care
AG
&
Co
KGaA
16,433‌
1,268‌
Fresenius
SE
&
Co
KGaA
32,228‌
1,528‌
Lonza
Group
AG
5,739‌
2,290‌
NMC
Health
PLC
(h)
7,238‌
87‌
PeptiDream
Inc
(d)
7,200‌
286‌
Ramsay
Health
Care
Ltd
12,457‌
557‌
Ryman
Healthcare
Ltd
30,823‌
295‌
Sonic
Healthcare
Ltd
34,798‌
661‌
$
7,719‌
Holding
Companies
-
Diversified
-
0.31%
CK
Hutchison
Holdings
Ltd
207,632‌
1,835‌
Jardine
Matheson
Holdings
Ltd
16,997‌
930‌
Swire
Pacific
Ltd
38,000‌
346‌
Washington
H
Soul
Pattinson
&
Co
Ltd
9,223‌
119‌
$
3,230‌
Home
Builders
-
0.54%
Barratt
Developments
PLC
78,448‌
774‌
Berkeley
Group
Holdings
PLC
9,222‌
569‌
Daiwa
House
Industry
Co
Ltd
43,600‌
1,203‌
Iida
Group
Holdings
Co
Ltd
11,420‌
154‌
Persimmon
PLC
24,577‌
909‌
Sekisui
Chemical
Co
Ltd
28,000‌
419‌
Sekisui
House
Ltd
47,900‌
940‌
Taylor
Wimpey
PLC
252,704‌
667‌
$
5,635‌
Home
Furnishings
-
0.83%
Electrolux
AB
17,380‌
354‌
Hoshizaki
Corp
4,200‌
356‌
Panasonic
Corp
170,100‌
1,613‌
SEB
SA
1,744‌
231‌
Sharp
Corp/Japan
16,400‌
190‌
Sony
Corp
98,000‌
6,042‌
$
8,786‌
Insurance
-
5.47%
Admiral
Group
PLC
14,722‌
404‌
Aegon
NV
137,996‌
470‌
Ageas
13,758‌
640‌
AIA
Group
Ltd
932,200‌
9,343‌
Allianz
SE
32,173‌
7,009‌
AMP
Ltd
(d)
265,033‌
293‌
Assicurazioni
Generali
SpA
84,743‌
1,530‌
Aviva
PLC
302,096‌
1,384‌
AXA
SA
149,063‌
3,465‌
Baloise
Holding
AG
3,762‌
608‌
Challenger
Ltd
42,413‌
255‌
CNP
Assurances
13,227‌
208‌
Dai-ichi
Life
Holdings
Inc
83,100‌
1,127‌
Direct
Line
Insurance
Group
PLC
105,950‌
422‌
Gjensidige
Forsikring
ASA
15,411‌
313‌
Hannover
Rueck
SE
4,648‌
842‌
Insurance
Australia
Group
Ltd
178,077‌
749‌
Japan
Post
Holdings
Co
Ltd
121,300‌
1,054‌
Japan
Post
Insurance
Co
Ltd
17,300‌
264‌
Legal
&
General
Group
PLC
460,030‌
1,559‌
M&G
PLC
(d)
200,506‌
524‌
Mapfre
SA
83,053‌
187‌
Medibank
Pvt
Ltd
212,209‌
396‌
MS&AD
Insurance
Group
Holdings
Inc
36,500‌
1,177‌
Muenchener
Rueckversicherungs
-Gesellschaft
AG
in
Muenchen
11,129‌
2,884‌
NN
Group
NV
23,845‌
815‌
Prudential
PLC
200,517‌
3,333‌
QBE
Insurance
Group
Ltd
101,024‌
898‌
RSA
Insurance
Group
PLC
79,467‌
532‌
Sampo
Oyj
34,161‌
1,396‌
SCOR
SE
12,218‌
442‌
Sompo
Holdings
Inc
25,850‌
955‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Insurance
(continued)
Sony
Financial
Holdings
Inc
11,800‌
$
235‌
Suncorp
Group
Ltd
97,154‌
726‌
Swiss
Life
Holding
AG
2,590‌
1,189‌
Swiss
Re
AG
22,724‌
2,162‌
T&D
Holdings
Inc
41,600‌
404‌
Tokio
Marine
Holdings
Inc
49,200‌
2,629‌
Tryg
A/S
9,313‌
261‌
Zurich
Insurance
Group
AG
11,537‌
4,467‌
$
57,551‌
Internet
-
0.85%
Auto
Trader
Group
PLC
(f)
71,189‌
479‌
CyberAgent
Inc
7,700‌
292‌
Delivery
Hero
SE
(d),(f)
8,724‌
667‌
Iliad
SA
(e)
1,139‌
160‌
Kakaku.com
Inc
10,500‌
224‌
LINE
Corp
(d)
4,600‌
229‌
M3
Inc
34,000‌
878‌
Mercari
Inc
(d),(e)
5,900‌
134‌
MonotaRO
Co
Ltd
9,600‌
214‌
Prosus
NV
(d)
37,588‌
2,628‌
Rakuten
Inc
66,200‌
558‌
SEEK
Ltd
25,767‌
353‌
Trend
Micro
Inc/Japan
9,700‌
481‌
United
Internet
AG
7,906‌
239‌
Wix.com
Ltd
(d)
3,747‌
502‌
Z
Holdings
Corp
204,300‌
742‌
ZOZO
Inc
8,400‌
118‌
$
8,898‌
Investment
Companies
-
0.53%
Eurazeo
SE
3,033‌
204‌
EXOR
NV
8,357‌
597‌
Groupe
Bruxelles
Lambert
SA
6,219‌
565‌
Industrivarden
AB
12,870‌
291‌
Investor
AB
35,126‌
1,760‌
Kinnevik
AB
18,642‌
380‌
L
E
Lundbergforetagen
AB
5,857‌
243‌
Melrose
Industries
PLC
374,353‌
1,035‌
Pargesa
Holding
SA
2,975‌
219‌
Wendel
SA
2,087‌
258‌
$
5,552‌
Iron
&
Steel
-
0.35%
ArcelorMittal
SA
51,182‌
729‌
BlueScope
Steel
Ltd
39,120‌
306‌
Evraz
PLC
39,157‌
167‌
Fortescue
Metals
Group
Ltd
107,204‌
716‌
Hitachi
Metals
Ltd
16,500‌
238‌
JFE
Holdings
Inc
37,800‌
346‌
Nippon
Steel
Corp
62,277‌
697‌
thyssenkrupp
AG
(d)
31,180‌
306‌
voestalpine
AG
8,943‌
195‌
$
3,700‌
Leisure
Products
&
Services
-
0.23%
Carnival
PLC
12,105‌
383‌
Flight
Centre
Travel
Group
Ltd
(e)
4,285‌
92‌
Shimano
Inc
5,800‌
806‌
TUI
AG
33,975‌
268‌
Yamaha
Corp
11,100‌
543‌
Yamaha
Motor
Co
Ltd
21,500‌
339‌
$
2,431‌
Lodging
-
0.47%
Accor
SA
13,526‌
492‌
City
Developments
Ltd
35,100‌
251‌
Crown
Resorts
Ltd
28,698‌
192‌
Galaxy
Entertainment
Group
Ltd
167,000‌
1,137‌
InterContinental
Hotels
Group
PLC
13,325‌
738‌
Melco
Resorts
&
Entertainment
Ltd
ADR
16,848‌
292‌
Sands
China
Ltd
186,800‌
895‌
SJM
Holdings
Ltd
153,000‌
177‌
Whitbread
PLC
10,300‌
520‌
Schedule
of
Investments
International
Equity
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
165
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Lodging
(continued)
Wynn
Macau
Ltd
119,600‌
$
248‌
$
4,942‌
Machinery
-
Construction
&
Mining
-
0.89%
Epiroc
AB
-
A
Shares
50,780‌
586‌
Epiroc
AB
-
B
Shares
30,048‌
337‌
Hitachi
Construction
Machinery
Co
Ltd
8,200‌
200‌
Hitachi
Ltd
74,500‌
2,488‌
Komatsu
Ltd
71,200‌
1,423‌
Mitsubishi
Electric
Corp
140,700‌
1,769‌
Mitsubishi
Heavy
Industries
Ltd
24,700‌
780‌
Sandvik
AB
86,990‌
1,450‌
Weir
Group
PLC/The
20,004‌
338‌
$
9,371‌
Machinery
-
Diversified
-
1.85%
ANDRITZ
AG
5,610‌
199‌
Atlas
Copco
AB
-
A
Shares
51,787‌
1,846‌
Atlas
Copco
AB
-
B
Shares
30,069‌
932‌
CNH
Industrial
NV
78,066‌
727‌
Daifuku
Co
Ltd
7,800‌
459‌
FANUC
Corp
15,000‌
2,463‌
GEA
Group
AG
11,821‌
316‌
Hexagon
AB
20,287‌
1,093‌
Husqvarna
AB
32,181‌
217‌
Keyence
Corp
14,160‌
4,521‌
KION
Group
AG
5,005‌
271‌
Kone
Oyj
(e)
26,191‌
1,484‌
Kubota
Corp
80,100‌
1,123‌
Metso
OYJ
8,110‌
264‌
Nabtesco
Corp
8,700‌
231‌
SMC
Corp/Japan
4,400‌
1,754‌
Spirax-Sarco
Engineering
PLC
5,674‌
622‌
Sumitomo
Heavy
Industries
Ltd
8,500‌
183‌
THK
Co
Ltd
9,200‌
208‌
Yaskawa
Electric
Corp
18,500‌
576‌
$
19,489‌
Media
-
0.53%
Bollore
SA
67,904‌
235‌
Informa
PLC
96,457‌
854‌
ITV
PLC
279,160‌
424‌
Pearson
PLC
60,257‌
437‌
Schibsted
ASA
-
B
Shares
7,553‌
183‌
Singapore
Press
Holdings
Ltd
123,600‌
170‌
Telenet
Group
Holding
NV
3,567‌
137‌
Vivendi
SA
63,905‌
1,633‌
Wolters
Kluwer
NV
21,056‌
1,540‌
$
5,613‌
Metal
Fabrication
&
Hardware
-
0.15%
Maruichi
Steel
Tube
Ltd
4,300‌
104‌
MISUMI
Group
Inc
21,800‌
459‌
NSK
Ltd
27,600‌
209‌
SKF
AB
29,307‌
518‌
Tenaris
SA
36,387‌
332‌
$
1,622‌
Mining
-
2.00%
Alumina
Ltd
188,621‌
241‌
Anglo
American
PLC
79,419‌
1,868‌
Antofagasta
PLC
30,386‌
300‌
BHP
Group
Ltd
227,185‌
4,938‌
BHP
Group
PLC
162,884‌
2,977‌
Boliden
AB
21,076‌
443‌
Glencore
PLC
(d)
823,283‌
2,078‌
Mitsubishi
Materials
Corp
8,600‌
195‌
Newcrest
Mining
Ltd
59,293‌
973‌
Norsk
Hydro
ASA
103,627‌
302‌
Rio
Tinto
Ltd
28,605‌
1,644‌
Rio
Tinto
PLC
86,830‌
4,088‌
South32
Ltd
381,179‌
542‌
Sumitomo
Metal
Mining
Co
Ltd
17,900‌
441‌
$
21,030‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Miscellaneous
Manufacturers
-
0.96%
Alfa
Laval
AB
24,241‌
$
550‌
Alstom
SA
14,691‌
725‌
JSR
Corp
14,800‌
257‌
Knorr-
Bremse
AG
3,728‌
381‌
Nikon
Corp
24,700‌
252‌
Orica
Ltd
31,169‌
408‌
Siemens
AG
58,997‌
6,069‌
Smiths
Group
PLC
30,524‌
608‌
Toshiba
Corp
30,000‌
812‌
$
10,062‌
Office
&
Business
Equipment
-
0.41%
Canon
Inc
77,100‌
1,940‌
FUJIFILM
Holdings
Corp
27,800‌
1,350‌
Konica
Minolta
Inc
34,900‌
191‌
Ricoh
Co
Ltd
51,600‌
482‌
Seiko
Epson
Corp
21,500‌
302‌
$
4,265‌
Oil
&
Gas
-
4.04%
Aker
BP
ASA
8,325‌
204‌
BP
PLC
1,563,216‌
8,122‌
Caltex
Australia
Ltd
19,241‌
414‌
DCC
PLC
7,577‌
543‌
Eni
SpA
196,189‌
2,444‌
Equinor
ASA
77,178‌
1,189‌
Galp
Energia
SGPS
SA
38,624‌
533‌
Idemitsu
Kosan
Co
Ltd
15,081‌
377‌
Inpex
Corp
78,800‌
694‌
JXTG
Holdings
Inc
236,730‌
959‌
Lundin
Petroleum
AB
14,320‌
409‌
Neste
Oyj
32,600‌
1,303‌
Oil
Search
Ltd
105,740‌
387‌
OMV
AG
11,348‌
475‌
Repsol
SA
109,228‌
1,234‌
Royal
Dutch
Shell
PLC
-
A
Shares
322,396‌
6,959‌
Royal
Dutch
Shell
PLC
-
B
Shares
287,935‌
6,241‌
Santos
Ltd
136,428‌
622‌
TOTAL
SA
185,093‌
8,000‌
Woodside
Petroleum
Ltd
72,669‌
1,353‌
$
42,462‌
Packaging
&
Containers
-
0.02%
Toyo
Seikan
Group
Holdings
Ltd
11,000‌
175‌
Pharmaceuticals
-
8.87%
Alfresa
Holdings
Corp
14,500‌
253‌
Astellas
Pharma
Inc
145,600‌
2,282‌
AstraZeneca
PLC
101,174‌
8,879‌
Bayer
AG
75,764‌
5,510‌
Chugai
Pharmaceutical
Co
Ltd
17,400‌
1,872‌
Daiichi
Sankyo
Co
Ltd
43,700‌
2,660‌
Eisai
Co
Ltd
19,400‌
1,425‌
Galapagos
NV
(d)
3,490‌
734‌
GlaxoSmithKline
PLC
384,748‌
7,764‌
Grifols
SA
22,985‌
741‌
Hisamitsu
Pharmaceutical
Co
Inc
4,000‌
177‌
Ipsen
SA
2,907‌
190‌
Kobayashi
Pharmaceutical
Co
Ltd
3,800‌
275‌
Kyowa
Kirin
Co
Ltd
18,700‌
446‌
Medipal
Holdings
Corp
14,100‌
256‌
Merck
KGaA
9,960‌
1,212‌
Nippon
Shinyaku
Co
Ltd
3,500‌
262‌
Novartis
AG
165,676‌
13,937‌
Novo
Nordisk
A/S
136,460‌
7,995‌
Ono
Pharmaceutical
Co
Ltd
28,700‌
582‌
Orion
Oyj
8,088‌
323‌
Otsuka
Holdings
Co
Ltd
30,100‌
1,128‌
Recordati
SpA
8,058‌
345‌
Roche
Holding
AG
54,181‌
17,421‌
Sanofi
86,968‌
8,111‌
Santen
Pharmaceutical
Co
Ltd
27,700‌
444‌
Shionogi
&
Co
Ltd
20,700‌
1,114‌
Schedule
of
Investments
International
Equity
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
166
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Pharmaceuticals
(continued)
Sumitomo
Dainippon
Pharma
Co
Ltd
12,200‌
$
174‌
Suzuken
Co
Ltd/Aichi
Japan
5,500‌
182‌
Taisho
Pharmaceutical
Holdings
Co
Ltd
2,700‌
166‌
Takeda
Pharmaceutical
Co
Ltd
115,400‌
3,985‌
Teva
Pharmaceutical
Industries
Ltd
ADR
(d)
84,227‌
971‌
UCB
SA
9,742‌
902‌
Vifor
Pharma
AG
3,507‌
589‌
$
93,307‌
Pipelines
-
0.09%
APA
Group
90,917‌
641‌
Koninklijke
Vopak
NV
5,418‌
258‌
$
899‌
Private
Equity
-
0.21%
3i
Group
PLC
74,975‌
987‌
Partners
Group
Holding
AG
1,440‌
1,250‌
$
2,237‌
Real
Estate
-
1.71%
Aeon
Mall
Co
Ltd
7,950‌
113‌
Aroundtown
SA
93,961‌
816‌
Azrieli
Group
Ltd
3,271‌
238‌
CapitaLand
Ltd
197,800‌
507‌
CK
Asset
Holdings
Ltd
199,132‌
1,271‌
Daito
Trust
Construction
Co
Ltd
5,600‌
570‌
Deutsche
Wohnen
SE
27,716‌
1,131‌
Hang
Lung
Properties
Ltd
156,000‌
346‌
Henderson
Land
Development
Co
Ltd
111,982‌
523‌
Hongkong
Land
Holdings
Ltd
89,919‌
446‌
Hulic
Co
Ltd
23,300‌
259‌
Kerry
Properties
Ltd
50,500‌
145‌
Mitsubishi
Estate
Co
Ltd
91,100‌
1,555‌
Mitsui
Fudosan
Co
Ltd
68,100‌
1,563‌
New
World
Development
Co
Ltd
473,000‌
620‌
Nomura
Real
Estate
Holdings
Inc
9,600‌
207‌
REA
Group
Ltd
4,060‌
264‌
Sino
Land
Co
Ltd
237,073‌
327‌
Sumitomo
Realty
&
Development
Co
Ltd
25,600‌
798‌
Sun
Hung
Kai
Properties
Ltd
122,500‌
1,771‌
Swire
Properties
Ltd
90,000‌
271‌
Swiss
Prime
Site
AG
(d)
5,854‌
706‌
Tokyu
Fudosan
Holdings
Corp
47,100‌
298‌
UOL
Group
Ltd
35,700‌
191‌
Vonovia
SE
39,728‌
2,150‌
Wharf
Real
Estate
Investment
Co
Ltd
93,000‌
428‌
Wheelock
&
Co
Ltd
62,000‌
476‌
$
17,990‌
REITs
-
1.62%
Ascendas
Real
Estate
Investment
Trust
222,450‌
492‌
British
Land
Co
PLC/The
68,040‌
441‌
CapitaLand
Commercial
Trust
207,800‌
279‌
CapitaLand
Mall
Trust
198,900‌
326‌
Covivio
3,693‌
393‌
Daiwa
House
REIT
Investment
Corp
144‌
360‌
Dexus
84,516‌
673‌
Gecina
SA
3,528‌
628‌
Goodman
Group
126,797‌
1,245‌
GPT
Group/The
150,094‌
567‌
ICADE
2,299‌
230‌
Japan
Prime
Realty
Investment
Corp
60‌
265‌
Japan
Real
Estate
Investment
Corp
102‌
697‌
Japan
Retail
Fund
Investment
Corp
202‌
383‌
Klepierre
SA
15,256‌
458‌
Land
Securities
Group
PLC
54,276‌
585‌
Link
REIT
161,800‌
1,510‌
Mapletree
Commercial
Trust
165,700‌
251‌
Mirvac
Group
303,125‌
603‌
Nippon
Building
Fund
Inc
105‌
785‌
Nippon
Prologis
REIT
Inc
(d)
154‌
417‌
Nomura
Real
Estate
Master
Fund
Inc
315‌
500‌
Orix
JREIT
Inc
202‌
382‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
REITs
(continued)
Scentre
Group
405,187‌
$
918‌
Segro
PLC
84,574‌
897‌
Stockland
183,726‌
568‌
Suntec
Real
Estate
Investment
Trust
150,800‌
185‌
Unibail
-
Rodamco
-Westfield
10,660‌
1,279‌
United
Urban
Investment
Corp
229‌
367‌
Vicinity
Centres
247,042‌
350‌
$
17,034‌
Retail
-
1.98%
ABC-Mart
Inc
2,700‌
155‌
Aeon
Co
Ltd
50,500‌
944‌
Cie
Financiere
Richemont
SA
40,256‌
2,760‌
Dufry
AG
(d)
3,118‌
229‌
FamilyMart
Co
Ltd
19,500‌
425‌
Fast
Retailing
Co
Ltd
4,500‌
2,220‌
Harvey
Norman
Holdings
Ltd
43,312‌
106‌
Hennes
&
Mauritz
AB
61,903‌
1,123‌
Industria
de
Diseno
Textil
SA
84,124‌
2,625‌
Isetan
Mitsukoshi
Holdings
Ltd
25,800‌
167‌
J
Front
Retailing
Co
Ltd
17,800‌
189‌
JD
Sports
Fashion
PLC
33,745‌
323‌
Kingfisher
PLC
162,594‌
399‌
Lawson
Inc
3,800‌
203‌
Marks
&
Spencer
Group
PLC
150,259‌
310‌
Marui
Group
Co
Ltd
14,600‌
285‌
McDonald's
Holdings
Co
Japan
Ltd
5,100‌
215‌
Moncler
SpA
13,914‌
548‌
Next
PLC
10,267‌
809‌
Nitori
Holdings
Co
Ltd
6,100‌
848‌
Pan
Pacific
International
Holdings
Corp
34,100‌
564‌
Pandora
A/S
7,706‌
347‌
Ryohin
Keikaku
Co
Ltd
18,400‌
249‌
Shimamura
Co
Ltd
(e)
1,700‌
113‌
Sundrug
Co
Ltd
5,500‌
171‌
Swatch
Group
AG/The
-
BR
2,231‌
519‌
Swatch
Group
AG/The
-
REG
4,054‌
175‌
Tsuruha
Holdings
Inc
2,800‌
325‌
USS
Co
Ltd
16,900‌
268‌
Welcia
Holdings
Co
Ltd
3,600‌
215‌
Wesfarmers
Ltd
87,441‌
2,340‌
Yamada
Denki
Co
Ltd
48,300‌
232‌
Zalando
SE
(d),(f)
10,724‌
479‌
$
20,880‌
Semiconductors
-
1.91%
Advantest
Corp
15,400‌
709‌
ASM
Pacific
Technology
Ltd
23,500‌
284‌
ASML
Holding
NV
32,826‌
9,102‌
Hamamatsu
Photonics
KK
10,800‌
421‌
Infineon
Technologies
AG
96,466‌
2,059‌
NXP
Semiconductors
NV
21,556‌
2,451‌
Renesas
Electronics
Corp
(d)
59,200‌
360‌
Rohm
Co
Ltd
7,200‌
471‌
STMicroelectronics
NV
52,623‌
1,452‌
SUMCO
Corp
19,200‌
291‌
Tokyo
Electron
Ltd
12,100‌
2,528‌
$
20,128‌
Shipbuilding
-
0.05%
Wartsila
OYJ
Abp
34,196‌
358‌
Yangzijiang
Shipbuilding
Holdings
Ltd
183,700‌
127‌
$
485‌
Software
-
1.50%
AVEVA
Group
PLC
4,977‌
283‌
Dassault
Systemes
SE
10,132‌
1,608‌
Konami
Holdings
Corp
7,100‌
256‌
Micro
Focus
International
PLC
25,712‌
245‌
Nexon
Co
Ltd
38,100‌
602‌
Oracle
Corp
Japan
3,000‌
234‌
Sage
Group
PLC/The
83,873‌
743‌
SAP
SE
75,793‌
9,462‌
Schedule
of
Investments
International
Equity
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
167
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Software
(continued)
Square
Enix
Holdings
Co
Ltd
7,000‌
$
283‌
Temenos
AG
(d)
5,045‌
721‌
Ubisoft
Entertainment
SA
(d)
6,972‌
523‌
WiseTech
Global
Ltd
11,032‌
111‌
Worldline
SA/France
(d),(f)
9,846‌
760‌
$
15,831‌
Telecommunications
-
4.21%
Altice
Europe
NV
(d)
47,631‌
253‌
BT
Group
PLC
647,239‌
1,187‌
Deutsche
Telekom
AG
257,045‌
4,211‌
Elisa
Oyj
10,961‌
631‌
Eutelsat
Communications
SA
13,452‌
182‌
Hikari
Tsushin
Inc
1,600‌
304‌
HKT
Trust
&
HKT
Ltd
291,980‌
440‌
KDDI
Corp
136,200‌
3,848‌
Koninklijke
KPN
NV
275,273‌
668‌
Millicom
International
Cellular
SA
7,455‌
344‌
Nice
Ltd
(d)
4,789‌
783‌
Nippon
Telegraph
&
Telephone
Corp
99,200‌
2,314‌
Nokia
OYJ
435,002‌
1,662‌
NTT
DOCOMO
Inc
102,800‌
2,783‌
Orange
SA
153,858‌
2,071‌
PCCW
Ltd
326,000‌
197‌
Proximus
SADP
11,721‌
291‌
SES
SA
28,069‌
322‌
Singapore
Telecommunications
Ltd
629,200‌
1,363‌
Softbank
Corp
129,100‌
1,696‌
SoftBank
Group
Corp
120,800‌
5,612‌
Spark
New
Zealand
Ltd
141,487‌
403‌
Swisscom
AG
1,997‌
1,066‌
Tele2
AB
38,479‌
560‌
Telecom
Italia
SpA
/Milano
(d)
702,883‌
391‌
Telecom
Italia
SpA
/Milano
-
RSP
464,467‌
260‌
Telefonaktiebolaget
LM
Ericsson
236,945‌
1,901‌
Telefonica
Deutschland
Holding
AG
68,761‌
181‌
Telefonica
SA
360,378‌
2,145‌
Telenor
ASA
55,573‌
900‌
Telia
Co
AB
210,836‌
835‌
Telstra
Corp
Ltd
320,753‌
723‌
TPG
Telecom
Ltd
28,597‌
142‌
Vodafone
Group
PLC
2,064,422‌
3,608‌
$
44,277‌
Textiles
-
0.02%
Teijin
Ltd
13,700‌
225‌
Toys,
Games
&
Hobbies
-
0.35%
Bandai
Namco
Holdings
Inc
15,400‌
771‌
Nintendo
Co
Ltd
8,600‌
2,883‌
$
3,654‌
Transportation
-
1.75%
AP
Moller
-
Maersk
A/S
-
A
291‌
276‌
AP
Moller
-
Maersk
A/S
-
B
505‌
510‌
Aurizon
Holdings
Ltd
151,416‌
482‌
Central
Japan
Railway
Co
11,100‌
1,825‌
ComfortDelGro
Corp
Ltd
166,800‌
237‌
Deutsche
Post
AG
76,287‌
2,296‌
DSV
PANALPINA
A/S
16,312‌
1,655‌
East
Japan
Railway
Co
23,400‌
1,787‌
Getlink
SE
33,903‌
549‌
Hankyu
Hanshin
Holdings
Inc
17,700‌
582‌
Kamigumi
Co
Ltd
8,200‌
158‌
Keihan
Holdings
Co
Ltd
7,400‌
299‌
Keikyu
Corp
17,000‌
257‌
Keio
Corp
7,900‌
379‌
Keisei
Electric
Railway
Co
Ltd
10,000‌
318‌
Kintetsu
Group
Holdings
Co
Ltd
13,200‌
569‌
Kuehne
+
Nagel
International
AG
4,162‌
609‌
Kyushu
Railway
Co
12,300‌
372‌
Mitsui
OSK
Lines
Ltd
8,800‌
181‌
MTR
Corp
Ltd
118,500‌
677‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Transportation
(continued)
Nagoya
Railroad
Co
Ltd
14,400‌
$
376‌
Nippon
Express
Co
Ltd
6,100‌
293‌
Nippon
Yusen
KK
11,800‌
168‌
Odakyu
Electric
Railway
Co
Ltd
22,700‌
436‌
Poste
Italiane
SpA
(f)
40,256‌
431‌
Seibu
Holdings
Inc
15,300‌
217‌
SG
Holdings
Co
Ltd
11,100‌
219‌
Tobu
Railway
Co
Ltd
14,700‌
438‌
Tokyu
Corp
38,500‌
590‌
West
Japan
Railway
Co
12,600‌
890‌
Yamato
Holdings
Co
Ltd
23,700‌
374‌
$
18,450‌
Water
-
0.27%
Severn
Trent
PLC
18,328‌
582‌
Suez
26,333‌
418‌
United
Utilities
Group
PLC
52,543‌
638‌
Veolia
Environnement
SA
41,560‌
1,197‌
$
2,835‌
TOTAL
COMMON
STOCKS
$
1,022,372‌
PREFERRED
STOCKS
-
0.52%
Shares
Held
Value
(000's)
Automobile
Manufacturers
-
0.32%
Bayerische
Motoren
Werke
AG
3.52%
4,385‌
$
228‌
Porsche
Automobil
Holding
SE
2.21%
11,800‌
735‌
Volkswagen
AG
6.56%
14,302‌
2,374‌
$
3,337‌
Chemicals
-
0.02%
FUCHS
PETROLUB
SE
0.97%
5,355‌
205‌
Consumer
Products
-
0.12%
Henkel
AG
&
Co
KGaA
1.85%
13,730‌
1,279‌
Electronics
-
0.06%
Sartorius
AG
0.71%
2,741‌
641‌
TOTAL
PREFERRED
STOCKS
$
5,462‌
Total
Investments
$
1,064,518‌
Other
Assets
and
Liabilities
-  (1.21)%
(12,697‌)
TOTAL
NET
ASSETS
-
100.00%
$
1,051,821‌
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$17,653
or
1.68%
of
net
assets.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Non-income
producing
security
(e)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
(f)
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
$10,594
or
1.01%
of
net
assets.
(g)
The
value
of
these
investments
was
determined
using
significant
unobservable
inputs.
(h)
Fair
value
of
these
investments
is
determined
in
good
faith
by
the
Manager
under
procedures
established
and
periodically
reviewed
by
the
Board
of
Directors.
Certain
inputs
used
in
the
valuation
may
be
unobservable;
however,
each
security
is
evaluated
individually
for
purposes
of
ASC
820
which
results
in
not
all
securities
being
identified
as
Level
3
of
the
fair
value
hierarchy.
At
the
end
of
the
period,
the
fair
value
of
these
securities
totaled
$87
or
0.01%
of
net
assets.
Schedule
of
Investments
International
Equity
Index
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
168
Portfolio
Summary  (unaudited)
Location
Percent
Japan
23.79‌%
United
Kingdom
14.07‌%
France
10.81‌%
Switzerland
9.91‌%
Germany
8.33‌%
Australia
6.79‌%
Netherlands
4.59‌%
United
States
3.53‌%
Hong
Kong
3.46‌%
Spain
2.81‌%
Sweden
2.49‌%
Italy
2.10‌%
Denmark
1.91‌%
Singapore
1.25‌%
Finland
1.15‌%
Ireland
0.95‌%
Belgium
0.88‌%
Israel
0.60‌%
Norway
0.59‌%
New
Zealand
0.30‌%
Luxembourg
0.28‌%
Austria
0.21‌%
Portugal
0.17‌%
Macao
0.10‌%
China
0.05‌%
Isle
of
Man
0.04‌%
Chile
0.03‌%
Russian
Federation
0.01‌%
United
Arab
Emirates
0.01‌%
Other
Assets
and
Liabilities
(1.21‌)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
February
29,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
1.43%
$
6,107‌
$
151,183‌
$
144,380‌
$
12,910‌
$
6,107‌
$
151,183‌
$
144,380‌
$
12,910‌
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/Loss
Principal
Government
Money
Market
Fund
1.43%
$
37‌
$
—‌
$
—‌
$
—‌
$
37‌
$
—‌
$
—‌
$
—‌
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Futures
Contracts
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
eMini
MSCI
EAFE;
March
2020
Long
26‌
$
2,361‌
$
(265‌)
Total
$
(265‌)
Amounts
in
thousands
except
contracts.
Schedule
of
Investments
International
Small
Company
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
169
INVESTMENT
COMPANIES
-
3.73%
Shares
Held
Value
(000's)
Money
Market
Funds
-
3.73%
BlackRock
Liquidity
FedFund
1.48
%
(a),(b)
9,032,794‌
$
9,032‌
Principal
Government
Money
Market
Fund
1.43
%
(a),(b),(c)
24,649,594‌
24,650‌
$
33,682‌
TOTAL
INVESTMENT
COMPANIES
$
33,682‌
COMMON
STOCKS
-
99.12%
Shares
Held
Value
(000's)
Advertising
-
0.55%
Stroeer
SE
&
Co
KGaA
66,425‌
4,972‌
Aerospace
&
Defense
-
1.21%
CAE
Inc
169,700‌
4,540‌
Meggitt
PLC
633,032‌
4,458‌
Ultra
Electronics
Holdings
PLC
76,641‌
1,942‌
$
10,940‌
Airlines
-
0.74%
Air
Canada
(
d)
129,300‌
3,299‌
Wizz
Air
Holdings
Plc
(
d),(e)
75,175‌
3,345‌
$
6,644‌
Apparel
-
1.16%
boohoo
Group
PLC
(
d)
1,551,205‌
5,891‌
Puma
SE
29,978‌
2,324‌
Yue
Yuen
Industrial
Holdings
Ltd
947,500‌
2,299‌
$
10,514‌
Automobile
Manufacturers
-
0.19%
Isuzu
Motors
Ltd
183,400‌
1,716‌
Automobile
Parts
&
Equipment
-
1.52%
Rheinmetall
AG
61,478‌
5,707‌
Toyoda
Gosei
Co
Ltd
236,700‌
5,001‌
TS
Tech
Co
Ltd
118,100‌
3,054‌
$
13,762‌
Banks
-
4.82%
77
Bank
Ltd/The
65,300‌
828‌
Banco
Comercial
Portugues
SA
25,367,805‌
4,597‌
BAWAG
Group
AG
(
e)
95,090‌
4,101‌
Cembra
Money
Bank
AG
43,119‌
4,853‌
Chiba
Bank
Ltd/The
791,800‌
3,836‌
Israel
Discount
Bank
Ltd
1,402,461‌
5,844‌
Mediobanca
Banca
di
Credito
Finanziario
SpA
543,323‌
4,941‌
Mizrahi
Tefahot
Bank
Ltd
248,641‌
6,378‌
Paragon
Banking
Group
PLC
688,454‌
4,049‌
Shinsei
Bank
Ltd
310,700‌
4,070‌
$
43,497‌
Beverages
-
1.08%
Carlsberg
A/S
15,412‌
2,038‌
Royal
Unibrew
A/S
88,730‌
7,677‌
$
9,715‌
Building
Materials
-
1.01%
Buzzi
Unicem
SpA
305,644‌
6,704‌
Ibstock
PLC
(
e)
697,938‌
2,461‌
$
9,165‌
Chemicals
-
3.32%
Arkema
SA
60,676‌
5,740‌
Denka
Co
Ltd
218,600‌
5,456‌
DIC
Corp
142,100‌
3,357‌
Koninklijke
DSM
NV
18,694‌
2,108‌
Lintec
Corp
138,900‌
2,971‌
Solvay
SA
22,811‌
2,082‌
Sumitomo
Bakelite
Co
Ltd
138,300‌
4,098‌
Zeon
Corp
441,300‌
4,198‌
$
30,010‌
Commercial
Services
-
2.59%
Aggreko
PLC
353,446‌
3,088‌
Loomis
AB
151,882‌
5,304‌
Nishio
Rent
All
Co
Ltd
82,300‌
2,030‌
Park24
Co
Ltd
195,200‌
3,846‌
QinetiQ
Group
PLC
875,612‌
3,919‌
Rentokil
Initial
PLC
455,325‌
2,849‌
Sixt
SE
(
f)
26,653‌
2,346‌
$
23,382‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Computers
-
4.63%
Appen
Ltd
291,139‌
$
4,030‌
Computacenter
PLC
141,286‌
2,995‌
CyberArk
Software
Ltd
(
d)
44,017‌
4,609‌
Indra
Sistemas
SA
(
d)
398,671‌
4,360‌
Keywords
Studios
PLC
132,911‌
2,671‌
Logitech
International
SA
62,275‌
2,415‌
MCJ
Co
Ltd
252,700‌
1,451‌
NEC
Corp
63,500‌
2,384‌
NEC
Networks
&
System
Integration
Corp
53,500‌
1,979‌
Nomura
Research
Institute
Ltd
110,900‌
2,435‌
S&T
AG
(
f)
147,250‌
3,290‌
Softcat
PLC
182,797‌
2,501‌
Sopra
Steria
Group
25,251‌
4,088‌
Teleperformance
10,871‌
2,652‌
$
41,860‌
Distribution
&
Wholesale
-
2.45%
Inchcape
PLC
751,194‌
5,615‌
Rexel
SA
567,968‌
7,021‌
Seven
Group
Holdings
Ltd
(
f)
453,493‌
5,294‌
Toromont
Industries
Ltd
85,804‌
4,242‌
$
22,172‌
Diversified
Financial
Services
-
3.05%
AerCap
Holdings
NV
(
d)
102,364‌
5,331‌
Aruhi
Corp
92,100‌
1,348‌
Euronext
NV
(
e)
72,823‌
6,071‌
Man
Group
PLC/Jersey
1,996,636‌
3,792‌
Mitsubishi
UFJ
Lease
&
Finance
Co
Ltd
821,300‌
4,697‌
TP
ICAP
PLC
492,023‌
2,321‌
Zenkoku
Hosho
Co
Ltd
106,900‌
3,989‌
$
27,549‌
Electric
-
2.24%
Capital
Power
Corp
270,200‌
6,754‌
Chubu
Electric
Power
Co
Inc
136,500‌
1,778‌
Hera
SpA
1,390,821‌
5,970‌
Iren
SpA
1,860,916‌
5,760‌
$
20,262‌
Electrical
Components
&
Equipment
-
1.40%
Prysmian
SpA
(
f)
239,158‌
5,713‌
Signify
NV
(
e)
232,870‌
6,939‌
$
12,652‌
Electronics
-
1.53%
Anritsu
Corp
(
f)
337,700‌
5,582‌
Halma
PLC
95,444‌
2,398‌
Hitachi
High-Tech
Corp
43,500‌
3,231‌
Mycronic
AB
182,653‌
2,582‌
$
13,793‌
Energy
-
Alternate
Sources
-
0.32%
Vestas
Wind
Systems
A/S
29,468‌
2,843‌
Engineering
&
Construction
-
4.17%
ACS
Actividades
de
Construccion
y
Servicios
SA
54,833‌
1,635‌
ACS
Actividades
de
Construccion
y
Servicios
SA
-
Rights
(
d)
54,833‌
24‌
Downer
EDI
Ltd
1,192,263‌
4,503‌
Hazama
Ando
Corp
703,800‌
5,156‌
Kajima
Corp
468,400‌
5,020‌
KAWADA
TECHNOLOGIES
Inc
25,300‌
1,306‌
Kyowa
Exeo
Corp
289,800‌
6,344‌
Maeda
Corp
531,500‌
4,681‌
SPIE
SA
179,060‌
3,457‌
Stantec
Inc
132,600‌
3,961‌
Yokogawa
Bridge
Holdings
Corp
86,900‌
1,573‌
$
37,660‌
Entertainment
-
2.78%
Cineworld
Group
PLC
2,348,710‌
4,770‌
GVC
Holdings
PLC
480,943‌
4,945‌
Sega
Sammy
Holdings
Inc
395,500‌
5,222‌
Stars
Group
Inc/
The
(
d)
231,200‌
5,298‌
Tokyotokeiba
Co
Ltd
52,100‌
1,587‌
Schedule
of
Investments
International
Small
Company
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
170
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Entertainment
(continued)
William
Hill
PLC
1,728,453‌
$
3,299‌
$
25,121‌
Food
-
4.64%
AAK
AB
184,652‌
3,188‌
Empire
Co
Ltd
210,100‌
4,694‌
Greencore
Group
PLC
1,192,795‌
3,247‌
HelloFresh
SE
(
d)
134,828‌
3,288‌
J
Sainsbury
PLC
1,939,951‌
4,915‌
Morinaga
Milk
Industry
Co
Ltd
174,200‌
6,139‌
NH
Foods
Ltd
137,200‌
5,169‌
Nichirei
Corp
(
f)
139,700‌
3,528‌
Sonae
SGPS
SA
2,752,184‌
2,162‌
SSP
Group
Plc
564,373‌
3,732‌
WH
Group
Ltd
(
e)
1,787,000‌
1,875‌
$
41,937‌
Food
Service
-
0.26%
Autogrill
SpA
286,986‌
2,320‌
Forest
Products
&
Paper
-
0.57%
Interfor
Corp
(
d)
254,000‌
2,258‌
UPM-
Kymmene
Oyj
92,984‌
2,861‌
$
5,119‌
Gas
-
0.73%
Rubis
SCA
121,198‌
6,573‌
Hand
&
Machine
Tools
-
0.15%
Rhi
Magnesita
NV
34,900‌
1,358‌
Healthcare
-
Products
-
1.58%
Carl
Zeiss
Meditec
AG
14,015‌
1,491‌
Elekta
AB
395,848‌
4,202‌
GN
Store
Nord
A/S
103,342‌
5,767‌
Sartorius
Stedim
Biotech
14,572‌
2,791‌
$
14,251‌
Healthcare
-
Services
-
2.23%
Evotec
SE
(
d),(f)
125,822‌
3,063‌
ICON
PLC
(
d)
37,640‌
5,874‌
Korian
SA
93,763‌
4,280‌
Orpea
53,513‌
6,944‌
$
20,161‌
Home
Furnishings
-
0.38%
Canon
Marketing
Japan
Inc
150,800‌
3,461‌
Insurance
-
2.55%
ASR
Nederland
NV
234,532‌
7,893‌
Direct
Line
Insurance
Group
PLC
1,456,139‌
5,804‌
Phoenix
Group
Holdings
PLC
689,772‌
6,194‌
Swiss
Life
Holding
AG
6,757‌
3,102‌
$
22,993‌
Internet
-
0.85%
Scout24
AG
(
e)
116,152‌
7,642‌
Lodging
-
0.21%
NagaCorp
Ltd
1,344,000‌
1,868‌
Machinery
-
Diversified
-
2.49%
ATS
Automation
Tooling
Systems
Inc
(
d)
160,000‌
2,137‌
Bucher
Industries
AG
19,192‌
6,014‌
Deutz
AG
379,760‌
1,810‌
Husqvarna
AB
707,383‌
4,761‌
Makino
Milling
Machine
Co
Ltd
98,300‌
3,306‌
Okuma
Holdings
Inc
107,200‌
4,499‌
$
22,527‌
Media
-
1.80%
Future
PLC
138,759‌
2,092‌
Nine
Entertainment
Co
Holdings
Ltd
3,973,191‌
4,163‌
ProSiebenSat.1
Media
SE
441,781‌
5,381‌
Tokyo
Broadcasting
System
Holdings
Inc
295,100‌
4,592‌
$
16,228‌
Mining
-
3.19%
Alacer
Gold
Corp
(
d)
486,300‌
2,199‌
Hudbay
Minerals
Inc
552,427‌
1,346‌
Lundin
Mining
Corp
1,162,300‌
5,932‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Mining
(continued)
Northern
Star
Resources
Ltd
558,740‌
$
4,880‌
Perenti
Global
Ltd
2,462,646‌
2,190‌
Saracen
Mineral
Holdings
Ltd
(
d)
2,641,613‌
6,435‌
SSR
Mining
Inc
(
d)
370,227‌
5,792‌
$
28,774‌
Miscellaneous
Manufacturers
-
1.05%
Aalberts
NV
74,098‌
2,764‌
Trelleborg
AB
246,769‌
3,855‌
Vesuvius
PLC
527,599‌
2,895‌
$
9,514‌
Office
&
Business
Equipment
-
0.20%
Sato
Holdings
Corp
79,700‌
1,792‌
Oil
&
Gas
-
2.59%
Aker
BP
ASA
78,335‌
1,919‌
Beach
Energy
Ltd
3,269,827‌
3,865‌
DCC
PLC
58,438‌
4,185‌
Enerplus
Corp
(
f)
851,400‌
3,698‌
International
Petroleum
Corp/
Sweden
(
d),(f)
379,607‌
1,273‌
Parex
Resources
Inc
(
d)
361,967‌
4,951‌
Premier
Oil
PLC
(
d),(f)
2,484,117‌
2,530‌
TORC
Oil
&
Gas
Ltd
(
f)
416,500‌
1,015‌
$
23,436‌
Packaging
&
Containers
-
0.76%
DS
Smith
PLC
1,683,070‌
6,878‌
Pharmaceuticals
-
3.52%
Almirall
SA
124,963‌
1,637‌
Amplifon
SpA
215,498‌
6,182‌
Clinigen
Group
Plc
184,308‌
1,694‌
Hikma
Pharmaceuticals
PLC
258,681‌
6,022‌
Nippon
Shinyaku
Co
Ltd
64,200‌
4,810‌
Sawai
Pharmaceutical
Co
Ltd
121,500‌
6,905‌
Ship
Healthcare
Holdings
Inc
64,800‌
2,611‌
Towa
Pharmaceutical
Co
Ltd
96,900‌
1,918‌
$
31,779‌
Pipelines
-
0.69%
Keyera
Corp
(
f)
141,800‌
3,404‌
Koninklijke
Vopak
NV
59,376‌
2,826‌
$
6,230‌
Private
Equity
-
1.10%
Intermediate
Capital
Group
PLC
369,984‌
7,652‌
Jafco
Co
Ltd
59,800‌
2,264‌
$
9,916‌
Real
Estate
-
4.52%
CA
Immobilien
Anlagen
AG
66,862‌
2,714‌
Castellum
AB
339,740‌
7,834‌
Entra
ASA
(
e)
168,149‌
2,664‌
Hysan
Development
Co
Ltd
789,000‌
2,884‌
IMMOFINANZ
AG
(
d)
107,495‌
2,769‌
LEG
Immobilien
AG
64,711‌
7,771‌
PSP
Swiss
Property
AG
57,571‌
8,520‌
UOL
Group
Ltd
1,061,200‌
5,691‌
$
40,847‌
REITs
-
8.44%
Allied
Properties
Real
Estate
Investment
Trust
123,859‌
5,026‌
alstria
office
REIT-AG
218,546‌
4,153‌
Canadian
Apartment
Properties
REIT
81,200‌
3,396‌
Charter
Hall
Group
837,144‌
6,850‌
Cofinimmo
SA
15,186‌
2,425‌
Covivio
47,834‌
5,091‌
Frasers
Logistics
&
Industrial
Trust
2,844,700‌
2,540‌
Granite
Real
Estate
Investment
Trust
62,100‌
3,162‌
ICADE
46,182‌
4,626‌
Inmobiliaria
Colonial
Socimi
SA
273,115‌
3,489‌
Invincible
Investment
Corp
9,770‌
3,954‌
Japan
Hotel
REIT
Investment
Corp
7,615‌
4,253‌
Kenedix
Office
Investment
Corp
853‌
6,365‌
Kenedix
Residential
Next
Investment
Corp
2,104‌
3,605‌
Mapletree
Commercial
Trust
3,151,673‌
4,777‌
Schedule
of
Investments
International
Small
Company
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
171
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
REITs
(continued)
Mapletree
Industrial
Trust
1,717,200‌
$
3,314‌
MCUBS
MidCity
Investment
Corp
3,241‌
3,373‌
Merlin
Properties
Socimi
SA
448,893‌
5,794‌
$
76,193‌
Retail
-
6.13%
B&M
European
Value
Retail
SA
1,232,062‌
5,337‌
CECONOMY
AG
(
d)
580,608‌
2,800‌
Cosmos
Pharmaceutical
Corp
29,600‌
6,452‌
Grafton
Group
PLC
395,448‌
4,403‌
J
Front
Retailing
Co
Ltd
489,600‌
5,202‌
JD
Sports
Fashion
PLC
519,464‌
4,969‌
Komeri
Co
Ltd
52,300‌
945‌
Man
Wah
Holdings
Ltd
2,877,200‌
2,135‌
Moncler
SpA
52,409‌
2,062‌
Saizeriya
Co
Ltd
147,200‌
2,809‌
Seiko
Holdings
Corp
127,000‌
2,453‌
Super
Retail
Group
Ltd
508,042‌
2,718‌
Sushiro
Global
Holdings
Ltd
75,400‌
5,420‌
Tsuruha
Holdings
Inc
43,300‌
5,028‌
Valora
Holding
AG
(
d)
10,538‌
2,630‌
$
55,363‌
Semiconductors
-
0.82%
ASM
International
NV
64,494‌
7,412‌
Software
-
2.51%
AVEVA
Group
PLC
24,906‌
1,417‌
CompuGroup
Medical
SE
28,556‌
1,793‌
Descartes
Systems
Group
Inc/
The
(
d)
86,900‌
3,608‌
Kinaxis
Inc
(
d)
42,200‌
3,548‌
NSD
Co
Ltd
134,500‌
2,163‌
Open
Text
Corp
69,400‌
2,906‌
TIS
Inc
121,400‌
7,254‌
$
22,689‌
Telecommunications
-
1.59%
Bezeq
The
Israeli
Telecommunication
Corp
Ltd
(
d)
5,719,817‌
4,172‌
Proximus
SADP
198,198‌
4,922‌
Spark
New
Zealand
Ltd
1,864,926‌
5,305‌
$
14,399‌
Transportation
-
2.81%
ComfortDelGro
Corp
Ltd
2,845,700‌
4,035‌
Kamigumi
Co
Ltd
283,900‌
5,478‌
National
Express
Group
PLC
915,608‌
4,993‌
Sankyu
Inc
134,800‌
5,710‌
TFI
International
Inc
168,400‌
5,194‌
$
25,410‌
TOTAL
COMMON
STOCKS
$
895,299‌
Total
Investments
$
928,981‌
Other
Assets
and
Liabilities
-  (
2.85)%
(25,755‌)
TOTAL
NET
ASSETS
-
100.00%
$
903,226‌
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$24,353
or
2.70%
of
net
assets.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Non-income
producing
security
(e)
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
$35,098
or
3.89%
of
net
assets.
(f)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
Portfolio
Summary  (
unaudited)
Location
Percent
Japan
24.95‌%
United
Kingdom
13.00‌%
Canada
10.14‌%
Germany
6.04‌%
France
5.89‌%
Australia
4.97‌%
Italy
4.39‌%
United
States
3.98‌%
Netherlands
3.98‌%
Sweden
3.53‌%
Switzerland
3.41‌%
Ireland
2.85‌%
Israel
2.33‌%
Singapore
2.26‌%
Denmark
2.04‌%
Spain
1.87‌%
Austria
1.57‌%
Belgium
1.04‌%
Hong
Kong
1.02‌%
Portugal
0.75‌%
Jordan
0.67‌%
New
Zealand
0.59‌%
Isle
of
Man
0.55‌%
Norway
0.50‌%
Finland
0.32‌%
Cambodia
0.21‌%
Other
Assets
and
Liabilities
(
2.85‌)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
February
29,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
1.43%
$
29,546‌
$
262,962‌
$
267,858‌
$
24,650‌
$
29,546‌
$
262,962‌
$
267,858‌
$
24,650‌
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/Loss
Principal
Government
Money
Market
Fund
1.43%
$
118‌
$
—‌
$
—‌
$
—‌
$
118‌
$
—‌
$
—‌
$
—‌
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Schedule
of
Investments
Opportunistic
Municipal
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
172
INVESTMENT
COMPANIES
-
0.27%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
0.27%
SPDR
Nuveen
Bloomberg
Barclays
High
Yield
Municipal
Bond
ETF
6,435‌
$
391‌
VanEck
Vectors
Short
High-Yield
Municipal
Index
ETF
1,000‌
25‌
$
416‌
TOTAL
INVESTMENT
COMPANIES
$
416‌
MUNICIPAL
BONDS
-
106.66%
Principal
Amount
(000's)
Value
(000's)
Alabama
-
3.63%
Lower
Alabama
Gas
District/The
5.00
%,
09
/01/2034
$
1,500‌
$
2,059‌
Tuscaloosa
County
Industrial
Development
Authority
4.50
%,
05
/01/2032
(a)
1,000‌
1,159‌
5.25
%,
05
/01/2044
(a)
2,000‌
2,386‌
$
5,604‌
Arizona
-
5.03%
Arizona
Industrial
Development
Authority
5.00
%,
01
/01/2049
(a)
1,000‌
1,092‌
7.25
%,
01
/01/2054
(a)
1,000‌
1,070‌
Navajo
Nation
5.50
%,
12
/01/2030
(a)
2,500‌
2,889‌
Salt
Verde
Financial
Corp
5.00
%,
12
/01/2032
2,000‌
2,708‌
$
7,759‌
Arkansas
-
0.73%
Arkansas
Development
Finance
Authority
4.50
%,
09
/01/2049
(a)
1,000‌
1,120‌
California
-
5.18%
Abag
Finance
Authority
for
Nonprofit
Corps
5.00
%,
08
/01/2043
500‌
560‌
California
Statewide
Communities
Development
Authority
5.25
%,
12
/01/2048
(a)
1,000‌
1,198‌
California
Statewide
Communities
Development
Authority
(
credit
support
from
Ginnie
Mae
Collateral
)
4.90
%,
07
/20/2039
(b)
500‌
510‌
California
Statewide
Financing
Authority
6.00
%,
05
/01/2043
1,000‌
1,006‌
La
Verne
Public
Financing
Authority
7.25
%,
09
/01/2026
490‌
492‌
Oakland
Unified
School
District/Alameda
County
5.00
%,
08
/01/2035
1,225‌
1,470‌
State
of
California
1.07
%,
05
/01/2033
(c)
2,750‌
2,750‌
$
7,986‌
Colorado
-
5.00%
Centerra
Metropolitan
District
No
1
5.00
%,
12
/01/2037
(a)
1,000‌
1,081‌
Eagle
County
Airport
Terminal
Corp
5.00
%,
05
/01/2037
1,000‌
1,201‌
Elbert
County
Independence
Water
&
Sanitation
District
7.25
%,
12
/01/2038
1,000‌
1,102‌
Painted
Prairie
Public
Improvement
Authority
5.00
%,
12
/01/2049
500‌
528‌
Prairie
Farm
Metropolitan
District
5.25
%,
12
/01/2048
1,000‌
1,080‌
STC
Metropolitan
District
No
2
5.00
%,
12
/01/2038
1,000‌
1,106‌
Velocity
Metropolitan
District
No
3
5.50
%,
12
/01/2048
1,500‌
1,622‌
$
7,720‌
Connecticut
-
1.61%
Mohegan
Tribal
Finance
Authority
7.00
%,
02
/01/2045
(a)
2,400‌
2,479‌
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
District
of
Columbia
-
2.26%
District
of
Columbia
4.00
%,
07
/01/2039
$
1,000‌
$
1,146‌
Metropolitan
Washington
Airports
Authority
Dulles
Toll
Road
Revenue
4.00
%,
10
/01/2049
2,000‌
2,341‌
$
3,487‌
Florida
-
5.05%
Florida
Development
Finance
Corp
6.25
%,
01
/01/2049
(a),(c)
1,000‌
1,039‌
Greater
Orlando
Aviation
Authority
5.00
%,
10
/01/2047
(d)
2,999‌
3,643‌
Martin
County
Health
Facilities
Authority
4.00
%,
01
/01/2046
1,000‌
1,164‌
Ocean
Highway
&
Port
Authority
5.50
%,
12
/01/2049
(a)
1,500‌
1,591‌
Orange
County
Housing
Finance
Authority
7.00
%,
10
/01/2025
345‌
346‌
$
7,783‌
Georgia
-
0.97%
Development
Authority
of
Burke
County/The
1.25
%,
07
/01/2049
(c)
1,500‌
1,500‌
Illinois
-
13.69%
City
of
Chicago
IL
5.50
%,
01
/01/2042
300‌
347‌
5.50
%,
01
/01/2049
1,000‌
1,246‌
6.00
%,
01
/01/2038
1,900‌
2,392‌
7.46
%,
02
/15/2026
1,707‌
1,295‌
City
of
Chicago
IL
Wastewater
Transmission
Revenue
5.00
%,
01
/01/2031
760‌
883‌
5.00
%,
01
/01/2039
1,200‌
1,366‌
Illinois
Finance
Authority
0.00
%,
12
/01/2042
(e)
300‌
174‌
Illinois
Sports
Facilities
Authority/The
5.00
%,
06
/15/2028
1,000‌
1,235‌
5.00
%,
06
/15/2029
1,000‌
1,256‌
Illinois
State
Toll
Highway
Authority
5.00
%,
01
/01/2040
(d)
5,000‌
5,998‌
Metropolitan
Pier
&
Exposition
Authority
4.00
%,
06
/15/2050
(f)
500‌
565‌
5.00
%,
06
/15/2050
(f)
1,000‌
1,225‌
5.00
%,
06
/15/2057
500‌
589‌
Metropolitan
Pier
&
Exposition
Authority
(
credit
support
from
National
Public
Finance
Guarantee
Corp
)
5.50
%,
06
/15/2029
(b)
1,000‌
1,241‌
State
of
Illinois
5.50
%,
07
/01/2027
1,150‌
1,307‌
$
21,119‌
Indiana
-
1.21%
Indiana
Finance
Authority
1.17
%,
11
/01/2037
(c)
500‌
500‌
7.00
%,
03
/01/2039
(a)
1,000‌
1,033‌
Town
of
Shoals
IN
7.25
%,
11
/01/2043
300‌
335‌
$
1,868‌
Louisiana
-
3.45%
Louisiana
Local
Government
Environmental
Facilities
&
Community
Development
Authority
4.00
%,
11
/01/2044
(a)
1,000‌
1,045‌
4.40
%,
11
/01/2044
(a)
1,000‌
1,078‌
5.50
%,
11
/01/2039
(a)
900‌
990‌
5.65
%,
11
/01/2037
(a)
1,000‌
1,151‌
Louisiana
Public
Facilities
Authority
0.00
%,
07
/01/2039
(e)
278‌
—‌
Parish
of
St
John
the
Baptist
LA
2.20
%,
06
/01/2037
(c)
1,000‌
1,051‌
$
5,315‌
Schedule
of
Investments
Opportunistic
Municipal
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
173
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Maine
-
0.74%
Finance
Authority
of
Maine
5.25
%,
01
/01/2025
(a)
$
1,000‌
$
1,140‌
Maryland
-
0.69%
City
of
Westminster
MD
6.25
%,
07
/01/2044
600‌
674‌
Maryland
Economic
Development
Corp
5.38
%,
06
/01/2025
390‌
395‌
$
1,069‌
Michigan
-
3.02%
Kalamazoo
Economic
Development
Corp
5.00
%,
05
/15/2042
1,000‌
1,145‌
Michigan
Finance
Authority
5.00
%,
07
/01/2035
1,000‌
1,179‌
Michigan
Strategic
Fund
5.00
%,
11
/15/2043
1,000‌
1,161‌
5.00
%,
11
/15/2049
1,000‌
1,179‌
$
4,664‌
Missouri
-
1.84%
City
of
St
Louis
MO
Airport
Revenue
(
credit
support
from
National
Public
Finance
Guarantee
Corp
)
5.50
%,
07
/01/2028
(b)
400‌
541‌
Health
&
Educational
Facilities
Authority
of
the
State
of
Missouri
5.00
%,
02
/01/2042
1,000‌
1,140‌
Kansas
City
Industrial
Development
Authority
5.00
%,
04
/01/2046
(a)
1,100‌
1,165‌
$
2,846‌
Montana
-
1.00%
City
of
Kalispell
MT
5.25
%,
05
/15/2037
1,400‌
1,546‌
Nevada
-
1.84%
Las
Vegas
Convention
&
Visitors
Authority
5.00
%,
07
/01/2043
(d)
1,394‌
1,730‌
State
of
Nevada
Department
of
Business
&
Industry
5.13
%,
12
/15/2037
(a)
1,000‌
1,104‌
$
2,834‌
New
Hampshire
-
1.74%
New
Hampshire
Business
Finance
Authority
2.95
%,
04
/01/2029
(a),(c)
1,000‌
1,029‌
New
Hampshire
Health
and
Education
Facilities
Authority
Act
5.00
%,
08
/01/2059
1,000‌
1,655‌
$
2,684‌
New
Jersey
-
6.77%
Casino
Reinvestment
Development
Authority
Inc
5.25
%,
11
/01/2039
250‌
282‌
Essex
County
Improvement
Authority
5.25
%,
07
/01/2045
(a)
1,300‌
1,317‌
New
Jersey
Economic
Development
Authority
5.00
%,
07
/15/2028
500‌
605‌
5.00
%,
06
/15/2047
500‌
597‌
5.25
%,
06
/15/2040
55‌
67‌
5.25
%,
06
/15/2040
945‌
1,100‌
5.63
%,
11
/15/2030
1,500‌
1,739‌
5.75
%,
09
/15/2027
500‌
551‌
New
Jersey
Transportation
Trust
Fund
Authority
5.25
%,
06
/15/2032
2,000‌
2,338‌
South
Jersey
Port
Corp
5.00
%,
01
/01/2048
1,000‌
1,184‌
South
Jersey
Transportation
Authority
(
credit
support
from
Assured
Guaranty
Municipal
Corp
)
5.00
%,
11
/01/2029
(b)
500‌
660‌
$
10,440‌
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
New
York
-
7.34%
Glen
Cove
Local
Economic
Assistance
Corp
5.00
%,
01
/01/2056
$
1,000‌
$
1,118‌
New
York
City
Transitional
Finance
Authority
Future
Tax
Secured
Revenue
1.17
%,
08
/01/2039
(c)
1,000‌
1,000‌
1.17
%,
11
/01/2044
(c)
1,500‌
1,500‌
New
York
Counties
Tobacco
Trust
VI
5.00
%,
06
/01/2041
400‌
446‌
New
York
State
Environmental
Facilities
Corp
2.88
%,
12
/01/2044
(a),(c)
3,125‌
3,242‌
New
York
State
Thruway
Authority
5.25
%,
01
/01/2056
1,000‌
1,201‌
New
York
Transportation
Development
Corp
5.00
%,
08
/01/2021
1,500‌
1,575‌
5.00
%,
01
/01/2034
1,000‌
1,237‌
$
11,319‌
North
Carolina
-
0.88%
City
of
Charlotte
NC
5.00
%,
06
/01/2029
1,000‌
1,360‌
Ohio
-
9.53%
Buckeye
Tobacco
Settlement
Financing
Authority
5.00
%,
06
/01/2055
(f)
5,000‌
5,645‌
5.75
%,
06
/01/2034
1,500‌
1,502‌
6.00
%,
06
/01/2042
2,500‌
2,503‌
Cleveland
Department
of
Public
Utilities
Division
of
Public
Power
(
credit
support
from
Assured
Guaranty
Municipal
Corp
)
4.00
%,
11
/15/2037
(b)
500‌
601‌
Cleveland-Cuyahoga
County
Port
Authority
5.50
%,
12
/01/2043
1,000‌
1,201‌
Ohio
Air
Quality
Development
Authority
0.00
%,
12
/01/2023
(e)
1,000‌
950‌
4.50
%,
01
/15/2048
(a)
1,000‌
1,140‌
5.00
%,
07
/01/2049
(a)
1,000‌
1,157‌
$
14,699‌
Oklahoma
-
1.55%
Oklahoma
Development
Finance
Authority
5.25
%,
08
/15/2043
1,000‌
1,234‌
Tulsa
County
Industrial
Authority
5.25
%,
11
/15/2045
1,000‌
1,150‌
$
2,384‌
Oregon
-
0.53%
Oregon
State
Business
Development
Commission
6.50
%,
04
/01/2031
(a)
1,000‌
818‌
Pennsylvania
-
5.57%
Allegheny
County
Industrial
Development
Authority
4.88
%,
11
/01/2024
500‌
554‌
5.13
%,
05
/01/2030
1,000‌
1,203‌
Commonwealth
Financing
Authority
5.00
%,
06
/01/2028
1,000‌
1,282‌
5.00
%,
06
/01/2035
1,000‌
1,253‌
Lancaster
County
Hospital
Authority/PA
5.00
%,
07
/01/2045
1,000‌
1,100‌
Pennsylvania
Economic
Development
Financing
Authority
3.25
%,
08
/01/2039
(a)
1,000‌
1,020‌
5.50
%,
11
/01/2044
1,000‌
1,081‌
5.75
%,
06
/01/2036
(a)
1,000‌
1,091‌
$
8,584‌
South
Carolina
-
0.36%
South
Carolina
Jobs-Economic
Development
Authority
5.25
%,
11
/15/2047
500‌
559‌
South
Dakota
-
0.32%
Oglala
Sioux
Tribe
5.75
%,
10
/01/2025
(a)
500‌
500‌
Schedule
of
Investments
Opportunistic
Municipal
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
174
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Tennessee
-
2.51%
Chattanooga
Health
Educational
&
Housing
Facility
Board
5.00
%,
10
/01/2028
$
1,050‌
$
1,232‌
5.00
%,
10
/01/2035
500‌
578‌
Metropolitan
Government
Nashville
&
Davidson
County
Health
&
Educational
Facilities
Board
5.00
%,
07
/01/2040
1,000‌
1,199‌
Nashville
Metropolitan
Development
&
Housing
Agency
5.13
%,
06
/01/2036
(a)
750‌
866‌
$
3,875‌
Texas
-
5.90%
Central
Texas
Turnpike
System
3.00
%,
08
/15/2040
(f)
1,000‌
1,090‌
Grand
Parkway
Transportation
Corp
3.00
%,
10
/01/2050
1,500‌
1,606‌
North
Texas
Tollway
Authority
5.00
%,
01
/01/2045
615‌
714‌
5.00
%,
01
/01/2048
500‌
602‌
Port
Beaumont
Navigation
District
4.00
%,
01
/01/2050
(a)
3,500‌
3,642‌
Texas
Municipal
Gas
Acquisition
&
Supply
Corp
I
6.25
%,
12
/15/2026
915‌
1,089‌
Texas
Private
Activity
Bond
Surface
Transportation
Corp
7.00
%,
12
/31/2038
300‌
355‌
$
9,098‌
Utah
-
0.98%
Utah
Infrastructure
Agency
5.25
%,
10
/15/2033
1,250‌
1,505‌
Vermont
-
0.98%
Vermont
Economic
Development
Authority
4.63
%,
04
/01/2036
(a),(c)
1,300‌
1,506‌
Virginia
-
0.70%
Virginia
Small
Business
Financing
Authority
3.00
%,
11
/01/2040
1,000‌
1,079‌
Washington
-
0.36%
Port
of
Seattle
Industrial
Development
Corp
5.00
%,
04
/01/2030
500‌
550‌
Wisconsin
-
3.70%
Public
Finance
Authority
5.00
%,
12
/01/2025
1,200‌
1,393‌
5.00
%,
09
/01/2049
(a)
1,000‌
1,123‌
5.25
%,
04
/01/2030
600‌
668‌
Wisconsin
Health
&
Educational
Facilities
Authority
5.00
%,
03
/15/2050
1,175‌
1,467‌
5.50
%,
07
/01/2023
80‌
80‌
6.00
%,
07
/01/2028
170‌
170‌
6.50
%,
07
/01/2033
300‌
300‌
7.00
%,
07
/01/2043
500‌
500‌
$
5,701‌
TOTAL
MUNICIPAL
BONDS
$
164,500‌
Total
Investments
$
164,916‌
Liability
for
Floating
Rate
Notes
Issued
in
Conjunction
with
Securities
Held
-
(
3.52)%
Notes
with
interest
rates
of
1.23%
-
1.25%
at
February
29,
2020
and
contractual
maturity
of
collateral
from
2024-
2026.
(
g)
$
(5,428‌)
(5,428‌)
Total
Net
Investments
$
159,488‌
Other
Assets
and
Liabilities
-  (
3.41)%
(5,256‌)
TOTAL
NET
ASSETS
-
100.00%
$
154,232‌
(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
$44,261
or
28.70%
of
net
assets.
(b)
Credit
support
indicates
investments
that
benefit
from
credit
enhancement
or
liquidity
support
provided
by
a
third
party
bank,
institution,
or
government
agency.
(c)
Certain
variable
rate
securities
are
not
based
on
a
published
reference
rate
and
spread
but
are
determined
by
the
issuer
or
agent
and
are
based
on
current
market
conditions.  These
securities
do
not
indicate
a
reference
rate
and
spread
in
their
description.
Rate
shown
is
the
rate
in
effect
as
of
period
end.
(d)
Security
or
portion
of
underlying
security
related
to
Inverse
Floaters
entered
into
by
the
Fund.  See
Notes
to
Financial
Statements
for
additional
information.
(e)
Non-income
producing
security
(f)
Security
purchased
on
a
when-issued
basis.
(g)
Floating
rate
securities.
The
interest
rate(s)
shown
reflect
the
rates
in
effect
at
February
29,
2020.
Portfolio
Summary  (
unaudited)
Sector
Percent
Revenue
Bonds
91.41‌%
General
Obligation
Unlimited
7.06‌%
General
Obligation
Limited
2.47‌%
Insured
2.30‌%
Tax
Allocation
1.26‌%
Prerefunded
1.00‌%
Certificate
Participation
0.84‌%
Special
Tax
0.32‌%
Investment
Companies
0.27‌%
Liability
For
Floating
Rate
Notes
Issued
(
3.52‌)%
Other
Assets
and
Liabilities
(
3.41‌)%
TOTAL
NET
ASSETS
100.00%
Schedule
of
Investments
Origin
Emerging
Markets
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
175
INVESTMENT
COMPANIES
-
1.90%
Shares
Held
Value
(000's)
Money
Market
Funds
-
1.90%
Principal
Government
Money
Market
Fund
1.43
%
(a),(b)
24,428,635‌
$
24,429‌
TOTAL
INVESTMENT
COMPANIES
$
24,429‌
COMMON
STOCKS
-
97.44%
Shares
Held
Value
(000's)
Aerospace
&
Defense
-
0.56%
Bharat
Electronics
Ltd
6,952,400‌
7,172‌
Apparel
-
0.92%
F&F
Co
Ltd
66,100‌
5,159‌
Feng
TAY
Enterprise
Co
Ltd
1,216,700‌
6,698‌
$
11,857‌
Automobile
Parts
&
Equipment
-
1.46%
Hyundai
Mobis
Co
Ltd
58,100‌
10,155‌
Weichai
Power
Co
Ltd
4,277,400‌
8,582‌
$
18,737‌
Banks
-
6.23%
Banco
do
Brasil
SA
1,055,300‌
10,935‌
China
Merchants
Bank
Co
Ltd
6,360,700‌
30,601‌
OTP
Bank
Nyrt
171,100‌
7,510‌
Sberbank
of
Russia
PJSC
ADR
1,728,800‌
24,668‌
Thanachart
Capital
PCL
3,770,200‌
6,375‌
$
80,089‌
Building
Materials
-
4.62%
Anhui
Conch
Cement
Co
Ltd
4,671,100‌
34,983‌
China
National
Building
Material
Co
Ltd
5,409,700‌
6,429‌
China
Resources
Cement
Holdings
Ltd
8,483,200‌
10,899‌
Taiwan
Cement
Corp
5,091,641‌
7,032‌
$
59,343‌
Chemicals
-
0.54%
Soulbrain
Co
Ltd
93,900‌
6,878‌
Commercial
Services
-
4.12%
China
Yuhua
Education
Corp
Ltd
(
c)
10,535,869‌
8,276‌
Localiza
Rent
a
Car
SA
1,265,686‌
13,801‌
New
Oriental
Education
&
Technology
Group
Inc
ADR
(d)
120,300‌
15,385‌
YDUQS
Part
1,381,700‌
15,526‌
$
52,988‌
Computers
-
2.07%
Infosys
Ltd
ADR
1,085,618‌
10,932‌
Wiwynn
Corp
401,100‌
9,367‌
WNS
Holdings
Ltd
ADR
(d)
95,800‌
6,308‌
$
26,607‌
Diversified
Financial
Services
-
3.77%
B3
SA
-
Brasil
Bolsa
Balcao
1,328,600‌
13,993‌
Chailease
Holding
Co
Ltd
3,315,678‌
12,339‌
E.Sun
Financial
Holding
Co
Ltd
8,549,251‌
8,151‌
Manappuram
Finance
Ltd
2,734,900‌
6,251‌
Muthoot
Finance
Ltd
630,400‌
7,768‌
$
48,502‌
Electric
-
0.50%
Mahanagar
Gas
Ltd
454,400‌
6,369‌
Electronics
-
3.44%
Elite
Material
Co
Ltd
1,577,600‌
6,166‌
Micro-Star
International
Co
Ltd
4,736,500‌
13,864‌
Radiant
Opto-Electronics
Corp
1,922,700‌
6,091‌
Simplo
Technology
Co
Ltd
598,400‌
5,486‌
Tripod
Technology
Corp
1,573,300‌
5,647‌
Zhen
Ding
Technology
Holding
Ltd
1,847,000‌
6,948‌
$
44,202‌
Engineering
&
Construction
-
0.92%
Grupo
Aeroportuario
del
Centro
Norte
SAB
de
CV
939,300‌
6,149‌
Grupo
Aeroportuario
del
Pacifico
SAB
de
CV
526,900‌
5,702‌
$
11,851‌
Environmental
Control
-
0.78%
China
Conch
Venture
Holdings
Ltd
2,049,100‌
10,025‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Food
-
1.61%
Dino
Polska
SA
(
c),(d)
221,300‌
$
8,039‌
JBS
SA
1,509,900‌
7,563‌
X5
Retail
Group
NV
163,200‌
5,112‌
$
20,714‌
Gas
-
5.27%
China
Gas
Holdings
Ltd
2,970,600‌
11,038‌
China
Resources
Gas
Group
Ltd
4,804,200‌
24,213‌
ENN
Energy
Holdings
Ltd
2,259,400‌
25,487‌
Indraprastha
Gas
Ltd
1,130,600‌
6,963‌
$
67,701‌
Healthcare
-
Products
-
1.04%
China
Medical
System
Holdings
Ltd
5,087,900‌
6,434‌
Shandong
Weigao
Group
Medical
Polymer
Co
Ltd
5,316,200‌
6,937‌
$
13,371‌
Insurance
-
6.87%
China
Pacific
Insurance
Group
Co
Ltd
4,242,000‌
14,230‌
PICC
Property
&
Casualty
Co
Ltd
10,186,500‌
10,772‌
Ping
An
Insurance
Group
Co
of
China
Ltd
5,031,400‌
57,320‌
Porto
Seguro
SA
448,300‌
5,996‌
$
88,318‌
Internet
-
13.93%
Alibaba
Group
Holding
Ltd
ADR
(d)
440,300‌
91,582‌
JD.com
Inc
ADR
(d)
638,900‌
24,604‌
Momo
Inc
ADR
360,700‌
10,143‌
Tencent
Holdings
Ltd
687,205‌
34,845‌
Vipshop
Holdings
Ltd
ADR
(d)
1,388,800‌
17,818‌
$
178,992‌
Iron
&
Steel
-
0.42%
Kumba
Iron
Ore
Ltd
289,800‌
5,340‌
Lodging
-
0.43%
NagaCorp
Ltd
3,990,300‌
5,545‌
Mining
-
2.96%
MMC
Norilsk
Nickel
PJSC
ADR
1,040,746‌
31,555‌
Polymetal
International
PLC
421,300‌
6,476‌
$
38,031‌
Miscellaneous
Manufacturers
-
1.04%
Sunny
Optical
Technology
Group
Co
Ltd
823,400‌
13,378‌
Oil
&
Gas
-
3.53%
LUKOIL
PJSC
ADR
341,700‌
29,474‌
Novatek
PJSC
60,200‌
8,784‌
Tatneft
PJSC
ADR
119,000‌
7,156‌
$
45,414‌
Pharmaceuticals
-
2.00%
Sino
Biopharmaceutical
Ltd
12,553,000‌
18,605‌
YiChang
HEC
ChangJiang
Pharmaceutical
Co
Ltd
(
c)
1,143,400‌
7,080‌
$
25,685‌
Real
Estate
-
2.69%
China
Vanke
Co
Ltd
3,602,600‌
14,108‌
Country
Garden
Services
Holdings
Co
Ltd
1,796,500‌
7,169‌
Longfor
Group
Holdings
Ltd
(
c)
2,795,200‌
13,221‌
$
34,498‌
Retail
-
4.26%
ANTA
Sports
Products
Ltd
3,852,200‌
31,436‌
Lojas
Renner
SA
509,130‌
5,950‌
Wal-Mart
de
Mexico
SAB
de
CV
3,907,800‌
11,001‌
Zhongsheng
Group
Holdings
Ltd
1,651,200‌
6,358‌
$
54,745‌
Semiconductors
-
14.38%
Novatek
Microelectronics
Corp
2,526,000‌
15,897‌
Realtek
Semiconductor
Corp
(
d)
1,272,200‌
9,206‌
Samsung
Electronics
Co
Ltd
50,477‌
56,924‌
Samsung
Electronics
Co
Ltd
436,000‌
19,625‌
Taiwan
Semiconductor
Manufacturing
Co
Ltd
1,359,407‌
14,015‌
Schedule
of
Investments
Origin
Emerging
Markets
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
176
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Semiconductors
(continued)
Taiwan
Semiconductor
Manufacturing
Co
Ltd
ADR
1,283,917‌
$
69,126‌
$
184,793‌
Software
-
6.25%
G-bits
Network
Technology
Xiamen
Co
Ltd
117,987‌
7,137‌
HCL
Technologies
Ltd
3,769,700‌
28,037‌
NetEase
Inc
ADR
141,500‌
45,097‌
$
80,271‌
Telecommunications
-
0.83%
Accton
Technology
Corp
2,028,000‌
10,699‌
TOTAL
COMMON
STOCKS
$
1,252,115‌
PREFERRED
STOCKS
-
0.81%
Shares
Held
Value
(000's)
Airlines
-
0.40%
Azul
SA
0.00
%
(
d)
528,000‌
$
5,175‌
Banks
-
0.41%
Banco
Bradesco
SA
0.02%
763,100‌
5,208‌
TOTAL
PREFERRED
STOCKS
$
10,383‌
Total
Investments
$
1,286,927‌
Other
Assets
and
Liabilities
-  (
0.15)%
(1,926‌)
TOTAL
NET
ASSETS
-
100.00%
$
1,285,001‌
(a)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(b)
Current
yield
shown
is
as
of
period
end.
(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
$36,616
or
2.85%
of
net
assets.
(d)
Non-income
producing
security
Portfolio
Summary  (
unaudited)
Location
Percent
China
43.54‌%
Taiwan
16.08‌%
Russian
Federation
8.31‌%
Korea,
Republic
Of
7.69‌%
Brazil
6.54‌%
India
6.21‌%
Hong
Kong
5.05‌%
United
States
1.90‌%
Mexico
1.78‌%
Poland
0.62‌%
Hungary
0.58‌%
Cyprus
0.50‌%
Thailand
0.50‌%
Cambodia
0.43‌%
South
Africa
0.42‌%
Other
Assets
and
Liabilities
(
0.15‌)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
February
29,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
1.43%
$
40,635‌
$
363,111‌
$
379,317‌
$
24,429‌
$
40,635‌
$
363,111‌
$
379,317‌
$
24,429‌
Income
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/Loss
Principal
Government
Money
Market
Fund
1.43%
$
185‌
$
—‌
$
—‌
$
—‌
$
185‌
$
—‌
$
—‌
$
—‌
Amounts
in
thousands.
Schedule
of
Investments
Small-MidCap
Dividend
Income
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
177
INVESTMENT
COMPANIES
-
2.41%
Shares
Held
Value
(000's)
Money
Market
Funds
-
2.41%
BlackRock
Liquidity
FedFund
1.48
%
(a),(b)
14,377,095‌
$
14,377‌
Principal
Government
Money
Market
Fund
1.43
%
(a),(b),(c)
33,610,196‌
33,610‌
$
47,987‌
TOTAL
INVESTMENT
COMPANIES
$
47,987‌
COMMON
STOCKS
-
99.06%
Shares
Held
Value
(000's)
Advertising
-
0.50%
Interpublic
Group
of
Cos
Inc/The
468,985‌
10,017‌
Agriculture
-
1.09%
Phibro
Animal
Health
Corp
858,335‌
21,673‌
Airlines
-
2.49%
Alaska
Air
Group
Inc
657,510‌
33,178‌
Hawaiian
Holdings
Inc
787,708‌
16,447‌
$
49,625‌
Automobile
Manufacturers
-
2.14%
NFI
Group
Inc
1,937,743‌
42,501‌
Automobile
Parts
&
Equipment
-
3.83%
Autoliv
Inc
641,099‌
42,781‌
Linamar
Corp
1,215,493‌
33,433‌
$
76,214‌
Banks
-
12.77%
Bank
OZK
1,839,460‌
46,704‌
BOK
Financial
Corp
112,028‌
8,111‌
Cathay
General
Bancorp
1,103,638‌
33,970‌
Cullen/Frost
Bankers
Inc
353,078‌
27,678‌
East
West
Bancorp
Inc
1,130,911‌
43,811‌
PacWest
Bancorp
1,563,596‌
49,472‌
Preferred
Bank/Los
Angeles
CA
217,687‌
11,130‌
ServisFirst
Bancshares
Inc
353,508‌
12,214‌
Washington
Trust
Bancorp
Inc
486,335‌
20,874‌
$
253,964‌
Chemicals
-
1.91%
HB
Fuller
Co
436,670‌
17,131‌
RPM
International
Inc
325,256‌
20,852‌
$
37,983‌
Computers
-
3.17%
Amdocs
Ltd
358,051‌
22,826‌
Leidos
Holdings
Inc
391,925‌
40,231‌
$
63,057‌
Consumer
Products
-
1.44%
Avery
Dennison
Corp
250,661‌
28,698‌
Cosmetics
&
Personal
Care
-
0.26%
Inter
Parfums
Inc
85,375‌
5,128‌
Diversified
Financial
Services
-
2.40%
BGC
Partners
Inc
7,671,225‌
35,748‌
Federal
Agricultural
Mortgage
Corp
158,776‌
11,918‌
$
47,666‌
Electric
-
3.96%
ALLETE
Inc
442,906‌
30,556‌
Alliant
Energy
Corp
221,667‌
11,553‌
IDACORP
Inc
75,642‌
7,310‌
PNM
Resources
Inc
210,567‌
9,913‌
Portland
General
Electric
Co
203,668‌
11,082‌
Unitil
Corp
147,613‌
8,317‌
$
78,731‌
Electrical
Components
&
Equipment
-
3.47%
Energizer
Holdings
Inc
614,026‌
26,397‌
Littelfuse
Inc
266,745‌
42,594‌
$
68,991‌
Electronics
-
2.24%
Hubbell
Inc
121,622‌
16,205‌
nVent
Electric
PLC
1,183,436‌
28,414‌
$
44,619‌
Food
-
1.80%
Ingredion
Inc
429,063‌
35,741‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Gas
-
1.10%
ONE
Gas
Inc
85,123‌
$
6,992‌
Spire
Inc
199,743‌
14,991‌
$
21,983‌
Hand
&
Machine
Tools
-
4.13%
Lincoln
Electric
Holdings
Inc
289,574‌
23,713‌
MSA
Safety
Inc
254,896‌
31,013‌
Snap-on
Inc
189,987‌
27,501‌
$
82,227‌
Healthcare
-
Products
-
4.75%
Cantel
Medical
Corp
180,546‌
11,392‌
CONMED
Corp
303,267‌
28,701‌
LeMaitre
Vascular
Inc
(
d)
193,691‌
5,520‌
STERIS
PLC
214,096‌
33,960‌
Teleflex
Inc
44,394‌
14,873‌
$
94,446‌
Home
Builders
-
1.58%
LCI
Industries
324,802‌
31,360‌
Insurance
-
6.49%
Assured
Guaranty
Ltd
899,339‌
36,702‌
Beazley
PLC
2,616,182‌
18,136‌
Fidelity
National
Financial
Inc
997,325‌
38,656‌
James
River
Group
Holdings
Ltd
878,987‌
35,520‌
$
129,014‌
Leisure
Products
&
Services
-
2.72%
Acushnet
Holdings
Corp
1,324,150‌
33,700‌
Brunswick
Corp/DE
382,544‌
20,351‌
$
54,051‌
Machinery
-
Diversified
-
3.19%
Albany
International
Corp
312,945‌
20,051‌
Crane
Co
420,515‌
28,574‌
Nordson
Corp
102,122‌
14,838‌
$
63,463‌
Media
-
0.98%
John
Wiley
&
Sons
Inc
523,499‌
19,469‌
Miscellaneous
Manufacturers
-
2.66%
Donaldson
Co
Inc
157,714‌
7,110‌
EnPro
Industries
Inc
182,650‌
9,854‌
Huntsman
Corp
1,902,859‌
36,040‌
$
53,004‌
Oil
&
Gas
-
3.06%
Cimarex
Energy
Co
464,429‌
15,349‌
Delek
US
Holdings
Inc
1,183,611‌
25,306‌
Vermilion
Energy
Inc
(
d)
2,021,720‌
20,274‌
$
60,929‌
Packaging
&
Containers
-
1.19%
Packaging
Corp
of
America
261,726‌
23,717‌
Pipelines
-
1.39%
Targa
Resources
Corp
852,420‌
27,618‌
Real
Estate
-
1.49%
Newmark
Group
Inc
3,096,240‌
29,569‌
REITs
-
13.33%
Agree
Realty
Corp
252,857‌
18,160‌
CyrusOne
Inc
879,413‌
53,275‌
EastGroup
Properties
Inc
154,620‌
19,440‌
EPR
Properties
589,168‌
34,902‌
Four
Corners
Property
Trust
Inc
613,267‌
17,595‌
Granite
Real
Estate
Investment
Trust
337,404‌
17,181‌
Medical
Properties
Trust
Inc
1,458,888‌
30,826‌
National
Health
Investors
Inc
250,084‌
20,439‌
National
Retail
Properties
Inc
403,313‌
20,509‌
STORE
Capital
Corp
1,002,233‌
32,934‌
$
265,261‌
Semiconductors
-
4.90%
Kulicke
&
Soffa
Industries
Inc
1,516,979‌
34,632‌
MKS
Instruments
Inc
563,427‌
56,450‌
Monolithic
Power
Systems
Inc
40,095‌
6,361‌
$
97,443‌
Schedule
of
Investments
Small-MidCap
Dividend
Income
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
178
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Software
-
0.18%
Broadridge
Financial
Solutions
Inc
33,688‌
$
3,516‌
Supranational
Bank
-
1.12%
Banco
Latinoamericano
de
Comercio
Exterior
SA
1,248,442‌
22,322‌
Toys,
Games
&
Hobbies
-
1.33%
Hasbro
Inc
343,144‌
26,508‌
TOTAL
COMMON
STOCKS
$
1,970,508‌
Total
Investments
$
2,018,495‌
Other
Assets
and
Liabilities
-  (
1.47)%
(29,148‌)
TOTAL
NET
ASSETS
-
100.00%
$
1,989,347‌
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$27,567
or
1.39%
of
net
assets.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
Portfolio
Summary  (
unaudited)
Sector
Percent
Financial
36.48‌%
Industrial
16.88‌%
Consumer,
Cyclical
14.09‌%
Consumer,
Non-cyclical
9.34‌%
Technology
8.25‌%
Utilities
5.06‌%
Energy
4.45‌%
Money
Market
Funds
2.41‌%
Basic
Materials
1.91‌%
Communications
1.48‌%
Government
1.12‌%
Other
Assets
and
Liabilities
(
1.47‌)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
February
29,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
1.43%
$
43,288‌
$
372,950‌
$
382,628‌
$
33,610‌
$
43,288‌
$
372,950‌
$
382,628‌
$
33,610‌
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/Loss
Principal
Government
Money
Market
Fund
1.43%
$
251‌
$
—‌
$
—‌
$
—‌
$
251‌
$
—‌
$
—‌
$
—‌
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Schedule
of
Investments
Small-MidCap
Growth
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
179
INVESTMENT
COMPANIES
-
4.99%
Shares
Held
Value
(000's)
Money
Market
Funds
-
4.99%
BlackRock
Liquidity
FedFund
1.48
%
(a),(b)
64,412‌
$
64‌
Principal
Government
Money
Market
Fund
1.43
%
(a),(c)
190,861‌
191‌
$
255‌
TOTAL
INVESTMENT
COMPANIES
$
255‌
COMMON
STOCKS
-
97.24%
Shares
Held
Value
(000's)
Aerospace
&
Defense
-
0.49%
AAR
Corp
727‌
25‌
Apparel
-
1.74%
Crocs
Inc
(
d)
3,415‌
89‌
Banks
-
3.98%
Pinnacle
Financial
Partners
Inc
1,630‌
86‌
SVB
Financial
Group
(
d)
562‌
117‌
$
203‌
Beverages
-
0.51%
Boston
Beer
Co
Inc/
The
(
d)
70‌
26‌
Biotechnology
-
2.76%
ACADIA
Pharmaceuticals
Inc
(
d)
456‌
19‌
Arrowhead
Pharmaceuticals
Inc
(
d)
627‌
22‌
CRISPR
Therapeutics
AG
(
d)
549‌
29‌
Exact
Sciences
Corp
(
d)
624‌
51‌
Mirati
Therapeutics
Inc
(
d)
220‌
20‌
$
141‌
Building
Materials
-
2.68%
Masco
Corp
1,805‌
74‌
Owens
Corning
1,110‌
63‌
$
137‌
Commercial
Services
-
5.31%
Chegg
Inc
(
d)
1,055‌
41‌
CoStar
Group
Inc
(
d)
56‌
37‌
FTI
Consulting
Inc
(
d)
538‌
61‌
Huron
Consulting
Group
Inc
(
d)
412‌
25‌
TransUnion
1,202‌
107‌
$
271‌
Computers
-
2.13%
Crowdstrike
Holdings
Inc
(
d)
1,044‌
62‌
Rapid7
Inc
(
d)
1,004‌
47‌
$
109‌
Diversified
Financial
Services
-
1.27%
Hamilton
Lane
Inc
1,050‌
65‌
Electrical
Components
&
Equipment
-
0.51%
Generac
Holdings
Inc
(
d)
250‌
26‌
Electronics
-
0.76%
Keysight
Technologies
Inc
(
d)
406‌
39‌
Energy
-
Alternate
Sources
-
1.23%
SolarEdge
Technologies
Inc
(
d)
502‌
63‌
Environmental
Control
-
2.33%
Clean
Harbors
Inc
(
d)
990‌
69‌
Tetra
Tech
Inc
623‌
50‌
$
119‌
Food
-
0.47%
Performance
Food
Group
Co
(
d)
563‌
24‌
Healthcare
-
Products
-
13.08%
CONMED
Corp
516‌
49‌
Haemonetics
Corp
(
d)
399‌
43‌
Inspire
Medical
Systems
Inc
(
d)
1,953‌
168‌
Insulet
Corp
(
d)
554‌
105‌
NanoString
Technologies
Inc
(
d)
480‌
17‌
Natera
Inc
(
d)
2,271‌
86‌
Penumbra
Inc
(
d)
363‌
60‌
Tandem
Diabetes
Care
Inc
(
d)
1,869‌
140‌
$
668‌
Healthcare
-
Services
-
2.47%
Amedisys
Inc
(
d)
418‌
73‌
LHC
Group
Inc
(
d)
440‌
53‌
$
126‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Internet
-
7.68%
Anaplan
Inc
(
d)
609‌
$
27‌
Chewy
Inc
(
d)
3,743‌
111‌
NIC
Inc
1,838‌
34‌
Okta
Inc
(
d)
263‌
34‌
Q2
Holdings
Inc
(
d)
1,440‌
108‌
Zendesk
Inc
(
d)
981‌
78‌
$
392‌
Leisure
Products
&
Services
-
0.86%
YETI
Holdings
Inc
(
d)
1,448‌
44‌
Machinery
-
Diversified
-
1.35%
Nordson
Corp
475‌
69‌
Office
&
Business
Equipment
-
1.14%
Zebra
Technologies
Corp
(
d)
275‌
58‌
Packaging
&
Containers
-
0.96%
Crown
Holdings
Inc
(
d)
695‌
49‌
Pharmaceuticals
-
7.48%
DexCom
Inc
(
d)
891‌
246‌
Horizon
Therapeutics
Plc
(
d)
2,838‌
97‌
Reata
Pharmaceuticals
Inc
(
d),(e)
201‌
39‌
$
382‌
Retail
-
9.12%
Burlington
Stores
Inc
(
d)
610‌
132‌
CarMax
Inc
(
d)
864‌
75‌
Floor
&
Decor
Holdings
Inc
(
d)
1,862‌
95‌
Freshpet
Inc
(
d)
610‌
41‌
Lululemon
Athletica
Inc
(
d)
155‌
34‌
National
Vision
Holdings
Inc
(
d)
412‌
14‌
Papa
John's
International
Inc
1,308‌
75‌
$
466‌
Semiconductors
-
5.31%
Ambarella
Inc
(
d)
508‌
30‌
Inphi
Corp
(
d)
1,180‌
88‌
Lattice
Semiconductor
Corp
(
d)
3,594‌
65‌
MKS
Instruments
Inc
477‌
48‌
Teradyne
Inc
686‌
40‌
$
271‌
Software
-
17.53%
Coupa
Software
Inc
(
d)
236‌
35‌
DocuSign
Inc
(
d)
489‌
42‌
Everbridge
Inc
(
d)
1,155‌
122‌
Five9
Inc
(
d)
1,609‌
117‌
Manhattan
Associates
Inc
(
d)
390‌
26‌
Nuance
Communications
Inc
(
d)
5,589‌
121‌
Paycom
Software
Inc
(
d)
108‌
31‌
RingCentral
Inc
(
d)
1,046‌
247‌
Sea
Ltd
ADR
(d)
1,321‌
60‌
Tyler
Technologies
Inc
(
d)
299‌
94‌
$
895‌
Telecommunications
-
1.33%
Viavi
Solutions
Inc
(
d)
5,181‌
68‌
Transportation
-
2.76%
CryoPort
Inc
(
d),(e)
1,586‌
26‌
Kansas
City
Southern
760‌
115‌
$
141‌
TOTAL
COMMON
STOCKS
$
4,966‌
Total
Investments
$
5,221‌
Other
Assets
and
Liabilities
-  (
2.23)%
(114‌)
TOTAL
NET
ASSETS
-
100.00%
$
5,107‌
Schedule
of
Investments
Small-MidCap
Growth
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
180
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$64
or
1.25%
of
net
assets.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Non-income
producing
security
(e)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
Portfolio
Summary  (
unaudited)
Sector
Percent
Consumer,
Non-cyclical
32.08‌%
Technology
26.11‌%
Industrial
11.84‌%
Consumer,
Cyclical
11.72‌%
Communications
9.01‌%
Financial
5.25‌%
Money
Market
Funds
4.99‌%
Energy
1.23‌%
Other
Assets
and
Liabilities
(
2.23‌)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
February
29,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
1.43%
$
53‌
$
1,396‌
$
1,258‌
$
191‌
$
53‌
$
1,396‌
$
1,258‌
$
191‌
Income
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/Loss
Principal
Government
Money
Market
Fund
1.43%
$
1‌
$
—‌
$
—‌
$
—‌
$
1‌
$
—‌
$
—‌
$
—‌
Amounts
in
thousands.
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
181
INVESTMENT
COMPANIES
-
2.19%
Shares
Held
Value
(000's)
Money
Market
Funds
-
2.19%
BlackRock
Liquidity
FedFund
1.48
%
(a),(b)
12,860,015‌
$
12,860‌
Principal
Government
Money
Market
Fund
1.43
%
(a),(b),(c)
128,472,391‌
128,472‌
$
141,332‌
TOTAL
INVESTMENT
COMPANIES
$
141,332‌
CONVERTIBLE
PREFERRED
STOCKS
-
0.63%
Shares
Held
Value
(000's)
Banks
-
0.63%
Wells
Fargo
&
Co
7.50
%
(
d)
27,052‌
$
40,713‌
TOTAL
CONVERTIBLE
PREFERRED
STOCKS
$
40,713‌
PREFERRED
STOCKS
-
16.47%
Shares
Held
Value
(000's)
Banks
-
4.37%
AgriBank
FCB
6.88%,
01/01/2024
(d)
61,700‌
6,664‌
3
Month
USD
LIBOR
+
4.23%
Associated
Banc-Corp
5.88%,
12/15/2023
(d
),(
e)
2,429‌
61‌
Bank
of
New
York
Mellon
Corp/The
5.20%,
06/20/2020
(d)
127,083‌
3,171‌
Citigroup
Inc
6.88%,
11/15/2023
(d
),(
e)
493,542‌
13,252‌
3
Month
USD
LIBOR
+
4.13%
Citizens
Financial
Group
Inc
6.35%,
04/06/2024
(d)
17,021‌
458‌
3
Month
USD
LIBOR
+
3.64%
Cullen/Frost
Bankers
Inc
5.38%,
03/16/2020
(d)
239,700‌
5,985‌
Goldman
Sachs
Group
Inc/The
5.50%,
05/10/2023
(d
),(
e)
774,944‌
19,823‌
3
Month
USD
LIBOR
+
3.64%
Huntington
Bancshares
Inc/OH
5.88%,
10/15/2021
(d)
325,787‌
8,324‌
Huntington
Bancshares
Inc/OH
6.25%,
04/15/2021
(d
),(
e)
1,050,000‌
27,027‌
JPMorgan
Chase
&
Co
4.75%,
12/01/2024
(d
),(
e)
280,000‌
7,048‌
KeyCorp
6.13%,
12/15/2026
(d
),(
e)
778,000‌
20,780‌
3
Month
USD
LIBOR
+
3.89%
Morgan
Stanley
4.88%,
01/15/2025
(d)
7,302‌
182‌
Morgan
Stanley
5.85%,
04/15/2027
(d
),(
e)
660,872‌
17,553‌
3
Month
USD
LIBOR
+
3.49%
Morgan
Stanley
7.13%,
10/15/2023
(d
),(
e)
126,282‌
3,505‌
3
Month
USD
LIBOR
+
4.32%
PNC
Financial
Services
Group
Inc/The
6.13%,
05/01/2022
(d
),(
e)
1,726,752‌
45,914‌
3
Month
USD
LIBOR
+
4.07%
Regions
Financial
Corp
5.70%,
05/15/2029
(d
),(
e)
331,650‌
9,094‌
3
Month
USD
LIBOR
+
3.15%
State
Street
Corp
5.25%,
03/16/2020
(d)
1,379,698‌
34,465‌
State
Street
Corp
5.90%,
03/15/2024
(d)
241,300‌
6,276‌
3
Month
USD
LIBOR
+
3.11%
Synovus
Financial
Corp
5.88%,
07/01/2024
(d)
344,000‌
8,934‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.13%
Truist
Financial
Corp
5.63%,
06/01/2021
(d)
141,800‌
3,592‌
US
Bancorp
6.50%,
01/15/2022
(d)
239,945‌
6,370‌
3
Month
USD
LIBOR
+
4.47%
Valley
National
Bancorp
6.25%,
06/30/2025
(d)
174,760‌
4,540‌
3
Month
USD
LIBOR
+
3.85%
Webster
Financial
Corp
5.25%,
12/15/2022
(d)
194,856‌
4,883‌
Wells
Fargo
&
Co
4.75%,
03/15/2025
(d)
380,978‌
9,330‌
Wells
Fargo
&
Co
5.63%,
06/15/2022
(d)
195,171‌
4,967‌
Wells
Fargo
&
Co
5.85%,
09/15/2023
(d)
125,027‌
3,212‌
3
Month
USD
LIBOR
+
3.09%
Wells
Fargo
&
Co
6.63%,
03/15/2024
(d
),(
e)
236,676‌
6,492‌
3
Month
USD
LIBOR
+
3.69%
$
281,902‌
Diversified
Financial
Services
-
0.47%
Affiliated
Managers
Group
Inc
5.88%,
03/30/2059
149,111‌
3,856‌
Capital
One
Financial
Corp
0.00%,
06/01/2025
(d
),(
f)
165,000‌
4,008‌
Capital
One
Financial
Corp
5.00%,
12/01/2024
(d
),(
e)
359,800‌
8,872‌
PREFERRED
STOCKS
(continued)
Shares
Held
Value
(000’s)
Diversified
Financial
Services
(continued)
Capital
One
Financial
Corp
6.00%,
03/02/2020
(d)
401,389‌
$
10,039‌
Charles
Schwab
Corp/The
6.00%,
12/01/2020
(d
),(
e)
142,663‌
3,638‌
$
30,413‌
Electric
-
2.81%
Alabama
Power
Co
5.00%,
10/01/2022
(d
),(
e)
572,000‌
14,546‌
Algonquin
Power
&
Utilities
Corp
6.20%,
07/01/2079
(e)
490,152‌
13,087‌
3
Month
USD
LIBOR
+
4.01%
Algonquin
Power
&
Utilities
Corp
6.88%,
10/17/2078
(e)
1,930‌
51‌
3
Month
USD
LIBOR
+
3.68%
CMS
Energy
Corp
5.88%,
03/01/2079
248,000‌
6,485‌
Dominion
Energy
Inc
5.25%,
07/30/2076
890,572‌
22,264‌
DTE
Energy
Co
5.25%,
12/01/2062
312,400‌
7,732‌
DTE
Energy
Co
5.25%,
12/01/2077
320,602‌
8,047‌
DTE
Energy
Co
5.38%,
06/01/2076
13,111‌
328‌
Duke
Energy
Corp
5.13%,
01/15/2073
(e)
348,923‌
8,751‌
Duke
Energy
Corp
5.75%,
06/15/2024
(d)
120,000‌
3,221‌
Entergy
Arkansas
LLC
4.90%,
12/01/2052
(e)
221,195‌
5,607‌
Entergy
Louisiana
LLC
4.70%,
06/01/2063
(e)
162,785‌
4,097‌
Entergy
Louisiana
LLC
4.88%,
09/01/2066
(e)
24,691‌
616‌
Entergy
Louisiana
LLC
5.25%,
07/01/2052
215,809‌
5,378‌
Entergy
Texas
Inc
5.38%,
10/15/2024
(d)
30,000‌
795‌
Entergy
Texas
Inc
5.63%,
06/01/2064
2,414‌
61‌
Georgia
Power
Co
5.00%,
10/01/2077
265,538‌
6,636‌
Integrys
Holding
Inc
6.00%,
08/01/2073
81,343‌
2,217‌
3
Month
USD
LIBOR
+
3.22%
Interstate
Power
&
Light
Co
5.10%,
04/01/2020
(d
),(
e)
493,973‌
12,399‌
National
Rural
Utilities
Cooperative
Finance
Corp
5.50%,
05/15/2064
(e)
227,600‌
5,965‌
NextEra
Energy
Capital
Holdings
Inc
5.00%,
01/15/2073
477,663‌
11,846‌
NextEra
Energy
Capital
Holdings
Inc
5.13%,
11/15/2072
(e)
659,974‌
16,268‌
NextEra
Energy
Capital
Holdings
Inc
5.65%,
03/01/2079
100,000‌
2,618‌
Southern
Co/The
0.00%,
01/30/2080
(f)
240,000‌
5,926‌
Southern
Co/The
5.25%,
12/01/2077
555,000‌
13,942‌
Southern
Co/The
5.25%,
10/01/2076
100,961‌
2,529‌
$
181,412‌
Food
-
0.37%
Dairy
Farmers
of
America
Inc
7.88%,
04/01/2020
(d
),(
g)
16,000‌
1,536‌
Dairy
Farmers
of
America
Inc
7.88%,
12/01/2025
(d
),(
g)
236,300‌
22,685‌
$
24,221‌
Gas
-
0.02%
Entergy
New
Orleans
LLC
5.00%,
12/01/2052
3,299‌
82‌
Entergy
New
Orleans
LLC
5.50%,
04/01/2066
46,851‌
1,180‌
$
1,262‌
Insurance
-
2.13%
Allstate
Corp/The
4.75%,
01/15/2025
(d
),(
e)
170,000‌
4,298‌
Allstate
Corp/The
5.10%,
01/15/2053
(e)
540,300‌
14,075‌
3
Month
USD
LIBOR
+
3.17%
American
Financial
Group
Inc/OH
5.88%,
03/30/2059
(e)
101,300‌
2,692‌
Arch
Capital
Group
Ltd
5.25%,
09/29/2021
(d)
287,313‌
7,186‌
Arch
Capital
Group
Ltd
5.45%,
08/17/2022
(d
),(
e)
54,104‌
1,365‌
Axis
Capital
Holdings
Ltd
5.50%,
11/07/2021
(d
),(
e)
21,417‌
536‌
Equitable
Holdings
Inc
5.25%,
12/15/2024
(d)
475,000‌
11,875‌
Hartford
Financial
Services
Group
Inc/The
7.88%,
04/15/2042
1,048,434‌
28,696‌
3
Month
USD
LIBOR
+
5.60%
MetLife
Inc
0.00%,
03/15/2025
(d
),(
f)
30,000‌
737‌
Prudential
PLC
6.75%,
04/01/2020
(d
),(
e)
18,931‌
492‌
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
182
PREFERRED
STOCKS
(continued)
Shares
Held
Value
(000’s)
Insurance
(continued)
Reinsurance
Group
of
America
Inc
6.20%,
09/15/2042
581,128‌
$
15,504‌
3
Month
USD
LIBOR
+
4.37%
RenaissanceRe
Holdings
Ltd
5.38%,
04/01/2020
(d)
550,975‌
13,719‌
RenaissanceRe
Holdings
Ltd
5.75%,
06/30/2023
(d
),(
e)
31,987‌
838‌
RenaissanceRe
Holdings
Ltd
6.08%,
03/26/2020
(d
),(
e)
137,591‌
3,467‌
Voya
Financial
Inc
5.35%,
09/15/2029
(d
),(
e)
76,389‌
1,990‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.21%
WR
Berkley
Corp
5.63%,
04/30/2053
1,129,478‌
28,000‌
WR
Berkley
Corp
5.70%,
03/30/2058
(e)
3,100‌
80‌
WR
Berkley
Corp
5.75%,
06/01/2056
(e)
65,882‌
1,675‌
$
137,225‌
REITs
-
1.66%
Boston
Properties
Inc
5.25%,
04/01/2020
(d
),(
e)
6,208‌
157‌
Digital
Realty
Trust
Inc
5.20%,
10/10/2024
(d)
600‌
15‌
Digital
Realty
Trust
Inc
5.85%,
03/13/2024
(d)
4,771‌
127‌
Digital
Realty
Trust
Inc
5.88%,
04/01/2020
(d
),(
e)
91,183‌
2,312‌
Digital
Realty
Trust
Inc
6.35%,
08/24/2020
(d
),(
e)
205,498‌
5,302‌
Diversified
Healthcare
Trust
5.63%,
08/01/2042
110,082‌
2,512‌
Diversified
Healthcare
Trust
6.25%,
02/01/2046
(e)
139,198‌
3,285‌
Federal
Realty
Investment
Trust
5.00%,
09/29/2022
(d
),(
e)
50,149‌
1,254‌
Kimco
Realty
Corp
5.25%,
12/20/2022
(d)
399,847‌
10,208‌
National
Retail
Properties
Inc
5.20%,
10/11/2021
(d
),(
e)
121,247‌
3,043‌
Prologis
Inc
8.54%,
11/13/2026
(d)
167,700‌
11,907‌
PS
Business
Parks
Inc
4.88%,
11/04/2024
(d)
3,957‌
97‌
PS
Business
Parks
Inc
5.20%,
12/07/2022
(d)
3,332‌
84‌
PS
Business
Parks
Inc
5.25%,
09/21/2022
(d
),(
e)
57,755‌
1,461‌
Public
Storage
4.70%,
11/15/2024
(d
),(
e)
218‌
6‌
Public
Storage
4.75%,
12/20/2024
(d
),(
e)
186,600‌
4,740‌
Public
Storage
4.90%,
10/14/2021
(d
),(
e)
6,561‌
163‌
Public
Storage
4.95%,
07/20/2021
(d)
122‌
3‌
Public
Storage
5.05%,
08/09/2022
(d
),(
e)
177,565‌
4,482‌
Public
Storage
5.15%,
06/02/2022
(d
),(
e)
2,000‌
51‌
Public
Storage
5.20%,
04/01/2020
(d)
66,743‌
1,685‌
Public
Storage
5.38%,
04/01/2020
(d)
3,000‌
75‌
Public
Storage
5.60%,
03/11/2024
(d)
314,806‌
8,509‌
SITE
Centers
Corp
6.25%,
04/01/2020
(d
),(
e)
10,783‌
263‌
SITE
Centers
Corp
6.38%,
06/05/2022
(d)
444,345‌
11,704‌
Vornado
Realty
Trust
5.25%,
12/13/2022
(d)
383,022‌
9,675‌
Vornado
Realty
Trust
5.40%,
04/01/2020
(d)
188,066‌
4,702‌
Vornado
Realty
Trust
5.70%,
04/01/2020
(d
),(
e)
759,462‌
19,108‌
$
106,930‌
Savings
&
Loans
-
0.06%
New
York
Community
Bancorp
Inc
6.38%,
03/17/2027
(d
),(
e)
14,862‌
396‌
3
Month
USD
LIBOR
+
3.82%
People's
United
Financial
Inc
5.63%,
12/15/2026
(d)
94,067‌
2,501‌
3
Month
USD
LIBOR
+
4.02%
Sterling
Bancorp/DE
6.50%,
10/15/2022
(d
),(
e)
43,097‌
1,135‌
$
4,032‌
Sovereign
-
1.10%
CoBank
ACB
6.13%,
07/01/2020
(d)
8,000‌
830‌
CoBank
ACB
6.20%,
01/01/2025
(d)
65,000‌
7,008‌
3
Month
USD
LIBOR
+
3.74%
CoBank
ACB
6.25%,
10/01/2022
(d)
296,500‌
31,577‌
3
Month
USD
LIBOR
+
4.56%
Farm
Credit
Bank
of
Texas
6.75%,
09/15/2023
(d
),(
g)
270,500‌
28,944‌
3
Month
USD
LIBOR
+
4.01%
PREFERRED
STOCKS
(continued)
Shares
Held
Value
(000’s)
Sovereign
(continued)
Farm
Credit
Bank
of
Texas
10.00%,
06/15/2020
(d)
2,350‌
$
2,397‌
$
70,756‌
Telecommunications
-
3.48%
AT&T
Inc
0.00%,
02/18/2025
(d
),(
f)
2,880,000‌
70,243‌
AT&T
Inc
5.00%,
12/12/2024
(d
),(
e)
55,000‌
1,368‌
Centaur
Funding
Corp
0.00%,
04/21/2020
(f
),(
g)
26,500‌
26,301‌
Centaur
Funding
Corp
9.08%,
04/21/2020
(c
),(
g)
96,166‌
96,166‌
Telephone
&
Data
Systems
Inc
6.63%,
03/31/2045
103,789‌
2,652‌
Telephone
&
Data
Systems
Inc
7.00%,
03/15/2060
(e)
1,069,198‌
26,516‌
United
States
Cellular
Corp
6.95%,
05/15/2060
(e)
50,354‌
1,268‌
$
224,514‌
TOTAL
PREFERRED
STOCKS
$
1,062,667‌
BONDS
-
81.17%
Principal
Amount
(000's)
Value
(000's)
Automobile
Manufacturers
-
0.19%
General
Motors
Financial
Co
Inc
5.75
%,
12
/31/2049
(d),(h)
$
12,700‌
$
12,446‌
3
Month
USD
LIBOR
+
3.60%
Banks
-
47.71%
Australia
&
New
Zealand
Banking
Group
Ltd/
United
Kingdom
6.75
%,
12
/31/2049
(d),(g),(h)
5,000‌
5,637‌
USD
Swap
Rate
NY
5
Year
+
5.17%
6.75
%,
12
/31/2049
(d),(h)
2,700‌
3,044‌
USD
Swap
Rate
NY
5
Year
+
5.17%
Banco
Bilbao
Vizcaya
Argentaria
SA
6.50
%,
12
/31/2049
(d),(h)
27,600‌
28,735‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.19%
Banco
Santander
SA
7.50
%,
12
/31/2049
(d),(h)
22,400‌
24,022‌
USD
Swap
Semi-Annual
5
Year
+
4.99%
Bank
of
America
Corp
6.10
%,
12
/31/2049
(d),(h)
5,000‌
5,543‌
3
Month
USD
LIBOR
+
3.90%
6.25
%,
12
/31/2049
(d),(h)
30,599‌
33,615‌
3
Month
USD
LIBOR
+
3.71%
6.30
%,
12
/31/2049
(d),(h)
46,830‌
52,840‌
3
Month
USD
LIBOR
+
4.55%
6.50
%,
12
/31/2049
(d),(h)
97,785‌
107,922‌
3
Month
USD
LIBOR
+
4.17%
8.05
%,
06
/15/2027
6,312‌
8,502‌
Bank
of
New
York
Mellon
Corp/The
4.62
%,
12
/31/2099
(d),(h)
33,927‌
35,369‌
3
Month
USD
LIBOR
+
3.13%
4.95
%,
12
/31/2049
(d),(h)
78,000‌
78,195‌
3
Month
USD
LIBOR
+
3.42%
Barclays
Bank
PLC
6.86
%,
12
/31/2049
(d),(h)
517‌
644‌
6
Month
USD
LIBOR
+
1.73%
7.63
%,
11
/21/2022
8,000‌
8,915‌
Barclays
PLC
7.75
%,
12
/31/2049
(d),(h)
47,300‌
50,729‌
USD
Swap
Semi-Annual
5
Year
+
4.84%
7.88
%,
12
/31/2049
(d),(h)
30,065‌
31,734‌
USD
Swap
Semi-Annual
5
Year
+
6.77%
8.00
%,
12
/31/2049
(d),(h)
67,803‌
74,499‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.67%
BNP
Paribas
SA
6.63
%,
12
/31/2049
(d),(g),(h)
39,300‌
42,149‌
USD
Swap
Semi-Annual
5
Year
+
4.15%
6.63
%,
12
/31/2049
(d),(h)
8,700‌
9,331‌
USD
Swap
Rate
NY
5
Year
+
4.15%
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
183
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
BNP
Paribas
SA  
(continued)
7.00
%,
12
/31/2049
(d),(g),(h)
$
2,500‌
$
2,873‌
USD
Swap
Semi-Annual
5
Year
+
3.98%
7.19
%,
12
/31/2049
(d),(h)
800‌
888‌
3
Month
USD
LIBOR
+
1.29%
7.20
%,
12
/31/2049
(d),(g),(h)
5,800‌
6,438‌
3
Month
USD
LIBOR
+
1.29%
7.37
%,
12
/31/2049
(d),(g),(h)
100‌
113‌
USD
Swap
Semi-Annual
5
Year
+
5.15%
7.37
%,
12
/31/2049
(d),(h)
13,000‌
14,723‌
USD
Swap
Semi-Annual
5
Year
+
5.15%
7.63
%,
12
/31/2049
(d),(g),(h)
58,198‌
60,308‌
USD
Swap
Semi-Annual
5
Year
+
6.31%
7.63
%,
12
/31/2049
(d),(h)
27,100‌
28,082‌
USD
Swap
Semi-Annual
5
Year
+
6.31%
Citigroup
Capital
III
7.63
%,
12
/01/2036
2,700‌
4,007‌
Citigroup
Inc
5.90
%,
12
/31/2049
(d),(h)
6,133‌
6,348‌
3
Month
USD
LIBOR
+
4.23%
5.95
%,
12
/31/2049
(d),(h)
24,100‌
25,017‌
3
Month
USD
LIBOR
+
4.07%
5.95
%,
12
/31/2049
(d),(h)
14,770‌
15,915‌
3
Month
USD
LIBOR
+
3.91%
5.95
%,
12
/31/2049
(d),(h)
9,000‌
9,131‌
3
Month
USD
LIBOR
+
4.10%
6.13
%,
12
/31/2049
(d),(h)
47,300‌
47,525‌
3
Month
USD
LIBOR
+
4.48%
6.25
%,
12
/31/2049
(d),(h)
86,582‌
97,864‌
3
Month
USD
LIBOR
+
4.52%
Citizens
Financial
Group
Inc
5.50
%,
12
/31/2049
(d),(h)
7,500‌
7,462‌
3
Month
USD
LIBOR
+
3.96%
6.00
%,
12
/31/2049
(d),(h)
7,000‌
7,105‌
3
Month
USD
LIBOR
+
3.00%
6.38
%,
12
/31/2049
(d),(e),(h)
1,400‌
1,500‌
3
Month
USD
LIBOR
+
3.16%
Corestates
Capital
III
2.26
%,
02
/15/2027
(g)
18,621‌
17,690‌
3
Month
USD
LIBOR
+
0.57%
Credit
Agricole
SA
7.88
%,
12
/31/2049
(d),(g),(h)
29,540‌
32,716‌
USD
Swap
Semi-Annual
5
Year
+
4.90%
7.88
%,
12
/31/2049
(d),(h)
6,500‌
7,199‌
USD
Swap
Semi-Annual
5
Year
+
4.90%
8.13
%,
12
/31/2049
(d),(g),(h)
31,068‌
36,677‌
USD
Swap
Semi-Annual
5
Year
+
6.19%
Credit
Suisse
AG
6.50
%,
08
/08/2023
(g)
23,254‌
25,997‌
6.50
%,
08
/08/2023
6,000‌
6,708‌
Credit
Suisse
Group
AG
5.10
%,
12
/31/2049
(d),(g),(h)
21,300‌
21,193‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.29%
6.25
%,
12
/31/2049
(d),(g),(h)
3,000‌
3,228‌
USD
Swap
Semi-Annual
5
Year
+
3.46%
6.25
%,
12
/31/2049
(d),(h)
1,475‌
1,587‌
USD
Swap
Semi-Annual
5
Year
+
3.46%
6.38
%,
12
/31/2099
(d),(g),(h)
14,200‌
15,176‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.82%
7.13
%,
12
/31/2049
(d),(h)
24,838‌
26,235‌
USD
Swap
Semi-Annual
5
Year
+
5.11%
7.50
%,
12
/31/2049
(d),(g),(h)
6,500‌
7,016‌
USD
Swap
Semi-Annual
5
Year
+
4.60%
7.50
%,
12
/31/2049
(d),(g),(h)
72,040‌
79,705‌
USD
Swap
Semi-Annual
5
Year
+
4.60%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Credit
Suisse
Group
AG  
(continued)
7.50
%,
12
/31/2049
(d),(h)
$
3,000‌
$
3,319‌
USD
Swap
Semi-Annual
5
Year
+
4.60%
Danske
Bank
A/S
6.13
%,
12
/31/2099
(d),(h)
2,500‌
2,559‌
USD
Swap
Semi-Annual
7
Year
+
3.90%
7.00
%,
12
/31/2049
(d),(h)
19,645‌
21,290‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
7
Year
+
4.13%
Fifth
Third
Bancorp
5.10
%,
12
/31/2049
(d),(h)
1,403‌
1,391‌
3
Month
USD
LIBOR
+
3.03%
First
Maryland
Capital
I
2.83
%,
01
/15/2027
2,000‌
1,900‌
3
Month
USD
LIBOR
+
1.00%
First
Union
Capital
II
7.95
%,
11
/15/2029
3,700‌
5,160‌
Goldman
Sachs
Group
Inc/The
4.95
%,
12
/31/2049
(d),(h)
13,000‌
13,209‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.22%
5.38
%,
12
/31/2049
(d),(h)
11,300‌
11,323‌
3
Month
USD
LIBOR
+
3.92%
5.50
%,
12
/31/2049
(d),(e),(h)
13,750‌
14,437‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.62%
HSBC
Capital
Funding
Dollar
1
LP
10.18
%,
12
/31/2049
(d),(g),(h)
56,967‌
91,717‌
3
Month
USD
LIBOR
+
4.98%
10.18
%,
12
/31/2049
(d),(h)
34,808‌
56,041‌
3
Month
USD
LIBOR
+
4.98%
HSBC
Holdings
PLC
6.00
%,
12
/31/2099
(d),(h)
15,900‌
16,536‌
USD
Swap
Rate
NY
5
Year
+
3.75%
6.37
%,
12
/31/2049
(d),(h)
14,800‌
15,544‌
USD
Swap
Rate
NY
5
Year
+
4.37%
6.38
%,
12
/31/2049
(d),(h)
3,300‌
3,436‌
USD
Swap
Rate
NY
5
Year
+
3.71%
6.50
%,
12
/31/2099
(d),(h)
25,600‌
27,712‌
USD
Swap
Rate
NY
5
Year
+
3.61%
6.87
%,
12
/31/2049
(d),(h)
54,800‌
56,581‌
USD
Swap
Rate
NY
5
Year
+
5.51%
ING
Groep
NV
5.75
%,
12
/31/2049
(d),(h)
14,075‌
14,684‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.34%
6.50
%,
12
/31/2049
(d),(h)
35,300‌
37,467‌
USD
Swap
Semi-Annual
5
Year
+
4.45%
6.87
%,
12
/31/2049
(d),(h)
25,320‌
26,554‌
USD
Swap
Semi-Annual
5
Year
+
5.12%
Intesa
Sanpaolo
SpA
7.70
%,
12
/31/2049
(d),(g),(h)
2,900‌
3,154‌
USD
Swap
Semi-Annual
5
Year
+
5.46%
JPMorgan
Chase
&
Co
4.60
%,
12
/31/2099
(d),(h)
33,179‌
33,212‌
United
States
Secured
Overnight
Financing
Rate
+
3.13%
5.24
%,
12
/31/2049
(d)
24,199‌
24,151‌
3
Month
USD
LIBOR
+
3.47%
5.30
%,
12
/31/2099
(d),(h)
16,218‌
16,294‌
3
Month
USD
LIBOR
+
3.80%
6.13
%,
12
/31/2049
(d),(h)
7,706‌
8,241‌
3
Month
USD
LIBOR
+
3.33%
6.75
%,
12
/31/2049
(d),(h)
143,515‌
160,537‌
3
Month
USD
LIBOR
+
3.78%
KeyCorp
5.00
%,
12
/31/2049
(d),(h)
20,101‌
20,905‌
3
Month
USD
LIBOR
+
3.61%
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
184
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
KeyCorp
Capital
III
7.75
%,
07
/15/2029
$
3,500‌
$
4,728‌
Lloyds
Bank
PLC
12.00
%,
12
/31/2049
(d),(g),(h)
39,250‌
47,290‌
3
Month
USD
LIBOR
+
11.76%
12.00
%,
12
/31/2049
(d),(h)
46,889‌
56,494‌
3
Month
USD
LIBOR
+
11.76%
Lloyds
Banking
Group
PLC
6.41
%,
12
/31/2049
(d),(g),(h)
12,674‌
15,098‌
3
Month
USD
LIBOR
+
1.50%
6.66
%,
01
/29/2049
(d),(e),(g),(h)
48,685‌
60,187‌
3
Month
USD
LIBOR
+
1.27%
7.50
%,
12
/31/2049
(d),(h)
47,496‌
51,593‌
USD
Swap
Semi-Annual
5
Year
+
4.76%
7.50
%,
12
/31/2049
(d),(h)
22,500‌
25,017‌
USD
Swap
Semi-Annual
5
Year
+
4.50%
M&T
Bank
Corp
5.12
%,
12
/31/2049
(d),(h)
12,500‌
13,406‌
3
Month
USD
LIBOR
+
3.52%
6.45
%,
12
/31/2049
(d),(h)
6,615‌
7,267‌
3
Month
USD
LIBOR
+
3.61%
Morgan
Stanley
5.55
%,
12
/31/2049
(d),(h)
8,500‌
8,560‌
3
Month
USD
LIBOR
+
3.81%
Nordea
Bank
Abp
6.13
%,
12
/31/2049
(d),(g),(h)
42,131‌
44,690‌
USD
Swap
Semi-Annual
5
Year
+
3.39%
6.13
%,
12
/31/2049
(d),(h)
8,235‌
8,735‌
USD
Swap
Semi-Annual
5
Year
+
3.39%
6.63
%,
12
/31/2099
(d),(g),(h)
23,420‌
25,938‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.11%
Northern
Trust
Corp
4.60
%,
12
/31/2049
(d),(h)
4,400‌
4,767‌
3
Month
USD
LIBOR
+
3.20%
NTC
Capital
I
2.35
%,
01
/15/2027
5,500‌
5,225‌
3
Month
USD
LIBOR
+
0.52%
NTC
Capital
II
2.42
%,
04
/15/2027
6,500‌
6,175‌
3
Month
USD
LIBOR
+
0.59%
PNC
Financial
Services
Group
Inc/The
6.75
%,
12
/31/2049
(d),(h)
37,635‌
39,517‌
3
Month
USD
LIBOR
+
3.68%
RBS
Capital
Trust
II
6.43
%,
12
/31/2049
(d),(h)
2,750‌
3,932‌
3
Month
USD
LIBOR
+
1.94%
Royal
Bank
of
Scotland
Group
PLC
4.26
%,
12
/31/2049
(d)
1,900‌
1,886‌
3
Month
USD
LIBOR
+
2.32%
7.50
%,
12
/31/2049
(d),(h)
54,281‌
54,790‌
USD
Swap
Semi-Annual
5
Year
+
5.80%
7.65
%,
12
/31/2049
(d),(h)
28,946‌
42,216‌
3
Month
USD
LIBOR
+
2.50%
8.00
%,
12
/31/2049
(d),(h)
7,825‌
8,921‌
USD
Swap
Semi-Annual
5
Year
+
5.72%
8.62
%,
12
/31/2049
(d),(h)
18,295‌
19,356‌
USD
Swap
Semi-Annual
5
Year
+
7.60%
Skandinaviska
Enskilda
Banken
AB
5.63
%,
12
/31/2049
(d),(h)
5,000‌
5,113‌
USD
Swap
Semi-Annual
5
Year
+
3.49%
5.75
%,
12
/31/2049
(d),(h)
8,100‌
8,098‌
USD
Swap
Semi-Annual
5
Year
+
3.85%
Societe
Generale
SA
7.37
%,
12
/31/2049
(d),(h)
14,120‌
14,762‌
USD
Swap
Semi-Annual
5
Year
+
6.24%
7.38
%,
12
/31/2049
(d),(g),(h)
16,800‌
18,291‌
USD
Swap
Semi-Annual
5
Year
+
4.30%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Societe
Generale
SA  
(continued)
7.38
%,
12
/31/2049
(d),(g),(h)
$
25,326‌
$
26,478‌
USD
Swap
Semi-Annual
5
Year
+
6.24%
7.88
%,
12
/31/2049
(d),(g),(h)
500‌
551‌
USD
Swap
Semi-Annual
5
Year
+
4.98%
7.88
%,
12
/31/2049
(d),(e),(h)
14,000‌
15,426‌
USD
Swap
Semi-Annual
5
Year
+
4.98%
8.00
%,
12
/31/2049
(d),(g),(h)
23,900‌
27,748‌
USD
Swap
Rate
NY
5
Year
+
5.87%
8.00
%,
12
/31/2049
(d),(h)
9,000‌
10,449‌
USD
Swap
Rate
NY
5
Year
+
5.87%
Standard
Chartered
PLC
7.01
%,
12
/31/2049
(d),(g),(h)
41,500‌
51,015‌
3
Month
USD
LIBOR
+
1.46%
7.01
%,
12
/31/2049
(d),(h)
19,800‌
24,340‌
3
Month
USD
LIBOR
+
1.46%
7.50
%,
12
/31/2049
(d),(g),(h)
17,700‌
18,497‌
USD
Swap
Semi-Annual
5
Year
+
6.30%
7.50
%,
12
/31/2049
(d),(h)
10,500‌
10,973‌
USD
Swap
Semi-Annual
5
Year
+
6.30%
7.75
%,
12
/31/2049
(d),(g),(h)
11,000‌
11,853‌
USD
Swap
Semi-Annual
5
Year
+
5.72%
State
Street
Corp
5.25
%,
12
/31/2049
(d),(h)
4,000‌
4,053‌
3
Month
USD
LIBOR
+
3.60%
Svenska
Handelsbanken
AB
5.25
%,
12
/31/2049
(d),(h)
29,400‌
29,683‌
USD
Swap
Semi-Annual
5
Year
+
3.34%
Swedbank
AB
6.00
%,
12
/31/2049
(d),(h)
5,200‌
5,363‌
USD
Swap
Semi-Annual
5
Year
+
4.11%
Truist
Bank
2.36
%,
05
/15/2027
10,900‌
10,328‌
3
Month
USD
LIBOR
+
0.67%
2.54
%,
03
/15/2028
9,022‌
8,503‌
3
Month
USD
LIBOR
+
0.65%
2.89
%,
04
/01/2027
7,000‌
6,720‌
3
Month
USD
LIBOR
+
0.98%
Truist
Financial
Corp
4.80
%,
12
/31/2099
(d),(h)
97,900‌
98,617‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.00%
5.75
%,
12
/31/2049
(d)
4,400‌
4,407‌
3
Month
USD
LIBOR
+
3.86%
UBS
Group
AG
6.88
%,
12
/31/2049
(d),(h)
12,078‌
12,425‌
USD
Swap
Rate
NY
5
Year
+
5.50%
6.88
%,
12
/31/2049
(d),(h)
11,933‌
13,022‌
USD
Swap
Semi-Annual
5
Year
+
4.59%
7.00
%,
12
/31/2049
(d),(g),(h)
19,500‌
20,796‌
USD
Swap
Semi-Annual
5
Year
+
4.34%
7.00
%,
12
/31/2049
(d),(h)
10,800‌
11,518‌
USD
Swap
Semi-Annual
5
Year
+
4.34%
7.00
%,
12
/31/2049
(d),(h)
20,700‌
23,013‌
USD
Swap
Semi-Annual
5
Year
+
4.87%
UniCredit
SpA
8.00
%,
12
/31/2049
(d),(h)
21,000‌
22,418‌
USD
Swap
Semi-Annual
5
Year
+
5.18%
US
Bancorp
5.12
%,
12
/31/2049
(d),(h)
21,400‌
22,000‌
3
Month
USD
LIBOR
+
3.49%
USB
Realty
Corp
2.98
%,
12
/31/2049
(d),(g)
1,500‌
1,352‌
3
Month
USD
LIBOR
+
1.15%
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
185
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Wells
Fargo
&
Co
5.66
%,
12
/31/2049
(d)
$
23,170‌
$
23,170‌
3
Month
USD
LIBOR
+
3.77%
5.87
%,
12
/31/2049
(d),(h)
50,300‌
55,707‌
3
Month
USD
LIBOR
+
3.99%
$
3,077,682‌
Diversified
Financial
Services
-
1.27%
Capital
One
Financial
Corp
5.55
%,
12
/31/2049
(d),(h)
20,430‌
20,341‌
3
Month
USD
LIBOR
+
3.80%
Charles
Schwab
Corp/The
7.00
%,
12
/31/2049
(d),(h)
28,358‌
30,538‌
3
Month
USD
LIBOR
+
4.82%
Depository
Trust
&
Clearing
Corp/The
4.88
%,
12
/31/2049
(d),(g),(h)
31,000‌
30,922‌
3
Month
USD
LIBOR
+
3.17%
$
81,801‌
Electric
-
4.80%
Dominion
Energy
Inc
4.65
%,
12
/31/2099
(d),(h)
63,220‌
65,318‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.99%
Duke
Energy
Corp
4.88
%,
12
/31/2099
(d),(h)
26,500‌
27,324‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.39%
Emera
Inc
6.75
%,
06
/15/2076
(h)
64,395‌
74,641‌
3
Month
USD
LIBOR
+
5.44%
Enel
SpA
8.75
%,
09
/24/2073
(g),(h)
51,716‌
60,120‌
USD
Swap
Semi-Annual
5
Year
+
5.88%
National
Rural
Utilities
Cooperative
Finance
Corp
5.25
%,
04
/20/2046
(h)
22,969‌
25,628‌
3
Month
USD
LIBOR
+
3.63%
NextEra
Energy
Capital
Holdings
Inc
3.98
%,
10
/01/2066
23,474‌
22,418‌
3
Month
USD
LIBOR
+
2.07%
4.02
%,
06
/15/2067
8,920‌
8,717‌
3
Month
USD
LIBOR
+
2.13%
4.80
%,
12
/01/2077
(h)
2,300‌
2,461‌
3
Month
USD
LIBOR
+
2.41%
5.65
%,
05
/01/2079
(h)
800‌
908‌
3
Month
USD
LIBOR
+
3.16%
PPL
Capital
Funding
Inc
4.63
%,
03
/30/2067
15,700‌
15,377‌
3
Month
USD
LIBOR
+
2.67%
Southern
Co/The
5.50
%,
03
/15/2057
(h)
6,500‌
6,694‌
3
Month
USD
LIBOR
+
3.63%
$
309,606‌
Food
-
0.13%
Dairy
Farmers
of
America
Inc
7.13
%,
12
/31/2049
(d),(g)
8,700‌
8,178‌
Gas
-
0.28%
NiSource
Inc
5.65
%,
12
/31/2049
(d),(h)
17,900‌
18,258‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.84%
Insurance
-
21.63%
ACE
Capital
Trust
II
9.70
%,
04
/01/2030
14,970‌
22,455‌
AIG
Life
Holdings
Inc
8.50
%,
07
/01/2030
31,200‌
43,681‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Insurance
(continued)
Allstate
Corp/The
5.75
%,
08
/15/2053
(h)
$
11,754‌
$
12,694‌
3
Month
USD
LIBOR
+
2.94%
6.50
%,
05
/15/2067
(h)
11,905‌
15,119‌
3
Month
USD
LIBOR
+
2.12%
American
International
Group
Inc
5.75
%,
04
/01/2048
(e),(h)
48,701‌
53,875‌
3
Month
USD
LIBOR
+
2.87%
8.18
%,
05
/15/2068
(h)
22,300‌
30,439‌
3
Month
USD
LIBOR
+
4.20%
Aon
Corp
8.21
%,
01
/01/2027
4,750‌
6,139‌
Argentum
Netherlands
BV
for
Swiss
Re
Ltd
5.63
%,
08
/15/2052
(h)
54,000‌
59,805‌
3
Month
USD
LIBOR
+
3.78%
5.75
%,
08
/15/2050
(h)
34,400‌
37,737‌
3
Month
USD
LIBOR
+
3.59%
Argentum
Netherlands
BV
for
Zurich
Insurance
Co
Ltd
5.13
%,
06
/01/2048
(h)
6,290‌
7,030‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.27%
AXA
SA
6.38
%,
12
/31/2049
(d),(g),(h)
27,793‌
36,826‌
3
Month
USD
LIBOR
+
2.26%
8.60
%,
12
/15/2030
10,797‌
15,966‌
AXIS
Specialty
Finance
LLC
4.90
%,
01
/15/2040
(h)
4,500‌
4,455‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.19%
Cloverie
PLC
for
Swiss
Re
Corporate
Solutions
Ltd
4.50
%,
09
/11/2044
(h)
20,000‌
20,710‌
USD
Swap
Semi-Annual
10
Year
+
2.91%
Cloverie
PLC
for
Zurich
Insurance
Co
Ltd
5.63
%,
06
/24/2046
(h)
5,000‌
5,661‌
3
Month
USD
LIBOR
+
4.92%
Dai-ichi
Life
Insurance
Co
Ltd/The
7.25
%,
12
/31/2049
(d),(g),(h)
13,250‌
14,156‌
3
Month
USD
LIBOR
+
4.56%
Everest
Reinsurance
Holdings
Inc
4.08
%,
05
/01/2067
27,820‌
27,124‌
3
Month
USD
LIBOR
+
2.39%
Hartford
Financial
Services
Group
Inc/The
3.82
%,
02
/12/2067
(g)
5,685‌
5,401‌
3
Month
USD
LIBOR
+
2.13%
Legal
&
General
Group
PLC
5.25
%,
03
/21/2047
(h)
52,754‌
56,711‌
USD
Swap
Semi-Annual
5
Year
+
3.69%
Liberty
Mutual
Group
Inc
7.80
%,
03
/07/2087
(g)
76,240‌
98,731‌
3
Month
USD
LIBOR
+
3.58%
Liberty
Mutual
Insurance
Co
7.70
%,
10
/15/2097
(g)
20,025‌
34,068‌
Lincoln
National
Corp
3.86
%,
04
/20/2067
60,769‌
50,742‌
3
Month
USD
LIBOR
+
2.04%
4.05
%,
05
/17/2066
9‌
8‌
3
Month
USD
LIBOR
+
2.36%
M&G
PLC
6.50
%,
10
/20/2048
(h)
16,188‌
18,802‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.41%
Meiji
Yasuda
Life
Insurance
Co
5.10
%,
04
/26/2048
(e),(g),(h)
13,800‌
15,831‌
USD
Swap
Rate
NY
5
Year
+
3.15%
5.20
%,
10
/20/2045
(g),(h)
14,545‌
16,317‌
USD
Swap
Semi-Annual
5
Year
+
4.23%
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
186
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Insurance
(continued)
MetLife
Capital
Trust
IV
7.88
%,
12
/15/2067
(g)
$
24,540‌
$
33,006‌
MetLife
Inc
5.25
%,
12
/31/2049
(d),(h)
1,000‌
999‌
3
Month
USD
LIBOR
+
3.58%
6.40
%,
12
/15/2066
20,770‌
25,655‌
3
Month
USD
LIBOR
+
2.21%
9.25
%,
04
/08/2068
(g)
49,075‌
73,122‌
3
Month
USD
LIBOR
+
5.54%
10.75
%,
08
/01/2069
(h)
50,223‌
83,621‌
3
Month
USD
LIBOR
+
7.55%
Mitsui
Sumitomo
Insurance
Co
Ltd
4.95
%,
12
/31/2049
(d),(h)
520‌
596‌
USD
Swap
Semi-Annual
5
Year
+
3.26%
4.95
%,
12
/31/2099
(d),(g),(h)
6,800‌
7,795‌
USD
Swap
Semi-Annual
5
Year
+
3.26%
7.00
%,
03
/15/2072
(g),(h)
10,700‌
11,690‌
3
Month
USD
LIBOR
+
5.90%
MMI
Capital
Trust
I
7.63
%,
12
/15/2027
1,073‌
1,389‌
Nationwide
Financial
Services
Inc
6.75
%,
05
/15/2087
79,015‌
96,793‌
Nippon
Life
Insurance
Co
4.70
%,
01
/20/2046
(g),(h)
5,000‌
5,513‌
USD
Swap
Rate
NY
5
Year
+
3.75%
5.10
%,
10
/16/2044
(g),(h)
26,700‌
29,103‌
USD
Swap
Rate
NY
5
Year
+
3.65%
Progressive
Corp/The
5.38
%,
12
/31/2049
(d),(h)
4,750‌
4,999‌
3
Month
USD
LIBOR
+
2.54%
Prudential
Financial
Inc
5.63
%,
06
/15/2043
(h)
79,130‌
83,265‌
3
Month
USD
LIBOR
+
3.92%
5.88
%,
09
/15/2042
(h)
45,255‌
48,055‌
3
Month
USD
LIBOR
+
4.18%
QBE
Insurance
Group
Ltd
5.88
%,
06
/17/2046
(h)
3,100‌
3,399‌
USD
Swap
Rate
NY
10
Year
+
4.40%
Reinsurance
Group
of
America
Inc
4.56
%,
12
/15/2065
2,687‌
2,580‌
3
Month
USD
LIBOR
+
2.67%
Sompo
Japan
Nipponkoa
Insurance
Inc
5.33
%,
03
/28/2073
(g),(h)
60,300‌
64,220‌
3
Month
USD
LIBOR
+
4.27%
Sumitomo
Life
Insurance
Co
6.50
%,
09
/20/2073
(g),(h)
15,500‌
17,438‌
3
Month
USD
LIBOR
+
4.44%
Voya
Financial
Inc
5.65
%,
05
/15/2053
(h)
77,926‌
83,304‌
3
Month
USD
LIBOR
+
3.58%
6.13
%,
12
/31/2049
(d),(h)
8,150‌
8,424‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.36%
$
1,395,449‌
Mining
-
0.47%
BHP
Billiton
Finance
USA
Ltd
6.75
%,
10
/19/2075
(g),(h)
25,842‌
30,041‌
USD
Swap
Semi-Annual
5
Year
+
5.09%
Pipelines
-
3.31%
Enbridge
Inc
6.00
%,
01
/15/2077
(h)
29,238‌
30,334‌
3
Month
USD
LIBOR
+
3.89%
6.25
%,
03
/01/2078
(h)
39,048‌
41,000‌
3
Month
USD
LIBOR
+
3.64%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Pipelines
(continued)
Enterprise
Products
Operating
LLC
5.25
%,
08
/16/2077
(h)
$
44,200‌
$
44,863‌
3
Month
USD
LIBOR
+
3.03%
5.38
%,
02
/15/2078
(h)
5,000‌
4,954‌
3
Month
USD
LIBOR
+
2.57%
Transcanada
Trust
5.50
%,
09
/15/2079
(h)
39,340‌
41,465‌
3
Month
USD
LIBOR
+
4.15%
5.63
%,
05
/20/2075
(h)
6,000‌
6,135‌
3
Month
USD
LIBOR
+
3.53%
5.87
%,
08
/15/2076
(h)
41,581‌
44,700‌
3
Month
USD
LIBOR
+
4.64%
$
213,451‌
Sovereign
-
0.32%
CoBank
ACB
6.25
%,
12
/31/2049
(d),(h)
16,400‌
17,548‌
3
Month
USD
LIBOR
+
4.66%
Farm
Credit
Bank
of
Texas
6.20
%,
12
/31/2049
(d),(g),(h)
3,000‌
3,212‌
3
Month
USD
LIBOR
+
3.22%
$
20,760‌
Telecommunications
-
0.46%
Koninklijke
KPN
NV
7.00
%,
03
/28/2073
(e),(g),(h)
13,126‌
14,045‌
USD
Swap
Semi-Annual
10
Year
+
5.21%
7.00
%,
03
/28/2073
(h)
8,000‌
8,560‌
USD
Swap
Semi-Annual
10
Year
+
5.21%
Vodafone
Group
PLC
7.00
%,
04
/04/2079
(h)
5,900‌
6,812‌
USD
Swap
Semi-Annual
5
Year
+
4.87%
$
29,417‌
Transportation
-
0.60%
BNSF
Funding
Trust
I
6.61
%,
12
/15/2055
(h)
35,709‌
38,566‌
3
Month
USD
LIBOR
+
2.35%
TOTAL
BONDS
$
5,235,655‌
TOTAL
PURCHASED
OPTIONS
-
0.00%
$
75‌
Total
Investments
$
6,480,442‌
Other
Assets
and
Liabilities
-  (
0.46)%
(29,873‌)
TOTAL
NET
ASSETS
-
100.00%
$
6,450,569‌
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$32,740
or
0.51%
of
net
assets.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Perpetual
security.
Perpetual
securities
pay
an
indefinite
stream
of
interest,
but
they
may
be
called
by
the
issuer
at
an
earlier
date.
Date
shown,
if
any,
reflects
the
next
call
date
or
final
legal
maturity
date.
Rate
shown
is
as
of
period
end.
(e)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
(f)
Non-income
producing
security
(g)
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
$1,606,938
or
24.91%
of
net
assets.
(h)
Rate
shown
is
as
of
period
end.
The
rate
may
be
a
variable
or
floating
rate
or
a
fixed
rate
which
may
convert
to
a
variable
or
floating
rate
in
the
future.
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
187
Portfolio
Summary  (
unaudited)
Sector
Percent
Financial
79.93‌%
Utilities
7.91‌%
Communications
3.94‌%
Energy
3.31‌%
Money
Market
Funds
2.19‌%
Government
1.42‌%
Industrial
0.60‌%
Consumer,
Non-cyclical
0.50‌%
Basic
Materials
0.47‌%
Consumer,
Cyclical
0.19‌%
Purchased
Options
0.00‌%
Other
Assets
and
Liabilities
(
0.46‌)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
February
29,
2020
Value
Cost
Proceeds
Value
Centaur
Funding
Corp
9.08%
04/21/2020
$
99,772‌
$
—‌
$
—‌
$
96,166‌
Principal
Government
Money
Market
Fund
1.43%
98,550‌
1,092,065‌
1,062,143‌
128,472‌
$
198,322‌
$
1,092,065‌
$
1,062,143‌
$
224,638‌
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/Loss
Centaur
Funding
Corp
9.08%
04/21/2020
$
2,183‌
$
—‌
$
—‌
$
(3,606‌)
Principal
Government
Money
Market
Fund
1.43%
1,598‌
—‌
—‌
—‌
$
3,781‌
$
—‌
$
—‌
$
(3,606‌)
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Options
Purchased
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
US
Long
Bond
Future;
June
2020
N/A
50‌
$
50‌
$
171.00‌
03/09/2020
$
86‌
$
75‌
$
(11‌)
Total
$
86‌
$
75‌
$
(11‌)
Amounts
in
thousands
except
contracts/shares.
Futures
Contracts
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
US
Long
Bond;
June
2020
Short
50‌
$
8,513‌
$
(13‌)
Total
$
(13‌)
Amounts
in
thousands
except
contracts.
Schedule
of
Investments
SystematEx
International
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
188
INVESTMENT
COMPANIES
-
1.86%
Shares
Held
Value
(000's)
Money
Market
Funds
-
1.86%
BlackRock
Liquidity
FedFund
1.48%
(a),(b)
3,483,433‌
$
3,48
3‌
Principal
Government
Money
Market
Fund
1.43%
(a),(c)
535,140‌
535‌
$
4,01
8‌
TOTAL
INVESTMENT
COMPANIES
$
4,01
8‌
COMMON
STOCKS
-
99.56%
Shares
Held
Value
(000's)
Aerospace
&
Defense
-
1.04%
BAE
Systems
PLC
181,363‌
1,434‌
Safran
SA
5,842‌
809‌
$
2,243‌
Agriculture
-
1.74%
British
American
Tobacco
PLC
28,005‌
1,107‌
Imperial
Brands
PLC
21,818‌
441‌
Japan
Tobacco
Inc
61,900‌
1,224‌
Swedish
Match
AB
16,740‌
982‌
$
3,754‌
Airlines
-
1.08%
Deutsche
Lufthansa
AG
25,982‌
344‌
Japan
Airlines
Co
Ltd
31,200‌
768‌
Qantas
Airways
Ltd
336,987‌
1,232‌
$
2,344‌
Apparel
-
1.00%
Adidas
AG
2,123‌
598‌
Kering
SA
1,120‌
632‌
LVMH
Moet
Hennessy
Louis
Vuitton
SE
2,213‌
923‌
$
2,153‌
Automobile
Manufacturers
-
3.69%
Fiat
Chrysler
Automobiles
NV
70,184‌
884‌
Honda
Motor
Co
Ltd
57,500‌
1,475‌
Peugeot
SA
44,995‌
872‌
Subaru
Corp
46,900‌
1,135‌
Toyota
Motor
Corp
36,800‌
2,417‌
Volvo
AB
-
B
Shares
75,748‌
1,189‌
$
7,972‌
Automobile
Parts
&
Equipment
-
0.52%
Cie
Generale
des
Etablissements
Michelin
SCA
4,887‌
524‌
Denso
Corp
15,600‌
600‌
$
1,124‌
Banks
-
8.41%
Australia
&
New
Zealand
Banking
Group
Ltd
21,000‌
339‌
Banco
Santander
SA
168,420‌
623‌
BNP
Paribas
SA
19,294‌
936‌
Commonwealth
Bank
of
Australia
21,344‌
1,146‌
Credit
Agricole
SA
72,346‌
870‌
Credit
Suisse
Group
AG
(d)
138,864‌
1,560‌
DBS
Group
Holdings
Ltd
41,000‌
717‌
HSBC
Holdings
PLC
(e)
274,434‌
1,854‌
ING
Groep
NV
40,109‌
384‌
Intesa
Sanpaolo
SpA
465,288‌
1,131‌
Israel
Discount
Bank
Ltd
122,218‌
509‌
Lloyds
Banking
Group
PLC
583,277‌
379‌
Macquarie
Group
Ltd
5,548‌
493‌
Mediobanca
Banca
di
Credito
Finanziario
SpA
108,866‌
990‌
Mitsubishi
UFJ
Financial
Group
Inc
158,100‌
772‌
Mizuho
Financial
Group
Inc
1,623,000‌
2,196‌
National
Australia
Bank
Ltd
21,864‌
360‌
Oversea-Chinese
Banking
Corp
Ltd
47,300‌
364‌
Skandinaviska
Enskilda
Banken
AB
25,104‌
241‌
Standard
Chartered
PLC
35,695‌
258‌
Sumitomo
Mitsui
Financial
Group
Inc
22,500‌
714‌
UBS
Group
AG
(d)
44,885‌
494‌
United
Overseas
Bank
Ltd
22,100‌
394‌
Westpac
Banking
Corp
30,869‌
473‌
$
18,197‌
Beverages
-
0.24%
Asahi
Group
Holdings
Ltd
13,600‌
521‌
Biotechnology
-
0.53%
CSL
Ltd
5,639‌
1,152‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Building
Materials
-
1.54%
Cie
de
Saint-Gobain
13,558‌
$
479‌
CRH
PLC
14,386‌
485‌
HeidelbergCement
AG
7,720‌
463‌
LafargeHolcim
Ltd
(d)
40,885‌
1,903‌
$
3,330‌
Chemicals
-
2.16%
BASF
SE
16,065‌
951‌
Brenntag
AG
9,404‌
426‌
Covestro
AG
(f)
19,359‌
750‌
Evonik
Industries
AG
21,488‌
538‌
Israel
Chemicals
Ltd
210,786‌
767‌
Mitsubishi
Chemical
Holdings
Corp
120,700‌
807‌
Sumitomo
Chemical
Co
Ltd
121,900‌
444‌
$
4,683‌
Commercial
Services
-
0.99%
Amadeus
IT
Group
SA
9,305‌
660‌
Ashtead
Group
PLC
33,691‌
1,056‌
Securitas
AB
30,863‌
419‌
$
2,135‌
Computers
-
1.82%
Capgemini
SE
5,650‌
626‌
Computershare
Ltd
53,609‌
543‌
Fujitsu
Ltd
11,500‌
1,199‌
NEC
Corp
41,700‌
1,566‌
$
3,934‌
Cosmetics
&
Personal
Care
-
1.29%
Essity
AB
23,600‌
711‌
Unilever
NV
28,271‌
1,493‌
Unilever
PLC
10,942‌
588‌
$
2,792‌
Distribution
&
Wholesale
-
3.01%
Ferguson
PLC
9,229‌
804‌
ITOCHU
Corp
85,500‌
1,938‌
Marubeni
Corp
66,800‌
442‌
Mitsubishi
Corp
43,400‌
1,080‌
Mitsui
&
Co
Ltd
82,500‌
1,363‌
Sumitomo
Corp
62,000‌
890‌
$
6,517‌
Diversified
Financial
Services
-
0.85%
Nomura
Holdings
Inc
196,800‌
869‌
ORIX
Corp
23,000‌
373‌
Singapore
Exchange
Ltd
95,800‌
591‌
$
1,833‌
Electric
-
3.42%
EDP
-
Energias
de
Portugal
SA
162,991‌
761‌
Endesa
SA
18,904‌
486‌
Enel
SpA
305,879‌
2,567‌
Engie
SA
122,185‌
2,040‌
Origin
Energy
Ltd
173,815‌
804‌
Red
Electrica
Corp
SA
28,393‌
543‌
RWE
AG
5,553‌
193‌
$
7,394‌
Electrical
Components
&
Equipment
-
0.71%
Brother
Industries
Ltd
23,100‌
409‌
Schneider
Electric
SE
11,071‌
1,125‌
$
1,534‌
Electronics
-
0.25%
Assa
Abloy
AB
24,017‌
540‌
Engineering
&
Construction
-
2.46%
ACS
Actividades
de
Construccion
y
Servicios
SA
28,974‌
864‌
ACS
Actividades
de
Construccion
y
Servicios
SA
-
Rights
(d)
28,974‌
13‌
Aena
SME
SA
(f)
2,964‌
477‌
Bouygues
SA
16,709‌
661‌
Eiffage
SA
6,133‌
656‌
Kajima
Corp
34,000‌
364‌
Obayashi
Corp
53,900‌
544‌
Skanska
AB
36,919‌
813‌
Schedule
of
Investments
SystematEx
International
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
189
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Engineering
&
Construction
(continued)
Vinci
SA
9,224‌
$
932‌
$
5,324‌
Entertainment
-
1.01%
Aristocrat
Leisure
Ltd
51,414‌
1,128‌
Genting
Singapore
Ltd
1,788,300‌
1,054‌
$
2,182‌
Food
-
7.73%
Carrefour
SA
61,401‌
1,061‌
Colruyt
SA
8,999‌
417‌
J
Sainsbury
PLC
188,946‌
479‌
Koninklijke
Ahold
Delhaize
NV
87,110‌
2,035‌
METRO
AG
31,262‌
365‌
Nestle
SA
28,815‌
2,965‌
Orkla
ASA
100,376‌
854‌
Seven
&
i
Holdings
Co
Ltd
34,000‌
1,157‌
Tate
&
Lyle
PLC
94,894‌
865‌
Tesco
PLC
716,243‌
2,134‌
WH
Group
Ltd
(f)
2,026,680‌
2,127‌
Wilmar
International
Ltd
120,900‌
349‌
Wm
Morrison
Supermarkets
PLC
(e)
546,843‌
1,224‌
Woolworths
Group
Ltd
26,938‌
689‌
$
16,721‌
Forest
Products
&
Paper
-
0.70%
Stora
Enso
Oyj
49,197‌
583‌
UPM-Kymmene
Oyj
30,541‌
940‌
$
1,523‌
Gas
-
1.22%
Centrica
PLC
979,285‌
907‌
Enagas
SA
26,457‌
687‌
National
Grid
PLC
50,725‌
639‌
Snam
SpA
81,665‌
405‌
$
2,638‌
Healthcare
-
Products
-
2.45%
Alcon
Inc
(d)
40,357‌
2,468‌
Koninklijke
Philips
NV
29,307‌
1,255‌
Siemens
Healthineers
AG
(f)
10,795‌
441‌
Smith
&
Nephew
PLC
51,039‌
1,145‌
$
5,309‌
Healthcare
-
Services
-
1.37%
Fresenius
Medical
Care
AG
&
Co
KGaA
16,608‌
1,281‌
Fresenius
SE
&
Co
KGaA
18,362‌
871‌
Sonic
Healthcare
Ltd
42,186‌
801‌
$
2,953‌
Holding
Companies
-
Diversified
-
0.69%
CK
Hutchison
Holdings
Ltd
169,500‌
1,498‌
Home
Builders
-
3.25%
Barratt
Developments
PLC
131,525‌
1,299‌
Berkeley
Group
Holdings
PLC
7,095‌
438‌
Daiwa
House
Industry
Co
Ltd
45,200‌
1,247‌
Persimmon
PLC
28,540‌
1,055‌
Sekisui
House
Ltd
54,000‌
1,059‌
Taylor
Wimpey
PLC
735,523‌
1,942‌
$
7,040‌
Home
Furnishings
-
2.02%
Panasonic
Corp
182,700‌
1,733‌
Sony
Corp
42,600‌
2,626‌
$
4,359‌
Insurance
-
6.34%
AIA
Group
Ltd
158,200‌
1,586‌
Allianz
SE
6,035‌
1,315‌
Assicurazioni
Generali
SpA
31,549‌
570‌
Aviva
PLC
73,562‌
337‌
AXA
SA
35,758‌
831‌
CNP
Assurances
23,127‌
363‌
Dai-ichi
Life
Holdings
Inc
30,100‌
408‌
Hannover
Rueck
SE
2,831‌
513‌
Insurance
Australia
Group
Ltd
32,405‌
136‌
Manulife
Financial
Corp
78,600‌
1,321‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Insurance
(continued)
MS&AD
Insurance
Group
Holdings
Inc
17,600‌
$
567‌
Muenchener
Rueckversicherungs-Gesellschaft
AG
in
Muenchen
3,142‌
814‌
Prudential
PLC
19,823‌
330‌
Sompo
Holdings
Inc
13,900‌
514‌
Sun
Life
Financial
Inc
15,400‌
665‌
Swiss
Life
Holding
AG
1,593‌
731‌
Swiss
Re
AG
15,888‌
1,511‌
Tokio
Marine
Holdings
Inc
8,300‌
444‌
Zurich
Insurance
Group
AG
1,965‌
761‌
$
13,717‌
Investment
Companies
-
0.13%
Investor
AB
5,657‌
283‌
Iron
&
Steel
-
1.23%
ArcelorMittal
SA
43,965‌
626‌
BlueScope
Steel
Ltd
143,120‌
1,119‌
Fortescue
Metals
Group
Ltd
135,831‌
908‌
$
2,653‌
Machinery
-
Construction
&
Mining
-
0.92%
Hitachi
Ltd
45,300‌
1,513‌
Sandvik
AB
29,224‌
487‌
$
2,000‌
Machinery
-
Diversified
-
0.54%
Atlas
Copco
AB
-
A
Shares
18,228‌
650‌
CNH
Industrial
NV
54,798‌
510‌
$
1,160‌
Media
-
0.69%
Bollore
SA
215,690‌
746‌
ITV
PLC
211,446‌
321‌
RTL
Group
SA
10,133‌
427‌
$
1,494‌
Metal
Fabrication
&
Hardware
-
0.31%
SKF
AB
37,949‌
671‌
Mining
-
2.43%
Anglo
American
PLC
34,735‌
817‌
BHP
Group
Ltd
28,564‌
621‌
BHP
Group
PLC
28,249‌
516‌
Boliden
AB
29,078‌
611‌
Glencore
PLC
(d)
547,340‌
1,382‌
Rio
Tinto
Ltd
6,720‌
386‌
Rio
Tinto
PLC
19,484‌
917‌
$
5,250‌
Miscellaneous
Manufacturers
-
0.25%
Siemens
AG
5,341‌
550‌
Office
&
Business
Equipment
-
1.70%
Canon
Inc
76,100‌
1,915‌
FUJIFILM
Holdings
Corp
22,600‌
1,097‌
Konica
Minolta
Inc
123,100‌
674‌
$
3,686‌
Oil
&
Gas
-
4.64%
BP
PLC
260,236‌
1,352‌
Equinor
ASA
23,529‌
362‌
JXTG
Holdings
Inc
84,150‌
341‌
Neste
Oyj
38,220‌
1,528‌
OMV
AG
10,930‌
458‌
Repsol
SA
70,695‌
799‌
Royal
Dutch
Shell
PLC
-
A
Shares
89,185‌
1,925‌
Royal
Dutch
Shell
PLC
-
B
Shares
41,172‌
892‌
Santos
Ltd
179,974‌
821‌
TOTAL
SA
36,272‌
1,568‌
$
10,046‌
Pharmaceuticals
-
8.08%
Astellas
Pharma
Inc
139,000‌
2,179‌
AstraZeneca
PLC
15,505‌
1,361‌
Bayer
AG
16,292‌
1,185‌
GlaxoSmithKline
PLC
164,582‌
3,321‌
Merck
KGaA
7,245‌
882‌
Novartis
AG
21,511‌
1,810‌
Schedule
of
Investments
SystematEx
International
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
190
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Pharmaceuticals
(continued)
Novo
Nordisk
A/S
28,922‌
$
1,694‌
Otsuka
Holdings
Co
Ltd
12,100‌
453‌
Roche
Holding
AG
5,265‌
1,693‌
Sanofi
16,720‌
1,559‌
Shionogi
&
Co
Ltd
13,400‌
721‌
UCB
SA
6,623‌
613‌
$
17,471‌
Private
Equity
-
0.66%
3i
Group
PLC
66,743‌
879‌
Partners
Group
Holding
AG
633‌
549‌
$
1,428‌
Real
Estate
-
1.71%
Aroundtown
SA
143,659‌
1,248‌
Mitsui
Fudosan
Co
Ltd
48,600‌
1,116‌
Sumitomo
Realty
&
Development
Co
Ltd
28,300‌
882‌
Wheelock
&
Co
Ltd
59,230‌
455‌
$
3,701‌
REITs
-
0.75%
Ascendas
Real
Estate
Investment
Trust
270,500‌
598‌
Mapletree
Commercial
Trust
671,700‌
1,018‌
$
1,616‌
Retail
-
1.73%
Harvey
Norman
Holdings
Ltd
186,565‌
456‌
Hennes
&
Mauritz
AB
57,392‌
1,042‌
Industria
de
Diseno
Textil
SA
23,497‌
733‌
JD
Sports
Fashion
PLC
53,347‌
510‌
Wesfarmers
Ltd
37,076‌
992‌
$
3,733‌
Semiconductors
-
1.33%
NXP
Semiconductors
NV
7,652‌
870‌
STMicroelectronics
NV
43,766‌
1,208‌
SUMCO
Corp
53,300‌
807‌
$
2,885‌
Shipbuilding
-
0.33%
Yangzijiang
Shipbuilding
Holdings
Ltd
1,016,700‌
706‌
Telecommunications
-
6.71%
Altice
Europe
NV
(d)
120,069‌
638‌
BT
Group
PLC
268,654‌
493‌
Deutsche
Telekom
AG
133,940‌
2,194‌
KDDI
Corp
74,200‌
2,096‌
Nippon
Telegraph
&
Telephone
Corp
54,700‌
1,276‌
NTT
DOCOMO
Inc
72,200‌
1,954‌
Orange
SA
112,100‌
1,509‌
Softbank
Corp
127,600‌
1,676‌
Telecom
Italia
SpA/Milano
(d)
894,827‌
498‌
Telecom
Italia
SpA/Milano
-
RSP
1,522,695‌
852‌
Telefonaktiebolaget
LM
Ericsson
99,865‌
801‌
Vodafone
Group
PLC
304,213‌
532‌
$
14,519‌
Transportation
-
1.59%
Aurizon
Holdings
Ltd
401,694‌
1,279‌
Deutsche
Post
AG
43,977‌
1,324‌
Poste
Italiane
SpA
(f)
51,381‌
550‌
Royal
Mail
PLC
136,969‌
287‌
$
3,440‌
Water
-
0.30%
Veolia
Environnement
SA
22,816‌
65
8‌
TOTAL
COMMON
STOCKS
$
215,36
6‌
Total
Investments
$
219,384‌
Other
Assets
and
Liabilities
-  (1.42)%
(3,070‌)
TOTAL
NET
ASSETS
-
100.00%
$
216,314‌
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$3,483
or
1.61%
of
net
assets.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Non-income
producing
security
(e)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
(f)
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
$4,345
or
2.01%
of
net
assets.
Portfolio
Summary  (unaudited)
Location
Percent
Japan
24.28‌%
United
Kingdom
16.09‌%
France
9.39‌%
Switzerland
8.80‌%
Germany
7.41‌%
Australia
7.41‌%
Sweden
4.36‌%
Netherlands
3.70‌%
Italy
3.50‌%
Spain
2.74‌%
Hong
Kong
2.61‌%
Singapore
2.36‌%
United
States
1.86‌%
Finland
1.41‌%
Luxembourg
1.07‌%
Canada
0.92‌%
Denmark
0.78‌%
Israel
0.58‌%
Norway
0.56‌%
Belgium
0.47‌%
Portugal
0.35‌%
China
0.33‌%
Ireland
0.23‌%
Austria
0.21‌%
Other
Assets
and
Liabilities
(1.42‌)%
TOTAL
NET
ASSETS
100.00%
Schedule
of
Investments
SystematEx
International
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
191
Affiliated
Securities
August
31,
2019
Purchases
Sales
February
29,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
1.43%
$
386‌
$
176,706‌
$
176,557‌
$
535‌
$
386‌
$
176,706‌
$
176,557‌
$
535‌
Income
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/Loss
Principal
Government
Money
Market
Fund
1.43%
$
21‌
$
—‌
$
—‌
$
—‌
$
21‌
$
—‌
$
—‌
$
—‌
Amounts
in
thousands.
Glossary
to
the
Schedule
of
Investments
February
29,
2020
(unaudited)
See
accompanying
notes.
192
Currency
Abbreviations
ARS
Argentine
Peso
AUD
Australian
Dollar
BRL
Brazilian
Real
CAD
Canadian
Dollar
CHF
Swiss
Franc
CLP
Chilean
Peso
CNH
Chinese
Renminbi
CNY
Chinese
Renminbi
COP
Colombian
Peso
CZK
Czech
Koruna
EUR
Euro
GBP
British
Pound
Sterling
HKD
Hong
Kong
Dollar
HUF
Hungarian
Forint
IDR
Indonesian
Rupiah
INR
Indian
Rupee
JPY
Japanese
Yen
KRW
South
Korean
Won
MXN
Mexican
Peso
MYR
Malaysian
Ringgit
NOK
Norwegian
Krone
NZD
New
Zealand
Dollar
PEN
Peruvian
Nuevo
Sol
PLN
Polish
Zloty
RUB
Russian
Ruble
SEK
Swedish
Krona
THB
Thai
Baht
TRY
Turkish
Lira
UAH
Ukrainian
Hryvnia
USD/$
United
States
Dollar
ZAR
South
African
Rand
See
accompanying
notes.
193
Financial
Highlights
Principal
Funds,
Inc.
(unaudited)
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
BLUE
CHIP
FUND
Class
J
shares
2020
(b)
$
25
.86‌
$
0.02‌
$
1.40‌
$
1.42‌
(
$
0.02‌)
(
$
1.15‌)
(
$
1.17‌)
$
26.11‌
2019
24.74‌
(
0.02‌)
2.73‌
2.71‌
–‌
(
1.59‌)
(
1.59‌)
25.86‌
2018
(g)
20.16‌
(
0.05‌)
5.22‌
5.17‌
–‌
(
0.59‌)
(
0.59‌)
24.74‌
Institutional
shares
2020
(b)
26.00‌
0
.05‌
1.42‌
1.47‌
(
0.09‌)
(
1.15‌)
(
1.24‌)
26.23‌
2019
24.81‌
0.09‌
2.69‌
2.78‌
–‌
(
1.59‌)
(
1.59‌)
26.00‌
2018
20.10‌
0.01‌
5.29‌
5.30‌
–‌
(
0.59‌)
(
0.59‌)
24.81‌
2017
17.00‌
0.10‌
3.17‌
3.27‌
(
0.08‌)
(
0.09‌)
(
0.17‌)
20.10‌
2016
15.63‌
0.05‌
1.70‌
1.75‌
(
0.07‌)
(
0.31‌)
(
0.38‌)
17.00‌
2015
15.14‌
0.10‌
0.86‌
0.96‌
(
0.09‌)
(
0
.38‌)
(
0.47‌)
15.63‌
R-3
shares
2020
(b)
25.59‌
(
0.02‌)
1.40‌
1.38‌
–‌
(
1.15‌)
(
1.15‌)
25.82‌
2019
24.55‌
(
0.07‌)
2.70‌
2.63‌
–‌
(
1.59‌)
(
1.59‌)
25.59‌
2018
20.00‌
(
0.10‌)
5.24‌
5.14‌
–‌
(
0.59‌)
(
0.59‌)
24.55‌
2017
16.96‌
0.21‌
2.95‌
3.16‌
(
0.03‌)
(
0.09‌)
(
0.12‌)
20.00‌
2016
(i)
15.64‌
(
0.01‌)
1.33‌
1.32‌
–‌
–‌
–‌
16.96‌
R-4
shares
2020
(b)
25.76‌
0.01‌
1.40‌
1.41‌
(
0.05‌)
(
1.15‌)
(
1.20‌)
25.97‌
2019
24.66‌
(
0.01‌)
2.70‌
2.69‌
–‌
(
1.59‌)
(
1.59‌)
25.76‌
2018
20.05‌
(
0.06‌)
5.26‌
5.20‌
–‌
(
0.59‌)
(
0.59‌)
24.66‌
2017
16.98‌
0.09‌
3.11‌
3.20‌
(
0.04‌)
(
0.09‌)
(
0.13‌)
20.05‌
2016
(i)
15.64‌
–‌
1.34‌
1.34‌
–‌
–‌
–‌
16.98‌
R-5
shares
2020
(b)
25.86‌
0.02‌
1.42‌
1.44‌
(
0.04‌)
(
1.15‌)
(
1.19‌)
26.11‌
2019
24.72‌
0.02‌
2.71‌
2.73‌
–‌
(
1.59‌)
(
1.59‌)
25.86‌
2018
20.07‌
(
0.03‌)
5.27‌
5.24‌
–‌
(
0.59‌)
(
0.59‌)
24.72‌
2017
16.99‌
0.18‌
3.04‌
3.22‌
(
0.05‌)
(
0.09‌)
(
0.14‌)
20.07‌
2016
(i)
15.64‌
0.01‌
1.34‌
1.35‌
–‌
–‌
–‌
16.99‌
R-6
shares
2020
(b)
26.04‌
0.06‌
1.43‌
1.49‌
(
0.11‌)
(
1.15‌)
(
1.26‌)
26.27‌
2019
24.82‌
0.07‌
2.74‌
2.81‌
–‌
(
1.59‌)
(
1.59‌)
26.04‌
2018
20.10‌
0.03‌
5.28‌
5.31‌
–‌
(
0.59‌)
(
0.59‌)
24.82‌
2017
(j)
17.03‌
0.23‌
2.84‌
3.07‌
–‌
–‌
–‌
20.10‌
See
accompanying
notes.
194
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
(unaudited)
Total
Return
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Gross
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
5.52‌
%
(c),(d)
$
94,098‌
0.86‌
%
(e)
0.97‌
%
(e),(f)
0.15‌
%
(e)
24.2‌
%
(e)
12.82‌
(d)
80,050‌
0.96‌
1.08‌
(f)
(0.06‌)
15.9‌
26.12‌
(c),(d)
59,232‌
1.01‌
(e)
1.04‌
(e),(f)
(0.21‌)
(e)
34.0‌
(e)
5.68‌
(c)
1,220,472‌
0.63‌
(e)
0.71‌
(e),(h)
0.40‌
(e)
24.2‌
(e)
13.09‌
725,718‌
0.67‌
0
.78‌
(h)
0.39‌
15.9‌
26.88‌
175,887‌
0.75‌
0.75‌
(h)
0.03‌
34.0‌
19
.42‌
63,268‌
0.69‌
0.69‌
(h)
0.57‌
27.1‌
11.39‌
1,257,265‌
0.69‌
0.69‌
(h)
0.33‌
36.4‌
6.46‌
1,226,210‌
0.71‌
0.71‌
(h)
0.61‌
26.2‌
5.42‌
(c)
6,441‌
1.13‌
(e)
1.21‌
(e),(h)
(0.14‌)
(e)
24.2‌
(e)
12.58‌
5,913‌
1.15‌
1.23‌
(h)
(0.32‌)
15.9‌
26.18‌
8,402‌
1.24‌
–‌
(0.45‌)
34.0‌
18.77‌
337‌
1.25‌
–‌
1.08‌
27.1‌
8.44‌
(c)
11‌
1.26‌
(e)
–‌
(0.13‌)
(e)
36.4‌
(e)
5.50‌
(c)
4,107‌
0.94‌
(e)
1.02‌
(e),(h)
0.08‌
(e)
24.2‌
(e)
12.78‌
3,989‌
0.96‌
1.04‌
(h)
(0.05‌)
15.9‌
26.42‌
1,300‌
1.05‌
–‌
(0.27‌)
34.0‌
19.02‌
27‌
1.06‌
–‌
0.51‌
27.1‌
8.57‌
(c)
11‌
1.07‌
(e)
–‌
0.05‌
(e)
36.4‌
(e)
5.58‌
(c)
7,172‌
0.82‌
(e)
0.90‌
(e),(h)
0.16‌
(e)
24.2‌
(e)
12.92‌
6,380‌
0.84‌
0.92‌
(h)
0.07‌
15.9‌
26.59‌
5,279‌
0.93‌
–‌
(0.15‌)
34.0‌
19.11‌
83‌
0.94‌
–‌
0.95‌
27.1‌
8.63‌
(c)
11‌
0.95‌
(e)
–‌
0.19‌
(e)
36.4‌
(e)
5.72‌
(c)
3,151,440‌
0.56‌
(e)
0.64‌
(e),(h)
0.45‌
(e)
24.2‌
(e)
13.22‌
3,052,936‌
0.58‌
0.66‌
(h)
0.29‌
15.9‌
26.93‌
2,709,836‌
0.67‌
0.67‌
(h)
0.12‌
34.0‌
18.03‌
(c)
1,582,450‌
0.68‌
(e)
0.69‌
(e),(h)
1.74‌
(e)
27.1‌
(e)
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
Six
months
ended
February
29,
2020.
(c)
Total
return
amounts
have
not
been
annualized.
(d)
Total
return
is
calculated
without
the contingent
deferred
sales
charge.
(e)
Computed
on
an
annualized
basis.
(f)
Excludes
expense
reimbursement
from
Manager
and/or
Distributor.
(g)
Period
from
September
11,
2017,
date operations
commenced,
through
August
31,
2018.
(h)
Excludes
expense
reimbursement
from
Manager.
(i)
Period
from
March
29,
2016,
date operations
commenced,
through
August
31,
2016.
(j)
Period
from
January
3,
2017,
date operations
commenced,
through
August
31,
2017.
See
accompanying
notes.
195
Financial
Highlights
Principal
Funds,
Inc.
(unaudited)
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
BOND
MARKET
INDEX
FUND
Class
J
shares
2020
(b)
$
11
.36‌
$
0
.10‌
$
0
.23‌
$
0
.33‌
(
$
0
.21‌
)
$
–‌
(
$
0
.21‌
)
$
11
.48‌
2019
10
.60‌
0
.23‌
0
.74‌
0
.97‌
(
0
.21‌
)
–‌
(
0
.21‌
)
11
.36‌
2018
11
.01‌
0
.20‌
(
0
.39‌
)
(
0
.19‌
)
(
0
.22‌
)
–‌
(
0
.22‌
)
10
.60‌
2017
11
.17‌
0
.17‌
(
0
.20‌
)
(
0
.03‌
)
(
0
.13‌
)
–‌
(
0
.13‌
)
11
.01‌
2016
10
.82‌
0
.13‌
0
.40‌
0
.53‌
(
0
.17‌
)
(
0
.01‌
)
(
0
.18‌
)
11
.17‌
2015
10
.94‌
0
.12‌
(
0
.06‌
)
0
.06‌
(
0
.16‌
)
(
0
.02‌
)
(
0
.18‌
)
10
.82‌
Institutional
shares
2020
(b)
11
.59‌
0
.14‌
0
.23‌
0
.37‌
(
0
.27‌
)
–‌
(
0
.27‌
)
11
.69‌
2019
10
.81‌
0
.29‌
0
.76‌
1
.05‌
(
0
.27‌
)
–‌
(
0
.27‌
)
11
.59‌
2018
11
.21‌
0
.25‌
(
0
.39‌
)
(
0
.14‌
)
(
0
.26‌
)
–‌
(
0
.26‌
)
10
.81‌
2017
11
.39‌
0
.21‌
(
0
.20‌
)
0
.01‌
(
0
.19‌
)
–‌
(
0
.19‌
)
11
.21‌
2016
11
.02‌
0
.20‌
0
.39‌
0
.59‌
(
0
.21‌
)
(
0
.01‌
)
(
0
.22‌
)
11
.39‌
2015
11
.01‌
0
.17‌
0
.08‌
0
.25‌
(
0
.22‌
)
(
0
.02‌
)
(
0
.24‌
)
11
.02‌
R-1
shares
2020
(b)
11
.36‌
0
.09‌
0
.22‌
0
.31‌
(
0
.13‌
)
–‌
(
0
.13‌
)
11
.54‌
2019
10
.58‌
0
.19‌
0
.75‌
0
.94‌
(
0
.16‌
)
–‌
(
0
.16‌
)
11
.36‌
2018
10
.97‌
0
.15‌
(
0
.38‌
)
(
0
.23‌
)
(
0
.16‌
)
–‌
(
0
.16‌
)
10
.58‌
2017
11
.16‌
0
.12‌
(
0
.20‌
)
(
0
.08‌
)
(
0
.11‌
)
–‌
(
0
.11‌
)
10
.97‌
2016
10
.80‌
0
.10‌
0
.39‌
0
.49‌
(
0
.12‌
)
(
0
.01‌
)
(
0
.13‌
)
11
.16‌
2015
10
.93‌
0
.08‌
(
0
.05‌
)
0
.03‌
(
0
.14‌
)
(
0
.02‌
)
(
0
.16‌
)
10
.80‌
R-2
shares
2020
(b)
11
.37‌
0
.09‌
0
.23‌
0
.32‌
(
0
.20‌
)
–‌
(
0
.20‌
)
11
.49‌
2019
10
.61‌
0
.20‌
0
.76‌
0
.96‌
(
0
.20‌
)
–‌
(
0
.20‌
)
11
.37‌
2018
11
.00‌
0
.17‌
(
0
.39‌
)
(
0
.22‌
)
(
0
.17‌
)
–‌
(
0
.17‌
)
10
.61‌
2017
11
.18‌
0
.13‌
(
0
.20‌
)
(
0
.07‌
)
(
0
.11‌
)
–‌
(
0
.11‌
)
11
.00‌
2016
10
.80‌
0
.11‌
0
.39‌
0
.50‌
(
0
.11‌
)
(
0
.01‌
)
(
0
.12‌
)
11
.18‌
2015
10
.92‌
0
.09‌
(
0
.06‌
)
0
.03‌
(
0
.13‌
)
(
0
.02‌
)
(
0
.15‌
)
10
.80‌
R-3
shares
2020
(b)
11
.35‌
0
.10‌
0
.22‌
0
.32‌
(
0
.20‌
)
–‌
(
0
.20‌
)
11
.47‌
2019
10
.57‌
0
.22‌
0
.76‌
0
.98‌
(
0
.20‌
)
–‌
(
0
.20‌
)
11
.35‌
2018
10
.97‌
0
.19‌
(
0
.39‌
)
(
0
.20‌
)
(
0
.20‌
)
–‌
(
0
.20‌
)
10
.57‌
2017
11
.16‌
0
.15‌
(
0
.20‌
)
(
0
.05‌
)
(
0
.14‌
)
–‌
(
0
.14‌
)
10
.97‌
2016
10
.79‌
0
.13‌
0
.40‌
0
.53‌
(
0
.15‌
)
(
0
.01‌
)
(
0
.16‌
)
11
.16‌
2015
10
.92‌
0
.11‌
(
0
.06‌
)
0
.05‌
(
0
.16‌
)
(
0
.02‌
)
(
0
.18‌
)
10
.79‌
R-4
shares
2020
(b)
11
.39‌
0
.12‌
0
.22‌
0
.34‌
(
0
.16‌
)
–‌
(
0
.16‌
)
11
.57‌
2019
10
.60‌
0
.24‌
0
.78‌
1
.02‌
(
0
.23‌
)
–‌
(
0
.23‌
)
11
.39‌
2018
11
.00‌
0
.21‌
(
0
.39‌
)
(
0
.18‌
)
(
0
.22‌
)
–‌
(
0
.22‌
)
10
.60‌
2017
11
.18‌
0
.17‌
(
0
.20‌
)
(
0
.03‌
)
(
0
.15‌
)
–‌
(
0
.15‌
)
11
.00‌
2016
10
.84‌
0
.15‌
0
.39‌
0
.54‌
(
0
.19‌
)
(
0
.01‌
)
(
0
.20‌
)
11
.18‌
2015
10
.95‌
0
.14‌
(
0
.06‌
)
0
.08‌
(
0
.17‌
)
(
0
.02‌
)
(
0
.19‌
)
10
.84‌
R-5
shares
2020
(b)
11
.42‌
0
.12‌
0
.23‌
0
.35‌
(
0
.24‌
)
–‌
(
0
.24‌
)
11
.53‌
2019
10
.65‌
0
.26‌
0
.75‌
1
.01‌
(
0
.24‌
)
–‌
(
0
.24‌
)
11
.42‌
2018
11
.05‌
0
.22‌
(
0
.39‌
)
(
0
.17‌
)
(
0
.23‌
)
–‌
(
0
.23‌
)
10
.65‌
2017
11
.23‌
0
.18‌
(
0
.19‌
)
(
0
.01‌
)
(
0
.17‌
)
–‌
(
0
.17‌
)
11
.05‌
2016
10
.85‌
0
.16‌
0
.41‌
0
.57‌
(
0
.18‌
)
(
0
.01‌
)
(
0
.19‌
)
11
.23‌
2015
10
.97‌
0
.15‌
(
0
.07‌
)
0
.08‌
(
0
.18‌
)
(
0
.02‌
)
(
0
.20‌
)
10
.85‌
See
accompanying
notes.
196
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
(unaudited)
Total
Return
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Gross
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
2
.97‌
%
(c)
,(d)
$
35,496‌
0
.71‌
%
(e)
0
.76‌
%
(e)
,(f)
1
.87‌
%
(e)
76
.9‌
%
(e)
9
.38‌
(d)
29,025‌
0
.71‌
0
.91‌
(f)
2
.10‌
107
.7‌
(
1
.79‌
)
(d)
27,466‌
0
.62‌
0
.75‌
(f)
1
.86‌
102
.7‌
(
0
.20‌
)
(d)
30,315‌
0
.64‌
0
.70‌
(f)
1
.53‌
117
.8‌
4
.98‌
(d)
33,765‌
0
.76‌
0
.83‌
(f)
1
.23‌
151
.8‌
0
.60‌
(d)
25,430‌
0
.71‌
0
.78‌
(f)
1
.13‌
319
.5‌
3
.29‌
(c)
2,522,831‌
0
.14‌
(e)
0
.15‌
(e)
,(g)
2
.43‌
(e)
76
.9‌
(e)
9
.92‌
2,056,135‌
0
.16‌
0
.24‌
(g)
2
.65‌
107
.7‌
(
1
.29‌
)
1,472,817‌
0
.16‌
0
.26‌
(g)
2
.32‌
102
.7‌
0
.19‌
1,795,872‌
0
.23‌
0
.26‌
(g)
1
.94‌
117
.8‌
5
.52‌
1,648,408‌
0
.23‌
0
.26‌
(g)
1
.75‌
151
.8‌
2
.26‌
(h)
1,154,916‌
0
.23‌
0
.26‌
(g)
1
.55‌
319
.5‌
2
.77‌
(c)
855‌
1
.02‌
(e)
1
.03‌
(e)
,(g)
1
.56‌
(e)
76
.9‌
(e)
8
.99‌
1,169‌
1
.04‌
1
.12‌
(g)
1
.78‌
107
.7‌
(
2
.10‌
)
1,391‌
1
.04‌
1
.14‌
(g)
1
.44‌
102
.7‌
(
0
.70‌
)
2,158‌
1
.11‌
1
.14‌
(g)
1
.07‌
117
.8‌
4
.60‌
1,913‌
1
.11‌
1
.14‌
(g)
0
.88‌
151
.8‌
0
.25‌
1,436‌
1
.11‌
1
.15‌
(g)
0
.73‌
319
.5‌
2
.86‌
(c)
4,443‌
0
.89‌
(e)
0
.90‌
(e)
,(g)
1
.69‌
(e)
76
.9‌
(e)
9
.18‌
3,546‌
0
.91‌
0
.98‌
(g)
1
.91‌
107
.7‌
(
2
.03‌
)
2,151‌
0
.91‌
1
.01‌
(g)
1
.58‌
102
.7‌
(
0
.59‌
)
2,936‌
0
.98‌
1
.01‌
(g)
1
.19‌
117
.8‌
4
.76‌
2,940‌
0
.98‌
1
.01‌
(g)
1
.01‌
151
.8‌
0
.32‌
3,334‌
0
.98‌
1
.02‌
(g)
0
.85‌
319
.5‌
2
.88‌
(c)
12,530‌
0
.71‌
(e)
0
.72‌
(e)
,(g)
1
.87‌
(e)
76
.9‌
(e)
9
.41‌
11,337‌
0
.73‌
0
.81‌
(g)
2
.09‌
107
.7‌
(
1
.87‌
)
13,934‌
0
.73‌
0
.83‌
(g)
1
.75‌
102
.7‌
(
0
.42‌
)
17,123‌
0
.80‌
0
.83‌
(g)
1
.38‌
117
.8‌
5
.00‌
16,998‌
0
.80‌
0
.83‌
(g)
1
.19‌
151
.8‌
0
.47‌
14,851‌
0
.80‌
0
.84‌
(g)
1
.04‌
319
.5‌
3
.08‌
(c)
5,650‌
0
.52‌
(e)
0
.53‌
(e)
,(g)
2
.05‌
(e)
76
.9‌
(e)
9
.82‌
5,521‌
0
.54‌
0
.63‌
(g)
2
.29‌
107
.7‌
(
1
.67‌
)
44,422‌
0
.54‌
0
.64‌
(g)
1
.95‌
102
.7‌
(
0
.18‌
)
42,411‌
0
.61‌
0
.64‌
(g)
1
.57‌
117
.8‌
5
.10‌
36,951‌
0
.61‌
0
.64‌
(g)
1
.38‌
151
.8‌
0
.79‌
24,500‌
0
.61‌
0
.65‌
(g)
1
.25‌
319
.5‌
3
.14‌
(c)
17,803‌
0
.40‌
(e)
0
.41‌
(e)
,(g)
2
.18‌
(e)
76
.9‌
(e)
9
.67‌
16,552‌
0
.42‌
0
.50‌
(g)
2
.40‌
107
.7‌
(
1
.56‌
)
18,775‌
0
.42‌
0
.52‌
(g)
2
.05‌
102
.7‌
(
0
.06‌
)
26,153‌
0
.49‌
0
.52‌
(g)
1
.67‌
117
.8‌
5
.24‌
(i)
31,929‌
0
.49‌
0
.52‌
(g)
1
.50‌
151
.8‌
0
.87‌
(i)
28,385‌
0
.49‌
0
.53‌
(g)
1
.34‌
319
.5‌
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
Six
months
ended
February
29,
2020.
(c)
Total
return
amounts
have
not
been
annualized.
(d)
Total
return
is
calculated
without
the contingent
deferred
sales
charge.
(e)
Computed
on
an
annualized
basis.
(f)
Excludes
expense
reimbursement
from
Manager
and/or
Distributor.
(g)
Excludes
expense
reimbursement
from
Manager.
(h)
During
2014,
the
Class
experienced
a
significant
withdrawal
of
monies
by
an
affiliate.
As
the
remaining
shareholders
held
relatively
small
positions,
the
total
return
amounts
expressed
herein
are
greater
than
those
that
would
have
been
experienced
without
the
withdrawal.
(i)
Total
return
is
calculated
using
the
traded
net
asset
value
which
may
differ
from
the
reported
net
asset
value.
The
traded
net
asset
value
is
the
net
asset
value
which
a
shareholder
would
have
paid
or
received
from
a
subscription
or
redemption.
See
accompanying
notes.
197
Financial
Highlights
Principal
Funds,
Inc.
(unaudited)
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
DIVERSIFIED
REAL
ASSET
FUND
Institutional
shares
2020
(b)
$
11.25‌
$
0.12‌
(
$
0.15‌)
(
$
0.03‌)
(
$
0.28‌)
$
–‌
(
$
0.28‌)
$
10.94‌
2019
11.74‌
0.31‌
(
0.44‌)
(
0.13‌)
(
0.36‌)
–‌
(
0.36‌)
11.25‌
2018
11.57‌
0.29‌
0.14‌
0.43‌
(
0.26‌)
–‌
(
0.26‌)
11.74‌
2017
11.08‌
0.23‌
0.54‌
0.77‌
(
0.28‌)
–‌
(
0.28‌)
11.57‌
2016
11.25‌
0.22‌
(
0.29‌)
(
0.07‌)
(
0.10‌)
–‌
(
0.10‌)
11.08‌
2015
13.21‌
0.19‌
(
1.89‌)
(
1.70‌)
(
0.13‌)
(
0.13‌)
(
0.26‌)
11.25‌
R-3
shares
2020
(b)
11.20‌
0.09‌
(
0.16‌)
(
0.07‌)
(
0.23‌)
–‌
(
0.23‌)
10.90‌
2019
11.69‌
0.25‌
(
0.43‌)
(
0.18‌)
(
0.31‌)
–‌
(
0.31‌)
11.20‌
2018
11.53‌
0.23‌
0.13‌
0.36‌
(
0.20‌)
–‌
(
0.20‌)
11.69‌
2017
11.06‌
0.19‌
0.52‌
0.71‌
(
0.24‌)
–‌
(
0.24‌)
11.53‌
2016
(f)
10.45‌
0.10‌
0.51‌
0.61‌
–‌
–‌
–‌
11.06‌
R-4
shares
2020
(b)
11.23‌
0.10‌
(
0.16‌)
(
0.06‌)
(
0.24‌)
–‌
(
0.24‌)
10.93‌
2019
11.72‌
0.26‌
(
0.42‌)
(
0.16‌)
(
0.33‌)
–‌
(
0.33‌)
11.23‌
2018
11.54‌
0.25‌
0.15‌
0.40‌
(
0.22‌)
–‌
(
0.22‌)
11.72‌
2017
11.07‌
0.20‌
0.53‌
0.73‌
(
0.26‌)
–‌
(
0.26‌)
11.54‌
2016
(f)
10.45‌
0.10‌
0.52‌
0.62‌
–‌
–‌
–‌
11.07‌
R-5
shares
2020
(b)
11.23‌
0.11‌
(
0.16‌)
(
0.05‌)
(
0.26‌)
–‌
(
0.26‌)
10.92‌
2019
11.73‌
0.30‌
(
0.44‌)
(
0.14‌)
(
0.36‌)
–‌
(
0.36‌)
11.23‌
2018
11.56‌
0.27‌
0.14‌
0.41‌
(
0.24‌)
–‌
(
0.24‌)
11.73‌
2017
11.08‌
0.21‌
0.54‌
0.75‌
(
0.27‌)
–‌
(
0.27‌)
11.56‌
2016
(f)
10.45‌
0.11‌
0.52‌
0.63‌
–‌
–‌
–‌
11.08‌
R-6
shares
2020
(b)
11.26‌
0.12‌
(
0.17‌)
(
0.05‌)
(
0.28‌)
–‌
(
0.28‌)
10.93‌
2019
11.74‌
0.32‌
(
0.43‌)
(
0.11‌)
(
0.37‌)
–‌
(
0.37‌)
11.26‌
2018
11.57‌
0.29‌
0.14‌
0.43‌
(
0.26‌)
–‌
(
0.26‌)
11.74‌
2017
11.08‌
0.27‌
0.50‌
0.77‌
(
0.28‌)
–‌
(
0.28‌)
11.57‌
2016
11.25‌
0.26‌
(
0.32‌)
(
0.06‌)
(
0.11‌)
–‌
(
0.11‌)
11.08‌
2015
(h)
12.07‌
0.17‌
(
0.99‌)
(
0.82‌)
–‌
–‌
–‌
11.25‌
EDGE
MIDCAP
FUND
Institutional
shares
2020
(b)
14.42‌
0.07‌
(
0.30‌)
(
0.23‌)
(
0.12‌)
(
0.50‌)
(
0.62‌)
13.57‌
2019
14.99‌
0.11‌
0.09‌
0.20‌
(
0.15‌)
(
0.62‌)
(
0.77‌)
14.42‌
2018
12.60‌
0.16‌
2.42‌
2.58‌
–‌
(
0.19‌)
(
0.19‌)
14.99‌
2017
12.24‌
0.12‌
0.78‌
0.90‌
(
0.10‌)
(
0.44‌)
(
0.54‌)
12.60‌
2016
(
i
)
10.00‌
0.11‌
2.17‌
2.28‌
(
0.03‌)
(
0.01‌)
(
0.04‌)
12.24‌
R-6
shares
2020
(b)
14.46‌
0.08‌
(
0.30‌)
(
0.22‌)
(
0.13‌)
(
0.50‌)
(
0.63‌)
13.61‌
2019
15.03‌
0.13‌
0.09‌
0.22‌
(
0.17‌)
(
0.62‌)
(
0.79‌)
14.46‌
2018
12.68‌
0.16‌
2.44‌
2.60‌
(
0.06‌)
(
0.19‌)
(
0.25‌)
15.03‌
2017
(j)
12.12‌
0.09‌
0.47‌
0.56‌
–‌
–‌
–‌
12.68‌
See
accompanying
notes.
198
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
(unaudited)
Total
Return
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Gross
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
(0.46‌)
%
(c)
$
2,299,408‌
0.85‌
%
(d)
0.92‌
%
(d),(e)
2.09‌
%
(d)
81.4‌
%
(d)
(0.83‌)
2,388,382‌
0.85‌
0.95‌
(e)
2.74‌
71.5‌
3.72‌
2,518,033‌
0.85‌
0.95‌
(e)
2.45‌
84.1‌
7.16‌
2,591,713‌
0.88‌
0.92‌
(e)
2.08‌
65.1‌
(0.53‌)
3,294,419‌
0.87‌
0.87‌
(e)
2.02‌
77.6‌
(12.98‌)
3,141,543‌
0.87‌
–‌
1.53‌
66.4‌
(0.76‌)
(c)
147‌
1.36‌
(d)
1.39‌
(d),(e)
1.49‌
(d)
81.4‌
(d)
(1.27‌)
113‌
1.36‌
1.39‌
(e)
2.22‌
71.5‌
3.15‌
81‌
1.35‌
1.38‌
(e)
1.99‌
84.1‌
6.60‌
17‌
1.38‌
–‌
1.71‌
65.1‌
5.84‌
(c)
11‌
1.39‌
(d)
–‌
2.08‌
(d)
77.6‌
(d)
(0.68‌)
(c)
11‌
1.17‌
(d)
1.20‌
(d),(e)
1.74‌
(d)
81.4‌
(d)
(1.13‌)
12‌
1.17‌
1.20‌
(e)
2.36‌
71.5‌
3.41‌
(g)
15‌
1.16‌
1.19‌
(e)
2.17‌
84.1‌
6.82‌
(g)
11‌
1.19‌
–‌
1.76‌
65.1‌
5.93‌
(c)
11‌
1.20‌
(d)
–‌
2.25‌
(d)
77.6‌
(d)
(0.63‌)
(c)
59‌
1.05‌
(d)
1.08‌
(d),(e)
1.86‌
(d)
81.4‌
(d)
(0.92‌)
74‌
1.05‌
1.08‌
(e)
2.71‌
71.5‌
3.53‌
12‌
1.04‌
1.07‌
(e)
2.35‌
84.1‌
6.93‌
11‌
1.07‌
–‌
1.90‌
65.1‌
6.03‌
(c)
11‌
1.08‌
(d)
–‌
2.39‌
(d)
77.6‌
(d)
(0.59‌)
(c)
1,329,379‌
0.79‌
(d)
0.83‌
(d),(e)
2.13‌
(d)
81.4‌
(d)
(0.68‌)
1,330,773‌
0.79‌
0.84‌
(e)
2.82‌
71.5‌
3.78‌
1,523,846‌
0.79‌
0.82‌
(e)
2.50‌
84.1‌
7.17‌
1,568,988‌
0.83‌
0.83‌
(e)
2.42‌
65.1‌
(0.50‌)
29,601‌
0.88‌
0.98‌
(e)
2.43‌
77.6‌
(6.79‌)
(c)
810‌
0.88‌
(d)
25.58‌
(d),(e)
2.21‌
(d)
66.4‌
(d)
(2.12‌)
(c)
42,478‌
0.77‌
(d)
0.89‌
(d),(e)
0.93‌
(d)
18.6‌
(d)
2.47‌
34,358‌
0.82‌
0.96‌
(e)
0.81‌
19.8‌
20.58‌
14,470‌
0.90‌
1.14‌
(e)
1.17‌
17.4‌
7.51‌
1,289‌
0.78‌
0.78‌
(e)
1.00‌
11.9‌
22.89‌
(c)
292,615‌
0.79‌
(d)
0.79‌
(d),(e)
1.04‌
(d)
22.4‌
(d)
(2.03‌)
(c)
610,587‌
0.65‌
(d)
0.74‌
(d),(e)
1.04‌
(d)
18.6‌
(d)
2.56‌
653,991‌
0.71‌
0.76‌
(e)
0.90‌
19.8‌
20.69‌
657,980‌
0.76‌
0.76‌
(e)
1.15‌
17.4‌
4.62‌
(c)
286,832‌
0.77‌
(d)
0.81‌
(d),(e)
1.06‌
(d)
11.9‌
(d)
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
Six
months
ended
February
29,
2020.
(c)
Total
return
amounts
have
not
been
annualized.
(d)
Computed
on
an
annualized
basis.
(e)
Excludes
expense
reimbursement
from
Manager.
(f)
Period
from
March
29,
2016,
date operations
commenced,
through
August
31,
2016.
(g)
Total
return
is
calculated
using
the
traded
net
asset
value
which
may
differ
from
the
reported
net
asset
value.
The
traded
net
asset
value
is
the
net
asset
value
which
a
shareholder
would
have
paid
or
received
from
a
subscription
or
redemption.
(h)
Period
from
December
31,
2014,
date operations
commenced,
through
August
31,
2015.
(i)
Period
from
September
28,
2015,
date operations
commenced,
through
August
31,
2016.
(j)
Period
from
January
3,
2017,
date operations
commenced,
through
August
31,
2017.
See
accompanying
notes.
199
Financial
Highlights
Principal
Funds,
Inc.
(unaudited)
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Tax
Return
of
Capital
Distribution
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
GLOBAL
MULTI-STRATEGY
FUND
Institutional
shares
2020
(b)
$
10
.76‌
$
0
.12‌
(
$
0
.10‌
)
$
0
.02‌
$
–‌
$
–‌
$
–‌
$
–‌
$
10
.78‌
2019
11
.21‌
0
.23‌
(
0
.02‌
)
0
.21‌
(
0
.16‌
)
(
0
.47‌
)
(
0
.03‌
)
(
0
.66‌
)
10
.76‌
2018
11
.39‌
0
.15‌
–‌
0
.15‌
(
0
.09‌
)
(
0
.24‌
)
–‌
(
0
.33‌
)
11
.21‌
2017
10
.86‌
0
.11‌
0
.44‌
0
.55‌
(
0
.02‌
)
–‌
–‌
(
0
.02‌
)
11
.39‌
2016
10
.99‌
0
.05‌
0
.14‌
0
.19‌
(
0
.09‌
)
(
0
.23‌
)
–‌
(
0
.32‌
)
10
.86‌
2015
11
.14‌
(
0
.03‌
)
0
.15‌
0
.12‌
(
0
.10‌
)
(
0
.17‌
)
–‌
(
0
.27‌
)
10
.99‌
R-6
shares
2020
(b)
10
.75‌
0
.18‌
(
0
.16‌
)
0
.02‌
–‌
–‌
–‌
–‌
10
.77‌
2019
11
.21‌
0
.23‌
(
0
.02‌
)
0
.21‌
(
0
.17‌
)
(
0
.47‌
)
(
0
.03‌
)
(
0
.67‌
)
10
.75‌
2018
11
.39‌
0
.16‌
(
0
.01‌
)
0
.15‌
(
0
.09‌
)
(
0
.24‌
)
–‌
(
0
.33‌
)
11
.21‌
2017
(i)
11
.28‌
0
.04‌
0
.07‌
0
.11‌
–‌
–‌
–‌
–‌
11
.39‌
See
accompanying
notes.
200
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
(unaudited)
Total
Return
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Expenses
to
Average
Net
Assets
(Excluding
Dividends
and
Interest
Expense
on
Short
Sales,
Short
Sale
Fees
and
Reverse
Repurchase
Agreement
Expense)
Ratio
of
Gross
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
0
.19‌
%
(c)
$
660,759‌
3
.69‌
%
(d)
,(e)
1
.64‌
%
(d)
,(e)
,(f)
3
.83‌
%
(d)
,(g)
2
.27‌
%
(d)
433
.1‌
%
(d)
2
.24‌
453,013‌
2
.99‌
(e)
1
.64‌
(e)
,(f)
3
.06‌
(g)
2
.11‌
387
.8‌
1
.29‌
749,738‌
2
.16‌
1
.63‌
(f)
2
.22‌
(g)
1
.35‌
378
.0‌
5
.04‌
1,156,731‌
2
.18‌
1
.60‌
(f)
2
.21‌
(g)
1
.03‌
317
.6‌
1
.80‌
2,265,206‌
2
.08‌
1
.61‌
(f)
2
.08‌
(g)
0
.46‌
233
.9‌
1
.16‌
2,678,876‌
2
.07‌
1
.63‌
(f)
2
.07‌
(g)
(
0
.23‌
)
142
.5‌
0
.19‌
(c)
188,643‌
3
.63‌
(d)
,(e)
1
.58‌
(d)
,(e)
,(f)
3
.73‌
(d)
,(g)
3
.30‌
(d)
433
.1‌
(d)
2
.28‌
818,258‌
2
.91‌
(e)
1
.56‌
(e)
,(f)
2
.97‌
(g)
2
.19‌
387
.8‌
1
.25‌
(h)
1,780,595‌
2
.08‌
1
.55‌
(f)
2
.14‌
(g)
1
.43‌
378
.0‌
1
.06‌
(c)
,(h)
1,532,177‌
2
.10‌
(d)
1
.54‌
(d)
,(f)
2
.15‌
(d)
,(g)
1
.51‌
(d)
317
.6‌
(d)
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
Six
months
ended
February
29,
2020.
(c)
Total
return
amounts
have
not
been
annualized.
(d)
Computed
on
an
annualized
basis.
(e)
Includes
0.01%
of
expenses
associated
with
fund
investments.
The
expense
is
not
subject
to
the
Manager's
contractual
expense
limit.
(f)
Excludes
dividends
and
interest
expense
on
short
sales
and
short
sale
fees.
See
"Operating
Policies"
in
notes
to
financial
statements.
(g)
Excludes
expense
reimbursement
from
Manager.
(h)
Total
return
is
calculated
using
the
traded
net
asset
value
which
may
differ
from
the
reported
net
asset
value.
The
traded
net
asset
value
is
the
net
asset
value
which
a
shareholder
would
have
paid
or
received
from
a
subscription
or
redemption.
(i)
Period
from
June
12,
2017,
date operations
commenced,
through
August
31,
2017.
See
accompanying
notes.
201
Financial
Highlights
Principal
Funds,
Inc.
(unaudited)
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
INTERNATIONAL
EQUITY
INDEX
FUND
Institutional
shares
2020
(b)
$
9.83‌
$
0.08‌
(
$
0.06‌)
$
0.02‌
(
$
0.32‌)
(
$
0.03‌)
(
$
0.35‌)
$
9.50‌
2019
10.57‌
0.30‌
(
0.69‌)
(
0.39‌)
(
0.26‌)
(
0.09‌)
(
0.35‌)
9.83‌
2018
10.55‌
0.28‌
0.12‌
0.40‌
(
0.30‌)
(
0.08‌)
(
0.38‌)
10.57‌
2017
9.24‌
0.27‌
1.29‌
1.56‌
(
0.25‌)
–‌
(
0.25‌)
10.55‌
2016
9.58‌
0.26‌
(
0.26‌)
–‌
(
0.23‌)
(
0.11‌)
(
0.34‌)
9.24‌
2015
10.70‌
0.25‌
(
1.09‌)
(
0.84‌)
(
0.26‌)
(
0.02‌)
(
0.28‌)
9.58‌
R-1
shares
2020
(b)
9.50‌
0.04‌
(
0.07‌)
(
0.03‌)
(
0.21‌)
(
0.03‌)
(
0.24‌)
9.23‌
2019
10.20‌
0.20‌
(
0.65‌)
(
0.45‌)
(
0.16‌)
(
0.09‌)
(
0.25‌)
9.50‌
2018
10.20‌
0.18‌
0.11‌
0.29‌
(
0.21‌)
(
0.08‌)
(
0.29‌)
10.20‌
2017
8.93‌
0.18‌
1.26‌
1.44‌
(
0.17‌)
–‌
(
0.17‌)
10.20‌
2016
9.28‌
0.17‌
(
0.25‌)
(
0.08‌)
(
0.16‌)
(
0.11‌)
(
0.27‌)
8.93‌
2015
10.40‌
0.18‌
(
1.08‌)
(
0.90‌)
(
0.20‌)
(
0.02‌)
(
0.22‌)
9.28‌
R-2
shares
2020
(b)
9.79‌
0.05‌
(
0.07‌)
(
0.02‌)
(
0
.21‌)
(
0.03‌)
(
0.24‌)
9.53‌
2019
10.51‌
0.22‌
(
0.68‌)
(
0.46‌)
(
0.17‌)
(
0.09‌)
(
0.26‌)
9.79‌
2018
10.49‌
0
.21‌
0.11‌
0.32‌
(
0.22‌)
(
0.08‌)
(
0.30‌)
10.51‌
2017
9.18‌
0.19‌
1.30‌
1.49‌
(
0.18‌)
–‌
(
0.18‌)
10.49‌
2016
9
.52‌
0.19‌
(
0.26‌)
(
0.07‌)
(
0.16‌)
(
0.11‌)
(
0.27‌)
9.18‌
2015
10.63‌
0.16‌
(
1.07‌)
(
0.91‌)
(
0.18‌)
(
0.02‌)
(
0.20‌)
9.52‌
R-3
shares
2020
(b)
9.64‌
0.05‌
(
0.05‌)
–‌
(
0.27‌)
(
0.03‌)
(
0.30‌)
9.34‌
2019
10.35‌
0.23‌
(
0.65‌)
(
0.42‌)
(
0.20‌)
(
0.09‌)
(
0
.29‌)
9.64‌
2018
10.35‌
0.22‌
0.10‌
0.32‌
(
0.24‌)
(
0.08‌)
(
0.32‌)
10.35‌
2017
9.07‌
0.20‌
1.28‌
1.48‌
(
0.20‌)
–‌
(
0.20‌)
10.35‌
2016
9.40‌
0.20‌
(
0.25‌)
(
0.05‌)
(
0.17‌)
(
0.11‌)
(
0.28‌)
9.07‌
2015
10.51‌
0.20‌
(
1.08‌)
(
0
.88‌)
(
0.21‌)
(
0.02‌)
(
0.23‌)
9.40‌
R-4
shares
2020
(b)
9.75‌
0.06‌
(
0.05‌)
0.01‌
(
0.29‌)
(
0.03‌)
(
0.32‌)
9.44‌
2019
10.48‌
0.25‌
(
0.67‌)
(
0.42‌)
(
0.22‌)
(
0.09‌)
(
0.31‌)
9.75‌
2018
10.46‌
0.24‌
0.12‌
0.36‌
(
0.26‌)
(
0.08‌)
(
0.34‌)
10.48‌
2017
9.17‌
0.20‌
1.31‌
1.51‌
(
0.22‌)
–‌
(
0.22‌)
10.46‌
2016
9.50‌
0.21‌
(
0.24‌)
(
0.03‌)
(
0.19‌)
(
0.11‌)
(
0.30‌)
9.17‌
2015
10.62‌
0.21‌
(
1.09‌)
(
0.88‌)
(
0.22‌)
(
0.02‌)
(
0.24‌)
9.50‌
R-5
shares
2020
(b)
9.78‌
0.07‌
(
0.06‌)
0.01‌
(
0.30‌)
(
0.03‌)
(
0.33‌)
9.46‌
2019
10.50‌
0.27‌
(
0.67‌)
(
0.40‌)
(
0.23‌)
(
0.09‌)
(
0.32‌)
9.78‌
2018
10.49‌
0.24‌
0.12‌
0.36‌
(
0.27‌)
(
0.08‌)
(
0.35‌)
10.50‌
2017
9.18‌
0.23‌
1.31‌
1.54‌
(
0.23‌)
–‌
(
0.23‌)
10.49‌
2016
9.52‌
0.22‌
(
0.25‌)
(
0.03‌)
(
0.20‌)
(
0.11‌)
(
0.31‌)
9.18‌
2015
10.64‌
0.23‌
(
1.10‌)
(
0.87‌)
(
0.23‌)
(
0.02‌)
(
0.25‌)
9.52‌
R-6
shares
2020
(b)
9.83‌
0.08‌
(
0.05‌)
0.03‌
(
0.32‌)
(
0.03‌)
(
0.35‌)
9.51‌
2019
10.57‌
0.30‌
(
0.69‌)
(
0.39‌)
(
0.26‌)
(
0.09‌)
(
0.35‌)
9.83‌
2018
10.54‌
0.29‌
0.12‌
0.41‌
(
0.30‌)
(
0.08‌)
(
0.38‌)
10.57‌
2017
(g)
9.01‌
0.14‌
1.39‌
1.53‌
–‌
–‌
–‌
10.54‌
See
accompanying
notes.
202
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
(unaudited)
Total
Return
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Gross
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
(0.12‌)
%
(c)
$
38,549‌
0.31‌
%
(d)
0.45‌
%
(d),(e)
1.58‌
%
(d)
21.0‌
%
(d)
(3.33‌)
50,221‌
0.31‌
0.44‌
(e)
3.09‌
23.4‌
3.69‌
46,042‌
0.34‌
0.39‌
(e)
2.54‌
27.2‌
17.42‌
67,784‌
0.32‌
0.32‌
(e)
2.83‌
24.7‌
(0.02‌)
831,719‌
0.34‌
0.34‌
(e)
2.83‌
31.3‌
(7.90‌)
736,329‌
0.32‌
0.32‌
(e)
2.51‌
35.6‌
(0.53‌)
(c)
454‌
1.20‌
(d)
–‌
0
.75‌
(d)
21.0‌
(d)
(4.19‌)
588‌
1.20‌
–‌
2.09‌
23.4‌
2.78‌
722‌
1.19‌
–‌
1.71‌
27.2‌
16.43‌
1,000‌
1.19‌
–‌
1.93‌
24.7‌
(0
.90‌)
586‌
1.21‌
–‌
1.93‌
31.3‌
(8.68‌)
696‌
1.19‌
1.19‌
(e)
1.84‌
35.6‌
(0.42‌)
(c)
537‌
1.07‌
(d)
–‌
0.96‌
(d)
21.0‌
(d)
(4.09‌)
745‌
1.07‌
–‌
2.28‌
23.4‌
2.90‌
(f)
907‌
1.06‌
–‌
1.94‌
27.2‌
16.66‌
(f)
874‌
1.06‌
–‌
1.96‌
24.7‌
(0.75‌)
903‌
1.08‌
–‌
2.12‌
31.3‌
(8.58‌)
754‌
1.06‌
1.06‌
(e)
1
.60‌
35.6‌
(0.33‌)
(c)
16,037‌
0.89‌
(d)
–‌
1.01‌
(d)
21.0‌
(d)
(3.82‌)
16,499‌
0.89‌
–‌
2.41‌
23.4‌
3.03‌
17,816‌
0.88‌
–‌
2.04‌
27.2‌
16.77‌
18,585‌
0.88‌
–‌
2.14‌
24.7‌
(0.49‌)
15,789‌
0.90‌
–‌
2.26‌
31.3‌
(8.45‌)
15,450‌
0.88‌
0.88‌
(e)
1.99‌
35.6‌
(0.26‌)
(c)
7,939‌
0.70‌
(d)
–‌
1.18‌
(d)
21.0‌
(d)
(3.72‌)
7,466‌
0.70‌
–‌
2.51‌
23.4‌
3.37‌
11,977‌
0.69‌
–‌
2.22‌
27.2‌
16.93‌
13,372‌
0.69‌
–‌
2.14‌
24.7‌
(0.30‌)
11,997‌
0.71‌
–‌
2.32‌
31.3‌
(8.32‌)
11,862‌
0.69‌
0.69‌
(e)
2.11‌
35.6‌
(0.25‌)
(c)
16,875‌
0.58‌
(d)
–‌
1.31‌
(d)
21.0‌
(d)
(3.50‌)
16,948‌
0.58‌
–‌
2.80‌
23.4‌
3.38‌
18,479‌
0.57‌
–‌
2.26‌
27.2‌
17.23‌
29,429‌
0.57‌
–‌
2.35‌
24.7‌
(0.30‌)
29,179‌
0.59‌
–‌
2.49‌
31.3‌
(8.18‌)
33,729‌
0.57‌
0.57‌
(e)
2.23‌
35.6‌
(0.11‌)
(c),(f)
971,430‌
0.29‌
(d)
0.32‌
(d),(e)
1.61‌
(d)
21.0‌
(d)
(3.23‌)
(f)
1,003,550‌
0.28‌
0.33‌
(e)
3.04‌
23.4‌
3.80‌
997,061‌
0.27‌
0.32‌
(e)
2.67‌
27.2‌
16.98‌
(c)
924,600‌
0.27‌
(d)
0.32‌
(d),(e)
2.02‌
(d)
24.7‌
(d)
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
Six
months
ended
February
29,
2020.
(c)
Total
return
amounts
have
not
been
annualized.
(d)
Computed
on
an
annualized
basis.
(e)
Excludes
expense
reimbursement
from
Manager.
(f)
Total
return
is
calculated
using
the
traded
net
asset
value
which
may
differ
from
the
reported
net
asset
value.
The
traded
net
asset
value
is
the
net
asset
value
which
a
shareholder
would
have
paid
or
received
from
a
subscription
or
redemption.
(g)
Period
from
January
3,
2017,
date operations
commenced,
through
August
31,
2017.
See
accompanying
notes.
203
Financial
Highlights
Principal
Funds,
Inc.
(unaudited)
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
INTERNATIONAL
SMALL
COMPANY
FUND
Institutional
shares
2020
(b)
$
10.46‌
$
0.01‌
(
$
0.09‌)
(
$
0.08‌)
(
$
0.32‌)
$
–‌
(
$
0.32‌)
$
10.06‌
2019
12.36‌
0.14‌
(
1.17‌)
(
1.03‌)
(
0.14‌)
(
0.73‌)
(
0.87‌)
10.46‌
2018
12.17‌
0.15‌
0.67‌
0.82‌
(
0.26‌)
(
0.37‌)
(
0.63‌)
12.36‌
2017
9.87‌
0.18‌
2.15‌
2.33‌
(
0.03‌)
–‌
(
0.03‌)
12.17‌
2016
9.61‌
0.08‌
0.30‌
0.38‌
(
0.12‌)
–‌
(
0.12‌)
9
.87‌
2015
(f)
9.07‌
0.09‌
0.45‌
0.54‌
–‌
–‌
–‌
9.61‌
R-6
shares
2020
(b)
10.52‌
0
.02‌
(
0.10‌)
(
0.08‌)
(
0.33‌)
–‌
(
0.33‌)
10.11‌
2019
12.42‌
0.14‌
(
1.16‌)
(
1.02‌)
(
0.15‌)
(
0.73‌)
(
0.88‌)
10.52‌
2018
12.21‌
0.13‌
0.71‌
0.84‌
(
0.26‌)
(
0.37‌)
(
0.63‌)
12.42‌
2017
(g)
9.83‌
0.02‌
2.36‌
2.38‌
–‌
–‌
–‌
12.21‌
OPPORTUNISTIC
MUNICIPAL
FUND
Institutional
shares
2020
(b)
11.26‌
0.19‌
0.33‌
0.52‌
(
0.20‌)
–‌
(
0.20‌)
11.58‌
2019
10.61‌
0.46‌
0.63‌
1.09‌
(
0.44‌)
–‌
(
0.44‌)
11.26‌
2018
10.66‌
0.45‌
(
0.07‌)
0.38‌
(
0.43‌)
–‌
(
0.43‌)
10.61‌
2017
11.03‌
0.43‌
(
0.39‌)
0.04‌
(
0.41‌)
–‌
(
0.41‌)
10.66‌
2016
10.20‌
0.39‌
0.84‌
1.23‌
(
0.40‌)
–‌
(
0.40‌)
11.03‌
2015
(i)
10.29‌
0.20‌
(
0.09‌)
0.11‌
(
0.20‌)
–‌
(
0.20‌)
10.20‌
ORIGIN
EMERGING
MARKETS
FUND
Institutional
shares
2020
(b)
10.47‌
0.03‌
0.49‌
0.52‌
(
0.20‌)
–‌
(
0.20‌)
10.79‌
2019
11.16‌
0.18‌
(
0.71‌)
(
0.53‌)
(
0.16‌)
–‌
(
0.16‌)
10.47‌
2018
11.61‌
0.07‌
(
0.41‌)
(
0.34‌)
(
0.11‌)
–‌
(
0.11‌)
11.16‌
2017
8.97‌
0.05‌
2.66‌
2.71‌
(
0.07‌)
–‌
(
0.07‌)
11.61‌
2016
8.42‌
0.07‌
0.56‌
0.63‌
(
0.08‌)
–‌
(
0.08‌)
8.97‌
2015
(j)
10.00‌
0.18‌
(
1.76‌)
(
1.58‌)
–‌
–‌
–‌
8.42‌
R-6
shares
2020
(b)
10.48‌
0.04‌
0.49‌
0.53‌
(
0.21‌)
–‌
(
0.21‌)
10.80‌
2019
11.16‌
0.25‌
(
0.76‌)
(
0.51‌)
(
0.17‌)
–‌
(
0.17‌)
10.48‌
2018
11.61‌
0.15‌
(
0.49‌)
(
0.34‌)
(
0.11‌)
–‌
(
0.11‌)
11.16‌
2017
8.97‌
0.50‌
2.21‌
2.71‌
(
0.07‌)
–‌
(
0.07‌)
11.61‌
2016
8.42‌
0.07‌
0.56‌
0.63‌
(
0.08‌)
–‌
(
0.08‌)
8.97‌
2015
(j)
10.00‌
(
0.02‌)
(
1.56‌)
(
1.58‌)
–‌
–‌
–‌
8.42‌
See
accompanying
notes.
204
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
(unaudited)
Total
Return
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Expenses
to
Average
Net
Assets
(Excluding
Interest
Expense
Fees)
Ratio
of
Gross
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
(1.11‌)
%
(c)
$
42,588‌
1.20‌
%
(d)
N/A‌
1.20‌
%
(d),(e)
0.21‌
%
(d)
45.2‌
%
(d)
(7.31‌)
34,866‌
1.20‌
N/A‌
1.24‌
(e)
1.36‌
46.8‌
6.63‌
18,212‌
1
.20‌
N/A‌
1.23‌
(e)
1.19‌
45.9‌
23.66‌
1,991‌
1.08‌
N/A‌
1.08‌
(e)
1.72‌
58.8‌
3.99‌
168,786‌
1.20‌
N/A‌
1.23‌
(e)
0.82‌
49.9‌
5.95‌
(c)
3,374‌
1.20‌
(d)
N/A‌
4.14‌
(d),(e)
1.39‌
(d)
62.8‌
(d)
(1.10‌)
(c)
856,337‌
1.08‌
(d)
N/A‌
1.08‌
(d),(e)
0.37‌
(d)
45.2‌
(d)
(7.20‌)
855,932‌
1.07‌
N/A‌
1.08‌
(e)
1.36‌
46.8‌
6.79‌
976,593‌
1.06‌
N/A‌
1.07‌
(e)
1.06‌
45.9‌
24.21‌
(c)
1,002,985‌
1.06‌
(d)
N/A‌
1.09‌
(d),(e)
0.24‌
(d)
58.8‌
(d)
4.64‌
(c)
95,568‌
0.64‌
%
(d)
0.56‌
(d),(h)
0.73‌
(d),(e)
3.47‌
(d)
73.4‌
(d)
10.55‌
82,132‌
0.70‌
0.58‌
(h)
0.80‌
(e)
4.27‌
66.1‌
3.66‌
55,466‌
0.72‌
0.62‌
(h)
0.74‌
(e)
4.21‌
76.0‌
0.48‌
61,797‌
0.69‌
0.63‌
(h)
0.79‌
(e)
4.10‌
67
.9‌
12.23‌
3,606‌
0.70‌
0.65‌
(h)
2.42‌
(e)
3.57‌
53.5‌
1.04‌
(c)
10‌
0.71‌
(d)
0.65‌
(d),(h)
452.62‌
(d),(e)
4.14‌
(d)
54.9‌
(d)
4.80‌
(c)
14,656‌
1.20‌
(d)
N/A‌
1.37‌
(d)
,(e)
0.56‌
(d)
54.6‌
(d)
(4.55‌)
11,710‌
1.22‌
N/A‌
1.48‌
(e)
1.78‌
59.4‌
(2.98‌)
12,032‌
1.25‌
N/A‌
1.33‌
(e)
0.58‌
52.3‌
30.58‌
35,584‌
1.24‌
N/A‌
1.24‌
(e)
0.51‌
66.3‌
7.50‌
778,143‌
1.24‌
N/A‌
1.24‌
(e)
0.86‌
69.0‌
(15.80‌)
(c)
816,035‌
1.25‌
(d)
N/A‌
1.31‌
(d),(e)
3.01‌
(d)
86.6‌
(d)
4.90‌
(c)
1,267,787‌
1.07‌
(d)
N/A‌
1.16‌
(d),(e)
0.69‌
(d)
54.6‌
(d)
(4.42‌)
1,082,059‌
1.12‌
N/A‌
1.23‌
(e)
2.40‌
59.4‌
(2.97‌)
622,846‌
1.21‌
N/A‌
1.23‌
(e)
1.21‌
52.3‌
30.54‌
662,808‌
1.21‌
N/A‌
1.23‌
(e)
4.54‌
66.3‌
7.50‌
90‌
1.26‌
N/A‌
25.47‌
(e)
0.87‌
69.0‌
(15.80‌)
(c)
85‌
1.26‌
(d)
N/A‌
8.94‌
(d),(e)
(0.41‌)
(d)
86.6‌
(d)
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
Six
months
ended
February
29,
2020.
(c)
Total
return
amounts
have
not
been
annualized.
(d)
Computed
on
an
annualized
basis.
(e)
Excludes
expense
reimbursement
from
Manager.
(f)
Period
from
December
31,
2014,
date operations
commenced,
through
August
31,
2015.
(g)
Period
from
January
3,
2017,
date operations
commenced,
through
August
31,
2017.
(h)
Excludes
interest
expense
and
fees
paid
through
inverse
floater
agreements.
See
"Operating
Policies"
in
notes
to
financial
statements.
(i)
Period
from
March
10,
2015,
date operations
commenced,
through
August
31,
2015.
(j)
Period
from
January
23,
2015,
date operations
commenced,
through
August
31,
2015.
See
accompanying
notes.
205
Financial
Highlights
Principal
Funds,
Inc.
(unaudited)
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
SMALL-MIDCAP
DIVIDEND
INCOME
FUND
Institutional
shares
2020
(b)
$
14
.04‌
$
0
.17‌
(
$
0
.74‌
)
(
$
0
.57‌
)
(
$
0
.19‌
)
(
$
0
.10‌
)
(
$
0
.29‌
)
$
13
.18‌
2019
17
.92‌
0
.32‌
(
1
.91‌
)
(
1
.59‌
)
(
0
.40‌
)
(
1
.89‌
)
(
2
.29‌
)
14
.04‌
2018
16
.65‌
0
.39‌
1
.92‌
2
.31‌
(
0
.26‌
)
(
0
.78‌
)
(
1
.04‌
)
17
.92‌
2017
15
.01‌
0
.41‌
1
.61‌
2
.02‌
(
0
.38‌
)
–‌
(
0
.38‌
)
16
.65‌
2016
12
.79‌
0
.39‌
2
.43‌
2
.82‌
(
0
.34‌
)
(
0
.26‌
)
(
0
.60‌
)
15
.01‌
2015
14
.40‌
0
.42‌
(
1
.38‌
)
(
0
.96‌
)
(
0
.34‌
)
(
0
.31‌
)
(
0
.65‌
)
12
.79‌
R-6
shares
2020
(b)
14
.10‌
0
.17‌
(
0
.74‌
)
(
0
.57‌
)
(
0
.19‌
)
(
0
.10‌
)
(
0
.29‌
)
13
.24‌
2019
17
.98‌
0
.33‌
(
1
.93‌
)
(
1
.60‌
)
(
0
.39‌
)
(
1
.89‌
)
(
2
.28‌
)
14
.10‌
2018
16
.66‌
0
.40‌
1
.94‌
2
.34‌
(
0
.24‌
)
(
0
.78‌
)
(
1
.02‌
)
17
.98‌
2017
(f)
16
.17‌
0
.33‌
0
.22‌
0
.55‌
(
0
.06‌
)
–‌
(
0
.06‌
)
16
.66‌
SMALL-MIDCAP
GROWTH
FUND
Institutional
shares
2020
(b)
10
.26‌
(
0
.03‌
)
(
0
.02‌
)
(
0
.05‌
)
–‌
–‌
–‌
10
.21‌
2019
(g)
10
.00‌
(
0
.01‌
)
0
.27‌
0
.26‌
–‌
–‌
–‌
10
.26‌
See
accompanying
notes.
206
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
(unaudited)
Total
Return
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Gross
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
(
4
.34‌
)
%
(c)
$
1,747,039‌
0
.86‌
%
(d)
0
.91‌
%
(d)
,(e)
2
.24‌
%
(d)
29
.7‌
%
(d)
(
7
.54‌
)
1,892,406‌
0
.86‌
0
.90‌
(e)
2
.19‌
21
.9‌
14
.20‌
2,453,527‌
0
.86‌
0
.86‌
(e)
2
.25‌
31
.5‌
13
.56‌
2,179,792‌
0
.86‌
0
.89‌
(e)
2
.51‌
25
.5‌
22
.94‌
1,142,465‌
0
.82‌
0
.82‌
(e)
2
.90‌
25
.8‌
(
6
.89‌
)
849,929‌
0
.86‌
0
.88‌
(e)
3
.00‌
29
.3‌
(
4
.28‌
)
(c)
8,548‌
0
.78‌
(d)
0
.96‌
(d)
,(e)
2
.32‌
(d)
29
.7‌
(d)
(
7
.54‌
)
8,589‌
0
.79‌
0
.99‌
(e)
2
.27‌
21
.9‌
14
.39‌
7,737‌
0
.78‌
0
.78‌
(e)
2
.28‌
31
.5‌
3
.43‌
(c)
610,070‌
0
.77‌
(d)
0
.78‌
(d)
,(e)
2
.96‌
(d)
25
.5‌
(d)
(
0
.49‌
)
(c)
5,107‌
0
.83‌
(d)
1
.90‌
(d)
,(e)
(
0
.61‌
)
(d)
117
.1‌
(d)
2
.60‌
(c)
5,131‌
0
.83‌
(d)
5
.35‌
(d)
,(e)
(
0
.48‌
)
(d)
175
.8‌
(d)
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
Six
months
ended
February
29,
2020.
(c)
Total
return
amounts
have
not
been
annualized.
(d)
Computed
on
an
annualized
basis.
(e)
Excludes
expense
reimbursement
from
Manager.
(f)
Period
from
January
3,
2017,
date operations
commenced,
through
August
31,
2017.
(g)
Period
from
June
12,
2019,
date operations
commenced,
through
August
31,
2019.
See
accompanying
notes.
207
Financial
Highlights
Principal
Funds,
Inc.
(unaudited)
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
SPECTRUM
PREFERRED
AND
CAPITAL
SECURITIES
INCOME
FUND
Class
J
shares
2020
(b)
$
10.01‌
$
0.21‌
$
0.12‌
$
0.33‌
(
$
0.24‌)
$
–‌
(
$
0.24‌)
$
10.10‌
2019
9.79‌
0.47‌
0.26‌
0.73‌
(
0.51‌)
–‌
(
0.51‌)
10
.01‌
2018
10.26‌
0.49‌
(
0.45‌)
0.04‌
(
0.49‌)
(
0.02‌)
(
0.51‌)
9.79‌
2017
10.11‌
0.49‌
0.22‌
0.71‌
(
0
.47‌)
(
0.09‌)
(
0.56‌)
10.26‌
2016
10.01‌
0.48‌
0.18‌
0.66‌
(
0.47‌)
(
0.09‌)
(
0.56‌)
10.11‌
2015
10.34‌
0.48‌
(
0.12‌)
0.36‌
(
0.51‌)
(
0.18‌)
(
0.69‌)
10.01‌
Institutional
shares
2020
(b)
10.23‌
0.23‌
0.12‌
0.35‌
(
0.25‌)
–‌
(
0.25‌)
10.33‌
2019
9.99‌
0.52‌
0.26‌
0.78‌
(
0.54‌)
–‌
(
0.54‌)
10.23‌
2018
10.46‌
0.52‌
(
0.46‌)
0.06‌
(
0.51‌)
(
0.02‌)
(
0.53‌)
9.99‌
2017
10.30‌
0.52‌
0.23‌
0.75‌
(
0.50‌)
(
0.09‌)
(
0.59‌)
10.46‌
2016
10.18‌
0.52‌
0.19‌
0.71‌
(
0.50‌)
(
0.09‌)
(
0.59‌)
10.30‌
2015
10.51‌
0.53‌
(
0.14‌)
0.39‌
(
0.54‌)
(
0.18‌)
(
0.72‌)
10.18‌
R-1
shares
2020
(b)
10.17‌
0.18‌
0.14‌
0.32‌
(
0.21‌)
–‌
(
0.21‌)
10.28‌
2019
9.94‌
0.44‌
0.25‌
0.69‌
(
0.46‌)
–‌
(
0.46‌)
10.17‌
2018
10.41‌
0.44‌
(
0.46‌)
(
0.02‌)
(
0.43‌)
(
0.02‌)
(
0.45‌)
9.94‌
2017
10.25‌
0.44‌
0.22‌
0.66‌
(
0.41‌)
(
0.09‌)
(
0.50‌)
10.41‌
2016
10.14‌
0.43‌
0.19‌
0.62‌
(
0.42‌)
(
0.09‌)
(
0.51‌)
10.25‌
2015
10.46‌
0.44‌
(
0.12‌)
0.32‌
(
0.46‌)
(
0.18‌)
(
0.64‌)
10.14‌
R-2
shares
2020
(b)
10.11‌
0.19‌
0.12‌
0.31‌
(
0.22‌)
–‌
(
0.22‌)
10.20‌
2019
9.88‌
0.45‌
0.25‌
0
.70‌
(
0.47‌)
–‌
(
0.47‌)
10.11‌
2018
10.35‌
0.45‌
(
0.45‌)
–‌
(
0.45‌)
(
0.02‌)
(
0.47‌)
9.88‌
2017
10.20‌
0.45‌
0
.22‌
0.67‌
(
0.43‌)
(
0.09‌)
(
0.52‌)
10.35‌
2016
10.09‌
0.45‌
0.18‌
0.63‌
(
0.43‌)
(
0.09‌)
(
0.52‌)
10.20‌
2015
10.42‌
0.45‌
(
0.12‌)
0.33‌
(
0.48‌)
(
0.18‌)
(
0.66‌)
10.09‌
See
accompanying
notes.
208
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
(unaudited)
Total
Return
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Gross
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
3.26‌
%
(c),(d)
$
47,209‌
1.12‌
%
(e)
1.15‌
%
(e),(f)
4.06‌
%
(e)
10.6‌
%
(e)
7.75‌
(d)
45,660‌
1.13‌
1.16‌
(f)
4.89‌
19.8‌
0.38‌
(d)
45,458‌
1.02‌
1.05‌
(f)
4.87‌
12.3‌
7.37‌
(d)
51,417‌
1.00‌
1.03‌
(f)
4.88‌
16.1‌
6.87‌
(d)
50,135‌
1.06‌
1.10‌
(f)
4.84‌
13.9‌
3.59‌
(d)
43,477‌
1.14‌
1.16‌
(f)
4.72‌
16.9‌
3.46‌
(c)
4,110,611‌
0.80‌
(e)
0.80‌
(e),(g)
4.37‌
(e)
10.6‌
(e)
8.12‌
3,591,388‌
0.81‌
0.82‌
(g)
5.21‌
19.8‌
0.59‌
3,306,108‌
0.80‌
0.80‌
(g)
5.09‌
12.3‌
7.58‌
3,817,309‌
0.77‌
0.77‌
(g)
5.11‌
16.1‌
7.26‌
2,444,823‌
0.76‌
–‌
5.14‌
13.9‌
3.91‌
1,923,458‌
0.76‌
–‌
5.12‌
16.9‌
3.14‌
(c)
465‌
1.58‌
(e)
–‌
3.61‌
(e)
10.6‌
(e)
7.23‌
1,024‌
1
.58‌
–‌
4.44‌
19.8‌
(0.20‌)
987‌
1.58‌
–‌
4.29‌
12.3‌
6
.75‌
1,315‌
1.58‌
–‌
4.31‌
16.1‌
6.32‌
1,572‌
1.58‌
–‌
4.32‌
13.9‌
3.16‌
1,332‌
1.58‌
–‌
4.27‌
16.9‌
3.07‌
(c)
1,886‌
1.45‌
(e)
–‌
3.72‌
(e)
10.6‌
(e)
7.42‌
1,514‌
1.45‌
–‌
4.58‌
19.8‌
(0.06‌)
1,788‌
1.45‌
–‌
4.45‌
12.3‌
6.84‌
1,760‌
1.45‌
–‌
4.44‌
16.1‌
6.49‌
1,234‌
1.45‌
–‌
4.45‌
13.9‌
3.25‌
1,556‌
1.45‌
–‌
4.43‌
16.9‌
See
accompanying
notes.
209
Financial
Highlights
Principal
Funds,
Inc.
(unaudited)
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
SPECTRUM
PREFERRED
AND
CAPITAL
SECURITIES
INCOME
FUND
R-3
shares
2020
(b)
$
10.15‌
$
0.20‌
$
0.13‌
$
0.33‌
(
$
0.23‌)
$
–‌
(
$
0.23‌)
$
10.25‌
2019
9.92‌
0.47‌
0.25‌
0.72‌
(
0.49‌)
–‌
(
0.49‌)
10.15‌
2018
10.39‌
0.47‌
(
0.46‌)
0.01‌
(
0.46‌)
(
0.02‌)
(
0.48‌)
9.92‌
2017
10.23‌
0.47‌
0.22‌
0.69‌
(
0.44‌)
(
0.09‌)
(
0.53‌)
10.39‌
2016
10.12‌
0.47‌
0.18‌
0.65‌
(
0.45‌)
(
0.09‌)
(
0.54‌)
10.23‌
2015
10.45‌
0.47‌
(
0.13‌)
0.34‌
(
0.49‌)
(
0.18‌)
(
0.67‌)
10.12‌
R-4
shares
2020
(b)
10.13‌
0.21‌
0.13‌
0.34‌
(
0.24‌)
–‌
(
0
.24‌)
10.23‌
2019
9.90‌
0.48‌
0.26‌
0.74‌
(
0.51‌)
–‌
(
0.51‌)
10.13‌
2018
10.37‌
0.49‌
(
0.46‌)
0.03‌
(
0
.48‌)
(
0.02‌)
(
0.50‌)
9.90‌
2017
10.21‌
0.48‌
0.23‌
0.71‌
(
0.46‌)
(
0.09‌)
(
0.55‌)
10.37‌
2016
10.10‌
0.49‌
0.18‌
0
.67‌
(
0.47‌)
(
0.09‌)
(
0.56‌)
10.21‌
2015
10.44‌
0.50‌
(
0.15‌)
0.35‌
(
0.51‌)
(
0.18‌)
(
0.69‌)
10.10‌
R-5
shares
2020
(b)
10.18‌
0.22‌
0.12‌
0.34‌
(
0.24‌)
–‌
(
0.24‌)
10.28‌
2019
9.95‌
0.50‌
0.25‌
0.75‌
(
0.52‌)
–‌
(
0.52‌)
10.18‌
2018
10.42‌
0.50‌
(
0.45‌)
0.05‌
(
0.50‌)
(
0.02‌)
(
0.52‌)
9.95‌
2017
10.26‌
0.50‌
0.23‌
0.73‌
(
0.48‌)
(
0.09‌)
(
0.57‌)
10.42‌
2016
10.15‌
0.50‌
0.18‌
0.68‌
(
0.48‌)
(
0.09‌)
(
0.57‌)
10.26‌
2015
10.47‌
0.50‌
(
0.12‌)
0.38‌
(
0.52‌)
(
0.18‌)
(
0.70‌)
10.15‌
R-6
shares
2020
(b)
10.23‌
0.23‌
0.12‌
0.35‌
(
0.26‌)
–‌
(
0.26‌)
10.32‌
2019
9.99‌
0.53‌
0.25‌
0.78‌
(
0.54‌)
–‌
(
0.54‌)
10.23‌
2018
10.46‌
0.53‌
(
0.46‌)
0.07‌
(
0.52‌)
(
0.02‌)
(
0.54‌)
9.99‌
2017
(
i
)
9
.91‌
0.35‌
0.53‌
0.88‌
(
0.33‌)
–‌
(
0.33‌)
10.46‌
See
accompanying
notes.
210
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
(unaudited)
Total
Return
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Gross
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
3.25‌
%
(c)
$
2,288‌
1.27‌
%
(e)
–‌
%
3
.90‌
%
(e)
10.6‌
(e)
7.58‌
2,101‌
1.27‌
–‌
4.77‌
19.8‌
0.11‌
2,319‌
1
.27‌
–‌
4.62‌
12.3‌
7.09‌
2,676‌
1.27‌
–‌
4.62‌
16.1‌
6.66‌
3,311‌
1.27‌
–‌
4.63‌
13.9‌
3.40‌
3,758‌
1.27‌
–‌
4.60‌
16.9‌
3.34‌
(c)
1,066‌
1.08‌
(e)
–‌
4.11‌
(e)
10.6‌
(e)
7.80‌
1,397‌
1.08‌
–‌
4.93‌
19.8‌
0.31‌
1,284‌
1.08‌
–‌
4.82‌
12.3‌
7.30‌
1,304‌
1.08‌
–‌
4.78‌
16.1‌
6.86‌
1,395‌
1.08‌
–‌
4.89‌
13.9‌
3.52‌
1,543‌
1.08‌
–‌
4.87‌
16.9‌
3.39‌
(c)
3,725‌
0.96‌
(e)
–‌
4.22‌
(e)
10.6‌
(e)
7.89‌
3,200‌
0.96‌
–‌
5.05‌
19.8‌
0.43‌
3,023‌
0.96‌
–‌
4.92‌
12.3‌
7.40‌
3,506‌
0.96‌
–‌
4.92‌
16.1‌
7.07‌
(h)
4,216‌
0.96‌
–‌
4.93‌
13.9‌
3.72‌
(h)
3,665‌
0.96‌
–‌
4.90‌
16.9‌
3.51‌
(c),(h)
1,036,238‌
0.70‌
(e)
0.70‌
(e),(g)
4.47‌
(e)
10.6‌
(e)
8.12‌
(h)
910,863‌
0.71‌
0.71‌
(g)
5.32‌
19.8‌
0.69‌
1,010,227‌
0.71‌
0.71‌
(g)
5.21‌
12.3‌
8.98‌
(c)
520,462‌
0.71‌
(e)
0.72‌
(e),(g)
5.08‌
(e)
16.1‌
(e)
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
Six
months
ended
February
29,
2020.
(c)
Total
return
amounts
have
not
been
annualized.
(d)
Total
return
is
calculated
without
the contingent
deferred
sales
charge.
(e)
Computed
on
an
annualized
basis.
(f)
Excludes
expense
reimbursement
from
Manager
and/or
Distributor.
(g)
Excludes
expense
reimbursement
from
Manager.
(h)
Total
return
is
calculated
using
the
traded
net
asset
value
which
may
differ
from
the
reported
net
asset
value.
The
traded
net
asset
value
is
the
net
asset
value
which
a
shareholder
would
have
paid
or
received
from
a
subscription
or
redemption.
(
i
)
Period
from
January
3,
2017,
date operations
commenced,
through
August
31,
2017.
See
accompanying
notes.
211
Financial
Highlights
Principal
Funds,
Inc.
(unaudited)
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
SYSTEMATEX
INTERNATIONAL
FUND
Institutional
shares
2020
(b)
$
9
.50‌
$
0
.07‌
$
–‌
$
0
.07‌
(
$
0
.09‌
)
$
–‌
(
$
0
.09‌
)
$
9
.48‌
2019
11
.99‌
0
.29‌
(
1
.27‌
)
(
0
.98‌
)
(
0
.36‌
)
(
1
.15‌
)
(
1
.51‌
)
9
.50‌
2018
12
.03‌
0
.30‌
0
.16‌
0
.46‌
(
0
.28‌
)
(
0
.22‌
)
(
0
.50‌
)
11
.99‌
2017
10
.43‌
0
.13‌
1
.69‌
1
.82‌
(
0
.22‌
)
–‌
(
0
.22‌
)
12
.03‌
2016
(f)
10
.00‌
0
.24‌
0
.26‌
0
.50‌
(
0
.05‌
)
(
0
.02‌
)
(
0
.07‌
)
10
.43‌
R-6
shares
2020
(b)
9
.60‌
0
.06‌
0
.01‌
0
.07‌
(
0
.09‌
)
–‌
(
0
.09‌
)
9
.58‌
2019
12
.09‌
0
.32‌
(
1
.29‌
)
(
0
.97‌
)
(
0
.37‌
)
(
1
.15‌
)
(
1
.52‌
)
9
.60‌
2018
12
.12‌
0
.31‌
0
.16‌
0
.47‌
(
0
.28‌
)
(
0
.22‌
)
(
0
.50‌
)
12
.09‌
2017
10
.44‌
0
.26‌
1
.64‌
1
.90‌
(
0
.22‌
)
–‌
(
0
.22‌
)
12
.12‌
2016
(f)
10
.00‌
0
.31‌
0
.20‌
0
.51‌
(
0
.05‌
)
(
0
.02‌
)
(
0
.07‌
)
10
.44‌
See
accompanying
notes.
212
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
(unaudited)
Total
Return
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Gross
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
0
.61‌
%
(c)
$
270‌
0
.75‌
%
(d)
7
.00‌
%
(d)
,(e)
1
.38‌
%
(d)
40
.6‌
%
(d)
(
7
.37‌
)
268‌
0
.75‌
7
.07‌
(e)
2
.81‌
10
.7‌
3
.71‌
305‌
0
.75‌
3
.79‌
(e)
2
.43‌
46
.1‌
17
.86‌
554‌
0
.75‌
1
.87‌
(e)
1
.25‌
44
.3‌
4
.93‌
(c)
4,198‌
0
.75‌
(d)
1
.61‌
(d)
,(e)
2
.59‌
(d)
60
.2‌
(d)
0
.61‌
(c)
216,044‌
0
.64‌
(d)
0
.70‌
(d)
,(e)
1
.16‌
(d)
40
.6‌
(d)
(
7
.29‌
)
56,624‌
0
.64‌
0
.83‌
(e)
3
.05‌
10
.7‌
3
.78‌
53,807‌
0
.62‌
0
.74‌
(e)
2
.53‌
46
.1‌
18
.62‌
76,182‌
0
.62‌
0
.78‌
(e)
2
.39‌
44
.3‌
5
.03‌
(c)
59,094‌
0
.62‌
(d)
1
.11‌
(d)
,(e)
3
.26‌
(d)
60
.2‌
(d)
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
Six
months
ended
February
29,
2020.
(c)
Total
return
amounts
have
not
been
annualized.
(d)
Computed
on
an
annualized
basis.
(e)
Excludes
expense
reimbursement
from
Manager.
(f)
Period
from
September
22,
2015,
date operations
commenced,
through
August
31,
2016.
Shareholder
Expense
Example
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
213
As
a
shareholder
of
Principal
Funds,
Inc.,
you
incur
two
types
of
costs:
(1)
transaction
costs,
including
sales
charges
on
purchase
payments
and
contingent
deferred
sales
charges;
and
(2)
ongoing
costs,
including
management
fees;
distribution
fees;
and
other
fund
expenses.
This
Example
is
intended
to
help
you
understand
your
ongoing
costs
(in
dollars)
of
investing
in
Principal
Funds,
Inc.
and
to
compare
these
costs
with
the
ongoing
costs
of
investing
in
other
mutual
funds.
The
Example
is
based
on
an
investment
of
$1,000
invested
at
the
beginning
of
the
period
and
held
for
the
entire
period
(September
1,
2019
to
February
29,
2020),
unless
otherwise
noted.
Actual
Expenses
The
first
section
of
the
table
below
provides
information
about
actual
account
values
and
actual
expenses.
You
may
use
the
information
in
this
section,
together
with
the
amount
you
invested,
to
estimate
the
expenses
that
you
paid
over
the
period.
Simply
divide
your
account
value
by
$1,000
(for
example,
an
$8,600
account
value
divided
by
$1,000
=
8.6),
then
multiply
the
result
by
the
number
in
the
first
section
under
the
heading
entitled
“Expenses
Paid
During
Period”
to
estimate
the
expenses
you
paid
on
your
account
during
this
period.
R-1,
R-2,
R-3,
R-4,
and
R-5
classes
of
shares
may
be
purchased
only
through
retirement
plans.
Such
plans
may
impose
fees
in
addition
to
those
charged
by
the
fund.
These
fees
are
not
included
in
the
table
below.
If
they
were,
the
estimate
of
expenses
you
paid
during
the
period
would
be
higher,
and
your
ending
account
value
lower,
by
this
amount.
Hypothetical
Example
for
Comparison
Purposes
The
second
section
of
the
table
below
provides
information
about
hypothetical
account
values
and
hypothetical
expenses
based
on
each
fund’s
actual
expense
ratio
and
an
assumed
rate
of
return
of
5%
per
year
before
expenses,
which
is
not
the
fund’s
actual
return.
The
hypothetical
account
values
and
expenses
may
not
be
used
to
estimate
the
actual
ending
account
balance
or
expenses
you
paid
for
the
period.
You
may
use
this
information
to
compare
the
ongoing
costs
of
investing
in
Principal
Funds,
Inc.
and
other
funds.
To
do
so,
compare
this
5%
hypothetical
example
with
the
5%
hypothetical
examples
that
appear
in
the
shareholder
reports
of
the
other
funds.
Please
note
that
the
expenses
shown
in
the
table
are
meant
to
highlight
your
ongoing
costs
only
and
do
not
reflect
any
transaction
costs,
such
as
sales
charges
on
purchase
payments,
contingent
deferred
sales
charges,
redemption
fees
or
exchange
fees.
Therefore,
the
second
section
of
the
table
is
useful
in
comparing
ongoing
costs
only,
and
will
not
help
you
determine
the
relative
total
costs
of
owning
different
funds.
In
addition,
if
these
transaction
costs
were
included,
your
costs
would
have
been
higher.
Actual
Hypothetical
Beginning
Account
Value September
1,
2019
Ending
Account
Value February
29,
2020
Expenses
Paid
During
Period
September
1,
2019 to
February
29,
2020
(a)
Beginning
Account
Value
September
1,
2019
Ending
Account
Value
February
29,
2020
Expenses
Paid
During
Period
September
1,
2019 to
February
29,
2020
(a)
Annualized
Expense
Ratio
Blue
Chip
Fund
Class
J
$
1,000.00‌
$
1,055.24‌
$
4.39‌
$
1,000.00‌
$
1,020.59‌
$
4.32‌
0.86‌
%
Institutional
1,000.00‌
1,056.79‌
3.22‌
1,000.00‌
1,021.73‌
3.17‌
0.63‌
R-3
1,000.00‌
1,054.18‌
5.77‌
1,000.00‌
1,019.24‌
5.67‌
1.13‌
R-4
1,000.00‌
1,055.00‌
4.80‌
1,000.00‌
1,020.19‌
4.72‌
0.94‌
R-5
1,000.00‌
1,055.81‌
4.19‌
1,000.00‌
1,020.79‌
4.12‌
0.82‌
R-6
1,000.00‌
1,057.24‌
2.86‌
1,000.00‌
1,022.08‌
2.82‌
0.56‌
Bond
Market
Index
Fund
Class
J
1,000.00‌
1,029.72‌
3.58‌
1,000.00‌
1,021.33‌
3.57‌
0.71‌
Institutional
1,000.00‌
1,032.88‌
0.71‌
1,000.00‌
1,024.17‌
0.70‌
0.14‌
R-1
1,000.00‌
1,027.73‌
5.14‌
1,000.00‌
1,019.79‌
5.12‌
1.02‌
R-2
1,000.00‌
1,028.62‌
4.49‌
1,000.00‌
1,020.44‌
4.47‌
0.89‌
R-3
1,000.00‌
1,028.82‌
3.58‌
1,000.00‌
1,021.33‌
3.57‌
0.71‌
R-4
1,000.00‌
1,030.81‌
2.63‌
1,000.00‌
1,022.28‌
2.61‌
0.52‌
R-5
1,000.00‌
1,031.42‌
2.02‌
1,000.00‌
1,022.87‌
2.01‌
0.40‌
Diversified
Real
Asset
Fund
Institutional
1,000.00‌
995.42‌
4.22‌
1,000.00‌
1,020.64‌
4.27‌
0.85‌
R-3
1,000.00‌
992.37‌
6.74‌
1,000.00‌
1,018.10‌
6.82‌
1.36‌
R-4
1,000.00‌
993.16‌
5.80‌
1,000.00‌
1,019.05‌
5.87‌
1.17‌
R-5
1,000.00‌
993.72‌
5.20‌
1,000.00‌
1,019.64‌
5.27‌
1.05‌
R-6
1,000.00‌
994.11‌
3.92‌
1,000.00‌
1,020.93‌
3.97‌
0.79‌
Edge
MidCap
Fund
Institutional
1,000.00‌
978.81‌
3.79‌
1,000.00‌
1,021.03‌
3.87‌
0.77‌
R-6
1,000.00‌
979.66‌
3.20‌
1,000.00‌
1,021.63‌
3.27‌
0.65‌
Shareholder
Expense
Example
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
214
Actual
Hypothetical
Beginning
Account
Value September
1,
2019
Ending
Account
Value February
29,
2020
Expenses
Paid
During
Period
September
1,
2019 to
February
29,
2020
(a)
Beginning
Account
Value
September
1,
2019
Ending
Account
Value
February
29,
2020
Expenses
Paid
During
Period
September
1,
2019 to
February
29,
2020
(a)
Annualized
Expense
Ratio
Global
Multi-Strategy
Fund
Institutional
$
1,000.00‌
$
1,001.86‌
$
18.37‌
$
1,000.00‌
$
1,006.51‌
$
18.41‌
3.69‌
%
R-6
1,000.00‌
1,001.86‌
18.07‌
1,000.00‌
1,006.81‌
18.11‌
3.63‌
Global
Multi-Strategy
Fund
(Excluding
Dividend
and
Interest
Expense
on
Shorts)
Institutional
1,000.00‌
1,001.
90‌
8.16‌
1,000.00‌
1,0
16.61‌
8.26‌
1.64‌
R-6
1,000.00‌
1,001.
90‌
7.86‌
1,000.00‌
1,0
16.91‌
7.95‌
1.58‌
International
Equity
Index
Fund
Institutional
1,000.00‌
998.84‌
1.54‌
1,000.00‌
1,023.32‌
1.56‌
0.31‌
R-1
1,000.00‌
994.72‌
5.95‌
1,000.00‌
1,018.90‌
6.02‌
1.20‌
R-2
1,000.00‌
995.82‌
5.31‌
1,000.00‌
1,019.54‌
5.37‌
1.07‌
R-3
1,000.00‌
996.66‌
4.42‌
1,000.00‌
1,020.44‌
4.47‌
0.89‌
R-4
1,000.00‌
997.42‌
3.48‌
1,000.00‌
1,021.38‌
3.52‌
0.70‌
R-5
1,000.00‌
997.51‌
2.88‌
1,000.00‌
1,021.98‌
2.92‌
0.58‌
R-6
1,000.00‌
998.87‌
1.44‌
1,000.00‌
1,023.42‌
1.46‌
0.29‌
International
Small
Company
Fund
Institutional
1,000.00‌
988.90‌
5.93‌
1,000.00‌
1,018.90‌
6.02‌
1.20‌
R-6
1,000.00‌
988.99‌
5.34‌
1,000.00‌
1,019.49‌
5.42‌
1.08‌
Opportunistic
Municipal
Fund
Institutional
1,000.00‌
1,046.43‌
3.26‌
1,000.00‌
1,021.68‌
3.22‌
0.64‌
Opportunistic
Municipal
Fund
(Excluding
Interest
Expense
and
Fees)
Institutional
1,000.00‌
1,046.4
0‌
2.85‌
1,000.00‌
1,02
2.04‌
2.82‌
0.
56‌
Origin
Emerging
Markets
Fund
Institutional
1,000.00‌
1,048.04‌
6.11‌
1,000.00‌
1,018.90‌
6.02‌
1.20‌
R-6
1,000.00‌
1,048.96‌
5.45‌
1,000.00‌
1,019.54‌
5.37‌
1.07‌
Small-MidCap
Dividend
Income
Fund
Institutional
1,000.00‌
956.65‌
4.18‌
1,000.00‌
1,020.59‌
4.32‌
0.86‌
R-6
1,000.00‌
957.18‌
3.80‌
1,000.00‌
1,020.98‌
3.92‌
0.78‌
Small-MidCap
Growth
Fund
Institutional
1,000.00‌
995.13‌
4.12‌
1,000.00‌
1,020.74‌
4.17‌
0.83‌
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Class
J
1,000.00‌
1,032.61‌
5.66‌
1,000.00‌
1,019.29‌
5.62‌
1.12‌
Institutional
1,000.00‌
1,034.58‌
4.05‌
1,000.00‌
1,020.89‌
4.02‌
0.80‌
R-1
1,000.00‌
1,031.40‌
7.98‌
1,000.00‌
1,017.01‌
7.92‌
1.58‌
R-2
1,000.00‌
1,030.74‌
7.32‌
1,000.00‌
1,017.65‌
7.27‌
1.45‌
R-3
1,000.00‌
1,032.47‌
6.42‌
1,000.00‌
1,018.55‌
6.37‌
1.27‌
R-4
1,000.00‌
1,033.40‌
5.46‌
1,000.00‌
1,019.49‌
5.42‌
1.08‌
R-5
1,000.00‌
1,033.94‌
4.85‌
1,000.00‌
1,020.09‌
4.82‌
0.96‌
R-6
1,000.00‌
1,035.11‌
3.54‌
1,000.00‌
1,021.38‌
3.52‌
0.70‌
SystematEx
International
Fund
Institutional
1,000.00‌
1,006.14‌
3.74‌
1,000.00‌
1,021.13‌
3.77‌
0.75‌
R-6
1,000.00‌
1,006.08‌
3.19‌
1,000.00‌
1,021.68‌
3.22‌
0.64‌
(a)
Expenses
are
equal
to
a
fund's
annualized
expense
ratio
multiplied
by
the
average
account
value
over
the
period,
multiplied
by
182/366
(to
reflect
the
one-half
year
period).
Principal
Funds,
Inc.
(unaudited)
215
Notification
of
Source
of
Distributions
Pursuant
to
Rule
19a-1
of
the
Investment
Company
Act
of
1940
As
noted
in
the
table
provided
below,
certain
of
the
Principal
Funds
made
distributions
for
the
month
of
December
2019
for
which
a
portion
is
estimated
to
be
in
excess
of
the
fund’s
current
and
accumulated
net
income.
As
of
December
2019,
the
estimated
sources
of
these
distributions
were
as
follows:
The
ultimate
composition
of
these
distributions
may
vary
from
the
estimates
provided
above
due
to
a
variety
of
factors
including
future
income
and
expenses,
and
realized
gains
and
losses
from
the
purchase
and
sale
of
securities.
Please
note
that
this
information
is
being
provided
to
satisfy
certain
notice
requirements
under
the
Investment
Company
Act
of
1940.
Tax
reporting
information
for
shareholders
of
the
funds
will
not
be
available
until
the
end
of
the
funds’
fiscal
year.
As
a
result,
shareholders
should
not
use
the
information
provided
in
this
notice
for
tax
reporting
purposes.
Notices
are
posted
monthly
on
our
website
at
principalfunds.com/sources-of-distribution
.
You
may
also
request
a
copy
of
such
notices,
free
of
charge,
by
telephoning
800-222-5852.
This
material
is
not
authorized
for
distribution
unless
preceded
or
accompanied
by
a
current
prospectus
that
includes
more
information
regarding
the
risk
factors,
expenses,
policies,
and
objectives
of
the
investment.
Contact
your
financial
professional
or
call
800-222-5852
to
obtain
another
copy
of
the
prospectus.
Read
the
prospectus
carefully
before
investing.
A
mutual
fund's
share
price
and
investment
return
will
vary
with
market
conditions,
and
the
principal
value
of
an
investment
when
you
sell
your
shares
may
be
more
or
less
than
the
original
cost.
Principal
Funds
are
distributed
by
Principal
Funds
Distributor,
Inc.
December
2019
Fund
Net
Income
Realized
Gain
Capital
Sources
Bond
Market
Index
Fund
97.12%
0.00%
2.88%
Diversified
Real
Asset
Fund
89.51
0.00
10.49
International
Equity
Index
Fund
77.45
0.00
22.55
International
Small
Company
Fund
21.57
56.32
22.11
Origin
Emerging
Markets
Fund
88.81
0.00
11.19
SystematEx
International
Fund
74.12
25.88
0.00
216
FUND
DIRECTORS
AND
OFFICERS
Under
Maryland
law,
a
Board
of
Directors
oversees
the
Fund.
The
Directors
have
financial
or
other
relevant
experience
and
meet
several
times
during
the
year
to
review
contracts,
Fund
activities
and
the
quality
of
services
provided
to
the
Fund.
Each
director
also
has
the
same
position
with
Principal
Variable
Contracts
Funds,
Inc.,
Principal
Exchange-Traded
Funds,
and
Principal
Diversified
Select
Real
Asset
Fund
which
are
also
sponsored
by
Principal
Life
Insurance
Company.
Each
director
holds
office
for
an
indefinite
term
or
until
reaching
age
72.
Directors
considered
to
be
“interested
persons”
as
defined
in
the
Investment
Company
Act
of
1940,
as
shown
below
are
considered
to
be
interested
because
of
an
affiliation
with
the
Manager
and
Principal
Life
Insurance
Company.
The
following
directors
are
considered
not
to
be
“interested
persons”
as
defined
in
the
1940
Act
Name,
Position
Held
with
the
Fund,
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Number
of
Portfolios
in
Fund
Complex
Overseen
by
Director
Other
Directorships
Held
by
Director
During
Past
5
Years
Elizabeth
Ballantine
Director
since
2004
Member,
Nominating
and
Governance
Committee
1948
Principal,
EBA
Associates
127
Durango
Herald,
Inc.;
McClatchy
Newspapers,
Inc.
Leroy
T.
Barnes,
Jr.
Director
since
2012
Member,
Audit
Committee
Member,
Nominating
and
Governance
Committee
1951
Retired.
127
McClatchy
Newspapers,
Inc.;
Frontier
Communications,
Inc.;
formerly,
Herbalife
Ltd.
Craig
Damos
Lead
Independent
Director
since
2020
Director
since
2008
Member,
Nominating
and
Governance
Committee
Member,15(c)
Committee
Member,
Executive
Committee
1954
President,
C.P.
Damos
Consulting
LLC
127
None
Mark
A.
Grimmett
Director
since
2004
Member,
Audit
Committee
Member,
15(c)
Committee
Member,
Executive
Committee
1960
Formerly,
Executive
Vice
President
and
CFO,
Merle
Norman
Cosmetics,
Inc.
127
None
Fritz
S.
Hirsch
Director
since
2005
Member,
Nominating
and
Governance
Committee
Member,
Operations
Committee
Member,
15(c)
Committee
1951
Formerly,
CEO,
MAM
USA
127
MAM
USA
Tao
Huang
Director
since
2012
Member,
Operations
Committee
Member,
15(c)
Committee
1962
Retired.
127
Armstrong
World
Industries,
Inc.
and
Equity
Lifestyle
Properties,
Inc.
Karen
(“Karrie”)
McMillan
Director
since
2014
Member,
Operations
Committee
1961
Managing
Director,
Patomak
Global
Partners,
LLC
127
None
Elizabeth
A.
Nickels
Director
since
2015
Member,
Audit
Committee
1962
Retired.
127
SpartanNash;
formerly:
Charlotte
Russe;
Follet
Corporation;
PetSmart;
Spectrum
Health
Systems
Mary
M.
(“Meg”)
VanDeWeghe
Director
since
2018
Member,
Operations
Committee
1959
CEO
and
President,
Forte
Consulting,
Inc.
127
Denbury
Resources
Inc.
and
Helmerich
&
Payne;
Formerly:
Brown
Advisory;
B/E
Aerospace;
WP
Carey;
Nalco
(and
its
successor
Ecolab)
217
The
following
directors
are
considered
to
be
“interested
persons”
as
defined
in
the
1940
Act,
because
of
an
affiliation
with
the
Manager
and
Principal
Life.
Correspondence
intended
for
each
Director
who
is
other
than
an
Interested
Director
may
be
sent
to
655
9th
Street,
Des
Moines,
IA
50392.
Name,
Position
Held
with
the
Fund,
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Number
of
Portfolios
in
Fund
Complex
Overseen
by
Director
Other
Directorships
Held
by
Director
During
Past
5
Years
Timothy
M.
Dunbar
Chair
and
Director
since
2019
Member,
Executive
Committee
1957
Director,
PGI
since
2018
President,
Principal
Global
Asset
Management,
PGI,
Principal
Life
Insurance
Company
(“PLIC”),
Principal
Financial
Services,
Inc.
(“PFSI”),
and
Principal
Financial
Group
(“PFG”)
since
2018
Chair/Executive
Vice
President,
RobustWealth,
Inc.
since
2018
Director,
Post
Advisory
Group,
LLC
(“Post”)
since
2018
Executive
Vice
President/Chief
Investment
Officer,
PLIC,
PFSI
and
PFG
(2014-2018)
127
None
Patrick
Halter
Director
since
2017
1959
Chief
Executive
Officer
and
President,
PGI
since
2018
Chief
Operating
Officer,
PGI
(2017-2018)
Chair,
PGI
since
2018
Director,
PGI
(2003-2018)
Director,
Finisterre
Capital
LLP
since
2018
Director,
Origin
Asset
Management
LLP
since
2018
Chair,
Post
since
2017
Chief
Executive
Officer,
Principal
Real
Estate
Investors,
LLC
(“PREI”)
since
2005
Chair,
PREI
since
2004
Chair,
Spectrum
Asset
Management,
Inc.
since
2017
Director,
CCIP,
LLC
since
2017
127
None
218
The
following
table
presents
officers
of
the
Funds.
Name,
Position
Held
with
the
Fund,
Address,
and
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Randy
L.
Bergstrom
Assistant
Tax
Counsel
Des
Moines,
IA
50392
1955
Counsel,
PGI
Counsel,
PLIC
Kamal
Bhatia
President,
Chief
Executive
Officer
1972
President,
PFG,
PFSI,
and
PLIC
since
2019
Principal
Executive
Officer,
OC
Private
Capital
(2017-2019)
Senior
Vice
President,
OppenheimerFunds
(2011-
2019)
Jennifer
A.
Block
Deputy
Chief
Compliance
Officer
Des
Moines,
IA
50392
1973
Vice
President
and
Counsel
(2017-2018)
Assistant
Counsel
(2010-2017)
Assistant
Secretary
(2015-2018)
Counsel,
PGI
(2017-2018)
Counsel,
PLIC
(2009-2018)
Counsel,
PMC
(2014-2017)
Tracy
W.
Bollin
Chief
Financial
Officer
Des
Moines,
IA
50392
1970
Managing
Director,
PGI
since
2016
Chief
Operating
Officer,
PMC
(2015-2017)
Chief
Financial
Officer,
PFA
(2010-2015)
Senior
Vice
President,
PFD
since
2015
Chief
Financial
Officer,
PFD
(2010-2016)
Senior
Vice
President,
PMC
(2015–2017)
Chief
Financial
Officer,
PMC
(2010-2015)
Director,
PMC
(2014–2017)
Chief
Financial
Officer,
PSI
(2010-2015)
President,
PSS
since
2015
Chief
Financial
Officer,
PSS
(2010-2015)
Gina
L.
Graham
Treasurer
Des
Moines,
IA
50392
1965
Vice
President/Treasurer,
PFA
since
2016
Vice
President/Treasurer,
PFD
since
2016
Vice
President/Treasurer,
PGI
since
2016
Vice
President/Treasurer,
PLIC
since
2016
Vice
President/Treasurer,
PMC
(2016-2017)
Vice
President/Treasurer,
PREI
since
2016
Vice
President/Treasurer,
PSI
since
2016
Vice
President/Treasurer,
PSS
since
2016
Laura
B.
Latham
Assistant
Counsel
and
Assistant
Secretary
Des
Moines,
IA
50392
1986
Counsel,
PGI
since
2018
Prior
thereto,
Attorney
in
Private
Practice
Diane
K.
Nelson
AML
Officer
Des
Moines,
IA
50392
1965
Chief
Compliance
Officer/AML
Officer,
PSS
since
2015
Compliance
Advisor,
PMC
(2013-2015)
Sara
L.
Reece
Vice
President
and
Controller
Des
Moines,
IA
50392
1975
Director
-
Accounting,
PLIC
since
2015
Assistant
Financial
Controller,
PLIC
prior
to
2015
Teri
R.
Root
Chief
Compliance
Officer
Des
Moines,
IA
50392
1979
Interim
Chief
Compliance
Officer
(2018)
Deputy
Chief
Compliance
Officer
(2015-2018)
Deputy
Chief
Compliance
Officer,
PGI
since
2017
Vice
President
and
Chief
Compliance
Officer,
PMC
(2015–2017)
Vice
President,
PSS
since
2015
Britney
L.
Schnathorst
Assistant
Counsel
and
Assistant
Secretary
Des
Moines,
IA
50392
1981
Counsel,
PLIC
since
2013
219
The
15(c)
Committee’s
primary
purpose
is
to
assist
the
Board
in
performing
the
annual
review
of
the
Fund’s
advisory
and
sub-advisory
agreements
pursuant
to
Section
15(c)
of
the
1940
Act.
The
Committee
responsibilities
include
requesting
and
reviewing
materials.
The
Audit
Committee’s
primary
purpose
is
to
assist
the
Board
in
fulfilling
certain
of
its
responsibilities.
The
Audit
Committee
serves
as
an
independent
and
objective
party
to
monitor
the
Fund
Complex’s
accounting
policies,
financial
reporting
and
internal
control
system,
as
well
as
the
work
of
the
independent
registered
public
accountants.
The
Audit
Committee
assists
Board
oversight
of
1)
the
integrity
of
the
Fund
Complex’s
financial
statements;
2)
the
Fund
Complex’s
compliance
with
certain
legal
and
regulatory
requirements;
3)
the
independent
registered
public
accountants’
qualifications
and
independence;
and
4)
the
performance
of
the
Fund
Complex’s
independent
registered
public
accountants.
The
Audit
Committee
also
provides
an
open
avenue
of
communication
among
the
independent
registered
public
accountants,
the
Manager’s
internal
auditors,
Fund
Complex
management,
and
the
Board.
The
Executive
Committee’s
primary
purpose
is
to
exercise
certain
powers
of
the
Board
when
the
Board
is
not
in
session.
When
the
Board
is
not
in
session,
the
Committee
may
exercise
all
powers
of
the
Board
in
the
management
of
the
business
of
the
Fund
Complex
except
the
power
to
1)
authorize
dividends
or
distributions
on
stock;
2)
issue
stock,
except
as
permitted
by
law;
3)
recommend
to
the
stockholders
any
action
which
requires
stockholder
approval;
4)
amend
the
bylaws;
or
5)
approve
any
merger
or
share
exchange
which
does
not
require
stockholder
approval.
The
Nominating
and
Governance
Committee’s
primary
purpose
is
to
oversee
the
structure
and
efficiency
of
the
Board
and
the
committees
established
by
the
Board.
The
Committee
responsibilities
include
evaluating
Board
membership
and
functions,
committee
membership
and
functions,
insurance
coverage,
and
legal
matters.
The
nominating
functions
of
the
Committee
include
selecting
and
nominating
all
candidates
who
are
not
“interested
persons”
of
the
Fund
Complex
for
election
to
the
Board.
Generally,
the
Committee
requests
director
nominee
suggestions
from
the
committee
members
and
management.
In
addition,
the
Committee
will
consider
Director
candidates
recommended
by
shareholders
of
the
Fund
Complex.
Recommendations
should
be
submitted
in
writing
to
Principal
Funds,
Inc.
at
711
High
Street,
Des
Moines,
IA
50392.
When
evaluating
a
person
as
a
potential
nominee
to
serve
as
an
Independent
Director,
the
Committee
will
generally
consider,
among
other
factors:
age;
education;
relevant
business
experience;
geographical
factors;
whether
the
person
is
“independent”
and
Name,
Position
Held
with
the
Fund,
Address,
and
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Adam
U.
Shaikh
Assistant
Counsel
Des
Moines,
IA
50392
1972
Assistant
General
Counsel,
PGI
since
2018
Counsel,
PGI
(2017-2018)
Counsel,
PLIC
since
2006
Counsel,
PMC
(2014-2017)
John
L.
Sullivan
Assistant
Counsel
and
Assistant
Secretary
Des
Moines,
IA
50392
1970
Counsel,
PGI
since
2019
Prior
thereto,
Attorney
in
Private
Practice
Dan
L.
Westholm
Assistant
Treasurer
Des
Moines,
IA
50392
1966
Assistant
Vice
President/Treasurer,
PGI
since
2017
Assistant
Vice
President/Treasury,
PFA
since
2013
Assistant
Vice
President/Treasury,
PFD
since
2013
Assistant
Vice
President/Treasury,
PLIC
since
2014
Assistant
Vice
President/Treasury,
PMC
(2013-
2017)
Assistant
Vice
President/Treasury,
PSI
since
2013
Assistant
Vice
President/Treasury,
PSS
since
2013
Beth
C.
Wilson
Vice
President
and
Secretary
Des
Moines,
IA
50392
1956
Director
and
Secretary
–
Funds,
PLIC
Clint
L.
Woods
Counsel,
Vice
President,
and
Assistant
Secretary
Des
Moines,
IA
50392
1961
Of
Counsel
(2017-2018)
Vice
President
(2016-2017)
Counsel
(2015-2017)
Vice
President,
PLIC
since
2015
Associate
General
Counsel,
Governance
Officer,
and
Assistant
Corporate
Secretary,
PLIC
since
2013
Jared
Yepsen
Assistant
Tax
Counsel
Des
Moines,
IA
50392
1981
Counsel,
PGI
since
2017
Counsel,
PLIC
since
2015
Senior
Attorney,
Transamerica
Life
Insurance
Company
(2013-2015)
220
otherwise
qualified
under
applicable
laws
and
regulations
to
serve
as
a
director;
and
whether
the
person
is
willing
to
serve,
and
willing
and
able
to
commit
the
time
necessary
for
attendance
at
meetings
and
the
performance
of
the
duties
of
an
independent
director.
The
Committee
also
meets
personally
with
the
nominees
and
conducts
a
reference
check.
The
final
decision
is
based
on
a
combination
of
factors,
including
the
strengths
and
the
experience
an
individual
may
bring
to
the
Board.
The
Committee
believes
the
Board
generally
benefits
from
diversity
of
background,
experience
and
views
among
its
members,
and
considers
these
factors
in
evaluating
the
composition
of
the
Board.
The
Board
does
not
use
regularly
the
services
of
any
professional
search
firms
to
identify
or
evaluate
or
assist
in
identifying
or
evaluating
potential
candidates
or
nominees.
The
Operations
Committee’s
primary
purpose
is
to
oversee
the
provision
of
administrative
and
distribution
services
to
the
Funds
Complex,
communications
with
the
Fund
Complex’s
shareholders,
and
review
and
oversight
of
the
Fund
Complex’s
operations.
Additional
information
about
the
Fund
is
available
in
the
Prospectus
dated
December
1,
2019,
and
the
Statement
of
Additional
Information
dated
December
1,
2019.
These
documents
may
be
obtained
free
of
charge
by
writing
Principal
Funds,
Inc.,
P.O.
Box
8024,
Boston,
MA
02266-8024
or
telephoning
1-800-222-5852.
The
prospectus
may
be
viewed
at
www.PrincipalFunds.com/prospectuses.
PROXY
VOTING
POLICIES
A
description
of
the
policies
and
procedures
the
Fund
uses
to
determine
how
to
vote
proxies
relating
to
portfolio
securities
and
the
results
of
the
proxy
votes
for
the
most
recent
twelve
months
ended
June
30
may
be
obtained
free
of
charge
by
telephoning
1-800-222-5852,
or
on
the
SEC
website
at
www.sec.gov.
SCHEDULES
OF
INVESTMENTS
The
Fund
files
complete
schedules
of
investments
with
the
Securities
and
Exchange
Commission
as
of
November
30
and
May
31
each
year
as
a
part
of
Form
N-PORT.
The
Fund’s
Form
N-PORT
can
be
reviewed
and
copied
at
the
Commission’s
Public
Reference
Room
in
Washington,
D.C.
or
on
the
Commission’s
website
at
www.sec.gov.
Information
on
the
operation
of
the
Public
Reference
Room
may
be
obtained
by
calling
the
Commission
at
1-202-551-8090.
STATEMENT
REGARDING
LIQUIDITY
RISK
MANAGEMENT
PROGRAM
On
June
1,
2019,
a
Liquidity
Risk
Management
Program
(the
“Program”)
was
adopted
by
the
Fund.
The
Board
is
expected
to
review
the
operation
and
effectiveness
of
the
Program
in
June
2020.
221
BOARD
CONSIDERATION
OF
INVESTMENT
ADVISORY
CONTRACTS
During
the
period
covered
by
this
report,
the
Board
of
Directors
of
Principal
Funds,
Inc.
(“PFI”)
approved
the
annual
review
and
renewal
of
the
Management
Agreement
and
various
subadvisory
agreements
for
all
Funds.
Annual
Review
and
Renewal
of
Management
Agreement
and
Subadvisory
Agreements
At
its
September
10,
2019
meeting,
the
Board
performed
its
annual
review
and
renewal
process
relating
to
the
Management
Agreement
and
the
Sub-advisory
Agreements
for
all
Funds.
Section
15(c)
of
the
Investment
Company
Act
of
1940
(the
“1940
Act”)
requires
the
Board,
including
a
majority
of
the
Directors
who
have
no
direct
or
indirect
interest
in
the
investment
advisory
agreements
and
who
are
not
“interested
persons”
of
PFI,
as
defined
in
the
1940
Act
(the
“Board”),
annually
to
review
and
to
consider
the
continuation
of:
(1)
the
Management
Agreement
between
Principal
Global
Investors,
LLC
(the
“Manager”)
and
PFI,
on
behalf
of
each
of
the
fifteen
(15)
series
of
PFI
(each
series
is
referred
to
as
a
“Fund”)
(2)
the
Sub-advisory
Agreements
between
the
Manager
and
each
of
BlackRock
Financial
Management,
Inc.;
BlackRock
International
Limited;
BNP
Paribas
Asset
Management
USA,
Inc.;
ClearBridge
RARE
infrastructure
(North
America)
Pty
Limited;
Columbus
Circle
Investors;
Credit
Suisse
Asset
Management,
LLC;
Delaware
Investments
Fund
Advisers;
Finisterre
Capital
LLP;
Gotham
Asset
Management,
LLC;
Graham
Capital
Management,
L.P.;
KLS
Diversified
Asset
Management
LP;
Loomis,
Sayles
&
Company,
L.P.;
Los
Angeles
Capital
Management
and
Equity
Research,
Inc.;
Mellon
Investments
Corporation;
Origin
Asset
Management
LLP;
Pictet
Asset
Management
SA;
Principal
Real
Estate
Investors,
LLC;
Sound
Point
Capital
Management,
LP;
Spectrum
Asset
Management,
Inc.;
Symphony
Asset
Management
LLC;
Tortoise
Capital
Advisors,
L.L.C.;
Wellington
Management
Company
LLP;
and
York
Registered
Holdings,
L.P.;
(collectively,
the
“Subadvisors”).
The
Management
Agreement
and
the
Subadvisory
Agreements
are
collectively
referred
to
as
the
“Advisory
Agreements.”
The
Board
considered
the
factors
and
reached
the
conclusions
described
below
relating
to
the
continuation
of
the
Advisory
Agreements.
In
evaluating
the
Advisory
Agreements,
the
Board
reviewed
a
broad
range
of
information
requested
for
this
purpose,
including,
among
other
information,
information
regarding
performance,
advisory
fees,
total
expenses,
profitability
from
the
Advisory
Agreements
to
the
Manager
and
information
about
economies
of
scale.
The
Board
reviewed
the
materials
provided
and
concluded
that
it
was
provided
all
information
reasonably
necessary
to
evaluate
the
Advisory
Agreements.
Management
Agreement
The
Board
considered,
among
other
factors,
that
the
Manager,
along
with
Principal
Management
Corporation,
the
previous
investment
advisor
to
the
Funds
that
merged
with
and
into
the
Manager
on
May
1,
2017,
and
its
affiliates
have
demonstrated
a
long-term
commitment
to
support
the
Funds,
including
undertakings
to
cap
Fund
expenses
and/or
waive
management
fees
for
certain
Funds.
In
addition,
the
Board
considered
the
following
factors
for
each
of
the
Funds.
The
Board
concluded
that
a
relationship
with
a
capable
and
conscientious
investment
adviser
is
in
the
best
interests
of
each
Fund.
The
Board
considered
the
nature,
quality
and
extent
of
the
services
provided
under
the
Management
Agreements,
including
accounting
and
administrative
services,
as
applicable.
The
Board
considered
the
experience
and
skills
of
senior
management
leading
Fund
operations,
the
experience
and
skills
of
the
personnel
performing
the
functions
under
the
Management
Agreements
and
the
resources
made
available
to
such
personnel,
the
ability
of
the
Manager
to
attract
and
retain
high-quality
personnel
and
the
organizational
depth
and
stability
of
the
Manager.
The
Board
concluded
that
appropriate
resources
were
provided
under
the
Management
Agreements.
The
Board
also
considered
that
for
certain
Funds,
during
the
periods
reviewed,
the
Manager
had
delegated
day-to-day
portfolio
management
responsibility
to
the
sub-advisors.
The
Board
noted
that
the
Manager’s
process
for
the
selection
of
Sub-advisors
emphasizes
the
selection
of
Principal-affiliated
sub-advisors
that
are
determined
to
be
qualified
under
the
Manager’s
due
diligence
process,
but
that
the
Manager
will
select
an
unaffiliated
sub
advisor
to
manage
all
or
a
portion
of
a
Fund’s
investment
portfolio
when
deemed
necessary
or
appropriate
based
upon
a
consideration
of
the
Fund’s
investment
mandate
and
available
expertise
and
resources
within
the
Principal
organization.
With
respect
to
Funds
with
unaffiliated
sub
advisors,
the
Board
considered
the
due
diligence
process
developed
by
the
Manager
for
purposes
of
selecting
a
qualified
unaffiliated
sub-advisor
for
a
Fund.
The
Board
considered
the
Manager’s
due
diligence
process
for
monitoring
and
replacing
Sub-
advisors
and
for
monitoring
the
investment
performance
of
the
Manager.
The
Board
also
considered
the
compliance
program
established
by
the
Manager
for
the
Funds,
the
quality
of
that
program
and
the
Funds’
compliance
history.
The
Board
noted
that
they
had
reviewed
and
discussed
information
regarding
the
cost
and
quality
of
Fund
portfolio
transactions,
including
best
execution
and
soft
dollar
reports
and
information
regarding
the
research
payment
accounts
for
applicable
Funds,
and
included
this
information
in
their
consideration
of
the
renewal
of
the
Advisory
Agreements.
Based
upon
all
relevant
factors,
the
Board
concluded
that
the
nature,
quality
and
extent
of
the
services
provided
by
the
Manager
to
the
Funds
under
each
Management
Agreement
were
satisfactory.
Investment
Performance
The
Board
reviewed
each
Fund’s
investment
performance
over
longer-term
periods,
reviewing
both
the
investment
return
during
the
three-
year
period
ended
March
31,
2019
and
the
blended
investment
return
(50%/50%)
of
the
three-
and
five-year
periods
ended
March
31,
2019,
and
compared
those
returns
to
various
agreed-upon
performance
measures,
including,
for
all
Funds
peer
group
data
based
upon
a
broad-
based,
industry
category
determined
by
Broadridge
(“Performance
Universe”).
222
For
Funds
or
Sub-advisors
that
did
not
have
a
three-year
or
five-year
performance
history,
the
Board
reviewed
performance
for
a
one-year
or
three-year
period
ended
March
31,
2019,
respectively,
if
available.
The
Board
also
compared
each
Fund’s
investment
performance
over
the
one-,
three-
and
five-year
periods
ended
March
31,
2019,
as
available,
to
one
or
more
relevant
benchmark
indices.
The
Board
noted
that
certain
Funds
had
commenced
operations
recently
and,
accordingly,
no
or
limited
performance
information
was
considered.
The
Board
also
considered
whether
investment
results
were
consistent
with
a
Fund’s
investment
objective(s)
and
policies.
For
most
Funds,
the
Board
concluded
that
the
Fund’s
investment
returns
met
acceptable
levels
of
investment
performance.
There
were
certain
Funds,
and
certain
Sub-advisors
for
multi-manager
Funds,
that
had
not
attained
during
the
relevant
period(s)
a
level
of
investment
performance
considered
satisfactory
by
the
Board.
For
such
Funds,
the
Board
also
considered
other
factors,
such
as
the
longer-
term
performance
of
each
such
Fund
or
Sub-advisor,
remedial
efforts
being
taken
to
improve
performance
and/or
the
Manager’s
explanation
for
the
performance
of
such
Fund
or
Sub
advisor.
The
Board
considered
the
Manager’s
due
diligence
process
for
evaluating
the
performance
of
all
Funds
and
all
Sub-advisors,
for
which
they
received
regular
reporting,
and
concluded
that
the
Manager
has
in
place
an
effective
due
diligence
process
to
monitor
investment
performance,
to
encourage
remedial
action
and
to
make
changes
in
the
Sub
advisors
at
the
appropriate
time,
if
necessary.
Investment
Management
Fees
The
Board
considered
each
Fund’s
management
fee
rate.
For
each
Fund,
the
Board
received
certain
information
from
Broadridge.
The
Board
received
information
comparing
each
Fund’s
(1)
contractual
management
fee
rate
at
current
asset
levels
and
at
theoretical
asset
levels,
(2)
net
management
fee
rate
(after
any
fee
waivers)
at
average
fiscal-year
asset
levels,
(3)
actual
non-management
fee
rate
at
average
fiscal-year
asset
levels,
and
(4)
total
net
expense
ratio
(including,
as
applicable,
acquired
fund
fees
and
expenses
and
after
any
expense
caps
or
fee
waivers)
at
average
fiscal-year
asset
levels
for
Class
A
shares,
in
each
case
as
available,
to
investment
advisory
fee
rates
and
expense
ratios
of
funds
in
a
peer
group
selected
by
Broadridge
(“Expense
Group”),
and,
if
available,
a
broad-based,
industry
category
defined
by
Broadridge
(“Expense
Universe”).
The
Board
considered
that
the
Capital
Securities
fund
does
not
pay
a
management
fee.
For
Funds
that
did
not
offer
Class
A
shares
or
if
Class
A
shares
represented
less
than
5%
of
the
Fund’s
total
assets,
the
information
provided
was
based
upon
Institutional
Class
shares.
In
evaluating
the
management
fee
rates,
the
Board
considered
a
variety
of
factors,
including
the
fee
rates,
breakpoints,
comparisons
to
fee
rates
of
peer
group
funds
and
other
funds
and
non
fund
accounts
managed
by
the
Manager,
sub-advisory
fee
rates
paid,
services
provided,
investment
performance,
total
net
expense
ratios,
profitability,
the
existence
and
sharing
of
economies
of
scale,
fall-out
benefits
and
expense
caps
and
fee
waivers.
The
Board
considered
the
impact
of
changes
in
sub-advisory
fee
rates
put
into
effect
since
September
2018.The
Board
considered
that
certain
Funds
with
similar
investment
strategies
and
policies
have
different
management
fees
and
noted
the
reasons
cited
by
the
Manager
for
the
differing
fees.
For
most
Funds,
actual
management
fees
were
within
the
third
quartile
or
better
when
compared
to
their
Expense
Group.
For
some
Funds,
although
actual
management
fees
were
higher
than
the
third
quartile,
total
net
expense
ratios
were
within
the
third
quartile
or
better.
Profitability
The
Board
reviewed
detailed
information
regarding
revenues
PGI
received
under
the
Management
Agreements
and
the
estimated
direct
and
indirect
costs
incurred
in
providing
to
each
Fund
the
services
described
in
the
applicable
Management
Agreements
for
the
year
ended
December
31,
2018.
The
Board
also
considered
the
returns
on
revenue
generated
in
connection
with
the
payment
of
sub-advisory
fees
to
affiliated
Sub-advisors
(Columbus
Circle
Investors,
Finisterre
Capital
LLP,
Origin
Asset
Management
LLP,
Principal
Real
Estate
Investors
LLC
and
Spectrum
Asset
Management,
Inc.)
and
the
aggregated
return
on
revenue
to
PGI
and
its
affiliates
for
the
year
ended
December
31,
2018.
The
Board
concluded
that
the
management
fee
for
each
Fund
was
reasonable,
taking
into
account
the
profitability
information
presented
by
the
Manager.
Economies
of
Scale
The
Board
considered
whether
there
are
economies
of
scale
with
respect
to
the
management
of
each
Fund
and
whether
the
Funds
benefit
from
any
such
economies
of
scale.
The
Board
considered
the
Manager’s
biennial
breakpoint
study
that
was
received
by
the
Board
in
March
2018
and
the
Manager’s
representation
that
Funds
are
initially
priced
as
though
the
Fund
had
reached
scale,
reflecting
a
sharing
of
economies
of
scale.
The
Board
then
reviewed
the
levels
at
which
breakpoints
occur,
the
incremental
declines
in
management
fee
rates
at
each
breakpoint
and
the
amount
of
fee
reductions
that
had
been
provided
to
shareholders
as
a
result
of
these
breakpoints.
The
Board
considered
cost
saving
passed
along
to
the
Funds
as
a
result
of
certain
expense
caps
and
fee
waivers.
The
Board
considered
whether
the
effective
management
fee
rate
for
each
Fund
under
the
applicable
Management
Agreement
is
reasonable
in
relation
to
the
asset
size
of
such
Fund.
The
Board
also
noted
management’s
explanation
of
efficiencies
in
the
Manager’s
cost
structure.
The
Board
concluded
that
the
fee
schedule
for
each
Fund,
taking
into
account
the
proposed
amendments
described
above,
reflects
an
appropriate
level
of
sharing
of
any
economies
of
scale.
The
Board
also
noted
that
the
management
fee
schedules
for
the
Bond
Market
Index
Fund
and
International
Equity
Index
Fund
do
not
include
breakpoints,
but
each
such
Fund
has
a
relatively
low
management
fee
rate
(25
basis
points
or
less)
on
all
Fund
assets.
Considering
all
relevant
factors,
including
the
level
of
the
fee,
the
Board
determined
that
no
breakpoints
were
necessary
at
this
time.
223
Other
Benefits
to
Manager
The
Board
also
considered
the
character
and
amount
of
other
incidental
benefits
received
by
the
Manager
and
its
affiliates
from
their
relationships
with
the
Funds.
The
Board
concluded
that
the
incidental
benefits
received
by
the
Manager
and
its
affiliates
were
appropriate.
Special
Circumstances
For
certain
Funds,
in
reaching
the
conclusion
that
the
Management
Agreement
should
be
renewed,
the
Board
included
within
their
considerations
certain
actions
previously
taken
by
the
Board.
Subadvisory
Agreements
Nature,
Quality
and
Extent
of
Services
The
Board
considered
the
nature,
quality
and
extent
of
the
services
provided
under
each
Sub
advisory
Agreement.
The
Board
considered
the
reputation,
qualifications
and
background
of
the
Sub-advisor,
the
investment
approach
of
the
Sub-advisor,
the
experience
and
skills
of
investment
personnel
responsible
for
the
day-to-day
management
of
each
Fund
and
the
resources
made
available
to
such
personnel.
The
Board
also
considered
the
Sub-advisors’
compliance
with
investment
policies
and
general
legal
compliance.
Based
upon
all
relevant
factors,
the
Board
concluded
that
the
nature,
quality
and
extent
of
the
services
provided
by
the
Sub-advisors
to
the
sub-advised
Funds
under
the
Sub-
advisory
Agreements
are
satisfactory.
With
respect
to
each
Sub-advisory
Agreement
for
which
management
proposed
an
amendment
that
would
result
in
a
reduction
in
the
sub-
advisory
fee
rate,
the
Board
considered
the
Manager’s
representation
that
the
amendment
would
not
reduce
the
nature,
quality
or
extent
of
the
services
the
Sub-advisor
provides
and
that
the
Sub-advisor’s
obligations
under
the
Sub
advisory
Agreement
would
remain
the
same
in
all
material
respects.
Investment
Performance
As
to
each
sub-advised
Fund,
the
Manager
had
advised
the
Board
that
the
investment
services
delivered
by
each
Sub-advisor
to
the
Fund
were
reasonable.
Based
upon
all
relevant
factors,
the
Board
concluded
that
each
Sub-advisor
is
qualified
and
that
either:
(1)
the
investment
performance
of
the
Sub-advisor
met
acceptable
levels
of
investment
performance;
or
(2)
although
the
Fund
experienced
underperformance
from
the
applicable
Sub-advisor,
based
upon
that
Fund’s
particular
circumstances
or
in
light
of
remedial
efforts
being
taken
to
improve
performance,
as
applicable,
it
was
in
the
best
interests
of
the
Fund
to
continue
to
closely
monitor
performance
and
to
renew
the
Sub-advisory
Agreement.
In
each
case
involving
underperformance,
the
Board
concluded
that
the
Manager
was
providing
effective
monitoring.
Fees,
Economies
of
Scale
and
Profitability
For
each
sub-advised
Fund,
the
Board
considered
the
sub-advisory
fee
rates,
noting
that
the
Manager
compensates
each
Sub-advisor
from
its
own
management
fee,
so
that
shareholders
pay
only
the
management
fee.
For
each
sub-advised
Fund,
the
Board
received
certain
information
from
Broadridge
comparing
each
such
Fund’s
sub-advisory
fee
rate
at
current
asset
levels
and
at
theoretical
asset
levels
to
sub-advisory
fee
rates
of
sub
advised
funds
in
the
Expense
Group
and,
if
available,
the
Expense
Universe.
The
Board
considered
that
the
Capital
Securities
Fund
does
not
receive
a
subadvisory
fee.
The
Board
considered
whether
there
are
economies
of
scale
with
respect
to
the
sub-advisory
services
provided
to
each
sub-advised
Fund
and,
if
so,
whether
the
sub-advisory
fees
reflect
such
economies
of
scale
through
breakpoints
in
fee
schedules
or
whether
the
sub-advisory
fee
schedule
is
otherwise
appropriate
at
current
asset
levels.
In
addition,
in
evaluating
the
sub
advisory
fee
rates
and
the
factor
of
profitability,
with
respect
to
unaffiliated
Sub-advisors,
the
Board
considered
that
the
sub-advisory
fee
rate
was
negotiated
at
arm’s
length
between
the
Manager
and
the
Sub-advisor.
The
Board
considered
the
profitability
of
the
affiliated
Sub
advisors
in
conjunction
with
their
review
of
the
profitability
of
the
Manager.
Other
Benefits
to
Sub-advisors
The
Board
also
considered
the
character
and
amount
of
other
incidental
benefits
received
by
each
Sub-advisor
when
evaluating
the
sub
advisory
fees.
The
Board
considered
as
a
part
of
this
analysis
each
Sub-advisor’s
brokerage
practices,
soft
dollar
practices
and
use
of
research
payment
accounts.
The
Board
concluded
that
the
incidental
benefits
received
by
each
Sub
advisor
were
appropriate.
Overall
Conclusions
Based
upon
all
of
the
information
considered
and
the
conclusions
reached,
the
Board
determined
that
the
terms
of
each
Advisory
Agreement,
including
the
fee
rate
payable
thereunder,
continue
to
be
fair
and
reasonable
and
that
the
continuation
of
each
Advisory
Agreement,
with
the
actions
proposed
by
the
Manager,
is
in
the
best
interests
of
each
Fund.
224
Special
Meeting
of
Shareholders
Principal
Funds,
Inc.
Held
December
18,
2019
1.
Approval
of
a
Plan
of
Acquisition
providing
for
the
reorganization
of
the
Global
Opportunities
Fund
into
the
Diversified
International
Fund.
For
Against
Abstain
Global
Opportunities
Fund
2,744,466.553
70,693.110
22,094.224
Principal
Funds
Distributor,
Inc.
711
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Street
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Moines,
IA
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not
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shareholder
report
is
published
as
general
information
for
the
shareholders
of
Principal
Funds.
This
material
is
not
authorized
for
distribution
unless
preceded
or
accompanied
by
a
current
prospectus
or
a
summary
prospectus
that
includes
more
information
regarding
the
risk
factors,
expenses,
policies,
and
objectives
of
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funds.
Investors
should
read
the
prospectus
or
summary
prospectus
carefully
before
investing.
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obtain
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prospectus
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prospectus,
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call
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Distributor,
Inc.
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design,
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company.
©
2020
Principal
Financial
Services,
Inc.
|
FV675-10
|
02/2020
|
729325
Principal
Funds:
Equity
&
Fixed-Income
Funds
Class
A
&
C
Shares
Semiannual
Report
February
29,
2020
Beginning
on
January
1,
2021,
as
permitted
by
regulations
adopted
by
the
Securities
and
Exchange
Commission,
paper
copies
of
the
Fund’s
annual
and
semi-annual
shareholder
reports
will
no
longer
be
sent
by
mail,
unless
you
specifically
request
paper
copies
of
the
report
from
the
Fund
or
your
financial
intermediary,
such
as
a
broker-dealer
or
bank.
Instead,
the
reports
will
be
made
available
on
a
website,
and
you
will
be
notified
by
mail
each
time
a
report
is
posted
and
provided
with
a
website
link
to
access
the
report.
If
you
already
elected
to
receive
such
reports
electronically,
you
will
not
be
affected
by
this
change
and
you
do
not
need
to
take
any
action.
If
you
have
not
previously
elected
electronic
delivery,
you
may
elect
to
receive
reports
and
other
communications
from
the
Fund
electronically
by
visiting
our
website
at
www.principalfunds.com/edelivery
for
instructions
on
enrolling
in
eDelivery
or
calling
800-222-5852.
If
you
own
these
shares
through
a
financial
intermediary,
you
may
contact
your
financial
intermediary.
You
may
elect
to
receive
all
future
reports
in
paper
free
of
charge.
If
you
wish
to
continue
receiving
paper
copies
of
your
reports,
you
can
inform
the
Fund
by
calling
800-222-5852.
If
you
own
these
shares
through
a
financial
intermediary,
you
may
contact
your
financial
intermediary
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elect
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copies
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If
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directly
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Funds
but
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a
brokerage
firm,
please
contact
your
broker
for
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options
available.
Rev.
01/2020
EE11865PFI-03
FACTS
WHAT
DOES
PRINCIPAL
FUNDS
DO
WITH
YOUR
PERSONAL
INFORMATION?
Why?
Financial
companies
choose
how
they
share
your
personal
information.
Federal
law
gives
consumers
the
right
to
limit
some
but
not
all
sharing.
Federal
law
also
requires
us
to
tell
you
how
we
collect,
share,
and
protect
your
personal
information.
Please
read
this
notice
carefully
to
understand
what
we
do.
What?
The
types
of
personal
information
we
collect
and
share
depend
on
the
product
or
service
you
have
with
us.
This
information
can
include:
•
Social
Security
number
and
income
•
Assets
and
transaction
history
•
Account
transactions
and
account
balances
When
you
are
no
longer
our
customer,
we
continue
to
share
your
information
as
described
in
this
notice
How?
All
financial
companies
need
to
share
customers’
personal
information
to
run
their
everyday
business.
In
the
section
below,
we
list
the
reasons
financial
companies
can
share
their
customers’
personal
information;
the
reasons
Principal
Funds
chooses
to
share;
and
whether
you
can
limit
this
sharing.
REASONS
WE
CAN
SHARE
YOUR
PERSONAL
INFORMATION
DOES
PRINCIPAL
FUNDS
SHARE?
CAN
YOU
LIMIT
THIS
SHARING?
For
our
everyday
business
purposes
—such
as
to
process
your
transactions,
maintain
your
account(s),
respond
to
court
orders
and
legal
investigations,
or
report
to
credit
bureaus
Yes
No
For
our
marketing
purposes
—to
offer
our
products
and
services
to
you
Yes
No
For
joint
marketing
with
other
financial
companies
No
We
don’t
share
For
our
affiliates’
everyday
business
purposes
—
information
about
your
transactions
and
experiences
Yes
No
For
our
affiliates’
everyday
business
purposes
—
information
about
your
creditworthiness
No
We
don’t
share
For
nonaffiliates
to
market
to
you
No
We
don’t
share
Questions?
Call
1-800-222-5852
or
go
to
www.principalfunds.com/customer-support/contact-us
Page
2
EE11865PFI-03
|
01/2020
Who
we
are
Who
is
providing
this
notice?
Principal
Funds
includes
Principal
Funds,
Inc.,
Principal
Funds
Distributor,
Inc.,
and
Principal
Diversified
Select
Real
Asset
Fund.
What
we
do
How
does
Principal
Funds
protect
my
personal
information?
To
protect
your
personal
information
from
unauthorized
access
and
use,
we
use
security
measures
that
comply
with
federal
law.
These
measures
include
computer
safeguards
and
secured
files
and
buildings.
How
does
Principal
Funds
collect
my
personal
information?
We
collect
your
personal
information,
for
example,
when
you
•
Open
an
account
or
seek
advice
about
your
investments
•
Direct
us
to
buy
securities
or
make
deposits,
or
withdrawals
from
your
account
•
Give
us
your
contact
information
or
show
your
government
issued
ID
We
also
collect
your
personal
information
from
others,
such
as
affiliates,
or
other
companies.
Why
can’t
I
limit
all
sharing?
Federal
law
gives
you
the
right
to
limit
only
•
sharing
for
affiliates’
everyday
business
purposes—information
about
your
creditworthiness
•
affiliates
from
using
your
information
to
market
to
you
•
sharing
for
nonaffiliates
to
market
to
you
State
laws
and
individual
companies
may
give
you
additional
rights
to
limit
sharing.
Definitions
Affiliates
Companies
related
by
common
ownership
or
control.
They
can
be
financial
and
nonfinancial
companies.
•
Our
affiliates
include
companies
of
Principal
Financial
Group
®
Nonaffiliates
Companies
not
related
by
common
ownership
or
control.
They
can
be
financial
and
nonfinancial
companies.
•
Principal
Funds
does
not
share
with
nonaffiliates
so
they
can
market
to
you.
Joint
marketing
A
formal
agreement
between
nonaffiliated
financial
companies
that
together
market
financial
products
or
services
to
you.
•
Principal
Funds
does
not
jointly
market.
Other
important
information
This
Privacy
Notice
governs
information
that
you
provide
to
Principal
(or
that
we
otherwise
receive)
when
you
apply
for
or
receive
a
product
or
service
used
primarily
for
personal,
family
or
household
purposes.
We
may
collect
additional
information
depending
on
the
nature
of
your
relationship
with
Principal
or
if
you
interact
with
us
through
our
website
or
other
digital
technologies.
Details
about
how
we
protect
and
use
this
additional
information,
including
information
about
your
privacy
rights
under
California
law
such
as
the
California
Consumer
Privacy
Act,
are
available
online
at
www.principal.com/privacy-policies
.
If
you
do
not
have
access
to
www.principal.com/privacy-policies,
please
contact
us
at
1-800-986-3343
to
have
a
copy
mailed
to
you.
Table
of
Contents
Not
FDIC
or
NCUA
insured
May
lose
value
•
Not
a
deposit
•
No
bank
or
credit
union
guarantee
Not
insured
by
any
Federal
government
agency
Letter
from
the
President
1
Financial
Statements
2
Notes
to
Financial
Statements
24
Schedules
of
Investments
50
Financial
Highlights
(includes
performance
information)
134
Shareholder
Expense
Example
144
Supplemental
Information
146
1
Kamal
Bhatia
President,
Principal
Funds
GLOBAL
INVESTMENT
MANAGEMENT
•
ASSET
ALLOCATION
EXPERTISE
•
RETIREMENT
LEADERSHIP
Dear
Shareholder,
After
gaining
momentum
through
January,
revival
from
last
year’s
world
slump
was
interrupted.
The
uptick
in
coronavirus
cases
outside
China
had
investors
fearing
the
worst.
Stock
markets
tanked
the
last
week
of
February,
taking
only
four
days
to
plunge
more
than
10%--the
shortest
time
in
history.
Stocks
were
more
attractive
than
in
mid-February,
but
a
sustained
rally
is
unlikely
until
new
cases
of
the
virus
peak
outside
of
China.
As
total
active
confirmed
cases
trended
lower
on
China,
quarantines
were
lifted
and
businesses
resumed
operations.
Real
gross
domestic
product
(GDP)
in
China
will
likely
contract
in
the
first
quarter,
given
several
weeks
of
closures.
It’s
likely,
though,
that
official
data
will
show
more
optimism.
Manufacturing
may
finally
have
turned
the
corner
in
the
United
States,
as
output
(ex
aircraft)
picked
up
nicely
in
January
and
regional
Federal
Reserve
(Fed)
business
surveys
were
clearly
better.
Housing
activity
has
been
vigorous
and
consumer
confidence
stayed
high
as
job
growth
and
income
gains
have
been
robust.
But
cracks
are
showing
beneath
the
surface.
Retail
sales
decelerated
in
recent
months,
despite
labor
market
strength
and
lofty
confidence.
A
key
survey
of
service
businesses
weakened
in
February,
driven
by
falloffs
in
tourism
and
other
travel-related
industries
associated
with
coronavirus.
If
the
virus
doesn’t
spread
meaningfully,
there
could
still
be
problems
with
supply
chain
issues,
plus
travel
and
trade
from
countries
harder
hit
by
the
virus.
In
the
Eurozone,
tepid
fourth
quarter
GDP
led
to
improving
data
early
this
year.
Business
surveys
upgraded
further
in
February
from
the
lows
of
late
last
year.
Most
measures
of
economic
confidence
rose,
too.
That
strength
will
be
needed
as
the
coronavirus
starts
to
take
a
toll.
For
investors,
the
situation
is
extremely
fluid.
If
the
virus
can
be
contained,
the
news
flow
could
quickly
turn
positive
and
a
sharp
stock
market
rally
could
ensue.
Long-term
interest
rates
could
also
jump.
Or:
the
news
could
turn
even
more
negative
if
new
cases
spike
further
and
fear
of
recession
spreads.
The
appropriate
attitude
is
to
hope
for
the
best
but
prepare
for
the
worst.
Our
focus
at
Principal
Funds
has
always
been
on
consistent,
long-term
performance
for
our
investors.
Our
investment
strategies
cover
a
wide
range
of
asset
classes
to
help
you
diversify
your
portfolio
as
you
save
for
the
future—whether
you
are
investing
for
goals
that
are
years
down
the
road
or
closer
at
hand.
1
Thanks
for
your
continued
trust
and
financial
commitment
to
our
funds
family.
Sincerely,
Kamal
Bhatia
President,
Principal
Funds
1
Asset
allocation
and
diversification
do
not
ensure
a
profit
or
protect
against
a
loss.
Past
performance
does
not
guarantee
future
results.
*
All
data
and
market
commentary
from
February
2020
Economic
Insights
by
Robert
F.
Baur,
Ph.D.,
executive
director,
chief
global
economist
and
Robin
Anderson,
Ph.D.,
senior
global
economist.
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
2
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Blue
Chip
Fund
Diversified
Real
Asset
Fund
(a)
Edge
MidCap
Fund
Investment
in
securities--at
cost
..........................................................
$
3,874,503‌
$
3,612,075‌
$
596,308‌
Investment
in
affiliated
Funds--at
cost
...................................................
$
3‌
$
115,457‌
$
18,968‌
Foreign
currency--at
cost
..................................................................
$
–‌
$
15,265‌
$
43‌
Assets
Investment
in
securities--at
value 
..........................................................
$
5,092,123‌
$
3,609,352‌
(b)
$
648,196‌
Investment
in
affiliated
Funds--at
value
....................................................
3‌
115,457‌
18,968‌
Foreign
currency--at
value
..................................................................
–‌
15,303‌
43‌
Cash
.........................................................................................
–‌
3,086‌
–‌
Deposits
with
counterparty
..................................................................
–‌
16,259‌
–‌
Receivables:
Dividends
and
interest
.................................................................
2,520‌
6,548‌
1,216‌
Expense
reimbursement
from
Manager
...............................................
220‌
207‌
35‌
Expense
reimbursement
from
Distributor
.............................................
3‌
–‌
–‌
Foreign
currency
contracts
...........................................................
–‌
906‌
–‌
Fund
shares
sold
.......................................................................
28,493‌
6,460‌
349‌
Investment
securities
sold
.............................................................
9,006‌
59,872‌
20,195‌
Unrealized
gain
on
unfunded
loan
commitments
.....................................
–‌
1,105‌
–‌
Variation
margin
on
futures
...........................................................
–‌
12,136‌
–‌
Variation
margin
on
swaps
............................................................
–‌
1,716‌
–‌
Prepaid
directors'
expenses
..................................................................
–‌
1‌
–‌
Total
Assets  
5,132,368‌
3,848,408‌
689,002‌
Liabilities
Accrued
management
and
investment
advisory
fees
........................................
2,627‌
2,509‌
410‌
Accrued
administrative
service
fees
........................................................
1‌
–‌
–‌
Accrued
distribution
fees
....................................................................
271‌
22‌
2‌
Accrued
service
fees
........................................................................
4‌
–‌
–‌
Accrued
transfer
agent
fees
.................................................................
167‌
537‌
9‌
Accrued
chief
compliance
officer
fees
......................................................
–‌
1‌
–‌
Accrued
directors'
expenses
.................................................................
4‌
–‌
–‌
Accrued
professional
fees
...................................................................
20‌
96‌
21‌
Accrued
other
expenses
.....................................................................
98‌
322‌
4‌
Deposits
from
counterparty
.................................................................
–‌
210‌
–‌
Payables:
Borrowing
.............................................................................
7,880‌
–‌
–‌
Foreign
currency
contracts
............................................................
–‌
1,210‌
–‌
Fund
shares
redeemed
.................................................................
34,228‌
4,175‌
1,251‌
Investment
securities
purchased
......................................................
861‌
98,019‌
24,503‌
Options
and
swaptions
contracts
written
 (premiums
received
$
0
,
$
3,687
and
$
0
)
...
–‌
3,981‌
–‌
OTC
swap
agreements--at
value
(premiums
received
$
0
,
$
0
and
$
0
)
................
–‌
12,578‌
–‌
Variation
margin
on
futures
...........................................................
–‌
21,328‌
–‌
Variation
margin
on
swaps
............................................................
–‌
1,876‌
–‌
Collateral
obligation
on
securities
loaned,
at
value
.........................................
–‌
9,826‌
–‌
Total
Liabilities  
46,161‌
156,690‌
26,200‌
Net
Assets
Applicable
to
Outstanding
Shares
............................................
$
5,086,207‌
$
3,691,718‌
$
662,802‌
Net
Assets
Consist
of:
Capital
shares
and
additional
paid-in-capital
...............................................
$
3,808,386‌
$
3,954,134‌
$
589,817‌
Total
distributable
earnings
(accumulated
loss)
.............................................
1,277,821‌
(
262,416‌
)
72,985‌
Total
Net
Assets 
$
5,086,207‌
$
3,691,718‌
$
662,802‌
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
3
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Blue
Chip
Fund
Diversified
Real
Asset
Fund
(a)
Edge
MidCap
Fund
Capital
Stock
(par
value:
$.01
per
share):
Shares
authorized
............................................................................
1,300,000‌
1,875,000‌
300,000‌
Net
Asset
Value
Per
Share:
Class
A
:
Net
Assets
..........................................................................
$
403,727‌
$
49,129‌
$
9,737‌
Shares
Issued
and
Outstanding
........................................................
15,660‌
4,485‌
720‌
Net
Asset
Value
per
share
.............................................................
$
25
.78‌
$
10
.95‌
$
13
.53‌
Maximum
Offering
Price
.............................................................
$
27
.28‌
$
11
.38‌
$
14
.32‌
Class
C
:
Net
Assets
..........................................................................
$
198,750‌
$
13,585‌
N/A‌
Shares
Issued
and
Outstanding
........................................................
8,117‌
1,262‌
Net
Asset
Value
per
share
.............................................................
$
24
.48‌
(c)
$
10
.76‌
(c)
Class
J
:
Net
Assets
..........................................................................
$
94,098‌
N/A‌
N/A‌
Shares
Issued
and
Outstanding
........................................................
3,604‌
Net
Asset
Value
per
share
.............................................................
$
26
.11‌
(c)
Institutional
:
Net
Assets
.....................................................................
$
1,220,472‌
$
2,299,408‌
$
42,478‌
Shares
Issued
and
Outstanding
........................................................
46,532‌
210,265‌
3,131‌
Net
Asset
Value
per
share
.............................................................
$
26
.23‌
$
10
.94‌
$
13
.57‌
R-3
:
Net
Assets
..............................................................................
$
6,441‌
$
147‌
N/A‌
Shares
Issued
and
Outstanding
........................................................
249‌
14‌
Net
Asset
Value
per
share
.............................................................
$
25
.82‌
$
10
.90‌
R-4
:
Net
Assets
..............................................................................
$
4,107‌
$
11‌
N/A‌
Shares
Issued
and
Outstanding
........................................................
158‌
1‌
Net
Asset
Value
per
share
.............................................................
$
25
.97‌
$
10
.93‌
R-5
:
Net
Assets
..............................................................................
$
7,172‌
$
59‌
N/A‌
Shares
Issued
and
Outstanding
........................................................
275‌
5‌
Net
Asset
Value
per
share
.............................................................
$
26
.11‌
$
10
.92‌
R-6
:
Net
Assets
..............................................................................
$
3,151,440‌
$
1,329,379‌
$
610,587‌
Shares
Issued
and
Outstanding
........................................................
119,974‌
121,575‌
44,868‌
Net
Asset
Value
per
share
.............................................................
$
26
.27‌
$
10
.93‌
$
13
.61‌
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
(b)
Includes
fair
market
value
of
securities
loaned,
see
"Securities
Lending"
in
Notes
to
Financial
Statements.
(c)
Redemption
price
per
share
is
equal
to
net
asset
value
per
share
less
any
applicable
contingent
deferred
sales
charge.
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
4
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Global
Multi-Strategy
Fund
(a)
International
Small
Company
Fund
Opportunistic
Municipal
Fund
Investment
in
securities--at
cost
..........................................................
$
1,451,527‌
$
905,655‌
$
153,436‌
Investment
in
affiliated
Funds--at
cost
...................................................
$
107,586‌
$
24,650‌
$
–‌
Foreign
currency--at
cost
..................................................................
$
–‌
$
1,807‌
$
–‌
Assets
Investment
in
securities--at
value 
..........................................................
$
1,451,364‌
$
904,331‌
(b)
$
164,916‌
Investment
in
affiliated
Funds--at
value
....................................................
107,586‌
24,650‌
–‌
Foreign
currency--at
value
..................................................................
–‌
1,801‌
–‌
Cash
.........................................................................................
7,780‌
–‌
440‌
Deposits
with
counterparty
..................................................................
135,624‌
–‌
–‌
Receivables:
Dividends
and
interest
.................................................................
7,467‌
1,764‌
1,630‌
Expense
reimbursement
from
Manager
...............................................
108‌
3‌
10‌
Foreign
currency
contracts
...........................................................
8,670‌
–‌
–‌
Fund
shares
sold
.......................................................................
1,328‌
459‌
1,367‌
Investment
securities
sold
.............................................................
224,586‌
5,605‌
6,092‌
OTC
swap
agreements--at
value
(premiums
paid
$
343
,
$
0
and
$
0
)
..................
4,748‌
–‌
–‌
Variation
margin
on
futures
...........................................................
4,396‌
–‌
–‌
Variation
margin
on
swaps
............................................................
498‌
–‌
–‌
Total
Assets  
1,954,155‌
938,613‌
174,455‌
Liabilities
Accrued
management
and
investment
advisory
fees
........................................
1,168‌
815‌
60‌
Accrued
distribution
fees
....................................................................
25‌
1‌
11‌
Accrued
transfer
agent
fees
.................................................................
133‌
8‌
18‌
Accrued
chief
compliance
officer
fees
......................................................
1‌
–‌
–‌
Accrued
directors'
expenses
.................................................................
1‌
–‌
1‌
Accrued
professional
fees
...................................................................
127‌
42‌
30‌
Accrued
other
expenses
.....................................................................
127‌
69‌
9‌
Deposits
from
counterparty
.................................................................
192‌
–‌
–‌
Payables:
Dividends
payable
.....................................................................
–‌
–‌
350‌
Dividends
and
interest
on
securities
sold
short
.......................................
1,375‌
–‌
–‌
Foreign
currency
contracts
............................................................
8,507‌
–‌
–‌
Fund
shares
redeemed
.................................................................
1,844‌
1,309‌
1,279‌
Interest
expense
and
fees
payable
.....................................................
–‌
–‌
26‌
Investment
securities
purchased
......................................................
199,872‌
8,790‌
13,011‌
Options
and
swaptions
contracts
written
 (premiums
received
$
1,239
,
$
0
and
$
0
)
...
2,510‌
–‌
–‌
Reverse
repurchase
agreements
.......................................................
410,930‌
–‌
–‌
Short
sales
(proceeds
received
$
418,912
,
$
0
and
$
0
)
.................................
418,978‌
–‌
–‌
OTC
swap
agreements--at
value
(premiums
received
$
309
,
$
0
and
$
0
)
.............
3,079‌
–‌
–‌
Variation
margin
on
futures
...........................................................
4,561‌
–‌
–‌
Variation
margin
on
swaps
............................................................
734‌
–‌
–‌
Collateral
obligation
on
securities
loaned,
at
value
.........................................
–‌
24,353‌
–‌
Floating
rate
notes
issued
...................................................................
–‌
–‌
5,428‌
Total
Liabilities  
1,054,164‌
35,387‌
20,223‌
Net
Assets
Applicable
to
Outstanding
Shares
............................................
$
899,991‌
$
903,226‌
$
154,232‌
Net
Assets
Consist
of:
Capital
shares
and
additional
paid-in-capital
...............................................
$
925,608‌
$
914,780‌
$
142,531‌
Total
distributable
earnings
(accumulated
loss)
.............................................
(
25,617‌
)
(
11,554‌
)
11,701‌
Total
Net
Assets 
$
899,991‌
$
903,226‌
$
154,232‌
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
5
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Global
Multi-Strategy
Fund
(a)
International
Small
Company
Fund
Opportunistic
Municipal
Fund
Capital
Stock
(par
value:
$.01
per
share):
Shares
authorized
............................................................................
1,750,000‌
400,000‌
300,000‌
Net
Asset
Value
Per
Share:
Class
A
:
Net
Assets
..........................................................................
$
28,152‌
$
4,301‌
$
58,664‌
Shares
Issued
and
Outstanding
........................................................
2,647‌
429‌
5,067‌
Net
Asset
Value
per
share
.............................................................
$
10
.63‌
$
10
.03‌
$
11
.58‌
Maximum
Offering
Price
.............................................................
$
11
.04‌
$
10
.61‌
$
12
.03‌
Class
C
:
Net
Assets
..........................................................................
$
22,437‌
N/A‌
N/A‌
Shares
Issued
and
Outstanding
........................................................
2,186‌
Net
Asset
Value
per
share
.............................................................
$
10
.27‌
(c)
Institutional
:
Net
Assets
.....................................................................
$
660,759‌
$
42,588‌
$
95,568‌
Shares
Issued
and
Outstanding
........................................................
61,312‌
4,233‌
8,251‌
Net
Asset
Value
per
share
.............................................................
$
10
.78‌
$
10
.06‌
$
11
.58‌
R-6
:
Net
Assets
..............................................................................
$
188,643‌
$
856,337‌
N/A‌
Shares
Issued
and
Outstanding
........................................................
17,516‌
84,682‌
Net
Asset
Value
per
share
.............................................................
$
10
.77‌
$
10
.11‌
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
(b)
Includes
fair
market
value
of
securities
loaned,
see
"Securities
Lending"
in
Notes
to
Financial
Statements.
(c)
Redemption
price
per
share
is
equal
to
net
asset
value
per
share
less
any
applicable
contingent
deferred
sales
charge.
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
6
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Origin
Emerging
Markets
Fund
Small-MidCap
Dividend
Income
Fund
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Investment
in
securities--at
cost
..........................................................
$
1,137,839‌
$
2,037,151‌
$
5,876,275‌
Investment
in
affiliated
Funds--at
cost
...................................................
$
24,429‌
$
33,610‌
$
128,472‌
Investment
in
affiliated
securities--at
cost
................................................
$
–‌
$
–‌
$
115,496‌
Foreign
currency--at
cost
..................................................................
$
7‌
$
–‌
$
–‌
Assets
Investment
in
securities--at
value 
..........................................................
$
1,262,498‌
$
1,984,885‌
(a)
$
6,255,804‌
(a)
Investment
in
affiliated
Funds--at
value
....................................................
24,429‌
33,610‌
128,472‌
Investment
in
affiliated
securities--at
value
.................................................
–‌
–‌
96,166‌
Foreign
currency--at
value
..................................................................
7‌
–‌
–‌
Deposits
with
counterparty
..................................................................
–‌
–‌
2,266‌
Receivables:
Dividends
and
interest
.................................................................
791‌
5,274‌
86,742‌
Expense
reimbursement
from
Manager
...............................................
4‌
75‌
–‌
Expense
reimbursement
from
Distributor
.............................................
–‌
–‌
1‌
Fund
shares
sold
.......................................................................
288‌
5,100‌
14,031‌
Investment
securities
sold
.............................................................
11‌
43,692‌
146‌
Prepaid
directors'
expenses
..................................................................
–‌
–‌
3‌
Prepaid
expenses
............................................................................
2‌
–‌
–‌
Total
Assets  
1,288,030‌
2,072,636‌
6,583,631‌
Liabilities
Accrued
management
and
investment
advisory
fees
........................................
1,094‌
1,359‌
3,674‌
Accrued
distribution
fees
....................................................................
–‌
122‌
541‌
Accrued
service
fees
........................................................................
–‌
–‌
2‌
Accrued
transfer
agent
fees
.................................................................
4‌
426‌
706‌
Accrued
chief
compliance
officer
fees
......................................................
–‌
–‌
1‌
Accrued
directors'
expenses
.................................................................
2‌
1‌
–‌
Accrued
professional
fees
...................................................................
18‌
27‌
34‌
Accrued
other
expenses
.....................................................................
–‌
199‌
162‌
Cash
overdraft
...............................................................................
4‌
–‌
1‌
Payables:
Fund
shares
redeemed
.................................................................
1,907‌
9,171‌
95,101‌
Investment
securities
purchased
......................................................
–‌
44,417‌
87‌
Variation
margin
on
futures
...........................................................
–‌
–‌
13‌
Collateral
obligation
on
securities
loaned,
at
value
.........................................
–‌
27,567‌
32,740‌
Total
Liabilities  
3,029‌
83,289‌
133,062‌
Net
Assets
Applicable
to
Outstanding
Shares
............................................
$
1,285,001‌
$
1,989,347‌
$
6,450,569‌
Net
Assets
Consist
of:
Capital
shares
and
additional
paid-in-capital
...............................................
$
1,287,818‌
$
1,979,645‌
$
6,108,450‌
Total
distributable
earnings
(accumulated
loss)
.............................................
(
2,817‌
)
9,702‌
342,119‌
Total
Net
Assets 
$
1,285,001‌
$
1,989,347‌
$
6,450,569‌
Statements
of
Assets
and
Liabilities
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
7
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Origin
Emerging
Markets
Fund
Small-MidCap
Dividend
Income
Fund
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Capital
Stock
(par
value:
$.01
per
share):
Shares
authorized
............................................................................
550,000‌
1,700,000‌
2,500,000‌
Net
Asset
Value
Per
Share:
Class
A
:
Net
Assets
..........................................................................
$
2,558‌
$
132,186‌
$
790,833‌
Shares
Issued
and
Outstanding
........................................................
233‌
10,088‌
75,991‌
Net
Asset
Value
per
share
.............................................................
$
10
.99‌
$
13
.10‌
$
10
.41‌
Maximum
Offering
Price
.............................................................
$
11
.63‌
$
13
.86‌
$
10
.82‌
Class
C
:
Net
Assets
..........................................................................
N/A‌
$
101,574‌
$
456,248‌
Shares
Issued
and
Outstanding
........................................................
7,832‌
43,888‌
Net
Asset
Value
per
share
.............................................................
$
12
.97‌
(b)
$
10
.40‌
(b)
Class
J
:
Net
Assets
..........................................................................
N/A‌
N/A‌
$
47,209‌
Shares
Issued
and
Outstanding
........................................................
4,672‌
Net
Asset
Value
per
share
.............................................................
$
10
.10‌
(b)
Institutional
:
Net
Assets
.....................................................................
$
14,656‌
$
1,747,039‌
$
4,110,611‌
Shares
Issued
and
Outstanding
........................................................
1,358‌
132,568‌
397,959‌
Net
Asset
Value
per
share
.............................................................
$
10
.79‌
$
13
.18‌
$
10
.33‌
R-1
:
Net
Assets
..............................................................................
N/A‌
N/A‌
$
465‌
Shares
Issued
and
Outstanding
........................................................
46‌
Net
Asset
Value
per
share
.............................................................
$
10
.28‌
R-2
:
Net
Assets
..............................................................................
N/A‌
N/A‌
$
1,886‌
Shares
Issued
and
Outstanding
........................................................
185‌
Net
Asset
Value
per
share
.............................................................
$
10
.20‌
R-3
:
Net
Assets
..............................................................................
N/A‌
N/A‌
$
2,288‌
Shares
Issued
and
Outstanding
........................................................
223‌
Net
Asset
Value
per
share
.............................................................
$
10
.25‌
R-4
:
Net
Assets
..............................................................................
N/A‌
N/A‌
$
1,066‌
Shares
Issued
and
Outstanding
........................................................
104‌
Net
Asset
Value
per
share
.............................................................
$
10
.23‌
R-5
:
Net
Assets
..............................................................................
N/A‌
N/A‌
$
3,725‌
Shares
Issued
and
Outstanding
........................................................
362‌
Net
Asset
Value
per
share
.............................................................
$
10
.28‌
R-6
:
Net
Assets
..............................................................................
$
1,267,787‌
$
8,548‌
$
1,036,238‌
Shares
Issued
and
Outstanding
........................................................
117,375‌
646‌
100,362‌
Net
Asset
Value
per
share
.............................................................
$
10
.80‌
$
13
.24‌
$
10
.32‌
(a)
Includes
fair
market
value
of
securities
loaned,
see
"Securities
Lending"
in
Notes
to
Financial
Statements.
(b)
Redemption
price
per
share
is
equal
to
net
asset
value
per
share
less
any
applicable
contingent
deferred
sales
charge.
Statements
of
Operations
Principal
Funds,
Inc.
Six
Months
Ended
February
29,
2020
(unaudited)
8
See
accompanying
notes.
Amounts
in
thousands
Blue
Chip
Fund
Diversified
Real
Asset
Fund
(a)
Edge
MidCap
Fund
Net
Investment
Income
(Loss)
Income:
Dividends
from
affiliated
Funds
.................................................................
$
91‌
$
1,063‌
$
133‌
Dividends
.........................................................................................
24,280‌
33,536‌
5,687‌
Withholding
tax
..................................................................................
(309‌)
(2,182‌)
(9‌)
Interest
............................................................................................
–‌
25,583‌
4‌
Securities
lending
-
net
...........................................................................
58‌
4‌
362‌
Total
Income
24,120‌
58,004‌
6,177‌
Expenses:
Management
and
investment
advisory
fees
......................................................
15,076‌
15,934‌
2,659‌
Distribution
fees
-
Class
A
.......................................................................
447‌
68‌
10‌
Distribution
fees
-
Class
C
.......................................................................
909‌
76‌
N/A‌
Distribution
fees
-
Class
J
........................................................................
67‌
N/A‌
N/A‌
Distribution
fees
-
R-3
...........................................................................
8‌
–‌
N/A‌
Distribution
fees
-
R-4
...........................................................................
2‌
–‌
N/A‌
Administrative
service
fees
-
R-3
................................................................
2‌
–‌
N/A‌
Administrative
service
fees
-
R-4
................................................................
1‌
–‌
N/A‌
Registration
fees
-
Class
A
.......................................................................
33‌
8‌
13‌
Registration
fees
-
Class
C
.......................................................................
11‌
7‌
N/A‌
Registration
fees
-
Class
J
........................................................................
10‌
N/A‌
N/A‌
Registration
fees
-
Institutional
..................................................................
58‌
23‌
10‌
Registration
fees
-
R-6
...........................................................................
19‌
18‌
9‌
Service
fees
-
R-3
................................................................................
8‌
–‌
N/A‌
Service
fees
-
R-4
................................................................................
5‌
–‌
N/A‌
Service
fees
-
R-5
................................................................................
9‌
–‌
N/A‌
Shareholder
reports
-
Class
A
....................................................................
23‌
16‌
3‌
Shareholder
reports
-
Class
C
....................................................................
11‌
5‌
N/A‌
Shareholder
reports
-
Class
J
.....................................................................
36‌
N/A‌
N/A‌
Shareholder
reports
-
Institutional
...............................................................
17‌
145‌
1‌
Shareholder
reports
-
R-6
........................................................................
10‌
77‌
–‌
Transfer agent
fees
-
Class
A
.....................................................................
172‌
53‌
10‌
Transfer agent
fees
-
Class
C
.....................................................................
78‌
19‌
N/A‌
Transfer agent
fees
-
Class
J
.....................................................................
36‌
N/A‌
N/A‌
Transfer agent
fees
-
Institutional
................................................................
303‌
1,122‌
20‌
Chief
compliance
officer
expenses
...............................................................
2‌
2‌
–‌
Custodian
fees
....................................................................................
3‌
137‌
1‌
Directors'
expenses
...............................................................................
42‌
41‌
8‌
Professional fees
.................................................................................
16‌
82‌
13‌
Other
expenses
...................................................................................
28‌
27‌
3‌
Total
Gross
Expenses
17,442‌
17,860‌
2,760‌
Less: Reimbursement
from
Manager
............................................................
1,940‌
595‌
303‌
Less:
Reimbursement
from
Manager
-
Class
A
..................................................
–‌
29‌
18‌
Less:
Reimbursement
from
Manager
-
Class
C
..................................................
–‌
17‌
N/A‌
Less:
Reimbursement
from
Manager
-
Institutional
.............................................
–‌
539‌
8‌
Less:
Reimbursement
from
Manager
-
R-6
......................................................
–‌
62‌
–‌
Less:
Reimbursement
from
Distributor
-
Class
J
................................................
13‌
N/A‌
N/A‌
Total
Net
Expenses
15,489‌
16,618‌
2,431‌
Net
Investment
Income
(Loss)
8,631‌
41,386‌
3,746‌
Statements
of
Operations
Principal
Funds,
Inc.
Six
Months
Ended
February
29,
2020
(unaudited)
9
See
accompanying
notes.
Amounts
in
thousands
Blue
Chip
Fund
Diversified
Real
Asset
Fund
(a)
Edge
MidCap
Fund
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments,
foreign
currencies,
futures,
options
and
swaptions
and
swap
agreements
Net
realized
gain
(loss)
from:
Investment
transactions
..........................................................................
150,330‌
(7,395‌)
22,616‌
Foreign
currency
contracts
.......................................................................
–‌
(288‌)
–‌
Foreign
currency
transactions
....................................................................
–‌
(589‌)
2‌
Futures
contracts
.................................................................................
–‌
6,585‌
–‌
Options
and
swaptions
...........................................................................
–‌
1,687‌
–‌
Swap
agreements
.................................................................................
–‌
(6,180‌)
–‌
Net
change
in
unrealized
appreciation/(depreciation)
of:
Investments
.......................................................................................
72,099‌
(18,039‌)
(39,502‌)
Foreign
currency
contracts
.......................................................................
–‌
(6‌)
–‌
Futures
contracts
.................................................................................
–‌
(18,183‌)
–‌
Options
and
swaptions
...........................................................................
–‌
1,272‌
–‌
Swap
agreements
.................................................................................
–‌
(10,657‌)
–‌
Translation
of
assets
and
liabilities
in
foreign
currencies
........................................
–‌
85‌
–‌
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments,
foreign
currencies,
futures,
options
and
swaptions
and
swap
agreements
222,429‌
(51,708‌)
(16,884‌)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
$
231,060‌
$
(10,322‌)
$
(13,138‌)
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
Statements
of
Operations
Principal
Funds,
Inc.
Six
Months
Ended
February
29,
2020
(unaudited)
10
See
accompanying
notes.
Amounts
in
thousands
Global
Multi-Strategy
Fund
(a)
International
Small
Company
Fund
Opportunistic
Municipal
Fund
Net
Investment
Income
(Loss)
Income:
Dividends
from
affiliated
Funds
.................................................................
$
911‌
$
118‌
$
–‌
Dividends
.........................................................................................
7,645‌
7,280‌
471‌
Withholding
tax
..................................................................................
(
147‌
)
(
702‌
)
–‌
Interest
............................................................................................
22,795‌
2‌
2,425‌
Securities
lending
-
net
...........................................................................
–‌
134‌
–‌
Total
Income
31,204‌
6,832‌
2,896‌
Expenses:
Management
and
investment
advisory
fees
......................................................
7,927‌
4,935‌
354‌
Distribution
f
ees
-
Class
A
.......................................................................
47‌
6‌
68‌
Distribution
f
ees
-
Class
C
.......................................................................
123‌
N/A‌
N/A‌
Registration
fees
-
Class
A
.......................................................................
9‌
8‌
11‌
Registration
fees
-
Class
C
.......................................................................
8‌
N/A‌
N/A‌
Registration
fees
-
Institutional
..................................................................
22‌
8‌
10‌
Registration
fees
-
R-6
...........................................................................
12‌
9‌
N/A‌
Shareholder
reports
-
Class
A
....................................................................
7‌
2‌
2‌
Shareholder
reports
-
Class
C
....................................................................
5‌
N/A‌
N/A‌
Shareholder
reports
-
Institutional
...............................................................
45‌
2‌
1‌
Shareholder
reports
-
R-6
........................................................................
2‌
1‌
N/A‌
Transfer agent
fees
-
Class
A
.....................................................................
31‌
12‌
24‌
Transfer agent
fees
-
Class
C
.....................................................................
21‌
N/A‌
N/A‌
Transfer agent
fees
-
Institutional
................................................................
255‌
13‌
35‌
Chief
compliance
officer
expenses
...............................................................
1‌
1‌
–‌
Custodian
fees
....................................................................................
212‌
124‌
1‌
Directors'
expenses
...............................................................................
15‌
10‌
3‌
Dividends
and
interest
on
securities
sold
short
..................................................
4,642‌
–‌
–‌
Interest
expense
and
fees
.........................................................................
–‌
–‌
54‌
Professional fees
.................................................................................
123‌
25‌
23‌
Short
sale
fees
....................................................................................
947‌
–‌
–‌
Other
expenses
...................................................................................
65‌
4‌
2‌
Reverse
repurchase
agreement
interest
expense
.................................................
4,603‌
–‌
–‌
Total
Gross
Expenses
19,122‌
5,160‌
588‌
Less: Reimbursement
from
Manager
............................................................
200‌
–‌
42‌
Less:
Reimbursement
from
Manager
-
Class
A
..................................................
–‌
16‌
6‌
Less:
Reimbursement
from
Manager
-
Class
C
..................................................
20‌
N/A‌
N/A‌
Less:
Reimbursement
from
Manager
-
Institutional
.............................................
315‌
–‌
12‌
Less:
Reimbursement
from
Manager
-
R-6
......................................................
92‌
–‌
N/A‌
Total
Net
Expenses
18,495‌
5,144‌
528‌
Net
Investment
Income
(Loss)
12,709‌
1,688‌
2,368‌
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments,
foreign
currencies,
futures,
options
and
swaptions,
short
sales
and
swap
agreements
Net
realized
gain
(loss)
from:
Investment
transactions
..........................................................................
2,782‌
26,142‌
927‌
Foreign
currency
contracts
.......................................................................
2,310‌
–‌
–‌
Foreign
currency
transactions
....................................................................
(
666‌
)
(
187‌
)
–‌
Futures
contracts
.................................................................................
(
2,478‌
)
–‌
–‌
Options
and
swaptions
...........................................................................
2,957‌
–‌
–‌
Short
sales
........................................................................................
(
13,907‌
)
–‌
–‌
Swap
agreements
.................................................................................
115‌
–‌
–‌
Net
change
in
unrealized
appreciation/(depreciation)
of:
Investments
.......................................................................................
3,323‌
(
41,084‌
)
3,413‌
Foreign
currency
contracts
.......................................................................
(
4,975‌
)
–‌
–‌
Futures
contracts
.................................................................................
(
2,411‌
)
–‌
–‌
Options
and
swaptions
...........................................................................
(
465‌
)
–‌
–‌
Short
sales
........................................................................................
673‌
–‌
–‌
Swap
agreements
.................................................................................
1,194‌
–‌
–‌
Translation
of
assets
and
liabilities
in
foreign
currencies
........................................
(
415‌
)
17‌
–‌
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments,
foreign
currencies,
futures,
options
and
swaptions,
short
sales
and
swap
agreements
(
11,963‌
)
(
15,112‌
)
4,340‌
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
$
746‌
$
(
13,424‌
)
$
6,708‌
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
Statements
of
Operations
Principal
Funds,
Inc.
Six
Months
Ended
February
29,
2020
(unaudited)
12
See
accompanying
notes.
Amounts
in
thousands
Origin
Emerging
Markets
Fund
Small-MidCap
Dividend
Income
Fund
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Net
Investment
Income
(Loss)
Income:
Dividends
from
affiliated
Funds
.................................................................
$
185‌
$
251‌
$
1,598‌
Dividends
from
affiliated
securities
..............................................................
–‌
–‌
2,183‌
Dividends
.........................................................................................
11,086‌
35,354‌
14,327‌
Withholding
tax
..................................................................................
(
867‌
)
(
577‌
)
–‌
Interest
............................................................................................
–‌
–‌
143,004‌
Securities
lending
-
net
...........................................................................
4‌
82‌
305‌
Total
Income
10,408‌
35,110‌
161,417‌
Expenses:
Management
and
investment
advisory
fees
......................................................
6,712‌
8,707‌
21,735‌
Distribution
f
ees
-
Class
A
.......................................................................
3‌
191‌
982‌
Distribution
f
ees
-
Class
C
.......................................................................
N/A‌
601‌
2,343‌
Distribution
f
ees
-
Class
J
........................................................................
N/A‌
N/A‌
35‌
Distribution
f
ees
-
R-1
...........................................................................
N/A‌
N/A‌
1‌
Distribution
f
ees
-
R-2
...........................................................................
N/A‌
N/A‌
3‌
Distribution
f
ees
-
R-3
...........................................................................
N/A‌
N/A‌
3‌
Administrative
service
fees
-
R-1
................................................................
N/A‌
N/A‌
1‌
Administrative
service
fees
-
R-2
................................................................
N/A‌
N/A‌
2‌
Administrative
service
fees
-
R-3
................................................................
N/A‌
N/A‌
1‌
Registration
fees
-
Class
A
.......................................................................
8‌
14‌
28‌
Registration
fees
-
Class
C
.......................................................................
N/A‌
9‌
12‌
Registration
fees
-
Class
J
........................................................................
N/A‌
N/A‌
10‌
Registration
fees
-
Institutional
..................................................................
9‌
27‌
55‌
Registration
fees
-
R-6
...........................................................................
9‌
9‌
9‌
Service
fees
-
R-1
................................................................................
N/A‌
N/A‌
1‌
Service
fees
-
R-2
................................................................................
N/A‌
N/A‌
2‌
Service
fees
-
R-3
................................................................................
N/A‌
N/A‌
3‌
Service
fees
-
R-4
................................................................................
N/A‌
N/A‌
1‌
Service
fees
-
R-5
................................................................................
N/A‌
N/A‌
4‌
Shareholder
reports
-
Class
A
....................................................................
1‌
22‌
35‌
Shareholder
reports
-
Class
C
....................................................................
N/A‌
18‌
33‌
Shareholder
reports
-
Class
J
.....................................................................
N/A‌
N/A‌
31‌
Shareholder
reports
-
Institutional
...............................................................
1‌
155‌
125‌
Shareholder
reports
-
R-6
........................................................................
1‌
–‌
1‌
Transfer agent
fees
-
Class
A
.....................................................................
10‌
92‌
307‌
Transfer agent
fees
-
Class
C
.....................................................................
N/A‌
70‌
227‌
Transfer agent
fees
-
Class
J
.....................................................................
N/A‌
N/A‌
29‌
Transfer agent
fees
-
Institutional
................................................................
6‌
1,153‌
1,782‌
Chief
compliance
officer
expenses
...............................................................
1‌
1‌
3‌
Custodian
fees
....................................................................................
125‌
7‌
20‌
Directors'
expenses
...............................................................................
11‌
25‌
58‌
Professional fees
.................................................................................
19‌
16‌
24‌
Other
expenses
...................................................................................
4‌
10‌
23‌
Total
Gross
Expenses
6,920‌
11,127‌
27,929‌
Less: Reimbursement
from
Manager
............................................................
569‌
–‌
–‌
Less:
Reimbursement
from
Manager
-
Class
A
..................................................
16‌
49‌
–‌
Less:
Reimbursement
from
Manager
-
Class
C
..................................................
N/A‌
36‌
–‌
Less:
Reimbursement
from
Manager
-
Institutional
.............................................
6‌
491‌
–‌
Less:
Reimbursement
from
Manager
-
R-6
......................................................
–‌
9‌
–‌
Less:
Reimbursement
from
Distributor
-
Class
J
................................................
N/A‌
N/A‌
7‌
Total
Net
Expenses
6,329‌
10,542‌
27,922‌
Net
Investment
Income
(Loss)
4,079‌
24,568‌
133,495‌
Statements
of
Operations
Principal
Funds,
Inc.
Six
Months
Ended
February
29,
2020
(unaudited)
13
See
accompanying
notes.
Amounts
in
thousands
Origin
Emerging
Markets
Fund
Small-MidCap
Dividend
Income
Fund
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments,
foreign
currencies,
futures
and
options
and
swaptions
Net
realized
gain
(loss)
from:
Investment
transactions
..........................................................................
(
15,764‌
)
68,452‌
(
20,109‌
)
Foreign
currency
transactions
....................................................................
(
799‌
)
2‌
–‌
Futures
contracts
.................................................................................
–‌
–‌
2,154‌
Options
and
swaptions
...........................................................................
–‌
–‌
27,396‌
Net
change
in
unrealized
appreciation/(depreciation)
of:
Investments
.......................................................................................
55,923‌
(
178,205‌
)
63,663‌
Investment
in
affiliated
securities
................................................................
–‌
–‌
(
3,606‌
)
Futures
contracts
.................................................................................
–‌
–‌
(
13‌
)
Options
and
swaptions
...........................................................................
–‌
–‌
(
185‌
)
Translation
of
assets
and
liabilities
in
foreign
currencies
........................................
(
33‌
)
(
4‌
)
–‌
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments,
foreign
currencies,
futures
and
options
and
swaptions
39,327‌
(
109,755‌
)
69,300‌
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
$
43,406‌
$
(
85,187‌
)
$
202,795‌
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
(unaudited)
14
See
accompanying
notes.
Amounts
in
thousands
Blue
Chip
Fund
Period
Ended
February
29,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
8,631‌
$
8,402‌
Net
realized
gain
(loss)
on
investments
.............................................................................................
150,330‌
185,238‌
Net
change
in
unrealized
appreciation/depreciation
of
investments
................................................................
72,099‌
289,451‌
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
231,060‌
483,091‌
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
218,915‌
)
(
218,921‌
)
Total
Dividends
and
Distributions
(
218,915‌
)
(
218,921‌
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
739,438‌
854,548‌
Total
Increase
(Decrease)
in
Net
Assets
751,583‌
1,118,718‌
Net
Assets
Beginning
of
period
.................................................................................................................
4,334,624‌
3,215,906‌
End
of
period
.......................................................................................................................
$
5,086,207‌
$
4,334,624‌
Class
A
Class
C
Class
J
Institutional
R-3
R-4
R-5
R-6
Capital
Share
Transactions:
Period
Ended
February
29,
2020
Dollars:
Sold
.......................................
$
136,247‌
$
48,681‌
$
27,915‌
$
644,115‌
$
1,194‌
$
633‌
$
2,739‌
$
318,924‌
Reinvested
..................................
15,360‌
8,054‌
3,750‌
42,915‌
259‌
187‌
298‌
144,416‌
Redeemed
...................................
(
50,643‌
)
(
14,260‌
)
(
17,807‌
)
(
181,791‌
)
(
965‌
)
(
751‌
)
(
2,319‌
)
(
387,713‌
)
Net
Increase
(Decrease)
.........................
$
100,964‌
$
42,475‌
$
13,858‌
$
505,239‌
$
488‌
$
69‌
$
718‌
$
75,627‌
Shares:
Sold
.......................................
5,129‌
1,926‌
1,027‌
23,717‌
44‌
24‌
102‌
11,718‌
Reinvested
..................................
601‌
332‌
145‌
1,644‌
10‌
7‌
12‌
5,522‌
Redeemed
...................................
(
1,922‌
)
(
567‌
)
(
664‌
)
(
6,737‌
)
(
36‌
)
(
28‌
)
(
86‌
)
(
14,492‌
)
Net
Increase
(Decrease)
.........................
3,808‌
1,691‌
508‌
18,624‌
18‌
3‌
28‌
2,748‌
Year
Ended
August
31,
2019
Dollars:
Sold
.......................................
$
157,102‌
$
74,792‌
$
28,869‌
$
618,371‌
$
1,190‌
$
3,111‌
$
4,724‌
$
429,587‌
Reinvested
..................................
12,122‌
7,033‌
4,005‌
13,102‌
439‌
98‌
387‌
181,564‌
Redeemed
...................................
(
51,856‌
)
(
25,956‌
)
(
16,953‌
)
(
140,947‌
)
(
4,369‌
)
(
611‌
)
(
4,419‌
)
(
436,837‌
)
Net
Increase
(Decrease)
.........................
$
117,368‌
$
55,869‌
$
15,921‌
$
490,526‌
$
(
2,740‌
)
$
2,598‌
$
692‌
$
174,314‌
Shares:
Sold
.......................................
6,769‌
3,351‌
1,215‌
26,194‌
51‌
124‌
194‌
17,439‌
Reinvested
..................................
613‌
371‌
201‌
653‌
22‌
5‌
19‌
9,042‌
Redeemed
...................................
(
2,240‌
)
(
1,177‌
)
(
714‌
)
(
6,029‌
)
(
184‌
)
(
27‌
)
(
180‌
)
(
18,419‌
)
Net
Increase
(Decrease)
.........................
5,142‌
2,545‌
702‌
20,818‌
(
111‌
)
102‌
33‌
8,062‌
Dividends
and
Distributions
to
Shareholders:
Period Ended
February
29,
2020
From
net
investment
income
and
net
realized
gain
on
investments
..................................
$
(
15,698‌
)
$
(
8,184‌
)
$
(
3,753‌
)
$
(
44,715‌
)
$
(
259‌
)
$
(
187‌
)
$
(
298‌
)
$
(
145,821‌
)
Total
Dividends
and
Distributions
$
(
15,698‌
)
$
(
8,184‌
)
$
(
3,753‌
)
$
(
44,715‌
)
$
(
259‌
)
$
(
187‌
)
$
(
298‌
)
$
(
145,821‌
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
..................................
$
(
12,167‌
)
$
(
7,048‌
)
$
(
4,005‌
)
$
(
13,213‌
)
$
(
439‌
)
$
(
98‌
)
$
(
387‌
)
$
(
181,564‌
)
Total
Dividends
and
Distributions
$
(
12,167‌
)
$
(
7,048‌
)
$
(
4,005‌
)
$
(
13,213‌
)
$
(
439‌
)
$
(
98‌
)
$
(
387‌
)
$
(
181,564‌
)
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
(unaudited)
15
See
accompanying
notes.
Amounts
in
thousands
Diversified
Real
Asset
Fund
(a)
Period
Ended
February
29,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
41,386‌
$
109,172‌
Net
realized
gain
(loss)
on
investments
,
foreign
currencies
,
futures
,
options
and
swaptions
and
swap
agreements
...............
(
6,180‌
)
(
101,079‌
)
Net
change
in
unrealized
appreciation/depreciation
of
investments
,
foreign
currencies
,
futures
,
options
and
swaptions
,
swap
agreements
and
translation
of
assets
&
liabilities
in
foreign
currencies
......................................................
(
45,528‌
)
(
44,411‌
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
(
10,322‌
)
(
36,318‌
)
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
96,919‌
)
(
126,294‌
)
Total
Dividends
and
Distributions
(
96,919‌
)
(
126,294‌
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
8,688‌
(
219,389‌
)
Total
Increase
(Decrease)
in
Net
Assets
(
98,553‌
)
(
382,001‌
)
Net
Assets
Beginning
of
period
.................................................................................................................
3,790,271‌
4,172,272‌
End
of
period
.......................................................................................................................
$
3,691,718‌
$
3,790,271‌
Class
A
Class
C
Institutional
R-3
R-4
R-5
R-6
Capital
Share
Transactions:
Period
Ended
February
29,
2020
Dollars:
Sold
................................................
$
4,618‌
$
327‌
$
411,743‌
$
36‌
$
–‌
$
25‌
$
187,846‌
Reinvested
...........................................
940‌
143‌
59,146‌
3‌
–‌
2‌
34,843‌
Redeemed
............................................
(
10,127‌
)
(
2,675‌
)
(
493,706‌
)
–‌
–‌
(
41‌
)
(
184,435‌
)
Net
Increase
(Decrease)
..................................
$
(
4,569‌
)
$
(
2,205‌
)
$
(
22,817‌
)
$
39‌
$
–‌
$
(
14‌
)
$
38,254‌
Shares:
Sold
................................................
397‌
29‌
35,635‌
4‌
–‌
1‌
16,276‌
Reinvested
...........................................
81‌
12‌
5,077‌
–‌
–‌
–‌
2,991‌
Redeemed
............................................
(
880‌
)
(
237‌
)
(
42,664‌
)
–‌
–‌
(
3‌
)
(
15,918‌
)
Net
Increase
(Decrease)
..................................
(
402‌
)
(
196‌
)
(
1,952‌
)
4‌
–‌
(
2‌
)
3,349‌
Year
Ended
August
31,
2019
Dollars:
Sold
................................................
$
23,589‌
$
1,617‌
$
889,501‌
$
33‌
$
1‌
$
73‌
$
178,573‌
Reinvested
...........................................
2,486‌
359‌
74,020‌
3‌
–‌
3‌
46,729‌
Redeemed
............................................
(
74,540‌
)
(
8,139‌
)
(
995,483‌
)
–‌
(
4‌
)
(
12‌
)
(
358,198‌
)
Net
Increase
(Decrease)
..................................
$
(
48,465‌
)
$
(
6,163‌
)
$
(
31,962‌
)
$
36‌
$
(
3‌
)
$
64‌
$
(
132,896‌
)
Shares:
Sold
................................................
2,109‌
150‌
79,524‌
3‌
–‌
7‌
15,969‌
Reinvested
...........................................
241‌
35‌
7,172‌
–‌
–‌
–‌
4,528‌
Redeemed
............................................
(
6,622‌
)
(
745‌
)
(
89,030‌
)
–‌
–‌
(
1‌
)
(
32,081‌
)
Net
Increase
(Decrease)
..................................
(
4,272‌
)
(
560‌
)
(
2,334‌
)
3‌
–‌
6‌
(
11,584‌
)
Dividends
and
Distributions
to
Shareholders:
Period Ended
February
29,
2020
From
net
investment
income
and
net
realized
gain
on
investments
....
$
(
961‌
)
$
(
162‌
)
$
(
60,790‌
)
$
(
3‌
)
$
–‌
$
(
2‌
)
$
(
35,001‌
)
Total
Dividends
and
Distributions
$
(
961‌
)
$
(
162‌
)
$
(
60,790‌
)
$
(
3‌
)
$
–‌
$
(
2‌
)
$
(
35,001‌
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
....
$
(
2,541‌
)
$
(
402‌
)
$
(
76,562‌
)
$
(
3‌
)
$
–‌
$
(
3‌
)
$
(
46,783‌
)
Total
Dividends
and
Distributions
$
(
2,541‌
)
$
(
402‌
)
$
(
76,562‌
)
$
(
3‌
)
$
–‌
$
(
3‌
)
$
(
46,783‌
)
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
(unaudited)
16
See
accompanying
notes.
Amounts
in
thousands
Edge
MidCap
Fund
Period
Ended
February
29,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
3,746‌
$
5,775‌
Net
realized
gain
(loss)
on
investments
and
foreign
currencies
....................................................................
22,618‌
23,950‌
Net
change
in
unrealized
appreciation/depreciation
of
investments
................................................................
(
39,502‌
)
(
13,123‌
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
(
13,138‌
)
16,602‌
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
29,654‌
)
(
35,525‌
)
Total
Dividends
and
Distributions
(
29,654‌
)
(
35,525‌
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
11,658‌
40,409‌
Total
Increase
(Decrease)
in
Net
Assets
(
31,134‌
)
21,486‌
Net
Assets
Beginning
of
period
.................................................................................................................
693,936‌
672,450‌
End
of
period
.......................................................................................................................
$
662,802‌
$
693,936‌
Class
A
Institutional
R-6
Capital
Share
Transactions:
Period
Ended
February
29,
2020
Dollars:
Sold
.......................................................................................
$
5,997‌
$
18,291‌
$
13,437‌
Reinvested
..................................................................................
363‌
1,564‌
27,287‌
Redeemed
...................................................................................
(
1,224‌
)
(
8,408‌
)
(
45,649‌
)
Net
Increase
(Decrease)
.........................................................................
$
5,136‌
$
11,447‌
$
(
4,925‌
)
Shares:
Sold
.......................................................................................
390‌
1,198‌
879‌
Reinvested
..................................................................................
24‌
101‌
1,758‌
Redeemed
...................................................................................
(
82‌
)
(
551‌
)
(
2,992‌
)
Net
Increase
(Decrease)
.........................................................................
332‌
748‌
(
355‌
)
Year
Ended
August
31,
2019
(a)
Dollars:
Sold
.......................................................................................
$
5,716‌
$
28,623‌
$
59,856‌
Reinvested
..................................................................................
–‌
838‌
34,677‌
Redeemed
...................................................................................
(
231‌
)
(
9,696‌
)
(
79,374‌
)
Net
Increase
(Decrease)
.........................................................................
$
5,485‌
$
19,765‌
$
15,159‌
Shares:
Sold
.......................................................................................
404‌
2,041‌
4,222‌
Reinvested
..................................................................................
–‌
70‌
2,882‌
Redeemed
...................................................................................
(
16‌
)
(
693‌
)
(
5,670‌
)
Net
Increase
(Decrease)
.........................................................................
388‌
1,418‌
1,434‌
Dividends
and
Distributions
to
Shareholders:
Period Ended
February
29,
2020
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
363‌
)
$
(
1,569‌
)
$
(
27,722‌
)
Total
Dividends
and
Distributions
$
(
363‌
)
$
(
1,569‌
)
$
(
27,722‌
)
Year
Ended
August
31,
2019
(a)
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
–‌
$
(
848‌
)
$
(
34,677‌
)
Total
Dividends
and
Distributions
$
–‌
$
(
848‌
)
$
(
34,677‌
)
(a)
Period
from
December
31,
2018,
date
operations
commenced,
through
August
31,
2019
for
Class
A
shares.
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
(unaudited)
17
See
accompanying
notes.
Amounts
in
thousands
Global
Multi-Strategy
Fund
(a)
Period
Ended
February
29,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
12,709‌
$
43,879‌
Net
realized
gain
(loss)
on
investments
,
foreign
currencies
,
futures
,
options
and
swaptions
,
short
sales
and
swap
agreements
...
(
8,887‌
)
18,329‌
Net
change
in
unrealized
appreciation/depreciation
of
investments
,
foreign
currencies
,
futures
,
options
and
swaptions
,
short
sales
,
swap
agreements
and
translation
of
assets
&
liabilities
in
foreign
currencies
.........................................
(
3,076‌
)
(
35,874‌
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
746‌
26,334‌
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
–‌
(
133,695‌
)
From
tax
return
of
capital
...........................................................................................................
–‌
(
6,481‌
)
Total
Dividends
and
Distributions
–‌
(
140,176‌
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
(
439,711‌
)
(
1,182,738‌
)
Total
Increase
(Decrease)
in
Net
Assets
(
438,965‌
)
(
1,296,580‌
)
Net
Assets
Beginning
of
period
.................................................................................................................
1,338,956‌
2,635,536‌
End
of
period
.......................................................................................................................
$
899,991‌
$
1,338,956‌
Class
A
Class
C
Institutional
R-6
Capital
Share
Transactions:
Period
Ended
February
29,
2020
Dollars:
Sold
.............................................................................
$
2,047‌
$
536‌
$
291,859‌
$
17,527‌
Redeemed
.........................................................................
(
15,230‌
)
(
4,628‌
)
(
85,492‌
)
(
646,330‌
)
Net
Increase
(Decrease)
...............................................................
$
(
13,183‌
)
$
(
4,092‌
)
$
206,367‌
$
(
628,803‌
)
Shares:
Sold
.............................................................................
189‌
52‌
27,061‌
1,608‌
Redeemed
.........................................................................
(
1,404‌
)
(
445‌
)
(
7,852‌
)
(
60,194‌
)
Net
Increase
(Decrease)
...............................................................
(
1,215‌
)
(
393‌
)
19,209‌
(
58,586‌
)
Year
Ended
August
31,
2019
Dollars:
Sold
.............................................................................
$
7,989‌
$
1,840‌
$
218,661‌
$
144,584‌
Reinvested
........................................................................
2,674‌
1,564‌
30,856‌
76,963‌
Redeemed
.........................................................................
(
30,774‌
)
(
16,484‌
)
(
514,828‌
)
(
1,105,783‌
)
Net
Increase
(Decrease)
...............................................................
$
(
20,111‌
)
$
(
13,080‌
)
$
(
265,311‌
)
$
(
884,236‌
)
Shares:
Sold
.............................................................................
765‌
184‌
20,784‌
13,702‌
Reinvested
........................................................................
263‌
159‌
3,002‌
7,494‌
Redeemed
.........................................................................
(
2,925‌
)
(
1,611‌
)
(
48,573‌
)
(
103,991‌
)
Net
Increase
(Decrease)
...............................................................
(
1,897‌
)
(
1,268‌
)
(
24,787‌
)
(
82,795‌
)
Dividends
and
Distributions
to
Shareholders:
Period Ended
February
29,
2020
From
net
investment
income
and
net
realized
gain
on
investments
.................................
$
–‌
$
–‌
$
–‌
$
–‌
Total
Dividends
and
Distributions
$
–‌
$
–‌
$
–‌
$
–‌
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
.................................
$
(
2,794‌
)
$
(
1,679‌
)
$
(
35,416‌
)
$
(
93,806‌
)
From
tax
return
of
capital
..............................................................
(
150‌
)
(
104‌
)
(
1,732‌
)
(
4,495‌
)
Total
Dividends
and
Distributions
$
(
2,944‌
)
$
(
1,783‌
)
$
(
37,148‌
)
$
(
98,301‌
)
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
(unaudited)
18
See
accompanying
notes.
Amounts
in
thousands
International
Small
Company
Fund
Period
Ended
February
29,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
1,688‌
$
11,883‌
Net
realized
gain
(loss)
on
investments
and
foreign
currencies
....................................................................
25,955‌
(
12,951‌
)
Net
change
in
unrealized
appreciation/depreciation
of
investments
and
translation
of
assets
&
liabilities
in
foreign
currencies
..
(
41,067‌
)
(
71,249‌
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
(
13,424‌
)
(
72,317‌
)
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
27,587‌
)
(
68,970‌
)
Total
Dividends
and
Distributions
(
27,587‌
)
(
68,970‌
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
48,700‌
36,815‌
Total
Increase
(Decrease)
in
Net
Assets
7,689‌
(
104,472‌
)
Net
Assets
Beginning
of
period
.................................................................................................................
895,537‌
1,000,009‌
End
of
period
.......................................................................................................................
$
903,226‌
$
895,537‌
Class
A
Institutional
R-6
Capital
Share
Transactions:
Period
Ended
February
29,
2020
Dollars:
Sold
.......................................................................................
$
458‌
$
18,678‌
$
92,348‌
Reinvested
..................................................................................
119‌
1,106‌
26,361‌
Redeemed
...................................................................................
(
853‌
)
(
9,723‌
)
(
79,794‌
)
Net
Increase
(Decrease)
.........................................................................
$
(
276‌
)
$
10,061‌
$
38,915‌
Shares:
Sold
.......................................................................................
42‌
1,674‌
8,199‌
Reinvested
..................................................................................
10‌
98‌
2,306‌
Redeemed
...................................................................................
(
78‌
)
(
871‌
)
(
7,194‌
)
Net
Increase
(Decrease)
.........................................................................
(
26‌
)
901‌
3,311‌
Year
Ended
August
31,
2019
Dollars:
Sold
.......................................................................................
$
1,204‌
$
29,069‌
$
119,409‌
Reinvested
..................................................................................
345‌
1,694‌
66,930‌
Redeemed
...................................................................................
(
1,244‌
)
(
11,622‌
)
(
168,970‌
)
Net
Increase
(Decrease)
.........................................................................
$
305‌
$
19,141‌
$
17,369‌
Shares:
Sold
.......................................................................................
114‌
2,786‌
11,482‌
Reinvested
..................................................................................
38‌
183‌
7,182‌
Redeemed
...................................................................................
(
120‌
)
(
1,110‌
)
(
15,927‌
)
Net
Increase
(Decrease)
.........................................................................
32‌
1,859‌
2,737‌
Dividends
and
Distributions
to
Shareholders:
Period Ended
February
29,
2020
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
119‌
)
$
(
1,107‌
)
$
(
26,361‌
)
Total
Dividends
and
Distributions
$
(
119‌
)
$
(
1,107‌
)
$
(
26,361‌
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
346‌
)
$
(
1,694‌
)
$
(
66,930‌
)
Total
Dividends
and
Distributions
$
(
346‌
)
$
(
1,694‌
)
$
(
66,930‌
)
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
(unaudited)
19
See
accompanying
notes.
Amounts
in
thousands
Opportunistic
Municipal
Fund
Period
Ended
February
29,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
2,368‌
$
4,766‌
Net
realized
gain
(loss)
on
investments
.............................................................................................
927‌
988‌
Net
change
in
unrealized
appreciation/depreciation
of
investments
................................................................
3,413‌
6,188‌
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
6,708‌
11,942‌
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
2,412‌
)
(
4,560‌
)
Total
Dividends
and
Distributions
(
2,412‌
)
(
4,560‌
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
14,048‌
19,255‌
Total
Increase
(Decrease)
in
Net
Assets
18,344‌
26,637‌
Net
Assets
Beginning
of
period
.................................................................................................................
135,888‌
109,251‌
End
of
period
.......................................................................................................................
$
154,232‌
$
135,888‌
Class
A
Class
C
Institutional
Capital
Share
Transactions:
Period
Ended
February
29,
2020
Dollars:
Sold
.......................................................................................
$
9,492‌
N/A‌
$
14,507‌
Reinvested
..................................................................................
862‌
N/A‌
1,530‌
Redeemed
...................................................................................
(
7,057‌
)
N/A‌
(
5,286‌
)
Net
Increase
(Decrease)
.........................................................................
$
3,297‌
N/A‌
$
10,751‌
Shares:
Sold
.......................................................................................
847‌
N/A‌
1,290‌
Reinvested
..................................................................................
76‌
N/A‌
136‌
Redeemed
...................................................................................
(
631‌
)
N/A‌
(
467‌
)
Net
Increase
(Decrease)
.........................................................................
292‌
N/A‌
959‌
Year
Ended
August
31,
2019
(a)
Dollars:
Sold
.......................................................................................
$
24,545‌
$
883‌
$
37,477‌
Reinvested
..................................................................................
1,776‌
75‌
2,655‌
Redeemed
...................................................................................
(
22,216‌
)
(
8,001‌
)
(
17,939‌
)
Net
Increase
(Decrease)
.........................................................................
$
4,105‌
$
(
7,043‌
)
$
22,193‌
Shares:
Sold
.......................................................................................
2,304‌
85‌
3,501‌
Reinvested
..................................................................................
165‌
7‌
247‌
Redeemed
...................................................................................
(
2,096‌
)
(
764‌
)
(
1,686‌
)
Net
Increase
(Decrease)
.........................................................................
373‌
(
672‌
)
2,062‌
Dividends
and
Distributions
to
Shareholders:
Period Ended
February
29,
2020
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
880‌
)
N/A‌
$
(
1,532‌
)
Total
Dividends
and
Distributions
$
(
880‌
)
N/A‌
$
(
1,532‌
)
Year
Ended
August
31,
2019
(a)
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
1,815‌
)
$
(
86‌
)
$
(
2,659‌
)
Total
Dividends
and
Distributions
$
(
1,815‌
)
$
(
86‌
)
$
(
2,659‌
)
(a)
Class
C
shares
discontinued
operations
and
converted
to
Class
A
shares
on
January
11,
2019.
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
(unaudited)
20
See
accompanying
notes.
Amounts
in
thousands
Origin
Emerging
Markets
Fund
Period
Ended
February
29,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
4,079‌
$
16,401‌
Net
realized
gain
(loss)
on
investments
and
foreign
currencies
....................................................................
(
16,563‌
)
(
10,377‌
)
Net
change
in
unrealized
appreciation/depreciation
of
investments
and
translation
of
assets
&
liabilities
in
foreign
currencies
..
55,890‌
(
29,387‌
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
43,406‌
(
23,363‌
)
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
21,257‌
)
(
8,633‌
)
Total
Dividends
and
Distributions
(
21,257‌
)
(
8,633‌
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
166,628‌
488,958‌
Total
Increase
(Decrease)
in
Net
Assets
188,777‌
456,962‌
Net
Assets
Beginning
of
period
.................................................................................................................
1,096,224‌
639,262‌
End
of
period
.......................................................................................................................
$
1,285,001‌
$
1,096,224‌
Class
A
Institutional
R-6
Capital
Share
Transactions:
Period
Ended
February
29,
2020
Dollars:
Sold
.......................................................................................
$
1,685‌
$
4,590‌
$
237,261‌
Reinvested
..................................................................................
34‌
268‌
20,953‌
Redeemed
...................................................................................
(
1,706‌
)
(
2,159‌
)
(
94,298‌
)
Net
Increase
(Decrease)
.........................................................................
$
13‌
$
2,699‌
$
163,916‌
Shares:
Sold
.......................................................................................
152‌
407‌
20,750‌
Reinvested
..................................................................................
3‌
23‌
1,813‌
Redeemed
...................................................................................
(
153‌
)
(
191‌
)
(
8,487‌
)
Net
Increase
(Decrease)
.........................................................................
2‌
239‌
14,076‌
Year
Ended
August
31,
2019
Dollars:
Sold
.......................................................................................
$
2,340‌
$
3,112‌
$
633,844‌
Reinvested
..................................................................................
23‌
163‌
8,447‌
Redeemed
...................................................................................
(
3,889‌
)
(
2,846‌
)
(
152,236‌
)
Net
Increase
(Decrease)
.........................................................................
$
(
1,526‌
)
$
429‌
$
490,055‌
Shares:
Sold
.......................................................................................
218‌
302‌
61,048‌
Reinvested
..................................................................................
2‌
18‌
913‌
Redeemed
...................................................................................
(
378‌
)
(
279‌
)
(
14,468‌
)
Net
Increase
(Decrease)
.........................................................................
(
158‌
)
41‌
47,493‌
Dividends
and
Distributions
to
Shareholders:
Period Ended
February
29,
2020
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
35‌
)
$
(
269‌
)
$
(
20,953‌
)
Total
Dividends
and
Distributions
$
(
35‌
)
$
(
269‌
)
$
(
20,953‌
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
...........................................
$
(
23‌
)
$
(
163‌
)
$
(
8,447‌
)
Total
Dividends
and
Distributions
$
(
23‌
)
$
(
163‌
)
$
(
8,447‌
)
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
(unaudited)
21
See
accompanying
notes.
Amounts
in
thousands
Small-MidCap
Dividend
Income
Fund
Period
Ended
February
29,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
24,568‌
$
49,488‌
Net
realized
gain
(loss)
on
investments
and
foreign
currencies
....................................................................
68,454‌
28,853‌
Net
change
in
unrealized
appreciation/depreciation
of
investments
and
translation
of
assets
&
liabilities
in
foreign
currencies
..
(
178,209‌
)
(
315,957‌
)
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
(
85,187‌
)
(
237,616‌
)
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
43,151‌
)
(
339,924‌
)
Total
Dividends
and
Distributions
(
43,151‌
)
(
339,924‌
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
(
48,847‌
)
(
102,705‌
)
Total
Increase
(Decrease)
in
Net
Assets
(
177,185‌
)
(
680,245‌
)
Net
Assets
Beginning
of
period
.................................................................................................................
2,166,532‌
2,846,777‌
End
of
period
.......................................................................................................................
$
1,989,347‌
$
2,166,532‌
Class
A
Class
C
Institutional
R-6
Capital
Share
Transactions:
Period
Ended
February
29,
2020
Dollars:
Sold
.............................................................................
$
13,624‌
$
3,474‌
$
186,858‌
$
2,224‌
Reinvested
........................................................................
2,598‌
1,585‌
36,466‌
187‌
Redeemed
.........................................................................
(
23,092‌
)
(
15,592‌
)
(
255,298‌
)
(
1,881‌
)
Net
Increase
(Decrease)
...............................................................
$
(
6,870‌
)
$
(
10,533‌
)
$
(
31,974‌
)
$
530‌
Shares:
Sold
.............................................................................
910‌
235‌
12,516‌
149‌
Reinvested
........................................................................
171‌
105‌
2,391‌
12‌
Redeemed
.........................................................................
(
1,552‌
)
(
1,058‌
)
(
17,135‌
)
(
124‌
)
Net
Increase
(Decrease)
...............................................................
(
471‌
)
(
718‌
)
(
2,228‌
)
37‌
Year
Ended
August
31,
2019
Dollars:
Sold
.............................................................................
$
24,473‌
$
4,750‌
$
537,749‌
$
3,442‌
Reinvested
........................................................................
23,194‌
18,221‌
278,193‌
1,262‌
Redeemed
.........................................................................
(
72,982‌
)
(
40,777‌
)
(
878,313‌
)
(
1,917‌
)
Net
Increase
(Decrease)
...............................................................
$
(
25,315‌
)
$
(
17,806‌
)
$
(
62,371‌
)
$
2,787‌
Shares:
Sold
.............................................................................
1,718‌
342‌
37,161‌
216‌
Reinvested
........................................................................
1,793‌
1,433‌
21,335‌
97‌
Redeemed
.........................................................................
(
4,985‌
)
(
2,893‌
)
(
60,592‌
)
(
134‌
)
Net
Increase
(Decrease)
...............................................................
(
1,474‌
)
(
1,118‌
)
(
2,096‌
)
179‌
Dividends
and
Distributions
to
Shareholders:
Period Ended
February
29,
2020
From
net
investment
income
and
net
realized
gain
on
investments
.................................
$
(
2,757‌
)
$
(
1,713‌
)
$
(
38,494‌
)
$
(
187‌
)
Total
Dividends
and
Distributions
$
(
2,757‌
)
$
(
1,713‌
)
$
(
38,494‌
)
$
(
187‌
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
.................................
$
(
24,423‌
)
$
(
19,618‌
)
$
(
294,621‌
)
$
(
1,262‌
)
Total
Dividends
and
Distributions
$
(
24,423‌
)
$
(
19,618‌
)
$
(
294,621‌
)
$
(
1,262‌
)
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
(unaudited)
22
See
accompanying
notes.
Amounts
in
thousands
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Period
Ended
February
29,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
133,495‌
$
271,781‌
Net
realized
gain
(loss)
on
investments
,
futures
and
options
and
swaptions
.......................................................
9,441‌
6,927‌
Net
change
in
unrealized
appreciation/depreciation
of
investments
,
futures
and
options
and
swaptions
..........................
59,859‌
119,944‌
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
202,795‌
398,652‌
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
150,229‌
)
(
280,911‌
)
Total
Dividends
and
Distributions
(
150,229‌
)
(
280,911‌
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
638,761‌
(
16,517‌
)
Total
Increase
(Decrease)
in
Net
Assets
691,327‌
101,224‌
Net
Assets
Beginning
of
period
.................................................................................................................
5,759,242‌
5,658,018‌
End
of
period
.......................................................................................................................
$
6,450,569‌
$
5,759,242‌
Class
A
Class
C
Class
J
Institutional
R-1
R-2
R-3
R-4
R-5
R-6
Capital
Share
Transactions:
Period
Ended
February
29,
2020
Dollars:
Sold
...................
$
156,871‌
$
37,621‌
$
4,967‌
$
1,101,311‌
$
85‌
$
458‌
$
347‌
$
101‌
$
745‌
$
162,690‌
Reinvested
..............
15,580‌
7,027‌
1,074‌
73,700‌
13‌
24‌
51‌
25‌
80‌
14,088‌
Redeemed
...............
(
121,314‌
)
(
62,952‌
)
(
4,910‌
)
(
686,757‌
)
(
668‌
)
(
124‌
)
(
231‌
)
(
469‌
)
(
322‌
)
(
60,350‌
)
Net
Increase
(Decrease)
.....
$
51,137‌
$
(
18,304‌
)
$
1,131‌
$
488,254‌
$
(
570‌
)
$
358‌
$
167‌
$
(
343‌
)
$
503‌
$
116,428‌
Shares:
Sold
...................
14,979‌
3,597‌
487‌
105,856‌
9‌
45‌
33‌
10‌
71‌
15,734‌
Reinvested
..............
1,488‌
672‌
106‌
7,089‌
1‌
2‌
5‌
2‌
8‌
1,356‌
Redeemed
...............
(
11,553‌
)
(
6,010‌
)
(
482‌
)
(
66,063‌
)
(
65‌
)
(
12‌
)
(
22‌
)
(
46‌
)
(
31‌
)
(
5,808‌
)
Net
Increase
(Decrease)
.....
4,914‌
(
1,741‌
)
111‌
46,882‌
(
55‌
)
35‌
16‌
(
34‌
)
48‌
11,282‌
Year
Ended
August
31,
2019
Dollars:
Sold
...................
$
312,376‌
$
54,286‌
$
5,965‌
$
1,551,771‌
$
146‌
$
227‌
$
1,045‌
$
1,005‌
$
1,250‌
$
220,416‌
Reinvested
..............
28,123‌
19,068‌
2,182‌
128,732‌
46‌
46‌
119‌
64‌
138‌
28,982‌
Redeemed
...............
(
278,909‌
)
(
245,106‌
)
(
8,847‌
)
(
1,470,234‌
)
(
177‌
)
(
577‌
)
(
1,440‌
)
(
982‌
)
(
1,254‌
)
(
364,978‌
)
Net
Increase
(Decrease)
.....
$
61,590‌
$
(
171,752‌
)
$
(
700‌
)
$
210,269‌
$
15‌
$
(
304‌
)
$
(
276‌
)
$
87‌
$
134‌
$
(
115,580‌
)
Shares:
Sold
...................
31,239‌
5,467‌
610‌
157,894‌
15‌
23‌
107‌
103‌
125‌
22,518‌
Reinvested
..............
2,839‌
1,935‌
227‌
13,084‌
5‌
5‌
12‌
6‌
14‌
2,952‌
Redeemed
...............
(
28,125‌
)
(
24,628‌
)
(
919‌
)
(
150,781‌
)
(
18‌
)
(
59‌
)
(
146‌
)
(
101‌
)
(
129‌
)
(
37,539‌
)
Net
Increase
(Decrease)
.....
5,953‌
(
17,226‌
)
(
82‌
)
20,197‌
2‌
(
31‌
)
(
27‌
)
8‌
10‌
(
12,069‌
)
Dividends
and
Distributions
to
Shareholders:
Period Ended
February
29,
2020
From
net
investment
income
and
net
realized
gain
on
investments
$
(
18,163‌
)
$
(
8,900‌
)
$
(
1,087‌
)
$
(
96,595‌
)
$
(
13‌
)
$
(
38‌
)
$
(
51‌
)
$
(
25‌
)
$
(
80‌
)
$
(
25,277‌
)
Total
Dividends
and
Distributions
$
(
18,163‌
)
$
(
8,900‌
)
$
(
1,087‌
)
$
(
96,595‌
)
$
(
13‌
)
$
(
38‌
)
$
(
51‌
)
$
(
25‌
)
$
(
80‌
)
$
(
25,277‌
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
$
(
32,317‌
)
$
(
23,836‌
)
$
(
2,215‌
)
$
(
171,598‌
)
$
(
46‌
)
$
(
77‌
)
$
(
119‌
)
$
(
64‌
)
$
(
139‌
)
$
(
50,500‌
)
Total
Dividends
and
Distributions
$
(
32,317‌
)
$
(
23,836‌
)
$
(
2,215‌
)
$
(
171,598‌
)
$
(
46‌
)
$
(
77‌
)
$
(
119‌
)
$
(
64‌
)
$
(
139‌
)
$
(
50,500‌
)
Statement
of
Cash
Flows
Principal
Funds,
Inc.
Six
Months
Ended
February
29,
2020
(unaudited)
23
See
accompanying
notes.
(a)
Consolidated
financial
statement;
see
"Basis
for
Consolidation"
in
Notes
to
Financial
Statements.
Amounts
in
thousands
Global
Multi-
Strategy
Fund
(a)
Cash
Flows
from
Operating
Activities:
Net increase
in
net
assets
from
operations
..............................................................................
$
746
Adjustments
to
reconcile
net
increase
in
net
assets
from
operations
to
net
cash
provided
by
operating
activities:
Purchase
of
investment
securities
...............................................................................
(3,039,644)
Proceeds
from
sale
of
investment
securities
........................................................................
3,738,361
Net
sales
or
(purchases)
of
short
term
securities
.....................................................................
203,392
Proceeds
from
(
p
ayments
on)
p
urchased
o
ptions,
net
..................................................................
(522)
Proceeds
from
(
p
ayments
on)
short
sales
transactions,
net
..............................................................
(257,474)
Net
accretion
of
bond
discounts
and
amortization
of
premiums
..........................................................
(2,932)
Proceeds
from
(payments
on)
OTC
swaps,
net
......................................................................
3,335
Proceeds
from
(
p
ayments
on)
option
and
swaption
contracts
written
,
net
....................................................
649
Change
in
unrealized
ap
preciation
on
investments
....................................................................
(3,323)
Change
in
unrealized
ap
preciation
on
OTC
swaps
....................................................................
(1,194)
Change
in
unrealized
depreciation
on
options
and
swaptions
............................................................
465
Change
in
unrealized
appreciation
on
shorts
........................................................................
(673)
Net
realized
gain
(loss)
from
investments
..........................................................................
(2,782)
Net
realized
gain
(loss)
from
OTC
swaps
..........................................................................
(115)
Net
realized
gain
(loss)
from
options
and
swaptions
..................................................................
(2,957)
Net
realized
gain
(loss)
from
shorts
..............................................................................
13,907
(Increase)
decrease in
dividends
and
interest
receivable
...............................................................
4,831
(Increase)
decrease in
fund
shares
sold
...........................................................................
(735)
(Increase)
decrease in
deposits
with
counterparty
....................................................................
87,365
(Increase)
decrease in
investment
securities
sold
....................................................................
47,879
(Increase)
decrease in
variation
margin
on
futures,
net
................................................................
258
(Increase)
decrease in
variation
margin
on
swaps,
net
.................................................................
138
Increase
(decrease)
in
accrued
fees,
expenses,
and
expense
reimbursement
from
Manager
.......................................
(864)
Increase
(decrease)
in
dividends
and
interest
on
securities
sold
short
......................................................
(971)
Increase
(decrease)
in
fund
shares
redeemed
........................................................................
(1,066)
Increase
(decrease)
in
deposits
from
counterparty
....................................................................
(1,016)
Increase (decrease)
in
investment
securities
purchased
................................................................
(110,531)
Increase (decrease)
in
foreign
currency
contracts,
net
.................................................................
4,975
Increase (decrease)
in
unrealized
loss
on
unfunded
loan
commitments
.....................................................
(6)
Net
cash
provided
by
operating
activities
679,496
Cash
Flows
from
Financing
Activities:
Net
payments
from
reverse
repurchase
agreements
...................................................................
(243,168)
Proceeds
from
shares
sold
.....................................................................................
311,969
Payment
on
shares
redeemed
...................................................................................
(751,680)
Net
cash
used
in
financing
activities
(682,879
)
Net
increase
(decrease) in
cash
and
foreign
currency
..................................................................
(3,383)
Cash
and
Foreign
Currency:
Beginning
of
period
.........................................................................................
$
11,163
End
of
period
..............................................................................................
$
7,780
Supplemental
disclosure
of
cash
flow
information:
Reverse
repurchase
agreement
interest
paid
........................................................................
$
4,603
Accrued
reverse
repurchase
agreement
interest 
.....................................................................
$
109
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
24
1.
Organization
Principal
Funds,
Inc.
(the
"Fund")
is
registered
under
the
Investment
Company
Act
of
1940,
as
amended,
as
an
open-end
management
investment
company
and
operates
as
a
series
fund
in
the
mutual
fund
industry.
The
financial
statements
for
Blue
Chip
Fund,
Diversified
Real
Asset
Fund,
Edge
MidCap
Fund,
Global
Multi-Strategy
Fund,
International
Small
Company
Fund,
Opportunistic
Municipal
Fund,
Origin
Emerging
Markets
Fund,
Small-MidCap
Dividend
Income
Fund,
and
Spectrum
Preferred
and
Capital
Securities
Income
Fund
(known
as
the
"Funds")
are
presented
herein.
The
Funds
may
offer
up
to
ten
classes
of
shares:
Class
A,
Class
C,
Class
J,
Institutional,
R-1,
R-2,
R-3,
R-4,
R-5,
and
R-6.
Information
presented
in
these
financial
statements
pertains
to
Class
A
and
Class
C
shares.
Certain
detailed
financial
information
for
Class
J,
Institutional,
R-1,
R-2,
R-3,
R-4,
R-5,
and
R-6
classes
of
shares
is
provided
separately.
Each
of
the
Funds
is
an
investment
company
and
applies
specialized
accounting
and
reporting
under
Accounting
Standards
Codification
(“ASC”)
Topic
946,
Financial
Services
-
Investment
Companies
.
The
Funds
have
not
provided
financial
support
and
are
not
contractually
required
to
provide
financial
support
to
any
investee.
Effective
December
31,
2018,
the
initial
purchase
of
$10,000
of
Class
A
shares
of
Edge
MidCap
Fund
was
made
by
Principal
Global
Investors,
LLC
(the
“Manager”).
Effective
January
11,
2019,
Class
C
shares
discontinued
and
converted
into
Class
A
shares
for
Opportunistic
Municipal
Fund.
Effective
July
1,
2019,
Preferred
Securities
Fund
changed
its
name
to
Spectrum
Preferred
and
Capital
Securities
Income
Fund.
All
classes
of
shares
for
each
of
the
Funds
represent
interests
in
the
same
portfolio
of
investments
and
will
vote
together
as
a
single
class
except
where
otherwise
required
by
law
or
as
determined
by
the
Fund’s
Board
of
Directors.
In
addition,
the
Board
of
Directors
declares
separate
dividends
on
each
class
of
shares. 
2.
Significant
Accounting
Policies
The
preparation
of
financial
statements
in
conformity
with
U.S. GAAP
requires
management
to
make
estimates
and
assumptions
that
affect
the
reported
amounts
of
assets
and
liabilities
and
disclosure
of
contingent
assets
and
liabilities
at
the
date
of
the
financial
statements
and
the
reported
amounts
of
revenues
and
expenses
during
the
reporting
period.
Actual
results
could
differ
from
those
estimates.
The
following
summarizes
the
significant
accounting
policies
of
the
Funds:
Security
Valuation.
Certain
of
the
Funds
invest
in
Institutional
Class
shares
of
other
series
of the
Fund.
Investments
in
the
Underlying
Funds
are
valued
at
the
closing
net
asset
value
per
share
of
each
Underlying
Fund
on
the
day
of
valuation. The
Funds
also
invest
in
other
publicly
traded
investment
funds. Other
publicly
traded
investment
funds
are
valued
at
the
respective
fund's
net
asset
value.
The
shares
of
the
other
series
of
Principal
Funds,
Inc.
and
other
publicly
traded
investment
funds
are
referred
to
as
the
“Underlying
Funds”.
The
Funds
value
securities
for
which
market
quotations
are
readily
available
at
fair
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
such
as
current
quotations
by
broker/dealers,
coupon,
maturity,
quality,
type
of
issue,
trading
characteristics,
other
yield
and
risk
factors,
and
other
market
conditions
to
determine
an
evaluated
bid
price
or,
in
the
case
of
certain
credit
default
swaps,
a
mean
price
provided
by
a
pricing
service.
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
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,
provided
by
independent
pricing
services,
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
American
depository
receipts
(“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.
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
25
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
Fund
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.
Currency
Translation.
Foreign
holdings
are
translated
to
U.S.
dollars
using
the
exchange
rate
at
the
daily
close
of
the
New
York
Stock
Exchange.
The
identified
cost
of
the
Funds’
holdings
is
translated
at
approximate
rates
prevailing
when
acquired.
Income
and
expense
amounts
are
translated
at
approximate
rates
prevailing
when
received
or
paid,
with
daily
accruals
of
such
amounts
reported
at
approximate
rates
prevailing
at
the
date
of
valuation.
Since
the
carrying
amount
of
the
foreign
securities
is
determined
based
on
the
exchange
rate
and
market
values
at
the
close
of
the
period,
it
is
not
practicable
to
isolate
that
portion
of
the
results
of
operations
arising
as
a
result
of
changes
in
the
foreign
exchange
rates
from
the
fluctuations
arising
from
changes
in
the
market
prices
of
securities
during
the
period.
Net
realized
foreign
exchange
gains
or
losses
arise
from
sales
of
foreign
currencies,
currency
gains
or
losses
realized
between
trade
and
settlement
dates
on
security
transactions,
and
the
difference
between
the
amount
of
dividends,
interest
income,
interest
expense,
and
foreign
withholding
taxes
recorded
on
the
books
and
the
U.S.
dollar
equivalent
of
the
amounts
actually
received
or
paid.
Net
unrealized
appreciation
(depreciation)
on
translation
of
assets
and
liabilities
in
foreign
currencies
arise
from
changes
in
the
exchange
rate
relating
to
assets
and
liabilities,
other
than
investments
in
securities,
purchased
and
held
in
non-U.S.
denominated
currencies.
The
following
Funds
held
securities
denominated
in
foreign
currencies
that
exceeded
5%
of
net
assets
of
the
respective
fund
as
of
February
29,
2020:
Income
and
Investment
Transactions.
The
Funds
record
investment
transactions
on
a
trade
date
basis.
Trade
date
for
senior
floating
rate
interests
purchased
in
the
primary
market
is
considered
the
date
on
which
the
loan
allocations
are
determined.
Trade
date
for
senior
floating
rate
interests
purchased
in
the
secondary
market
is
the
date
on
which
the
transaction
is
entered
into.
The
identified
cost
basis
has
been
used
in
determining
the
net
realized
gain
or
loss
from
investment
transactions
and
unrealized
appreciation
or
depreciation
of
investments.
The
Funds
record
dividend
income
on
the
ex-dividend
date,
except
dividend
income
from
foreign
securities
whereby
the
ex-dividend
date
has
passed;
such
dividends
are
recorded
as
soon
as
the
Funds
are
informed
of
the
ex-dividend
date.
Interest
income
is
recognized
on
an
accrual
basis.
Discounts
and
premiums
on
securities
are
accreted/amortized,
respectively,
on
the
level
yield
method
over
the
expected
lives
of
the
respective
securities.
The
Funds
allocate
all
income
and
realized
and
unrealized
gains
or
losses
on
a
daily
basis
to
each
class
of
shares
based
upon
the
relative
proportion
of
the
value
of
shares
outstanding
of
each
class.
Expenses.
Expenses
directly
attributed
to
a
particular
fund
are
charged
to
that
fund.
Other
expenses
not
directly
attributed
to
a
particular
fund
are
apportioned
among
the
registered
investment
companies
managed
by
the
Manager.
Management
fees
are
allocated
daily
to
each
class
of
shares
based
upon
the
relative
proportion
of
the
value
of
shares
outstanding
of
each
class.
Expenses
specifically
attributable
to
a
particular
class
are
charged
directly
to
such
class
and
are
included
separately
in
the
statements
of
operations.
Diversified
Real
Asset
Fund
Euro
7
.5%
British
Pound
Sterling
5
.3
Canadian
Dollar
5
.1
Global
Multi-Strategy
Fund
Euro
5
.8%
International
Small
Company
Fund
Euro
25
.7%
Japanese
Yen
25
.0
British
Pound
Sterling
16
.3
Canadian
Dollar
10
.2
Origin
Emerging
Markets
Fund
Hong
Kong
Dollar
32
.5%
New
Taiwan
Dollar
10
.7
Brazilian
Real
6
.5
Small-MidCap
Dividend
Income
Fund
Canadian
Dollar
5
.7%
2.
Significant
Accounting
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
26
In
addition
to
the
expenses
the
Funds
bear
directly,
each
of
the
Funds
may
indirectly
bear
a
pro
rata
share
of
the
fees
and
expenses
of
the
Underlying
Funds
in
which
they
invest.
Because
the
Underlying
Funds
have
varied
expense
levels
and
each
of
the
Funds
may
own
different
proportions
of
the
Underlying
Funds
at
different
times,
the
amount
of
expense
incurred
indirectly
by
each
Fund
will
vary.
Expenses
included
in
the
statements
of
operations
of
the
Funds
do
not
include
any
expenses
associated
with
the
Underlying
Funds.
Distributions
to
Shareholders.
With
respect
to
Opportunistic
Municipal
Fund,
net
investment
income
is
declared
as
dividends
daily
to
settled
shares
of
record
as
of
that
day,
and
all
distributions
of
realized
gains
from
investment
transactions
are
recorded
on
the
ex-dividend
date.
Dividends
and
distributions
to
shareholders
of
the
other
Funds
are
recorded
on
the
ex-dividend
date.
Dividends
and
distributions
to
shareholders
from
net
investment
income
and
net
realized
gain
from
investments
and
foreign
currency
transactions
are
determined
in
accordance
with
federal
tax
regulations,
which
may
differ
from
U.S.
GAAP.
These
differences
are
primarily
due
to
differing
treatments
for
amortization
of
premiums
and
discounts,
net
operating
losses,
foreign
currency
transactions,
inverse
floating
rate
securities,
options
and
futures
contracts,
certain
defaulted
securities,
sales
of
passive
foreign
investment
companies,
losses
deferred
due
to
wash
sales,
tax
straddles,
mortgage-backed
securities,
certain
preferred
securities,
swap
agreements,
short
sales,
partnership
investments,
Real
Estate
Investment
Trusts
(“REITs”),
utilization
of
earnings
and
profits
distributed
to
shareholders
on
redemption
of
shares,
and
limitations
imposed
by
Sections
381-384
of
the
Internal
Revenue
Code.
Permanent
book
and
tax
basis
differences
are
reclassified
within
the
capital
accounts
based
on
federal
tax-basis
treatment;
temporary
differences
do
not
require
reclassification.
To
the
extent
dividends
and
distributions
exceed
current
and
accumulated
earnings
and
profits
for
federal
income
tax
purposes,
they
are
reported
as
return
of
capital
distributions.
Federal
Income
Taxes.
No
provision
for
federal
income
taxes
is
considered
necessary
because
each
of
the
Funds
intends
to
qualify
as
a
“regulated
investment
company”
under
the
Internal
Revenue
Code
and
intends
to
distribute
each
year
substantially
all
of
its
net
investment
income
and
realized
capital
gains
to
shareholders.
Management
evaluates
tax
positions
taken
or
expected
to
be
taken
in
the
course
of
preparing
the
Funds’
tax
returns
to
determine
whether
it
is
“more
likely
than
not”
that
each
tax
position
would
be
sustained
upon
examination
by
a
taxing
authority
based
on
the
technical
merits
of
the
position.
Tax
positions
not
deemed
to
meet
the
"more
likely
than
not"
threshold
would
be
recorded
as
a
tax
benefit
or
expense
in
the
current
year.
During
the period
ended
February
29,
2020,
the
Funds
did
not
record
any
such
tax
benefit
or
expense
in
the
accompanying
financial
statements.
The
statute
of
limitations
remains
open
for
the
fiscal
years
from
2016-2018.
Foreign
Taxes.
Certain
of
the
Funds
are
subject
to
foreign
income
taxes
imposed
by
certain
countries
in
which
they
invest.
Foreign
income
taxes
are
accrued
by
the
Funds
as
a
reduction
of
income.
These
amounts
are
shown
as
withholding
tax
on
the
statements
of
operations.
In
consideration
of
recent
decisions
rendered
by
European
courts,
certain
of
the
Funds
have
filed
additional
tax
reclaims
for
taxes
withheld
in
prior
years.
Due
to
the
uncertainty
and
timing
of
these
reclaims,
a
corresponding
receivable
will
only
be
recorded
when
both
the
amount
is
known
and
there
are
no
significant
uncertainties
regarding
collectability.
Basis
for
Consolidation.
Diversified
Real
Asset
Fund
and
Global
Multi-Strategy
Fund
(the
“Consolidated
Funds”)
may
invest
up
to
25%
of
their
total
assets
in
their
respective
wholly-owned
subsidiaries
DRA
Cayman
Corporation
and
GMS
Cayman
Corporation
(the
“Cayman
Subsidiaries”),
each
organized
under
the
laws
of
the
Cayman
Islands.
The
Consolidated
Funds
are
the
sole
shareholder
of
their
respective
Cayman
Subsidiaries,
and
shares
of
the
Cayman
Subsidiaries
will
not
be
sold
or
offered
to
other
investors.
To
the
extent
that
the
Consolidated
Funds
invest
in
their
Cayman
Subsidiaries,
they
will
be
subject
to
the
particular
risks
associated
with
the
Cayman
Subsidiaries'
investments,
which
are
discussed
in
the
applicable
Prospectus
and
Statement
of
Additional
Information.
The
principal
purpose
of
investing
in
the
Cayman
Subsidiaries
is
to
allow
the
Consolidated
Funds
to
gain
exposure
to
the
commodity
markets
within
the
limitations
of
federal
tax
laws
applicable
to
regulated
investment
companies.
Diversified
Real
Asset
Fund’s
investment
portfolio
has
been
consolidated
and
includes
the
portfolio
holdings
of
Diversified
Real
Asset
Fund
and
its
Cayman
subsidiary.
Global
Multi-Strategy
Fund’s
investment
portfolio
has
been
consolidated
and
includes
the
portfolio
holdings
of
Global
Multi-Strategy
Fund
and
its
Cayman
subsidiary.
The
consolidated
financial
statements
for
Diversified
Real
Asset
Fund
include
the
accounts
of
Diversified
Real
Asset
Fund
and
its
Cayman
subsidiary
and
the
consolidated
financial
statements
for
Global
Multi-Strategy
Fund
include
the
accounts
of
Global
Multi-Strategy
Fund
and
its
Cayman
subsidiary.
All
intercompany
transactions
and
balances
have
been
eliminated
in
consolidation.
At
February
29,
2020,
the
net
assets
of
the
Cayman
Subsidiaries
were
as
follows
(amounts
in
thousands):
Recent
Accounting
Pronouncements.
In
August
2018,
the
Financial
Accounting
Standards
Board
issued
Accounting
Standards
Update
("ASU")
No.
2018-13,
Fair
Value
Measurement
(Topic
820):
Disclosure
Framework
-
Changes
to
the
Disclosure
Requirements
for
Fair
Net
Assets
Percent
of
Consolidated
Fund’s
Net
Assets
DRA
Cayman
Corporation
$323,762
8.77%
GMS
Cayman
Corporation
4,903
0.54
2.
Significant
Accounting
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
27
Value
Measurement,
which
amends
and
eliminates
certain
disclosure
requirements
for
fair
value
as
part
of
its
framework
project.
The
ASU
is
effective
for
annual
and
interim
periods
beginning
after
December
15,
2019.
The
early
adoption
of
the
removal
or
modification
of
disclosures
and
delay
of
adoption
of
the
additional
disclosures
is
permitted.
As
of
August
31,
2019,
the
Funds
have
adopted
the
removal
and
modification
of
applicable disclosures.  
In
March
2017,
the
Financial
Accounting
Standards
Board
issued
ASU
No.
2017-08
Premium
Amortization
on
Purchased
Callable
Debt
Securities,
which
amends
the
accounting
standards
to
shorten
the
amortization
period
of
certain
purchased
callable
debt
securities
to
the
earliest
call
date.
The
ASU
is
effective
for
annual
and
interim
periods
beginning
after
December
15,
2018.
The
Funds
have
adopted
the
new
amendment
as
of
September
1,
2019.
The
adoption
of
the
ASU
resulted
in
a
cumulative
effective
adjustment
to
components
within
total
distributable
earnings
(accumulated
loss)
on
the
statements
of
assets
and
liabilities
as
of
the
beginning
of
the
fiscal
year.
This
cumulative
effective
adjustment
did
not
have
a
material
impact
on
the
financial
statements
and
did
not
impact
net
assets
of
the
Funds.
3.
Operating
Policies
Borrowings.
Pursuant
to
an
exemptive
order
issued
by
the
Securities
and
Exchange
Commission
(the
“SEC”),
the
Funds
and
other
registered
investment
companies
managed
by
the
Manager
may
participate
in
an
interfund
lending
facility
(“Facility”).
The
Facility
allows
the
Funds
to
borrow
money
from
or
loan
money
to
the
other
participants.
Loans
under
the
Facility
are
made
to
handle
unusual
and/or
unanticipated
short-term
cash
requirements.
Interest
paid
and
received
on
borrowings
is
the
average
of
the
current
repurchase
agreement
rate
and
the
bank
loan
rate
(the
higher
of
(i)
the
Federal
Funds
Rate
or
(ii)
the
One
Month
London
Interbank
Offered
Rate
(“LIBOR”)
rate
plus
1.00%).
The
interest
income
received
is
included
in
interest
income
on
the
statements
of
operations.
The
interest
expense
associated
with
these
borrowings
is
included
in
other
expenses
on
the
statements
of
operations.
There
were
no
outstanding
loans
or
borrowings
against
the
line
of
credit
as
of
February
29,
2020
.
During
the period
ended
February
29,
2020,
Funds
lending
to
the
Facility
were
as
follows
(amounts
in
thousands):
During
the period
ended
February
29,
2020,
Funds
borrowing
from
the
Facility
were
as
follows
(amounts
in
thousands): 
In
addition,
the
Funds
participate
with
other
registered
investment
companies
managed
by
the
Manager
in
an
unsecured
joint
line
of
credit
with
a
bank
which
allows
the
participants
to
borrow
up
to
$100
million,
collectively.
Borrowings
are
made
solely
to
facilitate
the
handling
of
unusual
and/or
unanticipated
short-term
cash
requirements.
Interest
is
charged
to
each
participant,
based
on
its
borrowings,
at
a
rate
equal
to
the
higher
of
the
Federal
Funds
Rate
or
the
One
Month
LIBOR
rate
plus
1.00%.
Additionally,
a
commitment
fee
is
charged
at
an
annual
rate
of
.15%
on
the
amount
of
the
line
of
credit
which
is
allocated
to
each
participating
fund
based
on
average
net
assets.
The
interest
expense
associated
with
these
borrowings
is
included
in
other
expenses
on
the
statements
of
operations.
During
the
period
ended
February
29,
2020
,
there
was
no
borrowing
against
the
line
of
credit.
Commodity
Linked
Notes.
Diversified
Real
Asset
Fund
invests
in
structured
notes
whose
market
values
are
primarily
derived
from
changes
in
the
value
of
various
commodity
indices
and
other
factors.
Valuations
on
these
securities
may
be
volatile
as
the
payment
features
on
certain
notes
may
contain
attributes
that
multiply
the
effects
of
changes
in
the
values
of
the
underlying
indices.
Structured
notes
may
entail
a
greater
degree
of
market
risk
than
other
types
of
debt
securities.
Structured
notes
may
also
be
more
volatile,
less
liquid,
and
more
difficult
Average
Daily
Amount
Loaned
Weighted
Average
Annual
Interest
Rates
Diversified
Real
Asset
Fund
$
365
2.20
%
Edge
MidCap
Fund
348
2.15
Global
Multi-Strategy
Fund
172
2.39
International
Small
Company
Fund
156
2.43
Origin
Emerging
Markets
Fund
52
2.24
Small-MidCap
Dividend
Income
Fund
113
2.14
Spectrum
Preferred
and
Capital
Securities
Income
Fund
1,542
2.15
Average
Daily
Outstanding
Balance
Weighted
Average
Annual
Interest
Rates
Blue
Chip
Fund
$
1,040
2.33
%
Diversified
Real
Asset
Fund
1,138
2.12
International
Small
Company
Fund
14
2.18
Opportunistic
Municipal
Fund
49
2.40
2.
Significant
Accounting
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
28
to
accurately
price
than
less
complex
securities
or
more
traditional
debt
securities.
Fluctuations
in
the
fair
value
of
the
structured
notes
are
recorded
as
unrealized
gains
and
losses
in
the
accompanying
financial
statements.
Interest
income
is
accrued
daily.
These
notes
are
subject
to
prepayment,
credit,
and
interest
rate
risks.
At
maturity,
or
when
a
note
is
sold,
the
fund
records
a
realized
gain
or
loss.
Contingent
Convertible
Securities.
Global
Multi-Strategy
Fund
and
Spectrum
Preferred
and
Capital
Securities
Income
Fund
invest
in
contingent
convertible
securities
(“CoCos”).
CoCos
are
hybrid
debt
securities
that
may
convert
into
equity
or
have
their
principal
written
down
upon
the
occurrence
of
certain
“triggers.”
Although
a
contingent
convertible
security’s
equity
conversion
and
principal
write-down
features
are
tailored
to
the
particular
issuing
banking
institution
and
its
regulatory
requirements,
triggers
are
generally
linked
to
regulatory
capital
thresholds
or
regulatory
actions
calling
into
question
such
institution’s
continued
viability
as
a
going-concern.
CoCos
may
have
no
stated
maturity
and
fully
discretionary
coupons,
which
means
coupon
payments
can
be
canceled
at
the
issuing
banking
institution’s
discretion
or
at
the
request
of
the
relevant
regulatory
authority
without
causing
a
default.
To
provide
the
appropriate
regulatory
capital
treatment,
CoCos
are
usually
issued
in
the
form
of
subordinated
debt
instruments
that
rank
junior
to
the
claims
of
holders
of
more
senior
obligations
in
the
event
of
the
issuer’s
liquidation.
If
CoCos
are
converted
into
equity
securities
due
to
a
trigger
event,
holders
will
be
further
subordinated.
The
future
value
of
CoCos
is
unpredictable
and
is
influenced
by
many
factors
including,
without
limitation:
the
creditworthiness
of
the
issuer
and/or
fluctuations
in
such
issuer’s
applicable
capital
ratios;
supply
and
demand
for
CoCos;
general
market
conditions
and
available
liquidity;
and
economic,
financial
and
political
events
that
affect
the
issuer,
its
particular
market
or
the
financial
markets
in
general.
Due
to
these
features,
CoCos
may
have
substantially
greater
risk
than
other
securities
in
times
of
financial
stress.
Because
of
the
uncertainty
regarding
whether
a
conversion
event
will
occur,
it
may
be
difficult
to
predict
when,
if
at
all,
a
contingent
convertible
security
will
be
converted
to
equity,
and
a
fund
may
suffer
losses
as
a
result.
If
the
trigger
level
is
breached,
the
issuer’s
decision
to
write
down,
write
off
or
convert
a
contingent
convertible
security
may
result
in
the
fund's
complete
loss
on
an
investment
in
CoCos
with
no
chance
of
recovery
even
if
the
issuer
remains
in
existence. 
Counterparties.
The
Funds
may
be
exposed
to
counterparty
risk,
or
the
risk
that
another
party
with
which
the
Funds
have
unsettled
or
open
transactions
will
fail
to
perform
on
their
commitment.
To
the
extent
that
unpaid
amounts
owed
to
the
Funds
exceed
a
predetermined
threshold
agreed
to
with
the
counterparty,
as
stated
in
the
counterparties'
master
netting
agreements
("Master
Netting
Agreements"),
such
counterparty
shall
advance
collateral
to
the
Funds
in
the
form
of
cash
or
cash
equivalents
equal
in
value
to
the
unpaid
amount
owed
to
the
Funds.
If
the
unpaid
amount
owed
to
the
Funds
subsequently
decreases,
the
Funds
would
be
required
to
return
all
or
a
portion
of
the
collateral.
Master
Netting
Agreements
may
also
help
limit
counterparty
risk
by
specifying
collateral
posting
arrangements
at
pre-arranged
exposure
levels.
Under
the
Master
Netting
Agreements,
collateral
is
routinely
transferred
if
the
total
net
exposure
to
certain
transactions
governed
under
the
relevant
master
netting
agreement
with
a
counterparty
exceeds
a
specified
threshold.
The
financial
instruments
that
are
subject
to
Master
Netting
Agreements
or
similar
agreements
may
include
right
of
setoff
provisions.
Derivative
instruments
include
provisions
to
setoff
positions
covered
under
the
agreements
with
the
same
counterparties
and
provisions
to
setoff
positions
outside
of
the
agreements
with
the
same
counterparties
in
the
event
of
default
by
one
of
the
parties.
Derivative
instruments
also
include
collateral
provisions.
Collateral
received
and
pledged
are
generally
settled
daily
with
each
counterparty.
Diversified
Real
Asset
Fund
and
Global
Multi-Strategy
Fund
have
financial
instruments
that
are
subject
to
Master
Netting
Agreements
or
similar
agreements.
As
of
February
29,
2020,
financial
assets
and
liabilities
subject
to
Master
Netting
Agreements
or
similar
agreements
were
as
follows
(amounts
in
thousands):
Assets
*
Liabilities
*
Net
Market
Value
of
OTC
Derivatives
Collateral
(Received)/
Pledged
Net
Exposure
Diversified
Real
Asset
Fund
ANZ
Stockbroking
Foreign
Currency
Contracts
$
—
$
—
$
—
$
—
$
—
$
—
$
—
$
—
Bank
of
America
NA
Foreign
Currency
Contracts
8
6
(17
4
)
(8
8
)
Total
Return
Swaps
—
(4,9
39
)
**
(4,9
39
)
$
8
6
$
(5,113)
**
$
(5,02
7
)
$
4,939
^^
$
(
88
)
Barclays
Bank
PLC
Purchased
Capped
Options
71
—
71
Foreign
Currency
Contracts
—
(1)
(1)
Purchased
Interest
Rate
Swaptions
1,51
7
—
1,51
7
Written
Interest
Rate
Swaptions
—
(2,52
6
)
(2,52
6
)
$
1,5
88
$
(2,52
7
)
$
(
939
)
$
—
$
(
939
)
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
29
Assets
*
Liabilities
*
Net
Market
Value
of
OTC
Derivatives
Collateral
(Received)/
Pledged
Net
Exposure
Diversified
Real
Asset
Fund
(continued)
BMO
Capital
Markets
Foreign
Currency
Contracts
$
21
$
(11)
$
10
$
21
$
(11)
$
10
$
—
$
10
BNP
Paribas
Foreign
Currency
Contracts
17
(7)
10
$
17
$
(7)
$
10
$
—
$
10
CIBC
World
Markets
Foreign
Currency
Contracts
—
(21)
(21)
$
—
$
(21)
$
(21)
$
—
$
(21)
Citigroup
Inc
Foreign
Currency
Contracts
1
2
(2
3
)
(1
1
)
Purchased
Options
3
—
3
$
15
$
(2
3
)
$
(
8
)
$
—
$
(
8
)
Deutsche
Bank
AG
Purchased
Capped
Options
2
—
2
Foreign
Currency
Contracts
—
(1)
(1)
Purchased
Interest
Rate
Swaptions
22
2
—
22
2
Written
Interest
Rate
Swaptions
—
(827)
(827)
Written
Options
—
(3)
(3)
Written
Capped
Options
—
(1)
(1)
$
224
$
(832)
$
(608)
$
—
$
(608)
Goldman
Sachs
&
Co
Foreign
Currency
Contracts
30
(96)
(66)
$
30
$
(96)
$
(66)
$
—
$
(66)
HSBC
Securities
Inc
Foreign
Currency
Contracts
195
(250)
(55)
$
195
$
(250)
$
(55)
$
—
$
(55)
JPMorgan
Chase
Purchased
Capped
Options
3
—
3
Purchased
Interest
Rate
Swaptions
432
—
432
Purchased
Options
68
—
68
Written
Interest
Rate
Swaptions
—
(222)
(222)
Written
Capped
Options
—
(1)
(1)
$
503
$
(223)
$
280
$
(210)
^
$
70
M3
Capital
Partners
Total
Return
Swaps
—
(6,008)
**
(6,008)
$
—
$
(6,008)
**
$
(6,008)
$
—
$
(6,008)
Morgan
Stanley
&
Co
Foreign
Currency
Contracts
109
(199)
(90)
Purchased
Interest
Rate
Swaptions
143
—
143
Written
Interest
Rate
Swaptions
—
(261)
(261)
$
252
$
(460)
$
(208)
$
—
$
(208)
Societe
Generale
Total
Return
Swaps
—
(1,631)
**
(1,631)
$
—
$
(1,631)
**
$
(1,631)
$
1,631
^^
$
—
Standard
Chartered
Bank,
Hong
Kong
Foreign
Currency
Contracts
400
(406)
(6)
$
400
$
(406)
$
(6)
$
—
$
(6)
Westpac
Banking
Corporation
Foreign
Currency
Contracts
36
(21)
15
$
36
$
(21)
$
15
$
—
$
15
Total
OTC
$
3,367
$
(17,629)
$
(14,262)
$
6,360
^^
$
(7,9
02
)
Global
Multi-Strategy
Fund
Bank
of
America
NA
Foreign
Currency
Contracts
2,237
(2,959)
(722)
Interest
Rate
Swaps
347
—
347
Purchased
Interest
Rate
Swaptions
1,044
—
1,044
Purchased
Options
64
—
64
Written
Interest
Rate
Swaptions
—
(741)
(741)
$
3,692
$
(3,700)
$
(8)
$
8
^^
$
—
Bank
of
New
York
Mellon
Foreign
Currency
Contracts
1,358
(540)
818
$
1,358
$
(540)
$
818
$
—
$
818
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
30
Assets
*
Liabilities
*
Net
Market
Value
of
OTC
Derivatives
Collateral
(Received)/
Pledged
Net
Exposure
Global
Multi-Strategy
Fund
(continued)
Barclays
Bank
PLC
Credit
Default
Swaps
$
15
1
$
—
$
15
1
Foreign
Currency
Contracts
3,490
(4,402)
(912)
Interest
Rate
Swaps
24
(84)
(60)
Purchased
Options
118
—
118
Written
Options
—
(6)
(6)
$
3,78
3
$
(4,492)
$
(70
9
)
$
110
^^
$
(59
9
)
BNP
Paribas
Purchased
Options
4
—
4
$
4
$
—
$
4
$
—
$
4
Citigroup
Inc
Credit
Default
Swaps
97
(66)
31
Foreign
Currency
Contracts
135
(78)
57
Interest
Rate
Swaps
—
(93)
(93)
Purchased
Options
77
—
77
Total
Return
Swaps
64
—
64
Written
Options
—
(13)
(13)
$
373
$
(250)
$
123
$
—
$
123
Deutsche
Bank
AG
Foreign
Currency
Contracts
6
—
6
Purchased
Options
24
—
24
$
30
$
—
$
30
$
—
$
30
Goldman
Sachs
&
Co
Credit
Default
Swaps
—
(66)
(66)
Equity
Basket
Swaps
27
(212)
(185)
Foreign
Currency
Contracts
282
(29)
253
Purchased
Options
162
—
162
Written
Options
—
(37)
(37)
$
471
$
(344)
$
127
$
—
$
127
HSBC
Securities
Inc
Foreign
Currency
Contracts
358
(212)
146
Total
Return
Swaps
269
—
269
$
627
$
(212)
$
415
$
—
$
415
Jefferies
&
Company
Purchased
Options
1
—
1
$
1
$
—
$
1
$
—
$
1
JPMorgan
Chase
Credit
Default
Swaps
—
(18
0
)
(18
0
)
Equity
Basket
Swaps
216
(290)
(74)
Foreign
Currency
Contracts
200
—
200
Interest
Rate
Swaps
80
(38)
42
Total
Return
Swaps
26
—
26
Written
Options
—
(41)
(41)
$
522
$
(5
49
)
$
(2
7
)
$
2
7
^^
$
—
Merrill
Lynch
Foreign
Currency
Contracts
105
(216)
(111)
$
105
$
(216)
$
(111)
$
—
$
(111)
Morgan
Stanley
&
Co
Credit
Default
Swaps
194
(14)
180
Equity
Basket
Swaps
2,607
(1,381)
1,226
Foreign
Currency
Contracts
431
(7
1
)
3
60
Interest
Rate
Swaps
85
—
85
Purchased
Options
32
—
32
$
3,349
$
(1,46
6
)
$
1,88
3
$
—
$
1,88
3
Societe
Generale
Purchased
Options
6
—
6
$
6
$
—
$
6
$
—
$
6
Standard
Chartered
Hong
Kong
Purchased
Options
87
—
87
$
87
$
—
$
87
$
—
$
87
UBS
AG
Equity
Basket
Swaps
561
(655)
(94)
Foreign
Currency
Contracts
6
8
—
6
8
$
6
29
$
(655)
$
(2
6
)
$
2
6
^^
$
—
Total
OTC
$
15,03
7
$
(12,42
4
)
$
2,613
$
—
$
—
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
31
Financial
Derivative
Instrument:
Repurchase
Agreements
and
Reverse
Repurchase
Agreements
Global
Multi-Strategy
Fund
Cross
Trades. 
The
Funds
may
engage
in
cross
trades.
A
cross
trade
is
a
purchase
or
sale
transaction
between
affiliated
portfolios
executed
directly
or
through
an
intermediary.
Mutual
funds
and
other
managed
portfolios
may
be
considered
affiliated
if
they
have
a
common
investment
advisor,
so
a
fund
may
be
considered
affiliated
with
any
portfolio
for
which
the
fund's
sub-advisor
acts
as
an
investment
advisor.
Such
transactions
are
permissible
provided
that
the
conditions
of
Rule
17a-7
under
the
Investment
Company
Act
of
1940
are
satisfied. 
Deposits
with
Counterparty.
Cash
pledged
as
collateral
is
reflected
as
an
asset
on
the
statements
of
assets
and
liabilities
as
deposits
with
counterparty.
There
are
a
variety
of
security
types
which
require
varying
levels
of
pledged
collateral.
Customer
account
agreements
govern
cleared
derivatives
transactions
such
as
futures
contracts
and
certain
swap
agreements.
Such
transactions
require
posting
of
initial
margin
as
determined
by
each
relevant
clearing
agency
which
is
segregated
in
an
account
at
a
futures
commission
merchant
(“FCM”)
registered
with
the
Commodity
Futures
Trading
Commission.
International
Swaps
and
Derivatives
Association
(“ISDA”)
accounts
are
maintained
in
a
segregated
account
at
the
custodian
for
over-the-counter
("OTC")
derivatives.
Master
Securities
Forward
Transaction
Agreements
("MSFTA")
accounts
are
also
maintained
in
a
segregated
account
at
the
custodian
for
collateral
related
to
forward
currency
contracts
and
"to-be-announced"
("TBA")
securities.
Certain
of
the Funds may
pledge
cash
to
a
broker
for
securities
sold
short
and
repurchase
agreements.
As
of
February
29,
2020,
deposits
with
counterparty
were
as
follows
(amounts
in
thousands):
,
Deposits
from
Counterparty.
Cash
received
from
a
counterparty
as
collateral
is
reflected
as
a
liability
on
the
statements
of
assets
and
liabilities
as
deposits
from
counterparty.
There
are
a
variety
of
security
types
which
require
varying
levels
of
pledged
collateral.
The
collateral
posted
to
the Funds
by
the
broker
is
received
in
the
fund’s
custodian
account.
As
of
February
29,
2020,
deposits
from
counterparty
were
as
follows
(amounts
in
thousands):
Floating
Rate
Notes
Issued
in
Conjunction
with
Securities
Held.
Opportunistic
Municipal
Fund
has
entered
into
transactions
in
which
the
fund
transfers
fixed
rate
bonds
to
trusts
in
exchange
for
cash
and
residual
interests
in
the
trusts’
assets
and
cash
flows,
which
are
in
the
form
of
inverse
floating
rate
securities.
The
trusts
finance
the
purchases
of
the
fixed
rate
bonds
by
issuing
floating
rate
notes
to
third
parties.
The
fund
enters
into
shortfall
and
forbearance
agreements
with
the
trusts,
which
commit
the
fund
to
pay
the
trusts,
in
certain
circumstances,
the
difference
between
the
liquidation
value
of
the
fixed
rate
bonds
held
by
the
trusts
and
the
liquidation
value
of
the
floating
rate
notes
held
by
third
parties,
as
well
as
any
shortfalls
in
interest
cash
flows.
The
residual
interests
held
by
the
fund
(inverse
floating
rate
securities)
include
the
right
of
the
fund
(1)
to
cause
the
holders
of
the
floating
rate
notes
to
tender
their
notes
at
par
at
the
next
interest
rate
reset
date,
and
(2)
to
transfer
the
fixed
rate
bond
from
the
trusts
to
the
fund,
thereby
collapsing
the
trusts.
The
fund
accounts
for
the
transfer
of
bonds
to
the
trusts
as
secured
borrowings,
with
the
securities
transferred
remaining
in
the
fund’s
investment
assets,
and
the
related
floating
rate
notes
reflected
as
fund
liabilities
under
the
caption
“floating
rate
notes
issued”
in
the
statement
of
assets
and
liabilities.
The
fund
holds
the
"floating
rate
notes
issued"
in
which
the
carrying
value,
including
accrued
interest,
approximates
fair
value
for
financial
statement
purposes.
As
of
period
end,
the
“floating
rate
notes
issued”
payable
is
categorized
as
Level
2
within
the
disclosure
hierarchy.
The
balance
of
the
"floating
rate
notes
*
Represents
amount
of
offsetting
derivative
assets
or
liabilities
that
are
subject
to
an
enforceable
master
netting
agreement
or
similar
agreement
that
are
not
netted
against
the
gross
derivative
assets
or
liabilities
for
presentation
on
the
Statement
of
Assets
and
Liabilities.
**
Represents
derivatives
owned
by
the
Cayman
Subsidiary.
^
The
counterparty
has
pledged
cash
to
the
fund
as
collateral
in
a
segregated
account
which
is
not
included
in
the
assets
of
the
fund.
^^
The
fund
has
pledged
cash
to
the
counterparty
as
collateral
which
may
be
in
excess
of
the
amount
owed
to
the
counterparty.
Counterparty
Repurchase
Agreement
Proceeds
to
be
Received
Payable
for
Reverse
Repurchase
Agreements
Net
Receivable/(Payable)
Collateral
(Received)/Pledged
Net
Exposure
Barclays
Bank
$3,964
$(3,398)
$566
$—
$566
Merrill
Lynch
250,207
(407,532)
(157,325)
151,121
(6,204)
Repurchase
Agreements
FCM
(Futures
and
Cleared
Swaps)
ISDA
(OTC
Derivatives)
Shorts
Total
Deposits
with
Counterparty
Diversified
Real
Asset
Fund
$
—
$
3,150
$
13,110
$
—
$
16,260
Global
Multi-Strategy
Fund
5,498
18,221
20,727
91,178
135,624
Spectrum
Preferred
and
Capital
Securities
Income
Fund
—
2,266
—
—
2,266
ISDA
(OTC
Derivatives)
Diversified
Real
Asset
Fund
$
210
Global
Multi-Strategy
Fund
192
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
32
issued"
as
of February
29,
2020 was $5,428,000.
The
average
outstanding
balance
for
the
liability
during
the
period
ended February
29,
2020
was
$5,428,000
at
a weighted
average
annual
interest
rate
of
1.98%.
The
notes
issued
by
the
trusts
have
interest
rates
that
reset
weekly,
and
the
floating
rate
note
holders
have
the
option
to
tender
their
notes
to
the
trusts
for
redemption
at
par
at
ea
ch
reset
date. 
Foreign
Currency
Contracts.
Certain
of
the
Funds
may
be
subject
to
foreign
currency
exchange
rate
risk
in
the
normal
course
of
pursuing
such
Funds’
investment
objectives.
The
Funds
may
use
foreign
currency
contracts
to
gain
exposure
to,
or
hedge
against
changes
in
the
value
of
foreign
currencies.
Certain
of
the
Funds
enter
into
forward
contracts
to
purchase
and
sell
foreign
currencies
at
a
specified
future
date
at
a
fixed
exchange
rate.
Forward
foreign
currency
contracts
are
valued
at
the
forward
rate,
and
are
marked-to-market
daily.
The
change
in
fair
value
is
recorded
by
the
Funds
as
an
unrealized
gain
or
loss.
When
the
contract
is
closed,
the
Funds
record
a
realized
gain
or
loss
equal
to
the
difference
between
the
value
of
the
contract
at
the
time
it
was
opened
and
the
value
at
the
time
it
was
closed.
The
use
of
forward
foreign
currency
contracts
does
not
eliminate
the
fluctuations
in
underlying
prices
of
the
Funds’
portfolio
securities,
but
it
does
establish
a
rate
of
exchange
that
can
be
achieved
in
the
future.
Although
forward
foreign
currency
contracts
limit
the
risk
of
loss
due
to
a
decline
in
the
value
of
the
hedged
currency,
they
also
limit
any
potential
gain
that
might
result
should
the
value
of
the
currency
increase.
In
addition,
the
Funds
could
be
exposed
to
risks
if
the
counterparties
to
the
contracts
are
unable
to
meet
the
terms
of
their
contracts
or
if
the
value
of
the
currency
changes
unfavorably
to
the
U.S.
dollar. 
Futures
Contracts.
The
Funds
are
subject
to
equity
price
risk,
interest
rate
risk,
and
foreign
currency
exchange
rate
risk
in
the
normal
course
of
pursuing
their
investment
objectives.
The
Funds
may
enter
into
futures
contracts
to
hedge
against
changes
in,
or
to
gain
exposure
to,
change
in
the
value
of
equities,
interest
rates
and
foreign
currencies.
Initial
margin
deposits
are
made
by
cash
deposits
or
segregation
of
specific
securities
as
may
be
required
by
the
exchange
on
which
the
transaction
was
conducted.
Pursuant
to
the
contracts,
a
fund
agrees
to
receive
from
or
pay
to
the
broker
an
amount
of
cash
equal
to
the
daily
fluctuation
in
the
value
of
the
contract.
Such
receipts
or
payments
are
known
as
“variation
margin”
and
are
recorded
by
the
fund
as
a
variation
margin
receivable
or
payable
on
financial
derivative
instruments.
Futures
contracts
are
marked
to
market
daily
at
the
closing
settlement
price
or
in
the
absence
of
such
a
price,
the
most
recent
quoted
bid
price.
If
there
are
no
quotations
available,
the
security
is
valued
at
the
last
available
closing
settlement
price.
During
the
period
the
futures
contracts
are
open,
daily
changes
in
the
fair
value
of
the
contracts
are
recognized
as
unrealized
gains
or
losses.
These
unrealized
gains
or
losses
are
included
as
a
component
of
total
distributable
earnings
(accumulated
loss)
on
the
statements
of
assets
and
liabilities.
When
the
contracts
are
closed,
the
fund
recognizes
a
realized
gain
or
loss
equal
to
the
difference
between
the
proceeds
from,
or
cost
of,
the
closing
transaction
and
the
fund’s
cost
basis
in
the
contract.
There
is
minimal
counterparty
credit
risk
to
the
Funds
because
futures
are
exchange
traded
and
the
exchange’s
clearinghouse,
as
counterparty
to
all
exchange
traded
futures,
guarantees
the
futures
against
default.
Illiquid
Securities.
Illiquid
securities
generally
cannot
be
sold
or
disposed
of
in
the
ordinary
course
of
business
(within
seven
calendar
days)
at
approximately
the
value
at
which
each
of
the
Funds
has
valued
the
investments.
This
may
have
an
adverse
effect
on
each
of
the
Funds’
ability
to
dispose
of
particular
illiquid
securities
at
fair
value
and
may
limit
each
of
the
Funds’
ability
to
obtain
accurate
market
quotations
for
purposes
of
valuing
the
securities. 
Indemnification.
Under
the
Fund’s
by-laws,
present
and
past
officers,
directors,
and
employees
are
indemnified
against
certain
liabilities
arising
out
of
the
performance
of
their
duties.
In
addition,
in
the
normal
course
of
business,
the
Fund
may
enter
into
a
variety
of
contracts
that
may
contain
representations
and
warranties
which
provide
general
indemnifications.
The
Fund’s
maximum
exposure
under
these
arrangements
is
unknown,
as
this
would
involve
future
claims
that
may
be
made
against
the
Fund. 
Inflation-Indexed
Bonds.
Certain
of
the
Funds
may
invest
in
inflation-indexed
bonds.
Inflation-indexed
bonds
are
fixed-income
securities
whose
principal
value
is
periodically
adjusted
to
the
rate
of
inflation.
The
interest
rate
on
these
bonds
is
generally
fixed
at
issuance
at
a
rate
lower
than
typical
bonds.
Over
the
life
of
an
inflation-indexed
bond,
however,
interest
will
be
paid
based
on
a
principal
value,
which
is
adjusted
for
inflation.
Any
increase
or
decrease
in
the
principal
amount
of
an
inflation-indexed
bond
will
be
included
as
interest
income
on
the
statements
of
operations,
even
though
the
Funds
would
not
receive
the
principal
until
maturity.
Options
Contracts.
During
the
period, Diversified
Real
Asset
Fund,
Global
Multi-Strategy
Fund,
and
Spectrum
Preferred
and
Capital
Securities
Income
Fund
wrote
call
and
put
options
on
swaps,
securities,
indices
and
currencies
they
own
or
in
which
they
may
invest
for
both
hedging
and
non-hedging
purposes.
Writing
put
options
tends
to
increase
a
fund’s
exposure
to
the
underlying
instrument.
Writing
call
options
tends
to
decrease
a
fund’s
exposure
to
the
underlying
instrument.
When
a
fund
writes
a
call
or
put
option,
an
amount
equal
to
the
premium
received
is
recorded
as
a
liability
and
subsequently
marked
to
market
to
reflect
the
current
value
of
the
option
written.
These
liabilities
are
reflected
as
options
contracts
written
on
the
statements
of
assets
and
liabilities.
Premiums
received
from
writing
options
which
expire
are
treated
as
realized
gains.
Premiums
received
from
writing
options
which
are
exercised
or
closed
are
added
to
the
proceeds
or
offset
against
amounts
paid
on
the
underlying
swap,
security,
index
or
currency
transaction
to
determine
the
realized
gain
or
loss.
A
fund,
as
a
writer
of
an
option,
has
no
control
over
whether
the
underlying
swap,
security,
index
or
currency
may
be
sold
(call)
or
purchased
(put)
and
as
a
result
bears
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
33
the
market
risk
of
an
unfavorable
change
in
the
price
of
the
swap,
security,
index
or
currency
underlying
the
written
option.
There
is
the
risk
a
fund
may
not
be
able
to
enter
into
a
closing
transaction
because
of
an
illiquid
market.
The
maximum
potential
amount
of
future
payments
(undiscounted)
that
a
fund
as
a
writer
of
put
options
could
be
required
to
make
is
equal
to
the
notional
amount
multiplied
by
the
exercise
price
as
shown
in
the
schedule
of
investments.
A
fund
may
also
purchase
put
and
call
options.
Purchasing
call
options
tends
to
increase
a
fund’s
exposure
to
the
underlying
instrument.
Purchasing
put
options
tends
to
decrease
a
fund’s
exposure
to
the
underlying
instrument.
A
fund
pays
a
premium
which
is
included
on
the
fund’s
statements
of
assets
and
liabilities
as
an
investment
and
subsequently
marked
to
market
to
reflect
the
current
value
of
the
option.
Premiums
paid
for
purchasing
options
which
expire
are
treated
as
realized
losses.
The
risk
associated
with
purchasing
put
and
call
options
is
limited
to
the
premium
paid.
Premiums
paid
for
purchasing
options
which
are
exercised
or
closed
are
added
to
the
amounts
paid
or
offset
against
the
proceeds
on
the
underlying
swap,
security,
index
or
currency
transaction
to
determine
the
realized
gain
or
loss.
Details
of
options
contracts
open
at period
end
are
included
in
the
Funds'
schedules
of
investments. 
Rebates.
Subject
to
best
execution,
the
Funds
may
direct
certain
portfolio
transactions
to
brokerage
firms
that,
in
turn,
have
agreed
to
rebate
a
portion
of
the
related
brokerage
commission
to
the
Funds
in
cash.
Commission
rebates
are
included
as
a
component
of
realized
gain
from
investment
transactions
in
the
statements
of
operations. 
Repurchase
Agreements.
The
Funds
may
invest
in
repurchase
agreements
that
are
fully
collateralized,
typically
by
U.S.
government
or
U.S.
government
agency
securities.
It
is
the
Fund's
policy
that
the
counterparties’
custodian
takes
possession
of
the
underlying
collateral
securities.
The
fair
value
of
the
collateral
is
at
all
times
at
least
equal
to
the
total
amount
of
the
repurchase
obligation.
In
the
event
of
default
on
the
obligation
to
repurchase,
the
Funds
have
the
right
to
liquidate
the
collateral
and
apply
the
proceeds
in
satisfaction
of
the
obligation.
In
the
event
the
seller
of
a
repurchase
agreement
defaults,
the
Funds
could
experience
delays
in
the
realization
of
the
collateral. 
In
addition,
Global
Multi-Strategy
Fund
may
enter
into
repurchase
agreements
with
certain
counterparties
that
are
collateralized
by
assets
other
than
U.S.
government
or
U.S.
government
agency
securities.
The
collateral
pledged
by
the
counterparty
under
these
repurchase
agreements
is
maintained
in
a
segregated
account
at
the
counterparty’s
custodian.
After
entering
into
the
repurchase
agreement,
the
fund
may
sell
short
the
security
pledged
by
the
counterparty
as
collateral
in
anticipation
of
a
decline
in
market
value.
Upon
the
settlement
of
the
short
sale,
the
fund
will
unwind
the
repurchase
agreement.
Although
the
repurchase
agreements
are
typically
open-ended
through
the
maturity
date
of
the
collateral,
the
fund
has
a
right
to
terminate
the
repurchase
agreement
at
any
time
with
two
days’
notice.
During
periods
of
high
demand
for
the
collateral
security,
the
fund
may
also
pay
the
counterparty
a
fee
and
the
amount
is
recorded
as
interest
expense
on
the
statements
of
operations.
Global
master
repurchase
agreements
govern
the
repurchase
and
reverse
repurchase
transactions
between
the
fund
and
the
counterparty.
Collateral
requirements
for
certain
counterparties
may
be
determined
on
a
total
exposure
basis,
rather
than
on
an
individual
repurchase
agreement
or
reverse
repurchase
agreement
basis
in
order
to
determine
the
collateral
to
be
received
or
pledged.
Restricted
Securities.
Certain
of
the
Funds
may
invest
in
securities
that
are
subject
to
legal
or
contractual
restrictions
on
resale.
These
securities
generally
may
be
resold
in
transactions
exempt
from
registration
or
to
the
public
if
the
securities
are
registered.
Disposal
of
these
securities
may
involve
time-consuming
negotiations
and
expense,
and
prompt
sale
at
an
acceptable
price
may
be
difficult. 
Reverse
Repurchase
Agreements.
Global
Multi-Strategy
Fund
has
entered
into
reverse
repurchase
agreements.
Under
a
reverse
repurchase
agreement,
a
fund
sells
securities
and
agrees
to
repurchase
them
at
a
specified
date
and
price.
Reverse
repurchase
agreements
are
considered
to
be
borrowings
by
the
fund
and
are
subject
to
the
fund’s
restrictions
on
borrowing.
Reverse
repurchase
agreements
may
increase
the
volatility
of
a
fund
and
involve
the
risk
that
interest
costs
on
money
borrowed
may
exceed
the
return
on
securities
purchased
with
the
borrowed
money.
While
a
reverse
repurchase
agreement
is
outstanding,
the
Fund
will
maintain
cash
or
appropriate
liquid
assets
to
cover
its
obligation
under
the
agreement.
The
Fund
will
enter
into
reverse
repurchase
agreements
only
with
parties
that
the
sub-advisor
deems
creditworthy.
The
fund
must
segregate
assets
in
an
amount
equal
to
the
amount
the
fund
owes
pursuant
to
the
terms
of
the
reverse
repurchase
agreements.
Reverse
repurchase
agreements
are
shown
as
a
separate
line
item
on
the
statements
of
assets
and
liabilities.
Interest
payments
made
are
shown
as
reverse
repurchase
agreement
interest
expense
on
the
statements
of
operations.
The
fund
holds
reverse
repurchase
agreements
in
which
the
carrying
value,
including
accrued
interest,
approximates
fair
value
for
financial
statement
purposes.
As
of
period
end,
the
reverse
repurchase
agreements
payable
is
categorized
as
Level
2
within
the
disclosure
hierarchy.
The
average
amount
of
borrowings
outstanding
during
the
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
34
period
ended
February
29,
2020
was
$472,338,000
at
a
weighted
average
interest
rate
of
1.949%.
The
following
table
shows
a
breakdown
of
the
obligations
owed
by
fund,
security
type
sold
and
remaining
maturity
for
the
reverse
repurchase
agreements.
Securities
Lending.
To
earn
additional
income,
certain
of
the
Funds
may
lend
portfolio
securities
to
approved
brokerage
firms.
The
Funds
receive
collateral,
in
the
form
of
cash,
against
the
loaned
securities.
During
the
period
of
the
loan,
the
borrower
must
maintain
collateral
in
an
amount
not
less
than
102%
of
the
market
value
of
the
domestic
and
foreign
fixed
income
loaned
securities
and
105%
of
the
market
value
of
the
foreign
equity
loaned
securities.
The
market
value
of
the
loaned
securities
is
determined
at
the
close
of
business
of
the
Funds
and
any
additional
required
collateral
is
delivered
to
the
Funds
on
the
next
business
day.
The
cash
collateral
received
is
usually
invested
in
a
SEC-
registered
money
market
mutual
fund
and
the
Funds
could
realize
a
loss
on
such
investments.
Further,
the
Funds
could
experience
a
delay
in
recovering
its
securities
and
possible
loss
of
income
or
value
if
the
borrower
fails
to
return
them.
Security
lending
income,
net
of
related
fees,
is
shown
on
the
statements
of
operations.
As
of
February
29,
2020
,
the
Funds
had
securities
on
loan
as
follows
(amounts
in
thousands):
Senior
Floating
Rate
Interests.
The
Funds
may
invest
in
senior
floating
rate
interests
(bank
loans).
Senior
floating
rate
interests
typically hold
the
most
senior
position
in
the
capital
structure
of
a
business
entity
(the
“Borrower”),
are
secured
by
specific
collateral
and
have
a
claim
on
the
assets
and/or
stock
of
the
Borrower
that
is
senior
to
that
held
by
subordinated
debtholders
and
stockholders
of
the
Borrower.
Senior
floating
rate
interests
are
typically
structured
and
administered
by
a
financial
institution
that
acts
as
the
agent
of
the
lenders
participating
in
the
senior
floating
rate
interest.
Borrowers
of
senior
floating
rate
interests
are
typically
rated
below-investment-grade,
which
means
they
are
more
likely
to
default
than
investment-grade
loans.
A
default
could
lead
to
non-payment
of
income
which
would
result
in
a
reduction
of
income
to
the
fund
and
there
can
be
no
assurance
that
the
liquidation
of
any
collateral
would
satisfy
the
Borrower’s
obligation
in
the
event
of
non-payment
of
scheduled
interest
or
principal
payments,
or
that
such
collateral
could
be
readily
liquidated.
Senior
floating
rate
interests
pay
interest
at
rates
which
are
periodically
reset
by
reference
to
a
base
lending
rate
plus
a
spread.
These
base
lending
rates
are
generally
the
prime
rate
offered
by
a
designated
U.S.
bank
or
the
LIBOR
rate.
Senior
floating
rate
interests
generally
are
subject
to
mandatory
and/or
optional
prepayment.
Because
of
these
mandatory
prepayment
conditions
and
because
there
may
be
significant
economic
incentives
for
the
Borrower
to
repay,
prepayments
of
senior
floating
rate
interests
may
occur.
As
a
result,
the
actual
remaining
maturity
of
senior
floating
rate
interests
may
be
substantially
less
than
stated
maturities
shown
in
the
schedules
of
investments.
In
connection
with
the
senior
floating
rate
interests,
the
Funds
may
also
enter
into
unfunded
loan
commitments
(“commitments”).
All
or
a
portion
of
the
commitments
may
be
unfunded.
The
Funds
are
obligated
to
fund
these
commitments
at
the
Borrower’s
discretion.
Therefore,
the
Funds
must
have
funds
sufficient
to
cover
its
contractual
obligation.
Commitments
are
marked
to
market
daily
and
the
unrealized
gain
or
loss
is
shown
as
a
separate
line
item
called
unrealized
gain
or
loss
on
commitments
on
the
statements
of
assets
and
liabilities,
as
applicable.
As
of
February
29,
2020,
the
commitments
were
as
follows
(amounts
in
thousands):
Short
Sales.
Global
Multi-Strategy
Fund
entered
into
short
sales
transactions
during
the
period.
A
short
sale
is
a
transaction
in
which
a
fund
sells
a
security
it
does
not
own
as
a
hedge
against
some
of
its
long
positions
and/or
in
anticipation
of
a
decline
in
the
market
price
of
the
security.
The
fund
must
borrow
the
security
sold
short
and
deliver
it
to
the
broker
dealer
which
made
the
short
sale.
A
security
sold
in
a
short
sale
transaction
and
the
interest
or
dividend
payable
on
the
security
if
any,
is
reflected
as
a
liability
on
the
statements
of
assets
and
liabilities.
The
fund
is
obligated
to
pay
any
interest
or
dividends
received
on
the
borrowed
securities.
Interest
accrued
and
dividends
declared
Fund
Security
Type
Remaining
Contractual
Tenor
Payable
for
Reverse
Repurchase
Agreement
Global
Multi-Strategy
Fund
Corporate
Bonds
Overnight
and
Continuous
$
4,856
U.S.
Treasury
and
Agency
Securities
Overnight
and
Continuous
397,161
Corporate
Bonds
Greater
than
90
Days
3,782
Non-U.S.
Sovereign
Bonds
Greater
than
90
Days
1,733
U.S.
Treasury
and
Agency
Securities
Greater
than
90
Days
3,398
Gross
amount
of
recognized
liabilities
for
reverse
repurchase
agreements
$
410,930
Market
Value
Collateral
Value
Diversified
Real
Asset
Fund
$
9,466
$
9,826
International
Small
Company
Fund
22,911
24,353
Small-MidCap
Dividend
Income
Fund
25,462
27,567
Spectrum
Preferred
and
Capital
Securities
Income
Fund
30,953
32,740
Unfunded
Loan
Commitment
Unrealized
gain/loss
Diversified
Real
Asset
Fund
$
18,502
$
1,105
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
35
on
short
positions
are
recorded
as
an
expense
and,
if
any,
appear
as
dividends
and
interest
on
shorts
on
the
statements
of
operations.
A
fund
is
obligated
to
deliver
the
security
at
the
market
price
at
the
time
the
short
position
is
closed.
Possible
losses
from
short
sales
may
be
unlimited.
The
fund
is
required
to
pledge
cash
or
securities
to
the
broker
as
collateral
for
securities
sold
short.
Collateral
requirements
are
calculated
daily
based
on
the
current
market
value
of
the
short
positions.
Cash
deposited
with
the
broker
for
collateral
is
included
in
deposits
with
counterparty
on
the
statements
of
assets
and
liabilities
and
securities
segregated
as
collateral
are
footnoted
in
the
schedule
of
investments.
The
fund
may
pay
broker’s
fees
on
the
borrowed
securities
and
may
also
pay
a
financing
charge
for
the
difference
in
the
market
value
of
the
short
position
and
cash
collateral
deposited
with
the
broker.
These
fees
are
included
as
short
sale
fees
on
the
statements
of
operations.
Swap
Agreements.
Diversified
Real
Asset
Fund
and
Global
Multi-Strategy
Fund
invested
in
swap
agreements
during
the
period.
Swap
agreements
are
negotiated
agreements
between
a
fund
and
a
counterparty
to
exchange
a
series
of
cash
flows
at
specified
intervals
based
upon,
or
calculated
by
reference
to,
changes
in
specified
prices
or
rates
for
a
specified
amount
of
an
underlying
asset.
A
fund
may
enter
into
credit
default,
currency,
interest
rate,
or
total
return
swap
agreements
to
manage
its
exposure
to
credit,
currency,
interest
rate,
or
market
risk.
In
connection
with
these
agreements,
securities
may
be
identified
as
collateral
in
accordance
with
the
terms
of
the
respective
swap
agreements
to
provide
assets
of
value
and
recourse
in
the
event
of
default
or
bankruptcy/insolvency.
Swap
agreements
are
valued
through
a
pricing
service
or
using
procedures
established
and
periodically
reviewed
by
the
Fund’s
Board
of
Directors.
Centrally
cleared
swaps
are
valued
using
the
last
traded
price
from
the
preliminary
trading
exchange.
OTC
swaps
are
modeled
taking
into
account
the
counterparties’
creditworthiness
and
using
a
series
of
techniques,
including
simulation
models.
Changes
in
value
are
recorded
as
unrealized
gain
or
loss
which
is
included
as
a
component
of
total
distributable
earnings
(accumulated
loss)
on
the
statements
of
assets
and
liabilities.
Upon
termination
of
swap
agreements,
the
Funds
recognize
a
realized
gain
or
loss.
Net
periodic
payments
to
be
received
or
paid
are
accrued
daily
and
are
recorded
in
the
statements
of
operations
as
realized
gains
or
losses.
Payments
received
or
made
at
the
beginning
of
the
measurement
period
are
reflected
as
such
on
the
statements
of
assets
and
liabilities
and
represent
payments
made
or
received
upon
entering
into
the
swap
agreement
to
compensate
for
differences
between
the
stated
terms
of
the
swap
agreement
and
prevailing
market
conditions
(credit
spreads,
interest
rates,
and
other
relevant
factors).
These
upfront
payments
are
amortized
daily
over
the
term
of
the
swap
agreement
as
realized
gains
or
losses
on
the
statements
of
operations.
Notional
principal
amounts
are
used
to
express
the
extent
of
involvement
in
these
agreements.
Risks
may
exceed
amounts
shown
on
the
statements
of
assets
and
liabilities.
These
risks
include
changes
in
the
returns
of
the
underlying
instruments,
unfavorable
interest
rate
fluctuation,
that
the
counterparty
to
the
agreements
may
default
on
its
obligation
to
perform
or
disagree
as
to
the
meaning
of
contractual
terms
in
the
agreements,
and
the
possible
lack
of
liquidity
with
respect
to
the
swap
agreements.
The
Funds
and
any
counterparty
are
required
to
maintain
an
agreement
that
requires
the
Funds
and
that
counterparty
to
monitor
the
net
fair
value
of
all
derivative
transactions
entered
into
pursuant
to
the
contract
between
the
Funds
and
such
counterparty.
If
the
net
fair
value
of
such
derivatives
transactions
between
the
Funds
and
that
counterparty
exceeds
a
certain
threshold
(as
defined
in
the
agreement),
the
Funds
or
the
counterparty
are
required
to
post
cash
and/or
securities
as
collateral.
Fair
values
of
derivatives
transactions
presented
in
the
financial
statements
are
not
netted
with
the
fair
values
of
other
derivatives
transactions
or
with
any
collateral
amounts
posted
by
the
Funds
or
any
counterparty.
Credit
default
swaps
involve
commitments
to
pay
a
fixed
rate
at
a
predetermined
frequency
in
exchange
for
a
lump
sum
payment
if
a
“credit
event”,
as
defined
in
the
agreement,
affecting
a
third
party
occurs.
Credit
events
may
include
a
failure
to
pay
interest,
bankruptcy,
restructuring,
or
other
event
as
defined
in
the
agreement.
A
“buyer”
of
credit
protection
agrees
to
pay
a
counterparty
to
assume
the
credit
risk
of
an
issuer
upon
the
occurrence
of
a
credit
event.
The
“seller”
of
the
protection
receives
periodic
payments
and
agrees
to
assume
the
credit
risk
of
an
issuer
upon
the
occurrence
of
a
credit
event.
As
the
seller
of
credit
protection,
a
fund
would
add
leverage
to
its
portfolio
because,
in
addition
to
its
total
net
assets,
a
fund
would
be
subject
to
investment
exposure
on
the
notional
amount
of
the
swap.
If
a
fund
is
a
seller
of
protection
and
a
credit
event
occurs,
as
defined
under
the
terms
of
that
particular
swap
agreement,
the
fund
will
either
(i)
pay
to
the
buyer
of
protection
an
amount
equal
to
the
notional
amount
of
the
swap
and
take
delivery
of
the
referenced
obligation,
other
deliverable
obligations
or
underlying
securities
comprising
the
referenced
index
or
(ii)
pay
a
net
settlement
amount
in
the
form
of
cash
or
securities
equal
to
the
notional
amount
of
the
swap
less
the
recovery
value
of
the
referenced
obligation
or
underlying
securities
comprising
the
referenced
index.
If
a
fund
is
a
buyer
of
protection
and
a
credit
event
occurs,
as
defined
under
the
terms
of
that
particular
swap
agreement,
a
fund
will
either
(i)
receive
from
the
seller
of
protection
an
amount
equal
to
the
notional
amount
of
the
swap
and
deliver
the
referenced
obligation,
other
deliverable
obligations
or
underlying
securities
comprising
the
referenced
index
or
(ii)
receive
a
net
settlement
amount
in
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
36
the
form
of
cash
or
securities
equal
to
the
notional
amount
of
the
swap
less
the
recovery
value
of
the
referenced
obligation
or
underlying
securities
comprising
the
referenced
index.
Credit
default
swap
agreements
on
credit
indices
involve
one
party
making
a
stream
of
payments
to
another
party
in
exchange
for
the
right
to
receive
a
specified
return
in
the
event
of
a
write-down,
principal
shortfall,
interest
shortfall
or
default
of
all
or
part
of
the
referenced
entities
comprising
the
credit
index.
A
credit
index
is
a
basket
of
credit
instruments
or
exposures
designed
to
be
representative
of
some
part
of
the
credit
market
as
a
whole.
These
indices
are
made
up
of
reference
credits
that
are
judged
by
a
poll
of
dealers
to
be
the
most
liquid
entities
in
the
credit
default
swap
market
based
on
the
sector
of
the
index.
Components
of
the
indices
may
include,
but
are
not
limited
to,
investment
grade
securities,
high
yield
securities,
asset
backed
securities,
emerging
markets,
and/or
various
credit
ratings
within
each
sector.
Credit
indices
are
traded
using
credit
default
swaps
with
standardized
terms
including
a
fixed
spread
and
standard
maturity
dates.
An
index
credit
default
swap
references
all
the
names
in
the
index,
and
if
there
is
a
default,
the
credit
event
is
settled
based
on
that
name’s
weight
in
the
index.
The
composition
of
the
indices
changes
periodically,
usually
every
six
months,
and
for
most
indices,
each
name
has
an
equal
weight
in
the
index.
A
fund
may
use
credit
default
swaps
on
credit
indices
to
hedge
a
portfolio
of
credit
default
swaps
or
bonds,
which
is
less
expensive
than
it
would
be
to
buy
many
credit
default
swaps
to
achieve
a
similar
effect.
Credit
default
swaps
on
indices
are
benchmarks
for
protecting
investors
owning
bonds
against
default,
and
traders
use
them
to
speculate
on
changes
in
credit
quality.
Credit
default
swap
agreements
on
corporate
issues
or
sovereign
issues
involve
one
party
making
a
stream
of
payments
to
another
party
in
exchange
for
the
right
to
receive
a
specified
return
in
the
event
of
a
default
or
other
credit
event.
If
a
credit
event
occurs
and
cash
settlement
is
not
elected,
a
variety
of
other
deliverable
obligations
may
be
delivered
in
lieu
of
the
specific
referenced
obligation.
The
ability
to
deliver
other
obligations
may
result
in
a
cheapest-to-deliver
option
(the
buyer
of
protection’s
right
to
choose
the
deliverable
obligation
with
the
lowest
value
following
a
credit
event).
The
Funds
may
use
credit
default
swaps
on
corporate
issues
or
sovereign
issues
of
an
emerging
country
to
provide
a
measure
of
protection
against
defaults
of
the
issuers
(i.e.,
to
reduce
risk
where
the
Funds
own
or
have
exposure
to
the
referenced
obligation).
For
credit
default
swap
agreements
on
asset-backed
securities
and
credit
indices,
the
quoted
market
prices
and
resulting
values
serve
as
the
indicator
of
the
current
status
of
the
payment/performance
risk.
Wider
credit
spreads
and
increasing
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.
The
maximum
potential
amount
of
future
payments
(undiscounted)
that
a
fund
as
a
seller
of
protection
could
be
required
to
make
under
a
credit
default
swap
agreement
would
be
an
amount
equal
to
the
notional
amount
of
the
agreement.
Notional
amounts
of
all
credit
default
swap
agreements
outstanding
as
of
February
29,
2020
for
which
a
fund
is
the
seller
of
protection
are
disclosed
in
the
footnotes
to
the
schedules
of
investments.
These
potential
amounts
would
be
partially
offset
by
any
recovery
values
of
the
respective
referenced
obligations,
upfront
payments
received
upon
entering
into
the
agreement,
or
net
amounts
received
from
the
settlement
of
buy
protection
credit
default
swap
agreements
entered
into
by
a
fund
for
the
same
referenced
entity
or
entities.
Synthetic
futures,
which
are
total
return
swaps
on
futures
contracts,
along
with
equity
basket
swaps
generally,
involve
the
commitment
to
receive
positive
returns
or
pay
negative
returns
on
a
specified
reference
security,
basket
of
securities,
security
index
or
index
component,
without
actually
owning
the
underlying
position.
Currency
swap
agreements
involve
the
commitment
to
exchange
cash
flows
on
a
notional
amount
based
on
changes
in
the
relative
values
of
the
specified
currencies.
Interest
rate
swaps
involve
the
commitment
to
exchange
fixed
or
floating
rate
cash
flows
based
on
changes
in
the
value
of
a
specific
reference
rate.
Certain
collateral
amounts
relate
to
exchange
cleared
swaps
which
are
not
subject
to
master
netting
agreements
with
counterparties.
To
Be
Announced
Securities.
The
Funds
may
trade
portfolio
securities
on
a
TBA
or
when-issued
basis.
In
a
TBA
or
when-issued
transaction,
the
Funds
commit
to
purchase
or
sell
securities
for
which
all
specific
information
is
not
known
at
the
time
of
the
trade.
Securities
purchased
on
a
TBA
or
when-issued
basis
are
not
settled
until
they
are
delivered
to
the
Funds,
normally
15
to
30
days
later.
These
transactions
are
subject
to
market
fluctuations
and
their
current
value
is
determined
in
the
same
manner
as
for
other
portfolio
securities. 
Underlying
Funds.
An
Underlying
Fund
to
a
fund
of
funds
may
experience
relatively
large
redemptions
or
purchases
as
the
fund
of
funds
periodically
reallocates
or
rebalances
its
assets.
These
transactions
may
accelerate
the
realization
of
taxable
income
if
sales
of
portfolio
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
37
securities
result
in
gains
and
could
increase
transaction
costs.
In
addition,
when
a
fund
of
funds
reallocates
or
redeems
significant
assets
away
from
an
Underlying
Fund,
the
loss
of
assets
to
the
Underlying
Fund
could
result
in
increased
expense
ratios
for
that
fund.
The
Manager
is
the
advisor
to
the
Fund,
Principal
Variable
Contracts
Funds,
Inc.,
and some
of
the
Underlying
Funds. 
The
Manager is
committed
to
minimizing
the
potential
impact
of
Underlying
Fund
risk
on
Underlying
Funds
to
the
extent
consistent
with
pursuing
the
investment
objectives
of
the
fund
of
funds
which
it
manages.
Each
may
face
conflicts
of
interest
in
fulfilling
its
responsibilities
to
all
such
funds.
Shareholder
reports
for
the
Underlying
Funds
can
be
found
at
www.prinicpalfunds.com.
As
of
February
29,
2020,
series
of
the
Fund
and
Principal
Variable
Contracts
Funds,
Inc.
owned
the
following
percentages,
in
the
aggregate,
of
the
outstanding
shares
of
the
Underlying Funds
listed
below:
U.S.
Government
Agencies
or
Government-Sponsored
Enterprises.
Certain
of
the
Funds
may
invest
in
U.S.
Government
agencies
or
government-sponsored
enterprises.
U.S.
Government
securities
are
obligations
of,
and
in
certain
cases,
guaranteed
by,
the
U.S.
Government
or
its
agencies.
The
U.S.
Government
does
not
guarantee
the
net
asset
value
of
the
Funds’
shares.
Some
U.S.
Government
securities
such
as
treasury
bills,
notes
and
bonds,
and
securities
guaranteed
by
the
Government
National
Mortgage
Association
(“GNMA”)
are
supported
by
the
full
faith
and
credit
of
the
U.S.
Government.
Other
securities,
such
as
those
of
the
Federal
Home
Loan
Bank,
are
supported
by
the
right
of
the
issuer
to
borrow
from
the
U.S.
Department
of
the
Treasury.
Still
other
securities,
such
as
those
of
the
Federal
National
Mortgage
Association
(“FNMA”),
are
supported
by
the
discretionary
authority
of
the
U.S.
Government
to
purchase
the
agency’s
obligations.
Government
related
guarantors
(those
not
backed
by
the
full
faith
and
credit
of
the U.S.
Government)
include
the FNMA
and
the
Federal
Home
Loan
Mortgage
Corporation
(“FHLMC”).
The
FNMA
is
a
government
sponsored
corporation,
the
common
stock
of
which
is
owned
entirely
by
private
stockholders.
The
FNMA
purchases
conventional
residential
mortgages
from
a
list
of
approved
seller/servicers
which
include
state
and
federally
chartered
savings
and
loan
associations,
mutual
savings
banks,
commercial
banks,
credit
unions,
and
mortgage
bankers.
Pass-through
securities
issued
by
the
FNMA
are
guaranteed
as
to
the
timely
payment
of
principal
and
interest
by
the
FNMA,
but
are
not
backed
by
the
full
faith
and
credit
of
the
U.S.
Government.
The
FHLMC
issues
participation
certificates,
which
are
pass-through
securities,
each
representing
an
undivided
interest
in
a
pool
of
residential
mortgages.
The
FHLMC
guarantees
the
timely
payment
of
interest
and
ultimate
collection
of
principal,
but
participation
certificates
are
not
backed
by
the
full
faith
and
credit
of
the
U.S.
Government. 
Derivatives.
The
following
tables
provide
information
about
where
in
the
statements
of
assets
and
liabilities
and
statements
of
operations
information
about
derivatives
can
be
found
(amounts
in
thousands):
Fund
Total
Percentage
of
Outstanding
Shares
Owned
Blue
Chip
Fund
42.31%
Diversified
Real
Asset
Fund
14.66
Edge
MidCap
Fund
90.02
International
Small
Company
Fund
88.46
Origin
Emerging
Markets
Fund
52.17
Spectrum
Preferred
and
Capital
Securities
Income
Fund
6.68
Asset
Derivatives
February
29,
2020
Liability
Derivatives
February
29,
2020
Derivatives
not
accounted
for
as
hedging
instruments
Statement
of
Assets
and
Liabilities
Location
Fair
Value
Statement
of
Assets
and
Liabilities
Location
Fair
Value
Diversified
Real
Asset
Fund
Commodity
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
4,744
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
33,488
*
Foreign
exchange
contracts
Receivables
$
977
Payables
$
1,213
Interest
rate
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
10,767
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
12,937
*
Total
$
16,488
$
47,638
Global
Multi-Strategy
Fund
Commodity
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
1,381
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
971
*
Credit
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
1,223
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
326
*
Equity
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
12,631
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
10,280
*
Foreign
exchange
contracts
Receivables
$
9,256
*
Payables
$
8,617
*
Interest
rate
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
6,434
*
Payables,
Total
distributable
earnings
(accumulated
loss)
$
7,759
*
Total
$
30,925
$
27,953
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
38
Long
equity
futures
contracts
are
used
to
obtain
market
exposure
for
the
cash
balances
that
are
maintained
by
certain
of
the
Funds
and
the
notional
values
of
the
futures
contracts
will
vary
in
accordance
with
changing
cash
balances.
Long
and
short
U.S.
Treasury
futures
contracts
are
used
to
obtain
interest
rate
exposure
in
order
to
manage
duration
of
Diversified
Real
Asset
Fund
and
Global
Multi-Strategy
Fund.
The
Asset
Derivatives
February
29,
2020
Liability
Derivatives
February
29,
2020
Derivatives
not
accounted
for
as
hedging
instruments
Statement
of
Assets
and
Liabilities
Location
Fair
Value
Statement
of
Assets
and
Liabilities
Location
Fair
Value
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Interest
rate
contracts
Receivables,
Total
distributable
earnings
(accumulated
loss)
$
75
Payables,
Total
distributable
earnings
(accumulated
loss)
$
13
*
*
Includes
cumulative
unrealized
appreciation/depreciation
of
futures
contracts
as
shown
in
the
schedules
of
investments.
Only
the
portion
of
the
unrealized
appreciation/depreciation
not
yet
cash
settled
is
shown
in
the
statements
of
assets
and
liabilities
as
variation
margin.
Derivatives
not
accounted
for
as
hedging
instruments
Location
of
Gain
or
(Loss)
on
Derivatives
Recognized
in
Statement
of
Operations
Net
Realized
Gain
or
(Loss)
on
Derivatives
Recognized
in
Statement
of
Operations
Net
Change
in
Unrealized
Appreciation/
(Depreciation)
of
Derivatives
Recognized
in
Statement
of
Operations
Diversified
Real
Asset
Fund
Commodity
contracts
Net
realized
gain
(loss)
from
Futures
contracts
and
Swap
agreements/Net
change
in
unrealized
appreciation/(depreciation)
of
Futures
contracts
and
Swap
agreement
$
4,362
$
(33,160)
Foreign
exchange
contracts
Net
realized
gain
(loss)
from
Investment
transactions,
Foreign
currency
contracts,
and
Options
and
swaptions/Net
change
in
unrealized
appreciation/(depreciation)
of
Investments,
Foreign
currency
contracts,
and
Options
and
swaptions.
$
(110)
$
87
Interest
rate
contracts
Net
realized
gain
(loss)
from
Investment
transactions,
Futures
contracts,
Options
and
swaptions,
and
Swap
agreements/Net
change
in
unrealized
appreciation/(depreciation)
of
Investments,
Futures
contracts,
Options
and
swaptions,
and
Swap
agreements
$
(3,581)
$
4,044
Total
$
671
$
(29,029)
Global
Multi-Strategy
Fund
Commodity
contracts
Net
realized
gain
(loss)
from
Futures
contracts/
Net
change
in
unrealized
appreciation/
(depreciation)
of
Futures
contracts
$
(241)
$
(1,987)
Credit
contracts
Net
realized
gain
(loss)
from
Swap
agreements/
Net
change
in
unrealized
appreciation/
(depreciation)
of
Swap
agreements
$
(484)
$
838
Equity
contracts
Net
realized
gain
(loss)
from
Investment
transactions,
Futures
contracts,
Options
and
swaptions,
and
Swap
agreements/Net
change
in
unrealized
appreciation/(depreciation)
of
Investments,
Futures
contracts,
Options
and
swaptions,
and
Swap
agreements
$
(2,734)
$
(2,206)
Foreign
exchange
contracts
Net
realized
gain
(loss)
from
Investment
transactions,
Foreign
currency
contracts,
Futures
contracts,
and
Options
and
swaptions/Net
change
in
unrealized
appreciation/(depreciation)
of
Investments,
Foreign
currency
contracts,
Futures
contracts,
and
Options
and
swaptions.
$
2,004
$
(4,803)
Interest
rate
contracts
Net
realized
gain
(loss)
from
Investment
transactions,
Futures
contracts,
Options
and
swaptions,
and
Swap
agreements/Net
change
in
unrealized
appreciation/(depreciation)
of
Investments,
Futures
contracts,
Options
and
swaptions,
and
Swap
agreements
$
(912)
$
3,881
Total
$
(2,367)
$
(4,277)
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Interest
rate
contracts
Net
realized
gain
(loss)
from
Investment
transactions,
Futures
contracts,
and
Options
and
swaptions
/Net
change
in
unrealized
appreciation/
(depreciation)
of
Investments,
Futures
contracts,
and
Options
and
swaptions
$
(2,317)
$
43
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
39
Spectrum
Preferred
and
Capital
Securities
Income
Fund
uses
long
and
short
U.S.
Treasury
futures
and
options
on
those
listed
U.S.
Treasury
future
contracts
to
mitigate
interest
rate
volatility
and
for
income
generation.
The
notional
values
of
the
futures
contracts
will
vary
in
accordance
with
changing
duration
of
these
funds.
The
following
table
includes
a
summary
of
the
average
quarterly
outstanding
notional
by
derivative
instrument
type
for
the
period
ended
February
29,
2020
(amounts
in
thousands):
Contract
Type
Derivative
Type
Average
Notional
Diversified
Real
Asset
Fund
Commodity
Contracts
Futures
-
Long
$353,799
Futures
-
Short
226,769
Total
Return
Swaps
-
Receive
Floating
Rate
231,631
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
-
Contracts
to
Accept
665,885
Foreign
Currency
Contracts
-
Contracts
to
Deliver
697,808
Purchased
Options
16,828
Written
Options
39,424
Interest
Rate
Contracts
Exchange
Cleared
Interest
Rate
Swaps
-
Pay
Floating
Rate
455,992
Exchange
Cleared
Interest
Rate
Swaps
-
Receive
Floating
Rate
353,529
Futures
-
Long
138,188
Futures
-
Short
92,562
Purchased
Capped
Options
41,503
Purchased
Interest
Rate
Swaptions
164,077
Purchased
Options
990
Written
Capped
Options
44,328
Written
Interest
Rate
Swaptions
720,936
Written
Options
623
Global
Multi-Strategy
Fund
Commodity
Contracts
Futures
-
Long
34,135
Futures
-
Short
40,779
Synthetic
Futures
-
Long
2,391
Synthetic
Futures
-
Short
8,156
Credit
Contracts
Credit
Default
Swaps
–
Buy
Protection
30,420
Credit
Default
Swaps
–
Sell
Protection
5,988
Exchange
Cleared
Credit
Default
Swaps
–
Buy
Protection
15,587
Equity
Contracts
Futures
-
Long
79,915
Futures
-
Short
98,207
Purchased
Options
175
Synthetic
Futures
-
Long
3,093
Synthetic
Futures
-
Short
240
Total
Return
Equity
Basket
Swaps
150,865
Total
Return
Swaps
–
Pay
Floating
Rate
2,556
Total
Return
Swaps
–
Receive
Floating
Rate
2,817
Written
Options
115
Foreign
Exchange
Contracts
Currency
Swaps
-
Contracts
to
Accept
10,878
Currency
Swaps
-
Contracts
to
Deliver
10,882
Foreign
Currency
Contracts
-
Contracts
to
Accept
571,752
Foreign
Currency
Contracts
-
Contracts
to
Deliver
760,106
Futures
-
Long
2,694
Futures
-
Short
4,028
Purchased
Options
181,947
Written
Options
68,721
Interest
Rate
Contracts
Exchange
Cleared
Interest
Rate
Swaps
-
Pay
Floating
Rate
79,726
Exchange
Cleared
Interest
Rate
Swaps
-
Receive
Floating
Rate
3,544,831
Futures
-
Long
722,327
Futures
-
Short
300,365
Interest
Rate
Swaps
-
Pay
Floating
Rate
27,986
Interest
Rate
Swaps
-
Receive
Floating
Rate
29,241
Purchased
Interest
Rate
Swaptions
120,579
Purchased
Options
4,738
Synthetic
Futures
-
Long
36,571
Synthetic
Futures
-
Short
24,069
Total
Return
Swaps
–
Pay
Floating
Rate
10,717
Total
Return
Swaps
–
Receive
Floating
Rate
11,923
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
40
4.
Fair
Valuation
Fair
value
is
defined
as
the
price
that
the
Funds
would
receive
upon
selling
a
security
or
transferring
a
liability 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
may
use
one
or
more
of
the
following
approaches:
market,
income
and/or
cost.
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
fund's
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.
●
Level
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.
●
Level
2
–
Other
significant
observable
inputs
(including
quoted
prices
for
similar
investments,
interest
rates,
prepayment
speeds,
credit
risk,
etc.).
Investments
which
are
generally
included
in
this
category
include
certain
foreign
equities,
corporate
bonds,
senior
floating
rate
interests,
municipal
bonds,
and
U.S.
Government
and
Government
Agency
Obligations.
●
Level
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
common
stocks,
corporate
bonds,
mortgage
backed
securities
or
senior
floating
rate
interests.
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
Funds'
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,
when
available. 
Investments
which
are
included
in
the
Level
3
category
may
be
valued
using
indicative
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
Contract
Type
Derivative
Type
Average
Notional
Global
Multi-Strategy
Fund
(continued)
Interest
Rate
Contracts
(continued)
Written
Interest
Rate
Swaptions
$36,553
Written
Options
5,420
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Interest
Rate
Contracts
Futures
-
Short
20,153
Purchased
Options
4,030
Written
Options
6,020
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
41
measurement.
Benchmark
pricing
procedures
set
the
base
price
of
a
security
based
on
current
market
data.
The
base
price
may
be
a
broker-
dealer
quote,
transaction
price,
or
internal
value
based
on
relevant
market
data.
The
fair
values
of
these
securities
are
dependent
on
economic,
political,
and
other
considerations.
The
values
of
such
securities
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
(“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
at
least
monthly
and
reports
directly
to
the
Board
of
Directors.
A
pricing
group
(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
approaches
established
for
each
asset
class.
The
Pricing
Group
will
consider
all
appropriate
information
available
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
following
is
a
summary
of
the
inputs
used
as
of February
29,
2020
in
valuing
the
Funds'
securities
carried
at
value
(amounts
in
thousands):
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
Blue
Chip
Fund
Common
Stocks*
$
5,092,123
$
—
$
—
$
5,092,123
Investment
Companies
3
—
—
3
Total
investments
in
securities
$
5,092,126
$
—
$
—
$
5,092,126
Diversified
Real
Asset
Fund
Bonds*
—
397,151
—
397,151
Commodity
Indexed
Structured
Notes*
—
12,809
—
12,809
Common
Stocks
Basic
Materials
155,672
144,807
—
300,479
Communications
5,808
1,888
12
7,708
Consumer,
Cyclical
12,136
11,028
33
23,197
Consumer,
Non-cyclical
49,506
76,683
41
126,230
Energy
278,122
87,609
—
365,731
Financial
247,431
140,502
—
387,933
Industrial
106,531
95,871
—
202,402
Technology
5,465
—
—
5,465
Utilities
212,539
300,124
—
512,663
Investment
Companies
127,378
—
—
127,378
Senior
Floating
Rate
Interests*
—
590,912
—
590,912
U.S.
Government
&
Government
Agency
Obligations*
—
661,916
—
661,916
Purchased
Interest
Rate
Swaptions
—
2,314
—
2,314
Purchased
Capped
Options
—
76
—
76
Purchased
Options
373
71
—
444
Total
investments
in
securities
$
1,200,961
$
2,523,761
$
86
$
3,724,808
Assets
Commodity
Contracts
Futures**
4,744
—
—
4,744
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
—
906
—
906
Interest
Rate
Contracts
Exchange
Cleared
Interest
Rate
Swaps**
—
6,978
—
6,978
Futures**
1,026
—
—
1,026
4.
Fair
Valuation
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
42
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
Diversified
Real
Asset
Fund
Liabilities
Commodity
Contracts
Futures**
$
(20,910)
$
—
$
—
$
(20,910)
Total
Return
Swaps
—
(12,578)
—
(12,578)
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
—
(1,210)
—
(1,210)
Written
Options
—
(3)
—
(3)
Interest
Rate
Contracts
Capped
Options
—
(2)
—
(2)
Exchange
Cleared
Interest
Rate
Swaps**
—
(7,374)
—
(7,374)
Futures**
(1,585)
—
—
(1,585)
Interest
Rate
Swaptions
—
(3,836)
—
(3,836)
Written
Options
(140)
—
—
(140)
Edge
MidCap
Fund
Common
Stocks
Basic
Materials
29,874
—
—
29,874
Communications
13,186
9,526
—
22,712
Consumer,
Cyclical
69,278
—
—
69,278
Consumer,
Non-cyclical
99,143
—
—
99,143
Energy
20,537
—
—
20,537
Financial
135,806
—
—
135,806
Industrial
136,658
—
—
136,658
Technology
88,054
—
—
88,054
Utilities
46,134
—
—
46,134
Investment
Companies
18,968
—
—
18,968
Total
investments
in
securities
$
657,638
$
9,526
$
—
$
667,164
Global
Multi-Strategy
Fund
Bonds*
—
346,576
864
347,440
Common
Stocks
Basic
Materials
6,692
9,484
—
16,176
Communications
26,549
6,306
470
33,325
Consumer,
Cyclical
33,096
12,349
27
45,472
Consumer,
Non-cyclical
56,471
15,696
726
72,893
Diversified
5
139
—
144
Energy
8,769
2,027
39
10,835
Financial
42,358
11,445
2,678
56,481
Industrial
36,162
15,394
—
51,556
Technology
43,223
5,674
337
49,234
Utilities
4,837
2,468
—
7,305
Convertible
Bonds*
—
2,303
—
2,303
Convertible
Preferred
Stocks
Communications
—
—
200
200
Consumer,
Cyclical
—
—
60
60
Consumer,
Non-cyclical
693
—
—
693
Energy
69
—
—
69
Investment
Companies
121,596
—
—
121,596
Municipal
Bonds*
—
561
—
561
Preferred
Stocks
Basic
Materials
—
48
—
48
Communications
—
—
3
3
Consumer,
Cyclical
—
275
—
275
Energy
—
—
2,716
2,716
Financial
—
—
281
281
Technology
—
—
131
131
Repurchase
Agreements*
—
254,171
—
254,171
Senior
Floating
Rate
Interests*
—
15,295
—
15,295
U.S.
Government
&
Government
Agency
Obligations*
—
464,508
—
464,508
Purchased
Interest
Rate
Swaptions
—
1,044
—
1,044
Purchased
Options
3,561
575
—
4,136
Total
investments
in
securities
$
384,081
$
1,166,338
$
8,532
$
1,558,951
4.
Fair
Valuation
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
43
Reverse
Repurchase
Agreements
—
(410,931)
—
(410,931)
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
Global
Multi-Strategy
Fund
Short
Sales
Bonds
$
—
$
(14,979)
$
—
$
(14,979)
Common
Stocks
Basic
Materials
(3,690)
(4,466)
—
(8,156)
Communications
(7,106)
(2,236)
—
(9,342)
Consumer,
Cyclical
(12,961)
(5,601)
—
(18,562)
Consumer,
Non-cyclical
(18,346)
(4,454)
—
(22,800)
Diversified
—
(88)
—
(88)
Energy
(7,253)
(350)
—
(7,603)
Financial
(14,594)
(5,259)
—
(19,853)
Industrial
(13,011)
(8,358)
—
(21,369)
Technology
(11,852)
(2,299)
—
(14,151)
Utilities
(7,152)
(2,204)
—
(9,356)
Preferred
Stocks
Consumer,
Non-cyclical
—
(259)
—
(259)
U.S.
Government
&
Government
Agency
Obligations
—
(272,460)
—
(272,460)
Total
Short
Sales
$
(95,965)
$
(323,013)
$
—
$
(418,978)
Assets
Credit
Contracts
Credit
Default
Swaps
—
44
2
—
44
2
Exchange
Cleared
Credit
Default
Swaps**
—
781
—
781
Commodity
Contracts
Futures**
1,
38
1
—
—
1,
38
1
Equity
Contracts
Futures**
6,004
—
—
6,004
Total
Return
Equity
Basket
Swaps
—
3,411
—
3,411
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
—
8,67
0
—
8,67
0
Futures**
11
—
—
11
Interest
Rate
Contracts
Exchange
Cleared
Interest
Rate
Swaps**
—
871
—
871
Futures**
3,279
—
—
3,279
Interest
Rate
Swaps
—
536
—
536
Total
Return
Swaps
—
359
—
359
Liabilities
Credit
Contracts
Credit
Default
Swaps
—
(326)
—
(326)
Commodity
Contracts
Futures**
(
971
)
—
—
(
971
)
Equity
Contracts
Futures**
(6,223)
—
—
(6,223)
Total
Return
Equity
Basket
Swaps
—
(2,538)
—
(2,538)
Written
Options
(1,519)
—
—
(1,519)
Foreign
Exchange
Contracts
Foreign
Currency
Contracts
—
(8,507)
—
(8,507)
Futures**
(13)
—
—
(
13
)
Written
Options
—
(97)
—
(97)
Interest
Rate
Contracts
Exchange
Cleared
Interest
Rate
Swaps**
—
(5,634)
—
(5,634)
Futures**
(1,016)
—
—
(1,016)
Interest
Rate
Swaps
—
(215)
—
(215)
Interest
Rate
Swaptions
—
(741)
—
(741)
Written
Options
(153)
—
—
(153)
International
Small
Company
Fund
Common
Stocks
Basic
Materials
17,527
46,376
—
63,903
Communications
—
43,241
—
43,241
Consumer,
Cyclical
12,839
130,102
—
142,941
Consumer,
Non-cyclical
10,568
130,657
—
141,225
Energy
13,068
19,441
—
32,509
Financial
16,915
204,080
—
220,995
4.
Fair
Valuation
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
44
*For
additional
detail
regarding
sector
classifications,
please
see
the
schedules
of
investments.
**Exchange
cleared
swaps
and
futures
are
presented
at
the
unrealized
appreciation/(depreciation)
of
the
instrument.
At
the
end
of
the
period,
there
were
no
Funds
which
had
a
significant
Level
3
balance.
During
the
period,
there
were
no
significant
purchases,
sales,
or
transfers
into
or
out
of
Level
3.
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
International
Small
Company
Fund
Industrial
$
15,832
$
134,065
$
—
$
149,897
Technology
14,671
59,082
—
73,753
Utilities
6,754
20,081
—
26,835
Investment
Companies
33,682
—
—
33,682
Total
investments
in
securities
$
141,856
$
787,125
$
—
$
928,981
Opportunistic
Municipal
Fund
Investment
Companies
416
—
—
416
Municipal
Bonds*
—
164,500
—
164,500
Total
investments
in
securities
$
416
$
164,500
$
—
$
164,916
Origin
Emerging
Markets
Fund
Common
Stocks
Basic
Materials
31,555
18,694
—
50,249
Communications
144,147
45,544
—
189,691
Consumer,
Cyclical
16,951
73,933
—
90,884
Consumer,
Non-cyclical
52,275
60,483
—
112,758
Energy
—
45,414
—
45,414
Financial
30,924
220,483
—
251,407
Industrial
11,851
134,120
—
145,971
Technology
131,463
160,208
—
291,671
Utilities
—
74,070
—
74,070
Investment
Companies
24,429
—
—
24,429
Preferred
Stocks
10,383
—
—
10,383
Total
investments
in
securities
$
453,978
$
832,949
$
—
$
1,286,927
Small-MidCap
Dividend
Income
Fund
Common
Stocks
Basic
Materials
37,983
—
—
37,983
Communications
29,486
—
—
29,486
Consumer,
Cyclical
280,259
—
—
280,259
Consumer,
Non-cyclical
185,686
—
—
185,686
Energy
88,547
—
—
88,547
Financial
707,338
18,136
—
725,474
Government
22,322
—
—
22,322
Industrial
336,021
—
—
336,021
Technology
164,016
—
—
164,016
Utilities
100,714
—
—
100,714
Investment
Companies
47,987
—
—
47,987
Total
investments
in
securities
$
2,000,359
$
18,136
$
—
$
2,018,495
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Bonds*
—
5,235,655
—
5,235,655
Convertible
Preferred
Stocks
Financial
40,713
—
—
40,713
Investment
Companies
141,332
—
—
141,332
Preferred
Stocks
Communications
102,047
122,467
—
224,514
Consumer,
Non-cyclical
—
24,221
—
24,221
Financial
541,931
18,571
—
560,502
Government
7,838
62,918
—
70,756
Utilities
180,457
2,217
—
182,674
Purchased
Options
75
—
—
75
Total
investments
in
securities
$
1,014,393
$
5,466,049
$
—
$
6,480,442
Liabilities
Interest
Rate
Contracts
Futures**
(13)
—
—
(13)
4.
Fair
Valuation
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
45
5.
Management
Agreement
and
Transactions
with
Affiliates
Management
Services.
The
Funds
have
agreed
to
pay
investment
advisory
and
management
fees
to
the
Manager
computed
at
an
annual
percentage
rate
of
each
of
the Funds'
average
daily
net
assets.
A
portion
of
the
management
fee
is
paid
by
the
Manager
to
the
sub-advisor
of
each
of
the
Funds,
some
of
which
are
affiliates
of
the
Manager.
The
annual
rates
used
in
this
calculation
for
each
of
the
Funds
are
as
follows:
In
addition
to
the
management
fee,
R-1,
R-2,
R-3,
R-4,
and
R-5
classes
of
shares
of
the
Funds
pay
the
Manager
a
service
fee
and
an
administrative
service
fee
computed
at
an
annual
percentage
rate
of
each
class’s
average
daily
net
assets.
The
annual
rates
for
the
service
fee
are
.25%,
.25%,
.25%,
.25%,
and
.25%
and
the
annual
rates
for
the
administrative
service
fee
are
.28%,
.20%,
.07%,
.03%,
and
.01%
for
R-1,
R-2,
R-3,
R-4,
and
R-5,
respectively.
Class
A,
Class
C,
and
Institutional
shares
of
the
Funds
reimburse
Principal
Shareholder
Services,
Inc.
(the
“Transfer
Agent”)
(wholly
owned
by
the
Manager)
for
transfer
agent
services.
Class
J
shares
pay
the
Transfer
Agent
a
fee
for
the
services
provided
in
an
amount
that
includes
a
profit.
The
Manager
has
contractually
agreed
to
limit
the
expenses
(excluding
interest
expense,
expenses
related
to
fund
investments,
acquired
fund
fees
and
expenses,
and
other
extraordinary
expenses)
for
certain
classes
of
shares
of
certain
of
the
Funds.
The
reductions
and
reimbursements
are
in
amounts
that
maintain
total
operating
expenses
at
or
below
certain
limits.
The
limits
are
expressed
as
a
percentage
of
average
daily
net
assets
attributable
to
each
class
of
shares
on
an
annualized
basis
during
the
reporting
period. 
The
expenses
borne
by
the
Manager
are
subject
to
reimbursement
by
the
Funds
through
the
fiscal
year
end,
provided
no
reimbursement
will
be
made
if
it
would
result
in
the
Funds
exceeding
the
total
operating
expense
limits.
Any
amounts
outstanding
at
the
end
of
the
year
are
shown
as
an
expense
reimbursement
from
Manager or
expense
reimbursement
to
Manager
on
the
statements
of
assets
and
liabilities.
The
operating
expense
limits are
as
follows:
#
Prior
to
December
31,
2019,
the
contractual
limit
was
1.13%,
1.88,
and
.86%
for
Class
A,
Class
C,
and
Institutional,
respectively.
Net
Assets
of
Fund
First
$500
million
Next
$500
million
Next
$500
million
Over
$1.5
billion
Edge
MidCap
Fund
(Effective
December
31,
2019)
.70%
.68%
.66%
.65%
Edge
MidCap
Fund
(Prior
to
December
31,
2019)
.75%
.73%
.71%
.70%
International
Small
Company
Fund
1.05
1.03
1.01
1.00
Opportunistic
Municipal
Fund
.50
.48
.46
.45
Origin
Emerging
Markets
Fund
(Effective
December
31,
2019)
1.05
1.03
1.01
1.00
Origin
Emerging
Markets
Fund
(Prior
to
December
31,
2019)
1.20
1.18
1.16
1.15
Net
Assets
of
Fund
First
$500
million
Next
$500
million
Next
$500
million
Next
$500
million
Next
$1
billion
Over
$3
billion
Blue
Chip
Fund
(Effective
December
31,
2019)
.65%
.63%
.61%
.60%
.59%
.58%
Blue
Chip
Fund
(Prior
to
December
31,
2019)
.70%
.68%
.66%
.65%
.64%
.63%
Diversified
Real
Asset
Fund
.85
.83
.81
.80
.79
.78
Global
Multi-Strategy
Fund
1.60
1.58
1.56
1.55
1.54
1.53
Small-MidCap
Dividend
Income
Fund
(Effective
December
31,
2019)
.79
.77
.75
.74
.73
.72
Small-MidCap
Dividend
Income
Fund
(Prior
to
December
31,
2019)
.80
.78
.76
.75
.74
.73
Spectrum
Preferred
and
Capital
Securities
Income
Fund
.75
.73
.71
.70
.69
.68
Period
from
September
1,
2019
through
February
29,
2020
Class
A
Class
C
Institutional
Expiration
Blue
Chip
Fund
N/A
N/A
.66%
December
30,
2020
Diversified
Real
Asset
Fund
1.22%
1.97%
.85
December
30,
2020
Edge
MidCap
Fund
1.10
N/A
.77
December
30,
2020
Global
Multi-Strategy
Fund
N/A
2.75
1.63
December
30,
2020
International
Small
Company
Fund
1.60
N/A
1.20
December
30,
2020
Opportunistic
Municipal
Fund
.84
N/A
.56
December
30,
2020
Origin
Emerging
Markets
Fund
1.60
N/A
1.20
December
30,
2020
Small-MidCap
Dividend
Income
Fund
1.12#
1.87#
.85#
December
30,
2020
Spectrum
Preferred
and
Capital
Securities
Income
Fund
N/A
N/A
.81
December
30,
2020
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
46
In
addition,
the
Manager
has
contractually
agreed
to
limit
R-6
expenses
other
than
management
and
investment
advisory
fees
and
distribution
fees
and,
if
necessary,
pay
expenses
normally
payable
by
the
Funds,
excluding
interest
expense,
expenses
related
to
fund
investments,
acquired
fund
fees
and
expenses,
and
other
extraordinary
expenses.
The
limits
are
expressed
as
a
percentage
of
average
daily
net
assets
attributable
to
R-6
shares
on
an
annualized
basis
during
the
reporting
period.
The
limits
are
as
follows:
In
addition,
the
Manager
has
contractually
agreed
to
limit
certain
of
the
Funds'
management
and
investment
advisory
fees.
The
expense
limit
will
reduce
the
Funds'
management
and
investment
advisory
fees.
The
limits
are
expressed
as
a
percentage
of
average
daily
net
assets on
an
annualized
basis
during
the
reporting
period.
The
limits
are
as
follows:
#Prior
to
December
31,
2019,
the
contractual
limit
was
.10%.
Amounts
owed
to
the
Funds
under
the
terms
of
the
expense
limitation
agreements
are
reflected
in
the
statements
of
assets
and
liabilities
as
expense
reimbursement
from
Manager
and
are
settled
periodically. 
Distribution
Fees.
The
Class
A,
Class
C,
Class
J,
R-1,
R-2,
R-3,
and
R-4
shares
of
the
Funds
bear
distribution
fees.
The
fee
is
computed
at
an
annual
rate
of
the
average
daily
net
assets
attributable
to
each
class
of
each
of
the
Funds.
Distribution
fees
are
paid
to
Principal
Funds
Distributor,
Inc.
(“the
Distributor”)
(an
affiliate
of
the
Manager),
the
principal
distributor
of
the
Funds.
A
portion
of
the
distribution
fees
may
be
paid
to
other
selling
dealers
for
providing
certain
services.
The
annual
rates
are
.25%,
1.00%,
.15%,
.35%,
.30%,
.25%,
and
.10%
for
Class
A,
Class
C,
Class
J,
R-1,
R-2,
R-3,
and
R-4
classes
of
shares,
respectively.
The
Distributor
has
voluntarily
agreed
to
limit
the
distribution
fees
(expressed
as
a
percent
of
average
net
assets
on
an
annualized
basis)
attributable
to
Class
J
shares.
The
limit
will
maintain
the
level
of
distribution
fees
not
to
exceed
.12%
for
Class
J
shares.
The
voluntary
expense
limit
may
be
terminated
at
any
time.
Amounts
owed
to
the
Funds
under
the
terms
of
the
expense
limitation
agreements
are
reflected
in
the
statements
of
assets
and
liabilities
as
expense
reimbursement
from
Distributor
and
are
settled
monthly.
Chief
Compliance
Officer
Expenses.
The
Funds
pay
certain
expenses
associated
with
the
Chief
Compliance
Officer
(“CCO”).
This
expense
is
allocated
based
on
the
relative
net
assets
of
each
fund
and
is
shown
on
the
statements
of
operations.
Sales
Charges.
The
Distributor
receives
proceeds
of
any
contingent
deferred
sales
charge
(“CDSC”)
on
certain
Class
A,
Class
C,
and
Class
J
share
redemptions.
The
charge
for
Class
A
shares
is
1.00%
of
the
lesser
of
current
market
value
or
the
cost
of
shares
redeemed
within
12
months
of
purchase
that
were
originally
sold
without
a
sales
charge.
The
charge
for
Class
C
shares
is
1.00%
of
the
lesser
of
current
market
value
or
the
cost
of
shares
redeemed
within
12
months
of
purchase.
The
charge
for
Class
J
shares
is
1.00%
of
the
lesser
of
current
market
value
or
the
cost
of
shares
redeemed
within
18
months
of
purchase.
The
Distributor
also
retains
sales
charges
on
sales
of
Class
A
shares
based
on
declining
rates
which
begin
at
3.75%
for
Diversified
Real
Asset
Fund,
Global
Multi-Strategy
Fund,
Opportunistic
Municipal
Fund,
and
Spectrum
Preferred
and
Capital
Securities
Income
Fund
and
5.50%
for
Blue
Chip
Fund,
Edge
MidCap
Fund,
International
Small
Company
Period
from
September
1,
2019
through
February
29,
2020
R-6
Expiration
Blue
Chip
Fund
.01%
December
30,
2020
Diversified
Real
Asset
Fund
.02
December
30,
2020
Edge
MidCap
Fund
.02
December
30,
2020
Global
Multi-Strategy
Fund
.02
December
30,
2020
International
Small
Company
Fund
.04
December
30,
2020
Origin
Emerging
Markets
Fund
.04
December
30,
2020
Small-MidCap
Dividend
Income
Fund
.02
December
30,
2020
Spectrum
Preferred
and
Capital
Securities
Income
Fund
.02
December
30,
2020
Expiration
Blue
Chip
Fund
.050%#
December
30,
2020
Diversified
Real
Asset
Fund
.030
December
30,
2020
Edge
MidCap
Fund
.050#
December
30,
2020
Global
Multi-Strategy
Fund
.040
December
30,
2020
Opportunistic
Municipal
Fund
.060
December
30,
2020
Origin
Emerging
Markets
Fund
.150
December
30,
2019
5.
Management
Agreement
and
Transactions
with
Affiliates
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
47
Fund,
Origin
Emerging
Markets
Fund,
and
Small-MidCap
Dividend
Income
Fund.
The
aggregate
amounts
of
these
charges
retained
by
the
Distributor
for
the
period
ended
February
29,
2020,
were
as
follows
(amounts
in
thousands):
Class
C
shares
automatically
convert
into
Class
A
shares,
based
on
relative
net
asset
value
(without
a
sales
charge),
10
years
after
purchase.
Affiliated
Ownership.
At
February
29,
2020,
Principal
Life
Insurance
Company
(an
affiliate
of
the
Manager),
the
Manager,
the
Distributor,
Principal
Securities,
Inc.,
collective
investment
trusts
sponsored
by
Principal
Global
Investors
Trust
Company,
benefit
plans
and
separate
accounts
sponsored
on
behalf
of
Principal
Life
Insurance
Company,
and
other
affiliated
entities
owned
shares
of
the
Funds
as
follows
(amounts
in
thousands):
Affiliated
Brokerage
Commissions.
With
respect
to
Spectrum
Preferred
and
Capital
Securities
Income
Fund,
$31,000
of
brokerage
commission
was
paid
to
SAMI
Brokerage
LLC,
a
member
of
the
Principal
Financial
Group.
The
other
Funds
did
not
pay
brokerage
commissions
to
any
member
of
the
Principal
Financial
Group
during
the
period
ended
February
29,
2020
.
6.
Investment
Transactions
For
the
period
ended
February
29,
2020,
the
cost
of
investment
securities
purchased
and
proceeds
from
investment
securities
sold
(not
including
short-term
investments
and
U.S.
government
securities)
by
the
Funds
were
as
follows
(amounts
in
thousands):
For
the period
ended
February
29,
2020,
the
cost
of
U.S.
government
securities
purchased
and
proceeds
from
U.S.
government
securities
sold
(not
including
short-term
investments)
by
the
Funds
were
as
follows
(amounts
in
thousands):
Class
A
Class
C
Class
J
Blue
Chip
Fund
$
411
$
10
$
3
Diversified
Real
Asset
Fund
4
—
N/A
Edge
MidCap
Fund
18
N/A
N/A
Global
Multi-Strategy
Fund
1
—
N/A
International
Small
Company
Fund
2
N/A
N/A
Opportunistic
Municipal
Fund
3
N/A
N/A
Origin
Emerging
Markets
Fund
1
N/A
N/A
Small-MidCap
Dividend
Income
Fund
28
1
N/A
Spectrum
Preferred
and
Capital
Securities
Income
Fund
126
9
—
Institutional
R-3
R-4
R-5
R-6
Blue
Chip
Fund
575
–
–
–
28,904
Diversified
Real
Asset
Fund
99
1
1
1
16,101
Edge
MidCap
Fund
56
N/A
N/A
N/A
—
Global
Multi-Strategy
Fund
42
N/A
N/A
N/A
1,407
International
Small
Company
Fund
178
N/A
N/A
N/A
587
Opportunistic
Municipal
Fund
50
N/A
N/A
N/A
N/A
Origin
Emerging
Markets
Fund
–
N/A
N/A
N/A
55,339
Small-MidCap
Dividend
Income
Fund
55
N/A
N/A
N/A
392
Spectrum
Preferred
and
Capital
Securities
Income
Fund
–
–
–
–
5,246
Purchases
Sales
Covers
on
Securities
Sold
Short
Securities
Sold
Short
Blue
Chip
Fund
$
1,123,353
$
571,920
$
—
$
—
Diversified
Real
Asset
Fund
1,235,687
1,203,468
—
—
Edge
MidCap
Fund
65,208
74,663
—
—
Global
Multi-Strategy
Fund
959,321
1,407,431
486,148
376,034
International
Small
Company
Fund
245,219
207,670
—
—
Opportunistic
Municipal
Fund
72,618
52,764
—
—
Origin
Emerging
Markets
Fund
481,144
313,286
—
—
Small-MidCap
Dividend
Income
Fund
325,360
381,251
—
—
Spectrum
Preferred
and
Capital
Securities
Income
Fund
1,001,593
315,554
—
—
Purchases
Sales
Covers
on
Securities
Sold
Short
Securities
Sold
Short
Diversified
Real
Asset
Fund
$
354,245
$
268,881
$
—
$
—
Global
Multi-Strategy
Fund
2,067,776
2,318,062
1,275,828
1,128,491
5.
Management
Agreement
and
Transactions
with
Affiliates
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
48
7.
Federal
Tax
Information
Distributions
to
Shareholders.
The
federal
income
tax
character
of
distributions
paid
for
the periods
ended February
29,
2020 and
August
31,
2019 were
as
follows
(amounts
in
thousands):
^
The
Funds
designate
these
distributions
as
exempt
interest
per
Internal
Revenue
Code
(“IRC”)
Sec.
852(b)(5).
*The
Funds
designate
these
distributions
as
long-term
capital
gain
dividends
per
IRC
Sec.
852
(b)(3)(C)
in
the
20-percent
group
(which
may
be
taxed
at
a
20-percent
rate,
a
15-percent
rate
or
a
0-percent
rate,
depending
on
the
shareholder’s
taxable
income).
Certain
Funds
may
also
utilize
earnings
and
profits
distributed
to
shareholders
on
redemptions
of
shares
as
part
of
the
dividends
paid
deduction.
For
U.S.
federal
income
tax
purposes,
short-term
capital
gain
distributions
are
considered
ordinary
income
distributions.
Distributable
Earnings.
As
of August
31,
2019,
the
components
of
total
distributable
earnings
(accumulated
loss)
on
a
federal
tax
basis
were
as
follows
(amounts
in
thousands):
*Represents
book-to-tax
accounting
differences
related
to
straddle
loss
deferrals,
constructive
sale
gain
recognition,
defaulted
securities,
inverse
floating
rate
securities,
contingent
convertible
bonds,
short
sales,
and
perpetual
bonds.
Capital
Loss
Carryforwards.
For
federal
income
tax
purposes,
capital
loss
carryforwards
are
losses
that
can
be
used
to
offset
future
capital
gains
of
the
Funds.
As
of August
31,
2019,
the
Funds
had
approximate
net
capital
loss
carryforwards
as
follows
(amounts
in
thousands):
Capital
losses
generated
in
taxable
years
beginning
after
the
enactment
date
of
the
Regulated
Investment
Company
Modernization
Act
of
2010
on
December
22,
2010,
will
be
carried
forward
with
no
expiration
and
with
the
character
of
the
loss
retained.
For
the
year
ended
August
31,
2019,
the
following
fund
utilized
capital
loss
carryforwards
as
follows
(amounts
in
thousands):
Ordinary
Income
Tax-Exempt
Income
Long-Term
Capital
Gain
Return
of
Capital
2020
2019
2020
2019
^
2020
2019
*
2020
2019
Blue
Chip
Fund
$
35,653
$
344
$
—
$
—
$
183,262
$
218,577
$
—
$
—
Diversified
Real
Asset
Fund
96,919
126,294
—
—
—
—
—
—
Edge
MidCap
Fund
7,567
9,632
—
—
22,087
25,893
—
—
Global
Multi-Strategy
Fund
—
94,178
—
—
—
39,517
—
6,481
International
Small
Company
Fund
27,587
24,796
—
—
—
44,174
—
—
Opportunistic
Municipal
Fund
—
4
2,399
4,556
—
—
—
—
Origin
Emerging
Markets
Fund
21,257
8,633
—
—
—
—
—
—
Small-MidCap
Dividend
Income
Fund
27,872
72,210
—
—
15,278
267,714
—
—
Spectrum
Preferred
and
Capital
Securities
Income
Fund
150,229
280,911
—
—
—
—
—
—
Undistributed
Ordinary
Income
Undistributed
Tax-Exempt
Income
Undistributed
Long-Term
Capital
Gains
Accumulated
Losses
Net
Unrealized
Appreciation
(Depreciation)
Other
Temporary
Differences
*
Total
Accumulated
Earnings
(Deficit)
Blue
Chip
Fund
$
22,693
$
—
$
99,228
$
—
$
1,143,755
$
—
$
1,265,676
Diversified
Real
Asset
Fund
55,676
—
—
(158,141
)
(52,353
)
(357
)
(155,175
)
Edge
MidCap
Fund
3,907
—
20,413
—
91,457
—
115,777
Global
Multi-Strategy
Fund
—
—
—
(8,453
)
(12,548
)
(5,362
)
(26,363
)
International
Small
Company
Fund
20,628
—
—
(15,907
)
24,736
—
29,457
Opportunistic
Municipal
Fund
—
76
—
(836
)
8,179
(14
)
7,405
Origin
Emerging
Markets
Fund
15,140
—
—
(107,500
)
67,394
—
(24,966
)
Small-MidCap
Dividend
Income
Fund
9,902
—
4,686
—
123,452
—
138,040
Spectrum
Preferred
and
Capital
Securities
Income
Fund
4,446
—
—
(2,926
)
247,882
40,151
289,553
Short-Term
Long-Term
Total
Diversified
Real
Asset
Fund
$
148,465
$
9,676
$
158,141
International
Small
Company
Fund
15,907
—
15,907
Opportunistic
Municipal
Fund
635
201
836
Origin
Emerging
Markets
Fund
107,500
—
107,500
Spectrum
Preferred
and
Capital
Securities
Income
Fund
2,926
—
2,926
Utilized
Opportunistic
Municipal
Fund
$
995
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
49
*
The
Fund
holds
floating
rate
securities
which
are
accounted
for
differently
for
U.S.
GAAP
vs.
federal
income
tax
purposes.
This
causes
a
difference
in
cost
basis
and
fair
market
value
of
investments
for
tax
and
U.S.
GAAP
purposes.
Late-Year
Losses.
A
regulated
investment
company
may
elect
to
treat
any
portion
of
its
qualified
late-year
loss
as
arising
on
the
first
day
of
the
next
taxable
year.
Qualified
late-year
losses
are
certain
capital
and
ordinary
losses
which
occur
during
the
portion
of
the
fund’s
taxable
year
subsequent
to
October
31
and
December
31,
respectively. At
August
31,
2019,
the
following
fund
had
late-year
capital
and
ordinary
losses
as
follows
(amounts
in
thousands):
Reclassification
of
Capital
Accounts.
The
Funds
may
record
reclassifications
in
their
capital
accounts.
These
reclassifications
have
no
impact
on
the
total
net
assets
of
the
Funds.
The
reclassifications
are
a
result
of
permanent
differences
between
U.S.
GAAP
and
tax
accounting.
Adjustments
are
made
to
reflect
the
impact
these
items
have
on
current
and
future
distributions
to
shareholders.
Therefore,
the
source
of
the
Funds’
distributions
may
be
shown
in
the
accompanying
statements
of
changes
in
net
assets
as
from
net
investment
income
and net
realized
gain
on
investments
or
from
tax
return
of
capital
depending
on
the
type
of
book
and
tax
differences
that
exist.
For
the
year
ended August
31,
2019,
the
Funds
recorded
reclassifications
as
follows
(amounts
in
thousands):
Federal
Income
Tax
Basis.
At
February
29,
2020,
the
net
federal
income
tax
unrealized
appreciation
(depreciation)
and
federal
tax
cost
of
investments
held
by
the
Funds
were
as
follows
(amounts
in
thousands):
8.
Other
Matters
As
of
the
date
these
financial
statements
were
available
to
be
issued,
the
outbreak
of
the
novel
coronavirus
(“COVID-19”)
in
many
countries
continues
to
adversely
impact
global
commercial
activity
and
has
contributed
to
significant
volatility
in
financial
markets.
The
global
impact
of
the
outbreak
has
been
rapidly
evolving
and
many
countries
have
reacted
by
instituting
quarantines
and
restriction
on
travel.
Such
measures,
as
well
as
the
general
uncertainty
surrounding
the
dangers
and
impact
of
COVID-19,
are
creating
significant
disruption
in
supply
chains
and
economic
activity.
As
COVID-19
continues
to
spread,
the
potential
impacts,
including
a
global,
regional
or
other
economic
recession,
are
increasingly
difficult
to
assess.
These
events,
or
fear
of
such
an
event,
present
material
uncertainty
and
risk
with
respect
to
the
Funds’
performance
and
financial
results.
9.
Subsequent
Events
Management
has
evaluated
events
and
transactions
that
have
occurred
through
the
date
the
financial
statements
were
issued
that
would
merit
recognition
or
disclosure
in
the
financial
statements. 
There
were
no
items
requiring
adjustment
of
the
financial
statements
or
additional
disclosure.
Late
Year
Ordinary
Loss
Post
October
Capital
Loss
Global
Multi-Strategy
Fund
$
6,169
$
2,284
Total
Distributable
Earnings
(Accumulated
Loss)
Capital
Shares
and
Additional
Paid-in-Capital
Blue
Chip
Fund
$
(34,548
)
$
34,548
Diversified
Real
Asset
Fund
43,740
(43,740
)
Edge
MidCap
Fund
(2,592
)
2,592
Global
Multi-Strategy
Fund
7,258
(7,258
)
International
Small
Company
Fund
(2,928
)
2,928
Small-MidCap
Dividend
Income
Fund
(54,292
)
54,292
Unrealized
Appreciation
Unrealized
(Depreciation)
Net
Unrealized
Appreciation/
(Depreciation)
Cost
for
Federal
Income
Tax
Purposes
Blue
Chip
Fund
$
1,282,159
$
(66,305)
$
1,215,854
$
3,876,272
Diversified
Real
Asset
Fund
213,
112
(350,118)
(137,0
0
6)
3,865,
648
Edge
MidCap
Fund
110,641
(58,686)
51,955
615,209
Global
Multi-Strategy
Fund
8
7,015
(103,4
51
)
(16,436)
1,155,1
07
International
Small
Company
Fund
74,925
(91,255)
(16,330)
945,311
Opportunistic
Municipal
Fund
*
12,223
(617)
11,606
147,865
Origin
Emerging
Markets
Fund
177,024
(53,703)
123,321
1,163,606
Small-MidCap
Dividend
Income
Fund
243,072
(297,824)
(54,752)
2,073,247
Spectrum
Preferred
and
Capital
Securities
Income
Fund
421,125
(68,342)
352,783
6,127,646
7.
Federal
Tax
Information
(continued)
Schedule
of
Investments
Blue
Chip
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
50
INVESTMENT
COMPANIES
-
0.00%
Shares
Held
Value
(000's)
Money
Market
Funds
-
0.00%
Principal
Government
Money
Market
Fund
1.43
%
(a),(b)
2,542‌
$
3‌
TOTAL
INVESTMENT
COMPANIES
$
3‌
COMMON
STOCKS
-
100.12%
Shares
Held
Value
(000's)
Aerospace
&
Defense
-
3.71%
TransDigm
Group
Inc
338,331‌
188,724‌
Banks
-
0.47%
First
Republic
Bank/CA
238,018‌
23,937‌
Biotechnology
-
0.95%
Illumina
Inc
(
c)
181,139‌
48,123‌
Chemicals
-
3.05%
Ecolab
Inc
93,829‌
16,932‌
Linde
PLC
611,758‌
116,852‌
Sherwin-Williams
Co/The
41,034‌
21,204‌
$
154,988‌
Commercial
Services
-
9.18%
Automatic
Data
Processing
Inc
459,305‌
71,073‌
CoStar
Group
Inc
(
c)
57,674‌
38,503‌
IHS
Markit
Ltd
304,085‌
21,663‌
Moody's
Corp
256,903‌
61,664‌
PayPal
Holdings
Inc
(
c)
1,815,045‌
196,007‌
S&P
Global
Inc
293,232‌
77,973‌
$
466,883‌
Diversified
Financial
Services
-
10.98%
Charles
Schwab
Corp/The
2,592,423‌
105,641‌
Mastercard
Inc
725,621‌
210,612‌
Visa
Inc
1,331,456‌
242,005‌
$
558,258‌
Electronics
-
1.10%
Roper
Technologies
Inc
159,711‌
56,170‌
Healthcare
-
Products
-
3.17%
Danaher
Corp
836,229‌
120,902‌
IDEXX
Laboratories
Inc
(
c)
159,004‌
40,468‌
$
161,370‌
Insurance
-
8.58%
Aon
PLC
105,552‌
21,955‌
Berkshire
Hathaway
Inc
-
Class
B
(
c)
1,513,498‌
312,295‌
Markel
Corp
(
c)
46,503‌
54,948‌
Progressive
Corp/The
647,345‌
47,360‌
$
436,558‌
Internet
-
21.67%
Alphabet
Inc
-
A
Shares
(
c)
33,575‌
44,965‌
Alphabet
Inc
-
C
Shares
(
c)
295,902‌
396,311‌
Amazon.com
Inc
(
c)
247,820‌
466,831‌
Facebook
Inc
(
c)
1,009,323‌
194,264‌
$
1,102,371‌
Lodging
-
1.94%
Hilton
Worldwide
Holdings
Inc
1,016,959‌
98,848‌
Media
-
4.68%
Charter
Communications
Inc
(
c)
482,190‌
237,802‌
Private
Equity
-
5.24%
Brookfield
Asset
Management
Inc
4,008,568‌
240,354‌
KKR
&
Co
Inc
913,784‌
26,134‌
$
266,488‌
REITs
-
4.37%
American
Tower
Corp
979,844‌
222,229‌
Retail
-
2.34%
Costco
Wholesale
Corp
111,194‌
31,261‌
O'Reilly
Automotive
Inc
(
c)
62,700‌
23,119‌
Restaurant
Brands
International
Inc
673,620‌
39,407‌
Yum!
Brands
Inc
282,221‌
25,188‌
$
118,975‌
Semiconductors
-
1.34%
NVIDIA
Corp
252,038‌
68,068‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Software
-
17.35%
Adobe
Inc
(
c)
548,616‌
$
189,338‌
Intuit
Inc
923,305‌
245,461‌
Microsoft
Corp
1,563,861‌
253,361‌
salesforce.com
Inc
(
c)
1,015,858‌
173,102‌
Slack
Technologies
Inc
(
c)
779,755‌
21,069‌
$
882,331‌
TOTAL
COMMON
STOCKS
$
5,092,123‌
Total
Investments
$
5,092,126‌
Other
Assets
and
Liabilities
-  (
0.12)%
(5,919‌)
TOTAL
NET
ASSETS
-
100.00%
$
5,086,207‌
(a)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(b)
Current
yield
shown
is
as
of
period
end.
(c)
Non-income
producing
security
Portfolio
Summary  (
unaudited)
Sector
Percent
Financial
29.64‌%
Communications
26.35‌%
Technology
18.69‌%
Consumer,
Non-cyclical
13.30‌%
Industrial
4.81‌%
Consumer,
Cyclical
4.28‌%
Basic
Materials
3.05‌%
Money
Market
Funds
0.00‌%
Other
Assets
and
Liabilities
(
0.12‌)%
TOTAL
NET
ASSETS
100.00%
Schedule
of
Investments
Blue
Chip
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
51
Affiliated
Securities
August
31,
2019
Purchases
Sales
February
29,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
1.43%
$
14,510‌
$
572,032‌
$
586,539‌
$
3‌
$
14,510‌
$
572,032‌
$
586,539‌
$
3‌
Income
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/Loss
Principal
Government
Money
Market
Fund
1.43%
$
91‌
$
—‌
$
—‌
$
—‌
$
91‌
$
—‌
$
—‌
$
—‌
Amounts
in
thousands.
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
52
INVESTMENT
COMPANIES
-
3.45%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
0.22%
Invesco
S&P
Global
Water
Index
ETF
(a)
107,975‌
$
4,16
9‌
SPDR
S&P
Global
Natural
Resources
ETF
101,974‌
3,89
7‌
$
8,06
6‌
Money
Market
Funds
-
3.23%
BlackRock
Liquidity
FedFund
1.48%
(b),(c)
3,856,264‌
3,856‌
Principal
Government
Money
Market
Fund
1.43%
(b),(c),(d)
115,457,312‌
115,45
7‌
$
119,31
3‌
TOTAL
INVESTMENT
COMPANIES
$
127,37
9‌
COMMON
STOCKS
-
52.33%
Shares
Held
Value
(000's)
Advertising
-
0.03%
Clear
Channel
Outdoor
Holdings
Inc
(e)
596,711‌
1,235‌
Agriculture
-
0.57%
Archer-Daniels-Midland
Co
374,832‌
14,113‌
Bunge
Ltd
144,911‌
6,803‌
$
20,916‌
Automobile
Parts
&
Equipment
-
0.07%
Georg
Fischer
AG
3,020‌
2,596‌
Biotechnology
-
0.08%
Advanz
Pharma
Corp
Ltd
(e),(f)
22,681‌
101‌
Corteva
Inc
110,868‌
3,016‌
$
3,117‌
Building
Materials
-
0.64%
Forterra
Inc
(e)
13,721‌
186‌
Fortune
Brands
Home
&
Security
Inc
17,986‌
1,111‌
Geberit
AG
15,359‌
7,664‌
Louisiana-Pacific
Corp
268,799‌
7,647‌
Norbord
Inc
243,170‌
6,458‌
Pinnacle
Renewable
Energy
Inc
94,847‌
640‌
$
23,706‌
Chemicals
-
1.83%
Air
Liquide
SA
56,307‌
7,670‌
CF
Industries
Holdings
Inc
352,783‌
13,003‌
FMC
Corp
121,372‌
11,300‌
Ingevity
Corp
(e)
18,106‌
815‌
Israel
Chemicals
Ltd
614,150‌
2,234‌
K+S
AG
(a)
255,132‌
2,112‌
Mosaic
Co/The
561,154‌
9,557‌
Nutrien
Ltd
61,100‌
2,469‌
OCI
NV
(e)
152,114‌
2,547‌
Olin
Corp
120,880‌
1,957‌
Sociedad
Quimica
y
Minera
de
Chile
SA
ADR
121,058‌
3,315‌
Yara
International
ASA
287,088‌
10,540‌
$
67,519‌
Commercial
Services
-
2.03%
ALEATICA
SAB
de
CV
6,408,936‌
9,313‌
Atlantia
SpA
755,599‌
16,343‌
Atlas
Arteria
Ltd
1,298,830‌
6,845‌
Cengage
Learning
Holdings
II
Inc
(e)
2,772‌
35‌
China
Merchants
Port
Holdings
Co
Ltd
8,085,687‌
12,016‌
Transurban
Group
3,123,279‌
30,455‌
$
75,007‌
Consumer
Products
-
0.16%
Avery
Dennison
Corp
22,130‌
2,533‌
Kimberly-Clark
Corp
25,557‌
3,353‌
$
5,886‌
Cosmetics
&
Personal
Care
-
0.17%
Essity
AB
73,912‌
2,228‌
Kao
Corp
20,100‌
1,463‌
Unicharm
Corp
75,600‌
2,449‌
$
6,140‌
Electric
-
8.55%
ACEA
SpA
29,801‌
628‌
Algonquin
Power
&
Utilities
Corp
330,200‌
5,018‌
American
Electric
Power
Co
Inc
105,444‌
9,412‌
Atlantica
Yield
PLC
539,860‌
15,607‌
AusNet
Services
12,242,723‌
13,574‌
CenterPoint
Energy
Inc
189,589‌
4,364‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Electric
(continued)
China
Longyuan
Power
Group
Corp
Ltd
4,339,000‌
$
2,280‌
Clearway
Energy
Inc
-
Class
C
617,987‌
13,002‌
CLP
Holdings
Ltd
879,000‌
9,288‌
Dominion
Energy
Inc
286,570‌
22,404‌
DTE
Energy
Co
42,437‌
4,739‌
Duke
Energy
Corp
120,551‌
11,055‌
EDP
-
Energias
de
Portugal
SA
3,230,936‌
15,084‌
Emera
Inc
386,449‌
16,284‌
Enel
SpA
650,497‌
5,460‌
Eversource
Energy
48,558‌
4,198‌
Hera
SpA
526,034‌
2,258‌
Huadian
Fuxin
Energy
Corp
Ltd
17,732,000‌
3,033‌
Hydro
One
Ltd
(g)
600,873‌
12,060‌
Iberdrola
SA
921,686‌
10,552‌
Infraestructura
Energetica
Nova
SAB
de
CV
1,602,583‌
7,035‌
NextEra
Energy
Inc
100,274‌
25,345‌
Orsted
A/S
(g)
33,702‌
3,479‌
Red
Electrica
Corp
SA
1,177,138‌
22,499‌
Sembcorp
Industries
Ltd
606,500‌
808‌
Sempra
Energy
112,418‌
15,714‌
Spark
Infrastructure
Group
12,050,376‌
16,651‌
SSE
PLC
759,396‌
14,930‌
Terna
Rete
Elettrica
Nazionale
SpA
3,426,559‌
22,652‌
Transmissora
Alianca
de
Energia
Eletrica
SA
927,300‌
6,157‌
$
315,570‌
Electronics
-
0.37%
Badger
Meter
Inc
21,422‌
1,290‌
Halma
PLC
278,016‌
6,987‌
Itron
Inc
(e)
47,318‌
3,588‌
Watts
Water
Technologies
Inc
20,339‌
1,910‌
$
13,775‌
Energy
-
Alternate
Sources
-
1.36%
First
Solar
Inc
(e)
116,169‌
5,317‌
NextEra
Energy
Partners
LP
(a)
277,125‌
15,982‌
Pattern
Energy
Group
Inc
183,940‌
4,976‌
TerraForm
Power
Inc
842,857‌
15,837‌
Vestas
Wind
Systems
A/S
84,458‌
8,148‌
$
50,260‌
Engineering
&
Construction
-
1.63%
Aegion
Corp
(e)
20,586‌
371‌
Aena
SME
SA
(g)
67,297‌
10,840‌
Aeroports
de
Paris
30,827‌
4,582‌
Enav
SpA
(g)
1,800,333‌
10,720‌
Flughafen
Zurich
AG
49,869‌
7,564‌
Grupo
Aeroportuario
del
Pacifico
SAB
de
CV
675,200‌
7,307‌
Sacyr
SA
593,337‌
1,583‌
Sydney
Airport
2,770,199‌
14,156‌
Vinci
SA
29,282‌
2,959‌
$
60,082‌
Environmental
Control
-
0.77%
AquaVenture
Holdings
Ltd
(e)
13,314‌
360‌
Casella
Waste
Systems
Inc
(e)
149,484‌
7,243‌
China
Water
Affairs
Group
Ltd
568,000‌
456‌
Clean
Harbors
Inc
(e)
71,655‌
4,982‌
Covanta
Holding
Corp
299,797‌
4,005‌
Energy
Recovery
Inc
(e)
24,265‌
239‌
Evoqua
Water
Technologies
Corp
(e)
53,000‌
1,111‌
Kurita
Water
Industries
Ltd
78,700‌
2,030‌
METAWATER
Co
Ltd
8,000‌
283‌
Pentair
PLC
123,639‌
4,870‌
Tetra
Tech
Inc
36,418‌
2,945‌
$
28,524‌
Food
-
0.15%
Ingredion
Inc
34,688‌
2,889‌
Wilmar
International
Ltd
964,700‌
2,785‌
$
5,674‌
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
53
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Forest
Products
&
Paper
-
2.14%
Acadian
Timber
Corp
137,178‌
$
1,697‌
BillerudKorsnas
AB
25,809‌
314‌
Canfor
Corp
(e)
483,598‌
4,014‌
Clearwater
Paper
Corp
(e)
39,548‌
1,078‌
Domtar
Corp
53,146‌
1,529‌
Empresas
CMPC
SA
757,605‌
1,546‌
Holmen
AB
110,818‌
3,122‌
Interfor
Corp
(e)
441,637‌
3,925‌
International
Paper
Co
126,707‌
4,683‌
Mercer
International
Inc
80,619‌
714‌
Mondi
PLC
375,383‌
7,624‌
Nine
Dragons
Paper
Holdings
Ltd
4,057,000‌
4,874‌
Oji
Holdings
Corp
1,088,600‌
5,156‌
Sappi
Ltd
(e)
301,545‌
567‌
Smurfit
Kappa
Group
PLC
150,915‌
5,084‌
Stora
Enso
Oyj
512,522‌
6,074‌
Sumitomo
Forestry
Co
Ltd
170,200‌
2,524‌
Suzano
SA
359,300‌
3,030‌
Svenska
Cellulosa
AB
SCA
808,739‌
7,760‌
UPM-Kymmene
Oyj
203,309‌
6,256‌
West
Fraser
Timber
Co
Ltd
151,188‌
5,645‌
Western
Forest
Products
Inc
(a)
2,465,754‌
1,966‌
$
79,182‌
Gas
-
1.89%
Atmos
Energy
Corp
33,219‌
3,430‌
Enagas
SA
177,714‌
4,611‌
Italgas
SpA
1,107,528‌
6,768‌
National
Grid
PLC
2,213,374‌
27,901‌
Snam
SpA
3,825,888‌
18,970‌
Southwest
Gas
Holdings
Inc
123,693‌
8,001‌
$
69,681‌
Hand
&
Machine
Tools
-
0.04%
Franklin
Electric
Co
Inc
28,298‌
1,463‌
Healthcare
-
Products
-
0.26%
Danaher
Corp
51,768‌
7,485‌
Hengan
International
Group
Co
Ltd
260,500‌
1,963‌
$
9,448‌
Healthcare
-
Services
-
0.00%
Millennium
Health
LLC
(e),(f)
22,091‌
1‌
Millennium
Health
LLC
(e),(f),(h),(i)
20,580‌
22‌
Millennium
Health
LLC
(e),(f),(h),(i)
19,318‌
19‌
$
42‌
Home
Builders
-
0.19%
DR
Horton
Inc
28,451‌
1,516‌
Lennar
Corp
-
A
Shares
29,330‌
1,770‌
PulteGroup
Inc
33,906‌
1,363‌
Toll
Brothers
Inc
39,081‌
1,447‌
TRI
Pointe
Group
Inc
(e)
50,888‌
780‌
$
6,876‌
Internet
-
0.00%
Catalina
Marketing
Corp
(e),(h),(i)
3,965‌
12‌
Iron
&
Steel
-
1.03%
ArcelorMittal
SA
717,474‌
10,217‌
Evraz
PLC
602,118‌
2,571‌
Fortescue
Metals
Group
Ltd
438,332‌
2,928‌
JFE
Holdings
Inc
226,500‌
2,075‌
Nippon
Steel
Corp
196,900‌
2,204‌
Novolipetsk
Steel
PJSC
143,237‌
2,750‌
Nucor
Corp
51,188‌
2,117‌
POSCO
14,785‌
2,375‌
Steel
Dynamics
Inc
227,063‌
6,047‌
thyssenkrupp
AG
(a),(e)
229,911‌
2,254‌
Vale
SA
ADR
245,308‌
2,409‌
$
37,947‌
Lodging
-
0.26%
City
Developments
Ltd
610,300‌
4,362‌
Hilton
Worldwide
Holdings
Inc
54,114‌
5,260‌
$
9,622‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Machinery
-
Diversified
-
0.71%
ANDRITZ
AG
73,093‌
$
2,587‌
Gorman-Rupp
Co/The
12,882‌
412‌
IDEX
Corp
46,161‌
6,832‌
Kadant
Inc
12,207‌
1,109‌
Lindsay
Corp
7,939‌
786‌
Mueller
Water
Products
Inc
-
Class
A
115,772‌
1,268‌
Organo
Corp
4,500‌
265‌
SIG
Combibloc
Group
AG
(e)
83,129‌
1,238‌
Valmet
Oyj
66,350‌
1,584‌
Xylem
Inc/NY
132,456‌
10,244‌
$
26,325‌
Media
-
0.12%
Cumulus
Media
Inc
(e)
61,334‌
739‌
iHeartMedia
Inc
(e)
253,758‌
3,834‌
$
4,573‌
Metal
Fabrication
&
Hardware
-
0.08%
Advanced
Drainage
Systems
Inc
37,341‌
1,563‌
Reliance
Worldwide
Corp
Ltd
581,343‌
1,301‌
$
2,864‌
Mining
-
3.14%
Agnico
Eagle
Mines
Ltd
48,600‌
2,306‌
Anglo
American
PLC
829,474‌
19,515‌
Antofagasta
PLC
256,941‌
2,540‌
Barrick
Gold
Corp
1,015,927‌
19,376‌
BHP
Group
Ltd
111,561‌
2,425‌
Franco-Nevada
Corp
29,300‌
3,146‌
Freeport-McMoRan
Inc
1,490,360‌
14,844‌
Glencore
PLC
(e)
914,412‌
2,308‌
Kirkland
Lake
Gold
Ltd
68,600‌
2,212‌
Korea
Zinc
Co
Ltd
8,394‌
2,872‌
Lundin
Mining
Corp
1,092,226‌
5,574‌
MMC
Norilsk
Nickel
PJSC
ADR
109,898‌
3,332‌
Newcrest
Mining
Ltd
138,652‌
2,274‌
Newmont
Corp
363,486‌
16,223‌
Norsk
Hydro
ASA
814,973‌
2,373‌
Rio
Tinto
Ltd
44,015‌
2,529‌
South32
Ltd
1,579,618‌
2,245‌
Southern
Copper
Corp
75,857‌
2,553‌
Sumitomo
Metal
Mining
Co
Ltd
95,300‌
2,348‌
Teck
Resources
Ltd
184,200‌
1,853‌
Wheaton
Precious
Metals
Corp
104,900‌
2,983‌
$
115,831‌
Miscellaneous
Manufacturers
-
0.21%
Aalberts
NV
70,780‌
2,640‌
Alfa
Laval
AB
220,459‌
4,998‌
$
7,638‌
Oil
&
Gas
-
4.52%
BP
PLC
3,459,776‌
17,976‌
Canadian
Natural
Resources
Ltd
103,300‌
2,659‌
Chevron
Corp
24,631‌
2,299‌
CNOOC
Ltd
1,987,000‌
2,764‌
Concho
Resources
Inc
100,231‌
6,818‌
ConocoPhillips
299,259‌
14,490‌
Ecopetrol
SA
ADR
157,555‌
2,781‌
Empresas
COPEC
SA
196,034‌
1,532‌
Eni
SpA
190,781‌
2,377‌
EOG
Resources
Inc
40,688‌
2,574‌
Equinor
ASA
807,611‌
12,439‌
Exxon
Mobil
Corp
42,343‌
2,178‌
Fieldwood
Energy
Inc
(e)
2,556‌
26‌
Fieldwood
Energy
LLC
(e),(f),(i)
12,648‌
126‌
Gazprom
PJSC
ADR
363,146‌
2,223‌
Helmerich
&
Payne
Inc
103,409‌
3,815‌
Hess
Corp
153,481‌
8,623‌
Imperial
Oil
Ltd
115,200‌
2,522‌
LUKOIL
PJSC
ADR
30,253‌
2,610‌
Marathon
Petroleum
Corp
229,568‌
10,886‌
Neste
Oyj
85,281‌
3,408‌
Novatek
PJSC
14,572‌
2,126‌
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
54
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Oil
&
Gas
(continued)
Occidental
Petroleum
Corp
74,795‌
$
2,449‌
PBF
Energy
Inc
150,170‌
3,362‌
Petroleo
Brasileiro
SA
ADR
195,846‌
2,370‌
Petroleo
Brasileiro
SA
ADR
810,071‌
9,121‌
Phillips
66
25,148‌
1,883‌
Pioneer
Natural
Resources
Co
118,582‌
14,559‌
Repsol
SA
183,092‌
2,069‌
Rosneft
Oil
Co
PJSC
425,491‌
2,606‌
Royal
Dutch
Shell
PLC
-
A
Shares
100,871‌
2,177‌
Suncor
Energy
Inc
92,400‌
2,546‌
Tatneft
PJSC
ADR
41,834‌
2,516‌
TOTAL
SA
54,922‌
2,374‌
Transocean
Ltd
(e)
54,446‌
182‌
Valero
Energy
Corp
136,159‌
9,021‌
Vantage
Drilling
International
(e)
4,456‌
98‌
Woodside
Petroleum
Ltd
123,586‌
2,301‌
$
166,886‌
Oil
&
Gas
Services
-
0.39%
Halliburton
Co
137,438‌
2,331‌
Saipem
SpA
(e)
696,980‌
2,663‌
Schlumberger
Ltd
331,825‌
8,989‌
Select
Energy
Services
Inc
(e)
41,674‌
271‌
$
14,254‌
Packaging
&
Containers
-
0.85%
Amcor
PLC
281,173‌
2,621‌
Ball
Corp
91,369‌
6,438‌
DS
Smith
PLC
926,122‌
3,785‌
Graphic
Packaging
Holding
Co
87,202‌
1,179‌
Greif
Inc
-
Class
A
36,855‌
1,302‌
Klabin
SA
344,100‌
1,484‌
Lee
&
Man
Paper
Manufacturing
Ltd
1,156,000‌
920‌
Packaging
Corp
of
America
46,314‌
4,197‌
Sealed
Air
Corp
76,459‌
2,317‌
Sonoco
Products
Co
36,209‌
1,746‌
Westrock
Co
159,634‌
5,307‌
$
31,296‌
Pipelines
-
3.64%
AltaGas
Ltd
560,014‌
8,374‌
APA
Group
1,850,899‌
13,045‌
Cheniere
Energy
Inc
(e)
337,856‌
17,329‌
Enbridge
Inc
772,575‌
28,756‌
Energy
Transfer
LP
268,068‌
2,970‌
Enterprise
Products
Partners
LP
189,084‌
4,413‌
Gibson
Energy
Inc
480,327‌
9,168‌
Kinder
Morgan
Inc/DE
368,020‌
7,055‌
Koninklijke
Vopak
NV
42,118‌
2,005‌
Magellan
Midstream
Partners
LP
59,649‌
3,254‌
Pembina
Pipeline
Corp
115,282‌
4,153‌
TC
Energy
Corp
295,787‌
15,417‌
Williams
Cos
Inc/The
965,512‌
18,392‌
$
134,331‌
Real
Estate
-
1.23%
Aroundtown
SA
626,224‌
5,441‌
Entra
ASA
(g)
325,789‌
5,160‌
Fabege
AB
399,575‌
6,563‌
LEG
Immobilien
AG
20,700‌
2,486‌
Mitsubishi
Estate
Co
Ltd
608,000‌
10,376‌
Mitsui
Fudosan
Co
Ltd
183,870‌
4,220‌
New
World
Development
Co
Ltd
2,048,840‌
2,684‌
Pope
Resources
a
Delaware
LP
37,260‌
4,080‌
Tokyo
Tatemono
Co
Ltd
184,500‌
2,508‌
Zhongliang
Holdings
Group
Co
Ltd
2,621,500‌
1,912‌
$
45,430‌
REITs
-
9.28%
Alexandria
Real
Estate
Equities
Inc
102,909‌
15,630‌
Allied
Properties
Real
Estate
Investment
Trust
100,400‌
4,074‌
American
Homes
4
Rent
125,658‌
3,253‌
Americold
Realty
Trust
241,539‌
7,408‌
Apartment
Investment
&
Management
Co
99,663‌
4,768‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
REITs
(continued)
AvalonBay
Communities
Inc
62,266‌
$
12,490‌
Boston
Properties
Inc
16,100‌
2,076‌
Brandywine
Realty
Trust
163,800‌
2,224‌
CatchMark
Timber
Trust
Inc
266,033‌
2,445‌
CFE
Capital
S
de
RL
de
CV
5,686,252‌
7,237‌
Cousins
Properties
Inc
106,896‌
3,815‌
Crown
Castle
International
Corp
109,749‌
15,726‌
CubeSmart
107,932‌
3,267‌
Daiwa
Office
Investment
Corp
816‌
6,291‌
Dexus
730,092‌
5,816‌
EPR
Properties
48,957‌
2,900‌
Equinix
Inc
12,931‌
7,407‌
Essential
Properties
Realty
Trust
Inc
178,875‌
4,098‌
Essex
Property
Trust
Inc
46,178‌
13,085‌
Frasers
Logistics
&
Industrial
Trust
2,977,251‌
2,658‌
Gecina
SA
44,913‌
7,996‌
Goodman
Group
1,367,107‌
13,423‌
Inmobiliaria
Colonial
Socimi
SA
870,742‌
11,122‌
InterRent
Real
Estate
Investment
Trust
283,160‌
3,500‌
Invitation
Homes
Inc
504,718‌
14,480‌
Japan
Hotel
REIT
Investment
Corp
7,280‌
4,066‌
Japan
Retail
Fund
Investment
Corp
1,374‌
2,605‌
Kilroy
Realty
Corp
43,591‌
3,169‌
Link
REIT
918,070‌
8,570‌
MCUBS
MidCity
Investment
Corp
5,381‌
5,600‌
Merlin
Properties
Socimi
SA
278,456‌
3,594‌
Minto
Apartment
Real
Estate
Investment
Trust
392,242‌
7,569‌
Nippon
Prologis
REIT
Inc
(e)
1,800‌
4,875‌
Park
Hotels
&
Resorts
Inc
134,500‌
2,456‌
Physicians
Realty
Trust
197,907‌
3,733‌
PotlatchDeltic
Corp
206,978‌
7,604‌
Prologis
Inc
198,893‌
16,763‌
Rayonier
Inc
405,575‌
10,760‌
Regency
Centers
Corp
112,452‌
6,459‌
Rexford
Industrial
Realty
Inc
329,813‌
15,425‌
Segro
PLC
813,571‌
8,625‌
Simon
Property
Group
Inc
57,601‌
7,090‌
STORE
Capital
Corp
245,120‌
8,055‌
Summit
Industrial
Income
REIT
204,347‌
1,933‌
Sunstone
Hotel
Investors
Inc
183,280‌
2,007‌
UNITE
Group
PLC/The
482,505‌
7,019‌
United
Urban
Investment
Corp
2,769‌
4,432‌
Warehouses
De
Pauw
CVA
91,800‌
2,460‌
Welltower
Inc
131,212‌
9,817‌
Weyerhaeuser
Co
409,057‌
10,628‌
$
342,503‌
Retail
-
0.00%
Gymboree
Corp/The
(e),(f),(h),(i)
17,842‌
9‌
Gymboree
Holding
Corp
(e),(h),(i)
48,577‌
24‌
$
33‌
Software
-
0.15%
Avaya
Holdings
Corp
(e)
105,046‌
1,362‌
InterXion
Holding
NV
(e)
48,335‌
4,103‌
$
5,465‌
Storage
&
Warehousing
-
0.11%
Safestore
Holdings
PLC
404,643‌
4,070‌
Telecommunications
-
0.05%
Eutelsat
Communications
SA
139,602‌
1,888‌
Transportation
-
0.18%
East
Japan
Railway
Co
88,100‌
6,729‌
Water
-
3.45%
Aguas
Andinas
SA
35,348,340‌
12,144‌
American
States
Water
Co
24,544‌
1,880‌
American
Water
Works
Co
Inc
113,758‌
14,067‌
Beijing
Enterprises
Water
Group
Ltd
(e)
4,004,000‌
1,886‌
California
Water
Service
Group
32,080‌
1,538‌
Cia
de
Saneamento
Basico
do
Estado
de
Sao
Paulo
ADR
227,719‌
2,967‌
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
55
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Water
(continued)
Essential
Utilities
Inc
143,777‌
$
6,184‌
Guangdong
Investment
Ltd
1,916,000‌
3,639‌
Middlesex
Water
Co
11,043‌
657‌
Pennon
Group
PLC
791,152‌
11,065‌
Severn
Trent
PLC
730,287‌
23,182‌
SJW
Group
17,247‌
1,055‌
Suez
282,445‌
4,485‌
United
Utilities
Group
PLC
2,807,855‌
34,069‌
Veolia
Environnement
SA
285,578‌
8,228‌
York
Water
Co/The
8,648‌
366‌
$
127,412‌
TOTAL
COMMON
STOCKS
$
1,931,808‌
BONDS
-
10.76%
Principal
Amount
(000's)
Value
(000's)
Commercial
Mortgage
Backed
Securities
-
4.12%
Bank
2019-BNK19
0.96%,
08/15/2061
(j),(k)
$
63,863‌
$
4,984‌
BBCMS
2018-TALL
Mortgage
Trust
2.38%,
03/15/2037
(g)
15,000‌
14,978‌
1.00
x
1
Month
USD
LIBOR
+
0.72%
BBCMS
2019-BWAY
Mortgage
Trust
2.61%,
11/25/2034
(g)
11,500‌
11,482‌
1.00
x
1
Month
USD
LIBOR
+
0.96%
Benchmark
2019-B12
Mortgage
Trust
1.07%,
08/15/2052
(j),(k)
94,871‌
7,156‌
2.26%,
08/15/2052
2,763‌
2,814‌
Benchmark
2019-B15
Mortgage
Trust
0.83%,
12/15/2072
(j),(k)
16,124‌
1,062‌
2.00%,
12/15/2072
3,178‌
3,222‌
BF
2019-NYT
Mortgage
Trust
2.86%,
11/15/2035
(g)
6,950‌
6,965‌
1.00
x
1
Month
USD
LIBOR
+
1.20%
BHP
Trust
2019-BXHP
2.63%,
08/15/2036
(g)
10,000‌
9,981‌
1.00
x
1
Month
USD
LIBOR
+
0.98%
BX
Commercial
Mortgage
Trust
2018-IND
2.41%,
11/15/2035
(g)
6,585‌
6,583‌
1.00
x
1
Month
USD
LIBOR
+
0.75%
BX
Commercial
Mortgage
Trust
2019-XL
2.58%,
10/15/2036
(g)
4,777‌
4,798‌
1.00
x
1
Month
USD
LIBOR
+
0.92%
BX
Commercial
Mortgage
Trust
2020-BXLP
2.46%,
12/15/2036
(g)
9,000‌
9,004‌
1.00
x
1
Month
USD
LIBOR
+
0.80%
BX
Trust
2018-EXCL
2.75%,
09/15/2037
(g)
5,762‌
5,755‌
1.00
x
1
Month
USD
LIBOR
+
1.09%
BX
Trust
2019-CALM
2.53%,
11/15/2032
(g)
2,500‌
2,501‌
1.00
x
1
Month
USD
LIBOR
+
0.88%
CAMB
Commercial
Mortgage
Trust
2019-LIFE
2.73%,
12/15/2037
(g)
4,562‌
4,572‌
1.00
x
1
Month
USD
LIBOR
+
1.07%
CGDB
Commercial
Mortgage
Trust
2019-MOB
2.61%,
11/15/2036
(g)
6,500‌
6,496‌
1.00
x
1
Month
USD
LIBOR
+
0.95%
Citigroup
Commercial
Mortgage
Trust
2019-GC41
1.19%,
08/10/2056
(j),(k)
71,435‌
5,697‌
1.95%,
08/10/2056
3,699‌
3,746‌
Citigroup
Commercial
Mortgage
Trust
2020-GC46
0.99%,
01/15/2053
(j),(k)
6,250‌
509‌
COMM
2018-HCLV
Mortgage
Trust
2.66%,
09/15/2033
(g)
10,120‌
10,098‌
1.00
x
1
Month
USD
LIBOR
+
1.00%
CORE
2019-CORE
Mortgage
Trust
2.54%,
12/15/2031
(g)
6,100‌
6,098‌
1.00
x
1
Month
USD
LIBOR
+
0.88%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Mortgage
Backed
Securities
(continued)
DBCG
2017-BBG
Mortgage
Trust
2.36%,
06/15/2034
(g)
$
3,840‌
$
3,833‌
1.00
x
1
Month
USD
LIBOR
+
0.70%
Freddie
Mac
Multifamily
Structured
Pass
Through
Certificates
0.97%,
05/25/2026
(j),(k)
73,709‌
3,986‌
1.31%,
07/25/2026
(j),(k)
12,098‌
869‌
GS
Mortgage
Securities
Corp
Trust
2019-SMP
2.81%,
08/15/2032
(g)
4,000‌
3,996‌
1.00
x
1
Month
USD
LIBOR
+
1.15%
GS
Mortgage
Securities
Corp
Trust
2019-SOHO
2.56%,
06/15/2036
(g)
3,000‌
3,001‌
1.00
x
1
Month
USD
LIBOR
+
0.90%
JP
Morgan
Chase
Commercial
Mortgage
Securities
Trust
2019-BKWD
2.66%,
09/15/2029
(g)
5,000‌
5,002‌
1.00
x
1
Month
USD
LIBOR
+
1.00%
UBS-Barclays
Commercial
Mortgage
Trust
2012-C3
3.09%,
08/10/2049
2,994‌
3,092‌
$
152,280‌
Federal
&
Federally
Sponsored
Credit
-
2.06%
Federal
Farm
Credit
Banks
Funding
Corp
1.61%,
06/28/2021
(l)
3,800‌
3,801‌
1
Month
USD
LIBOR
+
0.01%
1.73%,
04/21/2021
(l)
11,000‌
11,013‌
1
Month
USD
LIBOR
+
0.09%
1.73%,
12/23/2021
(l)
3,000‌
3,004‌
1
Month
USD
LIBOR
+
0.10%
1.74%,
12/13/2021
2,100‌
2,102‌
1
Month
USD
LIBOR
+
0.09%
1.75%,
11/18/2021
(l)
21,000‌
21,022‌
1
Month
USD
LIBOR
+
0.18%
1.80%,
11/05/2021
(l)
35,000‌
35,061‌
1
Month
USD
LIBOR
+
0.26%
$
76,003‌
Finance
-
Mortgage
Loan/Banker
-
3.59%
Fannie
Mae
1.64%,
01/29/2021
(l)
14,700‌
14,698‌
United
States
Secured
Overnight
Financing
Rate
+
0.04%
1.68%,
10/30/2020
(l)
22,500‌
22,505‌
United
States
Secured
Overnight
Financing
Rate
+
0.15%
Federal
Home
Loan
Banks
1.63%,
12/20/2021
(l)
10,200‌
10,321‌
1.64%,
05/03/2021
(l)
20,500‌
20,499‌
1
Month
USD
LIBOR
+
(0.01)%
1.65%,
04/05/2021
(l)
22,500‌
22,502‌
1
Month
USD
LIBOR
+
(0.01)%
F
reddie
Mac
1.63%,
08/27/2021
(l)
42,000‌
41,987‌
United
States
Secured
Overnight
Financing
Rate
+
0.09%
$
132,512‌
Media
-
0.08%
iHeartCommunications
Inc
8.38%,
05/01/2027
2,601‌
2,825‌
Sovereign
-
0.91%
Colombia
Government
International
Bond
3.00%,
01/30/2030
975‌
984‌
Italy
Buoni
Poliennali
Del
Tesoro
1.30%,
05/15/2028
(g)
EUR
2,925‌
3,458‌
3.85%,
09/01/2049
(g)
1,510‌
2,305‌
Japanese
Government
CPI
Linked
Bond
0.10%,
03/10/2027
JPY
491,032‌
4,661‌
0.10%,
03/10/2028
628,020‌
5,965‌
0.10%,
03/10/2029
914,761‌
8,689‌
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
56
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Sovereign
(continued)
Mexico
Government
International
Bond
3.25%,
04/16/2030
$
975‌
$
1,002‌
New
Zealand
Government
Inflation
Linked
Bond
2.50%,
09/20/2035
NZD
3,020‌
2,490‌
2.50%,
09/20/2040
907‌
783‌
Saudi
Government
International
Bond
4.38%,
04/16/2029
(g)
$
225‌
256‌
Spain
Government
Bond
0.50%,
04/30/2030
(g)
EUR
2,605‌
2,938‌
$
33,531‌
TOTAL
BONDS
$
397,151‌
COMMODITY
INDEXED
STRUCTURED
NOTES
-
0.35%
Principal
Amount
(000's)
Value
(000's)
Banks
-
0.35%
Royal
Bank
of
Canada;
Dow
Jones
-
UBS
Commodity
Index
Linked
Note
1.58%,
05/18/2020
(g),(k)
$
21,700‌
12,809‌
TOTAL
COMMODITY
INDEXED
STRUCTURED
NOTES
$
12,809‌
SENIOR
FLOATING
RATE
INTERESTS
-
16.01%
Principal
Amount
(000's)
Value
(000's)
Advertising
-
0.32%
Advantage
Sales
&
Marketing
Inc
4.85%,
07/23/2021
(m)
$
1,262‌
$
1,218‌
3
Month
USD
LIBOR
+
3.25%
4.85%,
07/23/2021
(m)
429‌
413‌
3
Month
USD
LIBOR
+
3.25%
Affinion
Group
Inc
5.60%,
04/10/2024
(m)
743‌
611‌
1
Month
USD
LIBOR
+
4.00%
Checkout
Holding
Corp
2.63%,
08/15/2023
(m)
245‌
90‌
3
Month
USD
LIBOR
+
1.00%
9.13%,
02/15/2023
(m)
182‌
136‌
3
Month
USD
LIBOR
+
7.50%
Clear
Channel
Outdoor
Holdings
Inc
5.10%,
08/07/2026
(m)
5,855‌
5,775‌
1
Month
USD
LIBOR
+
3.50%
Outfront
Media
Capital
LLC
3.40%,
11/18/2026
(m)
1,157‌
1,147‌
1
Month
USD
LIBOR
+
1.75%
Red
Ventures
LLC
4.11%,
11/08/2024
(m)
631‌
619‌
1
Month
USD
LIBOR
+
2.50%
Terrier
Media
Buyer
Inc
6.15%,
12/17/2026
(m)
2,000‌
1,983‌
1
Month
USD
LIBOR
+
4.25%
$
11,992‌
Aerospace
&
Defense
-
0.27%
Cobham
0.00%,
01/29/2027
(m),(n)
1,300‌
1,284‌
1
Month
USD
LIBOR
+
3.50%
Sequa
Mezzanine
Holdings
LLC
6.74%,
10/28/2021
(m)
3,453‌
3,440‌
3
Month
USD
LIBOR
+
5.00%
10.77%,
04/28/2022
(m)
1,304‌
1,302‌
3
Month
USD
LIBOR
+
9.00%
Transdigm,
Inc
3.85%,
05/30/2025
(m)
983‌
958‌
1
Month
USD
LIBOR
+
2.25%
3.85%,
12/24/2025
(m)
3,219‌
3,143‌
1
Month
USD
LIBOR
+
2.25%
$
10,127‌
Airlines
-
0.16%
Allegiant
Travel
4.71%,
02/05/2024
(m)
594‌
558‌
1
Month
USD
LIBOR
+
3.00%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Airlines
(continued)
American
Airlines
Inc
3.36%,
06/27/2025
(m)
$
303‌
$
288‌
3
Month
USD
LIBOR
+
1.75%
3.60%,
04/28/2023
(m)
750‌
726‌
3
Month
USD
LIBOR
+
2.00%
3.66%,
12/14/2023
(m)
1,630‌
1,577‌
3
Month
USD
LIBOR
+
2.00%
Kestrel
Bidco
Inc
4.65%,
12/11/2026
(m)
2,750‌
2,644‌
3
Month
USD
LIBOR
+
3.00%
$
5,793‌
Apparel
-
0.03%
Champ
Acquisition
Corp
7.44%,
12/17/2025
(m)
983‌
977‌
3
Month
USD
LIBOR
+
5.50%
Automobile
Parts
&
Equipment
-
0.12%
Panther
BF
Aggregator
2
LP
5.14%,
04/30/2026
(m)
4,389‌
4,274‌
3
Month
USD
LIBOR
+
3.50%
Basic
Materials
-
0.05%
Innophos
Holdings
5.42%,
02/04/2027
(m)
1,920‌
1,901‌
1
Month
USD
LIBOR
+
3.75%
Beverages
-
0.04%
Jacobs
Douwe
Egberts
International
BV
3.69%,
10/23/2025
(m)
1,400‌
1,390‌
3
Month
USD
LIBOR
+
2.00%
Biotechnology
-
0.17%
Concordia
International
Corp
7.45%,
09/06/2024
(m)
6,573‌
6,146‌
1
Week
USD
LIBOR
+
5.50%
Building
Materials
-
0.16%
Gardner
Denver
0.00%,
02/05/2027
(m),(n)
2,367‌
2,328‌
1
Month
USD
LIBOR
+
1.75%
Quikrete
Holdings
Inc
4.10%,
02/01/2027
(m)
3,812‌
3,734‌
3
Month
USD
LIBOR
+
2.75%
$
6,062‌
Chemicals
-
0.06%
ASP
Unifrax
Holdings
Inc
5.69%,
12/12/2025
(m)
1,586‌
1,443‌
3
Month
USD
LIBOR
+
3.75%
INEOS
US
Finance
LLC
3.60%,
03/31/2024
(m)
236‌
231‌
3
Month
USD
LIBOR
+
2.00%
Minerals
Technologies
Inc
4.75%,
05/09/2021
(m)
415‌
413‌
Tronox
Finance
LLC
4.49%,
09/13/2024
(m)
33‌
32‌
3
Month
USD
LIBOR
+
3.00%
$
2,119‌
Coal
-
0.02%
Peabody
Energy
Corp
4.35%,
03/31/2025
(m)
954‌
639‌
3
Month
USD
LIBOR
+
2.75%
Commercial
Services
-
0.61%
Belron
Finance
4.27%,
10/25/2026
(m)
1,000‌
995‌
1
Month
USD
LIBOR
+
2.50%
Fly
Funding
3.48%,
08/09/2025
(m)
1,457‌
1,435‌
3
Month
USD
LIBOR
+
1.75%
Garda
World
Security
6.39%,
10/23/2026
(m)
606‌
603‌
1
Month
USD
LIBOR
+
4.75%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
57
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Services
(continued)
PAREXEL
International
Corp
4.35%,
08/09/2024
(m)
$
2,380‌
$
2,305‌
3
Month
USD
LIBOR
+
2.75%
Refinitiv
US
Holdings
Inc
4.88%,
10/01/2025
(m)
3,603‌
3,592‌
1
Month
USD
LIBOR
+
3.25%
Sabert
Corp
6.19%,
11/26/2026
(m)
1,000‌
995‌
1
Month
USD
LIBOR
+
4.50%
Syniverse
Holdings
Inc
6.87%,
02/09/2023
(m)
2,808‌
2,566‌
3
Month
USD
LIBOR
+
5.00%
10.87%,
02/09/2024
(m)
2,350‌
1,637‌
3
Month
USD
LIBOR
+
9.00%
Team
Health
Holdings
Inc
4.35%,
02/06/2024
(m)
1,383‌
1,043‌
3
Month
USD
LIBOR
+
2.75%
Trans
Union
LLC
3.35%,
11/13/2026
(m)
2,291‌
2,269‌
1
Month
USD
LIBOR
+
1.75%
Verscend
Holding
Corp
6.10%,
08/08/2025
(m)
2,214‌
2,203‌
3
Month
USD
LIBOR
+
4.50%
Wand
NewCo
3
Inc
4.65%,
02/05/2026
(m)
2,001‌
1,959‌
1
Month
USD
LIBOR
+
3.00%
WEX
Inc
3.85%,
05/14/2026
(m)
913‌
901‌
3
Month
USD
LIBOR
+
2.25%
$
22,503‌
Computers
-
0.77%
Dell
International
LLC
3.61%,
09/12/2025
(m)
6,079‌
6,001‌
1
Month
USD
LIBOR
+
2.00%
Diebold
Nixdorf
Inc
10.88%,
08/31/2022
(m)
2,611‌
2,724‌
3
Month
USD
LIBOR
+
9.25%
Harland
Clarke
Holdings
Corp
0.00%,
11/03/2023
(m),(n)
1,444‌
1,136‌
3
Month
USD
LIBOR
+
4.75%
iQor
US
Inc
6.91%,
04/01/2021
(m)
918‌
768‌
3
Month
USD
LIBOR
+
5.00%
McAfee
LLC
5.35%,
09/30/2024
(m)
8,357‌
8,261‌
3
Month
USD
LIBOR
+
3.75%
10.10%,
09/29/2025
(m)
656‌
655‌
3
Month
USD
LIBOR
+
8.50%
NCR
Corp
4.11%,
08/07/2026
(m)
998‌
992‌
1
Month
USD
LIBOR
+
2.50%
NeuStar
Inc
5.10%,
08/08/2024
(m)
799‌
726‌
3
Month
USD
LIBOR
+
3.50%
Perforce
Software
Inc
5.35%,
07/01/2026
(m)
998‌
980‌
1
Month
USD
LIBOR
+
3.75%
Presidio
Holdings
Inc
5.28%,
01/15/2027
(m)
1,100‌
1,084‌
1
Month
USD
LIBOR
+
3.50%
Reynolds
Consumer
3.50%,
01/29/2027
(m)
1,102‌
1,088‌
1
Month
USD
LIBOR
+
1.75%
Tempo
Acquisition
LLC
4.40%,
05/01/2024
(m)
2,207‌
2,175‌
3
Month
USD
LIBOR
+
3.00%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Computers
(continued)
Western
Digital
Corp
3.35%,
04/29/2023
(m)
$
1,760‌
$
1,734‌
1
Month
USD
LIBOR
+
1.75%
$
28,324‌
Consumer
Products
-
0.06%
KIK
Custom
Products
Inc
5.60%,
05/15/2023
(m)
2,125‌
2,090‌
3
Month
USD
LIBOR
+
4.00%
Cosmetics
&
Personal
Care
-
0.15%
Coty
Inc
3.17%,
04/05/2023
(m)
3,084‌
3,014‌
1
Month
USD
LIBOR
+
1.75%
Revlon
Consumer
Products
Corp
5.18%,
07/21/2023
(m)
3,689‌
2,472‌
1
Month
USD
LIBOR
+
3.50%
$
5,486‌
Distribution
&
Wholesale
-
0.08%
Core
&
Main
LP
4.51%,
08/01/2024
(m)
1,466‌
1,440‌
3
Month
USD
LIBOR
+
3.00%
IAA
Inc
3.88%,
05/22/2026
(m)
209‌
208‌
3
Month
USD
LIBOR
+
2.25%
KAR
Auction
Services
Inc
3.94%,
09/11/2026
(m)
279‌
277‌
1
Month
USD
LIBOR
+
2.25%
Univar
Solutions
USA
Inc/Washington
3.85%,
07/01/2024
(m)
1,138‌
1,119‌
3
Month
USD
LIBOR
+
2.25%
$
3,044‌
Diversified
Financial
Services
-
0.22%
American
Express
0.00%,
02/26/2027
(m),(n)
408‌
399‌
Avolon
TLB
Borrower
3.15%,
02/05/2027
(m)
2,459‌
2,410‌
1
Month
USD
LIBOR
+
1.50%
Avolon
TLB
Borrower
1
US
LLC
3.40%,
01/15/2025
(m)
1,942‌
1,919‌
3
Month
USD
LIBOR
+
1.75%
Ditech
Holding
Corp
0.00%,
06/30/2022
(e),(m)
1,523‌
620‌
3
Month
USD
LIBOR
+
6.00%
RPI
Finance
Trust
0.00%,
02/05/2027
(m),(n)
734‌
729‌
1
Month
USD
LIBOR
+
1.75%
3.42%,
02/05/2027
(m)
2,056‌
2,053‌
1
Month
USD
LIBOR
+
1.75%
$
8,130‌
Electric
-
0.19%
Calpine
Corp
3.60%,
08/12/2026
(m)
1,945‌
1,910‌
3
Month
USD
LIBOR
+
2.50%
4.20%,
01/15/2024
(m)
831‌
816‌
1
Month
USD
LIBOR
+
2.25%
Exgen
Renewables
IV
LLC
4.62%,
11/28/2024
(m)
988‌
982‌
3
Month
USD
LIBOR
+
3.00%
Vistra
Operations
Co
LLC
3.40%,
12/31/2025
(m)
3,230‌
3,189‌
1
Month
USD
LIBOR
+
1.75%
$
6,897‌
Electrical
Components
&
Equipment
-
0.01%
Energizer
Holdings
Inc
3.94%,
12/17/2025
(m)
235‌
234‌
3
Month
USD
LIBOR
+
2.25%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
58
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Electronics
-
0.03%
TTM
Technologies
Inc
4.16%,
09/13/2024
(m)
$
1,307‌
$
1,291‌
3
Month
USD
LIBOR
+
2.50%
Engineering
&
Construction
-
0.08%
Atlantic
Aviation
FBO
Inc
5.36%,
11/28/2025
(m)
743‌
740‌
3
Month
USD
LIBOR
+
3.75%
Brand
Industrial
Services
Inc
6.09%,
06/21/2024
(m)
380‌
371‌
3
Month
USD
LIBOR
+
4.25%
Standard
Aero
5.21%,
04/06/2026
(m)
1,297‌
1,270‌
1
Month
USD
LIBOR
+
3.50%
5.21%,
04/06/2026
(m)
698‌
683‌
1
Month
USD
LIBOR
+
3.50%
$
3,064‌
Entertainment
-
1.20%
AMC
Entertainment
Holdings
Inc
4.61%,
03/20/2026
(m)
4,392‌
4,241‌
3
Month
USD
LIBOR
+
3.00%
CCM
Merger
Inc
3.85%,
08/08/2021
(m)
3,185‌
3,179‌
3
Month
USD
LIBOR
+
2.25%
CEOC
LLC
3.65%,
10/06/2024
(m)
1,633‌
1,624‌
3
Month
USD
LIBOR
+
2.00%
Cineworld
Ltd
0.00%,
02/05/2027
(m),(n)
4,570‌
4,243‌
Formula
One
Management
Ltd
4.10%,
02/01/2024
(m)
8,452‌
8,156‌
3
Month
USD
LIBOR
+
2.50%
Lions
Gate
Capital
Holdings
LLC
3.85%,
03/24/2025
(m)
477‌
462‌
3
Month
USD
LIBOR
+
2.25%
Merlin
Entertainment
0.00%,
10/16/2026
(m),(n)
1,414‌
1,358‌
Metro-Goldwyn-Mayer
Inc
4.11%,
07/03/2025
(m)
3,077‌
3,046‌
3
Month
USD
LIBOR
+
2.50%
6.11%,
07/03/2026
(m)
1,500‌
1,462‌
3
Month
USD
LIBOR
+
4.50%
Nascar
Holdings
LLC
4.39%,
10/19/2026
(m)
1,651‌
1,641‌
3
Month
USD
LIBOR
+
2.75%
PCI
Gaming
Authority
4.10%,
05/29/2026
(m)
1,757‌
1,741‌
3
Month
USD
LIBOR
+
3.00%
Penn
National
Gaming
Inc
3.85%,
08/14/2025
(m)
1,484‌
1,462‌
3
Month
USD
LIBOR
+
2.25%
Scientific
Games
International
Inc
4.37%,
08/14/2024
(m)
5,284‌
5,116‌
3
Month
USD
LIBOR
+
2.75%
Stars
Group
Holdings
BV
5.44%,
06/27/2025
(m)
4,777‌
4,760‌
3
Month
USD
LIBOR
+
3.50%
William
Morris
Endeavor
Entertainment
LLC
4.40%,
05/16/2025
(m)
1,948‌
1,882‌
3
Month
USD
LIBOR
+
2.75%
$
44,373‌
Environmental
Control
-
0.25%
Advanced
Disposal
Services
Inc
3.83%,
11/10/2023
(m)
3,198‌
3,189‌
3
Month
USD
LIBOR
+
2.25%
GFL
Environmental
Inc
5.27%,
05/09/2025
(m)
6,091‌
5,967‌
3
Month
USD
LIBOR
+
3.00%
$
9,156‌
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Food
-
0.34%
Atkins
Nutritionals
Holdings
Inc
5.40%,
07/07/2024
(m)
$
2,351‌
$
2,345‌
1
Month
USD
LIBOR
+
3.75%
Bellring
Brands
LLC
6.60%,
10/10/2024
(m)
1,000‌
1,005‌
1
Month
USD
LIBOR
+
5.00%
CHG
PPC
Parent
LLC
4.35%,
03/30/2025
(m)
243‌
237‌
3
Month
USD
LIBOR
+
2.75%
Froneri
International
3.85%,
01/29/2027
(m)
2,500‌
2,456‌
1
Month
USD
LIBOR
+
2.25%
7.40%,
01/28/2028
(m)
500‌
499‌
1
Month
USD
LIBOR
+
5.75%
US
Foods
Inc
3.40%,
06/27/2023
(m)
6,174‌
6,091‌
1
Month
USD
LIBOR
+
1.75%
$
12,633‌
Food
Service
-
0.02%
8th
Avenue
Food
&
Provisions
Inc
5.40%,
09/19/2025
(m)
891‌
886‌
3
Month
USD
LIBOR
+
3.75%
Hand
&
Machine
Tools
-
0.01%
Apex
Tool
Group
LLC
7.10%,
08/01/2024
(m)
561‌
532‌
3
Month
USD
LIBOR
+
5.50%
Healthcare
-
Products
-
0.23%
Carestream
Health
Inc
7.65%,
02/28/2021
(m)
1,932‌
1,849‌
3
Month
USD
LIBOR
+
5.75%
11.15%,
06/07/2021
(m)
570‌
504‌
3
Month
USD
LIBOR
+
9.50%
CPI
Holdco
LLC
6.19%,
10/28/2026
(m)
1,705‌
1,709‌
1
Month
USD
LIBOR
+
4.25%
Viant
Medical
Holdings
Inc
5.69%,
07/02/2025
(m)
2,203‌
2,117‌
3
Month
USD
LIBOR
+
3.75%
VVC
Holding
Corp
6.16%,
02/07/2026
(m)
950‌
938‌
3
Month
USD
LIBOR
+
4.50%
Vyaire
Medical
Inc
6.66%,
04/11/2025
(m)
1,436‌
1,210‌
3
Month
USD
LIBOR
+
4.75%
$
8,327‌
Healthcare
-
Services
-
1.27%
AHP
Health
Partners
Inc
6.10%,
06/16/2025
(m)
1,430‌
1,434‌
3
Month
USD
LIBOR
+
4.50%
Air
Medical
Group
Holdings
Inc
4.93%,
04/28/2022
(m)
3,522‌
3,320‌
3
Month
USD
LIBOR
+
3.25%
Air
Methods
Corp
5.44%,
04/12/2024
(m)
1,411‌
1,161‌
3
Month
USD
LIBOR
+
3.50%
Brightspring
Health
4.92%,
03/05/2026
(m)
3,022‌
2,971‌
1
Month
USD
LIBOR
+
3.25%
BW
NHHC
Holdco
Inc
6.62%,
05/15/2025
(m)
749‌
633‌
3
Month
USD
LIBOR
+
5.00%
Catalent
Pharma
Solutions
Inc
3.85%,
05/08/2026
(m)
993‌
978‌
3
Month
USD
LIBOR
+
2.25%
Davita,
Inc
3.35%,
08/12/2026
(m)
1,995‌
1,970‌
1
Month
USD
LIBOR
+
1.75%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
59
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Healthcare
-
Services
(continued)
Envision
Healthcare
Corp
5.35%,
10/10/2025
(m)
$
3,390‌
$
2,719‌
3
Month
USD
LIBOR
+
3.75%
Eyecare
Partners
LLC
5.42%,
02/05/2027
(m)
892‌
876‌
1
Month
USD
LIBOR
+
3.75%
Gentiva
Health
Services
Inc
4.88%,
07/02/2025
(m)
5,378‌
5,324‌
1
Month
USD
LIBOR
+
3.25%
HCA
Inc
3.35%,
03/13/2025
(m)
1,677‌
1,672‌
1
Month
USD
LIBOR
+
1.75%
3.35%,
03/17/2026
(m)
2,600‌
2,590‌
1
Month
USD
LIBOR
+
1.75%
Heartland
Dental
LLC
4.94%,
04/18/2025
(m)
122‌
120‌
3
Month
USD
LIBOR
+
3.75%
Jaguar
Holding
Co
II
4.10%,
08/18/2022
(m)
6,598‌
6,538‌
3
Month
USD
LIBOR
+
2.50%
LifePoint
Health
Inc
5.40%,
11/14/2025
(m)
8,236‌
8,154‌
1
Month
USD
LIBOR
+
3.75%
MMM
Holdings
LLC
7.69%,
10/30/2026
(m)
1,250‌
1,216‌
1
Month
USD
LIBOR
+
5.75%
New
Millennium
Holdco
Inc
8.10%,
12/21/2020
(m)
650‌
291‌
3
Month
USD
LIBOR
+
6.50%
Quorum
Health
Corp
8.53%,
04/29/2022
(m)
367‌
360‌
3
Month
USD
LIBOR
+
6.75%
Select
Medical
Corp
4.67%,
03/06/2025
(m)
3,229‌
3,196‌
3
Month
USD
LIBOR
+
2.50%
Syneos
Health
Inc
3.40%,
08/01/2024
(m)
1,256‌
1,244‌
3
Month
USD
LIBOR
+
2.00%
$
46,767‌
Holding
Companies
-
Diversified
-
0.05%
Travelport
Finance
Luxembourg
Sarl
6.94%,
03/18/2026
(m)
2,240‌
1,699‌
3
Month
USD
LIBOR
+
5.00%
Insurance
-
0.23%
Acrisure
LLC
5.21%,
02/12/2027
(m)
2,561‌
2,518‌
1
Month
USD
LIBOR
+
3.50%
Alliant
Holdings
Intermediate
LLC
4.60%,
05/09/2025
(m)
2,181‌
2,134‌
3
Month
USD
LIBOR
+
3.00%
BroadStreet
Partners
Inc
4.87%,
01/22/2027
(m)
1,122‌
1,110‌
1
Month
USD
LIBOR
+
3.25%
HUB
International
Ltd
4.54%,
04/25/2025
(m)
2,039‌
1,979‌
3
Month
USD
LIBOR
+
3.00%
5.69%,
04/25/2025
(m)
575‌
573‌
1
Month
USD
LIBOR
+
4.00%
$
8,314‌
Internet
-
0.14%
Ancestry.com
Operations
Inc
5.36%,
10/19/2023
(m)
1,830‌
1,684‌
1
Month
USD
LIBOR
+
3.75%
ProQuest
LLC
5.10%,
10/16/2026
(m)
1,200‌
1,194‌
1
Month
USD
LIBOR
+
3.50%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Internet
(continued)
Uber
Technologies
Inc
5.11%,
07/13/2023
(m)
$
1,902‌
$
1,881‌
3
Month
USD
LIBOR
+
3.50%
5.64%,
04/04/2025
(m)
581‌
577‌
3
Month
USD
LIBOR
+
4.00%
$
5,336‌
Leisure
Products
&
Services
-
0.37%
Alterra
Mountain
Co
4.35%,
07/31/2024
(m)
4,042‌
3,961‌
1
Month
USD
LIBOR
+
2.75%
Callaway
Golf
Co
6.15%,
12/17/2025
(m)
1,395‌
1,388‌
3
Month
USD
LIBOR
+
4.50%
ClubCorp
Holdings
Inc
4.69%,
08/16/2024
(m)
1,135‌
1,052‌
3
Month
USD
LIBOR
+
2.75%
Equinox
Holdings
Inc
4.60%,
03/08/2024
(m)
1,766‌
1,736‌
3
Month
USD
LIBOR
+
3.00%
Fitness
International
LLC
3.90%,
01/08/2025
(m)
1,639‌
1,633‌
3
Month
USD
LIBOR
+
2.50%
Life
Time
Inc
4.36%,
06/10/2022
(m)
3,029‌
2,980‌
3
Month
USD
LIBOR
+
2.75%
Sabre
GLBL
Inc
3.60%,
02/22/2024
(m)
957‌
913‌
3
Month
USD
LIBOR
+
2.00%
$
13,663‌
Lodging
-
0.42%
Boyd
Gaming
Corp
3.83%,
09/15/2023
(m)
4,225‌
4,164‌
3
Month
USD
LIBOR
+
2.25%
Caesars
Resort
Collection
LLC
4.35%,
12/22/2024
(m)
5,837‌
5,623‌
3
Month
USD
LIBOR
+
2.75%
CityCenter
Holdings
LLC
3.85%,
04/18/2024
(m)
2,500‌
2,467‌
3
Month
USD
LIBOR
+
2.25%
Hilton
Worldwide
Finance
LLC
3.38%,
06/18/2026
(m)
1,829‌
1,807‌
3
Month
USD
LIBOR
+
1.75%
Wyndham
Hotels
&
Resorts
Inc
3.35%,
05/30/2025
(m)
1,479‌
1,463‌
3
Month
USD
LIBOR
+
1.75%
$
15,524‌
Machinery
-
Construction
&
Mining
-
0.09%
North
American
Lifting
Holdings
Inc
6.44%,
11/27/2020
(m)
2,501‌
2,197‌
3
Month
USD
LIBOR
+
4.50%
Vertiv
Group
Corp
0.00%,
02/11/2027
(m),(n)
1,250‌
1,238‌
$
3,435‌
Machinery
-
Diversified
-
0.11%
Altra
Industrial
Motion
Corp
3.60%,
09/26/2025
(m)
430‌
425‌
3
Month
USD
LIBOR
+
2.00%
Columbus
McKinnon
Corp/NY
4.44%,
01/31/2024
(m)
997‌
997‌
3
Month
USD
LIBOR
+
2.50%
NN
Inc
6.85%,
10/19/2022
(m)
658‌
646‌
1
Month
USD
LIBOR
+
5.25%
6.85%,
10/19/2022
(m)
1,015‌
996‌
1
Month
USD
LIBOR
+
5.25%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
60
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Machinery
-
Diversified
(continued)
RBS
Global
Inc
3.38%,
08/21/2024
(m)
$
960‌
$
956‌
1
Month
USD
LIBOR
+
1.75%
$
4,020‌
Media
-
1.20%
Altice
Financing
SA
4.41%,
07/15/2025
(m)
2,324‌
2,241‌
3
Month
USD
LIBOR
+
2.75%
Charter
Communications
Operating
LLC
3.36%,
02/01/2027
(m)
5,908‌
5,819‌
1
Month
USD
LIBOR
+
1.75%
CSC
Holdings
LLC
3.91%,
07/17/2025
(m)
497‌
491‌
3
Month
USD
LIBOR
+
2.25%
4.16%,
04/27/2027
(m)
1,481‌
1,463‌
1
Month
USD
LIBOR
+
2.50%
Cumulus
Media
New
Holdings
Inc
5.35%,
03/18/2026
(m)
1,331‌
1,301‌
1
Month
USD
LIBOR
+
3.75%
Entercom
Media
Corp
4.10%,
11/18/2024
(m)
1,107‌
1,092‌
1
Month
USD
LIBOR
+
2.50%
EW
Scripps
Co/The
4.10%,
05/01/2026
(m)
2,481‌
2,466‌
1
Month
USD
LIBOR
+
2.50%
Gray
Television
Inc
3.91%,
02/02/2024
(m)
2,053‌
2,033‌
3
Month
USD
LIBOR
+
2.25%
4.16%,
11/02/2025
(m)
637‌
632‌
3
Month
USD
LIBOR
+
2.50%
Houghton
Mifflin
Harcourt
Publishers
Inc
7.89%,
11/19/2024
(m)
1,500‌
1,491‌
1
Month
USD
LIBOR
+
6.25%
iHeartCommunications
Inc
4.66%,
05/01/2026
(m)
6,885‌
6,747‌
1
Month
USD
LIBOR
+
4.00%
LCPR
Loan
Financing
LLC
6.66%,
10/22/2026
(m)
1,815‌
1,821‌
1
Month
USD
LIBOR
+
5.00%
McGraw-Hill
Global
Education
Holdings
LLC
5.60%,
05/04/2022
(m)
2,755‌
2,586‌
3
Month
USD
LIBOR
+
4.00%
Mediacom
Illinois
LLC
3.34%,
02/15/2024
(m)
477‌
472‌
3
Month
USD
LIBOR
+
1.75%
Meredith
Corp
4.10%,
01/31/2025
(m)
2,091‌
2,068‌
1
Month
USD
LIBOR
+
2.50%
Mission
Broadcasting
Inc
3.91%,
01/17/2024
(m)
401‌
398‌
3
Month
USD
LIBOR
+
2.25%
Nexstar
Broadcasting
Inc
3.85%,
01/17/2024
(m)
1,791‌
1,778‌
3
Month
USD
LIBOR
+
2.25%
4.40%,
09/21/2026
(m)
1,895‌
1,876‌
1
Month
USD
LIBOR
+
2.75%
Nielsen
Finance
LLC
3.67%,
10/04/2023
(m)
1,930‌
1,910‌
3
Month
USD
LIBOR
+
2.00%
Sinclair
Television
Group
Inc
3.86%,
01/03/2024
(m)
2,475‌
2,425‌
3
Month
USD
LIBOR
+
2.25%
4.16%,
07/17/2026
(m)
998‌
978‌
1
Month
USD
LIBOR
+
2.50%
Ziggo
BV
4.16%,
04/17/2028
(m)
2,125‌
2,058‌
1
Month
USD
LIBOR
+
2.50%
$
44,146‌
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Mining
-
0.00%
Covia
Holdings
Corp
5.87%,
04/09/2025
(m)
$
153‌
$
114‌
3
Month
USD
LIBOR
+
3.75%
Miscellaneous
Manufacturers
-
0.06%
Gates
Global
LLC
4.35%,
03/31/2024
(m)
2,242‌
2,197‌
3
Month
USD
LIBOR
+
2.75%
Office
&
Business
Equipment
-
0.03%
Pitney
Bowes
7.16%,
01/17/2025
(m)
1,110‌
1,094‌
1
Month
USD
LIBOR
+
5.50%
Oil
&
Gas
-
0.36%
California
Resources
Corp
6.36%,
11/14/2022
(m)
4,375‌
3,715‌
1
Month
USD
LIBOR
+
4.75%
11.99%,
12/31/2021
(m)
764‌
384‌
1
Month
USD
LIBOR
+
10.37%
Delek
US
Holdings
Inc
3.85%,
03/14/2025
(m)
1,489‌
1,459‌
3
Month
USD
LIBOR
+
2.25%
Fieldwood
Energy
LLC
7.03%,
04/11/2022
(m)
6,028‌
4,672‌
3
Month
USD
LIBOR
+
5.25%
9.03%,
04/11/2023
(m)
3,648‌
1,842‌
3
Month
USD
LIBOR
+
7.25%
Gulf
Finance
LLC
7.02%,
08/17/2023
(m)
1,837‌
1,380‌
3
Month
USD
LIBOR
+
5.25%
$
13,452‌
Oil
&
Gas
Services
-
0.04%
PGS
ASA
8.66%,
03/19/2023
(m)
1,675‌
1,614‌
3
Month
USD
LIBOR
+
5.50%
Packaging
&
Containers
-
0.32%
Berry
Global
Inc
3.67%,
01/19/2024
(m)
1,443‌
1,421‌
1
Month
USD
LIBOR
+
2.00%
3.67%,
07/01/2026
(m)
2,559‌
2,513‌
1
Month
USD
LIBOR
+
2.00%
Kloeckner
Pentaplast
of
America
Inc
6.01%,
06/29/2022
(m)
2,371‌
2,059‌
3
Month
USD
LIBOR
+
4.25%
Reynolds
Group
Holdings
Inc
4.35%,
02/05/2023
(m)
5,819‌
5,754‌
3
Month
USD
LIBOR
+
2.75%
$
11,747‌
Pharmaceuticals
-
0.75%
Akorn
Inc
11.69%,
04/16/2021
(m)
900‌
867‌
1
Month
USD
LIBOR
+
9.25%
Amneal
Pharmaceuticals
LLC
5.12%,
03/21/2025
(m)
948‌
835‌
3
Month
USD
LIBOR
+
3.50%
Bausch
Health
Americas
Inc
4.41%,
11/14/2025
(m)
3,844‌
3,819‌
3
Month
USD
LIBOR
+
2.75%
4.66%,
05/19/2025
(m)
6,011‌
5,969‌
3
Month
USD
LIBOR
+
3.00%
Change
Healthcare
Holdings
LLC
4.13%,
03/01/2024
(m)
7,241‌
7,088‌
1
Month
USD
LIBOR
+
2.50%
Elanco
Animal
Health
0.00%,
02/04/2027
(m),(n)
1,800‌
1,779‌
Grifols
Worldwide
Operations
USA
Inc
3.58%,
11/08/2027
(m)
3,233‌
3,203‌
1
Month
USD
LIBOR
+
2.00%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
61
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Pharmaceuticals
(continued)
Mallinckrodt
International
Finance
SA
0.00%,
03/24/2024
(i),(m),(n)
$
1,351‌
$
1,351‌
4.69%,
09/24/2024
(m)
1,862‌
1,654‌
3
Month
USD
LIBOR
+
2.75%
4.70%,
02/24/2025
(m)
1,267‌
1,111‌
3
Month
USD
LIBOR
+
3.00%
$
27,676‌
Pipelines
-
0.20%
BCP
Renaissance
Parent
LLC
5.44%,
10/31/2024
(m)
1,433‌
1,254‌
3
Month
USD
LIBOR
+
3.50%
Blackstone
CQP
Holdco
LP
5.41%,
09/30/2024
(m)
2,490‌
2,433‌
3
Month
USD
LIBOR
+
3.50%
Buckeye
Partners
LP
4.40%,
11/15/2026
(m)
2,350‌
2,319‌
1
Month
USD
LIBOR
+
2.75%
Traverse
Midstream
Partners
LLC
5.61%,
09/21/2024
(m)
1,466‌
1,216‌
3
Month
USD
LIBOR
+
4.00%
$
7,222‌
Real
Estate
-
0.13%
Brookfield
Retail
Holdings
VII
Sub
3
LLC
3.85%,
08/28/2023
(m)
4,016‌
4,001‌
3
Month
USD
LIBOR
+
2.25%
Realogy
Group
LLC
3.90%,
02/08/2025
(m)
966‌
925‌
3
Month
USD
LIBOR
+
2.25%
$
4,926‌
REITs
-
0.04%
Blackstone
Mortgage
Trust
Inc
3.85%,
04/23/2026
(m)
1,493‌
1,478‌
1
Month
USD
LIBOR
+
2.25%
Retail
-
0.81%
1011778
BC
ULC
3.35%,
11/14/2026
(m)
9,336‌
9,173‌
1
Month
USD
LIBOR
+
1.75%
Academy
Ltd
5.66%,
07/01/2022
(m)
2,198‌
1,742‌
3
Month
USD
LIBOR
+
4.00%
Arby's
Restaurant
Group
4.38%,
02/05/2025
(m)
1,243‌
1,209‌
1
Month
USD
LIBOR
+
2.75%
Belk
Inc
8.80%,
07/31/2025
(m)
2,855‌
1,949‌
1
Month
USD
LIBOR
+
6.75%
BJ's
Wholesale
Club
Inc
3.90%,
02/03/2024
(m)
1,085‌
1,074‌
1
Month
USD
LIBOR
+
2.75%
Carrols
Restaurant
Group
Inc
4.87%,
04/03/2026
(m)
1,990‌
1,890‌
3
Month
USD
LIBOR
+
3.25%
EG
America
LLC
5.96%,
02/07/2025
(m)
1,228‌
1,192‌
3
Month
USD
LIBOR
+
4.00%
Petco
Animal
Supplies
Inc
5.03%,
01/26/2023
(m)
571‌
452‌
3
Month
USD
LIBOR
+
3.25%
PetSmart
Inc
5.66%,
03/11/2022
(m)
6,986‌
6,895‌
1
Month
USD
LIBOR
+
4.00%
Serta
Simmons
Bedding
LLC
5.15%,
10/20/2023
(m)
2,124‌
1,235‌
3
Month
USD
LIBOR
+
3.50%
9.63%,
11/08/2024
(m)
470‌
127‌
3
Month
USD
LIBOR
+
8.00%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Retail
(continued)
SRS
Distribution
Inc
4.60%,
05/19/2025
(m)
$
1,152‌
$
1,117‌
3
Month
USD
LIBOR
+
3.25%
Whatabrands
LLC
4.42%,
08/02/2026
(m)
2,047‌
2,006‌
1
Month
USD
LIBOR
+
2.75%
$
30,061‌
Semiconductors
-
0.08%
Bright
Bidco
BV
5.33%,
06/30/2024
(m)
2,081‌
977‌
3
Month
USD
LIBOR
+
3.50%
Macom
Technology
0.00%,
05/17/2024
(m),(n)
630‌
604‌
3
Month
USD
LIBOR
+
2.25%
Microchip
Technology
Inc
3.61%,
05/29/2025
(m)
575‌
571‌
3
Month
USD
LIBOR
+
2.00%
MKS
Instruments
Inc
3.35%,
02/26/2026
(m)
666‌
656‌
1
Month
USD
LIBOR
+
1.75%
ON
Semiconductor
Corp
3.60%,
09/16/2026
(m)
262‌
258‌
1
Month
USD
LIBOR
+
2.00%
$
3,066‌
Software
-
2.12%
Blackboard
Inc
7.74%,
06/30/2024
(m)
2,993‌
2,843‌
1
Month
USD
LIBOR
+
6.00%
Boxer
Parent
Co
Inc
5.85%,
10/02/2025
(m)
2,381‌
2,283‌
3
Month
USD
LIBOR
+
4.25%
Camelot
Finance
SA
4.90%,
10/28/2026
(m)
1,211‌
1,203‌
1
Month
USD
LIBOR
+
3.25%
Cengage
Learning
Inc
5.85%,
06/07/2023
(m)
5,267‌
4,849‌
3
Month
USD
LIBOR
+
4.25%
Ceridian
HCM
Holding
Inc
4.10%,
04/04/2025
(m)
1,529‌
1,506‌
3
Month
USD
LIBOR
+
3.00%
Compuware
Corp
5.60%,
08/08/2025
(m)
992‌
992‌
1
Month
USD
LIBOR
+
4.00%
DiscoverOrg
LLC
5.60%,
02/02/2026
(m)
1,644‌
1,639‌
3
Month
USD
LIBOR
+
4.50%
DTI
Holdco
Inc
6.53%,
10/02/2023
(m)
797‌
742‌
3
Month
USD
LIBOR
+
4.75%
Dun
&
Bradstreet
Corp/The
5.61%,
02/06/2026
(m)
1,000‌
1,002‌
3
Month
USD
LIBOR
+
5.00%
Dynatrace
LLC
4.38%,
08/08/2025
(m)
606‌
601‌
1
Month
USD
LIBOR
+
2.75%
Epicor
Software
Corp
4.86%,
05/12/2022
(m)
4,497‌
4,458‌
3
Month
USD
LIBOR
+
3.25%
Evergreen
Skills
Lux
Sarl
6.53%,
04/23/2021
(m)
5,015‌
3,962‌
3
Month
USD
LIBOR
+
4.75%
10.03%,
04/28/2022
(m)
804‌
157‌
3
Month
USD
LIBOR
+
8.25%
Finastra
USA
Inc
5.28%,
06/13/2024
(m)
4,337‌
4,127‌
3
Month
USD
LIBOR
+
3.50%
9.03%,
04/28/2025
(m)
200‌
190‌
3
Month
USD
LIBOR
+
7.25%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
62
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Software
(continued)
Greeneden
US
Holdings
II
LLC
4.88%,
12/01/2023
(m)
$
3,069‌
$
3,028‌
3
Month
USD
LIBOR
+
3.25%
Greenway
Health
LLC
5.69%,
02/16/2024
(m)
268‌
217‌
3
Month
USD
LIBOR
+
4.25%
Infor
US
Inc
4.69%,
02/01/2022
(m)
5,139‌
5,099‌
3
Month
USD
LIBOR
+
2.75%
Informatica
LLC
0.00%,
02/14/2027
(m),(n)
4,027‌
3,937‌
Kronos
Inc/MA
4.76%,
11/01/2023
(m)
1,505‌
1,492‌
3
Month
USD
LIBOR
+
3.00%
MA
FinanceCo
LLC
3.85%,
11/19/2021
(m)
650‌
642‌
3
Month
USD
LIBOR
+
2.25%
4.10%,
06/21/2024
(m)
695‌
658‌
3
Month
USD
LIBOR
+
2.50%
Project
Boost
Purchaser
LLC
5.10%,
05/22/2026
(m)
996‌
968‌
3
Month
USD
LIBOR
+
3.50%
Rackspace
Hosting
Inc
4.76%,
11/03/2023
(m)
5,738‌
5,468‌
3
Month
USD
LIBOR
+
3.00%
Riverbed
Technology
Inc
0.00%,
04/24/2022
(m),(n)
1,980‌
1,792‌
US
LIBOR
+
3.25%
RP
Crown
Parent
LLC
4.35%,
10/12/2023
(m)
1,923‌
1,903‌
3
Month
USD
LIBOR
+
2.75%
Seattle
SpinCo
Inc
4.10%,
06/21/2024
(m)
4,692‌
4,446‌
3
Month
USD
LIBOR
+
2.50%
Sophia
LP
5.19%,
09/30/2022
(m)
3,062‌
3,038‌
3
Month
USD
LIBOR
+
3.25%
SS&C
European
Holdings
Sarl
3.75%,
04/16/2025
(m)
930‌
916‌
3
Month
USD
LIBOR
+
2.25%
SS&C
Technologies
Inc
3.35%,
04/16/2025
(m)
2,303‌
2,273‌
3
Month
USD
LIBOR
+
2.25%
4.35%,
04/16/2025
(m)
2,143‌
2,113‌
3
Month
USD
LIBOR
+
2.25%
TIBCO
Sorftware,
Inc
0.00%,
06/30/2026
(m),(n)
5,133‌
5,069‌
Ultimate
Software
Group
Inc/The
5.35%,
05/03/2026
(m)
2,244‌
2,234‌
3
Month
USD
LIBOR
+
3.75%
Zelis
Payments
Buyer
Inc
6.35%,
09/25/2026
(m)
2,250‌
2,232‌
1
Month
USD
LIBOR
+
4.75%
$
78,079‌
Telecommunications
-
1.35%
Altice
France
SA/France
5.66%,
08/14/2026
(m)
3,950‌
3,861‌
3
Month
USD
LIBOR
+
4.00%
Avaya
Inc
5.90%,
12/16/2024
(m)
4,342‌
4,118‌
3
Month
USD
LIBOR
+
4.25%
Centurylink,
Inc
3.60%,
01/31/2025
(m)
1,350‌
1,345‌
1
Month
USD
LIBOR
+
2.00%
3.85%,
03/15/2027
(m)
7,608‌
7,374‌
1
Month
USD
LIBOR
+
2.25%
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Telecommunications
(continued)
CommScope
Inc
4.85%,
02/06/2026
(m)
$
2,785‌
$
2,736‌
3
Month
USD
LIBOR
+
3.25%
Connect
Finco
SARL
6.14%,
09/23/2026
(m)
1,875‌
1,854‌
1
Month
USD
LIBOR
+
4.50%
Consolidated
Communications
Inc
4.61%,
10/05/2023
(m)
338‌
319‌
3
Month
USD
LIBOR
+
3.00%
Frontier
Communications
Corp
5.40%,
06/15/2024
(m)
3,766‌
3,773‌
3
Month
USD
LIBOR
+
3.75%
Intelsat
Jackson
Holdings
SA
5.68%,
11/27/2023
(m)
5,176‌
5,103‌
1
Month
USD
LIBOR
+
3.75%
6.62%,
01/15/2024
(m)
2,425‌
2,437‌
Intrado
Corp
5.10%,
10/10/2024
(m)
337‌
264‌
3
Month
USD
LIBOR
+
3.50%
5.64%,
10/10/2024
(m)
1,053‌
834‌
3
Month
USD
LIBOR
+
4.00%
Iridium
Satellite
LLC
5.35%,
10/16/2026
(m)
2,607‌
2,603‌
1
Month
USD
LIBOR
+
3.75%
Maxar
Technologies
Ltd
4.36%,
10/05/2024
(m)
1,894‌
1,775‌
3
Month
USD
LIBOR
+
2.75%
MLN
US
Holdco
LLC
6.16%,
11/30/2025
(m)
748‌
704‌
3
Month
USD
LIBOR
+
4.50%
Plantronics
Inc
4.10%,
06/02/2025
(m)
1,544‌
1,412‌
3
Month
USD
LIBOR
+
2.50%
Sprint
Communications
Inc
4.13%,
02/02/2024
(m)
4,315‌
4,272‌
1
Month
USD
LIBOR
+
2.50%
4.62%,
02/02/2024
(m)
2,475‌
2,453‌
3
Month
USD
LIBOR
+
3.00%
Windstream
Services
LLC
4.11%,
03/08/2021
(m)
1,000‌
999‌
3
Month
USD
LIBOR
+
2.50%
Zayo
Group
Holdings
0.00%,
02/19/2027
(m),(n)
1,500‌
1,463‌
1
Month
USD
LIBOR
+
3.00%
$
49,699‌
Transportation
-
0.19%
American
Commercial
9.00%,
02/11/2027
(i),(m)
24‌
23‌
1
Month
USD
LIBOR
+
7.00%
CEVA
Logistics
Finance
BV
6.94%,
08/04/2025
(m)
737‌
545‌
3
Month
USD
LIBOR
+
5.00%
Commercial
Barge
Line
Co
0.00%,
11/12/2020
(e),(m)
519‌
176‌
3
Month
USD
LIBOR
+
8.75%
Genesee
&
Wyoming
Inc
3.96%,
11/06/2026
(m)
3,000‌
2,980‌
1
Month
USD
LIBOR
+
2.00%
HGIM
Corp
7.71%,
07/02/2023
(m)
1,282‌
937‌
3
Month
USD
LIBOR
+
6.00%
Savage
Enterprises
0.00%,
08/01/2025
(m),(n)
1,408‌
1,403‌
1
Month
USD
LIBOR
+
3.00%
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
63
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Transportation
(continued)
XPO
Logistics
Inc
3.61%,
02/24/2025
(m)
$
1,144‌
$
1,129‌
3
Month
USD
LIBOR
+
2.00%
$
7,193‌
TOTAL
SENIOR
FLOATING
RATE
INTERESTS
$
590,912‌
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
-
17.93%
Principal
Amount
(000's)
Value
(000's)
U.S.
Treasury
-
3.03%
1.13%,
04/30/2020
$
2,000‌
$
1,999‌
1.65%,
04/30/2021
(l)
15,000‌
15,005‌
US
Treasury
3
Month
Bill
Money
Market
Yield
+
0.28%
1.73%,
07/31/2021
(l),(o)
24,600‌
24,649‌
US
Treasury
3
Month
Bill
Money
Market
Yield
+
0.22%
1.75%,
12/31/2020
(l)
7,000‌
7,035‌
1.81%,
10/31/2021
(l),(p)
48,000‌
48,180‌
US
Treasury
3
Month
Bill
Money
Market
Yield
+
0.60%
2.50%,
06/30/2020
(l)
15,000‌
15,057‌
$
111,925‌
U.S.
Treasury
Bill
-
0.68%
1.57%,
03/17/2020
(l),(q)
25,000‌
24,985‌
U.S.
Treasury
Inflation-Indexed
Obligations
-
14.22%
0.13%,
01/15/2022
19,861‌
20,009‌
0.13%,
04/15/2022
25,082‌
25,272‌
0.13%,
07/15/2022
23,018‌
23,352‌
0.13%,
01/15/2023
18,998‌
19,247‌
0.13%,
07/15/2024
17,701‌
18,164‌
0.13%,
07/15/2026
23,802‌
24,612‌
0.13%,
01/15/2030
10,892‌
11,386‌
0.25%,
01/15/2025
23,573‌
24,322‌
0.25%,
07/15/2029
8,429‌
8,899‌
0.25%,
02/15/2050
2,134‌
2,210‌
0.38%,
07/15/2023
18,530‌
19,049‌
0.38%,
07/15/2025
(p)
24,613‌
25,717‌
0.38%,
01/15/2027
15,552‌
16,314‌
0.38%,
07/15/2027
18,862‌
19,912‌
0.50%,
01/15/2028
20,681‌
22,009‌
0.63%,
07/15/2021
5,116‌
5,191‌
0.63%,
04/15/2023
18,552‌
19,081‌
0.63%,
01/15/2024
18,096‌
18,793‌
0.63%,
01/15/2026
23,649‌
25,020‌
0.63%,
02/15/2043
9,327‌
10,473‌
0.75%,
07/15/2028
18,082‌
19,772‌
0.75%,
02/15/2042
8,417‌
9,673‌
0.75%,
02/15/2045
10,511‌
12,200‌
0.88%,
01/15/2029
(p)
20,447‌
22,600‌
0.88%,
02/15/2047
7,228‌
8,724‌
1.00%,
02/15/2046
7,229‌
8,897‌
1.00%,
02/15/2048
7,539‌
9,417‌
1.00%,
02/15/2049
7,863‌
9,902‌
1.38%,
02/15/2044
7,029‌
9,183‌
1.66%,
01/31/2022
5,000‌
4,999‌
US
Treasury
3
Month
Bill
Money
Market
Yield
+
0.15%
1.75%,
01/15/2028
3,139‌
3,647‌
2.00%,
01/15/2026
7,827‌
8,920‌
2.13%,
02/15/2040
3,366‌
4,791‌
2.13%,
02/15/2041
5,000‌
7,195‌
2.38%,
01/15/2025
2,335‌
2,652‌
2.38%,
01/15/2027
7,341‌
8,722‌
2.50%,
01/15/2029
4,215‌
5,270‌
3.38%,
04/15/2032
3,252‌
4,681‌
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
U.S.
Treasury
Inflation-Indexed
Obligations
(continued)
3.63%,
04/15/2028
$
3,586‌
$
4,729‌
$
525,006‌
TOTAL
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
$
661,916‌
TOTAL
PURCHASED
OPTIONS
-
0.01%
$
444‌
TOTAL
PURCHASED
INTEREST
RATE
SWAPTIONS
-
0.06%
$
2,314‌
TOTAL
PURCHASED
CAPPED
OPTIONS
-
0.00%
76‌
Total
Investments
$
3,724,80
9‌
Other
Assets
and
Liabilities
-  (0.90)%
(33,09
1‌
)
TOTAL
NET
ASSETS
-
100.00%
$
3,691,718‌
(a)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
(b)
Current
yield
shown
is
as
of
period
end.
(c)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$9,826
or
0.27%
of
net
assets.
(d)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(e)
Non-income
producing
security
(f)
Restricted
Security.
Please
see
Restricted
Security
Sub-Schedule
for
more
information.
(g)
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
$179,168
or
4.85%
of
net
assets.
(h)
The
value
of
these
investments
was
determined
using
significant
unobservable
inputs.
(i)
Fair
value
of
these
investments
is
determined
in
good
faith
by
the
Manager
under
procedures
established
and
periodically
reviewed
by
the
Board
of
Directors.
Certain
inputs
used
in
the
valuation
may
be
unobservable;
however,
each
security
is
evaluated
individually
for
purposes
of
ASC
820
which
results
in
not
all
securities
being
identified
as
Level
3
of
the
fair
value
hierarchy.
At
the
end
of
the
period,
the
fair
value
of
these
securities
totaled
$1,586
or
0.04%
of
net
assets.
(j)
Security
is
an
Interest
Only
Strip.
(k)
Certain
variable
rate
securities
are
not
based
on
a
published
reference
rate
and
spread
but
are
determined
by
the
issuer
or
agent
and
are
based
on
current
market
conditions.  These
securities
do
not
indicate
a
reference
rate
and
spread
in
their
description.
Rate
shown
is
the
rate
in
effect
as
of
period
end.
(l)
All
or
a
portion
of
this
security
is
owned
by
the
DRA
Cayman
Corporation,
which
is
a
100%
owned
subsidiary
of
the
fund.
(m)
Rate
information
disclosed
is
based
on
an
average
weighted
rate
of
the
underlying
tranches
as
of
period
end.
(n)
This
Senior
Floating
Rate
Note
will
settle
after
February
29,
2020,
at
which
time
the
interest
rate
will
be
determined.
(o)
Security
or
a
portion
of
the
security
was
pledged
to
cover
margin
requirements
for
futures
contracts.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$24,649
or
0.67%
of
net
assets.
(p)
Security
or
a
portion
of
the
security
was
pledged
to
cover
margin
requirements
for
swap
and/or
swaption
contracts.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$8,810
or
0.24%
of
net
assets.
(q)
Rate
shown
is
the
discount
rate
of
the
original
purchase.
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
64
Portfolio
Summary  (unaudited)
Sector
Percent
Government
24.49‌%
Utilities
14.08‌%
Financial
11.48‌%
Energy
10.53‌%
Basic
Materials
8.25‌%
Industrial
7.09‌%
Consumer,
Non-cyclical
7.04‌%
Mortgage
Securities
4.12‌%
Consumer,
Cyclical
3.84‌%
Communications
3.29‌%
Money
Market
Funds
3.23‌%
Technology
3.12‌%
Investment
Companies
0.22‌%
Purchased
Interest
Rate
Swaptions
0.06‌%
Diversified
0.05‌%
Purchased
Options
0.01‌%
Purchased
Capped
Options
0.00‌%
Other
Assets
and
Liabilities
(0.90‌)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
February
29,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
1.43%
$
115,751‌
$
1,461,60
5‌
$
1,461,899‌
$
115,45
7‌
$
115,751‌
$
1,461,60
5‌
$
1,461,899‌
$
115,45
7‌
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/Loss
Principal
Government
Money
Market
Fund
1.43%
$
1,063‌
$
—‌
$
—‌
$
—‌
$
1,063‌
$
—‌
$
—‌
$
—‌
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Restricted
Securities
Security
Name
Acquisition
Date
Cost
Value
Percent
of
Net
Assets
Advanz
Pharma
Corp
Ltd
08/08/2018
$
311‌
$
101‌
0.00%
Fieldwood
Energy
LLC
04/05/2018
273‌
126‌
0.00%
Gymboree
Corp/The
08/18/2017
223‌
9‌
0.00%
Millennium
Health
LLC
12/21/2015
206‌
1‌
0.00%
Millennium
Health
LLC
03/15/2016
—‌
22‌
0.00%
Millennium
Health
LLC
03/15/2016
—‌
19‌
0.00%
Total
$
278‌
0.00%
Amounts
in
thousands.
Purchased
Capped
Options
Description
Counterparty
Range
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
5Y-30Y
CMS
Index
Cap
Barclays
Bank
PLC
Max
(0,
5Y
CMS-0.30%)
Receive
$
38,200‌
0.30%
02/15/2022
$
68‌
$
71‌
$
3‌
Call
-
5Y-30Y
CMS
Index
Floor
Deutsche
Bank
AG
Max
(0,
5Y
CMS-0.35%)
Receive
8,300‌
0.35%
07/09/2020
7‌
2‌
(5‌)
Call
-
5Y-30Y
CMS
Index
Floor
JPMorgan
Chase
Max
(0,
5Y
CMS-0.40%)
Receive
8,190‌
0.40%
06/30/2020
6‌
3‌
(3‌)
Total
$
81‌
$
76‌
$
(5‌)
Written
Capped
Options
Description
Counterparty
Range
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
5Y-30Y
CMS
Index
Floor
Deutsche
Bank
AG
Max
(0,
5Y
CMS-0.25%)
Pay
$
16,610‌
0.25%
07/09/2020
$
(8‌)
$
(1‌)
$
7‌
Put
-
5Y-30Y
CMS
Index
Floor
JPMorgan
Chase
Max
(0,
5Y
CMS-0.30%)
Pay
16,380‌
0.30%
06/30/2020
(8‌)
(1‌)
7‌
Total
$
(16‌)
$
(2‌)
$
14‌
Amounts
in
thousands.
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
65
Options
Purchased
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
EUR
versus
GBP
JPMorgan
Chase
1
EUR
5,095‌
EUR
0.88‌
08/06/2020
$
34‌
$
68‌
$
34‌
Call
-
GBP
versus
USD
Citigroup
Inc
1
GBP
3,790‌
GBP
1.35‌
05/04/2020
84‌
3‌
(81‌)
Call
-
90
Day
Eurodollar
Future;
December
2021
N/A
186‌
$
465‌
$
99.75‌
12/14/2021
33‌
40‌
7‌
Call
-
90
Day
Eurodollar
Future;
March
2020
N/A
122‌
305‌
$
97.75‌
03/17/2020
21‌
272‌
251‌
Call
-
US
10
Year
Note
Future;
June
2020
N/A
19‌
19‌
$
133.00‌
04/27/2020
18‌
45‌
27‌
Put
-
90
Day
Eurodollar
Future;
June
2022
N/A
51‌
128‌
$
98.25‌
06/15/2020
12‌
1‌
(11‌)
Put
-
US
10
Year
Note
Future;
June
2020
N/A
15‌
15‌
$
134.00‌
04/27/2020
16‌
15‌
(1‌)
Put
-
US
10
Year
Note
Future;
June
2020
N/A
10‌
10‌
$
128.50‌
03/30/2020
4‌
—‌
(4‌)
Put
-
US
10
Year
Note
Future;
June
2020
N/A
6‌
6‌
$
128.00‌
03/30/2020
2‌
—‌
(2‌)
Total
$
224‌
$
444‌
$
220‌
Written
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
GBP
versus
USD
Deutsche
Bank
AG
1
GBP
3,790‌
GBP
1.35‌
05/04/2020
$
(48‌)
$
(3‌)
$
45‌
Call
-
90
Day
Eurodollar
Future;
December
2021
N/A
93‌
$
233‌
$
99.38‌
12/14/2021
(41‌)
(55‌)
(14‌)
Call
-
90
Day
Eurodollar
Future;
March
2020
N/A
27‌
68‌
$
97.88‌
03/17/2020
(4‌)
(52‌)
(48‌)
Call
-
US
10
Year
Note
Future;
June
2020
N/A
19‌
19‌
$
134.00‌
04/27/2020
(11‌)
(33‌)
(22‌)
Total
$
(104‌)
$
(143‌)
$
(39‌)
Amounts
in
thousands
except
contracts/shares.
Interest
Rate
Swaptions
Purchased
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
$
4,560‌
2.10%
05/14/2020
$
29‌
$
50‌
$
21‌
Call
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
9,290‌
1.77%
11/06/2024
50‌
88‌
38‌
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
560‌
3.08%
01/30/2029
32‌
91‌
59‌
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,120‌
1.50%
02/26/2025
59‌
68‌
9‌
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,490‌
3.09%
12/07/2038
69‌
241‌
172‌
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
560‌
3.05%
01/11/2029
32‌
90‌
58‌
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,956‌
2.98%
03/08/2024
89‌
318‌
229‌
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,330‌
2.95%
03/13/2024
60‌
213‌
153‌
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,760‌
1.46%
08/17/2021
63‌
85‌
22‌
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
2,440‌
1.23%
08/28/2020
47‌
67‌
20‌
Call
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
1,700‌
1.20%
03/01/2022
60‌
60‌
—‌
Call
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
410‌
2.99%
04/28/2038
19‌
64‌
45‌
Call
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
130‌
2.86%
02/23/2039
6‌
19‌
13‌
Call
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
560‌
3.04%
01/12/2029
32‌
89‌
57‌
Call
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
6,176‌
1.50%
06/02/2020
19‌
76‌
57‌
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
66
Interest
Rate
Swaptions
(continued)
Purchased
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
16,130‌
1.20%
09/24/2020
$
51‌
$
137‌
$
86‌
Call
-
2
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
11,430‌
1.25%
08/11/2020
55‌
101‌
46‌
Call
-
20
Year
Interest
Rate
Swap
JPMorgan
Chase
6
Month
JPY
LIBOR
Receive
JPY
39,560‌
0.78%
04/19/2021
12‌
51‌
39‌
Put
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
$
4,560‌
2.10%
05/14/2020
2‌
—‌
(2‌)
Put
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
9,290‌
1.77%
11/06/2024
50‌
26‌
(24‌)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,120‌
1.72%
05/20/2020
19‌
2‌
(17‌)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,120‌
1.50%
02/26/2025
58‌
50‌
(8‌)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,490‌
3.09%
12/07/2038
69‌
40‌
(29‌)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
560‌
3.05%
01/11/2029
32‌
10‌
(22‌)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
3,280‌
2.35%
07/14/2020
12‌
1‌
(11‌)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
560‌
3.08%
01/30/2029
32‌
10‌
(22‌)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,760‌
1.46%
08/17/2021
62‌
32‌
(30‌)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,956‌
2.98%
03/08/2024
90‌
13‌
(77‌)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,330‌
2.95%
03/13/2024
60‌
9‌
(51‌)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,390‌
2.25%
08/09/2022
33‌
12‌
(21‌)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
JPY
LIBOR
Pay
JPY
758,545‌
1.10%
06/30/2022
103‌
4‌
(99‌)
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
$
2,440‌
1.23%
08/28/2020
47‌
35‌
(12‌)
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
1,700‌
1.20%
03/01/2022
60‌
60‌
—‌
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
130‌
2.86%
02/23/2039
6‌
4‌
(2‌)
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
410‌
2.99%
04/28/2038
19‌
12‌
(7‌)
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
2,010‌
2.25%
08/03/2022
55‌
17‌
(38‌)
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
1,330‌
2.50%
06/21/2024
54‌
18‌
(36‌)
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
560‌
3.04%
01/12/2029
32‌
10‌
(22‌)
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
1,960‌
2.50%
06/14/2024
88‌
26‌
(62‌)
Put
-
20
Year
Interest
Rate
Swap
JPMorgan
Chase
6
Month
JPY
LIBOR
Receive
JPY
39,560‌
0.78%
04/19/2021
12‌
—‌
(12‌)
Put
-
30
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
$
2,210‌
2.85%
05/10/2022
129‌
14‌
(115‌)
Put
-
30
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,390‌
3.80%
06/08/2021
55‌
1‌
(54‌)
Total
$
1,963‌
$
2,314‌
$
351‌
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
$
9,290‌
1.58%
11/06/2020
$
(22‌)
$
(68‌)
$
(46‌)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
2,170‌
1.25%
08/20/2020
(38‌)
(62‌)
(24‌)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,590‌
3.05%
03/13/2029
(84‌)
(254‌)
(170‌)
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
67
Interest
Rate
Swaptions
(continued)
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
$
1,950‌
1.65%
01/11/2022
$
(45‌)
$
(120‌)
$
(75‌)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
2,420‌
1.74%
11/20/2020
(59‌)
(160‌)
(101‌)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,950‌
1.60%
01/07/2022
(45‌)
(114‌)
(69‌)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,040‌
1.64%
11/03/2020
(26‌)
(60‌)
(34‌)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,050‌
1.62%
11/03/2020
(26‌)
(59‌)
(33‌)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
2,610‌
2.20%
06/12/2020
(56‌)
(279‌)
(223‌)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,010‌
1.62%
09/15/2020
(25‌)
(55‌)
(30‌)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
2,464‌
2.79%
03/09/2021
(74‌)
(393‌)
(319‌)
Call
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
1,760‌
1.42%
08/18/2020
(46‌)
(69‌)
(23‌)
Call
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
2,180‌
1.20%
08/18/2020
(41‌)
(56‌)
(15‌)
Call
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
1,760‌
1.45%
01/31/2022
(41‌)
(87‌)
(46‌)
Call
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
5,728‌
1.53%
12/14/2020
(27‌)
(82‌)
(55‌)
Call
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
12,356‌
1.00%
06/02/2020
(17‌)
(58‌)
(41‌)
Call
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
32,250‌
0.70%
09/24/2020
(35‌)
(107‌)
(72‌)
Call
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
1,750‌
2.94%
04/20/2020
(12‌)
(69‌)
(57‌)
Call
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
7,480‌
2.89%
04/15/2020
(54‌)
(290‌)
(236‌)
Call
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
7,470‌
2.88%
04/15/2020
(54‌)
(288‌)
(234‌)
Call
-
2
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Receive
22,860‌
0.75%
08/11/2020
(44‌)
(76‌)
(32‌)
Call
-
2
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Receive
5,725‌
1.51%
12/15/2020
(28‌)
(80‌)
(52‌)
Call
-
30
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
410‌
1.91%
11/30/2026
(53‌)
(93‌)
(40‌)
Call
-
30
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
2,350‌
1.39%
08/24/2020
(75‌)
(164‌)
(89‌)
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
EUR
10,415‌
0.29%
08/21/2020
(50‌)
(77‌)
(27‌)
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
1,023‌
0.14%
09/13/2022
(15‌)
(17‌)
(2‌)
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
$
3,300‌
1.25%
03/01/2022
(59‌)
(80‌)
(21‌)
Call
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Receive
EUR
1,020‌
0.04%
09/14/2022
(16‌)
(21‌)
(5‌)
Put
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
27,720‌
2.15%
05/28/2021
(78‌)
(2‌)
76‌
Put
-
1
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
20,360‌
2.35%
05/18/2021
(42‌)
(1‌)
41‌
Put
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
25,890‌
2.31%
04/07/2020
(55‌)
—‌
55‌
Put
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
25,890‌
2.33%
04/07/2020
(56‌)
—‌
56‌
Put
-
1
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
9,290‌
1.58%
11/06/2020
(22‌)
(2‌)
20‌
Put
-
1
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
34,330‌
2.40%
06/02/2021
(62‌)
(1‌)
61‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
2,464‌
2.79%
03/09/2021
(73‌)
(1‌)
72‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,950‌
2.15%
01/11/2022
(46‌)
(13‌)
33‌
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
68
Interest
Rate
Swaptions
(continued)
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
1,950‌
2.10%
01/07/2022
$
(45‌)
$
(14‌)
$
31‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,590‌
3.05%
03/13/2029
(84‌)
(29‌)
55‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,300‌
1.85%
02/23/2022
(23‌)
(16‌)
7‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,960‌
2.30%
06/16/2020
(28‌)
(1‌)
27‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,760‌
1.42%
08/18/2020
(45‌)
(14‌)
31‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,010‌
1.62%
09/15/2020
(25‌)
(5‌)
20‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
2,610‌
2.20%
06/12/2020
(57‌)
(1‌)
56‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,640‌
1.95%
07/14/2020
(18‌)
(2‌)
16‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
2,170‌
1.65%
08/20/2020
(38‌)
(9‌)
29‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,300‌
1.85%
02/23/2022
(23‌)
(16‌)
7‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,040‌
1.64%
11/03/2020
(25‌)
(6‌)
19‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
2,420‌
1.74%
11/20/2020
(58‌)
(12‌)
46‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
2,000‌
1.76%
09/17/2020
(51‌)
(7‌)
44‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,050‌
1.62%
11/03/2020
(26‌)
(7‌)
19‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
560‌
2.35%
07/13/2020
(6‌)
—‌
6‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,390‌
3.25%
08/09/2022
(8‌)
(2‌)
6‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,090‌
2.00%
08/04/2020
(16‌)
(1‌)
15‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
1,390‌
2.75%
08/09/2022
(17‌)
(5‌)
12‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
2,010‌
2.30%
07/27/2020
(26‌)
(1‌)
25‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
4,810‌
2.75%
05/10/2022
(140‌)
(14‌)
126‌
Put
-
10
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
2,930‌
3.87%
06/08/2021
(57‌)
—‌
57‌
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
5,215‌
0.18%
07/17/2020
(71‌)
(16‌)
55‌
Put
-
10
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Pay
$
560‌
2.35%
07/13/2020
(5‌)
—‌
5‌
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
2,010‌
3.25%
08/03/2022
(13‌)
(3‌)
10‌
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
2,180‌
1.60%
08/18/2020
(40‌)
(10‌)
30‌
Put
-
10
Year
Interest
Rate
Swap
JPMorgan
Chase
3
Month
USD
LIBOR
Pay
2,010‌
2.75%
08/03/2022
(27‌)
(7‌)
20‌
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,960‌
3.50%
06/14/2024
(33‌)
(8‌)
25‌
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,730‌
2.25%
08/21/2024
(52‌)
(33‌)
19‌
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,760‌
1.95%
01/31/2022
(41‌)
(17‌)
24‌
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,330‌
3.00%
06/21/2024
(33‌)
(10‌)
23‌
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,330‌
3.50%
06/21/2024
(19‌)
(5‌)
14‌
Put
-
10
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
1,960‌
3.00%
06/14/2024
(53‌)
(14‌)
39‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
2,400‌
0.00%
06/28/2021
(5‌)
(1‌)
4‌
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
69
Interest
Rate
Swaptions
(continued)
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
$
8,350‌
3.50%
08/25/2020
$
(28‌)
$
—‌
$
28‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
4,950‌
0.11%
05/18/2021
(16‌)
(1‌)
15‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
7,830‌
0.16%
04/13/2021
(27‌)
(1‌)
26‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
7,830‌
0.10%
04/13/2021
(26‌)
(1‌)
25‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Receive
$
2,400‌
3.25%
12/30/2020
(9‌)
—‌
9‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
5,880‌
0.15%
08/10/2021
(8‌)
(6‌)
2‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
5,728‌
1.53%
12/14/2020
(28‌)
(4‌)
24‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
8,490‌
0.25%
09/07/2021
(14‌)
(14‌)
—‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
3,330‌
0.15%
08/10/2021
(4‌)
(3‌)
1‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
11,740‌
2.00%
11/30/2020
(16‌)
(1‌)
15‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
2,500‌
0.05%
07/06/2021
(5‌)
(1‌)
4‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
4,870‌
0.05%
06/11/2021
(13‌)
(2‌)
11‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,570‌
0.00%
06/22/2021
(6‌)
(1‌)
5‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,200‌
0.00%
06/21/2021
(5‌)
(1‌)
4‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,130‌
0.00%
06/15/2021
(6‌)
(1‌)
5‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,190‌
0.00%
06/15/2021
(6‌)
(1‌)
5‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
10,110‌
0.10%
03/30/2021
(36‌)
(2‌)
34‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,570‌
0.00%
07/02/2021
(5‌)
(1‌)
4‌
Put
-
2
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
2,630‌
0.00%
07/20/2021
(4‌)
(1‌)
3‌
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
$
1,750‌
2.94%
04/20/2020
(12‌)
—‌
12‌
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
7,470‌
2.88%
04/15/2020
(54‌)
—‌
54‌
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
3,580‌
3.50%
06/16/2020
(13‌)
—‌
13‌
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
5,640‌
3.45%
06/09/2020
(24‌)
—‌
24‌
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
4,030‌
2.90%
06/01/2020
(30‌)
—‌
30‌
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
5,660‌
3.35%
06/01/2020
(21‌)
—‌
21‌
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
4,100‌
3.15%
05/06/2020
(23‌)
—‌
23‌
Put
-
2
Year
Interest
Rate
Swap
Deutsche
Bank
AG
3
Month
USD
LIBOR
Receive
7,480‌
2.89%
04/15/2020
(54‌)
—‌
54‌
Put
-
2
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
7,790‌
0.15%
04/20/2021
(28‌)
(1‌)
27‌
Put
-
2
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
6
Month
Euro
Interbank
Offered
Rate
Pay
3,140‌
0.08%
06/01/2021
(9‌)
(1‌)
8‌
Put
-
2
Year
Interest
Rate
Swap
Morgan
Stanley
&
Co
3
Month
USD
LIBOR
Pay
$
5,725‌
1.51%
12/15/2020
(27‌)
(4‌)
23‌
Put
-
30
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
410‌
1.91%
11/30/2026
(53‌)
(34‌)
19‌
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
3,140‌
0.00%
07/28/2020
(9‌)
(2‌)
7‌
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
1,020‌
0.04%
09/14/2022
(16‌)
(11‌)
5‌
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
70
Interest
Rate
Swaptions
(continued)
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
EUR
10,415‌
0.29%
08/21/2020
$
(50‌)
$
(42‌)
$
8‌
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
6
Month
Euro
Interbank
Offered
Rate
Pay
1,023‌
0.14%
09/13/2022
(15‌)
(13‌)
2‌
Put
-
5
Year
Interest
Rate
Swap
Barclays
Bank
PLC
3
Month
USD
LIBOR
Pay
$
3,300‌
1.25%
03/01/2022
(58‌)
(42‌)
16‌
Total
$
(3,567‌)
$
(3,836‌)
$
(269‌)
Amounts
in
thousands.
Futures
Contracts
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
90
Day
Eurodollar;
June
2022
Long
16‌
$
3,966‌
$
29‌
90
Day
Eurodollar;
March
2020
Short
95‌
23,427‌
(182‌)
Brent
Crude;
May
2020
(a)
Long
173‌
8,593‌
(2,378‌)
Canada
10
Year
Bond;
June
2020
Long
155‌
16,481‌
134‌
Cocoa;
May
2020
(a)
Long
365‌
9,753‌
(791‌)
Coffee
'C';
May
2020
(a)
Long
459‌
19,166‌
863‌
Copper;
May
2020
(a)
Long
148‌
9,398‌
(209‌)
Corn;
May
2020
(a)
Short
33‌
608‌
27‌
Cotton
No.2;
May
2020
(a)
Short
262‌
8,055‌
660‌
Euro
Bond
10
Year
Bond;
March
2020
Short
63‌
12,342‌
(226‌)
Euro
Schatz;
March
2020
Long
536‌
66,459‌
177‌
Euro-Bobl
5
Year;
March
2020
Short
79‌
11,831‌
(90‌)
Euro-BTP;
March
2020
Short
53‌
8,528‌
(135‌)
Feeder
Cattle;
May
2020
(a)
Short
199‌
13,286‌
222‌
Gasoline
RBOB;
May
2020
(a)
Long
210‌
13,028‌
(2,315‌)
Gold
100
oz;
April
2020
(a)
Long
122‌
19,114‌
(573‌)
Japan
10
Year
Bond
TSE;
March
2020
Long
7‌
9,999‌
63‌
KC
HRW
Wheat;
May
2020
(a)
Short
375‌
8,498‌
415‌
Lean
Hogs;
April
2020
(a)
Short
464‌
11,558‌
1,056‌
Live
Cattle;
April
2020
(a)
Long
292‌
12,565‌
(1,893‌)
Live
Cattle;
June
2020
(a)
Long
70‌
2,834‌
(280‌)
LME
Lead;
March
2020
(a)
Short
—‌
—‌
(870‌)
LME
Lead;
May
2020
(a)
Long
59‌
2,728‌
26‌
LME
Nickel;
June
2020
(a)
Short
24‌
1,768‌
(525‌)
LME
Nickel;
March
2020
(a)
Short
—‌
—‌
(122‌)
LME
PRI
Alum;
June
2020
(a)
Long
304‌
12,918‌
(1‌)
LME
PRI
Alum;
March
2020
(a)
Short
—‌
—‌
(157‌)
LME
Zinc;
June
2020
(a)
Short
59‌
2,981‌
(2,352‌)
LME
Zinc;
March
2020
(a)
Short
—‌
—‌
(2,023‌)
Low
Sulphur
Gasoline;
May
2020
(a)
Long
133‌
5,849‌
(883‌)
Natural
Gas;
May
2020
(a)
Short
254‌
4,399‌
93‌
NY
Harb
ULSD;
May
2020
(a)
Long
286‌
17,688‌
(2,234‌)
Palladium;
June
2020
(a)
Long
27‌
6,726‌
491‌
Palladium;
September
2020
(a)
Short
34‌
8,423‌
264‌
Platinum;
April
2020
(a)
Long
359‌
15,521‌
(1,584‌)
Silver;
May
2020
(a)
Long
101‌
8,311‌
(873‌)
Soybean
Meal;
May
2020
(a)
Short
488‌
14,913‌
(464‌)
Soybean
Oil;
May
2020
(a)
Short
328‌
5,644‌
265‌
Soybean;
May
2020
(a)
Long
482‌
21,515‌
(51‌)
Sugar
#11;
May
2020
(a)
Long
616‌
9,755‌
(327‌)
US
10
Year
Note;
June
2020
Short
147‌
19,808‌
(268‌)
US
10
Year
Ultra
Note;
June
2020
Short
202‌
30,344‌
(571‌)
US
2
Year
Note;
June
2020
Long
290‌
63,315‌
316‌
US
5
Year
Note;
June
2020
Long
206‌
25,286‌
242‌
US
Long
Bond;
June
2020
Short
18‌
3,065‌
(113‌)
US
Ultra
Bond;
June
2020
Long
7‌
1,452‌
65‌
Wheat;
May
2020
(a)
Long
3‌
79‌
(5‌)
WTI
Crude;
May
2020
(a)
Short
53‌
2,382‌
362‌
Total
$
(16,725‌)
Amounts
in
thousands
except
contracts.
(a)
All
or
a
portion
of
this
security
is
owned
by
the
DRA
Cayman
Corporation,
which
is
a
100%
owned
subsidiary
of
the
fund.
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
71
Foreign
Currency
Contracts
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
ANZ
Stockbroking
03/04/2020
$
30‌
NZD
48‌
$
—‌
$
—‌
Bank
of
America
NA
03/04/2020
$
10,098‌
EUR
9,145‌
2‌
—‌
Bank
of
America
NA
03/04/2020
EUR
2,637‌
$
2,901‌
10‌
—‌
Bank
of
America
NA
03/18/2020
AUD
1,725‌
$
1,162‌
—‌
(38‌)
Bank
of
America
NA
03/18/2020
GBP
470‌
$
611‌
—‌
(8‌)
Bank
of
America
NA
03/18/2020
CAD
3,320‌
$
2,540‌
—‌
(66‌)
Bank
of
America
NA
03/18/2020
$
557‌
CAD
742‌
4‌
—‌
Bank
of
America
NA
03/18/2020
$
5,985‌
CAD
8,052‌
—‌
(15‌)
Bank
of
America
NA
03/18/2020
EUR
980‌
$
1,096‌
—‌
(13‌)
Bank
of
America
NA
03/18/2020
$
551‌
EUR
510‌
—‌
(13‌)
Bank
of
America
NA
03/18/2020
$
482‌
EUR
430‌
7‌
—‌
Bank
of
America
NA
03/18/2020
$
1,169‌
JPY
127,103‌
—‌
(11‌)
Bank
of
America
NA
03/18/2020
JPY
311,291‌
$
2,826‌
63‌
—‌
Bank
of
America
NA
04/03/2020
$
2,906‌
EUR
2,637‌
—‌
(10‌)
Barclays
Bank
PLC
03/18/2020
$
540‌
EUR
490‌
—‌
(1‌)
BMO
Capital
Markets
03/18/2020
$
562‌
AUD
830‌
21‌
—‌
BMO
Capital
Markets
03/18/2020
CAD
1,490‌
$
1,121‌
—‌
(11‌)
BNP
Paribas
03/04/2020
$
602‌
CAD
796‌
9‌
—‌
BNP
Paribas
03/18/2020
CAD
1,119‌
$
840‌
—‌
(7‌)
BNP
Paribas
03/18/2020
EUR
555‌
$
607‌
6‌
—‌
BNP
Paribas
04/03/2020
EUR
324‌
$
356‌
2‌
—‌
CIBC
World
Markets
03/04/2020
$
1,313‌
JPY
143,862‌
—‌
(21‌)
Citigroup
Inc
03/18/2020
CAD
371‌
$
280‌
—‌
(3‌)
Citigroup
Inc
03/18/2020
$
600‌
CAD
798‌
6‌
—‌
Citigroup
Inc
03/18/2020
EUR
510‌
$
558‌
6‌
—‌
Citigroup
Inc
03/18/2020
$
1,118‌
JPY
122,655‌
—‌
(20‌)
Deutsche
Bank
AG
04/03/2020
$
167‌
GBP
131‌
—‌
(1‌)
Deutsche
Bank
AG
04/03/2020
$
273‌
CAD
367‌
—‌
—‌
Goldman
Sachs
&
Co
03/18/2020
AUD
2,018‌
$
1,382‌
—‌
(67‌)
Goldman
Sachs
&
Co
03/18/2020
$
1,382‌
CAD
1,815‌
30‌
—‌
Goldman
Sachs
&
Co
03/18/2020
CAD
3,048‌
$
2,300‌
—‌
(29‌)
HSBC
Securities
Inc
03/04/2020
EUR
5,427‌
$
5,958‌
33‌
—‌
HSBC
Securities
Inc
03/04/2020
$
17,772‌
JPY
1,933,612‌
—‌
(156‌)
HSBC
Securities
Inc
03/04/2020
$
3,186‌
NZD
4,897‌
125‌
—‌
HSBC
Securities
Inc
03/18/2020
AUD
860‌
$
601‌
—‌
(41‌)
HSBC
Securities
Inc
03/18/2020
$
590‌
AUD
860‌
30‌
—‌
HSBC
Securities
Inc
03/18/2020
CAD
1,108‌
$
840‌
—‌
(14‌)
HSBC
Securities
Inc
03/18/2020
EUR
490‌
$
545‌
—‌
(4‌)
HSBC
Securities
Inc
03/18/2020
$
602‌
JPY
65,061‌
—‌
(2‌)
HSBC
Securities
Inc
03/18/2020
JPY
64,368‌
$
590‌
7‌
—‌
HSBC
Securities
Inc
04/03/2020
$
5,969‌
EUR
5,427‌
—‌
(33‌)
Morgan
Stanley
&
Co
03/04/2020
$
188‌
EUR
169‌
1‌
—‌
Morgan
Stanley
&
Co
03/04/2020
NZD
4,946‌
$
3,131‌
—‌
(39‌)
Morgan
Stanley
&
Co
03/18/2020
AUD
830‌
$
581‌
—‌
(40‌)
Morgan
Stanley
&
Co
03/18/2020
$
573‌
AUD
830‌
32‌
—‌
Morgan
Stanley
&
Co
03/18/2020
CAD
7,816‌
$
5,938‌
—‌
(114‌)
Morgan
Stanley
&
Co
03/18/2020
$
581‌
CAD
754‌
19‌
—‌
Morgan
Stanley
&
Co
03/18/2020
$
612‌
EUR
550‌
4‌
—‌
Morgan
Stanley
&
Co
03/18/2020
JPY
67,217‌
$
612‌
12‌
—‌
Morgan
Stanley
&
Co
03/18/2020
$
555‌
JPY
60,422‌
—‌
(6‌)
Morgan
Stanley
&
Co
04/03/2020
$
3,132‌
NZD
4,946‌
41‌
—‌
Standard
Chartered
Bank,
Hong
Kong
03/04/2020
JPY
2,074,872‌
$
18,838‌
400‌
—‌
Standard
Chartered
Bank,
Hong
Kong
04/03/2020
$
18,869‌
JPY
2,074,872‌
—‌
(406‌)
Westpac
Banking
Corporation
03/18/2020
$
1,365‌
AUD
2,040‌
36‌
—‌
Westpac
Banking
Corporation
03/18/2020
CAD
2,931‌
$
2,205‌
—‌
(21‌)
Total
$
906‌
$
(1,210‌)
Amounts
in
thousands.
Exchange
Cleared
Interest
Rate
Swaps
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
USD
LIBOR
Pay
1.80%
Quarterly
Semiannual
N/A
01/07/2030
$
660‌
$
44‌
$
—‌
$
44‌
3
Month
USD
LIBOR
Pay
1.70%
Quarterly
Semiannual
N/A
01/27/2030
300‌
17‌
—‌
17‌
3
Month
USD
LIBOR
Pay
1.68%
Quarterly
Semiannual
N/A
01/27/2030
300‌
17‌
—‌
17‌
3
Month
USD
LIBOR
Pay
1.69%
Quarterly
Semiannual
N/A
01/28/2030
600‌
34‌
—‌
34‌
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
72
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
USD
LIBOR
Pay
1.66%
Quarterly
Semiannual
N/A
01/28/2030
$
300‌
$
16‌
$
—‌
$
16‌
3
Month
USD
LIBOR
Pay
1.66%
Quarterly
Semiannual
N/A
01/28/2030
300‌
16‌
—‌
16‌
3
Month
USD
LIBOR
Pay
1.58%
Quarterly
Semiannual
N/A
01/29/2030
600‌
28‌
—‌
28‌
3
Month
USD
LIBOR
Pay
1.75%
Quarterly
Semiannual
N/A
01/23/2030
485‌
30‌
—‌
30‌
3
Month
USD
LIBOR
Pay
1.57%
Quarterly
Semiannual
N/A
01/29/2030
300‌
14‌
—‌
14‌
3
Month
USD
LIBOR
Pay
1.57%
Quarterly
Semiannual
N/A
04/29/2030
660‌
30‌
—‌
30‌
3
Month
USD
LIBOR
Pay
1.24%
Quarterly
Semiannual
N/A
03/02/2030
600‌
8‌
—‌
8‌
3
Month
USD
LIBOR
Pay
1.06%
Quarterly
Semiannual
N/A
03/02/2023
1,460‌
6‌
—‌
6‌
3
Month
USD
LIBOR
Receive
2.46%
Semiannual
Quarterly
N/A
02/28/2022
12,970‌
(379‌)
—‌
(379‌)
3
Month
USD
LIBOR
Pay
1.58%
Quarterly
Semiannual
N/A
01/30/2030
650‌
30‌
—‌
30‌
3
Month
USD
LIBOR
Pay
1.61%
Quarterly
Semiannual
N/A
01/30/2030
300‌
15‌
—‌
15‌
3
Month
USD
LIBOR
Pay
1.58%
Quarterly
Semiannual
N/A
01/29/2030
300‌
14‌
—‌
14‌
3
Month
USD
LIBOR
Pay
1.61%
Quarterly
Semiannual
N/A
01/30/2030
600‌
29‌
—‌
29‌
3
Month
USD
LIBOR
Pay
1.77%
Quarterly
Semiannual
N/A
01/23/2030
300‌
19‌
—‌
19‌
3
Month
USD
LIBOR
Pay
1.97%
Quarterly
Semiannual
N/A
01/10/2050
160‌
28‌
—‌
28‌
3
Month
USD
LIBOR
Pay
3.17%
Quarterly
Semiannual
N/A
10/31/2024
805‌
82‌
—‌
82‌
3
Month
USD
LIBOR
Receive
2.00%
Semiannual
Quarterly
N/A
11/07/2034
570‌
(35‌)
—‌
(35‌)
3
Month
USD
LIBOR
Receive
2.11%
Semiannual
Quarterly
N/A
11/12/2034
660‌
(48‌)
—‌
(48‌)
3
Month
USD
LIBOR
Receive
2.11%
Semiannual
Quarterly
N/A
11/15/2044
800‌
(43‌)
—‌
(43‌)
3
Month
USD
LIBOR
Pay
1.31%
Quarterly
Semiannual
N/A
02/26/2030
390‌
8‌
—‌
8‌
3
Month
USD
LIBOR
Pay
1.24%
Quarterly
Semiannual
N/A
03/02/2030
350‌
5‌
—‌
5‌
3
Month
USD
LIBOR
Pay
1.78%
Quarterly
Semiannual
N/A
01/22/2030
300‌
20‌
—‌
20‌
3
Month
USD
LIBOR
Receive
1.46%
Semiannual
Quarterly
N/A
12/01/2022
1,840‌
(22‌)
—‌
(22‌)
3
Month
USD
LIBOR
Pay
3.09%
Quarterly
Semiannual
N/A
11/29/2024
6,660‌
663‌
—‌
663‌
3
Month
USD
LIBOR
Pay
0.98%
Quarterly
Semiannual
N/A
03/02/2023
1,460‌
4‌
—‌
4‌
3
Month
USD
LIBOR
Pay
0.99%
Quarterly
Semiannual
N/A
03/02/2023
1,460‌
4‌
—‌
4‌
3
Month
USD
LIBOR
Pay
0.88%
Quarterly
Semiannual
N/A
03/02/2023
2,920‌
2‌
—‌
2‌
3
Month
USD
LIBOR
Pay
1.73%
Quarterly
Semiannual
N/A
01/08/2030
660‌
40‌
—‌
40‌
3
Month
USD
LIBOR
Receive
1.76%
Semiannual
Quarterly
N/A
07/09/2030
615‌
(39‌)
—‌
(39‌)
3
Month
USD
LIBOR
Pay
1.93%
Quarterly
Semiannual
N/A
12/01/2056
50‌
7‌
—‌
7‌
3
Month
USD
LIBOR
Receive
1.61%
Semiannual
Quarterly
N/A
11/01/2023
1,270‌
(18‌)
—‌
(18‌)
3
Month
USD
LIBOR
Pay
1.52%
Quarterly
Semiannual
N/A
02/03/2030
300‌
12‌
—‌
12‌
3
Month
USD
LIBOR
Pay
2.52%
Quarterly
Semiannual
N/A
02/28/2025
4,510‌
343‌
1‌
344‌
3
Month
USD
LIBOR
Pay
1.52%
Quarterly
Semiannual
N/A
02/20/2030
150‌
6‌
—‌
6‌
3
Month
USD
LIBOR
Pay
1.48%
Quarterly
Semiannual
N/A
02/24/2030
300‌
11‌
—‌
11‌
3
Month
USD
LIBOR
Pay
1.64%
Quarterly
Semiannual
N/A
11/15/2045
900‌
71‌
—‌
71‌
3
Month
USD
LIBOR
Pay
1.47%
Quarterly
Semiannual
N/A
02/24/2030
150‌
5‌
—‌
5‌
3
Month
USD
LIBOR
Pay
1.58%
Quarterly
Semiannual
N/A
02/15/2036
2,610‌
137‌
—‌
137‌
3
Month
USD
LIBOR
Receive
1.33%
Semiannual
Quarterly
N/A
08/31/2024
8,050‌
(138‌)
(1‌)
(139‌)
3
Month
USD
LIBOR
Pay
1.51%
Quarterly
Semiannual
N/A
02/20/2030
300‌
12‌
—‌
12‌
3
Month
USD
LIBOR
Pay
1.47%
Quarterly
Semiannual
N/A
02/24/2030
150‌
5‌
—‌
5‌
3
Month
USD
LIBOR
Receive
1.45%
Semiannual
Quarterly
N/A
11/15/2029
3,800‌
(130‌)
1‌
(129‌)
3
Month
USD
LIBOR
Pay
1.38%
Quarterly
Semiannual
N/A
02/15/2027
3,990‌
101‌
—‌
101‌
3
Month
USD
LIBOR
Pay
1.43%
Quarterly
Semiannual
N/A
02/25/2030
600‌
19‌
—‌
19‌
3
Month
USD
LIBOR
Pay
1.39%
Quarterly
Semiannual
N/A
02/25/2030
300‌
8‌
—‌
8‌
3
Month
USD
LIBOR
Pay
1.40%
Quarterly
Semiannual
N/A
02/25/2030
300‌
9‌
—‌
9‌
3
Month
USD
LIBOR
Pay
1.32%
Quarterly
Semiannual
N/A
02/26/2030
600‌
13‌
—‌
13‌
3
Month
USD
LIBOR
Pay
1.30%
Quarterly
Semiannual
N/A
02/26/2030
300‌
6‌
—‌
6‌
3
Month
USD
LIBOR
Pay
1.52%
Quarterly
Semiannual
N/A
02/03/2030
300‌
12‌
—‌
12‌
3
Month
USD
LIBOR
Pay
1.30%
Quarterly
Semiannual
N/A
02/26/2030
300‌
6‌
—‌
6‌
3
Month
USD
LIBOR
Pay
1.51%
Quarterly
Semiannual
N/A
02/12/2030
300‌
12‌
—‌
12‌
3
Month
USD
LIBOR
Pay
1.32%
Quarterly
Semiannual
N/A
02/28/2030
220‌
5‌
—‌
5‌
3
Month
USD
LIBOR
Pay
1.26%
Quarterly
Semiannual
N/A
02/27/2030
300‌
5‌
—‌
5‌
3
Month
USD
LIBOR
Pay
1.10%
Quarterly
Semiannual
N/A
03/01/2023
5,810‌
28‌
—‌
28‌
3
Month
USD
LIBOR
Pay
1.51%
Quarterly
Semiannual
N/A
02/03/2030
300‌
12‌
—‌
12‌
3
Month
USD
LIBOR
Pay
1.50%
Quarterly
Semiannual
N/A
02/05/2030
190‌
7‌
—‌
7‌
3
Month
USD
LIBOR
Pay
1.81%
Quarterly
Semiannual
N/A
05/07/2050
470‌
63‌
—‌
63‌
3
Month
USD
LIBOR
Receive
1.32%
Semiannual
Quarterly
N/A
08/27/2030
1,640‌
(34‌)
—‌
(34‌)
3
Month
USD
LIBOR
Receive
1.63%
Semiannual
Quarterly
N/A
02/10/2030
600‌
(31‌)
—‌
(31‌)
3
Month
USD
LIBOR
Receive
1.31%
Semiannual
Quarterly
N/A
02/27/2030
1,200‌
(25‌)
—‌
(25‌)
3
Month
USD
LIBOR
Pay
1.58%
Quarterly
Semiannual
N/A
02/11/2030
300‌
14‌
—‌
14‌
3
Month
USD
LIBOR
Pay
1.56%
Quarterly
Semiannual
N/A
02/11/2030
150‌
7‌
—‌
7‌
3
Month
USD
LIBOR
Pay
1.58%
Quarterly
Semiannual
N/A
02/11/2030
150‌
7‌
—‌
7‌
3
Month
USD
LIBOR
Pay
1.54%
Quarterly
Semiannual
N/A
02/12/2030
310‌
13‌
—‌
13‌
3
Month
USD
LIBOR
Pay
1.54%
Quarterly
Semiannual
N/A
02/12/2030
300‌
13‌
—‌
13‌
3
Month
USD
LIBOR
Pay
1.83%
Quarterly
Semiannual
N/A
02/10/2050
240‌
33‌
—‌
33‌
3
Month
USD
LIBOR
Receive
1.58%
Semiannual
Quarterly
N/A
11/01/2023
1,270‌
(17‌)
—‌
(17‌)
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
73
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
USD
LIBOR
Receive
2.40%
Semiannual
Quarterly
N/A
02/26/2022
$
42,310‌
$
(1,187‌)
$
1‌
$
(1,186‌)
3
Month
USD
LIBOR
Pay
0.90%
Quarterly
Semiannual
N/A
03/02/2023
1,460‌
2‌
—‌
2‌
3
Month
USD
LIBOR
Receive
1.71%
Semiannual
Quarterly
N/A
08/16/2049
240‌
(6‌)
—‌
(6‌)
3
Month
USD
LIBOR
Pay
1.53%
Quarterly
Semiannual
N/A
08/04/2021
3,850‌
24‌
—‌
24‌
3
Month
USD
LIBOR
Receive
1.74%
Semiannual
Quarterly
N/A
07/14/2022
9,380‌
(161‌)
—‌
(161‌)
3
Month
USD
LIBOR
Pay
3.21%
Quarterly
Semiannual
N/A
10/29/2024
4,985‌
515‌
—‌
515‌
3
Month
USD
LIBOR
Receive
1.77%
Semiannual
Quarterly
N/A
07/12/2023
19,920‌
(171‌)
—‌
(171‌)
3
Month
USD
LIBOR
Receive
2.38%
Semiannual
Quarterly
N/A
07/05/2049
300‌
(23‌)
—‌
(23‌)
3
Month
USD
LIBOR
Receive
2.33%
Semiannual
Quarterly
N/A
06/24/2034
150‌
(14‌)
—‌
(14‌)
3
Month
USD
LIBOR
Pay
2.10%
Quarterly
Semiannual
N/A
06/22/2031
210‌
19‌
—‌
19‌
3
Month
USD
LIBOR
Pay
1.74%
Quarterly
Semiannual
N/A
06/16/2022
3,870‌
66‌
—‌
66‌
3
Month
USD
LIBOR
Receive
2.37%
Semiannual
Quarterly
N/A
06/15/2050
780‌
(217‌)
—‌
(217‌)
3
Month
USD
LIBOR
Receive
1.77%
Semiannual
Quarterly
N/A
06/15/2021
24,700‌
(207‌)
—‌
(207‌)
3
Month
USD
LIBOR
Pay
2.01%
Quarterly
Semiannual
N/A
07/02/2021
6,090‌
78‌
—‌
78‌
3
Month
USD
LIBOR
Pay
2.08%
Quarterly
Semiannual
N/A
07/02/2021
5,150‌
71‌
—‌
71‌
3
Month
USD
LIBOR
Receive
1.67%
Semiannual
Quarterly
N/A
08/17/2049
180‌
(4‌)
—‌
(4‌)
3
Month
USD
LIBOR
Receive
1.87%
Semiannual
Quarterly
N/A
06/03/2022
12,690‌
(130‌)
—‌
(130‌)
3
Month
USD
LIBOR
Pay
2.25%
Quarterly
Semiannual
N/A
04/27/2022
12,110‌
322‌
—‌
322‌
3
Month
USD
LIBOR
Receive
2.31%
Semiannual
Quarterly
N/A
04/03/2025
1,680‌
(113‌)
—‌
(113‌)
3
Month
USD
LIBOR
Receive
2.36%
Semiannual
Quarterly
N/A
03/29/2030
2,300‌
(279‌)
—‌
(279‌)
3
Month
USD
LIBOR
Pay
2.60%
Quarterly
Semiannual
N/A
03/26/2029
1,360‌
182‌
—‌
182‌
3
Month
USD
LIBOR
Pay
2.43%
Quarterly
Semiannual
N/A
03/23/2022
385‌
11‌
—‌
11‌
3
Month
USD
LIBOR
Pay
0.88%
Quarterly
Semiannual
N/A
03/02/2023
1,460‌
1‌
—‌
1‌
3
Month
USD
LIBOR
Receive
2.43%
Semiannual
Quarterly
N/A
03/15/2023
5,700‌
(178‌)
—‌
(178‌)
3
Month
USD
LIBOR
Receive
2.90%
Semiannual
Quarterly
N/A
02/15/2049
30‌
(12‌)
—‌
(12‌)
3
Month
USD
LIBOR
Pay
2.53%
Semiannual
Semiannual
N/A
02/07/2022
55,240‌
1,661‌
(27‌)
1,634‌
3
Month
USD
LIBOR
Receive
2.57%
Semiannual
Quarterly
N/A
02/07/2025
5,220‌
(412‌)
5‌
(407‌)
3
Month
USD
LIBOR
Receive
2.53%
Semiannual
Quarterly
N/A
02/07/2023
390‌
(13‌)
—‌
(13‌)
3
Month
USD
LIBOR
Pay
0.88%
Quarterly
Semiannual
N/A
03/02/2023
2,905‌
2‌
—‌
2‌
3
Month
USD
LIBOR
Pay
0.87%
Quarterly
Semiannual
N/A
03/02/2023
1,720‌
1‌
—‌
1‌
3
Month
USD
LIBOR
Pay
2.45%
Quarterly
Semiannual
N/A
05/18/2031
460‌
57‌
—‌
57‌
3
Month
USD
LIBOR
Pay
1.53%
Quarterly
Semiannual
N/A
11/22/2020
4,970‌
11‌
—‌
11‌
3
Month
USD
LIBOR
Pay
1.71%
Quarterly
Semiannual
N/A
07/13/2022
19,600‌
168‌
—‌
168‌
3
Month
USD
LIBOR
Receive
1.98%
Semiannual
Quarterly
N/A
10/23/2034
240‌
(15‌)
—‌
(15‌)
3
Month
USD
LIBOR
Receive
1.93%
Semiannual
Quarterly
N/A
10/22/2034
540‌
(30‌)
—‌
(30‌)
3
Month
USD
LIBOR
Receive
1.65%
Semiannual
Quarterly
N/A
08/22/2034
535‌
(16‌)
—‌
(16‌)
3
Month
USD
LIBOR
Receive
1.91%
Semiannual
Quarterly
N/A
10/21/2034
480‌
(26‌)
—‌
(26‌)
3
Month
USD
LIBOR
Pay
1.12%
Quarterly
Semiannual
N/A
03/03/2030
300‌
1‌
—‌
1‌
3
Month
USD
LIBOR
Pay
0.92%
Quarterly
Semiannual
N/A
03/02/2023
470‌
1‌
—‌
1‌
3
Month
USD
LIBOR
Receive
1.98%
Semiannual
Quarterly
N/A
10/23/2034
240‌
(14‌)
—‌
(14‌)
3
Month
USD
LIBOR
Receive
2.10%
Semiannual
Quarterly
N/A
10/23/2039
310‌
(17‌)
—‌
(17‌)
3
Month
USD
LIBOR
Receive
1.55%
Semiannual
Quarterly
N/A
10/26/2023
1,450‌
(19‌)
—‌
(19‌)
3
Month
USD
LIBOR
Receive
1.56%
Semiannual
Quarterly
N/A
03/27/2021
11,890‌
(61‌)
—‌
(61‌)
3
Month
USD
LIBOR
Pay
1.13%
Quarterly
Semiannual
N/A
03/03/2030
300‌
1‌
—‌
1‌
3
Month
USD
LIBOR
Receive
1.56%
Semiannual
Quarterly
N/A
03/30/2021
3,640‌
(19‌)
—‌
(19‌)
3
Month
USD
LIBOR
Pay
1.17%
Quarterly
Semiannual
N/A
09/08/2021
2,650‌
8‌
—‌
8‌
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.18)%
Annual
Semiannual
N/A
03/18/2025
EUR
120‌
(1‌)
—‌
(1‌)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.17)%
Annual
Semiannual
N/A
12/13/2023
2,370‌
(12‌)
—‌
(12‌)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.45)%
Annual
Semiannual
N/A
12/16/2021
2,045‌
1‌
—‌
1‌
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.44)%
Semiannual
Annual
N/A
10/06/2023
540‌
(1‌)
1‌
—‌
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.17)%
Annual
Semiannual
N/A
11/11/2024
460‌
(5‌)
—‌
(5‌)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.06)%
Annual
Semiannual
N/A
01/03/2024
1,335‌
(10‌)
—‌
(10‌)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.05)%
Annual
Semiannual
N/A
01/03/2024
1,335‌
(10‌)
—‌
(10‌)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.45)%
Semiannual
Annual
N/A
09/28/2023
430‌
(1‌)
1‌
—‌
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.43)%
Semiannual
Annual
N/A
09/14/2023
530‌
—‌
—‌
—‌
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.50)%
Semiannual
Annual
N/A
09/14/2023
1,800‌
(4‌)
—‌
(4‌)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.30)%
Semiannual
Annual
N/A
01/16/2022
4,940‌
13‌
—‌
13‌
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.29)%
Annual
Semiannual
N/A
07/26/2023
7,870‌
(21‌)
—‌
(21‌)
6
Month
Euro
Interbank
Offered
Rate
Receive
(0.30)%
Annual
Semiannual
N/A
07/25/2023
5,450‌
(13‌)
—‌
(13‌)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.58)%
Semiannual
Annual
N/A
08/17/2023
700‌
(3‌)
—‌
(3‌)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.33)%
Semiannual
Annual
N/A
02/12/2023
1,390‌
3‌
—‌
3‌
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.41)%
Semiannual
Annual
N/A
03/02/2023
2,340‌
1‌
—‌
1‌
6
Month
Euro
Interbank
Offered
Rate
Receive
0.19%
Annual
Semiannual
N/A
01/16/2030
1,020‌
(43‌)
1‌
(42‌)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.45)%
Semiannual
Annual
N/A
08/11/2023
830‌
(1‌)
—‌
(1‌)
6
Month
JPY
LIBOR
Receive
0.30%
Semiannual
Semiannual
N/A
06/17/2039
JPY
11,470‌
(5‌)
—‌
(5‌)
6
Month
JPY
LIBOR
Receive
0.34%
Semiannual
Semiannual
N/A
02/08/2034
8,650‌
(4‌)
—‌
(4‌)
6
Month
JPY
LIBOR
Receive
0.20%
Semiannual
Semiannual
N/A
08/28/2044
1,270‌
—‌
—‌
—‌
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
74
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
6
Month
JPY
LIBOR
Receive
0.72%
Semiannual
Semiannual
N/A
03/21/2044
JPY
8,220‌
$
(9‌)
$
—‌
$
(9‌)
6
Month
JPY
LIBOR
Receive
0.17%
Semiannual
Semiannual
N/A
08/08/2039
8,330‌
(2‌)
—‌
(2‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.90%
Annual
Annual
N/A
02/12/2024
$
3,930‌
(75‌)
—‌
(75‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
2.25%
Annual
Annual
N/A
10/30/2028
2,195‌
(145‌)
—‌
(145‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Pay
1.86%
Annual
Annual
N/A
11/25/2029
2,720‌
50‌
—‌
50‌
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.79%
Annual
Annual
N/A
08/22/2049
760‌
3‌
—‌
3‌
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.95%
Annual
Annual
N/A
11/25/2049
870‌
(48‌)
—‌
(48‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.85%
Annual
Annual
N/A
05/10/2021
17,627‌
(73‌)
(10‌)
(83‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.71%
Annual
Annual
N/A
08/12/2024
5,460‌
(62‌)
—‌
(62‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.85%
Annual
Annual
N/A
08/01/2024
5,860‌
(114‌)
—‌
(114‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.92%
Annual
Annual
N/A
05/08/2021
13,823‌
(82‌)
1‌
(81‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.82%
Annual
Annual
N/A
02/03/2030
5,375‌
(93‌)
1‌
(92‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.96%
Annual
Annual
N/A
12/12/2049
1,540‌
(93‌)
—‌
(93‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.84%
Annual
Annual
N/A
01/31/2030
5,410‌
(103‌)
—‌
(103‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Pay
1.94%
Annual
Annual
N/A
02/10/2050
1,715‌
96‌
—‌
96‌
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Receive
1.85%
Annual
Annual
N/A
02/10/2030
5,405‌
(111‌)
1‌
(110‌)
Consumer
Price
All
Urban
Non-
Seasonally
Adjusted
Index
Pay
1.75%
Annual
Annual
N/A
08/22/2029
2,390‌
21‌
—‌
21‌
Harmonised
Indices
of
Consumer
Prices
Excluding
Food
and
Energy
Pay
1.13%
Annual
Annual
N/A
01/15/2030
EUR
4,525‌
100‌
1‌
101‌
Harmonised
Indices
of
Consumer
Prices
Excluding
Food
and
Energy
Receive
1.13%
Annual
Annual
N/A
02/15/2030
605‌
(13‌)
—‌
(13‌)
Harmonised
Indices
of
Consumer
Prices
Excluding
Food
and
Energy
Receive
1.29%
Annual
Annual
N/A
03/15/2029
4,285‌
(196‌)
—‌
(196‌)
Harmonised
Indices
of
Consumer
Prices
Excluding
Food
and
Energy
Receive
1.15%
Annual
Annual
N/A
02/15/2030
2,695‌
(64‌)
—‌
(64‌)
New
Zealand
Bank
Bill
3
Month
FRA
Receive
1.55%
Semiannual
Quarterly
N/A
11/12/2029
NZD
1,250‌
(28‌)
1‌
(27‌)
New
Zealand
Bank
Bill
3
Month
FRA
Receive
2.55%
Semiannual
Quarterly
N/A
03/20/2029
3,335‌
(270‌)
13‌
(257‌)
New
Zealand
Bank
Bill
3
Month
FRA
Receive
2.59%
Semiannual
Quarterly
N/A
03/20/2029
651‌
(54‌)
2‌
(52‌)
New
Zealand
Bank
Bill
3
Month
FRA
Receive
2.58%
Semiannual
Quarterly
N/A
03/20/2029
1,219‌
(101‌)
5‌
(96‌)
New
Zealand
Bank
Bill
3
Month
FRA
Receive
2.80%
Semiannual
Quarterly
N/A
03/20/2029
2,353‌
(226‌)
12‌
(214‌)
United
Kingdom
Retail
Prices
Index
Pay
3.40%
Annual
Annual
N/A
08/15/2028
GBP
5,285‌
179‌
(13‌)
166‌
United
Kingdom
Retail
Prices
Index
Pay
3.24%
Annual
Annual
N/A
01/15/2045
1,300‌
59‌
—‌
59‌
United
Kingdom
Retail
Prices
Index
Receive
3.16%
Annual
Annual
N/A
10/15/2049
2,725‌
(220‌)
(26‌)
(246‌)
United
Kingdom
Retail
Prices
Index
Pay
3.27%
Annual
Annual
N/A
10/15/2044
2,725‌
210‌
2‌
212‌
United
Kingdom
Retail
Prices
Index
Pay
3.49%
Annual
Annual
N/A
03/15/2029
3,035‌
114‌
(4‌)
110‌
United
Kingdom
Retail
Prices
Index
Pay
3.61%
Annual
Annual
N/A
01/15/2029
1,145‌
78‌
(3‌)
75‌
United
Kingdom
Retail
Prices
Index
Receive
3.46%
Annual
Annual
N/A
12/15/2029
1,660‌
(35‌)
—‌
(35‌)
United
Kingdom
Retail
Prices
Index
Receive
3.13%
Annual
Annual
N/A
01/15/2050
1,300‌
(71‌)
—‌
(71‌)
United
Kingdom
Retail
Prices
Index
Pay
3.36%
Annual
Annual
N/A
10/15/2039
3,555‌
251‌
(12‌)
239‌
United
Kingdom
Retail
Prices
Index
Receive
3.42%
Annual
Annual
N/A
10/15/2034
3,555‌
(203‌)
15‌
(188‌)
United
Kingdom
Retail
Prices
Index
Receive
3.39%
Annual
Annual
N/A
01/15/2035
1,700‌
(55‌)
—‌
(55‌)
United
Kingdom
Retail
Prices
Index
Pay
3.31%
Annual
Annual
N/A
01/15/2040
1,700‌
55‌
—‌
55‌
United
Kingdom
Retail
Prices
Index
Receive
3.36%
Annual
Annual
N/A
01/15/2035
1,700‌
(40‌)
—‌
(40‌)
United
Kingdom
Retail
Prices
Index
Pay
3.22%
Annual
Annual
N/A
01/15/2045
1,300‌
44‌
—‌
44‌
United
Kingdom
Retail
Prices
Index
Receive
3.11%
Annual
Annual
N/A
01/15/2050
1,300‌
(49‌)
—‌
(49‌)
United
Kingdom
Retail
Prices
Index
Pay
3.45%
Annual
Annual
N/A
02/15/2030
530‌
7‌
—‌
7‌
United
Kingdom
Retail
Prices
Index
Pay
3.51%
Annual
Annual
N/A
10/15/2028
3,095‌
176‌
(8‌)
168‌
United
Kingdom
Retail
Prices
Index
Pay
3.34%
Annual
Annual
N/A
01/15/2040
1,700‌
78‌
(1‌)
77‌
US
Federal
Funds
Effective
Rate
(continuous
series)
Receive
0.66%
Annual
Annual
N/A
03/15/2022
$
11,700‌
(10‌)
4‌
(6‌)
Consolidated
Schedule
of
Investments
Diversified
Real
Asset
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
75
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
US
Federal
Funds
Effective
Rate
(continuous
series)
Receive
1.28%
Annual
Annual
N/A
12/15/2021
$
4,775‌
$
(48‌)
$
—‌
$
(48‌)
US
Federal
Funds
Effective
Rate
(continuous
series)
Receive
1.41%
Annual
Annual
N/A
12/15/2021
4,660‌
(57‌)
—‌
(57‌)
US
Federal
Funds
Effective
Rate
(continuous
series)
Receive
1.31%
Annual
Annual
N/A
12/15/2021
8,957‌
(93‌)
—‌
(93‌)
US
Federal
Funds
Effective
Rate
(continuous
series)
Receive
1.13%
Annual
Annual
N/A
08/31/2024
1,960‌
(35‌)
(1‌)
(36‌)
US
Federal
Funds
Effective
Rate
(continuous
series)
Receive
1.28%
Annual
Annual
N/A
12/15/2021
4,775‌
(47‌)
—‌
(47‌)
US
Federal
Funds
Effective
Rate
(continuous
series)
Pay
0.71%
Annual
Annual
N/A
03/15/2022
8,760‌
12‌
—‌
12‌
US
Federal
Funds
Effective
Rate
(continuous
series)
Receive
0.66%
Annual
Annual
N/A
03/15/2022
11,700‌
(12‌)
6‌
(6‌)
Total
$
(396‌)
$
(31‌)
$
(427‌)
Amounts
in
thousands.
(a)    
Forward
swap.
Total
Return
Swaps
Counterparty
Reference
Entity
Contracts
Pay/Receive
Positive
Return
Financing
Rate
Payment
Frequency
Expiration
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Value
and
Unrealized
Appreciation/
(Depreciation)
Asset
----
Liability
Bank
of
America
NA
Bloomberg
Commodity
Index
Total
Return
(a)
442,842
Receive
UST
13
Week
Bill
High
Discount
Rate
+
0.11%
Monthly
03/25/2020
$
71,927‌
$
—‌
$
—‌
$
(4,939‌)
Bank
of
America
NA
BofA
Merrill
Lynch
Commodity
MLBXCS3T
Total
Return
Strategy
(a)
186,106
Receive
1.14%
Annual
03/09/2020
16,720‌
—‌
—‌
—‌
M3
Capital
Partners
Bloomberg
Commodity
Index
Total
Return
(a)
538,621
Receive
UST
13
Week
Bill
High
Discount
Rate
+
0.09%
Monthly
03/25/2020
87,483‌
—‌
—‌
(6,008‌)
M3
Capital
Partners
Macquarie
Commodity
Product
251E
(a)
124,077
Receive
0.33%
Annual
03/09/2020
10,620‌
—‌
—‌
—‌
Societe
Generale
Bloomberg
Commodity
Index
Total
Return
(a)
146,250
Receive
UST
13
Week
Bill
High
Discount
Rate
+
0.11%
Monthly
03/25/2020
23,754‌
—‌
—‌
(1,631‌)
Societe
Generale
Societe
Generale
Commodities
Custom
Alpha
(a)
175,393
Receive
0.35%
Annual
03/09/2020
14,419‌
—‌
—‌
—‌
Total
$
—‌
$
—‌
$
(12,57
8‌
)
Amounts
in
thousands
except
contracts.
(a)
All
or
a
portion
of
this
security
is
owned
by
the
DRA
Cayman
Corporation,
which
is
a
100%
owned
subsidiary
of
the
fund.
Schedule
of
Investments
Edge
MidCap
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
76
INVESTMENT
COMPANIES
-
2.86%
Shares
Held
Value
(000's)
Money
Market
Funds
-
2.86%
Principal
Government
Money
Market
Fund
1.43
%
(a),(b)
18,968,426‌
$
18,968‌
TOTAL
INVESTMENT
COMPANIES
$
18,968‌
COMMON
STOCKS
-
97.80%
Shares
Held
Value
(000's)
Advertising
-
1.99%
Interpublic
Group
of
Cos
Inc/The
617,313‌
13,186‌
Airlines
-
1.45%
Alaska
Air
Group
Inc
190,579‌
9,617‌
Automobile
Parts
&
Equipment
-
1.00%
Autoliv
Inc
99,669‌
6,651‌
Banks
-
3.03%
Bank
OZK
244,687‌
6,213‌
Cullen/Frost
Bankers
Inc
176,859‌
13,864‌
$
20,077‌
Chemicals
-
4.51%
FMC
Corp
175,442‌
16,333‌
HB
Fuller
Co
345,165‌
13,541‌
$
29,874‌
Commercial
Services
-
2.94%
Aaron's
Inc
298,260‌
11,731‌
Morningstar
Inc
52,959‌
7,780‌
$
19,511‌
Consumer
Products
-
2.02%
Avery
Dennison
Corp
116,929‌
13,387‌
Electric
-
6.96%
Alliant
Energy
Corp
391,844‌
20,423‌
Eversource
Energy
259,779‌
22,460‌
WEC
Energy
Group
Inc
35,206‌
3,251‌
$
46,134‌
Electrical
Components
&
Equipment
-
5.03%
Energizer
Holdings
Inc
383,628‌
16,492‌
Littelfuse
Inc
105,404‌
16,831‌
$
33,323‌
Electronics
-
2.63%
Arrow
Electronics
Inc
(
c)
259,866‌
17,427‌
Environmental
Control
-
2.22%
Waste
Connections
Inc
152,175‌
14,683‌
Hand
&
Machine
Tools
-
4.74%
Lincoln
Electric
Holdings
Inc
233,428‌
19,115‌
Snap-on
Inc
85,057‌
12,312‌
$
31,427‌
Healthcare
-
Products
-
6.69%
Teleflex
Inc
66,745‌
22,361‌
Varian
Medical
Systems
Inc
(
c)
178,629‌
21,966‌
$
44,327‌
Healthcare
-
Services
-
3.31%
Universal
Health
Services
Inc
177,131‌
21,918‌
Insurance
-
5.97%
Fidelity
National
Financial
Inc
505,032‌
19,575‌
Markel
Corp
(
c)
16,951‌
20,029‌
$
39,604‌
Internet
-
1.44%
Rightmove
PLC
1,187,978‌
9,526‌
Leisure
Products
&
Services
-
1.56%
YETI
Holdings
Inc
(
c)
342,835‌
10,371‌
Machinery
-
Diversified
-
1.66%
Nordson
Corp
75,744‌
11,006‌
Oil
&
Gas
-
3.10%
Cimarex
Energy
Co
229,808‌
7,595‌
Helmerich
&
Payne
Inc
185,458‌
6,842‌
HollyFrontier
Corp
181,116‌
6,100‌
$
20,537‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
REITs
-
8.70%
Alexandria
Real
Estate
Equities
Inc
130,433‌
$
19,810‌
CyrusOne
Inc
353,251‌
21,400‌
STORE
Capital
Corp
499,673‌
16,419‌
$
57,629‌
Retail
-
4.23%
Chipotle
Mexican
Grill
Inc
(
c)
23,169‌
17,923‌
Tiffany
&
Co
75,247‌
10,052‌
$
27,975‌
Savings
&
Loans
-
2.79%
Washington
Federal
Inc
616,725‌
18,496‌
Semiconductors
-
4.65%
Microchip
Technology
Inc
227,620‌
20,647‌
Teradyne
Inc
173,149‌
10,174‌
$
30,821‌
Software
-
8.64%
Black
Knight
Inc
(
c)
442,999‌
29,553‌
Fair
Isaac
Corp
(
c)
73,610‌
27,680‌
$
57,233‌
Toys,
Games
&
Hobbies
-
2.21%
Hasbro
Inc
189,826‌
14,664‌
Transportation
-
4.33%
Expeditors
International
of
Washington
Inc
292,002‌
20,562‌
Kirby
Corp
(
c)
129,092‌
8,230‌
$
28,792‌
TOTAL
COMMON
STOCKS
$
648,196‌
Total
Investments
$
667,164‌
Other
Assets
and
Liabilities
-  (
0.66)%
(4,362‌)
TOTAL
NET
ASSETS
-
100.00%
$
662,802‌
(a)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(b)
Current
yield
shown
is
as
of
period
end.
(c)
Non-income
producing
security
Portfolio
Summary  (
unaudited)
Sector
Percent
Industrial
20.61‌%
Financial
20.49‌%
Consumer,
Non-cyclical
14.96‌%
Technology
13.29‌%
Consumer,
Cyclical
10.45‌%
Utilities
6.96‌%
Basic
Materials
4.51‌%
Communications
3.43‌%
Energy
3.10‌%
Money
Market
Funds
2.86‌%
Other
Assets
and
Liabilities
(
0.66‌)%
TOTAL
NET
ASSETS
100.00%
Schedule
of
Investments
Edge
MidCap
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
77
Affiliated
Securities
August
31,
2019
Purchases
Sales
February
29,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
1.43%
$
19,943‌
$
98,616‌
$
99,591‌
$
18,968‌
$
19,943‌
$
98,616‌
$
99,591‌
$
18,968‌
Income
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/Loss
Principal
Government
Money
Market
Fund
1.43%
$
133‌
$
—‌
$
—‌
$
—‌
$
133‌
$
—‌
$
—‌
$
—‌
Amounts
in
thousands.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
78
INVESTMENT
COMPANIES
-
13.51%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
0.00%
iShares
Russell
2000
Value
ETF
288‌
$
3
1‌
Money
Market
Funds
-
13.51%
First
American
Government
Obligations
Fund
1.46%
(a)
2,236,587‌
2,237‌
Morgan
Stanley
Institutional
Liquidity
Funds
-
Government
Portfolio
1.48%
(a),(b),(c)
11,741,116‌
11,741‌
Principal
Government
Money
Market
Fund
1.43%
(a),(d)
107,586,431‌
107,586‌
$
121,564‌
TOTAL
INVESTMENT
COMPANIES
$
121,59
5‌
COMMON
STOCKS
-
38.16%
Shares
Held
Value
(000's)
Advertising
-
0.05%
Clear
Channel
Outdoor
Holdings
Inc
(e)
43,695‌
90‌
Interpublic
Group
of
Cos
Inc/The
(b)
13,426‌
287‌
Omnicom
Group
Inc
(b)
1,468‌
102‌
$
479‌
Aerospace
&
Defense
-
0.79%
Arconic
Inc
(b)
18,244‌
536‌
Boeing
Co/The
6,290‌
1,730‌
General
Dynamics
Corp
2,081‌
332‌
HEICO
Corp
-
Class
A
(b)
1,428‌
126‌
L3Harris
Technologies
Inc
834‌
165‌
Lockheed
Martin
Corp
(b)
4,213‌
1,558‌
Moog
Inc
999‌
77‌
Northrop
Grumman
Corp
(b)
1,492‌
491‌
Raytheon
Co
(b)
3,252‌
613‌
Thales
SA
2,549‌
257‌
TransDigm
Group
Inc
(b)
1,168‌
652‌
Triumph
Group
Inc
3,599‌
68‌
Ultra
Electronics
Holdings
PLC
5,883‌
149‌
United
Technologies
Corp
(b)
2,738‌
358‌
$
7,112‌
Agriculture
-
0.36%
Altria
Group
Inc
498‌
20‌
Archer-Daniels-Midland
Co
(b)
4,594‌
173‌
Philip
Morris
International
Inc
(b)
31,453‌
2,575‌
Swedish
Match
AB
7,788‌
457‌
$
3,225‌
Airlines
-
0.15%
Alaska
Air
Group
Inc
(b)
7,243‌
365‌
Delta
Air
Lines
Inc
(b)
10,645‌
492‌
Southwest
Airlines
Co
(b)
6,003‌
277‌
United
Airlines
Holdings
Inc
(b),(e)
2,964‌
182‌
$
1,316‌
Apparel
-
0.31%
Burberry
Group
PLC
1,504‌
32‌
Capri
Holdings
Ltd
(b),(e)
12,809‌
331‌
Carter's
Inc
1,554‌
142‌
Hanesbrands
Inc
(b)
8,632‌
114‌
Kontoor
Brands
Inc
2,722‌
92‌
LVMH
Moet
Hennessy
Louis
Vuitton
SE
1,748‌
730‌
NIKE
Inc
(b)
2,732‌
244‌
PVH
Corp
(b)
4,154‌
308‌
Ralph
Lauren
Corp
(b)
2,648‌
279‌
Tapestry
Inc
(b)
13,038‌
306‌
Under
Armour
Inc
-
Class
A
(e)
9,277‌
132‌
Under
Armour
Inc
-
Class
C
(e)
5,290‌
66‌
$
2,776‌
Automobile
Manufacturers
-
0.34%
Cummins
Inc
(b)
3,108‌
470‌
Ferrari
NV
4,968‌
783‌
Fiat
Chrysler
Automobiles
NV
24,133‌
304‌
Ford
Motor
Co
4,643‌
32‌
General
Motors
Co
2,702‌
82‌
Navistar
International
Corp
(e)
5,621‌
204‌
PACCAR
Inc
6,516‌
436‌
REV
Group
Inc
6,846‌
54‌
Subaru
Corp
10,000‌
242‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Automobile
Manufacturers
(continued)
Tesla
Inc
(e)
288‌
$
193‌
Volvo
AB
-
B
Shares
17,457‌
274‌
$
3,074‌
Automobile
Parts
&
Equipment
-
0.09%
BorgWarner
Inc
(b)
12,386‌
391‌
Cooper
Tire
&
Rubber
Co
2,702‌
69‌
Koito
Manufacturing
Co
Ltd
3,100‌
121‌
Nokian
Renkaat
OYJ
3,903‌
102‌
Rheinmetall
AG
1,632‌
152‌
$
835‌
Banks
-
1.33%
Allegiance
Bancshares
Inc
2,066‌
69‌
Ameris
Bancorp
2,192‌
75‌
Aozora
Bank
Ltd
1,300‌
32‌
Atlantic
Union
Bankshares
Corp
2,053‌
61‌
Banca
Generali
SpA
5,481‌
170‌
BancorpSouth
Bank
3,275‌
80‌
Bank
of
America
Corp
(b)
10,234‌
292‌
Bank
OZK
3,088‌
78‌
Cadence
BanCorp
5,317‌
75‌
Citigroup
Inc
(b)
1,004‌
64‌
Citizens
Financial
Group
Inc
5,951‌
188‌
Comerica
Inc
174‌
9‌
DBS
Group
Holdings
Ltd
2,500‌
44‌
DNB
ASA
3,344‌
56‌
East
West
Bancorp
Inc
(b)
11,118‌
431‌
FinecoBank
Banca
Fineco
SpA
41,658‌
437‌
First
Citizens
BancShares
Inc/NC
321‌
146‌
First
Hawaiian
Inc
2,975‌
71‌
First
Interstate
BancSystem
Inc
2,104‌
72‌
First
Midwest
Bancorp
Inc/IL
4,546‌
83‌
First
Republic
Bank/CA
6,882‌
692‌
FNB
Corp/PA
5,871‌
59‌
Fukuoka
Financial
Group
Inc
5,900‌
88‌
Goldman
Sachs
Group
Inc/The
1,369‌
275‌
Great
Western
Bancorp
Inc
2,796‌
75‌
Heritage
Commerce
Corp
7,684‌
79‌
Hilltop
Holdings
Inc
3,604‌
75‌
JPMorgan
Chase
&
Co
(b)
9,690‌
1,125‌
KBC
Group
NV
3,829‌
255‌
M&T
Bank
Corp
5,069‌
712‌
Macquarie
Group
Ltd
1,952‌
174‌
Morgan
Stanley
(b)
7,393‌
333‌
Opus
Bank
3,363‌
80‌
Oversea-Chinese
Banking
Corp
Ltd
8,000‌
62‌
PNC
Financial
Services
Group
Inc/The
(b)
3,577‌
452‌
Popular
Inc
281‌
14‌
Raiffeisen
Bank
International
AG
11,473‌
237‌
Regions
Financial
Corp
(b)
5,784‌
78‌
Resona
Holdings
Inc
600‌
2‌
Seven
Bank
Ltd
10,900‌
29‌
Shinsei
Bank
Ltd
17,800‌
233‌
Skandinaviska
Enskilda
Banken
AB
1,495‌
14‌
Standard
Chartered
PLC
56,902‌
412‌
State
Street
Corp
634‌
43‌
Sumitomo
Mitsui
Financial
Group
Inc
17,700‌
562‌
Sumitomo
Mitsui
Trust
Holdings
Inc
17,300‌
587‌
SVB
Financial
Group
(e)
2,047‌
426‌
Truist
Financial
Corp
(b)
7,752‌
358‌
UBS
Group
AG
(e)
26,824‌
295‌
Umpqua
Holdings
Corp
4,444‌
68‌
United
Community
Banks
Inc/GA
3,237‌
80‌
Univest
Financial
Corp
2,868‌
67‌
US
Bancorp
(b)
23,564‌
1,094‌
Veritex
Holdings
Inc
3,300‌
79‌
Wells
Fargo
&
Co
6,192‌
253‌
$
12,000‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
79
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Beverages
-
0.41%
Asahi
Group
Holdings
Ltd
2,600‌
$
100‌
Boston
Beer
Co
Inc/The
(e)
202‌
75‌
Carlsberg
A/S
3,266‌
432‌
Coca-Cola
Co/The
(b)
9,124‌
488‌
Coca-Cola
HBC
AG
(e)
7,156‌
228‌
Constellation
Brands
Inc
(b)
1,510‌
260‌
Heineken
NV
1,691‌
169‌
Molson
Coors
Beverage
Co
(b)
766‌
38‌
Monster
Beverage
Corp
(b),(e)
23,320‌
1,455‌
PepsiCo
Inc
(b)
3,414‌
451‌
$
3,696‌
Biotechnology
-
0.49%
Abcam
PLC
11,092‌
165‌
Alexion
Pharmaceuticals
Inc
(e)
2,344‌
220‌
Amgen
Inc
2,531‌
506‌
Apellis
Pharmaceuticals
Inc
(e)
3,376‌
117‌
Arena
Pharmaceuticals
Inc
(e)
1,122‌
50‌
Ascendis
Pharma
A/S
ADR
(e)
304‌
40‌
Biogen
Inc
(b),(e)
4,537‌
1,399‌
Constellation
Pharmaceuticals
Inc
(e)
1,550‌
55‌
Corteva
Inc
(b)
17,034‌
463‌
Emergent
BioSolutions
Inc
(e)
1,500‌
88‌
Exact
Sciences
Corp
(e)
2,445‌
198‌
Incyte
Corp
(b),(e)
8,200‌
618‌
Ionis
Pharmaceuticals
Inc
(e)
2,545‌
129‌
Iovance
Biotherapeutics
Inc
(e)
6,600‌
217‌
Sage
Therapeutics
Inc
(e)
850‌
40‌
Y-mAbs
Therapeutics
Inc
(e)
2,396‌
71‌
$
4,376‌
Building
Materials
-
0.55%
American
Woodmark
Corp
(e)
900‌
75‌
Boise
Cascade
Co
3,210‌
114‌
Cemex
SAB
de
CV
ADR
88,953‌
292‌
Cie
de
Saint-Gobain
9,687‌
342‌
CRH
PLC
6,814‌
230‌
Daikin
Industries
Ltd
2,200‌
296‌
Fortune
Brands
Home
&
Security
Inc
(b)
16,550‌
1,022‌
Imerys
SA
3,444‌
135‌
JELD-WEN
Holding
Inc
(e)
7,808‌
147‌
Johnson
Controls
International
plc
537‌
20‌
Lennox
International
Inc
2,651‌
605‌
LIXIL
Group
Corp
26,700‌
398‌
Louisiana-Pacific
Corp
3,092‌
88‌
Marshalls
PLC
8,755‌
82‌
Martin
Marietta
Materials
Inc
967‌
220‌
Masco
Corp
(b)
10,790‌
446‌
Norbord
Inc
3,870‌
103‌
ROCKWOOL
International
A/S
759‌
177‌
Vulcan
Materials
Co
(b)
100‌
12‌
Wienerberger
AG
6,846‌
175‌
$
4,979‌
Chemicals
-
1.26%
A.
Schulman
Inc.
(e),(f)
2,332‌
1‌
Akzo
Nobel
NV
14,022‌
1,121‌
Ashland
Global
Holdings
Inc
16,377‌
1,172‌
Borregaard
ASA
8,162‌
87‌
Brenntag
AG
3,393‌
154‌
Celanese
Corp
(b)
4,434‌
416‌
CF
Industries
Holdings
Inc
(b)
4,130‌
152‌
Covestro
AG
(g)
15,828‌
613‌
Dow
Inc
6,383‌
258‌
DuPont
de
Nemours
Inc
5,107‌
219‌
Eastman
Chemical
Co
1,333‌
82‌
Ecolab
Inc
8‌
1‌
EMS-Chemie
Holding
AG
2,032‌
1,193‌
FMC
Corp
(b)
4,235‌
394‌
Hexion
Holdings
Corp
(e)
22,049‌
244‌
IMCD
NV
1,228‌
100‌
Ingevity
Corp
(e)
750‌
34‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Chemicals
(continued)
International
Flavors
&
Fragrances
Inc
740‌
$
89‌
Linde
PLC
(b)
1,746‌
334‌
LyondellBasell
Industries
NV
(b)
2,217‌
159‌
Mosaic
Co/The
(b)
10,536‌
179‌
Nippon
Paint
Holdings
Co
Ltd
6,800‌
308‌
Nissan
Chemical
Corp
12,400‌
521‌
Nitto
Denko
Corp
5,600‌
278‌
PPG
Industries
Inc
(b)
6,685‌
698‌
Sherwin-Williams
Co/The
(b)
2,043‌
1,055‌
Shin-Etsu
Chemical
Co
Ltd
8,500‌
940‌
Synthomer
PLC
44,110‌
161‌
Taiyo
Nippon
Sanso
Corp
2,500‌
45‌
Toray
Industries
Inc
52,345‌
301‌
$
11,309‌
Commercial
Services
-
1.78%
Adtalem
Global
Education
Inc
(e)
3,008‌
93‌
AMERCO
1,195‌
385‌
Aramark
36,300‌
1,261‌
Atlantia
SpA
10,158‌
220‌
Babcock
International
Group
PLC
34,916‌
201‌
BrightView
Holdings
Inc
(e)
4,359‌
61‌
Brink's
Co/The
1,076‌
84‌
Bureau
Veritas
SA
63,507‌
1,563‌
Carriage
Services
Inc
4,021‌
85‌
Chegg
Inc
(e)
3,756‌
147‌
Cintas
Corp
5,657‌
1,510‌
CoStar
Group
Inc
(e)
234‌
156‌
Deluxe
Corp
1,981‌
66‌
Elis
SA
7,435‌
130‌
Equifax
Inc
2,570‌
365‌
Escrow
Altegrity
Inc
NPV
(e),(f),(h)
33,568‌
726‌
EVERTEC
Inc
2,590‌
77‌
FleetCor
Technologies
Inc
(e)
139‌
37‌
Global
Payments
Inc
6,337‌
1,166‌
Grand
Canyon
Education
Inc
(e)
2,052‌
166‌
H&R
Block
Inc
343‌
7‌
IHS
Markit
Ltd
261‌
19‌
Kforce
Inc
2,088‌
64‌
LiveRamp
Holdings
Inc
(e)
2,561‌
91‌
Loomis
AB
5,523‌
193‌
Medifast
Inc
930‌
77‌
Moody's
Corp
(b)
6,919‌
1,660‌
Nielsen
Holdings
PLC
(b)
15,007‌
273‌
PayPal
Holdings
Inc
(e)
2,655‌
287‌
Persol
Holdings
Co
Ltd
34,000‌
457‌
Quanta
Services
Inc
2,845‌
108‌
Robert
Half
International
Inc
(b)
15,662‌
789‌
Rollins
Inc
(b)
17,113‌
641‌
S&P
Global
Inc
(b)
6,012‌
1,598‌
SEACOR
Marine
Holdings
Inc
(e)
4,844‌
39‌
Square
Inc
(e)
3,393‌
283‌
TriNet
Group
Inc
(e)
1,761‌
93‌
United
Rentals
Inc
(b),(e)
3,306‌
438‌
Wirecard
AG
2,911‌
375‌
$
15,991‌
Computers
-
1.50%
Accenture
PLC
-
Class
A
(b)
2,768‌
500‌
Apple
Inc
(b)
22,722‌
6,210‌
Cognizant
Technology
Solutions
Corp
966‌
59‌
Conduent
Inc
(e)
8,547‌
28‌
Cubic
Corp
2,212‌
120‌
Endava
PLC
ADR
(e)
1,046‌
56‌
Fortinet
Inc
(b),(e)
3,802‌
388‌
Hewlett
Packard
Enterprise
Co
630‌
8‌
HP
Inc
(b)
18,913‌
393‌
International
Business
Machines
Corp
(b)
2,513‌
327‌
Itochu
Techno-Solutions
Corp
20,000‌
560‌
Leidos
Holdings
Inc
(b)
5,263‌
540‌
Lumentum
Holdings
Inc
(e)
857‌
67‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
80
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Computers
(continued)
NetApp
Inc
(b)
10,927‌
$
511‌
NTT
Data
Corp
44,453‌
530‌
Obic
Co
Ltd
1,600‌
198‌
Otsuka
Corp
24,600‌
1,063‌
Rapid7
Inc
(e)
2,422‌
112‌
Science
Applications
International
Corp
21,017‌
1,684‌
Vocera
Communications
Inc
(e)
4,244‌
104‌
$
13,458‌
Consumer
Products
-
0.18%
ACCO
Brands
Corp
32,508‌
261‌
Avery
Dennison
Corp
(b)
2,579‌
295‌
Kimberly-Clark
Corp
2,664‌
349‌
Spectrum
Brands
Holdings
Inc
13,749‌
741‌
$
1,646‌
Cosmetics
&
Personal
Care
-
0.42%
Colgate-Palmolive
Co
(b)
7,971‌
539‌
Coty
Inc
43,030‌
397‌
Edgewell
Personal
Care
Co
(e)
2,394‌
73‌
Estee
Lauder
Cos
Inc/The
(b)
1,728‌
318‌
Procter
&
Gamble
Co/The
(b)
15,163‌
1,716‌
Unilever
NV
13,891‌
733‌
$
3,776‌
Distribution
&
Wholesale
-
0.13%
Copart
Inc
(e)
1,690‌
143‌
Diploma
PLC
8,328‌
200‌
Fastenal
Co
8,150‌
279‌
LKQ
Corp
(b),(e)
7,222‌
214‌
Toyota
Tsusho
Corp
4,100‌
123‌
WW
Grainger
Inc
(b)
833‌
231‌
$
1,190‌
Diversified
Financial
Services
-
1.94%
4L
Technologies
(e),(f),(h)
24,306‌
164‌
Alliance
Data
Systems
Corp
(b)
1,284‌
110‌
American
Express
Co
(b)
7,806‌
858‌
Ares
Management
Corp
1,855‌
64‌
B.
Riley
Financial
Inc
4,001‌
95‌
BlackRock
Inc
(b)
2,754‌
1,275‌
Capital
One
Financial
Corp
(b)
344‌
30‌
Cboe
Global
Markets
Inc
7,808‌
890‌
Charles
Schwab
Corp/The
12,656‌
516‌
CI
Financial
Corp
10,800‌
179‌
Credit
Acceptance
Corp
(e)
1,145‌
462‌
Discover
Financial
Services
943‌
62‌
Eaton
Vance
Corp
(b)
14,602‌
602‌
ECN
Capital
Corp
21,067‌
86‌
Element
Comm
Aviation
(e),(f),(h),(i)
280‌
2,505‌
Euronext
NV
(g)
2,232‌
186‌
Federal
Agricultural
Mortgage
Corp
1,033‌
78‌
Franklin
Resources
Inc
(b)
20,315‌
442‌
Greenhill
&
Co
Inc
4,829‌
71‌
Hamilton
Lane
Inc
1,388‌
86‌
Hannon
Armstrong
Sustainable
Infrastructure
Capital
Inc
2,908‌
99‌
Hargreaves
Lansdown
PLC
14,265‌
286‌
Hypoport
AG
(e)
466‌
158‌
Invesco
Ltd
(b)
21,334‌
307‌
Julius
Baer
Group
Ltd
5,411‌
228‌
Legg
Mason
Inc
16,516‌
823‌
LPL
Financial
Holdings
Inc
223‌
18‌
Magellan
Financial
Group
Ltd
1,217‌
45‌
Mastercard
Inc
(b)
2,493‌
724‌
Moelis
&
Co
2,553‌
82‌
Nasdaq
Inc
(b)
3,646‌
374‌
Navient
Corp
6,405‌
72‌
PRA
Group
Inc
(e)
6,155‌
239‌
Raymond
James
Financial
Inc
304‌
25‌
Sanne
Group
PLC
14,697‌
108‌
SEI
Investments
Co
(b)
12,605‌
690‌
Singapore
Exchange
Ltd
82,800‌
511‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Diversified
Financial
Services
(continued)
Synchrony
Financial
22,748‌
$
662‌
T
Rowe
Price
Group
Inc
(b)
5,802‌
684‌
Visa
Inc
(b)
8,057‌
1,465‌
VZ
Holding
AG
428‌
148‌
Western
Union
Co/The
(b)
41,849‌
937‌
$
17,446‌
Electric
-
0.68%
AES
Corp/VA
(b)
1,974‌
33‌
CMS
Energy
Corp
2,196‌
133‌
Dominion
Energy
Inc
(b)
3,648‌
285‌
Duke
Energy
Corp
218‌
20‌
Electric
Power
Development
Co
Ltd
2,200‌
47‌
Endesa
SA
14,068‌
362‌
Entergy
Corp
70‌
8‌
Evergy
Inc
(b)
13,766‌
900‌
FirstEnergy
Corp
286‌
13‌
Fortum
Oyj
12,366‌
264‌
Meridian
Energy
Ltd
89,377‌
259‌
NRG
Energy
Inc
(b)
54,317‌
1,804‌
Public
Service
Enterprise
Group
Inc
4,062‌
208‌
Red
Electrica
Corp
SA
30,240‌
578‌
RWE
AG
4,814‌
167‌
Southern
Co/The
(b)
4,203‌
254‌
Terna
Rete
Elettrica
Nazionale
SpA
317‌
2‌
Vistra
Energy
Corp
41,601‌
800‌
$
6,137‌
Electrical
Components
&
Equipment
-
0.29%
AMETEK
Inc
(b)
2,849‌
245‌
Belden
Inc
10,273‌
410‌
Casio
Computer
Co
Ltd
2,800‌
48‌
Emerson
Electric
Co
(b)
13,817‌
886‌
Energizer
Holdings
Inc
1,922‌
83‌
EnerSys
2,507‌
154‌
Legrand
SA
5,975‌
459‌
Schneider
Electric
SE
3,087‌
313‌
$
2,598‌
Electronics
-
1.23%
Allegion
plc
(b)
2,876‌
331‌
Alps
Alpine
Co
Ltd
10,300‌
157‌
Amphenol
Corp
59‌
5‌
Assa
Abloy
AB
25,657‌
577‌
Electrocomponents
PLC
20,951‌
164‌
FARO
Technologies
Inc
(e)
1,850‌
106‌
FLIR
Systems
Inc
1,286‌
55‌
Fortive
Corp
6,334‌
438‌
Garmin
Ltd
(b)
9,560‌
844‌
GoPro
Inc
(e)
20,253‌
77‌
Halma
PLC
8,736‌
220‌
Hitachi
High-Tech
Corp
51,436‌
3,820‌
Honeywell
International
Inc
(b)
10,681‌
1,733‌
LEM
Holding
SA
56‌
73‌
Mettler-Toledo
International
Inc
(e)
102‌
72‌
Murata
Manufacturing
Co
Ltd
800‌
42‌
nVent
Electric
PLC
3,185‌
76‌
PerkinElmer
Inc
2,834‌
245‌
Roper
Technologies
Inc
(b)
714‌
251‌
Rotork
PLC
41,895‌
153‌
Woodward
Inc
14,372‌
1,483‌
Yokogawa
Electric
Corp
9,200‌
149‌
$
11,071‌
Energy
-
Alternate
Sources
-
0.05%
Vestas
Wind
Systems
A/S
4,514‌
436‌
Engineering
&
Construction
-
0.54%
AECOM
(e)
28,384‌
1,276‌
Aeroports
de
Paris
229‌
34‌
Alten
SA
2,036‌
228‌
Badger
Daylighting
Ltd
2,276‌
53‌
CIMIC
Group
Ltd
6,572‌
103‌
Dycom
Industries
Inc
(e)
1,966‌
58‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
81
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Engineering
&
Construction
(continued)
Eiffage
SA
3,842‌
$
411‌
Gaztransport
Et
Technigaz
SA
1,040‌
93‌
HOCHTIEF
AG
2,563‌
256‌
Jacobs
Engineering
Group
Inc
8,880‌
820‌
JGC
Holdings
Corp
38,300‌
463‌
Obayashi
Corp
13,500‌
136‌
Taisei
Corp
21,800‌
739‌
Vinci
SA
1,836‌
186‌
$
4,856‌
Entertainment
-
0.19%
Aristocrat
Leisure
Ltd
5,413‌
119‌
Deluxe
Entertainment
(e)
67,048‌
48‌
Eldorado
Resorts
Inc
(e)
237‌
12‌
Genting
Singapore
Ltd
717,800‌
423‌
GVC
Holdings
PLC
2,008‌
21‌
Live
Nation
Entertainment
Inc
(e)
1,010‌
61‌
Marriott
Vacations
Worldwide
Corp
2,496‌
242‌
OPAP
SA
14,223‌
155‌
Penn
National
Gaming
Inc
(e)
422‌
12‌
Red
Rock
Resorts
Inc
3,900‌
80‌
Sankyo
Co
Ltd
12,300‌
405‌
Vail
Resorts
Inc
460‌
98‌
$
1,676‌
Environmental
Control
-
0.07%
Pentair
PLC
(b)
3,656‌
144‌
Republic
Services
Inc
(b)
1,611‌
145‌
Waste
Management
Inc
(b)
2,860‌
317‌
$
606‌
Food
-
0.71%
a2
Milk
Co
Ltd
(e)
8,326‌
86‌
Ajinomoto
Co
Inc
11,285‌
189‌
Associated
British
Foods
PLC
1,804‌
53‌
Campbell
Soup
Co
(b)
9,860‌
445‌
Cranswick
PLC
5,804‌
249‌
General
Mills
Inc
(b)
4,019‌
197‌
Hershey
Co/The
2,620‌
377‌
Hostess
Brands
Inc
(e)
6,318‌
80‌
Just
Eat
Takeaway
(e),(g)
5,624‌
493‌
Koninklijke
Ahold
Delhaize
NV
15,780‌
369‌
Kraft
Heinz
Co/The
(b)
5,814‌
144‌
Lamb
Weston
Holdings
Inc
1,486‌
129‌
McCormick
&
Co
Inc/MD
1,063‌
155‌
Mondelez
International
Inc
977‌
52‌
Performance
Food
Group
Co
(e)
1,989‌
84‌
Post
Holdings
Inc
(e)
18,661‌
1,890‌
Seven
&
i
Holdings
Co
Ltd
16,900‌
575‌
Simply
Good
Foods
Co/The
(e)
8,832‌
195‌
Tyson
Foods
Inc
(b)
8,019‌
544‌
Viscofan
SA
2,267‌
121‌
$
6,427‌
Food
Service
-
0.08%
Compass
Group
PLC
25,163‌
554‌
Elior
Group
SA
(g)
11,611‌
147‌
$
701‌
Forest
Products
&
Paper
-
0.08%
International
Paper
Co
(b)
4,904‌
181‌
Mondi
PLC
8,960‌
182‌
Schweitzer-Mauduit
International
Inc
2,593‌
88‌
Smurfit
Kappa
Group
PLC
8,472‌
285‌
$
736‌
Gas
-
0.10%
Centrica
PLC
95,349‌
88‌
New
Jersey
Resources
Corp
2,200‌
78‌
Osaka
Gas
Co
Ltd
29,600‌
474‌
UGI
Corp
8,363‌
301‌
$
941‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Hand
&
Machine
Tools
-
0.08%
Disco
Corp
600‌
$
122‌
Kennametal
Inc
2,922‌
81‌
Makita
Corp
500‌
17‌
Stanley
Black
&
Decker
Inc
(b)
3,498‌
503‌
$
723‌
Healthcare
-
Products
-
1.09%
Abbott
Laboratories
7,022‌
541‌
ABIOMED
Inc
(b),(e)
1,860‌
279‌
Align
Technology
Inc
(b),(e)
1,256‌
274‌
Carl
Zeiss
Meditec
AG
811‌
86‌
Cellavision
AB
3,070‌
93‌
Cochlear
Ltd
3,851‌
527‌
Coloplast
A/S
174‌
23‌
Danaher
Corp
(b)
3,817‌
552‌
DiaSorin
SpA
1,537‌
176‌
Edwards
Lifesciences
Corp
(b),(e)
861‌
176‌
Elekta
AB
6,560‌
70‌
Globus
Medical
Inc
(e)
1,186‌
54‌
Haemonetics
Corp
(e)
1,334‌
145‌
Henry
Schein
Inc
(b),(e)
8,421‌
513‌
Hill-Rom
Holdings
Inc
1,033‌
99‌
Insulet
Corp
(e)
2,337‌
444‌
Intuitive
Surgical
Inc
(e)
881‌
470‌
Koninklijke
Philips
NV
9,063‌
388‌
Medtronic
PLC
(b)
16,378‌
1,649‌
Natus
Medical
Inc
(e)
2,437‌
66‌
Novocure
Ltd
(e)
517‌
38‌
Olympus
Corp
13,600‌
246‌
OraSure
Technologies
Inc
(e)
6,383‌
39‌
Sonova
Holding
AG
91‌
22‌
STERIS
PLC
1,675‌
266‌
Sysmex
Corp
3,800‌
243‌
Tandem
Diabetes
Care
Inc
(e)
2,368‌
177‌
Thermo
Fisher
Scientific
Inc
(b)
2,421‌
704‌
Varian
Medical
Systems
Inc
(b),(e)
11,585‌
1,424‌
Zimmer
Biomet
Holdings
Inc
358‌
49‌
$
9,833‌
Healthcare
-
Services
-
0.52%
DaVita
Inc
(b),(e)
3,510‌
272‌
HCA
Healthcare
Inc
2,636‌
335‌
Humana
Inc
(b)
3,176‌
1,015‌
IQVIA
Holdings
Inc
(e)
5,350‌
746‌
Laboratory
Corp
of
America
Holdings
(e)
1,877‌
330‌
Lonza
Group
AG
1,870‌
746‌
Orpea
1,582‌
205‌
Quest
Diagnostics
Inc
(b)
2,881‌
306‌
Sonic
Healthcare
Ltd
1,203‌
23‌
Teladoc
Health
Inc
(e)
693‌
87‌
UnitedHealth
Group
Inc
(b)
1,690‌
431‌
Universal
Health
Services
Inc
(b)
1,429‌
177‌
$
4,673‌
Holding
Companies
-
Diversified
-
0.02%
CK
Hutchison
Holdings
Ltd
14,500‌
128‌
US
Well
Services
Inc
-
Warrants
(e)
103,668‌
5‌
Washington
H
Soul
Pattinson
&
Co
Ltd
852‌
11‌
$
144‌
Home
Builders
-
0.41%
Berkeley
Group
Holdings
PLC
7,911‌
488‌
Cairn
Homes
PLC
143,660‌
194‌
Cavco
Industries
Inc
(e)
623‌
126‌
DR
Horton
Inc
363‌
19‌
Glenveagh
Properties
PLC
(e),(g)
183,548‌
153‌
Installed
Building
Products
Inc
(e)
1,405‌
93‌
Kaufman
&
Broad
SA
3,486‌
141‌
Lennar
Corp
-
A
Shares
556‌
33‌
NVR
Inc
(b),(e)
426‌
1,562‌
Persimmon
PLC
11,568‌
428‌
PulteGroup
Inc
(b)
7,470‌
301‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
82
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Home
Builders
(continued)
Skyline
Champion
Corp
(e)
7,069‌
$
180‌
$
3,718‌
Home
Furnishings
-
0.11%
Hoshizaki
Corp
6,800‌
576‌
Leggett
&
Platt
Inc
(b)
7,334‌
291‌
Whirlpool
Corp
881‌
113‌
$
980‌
Housewares
-
0.03%
Newell
Brands
Inc
(b)
19,910‌
307‌
Insurance
-
2.11%
Admiral
Group
PLC
17,435‌
479‌
Aflac
Inc
(b)
8,460‌
363‌
Alleghany
Corp
(e)
1,861‌
1,251‌
Allianz
SE
1,463‌
319‌
Allstate
Corp/The
(b)
2,332‌
245‌
Aon
PLC
1,485‌
309‌
Arthur
J
Gallagher
&
Co
1,935‌
189‌
Assurant
Inc
(b)
2,217‌
267‌
Beazley
PLC
22,100‌
153‌
Berkshire
Hathaway
Inc
-
Class
B
(b),(e)
16,748‌
3,455‌
Chubb
Ltd
(b)
2,010‌
291‌
Cincinnati
Financial
Corp
(b)
4,515‌
420‌
CNP
Assurances
11,002‌
173‌
Direct
Line
Insurance
Group
PLC
27,649‌
110‌
Everest
Re
Group
Ltd
318‌
79‌
Fairfax
Financial
Holdings
Ltd
1,100‌
474‌
Fidelity
National
Financial
Inc
(b)
23,435‌
908‌
Genworth
Financial
Inc
157,697‌
615‌
Globe
Life
Inc
(b)
3,516‌
326‌
Hartford
Financial
Services
Group
Inc/The
(b)
3,959‌
198‌
Insurance
Australia
Group
Ltd
288,150‌
1,213‌
James
River
Group
Holdings
Ltd
2,382‌
96‌
Lancashire
Holdings
Ltd
9,600‌
90‌
Loews
Corp
801‌
37‌
Markel
Corp
(b),(e)
1,226‌
1,449‌
Marsh
&
McLennan
Cos
Inc
(b)
9,068‌
948‌
MBIA
Inc
(e)
8,587‌
67‌
Medibank
Pvt
Ltd
28,877‌
54‌
MetLife
Inc
(b)
5,463‌
234‌
NMI
Holdings
Inc
(e)
3,150‌
74‌
NN
Group
NV
1,775‌
61‌
Progressive
Corp/The
5,662‌
414‌
Prudential
Financial
Inc
46‌
3‌
Radian
Group
Inc
5,027‌
107‌
RSA
Insurance
Group
PLC
16,325‌
109‌
Sampo
Oyj
20,860‌
852‌
Sony
Financial
Holdings
Inc
22,181‌
442‌
Third
Point
Reinsurance
Ltd
(e)
7,017‌
63‌
Travelers
Cos
Inc/The
(b)
826‌
99‌
Tryg
A/S
10,091‌
283‌
Unum
Group
462‌
11‌
White
Mountains
Insurance
Group
Ltd
266‌
263‌
Willis
Towers
Watson
PLC
6,812‌
1,289‌
WR
Berkley
Corp
2,101‌
141‌
$
19,023‌
Internet
-
2.01%
Adevinta
ASA
-
B
Shares
(e)
29,845‌
310‌
Alphabet
Inc
-
A
Shares
(b),(e)
2,350‌
3,147‌
Amazon.com
Inc
(b),(e)
1,586‌
2,988‌
Booking
Holdings
Inc
(e)
461‌
782‌
Cardlytics
Inc
(e)
629‌
50‌
CDW
Corp/DE
883‌
101‌
Cerved
Group
SpA
21,559‌
205‌
DraftKings
Inc
(e),(f),(h),(i)
54,277‌
280‌
eBay
Inc
(b)
30,447‌
1,055‌
Expedia
Group
Inc
178‌
18‌
Facebook
Inc
(b),(e)
7,117‌
1,369‌
GoDaddy
Inc
(e)
9,405‌
658‌
JD.com
Inc
ADR
(e)
11,463‌
441‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Internet
(continued)
Kakaku.com
Inc
13,000‌
$
278‌
Klarna
Holding
AB
(e),(f),(h),(i)
808‌
190‌
Limelight
Networks
Inc
(e)
23,328‌
118‌
Match
Group
Inc
(e)
803‌
52‌
Mimecast
Ltd
(e)
3,323‌
132‌
MonotaRO
Co
Ltd
33,900‌
755‌
Netflix
Inc
(e)
1,069‌
395‌
NortonLifeLock
Inc
(b)
44,086‌
839‌
Pinterest
Inc
(e)
1,321‌
26‌
Proofpoint
Inc
(e)
700‌
75‌
Rubicon
Project
Inc/The
(e)
9,000‌
102‌
Scout24
AG
(g)
5,701‌
375‌
Spotify
Technology
SA
(e)
2,682‌
368‌
TripAdvisor
Inc
(b)
1,249‌
29‌
Uber
Technologies
Inc
(e)
42,792‌
1,449‌
VeriSign
Inc
(b),(e)
2,964‌
562‌
Z
Holdings
Corp
266,825‌
968‌
$
18,117‌
Iron
&
Steel
-
0.22%
Evraz
PLC
131,704‌
563‌
Hitachi
Metals
Ltd
88,957‌
1,281‌
Nucor
Corp
(b)
3,299‌
136‌
Reliance
Steel
&
Aluminum
Co
41‌
4‌
$
1,984‌
Leisure
Products
&
Services
-
0.28%
BRP
Inc
2,122‌
87‌
Carnival
Corp
(b)
14,102‌
472‌
CTS
Eventim
AG
&
Co
KGaA
3,659‌
196‌
Malibu
Boats
Inc
(e)
1,834‌
81‌
MIPS
AB
6,549‌
146‌
Norwegian
Cruise
Line
Holdings
Ltd
(e)
1,732‌
64‌
Peloton
Interactive
Inc
(e)
7,496‌
200‌
Planet
Fitness
Inc
(e)
3,633‌
245‌
Shimano
Inc
6,400‌
889‌
Thule
Group
AB
(g)
5,653‌
124‌
$
2,504‌
Lodging
-
0.22%
Choice
Hotels
International
Inc
6,075‌
555‌
Hilton
Worldwide
Holdings
Inc
(b)
6,504‌
632‌
InterContinental
Hotels
Group
PLC
1,048‌
58‌
MGM
Resorts
International
(b)
19,766‌
485‌
Wyndham
Hotels
&
Resorts
Inc
4,260‌
217‌
Wynn
Macau
Ltd
9,600‌
20‌
$
1,967‌
Machinery
-
Construction
&
Mining
-
0.14%
Argan
Inc
3,534‌
148‌
Astec
Industries
Inc
2,438‌
92‌
Caterpillar
Inc
3,859‌
479‌
Mitsubishi
Heavy
Industries
Ltd
400‌
13‌
Sandvik
AB
29,959‌
499‌
$
1,231‌
Machinery
-
Diversified
-
0.60%
Atlas
Copco
AB
-
A
Shares
5,442‌
194‌
Chart
Industries
Inc
(e)
1,024‌
58‌
Curtiss-Wright
Corp
784‌
94‌
Deere
&
Co
180‌
28‌
Dover
Corp
(b)
10,984‌
1,129‌
Flowserve
Corp
(b)
151‌
6‌
GEA
Group
AG
2,233‌
60‌
Hexagon
AB
11,282‌
608‌
Ichor
Holdings
Ltd
(e)
2,633‌
76‌
IDEX
Corp
(b)
10,009‌
1,481‌
Inficon
Holding
AG
159‌
112‌
Interpump
Group
SpA
5,309‌
161‌
Keyence
Corp
100‌
32‌
Kone
Oyj
5,913‌
335‌
Marel
HF
(g)
28,882‌
129‌
Rockwell
Automation
Inc
2,791‌
512‌
Spirax-Sarco
Engineering
PLC
993‌
109‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
83
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Machinery
-
Diversified
(continued)
Stabilus
SA
2,321‌
$
127‌
Washtec
AG
2,580‌
140‌
Westinghouse
Air
Brake
Technologies
Corp
267‌
18‌
$
5,409‌
Media
-
0.72%
Altice
USA
Inc
(e)
32,444‌
839‌
Charter
Communications
Inc
(b),(e)
3,278‌
1,617‌
Comcast
Corp
-
Class
A
519‌
21‌
Discovery
Inc
-
A
Shares
(e)
9,401‌
241‌
Discovery
Inc
-
C
Shares
(b),(e)
24,249‌
609‌
DISH
Network
Corp
(e)
767‌
26‌
FactSet
Research
Systems
Inc
687‌
183‌
Fox
Corp
-
A
Shares
1,075‌
33‌
iHeartMedia
Inc
(e)
18,582‌
281‌
Liberty
Global
PLC
-
A
Shares
(e)
2,800‌
55‌
Liberty
Global
PLC
-
C
Shares
(e)
13,895‌
258‌
Quebecor
Inc
6,800‌
159‌
Shaw
Communications
Inc
15,700‌
272‌
TEGNA
Inc
5,922‌
85‌
Telenet
Group
Holding
NV
5,335‌
205‌
ViacomCBS
Inc
501‌
12‌
Walt
Disney
Co/The
(b)
8,578‌
1,009‌
Wolters
Kluwer
NV
8,345‌
610‌
$
6,515‌
Metal
Fabrication
&
Hardware
-
0.06%
Advanced
Drainage
Systems
Inc
3,556‌
149‌
Rexnord
Corp
8,106‌
237‌
Troax
Group
AB
10,341‌
131‌
$
517‌
Mining
-
0.46%
BHP
Group
Ltd
24,722‌
537‌
BHP
Group
PLC
20,737‌
379‌
Compass
Minerals
International
Inc
1,263‌
69‌
Ecobat
Holdings,
Inc
-
Class
B
(e)
2,998‌
2,014‌
First
Quantum
Minerals
Ltd
5,200‌
38‌
Franco-Nevada
Corp
1,700‌
182‌
Kinross
Gold
Corp
(e)
36,300‌
183‌
Kirkland
Lake
Gold
Ltd
12,300‌
397‌
Rio
Tinto
PLC
4,033‌
190‌
Teck
Resources
Ltd
17,100‌
172‌
$
4,161‌
Miscellaneous
Manufacturers
-
0.51%
3M
Co
(b)
4,850‌
724‌
Alstom
SA
3,968‌
196‌
AO
Smith
Corp
(b)
3,534‌
140‌
Eaton
Corp
PLC
(b)
9,039‌
819‌
Enerpac
Tool
Group
Corp
4,244‌
91‌
Illinois
Tool
Works
Inc
(b)
8,050‌
1,351‌
Ingersoll-Rand
PLC
(b)
7,173‌
925‌
ITT
Inc
1,743‌
105‌
JSR
Corp
7,923‌
138‌
Sturm
Ruger
&
Co
Inc
1,723‌
83‌
$
4,572‌
Office
&
Business
Equipment
-
0.08%
Xerox
Holdings
Corp
(b)
7,677‌
247‌
Zebra
Technologies
Corp
(b),(e)
2,069‌
437‌
$
684‌
Office
Furnishings
-
0.01%
Knoll
Inc
3,929‌
69‌
Oil
&
Gas
-
0.94%
Apache
Corp
(b)
25,378‌
632‌
Bellatrix
Exploration
Ltd
(e),(f),(h)
94,641‌
—‌
Cabot
Oil
&
Gas
Corp
1,037‌
15‌
Chevron
Corp
(b)
9,131‌
852‌
Concho
Resources
Inc
13,062‌
889‌
ConocoPhillips
(b)
21,386‌
1,036‌
Continental
Resources
Inc/OK
4,741‌
90‌
DCC
PLC
63‌
5‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Oil
&
Gas
(continued)
Devon
Energy
Corp
(b)
573‌
$
9‌
Dommo
Energia
SA
ADR
(e)
269‌
1‌
EOG
Resources
Inc
(b)
10,951‌
693‌
Exxon
Mobil
Corp
18,029‌
927‌
Helmerich
&
Payne
Inc
(b)
2,446‌
90‌
HollyFrontier
Corp
(b)
14,173‌
477‌
JXTG
Holdings
Inc
97,537‌
395‌
Lundin
Petroleum
AB
13,533‌
386‌
Marathon
Petroleum
Corp
(b)
1,880‌
89‌
Neste
Oyj
14,348‌
573‌
Occidental
Petroleum
Corp
(b)
12,400‌
406‌
Ovintiv
Inc
13,260‌
153‌
Phillips
66
(b)
2,946‌
221‌
Royal
Dutch
Shell
PLC
-
A
Shares
5,143‌
111‌
Suncor
Energy
Inc
5,200‌
143‌
Valero
Energy
Corp
3,695‌
245‌
Whiting
Petroleum
Corp
(e)
14,653‌
27‌
$
8,465‌
Oil
&
Gas
Services
-
0.13%
DMC
Global
Inc
2,124‌
76‌
Halliburton
Co
(b)
19,201‌
326‌
National
Oilwell
Varco
Inc
(b)
14,511‌
271‌
TechnipFMC
PLC
(b)
25,590‌
380‌
TGS
NOPEC
Geophysical
Co
ASA
5,174‌
121‌
$
1,174‌
Packaging
&
Containers
-
0.32%
Amcor
PLC
13,203‌
123‌
Ball
Corp
5,354‌
377‌
Crown
Holdings
Inc
(e)
5,515‌
389‌
Graphic
Packaging
Holding
Co
53,959‌
730‌
Packaging
Corp
of
America
(b)
1,534‌
139‌
Sealed
Air
Corp
(b)
30,213‌
916‌
Vidrala
SA
2,045‌
199‌
$
2,873‌
Pharmaceuticals
-
1.92%
AbbVie
Inc
(b)
25,031‌
2,146‌
Aerie
Pharmaceuticals
Inc
(e)
2,237‌
39‌
Aimmune
Therapeutics
Inc
(e)
1,948‌
46‌
Allergan
PLC
1,643‌
313‌
AmerisourceBergen
Corp
(b)
2,070‌
174‌
Astellas
Pharma
Inc
38,200‌
599‌
AstraZeneca
PLC
ADR
2,483‌
109‌
AstraZeneca
PLC
1,923‌
169‌
Becton
Dickinson
and
Co
602‌
143‌
Bristol-Myers
Squibb
Co
(b)
31,492‌
1,860‌
China
Biologic
Products
Holdings
Inc
(e)
6,571‌
758‌
Chugai
Pharmaceutical
Co
Ltd
1,600‌
172‌
Cigna
Corp
(b)
644‌
118‌
CVS
Health
Corp
(b)
27,941‌
1,653‌
DexCom
Inc
(e)
1,409‌
389‌
Elanco
Animal
Health
Inc
(e)
30,630‌
839‌
Galapagos
NV
ADR
(e)
246‌
52‌
Galapagos
NV
(e)
754‌
159‌
GlaxoSmithKline
PLC
749‌
15‌
Global
Blood
Therapeutics
Inc
(e)
1,725‌
110‌
Grifols
SA
ADR
3,047‌
65‌
Ipsen
SA
898‌
59‌
Jazz
Pharmaceuticals
PLC
(b),(e)
958‌
110‌
Johnson
&
Johnson
(b)
9,309‌
1,251‌
KalVista
Pharmaceuticals
Inc
(e)
3,953‌
53‌
Kyowa
Kirin
Co
Ltd
13,703‌
327‌
Merck
&
Co
Inc
(b)
8,786‌
673‌
Mylan
NV
(b),(e)
8,451‌
145‌
MyoKardia
Inc
(e)
877‌
56‌
Novartis
AG
4,195‌
353‌
Novo
Nordisk
A/S
6,840‌
401‌
Odonate
Therapeutics
Inc
(e)
1,847‌
55‌
Otsuka
Holdings
Co
Ltd
1,400‌
52‌
Pfizer
Inc
(b)
15,162‌
507‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
84
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Pharmaceuticals
(continued)
PRA
Health
Sciences
Inc
(e)
950‌
$
89‌
Principia
Biopharma
Inc
(e)
600‌
39‌
Rhythm
Pharmaceuticals
Inc
(e)
3,260‌
62‌
Roche
Holding
AG
7,229‌
2,324‌
Sarepta
Therapeutics
Inc
(e)
800‌
92‌
Shionogi
&
Co
Ltd
600‌
32‌
Sumitomo
Dainippon
Pharma
Co
Ltd
30,396‌
434‌
UCB
SA
2,095‌
194‌
$
17,236‌
Pipelines
-
0.08%
Enterprise
Products
Partners
LP
751‌
17‌
Kinder
Morgan
Inc/DE
(b)
35,697‌
684‌
Magellan
Midstream
Partners
LP
358‌
20‌
Southcross
Holdings
(e),(f),(h)
388,623‌
39‌
$
760‌
Private
Equity
-
0.02%
3i
Group
PLC
3,228‌
43‌
Blackstone
Group
Inc/The
2,702‌
145‌
$
188‌
Real
Estate
-
0.10%
Catena
AB
4,280‌
143‌
CBRE
Group
Inc
(b),(e)
4,828‌
271‌
CK
Asset
Holdings
Ltd
23,500‌
150‌
Daito
Trust
Construction
Co
Ltd
1,900‌
193‌
Hill
Street
(e),(f),(h)
222‌
6‌
Hill
Street
-
Warrants
(e),(f),(h)
377‌
—‌
LEG
Immobilien
AG
1,383‌
166‌
REA
Group
Ltd
158‌
10‌
WE
Company
Common
Class
A
(e),(f),(h),(i)
356‌
3‌
$
942‌
REITs
-
0.75%
Agree
Realty
Corp
1,306‌
94‌
Alexandria
Real
Estate
Equities
Inc
(b)
2,086‌
317‌
American
Tower
Corp
3,605‌
817‌
AvalonBay
Communities
Inc
505‌
101‌
Big
Yellow
Group
PLC
8,191‌
114‌
Boston
Properties
Inc
107‌
14‌
CoreCivic
Inc
5,425‌
80‌
Dexus
1,657‌
13‌
Digital
Realty
Trust
Inc
(b)
1,588‌
191‌
Duke
Realty
Corp
(b)
2,412‌
78‌
Easterly
Government
Properties
Inc
4,531‌
108‌
Equity
Residential
790‌
59‌
Extra
Space
Storage
Inc
(b)
4,123‌
414‌
Federal
Realty
Investment
Trust
515‌
60‌
Gaming
and
Leisure
Properties
Inc
320‌
14‌
Goodman
Group
11,129‌
109‌
Hibernia
REIT
plc
96,428‌
130‌
Iron
Mountain
Inc
692‌
21‌
Japan
Real
Estate
Investment
Corp
24‌
164‌
Japan
Retail
Fund
Investment
Corp
81‌
154‌
Kimco
Realty
Corp
(b)
918‌
16‌
Mid-America
Apartment
Communities
Inc
(b)
2,347‌
303‌
Monmouth
Real
Estate
Investment
Corp
6,726‌
96‌
Outfront
Media
Inc
3,100‌
82‌
Pebblebrook
Hotel
Trust
3,151‌
64‌
Piedmont
Office
Realty
Trust
Inc
3,800‌
82‌
PotlatchDeltic
Corp
5,486‌
202‌
Prologis
Inc
(b)
1,352‌
114‌
Public
Storage
(b)
3,956‌
827‌
Realty
Income
Corp
(b)
4,024‌
291‌
RPT
Realty
6,108‌
79‌
Scentre
Group
12,042‌
27‌
Segro
PLC
13,265‌
141‌
Simon
Property
Group
Inc
(b)
5,913‌
728‌
UDR
Inc
1,251‌
56‌
Vicinity
Centres
135,054‌
191‌
Welltower
Inc
1,407‌
105‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
REITs
(continued)
Weyerhaeuser
Co
(b)
10,485‌
$
273‌
$
6,729‌
Retail
-
2.63%
ABC-Mart
Inc
4,100‌
236‌
Advance
Auto
Parts
Inc
(b)
7,095‌
944‌
Alimentation
Couche-Tard
Inc
19,647‌
597‌
AutoZone
Inc
(b),(e)
1,964‌
2,028‌
Best
Buy
Co
Inc
(b)
2,713‌
205‌
Burlington
Stores
Inc
(e)
545‌
118‌
Cannae
Holdings
Inc
(e)
3,800‌
142‌
CarMax
Inc
(e)
4,902‌
428‌
Cheesecake
Factory
Inc/The
4,054‌
144‌
Children's
Place
Inc/The
2,258‌
130‌
Costco
Wholesale
Corp
(b)
1,297‌
365‌
Dollar
General
Corp
(b)
6,102‌
917‌
Domino's
Pizza
Inc
(b)
1,608‌
546‌
FamilyMart
Co
Ltd
17,100‌
373‌
Fast
Retailing
Co
Ltd
400‌
197‌
Five
Below
Inc
(e)
818‌
79‌
Floor
&
Decor
Holdings
Inc
(e)
4,552‌
232‌
Gap
Inc/The
(b)
43,863‌
629‌
Genuine
Parts
Co
1,670‌
146‌
Hennes
&
Mauritz
AB
19,144‌
347‌
Home
Depot
Inc/The
(b)
9,895‌
2,155‌
Jand
Inc
(e),(f),(h),(i)
1,693‌
27‌
Kohl's
Corp
(b)
12,578‌
492‌
Lowe's
Cos
Inc
(b)
17,203‌
1,833‌
Macy's
Inc
12,329‌
163‌
McDonald's
Corp
(b)
2,792‌
543‌
McDonald's
Holdings
Co
Japan
Ltd
8,900‌
375‌
Michaels
Cos
Inc/The
(e)
8,557‌
37‌
Moncler
SpA
7,529‌
296‌
Movado
Group
Inc
4,361‌
64‌
Next
PLC
3,912‌
308‌
Nitori
Holdings
Co
Ltd
2,700‌
375‌
Pandora
A/S
1,174‌
53‌
Panera
Bread
Co
(e),(f),(h)
1,664‌
—‌
Restaurant
Brands
International
Inc
1,000‌
59‌
Starbucks
Corp
(b)
11,563‌
907‌
Sundrug
Co
Ltd
11,200‌
349‌
Target
Corp
(b)
14,671‌
1,511‌
TJX
Cos
Inc/The
(b)
27,201‌
1,627‌
Tractor
Supply
Co
2,665‌
236‌
Vera
Bradley
Inc
(e)
5,872‌
49‌
Walgreens
Boots
Alliance
Inc
(b)
3,604‌
165‌
Walmart
Inc
(b)
13,942‌
1,501‌
Welcia
Holdings
Co
Ltd
5,600‌
334‌
Wesfarmers
Ltd
7,445‌
199‌
Yum
China
Holdings
Inc
1,747‌
77‌
Yum!
Brands
Inc
(b)
13,094‌
1,168‌
$
23,706‌
Savings
&
Loans
-
0.02%
OceanFirst
Financial
Corp
4,001‌
82‌
Sterling
Bancorp/DE
4,323‌
71‌
$
153‌
Semiconductors
-
1.46%
Advanced
Micro
Devices
Inc
(e)
8,764‌
399‌
Applied
Materials
Inc
(b)
21,929‌
1,274‌
ASML
Holding
NV
2,095‌
581‌
BE
Semiconductor
Industries
NV
2,132‌
83‌
Broadcom
Inc
(b)
2,869‌
782‌
Entegris
Inc
2,325‌
124‌
FormFactor
Inc
(e)
4,151‌
93‌
Hamamatsu
Photonics
KK
4,700‌
183‌
Intel
Corp
(b)
27,388‌
1,520‌
IPG
Photonics
Corp
(e)
129‌
16‌
KLA
Corp
407‌
63‌
Lam
Research
Corp
(b)
4,177‌
1,226‌
Marvell
Technology
Group
Ltd
7,392‌
157‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
85
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Semiconductors
(continued)
Maxim
Integrated
Products
Inc
8,898‌
$
495‌
Microchip
Technology
Inc
3,314‌
301‌
Micron
Technology
Inc
(e)
2,704‌
142‌
NVIDIA
Corp
(b)
3,720‌
1,005‌
NXP
Semiconductors
NV
92‌
10‌
Qorvo
Inc
(b),(e)
10,741‌
1,080‌
QUALCOMM
Inc
(b)
7,734‌
606‌
Renesas
Electronics
Corp
(e)
61,793‌
376‌
Rohm
Co
Ltd
5,288‌
346‌
Silicon
Motion
Technology
Corp
ADR
2,066‌
77‌
Skyworks
Solutions
Inc
(b)
8,110‌
812‌
SOITEC
(e)
1,618‌
135‌
Texas
Instruments
Inc
(b)
5,875‌
671‌
Tokyo
Electron
Ltd
1,000‌
209‌
Tower
Semiconductor
Ltd
(e)
14,452‌
286‌
Xperi
Corp
5,005‌
86‌
$
13,138‌
Shipbuilding
-
0.01%
Huntington
Ingalls
Industries
Inc
426‌
88‌
Software
-
2.44%
Activision
Blizzard
Inc
2,426‌
141‌
Adobe
Inc
(e)
4,145‌
1,431‌
Akamai
Technologies
Inc
(b),(e)
2,352‌
203‌
Avid
Technology
Inc
(e)
10,255‌
76‌
Bandwidth
Inc
(e)
2,665‌
168‌
Black
Knight
Inc
(e)
6,546‌
437‌
Cadence
Design
Systems
Inc
(b),(e)
9,879‌
653‌
CDK
Global
Inc
9,140‌
421‌
Cerner
Corp
(b)
3,380‌
234‌
Change
Healthcare
Inc
(e)
69,838‌
949‌
Citrix
Systems
Inc
(b)
8,478‌
877‌
Cloudera
Inc
(e)
12,392‌
110‌
Constellation
Software
Inc/Canada
608‌
619‌
CSG
Systems
International
Inc
1,787‌
79‌
Dassault
Systemes
SE
4,040‌
641‌
Dropbox
Inc
-
A
Shares
(b),(e)
15,314‌
300‌
Electronic
Arts
Inc
(b),(e)
774‌
78‌
Envestnet
Inc
(e)
1,431‌
108‌
Everbridge
Inc
(e)
734‌
78‌
Fair
Isaac
Corp
(e)
333‌
125‌
Fidelity
National
Information
Services
Inc
8,025‌
1,121‌
Five9
Inc
(e)
1,290‌
94‌
Guidewire
Software
Inc
(e)
3,072‌
337‌
HubSpot
Inc
(e)
578‌
104‌
Microsoft
Corp
(b)
33,708‌
5,461‌
MINDBODY
Inc
(e),(f),(h)
9,229‌
337‌
MSCI
Inc
(b)
2,953‌
872‌
Omnicell
Inc
(e)
2,940‌
240‌
Oracle
Corp
(b)
22,729‌
1,124‌
Paychex
Inc
6,935‌
537‌
PROS
Holdings
Inc
(e)
931‌
43‌
SAP
SE
5,669‌
708‌
ServiceNow
Inc
(b),(e)
937‌
305‌
SimCorp
A/S
606‌
58‌
Slack
Technologies
Inc
(e)
8,558‌
231‌
Splunk
Inc
(e)
2,550‌
376‌
Tabula
Rasa
HealthCare
Inc
(e)
1,588‌
89‌
Take-Two
Interactive
Software
Inc
(b),(e)
6,797‌
731‌
Ubisoft
Entertainment
SA
(e)
45‌
3‌
Veeva
Systems
Inc
(b),(e)
2,625‌
373‌
Workday
Inc
(e)
5,849‌
1,013‌
Zoom
Video
Communications
Inc
(e)
658‌
69‌
$
21,954‌
Telecommunications
-
0.91%
AT&T
Inc
(b)
58,814‌
2,071‌
Calix
Inc
(e)
12,359‌
111‌
Cisco
Systems
Inc
(b)
17,890‌
714‌
Corning
Inc
(b)
10,801‌
258‌
Deutsche
Telekom
AG
51,644‌
846‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Telecommunications
(continued)
Elisa
Oyj
539‌
$
31‌
Harmonic
Inc
(e)
16,089‌
99‌
Hellenic
Telecommunications
Organization
SA
11,201‌
159‌
Hikari
Tsushin
Inc
100‌
19‌
HMS
Networks
AB
4,996‌
66‌
InterDigital
Inc
1,443‌
76‌
Juniper
Networks
Inc
(b)
6,907‌
147‌
Motorola
Solutions
Inc
(b)
10,623‌
1,760‌
Oi
SA
ADR
(e)
4,925‌
5‌
Ooma
Inc
(e)
5,756‌
74‌
Plantronics
Inc
2,630‌
36‌
Rogers
Communications
Inc
1,600‌
73‌
Sectra
AB
-
B
Shares
(e)
2,648‌
97‌
SES
SA
3,633‌
42‌
Softbank
Corp
9,600‌
126‌
SoftBank
Group
Corp
25,686‌
1,194‌
Spark
New
Zealand
Ltd
7,108‌
20‌
T-Mobile
US
Inc
(b),(e)
1,339‌
121‌
Verizon
Communications
Inc
(b)
1,278‌
69‌
$
8,214‌
Textiles
-
0.00%
Mohawk
Industries
Inc
(e)
377‌
46‌
Toys,
Games
&
Hobbies
-
0.07%
Games
Workshop
Group
PLC
1,676‌
137‌
Nintendo
Co
Ltd
1,400‌
470‌
$
607‌
Transportation
-
0.52%
Aurizon
Holdings
Ltd
59,726‌
190‌
Canadian
National
Railway
Co
5,155‌
437‌
Canadian
Pacific
Railway
Ltd
400‌
99‌
Central
Japan
Railway
Co
1,800‌
296‌
CH
Robinson
Worldwide
Inc
(b)
3,234‌
223‌
CSX
Corp
(b)
418‌
29‌
Dorian
LPG
Ltd
(e)
19,152‌
213‌
East
Japan
Railway
Co
100‌
8‌
Expeditors
International
of
Washington
Inc
(b)
7,858‌
554‌
Hub
Group
Inc
(e)
1,600‌
74‌
JB
Hunt
Transport
Services
Inc
2,846‌
274‌
Kansas
City
Southern
(b)
3,770‌
568‌
Scorpio
Tankers
Inc
8,843‌
175‌
SEACOR
Holdings
Inc
(e)
4,543‌
169‌
Seibu
Holdings
Inc
36,200‌
513‌
Union
Pacific
Corp
(b)
4,766‌
762‌
United
Parcel
Service
Inc
991‌
90‌
$
4,674‌
Trucking
&
Leasing
-
0.03%
GATX
Corp
3,447‌
247‌
Water
-
0.03%
Veolia
Environnement
SA
7,879‌
227‌
TOTAL
COMMON
STOCKS
$
343,421‌
CONVERTIBLE
PREFERRED
STOCKS
-
0.11%
Shares
Held
Value
(000's)
Agriculture
-
0.08%
Bunge
Ltd
4.88%
(j)
6,930‌
$
693‌
Internet
-
0.02%
Airbnb
Inc
-
Series
E
0.00%
(e),(f),(h),(i)
1,685‌
200‌
Oil
&
Gas
-
0.00%
Chesapeake
Energy
Corp
5.75%
(j)
355‌
46‌
Pipelines
-
0.00%
El
Paso
Energy
Capital
Trust
I
4.75%,
03/31/2028
452‌
23‌
Retail
-
0.01%
Jand
Inc
0.00%
(e),(f),(h),(i)
3,781‌
60‌
TOTAL
CONVERTIBLE
PREFERRED
STOCKS
$
1,022‌
PREFERRED
STOCKS
-
0.38%
Shares
Held
Value
(000's)
Automobile
Manufacturers
-
0.03%
Volkswagen
AG
6.56%
1,659‌
275‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
86
PREFERRED
STOCKS
(continued)
Shares
Held
Value
(000’s)
Chemicals
-
0.01%
FUCHS
PETROLUB
SE
0.97%
1,260‌
$
48‌
Internet
-
0.00%
Veracode
Inc
0.00%
(e),(f),(h),(i)
6,031‌
3‌
Pipelines
-
0.30%
Southcross
Energy
Series
A
0.00%
(e),(f),(h)
2,399,338‌
1,871‌
Southcross
Energy
Series
B
0.00%
(e),(f),(h)
703,848‌
845‌
$
2,716‌
Private
Equity
-
0.02%
Forward
Venture
Services
LLC
0.00%
(e),(f),(h),(i)
32,815‌
184‌
Real
Estate
-
0.01%
WE
Company
Preferred
D-1
0.00%
(e),(f),(h),(i)
4,867‌
54‌
WE
Company
Preferred
D-2
0.00%
(e),(f),(h),(i)
3,824‌
43‌
$
97‌
Software
-
0.01%
Marklogic
Corp
0.00%
(e),(f),(h),(i)
14,832‌
131‌
TOTAL
PREFERRED
STOCKS
$
3,454‌
BONDS
-
38.61%
Principal
Amount
(000's)
Value
(000's)
Advertising
-
0.01%
Outfront
Media
Capital
LLC
/
Outfront
Media
Capital
Corp
4.63%,
03/15/2030
(g)
$
120‌
$
120‌
Aerospace
&
Defense
-
0.09%
Leonardo
US
Holdings
Inc
6.25%,
01/15/2040
(g)
716‌
796‌
Spirit
AeroSystems
Inc
4.60%,
06/15/2028
35‌
35‌
$
831‌
Agriculture
-
0.28%
JBS
Investments
II
GmbH
7.00%,
01/15/2026
(g)
2,400‌
2,562‌
Airlines
-
0.16%
Latam
Airlines
2015-1
Pass
Through
Trust
B
4.50%,
08/15/2025
475‌
476‌
United
Airlines
2019-2
Class
B
Pass
Through
Trust
3.50%,
11/01/2029
925‌
959‌
$
1,435‌
Automobile
Asset
Backed
Securities
-
2.02%
Ally
Auto
Receivables
Trust
2019-4
1.84%,
06/17/2024
705‌
712‌
Americredit
Automobile
Receivables
Trust
2018-2
4.01%,
07/18/2024
550‌
583‌
Americredit
Automobile
Receivables
Trust
2018-3
1.91%,
01/18/2022
185‌
185‌
1.00
x
1
Month
USD
LIBOR
+
0.25%
4.04%,
11/18/2024
670‌
712‌
AmeriCredit
Automobile
Receivables
Trust
2019-3
2.06%,
04/18/2024
330‌
334‌
Avid
Automobile
Receivables
Trust
2019-1
3.14%,
07/15/2026
(g)
150‌
153‌
CarMax
Auto
Owner
Trust
2.64%,
07/15/2026
175‌
179‌
CarMax
Auto
Owner
Trust
2018-1
3.37%,
07/15/2024
25‌
26‌
CarMax
Auto
Owner
Trust
2018-2
3.99%,
04/15/2025
320‌
335‌
Carmax
Auto
Owner
Trust
2018-4
4.15%,
04/15/2025
205‌
217‌
Carmax
Auto
Owner
Trust
2019-1
3.05%,
03/15/2024
1,415‌
1,454‌
Chesapeake
Funding
II
LLC
3.57%,
04/15/2030
(g)
175‌
181‌
3.71%,
05/15/2029
(g)
130‌
133‌
3.92%,
04/15/2030
(g)
455‌
472‌
CIG
AUTO
RECEIVABLES
TRUST
2017-1
2.71%,
05/15/2023
(g)
15‌
15‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Automobile
Asset
Backed
Securities
(continued)
CPS
Auto
Receivables
Trust
2017-D
3.73%,
09/15/2023
(g)
$
190‌
$
194‌
CPS
Auto
Receivables
Trust
2018-A
3.05%,
12/15/2023
(g)
105‌
106‌
CPS
Auto
Receivables
Trust
2018-D
3.83%,
09/15/2023
(g)
330‌
339‌
Drive
Auto
Receivables
Trust
2018-1
3.81%,
05/15/2024
685‌
698‌
Drive
Auto
Receivables
Trust
2018-5
4.30%,
04/15/2026
420‌
437‌
Drive
Auto
Receivables
Trust
2019-1
4.09%,
06/15/2026
260‌
269‌
Drive
Auto
Receivables
Trust
2019-3
2.49%,
06/15/2023
205‌
207‌
DT
Auto
Owner
Trust
2018-2
4.15%,
03/15/2024
(g)
290‌
299‌
DT
Auto
Owner
Trust
2018-3
3.79%,
07/15/2024
(g)
395‌
404‌
First
Investors
Auto
Owner
Trust
2016-2
3.35%,
11/15/2022
(g)
70‌
71‌
First
Investors
Auto
Owner
Trust
2019-2
2.80%,
12/15/2025
(g)
75‌
77‌
3.88%,
01/15/2026
(g)
175‌
179‌
Flagship
Credit
Auto
Trust
2019-2
3.53%,
05/15/2025
(g)
520‌
545‌
Ford
Credit
Auto
Owner
Trust
2017-B
1.69%,
11/15/2021
653‌
653‌
GLS
Auto
Receivables
Issuer
Trust
2019-2
3.54%,
02/18/2025
(g)
785‌
812‌
Hertz
Vehicle
Financing
II
LP
3.29%,
10/25/2023
(g)
315‌
328‌
4.39%,
02/25/2024
(g)
135‌
142‌
5.31%,
10/25/2023
(g)
185‌
198‌
Honda
Auto
Receivables
2016-4
Owner
Trust
1.21%,
12/18/2020
9‌
9‌
Honda
Auto
Receivables
2017-3
Owner
Trust
1.79%,
09/20/2021
158‌
158‌
Motor
2017-1
PLC
2.16%,
09/25/2024
(g)
143‌
143‌
1.00
x
1
Month
USD
LIBOR
+
0.53%
Nissan
Auto
Receivables
2017-A
Owner
Trust
1.74%,
08/16/2021
100‌
100‌
Nissan
Auto
Receivables
2018-A
Owner
Trust
2.65%,
05/16/2022
622‌
626‌
Prestige
Auto
Receivables
Trust
2016-1
5.15%,
11/15/2021
(g)
815‌
827‌
Prestige
Auto
Receivables
Trust
2019-1
3.90%,
05/15/2026
(g)
145‌
149‌
Santander
Drive
Auto
Receivables
Trust
2018-2
3.88%,
02/15/2024
800‌
827‌
Santander
Drive
Auto
Receivables
Trust
2018-5
3.81%,
12/16/2024
490‌
499‌
Santander
Drive
Auto
Receivables
Trust
2019-2
3.22%,
07/15/2025
655‌
672‌
Tidewater
Auto
Receivables
Trust
2018-A
4.30%,
11/15/2024
(g)
100‌
103‌
Toyota
Auto
Receivables
2017-A
Owner
Trust
1.73%,
02/16/2021
37‌
37‌
Toyota
Auto
Receivables
2018-B
Owner
Trust
2.96%,
09/15/2022
1,190‌
1,203‌
United
Auto
Credit
Securitization
Trust
2019-1
3.16%,
08/12/2024
(g)
480‌
483‌
Westlake
Automobile
Receivables
Trust
2018-1
3.41%,
05/15/2023
(g)
175‌
177‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
87
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Automobile
Asset
Backed
Securities
(continued)
Westlake
Automobile
Receivables
Trust
2018-3
2.01%,
01/18/2022
(g)
$
291‌
$
291‌
1.00
x
1
Month
USD
LIBOR
+
0.35%
4.00%,
10/16/2023
(g)
225‌
233‌
$
18,186‌
Automobile
Floor
Plan
Asset
Backed
Securities
-
0.02%
Navistar
Financial
Dealer
Note
Master
Owner
Trust
II
2.26%,
09/25/2023
(g)
205‌
205‌
1.00
x
1
Month
USD
LIBOR
+
0.63%
Automobile
Manufacturers
-
0.08%
American
Honda
Finance
Corp
1.95%,
05/20/2022
300‌
304‌
2.10%,
05/10/2023
445‌
444‌
3
Month
USD
LIBOR
+
0.37%
$
748‌
Banks
-
1.74%
Banco
Hipotecario
SA
35.19%,
11/07/2022
(g)
ARS
10,245‌
156‌
Argentina
Deposit
Rates
Badlar
Private
Banks
ARS
30
to
35
Days
+
4.00%
Banco
Macro
SA
17.50%,
05/08/2022
(g)
5,115‌
45‌
Banco
Mercantil
del
Norte
SA/Grand
Cayman
6.75%,
12/31/2049
(g),(j),(k)
$
725‌
767‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.97%
6.75%,
12/31/2049
(j),(k)
1,925‌
2,036‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.97%
Banco
Supervielle
SA
38.71%,
08/09/2020
(g)
ARS
5,500‌
84‌
Argentina
Deposit
Rates
Badlar
Private
Banks
ARS
30
to
35
Days
+
4.50%
Bancolombia
SA
4.63%,
12/18/2029
(k)
$
1,500‌
1,528‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.94%
Bank
Leumi
Le-Israel
BM
3.28%,
01/29/2031
(g),(k)
2,975‌
2,971‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
1.63%
Citibank
NA
2.29%,
05/20/2022
1,170‌
1,173‌
3
Month
USD
LIBOR
+
0.60%
Danske
Bank
A/S
3.24%,
12/20/2025
(g),(k)
200‌
210‌
3
Month
USD
LIBOR
+
1.59%
Financiera
de
Desarrollo
Territorial
SA
Findeter
7.88%,
08/12/2024
(g)
COP
3,380,000‌
1,020‌
International
Bank
of
Azerbaijan
OJSC
3.50%,
09/01/2024
$
2,000‌
1,930‌
MUFG
Union
Bank
NA
1.94%,
12/09/2022
750‌
754‌
United
States
Secured
Overnight
Financing
Rate
+
0.71%
PNC
Bank
NA
2.32%,
12/09/2022
1,480‌
1,487‌
3
Month
USD
LIBOR
+
0.43%
US
Bank
NA/Cincinnati
OH
2.28%,
12/09/2022
1,500‌
1,507‌
3
Month
USD
LIBOR
+
0.40%
$
15,668‌
Building
Materials
-
0.01%
Carrier
Global
Corp
1.92%,
02/15/2023
(g)
105‌
106‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Mortgage
Backed
Securities
-
5.06%
Banc
of
America
Commercial
Mortgage
Trust
2015-UBS7
3.17%,
09/15/2048
$
531‌
$
458‌
CCRESG
Commercial
Mortgage
Trust
2016-HEAT
5.49%,
04/10/2029
(g),(l)
255‌
261‌
COMM
2012-LC4
Mortgage
Trust
5.54%,
12/10/2044
(l)
10‌
11‌
COMM
2014-CCRE18
Mortgage
Trust
3.60%,
07/15/2047
(g)
1,925‌
1,616‌
COMM
2015-CCRE25
Mortgage
Trust
3.79%,
08/10/2048
(l)
2,280‌
2,111‌
COMM
2015-CCRE27
Mortgage
Trust
3.25%,
10/10/2048
(g)
2,800‌
2,338‌
COMM
2015-LC21
Mortgage
Trust
1.05%,
07/10/2048
(g),(l),(m)
10,000‌
540‌
1.05%,
07/10/2048
(g),(l),(m)
3,125‌
167‌
3.25%,
07/10/2048
(g)
1,012‌
846‌
COMM
2016-CR28
Mortgage
Trust
3.25%,
02/10/2049
(g)
850‌
705‌
Credit
Suisse
Commercial
Mortgage
Securities
Corp
2019-SLKZ
5.26%,
01/15/2034
(g)
155‌
155‌
1.00
x
1
Month
USD
LIBOR
+
3.60%
Csail
2015-C2
Commercial
Mortgage
Trust
4.19%,
06/15/2057
(l)
960‌
962‌
4.19%,
06/15/2057
(l)
2,184‌
2,006‌
CSAIL
2015-C3
Commercial
Mortgage
Trust
3.35%,
08/15/2048
(l)
1,690‌
1,483‌
CSMC
2014-USA
OA
LLC
4.37%,
09/15/2037
(g)
1,055‌
1,028‌
GS
Mortgage
Securities
Corp
II
4.41%,
07/10/2051
(g),(l)
635‌
528‌
GS
Mortgage
Securities
Trust
2014-GC20
4.96%,
04/10/2047
(g),(l)
1,820‌
1,685‌
GS
Mortgage
Securities
Trust
2015-GC32
4.43%,
07/10/2048
(g),(l)
2,476‌
2,023‌
HPLY
Trust
2019-HIT
3.26%,
11/15/2036
(g)
284‌
284‌
1.00
x
1
Month
USD
LIBOR
+
1.60%
JPMBB
Commercial
Mortgage
Securities
Trust
2013-C12
4.10%,
07/15/2045
(g),(l)
932‌
887‌
JPMBB
Commercial
Mortgage
Securities
Trust
2014-C21
3.90%,
08/15/2047
(g),(l)
1,120‌
900‌
JPMBB
Commercial
Mortgage
Securities
Trust
2014-C26
4.00%,
01/15/2048
(g)
1,300‌
1,153‌
JPMBB
Commercial
Mortgage
Securities
Trust
2015-C29
3.68%,
05/15/2048
(l),(n)
2,735‌
2,366‌
3.90%,
05/15/2048
(g),(l)
2,160‌
1,702‌
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2013-C12
3.71%,
10/15/2046
(g)
1,275‌
1,130‌
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2015-C25
4.53%,
10/15/2048
(g),(l)
350‌
317‌
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2017-C34
0.88%,
11/15/2052
(g),(l),(m)
3,150‌
191‌
Morgan
Stanley
Capital
I
Trust
2011-C2
5.49%,
06/15/2044
(g),(l)
475‌
482‌
5.49%,
06/15/2044
(g),(l)
160‌
157‌
Motel
6
Trust
2017-M6MZ
8.58%,
08/15/2024
(g)
955‌
964‌
1.00
x
1
Month
USD
LIBOR
+
6.93%
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
88
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Commercial
Mortgage
Backed
Securities
(continued)
SG
Commercial
Mortgage
Securities
Trust
2016-C5
2.54%,
10/10/2048
(g)
$
1,665‌
$
1,232‌
Starwood
Retail
Property
Trust
2014-STAR
4.41%,
11/15/2027
(g)
170‌
158‌
1.00
x
1
Month
USD
LIBOR
+
2.75%
6.06%,
11/15/2027
(g)
645‌
284‌
1.00
x
1
Month
USD
LIBOR
+
4.40%
Wells
Fargo
Commercial
Mortgage
Trust
2015-C26
3.25%,
02/15/2048
(g)
1,981‌
1,580‌
Wells
Fargo
Commercial
Mortgage
Trust
2015-C28
3.00%,
05/15/2048
(g)
1,794‌
1,398‌
Wells
Fargo
Commercial
Mortgage
Trust
2015-LC22
3.36%,
09/15/2058
(g)
260‌
212‌
Wells
Fargo
Commercial
Mortgage
Trust
2015-NXS1
2.88%,
05/15/2048
(g),(l)
1,485‌
1,356‌
Wells
Fargo
Commercial
Mortgage
Trust
2016-NXS6
2.00%,
11/15/2049
(g),(l),(m)
7,575‌
862‌
Wells
Fargo
Commercial
Mortgage
Trust
2019-JWDR
3.14%,
09/15/2031
(g),(l)
650‌
667‌
WF-RBS
Commercial
Mortgage
Trust
2011-C2
5.66%,
02/15/2044
(g),(l)
115‌
117‌
WFRBS
Commercial
Mortgage
Trust
2011-C3
5.68%,
03/15/2044
(g),(l)
350‌
305‌
WFRBS
Commercial
Mortgage
Trust
2011-C4
5.23%,
06/15/2044
(g),(l)
845‌
865‌
WFRBS
Commercial
Mortgage
Trust
2012-C6
5.58%,
04/15/2045
(g),(l)
500‌
529‌
WFRBS
Commercial
Mortgage
Trust
2012-C7
4.81%,
06/15/2045
(l)
80‌
82‌
4.81%,
06/15/2045
(g),(l)
225‌
194‌
WFRBS
Commercial
Mortgage
Trust
2014-C20
3.99%,
05/15/2047
(g)
267‌
223‌
WFRBS
Commercial
Mortgage
Trust
2014-C21
3.49%,
08/15/2047
(g)
1,030‌
837‌
3.50%,
08/15/2047
(g),(n)
4,515‌
4,082‌
WFRBS
Commercial
Mortgage
Trust
2014-LC14
3.50%,
03/15/2047
(g),(l)
1,300‌
1,096‌
$
45,535‌
Commercial
Services
-
0.18%
APX
Group
Inc
6.75%,
02/15/2027
(g)
1,000‌
969‌
United
Rentals
North
America
Inc
4.00%,
07/15/2030
630‌
613‌
$
1,582‌
Computers
-
0.18%
Apple
Inc
1.70%,
09/11/2022
720‌
729‌
Hewlett
Packard
Enterprise
Co
2.57%,
03/12/2021
930‌
934‌
3
Month
USD
LIBOR
+
0.68%
$
1,663‌
Consumer
Products
-
0.11%
Kronos
Acquisition
Holdings
Inc
9.00%,
08/15/2023
(g)
1,000‌
965‌
Credit
Card
Asset
Backed
Securities
-
0.49%
BA
Credit
Card
Trust
1.95%,
08/15/2022
1,030‌
1,030‌
Chase
Issuance
Trust
2.21%,
06/15/2023
1,150‌
1,156‌
1.00
x
1
Month
USD
LIBOR
+
0.55%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Credit
Card
Asset
Backed
Securities
(continued)
Citibank
Credit
Card
Issuance
Trust
1.89%,
04/07/2022
$
1,330‌
$
1,330‌
1.00
x
1
Month
USD
LIBOR
+
0.22%
Discover
Card
Execution
Note
Trust
3.04%,
07/15/2024
585‌
605‌
Genesis
Sales
Finance
Master
Trust
Series
2019-A
4.68%,
08/20/2023
(g)
255‌
261‌
$
4,382‌
Diversified
Financial
Services
-
1.37%
Aircastle
Ltd
4.25%,
06/15/2026
945‌
1,021‌
American
Express
Co
2.34%,
11/05/2021
870‌
876‌
3
Month
USD
LIBOR
+
0.60%
Ameriprise
Financial
Inc
3.00%,
03/22/2022
515‌
533‌
Capital
One
Bank
USA
NA
2.01%,
01/27/2023
(k)
1,445‌
1,458‌
United
States
Secured
Overnight
Financing
Rate
+
0.62%
CSN
Islands
XI
Corp
6.75%,
01/28/2028
(g)
1,950‌
1,769‌
Power
Finance
Corp
Ltd
5.25%,
08/10/2028
2,740‌
3,006‌
Shriram
Transport
Finance
Co
Ltd
5.10%,
07/16/2023
(g)
210‌
211‌
Unifin
Financiera
SAB
de
CV
7.25%,
09/27/2023
2,890‌
2,926‌
USAA
Capital
Corp
2.63%,
06/01/2021
(g)
560‌
570‌
$
12,370‌
Electric
-
0.38%
Adani
Electricity
Mumbai
Ltd
3.95%,
02/12/2030
(g)
1,800‌
1,809‌
Enel
SpA
8.75%,
09/24/2073
(g),(k)
320‌
372‌
USD
Swap
Semi-Annual
5
Year
+
5.88%
GenOn
Energy
Inc
-
Escrow
0.00%,
10/15/2018
(e),(f),(h)
6,993‌
—‌
0.00%,
10/15/2020
(e),(f),(h)
6,143‌
—‌
Vistra
Operations
Co
LLC
3.70%,
01/30/2027
(g)
1,210‌
1,229‌
$
3,410‌
Engineering
&
Construction
-
0.06%
GMR
Hyderabad
International
Airport
Ltd
5.38%,
04/10/2024
270‌
282‌
IHS
Netherlands
Holdco
BV
7.13%,
03/18/2025
(g)
265‌
281‌
$
563‌
Entertainment
-
0.34%
Resorts
World
Las
Vegas
LLC
/
RWLV
Capital
Inc
4.63%,
04/16/2029
(g)
2,800‌
3,033‌
Food
-
0.55%
JBS
USA
LUX
SA
/
JBS
USA
Food
Co
/
JBS
USA
Finance
Inc
5.50%,
01/15/2030
(g)
465‌
488‌
Kraft
Heinz
Foods
Co
4.38%,
06/01/2046
170‌
158‌
4.88%,
10/01/2049
(g)
270‌
266‌
5.00%,
06/04/2042
85‌
85‌
MARB
BondCo
PLC
7.00%,
03/15/2024
3,075‌
3,152‌
NBM
US
Holdings
Inc
7.00%,
05/14/2026
(g)
795‌
831‌
$
4,980‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
89
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Healthcare
-
Services
-
0.18%
Hadrian
Merger
Sub
Inc
8.50%,
05/01/2026
(g)
$
971‌
$
993‌
Rede
D'or
Finance
Sarl
4.50%,
01/22/2030
(g)
660‌
644‌
$
1,637‌
Insurance
-
0.36%
AIA
Group
Ltd
2.43%,
09/20/2021
(g)
515‌
515‌
3
Month
USD
LIBOR
+
0.52%
Metropolitan
Life
Global
Funding
I
2.14%,
01/13/2023
(g)
600‌
602‌
United
States
Secured
Overnight
Financing
Rate
+
0.57%
3.38%,
01/11/2022
(g)
835‌
865‌
New
York
Life
Global
Funding
2.95%,
01/28/2021
(g)
855‌
866‌
Reliance
Standard
Life
Global
Funding
II
2.15%,
01/21/2023
(g)
355‌
362‌
$
3,210‌
Internet
-
0.10%
Uber
Technologies
Inc
7.50%,
09/15/2027
(g)
570‌
594‌
8.00%,
11/01/2026
(g),(i)
255‌
266‌
$
860‌
Investment
Companies
-
0.09%
Ares
Capital
Corp
3.25%,
07/15/2025
750‌
767‌
Leisure
Products
&
Services
-
0.23%
Constellation
Merger
Sub
Inc
8.50%,
09/15/2025
(g),(n)
2,449‌
2,106‌
Lodging
-
0.21%
Boyd
Gaming
Corp
4.75%,
12/01/2027
(g)
430‌
424‌
Diamond
Resorts
International
Inc
10.75%,
09/01/2024
(g)
180‌
186‌
Marriott
International
Inc/MD
2.13%,
10/03/2022
455‌
458‌
2.54%,
03/08/2021
845‌
849‌
3
Month
USD
LIBOR
+
0.65%
$
1,917‌
Media
-
0.48%
Cable
Onda
SA
4.50%,
01/30/2030
(g)
205‌
209‌
Cengage
Learning
Inc
9.50%,
06/15/2024
(g)
1,548‌
1,348‌
Fox
Corp
3.67%,
01/25/2022
(g)
910‌
948‌
iHeartCommunications
Inc
4.75%,
01/15/2028
(g)
320‌
318‌
NBCUniversal
Enterprise
Inc
5.25%,
12/31/2099
(g),(j)
1,205‌
1,239‌
Ziggo
BV
4.88%,
01/15/2030
(g)
215‌
223‌
$
4,285‌
Mining
-
0.10%
First
Quantum
Minerals
Ltd
6.88%,
03/01/2026
(g)
205‌
192‌
Freeport-McMoRan
Inc
4.13%,
03/01/2028
(o)
62‌
59‌
4.25%,
03/01/2030
(o)
122‌
114‌
Minera
Mexico
SA
de
CV
4.50%,
01/26/2050
(g)
490‌
494‌
$
859‌
Miscellaneous
Manufacturers
-
0.12%
FXI
Holdings
Inc
7.88%,
11/01/2024
(g),(n)
1,182‌
1,111‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Mortgage
Backed
Securities
-
3.43%
Alternative
Loan
Trust
2003-22CB
5.75%,
12/25/2033
$
97‌
$
100‌
Alternative
Loan
Trust
2004-16CB
5.50%,
07/25/2034
72‌
74‌
5.50%,
08/25/2034
81‌
84‌
Alternative
Loan
Trust
2004-J10
6.00%,
09/25/2034
181‌
187‌
Alternative
Loan
Trust
2005-J1
5.50%,
02/25/2025
82‌
84‌
Banc
of
America
Alternative
Loan
Trust
2003-8
5.50%,
10/25/2033
73‌
75‌
Banc
of
America
Funding
2005-7
Trust
5.75%,
11/25/2035
75‌
82‌
Banc
of
America
Funding
2007-4
Trust
5.50%,
11/25/2034
98‌
99‌
Banc
of
America
Mortgage
2005-A
Trust
3.68%,
02/25/2035
(l)
25‌
25‌
CHL
Mortgage
Pass-Through
Trust
2004-HYB4
4.10%,
09/20/2034
(l)
32‌
32‌
Citigroup
Mortgage
Loan
Trust
2018-A
4.00%,
01/25/2068
(g),(l)
229‌
230‌
Citigroup
Mortgage
Loan
Trust
2018-C
4.13%,
03/25/2059
(g),(l)
516‌
522‌
Citigroup
Mortgage
Loan
Trust
2019-B
3.26%,
04/25/2066
(g),(l)
340‌
341‌
Connecticut
Avenue
Securities
Trust
2019-R04
6.88%,
06/25/2039
(g)
280‌
313‌
1.00
x
1
Month
USD
LIBOR
+
5.25%
Connecticut
Avenue
Securities
Trust
2019-R07
5.03%,
10/25/2039
(g)
2,000‌
2,055‌
1.00
x
1
Month
USD
LIBOR
+
3.40%
Connecticut
Avenue
Securities
Trust
2020-R01
4.88%,
01/25/2040
(g)
260‌
260‌
1.00
x
1
Month
USD
LIBOR
+
3.25%
CSFB
Mortgage-Backed
Pass-Through
Certificates
Series
2003-27
5.75%,
11/25/2033
38‌
39‌
CSMC
2018-RPL2
Trust
4.03%,
08/25/2062
(g),(l)
559‌
558‌
CSMC
2019-RP10
Trust
3.32%,
12/26/2059
(g),(l)
293‌
297‌
DSLA
Mortgage
Loan
Trust
2005-AR5
1.98%,
09/19/2045
134‌
109‌
1.00
x
1
Month
USD
LIBOR
+
0.33%
Dukinfield
II
PLC
2.05%,
12/20/2052
GBP
286‌
369‌
1.00
x
3
Month
GBP
LIBOR
+
1.25%
Fannie
Mae
Connecticut
Avenue
Securities
3.83%,
01/25/2030
$
38‌
39‌
1.00
x
1
Month
USD
LIBOR
+
2.20%
4.03%,
05/25/2030
65‌
66‌
1.00
x
1
Month
USD
LIBOR
+
2.40%
5.88%,
01/25/2031
4,451‌
4,918‌
1.00
x
1
Month
USD
LIBOR
+
4.25%
7.38%,
07/25/2029
1,215‌
1,444‌
1.00
x
1
Month
USD
LIBOR
+
5.75%
Fannie
Mae
REMICS
4.47%,
05/25/2047
(m)
1,931‌
413‌
(1.00)
x
1
Month
USD
LIBOR
+
6.10%
4.57%,
12/25/2045
(m)
1,162‌
278‌
(1.00)
x
1
Month
USD
LIBOR
+
6.20%
Freddie
Mac
Stacr
Remic
Trust
2019-Hqa4
8.23%,
11/25/2049
(g)
530‌
572‌
1.00
x
1
Month
USD
LIBOR
+
6.60%
Freddie
Mac
Stacr
Remic
Trust
2020-DNA1
6.88%,
01/25/2050
(g)
350‌
345‌
1.00
x
1
Month
USD
LIBOR
+
5.25%
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
90
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Mortgage
Backed
Securities
(continued)
Freddie
Mac
STACR
Remic
Trust
2020-DNA2
6.46%,
02/25/2050
(g)
$
470‌
$
453‌
1.00
x
1
Month
USD
LIBOR
+
4.80%
Freddie
Mac
STACR
REMIC
Trust
2020-HQA1
6.73%,
01/25/2050
(g)
220‌
216‌
1.00
x
1
Month
USD
LIBOR
+
5.10%
Freddie
Mac
STACR
Trust
2019-DNA4
7.88%,
10/25/2049
(g)
300‌
312‌
1.00
x
1
Month
USD
LIBOR
+
6.25%
Freddie
Mac
STACR
Trust
2019-HRP1
5.68%,
02/25/2049
(g)
270‌
290‌
1.00
x
1
Month
USD
LIBOR
+
4.05%
Freddie
Mac
Structured
Agency
Credit
Risk
Debt
Notes
3.28%,
04/25/2024
60‌
61‌
1.00
x
1
Month
USD
LIBOR
+
1.65%
3.43%,
07/25/2030
25‌
25‌
1.00
x
1
Month
USD
LIBOR
+
1.80%
3.48%,
10/25/2027
218‌
219‌
1.00
x
1
Month
USD
LIBOR
+
1.85%
3.83%,
02/25/2024
182‌
184‌
1.00
x
1
Month
USD
LIBOR
+
2.20%
6.58%,
07/25/2029
1,369‌
1,563‌
1.00
x
1
Month
USD
LIBOR
+
4.95%
10.43%,
03/25/2028
4,461‌
5,400‌
1.00
x
1
Month
USD
LIBOR
+
8.80%
Gosforth
Funding
2018-1
plc
2.13%,
08/25/2060
(g)
224‌
224‌
1.00
x
3
Month
USD
LIBOR
+
0.45%
Grand
Avenue
Mortgage
Loan
Trust
2017-RPL1
3.25%,
08/25/2064
(g)
129‌
131‌
GSR
Mortgage
Loan
Trust
2005-4F
6.50%,
02/25/2035
40‌
40‌
IndyMac
INDX
Mortgage
Loan
Trust
2004-AR7
2.85%,
09/25/2034
124‌
117‌
1.00
x
1
Month
USD
LIBOR
+
1.22%
IndyMac
INDX
Mortgage
Loan
Trust
2005-AR11
3.61%,
08/25/2035
(l)
512‌
462‌
Lanark
Master
Issuer
PLC
2.45%,
12/22/2069
(g)
254‌
255‌
1.00
x
3
Month
USD
LIBOR
+
0.77%
Lehman
XS
Trust
Series
2006-2N
1.89%,
02/25/2046
95‌
89‌
1.00
x
1
Month
USD
LIBOR
+
0.26%
MASTR
Alternative
Loan
Trust
2003-9
5.25%,
11/25/2033
39‌
40‌
MASTR
Alternative
Loan
Trust
2004-5
5.50%,
06/25/2034
37‌
37‌
6.00%,
06/25/2034
46‌
47‌
MASTR
Alternative
Loan
Trust
2004-8
6.00%,
09/25/2034
241‌
252‌
Merrill
Lynch
Mortgage
Investors
Trust
Series
MLCC
2006-2
3.88%,
05/25/2036
(l)
15‌
16‌
OBX
2019-EXP3
Trust
3.50%,
10/25/2059
(g),(l)
262‌
268‌
RCO
V
Mortgage
LLC
2019-1
3.72%,
05/24/2024
(g),(l)
516‌
521‌
Residential
Asset
Securitization
Trust
2005-A8CB
5.38%,
07/25/2035
245‌
225‌
Sequoia
Mortgage
Trust
2018-CH1
4.00%,
02/25/2048
(g),(l)
131‌
135‌
Sequoia
Mortgage
Trust
2019-CH1
4.50%,
03/25/2049
(g),(l)
465‌
478‌
STACR
Trust
2018-HRP2
4.03%,
02/25/2047
(g)
2,390‌
2,441‌
1.00
x
1
Month
USD
LIBOR
+
2.40%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Mortgage
Backed
Securities
(continued)
Structured
Adjustable
Rate
Mortgage
Loan
Trust
1.94%,
07/25/2035
$
575‌
$
450‌
1.00
x
1
Month
USD
LIBOR
+
0.31%
Toorak
Mortgage
Corp
2018-1
Ltd
4.34%,
08/25/2021
(g),(l)
1,880‌
1,900‌
$
30,861‌
Oil
&
Gas
-
0.92%
Aker
BP
ASA
3.75%,
01/15/2030
(g)
355‌
361‌
Bellatrix
Exploration
Ltd
0.00%,
09/11/2023
(e),(f),(h)
236‌
141‌
0.00%,
PIK
12.50%,
12/15/2023
(e),(f),(h),(i),(p)
257‌
—‌
Bruin
E&P
Partners
LLC
8.88%,
08/01/2023
(g)
675‌
358‌
California
Resources
Corp
8.00%,
12/15/2022
(g)
795‌
179‌
Cobalt
International
Energy
Inc
0.00%,
12/01/2023
(e)
4,635‌
104‌
Gulfport
Energy
Corp
6.38%,
05/15/2025
705‌
224‌
Odebrecht
Drilling
Norbe
VIII/IX
Ltd
6.35%,
12/01/2021
1,549‌
1,545‌
Odebrecht
Offshore
Drilling
Finance
Ltd
6.72%,
12/01/2022
669‌
663‌
OGX
Austria
GmbH
0.00%,
06/01/2018
(e),(g)
600‌
—‌
0.00%,
04/01/2022
(e),(g)
1,100‌
—‌
Petrobras
Global
Finance
BV
7.25%,
03/17/2044
125‌
154‌
Petroleos
Mexicanos
6.49%,
01/23/2027
(g)
950‌
995‌
6.84%,
01/23/2030
(g)
2,200‌
2,297‌
6.84%,
01/23/2030
900‌
940‌
Whiting
Petroleum
Corp
6.63%,
01/15/2026
175‌
64‌
YPF
SA
6.95%,
07/21/2027
(g)
240‌
192‌
11.14%,
07/07/2020
(g)
410‌
90‌
Argentina
Deposit
Rates
Badlar
Private
Banks
ARS
30
to
35
Days
+
4.00%
$
8,307‌
Other
Asset
Backed
Securities
-
5.63%
Accelerated
Assets
2018-1
LLC
4.51%,
12/02/2033
(g)
162‌
169‌
Adams
Outdoor
Advertising
LP
4.81%,
11/15/2048
(g)
759‌
809‌
AIG
CLO
2018-1
Ltd
8.27%,
01/20/2032
(g)
2,640‌
2,445‌
1.00
x
3
Month
USD
LIBOR
+
6.45%
AIM
Aviation
Finance
Ltd
5.07%,
02/15/2040
(g),(l)
713‌
710‌
Ajax
Mortgage
Loan
Trust
2017-B
3.16%,
09/25/2056
(g),(l)
275‌
278‌
Allegro
CLO
VI
Ltd
4.59%,
01/17/2031
(g)
250‌
239‌
1.00
x
3
Month
USD
LIBOR
+
2.75%
ALM
VII
R
Ltd
8.97%,
10/15/2028
(g)
2,000‌
1,992‌
1.00
x
3
Month
USD
LIBOR
+
7.14%
American
Homes
4
Rent
2014-SFR2
Trust
5.15%,
10/17/2036
(g)
280‌
305‌
6.23%,
10/17/2036
(g)
695‌
771‌
American
Homes
4
Rent
2014-SFR3
Trust
6.42%,
12/17/2036
(g)
900‌
1,008‌
American
Homes
4
Rent
2015-SFR1
5.64%,
04/17/2052
(g)
1,045‌
1,155‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
91
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Other
Asset
Backed
Securities
(continued)
Apidos
CLO
XXII
7.82%,
10/20/2027
(g)
$
750‌
$
750‌
1.00
x
3
Month
USD
LIBOR
+
6.00%
Apidos
CLO
XXIII
3.60%,
04/15/2033
(g)
370‌
370‌
1.00
x
3
Month
USD
LIBOR
+
2.00%
Ascentium
Equipment
Receivables
2017-2
Trust
2.87%,
08/10/2022
(g)
80‌
82‌
Avery
Point
VII
CLO
Ltd
8.43%,
01/15/2028
(g)
1,400‌
1,387‌
1.00
x
3
Month
USD
LIBOR
+
6.60%
Bayview
Opportunity
Master
Fund
IVa
Trust
2019-RN2
3.97%,
03/28/2034
(g),(l)
75‌
77‌
BCC
Funding
XIV
LLC
6.00%,
04/21/2025
(g)
250‌
258‌
Blackbird
Capital
Aircraft
Lease
Securitization
Ltd
2016-1
4.21%,
12/16/2041
(g),(l)
206‌
211‌
5.68%,
12/16/2041
(g),(l)
569‌
588‌
Bowman
Park
CLO
Ltd
7.08%,
11/23/2025
(g)
1,000‌
997‌
1.00
x
3
Month
USD
LIBOR
+
5.40%
Cairn
CLO
XI
DAC
6.77%,
07/15/2035
(g)
EUR
360‌
397‌
1.00
x
3
Month
Euro
Interbank
Offered
Rate
+
6.77%
Carlyle
Global
Market
Strategies
Euro
CLO
2015-1
Ltd
3.40%,
01/16/2033
(g)
2,205‌
2,434‌
1.00
x
3
Month
Euro
Interbank
Offered
Rate
+
3.40%
5.50%,
01/16/2033
(g)
882‌
940‌
1.00
x
3
Month
Euro
Interbank
Offered
Rate
+
5.50%
CCG
Receivables
Trust
2018-1
3.42%,
06/16/2025
(g)
$
100‌
102‌
Coinstar
Funding
LLC
Series
2017-1
5.22%,
04/25/2047
(g)
705‌
734‌
Colony
American
Finance
2015-1
Ltd
5.65%,
10/15/2047
(g)
550‌
561‌
Colony
American
Finance
2016-1
Ltd
4.64%,
06/15/2048
(g),(l)
260‌
263‌
CVP
Cascade
CLO-2
Ltd
3.02%,
07/18/2026
(g)
335‌
335‌
1.00
x
3
Month
USD
LIBOR
+
1.20%
DB
Master
Finance
LLC
4.35%,
05/20/2049
(g)
208‌
224‌
Diamond
Resorts
Owner
Trust
6.07%,
10/22/2029
(g)
79‌
82‌
Diamond
Resorts
Owner
Trust
2018-1
4.53%,
01/21/2031
(g)
277‌
288‌
Diamond
Resorts
Owner
Trust
2019-1
3.53%,
02/20/2032
(g)
284‌
290‌
Domino's
Pizza
Master
Issuer
LLC
4.12%,
07/25/2047
(g)
327‌
350‌
4.12%,
07/25/2048
(g)
49‌
52‌
Driven
Brands
Funding
LLC
4.74%,
04/20/2048
(g)
167‌
179‌
Dryden
33
Senior
Loan
Fund
8.80%,
04/15/2029
(g)
700‌
697‌
1.00
x
3
Month
USD
LIBOR
+
6.97%
Dryden
63
GBP
CLO
2018
BV
3.62%,
10/15/2032
(g)
GBP
2,060‌
2,625‌
1.00
x
3
Month
GBP
LIBOR
+
2.90%
5.23%,
10/15/2032
(g)
1,052‌
1,347‌
1.00
x
3
Month
GBP
LIBOR
+
4.50%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Other
Asset
Backed
Securities
(continued)
Elevation
CLO
2015-4
Ltd
2.81%,
04/18/2027
(g)
$
242‌
$
242‌
1.00
x
3
Month
USD
LIBOR
+
0.99%
Fairstone
Financial
Issuance
Trust
I
3.95%,
03/21/2033
(g)
CAD
515‌
388‌
Five
Guys
Funding
LLC
4.60%,
07/25/2047
(g)
$
462‌
492‌
GCA2014
Holdings
Ltd
-
Class
C
6.00%,
01/05/2030
(f),(g),(h)
658‌
548‌
GCA2014
Holdings
Ltd
-
Class
D
7.50%,
01/05/2030
(f),(g),(h)
295‌
175‌
GCA2014
Holdings
Ltd
-
Class
E
0.00%,
01/05/2030
(e),(f),(g),(h)
1,030‌
—‌
Global
Container
Assets
Ltd
4.50%,
02/05/2030
(g)
226‌
226‌
Halcyon
Loan
Advisors
Funding
2014-2
Ltd
2.98%,
04/28/2025
(g)
146‌
146‌
1.00
x
3
Month
USD
LIBOR
+
1.18%
Harbour
Aircraft
Investments
Ltd
8.00%,
11/15/2037
574‌
581‌
HPEFS
Equipment
Trust
2020-1
2.26%,
02/20/2030
(g)
115‌
116‌
Invitation
Homes
2018-SFR1
Trust
3.66%,
03/17/2037
(g)
470‌
470‌
1.00
x
1
Month
USD
LIBOR
+
2.00%
Invitation
Homes
2018-SFR2
Trust
3.66%,
06/17/2037
(g)
835‌
831‌
1.00
x
1
Month
USD
LIBOR
+
2.00%
Invitation
Homes
2018-SFR4
Trust
3.31%,
01/17/2038
(g)
210‌
209‌
1.00
x
1
Month
USD
LIBOR
+
1.65%
Jamestown
CLO
VII
Ltd
2.62%,
07/25/2027
(g)
468‌
467‌
1.00
x
3
Month
USD
LIBOR
+
0.83%
Kestrel
Aircraft
Funding
Ltd
4.25%,
12/15/2038
(g)
359‌
374‌
KKR
Clo
25
Ltd
8.37%,
04/15/2032
(g)
640‌
598‌
1.00
x
3
Month
USD
LIBOR
+
6.54%
Legacy
Mortgage
Asset
Trust
2019-GS3
3.75%,
04/25/2059
(g),(l)
366‌
372‌
Madison
Park
Funding
XII
Ltd
3.47%,
07/20/2026
(g)
250‌
250‌
1.00
x
3
Month
USD
LIBOR
+
1.65%
MAPS
2018-1
Ltd
4.21%,
05/15/2043
(g)
657‌
681‌
Marlette
Funding
Trust
2019-1
3.44%,
04/16/2029
(g)
148‌
150‌
Marlette
Funding
Trust
2019-3
2.69%,
09/17/2029
(g)
162‌
163‌
Mountain
View
CLO
X
Ltd
2.67%,
10/13/2027
(g)
608‌
606‌
1.00
x
3
Month
USD
LIBOR
+
0.82%
Neuberger
Berman
CLO
XIV
Ltd
3.52%,
01/28/2030
(g)
365‌
365‌
1.00
x
3
Month
USD
LIBOR
+
1.90%
OCP
CLO
2015-10
Ltd
2.61%,
10/26/2027
(g)
341‌
340‌
1.00
x
3
Month
USD
LIBOR
+
0.82%
Octagon
Investment
Partners
XVI
Ltd
7.59%,
07/17/2030
(g)
500‌
454‌
1.00
x
3
Month
USD
LIBOR
+
5.75%
OHA
Credit
Funding
5
Ltd
0.00%,
04/18/2033
(e),(g),(o)
420‌
420‌
1.00
x
3
Month
USD
LIBOR
+
2.00%
OHA
Loan
Funding
2016-1
Ltd
3.68%,
01/20/2033
(g)
345‌
345‌
1.00
x
3
Month
USD
LIBOR
+
1.95%
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
92
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Other
Asset
Backed
Securities
(continued)
OneMain
Financial
Issuance
Trust
2015-3
4.16%,
11/20/2028
(g)
$
790‌
$
796‌
OneMain
Financial
Issuance
Trust
2019-1
4.22%,
02/14/2031
(g)
620‌
642‌
Oxford
Finance
Funding
2019-1
LLC
4.46%,
02/15/2027
(g)
145‌
149‌
Parallel
2015-1
Ltd
2.67%,
07/20/2027
(g)
531‌
530‌
1.00
x
3
Month
USD
LIBOR
+
0.85%
Parallel
2017-1
Ltd
3.71%,
07/20/2029
(g)
305‌
305‌
1.00
x
3
Month
USD
LIBOR
+
2.00%
Parallel
2018-2
Ltd
3.97%,
10/20/2031
(g)
480‌
465‌
1.00
x
3
Month
USD
LIBOR
+
2.15%
Planet
Fitness
Master
Issuer
LLC
3.86%,
12/05/2049
(g)
275‌
287‌
4.26%,
09/05/2048
(g)
597‌
618‌
Progress
Residential
2017-SFR2
Trust
4.14%,
12/17/2034
(g)
100‌
101‌
Progress
Residential
2018-SFR2
Trust
4.66%,
08/17/2035
(g)
100‌
103‌
Progress
Residential
2019-SFR1
Trust
4.47%,
08/17/2035
(g)
420‌
438‌
Prosper
Pass-Thru
Trust
II
Series
2019-St2
0.00%,
11/15/2025
(e),(f),(g)
1,190‌
1,104‌
0.00%,
11/15/2025
(e),(f),(g)
595‌
431‌
PRPM
2018-1
LLC
5.00%,
04/25/2023
(g),(l)
200‌
201‌
PRPM
2019-4
LLC
3.35%,
11/25/2024
(g),(l)
204‌
206‌
PRPM
2020-1
LLC
2.98%,
02/25/2025
(g),(l)
145‌
146‌
Republic
FInance
Issuance
Trust
2019-A
3.43%,
11/22/2027
(g)
490‌
501‌
Rockford
Tower
CLO
2017-2
Ltd
1.90%,
10/15/2029
(g),(o)
295‌
295‌
1.00
x
3
Month
USD
LIBOR
+
1.90%
SCF
Equipment
Leasing
2018-1
LLC
4.21%,
04/20/2027
(g)
795‌
816‌
S-Jets
2017-1
Ltd
3.97%,
08/15/2042
(g)
773‌
796‌
Sofi
Consumer
Loan
Program
2018-2
Trust
3.35%,
04/26/2027
(g)
312‌
314‌
Sound
Point
Clo
XV
Ltd
7.77%,
01/23/2029
(g)
1,500‌
1,335‌
1.00
x
3
Month
USD
LIBOR
+
5.96%
Sprite
2017-1
Ltd
5.75%,
12/15/2037
(g)
248‌
260‌
Staniford
Street
CLO
Ltd
3.07%,
06/15/2025
(g)
195‌
195‌
1.00
x
3
Month
USD
LIBOR
+
1.18%
TAL
Advantage
V
LLC
3.55%,
11/20/2038
(g)
197‌
199‌
Thunderbolt
Aircraft
Lease
Ltd
5.75%,
05/17/2032
(g),(l)
164‌
172‌
Towd
Point
Mortgage
Trust
2.50%,
11/25/2060
(g),(l)
234‌
235‌
Towd
Point
Mortgage
Trust
2019-4
2.90%,
10/25/2059
(g),(l)
441‌
459‌
Tricon
American
Homes
2019-SFR1
Trust
2.75%,
03/17/2038
(g)
220‌
230‌
Venture
XX
CLO
Ltd
2.65%,
04/15/2027
(g)
195‌
194‌
1.00
x
3
Month
USD
LIBOR
+
0.82%
Venture
XXI
CLO
Ltd
2.71%,
07/15/2027
(g)
447‌
446‌
1.00
x
3
Month
USD
LIBOR
+
0.88%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Other
Asset
Backed
Securities
(continued)
VOLT
LXXXVII
LLC
2.98%,
02/25/2050
(g),(l)
$
453‌
$
455‌
WAVE
2017-1
Trust
5.68%,
11/15/2042
(g)
244‌
255‌
Wendy's
Funding
LLC
4.08%,
06/15/2049
(g)
85‌
89‌
Wingstop
Funding
2018-1
LLC
4.97%,
12/05/2048
(g)
154‌
160‌
York
CLO-2
Ltd
3.65%,
01/22/2031
(g)
250‌
242‌
1.00
x
3
Month
USD
LIBOR
+
1.85%
$
50,680‌
Pharmaceuticals
-
0.33%
CVS
Health
Corp
2.60%,
03/09/2021
1,385‌
1,389‌
3
Month
USD
LIBOR
+
0.72%
Teva
Pharmaceutical
Finance
Netherlands
II
BV
6.00%,
01/31/2025
(g)
EUR
190‌
218‌
Teva
Pharmaceutical
Finance
Netherlands
III
BV
4.10%,
10/01/2046
$
1,420‌
1,104‌
7.13%,
01/31/2025
(g)
210‌
221‌
$
2,932‌
Pipelines
-
0.12%
Cheniere
Corpus
Christi
Holdings
LLC
3.70%,
11/15/2029
(g)
630‌
631‌
Midwest
Connector
Capital
Co
LLC
3.63%,
04/01/2022
(g)
410‌
423‌
$
1,054‌
Real
Estate
-
1.15%
Arabian
Centres
Sukuk
Ltd
5.38%,
11/26/2024
(g)
3,450‌
3,567‌
CFLD
Cayman
Investment
Ltd
6.50%,
12/21/2020
200‌
201‌
China
Evergrande
Group
8.25%,
03/23/2022
925‌
870‌
Country
Garden
Holdings
Co
Ltd
4.75%,
07/25/2022
975‌
981‌
4.75%,
09/28/2023
650‌
651‌
Easy
Tactic
Ltd
8.13%,
02/27/2023
200‌
197‌
Greenland
Global
Investment
Ltd
5.88%,
07/03/2024
225‌
217‌
Kaisa
Group
Holdings
Ltd
8.50%,
06/30/2022
1,650‌
1,639‌
11.95%,
10/22/2022
(g)
210‌
225‌
Sunac
China
Holdings
Ltd
7.25%,
06/14/2022
200‌
205‌
7.88%,
02/15/2022
1,531‌
1,579‌
$
10,332‌
Regional
Authority
-
0.07%
Provincia
de
Buenos
Aires/Government
Bonds
38.13%,
04/12/2025
(g)
ARS
11,045‌
97‌
Argentina
Deposit
Rates
Badlar
Private
Banks
ARS
30
to
35
Days
+
3.75%
43.08%,
05/31/2022
51,665‌
496‌
Argentina
Deposit
Rates
Badlar
Private
Banks
ARS
30
to
35
Days
+
3.83%
$
593‌
REITs
-
0.03%
Ladder
Capital
Finance
Holdings
LLLP
/
Ladder
Capital
Finance
Corp
4.25%,
02/01/2027
(g)
$
280‌
266‌
Retail
-
0.28%
1011778
BC
ULC
/
New
Red
Finance
Inc
4.38%,
01/15/2028
(g)
565‌
562‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
93
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Retail
(continued)
Staples
Inc
10.75%,
04/15/2027
(g),(n)
$
2,048‌
$
1,961‌
$
2,523‌
Semiconductors
-
0.09%
Broadcom
Inc
4.75%,
04/15/2029
(g)
685‌
766‌
Software
-
0.18%
Adobe
Inc
1.70%,
02/01/2023
1,160‌
1,176‌
MSCI
Inc
3.63%,
09/01/2030
(g),(o)
265‌
265‌
4.00%,
11/15/2029
(g)
155‌
161‌
$
1,602‌
Sovereign
-
9.39%
1MDB
Global
Investments
Ltd
4.40%,
03/09/2023
4,100‌
3,977‌
Argentina
POM
Politica
Monetaria
51.19%,
06/21/2020
ARS
6,725‌
72‌
Argentina
Blended
Historical
Policy
Rate
+
0.00%
Argentine
Republic
Government
International
Bond
3.88%,
01/15/2022
EUR
66‌
32‌
5.00%,
01/15/2027
1,800‌
778‌
5.25%,
01/15/2028
6,490‌
2,794‌
5.88%,
01/11/2028
$
1,300‌
523‌
6.63%,
07/06/2028
3,750‌
1,608‌
Bahrain
Government
International
Bond
5.63%,
09/30/2031
(g)
2,350‌
2,435‌
Bonos
de
la
Tesoreria
de
la
Republica
1.90%,
09/01/2030
CLP
5,380,743‌
7,298‌
Costa
Rica
Government
International
Bond
4.25%,
01/26/2023
$
1,880‌
1,875‌
6.13%,
02/19/2031
2,742‌
2,831‌
7.00%,
04/04/2044
(n)
1,673‌
1,715‌
Dominican
Republic
International
Bond
5.88%,
01/30/2060
(g)
1,500‌
1,489‌
6.00%,
07/19/2028
(n)
2,253‌
2,490‌
6.40%,
06/05/2049
298‌
316‌
Egypt
Government
International
Bond
5.63%,
04/16/2030
EUR
3,850‌
4,256‌
Export-Import
Bank
of
Korea
2.47%,
06/25/2022
$
650‌
653‌
3
Month
USD
LIBOR
+
0.53%
Ghana
Government
International
Bond
6.38%,
02/11/2027
(g)
3,300‌
3,266‌
Hellenic
Republic
Treasury
Bill
0.00%,
06/12/2020
(e)
EUR
1,124‌
1,241‌
Ivory
Coast
Government
International
Bond
5.25%,
03/22/2030
3,319‌
3,733‌
Kenya
Government
International
Bond
7.00%,
05/22/2027
(g)
$
3,400‌
3,586‌
Mexican
Bonos
7.75%,
11/13/2042
MXN
53,200‌
2,891‌
Montenegro
Government
International
Bond
5.75%,
03/10/2021
EUR
2,282‌
2,655‌
Peru
Government
Bond
6.15%,
08/12/2032
(g)
PEN
9,875‌
3,282‌
Peruvian
Government
International
Bond
6.90%,
08/12/2037
11,150‌
3,930‌
Republic
of
Italy
Government
International
Bond
2.38%,
10/17/2024
$
412‌
414‌
Republic
of
South
Africa
Government
Bond
8.00%,
01/31/2030
ZAR
41,143‌
2,446‌
8.88%,
02/28/2035
18,238‌
1,075‌
10.50%,
12/21/2026
36,732‌
2,632‌
Romanian
Government
International
Bond
3.38%,
01/28/2050
(g)
EUR
2,850‌
3,256‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Sovereign
(continued)
Russian
Federal
Bond
-
OFZ
7.05%,
01/19/2028
RUB
444,350‌
$
6,971‌
Turkey
Government
International
Bond
6.88%,
03/17/2036
(n)
$
497‌
492‌
Ukraine
Government
Bond
16.00%,
08/11/2021
UAH
51,750‌
2,259‌
Ukraine
Government
International
Bond
0.00%,
05/31/2040
(e),(l)
$
1,870‌
1,846‌
4.38%,
01/27/2030
(g)
EUR
3,300‌
3,434‌
$
84,551‌
Student
Loan
Asset
Backed
Securities
-
0.31%
Education
Funding
Trust
Trust
2.79%,
07/25/2041
(g)
$
394‌
401‌
Navient
Private
Education
Refi
Loan
Trust
2018-A
3.68%,
02/18/2042
(g)
140‌
148‌
Navient
Private
Education
Refi
Loan
Trust
2019-F
3.12%,
08/15/2068
(g)
445‌
465‌
Navient
Private
Education
Refi
Loan
Trust
2019-G
3.08%,
10/15/2068
(g)
105‌
109‌
SLM
Private
Credit
Student
Loan
Trust
2003-A
5.05%,
06/15/2032
239‌
239‌
1.00
x
US
28
Day
Auction
Rate
+
0.00%
SLM
Private
Credit
Student
Loan
Trust
2003-B
4.59%,
03/15/2033
50‌
50‌
1.00
x
US
28
Day
Auction
Rate
+
0.00%
5.04%,
03/15/2033
500‌
499‌
1.00
x
US
28
Day
Auction
Rate
+
0.00%
SMB
Private
Education
Loan
Trust
2015-C
3.50%,
09/15/2043
(g)
100‌
105‌
SMB
Private
Education
Loan
Trust
2017-B
2.41%,
10/15/2035
(g)
255‌
255‌
1.00
x
1
Month
USD
LIBOR
+
0.75%
SMB
Private
Education
Loan
Trust
2018-C
4.00%,
11/17/2042
(g)
100‌
110‌
SoFi
Professional
Loan
Program
2015-C
LLC
3.58%,
08/25/2036
(g)
39‌
40‌
Sofi
Professional
Loan
Program
2016-A
LLC
3.57%,
01/26/2038
(g)
217‌
222‌
SoFi
Professional
Loan
Program
2020-ATrust
3.12%,
05/15/2046
(g)
160‌
169‌
$
2,812‌
Supranational
Bank
-
0.62%
African
Export-Import
Bank/The
3.99%,
09/21/2029
(g)
1,700‌
1,775‌
Banque
Ouest
Africaine
de
Developpement
5.00%,
07/27/2027
(g)
200‌
217‌
5.00%,
07/27/2027
1,900‌
2,059‌
Eastern
&
Southern
African
Trade
&
Development
Bank
4.88%,
05/23/2024
1,425‌
1,510‌
$
5,561‌
Telecommunications
-
0.98%
Bharti
Airtel
Ltd
4.38%,
06/10/2025
200‌
214‌
C&W
Senior
Financing
DAC
7.50%,
10/15/2026
(g)
1,850‌
1,943‌
Front
Range
BidCo
Inc
4.00%,
03/01/2027
(g),(o)
35‌
34‌
6.13%,
03/01/2028
(g),(o)
18‌
18‌
Gogo
Intermediate
Holdings
LLC
/
Gogo
Finance
Co
Inc
9.88%,
05/01/2024
(g),(n)
2,000‌
2,034‌
Intrado
Corp
8.50%,
10/15/2025
(g)
1,912‌
1,286‌
Kenbourne
Invest
SA
6.88%,
11/26/2024
(g)
355‌
362‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
94
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Telecommunications
(continued)
Millicom
International
Cellular
SA
5.13%,
01/15/2028
(g)
$
200‌
$
206‌
MTN
Mauritius
Investments
Ltd
5.37%,
02/13/2022
2,610‌
2,708‌
T-Mobile
US
Inc
0.00%,
02/01/2028
(e),(f),(h)
706‌
—‌
$
8,805‌
Transportation
-
0.08%
FedEx
Corp
3.40%,
01/14/2022
675‌
699‌
TOTAL
BONDS
$
347,440‌
CONVERTIBLE
BONDS
-
0.26%
Principal
Amount
(000's)
Value
(000's)
Biotechnology
-
0.05%
BioMarin
Pharmaceutical
Inc
0.60%,
08/01/2024
455‌
498‌
Healthcare
-
Services
-
0.04%
NMC
Health
Jersey
Ltd
1.88%,
04/30/2025
800‌
360‌
Media
-
0.11%
DISH
Network
Corp
2.38%,
03/15/2024
555‌
516‌
3.38%,
08/15/2026
480‌
463‌
$
979‌
Oil
&
Gas
-
0.01%
Chesapeake
Energy
Corp
5.50%,
09/15/2026
190‌
50‌
Telecommunications
-
0.04%
CalAmp
Corp
2.00%,
08/01/2025
405‌
342‌
Trucking
&
Leasing
-
0.01%
Greenbrier
Cos
Inc/The
2.88%,
02/01/2024
80‌
74‌
TOTAL
CONVERTIBLE
BONDS
$
2,303‌
MUNICIPAL
BONDS
-
0.06%
Principal
Amount
(000's)
Value
(000's)
Massachusetts
-
0.06%
Massachusetts
Educational
Financing
Authority
3.85%,
05/25/2033
$
529‌
$
561‌
TOTAL
MUNICIPAL
BONDS
$
561‌
SENIOR
FLOATING
RATE
INTERESTS
-
1.70%
Principal
Amount
(000's)
Value
(000's)
Advertising
-
0.01%
Lamar
Media
Corp
3.17%,
01/29/2027
(q)
$
90‌
$
90‌
1
Month
USD
LIBOR
+
1.50%
Automobile
Parts
&
Equipment
-
0.15%
American
Axle
&
Manufacturing
Inc
3.88%,
03/08/2024
(q)
403‌
392‌
3
Month
USD
LIBOR
+
2.25%
GC
EOS
Buyer
Inc
6.15%,
06/27/2025
(q)
980‌
958‌
3
Month
USD
LIBOR
+
3.25%
$
1,350‌
Building
Materials
-
0.07%
Airxcel
Inc
10.35%,
04/27/2026
(q)
282‌
252‌
3
Month
USD
LIBOR
+
8.75%
Ingersoll-Rand
Services
Co
0.00%,
02/05/2027
(q),(r)
110‌
108‌
1
Month
USD
LIBOR
+
1.75%
JELD-WEN
Inc
3.94%,
12/14/2024
(q)
300‌
298‌
3
Month
USD
LIBOR
+
2.00%
$
658‌
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Chemicals
-
0.14%
ASP
Unifrax
Holdings
Inc
10.63%,
12/14/2026
(q)
$
637‌
$
572‌
3
Month
USD
LIBOR
+
8.50%
Polymer
Additives
Inc
7.78%,
07/25/2025
(q)
964‌
694‌
3
Month
USD
LIBOR
+
6.00%
$
1,266‌
Commercial
Services
-
0.14%
Digital
Room
Holdings
Inc
6.60%,
05/08/2026
(q)
240‌
224‌
3
Month
USD
LIBOR
+
5.00%
Imagine!
Print
Solutions
Inc
10.36%,
06/21/2023
(q)
427‌
61‌
3
Month
USD
LIBOR
+
8.75%
PSC
Industrial
Outsourcing
LP
10.16%,
10/13/2025
(q)
980‌
938‌
3
Month
USD
LIBOR
+
8.50%
$
1,223‌
Computers
-
0.21%
Electronics
For
Imaging
Inc
6.94%,
07/02/2026
(q)
374‌
344‌
3
Month
USD
LIBOR
+
5.00%
McAfee
LLC
10.10%,
09/29/2025
(q)
1,435‌
1,433‌
3
Month
USD
LIBOR
+
3.25%
Reynolds
Consumer
3.50%,
01/29/2027
(q)
90‌
89‌
1
Month
USD
LIBOR
+
1.75%
$
1,866‌
Diversified
Financial
Services
-
0.02%
4L
Technologies
9.16%,
02/05/2024
(q)
205‌
201‌
1
Month
USD
LIBOR
+
7.50%
Engineering
&
Construction
-
0.06%
Qualtek
USA
LLC
8.03%,
07/18/2025
(q)
581‌
567‌
1
Month
USD
LIBOR
+
6.25%
Entertainment
-
0.13%
Deluxe
Entertainment
Services
Group
Inc
6.94%,
03/25/2024
(q)
609‌
625‌
1
Month
USD
LIBOR
+
6.50%
7.94%,
09/25/2024
(q)
782‌
567‌
1
Month
USD
LIBOR
+
8.50%
$
1,192‌
Environmental
Control
-
0.03%
Innovative
Water
Care
Global
Corp
6.94%,
02/27/2026
(q)
368‌
291‌
3
Month
USD
LIBOR
+
5.00%
Home
Furnishings
-
0.05%
TGP
Holdings
III
LLC
10.28%,
09/25/2025
(q)
516‌
469‌
3
Month
USD
LIBOR
+
8.50%
Insurance
-
0.11%
AIS
Holdco
LLC
6.79%,
08/15/2025
(q)
12‌
11‌
3
Month
USD
LIBOR
+
5.00%
Confie
Seguros
Holding
II
Co
10.41%,
10/31/2025
(q)
979‌
925‌
3
Month
USD
LIBOR
+
8.50%
$
936‌
Internet
-
0.03%
Uber
Technologies
Inc
5.11%,
07/13/2023
(q)
275‌
272‌
3
Month
USD
LIBOR
+
3.50%
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
95
SENIOR
FLOATING
RATE
INTERESTS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Media
-
0.08%
MediArena
Acquisition
BV
10.91%,
08/13/2022
(q)
$
491‌
$
490‌
3
Month
USD
LIBOR
+
2.25%
Ziggo
BV
3.00%,
01/17/2029
(q)
EUR
235‌
254‌
3
Month
Euro
Interbank
Offered
Rate
+
3.00%
$
744‌
Oil
&
Gas
-
0.04%
California
Resources
Corp
6.36%,
11/14/2022
(q)
$
184‌
156‌
1
Month
USD
LIBOR
+
4.75%
Gavilan
Resources
LLC
7.65%,
03/01/2024
(q)
680‌
227‌
3
Month
USD
LIBOR
+
6.00%
$
383‌
Oil
&
Gas
Services
-
0.14%
McDermott
Technology
Americas
Inc
10.72%,
10/21/2020
(q)
360‌
364‌
1
Month
USD
LIBOR
+
9.00%
11.97%,
10/21/2021
(q)
800‌
870‌
1
Month
USD
LIBOR
+
10.00%
$
1,234‌
Pharmaceuticals
-
0.02%
Elanco
Animal
Health
0.00%,
02/04/2027
(q),(r)
180‌
178‌
Pipelines
-
0.14%
Southcross
Energy
0.00%,
01/06/2025
(f),(q),(r)
663‌
499‌
10.65%,
01/06/2025
(q)
769‌
784‌
1
Month
USD
LIBOR
+
9.00%
$
1,283‌
Real
Estate
-
0.00%
Toys
R
Us
Property
Co
I
LLC
0.00%,
02/04/2024
(e),(q)
10‌
10‌
0.00%,
02/04/2024
(e),(q)
3‌
3‌
$
13‌
REITs
-
0.07%
Iron
Mountain
Inc
3.40%,
01/02/2026
(q)
607‌
591‌
3
Month
USD
LIBOR
+
1.75%
Retail
-
0.06%
Spencer
Spirit
IH
LLC
7.63%,
06/12/2026
(q)
489‌
488‌
3
Month
USD
LIBOR
+
5.50%
TOTAL
SENIOR
FLOATING
RATE
INTERESTS
$
15,295‌
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
-
51.61%
Principal
Amount
(000's)
Value
(000's)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
-
2.28%
2.50%,
04/01/2050
(s)
$
20,168‌
$
20,554‌
U.S.
Treasury
-
46.65%
1.13%,
02/28/2022
(o)
6,898‌
6,931‌
1.25%,
10/31/2021
(n)
20,120‌
20,221‌
1.50%,
02/15/2030
1,881‌
1,947‌
1.63%,
12/31/2021
(n)
26‌
26‌
1.63%,
12/15/2022
(n)
7,528‌
7,682‌
1.63%,
09/30/2026
(n)
48,841‌
50,697‌
1.63%,
10/31/2026
(n)
43,386‌
45,040‌
1.75%,
11/15/2029
(n)
2,868‌
3,030‌
1.88%,
03/31/2022
(n)
18,234‌
18,599‌
1.88%,
09/30/2022
(n)
11,272‌
11,559‌
2.13%,
05/15/2022
(n)
50,093‌
51,435‌
2.13%,
11/30/2024
(n)
48,717‌
51,425‌
2.25%,
03/31/2021
(n)
13,602‌
13,774‌
2.50%,
01/15/2022
(n)
26,693‌
27,473‌
2.50%,
02/15/2022
(n)
18,234‌
18,795‌
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
U.S.
Treasury
(continued)
2.63%,
12/31/2023
(n)
$
36,039‌
$
38,365‌
2.75%,
05/31/2023
(n)
13,414‌
14,210‌
2.88%,
07/31/2025
(n)
17,215‌
18,949‌
2.88%,
05/15/2043
(n)
3,622‌
4,485‌
3.00%,
11/15/2045
(n)
7,353‌
9,381‌
3.75%,
11/15/2043
(n)
4,107‌
5,812‌
$
419,836‌
U.S.
Treasury
Bill
-
1.59%
1.47%,
03/19/2020
(n),(t)
4,000‌
3,997‌
1.47%,
12/03/2020
(t)
1,200‌
1,191‌
1.50%,
11/05/2020
(t)
3,100‌
3,077‌
1.52%,
09/10/2020
(t)
2,280‌
2,266‌
1.53%,
10/08/2020
(t)
2,285‌
2,270‌
1.90%,
06/18/2020
(t),(u)
1,470‌
1,465‌
$
14,266‌
U.S.
Treasury
Inflation-Indexed
Obligations
-
1.09%
0.13%,
10/15/2024
(n)
4,861‌
4,995‌
0.50%,
04/15/2024
(n)
4,694‌
4,857‌
$
9,852‌
TOTAL
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
$
464,508‌
REPURCHASE
AGREEMENTS
-
28.24%
Maturity
Amount
(000's)
Value
(000's)
Banks
-
28.24%
Barclays
Repurchase
Agreement
on
securities
sold
short;
1.25%
traded
10/23/2019
(collateralized
by
Comision
Federal
de
Electricidad;
$4,993,401;
6.13%;
dated
06/16/45)
(v)
$
3,982‌
$
3,964‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.25%
traded
02/28/2020
maturing
03/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$23,952,498;
1.38%;
dated
01/31/25)
23,355‌
23,354‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.25%
traded
02/04/2020
(collateralized
by
Argentine
Republic
Government
International
Bond;
$2,930,006;
7.50%;
dated
04/22/26)
(v)
3,137‌
3,135‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.30%
traded
02/14/2020
(collateralized
by
Colombia
Government
International
Bond;
$1,332,276;
5.00%;
dated
06/15/45)
(v)
1,331‌
1,331‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.30%
traded
02/19/2020
(collateralized
by
Mexico
Government
International
Bond;
$2,743,932;
3.75%;
dated
01/11/28)
(v)
2,738‌
2,737‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.45%
traded
09/26/2019
(collateralized
by
Republic
of
South
Africa
Government
International
Bond;
$3,264,818;
4.85%;
dated
09/27/27)
(v)
3,210‌
3,190‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.51%
traded
02/28/2020
maturing
03/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$5,562,167;
2.38%;
dated
11/15/49)
5,074‌
5,074‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.51%
traded
02/28/2020
maturing
03/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$50,365,487;
1.75%;
dated
12/31/24)
49,122‌
49,117‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.54%
traded
02/28/2020
maturing
03/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$38,433,128;
1.50%;
dated
01/31/27)
37,248‌
37,245‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
96
REPURCHASE
AGREEMENTS
(continued)
Maturity
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.59%
traded
02/28/2020
maturing
03/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$31,235,127;
2.38%;
dated
05/15/27)
$
30,191‌
$
30,189‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.59%
traded
02/28/2020
maturing
03/02/2020
(collateralized
by
United
States
Treasury
Inflation
Indexed
Bonds;
$3,071,477;
0.25%;
dated
07/15/29)
2,997‌
2,996‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.59%
traded
02/28/2020
maturing
03/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$19,622,776;
1.75%;
dated
12/31/26)
18,994‌
18,993‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.59%
traded
02/28/2020
maturing
03/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$30,088,481;
1.50%;
dated
01/15/23)
29,666‌
29,664‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.60%
traded
02/28/2020
maturing
03/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$22,775,366;
1.50%;
dated
09/15/22)
22,471‌
22,469‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
1.61%
traded
02/28/2020
maturing
03/02/2020
(collateralized
by
United
States
Treasury
Note/Bond;
$20,537,147;
1.50%;
dated
10/31/24)
20,035‌
20,033‌
Merrill
Lynch
Repurchase
Agreement
on
securities
sold
short;
2.00%
traded
08/02/2019
(collateralized
by
Turkey
Government
International
Bond;
$691,852;
11.88%;
dated
01/15/30)
(v)
688‌
680‌
$
254,171‌
TOTAL
REPURCHASE
AGREEMENTS
$
254,171‌
TOTAL
PURCHASED
OPTIONS
-
0.46%
$
4,136‌
TOTAL
PURCHASED
INTEREST
RATE
SWAPTIONS
-
0.12%
$
1,044‌
Total
Investments
$
1,558,95
0‌
Other
Assets
and
Liabilities
-  (73.22)%
(658,9
59‌
)
TOTAL
NET
ASSETS
-
100.00%
$
899,991‌
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
pledged
as
collateral
for
short
sales.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$109,532
or
12.17%
of
net
assets.
(c)
All
or
a
portion
of
this
security
is
owned
by
the
GMS
Cayman
Corporation,
which
is
a
100%
owned
subsidiary
of
the
fund.
(d)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(e)
Non-income
producing
security
(f)
Fair
value
of
these
investments
is
determined
in
good
faith
by
the
Manager
under
procedures
established
and
periodically
reviewed
by
the
Board
of
Directors.
Certain
inputs
used
in
the
valuation
may
be
unobservable;
however,
each
security
is
evaluated
individually
for
purposes
of
ASC
820
which
results
in
not
all
securities
being
identified
as
Level
3
of
the
fair
value
hierarchy.
At
the
end
of
the
period,
the
fair
value
of
these
securities
totaled
$10,567
or
1.17%
of
net
assets.
(g)
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
$189,629
or
21.07%
of
net
assets.
(h)
The
value
of
these
investments
was
determined
using
significant
unobservable
inputs.
(i)
Restricted
Security.
Please
see
Restricted
Security
Sub-Schedule
for
more
information.
(j)
Perpetual
security.
Perpetual
securities
pay
an
indefinite
stream
of
interest,
but
they
may
be
called
by
the
issuer
at
an
earlier
date.
Date
shown,
if
any,
reflects
the
next
call
date
or
final
legal
maturity
date.
Rate
shown
is
as
of
period
end.
(k)
Rate
shown
is
as
of
period
end.
The
rate
may
be
a
variable
or
floating
rate
or
a
fixed
rate
which
may
convert
to
a
variable
or
floating
rate
in
the
future.
(l)
Certain
variable
rate
securities
are
not
based
on
a
published
reference
rate
and
spread
but
are
determined
by
the
issuer
or
agent
and
are
based
on
current
market
conditions.  These
securities
do
not
indicate
a
reference
rate
and
spread
in
their
description.
Rate
shown
is
the
rate
in
effect
as
of
period
end.
(m)
Security
is
an
Interest
Only
Strip.
(n)
Security
or
portion
of
the
security
was
pledged
as
collateral
for
reverse
repurchase
agreements.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$405,662
or
45.07%
of
net
assets.
(o)
Security
purchased
on
a
when-issued
basis.
(p)
Payment
in
kind;
the
issuer
has
the
option
of
paying
additional
securities
in
lieu
of
cash.
(q)
Rate
information
disclosed
is
based
on
an
average
weighted
rate
of
the
underlying
tranches
as
of
period
end.
(r)
This
Senior
Floating
Rate
Note
will
settle
after
February
29,
2020,
at
which
time
the
interest
rate
will
be
determined.
(s)
Security
was
purchased
in
a
"to-be-announced"
("TBA")
transaction.  See
Notes
to
Financial
Statements
for
additional
information.
(t)
Rate
shown
is
the
discount
rate
of
the
original
purchase.
(u)
Security
or
a
portion
of
the
security
was
pledged
to
cover
margin
requirements
for
futures
contracts.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$847
or
0.09%
of
net
assets.
(v)
Although
the
maturity
date
of
the
repurchase
agreement
is
open-ended
through
the
maturity
date
of
the
collateral,
the
Fund
has
a
right
to
terminate
the
repurchase
agreement
and
demand
repayment
from
the
counterparty
at
any
time
with
two
days'
notice
or
less.
During
periods
of
high
demand
for
the
collateral
security,
the
fund
may
also
pay
the
counterparty
a
fee.
Portfolio
Summary  (unaudited)
Sector
Percent
Government
59.41‌%
Financial
39.48‌%
Money
Market
Funds
13.51‌%
Mortgage
Securities
10.77‌%
Consumer,
Non-cyclical
10.06‌%
Asset
Backed
Securities
8.47‌%
Consumer,
Cyclical
6.78‌%
Industrial
6.28‌%
Technology
6.14‌%
Communications
5.55‌%
Energy
2.87‌%
Basic
Materials
2.05‌%
Utilities
1.19‌%
Purchased
Options
0.46‌%
Purchased
Interest
Rate
Swaptions
0.12‌%
Revenue
Bonds
0.06‌%
Diversified
0.02‌%
Investment
Companies
0.00‌%
Investments
Sold
Short
(46.55‌)%
Other
Assets
and
Liabilities
(26.67‌)%
TOTAL
NET
ASSETS
100.00%
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
97
Affiliated
Securities
August
31,
2019
Purchases
Sales
February
29,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
1.43%
$
151,384‌
$
665,977‌
$
709,775‌
$
107,586‌
$
151,384‌
$
665,977‌
$
709,775‌
$
107,586‌
Income
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/Loss
Principal
Government
Money
Market
Fund
1.43%
$
911‌
$
—‌
$
—‌
$
—‌
$
911‌
$
—‌
$
—‌
$
—‌
Amounts
in
thousands.
Restricted
Securities
Security
Name
Acquisition
Date
Cost
Value
Percent
of
Net
Assets
Airbnb
Inc
-
Series
E  
0.00%
06/24/2015
$
157‌
$
200‌
0.02%
Bellatrix
Exploration
Ltd  
0.00%,
PIK
12.50%,
12/15/2023
06/03/2019
153‌
—‌
0.00%
DraftKings
Inc
12/04/2014
89‌
280‌
0.03%
Element
Comm
Aviation
06/15/2015
2,800‌
2,505‌
0.28%
Forward
Venture
Services
LLC  
0.00%
11/20/2014
102‌
184‌
0.02%
Jand
Inc
04/23/2015
19‌
27‌
0.00%
Jand
Inc  
0.00%
04/23/2015
43‌
60‌
0.01%
Klarna
Holding
AB
08/07/2015
89‌
190‌
0.02%
Marklogic
Corp  
0.00%
04/27/2015
172‌
131‌
0.01%
Uber
Technologies
Inc  
8.00%,
11/01/2026
10/18/2018
-
12/04/2019
260‌
266‌
0.03%
Veracode
Inc  
0.00%
04/18/2017
24‌
3‌
0.00%
WE
Company
Common
Class
A
12/08/2014
6‌
3‌
0.00%
WE
Company
Preferred
D-1  
0.00%
12/08/2014
81‌
54‌
0.01%
WE
Company
Preferred
D-2  
0.00%
12/08/2014
64‌
43‌
0.00%
Total
$
3,946‌
0.43%
Amounts
in
thousands.
Options
Purchased
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
MAXIS
Nikkei
225
Index
N/A
13‌
JPY
13‌
JPY
24,750.00‌
03/16/2020
$
25‌
$
—‌
$
(25‌)
Put
-
S&P
500
Index
N/A
37‌
$
4‌
$
2,775.00‌
09/21/2020
467‌
547‌
80‌
Put
-
S&P
500
Index
N/A
37‌
4‌
$
2,850.00‌
03/23/2020
328‌
300‌
(28‌)
Put
-
S&P
500
Index
N/A
40‌
4‌
$
2,875.00‌
12/21/2020
460‌
841‌
381‌
Put
-
S&P
500
Index
N/A
52‌
5‌
$
3,000.00‌
06/22/2020
310‌
972‌
662‌
Put
-
S&P
500
Index
N/A
21‌
2‌
$
3,200.00‌
03/23/2020
67‌
556‌
489‌
Call
-
EUR
versus
NOK
Goldman
Sachs
&
Co
1
EUR
1,971‌
EUR
10.00‌
03/03/2020
12‌
82‌
70‌
Call
-
EUR
versus
RON
Societe
Generale
1
2,577‌
EUR
4.92‌
05/15/2020
17‌
6‌
(11‌)
Call
-
EUR
versus
RON
BNP
Paribas
1
1,718‌
EUR
4.92‌
05/15/2020
11‌
4‌
(7‌)
Call
-
EUR
versus
USD
Barclays
Bank
PLC
1
6,428‌
EUR
1.23‌
03/31/2020
61‌
—‌
(61‌)
Call
-
EUR
versus
USD
Citigroup
Inc
1
2,815‌
EUR
1.16‌
06/12/2020
15‌
8‌
(7‌)
Call
-
EUR
versus
USD
Barclays
Bank
PLC
1
2,815‌
EUR
1.16‌
06/12/2020
15‌
8‌
(7‌)
Call
-
EUR
versus
USD
Citigroup
Inc
1
3,576‌
EUR
1.11‌
04/13/2020
24‌
37‌
13‌
Call
-
EUR
versus
USD
Barclays
Bank
PLC
1
1,788‌
EUR
1.09‌
04/08/2020
12‌
31‌
19‌
Call
-
EUR
versus
USD
Barclays
Bank
PLC
1
1,788‌
EUR
1.10‌
04/24/2020
12‌
32‌
20‌
Call
-
GBP
versus
USD
Jefferies
&
Company
1
GBP
2,815‌
GBP
1.34‌
03/18/2020
42‌
1‌
(41‌)
Call
-
USD
versus
JPY
Barclays
Bank
PLC
1
$
4,223‌
$
113.25‌
06/01/2020
21‌
4‌
(17‌)
Call
-
USD
versus
THB
Standard
Chartered
Hong
Kong
1
4,700‌
$
32.25‌
08/26/2020
51‌
39‌
(12‌)
Call
-
USD
versus
THB
Standard
Chartered
Hong
Kong
1
5,550‌
$
32.20‌
08/25/2020
62‌
48‌
(14‌)
Put
-
EUR
versus
HUF
Deutsche
Bank
AG
1
EUR
3,015‌
EUR
336.00‌
05/15/2020
31‌
24‌
(7‌)
Put
-
EUR
versus
NOK
Bank
of
America
NA
1
2,815‌
EUR
10.30‌
04/30/2020
29‌
21‌
(8‌)
Put
-
EUR
versus
NOK
Bank
of
America
NA
1
2,815‌
EUR
10.00‌
06/15/2020
28‌
7‌
(21‌)
Put
-
EUR
versus
NOK
Goldman
Sachs
&
Co
1
2,815‌
EUR
10.04‌
05/15/2020
30‌
6‌
(24‌)
Put
-
USD
versus
BRL
Goldman
Sachs
&
Co
1
$
5,185‌
$
4.30‌
06/15/2020
85‌
36‌
(49‌)
Put
-
USD
versus
BRL
Morgan
Stanley
&
Co
1
1,604‌
$
4.28‌
06/15/2020
24‌
10‌
(14‌)
Put
-
USD
versus
BRL
Morgan
Stanley
&
Co
1
3,581‌
$
4.28‌
06/15/2020
57‌
22‌
(35‌)
Put
-
USD
versus
JPY
Citigroup
Inc
1
1,788‌
$
109.00‌
04/13/2020
14‌
32‌
18‌
Put
-
USD
versus
JPY
Goldman
Sachs
&
Co
1
1,689‌
$
109.50‌
04/27/2020
14‌
38‌
24‌
Put
-
USD
versus
JPY
Barclays
Bank
PLC
1
1,788‌
$
109.75‌
04/24/2020
12‌
43‌
31‌
Put
-
USD
versus
JPY
Bank
of
America
NA
1
2,815‌
$
107.50‌
04/27/2020
33‌
36‌
3‌
Call
-
US
10
Year
Note
Future;
June
2020
N/A
60‌
60‌
$
134.50‌
04/27/2020
27‌
91‌
64‌
Call
-
US
10
Year
Note
Future;
June
2020
N/A
60‌
60‌
$
131.50‌
03/30/2020
40‌
202‌
162‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
98
Options
(continued)
Purchased
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
90
Day
Eurodollar
Future;
June
2020
N/A
292‌
$
730‌
$
98.50‌
04/13/2020
$
9‌
$
5‌
$
(4‌)
Put
-
90
Day
Eurodollar
Future;
June
2020
N/A
226‌
565‌
$
98.25‌
06/16/2020
17‌
1‌
(16‌)
Put
-
90
Day
Eurodollar
Future;
March
2020
N/A
869‌
2,173‌
$
98.38‌
03/17/2020
21‌
5‌
(16‌)
Put
-
90
Day
Eurodollar
Future;
March
2020
N/A
338‌
845‌
$
98.13‌
03/17/2020
7‌
2‌
(5‌)
Put
-
90
Day
Eurodollar
Future;
March
2020
N/A
23‌
58‌
$
97.38‌
03/17/2020
3‌
—‌
(3‌)
Put
-
90
Day
Eurodollar
Future;
March
2021
N/A
153‌
383‌
$
98.25‌
03/16/2020
14‌
1‌
(13‌)
Put
-
US
10
Year
Note
Future;
June
2020
N/A
118‌
118‌
$
132.50‌
03/02/2020
29‌
—‌
(29‌)
Put
-
US
10
Year
Note
Future;
June
2020
N/A
30‌
30‌
$
132.00‌
04/27/2020
12‌
11‌
(1‌)
Put
-
US
10
Year
Note
Future;
June
2020
N/A
150‌
150‌
$
129.00‌
04/27/2020
28‌
9‌
(19‌)
Put
-
US
10
Year
Note
Future;
June
2020
N/A
45‌
45‌
$
133.00‌
03/30/2020
24‌
18‌
(6‌)
Total
$
2,600‌
$
4,136‌
$
1,536‌
Written
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
Applied
Materials
Inc
N/A
1‌
$
—‌
$
70.00‌
04/20/2020
$
—‌
$
—‌
$
—‌
Call
-
AT&T
Inc
N/A
4‌
—‌
$
39.00‌
04/20/2020
—‌
—‌
—‌
Call
-
Bristol-Myers
Squibb
Co
N/A
3‌
—‌
$
67.50‌
04/20/2020
—‌
—‌
—‌
Call
-
Citigroup
Inc
N/A
1‌
—‌
$
80.00‌
04/20/2020
—‌
—‌
—‌
Call
-
Comcast
Corp
N/A
3‌
—‌
$
47.50‌
04/20/2020
—‌
—‌
—‌
Call
-
Eaton
Corp
PLC
N/A
1‌
—‌
$
110.00‌
04/20/2020
—‌
—‌
—‌
Call
-
Garmin
Ltd
N/A
1‌
—‌
$
105.00‌
04/20/2020
—‌
—‌
—‌
Call
-
Intel
Corp
N/A
2‌
—‌
$
67.50‌
04/20/2020
—‌
—‌
—‌
Call
-
Interpublic
Group
of
Cos
Inc/The
N/A
1‌
—‌
$
25.00‌
04/20/2020
—‌
—‌
—‌
Call
-
Invesco
Ltd
N/A
6‌
1‌
$
19.00‌
04/20/2020
—‌
—‌
—‌
Call
-
Iron
Mountain
Inc
N/A
3‌
—‌
$
35.00‌
04/20/2020
—‌
—‌
—‌
Call
-
Johnson
Controls
International
plc
N/A
2‌
—‌
$
44.00‌
04/20/2020
—‌
—‌
—‌
Call
-
LPL
Financial
Holdings
Inc
N/A
1‌
—‌
$
100.00‌
04/20/2020
—‌
—‌
—‌
Call
-
Magellan
Midstream
Partners
LP
N/A
2‌
—‌
$
62.50‌
04/20/2020
—‌
—‌
—‌
Call
-
MetLife
Inc
N/A
3‌
—‌
$
52.50‌
04/20/2020
—‌
—‌
—‌
Call
-
Omnicom
Group
Inc
N/A
1‌
—‌
$
80.00‌
04/20/2020
—‌
—‌
—‌
Call
-
Oracle
Corp
N/A
2‌
—‌
$
57.50‌
04/20/2020
—‌
—‌
—‌
Call
-
QUALCOMM
Inc
N/A
1‌
—‌
$
95.00‌
04/20/2020
—‌
—‌
—‌
Call
-
Target
Corp
N/A
1‌
—‌
$
125.00‌
04/20/2020
—‌
—‌
—‌
Call
-
Verizon
Communications
Inc
N/A
1‌
—‌
$
60.00‌
04/20/2020
—‌
—‌
—‌
Put
-
S&P
500
Index
N/A
18‌
2‌
$
2,800.00‌
03/23/2020
(47‌)
(128‌)
(81‌)
Put
-
S&P
500
Index
N/A
40‌
4‌
$
2,625.00‌
12/21/2020
(272‌)
(517‌)
(245‌)
Put
-
S&P
500
Index
N/A
26‌
3‌
$
2,750.00‌
06/22/2020
(71‌)
(272‌)
(201‌)
Put
-
S&P
500
Index
N/A
21‌
2‌
$
3,000.00‌
03/23/2020
(24‌)
(281‌)
(257‌)
Put
-
S&P
500
Index
N/A
37‌
4‌
$
2,550.00‌
09/21/2020
(292‌)
(321‌)
(29‌)
Call
-
EUR
versus
NOK
Goldman
Sachs
&
Co
1
EUR
2,192‌
EUR
10.40‌
03/03/2020
(12‌)
(5‌)
7‌
Call
-
USD
versus
BRL
JPMorgan
Chase
1
$
1,408‌
$
4.46‌
06/15/2020
(23‌)
(41‌)
(18‌)
Call
-
USD
versus
JPY
Barclays
Bank
PLC
1
894‌
$
112.25‌
04/24/2020
(4‌)
(1‌)
3‌
Call
-
USD
versus
JPY
Citigroup
Inc
1
894‌
$
111.00‌
06/01/2020
(6‌)
(3‌)
3‌
Put
-
EUR
versus
USD
Barclays
Bank
PLC
1
EUR
894‌
EUR
1.08‌
05/26/2020
(5‌)
(3‌)
2‌
Put
-
EUR
versus
USD
Barclays
Bank
PLC
1
894‌
EUR
1.08‌
04/24/2020
(5‌)
(2‌)
3‌
Put
-
EUR
versus
USD
Citigroup
Inc
1
1,490‌
EUR
1.09‌
06/01/2020
(11‌)
(10‌)
1‌
Put
-
USD
versus
BRL
Goldman
Sachs
&
Co
1
$
10,370‌
$
4.19‌
06/15/2020
(82‌)
(32‌)
50‌
Call
-
US
10
Year
Note
Future;
June
2020
N/A
60‌
60‌
$
137.00‌
04/27/2020
(25‌)
(40‌)
(15‌)
Call
-
US
10
Year
Note
Future;
June
2020
N/A
21‌
21‌
$
132.50‌
04/27/2020
(9‌)
(57‌)
(48‌)
Call
-
US
10
Year
Note
Future;
June
2020
N/A
45‌
45‌
$
136.50‌
04/27/2020
(20‌)
(35‌)
(15‌)
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
99
Options
(continued)
Written
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Put
-
90
Day
Eurodollar
Future;
June
2020
N/A
226‌
$
565‌
$
98.13‌
06/16/2020
$
(6‌)
$
(2‌)
$
4‌
Put
-
90
Day
Eurodollar
Future;
March
2020
N/A
338‌
845‌
$
98.00‌
03/17/2020
(2‌)
(2‌)
—‌
Put
-
US
10
Year
Note
Future;
June
2020
N/A
60‌
60‌
$
131.00‌
04/27/2020
(20‌)
(11‌)
9‌
Put
-
US
10
Year
Note
Future;
June
2020
N/A
30‌
30‌
$
130.00‌
03/30/2020
(14‌)
(1‌)
13‌
Put
-
US
10
Year
Note
Future;
June
2020
N/A
300‌
300‌
$
128.00‌
03/30/2020
(37‌)
(5‌)
32‌
Total
$
(987‌)
$
(1,769‌)
$
(782‌)
Amounts
in
thousands
except
contracts/shares.
Interest
Rate
Swaptions
Purchased
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
2
Year
Interest
Rate
Swap
Bank
of
America
NA
3
Month
KRW
Certificate
of
Deposit
Receive
KRW
85,700,000‌
1.75%
03/16/2020
$
183‌
$
934‌
$
751‌
Call
-
2
Year
Interest
Rate
Swap
Bank
of
America
NA
3
Month
KRW
Certificate
of
Deposit
Pay
72,500,000‌
0.95%
08/06/2020
192‌
110‌
(82‌)
Total
$
375‌
$
1,044‌
$
669‌
Written
Swaptions
Outstanding
Counterparty
Floating
Rate
Index
Pay/
Receive
Floating
Rate
Notional
Amount
Exercise
Rate
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
10
Year
Interest
Rate
Swap
Bank
of
America
NA
3
Month
KRW
Certificate
of
Deposit
Receive
KRW
12,855,000‌
1.70%
03/16/2020
$
(113‌)
$
(697‌)
$
(584‌)
Put
-
10
Year
Interest
Rate
Swap
Bank
of
America
NA
3
Month
KRW
Certificate
of
Deposit
Pay
12,855,000‌
2.00%
03/16/2020
(70‌)
—‌
70‌
Put
-
10
Year
Interest
Rate
Swap
Bank
of
America
NA
3
Month
KRW
Certificate
of
Deposit
Receive
14,500,000‌
1.40%
08/06/2020
(69‌)
(44‌)
25‌
Total
$
(252‌)
$
(741‌)
$
(489‌)
Amounts
in
thousands.
Futures
Contracts
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
90
Day
Eurodollar;
June
2021
Long
365‌
$
90,538‌
$
696‌
90
Day
Eurodollar;
March
2021
Short
3‌
744‌
(4‌)
90
Day
Eurodollar;
September
2023
Short
85‌
21,036‌
(34‌)
90
Day
Short
Sterling;
June
2021
Long
245‌
39,099‌
70‌
90
Day
Short
Sterling;
March
2021
Long
42‌
6,703‌
7‌
Australia
10
Year
Bond;
March
2020
Long
84‌
8,192‌
179‌
Australia
10
Year
Bond;
March
2020
Long
15‌
1,463‌
52‌
Brent
Crude;
May
2020
(a)
Long
6‌
298‌
(48‌)
CAC40
Index;
March
2020
Long
37‌
2,168‌
(321‌)
Canada
10
Year
Bond;
June
2020
Long
4‌
425‌
—‌
Canada
10
Year
Bond;
June
2020
Long
121‌
12,866‌
175‌
Canadian
Bank
Acceptance;
December
2020
Long
74‌
13,603‌
67‌
Canadian
Bank
Acceptance;
June
2021
Long
28‌
5,149‌
32‌
Canadian
Bank
Acceptance;
March
2021
Long
21‌
3,862‌
8‌
Cocoa;
May
2020
(a)
Long
31‌
777‌
(16‌)
Coffee
'C';
May
2020
(a)
Short
8‌
334‌
(15‌)
Corn;
May
2020
(a)
Short
79‌
1,455‌
61‌
Cotton
No.2;
May
2020
(a)
Long
18‌
553‌
(69‌)
DAX
Index;
March
2020
Long
20‌
6,524‌
(887‌)
DJ
Euro
Stoxx
50;
March
2020
Short
323‌
11,817‌
1,491‌
DJ
Euro
Stoxx
50;
March
2020
Long
197‌
7,207‌
(928‌)
Dollar
Index;
March
2020
Long
9‌
883‌
(13‌)
E-Mini
DJIA
Index;
March
2020
Long
14‌
1,775‌
(266‌)
eMini
MSCI
Emerging
Markets;
March
2020
Short
33‌
1,664‌
125‌
EUR/USD
Future;
March
2020
Short
7‌
966‌
11‌
Euribor;
June
2021
Short
23‌
6,381‌
(4‌)
Euribor;
March
2021
Long
39‌
10,820‌
4‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
100
Futures
Contracts
(continued)
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
Euro
Bond
10
Year
Bond;
March
2020
Short
8‌
$
1,567‌
$
(6‌)
Euro
Bond
10
Year
Bond;
March
2020
Long
54‌
10,579‌
177‌
Euro
Buxl
30
Year
Bond;
June
2020
Short
9‌
2,168‌
(50‌)
Euro-Bobl
5
Year;
March
2020
Long
83‌
12,430‌
47‌
Euro-BTP;
June
2020
Long
37‌
5,974‌
8‌
FTSE
China
A50
Index;
March
2020
Short
54‌
716‌
30‌
FTSE100
Index;
March
2020
Short
51‌
4,269‌
607‌
FTSE100
Index;
March
2020
Long
21‌
1,758‌
(274‌)
Gasoline
RBOB;
April
2020
(a)
Long
8‌
498‌
(98‌)
Gold
100
oz;
April
2020
(a)
Long
39‌
6,110‌
(36‌)
Hang
Seng
Index;
March
2020
Long
20‌
3,357‌
(38‌)
Hang
Seng
Index;
March
2020
Short
6‌
1,007‌
22‌
HSCEI
China
Index;
March
2020
Short
16‌
1,063‌
23‌
Japan
10
Year
Bond
TSE;
March
2020
Long
1‌
1,428‌
17‌
Japan
10
Year
Bond
TSE;
March
2020
Short
11‌
15,713‌
(198‌)
Japan
Topix
Index;
March
2020
Long
53‌
7,368‌
(1,077‌)
Japan
Topix
Index;
March
2020
Short
18‌
2,502‌
357‌
KC
HRW
Wheat;
July
2020
(a)
Long
4‌
92‌
(2‌)
LME
Copper;
June
2020
(a)
Short
25‌
3,526‌
54‌
LME
Copper;
March
2020
(a)
Short
—‌
—‌
(248‌)
LME
PRI
Alum;
June
2020
(a)
Short
30‌
1,275‌
20‌
LME
PRI
Alum;
March
2020
(a)
Short
—‌
—‌
59‌
LME
Zinc;
June
2020
(a)
Short
34‌
1,717‌
166‌
LME
Zinc;
March
2020
(a)
Short
—‌
—‌
214‌
Low
Sulphur
Gasoline;
April
2020
(a)
Short
32‌
1,406‌
216‌
Mini
Japan
10
Year
Bond;
March
2020
Short
9‌
1,285‌
(8‌)
Nasdaq
100
E-Mini;
March
2020
Long
25‌
4,227‌
(416‌)
Natural
Gas;
April
2020
(a)
Short
51‌
859‌
105‌
Nikkei
225
OSE;
March
2020
Long
30‌
5,863‌
(672‌)
Nikkei
225
OSE;
March
2020
Short
11‌
2,150‌
269‌
NY
Harb
ULSD;
April
2020
(a)
Short
27‌
1,675‌
226‌
Russell
2000
Emini;
March
2020
Long
58‌
4,277‌
(585‌)
Russell
2000
Emini;
March
2020
Short
192‌
14,159‌
1,640‌
S&P
500
Emini;
March
2020
Long
44‌
6,492‌
(759‌)
S&P
500
Emini;
March
2020
Short
72‌
10,624‌
915‌
S&P
Mid
400
Emini;
March
2020
Short
19‌
3,443‌
465‌
S&P/TSX
60
Index;
March
2020
Short
10‌
1,447‌
60‌
Short
Term
Euro-BTP;
March
2020
Long
27‌
3,356‌
9‌
Silver;
May
2020
(a)
Long
33‌
2,715‌
(316‌)
Soybean
Meal;
May
2020
(a)
Short
21‌
642‌
(17‌)
Soybean
Oil;
May
2020
(a)
Long
14‌
241‌
(20‌)
Soybean;
May
2020
(a)
Short
42‌
1,875‌
26‌
Sugar
#11;
May
2020
(a)
Long
42‌
665‌
(38‌)
UK
10
Year
Gilt;
June
2020
Long
11‌
1,910‌
2‌
UK
10
Year
Gilt;
June
2020
Long
87‌
15,103‌
138‌
US
10
Year
Note;
June
2020
Short
107‌
14,418‌
(109‌)
US
10
Year
Note;
June
2020
Long
61‌
8,220‌
101‌
US
10
Year
Note;
June
2020
Long
167‌
22,503‌
366‌
US
2
Year
Note;
June
2020
Long
204‌
44,539‌
272‌
US
2
Year
Note;
June
2020
Short
441‌
96,283‌
(349‌)
US
5
Year
Note;
June
2020
Long
24‌
2,946‌
31‌
US
5
Year
Note;
June
2020
Long
301‌
36,948‌
451‌
US
Long
Bond;
June
2020
Short
31‌
5,278‌
(70‌)
US
Long
Bond;
June
2020
Long
66‌
11,237‌
297‌
US
Long
Bond;
June
2020
Long
19‌
3,235‌
71‌
US
Ultra
Bond;
June
2020
Short
21‌
4,357‌
2‌
US
Ultra
Bond;
June
2020
Short
51‌
10,582‌
(184‌)
Wheat;
May
2020
(a)
Long
45‌
1,181‌
(48‌)
WTI
Crude;
April
2020
(a)
Short
37‌
1,656‌
234‌
Total
$
2,452‌
Amounts
in
thousands
except
contracts.
(a)
All
or
a
portion
of
this
security
is
owned
by
the
GMS
Cayman
Corporation,
which
is
a
100%
owned
subsidiary
of
the
fund.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
101
Foreign
Currency
Contracts
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
Bank
of
America
NA
03/19/2020
JPY
1,549,578‌
$
14,180‌
$
201‌
$
—‌
Bank
of
America
NA
03/19/2020
$
30,001‌
JPY
3,283,362‌
—‌
(471‌)
Bank
of
America
NA
03/20/2020
AUD
17,766‌
$
12,344‌
—‌
(767‌)
Bank
of
America
NA
03/20/2020
AUD
596‌
$
388‌
—‌
—‌
Bank
of
America
NA
03/20/2020
$
22,954‌
AUD
33,685‌
1,004‌
—‌
Bank
of
America
NA
03/20/2020
GBP
13,947‌
$
18,272‌
—‌
(383‌)
Bank
of
America
NA
03/20/2020
$
7,637‌
GBP
5,906‌
62‌
—‌
Bank
of
America
NA
03/20/2020
$
127‌
CAD
170‌
—‌
—‌
Bank
of
America
NA
03/20/2020
CAD
17,719‌
$
13,588‌
—‌
(386‌)
Bank
of
America
NA
03/20/2020
$
9,960‌
CAD
13,196‌
128‌
—‌
Bank
of
America
NA
03/20/2020
EUR
3,045‌
$
3,333‌
32‌
—‌
Bank
of
America
NA
03/20/2020
$
6,373‌
EUR
5,786‌
—‌
(21‌)
Bank
of
America
NA
03/20/2020
EUR
8,632‌
$
9,646‌
—‌
(107‌)
Bank
of
America
NA
03/20/2020
$
32,416‌
EUR
29,052‌
312‌
—‌
Bank
of
America
NA
03/20/2020
$
127‌
MXN
2,514‌
—‌
—‌
Bank
of
America
NA
03/20/2020
MXN
73,506‌
$
3,811‌
—‌
(86‌)
Bank
of
America
NA
03/20/2020
$
331‌
MXN
6,305‌
11‌
—‌
Bank
of
America
NA
03/20/2020
NZD
13,705‌
$
9,113‌
—‌
(547‌)
Bank
of
America
NA
03/20/2020
NZD
272‌
$
170‌
—‌
—‌
Bank
of
America
NA
03/20/2020
$
13,507‌
NZD
20,963‌
405‌
—‌
Bank
of
America
NA
03/20/2020
$
262‌
CHF
252‌
—‌
—‌
Bank
of
America
NA
03/20/2020
CHF
858‌
$
891‌
—‌
—‌
Bank
of
America
NA
03/20/2020
$
12,355‌
CHF
12,086‌
—‌
(191‌)
Bank
of
America
NA
03/20/2020
CHF
17,513‌
$
18,097‌
82‌
—‌
Bank
of
New
York
Mellon
03/02/2020
AUD
16‌
$
11‌
—‌
—‌
Bank
of
New
York
Mellon
03/02/2020
ZAR
25,712‌
$
1,682‌
—‌
(34‌)
Bank
of
New
York
Mellon
03/13/2020
EUR
6,475‌
$
7,354‌
—‌
(202‌)
Bank
of
New
York
Mellon
03/13/2020
$
7,543‌
EUR
6,475‌
391‌
—‌
Bank
of
New
York
Mellon
03/16/2020
$
3,350‌
EUR
3,100‌
—‌
(75‌)
Bank
of
New
York
Mellon
03/16/2020
$
392‌
EUR
350‌
5‌
—‌
Bank
of
New
York
Mellon
03/18/2020
GBP
4,367‌
$
5,729‌
—‌
(127‌)
Bank
of
New
York
Mellon
03/18/2020
$
981‌
GBP
750‌
19‌
—‌
Bank
of
New
York
Mellon
03/18/2020
$
679‌
CAD
900‌
8‌
—‌
Bank
of
New
York
Mellon
03/18/2020
EUR
490‌
$
549‌
—‌
(8‌)
Bank
of
New
York
Mellon
03/18/2020
EUR
750‌
$
826‌
3‌
—‌
Bank
of
New
York
Mellon
03/18/2020
$
3,235‌
EUR
2,965‌
—‌
(41‌)
Bank
of
New
York
Mellon
03/18/2020
$
2,585‌
EUR
2,320‌
22‌
—‌
Bank
of
New
York
Mellon
03/18/2020
$
174‌
HKD
1,350‌
1‌
—‌
Bank
of
New
York
Mellon
03/18/2020
$
191‌
HKD
1,500‌
—‌
(1‌)
Bank
of
New
York
Mellon
03/18/2020
$
13,885‌
JPY
1,498,500‌
—‌
(21‌)
Bank
of
New
York
Mellon
03/18/2020
JPY
318,300‌
$
2,898‌
56‌
—‌
Bank
of
New
York
Mellon
03/18/2020
NOK
7,000‌
$
745‌
—‌
(1‌)
Bank
of
New
York
Mellon
03/18/2020
$
1,299‌
NOK
11,850‌
39‌
—‌
Bank
of
New
York
Mellon
03/18/2020
NOK
805‌
$
85‌
1‌
—‌
Bank
of
New
York
Mellon
03/18/2020
$
1,955‌
SEK
18,400‌
38‌
—‌
Bank
of
New
York
Mellon
03/18/2020
SEK
17,000‌
$
1,755‌
16‌
—‌
Bank
of
New
York
Mellon
03/18/2020
$
3,116‌
CHF
3,030‌
—‌
(29‌)
Bank
of
New
York
Mellon
03/18/2020
CHF
1,500‌
$
1,535‌
22‌
—‌
Bank
of
New
York
Mellon
03/20/2020
EUR
1,620‌
$
1,753‌
38‌
—‌
Bank
of
New
York
Mellon
03/20/2020
EUR
723‌
$
800‌
—‌
(1‌)
Bank
of
New
York
Mellon
03/20/2020
$
7,347‌
EUR
6,565‌
92‌
—‌
Bank
of
New
York
Mellon
04/17/2020
$
4,062‌
GBP
3,100‌
83‌
—‌
Bank
of
New
York
Mellon
04/20/2020
$
909‌
ZAR
13,559‌
46‌
—‌
Bank
of
New
York
Mellon
04/24/2020
$
2,815‌
EUR
2,532‌
11‌
—‌
Bank
of
New
York
Mellon
04/24/2020
$
5,970‌
ZAR
87,919‌
375‌
—‌
Bank
of
New
York
Mellon
05/26/2020
$
1,663‌
ZAR
25,712‌
34‌
—‌
Bank
of
New
York
Mellon
06/12/2020
$
1,300‌
EUR
1,119‌
58‌
—‌
Barclays
Bank
PLC
03/02/2020
BRL
9,974‌
$
2,394‌
—‌
(164‌)
Barclays
Bank
PLC
03/02/2020
$
2,310‌
BRL
9,974‌
80‌
—‌
Barclays
Bank
PLC
03/02/2020
EUR
3,286‌
$
3,608‌
19‌
—‌
Barclays
Bank
PLC
03/02/2020
$
3,606‌
EUR
3,286‌
—‌
(21‌)
Barclays
Bank
PLC
03/02/2020
$
1,013‌
JPY
111,351‌
—‌
(19‌)
Barclays
Bank
PLC
03/02/2020
JPY
111,351‌
$
1,013‌
19‌
—‌
Barclays
Bank
PLC
03/02/2020
NOK
13,361‌
$
1,422‌
—‌
(2‌)
Barclays
Bank
PLC
03/02/2020
$
1,424‌
NOK
13,361‌
4‌
—‌
Barclays
Bank
PLC
03/03/2020
JPY
121,946‌
$
1,126‌
5‌
—‌
Barclays
Bank
PLC
03/03/2020
$
2,167‌
JPY
234,400‌
—‌
(6‌)
Barclays
Bank
PLC
03/04/2020
EUR
1,295‌
$
1,428‌
2‌
—‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
102
Foreign
Currency
Contracts
(continued)
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
Barclays
Bank
PLC
03/04/2020
$
1,541‌
EUR
1,408‌
$
—‌
$
(13‌)
Barclays
Bank
PLC
03/04/2020
NOK
14,476‌
$
1,541‌
—‌
(2‌)
Barclays
Bank
PLC
03/04/2020
$
496‌
NOK
4,644‌
2‌
—‌
Barclays
Bank
PLC
03/04/2020
$
932‌
NOK
8,780‌
—‌
(1‌)
Barclays
Bank
PLC
03/05/2020
CNH
8,346‌
$
1,198‌
—‌
(2‌)
Barclays
Bank
PLC
03/05/2020
$
13,814‌
CNH
97,414‌
—‌
(145‌)
Barclays
Bank
PLC
03/05/2020
CNH
61,299‌
$
8,739‌
45‌
—‌
Barclays
Bank
PLC
03/06/2020
AUD
563‌
$
374‌
—‌
(7‌)
Barclays
Bank
PLC
03/06/2020
CAD
756‌
$
563‌
—‌
—‌
Barclays
Bank
PLC
03/06/2020
$
1,116‌
CAD
1,479‌
14‌
—‌
Barclays
Bank
PLC
03/06/2020
CAD
2,809‌
$
2,107‌
—‌
(14‌)
Barclays
Bank
PLC
03/06/2020
$
1,970‌
CAD
2,650‌
—‌
(4‌)
Barclays
Bank
PLC
03/06/2020
$
4,297‌
EUR
3,914‌
—‌
(25‌)
Barclays
Bank
PLC
03/06/2020
EUR
6,026‌
$
6,614‌
39‌
—‌
Barclays
Bank
PLC
03/06/2020
$
625‌
EUR
563‌
3‌
—‌
Barclays
Bank
PLC
03/06/2020
$
3,941‌
JPY
429,538‌
—‌
(42‌)
Barclays
Bank
PLC
03/06/2020
JPY
438,329‌
$
3,984‌
81‌
—‌
Barclays
Bank
PLC
03/06/2020
NOK
5,234‌
$
563‌
—‌
(7‌)
Barclays
Bank
PLC
03/06/2020
NOK
2,649‌
$
282‌
—‌
—‌
Barclays
Bank
PLC
03/06/2020
SEK
17,938‌
$
1,861‌
6‌
—‌
Barclays
Bank
PLC
03/06/2020
$
2,169‌
SEK
20,882‌
—‌
(4‌)
Barclays
Bank
PLC
03/09/2020
$
729‌
AUD
1,105‌
9‌
—‌
Barclays
Bank
PLC
03/09/2020
AUD
677‌
$
453‌
—‌
(12‌)
Barclays
Bank
PLC
03/09/2020
JPY
65,140‌
$
591‌
13‌
—‌
Barclays
Bank
PLC
03/09/2020
$
2,023‌
JPY
222,970‌
—‌
(45‌)
Barclays
Bank
PLC
03/09/2020
NZD
3,176‌
$
2,035‌
—‌
(50‌)
Barclays
Bank
PLC
03/09/2020
$
675‌
NZD
1,052‌
17‌
—‌
Barclays
Bank
PLC
03/09/2020
NOK
11,959‌
$
1,289‌
—‌
(18‌)
Barclays
Bank
PLC
03/09/2020
$
1,539‌
NOK
14,224‌
27‌
—‌
Barclays
Bank
PLC
03/09/2020
$
1,080‌
SEK
10,557‌
—‌
(19‌)
Barclays
Bank
PLC
03/09/2020
SEK
13,009‌
$
1,352‌
2‌
—‌
Barclays
Bank
PLC
03/13/2020
GBP
563‌
$
725‌
—‌
(3‌)
Barclays
Bank
PLC
03/13/2020
NZD
563‌
$
356‌
—‌
(4‌)
Barclays
Bank
PLC
03/16/2020
$
1,896‌
MYR
7,875‌
26‌
—‌
Barclays
Bank
PLC
03/16/2020
MYR
7,875‌
$
1,892‌
—‌
(22‌)
Barclays
Bank
PLC
03/18/2020
$
137‌
INR
9,969‌
—‌
(1‌)
Barclays
Bank
PLC
03/18/2020
$
2,230‌
INR
160,067‌
20‌
—‌
Barclays
Bank
PLC
03/18/2020
INR
177,683‌
$
2,480‌
—‌
(26‌)
Barclays
Bank
PLC
03/18/2020
$
1,463‌
IDR
20,098,144‌
72‌
—‌
Barclays
Bank
PLC
03/18/2020
IDR
28,454,447‌
$
2,068‌
—‌
(98‌)
Barclays
Bank
PLC
03/18/2020
MYR
837‌
$
197‌
2‌
—‌
Barclays
Bank
PLC
03/18/2020
$
40,180‌
MXN
765,852‌
1,360‌
—‌
Barclays
Bank
PLC
03/18/2020
MXN
714,609‌
$
37,551‌
—‌
(1,329‌)
Barclays
Bank
PLC
03/18/2020
MXN
56,020‌
$
2,830‌
10‌
—‌
Barclays
Bank
PLC
03/18/2020
$
1,195‌
THB
36,125‌
50‌
—‌
Barclays
Bank
PLC
03/18/2020
THB
36,112‌
$
1,195‌
—‌
(50‌)
Barclays
Bank
PLC
03/20/2020
$
1,697‌
PEN
5,675‌
55‌
—‌
Barclays
Bank
PLC
03/20/2020
PEN
5,726‌
$
1,696‌
—‌
(40‌)
Barclays
Bank
PLC
03/23/2020
$
265‌
EUR
245‌
—‌
(6‌)
Barclays
Bank
PLC
03/25/2020
$
2,815‌
MXN
55,850‌
—‌
(13‌)
Barclays
Bank
PLC
03/25/2020
MXN
53,612‌
$
2,815‌
—‌
(100‌)
Barclays
Bank
PLC
04/02/2020
$
1,126‌
KRW
1,359,445‌
—‌
(6‌)
Barclays
Bank
PLC
04/10/2020
$
2,111‌
JPY
230,369‌
—‌
(30‌)
Barclays
Bank
PLC
04/10/2020
JPY
353,742‌
$
3,246‌
41‌
—‌
Barclays
Bank
PLC
04/10/2020
TRY
12,095‌
$
1,989‌
—‌
(80‌)
Barclays
Bank
PLC
04/10/2020
$
1,989‌
TRY
12,100‌
79‌
—‌
Barclays
Bank
PLC
04/14/2020
EUR
609‌
$
665‌
9‌
—‌
Barclays
Bank
PLC
04/14/2020
$
1,481‌
EUR
1,350‌
—‌
(13‌)
Barclays
Bank
PLC
04/14/2020
$
424‌
EUR
378‌
5‌
—‌
Barclays
Bank
PLC
04/14/2020
EUR
1,350‌
$
1,510‌
—‌
(16‌)
Barclays
Bank
PLC
04/14/2020
$
464‌
EUR
420‌
—‌
(1‌)
Barclays
Bank
PLC
04/14/2020
EUR
1,556‌
$
1,734‌
—‌
(12‌)
Barclays
Bank
PLC
04/17/2020
$
384‌
CNH
2,662‌
3‌
—‌
Barclays
Bank
PLC
04/17/2020
CNH
5,293‌
$
757‌
1‌
—‌
Barclays
Bank
PLC
04/17/2020
$
1,157‌
CNH
8,207‌
—‌
(18‌)
Barclays
Bank
PLC
04/17/2020
$
1,746‌
MXN
33,006‌
81‌
—‌
Barclays
Bank
PLC
04/17/2020
MXN
5,186‌
$
276‌
—‌
(14‌)
Barclays
Bank
PLC
04/17/2020
MXN
29,221‌
$
1,470‌
4‌
—‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
103
Foreign
Currency
Contracts
(continued)
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
Barclays
Bank
PLC
04/22/2020
BRL
37,468‌
$
9,204‌
$
—‌
$
(846‌)
Barclays
Bank
PLC
04/22/2020
$
8,832‌
BRL
37,468‌
474‌
—‌
Barclays
Bank
PLC
04/28/2020
$
434‌
EUR
390‌
2‌
—‌
Barclays
Bank
PLC
04/28/2020
EUR
390‌
$
433‌
—‌
(1‌)
Barclays
Bank
PLC
04/28/2020
EUR
1,440‌
$
1,595‌
—‌
—‌
Barclays
Bank
PLC
04/28/2020
ZAR
6,317‌
$
434‌
—‌
(32‌)
Barclays
Bank
PLC
04/28/2020
$
432‌
ZAR
6,291‌
32‌
—‌
Barclays
Bank
PLC
04/28/2020
$
1,595‌
ZAR
25,281‌
—‌
(13‌)
Barclays
Bank
PLC
05/11/2020
$
1,788‌
PEN
6,046‌
41‌
—‌
Barclays
Bank
PLC
05/11/2020
PEN
6,065‌
$
1,787‌
—‌
(35‌)
Barclays
Bank
PLC
05/14/2020
COP
4,898,722‌
$
1,463‌
—‌
(74‌)
Barclays
Bank
PLC
05/26/2020
$
1,336‌
CNH
9,388‌
—‌
(7‌)
Barclays
Bank
PLC
05/27/2020
BRL
5,254‌
$
1,206‌
—‌
(36‌)
Barclays
Bank
PLC
05/27/2020
$
1,196‌
BRL
5,254‌
26‌
—‌
Barclays
Bank
PLC
06/11/2020
$
9,690‌
THB
298,707‌
205‌
—‌
Barclays
Bank
PLC
06/11/2020
$
850‌
THB
27,022‌
—‌
(8‌)
Barclays
Bank
PLC
06/11/2020
THB
26,792‌
$
850‌
1‌
—‌
Barclays
Bank
PLC
06/11/2020
THB
298,305‌
$
9,690‌
—‌
(218‌)
Barclays
Bank
PLC
06/16/2020
$
2,001‌
BRL
8,751‌
54‌
—‌
Barclays
Bank
PLC
06/16/2020
BRL
8,745‌
$
2,002‌
—‌
(57‌)
Barclays
Bank
PLC
06/16/2020
$
412‌
MXN
7,777‌
23‌
—‌
Barclays
Bank
PLC
06/16/2020
MXN
7,782‌
$
412‌
—‌
(23‌)
Barclays
Bank
PLC
06/17/2020
$
8,430‌
MXN
162,655‌
300‌
—‌
Barclays
Bank
PLC
06/17/2020
MXN
214,606‌
$
11,260‌
—‌
(534‌)
Barclays
Bank
PLC
06/17/2020
$
2,830‌
MXN
56,812‌
—‌
(10‌)
Barclays
Bank
PLC
08/25/2020
MXN
57,170‌
$
2,815‌
12‌
—‌
Barclays
Bank
PLC
08/25/2020
$
2,815‌
MXN
54,762‌
107‌
—‌
Barclays
Bank
PLC
08/27/2020
$
555‌
THB
17,588‌
—‌
(4‌)
Barclays
Bank
PLC
08/27/2020
THB
17,707‌
$
555‌
8‌
—‌
Citigroup
Inc
03/11/2020
$
16,214‌
EUR
14,713‌
—‌
(37‌)
Citigroup
Inc
03/18/2020
$
10,885‌
EUR
9,751‌
111‌
—‌
Citigroup
Inc
04/30/2020
$
738‌
BRL
3,200‌
24‌
—‌
Citigroup
Inc
04/30/2020
BRL
3,200‌
$
755‌
—‌
(41‌)
Deutsche
Bank
AG
04/30/2020
$
380‌
GBP
291‌
6‌
—‌
Goldman
Sachs
&
Co
03/11/2020
$
51‌
EUR
46‌
—‌
—‌
Goldman
Sachs
&
Co
03/20/2020
$
1,585‌
MXN
30,000‌
65‌
—‌
Goldman
Sachs
&
Co
03/20/2020
$
4,525‌
RUB
290,950‌
192‌
—‌
Goldman
Sachs
&
Co
04/14/2020
MXN
14,035‌
$
737‌
—‌
(29‌)
Goldman
Sachs
&
Co
04/14/2020
$
733‌
MXN
14,035‌
25‌
—‌
HSBC
Securities
Inc
03/11/2020
$
104‌
EUR
96‌
—‌
(2‌)
HSBC
Securities
Inc
03/11/2020
EUR
893‌
$
980‌
6‌
—‌
HSBC
Securities
Inc
03/20/2020
$
1,585‌
MXN
30,175‌
56‌
—‌
HSBC
Securities
Inc
03/20/2020
$
4,535‌
PEN
15,450‌
65‌
—‌
HSBC
Securities
Inc
03/20/2020
$
2,936‌
RUB
192,600‌
67‌
—‌
HSBC
Securities
Inc
03/20/2020
KRW
5,400,000‌
$
4,537‌
—‌
(61‌)
HSBC
Securities
Inc
03/20/2020
$
4,485‌
KRW
5,400,000‌
9‌
—‌
HSBC
Securities
Inc
04/13/2020
CAD
1,955‌
$
1,499‌
—‌
(42‌)
HSBC
Securities
Inc
04/13/2020
$
1,470‌
CAD
1,955‌
13‌
—‌
HSBC
Securities
Inc
04/15/2020
$
736‌
SEK
7,100‌
—‌
(5‌)
HSBC
Securities
Inc
04/15/2020
SEK
7,100‌
$
752‌
—‌
(11‌)
HSBC
Securities
Inc
04/22/2020
AUD
2,160‌
$
1,490‌
—‌
(82‌)
HSBC
Securities
Inc
04/22/2020
$
1,445‌
AUD
2,160‌
37‌
—‌
HSBC
Securities
Inc
05/13/2020
$
77‌
EUR
70‌
—‌
(1‌)
HSBC
Securities
Inc
05/28/2020
$
2,940‌
IDR
41,650,000‌
105‌
—‌
HSBC
Securities
Inc
05/28/2020
IDR
3,600,000‌
$
253‌
—‌
(8‌)
JPMorgan
Chase
03/20/2020
$
7,837‌
CLP
6,245,000‌
200‌
—‌
Merrill
Lynch
03/23/2020
$
400‌
CAD
530‌
5‌
—‌
Merrill
Lynch
03/23/2020
$
205‌
EUR
190‌
—‌
(5‌)
Merrill
Lynch
04/14/2020
$
743‌
IDR
10,293,645‌
37‌
—‌
Merrill
Lynch
04/14/2020
IDR
10,293,645‌
$
744‌
—‌
(38‌)
Merrill
Lynch
04/15/2020
JPY
327,555‌
$
3,007‌
38‌
—‌
Merrill
Lynch
04/15/2020
$
2,995‌
JPY
327,555‌
—‌
(50‌)
Merrill
Lynch
04/15/2020
$
1,825‌
NOK
16,955‌
22‌
—‌
Merrill
Lynch
04/15/2020
NOK
16,955‌
$
1,905‌
—‌
(102‌)
Merrill
Lynch
04/15/2020
$
730‌
PLN
2,850‌
3‌
—‌
Merrill
Lynch
04/15/2020
PLN
2,850‌
$
748‌
—‌
(21‌)
Morgan
Stanley
&
Co
03/03/2020
BRL
30‌
$
7‌
—‌
—‌
Morgan
Stanley
&
Co
03/03/2020
$
86‌
BRL
365‌
4‌
—‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
104
Foreign
Currency
Contracts
(continued)
Unrealized
Appreciation/(Depreciation)
Counterparty
Settlement
Date
Currency
to
Accept
Currency
to
Deliver
Asset
Liability
Morgan
Stanley
&
Co
03/03/2020
BRL
335‌
$
80‌
$
—‌
$
(5‌)
Morgan
Stanley
&
Co
03/18/2020
$
4,985‌
GBP
3,811‌
97‌
—‌
Morgan
Stanley
&
Co
03/18/2020
$
650‌
CNH
4,505‌
5‌
—‌
Morgan
Stanley
&
Co
03/18/2020
$
2,348‌
CNH
16,542‌
—‌
(22‌)
Morgan
Stanley
&
Co
03/18/2020
CNH
9,836‌
$
1,400‌
9‌
—‌
Morgan
Stanley
&
Co
04/02/2020
$
7‌
BRL
30‌
—‌
—‌
Morgan
Stanley
&
Co
04/07/2020
$
997‌
COP
3,330,000‌
51‌
—‌
Morgan
Stanley
&
Co
04/14/2020
$
741‌
NZD
1,130‌
35‌
—‌
Morgan
Stanley
&
Co
04/14/2020
NZD
1,130‌
$
751‌
—‌
(4
4‌
)
Morgan
Stanley
&
Co
04/30/2020
$
3,555‌
ZAR
52,530‌
215‌
—‌
Morgan
Stanley
&
Co
04/30/2020
ZAR
52,530‌
$
3,325‌
15‌
—‌
UBS
AG
04/22/2020
$
1,919‌
THB
58,310‌
6
8‌
—‌
Total
$
8,67
0‌
$
(8,50
7‌
)
Amounts
in
thousands.
Credit
Default
Swaps
Buy
Protection
Counterparty
Reference
Entity
Implied
Credit
Spread
as
of
February
29,
2020
(a)
(Pay)/
Receive
Fixed
Rate
Payment
Frequency
Maturity
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Unrealized
Appreciation/
(Depreciation)
Fair
Value
Asset
----
Liability
Citigroup
Inc
CDX.32.EM.100
N/A
(1.00)%
Quarterly
12/20/2024
$
1,500‌
$
74‌
$
23‌
$
97‌
$
—‌
Morgan
Stanley
&
Co
CDX.32.EM.100
N/A
(1.00)%
Quarterly
12/20/2024
2,990‌
137‌
57‌
194‌
—‌
Morgan
Stanley
&
Co
Enel
Spa,
5.25%,
05/20/2024
0.55%
(1.00)%
Quarterly
12/20/2023
EUR
750‌
4‌
(18‌)
—‌
(14‌)
Total
$
215‌
$
62‌
$
291‌
$
(14‌)
Sell
Protection
Counterparty
Reference
Entity
Implied
Credit
Spread
as
of
February
29,
2020
(a)
(Pay)/
Receive
Fixed
Rate
Payment
Frequency
Maturity
Date
Notional
Amount
(b)
Upfront
Payments/
(Receipts)
Unrealized
Appreciation/
(Depreciation)
Fair
Value
(c)
Asset
----
Liability
Barclays
Bank
PLC
Ukraine
Government
Bond,
7.75%,
09/01/2022
3.88%
5.00%
Quarterly
12/20/2024
$
1,900‌
$
75‌
$
16‌
$
91‌
$
—‌
Barclays
Bank
PLC
Ukraine
Government
Bond,
7.75%,
09/01/2022
3.88%
5.00%
Quarterly
12/20/2024
1,275‌
5
7‌
3‌
6
0‌
—‌
Citigroup
Inc
Petroleos
Mexicanos,
6.63%,
06/15/2035
2.76%
1.00%
Quarterly
06/20/2024
925‌
(64‌)
(2‌)
—‌
(66‌)
Goldman
Sachs
&
Co
Petroleos
Mexicanos,
6.63%,
06/15/2035
2.76%
1.00%
Quarterly
06/20/2024
925‌
(66‌)
—‌
—‌
(66‌)
JPMorgan
Chase
Petroleos
Mexicanos,
6.63%,
06/15/2035
2.76%
1.00%
Quarterly
06/20/2024
2,550‌
(183‌)
3‌
—‌
(18
0‌
)
Total
$
(18
1‌
)
$
20‌
$
15
1‌
$
(31
2‌
)
Amounts
in
thousands.
Exchange
Cleared
Credit
Default
Swaps
Buy
Protection
Reference
Entity
Implied
Credit
Spread
as
of
February
29,
2020
(a)
(Pay)/
Receive
Fixed
Rate
Payment
Frequency
Maturity
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Unrealized
Appreciation/
(Depreciation)
Fair
Value
Argentine
Republic
Government
International
Bond,
7.50%,
04/22/2026
6.52%
(5.00)%
Quarterly
06/20/2023
$
3,184‌
$
1,639‌
$
348‌
$
1,987‌
CDX.33.HY.500
N/A
(5.00)%
Quarterly
12/20/2024
4,440‌
(361‌)
121‌
(240‌)
Turkey
Government
International
Bond,
11.88%,
01/15/2030
3.39%
(1.00)%
Quarterly
12/20/2024
11,120‌
1,016‌
312‌
1,328‌
Total
$
2,294‌
$
781‌
$
3,075‌
Amounts
in
thousands.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
105
Exchange
Cleared
Credit
Default
Swaps
(continued)
(a)
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.
(b)
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
$7,575
.
(c)
The
market
price
and
resulting
market
value
for
credit
default
swap
agreements
on
an
issuer
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.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
106
Interest
Rate
Swaps
Counterparty
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
Asset
Liability
Bank
of
America
NA
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.78%
Quarterly
Quarterly
N/A
08/22/2024
CNY
16,312‌
$
40‌
$
—‌
$
40‌
$
—‌
Bank
of
America
NA
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
3.77%
Quarterly
Quarterly
N/A
09/18/2022
5,859‌
31‌
—‌
31‌
—‌
Bank
of
America
NA
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
3.85%
Quarterly
Quarterly
N/A
09/08/2022
8,370‌
47‌
—‌
47‌
—‌
Bank
of
America
NA
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
3.63%
Quarterly
Quarterly
N/A
05/04/2023
21,937‌
127‌
—‌
127‌
—‌
Bank
of
America
NA
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
3.72%
Quarterly
Quarterly
N/A
06/22/2022
11,886‌
56‌
—‌
56‌
—‌
Bank
of
America
NA
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
3.98%
Quarterly
Quarterly
N/A
03/24/2022
9,200‌
46‌
—‌
46‌
—‌
Barclays
Bank
PLC
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.20%
Annual
Semiannual
N/A
12/12/2023
PLN
10,712‌
(84‌)
—‌
—‌
(84‌)
Barclays
Bank
PLC
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.98%
Quarterly
Quarterly
N/A
12/12/2023
CNY
7,120‌
24‌
—‌
24‌
—‌
Citigroup
Inc
Sinacofi
Chile
Interbank
Rate
Avg
Receive
2.23%
Semiannual
Semiannual
N/A
12/18/2021
CLP
8,900,000‌
(93‌)
—‌
—‌
(93‌)
JPMorgan
Chase
Sinacofi
Chile
Interbank
Rate
Avg
Receive
1.51%
Semiannual
Semiannual
N/A
12/18/2021
14,850,000‌
80‌
—‌
80‌
—‌
JPMorgan
Chase
Sinacofi
Chile
Interbank
Rate
Avg
Receive
2.06%
Semiannual
Semiannual
N/A
12/18/2021
5,500,000‌
(37‌)
—‌
—‌
(37‌)
JPMorgan
Chase
Sinacofi
Chile
Interbank
Rate
Avg
Receive
1.81%
Semiannual
Semiannual
N/A
01/28/2022
900,000‌
(1‌)
—‌
—‌
(1‌)
Morgan
Stanley
&
Co
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
3.09%
Quarterly
Quarterly
N/A
11/08/2024
CNY
18,894‌
85‌
—‌
85‌
—‌
Total
$
321‌
$
—‌
$
536‌
$
(215‌)
Amounts
in
thousands.
Exchange
Cleared
Interest
Rate
Swaps
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
Johannesburg
Interbank
Agreed
Rate
Receive
7.26%
Quarterly
Quarterly
N/A
01/31/2030
ZAR
23,365‌
$
29‌
$
1‌
$
30‌
3
Month
Johannesburg
Interbank
Agreed
Rate
Receive
7.54%
Quarterly
Quarterly
N/A
02/28/2030
12,900‌
—‌
1‌
1‌
3
Month
Johannesburg
Interbank
Agreed
Rate
Pay
7.20%
Quarterly
Quarterly
N/A
11/11/2022
105,000‌
151‌
(10‌)
141‌
3
Month
Johannesburg
Interbank
Agreed
Rate
Receive
6.59%
Quarterly
Quarterly
N/A
11/11/2022
105,000‌
(45‌)
6‌
(39‌)
3
Month
KRW
Certificate
of
Deposit
Receive
1.39%
Quarterly
Quarterly
N/A
12/18/2029
$
1,690,489‌
(52‌)
—‌
(52‌)
3
Month
KRW
Certificate
of
Deposit
Receive
1.31%
Quarterly
Quarterly
N/A
11/22/2029
1,391,000‌
(34‌)
—‌
(34‌)
3
Month
KRW
Certificate
of
Deposit
Receive
1.41%
Quarterly
Quarterly
N/A
01/28/2022
8,790,000‌
(41‌)
—‌
(41‌)
3
Month
USD
LIBOR
Receive
2.93%
Semiannual
Quarterly
N/A
06/11/2025
3,963‌
(405‌)
—‌
(405‌)
3
Month
USD
LIBOR
Receive
3.09%
Semiannual
Quarterly
N/A
10/01/2024
4,584‌
(444‌)
—‌
(444‌)
3
Month
USD
LIBOR
Receive
3.04%
Semiannual
Quarterly
N/A
08/07/2028
2,362‌
(384‌)
—‌
(384‌)
3
Month
USD
LIBOR
Pay
2.98%
Quarterly
Semiannual
N/A
08/07/2023
4,428‌
308‌
—‌
308‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
107
Exchange
Cleared
Interest
Rate
Swaps
(continued)
Floating
Rate
Index
(Pay)/
Receive
Floating
Rate
Fixed
Rate
Payment
Frequency
Paid
by
Fund
Payment
Frequency
Received
by
Fund
Effective
Date
(a)
Maturity
Date
Notional
Amount
Unrealized
Appreciation/
(Depreciation)
Upfront
Payments/
(Receipts)
Fair
Value
3
Month
USD
LIBOR
Receive
2.75%
Semiannual
Quarterly
N/A
03/08/2023
$
1,892‌
$
(103‌)
$
—‌
$
(103‌)
3
Month
USD
LIBOR
Receive
2.23%
Semiannual
Quarterly
N/A
04/03/2024
4,061‌
(215‌)
—‌
(215‌)
3
Month
USD
LIBOR
Receive
2.97%
Semiannual
Quarterly
N/A
04/25/2025
2,700‌
(274‌)
—‌
(274‌)
3
Month
USD
LIBOR
Receive
2.94%
Semiannual
Quarterly
N/A
05/10/2023
1,785‌
(113‌)
—‌
(113‌)
3
Month
USD
LIBOR
Receive
2.88%
Semiannual
Quarterly
N/A
08/21/2025
6,337‌
(650‌)
—‌
(650‌)
3
Month
USD
LIBOR
Receive
3.04%
Semiannual
Quarterly
N/A
05/22/2025
3,180‌
(338‌)
—‌
(338‌)
3
Month
USD
LIBOR
Receive
2.75%
Semiannual
Quarterly
N/A
03/29/2025
1,575‌
(141‌)
1‌
(140‌)
3
Month
USD
LIBOR
Receive
2.02%
Semiannual
Quarterly
N/A
01/23/2022
5,283‌
(103‌)
—‌
(103‌)
3
Month
USD
LIBOR
Receive
2.12%
Semiannual
Quarterly
N/A
03/08/2022
6,219‌
(146‌)
—‌
(146‌)
3
Month
USD
LIBOR
Receive
2.02%
Semiannual
Quarterly
N/A
02/07/2022
4,265‌
(85‌)
—‌
(85‌)
3
Month
USD
LIBOR
Receive
2.21%
Semiannual
Quarterly
N/A
03/15/2022
5,314‌
(136‌)
—‌
(136‌)
3
Month
USD
LIBOR
Receive
1.89%
Semiannual
Quarterly
N/A
01/19/2022
2,111‌
(36‌)
—‌
(36‌)
3
Month
USD
LIBOR
Receive
2.09%
Semiannual
Quarterly
N/A
03/03/2022
7,419‌
(169‌)
—‌
(169‌)
3
Month
USD
LIBOR
Receive
2.00%
Semiannual
Quarterly
N/A
04/11/2022
5,502‌
(120‌)
—‌
(120‌)
3
Month
USD
LIBOR
Receive
2.97%
Semiannual
Quarterly
N/A
05/04/2025
2,381‌
(243‌)
1‌
(242‌)
3
Month
USD
LIBOR
Receive
1.93%
Semiannual
Quarterly
N/A
01/13/2022
4,225‌
(74‌)
—‌
(74‌)
3
Month
USD
LIBOR
Receive
2.77%
Semiannual
Quarterly
N/A
03/07/2025
3,938‌
(353‌)
1‌
(352‌)
6
Month
Budapest
Interbank
Offered
Rate
Receive
2.09%
Annual
Semiannual
N/A
07/11/2023
HUF
482,425‌
(64‌)
8‌
(56‌)
6
Month
Budapest
Interbank
Offered
Rate
Receive
1.09%
Annual
Semiannual
N/A
02/10/2025
745,000‌
12‌
1‌
13‌
6
Month
Euro
Interbank
Offered
Rate
Receive
0.06%
Annual
Semiannual
N/A
04/18/2024
EUR
1,487‌
(33‌)
1‌
(32‌)
6
Month
Euro
Interbank
Offered
Rate
Pay
(0.19)%
Semiannual
Annual
N/A
08/27/2029
1,305‌
1‌
1‌
2‌
6
Month
Euro
Interbank
Offered
Rate
Receive
0.05%
Annual
Semiannual
N/A
08/27/2034
870‌
(8‌)
—‌
(8‌)
6
Month
Prague
Interbank
Offered
Rate
Pay
1.59%
Semiannual
Annual
N/A
08/16/2021
CZK
85,188‌
(25‌)
(1‌)
(26‌)
6
Month
Warsaw
Interbank
Offered
Rate
Pay
1.44%
Semiannual
Annual
N/A
09/02/2024
PLN
22,192‌
14‌
3‌
17‌
6
Month
Warsaw
Interbank
Offered
Rate
Pay
1.85%
Semiannual
Annual
N/A
01/28/2022
146,200‌
288‌
1‌
289‌
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.55%
Annual
Semiannual
N/A
03/10/2022
6,420‌
(38‌)
1‌
(37‌)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.48%
Annual
Semiannual
N/A
03/23/2023
4,152‌
(36‌)
1‌
(35‌)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.37%
Annual
Semiannual
N/A
04/26/2022
6,600‌
(37‌)
2‌
(35‌)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.02%
Annual
Semiannual
N/A
05/27/2024
11,140‌
(76‌)
—‌
(76‌)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.52%
Annual
Semiannual
N/A
03/09/2022
3,605‌
(21‌)
1‌
(20‌)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.54%
Annual
Semiannual
N/A
05/17/2023
5,873‌
(57‌)
2‌
(55‌)
6
Month
Warsaw
Interbank
Offered
Rate
Receive
2.02%
Annual
Semiannual
N/A
01/28/2030
31,050‌
(438‌)
(2‌)
(440‌)
6
Month
Warsaw
Interbank
Offered
Rate
Pay
1.51%
Semiannual
Annual
N/A
02/19/2022
27,840‌
11‌
1‌
12‌
Brazil
Cetip
DI
Interbank
Deposit
Rate
Receive
5.27%
Annual
Annual
N/A
01/02/2023
BRL
21,113‌
(9‌)
—‌
(9‌)
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.62%
Quarterly
Quarterly
N/A
02/07/2025
$
16,890‌
26‌
—‌
26‌
China
Foreign
Exchange
Trade
System
Fixing
Repo
Rates
7
Day
Pay
2.59%
Quarterly
Quarterly
N/A
02/10/2025
16,890‌
22‌
1‌
23‌
Colombia
IBR
Overnight
Interbank
Reference
Rate
Receive
4.00%
Annual
Annual
N/A
03/02/2023
COP
13,793,500‌
4‌
—‌
4‌
Sinacofi
Chile
Interbank
Rate
Avg
Receive
2.47%
Semiannual
Semiannual
N/A
01/13/2025
CLP
960,000‌
(8‌)
—‌
(8‌)
Sinacofi
Chile
Interbank
Rate
Avg
Receive
2.43%
Semiannual
Semiannual
N/A
01/31/2025
923,320‌
(4‌)
—‌
(4‌)
Sinacofi
Chile
Interbank
Rate
Avg
Receive
2.28%
Semiannual
Semiannual
N/A
02/11/2025
928,950‌
5‌
—‌
5‌
US
Federal
Funds
Effective
Rate
(continuous
series)
Receive
1.40%
Annual
Annual
N/A
03/31/2021
$
13,602‌
(76‌)
—‌
(76‌)
Total
$
(4,763‌)
$
22‌
$
(4,741‌)
Amounts
in
thousands.
(a)    
Forward
swap.
Total
Return
Equity
Basket
Swaps
Counterparty
Fund
Pays
Fund
Receives
Payment
Frequency
Expiration
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Value
and
Unrealized
Appreciation/(Depreciation)
Asset
-----
Liability
Goldman
Sachs
&
Co
Floating
rate
based
on
1
Month
Euro
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
EUR
Monthly
02/01/2029-
02/07/2029
$
892‌
$
—‌
$
—‌
$
(202‌)
Goldman
Sachs
&
Co
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
GBP
Monthly
12/22/2028-
12/26/2028
—‌
—‌
—‌
(10‌)
Goldman
Sachs
&
Co
Floating
rate
based
on
1
Month
JPY
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
JPY
Monthly
12/25/2028-
12/26/2028
224‌
—‌
27‌
—‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
108
Total
Return
Equity
Basket
Swaps
(continued)
Counterparty
Fund
Pays
Fund
Receives
Payment
Frequency
Expiration
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Value
and
Unrealized
Appreciation/(Depreciation)
Asset
-----
Liability
JPMorgan
Chase
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
CNY
Monthly
12/04/2020
$
1,576‌
$
—‌
$
133‌
$
—‌
JPMorgan
Chase
Floating
rate
based
on
Norway
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
NOK
Monthly
11/02/2020-
11/04/2020
844‌
—‌
—‌
(98‌)
JPMorgan
Chase
Floating
rate
based
on
1
Month
JPY
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
JPY
Monthly
03/25/2021
—‌
—‌
6‌
—‌
JPMorgan
Chase
Floating
rate
based
on
the
Hong
Kong
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
HKD
Monthly
11/30/2020
—‌
—‌
—‌
(17‌)
JPMorgan
Chase
Floating
rate
based
on
1
Month
GBP
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
GBP
Monthly
11/02/2020-
12/07/2020
2,562‌
—‌
—‌
(175‌)
JPMorgan
Chase
Floating
rate
based
on
1
Month
Euro
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
EUR
Monthly
11/03/2020-
12/04/2020
4,506‌
—‌
36‌
—‌
JPMorgan
Chase
Floating
rate
based
on
1
Month
CHF
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
CHF
Monthly
02/26/2021
298‌
—‌
41‌
—‌
Morgan
Stanley
&
Co
(a)
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
USD
Monthly
08/24/2020-
10/05/2021
19,191‌
—‌
2,298‌
—‌
Morgan
Stanley
&
Co
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
JPY
Monthly
01/21/2021-
11/30/2021
3,058‌
—‌
264‌
—‌
Morgan
Stanley
&
Co
Floating
rate
based
on
the
Hong
Kong
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
HKD
Monthly
01/28/2021
1,122‌
—‌
—‌
(4‌)
Morgan
Stanley
&
Co
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
GBP
Monthly
05/20/2020
4,430‌
—‌
—‌
(482‌)
Morgan
Stanley
&
Co
(b)
Floating
rate
based
on
1
Month
Euro
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
EUR
Monthly
10/09/2020-
02/10/2021
17,404‌
—‌
—‌
(895‌)
Morgan
Stanley
&
Co
Floating
rate
based
on
1
Month
LIBOR
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
CHF
Monthly
03/10/2021
720‌
—‌
45‌
—‌
UBS
AG
Floating
rate
based
on
the
Copenhagen
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
DKK
Monthly
01/27/2023
342‌
—‌
41‌
—‌
UBS
AG
Floating
rate
based
on
1
Month
EUR
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
EUR
Monthly
02/01/2022
3,702‌
—‌
512‌
—‌
UBS
AG
Floating
rate
based
on
1
Month
GBP
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
GBP
Monthly
02/01/2022
4,401‌
—‌
—‌
(623‌)
UBS
AG
Floating
rate
based
on
the
Hong
Kong
Interbank
Offered
Rate
plus/less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
HKD
Monthly
03/01/2022
249‌
—‌
—‌
(32‌)
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
109
Description
Shares
Notional
Amount
%
of
Total
Absolute
Notional
Amount
Allergan
PLC
34,271
$
6,534
34.05%
Escrow
Altegrity
Inc
NPV
124,036
2,684
13.98%
AbbVie
Inc
(29,679)
(2,544
)
(13.25)%
iShares
iBoxx
High
Yield
Corporate
Bond
ETF
(22,639)
(1,948
)
(10.15)%
TransDigm
Group
Inc
(1,545)
(862
)
(4.49)%
UnitedHealth
Group
Inc
(3,104)
(791
)
(4.12)%
American
Express
Co
(5,658)
(622
)
(3.24)%
Exxon
Mobil
Corp
(9,322)
(480
)
(2.50)%
Morgan
Stanley
Leisure
Travel
Basket
(7,875)
(465
)
(2.42)%
iShares
Nasdaq
Biotechnology
ETF
(3,539)
(403
)
(2.10)%
Walt
Disney
Co/The
(3,392)
(399
)
(2.08)%
Sysco
Corp
(5,866)
(391
)
(2.04)%
Ceridian
HCM
Holding
Inc
(3,799)
(269
)
(1.40)%
Cabot
Oil
&
Gas
Corp
(14,757)
(206
)
(1.07)%
Bristol-Myers
Squibb
Co
55,774
187
0.97%
ONEOK
Inc
(2,747)
(183
)
(0.96)%
Alibaba
Group
Holding
Ltd
(774)
(161
)
(0.84)%
T-Mobile
US
Inc
(690)
(62
)
(0.32)%
Description
Shares
Notional
Amount
%
of
Total
Absolute
Notional
Amount
Stoxx
Europe
600
Index
(27,721)
$
(11,496
)
(66.05)%
Vivendi
SA
59,843
1,521
8.74%
Engie
SA
83,461
1,385
7.96%
Getlink
SE
46,152
743
4.27%
Cie
de
Saint-Gobain
20,304
708
4.07%
Grifols
SA
24,406
539
3.10%
Grifols
SA
(16,589)
(531
)
(3.05)%
Delivery
Hero
SE
(3,790)
(285
)
(1.64)%
Eurofins
Scientific
SE
(393)
(197
)
(1.14)%
Total
Return
Equity
Basket
Swaps
(continued)
Counterparty
Fund
Pays
Fund
Receives
Payment
Frequency
Expiration
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Value
and
Unrealized
Appreciation/(Depreciation)
Asset
-----
Liability
UBS
AG
Floating
rate
based
on
1
Day
JPY
LIBOR
plus/
less
spread
Total
return
on
a
custom
basket
of
long
and
short
securities
traded
in
JPY
Monthly
02/01/2022
$
48‌
$
—‌
$
8‌
$
—‌
Total
$
65,569‌
$
—‌
$
3,411‌
$
(2,538‌)
The
expiration
dates
are
measured
from
the
commencement
of
investment
in
each
underlying
swap
position.
The
fund
pays
a
floating
rate
based
on
the
reference
rate
plus/less
a
spread.
The
spread
is
negotiated
at
the
security
level
and
is
usually
similar
within
a
region
but
may
vary
depending
on
how
difficult
it
is
to
borrow
the
security.
Notional
Amount
represents
the
total
absolute
value
of
the
underlying
securities.
Amounts
in
thousands.
(a)
Top
Underlying
Securities
YORKEBS
(b)
Top
Underlying
Securities
YRKEBSEUR
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
110
Reverse
Repurchase
Agreements
Counterparty
Coupon
Rate
Maturity
Date
Principal
Amount
Payable
for
Reverse
Repurchase
Agreements
Barclays
Bank
PLC
(1.75‌)%
Open
ended
$
3,390‌
$
(3,398‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
26‌
(26‌)
Merrill
Lynch
(2.65‌)%
Open
ended
441‌
(448‌)
Merrill
Lynch
(2.65‌)%
Open
ended
720‌
(731‌)
Merrill
Lynch
(2.40‌)%
Open
ended
549‌
(554‌)
Merrill
Lynch
(2.65‌)%
Open
ended
1,684‌
(1,699‌)
Merrill
Lynch
(2.65‌)%
Open
ended
520‌
(525‌)
Merrill
Lynch
(2.25‌)%
Open
ended
713‌
(717‌)
Merrill
Lynch
(2.25‌)%
Open
ended
835‌
(841‌)
Merrill
Lynch
(2.67‌)%
03/06/2020
1,795‌
(1,798‌)
Merrill
Lynch
(2.82‌)%
03/06/2020
3,053‌
(3,058‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
11,483‌
(11,484‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
4,188‌
(4,188‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
9,127‌
(9,128‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
5,591‌
(5,592‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
612‌
(612‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
50,422‌
(50,427‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
18,530‌
(18,532‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
14,051‌
(14,052‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
37,751‌
(37,755‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
18,690‌
(18,692‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
27,260‌
(27,263‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
4,820‌
(4,820‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
23,730‌
(23,732‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
27,365‌
(27,368‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
49,452‌
(49,457‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
20,120‌
(20,122‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
28,741‌
(28,744‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
1,408‌
(1,408‌)
Merrill
Lynch
(1.62‌)%
03/02/2020
2,915‌
(2,915‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
7,594‌
(7,595‌)
Merrill
Lynch
(1.69‌)%
03/02/2020
18,485‌
(18,487‌)
Merrill
Lynch
(1.68‌)%
03/02/2020
14,762‌
(14,76
2‌
)
Total
$
(410,93
0‌
)
Amounts
in
thousands.
Total
Return
Swaps
Counterparty
Reference
Entity
Contracts
Pay/Receive
Positive
Return
Financing
Rate
Payment
Frequency
Expiration
Date
Notional
Amount
Upfront
Payments/
(Receipts)
Value
and
Unrealized
Appreciation/
(Depreciation)
Asset
----
Liability
Citigroup
Inc
iShares
J.P.
Morgan
USD
EM
Bond
UCITS
ETF
34,400
Pay
3
Month
USD
LIBOR
-
1.70%
Quarterly
05/21/2020
$
3,972‌
$
—‌
$
57‌
$
—‌
Citigroup
Inc
iShares
J.P.
Morgan
USD
EM
Bond
UCITS
ETF
11,500
Pay
3
Month
USD
LIBOR
-
1.70%
Quarterly
05/21/2020
1,316‌
—‌
7‌
—‌
HSBC
Securities
Inc
Egypt
Government
Bond,
14.30%,
09/03/2022
26,675,000
Receive
3
Month
USD
LIBOR
+
0.80%
Annual
11/13/2020
$
1,707‌
—‌
126‌
—‌
HSBC
Securities
Inc
Egypt
Government
Bond,
14.30%,
09/03/2022
11,500,000
Receive
3
Month
USD
LIBOR
+
0.80%
Annual
12/24/2020
758‌
—‌
30‌
—‌
HSBC
Securities
Inc
Egypt
Treasury
Bills,
0.00%,
08/11/2020
24,750,000
Receive
3
Month
USD
LIBOR
+
0.80%
Annual
08/12/2020
1,374‌
—‌
113‌
—‌
JPMorgan
Chase
Egypt
Treasury
Bills,
0.00%,
01/05/2021
23,500,000
Receive
3
Month
USD
LIBOR
+
0.80%
Annual
01/08/2021
1,314‌
—‌
2
6‌
—‌
Total
$
—‌
$
35
9‌
$
—‌
Amounts
in
thousands
except
contracts.
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
111
Short
Sales
Outstanding
PREFERRED
STOCKS
-
(0.03)%
Shares
Value
(000's)
Consumer
Products
-
(0.03)%
Henkel
AG
&
Co
KGaA
1.85%
2,783‌
$
259‌
TOTAL
PREFERRED
STOCKS
(proceeds
$282)
$
259‌
COMMON
STOCKS
-
(14.59)%
Shares
Value
(000's)
Advertising
-
(0.07)%
Dentsu
Group
Inc
7,000‌
$
181‌
Hakuhodo
DY
Holdings
Inc
14,300‌
165‌
JCDecaux
SA
13,034‌
301‌
$
647‌
Aerospace
&
Defense
-
(0.25)%
Boeing
Co/The
2,919‌
803‌
IHI
Corp
10,300‌
214‌
Kawasaki
Heavy
Industries
Ltd
14,100‌
253‌
L3Harris
Technologies
Inc
5,010‌
991‌
$
2,261‌
Agriculture
-
(0.14)%
Altria
Group
Inc
16,454‌
664‌
Archer-Daniels-Midland
Co
15,100‌
569‌
$
1,233‌
Airlines
-
(0.09)%
American
Airlines
Group
Inc
21,504‌
410‌
ANA
Holdings
Inc
3,000‌
81‌
easyJet
PLC
843‌
12‌
Singapore
Airlines
Ltd
30,800‌
178‌
United
Airlines
Holdings
Inc
1,544‌
95‌
$
776‌
Apparel
-
(0.08)%
Adidas
AG
215‌
61‌
Capri
Holdings
Ltd
4,900‌
127‌
Puma
SE
1,409‌
109‌
PVH
Corp
413‌
31‌
Tapestry
Inc
2,498‌
59‌
VF
Corp
6,022‌
433‌
$
820‌
Automobile
Manufacturers
-
(0.09)%
Bayerische
Motoren
Werke
AG
256‌
17‌
Daimler
AG
1,948‌
82‌
Nissan
Motor
Co
Ltd
52,800‌
226‌
PACCAR
Inc
5,749‌
385‌
Suzuki
Motor
Corp
3,000‌
121‌
Toyota
Motor
Corp
600‌
39‌
Volkswagen
AG
210‌
36‌
$
906‌
Automobile
Parts
&
Equipment
-
(0.19)%
Aptiv
PLC
1,989‌
155‌
Cie
Generale
des
Etablissements
Michelin
SCA
4,443‌
476‌
NGK
Insulators
Ltd
11,300‌
177‌
Nokian
Renkaat
OYJ
16,238‌
425‌
Sumitomo
Electric
Industries
Ltd
25,000‌
295‌
Toyoda
Gosei
Co
Ltd
7,300‌
154‌
$
1,682‌
Banks
-
(0.62)%
Australia
&
New
Zealand
Banking
Group
Ltd
15,815‌
255‌
Bank
of
New
York
Mellon
Corp/The
10,541‌
421‌
Bendigo
&
Adelaide
Bank
Ltd
124,108‌
749‌
Canadian
Imperial
Bank
of
Commerce
3,700‌
282‌
Citizens
Financial
Group
Inc
7,134‌
226‌
Comerica
Inc
2,418‌
127‌
Commonwealth
Bank
of
Australia
6,851‌
368‌
Danske
Bank
A/S
3,657‌
57‌
Fifth
Third
Bancorp
4,468‌
109‌
Huntington
Bancshares
Inc/OH
21,058‌
258‌
KeyCorp
5,576‌
91‌
M&T
Bank
Corp
1,757‌
247‌
Nordea
Bank
Abp
66,870‌
528‌
Northern
Trust
Corp
6,579‌
577‌
Regions
Financial
Corp
18,420‌
249‌
State
Street
Corp
4,990‌
340‌
Wells
Fargo
&
Co
11,200‌
458‌
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Banks
(continued)
Zions
Bancorp
NA
3,906‌
$
156‌
$
5,498‌
Beverages
-
(0.24)%
Brown-Forman
Corp
-
B
Shares
7,125‌
437‌
Coca-Cola
Bottlers
Japan
Holdings
Inc
39,700‌
916‌
Monster
Beverage
Corp
4,071‌
254‌
Remy
Cointreau
SA
5,029‌
512‌
$
2,119‌
Biotechnology
-
(0.36)%
Alnylam
Pharmaceuticals
Inc
1,220‌
144‌
BeiGene
Ltd
ADR
700‌
111‌
BioMarin
Pharmaceutical
Inc
167‌
15‌
Corteva
Inc
1,361‌
37‌
Exact
Sciences
Corp
1,165‌
94‌
Gilead
Sciences
Inc
1,012‌
70‌
Illumina
Inc
959‌
255‌
Incyte
Corp
14,159‌
1,068‌
Regeneron
Pharmaceuticals
Inc
948‌
421‌
Seattle
Genetics
Inc
1,947‌
222‌
Vertex
Pharmaceuticals
Inc
3,716‌
832‌
$
3,269‌
Building
Materials
-
(0.24)%
Cie
de
Saint-Gobain
8,005‌
283‌
CRH
PLC
9,587‌
323‌
James
Hardie
Industries
PLC
18,045‌
337‌
Johnson
Controls
International
plc
21,796‌
797‌
Owens
Corning
3,455‌
195‌
Sika
AG
68‌
12‌
Vulcan
Materials
Co
1,360‌
164‌
$
2,111‌
Chemicals
-
(0.49)%
Air
Products
&
Chemicals
Inc
659‌
145‌
Albemarle
Corp
15,406‌
1,261‌
BASF
SE
2,718‌
161‌
CF
Industries
Holdings
Inc
12,695‌
468‌
DuPont
de
Nemours
Inc
1,449‌
62‌
Hitachi
Chemical
Co
Ltd
15,500‌
656‌
International
Flavors
&
Fragrances
Inc
2,877‌
345‌
Johnson
Matthey
PLC
1,473‌
48‌
LANXESS
AG
5,062‌
269‌
Linde
PLC
458‌
87‌
LyondellBasell
Industries
NV
2,361‌
169‌
Mosaic
Co/The
6,077‌
103‌
Umicore
SA
10,643‌
448‌
Westlake
Chemical
Corp
1,000‌
56‌
$
4,278‌
Commercial
Services
-
(0.31)%
AMERCO
142‌
46‌
Automatic
Data
Processing
Inc
776‌
120‌
Equifax
Inc
1,576‌
224‌
Gartner
Inc
4,086‌
528‌
Global
Payments
Inc
1,801‌
331‌
GMO
Payment
Gateway
Inc
6,500‌
403‌
IHS
Markit
Ltd
2,107‌
150‌
ISS
A/S
640‌
11‌
MarketAxess
Holdings
Inc
559‌
181‌
PayPal
Holdings
Inc
2,711‌
293‌
Rollins
Inc
9,882‌
370‌
Verisk
Analytics
Inc
1,449‌
225‌
$
2,882‌
Computers
-
(0.35)%
Atos
SE
5,887‌
443‌
Computershare
Ltd
2,722‌
28‌
Dell
Technologies
Inc
8,853‌
358‌
DXC
Technology
Co
5,848‌
141‌
Fortinet
Inc
4,758‌
486‌
Hewlett
Packard
Enterprise
Co
15,797‌
202‌
International
Business
Machines
Corp
1,286‌
167‌
Seagate
Technology
PLC
6,959‌
334‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
112
Short
Sales
Outstanding
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Computers
(continued)
Western
Digital
Corp
17,932‌
$
996‌
$
3,155‌
Consumer
Products
-
(0.09)%
Church
&
Dwight
Co
Inc
3,837‌
267‌
Clorox
Co/The
3,586‌
572‌
$
839‌
Cosmetics
&
Personal
Care
-
(0.05)%
Coty
Inc
23,119‌
213‌
Kose
Corp
600‌
71‌
Shiseido
Co
Ltd
2,500‌
149‌
$
433‌
Distribution
&
Wholesale
-
(0.11)%
Copart
Inc
2,754‌
233‌
Fastenal
Co
11,563‌
396‌
Jardine
Cycle
&
Carriage
Ltd
19,400‌
381‌
$
1,010‌
Diversified
Financial
Services
-
(0.53)%
Alliance
Data
Systems
Corp
1,787‌
153‌
Ameriprise
Financial
Inc
2,925‌
413‌
Capital
One
Financial
Corp
974‌
86‌
Cboe
Global
Markets
Inc
6,724‌
767‌
Charles
Schwab
Corp/The
6,875‌
280‌
CME
Group
Inc
2,561‌
509‌
Credit
Saison
Co
Ltd
22,900‌
330‌
E*TRADE
Financial
Corp
3,207‌
147‌
Intercontinental
Exchange
Inc
1,300‌
116‌
Japan
Exchange
Group
Inc
5,000‌
84‌
Raymond
James
Financial
Inc
7,300‌
610‌
SBI
Holdings
Inc/Japan
15,700‌
317‌
St
James's
Place
PLC
37,280‌
494‌
Synchrony
Financial
8,819‌
257‌
$
4,563‌
Electric
-
(0.82)%
Alliant
Energy
Corp
3,874‌
202‌
Ameren
Corp
2,643‌
209‌
American
Electric
Power
Co
Inc
2,756‌
246‌
CenterPoint
Energy
Inc
14,004‌
322‌
Chugoku
Electric
Power
Co
Inc/The
44,900‌
596‌
CLP
Holdings
Ltd
1,500‌
16‌
Consolidated
Edison
Inc
4,354‌
343‌
DTE
Energy
Co
2,771‌
309‌
Duke
Energy
Corp
493‌
45‌
E.ON
SE
44,167‌
513‌
Edison
International
6,773‌
455‌
Entergy
Corp
10,797‌
1,262‌
Eversource
Energy
1,491‌
129‌
Exelon
Corp
7,010‌
302‌
FirstEnergy
Corp
612‌
27‌
Kyushu
Electric
Power
Co
Inc
39,800‌
288‌
NextEra
Energy
Inc
279‌
71‌
Pinnacle
West
Capital
Corp
762‌
68‌
Power
Assets
Holdings
Ltd
6,500‌
47‌
PPL
Corp
6,952‌
209‌
Sempra
Energy
2,770‌
388‌
Southern
Co/The
1,084‌
65‌
SSE
PLC
34,466‌
678‌
WEC
Energy
Group
Inc
2,570‌
237‌
Xcel
Energy
Inc
4,718‌
294‌
$
7,321‌
Electrical
Components
&
Equipment
-
(0.03)%
AMETEK
Inc
2,994‌
257‌
Electronics
-
(0.18)%
Agilent
Technologies
Inc
1,201‌
93‌
Arrow
Electronics
Inc
724‌
49‌
Keysight
Technologies
Inc
4,143‌
393‌
Nidec
Corp
1,000‌
118‌
Roper
Technologies
Inc
1,572‌
553‌
TE
Connectivity
Ltd
584‌
48‌
Trimble
Inc
7,114‌
281‌
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Electronics
(continued)
Waters
Corp
633‌
$
123‌
$
1,658‌
Energy
-
Alternate
Sources
-
(0.01)%
Siemens
Gamesa
Renewable
Energy
SA
4,150‌
67‌
Engineering
&
Construction
-
(0.42)%
Auckland
International
Airport
Ltd
3,749‌
19‌
CK
Infrastructure
Holdings
Ltd
6,000‌
41‌
Ferrovial
SA
45,360‌
1,303‌
Jacobs
Engineering
Group
Inc
15,476‌
1,429‌
Japan
Airport
Terminal
Co
Ltd
24,700‌
960‌
Kajima
Corp
11,200‌
120‌
$
3,872‌
Entertainment
-
(0.07)%
Flutter
Entertainment
PLC
3,510‌
373‌
Live
Nation
Entertainment
Inc
5,664‌
344‌
$
717‌
Environmental
Control
-
0.00%
Kurita
Water
Industries
Ltd
800‌
21‌
Food
-
(0.35)%
Barry
Callebaut
AG
89‌
184‌
Conagra
Brands
Inc
6,703‌
179‌
Hormel
Foods
Corp
12,948‌
539‌
Jardine
Strategic
Holdings
Ltd
5,500‌
160‌
JM
Smucker
Co/The
133‌
14‌
Kellogg
Co
2,825‌
171‌
Kikkoman
Corp
5,000‌
230‌
Kroger
Co/The
26,912‌
757‌
Lamb
Weston
Holdings
Inc
1,898‌
165‌
McCormick
&
Co
Inc/MD
1,389‌
203‌
Mowi
ASA
5,370‌
114‌
NH
Foods
Ltd
3,100‌
117‌
Ocado
Group
PLC
14,797‌
205‌
Sysco
Corp
1,190‌
79‌
Yamazaki
Baking
Co
Ltd
7,200‌
122‌
$
3,239‌
Food
Service
-
(0.03)%
Sodexo
SA
2,945‌
285‌
Forest
Products
&
Paper
-
(0.03)%
Mondi
PLC
3,477‌
71‌
Stora
Enso
Oyj
8,893‌
105‌
West
Fraser
Timber
Co
Ltd
3,600‌
134‌
$
310‌
Gas
-
(0.20)%
Atmos
Energy
Corp
10,856‌
1,121‌
NiSource
Inc
18,393‌
497‌
UGI
Corp
4,725‌
170‌
$
1,788‌
Hand
&
Machine
Tools
-
(0.02)%
Snap-on
Inc
1,377‌
199‌
Healthcare
-
Products
-
(0.36)%
ABIOMED
Inc
2,111‌
317‌
Align
Technology
Inc
354‌
77‌
Baxter
International
Inc
3,678‌
307‌
Boston
Scientific
Corp
6,801‌
254‌
Cooper
Cos
Inc/The
670‌
217‌
Demant
A/S
709‌
22‌
DENTSPLY
SIRONA
Inc
1,947‌
96‌
Edwards
Lifesciences
Corp
1,256‌
257‌
Hologic
Inc
6,967‌
328‌
IDEXX
Laboratories
Inc
1,280‌
326‌
Intuitive
Surgical
Inc
445‌
238‌
ResMed
Inc
170‌
27‌
STERIS
PLC
844‌
134‌
Stryker
Corp
1,007‌
192‌
Teleflex
Inc
977‌
327‌
Terumo
Corp
400‌
13‌
Varian
Medical
Systems
Inc
948‌
117‌
$
3,249‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
113
Short
Sales
Outstanding
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Healthcare
-
Services
-
(0.28)%
Anthem
Inc
1,572‌
$
404‌
Centene
Corp
6,346‌
337‌
Fresenius
Medical
Care
AG
&
Co
KGaA
4,614‌
356‌
Fresenius
SE
&
Co
KGaA
2,086‌
99‌
HCA
Healthcare
Inc
702‌
89‌
IQVIA
Holdings
Inc
2,407‌
336‌
Laboratory
Corp
of
America
Holdings
3,916‌
688‌
Ryman
Healthcare
Ltd
26,852‌
257‌
$
2,566‌
Holding
Companies
-
Diversified
-
(0.01)%
Jardine
Matheson
Holdings
Ltd
1,600‌
88‌
Home
Builders
-
(0.04)%
DR
Horton
Inc
1,465‌
78‌
NVR
Inc
68‌
249‌
$
327‌
Home
Furnishings
-
(0.03)%
Electrolux
AB
7,539‌
153‌
Panasonic
Corp
8,400‌
80‌
$
233‌
Insurance
-
(0.56)%
Aflac
Inc
7,100‌
304‌
American
International
Group
Inc
5,867‌
247‌
Arthur
J
Gallagher
&
Co
4,751‌
463‌
Chubb
Ltd
3,615‌
524‌
Great-West
Lifeco
Inc
6,600‌
155‌
Lincoln
National
Corp
8,246‌
374‌
Progressive
Corp/The
4,961‌
363‌
Prudential
Financial
Inc
7,463‌
563‌
Prudential
PLC
17,901‌
298‌
Reinsurance
Group
of
America
Inc
5,416‌
661‌
Suncorp
Group
Ltd
31,412‌
235‌
Travelers
Cos
Inc/The
2,520‌
302‌
Unum
Group
10,605‌
247‌
Willis
Towers
Watson
PLC
1,479‌
280‌
$
5,016‌
Internet
-
(0.37)%
CyberAgent
Inc
7,900‌
299‌
eBay
Inc
3,518‌
122‌
Expedia
Group
Inc
4,258‌
420‌
Grubhub
Inc
3,993‌
192‌
Iliad
SA
2,558‌
360‌
MercadoLibre
Inc
56‌
34‌
Netflix
Inc
392‌
145‌
Okta
Inc
1,300‌
166‌
Palo
Alto
Networks
Inc
317‌
59‌
Rakuten
Inc
31,200‌
263‌
Shopify
Inc
1,100‌
511‌
Twitter
Inc
12,010‌
399‌
VeriSign
Inc
962‌
183‌
Wayfair
Inc
360‌
23‌
Zillow
Group
Inc
-
C
Shares
5,126‌
286‌
$
3,462‌
Investment
Companies
-
(0.10)%
Industrivarden
AB
2,854‌
65‌
Kinnevik
AB
5,438‌
111‌
L
E
Lundbergforetagen
AB
1,965‌
82‌
Pargesa
Holding
SA
9,027‌
665‌
$
923‌
Iron
&
Steel
-
(0.18)%
Hitachi
Metals
Ltd
90,200‌
1,299‌
voestalpine
AG
15,378‌
335‌
$
1,634‌
Leisure
Products
&
Services
-
(0.12)%
Carnival
Corp
151‌
5‌
Flight
Centre
Travel
Group
Ltd
6,253‌
134‌
Harley-Davidson
Inc
8,419‌
256‌
Norwegian
Cruise
Line
Holdings
Ltd
8,739‌
326‌
Royal
Caribbean
Cruises
Ltd
2,560‌
206‌
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Leisure
Products
&
Services
(continued)
TUI
AG
20,696‌
$
163‌
$
1,090‌
Lodging
-
(0.29)%
City
Developments
Ltd
62,000‌
443‌
Crown
Resorts
Ltd
3,676‌
25‌
Las
Vegas
Sands
Corp
6,018‌
351‌
Marriott
International
Inc/MD
861‌
107‌
MGM
Resorts
International
17,695‌
435‌
Whitbread
PLC
8,216‌
414‌
Wynn
Resorts
Ltd
6,961‌
752‌
$
2,527‌
Machinery
-
Construction
&
Mining
-
(0.06)%
Hitachi
Construction
Machinery
Co
Ltd
10,000‌
244‌
Weir
Group
PLC/The
14,006‌
237‌
$
481‌
Machinery
-
Diversified
-
(0.37)%
ANDRITZ
AG
5,303‌
188‌
CNH
Industrial
NV
31,213‌
291‌
Daifuku
Co
Ltd
5,700‌
335‌
Deere
&
Co
6,117‌
957‌
Flowserve
Corp
218‌
9‌
IDEX
Corp
1,412‌
209‌
Rockwell
Automation
Inc
3,512‌
644‌
THK
Co
Ltd
600‌
14‌
Westinghouse
Air
Brake
Technologies
Corp
2,753‌
189‌
Xylem
Inc/NY
1,404‌
109‌
Yaskawa
Electric
Corp
13,600‌
424‌
$
3,369‌
Media
-
(0.40)%
DISH
Network
Corp
28,097‌
942‌
Liberty
Broadband
Corp
-
C
Shares
5,401‌
680‌
News
Corp
-
A
Shares
37,240‌
449‌
Pearson
PLC
45,756‌
332‌
ViacomCBS
Inc
13,103‌
322‌
Walt
Disney
Co/The
6,892‌
811‌
$
3,536‌
Metal
Fabrication
&
Hardware
-
(0.04)%
MISUMI
Group
Inc
17,700‌
373‌
Mining
-
(0.23)%
Anglo
American
PLC
6,749‌
159‌
Barrick
Gold
Corp
3,100‌
59‌
Boliden
AB
25,546‌
536‌
Cameco
Corp
1,400‌
12‌
Freeport-McMoRan
Inc
56,189‌
560‌
Lundin
Mining
Corp
30,000‌
153‌
Mitsubishi
Materials
Corp
16,700‌
379‌
Newmont
Corp
1,711‌
76‌
$
1,934‌
Miscellaneous
Manufacturers
-
(0.27)%
General
Electric
Co
26,227‌
285‌
JSR
Corp
12,800‌
223‌
Nikon
Corp
7,600‌
78‌
Parker-Hannifin
Corp
4,846‌
895‌
Smiths
Group
PLC
16,461‌
328‌
Textron
Inc
14,435‌
586‌
$
2,395‌
Office
&
Business
Equipment
-
(0.14)%
Konica
Minolta
Inc
39,300‌
215‌
Ricoh
Co
Ltd
71,700‌
670‌
Seiko
Epson
Corp
32,300‌
453‌
$
1,338‌
Oil
&
Gas
-
(0.51)%
Cabot
Oil
&
Gas
Corp
29,726‌
414‌
Cimarex
Energy
Co
12,034‌
398‌
Concho
Resources
Inc
708‌
48‌
Diamondback
Energy
Inc
8,983‌
557‌
Hess
Corp
14,542‌
817‌
Husky
Energy
Inc
1,800‌
9‌
Marathon
Oil
Corp
58,263‌
482‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
114
Short
Sales
Outstanding
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Oil
&
Gas
(continued)
Noble
Energy
Inc
35,866‌
$
568‌
Occidental
Petroleum
Corp
27,046‌
885‌
Oil
Search
Ltd
11,006‌
40‌
Pioneer
Natural
Resources
Co
3,947‌
485‌
$
4,703‌
Oil
&
Gas
Services
-
(0.03)%
Schlumberger
Ltd
7,395‌
200‌
TechnipFMC
PLC
5,251‌
78‌
$
278‌
Packaging
&
Containers
-
(0.04)%
Ball
Corp
1,009‌
71‌
Crown
Holdings
Inc
3,643‌
257‌
Sealed
Air
Corp
28‌
1‌
Westrock
Co
1,234‌
41‌
$
370‌
Pharmaceuticals
-
(0.32)%
Alfresa
Holdings
Corp
21,600‌
377‌
Cardinal
Health
Inc
9,253‌
482‌
Eli
Lilly
&
Co
1,897‌
239‌
McKesson
Corp
2,805‌
392‌
Orion
Oyj
296‌
12‌
Perrigo
Co
PLC
16,716‌
847‌
Suzuken
Co
Ltd/Aichi
Japan
200‌
7‌
Taisho
Pharmaceutical
Holdings
Co
Ltd
1,900‌
117‌
Zoetis
Inc
3,741‌
498‌
$
2,971‌
Pipelines
-
(0.29)%
Cheniere
Energy
Inc
5,892‌
302‌
Keyera
Corp
12,100‌
290‌
Kinder
Morgan
Inc/DE
21,267‌
408‌
Koninklijke
Vopak
NV
5,107‌
243‌
ONEOK
Inc
7,568‌
505‌
Targa
Resources
Corp
16,400‌
531‌
Williams
Cos
Inc/The
14,470‌
276‌
$
2,555‌
Private
Equity
-
(0.06)%
Onex
Corp
9,800‌
550‌
Real
Estate
-
(0.07)%
Aeon
Mall
Co
Ltd
1,300‌
18‌
Hulic
Co
Ltd
13,800‌
154‌
Tokyu
Fudosan
Holdings
Corp
71,100‌
449‌
$
621‌
REITs
-
(0.30)%
American
Tower
Corp
1,141‌
259‌
Apartment
Investment
&
Management
Co
2,980‌
143‌
Crown
Castle
International
Corp
2,368‌
339‌
Equinix
Inc
633‌
363‌
Essex
Property
Trust
Inc
433‌
123‌
Healthpeak
Properties
Inc
157‌
5‌
Host
Hotels
&
Resorts
Inc
1,926‌
28‌
Iron
Mountain
Inc
11,106‌
338‌
Regency
Centers
Corp
5,854‌
336‌
SBA
Communications
Corp
1,301‌
345‌
SL
Green
Realty
Corp
876‌
69‌
Ventas
Inc
1,210‌
65‌
Vornado
Realty
Trust
3,773‌
202‌
$
2,615‌
Retail
-
(0.89)%
Advance
Auto
Parts
Inc
1,565‌
208‌
Aeon
Co
Ltd
3,900‌
73‌
Canadian
Tire
Corp
Ltd
300‌
29‌
CarMax
Inc
12,646‌
1,104‌
Chipotle
Mexican
Grill
Inc
639‌
494‌
Costco
Wholesale
Corp
479‌
135‌
Darden
Restaurants
Inc
6,219‌
606‌
Dollar
Tree
Inc
18,295‌
1,519‌
Gap
Inc/The
10,021‌
144‌
Genuine
Parts
Co
6,421‌
560‌
Isetan
Mitsukoshi
Holdings
Ltd
7,700‌
50‌
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Retail
(continued)
J
Front
Retailing
Co
Ltd
30,000‌
$
319‌
Kohl's
Corp
9,388‌
368‌
L
Brands
Inc
11,123‌
241‌
Lowe's
Cos
Inc
4,403‌
469‌
Marui
Group
Co
Ltd
5,000‌
98‌
Nordstrom
Inc
10,351‌
359‌
O'Reilly
Automotive
Inc
627‌
231‌
Ross
Stores
Inc
3,386‌
368‌
Ryohin
Keikaku
Co
Ltd
6,000‌
81‌
Tiffany
&
Co
1,509‌
201‌
Ulta
Beauty
Inc
1,399‌
360‌
Walgreens
Boots
Alliance
Inc
1,006‌
46‌
Yamada
Denki
Co
Ltd
8,300‌
40‌
$
8,103‌
Savings
&
Loans
-
(0.01)%
People's
United
Financial
Inc
4,768‌
67‌
Semiconductors
-
(0.47)%
Advanced
Micro
Devices
Inc
9,545‌
434‌
Analog
Devices
Inc
3,312‌
361‌
Broadcom
Inc
1,070‌
292‌
IPG
Photonics
Corp
97‌
12‌
KLA
Corp
5,577‌
857‌
Marvell
Technology
Group
Ltd
27,900‌
594‌
Maxim
Integrated
Products
Inc
5,724‌
318‌
Microchip
Technology
Inc
4,338‌
393‌
Micron
Technology
Inc
8,816‌
463‌
QUALCOMM
Inc
849‌
66‌
SUMCO
Corp
5,900‌
89‌
Xilinx
Inc
3,896‌
325‌
$
4,204‌
Shipbuilding
-
(0.01)%
Wartsila
OYJ
Abp
4,530‌
47‌
Software
-
(0.61)%
Activision
Blizzard
Inc
6,201‌
360‌
Akamai
Technologies
Inc
526‌
46‌
Autodesk
Inc
978‌
187‌
Broadridge
Financial
Solutions
Inc
3,471‌
362‌
Cadence
Design
Systems
Inc
2,833‌
187‌
Electronic
Arts
Inc
3,333‌
338‌
Fidelity
National
Information
Services
Inc
1,150‌
161‌
Fiserv
Inc
2,939‌
321‌
Intuit
Inc
856‌
228‌
Jack
Henry
&
Associates
Inc
547‌
83‌
Konami
Holdings
Corp
5,900‌
213‌
MongoDB
Inc
2,300‌
351‌
Nexon
Co
Ltd
4,600‌
73‌
Paycom
Software
Inc
681‌
192‌
salesforce.com
Inc
259‌
44‌
ServiceNow
Inc
1,863‌
608‌
Splunk
Inc
2,954‌
435‌
Synopsys
Inc
1,197‌
165‌
Twilio
Inc
8,741‌
985‌
Worldline
SA/France
1,488‌
115‌
$
5,454‌
Telecommunications
-
(0.19)%
Arista
Networks
Inc
1,061‌
205‌
CenturyLink
Inc
30,989‌
374‌
Corning
Inc
9,569‌
228‌
Juniper
Networks
Inc
3,335‌
71‌
Millicom
International
Cellular
SA
1,946‌
90‌
Nokia
OYJ
11,287‌
43‌
Orange
SA
13,833‌
186‌
Tele2
AB
1,083‌
16‌
Verizon
Communications
Inc
8,930‌
484‌
$
1,697‌
Toys,
Games
&
Hobbies
-
(0.01)%
Hasbro
Inc
1,119‌
86‌
Consolidated
Schedule
of
Investments
Global
Multi-Strategy
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
115
Short
Sales
Outstanding
COMMON
STOCKS
(continued)
Shares
Value
(000’s)
Transportation
-
(0.44)%
CH
Robinson
Worldwide
Inc
1,109‌
$
76‌
FedEx
Corp
7,703‌
1,087‌
Getlink
SE
36,359‌
589‌
JB
Hunt
Transport
Services
Inc
2,700‌
260‌
Keihan
Holdings
Co
Ltd
300‌
12‌
Kintetsu
Group
Holdings
Co
Ltd
9,800‌
423‌
Knight-Swift
Transportation
Holdings
Inc
13,701‌
438‌
Mitsui
OSK
Lines
Ltd
18,000‌
371‌
Norfolk
Southern
Corp
748‌
136‌
Odakyu
Electric
Railway
Co
Ltd
2,000‌
38‌
Old
Dominion
Freight
Line
Inc
861‌
167‌
Union
Pacific
Corp
1,300‌
208‌
United
Parcel
Service
Inc
120‌
11‌
Yamato
Holdings
Co
Ltd
8,800‌
139‌
$
3,955‌
Water
-
(0.03)%
American
Water
Works
Co
Inc
1,462‌
181‌
Suez
4,175‌
66‌
$
247‌
TOTAL
COMMON
STOCKS
(proceeds
$140,316)
$
131,280‌
BONDS
-
(1.66)%
Principal
Amount
(000's)
Value
(000's)
Electric
-
(0.55)%
Comision
Federal
de
Electricidad
6.13%,
06/16/2045
$
4,000‌
$
4,943‌
Sovereign
-
(1.11)%
Argentine
Republic
Government
International
Bond
7.50%,
04/22/2026
6,381‌
2,760‌
Colombia
Government
International
Bond
5.00%,
06/15/2045
546‌
660‌
Mexico
Government
International
Bond
3.75%,
01/11/2028
2,552‌
2,731‌
Republic
of
South
Africa
Government
International
Bond
4.85%,
09/27/2027
3,071‌
3,201‌
Turkey
Government
International
Bond
11.88%,
01/15/2030
497‌
684‌
$
10,036‌
TOTAL
BONDS
(proceeds
$14,994)
$
14,979‌
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
-
(30.27)%
Principal
Amount
(000's)
Value
(000's)
Federal
National
Mortgage
Association
(FNMA)/Federal
Home
Loan
Mortgage
Corporation
(FHLMC)
Uniform
Mortgage-Backed
Security
-
(1.89)%
3.00%,
04/01/2050
$
16,550‌
$
17,026‌
U.S.
Treasury
-
(28.04)%
1.13%,
02/28/2025
10,493‌
10,601‌
1.38%,
01/31/2025
23,412‌
23,926‌
1.50%,
09/15/2022
22,274‌
22,621‌
1.50%,
01/15/2023
29,516‌
30,033‌
1.50%,
10/31/2024
19,909‌
20,437‌
1.50%,
01/31/2027
37,245‌
38,387‌
1.75%,
12/31/2024
48,332‌
50,224‌
1.75%,
12/31/2026
18,689‌
19,568‌
2.38%,
05/15/2027
28,413‌
31,037‌
2.38%,
11/15/2049
4,742‌
5,529‌
$
252,363‌
U.S.
Treasury
Inflation-Indexed
Obligations
-
(0.34)%
0.25%,
07/15/2029
2,908‌
3,071‌
TOTAL
U.S.
GOVERNMENT
&
GOVERNMENT
AGENCY
OBLIGATIONS
(proceeds
$263,320)
$
272,460‌
TOTAL
SHORT
SALES
(proceeds
$418,912)
$
418,978‌
Schedule
of
Investments
International
Small
Company
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
116
INVESTMENT
COMPANIES
-
3.73%
Shares
Held
Value
(000's)
Money
Market
Funds
-
3.73%
BlackRock
Liquidity
FedFund
1.48
%
(a),(b)
9,032,794‌
$
9,032‌
Principal
Government
Money
Market
Fund
1.43
%
(a),(b),(c)
24,649,594‌
24,650‌
$
33,682‌
TOTAL
INVESTMENT
COMPANIES
$
33,682‌
COMMON
STOCKS
-
99.12%
Shares
Held
Value
(000's)
Advertising
-
0.55%
Stroeer
SE
&
Co
KGaA
66,425‌
4,972‌
Aerospace
&
Defense
-
1.21%
CAE
Inc
169,700‌
4,540‌
Meggitt
PLC
633,032‌
4,458‌
Ultra
Electronics
Holdings
PLC
76,641‌
1,942‌
$
10,940‌
Airlines
-
0.74%
Air
Canada
(
d)
129,300‌
3,299‌
Wizz
Air
Holdings
Plc
(
d),(e)
75,175‌
3,345‌
$
6,644‌
Apparel
-
1.16%
boohoo
Group
PLC
(
d)
1,551,205‌
5,891‌
Puma
SE
29,978‌
2,324‌
Yue
Yuen
Industrial
Holdings
Ltd
947,500‌
2,299‌
$
10,514‌
Automobile
Manufacturers
-
0.19%
Isuzu
Motors
Ltd
183,400‌
1,716‌
Automobile
Parts
&
Equipment
-
1.52%
Rheinmetall
AG
61,478‌
5,707‌
Toyoda
Gosei
Co
Ltd
236,700‌
5,001‌
TS
Tech
Co
Ltd
118,100‌
3,054‌
$
13,762‌
Banks
-
4.82%
77
Bank
Ltd/The
65,300‌
828‌
Banco
Comercial
Portugues
SA
25,367,805‌
4,597‌
BAWAG
Group
AG
(
e)
95,090‌
4,101‌
Cembra
Money
Bank
AG
43,119‌
4,853‌
Chiba
Bank
Ltd/The
791,800‌
3,836‌
Israel
Discount
Bank
Ltd
1,402,461‌
5,844‌
Mediobanca
Banca
di
Credito
Finanziario
SpA
543,323‌
4,941‌
Mizrahi
Tefahot
Bank
Ltd
248,641‌
6,378‌
Paragon
Banking
Group
PLC
688,454‌
4,049‌
Shinsei
Bank
Ltd
310,700‌
4,070‌
$
43,497‌
Beverages
-
1.08%
Carlsberg
A/S
15,412‌
2,038‌
Royal
Unibrew
A/S
88,730‌
7,677‌
$
9,715‌
Building
Materials
-
1.01%
Buzzi
Unicem
SpA
305,644‌
6,704‌
Ibstock
PLC
(
e)
697,938‌
2,461‌
$
9,165‌
Chemicals
-
3.32%
Arkema
SA
60,676‌
5,740‌
Denka
Co
Ltd
218,600‌
5,456‌
DIC
Corp
142,100‌
3,357‌
Koninklijke
DSM
NV
18,694‌
2,108‌
Lintec
Corp
138,900‌
2,971‌
Solvay
SA
22,811‌
2,082‌
Sumitomo
Bakelite
Co
Ltd
138,300‌
4,098‌
Zeon
Corp
441,300‌
4,198‌
$
30,010‌
Commercial
Services
-
2.59%
Aggreko
PLC
353,446‌
3,088‌
Loomis
AB
151,882‌
5,304‌
Nishio
Rent
All
Co
Ltd
82,300‌
2,030‌
Park24
Co
Ltd
195,200‌
3,846‌
QinetiQ
Group
PLC
875,612‌
3,919‌
Rentokil
Initial
PLC
455,325‌
2,849‌
Sixt
SE
(
f)
26,653‌
2,346‌
$
23,382‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Computers
-
4.63%
Appen
Ltd
291,139‌
$
4,030‌
Computacenter
PLC
141,286‌
2,995‌
CyberArk
Software
Ltd
(
d)
44,017‌
4,609‌
Indra
Sistemas
SA
(
d)
398,671‌
4,360‌
Keywords
Studios
PLC
132,911‌
2,671‌
Logitech
International
SA
62,275‌
2,415‌
MCJ
Co
Ltd
252,700‌
1,451‌
NEC
Corp
63,500‌
2,384‌
NEC
Networks
&
System
Integration
Corp
53,500‌
1,979‌
Nomura
Research
Institute
Ltd
110,900‌
2,435‌
S&T
AG
(
f)
147,250‌
3,290‌
Softcat
PLC
182,797‌
2,501‌
Sopra
Steria
Group
25,251‌
4,088‌
Teleperformance
10,871‌
2,652‌
$
41,860‌
Distribution
&
Wholesale
-
2.45%
Inchcape
PLC
751,194‌
5,615‌
Rexel
SA
567,968‌
7,021‌
Seven
Group
Holdings
Ltd
(
f)
453,493‌
5,294‌
Toromont
Industries
Ltd
85,804‌
4,242‌
$
22,172‌
Diversified
Financial
Services
-
3.05%
AerCap
Holdings
NV
(
d)
102,364‌
5,331‌
Aruhi
Corp
92,100‌
1,348‌
Euronext
NV
(
e)
72,823‌
6,071‌
Man
Group
PLC/Jersey
1,996,636‌
3,792‌
Mitsubishi
UFJ
Lease
&
Finance
Co
Ltd
821,300‌
4,697‌
TP
ICAP
PLC
492,023‌
2,321‌
Zenkoku
Hosho
Co
Ltd
106,900‌
3,989‌
$
27,549‌
Electric
-
2.24%
Capital
Power
Corp
270,200‌
6,754‌
Chubu
Electric
Power
Co
Inc
136,500‌
1,778‌
Hera
SpA
1,390,821‌
5,970‌
Iren
SpA
1,860,916‌
5,760‌
$
20,262‌
Electrical
Components
&
Equipment
-
1.40%
Prysmian
SpA
(
f)
239,158‌
5,713‌
Signify
NV
(
e)
232,870‌
6,939‌
$
12,652‌
Electronics
-
1.53%
Anritsu
Corp
(
f)
337,700‌
5,582‌
Halma
PLC
95,444‌
2,398‌
Hitachi
High-Tech
Corp
43,500‌
3,231‌
Mycronic
AB
182,653‌
2,582‌
$
13,793‌
Energy
-
Alternate
Sources
-
0.32%
Vestas
Wind
Systems
A/S
29,468‌
2,843‌
Engineering
&
Construction
-
4.17%
ACS
Actividades
de
Construccion
y
Servicios
SA
54,833‌
1,635‌
ACS
Actividades
de
Construccion
y
Servicios
SA
-
Rights
(
d)
54,833‌
24‌
Downer
EDI
Ltd
1,192,263‌
4,503‌
Hazama
Ando
Corp
703,800‌
5,156‌
Kajima
Corp
468,400‌
5,020‌
KAWADA
TECHNOLOGIES
Inc
25,300‌
1,306‌
Kyowa
Exeo
Corp
289,800‌
6,344‌
Maeda
Corp
531,500‌
4,681‌
SPIE
SA
179,060‌
3,457‌
Stantec
Inc
132,600‌
3,961‌
Yokogawa
Bridge
Holdings
Corp
86,900‌
1,573‌
$
37,660‌
Entertainment
-
2.78%
Cineworld
Group
PLC
2,348,710‌
4,770‌
GVC
Holdings
PLC
480,943‌
4,945‌
Sega
Sammy
Holdings
Inc
395,500‌
5,222‌
Stars
Group
Inc/
The
(
d)
231,200‌
5,298‌
Tokyotokeiba
Co
Ltd
52,100‌
1,587‌
Schedule
of
Investments
International
Small
Company
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
117
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Entertainment
(continued)
William
Hill
PLC
1,728,453‌
$
3,299‌
$
25,121‌
Food
-
4.64%
AAK
AB
184,652‌
3,188‌
Empire
Co
Ltd
210,100‌
4,694‌
Greencore
Group
PLC
1,192,795‌
3,247‌
HelloFresh
SE
(
d)
134,828‌
3,288‌
J
Sainsbury
PLC
1,939,951‌
4,915‌
Morinaga
Milk
Industry
Co
Ltd
174,200‌
6,139‌
NH
Foods
Ltd
137,200‌
5,169‌
Nichirei
Corp
(
f)
139,700‌
3,528‌
Sonae
SGPS
SA
2,752,184‌
2,162‌
SSP
Group
Plc
564,373‌
3,732‌
WH
Group
Ltd
(
e)
1,787,000‌
1,875‌
$
41,937‌
Food
Service
-
0.26%
Autogrill
SpA
286,986‌
2,320‌
Forest
Products
&
Paper
-
0.57%
Interfor
Corp
(
d)
254,000‌
2,258‌
UPM-
Kymmene
Oyj
92,984‌
2,861‌
$
5,119‌
Gas
-
0.73%
Rubis
SCA
121,198‌
6,573‌
Hand
&
Machine
Tools
-
0.15%
Rhi
Magnesita
NV
34,900‌
1,358‌
Healthcare
-
Products
-
1.58%
Carl
Zeiss
Meditec
AG
14,015‌
1,491‌
Elekta
AB
395,848‌
4,202‌
GN
Store
Nord
A/S
103,342‌
5,767‌
Sartorius
Stedim
Biotech
14,572‌
2,791‌
$
14,251‌
Healthcare
-
Services
-
2.23%
Evotec
SE
(
d),(f)
125,822‌
3,063‌
ICON
PLC
(
d)
37,640‌
5,874‌
Korian
SA
93,763‌
4,280‌
Orpea
53,513‌
6,944‌
$
20,161‌
Home
Furnishings
-
0.38%
Canon
Marketing
Japan
Inc
150,800‌
3,461‌
Insurance
-
2.55%
ASR
Nederland
NV
234,532‌
7,893‌
Direct
Line
Insurance
Group
PLC
1,456,139‌
5,804‌
Phoenix
Group
Holdings
PLC
689,772‌
6,194‌
Swiss
Life
Holding
AG
6,757‌
3,102‌
$
22,993‌
Internet
-
0.85%
Scout24
AG
(
e)
116,152‌
7,642‌
Lodging
-
0.21%
NagaCorp
Ltd
1,344,000‌
1,868‌
Machinery
-
Diversified
-
2.49%
ATS
Automation
Tooling
Systems
Inc
(
d)
160,000‌
2,137‌
Bucher
Industries
AG
19,192‌
6,014‌
Deutz
AG
379,760‌
1,810‌
Husqvarna
AB
707,383‌
4,761‌
Makino
Milling
Machine
Co
Ltd
98,300‌
3,306‌
Okuma
Holdings
Inc
107,200‌
4,499‌
$
22,527‌
Media
-
1.80%
Future
PLC
138,759‌
2,092‌
Nine
Entertainment
Co
Holdings
Ltd
3,973,191‌
4,163‌
ProSiebenSat.1
Media
SE
441,781‌
5,381‌
Tokyo
Broadcasting
System
Holdings
Inc
295,100‌
4,592‌
$
16,228‌
Mining
-
3.19%
Alacer
Gold
Corp
(
d)
486,300‌
2,199‌
Hudbay
Minerals
Inc
552,427‌
1,346‌
Lundin
Mining
Corp
1,162,300‌
5,932‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Mining
(continued)
Northern
Star
Resources
Ltd
558,740‌
$
4,880‌
Perenti
Global
Ltd
2,462,646‌
2,190‌
Saracen
Mineral
Holdings
Ltd
(
d)
2,641,613‌
6,435‌
SSR
Mining
Inc
(
d)
370,227‌
5,792‌
$
28,774‌
Miscellaneous
Manufacturers
-
1.05%
Aalberts
NV
74,098‌
2,764‌
Trelleborg
AB
246,769‌
3,855‌
Vesuvius
PLC
527,599‌
2,895‌
$
9,514‌
Office
&
Business
Equipment
-
0.20%
Sato
Holdings
Corp
79,700‌
1,792‌
Oil
&
Gas
-
2.59%
Aker
BP
ASA
78,335‌
1,919‌
Beach
Energy
Ltd
3,269,827‌
3,865‌
DCC
PLC
58,438‌
4,185‌
Enerplus
Corp
(
f)
851,400‌
3,698‌
International
Petroleum
Corp/
Sweden
(
d),(f)
379,607‌
1,273‌
Parex
Resources
Inc
(
d)
361,967‌
4,951‌
Premier
Oil
PLC
(
d),(f)
2,484,117‌
2,530‌
TORC
Oil
&
Gas
Ltd
(
f)
416,500‌
1,015‌
$
23,436‌
Packaging
&
Containers
-
0.76%
DS
Smith
PLC
1,683,070‌
6,878‌
Pharmaceuticals
-
3.52%
Almirall
SA
124,963‌
1,637‌
Amplifon
SpA
215,498‌
6,182‌
Clinigen
Group
Plc
184,308‌
1,694‌
Hikma
Pharmaceuticals
PLC
258,681‌
6,022‌
Nippon
Shinyaku
Co
Ltd
64,200‌
4,810‌
Sawai
Pharmaceutical
Co
Ltd
121,500‌
6,905‌
Ship
Healthcare
Holdings
Inc
64,800‌
2,611‌
Towa
Pharmaceutical
Co
Ltd
96,900‌
1,918‌
$
31,779‌
Pipelines
-
0.69%
Keyera
Corp
(
f)
141,800‌
3,404‌
Koninklijke
Vopak
NV
59,376‌
2,826‌
$
6,230‌
Private
Equity
-
1.10%
Intermediate
Capital
Group
PLC
369,984‌
7,652‌
Jafco
Co
Ltd
59,800‌
2,264‌
$
9,916‌
Real
Estate
-
4.52%
CA
Immobilien
Anlagen
AG
66,862‌
2,714‌
Castellum
AB
339,740‌
7,834‌
Entra
ASA
(
e)
168,149‌
2,664‌
Hysan
Development
Co
Ltd
789,000‌
2,884‌
IMMOFINANZ
AG
(
d)
107,495‌
2,769‌
LEG
Immobilien
AG
64,711‌
7,771‌
PSP
Swiss
Property
AG
57,571‌
8,520‌
UOL
Group
Ltd
1,061,200‌
5,691‌
$
40,847‌
REITs
-
8.44%
Allied
Properties
Real
Estate
Investment
Trust
123,859‌
5,026‌
alstria
office
REIT-AG
218,546‌
4,153‌
Canadian
Apartment
Properties
REIT
81,200‌
3,396‌
Charter
Hall
Group
837,144‌
6,850‌
Cofinimmo
SA
15,186‌
2,425‌
Covivio
47,834‌
5,091‌
Frasers
Logistics
&
Industrial
Trust
2,844,700‌
2,540‌
Granite
Real
Estate
Investment
Trust
62,100‌
3,162‌
ICADE
46,182‌
4,626‌
Inmobiliaria
Colonial
Socimi
SA
273,115‌
3,489‌
Invincible
Investment
Corp
9,770‌
3,954‌
Japan
Hotel
REIT
Investment
Corp
7,615‌
4,253‌
Kenedix
Office
Investment
Corp
853‌
6,365‌
Kenedix
Residential
Next
Investment
Corp
2,104‌
3,605‌
Mapletree
Commercial
Trust
3,151,673‌
4,777‌
Schedule
of
Investments
International
Small
Company
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
118
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
REITs
(continued)
Mapletree
Industrial
Trust
1,717,200‌
$
3,314‌
MCUBS
MidCity
Investment
Corp
3,241‌
3,373‌
Merlin
Properties
Socimi
SA
448,893‌
5,794‌
$
76,193‌
Retail
-
6.13%
B&M
European
Value
Retail
SA
1,232,062‌
5,337‌
CECONOMY
AG
(
d)
580,608‌
2,800‌
Cosmos
Pharmaceutical
Corp
29,600‌
6,452‌
Grafton
Group
PLC
395,448‌
4,403‌
J
Front
Retailing
Co
Ltd
489,600‌
5,202‌
JD
Sports
Fashion
PLC
519,464‌
4,969‌
Komeri
Co
Ltd
52,300‌
945‌
Man
Wah
Holdings
Ltd
2,877,200‌
2,135‌
Moncler
SpA
52,409‌
2,062‌
Saizeriya
Co
Ltd
147,200‌
2,809‌
Seiko
Holdings
Corp
127,000‌
2,453‌
Super
Retail
Group
Ltd
508,042‌
2,718‌
Sushiro
Global
Holdings
Ltd
75,400‌
5,420‌
Tsuruha
Holdings
Inc
43,300‌
5,028‌
Valora
Holding
AG
(
d)
10,538‌
2,630‌
$
55,363‌
Semiconductors
-
0.82%
ASM
International
NV
64,494‌
7,412‌
Software
-
2.51%
AVEVA
Group
PLC
24,906‌
1,417‌
CompuGroup
Medical
SE
28,556‌
1,793‌
Descartes
Systems
Group
Inc/
The
(
d)
86,900‌
3,608‌
Kinaxis
Inc
(
d)
42,200‌
3,548‌
NSD
Co
Ltd
134,500‌
2,163‌
Open
Text
Corp
69,400‌
2,906‌
TIS
Inc
121,400‌
7,254‌
$
22,689‌
Telecommunications
-
1.59%
Bezeq
The
Israeli
Telecommunication
Corp
Ltd
(
d)
5,719,817‌
4,172‌
Proximus
SADP
198,198‌
4,922‌
Spark
New
Zealand
Ltd
1,864,926‌
5,305‌
$
14,399‌
Transportation
-
2.81%
ComfortDelGro
Corp
Ltd
2,845,700‌
4,035‌
Kamigumi
Co
Ltd
283,900‌
5,478‌
National
Express
Group
PLC
915,608‌
4,993‌
Sankyu
Inc
134,800‌
5,710‌
TFI
International
Inc
168,400‌
5,194‌
$
25,410‌
TOTAL
COMMON
STOCKS
$
895,299‌
Total
Investments
$
928,981‌
Other
Assets
and
Liabilities
-  (
2.85)%
(25,755‌)
TOTAL
NET
ASSETS
-
100.00%
$
903,226‌
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$24,353
or
2.70%
of
net
assets.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Non-income
producing
security
(e)
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
$35,098
or
3.89%
of
net
assets.
(f)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
Portfolio
Summary  (
unaudited)
Location
Percent
Japan
24.95‌%
United
Kingdom
13.00‌%
Canada
10.14‌%
Germany
6.04‌%
France
5.89‌%
Australia
4.97‌%
Italy
4.39‌%
United
States
3.98‌%
Netherlands
3.98‌%
Sweden
3.53‌%
Switzerland
3.41‌%
Ireland
2.85‌%
Israel
2.33‌%
Singapore
2.26‌%
Denmark
2.04‌%
Spain
1.87‌%
Austria
1.57‌%
Belgium
1.04‌%
Hong
Kong
1.02‌%
Portugal
0.75‌%
Jordan
0.67‌%
New
Zealand
0.59‌%
Isle
of
Man
0.55‌%
Norway
0.50‌%
Finland
0.32‌%
Cambodia
0.21‌%
Other
Assets
and
Liabilities
(
2.85‌)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
February
29,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
1.43%
$
29,546‌
$
262,962‌
$
267,858‌
$
24,650‌
$
29,546‌
$
262,962‌
$
267,858‌
$
24,650‌
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/Loss
Principal
Government
Money
Market
Fund
1.43%
$
118‌
$
—‌
$
—‌
$
—‌
$
118‌
$
—‌
$
—‌
$
—‌
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Schedule
of
Investments
Opportunistic
Municipal
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
119
INVESTMENT
COMPANIES
-
0.27%
Shares
Held
Value
(000's)
Exchange-Traded
Funds
-
0.27%
SPDR
Nuveen
Bloomberg
Barclays
High
Yield
Municipal
Bond
ETF
6,435‌
$
391‌
VanEck
Vectors
Short
High-Yield
Municipal
Index
ETF
1,000‌
25‌
$
416‌
TOTAL
INVESTMENT
COMPANIES
$
416‌
MUNICIPAL
BONDS
-
106.66%
Principal
Amount
(000's)
Value
(000's)
Alabama
-
3.63%
Lower
Alabama
Gas
District/The
5.00
%,
09
/01/2034
$
1,500‌
$
2,059‌
Tuscaloosa
County
Industrial
Development
Authority
4.50
%,
05
/01/2032
(a)
1,000‌
1,159‌
5.25
%,
05
/01/2044
(a)
2,000‌
2,386‌
$
5,604‌
Arizona
-
5.03%
Arizona
Industrial
Development
Authority
5.00
%,
01
/01/2049
(a)
1,000‌
1,092‌
7.25
%,
01
/01/2054
(a)
1,000‌
1,070‌
Navajo
Nation
5.50
%,
12
/01/2030
(a)
2,500‌
2,889‌
Salt
Verde
Financial
Corp
5.00
%,
12
/01/2032
2,000‌
2,708‌
$
7,759‌
Arkansas
-
0.73%
Arkansas
Development
Finance
Authority
4.50
%,
09
/01/2049
(a)
1,000‌
1,120‌
California
-
5.18%
Abag
Finance
Authority
for
Nonprofit
Corps
5.00
%,
08
/01/2043
500‌
560‌
California
Statewide
Communities
Development
Authority
5.25
%,
12
/01/2048
(a)
1,000‌
1,198‌
California
Statewide
Communities
Development
Authority
(
credit
support
from
Ginnie
Mae
Collateral
)
4.90
%,
07
/20/2039
(b)
500‌
510‌
California
Statewide
Financing
Authority
6.00
%,
05
/01/2043
1,000‌
1,006‌
La
Verne
Public
Financing
Authority
7.25
%,
09
/01/2026
490‌
492‌
Oakland
Unified
School
District/Alameda
County
5.00
%,
08
/01/2035
1,225‌
1,470‌
State
of
California
1.07
%,
05
/01/2033
(c)
2,750‌
2,750‌
$
7,986‌
Colorado
-
5.00%
Centerra
Metropolitan
District
No
1
5.00
%,
12
/01/2037
(a)
1,000‌
1,081‌
Eagle
County
Airport
Terminal
Corp
5.00
%,
05
/01/2037
1,000‌
1,201‌
Elbert
County
Independence
Water
&
Sanitation
District
7.25
%,
12
/01/2038
1,000‌
1,102‌
Painted
Prairie
Public
Improvement
Authority
5.00
%,
12
/01/2049
500‌
528‌
Prairie
Farm
Metropolitan
District
5.25
%,
12
/01/2048
1,000‌
1,080‌
STC
Metropolitan
District
No
2
5.00
%,
12
/01/2038
1,000‌
1,106‌
Velocity
Metropolitan
District
No
3
5.50
%,
12
/01/2048
1,500‌
1,622‌
$
7,720‌
Connecticut
-
1.61%
Mohegan
Tribal
Finance
Authority
7.00
%,
02
/01/2045
(a)
2,400‌
2,479‌
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
District
of
Columbia
-
2.26%
District
of
Columbia
4.00
%,
07
/01/2039
$
1,000‌
$
1,146‌
Metropolitan
Washington
Airports
Authority
Dulles
Toll
Road
Revenue
4.00
%,
10
/01/2049
2,000‌
2,341‌
$
3,487‌
Florida
-
5.05%
Florida
Development
Finance
Corp
6.25
%,
01
/01/2049
(a),(c)
1,000‌
1,039‌
Greater
Orlando
Aviation
Authority
5.00
%,
10
/01/2047
(d)
2,999‌
3,643‌
Martin
County
Health
Facilities
Authority
4.00
%,
01
/01/2046
1,000‌
1,164‌
Ocean
Highway
&
Port
Authority
5.50
%,
12
/01/2049
(a)
1,500‌
1,591‌
Orange
County
Housing
Finance
Authority
7.00
%,
10
/01/2025
345‌
346‌
$
7,783‌
Georgia
-
0.97%
Development
Authority
of
Burke
County/The
1.25
%,
07
/01/2049
(c)
1,500‌
1,500‌
Illinois
-
13.69%
City
of
Chicago
IL
5.50
%,
01
/01/2042
300‌
347‌
5.50
%,
01
/01/2049
1,000‌
1,246‌
6.00
%,
01
/01/2038
1,900‌
2,392‌
7.46
%,
02
/15/2026
1,707‌
1,295‌
City
of
Chicago
IL
Wastewater
Transmission
Revenue
5.00
%,
01
/01/2031
760‌
883‌
5.00
%,
01
/01/2039
1,200‌
1,366‌
Illinois
Finance
Authority
0.00
%,
12
/01/2042
(e)
300‌
174‌
Illinois
Sports
Facilities
Authority/The
5.00
%,
06
/15/2028
1,000‌
1,235‌
5.00
%,
06
/15/2029
1,000‌
1,256‌
Illinois
State
Toll
Highway
Authority
5.00
%,
01
/01/2040
(d)
5,000‌
5,998‌
Metropolitan
Pier
&
Exposition
Authority
4.00
%,
06
/15/2050
(f)
500‌
565‌
5.00
%,
06
/15/2050
(f)
1,000‌
1,225‌
5.00
%,
06
/15/2057
500‌
589‌
Metropolitan
Pier
&
Exposition
Authority
(
credit
support
from
National
Public
Finance
Guarantee
Corp
)
5.50
%,
06
/15/2029
(b)
1,000‌
1,241‌
State
of
Illinois
5.50
%,
07
/01/2027
1,150‌
1,307‌
$
21,119‌
Indiana
-
1.21%
Indiana
Finance
Authority
1.17
%,
11
/01/2037
(c)
500‌
500‌
7.00
%,
03
/01/2039
(a)
1,000‌
1,033‌
Town
of
Shoals
IN
7.25
%,
11
/01/2043
300‌
335‌
$
1,868‌
Louisiana
-
3.45%
Louisiana
Local
Government
Environmental
Facilities
&
Community
Development
Authority
4.00
%,
11
/01/2044
(a)
1,000‌
1,045‌
4.40
%,
11
/01/2044
(a)
1,000‌
1,078‌
5.50
%,
11
/01/2039
(a)
900‌
990‌
5.65
%,
11
/01/2037
(a)
1,000‌
1,151‌
Louisiana
Public
Facilities
Authority
0.00
%,
07
/01/2039
(e)
278‌
—‌
Parish
of
St
John
the
Baptist
LA
2.20
%,
06
/01/2037
(c)
1,000‌
1,051‌
$
5,315‌
Schedule
of
Investments
Opportunistic
Municipal
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
120
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Maine
-
0.74%
Finance
Authority
of
Maine
5.25
%,
01
/01/2025
(a)
$
1,000‌
$
1,140‌
Maryland
-
0.69%
City
of
Westminster
MD
6.25
%,
07
/01/2044
600‌
674‌
Maryland
Economic
Development
Corp
5.38
%,
06
/01/2025
390‌
395‌
$
1,069‌
Michigan
-
3.02%
Kalamazoo
Economic
Development
Corp
5.00
%,
05
/15/2042
1,000‌
1,145‌
Michigan
Finance
Authority
5.00
%,
07
/01/2035
1,000‌
1,179‌
Michigan
Strategic
Fund
5.00
%,
11
/15/2043
1,000‌
1,161‌
5.00
%,
11
/15/2049
1,000‌
1,179‌
$
4,664‌
Missouri
-
1.84%
City
of
St
Louis
MO
Airport
Revenue
(
credit
support
from
National
Public
Finance
Guarantee
Corp
)
5.50
%,
07
/01/2028
(b)
400‌
541‌
Health
&
Educational
Facilities
Authority
of
the
State
of
Missouri
5.00
%,
02
/01/2042
1,000‌
1,140‌
Kansas
City
Industrial
Development
Authority
5.00
%,
04
/01/2046
(a)
1,100‌
1,165‌
$
2,846‌
Montana
-
1.00%
City
of
Kalispell
MT
5.25
%,
05
/15/2037
1,400‌
1,546‌
Nevada
-
1.84%
Las
Vegas
Convention
&
Visitors
Authority
5.00
%,
07
/01/2043
(d)
1,394‌
1,730‌
State
of
Nevada
Department
of
Business
&
Industry
5.13
%,
12
/15/2037
(a)
1,000‌
1,104‌
$
2,834‌
New
Hampshire
-
1.74%
New
Hampshire
Business
Finance
Authority
2.95
%,
04
/01/2029
(a),(c)
1,000‌
1,029‌
New
Hampshire
Health
and
Education
Facilities
Authority
Act
5.00
%,
08
/01/2059
1,000‌
1,655‌
$
2,684‌
New
Jersey
-
6.77%
Casino
Reinvestment
Development
Authority
Inc
5.25
%,
11
/01/2039
250‌
282‌
Essex
County
Improvement
Authority
5.25
%,
07
/01/2045
(a)
1,300‌
1,317‌
New
Jersey
Economic
Development
Authority
5.00
%,
07
/15/2028
500‌
605‌
5.00
%,
06
/15/2047
500‌
597‌
5.25
%,
06
/15/2040
55‌
67‌
5.25
%,
06
/15/2040
945‌
1,100‌
5.63
%,
11
/15/2030
1,500‌
1,739‌
5.75
%,
09
/15/2027
500‌
551‌
New
Jersey
Transportation
Trust
Fund
Authority
5.25
%,
06
/15/2032
2,000‌
2,338‌
South
Jersey
Port
Corp
5.00
%,
01
/01/2048
1,000‌
1,184‌
South
Jersey
Transportation
Authority
(
credit
support
from
Assured
Guaranty
Municipal
Corp
)
5.00
%,
11
/01/2029
(b)
500‌
660‌
$
10,440‌
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
New
York
-
7.34%
Glen
Cove
Local
Economic
Assistance
Corp
5.00
%,
01
/01/2056
$
1,000‌
$
1,118‌
New
York
City
Transitional
Finance
Authority
Future
Tax
Secured
Revenue
1.17
%,
08
/01/2039
(c)
1,000‌
1,000‌
1.17
%,
11
/01/2044
(c)
1,500‌
1,500‌
New
York
Counties
Tobacco
Trust
VI
5.00
%,
06
/01/2041
400‌
446‌
New
York
State
Environmental
Facilities
Corp
2.88
%,
12
/01/2044
(a),(c)
3,125‌
3,242‌
New
York
State
Thruway
Authority
5.25
%,
01
/01/2056
1,000‌
1,201‌
New
York
Transportation
Development
Corp
5.00
%,
08
/01/2021
1,500‌
1,575‌
5.00
%,
01
/01/2034
1,000‌
1,237‌
$
11,319‌
North
Carolina
-
0.88%
City
of
Charlotte
NC
5.00
%,
06
/01/2029
1,000‌
1,360‌
Ohio
-
9.53%
Buckeye
Tobacco
Settlement
Financing
Authority
5.00
%,
06
/01/2055
(f)
5,000‌
5,645‌
5.75
%,
06
/01/2034
1,500‌
1,502‌
6.00
%,
06
/01/2042
2,500‌
2,503‌
Cleveland
Department
of
Public
Utilities
Division
of
Public
Power
(
credit
support
from
Assured
Guaranty
Municipal
Corp
)
4.00
%,
11
/15/2037
(b)
500‌
601‌
Cleveland-Cuyahoga
County
Port
Authority
5.50
%,
12
/01/2043
1,000‌
1,201‌
Ohio
Air
Quality
Development
Authority
0.00
%,
12
/01/2023
(e)
1,000‌
950‌
4.50
%,
01
/15/2048
(a)
1,000‌
1,140‌
5.00
%,
07
/01/2049
(a)
1,000‌
1,157‌
$
14,699‌
Oklahoma
-
1.55%
Oklahoma
Development
Finance
Authority
5.25
%,
08
/15/2043
1,000‌
1,234‌
Tulsa
County
Industrial
Authority
5.25
%,
11
/15/2045
1,000‌
1,150‌
$
2,384‌
Oregon
-
0.53%
Oregon
State
Business
Development
Commission
6.50
%,
04
/01/2031
(a)
1,000‌
818‌
Pennsylvania
-
5.57%
Allegheny
County
Industrial
Development
Authority
4.88
%,
11
/01/2024
500‌
554‌
5.13
%,
05
/01/2030
1,000‌
1,203‌
Commonwealth
Financing
Authority
5.00
%,
06
/01/2028
1,000‌
1,282‌
5.00
%,
06
/01/2035
1,000‌
1,253‌
Lancaster
County
Hospital
Authority/PA
5.00
%,
07
/01/2045
1,000‌
1,100‌
Pennsylvania
Economic
Development
Financing
Authority
3.25
%,
08
/01/2039
(a)
1,000‌
1,020‌
5.50
%,
11
/01/2044
1,000‌
1,081‌
5.75
%,
06
/01/2036
(a)
1,000‌
1,091‌
$
8,584‌
South
Carolina
-
0.36%
South
Carolina
Jobs-Economic
Development
Authority
5.25
%,
11
/15/2047
500‌
559‌
South
Dakota
-
0.32%
Oglala
Sioux
Tribe
5.75
%,
10
/01/2025
(a)
500‌
500‌
Schedule
of
Investments
Opportunistic
Municipal
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
121
MUNICIPAL
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Tennessee
-
2.51%
Chattanooga
Health
Educational
&
Housing
Facility
Board
5.00
%,
10
/01/2028
$
1,050‌
$
1,232‌
5.00
%,
10
/01/2035
500‌
578‌
Metropolitan
Government
Nashville
&
Davidson
County
Health
&
Educational
Facilities
Board
5.00
%,
07
/01/2040
1,000‌
1,199‌
Nashville
Metropolitan
Development
&
Housing
Agency
5.13
%,
06
/01/2036
(a)
750‌
866‌
$
3,875‌
Texas
-
5.90%
Central
Texas
Turnpike
System
3.00
%,
08
/15/2040
(f)
1,000‌
1,090‌
Grand
Parkway
Transportation
Corp
3.00
%,
10
/01/2050
1,500‌
1,606‌
North
Texas
Tollway
Authority
5.00
%,
01
/01/2045
615‌
714‌
5.00
%,
01
/01/2048
500‌
602‌
Port
Beaumont
Navigation
District
4.00
%,
01
/01/2050
(a)
3,500‌
3,642‌
Texas
Municipal
Gas
Acquisition
&
Supply
Corp
I
6.25
%,
12
/15/2026
915‌
1,089‌
Texas
Private
Activity
Bond
Surface
Transportation
Corp
7.00
%,
12
/31/2038
300‌
355‌
$
9,098‌
Utah
-
0.98%
Utah
Infrastructure
Agency
5.25
%,
10
/15/2033
1,250‌
1,505‌
Vermont
-
0.98%
Vermont
Economic
Development
Authority
4.63
%,
04
/01/2036
(a),(c)
1,300‌
1,506‌
Virginia
-
0.70%
Virginia
Small
Business
Financing
Authority
3.00
%,
11
/01/2040
1,000‌
1,079‌
Washington
-
0.36%
Port
of
Seattle
Industrial
Development
Corp
5.00
%,
04
/01/2030
500‌
550‌
Wisconsin
-
3.70%
Public
Finance
Authority
5.00
%,
12
/01/2025
1,200‌
1,393‌
5.00
%,
09
/01/2049
(a)
1,000‌
1,123‌
5.25
%,
04
/01/2030
600‌
668‌
Wisconsin
Health
&
Educational
Facilities
Authority
5.00
%,
03
/15/2050
1,175‌
1,467‌
5.50
%,
07
/01/2023
80‌
80‌
6.00
%,
07
/01/2028
170‌
170‌
6.50
%,
07
/01/2033
300‌
300‌
7.00
%,
07
/01/2043
500‌
500‌
$
5,701‌
TOTAL
MUNICIPAL
BONDS
$
164,500‌
Total
Investments
$
164,916‌
Liability
for
Floating
Rate
Notes
Issued
in
Conjunction
with
Securities
Held
-
(
3.52)%
Notes
with
interest
rates
of
1.23%
-
1.25%
at
February
29,
2020
and
contractual
maturity
of
collateral
from
2024-
2026.
(
g)
$
(5,428‌)
(5,428‌)
Total
Net
Investments
$
159,488‌
Other
Assets
and
Liabilities
-  (
3.41)%
(5,256‌)
TOTAL
NET
ASSETS
-
100.00%
$
154,232‌
(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
$44,261
or
28.70%
of
net
assets.
(b)
Credit
support
indicates
investments
that
benefit
from
credit
enhancement
or
liquidity
support
provided
by
a
third
party
bank,
institution,
or
government
agency.
(c)
Certain
variable
rate
securities
are
not
based
on
a
published
reference
rate
and
spread
but
are
determined
by
the
issuer
or
agent
and
are
based
on
current
market
conditions.  These
securities
do
not
indicate
a
reference
rate
and
spread
in
their
description.
Rate
shown
is
the
rate
in
effect
as
of
period
end.
(d)
Security
or
portion
of
underlying
security
related
to
Inverse
Floaters
entered
into
by
the
Fund.  See
Notes
to
Financial
Statements
for
additional
information.
(e)
Non-income
producing
security
(f)
Security
purchased
on
a
when-issued
basis.
(g)
Floating
rate
securities.
The
interest
rate(s)
shown
reflect
the
rates
in
effect
at
February
29,
2020.
Portfolio
Summary  (
unaudited)
Sector
Percent
Revenue
Bonds
91.41‌%
General
Obligation
Unlimited
7.06‌%
General
Obligation
Limited
2.47‌%
Insured
2.30‌%
Tax
Allocation
1.26‌%
Prerefunded
1.00‌%
Certificate
Participation
0.84‌%
Special
Tax
0.32‌%
Investment
Companies
0.27‌%
Liability
For
Floating
Rate
Notes
Issued
(
3.52‌)%
Other
Assets
and
Liabilities
(
3.41‌)%
TOTAL
NET
ASSETS
100.00%
Schedule
of
Investments
Origin
Emerging
Markets
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
122
INVESTMENT
COMPANIES
-
1.90%
Shares
Held
Value
(000's)
Money
Market
Funds
-
1.90%
Principal
Government
Money
Market
Fund
1.43
%
(a),(b)
24,428,635‌
$
24,429‌
TOTAL
INVESTMENT
COMPANIES
$
24,429‌
COMMON
STOCKS
-
97.44%
Shares
Held
Value
(000's)
Aerospace
&
Defense
-
0.56%
Bharat
Electronics
Ltd
6,952,400‌
7,172‌
Apparel
-
0.92%
F&F
Co
Ltd
66,100‌
5,159‌
Feng
TAY
Enterprise
Co
Ltd
1,216,700‌
6,698‌
$
11,857‌
Automobile
Parts
&
Equipment
-
1.46%
Hyundai
Mobis
Co
Ltd
58,100‌
10,155‌
Weichai
Power
Co
Ltd
4,277,400‌
8,582‌
$
18,737‌
Banks
-
6.23%
Banco
do
Brasil
SA
1,055,300‌
10,935‌
China
Merchants
Bank
Co
Ltd
6,360,700‌
30,601‌
OTP
Bank
Nyrt
171,100‌
7,510‌
Sberbank
of
Russia
PJSC
ADR
1,728,800‌
24,668‌
Thanachart
Capital
PCL
3,770,200‌
6,375‌
$
80,089‌
Building
Materials
-
4.62%
Anhui
Conch
Cement
Co
Ltd
4,671,100‌
34,983‌
China
National
Building
Material
Co
Ltd
5,409,700‌
6,429‌
China
Resources
Cement
Holdings
Ltd
8,483,200‌
10,899‌
Taiwan
Cement
Corp
5,091,641‌
7,032‌
$
59,343‌
Chemicals
-
0.54%
Soulbrain
Co
Ltd
93,900‌
6,878‌
Commercial
Services
-
4.12%
China
Yuhua
Education
Corp
Ltd
(
c)
10,535,869‌
8,276‌
Localiza
Rent
a
Car
SA
1,265,686‌
13,801‌
New
Oriental
Education
&
Technology
Group
Inc
ADR
(d)
120,300‌
15,385‌
YDUQS
Part
1,381,700‌
15,526‌
$
52,988‌
Computers
-
2.07%
Infosys
Ltd
ADR
1,085,618‌
10,932‌
Wiwynn
Corp
401,100‌
9,367‌
WNS
Holdings
Ltd
ADR
(d)
95,800‌
6,308‌
$
26,607‌
Diversified
Financial
Services
-
3.77%
B3
SA
-
Brasil
Bolsa
Balcao
1,328,600‌
13,993‌
Chailease
Holding
Co
Ltd
3,315,678‌
12,339‌
E.Sun
Financial
Holding
Co
Ltd
8,549,251‌
8,151‌
Manappuram
Finance
Ltd
2,734,900‌
6,251‌
Muthoot
Finance
Ltd
630,400‌
7,768‌
$
48,502‌
Electric
-
0.50%
Mahanagar
Gas
Ltd
454,400‌
6,369‌
Electronics
-
3.44%
Elite
Material
Co
Ltd
1,577,600‌
6,166‌
Micro-Star
International
Co
Ltd
4,736,500‌
13,864‌
Radiant
Opto-Electronics
Corp
1,922,700‌
6,091‌
Simplo
Technology
Co
Ltd
598,400‌
5,486‌
Tripod
Technology
Corp
1,573,300‌
5,647‌
Zhen
Ding
Technology
Holding
Ltd
1,847,000‌
6,948‌
$
44,202‌
Engineering
&
Construction
-
0.92%
Grupo
Aeroportuario
del
Centro
Norte
SAB
de
CV
939,300‌
6,149‌
Grupo
Aeroportuario
del
Pacifico
SAB
de
CV
526,900‌
5,702‌
$
11,851‌
Environmental
Control
-
0.78%
China
Conch
Venture
Holdings
Ltd
2,049,100‌
10,025‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Food
-
1.61%
Dino
Polska
SA
(
c),(d)
221,300‌
$
8,039‌
JBS
SA
1,509,900‌
7,563‌
X5
Retail
Group
NV
163,200‌
5,112‌
$
20,714‌
Gas
-
5.27%
China
Gas
Holdings
Ltd
2,970,600‌
11,038‌
China
Resources
Gas
Group
Ltd
4,804,200‌
24,213‌
ENN
Energy
Holdings
Ltd
2,259,400‌
25,487‌
Indraprastha
Gas
Ltd
1,130,600‌
6,963‌
$
67,701‌
Healthcare
-
Products
-
1.04%
China
Medical
System
Holdings
Ltd
5,087,900‌
6,434‌
Shandong
Weigao
Group
Medical
Polymer
Co
Ltd
5,316,200‌
6,937‌
$
13,371‌
Insurance
-
6.87%
China
Pacific
Insurance
Group
Co
Ltd
4,242,000‌
14,230‌
PICC
Property
&
Casualty
Co
Ltd
10,186,500‌
10,772‌
Ping
An
Insurance
Group
Co
of
China
Ltd
5,031,400‌
57,320‌
Porto
Seguro
SA
448,300‌
5,996‌
$
88,318‌
Internet
-
13.93%
Alibaba
Group
Holding
Ltd
ADR
(d)
440,300‌
91,582‌
JD.com
Inc
ADR
(d)
638,900‌
24,604‌
Momo
Inc
ADR
360,700‌
10,143‌
Tencent
Holdings
Ltd
687,205‌
34,845‌
Vipshop
Holdings
Ltd
ADR
(d)
1,388,800‌
17,818‌
$
178,992‌
Iron
&
Steel
-
0.42%
Kumba
Iron
Ore
Ltd
289,800‌
5,340‌
Lodging
-
0.43%
NagaCorp
Ltd
3,990,300‌
5,545‌
Mining
-
2.96%
MMC
Norilsk
Nickel
PJSC
ADR
1,040,746‌
31,555‌
Polymetal
International
PLC
421,300‌
6,476‌
$
38,031‌
Miscellaneous
Manufacturers
-
1.04%
Sunny
Optical
Technology
Group
Co
Ltd
823,400‌
13,378‌
Oil
&
Gas
-
3.53%
LUKOIL
PJSC
ADR
341,700‌
29,474‌
Novatek
PJSC
60,200‌
8,784‌
Tatneft
PJSC
ADR
119,000‌
7,156‌
$
45,414‌
Pharmaceuticals
-
2.00%
Sino
Biopharmaceutical
Ltd
12,553,000‌
18,605‌
YiChang
HEC
ChangJiang
Pharmaceutical
Co
Ltd
(
c)
1,143,400‌
7,080‌
$
25,685‌
Real
Estate
-
2.69%
China
Vanke
Co
Ltd
3,602,600‌
14,108‌
Country
Garden
Services
Holdings
Co
Ltd
1,796,500‌
7,169‌
Longfor
Group
Holdings
Ltd
(
c)
2,795,200‌
13,221‌
$
34,498‌
Retail
-
4.26%
ANTA
Sports
Products
Ltd
3,852,200‌
31,436‌
Lojas
Renner
SA
509,130‌
5,950‌
Wal-Mart
de
Mexico
SAB
de
CV
3,907,800‌
11,001‌
Zhongsheng
Group
Holdings
Ltd
1,651,200‌
6,358‌
$
54,745‌
Semiconductors
-
14.38%
Novatek
Microelectronics
Corp
2,526,000‌
15,897‌
Realtek
Semiconductor
Corp
(
d)
1,272,200‌
9,206‌
Samsung
Electronics
Co
Ltd
50,477‌
56,924‌
Samsung
Electronics
Co
Ltd
436,000‌
19,625‌
Taiwan
Semiconductor
Manufacturing
Co
Ltd
1,359,407‌
14,015‌
Schedule
of
Investments
Origin
Emerging
Markets
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
123
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Semiconductors
(continued)
Taiwan
Semiconductor
Manufacturing
Co
Ltd
ADR
1,283,917‌
$
69,126‌
$
184,793‌
Software
-
6.25%
G-bits
Network
Technology
Xiamen
Co
Ltd
117,987‌
7,137‌
HCL
Technologies
Ltd
3,769,700‌
28,037‌
NetEase
Inc
ADR
141,500‌
45,097‌
$
80,271‌
Telecommunications
-
0.83%
Accton
Technology
Corp
2,028,000‌
10,699‌
TOTAL
COMMON
STOCKS
$
1,252,115‌
PREFERRED
STOCKS
-
0.81%
Shares
Held
Value
(000's)
Airlines
-
0.40%
Azul
SA
0.00
%
(
d)
528,000‌
$
5,175‌
Banks
-
0.41%
Banco
Bradesco
SA
0.02%
763,100‌
5,208‌
TOTAL
PREFERRED
STOCKS
$
10,383‌
Total
Investments
$
1,286,927‌
Other
Assets
and
Liabilities
-  (
0.15)%
(1,926‌)
TOTAL
NET
ASSETS
-
100.00%
$
1,285,001‌
(a)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(b)
Current
yield
shown
is
as
of
period
end.
(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
$36,616
or
2.85%
of
net
assets.
(d)
Non-income
producing
security
Portfolio
Summary  (
unaudited)
Location
Percent
China
43.54‌%
Taiwan
16.08‌%
Russian
Federation
8.31‌%
Korea,
Republic
Of
7.69‌%
Brazil
6.54‌%
India
6.21‌%
Hong
Kong
5.05‌%
United
States
1.90‌%
Mexico
1.78‌%
Poland
0.62‌%
Hungary
0.58‌%
Cyprus
0.50‌%
Thailand
0.50‌%
Cambodia
0.43‌%
South
Africa
0.42‌%
Other
Assets
and
Liabilities
(
0.15‌)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
February
29,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
1.43%
$
40,635‌
$
363,111‌
$
379,317‌
$
24,429‌
$
40,635‌
$
363,111‌
$
379,317‌
$
24,429‌
Income
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/Loss
Principal
Government
Money
Market
Fund
1.43%
$
185‌
$
—‌
$
—‌
$
—‌
$
185‌
$
—‌
$
—‌
$
—‌
Amounts
in
thousands.
Schedule
of
Investments
Small-MidCap
Dividend
Income
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
124
INVESTMENT
COMPANIES
-
2.41%
Shares
Held
Value
(000's)
Money
Market
Funds
-
2.41%
BlackRock
Liquidity
FedFund
1.48
%
(a),(b)
14,377,095‌
$
14,377‌
Principal
Government
Money
Market
Fund
1.43
%
(a),(b),(c)
33,610,196‌
33,610‌
$
47,987‌
TOTAL
INVESTMENT
COMPANIES
$
47,987‌
COMMON
STOCKS
-
99.06%
Shares
Held
Value
(000's)
Advertising
-
0.50%
Interpublic
Group
of
Cos
Inc/The
468,985‌
10,017‌
Agriculture
-
1.09%
Phibro
Animal
Health
Corp
858,335‌
21,673‌
Airlines
-
2.49%
Alaska
Air
Group
Inc
657,510‌
33,178‌
Hawaiian
Holdings
Inc
787,708‌
16,447‌
$
49,625‌
Automobile
Manufacturers
-
2.14%
NFI
Group
Inc
1,937,743‌
42,501‌
Automobile
Parts
&
Equipment
-
3.83%
Autoliv
Inc
641,099‌
42,781‌
Linamar
Corp
1,215,493‌
33,433‌
$
76,214‌
Banks
-
12.77%
Bank
OZK
1,839,460‌
46,704‌
BOK
Financial
Corp
112,028‌
8,111‌
Cathay
General
Bancorp
1,103,638‌
33,970‌
Cullen/Frost
Bankers
Inc
353,078‌
27,678‌
East
West
Bancorp
Inc
1,130,911‌
43,811‌
PacWest
Bancorp
1,563,596‌
49,472‌
Preferred
Bank/Los
Angeles
CA
217,687‌
11,130‌
ServisFirst
Bancshares
Inc
353,508‌
12,214‌
Washington
Trust
Bancorp
Inc
486,335‌
20,874‌
$
253,964‌
Chemicals
-
1.91%
HB
Fuller
Co
436,670‌
17,131‌
RPM
International
Inc
325,256‌
20,852‌
$
37,983‌
Computers
-
3.17%
Amdocs
Ltd
358,051‌
22,826‌
Leidos
Holdings
Inc
391,925‌
40,231‌
$
63,057‌
Consumer
Products
-
1.44%
Avery
Dennison
Corp
250,661‌
28,698‌
Cosmetics
&
Personal
Care
-
0.26%
Inter
Parfums
Inc
85,375‌
5,128‌
Diversified
Financial
Services
-
2.40%
BGC
Partners
Inc
7,671,225‌
35,748‌
Federal
Agricultural
Mortgage
Corp
158,776‌
11,918‌
$
47,666‌
Electric
-
3.96%
ALLETE
Inc
442,906‌
30,556‌
Alliant
Energy
Corp
221,667‌
11,553‌
IDACORP
Inc
75,642‌
7,310‌
PNM
Resources
Inc
210,567‌
9,913‌
Portland
General
Electric
Co
203,668‌
11,082‌
Unitil
Corp
147,613‌
8,317‌
$
78,731‌
Electrical
Components
&
Equipment
-
3.47%
Energizer
Holdings
Inc
614,026‌
26,397‌
Littelfuse
Inc
266,745‌
42,594‌
$
68,991‌
Electronics
-
2.24%
Hubbell
Inc
121,622‌
16,205‌
nVent
Electric
PLC
1,183,436‌
28,414‌
$
44,619‌
Food
-
1.80%
Ingredion
Inc
429,063‌
35,741‌
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Gas
-
1.10%
ONE
Gas
Inc
85,123‌
$
6,992‌
Spire
Inc
199,743‌
14,991‌
$
21,983‌
Hand
&
Machine
Tools
-
4.13%
Lincoln
Electric
Holdings
Inc
289,574‌
23,713‌
MSA
Safety
Inc
254,896‌
31,013‌
Snap-on
Inc
189,987‌
27,501‌
$
82,227‌
Healthcare
-
Products
-
4.75%
Cantel
Medical
Corp
180,546‌
11,392‌
CONMED
Corp
303,267‌
28,701‌
LeMaitre
Vascular
Inc
(
d)
193,691‌
5,520‌
STERIS
PLC
214,096‌
33,960‌
Teleflex
Inc
44,394‌
14,873‌
$
94,446‌
Home
Builders
-
1.58%
LCI
Industries
324,802‌
31,360‌
Insurance
-
6.49%
Assured
Guaranty
Ltd
899,339‌
36,702‌
Beazley
PLC
2,616,182‌
18,136‌
Fidelity
National
Financial
Inc
997,325‌
38,656‌
James
River
Group
Holdings
Ltd
878,987‌
35,520‌
$
129,014‌
Leisure
Products
&
Services
-
2.72%
Acushnet
Holdings
Corp
1,324,150‌
33,700‌
Brunswick
Corp/DE
382,544‌
20,351‌
$
54,051‌
Machinery
-
Diversified
-
3.19%
Albany
International
Corp
312,945‌
20,051‌
Crane
Co
420,515‌
28,574‌
Nordson
Corp
102,122‌
14,838‌
$
63,463‌
Media
-
0.98%
John
Wiley
&
Sons
Inc
523,499‌
19,469‌
Miscellaneous
Manufacturers
-
2.66%
Donaldson
Co
Inc
157,714‌
7,110‌
EnPro
Industries
Inc
182,650‌
9,854‌
Huntsman
Corp
1,902,859‌
36,040‌
$
53,004‌
Oil
&
Gas
-
3.06%
Cimarex
Energy
Co
464,429‌
15,349‌
Delek
US
Holdings
Inc
1,183,611‌
25,306‌
Vermilion
Energy
Inc
(
d)
2,021,720‌
20,274‌
$
60,929‌
Packaging
&
Containers
-
1.19%
Packaging
Corp
of
America
261,726‌
23,717‌
Pipelines
-
1.39%
Targa
Resources
Corp
852,420‌
27,618‌
Real
Estate
-
1.49%
Newmark
Group
Inc
3,096,240‌
29,569‌
REITs
-
13.33%
Agree
Realty
Corp
252,857‌
18,160‌
CyrusOne
Inc
879,413‌
53,275‌
EastGroup
Properties
Inc
154,620‌
19,440‌
EPR
Properties
589,168‌
34,902‌
Four
Corners
Property
Trust
Inc
613,267‌
17,595‌
Granite
Real
Estate
Investment
Trust
337,404‌
17,181‌
Medical
Properties
Trust
Inc
1,458,888‌
30,826‌
National
Health
Investors
Inc
250,084‌
20,439‌
National
Retail
Properties
Inc
403,313‌
20,509‌
STORE
Capital
Corp
1,002,233‌
32,934‌
$
265,261‌
Semiconductors
-
4.90%
Kulicke
&
Soffa
Industries
Inc
1,516,979‌
34,632‌
MKS
Instruments
Inc
563,427‌
56,450‌
Monolithic
Power
Systems
Inc
40,095‌
6,361‌
$
97,443‌
Schedule
of
Investments
Small-MidCap
Dividend
Income
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
125
COMMON
STOCKS
(continued)
Shares
Held
Value
(000’s)
Software
-
0.18%
Broadridge
Financial
Solutions
Inc
33,688‌
$
3,516‌
Supranational
Bank
-
1.12%
Banco
Latinoamericano
de
Comercio
Exterior
SA
1,248,442‌
22,322‌
Toys,
Games
&
Hobbies
-
1.33%
Hasbro
Inc
343,144‌
26,508‌
TOTAL
COMMON
STOCKS
$
1,970,508‌
Total
Investments
$
2,018,495‌
Other
Assets
and
Liabilities
-  (
1.47)%
(29,148‌)
TOTAL
NET
ASSETS
-
100.00%
$
1,989,347‌
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$27,567
or
1.39%
of
net
assets.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
Portfolio
Summary  (
unaudited)
Sector
Percent
Financial
36.48‌%
Industrial
16.88‌%
Consumer,
Cyclical
14.09‌%
Consumer,
Non-cyclical
9.34‌%
Technology
8.25‌%
Utilities
5.06‌%
Energy
4.45‌%
Money
Market
Funds
2.41‌%
Basic
Materials
1.91‌%
Communications
1.48‌%
Government
1.12‌%
Other
Assets
and
Liabilities
(
1.47‌)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
February
29,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
1.43%
$
43,288‌
$
372,950‌
$
382,628‌
$
33,610‌
$
43,288‌
$
372,950‌
$
382,628‌
$
33,610‌
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/Loss
Principal
Government
Money
Market
Fund
1.43%
$
251‌
$
—‌
$
—‌
$
—‌
$
251‌
$
—‌
$
—‌
$
—‌
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
126
INVESTMENT
COMPANIES
-
2.19%
Shares
Held
Value
(000's)
Money
Market
Funds
-
2.19%
BlackRock
Liquidity
FedFund
1.48
%
(a),(b)
12,860,015‌
$
12,860‌
Principal
Government
Money
Market
Fund
1.43
%
(a),(b),(c)
128,472,391‌
128,472‌
$
141,332‌
TOTAL
INVESTMENT
COMPANIES
$
141,332‌
CONVERTIBLE
PREFERRED
STOCKS
-
0.63%
Shares
Held
Value
(000's)
Banks
-
0.63%
Wells
Fargo
&
Co
7.50
%
(
d)
27,052‌
$
40,713‌
TOTAL
CONVERTIBLE
PREFERRED
STOCKS
$
40,713‌
PREFERRED
STOCKS
-
16.47%
Shares
Held
Value
(000's)
Banks
-
4.37%
AgriBank
FCB
6.88%,
01/01/2024
(d)
61,700‌
6,664‌
3
Month
USD
LIBOR
+
4.23%
Associated
Banc-Corp
5.88%,
12/15/2023
(d
),(
e)
2,429‌
61‌
Bank
of
New
York
Mellon
Corp/The
5.20%,
06/20/2020
(d)
127,083‌
3,171‌
Citigroup
Inc
6.88%,
11/15/2023
(d
),(
e)
493,542‌
13,252‌
3
Month
USD
LIBOR
+
4.13%
Citizens
Financial
Group
Inc
6.35%,
04/06/2024
(d)
17,021‌
458‌
3
Month
USD
LIBOR
+
3.64%
Cullen/Frost
Bankers
Inc
5.38%,
03/16/2020
(d)
239,700‌
5,985‌
Goldman
Sachs
Group
Inc/The
5.50%,
05/10/2023
(d
),(
e)
774,944‌
19,823‌
3
Month
USD
LIBOR
+
3.64%
Huntington
Bancshares
Inc/OH
5.88%,
10/15/2021
(d)
325,787‌
8,324‌
Huntington
Bancshares
Inc/OH
6.25%,
04/15/2021
(d
),(
e)
1,050,000‌
27,027‌
JPMorgan
Chase
&
Co
4.75%,
12/01/2024
(d
),(
e)
280,000‌
7,048‌
KeyCorp
6.13%,
12/15/2026
(d
),(
e)
778,000‌
20,780‌
3
Month
USD
LIBOR
+
3.89%
Morgan
Stanley
4.88%,
01/15/2025
(d)
7,302‌
182‌
Morgan
Stanley
5.85%,
04/15/2027
(d
),(
e)
660,872‌
17,553‌
3
Month
USD
LIBOR
+
3.49%
Morgan
Stanley
7.13%,
10/15/2023
(d
),(
e)
126,282‌
3,505‌
3
Month
USD
LIBOR
+
4.32%
PNC
Financial
Services
Group
Inc/The
6.13%,
05/01/2022
(d
),(
e)
1,726,752‌
45,914‌
3
Month
USD
LIBOR
+
4.07%
Regions
Financial
Corp
5.70%,
05/15/2029
(d
),(
e)
331,650‌
9,094‌
3
Month
USD
LIBOR
+
3.15%
State
Street
Corp
5.25%,
03/16/2020
(d)
1,379,698‌
34,465‌
State
Street
Corp
5.90%,
03/15/2024
(d)
241,300‌
6,276‌
3
Month
USD
LIBOR
+
3.11%
Synovus
Financial
Corp
5.88%,
07/01/2024
(d)
344,000‌
8,934‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.13%
Truist
Financial
Corp
5.63%,
06/01/2021
(d)
141,800‌
3,592‌
US
Bancorp
6.50%,
01/15/2022
(d)
239,945‌
6,370‌
3
Month
USD
LIBOR
+
4.47%
Valley
National
Bancorp
6.25%,
06/30/2025
(d)
174,760‌
4,540‌
3
Month
USD
LIBOR
+
3.85%
Webster
Financial
Corp
5.25%,
12/15/2022
(d)
194,856‌
4,883‌
Wells
Fargo
&
Co
4.75%,
03/15/2025
(d)
380,978‌
9,330‌
Wells
Fargo
&
Co
5.63%,
06/15/2022
(d)
195,171‌
4,967‌
Wells
Fargo
&
Co
5.85%,
09/15/2023
(d)
125,027‌
3,212‌
3
Month
USD
LIBOR
+
3.09%
Wells
Fargo
&
Co
6.63%,
03/15/2024
(d
),(
e)
236,676‌
6,492‌
3
Month
USD
LIBOR
+
3.69%
$
281,902‌
Diversified
Financial
Services
-
0.47%
Affiliated
Managers
Group
Inc
5.88%,
03/30/2059
149,111‌
3,856‌
Capital
One
Financial
Corp
0.00%,
06/01/2025
(d
),(
f)
165,000‌
4,008‌
Capital
One
Financial
Corp
5.00%,
12/01/2024
(d
),(
e)
359,800‌
8,872‌
PREFERRED
STOCKS
(continued)
Shares
Held
Value
(000’s)
Diversified
Financial
Services
(continued)
Capital
One
Financial
Corp
6.00%,
03/02/2020
(d)
401,389‌
$
10,039‌
Charles
Schwab
Corp/The
6.00%,
12/01/2020
(d
),(
e)
142,663‌
3,638‌
$
30,413‌
Electric
-
2.81%
Alabama
Power
Co
5.00%,
10/01/2022
(d
),(
e)
572,000‌
14,546‌
Algonquin
Power
&
Utilities
Corp
6.20%,
07/01/2079
(e)
490,152‌
13,087‌
3
Month
USD
LIBOR
+
4.01%
Algonquin
Power
&
Utilities
Corp
6.88%,
10/17/2078
(e)
1,930‌
51‌
3
Month
USD
LIBOR
+
3.68%
CMS
Energy
Corp
5.88%,
03/01/2079
248,000‌
6,485‌
Dominion
Energy
Inc
5.25%,
07/30/2076
890,572‌
22,264‌
DTE
Energy
Co
5.25%,
12/01/2062
312,400‌
7,732‌
DTE
Energy
Co
5.25%,
12/01/2077
320,602‌
8,047‌
DTE
Energy
Co
5.38%,
06/01/2076
13,111‌
328‌
Duke
Energy
Corp
5.13%,
01/15/2073
(e)
348,923‌
8,751‌
Duke
Energy
Corp
5.75%,
06/15/2024
(d)
120,000‌
3,221‌
Entergy
Arkansas
LLC
4.90%,
12/01/2052
(e)
221,195‌
5,607‌
Entergy
Louisiana
LLC
4.70%,
06/01/2063
(e)
162,785‌
4,097‌
Entergy
Louisiana
LLC
4.88%,
09/01/2066
(e)
24,691‌
616‌
Entergy
Louisiana
LLC
5.25%,
07/01/2052
215,809‌
5,378‌
Entergy
Texas
Inc
5.38%,
10/15/2024
(d)
30,000‌
795‌
Entergy
Texas
Inc
5.63%,
06/01/2064
2,414‌
61‌
Georgia
Power
Co
5.00%,
10/01/2077
265,538‌
6,636‌
Integrys
Holding
Inc
6.00%,
08/01/2073
81,343‌
2,217‌
3
Month
USD
LIBOR
+
3.22%
Interstate
Power
&
Light
Co
5.10%,
04/01/2020
(d
),(
e)
493,973‌
12,399‌
National
Rural
Utilities
Cooperative
Finance
Corp
5.50%,
05/15/2064
(e)
227,600‌
5,965‌
NextEra
Energy
Capital
Holdings
Inc
5.00%,
01/15/2073
477,663‌
11,846‌
NextEra
Energy
Capital
Holdings
Inc
5.13%,
11/15/2072
(e)
659,974‌
16,268‌
NextEra
Energy
Capital
Holdings
Inc
5.65%,
03/01/2079
100,000‌
2,618‌
Southern
Co/The
0.00%,
01/30/2080
(f)
240,000‌
5,926‌
Southern
Co/The
5.25%,
12/01/2077
555,000‌
13,942‌
Southern
Co/The
5.25%,
10/01/2076
100,961‌
2,529‌
$
181,412‌
Food
-
0.37%
Dairy
Farmers
of
America
Inc
7.88%,
04/01/2020
(d
),(
g)
16,000‌
1,536‌
Dairy
Farmers
of
America
Inc
7.88%,
12/01/2025
(d
),(
g)
236,300‌
22,685‌
$
24,221‌
Gas
-
0.02%
Entergy
New
Orleans
LLC
5.00%,
12/01/2052
3,299‌
82‌
Entergy
New
Orleans
LLC
5.50%,
04/01/2066
46,851‌
1,180‌
$
1,262‌
Insurance
-
2.13%
Allstate
Corp/The
4.75%,
01/15/2025
(d
),(
e)
170,000‌
4,298‌
Allstate
Corp/The
5.10%,
01/15/2053
(e)
540,300‌
14,075‌
3
Month
USD
LIBOR
+
3.17%
American
Financial
Group
Inc/OH
5.88%,
03/30/2059
(e)
101,300‌
2,692‌
Arch
Capital
Group
Ltd
5.25%,
09/29/2021
(d)
287,313‌
7,186‌
Arch
Capital
Group
Ltd
5.45%,
08/17/2022
(d
),(
e)
54,104‌
1,365‌
Axis
Capital
Holdings
Ltd
5.50%,
11/07/2021
(d
),(
e)
21,417‌
536‌
Equitable
Holdings
Inc
5.25%,
12/15/2024
(d)
475,000‌
11,875‌
Hartford
Financial
Services
Group
Inc/The
7.88%,
04/15/2042
1,048,434‌
28,696‌
3
Month
USD
LIBOR
+
5.60%
MetLife
Inc
0.00%,
03/15/2025
(d
),(
f)
30,000‌
737‌
Prudential
PLC
6.75%,
04/01/2020
(d
),(
e)
18,931‌
492‌
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
127
PREFERRED
STOCKS
(continued)
Shares
Held
Value
(000’s)
Insurance
(continued)
Reinsurance
Group
of
America
Inc
6.20%,
09/15/2042
581,128‌
$
15,504‌
3
Month
USD
LIBOR
+
4.37%
RenaissanceRe
Holdings
Ltd
5.38%,
04/01/2020
(d)
550,975‌
13,719‌
RenaissanceRe
Holdings
Ltd
5.75%,
06/30/2023
(d
),(
e)
31,987‌
838‌
RenaissanceRe
Holdings
Ltd
6.08%,
03/26/2020
(d
),(
e)
137,591‌
3,467‌
Voya
Financial
Inc
5.35%,
09/15/2029
(d
),(
e)
76,389‌
1,990‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.21%
WR
Berkley
Corp
5.63%,
04/30/2053
1,129,478‌
28,000‌
WR
Berkley
Corp
5.70%,
03/30/2058
(e)
3,100‌
80‌
WR
Berkley
Corp
5.75%,
06/01/2056
(e)
65,882‌
1,675‌
$
137,225‌
REITs
-
1.66%
Boston
Properties
Inc
5.25%,
04/01/2020
(d
),(
e)
6,208‌
157‌
Digital
Realty
Trust
Inc
5.20%,
10/10/2024
(d)
600‌
15‌
Digital
Realty
Trust
Inc
5.85%,
03/13/2024
(d)
4,771‌
127‌
Digital
Realty
Trust
Inc
5.88%,
04/01/2020
(d
),(
e)
91,183‌
2,312‌
Digital
Realty
Trust
Inc
6.35%,
08/24/2020
(d
),(
e)
205,498‌
5,302‌
Diversified
Healthcare
Trust
5.63%,
08/01/2042
110,082‌
2,512‌
Diversified
Healthcare
Trust
6.25%,
02/01/2046
(e)
139,198‌
3,285‌
Federal
Realty
Investment
Trust
5.00%,
09/29/2022
(d
),(
e)
50,149‌
1,254‌
Kimco
Realty
Corp
5.25%,
12/20/2022
(d)
399,847‌
10,208‌
National
Retail
Properties
Inc
5.20%,
10/11/2021
(d
),(
e)
121,247‌
3,043‌
Prologis
Inc
8.54%,
11/13/2026
(d)
167,700‌
11,907‌
PS
Business
Parks
Inc
4.88%,
11/04/2024
(d)
3,957‌
97‌
PS
Business
Parks
Inc
5.20%,
12/07/2022
(d)
3,332‌
84‌
PS
Business
Parks
Inc
5.25%,
09/21/2022
(d
),(
e)
57,755‌
1,461‌
Public
Storage
4.70%,
11/15/2024
(d
),(
e)
218‌
6‌
Public
Storage
4.75%,
12/20/2024
(d
),(
e)
186,600‌
4,740‌
Public
Storage
4.90%,
10/14/2021
(d
),(
e)
6,561‌
163‌
Public
Storage
4.95%,
07/20/2021
(d)
122‌
3‌
Public
Storage
5.05%,
08/09/2022
(d
),(
e)
177,565‌
4,482‌
Public
Storage
5.15%,
06/02/2022
(d
),(
e)
2,000‌
51‌
Public
Storage
5.20%,
04/01/2020
(d)
66,743‌
1,685‌
Public
Storage
5.38%,
04/01/2020
(d)
3,000‌
75‌
Public
Storage
5.60%,
03/11/2024
(d)
314,806‌
8,509‌
SITE
Centers
Corp
6.25%,
04/01/2020
(d
),(
e)
10,783‌
263‌
SITE
Centers
Corp
6.38%,
06/05/2022
(d)
444,345‌
11,704‌
Vornado
Realty
Trust
5.25%,
12/13/2022
(d)
383,022‌
9,675‌
Vornado
Realty
Trust
5.40%,
04/01/2020
(d)
188,066‌
4,702‌
Vornado
Realty
Trust
5.70%,
04/01/2020
(d
),(
e)
759,462‌
19,108‌
$
106,930‌
Savings
&
Loans
-
0.06%
New
York
Community
Bancorp
Inc
6.38%,
03/17/2027
(d
),(
e)
14,862‌
396‌
3
Month
USD
LIBOR
+
3.82%
People's
United
Financial
Inc
5.63%,
12/15/2026
(d)
94,067‌
2,501‌
3
Month
USD
LIBOR
+
4.02%
Sterling
Bancorp/DE
6.50%,
10/15/2022
(d
),(
e)
43,097‌
1,135‌
$
4,032‌
Sovereign
-
1.10%
CoBank
ACB
6.13%,
07/01/2020
(d)
8,000‌
830‌
CoBank
ACB
6.20%,
01/01/2025
(d)
65,000‌
7,008‌
3
Month
USD
LIBOR
+
3.74%
CoBank
ACB
6.25%,
10/01/2022
(d)
296,500‌
31,577‌
3
Month
USD
LIBOR
+
4.56%
Farm
Credit
Bank
of
Texas
6.75%,
09/15/2023
(d
),(
g)
270,500‌
28,944‌
3
Month
USD
LIBOR
+
4.01%
PREFERRED
STOCKS
(continued)
Shares
Held
Value
(000’s)
Sovereign
(continued)
Farm
Credit
Bank
of
Texas
10.00%,
06/15/2020
(d)
2,350‌
$
2,397‌
$
70,756‌
Telecommunications
-
3.48%
AT&T
Inc
0.00%,
02/18/2025
(d
),(
f)
2,880,000‌
70,243‌
AT&T
Inc
5.00%,
12/12/2024
(d
),(
e)
55,000‌
1,368‌
Centaur
Funding
Corp
0.00%,
04/21/2020
(f
),(
g)
26,500‌
26,301‌
Centaur
Funding
Corp
9.08%,
04/21/2020
(c
),(
g)
96,166‌
96,166‌
Telephone
&
Data
Systems
Inc
6.63%,
03/31/2045
103,789‌
2,652‌
Telephone
&
Data
Systems
Inc
7.00%,
03/15/2060
(e)
1,069,198‌
26,516‌
United
States
Cellular
Corp
6.95%,
05/15/2060
(e)
50,354‌
1,268‌
$
224,514‌
TOTAL
PREFERRED
STOCKS
$
1,062,667‌
BONDS
-
81.17%
Principal
Amount
(000's)
Value
(000's)
Automobile
Manufacturers
-
0.19%
General
Motors
Financial
Co
Inc
5.75
%,
12
/31/2049
(d),(h)
$
12,700‌
$
12,446‌
3
Month
USD
LIBOR
+
3.60%
Banks
-
47.71%
Australia
&
New
Zealand
Banking
Group
Ltd/
United
Kingdom
6.75
%,
12
/31/2049
(d),(g),(h)
5,000‌
5,637‌
USD
Swap
Rate
NY
5
Year
+
5.17%
6.75
%,
12
/31/2049
(d),(h)
2,700‌
3,044‌
USD
Swap
Rate
NY
5
Year
+
5.17%
Banco
Bilbao
Vizcaya
Argentaria
SA
6.50
%,
12
/31/2049
(d),(h)
27,600‌
28,735‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.19%
Banco
Santander
SA
7.50
%,
12
/31/2049
(d),(h)
22,400‌
24,022‌
USD
Swap
Semi-Annual
5
Year
+
4.99%
Bank
of
America
Corp
6.10
%,
12
/31/2049
(d),(h)
5,000‌
5,543‌
3
Month
USD
LIBOR
+
3.90%
6.25
%,
12
/31/2049
(d),(h)
30,599‌
33,615‌
3
Month
USD
LIBOR
+
3.71%
6.30
%,
12
/31/2049
(d),(h)
46,830‌
52,840‌
3
Month
USD
LIBOR
+
4.55%
6.50
%,
12
/31/2049
(d),(h)
97,785‌
107,922‌
3
Month
USD
LIBOR
+
4.17%
8.05
%,
06
/15/2027
6,312‌
8,502‌
Bank
of
New
York
Mellon
Corp/The
4.62
%,
12
/31/2099
(d),(h)
33,927‌
35,369‌
3
Month
USD
LIBOR
+
3.13%
4.95
%,
12
/31/2049
(d),(h)
78,000‌
78,195‌
3
Month
USD
LIBOR
+
3.42%
Barclays
Bank
PLC
6.86
%,
12
/31/2049
(d),(h)
517‌
644‌
6
Month
USD
LIBOR
+
1.73%
7.63
%,
11
/21/2022
8,000‌
8,915‌
Barclays
PLC
7.75
%,
12
/31/2049
(d),(h)
47,300‌
50,729‌
USD
Swap
Semi-Annual
5
Year
+
4.84%
7.88
%,
12
/31/2049
(d),(h)
30,065‌
31,734‌
USD
Swap
Semi-Annual
5
Year
+
6.77%
8.00
%,
12
/31/2049
(d),(h)
67,803‌
74,499‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.67%
BNP
Paribas
SA
6.63
%,
12
/31/2049
(d),(g),(h)
39,300‌
42,149‌
USD
Swap
Semi-Annual
5
Year
+
4.15%
6.63
%,
12
/31/2049
(d),(h)
8,700‌
9,331‌
USD
Swap
Rate
NY
5
Year
+
4.15%
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
128
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
BNP
Paribas
SA  
(continued)
7.00
%,
12
/31/2049
(d),(g),(h)
$
2,500‌
$
2,873‌
USD
Swap
Semi-Annual
5
Year
+
3.98%
7.19
%,
12
/31/2049
(d),(h)
800‌
888‌
3
Month
USD
LIBOR
+
1.29%
7.20
%,
12
/31/2049
(d),(g),(h)
5,800‌
6,438‌
3
Month
USD
LIBOR
+
1.29%
7.37
%,
12
/31/2049
(d),(g),(h)
100‌
113‌
USD
Swap
Semi-Annual
5
Year
+
5.15%
7.37
%,
12
/31/2049
(d),(h)
13,000‌
14,723‌
USD
Swap
Semi-Annual
5
Year
+
5.15%
7.63
%,
12
/31/2049
(d),(g),(h)
58,198‌
60,308‌
USD
Swap
Semi-Annual
5
Year
+
6.31%
7.63
%,
12
/31/2049
(d),(h)
27,100‌
28,082‌
USD
Swap
Semi-Annual
5
Year
+
6.31%
Citigroup
Capital
III
7.63
%,
12
/01/2036
2,700‌
4,007‌
Citigroup
Inc
5.90
%,
12
/31/2049
(d),(h)
6,133‌
6,348‌
3
Month
USD
LIBOR
+
4.23%
5.95
%,
12
/31/2049
(d),(h)
24,100‌
25,017‌
3
Month
USD
LIBOR
+
4.07%
5.95
%,
12
/31/2049
(d),(h)
14,770‌
15,915‌
3
Month
USD
LIBOR
+
3.91%
5.95
%,
12
/31/2049
(d),(h)
9,000‌
9,131‌
3
Month
USD
LIBOR
+
4.10%
6.13
%,
12
/31/2049
(d),(h)
47,300‌
47,525‌
3
Month
USD
LIBOR
+
4.48%
6.25
%,
12
/31/2049
(d),(h)
86,582‌
97,864‌
3
Month
USD
LIBOR
+
4.52%
Citizens
Financial
Group
Inc
5.50
%,
12
/31/2049
(d),(h)
7,500‌
7,462‌
3
Month
USD
LIBOR
+
3.96%
6.00
%,
12
/31/2049
(d),(h)
7,000‌
7,105‌
3
Month
USD
LIBOR
+
3.00%
6.38
%,
12
/31/2049
(d),(e),(h)
1,400‌
1,500‌
3
Month
USD
LIBOR
+
3.16%
Corestates
Capital
III
2.26
%,
02
/15/2027
(g)
18,621‌
17,690‌
3
Month
USD
LIBOR
+
0.57%
Credit
Agricole
SA
7.88
%,
12
/31/2049
(d),(g),(h)
29,540‌
32,716‌
USD
Swap
Semi-Annual
5
Year
+
4.90%
7.88
%,
12
/31/2049
(d),(h)
6,500‌
7,199‌
USD
Swap
Semi-Annual
5
Year
+
4.90%
8.13
%,
12
/31/2049
(d),(g),(h)
31,068‌
36,677‌
USD
Swap
Semi-Annual
5
Year
+
6.19%
Credit
Suisse
AG
6.50
%,
08
/08/2023
(g)
23,254‌
25,997‌
6.50
%,
08
/08/2023
6,000‌
6,708‌
Credit
Suisse
Group
AG
5.10
%,
12
/31/2049
(d),(g),(h)
21,300‌
21,193‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.29%
6.25
%,
12
/31/2049
(d),(g),(h)
3,000‌
3,228‌
USD
Swap
Semi-Annual
5
Year
+
3.46%
6.25
%,
12
/31/2049
(d),(h)
1,475‌
1,587‌
USD
Swap
Semi-Annual
5
Year
+
3.46%
6.38
%,
12
/31/2099
(d),(g),(h)
14,200‌
15,176‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.82%
7.13
%,
12
/31/2049
(d),(h)
24,838‌
26,235‌
USD
Swap
Semi-Annual
5
Year
+
5.11%
7.50
%,
12
/31/2049
(d),(g),(h)
6,500‌
7,016‌
USD
Swap
Semi-Annual
5
Year
+
4.60%
7.50
%,
12
/31/2049
(d),(g),(h)
72,040‌
79,705‌
USD
Swap
Semi-Annual
5
Year
+
4.60%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Credit
Suisse
Group
AG  
(continued)
7.50
%,
12
/31/2049
(d),(h)
$
3,000‌
$
3,319‌
USD
Swap
Semi-Annual
5
Year
+
4.60%
Danske
Bank
A/S
6.13
%,
12
/31/2099
(d),(h)
2,500‌
2,559‌
USD
Swap
Semi-Annual
7
Year
+
3.90%
7.00
%,
12
/31/2049
(d),(h)
19,645‌
21,290‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
7
Year
+
4.13%
Fifth
Third
Bancorp
5.10
%,
12
/31/2049
(d),(h)
1,403‌
1,391‌
3
Month
USD
LIBOR
+
3.03%
First
Maryland
Capital
I
2.83
%,
01
/15/2027
2,000‌
1,900‌
3
Month
USD
LIBOR
+
1.00%
First
Union
Capital
II
7.95
%,
11
/15/2029
3,700‌
5,160‌
Goldman
Sachs
Group
Inc/The
4.95
%,
12
/31/2049
(d),(h)
13,000‌
13,209‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.22%
5.38
%,
12
/31/2049
(d),(h)
11,300‌
11,323‌
3
Month
USD
LIBOR
+
3.92%
5.50
%,
12
/31/2049
(d),(e),(h)
13,750‌
14,437‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.62%
HSBC
Capital
Funding
Dollar
1
LP
10.18
%,
12
/31/2049
(d),(g),(h)
56,967‌
91,717‌
3
Month
USD
LIBOR
+
4.98%
10.18
%,
12
/31/2049
(d),(h)
34,808‌
56,041‌
3
Month
USD
LIBOR
+
4.98%
HSBC
Holdings
PLC
6.00
%,
12
/31/2099
(d),(h)
15,900‌
16,536‌
USD
Swap
Rate
NY
5
Year
+
3.75%
6.37
%,
12
/31/2049
(d),(h)
14,800‌
15,544‌
USD
Swap
Rate
NY
5
Year
+
4.37%
6.38
%,
12
/31/2049
(d),(h)
3,300‌
3,436‌
USD
Swap
Rate
NY
5
Year
+
3.71%
6.50
%,
12
/31/2099
(d),(h)
25,600‌
27,712‌
USD
Swap
Rate
NY
5
Year
+
3.61%
6.87
%,
12
/31/2049
(d),(h)
54,800‌
56,581‌
USD
Swap
Rate
NY
5
Year
+
5.51%
ING
Groep
NV
5.75
%,
12
/31/2049
(d),(h)
14,075‌
14,684‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.34%
6.50
%,
12
/31/2049
(d),(h)
35,300‌
37,467‌
USD
Swap
Semi-Annual
5
Year
+
4.45%
6.87
%,
12
/31/2049
(d),(h)
25,320‌
26,554‌
USD
Swap
Semi-Annual
5
Year
+
5.12%
Intesa
Sanpaolo
SpA
7.70
%,
12
/31/2049
(d),(g),(h)
2,900‌
3,154‌
USD
Swap
Semi-Annual
5
Year
+
5.46%
JPMorgan
Chase
&
Co
4.60
%,
12
/31/2099
(d),(h)
33,179‌
33,212‌
United
States
Secured
Overnight
Financing
Rate
+
3.13%
5.24
%,
12
/31/2049
(d)
24,199‌
24,151‌
3
Month
USD
LIBOR
+
3.47%
5.30
%,
12
/31/2099
(d),(h)
16,218‌
16,294‌
3
Month
USD
LIBOR
+
3.80%
6.13
%,
12
/31/2049
(d),(h)
7,706‌
8,241‌
3
Month
USD
LIBOR
+
3.33%
6.75
%,
12
/31/2049
(d),(h)
143,515‌
160,537‌
3
Month
USD
LIBOR
+
3.78%
KeyCorp
5.00
%,
12
/31/2049
(d),(h)
20,101‌
20,905‌
3
Month
USD
LIBOR
+
3.61%
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
129
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
KeyCorp
Capital
III
7.75
%,
07
/15/2029
$
3,500‌
$
4,728‌
Lloyds
Bank
PLC
12.00
%,
12
/31/2049
(d),(g),(h)
39,250‌
47,290‌
3
Month
USD
LIBOR
+
11.76%
12.00
%,
12
/31/2049
(d),(h)
46,889‌
56,494‌
3
Month
USD
LIBOR
+
11.76%
Lloyds
Banking
Group
PLC
6.41
%,
12
/31/2049
(d),(g),(h)
12,674‌
15,098‌
3
Month
USD
LIBOR
+
1.50%
6.66
%,
01
/29/2049
(d),(e),(g),(h)
48,685‌
60,187‌
3
Month
USD
LIBOR
+
1.27%
7.50
%,
12
/31/2049
(d),(h)
47,496‌
51,593‌
USD
Swap
Semi-Annual
5
Year
+
4.76%
7.50
%,
12
/31/2049
(d),(h)
22,500‌
25,017‌
USD
Swap
Semi-Annual
5
Year
+
4.50%
M&T
Bank
Corp
5.12
%,
12
/31/2049
(d),(h)
12,500‌
13,406‌
3
Month
USD
LIBOR
+
3.52%
6.45
%,
12
/31/2049
(d),(h)
6,615‌
7,267‌
3
Month
USD
LIBOR
+
3.61%
Morgan
Stanley
5.55
%,
12
/31/2049
(d),(h)
8,500‌
8,560‌
3
Month
USD
LIBOR
+
3.81%
Nordea
Bank
Abp
6.13
%,
12
/31/2049
(d),(g),(h)
42,131‌
44,690‌
USD
Swap
Semi-Annual
5
Year
+
3.39%
6.13
%,
12
/31/2049
(d),(h)
8,235‌
8,735‌
USD
Swap
Semi-Annual
5
Year
+
3.39%
6.63
%,
12
/31/2099
(d),(g),(h)
23,420‌
25,938‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.11%
Northern
Trust
Corp
4.60
%,
12
/31/2049
(d),(h)
4,400‌
4,767‌
3
Month
USD
LIBOR
+
3.20%
NTC
Capital
I
2.35
%,
01
/15/2027
5,500‌
5,225‌
3
Month
USD
LIBOR
+
0.52%
NTC
Capital
II
2.42
%,
04
/15/2027
6,500‌
6,175‌
3
Month
USD
LIBOR
+
0.59%
PNC
Financial
Services
Group
Inc/The
6.75
%,
12
/31/2049
(d),(h)
37,635‌
39,517‌
3
Month
USD
LIBOR
+
3.68%
RBS
Capital
Trust
II
6.43
%,
12
/31/2049
(d),(h)
2,750‌
3,932‌
3
Month
USD
LIBOR
+
1.94%
Royal
Bank
of
Scotland
Group
PLC
4.26
%,
12
/31/2049
(d)
1,900‌
1,886‌
3
Month
USD
LIBOR
+
2.32%
7.50
%,
12
/31/2049
(d),(h)
54,281‌
54,790‌
USD
Swap
Semi-Annual
5
Year
+
5.80%
7.65
%,
12
/31/2049
(d),(h)
28,946‌
42,216‌
3
Month
USD
LIBOR
+
2.50%
8.00
%,
12
/31/2049
(d),(h)
7,825‌
8,921‌
USD
Swap
Semi-Annual
5
Year
+
5.72%
8.62
%,
12
/31/2049
(d),(h)
18,295‌
19,356‌
USD
Swap
Semi-Annual
5
Year
+
7.60%
Skandinaviska
Enskilda
Banken
AB
5.63
%,
12
/31/2049
(d),(h)
5,000‌
5,113‌
USD
Swap
Semi-Annual
5
Year
+
3.49%
5.75
%,
12
/31/2049
(d),(h)
8,100‌
8,098‌
USD
Swap
Semi-Annual
5
Year
+
3.85%
Societe
Generale
SA
7.37
%,
12
/31/2049
(d),(h)
14,120‌
14,762‌
USD
Swap
Semi-Annual
5
Year
+
6.24%
7.38
%,
12
/31/2049
(d),(g),(h)
16,800‌
18,291‌
USD
Swap
Semi-Annual
5
Year
+
4.30%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Societe
Generale
SA  
(continued)
7.38
%,
12
/31/2049
(d),(g),(h)
$
25,326‌
$
26,478‌
USD
Swap
Semi-Annual
5
Year
+
6.24%
7.88
%,
12
/31/2049
(d),(g),(h)
500‌
551‌
USD
Swap
Semi-Annual
5
Year
+
4.98%
7.88
%,
12
/31/2049
(d),(e),(h)
14,000‌
15,426‌
USD
Swap
Semi-Annual
5
Year
+
4.98%
8.00
%,
12
/31/2049
(d),(g),(h)
23,900‌
27,748‌
USD
Swap
Rate
NY
5
Year
+
5.87%
8.00
%,
12
/31/2049
(d),(h)
9,000‌
10,449‌
USD
Swap
Rate
NY
5
Year
+
5.87%
Standard
Chartered
PLC
7.01
%,
12
/31/2049
(d),(g),(h)
41,500‌
51,015‌
3
Month
USD
LIBOR
+
1.46%
7.01
%,
12
/31/2049
(d),(h)
19,800‌
24,340‌
3
Month
USD
LIBOR
+
1.46%
7.50
%,
12
/31/2049
(d),(g),(h)
17,700‌
18,497‌
USD
Swap
Semi-Annual
5
Year
+
6.30%
7.50
%,
12
/31/2049
(d),(h)
10,500‌
10,973‌
USD
Swap
Semi-Annual
5
Year
+
6.30%
7.75
%,
12
/31/2049
(d),(g),(h)
11,000‌
11,853‌
USD
Swap
Semi-Annual
5
Year
+
5.72%
State
Street
Corp
5.25
%,
12
/31/2049
(d),(h)
4,000‌
4,053‌
3
Month
USD
LIBOR
+
3.60%
Svenska
Handelsbanken
AB
5.25
%,
12
/31/2049
(d),(h)
29,400‌
29,683‌
USD
Swap
Semi-Annual
5
Year
+
3.34%
Swedbank
AB
6.00
%,
12
/31/2049
(d),(h)
5,200‌
5,363‌
USD
Swap
Semi-Annual
5
Year
+
4.11%
Truist
Bank
2.36
%,
05
/15/2027
10,900‌
10,328‌
3
Month
USD
LIBOR
+
0.67%
2.54
%,
03
/15/2028
9,022‌
8,503‌
3
Month
USD
LIBOR
+
0.65%
2.89
%,
04
/01/2027
7,000‌
6,720‌
3
Month
USD
LIBOR
+
0.98%
Truist
Financial
Corp
4.80
%,
12
/31/2099
(d),(h)
97,900‌
98,617‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.00%
5.75
%,
12
/31/2049
(d)
4,400‌
4,407‌
3
Month
USD
LIBOR
+
3.86%
UBS
Group
AG
6.88
%,
12
/31/2049
(d),(h)
12,078‌
12,425‌
USD
Swap
Rate
NY
5
Year
+
5.50%
6.88
%,
12
/31/2049
(d),(h)
11,933‌
13,022‌
USD
Swap
Semi-Annual
5
Year
+
4.59%
7.00
%,
12
/31/2049
(d),(g),(h)
19,500‌
20,796‌
USD
Swap
Semi-Annual
5
Year
+
4.34%
7.00
%,
12
/31/2049
(d),(h)
10,800‌
11,518‌
USD
Swap
Semi-Annual
5
Year
+
4.34%
7.00
%,
12
/31/2049
(d),(h)
20,700‌
23,013‌
USD
Swap
Semi-Annual
5
Year
+
4.87%
UniCredit
SpA
8.00
%,
12
/31/2049
(d),(h)
21,000‌
22,418‌
USD
Swap
Semi-Annual
5
Year
+
5.18%
US
Bancorp
5.12
%,
12
/31/2049
(d),(h)
21,400‌
22,000‌
3
Month
USD
LIBOR
+
3.49%
USB
Realty
Corp
2.98
%,
12
/31/2049
(d),(g)
1,500‌
1,352‌
3
Month
USD
LIBOR
+
1.15%
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
130
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Wells
Fargo
&
Co
5.66
%,
12
/31/2049
(d)
$
23,170‌
$
23,170‌
3
Month
USD
LIBOR
+
3.77%
5.87
%,
12
/31/2049
(d),(h)
50,300‌
55,707‌
3
Month
USD
LIBOR
+
3.99%
$
3,077,682‌
Diversified
Financial
Services
-
1.27%
Capital
One
Financial
Corp
5.55
%,
12
/31/2049
(d),(h)
20,430‌
20,341‌
3
Month
USD
LIBOR
+
3.80%
Charles
Schwab
Corp/The
7.00
%,
12
/31/2049
(d),(h)
28,358‌
30,538‌
3
Month
USD
LIBOR
+
4.82%
Depository
Trust
&
Clearing
Corp/The
4.88
%,
12
/31/2049
(d),(g),(h)
31,000‌
30,922‌
3
Month
USD
LIBOR
+
3.17%
$
81,801‌
Electric
-
4.80%
Dominion
Energy
Inc
4.65
%,
12
/31/2099
(d),(h)
63,220‌
65,318‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.99%
Duke
Energy
Corp
4.88
%,
12
/31/2099
(d),(h)
26,500‌
27,324‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.39%
Emera
Inc
6.75
%,
06
/15/2076
(h)
64,395‌
74,641‌
3
Month
USD
LIBOR
+
5.44%
Enel
SpA
8.75
%,
09
/24/2073
(g),(h)
51,716‌
60,120‌
USD
Swap
Semi-Annual
5
Year
+
5.88%
National
Rural
Utilities
Cooperative
Finance
Corp
5.25
%,
04
/20/2046
(h)
22,969‌
25,628‌
3
Month
USD
LIBOR
+
3.63%
NextEra
Energy
Capital
Holdings
Inc
3.98
%,
10
/01/2066
23,474‌
22,418‌
3
Month
USD
LIBOR
+
2.07%
4.02
%,
06
/15/2067
8,920‌
8,717‌
3
Month
USD
LIBOR
+
2.13%
4.80
%,
12
/01/2077
(h)
2,300‌
2,461‌
3
Month
USD
LIBOR
+
2.41%
5.65
%,
05
/01/2079
(h)
800‌
908‌
3
Month
USD
LIBOR
+
3.16%
PPL
Capital
Funding
Inc
4.63
%,
03
/30/2067
15,700‌
15,377‌
3
Month
USD
LIBOR
+
2.67%
Southern
Co/The
5.50
%,
03
/15/2057
(h)
6,500‌
6,694‌
3
Month
USD
LIBOR
+
3.63%
$
309,606‌
Food
-
0.13%
Dairy
Farmers
of
America
Inc
7.13
%,
12
/31/2049
(d),(g)
8,700‌
8,178‌
Gas
-
0.28%
NiSource
Inc
5.65
%,
12
/31/2049
(d),(h)
17,900‌
18,258‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.84%
Insurance
-
21.63%
ACE
Capital
Trust
II
9.70
%,
04
/01/2030
14,970‌
22,455‌
AIG
Life
Holdings
Inc
8.50
%,
07
/01/2030
31,200‌
43,681‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Insurance
(continued)
Allstate
Corp/The
5.75
%,
08
/15/2053
(h)
$
11,754‌
$
12,694‌
3
Month
USD
LIBOR
+
2.94%
6.50
%,
05
/15/2067
(h)
11,905‌
15,119‌
3
Month
USD
LIBOR
+
2.12%
American
International
Group
Inc
5.75
%,
04
/01/2048
(e),(h)
48,701‌
53,875‌
3
Month
USD
LIBOR
+
2.87%
8.18
%,
05
/15/2068
(h)
22,300‌
30,439‌
3
Month
USD
LIBOR
+
4.20%
Aon
Corp
8.21
%,
01
/01/2027
4,750‌
6,139‌
Argentum
Netherlands
BV
for
Swiss
Re
Ltd
5.63
%,
08
/15/2052
(h)
54,000‌
59,805‌
3
Month
USD
LIBOR
+
3.78%
5.75
%,
08
/15/2050
(h)
34,400‌
37,737‌
3
Month
USD
LIBOR
+
3.59%
Argentum
Netherlands
BV
for
Zurich
Insurance
Co
Ltd
5.13
%,
06
/01/2048
(h)
6,290‌
7,030‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.27%
AXA
SA
6.38
%,
12
/31/2049
(d),(g),(h)
27,793‌
36,826‌
3
Month
USD
LIBOR
+
2.26%
8.60
%,
12
/15/2030
10,797‌
15,966‌
AXIS
Specialty
Finance
LLC
4.90
%,
01
/15/2040
(h)
4,500‌
4,455‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.19%
Cloverie
PLC
for
Swiss
Re
Corporate
Solutions
Ltd
4.50
%,
09
/11/2044
(h)
20,000‌
20,710‌
USD
Swap
Semi-Annual
10
Year
+
2.91%
Cloverie
PLC
for
Zurich
Insurance
Co
Ltd
5.63
%,
06
/24/2046
(h)
5,000‌
5,661‌
3
Month
USD
LIBOR
+
4.92%
Dai-ichi
Life
Insurance
Co
Ltd/The
7.25
%,
12
/31/2049
(d),(g),(h)
13,250‌
14,156‌
3
Month
USD
LIBOR
+
4.56%
Everest
Reinsurance
Holdings
Inc
4.08
%,
05
/01/2067
27,820‌
27,124‌
3
Month
USD
LIBOR
+
2.39%
Hartford
Financial
Services
Group
Inc/The
3.82
%,
02
/12/2067
(g)
5,685‌
5,401‌
3
Month
USD
LIBOR
+
2.13%
Legal
&
General
Group
PLC
5.25
%,
03
/21/2047
(h)
52,754‌
56,711‌
USD
Swap
Semi-Annual
5
Year
+
3.69%
Liberty
Mutual
Group
Inc
7.80
%,
03
/07/2087
(g)
76,240‌
98,731‌
3
Month
USD
LIBOR
+
3.58%
Liberty
Mutual
Insurance
Co
7.70
%,
10
/15/2097
(g)
20,025‌
34,068‌
Lincoln
National
Corp
3.86
%,
04
/20/2067
60,769‌
50,742‌
3
Month
USD
LIBOR
+
2.04%
4.05
%,
05
/17/2066
9‌
8‌
3
Month
USD
LIBOR
+
2.36%
M&G
PLC
6.50
%,
10
/20/2048
(h)
16,188‌
18,802‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.41%
Meiji
Yasuda
Life
Insurance
Co
5.10
%,
04
/26/2048
(e),(g),(h)
13,800‌
15,831‌
USD
Swap
Rate
NY
5
Year
+
3.15%
5.20
%,
10
/20/2045
(g),(h)
14,545‌
16,317‌
USD
Swap
Semi-Annual
5
Year
+
4.23%
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
131
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Insurance
(continued)
MetLife
Capital
Trust
IV
7.88
%,
12
/15/2067
(g)
$
24,540‌
$
33,006‌
MetLife
Inc
5.25
%,
12
/31/2049
(d),(h)
1,000‌
999‌
3
Month
USD
LIBOR
+
3.58%
6.40
%,
12
/15/2066
20,770‌
25,655‌
3
Month
USD
LIBOR
+
2.21%
9.25
%,
04
/08/2068
(g)
49,075‌
73,122‌
3
Month
USD
LIBOR
+
5.54%
10.75
%,
08
/01/2069
(h)
50,223‌
83,621‌
3
Month
USD
LIBOR
+
7.55%
Mitsui
Sumitomo
Insurance
Co
Ltd
4.95
%,
12
/31/2049
(d),(h)
520‌
596‌
USD
Swap
Semi-Annual
5
Year
+
3.26%
4.95
%,
12
/31/2099
(d),(g),(h)
6,800‌
7,795‌
USD
Swap
Semi-Annual
5
Year
+
3.26%
7.00
%,
03
/15/2072
(g),(h)
10,700‌
11,690‌
3
Month
USD
LIBOR
+
5.90%
MMI
Capital
Trust
I
7.63
%,
12
/15/2027
1,073‌
1,389‌
Nationwide
Financial
Services
Inc
6.75
%,
05
/15/2087
79,015‌
96,793‌
Nippon
Life
Insurance
Co
4.70
%,
01
/20/2046
(g),(h)
5,000‌
5,513‌
USD
Swap
Rate
NY
5
Year
+
3.75%
5.10
%,
10
/16/2044
(g),(h)
26,700‌
29,103‌
USD
Swap
Rate
NY
5
Year
+
3.65%
Progressive
Corp/The
5.38
%,
12
/31/2049
(d),(h)
4,750‌
4,999‌
3
Month
USD
LIBOR
+
2.54%
Prudential
Financial
Inc
5.63
%,
06
/15/2043
(h)
79,130‌
83,265‌
3
Month
USD
LIBOR
+
3.92%
5.88
%,
09
/15/2042
(h)
45,255‌
48,055‌
3
Month
USD
LIBOR
+
4.18%
QBE
Insurance
Group
Ltd
5.88
%,
06
/17/2046
(h)
3,100‌
3,399‌
USD
Swap
Rate
NY
10
Year
+
4.40%
Reinsurance
Group
of
America
Inc
4.56
%,
12
/15/2065
2,687‌
2,580‌
3
Month
USD
LIBOR
+
2.67%
Sompo
Japan
Nipponkoa
Insurance
Inc
5.33
%,
03
/28/2073
(g),(h)
60,300‌
64,220‌
3
Month
USD
LIBOR
+
4.27%
Sumitomo
Life
Insurance
Co
6.50
%,
09
/20/2073
(g),(h)
15,500‌
17,438‌
3
Month
USD
LIBOR
+
4.44%
Voya
Financial
Inc
5.65
%,
05
/15/2053
(h)
77,926‌
83,304‌
3
Month
USD
LIBOR
+
3.58%
6.13
%,
12
/31/2049
(d),(h)
8,150‌
8,424‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.36%
$
1,395,449‌
Mining
-
0.47%
BHP
Billiton
Finance
USA
Ltd
6.75
%,
10
/19/2075
(g),(h)
25,842‌
30,041‌
USD
Swap
Semi-Annual
5
Year
+
5.09%
Pipelines
-
3.31%
Enbridge
Inc
6.00
%,
01
/15/2077
(h)
29,238‌
30,334‌
3
Month
USD
LIBOR
+
3.89%
6.25
%,
03
/01/2078
(h)
39,048‌
41,000‌
3
Month
USD
LIBOR
+
3.64%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Pipelines
(continued)
Enterprise
Products
Operating
LLC
5.25
%,
08
/16/2077
(h)
$
44,200‌
$
44,863‌
3
Month
USD
LIBOR
+
3.03%
5.38
%,
02
/15/2078
(h)
5,000‌
4,954‌
3
Month
USD
LIBOR
+
2.57%
Transcanada
Trust
5.50
%,
09
/15/2079
(h)
39,340‌
41,465‌
3
Month
USD
LIBOR
+
4.15%
5.63
%,
05
/20/2075
(h)
6,000‌
6,135‌
3
Month
USD
LIBOR
+
3.53%
5.87
%,
08
/15/2076
(h)
41,581‌
44,700‌
3
Month
USD
LIBOR
+
4.64%
$
213,451‌
Sovereign
-
0.32%
CoBank
ACB
6.25
%,
12
/31/2049
(d),(h)
16,400‌
17,548‌
3
Month
USD
LIBOR
+
4.66%
Farm
Credit
Bank
of
Texas
6.20
%,
12
/31/2049
(d),(g),(h)
3,000‌
3,212‌
3
Month
USD
LIBOR
+
3.22%
$
20,760‌
Telecommunications
-
0.46%
Koninklijke
KPN
NV
7.00
%,
03
/28/2073
(e),(g),(h)
13,126‌
14,045‌
USD
Swap
Semi-Annual
10
Year
+
5.21%
7.00
%,
03
/28/2073
(h)
8,000‌
8,560‌
USD
Swap
Semi-Annual
10
Year
+
5.21%
Vodafone
Group
PLC
7.00
%,
04
/04/2079
(h)
5,900‌
6,812‌
USD
Swap
Semi-Annual
5
Year
+
4.87%
$
29,417‌
Transportation
-
0.60%
BNSF
Funding
Trust
I
6.61
%,
12
/15/2055
(h)
35,709‌
38,566‌
3
Month
USD
LIBOR
+
2.35%
TOTAL
BONDS
$
5,235,655‌
TOTAL
PURCHASED
OPTIONS
-
0.00%
$
75‌
Total
Investments
$
6,480,442‌
Other
Assets
and
Liabilities
-  (
0.46)%
(29,873‌)
TOTAL
NET
ASSETS
-
100.00%
$
6,450,569‌
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$32,740
or
0.51%
of
net
assets.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Perpetual
security.
Perpetual
securities
pay
an
indefinite
stream
of
interest,
but
they
may
be
called
by
the
issuer
at
an
earlier
date.
Date
shown,
if
any,
reflects
the
next
call
date
or
final
legal
maturity
date.
Rate
shown
is
as
of
period
end.
(e)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
(f)
Non-income
producing
security
(g)
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
$1,606,938
or
24.91%
of
net
assets.
(h)
Rate
shown
is
as
of
period
end.
The
rate
may
be
a
variable
or
floating
rate
or
a
fixed
rate
which
may
convert
to
a
variable
or
floating
rate
in
the
future.
Schedule
of
Investments
Spectrum
Preferred
and
Capital
Securities
Income
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
132
Portfolio
Summary  (
unaudited)
Sector
Percent
Financial
79.93‌%
Utilities
7.91‌%
Communications
3.94‌%
Energy
3.31‌%
Money
Market
Funds
2.19‌%
Government
1.42‌%
Industrial
0.60‌%
Consumer,
Non-cyclical
0.50‌%
Basic
Materials
0.47‌%
Consumer,
Cyclical
0.19‌%
Purchased
Options
0.00‌%
Other
Assets
and
Liabilities
(
0.46‌)%
TOTAL
NET
ASSETS
100.00%
Affiliated
Securities
August
31,
2019
Purchases
Sales
February
29,
2020
Value
Cost
Proceeds
Value
Centaur
Funding
Corp
9.08%
04/21/2020
$
99,772‌
$
—‌
$
—‌
$
96,166‌
Principal
Government
Money
Market
Fund
1.43%
98,550‌
1,092,065‌
1,062,143‌
128,472‌
$
198,322‌
$
1,092,065‌
$
1,062,143‌
$
224,638‌
Income
(a)
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/Loss
Centaur
Funding
Corp
9.08%
04/21/2020
$
2,183‌
$
—‌
$
—‌
$
(3,606‌)
Principal
Government
Money
Market
Fund
1.43%
1,598‌
—‌
—‌
—‌
$
3,781‌
$
—‌
$
—‌
$
(3,606‌)
Amounts
in
thousands.
(a)
Amount
excludes
earnings
from
securities
lending
collateral.
Options
Purchased
Options
Outstanding
Counterparty
Contracts/
Shares
Notional
Amount
Exercise
Price
Expiration
Date
Upfront
Payments/
(Premiums)
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Call
-
US
Long
Bond
Future;
June
2020
N/A
50‌
$
50‌
$
171.00‌
03/09/2020
$
86‌
$
75‌
$
(11‌)
Total
$
86‌
$
75‌
$
(11‌)
Amounts
in
thousands
except
contracts/shares.
Futures
Contracts
Description
and
Expiration
Date
Type
Contracts
Notional
Amount
Value
and
Unrealized
Appreciation/(Depreciation)
US
Long
Bond;
June
2020
Short
50‌
$
8,513‌
$
(13‌)
Total
$
(13‌)
Amounts
in
thousands
except
contracts.
Glossary
to
the
Schedule
of
Investments
February
29,
2020
(unaudited)
See
accompanying
notes.
133
Currency
Abbreviations
ARS
Argentine
Peso
AUD
Australian
Dollar
BRL
Brazilian
Real
CAD
Canadian
Dollar
CHF
Swiss
Franc
CLP
Chilean
Peso
CNH
Chinese
Renminbi
CNY
Chinese
Renminbi
COP
Colombian
Peso
CZK
Czech
Koruna
EUR
Euro
GBP
British
Pound
Sterling
HKD
Hong
Kong
Dollar
HUF
Hungarian
Forint
IDR
Indonesian
Rupiah
INR
Indian
Rupee
JPY
Japanese
Yen
KRW
South
Korean
Won
MXN
Mexican
Peso
MYR
Malaysian
Ringgit
NOK
Norwegian
Krone
NZD
New
Zealand
Dollar
PEN
Peruvian
Nuevo
Sol
PLN
Polish
Zloty
RUB
Russian
Ruble
SEK
Swedish
Krona
THB
Thai
Baht
TRY
Turkish
Lira
UAH
Ukrainian
Hryvnia
USD/$
United
States
Dollar
ZAR
South
African
Rand
See
accompanying
notes.
134
Financial
Highlights
Principal
Funds,
Inc.
(unaudited)
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
BLUE
CHIP
FUND
Class
A
shares
2020(c)
$
25.56‌
$
0.01‌
$
1.39‌
$
1.40‌
(
$
0.03‌)
(
$
1.15‌)
(
$
1.18‌)
$
25.78‌
2019
24.49‌
(
0.01‌)
2.67‌
2.66‌
–‌
(
1.59‌)
(
1.59‌)
25.56‌
2018
19.91‌
(
0.07‌)
5.24‌
5.17‌
–‌
(
0.59‌)
(
0.59‌)
24.49‌
2017
16.85‌
0.07‌
3.08‌
3.15‌
–‌
(
0.09‌)
(
0.09‌)
19.91‌
2016
15.52‌
(
0.04‌)
1.69‌
1.65‌
(
0.01‌)
(
0.31‌)
(
0.32‌)
16.85‌
2015
15.07‌
(
0.01‌)
0.86‌
0.85‌
(
0.02‌)
(
0.38‌)
(
0.40‌)
15.52‌
Class
C
shares
2020(c)
24.39‌
(
0.08‌)
1.32‌
1.24‌
–‌
(
1.15‌)
(
1.15‌)
24.48‌
2019
23.62‌
(
0.18‌)
2.54‌
2.36‌
–‌
(
1.59‌)
(
1.59‌)
24.39‌
2018
19.37‌
(
0.23‌)
5.07‌
4.84‌
–‌
(
0.59‌)
(
0.59‌)
23.62‌
2017
16.52‌
(
0.07‌)
3.01‌
2.94‌
–‌
(
0.09‌)
(
0.09‌)
19.37‌
2016
15.33‌
(
0.16‌)
1.66‌
1.50‌
–‌
(
0.31‌)
(
0.31‌)
16.52‌
2015
14.97‌
(
0.12‌)
0.86‌
0.74‌
–‌
(
0.38‌)
(
0.38‌)
15.33‌
DIVERSIFIED
REAL
ASSET
FUND
Class
A
shares
2020(c)
11.23‌
0.10‌
(
0.17‌)
(
0.07‌)
(
0.21‌)
–‌
(
0.21‌)
10.95‌
2019
11.70‌
0.26‌
(
0.42‌)
(
0.16‌)
(
0.31‌)
–‌
(
0.31‌)
11.23‌
2018
11.53‌
0.24‌
0.15‌
0.39‌
(
0.22‌)
–‌
(
0.22‌)
11.70‌
2017
11.07‌
0.17‌
0.55‌
0.72‌
(
0.26‌)
–‌
(
0.26‌)
11.53‌
2016
11.22‌
0.17‌
(
0.27‌)
(
0.10‌)
(
0.05‌)
–‌
(
0.05‌)
11.07‌
2015
13.18‌
0.13‌
(
1.88‌)
(
1.75‌)
(
0.08‌)
(
0.13‌)
(
0.21‌)
11.22‌
Class
C
shares
2020(c)
11.00‌
0.05‌
(
0.17‌)
(
0.12‌)
(
0.12‌)
–‌
(
0.12‌)
10.76‌
2019
11.45‌
0.17‌
(
0.40‌)
(
0.23‌)
(
0.22‌)
–‌
(
0.22‌)
11.00‌
2018
11.29‌
0.14‌
0.15‌
0.29‌
(
0.13‌)
–‌
(
0.13‌)
11.45‌
2017
10.80‌
0.10‌
0.53‌
0.63‌
(
0.14‌)
–‌
(
0.14‌)
11.29‌
2016
10.98‌
0.09‌
(
0.27‌)
(
0.18‌)
–‌
–‌
–‌
10.80‌
2015
12.91‌
0.04‌
(
1.84‌)
(
1.80‌)
–‌
(
0.13‌)
(
0.13‌)
10.98‌
See
accompanying
notes.
135
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
(unaudited)
Total
Return(b)
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Gross
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
5.49‌
%
(d)
$
403,727‌
0.93‌
%
(e)
1.01‌
%
(e),(f)
0.08‌
%
(e)
24.2‌
%
(e)
12.75‌
302,904‌
1.00‌
1.08‌
(f)
(0.06‌)
15.9‌
26.45‌
164,310‌
1.09‌
1.09‌
(f)
(0.30‌)
34.0‌
18.81‌
71,738‌
1.15‌
1.15‌
(f)
0.41‌
27.1‌
10.77‌
36,575‌
1.28‌
1.28‌
(f)
(0.26‌)
36.4‌
5.78‌
20,629‌
1.35‌
1.39‌
(f)
(0.04‌)
26.2‌
5.15‌
(d),(g)
198,750‌
1.67‌
(e)
1.75‌
(e),(f)
(0.65‌)
(e)
24.2‌
(e)
11.91‌
156,734‌
1.73‌
1.81‌
(f)
(0.80‌)
15.9‌
25.47‌
91,660‌
1.84‌
1.84‌
(f)
(1.05‌)
34.0‌
17.91‌
40,344‌
1.94‌
1.94‌
(f)
(0.41‌)
27.1‌
9.93‌
21,705‌
2.08‌
2.08‌
(f)
(1.06‌)
36.4‌
5.04‌
11,985‌
2.10‌
2.33‌
(f)
(0.77‌)
26.2‌
(0.75‌)
(d)
49,129‌
1.22‌
(e)
1.36‌
(e),(f)
1.67‌
(e)
81.4‌
(e)
(1.11‌)
54,880‌
1.22‌
1.33‌
(f)
2.35‌
71.5‌
3.36‌
107,180‌
1.22‌
1.29‌
(f)
2.05‌
84.1‌
6.63‌
118,212‌
1.25‌
1.53‌
(f)
1.58‌
65.1‌
(0.85‌)
210,864‌
1.25‌
1.28‌
(f)
1.59‌
77.6‌
(13.33‌)
109,677‌
1.25‌
1.25‌
(f)
1.06‌
66.4‌
(1.12‌)
(d)
13,585‌
1.97‌
(e)
2.23‌
(e),(f)
0.85‌
(e)
81.4‌
(e)
(1.86‌)
16,037‌
1.97‌
2.20‌
(f)
1.51‌
71.5‌
2.61‌
23,105‌
1.97‌
2.12‌
(f)
1.24‌
84.1‌
5.83‌
(g)
24,940‌
2.00‌
2.10‌
(f)
0.88‌
65.1‌
(1.55‌)
(g)
31,350‌
2.00‌
2.12‌
(f)
0.86‌
77.6‌
(13.98‌)
45,514‌
2.00‌
2.04‌
(f)
0.30‌
66.4‌
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
Total
return
is
calculated
without
the
front-end
sales
charge
or
contingent
deferred
sales
charge,
if
applicable.
(c)
Six
months
ended
February
29,
2020.
(d)
Total
return
amounts
have
not
been
annualized.
(e)
Computed
on
an
annualized
basis.
(f)
Excludes
expense
reimbursement
from
Manager.
(g)
Total
return
is
calculated
using
the
traded
net
asset
value
which
may
differ
from
the
reported
net
asset
value.
The
traded
net
asset
value
is
the
net
asset
value
which
a
shareholder
would
have
paid
or
received
from
a
subscription
or
redemption.
See
accompanying
notes.
136
Financial
Highlights
Principal
Funds,
Inc.
(unaudited)
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Tax
Return
of
Capital
Distribution
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
EDGE
MIDCAP
FUND
Class
A
shares
2020(c)
$
14.39‌
$
0.05‌
(
$
0.30‌)
(
$
0.25‌)
(
$
0.11‌)
(
$
0.50‌)
$
–‌
(
$
0.61‌)
$
13.53‌
2019(h)
11.98‌
0.06‌
2.35‌
2.41‌
–‌
–‌
–‌
–‌
14.39‌
GLOBAL
MULTI-STRATEGY
FUND
Class
A
shares
2020(c)
10.64‌
0.11‌
(
0.12‌)
(
0.01‌)
–‌
–‌
–‌
–‌
10.63‌
2019
11.09‌
0.18‌
(
0.02‌)
0.16‌
(
0.11‌)
(
0.47‌)
(
0.03‌)
(
0.61‌)
10.64‌
2018
11.28‌
0.11‌
(
0.01‌)
0.10‌
(
0.05‌)
(
0.24‌)
–‌
(
0.29‌)
11.09‌
2017
10.77‌
0.08‌
0.43‌
0.51‌
–‌
–‌
–‌
–‌
11.28‌
2016
10.91‌
0.01‌
0.14‌
0.15‌
(
0.06‌)
(
0.23‌)
–‌
(
0.29‌)
10.77‌
2015
11.04‌
(
0.06‌)
0.16‌
0.10‌
(
0.06‌)
(
0.17‌)
–‌
(
0.23‌)
10.91‌
Class
C
shares
2020(c)
10.31‌
0.07‌
(
0.11‌)
(
0.04‌)
–‌
–‌
–‌
–‌
10.27‌
2019
10.75‌
0.10‌
(
0.01‌)
0.09‌
(
0.03‌)
(
0.47‌)
(
0.03‌)
(
0.53‌)
10.31‌
2018
10.97‌
0.03‌
(
0.01‌)
0.02‌
–‌
(
0.24‌)
–‌
(
0.24‌)
10.75‌
2017
10.56‌
(
0.01‌)
0.42‌
0.41‌
–‌
–‌
–‌
–‌
10
.97‌
2016
10.73‌
(
0.07‌)
0.13‌
0.06‌
–‌
(
0.23‌)
–‌
(
0.23‌)
10.56‌
2015
10.90‌
(
0
.15‌)
0.15‌
–‌
–‌
(
0.17‌)
–‌
(
0.17‌)
10.73‌
See
accompanying
notes.
137
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
(unaudited)
Total
Return(b)
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Expenses
to
Average
Net
Assets
(Excluding
Dividends
and
Interest
Expense
on
Short
Sales,
Short
Sale
Fees
and
Reverse
Repurchase
Agreement
Expense)
Ratio
of
Gross
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
(2.34‌)
%
(d),(e)
$
9,737‌
1.10‌
%
(f)
N/A‌
1.61‌
%
(f),(g)
0.62‌
%
(f)
18.6‌
%
(f)
20.20‌
(d),(e)
5,587‌
1.10‌
(f)
N/A‌
3.67‌
(f),(g)
0.59‌
(f)
19.8‌
(f)
(0.09‌)
(d)
28,152‌
4.18‌
%
(f),(i)
2.13‌
(f),(i),(j)
4.22‌
(f),(g)
1.98‌
(f)
433.1‌
(f)
1.82‌
41,100‌
3.37‌
(i)
2
.02‌
(i),(j)
3.42‌
(g)
1.72‌
387.8‌
0.90‌
63,860‌
2.48‌
1.95‌
(j)
2.52‌
(g)
1.02‌
378.0‌
4.74‌
112,799‌
2.50‌
1.92‌
(j)
2.52‌
(g)
0.72‌
317.6‌
1.41‌
145,370‌
2.41‌
1.94‌
(j)
2.41‌
(g)
0.11‌
233.9‌
0.93‌
183,527‌
2.39‌
1.95‌
(j)
2.39‌
(g)
(0.55‌)
142.5‌
(0.39‌)
(d)
22,437‌
4.81‌
(f),(i)
2.76‌
(f),(i),(j)
5.01‌
(f),(g)
1.35‌
(f)
433.1‌
(f)
1.10‌
26,585‌
4.11‌
(i)
2.76‌
(i),(j)
4.21‌
(g)
0.99‌
387.8‌
0.16‌
41,343‌
3.26‌
2.73‌
(j)
3.30‌
(g)
0.24‌
378.0‌
3.88‌
48,130‌
3.31‌
2.73‌
(j)
3.33‌
(g)
(0.08‌)
317.6‌
0.61‌
56,557‌
3.22‌
2.75‌
(j)
3.24‌
(g)
(0.68‌)
233.9‌
0.05‌
60,317‌
3.19‌
2.75‌
(j)
3.21‌
(g)
(1.37‌)
142.5‌
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
Total
return
is
calculated
without
the
front-end
sales
charge
or
contingent
deferred
sales
charge,
if
applicable.
(c)
Six
months
ended
February
29,
2020.
(d)
Total
return
amounts
have
not
been
annualized.
(e)
Total
return
is
calculated
using
the
traded
net
asset
value
which
may
differ
from
the
reported
net
asset
value.
The
traded
net
asset
value
is
the
net
asset
value
which
a
shareholder
would
have
paid
or
received
from
a
subscription
or
redemption.
(f)
Computed
on
an
annualized
basis.
(g)
Excludes
expense
reimbursement
from
Manager.
(h)
Period
from
December
31,
2018,
date
operations
commenced,
through
August
31,
2019.
(i)
Includes
0.01%
of
expenses
associated
with
fund
investments.
The
expense
is
not
subject
to
the
Manager's
contractual
expense
limit.
(j)
Excludes
dividends
and
interest
expense
on
short
sales
and
short
sale
fees
and
reverse
repurchase
agreement
expense.
See
"Operating
Policies"
in
notes
to
financial
statements.
See
accompanying
notes.
138
Financial
Highlights
Principal
Funds,
Inc.
(unaudited)
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
INTERNATIONAL
SMALL
COMPANY
FUND
Class
A
shares
2020(c)
$
10.41‌
(
$
0.01‌)
(
$
0.09‌)
(
$
0.10‌)
(
$
0.28‌)
$
–‌
(
$
0.28‌)
2019
12.29‌
0.08‌
(
1.14‌)
(
1.06‌)
(
0.09‌)
(
0.73‌)
(
0.82‌)
2018
12.09‌
0.08‌
0.68‌
0.76‌
(
0.19‌)
(
0.37‌)
(
0.56‌)
2017
9.80‌
0.06‌
2.24‌
2.30‌
(
0.01‌)
–‌
(
0.01‌)
2016
9.59‌
0.06‌
0.27‌
0.33‌
(
0.12‌)
–‌
(
0.12‌)
2015
9.86‌
0.06‌
(
0.28‌)
(
0.22‌)
(
0.05‌)
–‌
(
0.05‌)
OPPORTUNISTIC
MUNICIPAL
FUND
Class
A
shares
2020(c)
11.26‌
0.18‌
0.32‌
0.50‌
(
0.18‌)
–‌
(
0.18‌)
2019
10.60‌
0.43‌
0.64‌
1.07‌
(
0.41‌)
–‌
(
0.41‌)
2018
10.65‌
0.42‌
(
0.07‌)
0.35‌
(
0.40‌)
–‌
(
0.40‌)
2017
11.03‌
0.40‌
(
0.40‌)
–‌
(
0.38‌)
–‌
(
0.38‌)
2016
10.20‌
0.38‌
0.82‌
1.20‌
(
0.37‌)
–‌
(
0.37‌)
2015
10.09‌
0.42‌
0.10‌
0.52‌
(
0.41‌)
–‌
(
0.41‌)
See
accompanying
notes.
139
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
(unaudited)
Net
Asset
Value,
End
of
Period
Total
Return(b)
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Expenses
to
Average
Net
Assets
(Excluding
Interest
Expense
and
Fees)
Ratio
of
Gross
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
$
10.03‌
(1.31‌)
%
(d)
$
4,301‌
1.60‌
%
(e)
N/A‌
2.26‌
%
(e),(f)
(0.14‌)
%
(e)
45.2‌
%
(e)
10.41‌
(7.70‌)
4,739‌
1.60‌
N/A‌
2.30‌
(f)
0.80‌
46.8‌
12.29‌
6.26‌
5,204‌
1.60‌
N/A‌
2.21‌
(f)
0.61‌
45.9‌
12.09‌
23.48‌
2,699‌
1.60‌
N/A‌
2.92‌
(f)
0.54‌
58.8‌
9.80‌
3.47‌
2,026‌
1.60‌
N/A‌
2.48‌
(f)
0.61‌
49.9‌
9.59‌
(2.23‌)
5,469‌
1.60‌
N/A‌
2.70‌
(f)
0.63‌
62.8‌
11.58‌
4.41‌
(d),(g)
58,664‌
0.92‌
%
(e)
0.84‌
(e),(h)
1.00‌
(e),(f)
3.18‌
(e)
73.4‌
(e)
11.26‌
10.36‌
53,756‌
0.98‌
0.86‌
(h)
1.09‌
(f)
4.01‌
66.1‌
10.60‌
3.37‌
46,667‌
1.00‌
0.90‌
(h)
1.02‌
(f)
3.94‌
76
.0‌
10.65‌
0.13‌
40,758‌
0.95‌
0.89‌
(h)
0.95‌
(f)
3.83‌
67.9‌
11.03‌
11.94‌
49,208‌
0
.95‌
0.90‌
(h)
0.97‌
(f)
3.52‌
53.5‌
10.20‌
5.17‌
22,568‌
0.96‌
0.90‌
(h)
1.10‌
(f)
4.06‌
54.9‌
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
Total
return
is
calculated
without
the
front-end
sales
charge
or
contingent
deferred
sales
charge,
if
applicable.
(c)
Six
months
ended
February
29,
2020.
(d)
Total
return
amounts
have
not
been
annualized.
(e)
Computed
on
an
annualized
basis.
(f)
Excludes
expense
reimbursement
from
Manager.
(g)
Total
return
is
calculated
using
the
traded
net
asset
value
which
may
differ
from
the
reported
net
asset
value.
The
traded
net
asset
value
is
the
net
asset
value
which
a
shareholder
would
have
paid
or
received
from
a
subscription
or
redemption.
(h)
Excludes
interest
expense
and
fees
paid
through
inverse
floater
agreements.
See
"Operating
Policies"
in
notes
to
financial
statements.
See
accompanying
notes.
140
Financial
Highlights
Principal
Funds,
Inc.
(unaudited)
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
ORIGIN
EMERGING
MARKETS
FUND
Class
A
shares
2020(c)
$
10
.63‌
$
0
.01‌
$
0
.50‌
$
0
.51‌
(
$
0
.15‌
)
$
–‌
(
$
0
.15‌
)
$
10
.99‌
2019
11
.28‌
0
.11‌
(
0
.68‌
)
(
0
.57‌
)
(
0
.08‌
)
–‌
(
0
.08‌
)
10
.63‌
2018
11
.74‌
0
.12‌
(
0
.52‌
)
(
0
.40‌
)
(
0
.06‌
)
–‌
(
0
.06‌
)
11
.28‌
2017
9
.07‌
0
.18‌
2
.52‌
2
.70‌
(
0
.03‌
)
–‌
(
0
.03‌
)
11
.74‌
2016
8
.55‌
0
.04‌
0
.56‌
0
.60‌
(
0
.08‌
)
–‌
(
0
.08‌
)
9
.07‌
2015(g)
10
.00‌
(
0
.03‌
)
(
1
.42‌
)
(
1
.45‌
)
–‌
–‌
–‌
8
.55‌
SMALL-MIDCAP
DIVIDEND
INCOME
FUND
Class
A
shares
2020(c)
13
.96‌
0
.15‌
(
0
.74‌
)
(
0
.59‌
)
(
0
.17‌
)
(
0
.10‌
)
(
0
.27‌
)
13
.10‌
2019
17
.84‌
0
.28‌
(
1
.92‌
)
(
1
.64‌
)
(
0
.35‌
)
(
1
.89‌
)
(
2
.24‌
)
13
.96‌
2018
16
.57‌
0
.34‌
1
.92‌
2
.26‌
(
0
.21‌
)
(
0
.78‌
)
(
0
.99‌
)
17
.84‌
2017
14
.95‌
0
.35‌
1
.60‌
1
.95‌
(
0
.33‌
)
–‌
(
0
.33‌
)
16
.57‌
2016
12
.73‌
0
.34‌
2
.44‌
2
.78‌
(
0
.30‌
)
(
0
.26‌
)
(
0
.56‌
)
14
.95‌
2015
14
.34‌
0
.37‌
(
1
.39‌
)
(
1
.02‌
)
(
0
.28‌
)
(
0
.31‌
)
(
0
.59‌
)
12
.73‌
Class
C
shares
2020(c)
13
.82‌
0
.09‌
(
0
.73‌
)
(
0
.64‌
)
(
0
.11‌
)
(
0
.10‌
)
(
0
.21‌
)
12
.97‌
2019
17
.68‌
0
.17‌
(
1
.90‌
)
(
1
.73‌
)
(
0
.24‌
)
(
1
.89‌
)
(
2
.13‌
)
13
.82‌
2018
16
.43‌
0
.21‌
1
.90‌
2
.11‌
(
0
.08‌
)
(
0
.78‌
)
(
0
.86‌
)
17
.68‌
2017
14
.84‌
0
.23‌
1
.60‌
1
.83‌
(
0
.24‌
)
–‌
(
0
.24‌
)
16
.43‌
2016
12
.65‌
0
.24‌
2
.41‌
2
.65‌
(
0
.20‌
)
(
0
.26‌
)
(
0
.46‌
)
14
.84‌
2015
14
.26‌
0
.26‌
(
1
.37‌
)
(
1
.11‌
)
(
0
.19‌
)
(
0
.31‌
)
(
0
.50‌
)
12
.65‌
See
accompanying
notes.
141
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
(unaudited)
Total
Return(b)
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Gross
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
4
.68‌
%
(d)
$
2,558‌
1
.60‌
%
(e)
2
.83‌
%
(e)
,(f)
0
.20‌
%
(e)
54
.6‌
%
(e)
(
4
.94‌
)
2,455‌
1
.66‌
2
.78‌
(f)
1
.08‌
59
.4‌
(
3
.49‌
)
4,384‌
1
.75‌
2
.28‌
(f)
0
.97‌
52
.3‌
29
.91‌
3,003‌
1
.75‌
5
.66‌
(f)
1
.83‌
66
.3‌
7
.03‌
401‌
1
.75‌
9
.54‌
(f)
0
.47‌
69
.0‌
(
14
.50‌
)
(d)
,(h)
210‌
1
.75‌
(e)
8
.96‌
(e)
,(f)
(
0
.50‌
)
(e)
86
.6‌
(e)
(
4
.49‌
)
(d)
132,186‌
1
.13‌
(e)
1
.19‌
(e)
,(f)
1
.96‌
(e)
29
.7‌
(e)
(
7
.83‌
)
147,402‌
1
.13‌
1
.19‌
(f)
1
.91‌
21
.9‌
13
.93‌
214,620‌
1
.13‌
1
.15‌
(f)
1
.98‌
31
.5‌
13
.17‌
232,872‌
1
.17‌
–‌
2
.15‌
25
.5‌
22
.61‌
207,431‌
1
.17‌
–‌
2
.56‌
25
.8‌
(
7
.28‌
)
167,966‌
1
.18‌
1
.18‌
(f)
2
.69‌
29
.3‌
(
4
.84‌
)
(d)
101,574‌
1
.88‌
(e)
1
.94‌
(e)
,(f)
1
.21‌
(e)
29
.7‌
(e)
(
8
.50‌
)
118,135‌
1
.88‌
1
.92‌
(f)
1
.16‌
21
.9‌
13
.08‌
170,893‌
1
.88‌
1
.90‌
(f)
1
.23‌
31
.5‌
12
.37‌
178,599‌
1
.92‌
1
.92‌
(f)
1
.41‌
25
.5‌
21
.57‌
165,335‌
1
.94‌
1
.94‌
(f)
1
.79‌
25
.8‌
(
7
.95‌
)
133,541‌
1
.97‌
1
.97‌
(f)
1
.90‌
29
.3‌
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
Total
return
is
calculated
without
the
front-end
sales
charge
or
contingent
deferred
sales
charge,
if
applicable.
(c)
Six
months
ended
February
29,
2020.
(d)
Total
return
amounts
have
not
been
annualized.
(e)
Computed
on
an
annualized
basis.
(f)
Excludes
expense
reimbursement
from
Manager.
(g)
Period
from
January
23,
2015,
date
operations
commenced,
through
August
31,
2015.
(h)
During
2015,
the
Class
experienced
a
significant
withdrawal
of
monies
by
an
affiliate.
As
the
remaining
shareholders
held
relatively
small
positions,
the
total
return
amounts
expressed
herein
are
greater
than
those
that
would
have
been
experienced
without
the
withdrawal.
See
accompanying
notes.
142
Financial
Highlights
Principal
Funds,
Inc.
(unaudited)
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)
(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Distributions
from
Realized
Gains
Total
Dividends
and
Distributions
Net
Asset
Value,
End
of
Period
SPECTRUM
PREFERRED
AND
CAPITAL
SECURITIES
INCOME
FUND
Class
A
shares
2020(c)
$
10
.30‌
$
0
.21‌
$
0
.14‌
$
0
.35‌
(
$
0
.24‌
)
$
–‌
(
$
0
.24‌
)
$
10
.41‌
2019
10
.06‌
0
.49‌
0
.26‌
0
.75‌
(
0
.51‌
)
–‌
(
0
.51‌
)
10
.30‌
2018
10
.53‌
0
.50‌
(
0
.46‌
)
0
.04‌
(
0
.49‌
)
(
0
.02‌
)
(
0
.51‌
)
10
.06‌
2017
10
.36‌
0
.49‌
0
.24‌
0
.73‌
(
0
.47‌
)
(
0
.09‌
)
(
0
.56‌
)
10
.53‌
2016
10
.24‌
0
.49‌
0
.19‌
0
.68‌
(
0
.47‌
)
(
0
.09‌
)
(
0
.56‌
)
10
.36‌
2015
10
.56‌
0
.50‌
(
0
.13‌
)
0
.37‌
(
0
.51‌
)
(
0
.18‌
)
(
0
.69‌
)
10
.24‌
Class
C
shares
2020(c)
10
.29‌
0
.17‌
0
.14‌
0
.31‌
(
0
.20‌
)
–‌
(
0
.20‌
)
10
.40‌
2019
10
.05‌
0
.42‌
0
.25‌
0
.67‌
(
0
.43‌
)
–‌
(
0
.43‌
)
10
.29‌
2018
10
.52‌
0
.42‌
(
0
.46‌
)
(
0
.04‌
)
(
0
.41‌
)
(
0
.02‌
)
(
0
.43‌
)
10
.05‌
2017
10
.35‌
0
.42‌
0
.23‌
0
.65‌
(
0
.39‌
)
(
0
.09‌
)
(
0
.48‌
)
10
.52‌
2016
10
.23‌
0
.42‌
0
.19‌
0
.61‌
(
0
.40‌
)
(
0
.09‌
)
(
0
.49‌
)
10
.35‌
2015
10
.55‌
0
.42‌
(
0
.13‌
)
0
.29‌
(
0
.43‌
)
(
0
.18‌
)
(
0
.61‌
)
10
.23‌
See
accompanying
notes.
143
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
(unaudited)
Total
Return(b)
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
3
.31‌
%
(d)
,(e)
$
790,833‌
1
.05‌
%
(f)
4
.13‌
%
(f)
10
.6‌
%
(f)
7
.80‌
732,421‌
1
.06‌
4
.96‌
19
.8‌
0
.32‌
655,225‌
1
.06‌
4
.83‌
12
.3‌
7
.31‌
732,471‌
1
.06‌
4
.81‌
16
.1‌
6
.89‌
883,381‌
1
.07‌
4
.83‌
13
.9‌
3
.67‌
712,591‌
1
.07‌
4
.79‌
16
.9‌
2
.91‌
(d)
,(e)
456,248‌
1
.82‌
(f)
3
.35‌
(f)
10
.6‌
(f)
6
.97‌
469,674‌
1
.81‌
4
.21‌
19
.8‌
(
0
.44‌
)
631,599‌
1
.81‌
4
.08‌
12
.3‌
6
.53‌
751,561‌
1
.81‌
4
.07‌
16
.1‌
6
.11‌
859,055‌
1
.81‌
4
.09‌
13
.9‌
2
.90‌
772,501‌
1
.82‌
4
.05‌
16
.9‌
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
Total
return
is
calculated
without
the
front-end
sales
charge
or
contingent
deferred
sales
charge,
if
applicable.
(c)
Six
months
ended
February
29,
2020.
(d)
Total
return
amounts
have
not
been
annualized.
(e)
Total
return
is
calculated
using
the
traded
net
asset
value
which
may
differ
from
the
reported
net
asset
value.
The
traded
net
asset
value
is
the
net
asset
value
which
a
shareholder
would
have
paid
or
received
from
a
subscription
or
redemption.
(f)
Computed
on
an
annualized
basis.
Shareholder
Expense
Example
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
144
As
a
shareholder
of
Principal
Funds,
Inc.,
you
incur
two
types
of
costs:
(1)
transaction
costs,
including
sales
charges
on
purchase
payments
and
contingent
deferred
sales
charges;
and
(2)
ongoing
costs,
including
management
fees;
distribution
fees;
and
other
fund
expenses.
This
Example
is
intended
to
help
you
understand
your
ongoing
costs
(in
dollars)
of
investing
in
Principal
Funds,
Inc.
and
to
compare
these
costs
with
the
ongoing
costs
of
investing
in
other
mutual
funds.
The
Example
is
based
on
an
investment
of
$1,000
invested
at
the
beginning
of
the
period
and
held
for
the
entire
period
(September
1,
2019
to
February
29,
2020),
unless
otherwise
noted.
Actual
Expenses
The
first
section
of
the
table
below
provides
information
about
actual
account
values
and
actual
expenses.
You
may
use
the
information
in
this
section,
together
with
the
amount
you
invested,
to
estimate
the
expenses
that
you
paid
over
the
period.
Simply
divide
your
account
value
by
$1,000
(for
example,
an
$8,600
account
value
divided
by
$1,000
=
8.6),
then
multiply
the
result
by
the
number
in
the
first
section
under
the
heading
entitled
“Expenses
Paid
During
Period”
to
estimate
the
expenses
you
paid
on
your
account
during
this
period.
Class
A
and
Class
C
shares
may
be
purchased
through
retirement
plans.
Such
plans
my
impose
fees
in
addition
to
those
charged
by
the
fund.
These
fees
are
not
included
in
the
table
below.
If
they
were,
the
estimate
of
expenses
you
paid
during
the
period
would
be
higher,
and
your
ending
account
value
lower,
by
this
amount.
Hypothetical
Example
for
Comparison
Purposes
The
second
section
of
the
table
below
provides
information
about
hypothetical
account
values
and
hypothetical
expenses
based
on
each
fund’s
actual
expense
ratio
and
an
assumed
rate
of
return
of
5%
per
year
before
expenses,
which
is
not
the
fund’s
actual
return.
The
hypothetical
account
values
and
expenses
may
not
be
used
to
estimate
the
actual
ending
account
balance
or
expenses
you
paid
for
the
period.
You
may
use
this
information
to
compare
the
ongoing
costs
of
investing
in
Principal
Funds,
Inc.
and
other
funds.
To
do
so,
compare
this
5%
hypothetical
example
with
the
5%
hypothetical
examples
that
appear
in
the
shareholder
reports
of
the
other
funds.
Please
note
that
the
expenses
shown
in
the
table
are
meant
to
highlight
your
ongoing
costs
only
and
do
not
reflect
any
transaction
costs,
such
as
sales
charges
on
purchase
payments,
contingent
deferred
sales
charges,
redemption
fees
or
exchange
fees.
Therefore,
the
second
section
of
the
table
is
useful
in
comparing
ongoing
costs
only,
and
will
not
help
you
determine
the
relative
total
costs
of
owning
different
funds.
In
addition,
if
these
transaction
costs
were
included,
your
costs
would
have
been
higher.
Actual
Hypothetical
Beginning
Account
Value
September
1,
2019
Ending
Account
Value
February
29,
2020
Expenses
Paid
During Period
September
1,
2019 to
February
29,
2020
(a)
Beginning
Account
Value
September
1,
2019
Ending
Account
Value
February
29,
2020 
Expenses
Paid
During Period
September
1,
2019 to
February
29,
2020
(a)
Annualized
Expense
Ratio
Blue
Chip
Fund
Class
A
$
1,000.00‌
$
1,054.88‌
$
4.75‌
$
1,000.00‌
$
1,020.24‌
$
4.67‌
0.93‌
%
Class
C
1,000.00‌
1,051.46‌
8.52‌
1,000.00‌
1,016.56‌
8.37‌
1.67‌
Diversified
Real
Asset
Fund
Class
A
1,000.00‌
992.54‌
6.04‌
1,000.00‌
1,018.80‌
6.12‌
1.22‌
Class
C
1,000.00‌
988.76‌
9.74‌
1,000.00‌
1,015.07‌
9.87‌
1.97‌
Edge
MidCap
Fund
Class
A
1,000.00‌
976.62‌
5.41‌
1,000.00‌
1,019.39‌
5.52‌
1.10‌
Global
Multi-Strategy
Fund
Class
A
1,000.00‌
999.06‌
20.78‌
1,000.00‌
1,004.08‌
20.83‌
4.18‌
Class
C
1,000.00‌
996.12‌
23.87‌
1,000.00‌
1,000.94‌
23.93‌
4.81‌
Global
Multi-Strategy
Fund
(
Excluding
Dividend
and
Interest
Expense
on
Shorts)
Class
A
1,000.00‌
999.
10‌
10.59‌
1,000.00‌
1,0
14.14‌
10.72‌
2.13‌
Class
C
1,000.00‌
996.1
0‌
13.70‌
1,000.00‌
1,0
10.97‌
13.90‌
2.76‌
International
Small
Company
Fund
Class
A
1,000.00‌
986.94‌
7.90‌
1,000.00‌
1,016.91‌
8.02‌
1.60‌
Opportunistic
Municipal
Fund
Class
A
1,000.00‌
1,044.10‌
4.68‌
1,000.00‌
1,020.29‌
4.62‌
0.92‌
Opportunistic
Municipal
Fund
(Excluding
Interest
Expense
and
Fees)
Class
A
1,000.00‌
1,044.10‌
4.27‌
1,000.00‌
1,020.63‌
4.23‌
0.84‌
Origin
Emerging
Markets
Fund
Class
A
1,000.00‌
1,046.84‌
8.14‌
1,000.00‌
1,016.91‌
8.02‌
1.60‌
Shareholder
Expense
Example
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
145
Actual
Hypothetical
Beginning
Account
Value
September
1,
2019
Ending
Account
Value
February
29,
2020
Expenses
Paid
During Period
September
1,
2019 to
February
29,
2020
(a)
Beginning
Account
Value
September
1,
2019
Ending
Account
Value
February
29,
2020 
Expenses
Paid
During Period
September
1,
2019 to
February
29,
2020
(a)
Annualized
Expense
Ratio
Small-MidCap
Dividend
Income
Fund
Class
A
$
1,000.00‌
$
955.07‌
$
5.49‌
$
1,000.00‌
$
1,019.24‌
$
5.67‌
1.13‌
%
Class
C
1,000.00‌
951.64‌
9.12‌
1,000.00‌
1,015.51‌
9.42‌
1.88‌
Spectrum
Preferred
and
Capital
Securities
Income
Fund
Class
A
1,000.00‌
1,033.09‌
5.31‌
1,000.00‌
1,019.64‌
5.27‌
1.05‌
Class
C
1,000.00‌
1,029.10‌
9.18‌
1,000.00‌
1,015.81‌
9.12‌
1.82‌
(a)
Expenses
are
equal
to
a
fund's
annualized
expense
ratio
multiplied
by
the
average
account
value
over
the
period,
multiplied
by
182/366
(to
reflect
the
one-half
year
period).
Principal
Funds,
Inc.
(unaudited)
146
Notification
of
Source
of
Distributions
Pursuant
to
Rule
19a-1
of
the
Investment
Company
Act
of
1940
As
noted
in
the
table
provided
below,
certain
of
the
Principal
Funds
made
distributions
for
the
month
of
December
2019
for
which
a
portion
is
estimated
to
be
in
excess
of
the
fund’s
current
and
accumulated
net
income.
As
of
December
2019,
the
estimated
sources
of
these
distributions
were
as
follows:
The
ultimate
composition
of
these
distributions
may
vary
from
the
estimates
provided
above
due
to
a
variety
of
factors
including
future
income
and
expenses,
and
realized
gains
and
losses
from
the
purchase
and
sale
of
securities.
Please
note
that
this
information
is
being
provided
to
satisfy
certain
notice
requirements
under
the
Investment
Company
Act
of
1940.
Tax
reporting
information
for
shareholders
of
the
funds
will
not
be
available
until
the
end
of
the
funds’
fiscal
year.
As
a
result,
shareholders
should
not
use
the
information
provided
in
this
notice
for
tax
reporting
purposes.
Notices
are
posted
monthly
on
our
website
at
principalfunds.com/sources-of-distribution
.
You
may
also
request
a
copy
of
such
notices,
free
of
charge,
by
telephoning
800-222-5852.
This
material
is
not
authorized
for
distribution
unless
preceded
or
accompanied
by
a
current
prospectus
that
includes
more
information
regarding
the
risk
factors,
expenses,
policies,
and
objectives
of
the
investment.
Contact
your
financial
professional
or
call
800-222-5852
to
obtain
another
copy
of
the
prospectus.
Read
the
prospectus
carefully
before
investing.
A
mutual
fund's
share
price
and
investment
return
will
vary
with
market
conditions,
and
the
principal
value
of
an
investment
when
you
sell
your
shares
may
be
more
or
less
than
the
original
cost.
Principal
Funds
are
distributed
by
Principal
Funds
Distributor,
Inc.
December
2019
Fund
Net
Income
Realized
Gain
Capital
Sources
Diversified
Real
Asset
Fund
89.51%
0.00%
10.49%
International
Small
Company
Fund
21.57
56.32
22.11
Origin
Emerging
Markets
Fund
88.81
0.00
11.19
147
FUND
DIRECTORS
AND
OFFICERS
Under
Maryland
law,
a
Board
of
Directors
oversees
the
Fund.
The
Directors
have
financial
or
other
relevant
experience
and
meet
several
times
during
the
year
to
review
contracts,
Fund
activities
and
the
quality
of
services
provided
to
the
Fund.
Each
director
also
has
the
same
position
with
Principal
Variable
Contracts
Funds,
Inc.,
Principal
Exchange-Traded
Funds,
and
Principal
Diversified
Select
Real
Asset
Fund
which
are
also
sponsored
by
Principal
Life
Insurance
Company.
Each
director
holds
office
for
an
indefinite
term
or
until
reaching
age
72.
Directors
considered
to
be
“interested
persons”
as
defined
in
the
Investment
Company
Act
of
1940,
as
shown
below
are
considered
to
be
interested
because
of
an
affiliation
with
the
Manager
and
Principal
Life
Insurance
Company.
The
following
directors
are
considered
not
to
be
“interested
persons”
as
defined
in
the
1940
Act
Name,
Position
Held
with
the
Fund,
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Number
of
Portfolios
in
Fund
Complex
Overseen
by
Director
Other
Directorships
Held
by
Director
During
Past
5
Years
Elizabeth
Ballantine
Director
since
2004
Member,
Nominating
and
Governance
Committee
1948
Principal,
EBA
Associates
127
Durango
Herald,
Inc.;
McClatchy
Newspapers,
Inc.
Leroy
T.
Barnes,
Jr.
Director
since
2012
Member,
Audit
Committee
Member,
Nominating
and
Governance
Committee
1951
Retired.
127
McClatchy
Newspapers,
Inc.;
Frontier
Communications,
Inc.;
formerly,
Herbalife
Ltd.
Craig
Damos
Lead
Independent
Director
since
2020
Director
since
2008
Member,
Nominating
and
Governance
Committee
Member,15(c)
Committee
Member,
Executive
Committee
1954
President,
C.P.
Damos
Consulting
LLC
127
None
Mark
A.
Grimmett
Director
since
2004
Member,
Audit
Committee
Member,
15(c)
Committee
Member,
Executive
Committee
1960
Formerly,
Executive
Vice
President
and
CFO,
Merle
Norman
Cosmetics,
Inc.
127
None
Fritz
S.
Hirsch
Director
since
2005
Member,
Nominating
and
Governance
Committee
Member,
Operations
Committee
Member,
15(c)
Committee
1951
Formerly,
CEO,
MAM
USA
127
MAM
USA
Tao
Huang
Director
since
2012
Member,
Operations
Committee
Member,
15(c)
Committee
1962
Retired.
127
Armstrong
World
Industries,
Inc.
and
Equity
Lifestyle
Properties,
Inc.
Karen
(“Karrie”)
McMillan
Director
since
2014
Member,
Operations
Committee
1961
Managing
Director,
Patomak
Global
Partners,
LLC
127
None
Elizabeth
A.
Nickels
Director
since
2015
Member,
Audit
Committee
1962
Retired.
127
SpartanNash;
formerly:
Charlotte
Russe;
Follet
Corporation;
PetSmart;
Spectrum
Health
Systems
Mary
M.
(“Meg”)
VanDeWeghe
Director
since
2018
Member,
Operations
Committee
1959
CEO
and
President,
Forte
Consulting,
Inc.
127
Denbury
Resources
Inc.
and
Helmerich
&
Payne;
Formerly:
Brown
Advisory;
B/E
Aerospace;
WP
Carey;
Nalco
(and
its
successor
Ecolab)
148
The
following
directors
are
considered
to
be
“interested
persons”
as
defined
in
the
1940
Act,
because
of
an
affiliation
with
the
Manager
and
Principal
Life.
Correspondence
intended
for
each
Director
who
is
other
than
an
Interested
Director
may
be
sent
to
655
9th
Street,
Des
Moines,
IA
50392.
Name,
Position
Held
with
the
Fund,
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Number
of
Portfolios
in
Fund
Complex
Overseen
by
Director
Other
Directorships
Held
by
Director
During
Past
5
Years
Timothy
M.
Dunbar
Chair
and
Director
since
2019
Member,
Executive
Committee
1957
Director,
PGI
since
2018
President,
Principal
Global
Asset
Management,
PGI,
Principal
Life
Insurance
Company
(“PLIC”),
Principal
Financial
Services,
Inc.
(“PFSI”),
and
Principal
Financial
Group
(“PFG”)
since
2018
Chair/Executive
Vice
President,
RobustWealth,
Inc.
since
2018
Director,
Post
Advisory
Group,
LLC
(“Post”)
since
2018
Executive
Vice
President/Chief
Investment
Officer,
PLIC,
PFSI
and
PFG
(2014-2018)
127
None
Patrick
Halter
Director
since
2017
1959
Chief
Executive
Officer
and
President,
PGI
since
2018
Chief
Operating
Officer,
PGI
(2017-2018)
Chair,
PGI
since
2018
Director,
PGI
(2003-2018)
Director,
Finisterre
Capital
LLP
since
2018
Director,
Origin
Asset
Management
LLP
since
2018
Chair,
Post
since
2017
Chief
Executive
Officer,
Principal
Real
Estate
Investors,
LLC
(“PREI”)
since
2005
Chair,
PREI
since
2004
Chair,
Spectrum
Asset
Management,
Inc.
since
2017
Director,
CCIP,
LLC
since
2017
127
None
149
The
following
table
presents
officers
of
the
Funds.
Name,
Position
Held
with
the
Fund,
Address,
and
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Randy
L.
Bergstrom
Assistant
Tax
Counsel
Des
Moines,
IA
50392
1955
Counsel,
PGI
Counsel,
PLIC
Kamal
Bhatia
President,
Chief
Executive
Officer
1972
President,
PFG,
PFSI,
and
PLIC
since
2019
Principal
Executive
Officer,
OC
Private
Capital
(2017-2019)
Senior
Vice
President,
OppenheimerFunds
(2011-
2019)
Jennifer
A.
Block
Deputy
Chief
Compliance
Officer
Des
Moines,
IA
50392
1973
Vice
President
and
Counsel
(2017-2018)
Assistant
Counsel
(2010-2017)
Assistant
Secretary
(2015-2018)
Counsel,
PGI
(2017-2018)
Counsel,
PLIC
(2009-2018)
Counsel,
PMC
(2014-2017)
Tracy
W.
Bollin
Chief
Financial
Officer
Des
Moines,
IA
50392
1970
Managing
Director,
PGI
since
2016
Chief
Operating
Officer,
PMC
(2015-2017)
Chief
Financial
Officer,
PFA
(2010-2015)
Senior
Vice
President,
PFD
since
2015
Chief
Financial
Officer,
PFD
(2010-2016)
Senior
Vice
President,
PMC
(2015–2017)
Chief
Financial
Officer,
PMC
(2010-2015)
Director,
PMC
(2014–2017)
Chief
Financial
Officer,
PSI
(2010-2015)
President,
PSS
since
2015
Chief
Financial
Officer,
PSS
(2010-2015)
Gina
L.
Graham
Treasurer
Des
Moines,
IA
50392
1965
Vice
President/Treasurer,
PFA
since
2016
Vice
President/Treasurer,
PFD
since
2016
Vice
President/Treasurer,
PGI
since
2016
Vice
President/Treasurer,
PLIC
since
2016
Vice
President/Treasurer,
PMC
(2016-2017)
Vice
President/Treasurer,
PREI
since
2016
Vice
President/Treasurer,
PSI
since
2016
Vice
President/Treasurer,
PSS
since
2016
Laura
B.
Latham
Assistant
Counsel
and
Assistant
Secretary
Des
Moines,
IA
50392
1986
Counsel,
PGI
since
2018
Prior
thereto,
Attorney
in
Private
Practice
Diane
K.
Nelson
AML
Officer
Des
Moines,
IA
50392
1965
Chief
Compliance
Officer/AML
Officer,
PSS
since
2015
Compliance
Advisor,
PMC
(2013-2015)
Sara
L.
Reece
Vice
President
and
Controller
Des
Moines,
IA
50392
1975
Director
-
Accounting,
PLIC
since
2015
Assistant
Financial
Controller,
PLIC
prior
to
2015
Teri
R.
Root
Chief
Compliance
Officer
Des
Moines,
IA
50392
1979
Interim
Chief
Compliance
Officer
(2018)
Deputy
Chief
Compliance
Officer
(2015-2018)
Deputy
Chief
Compliance
Officer,
PGI
since
2017
Vice
President
and
Chief
Compliance
Officer,
PMC
(2015–2017)
Vice
President,
PSS
since
2015
Britney
L.
Schnathorst
Assistant
Counsel
and
Assistant
Secretary
Des
Moines,
IA
50392
1981
Counsel,
PLIC
since
2013
150
The
15(c)
Committee’s
primary
purpose
is
to
assist
the
Board
in
performing
the
annual
review
of
the
Fund’s
advisory
and
sub-advisory
agreements
pursuant
to
Section
15(c)
of
the
1940
Act.
The
Committee
responsibilities
include
requesting
and
reviewing
materials.
The
Audit
Committee’s
primary
purpose
is
to
assist
the
Board
in
fulfilling
certain
of
its
responsibilities.
The
Audit
Committee
serves
as
an
independent
and
objective
party
to
monitor
the
Fund
Complex’s
accounting
policies,
financial
reporting
and
internal
control
system,
as
well
as
the
work
of
the
independent
registered
public
accountants.
The
Audit
Committee
assists
Board
oversight
of
1)
the
integrity
of
the
Fund
Complex’s
financial
statements;
2)
the
Fund
Complex’s
compliance
with
certain
legal
and
regulatory
requirements;
3)
the
independent
registered
public
accountants’
qualifications
and
independence;
and
4)
the
performance
of
the
Fund
Complex’s
independent
registered
public
accountants.
The
Audit
Committee
also
provides
an
open
avenue
of
communication
among
the
independent
registered
public
accountants,
the
Manager’s
internal
auditors,
Fund
Complex
management,
and
the
Board.
The
Executive
Committee’s
primary
purpose
is
to
exercise
certain
powers
of
the
Board
when
the
Board
is
not
in
session.
When
the
Board
is
not
in
session,
the
Committee
may
exercise
all
powers
of
the
Board
in
the
management
of
the
business
of
the
Fund
Complex
except
the
power
to
1)
authorize
dividends
or
distributions
on
stock;
2)
issue
stock,
except
as
permitted
by
law;
3)
recommend
to
the
stockholders
any
action
which
requires
stockholder
approval;
4)
amend
the
bylaws;
or
5)
approve
any
merger
or
share
exchange
which
does
not
require
stockholder
approval.
The
Nominating
and
Governance
Committee’s
primary
purpose
is
to
oversee
the
structure
and
efficiency
of
the
Board
and
the
committees
established
by
the
Board.
The
Committee
responsibilities
include
evaluating
Board
membership
and
functions,
committee
membership
and
functions,
insurance
coverage,
and
legal
matters.
The
nominating
functions
of
the
Committee
include
selecting
and
nominating
all
candidates
who
are
not
“interested
persons”
of
the
Fund
Complex
for
election
to
the
Board.
Generally,
the
Committee
requests
director
nominee
suggestions
from
the
committee
members
and
management.
In
addition,
the
Committee
will
consider
Director
candidates
recommended
by
shareholders
of
the
Fund
Complex.
Recommendations
should
be
submitted
in
writing
to
Principal
Funds,
Inc.
at
711
High
Street,
Des
Moines,
IA
50392.
When
evaluating
a
person
as
a
potential
nominee
to
serve
as
an
Independent
Director,
the
Committee
will
generally
consider,
among
other
factors:
age;
education;
relevant
business
experience;
geographical
factors;
whether
the
person
is
“independent”
and
Name,
Position
Held
with
the
Fund,
Address,
and
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Adam
U.
Shaikh
Assistant
Counsel
Des
Moines,
IA
50392
1972
Assistant
General
Counsel,
PGI
since
2018
Counsel,
PGI
(2017-2018)
Counsel,
PLIC
since
2006
Counsel,
PMC
(2014-2017)
John
L.
Sullivan
Assistant
Counsel
and
Assistant
Secretary
Des
Moines,
IA
50392
1970
Counsel,
PGI
since
2019
Prior
thereto,
Attorney
in
Private
Practice
Dan
L.
Westholm
Assistant
Treasurer
Des
Moines,
IA
50392
1966
Assistant
Vice
President/Treasurer,
PGI
since
2017
Assistant
Vice
President/Treasury,
PFA
since
2013
Assistant
Vice
President/Treasury,
PFD
since
2013
Assistant
Vice
President/Treasury,
PLIC
since
2014
Assistant
Vice
President/Treasury,
PMC
(2013-
2017)
Assistant
Vice
President/Treasury,
PSI
since
2013
Assistant
Vice
President/Treasury,
PSS
since
2013
Beth
C.
Wilson
Vice
President
and
Secretary
Des
Moines,
IA
50392
1956
Director
and
Secretary
–
Funds,
PLIC
Clint
L.
Woods
Counsel,
Vice
President,
and
Assistant
Secretary
Des
Moines,
IA
50392
1961
Of
Counsel
(2017-2018)
Vice
President
(2016-2017)
Counsel
(2015-2017)
Vice
President,
PLIC
since
2015
Associate
General
Counsel,
Governance
Officer,
and
Assistant
Corporate
Secretary,
PLIC
since
2013
Jared
Yepsen
Assistant
Tax
Counsel
Des
Moines,
IA
50392
1981
Counsel,
PGI
since
2017
Counsel,
PLIC
since
2015
Senior
Attorney,
Transamerica
Life
Insurance
Company
(2013-2015)
151
otherwise
qualified
under
applicable
laws
and
regulations
to
serve
as
a
director;
and
whether
the
person
is
willing
to
serve,
and
willing
and
able
to
commit
the
time
necessary
for
attendance
at
meetings
and
the
performance
of
the
duties
of
an
independent
director.
The
Committee
also
meets
personally
with
the
nominees
and
conducts
a
reference
check.
The
final
decision
is
based
on
a
combination
of
factors,
including
the
strengths
and
the
experience
an
individual
may
bring
to
the
Board.
The
Committee
believes
the
Board
generally
benefits
from
diversity
of
background,
experience
and
views
among
its
members,
and
considers
these
factors
in
evaluating
the
composition
of
the
Board.
The
Board
does
not
use
regularly
the
services
of
any
professional
search
firms
to
identify
or
evaluate
or
assist
in
identifying
or
evaluating
potential
candidates
or
nominees.
The
Operations
Committee’s
primary
purpose
is
to
oversee
the
provision
of
administrative
and
distribution
services
to
the
Funds
Complex,
communications
with
the
Fund
Complex’s
shareholders,
and
review
and
oversight
of
the
Fund
Complex’s
operations.
Additional
information
about
the
Fund
is
available
in
the
Prospectus
dated
December
1,
2019,
and
the
Statement
of
Additional
Information
dated
December
1,
2019.
These
documents
may
be
obtained
free
of
charge
by
writing
Principal
Funds,
Inc.,
P.O.
Box
8024,
Boston,
MA
02266-8024
or
telephoning
1-800-222-5852.
The
prospectus
may
be
viewed
at
www.PrincipalFunds.com/prospectuses.
PROXY
VOTING
POLICIES
A
description
of
the
policies
and
procedures
the
Fund
uses
to
determine
how
to
vote
proxies
relating
to
portfolio
securities
and
the
results
of
the
proxy
votes
for
the
most
recent
twelve
months
ended
June
30
may
be
obtained
free
of
charge
by
telephoning
1-800-222-5852,
or
on
the
SEC
website
at
www.sec.gov.
SCHEDULES
OF
INVESTMENTS
The
Fund
files
complete
schedules
of
investments
with
the
Securities
and
Exchange
Commission
as
of
November
30
and
May
31
each
year
as
a
part
of
Form
N-PORT.
The
Fund’s
Form
N-PORT
can
be
reviewed
and
copied
at
the
Commission’s
Public
Reference
Room
in
Washington,
D.C.
or
on
the
Commission’s
website
at
www.sec.gov.
Information
on
the
operation
of
the
Public
Reference
Room
may
be
obtained
by
calling
the
Commission
at
1-202-551-8090.
STATEMENT
REGARDING
LIQUIDITY
RISK
MANAGEMENT
PROGRAM
On
June
1,
2019,
a
Liquidity
Risk
Management
Program
(the
“Program”)
was
adopted
by
the
Fund.
The
Board
is
expected
to
review
the
operation
and
effectiveness
of
the
Program
in
June
2020.
152
BOARD
CONSIDERATION
OF
INVESTMENT
ADVISORY
CONTRACTS
During
the
period
covered
by
this
report,
the
Board
of
Directors
of
Principal
Funds,
Inc.
(“PFI”)
approved
the
annual
review
and
renewal
of
the
Management
Agreement
and
various
subadvisory
agreements
for
all
Funds.
Annual
Review
and
Renewal
of
Management
Agreement
and
Subadvisory
Agreements
At
its
September
10,
2019
meeting,
the
Board
performed
its
annual
review
and
renewal
process
relating
to
the
Management
Agreement
and
the
Sub-advisory
Agreements
for
all
Funds.
Section
15(c)
of
the
Investment
Company
Act
of
1940
(the
“1940
Act”)
requires
the
Board,
including
a
majority
of
the
Directors
who
have
no
direct
or
indirect
interest
in
the
investment
advisory
agreements
and
who
are
not
“interested
persons”
of
PFI,
as
defined
in
the
1940
Act
(the
“Board”),
annually
to
review
and
to
consider
the
continuation
of:
(1)
the
Management
Agreement
between
Principal
Global
Investors,
LLC
(the
“Manager”)
and
PFI,
on
behalf
of
each
of
the
fifteen
(15)
series
of
PFI
(each
series
is
referred
to
as
a
“Fund”)
(2)
the
Sub-advisory
Agreements
between
the
Manager
and
each
of
BlackRock
Financial
Management,
Inc.;
BlackRock
International
Limited;
BNP
Paribas
Asset
Management
USA,
Inc.;
ClearBridge
RARE
infrastructure
(North
America)
Pty
Limited;
Columbus
Circle
Investors;
Credit
Suisse
Asset
Management,
LLC;
Delaware
Investments
Fund
Advisers;
Finisterre
Capital
LLP;
Gotham
Asset
Management,
LLC;
Graham
Capital
Management,
L.P.;
KLS
Diversified
Asset
Management
LP;
Loomis,
Sayles
&
Company,
L.P.;
Los
Angeles
Capital
Management
and
Equity
Research,
Inc.;
Mellon
Investments
Corporation;
Origin
Asset
Management
LLP;
Pictet
Asset
Management
SA;
Principal
Real
Estate
Investors,
LLC;
Sound
Point
Capital
Management,
LP;
Spectrum
Asset
Management,
Inc.;
Symphony
Asset
Management
LLC;
Tortoise
Capital
Advisors,
L.L.C.;
Wellington
Management
Company
LLP;
and
York
Registered
Holdings,
L.P.;
(collectively,
the
“Subadvisors”).
The
Management
Agreement
and
the
Subadvisory
Agreements
are
collectively
referred
to
as
the
“Advisory
Agreements.”
The
Board
considered
the
factors
and
reached
the
conclusions
described
below
relating
to
the
continuation
of
the
Advisory
Agreements.
In
evaluating
the
Advisory
Agreements,
the
Board
reviewed
a
broad
range
of
information
requested
for
this
purpose,
including,
among
other
information,
information
regarding
performance,
advisory
fees,
total
expenses,
profitability
from
the
Advisory
Agreements
to
the
Manager
and
information
about
economies
of
scale.
The
Board
reviewed
the
materials
provided
and
concluded
that
it
was
provided
all
information
reasonably
necessary
to
evaluate
the
Advisory
Agreements.
Management
Agreement
The
Board
considered,
among
other
factors,
that
the
Manager,
along
with
Principal
Management
Corporation,
the
previous
investment
advisor
to
the
Funds
that
merged
with
and
into
the
Manager
on
May
1,
2017,
and
its
affiliates
have
demonstrated
a
long-term
commitment
to
support
the
Funds,
including
undertakings
to
cap
Fund
expenses
and/or
waive
management
fees
for
certain
Funds.
In
addition,
the
Board
considered
the
following
factors
for
each
of
the
Funds.
The
Board
concluded
that
a
relationship
with
a
capable
and
conscientious
investment
adviser
is
in
the
best
interests
of
each
Fund.
The
Board
considered
the
nature,
quality
and
extent
of
the
services
provided
under
the
Management
Agreements,
including
accounting
and
administrative
services,
as
applicable.
The
Board
considered
the
experience
and
skills
of
senior
management
leading
Fund
operations,
the
experience
and
skills
of
the
personnel
performing
the
functions
under
the
Management
Agreements
and
the
resources
made
available
to
such
personnel,
the
ability
of
the
Manager
to
attract
and
retain
high-quality
personnel
and
the
organizational
depth
and
stability
of
the
Manager.
The
Board
concluded
that
appropriate
resources
were
provided
under
the
Management
Agreements.
The
Board
also
considered
that
for
certain
Funds,
during
the
periods
reviewed,
the
Manager
had
delegated
day-to-day
portfolio
management
responsibility
to
the
sub-advisors.
The
Board
noted
that
the
Manager’s
process
for
the
selection
of
Sub-advisors
emphasizes
the
selection
of
Principal-affiliated
sub-advisors
that
are
determined
to
be
qualified
under
the
Manager’s
due
diligence
process,
but
that
the
Manager
will
select
an
unaffiliated
sub
advisor
to
manage
all
or
a
portion
of
a
Fund’s
investment
portfolio
when
deemed
necessary
or
appropriate
based
upon
a
consideration
of
the
Fund’s
investment
mandate
and
available
expertise
and
resources
within
the
Principal
organization.
With
respect
to
Funds
with
unaffiliated
sub
advisors,
the
Board
considered
the
due
diligence
process
developed
by
the
Manager
for
purposes
of
selecting
a
qualified
unaffiliated
sub-advisor
for
a
Fund.
The
Board
considered
the
Manager’s
due
diligence
process
for
monitoring
and
replacing
Sub-
advisors
and
for
monitoring
the
investment
performance
of
the
Manager.
The
Board
also
considered
the
compliance
program
established
by
the
Manager
for
the
Funds,
the
quality
of
that
program
and
the
Funds’
compliance
history.
The
Board
noted
that
they
had
reviewed
and
discussed
information
regarding
the
cost
and
quality
of
Fund
portfolio
transactions,
including
best
execution
and
soft
dollar
reports
and
information
regarding
the
research
payment
accounts
for
applicable
Funds,
and
included
this
information
in
their
consideration
of
the
renewal
of
the
Advisory
Agreements.
Based
upon
all
relevant
factors,
the
Board
concluded
that
the
nature,
quality
and
extent
of
the
services
provided
by
the
Manager
to
the
Funds
under
each
Management
Agreement
were
satisfactory.
Investment
Performance
The
Board
reviewed
each
Fund’s
investment
performance
over
longer-term
periods,
reviewing
both
the
investment
return
during
the
three-
year
period
ended
March
31,
2019
and
the
blended
investment
return
(50%/50%)
of
the
three-
and
five-year
periods
ended
March
31,
2019,
and
compared
those
returns
to
various
agreed-upon
performance
measures,
including,
for
all
Funds
peer
group
data
based
upon
a
broad-
based,
industry
category
determined
by
Broadridge
(“Performance
Universe”).
153
For
Funds
or
Sub-advisors
that
did
not
have
a
three-year
or
five-year
performance
history,
the
Board
reviewed
performance
for
a
one-year
or
three-year
period
ended
March
31,
2019,
respectively,
if
available.
The
Board
also
compared
each
Fund’s
investment
performance
over
the
one-,
three-
and
five-year
periods
ended
March
31,
2019,
as
available,
to
one
or
more
relevant
benchmark
indices.
The
Board
noted
that
certain
Funds
had
commenced
operations
recently
and,
accordingly,
no
or
limited
performance
information
was
considered.
The
Board
also
considered
whether
investment
results
were
consistent
with
a
Fund’s
investment
objective(s)
and
policies.
For
most
Funds,
the
Board
concluded
that
the
Fund’s
investment
returns
met
acceptable
levels
of
investment
performance.
There
were
certain
Funds,
and
certain
Sub-advisors
for
multi-manager
Funds,
that
had
not
attained
during
the
relevant
period(s)
a
level
of
investment
performance
considered
satisfactory
by
the
Board.
For
such
Funds,
the
Board
also
considered
other
factors,
such
as
the
longer-
term
performance
of
each
such
Fund
or
Sub-advisor,
remedial
efforts
being
taken
to
improve
performance
and/or
the
Manager’s
explanation
for
the
performance
of
such
Fund
or
Sub
advisor.
The
Board
considered
the
Manager’s
due
diligence
process
for
evaluating
the
performance
of
all
Funds
and
all
Sub-advisors,
for
which
they
received
regular
reporting,
and
concluded
that
the
Manager
has
in
place
an
effective
due
diligence
process
to
monitor
investment
performance,
to
encourage
remedial
action
and
to
make
changes
in
the
Sub
advisors
at
the
appropriate
time,
if
necessary.
Investment
Management
Fees
The
Board
considered
each
Fund’s
management
fee
rate.
For
each
Fund,
the
Board
received
certain
information
from
Broadridge.
The
Board
received
information
comparing
each
Fund’s
(1)
contractual
management
fee
rate
at
current
asset
levels
and
at
theoretical
asset
levels,
(2)
net
management
fee
rate
(after
any
fee
waivers)
at
average
fiscal-year
asset
levels,
(3)
actual
non-management
fee
rate
at
average
fiscal-year
asset
levels,
and
(4)
total
net
expense
ratio
(including,
as
applicable,
acquired
fund
fees
and
expenses
and
after
any
expense
caps
or
fee
waivers)
at
average
fiscal-year
asset
levels
for
Class
A
shares,
in
each
case
as
available,
to
investment
advisory
fee
rates
and
expense
ratios
of
funds
in
a
peer
group
selected
by
Broadridge
(“Expense
Group”),
and,
if
available,
a
broad-based,
industry
category
defined
by
Broadridge
(“Expense
Universe”).
The
Board
considered
that
the
Capital
Securities
fund
does
not
pay
a
management
fee.
For
Funds
that
did
not
offer
Class
A
shares
or
if
Class
A
shares
represented
less
than
5%
of
the
Fund’s
total
assets,
the
information
provided
was
based
upon
Institutional
Class
shares.
In
evaluating
the
management
fee
rates,
the
Board
considered
a
variety
of
factors,
including
the
fee
rates,
breakpoints,
comparisons
to
fee
rates
of
peer
group
funds
and
other
funds
and
non
fund
accounts
managed
by
the
Manager,
sub-advisory
fee
rates
paid,
services
provided,
investment
performance,
total
net
expense
ratios,
profitability,
the
existence
and
sharing
of
economies
of
scale,
fall-out
benefits
and
expense
caps
and
fee
waivers.
The
Board
considered
the
impact
of
changes
in
sub-advisory
fee
rates
put
into
effect
since
September
2018.The
Board
considered
that
certain
Funds
with
similar
investment
strategies
and
policies
have
different
management
fees
and
noted
the
reasons
cited
by
the
Manager
for
the
differing
fees.
For
most
Funds,
actual
management
fees
were
within
the
third
quartile
or
better
when
compared
to
their
Expense
Group.
For
some
Funds,
although
actual
management
fees
were
higher
than
the
third
quartile,
total
net
expense
ratios
were
within
the
third
quartile
or
better.
Profitability
The
Board
reviewed
detailed
information
regarding
revenues
PGI
received
under
the
Management
Agreements
and
the
estimated
direct
and
indirect
costs
incurred
in
providing
to
each
Fund
the
services
described
in
the
applicable
Management
Agreements
for
the
year
ended
December
31,
2018.
The
Board
also
considered
the
returns
on
revenue
generated
in
connection
with
the
payment
of
sub-advisory
fees
to
affiliated
Sub-advisors
(Columbus
Circle
Investors,
Finisterre
Capital
LLP,
Origin
Asset
Management
LLP,
Principal
Real
Estate
Investors
LLC
and
Spectrum
Asset
Management,
Inc.)
and
the
aggregated
return
on
revenue
to
PGI
and
its
affiliates
for
the
year
ended
December
31,
2018.
The
Board
concluded
that
the
management
fee
for
each
Fund
was
reasonable,
taking
into
account
the
profitability
information
presented
by
the
Manager.
Economies
of
Scale
The
Board
considered
whether
there
are
economies
of
scale
with
respect
to
the
management
of
each
Fund
and
whether
the
Funds
benefit
from
any
such
economies
of
scale.
The
Board
considered
the
Manager’s
biennial
breakpoint
study
that
was
received
by
the
Board
in
March
2018
and
the
Manager’s
representation
that
Funds
are
initially
priced
as
though
the
Fund
had
reached
scale,
reflecting
a
sharing
of
economies
of
scale.
The
Board
then
reviewed
the
levels
at
which
breakpoints
occur,
the
incremental
declines
in
management
fee
rates
at
each
breakpoint
and
the
amount
of
fee
reductions
that
had
been
provided
to
shareholders
as
a
result
of
these
breakpoints.
The
Board
considered
cost
saving
passed
along
to
the
Funds
as
a
result
of
certain
expense
caps
and
fee
waivers.
The
Board
considered
whether
the
effective
management
fee
rate
for
each
Fund
under
the
applicable
Management
Agreement
is
reasonable
in
relation
to
the
asset
size
of
such
Fund.
The
Board
also
noted
management’s
explanation
of
efficiencies
in
the
Manager’s
cost
structure.
The
Board
concluded
that
the
fee
schedule
for
each
Fund,
taking
into
account
the
proposed
amendments
described
above,
reflects
an
appropriate
level
of
sharing
of
any
economies
of
scale.
The
Board
also
noted
that
the
management
fee
schedules
for
the
Bond
Market
Index
Fund
and
International
Equity
Index
Fund
do
not
include
breakpoints,
but
each
such
Fund
has
a
relatively
low
management
fee
rate
(25
basis
points
or
less)
on
all
Fund
assets.
Considering
all
relevant
factors,
including
the
level
of
the
fee,
the
Board
determined
that
no
breakpoints
were
necessary
at
this
time.
154
Other
Benefits
to
Manager
The
Board
also
considered
the
character
and
amount
of
other
incidental
benefits
received
by
the
Manager
and
its
affiliates
from
their
relationships
with
the
Funds.
The
Board
concluded
that
the
incidental
benefits
received
by
the
Manager
and
its
affiliates
were
appropriate.
Special
Circumstances
For
certain
Funds,
in
reaching
the
conclusion
that
the
Management
Agreement
should
be
renewed,
the
Board
included
within
their
considerations
certain
actions
previously
taken
by
the
Board.
Subadvisory
Agreements
Nature,
Quality
and
Extent
of
Services
The
Board
considered
the
nature,
quality
and
extent
of
the
services
provided
under
each
Sub
advisory
Agreement.
The
Board
considered
the
reputation,
qualifications
and
background
of
the
Sub-advisor,
the
investment
approach
of
the
Sub-advisor,
the
experience
and
skills
of
investment
personnel
responsible
for
the
day-to-day
management
of
each
Fund
and
the
resources
made
available
to
such
personnel.
The
Board
also
considered
the
Sub-advisors’
compliance
with
investment
policies
and
general
legal
compliance.
Based
upon
all
relevant
factors,
the
Board
concluded
that
the
nature,
quality
and
extent
of
the
services
provided
by
the
Sub-advisors
to
the
sub-advised
Funds
under
the
Sub-
advisory
Agreements
are
satisfactory.
With
respect
to
each
Sub-advisory
Agreement
for
which
management
proposed
an
amendment
that
would
result
in
a
reduction
in
the
sub-
advisory
fee
rate,
the
Board
considered
the
Manager’s
representation
that
the
amendment
would
not
reduce
the
nature,
quality
or
extent
of
the
services
the
Sub-advisor
provides
and
that
the
Sub-advisor’s
obligations
under
the
Sub
advisory
Agreement
would
remain
the
same
in
all
material
respects.
Investment
Performance
As
to
each
sub-advised
Fund,
the
Manager
had
advised
the
Board
that
the
investment
services
delivered
by
each
Sub-advisor
to
the
Fund
were
reasonable.
Based
upon
all
relevant
factors,
the
Board
concluded
that
each
Sub-advisor
is
qualified
and
that
either:
(1)
the
investment
performance
of
the
Sub-advisor
met
acceptable
levels
of
investment
performance;
or
(2)
although
the
Fund
experienced
underperformance
from
the
applicable
Sub-advisor,
based
upon
that
Fund’s
particular
circumstances
or
in
light
of
remedial
efforts
being
taken
to
improve
performance,
as
applicable,
it
was
in
the
best
interests
of
the
Fund
to
continue
to
closely
monitor
performance
and
to
renew
the
Sub-advisory
Agreement.
In
each
case
involving
underperformance,
the
Board
concluded
that
the
Manager
was
providing
effective
monitoring.
Fees,
Economies
of
Scale
and
Profitability
For
each
sub-advised
Fund,
the
Board
considered
the
sub-advisory
fee
rates,
noting
that
the
Manager
compensates
each
Sub-advisor
from
its
own
management
fee,
so
that
shareholders
pay
only
the
management
fee.
For
each
sub-advised
Fund,
the
Board
received
certain
information
from
Broadridge
comparing
each
such
Fund’s
sub-advisory
fee
rate
at
current
asset
levels
and
at
theoretical
asset
levels
to
sub-advisory
fee
rates
of
sub
advised
funds
in
the
Expense
Group
and,
if
available,
the
Expense
Universe.
The
Board
considered
that
the
Capital
Securities
Fund
does
not
receive
a
subadvisory
fee.
The
Board
considered
whether
there
are
economies
of
scale
with
respect
to
the
sub-advisory
services
provided
to
each
sub-advised
Fund
and,
if
so,
whether
the
sub-advisory
fees
reflect
such
economies
of
scale
through
breakpoints
in
fee
schedules
or
whether
the
sub-advisory
fee
schedule
is
otherwise
appropriate
at
current
asset
levels.
In
addition,
in
evaluating
the
sub
advisory
fee
rates
and
the
factor
of
profitability,
with
respect
to
unaffiliated
Sub-advisors,
the
Board
considered
that
the
sub-advisory
fee
rate
was
negotiated
at
arm’s
length
between
the
Manager
and
the
Sub-advisor.
The
Board
considered
the
profitability
of
the
affiliated
Sub
advisors
in
conjunction
with
their
review
of
the
profitability
of
the
Manager.
Other
Benefits
to
Sub-advisors
The
Board
also
considered
the
character
and
amount
of
other
incidental
benefits
received
by
each
Sub-advisor
when
evaluating
the
sub
advisory
fees.
The
Board
considered
as
a
part
of
this
analysis
each
Sub-advisor’s
brokerage
practices,
soft
dollar
practices
and
use
of
research
payment
accounts.
The
Board
concluded
that
the
incidental
benefits
received
by
each
Sub
advisor
were
appropriate.
Overall
Conclusions
Based
upon
all
of
the
information
considered
and
the
conclusions
reached,
the
Board
determined
that
the
terms
of
each
Advisory
Agreement,
including
the
fee
rate
payable
thereunder,
continue
to
be
fair
and
reasonable
and
that
the
continuation
of
each
Advisory
Agreement,
with
the
actions
proposed
by
the
Manager,
is
in
the
best
interests
of
each
Fund.
155
Special
Meeting
of
Shareholders
Principal
Funds,
Inc.
Held
December
18,
2019
1.
Approval
of
a
Plan
of
Acquisition
providing
for
the
reorganization
of
the
Global
Opportunities
Fund
into
the
Diversified
International
Fund.
For
Against
Abstain
Global
Opportunities
Fund
2,744,466.553
70,693.110
22,094.224
Principal
Funds
Distributor,
Inc.
711
High
Street
Des
Moines,
IA
50392-6370
Do
not
use
this
address
for
business
correspondence
principalfunds.com
Investing
involves
risk,
including
possible
loss
of
principal.
This
shareholder
report
is
published
as
general
information
for
the
shareholders
of
Principal
Funds.
This
material
is
not
authorized
for
distribution
unless
preceded
or
accompanied
by
a
current
prospectus
or
a
summary
prospectus
that
includes
more
information
regarding
the
risk
factors,
expenses,
policies,
and
objectives
of
the
funds.
Investors
should
read
the
prospectus
or
summary
prospectus
carefully
before
investing.
To
obtain
a
prospectus
or
summary
prospectus,
please
contact
your
financial
professional
or
call
800-222-5852.
Principal
Funds
are
distributed
by
Principal
Funds
Distributor,
Inc.
Principal,
Principal
and
symbol
design,
and
Principal
Financial
Group
are
registered
trademarks
and
services
marks
of
Principal
Financial
Services,
Inc.,
a
Principal
Financial
Group
company.
©
2020
Principal
Financial
Services,
Inc.
|
FV674-10
|
02/2020
|
729338
Principal
Capital
Securities
Fund
Class
S
Shares
Semiannual
Report
February
29,
2020
Beginning
on
January
1,
2021,
as
permitted
by
regulations
adopted
by
the
Securities
and
Exchange
Commission,
paper
copies
of
the
Fund’s
annual
and
semi-annual
shareholder
reports
will
no
longer
be
sent
by
mail,
unless
you
specifically
request
paper
copies
of
the
report
from
the
Fund
or
your
financial
intermediary,
such
as
a
broker-dealer
or
bank.
Instead,
the
reports
will
be
made
available
on
a
website,
and
you
will
be
notified
by
mail
each
time
a
report
is
posted
and
provided
with
a
website
link
to
access
the
report.
If
you
already
elected
to
receive
such
reports
electronically,
you
will
not
be
affected
by
this
change
and
you
do
not
need
to
take
any
action.
If
you
have
not
previously
elected
electronic
delivery,
you
may
elect
to
receive
reports
and
other
communications
from
the
Fund
electronically
by
visiting
our
website
at
www.principalfunds.com/edelivery
for
instructions
on
enrolling
in
eDelivery
or
calling
800-222-5852.
If
you
own
these
shares
through
a
financial
intermediary,
you
may
contact
your
financial
intermediary.
You
may
elect
to
receive
all
future
reports
in
paper
free
of
charge.
If
you
wish
to
continue
receiving
paper
copies
of
your
reports,
you
can
inform
the
Fund
by
calling
800-222-5852.
If
you
own
these
shares
through
a
financial
intermediary,
you
may
contact
your
financial
intermediary
or
follow
instructions
included
with
this
disclosure
to
elect
to
continue
to
receive
paper
copies
of
reports.
Your
election
to
receive
reports
in
paper
will
apply
to
all
funds
with
the
Fund
complex
or
to
the
shares
you
own
through
your
financial
intermediary.
Rev.
01/2020
EE11865PFI-03
FACTS
WHAT
DOES
PRINCIPAL
FUNDS
DO
WITH
YOUR
PERSONAL
INFORMATION?
Why?
Financial
companies
choose
how
they
share
your
personal
information.
Federal
law
gives
consumers
the
right
to
limit
some
but
not
all
sharing.
Federal
law
also
requires
us
to
tell
you
how
we
collect,
share,
and
protect
your
personal
information.
Please
read
this
notice
carefully
to
understand
what
we
do.
What?
The
types
of
personal
information
we
collect
and
share
depend
on
the
product
or
service
you
have
with
us.
This
information
can
include:
•
Social
Security
number
and
income
•
Assets
and
transaction
history
•
Account
transactions
and
account
balances
When
you
are
no
longer
our
customer,
we
continue
to
share
your
information
as
described
in
this
notice
How?
All
financial
companies
need
to
share
customers’
personal
information
to
run
their
everyday
business.
In
the
section
below,
we
list
the
reasons
financial
companies
can
share
their
customers’
personal
information;
the
reasons
Principal
Funds
chooses
to
share;
and
whether
you
can
limit
this
sharing.
REASONS
WE
CAN
SHARE
YOUR
PERSONAL
INFORMATION
DOES
PRINCIPAL
FUNDS
SHARE?
CAN
YOU
LIMIT
THIS
SHARING?
For
our
everyday
business
purposes
—such
as
to
process
your
transactions,
maintain
your
account(s),
respond
to
court
orders
and
legal
investigations,
or
report
to
credit
bureaus
Yes
No
For
our
marketing
purposes
—to
offer
our
products
and
services
to
you
Yes
No
For
joint
marketing
with
other
financial
companies
No
We
don’t
share
For
our
affiliates’
everyday
business
purposes
—
information
about
your
transactions
and
experiences
Yes
No
For
our
affiliates’
everyday
business
purposes
—
information
about
your
creditworthiness
No
We
don’t
share
For
nonaffiliates
to
market
to
you
No
We
don’t
share
Questions?
Call
1-800-222-5852
or
go
to
www.principalfunds.com/customer-support/contact-us
Page
2
EE11865PFI-03
|
01/2020
Who
we
are
Who
is
providing
this
notice?
Principal
Funds
includes
Principal
Funds,
Inc.,
Principal
Funds
Distributor,
Inc.,
and
Principal
Diversified
Select
Real
Asset
Fund.
What
we
do
How
does
Principal
Funds
protect
my
personal
information?
To
protect
your
personal
information
from
unauthorized
access
and
use,
we
use
security
measures
that
comply
with
federal
law.
These
measures
include
computer
safeguards
and
secured
files
and
buildings.
How
does
Principal
Funds
collect
my
personal
information?
We
collect
your
personal
information,
for
example,
when
you
•
Open
an
account
or
seek
advice
about
your
investments
•
Direct
us
to
buy
securities
or
make
deposits,
or
withdrawals
from
your
account
•
Give
us
your
contact
information
or
show
your
government
issued
ID
We
also
collect
your
personal
information
from
others,
such
as
affiliates,
or
other
companies.
Why
can’t
I
limit
all
sharing?
Federal
law
gives
you
the
right
to
limit
only
•
sharing
for
affiliates’
everyday
business
purposes—information
about
your
creditworthiness
•
affiliates
from
using
your
information
to
market
to
you
•
sharing
for
nonaffiliates
to
market
to
you
State
laws
and
individual
companies
may
give
you
additional
rights
to
limit
sharing.
Definitions
Affiliates
Companies
related
by
common
ownership
or
control.
They
can
be
financial
and
nonfinancial
companies.
•
Our
affiliates
include
companies
of
Principal
Financial
Group
®
Nonaffiliates
Companies
not
related
by
common
ownership
or
control.
They
can
be
financial
and
nonfinancial
companies.
•
Principal
Funds
does
not
share
with
nonaffiliates
so
they
can
market
to
you.
Joint
marketing
A
formal
agreement
between
nonaffiliated
financial
companies
that
together
market
financial
products
or
services
to
you.
•
Principal
Funds
does
not
jointly
market.
Other
important
information
This
Privacy
Notice
governs
information
that
you
provide
to
Principal
(or
that
we
otherwise
receive)
when
you
apply
for
or
receive
a
product
or
service
used
primarily
for
personal,
family
or
household
purposes.
We
may
collect
additional
information
depending
on
the
nature
of
your
relationship
with
Principal
or
if
you
interact
with
us
through
our
website
or
other
digital
technologies.
Details
about
how
we
protect
and
use
this
additional
information,
including
information
about
your
privacy
rights
under
California
law
such
as
the
California
Consumer
Privacy
Act,
are
available
online
at
www.principal.com/privacy-policies
.
If
you
do
not
have
access
to
www.principal.com/privacy-policies,
please
contact
us
at
1-800-986-3343
to
have
a
copy
mailed
to
you.
Table
of
Contents
Not
FDIC
or
NCUA
insured
May
lose
value
•
Not
a
deposit
•
No
bank
or
credit
union
guarantee
Not
insured
by
any
Federal
government
agency
Financial
Statements
1
Notes
to
Financial
Statements
4
Schedule
of
Investments
10
Financial
Highlights
(includes
performance
information)
16
Shareholder
Expense
Example
18
Supplemental
Information
19
Statement
of
Assets
and
Liabilities
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
1
See
accompanying
notes.
Amounts
in
thousands,
except
per
share
amounts
Capital
Securities
Fund
Investment
in
securities--at
cost
......................................................................................................................
$
671,798‌
Investment
in
affiliated
Funds--at
cost
...............................................................................................................
$
36,599‌
Assets
Investment
in
securities--at
value 
......................................................................................................................
$
699,569‌
(a)
Investment
in
affiliated
Funds--at
value
................................................................................................................
36,599‌
Receivables:
Dividends
and
interest
.............................................................................................................................
10,864‌
Expense
reimbursement
from
Manager
...........................................................................................................
31‌
Fund
shares
sold
...................................................................................................................................
8,069‌
Total
Assets  
755,132‌
Liabilities
Accrued
transfer
agent
fees
.............................................................................................................................
39‌
Accrued
professional
fees
...............................................................................................................................
26‌
Accrued
other
expenses
.................................................................................................................................
4‌
Cash
overdraft
...........................................................................................................................................
1‌
Payables:
Fund
shares
redeemed
.............................................................................................................................
2,104‌
Collateral
obligation
on
securities
loaned,
at
value
.....................................................................................................
2,298‌
Total
Liabilities  
4,472‌
Net
Assets
Applicable
to
Outstanding
Shares
........................................................................................................
$
750,660‌
Net
Assets
Consist
of:
Capital
shares
and
additional
paid-in-capital
...........................................................................................................
$
730,441‌
Total
distributable
earnings
(accumulated
loss)
.........................................................................................................
20,219‌
Total
Net
Assets 
$
750,660‌
Capital
Stock
(par
value:
$.01
per
share):
Shares
authorized
........................................................................................................................................
500,000‌
Net
Asset
Value
Per
Share:
Class
S
:
Net
Assets
......................................................................................................................................
$
750,660‌
Shares
Issued
and
Outstanding
....................................................................................................................
72,524‌
Net
Asset
Value
per
share
.........................................................................................................................
$
10
.35‌
(a)
Includes
fair
market
value
of
securities
loaned,
see
"Securities
Lending"
in
Notes
to
Financial
Statements.
Statement
of
Operations
Principal
Funds,
Inc.
Six
Months
Ended
February
29,
2020
(unaudited)
2
See
accompanying
notes.
Amounts
in
thousands
Capital
Securities
Fund
Net
Investment
Income
(Loss)
Income:
Dividends
from
affiliated
Funds
......................................................................................................................
$
168‌
Dividends
..............................................................................................................................................
(
811‌
)
Interest
.................................................................................................................................................
17,378‌
Securities
lending
-
net
................................................................................................................................
31‌
Total
Income
16,766‌
Expenses:
Registration
fees
-
Class
S
............................................................................................................................
13‌
Shareholder
reports
-
Class
S
.........................................................................................................................
4‌
Transfer agent
fees
-
Class
S
..........................................................................................................................
126‌
Custodian
fees
.........................................................................................................................................
4‌
Directors'
expenses
....................................................................................................................................
6‌
Professional fees
......................................................................................................................................
18‌
Other
expenses
........................................................................................................................................
3‌
Total
Gross
Expenses
174‌
Less:
Reimbursement
from
Manager
-
Class
S
.......................................................................................................
174‌
Total
Net
Expenses
–‌
Net
Investment
Income
(Loss)
16,766‌
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments
Net
realized
gain
(loss)
from:
Investment
transactions
...............................................................................................................................
952‌
Net
change
in
unrealized
appreciation/(depreciation)
of:
Investments
............................................................................................................................................
12,765‌
Net
Realized
and
Unrealized
Gain
(Loss)
on
investments
13,717‌
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
$
30,483‌
Statement
of
Changes
in
Net
Assets
Principal
Funds,
Inc.
(unaudited)
3
See
accompanying
notes.
Amounts
in
thousands
Capital
Securities
Fund
Period
Ended
February
29,
2020
Year
Ended
August
31,
2019
Operations
Net
investment
income
(loss)
.......................................................................................................
$
16,766‌
$
33,282‌
Net
realized
gain
(loss)
on
investments
.............................................................................................
952‌
(
2,808‌
)
Net
change
in
unrealized
appreciation/depreciation
of
investments
................................................................
12,765‌
17,274‌
Net
Increase
(Decrease)
in
Net
Assets
Resulting
from
Operations
30,483‌
47,748‌
Dividends
and
Distributions
to
Shareholders
From
net
investment
income
and
net
realized
gain
on
investments
................................................................
(
19,635‌
)
(
32,876‌
)
Total
Dividends
and
Distributions
(
19,635‌
)
(
32,876‌
)
Capital
Share
Transactions
Net
increase
(decrease)
in
capital
share
transactions
...............................................................................
91,380‌
89,114‌
Total
Increase
(Decrease)
in
Net
Assets
102,228‌
103,986‌
Net
Assets
Beginning
of
period
.................................................................................................................
648,432‌
544,446‌
End
of
period
.......................................................................................................................
$
750,660‌
$
648,432‌
Class
S
Capital
Share
Transactions:
Period
Ended
February
29,
2020
Dollars:
Sold
...........................................................................................................
$
155,834‌
Reinvested
......................................................................................................
12,449‌
Redeemed
.......................................................................................................
(
76,903‌
)
Net
Increase
(Decrease)
.............................................................................................
$
91,380‌
Shares:
Sold
...........................................................................................................
14,990‌
Reinvested
......................................................................................................
1,201‌
Redeemed
.......................................................................................................
(
7,416‌
)
Net
Increase
(Decrease)
.............................................................................................
8,775‌
Year
Ended
August
31,
2019
Dollars:
Sold
...........................................................................................................
$
225,728‌
Reinvested
......................................................................................................
21,352‌
Redeemed
.......................................................................................................
(
157,966‌
)
Net
Increase
(Decrease)
.............................................................................................
$
89,114‌
Shares:
Sold
...........................................................................................................
23,051‌
Reinvested
......................................................................................................
2,184‌
Redeemed
.......................................................................................................
(
16,226‌
)
Net
Increase
(Decrease)
.............................................................................................
9,009‌
Dividends
and
Distributions
to
Shareholders:
Period Ended
February
29,
2020
From
net
investment
income
and
net
realized
gain
on
investments
...............................................................
$
(
19,635‌
)
Total
Dividends
and
Distributions
$
(
19,635‌
)
Year
Ended
August
31,
2019
From
net
investment
income
and
net
realized
gain
on
investments
...............................................................
$
(
32,876‌
)
Total
Dividends
and
Distributions
$
(
32,876‌
)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
4
1.
Organization
Principal
Funds,
Inc.
(the
"Fund")
is
registered
under
the
Investment
Company
Act
of
1940,
as
amended,
as
an
open-end
management
investment
company
and
operates
as
a
series
fund
in
the
mutual
fund
industry.
The
financial
statements
for
Capital
Securities
Fund
(the
“fund”)
are
presented
herein.
The
fund
is
an
investment
company
and
applies
specialized
accounting
and
reporting
under
Accounting
Standards
Codification
(“ASC”)
Topic
946,
Financial
Services
-
Investment
Companies
.
The
fund
has
not
provided
financial
support,
and
is
not
contractually
required
to
provide
financial
support
to
any
investee.
2.
Significant
Accounting
Policies
The
preparation
of
financial
statements
in
conformity
with
U.S.
generally
accepted
accounting
principles
(“U.S.
GAAP”)
requires
management
to
make
estimates
and
assumptions
that
affect
the
reported
amounts
of
assets
and
liabilities
and
disclosure
of
contingent
assets
and
liabilities
at
the
date
of
the
financial
statements
and
the
reported
amounts
of
revenues
and
expenses
during
the
reporting
period.
Actual
results
could
differ
from
those
estimates.
The
following
summarizes
the
significant
accounting
policies
of
the
Fund:
Security
Valuation.
The
fund
may
invest
in
the
Institutional
shares
of
Principal
Government
Money
Market
Fund
(“Underlying
Fund”),
another
series
the
Fund.
Investments
in
the
Underlying
Fund
are
valued
at
the
closing
net
asset
value
per
share
of
the
Underlying
Fund
on
the
day
of
valuation.
The
fund
values
securities
for
which
market
quotations
are
readily
available
at
fair
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
such
as
current
quotations
by
broker/dealers,
coupon,
maturity,
quality,
type
of
issue,
trading
characteristics,
other
yield
and
risk
factors,
and
other
market
conditions
to
determine
an
evaluated
bid
price
or,
in
the
case
of
certain
credit
default
swaps,
a
mean
price
provided
by
a
pricing
service.
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
Global
Investors,
LLC
(the
“Manager”)
under
procedures
established
and
periodically
reviewed
by
the
Fund’s
Board
of
Directors.
Income
and
Investment
Transactions.
The
fund
records
investment
transactions
on
a
trade
date
basis.
The
identified
cost
basis
has
been
used
in
determining
the
net
realized
gain
or
loss
from
investment
transactions
and
unrealized
appreciation
or
depreciation
of
investments.
The
fund
records
dividend
income
on
the
ex-dividend
date.
Interest
income
is
recognized
on
an
accrual
basis.
Discounts
and
premiums
on
securities
are
accreted/amortized,
respectively,
on
the
level
yield
method
over
the
expected
lives
of
the
respective
securities.
Expenses.
Expenses
directly
attributed
to
the
fund
are
charged
to
the
fund.
Other
Fund
expenses
not
directly
attributed
to
a
particular
fund
are
apportioned
among
the
registered
investment
companies
managed
by
the
Manager.
In
addition
to
the
expenses
that
the
fund
bears
directly,
the
fund
may
indirectly
bear
a
pro
rata
share
of
the
fees
and
expenses
of
the
Underlying
Fund
in
which
it
invests.
Expenses
included
in
the
statement
of
operations
reflect
the
expenses
of
the
fund
and
do
not
include
any
expenses
associated
with
the
Underlying
Fund.
Distributions
to
Shareholders.
Dividends
and
distributions
to
shareholders
of
the
fund
are
recorded
on
the
ex-dividend
date.
Dividends
and
distributions
to
shareholders
from
net
investment
income
and
net
realized
gain
from
investments
are
determined
in
accordance
with
federal
tax
regulations,
which
may
differ
from
U.S.
GAAP.
These
differences
are
primarily
due
to
differing
treatments
for
losses
deferred
due
to
wash
sales
and
certain
preferred
securities,
and
utilization
of
earnings
and
profits
distributed
to
shareholders
on
redemption
of
shares.
Permanent
book
and
tax
basis
differences
are
reclassified
within
the
capital
accounts
based
on
federal
tax-basis
treatment;
temporary
differences
do
not
require
reclassification.
To
the
extent
dividends
and
distributions
exceed
current
and
accumulated
earnings
and
profits
for
federal
income
tax
purposes,
they
are
reported
as
return
of
capital
distributions.
Federal
Income
Taxes.
No
provision
for
federal
income
taxes
is
considered
necessary
because
the
fund
intends
to
qualify
as
a
“regulated
investment
company”
under
the
Internal
Revenue
Code
and
intends
to
distribute
each
year
substantially
all
of
its
net
investment
income
and
realized
capital
gains
to
shareholders.
Management
evaluates
tax
positions
taken
or
expected
to
be
taken
in
the
course
of
preparing
the
fund’s
tax
returns
to
determine
whether
it
is
“more
likely
than
not”
that
each
tax
position
would
be
sustained
upon
examination
by
a
taxing
authority
based
on
the
technical
merits
of
the
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
5
position.
Tax
positions
not
deemed
to
meet
the
“more
likely
than
not”
threshold
would
be
recorded
as
a
tax
benefit
or
expense
in
the
current
year.
During
the
period
ended
February
29,
2020
,
the
fund
did
not
record
any
such
tax
benefit
or
expense
in
the
accompanying
financial
statements.
The
statute
of
limitations
remains
open
for
the
fiscal
years
2016
–
2018.
Foreign
Taxes.
The
fund
is
subject
to
foreign
income
taxes
imposed
by
certain
countries
in
which
it
invests.
Foreign
income
taxes
are
accrued
by
the
fund
as
a
reduction
of
income.
This
amount
is
shown
as
withholding
tax
on
the
statement
of
operations.
Recent
Accounting
Pronouncements.
In
August
2018,
the
Financial
Accounting
Standards
Board
issued
Accounting
Standards
Update
(“ASU”)
No.
2018-13
Fair
Value
Measurement
(Topic
820):
Disclosure
Framework
-
Changes
to
the
Disclosure
Requirements
for
Fair
Value
Measurement
,
which
amends
and
eliminates
certain
disclosure
requirements
for
fair
value
as
part
of
its
framework
project.
The
ASU
is
effective
for
annual
and
interim
periods
beginning
after
December
15,
2019.
The
early
adoption
of
the
removal
or
modification
of
disclosures
and
delay
of
adoption
of
the
additional
disclosures
is
permitted.
As
of
August
31,
2019,
the
fund
has
adopted
the
removal
and
modification
of
disclosures.
In
March
2017,
the
Financial
Accounting
Standards
Board
issued
ASU
No.
2017-08,
Premium
Amortization
on
Purchased
Callable
Debt
Securities
,
which
amends
the
accounting
standards
to
shorten
the
amortization
period
of
certain
purchased
callable
debt
securities
to
the
earliest
call
date.
The
ASU
is
effective
for
annual
and
interim
periods
beginning
after
December
15,
2018.
The
fund
has
adopted
the
new
amendment
as
of
September
1,
2019.
The
adoption
of
the
ASU
resulted
in
a
cumulative
effective
adjustment
to
components
within
total
distributable
earnings
(accumulated
loss)
on
the
statement
of
assets
and
liabilities
as
of
the
beginning
of
the
fiscal
year.
This
cumulative
effective
adjustment
did
not
impact
the
fund’s
net
assets.
3.
Operating
Policies
Borrowings.
Pursuant
to
an
exemptive
order
issued
by
the
Securities
and
Exchange
Commission
(the
“SEC”),
the
fund
and
other
registered
investment
companies
managed
by
the
Manager
may
participate
in
an
interfund
lending
facility
(“Facility”).
The
Facility
allows
the
fund
to
borrow
money
from
or
loan
money
to
the
other
participants.
Loans
under
the
Facility
are
made
to
handle
unusual
and/or
unanticipated
short-term
cash
requirements.
Interest
paid
and
received
on
borrowings
is
the
average
of
the
current
repurchase
agreement
rate
and
the
bank
loan
rate
(the
higher
of
(i)
the
Federal
Funds
Rate
or
(ii)
the
One
Month
London
Interbank
Offered
Rate
(“LIBOR”)
rate
plus
1.00%).
The
interest
income
received
is
included
in
interest
income
on
the
statement
of
operations.
The
interest
expense
associated
with
this
borrowing
is
included
in
other
expenses
on
the
statement
of
operations.
The
fund
did
not
borrow
from
the
Facility
during
the
period
and
there
were
no
outstanding
loans
as
of
February
29,
2020
.
During
the
period
ended
February
29,
2020,
the
fund’s
lending
to
the
Facility
was
as
follows
(amounts
in
thousands):
In
addition,
the
fund
participates
with
other
registered
investment
companies
managed
by
the
Manager
in
an
unsecured
joint
line
of
credit
with
a
bank,
which
allows
the
participants
to
borrow
up
to
$100
million,
collectively.
Borrowings
are
made
solely
to
facilitate
the
handling
of
unusual
and/or
unanticipated
short-term
cash
requirements.
Interest
is
charged
to
each
participant,
based
on
its
borrowings,
at
a
rate
equal
to
the
higher
of
the
Federal
Funds
Rate
or
the
One
Month
LIBOR
rate
plus
1.00%.
Additionally,
a
commitment
fee
is
charged
at
an
annual
rate
of
0.15%
on
the
amount
of
the
line
of
credit
which
is
allocated
to
each
participating
fund
based
on
average
net
assets.
The
interest
expense
associated
with
these
borrowings
is
included
in
other
expenses
on
the
statement
of
operations.
There
were
no
outstanding
borrowings
against
the
line
of
credit
as
of
February
29,
2020
.
During
the
period
ended
February
29,
2020,
the
fund’s
borrowing
against
the
line
of
credit
was
as
follows
(amounts
in
thousands):
Contingent
Convertible
Securities.
The
fund
invests
in
contingent
convertible
securities
(“CoCos”).
CoCos
are
hybrid
debt
securities
that
may
convert
into
equity
or
have
their
principal
written
down
upon
the
occurrence
of
certain
“triggers.”
Although
a
contingent
convertible
security’s
equity
conversion
and
principal
write-down
features
are
tailored
to
the
particular
issuing
banking
institution
and
its
regulatory
requirements,
triggers
are
generally
linked
to
regulatory
capital
thresholds
or
regulatory
actions
calling
into
question
such
institution’s
continued
viability
as
a
going-concern.
CoCos
may
have
no
stated
maturity
and
fully
discretionary
coupons,
which
means
coupon
payments
Average
Daily
Amount
Loaned
Weighted
Average
Annual
Interest
Rate
Capital
Securities
Fund
$
193
2.16%
Average
Daily
Borrowing
Balance
Weighted
Average
Annual
Interest
Rate
Capital
Securities
Fund
$
10
3.46%
2.
Significant
Accounting
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
6
can
be
canceled
at
the
issuing
banking
institution’s
discretion
or
at
the
request
of
the
relevant
regulatory
authority
without
causing
a
default.
To
provide
the
appropriate
regulatory
capital
treatment,
CoCos
are
usually
issued
in
the
form
of
subordinated
debt
instruments
that
rank
junior
to
the
claims
of
holders
of
more
senior
obligations
in
the
event
of
the
issuer’s
liquidation.
If
CoCos
are
converted
into
equity
securities
due
to
a
trigger
event,
holders
will
be
further
subordinated.
The
future
value
of
CoCos
is
unpredictable
and
is
influenced
by
many
factors
including,
without
limitation:
the
creditworthiness
of
the
issuer
and/or
fluctuations
in
such
issuer’s
applicable
capital
ratios;
supply
and
demand
for
CoCos;
general
market
conditions
and
available
liquidity;
and
economic,
financial
and
political
events
that
affect
the
issuer,
its
particular
market
or
the
financial
markets
in
general.
Due
to
these
features,
CoCos
may
have
substantially
greater
risk
than
other
securities
in
times
of
financial
stress.
Because
of
the
uncertainty
regarding
whether
a
conversion
event
will
occur,
it
may
be
difficult
to
predict
when,
if
at
all,
a
contingent
convertible
security
will
be
converted
to
equity,
and
a
fund
may
suffer
losses
as
a
result.
If
the
trigger
level
is
breached,
the
issuer’s
decision
to
write
down,
write
off
or
convert
a
contingent
convertible
security
may
result
in
the
fund's
complete
loss
on
an
investment
in
CoCos
with
no
chance
of
recovery
even
if
the
issuer
remains
in
existence.
Indemnification.
Under
the
Fund’s
by-laws,
present
and
past
officers,
directors,
and
employees
are
indemnified
against
certain
liabilities
arising
out
of
the
performance
of
their
duties.
In
addition,
in
the
normal
course
of
business,
the
Fund
may
enter
into
a
variety
of
contracts
that
may
contain
representations
and
warranties
which
provide
general
indemnifications.
The
Fund’s
maximum
exposure
under
these
arrangements
is
unknown,
as
this
would
involve
future
claims
that
may
be
made
against
the
Fund. 
Securities
Lending.
To
earn
additional
income,
the
fund
may
lend
portfolio
securities
to
approved
brokerage
firms.
The
fund
receives
collateral,
in
the
form
of
cash,
against
the
loaned
securities.
During
the
period
of
the
loan,
the
borrower
must
maintain
collateral
in
an
amount
not
less
than
102%
of
the
market
value
of
domestic
and
foreign
fixed
income
loaned
securities
and
105%
of
the
market
value
of
the
foreign
equity
loaned
securities.
The
market
value
of
the
loaned
securities
is
determined
at
the
close
of
business
of
the
fund
and
any
additional
required
collateral
is
delivered
to
the
fund
on
the
next
business
day.
The
cash
collateral
received
is
usually
invested
in
a
SEC-registered
money
market
mutual
fund
and
the
fund
could
realize
a
loss
on
such
investments.
Further,
the
fund
could
experience
a
delay
in
recovering
its
securities
and
possible
loss
of
income
or
value
if
the
borrower
fails
to
return
them.
Security
lending
income,
net
of
related
fees,
is
shown
on
the
statement
of
operations.
As
of
February
29,
2020
,
the
fund
had
securities
on
loan
as
follows
(amounts
in
thousands):
4.
Fair
Valuation
Fair
value
is
defined
as
the
price
that
the
fund
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
fund
may
use
one
or
more
of
the
following
approaches:
market,
income
and/or
cost.
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
fund.
Unobservable
inputs
are
inputs
that
reflect
the
fund’s
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.
Level
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.
Level
2
–
Other
significant
observable
inputs
(including
quoted
prices
for
similar
investments,
interest
rates,
prepayment
speeds,
credit
risk,
etc.).
Investments
which
are
generally
included
in
this
category
include
corporate
bonds,
senior
floating
rate
interests,
and
municipal
bonds.
Level
3
–
Significant
unobservable
inputs
(including
the
fund’s
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
Market
Value
Collateral
Value
Capital
Securities
Fund
$
2,138
$
2,298
3.
Operating
Policies
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
7
of
fair
value
requires
more
judgment.
Accordingly,
the
degree
of
judgment
exercised
by
the
fund
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
fund
uses
prices
and
inputs
that
are
current
as
of
the
measurement
date,
when
available.
Investments
which
are
included
in
the
Level
3
category
may
be
valued
using
indicative
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.
Benchmark
pricing
procedures
set
the
base
price
of
a
security
based
on
current
market
data.
The
base
price
may
be
a
broker-
dealer
quote,
transaction
price,
or
internal
value
based
on
relevant
market
data.
The
fair
values
of
these
securities
are
dependent
on
economic,
political,
and
other
considerations.
The
values
of
such
securities
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
(“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
at
least
monthly
and
reports
directly
to
the
Board
of
Directors.
A
pricing
group
(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
approaches
established
for
each
asset
class.
The
Pricing
Group
will
consider
all
appropriate
information
available
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
fund
(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
following
is
a
summary
of
the
inputs
used
as
of
February
29,
2020
in
valuing
the
fund’s
securities
carried
at
value
(amounts
in
thousands):
*For
additional
detail
regarding
sector
classifications,
please
see
the
schedule
of
investments
Fund
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Totals
(Level
1,2,3)
Capital
Securities
Fund
Bonds*
$
—
$
662,242
$
—
$
662,242
Investment
Companies
38,897
—
—
38,897
Preferred
Stocks
Communications
2,927
7,329
—
10,256
Energy
3,892
—
—
3,892
Financial
13,052
—
—
13,052
Government
1,701
5,202
—
6,903
Utilities
926
—
—
926
Total
investments
in
securities
$
61,395
$
674,773
$
—
$
736,168
4.
Fair
Valuation
(continued)
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
8
5.
Management
Agreement
and
Transactions
with
Affiliates
The
Manager
has
contractually
agreed
to
limit
the
expenses
(excluding
interest
expense,
expenses
related
to
fund
investments,
acquired
fund
fees
and
expenses,
and
other
extraordinary
expenses)
for
the
fund.
The
reductions
and
reimbursements
are
in
amounts
that
maintain
total
operating
expenses
at
0.00%.
The
limit
is
expressed
as
a
percentage
of
average
daily
net
assets
on
an
annualized
basis
during
the
reporting
period.
It
is
expected
that
the
expense
limit
will
continue
permanently.
There
is
no
management
fee
charged
by
the
fund.
The
fund
is
an
integral
part
of
“wrap-fee”
programs,
including
those
sponsored
by
registered
investment
advisors
and
broker-dealers
unaffiliated
with
the
fund.
Participants
in
these
programs
pay
a
“wrap”
fee
to
the
wrap-fee
program’s
sponsor.
Amounts
owed
to
the
fund
under
the
terms
of
the
expense
limitation
agreements
are
reflected
in
the
statement
of
assets
and
liabilities
as
an
expense
reimbursement
from
Manager
and
are
settled
periodically.
Chief
Compliance
Officer
Expense
.
The
fund
pays
certain
expenses
associated
with
the
Chief
Compliance
Officer
(“CCO”).
This
expense
is
allocated
based
on
the
relative
net
assets
of
each
fund
and
is
shown
on
the
statement
of
operations.
6.
Investment
Transactions
For
the
period
ended
February
29,
2020,
the
cost
of
investment
securities
purchased
and
proceeds
from
investment
securities
sold
(not
including
short-term
investments
and
U.S.
government
securities)
by
the
fund
was
as
follows
(amounts
in
thousands):
7.
Federal
Tax
Information
Distributions
to
Shareholders.
The
federal
income
tax
character
of
distributions
paid
for
the periods
ended February
29,
2020 and
August
31,
2019 were
as
follows
(amounts
in
thousands):
For
U.S.
federal
income
tax
purposes,
short-term
capital
gain
distributions
are
considered
ordinary
income
distributions.
Distributable
Earnings.
As
of
August
31,
2019,
the
components
of
distributable
earnings/(deficit)
on
a
federal
tax
basis
were
as
follows
(amounts
in
thousands):
*Represents
book-to-tax
accounting
differences
related
to
contingent
convertible
bonds
and
perpetual
bonds.
Capital
Loss
Carryforwards.
For
federal
income
tax
purposes,
capital
loss
carryforwards
are
losses
that
can
be
used
to
offset
future
capital
gains
of
the
fund.
As
of
August
31,
2019,
the
fund
had
approximate
net
capital
loss
carryforwards
as
follows
(amounts
in
thousands):
Capital
losses
will
be
carried
forward
with
no
expiration
and
with
the
character
of
the
loss
retained.
For
the
year
ended
August
31,
2019
,
the
fund
did
not
utilize
any
capital
loss
carryforwards.
Reclassification
of
Capital
Accounts.
The
fund
may
record
reclassifications
in
its
capital
accounts.
These
reclassifications
have
no
impact
on
the
total
net
assets
of
the
fund.
The
reclassifications
are
a
result
of
permanent
differences
between
U.S.
GAAP
and
tax
accounting.
Adjustments
are
made
to
reflect
the
impact
these
items
have
on
current
and
future
distributions
to
shareholders.
Therefore,
the
source
of
the
fund’s
distributions
may
be
shown
in
the
accompanying
statement
of
changes
in
net
assets
as
from
net
investment
income
and
net
realized
gain
on
investments
or
from
tax
return
of
capital
depending
on
the
type
of
book
and
tax
differences
that
exist.
For
the
year
ended
August
31,
2019,
the
fund
recorded
reclassifications
as
follows
(amounts
in
thousands):
Purchases
Sales
Capital
Securities
Fund
$
87,187
$
28,614
Ordinary
Income
2020
2019
Capital
Securities
Fund
$
19,635
$
32,876
Undistributed
Ordinary
Income
Accumulated
Losses
Net
Unrealized
Appreciation
(Depreciation)
Other
Temporary
Differences
*
Total
Accumulated
Earnings
(Deficit)
Capital
Securities
Fund
$
325
$
(3,489
)
$
7,432
$
5,103
$
9,371
Short-Term
Long-Term
Total
Capital
Securities
Fund
$
377
$
3,112
$
3,489
Total
Distributable
Earnings
(Accumulated
Loss)
Capital
Shares
and
Additional
Paid-in-Capital
Capital
Securities
Fund
$
(21)
$
21
Notes
to
Financial
Statements
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
9
Federal
Income
Tax
Basis.
At
February
29,
2020,
the
net
federal
income
tax
unrealized
appreciation
(depreciation)
and
federal
tax
cost
of
investments
held
by
the
fund
were
as
follows
(amounts
in
thousands):
8.
Other
Matters
As
of
the
date
these
financial
statements
were
available
to
be
issued,
the
outbreak
of
the
novel
coronavirus
(“COVID-19”)
in
many
countries
continues
to
adversely
impact
global
commercial
activity
and
has
contributed
to
significant
volatility
in
financial
markets.
The
global
impact
of
the
outbreak
has
been
rapidly
evolving
and
many
countries
have
reacted
by
instituting
quarantines
and
restriction
on
travel.
Such
measures,
as
well
as
the
general
uncertainty
surrounding
the
dangers
and
impact
of
COVID-19,
are
creating
significant
disruption
in
supply
chains
and
economic
activity.
As
COVID-19
continues
to
spread,
the
potential
impacts,
including
a
global,
regional
or
other
economic
recession,
are
increasingly
difficult
to
assess.
These
events,
or
fear
of
such
an
event,
present
material
uncertainty
and
risk
with
respect
to
the
fund’s
performance
and
financial
results.
9.
Subsequent
Events
Management
has
evaluated
events
and
transactions
that
have
occurred
through
the
date
the
financial
statements
were
issued
that
would
merit
recognition
or
disclosure
in
the
financial
statements. 
There
were
no
items
requiring
adjustment
of
the
financial
statements
or
additional
disclosure.
Unrealized
Appreciation
Unrealized
(Depreciation)
Net
Unrealized
Appreciation/
(Depreciation)
Cost
for
Federal
Income
Tax
Purposes
Capital
Securities
Fund
$
35,264
$
(7,895)
$
27,369
$
708,799
7.
Federal
Tax
Information
(continued)
Schedule
of
Investments
Capital
Securities
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
10
INVESTMENT
COMPANIES
-
5.18%
Shares
Held
Value
(000's)
Money
Market
Funds
-
5.18%
BlackRock
Liquidity
FedFund
1.48%
(a),(b)
2,297,950‌
$
2,298‌
Principal
Government
Money
Market
Fund
1.43%
(a),(c)
36,598,658‌
36,599‌
$
38,897‌
TOTAL
INVESTMENT
COMPANIES
$
38,897‌
PREFERRED
STOCKS
-
4.67%
Shares
Held
Value
(000's)
Banks
-
1.03%
Fifth
Third
Bancorp
6.63%,
12/31/2023
(d)
88,310‌
$
2,384‌
3
Month
USD
LIBOR
+
3.71%
First
Republic
Bank/CA
5.13%,
06/30/2022
(d),(e)
45,549‌
1,164‌
Huntington
Bancshares
Inc/OH
6.25%,
04/15/2021
(d)
74,177‌
1,909‌
KeyCorp
6.13%,
12/15/2026
(d)
33,943‌
907‌
3
Month
USD
LIBOR
+
3.89%
Valley
National
Bancorp
6.25%,
06/30/2025
(d)
29,080‌
755‌
3
Month
USD
LIBOR
+
3.85%
Webster
Financial
Corp
5.25%,
12/15/2022
(d)
24,861‌
623‌
$
7,742‌
Diversified
Financial
Services
-
0.17%
Capital
One
Financial
Corp
5.00%,
12/01/2024
(d)
50,000‌
1,233‌
Electric
-
0.12%
Southern
Co/The
0.00%,
01/30/2080
(f)
37,500‌
926‌
Insurance
-
0.37%
Equitable
Holdings
Inc
5.25%,
12/15/2024
(d)
40,265‌
1,007‌
MetLife
Inc
0.00%,
03/15/2025
(d),(f)
40,000‌
983‌
Voya
Financial
Inc
5.35%,
09/15/2029
(d)
30,000‌
781‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.21%
$
2,771‌
Pipelines
-
0.52%
Enbridge
Inc
6.38%,
04/15/2078
153,468‌
3,892‌
3
Month
USD
LIBOR
+
3.59%
REITs
-
0.17%
Kimco
Realty
Corp
5.25%,
12/20/2022
(d)
14,318‌
366‌
Public
Storage
4.88%,
09/12/2024
(d),(e)
37,045‌
940‌
$
1,306‌
Sovereign
-
0.92%
CoBank
ACB
6.13%,
07/01/2020
(d)
6,000‌
623‌
CoBank
ACB
6.20%,
01/01/2025
(d)
10,000‌
1,078‌
3
Month
USD
LIBOR
+
3.74%
CoBank
ACB
6.25%,
10/01/2022
(d)
38,800‌
4,132‌
3
Month
USD
LIBOR
+
4.56%
Farm
Credit
Bank
of
Texas
6.75%,
09/15/2023
(d),(g)
10,000‌
1,070‌
3
Month
USD
LIBOR
+
4.01%
$
6,903‌
Telecommunications
-
1.37%
AT&T
Inc
0.00%,
02/18/2025
(d),(f)
120,000‌
2,927‌
Centaur
Funding
Corp
9.08%,
04/21/2020
(g)
7,329‌
7,329‌
$
10,256‌
TOTAL
PREFERRED
STOCKS
$
35,029‌
BONDS
-
88.22%
Principal
Amount
(000's)
Value
(000's)
Automobile
Manufacturers
-
0.82%
General
Motors
Financial
Co
Inc
5.75%,
12/31/2049
(d),(h)
$
6,300‌
$
6,174‌
3
Month
USD
LIBOR
+
3.60%
Banks
-
45.41%
Australia
&
New
Zealand
Banking
Group
Ltd/
United
Kingdom
6.75%,
12/31/2049
(d),(g),(h)
1,900‌
2,142‌
USD
Swap
Rate
NY
5
Year
+
5.17%
Banco
Bilbao
Vizcaya
Argentaria
SA
6.50%,
12/31/2049
(d),(h)
6,400‌
6,663‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
5.19%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Bank
of
America
Corp
6.25%,
12/31/2049
(d),(h)
$
2,000‌
$
2,197‌
3
Month
USD
LIBOR
+
3.71%
6.30%,
12/31/2049
(d),(h)
2,000‌
2,257‌
3
Month
USD
LIBOR
+
4.55%
6.50%,
12/31/2049
(d),(h)
3,000‌
3,311‌
3
Month
USD
LIBOR
+
4.17%
Bank
of
New
York
Mellon
Corp/The
4.62%,
12/31/2099
(d),(h)
14,000‌
14,595‌
3
Month
USD
LIBOR
+
3.13%
4.95%,
12/31/2049
(d),(h)
8,100‌
8,120‌
3
Month
USD
LIBOR
+
3.42%
Barclays
Bank
PLC
6.28%,
12/31/2049
(d),(h)
5,450‌
6,376‌
3
Month
USD
LIBOR
+
1.55%
10.18%,
06/12/2021
(g)
3,000‌
3,307‌
10.18%,
06/12/2021
900‌
992‌
BNP
Paribas
SA
4.50%,
12/31/2049
(d),(g),(h)
3,000‌
2,839‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.94%
6.63%,
12/31/2049
(d),(h)
800‌
858‌
USD
Swap
Rate
NY
5
Year
+
4.15%
7.20%,
12/31/2049
(d),(g),(h)
1,300‌
1,443‌
3
Month
USD
LIBOR
+
1.29%
7.37%,
12/31/2049
(d),(g),(h)
1,103‌
1,249‌
USD
Swap
Semi-Annual
5
Year
+
5.15%
7.63%,
12/31/2049
(d),(g),(h)
1,000‌
1,036‌
USD
Swap
Semi-Annual
5
Year
+
6.31%
7.63%,
12/31/2049
(d),(h)
4,800‌
4,974‌
USD
Swap
Semi-Annual
5
Year
+
6.31%
Citigroup
Inc
4.70%,
12/31/2049
(d),(h)
1,000‌
989‌
United
States
Secured
Overnight
Financing
Rate
+
3.23%
5.95%,
12/31/2049
(d),(h)
1,000‌
1,015‌
3
Month
USD
LIBOR
+
4.10%
6.13%,
12/31/2049
(d),(h)
6,000‌
6,028‌
3
Month
USD
LIBOR
+
4.48%
6.25%,
12/31/2049
(d),(h)
1,500‌
1,695‌
3
Month
USD
LIBOR
+
4.52%
Citizens
Financial
Group
Inc
5.50%,
12/31/2049
(d),(h)
5,490‌
5,463‌
3
Month
USD
LIBOR
+
3.96%
6.00%,
12/31/2049
(d),(h)
3,184‌
3,232‌
3
Month
USD
LIBOR
+
3.00%
6.38%,
12/31/2049
(d),(h)
3,500‌
3,749‌
3
Month
USD
LIBOR
+
3.16%
Commerzbank
AG
8.13%,
09/19/2023
(g)
500‌
584‌
Corestates
Capital
III
2.26%,
02/15/2027
(g)
22,771‌
21,632‌
3
Month
USD
LIBOR
+
0.57%
Credit
Agricole
SA
7.88%,
12/31/2049
(d),(h)
1,600‌
1,772‌
USD
Swap
Semi-Annual
5
Year
+
4.90%
8.13%,
12/31/2049
(d),(g),(h)
2,232‌
2,635‌
USD
Swap
Semi-Annual
5
Year
+
6.19%
Credit
Suisse
AG
6.50%,
08/08/2023
600‌
671‌
Credit
Suisse
Group
AG
6.25%,
12/31/2049
(d),(g),(h)
5,490‌
5,908‌
USD
Swap
Semi-Annual
5
Year
+
3.46%
6.38%,
12/31/2099
(d),(g),(h)
5,000‌
5,344‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.82%
7.50%,
12/31/2049
(d),(g),(h)
6,250‌
6,915‌
USD
Swap
Semi-Annual
5
Year
+
4.60%
Schedule
of
Investments
Capital
Securities
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
11
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Danske
Bank
A/S
6.13%,
12/31/2099
(d),(h)
$
6,600‌
$
6,757‌
USD
Swap
Semi-Annual
7
Year
+
3.90%
Dresdner
Funding
Trust
I
8.15%,
06/30/2031
(g)
400‌
554‌
Goldman
Sachs
Group
Inc/The
5.38%,
12/31/2049
(d),(h)
2,000‌
2,004‌
3
Month
USD
LIBOR
+
3.92%
5.50%,
12/31/2049
(d),(e),(h)
2,000‌
2,100‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.62%
HSBC
Capital
Funding
Dollar
1
LP
10.18%,
12/31/2049
(d),(g),(h)
1,700‌
2,737‌
3
Month
USD
LIBOR
+
4.98%
10.18%,
12/31/2049
(d),(h)
4,400‌
7,084‌
3
Month
USD
LIBOR
+
4.98%
HSBC
Holdings
PLC
6.00%,
12/31/2099
(d),(h)
3,000‌
3,120‌
USD
Swap
Rate
NY
5
Year
+
3.75%
6.38%,
12/31/2049
(d),(h)
1,300‌
1,354‌
USD
Swap
Rate
NY
5
Year
+
3.71%
6.50%,
12/31/2099
(d),(h)
500‌
541‌
USD
Swap
Rate
NY
5
Year
+
3.61%
6.87%,
12/31/2049
(d),(h)
6,900‌
7,124‌
USD
Swap
Rate
NY
5
Year
+
5.51%
Huntington
Capital
II
2.52%,
06/15/2028
2,400‌
2,184‌
3
Month
USD
LIBOR
+
0.63%
ING
Groep
NV
5.75%,
12/31/2049
(d),(h)
7,000‌
7,303‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.34%
6.50%,
12/31/2049
(d),(h)
500‌
531‌
USD
Swap
Semi-Annual
5
Year
+
4.45%
JPMorgan
Chase
&
Co
4.60%,
12/31/2099
(d),(h)
4,900‌
4,905‌
United
States
Secured
Overnight
Financing
Rate
+
3.13%
5.30%,
12/31/2099
(d),(h)
5,000‌
5,023‌
3
Month
USD
LIBOR
+
3.80%
6.75%,
12/31/2049
(d),(h)
2,000‌
2,237‌
3
Month
USD
LIBOR
+
3.78%
KeyCorp
5.00%,
12/31/2049
(d),(h)
4,000‌
4,160‌
3
Month
USD
LIBOR
+
3.61%
KeyCorp
Capital
I
2.65%,
07/01/2028
2,000‌
1,860‌
3
Month
USD
LIBOR
+
0.74%
KeyCorp
Capital
III
7.75%,
07/15/2029
1,500‌
2,026‌
Lloyds
Bank
PLC
12.00%,
12/31/2049
(d),(g),(h)
3,100‌
3,735‌
3
Month
USD
LIBOR
+
11.76%
12.00%,
12/31/2049
(d),(h)
5,500‌
6,627‌
3
Month
USD
LIBOR
+
11.76%
Lloyds
Banking
Group
PLC
6.41%,
12/31/2049
(d),(g),(h)
1,200‌
1,429‌
3
Month
USD
LIBOR
+
1.50%
7.50%,
12/31/2049
(d),(h)
4,300‌
4,671‌
USD
Swap
Semi-Annual
5
Year
+
4.76%
7.50%,
12/31/2049
(d),(h)
6,600‌
7,338‌
USD
Swap
Semi-Annual
5
Year
+
4.50%
M&T
Bank
Corp
5.12%,
12/31/2049
(d),(h)
4,000‌
4,290‌
3
Month
USD
LIBOR
+
3.52%
6.45%,
12/31/2049
(d),(h)
1,300‌
1,428‌
3
Month
USD
LIBOR
+
3.61%
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
Nordea
Bank
Abp
6.13%,
12/31/2049
(d),(g),(h)
$
4,300‌
$
4,561‌
USD
Swap
Semi-Annual
5
Year
+
3.39%
6.63%,
12/31/2099
(d),(g),(h)
13,400‌
14,840‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
4.11%
Northern
Trust
Corp
4.60%,
12/31/2049
(d),(h)
9,015‌
9,767‌
3
Month
USD
LIBOR
+
3.20%
NTC
Capital
I
2.35%,
01/15/2027
1,250‌
1,187‌
3
Month
USD
LIBOR
+
0.52%
NTC
Capital
II
2.42%,
04/15/2027
1,200‌
1,140‌
3
Month
USD
LIBOR
+
0.59%
PNC
Capital
Trust
C
2.48%,
06/01/2028
3,000‌
2,878‌
3
Month
USD
LIBOR
+
0.57%
RBS
Capital
Trust
II
6.43%,
12/31/2049
(d),(h)
600‌
858‌
3
Month
USD
LIBOR
+
1.94%
Royal
Bank
of
Scotland
Group
PLC
4.26%,
12/31/2049
(d)
1,000‌
992‌
3
Month
USD
LIBOR
+
2.32%
7.50%,
12/31/2049
(d),(h)
6,896‌
6,961‌
USD
Swap
Semi-Annual
5
Year
+
5.80%
7.65%,
12/31/2049
(d),(h)
1,800‌
2,625‌
3
Month
USD
LIBOR
+
2.50%
8.00%,
12/31/2049
(d),(h)
1,000‌
1,140‌
USD
Swap
Semi-Annual
5
Year
+
5.72%
Skandinaviska
Enskilda
Banken
AB
5.63%,
12/31/2049
(d),(h)
200‌
205‌
USD
Swap
Semi-Annual
5
Year
+
3.49%
Societe
Generale
SA
7.38%,
12/31/2049
(d),(g),(h)
2,000‌
2,178‌
USD
Swap
Semi-Annual
5
Year
+
4.30%
7.38%,
12/31/2049
(d),(g),(h)
5,000‌
5,228‌
USD
Swap
Semi-Annual
5
Year
+
6.24%
8.00%,
12/31/2049
(d),(g),(h)
3,500‌
4,064‌
USD
Swap
Rate
NY
5
Year
+
5.87%
Standard
Chartered
PLC
6.50%,
12/31/2049
(d),(h)
1,500‌
1,501‌
USD
Swap
Semi-Annual
5
Year
+
4.89%
7.01%,
12/31/2049
(d),(g),(h)
7,800‌
9,588‌
3
Month
USD
LIBOR
+
1.46%
7.50%,
12/31/2049
(d),(g),(h)
1,300‌
1,359‌
USD
Swap
Semi-Annual
5
Year
+
6.30%
7.75%,
12/31/2049
(d),(g),(h)
1,000‌
1,078‌
USD
Swap
Semi-Annual
5
Year
+
5.72%
Swedbank
AB
6.00%,
12/31/2049
(d),(h)
4,400‌
4,538‌
USD
Swap
Semi-Annual
5
Year
+
4.11%
Truist
Bank
2.36%,
05/15/2027
4,500‌
4,264‌
3
Month
USD
LIBOR
+
0.67%
2.54%,
03/15/2028
2,000‌
1,885‌
3
Month
USD
LIBOR
+
0.65%
Truist
Financial
Corp
4.80%,
12/31/2099
(d),(h)
21,200‌
21,355‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.00%
UBS
Group
AG
6.88%,
12/31/2049
(d),(h)
9,200‌
10,040‌
USD
Swap
Semi-Annual
5
Year
+
4.59%
7.00%,
12/31/2049
(d),(g),(h)
1,400‌
1,493‌
USD
Swap
Semi-Annual
5
Year
+
4.34%
Schedule
of
Investments
Capital
Securities
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
12
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Banks
(continued)
US
Bancorp
5.12%,
12/31/2049
(d),(h)
$
2,000‌
$
2,056‌
3
Month
USD
LIBOR
+
3.49%
$
340,894‌
Diversified
Financial
Services
-
2.76%
American
Express
Co
4.90%,
12/31/2049
(d),(h)
4,500‌
4,482‌
3
Month
USD
LIBOR
+
3.29%
Capital
One
Financial
Corp
5.55%,
12/31/2049
(d),(h)
4,000‌
3,982‌
3
Month
USD
LIBOR
+
3.80%
Charles
Schwab
Corp/The
7.00%,
12/31/2049
(d),(h)
5,813‌
6,260‌
3
Month
USD
LIBOR
+
4.82%
Depository
Trust
&
Clearing
Corp/The
4.88%,
12/31/2049
(d),(g),(h)
6,000‌
5,985‌
3
Month
USD
LIBOR
+
3.17%
$
20,709‌
Electric
-
5.10%
Dominion
Energy
Inc
4.65%,
12/31/2099
(d),(h)
8,500‌
8,782‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.99%
5.75%,
10/01/2054
(h)
6,775‌
7,296‌
3
Month
USD
LIBOR
+
3.06%
Duke
Energy
Corp
4.88%,
12/31/2099
(d),(h)
2,650‌
2,732‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.39%
Emera
Inc
6.75%,
06/15/2076
(h)
10,000‌
11,591‌
3
Month
USD
LIBOR
+
5.44%
Enel
SpA
8.75%,
09/24/2073
(g),(h)
1,700‌
1,976‌
USD
Swap
Semi-Annual
5
Year
+
5.88%
National
Rural
Utilities
Cooperative
Finance
Corp
5.25%,
04/20/2046
(h)
700‌
781‌
3
Month
USD
LIBOR
+
3.63%
NextEra
Energy
Capital
Holdings
Inc
3.98%,
10/01/2066
4,500‌
4,298‌
3
Month
USD
LIBOR
+
2.07%
4.02%,
06/15/2067
580‌
567‌
3
Month
USD
LIBOR
+
2.13%
4.80%,
12/01/2077
(h)
250‌
268‌
3
Month
USD
LIBOR
+
2.41%
$
38,291‌
Food
-
0.63%
Dairy
Farmers
of
America
Inc
7.13%,
12/31/2049
(d),(g)
5,000‌
4,700‌
Gas
-
1.25%
NiSource
Inc
5.65%,
12/31/2049
(d),(h)
9,195‌
9,379‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
2.84%
Insurance
-
25.47%
ACE
Capital
Trust
II
9.70%,
04/01/2030
2,570‌
3,855‌
Allstate
Corp/The
5.75%,
08/15/2053
(h)
9,900‌
10,692‌
3
Month
USD
LIBOR
+
2.94%
American
International
Group
Inc
5.75%,
04/01/2048
(h)
13,077‌
14,466‌
3
Month
USD
LIBOR
+
2.87%
8.18%,
05/15/2068
(h)
6,700‌
9,145‌
3
Month
USD
LIBOR
+
4.20%
Aon
Corp
8.21%,
01/01/2027
1,000‌
1,292‌
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Insurance
(continued)
Argentum
Netherlands
BV
for
Zurich
Insurance
Co
Ltd
5.13%,
06/01/2048
(h)
$
2,000‌
$
2,235‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.27%
AXA
SA
6.38%,
12/31/2049
(d),(g),(h)
2,800‌
3,710‌
3
Month
USD
LIBOR
+
2.26%
8.60%,
12/15/2030
2,400‌
3,549‌
Cloverie
PLC
for
Zurich
Insurance
Co
Ltd
5.63%,
06/24/2046
(h)
12,100‌
13,700‌
3
Month
USD
LIBOR
+
4.92%
Everest
Reinsurance
Holdings
Inc
4.08%,
05/01/2067
1,600‌
1,560‌
3
Month
USD
LIBOR
+
2.39%
Hartford
Financial
Services
Group
Inc/The
3.82%,
02/12/2067
(g)
2,800‌
2,660‌
3
Month
USD
LIBOR
+
2.13%
Legal
&
General
Group
PLC
5.25%,
03/21/2047
(h)
4,700‌
5,053‌
USD
Swap
Semi-Annual
5
Year
+
3.69%
Liberty
Mutual
Group
Inc
7.80%,
03/07/2087
(g)
6,100‌
7,899‌
3
Month
USD
LIBOR
+
3.58%
Liberty
Mutual
Insurance
Co
7.70%,
10/15/2097
(g)
1,100‌
1,871‌
Lincoln
National
Corp
3.86%,
04/20/2067
4,200‌
3,507‌
3
Month
USD
LIBOR
+
2.04%
Meiji
Yasuda
Life
Insurance
Co
5.10%,
04/26/2048
(g),(h)
1,300‌
1,491‌
USD
Swap
Rate
NY
5
Year
+
3.15%
5.20%,
10/20/2045
(g),(h)
1,000‌
1,122‌
USD
Swap
Semi-Annual
5
Year
+
4.23%
MetLife
Capital
Trust
IV
7.88%,
12/15/2067
(g)
1,800‌
2,421‌
MetLife
Inc
5.25%,
12/31/2049
(d),(h)
3,500‌
3,496‌
3
Month
USD
LIBOR
+
3.58%
6.40%,
12/15/2066
700‌
865‌
3
Month
USD
LIBOR
+
2.21%
9.25%,
04/08/2068
(g)
4,200‌
6,258‌
3
Month
USD
LIBOR
+
5.54%
10.75%,
08/01/2069
(h)
4,300‌
7,160‌
3
Month
USD
LIBOR
+
7.55%
Mitsui
Sumitomo
Insurance
Co
Ltd
7.00%,
03/15/2072
(g),(h)
3,600‌
3,933‌
3
Month
USD
LIBOR
+
5.90%
7.00%,
03/15/2072
(h)
2,500‌
2,731‌
3
Month
USD
LIBOR
+
5.90%
Nationwide
Financial
Services
Inc
6.75%,
05/15/2087
500‌
613‌
Nippon
Life
Insurance
Co
5.00%,
10/18/2042
(g),(h)
1,525‌
1,622‌
3
Month
USD
LIBOR
+
4.24%
5.10%,
10/16/2044
(h)
785‌
856‌
USD
Swap
Rate
NY
5
Year
+
3.65%
Progressive
Corp/The
5.38%,
12/31/2049
(d),(h)
11,200‌
11,788‌
3
Month
USD
LIBOR
+
2.54%
Prudential
Financial
Inc
5.63%,
06/15/2043
(h)
9,380‌
9,870‌
3
Month
USD
LIBOR
+
3.92%
5.88%,
09/15/2042
(h)
11,000‌
11,681‌
3
Month
USD
LIBOR
+
4.18%
Reinsurance
Group
of
America
Inc
4.56%,
12/15/2065
1,200‌
1,152‌
3
Month
USD
LIBOR
+
2.67%
Schedule
of
Investments
Capital
Securities
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
13
BONDS
(continued)
Principal
Amount
(000’s)
Value
(000’s)
Insurance
(continued)
Sumitomo
Life
Insurance
Co
6.50%,
09/20/2073
(g),(h)
$
3,000‌
$
3,375‌
3
Month
USD
LIBOR
+
4.44%
Swiss
Re
Finance
Luxembourg
SA
5.00%,
04/02/2049
(g),(h)
17,400‌
19,688‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.58%
Voya
Financial
Inc
4.70%,
01/23/2048
(h)
3,300‌
3,302‌
3
Month
USD
LIBOR
+
2.08%
5.65%,
05/15/2053
(h)
10,800‌
11,545‌
3
Month
USD
LIBOR
+
3.58%
6.13%,
12/31/2049
(d),(h)
1,000‌
1,034‌
US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
5
Year
+
3.36%
$
191,197‌
Pipelines
-
5.56%
Enbridge
Inc
6.00%,
01/15/2077
(h)
500‌
519‌
3
Month
USD
LIBOR
+
3.89%
6.25%,
03/01/2078
(h)
7,000‌
7,350‌
3
Month
USD
LIBOR
+
3.64%
Enterprise
Products
Operating
LLC
5.25%,
08/16/2077
(h)
14,512‌
14,730‌
3
Month
USD
LIBOR
+
3.03%
Transcanada
Trust
5.50%,
09/15/2079
(h)
12,500‌
13,175‌
3
Month
USD
LIBOR
+
4.15%
5.63%,
05/20/2075
(h)
1,600‌
1,636‌
3
Month
USD
LIBOR
+
3.53%
5.87%,
08/15/2076
(h)
4,000‌
4,300‌
3
Month
USD
LIBOR
+
4.64%
$
41,710‌
Sovereign
-
0.28%
CoBank
ACB
6.25%,
12/31/2049
(d),(h)
1,000‌
1,070‌
3
Month
USD
LIBOR
+
4.66%
Farm
Credit
Bank
of
Texas
6.20%,
12/31/2049
(d),(g),(h)
1,000‌
1,071‌
3
Month
USD
LIBOR
+
3.22%
$
2,141‌
Telecommunications
-
0.22%
Koninklijke
KPN
NV
7.00%,
03/28/2073
(h)
1,000‌
1,070‌
USD
Swap
Semi-Annual
10
Year
+
5.21%
Vodafone
Group
PLC
7.00%,
04/04/2079
(h)
500‌
577‌
USD
Swap
Semi-Annual
5
Year
+
4.87%
$
1,647‌
Transportation
-
0.72%
BNSF
Funding
Trust
I
6.61%,
12/15/2055
(h)
5,000‌
5,400‌
3
Month
USD
LIBOR
+
2.35%
TOTAL
BONDS
$
662,242‌
Total
Investments
$
736,168‌
Other
Assets
and
Liabilities
-  1.93%
14,492‌
TOTAL
NET
ASSETS
-
100.00%
$
750,660‌
(a)
Current
yield
shown
is
as
of
period
end.
(b)
Security
or
a
portion
of
the
security
was
received
as
collateral
for
securities
lending.
At
the
end
of
the
period,
the
value
of
these
securities
totaled
$2,298
or
0.31%
of
net
assets.
(c)
Affiliated
Security.
Security
is
either
an
affiliate
(and
registered
under
the
Investment
Company
Act
of
1940)
or
an
affiliate
as
defined
by
the
Investment
Company
Act
of
1940
(controls
5.0%
or
more
of
the
outstanding
voting
shares
of
the
security).
Please
see
affiliated
sub-schedule
for
transactional
information.
(d)
Perpetual
security.
Perpetual
securities
pay
an
indefinite
stream
of
interest,
but
they
may
be
called
by
the
issuer
at
an
earlier
date.
Date
shown,
if
any,
reflects
the
next
call
date
or
final
legal
maturity
date.
Rate
shown
is
as
of
period
end.
(e)
Security
or
a
portion
of
the
security
was
on
loan
at
the
end
of
the
period.
(f)
Non-income
producing
security
(g)
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
$186,059
or
24.79%
of
net
assets.
(h)
Rate
shown
is
as
of
period
end.
The
rate
may
be
a
variable
or
floating
rate
or
a
fixed
rate
which
may
convert
to
a
variable
or
floating
rate
in
the
future.
Portfolio
Summary  (unaudited)
Sector
Percent
Financial
75.38‌%
Utilities
6.47‌%
Energy
6.08‌%
Money
Market
Funds
5.18‌%
Communications
1.59‌%
Government
1.20‌%
Consumer,
Cyclical
0.82‌%
Industrial
0.72‌%
Consumer,
Non-cyclical
0.63‌%
Other
Assets
and
Liabilities
1.93‌%
TOTAL
NET
ASSETS
100.00%
Schedule
of
Investments
Capital
Securities
Fund
February
29,
2020
(unaudited)
See
accompanying
notes.
14
Affiliated
Securities
August
31,
2019
Purchases
Sales
February
29,
2020
Value
Cost
Proceeds
Value
Principal
Government
Money
Market
Fund
1.43%
$
16,563‌
$
165,650‌
$
145,614‌
$
36,599‌
$
16,563‌
$
165,650‌
$
145,614‌
$
36,599‌
Income
Realized
Gain/Loss
on
Investments
Realized
Gain
from
Capital
Gain
Distributions
Change
in
Unrealized
Gain/Loss
Principal
Government
Money
Market
Fund
1.43%
$
168‌
$
—‌
$
—‌
$
—‌
$
168‌
$
—‌
$
—‌
$
—‌
Amounts
in
thousands.
Glossary
to
the
Schedule
of
Investments
February
29,
2020
(unaudited)
See
accompanying
notes.
15
Currency
Abbreviations
USD/$
United
States
Dollar
See
accompanying
notes.
16
Financial
Highlights
Principal
Funds,
Inc.
(unaudited)
Selected
data
for
a
share
of
Capital
Stock
outstanding
throughout
each
year
ended
August
31
(except
as
noted):
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(Loss)(a)
Net
Realized
and
Unrealized
Gain
(Loss)
on
Investments
Total
From
Investment
Operations
Dividends
from
Net
Investment
Income
Tax
Return
of
Capital
Distribution
Total
Dividends
and
Distributions
Net
Asset
Value
End
of
Period
CAPITAL
SECURITIES
FUND
Class
S
shares
2020
(b)
$
10
.17‌
$
0
.25‌
$
0
.22‌
$
0
.47‌
(
$
0
.29‌
)
$
–‌
(
$
0
.29‌
)
$
10
.35‌
2019
9
.95‌
0
.58‌
0
.21‌
0
.79‌
(
0
.57‌
)
–‌
(
0
.57‌
)
10
.17‌
2018
10
.40‌
0
.58‌
(
0
.49‌
)
0
.09‌
(
0
.54‌
)
–‌
(
0
.54‌
)
9
.95‌
2017
9
.98‌
0
.57‌
0
.36‌
0
.93‌
(
0
.51‌
)
–‌
(
0
.51‌
)
10
.40‌
2016
9
.87‌
0
.57‌
0
.07‌
0
.64‌
(
0
.53‌
)
–‌
(
0
.53‌
)
9
.98‌
2015
10
.12‌
0
.57‌
(
0
.24‌
)
0
.33‌
(
0
.56‌
)
(
0
.02‌
)
(
0
.58‌
)
9
.87‌
See
accompanying
notes.
17
Financial
Highlights
(Continued)
Principal
Funds,
Inc.
(unaudited)
Total
Return
Net
Assets,
End
of
Period
(in
thousands)
Ratio
of
Expenses
to
Average
Net
Assets
Ratio
of
Net
Investment
Income
to
Average
Net
Assets
Portfolio
Turnover
Rate
4
.66
%
(c)
$
750,660‌
0
.00‌
%
(d)
,(e)
4
.84‌
%
(d)
8
.6‌
%
(d)
8
.39
648,432‌
0
.00‌
(e)
5
.89‌
14
.7‌
0
.87
544,446‌
0
.00‌
(e)
5
.67‌
9
.1‌
9
.62
457,089‌
0
.00‌
(e)
5
.67‌
8
.4‌
6
.77
298,208‌
0
.00‌
(e)
5
.89‌
8
.8‌
3
.34
133,380‌
0
.00‌
(e)
5
.73‌
10
.2‌
(a)
Calculated
based
on
average
shares
outstanding
during
the
period.
(b)
Six
months
ended
February
29,
2020.
(c)
Total
return
amounts
have
not
been
annualized.
(d)
Computed
on
an
annualized
basis.
(e)
Reflects
Manager's
contractual
expense
limit.
Shareholder
Expense
Example
Principal
Funds,
Inc.
February
29,
2020
(unaudited)
18
As
a
shareholder
of
Capital
Securities
Fund,
you
may
incur
ongoing
costs,
including
management
fees;
distribution
fees;
and
other
fund
expenses.
This
Example
is
intended
to
help
you
understand
your
ongoing
costs
(in
dollars)
of
investing
in
Principal
Funds,
Inc.
and
to
compare
these
costs
with
the
ongoing
costs
of
investing
in
other
mutual
funds.
The
Example
is
based
on
an
investment
of
$1,000
invested
at
the
beginning
of
the
period
and
held
for
the
entire
period
(September
1,
2019
to
February
29,
2020),
unless
otherwise
noted.
Actual
Expenses
The
first
section
of
the
table
below
provides
information
about
actual
account
values
and
actual
expenses.
You
may
use
the
information
in
this
section,
together
with
the
amount
you
invested,
to
estimate
the
expenses
that
you
paid
over
the
period.
Simply
divide
your
account
value
by
$1,000
(for
example,
an
$8,600
account
value
divided
by
$1,000
=
8.6),
then
multiply
the
result
by
the
number
in
the
first
section
under
the
heading
entitled
“Expenses
Paid
During
Period”
to
estimate
the
expenses
you
paid
on
your
account
during
this
period.
Class
S
class
of
shares
may
be
purchased
through
wrap
programs.
Such
plans
may
impose
fees
in
addition
to
those
charge
by
the
fund.
These
fees
are
not
included
in
the
table
below.
If
they
were,
the
estimate
of
expenses
you
paid
during
the
period
would
be
higher,
and
your
ending
account
value
lower,
by
this
amount.
Hypothetical
Example
for
Comparison
Purposes
The
second
section
of
the
table
below
provides
information
about
hypothetical
account
values
and
hypothetical
expenses
based
on
each
fund’s
actual
expense
ratio
and
an
assumed
rate
of
return
of
5%
per
year
before
expenses,
which
is
not
the
fund’s
actual
return.
The
hypothetical
account
values
and
expenses
may
not
be
used
to
estimate
the
actual
ending
account
balance
or
expenses
you
paid
for
the
period.
You
may
use
this
information
to
compare
the
ongoing
costs
of
investing
in
Principal
Funds,
Inc.
and
other
funds.
To
do
so,
compare
this
5%
hypothetical
example
with
the
5%
hypothetical
examples
that
appear
in
the
shareholder
reports
of
the
other
funds.
Please
note
that
the
expenses
shown
in
the
table
are
meant
to
highlight
your
ongoing
costs
only
and
do
not
reflect
any
transaction
costs,
such
as
sales
charges
on
purchase
payments,
contingent
deferred
sales
charges,
redemption
fees
or
exchange
fees.
Therefore,
the
second
section
of
the
table
is
useful
in
comparing
ongoing
costs
only,
and
will
not
help
you
determine
the
relative
total
costs
of
owning
different
funds.
In
addition,
if
these
transaction
costs
were
included,
your
costs
would
have
been
higher.
Actual
Hypothetical
Beginning
Account
Value
September
1,
2019
Ending
Account
Value
February
29,
2020
Expenses
Paid
During
Period
September
1,
2019
 to
February
29,
2020
(a)
Beginning
Account
Value September
1,
2019
Ending
Account
Value
February
29,
2020
Expenses
Paid
During
Period
September
1,
2019 to
February
29,
2020
(a)
Annualized
Expense
Ratio
Capital
Securities
Fund
Class
S
$1,000.00
$1,046.60
$–
$1,000.00
$1,024.86
$–
0.00%
(a)
Expenses
are
equal
to
a
fund's
annualized
expense
ratio
multiplied
by
the
average
account
value
over
the
period,
multiplied
by
182/366
(to
reflect
the
one-half
year
period).
19
FUND
DIRECTORS
AND
OFFICERS
Under
Maryland
law,
a
Board
of
Directors
oversees
the
Fund.
The
Directors
have
financial
or
other
relevant
experience
and
meet
several
times
during
the
year
to
review
contracts,
Fund
activities
and
the
quality
of
services
provided
to
the
Fund.
Each
director
also
has
the
same
position
with
Principal
Variable
Contracts
Funds,
Inc.,
Principal
Exchange-Traded
Funds,
and
Principal
Diversified
Select
Real
Asset
Fund
which
are
also
sponsored
by
Principal
Life
Insurance
Company.
Each
director
holds
office
for
an
indefinite
term
or
until
reaching
age
72.
Directors
considered
to
be
“interested
persons”
as
defined
in
the
Investment
Company
Act
of
1940,
as
shown
below
are
considered
to
be
interested
because
of
an
affiliation
with
the
Manager
and
Principal
Life
Insurance
Company.
The
following
directors
are
considered
not
to
be
“interested
persons”
as
defined
in
the
1940
Act
Name,
Position
Held
with
the
Fund,
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Number
of
Portfolios
in
Fund
Complex
Overseen
by
Director
Other
Directorships
Held
by
Director
During
Past
5
Years
Elizabeth
Ballantine
Director
since
2004
Member,
Nominating
and
Governance
Committee
1948
Principal,
EBA
Associates
127
Durango
Herald,
Inc.;
McClatchy
Newspapers,
Inc.
Leroy
T.
Barnes,
Jr.
Director
since
2012
Member,
Audit
Committee
Member,
Nominating
and
Governance
Committee
1951
Retired.
127
McClatchy
Newspapers,
Inc.;
Frontier
Communications,
Inc.;
formerly,
Herbalife
Ltd.
Craig
Damos
Lead
Independent
Director
since
2020
Director
since
2008
Member,
Nominating
and
Governance
Committee
Member,15(c)
Committee
Member,
Executive
Committee
1954
President,
C.P.
Damos
Consulting
LLC
127
None
Mark
A.
Grimmett
Director
since
2004
Member,
Audit
Committee
Member,
15(c)
Committee
Member,
Executive
Committee
1960
Formerly,
Executive
Vice
President
and
CFO,
Merle
Norman
Cosmetics,
Inc.
127
None
Fritz
S.
Hirsch
Director
since
2005
Member,
Nominating
and
Governance
Committee
Member,
Operations
Committee
Member,
15(c)
Committee
1951
Formerly,
CEO,
MAM
USA
127
MAM
USA
Tao
Huang
Director
since
2012
Member,
Operations
Committee
Member,
15(c)
Committee
1962
Retired.
127
Armstrong
World
Industries,
Inc.
and
Equity
Lifestyle
Properties,
Inc.
Karen
(“Karrie”)
McMillan
Director
since
2014
Member,
Operations
Committee
1961
Managing
Director,
Patomak
Global
Partners,
LLC
127
None
Elizabeth
A.
Nickels
Director
since
2015
Member,
Audit
Committee
1962
Retired.
127
SpartanNash;
formerly:
Charlotte
Russe;
Follet
Corporation;
PetSmart;
Spectrum
Health
Systems
Mary
M.
(“Meg”)
VanDeWeghe
Director
since
2018
Member,
Operations
Committee
1959
CEO
and
President,
Forte
Consulting,
Inc.
127
Denbury
Resources
Inc.
and
Helmerich
&
Payne;
Formerly:
Brown
Advisory;
B/E
Aerospace;
WP
Carey;
Nalco
(and
its
successor
Ecolab)
20
The
following
directors
are
considered
to
be
“interested
persons”
as
defined
in
the
1940
Act,
because
of
an
affiliation
with
the
Manager
and
Principal
Life.
Correspondence
intended
for
each
Director
who
is
other
than
an
Interested
Director
may
be
sent
to
655
9th
Street,
Des
Moines,
IA
50392.
Name,
Position
Held
with
the
Fund,
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Number
of
Portfolios
in
Fund
Complex
Overseen
by
Director
Other
Directorships
Held
by
Director
During
Past
5
Years
Timothy
M.
Dunbar
Chair
and
Director
since
2019
Member,
Executive
Committee
1957
Director,
PGI
since
2018
President,
Principal
Global
Asset
Management,
PGI,
Principal
Life
Insurance
Company
(“PLIC”),
Principal
Financial
Services,
Inc.
(“PFSI”),
and
Principal
Financial
Group
(“PFG”)
since
2018
Chair/Executive
Vice
President,
RobustWealth,
Inc.
since
2018
Director,
Post
Advisory
Group,
LLC
(“Post”)
since
2018
Executive
Vice
President/Chief
Investment
Officer,
PLIC,
PFSI
and
PFG
(2014-2018)
127
None
Patrick
Halter
Director
since
2017
1959
Chief
Executive
Officer
and
President,
PGI
since
2018
Chief
Operating
Officer,
PGI
(2017-2018)
Chair,
PGI
since
2018
Director,
PGI
(2003-2018)
Director,
Finisterre
Capital
LLP
since
2018
Director,
Origin
Asset
Management
LLP
since
2018
Chair,
Post
since
2017
Chief
Executive
Officer,
Principal
Real
Estate
Investors,
LLC
(“PREI”)
since
2005
Chair,
PREI
since
2004
Chair,
Spectrum
Asset
Management,
Inc.
since
2017
Director,
CCIP,
LLC
since
2017
127
None
21
The
following
table
presents
officers
of
the
Funds.
Name,
Position
Held
with
the
Fund,
Address,
and
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Randy
L.
Bergstrom
Assistant
Tax
Counsel
Des
Moines,
IA
50392
1955
Counsel,
PGI
Counsel,
PLIC
Kamal
Bhatia
President,
Chief
Executive
Officer
1972
President,
PFG,
PFSI,
and
PLIC
since
2019
Principal
Executive
Officer,
OC
Private
Capital
(2017-2019)
Senior
Vice
President,
OppenheimerFunds
(2011-
2019)
Jennifer
A.
Block
Deputy
Chief
Compliance
Officer
Des
Moines,
IA
50392
1973
Vice
President
and
Counsel
(2017-2018)
Assistant
Counsel
(2010-2017)
Assistant
Secretary
(2015-2018)
Counsel,
PGI
(2017-2018)
Counsel,
PLIC
(2009-2018)
Counsel,
PMC
(2014-2017)
Tracy
W.
Bollin
Chief
Financial
Officer
Des
Moines,
IA
50392
1970
Managing
Director,
PGI
since
2016
Chief
Operating
Officer,
PMC
(2015-2017)
Chief
Financial
Officer,
PFA
(2010-2015)
Senior
Vice
President,
PFD
since
2015
Chief
Financial
Officer,
PFD
(2010-2016)
Senior
Vice
President,
PMC
(2015–2017)
Chief
Financial
Officer,
PMC
(2010-2015)
Director,
PMC
(2014–2017)
Chief
Financial
Officer,
PSI
(2010-2015)
President,
PSS
since
2015
Chief
Financial
Officer,
PSS
(2010-2015)
Gina
L.
Graham
Treasurer
Des
Moines,
IA
50392
1965
Vice
President/Treasurer,
PFA
since
2016
Vice
President/Treasurer,
PFD
since
2016
Vice
President/Treasurer,
PGI
since
2016
Vice
President/Treasurer,
PLIC
since
2016
Vice
President/Treasurer,
PMC
(2016-2017)
Vice
President/Treasurer,
PREI
since
2016
Vice
President/Treasurer,
PSI
since
2016
Vice
President/Treasurer,
PSS
since
2016
Laura
B.
Latham
Assistant
Counsel
and
Assistant
Secretary
Des
Moines,
IA
50392
1986
Counsel,
PGI
since
2018
Prior
thereto,
Attorney
in
Private
Practice
Diane
K.
Nelson
AML
Officer
Des
Moines,
IA
50392
1965
Chief
Compliance
Officer/AML
Officer,
PSS
since
2015
Compliance
Advisor,
PMC
(2013-2015)
Sara
L.
Reece
Vice
President
and
Controller
Des
Moines,
IA
50392
1975
Director
-
Accounting,
PLIC
since
2015
Assistant
Financial
Controller,
PLIC
prior
to
2015
Teri
R.
Root
Chief
Compliance
Officer
Des
Moines,
IA
50392
1979
Interim
Chief
Compliance
Officer
(2018)
Deputy
Chief
Compliance
Officer
(2015-2018)
Deputy
Chief
Compliance
Officer,
PGI
since
2017
Vice
President
and
Chief
Compliance
Officer,
PMC
(2015–2017)
Vice
President,
PSS
since
2015
Britney
L.
Schnathorst
Assistant
Counsel
and
Assistant
Secretary
Des
Moines,
IA
50392
1981
Counsel,
PLIC
since
2013
22
The
15(c)
Committee’s
primary
purpose
is
to
assist
the
Board
in
performing
the
annual
review
of
the
Fund’s
advisory
and
sub-advisory
agreements
pursuant
to
Section
15(c)
of
the
1940
Act.
The
Committee
responsibilities
include
requesting
and
reviewing
materials.
The
Audit
Committee’s
primary
purpose
is
to
assist
the
Board
in
fulfilling
certain
of
its
responsibilities.
The
Audit
Committee
serves
as
an
independent
and
objective
party
to
monitor
the
Fund
Complex’s
accounting
policies,
financial
reporting
and
internal
control
system,
as
well
as
the
work
of
the
independent
registered
public
accountants.
The
Audit
Committee
assists
Board
oversight
of
1)
the
integrity
of
the
Fund
Complex’s
financial
statements;
2)
the
Fund
Complex’s
compliance
with
certain
legal
and
regulatory
requirements;
3)
the
independent
registered
public
accountants’
qualifications
and
independence;
and
4)
the
performance
of
the
Fund
Complex’s
independent
registered
public
accountants.
The
Audit
Committee
also
provides
an
open
avenue
of
communication
among
the
independent
registered
public
accountants,
the
Manager’s
internal
auditors,
Fund
Complex
management,
and
the
Board.
The
Executive
Committee’s
primary
purpose
is
to
exercise
certain
powers
of
the
Board
when
the
Board
is
not
in
session.
When
the
Board
is
not
in
session,
the
Committee
may
exercise
all
powers
of
the
Board
in
the
management
of
the
business
of
the
Fund
Complex
except
the
power
to
1)
authorize
dividends
or
distributions
on
stock;
2)
issue
stock,
except
as
permitted
by
law;
3)
recommend
to
the
stockholders
any
action
which
requires
stockholder
approval;
4)
amend
the
bylaws;
or
5)
approve
any
merger
or
share
exchange
which
does
not
require
stockholder
approval.
The
Nominating
and
Governance
Committee’s
primary
purpose
is
to
oversee
the
structure
and
efficiency
of
the
Board
and
the
committees
established
by
the
Board.
The
Committee
responsibilities
include
evaluating
Board
membership
and
functions,
committee
membership
and
functions,
insurance
coverage,
and
legal
matters.
The
nominating
functions
of
the
Committee
include
selecting
and
nominating
all
candidates
who
are
not
“interested
persons”
of
the
Fund
Complex
for
election
to
the
Board.
Generally,
the
Committee
requests
director
nominee
suggestions
from
the
committee
members
and
management.
In
addition,
the
Committee
will
consider
Director
candidates
recommended
by
shareholders
of
the
Fund
Complex.
Recommendations
should
be
submitted
in
writing
to
Principal
Funds,
Inc.
at
711
High
Street,
Des
Moines,
IA
50392.
When
evaluating
a
person
as
a
potential
nominee
to
serve
as
an
Independent
Director,
the
Committee
will
generally
consider,
among
other
factors:
age;
education;
relevant
business
experience;
geographical
factors;
whether
the
person
is
“independent”
and
Name,
Position
Held
with
the
Fund,
Address,
and
Year
of
Birth
Principal
Occupation(s)
During
past
5
years
Adam
U.
Shaikh
Assistant
Counsel
Des
Moines,
IA
50392
1972
Assistant
General
Counsel,
PGI
since
2018
Counsel,
PGI
(2017-2018)
Counsel,
PLIC
since
2006
Counsel,
PMC
(2014-2017)
John
L.
Sullivan
Assistant
Counsel
and
Assistant
Secretary
Des
Moines,
IA
50392
1970
Counsel,
PGI
since
2019
Prior
thereto,
Attorney
in
Private
Practice
Dan
L.
Westholm
Assistant
Treasurer
Des
Moines,
IA
50392
1966
Assistant
Vice
President/Treasurer,
PGI
since
2017
Assistant
Vice
President/Treasury,
PFA
since
2013
Assistant
Vice
President/Treasury,
PFD
since
2013
Assistant
Vice
President/Treasury,
PLIC
since
2014
Assistant
Vice
President/Treasury,
PMC
(2013-
2017)
Assistant
Vice
President/Treasury,
PSI
since
2013
Assistant
Vice
President/Treasury,
PSS
since
2013
Beth
C.
Wilson
Vice
President
and
Secretary
Des
Moines,
IA
50392
1956
Director
and
Secretary
–
Funds,
PLIC
Clint
L.
Woods
Counsel,
Vice
President,
and
Assistant
Secretary
Des
Moines,
IA
50392
1961
Of
Counsel
(2017-2018)
Vice
President
(2016-2017)
Counsel
(2015-2017)
Vice
President,
PLIC
since
2015
Associate
General
Counsel,
Governance
Officer,
and
Assistant
Corporate
Secretary,
PLIC
since
2013
Jared
Yepsen
Assistant
Tax
Counsel
Des
Moines,
IA
50392
1981
Counsel,
PGI
since
2017
Counsel,
PLIC
since
2015
Senior
Attorney,
Transamerica
Life
Insurance
Company
(2013-2015)
23
otherwise
qualified
under
applicable
laws
and
regulations
to
serve
as
a
director;
and
whether
the
person
is
willing
to
serve,
and
willing
and
able
to
commit
the
time
necessary
for
attendance
at
meetings
and
the
performance
of
the
duties
of
an
independent
director.
The
Committee
also
meets
personally
with
the
nominees
and
conducts
a
reference
check.
The
final
decision
is
based
on
a
combination
of
factors,
including
the
strengths
and
the
experience
an
individual
may
bring
to
the
Board.
The
Committee
believes
the
Board
generally
benefits
from
diversity
of
background,
experience
and
views
among
its
members,
and
considers
these
factors
in
evaluating
the
composition
of
the
Board.
The
Board
does
not
use
regularly
the
services
of
any
professional
search
firms
to
identify
or
evaluate
or
assist
in
identifying
or
evaluating
potential
candidates
or
nominees.
The
Operations
Committee’s
primary
purpose
is
to
oversee
the
provision
of
administrative
and
distribution
services
to
the
Funds
Complex,
communications
with
the
Fund
Complex’s
shareholders,
and
review
and
oversight
of
the
Fund
Complex’s
operations.
Additional
information
about
the
Fund
is
available
in
the
Prospectus
dated
December
1,
2019,
and
the
Statement
of
Additional
Information
dated
December
1,
2019.
These
documents
may
be
obtained
free
of
charge
by
writing
Principal
Funds,
Inc.,
P.O.
Box
8024,
Boston,
MA
02266-8024
or
telephoning
1-800-222-5852.
The
prospectus
may
be
viewed
at
www.PrincipalFunds.com/prospectuses.
PROXY
VOTING
POLICIES
A
description
of
the
policies
and
procedures
the
Fund
uses
to
determine
how
to
vote
proxies
relating
to
portfolio
securities
and
the
results
of
the
proxy
votes
for
the
most
recent
twelve
months
ended
June
30
may
be
obtained
free
of
charge
by
telephoning
1-800-222-5852,
or
on
the
SEC
website
at
www.sec.gov.
SCHEDULES
OF
INVESTMENTS
The
Fund
files
complete
schedules
of
investments
with
the
Securities
and
Exchange
Commission
as
of
November
30
and
May
31
each
year
as
a
part
of
Form
N-PORT.
The
Fund’s
Form
N-PORT
can
be
reviewed
and
copied
at
the
Commission’s
Public
Reference
Room
in
Washington,
D.C.
or
on
the
Commission’s
website
at
www.sec.gov.
Information
on
the
operation
of
the
Public
Reference
Room
may
be
obtained
by
calling
the
Commission
at
1-202-551-8090.
STATEMENT
REGARDING
LIQUIDITY
RISK
MANAGEMENT
PROGRAM
On
June
1,
2019,
a
Liquidity
Risk
Management
Program
(the
“Program”)
was
adopted
by
the
Fund.
The
Board
is
expected
to
review
the
operation
and
effectiveness
of
the
Program
in
June
2020.
24
BOARD
CONSIDERATION
OF
INVESTMENT
ADVISORY
CONTRACTS
During
the
period
covered
by
this
report,
the
Board
of
Directors
of
Principal
Funds,
Inc.
(“PFI”)
approved
the
annual
review
and
renewal
of
the
Management
Agreement
and
various
subadvisory
agreements
for
all
Funds.
Annual
Review
and
Renewal
of
Management
Agreement
and
Subadvisory
Agreements
At
its
September
10,
2019
meeting,
the
Board
performed
its
annual
review
and
renewal
process
relating
to
the
Management
Agreement
and
the
Sub-advisory
Agreements
for
all
Funds.
Section
15(c)
of
the
Investment
Company
Act
of
1940
(the
“1940
Act”)
requires
the
Board,
including
a
majority
of
the
Directors
who
have
no
direct
or
indirect
interest
in
the
investment
advisory
agreements
and
who
are
not
“interested
persons”
of
PFI,
as
defined
in
the
1940
Act
(the
“Board”),
annually
to
review
and
to
consider
the
continuation
of:
(1)
the
Management
Agreement
between
Principal
Global
Investors,
LLC
(the
“Manager”)
and
PFI,
on
behalf
of
each
of
the
fifteen
(15)
series
of
PFI
(each
series
is
referred
to
as
a
“Fund”)
(2)
the
Sub-advisory
Agreements
between
the
Manager
and
each
of
BlackRock
Financial
Management,
Inc.;
BlackRock
International
Limited;
BNP
Paribas
Asset
Management
USA,
Inc.;
ClearBridge
RARE
infrastructure
(North
America)
Pty
Limited;
Columbus
Circle
Investors;
Credit
Suisse
Asset
Management,
LLC;
Delaware
Investments
Fund
Advisers;
Finisterre
Capital
LLP;
Gotham
Asset
Management,
LLC;
Graham
Capital
Management,
L.P.;
KLS
Diversified
Asset
Management
LP;
Loomis,
Sayles
&
Company,
L.P.;
Los
Angeles
Capital
Management
and
Equity
Research,
Inc.;
Mellon
Investments
Corporation;
Origin
Asset
Management
LLP;
Pictet
Asset
Management
SA;
Principal
Real
Estate
Investors,
LLC;
Sound
Point
Capital
Management,
LP;
Spectrum
Asset
Management,
Inc.;
Symphony
Asset
Management
LLC;
Tortoise
Capital
Advisors,
L.L.C.;
Wellington
Management
Company
LLP;
and
York
Registered
Holdings,
L.P.;
(collectively,
the
“Subadvisors”).
The
Management
Agreement
and
the
Subadvisory
Agreements
are
collectively
referred
to
as
the
“Advisory
Agreements.”
The
Board
considered
the
factors
and
reached
the
conclusions
described
below
relating
to
the
continuation
of
the
Advisory
Agreements.
In
evaluating
the
Advisory
Agreements,
the
Board
reviewed
a
broad
range
of
information
requested
for
this
purpose,
including,
among
other
information,
information
regarding
performance,
advisory
fees,
total
expenses,
profitability
from
the
Advisory
Agreements
to
the
Manager
and
information
about
economies
of
scale.
The
Board
reviewed
the
materials
provided
and
concluded
that
it
was
provided
all
information
reasonably
necessary
to
evaluate
the
Advisory
Agreements.
Management
Agreement
The
Board
considered,
among
other
factors,
that
the
Manager,
along
with
Principal
Management
Corporation,
the
previous
investment
advisor
to
the
Funds
that
merged
with
and
into
the
Manager
on
May
1,
2017,
and
its
affiliates
have
demonstrated
a
long-term
commitment
to
support
the
Funds,
including
undertakings
to
cap
Fund
expenses
and/or
waive
management
fees
for
certain
Funds.
In
addition,
the
Board
considered
the
following
factors
for
each
of
the
Funds.
The
Board
concluded
that
a
relationship
with
a
capable
and
conscientious
investment
adviser
is
in
the
best
interests
of
each
Fund.
The
Board
considered
the
nature,
quality
and
extent
of
the
services
provided
under
the
Management
Agreements,
including
accounting
and
administrative
services,
as
applicable.
The
Board
considered
the
experience
and
skills
of
senior
management
leading
Fund
operations,
the
experience
and
skills
of
the
personnel
performing
the
functions
under
the
Management
Agreements
and
the
resources
made
available
to
such
personnel,
the
ability
of
the
Manager
to
attract
and
retain
high-quality
personnel
and
the
organizational
depth
and
stability
of
the
Manager.
The
Board
concluded
that
appropriate
resources
were
provided
under
the
Management
Agreements.
The
Board
also
considered
that
for
certain
Funds,
during
the
periods
reviewed,
the
Manager
had
delegated
day-to-day
portfolio
management
responsibility
to
the
sub-advisors.
The
Board
noted
that
the
Manager’s
process
for
the
selection
of
Sub-advisors
emphasizes
the
selection
of
Principal-affiliated
sub-advisors
that
are
determined
to
be
qualified
under
the
Manager’s
due
diligence
process,
but
that
the
Manager
will
select
an
unaffiliated
sub
advisor
to
manage
all
or
a
portion
of
a
Fund’s
investment
portfolio
when
deemed
necessary
or
appropriate
based
upon
a
consideration
of
the
Fund’s
investment
mandate
and
available
expertise
and
resources
within
the
Principal
organization.
With
respect
to
Funds
with
unaffiliated
sub
advisors,
the
Board
considered
the
due
diligence
process
developed
by
the
Manager
for
purposes
of
selecting
a
qualified
unaffiliated
sub-advisor
for
a
Fund.
The
Board
considered
the
Manager’s
due
diligence
process
for
monitoring
and
replacing
Sub-
advisors
and
for
monitoring
the
investment
performance
of
the
Manager.
The
Board
also
considered
the
compliance
program
established
by
the
Manager
for
the
Funds,
the
quality
of
that
program
and
the
Funds’
compliance
history.
The
Board
noted
that
they
had
reviewed
and
discussed
information
regarding
the
cost
and
quality
of
Fund
portfolio
transactions,
including
best
execution
and
soft
dollar
reports
and
information
regarding
the
research
payment
accounts
for
applicable
Funds,
and
included
this
information
in
their
consideration
of
the
renewal
of
the
Advisory
Agreements.
Based
upon
all
relevant
factors,
the
Board
concluded
that
the
nature,
quality
and
extent
of
the
services
provided
by
the
Manager
to
the
Funds
under
each
Management
Agreement
were
satisfactory.
Investment
Performance
The
Board
reviewed
each
Fund’s
investment
performance
over
longer-term
periods,
reviewing
both
the
investment
return
during
the
three-
year
period
ended
March
31,
2019
and
the
blended
investment
return
(50%/50%)
of
the
three-
and
five-year
periods
ended
March
31,
2019,
and
compared
those
returns
to
various
agreed-upon
performance
measures,
including,
for
all
Funds
peer
group
data
based
upon
a
broad-
based,
industry
category
determined
by
Broadridge
(“Performance
Universe”).
25
For
Funds
or
Sub-advisors
that
did
not
have
a
three-year
or
five-year
performance
history,
the
Board
reviewed
performance
for
a
one-year
or
three-year
period
ended
March
31,
2019,
respectively,
if
available.
The
Board
also
compared
each
Fund’s
investment
performance
over
the
one-,
three-
and
five-year
periods
ended
March
31,
2019,
as
available,
to
one
or
more
relevant
benchmark
indices.
The
Board
noted
that
certain
Funds
had
commenced
operations
recently
and,
accordingly,
no
or
limited
performance
information
was
considered.
The
Board
also
considered
whether
investment
results
were
consistent
with
a
Fund’s
investment
objective(s)
and
policies.
For
most
Funds,
the
Board
concluded
that
the
Fund’s
investment
returns
met
acceptable
levels
of
investment
performance.
There
were
certain
Funds,
and
certain
Sub-advisors
for
multi-manager
Funds,
that
had
not
attained
during
the
relevant
period(s)
a
level
of
investment
performance
considered
satisfactory
by
the
Board.
For
such
Funds,
the
Board
also
considered
other
factors,
such
as
the
longer-
term
performance
of
each
such
Fund
or
Sub-advisor,
remedial
efforts
being
taken
to
improve
performance
and/or
the
Manager’s
explanation
for
the
performance
of
such
Fund
or
Sub
advisor.
The
Board
considered
the
Manager’s
due
diligence
process
for
evaluating
the
performance
of
all
Funds
and
all
Sub-advisors,
for
which
they
received
regular
reporting,
and
concluded
that
the
Manager
has
in
place
an
effective
due
diligence
process
to
monitor
investment
performance,
to
encourage
remedial
action
and
to
make
changes
in
the
Sub
advisors
at
the
appropriate
time,
if
necessary.
Investment
Management
Fees
The
Board
considered
each
Fund’s
management
fee
rate.
For
each
Fund,
the
Board
received
certain
information
from
Broadridge.
The
Board
received
information
comparing
each
Fund’s
(1)
contractual
management
fee
rate
at
current
asset
levels
and
at
theoretical
asset
levels,
(2)
net
management
fee
rate
(after
any
fee
waivers)
at
average
fiscal-year
asset
levels,
(3)
actual
non-management
fee
rate
at
average
fiscal-year
asset
levels,
and
(4)
total
net
expense
ratio
(including,
as
applicable,
acquired
fund
fees
and
expenses
and
after
any
expense
caps
or
fee
waivers)
at
average
fiscal-year
asset
levels
for
Class
A
shares,
in
each
case
as
available,
to
investment
advisory
fee
rates
and
expense
ratios
of
funds
in
a
peer
group
selected
by
Broadridge
(“Expense
Group”),
and,
if
available,
a
broad-based,
industry
category
defined
by
Broadridge
(“Expense
Universe”).
The
Board
considered
that
the
Capital
Securities
fund
does
not
pay
a
management
fee.
For
Funds
that
did
not
offer
Class
A
shares
or
if
Class
A
shares
represented
less
than
5%
of
the
Fund’s
total
assets,
the
information
provided
was
based
upon
Institutional
Class
shares.
In
evaluating
the
management
fee
rates,
the
Board
considered
a
variety
of
factors,
including
the
fee
rates,
breakpoints,
comparisons
to
fee
rates
of
peer
group
funds
and
other
funds
and
non
fund
accounts
managed
by
the
Manager,
sub-advisory
fee
rates
paid,
services
provided,
investment
performance,
total
net
expense
ratios,
profitability,
the
existence
and
sharing
of
economies
of
scale,
fall-out
benefits
and
expense
caps
and
fee
waivers.
The
Board
considered
the
impact
of
changes
in
sub-advisory
fee
rates
put
into
effect
since
September
2018.The
Board
considered
that
certain
Funds
with
similar
investment
strategies
and
policies
have
different
management
fees
and
noted
the
reasons
cited
by
the
Manager
for
the
differing
fees.
For
most
Funds,
actual
management
fees
were
within
the
third
quartile
or
better
when
compared
to
their
Expense
Group.
For
some
Funds,
although
actual
management
fees
were
higher
than
the
third
quartile,
total
net
expense
ratios
were
within
the
third
quartile
or
better.
Profitability
The
Board
reviewed
detailed
information
regarding
revenues
PGI
received
under
the
Management
Agreements
and
the
estimated
direct
and
indirect
costs
incurred
in
providing
to
each
Fund
the
services
described
in
the
applicable
Management
Agreements
for
the
year
ended
December
31,
2018.
The
Board
also
considered
the
returns
on
revenue
generated
in
connection
with
the
payment
of
sub-advisory
fees
to
affiliated
Sub-advisors
(Columbus
Circle
Investors,
Finisterre
Capital
LLP,
Origin
Asset
Management
LLP,
Principal
Real
Estate
Investors
LLC
and
Spectrum
Asset
Management,
Inc.)
and
the
aggregated
return
on
revenue
to
PGI
and
its
affiliates
for
the
year
ended
December
31,
2018.
The
Board
concluded
that
the
management
fee
for
each
Fund
was
reasonable,
taking
into
account
the
profitability
information
presented
by
the
Manager.
Economies
of
Scale
The
Board
considered
whether
there
are
economies
of
scale
with
respect
to
the
management
of
each
Fund
and
whether
the
Funds
benefit
from
any
such
economies
of
scale.
The
Board
considered
the
Manager’s
biennial
breakpoint
study
that
was
received
by
the
Board
in
March
2018
and
the
Manager’s
representation
that
Funds
are
initially
priced
as
though
the
Fund
had
reached
scale,
reflecting
a
sharing
of
economies
of
scale.
The
Board
then
reviewed
the
levels
at
which
breakpoints
occur,
the
incremental
declines
in
management
fee
rates
at
each
breakpoint
and
the
amount
of
fee
reductions
that
had
been
provided
to
shareholders
as
a
result
of
these
breakpoints.
The
Board
considered
cost
saving
passed
along
to
the
Funds
as
a
result
of
certain
expense
caps
and
fee
waivers.
The
Board
considered
whether
the
effective
management
fee
rate
for
each
Fund
under
the
applicable
Management
Agreement
is
reasonable
in
relation
to
the
asset
size
of
such
Fund.
The
Board
also
noted
management’s
explanation
of
efficiencies
in
the
Manager’s
cost
structure.
The
Board
concluded
that
the
fee
schedule
for
each
Fund,
taking
into
account
the
proposed
amendments
described
above,
reflects
an
appropriate
level
of
sharing
of
any
economies
of
scale.
The
Board
also
noted
that
the
management
fee
schedules
for
the
Bond
Market
Index
Fund
and
International
Equity
Index
Fund
do
not
include
breakpoints,
but
each
such
Fund
has
a
relatively
low
management
fee
rate
(25
basis
points
or
less)
on
all
Fund
assets.
Considering
all
relevant
factors,
including
the
level
of
the
fee,
the
Board
determined
that
no
breakpoints
were
necessary
at
this
time.
26
Other
Benefits
to
Manager
The
Board
also
considered
the
character
and
amount
of
other
incidental
benefits
received
by
the
Manager
and
its
affiliates
from
their
relationships
with
the
Funds.
The
Board
concluded
that
the
incidental
benefits
received
by
the
Manager
and
its
affiliates
were
appropriate.
Special
Circumstances
For
certain
Funds,
in
reaching
the
conclusion
that
the
Management
Agreement
should
be
renewed,
the
Board
included
within
their
considerations
certain
actions
previously
taken
by
the
Board.
Subadvisory
Agreements
Nature,
Quality
and
Extent
of
Services
The
Board
considered
the
nature,
quality
and
extent
of
the
services
provided
under
each
Sub
advisory
Agreement.
The
Board
considered
the
reputation,
qualifications
and
background
of
the
Sub-advisor,
the
investment
approach
of
the
Sub-advisor,
the
experience
and
skills
of
investment
personnel
responsible
for
the
day-to-day
management
of
each
Fund
and
the
resources
made
available
to
such
personnel.
The
Board
also
considered
the
Sub-advisors’
compliance
with
investment
policies
and
general
legal
compliance.
Based
upon
all
relevant
factors,
the
Board
concluded
that
the
nature,
quality
and
extent
of
the
services
provided
by
the
Sub-advisors
to
the
sub-advised
Funds
under
the
Sub-
advisory
Agreements
are
satisfactory.
With
respect
to
each
Sub-advisory
Agreement
for
which
management
proposed
an
amendment
that
would
result
in
a
reduction
in
the
sub-
advisory
fee
rate,
the
Board
considered
the
Manager’s
representation
that
the
amendment
would
not
reduce
the
nature,
quality
or
extent
of
the
services
the
Sub-advisor
provides
and
that
the
Sub-advisor’s
obligations
under
the
Sub
advisory
Agreement
would
remain
the
same
in
all
material
respects.
Investment
Performance
As
to
each
sub-advised
Fund,
the
Manager
had
advised
the
Board
that
the
investment
services
delivered
by
each
Sub-advisor
to
the
Fund
were
reasonable.
Based
upon
all
relevant
factors,
the
Board
concluded
that
each
Sub-advisor
is
qualified
and
that
either:
(1)
the
investment
performance
of
the
Sub-advisor
met
acceptable
levels
of
investment
performance;
or
(2)
although
the
Fund
experienced
underperformance
from
the
applicable
Sub-advisor,
based
upon
that
Fund’s
particular
circumstances
or
in
light
of
remedial
efforts
being
taken
to
improve
performance,
as
applicable,
it
was
in
the
best
interests
of
the
Fund
to
continue
to
closely
monitor
performance
and
to
renew
the
Sub-advisory
Agreement.
In
each
case
involving
underperformance,
the
Board
concluded
that
the
Manager
was
providing
effective
monitoring.
Fees,
Economies
of
Scale
and
Profitability
For
each
sub-advised
Fund,
the
Board
considered
the
sub-advisory
fee
rates,
noting
that
the
Manager
compensates
each
Sub-advisor
from
its
own
management
fee,
so
that
shareholders
pay
only
the
management
fee.
For
each
sub-advised
Fund,
the
Board
received
certain
information
from
Broadridge
comparing
each
such
Fund’s
sub-advisory
fee
rate
at
current
asset
levels
and
at
theoretical
asset
levels
to
sub-advisory
fee
rates
of
sub
advised
funds
in
the
Expense
Group
and,
if
available,
the
Expense
Universe.
The
Board
considered
that
the
Capital
Securities
Fund
does
not
receive
a
subadvisory
fee.
The
Board
considered
whether
there
are
economies
of
scale
with
respect
to
the
sub-advisory
services
provided
to
each
sub-advised
Fund
and,
if
so,
whether
the
sub-advisory
fees
reflect
such
economies
of
scale
through
breakpoints
in
fee
schedules
or
whether
the
sub-advisory
fee
schedule
is
otherwise
appropriate
at
current
asset
levels.
In
addition,
in
evaluating
the
sub
advisory
fee
rates
and
the
factor
of
profitability,
with
respect
to
unaffiliated
Sub-advisors,
the
Board
considered
that
the
sub-advisory
fee
rate
was
negotiated
at
arm’s
length
between
the
Manager
and
the
Sub-advisor.
The
Board
considered
the
profitability
of
the
affiliated
Sub
advisors
in
conjunction
with
their
review
of
the
profitability
of
the
Manager.
Other
Benefits
to
Sub-advisors
The
Board
also
considered
the
character
and
amount
of
other
incidental
benefits
received
by
each
Sub-advisor
when
evaluating
the
sub
advisory
fees.
The
Board
considered
as
a
part
of
this
analysis
each
Sub-advisor’s
brokerage
practices,
soft
dollar
practices
and
use
of
research
payment
accounts.
The
Board
concluded
that
the
incidental
benefits
received
by
each
Sub
advisor
were
appropriate.
Overall
Conclusions
Based
upon
all
of
the
information
considered
and
the
conclusions
reached,
the
Board
determined
that
the
terms
of
each
Advisory
Agreement,
including
the
fee
rate
payable
thereunder,
continue
to
be
fair
and
reasonable
and
that
the
continuation
of
each
Advisory
Agreement,
with
the
actions
proposed
by
the
Manager,
is
in
the
best
interests
of
each
Fund.
Principal
Funds
Distributor,
Inc.
711
High
Street
Des
Moines,
IA
50392-6370
Do
not
use
this
address
for
business
correspondence
principalfunds.com
Investing
involves
risk,
including
possible
loss
of
principal.
This
shareholder
report
is
published
as
general
information
for
the
shareholders
of
Principal
Funds.
This
material
is
not
authorized
for
distribution
unless
preceded
or
accompanied
by
a
current
prospectus
or
a
summary
prospectus
that
includes
more
information
regarding
the
risk
factors,
expenses,
policies,
and
objectives
of
the
funds.
Investors
should
read
the
prospectus
or
summary
prospectus
carefully
before
investing.
To
obtain
a
prospectus
or
summary
prospectus,
please
contact
your
financial
professional
or
call
800-222-5852.
Principal
Funds
are
distributed
by
Principal
Funds
Distributor,
Inc.
Principal,
Principal
and
symbol
design,
and
Principal
Financial
Group
are
registered
trademarks
and
services
marks
of
Principal
Financial
Services,
Inc.,
a
Principal
Financial
Group
company.
©
2020
Principal
Financial
Services,
Inc.
|
FV908-05
|
02/2020
|
729290

ITEM 2 – CODE OF ETHICS

 
Not applicable to semi-annual reports.
 

ITEM 3 – AUDIT COMMITTEE FINANCIAL EXPERT

 
Not applicable to semi-annual reports.
 

ITEM 4 – PRINCIPAL ACCOUNTANT FEES AND SERVICES

 
Not applicable to semi-annual reports.
 

ITEM 5 – AUDIT COMMITTEE OF LISTED REGISTRANTS

 
Not applicable.
 

ITEM 6 – SCHEDULE OF INVESTMENTS

 
Schedule of Investments is included as part of the Report to Shareholders filed under Item 1 of this form.
 
ITEM 7 – DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
 
Not applicable.
 
ITEM 8 – PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
 
Not applicable.
 
ITEM 9 – PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS
 
Not applicable.
 

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

 

None

 

ITEM 11 – 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 12 – DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES

 
Not applicable.
 
ITEM 13 – EXHIBITS
 
(a)(1) Code of Ethics - Not applicable to semi-annual reports.
 
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 attached hereto as Exhibit 99.CERT.
 
(b) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto as Exhibit 99.906CERT.

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/ Kamal Bhatia
 
            Kamal Bhatia, President and CEO
 
Date
4/09/2020
 
 
 
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/ Kamal Bhatia
 
            Kamal Bhatia, President and CEO
 
Date
4/09/2020
 
 
 
By
/s/ Tracy W. Bollin
 
            Tracy W. Bollin, Chief Financial Officer
 
Date
4/09/2020