| Shares | Value | |
| SHORT-TERM INVESTMENTS – 1.83% | ||
| Money Market Funds — 1.83% | ||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.01%(d) | 12,101,962 | $12,101,962 |
TOTAL SHORT-TERM INVESTMENTS (Cost $12,101,962) | $12,101,962 | |
Total Investments (Cost $656,648,410) – 99.78% | $660,862,795 | |
Other Assets in Excess of Liabilities – 0.22% | 1,467,736 | |
TOTAL NET ASSETS – 100.00% | $662,330,531 | |
| Percentages are stated as a percent of net assets. | ||
| ADR American Depositary Receipt | ||
| (a) | Non-income producing security. |
| (b) | All or a portion of this security is on loan. See Note 2 in the Notes to Financial Statements. |
| (c) | Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income. |
| (d) | The rate shown is the annualized seven day yield as of June 30, 2021. |
| COMMON STOCKS | |
Aerospace & Defense | 2.12% |
Auto Components | 1.05% |
Automobiles | 2.92% |
Banks | 8.58% |
Beverages | 3.61% |
Building Products | 0.98% |
Capital Markets | 4.26% |
Chemicals | 1.06% |
Commercial Services & Supplies | 1.92% |
Construction Materials | 4.66% |
Diversified Financial Services | 0.61% |
Diversified Telecommunication Services | 5.31% |
Equity Real Estate Investment Trusts | 2.20% |
Food & Staples Retailing | 7.21% |
Food Products | 2.08% |
Health Care Providers & Services | 1.63% |
Household Products | 1.69% |
Insurance | 3.79% |
Internet & Direct Marketing Retail | 1.60% |
Media | 5.08% |
Metals & Mining | 1.01% |
Multiline Retail | 1.12% |
Multi-Utilities | 1.95% |
Oil, Gas & Consumable Fuels | 6.89% |
Pharmaceuticals | 13.11% |
Specialty Retail | 1.22% |
Textiles, Apparel & Luxury Goods | 2.03% |
Tobacco | 2.43% |
TOTAL COMMON STOCKS | 92.12% |
| PREFERRED STOCKS | |
Biotechnology | 2.33% |
Oil, Gas & Consumable Fuels | 3.50% |
TOTAL PREFERRED STOCKS | 5.83% |
SHORT-TERM INVESTMENTS | 1.83% |
TOTAL INVESTMENTS | 99.78% |
Other Assets in Excess of Liabilities | 0.22% |
TOTAL NET ASSETS | 100.00% |
| Shares | Value | |
| SHORT-TERM INVESTMENTS – 1.71% | ||
| Money Market Funds — 1.71% | ||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.01%(c) | 796,177 | $796,177 |
TOTAL SHORT-TERM INVESTMENTS (Cost $796,177) | $796,177 | |
Total Investments (Cost $36,704,470) – 100.07% | $46,650,314 | |
Liabilities in Excess of Other Assets – (0.07)% | (34,913) | |
TOTAL NET ASSETS – 100.00% | $46,615,401 | |
| Percentages are stated as a percent of net assets. | ||
| ADR American Depositary Receipt | ||
| (a) | Non-income producing security. |
| (b) | Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income. |
| (c) | The rate shown is the annualized seven day yield as of June 30, 2021. |
| COMMON STOCKS | |
Aerospace & Defense | 4.52% |
Air Freight & Logistics | 1.45% |
Auto Components | 1.35% |
Automobiles | 3.00% |
Banks | 14.10% |
Beverages | 0.98% |
Capital Markets | 5.60% |
Construction Materials | 3.26% |
Consumer Finance | 1.27% |
Electric Utilities | 0.70% |
Electrical Equipment | 1.89% |
Energy Equipment & Services | 1.01% |
Equity Real Estate Investment Trusts | 1.55% |
Food & Staples Retailing | 4.74% |
Food Products | 0.94% |
Health Care Providers & Services | 9.52% |
Health Care Technology | 1.27% |
Hotels, Restaurants & Leisure | 1.41% |
Household Durables | 1.96% |
Insurance | 2.61% |
Internet & Direct Marketing Retail | 2.12% |
IT Services | 0.31% |
Media | 5.61% |
Multi-Utilities | 1.76% |
Oil, Gas & Consumable Fuels | 7.16% |
Pharmaceuticals | 9.71% |
Semiconductors & Semiconductor Equipment | 1.03% |
Specialty Retail | 1.78% |
Technology Hardware, Storage & Peripherals | 1.68% |
Tobacco | 2.68% |
TOTAL COMMON STOCKS | 96.97% |
| PREFERRED STOCKS | |
Biotechnology | 0.96% |
Technology Hardware, Storage & Peripherals | 0.43% |
TOTAL PREFERRED STOCKS | 1.39% |
SHORT-TERM INVESTMENTS | 1.71% |
TOTAL INVESTMENTS | 100.07% |
Liabilities in Excess of Other Assets | (0.07)% |
TOTAL NET ASSETS | 100.00% |
| Shares | Value | |
| SHORT-TERM INVESTMENTS – 2.47% | ||
| Money Market Funds — 2.47% | ||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.01%(e) | 35,518,782 | $35,518,782 |
TOTAL SHORT-TERM INVESTMENTS (Cost $35,518,782) | $35,518,782 | |
Total Investments (Cost $1,450,614,368) – 100.20% | $1,443,106,559 | |
Liabilities in Excess of Other Assets – (0.20)% | (2,905,432) | |
TOTAL NET ASSETS – 100.00% | $1,440,201,127 | |
| Percentages are stated as a percent of net assets. | ||
| ADR American Depositary Receipt | ||
| GDR Global Depositary Receipt | ||
| NVDR Non-Voting Depositary Receipt | ||
| (a) | Non-income producing security. |
| (b) | Acquired in a transaction exempt from registration under Rule 144A or Section 4(a)(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $54,848,896 which represented 3.81% of the net assets of the Fund. |
| (c) | Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income. |
| (d) | Represents the underlying security of a participatory note with HSBC Bank Plc. China South Publishing & Media Group Co. Ltd. has a maturity date of November 23, 2021. See Note 2 in the Notes to Financial Statements. |
| (e) | The rate shown is the annualized seven day yield as of June 30, 2021. |
| COMMON STOCKS | |
Aerospace & Defense | 3.51% |
Air Freight & Logistics | 1.53% |
Airlines | 1.15% |
Banks | 9.56% |
Beverages | 1.12% |
Commercial Services & Supplies | 0.82% |
Construction Materials | 2.52% |
Diversified Consumer Services | 2.04% |
Diversified Financial Services | 1.37% |
Diversified Telecommunication Services | 3.41% |
Electric Utilities | 2.13% |
Electronic Equipment, Instruments & Components | 2.29% |
Equity Real Estate Investment Trusts | 4.21% |
Food & Staples Retailing | 1.87% |
Food Products | 2.01% |
Health Care Providers & Services | 3.15% |
Hotels, Restaurants & Leisure | 4.01% |
Household Durables | 2.02% |
Insurance | 3.85% |
Internet & Direct Marketing Retail | 5.37% |
IT Services | 1.94% |
Media | 2.62% |
Metals & Mining | 2.47% |
Multiline Retail | 0.56% |
Oil, Gas & Consumable Fuels | 1.92% |
Semiconductors & Semiconductor Equipment | 5.71% |
Specialty Retail | 2.37% |
Technology Hardware, Storage & Peripherals | 5.57% |
Tobacco | 3.87% |
Wireless Telecommunication Services | 9.20% |
TOTAL COMMON STOCKS | 94.17% |
| PREFERRED STOCKS | |
Oil, Gas & Consumable Fuels | 3.52% |
TOTAL PREFERRED STOCKS | 3.52% |
| PARTICIPATORY NOTES | |
Media | 0.04% |
TOTAL PARTICIPATORY NOTES | 0.04% |
SHORT-TERM INVESTMENTS | 2.47% |
TOTAL INVESTMENTS | 100.20% |
Liabilities in Excess of Other Assets | (0.20)% |
TOTAL NET ASSETS | 100.00% |
| Shares | Value | |
| SHORT-TERM INVESTMENTS – 2.11% | ||
| Money Market Funds — 2.11% | ||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.01%(e) | 8,761,508 | $8,761,508 |
TOTAL SHORT-TERM INVESTMENTS (Cost $8,761,508) | $8,761,508 | |
Total Investments (Cost $380,347,937) – 101.32% | $419,837,401 | |
Liabilities in Excess of Other Assets – (1.32)% | (5,471,222) | |
TOTAL NET ASSETS – 100.00% | $414,366,179 | |
| Percentages are stated as a percent of net assets. | ||
| ADR American Depositary Receipt | ||
| GDR Global Depositary Receipt | ||
| (a) | Non-income producing security. |
| (b) | Acquired in a transaction exempt from registration under Rule 144A or Section 4(a)(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $23,026,764 which represented 5.56% of the net assets of the Fund. |
| (c) | Affiliated issuer. See Note 3 in the Notes to Financial Statements. |
| (d) | Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income. |
| (e) | The rate shown is the annualized seven day yield as of June 30, 2021. |
| COMMON STOCKS | |
Aerospace & Defense | 5.98% |
Auto Components | 0.80% |
Banks | 12.10% |
Beverages | 3.48% |
Capital Markets | 0.47% |
Commercial Services & Supplies | 7.17% |
Communications Equipment | 1.67% |
Construction & Engineering | 1.42% |
Construction Materials | 2.94% |
Diversified Financial Services | 3.18% |
Diversified Telecommunication Services | 2.62% |
Electric Utilities | 1.04% |
Electrical Equipment | 0.27% |
Electronic Equipment, Instruments & Components | 2.28% |
Entertainment | 0.22% |
Equity Real Estate Investment Trusts | 6.19% |
Food & Staples Retailing | 7.64% |
Food Products | 5.94% |
Gas Utilities | 1.02% |
Health Care Equipment & Supplies | 1.58% |
Hotels, Restaurants & Leisure | 2.37% |
Household Durables | 3.25% |
Insurance | 1.10% |
Leisure Products | 0.78% |
Machinery | 4.00% |
Media | 2.78% |
Metals & Mining | 0.83% |
Multiline Retail | 1.09% |
Oil, Gas & Consumable Fuels | 2.87% |
Personal Products | 0.60% |
Pharmaceuticals | 5.23% |
Real Estate Management & Development | 1.72% |
Specialty Retail | 0.82% |
Textiles, Apparel & Luxury Goods | 0.96% |
Trading Companies & Distributors | 1.06% |
TOTAL COMMON STOCKS | 97.47% |
| PREFERRED STOCKS | |
Health Care Equipment & Supplies | 1.74% |
TOTAL PREFERRED STOCKS | 1.74% |
SHORT-TERM INVESTMENTS | 2.11% |
TOTAL INVESTMENTS | 101.32% |
Liabilities in Excess of Other Assets | (1.32)% |
TOTAL NET ASSETS | 100.00% |
| Principal Amount | Value | |
| CORPORATE BONDS – 1.09% | ||
| Food & Staples Retailing – 0.54% | ||
Ingles Markets, Inc. 5.750%, 6/15/2023 | $ 13,000 | $ 13,020 |
| Multi-Utilities – 0.55% | ||
Avista Corp. 5.125%, 4/1/2022 | 13,000 | 13,448 |
TOTAL CORPORATE BONDS (Cost $26,645) | $26,468 | |
| Shares | Value | |
| SHORT-TERM INVESTMENTS – 11.89% | ||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.010%, (c) | 288,721 | $ 288,721 |
TOTAL SHORT-TERM INVESTMENTS (Cost $288,721) | $288,721 | |
Total Investments (Cost $2,111,154) – 100.21% | $2,433,759 | |
Liabilities in Excess of Other Assets – (0.21)% | (5,090) | |
TOTAL NET ASSETS – 100.00% | $2,428,669 | |
| Percentages are stated as a percent of net assets. | ||
| ADR American Depositary Receipt | ||
| (a) | Non-income producing security. |
| (b) | The price for this security was derived from an estimate of fair market value using methods approved by the Fund’s Board of Trustees. This security represents $28,425 or 1.17% of the Fund’s net assets and is classified as a Level 3 security. See Note 2 in the Notes to Financial Statements. |
| (c) | The rate shown is the annualized seven day yield as of June 30, 2021. |
| COMMON STOCKS | |
Brazil | 3.79% |
Canada | 5.57% |
Ireland | 0.80% |
United States | 77.07% |
TOTAL COMMON STOCKS | 87.23% |
| CORPORATE BONDS | |
United States | 1.09% |
TOTAL CORPORATE BONDS | 1.09% |
SHORT-TERM INVESTMENTS | 11.89% |
TOTAL INVESTMENTS | 100.21% |
Liabilities in Excess of Other Assets | (0.21)% |
TOTAL NET ASSETS | 100.00% |
| Shares | Value | |
| COMMON STOCKS – 0.00% | ||
| Household Durables – 0.00% | ||
Urbi Desarrollos Urbanos SAB de CV (a) | 1,564 | $ 334 |
TOTAL COMMON STOCKS (Cost $292,050) | $334 | |
| Principal Amount | Value | |
| FEDERAL AND FEDERALLY SPONSORED CREDITS – 6.32% | ||
| Federal Home Loan Mortgage Corporation – 2.08% | ||
Pool A9-3505 4.500%, 8/1/2040 | 58,301 | $ 64,835 |
Pool G0-6018 6.500%, 4/1/2039 | 17,525 | 20,216 |
Pool G1-8578 3.000%, 12/1/2030 | 794,295 | 839,988 |
Pool SD-8001 3.500%, 7/1/2049 | 314,026 | 330,317 |
Pool SD-8003 4.000%, 7/1/2049 | 383,228 | 407,943 |
| 1,663,299 | ||
| Federal National Mortgage Association – 4.24% | ||
Pool 934124 5.500%, 7/1/2038 | 38,160 | 44,308 |
Pool AL9865 3.000%, 2/1/2047 | 914,936 | 961,887 |
Pool AS6201 3.500%, 11/1/2045 | 321,423 | 343,127 |
Pool BJ2553 3.500%, 12/1/2047 | 299,862 | 317,809 |
Pool BN6683 3.500%, 6/1/2049 | 603,879 | 635,612 |
Pool CA1624 3.000%, 4/1/2033 | 606,453 | 642,628 |
Pool MA0918 4.000%, 12/1/2041 | 137,438 | 150,423 |
Pool MA3687 4.000%, 6/1/2049 | 269,963 | 287,300 |
| 3,383,094 | ||
TOTAL FEDERAL AND FEDERALLY SPONSORED CREDITS (Cost $4,788,380) | $5,046,393 | |
| OTHER MORTGAGE RELATED SECURITIES – 0.00% | ||
| Collateralized Mortgage Obligations – 0.00% | ||
Wells Fargo Mortgage Backed Securities Trust Series 2006-AR14 3.104%, 10/25/2036(b) | 559 | $ 537 |
TOTAL OTHER MORTGAGE RELATED SECURITIES (Cost $550) | $537 | |
| US GOVERNMENTS – 53.63% | ||
| Sovereign – 53.63% | ||
United States Treasury Note | ||
2.375%, 8/15/2024 | 6,360,000 | $ 6,733,402 |
2.250%, 2/15/2027 | 10,075,000 | 10,768,050 |
2.375%, 5/15/2029 | 14,400,000 | 15,539,062 |
United States Treasury Bond | ||
4.750%, 2/15/2037 | 5,775,000 | 8,197,793 |
3.500%, 2/15/2039 | 1,250,000 | 1,563,623 |
| Principal Amount | Value | |
TOTAL US GOVERNMENTS (Cost $40,974,375) | $42,801,930 | |
| CORPORATE BONDS – 34.77% | ||
| Automobiles – 1.45% | ||
Ford Motor Credit Co. LLC | ||
5.875%, 8/2/2021 | 410,000 | $ 412,091 |
3.350%, 11/1/2022 | 370,000 | 379,213 |
3.375%, 11/13/2025 | 350,000 | 362,932 |
| 1,154,236 | ||
| Banks – 5.71% | ||
Fifth Third Bancorp 8.250%, 3/1/2038 | 175,000 | 292,158 |
JPMorgan Chase & Co. 3.655% (3M LIBOR + 3.470%), Perpetual(c) | 1,317,000 | 1,320,293 |
USB Capital IX 3.500% (3M LIBOR + 1.020%, minimum of 3.500%), Perpetual(c) | 1,830,000 | 1,811,700 |
Wells Fargo & Co. 2.100%, 7/26/2021 | 1,130,000 | 1,131,435 |
| 4,555,586 | ||
| Commercial Services & Supplies – 3.05% | ||
Iron Mountain, Inc. 4.875%, 9/15/2027(d) | 645,000 | 668,643 |
Prime Security Services Borrower LLC | ||
5.750%, 4/15/2026(d) | 715,000 | 789,839 |
6.250%, 1/15/2028(d) | 915,000 | 973,331 |
| 2,431,813 | ||
| Consumer Products – 3.14% | ||
Avon Products, Inc. 6.500%, 3/15/2023 | 1,625,000 | 1,747,484 |
Travel + Leisure Co. 6.625%, 7/31/2026(d) | 670,000 | 759,110 |
| 2,506,594 | ||
| Containers & Packaging – 0.57% | ||
Sealed Air Corp. 4.000%, 12/1/2027(d) | 430,000 | 457,413 |
| Electric Utilities – 0.72% | ||
Commonwealth Edison Co. 5.900%, 3/15/2036 | 175,000 | 247,359 |
| Principal Amount | Value | |
FirstEnergy Corp. 7.375%, 11/15/2031 | 240,000 | $ 328,682 |
| 576,041 | ||
| Equipment – 0.02% | ||
Continental Airlines Pass Through Trust Series 2007-1 5.983%, 4/19/2022 | 14,355 | 14,680 |
| Food, Beverage & Tobacco – 1.09% | ||
Pilgrim's Pride Corp. | ||
5.875%, 9/30/2027(d) | 210,000 | 223,650 |
4.250%, 4/15/2031(d) | 625,000 | 647,656 |
| 871,306 | ||
| Health Care Facilities & Services – 1.34% | ||
Tenet Healthcare Corp. 4.875%, 1/1/2026(d) | 1,030,000 | 1,068,316 |
| Homebuilders – 2.48% | ||
PulteGroup, Inc. 5.500%, 3/1/2026 | 980,000 | 1,144,150 |
Toll Brothers Finance Corp. 4.875%, 11/15/2025 | 745,000 | 836,162 |
| 1,980,312 | ||
| Media – 0.89% | ||
Charter Communications Operating LLC 4.908%, 7/23/2025 | 295,000 | 334,209 |
Netflix, Inc. 4.375%, 11/15/2026 | 330,000 | 375,282 |
| 709,491 | ||
| Oil, Gas & Consumable Fuels – 6.95% | ||
BP Capital Markets Plc 3.506%, 3/17/2025 | 810,000 | 886,076 |
Continental Resources, Inc. | ||
4.500%, 4/15/2023 | 355,000 | 369,406 |
4.375%, 1/15/2028 | 215,000 | 237,844 |
Exxon Mobil Corp. 2.397%, 3/6/2022 | 945,000 | 955,700 |
Kinder Morgan, Inc. 4.300%, 6/1/2025 | 1,054,000 | 1,173,520 |
Occidental Petroleum Corp. | ||
1.606% (3M LIBOR + 1.450%), 8/15/2022(c) | 365,000 | 363,188 |
3.500%, 6/15/2025 | 555,000 | 567,488 |
| Principal Amount | Value | |
Range Resources Corp. 4.875%, 5/15/2025 | 960,000 | $ 993,600 |
| 5,546,822 | ||
| Technology – 3.55% | ||
Microsoft Corp. 2.400%, 2/6/2022 | 1,000,000 | 1,011,812 |
MicroStrategy, Inc. 0.000%, 2/15/2027(d),(e) | 640,000 | 477,440 |
VMware, Inc. | ||
4.500%, 5/15/2025 | 215,000 | 240,113 |
3.900%, 8/21/2027 | 995,000 | 1,105,786 |
| 2,835,151 | ||
| Telecommunications – 3.81% | ||
AT&T, Inc. 3.000%, 6/30/2022 | 1,630,000 | 1,666,724 |
Sprint Spectrum Co. LLC 5.152%, 3/20/2028(d) | 415,000 | 477,125 |
Telecom Italia Capital SA 6.375%, 11/15/2033 | 480,000 | 572,400 |
T-Mobile USA, Inc. 4.750%, 2/1/2028 | 300,000 | 321,375 |
| 3,037,624 | ||
TOTAL CORPORATE BONDS (Cost $26,014,572) | $27,745,385 | |
| ASSET BACKED SECURITIES – 1.71% | ||
| Student Loan – 1.71% | ||
SLM Private Credit Student Loan Trust Series 2007-A, 0.359%, (3M LIBOR + 0.240%), 12/16/2041(c) | 212,957 | $ 207,633 |
SLM Private Credit Student Loan Trust Series 2004-B, 0.549%, (3M LIBOR + 0.430%), 9/15/2033(c) | 300,000 | 293,262 |
SLM Private Credit Student Loan Trust Series 2005-A, 0.429%, (3M LIBOR + 0.310%), 12/15/2038(c) | 340,461 | 333,319 |
SLM Private Credit Student Loan Trust Series 2006-A, 0.409%, (3M LIBOR + 0.290%), 6/15/2039(c) | 543,234 | 527,609 |
TOTAL ASSET BACKED SECURITIES (Cost $1,291,504) | $1,361,823 | |
| Shares | Value | |
| SHORT-TERM INVESTMENTS – 8.81% | ||
| Money Market Funds – 8.81% | ||
Northern Institutional Funds - Treasury Portfolio (Premier), 0.01%(f) | 7,030,894 | $ 7,030,894 |
TOTAL SHORT-TERM INVESTMENTS (Cost $7,030,894) | $7,030,894 | |
| Shares | Value | |
Total Investments (Cost $80,392,325) – 105.24% | $83,987,296 | |
Liabilities in Excess of Other Assets – (5.24)% | (4,180,806) | |
Total Net Assets – 100.00% | $79,806,490 |
| Percentages are stated as a percent of net assets. | ||
| LIBOR London Interbank Offered Rate | ||
| (a) | Non-income producing security. |
| (b) | Variable rate security. The coupon is based on an underlying pool of loans. |
| (c) | Variable rate security. The coupon is based on a reference index and spread index. |
| (d) | Acquired in a transaction exempt from registration under Rule 144A or Section 4(a)(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $6,542,523 which represented 8.20% of the net assets of the Fund. |
| (e) | Zero coupon bond. |
| (f) | The rate shown is the annualized seven day yield as of June 30, 2021. |
| A. | Fair Value Measurements. The Trust has adopted GAAP accounting principles related to fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels listed below: |
| Level 1—Fair value measurement within Level 1 should be based on an unadjusted quoted price in an active market that the Funds have the ability to access for the asset or liability at the measurement date. Because a quoted price alone forms the basis for the measurement, the access requirement within Level 1 limits discretion in pricing the asset or liability, including in situations in which there are multiple markets for the asset or liability with different prices and no single market represents a principal market for the asset or liability. Importantly, the FASB has indicated that when a quoted price in an active market for a security is available, that price should be used to measure fair value without regard to an entity’s intent to transact at that price. | |
| Level 2—Fair value measurement within Level 2 should be based on all inputs other than unadjusted quoted prices included within Level 1 that are observable for the asset or liability. Other significant observable market inputs include quoted prices for similar instruments in active markets, quoted adjusted prices in active markets, quoted prices for identical or similar instruments in markets that are not active, and model derived valuations in which the majority of significant inputs and significant value drivers are observable in active markets. | |
| Level 3—Fair value measurement within Level 3 should be based on unobservable inputs in such cases where markets do not exist or are illiquid. Significant unobservable inputs include model derived valuations in which the majority of significant inputs or significant value drivers are unobservable. Unobservable inputs are those inputs that reflect the Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information. | |
| B. | Security Valuation. Common and preferred stocks, exchange-traded funds and financial derivative instruments, such as futures contracts and options contracts that are traded on a national securities or commodities exchange, are valued at the last reported sales price at the close of regular trading on |
| each day the exchange is open for trading, in the case of common stocks and exchange-traded funds, or, in the case of futures contracts or options contracts, the settlement price determined by the relevant exchange. Securities listed on the NASDAQ National Market System for which market quotations are readily available are valued using the NASDAQ Official Closing Price. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. | |
| Equity securities traded on an exchange for which there have been no sales on the valuation date are generally valued at the mean between last bid and ask price on such day and are categorized as Level 2 of the fair value hierarchy, or are fair valued by the Fair Valuation Committee. | |
| Investments in registered open-end management investment companies are valued based upon the Net Asset Values (“NAVs”) of such investments and are categorized as Level 1 of the fair value hierarchy. | |
| Valuation adjustments may be applied to certain common and preferred stocks that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the close of the New York Stock Exchange (“NYSE”). These securities are generally valued using pricing service providers that consider the correlation of the trading patterns of the foreign securities to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. As of June 30, 2021, the International Fund, Global Fund, Emerging Markets Fund and International Small Cap Fund had securities with market values of $543,563,871, $21,471,711, $845,460,841 and $182,060,292 that represent 82.07%, 46.06%, 58.70%, and 43.94% of each Fund’s net assets, respectively, that were fair valued using these valuation adjustments. | |
| Fixed income securities (other than repurchase agreements and demand notes) including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, sovereign issues, bank loans, convertible preferred securities, fixed income securities purchased on a delayed delivery basis and non-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or independent pricing services or sources. Independent pricing services typically use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. The service providers’ internal models use inputs that are observable such as, among other things, issuer details, interest rates, yield curves, prepayment speeds, credit risks/ |
| spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. | |
| Rights that are traded on a national securities exchange are valued at the last reported sales price at the close of regular trading on each day the exchange is open. A right is a privilege offered by a corporation to its shareholders pro rata to subscribe to a certain security at a specified price, often for a short period. Rights may or may not be transferable. | |
| Mortgage and asset-backed securities are usually issued as separate tranches, or classes, of securities within each package of underlying securities. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche level attributes, estimated cash flows and market based yield spreads for each tranche, and current market data and incorporate packaged collateral performance, as available. Mortgage and asset-backed securities that use such valuation techniques and inputs are categorized as Level 2 of the fair value hierarchy. | |
| Repurchase agreements and demand notes, for which neither vendor pricing nor market maker prices are available, are valued at amortized cost on the day of valuation, unless Brandes Investment Partners, L.P. (the “Advisor”) determines that the use of amortized cost valuation on such day is not appropriate (in which case such instrument is fair valued in accordance with the fair value procedures of the Trust). | |
| Certain securities may be fair valued in accordance with the fair valuation procedures approved by the Board of Trustees. The Fair Valuation Committee is generally responsible for overseeing the day-to-day valuation processes and reports periodically to the Board. The Fair Valuation Committee is authorized to make all necessary determinations of the fair value of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable. The securities fair valued by the Fair Valuation Committee are indicated in the Schedules of Investments and are categorized as Level 2 or Level 3 of the fair value hierarchy. Certain vendor priced securities may also be considered Level 3 if significant unobservable inputs are used by the vendors. | |
| In using fair value pricing, each Fund attempts to establish the price that it might reasonably have expected to receive upon a sale of the security at 4:00 p.m. Eastern time. Valuing securities at fair value involves greater reliance on judgment than valuation of securities based on readily available |
| market quotations. A Fund using fair value to price securities may value those securities higher or lower than another fund using market quotations or fair value to price the same securities. Further, there can be no assurance that the Fund could obtain the fair value assigned to a security if it were to sell the security at approximately the time at which the Fund determines its net asset value. |
| Description | Level 1 | Level 2 | Level 3 | Total | ||||
| Investments in Securities | ||||||||
| International Fund | ||||||||
Common Stocks | ||||||||
Communication Services | $11,744,260 | $57,147,870 | $— | $68,892,130 | ||||
Consumer Discretionary | — | 65,911,184 | — | 65,911,184 | ||||
Consumer Staples | 25,134,426 | 87,605,329 | — | 112,739,755 | ||||
Energy | 3,087,040 | 42,503,019 | — | 45,590,059 | ||||
Financials | 4,041,742 | 110,061,355 | — | 114,103,097 | ||||
Health Care | — | 97,581,396 | — | 97,581,396 | ||||
Industrials | 14,011,268 | 19,209,150 | — | 33,220,418 | ||||
Materials | 9,381,271 | 35,188,077 | — | 44,569,348 | ||||
Real Estate | 14,586,377 | — | — | 14,586,377 | ||||
Utilities | — | 12,936,491 | — | 12,936,491 | ||||
Total Common Stocks | 81,986,384 | 528,143,871 | — | 610,130,255 | ||||
Preferred Stocks | ||||||||
Energy | 13,213,856 | 9,996,722 | — | 23,210,578 | ||||
Health Care | — | 15,420,000 | — | 15,420,000 | ||||
Total Preferred Stocks | 13,213,856 | 25,416,722 | — | 38,630,578 | ||||
Short-Term Investments | 12,101,962 | — | — | 12,101,962 | ||||
Total Investments in Securities | $107,302,202 | $553,560,593 | $— | $660,862,795 |
| Description | Level 1 | Level 2 | Level 3 | Total | ||||
| Global Fund | ||||||||
Common Stocks | ||||||||
Communication Services | $755,116 | $1,862,026 | $— | $2,617,142 | ||||
Consumer Discretionary | 1,128,300 | 4,289,032 | — | 5,417,332 | ||||
Consumer Staples | 1,255,917 | 3,104,827 | — | 4,360,744 | ||||
Energy | 921,621 | 2,890,562 | — | 3,812,183 | ||||
Financials | 8,358,329 | 2,636,318 | — | 10,994,647 | ||||
Health Care | 7,081,326 | 2,468,897 | — | 9,550,223 | ||||
Industrials | 3,243,673 | 417,758 | — | 3,661,431 | ||||
Materials | — | 1,519,368 | — | 1,519,368 | ||||
Real Estate | 722,139 | — | — | 722,139 | ||||
Technology | 144,354 | 1,261,327 | — | 1,405,681 | ||||
Utilities | 324,055 | 820,534 | — | 1,144,589 | ||||
Total Common Stocks | 23,934,830 | 21,270,649 | — | 45,205,479 | ||||
Preferred Stocks | ||||||||
Health Care | 447,595 | — | — | 447,595 | ||||
Technology | — | 201,063 | — | 201,063 | ||||
Total Preferred Stocks | 447,595 | 201,063 | — | 648,658 | ||||
Short-Term Investments | 796,177 | — | — | 796,177 | ||||
Total Investments in Securities | $25,178,602 | $21,471,712 | $— | $46,650,314 | ||||
| Emerging Markets Fund | ||||||||
Common Stocks | ||||||||
Communication Services | $71,506,277 | $119,697,025 | $— | $191,203,302 | ||||
Consumer Discretionary | 44,335,323 | 191,446,758 | — | 235,782,081 | ||||
Consumer Staples | 43,117,120 | 84,717,436 | — | 127,834,556 | ||||
Energy | 11,306,782 | 16,219,475 | — | 27,526,257 | ||||
Financials | 41,993,288 | 170,881,342 | — | 212,874,630 | ||||
Health Care | — | 45,391,849 | — | 45,391,849 | ||||
Industrials | 89,074,129 | 40,034,923 | — | 129,109,052 | ||||
Materials | 36,302,868 | 35,568,528 | — | 71,871,396 | ||||
Real Estate | 60,573,140 | — | — | 60,573,140 | ||||
Technology | — | 223,399,398 | — | 223,399,398 | ||||
Utilities | 10,357,056 | 20,283,426 | — | 30,640,482 | ||||
Total Common Stocks | 408,565,983 | 947,640,160 | — | 1,356,206,143 | ||||
Preferred Stocks | ||||||||
Energy | 29,115,807 | 21,627,792 | — | 50,743,599 | ||||
Participatory Notes | ||||||||
Communication Services | — | 638,035 | — | 638,035 | ||||
Short-Term Investments | 35,518,782 | — | — | 35,518,782 | ||||
Total Investments in Securities | $473,200,572 | $969,905,987 | $— | $1,443,106,559 |
| Description | Level 1 | Level 2 | Level 3 | Total | ||||
| International Small Cap Fund | ||||||||
Common Stocks | ||||||||
Communication Services | $15,918,399 | $7,384,456 | $— | $23,302,855 | ||||
Consumer Discretionary | 21,791,011 | 19,965,194 | — | 41,756,205 | ||||
Consumer Staples | 39,573,401 | 33,563,204 | — | 73,136,605 | ||||
Energy | 5,876,273 | 6,010,006 | — | 11,886,279 | ||||
Financials | 20,392,548 | 49,452,720 | — | 69,845,268 | ||||
Health Care | 8,197,916 | 19,976,653 | — | 28,174,569 | ||||
Industrials | 50,888,252 | 31,568,287 | — | 82,456,539 | ||||
Materials | 3,653,168 | 11,957,248 | — | 15,610,416 | ||||
Real Estate | 32,790,797 | — | — | 32,790,797 | ||||
Technology | 6,921,874 | 9,435,177 | — | 16,357,051 | ||||
Utilities | 8,566,741 | — | — | 8,566,741 | ||||
Total Common Stocks | 214,570,380 | 189,312,945 | — | 403,883,325 | ||||
Preferred Stocks | ||||||||
Health Care | 7,192,568 | — | — | 7,192,568 | ||||
Short-Term Investments | 8,761,508 | — | — | 8,761,508 | ||||
Total Investments in Securities | $230,524,456 | $189,312,945 | $— | $419,837,401 | ||||
| Small Cap Value Fund | ||||||||
Common Stocks | ||||||||
Consumer Discretionary | $106,731 | $— | $— | $106,731 | ||||
Consumer Staples | 167,634 | — | — | 167,634 | ||||
Energy | 265,786 | — | — | 265,786 | ||||
Financials | 281,434 | — | — | 281,434 | ||||
Health Care | 478,020 | — | 28,425 | 506,445 | ||||
Industrials | 468,572 | — | — | 468,572 | ||||
Real Estate | 70,714 | — | — | 70,714 | ||||
Technology | 219,168 | — | — | 219,168 | ||||
Utilities | 32,086 | — | — | 32,086 | ||||
Total Common Stocks | 2,090,145 | — | 28,425 | 2,118,570 | ||||
Corporate Bonds | — | 26,468 | — | 26,468 | ||||
Short-Term Investments | 288,721 | — | — | 288,721 | ||||
Total Investments in Securities | $2,378,866 | $26,468 | $28,425 | $2,433,759 | ||||
| Core Plus Fund | ||||||||
Common Stocks | ||||||||
Consumer Discretionary | $334 | $— | $— | $334 | ||||
Asset Backed Securities | — | 1,361,823 | — | 1,361,823 | ||||
Corporate Bonds | — | 27,745,385 | — | 27,745,385 | ||||
Government Securities | — | 42,801,930 | — | 42,801,930 | ||||
Mortgage Backed Securities | — | 5,046,930 | — | 5,046,930 | ||||
Short-Term Investments | 7,030,894 | — | — | 7,030,894 | ||||
Total Investments in Securities | $7,031,228 | $76,956,068 | $— | $83,987,296 |
| International Small Cap Fund | ||||||||||||||
| Issuer Name | Value At October 1, 2020 | Purchases | Sales Proceeds | Realized Gain/(Loss) | Unrealized Appreciation/(Depreciation) | Value At June 30, 2021 | Dividend Income | |||||||
| Desarrolladora Homex SAB de CV | $530,904 | $— | $— | $— | $(264,498) | $266,406 | $— | |||||||
| Urbi Desarrollos Urbanos SAB de CV | 476,764 | 3,105 | — | (1,197) | (306,227) | 172,445 | — | |||||||
| $1,007,668 | $3,105 | $— | $(1,197) | $(570,725) | $438,851 | $— | ||||||||