STATEMENT
OF INVESTMENTS
Small Cap Stock Index Portfolio
September 30, 2019 (Unaudited)
Description | Shares | Value ($) | |||||
Common Stocks - 97.5% | |||||||
Automobiles & Components - 1.9% | |||||||
American Axle & Manufacturing Holdings | 85,601 | a,b | 703,640 | ||||
Cooper Tire & Rubber | 37,626 | a | 982,791 | ||||
Cooper-Standard Holdings | 12,373 | b | 505,808 | ||||
Dorman Products | 21,567 | a,b | 1,715,439 | ||||
Fox Factory Holding | 28,721 | a,b | 1,787,595 | ||||
Garrett Motion | 55,456 | b | 552,342 | ||||
Gentherm | 24,497 | b | 1,006,459 | ||||
LCI Industries | 18,678 | 1,715,574 | |||||
Motorcar Parts of America | 14,976 | a,b | 253,094 | ||||
Standard Motor Products | 15,283 | 741,990 | |||||
Winnebago Industries | 23,269 | a | 892,366 | ||||
10,857,098 | |||||||
Banks - 11.0% | |||||||
Ameris Bancorp | 47,969 | 1,930,273 | |||||
Axos Financial | 39,598 | b | 1,094,885 | ||||
Banc of California | 32,333 | 457,189 | |||||
Banner | 25,455 | 1,429,807 | |||||
Berkshire Hills Bancorp | 32,557 | 953,595 | |||||
Boston Private Financial Holdings | 61,893 | 721,363 | |||||
Brookline Bancorp | 58,972 | 868,658 | |||||
Cadence BanCorp | 93,849 | 1,646,111 | |||||
Central Pacific Financial | 20,959 | 595,236 | |||||
City Holding | 12,104 | a | 922,930 | ||||
Columbia Banking System | 54,158 | 1,998,430 | |||||
Community Bank System | 38,289 | a | 2,362,048 | ||||
Customers Bancorp | 22,082 | b | 457,981 | ||||
CVB Financial | 97,426 | a | 2,033,281 | ||||
Dime Community Bancshares | 22,759 | 487,270 | |||||
Eagle Bancorp | 25,474 | 1,136,650 | |||||
First BanCorp | 162,735 | 1,624,095 | |||||
First Commonwealth Financial | 73,174 | 971,751 | |||||
First Financial Bancorp | 73,179 | 1,791,056 | |||||
First Midwest Bancorp | 82,660 | 1,610,217 | |||||
Flagstar Bancorp | 21,005 | 784,537 | |||||
Franklin Financial Network | 9,492 | a | 286,753 | ||||
Glacier Bancorp | 63,180 | a | 2,556,263 | ||||
Great Western Bancorp | 42,386 | 1,398,738 | |||||
Hanmi Financial | 23,582 | 442,870 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.5% (continued) | |||||||
Banks - 11.0% (continued) | |||||||
Heritage Financial | 27,130 | a | 731,425 | ||||
HomeStreet | 17,614 | b | 481,214 | ||||
Hope Bancorp | 93,499 | a | 1,340,776 | ||||
Independent Bank | 25,703 | 1,918,729 | |||||
LegacyTexas Financial Group | 36,000 | 1,567,080 | |||||
Meta Financial Group | 25,352 | 826,729 | |||||
National Bank Holdings, Cl. A | 22,784 | 778,985 | |||||
NBT Bancorp | 32,509 | 1,189,504 | |||||
NMI Holdings, Cl. A | 50,853 | b | 1,335,400 | ||||
Northfield Bancorp | 32,389 | 520,167 | |||||
Northwest Bancshares | 74,601 | a | 1,222,710 | ||||
OFG Bancorp | 37,532 | 821,951 | |||||
Old National Bancorp | 126,357 | a | 2,173,972 | ||||
Opus Bank | 16,874 | 367,347 | |||||
Oritani Financial | 27,670 | 489,621 | |||||
Pacific Premier Bancorp | 43,883 | 1,368,711 | |||||
Preferred Bank | 10,307 | 539,881 | |||||
Provident Financial Services | 45,041 | 1,104,856 | |||||
S&T Bancorp | 25,506 | a | 931,734 | ||||
Seacoast Banking Corp. of Florida | 38,227 | a,b | 967,525 | ||||
ServisFirst Bancshares | 34,724 | a | 1,151,101 | ||||
Simmons First National, Cl. A | 71,419 | 1,778,333 | |||||
Southside Bancshares | 24,119 | a | 822,699 | ||||
Tompkins Financial | 9,069 | a | 735,768 | ||||
Triumph Bancorp | 17,927 | b | 571,692 | ||||
TrustCo Bank | 70,676 | 576,009 | |||||
United Community Banks | 58,805 | 1,667,122 | |||||
Veritex Holdings | 34,740 | 842,966 | |||||
Walker & Dunlop | 21,144 | 1,182,584 | |||||
Westamerica Bancorporation | 20,246 | a | 1,258,896 | ||||
61,827,474 | |||||||
Capital Goods - 11.7% | |||||||
AAON | 30,210 | a | 1,387,847 | ||||
AAR | 24,129 | 994,356 | |||||
Actuant, Cl. A | 40,930 | 898,004 | |||||
Aegion | 22,776 | b | 486,951 | ||||
Aerojet Rocketdyne Holdings | 53,713 | a,b | 2,713,044 | ||||
AeroVironment | 16,194 | a,b | 867,351 | ||||
Alamo Group | 7,104 | 836,283 | |||||
Albany International, Cl. A | 22,700 | 2,046,632 | |||||
American Woodmark | 11,037 | b | 981,300 | ||||
Apogee Enterprises | 19,648 | 766,076 | |||||
Applied Industrial Technologies | 28,878 | 1,640,270 | |||||
Arcosa | 35,694 | 1,221,092 |
Description | Shares | Value ($) | |||||
Common Stocks - 97.5% (continued) | |||||||
Capital Goods - 11.7% (continued) | |||||||
Astec Industries | 16,488 | 512,777 | |||||
AZZ | 19,427 | 846,240 | |||||
Barnes Group | 35,278 | 1,818,228 | |||||
Briggs & Stratton | 31,187 | a | 188,993 | ||||
Chart Industries | 26,810 | a,b | 1,671,872 | ||||
CIRCOR International | 14,797 | a,b | 555,627 | ||||
Comfort Systems USA | 27,569 | 1,219,377 | |||||
Cubic | 22,993 | a | 1,619,397 | ||||
DXP Enterprises | 12,055 | b | 418,550 | ||||
Encore Wire | 15,628 | 879,544 | |||||
EnPro Industries | 15,384 | 1,056,112 | |||||
ESCO Technologies | 19,228 | 1,529,780 | |||||
Federal Signal | 44,786 | 1,466,294 | |||||
Franklin Electric | 28,675 | 1,370,952 | |||||
Gibraltar Industries | 23,930 | b | 1,099,344 | ||||
GMS | 29,715 | b | 853,415 | ||||
Griffon | 31,080 | a | 651,748 | ||||
Harsco | 60,089 | b | 1,139,287 | ||||
Hillenbrand | 46,496 | 1,435,796 | |||||
Insteel Industries | 13,825 | a | 283,827 | ||||
John Bean Technologies | 23,500 | a | 2,336,605 | ||||
Kaman | 20,629 | 1,226,600 | |||||
Lindsay | 8,165 | a | 758,120 | ||||
Lydall | 12,260 | b | 305,397 | ||||
Mercury Systems | 41,159 | b | 3,340,876 | ||||
Moog, Cl. A | 24,122 | 1,956,777 | |||||
Mueller Industries | 42,196 | 1,210,181 | |||||
MYR Group | 12,665 | b | 396,288 | ||||
National Presto Industries | 3,831 | a | 341,304 | ||||
Park Aerospace | 15,222 | 267,298 | |||||
Patrick Industries | 16,966 | a,b | 727,502 | ||||
PGT Innovations | 43,912 | b | 758,360 | ||||
Powell Industries | 6,923 | 271,035 | |||||
Proto Labs | 19,949 | b | 2,036,793 | ||||
Quanex Building Products | 23,907 | 432,239 | |||||
Raven Industries | 26,683 | 892,813 | |||||
Simpson Manufacturing | 30,130 | a | 2,090,118 | ||||
SPX | 32,543 | b | 1,302,045 | ||||
SPX FLOW | 31,611 | b | 1,247,370 | ||||
Standex International | 9,322 | 679,947 | |||||
Tennant | 13,522 | 956,005 | |||||
The Greenbrier Companies | 24,155 | 727,549 | |||||
Titan International | 37,963 | 102,500 | |||||
Triumph Group | 36,926 | a | 844,867 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.5% (continued) | |||||||
Capital Goods - 11.7% (continued) | |||||||
Universal Forest Products | 45,838 | 1,828,019 | |||||
Veritiv | 9,167 | b | 165,739 | ||||
Vicor | 12,341 | b | 364,306 | ||||
Wabash National | 41,746 | 605,734 | |||||
Watts Water Technologies, Cl. A | 20,699 | 1,940,117 | |||||
65,568,870 | |||||||
Commercial & Professional Services - 4.0% | |||||||
ABM Industries | 49,306 | 1,790,794 | |||||
Brady, Cl. A | 36,826 | 1,953,619 | |||||
Exponent | 38,533 | 2,693,457 | |||||
Forrester Research | 7,770 | b | 249,728 | ||||
FTI Consulting | 27,882 | b | 2,955,213 | ||||
Heidrick & Struggles International | 14,504 | 395,959 | |||||
Interface | 44,377 | 640,804 | |||||
Kelly Services, Cl. A | 23,151 | 560,717 | |||||
Korn Ferry | 41,996 | 1,622,725 | |||||
Matthews International, Cl. A | 23,480 | a | 830,957 | ||||
Mobile Mini | 33,197 | 1,223,641 | |||||
Navigant Consulting | 28,867 | 806,833 | |||||
Pitney Bowes | 127,053 | a | 580,632 | ||||
R.R. Donnelley & Sons | 52,492 | 197,895 | |||||
Resources Connection | 22,668 | 385,129 | |||||
Team | 22,869 | b | 412,785 | ||||
TrueBlue | 29,979 | b | 632,557 | ||||
UniFirst | 11,397 | 2,223,783 | |||||
US Ecology | 16,685 | 1,066,839 | |||||
Viad | 15,216 | 1,021,754 | |||||
22,245,821 | |||||||
Consumer Durables & Apparel - 4.7% | |||||||
Callaway Golf | 69,407 | a | 1,347,190 | ||||
Cavco Industries | 6,362 | b | 1,222,077 | ||||
Century Communities | 19,498 | a,b | 597,224 | ||||
Crocs | 46,603 | b | 1,293,699 | ||||
Ethan Allen Interiors | 18,853 | 360,092 | |||||
Fossil Group | 35,300 | a,b | 441,603 | ||||
G-III Apparel Group | 31,754 | a,b | 818,301 | ||||
Installed Building Products | 15,681 | b | 899,149 | ||||
iRobot | 21,185 | a,b | 1,306,479 | ||||
Kontoor Brands | 34,283 | a | 1,203,333 | ||||
La-Z-Boy | 34,636 | 1,163,423 | |||||
LGI Homes | 14,728 | b | 1,227,137 | ||||
M.D.C. Holdings | 36,736 | 1,583,322 | |||||
M/I Homes | 20,608 | b | 775,891 | ||||
Meritage Homes | 26,675 | b | 1,876,586 |
Description | Shares | Value ($) | |||||
Common Stocks - 97.5% (continued) | |||||||
Consumer Durables & Apparel - 4.7% (continued) | |||||||
Movado Group | 12,639 | a | 314,206 | ||||
Oxford Industries | 12,856 | a | 921,775 | ||||
Steven Madden | 58,165 | 2,081,725 | |||||
Sturm Ruger & Co. | 12,391 | 517,448 | |||||
TopBuild | 25,449 | b | 2,454,047 | ||||
Tupperware Brands | 34,355 | 545,214 | |||||
Unifi | 11,057 | b | 242,369 | ||||
Universal Electronics | 10,467 | b | 532,770 | ||||
Vera Bradley | 17,285 | a,b | 174,579 | ||||
Vista Outdoor | 43,637 | b | 270,113 | ||||
William Lyon Homes, Cl. A | 24,556 | b | 499,960 | ||||
Wolverine World Wide | 63,405 | 1,791,825 | |||||
26,461,537 | |||||||
Consumer Services - 2.4% | |||||||
American Public Education | 12,496 | b | 279,161 | ||||
BJ‘s Restaurants | 15,135 | a | 587,843 | ||||
Bloomin‘ Brands | 64,485 | a | 1,220,701 | ||||
Career Education | 52,336 | b | 831,619 | ||||
Chuy's Holdings | 12,942 | b | 320,444 | ||||
Dave & Buster's Entertainment | 22,708 | a | 884,477 | ||||
Dine Brands Global | 12,969 | a | 983,828 | ||||
El Pollo Loco Holdings | 15,438 | a,b | 169,200 | ||||
Fiesta Restaurant Group | 17,851 | a,b | 186,007 | ||||
Monarch Casino & Resort | 8,930 | b | 372,292 | ||||
Red Robin Gourmet Burgers | 9,902 | b | 329,341 | ||||
Regis | 17,243 | a,b | 348,653 | ||||
Ruth's Hospitality Group | 20,641 | 421,386 | |||||
Shake Shack, Cl. A | 22,406 | b | 2,196,684 | ||||
Strategic Education | 16,393 | 2,227,481 | |||||
Wingstop | 21,845 | 1,906,632 | |||||
13,265,749 | |||||||
Diversified Financials - 3.1% | |||||||
Apollo Commercial Real Estate Finance | 103,864 | a,c | 1,991,073 | ||||
ARMOUR Residential | 43,562 | a,c | 729,663 | ||||
Blucora | 36,799 | b | 796,330 | ||||
Capstead Mortgage | 69,318 | c | 509,487 | ||||
Donnelley Financial Solutions | 23,325 | b | 287,364 | ||||
Encore Capital Group | 19,724 | a,b | 657,302 | ||||
Enova International | 25,469 | b | 528,482 | ||||
EZCORP, Cl. A | 39,850 | a,b | 257,232 | ||||
Granite Point Mortgage Trust | 39,432 | c | 738,956 | ||||
Greenhill & Co. | 11,916 | a | 156,338 | ||||
INTL. FCStone | 11,921 | b | 489,476 | ||||
Invesco Mortgage Capital | 106,968 | c | 1,637,680 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.5% (continued) | |||||||
Diversified Financials - 3.1% (continued) | |||||||
New York Mortgage Trust | 194,218 | a,c | 1,182,788 | ||||
PennyMac Mortgage Investment Trust | 62,989 | c | 1,400,245 | ||||
Piper Jaffray | 10,484 | 791,332 | |||||
PRA Group | 33,720 | a,b | 1,139,399 | ||||
Redwood Trust | 82,342 | c | 1,351,232 | ||||
Virtus Investment Partners | 4,857 | 537,038 | |||||
Waddell & Reed Financial, Cl. A | 54,283 | a | 932,582 | ||||
WisdomTree Investments | 88,240 | a | 461,054 | ||||
World Acceptance | 4,668 | a,b | 595,217 | ||||
17,170,270 | |||||||
Energy - 3.7% | |||||||
Archrock | 94,144 | 938,616 | |||||
Bonanza Creek Energy | 14,200 | a,b | 317,938 | ||||
C&J Energy Services | 46,759 | 501,724 | |||||
Callon Petroleum | 169,867 | a,b | 737,223 | ||||
Carrizo Oil & Gas | 64,682 | a,b | 555,295 | ||||
CONSOL Energy | 20,780 | a,b | 324,791 | ||||
Denbury Resources | 349,650 | a,b | 416,084 | ||||
Diamond Offshore Drilling | 50,440 | a,b | 280,446 | ||||
DMC Global | 10,772 | a | 473,753 | ||||
Dril-Quip | 26,986 | b | 1,354,157 | ||||
Era Group | 14,812 | b | 156,415 | ||||
Exterran | 22,128 | b | 288,992 | ||||
Geospace Technologies | 11,046 | b | 169,777 | ||||
Green Plains | 24,866 | a | 263,455 | ||||
Gulf Island Fabrication | 9,549 | b | 51,087 | ||||
Gulfport Energy | 112,942 | a,b | 306,073 | ||||
Helix Energy Solutions Group | 106,824 | b | 861,001 | ||||
HighPoint Resources | 83,872 | b | 133,356 | ||||
Jagged Peak Energy | 44,217 | b | 321,015 | ||||
KLX Energy Services Holdings | 17,186 | a,b | 148,573 | ||||
Laredo Petroleum | 118,040 | a,b | 284,476 | ||||
Matrix Service | 19,177 | b | 328,694 | ||||
McDermott International | 129,962 | a,b | 262,523 | ||||
Nabors Industries | 245,902 | 459,837 | |||||
Newpark Resources | 69,316 | a,b | 528,188 | ||||
Noble | 188,799 | a,b | 239,775 | ||||
Oil States International | 46,259 | b | 615,245 | ||||
Par Pacific Holdings | 26,784 | b | 612,282 | ||||
PDC Energy | 43,873 | a,b | 1,217,476 | ||||
Penn Virginia | 10,148 | b | 295,002 | ||||
ProPetro Holding | 56,832 | b | 516,603 | ||||
QEP Resources | 169,719 | a | 627,960 | ||||
Range Resources | 149,266 | 570,196 |
Description | Shares | Value ($) | |||||
Common Stocks - 97.5% (continued) | |||||||
Energy - 3.7% (continued) | |||||||
Renewable Energy Group | 27,791 | a,b | 417,004 | ||||
REX American Resources | 4,341 | b | 331,349 | ||||
Ring Energy | 44,566 | a,b | 73,088 | ||||
RPC | 38,561 | a | 216,327 | ||||
SEACOR Holdings | 12,698 | b | 597,695 | ||||
SM Energy | 78,404 | a | 759,735 | ||||
SRC Energy | 184,268 | b | 858,689 | ||||
TETRA Technologies | 96,062 | b | 193,085 | ||||
Unit | 41,866 | a,b | 141,507 | ||||
US Silica Holdings | 54,697 | a | 522,903 | ||||
Valaris | 142,798 | a | 686,858 | ||||
Whiting Petroleum | 69,945 | a,b | 561,658 | ||||
20,517,926 | |||||||
Food & Staples Retailing - .6% | |||||||
PriceSmart | 16,564 | a | 1,177,700 | ||||
SpartanNash | 27,486 | 325,159 | |||||
The Andersons | 23,821 | 534,305 | |||||
The Chefs' Warehouse | 18,748 | b | 755,919 | ||||
United Natural Foods | 38,562 | a,b | 444,234 | ||||
3,237,317 | |||||||
Food, Beverage & Tobacco - 2.3% | |||||||
B&G Foods | 48,556 | a | 918,194 | ||||
Calavo Growers | 11,867 | a,b | 1,129,501 | ||||
Cal-Maine Foods | 22,668 | a | 905,700 | ||||
Coca-Cola Consolidated | 3,454 | 1,049,567 | |||||
Darling Ingredients | 122,455 | b | 2,342,564 | ||||
Dean Foods | 69,955 | a | 81,148 | ||||
Fresh Del Monte Produce | 22,500 | 767,475 | |||||
J&J Snack Foods | 11,052 | a | 2,121,984 | ||||
John B. Sanfilippo & Son | 6,671 | 644,419 | |||||
MGP Ingredients | 9,580 | a | 475,934 | ||||
National Beverage | 8,678 | b | 384,956 | ||||
Seneca Foods, Cl. A | 4,933 | b | 153,811 | ||||
Universal | 18,546 | 1,016,506 | |||||
Vector Group | 85,976 | a | 1,023,975 | ||||
13,015,734 | |||||||
Health Care Equipment & Services - 6.9% | |||||||
Addus HomeCare | 9,758 | b | 773,614 | ||||
AMN Healthcare Services | 34,841 | b | 2,005,448 | ||||
AngioDynamics | 28,392 | b | 522,981 | ||||
BioTelemetry | 25,422 | a,b | 1,035,438 | ||||
Cardiovascular Systems | 26,192 | b | 1,244,644 | ||||
Community Health Systems | 88,237 | b | 317,653 | ||||
Computer Programs & Systems | 9,505 | 214,908 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.5% (continued) | |||||||
Health Care Equipment & Services - 6.9% (continued) | |||||||
CONMED | 20,847 | 2,004,439 | |||||
CorVel | 6,622 | b | 501,285 | ||||
Cross Country Healthcare | 27,943 | b | 287,813 | ||||
CryoLife | 27,637 | b | 750,345 | ||||
Cutera | 10,140 | b | 296,392 | ||||
Diplomat Pharmacy | 43,913 | b | 215,174 | ||||
HealthStream | 19,467 | b | 504,001 | ||||
Heska | 5,162 | a,b | 365,831 | ||||
HMS Holdings | 64,822 | b | 2,234,090 | ||||
Inogen | 13,454 | b | 644,581 | ||||
Integer Holdings | 24,047 | b | 1,816,991 | ||||
Invacare | 25,069 | a | 188,018 | ||||
Lantheus Holdings | 28,490 | b | 714,102 | ||||
LeMaitre Vascular | 12,409 | a | 424,140 | ||||
LHC Group | 21,789 | b | 2,474,359 | ||||
Magellan Health | 16,246 | b | 1,008,877 | ||||
Meridian Bioscience | 32,265 | 306,195 | |||||
Merit Medical Systems | 41,315 | b | 1,258,455 | ||||
Mesa Laboratories | 2,978 | a | 708,079 | ||||
Natus Medical | 25,376 | b | 807,972 | ||||
Neogen | 38,864 | b | 2,647,027 | ||||
NextGen Healthcare | 35,894 | b | 562,459 | ||||
Omnicell | 30,900 | b | 2,233,143 | ||||
OraSure Technologies | 47,346 | b | 353,675 | ||||
Orthofix Medical | 14,087 | b | 746,893 | ||||
Owens & Minor | 47,605 | a | 276,585 | ||||
Select Medical Holdings | 81,451 | b | 1,349,643 | ||||
SurModics | 10,371 | b | 474,370 | ||||
Tabula Rasa HealthCare | 13,627 | a,b | 748,667 | ||||
Tactile Systems Technology | 13,967 | a,b | 591,083 | ||||
The Ensign Group | 37,471 | 1,777,250 | |||||
The Providence Service | 8,188 | b | 486,858 | ||||
Tivity Health | 32,173 | a,b | 535,037 | ||||
U.S. Physical Therapy | 9,625 | a | 1,256,544 | ||||
Varex Imaging | 28,751 | b | 820,554 | ||||
38,485,613 | |||||||
Household & Personal Products - 1.2% | |||||||
Avon Products | 330,700 | b | 1,455,080 | ||||
Central Garden & Pet | 8,142 | b | 237,991 | ||||
Central Garden & Pet, Cl. A | 30,725 | b | 851,851 | ||||
Inter Parfums | 12,814 | 896,596 | |||||
Medifast | 8,967 | a | 929,250 | ||||
USANA Health Sciences | 9,610 | b | 657,228 |
Description | Shares | Value ($) | |||||
Common Stocks - 97.5% (continued) | |||||||
Household & Personal Products - 1.2% (continued) | |||||||
WD-40 | 10,282 | a | 1,887,158 | ||||
6,915,154 | |||||||
Insurance - 3.0% | |||||||
Ambac Financial Group | 34,453 | b | 673,556 | ||||
American Equity Investment Life Holding | 68,066 | b | 1,647,197 | ||||
AMERISAFE | 14,599 | 965,140 | |||||
eHealth | 14,800 | b | 988,492 | ||||
Employers Holdings | 23,789 | 1,036,725 | |||||
HCI Group | 5,269 | a | 221,509 | ||||
Horace Mann Educators | 30,590 | 1,417,235 | |||||
James River Group Holdings | 22,447 | 1,150,184 | |||||
ProAssurance | 40,085 | 1,614,223 | |||||
RLI | 29,294 | 2,721,706 | |||||
Safety Insurance Group | 11,001 | 1,114,731 | |||||
Stewart Information Services | 17,755 | 688,716 | |||||
Third Point Reinsurance | 53,954 | b | 539,000 | ||||
United Fire Group | 16,288 | 765,210 | |||||
United Insurance Holdings | 16,850 | a | 235,732 | ||||
Universal Insurance Holdings | 23,372 | 700,926 | |||||
16,480,282 | |||||||
Materials - 4.5% | |||||||
AdvanSix | 20,669 | b | 531,607 | ||||
AK Steel Holding | 241,218 | b | 547,565 | ||||
American Vanguard | 19,349 | 303,779 | |||||
Balchem | 24,015 | b | 2,382,048 | ||||
Boise Cascade | 28,616 | 932,595 | |||||
Century Aluminum | 37,238 | a,b | 247,074 | ||||
Clearwater Paper | 12,887 | b | 272,173 | ||||
Ferro | 60,897 | b | 722,238 | ||||
FutureFuel | 18,697 | 223,242 | |||||
GCP Applied Technologies | 38,526 | b | 741,625 | ||||
H.B. Fuller | 37,704 | 1,755,498 | |||||
Hawkins | 7,070 | 300,475 | |||||
Haynes International | 9,361 | 335,498 | |||||
Innophos Holdings | 15,175 | 492,581 | |||||
Innospec | 18,135 | 1,616,554 | |||||
Kaiser Aluminum | 11,948 | 1,182,494 | |||||
Koppers Holdings | 15,385 | b | 449,396 | ||||
Kraton | 23,491 | b | 758,524 | ||||
Livent | 110,378 | b | 738,429 | ||||
LSB Industries | 14,961 | a,b | 77,498 | ||||
Materion | 15,150 | 929,604 | |||||
Mercer International | 29,879 | a | 374,683 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.5% (continued) | |||||||
Materials - 4.5% (continued) | |||||||
Myers Industries | 27,479 | 485,004 | |||||
Neenah | 12,529 | 815,888 | |||||
Olympic Steel | 7,105 | 102,312 | |||||
P.H. Glatfelter | 33,229 | 511,394 | |||||
Quaker Chemical | 9,650 | a | 1,526,051 | ||||
Rayonier Advanced Materials | 38,574 | a | 167,025 | ||||
Schweitzer-Mauduit International | 22,953 | 859,360 | |||||
Stepan | 14,921 | 1,448,232 | |||||
SunCoke Energy | 66,267 | b | 373,746 | ||||
TimkenSteel | 29,890 | a,b | 188,008 | ||||
Tredegar | 18,379 | 358,758 | |||||
Trinseo | 29,866 | a | 1,282,745 | ||||
US Concrete | 11,747 | b | 649,374 | ||||
Warrior Met Coal | 36,993 | a | 722,103 | ||||
25,405,180 | |||||||
Media & Entertainment - .8% | |||||||
Care.com | 20,337 | b | 212,522 | ||||
Gannet | 86,388 | a | 927,807 | ||||
New Media Investment Group | 41,239 | a | 363,316 | ||||
QuinStreet | 30,516 | a,b | 384,196 | ||||
Scholastic | 22,731 | 858,323 | |||||
TechTarget | 16,890 | b | 380,447 | ||||
The E.W. Scripps Company, Cl. A | 41,438 | a | 550,297 | ||||
The Marcus | 16,677 | 617,216 | |||||
4,294,124 | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 4.9% | |||||||
Acorda Therapeutics | 29,983 | a,b | 86,051 | ||||
Akorn | 72,917 | b | 277,085 | ||||
AMAG Pharmaceuticals | 23,930 | a,b | 276,392 | ||||
Amphastar Pharmaceuticals | 25,714 | b | 509,909 | ||||
ANI Pharmaceuticals | 6,286 | b | 458,124 | ||||
Anika Therapeutics | 10,440 | b | 573,052 | ||||
Arrowhead Pharmaceuticals | 70,505 | a,b | 1,986,831 | ||||
Assertio Therapeutics | 46,156 | b | 59,080 | ||||
Cambrex | 25,245 | b | 1,502,077 | ||||
Corcept Therapeutics | 76,085 | a,b | 1,075,461 | ||||
Cytokinetics | 42,963 | b | 488,919 | ||||
Eagle Pharmaceuticals | 7,407 | b | 419,014 | ||||
Emergent BioSolutions | 32,621 | b | 1,705,426 | ||||
Enanta Pharmaceuticals | 11,844 | b | 711,588 | ||||
Endo International | 149,799 | b | 480,855 | ||||
Genomic Health | 16,218 | b | 1,099,905 | ||||
Innoviva | 49,698 | b | 523,817 | ||||
Lannett | 25,876 | b | 289,811 |
Description | Shares | Value ($) | |||||
Common Stocks - 97.5% (continued) | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 4.9% (continued) | |||||||
Luminex | 31,717 | 654,956 | |||||
Medpace Holdings | 20,054 | b | 1,685,338 | ||||
Momenta Pharmaceuticals | 72,811 | b | 943,631 | ||||
Myriad Genetics | 54,832 | a,b | 1,569,840 | ||||
NeoGenomics | 76,381 | a,b | 1,460,405 | ||||
Pacira Biosciences | 30,740 | b | 1,170,272 | ||||
Phibro Animal Health, Cl. A | 14,772 | 315,087 | |||||
Progenics Pharmaceuticals | 62,818 | a,b | 317,545 | ||||
REGENXBIO | 23,081 | a,b | 821,684 | ||||
Spectrum Pharmaceuticals | 79,499 | a,b | 659,444 | ||||
Supernus Pharmaceuticals | 39,064 | a,b | 1,073,479 | ||||
The Medicines Company | 54,480 | a,b | 2,724,000 | ||||
Vanda Pharmaceuticals | 40,045 | b | 531,798 | ||||
Xencor | 35,405 | b | 1,194,211 | ||||
27,645,087 | |||||||
Real Estate - 6.7% | |||||||
Acadia Realty Trust | 62,307 | c | 1,780,734 | ||||
Agree Realty | 31,338 | a,c | 2,292,375 | ||||
American Assets Trust | 35,091 | c | 1,640,153 | ||||
Armada Hoffler Properties | 37,872 | c | 685,104 | ||||
CareTrust | 71,147 | c | 1,672,310 | ||||
CBL & Associates Properties | 134,331 | a,c | 173,287 | ||||
Cedar Realty Trust | 69,805 | c | 209,415 | ||||
Chatham Lodging Trust | 35,562 | c | 645,450 | ||||
Community Healthcare Trust | 13,533 | a,c | 602,895 | ||||
DiamondRock Hospitality | 149,068 | a,c | 1,527,947 | ||||
Easterly Government Properties | 53,150 | c | 1,132,095 | ||||
Four Corners Property Trust | 51,092 | a,c | 1,444,882 | ||||
Franklin Street Properties | 78,758 | c | 666,293 | ||||
Getty Realty | 25,607 | c | 820,960 | ||||
Global Net Lease | 62,424 | a,c | 1,217,268 | ||||
Hersha Hospitality Trust | 27,945 | a,c | 415,822 | ||||
Independence Realty Trust | 67,934 | a,c | 972,136 | ||||
Innovative Industrial Properties | 8,373 | a,c | 773,414 | ||||
iStar | 44,052 | a,c | 574,879 | ||||
Kite Realty Group Trust | 63,437 | c | 1,024,508 | ||||
Lexington Realty Trust | 181,215 | c | 1,857,454 | ||||
LTC Properties | 29,415 | a,c | 1,506,636 | ||||
Marcus & Millichap | 16,292 | a,b | 578,203 | ||||
National Storage Affiliates Trust | 42,897 | c | 1,431,473 | ||||
Office Properties Income Trust | 35,730 | a,c | 1,094,767 | ||||
Pennsylvania Real Estate Investment Trust | 47,239 | a,c | 270,207 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.5% (continued) | |||||||
Real Estate - 6.7% (continued) | |||||||
RE/MAX Holdings, Cl. A | 13,801 | 443,840 | |||||
Realogy Holdings | 86,370 | a | 576,952 | ||||
Retail Opportunity Investments | 85,270 | c | 1,554,472 | ||||
RPT Realty | 59,039 | a,c | 799,978 | ||||
Saul Centers | 8,707 | c | 474,619 | ||||
Summit Hotel Properties | 78,099 | a,c | 905,948 | ||||
Universal Health Realty Income Trust | 9,401 | c | 966,423 | ||||
Urstadt Biddle Properties, Cl. A | 22,724 | c | 538,559 | ||||
Washington Prime Group | 141,089 | a,c | 584,108 | ||||
Washington Real Estate Investment Trust | 59,880 | a,c | 1,638,317 | ||||
Whitestone | 30,225 | a,c | 415,896 | ||||
Xenia Hotels & Resorts | 83,634 | a,c | 1,766,350 | ||||
37,676,129 | |||||||
Retailing - 4.6% | |||||||
Abercrombie & Fitch, Cl. A | 47,076 | a | 734,386 | ||||
Asbury Automotive Group | 14,374 | a,b | 1,470,891 | ||||
Barnes & Noble Education | 27,435 | b | 85,597 | ||||
Big Lots | 29,395 | a | 720,177 | ||||
Boot Barn Holdings | 21,416 | a,b | 747,418 | ||||
Caleres | 30,780 | a | 720,560 | ||||
Chico's FAS | 92,465 | a | 372,634 | ||||
Conn's | 14,431 | b | 358,755 | ||||
Core-Mark Holding | 33,821 | 1,086,161 | |||||
Designer Brands, Cl. A | 41,108 | a | 703,769 | ||||
Express | 49,800 | a,b | 171,312 | ||||
GameStop, Cl. A | 63,801 | a | 352,182 | ||||
Genesco | 11,711 | a,b | 468,674 | ||||
Group 1 Automotive | 12,965 | a | 1,196,799 | ||||
Guess? | 32,042 | 593,738 | |||||
Haverty Furniture | 13,545 | 274,557 | |||||
Hibbett Sports | 13,370 | a,b | 306,173 | ||||
J.C. Penney | 247,509 | a,b | 220,011 | ||||
Liquidity Services | 18,877 | b | 139,690 | ||||
Lithia Motors, Cl. A | 16,720 | a | 2,213,394 | ||||
Lumber Liquidators Holdings | 21,741 | b | 214,584 | ||||
MarineMax | 14,983 | b | 231,937 | ||||
Monro | 24,811 | a | 1,960,317 | ||||
Office Depot | 412,183 | 723,381 | |||||
PetMed Express | 15,796 | a | 284,644 | ||||
Rent-A-Center | 36,010 | 928,698 | |||||
RH | 11,871 | b | 2,027,923 | ||||
Shoe Carnival | 6,686 | a | 216,693 | ||||
Shutterstock | 13,476 | a,b | 486,753 |
Description | Shares | Value ($) | |||||
Common Stocks - 97.5% (continued) | |||||||
Retailing - 4.6% (continued) | |||||||
Signet Jewelers | 37,004 | 620,187 | |||||
Sleep Number | 21,803 | a,b | 900,900 | ||||
Sonic Automotive, Cl. A | 17,277 | 542,671 | |||||
Stamps.com | 11,977 | a,b | 891,688 | ||||
Tailored Brands | 38,073 | a | 167,521 | ||||
The Buckle | 21,415 | a | 441,149 | ||||
The Cato, Cl. A | 16,333 | 287,624 | |||||
The Children's Place | 11,799 | a | 908,405 | ||||
The Michaels Companies | 56,709 | a,b | 555,181 | ||||
Tile Shop Holdings | 31,472 | a | 100,396 | ||||
Vitamin Shoppe | 12,093 | b | 78,846 | ||||
Zumiez | 14,369 | b | 455,138 | ||||
25,961,514 | |||||||
Semiconductors & Semiconductor Equipment - 4.1% | |||||||
Advanced Energy Industries | 28,314 | b | 1,625,507 | ||||
Axcelis Technologies | 24,523 | b | 419,098 | ||||
Brooks Automation | 53,704 | a | 1,988,659 | ||||
Cabot Microelectronics | 21,551 | 3,043,217 | |||||
CEVA | 16,936 | b | 505,709 | ||||
Cohu | 31,480 | 425,137 | |||||
Diodes | 29,744 | b | 1,194,222 | ||||
DSP Group | 13,653 | b | 192,303 | ||||
FormFactor | 55,935 | b | 1,042,908 | ||||
Ichor Holdings | 16,599 | a,b | 401,364 | ||||
Kulicke & Soffa Industries | 47,103 | 1,105,978 | |||||
MaxLinear | 48,487 | a,b | 1,085,139 | ||||
Nanometrics | 17,551 | b | 572,514 | ||||
PDF Solutions | 20,701 | b | 270,562 | ||||
Photronics | 48,632 | b | 529,116 | ||||
Power Integrations | 21,922 | 1,982,406 | |||||
Rambus | 81,874 | b | 1,074,596 | ||||
Rudolph Technologies | 22,726 | b | 599,057 | ||||
SMART Global Holdings | 9,355 | b | 238,365 | ||||
SolarEdge Technologies | 35,390 | b | 2,962,851 | ||||
Ultra Clean Holdings | 29,203 | a,b | 427,386 | ||||
Veeco Instruments | 37,476 | b | 437,720 | ||||
Xperi | 36,661 | 758,149 | |||||
22,881,963 | |||||||
Software & Services - 4.4% | |||||||
8x8 | 71,388 | a,b | 1,479,159 | ||||
Agilysys | 14,912 | b | 381,896 | ||||
Alarm.com Holdings | 26,067 | a,b | 1,215,765 | ||||
Bottomline Technologies | 28,275 | b | 1,112,621 | ||||
Cardtronics, Cl. A | 27,620 | a,b | 835,229 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.5% (continued) | |||||||
Software & Services - 4.4% (continued) | |||||||
CSG Systems International | 24,808 | 1,282,077 | |||||
Ebix | 16,878 | a | 710,564 | ||||
Evertec | 44,727 | 1,396,377 | |||||
ExlService Holdings | 25,367 | b | 1,698,574 | ||||
LivePerson | 44,408 | a,b | 1,585,366 | ||||
ManTech International, Cl. A | 20,015 | 1,429,271 | |||||
MicroStrategy, Cl. A | 6,018 | b | 892,891 | ||||
Monotype Imaging Holdings | 30,275 | 599,748 | |||||
NIC | 50,472 | 1,042,247 | |||||
OneSpan | 23,940 | b | 347,130 | ||||
Perficient | 24,328 | b | 938,574 | ||||
Progress Software | 33,221 | 1,264,391 | |||||
Qualys | 25,280 | a,b | 1,910,410 | ||||
SPS Commerce | 25,953 | b | 1,221,608 | ||||
SYKES Enterprises | 28,755 | b | 881,053 | ||||
TiVo | 94,793 | 721,849 | |||||
TTEC Holdings | 10,175 | 487,179 | |||||
Unisys | 39,649 | b | 294,592 | ||||
Virtusa | 22,298 | b | 803,174 | ||||
24,531,745 | |||||||
Technology Hardware & Equipment - 5.3% | |||||||
3D Systems | 88,445 | a,b | 720,827 | ||||
ADTRAN | 36,155 | 410,178 | |||||
Anixter International | 21,876 | b | 1,512,069 | ||||
Applied Optoelectronics | 14,624 | a,b | 164,081 | ||||
Arlo Technologies | 56,855 | b | 193,876 | ||||
Badger Meter | 21,623 | a | 1,161,155 | ||||
Bel Fuse, Cl. B | 7,659 | 115,115 | |||||
Benchmark Electronics | 27,960 | 812,518 | |||||
CalAmp | 26,724 | b | 307,860 | ||||
Comtech Telecommunications | 17,983 | 584,448 | |||||
CTS | 24,280 | 785,701 | |||||
Daktronics | 27,892 | 205,982 | |||||
Diebold Nixdorf | 57,698 | a,b | 646,218 | ||||
Digi International | 21,669 | b | 295,132 | ||||
ePlus | 10,247 | b | 779,694 | ||||
Extreme Networks | 90,279 | b | 656,780 | ||||
Fabrinet | 27,509 | b | 1,438,721 | ||||
FARO Technologies | 12,887 | b | 623,086 | ||||
Harmonic | 65,068 | b | 428,147 | ||||
II-VI | 71 | b | 2,485 | ||||
Insight Enterprises | 26,567 | b | 1,479,516 | ||||
Itron | 25,935 | b | 1,918,153 | ||||
KEMET | 43,112 | a | 783,776 |
Description | Shares | Value ($) | |||||
Common Stocks - 97.5% (continued) | |||||||
Technology Hardware & Equipment - 5.3% (continued) | |||||||
Knowles | 63,788 | b | 1,297,448 | ||||
Methode Electronics | 27,155 | 913,494 | |||||
MTS Systems | 13,152 | 726,648 | |||||
NETGEAR | 23,194 | b | 747,311 | ||||
OSI Systems | 12,542 | a,b | 1,273,766 | ||||
Plexus | 21,755 | b | 1,359,905 | ||||
Rogers | 13,775 | b | 1,883,180 | ||||
Sanmina | 51,329 | b | 1,648,174 | ||||
ScanSource | 18,787 | b | 573,943 | ||||
TTM Technologies | 71,485 | a,b | 871,760 | ||||
Viavi Solutions | 169,843 | b | 2,378,651 | ||||
29,699,798 | |||||||
Telecommunication Services - 1.1% | |||||||
ATN International | 8,304 | 484,704 | |||||
Cincinnati Bell | 38,380 | a,b | 194,587 | ||||
Cogent Communications Holdings | 31,264 | 1,722,646 | |||||
Consolidated Communications Holdings | 52,851 | 251,571 | |||||
Frontier Communications | 82,382 | a,b | 71,425 | ||||
Iridium Communications | 71,956 | a,b | 1,531,224 | ||||
Spok Holdings | 12,866 | 153,620 | |||||
Vonage Holdings | 166,867 | b | 1,885,597 | ||||
6,295,374 | |||||||
Transportation - 2.3% | |||||||
Allegiant Travel | 9,694 | 1,450,804 | |||||
ArcBest | 18,971 | 577,667 | |||||
Atlas Air Worldwide Holdings | 19,394 | b | 489,311 | ||||
Echo Global Logistics | 21,127 | b | 478,527 | ||||
Forward Air | 21,023 | 1,339,586 | |||||
Hawaiian Holdings | 35,677 | a | 936,878 | ||||
Heartland Express | 34,739 | 747,236 | |||||
Hub Group, Cl. A | 24,818 | b | 1,154,037 | ||||
Marten Transport | 29,456 | 612,096 | |||||
Matson | 31,822 | a | 1,193,643 | ||||
Saia | 19,231 | b | 1,801,945 | ||||
SkyWest | 37,808 | 2,170,179 | |||||
12,951,909 | |||||||
Utilities - 2.3% | |||||||
American States Water | 27,374 | a | 2,459,828 | ||||
Avista | 49,318 | 2,388,964 | |||||
California Water Service Group | 36,059 | a | 1,908,603 | ||||
El Paso Electric | 30,454 | 2,042,854 | |||||
Northwest Natural Holding | 22,542 | 1,608,146 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 97.5% (continued) | |||||||
Utilities - 2.3% (continued) | |||||||
South Jersey Industries | 68,568 | 2,256,573 | |||||
12,664,968 | |||||||
Total Common Stocks (cost $436,694,639) | 546,056,636 | ||||||
Exchange-Traded Funds - .5% | |||||||
Registered Investment Companies - .5% | |||||||
iShares Core S&P
Small-Cap ETF | 35,272 | a | 2,745,572 | ||||
Number of Rights | |||||||
Rights - .0% | |||||||
Materials - .0% | |||||||
Schulman A | 22,372 | 0 | |||||
Principal Amount ($) | |||||||
Short-Term Investments - .0% | |||||||
U.S. Treasury Bills - .0% | |||||||
5.67%, 12/12/19 | 165,000 | d,e | 164,414 | ||||
1-Day | |||||||
Investment Companies - 2.4% | |||||||
Registered Investment Companies - 2.4% | |||||||
Dreyfus Institutional
Preferred Government Plus Money Market Fund | 1.89 | 13,420,134 | f | 13,420,134 | |||
Investment of Cash Collateral for Securities Loaned - 1.5% | |||||||
Registered Investment Companies - 1.5% | |||||||
Dreyfus
Institutional Preferred Government Plus Money Market Fund | 1.89 | 8,668,605 | f | 8,668,605 | |||
Total Investments (cost $461,719,980) | 101.9% | 571,055,361 | |||||
Liabilities, Less Cash and Receivables | (1.9%) | (10,804,123) | |||||
Net Assets | 100.0% | 560,251,238 |
ETF—Exchange-Traded Fund
a Security, or portion thereof, on loan. At September 30, 2019, the value of the fund’s securities on loan was $139,036,510 and the value of the collateral was $142,244,733, consisting of cash collateral of $8,668,605 and U.S. Government & Agency securities valued at $133,576,128.
b Non-income producing security.
c Investment in real estate investment trust within the United States.
d Held by a counterparty for open exchange traded derivative contracts.
e Security is a discount security. Income is recognized through the accretion of discount.
f Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
STATEMENT
OF INVESTMENTS
Small Cap Stock Index Portfolio
September 30, 2019 (Unaudited)
The following is a summary of the inputs used as of September 30, 2019 in valuing the fund’s investments:
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total | |
Assets ($) | ||||
Investments in Securities: | ||||
Equity Securities—Common Stocks† | 546,056,636 | - | - | 546,056,636 |
Exchange-Traded Funds | 2,745,572 | - | - | 2,745,572 |
Investment Companies | 22,088,739 | - | - | 22,088,739 |
Rights† | - | 0†† | - | 0 |
U.S. Treasury Securities | - | 164,414 | - | 164,414 |
Liabilities ($) | ||||
Other Financial Instruments: | ||||
Futures††† | (112,726) | - | - | (112,726) |
† See Statement of Investments for additional detailed categorizations.
†† Securities classified within Level 2 at period end as the values were determined pursuant to the fund’s fair valuation procedures.
††† Amount shown represents unrealized (depreciation) at period end.
STATEMENT
OF FINANCIAL FUTURES
Small Cap Stock Index Portfolio
September 30, 2019 (Unaudited)
Description | Number of | Expiration | Notional | Value ($) | Unrealized (Depreciation) ($) | |
Futures Long | ||||||
E-mini Russell 2000 | 149 | 12/19 | 11,473,976 | 11,361,250 | (112,726) | |
Gross Unrealized Depreciation | (112,726) |
See notes to financial statements.
NOTES
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
Investments in securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. For open short positions, asked prices are used for valuation purposes. Bid price
NOTES
is used when no asked price is available. Registered investment companies that are not traded on an exchange are valued at their net asset value. All of the preceding securities are generally categorized within Level 1 of the fair value hierarchy.
Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices. U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by an independent pricing service (the “Service”) approved by the Board Members (“Board”). These securities are generally categorized within Level 2 of the fair value hierarchy.
The Service’s procedures are reviewed by BNY Mellon under the general supervision of the Board.
Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant American Depository Receipts and futures. Utilizing these techniques may result in transfers between Level 1 and Level 2 of the fair value hierarchy.
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For restricted securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Financial futures, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy.
Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of BNY Mellon Investment Adviser, Inc., the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value
NOTES
of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by BNY Mellon Investment Adviser Inc., or U.S. Government and Agency securities. The fund is entitled to receive all dividends, interest and distributions on securities loaned, in addition to income earned as a result of the lending transaction. Should a borrower fail to return the securities in a timely manner, The Bank of New York Mellon is required to replace the securities for the benefit of the fund or credit the fund with the market value of the unreturned securities and is subrogated to the fund’s rights against the borrower and the collateral. Additionally, the contractual maturity of security lending transactions are on an overnight and continuous basis.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund at September 30, 2019 is discussed below.
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including interest rate risk as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default.
At September 30, 2019, accumulated net unrealized appreciation on investments was $109,335,381, consisting of $169,209,989 gross unrealized appreciation and $59,874,608 gross unrealized depreciation.
At September 30, 2019, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
Additional investment related disclosures are hereby incorporated by reference to the annual and semi-annual reports previously filed with the SEC on Form N-CSR.