STATEMENT
OF INVESTMENTS
MidCap Stock Portfolio
March 31, 2021 (Unaudited)
Description | Shares | Value ($) | |||||
Common Stocks - 95.3% | |||||||
Automobiles & Components - 2.1% | |||||||
Adient | 12,040 | a | 532,168 | ||||
Dana | 28,390 | 690,729 | |||||
Fox Factory Holding | 1,980 | a | 251,579 | ||||
Gentex | 19,300 | 688,431 | |||||
Harley-Davidson | 13,960 | b | 559,796 | ||||
The Goodyear Tire & Rubber Company | 19,530 | a | 343,142 | ||||
Thor Industries | 4,820 | b | 649,447 | ||||
3,715,292 | |||||||
Banks - 6.8% | |||||||
Associated Banc-Corp | 78,250 | 1,669,855 | |||||
Cathay General Bancorp | 49,015 | 1,998,832 | |||||
East West Bancorp | 11,250 | 830,250 | |||||
Essent Group | 10,180 | 483,448 | |||||
Home BancShares | 22,120 | 598,346 | |||||
International Bancshares | 13,910 | 645,702 | |||||
MGIC Investment | 27,770 | 384,615 | |||||
New York Community Bancorp | 59,050 | 745,211 | |||||
Prosperity Bancshares | 7,700 | 576,653 | |||||
Regions Financial | 47,610 | 983,623 | |||||
Sterling Bancorp | 37,290 | 858,416 | |||||
Synovus Financial | 9,060 | 414,495 | |||||
Texas Capital Bancshares | 2,320 | a | 164,534 | ||||
UMB Financial | 8,080 | 746,026 | |||||
Western Alliance Bancorp | 11,770 | 1,111,559 | |||||
12,211,565 | |||||||
Capital Goods - 12.0% | |||||||
A.O. Smith | 3,030 | 204,858 | |||||
Acuity Brands | 4,360 | b | 719,400 | ||||
AGCO | 8,150 | 1,170,747 | |||||
Axon Enterprise | 2,340 | a | 333,263 | ||||
Builders FirstSource | 6,930 | a | 321,344 | ||||
Colfax | 5,220 | a,b | 228,688 | ||||
Crane | 8,750 | 821,712 | |||||
Donaldson | 16,770 | 975,343 | |||||
Dycom Industries | 3,800 | a | 352,830 | ||||
EMCOR Group | 12,970 | 1,454,715 | |||||
EnerSys | 6,420 | 582,936 | |||||
Fortive | 6,090 | 430,198 | |||||
Fortune Brands Home & Security | 4,050 | 388,071 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 95.3% (continued) | |||||||
Capital Goods - 12.0% (continued) | |||||||
GATX | 4,320 | b | 400,637 | ||||
Generac Holdings | 4,890 | a | 1,601,230 | ||||
ITT | 12,520 | 1,138,193 | |||||
Lennox International | 3,220 | 1,003,320 | |||||
Lincoln Electric Holdings | 3,360 | 413,078 | |||||
MasTec | 9,510 | a,b | 891,087 | ||||
Nordson | 4,190 | 832,469 | |||||
Owens Corning | 8,550 | 787,369 | |||||
Quanta Services | 2,900 | 255,142 | |||||
Regal Beloit | 6,490 | 925,993 | |||||
Simpson Manufacturing | 5,660 | 587,112 | |||||
Stanley Black & Decker | 3,450 | 688,861 | |||||
Sunrun | 5,670 | a,b | 342,922 | ||||
Terex | 12,000 | 552,840 | |||||
The Middleby | 4,620 | a,b | 765,765 | ||||
The Timken Company | 13,200 | 1,071,444 | |||||
Trex | 1,660 | a,b | 151,956 | ||||
Univar Solutions | 13,260 | a | 285,620 | ||||
Valmont Industries | 1,020 | 242,423 | |||||
Watsco | 2,170 | b | 565,828 | ||||
21,487,394 | |||||||
Commercial & Professional Services - 3.1% | |||||||
ASGN | 6,760 | a | 645,174 | ||||
CACI International, Cl. A | 3,290 | a | 811,511 | ||||
Clean Harbors | 7,230 | a | 607,754 | ||||
CoreLogic | 5,060 | 401,005 | |||||
FTI Consulting | 2,050 | a,b | 287,226 | ||||
Healthcare Services Group | 7,840 | b | 219,755 | ||||
Herman Miller | 5,920 | 243,608 | |||||
Insperity | 4,180 | 350,033 | |||||
KBR | 18,990 | 729,026 | |||||
ManpowerGroup | 4,560 | a | 450,984 | ||||
Tetra Tech | 3,070 | 416,660 | |||||
The Brink's Company | 4,770 | 377,927 | |||||
5,540,663 | |||||||
Consumer Durables & Apparel - 4.9% | |||||||
Brunswick | 7,840 | 747,701 | |||||
Capri Holdings | 6,160 | a | 314,160 | ||||
Carter's | 4,800 | a | 426,864 | ||||
Deckers Outdoor | 4,580 | a | 1,513,324 | ||||
Helen of Troy | 1,700 | a,b | 358,122 | ||||
Mattel | 9,070 | a | 180,674 | ||||
Peloton Interactive, Cl. A | 4,140 | a | 465,502 | ||||
Polaris | 7,860 | 1,049,310 |
Description | Shares | Value ($) | |||||
Common Stocks - 95.3% (continued) | |||||||
Consumer Durables & Apparel - 4.9% (continued) | |||||||
PulteGroup | 4,370 | 229,163 | |||||
PVH | 2,950 | a | 311,815 | ||||
Tempur Sealy International | 23,770 | 869,031 | |||||
Toll Brothers | 6,790 | 385,197 | |||||
TopBuild | 3,470 | a,b | 726,722 | ||||
Tri Pointe Homes | 33,420 | a | 680,431 | ||||
YETI Holdings | 7,980 | a,b | 576,236 | ||||
8,834,252 | |||||||
Consumer Services - 4.8% | |||||||
Adtalem Global Education | 10,750 | a | 425,055 | ||||
Boyd Gaming | 8,870 | a | 522,975 | ||||
Caesars Entertainment | 13,150 | a | 1,149,967 | ||||
Chipotle Mexican Grill | 370 | a | 525,703 | ||||
Churchill Downs | 1,180 | a | 268,356 | ||||
Graham Holdings, Cl. B | 950 | 534,318 | |||||
Grand Canyon Education | 6,160 | a | 659,736 | ||||
Jack in the Box | 6,380 | 700,396 | |||||
Marriott Vacations Worldwide | 1,660 | a | 289,139 | ||||
Papa John's International | 4,220 | 374,061 | |||||
Penn National Gaming | 10,060 | a,b | 1,054,690 | ||||
Planet Fitness, Cl. A | 6,270 | a | 484,671 | ||||
Scientific Games | 4,440 | a | 171,029 | ||||
Service Corp. International | 22,040 | 1,125,142 | |||||
Wingstop | 1,740 | 221,276 | |||||
8,506,514 | |||||||
Diversified Financials - 3.2% | |||||||
Affiliated Managers Group | 1,430 | 213,113 | |||||
Evercore, Cl. A | 2,630 | 346,476 | |||||
FactSet Research Systems | 1,100 | 339,449 | |||||
Federated Hermes | 16,130 | 504,869 | |||||
Interactive Brokers Group, Cl. A | 4,710 | 344,018 | |||||
Janus Henderson Group | 13,980 | 435,477 | |||||
Jefferies Financial Group | 21,300 | 641,130 | |||||
OneMain Holdings | 6,350 | 341,122 | |||||
PROG Holdings | 9,300 | 402,597 | |||||
SEI Investments | 24,080 | a | 1,467,194 | ||||
Stifel Financial | 10,705 | 685,762 | |||||
5,721,207 | |||||||
Energy - 1.9% | |||||||
Antero Midstream | 26,950 | 243,359 | |||||
ChampionX | 21,340 | a | 463,718 | ||||
Cimarex Energy | 7,270 | 431,765 | |||||
CNX Resources | 14,820 | a | 217,854 | ||||
Devon Energy | 22,802 | 498,224 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 95.3% (continued) | |||||||
Energy - 1.9% (continued) | |||||||
EQT | 23,000 | a | 427,340 | ||||
Equitrans Midstream | 33,650 | 274,584 | |||||
Murphy Oil | 32,710 | 536,771 | |||||
World Fuel Services | 10,470 | 368,544 | |||||
3,462,159 | |||||||
Food & Staples Retailing - .8% | |||||||
BJ's Wholesale Club Holdings | 10,880 | a,b | 488,077 | ||||
Casey's General Stores | 2,520 | b | 544,799 | ||||
Sprouts Farmers Market | 16,670 | a | 443,755 | ||||
1,476,631 | |||||||
Food, Beverage & Tobacco - 1.5% | |||||||
Darling Ingredients | 12,310 | a | 905,770 | ||||
Flowers Foods | 30,360 | 722,568 | |||||
Ingredion | 1,740 | 156,461 | |||||
The Boston Beer Company, Cl. A | 490 | a | 591,077 | ||||
The Hain Celestial Group | 5,740 | a | 250,264 | ||||
2,626,140 | |||||||
Health Care Equipment & Services - 5.7% | |||||||
Acadia Healthcare | 8,020 | a | 458,263 | ||||
Align Technology | 1,030 | a | 557,776 | ||||
Amedisys | 2,700 | a | 714,933 | ||||
Avanos Medical | 4,230 | a | 185,020 | ||||
Cantel Medical | 3,390 | a | 270,658 | ||||
Chemed | 2,050 | 942,631 | |||||
DaVita | 1,480 | a | 159,500 | ||||
Globus Medical, Cl. A | 3,320 | a | 204,744 | ||||
Haemonetics | 2,180 | a | 242,002 | ||||
HealthEquity | 2,730 | a,b | 185,640 | ||||
Hill-Rom Holdings | 8,110 | 895,993 | |||||
LHC Group | 3,520 | a,b | 673,059 | ||||
McKesson | 850 | 165,784 | |||||
Molina Healthcare | 3,710 | a | 867,250 | ||||
Neogen | 6,780 | a | 602,674 | ||||
Patterson Companies | 6,490 | b | 207,356 | ||||
Quidel | 1,120 | a,b | 143,282 | ||||
STAAR Surgical | 3,170 | a,b | 334,150 | ||||
Steris | 7,080 | 1,348,598 | |||||
Teladoc Health | 2,330 | a,b | 423,478 | ||||
Tenet Healthcare | 9,970 | a | 518,440 | ||||
West Pharmaceutical Services | 450 | 126,801 | |||||
10,228,032 | |||||||
Household & Personal Products - .6% | |||||||
Edgewell Personal Care | 4,360 | b | 172,656 | ||||
Nu Skin Enterprises, Cl. A | 12,610 | b | 666,943 |
Description | Shares | Value ($) | |||||
Common Stocks - 95.3% (continued) | |||||||
Household & Personal Products - .6% (continued) | |||||||
The Clorox Company | 830 | 160,090 | |||||
999,689 | |||||||
Insurance - 4.6% | |||||||
Brown & Brown | 5,800 | 265,118 | |||||
First American Financial | 11,870 | 672,435 | |||||
Globe Life | 7,750 | 748,882 | |||||
Kemper | 6,850 | 546,082 | |||||
Kinsale Captial Group | 2,240 | 369,152 | |||||
Mercury General | 4,030 | 245,064 | |||||
Old Republic International | 39,530 | 863,335 | |||||
Primerica | 15,005 | 2,218,039 | |||||
RenaissanceRe Holdings | 1,660 | 266,015 | |||||
RLI | 5,070 | 565,660 | |||||
Selective Insurance Group | 9,900 | 718,146 | |||||
The Hanover Insurance Group | 5,700 | 737,922 | |||||
8,215,850 | |||||||
Materials - 5.5% | |||||||
Ashland Global Holdings | 8,530 | 757,208 | |||||
Commercial Metals | 24,200 | 746,328 | |||||
Domtar | 8,710 | a | 321,835 | ||||
Eagle Materials | 7,330 | a | 985,225 | ||||
Element Solutions | 13,940 | 254,963 | |||||
Ingevity | 9,280 | a | 700,918 | ||||
Louisiana-Pacific | 11,330 | 628,362 | |||||
Minerals Technologies | 9,310 | 701,229 | |||||
O-I Glass | 24,720 | a | 364,373 | ||||
Reliance Steel & Aluminum | 5,120 | 779,725 | |||||
RPM International | 14,120 | 1,296,922 | |||||
Silgan Holdings | 11,140 | 468,214 | |||||
The Chemours Company | 18,140 | 506,287 | |||||
The Mosaic Company | 12,420 | 392,596 | |||||
United States Steel | 18,650 | b | 488,071 | ||||
Worthington Industries | 5,920 | 397,173 | |||||
9,789,429 | |||||||
Media & Entertainment - 1.8% | |||||||
Cable One | 300 | 548,508 | |||||
Cinemark Holdings | 13,520 | a,b | 275,943 | ||||
DISH Network, Cl. A | 6,140 | a | 222,268 | ||||
Take-Two Interactive Software | 760 | a | 134,292 | ||||
TEGNA | 9,050 | 170,412 | |||||
The Interpublic Group of Companies | 18,050 | b | 527,060 | ||||
The New York Times Company, Cl. A | 16,240 | 822,069 | |||||
World Wrestling Entertainment, Cl. A | 2,940 | b | 159,524 | ||||
Yelp | 6,580 | a | 256,620 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 95.3% (continued) | |||||||
Media & Entertainment - 1.8% (continued) | |||||||
Zillow Group, Cl. C | 1,180 | a,b | 152,975 | ||||
3,269,671 | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 4.5% | |||||||
Bio-Rad Laboratories, Cl. A | 550 | a | 314,144 | ||||
Bio-Techne | 1,190 | 454,497 | |||||
Catalent | 3,070 | a | 323,302 | ||||
Charles River Laboratories International | 6,690 | a | 1,938,963 | ||||
Emergent BioSolutions | 3,610 | a,b | 335,405 | ||||
Exelixis | 23,220 | a | 524,540 | ||||
Jazz Pharmaceuticals | 3,410 | a | 560,502 | ||||
Medpace Holdings | 2,400 | a | 393,720 | ||||
PRA Health Sciences | 7,080 | a | 1,085,576 | ||||
Repligen | 6,330 | a | 1,230,615 | ||||
Seagen | 2,650 | a | 367,979 | ||||
Syneos Health | 5,440 | a | 412,624 | ||||
United Therapeutics | 1,100 | a | 183,997 | ||||
8,125,864 | |||||||
Real Estate - 8.6% | |||||||
Brandywine Realty Trust | 90,180 | b,c | 1,164,224 | ||||
Camden Property Trust | 3,400 | c | 373,694 | ||||
CoreSite Realty | 1,230 | c | 147,416 | ||||
Corporate Office Properties Trust | 46,180 | c | 1,215,919 | ||||
Cousins Properties | 28,770 | c | 1,017,019 | ||||
CyrusOne | 1,940 | c | 131,377 | ||||
EastGroup Properties | 5,710 | c | 818,129 | ||||
First Industrial Realty Trust | 46,290 | c | 2,119,619 | ||||
Healthcare Realty Trust | 29,870 | c | 905,658 | ||||
Highwoods Properties | 16,990 | c | 729,551 | ||||
Lamar Advertising, Cl. A | 16,665 | c | 1,565,177 | ||||
Life Storage | 7,475 | c | 642,476 | ||||
Omega Healthcare Investors | 17,580 | c | 643,955 | ||||
Physicians Realty Trust | 29,080 | c | 513,844 | ||||
PS Business Parks | 9,720 | c | 1,502,518 | ||||
Sabra Health Care REIT | 22,270 | c | 386,607 | ||||
Service Properties Trust | 27,545 | c | 326,684 | ||||
Urban Edge Properties | 37,210 | c | 614,709 | ||||
Weingarten Realty Investors | 7,900 | c | 212,589 | ||||
WP Carey | 4,310 | c | 304,976 | ||||
15,336,141 | |||||||
Retailing - 4.3% | |||||||
AutoNation | 5,680 | a | 529,490 | ||||
Dick's Sporting Goods | 7,320 | 557,418 | |||||
Five Below | 2,090 | a | 398,751 | ||||
Foot Locker | 8,180 | 460,125 |
Description | Shares | Value ($) | |||||
Common Stocks - 95.3% (continued) | |||||||
Retailing - 4.3% (continued) | |||||||
Kohl's | 14,200 | 846,462 | |||||
Lithia Motors, Cl. A | 1,970 | 768,477 | |||||
Murphy USA | 2,290 | 331,042 | |||||
Ollie's Bargain Outlet Holdings | 4,950 | a,b | 430,650 | ||||
Pool | 890 | 307,264 | |||||
RH | 1,670 | a | 996,322 | ||||
Urban Outfitters | 3,850 | a,b | 143,182 | ||||
Wayfair, Cl. A | 1,980 | a,b | 623,205 | ||||
Williams-Sonoma | 6,780 | b | 1,214,976 | ||||
7,607,364 | |||||||
Semiconductors & Semiconductor Equipment - 4.0% | |||||||
Brooks Automation | 6,280 | 512,762 | |||||
Cirrus Logic | 5,770 | a | 489,238 | ||||
CMC Materials | 3,060 | 540,977 | |||||
Cree | 4,270 | a,b | 461,715 | ||||
Enphase Energy | 870 | a | 141,079 | ||||
First Solar | 7,220 | a,b | 630,306 | ||||
MKS Instruments | 3,530 | 654,533 | |||||
Monolithic Power Systems | 3,380 | 1,193,850 | |||||
Qorvo | 1,350 | a | 246,645 | ||||
Semtech | 8,550 | a | 589,950 | ||||
SolarEdge Technologies | 3,190 | a,b | 916,934 | ||||
Synaptics | 3,530 | a,b | 478,033 | ||||
Teradyne | 3,060 | 372,341 | |||||
7,228,363 | |||||||
Software & Services - 6.0% | |||||||
ACI Worldwide | 12,180 | a | 463,449 | ||||
Alliance Data Systems | 5,530 | 619,858 | |||||
Ceridian HCM Holding | 2,220 | a,b | 187,079 | ||||
Concentrix | 2,030 | a | 303,932 | ||||
DocuSign | 1,950 | a | 394,778 | ||||
Fair Isaac | 2,220 | a,b | 1,079,031 | ||||
HubSpot | 1,190 | a | 540,510 | ||||
J2 Global | 3,830 | a,b | 459,064 | ||||
Liveramp Holdings | 7,760 | a | 402,589 | ||||
Manhattan Associates | 4,680 | a | 549,338 | ||||
Medallia | 15,510 | a,b | 432,574 | ||||
Nuance Communications | 11,230 | a | 490,077 | ||||
Palo Alto Networks | 1,550 | a | 499,193 | ||||
Paylocity Holding | 1,600 | a | 287,728 | ||||
PTC | 8,270 | a | 1,138,365 | ||||
Qualys | 2,590 | a | 271,380 | ||||
Splunk | 2,950 | a | 399,666 | ||||
Teradata | 10,170 | a | 391,952 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 95.3% (continued) | |||||||
Software & Services - 6.0% (continued) | |||||||
Twilio, Cl. A | 1,480 | a | 504,325 | ||||
WEX | 5,850 | a,b | 1,223,937 | ||||
10,638,825 | |||||||
Technology Hardware & Equipment - 3.4% | |||||||
Arrow Electronics | 5,410 | a | 599,536 | ||||
Avnet | 18,920 | 785,369 | |||||
Cognex | 12,280 | 1,019,117 | |||||
II-VI | 8,690 | a,b | 594,135 | ||||
Jabil | 4,360 | 227,418 | |||||
Littelfuse | 2,160 | 571,190 | |||||
Lumentum Holdings | 6,160 | a,b | 562,716 | ||||
NCR | 18,940 | a | 718,773 | ||||
NETSCOUT Systems | 8,160 | a,b | 229,786 | ||||
SYNNEX | 3,220 | 369,785 | |||||
Trimble | 5,900 | a | 458,961 | ||||
6,136,786 | |||||||
Telecommunication Services - .5% | |||||||
Iridium Communications | 13,000 | a | 536,250 | ||||
Telephone & Data Systems | 8,380 | 192,405 | |||||
U.S. Cellular | 6,350 | a | 231,648 | ||||
960,303 | |||||||
Transportation - 1.4% | |||||||
Avis Budget Group | 5,680 | a,b | 412,027 | ||||
Kansas City Southern | 650 | 171,548 | |||||
Old Dominion Freight Line | 1,755 | 421,920 | |||||
Ryder System | 3,090 | 233,759 | |||||
Werner Enterprises | 6,660 | 314,152 | |||||
XPO Logistics | 8,140 | a | 1,003,662 | ||||
2,557,068 | |||||||
Utilities - 3.3% | |||||||
Black Hills | 15,200 | 1,014,904 | |||||
DTE Energy | 5,480 | 729,607 | |||||
IDACORP | 11,140 | 1,113,666 | |||||
MDU Resources Group | 26,180 | 827,550 | |||||
ONE Gas | 10,740 | 826,013 | |||||
Pinnacle West Capital | 9,450 | 768,757 | |||||
Public Service Enterprise Group | 5,210 | 313,694 | |||||
UGI | 7,260 | 297,733 | |||||
5,891,924 | |||||||
Total Common Stocks (cost $129,489,510) | 170,567,126 |
1-Day | |||||||
Investment Companies - ..8% | |||||||
Registered Investment Companies - .8% | |||||||
Dreyfus
Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 0.06 | 1,525,052 | d | 1,525,052 | |||
Total Investments (cost $131,014,562) | 96.1% | 172,092,178 | |||||
Cash and Receivables (Net) | 3.9% | 6,924,281 | |||||
Net Assets | 100.0% | 179,016,459 |
REIT—Real Estate Investment Trust
a Non-income producing security.
b Security, or portion thereof, on loan. At March 31, 2021, the value of the fund’s securities on loan was $25,130,907 and the value of the collateral was $25,744,106, consisting of U.S. Government & Agency securities.
c Investment in real estate investment trust within the United States.
d Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
STATEMENT
OF INVESTMENTS
MidCap Stock Portfolio
March 31, 2021 (Unaudited)
The following is a summary of the inputs used as of March 31, 2021 in valuing the fund’s investments:
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 -Significant Unobservable Inputs | Total | |
Assets ($) | ||||
Investments in Securities:† | ||||
Equity Securities—Common Stocks | 170,567,126 | - | - | 170,567,126 |
Investment Companies | 1,525,052 | - | - | 1,525,052 |
† See Statement of Investments for additional detailed categorizations, if any.
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 equity 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 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 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.
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 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.
At March 31, 2021, accumulated net unrealized appreciation on investments was $41,077,616, consisting of $42,983,024 gross unrealized appreciation and $1,905,408 gross unrealized depreciation.
At March 31, 2021, 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.