STATEMENT
OF INVESTMENTS
MidCap Stock Portfolio
March 31, 2022 (Unaudited)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% | |||||||
Automobiles & Components - 1.5% | |||||||
Adient | 10,630 | a | 433,385 | ||||
Dana | 9,965 | 175,085 | |||||
Fox Factory Holding | 4,090 | a | 400,616 | ||||
Harley-Davidson | 16,585 | 653,449 | |||||
The Goodyear Tire & Rubber Company | 27,655 | a | 395,190 | ||||
Thor Industries | 6,740 | b | 530,438 | ||||
2,588,163 | |||||||
Banks - 6.6% | |||||||
Cathay General Bancorp | 40,670 | 1,819,982 | |||||
Essent Group | 13,665 | 563,135 | |||||
Fulton Financial | 94,535 | 1,571,172 | |||||
Hancock Whitney | 22,735 | 1,185,630 | |||||
International Bancshares | 3,190 | 134,650 | |||||
KeyCorp | 26,415 | 591,168 | |||||
MGIC Investment | 43,345 | 587,325 | |||||
New York Community Bancorp | 63,285 | 678,415 | |||||
PacWest Bancorp | 21,620 | 932,471 | |||||
Popular | 7,955 | 650,242 | |||||
UMB Financial | 15,390 | 1,495,292 | |||||
Washington Federal | 24,870 | 816,233 | |||||
11,025,715 | |||||||
Capital Goods - 11.8% | |||||||
A.O. Smith | 6,105 | 390,048 | |||||
Acuity Brands | 4,195 | 794,114 | |||||
AECOM | 15,700 | 1,205,917 | |||||
AGCO | 7,695 | 1,123,701 | |||||
Allegion | 2,370 | 260,179 | |||||
Allison Transmission Holdings | 3,235 | 127,006 | |||||
Armstrong World Industries | 5,165 | 464,902 | |||||
Axon Enterprise | 1,605 | a | 221,057 | ||||
Builders FirstSource | 12,035 | a | 776,739 | ||||
Carlisle | 1,595 | 392,242 | |||||
Core & Main | 5,820 | a,b | 140,786 | ||||
Crane | 5,375 | 582,005 | |||||
Curtiss-Wright | 4,830 | 725,273 | |||||
Donaldson | 21,550 | 1,119,091 | |||||
Dycom Industries | 4,295 | a | 409,142 | ||||
EMCOR Group | 12,265 | 1,381,407 | |||||
Hayward Holdings | 6,840 | a,b | 113,681 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Capital Goods - 11.8% (continued) | |||||||
Kennametal | 33,220 | 950,424 | |||||
Lennox International | 4,525 | 1,166,816 | |||||
Lincoln Electric Holdings | 5,175 | 713,167 | |||||
Nordson | 2,515 | 571,106 | |||||
nVent Electric | 37,985 | 1,321,118 | |||||
Owens Corning | 8,075 | 738,863 | |||||
Pentair | 10,905 | 591,160 | |||||
Sunrun | 8,210 | a,b | 249,338 | ||||
Terex | 12,435 | 443,432 | |||||
Textron | 6,685 | 497,230 | |||||
The Middleby | 4,340 | a | 711,500 | ||||
The Toro Company | 9,680 | 827,543 | |||||
Trex | 2,400 | a | 156,792 | ||||
Valmont Industries | 960 | 229,056 | |||||
Watts Water Technologies, Cl. A | 1,960 | 273,596 | |||||
19,668,431 | |||||||
Commercial & Professional Services - 2.3% | |||||||
ASGN | 6,370 | a | 743,443 | ||||
Clean Harbors | 5,185 | a | 578,853 | ||||
FTI Consulting | 2,725 | a | 428,425 | ||||
Insperity | 2,020 | 202,848 | |||||
Jacobs Engineering Group | 1,170 | 161,238 | |||||
ManpowerGroup | 5,135 | a | 482,279 | ||||
Tetra Tech | 5,595 | 922,839 | |||||
The Brink's Company | 4,510 | 306,680 | |||||
3,826,605 | |||||||
Consumer Durables & Apparel - 4.5% | |||||||
Brunswick | 7,415 | 599,799 | |||||
Capri Holdings | 12,965 | a | 666,271 | ||||
Carter's | 5,375 | 494,446 | |||||
Columbia Sportswear | 7,305 | 661,322 | |||||
Crocs | 6,775 | a | 517,610 | ||||
Deckers Outdoor | 1,310 | a | 358,639 | ||||
Mattel | 34,920 | a | 775,573 | ||||
PVH | 5,600 | 429,016 | |||||
Ralph Lauren | 2,210 | 250,702 | |||||
Tapestry | 10,485 | 389,518 | |||||
Taylor Morrison Home | 7,350 | a | 200,067 | ||||
Tempur Sealy International | 22,490 | 627,921 | |||||
Toll Brothers | 6,430 | 302,339 | |||||
TopBuild | 2,105 | a | 381,826 | ||||
Tri Pointe Homes | 20,050 | a | 402,604 | ||||
Under Armour, Cl. A | 16,705 | a | 284,319 |
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Consumer Durables & Apparel - 4.5% (continued) | |||||||
YETI Holdings | 4,610 | a | 276,508 | ||||
7,618,480 | |||||||
Consumer Services - 3.2% | |||||||
Boyd Gaming | 8,380 | 551,236 | |||||
Cracker Barrel Old Country Store | 3,025 | 359,158 | |||||
Frontdoor | 2,805 | a | 83,729 | ||||
Graham Holdings, Cl. B | 425 | 259,875 | |||||
Grand Canyon Education | 8,520 | a | 827,377 | ||||
H&R Block | 9,230 | b | 240,349 | ||||
Marriott Vacations Worldwide | 1,810 | 285,437 | |||||
Scientific Games | 5,520 | a | 324,300 | ||||
Service Corp. International | 16,480 | 1,084,714 | |||||
The Wendy's Company | 16,955 | 372,501 | |||||
Travel + Leisure | 3,805 | 220,462 | |||||
Wyndham Hotels & Resorts | 8,270 | 700,386 | |||||
5,309,524 | |||||||
Diversified Financials - 3.6% | |||||||
Affiliated Managers Group | 4,275 | 602,561 | |||||
Evercore, Cl. A | 3,400 | 378,488 | |||||
FactSet Research Systems | 1,800 | 781,470 | |||||
Federated Hermes | 9,985 | 340,089 | |||||
FirstCash Holdings | 2,560 | 180,070 | |||||
Franklin Resources | 3,065 | 85,575 | |||||
Janus Henderson Group | 22,170 | 776,393 | |||||
Jefferies Financial Group | 20,120 | 660,942 | |||||
Navient | 8,115 | 138,280 | |||||
New Residential Investment | 28,585 | c | 313,863 | ||||
OneMain Holdings | 2,625 | 124,451 | |||||
SEI Investments | 6,730 | a | 405,213 | ||||
Stifel Financial | 16,560 | 1,124,424 | |||||
Upstart Holdings | 710 | a,b | 77,454 | ||||
5,989,273 | |||||||
Energy - 3.9% | |||||||
Antero Midstream | 22,480 | 244,358 | |||||
ChampionX | 13,010 | 318,485 | |||||
Continental Resources | 4,610 | 282,731 | |||||
DT Midstream | 9,625 | 522,253 | |||||
Equitrans Midstream | 31,860 | 268,898 | |||||
Marathon Oil | 77,495 | 1,945,899 | |||||
Murphy Oil | 27,175 | 1,097,598 | |||||
Occidental Petroleum | 6,105 | 346,398 | |||||
Range Resources | 3,670 | a | 111,495 | ||||
Targa Resources | 18,105 | 1,366,384 | |||||
6,504,499 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Food & Staples Retailing - 2.0% | |||||||
BJ's Wholesale Club Holdings | 12,345 | a | 834,645 | ||||
Casey's General Stores | 1,645 | 325,990 | |||||
Performance Food Group | 18,395 | a | 936,489 | ||||
Sprouts Farmers Market | 23,085 | a | 738,258 | ||||
The Kroger Company | 9,465 | 543,007 | |||||
3,378,389 | |||||||
Food, Beverage & Tobacco - 1.5% | |||||||
Darling Ingredients | 13,005 | a | 1,045,342 | ||||
Freshpet | 3,590 | a | 368,478 | ||||
Sanderson Farms | 2,435 | 456,538 | |||||
The Hain Celestial Group | 17,460 | a | 600,624 | ||||
2,470,982 | |||||||
Health Care Equipment & Services - 7.8% | |||||||
Acadia Healthcare | 11,600 | a | 760,148 | ||||
Amedisys | 1,590 | a | 273,941 | ||||
Cerner | 12,435 | 1,163,419 | |||||
Chemed | 2,705 | 1,370,218 | |||||
Envista Holdings | 13,805 | a | 672,442 | ||||
Globus Medical, Cl. A | 4,490 | a | 331,272 | ||||
Henry Schein | 1,215 | a | 105,936 | ||||
ICU Medical | 2,455 | a | 546,581 | ||||
Integra LifeSciences Holdings | 15,880 | a | 1,020,449 | ||||
LivaNova | 8,510 | a | 696,373 | ||||
Masimo | 2,610 | a | 379,859 | ||||
Molina Healthcare | 3,465 | a | 1,155,889 | ||||
Option Care Health | 16,715 | a | 477,380 | ||||
Patterson Companies | 6,150 | 199,076 | |||||
Penumbra | 3,855 | a | 856,311 | ||||
Quidel | 3,425 | a | 385,176 | ||||
Signify Health, CI. A | 7,445 | a | 135,127 | ||||
STAAR Surgical | 7,790 | a | 622,499 | ||||
Tandem Diabetes Care | 7,255 | a | 843,684 | ||||
Teleflex | 520 | 184,512 | |||||
Tenet Healthcare | 7,590 | a | 652,436 | ||||
Veeva Systems, Cl. A | 1,050 | a | 223,083 | ||||
13,055,811 | |||||||
Household & Personal Products - .5% | |||||||
Coty, Cl. A | 35,975 | a | 323,415 | ||||
Energizer Holdings | 7,190 | 221,164 | |||||
Nu Skin Enterprises, Cl. A | 5,015 | 240,118 | |||||
784,697 | |||||||
Insurance - 4.6% | |||||||
Alleghany | 2,040 | a | 1,727,880 | ||||
American Financial Group | 6,300 | 917,406 |
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Insurance - 4.6% (continued) | |||||||
Cincinnati Financial | 2,385 | 324,265 | |||||
CNO Financial Group | 11,075 | 277,872 | |||||
First American Financial | 11,220 | 727,280 | |||||
Kinsale Capital Group | 1,430 | 326,069 | |||||
Primerica | 7,770 | 1,063,091 | |||||
RLI | 4,830 | 534,343 | |||||
Selective Insurance Group | 10,500 | 938,280 | |||||
The Hanover Insurance Group | 6,215 | 929,267 | |||||
7,765,753 | |||||||
Materials - 7.6% | |||||||
Alcoa | 13,335 | 1,200,550 | |||||
Ashland Global Holdings | 6,135 | 603,745 | |||||
Avery Dennison | 675 | 117,430 | |||||
Cabot | 5,830 | 398,830 | |||||
CF Industries Holdings | 7,850 | 809,021 | |||||
Cleveland-Cliffs | 36,740 | a | 1,183,395 | ||||
Commercial Metals | 18,165 | 756,027 | |||||
Eagle Materials | 6,940 | 890,818 | |||||
Element Solutions | 7,685 | 168,302 | |||||
Greif, Cl. A | 4,855 | 315,866 | |||||
Ingevity | 11,210 | a | 718,225 | ||||
Louisiana-Pacific | 4,835 | 300,350 | |||||
Minerals Technologies | 11,690 | 773,294 | |||||
Olin | 10,900 | 569,852 | |||||
Reliance Steel & Aluminum | 5,935 | 1,088,182 | |||||
Steel Dynamics | 6,340 | 528,946 | |||||
The Chemours Company | 17,120 | 538,938 | |||||
The Mosaic Company | 3,550 | 236,075 | |||||
U.S. Steel | 20,135 | 759,895 | |||||
Valvoline | 12,440 | 392,606 | |||||
Westlake Chemical | 3,150 | 388,710 | |||||
12,739,057 | |||||||
Media & Entertainment - 3.3% | |||||||
Altice USA, Cl. A | 25,430 | a | 317,366 | ||||
Cable One | 130 | 190,351 | |||||
DISH Network, Cl. A | 4,260 | a,b | 134,829 | ||||
John Wiley & Sons, Cl. A | 10,345 | 548,595 | |||||
News Corporation, Cl. A | 10,925 | 241,989 | |||||
Pinterest, Cl. A | 8,195 | a | 201,679 | ||||
Roku | 1,960 | a | 245,529 | ||||
TEGNA | 13,970 | 312,928 | |||||
The Interpublic Group of Companies | 17,045 | 604,245 | |||||
The New York Times Company, Cl. A | 19,790 | 907,174 | |||||
8,620 | a | 333,508 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Media & Entertainment - 3.3% (continued) | |||||||
World Wrestling Entertainment, Cl. A | 6,900 | b | 430,836 | ||||
Yelp | 16,175 | a | 551,729 | ||||
Ziff Davis | 4,415 | a | 427,284 | ||||
5,448,042 | |||||||
Pharmaceuticals Biotechnology & Life Sciences - 2.6% | |||||||
Azenta | 2,695 | a | 223,362 | ||||
Bio-Techne | 1,125 | 487,170 | |||||
Bruker | 8,895 | 571,949 | |||||
Exelixis | 41,910 | a | 950,100 | ||||
Halozyme Therapeutics | 9,080 | a | 362,110 | ||||
Medpace Holdings | 3,460 | a | 566,021 | ||||
Repligen | 1,660 | a | 312,229 | ||||
Syneos Health | 7,385 | a | 597,816 | ||||
United Therapeutics | 1,705 | a | 305,894 | ||||
4,376,651 | |||||||
Real Estate - 10.5% | |||||||
Americold Realty Trust | 11,455 | c | 319,366 | ||||
Apartment Income REIT | 10,895 | c | 582,447 | ||||
Brixmor Property Group | 23,710 | c | 611,955 | ||||
Corporate Office Properties Trust | 29,725 | c | 848,352 | ||||
EastGroup Properties | 3,510 | c | 713,513 | ||||
EPR Properties | 10,205 | c | 558,316 | ||||
Federal Realty Investment Trust | 4,815 | c | 587,767 | ||||
First Industrial Realty Trust | 8,820 | c | 546,046 | ||||
Highwoods Properties | 16,065 | c | 734,813 | ||||
Jones Lang LaSalle | 2,915 | a | 698,026 | ||||
Kilroy Realty | 25,340 | c | 1,936,483 | ||||
Lamar Advertising, Cl. A | 8,980 | c | 1,043,296 | ||||
Mid-America Apartment Communities | 2,275 | c | 476,499 | ||||
National Retail Properties | 37,620 | c | 1,690,643 | ||||
National Storage Affiliates Trust | 15,355 | c | 963,680 | ||||
Potlatchdeltic | 2,550 | c | 134,462 | ||||
PS Business Parks | 9,180 | c | 1,542,974 | ||||
SL Green Realty | 4,776 | c | 387,716 | ||||
Spirit Realty Capital | 27,600 | c | 1,270,152 | ||||
STORE Capital | 44,505 | c | 1,300,881 | ||||
The Macerich Company | 35,410 | b,c | 553,812 | ||||
17,501,199 | |||||||
Retailing - 4.1% | |||||||
American Eagle Outfitters | 10,585 | b | 177,828 | ||||
AutoNation | 3,000 | a | 298,740 | ||||
Dick's Sporting Goods | 4,650 | b | 465,093 | ||||
Five Below | 3,465 | a | 548,752 | ||||
Foot Locker | 10,215 | 302,977 |
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Retailing - 4.1% (continued) | |||||||
GameStop, Cl. A | 4,010 | a,b | 667,986 | ||||
Kohl's | 15,955 | 964,639 | |||||
Lithia Motors | 1,870 | 561,224 | |||||
Macy's | 24,965 | 608,147 | |||||
Murphy USA | 1,995 | 398,920 | |||||
Nordstrom | 9,500 | b | 257,545 | ||||
RH | 690 | a,b | 225,002 | ||||
Victoria's Secret & Co. | 7,435 | a | 381,862 | ||||
Williams-Sonoma | 6,440 | 933,800 | |||||
6,792,515 | |||||||
Semiconductors & Semiconductor Equipment - 3.8% | |||||||
Allegro MicroSystems | 10,475 | a | 297,490 | ||||
CMC Materials | 1,060 | 196,524 | |||||
Enphase Energy | 2,320 | a | 468,130 | ||||
Entegris | 2,125 | 278,928 | |||||
Lattice Semiconductor | 13,105 | a | 798,750 | ||||
MKS Instruments | 6,535 | 980,250 | |||||
ON Semiconductor | 6,610 | a | 413,852 | ||||
Power Integrations | 5,750 | 532,910 | |||||
Qorvo | 1,260 | a | 156,366 | ||||
Semtech | 14,120 | a | 979,081 | ||||
Silicon Laboratories | 2,120 | a | 318,424 | ||||
SiTime | 890 | a | 220,560 | ||||
Synaptics | 3,235 | a | 645,383 | ||||
6,286,648 | |||||||
Software & Services - 4.4% | |||||||
ACI Worldwide | 10,180 | a | 320,568 | ||||
Aspen Technology | 1,625 | a | 268,726 | ||||
Blackbaud | 1,725 | a | 103,276 | ||||
Concentrix | 3,455 | 575,465 | |||||
Dolby Laboratories, Cl. A | 4,265 | 333,608 | |||||
Everbridge | 5,865 | a | 255,949 | ||||
Fair Isaac | 2,130 | a | 993,560 | ||||
Genpact | 21,340 | 928,503 | |||||
HubSpot | 1,115 | a | 529,558 | ||||
Manhattan Associates | 3,645 | a | 505,598 | ||||
NCR | 17,890 | a | 718,999 | ||||
Pegasystems | 3,385 | 273,000 | |||||
Qualys | 3,620 | a | 515,524 | ||||
Teradata | 12,195 | a | 601,092 | ||||
The Western Union Company | 10,975 | 205,672 | |||||
Zscaler | 1,265 | a | 305,219 | ||||
7,434,317 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Shares | Value ($) | |||||
Common Stocks - 99.6% (continued) | |||||||
Technology Hardware & Equipment - 3.7% | |||||||
Avnet | 17,880 | 725,749 | |||||
Belden | 6,970 | 386,138 | |||||
Calix | 6,160 | a | 264,326 | ||||
CDW | 2,340 | 418,603 | |||||
Ciena | 10,360 | a | 628,127 | ||||
Cognex | 11,330 | 874,109 | |||||
II-VI | 9,885 | a,b | 716,564 | ||||
Jabil | 2,615 | 161,424 | |||||
Littelfuse | 2,940 | 733,265 | |||||
Lumentum Holdings | 5,845 | a | 570,472 | ||||
Trimble | 5,625 | a | 405,788 | ||||
Vontier | 14,385 | 365,235 | |||||
6,249,800 | |||||||
Telecommunication Services - .5% | |||||||
Iridium Communications | 13,960 | a | 562,867 | ||||
Lumen Technologies | 29,970 | b | 337,762 | ||||
900,629 | |||||||
Transportation - 2.1% | |||||||
Avis Budget Group | 3,160 | a | 832,028 | ||||
GXO Logistics | 2,050 | a | 146,247 | ||||
Knight-Swift Transportation Holdings | 8,690 | 438,497 | |||||
Landstar System | 1,975 | 297,889 | |||||
Old Dominion Freight Line | 1,655 | 494,315 | |||||
Ryder System | 2,940 | 233,230 | |||||
Saia | 2,730 | a | 665,629 | ||||
XPO Logistics | 6,295 | a | 458,276 | ||||
3,566,111 | |||||||
Utilities - 3.2% | |||||||
ALLETE | 10,555 | 706,974 | |||||
Black Hills | 16,465 | 1,268,134 | |||||
DTE Energy | 2,110 | 278,963 | |||||
Evergy | 5,050 | 345,117 | |||||
Hawaiian Electric Industries | 25,710 | 1,087,790 | |||||
IDACORP | 10,520 | 1,213,587 | |||||
UGI | 10,930 | 395,885 | |||||
5,296,450 | |||||||
Total Common Stocks (cost $145,016,917) | 166,577,741 | ||||||
1-Day | |||||||
Investment Companies - .4% | |||||||
Registered Investment Companies - .4% | |||||||
Dreyfus Institutional Preferred Government
Plus Money Market Fund, Institutional Shares | 0.31 | 675,233 | d | 675,233 |
Investment of Cash Collateral for Securities Loaned - 1.1% | |||||||
Registered Investment Companies - 1.1% | |||||||
Dreyfus
Institutional Preferred Government Plus Money Market Fund, SL Shares | 0.31 | 1,848,944 | d | 1,848,944 | |||
Total Investments (cost $147,541,094) | 101.1% | 169,101,918 | |||||
Liabilities, Less Cash and Receivables | (1.1%) | (1,861,651) | |||||
Net Assets | 100.0% | 167,240,267 |
a Non-income producing security.
b Security, or portion thereof, on loan. At March 31, 2022, the value of the fund’s securities on loan was $4,868,779 and the value of the collateral was $5,107,087, consisting of cash collateral of $1,848,944 and U.S. Government & Agency securities valued at $3,258,143. In addition, the value of collateral may include pending sales that are also on loan.
c Investment in real estate investment trust within the United States.
d Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
STATEMENT
OF INVESTMENTS
MidCap Stock Portfolio
March 31, 2022 (Unaudited)
The following is a summary of the inputs used as of March 31, 2022 in valuing the fund’s investments:
Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | Level 3-Significant Unobservable Inputs | Total | |||
Assets ($) | ||||||
Investments in Securities:† | ||||||
Equity Securities - Common Stocks | 166,577,741 | - | - | 166,577,741 | ||
Investment Companies | 2,524,177 | - | - | 2,524,177 |
† 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 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, 2022, accumulated net unrealized appreciation on investments was $21,560,824, consisting of $26,901,359 gross unrealized appreciation and $5,340,535 gross unrealized depreciation.
At March 31, 2022, 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.