0001752724-20-252268.txt : 20201130 0001752724-20-252268.hdr.sgml : 20201130 20201130145752 ACCESSION NUMBER: 0001752724-20-252268 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20200930 FILED AS OF DATE: 20201130 PERIOD START: 20201231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ALLIANZ VARIABLE INSURANCE PRODUCTS TRUST CENTRAL INDEX KEY: 0001091439 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-09491 FILM NUMBER: 201357883 BUSINESS ADDRESS: STREET 1: 5701 GOLDEN HILLS DRIVE CITY: MINNEAPOLIS STATE: MN ZIP: 55416-1297 BUSINESS PHONE: 763-765-6551 MAIL ADDRESS: STREET 1: 5701 GOLDEN HILLS DRIVE CITY: MINNEAPOLIS STATE: MN ZIP: 55416-1297 FORMER COMPANY: FORMER CONFORMED NAME: USALLIANZ VARIABLE INSURANCE PRODUCTS TRUST DATE OF NAME CHANGE: 19990721 0001091439 S000046865 AZL DFA International Core Equity Fund C000146453 AZL DFA International Core Equity Fund NPORT-P 1 primary_doc.xml NPORT-P false 0001091439 XXXXXXXX S000046865 C000146453 Allianz Variable Insurance Products Trust 811-09491 0001091439 549300446YVO0C3VKW34 5701 Golden Hills Drive Minneapolis 55416 800-624-0197 AZL DFA International Core Equity Fund S000046865 549300KTVWXOFW5Y7B47 2020-12-31 2020-09-30 N 242877493.71 3321535.69 239555958.02 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 NOK CHF AUD IDR MXN SGD HKD NZD ILS JPY GBP DKK SEK USD CAD EUR N Akatsuki Inc. 353800EZN28NUOR4N912 AKATSUKI INC N/A 800.00000000 NS 35225.53000000 0.014704510082 Long EC CORP JP N 2 N N N SoftBank Group Corp. 5493003BZYYYCDIO0R13 SOFTBANK GROUP CORP N/A 21800.00000000 NS 1346281.61000000 0.561990451470 Long EC CORP JP N 2 N N N HOUSE FOODS GROUP INC. 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N/A TOKAI RIKA CO LTD N/A 2500.00000000 NS 37286.44000000 0.015564814295 Long EC CORP JP N 2 N N N DEA CAPITAL SPA 81560015D3D3E34A6B66 DEA CAPITAL SPA N/A 4462.00000000 NS 6076.12000000 0.002536409467 Long EC CORP IT N 2 N N N A.P. MOELLER - MAERSK A/S 549300D2K6PKKKXVNN73 A P MOLLER - MAERSK A/S N/A 32.00000000 NS 46751.43000000 0.019515870273 Long EC CORP DK N 2 N N N Accordia Golf Trust 54930073K3XWHXF9RB56 ACCORDIA GOLF TRUST N/A 36400.00000000 NS 535.23000000 0.000223425876 Long CORP SG N 2 N N N SINGAPORE PRESS HOLDINGS LIMITED 254900KNRZSJOJRKPW61 SINGAPORE PRESS HOLDINGS LTD. N/A 44700.00000000 NS 34227.43000000 0.014287864214 Long EC CORP SG N 2 N N N Daetwyler Holding AG 52990096G2IJ89SWI669 DAETWYLER HOLDING AG N/A 168.00000000 NS 37274.95000000 0.015560017921 Long EC CORP CH N 2 N N N Solasto Corporation N/A SOLASTO CORP N/A 1900.00000000 NS 24845.58000000 0.010371514115 Long EC CORP JP N 2 N N N L'Occitane International S.A. 549300TLZP9DZV3ROI47 L'OCCITANE INTERNATIONAL SA N/A 15750.00000000 NS 27511.94000000 0.011484556772 Long EC CORP LU N 2 N N N OCADO GROUP PLC 213800LO8F61YB8MBC74 OCADO GROUP PLC N/A 1472.00000000 NS 52010.50000000 0.021711211205 Long EC CORP GB N 2 N N N AISAN INDUSTRY CO., LTD. N/A AISAN INDUSTRY CO LTD N/A 1000.00000000 NS 4455.53000000 0.001859911995 Long EC CORP JP N 2 N N N Cathay Pacific Airways Limited EQNZNT235RBOJ6LJQZ02 CATHAY PACIFIC AIRWAYS LTD. N/A 57347.00000000 NS 39907.13000000 0.016658792513 Long EC CORP HK N 2 N N N YAKULT HONSHA CO.,LTD. 353800YJPSPGG7KI0S71 YAKULT HONSHA CO., LTD. N/A 200.00000000 NS 11098.22000000 0.004632829878 Long EC CORP JP N 2 N N N LIBERTY GLOBAL PLC 549300BSGXG3QLIQYT84 LIBERTY GLOBAL PLC - C G5480U120 3548.00000000 NS USD 72858.18000000 0.030413845934 Long EC CORP GB N 1 N N N NIBE Industrier AB 549300ZQH0FIF1P0MX67 NIBE INDUSTRIER AB - B SHARES N/A 1796.00000000 NS 46309.06000000 0.019331207782 Long EC CORP SE N 2 N N N KANTO DENKA KOGYO CO.,LTD. N/A KANTO DENKA KOGYO CO LTD N/A 5000.00000000 NS 34403.69000000 0.014361442013 Long EC CORP JP N 2 N N N Daishi Hokuetsu Financial Group, Inc. N/A DAISHI HOKUETSU FINANCIAL N/A 1900.00000000 NS 39360.82000000 0.016430741412 Long EC CORP JP N 2 N N N COMPAGNIE FINANCIERE RICHEMONT SA 549300YIPGJ6UX2QPS51 COMPAGNIE FINANCIERE RICHEMONT AG N/A 4311.00000000 NS 288832.59000000 0.120569988067 Long EC CORP CH N 2 N N N CRH PUBLIC LIMITED COMPANY 549300MIDJNNTH068E74 CRH PLC - SPONSORED ADR 12626K203 16084.00000000 NS USD 580471.56000000 0.242311468601 Long CORP IE N 1 N N N Acerinox, S.A. 95980020140005582721 ACERINOX SA N/A 3860.00000000 NS 31575.90000000 0.013181012178 Long EC CORP ES N 2 N N N 2020-10-30 Allianz Variable Insurance Products Trust Bashir C. Asad Bashir C. Asad Treasurer XXXX NPORT-EX 2 2438_0001091439.htm N-Q

AZL DFA Five-Year Global Fixed Income Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
            Fair Value    
Corporate Bonds (6.2%):   
Consumer Finance (0.1%):   
$200,000  

Toyota Motor Credit Corp., 0.75%, 7/21/22

   $ 237,957  
257,000  

Toyota Motor Credit Corp., 2.38%, 2/1/23

     318,377  
    

 

 

 

       556,334  
    

 

 

 

Diversified Financial Services (0.9%):   
2,400,000  

Berkshire Hathaway, Inc., 0.63%, 1/17/23, Callable 11/17/22 @ 100

     2,855,933  
500,000  

Berkshire Hathaway, Inc., 0.75%, 3/16/23, Callable 12/16/22 @ 100

     596,891  
    

 

 

 

       3,452,824  
    

 

 

 

Food & Staples Retailing (0.3%):   
1,000,000  

Walmart, Inc., 1.90%, 4/8/22, Callable 1/8/22 @ 100

     1,204,462  
    

 

 

 

Food Products (0.4%):   
500,000  

Nestle Holdings, Inc., 1.75%, 12/9/20, MTN

     646,782  
799,000  

Nestle Holdings, Inc., 1.88%, 3/9/21

     803,994  
    

 

 

 

       1,450,776  
    

 

 

 

Household Products (1.5%):   
4,700,000  

Procter & Gamble Co. (The), 2.00%, 8/16/22

     5,742,516  
    

 

 

 

Independent Power and Renewable Electricity Producers (0.2%):   
500,000  

Tennessee Valley Authority, 5.35%, 6/7/21

     666,398  
    

 

 

 

Industrial Conglomerates (0.6%):   
1,850,000  

3M Co., 0.38%, 2/15/22, Callable 11/15/21 @ 100

     2,183,773  
200,000  

3M Co., Series E, 0.95%, 5/15/23

     241,734  
    

 

 

 

       2,425,507  
    

 

 

 

Pharmaceuticals (1.5%):   
750,000  

Johnson & Johnson, 0.25%, 1/20/22, Callable 12/20/21 @ 100

     885,463  
4,521,000  

Pfizer, Inc., 0.25%, 3/6/22, Callable 2/6/22 @ 100

     5,331,262  
    

 

 

 

       6,216,725  
    

 

 

 

Software (0.1%):   
250,000  

Oracle Corp., Series E, 2.25%, 1/10/21, MTN

     295,005  
    

 

 

 

Technology Hardware, Storage & Peripherals (0.6%):   
2,000,000  

Apple, Inc., 1.00%, 11/10/22

     2,405,876  
    

 

 

 

Total Corporate Bonds (Cost $24,448,455)

     24,416,423  
  

 

 

 

Foreign Bonds (71.6%):   
Banks (20.7%):   
500,000   Australia & New Zealand Banking Group, Ltd.,
1.23%(BBSW3M+113bps), 8/16/21, MTN+
     361,139  
500,000   Australia & New Zealand Banking Group, Ltd.,
0.98%(BBSW3M+88bps), 2/8/22, MTN+
     361,391  
Contracts,
Shares,
Notional
Amount or
Principal
Amount
            Fair Value    
Foreign Bonds, continued   
Banks, continued   
$500,000   Australia & New Zealand Banking Group, Ltd.,
1.09%(BBSW3M+100bps), 3/7/22, MTN+
   $ 362,075  
500,000   Australia & New Zealand Banking Group, Ltd.,
0.86%(BBSW3M+77bps), 8/29/24, MTN+
     362,342  
3,000,000   Australia & New Zealand Banking Group, Ltd.,
0.86%(BBSW3M+76bps), 1/16/25, MTN+
     2,174,772  
1,000,000   Bank of Montreal, 0.86%(BBSW3M+77bps), 9/7/21, MTN+      719,431  
1,000,000   Bank of Montreal, 1.61%, 10/28/21+      760,568  
2,000,000   Bank of Montreal,
1.08%(BBSW3M+99bps), 9/7/23, MTN+
     1,452,999  
500,000   Bank of Nova Scotia, 0.38%, 4/6/22, MTN+      590,379  
2,700,000   Canadian Imperial Bank of Commerce, 1.90%, 4/26/21+      2,045,705  
3,800,000   Canadian Imperial Bank of Commerce, 2.90%, 9/14/21+      2,921,896  
450,000   Canadian Imperial Bank of Commerce, 0.75%, 3/22/23+      538,901  
1,500,000   Commonwealth Bank of Australia, 2.90%, 7/12/21, MTN+      1,096,151  
1,200,000   Commonwealth Bank of Australia, 2.75%, 8/16/21+      877,866  
1,000,000   Commonwealth Bank of Australia, Series E, 0.50%, 7/11/22+      1,187,428  
1,000,000   Commonwealth Bank of Australia, 0.98%(BBSW3M+88bps), 7/25/22, MTN+      724,380  
2,389,000   Cooperatieve Rabobank UA, Series E, 4.75%, 6/6/22+      3,035,891  
2,093,000   Cooperatieve Rabobank UA, 0.50%, 12/6/22+      2,491,299  
1,000,000   DBS Bank, Ltd./Australia, 0.72%(BBSW3M+63bps), 9/13/22, MTN+      719,567  
1,800,000   Dexia Credit Local SA, Series E, 1.13%, 6/15/22+      2,355,097  
5,200,000   Dexia Credit Local SA, 0.25%, 6/1/23, MTN+      6,203,643  
500,000   Euroclear Bank SA, 0.25%, 9/7/22, MTN+      591,446  
500,000   Kreditanstalt fuer Wiederaufbau, 5.55%, 6/7/21, MTN+      668,992  
500,000   National Australia Bank, Ltd., 3.00%, 5/12/21, MTN+      364,037  
3,000,000   National Australia Bank, Ltd., Series G, 0.88%, 1/20/22+      3,567,842  
500,000   National Australia Bank, Ltd., 1.00%(BBSW3M+90bps), 7/5/22, MTN+      362,186  
500,000   National Australia Bank, Ltd., 0.35%, 9/7/22+      591,956  
1,000,000   National Australia Bank, Ltd., 0.90%(BBSW3M+80bps), 2/10/23, MTN+      724,344  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA Five-Year Global Fixed Income Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
            Fair Value    
Foreign Bonds, continued   
Banks, continued   
 $3,000,000   National Australia Bank, Ltd.,
1.01%(BBSW3M+93bps), 9/26/23, MTN+
   $ 2,183,236  
2,000,000   National Australia Bank, Ltd., 0.87%(BBSW3M+77bps), 1/21/25, MTN+      1,450,521  
1,164,000   Oesterreichische Kontrollbank AG, Series E, 0.75%, 3/7/22+      1,512,511  
1,000,000   Oversea-Chinese Banking Corp., Ltd./Sydney,
0.70%(BBSW3M+60bps), 10/6/20, MTN+
     716,139  
7,000,000   Royal Bank of Canada, 2.86%, 3/4/21+      5,316,718  
3,500,000   Royal Bank of Canada, 2.03%, 3/15/21+      2,648,502  
420,000   Royal Bank of Canada, 1.65%, 7/15/21+      318,609  
4,000,000   Royal Bank of Canada, 1.58%, 9/13/21+      3,037,825  
1,190,000   Skandinaviska Enskilda Banken AB, 1.25%, 8/5/22+      1,554,509  
1,500,000   State of North Rhine-Westphalia Germany, 0.00%, 2/16/21+      1,761,799  
4,400,000   State of North Rhine-Westphalia Germany, 0.17%(BP0003M+6bps), 10/29/21, MTN+      5,670,564  
2,318,000   Svenska Handelsbanken AB, Series E, 0.25%, 2/28/22+      2,737,349  
1,000,000   Svenska Handelsbanken AB, 2.63%, 8/23/22+      1,235,786  
1,100,000   Svenska Handelsbanken AB, 1.13%, 12/14/22+      1,327,887  
4,000,000   Toronto-Dominion Bank (The), 2.62%, 12/22/21+      3,083,100  
600,000   Toronto-Dominion Bank (The), 1.10%(BBSW3M+100bps), 7/10/24+      431,092  
2,500,000   United Overseas Bank, Ltd./Sydney, 0.63%(BBSW3M+53bps), 7/25/22, MTN+      1,795,108  
1,500,000   Westpac Banking Corp., 3.10%, 6/3/21, MTN+      1,094,529  
300,000   Westpac Banking Corp., Series E, 0.25%, 1/17/22+      353,928  
500,000   Westpac Banking Corp., 1.21%(BBSW3M+111bps), 2/7/22, MTN+      362,444  
1,000,000   Westpac Banking Corp.,
1.05%(BBSW3M+95bps), 11/16/23, MTN+
     728,762  
3,500,000   Westpac Banking Corp., 1.24%(BBSW3M+114bps), 4/24/24, MTN+      2,568,238  
2,000,000   Westpac Banking Corp., 0.98%(BBSW3M+88bps), 8/16/24, MTN+      1,455,247  
    

 

 

 

       81,558,126  
    

 

 

 

Capital Markets (3.3%):   
2,000,000   Canada Housing Trust No 1,
0.67%(CDOR03+16bps), 3/15/22+(a)
     1,511,732  
2,000,000   Canada Housing Trust No 1, 0.61%(CDOR03+10bps), 9/15/22+(a)      1,512,123  
Contracts,
Shares,
Notional
Amount or
Principal
Amount
            Fair Value    
Foreign Bonds, continued   
Capital Markets, continued   
 $6,000,000   Canada Housing Trust No 1,
0.45%(CDOR03-(6)bps), 9/15/23+(a)
   $ 4,529,021  
2,000,000   Canada Housing Trust No 1, 0.46%(CD0R03-(5)bps), 3/15/24+(a)      1,509,389  
2,500,000   Canada Housing Trust No 1, 0.47%(CDOR03-(4)bps), 3/15/25+(a)      1,888,595  
300,000   FMS Wertmanagement, 1.13%, 9/7/23+      397,315  
500,000   International Finance Corp., 2.70%, 2/5/21, MTN+      361,120  
1,000,000   International Finance Corp., 0.32%(SONIA+25bps), 1/18/22+      1,291,229  
    

 

 

 

       13,000,524  
    

 

 

 

Consumer Finance (2.5%):   
1,000,000   Toyota Credit Canada, Inc., 2.20%, 2/25/21+      755,798  
5,368,000   Toyota Finance Australia, Ltd., 0.00%, 4/9/21, MTN+      6,298,788  
1,355,000   Toyota Finance Australia, Ltd., Series E, 0.50%, 4/6/23, MTN+      1,609,585  
905,000   Toyota Motor Finance Netherlands BV, Series E, 0.25%, 1/10/22, MTN+      1,065,583  
    

 

 

 

       9,729,754  
    

 

 

 

Diversified Financial Services (20.8%):   
1,000,000   Agence Francaise de Developpement, 0.13%, 4/30/22+      1,182,059  
1,500,000   Agence Francaise de Developpement, 0.50%, 10/25/22+      1,789,899  
5,700,000   ASB Finance, Ltd., Series E, 0.50%, 6/10/22+      6,738,204  
400,000   Bank Nederlandse Gemeenten NV, Series E, 1.00%, 3/15/22+      521,734  
1,100,000   Bank Nederlandse Gemeenten NV, 0.25%, 2/22/23+      1,312,283  
1,500,000   BNG Bank NV, 1.13%, 5/24/21, MTN+      1,946,867  
6,334,000   BNG Bank NV, 0.05%, 7/11/23, MTN+      7,537,656  
390,000   Caisse d’Amortissement de la Dette Sociale, 3.75%, 10/25/20+      458,411  
1,550,000   Caisse d’Amortissement de la Dette Sociale, 3.38%, 4/25/21, MTN+      1,856,122  
200,000   Caisse d’Amortissement de la Dette Sociale, Series E, 0.50%, 5/25/23, MTN+      240,358  
5,600,000   Caisse d’Amortissement de la Dette Sociale, 0.13%, 10/25/23+      6,683,013  
700,000   Caisse des Depots et Consignations, Series E, 1.00%, 1/25/21, MTN+      905,323  
258,000   European Bank for Reconstruction & Development, 0.31%(SONIO/N+25bps), 2/27/23, MTN+      333,034  
4,832,000   European Bank for Reconstruction & Development, Series G,
0.36%(SONIO/N+30bps), 2/28/24, MTN+
     6,242,582  
200,000   European BK Recon & Development, 0.37%(SONIO/N+31bps), 11/13/24, MTN+      258,199  
4,000,000   European Investment Bank, Series E, 3.50%, 1/14/21+      451,179  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA Five-Year Global Fixed Income Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
            Fair Value    
Foreign Bonds, continued   
Diversified Financial Services, continued   
$23,800,000   European Investment Bank, Series E, 1.50%, 5/12/22, MTN+    $ 2,600,507  
1,600,000   European Investment Bank, 0.40%(SONIO/N+35bps), 6/29/23, MTN+      2,072,798  
4,167,000   European Investment Bank, 0.38%(SONIO/N+31bps), 1/15/25, MTN+      5,395,011  
400,000   Kommunalbanken AS, 1.13%, 11/30/22+      525,517  
846,000   Kommunekredit, 0.13%, 8/28/23, MTN+      1,009,047  
87,940,000   Kommuninvest I Sverige AB, 0.25%, 6/1/22+      9,875,360  
15,600,000   Kommuninvest I Sverige AB, 0.75%, 2/22/23+      1,774,933  
1,500,000   Kommuninvest I Sverige AB, 1.00%, 11/13/23, MTN+      172,711  
200,000   Landeskreditbank Baden-Wuerttemberg Foerderbank, Series E, 0.88%, 3/7/22+      260,253  
1,466,000   Municipality Finance plc, 1.25%, 12/7/22+      1,931,089  
500,000   Nestle Finance International, Ltd., Series E, 0.75%, 11/8/21, MTN+      592,343  
500,000   Nestle Finance International, Ltd., 1.75%, 9/12/22+      609,235  
500,000   NRW.Bank, 0.13%, 3/10/23+      594,840  
2,150,000   NRW.Bank, 0.13%, 7/7/23+      2,563,884  
4,680,000   OP Corporate Bank plc, Series E, 0.75%, 3/3/22+      5,558,645  
700,000   Roche Finance Europe BV, 0.50%, 2/27/23, Callable 11/27/22 @ 100+      835,262  
1,640,000   Shell International Finance BV, 1.63%, 3/24/21, MTN+      1,940,076  
1,500,000   Temasek Financial I, Ltd., Series E, 0.50%, 3/1/22+      1,767,884  
800,000   Temasek Financial I, Ltd., Series G, 4.63%, 7/26/22+      1,108,934  
600,000   Total Capital Canada, Ltd., Series E, 1.13%, 3/18/22+      716,916  
486,000   Total Capital International SA, 2.25%, 12/17/20, MTN+      629,393  
900,000   Total Capital International SA, 0.25%, 7/12/23+      1,066,174  
    

 

 

 

       82,057,735  
    

 

 

 

Electric Utilities (0.4%):   
2,000,000   Hydro-Quebec, 0.70%(CDOR03+20bps), 4/14/23+      1,511,762  
    

 

 

 

Insurance (1.3%):   
1,200,000   UNEDIC ASSEO, 0.00%, 11/25/20, MTN+      1,407,456  
600,000   UNEDIC ASSEO, 0.13%, 5/25/22+      709,123  
2,600,000   UNEDIC ASSEO, 0.88%, 10/25/22+      3,125,962  
    

 

 

 

       5,242,541  
    

 

 

 

Oil, Gas & Consumable Fuels (1.4%):   
2,147,000   Shell International Finance BV, Series E, 1.25%, 3/15/22+      2,572,011  
1,150,000   Shell International Finance BV, Series E, 1.00%, 4/6/22+      1,372,566  
Contracts,
Shares,
Notional
Amount or
Principal
Amount
            Fair Value    
Foreign Bonds, continued   
Oil, Gas & Consumable Fuels, continued   
$1,300,000   Statoil ASA, 0.88%, 2/17/23, Callable 11/17/22 @ 100+    $ 1,557,205  
    

 

 

 

       5,501,782  
    

 

 

 

Pharmaceuticals (3.8%):   
750,000   Novartis Finance SA, 0.75%, 11/9/21+      888,936  
2,000,000   Novartis Finance SA, 0.50%, 8/14/23, Callable 5/14/23 @ 100+      2,388,947  
500,000   Sanofi, 1.13%, 3/10/22, Callable 12/10/21 @ 100+      595,654  
300,000   Sanofi, Series E, 0.00%, 3/21/22, Callable 2/21/22 @ 100, MTN+      352,824  
1,100,000   Sanofi, 0.00%, 9/13/22, Callable 6/13/22 @ 100+      1,294,475  
7,900,000   Sanofi, 0.50%, 3/21/23, Callable 12/21/22 @ 100+      9,419,672  
    

 

 

 

       14,940,508  
    

 

 

 

Road & Rail (0.2%):   
667,000   Transport For London, 2.25%, 8/9/22, MTN+      885,868  
    

 

 

 

Sovereign Bond (16.5%):   
1,000,000   African Development Bank, 5.25%, 3/23/22, MTN+      767,518  
643,000   Asian Development Bank, 0.35%(SONIO/N+29bps), 3/19/24+      829,928  
300,000   Bpifrance Financement SA, Series E, 0.10%, 2/19/21+      352,272  
1,000,000   European Stability Mechanism Treasury Bill, 0.00%, 11/19/20+(b)      1,173,148  
3,000,000   European Stability Mechanism Treasury Bill, 0.00%, 12/3/20+      3,520,222  
2,307,000   European Stability Mechanism Treasury Bill, 0.00%, 12/17/20+(b)      2,707,646  
3,000,000   Export Development Canada, 2.40%, 6/7/21, MTN+      2,180,121  
1,000,000   Export Development Canada, Series E, 0.37%(SONIO/N+31bps), 5/29/24, MTN+      1,289,364  
1,000,000   Export Development Canada, 0.40%(SONIO/N+33bps), 1/17/25, MTN+      1,289,100  
1,875,000   France Treasury Bill BTF, 0.00%, 12/9/20+(b)      2,200,425  
5,925,000   International Bank for Reconstruction & Development, 0.33%(SONIO/N+27bps), 5/15/24+      7,650,758  
500,000   Kommunalbanken AS, Series E, 1.50%, 12/15/23, MTN+      669,959  
500,000   Landeskreditbank Baden-Wuerttemberg Foerderbank, 0.13%, 11/5/20, MTN+      586,458  
1,513,000   Monetary Authority of Singapore Bill, 0.00%, 11/27/20+(b)      1,108,225  
12,000,000   Province of British Columbia Canada, 3.70%, 12/18/20+      9,080,578  
7,000,000   Province of Manitoba Canada, 1.55%, 9/5/21+      5,320,873  
450,000   Province of Manitoba Canada, 1.50%, 12/15/22+      593,970  
11,500,000   Province of Ontario Canada,
0.80%(CDOR03+26bps), 10/27/21+
     8,689,264  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA Five-Year Global Fixed Income Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
            Fair Value    
Foreign Bonds, continued   
Sovereign Bond, continued   
 $2,000,000   Province of Ontario Canada, 0.66%(CDOR03+15bps), 6/27/22+    $ 1,512,047  
1,000,000   Province of Ontario Canada, 0.56%(CDOR03+5bps), 8/21/23+      755,836  
7,000,000   Province of Quebec Canada, 4.50%, 12/1/20+      5,297,108  
950,000   Province of Quebec Canada, 0.88%, 5/24/22+      1,235,528  
1,500,000   Province of Quebec Canada, 1.10%(CDOR03+54.5bps), 10/19/23, MTN+      1,151,746  
3,500,000   Province of Quebec Canada, 0.96%(CDOR03+40.5bps), 10/13/24+      2,688,249  
500,000   Swedish Export Credit AB, Series E, 1.38%, 12/15/23, MTN+      666,391  
1,500,000   Swedish Exportkredit AB, 0.63%, 12/7/20, MTN+      1,937,056  
    

 

 

 

       65,253,790  
    

 

 

 

Transportation Infrastructure (0.7%):   
2,200,000   SNCF Reseau, 0.10%, 5/27/21+      2,586,293  
    

 

 

 

Total Foreign Bonds (Cost $278,941,862)

     282,268,683  
  

 

 

 

Yankee Dollars (18.6%):   
Banks (0.9%):   
447,000   Bank of Nova Scotia, 2.70%, 3/7/22      461,575  
3,000,000  

Oesterreichische Kontrollbank AG, 0.27% (US0003M+1 bps), 11/22/21

     2,999,242  
    

 

 

 

       3,460,817  
    

 

 

 

Capital Markets (1.0%):   
4,000,000  

International Finance Corp., 0.43% (US0003M+18 bps), 12/15/21, MTN

     4,008,900  
    

 

 

 

Diversified Financial Services (8.9%):   
600,000  

Caisse des Depots et Consignations, 0.39% (US0003M+9 bps), 10/2/20, MTN

     600,000  
2,000,000  

EUROFIMA, 0.37% (US0003M+9 bps), 11/15/21

     2,000,060  
3,800,000  

EUROFIMA, 0.35% (US0003M+10 bps), 3/11/22, MTN

     3,797,340  
2,000,000  

European Bank For Reconstruction & Development, 0.34% (SOFRRATE+26 bps), 3/13/23, MTN

     1,995,232  
2,125,000  

European Bank For Reconstruction & Deveploment, 0.34% (SOFR+26 bps), 8/19/22, MTN

     2,123,491  
1,300,000  

European Investment Bank, 0.37% (SOFR+28 bps), 3/5/24

     1,299,350  
2,000,000  

Kommunalbanken AS, 0.32% (US0003M+4 bps), 4/15/21

     1,999,814  
1,000,000  

Kommunalbanken AS, 0.38% (US0003M+13 bps), 9/8/21(a)

     1,000,877  
6,000,000  

Kommunalbanken AS, 0.34% (US0003M+8 bps),
2/24/22(a)

     5,996,382  
2,000,000  

Kuntarahoitus Oyj, 0.25% (US0003M+1 bps), 10/26/20

     2,000,000  
Contracts,
Shares,
Notional
Amount or
Principal
Amount
            Fair Value    
Yankee Dollars, continued   
Diversified Financial Services, continued   
 $3,000,000  

Landeskreditbank Baden-Wuerttemberg Foerderbank, Series E, 0.35% (US0003M+12 bps), 9/27/21, MTN

   $ 2,999,790  
3,000,000  

Landeskreditbank Baden-Wuerttemberg Foerderbank, 0.43% (SOFR+35 bps), 3/15/22, MTN

     3,001,260  
6,000,000  

Nederlandse Waterschapsbank NV, 0.32% (US0003M+7 bps),
12/15/21(a)

     5,997,540  
650,000  

Total Capital International SA, 2.88%, 2/17/22

     671,990  
    

 

 

 

       35,483,126  
    

 

 

 

Oil, Gas & Consumable Fuels (0.2%):   
710,000  

Shell International Finance BV, 2.38%, 8/21/22

     736,673  
    

 

 

 

Sovereign Bond (7.6%):   
2,000,000  

African Development Bank, 0.26% (US0003M+1 bps), 12/15/21, MTN

     1,998,932  
2,000,000  

Agence Francaise de Developpement EPIC, 0.37% (US0003M+12 bps), 6/7/21, MTN

     1,999,360  
3,630,000  

Asian Development Bank, 0.43% (US0003M+19 bps), 6/16/21, MTN

     3,633,390  
7,000,000  

Asian Development Bank, 0.34% (FEDL01+25 bps), 5/28/24, MTN

     6,989,704  
50,000  

Inter-American Development Bank, 0.47% (US0003M+20 bps), 7/15/21, MTN

     50,056  
537,000  

Inter-American Development Bank, 0.28% (US0003M ), 1/15/22

     536,547  
4,000,000  

Inter-American Development Bank, 0.35% (SOFR+26 bps), 9/16/22

     3,997,888  
4,000,000  

Inter-American Invest Corp., 0.36% (US0003M+9 bps), 10/12/21, MTN

     3,998,361  
839,000  

International Bank For Reconstruction & Development, 0.48% (SOFR+39 bps), 6/17/24

     830,099  
2,800,000  

International Bank For Reconstruction & Development, 0.39% (SOFR+30 bps), 8/6/24

     2,791,594  
2,000,000  

Swedish Export Credit AB, 0.39% (US0003M+12 bps), 7/15/21

     2,001,040  
1,000,000  

Swedish Export Credit AB, Series E, 0.37% (US0003M+12 bps), 12/13/21, MTN

     1,000,290  
    

 

 

 

       29,827,261  
    

 

 

 

Total Yankee Dollars (Cost $73,474,975)

     73,516,777  
  

 

 

 

Certificates of Deposit (1.5%):   
$1,000,000   Oversea-Chinese Banking Corp., Ltd., 0.30%, 10/22/20      1,000,090  
5,000,000   Svenska Handelsbanken AB, 0.37%, 5/11/21(a)      5,004,135  
    

 

 

 

Total Certificates of Deposit (Cost $6,000,000)

     6,004,225  
  

 

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA Five-Year Global Fixed Income Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
             Fair Value    
Unaffiliated Investment Companies (0.5%):   
Money Markets (0.5%):   
1,808,417    Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(b)    $ 1,808,417  
     

 

 

 

Total Unaffiliated Investment Companies
(Cost $1,808,417)

     1,808,417  
  

 

 

 

Total Investment Securities

(Cost $384,673,709) - 98.4%

     388,014,525  

Net other assets (liabilities) - 1.6%

     6,341,779  
  

 

 

 

Net Assets - 100.0%

     $394,356,304  
  

 

 

 

Percentages indicated are based on net assets as of September 30, 2020.

 

BP0003M   -    3 Month GBP LIBOR
CDOR03   -    Canadian Dollar LIBOR Rate
FEDL01   -    Effective Federal Fund Rate
LIBOR   -    London Interbank Offered Rate
MTN   -    Medium Term Note
SOFR   -    Secured Overnight Financing Rate
SONIA   -    Sterling Overnight Interbank Average Rate
US0003M   -    3 Month US Dollar LIBOR

 

+

The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars.

(a)

Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees.

(b)

The rate represents the effective yield at September 30, 2020.

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of September 30, 2020:

(Unaudited)

 

Country

  Percentage

Australia

      8.0 %

Austria

      1.2 %

Belgium

      0.2 %

Canada

      20.5 %

Denmark

      0.3 %

Finland

      2.4 %

France

      12.5 %

Germany

      4.7 %

Luxembourg

      1.2 %

Netherlands

      8.0 %

New Zealand

      1.7 %

Norway

      3.0 %

Singapore

      2.2 %

Supernational

      19.6 %

Sweden

      7.5 %

United Kingdom

      0.2 %

United States

      6.8 %
      100.0 %      
      

    

 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA Five-Year Global Fixed Income Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Forward Currency Contracts

At September 30, 2020, the Fund’s open forward currency contracts were as follows:

 

Currency Purchased      Currency Sold      Counterparty    Settlement
Date
     Net Unrealized
Appreciation/ 
(Depreciation)
 

U.S. Dollar

     1,111,231      Singapore Dollar      1,512,026      Citigroup      10/2/20      $ 3,277  

U.S. Dollar

     62,612,461      European Euro      52,193,796      State Street      10/2/20        1,425,388  

U.S. Dollar

     10,036,033      British Pound      7,571,987      BNY Mellon      10/7/20        267,013  

U.S. Dollar

     2,738,324      Norwegian Krone      24,408,494      Citigroup      10/7/20        119,949  

U.S. Dollar

     40,554,927      British Pound      30,939,637      Citigroup      10/13/20        636,832  

U.S. Dollar

     12,666,103      Swedish Krona      110,091,012      State Street      10/16/20        366,199  

European Euro

     6,615,870      U.S. Dollar      7,730,161      BNY Mellon      10/20/20        28,813  

U.S. Dollar

     64,250,069      European Euro      53,753,261      Citigroup      10/20/20        1,209,203  

U.S. Dollar

     2,321,274      Canadian Dollar      3,062,134      Bank of America      10/21/20        21,169  

U.S. Dollar

     60,262,498      Canadian Dollar      79,432,336      BNY Mellon      10/21/20        597,346  

U.S. Dollar

     2,320,394      Canadian Dollar      3,033,279      BNY Mellon      10/21/20        41,963  

U.S. Dollar

     1,514,407      Canadian Dollar      1,991,576      Citigroup      10/21/20        18,445  

U.S. Dollar

     1,517,020      Canadian Dollar      2,000,457      Citigroup      10/21/20        14,388  

U.S. Dollar

     2,757,314      European Euro      2,311,165      Barclays Bank      10/28/20        46,380  

U.S. Dollar

     1,166,245      European Euro      987,689      Barclays Bank      10/28/20        7,712  

U.S. Dollar

     14,978,358      European Euro      12,673,803      Citigroup      10/28/20        112,331  

U.S. Dollar

     610,167      European Euro      514,534      State Street      10/28/20        6,633  

U.S. Dollar

     2,973,052      European Euro      2,516,372      State Street      10/28/20        21,416  

U.S. Dollar

     2,447,618      European Euro      2,074,926      State Street      10/28/20        13,786  

U.S. Dollar

     2,281,421      European Euro      1,921,355      State Street      10/28/20        27,724  

U.S. Dollar

     27,309,266      Australian Dollar      37,471,242      Bank of America      10/30/20        474,707  
                 

 

 

 
                  $ 5,460,674  
                 

 

 

 

European Euro

     538,847      U.S. Dollar      639,312      Barclays Bank      10/20/20      $ (7,362)  

European Euro

     464,244      U.S. Dollar      549,984      Citigroup      10/20/20        (5,527)  

U.S. Dollar

     2,899,992      Canadian Dollar      3,868,473      BNY Mellon      10/21/20        (5,790)  

U.S. Dollar

     373,426      Canadian Dollar      499,320      BNY Mellon      10/21/20        (1,635)  

Canadian Dollar

     44,655      U.S. Dollar      33,565      Citigroup      10/21/20        (23)  

Canadian Dollar

     2,522,508      U.S. Dollar      1,929,428      Citigroup      10/21/20        (34,660)  

Canadian Dollar

     535,496      U.S. Dollar      408,116      Citigroup      10/21/20        (5,881)  

U.S. Dollar

     202,827      European Euro      174,318      State Street      10/28/20        (1,643)  

U.S. Dollar

     606,107      British Pound      475,665      Barclays Bank      10/30/20        (7,646)  

U.S. Dollar

     682,423      British Pound      530,552      BNY Mellon      10/30/20        (2,152)  

U.S. Dollar

     3,154,957      British Pound      2,451,735      State Street      10/30/20        (8,532)  

U.S. Dollar

     1,104,305      Singapore Dollar      1,512,365      Citigroup      11/10/20        (3,993)  

U.S. Dollar

     60,681,482      European Euro      51,721,626      State Street      12/29/20      $ (86,704)  
                 

 

 

 
                  $ (171,548)  
                 

 

 

 

Total Net Forward Currency Contracts

 

         $ 5,289,126  
        

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks (98.8%):

  

Aerospace & Defense (0.9%):

  
4,047   Airbus SE    $ 293,714  
982   Avon Rubber plc      53,697  
44,779   BAE Systems plc      276,929  
6,187   CAE, Inc.      90,523  
3,081   Chemring Group plc      9,521  
15   Dassault Aviation SA      12,731  
504   Elbit Systems, Ltd.      61,248  
89   Facc AG*      530  
2,535   Heroux-Devtek, Inc.*      17,593  
1,604   Kongsberg Gruppen ASA      24,048  
9,452   Leonardo SpA      55,261  
1,132   LISI      22,491  
20,980   Meggitt plc      69,563  
1,940   MTU Aero Engines AG      322,619  
19,005   QinetiQ Group plc      67,900  
22,913   Rolls-Royce Holdings plc^      38,012  
2,553   Saab AB*      75,095  
2,582   Safran SA*      254,047  
20,156   Senior plc      11,596  
25,500   Singapore Technologies Engineering, Ltd.      65,003  
1,841   Thales SA      137,835  
3,264   Ultra Electronics Holdings plc      87,914  
    

 

 

 

       2,047,870  
    

 

 

 

Air Freight & Logistics (0.6%):

  
31,587   Bollore, Inc.      117,886  
6,117   BPOST SA      53,771  
1,400   Chuo Warehouse Co., Ltd.      16,628  
2,399   Cia de Distribucion Integral Logista Holdings SA      41,039  
6,355   CTT-Correios de Portugal SA      18,762  
10,513   Deutsche Post AG      479,346  
5,994   Freightways, Ltd.      30,778  
73   ID Logistics Group*      15,777  
37,500   Kerry Network, Ltd.      67,969  
2,300   Kintetsu World Express, Inc.      48,755  
1,800   Konoike Transport Co., Ltd.      19,726  
1,541   Mainfreight, Ltd.      47,009  
1,800   Mitsui-Soko Holdings Co., Ltd.      31,370  
1,146   Oesterreichische Post AG^      38,546  
27,139   PostNL NV*      82,543  
35,743   Royal Mail plc      110,065  
900   SBS Holdings, Inc.      18,788  
1,500   SG Holdings Co., Ltd.      77,973  
27,700   Singapore Post, Ltd.      13,130  
5,312   Wincanton plc      13,781  
36   XPO Logistics Europe SADIR*      9,876  
3,700   Yamato Holdings Co., Ltd.      97,408  
1,600   Yasuda Logistics Corp.      14,336  
    

 

 

 

       1,465,262  
    

 

 

 

Airlines (0.3%):

  
2,930   Air Canada*      34,529  
13,467   Air France-KLM*^      46,397  
26,921   Air New Zealand, Ltd.      24,296  
1,200   ANA Holdings, Inc.^      27,807  
57,347   Cathay Pacific Airways, Ltd.*      39,907  
9,717   Deutsche Lufthansa AG, Registered Shares*^      83,745  
4,978   easyJet plc      32,312  
1,728   Exchange Income Corp.      39,417  
13,156   International Consolidated Airlines Group SA^      15,969  
4,400   Japan Airlines Co., Ltd.      82,610  
6,945   JET2 plc      60,328  
30,119   Qantas Airways, Ltd.      87,736  
Shares             Fair Value    

Common Stocks, continued

  

Airlines, continued

  
53,500   Singapore Airlines, Ltd.    $ 136,781  
    

 

 

 

       711,834  
    

 

 

 

Auto Components (2.2%):

  
1,000   Aisan Industry Co., Ltd.      4,456  
2,900   Aisin Sieki Co., Ltd.      92,735  
7,300   Akebono Brake Industry Co., Ltd.*      10,231  
1,027   Akwel      20,433  
2,314   Arb Corp., Ltd.      46,414  
266   Autoneum Holding AG*      32,678  
4,346   Brembo SpA      43,391  
10,600   Bridgestone Corp.      334,866  
1,647   Bulten AB      13,118  
11   Burelle SA      7,129  
3,874   CIE Automotive SA      73,002  
6,123   Compagnie Generale des Establissements Michelin SCA, Class B      655,110  
1,922   Continental AG      208,330  
2,800   Daido Metal Co., Ltd.^      13,588  
2,400   Daikyonishikawa Corp.      12,775  
2,000   Denso Corp.      87,618  
11,875   Dometic Group AB(a)      146,842  
1,800   Eagle Industry Co., Ltd.      13,575  
673   Edag Engineering Group AG*      6,753  
1,724   ElringKlinger AG*      13,408  
1,700   Exedy Corp.      22,122  
3,980   Faurecia SA      171,851  
2,300   FCC Co., Ltd.      42,366  
1,000   F-Tech, Inc.      4,781  
4,000   Futaba Industrial Co., Ltd.      20,339  
1,400   G-Tekt Corp.      15,943  
3,900   Gud Holdings, Ltd.      31,871  
2,186   Hella GmbH & Co. KGaA*      110,194  
1,600   Hi-Lex Corp.      18,202  
700   H-One Co., Ltd.      3,752  
1,200   Imasen Electric Industrial      7,815  
1,800   Kasai Kogyo Co., Ltd.      6,066  
2,500   Keihin Corp.*      61,456  
2,000   Koito Manufacturing Co., Ltd.      101,975  
250,591   Kongsberg Automotive ASA*      3,440  
1,400   KYB Corp.*      28,985  
2,493   Leoni AG*      14,770  
2,733   Linamar Corp.      81,308  
9,928   Magna International, Inc.      454,207  
1,150   Magna Internationl, Inc.      52,628  
6,366   Martinrea International, Inc.      45,567  
2,000   Mitsuba Corp.*      6,978  
3,200   Musashi Seimitsu Industry Co., Ltd.      33,706  
4,800   NGK Spark Plug Co., Ltd.      83,751  
6,600   NHK SPRING Co., Ltd.      42,248  
600   Nichirin Co., Ltd.      7,605  
3,600   Nifco, Inc.      98,192  
3,300   Nippon Seiki Co., Ltd.      36,168  
1,400   Nissin Kogyo Co., Ltd.      29,792  
2,700   NOK Corp.      28,117  
5,985   Nokian Renkaat OYJ      169,311  
800   Ohashi Technica, Inc.      11,120  
2,600   Pacific Industrial Co., Ltd.      23,851  
1,800   Piolax, Inc.      26,723  
13,329   Pirelli & C SpA*(a)      57,083  
2,839   Plastic Omnium SA      74,658  
6,300   Press Kogyo Co., Ltd.      17,894  
3,582   PWR Holdings, Ltd.      12,204  
400   Riken Corp.      10,318  
4,208   SAF-Holland SE*      33,984  
1,600   Sanden Holdings Corp.*      4,632  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Auto Components, continued

  
1,900   Sanoh Industrial Co., Ltd.    $ 10,304  
2,535   Schaeffler AG      15,648  
1,200   Shoei Co., Ltd.      39,925  
4,000   Showa Corp.*      86,982  
1,800   Stanley Electric Co., Ltd.      51,660  
12,500   Sumitomo Electric Industries, Ltd.      140,479  
2,900   Sumitomo Riko Co., Ltd.      15,462  
7,700   Sumitomo Rubber Industries, Ltd.      71,436  
300   T RAD Co., Ltd.      3,746  
1,400   Tachi-S Co., Ltd.      12,942  
800   Taiho Kogyo Co., Ltd.      4,280  
8,119   TI Fluid Systems plc(a)      16,147  
2,500   Tokai Rika Co., Ltd.      37,286  
2,500   Topre Corp.      26,912  
6,800   Toyo Tire Corp.      109,875  
2,500   Toyoda Gosei Co., Ltd.      57,308  
3,500   Toyota Boshoku Corp.      49,575  
700   Toyota Industries Corp.      44,269  
1,500   TPR Co., Ltd.      18,238  
1,400   TS Tech Co., Ltd.      39,593  
2,000   Unipres Corp.      16,330  
2,847   Valeo SA      87,003  
66,000   Xinyi Glass Holdings, Ltd.      133,539  
6,500   Yokohama Rubber Co., Ltd. (The)      92,527  
600   Yorozu Corp.      6,001  
    

 

 

 

       5,131,892  
    

 

 

 

Automobiles (2.3%):

  
7,259   Bayerische Motoren Werke AG (BMW)      527,012  
13,872   Daimler AG, Registered Shares      747,891  
1,019   Ferrari NV      187,588  
28,375   Fiat Chrysler Automobiles NV      347,334  
17,800   Honda Motor Co., Ltd.      420,033  
8,600   Isuzu Motors, Ltd.      75,352  
7,900   Mazda Motor Corp.      46,201  
8,800   Mitsubishi Motors Corp.      19,427  
24,000   Nissan Motor Co., Ltd.*      85,312  
2,700   Nissan Shatai Co., Ltd.      23,625  
14,678   Piaggio & C SpA      39,621  
23,694   PSA Peugeot Citroen SA*      427,158  
3,686   Renault SA*      95,132  
4,600   Subaru Corp.      89,311  
3,300   Suzuki Motor Corp.      141,364  
28   Toyota Motor Corp., ADR      3,708  
28,624   Toyota Motor Corp.      1,893,449  
794   Volkswagen AG*      138,784  
6,200   Yamaha Motor Co., Ltd.      90,165  
    

 

 

 

       5,398,467  
    

 

 

 

Banks (6.5%):

  
3,000   77th Bank      46,408  
3,666   ABN AMRO Group NV*(a)      30,652  
15,084   AIB Group plc      15,471  
500   Aichi Bank, Ltd. (The)      14,436  
1,500   Akita Bank, Ltd. (The)      22,574  
3,329   Aktia Bank OYJ*      36,044  
1,200   Aomori Bank, Ltd. (The)      28,536  
3,300   Aozora Bank, Ltd.      54,848  
12,908   Australia & New Zealand Banking Group, Ltd.      159,772  
2,000   Awa Bank, Ltd. (The)      49,367  
19,504   Banca Monte dei Paschi di Siena SpA*^      31,665  
21,166   Banca Popolare di Sondrio SCPA*      44,233  
56,924   Banco Bilbao Vizcaya Argentaria SA      157,305  
36,557   Banco Bilbao Vizcaya Argentaria SA, ADR      100,166  
Shares             Fair Value    

Common Stocks, continued

  

Banks, continued

  
44,790   Banco Bpm SpA    $ 75,761  
106,975   Banco Comercial Portugues SA, Class R*      10,022  
238,968   Banco de Sabadell SA      82,650  
72,501   Banco Santander SA      135,050  
8,101   Bank Hapoalim BM      43,275  
27,389   Bank Leumi Le-Israel Corp.      120,564  
36,738   Bank of East Asia, Ltd. (The)      67,732  
974   Bank of Georgia Group plc      11,175  
29,096   Bank of Ireland Group plc      53,906  
900   Bank of Iwate, Ltd. (The)      21,685  
1,200   Bank of Kyoto, Ltd. (The)      57,981  
6,527   Bank of Montreal      381,242  
1,600   Bank of Montreal      93,544  
500   Bank of Nagoya, Ltd. (The)      12,151  
9,618   Bank of Nova Scotia      399,243  
820   Bank of Okinawa, Ltd. (The)      24,503  
23,359   Bank of Queensland, Ltd.      96,187  
1,100   Bank of Saga, Ltd. (The)      13,684  
2,000   Bank of The Ryukyus, Ltd.      17,353  
50,112   Bankia SA      72,758  
23,015   Bankinter SA      99,012  
71   Banque Cantonale de Geneve      13,337  
1,420   Banque Cantonale Vaudois, Registered Shares      143,990  
35,666   Barclays plc, ADR      178,687  
21,540   Bendigo & Adelaide Bank, Ltd.      93,513  
303   Berner Kantonalbank AG      75,849  
4,368   BNP Paribas SA      158,216  
38,542   BOC Hong Kong Holdings, Ltd.      102,245  
13,388   BPER Banca^      31,165  
59,686   CaixaBank SA      126,536  
200   Canadian Imperial Bank of Commerce      14,951  
5,889   Canadian Imperial Bank of Commerce^      440,026  
4,227   Canadian Western Bank      85,245  
11,600   Chiba Bank, Ltd. (The)      64,024  
4,300   Chiba Kogyo Bank, Ltd. (The)      10,193  
10,000   Chong Hing Bank, Ltd.      11,623  
6,200   Chugoku Bank, Ltd. (The)      59,467  
700   Chukyo Bank, Ltd. (The)      14,085  
1,097   Comdirect Bank AG      17,798  
31,551   Commerzbank AG      155,052  
11,410   Commonwealth Bank of Australia      521,380  
12,500   Concordia Financial Group, Ltd.      43,579  
20,243   Credit Agricole SA      176,917  
5,165   Credito Emiliano SpA*      24,095  
3,488   Credito Valtellinese SpA*      33,184  
16,000   Dah Sing Banking Group, Ltd.      13,867  
5,600   Dah Sing Financial Holdings, Ltd.      13,496  
1,900   Daishi Hokuetsu Financial Group, Inc.      39,361  
12,668   Danske Bank A/S      171,630  
5,200   DBS Group Holdings, Ltd.      76,503  
7,483   DNB ASA*      103,413  
1,600   Ehime Bank, Ltd. (The)      18,002  
2,450   Erste Group Bank AG*      51,231  
6,500   Fidea Holdings Co., Ltd.      6,800  
13,601   Finecobank Banca Fineco SpA      187,123  
3,600   First Bank of Toyama, Ltd. (The)      10,656  
1,816   First International Bank of Israel      37,677  
1,000   Fukui Bank, Ltd. (The)      16,856  
7,000   Fukuoka Financial Group, Inc.      117,869  
2,200   Fukushima Bank, Ltd. (The)      5,120  
19,400   Gunma Bank, Ltd. (The)      64,710  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Banks, continued

  
9,200   Hachijuni Bank, Ltd. (The)    $ 36,200  
5,105   Hang Seng Bank, Ltd.      75,780  
27,746   Heartland Group Holdings Npv      23,305  
11,800   Hiroshima Bank, Ltd. (The)      67,141  
1,000   Hokkoku Bank, Ltd. (The)      29,389  
6,000   Hokuhoku Financial Group, Inc.      60,449  
32,619   HSBC Holdings plc, ADR^      638,679  
9,400   Hyakugo Bank, Ltd. (The)      29,430  
1,000   Hyakujushi Bank, Ltd. (The)      16,940  
14,738   ING Groep NV*      104,344  
127,279   Intesa Sanpaolo SpA*      238,966  
15,332   Isreal Discount Bank      41,349  
9,500   Iyo Bank, Ltd. (The)      62,953  
620   Jimoto Holdings, Inc.      6,683  
1,200   Juroku Bank, Ltd. (The)      22,864  
2,048   Jyske Bank A/S*      57,701  
4,842   Kansai Mirai Financial Group,Inc.      19,886  
3,511   KBC Group NV      175,785  
5,800   Keiyo Bank, Ltd. (The)      26,829  
400   Kita-Nippon Bank, Ltd. (The)      7,822  
2,500   Kiyo Bank, Ltd. (The)      38,695  
20,990   Kyushu Financial Group, Inc.^      98,565  
1,296   Laurentian Bank of Canada      26,623  
120,273   Liberbank SA*      31,871  
562   Liechtensteinische Landesbank AG      31,799  
362,899   Lloyds Banking Group plc*      123,128  
96,996   Lloyds TSB Group plc, ADR      126,095  
162   Luzerner Kantonalbank AG      68,618  
24,670   Mebuki Financial Group, Inc.      55,981  
9,651   Mediobanca SpA      75,672  
700   Michinoku Bank, Ltd. (The)      8,984  
62,500   Mitsubishi UFJ Financial Group, Inc.      248,062  
800   Miyazaki Bank, Ltd. (The)      18,279  
3,605   Mizrahi Tefahot Bank, Ltd.      63,916  
12,880   Mizuho Financial Group, Inc.      160,914  
1,300   Musashino Bank, Ltd. (The)      19,375  
800   Nagano Bank, Ltd. (The)      11,091  
1,300   Nanto Bank, Ltd. (The)      24,064  
24,605   National Australia Bank, Ltd.      313,878  
9,441   National Bank of Canada      469,001  
19,782   Natwest Group plc, ADR*      53,214  
50,252   Natwest Group plc      68,602  
7,200   Nishi-Nippon Holdings, Inc.      50,350  
28,930   Nordea Bank AB*      220,463  
17,400   North Pacific Bank, Ltd.      37,936  
7,556   Norwegian Finans Holding ASA*      54,799  
1,800   Ogaki Kyoritsu Bank, Ltd. (The)      40,762  
1,000   Oita Bank, Ltd. (The)      23,241  
16,486   Oversea-Chinese Banking Corp., Ltd.      102,449  
28,000   Public Financial Holdings, Ltd.      6,454  
7,184   Raiffeisen International Bank-Holding AG*      109,809  
26,700   Resona Holdings, Inc.      91,008  
1,393   Ringkjoebing Landbobank A/S      105,654  
12,263   Royal Bank of Canada      860,128  
10,941   Royal Bank of Canada      768,270  
1,190   San Ju San Financial Group, Inc.      15,599  
6,200   San-In Godo Bank, Ltd. (The)      33,347  
4,451   Sbanken ASA*(a)      32,295  
11,600   Senshu Ikeda Holdings, Inc.      19,397  
24,500   Seven Bank, Ltd.^      59,412  
1,300   Shiga Bank, Ltd. (The)^      30,494  
1,000   Shikoku Bank, Ltd. (The)      7,081  
400   Shimizu Bank, Ltd. (The)      7,196  
5,900   Shinsei Bank, Ltd.      73,114  
3,800   Shizuoka Bank, Ltd. (The)      26,286  
Shares             Fair Value    

Common Stocks, continued

  

Banks, continued

  
7,610   Skandinaviska Enskilda Banken AB, Class A*    $ 67,391  
14,223   Societe Generale      188,184  
4,543   Spar Nord Bank A/S*      33,926  
8,634   Sparebank 1 Sr-Bank ASA*      71,585  
121   St. Galler Kantonalbank AG      51,948  
49,637   Standard Chartered plc      227,522  
7,000   Sumitomo Mitsui Financial Group, Inc.      194,811  
1,900   Sumitomo Mitsui Trust Holdings, Inc.      50,565  
1,500   Suruga Bank, Ltd.      5,423  
14,413   Svenska Handelsbanken AB, Class A*      121,100  
3,421   Swedbank AB, Class A*      53,526  
3,208   Sydbank A/S*      50,292  
1,200   Taiko Bank, Ltd. (The)      18,042  
8,700   Tochigi Bank, Ltd. (The)      15,054  
6,500   Toho Bank, Ltd. (The)      14,289  
1,100   Tokyo Kiraboshi Financial Group, Inc.      11,842  
7,500   Tomony Holdings, Inc.      24,262  
2,200   Toronto-Dominion Bank (The)      101,870  
7,456   Toronto-Dominion Bank (The)      344,765  
2,100   Towa Bank, Ltd. (The)      14,418  
6,200   Tsukuba Bank, Ltd.      11,841  
60,591   Unicaja Banco SA*(a)      45,390  
35,794   Unicredit SpA      295,145  
8,727   United Overseas Bank, Ltd.      122,543  
682   Valiant Holding AG      57,441  
764   Van Lanschot Kempen NV      14,075  
34,734   Virgin Money UK plc*      32,468  
582   Walliser Kantonalbank, Registered Shares      67,965  
30,920   Westpac Banking Corp.      373,005  
1,600   Yamagata Bank, Ltd. (The)      20,727  
7,200   Yamaguchi Financial Group, Inc.      46,959  
1,800   Yamanashi Chuo Bank, Ltd. (The)      14,116  
6   Zuger Kantonalbank AG      41,063  
    

 

 

 

       15,668,445  
    

 

 

 

Beverages (1.3%):

  
1,900   Andrew Peller, Ltd.      14,413  
8,852   Anheuser-Busch InBev NV      477,752  
4,300   Asahi Breweries, Ltd.      149,789  
10,973   Britvic plc      116,195  
11,716   C&C Group plc      29,581  
1,053   Carlsberg A/S, Class B      141,816  
11,116   Coca-Cola Amatil, Ltd.      75,779  
2,200   Coca-Cola Bottlers Japan Holdings, Inc.      36,830  
6,758   Coca-Cola European Partners plc      265,746  
3,906   Coca-Cola HBC AG      96,535  
5,510   David Campari-Milano NV      60,216  
4,082   Diageo plc, ADR      561,927  
4,304   Fevertree Drinks plc      128,420  
1,838   Heineken NV      163,316  
900   ITO EN, Ltd.      64,219  
4,900   Kirin Holdings Co., Ltd.      92,045  
109   Laurent-Perrier*      9,076  
653   Olvi OYJ      33,144  
412   Pernod Ricard SA      65,743  
5,750   Primo Water Corp.      81,668  
305   Remy Cointreau SA      55,666  
1,549   Royal Unibrew A/S      159,659  
4,000   Sapporo Breweries, Ltd.      71,952  
3,457   Stock Spirits Group plc      9,608  
1,000   Suntory Beverage & Food, Ltd.      37,591  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Beverages, continued

  
2,800   Takara Holdings, Inc.    $ 31,095  
6,474   Treasury Wine Estates, Ltd.      41,531  
    

 

 

 

       3,071,312  
    

 

 

 

Biotechnology (0.5%):

  
195   Argenx SE*      51,359  
788   Bavarian Nordic A/S*      24,570  
906   Biogaia AB      58,761  
486   Biotest AG      14,242  
3,023   CSL, Ltd.      622,736  
225   Galapagos NV*      31,954  
442   Genmab A/S*      160,529  
634   Genus plc      31,459  
5,747   Knight Therapeutics, Inc.*      25,036  
29,311   Mesoblast, Ltd.*      108,197  
300   Peptidream, Inc.*      14,098  
475   Pharma Mar SA      60,016  
1,008   Swedish Orphan Biovitrum AB*      24,382  
1,155   Zealand Pharma A/S*      43,896  
    

 

 

 

       1,271,235  
    

 

 

 

Building Products (1.3%):

  
4,300   AGC, Inc.      125,951  
1,100   AICA Kogyo Co., Ltd.^      39,076  
2,028   Arbonia AG      26,052  
1,049   ASSA Abloy AB, Class B      24,495  
12   Belimo Holding AG, Registered Shares      90,653  
2,400   Bunka Shutter Co., Ltd.      19,034  
1,800   Central Glass Co., Ltd.      37,318  
11,276   Compagnie de Saint-Gobain SA      473,374  
2,400   Daikin Industries, Ltd.      442,600  
114   dorma kaba Holding AG      61,849  
567   Geberit AG, Registered Shares      336,056  
12,489   Gwa Group, Ltd.      24,901  
3,298   Inrom Construction Industries, Ltd.      13,305  
2,938   Inwido AB      29,830  
3,374   Kingspan Group plc*      306,838  
4,017   Lindab International AB      70,044  
3,900   Lixil Group Corp.      78,426  
600   Maeda Kosen Co., Ltd.      15,577  
1,796   Nibe Industrier AB, Class B*      46,309  
4,000   Nichias Corp.      94,614  
1,500   Nichiha Corp.      44,966  
1,600   Nippon Hume Corp.      12,166  
4,100   Nippon Sheet Glass Co., Ltd.*      14,896  
2,401   Nordic Waterproofing Holding AS*(a)      32,877  
1,500   Noritz Corp.      21,678  
1,400   Okabe Co., Ltd.      10,826  
5,784   Polypipe Group plc*      32,096  
353   Rockwool International A/S      135,340  
144   Rockwool International A/S      49,477  
1,900   Sankyo Tateyama, Inc.      17,784  
7,800   Sanwa Holdings Corp.      82,757  
47   Schweiter Technologies AG      65,495  
900   Shin Nippon Air Technologies Co., Ltd.      19,636  
1,800   Sinko Industries, Ltd.      25,100  
1,211   Systemair AB*      31,898  
1,800   Takara Standard Co., Ltd.      24,206  
2,310   Tarkett SA*      31,118  
7,093   Tyman plc*      20,314  
3,400   Uponor OYJ      59,575  
638   Zehnder Group AG      30,901  
    

 

 

 

       3,119,408  
    

 

 

 

Capital Markets (2.8%):

  
13,849   3i Group plc      177,740  
Shares             Fair Value    

Common Stocks, continued

  

Capital Markets, continued

  
24,792   ABG Sundal Collier Holding ASA    $ 14,137  
3,200   AGF Management, Ltd.      14,253  
1,600   Aizawa Securities Co., Ltd.      10,514  
2,242   AJ Bell plc      12,997  
949   Alantra Partners SA      11,507  
2,800   Alaris Equity Partners Income      23,007  
1,655   Altamir      34,331  
817   Amundi SA(a)      57,591  
7,128   Anima Holding SpA(a)      27,883  
9,209   Ashmore Group plc      42,318  
670   ASX, Ltd.      39,236  
4,255   Avanza Bank Holding AB      83,489  
5,188   Azimut Holding SpA      93,674  
2,819   Banca Generali SpA*      85,640  
521   Bellevue Group AG      13,240  
8,900   Brewin Dolphin Holdings plc      26,765  
1,500   Brookfield Asset Management, Inc., Class A      49,639  
1,678   Brookfield Asset Management, Inc., Class A      55,475  
2,865   Bure Equity AB      90,059  
4,759   Burford Capital, Ltd.      38,248  
2,497   Canaccord Genuity Group, Inc.      12,734  
7,682   CI Financial Corp.      97,454  
117   Cie Financiere Tradition SA      14,421  
5,230   Close Brothers Group plc      68,623  
20,849   Credit Suisse Group AG      208,729  
18,300   Daiwa Securities Group, Inc.      76,820  
4,462   Dea Capital SpA      6,076  
12,602   Deutsche Bank AG, Registered Shares*      106,238  
10,467   Deutsche Bank AG, Registered Shares*      87,923  
1,138   Deutsche Beteiligungs AG      41,341  
1,924   Deutsche Boerse AG      337,850  
1,252   Eastnine AB      15,632  
5,622   EFG International AG      31,320  
258,000   Emperor Capital Group, Ltd.*      4,487  
2,588   Euronext NV(a)      323,456  
2,000   Fiera Capital Corp.      15,337  
2,372   Flow Traders(a)      94,821  
10,649   GAM Holding AG*      20,560  
2,674   Georgia Capital plc*      12,610  
795   Gimv NV      44,560  
2,400   GMO Financial Holdings, Inc.      14,436  
1,675   Guardian Capital Group, Ltd., Class A      31,313  
142,000   Guotai Junan International Hol      18,994  
135,243   Haitong International Securities      32,695  
5,422   Hargreaves Lansdown plc      108,667  
8,194   Hong Kong Exchanges & Clearing, Ltd.      385,166  
4,000   Ichiyoshi Securities Co., Ltd.      17,882  
11,954   IG Group Holdings plc      121,885  
1,732   IGM Financial, Inc.      39,716  
218   Ina Invest Holding AG*      4,408  
5,941   Intermediate Capital Group plc      91,257  
22,533   Investec plc      41,428  
28,134   IOOF Holdings, Ltd.      62,305  
60,525   IP Group plc*      60,769  
1,700   IwaiCosmo Holdings, Inc.      20,774  
1,400   JAFCO Group Co., Ltd.      58,982  
4,800   Japan Exchange Group, Inc.      134,344  
4,092   Julius Baer Group, Ltd.      174,494  
17,082   Jupiter Fund Management plc      49,435  
138,000   Kingston Financial Group, Ltd.      12,559  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Capital Markets, continued

  
800   Kyokuto Securities Co., Ltd.    $ 4,628  
1,218   London Stock Exchange Group plc      139,314  
2,447   Macquarie Group, Ltd.      210,148  
2,131   Magellan Financial Group, Ltd.      86,835  
50,276   Man Group plc/Jersey      74,687  
2,300   Marusan Securities Co., Ltd.      9,849  
1,180,000   Mason Group Holdings, Ltd.*      4,604  
2,900   Mito Securities Co., Ltd.      5,857  
3,035   MLP SE      20,452  
7,700   Monex Group, Inc.      19,439  
33,189   Natixis      74,583  
4,265   Navigator Global Investments, Ltd.      4,667  
5,522   Netwealth Group, Ltd.      60,684  
11,266   Ninety One plc*      29,619  
19,100   Nomura Holdings, Inc.      87,142  
29,223   NZX, Ltd.      31,309  
9,500   Okasan Securities Group, Inc.      31,306  
2,586   Pacific Current Group, Ltd.      10,868  
253   Partners Group Holding AG      232,868  
8,321   Pendal Group, Ltd.      32,658  
1,616   Perpetual, Ltd.      32,496  
11,593   Platinum Asset Management, Ltd.      25,586  
2,595   Polar Capital Holdings plc      15,674  
3,710   Premier Miton Group plc      4,403  
72,391   Quilter plc(a)      119,573  
565   Rathbone Brothers plc      11,185  
9,785   Ratos AB, Class B*      36,463  
1,549   Rothschild & Co.*      43,538  
2,800   SBI Holdings, Inc.      72,462  
1,368   Schroders plc      32,658  
1,783   Schroders plc      62,128  
11,400   Singapore Exchange, Ltd.      76,735  
430   Sprott, Inc.      14,679  
17,766   St. James Place plc      212,242  
700   Strike Co., Ltd.      41,052  
900   Swissquote Group Holding SA      73,116  
2,584   Tamburi Investment Partners SP      17,113  
331   TMX Group, Ltd.      34,045  
8,500   Tokai Tokyo Financial Holdings, Inc.      22,057  
4,000   Toyo Securities Co., Ltd.      4,385  
22,042   TP ICAP plc      64,852  
15,471   UBS Group AG      172,760  
18,081   Uob-Kay Hian Holdings, Ltd.      16,447  
1,325   Vontobel Holding AG      87,042  
245   Vp Bank AG, Registered Shares      30,043  
550   VZ Holding AG      49,071  
    

 

 

 

       6,647,566  
    

 

 

 

Chemicals (4.0%):

  
900   Achilles Corp.      15,036  
3,300   Adeka Corp.      47,504  
3,982   Air Liquide SA      631,799  
7,800   Air Water, Inc.      105,532  
2,028   Akzo Nobel NV      205,360  
700   Arakawa Chemical Industries, Ltd.      8,431  
3,549   Arkema SA      376,463  
28,500   Asahi Kasei Corp.      248,822  
1,100   ASAHI YUKIZAI Corp.      14,230  
3,175   BASF SE      193,315  
3,760   Borregaard ASA      57,594  
52,400   China Sunsine Chemical Holdings, Ltd.      13,118  
1,540   Christian Hansen Holding A/S      171,191  
1,600   CI Takiron Corp.      10,620  
10,241   Clariant AG      201,399  
2,528   Corbion NV      116,237  
4,483   Covestro AG(a)      222,561  
Shares             Fair Value    

Common Stocks, continued

  

Chemicals, continued

  
2,733   Croda International plc    $ 220,611  
1,000   Dai Nippon Toryo Co., Ltd.      9,462  
7,200   Daicel Corp.      51,897  
2,600   Daiichi Kigenso Kagaku-Kogyo Co., Ltd.      18,005  
900   Dainichiseika Color & Chemical      19,285  
4,300   Dainippon Ink & Chemicals, Inc.      107,444  
4,000   Denka Co., Ltd.      121,759  
18,377   Elementis plc*      18,000  
108   EMS-Chemie Holding AG      96,931  
8,516   Ercros SA      18,717  
9,485   Essentra plc*      31,127  
60,321   Evolva Holding SA*      15,392  
1,699   Evonik Industries AG      44,011  
1,728   Fuchs Petrolub AG      87,867  
1,106   FUCHS Petrolub SE      41,486  
300   Fujimori Kogyo Co., Ltd.      12,383  
1,400   Fuso Chemical Co., Ltd.      49,656  
37   Givaudan SA, Registered Shares      159,514  
29   Gurit Holding AG      61,625  
835   H&R GMBH & Co. KGAA*      4,952  
1,900   Harima Chemicals Group, Inc.      19,986  
4,570   Hexpol AB      40,917  
700   Hodogaya Chemical Co., Ltd.      32,067  
25,088   ICL Group, Ltd.      88,616  
27,517   Incitec Pivot, Ltd.      40,152  
1,500   Ishihara Sangyo Kaisha, Ltd.      10,308  
1,000   JCU Corp.      33,092  
6,711   Johnson Matthey plc      202,904  
700   Jsp Corp.      10,747  
2,000   JSR Corp.      47,444  
5,063   K+S AG, Registered Shares      34,881  
2,000   Kaneka Corp.^      56,164  
1,100   Kansai Paint Co., Ltd.      27,326  
5,000   Kanto Denka Kogyo Co., Ltd.      34,404  
4,999   Kemira OYJ      63,667  
1,400   Kh Neochem Co., Ltd.      32,878  
1,500   Koatsu Gas Kogyo Co., Ltd.      11,982  
2,070   Koninklijke DSM NV      341,086  
1,000   Konishi Co., Ltd.      14,701  
11,800   Kuraray Co., Ltd.      114,616  
800   Kureha Corp.      34,690  
3,934   Lanxess AG      225,752  
671   Lenzing AG      36,929  
1,300   Lintec Corp.      30,265  
2,350   Methanex Corp.      57,340  
12,300   Mitsubishi Chemical Holdings Corp.      71,026  
4,800   Mitsubishi Gas Chemical Co., Inc.      89,065  
3,400   Mitsui Chemicals, Inc.      82,260  
800   Nihon Kagaku Sangyo Co., Ltd.      7,783  
2,300   Nihon Nohyaku Co., Ltd.      11,205  
2,600   Nihon Parkerizing Co., Ltd.      25,484  
600   Nippon Chemical Industrial Co., Ltd.      13,199  
5,500   Nippon Kayaku Co., Ltd.      48,615  
1,400   Nippon Pillar Packing Co., Ltd.      21,248  
3,000   Nippon Sanso Holdings Corp.      46,380  
700   Nippon Shokubai Co., Ltd.      37,363  
800   Nippon Soda Co., Ltd.      22,889  
2,400   Nissan Chemical Corp.      128,042  
1,500   Nitto Denko Corp.      97,806  
700   NOF Corp.      27,635  
1,831   Novozymes A/S, Class B      115,192  
14,367   Nufarm, Ltd.*      39,972  
4,481   Nutrien, Ltd.      175,789  
2,200   Nutrien, Ltd.      86,272  
1,600   OCI NV*      20,539  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Chemicals, continued

  
500   Okamoto Industries, Inc.    $ 19,544  
600   Okura Industrial Co., Ltd.      9,101  
3,258   Orica, Ltd.      36,093  
1,000   Osaka Organic Chemical Industry, Ltd.      26,522  
964   Plastivaloire*      4,178  
2,613   Recticel SA      26,615  
2,800   Riken Technos Corp.      11,252  
500   Sakai Chemical Industry Co., Ltd.      9,779  
2,400   Sakata Inx Corp.      24,120  
700   Sanyo Chemical Industries, Ltd.      32,606  
900   Sekisui Plastics Co., Ltd.      5,196  
1,100   Shikoku Chemicals Corp.      12,200  
2,200   Shin-Etsu Chemical Co., Ltd.      287,188  
1,800   Shin-Etsu Polymer Co., Ltd.      15,340  
6,900   Showa Denko K.K.      126,490  
1,873   Sika AG      460,265  
1,754   SOL SpA      24,362  
778   Solvay SA      66,895  
400   Stella Chemifa Corp.      11,335  
1,500   Sumitomo Bakelite Co., Ltd.      41,284  
19,100   Sumitomo Chemical Co., Ltd.      63,252  
300   Sumitomo Seika Chemicals Co. Ltd.      9,750  
2,031   Symrise AG      280,937  
18,622   Synthomer plc      75,940  
700   T Hasegawa Co., Ltd.      14,059  
1,200   T&K Toka Co., Ltd.      10,100  
300   Taiyo Holdings Co., Ltd.      15,694  
600   Takasago International Corp.      12,420  
600   Tayca Corp.      8,244  
9,600   Teijin, Ltd.      148,866  
500   Tenma Corp.      8,438  
1,223   Tessenderlo Group SA*      45,935  
2,007   Tikkurila OYJ      35,129  
4,900   Toagosei Co., Ltd.      52,671  
8,100   Tokai Carbon Co., Ltd.      86,547  
4,100   Tokuyama Corp.      98,781  
600   Tokyo Ohka Kogyo Co., Ltd.      31,032  
29,500   Toray Industries, Inc.      134,918  
5,100   Tosoh Corp.      82,933  
1,200   Toyo Ink SC Holdings Co., Ltd.      22,967  
5,000   Toyobo Co., Ltd.      68,895  
7,200   Ube Industries, Ltd.      121,551  
3,116   Umicore SA      129,729  
1,909   Victrex plc      44,999  
329   Wacker Chemie AG      31,956  
997   Yara International ASA      38,410  
2,900   Zeon Corp.      30,525  
    

 

 

 

       9,595,057  
    

 

 

 

Commercial Services & Supplies (1.5%):

  
800   AEON Delight Co., Ltd.      22,154  
17,026   Aggreko plc      80,710  
4,044   Aker Carbon Capture AS*      2,581  
29,916   Babcock International Group plc      96,143  
748   Befesa SA(a)      29,915  
1,800   Bell System24 Holdings, Inc.      30,354  
13,069   Biffa plc(a)      36,601  
896   Bilfinger SE      16,370  
13,431   Bingo Industries, Ltd.      23,358  
1,670   Black Diamond Group, Ltd.*      1,869  
14,490   Brambles, Ltd.      109,059  
5,960   Bravida Holding AB*(a)      72,431  
800   Calian Group, Ltd.      40,409  
2,850   Caverion Corp.*      20,292  
300   Central Security Patrols Co., Ltd.      10,148  
338   Cewe Stiftung & Co. KGAA*      37,086  
Shares             Fair Value    

Common Stocks, continued

  

Commercial Services & Supplies, continued

  
46,000   Cleanaway Waste Management, Ltd.    $ 69,639  
10,948   Collection House, Ltd.      3,190  
1,829  

Coor Service Management Holding AB(a)

     12,454  
2,400   CTS Co., Ltd.      21,850  
4,400   Dai Nippon Printing Co., Ltd.      89,136  
1,000   Daiseki Co., Ltd.      24,933  
6,041   De La Rue plc*      10,126  
3,731   Derichebourg SA      11,060  
35,378   Downer EDI, Ltd.      111,941  
1,100   Duskin Co., Ltd.      30,013  
2,064   Edenred      92,591  
1,700   EF-ON, Inc.      10,424  
9,528   Elis SA      120,104  
79,627   G4S plc*      205,481  
435   GL Events      4,218  
16,464   HomeServe plc      261,477  
2,180   Horizon North Logistics, Inc.      8,351  
900   Inaba Seisakusho Co., Ltd.      11,689  
2,297   Intrum AB      56,244  
5,989   ISS A/S      78,970  
1,800   Itoki Corp.      6,193  
42,602   IWG plc*      142,003  
400   Japan Elevator Service Holdings Co., Ltd.      13,949  
3,300   Kokuyo Co., Ltd.      41,436  
400   Kyodo Printing Co., Ltd.      10,021  
2,302   Lassila & Tikanoja OYJ      34,962  
4,748   Loomis AB      129,786  
700   Matsuda Sangyo Co., Ltd.      10,306  
5,449   Mears Group plc      7,715  
72,758   Mitie Group plc      30,713  
2,100   Mitsubishi Pencil Co., Ltd.      27,340  
1,400   NAC Co., Ltd.      13,689  
15,900   Nippon Parking Development Co., Ltd.      19,784  
1,600   Okamura Corp.      11,292  
1,100   Oyo Corp.      13,053  
2,700   Park24 Co., Ltd.      43,592  
2,696   PayPoint plc      17,503  
1,400   Pilot Corp.      41,115  
2,400   Prestige International, Inc.      21,645  
13,654   Prosegur Cia de Seguridad SA      32,604  
2,400   Relia, Inc.      30,338  
11,583   Renewi plc      2,904  
23,855   Rentokil Initial plc*      164,145  
2,500   Ritchie Bros Auctioneers, Inc.      148,283  
3,299   RPS Group plc*      1,912  
900   Sato Holdings Corp.      19,158  
400   SECOM Co., Ltd.      36,555  
6,430   Securitas AB, Class B*      98,447  
3,267   Smartgroup Corp., Ltd.      13,410  
787   Societe BIC SA      41,202  
400   Sohgo Security Services Co., Ltd.      19,063  
5,537   Spie SA*      99,098  
1,300   Takeei Corp.      12,399  
2,256   Tomra Systems ASA*      97,098  
2,600   Toppan Forms Co., Ltd.      24,751  
3,280   Toppan Printing Co., Ltd.      46,205  
4,470   Transcontinental, Inc.      55,195  
980   Waste Connections, Inc.      101,724  
290   Waste Connections, Inc.      30,146  
    

 

 

 

       3,574,105  
    

 

 

 

Communications Equipment (0.2%):

  
2,792   Adva Optical Networking Se*      19,832  
700   Aiphone Co., Ltd.      10,104  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Communications Equipment, continued

  
1,400   Audiocodes, Ltd.    $ 44,044  
700   DKK Co., Ltd.      17,399  
500   Icom, Inc.      13,066  
18,706   Nokia OYJ*      73,311  
10,200   Quarterhill, Inc.      13,790  
418   RTX A/S      14,213  
2,600   Sierra Wireless, Inc.*      29,019  
26,263   Spirent Communications plc      96,363  
2,701   Telefonaktiebolaget LM Ericsson, Class B^      29,544  
9,300   VTech Holdings, Ltd.      57,995  
    

 

 

 

       418,680  
    

 

 

 

Construction & Engineering (2.3%):

  
4,558   ACS Actividades de Construccion y Servicios SA      103,258  
3,143   Adapteo OYJ      28,363  
3,353   Aecon Group, Inc.      34,452  
1,894   AF Gruppen ASA      34,795  
4,044   Aker Offshore Wind Holding AS*      2,194  
4,247   Arcadis NV      91,980  
300   Asanuma Corp.      11,712  
2,110   Badger Daylighting, Ltd.      60,349  
20,372   Balfour Beatty plc      58,521  
375   Bauer AG*      4,040  
3,929   Boskalis Westminster      78,123  
16,800   Boustead Singapore, Ltd.      8,519  
7,647   Bouygues SA      265,079  
209   Burkhalter Holding AG      14,338  
14,759   Cardno, Ltd.*      3,071  
1,700   Chudenko Corp.      37,086  
589   CIE d’Entreprises CFE SA      38,915  
2,026   Cimic Group, Ltd.*      26,987  
1,721   ComSys Holdings Corp.      47,915  
6,098   Costain Group plc*      3,213  
500   Dai-Dan Co., Ltd.      13,175  
1,200   Daiho Corp.      34,213  
800   Daiichi Kensetsu Corp.      13,479  
4,223   Eiffage SA      344,147  
2,783   Elecnor SA      28,489  
44   Electra, Ltd./Israel      19,775  
7,737   Eltel AB*(a)      18,319  
37,002   Empresas ICA SAB de C.V.*      156  
2,066   Ferrovial SA      50,114  
1,664   FLSmidth & Co. A/S      47,368  
1,925   Fomento de Construcciones y Contratas SA      18,343  
440   Fudo Tetra Corp.      6,373  
200   Fukuda Corp.      9,719  
4,363   Galliford Try Holdings plc      4,314  
6,000   Hazama Ando Corp.      41,461  
1,713   Heijmans NV      14,542  
600   Hibiya Engineering, Ltd.      10,227  
373   Hochtief AG      29,033  
1,093   Implenia AG      33,323  
14,759   Intega Group, Ltd.*      2,802  
7,400   JGC Holdings Corp.      76,873  
15,905   John Laing Group plc(a)      64,241  
8,879   Johns Lyng Group, Ltd.      17,711  
8,000   Kajima Corp.      95,832  
3,000   Kandenko Co., Ltd.      24,519  
400   Kawada Technologies, Inc.      18,418  
3,807   Keller Group plc      29,871  
26,029   Kier Group plc*      16,386  
5,100   Kinden Corp.      89,903  
15,900   Koninklijke BAM Groep NV      20,123  
1,600   Kumagai Gumi Co., Ltd.      41,169  
Shares             Fair Value    

Common Stocks, continued

  

Construction & Engineering, continued

  
2,500   Kyowa Exeo Corp.    $ 65,249  
2,200   Kyudenko Corp.      63,510  
7,400   Lian Beng Group, Ltd.      2,034  
5,300   Maeda Corp.      38,690  
1,200   Maeda Road Construction Co., Ltd.      21,933  
9,546   Maire Tecnimont SpA      16,606  
1,700   Meisei Industrial Co., Ltd.      13,813  
3,300   Mirait Holdings Corp.      50,369  
2,500   Monadelphous Group, Ltd.      18,219  
1,922   Morgan Sindall Group plc      28,342  
1,375   NCC AB, Class B      25,120  
1,000   Nichireki Co., Ltd.      16,131  
1,900   Nippo Corp.      52,450  
1,600   Nippon Densetsu Kogyo Co., Ltd.      33,560  
700   Nippon Koei Co., Ltd.      18,973  
200   Nippon Road Co., Ltd. (The)      14,656  
2,800   Nishimatsu Construction Co., Ltd.      55,625  
30,510   NRW Holdings, Ltd.      44,542  
23,900   Obayashi Corp.      216,638  
4,863   Obrascon Huarte Lain SA*      3,238  
1,100   Okumura Corp.      27,555  
8,600   OSJB Holdings Corp.      20,022  
10,581   Peab AB*      106,447  
14,700   Penta-Ocean Construction Co., Ltd.      96,556  
726   Per Aarsleff Holding A/S      30,569  
21,562   Sacyr SA      38,193  
1,900   Sanki Engineering Co., Ltd.      20,772  
1,700   Seikitokyu Kogyo Co., Ltd.      12,941  
26,757   Service Stream, Ltd.      39,395  
3,211   Shapir Engineering And Indus*      21,510  
11,913   Shikun & Binui, Ltd.*      53,169  
15,800   Shimizu Corp.      118,504  
1,500   Shinnihon Corp.      13,081  
8,714   Skanska AB, Class B*      183,683  
5,800   SNC-Lavalin Group, Inc.      93,007  
881   Strabag Se*      27,100  
6,980   Sumitomo Mitsui Construction      28,323  
2,141   Sweco AB-B Shs      118,967  
700   Taihei Dengyo Kaisha, Ltd.      15,692  
800   Taikisha, Ltd.      22,090  
5,400   Taisei Corp.      181,982  
1,400   Takamatsu Construction Group C      30,614  
400   Tekken Corp.      7,997  
900   TOA Corp.      14,432  
400   TOA Road Corp.      13,805  
1,630   Tobishima Corp.      16,895  
8,900   Toda Corp.      61,009  
400   Toenec Corp.      13,599  
1,000   Tokyo Energy & Systems, Inc.      7,093  
5,100   Tokyu Construction Co., Ltd.      22,233  
1,100   Totetsu Kogyo Co., Ltd.      29,607  
4,300   Toyo Construction Co., Ltd.      16,749  
2,100   Toyo Engineering Corp.*      6,786  
3,109   Veidekke ASA*      40,112  
8,943   Vinci SA      745,853  
1,400   Wakachiku Construction Co., Ltd.      16,008  
1,700   Yahagi Construction Co., Ltd.      15,027  
7,664   YIT OYJ      46,269  
1,200   Yokogawa Bridge Holdings Corp.      22,219  
1,200   Yurtec Corp.      7,363  
    

 

 

 

       5,390,254  
    

 

 

 

Construction Materials (0.9%):

  
13,883   Adbri, Ltd.      28,414  
1,800   Asia Pile Holdings Corp.      8,395  
35,662   Boral, Ltd.      116,849  
4,759   Brickworks, Ltd.      66,326  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Construction Materials, continued

  
1,147   Buzzi Unicem SpA    $ 15,070  
1,663   Buzzi Unicem SpA      38,677  
16,084   CRH plc, ADR      580,471  
22,791   CSR, Ltd.      69,869  
14,576   Fletcher Building, Ltd.      37,118  
1,160   H+H International A/S, Class B*      23,044  
2,326   HeidelbergCement AG      142,663  
13,005   Ibstock plc*(a)      26,134  
1,243   Imerys SA      46,211  
5,016   James Hardie Industries SE      119,450  
400   Krosaki Harima Corp.      11,386  
8,941   LafargeHolcim, Ltd., Registered Shares      407,673  
12,098   Marshalls plc      101,751  
2,500   Nippon Concrete Industries Co., Ltd.      8,120  
500   Shinagawa Refractories Co., Ltd.      11,694  
123   STO SE & Co KGaA      16,348  
1,500   Sumitomo Osaka Cement Co., Ltd.      48,498  
7,200   Taiheiyo Cement Corp.      183,782  
1,300   TYK Corp.      4,222  
998   Vicat      33,380  
    

 

 

 

       2,145,545  
    

 

 

 

Consumer Finance (0.3%):

  
3,700   AEON Financial Service Co., Ltd.      33,644  
15,300   Aiful Corp.*      39,550  
96,000   Allied Properties HK, Ltd.      23,660  
9,830   Arrow Global Group plc*      16,108  
6,358   Axactor SE*      5,048  
1,148   Cembra Money Bank AG      136,380  
2,404   Credit Corp. Group, Ltd.      29,331  
6,600   Credit Saison Co., Ltd.      70,057  
18,226   Eclipx Group, Ltd.*      20,359  
23,958   Flexigroup, Ltd.      18,642  
1,185   Gruppo MutuiOnline SpA      32,907  
2,616   H&T Group plc      8,918  
3,200   Hitachi Capital Corp.      75,221  
5,740   Hoist Finance AB*(a)      20,206  
17,800   Hong Leong Finance, Ltd.      29,829  
14,415   International Personal Finance*      8,617  
577   Isracard, Ltd.      1,432  
4,300   J Trust Co., Ltd.      9,929  
1,800   Jaccs Co., Ltd.      29,172  
8,490   Money3 Corp., Ltd.      12,877  
15,200   Orient Corp.      16,375  
213,600   Oshidori International Holdings, Ltd.*      24,003  
4,742   Provident Financial plc*      11,846  
4,452   Resurs Holding AB(a)      23,007  
38,000   Sun Hung Kai & Co., Ltd.      14,842  
    

 

 

 

       711,960  
    

 

 

 

Containers & Packaging (0.7%):

  
8,372   BillerudKorsnas AB      140,482  
4,231   Cascades, Inc.      53,515  
1,780   CCL Industries, Inc.      68,639  
41,250   DS Smith plc      156,624  
1,600   FP Corp.      67,380  
1,900   Fuji Seal International, Inc.      36,634  
1,000   Hokkan Holdings, Ltd.      13,716  
4,430   Huhtamaki OYJ      218,953  
3,327   Intertape Polymer Group, Inc.      37,058  
276   Mayr Melnhof Karton AG      47,914  
47,217   Orora, Ltd.      81,278  
6,607   Pact Group Holdings, Ltd.      10,811  
8,600   Rengo Co., Ltd.      64,940  
8,406   SIG Combibloc Group AG      168,787  
8,090   Smurfit Kappa Group plc      317,407  
500   Taisei Lamick Co., Ltd.      13,357  
Shares             Fair Value    

Common Stocks, continued

  

Containers & Packaging, continued

  
600   Tomoku Co., Ltd.    $ 9,553  
5,400   Toyo Seikan Group Holdings, Ltd.      53,753  
750   Vetropack Holding AG      46,100  
887   Vidrala SA      96,602  
300   Winpak, Ltd.      10,241  
    

 

 

 

       1,713,744  
    

 

 

 

Distributors (0.2%):

  
600   Arata Corp.      29,946  
11,493   Bapcor, Ltd.      56,014  
1,900   Canon Marketing Japan, Inc.      38,031  
500   Chori Co., Ltd.      7,670  
1,234   D’ieteren SA/NV      76,690  
1,000   Doshisha Co., Ltd.      20,095  
1,600   Happinet Corp.      21,517  
4,313   Headlam Group plc      14,928  
29,210   Inchcape plc*      165,329  
3,000   Jardine Cycle & Carriage, Ltd.      39,803  
7,157   John Menzies plc      10,541  
400   Paltac Corp.      20,192  
3,025   Uni-Select, Inc.      12,951  
    

 

 

 

       513,707  
    

 

 

 

Diversified Consumer Services (0.1%):

  
23,128   AA plc      8,644  
3,986   Academedia AB(a)      32,872  
2,000   Benesse Holdings, Inc.      51,360  
10,000   Cross-Harbour Holdings, Ltd. (The)      17,965  
4,259   Dignity plc*      23,419  
42,880   G8 Education, Ltd.      30,037  
1,700   IBJ, Inc.      17,589  
2,783   IDP Education, Ltd.      38,019  
7,311   InvoCare, Ltd.      51,253  
300   PIA Corp.      9,240  
900   QB Net Holdings Co., Ltd.      15,945  
2,600   Riso Kyoiku Co., Ltd.      7,126  
700   Studio Alice Co., Ltd.      11,180  
1,300   Take And Give Needs Co., Ltd.      7,328  
    

 

 

 

       321,977  
    

 

 

 

Diversified Financial Services (0.9%):

  
863   Ackermans & Van Haaren NV*      111,882  
376   Aker ASA      16,194  
101,535   AMP, Ltd.      95,537  
3,396   Banca Farmafactoring SpA*(a)      19,086  
1,140   Banca Ifis SpA*      10,973  
6,216   Cerved Group SpA*      44,396  
21,477   Challenger, Ltd.      59,120  
14,100   Ecn Capital Corp.      53,587  
700   eGuarantee, Inc.      15,936  
20,244   Element Fleet Management Corp.      168,472  
3,300   Financial Products Group Co., Ltd.      16,758  
108,669   First Pacific Co., Ltd.      29,555  
1,200   Fuyo General Lease Co., Ltd.      74,361  
596,000   Get Nice Holdings, Ltd.      13,013  
1,236,000   G-Resources Group, Ltd.*      7,058  
167   Hypoport SE*      104,531  
800   Japan Investment Adviser Co., Ltd.      9,435  
4,600   Japan Securities Finance Co., Ltd.      22,348  
114,599   M&G plc      234,503  
23,000   Mitsubishi UFJ Lease & Finance Co., Ltd.      106,393  
1,800   Mizuho Leasing Co., Ltd.      46,306  
900   NEC Capital Solutions, Ltd.      16,076  
16,085   Ofx Group, Ltd.      12,686  
7,289   Omni Bridgeway, Ltd.      20,558  
2,247   Onex Corp.      100,249  
23,500   ORIX Corp.      292,602  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Diversified Financial Services, continued

  
5,100   Plus500, Ltd.    $ 103,023  
1,100   Ricoh Leasing Co., Ltd.      29,753  
42,370   Standard Life Aberdeen plc      123,333  
1,900   Tokyo Century Corp.      103,410  
2,200   Zenkoku Hosho Co., Ltd.      86,633  
    

 

 

 

       2,147,767  
    

 

 

 

Diversified Telecommunication Services (2.4%):

  
644   BCE, Inc.      26,710  
974   BCE, Inc.      40,392  
36,348   Bezeq Israeli Telecommunication Corp., Ltd. (The)*      42,297  
323,265   BT Group plc      410,733  
1,817   Cellnex Telecom SAU(a)      110,416  
25,395   Chorus, Ltd.      145,651  
90,000   CITIC Telecom International Holdings, Ltd.      28,717  
45,198   Deutsche Telekom AG, Registered Shares      757,074  
4,161   Elisa OYJ      245,228  
4,460   Euskaltel SA(a)      47,128  
2,209   Gamma Communications plc      47,050  
27,500   HKBN, Ltd.      52,381  
82,295   HKT Trust & HKT, Ltd.      109,033  
426   Iliad SA      78,361  
1,600   Internet Initiative Japan, Inc.      72,056  
121,735   Koninklijke KPN NV      286,209  
68,700   NetLink NBN Trust      49,159  
7,000   Nippon Telegraph & Telephone Corp.      143,233  
46,684   Orange SA      485,712  
237,553   PCCW, Ltd.      141,980  
5,067   Proximus SADP      92,484  
9,797   Q.Beyond AG      14,999  
48,100   Singapore Telecommunications, Ltd.      75,053  
34,736   Spark New Zealand, Ltd.      108,290  
13,084   Speedcast International, Ltd.*      2,776  
2,262   Sunrise Communications Group(a)      267,765  
9,426   Superloop, Ltd.*      6,443  
977   Swisscom AG, Registered Shares      518,392  
29,050   Talktalk Telecom Group plc      29,915  
334,376   Telecom Italia SpA      133,783  
210,041   Telecom Italia SpA      85,075  
45,006   Telefonica Deutschland Holding AG      115,424  
49,163   Telefonica SA      168,601  
4,768   Telekom Austria AG      33,678  
5,872   Telenor ASA      98,441  
34,540   Telia Co AB      142,101  
41,906   Telstra Corp., Ltd.      83,579  
14,183   TPG Telecom, Ltd.*      75,180  
7,091   Tuas, Ltd.*      2,719  
6,450   United Internet AG, Registered Shares      246,782  
1,800   Vision, Inc.*      14,087  
33,373   Vocus Group, Ltd.*      85,319  
    

 

 

 

       5,720,406  
    

 

 

 

Electric Utilities (1.7%):

  
1,186   Acciona SA      128,863  
33,016   AusNet Services      44,681  
703   BKW AG      74,874  
3,200   Chubu Electric Power Co., Inc.      38,928  
2,800   Chugoku Electric Power Co., Inc. (The)      35,061  
7,000   CK Infrastructure Holdings, Ltd.      32,759  
9,564   CLP Holdings, Ltd.      89,152  
5,549   Contact Energy, Ltd.      24,404  
25,791   EDP - Energias de Portugal SA      126,748  
12,898   Electricite de France      136,433  
Shares             Fair Value    

Common Stocks, continued

  

Electric Utilities, continued

  
633   Elia Group SA/NV    $ 63,193  
2,200   Emera, Inc.      90,386  
4,746   Endesa SA      126,915  
57,903   Enel SpA      502,718  
3,198   EVN AG      53,433  
2,553   Fortis, Inc.      104,316  
8,437   Fortum OYJ      170,743  
19,185   Genesis Energy, Ltd.      37,239  
30,000   HK Electric Investments, Ltd.      30,985  
7,700   Hokkaido Electric Power Co., Inc.      32,909  
3,500   Hokuriku Electric Power Co.      26,280  
3,000   Hydro One, Ltd.(a)      63,587  
74,435   Iberdrola SA      916,020  
15,779   Infratil, Ltd.      52,074  
3,500   Kansai Electric Power Co., Inc. (The)      33,932  
7,200   Kyushu Electric Power Co., Inc.      65,407  
1,391   Okinawa Electric Power Co., Inc.      21,835  
986   Orsted A/S(a)      136,032  
11,500   Power Assets Holdings, Ltd.      60,486  
8,090   Red Electrica Corp SA      151,778  
11   Romande Energie Holding SA, Registered Shares      13,199  
19,193   Scottish & Southern Energy plc      298,753  
3,300   Shikoku Electric Power Co., Inc.      25,198  
1,641   Siemens Energy AG*      44,233  
24,540   Spark Infrastructure Group      36,094  
13,794   Terna SpA      96,632  
3,900   Tohoku Electric Power Co., Inc.      39,085  
20,300   Tokyo Electric Power Co. Holdings, Inc.*      55,819  
284   Verbund AG, Class A      15,503  
    

 

 

 

       4,096,687  
    

 

 

 

Electrical Equipment (1.3%):

  
13,429   ABB, Ltd.      340,451  
600   Chiyoda Integre Co., Ltd.      9,331  
1,300   Denyo Co., Ltd.      30,341  
2,000   Fuji Electric Co., Ltd.      63,199  
16,000   Fujikura, Ltd.      44,275  
3,100   Furukawa Electric Co., Ltd. (The)      73,743  
1,200   Futaba Corp.      10,714  
38   Gavazzi Carlo Holding AG*      6,190  
3,400   GS Yuasa Corp.      58,710  
400   Hirakawa Hewtech Corp.      3,927  
815   Huber & Suhner AG      60,890  
1,600   Idec Corp./Japan      29,041  
23,000   Johnson Electric Holdings, Ltd.      50,085  
254   Kendrion NV      4,445  
4,095   Legrand SA      326,879  
1,100   Mabuchi Motor Co., Ltd.      42,600  
57,704   Melrose Industries plc      85,122  
346   Mersen*      10,594  
9,100   Mitsubishi Electric Corp.      122,875  
1,227   Nexans SA      70,815  
400   Nidec Corp.      37,206  
500   Nippon Carbon Co., Ltd.      17,682  
1,500   Nitto Kogyo Corp.      29,733  
821   NKT A/S*      24,466  
4,617   Nordex Se*      59,849  
17   Phoenix Mecano AG      6,850  
6,311   PNE AG      39,802  
1,875   Prysmian SpA      54,513  
400   Sanyo Denki Co., Ltd.      18,300  
2,369   Schneider Electric SA      293,992  
200   SEC Carbon, Ltd.      11,176  
2,150   SGL Carbon SE*      7,938  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Electrical Equipment, continued

  
2,499   Siemens Gamesa Renewable Energy    $ 67,349  
6,301   Signify NV(a)      233,152  
1,000   Sinfonia Technology Co., Ltd.      11,420  
417   Somfy SA      58,799  
2,200   SwCC Showa Holdings Co., Ltd.      25,475  
900   Takaoka Toko Co., Ltd.      9,149  
4,000   Tatsuta Electric Wire And Cable Co., Ltd.      23,203  
2,597   TKH Group NV      94,646  
600   Toyo Tanso Co., Ltd.      10,106  
4,400   Ushio, Inc.      56,173  
2,084   Vestas Wind Systems A/S      337,274  
920   XP Power, Ltd.      52,252  
    

 

 

 

       3,024,732  
    

 

 

 

Electronic Equipment, Instruments & Components (1.8%):   
1,300   Ai Holdings Corp.      23,939  
8,860   Alps Alpine Co., Ltd.      119,398  
506   ALSO Holding AG, Registered Shares      133,385  
2,300   Amano Corp.      53,579  
1,400   Anritsu Corp.      32,007  
2,400   Arisawa Manufacturing Co., Ltd.      22,109  
3,172   Austria Technologie & Systemte      59,777  
2,331   Barco NV      48,824  
225   Basler AG      13,293  
900   Canon Electronics, Inc.      12,591  
5,004   Celestica, Inc.*      34,577  
157   Cicor Technologies, Ltd.      7,177  
13,600   Citizen Watch Co., Ltd.      38,139  
3,400   CMK Corp.      15,619  
5,568   Codan, Ltd./Australia      44,430  
1,300   Conexio Corp.      14,561  
46,000   Cowell e Holdings, Inc.      20,292  
1,000   Daiwabo Holdings Co., Ltd.      64,582  
545   Datalogic SpA      7,617  
3,500   Dexerials Corp.      36,950  
21,950   Electrocomponents plc      200,740  
1,100   Elematec Corp.      10,369  
700   Evertz Technologies, Ltd.      5,994  
148,000   FIH Mobile, Ltd.*      21,101  
7,452   Fingerprint Cards AB*      14,828  
2,100   Furuno Electric Co., Ltd.      19,943  
400   Hagiwara Electric Co., Ltd.      8,694  
500   Hakuto Co., Ltd.      5,351  
2,991   Halma plc      90,133  
400   Hamamatsu Photonics KK      20,158  
1,031   Hexagon AB, Class B      77,951  
200   Hirose Electric Co., Ltd.      25,754  
3,500   Hitachi, Ltd.      118,281  
1,200   Hochiki Corp.      14,647  
700   Horiba, Ltd.      36,588  
2,600   Hosiden Corp.      23,439  
1,200   IBIDEN Co., Ltd.      40,640  
47   Inficon Holding AG      38,688  
2,871   Ingenico Group      444,190  
400   I-PEX, Inc.      8,273  
500   Iriso Electronics Co., Ltd.      20,215  
2,300   Japan Aviation Electronics Industry, Ltd.      31,692  
1,100   Japan Cash Machine Co., Ltd.      6,194  
21,200   Japan Display, Inc.*      10,958  
1,679   Jenoptik AG      45,039  
1,000   Kaga Electronics Co., Ltd.      21,275  
100   Keyence Corp.      46,611  
Shares             Fair Value    

Common Stocks, continued

  
Electronic Equipment, Instruments & Components, continued   
1,200   Koa Corp.    $ 12,945  
2,388   Kudelski SA      8,293  
800   Kyocera Corp.      45,717  
3,500   Kyosan Electric Manufacturing Co., Ltd.      16,100  
1,835   Lagercrantz Group AB, Class B      37,066  
365   Landis+Gyr Group AG*      19,981  
26   Lem Holding SA, Registered Shares      48,716  
2,200   Macnica Fuji Electronics Holdings      40,321  
400   Maruwa Co., Ltd./Aichi      37,070  
2,000   Meiko Electronics Co., Ltd.      33,381  
2,366   Micronic Mydata AB      55,808  
2,156   Midwich Group plc*      9,673  
4,600   Murata Manufacturing Co., Ltd.      296,843  
1,500   Nagano Keiki Co., Ltd.      12,182  
267   Nederland Apparatenfabriek*      13,295  
2,800   Nichicon Corp.      21,426  
600   Nippon Chemi-Con Corp.      8,060  
4,400   Nippon Electric Glass Co., Ltd.      82,161  
3,400   Nippon Signal Co., Ltd.      33,525  
1,800   Nissha Co., Ltd.      22,498  
600   Nohmi Bosai, Ltd.      13,723  
3,600   OKI Electric Industry Co., Ltd.      38,766  
700   Omron Corp.      54,533  
1,200   Optex Group Co., Ltd.      19,315  
3,000   Osaki Electric Co., Ltd.      17,457  
3,519   Oxford Instruments plc      72,103  
8,300   Pricer AB      21,784  
464   Renishaw plc      33,592  
1,100   Restar Holdings Corp.      22,681  
1,400   Ryoden Corp.      20,421  
1,100   Ryosan Co., Ltd.      22,030  
900   Sanshin Electronics Co., Ltd.      17,449  
700   Shibaura Electronics Co., Ltd.      14,339  
900   Shimadzu Corp.      27,460  
1,200   Shinko Shoji Co., Ltd.      10,452  
2,000   Siix Corp.      23,503  
3,154   Smart Metering Systems plc      26,479  
2,172   Spectris plc      68,201  
6,120   Strix Group plc      19,144  
2,000   Sumida Corp.      14,085  
700   Tachibana Eletech Co., Ltd.      12,547  
2,600   Taiyo Yuden Co., Ltd.^      81,757  
2,500   Tamura Corp.      12,700  
2,900   TDK Corp.      317,171  
5,000   Topcon Corp.      45,746  
1,300   Toyo Corp.      12,351  
7,103   TT Electronics plc*      18,312  
400   V Technology Co., Ltd.      16,822  
312   Vaisala OYJ, Class A      13,499  
7,400   Venture Corp., Ltd.      104,951  
56,000   Vstecs Holdings, Ltd.      37,359  
2,800   Yokogawa Electric Corp.      44,489  
1,100   Yokowo Co., Ltd.      28,801  
    

 

 

 

       4,369,675  
    

 

 

 

Energy Equipment & Services (0.3%):

  
7,314   Akastor ASA*      4,687  
5,393   Aker Solutions ASA      5,343  
1,137   Bonheur ASA      26,941  
2,991   BW Offshore, Ltd.      8,507  
5,874   Ces Energy Solutions Corp.      3,441  
29,491   CGG SA*      19,681  
4,726   Computer Modelling Group, Ltd.      18,316  
6,058   Enerflex, Ltd.      21,022  
8,606   Ensign Energy Services, Inc.      3,749  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Energy Equipment & Services, continued

  
106,730   Ezion Holdings, Ltd.*    $ 633  
4,488   Fugro NV*      17,609  
6,704   Hunting plc      11,138  
22,482   John Wood Group plc*      61,594  
8,257   Lamprell plc*      2,663  
1,000   Modec, Inc.      15,574  
4,500   Mullen Group, Ltd.      30,454  
2,400   North American Construction Group, Ltd.      15,629  
3,324   Ocean Yield ASA      7,960  
7,269   Odfjell Drilling, Ltd.*      8,443  
2,900   Pason Systems, Inc.      11,522  
6,196   Petrofac, Ltd.*      8,942  
18,993   Petroleum Geo-Services ASA*      5,532  
16,362   Precision Drilling Corp.*      10,200  
2,400   Raiznext Corp.      29,987  
15,278   Saipem SpA      26,178  
8,829   SBM Offshore NV      141,333  
174   Schoeller-Blackman Oilfield Equipment AG      4,621  
8,377   Secure Energy Services, Inc.      8,620  
3,900   ShawCor, Ltd.      6,122  
11,387   Subsea 7 SA*      81,718  
1,677   Tecnicas Reunidas SA*      17,923  
1,938   Tenaris SA      9,659  
5,241   TGS NOPEC Geophysical Co. ASA      63,358  
421   The Drilling Co of 1972 A/S*      9,140  
900   Total Energy Services, Inc.      1,534  
400   Toyo Kanetsu KK      8,627  
13,311   Trican Well Service, Inc.*^      11,497  
268   Vallourec SA*^      5,294  
10,270   Worley, Ltd.      70,548  
    

 

 

 

       815,739  
    

 

 

 

Entertainment (0.6%):

  
800   Akatsuki, Inc.      35,226  
2,500   Avex, Inc.      23,337  
3,818   Borussia Dortmund GMBH & Co. KGaA      22,959  
1,400   Capcom Co., Ltd.      78,306  
4,665   Cineplex, Inc.      25,263  
50,738   Cineworld Group plc      26,492  
2,160   CTS Eventim AG & Co. KGaA      104,474  
1,600   Daiichikosho Co., Ltd.      51,502  
3,000   DeNA Co., Ltd.      55,377  
4,107   Event Hospitality And Entertainment, Ltd.      28,546  
1,590   Gungho Online Enetertainment, Inc.      34,408  
38,000   IGG, Inc.      43,524  
594   Kinepolis Group NV      21,067  
1,300   KLab, Inc.*      11,715  
2,000   Konami Holdings Corp.      86,703  
40,000   Leyou Technologies Holdings, Ltd.*      16,790  
900   Nexon Co., Ltd.      22,355  
400   Nintendo Co., Ltd.      227,425  
200   Square Enix Holdings Co., Ltd.      13,299  
510   Technicolor SA*^      767  
400   Toei Animation Co., Ltd.      26,153  
200   Toei Co., Ltd.      33,229  
2,585   UbiSoft Entertainment SA*      233,575  
700   UUUM, Inc.*      15,013  
2,949   Vivendi Universal SA      82,185  
5,570   WildBrain, Ltd.*^      5,773  
    

 

 

 

       1,325,463  
    

 

 

 

Food & Staples Retailing (2.6%):

  
5,600   AEON Co., Ltd.      150,558  
500   Ain Holdings, Inc.      35,151  
Shares             Fair Value    

Common Stocks, continued

  

Food & Staples Retailing, continued

  
800   Albis Co., Ltd.    $ 21,398  
3,200   Alcanna, Inc.*      10,383  
8,272   Alimentation Couche-Tard, Inc.      288,097  
1,309   Amsterdam Commodities NV      28,631  
2,400   Arcs Co., Ltd.      61,733  
1,537   Axfood AB      35,235  
1,200   Axial Retailing, Inc.      56,264  
600   Belc Co., Ltd.      44,299  
16,444   Carrefour SA      263,174  
1,395   Casino Guichard-Perrachon SA*^      33,928  
1,100   Cawachi, Ltd.      30,548  
400   Cocokara Fine, Inc.      25,869  
12,379   Coles Group, Ltd.      150,945  
1,589   Colruyt SA      103,096  
400   Cosmos Pharmaceutical Corp.      69,589  
1,300   Create SD Holdings Co., Ltd.      45,571  
500   Daikokutenbussan Co., Ltd.      27,918  
4,900   Dairy Farm International Holdings, Ltd.      18,547  
3,691   Empire Co., Ltd., Class A      107,148  
1,600   Heiwado Co., Ltd.      34,481  
890   ICA Gruppen AB      45,262  
200   Itochu-Shokuhin Co., Ltd.      10,732  
64,976   J Sainsbury plc      159,703  
600   JM Holdings Co., Ltd.      16,178  
600   Kato Sangyo Co., Ltd.      21,518  
5,020   Kesko OYJ, Class A      124,722  
8,384   Kesko OYJ, Class B      216,143  
1,200   Kobe Bussan Co., Ltd.      65,989  
25,566   Koninklijke Ahold Delhaize NV      756,549  
400   Kusuri NO Aoki Holdings Co., Ltd.      32,637  
900   LAWSON, Inc.      42,882  
800   Life Corp.      37,062  
2,011   Loblaw Cos., Ltd.      105,323  
700   Matsumotokiyoshi Holdings Co., Ltd.      25,541  
61,030   Metcash, Ltd.      120,838  
8,784   METRO AG      87,720  
3,317   Metro, Inc.      159,173  
600   Ministop Co., Ltd.      8,425  
900   Mitsubishi Shokuhin Co., Ltd.      23,711  
1,200   Nihon Chouzai Co., Ltd.      19,386  
1,801   North West Co., Inc.      49,239  
9,500   Olam International, Ltd.      8,806  
1,200   Qol Holdings Co., Ltd.      13,823  
1,094   Rallye SA*      4,467  
337   Rami Levy Chain Stores Hashikm      23,194  
1,000   Retail Partners Co., Ltd.      16,769  
600   San-A Co., Ltd.      26,460  
12,300   Seven & I Holdings Co., Ltd.      380,284  
28,900   Sheng Siong Group, Ltd.      34,112  
6,398   Shufersal, Ltd.      50,025  
1,454   Sligro Food Group NV*      26,005  
38,447   Sonae SGPS SA      26,082  
500   Sugi Holdings Co., Ltd.      35,356  
1,300   Sundrug Co., Ltd.      48,952  
149,644   Tesco plc      410,185  
400   Tsuruha Holdings, Inc.      56,618  
2,100   United Supermarkets Holdings      25,344  
2,200   Valor Holdings Co., Ltd.      60,752  
1,400   Watahan & Co., Ltd.      21,480  
1,400   Welcia Holdings Co., Ltd.      61,561  
9,068   Wesfarmers, Ltd.      289,061  
1,793   Weston (George), Ltd.      131,856  
91,434   William Morrison Supermarkets plc      200,676  
9,117   Woolworths Group, Ltd.      238,303  
800   YAKUODO Holdings Co., Ltd.      20,064  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Food & Staples Retailing, continued

  
700   Yamatane Corp.    $ 8,872  
700   Yaoko Co., Ltd.^      52,166  
2,800   Yokohama Reito Co., Ltd.      24,317  
    

 

 

 

       6,066,886  
    

 

 

 

Food Products (3.4%):

  
5,898   A2 Milk Co., Ltd.*      60,048  
364   Agrana Beteiligungs AG      6,990  
1,300   Ajinomoto Co., Inc.      26,729  
44,180   Aryzta AG*      29,052  
3,921   Associated British Foods plc      94,435  
772   Atria OYJ      7,828  
4,083   Austevoll Seafood ASA      33,970  
23,247   Australian Agricultural Co., Ltd.*      17,991  
363   Bakkafrost P/F*      23,425  
53   Barry Callebaut AG, Registered Shares      117,875  
6,130   Bega Cheese, Ltd.      22,402  
125   Bell AG      32,093  
854   Bonduelle S.C.A.      19,819  
2,000   Calbee, Inc.      65,943  
1   Chocoladefabriken Lindt & Spruengli AG      89,019  
800   Chubu Shiryo Co., Ltd.      13,482  
12,278   Cloetta AB      35,642  
13,015   Costa Group Holdings, Ltd.      31,662  
2,432   Cranswick plc      113,621  
6,062   Danone SA      392,049  
1,700   Delfi, Ltd.      867  
16,123   Devro plc      38,513  
500   DyDo Group Holdings, Inc.      25,359  
2,372   Ebro Foods SA      55,197  
7,504   Elders, Ltd.      58,415  
80   Emmi AG      79,744  
27,100   First Resources, Ltd.      24,099  
1,616   Forfarmers NV      9,886  
9,500   Fraser & Neave, Ltd.      8,495  
3,739   Freedom Foods Group, Ltd.      8,059  
1,000   Fuji Oil Holdings, Inc.      31,601  
260,400   Golden Agri-Resources, Ltd.      27,191  
11,957   GrainCorp, Ltd.*      32,441  
17,127   Greencore Group plc      21,630  
1,923   Hilton Food Group plc      29,613  
1,600   Hokuto Corp.      34,111  
700   House Foods Group, Inc.      24,912  
15,498   Inghams Group, Ltd.      33,125  
2,700   Itoham Yonekyu Holdings, Inc.      19,341  
300   Iwatsuka Confectionery Co., Ltd.      10,841  
300   J-Oil Mills, Inc.      11,268  
800   Kagome Co., Ltd.      27,980  
800   Kakiyasu Honten Co., Ltd.      19,820  
400   Kameda Seika Co., Ltd.      20,524  
700   Kenko Mayonnaise Co., Ltd.      12,247  
492   Kerry Group plc, Class A      63,152  
2,800   Kewpie Corp.      57,665  
400   Kikkoman Corp.      22,201  
900   Kotobuki Spirits Co., Ltd.      46,277  
295   KWS Saat SE      24,894  
500   Kyokuyo Co., Ltd.      13,302  
147   Lassonde Industries, Inc.      15,955  
3,154   Leroy Seafood Group ASA      18,108  
17   Lotus Bakeries      66,757  
2,349   Maple Leaf Foods, Inc.      47,901  
1,200   Marudai Food Co., Ltd.      19,840  
2,600   Maruha Nichiro Corp.      59,703  
1,700   Megmilk Snow Brand Co., Ltd.      41,147  
41   Mehadrin, Ltd.*      1,740  
Shares             Fair Value    

Common Stocks, continued

  

Food Products, continued

  
1,100   Meiji Holdings Co., Ltd.    $ 84,056  
800   Mitsui Sugar Co., Ltd.      14,887  
1,300   Morinaga & Co., Ltd.      51,246  
2,400   Morinaga Milk Industry Co., Ltd.      126,878  
2,943   Mowi ASA      52,236  
30,559   Nestle SA, Registered Shares      3,626,475  
1,200   NH Foods, Ltd.      53,560  
2,600   Nichirei Corp.      68,915  
800   Nippon Beet Sugar Manufacturing Co., Ltd.      14,129  
1,200   Nippon Flour Mills Co., Ltd.      19,766  
20,100   Nippon Suisan Kaisha, Ltd.      85,546  
1,200   Nisshin Oillio Group, Ltd. (The)      36,218  
900   Nisshin Seifun Group, Inc.      14,352  
300   Nissin Foods Holdings Co., Ltd.      28,204  
326   Orior AG      26,058  
51,099   Premier Foods plc*      60,747  
1,488   Premium Brands Holdings Corp.      112,355  
2,000   Prima Meat Packers, Ltd.      61,560  
33,700   PT Tiga Pilar Sejahtera Food Tbk*      486  
3,268   Raisio Oyj, Class V      11,780  
11,830   Ridley Corp., Ltd.      6,926  
5,300   Rogers Sugar, Inc.      19,068  
600   S Foods, Inc.      16,711  
1,029   Salmar ASA*      58,261  
2,346   Sanford, Ltd.      8,850  
3,223   Saputo, Inc.      80,853  
127   Savencia SA      7,893  
3,496   Scales Corp., Ltd.      11,294  
3,767   Scandi Standard AB*      28,852  
619   Schouw & Co.      60,089  
2,304   Select Harvests, Ltd.      9,214  
800   Showa Sangyo Co., Ltd.      26,668  
306   Sipef SA*      15,299  
300   Starzen Co., Ltd.      11,850  
1,353   Strauss Group, Ltd.      38,818  
2,659   Suedzucker AG      51,428  
2,371   Synlait Milk, Ltd.*      8,593  
11,672   Tassal Group, Ltd.      29,065  
14,193   Tate & Lyle plc      121,703  
700   Toyo Suisan Kaisha, Ltd.      36,999  
58   United International Enterprises      12,244  
13,688   United Malt Grp, Ltd.*      40,813  
1,635   Viscofan SA      109,058  
22,000   Vitasoy International Holdings, Ltd.      85,426  
400   Warabeya Nichiyo Holdings Co., Ltd.      5,946  
264,612   WH Group, Ltd.(a)      215,381  
200   Yakult Honsha Co., Ltd.      11,098  
1,000   Yamazaki Baking Co., Ltd.      17,468  
    

 

 

 

       8,093,318  
    

 

 

 

Gas Utilities (0.4%):

  
7,684   AltaGas, Ltd.      92,803  
12,578   APA Group      93,245  
7,208   Gas Natural SDG SA      144,513  
28,295   Hong Kong & China Gas Co., Ltd.      40,663  
16,993   Italgas SpA      107,300  
800   K&O Energy Group, Inc.      11,400  
2,400   Nippon Gas Co., Ltd.      121,284  
2,600   Osaka Gas Co., Ltd.      50,663  
2,962   Rubis SCA      118,781  
1,300   Saibu Gas Co., Ltd.      32,651  
1,300   Shizuoka Gas Co. Ltd.      11,545  
10,212   Superior Plus Corp.      90,201  
800   Toho Gas Co., Ltd.      39,666  
2,200   Tokyo Gas Co., Ltd.      50,269  
    

 

 

 

       1,004,984  
    

 

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Health Care Equipment & Supplies (1.8%):

  
343   Alcon, Inc.*    $ 19,534  
4,403   Alcon, Inc.      250,044  
1,691   Ambu A/S, Class B      47,887  
3,762   Ansell, Ltd.      100,566  
11,514   Arjo AB, Class B      71,321  
3,200   Asahi Intecc Co., Ltd.      100,533  
470   BioMerieux      73,565  
478   Cochlear, Ltd.      67,927  
600   Coloplast A/S, Class B      94,908  
251   Coltene Holding AG      18,993  
21,835   Convatec Group plc(a)      50,297  
2,381   Demant A/S*      74,916  
781   DiaSorin SpA      157,400  
238   Draegerwerk AG & Co. KGaA*      17,520  
509   Draegerwerk AG & Co. KGaA*      44,145  
740   Eckert & Ziegler AG      37,855  
2,223   Elekta AB, Class B      27,968  
1,137   EssilorLuxottica SA      154,596  
3,206   Fisher & Paykel Healthcare Corp., Ltd.      70,543  
3,411   Getinge AB, Class B      74,218  
5,227   GN Store Nord A/S      395,581  
405   Guerbet      13,023  
800   Hogy Medical Co., Ltd.      27,545  
3,200   HOYA Corp.      360,754  
1,300   Jeol, Ltd.      45,271  
1,157   Koninklijke Philips Electronics NV, NYS      54,553  
6,055   Koninklijke Philips NV      285,217  
700   Mani, Inc.      19,088  
500   Menicon Co., Ltd.      33,279  
1,200   Nakanishi, Inc.      21,483  
1,100   Nihon Kohden Corp.      36,184  
2,300   Nikkiso Co., Ltd.      23,349  
8,900   Nipro Corp.      103,707  
10,300   Olympus Corp.      213,830  
900   Paramount Bed Holdings Co., Ltd.      37,328  
457   Revenio Group OYJ      20,780  
957   Sartorius AG      393,081  
1,077   Sectra AB, Class B*      71,413  
700   Shofu, Inc.      9,517  
3,702   Smith & Nephew plc      72,125  
819   Sonova Holding AG, Registered Shares*      207,744  
360   Stratec Se      52,498  
1,200   Sysmex Corp.      114,537  
3,800   Terumo Corp.      151,419  
180   Ypsomed Holding AG      26,266  
    

 

 

 

       4,344,308  
    

 

 

 

Health Care Providers & Services (1.0%):

  
2,400   Alfresa Holdings Corp.      52,510  
5,072   Amplifon SpA      181,112  
15,973   Arvida Group, Ltd.      17,960  
6,164   Attendo AB*(a)      33,612  
18,377   Australian Pharmaceutical Industries, Ltd.      13,884  
700   BML, Inc.      21,077  
3,715   CareTech Holdings plc      20,589  
6,200   CRH Medical Corp.*      13,411  
862   CVS Group plc      13,737  
3,603   Ebos Group, Ltd.      58,236  
500   Elan Corp.      12,448  
14,050   Estia Health, Ltd.      14,754  
4,012   Extendicare, Inc.      16,061  
3,112   Fagron      78,456  
Shares             Fair Value    

Common Stocks, continued

  

Health Care Providers & Services, continued

  
6,326   Fresenius Medical Care AG & Co., KGaA    $ 534,088  
3,263   Fresenius SE & Co. KGaA      148,512  
2,800   H.U. Group Holdings, Inc.      74,920  
27,126   Healius, Ltd.      69,832  
2,572   Humana AB      16,573  
2,000   Japan Lifeline Co., Ltd.      26,581  
1,000   Japan Medical Dynamic Marketing, Inc.      20,575  
16,930   Japara Healthcare, Ltd.      4,747  
2,678   Korian SA      93,963  
225   Lna Sante      12,526  
3,204   Medical Facilities Corp.      10,516  
25,952   Mediclinic International plc      95,366  
2,000   Medipal Holdings Corp.      40,053  
7,584   Metlifecare, Ltd.*      29,788  
1,110   NMC Health plc*      250  
18,992   Oceania Healthcare, Ltd.      14,433  
1,066   Orpea*      121,057  
24,015   Raffles Medical Group, Ltd.      14,264  
1,997   Ramsay Health Care, Ltd.      94,712  
3,746   Ryman Healthcare, Ltd.      35,022  
1,700   Ship Healthcare Holdings, Inc.      83,205  
3,500   Sienna Senior Living, Inc.^      29,444  
59,044   Sigma Healthcare, Ltd.*      24,962  
1,900   Solasto Corp.      24,846  
8,887   Spire Healthcare Group plc(a)      10,884  
8,336   Summerset Group Holdings, Ltd.      49,687  
1,100   Suzuken Co., Ltd.      41,932  
1,800   Toho Holdings Co., Ltd.      38,758  
500   Tokai Corp./Gifu      9,891  
5,100   Tsukui Holdings Corp.      28,509  
4,396   UDG Healthcare plc      43,611  
3,435   Virtus Health, Ltd.      9,536  
2,800   Vital Ksk Holdings, Inc.      29,034  
    

 

 

 

       2,429,924  
    

 

 

 

Health Care Technology (0.1%):

  
7,980   AGFA-Gevaert NV*      33,280  
1,026   Ascom Holding AG*      14,234  
857   CompuGroup Medical SE & Co KgaA      79,308  
2,389   Emis Group plc      32,080  
2,400   M3, Inc.      149,042  
800   Nnit A/S(a)      16,595  
1,258   Pro Medicus, Ltd.      24,609  
1,213   Raysearch Laboratories AB*      11,864  
    

 

 

 

       361,012  
    

 

 

 

Hotels, Restaurants & Leisure (2.2%):

  
4,102   Accor SA      114,717  
36,400   Accordia Golf Trust      535  
600   AEON Fantasy Co., Ltd.      9,359  
1,000   Arcland Service Holdings Co., Ltd.      20,173  
23,206   Ardent Leisure Group, Ltd.*^      9,532  
7,016   Aristocrat Leisure, Ltd.      151,273  
4,300   Atom Corp.      35,250  
7,557   Autogrill SpA*      34,059  
1,707   Basic-Fit NV*(a)      40,708  
3,095   Betsson AB      23,781  
20,000   Cafe de Coral Holdings, Ltd.      42,275  
1,533   Carnival plc, ADR^      19,806  
72,000   Century City International Holdings, Ltd.      3,775  
485   CIE des Alpes      9,622  
4,935   Collins Foods, Ltd.      36,398  
2,000   Colowide Co., Ltd.^      34,038  
16,153   Compass Group plc      242,429  
2,200   Corporate Travel Management, Ltd.      27,611  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Hotels, Restaurants & Leisure, continued

  
4,000   Create Restaurants Holdings In    $ 23,017  
4,576   Crown Resorts, Ltd.      28,894  
1,900   Curves Holdings Co., Ltd.      12,233  
151   Do & Co. AG*^      6,170  
1,751   Domino’s Pizza Enterprises, Ltd.      99,835  
13,489   Domino’s Pizza Group plc      63,337  
1,600   Doutor Nichires Holdings Co., Ltd.      24,347  
4,906   Elior Group(a)      22,725  
1,486   Evolution Gaming Group AB(a)      98,267  
6,500   Fairwood Holdings, Ltd.      15,269  
4,759   Flight Centre Travel Group, Ltd.      47,177  
1,791   Flutter Entertainment plc      283,757  
2,342   Flutter Entertainment plc      368,772  
800   Fuji Kyuko Co., Ltd.      29,938  
557   Fuller Smith & Turner plc, Class A      4,139  
24,010   Galaxy Entertainment Group, Ltd.      162,514  
1,491   Gamesys Group plc      22,863  
200   Genki Sushi Co., Ltd.      4,527  
113,000   Genting Singapore, Ltd.      55,532  
36,100   GL Limited      13,895  
2,773   Great Canadian Gaming Corp.*      50,216  
6,216   Greggs plc*      93,837  
25,525   GVC Holdings plc*      321,212  
660   Hiday Hidaka Corp.      12,011  
1,700   HIS Co., Ltd.^      30,073  
18,230   Hongkong & Shanghai Hotels (The)      14,162  
11,300   Hotel Grand Central, Ltd.      7,711  
1,845   InterContinental Hotels Group plc, ADR      96,826  
6,544   JD Wetherspoon plc      70,720  
868   Jumbo Interactive, Ltd.      7,822  
1,100   KFC Holdings Japan, Ltd.      28,512  
6,856   Kindred Group plc      49,828  
1,700   Komeda Holdings Co., Ltd.      31,767  
1,900   Koshidaka Holdings Co., Ltd.      7,786  
400   Kura Sushi, Inc.      21,758  
1,100   Kyoritsu Maintenance Co., Ltd.      40,923  
70,000   Macau Legend Development, Ltd.*      9,489  
33,812   Marston’s plc      19,097  
200   Matsuyafoods Holdings Co., Ltd.      6,940  
500   McDonald’s Holdings Co., Ltd.      24,326  
36,000   Melco International Development Ltd.      63,696  
5,571   Melia Hotels International SA*      20,362  
25,327   MGM China Holdings, Ltd.      31,450  
14,000   Miramar Hotel & Investment      23,520  
10,745   Mitchells & Butlers plc*      18,670  
400   Monogatari Corp. (The)      39,444  
1,110   Mty Food Group, Inc.      27,587  
46,000   NagaCorp, Ltd.      54,950  
1,223   Orascom Development Holding AG*      11,816  
200   Oriental Land Co., Ltd.      28,023  
2,702   Pandox AB*      31,028  
900   Pizza Pizza Royalty Corp.      5,644  
10,182   PlayTech plc      47,592  
12,439   Rank Group plc      14,927  
600   Renaissance, Inc.      5,387  
4,200   Resorttrust, Inc.      64,110  
2,357   Restaurant Brands International, Inc.      135,394  
392   Restaurant Brands International, Inc.      22,544  
4,293   Restaurant Brands New Zealand, Ltd.*      33,831  
17,404   Restaurant Group plc (The)*      11,104  
300   Ringer Hut Co., Ltd.      7,365  
3,200   Round One Corp.      25,818  
1,300   Royal Holdings Co., Ltd.      22,497  
1,200   Saint Marc Holdings Co., Ltd.      17,661  
Shares             Fair Value    

Common Stocks, continued

  

Hotels, Restaurants & Leisure, continued

  
1,400   Saizeriya Co., Ltd.    $ 28,512  
16,988   Sands China, Ltd.      66,107  
5,463   Scandic Hotels Group AB^(a)      16,452  
44,000   Shangri-La Asia, Ltd.*      36,154  
56,868   SJM Holdings, Ltd.      67,162  
1,360   SkiStar AB      18,324  
28,026   Sky City Entertainment Group, Ltd.      55,489  
6,100   Skylark Holdings Co., Ltd.      87,073  
2,576   Sodexo SA      183,421  
20,846   SSP Group plc      48,334  
40,062   Star Entertainment Group, Ltd. (The)      88,113  
2,000   Sushiro Global Holdings, Ltd.      50,493  
63,524   Tabcorp Holdings, Ltd.      152,417  
581   The Gym Group plc*(a)      1,019  
137   Tivoli A/S*      14,053  
4,500   Tokyo Dome Corp.      32,404  
800   Tokyotokeiba Co., Ltd.      40,553  
2,200   Toridoll Holding Corp.      29,812  
400   Tosho Co., Ltd.      4,947  
7,082   TUI AG^      26,549  
5,022   Whitbread plc      136,951  
41,297   William Hill plc      147,705  
26,430   Wynn Macau, Ltd.*      42,310  
1,200   Yoshinoya Holdings Co., Ltd.      22,483  
3,500   Zensho Holdings Co., Ltd.      82,609  
    

 

 

 

       5,431,431  
    

 

 

 

Household Durables (1.9%):

  
5,875   Azorim-Investment Development & Construction Co., Ltd.*      10,467  
4,812   Bang & Olufsen A/S*      10,883  
19,035   Barratt Developments plc      116,364  
3,516   Bellway plc      106,289  
2,120   Berkeley Group Holdings plc (The)      115,315  
1,566   Bigben Interactive*      27,204  
3,728   Bonava AB      30,793  
6,992   Bovis Homes Group plc      51,386  
4,028   Breville Group, Ltd.      72,816  
27,975   Cairn Home plc      25,839  
3,700   Casio Computer Co., Ltd.      59,748  
600   Chofu Seisakusho Co., Ltd.      12,537  
1,800   Cleanup Corp.      8,780  
1,800   Corona Corp.      16,900  
9,695   Countryside Properties plc(a)      41,874  
11,005   Crest Nicholson Holdings plc      27,970  
1,076   De’Longhi*      36,765  
7,507   DFS Furniture plc      16,020  
1,000   Dorel Industries, Inc.*      8,915  
2,152   Duni AB      21,620  
4,630   Electrolux AB, Series B, Class B      107,961  
2,700   Es-Con Japan, Ltd.      22,277  
800   Eslead Corp.      10,299  
2,053   Fiskars OYJ Abp      27,916  
2,700   FJ Next Co., Ltd.      22,987  
49   Forbo Holding AG      80,293  
1,600   Foster Electric Co., Ltd.      17,184  
1,400   France Bed Holdings Co., Ltd.      11,752  
1,600   Fuji Corp., Ltd.      8,145  
900   Fujitsu General, Ltd.      26,099  
14,200   Haseko Corp.      186,741  
700   Hoosiers Holdings      4,390  
187   Hunter Douglas NV      10,889  
10,452   Husqvarna AB, Class B      115,134  
3,200   Iida Group Holdings Co., Ltd.      64,708  
3,489   JM AB      108,132  
10,600   Jvc Kenwood Corp.      14,750  
958   Kaufman & Broad SA      37,956  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Household Durables, continued

  
1,300   LEC, Inc.    $ 20,844  
540   Leifheit AG*      20,511  
54,800   Man Wah Holdings, Ltd.      72,785  
18,466   McCarthy & Stone plc(a)      16,625  
10   Metall Zug AG      14,227  
1,363   Neinor Homes SA*(a)      17,427  
6,900   Nikon Corp.^      46,627  
7,754   Nobia AB*      51,773  
39,400   Panasonic Corp.      333,798  
5,699   Persimmon plc      180,974  
3,200   Pressance Corp.      42,390  
6,708   Redrow plc      34,896  
200   Rinnai Corp.      19,542  
1,300   Sangetsu Corp.      19,989  
786   SEB SA      127,837  
13,000   Sekisui Chemical Co., Ltd.      207,843  
3,200   Sekisui House, Ltd.      56,602  
3,000   Sharp Corp.      37,174  
13,600   Sony Corp.      1,040,343  
2,500   Space Value Holdings Co., Ltd.      12,035  
2,200   Starts Corp., Inc.      48,315  
6,900   Sumitomo Forestry Co., Ltd.      110,040  
328   Surteco Group SE*      8,177  
1,100   Tamron Co., Ltd.      17,363  
51,750   Taylor Wimpey plc      71,997  
13,187   Techtronic Industries Co., Ltd.      173,410  
805   The Vitec Group plc*      7,735  
1,000   TOA Corp.      8,122  
3,468   TomTom NV*      26,067  
100   V-ZUG Holding AG*      8,153  
    

 

 

 

       4,549,719  
    

 

 

 

Household Products (0.3%):

  
5,732   Essity AB, Class B*      193,770  
407   Henkel AG & Co. KGaA      38,118  
1,700   Lion Corp.      34,967  
14,255   Mcbride plc      11,226  
1,600   Pigeon Corp.      71,494  
5,635   PZ Cussons plc      17,060  
2,279   Reckitt Benckiser Group plc      222,145  
800   Unicharm Corp.      35,744  
    

 

 

 

       624,524  
    

 

 

 

Independent Power and Renewable Electricity Producers (0.5%):   
2,027   Albioma SA      105,537  
3,959   Boralex, Inc., Class A      114,452  
1,800   Capital Power Corp.      39,734  
26,474   Drax Group plc      90,892  
3,321   EDP Renovaveis SA      55,015  
1,300   Electric Power Development Co., Ltd.      20,064  
2,480   ERG SpA      62,358  
9,297   Falck Renewables SpA      58,560  
3,741   Innergex Renewable Energy, Inc.      67,604  
1,207   Kenon Holdings, Ltd.      27,281  
10,105   Meridian Energy, Ltd.      32,949  
16,056   New Energy Solar, Ltd.      9,303  
4,661   Northland Power, Inc.      141,014  
3,405   OPC Energy, Ltd.      30,954  
1,917   Scatec Solar ASA(a)      44,349  
16,748   Transalta Corp.      103,024  
3,700   Transalta Renewables, Inc.      46,493  
3,369   Uniper SE      108,838  
700   West Holdings Corp.      19,206  
    

 

 

 

       1,177,627  
    

 

 

 

Industrial Conglomerates (0.8%):

  
8,000   Chevalier International Holdings Ltd.      9,394  
Shares             Fair Value    

Common Stocks, continued

  

Industrial Conglomerates, continued

  
53,556   CIR SpA-Compagnie Industriali    $ 24,562  
40,430   CK Hutchison Holdings, Ltd.      245,131  
1,837   DCC plc      141,542  
2,000   Guoco Group, Ltd.      25,293  
1,269   Indus Holding AG      41,723  
515   Italmobiliare SpA      17,760  
1,500   Katakura Industries Co., Ltd.      17,566  
1,800   Keihan Holdings Co., Ltd.      74,661  
23,700   Keppel Corp., Ltd.      77,758  
447   Lifco AB-B Shs      34,580  
5,400   Nisshinbo Holdings, Inc.      36,865  
1,487   Nolato AB*      144,379  
23,000   NWS Holdings, Ltd.      17,574  
2,253   Rheinmetall AG      203,101  
7,600   Seibu Holdings, Inc.      81,764  
57,400   SembCorp Industries, Ltd.      56,470  
70,000   Shun Tak Holdings, Ltd.      22,578  
3,281   Siemens AG, Registered Shares      414,818  
6,758   Smiths Group plc      118,789  
5,400   Tokai Holdings Corp.      53,324  
1,900   Toshiba Corp.      48,370  
    

 

 

 

       1,908,002  
    

 

 

 

Insurance (3.0%):

  
4,753   Admiral Group plc      160,276  
31,926   AEGON NV      82,904  
3,360   Ageas NV      137,105  
54,040   AIA Group, Ltd.      532,375  
4,109   Alm Brand A/S*      46,985  
7,457   ASR Nederland NV      250,773  
11,584   Assicurazioni Generali SpA      163,123  
1,203   AUB Group, Ltd.      14,365  
71,643   Aviva plc      263,394  
15,524   AXA SA      286,544  
999   Baloise Holding AG, Registered Shares      146,993  
12,901   Beazley plc      50,977  
7,384   Chesnara plc      26,190  
2,213   Clal Insurance Enterprises Holdings, Ltd.*      20,833  
2,983   CNP Assurances SA      37,274  
5,028   Coface SA      35,140  
4,900   Dai-ichi Life Holdings, Inc.      69,165  
39,884   Direct Line Insurance Group plc      138,807  
82   E-L Financial Corp., Ltd.      40,523  
498   Fairfax Financial Holdings, Ltd.      146,662  
1,054   FBD Holdings plc*      7,733  
3,200   Great-West Lifeco, Inc.      62,539  
1,465   Grupo Catalana Occidente SA      36,901  
539   Hannover Rueck SE      83,545  
5,987   Harel Insurance Investments &*      37,423  
15,099   Hastings Group Holdings, Ltd.(a)      49,131  
1,855   Helvetia Holding AG      157,501  
6,718   Hiscox, Ltd.*      77,308  
3,319   IA Financial Corp., Inc.      115,544  
506   IDI Insurance Co., Ltd.*      12,443  
28,539   Insurance Australia Group, Ltd.      89,797  
700   Intact Financial Corp.      74,963  
6,700   Japan Post Holdings Co., Ltd.      45,707  
64,369   Just Group plc*      37,261  
7,487   Lancashire Holdings, Ltd.      66,703  
72,758   Legal & General Group plc      176,297  
13,895   Manulife Financial Corp.      193,279  
2,683   Manulife Financial Corp.      37,321  
25,567   Mapfre SA      40,029  
40,419   Medibank Private, Ltd.      72,795  
1,055   Menora Mivtachim Holdings, Ltd.*      12,775  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Insurance, continued

  
16,641   Migdal Insurance & Financial Holding, Ltd.*    $ 10,814  
2,100   MS&AD Insurance Group Holdings, Inc.      56,887  
555   Muenchener Rueckversicherungs-Gesellschaft AG      140,897  
20,116   NIB Holdings, Ltd.      58,964  
6,250   NN Group NV      234,732  
4,541   Phoenix Group Holdings plc      40,386  
7,577   Phoenix Holdings, Ltd. (The)*      35,078  
5,968   Poste Italiane SpA(a)      52,860  
2,517   Prudential plc, ADR      71,961  
23,988   QBE Insurance Group, Ltd.      148,427  
19,383   RSA Insurance Group plc      112,734  
3,005   Sabre Insurance Group plc(a)      9,844  
57,341   Saga plc      9,208  
1,457   Sampo Oyj, Class A      57,635  
5,815   SCOR SA*      161,095  
8,029   Societa Cattolica di Assicuraz*      42,739  
1,500   Sompo Holdings, Inc.      51,965  
10,578   Steadfast Group, Ltd.      24,303  
8,620   Storebrand ASA      45,176  
3,075   Sun Life Financial, Inc.      125,245  
21,865   Suncorp Group, Ltd.      132,796  
353   Swiss Life Holding AG, Registered Shares      133,408  
2,645   Swiss Re AG      195,825  
5,900   T&D Holdings, Inc.      58,358  
1,446   Talanx AG      46,653  
2,400   Tokio Marine Holdings, Inc.      105,115  
1,470   Topdanmark A/S      71,054  
23   Trisura Group, Ltd.*      1,464  
934   Tryg A/S      29,444  
15,269   Unipol Gruppo Finanziario SpA*      66,698  
14,182   UnipolSai Assicurazioni SpA      36,986  
6,313   Uniqa Insurance Group AG      38,087  
54   Vaudoise Assurances Holding SA      26,737  
2,033   Vienna Insurance Group AG Wiener Versicherung Gruppe      45,218  
1,796   Wuestenrot & Wuerttembergische AG      30,064  
1,270   Zurich Insurance Group AG      441,680  
    

 

 

 

       7,087,940  
    

 

 

 

Interactive Media & Services (0.4%):

  
1,083   Adevinta ASA*      18,584  
22,069   Auto Trader Group plc(a)      159,606  
8,625   Carsales.com, Ltd.      128,050  
1,200   Dip Corp.      24,662  
5,600   Gree, Inc.      27,366  
2,200   Kakaku.com, Inc.      58,170  
2,000   mixi, Inc.      54,537  
135   New Work SE      41,180  
606   REA Group, Ltd.      47,873  
26,634   Rightmove plc      214,340  
1,046   Scout24 AG(a)      91,287  
25,314   Solocal Group*      913  
15,200   Z Holdings Corp.      101,567  
1,700   Zigexn Co., Ltd.      5,577  
    

 

 

 

       973,712  
    

 

 

 

Internet & Direct Marketing Retail (0.4%):

  
800   ASKUL Corp.      32,709  
1,900   Belluna Co., Ltd.      17,230  
18,446   Boohoo Group plc*      88,990  
342   Delivery Hero SE*(a)      39,335  
3,809   Dustin Group AB(a)      23,937  
2,462   eDreams ODIGEO SA*      6,624  
Shares             Fair Value    

Common Stocks, continued

  

Internet & Direct Marketing Retail, continued

  
2,400   Enigmo, Inc.    $ 38,232  
595   Just Eat Takeaway.com NV*(a)      66,474  
22,749   Moneysupermarket.com Group plc      77,967  
6,515   N Brown Group plc      4,522  
1,472   Ocado Group plc*      52,011  
7,306   On The Beach Group plc(a)      22,923  
800   Open Door, Inc.*      10,427  
2,202   Prosus NV*      203,040  
2,059   Rocket Internet SE*(a)      45,051  
1,817   Takkt AG*      22,662  
6,523   Webjet, Ltd.      18,282  
624   Zalando SE*(a)      58,401  
1,200   ZOZO, Inc.      33,473  
    

 

 

 

       862,290  
    

 

 

 

IT Services (1.8%):

  
1,366   AddNode Group AB      31,454  
53   Adyen NV*(a)      97,659  
370   Allgeier SE      22,636  
725   Alten SA*      68,600  
3,748   Amadeus IT Group SA      207,973  
733   Appen, Ltd.      17,936  
3,853   Atea ASA      47,190  
2,869   Atos SE      231,080  
1,266   Bechtle AG      256,580  
1,900   CAC Holdings Corp.      25,360  
1,034   Cancom SE      53,451  
2,594   Capgemini SA      332,188  
2,893   CGI, Inc.*      196,059  
700   CGI, Inc.*      47,518  
4,933   Columbus A/S*      5,591  
5,202   Computacenter plc      158,986  
10,319   Computershare, Ltd.      90,580  
1,600   Comture Corp.      40,152  
7,824   Data#3, Ltd.      37,236  
500   Densan System Co., Ltd.      17,517  
317   Devoteam SA*      36,213  
1,400   DTS Corp.      29,770  
8,624   Econocom Group SA/NV*      26,021  
1,000   E-Guardian, Inc.      31,617  
1,224   Enea AB*      26,843  
16,132   Equiniti Group plc(a)      23,589  
3,891   Fdm Group Holdings plc      50,751  
457   Formula Systems 1985, Ltd.      38,644  
700   Fujitsu, Ltd.      95,864  
800   Future Corp.      16,596  
1,953   GFT Technologies SE      26,555  
6,665   Global Dominion Access SA(a)      27,128  
2,200   GMO Internet, Inc.      57,518  
400   GMO Payment Gateway, Inc.      43,024  
287   Groupe Open*      4,983  
2,320   HIQ International AB      18,563  
800   ID Holdings Corp.      11,357  
6,538   Indra Sistemas SA*      46,394  
1,200   Infocom Corp.      46,277  
700   Information Services Internati      44,129  
2,776   Iomart Group plc      12,715  
1,100   Itochu Techno-Solutions Corp.      41,869  
4,549   Kainos Group plc      58,328  
400   Kanematsu Electronics, Ltd.      16,206  
1,915   Knowit AB      48,674  
19,315   Link Administration Holdings, Ltd.      51,734  
896   Matrix It, Ltd.      21,062  
300   Mitsubishi Research Institute      12,645  
9,872   NCC Group plc      22,401  
600   NEC Networks & System Integrat      11,528  
1,300   NET One Systems Co., Ltd.      59,285  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

IT Services, continued

  
3,000   Nihon Unisys, Ltd.    $ 94,221  
2,556   Nomura Research Institute, Ltd.      75,132  
800   NS Solutions Corp.      24,692  
2,200   Nsd Co., Ltd.      43,058  
5,500   NTT Data Corp.      70,516  
4,539   Ordina NV*      12,076  
1,400   Otsuka Corp.      71,656  
1,200   Poletowin Pitcrew Holdings, Inc.      10,846  
663   Reply SpA      76,291  
800   SCSK Corp.      44,764  
159   Shopify, Inc., Class A*      162,652  
800   Softbank Technology Corp.      28,047  
4,633   Softcat plc      72,167  
857   Sopra Steria Group      135,786  
16,000   Sunevision Holdings, Ltd.      13,107  
519   Sword Group      19,289  
1,200   TDC Soft, Inc.      12,225  
2,800   TechMatrix Corp.      60,979  
3,894   The Citadel Group, Ltd.      15,674  
1,232   Tieto OYJ      34,062  
4,500   TIS, Inc.      95,656  
727   Worldline SA*(a)      59,605  
    

 

 

 

       4,276,530  
    

 

 

 

Leisure Products (0.4%):

  
1,179   Accell Group      32,672  
1,700   Bandai Namco Holdings, Inc.      124,201  
1,106   BRP, Inc.      58,440  
1,319   Games Workshop Group plc      173,778  
800   Globeride, Inc.      23,566  
72,000   Goodbaby International Holdings, Ltd.*      9,070  
2,500   Heiwa Corp.      41,134  
500   Mars Group Holdings Corp.      8,433  
2,702   Maytronics, Ltd.      41,532  
800   Mizuno Corp.      14,438  
26,132   Photo-Me International plc      17,152  
1,200   Sankyo Co., Ltd.      31,457  
3,600   Sega Sammy Holdings, Inc.      43,793  
1,337   Spin Master Corp.*(a)      28,861  
1,169   Technogym SpA*(a)      10,004  
1,995   Thule Group AB (The)(a)      66,086  
4,700   Tomy Co., Ltd.      40,482  
385   Trigano SA      59,438  
700   Universal Entertainment Corp.*      12,831  
500   Yamaha Corp.      23,936  
    

 

 

 

       861,304  
    

 

 

 

Life Sciences Tools & Services (0.6%):

  
125   Bachem Holding AG, Class B      52,954  
2,607   Biotage AB      51,628  
2,446   Clinigen Group plc      22,104  
600   Cmic Holdings Co., Ltd.      7,698  
1,200   Eps Holdings, Inc.      11,869  
338   Eurofins Scientific SE      267,540  
1,626   Gerresheimer AG      181,923  
603   Lonza Group AG, Registered Shares      372,321  
1,322   Qiagen NV*      69,088  
627   Sartorius Stedim Biotech      215,921  
1,600   Shin Nippon Biomedical Laborat      11,262  
97   Siegfried Holding AG      66,371  
299   Tecan Group AG      148,740  
    

 

 

 

       1,479,419  
    

 

 

 

Machinery (4.1%):

  
3,060   Aalberts NV      110,492  
2,600   Aichi Corp.      21,716  
2,100   Aida Engineering, Ltd.      14,427  
Shares             Fair Value    

Common Stocks, continued

  

Machinery, continued

  
5,348   Alfa Laval AB    $ 118,083  
1,607   Alimak Group AB(a)      21,793  
900   Alinco, Inc.      8,289  
901   Alstom SA*      44,853  
10,200   Amada Holdings Co., Ltd.      95,613  
2,790   Andritz AG      85,941  
2,000   Anest Iwata Corp.      16,432  
2,700   Asahi Diamond Industrial Co., Ltd.      12,519  
2,774   Atlas Copco AB      115,622  
4,706   Atlas Copco AB, Class A      224,068  
1,149   ATS Automation Tooling Systems, Inc.*      14,939  
1,300   Bando Chemical Industries, Ltd.      7,402  
2,296   Beijer Alma AB, Class B      29,501  
506   Bobst Group SA      31,424  
10,601   Bodycote plc      78,605  
243   Bucher Industries AG      92,621  
66   Burckhardt Compression Holding AG      16,643  
1,623   Cargotec OYJ      55,922  
500   Chugai Ro Co., Ltd.      7,223  
27,705   CNH Industrial NV      215,286  
2,050   Concentric AB      39,633  
1,110   Construcc y Aux de Ferrocarr SA*      38,217  
56   Conzzeta AG      59,998  
168   Daetwyler Holding AG      37,275  
600   Daifuku Co., Ltd.      60,399  
1,900   Daihatsu Diesel Manufacturing Co., Ltd.      7,742  
2,100   Daiwa Industries, Ltd.      18,924  
3,272   Danieli & C Officine Meccaniche SpA      36,468  
1,449   Danieli & C Officine Meccaniche SpA      24,824  
7,304   Deutz AG      42,516  
6,200   DMG Mori Co., Ltd.      86,070  
1,985   Duerr AG      61,076  
3,400   Ebara Corp.      91,859  
4,630   Electrolux Professional AB, Class B*      18,545  
2,774   Epiroc AB      38,597  
6,356   Epiroc AB, Class A      92,292  
1,500   Exco Technologies, Ltd.      7,413  
300   FANUC Corp.      57,559  
114   Feintool International Holding AG      6,486  
19,282   Fincantieri SpA*^      12,402  
1,579   Fluidra SA*      26,735  
2,000   Fuji Corp.      39,606  
1,700   Furukawa Co., Ltd.      18,369  
4,784   GEA Group AG      168,614  
152   Georg Fischer AG      158,130  
2,000   Glory, Ltd.      44,655  
2,253   Haldex AB*      10,511  
26,103   Heidelberger Druckmaschinen AG*      17,257  
12,800   Hino Motors, Ltd.      82,966  
1,200   Hisaka Works, Ltd.      10,207  
2,500   Hitachi Construction Machinery Co., Ltd.      90,547  
9,200   Hitachi Zosen Corp.      38,872  
500   Hosokawa Micron Corp.      25,942  
8,500   IHI Corp.      113,588  
14,403   IMI plc      194,029  
755   Industria Macchine Automatiche      59,546  
2,802   Interpump Group SpA      104,021  
17   Interroll Holding AG, Registered Shares      42,894  
1,300   Iseki & Co., Ltd.      17,488  
3,200   Japan Steel Works, Ltd. (The)      56,202  
885   JOST Werke AG(a)      35,684  
8,700   JTEKT Corp.      68,192  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Machinery, continued

  
2,600   Juki Corp.    $ 11,257  
3,751   Jungheinrich AG      129,390  
555   Kardex Holding AG      102,487  
900   Kato Works Co., Ltd.      9,586  
6,900   Kawasaki Heavy Industries, Ltd.      93,396  
2,997   Kion Group AG      257,353  
400   Kitagawa Iron Works Co., Ltd.      5,534  
1,400   Kito Corp.      16,454  
5,100   Kitz Corp.      28,985  
572   Koenig & Bauer AG*      12,873  
6,700   Komatsu, Ltd.      147,518  
184   Komax Holding AG      31,840  
2,900   Komori Corp.      20,329  
2,802   Kone OYJ, Class B      246,299  
1,994   Konecranes OYJ      62,497  
779   Krones AG      48,374  
6,700   Kubota Corp.      119,872  
2,600   Kurita Water Industries, Ltd.      85,824  
1,000   Kyokuto Kaihatsu Kogyo Co., Ltd.      13,297  
600   Maezawa Kyuso Industries Co., Ltd.      13,112  
1,600   Makino Milling Machine Co., Ltd.      56,125  
600   Makita Corp.      28,622  
586   Manitou Bf SA*      11,280  
800   Max Co., Ltd.      11,995  
2,600   Meidensha Corp.      39,938  
800   Metawater Co., Ltd.      17,438  
22,387   Metso Outotec Oyj      157,185  
7,432   MINEBEA MITSUMI, Inc.      140,241  
900   Misumi Group, Inc.      25,158  
9,000   Mitsubishi Heavy Industries, Ltd.      199,928  
1,000   Mitsubishi Logisnext Co., Ltd.      9,061  
700   Mitsuboshi Belting Co., Ltd.      11,335  
2,900   Mitsui Engineering & Shipbuilding Co., Ltd.*      10,444  
700   Miura Co., Ltd.      34,233  
19,488   Morgan Advanced Materials plc      59,553  
1,500   Morita Holdings Corp.      29,195  
1,700   Nabtesco Corp.      61,950  
1,100   Nachi-Fujikoshi Corp.      38,731  
2,000   Namura Shipbuilding Co., Ltd.      3,043  
4,700   Neles OYJ      63,418  
2,956   NFI Group, Inc.      36,766  
2,500   NGK Insulators, Ltd.      35,675  
1,569   Nilfisk Holding A/S*      18,930  
3,900   Nippon Thompson Co., Ltd.      13,840  
800   Nitta Corp.      17,649  
500   Nitto Kohki Co., Ltd.      9,905  
1,900   Nitto Seiko Co., Ltd.      8,888  
300   Noritake Co., Ltd.      9,428  
1,533   Norma Group SE      47,603  
7,000   NSK, Ltd.      53,586  
14,800   NTN Corp.      27,876  
7,984   OC Oerlikon Corp. AG      63,468  
1,700   Oiles Corp.      24,747  
600   Okuma Corp.      28,195  
400   Organo Corp.      21,693  
3,500   OSG Corp.      56,083  
1,045   Palfinger AG      28,833  
174   Pfeiffer Vacuum Technology AG      36,132  
118   Rational AG      92,531  
70   Rieter Holding AG      6,228  
40,796   Rotork plc      147,647  
1,800   Ryobi, Ltd.      20,230  
2,213   Sandvik AB*      43,187  
284   Schindler Holding AG, Registered Shares      77,285  
Shares             Fair Value    

Common Stocks, continued

  

Machinery, continued

  
539,291   SembCorp Marine, Ltd.*    $ 58,621  
388   SFS Group AG      38,915  
1,000   Shibaura Machine Co., Ltd.      20,767  
1,200   Shima Seiki Manufacturing, Ltd.      18,945  
1,900   Shinmaywa Industries, Ltd.      16,366  
78,000   Singamas Container Holdings, Ltd.      3,138  
2,200   Sintokogio, Ltd.      14,793  
3,528   Skellerup Holdings, Ltd.      6,845  
7,697   SKF AB, Class B      158,678  
100   SMC Corp.      55,664  
2,300   Sodick Co., Ltd.      16,174  
1,700   Spirax-Sarco Engineering plc      241,653  
891   Stabilus SA      52,413  
1,600   Star Micronics Co., Ltd.      21,224  
849   Sulzer AG, Registered Shares      67,995  
3,700   Sumitomo Heavy Industries, Ltd.      86,089  
3,900   Tadano, Ltd.      32,156  
900   Takeuchi Manufacturing Co., Ltd.      17,856  
3,400   Takuma Co., Ltd.      57,914  
478   Technotrans SE*      10,769  
800   Teikoku Electric Manufacturing Co., Ltd.      8,283  
2,900   THK Co., Ltd.      72,768  
3,900   Tocalo Co., Ltd.      41,042  
1,200   Tokyo Keiki, Inc.      10,738  
1,400   Torishima Pump Manufacturing Co., Ltd.      10,860  
7,217   Trelleborg AB*      127,602  
1,098   Troax Group AB      20,656  
2,700   Tsubaki Nakashima Co., Ltd.      20,520  
1,400   Tsubakimoto Chain Co.      32,941  
4,900   Tsugami Corp.^      57,363  
1,200   Tsukishima Kikai Co., Ltd.      14,521  
600   Tsurumi Manufacturing Co., Ltd.      10,393  
5,928   Valmet Corp.      146,750  
803   Vat Group AG(a)      153,555  
1,074   VBG Group AB, Class B*      16,738  
8,722   Vesuvius plc*      44,389  
5,758   Volvo AB, Class A      111,607  
27,553   Volvo AB, Class B      529,422  
689   Vossloh AG*      27,298  
1,416   Wacker Neuson SE*      28,943  
7,232   Wartsila OYJ Abp, Class B      56,899  
560   Washtec AG*      24,354  
4,095   Weir Group plc (The)      65,990  
3,000   Yamabiko Corp.      36,668  
123,200   Yangzijiang Shipbuilding Holdings, Ltd.      89,857  
7,188   Zardoya Otis SA      43,884  
    

 

 

 

       9,894,335  
    

 

 

 

Marine (0.4%):

  
32   A.P. Moeller - Maersk A/S, Class A      46,752  
40   A.P. Moeller - Maersk A/S, Class B      63,430  
1,600   Algoma Central Corp.      12,102  
3,578   American Shipping Co. ASA      11,049  
556   Clarkson plc      16,117  
1,333   D/S Norden A/S      21,643  
1,307   DFDS A/S      43,812  
1,044   Hapag-Lloyd AG^(a)      56,457  
3,300   Iino Kaiun Kaisha, Ltd.      11,748  
9,940   Irish Continental Group*      36,220  
2,300   Japan Transcity Corp.      12,764  
3,000   Kawasaki Kisen Kaisha, Ltd.*      33,479  
947   Kuehne & Nagel International AG, Registered Shares      183,678  
3,800   Mitsui O.S.K. Lines, Ltd.      74,694  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Marine, continued

  
7,000   Nippon Yusen KK    $ 121,370  
600   NS United Kaiun Kaisha, Ltd.      8,230  
246,000   Pacific Basin Shipping, Ltd.      37,906  
65,000   Sitc International Holdings Co., Ltd.      90,327  
1,962   Stolt-Nielsen, Ltd.      17,202  
    

 

 

 

       898,980  
    

 

 

 

Media (1.3%):

  
1,267   4imprint Group plc*      30,565  
5,715   Aimia, Inc.*      16,655  
18,743   Altice Europe NV, Class A*      89,755  
1,460   Altice Europe NV, Class B*      7,013  
65   APG SGA SA      13,053  
14,475   Arnoldo Mondadori Editore SpA*      19,220  
2,124   Ascential plc*(a)      8,020  
4,886   Atresmedia Corp. de Medios de Comuicacion SA      12,915  
1,951   Bloomsbury Publishing plc      4,996  
6,744   Cairo Communication SpA      10,061  
701   Cogeco Communications, Inc.      57,490  
400   Cogeco, Inc.      26,453  
5,394   Corus Entertainment, Inc.      11,708  
1,600   Cyberagent, Inc.      98,966  
3,302   Daily Mail & General Trust plc      27,706  
3,900   Dentsu Group, Inc.      115,251  
3,391   Euromoney Institutional Investor plc      34,926  
8,672   Eutelsat Communications SA      84,248  
1,700   F@n Communications, Inc.      7,816  
2,800   Fuji Media Holdings, Inc.^      27,029  
4,000   Hakuhodo DY Holdings, Inc.      51,698  
8,376   HT&E, Ltd.      8,641  
8,773   Hyve Group plc      7,316  
5,113   Informa plc*      24,786  
2,000   Intage Holdings, Inc.      18,916  
1,711   Ipsos      42,786  
119,144   ITV plc      103,356  
9,582   Ive Group, Ltd.      5,266  
3,439   JCDecaux SA      59,581  
2,300   Kadokawa Corp.      60,845  
2,312   Kin And Carta plc      1,936  
6,412   Lagardere SCA*      158,865  
3,548   Liberty Global plc, Series C*      72,859  
1,449   Liberty Global plc, Class A*      30,443  
1,664   M6 Metropole Television SA*      19,936  
1,300   Macromill, Inc.      9,425  
8,183   Mediaset Espana Comunicacion SA*      30,297  
24,075   Mediaset SpA*      46,166  
3,270   Modern Times Group MTG AB, Class B*      45,752  
80,679   Nine Entertainment Co. Holdings, Ltd.      101,154  
3,035   Nordic Entertainment Group AB, Class B      128,648  
15,502   NOS SGPS SA      55,039  
1,307   NRJ Group*      8,435  
19,083   Ooh!media, Ltd.      16,806  
6,014   Otello Corp. ASA*      10,319  
5,688   Pearson plc      40,220  
3,968   Pearson plc, ADR      28,212  
68,000   PICO Far East Holdings, Ltd.      8,117  
1,300   Proto Corp.      15,713  
6,393   Publicis Groupe SA^      207,150  
4,026   Quebecor, Inc., Class B      100,726  
4,571   RAI Way SpA(a)      29,010  
19,457   Reach plc      19,382  
1,406   RTL Group*      55,366  
4,177   Sanoma OYJ      53,452  
Shares             Fair Value    

Common Stocks, continued

  

Media, continued

  
641   Schibsted ASA, Class A*    $ 28,422  
435   Schibsted ASA, Class B*      17,390  
16,754   SES Global, Class A      118,515  
60,999   Seven West Media, Ltd.*      4,912  
7,456   Shaw Communications, Inc.      136,072  
44,700   Singapore Press Holdings, Ltd.      34,227  
74,550   Sky Network Television, Ltd.*      6,999  
7,900   SKY Perfect JSAT Holdings, Inc.      34,593  
4,175   Societe Television Francaise 1*      25,598  
150,132   Southern Cross Media Group, Ltd.      16,194  
1,167   Stroeer SE & Co. KGaA*      90,806  
1,900   TBS Holdings, Inc.      32,677  
1,294   Telenet Group Holding NV      50,154  
15,000   Television Broadcasts, Ltd.      13,045  
1,400   TV Asahi Holdings Corp.      22,206  
500   TV Tokyo Holdings Corp.      11,409  
232   TX Group AG      16,745  
1,000   ValueCommerce Co., Ltd.      33,697  
500   Wowow, Inc.      13,325  
27,313   WPP Aunz, Ltd.      6,903  
10,008   WPP plc      78,145  
700   Zenrin Co., Ltd.      7,500  
    

 

 

 

       3,179,999  
    

 

 

 

Metals & Mining (5.1%):

  
3,860   Acerinox SA*      31,576  
1,039   Agnico Eagle Mines, Ltd.      82,715  
400   Aichi Steel Corp.      9,900  
17,440   Alamos Gold, Inc., Class A      153,651  
2,200   Altius Minerals Corp.      16,012  
48,066   Alumina, Ltd.      47,918  
723   Amg Advanced Metallurgical Group N.V.      11,962  
4,799   Anglo American plc      115,867  
4,749   Antofagasta plc      62,602  
2,880   Aperam SA      81,124  
4,677   ArcelorMittal*      62,365  
12,400   Argonaut Gold, Inc.*      25,053  
1,100   Asahi Holdings, Inc.      35,724  
63,720   Aurelia Metals, Ltd.      22,903  
1,731   Aurubis AG      117,901  
47,615   B2Gold Corp.      310,066  
5,920   Barrick Gold Corp.      166,297  
1,875   Bekaert NV      38,998  
2,256   BHP Group, Ltd., ADR      116,658  
35,937   BHP Group, Ltd.      924,568  
15,819   Billiton plc, ADR      674,839  
11,330   BlueScope Steel, Ltd.      103,408  
4,606   Boliden AB      137,003  
17,700   Capstone Mining Corp.*      19,277  
73,572   Centamin plc      191,675  
8,200   Centerra Gold, Inc.      95,402  
4,374   Central Asia Metals plc      9,084  
16,254   China Gold International Resources Corp., Ltd.*      18,923  
1,300   Daido Steel Co., Ltd.      40,457  
2,700   Daiki Aluminium Industry Co., Ltd.      14,370  
1,900   DOWA Mining Co.      55,865  
10,500   Dundee Precious Metals, Inc.      75,237  
4,662   Eldorado Gold Corp.*      49,197  
5,905   Endeavour Mining Corp.*      147,026  
1,456   Equinox Gold Corp.*      17,005  
539   Eramet*      13,631  
2,899   Ero Copper Corp.*      42,263  
28,784   Evolution Mining, Ltd.      119,476  
16,814   EVRAZ plc      74,957  
22,438   Ferrexpo plc      51,054  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Metals & Mining, continued

  
24,023   First Quantum Minerals, Ltd.    $ 214,175  
31,593   Fortescue Metals Group, Ltd.      369,746  
5,947   Fortuna Silver Mines, Inc.*      37,833  
327   Franco Nevada Corp.      45,643  
4,271   Fresnillo plc      65,852  
21,419   Galaxy Resources, Ltd.*      17,474  
8,215   Galiano Gold, Inc.*      11,291  
119,817   Glencore plc*      248,180  
1,100   Godo Steel, Ltd.      21,089  
4,758   Granges AB      42,583  
18,140   Highland Gold Mining, Ltd.      69,923  
4,214   Hill & Smith Holdings plc      64,672  
3,000   Hitachi Metals, Ltd.      46,124  
15,125   Hochschild Mining plc*      42,660  
12,495   Hudbay Minerals, Inc.      52,837  
15,631   IAMGOLD Corp.*      59,993  
17,091   IGO, Ltd.      51,469  
5,323   Iluka Resources, Ltd.      34,468  
14,498   Imdex, Ltd.      13,994  
22,146   Ivanhoe Mines, Ltd., Class A*      80,507  
9,400   JFE Holdings, Inc.*      65,752  
50,009   Jupiter Mines, Ltd.      10,067  
14,214   KAZ Minerals plc      95,968  
75,608   Kinross Gold Corp.*      667,263  
8,443   Kirkland Lake Gold, Ltd.      412,194  
10,600   Kobe Steel, Ltd.*      40,367  
1,800   Kyoei Steel, Ltd.      23,115  
800   Labrador Iron Ore Royalty Corp.      15,436  
14,207   Lucara Diamond Corp.*      5,335  
19,726   Lundin Mining Corp.      110,083  
30,444   Lynas Corp., Ltd.*      50,740  
11,288   MACA, Ltd.      6,723  
48,387   Macmahon Holdings, Ltd.      8,876  
4,545   Major Drilling Group International, Inc.*      24,340  
1,400   Maruichi Steel Tube, Ltd.      35,018  
176,000   Midas Holdings, Ltd.*      4,643  
10,123   Mineral Resources, Ltd.      181,017  
3,300   Mitsubishi Materials Corp.      65,161  
500   Mitsubishi Steel Manufacturing Co., Ltd.*      2,734  
3,300   Mitsui Mining & Smelting Co., Ltd.      80,218  
26,154   Mount Gibson Iron, Ltd.      13,625  
2,200   Neturen Co., Ltd.      11,144  
27,410   New Gold, Inc.*      46,733  
5,067   Newcrest Mining, Ltd.      114,182  
6,200   Nippon Denko Co., Ltd.*      12,522  
3,700   Nippon Light Metal Holdings Co.      58,584  
16,595   Nippon Steel Corp.*      156,762  
930   Nippon Yakin Kogyo Co., Ltd.      13,753  
200   Nittetsu Mining Co., Ltd.      8,847  
12,148   Norsk Hydro ASA*      33,457  
13,476   Northern Star Resources, Ltd.      132,482  
43,028   OceanaGold Corp.*      66,252  
21,175   OM Holdings, Ltd.      4,847  
20,038   Orocobre, Ltd.*      36,165  
500   Osaka Steel Co., Ltd.      5,011  
3,192   Osisko Gold Royalties, Ltd.      37,760  
10,428   Outokumpu OYJ*      27,872  
10,477   OZ Minerals, Ltd.      106,591  
900   Pacific Metals Co., Ltd.      13,451  
1,217   Pan American Silver Corp.      39,132  
14,658   Pan American Silver Corp. - CVR*      11,432  
33,353   Perenti Global, Ltd.      27,472  
73,744   Perseus Mining, Ltd.*      72,718  
176,214   Petropavlovsk plc*      74,599  
Shares             Fair Value    

Common Stocks, continued

  

Metals & Mining, continued

  
9,700   Premier Gold Mines, Ltd.*    $ 18,651  
5,733   Pretium Resources, Inc.*      73,374  
23,878   Ramelius Resources, Ltd.      35,694  
25,382   Regis Resources, Ltd.      91,609  
47,236   Resolute Mining, Ltd.*      31,663  
550   Rio Tinto plc      33,180  
13,055   Rio Tinto plc, Registered Shares, ADR      788,392  
4,167   Rio Tinto, Ltd.      282,063  
6,000   Sabina Gold & Silver Corp.*      11,627  
2,148   Salzgitter AG*      35,446  
11,858   Sandfire Resources, Ltd.      34,767  
4,142   Sandstorm Gold, Ltd.*      34,968  
1,600   Sanyo Special Steel Co., Ltd.*      15,282  
38,220   Saracen Mineral Holdings, Ltd.*      142,248  
21,718   Schmolz + Bickenbach AG*      3,949  
32,896   Silver Lake Resources, Ltd.*      54,830  
12,294   Sims, Ltd.      67,008  
52,227   South32, Ltd.      76,564  
4,092   SSAB AB, Class A*      13,589  
24,187   SSAB AB, Class B*      77,159  
10,349   SSR Mining, Inc.*      193,160  
28,999   St. Barbara, Ltd.      62,243  
11,400   Straits Trading Co., Ltd.      12,576  
3,100   Sumitomo Metal & Mining Co., Ltd.      95,976  
17,269   Syrah Resources, Ltd.*      5,734  
10,787   Teck Cominco, Ltd., Class B      150,211  
1,985   Teck Resources, Ltd., Class B      27,631  
9,775   Teranga Gold Corp.*      103,080  
3,912   ThyssenKrupp AG*^      19,769  
1,900   Toho Titanium Co., Ltd.      12,208  
700   Toho Zinc Co., Ltd.      13,433  
1,100   Tokyo Rope Manufacturing Co. Ltd.      5,447  
5,300   Tokyo Steel Manufacturing Co., Ltd.^      36,101  
1,300   Topy Industries, Ltd.*      14,145  
4,685   Torex Gold Resources, Inc.*      66,260  
9,694   Trevali Mining Corp.*      983  
33,241   Turquoise Hill Resources, Ltd.*      28,213  
1,500   UACJ Corp.      24,708  
4,420   Voestalpine AG      116,185  
4,200   Wesdome Gold Mines, Ltd.*      39,653  
14,139   Western Areas, Ltd.      20,823  
12,851   Westgold Resources, Ltd.*      21,925  
519   Wheaton Precious Metals Corp.      25,467  
1,402   Wheaton Precious Metals Corp.      68,796  
42,447   Yamana Gold, Inc.      241,343  
1,600   Yamato Kogyo Co., Ltd.      39,187  
800   Yodogawa Steel Works, Ltd.      14,302  
    

 

 

 

       12,386,587  
    

 

 

 

Multiline Retail (0.6%):

  
40,020   B&M European Value Retail SA      254,593  
247   Canadian Tire Corp., Class A      24,882  
2,909   Dollarama, Inc.      111,518  
15,946   Europris ASA(a)      82,062  
500   Fuji Co., Ltd./Ehime      9,004  
3,300   H2O Retailing Corp.^      21,492  
15,674   Harvey Norman Holdings, Ltd.      50,972  
6,800   Isetan Mitsukoshi Holdings, Ltd.      36,073  
1,800   Izumi Co., Ltd.      65,606  
6,000   J. Front Retailing Co., Ltd.      43,381  
400   Kintetsu Department Store Co., Ltd.      12,402  
24,500   Lifestyle International Holdings, Ltd.*      20,039  
73,250   Marks & Spencer Group plc      91,707  
1,300   Marui Group Co., Ltd.      24,941  
30,000   Metro Holdings, Ltd.      15,168  
47,139   Myer Holdings, Ltd.*      7,185  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Multiline Retail, continued

  
1,643   Next plc    $ 125,892  
3,600   Pan Pacific International Holdings Corp.      83,875  
4,800   Ryohin Keikaku Co., Ltd.      79,741  
600   Sanyo Electric Railway Co., Ltd.      12,562  
1,000   Seria Co., Ltd.      42,615  
6,000   Takashimaya Co., Ltd.      47,526  
3,557   Tokmanni Group Corp.      62,761  
4,000   Wing On Company International, Ltd.      8,822  
    

 

 

 

       1,334,819  
    

 

 

 

Multi-Utilities (0.7%):

  
3,187   Acea SpA      67,028  
5,070   AGL Energy, Ltd.      49,538  
4,475   Algonquin Power & Utilities Corp.      65,004  
805   Atco, Ltd.^      23,272  
1,466   Canadian Utilities, Ltd., Class A      34,971  
253,408   Centrica plc      130,804  
5,904   E.ON SE      65,223  
17,405   Engie Group      232,597  
5,714   Hera SpA      21,120  
11,786   Iren SpA      30,299  
33,157   ITL AEM SpA      48,166  
110,123   Keppel Infrastructure Trust      44,148  
4,048   National Grid plc, ADR      233,934  
11,914   Ren - Redes Energeticas Nacion      33,040  
8,606   RWE AG      322,611  
7,455   Suez      137,993  
3,114   Telecom Plus plc      53,574  
6,009   Vector, Ltd.      17,063  
5,040   Veolia Environnement SA      108,679  
    

 

 

 

       1,719,064  
    

 

 

 

Oil, Gas & Consumable Fuels (3.7%):

  
9,181   Advantage Oil & Gas, Ltd.*      12,068  
24,155   Africa Oil Corp.*      17,417  
2,005   Aker BP ASA      31,293  
11,746   Ampol, Ltd.      201,981  
7,200   Anglo Pacific Group plc      11,775  
13,244   ARC Resources, Ltd.      59,187  
18,809   Athabasca Oil Corp.*      1,837  
2,064   Baytex Energy Corp.*      728  
25,572   Baytex Energy Corp.*      8,835  
103,499   Beach Energy, Ltd.      99,046  
17,741   Birchcliff Energy, Ltd.      20,387  
33,110   BP plc, ADR      578,101  
173,000   Brightoil Petroleum Holdings, Ltd.*      6,279  
610   BW Energy, Ltd.*      1,093  
2,656   BW LPG, Ltd.(a)      11,009  
26,063   Cairn Energy plc*      48,166  
5,227   Cameco Corp.      52,793  
9,946   Cameco Corp.      100,476  
13,900   Canacol Energy, Ltd.      36,958  
16,028   Canadian Natural Resources, Ltd.      256,608  
30,759   Canadian Natural Resources, Ltd.      493,014  
3,012   Cardinal Energy, Ltd.      984  
7,600   Cenovus Energy, Inc.      29,626  
11,375   Cenovus Energy, Inc.      44,249  
13,100   China Aviation Oil Singapore Corp., Ltd.      8,934  
40,015   Cooper Energy, Ltd.*      10,049  
3,700   Cosmo Energy Holdings Co., Ltd.      52,961  
8,781   Crescent Point Energy      10,713  
7,561   Crescent Point Energy Corp.      9,143  
8,223   Crew Energy, Inc.*      2,100  
854   CropEnergies AG      14,830  
252   Delek Group, Ltd.*      4,869  
39,162   DNO ASA      19,299  
Shares             Fair Value    

Common Stocks, continued

  

Oil, Gas & Consumable Fuels, continued

  
7,379   Enagas SA    $ 169,983  
7,622   Enbridge, Inc.      222,695  
31,200   ENEOS Holdings, Inc.      111,429  
17,700   Enerplus Corp.      32,438  
23,615   ENI SpA      184,714  
114,028   EnQuest plc*      15,335  
19,194   Equinor ASA      271,030  
1,004   Equital, Ltd.*      18,088  
1,390   Etablissements Maurel et Prom SA*      2,402  
9,112   Euronav NV      80,594  
1,579   Exmar NV*      3,922  
1,267   FLEX LNG, Ltd.^      7,186  
3,700   Freehold Royalties, Ltd.      10,255  
1,400   Frontera Energy Corp.      2,240  
3,784   Frontline, Ltd.      25,465  
3,100   Fuji Oil Co., Ltd.      5,251  
4,922   Galp Energia SGPS SA      45,617  
891   Gaztransport et Technigaz SA      84,912  
6,249   Genel Energy plc      9,734  
7,750   Gibson Energy, Inc.      125,616  
19,607   Gran Tierra Energy, Inc.*      4,565  
18,883   Gulf Keystone Petroleum, Ltd.*      17,948  
4,281   Hoegh Lng Holdings, Ltd.      4,578  
11,767   Husky Energy, Inc.      27,221  
3,200   Idemitsu Kosan Co., Ltd.      68,187  
3,270   Imperial Oil, Ltd.      39,150  
1,542   Imperial Oil, Ltd.      18,442  
28,800   INPEX Corp.      154,095  
12,682   Inter Pipeline, Ltd.      124,496  
2,244   International Petroleum Corp.*      4,146  
3,600   Itochu Enex Co., Ltd.      33,098  
1,000   Japan Petroleum Exploration Co., Ltd.      15,545  
24,713   Karoon Energy, Ltd.*      13,792  
7,300   Kelt Exploration, Ltd.*      7,841  
7,446   Keyera Corp.      112,411  
3,082   Koninklijke Vopak NV      173,618  
2,011   Lundin Energy AB      39,848  
10,707   MEG Energy Corp.*      22,276  
1,700   Mitsuuroko Holdings Co., Ltd.      21,881  
1,502   Naphtha Israel Petroleum Corp.*      5,712  
5,006   Neste Oyj      263,202  
14,065   New Hope Corp., Ltd.^      13,046  
7,392   New Zealand Refining Co., Ltd. (The)*      2,982  
64,000   NewOcean Energy Holdings, Ltd.*      5,711  
21,200   Nippon Coke & Engineering Co., Ltd.      12,510  
7,654   Nuvista Energy, Ltd.*      3,679  
104,047   Oil Refineries, Ltd.      18,543  
29,438   Oil Search, Ltd.      55,898  
2,596   OMV AG*      70,908  
12,681   Origin Energy, Ltd.      39,204  
211   Ovintiv, Inc.      1,722  
2,632   Ovintiv, Inc.      21,528  
7,550   Painted Pony Energy, Ltd.*      3,884  
1,307   Paramount Resouces, Ltd., Class A*      2,042  
7,663   Parex Resources, Inc.*      80,751  
5,800   Parkland Corp.      153,386  
493   Paz Oil Co., Ltd.      38,735  
6,783   Pembina Pipeline Corp.      143,974  
1,584   Pembina Pipeline Corp.      33,628  
6,660   Peyto Exploration & Development Corp.      12,456  
12,892   Pharos Energy plc*      1,749  
5,032   Prairiesky Royalty, Ltd.      31,407  
61,033   Premier Oil plc*      13,038  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Oil, Gas & Consumable Fuels, continued

  
19,231   Repsol SA    $ 128,432  
32,725   Royal Dutch Shell plc, Class B, ADR      792,601  
1,600   Sala Corp.      9,024  
4,000   San-Ai Oil Co., Ltd.      38,151  
42,733   Santos, Ltd.      149,934  
27,521   Saras SpA*      14,358  
36,000   Savannah Energy plc*      4,880  
59,700   Senex Energy, Ltd.*      13,823  
8,575   Serica Energy plc      10,588  
13,762   Seven Generations Energy*      37,108  
400   Sinanen Holdings Co., Ltd.      12,088  
24,674   Snam SpA      126,853  
13,802   Stobart Group, Ltd.*      3,483  
18,111   Suncor Energy, Inc.      221,498  
15,784   Suncor Energy, Inc.      192,765  
16,600   Tamarack Valley Energy, Ltd.*      8,977  
3,152   TC Energy Corp.      132,447  
7,061   TC Energy Corp.      296,462  
13,400   Tidewater Midstream and Infrastructure, Ltd.      7,951  
8,990   Torc Oil & Gas, Ltd.      9,588  
1,559   Torm plc      10,556  
18,592   TOTAL SE      638,241  
11,630   Tourmaline Oil Corp.      142,121  
6,518   TransGlobe Energy Corp.*      2,497  
103,509   Tullow Oil plc*      20,266  
3,072   Verbio Vereinigte Bioenergie AG      67,198  
5,883   Vermilion Energy, Inc.      13,742  
29,887   Viva Energy Group, Ltd.(a)      34,384  
12,328   Whitecap Resources, Inc.      22,408  
31,393   Whitehaven Coal, Ltd.      23,575  
2,728   Woodside Petroleum, Ltd.      34,450  
12,631   Z Energy, Ltd.      22,949  
    

 

 

 

       8,861,945  
    

 

 

 

Paper & Forest Products (0.7%):

  
1,344   Ahlstrom-Munksjo OYJ      28,323  
2,718   Altri SGPS SA      11,922  
5,029   Canfor Corp.*      56,621  
2,751   Canfor Pulp Products, Inc.      10,311  
1,300   Chuetsu Pulp & Paper Co., Ltd.      18,862  
600   Daiken Corp.      10,492  
4,500   Daio Paper Corp.      64,192  
11,027   Ence Energia y Celulosa S.A*      28,190  
6,700   Hokuetsu Corp.      23,012  
2,077   Holmen AB, Class B      77,218  
4,627   Interfor Corp.*      51,712  
5,272   Metsa Board OYJ      43,498  
7,408   Mondi plc      155,876  
15,833   Navigator Co. SA (The)      39,395  
4,800   Nippon Paper Industries Co., Ltd.^      59,529  
1,028   Norbord, Inc.      30,383  
31,700   Oji Holdings Corp.      145,502  
1,598   Semapa-Sociedade de Investimento E Gestao      14,290  
1,998   Stella-Jones, Inc.      67,680  
11,332   Stora Enso OYJ, Registered Shares, Class R      177,558  
10,437   Svenska Cellulosa AB SCA, Class B*      143,125  
600   Tokushu Tokai Paper Co., Ltd.      28,443  
7,786   UPM-Kymmene OYJ      236,945  
1,416   West Fraser Timber Co., Ltd.      65,791  
24,618   Western Forest Products, Inc.      18,675  
    

 

 

 

       1,607,545  
    

 

 

 

Personal Products (0.8%):

  
18,108   Asaleo Care, Ltd.      13,050  
287   Beiersdorf AG      32,633  
Shares             Fair Value    

Common Stocks, continued

  

Personal Products, continued

  
16,000   Best World International, Ltd.    $ 2,964  
535   Blackmores, Ltd.*      24,216  
800   Fancl Corp.      26,164  
1,514   Jamieson Wellness, Inc.      47,942  
3,900   Kao Corp.      292,698  
200   Kose Corp.      24,457  
705   L’Oreal SA      229,380  
400   Milbon Co., Ltd.      21,365  
1,000   Noevir Holdings Co., Ltd.      46,789  
2,645   Ontex Group NV*      34,542  
2,200   Shiseido Co., Ltd.      126,255  
9,464   Unilever NV, NYS      571,626  
958   Unilever NV      57,828  
366   Unilever plc      22,548  
4,976   Unilever plc, ADR      306,919  
1,300   Ya-Man, Ltd.      19,388  
    

 

 

 

       1,900,764  
    

 

 

 

Pharmaceuticals (4.1%):

  
172   Alk-Abello A/S*      56,727  
15,687   Alliance Pharma plc      14,978  
1,908   Almirall SA      21,383  
1,900   Aska Pharmaceutical Co., Ltd.      25,721  
16,400   Astellas Pharma, Inc.      244,173  
15,563   AstraZeneca plc, ADR      852,853  
491   Aurora Cannabis, Inc.*      2,286  
1,145   Bausch Health Cos., Inc.*      17,793  
6,200   Bausch Health Cos., Inc.*      96,395  
10,652   Bayer AG, Registered Shares      665,675  
693   Boiron SA      33,189  
1,600   Canopy Growth Corp.*      22,942  
1,200   Chugai Pharmaceutical Co., Ltd.      53,857  
411   COSMO Pharmaceuticals NV*^      39,142  
900   Daiichi Sankyo Co., Ltd.      27,660  
700   Eisai Co., Ltd.      63,885  
10,617   Faes Farma SA      42,773  
700   Fuji Pharma Co., Ltd.      8,446  
500   Fuso Pharmaceutical Industries. Ltd.      13,816  
1,668   Galenica AG(a)      116,291  
3,801   GlaxoSmithKline plc      71,186  
14,120   GlaxoSmithKline plc, ADR      531,477  
1,384   H. Lundbeck A/S      45,632  
4,800   Haw Par Corp., Ltd.      32,724  
1,551   Hikma Pharmaceuticals plc      51,939  
26,202   Indivior plc*      39,581  
701   Ipsen SA      73,534  
98,000   Jacobson Pharma Corp., Ltd.      14,689  
1,000   Kaken Pharmaceutical Co., Ltd.      45,924  
1,000   Kissei Pharmaceutical Co., Ltd.      22,579  
1,100   Kyowa Kirin Co., Ltd.      31,249  
98,378   Mayne Pharma Group, Ltd.*      27,858  
3,200   Nichi-Iko Pharmaceutical Co., Ltd.      36,671  
13,596   Novartis AG, Registered Shares      1,181,830  
16,888   Novo Nordisk A/S, Class B      1,173,310  
1,000   Ono Pharmaceutical Co., Ltd.      31,399  
1,037   Orion OYJ      47,096  
4,471   Orion OYJ, Class B      202,314  
2,000   Otsuka Holdings Co., Ltd.      84,833  
2,424   Recipharm AB*      42,116  
3,141   Recordati SpA      160,679  
216   Roche Holding AG      74,166  
5,605   Roche Holding AG      1,918,143  
2,000   Rohto Pharmaceutical Co., Ltd.      65,779  
4,419   Sanofi      443,034  
1,600   Santen Pharmaceutical Co., Ltd.      32,813  
800   Sawai Pharmaceutical Co., Ltd.      40,392  
1,300   Seikagaku Corp.      13,693  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Pharmaceuticals, continued

  
1,000   Shionogi & Co., Ltd.    $ 53,509  
3,200   Sumitomo Dainippon Pharma Co., Ltd.      42,144  
800   Taisho Pharmaceutical Holdings Co., Ltd.      52,768  
7,400   Takeda Pharmacuetical Co., Ltd.      263,639  
4,979   Teva Pharmaceutical Industries, Ltd., ADR*      44,861  
3,519   Teva Pharmaceutical Industries, Ltd.*      31,872  
800   Torii Pharmaceutical Co., Ltd.      22,801  
1,200   Towa Pharmaceutical Co., Ltd.      24,116  
1,400   Tsumura & Co.      43,883  
766   UCB SA      86,977  
26,000   United Laboratories International Holdings, Ltd.      26,853  
34,791   Vectura Group plc*      46,270  
209   Vetoquinol SA      17,129  
1,667   Vifor Pharma AG      226,987  
146   Virbac SA*      33,834  
    

 

 

 

       9,974,268  
    

 

 

 

Professional Services (2.2%):

  
4,336   Adecco SA, Registered Shares      229,198  
2,215   AF Poyry AB      62,737  
1,278   Akka Technologies SA*      24,829  
7,788   ALS, Ltd.      51,497  
770   Altech Corp.      15,025  
240   Amadeus Fire AG*      29,878  
9,096   Applus Services SA      67,935  
600   Baycurrent Consulting, Inc.      83,833  
1,800   Benefit One, Inc.      45,442  
1,800   BeNEXT Group Inc.      19,417  
372   Bertrandt AG      14,088  
7,058   Bureau Veritas SA      158,510  
26,624   Capita plc*      10,431  
180   Danel Adir Yeoshua, Ltd.      20,820  
1,879   DKSH Holding, Ltd.      131,024  
900   EN-Japan, Inc.      22,681  
9,003   Experian plc      336,836  
1,200   FULLCAST Holdings Co., Ltd.      19,601  
900   Funai Soken Holdings, Inc.      21,230  
175   Groupe Crit      10,373  
76,397   Hays plc      110,381  
2,680   Intertek Group plc      217,957  
3,227   Intertrust NV(a)      54,948  
500   IR Japan Holdings, Ltd.      63,339  
1,000   Jac Recruitment Co., Ltd.      12,524  
5,154   McMillan Shakespeare, Ltd.      30,399  
1,100   Meitec Corp.      56,067  
1,497   Morneau Shepell, Inc.      31,258  
2,500   Nihon M&A Center, Inc.      142,623  
3,600   Nomura Co., Ltd.      26,727  
3,000   Outsourcing, Inc.      27,822  
18,606   Pagegroup plc*      89,696  
2,000   Pasona Group, Inc.      30,487  
8,000   Persol Holdings Co., Ltd.      130,139  
5,064   Randstad NV      264,206  
9,800   Recruit Holdings Co., Ltd.      388,893  
5,236   RELX plc, ADR      117,129  
7,938   RELX plc      175,674  
2,833   Ricardo plc      12,121  
6,390   Robert Walters plc      32,561  
1,561   Seek, Ltd.      23,874  
91   SGS SA, Registered Shares      243,981  
2,400   SMS Co., Ltd.      69,875  
2,421   Stantec, Inc.      73,453  
1,400   Stantec, Inc.      42,513  
Shares             Fair Value    

Common Stocks, continued

  

Professional Services, continued

  
7,669   SThree plc    $ 23,712  
1,100   Tanseisha Co., Ltd.      7,426  
1,200   Technopro Holdings, Inc.      74,216  
1,377   Teleperformance      424,014  
2,878   Thomson Reuters Corp.      229,578  
1,065   Tinexta SpA*      20,692  
1,100   UT Group Co., Ltd.*      37,499  
6,536   Wolters Kluwer NV      557,948  
600   YAMADA Consulting Group Co., Ltd.      6,874  
3,100   Yumeshin Holdings Co., Ltd.      20,225  
    

 

 

 

       5,246,216  
    

 

 

 

Real Estate Management & Development (2.7%):

  
2,434   ADO Properties SA(a)      67,448  
3,100   AEON Mall Co., Ltd.      43,583  
2,292   Airport City, Ltd.*      23,905  
2,300   Airport Facilities Co., Ltd.      10,143  
764   Allreal Holding AG      164,729  
1,972   Alony Hetz Properties & Invest      19,348  
492   Alrov Properties And Lodgings, Ltd.*      14,222  
700   Altus Group, Ltd.      29,090  
2,393   Amot Investments, Ltd.      10,929  
7,879   Aroundtown SA      39,599  
28,100   Ascendas India Trust      28,276  
2,512   Ashtrom Properties, Ltd.      10,906  
46,000   Asia Standard International Group, Ltd.*      5,005  
3,271   Atrium European Real Estate, Ltd.      9,116  
2,076   Atrium Ljungberg AB, Class B      33,971  
45   Bayside Land Corp.      25,973  
210   Big Shopping Centers, Ltd.*      15,589  
3,700   Bukit Sembawang Estates, Ltd.      9,765  
1,686   CA Immobilien Anlagen AG      49,900  
18,900   CapitaLand, Ltd.      37,773  
2,300   Castellum AB      52,332  
1,089   Catena AB      48,155  
2,794   Cedar Woods Properties, Ltd.      11,520  
18,000   Chinese Estates Holdings, Ltd.      9,895  
41,300   Chip Eng Seng Corp., Ltd.      13,242  
52,000   Chuang’s Consortium International, Ltd.      6,268  
7,300   City Developments, Ltd.      41,068  
1,684   Citycon OYJ^      13,253  
39,930   CK Asset Holdings, Ltd.      194,828  
3,803   CLS Holdings plc      10,437  
1,625   Colliers International Group      108,371  
741   Corestate Capital Holding SA      14,521  
340,000   CSI Properties, Ltd.      10,213  
1,700   Daibiru Corp.      19,744  
1,200   Daito Trust Construction Co., Ltd.      106,409  
11,500   Daiwa House Industry Co., Ltd.      295,516  
887   Deutsche Euroshop AG*      11,020  
3,980   Deutsche Wohnen SE      199,121  
2,618   Dic Asset AG      31,469  
2,651   Dios Fastigheter AB      18,792  
1,450   DREAM Unlimited Corp.      21,183  
34,000   Emperor International Holdings      5,109  
2,667   Entra ASA(a)      37,596  
3,263   Fabege AB      45,269  
68,000   Far East Consortium International, Ltd.      19,048  
687   Fastighets AB Balder*      34,907  
1,147   FirstService Corp.      151,279  
11,092   Foxtons Group plc*      5,291  
16,000   Frasers Property, Ltd.      13,670  
1,100   Goldcrest Co., Ltd.      14,399  
17,039   Grainger plc      65,204  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  
Real Estate Management & Development, continued   
2,677   Grand City Properties SA    $ 64,680  
10,000   Great Eagle Holdings, Ltd.      22,798  
17,100   GuocoLand, Ltd.      18,856  
28,000   Hang Lung Group, Ltd.      63,817  
24,984   Hang Lung Properties, Ltd.      63,712  
1,200   Heiwa Real Estate Co., Ltd.      33,119  
5,154   Helical plc      19,682  
27,706   Henderson Land Development Co., Ltd.      102,215  
37,840   HKR International, Ltd.      15,217  
9,400   Ho Bee Land, Ltd.      15,418  
18,500   Hong Fok Corp., Ltd.      8,405  
21,600   Hongkong Land Holdings, Ltd.      80,443  
2,049   Hufvudstaden AB      28,562  
3,000   Hulic Co., Ltd.      28,142  
11,000   Hysan Development Co., Ltd.      32,914  
12,900   Ichigo, Inc.      37,550  
242   Immobel SA      18,532  
2,353   IMMOFINANZ AG*      37,231  
1,754   Instone Real Estate Group AG*(a)      40,698  
29   Intershop Holdings AG      18,734  
2,000   Invesque, Inc.      4,040  
164   Investis Holding SA      15,851  
25,000   K Wah International Holdings Ltd.      12,051  
2,000   Katitas Co., Ltd.      56,781  
8,200   Kenedix, Inc.      43,253  
22,225   Kerry Properties, Ltd.      56,791  
21,647   Klovern AB      39,879  
3,150   Kojamo Oyj      67,629  
26,000   Kowloon Development Co., Ltd.      31,745  
3,796   Kungsleden AB      36,042  
11,400   Lai Sun Development Co., Ltd.      10,287  
112,800   Landing International Development, Ltd.*      3,450  
44,500   Langham Hospitality Investment      5,487  
1,157   LEG Immobilien AG      165,144  
7,615   Lend Lease Group      60,304  
8,000   Liu Chong Hing Investment, Ltd.      6,503  
4,644   LSL Property Services plc*      12,968  
578   Melisron, Ltd.      18,593  
59,000   Mingfa Group International Co., Ltd.*      429  
4,800   Mitsubishi Estate Co., Ltd.      72,558  
4,100   Mitsui Fudosan Co., Ltd.      71,423  
9,306   Mivne Real Estate KD, Ltd.      17,302  
255   Mobimo Holding AG, Registered Shares      74,910  
100   Morguard Corp.      7,874  
15,087   New World Development Co., Ltd.      73,450  
2,193   Nexity SA      66,741  
800   Nippon Commercial Development Co., Ltd.      12,830  
1,700   Nisshin Group Holdings Co., Ltd.      6,746  
3,200   Nomura Real Estate Holdings, Inc.      60,874  
3,463   Nyfosa AB*      30,750  
1,024   Olav Thon Eiendomsselskap ASA*      15,260  
1,700   Open House Co., Ltd.      61,411  
17,900   Oue, Ltd.      15,517  
50,363   Oxley Holdings, Ltd.      7,967  
25,656   Pacific Century Premium Developments, Ltd.*      6,749  
1,449   PATRIZIA AG      39,518  
1,195   Platzer Fastigheter Holding AB, Class B      12,423  
94   Plazza AG      28,992  
2,600   Polytec Asset Holdings, Ltd.      222  
Shares             Fair Value    

Common Stocks, continued

  
Real Estate Management & Development, continued   
31,000   Prospect Co., Ltd.    $ 10,626  
948   PSP Swiss Property AG      114,698  
700   Raysum Co., Ltd.      6,247  
3,244   Real Matters, Inc.*      63,228  
2,300   Relo Group, Inc.      55,139  
977   Sagax AB, Class B      17,112  
24,202   Samhallsbyggnadsbolaget i Norden AB^      73,393  
1,200   SAMTY Co., Ltd.      18,044  
9,123   Savills plc*      91,784  
1,875   Selvaag Bolig ASA      10,416  
2,600   Shinoken Group Co., Ltd.      24,269  
795   Shurgard Self Storage SA      34,669  
100,800   Sinarmas Land, Ltd.      12,072  
34,825   Sino Land Co., Ltd.      40,530  
5,000   Soundwill Holdings, Ltd.      4,408  
8,938   St. Modwen Properties plc      35,934  
1,900   Sumitomo Realty & Development Co., Ltd.      56,220  
1,493   Summit Real Estate Holdings, Ltd.      12,906  
1,800   Sun Frontier Fudousan Co., Ltd.      15,080  
5,921   Sun Hung Kai Properties, Ltd.      75,909  
10,646   Swire Pacific, Ltd., Class A      51,624  
17,500   Swire Pacific, Ltd., Class B      14,538  
13,600   Swire Properties, Ltd.      35,936  
2,643   Swiss Prime Site AG      239,949  
1,994   TAG Immobilien AG      60,166  
21,000   TAI Cheung Holdings, Ltd.      12,585  
4,200   Takara Leben Co., Ltd.      12,436  
28,153   The Wharf Holdings, Ltd.      56,265  
4,500   Toc Co., Ltd.      27,880  
6,400   Tokyo Tatemono Co., Ltd.      78,341  
9,000   Tokyu Fudosan Holdings Corp.      38,752  
2,400   Tosei Corp.      22,391  
2,676   Tricon Residential, Inc.      22,189  
6,860   U & I Group plc      4,765  
213   UBM Development AG      7,725  
16,200   UOL Group, Ltd.      79,366  
6,670   Urban & Civic plc      18,116  
2,545   Vonovia SE      174,867  
3,228   Wallenstam AB      49,218  
6   Warteck Invest AG      14,922  
6,203   Watkin Jones plc      11,291  
22,829   Wharf Real Estate Investment Co., Ltd.      93,456  
2,034   Wihlborgs Fastigheter AB      40,304  
20,700   Wing Tai Holdings, Ltd.      26,404  
16,000   Wing Tai Properties, Ltd.      7,730  
17   Zug Estates Holding AG      36,828  
    

 

 

 

       6,370,596  
    

 

 

 

Road & Rail (1.4%):

  
8,566   A2B Australia, Ltd.      6,696  
52,525   Aurizon Holdings, Ltd.      160,245  
5,353   Canadian National Railway Co.      569,880  
400   Canadian National Railway Co.      42,605  
1,009   Canadian Pacific Railway, Ltd.      307,170  
800   Central Japan Railway Co.      114,791  
1,200   Chilled & Frozen Logistics Holdings Co., Ltd.      20,339  
52,900   ComfortDelGro Corp., Ltd.      55,025  
502   DSV PANALPINA A/S      81,938  
1,700   East Japan Railway Co.      104,765  
8,727   Europcar Mobility Group*^(a)      7,544  
64,976   FirstGroup plc*      31,990  
1,500   Fukuyama Transporting Co., Ltd.      73,246  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Road & Rail, continued

  
4,083   Go-Ahead Group plc    $ 30,568  
1,000   Hamakyorex Co., Ltd.      30,314  
2,400   Hankyu Hanshin Holdings, Inc.      77,218  
2,200   Hitachi Transport System, Ltd.      69,862  
1,100   Ichinen Holdings Co., Ltd.      13,181  
206   Jungfraubahn Holding AG, Registered Shares      25,824  
2,500   Keikyu Corp.      38,405  
700   Keio Corp.      43,293  
1,200   Keisei Electric Railway Co., Ltd.      33,929  
1,500   Kintetsu Group Holdings Co., Ltd.      63,999  
400   Maruzen Showa Unyu Co., Ltd.      13,642  
7,711   MTR Corp., Ltd.      38,269  
1,900   Nagoya Railroad Co., Ltd.      52,071  
2,400   Nankai Electric Railway Co., Ltd.      53,217  
29,502   National Express Group plc*      58,060  
2,200   Nikkon Holdings Co., Ltd.      47,713  
1,800   Nippon Express Co., Ltd.      104,799  
1,300   Nishi-Nippon Railroad Co., Ltd.      37,641  
5,199   Nobina AB*(a)      34,241  
2,800   Odakyu Electric Railway Co., Ltd.^      70,457  
13,546   Redde Northgate plc      32,118  
500   Sakai Moving Service Co., Ltd.      24,371  
2,300   Sankyu, Inc.      90,688  
6,200   Seino Holdings Co., Ltd.      89,967  
6,400   Senko Group Holdings Co., Ltd.      59,621  
721   Sixt SE*      65,245  
975   Sixt SE      52,485  
2,000   Sotetsu Holdings, Inc.      53,966  
31,768   Stagecoach Group plc      15,804  
278   Stef S.A.*      23,792  
5,161   Tfi International, Inc.      215,836  
2,000   Tobu Railway Co., Ltd.      61,784  
3,400   Tokyu Corp.      44,136  
300   Tonami Holdings Co., Ltd.      18,564  
3,913   Tourism Holdings, Ltd.      5,766  
600   Trancom Co., Ltd.      43,259  
20,930   Transport International Holdings, Ltd.      38,398  
1,100   West Japan Railway Co.      54,376  
    

 

 

 

       3,503,113  
    

 

 

 

Semiconductors & Semiconductor Equipment (1.7%):   
1,800   Advantest Corp.      87,440  
18,200   Aem Holdings, Ltd.      51,517  
2,386   ASM International NV      341,966  
8,119   ASM Pacific Technology, Ltd.      82,991  
2,381   ASML Holding NV, NYS      879,231  
3,418   BE Semiconductor Industries NV      146,523  
45,000   BOE Varitronix, Ltd.      15,278  
1,206   Camtek, Ltd./Israel*      18,656  
3,163   Dialog Semiconductor plc*      137,545  
279   Elmos Semiconductor SE      6,824  
2,300   Ferrotec Holdings Corp.      19,862  
438   First Sensor AG      20,641  
19,132   Infineon Technologies AG      541,116  
2,200   Japan Material Co., Ltd.      30,754  
1,400   Lasertec Corp.      115,801  
1,090   Melexis NV      84,793  
800   Mimasu Semiconductor Industry      18,394  
1,700   Mitsui High-Tec, Inc.      34,016  
1,078   Nova Measuring Instruments, Ltd.*      56,677  
1,100   Optorun Co., Ltd.      22,273  
9,700   Renesas Electronics Corp.*      71,056  
700   ROHM Co., Ltd.      54,058  
1,600   Sanken Electric Co., Ltd.      37,431  
400   Screen Holdings Co., Ltd.      21,287  
Shares             Fair Value    

Common Stocks, continued

  
Semiconductors & Semiconductor Equipment, continued   
300   Shindengen Electric Manufacturing Co., Ltd.    $ 5,724  
2,100   Shinko Electric Industries Co., Ltd.      36,733  
992   Siltronic AG      89,030  
285   SMA Solar Technology AG*      12,755  
823   Soitec*      118,519  
10,083   STMicroelectronics NV      308,172  
1,086   SUESS MicroTec SE*      20,131  
10,600   SUMCO Corp.      149,106  
1,100   Tokyo Electron, Ltd.      287,944  
800   Tokyo Seimitsu Co., Ltd.      25,409  
1,000   Towa Corp.      11,023  
3,609   Tower Semiconductor, Ltd.*      65,756  
300   Tri Chemical Laboratories, Inc.      34,808  
386   U-Blox AG      21,421  
1,800   Ulvac, Inc.      65,312  
1,200   Yamaichi Electronics Co., Ltd.      14,723  
    

 

 

 

       4,162,696  
    

 

 

 

Software (1.2%):

  
3,300   Absolute Software Corp.      40,079  
1,800   Access Co., Ltd.      15,211  
3,669   Altium, Ltd.      95,516  
3,980   Avast plc(a)      26,911  
585   AVEVA Group plc      36,165  
1,040   Axway Software SA      23,174  
26,254   BlackBerry, Ltd.*      120,484  
4,900   Broadleaf Co., Ltd.      25,428  
500   Computer Engineering & Consulting, Ltd.      7,731  
201   Constellation Software, Inc.      223,377  
1,400   Cresco, Ltd.      18,287  
1,200   Cybozu, Inc.      38,108  
323   Dassault Systemes SA      60,244  
764   Descartes Systems Group, Inc.*      43,533  
300   Digital Arts, Inc.      24,604  
2,000   Enghouse Systems, Ltd.      109,314  
800   Fuji Soft, Inc.      41,150  
8,509   Hansen Technology, Ltd.      23,800  
916   Hilan, Ltd.      39,968  
7,600   Infomart Corp.      67,391  
16,011   Infomedia, Ltd.      18,607  
7,858   Integrated Research, Ltd.      20,087  
7,413   IRESS, Ltd.      50,927  
600   Justsystems Corp.      42,498  
400   Kinaxis, Inc.*      58,888  
1,361   Lectra      32,175  
172   Linedata Services      5,224  
1,195   Magic Software Enterprises, Ltd.      15,863  
8,235   Micro Focus International plc, ADR      26,517  
500   Miroku Jyoho Service Co., Ltd.      10,447  
1,788   Nemetschek SE      130,942  
249   Netcompany Group A/S*(a)      20,617  
363   NICE Systems, Ltd.*      82,297  
600   Open Text Corp.      25,363  
3,485   Open Text Corp.      147,206  
400   Oracle Corp.      43,373  
4,000   Rakus Co., Ltd.      71,989  
3,268   Sage Group plc      30,260  
2,059   SAP SE      320,595  
3,474   SDL plc*      30,495  
1,391   SimCorp A/S      182,884  
1,731   Software AG      85,349  
500   SRA Holdings      11,477  
2,800   Systena Corp.      48,858  
8,525   Technology One, Ltd.      48,896  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Software, continued

  
1,295   Temenos AG    $ 174,440  
1,900   Trend Micro, Inc.      115,951  
12,001   Vista Group International, Ltd.      13,183  
    

 

 

 

       2,945,883  
    

 

 

 

Specialty Retail (1.5%):

  
400   ABC-Mart, Inc.      20,824  
16,866   Accent Group, Ltd.      19,906  
10,400   Adairs, Ltd.      24,298  
1,300   Adastria Co., Ltd.      20,504  
900   Alpen Co., Ltd.      17,025  
34,842   AMA Group, Ltd.*      15,923  
2,600   Aoki Holdings, Inc.      13,022  
2,800   Aoyama Trading Co., Ltd.^      14,715  
3,236   AP Eagers, Ltd.      21,312  
1,900   Arcland Sakamoto Co., Ltd.      39,024  
2,500   Autobacs Seven Co., Ltd.      32,479  
1,813   Autocanada, Inc.      24,688  
2,300   BIC Camera, Inc.      25,510  
4,193   Bilia AB, Class A*      52,761  
3,245   Byggmax Group AB      19,065  
2,609   Carasso Motors, Ltd.      7,042  
16,294   Card Factory plc      7,182  
3,919   Ceconomy AG*      19,332  
800   Chiyoda Co., Ltd.      7,464  
18,000   Chow Sang Sang Holdings International, Ltd.      19,302  
31,200   Chow Tai Fook Jewellery Group, Ltd.      40,632  
4,700   DCM Holdings Co., Ltd.      65,089  
39,375   Dixons Carphone plc      47,338  
1,884   Dufry AG, Registered Shares      57,884  
5,850   Dunelm Group plc      104,847  
4,900   Edion Corp.      51,271  
77,300   Esprit Holdings, Ltd.*      7,611  
400   Fast Retailing Co., Ltd.      251,018  
104   Fenix Outdoor International AG*      11,544  
1,290   Fielmann AG      103,584  
878   Fnac Darty SA      39,478  
9,000   Frasers Group plc*      39,859  
2,300   Geo Holdings Corp.      36,459  
130,000   Giordano International, Ltd.      22,664  
1,946   Grandvision BV*(a)      54,382  
13,359   Halfords Group plc      31,260  
8,861   Hennes & Mauritz AB, Class B      152,903  
300   Hikari Tsushin, Inc.      71,501  
483   Hornbach Baumarkt AG      25,647  
721   Hornbach Holding AG & Co. KGaA      84,145  
22,000   I.T, Ltd.*      2,874  
5,100   Idom, Inc.      30,720  
5,629   Industria de Diseno Textil SA      156,482  
4,862   JB Hi-Fi, Ltd.      164,154  
13,842   JD Sports Fashion plc      144,834  
700   JINS Holdings, Inc.      55,105  
1,500   Joshin Denki Co., Ltd.      37,375  
26,469   Kathmandu Holdings, Ltd.*      21,760  
1,700   Keiyo Co., Ltd.      14,268  
39,018   Kingfisher plc      149,091  
900   Kohnan Shoji Co., Ltd.      35,036  
1,600   Komeri Co., Ltd.      50,548  
5,800   K’s Holding Corp.      78,319  
2,366   Leon’s Furniture, Ltd.      32,805  
15,750   L’occitane International SA      27,512  
19,046   Lookers plc      5,160  
14,000   Luk Fook Holdings International, Ltd.      33,984  
2,347   Matas A/S*      27,316  
1,681   Mekonomen AB      17,498  
2,955   Mobilezone Holding AG      29,274  
Shares             Fair Value    

Common Stocks, continued

  

Specialty Retail, continued

  
3,966   Nick Scali, Ltd.    $ 24,260  
1,900   Nishimatsuya Chain Co., Ltd.      25,854  
400   Nitori Co., Ltd.      83,208  
2,300   Nojima Corp.      61,982  
40,000   Oriental Watch Holdings      12,044  
1,400   Pal Group Holdings Co., Ltd.      14,872  
76,677   Pendragon plc*      7,012  
19,618   Pets At Home Group plc      107,121  
2,736   Premier Investments, Ltd.      40,389  
61,088   SA SA International Holdings, Ltd.*      10,640  
1,800   Shimachu Co., Ltd.      61,088  
400   Shimamura Co., Ltd.      39,107  
9,886   Super Retail Group, Ltd.      74,681  
3,968   Superdry plc      7,881  
900   T-Gaia Corp.      16,888  
1,300   United Arrows, Ltd.      18,919  
2,400   USS Co., Ltd.      42,937  
240   Valora Holding AG      44,682  
8,200   VT Holdings Co., Ltd.      31,694  
4,080   WHSmith plc      50,045  
300   Workman Co., Ltd.      26,286  
800   World Co., Ltd.      10,810  
700   Xebio Holdings Co., Ltd.      5,060  
2,913   XXL ASA*(a)      8,197  
10,200   Yamada Holdings Co., Ltd.      50,868  
800   Yellow Hat, Ltd.      13,381  
    

 

 

 

       3,724,515  
    

 

 

 

Technology Hardware, Storage & Peripherals (0.5%):

  
6,400   Brother Industries, Ltd.      101,665  
6,500   Canon, Inc.      107,901  
700   EIZO Corp.      27,257  
900   Elecom Co., Ltd.      44,290  
2,700   FUJIFILM Holdings Corp.      133,064  
19,300   Konica Minolta, Inc.^      54,543  
1,323   Logitech International SA, Class R      102,406  
1,900   Maxell Holdings, Ltd.*      19,694  
4,900   Mcj Co., Ltd.      44,788  
5,300   NEC Corp.      310,286  
1,300   Noritsu Koki Co., Ltd.      20,059  
1,935   Quadient      26,143  
10,400   Ricoh Co., Ltd.      70,119  
600   Roland Dg Corp.      7,790  
2,197   S&T AG^      46,124  
7,600   Seiko Epson Corp.      87,380  
1,200   Toshiba Tec Corp.      50,132  
4,400   Wacom Co., Ltd.      29,069  
    

 

 

 

       1,282,710  
    

 

 

 

Textiles, Apparel & Luxury Goods (1.7%):

  
1,248   Adidas AG      403,881  
3,137   Aritzia, Inc.*      41,068  
3,800   Asics Corp.      53,203  
1,700   Atsugi Co., Ltd.      9,177  
287   Bijou Brigitte AG      8,109  
1,383   Brunello Cucinelli SpA      42,176  
6,313   Burberry Group plc      126,376  
364   Calida Holding AG      11,582  
408   Canada Goose Holdings, Inc.*      13,125  
893   Chargeurs SA      17,511  
4,311   Cie Financiere Richemont SA      288,833  
35,102   Coats Group plc      25,293  
485   Delta-Galil Industries, Ltd.      7,807  
829   Fox Wizel, Ltd.      54,623  
2,382   Gildan Activewear, Inc.      46,854  
400   Goldwin, Inc.      31,746  
900   Gunze, Ltd.      33,614  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Textiles, Apparel & Luxury Goods, continued

  
189   Hermes International SA    $ 162,895  
2,775   Hugo Boss AG      69,484  
473   Kering      314,215  
1,500   Komatsu Matere Co., Ltd.      12,734  
700   Kurabo Industries, Ltd.      12,824  
2,199   LVMH Moet Hennessy Louis Vuitton SA      1,027,898  
5,170   Moncler SpA      211,728  
3,560   New Wave Group AB*      18,679  
5,000   Onward Holdings Co., Ltd.      12,977  
9,893   Ovs SpA*(a)      11,401  
44,000   Pacific Textiles Holdings, Ltd.      20,459  
4,972   Pandora A/S      357,853  
12,900   Prada SpA      50,355  
902   Puma SE*      81,262  
1,469   Salvatore Ferragamo Italia SpA*      21,604  
73,200   Samsonite International SA*(a)      74,703  
2,100   Sankyo Seiko Co., Ltd.      8,987  
500   Sanyo Shokai, Ltd.      2,872  
1,000   Seiren Co., Ltd.      14,730  
17,500   Stella International Holdings, Ltd.      17,157  
507   Swatch Group AG (The), Class B      118,132  
1,258   Swatch Group AG (The), Registered Shares      56,496  
2,999   Ted Baker plc      4,049  
60,000   Texwinca Holdings, Ltd.      8,383  
404   Tod’s SpA*      11,749  
3,200   Tsi Holdings Co., Ltd.      9,868  
5,500   Unitika, Ltd.*      18,782  
2,000   Wacoal Holdings Corp.      37,835  
1,100   Yondoshi Holdings, Inc.      18,423  
45,514   Yue Yuen Industrial Holdings, Ltd.      73,748  
    

 

 

 

       4,077,260  
    

 

 

 

Thrifts & Mortgage Finance (0.1%):

  
1,484   Aareal Bank AG      29,812  
3,618   Deutsche Pfandbriefbank AG*(a)      23,979  
615   Equitable Group, Inc.      34,686  
1,100   Firm Capital Mortgage Investment Corp.      9,501  
1,626   Genworth MI Canada, Inc.      42,170  
16,190   Genworth Mortgage Insurance AU      18,275  
2,112   Home Capital Group, Inc.*      34,232  
3,861   MyState, Ltd.      9,971  
9,478   Onesavings Bank plc      34,062  
10,978   Paragon Banking Group plc      47,078  
3,600   Timbercreek Financial Corp.      22,578  
    

 

 

 

       306,344  
    

 

 

 

Tobacco (0.5%):

  
14,187   British American Tobacco plc      509,827  
18,433   Imperial Brands plc, Class A      324,854  
13,100   Japan Tobacco, Inc.      239,251  
3,118   Scandinavian Tobacco Group A/S(a)      46,238  
779   Swedish Match AB, Class B      63,584  
    

 

 

 

       1,183,754  
    

 

 

 

Trading Companies & Distributors (2.1%):

  
10,548   AddTech AB, Class B      137,932  
1,000   Alconix Corp.      14,469  
13,653   Ashtead Group plc      489,081  
653   BayWa AG      21,465  
2,337   Beijer Ref AB      77,326  
1,271   Bergman & Beving AB      12,307  
9,600   BOC Aviation, Ltd.(a)      65,399  
388   Bossard Holding AG      70,141  
5,765   Brenntag AG      366,784  
2,745   Bufab AB      42,575  
Shares             Fair Value    

Common Stocks, continued

  

Trading Companies & Distributors, continued

  
4,067   Bunzl plc    $ 131,191  
4,000   CanWel Building Materials Group, Ltd.      20,430  
70,000   China Strategic Holdings, Ltd.*      689  
400   Daiichi Jitsugyo Co., Ltd.      14,046  
2,280   Diploma plc      64,378  
3,513   Ferguson plc      353,398  
8,200   Finning International, Inc.      125,396  
7,815   Grafton Group plc      67,736  
1,700   Hanwa Co., Ltd.      33,947  
29,424   Howden Joinery Group plc      222,568  
1,598   Imcd Group NV      190,242  
1,800   Inaba Denki Sangyo Co., Ltd.      45,122  
1,800   Inabata & Co., Ltd.      22,878  
2,143   Indutrade AB      114,947  
9,000   Itochu Corp.      230,169  
2,000   Iwatani Corp.      74,949  
616   Jacquet Metal Service      5,997  
500   Japan Pulp & Paper Co., Ltd.      17,777  
700   Kamei Corp.      7,274  
900   Kanaden Corp.      12,786  
1,700   Kanamoto Co., Ltd.      38,697  
3,100   Kanematsu Corp.      37,959  
5,365   Kloeckner & Co. SE*      34,306  
14,200   Marubeni Corp.      80,576  
900   Maruka Corp.      19,506  
600   Mitani Corp.      37,086  
6,700   Mitsubishi Corp.      160,310  
8,600   Mitsui & Co., Ltd.      147,746  
1,271   Momentum Group AB, Class B*      19,730  
1,800   MonotaRo Co., Ltd.      89,661  
4,300   Nagase & Co., Ltd.      60,160  
600   Nichiden Corp.      13,171  
1,100   Nippon Steel Trading Corp.      31,380  
1,200   Nishio Rent All Co., Ltd.      25,451  
700   Onoken Co., Ltd.      7,456  
5,062   Reece, Ltd.      47,199  
9,256   Rexel SA*      116,101  
2,592   Richelieu Hardware, Ltd.      68,450  
2,804   Russel Metals, Inc.      38,267  
1,200   Seika Corp.      16,868  
600   Senshu Electric Co., Ltd.      18,531  
2,307   Seven Group Holdings, Ltd.      29,700  
38,500   Sojitz Corp.      87,337  
409   Solar A/S      19,349  
17,864   Speedy Hire plc      11,920  
800   Sugimoto & Co., Ltd.      14,961  
6,600   Sumitomo Corp.      79,151  
600   Tomoe Engineering Co., Ltd.      11,954  
2,572   Toromont Industries, Ltd.      153,926  
4,000   Toyota Tsushu Corp.      111,726  
8,059   Travis Perkins plc      112,048  
1,000   Trusco Nakayama Corp.      25,279  
800   Wajax Corp.      7,150  
2,700   Wakita & Co., Ltd.      26,921  
2,700   Yamazen Corp.      27,387  
800   Yuasa Trading Co., Ltd.      24,951  
    

 

 

 

       4,905,770  
    

 

 

 

Transportation Infrastructure (0.5%):

  
833   Aena SME SA(a)      116,016  
496   Aeroports de Paris      49,382  
4,153   Atlantia SpA*      65,118  
9,083   Atlas Arteria, Ltd.      39,929  
8,117   Auckland International Airport, Ltd.      39,314  
671   Flughafen Zuerich AG      91,906  
1,452   Fraport AG      57,491  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks, continued

  

Transportation Infrastructure, continued

  
2,198   Getlink SE    $ 29,798  
2,440   Hamburger Hafen und Logistik AG      42,746  
182,200   Hutchison Port Holdings Trust      29,925  
1,940   James Fisher & Sons plc      28,322  
400   Japan Airport Terminal Co., Ltd.      17,651  
3,500   Kamigumi Co., Ltd.      68,918  
2,100   Mitsubishi Logistics Corp.      59,499  
400   Nissin Corp.      6,054  
5,399   Port of Tauranga, Ltd.      26,244  
32,017   Qube Holdings, Ltd.      57,712  
15,500   SATS, Ltd.      32,463  
17,118   Signature Aviation plc*      52,866  
3,800   Sumitomo Warehouse Co., Ltd. (The)      48,134  
11,723   Sydney Airport      49,339  
11,321   Transurban Group      114,709  
2,729   Westshore Terminals Investment Corp.^      31,176  
    

 

 

 

       1,154,712  
    

 

 

 

Water Utilities (0.2%):

  
12,043   Pennon Group plc      160,028  
4,673   Severn Trent plc      146,904  
45,000   Siic Environment Holdings, Ltd.      6,051  
8,586   United Utilities Group plc      94,926  
    

 

 

 

       407,909  
    

 

 

 

Wireless Telecommunication Services (1.5%):

  
1,292   1&1 Drillisch AG      28,645  
3,670   Cellcom Israel, Ltd.*      14,968  
7,390   Freenet AG      149,494  
88,000   Hutchison Telecommunications Holdings, Ltd.      13,549  
27,900   KDDI Corp.      705,858  
5,186   Millicom International Cellular SA, SDR      156,974  
12,900   NTT DoCoMo, Inc.      478,458  
1,000   Okinawa Cellular Telephone Co.      38,039  
2,104   Orange Belgium SA      33,972  
5,106   Partner Communications Co.*      19,996  
1,900   Rogers Communications, Inc., Class B      75,378  
1,708   Rogers Communications, Inc., Class B      67,722  
35,000   Smartone Telecommunications Ho      18,582  
9,900   Softbank Corp.      110,944  
21,800   SoftBank Group Corp.      1,346,282  
21,800   StarHub, Ltd.      19,175  
4,847   Tele2 AB^      68,465  
119,823   Vodafone Group plc      158,937  
    

 

 

 

       3,505,438  
    

 

 

 

Total Common Stocks (Cost $232,007,832)

     236,486,941  
  

 

 

 

Preferred Stocks (0.4%):

  

Automobiles (0.4%):

  
1,421   Bayerische Motoren Werke AG (BMW), 5.39%, 5/15/20      77,850  
1,645   Porsche Automobil Holding SE, 4.34%, 5/20/20*      98,202  
4,289   Volkswagen AG, 3.54%, 5/8/20*      690,180  
    

 

 

 

       866,232  
    

 

 

 

Household Products (0.0%):

  
361   Henkel AG & Co. KGaA, 2.07%, 4/21/20      37,796  
    

 

 

 

Total Preferred Stocks (Cost $1,149,986)

     904,028  
  

 

 

 

Warrants (0.0%):

  

Energy Equipment & Services (0.0%):

  
64,038   Ezion Holdings, Ltd., 4/6/23      –    
    

 

 

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
             Fair Value    

Warrants, continued

  

Entertainment (0.0%):

  
510    Technicolor SA, 9/22/24    $  
     

 

 

 

Total Warrants (Cost $–)

      
  

 

 

 

Rights (0.0%):

  

Hotels, Restaurants & Leisure (0.0%):

  
545    Corporate Travel, Expires on 10/16/20*       
     

 

 

 

Insurance (0.0%):

  
31,856    Saga plc, Expires on 10/1/20*      205  
     

 

 

 

Total Rights (Cost $–)

     205  
  

 

 

 

Short-Term Securities Held as Collateral for Securities on Loan (1.2%):   
2,917,687    BlackRock Liquidity FedFund, Institutional Class , 1.81%(b)(c)      2,917,687  
     

 

 

 

Total Short-Term Securities Held as Collateral for Securities on Loan (Cost $2,917,687)

     2,917,687  
  

 

 

 

Unaffiliated Investment Companies (0.2%):

  

Money Markets (0.2%):

  
436,754    Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(c)      436,754  
     

 

 

 

Total Unaffiliated Investment Companies
(Cost $436,754)

     436,754  
  

 

 

 

Total Investment Securities
(Cost $236,512,259) - 100.6%

     240,745,615  

Net other assets (liabilities) - (0.6)%

     (1,318,585)  
  

 

 

 

Net Assets - 100.0%

   $ 239,427,030  
  

 

 

 

Percentages indicated are based on net assets as of September 30, 2020.

 

ADR    -    American Depository Receipt
CVR    -    Contingency Valued Rights
NYS    -    New York Shares
SDR    -    Swedish Depository Receipt

 

*

Non-income producing security.

^

This security or a partial position of this security was on loan as of September 30, 2020. The total value of securities on loan as of September 30, 2020 was $2,639,367.

Represents less than 0.05%.

(a)

Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees.

(b)

Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before September 30, 2020.

(c)

The rate represents the effective yield at September 30, 2020.

 

 

Amounts shown as “—” are either $0 or rounds to less than $1.

 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of September 30, 2020:

(Unaudited)

 

Country

 

Percentage

     % 

Australia

    5.9

Austria

    0.4

Belgium

    1.0

Bermuda

    0.1

Cambodia

     % 

Canada

    9.4

Cayman Islands

     % 

China

    0.2

Colombia

     % 

Denmark

    2.2

Egypt

    0.1

European Community

     % 

Faroe Islands

     % 

Finland

    1.6

France

    7.4

Germany

    7.2

Hong Kong

    2.3

India

     % 

Indonesia

     % 

Ireland

    1.2

Isle of Man

    0.2

Israel

    0.8

Italy

    2.4

Japan

    24.1

Jersey

     % 

Liechtenstein

     % 

Luxembourg

    0.4

Macau

     % 

Malta

     % 

Mexico

     % 

Monaco

    0.1

Netherlands

    3.7

New Zealand

    0.5

Norway

    0.7

Peru

     % 

Portugal

    0.2

Russian Federation

     % 

Singapore

    0.9

Spain

    2.0

Sweden

    3.4

Switzerland

    8.2

United Arab Emirates

     % 

United Kingdom

    11.8

United States

    1.6
    100.0 %       
      

 

Represents less than 0.05%.

    

 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks (99.6%):

 

Aerospace & Defense (1.5%):

 

1,810

     AAR Corp.   $ 34,028  

2,968

     Aerojet Rocketdyne Holdings, Inc.*     118,394  

1,163

     AeroVironment, Inc.*     69,792  

712

     Astronics Corp.*     5,497  

415

     Astronics Corp., Class B*^     3,092  

1,281

     Axon Enterprise, Inc.*     116,187  

4,876

     Boeing Co. (The)     805,807  

3,220

     BWX Technologies, Inc.     181,318  

685

     CPI Aerostructures, Inc.*     1,836  

1,202

     Cubic Corp.     69,920  

1,425

     Curtiss-Wright Corp.     132,896  

625

     Ducommun, Inc.*     20,575  

2,895

     General Dynamics Corp.     400,755  

769

     HEICO Corp.     80,484  

1,407

     HEICO Corp., Class A     124,745  

3,113

     Hexcel Corp.     104,441  

12,010

     Howmet Aerospace, Inc.*     200,807  

1,188

     Huntington Ingalls Industries, Inc.     167,211  

4,471

     Kratos Defense & Security Solutions, Inc.*     86,201  

1,779

     L3harris Technologies, Inc.     302,145  

3,049

     Lockheed Martin Corp.     1,168,620  

1,378

     Mercury Systems, Inc.*     106,740  

913

     Moog, Inc., Class A     58,003  

343

     National Presto Industries, Inc.     28,078  

1,853

     Northrop Grumman Corp.     584,602  

953

     Park Aerospace Corp., Class C     10,407  

        15,464

     Raytheon Technologies Corp.     889,798  

2,910

     Spirit AeroSystems Holdings, Inc., Class A     55,028  

495

     Teledyne Technologies, Inc.*     153,554  

6,294

     Textron, Inc.     227,150  

521

     TransDigm Group, Inc.     247,538  

741

     Vectrus, Inc.*     28,158  
         6,583,807  

Air Freight & Logistics (0.8%):

 

3,741

     Air Transport Services Group, Inc.*     93,749  

1,400

     Atlas Air Worldwide Holdings, Inc.*     85,260  

3,174

     C.H. Robinson Worldwide, Inc.     324,351  

1,026

     Echo Global Logistics, Inc.*     26,440  

3,087

     Expeditors International of Washington, Inc.     279,435  

3,024

     FedEx Corp.     760,596  

1,079

     Forward Air Corp.     61,913  

1,993

     Hub Group, Inc., Class A*     100,039  

3,266

     Radiant Logistics, Inc.*     16,787  

8,339

     United Parcel Service, Inc., Class B     1,389,528  

3,336

     XPO Logistics, Inc.*     282,426  
         3,420,524  

Airlines (0.4%):

 

5,679

     Alaska Air Group, Inc.     208,022  

556

     Allegiant Travel Co.     66,609  

11,473

     American Airlines Group, Inc.^     141,003  

1,140

     Copa Holdings SA, Class A     57,388  

10,936

     Delta Air Lines, Inc.     334,423  

2,644

     Hawaiian Holdings, Inc.     34,081  

12,051

     JetBlue Airways Corp.*     136,538  

2,917

     SkyWest, Inc.     87,102  

10,112

     Southwest Airlines Co.     379,199  

3,618

     Spirit Airlines, Inc.*^     58,250  

8,455

     United Airlines Holdings, Inc.*     293,811  
         1,796,426  

Auto Components (0.6%):

 

2,780

    

Adient plc*

    48,177  
Shares               Fair Value      

Common Stocks, continued

 

Auto Components, continued

 

8,138

     American Axle & Manufacturing Holdings, Inc.*   $ 46,956  

4,374

     Aptiv plc     401,009  

3,232

     Autoliv, Inc.     235,548  

8,940

     BorgWarner, Inc.     346,336  

2,411

     Cooper Tire & Rubber Co.     76,429  

1,256

     Cooper-Standard Holding, Inc.*     16,592  

7,352

     Dana, Inc.     90,577  

2,123

     Delphi Technologies plc*     35,475  

1,395

     Dorman Products, Inc.*     126,080  

1,599

     Fox Factory Holding Corp.*     118,854  

7,599

     Gentex Corp.     195,674  

1,620

     Gentherm, Inc.*     66,258  

10,334

     Goodyear Tire & Rubber Co.     79,262  

1,365

     Horizon Global Corp.*^     7,849  

1,015

     LCI Industries     107,884  

2,042

     Lear Corp.     222,680  

        3,637

     Modine Manufacturing Co.*     22,731  

1,190

     Motorcar Parts of America, Inc.*     18,516  

1,436

     Standard Motor Products, Inc.     64,117  

1,582

     Stoneridge, Inc.*     29,061  

275

     Strattec Security Corp.     5,473  

3,917

     Tenneco, Inc.*     27,184  

3,249

     Veoneer, Inc.*^     47,760  

986

     Visteon Corp.*     68,251  

1,621

     VOXX International Corp.*     12,465  
         2,517,198  

Automobiles (0.8%):

 

69,294

     Ford Motor Co.     461,498  

26,070

     General Motors Co.     771,411  

7,220

     Harley-Davidson, Inc.     177,179  

5,055

     Tesla, Inc.*     2,168,646  

1,652

     Winnebago Industries, Inc.     85,359  
         3,664,093  

Banks (4.4%):

 

1,278

     1st Source Corp.     39,414  

504

     ACNB Corp.     10,483  

954

     Allegiance Bancshares, Inc.     22,295  

749

     Altabancorp     15,070  

661

     American National Bankshares, Inc.     13,828  

587

     American River Bankshares     5,847  

2,629

     Ameris Bancorp     59,889  

704

     Ames National Corp.     11,891  

986

     Arrow Financial Corp.     24,739  

5,524

     Associated Banc-Corp.     69,713  

1,160

     Atlantic Capital Bancshares, Inc.*     13,166  

4,019

     Atlantic Union Bankshares Corp.     85,886  

2,876

     Banc of California, Inc.     29,105  

1,639

     BancFirst Corp.     66,937  

2,831

     Bancorp, Inc. (The)*     24,460  

2,523

     BancorpSouth Bank     48,896  

73,235

     Bank of America Corp.     1,764,230  

899

     Bank of Commerce Holdings     6,266  

1,489

     Bank of Hawaii Corp.     75,224  

902

     Bank of Marin Bancorp     26,122  

2,800

     Bank of Nt Butterfield & Son, Ltd. (The)     62,384  

4,810

     Bank OZK     102,549  

2,950

     BankUnited, Inc.     64,635  

1,829

     Banner Corp.     59,004  

1,189

     Bar Harbor Bankshares     24,434  

842

     BCB Bancorp, Inc.     6,736  

2,598

     Berkshire Hills Bancorp, Inc.     26,266  

2,016

     BOK Financial Corp.     103,844  

5,245

     Boston Private Financial Holdings, Inc.     28,952  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Banks, continued

 

668

     Bridge Bancorp, Inc.   $ 11,643  

5,107

     Brookline Bancorp, Inc.     44,150  

1,162

     Bryn Mawr Bank Corp.     28,899  

977

     Byline BanCorp, Inc.     11,021  

74

     C&F Financial Corp.     2,198  

5,075

     Cadence Bancorp     43,594  

843

     Camden National Corp.     25,480  

1,309

     Capital City Bank Group, Inc.     24,596  

3,399

     Cathay General Bancorp     73,690  

1,225

     CBTX, Inc.     20,017  

1,402

     Central Pacific Financial Corp.     19,025  

933

     Central Valley Community Bancorp     11,523  

273

     Century Bancorp, Inc.     17,947  

377

     Chemung Financial Corp.     10,884  

2,299

     CIT Group, Inc.     40,715  

        20,028

     Citigroup, Inc.     863,406  

943

     Citizens & Northern Corp.     15,314  

8,004

     Citizens Financial Group, Inc.     202,341  

552

     Citizens Holding Co.     12,376  

904

     City Holding Co.     52,079  

938

     Civista Bancshares, Inc.     11,744  

735

     CNB Financial Corp.     10,929  

85

     Codorus Valley Bancorp, Inc.     1,114  

56

     Colony Bankcorp, Inc.     602  

3,326

     Columbia Banking System, Inc.     79,325  

4,900

     Comerica, Inc.     187,425  

3,237

     Commerce Bancshares, Inc.     182,211  

1,393

     Community Bank System, Inc.     75,863  

1,325

     Community Trust Bancorp, Inc.     37,445  

2,266

     ConnectOne Bancorp, Inc.     31,883  

1,845

     Cullen/Frost Bankers, Inc.     117,988  

1,643

     Customers Bancorp, Inc.*     18,402  

5,350

     CVB Financial Corp.     88,971  

1,882

     Eagle Bancorp, Inc.     50,419  

4,679

     East West Bancorp, Inc.     153,190  

1,229

     Enterprise Financial Services Corp.     33,515  

682

     Equity Bancshares, Inc.*     10,571  

312

     Evans Bancorp, Inc.     6,942  

13,238

     F.N.B. Corp.     89,754  

1,329

     Farmers National Banc Corp.     14,513  

1,852

     FB Financial Corp.     46,522  

11,843

     Fifth Third Bancorp     252,493  

1,053

     Financial Institutions, Inc.     16,216  

752

     First Bancorp     15,739  

10,711

     First Bancorp     55,911  

814

     First Bancorp, Inc.     17,159  

611

     First Bancshares, Inc. (The)     12,813  

2,931

     First Busey Corp.     46,574  

664

     First Business Financial Services, Inc.     9,489  

365

     First Citizens BancShares, Inc., Class A     116,355  

5,424

     First Commonwealth Financial Corp.     41,982  

1,419

     First Community Bankshares     25,613  

5,037

     First Financial Bancorp     60,469  

4,532

     First Financial Bankshares, Inc.     126,488  

536

     First Financial Corp.     16,830  

733

     First Financial Northwest, Inc.     6,685  

1,996

     First Foundation, Inc.     26,088  

1,512

     First Hawaiian, Inc.     21,879  

19,530

     First Horizon National Corp.     184,168  

1,244

     First Interstate BancSystem, Class A     39,621  

1,606

     First Merchants Corp.     37,195  

660

     First Mid Bancshares, Inc.     16,467  

4,022

     First Midwest Bancorp, Inc.     43,357  

1,573

     First of Long Island Corp. (The)     23,296  
Shares               Fair Value      

Common Stocks, continued

 

Banks, continued

 

2,517

     First Republic Bank   $ 274,503  

2,253

     Flushing Financial Corp.     23,702  

5,044

     Fulton Financial Corp.     47,061  

1,315

     German American Bancorp, Inc.     35,689  

3,017

     Glacier Bancorp, Inc.     96,695  

1,035

     Great Southern Bancorp, Inc.     37,488  

2,353

     Great Western Bancorp, Inc.     29,295  

4,107

     Hancock Whitney Corp.     77,253  

2,408

     Hanmi Financial Corp.     19,770  

3,310

     HarborOne BanCorp, Inc.     26,712  

42

     Hawthorn Bancshares, Inc.     795  

1,853

     Heartland Financial USA, Inc.     55,581  

1,197

     Heritage Financial Corp.     22,013  

2,010

     Hertiage Commerce Corp.     13,377  

5,680

     Hilltop Holdings, Inc.     116,894  

4,922

     Home Bancshares, Inc.     74,618  

1,540

     Hometrust Bancshares, Inc.     20,913  

6,189

     Hope BanCorp, Inc.     46,944  

2,112

     Horizon Bancorp     21,310  

        17,399

     Huntington Bancshares, Inc.     159,549  

855

     Independent Bank Corp.     10,747  

929

     Independent Bank Corp.     48,661  

2,071

     Independent Bank Group, Inc.     91,497  

3,359

     International Bancshares Corp.     87,536  

10,187

     Investors Bancorp, Inc.     73,958  

40,809

     JPMorgan Chase & Co.     3,928,681  

16,447

     KeyCorp     196,213  

2,859

     Lakeland Bancorp, Inc.     28,447  

1,656

     Lakeland Financial Corp.     68,227  

501

     Landmark Bancorp, Inc.     10,696  

712

     LCNB Corp.     9,719  

2,207

     Live Oak Bancshares, Inc.     55,903  

2,533

     M&T Bank Corp.     233,264  

2,571

     Macatawa Bank Corp.     16,789  

1,293

     Mercantile Bank Corp.     23,300  

241

     Midland States BanCorp, Inc.     3,097  

638

     MidWestone Financial Group, Inc.     11,401  

1,805

     National Bank Holdings Corp.     47,381  

514

     National Bankshares, Inc.     13,020  

2,353

     NBT Bancorp, Inc.     63,107  

373

     Nicolet Bankshares, Inc.*     20,370  

510

     Northrim Bancorp, Inc.     13,000  

511

     Norwood Financial Corp.     12,428  

3,309

     OFG Bancorp     41,230  

440

     Ohio Valley Banc Corp.     9,090  

7,959

     Old National Bancorp     99,965  

2,225

     Old Second Bancorp, Inc.     16,676  

550

     Origin Bancorp, Inc.     11,748  

638

     Orrstown Financial Services, Inc.     8,166  

1,205

     Pacific Mercantile Bancorp*     4,483  

4,841

     Pacific Premier Bancorp, Inc.     97,498  

2,447

     PacWest Bancorp     41,795  

784

     Park National Corp.     64,257  

1,165

     Peapack-Gladstone Financial Corp.     17,650  

546

     Penns Woods Bancorp, Inc.     10,838  

608

     Peoples Bancorp of NC     9,381  

1,361

     Peoples Bancorp, Inc.     25,981  

11,228

     People’s United Financial, Inc.     115,761  

2,297

     Pinnacle Financial Partners, Inc.     81,750  

4,041

     PNC Financial Services Group, Inc. (The)     444,145  

2,484

     Popular, Inc.     90,095  

878

     Preferred Bank Los Angeles     28,201  

945

     Premier Financial Bancorp, Inc.     10,206  

2,791

     Prosperity Bancshares, Inc.     144,658  

606

     QCR Holdings, Inc.     16,610  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Banks, continued

 

487

     Rbb BanCorp   $ 5,523  

        17,681

     Regions Financial Corp.     203,862  

2,997

     Renasant Co.     68,092  

1,417

     Republic Bancorp, Inc., Class A     39,903  

1,468

     S & T Bancorp, Inc.     25,969  

148

     Salisbury Bancorp, Inc.     4,678  

1,838

     Sandy Spring Bancorp, Inc.     42,421  

1,879

     Seacoast Banking Corp of Florida*     33,878  

1,252

     Select Bancorp, Inc.*     9,002  

2,629

     ServisFirst Bancshares, Inc.     89,465  

1,113

     Shore Bancshares, Inc.     12,221  

1,028

     Sierra Bancorp     17,260  

1,436

     Signature Bank     119,174  

4,534

     Simmons First National Corp., Class A     71,887  

2,840

     South State Corp.     136,746  

2,003

     Southern National Bancorp     17,386  

2,264

     Southside Bancshares, Inc.     55,310  

7,203

     Sterling Bancorp     75,776  

1,432

     Stock Yards Bancorp, Inc.     48,745  

557

     Summit Financial Group, Inc.     8,249  

944

     SVB Financial Group*     227,145  

5,125

     Synovus Financial Corp.     108,496  

5,120

     TCF Financial Corp.     119,603  

1,633

     Texas Capital Bancshares, Inc.*     50,835  

490

     Tompkins Financial Corp.     27,837  

3,776

     TowneBank     61,926  

1,726

     TriCo Bancshares     42,270  

2,154

     Tristate Capital Holdings, Inc.*     28,519  

1,501

     Triumph BanCorp, Inc.*     46,741  

12,816

     Truist Financial Corp.     487,648  

3,028

     Trustmark Corp.     64,829  

19,169

     U.S. Bancorp     687,208  

2,075

     UMB Financial Corp.     101,696  

6,312

     Umpqua Holdings Corp.     67,033  

5,281

     United Bankshares, Inc.     113,383  

3,244

     United Community Banks, Inc.     54,921  

1,190

     United Security Bancshares     7,271  

42

     Unity Bancorp, Inc.     486  

1,914

     Univest Financial Corp.     27,504  

13,568

     Valley National Bancorp     92,941  

1,113

     Washington Trust Bancorp     34,125  

2,517

     Webster Financial Corp.     66,474  

38,399

     Wells Fargo & Co.     902,759  

2,998

     WesBanco, Inc.     64,037  

1,062

     West Bancorp     16,822  

1,287

     Westamerica Bancorp     69,948  

3,900

     Western Alliance Bancorp     123,318  

2,102

     Wintrust Financial Corp.     84,185  

5,488

     Zions Bancorp     160,359  
         19,569,032  

Beverages (1.5%):

 

225

     Boston Beer Co., Inc. (The), Class A*     198,756  

1,105

     Brown-Forman Corp., Class A     75,891  

4,134

     Brown-Forman Corp., Class B     311,373  

43,779

     Coca-Cola Co. (The)     2,161,369  

285

     Coca-Cola Consolidated, Inc.     68,594  

1,703

     Constellation Brands, Inc., Class C     322,736  

787

     Craft Brewers Alliance, Inc.*     12,986  

2,891

     Keurig Dr Pepper, Inc.     79,792  

615

     MGP Ingredients, Inc.     24,440  

3,243

     Molson Coors Brewing Co., Class B     108,835  

4,050

     Monster Beverage Corp.*     324,810  

1,132

     National Beverage Corp.*^     76,987  

20,925

     PepsiCo, Inc.     2,900,204  
         6,666,773  
Shares               Fair Value      

Common Stocks, continued

 

Biotechnology (2.5%):

 

        18,635

     AbbVie, Inc.   $ 1,632,239  

2,144

     ACADIA Pharmaceuticals, Inc.*     88,440  

737

     Acceleron Pharma, Inc.*     82,935  

3,964

     Adverum Biotechnologies, Inc.*     40,829  

436

     Agios Pharmaceuticals, Inc.*     15,260  

7,184

     Akebia Therapeutics, Inc.*     18,032  

3,358

     Alexion Pharmaceuticals, Inc.*     384,256  

1,012

     Alkermes plc*     16,769  

959

     Alnylam Pharmaceuticals, Inc.*     139,630  

2,354

     AMAG Pharmaceuticals, Inc.*^     22,128  

8,202

     Amgen, Inc.     2,084,619  

955

     AnaptysBio, Inc.*     14,086  

1,621

     Arena Pharmaceuticals, Inc.*     121,235  

1,753

     Arrowhead Pharmaceuticals, Inc.*     75,484  

1,907

     Atara Biotherapeutics, Inc.*     24,715  

898

     Avrobio, Inc.*     11,692  

3,318

     Biogen, Inc.*     941,249  

2,087

     BioMarin Pharmaceutical, Inc.*     158,779  

1,469

     Bluebird Bio, Inc.*     79,253  

718

     Concert Pharmaceuticals, Inc.*     7,051  

1,534

     Denali Therapeutics, Inc.*     54,963  

233

     Eagle Pharmaceuticals, Inc.*     9,898  

1,656

     Emergent BioSolutions, Inc.*     171,114  

1,013

     Enanta Pharmaceuticals, Inc.*     46,375  

2,306

     Epizyme, Inc.*     27,511  

1,906

     Exact Sciences Corp.*     194,317  

9,933

     Exelixis, Inc.*     242,862  

1,444

     Fibrogen, Inc.*     59,377  

2,400

     Five Prime Therapeutics, Inc.*     11,280  

1,432

     G1 Therapeutics, Inc.*     16,540  

16,406

     Gilead Sciences, Inc.     1,036,694  

1,929

     Global Blood Therapeutics, Inc.*     106,365  

779

     Glycomimetics Industries*     2,392  

1,961

     Incyte Corp.*     175,980  

2,177

     Intellia Therapeutics, Inc.*^     43,279  

1,964

     Ionis Pharmaceuticals, Inc.*     93,192  

4,399

     Ironwood Pharmaceuticals, Inc.*     39,569  

1,605

     Karyopharm Therapeutics, Inc.*     23,433  

1,263

     Kura Oncology, Inc.*     38,698  

526

     Ligand Pharmaceuticals, Inc., Class B*^     50,138  

1,449

     Macrogenics, Inc.*     36,500  

194

     Madrigal Pharmaceuticals, Inc.*     23,034  

3,587

     Momenta Pharmaceuticals, Inc.*     188,246  

3,689

     Myriad Genetics, Inc.*     48,105  

715

     Neurocrine Biosciences, Inc.*     68,754  

1,522

     ObsEva SA*     3,775  

10,235

     OPKO Health, Inc.*^     37,767  

9,565

     PDL BioPharma, Inc.*     30,130  

1,720

     Prothena Corp. plc*     17,183  

687

     Regeneron Pharmaceuticals, Inc.*     384,569  

1,384

     REGENXBIO, Inc.*     38,088  

995

     Repligen Corp.*     146,802  

1,882

     Retrophin, Inc.*     34,742  

1,053

     Rhythm Pharmaceuticals, Inc.*     22,819  

2,600

     Rocket Pharmaceuticals, Inc.*     59,436  

1,793

     Sage Therapeutics, Inc.*     109,588  

6,888

     Sangamo Therapeutics, Inc.*     65,092  

660

     Sarepta Therapeutics, Inc.*     92,684  

1,210

     Seattle Genetics, Inc.*     236,785  

2,126

     Spectrum Pharmaceuticals, Inc.*     8,674  

1,104

     Ultragenyx Pharmaceutical, Inc.*     90,738  

1,559

     United Therapeutics Corp.*     157,459  

2,321

     Vanda Pharmaceuticals, Inc.*     22,421  

1,880

     Vertex Pharmaceuticals, Inc.*     511,586  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Biotechnology, continued

 

2,446

     Xencor, Inc.*   $ 94,880  
         10,932,515  

Building Products (1.0%):

 

3,264

     A.O. Smith Corp.     172,339  

1,915

     AAON, Inc.     115,379  

2,557

     Advanced Drainage Systems, Inc.     159,659  

1,795

     Allegion plc     177,543  

938

     American Woodmark Corp.*     73,671  

1,085

     Apogee Enterprises, Inc.     23,186  

1,778

     Armstrong Flooring, Inc.*     6,134  

1,537

     Armstrong World Industries, Inc.     105,761  

5,385

     Builders FirstSource, Inc.*     175,659  

9,689

     Carrier Global Corp.     295,902  

3,362

     Cornerstone Building Brands, Inc.*     26,829  

889

     Csw Industrials, Inc.     68,675  

3,634

     Fortune Brands Home & Security, Inc.     314,414  

1,576

     Gibraltar Industries, Inc.*     102,661  

2,893

     Griffon Corp.     56,529  

1,209

     Insteel Industries, Inc.     22,608  

4,386

     Jeld-Wen Holding, Inc.*     99,124  

11,473

     Johnson Controls International plc     468,673  

617

     Lennox International, Inc.     168,200  

3,138

     Masco Corp.     172,998  

1,151

     Masonite International Corp.*     113,258  

3,117

     Owens Corning     214,481  

1,648

     Patrick Industries, Inc.     94,793  

3,615

     PGT Innovations, Inc.*     63,335  

1,925

     Quanex Building Products Corp.     35,497  

5,228

     Resideo Technologies, Inc.*     57,508  

1,453

     Simpson Manufacturing Co., Inc.     141,173  

3,325

     Trane Technologies plc     403,156  

3,254

     Trex Co., Inc.*     232,986  

2,320

     UFP Industries, Inc.     131,103  
         4,293,234  

Capital Markets (2.8%):

 

1,837

     Affiliated Managers Group, Inc.     125,614  

3,509

     Ameriprise Financial, Inc.     540,772  

1,834

     Ares Management Corp., Class A     74,130  

1,500

     Artisan Partners Asset Management, Inc., Class A     58,485  

        11,695

     Bank of New York Mellon Corp. (The)     401,606  

14,937

     BGC Partners, Inc., Class A     35,849  

1,149

     BlackRock, Inc., Class A     647,519  

4,934

     Blackstone Group, Inc. (The), Class A     257,555  

2,377

     Blucora, Inc.*     22,391  

3,965

     Brightsphere Investment Group, Inc.     51,149  

2,288

     Cboe Global Markets, Inc.     200,749  

12,621

     Charles Schwab Corp. (The)     457,259  

2,550

     CME Group, Inc.     426,641  

1,396

     Cohen & Steers, Inc.     77,813  

190

     Diamond Hill Investment Group     24,001  

2,917

     Donnelley Financial Solutions, Inc.*     38,971  

5,873

     E*TRADE Financial Corp.     293,944  

3,982

     Eaton Vance Corp.     151,913  

696

     FactSet Research Systems, Inc.     233,076  

4,054

     Federated Hermes, Inc., Class B     87,202  

8,195

     Franklin Resources, Inc.     166,768  

388

     GAMCO Investors, Inc., Class A     4,489  

3,244

     Goldman Sachs Group, Inc.     651,947  

1,743

     Greenhill & Co., Inc.     19,783  

211

     Hennessy Advisors, Inc.     1,749  

1,166

     Houlihan Lokey, Inc.     68,852  

2,679

     Interactive Brokers Group, Inc., Class A     129,476  
Shares               Fair Value      

Common Stocks, continued

 

Capital Markets, continued

 

5,212

     Intercontinental Exchange, Inc.   $ 521,461  

13,284

     Invesco, Ltd.     151,570  

4,134

     Janus Henderson Group plc     89,790  

7,968

     KKR & Co., Inc., Class A     273,621  

3,497

     Lazard, Ltd., Class A     115,576  

2,674

     LPL Financial Holdings, Inc.     205,016  

510

     MarketAxess Holdings, Inc.     245,611  

1,429

     Moelis & Co., Class A     50,215  

2,111

     Moody’s Corp.     611,873  

15,938

     Morgan Stanley     770,601  

1,357

     Morningstar, Inc.     217,948  

962

     MSCI, Inc., Class A     343,222  

2,824

     Nasdaq, Inc.     346,533  

3,798

     Northern Trust Corp.     296,130  

1,024

     Oppenheimer Holdings, Class A     22,856  

784

     Piper Jaffray Cos., Inc.     57,232  

940

     PJT Partners, Inc.     56,973  

1,113

     Pzena Investment Management, Inc.     5,966  

2,834

     Raymond James Financial, Inc.     206,202  

2,272

     S&P Global, Inc.     819,282  

3,335

     SEI Investments Co.     169,151  

660

     Silvercrest Asset Management Group, Inc., Class A     6,904  

5,751

     State Street Corp.     341,207  

2,637

     Stifel Financial Corp.     133,327  

597

     StoneX Group, Inc.*     30,543  

3,413

     T. Rowe Price Group, Inc.     437,615  

10,267

     TD Ameritrade Holding Corp.     401,953  

800

     Tradeweb Markets, Inc., Class A     46,400  

1,429

     Virtu Financial, Inc., Class A     32,881  

438

     Virtus Investment Partners, Inc.     60,729  

4,662

     Waddell & Reed Financial, Inc., Class A     69,231  

425

     Westwood Holdings, Inc.     4,735  

7,874

     WisdomTree Investments, Inc.     25,197  
         12,417,254  

Chemicals (2.3%):

 

2,746

     AdvanSix, Inc.*     35,368  

2,292

     Air Products & Chemicals, Inc.     682,696  

2,746

     Albemarle Corp.     245,163  

1,157

     American Vanguard Corp.     15,203  

2,194

     Ashland Global Holdings, Inc.     155,598  

3,051

     Avient Corp.     80,729  

11,369

     Axalta Coating Systems, Ltd.*     252,051  

1,138

     Balchem Corp.     111,103  

2,532

     Cabot Corp.     91,228  

2,172

     Celanese Corp., Series A     233,381  

7,247

     CF Industries Holdings, Inc.     222,555  

533

     Chase Corp.     50,848  

4,033

     Chemours Co. (The)     84,330  

578

     Core Molding Technologies, Inc.*     5,121  

11,406

     Corteva, Inc.     328,607  

9,564

     Dow, Inc.     449,986  

7,488

     DuPont de Nemours, Inc.     415,434  

2,765

     Eastman Chemical Co.     216,002  

3,033

     Ecolab, Inc.     606,116  

12,316

     Element Solutions, Inc.*     129,441  

5,990

     Ferro Corp.*     74,276  

2,634

     FMC Corp.     278,967  

3,222

     Futurefuel Corp.     36,634  

3,313

     GCP Applied Technologies, Inc.*     69,407  

1,438

     H.B. Fuller Co.     65,832  

8,602

     Huntsman Corp.     191,050  

962

     Ingevity Corp.*     47,561  

571

     Innospec, Inc.     36,156  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Chemicals, continued

 

1,701

     International Flavors & Fragrances, Inc.   $ 208,287  

1,498

     Intrepid Potash, Inc.*     12,643  

783

     Koppers Holdings, Inc.*     16,373  

2,348

     Kraton Corp.*     41,841  

4,741

     Kronos Worldwide, Inc.     60,969  

3,530

     Linde plc     840,599  

2,160

     Livent Corp.*     19,375  

1,233

     LSB Industries, Inc.*     1,997  

9,844

     LyondellBasell Industries NV, Class A     693,904  

1,816

     Minerals Technologies, Inc.     92,798  

8,529

     Mosaic Co. (The)     155,825  

441

     NewMarket Corp.     150,963  

7,103

     Olin Corp.     87,935  

3,998

     PPG Industries, Inc.     488,076  

1,630

     PQ Group Holdings, Inc.*     16,724  

3,631

     Rayonier Advanced Materials, Inc.*     11,619  

2,581

     RPM International, Inc.     213,810  

1,648

     Scotts Miracle-Gro Co. (The)     251,996  

1,575

     Sensient Technologies Corp.     90,941  

1,283

     Sherwin Williams Co.     893,918  

893

     Stepan Co.     97,337  

1,627

     Trecora Resources*     9,990  

1,070

     Tredegar Corp.     15,911  

2,086

     Trinseo SA     53,485  

4,906

     Tronox Holdings plc, Class A     38,610  

6,023

     Valvoline, Inc.     114,678  

4,276

     Venator Materials plc*     8,253  

2,512

     W.R. Grace & Co.     101,208  

3,172

     Westlake Chemical Corp.     200,534  
         10,201,442  

Commercial Services & Supplies (0.9%):

 

2,302

     ABM Industries, Inc.     84,391  

2,927

     ACCO Brands Corp.     16,977  

        11,570

     ADT, Inc.     94,527  

1,176

     Advanced Disposal Services, Inc.*     35,550  

4,271

     ARC Document Solutions, Inc.     3,844  

1,844

     Brady Corp., Class A     73,797  

1,144

     Brink’s Co. (The)     47,007  

1,028

     Casella Waste Systems, Inc.*     57,414  

2,003

     CECO Environmental Corp.*     14,602  

912

     Cimpress plc*     68,546  

1,047

     Cintas Corp.     348,473  

5,206

     Civeo Corp.*     3,515  

2,044

     Clean Harbors, Inc.*     114,525  

2,965

     Copart, Inc.*     311,799  

5,346

     Covanta Holding Corp.     41,432  

859

     Deluxe Corp.     22,102  

1,613

     Ennis, Inc.     28,131  

2,148

     Healthcare Services Group, Inc.     46,246  

1,042

     Heritage-Crystal Clean, Inc.*     13,911  

2,205

     Herman Miller, Inc.     66,503  

2,271

     HNI Corp.     71,264  

3,423

     IAA, Inc.*     178,236  

4,002

     Interface, Inc.     24,492  

5,118

     KAR Auction Services, Inc.     73,699  

2,829

     Kimball International, Inc., Class B     29,818  

2,754

     Knoll, Inc.     33,213  

1,875

     Matthews International Corp., Class A     41,925  

1,011

     McGrath Rentcorp     60,245  

1,035

     MSA Safety, Inc.     138,866  

1,552

     NL Industries, Inc.     6,596  

1,763

     PICO Holdings, Inc.*     15,796  

8,238

     Pitney Bowes, Inc.     43,744  
Shares               Fair Value      

Common Stocks, continued

 

Commercial Services & Supplies, continued

 

2,606

     Quad Graphics, Inc.   $ 7,896  

4,955

     Republic Services, Inc., Class A     462,549  

4,020

     Rollins, Inc.     217,844  

2,114

     RR Donnelley & Sons Co.     3,086  

1,467

     SP Plus Corp.*     26,333  

5,403

     Steelcase, Inc., Class A     54,624  

2,586

     Stericycle, Inc.*     163,073  

1,534

     Team, Inc.*     8,437  

1,293

     Tetra Tech, Inc.     123,482  

542

     UniFirst Corp.     102,639  

1,141

     US Ecology, Inc.     37,276  

1,003

     Viad Corp.     20,892  

824

     Vse Corp.     25,247  

4,883

     Waste Management, Inc.     552,610  
         4,017,174  

Communications Equipment (0.9%):

 

1,772

     Acacia Communications, Inc.*     119,433  

2,109

     ADTRAN, Inc.     21,628  

752

     Applied Optoelectronics, Inc.*^     8,460  

1,460

     Arista Networks, Inc.*     302,118  

1,829

     CalAmp Corp.*     13,151  

2,202

     Calix, Inc.*     39,152  

2,888

     Ciena Corp.*     114,625  

        50,070

     Cisco Systems, Inc.     1,972,256  

6,102

     CommScope Holding Co., Inc.*     54,918  

316

     Communications Systems, Inc.     1,210  

1,822

     Comtech Telecommunications Corp.     25,508  

1,262

     Digi International, Inc.*     19,725  

1,548

     EchoStar Corp., Class A*     38,530  

1,189

     EMCORE Corp.*     3,864  

1,236

     F5 Networks, Inc.*     151,744  

7,060

     Harmonic, Inc.*     39,395  

9,333

     Infinera Corp.*     57,491  

1,013

     InterDigital, Inc.     57,802  

5,828

     Juniper Networks, Inc.     125,302  

909

     KVH Industries, Inc.*     8,190  

1,533

     Lumentum Holdings, Inc.*     115,174  

1,806

     Motorola Solutions, Inc.     283,199  

2,444

     NETGEAR, Inc.*     75,324  

3,156

     NetScout Systems, Inc.*     68,895  

589

     Palo Alto Networks, Inc.*     144,158  

3,679

     Ribbon Communications, Inc.*     14,238  

338

     Ubiquiti, Inc.     56,331  

2,004

     ViaSat, Inc.*     68,918  

6,628

     Viavi Solutions, Inc.*     77,746  
         4,078,485  

Construction & Engineering (0.4%):

 

4,533

     AECOM*     189,660  

800

     Aegion Corp.*     11,304  

2,172

     Ameresco, Inc., Class A*     72,545  

1,719

     Arcosa, Inc.     75,791  

1,245

     Argan, Inc.     52,178  

1,358

     Comfort Systems USA, Inc.     69,951  

2,183

     Construction Partners, Inc., Class A*     39,731  

1,425

     Dycom Industries, Inc.*     75,269  

2,278

     EMCOR Group, Inc.     154,243  

2,848

     Fluor Corp.     25,091  

2,377

     Granite Construction, Inc.     41,859  

5,343

     Great Lakes Dredge & Dock Co.*     50,812  

1,221

     IES Holdings, Inc.*     38,791  

2,047

     Jacobs Engineering Group, Inc.     189,899  

3,504

     MasTec, Inc.*     147,869  

1,578

     MYR Group, Inc.*     58,670  

574

     NV5 Global, Inc.*     30,290  

2,101

     Orion Group Holdings, Inc.*     5,778  

3,094

     Primoris Services Corp.     55,816  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Construction & Engineering, continued

 
          5,039      Quanta Services, Inc.   $ 266,361  
2,791      Tutor Perini Corp.*     31,064  
568      Valmont Industries, Inc.     70,534  
10,257      WillScot Mobile Mini Holdings Corp.*     171,087  
         1,924,593  

Construction Materials (0.2%):

 
961      Eagle Materials, Inc., Class A     82,954  
971      Martin Marietta Materials, Inc.     228,535  
5,020      Summit Materials, Inc., Class A*     83,031  
1,308      U.S. Concrete, Inc.*     37,984  
353      U.S. Lime & Minerals, Inc.     31,805  
2,021      Vulcan Materials Co.     273,926  
         738,235  

Consumer Finance (0.8%):

 
7,604      Ally Financial, Inc.     190,632  
8,259      American Express Co.     827,964  
4,697      Capital One Financial Corp.     337,526  
1,912      Consumer Portfolio Services, Inc.*     6,310  
563      Credit Acceptance Corp.*^     190,654  
5,192      Discover Financial Services     299,994  
2,110      Encore Capital Group, Inc.*     81,425  
1,910      Enova International, Inc.*     31,305  
3,948      EZCORP, Inc., Class A*     19,858  
1,460      Firstcash, Inc.     83,527  
1,425      Green Dot Corp., Class A*     72,119  
5,431      LendingClub Corp.*     25,580  
9,170      Navient Corp.     77,487  
1,462      Nelnet, Inc., Class A     88,086  
750      Nicholas Financial, Inc.*     5,453  
5,999      Onemain Holdings, Inc.     187,469  
2,661      PRA Group, Inc.*     106,307  
960      Regional Mgmt Corp.*     15,994  
7,521      Santander Consumer USA Holdings, Inc.     136,807  
13,802      SLM Corp.     111,658  
15,188      Synchrony Financial     397,469  
505      World Acceptance Corp.*^     53,303  
         3,346,927  

Containers & Packaging (0.8%):

 
21,700      Amcor plc     239,785  
2,245      AptarGroup, Inc.     254,134  
1,901      Avery Dennison Corp.     243,024  
4,279      Ball Corp.     355,670  
5,745      Berry Global Group, Inc.*     277,598  
4,160      Crown Holdings, Inc.*     319,738  
13,900      Graphic Packaging Holding Co.     195,851  
1,930      Greif, Inc., Class A     69,885  
1,110      Greif, Inc., Class B     43,823  
10,021      International Paper Co.     406,251  
2,608      Myers Industries, Inc.     34,504  
6,963      O-I Glass, Inc.     73,738  
2,417      Packaging Corp. of America     263,574  
3,591      Sealed Air Corp.     139,367  
5,030      Silgan Holdings, Inc.     184,953  
3,834      Sonoco Products Co.     195,802  
538      UFP Technologies, Inc.*     22,284  
4,190      WestRock Co.     145,561  
         3,465,542  

Distributors (0.2%):

 
2,074      Core Markt Holdngs Co., Inc.     60,001  
1,267      Funko, Inc., Class A*^     7,336  
2,466      Genuine Parts Co.     234,689  
5,971      LKQ Corp.*     165,576  
759      Pool Corp.     253,916  
Shares               Fair Value      

Common Stocks, continued

 

Distributors, continued

 
811      Weyco Group, Inc.   $ 13,114  
         734,632  

Diversified Consumer Services (0.3%):

 
          1,744      Adtalem Global Education, Inc.*     42,798  
1,304      American Public Education, Inc.*     36,760  
928      Bright Horizons Family Solutions, Inc.*     141,093  
1,464      Carriage Services, Inc.     32,662  
1,830      Chegg, Inc.*     130,735  
506      Collectors Universe, Inc.     25,042  
2,913      Frontdoor, Inc.*     113,345  
112      Graham Holdings Co., Class B     45,260  
1,763      Grand Canyon Education, Inc.*     140,934  
5,239      H&R Block, Inc.     85,343  
8,803      Houghton Mifflin Harcourt Co.*     15,229  
1,702      K12, Inc.*     44,831  
3,406      Laureate Education, Inc.*     45,232  
2,522      Perdoceo Education Corp.*     30,869  
1,309      Regis Corp.*     8,037  
3,783      Service Corp. International     159,566  
3,452      ServiceMaster Global Holdings, Inc.*     137,666  
825      Strategic Education, Inc.     75,463  
1,696      Universal Technical Institute, Inc.*     8,616  
1,419      WW International, Inc.*     26,777  
         1,346,258  

Diversified Financial Services (1.0%):

 
18,248      Berkshire Hathaway, Inc., Class B*     3,885,730  
2,704      Cannae Holdings, Inc.*     100,751  
8,500      Equitable Holdings, Inc.     155,040  
6,286      Jefferies Financial Group, Inc.     113,148  
827      Marlin Business Services, Inc.     5,830  
4,869      On Deck Capital, Inc.*     7,790  
2,777      Voya Financial, Inc.     133,102  
         4,401,391  

Diversified Telecommunication Services (1.9%):

 
398      Anterix, Inc.*     13,019  
95,926      AT&T, Inc.     2,734,850  
1,019      ATN International, Inc.     51,093  
41,808      CenturyLink, Inc.     421,843  
3,035      Cincinnati Bell, Inc.*     45,525  
1,533      Cogent Communications Holdings, Inc.     92,057  
4,558      Consolidated Communications Holdings, Inc.*     25,935  
1,994      IDT Corp.*     13,121  
4,575      Iridium Communications, Inc.*     117,029  
4,045      Orbcomm, Inc.*     13,753  
82,717      Verizon Communications, Inc.     4,920,833  
5,536      Vonage Holdings Corp.*     56,633  
         8,505,691  

Electric Utilities (1.4%):

 
1,814      ALLETE, Inc.     93,856  
3,658      Alliant Energy Corp.     188,936  
5,015      American Electric Power Co., Inc.     409,876  
1,163      Avangrid, Inc.     58,685  
6,721      Duke Energy Corp.     595,212  
4,999      Edison International     254,149  
2,654      Entergy Corp.     261,499  
3,085      Evergy, Inc.     156,780  
3,630      Eversource Energy     303,287  
9,675      Exelon Corp.     345,978  
5,940      FirstEnergy Corp.     170,537  
1,272      Genie Energy, Ltd., Class B     10,176  
3,281      Hawaiian Electric Industries, Inc.     109,060  
1,676      IDACORP, Inc.     133,912  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Electric Utilities, continued

 
          1,426      MGE Energy, Inc.   $ 89,353  
4,471      NextEra Energy, Inc.     1,240,971  
5,238      OGE Energy Corp.     157,088  
1,672      Otter Tail Corp.     60,476  
1,175      PG&E Corp.*     11,033  
1,787      Pinnacle West Capital Corp.     133,221  
2,755      PNM Resources, Inc.     113,864  
2,522      Portland General Electric Co.     89,531  
10,230      PPL Corp.     278,358  
10,080      Southern Co. (The)     546,538  
5,593      Xcel Energy, Inc.     385,973  
         6,198,349  

Electrical Equipment (0.9%):

 
1,491      Acuity Brands, Inc.     152,604  
926      Allied Motion Technologies, Inc.     38,225  
3,542      AMETEK, Inc.     352,075  
2,063      Atkore International Group, Inc.*     46,892  
1,175      AZZ, Inc.     40,091  
4,709      Eaton Corp. plc     480,459  
9,947      Emerson Electric Co.     652,225  
1,159      Encore Wire Corp.     53,801  
1,495      EnerSys     100,344  
1,682      Generac Holdings, Inc.*     325,702  
7,206      GrafTech International, Ltd.     49,289  
2,006      Hubbell, Inc.     274,501  
1,831      LSI Industries, Inc.     12,359  
5,836      nVent Electric plc     103,239  
606      Powell Industries, Inc.     14,623  
400      Preformed Line Products Co.     19,488  
1,766      Regal-Beloit Corp.     165,774  
1,789      Rockwell Automation, Inc.     394,797  
4,952      Sensata Technologies Holding plc*     213,629  
4,883      Sunrun, Inc.*     376,333  
1,298      Thermon Group Holdings, Inc.*     14,577  
1,704      Tpi Composites, Inc.*     49,348  
         3,930,375  

Electronic Equipment, Instruments &

Components (1.3%):

 
3,639      Amphenol Corp., Class A     393,995  
2,582      Arlo Technologies, Inc.*     13,581  
2,648      Arrow Electronics, Inc.*     208,292  
2,249      Avnet, Inc.     58,114  
1,234      Badger Meter, Inc.     80,667  
550      Bel Fuse, Inc., Class B     5,874  
2,225      Belden, Inc.     69,242  
1,721      Benchmark Electronics, Inc.     34,678  
2,500      CDW Corp.     298,825  
2,111      Cognex Corp.     137,426  
687      Coherent, Inc.*     76,209  
12,193      Corning, Inc.     395,175  
1,576      CTS Corp.     34,719  
2,838      Daktronics, Inc.     11,238  
1,977      Dolby Laboratories, Inc., Class A     131,036  
876      ePlus, Inc.*     64,123  
1,526      Fabrinet*     96,184  
1,007      FARO Technologies, Inc.*     61,407  
10,405      Fitbit, Inc., Class A*     72,419  
21,372      Flex, Ltd.*     238,084  
4,299      FLIR Systems, Inc.     154,119  
640      Frequency Electronics, Inc.*     6,470  
1,676      Insight Enterprises, Inc.*     94,828  
959      IPG Photonics Corp.*     163,001  
1,449      Itron, Inc.*     88,012  
7,168      Jabil, Inc.     245,576  
3,466      Keysight Technologies, Inc.*     342,371  
1,603      Kimball Electronics, Inc.*     18,531  
Shares               Fair Value      

Common Stocks, continued

 
Electronic Equipment, Instruments & Components, continued  
          4,037      Knowles Corp.*   $ 60,151  
725      Littlelfuse, Inc.     128,572  
2,290      Methode Electronics, Inc., Class A     65,265  
915      MTS Systems Corp.     17,486  
3,415      National Instruments Corp.     121,916  
902      Novanta, Inc.*     95,017  
594      OSI Systems, Inc.*     46,100  
1,445      PC Connection, Inc.     59,332  
1,291      Plexus Corp.*     91,183  
793      Rogers Corp.*     77,762  
2,240      Sanmina Corp.*     60,592  
1,757      ScanSource, Inc.*     34,841  
2,124      SYNNEX Corp.     297,487  
3,729      TE Connectivity, Ltd.     364,472  
3,861      Trimble, Inc.*     188,031  
6,321      TTM Technologies, Inc.*     72,123  
6,420      Vishay Intertechnology, Inc.     99,959  
966      Zebra Technologies Corp., Class A*     243,876  
         5,718,361  

Energy Equipment & Services (0.4%):

 
7,479      Archrock, Inc.     40,237  
12,902      Baker Hughes Co.     171,467  
519      Bristow Group, Inc.*     11,029  
6,215      ChampionX Corp.*     49,658  
1,347      Core Laboratories NV     20,555  
2,169      Dril-Quip, Inc.*     53,704  
2,010      Exterran Corp.*     8,362  
6,125      Forum Energy Technologies, Inc.*     3,366  
13,037      Frank’s International NV*     20,077  
760      Geospace Technologies Corp.*     4,697  
1,086      Gulf Island Fabrication, Inc.*     3,399  
26,656      Halliburton Co.     321,204  
7,826      Helix Energy Solutions Group, Inc.*     18,861  
2,727      Helmerich & Payne, Inc.     39,951  
177      KLX Energy Services Holdings, Inc.*^     735  
2,181      Liberty Oilfield Services, Inc., Class A     17,426  
1,436      Mammoth Energy Services, Inc.*     2,298  
1,750      Matrix Service Co.*     14,613  
359      Nabors Industries, Ltd.*     8,774  
8,395      National Oilwell Varco, Inc.     76,059  
935      Natural Gas Services Group*     7,901  
4,799      Newpark Resources, Inc.*     5,039  
12,646      NexTier Oilfield Solutions, Inc.*     23,395  
4,818      Oceaneering International, Inc.*     16,959  
3,066      Oil States International, Inc.*     8,370  
6,531      Patterson-UTI Energy, Inc.     18,613  
6,172      Propetro Holding Corp.*     25,058  
4,475      RPC, Inc.*     11,814  
23,184      Schlumberger, Ltd.     360,743  
1,291      SEACOR Holdings, Inc.*     37,542  
493      SEACOR Marine Holdings, Inc.*     1,001  
3,974      Select Energy Services, Inc.*     15,260  
13,590      TechnipFMC plc     85,753  
4,086      TETRA Technologies, Inc.*     2,087  
2,510      Tidewater, Inc.*     16,842  
14,584      Transocean, Ltd.*^     11,768  
4,546      U.S. Silica Holdings, Inc.     13,638  
         1,548,255  

Entertainment (1.2%):

 
5,649      Activision Blizzard, Inc.     457,287  
4,383      Cinemark Holdings, Inc.^     43,830  
2,138      Electronic Arts, Inc.*     278,817  
1,834      Eros STX Global Corp.*^     4,053  
2,858      Imax Corp.*     34,182  
247      Liberty Braves Group, Class A*     5,157  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Entertainment, continued

 
527      Liberty Braves Group, Class C*   $ 11,072  
619      Liberty Media Corp-Liberty Formula One, Class A*     20,743  
          4,974      Liberty Media Corp-Liberty Formula One, Class C*     180,407  
2,111      Lions Gate Entertainment Corp., Class A*     20,012  
2,411      Lions Gate Entertainment Corp., Class B*     21,024  
2,071      Live Nation Entertainment, Inc.*     111,585  
540      Madison Square Garden Entertainment Corp.*     36,985  
1,459      Marcus Corp.     11,278  
3,549      Netflix, Inc.*     1,774,605  
1,419      Reading International, Inc., Class A*     4,569  
294      Rosetta Stone, Inc.*     8,814  
755      Spotify Technology SA*     183,141  
1,662      Take-Two Interactive Software, Inc.*     274,596  
12,125      Walt Disney Co. (The)     1,504,470  
1,208      World Wrestling Entertainment, Inc., Class A     48,888  
31,714      Zynga, Inc.*     289,232  
         5,324,747  

Equity Real Estate Investment Trusts (0.0%):

 
1,837      Brookfield Renewable Corp., Class A     107,648  

Food & Staples Retailing (1.4%):

 
4,526      BJ’s Wholesale Club Holdings, Inc.*     188,055  
1,222      Casey’s General Stores, Inc.     217,088  
4,253      Costco Wholesale Corp.     1,509,815  
1,267      Ingles Markets, Inc., Class A     48,197  
19,769      Kroger Co. (The)     670,367  
1,720      Natural Grocers by Vitamin Cottage, Inc.     16,959  
3,362      Performance Food Group Co.*     116,392  
884      PriceSmart, Inc.     58,742  
1,864      Rite Aid Corp.*^     17,689  
3,281      SpartanNash Co.     53,644  
4,494      Sprouts Farmers Market, Inc.*     94,059  
8,242      Sysco Corp.     512,817  
1,610      The Andersons, Inc.     30,864  
1,143      The Chefs’ Warehouse, Inc.*     16,619  
3,347      United Natural Foods, Inc.*     49,770  
9,226      US Foods Holding Corp.*     205,002  
738      Village Super Market, Inc., Class A     18,162  
11,281      Walgreens Boots Alliance, Inc.     405,214  
14,281      Walmart, Inc.     1,998,056  
1,607      Weis Markets, Inc.     77,136  
         6,304,647  

Food Products (1.5%):

 
8,473      Archer-Daniels-Midland Co.     393,910  
3,898      B&G Foods, Inc.^     108,247  
4,205      Bunge, Ltd.     192,169  
808      Calavo Growers, Inc.     53,546  
1,477      Cal-Maine Foods, Inc.*     56,672  
5,711      Campbell Soup Co.     276,241  
8,140      Conagra Brands, Inc.     290,679  
4,717      Darling Ingredients, Inc.*     169,954  
1,004      Farmer Brothers Co.*     4,438  
7,961      Flowers Foods, Inc.     193,691  
2,396      Fresh Del Monte Produce, Inc.     54,916  
10,572      General Mills, Inc.     652,081  
3,802      Hain Celestial Group, Inc. (The)*     130,409  
1,995      Hershey Co. (The)     285,963  
4,488      Hormel Foods Corp.     219,418  
6,244      Hostess Brands, Inc.*     76,989  
Shares               Fair Value      

Common Stocks, continued

 

Food Products, continued

 
          2,764      Ingredion, Inc.   $ 209,180  
576      J & J Snack Foods Corp.     75,105  
2,059      JM Smucker Co. (The)     237,856  
300      John B Sanfilippo And Son, Inc.     22,614  
3,437      Kellogg Co.     221,996  
9,513      Kraft Heinz Co. (The)     284,914  
2,371      Lamb Weston Holdings, Inc.     157,126  
902      Lancaster Colony Corp.     161,278  
1,028      Landec Corp.*     9,992  
2,276      McCormick & Co.     441,772  
389      McCormick & Co., Inc.     75,979  
9,925      Mondelez International, Inc., Class A     570,191  
4,222      Pilgrim’s Pride Corp.*     63,182  
2,703      Post Holdings, Inc.*     232,458  
854      Sanderson Farms, Inc.     100,746  
29      Seaboard Corp.     82,264  
677      Seneca Foods Corp., Class A*     24,189  
3,045      Simply Good Foods Co. (The)*     67,142  
1,897      Tootsie Roll Industries, Inc.^     58,617  
2,341      TreeHouse Foods, Inc.*     94,881  
5,547      Tyson Foods, Inc., Class A     329,936  
         6,680,741  

Gas Utilities (0.2%):

 
1,922      Atmos Energy Corp.     183,725  
439      Chesapeake Utilities Corp.     37,008  
2,716      National Fuel Gas Co.     110,242  
3,160      New Jersey Resources Corp.     85,383  
1,115      Northwest Natural Holding Co.     50,610  
1,624      ONE Gas, Inc.     112,072  
232      RGC Resources, Inc.     5,440  
2,958      South Jersey Industries, Inc.     57,001  
1,754      Southwest Gas Holdings, Inc.     110,677  
1,545      Spire, Inc.     82,194  
5,539      UGI Corp.     182,676  
         1,017,028  

Health Care Equipment & Supplies (2.6%):

 
11,892      Abbott Laboratories     1,294,205  
763      ABIOMED, Inc.*     211,397  
2,269      Accuray, Inc.*     5,446  
849      Align Technology, Inc.*     277,929  
2,726      AngioDynamics, Inc.*     32,876  
955      Anika Therapeutics, Inc.*     33,797  
66      Atrion Corp.     41,316  
1,897      Avanos Medical, Inc.*     63,018  
5,447      Baxter International, Inc.     438,048  
2,024      Becton Dickinson & Co.     470,944  
9,810      Boston Scientific Corp.*     374,840  
1,208      Cantel Medical Corp.     53,080  
789      CONMED Corp.     62,071  
862      Cooper Cos., Inc. (The)     290,597  
1,619      CryoLife, Inc.*     29,903  
4,289      Danaher Corp.     923,550  
3,380      Dentsply Sirona, Inc.     147,807  
693      DexCom, Inc.*     285,675  
3,836      Edwards Lifesciences Corp.*     306,190  
1,790      Envista Holdings Corp.*     44,177  
2,271      Globus Medical, Inc., Class A*     112,460  
1,463      Haemonetics Corp.*     127,647  
392      Heska Corp.*     38,726  
1,363      Hill-Rom Holdings, Inc.     113,824  
4,790      Hologic, Inc.*     318,391  
774      ICU Medical, Inc.*     141,456  
1,406      IDEXX Laboratories, Inc.*     552,713  
433      Inogen, Inc.*     12,557  
489      Insulet Corp.*     115,693  
1,457      Integer Holdings Corp.*     85,978  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Health Care Equipment & Supplies, continued

 
          2,946      Integra LifeSciences Holdings Corp.*   $ 139,110  
681      Intuitive Surgical, Inc.*     483,197  
2,327      Invacare Corp.     17,499  
1,705      Lantheus Holdings, Inc.*     21,602  
809      LeMaitre Vascular, Inc.     26,317  
1,168      LivaNova plc*     52,805  
647      Masimo Corp.*     152,731  
9,118      Medtronic plc     947,542  
3,164      Meridian Bioscience, Inc.*     53,725  
1,466      Merit Medical Systems, Inc.*     63,771  
1,935      Natus Medical, Inc.*     33,147  
804      Neogen Corp.*     62,913  
952      Novocure, Ltd.*     105,967  
1,366      NuVasive, Inc.*     66,347  
2,205      OraSure Technologies, Inc.*     26,835  
1,074      Orthofix Medical, Inc.*     33,444  
630      Penumbra, Inc.*     122,459  
700      Quidel Corp.*     153,566  
1,849      ResMed, Inc.     316,974  
624      SeaSpine Holdings Corp.*     8,923  
1,207      Steris plc     212,661  
2,317      Stryker Corp.     482,793  
3,310      Surgalign Holdings, Inc.*     5,991  
631      Teleflex, Inc.     214,805  
227      Utah Medical Products, Inc.     18,130  
1,961      Varex Imaging Corp.*     24,944  
1,458      Varian Medical Systems, Inc.*     250,776  
775      West Pharmaceutical Services, Inc.     213,048  
1,577      Zimmer Biomet Holdings, Inc.     214,693  
         11,533,026  

Health Care Providers & Services (2.7%):

 
3,551      Acadia Healthcare Co., Inc.*     104,683  
634      Addus HomeCare Corp.*     59,919  
864      Amedisys, Inc.*     204,276  
3,643      AmerisourceBergen Corp.     353,080  
1,394      AMN Healthcare Services, Inc.*     81,493  
2,561      Anthem, Inc.     687,859  
724      BioTelemetry, Inc.*     33,000  
9,264      Brookdale Senior Living, Inc.*     23,531  
5,011      Cardinal Health, Inc.     235,266  
6,961      Centene Corp.*     406,035  
297      Chemed Corp.     142,664  
5,111      Cigna Corp.     865,855  
7,171      Community Health Systems, Inc.*     30,262  
922      CorVel Corp.*     78,766  
1,589      Covetrus, Inc.*     38,772  
1,177      Cross Country Healthcare, Inc.*     7,639  
18,089      CVS Health Corp.     1,056,398  
3,446      DaVita, Inc.*     295,150  
3,452      Encompass Health Corp.     224,311  
1,585      Ensign Group, Inc. (The)     90,440  
78      Five Star Senior Living, Inc.*     395  
502      Guardant Health, Inc.*     56,114  
1,531      Hanger, Inc.*     24,220  
2,675      HCA Healthcare, Inc.     333,519  
2,772      Henry Schein, Inc.*     162,938  
1,616      Humana, Inc.     668,846  
2,629      InfuSystems Holdings, Inc.*     33,704  
1,732      Laboratory Corp. of America Holdings*     326,084  
925      LHC Group, Inc.*     196,618  
1,471      Magellan Health, Inc.*     111,472  
3,022      McKesson Corp.     450,066  
3,346      MEDNAX, Inc.*     54,473  
1,417      Molina Healthcare, Inc.*     259,368  
1,075      National Healthcare Corp.     66,983  
Shares               Fair Value      

Common Stocks, continued

 

Health Care Providers & Services, continued

 
1,219      National Research Corp.   $ 59,987  
4,172      Owens & Minor, Inc.     104,759  
3,095      Patterson Cos., Inc.     74,605  
629      Petiq, Inc.*     20,707  
2,269      Premier, Inc., Class A     74,491  
835      Providence Service Corp.*     77,580  
2,229      Quest Diagnostics, Inc.     255,198  
2,518      RadNet, Inc.*     38,651  
2,778      Select Medical Holdings Corp.*     57,838  
2,133      Surgery Partners, Inc.*     46,713  
3,992      Tenet Healthcare Corp.*     97,844  
792      The Pennant Group, Inc.*     30,540  
1,303      Triple-S Management Corp., Class B*     23,285  
577      U.S. Physical Therapy, Inc.     50,130  
9,755      UnitedHealth Group, Inc.     3,041,315  
2,273      Universal Health Services, Inc., Class B     243,256  
         12,061,098  

Health Care Technology (0.3%):

 
8,903      Allscripts Healthcare Solutions, Inc.*     72,470  
5,194      Cerner Corp.     375,475  
6,000      Change Healthcare, Inc.*     87,060  
339      Computer Programs & Systems, Inc.     9,360  
4,037      Evolent Health, Inc., Class A*     50,099  
1,357      HealthStream, Inc.*     27,235  
3,154      HMS Holdings Corp.*     75,538  
2,464      NextGen Healthcare, Inc.*     31,391  
1,095      Omnicell, Inc.*     81,753  
1,047      Simulations Plus, Inc.     78,902  
670      Teladoc Health, Inc.*^     146,891  
841      Veeva Systems, Inc., Class A*     236,481  
         1,272,655  

Hotels, Restaurants & Leisure (1.9%):

 
6,974      Aramark     184,462  
6      Biglari Holdings, Inc., Class A*     2,927  
67      Biglari Holdings, Inc., Class B*     5,964  
813      BJ’s Restaurants, Inc.     23,935  
3,499      Bloomin’ Brands, Inc.     53,430  
491      Bluegreen Vacations Holding Corp.*     6,574  
1,968      Brinker International, Inc.     84,073  
6,877      Carnival Corp., Class A^     104,392  
2,943      Carrols Restaurant Group, Inc.*     18,982  
2,158      Cheesecake Factory, Inc. (The)^     59,863  
291      Chipotle Mexican Grill, Inc.*     361,919  
1,693      Choice Hotels International, Inc.     145,530  
879      Churchill Downs, Inc.     143,998  
1,178      Chuy’s Holdings, Inc.*     23,065  
1,026      Cracker Barrel Old Country Store, Inc.     117,641  
3,400      Darden Restaurants, Inc.     342,515  
1,410      Dave & Buster’s Entertainment, Inc.^     21,376  
2,144      Del Taco Restaurants, Inc.*     17,581  
2,291      Denny’s Corp.*     22,910  
684      Dine Brands Global, Inc.     37,340  
556      Domino’s Pizza, Inc.     236,456  
2,338      Dunkin’ Brands Group, Inc.     191,506  
1,288      El Pollo Loco Holdings, Inc.*     20,866  
1,277      Fiesta Restaurant Group, Inc.*     11,965  
2,724      Hilton Grand Vacations, Inc.*     57,150  
3,316      Hilton Worldwide Holdings, Inc.     282,921  
1,051      Hyatt Hotels Corp., Class A     56,092  
6,233      International Game Technology plc     69,373  
721      Jack in the Box, Inc.     57,183  
6,294      Las Vegas Sands Corp.     293,678  
2,136      Luby’s, Inc.*     6,109  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Hotels, Restaurants & Leisure, continued

 
          2,747      Marriott International, Inc., Class A   $ 254,317  
1,381      Marriott Vacations Worldwide Corp.     125,409  
6,861      McDonald’s Corp.     1,505,920  
10,392      MGM Resorts International     226,026  
341      Nathans Famous, Inc.     17,476  
5,162      Norwegian Cruise Line Holdings, Ltd.*^     88,322  
884      Papa John’s International, Inc.     72,736  
2,376      Penn National Gaming, Inc.*     172,735  
2,093      Planet Fitness, Inc., Class A*     128,971  
3,664      Playa Hotels & Resorts NV*     15,352  
763      Potbelly Corp.*^     2,892  
1,501      Red Lion Hotels Corp.*     3,227  
878      Red Robin Gourmet Burgers*     11,554  
1,400      Red Rock Resorts, Inc.     23,940  
3,592      Royal Caribbean Cruises, Ltd.     232,510  
2,527      Ruth’s Hospitality Group, Inc.     27,949  
3,394      Scientific Games Corp., Class A*     118,485  
2,359      SeaWorld Entertainment, Inc.*     46,519  
1,629      Six Flags Entertainment Corp.     33,069  
11,010      Starbucks Corp.     945,978  
2,101      Texas Roadhouse, Inc., Class A     127,720  
1,118      Vail Resorts, Inc.     239,218  
6,284      Wendy’s Co. (The)     140,102  
898      Wingstop, Inc.     122,712  
3,177      Wyndham Destinations, Inc.     97,725  
3,177      Wyndham Hotels & Resorts, Inc.     160,439  
1,778      Wynn Resorts, Ltd.     127,678  
3,299      Yum! Brands, Inc.     301,199  
         8,431,956  

Household Durables (1.2%):

 
1,886      Beazer Homes USA, Inc.*     24,895  
274      Cavco Industries, Inc.*     49,405  
1,523      Century Communities, Inc.*     64,469  
5,611      D.R. Horton, Inc.     424,360  
1,137      Dixie Group, Inc. (The)*     1,022  
1,910      Ethan Allen Interiors, Inc.     25,861  
431      Flexsteel Industries, Inc.     10,344  
3,016      Garmin, Ltd.     286,098  
2,761      GoPro, Inc., Class A*     12,507  
2,219      Green Brick Partners, Inc.*     35,726  
841      Helen of Troy, Ltd.*     162,750  
500      Hooker Furniture Corp.     12,915  
1,333      Installed Building Products, Inc.*     135,633  
931      iRobot Corp.*^     70,663  
3,106      KB Home     119,239  
2,231      La-Z-Boy, Inc.     70,567  
5,447      Leggett & Platt, Inc.     224,253  
5,073      Lennar Corp., Class A     414,363  
119      Lennar Corp., Class B     7,814  
1,206      LGI Homes, Inc.*     140,101  
1,017      Lifetime Brands, Inc.     9,611  
1,880      M/I Homes, Inc.*     86,574  
2,531      MDC Holdings, Inc.     119,210  
3,168      Meritage Homes Corp.*     349,716  
2,105      Mohawk Industries, Inc.*     205,427  
12,433      Newell Brands, Inc.     213,350  
69      NVR, Inc.*     281,735  
8,076      PulteGroup, Inc.     373,838  
122      Roku, Inc.*     23,034  
1,588      Skyline Champion Corp.*     42,511  
4,449      Taylor Morrison Home Corp., Class A*     109,401  
1,501      Tempur Sealy International, Inc.*     133,874  
2,183      Toll Brothers, Inc.     106,225  
1,321      TopBuild Corp.*     225,481  
Shares               Fair Value      

Common Stocks, continued

 

Household Durables, continued

 
          4,276      TRI Pointe Group, Inc.*   $ 77,567  
2,153      Tupperware Brands Corp.*     43,404  
718      Universal Electronics, Inc.*     27,097  
2,420      Whirlpool Corp.     445,013  
1,918      Zagg, Inc.*^     5,370  
         5,171,423  

Household Products (1.4%):

 
2,499      Central Garden & Pet Co., Class A*     90,314  
4,245      Church & Dwight Co., Inc.     397,799  
1,983      Clorox Co. (The)     416,767  
9,843      Colgate-Palmolive Co.     759,387  
2,884      Energizer Holdings, Inc.     112,880  
3,282      Kimberly-Clark Corp.     484,620  
333      Oil-Dri Corp of America     11,911  
25,047      Procter & Gamble Co. (The)     3,481,283  
2,129      Spectrum Brands Holdings, Inc.     121,694  
295      WD-40 Co.     55,846  
         5,932,501  
Independent Power and Renewable Electricity Producers (0.2%):  
10,688      AES Corp. (The)     193,560  
5,810      Atlantic Power Corp.*     11,388  
3,840      Atlantica Sustainable Infrastructure plc     109,862  
1,323      Clearway Energy, Inc., Class A     32,678  
2,753      Clearway Energy, Inc., Class C     74,221  
6,130      NRG Energy, Inc.     188,436  
1,858      Ormat Technologies, Inc.     109,826  
13,537      Vistra Energy Corp.     255,308  
         975,279  

Industrial Conglomerates (0.8%):

 
9,137      3M Co.     1,463,565  
2,058      Carlisle Cos., Inc.     251,837  
64,642      General Electric Co.     402,720  
7,216      Honeywell International, Inc.     1,187,826  
1,736      Raven Industries, Inc.     37,359  
876      Roper Technologies, Inc.     346,116  
         3,689,423  

Insurance (2.8%):

 
7,012      Aflac, Inc.     254,886  
275      Alleghany Corp.     143,124  
6,922      Allstate Corp. (The)     651,637  
2,395      AMBAC Financial Group, Inc.*     30,584  
3,511      American Equity Investment Life Holding Co.     77,207  
2,547      American Financial Group, Inc.     170,598  
10,777      American International Group, Inc.     296,691  
409      American National Group , Inc.     27,620  
907      Amerisafe, Inc.     52,026  
4,052      Aon plc, Class A     835,928  
7,386      Arch Capital Group, Ltd.*     216,040  
1,501      Argo Group International Holdings, Ltd.     51,679  
3,149      Arthur J. Gallagher & Co.     332,471  
1,554      Assurant, Inc.     188,516  
3,247      Assured Guaranty, Ltd.     69,746  
5,206      Athene Holding, Ltd., Class A*     177,420  
2,351      Axis Capital Holdings, Ltd.     103,538  
3,603      Brighthouse Financial, Inc.*     96,957  
5,822      Brown & Brown, Inc.     263,562  
4,435      Chubb, Ltd.     514,992  
2,482      Cincinnati Financial Corp.     193,522  
2,176      Citizens, Inc.*^     12,055  
1,199      CNA Financial Corp.     35,958  
2,354      Crawford & Co.     15,160  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares           Fair Value  

Common Stocks, continued

 

Insurance, continued

 
2,915      Crawford & Co., Class A   $ 19,064  
1,631      Donegal Group, Inc., Class A     22,948  
800      eHealth, Inc.*     63,200  
1,993      Employers Holdings, Inc.     60,288  
447      Enstar Group, Ltd.*     72,191  
664      Erie Indemnity Co., Class A     139,626  
748      Everest Re Group, Ltd.     147,759  
1,025      FBL Financial Group, Inc., Class A     49,405  
1,054      FedNat Holding Co.     6,661  
6,772      Fidelity National Financial, Inc.             212,031  
3,746      First American Financial Corp.     190,709  
        21,335      Genworth Financial, Inc., Class A*     71,472  
695      Global Indemnity Group LLC, Class A     14,449  
2,457      Globe Life, Inc.     196,314  
2,383      Greenlight Capital Re, Ltd.*     16,038  
1,469      Hallmark Financial Services, Inc.*     3,849  
1,263      Hanover Insurance Group, Inc. (The)     117,686  
10,034      Hartford Financial Services Group, Inc. (The)     369,853  
397      HCI Group, Inc.     19,568  
387      Heritage Insurance Holdings, Inc.     3,916  
2,388      Horace Mann Educators Corp.     79,759  
1,317      Independence Holding Co.     49,664  
153      Investors Title Co.     19,899  
1,283      James River Group Holdings     57,132  
2,246      Kemper Corp.     150,100  
152      Kinsale Capital Group, Inc.     28,907  
3,278      Lincoln National Corp.     102,700  
5,372      Loews Corp.     186,677  
5,556      Maiden Holdings, Ltd.*     6,778  
242      Markel Corp.*     235,635  
5,461      Marsh & McLennan Cos., Inc.     626,377  
1,688      Mercury General Corp.     69,833  
8,570      MetLife, Inc.     318,547  
4,959      National General Holdings Corp.     167,366  
162      National Western Life Group, Inc., Class A     29,609  
9,717      Old Republic International Corp.     143,229  
1,670      Primerica, Inc.     188,944  
5,300      Principal Financial Group, Inc.     213,431  
2,111      ProAssurance Corp.     33,016  
7,178      Progressive Corp. (The)     679,541  
6,443      Prudential Financial, Inc.     409,259  
1,719      Reinsurance Group of America, Inc.     163,632  
830      RenaissanceRe Holdings, Ltd.     140,884  
1,252      RLI Corp.     104,830  
854      Safety Insurance Group, Inc.     59,003  
2,198      Selective Insurance Group, Inc.     113,175  
2,664      State Auto Financial Corp.     36,657  
1,761      Stewart Information Services Corp.     77,009  
5,145      Third Point Reinsurance, Ltd.*     35,758  
1,767      Tiptree, Inc., Class A     8,747  
5,503      Travelers Cos., Inc. (The)     595,370  
1,438      United Fire Group, Inc.     29,220  
2,794      United Insurance Holdings Co.     16,932  
1,869      Universal Insurance Holdings, Inc.     25,867  
5,839      Unum Group     98,270  
140      White Mountains Insurance Group, Ltd.     109,060  
1,549      Willis Towers Watson plc     323,462  
2,831      WR Berkley Corp.     173,116  
         12,516,339  

Interactive Media & Services (3.2%):

 
2,187      Alphabet, Inc., Class A*     3,205,267  
2,203      Alphabet, Inc., Class C*     3,237,529  
Shares           Fair Value  

Common Stocks, continued

 

Interactive Media & Services, continued

 
1,229      Cargurus, Inc.*   $ 26,583  
3,783      Cars.com, Inc.*     30,567  
2,881      DHI Group, Inc.*     6,511  
23,933      Facebook, Inc., Class A*     6,268,053  
728      IAC/InterActive Corp.*     87,200  
5,384      Liberty TripAdvisor Holdings, Inc., Class A*     9,314  
2,717      Match Group, Inc.*     300,636  
1,563      QuinStreet, Inc.*     24,758  
4,440      Snap, Inc., Class A*     115,928  
1,344      Travelzoo, Inc.*     8,642  
2,514      TripAdvisor, Inc.     49,249  
6,966      TrueCar, Inc.*     34,830  
10,559      Twitter, Inc.*     469,876  
2,068      Yelp, Inc.*     41,546  
664      Zedge, Inc., Class B*     969  
1,125      Zillow Group, Inc., Class A*     114,233  
1,817      Zillow Group, Inc., Class C*     184,589  
         14,216,280  

Internet & Direct Marketing Retail (3.8%):

 
2,093      1-800 Flowers.com, Inc., Class A*     52,199  
4,345      Amazon.com, Inc.*     13,681,231  
532      Booking Holdings, Inc.*     910,082  
11,611      eBay, Inc.     604,933  
2,028      Etsy, Inc.*     246,666  
1,839      Expedia Group, Inc.     168,618  
210      Groupon, Inc.*     4,284  
        2,772      Grubhub, Inc.*     200,499  
2,242      Lands’ End, Inc.*     29,213  
1,546      Leaf Group, Ltd.*     7,761  
1,736      Liquidity Services, Inc.*     12,951  
4,404      Magnite, Inc.*     30,586  
1,164      PetMed Express, Inc.^     36,806  
4,088      Quotient Technology, Inc.*     30,169  
8,810      Qurate Retail, Inc., Class A     63,256  
981      Shutterstock, Inc.     51,051  
585      Stamps.com, Inc.*     140,956  
1,006      Wayfair, Inc., Class A*^     292,756  
             16,564,017  

IT Services (5.1%):

 
7,167      Accenture plc, Class C     1,619,671  
2,369      Akamai Technologies, Inc.*     261,869  
2,523      Alliance Data Systems Corp.     105,916  
2,873      Amdocs, Ltd.     164,939  
6,498      Automatic Data Processing, Inc.     906,406  
2,392      Black Knight, Inc.*     208,224  
3,165      Booz Allen Hamilton Holding Corp.     262,632  
2,307      Broadridge Financial Solutions, Inc.     304,524  
843      CACI International, Inc., Class A*     179,694  
2,591      Cardtronics plc*     51,302  
687      Cass Information Systems, Inc.     27,645  
6,964      Cognizant Technology Solutions Corp., Class A     483,441  
6,347      Conduent, Inc.*     20,183  
2,751      CoreLogic, Inc.     186,160  
1,424      CSG Systems International, Inc.     58,313  
11,161      DXC Technology Co.     199,224  
513      Endurance International Group Holdings, Inc.*     2,945  
577      EPAM Systems, Inc.*     186,533  
1,986      Euronet Worldwide, Inc.*     180,925  
2,060      Evertec, Inc.     71,503  
1,320      Exlservice Holdings, Inc.*     87,080  
5,904      Fidelity National Information Services, Inc.     869,128  
4,458      Fiserv, Inc.*     459,397  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

IT Services, continued

 
1,423      FleetCor Technologies, Inc.*   $ 338,816  
1,826      Gartner, Inc.*     228,159  
6,266      Genpact, Ltd.     244,061  
2,834      Global Payments, Inc.     503,262  
2,119      GoDaddy, Inc., Class A*     160,980  
2,548      GTT Communications, Inc.*^     13,148  
1,357      Hackett Group, Inc. (The)     15,171  
15,233      International Business Machines Corp.     1,853,399  
1,038      Jack Henry & Associates, Inc.     168,768  
5,179      KBR, Inc.     115,802  
3,168      Leidos Holdings, Inc.     282,427  
2,160      Limelight Networks, Inc.*     12,442  
1,817      LiveRamp Holdings, Inc.*     94,066  
1,140      ManTech International Corp., Class A     78,523  
10,500      MasterCard, Inc., Class A     3,550,785  
2,057      Maximus, Inc.     140,719  
403      MongoDB, Inc.*     93,299  
2,359      NIC, Inc.     46,472  
642      Okta, Inc.*     137,292  
6,703      Paychex, Inc.     534,698  
6,774      PayPal Holdings, Inc.*     1,334,681  
1,054      Perficient, Inc.*     45,048  
3,968      Perspecta, Inc.     77,178  
840      PFSweb, Inc.*     5,620  
6,698      Sabre Corp.     43,604  
1,873      Science Applications International Corp.     146,881  
3,035      Servicesource International, Inc.*     4,461  
1,296      Square, Inc., Class A*     210,665  
3,966      Steel Connect, Inc.*     2,151  
2,283      Sykes Enterprises, Inc.*     78,101  
3,331      Teradata Corp.*     75,614  
2,048      TTEC Holdings, Inc.     111,718  
2,010      Twilio, Inc., Class A*     496,651  
3,021      Unisys Corp.*     32,234  
1,183      VeriSign, Inc.*     242,338  
1,675      Virtusa Corp.*     82,343  
18,119      Visa, Inc., Class A     3,623,256  
6,143      Western Union Co.     131,644  
1,400      WEX, Inc.*     194,558  
         22,448,689  

Leisure Products (0.3%):

 
2,298      Acushnet Holdings Corp.     77,236  
895      American Outdoor Brands, Inc.*     11,662  
        2,964      Brunswick Corp.     174,609  
3,826      Callaway Golf Co.     73,230  
658      Escalade, Inc.     12,035  
3,535      Hasbro, Inc.     292,414  
503      Johnson Outdoors, Inc., Class A     41,191  
531      Malibu Boats, Inc.*     26,316  
662      Marine Products Corp.     10,354  
6,035      Mattel, Inc.*     70,610  
1,932      Nautilus Group, Inc.*     33,153  
1,859      Polaris, Inc.     175,377  
3,582      Smith & Wesson Brands, Inc.     55,593  
2,859      Vista Outdoor, Inc.*     57,695  
         1,111,475  

Life Sciences Tools & Services (0.9%):

 
2,589      Agilent Technologies, Inc.     261,334  
314      Bio-Rad Laboratories, Inc., Class A*     161,854  
482      Bio-Techne Corp.     119,406  
5,159      Bruker Corp.     205,070  
940      Charles River Laboratories International, Inc.*     212,863  
Shares               Fair Value      

Common Stocks, continued

 

Life Sciences Tools & Services, continued

 
1,979      Harvard Bioscience, Inc.*   $ 5,957  
1,009      Illumina, Inc.*     311,862  
2,362      IQVIA Holdings, Inc.*     372,322  
2,457      Luminex Corp.     64,496  
1,150      Medpace Holdings, Inc.*     128,513  
360      Mettler-Toledo International, Inc.*     347,670  
1,400      Neogenomics, Inc.*     51,646  
1,490      PerkinElmer, Inc.     187,010  
1,655      PRA Health Sciences, Inc.*     167,883  
        2,622      Syneos Health, Inc.*     139,386  
2,658      Thermo Fisher Scientific, Inc.     1,173,559  
907      Waters Corp.*     177,482  
         4,088,313  

Machinery (2.9%):

 
2,603      AGCO Corp.     193,325  
228      Alamo Group, Inc.     24,631  
737      Albany International Corp., Class A     36,489  
4,381      Allison Transmission Holdings, Inc.     153,948  
1,335      Altra Industrial Motion Corp.     49,355  
929      Astec Industries, Inc.     50,398  
1,993      Barnes Group, Inc.     71,230  
837      Blue Bird Corp.*     10,178  
9,276      Caterpillar, Inc.     1,383,516  
1,019      Chart Industries, Inc.*     71,605  
1,284      CIRCOR International, Inc.*     35,117  
4,064      Colfax Corp.*     127,447  
1,526      Columbus McKinnon Corp.     50,511  
2,706      Commercial Vehicle Group, Inc.*     17,670  
1,945      Crane Co.     97,503  
3,376      Cummins, Inc.     712,876  
3,485      Deere & Co.     772,381  
562      DMC Global, Inc.     18,512  
4,360      Donaldson Co., Inc.     202,391  
1,324      Douglas Dynamics, Inc.     45,281  
2,663      Dover Corp.     288,509  
2,898      Enerpac Tool Group Corp.*     54,511  
1,120      EnPro Industries, Inc.     63,179  
951      ESCO Technologies, Inc.     76,613  
2,747      Evoqua Water Technologies Co.*     58,291  
2,959      Federal Signal Corp.     86,551  
4,708      Flowserve Corp.     128,481  
5,200      Fortive Corp.     396,292  
1,521      Franklin Electric Co., Inc.     89,480  
694      FreightCar America, Inc.*     1,582  
889      Gencor Industries, Inc.*     9,806  
1,617      Gorman-Rupp Co. (The)     47,637  
3,181      Graco, Inc.     195,154  
2,503      Harsco Corp.*     34,817  
1,370      Helios Technologies, Inc.     49,868  
2,888      Hillenbrand, Inc.     81,904  
490      Hurco Cos, Inc.     13,916  
896      Hyster-Yale Materials Handling, Inc., Class A     33,286  
1,111      IDEX Corp.     202,658  
3,888      Illinois Tool Works, Inc.     751,200  
5,321      Ingersoll-Rand, Inc.*     189,428  
3,090      ITT, Inc.     182,465  
1,157      John Bean Technologies Corp.     106,317  
598      Kadant, Inc.     65,553  
2,960      Kennametal, Inc.     85,662  
787      L.B. Foster Co., Class A*     10,562  
1,806      Lincoln Electric Holdings, Inc.     166,224  
539      Lindsay Corp.     52,111  
774      Lydall, Inc.*     12,802  
1,213      Manitex International, Inc.*     5,058  
2,529      Manitowoc Co., Inc. (The)*     21,269  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Machinery, continued

 
4,260      Meritor, Inc.*   $ 89,204  
1,601      Middleby Corp. (The)*     143,626  
2,406      Mueller Industries, Inc.     65,106  
7,183      Mueller Water Products, Inc., Class A     74,631  
2,868      Navistar International Corp.*     124,873  
1,258      NN, Inc.*     6,491  
1,155      Nordson Corp.     221,552  
158      Omega Flex, Inc.     24,762  
2,269      Oshkosh Corp.     166,772  
4,844      Otis Worldwide Corp.     302,362  
5,069      PACCAR, Inc.     432,284  
2,905      Parker Hannifin Corp.     587,798  
1,058      Park-Ohio Holdings Corp.     17,002  
5,836      Pentair plc     267,114  
677      Proto Labs, Inc.*     87,672  
660      RBC Bearings, Inc.*     79,999  
5,687      REV Group, Inc.     44,870  
5,156      Rexnord Corp.     153,855  
612      Shyft Group, Inc. (The)     11,555  
1,567      Snap-On, Inc.     230,553  
1,562      SPX Corp.*     72,446  
2,004      SPX FLOW, Inc.*     85,811  
775      Standex International Corp.     45,880  
2,392      Stanley Black & Decker, Inc.     387,982  
793      Tennant Co.     47,865  
3,523      Terex Corp.     68,205  
1,612      The Greenbrier Cos., Inc.     47,393  
3,355      Timken Co.     181,908  
3,046      Titan International, Inc.     8,803  
2,013      Toro Co. (The)     168,991  
2,213      TriMas Corp.*     50,456  
5,158      Trinity Industries, Inc.     100,581  
4,006      Wabash National Corp.     47,912  
3,488      Wabtec Corp.     215,837  
960      Watts Water Technologies, Inc., Class A     96,144  
4,275      Welbilt, Inc.*     26,334  
1,972      Woodward, Inc.     158,076  
2,483      Xylem, Inc.     208,870  
         12,837,125  

Marine (0.0%):

 
7,028      Costamare, Inc.     42,660  
239      Eagle Bulk Shipping, Inc.*     3,912  
1,300      Genco Shipping & Trading, Ltd.     8,970  
1,948      Kirby Corp.*     70,459  
1,541      Matson, Inc.     61,779  
147      Scorpio Bulkers, Inc.     2,082  
         189,862  

Media (1.7%):

 
1,468      A.H. Belo Corp., Class A     2,070  
4,725      Altice USA, Inc., Class A*     122,850  
2,029      AMC Networks, Inc., Class A*     50,137  
108      Cable One, Inc.     203,626  
1,473      Charter Communications, Inc., Class A*     919,652  
        55,894      Comcast Corp., Class A     2,585,655  
2,952      comScore, Inc.*     6,022  
9,763      Discovery Communications, Inc., Class C*     191,355  
4,410      Discovery, Inc., Class A*     96,006  
5,909      DISH Network Corp., Class A*     171,538  
4,131      E.W. Scripps Co. (The), Class A     47,259  
4,691      Emerald Holding, Inc.     9,570  
8,164      Entercom Communications Corp.     13,144  
4,792      Entravision Communications Corp., Class A     7,284  
Shares               Fair Value      

Common Stocks, continued

 

Media, continued

 
6,577      Fox Corp., Class A   $ 183,038  
4,958      Fox Corp., Class B     138,675  
7,573      Gannett Co, Inc.*     9,845  
2,933      GCI Liberty, Inc., Class A*     240,389  
4,886      Gray Television, Inc.*     67,280  
14,181      Interpublic Group of Cos., Inc. (The)     236,397  
1,262      John Wiley & Sons, Inc., Class A     40,018  
192      John Wiley & Sons, Inc., Class B     6,077  
563      Liberty Broadband Corp., Class A*     79,839  
2,286      Liberty Broadband Corp., Class C*     326,601  
1,489      Liberty Latin America, Ltd.*     12,284  
9,252      Liberty Latin America, Ltd., Class C*     75,312  
4,073      Liberty Media Corp.-Liberty SiriusXM, Class C*     134,735  
2,477      Liberty SiriusXM Group, Class A*     82,162  
143      Loral Space & Communications Inc.     2,617  
2,502      Marchex, Inc., Class B*     5,304  
1,649      Meredith Corp.     21,635  
3,759      MSG Networks, Inc., Class A*     35,974  
3,726      National CineMedia, Inc.     10,116  
3,530      New York Times Co. (The), Class A     151,049  
10,643      News Corp., Class A     149,215  
2,563      News Corp., Class B     35,831  
2,115      Nexstar Media Group, Inc., Class A     190,202  
6,016      Omnicom Group, Inc.     297,792  
1,853      Scholastic Corp.     38,894  
10,861      Sirius XM Holdings, Inc.^     58,215  
1,395      TechTarget, Inc.*     61,324  
8,978      Tegna, Inc.     105,492  
933      Tribune Publishing Co.     10,879  
445      ViacomCBS, Inc., Class A     13,479  
9,841      ViacomCBS, Inc., Class B     275,646  
         7,522,484  

Metals & Mining (0.7%):

 
6,163      Alcoa Corp.*     71,676  
4,528      Allegheny Technologies, Inc.*     39,484  
799      Ampco-Pittsburgh Corp.*     2,629  
3,002      Arconic Corp.*     57,188  
2,296      Carpenter Technology Corp.     41,695  
4,968      Century Aluminum Co.*     35,372  
3,567      Cleveland-Cliffs, Inc.^     22,900  
12,366      Coeur Mining, Inc.*     91,261  
6,147      Commercial Metals Co.     122,817  
1,713      Compass Minerals International, Inc.     101,667  
7,323      Ferroglobe plc*     4,899  
9,823      Ferroglobe Unit*(a)      
        22,580      Freeport-McMoRan, Inc.     353,151  
2,945      Gold Resource Corp.     10,042  
943      Haynes International, Inc.     16,116  
23,972      Hecla Mining Co.     121,778  
151      Kaiser Aluminum Corp.     8,092  
643      Materion Corp.     33,455  
12,309      McEwen Mining, Inc.*     13,048  
9,007      Newmont Corp.     571,493  
5,625      Nucor Corp.     252,338  
700      Olympic Steel, Inc.     7,952  
1,961      Reliance Steel & Aluminum Co.     200,100  
990      Royal Gold, Inc.     118,968  
1,500      Ryerson Holding Corp.*     8,595  
1,365      Schnitzer Steel Industries, Inc., Class A     26,249  
1,946      Southern Copper Corp.     88,095  
9,285      Steel Dynamics, Inc.     265,830  
3,673      SunCoke Energy, Inc.     12,562  
701      Synalloy Corp.*     3,870  
2,052      TimkenSteel Corp.*     7,285  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Metals & Mining, continued

 
7,131      United States Steel Corp.^   $ 52,342  
548      Universal Stainless & Alloy Products, Inc.*     3,009  
4,099      Warrior Met Coal, Inc.     70,011  
2,198      Worthington Industries, Inc.     89,634  
         2,925,603  

Multiline Retail (0.6%):

 
2,583      Big Lots, Inc.     115,202  
1,248      Dillard’s, Inc., Class A^     45,577  
2,871      Dollar General Corp.     601,819  
5,445      Dollar Tree, Inc.*     497,346  
6,791      Kohl’s Corp.     125,837  
15,105      Macy’s, Inc.^     86,099  
5,858      Nordstrom, Inc.^     69,827  
2,055      Ollie’s Bargain Outlet Holdings, Inc.*     179,504  
5,786      Target Corp.     910,833  
         2,632,044  

Multi-Utilities (0.8%):

 
3,133      Ameren Corp.     247,758  
1,884      Avista Corp.     64,282  
1,784      Black Hills Corp.     95,426  
7,105      CenterPoint Energy, Inc.     137,482  
3,460      CMS Energy Corp.     212,479  
4,077      Consolidated Edison, Inc.     317,191  
8,084      Dominion Energy, Inc.     638,069  
2,587      DTE Energy Co.     297,608  
7,317      MDU Resources Group, Inc.     164,633  
6,003      NiSource, Inc.     132,066  
1,765      NorthWestern Corp.     85,850  
5,550      Public Service Enterprise Group, Inc.     304,751  
3,046      Sempra Energy     360,524  
844      Unitil Corp.     32,612  
3,038      WEC Energy Group, Inc.     294,382  
         3,385,113  

Oil, Gas & Consumable Fuels (2.0%):

 
332      Adams Resources & Energy, Inc.     6,607  
7,652      Antero Resources Corp.*^     21,043  
        11,405      Apache Corp.     108,005  
1,256      Arch Resources, Inc.*     53,355  
1,988      Berry Corp.     6,302  
1,149      Bonanza Creek Energy, Inc.*     21,601  
6,877      Cabot Oil & Gas Corp.     119,385  
2,819      Callon Petroleum Co.*^     13,588  
6,243      Centennial Resource Development, Inc., Class A*     3,761  
3,933      Cheniere Energy, Inc.*     181,980  
17,866      Chevron Corp.     1,286,351  
4,711      Cimarex Energy Co.     114,619  
7,534      Clean Energy Fuel Corp.*     18,684  
10,708      CNX Resources Corp.*     101,084  
4,502      Concho Resources, Inc.     198,628  
22,326      ConocoPhillips Co.     733,185  
1,846      CONSOL Energy, Inc.*     8,178  
1,423      Contango Oil & Gas Co.*     1,907  
10,215      Continental Resources, Inc.^     125,440  
4,149      CVR Energy, Inc.     51,365  
4,054      Delek US Holdings, Inc.     45,121  
16,542      Devon Energy Corp.     156,487  
8,860      DHT Holdings, Inc.     45,718  
918      Diamondback Energy, Inc.     27,650  
107      Dorian LPG, Ltd.*     857  
5,391      Enlink Midstream LLC     12,669  
10,367      EOG Resources, Inc.     372,589  
10,783      EQT Corp.     139,424  
2,812      Equitrans Midstream Corp.     23,790  
Shares               Fair Value      

Common Stocks, continued

 

Oil, Gas & Consumable Fuels, continued

 
40,280      Exxon Mobil Corp.   $ 1,382,811  
4,505      Gaslog, Ltd.     12,209  
2,514      Green Plains, Inc.*     38,917  
8,600      Gulfport Energy Corp.*     4,533  
6,437      Hess Corp.     263,466  
10,617      HighPoint Resources Corp.*     2,442  
4,760      HollyFrontier Corp.     93,820  
1,180      International Seaways, Inc.     17,240  
24,970      Kinder Morgan, Inc.     307,880  
17,233      Kosmos Energy, Ltd.     16,813  
609      Laredo Petroleum, Inc.*     5,968  
17,859      Marathon Oil Corp.     73,043  
10,493      Marathon Petroleum Corp.     307,865  
6,316      Matador Resources Co.*     52,170  
1,037      Montage Resources Corp.*     4,552  
6,993      Murphy Oil Corp.     62,378  
7,953      Noble Energy, Inc.     67,998  
17,900      Occidental Petroleum Corp.     179,179  
6,873      ONEOK, Inc.     178,561  
1,401      Panhandle Oil & Gas, Inc., Class A     2,003  
2,936      PAR Pacific Holdings, Inc.*     19,877  
6,891      Parsley Energy, Inc., Class A     64,500  
5,640      PBF Energy, Inc., Class A     32,092  
5,513      PDC Energy, Inc.*     68,334  
4,173      Peabody Energy Corp.     9,598  
787      Penn Virginia Corp.*^     7,752  
4,501      Phillips 66     233,332  
3,062      Pioneer Natural Resources Co.     263,301  
6      PrimeEnergy Resources Corp.*     397  
        11,578      QEP Resources, Inc.     10,453  
4,715      Range Resources Corp.     31,213  
2,004      Renewable Energy Group, Inc.*     107,054  
374      REX American Resources Corp.*     24,538  
1,820      Ring Energy, Inc.*     1,238  
3,448      Scorpio Tankers, Inc.^     38,169  
6,460      SFL Corp., Ltd.     48,385  
6,397      SM Energy Co.     10,171  
22,197      Southwestern Energy Co.*     52,163  
3,310      Talos Energy, Inc.*     21,350  
4,483      Targa Resources Corp.     62,896  
6,407      Teekay Shipping Corp.*^     14,288  
1,031      Teekay Tankers, Ltd., Class A*^     11,176  
4,537      Valero Energy Corp.     196,543  
14,709      Williams Cos., Inc.     289,032  
3,515      World Fuel Services Corp.     74,483  
13,673      WPX Energy, Inc.*     66,998  
         8,832,554  

Paper & Forest Products (0.1%):

 
2,211      Boise Cascade Co.     88,264  
1,659      Clearwater Paper Corp.*     62,942  
3,283      Domtar Corp.     86,244  
4,040      Louisiana-Pacific Corp.     119,221  
5,575      Mercer International, Inc.     36,795  
617      Neenah, Inc.     23,119  
2,520      P.H. Glatfelter Co.     34,700  
5,870      Resolute Forest Products*     26,298  
1,565      Schweitzer-Mauduit International, Inc.     47,560  
2,251      Verso Corp.     17,760  
         542,903  

Personal Products (0.3%):

 
12,350      Coty, Inc., Class A     33,345  
1,562      e.l.f. Beauty, Inc.*     28,694  
2,453      Edgewell Personal Care Co.*     68,390  
2,928      Estee Lauder Co., Inc. (The), Class A     639,035  
4,410      Herbalife Nutrition, Ltd.*     205,726  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Personal Products, continued

 
1,355      Inter Parfums, Inc.   $ 50,609  
609      Medifast, Inc.     100,150  
6,899      Natura & Co. Holding SA, ADR     125,631  
1,236      Natures Sunshine Products, Inc.*     14,301  
2,377      Nu Skin Enterprises, Inc., Class A     119,064  
340      United-Guardian, Inc.     5,103  
864      Usana Health Sciences, Inc.*     63,634  
         1,453,682  

Pharmaceuticals (3.3%):

 
2,003      Amphastar Pharmaceuticals, Inc.*     37,556  
900      ANI Pharmaceuticals, Inc.*     25,389  
885      Assembly Biosciences, Inc.*     14,549  
        17,646      Bristol-Myers Squibb Co.     1,063,877  
3,249      Catalent, Inc.*     278,309  
4,376      Corcept Therapeutics, Inc.*     76,164  
1,468      Cumberland Pharmaceuticals, Inc.*     4,712  
1,054      Cymabay Therapeutics, Inc.*     7,631  
6,155      Elanco Animal Health, Inc.*     171,909  
10,271      Eli Lilly & Co.     1,520,313  
8,827      Endo International plc*     29,129  
5,527      Horizon Therapeutics plc*     429,337  
3,292      Innoviva, Inc.*     34,401  
2,219      Intra-Cellular Therapies, Inc.*     56,940  
1,888      Jazz Pharmaceuticals plc*     269,210  
29,786      Johnson & Johnson Co.     4,434,541  
2,281      Lannett Co., Inc.*     13,937  
4,828      Mallinckrodt plc*^     4,699  
28,760      Merck & Co., Inc.     2,385,642  
11,018      Mylan NV*     163,397  
3,567      Nektar Therapeutics*     59,177  
1,317      Otonomy, Inc.*     5,334  
3,223      Perrigo Co. plc     147,968  
52,986      Pfizer, Inc.     1,944,586  
793      Phibro Animal Health Corp., Class A     13,798  
2,480      Prestige Consumer Healthcare, Inc.*     90,322  
1,463      Revance Therapeutics, Inc.*     36,780  
1,789      Supernus Pharmaceuticals, Inc.*     37,283  
923      Taro Pharmaceutical Industries, Ltd.*     50,627  
5,827      Zoetis, Inc.     963,611  
1,297      Zogenix, Inc.*     23,255  
         14,394,383  

Professional Services (0.6%):

 
1,633      ASGN, Inc.*     103,793  
494      Barrett Business Services, Inc.     25,905  
3,154      CBIZ, Inc.*     72,132  
216      CoStar Group, Inc.*     183,278  
456      CRA International, Inc.     17,086  
1,098      Equifax, Inc.     172,276  
1,734      Exponent, Inc.     124,900  
825      Forrester Research, Inc.*     27,052  
1,382      FTI Consulting, Inc.*     146,451  
1,205      Heidrick & Struggles International, Inc.     23,678  
466      Hill International, Inc.*     615  
1,113      Huron Consulting Group, Inc.*     43,774  
795      ICF International, Inc.     48,916  
1,721      IHS Markit, Ltd.     135,116  
3,095      InnerWorkings, Inc.*     9,254  
740      Insperity, Inc.     48,463  
2,223      Kelly Services, Inc., Class A     37,880  
1,154      Kforce, Inc.     37,124  
2,258      Korn Ferry     65,482  
2,100      ManpowerGroup, Inc.     153,993  
659      Mistras Group, Inc.*     2,577  
11,810      Nielsen Holdings plc     167,466  
2,125      Resources Connection, Inc.     24,544  
Shares               Fair Value      

Common Stocks, continued

 

Professional Services, continued

 
3,340      Robert Half International, Inc.   $ 176,820  
2,719      TransUnion     228,749  
2,194      TriNet Group, Inc.*     130,148  
2,213      Trueblue, Inc.*     34,279  
1,755      Verisk Analytics, Inc.     325,220  
633      Willdan Group, Inc.*     16,148  
         2,583,119  

Real Estate Management & Development (0.2%):

 
400      Altisource Portfolio Solutions*     5,068  
        5,509      CBRE Group, Inc., Class A*     258,759  
339      CTO Realty Growth, Inc.     14,950  
2,451      Cushman & Wakefield plc*     25,760  
279      Forestar Group, Inc.*     4,938  
232      FRP Holdings, Inc.*     9,667  
318      Griffin Industrial Realty, Inc.     16,997  
1,280      Howard Hughes Corp. (The)*     73,728  
1,691      Jones Lang LaSalle, Inc.     161,761  
5,360      Kennedy-Wilson Holdings, Inc.     77,827  
2,112      Marcus & Millichap, Inc.*     58,122  
6,929      Newmark Group, Inc.     29,933  
997      Rafael Holdings, Inc., Class B*     15,454  
910      RE/MAX Holdings, Inc., Class A     29,784  
7,526      Realogy Holdings Corp.*     71,045  
1,447      Tejon Ranch Co.*     20,475  
1,038      The RMR Group, Inc., Class A     28,514  
3,157      The St Joe Co.*     65,129  
         967,911  

Road & Rail (1.2%):

 
598      AMERCO, Inc.     212,876  
1,475      ArcBest Corp.     45,814  
2,770      Avis Budget Group, Inc.*     72,906  
1,699      Covenant Logistics Group, Inc.*     29,716  
9,525      CSX Corp.     739,807  
4,179      Heartland Express, Inc.     77,729  
8,317      Hertz Global Holdings, Inc.*     9,232  
2,532      J.B. Hunt Transport Services, Inc.     319,994  
1,439      Kansas City Southern     260,214  
5,109      Knight-Swift Transportation Holdings, Inc.     207,936  
1,359      Landstar System, Inc.     170,541  
5,038      Marten Transport, Ltd.     82,220  
3,088      Norfolk Southern Corp.     660,801  
2,082      Old Dominion Freight Line, Inc.     376,675  
400      P.A.M. Transportation SVCS*     15,040  
1,902      Ryder System, Inc.     80,340  
1,212      Saia, Inc.*     152,882  
2,500      Schneider National, Inc., Class B     61,825  
7,911      Union Pacific Corp.     1,557,439  
2,010      Universal Logistics Holdings, Inc.     41,929  
1,023      USA Truck, Inc.*     9,667  
3,284      Werner Enterprises, Inc.     137,895  
1,829      YRC Worldwide, Inc.*^     7,170  
                 5,330,648  

Semiconductors & Semiconductor Equipment (4.7%):

 
1,056      Advanced Energy Industries, Inc.*     66,465  
9,742      Advanced Micro Devices, Inc.*     798,747  
2,031      Alpha & Omega Semiconductor, Ltd.*     26,037  
1,392      Ambarella, Inc.*     72,635  
12,824      Amkor Technology, Inc.*     143,629  
3,662      Analog Devices, Inc.     427,502  
10,112      Applied Materials, Inc.     601,158  
1,615      Axcelis Technologies, Inc.*     35,530  
1,701      AXT, Inc.*     10,410  
4,142      Broadcom, Inc.     1,509,013  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Semiconductors & Semiconductor Equipment,
continued

 

2,129      Brooks Automation, Inc.   $ 98,488  
697      Cabot Microelectronics Corp.     99,539  
437      CEVA, Inc.*     17,205  
1,665      Cirrus Logic, Inc.*     112,304  
2,261      Cohu, Inc.     38,844  
3,350      Cree, Inc.*     213,529  
2,201      Diodes, Inc.*     124,246  
4,153      Entegris, Inc.     308,734  
3,383      First Solar, Inc.*     223,955  
2,971      FormFactor, Inc.*     74,067  
1,314      GSI Technology, Inc.*     7,411  
948      Ichor Holdings, Ltd.*     20,448  
975      Inphi Corp.*     109,444  
        63,811      Intel Corp.     3,304,133  
2,674      KLA Corp.     518,061  
2,537      Kulicke & Soffa Industries, Inc.     56,829  
1,724      Lam Research Corp.     571,937  
3,622      Lattice Semiconductor Corp.*     104,893  
1,911      MA-COM Technology Solutions Holdings, Inc.*     64,993  
8,640      Marvell Technology Group, Ltd.     343,007  
3,942      Maxim Integrated Products, Inc.     266,519  
3,353      MaxLinear, Inc., Class A*     77,924  
3,353      Microchip Technology, Inc.     344,554  
15,757      Micron Technology, Inc.*     739,949  
1,512      MKS Instruments, Inc.     165,156  
521      Monolithic Power Systems, Inc.     145,677  
1,500      Neophotonics Corp.*     9,135  
150      NVE Corp.     7,362  
5,228      NVIDIA Corp.     2,829,497  
11,467      ON Semiconductor Corp.*     248,719  
1,334      Onto Innovation, Inc.*     39,727  
1,438      PDF Solutions, Inc.*     26,905  
5,010      Photronics, Inc.*     49,900  
1,520      Power Integrations, Inc.     84,208  
1,918      Qorvo, Inc.*     247,441  
13,519      Qualcomm, Inc.     1,590,915  
5,880      Rambus, Inc.*     80,497  
1,305      Semtech Corp.*     69,113  
867      Silicon Laboratories, Inc.*     84,836  
2,976      Skyworks Solutions, Inc.     433,008  
1,751      SMART Global Holdings, Inc.*     47,872  
1,239      SolarEdge Technologies, Inc.*     295,316  
1,129      Synaptics, Inc.*     90,794  
2,449      Teradyne, Inc.     194,598  
13,779      Texas Instruments, Inc.     1,967,502  
1,678      Ultra Clean Holdings, Inc.*     36,010  
1,049      Universal Display Corp.     189,596  
3,598      Veeco Instruments, Inc.*     41,989  
3,065      Xilinx, Inc.     319,496  
         20,827,408  

Software (7.1%):

 
4,253      ACI Worldwide, Inc.*     111,131  
4,350      Adobe, Inc.*     2,133,370  
1,923      Alarm.com Holding, Inc.*     106,246  
591      Alteryx, Inc., Class A*^     67,108  
1,009      American Software, Inc., Class A     14,166  
1,301      Anaplan, Inc.*     81,417  
988      ANSYS, Inc.*     323,303  
1,609      Aspen Technology, Inc.*     203,683  
447      Atlassian Corp. plc, Class A*     81,260  
1,996      Autodesk, Inc.*     461,096  
852      Avalara, Inc.*     108,494  
5,114      Avaya Holdings Corp.*     77,733  
2,272      Aware, Inc.*     6,134  
Shares               Fair Value      

Common Stocks, continued

 

Software, continued

 
1,606      Blackbaud, Inc.   $ 89,663  
794      Bottomline Technologies, Inc.*     33,475  
3,609      Cadence Design Systems, Inc.*     384,828  
3,648      CDK Global, Inc.     159,016  
1,053      Cerence, Inc.*     51,460  
1,607      Ceridian HCM Holding, Inc.*     132,819  
1,606      Citrix Systems, Inc.     221,162  
505      CommVault Systems, Inc.*     20,604  
387      Coupa Software, Inc.*     106,131  
824      DocuSign, Inc.*     177,358  
3,824      Dropbox, Inc., Class A*     73,650  
1,380      Ebix, Inc.     28,428  
990      Envestnet, Inc.*     76,388  
429      Everbridge, Inc.*     53,938  
573      Fair Isaac Corp.*     243,743  
1,784      FireEye, Inc.*     22,023  
764      Five9, Inc.*     99,076  
2,585      Fortinet, Inc.*     304,539  
977      Globant SA*     175,098  
1,145      Guidewire Software, Inc.*     119,389  
750      HubSpot, Inc.*     219,173  
2,458      Intuit, Inc.     801,824  
2,007      J2 Global, Inc.*     138,925  
1,365      Manhattan Associates, Inc.*     130,344  
    76,342      Microsoft Corp.     16,057,012  
430      MicroStrategy, Inc., Class A*     64,741  
600      New Relic, Inc.*     33,816  
9,121      NortonLifeLock, Inc.     190,082  
5,919      Nuance Communications, Inc.*     196,452  
1,722      OneSpan, Inc.*     36,093  
30,510      Oracle Corp.     1,821,447  
916      Paycom Software, Inc.*     285,151  
912      Paylocity Holding Corp.*     147,215  
963      Pegasystems, Inc.     116,562  
1,395      Progress Software Corp.     51,169  
886      Proofpoint, Inc.*     93,517  
1,755      PTC, Inc.*     145,174  
1,224      Qualys, Inc.*     119,964  
2,745      RealNetworks, Inc.*     3,349  
1,867      RealPage, Inc.*     107,614  
371      RingCentral, Inc., Class A*     101,880  
5,117      salesforce.com, Inc.*     1,286,004  
1,200      Sapiens International Corp. NV     36,696  
2,393      SeaChange International, Inc.*     2,083  
574      ServiceNow, Inc.*     278,390  
2,514      Slack Technologies, Inc., Class A*^     67,526  
3,309      SolarWinds Corp.*     67,305  
967      Splunk, Inc.*     181,922  
4,289      SS&C Technologies Holdings, Inc.     259,570  
2,279      Synchronoss Technologies, Inc.*     6,860  
1,946      Synopsys, Inc.*     416,405  
327      The Trade Desk, Inc., Class A*     169,641  
409      Tyler Technologies, Inc.*     142,561  
2,230      Verint Systems, Inc.*     107,441  
742      VMware, Inc., Class A*     106,603  
494      Workday, Inc., Class A*     106,274  
7,046      Xperi Holding Corp.     80,959  
1,173      Zscaler, Inc.*     165,029  
         30,690,702  

Specialty Retail (2.9%):

 
2,187      Aaron’s, Inc.     123,894  
4,015      Abercrombie & Fitch Co., Class A     55,929  
1,285      Advance Auto Parts, Inc.     197,248  
7,096      American Eagle Outfitters, Inc.^     105,092  
492      America’s Car Mart, Inc.*     41,761  
929      Asbury Automotive Group, Inc.*     90,531  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Specialty Retail, continued

 
3,229      At Home Group, Inc.*   $ 47,983  
2,991      AutoNation, Inc.*     158,314  
266      AutoZone, Inc.*     313,252  
3,164      Barnes & Noble Education, Inc.*     8,163  
5,744      Bed Bath & Beyond, Inc.^     86,045  
6,712      Best Buy Co, Inc.     746,978  
1,657      Big 5 Sporting Goods Corp.^     12,394  
1,519      Boot Barn Holdings, Inc.*     42,745  
583      Build-A-Bear Workshop, Inc.*     1,458  
1,072      Burlington Stores, Inc.*     220,928  
2,280      Caleres, Inc.     21,797  
3,891      CarMax, Inc.*     357,622  
1,987      Cato Corp., Class A     15,538  
7,822      Chico’s FAS, Inc.     7,607  
881      Citi Trends, Inc.     22,007  
1,572      Conn’s, Inc.*     16,632  
3,425      Designer Brands, Inc., Class A     18,598  
2,039      Dick’s Sporting Goods, Inc.     118,017  
6,313      Express, Inc.*     3,851  
1,392      Five Below, Inc.*     176,784  
3,262      Floor & Decor Holdings, Inc., Class A*     243,998  
4,013      Foot Locker, Inc.     132,549  
199      Francesca’s Holdings Corp.*^     533  
6,630      GameStop Corp., Class A*^     67,626  
        12,655      Gap, Inc. (The)     215,515  
1,571      Genesco, Inc.*     33,839  
1,000      Group 1 Automotive, Inc.     88,390  
4,368      Guess?, Inc.     50,756  
1,166      Haverty Furniture Cos., Inc.     24,416  
1,874      Hibbett Sports, Inc.*     73,498  
9,752      Home Depot, Inc. (The)     2,708,227  
1,293      Hudson, Ltd., Class A*     9,827  
1,784      L Brands, Inc.     56,749  
875      Lithia Motors, Inc., Class A     199,448  
8,904      Lowe’s Cos., Inc.     1,476,816  
1,427      MarineMax, Inc.*     36,631  
7,372      Michaels Cos., Inc. (The)*^     71,177  
1,401      Monro, Inc.     56,839  
1,077      Murphy U.S.A., Inc.*     138,147  
1,200      National Vision Holdings, Inc.*     45,888  
2,577      ODP Corp. (The)*     50,123  
927      O’Reilly Automotive, Inc.*     427,421  
2,698      Penske Automotive Group, Inc.     128,587  
1,792      Rent-A-Center, Inc.     53,563  
522      RH*     199,728  
5,653      Ross Stores, Inc.     527,538  
5,608      Sally Beauty Holdings, Inc.*     48,734  
600      Shoe Carnival, Inc.     20,148  
1,393      Signet Jewelers, Ltd.     26,049  
1,230      Sleep Number Corp.*     60,159  
1,332      Sonic Automotive, Inc., Class A     53,493  
1,606      Sportsman’s Warehouse Holdings, Inc.*     22,982  
289      Tandy Leather Factory, Inc.*     922  
848      The Buckle, Inc.     17,291  
988      The Children’s Place, Inc.     28,010  
2,708      Tiffany & Co.     313,722  
854      Tilly’s, Inc.     5,150  
18,103      TJX Cos., Inc. (The)     1,007,432  
2,445      Tractor Supply Co.     350,466  
1,247      Ulta Beauty, Inc.*     279,303  
4,635      Urban Outfitters, Inc.*     96,454  
2,380      Williams-Sonoma, Inc.     215,247  
285      Winmark Corp.     49,071  
Shares               Fair Value      

Common Stocks, continued

 

Specialty Retail, continued

 
2,204      Zumiez, Inc.*   $ 61,315  
         12,784,945  

Technology Hardware, Storage & Peripherals (6.0%):

 
6,315      3D Systems Corp.*     31,007  
208,456      Apple, Inc.     24,141,289  
728      AstroNova, Inc.     5,839  
2,354      Avid Technology, Inc.*     20,150  
1,874      Dell Technologies, Inc., Class C*     126,851  
23,803      Hewlett Packard Enterprise Co.     223,034  
17,855      HP, Inc.     339,066  
5,127      NCR Corp.*     113,512  
4,382      NetApp, Inc.     192,107  
6,529      Pure Storage, Inc., Class A*     100,481  
5,941      Seagate Technology plc     292,713  
2,522      Stratasys, Ltd.*     31,449  
4,585      Western Digital Corp.     167,582  
7,974      Xerox Holdings Corp.     149,672  
         25,934,752  

Textiles, Apparel & Luxury Goods (0.9%):

 
5,725      Capri Holdings, Ltd.*     103,050  
1,710      Carter’s, Inc.     148,052  
2,253      Columbia Sportswear Co.     195,966  
1,693      Crocs, Inc.*     72,342  
810      Culp, Inc.     10,060  
936      Deckers Outdoor Corp.*     205,929  
3,440      Fossil Group, Inc.*     19,746  
2,480      G-III Apparel Group, Ltd.*     32,513  
        13,052      Hanesbrands, Inc.     205,569  
795      Kontoor Brands, Inc.     19,239  
1,147      Lululemon Athletica, Inc.*     377,787  
1,551      Movado Group, Inc.     15,417  
11,725      Nike, Inc., Class B     1,471,956  
1,259      Oxford Industries, Inc.     50,813  
1,797      PVH Corp.     107,173  
1,477      Ralph Lauren Corp.     100,392  
570      Rocky Brands, Inc.     14,153  
4,898      Skechers U.S.A., Inc., Class A*     148,018  
2,686      Steven Madden, Ltd.     52,377  
700      Superior Group of Cos., Inc.     16,261  
8,132      Tapestry, Inc.     127,103  
5,109      Under Armour, Inc., Class A*     57,374  
3,746      Under Armour, Inc., Class C*     36,861  
1,027      Unifi, Inc.*     13,187  
802      Vera Bradley, Inc.*     4,900  
4,448      VF Corp.     312,472  
3,237      Wolverine World Wide, Inc.     83,644  
         4,002,354  

Thrifts & Mortgage Finance (0.5%):

 
3,384      Axos Financial, Inc.*     78,881  
1,591      BankFinancial Corp.     11,487  
7,721      Capitol Federal Financial, Inc.     71,535  
2,223      Columbia Financial, Inc.*     24,675  
2,791      Dime Community Bancshares, Inc.     31,566  
855      ESSA Bancorp, Inc.     10,542  
3,469      Essent Group, Ltd.     128,388  
403      Federal Agricultural Mortgage Corp.     25,655  
408      First Capital, Inc.^     22,868  
2,446      Flagstar Bancorp, Inc.     72,475  
8      Greene County Bancorp, Inc.     174  
155      Hingham Institution for Savings     28,520  
1,670      HomeStreet, Inc.     43,019  
413      IF Bancorp, Inc.     6,389  
5,948      Kearny Financial Corp.     42,885  
1,249      Kentucky First Federal Bancorp     7,581  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Thrifts & Mortgage Finance, continued

 
750      Lake Shore Bancorp, Inc.   $ 10,050  
194      LendingTree, Inc.*     59,537  
3,570      Meridian Bancorp, Inc.     36,950  
2,468      Meta Financial Group, Inc.     47,435  
14,868      MGIC Investment Corp.     131,731  
4,623      Mr Cooper Group, Inc.*     103,185  
        13,097      New York Community Bancorp, Inc.     108,312  
3,378      NMI Holdings, Inc., Class A*     60,128  
2,984      Northfield Bancorp, Inc.     27,214  
6,785      Northwest Bancshares, Inc.     62,422  
3,232      Oceanfirst Financial Corp.     44,246  
503      Oconee Federal Financial Corp.     10,965  
465      Ocwen Financial Corp.*     9,821  
2,417      PennyMac Financial Services, Inc.     140,477  
2,584      Premier Financial Corp.     40,246  
679      Provident Financial Holdings, Inc.     8,080  
3,181      Provident Financial Services, Inc.     38,808  
6,456      Radian Group, Inc.     94,322  
420      Riverview Bancorp, Inc.     1,743  
561      Southern Missouri Bancorp, Inc.     13,228  
1,764      Sterling Bancorp, Inc.     5,310  
733      Territorial Bancorp, Inc.     14,829  
5,381      TFS Financial Corp.     79,047  
7,273      TrustCo Bank Corp NY     37,965  
3,136      Washington Federal, Inc.     65,417  
2,036      Waterstone Financial, Inc.     31,538  
1,546      Wawlker & Dunlop, Inc.     81,938  
1,498      Western New England BanCorp, Inc.     8,434  
2,825      WSFS Financial Corp.     76,190  
         2,056,208  

Tobacco (0.5%):

 
28,104      Altria Group, Inc.     1,085,939  
14,460      Philip Morris International, Inc.     1,084,355  
1,284      Universal Corp.     53,774  
6,874      Vector Group, Ltd.     66,609  
         2,290,677  

Trading Companies & Distributors (0.7%):

 
5,044      Air Lease Corp.     148,394  
1,198      Applied Industrial Technologies, Inc.     66,010  
2,840      Beacon Roofing Supply, Inc.*     88,239  
3,066      BMC Stock Holdings, Inc.*     131,317  
1,592      CAI International, Inc.     43,828  
644      DXP Enterprises, Inc.*     10,388  
9,288      Fastenal Co.     418,796  
876      GATX Corp.     55,845  
2,334      GMS, Inc.*     56,249  
1,700      H&E Equipment Services, Inc.     33,422  
6,084      HD Supply Holdings, Inc.*     250,904  
1,767      Herc Holdings, Inc.*     69,991  
1,307      Huttig Building Products, Inc.*     2,862  
870      Kaman Corp., Class A     33,904  
5,217      MRC Global, Inc.*     22,329  
2,233      MSC Industrial Direct Co., Inc., Class A     141,304  
5,453      NOW, Inc.*     24,757  
1,902      Rush Enterprises, Inc., Class A     96,127  
1,003      SiteOne Landscape Supply, Inc.*     122,316  
2,034      Systemax, Inc.     48,694  
2,654      Textainer Group Holdings, Ltd.*     37,581  
651      Titan Machinery, Inc.*     8,613  
1,007      Transcat, Inc.*     29,505  
3,334      Triton International, Ltd.     135,594  
2,434      United Rentals, Inc.*     424,732  
5,820      Univar Solutions, Inc.*     98,242  
1,184      Veritiv Corp.*     14,989  
826      W.W. Grainger, Inc.     294,692  
Contracts,
Shares,
Notional
Amount or
Principal
Amount
              Fair Value      

Common Stocks, continued

 

Trading Companies & Distributors, continued

 

902      Watsco, Inc.   $ 210,067  
84      Watsco, Inc., Class B     19,265  
2,560      WESCO International, Inc.*     112,691  
         3,251,647  

Transportation Infrastructure (0.0%):

 
2,859      Macquarie Infrastructure Corp.     76,879  

Water Utilities (0.2%):

 
1,327      American States Water Co.     99,459  
        2,414      American Water Works Co., Inc.     349,740  
491      Artesian Resources Corp.     16,925  
1,743      California Water Service Group     75,733  
3,223      Essential Utilities, Inc.     129,726  
979      Middlesex Water Co.     60,845  
669      Pure Cycle Corp.*     6,028  
1,234      SJW Group     75,101  
772      York Water Co. (The)     32,632  
         846,189  

Wireless Telecommunication Services (0.2%):

 

2,055      Boingo Wireless, Inc.*     20,951  
2,203      Shenandoah Telecommunications Co.     97,890  
1,649      Spok Holdings, Inc.     15,682  
4,354      Telephone & Data Systems, Inc.     80,288  
6,990      T-Mobile USA, Inc.*     799,377  
1,695      United States Cellular Corp.*     50,053  
         1,064,241  

Total Common Stocks (Cost $322,816,628)

    438,887,284  

Preferred Stocks (0.0%):

 

Internet & Direct Marketing Retail (0.0%):

 

264      Qurate Retail, Inc., 8.00%, 3/15/31     26,004  

Trading Companies & Distributors (0.0%):

 
1,076      WESCO International, Inc., Series A, 10.63%     30,128  

Total Preferred Stocks (Cost $113,834)

    56,132  

Rights (0.0%):

 

Biotechnology (0.0%):

 
3,743      Achillion Pharm CVR, Expires on 1/29/21*     646  

Diversified Financial Services (0.0%):

 
2,411      NewStar Financial, Inc. CVR, Expires on 12/31/49*     245  

Media (0.0%):

 
9,820      Media General, Inc. CVR, Expires on 12/31/49*     921  

Total Rights (Cost $4,345)

    1,812  
Short-Term Securities Held as Collateral for
Securities on Loan (0.7%):

 

2,884,487      BlackRock Liquidity FedFund, Institutional Class , 1.81%(b)(c)     2,884,487  

Total Short-Term Securities Held as Collateral for Securities on Loan (Cost $2,884,487)

    2,884,487  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
              Fair Value      

Unaffiliated Investment Companies (0.1%):

 

Money Markets (0.1%):

 
        241,662      Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(c)   $ 241,662  

Total Unaffiliated Investment Companies
(Cost $241,662)

    241,662  

Total Investment Securities
(Cost $326,060,956) - 100.4%

    442,071,377  

Net other assets (liabilities) - (0.4)%

    (1,709,524)  

Net Assets - 100.0%

  $ 440,361,853  
            

    

 

 

Percentages indicated are based on net assets as of September 30, 2020.

ADR        -        American Depository Receipt

CVR        -        Contingency Valued Rights

 

*

Non-income producing security.

^

This security or a partial position of this security was on loan as of September 30, 2020. The total value of securities on loan as of September 30, 2020 was $2,831,111.

Represents less than 0.05%.

(a)

Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of September 30, 2020. The total of all such securities represent 0.00% of the net assets of the fund.

(b)

Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before September 30, 2020.

(c)

The rate represents the effective yield at September 30, 2020.

 

    

Amounts shown as “—” are either $0 or rounds to less than $1.

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks (99.6%):

 

Aerospace & Defense (1.1%):

 
          1,397      AAR Corp.   $ 26,264  
7,979      Aerojet Rocketdyne Holdings, Inc.*     318,281  
2,514      AeroVironment, Inc.*     150,865  
2,615      Astronics Corp.*     20,188  
392      Astronics Corp., Class B*^     2,920  
2,238      Axon Enterprise, Inc.*     202,987  
685      CPI Aerostructures, Inc.*     1,836  
2,316      Cubic Corp.     134,722  
1,011      Curtiss-Wright Corp.     94,286  
766      Ducommun, Inc.*     25,217  
3,376      Innovative Solutions & Support, Inc.     23,092  
7,599      Kratos Defense & Security Solutions, Inc.*     146,509  
734      Maxar Technologies, Inc.     18,306  
2,488      Mercury Systems, Inc.*     192,720  
3,131      Moog, Inc., Class A     198,912  
685      National Presto Industries, Inc.     56,074  
2,564      Park Aerospace Corp., Class C     27,999  
759      Vectrus, Inc.*     28,842  
         1,670,020  

Air Freight & Logistics (0.5%):

 
738      Air T, Inc.*     7,122  
6,274      Air Transport Services Group, Inc.*     157,226  
1,862      Atlas Air Worldwide Holdings, Inc.*     113,396  
2,655      Echo Global Logistics, Inc.*     68,419  
3,297      Forward Air Corp.     189,182  
3,916      Hub Group, Inc., Class A*     196,563  
5,212      Radiant Logistics, Inc.*     26,790  
         758,698  

Airlines (0.4%):

 
1,224      Alaska Air Group, Inc.     44,835  
1,778      Allegiant Travel Co.     213,004  
899      Copa Holdings SA, Class A     45,256  
5,520      Hawaiian Holdings, Inc.     71,153  
7,404      JetBlue Airways Corp.*     83,887  
2,689      SkyWest, Inc.     80,294  
4,325      Spirit Airlines, Inc.*^     69,633  
         608,062  

Auto Components (1.4%):

 
5,318      Adient plc*     92,161  
12,952      American Axle & Manufacturing Holdings, Inc.*     74,733  
5,531      Cooper Tire & Rubber Co.     175,333  
2,216      Cooper-Standard Holding, Inc.*     29,273  
11,599      Dana, Inc.     142,900  
2,148      Delphi Technologies plc*     35,893  
2,293      Dorman Products, Inc.*     207,241  
3,775      Fox Factory Holding Corp.*     280,596  
3,693      Gentherm, Inc.*     151,044  
14,448      Goodyear Tire & Rubber Co.     110,816  
1,680      Horizon Global Corp.*     9,660  
2,432      LCI Industries     258,497  
7,745      Modine Manufacturing Co.*     48,406  
1,911      Motorcar Parts of America, Inc.*     29,735  
2,844      Standard Motor Products, Inc.     126,985  
3,162      Stoneridge, Inc.*     58,086  
1,139      Tenneco, Inc.*     7,905  
472      Veoneer, Inc.*^     6,938  
2,806      Visteon Corp.*     194,231  
         2,040,433  

Automobiles (0.4%):

 
9,054      Harley-Davidson, Inc.     222,185  
1,766      Thor Industries, Inc.     168,229  
Shares               Fair Value      

Common Stocks, continued

 

Automobiles, continued

 
          3,080      Winnebago Industries, Inc.   $ 159,144  
         549,558  

Banks (9.3%):

 
1,584      1st Constitution Bancorp     18,850  
3,186      1st Source Corp.     98,256  
410      ACNB Corp.     8,528  
880      Allegiance Bancshares, Inc.     20,566  
1,452      Altabancorp     29,214  
1,339      American National Bankshares, Inc.     28,012  
346      American River Bankshares     3,446  
5,216      Ameris Bancorp     118,820  
1,649      Ames National Corp.     27,852  
1,863      Arrow Financial Corp.     46,743  
11,230      Associated Banc-Corp.     141,723  
1,465      Atlantic Capital Bancshares, Inc.*     16,628  
5,589      Atlantic Union Bankshares Corp.     119,437  
13      Auburn National Bancorp, Inc.     471  
3,062      Banc of California, Inc.     30,987  
3,358      BancFirst Corp.     137,141  
4,986      Bancorp, Inc. (The)*     43,079  
8,217      BancorpSouth Bank     159,245  
2,653      Bank of Commerce Holdings     18,491  
3,143      Bank of Hawaii Corp.     158,784  
993      Bank of Marin Bancorp     28,757  
3,717      Bank of Nt Butterfield & Son, Ltd. (The)     82,815  
485      Bank of South Carolina Corp.     7,775  
9,638      Bank OZK     205,482  
6,355      BankUnited, Inc.     139,238  
2,472      Banner Corp.     79,747  
1,610      Bar Harbor Bankshares     33,086  
1,217      Baycom Corp.*     12,535  
595      BCB Bancorp, Inc.     4,760  
3,918      Berkshire Hills Bancorp, Inc.     39,611  
5,250      BOK Financial Corp.     270,429  
6,599      Boston Private Financial Holdings, Inc.     36,426  
2,206      Bridge Bancorp, Inc.     38,451  
6,518      Brookline Bancorp, Inc.     56,348  
1,666      Bryn Mawr Bank Corp.     41,433  
3,046      Byline BanCorp, Inc.     34,359  
227      C&F Financial Corp.     6,742  
8,434      Cadence Bancorp     72,448  
1,274      California First National Bancorp     20,066  
436      Cambridge Bancorp     23,178  
1,659      Camden National Corp.     50,143  
1,471      Capital City Bank Group, Inc.     27,640  
5,878      Cathay General Bancorp     127,435  
1,646      CBTX, Inc.     26,896  
2,313      Central Pacific Financial Corp.     31,387  
1,141      Central Valley Community Bancorp     14,091  
511      Century Bancorp, Inc.     33,593  
668      Chemung Financial Corp.     19,285  
6,348      CIT Group, Inc.     112,423  
2,009      Citizens & Northern Corp.     32,626  
718      Citizens Holding Co.     16,098  
1,550      City Holding Co.     89,296  
822      Civista Bancshares, Inc.     10,291  
2,165      CNB Financial Corp.     32,194  
85      Codorus Valley Bancorp, Inc.     1,114  
56      Colony Bankcorp, Inc.     602  
5,518      Columbia Banking System, Inc.     131,604  
4,416      Community Bank System, Inc.     240,496  
3,296      Community Bankers Trust Corp.     16,744  
1,343      Community Trust Bancorp, Inc.     37,953  
525      Community West Bancshares     4,216  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Banks, continued

 
          2,880      ConnectOne Bancorp, Inc.   $ 40,522  
1,894      Cullen/Frost Bankers, Inc.     121,121  
4,048      Customers Bancorp, Inc.*     45,338  
10,472      CVB Financial Corp.     174,149  
609      Eagle Bancorp Montana, Inc.     10,731  
2,865      Eagle Bancorp, Inc.     76,753  
1,676      East West Bancorp, Inc.     54,872  
2,149      Enterprise Financial Services Corp.     58,603  
924      Equity Bancshares, Inc.*     14,322  
534      Evans Bancorp, Inc.     11,882  
22,062      F.N.B. Corp.     149,580  
2,582      Farmers National Banc Corp.     28,195  
242      Fauquier Bankshares, Inc.     3,647  
1,991      FB Financial Corp.     50,014  
1,909      Financial Institutions, Inc.     29,399  
15,526      First Bancorp     81,046  
2,293      First Bancorp     47,992  
1,491      First Bancorp, Inc.     31,430  
1,053      First Bancshares, Inc. (The)     22,081  
3,647      First Busey Corp.     57,951  
940      First Business Financial Services, Inc.     13,433  
728      First Citizens BancShares, Inc., Class A     232,073  
7,111      First Commonwealth Financial Corp.     55,039  
2,206      First Community Bankshares     39,818  
7,453      First Financial Bancorp     89,473  
8,660      First Financial Bankshares, Inc.     241,702  
1,112      First Financial Corp.     34,917  
1,717      First Financial Northwest, Inc.     15,659  
3,058      First Foundation, Inc.     39,968  
9,186      First Hawaiian, Inc.     132,921  
2,525      First Horizon National Corp.     23,811  
402      First Internet BanCorp     5,921  
3,323      First Interstate BancSystem, Class A     105,838  
4,019      First Merchants Corp.     93,080  
720      First Mid Bancshares, Inc.     17,964  
8,868      First Midwest Bancorp, Inc.     95,597  
2,907      First of Long Island Corp. (The)     43,053  
28      First Savings Financial Group     1,522  
234      First United Corp.     2,740  
908      First US Bancshares, Inc.     6,020  
2,675      Flushing Financial Corp.     28,141  
11,396      Fulton Financial Corp.     106,325  
2,237      German American Bancorp, Inc.     60,712  
6,374      Glacier Bancorp, Inc.     204,287  
1,038      Great Southern Bancorp, Inc.     37,596  
3,789      Great Western Bancorp, Inc.     47,173  
5,990      Hancock Whitney Corp.     112,672  
4,153      Hanmi Financial Corp.     34,096  
3,865      HarborOne BanCorp, Inc.     31,191  
42      Hawthorn Bancshares, Inc.     795  
2,494      Heartland Financial USA, Inc.     74,808  
2,978      Heritage Financial Corp.     54,765  
4,406      Hertiage Commerce Corp.     29,322  
15,083      Hilltop Holdings, Inc.     310,409  
11,946      Home Bancshares, Inc.     181,101  
2,418      Hometrust Bancshares, Inc.     32,836  
9,043      Hope BanCorp, Inc.     68,591  
3,456      Horizon Bancorp     34,871  
2,544      Independent Bank Corp.     133,255  
3,214      Independent Bank Group, Inc.     141,995  
4,638      International Bancshares Corp.     120,866  
18,070      Investors Bancorp, Inc.     131,188  
3,767      Lakeland Bancorp, Inc.     37,482  
2,781      Lakeland Financial Corp.     114,577  
Shares               Fair Value      

Common Stocks, continued

 

Banks, continued

 
862      Landmark Bancorp, Inc.   $ 18,404  
          1,512      LCNB Corp.     20,639  
1,000      Limestone Bancorp, Inc.*     10,520  
2,612      Live Oak Bancshares, Inc.     66,162  
5,225      Macatawa Bank Corp.     34,119  
1,048      Mackinac Financial Corp.     10,113  
2,059      Mercantile Bank Corp.     37,103  
2,051      Midland States BanCorp, Inc.     26,355  
1,441      MidWestone Financial Group, Inc.     25,751  
2,052      National Bank Holdings Corp.     53,865  
1,069      National Bankshares, Inc.     27,078  
3,226      NBT Bancorp, Inc.     86,521  
744      Nicolet Bankshares, Inc.*     40,630  
1,136      Northeast Bank     20,902  
657      Northrim Bancorp, Inc.     16,747  
609      Norwood Financial Corp.     14,811  
4,316      OFG Bancorp     53,777  
183      Ohio Valley Banc Corp.     3,781  
11,997      Old National Bancorp     150,682  
1,004      Old Point Financial Corp.     15,211  
3,314      Old Second Bancorp, Inc.     24,838  
1,182      Origin Bancorp, Inc.     25,248  
1,765      Orrstown Financial Services, Inc.     22,592  
1,718      Pacific Mercantile Bancorp*     6,391  
6,537      Pacific Premier Bancorp, Inc.     131,655  
7,685      PacWest Bancorp     131,260  
1,296      Park National Corp.     106,220  
1,636      Parke Bancorp, Inc.     19,534  
2,284      Peapack-Gladstone Financial Corp.     34,603  
1,452      Penns Woods Bancorp, Inc.     28,822  
434      Peoples Bancorp of NC     6,697  
1,794      Peoples Bancorp, Inc.     34,247  
8,100      People’s United Financial, Inc.     83,511  
5,765      Pinnacle Financial Partners, Inc.     205,176  
2,348      Popular, Inc.     85,162  
1,985      Preferred Bank Los Angeles     63,758  
1,193      Premier Financial Bancorp, Inc.     12,884  
1,118      QCR Holdings, Inc.     30,644  
351      Rbb BanCorp     3,980  
4,074      Renasant Co.     92,561  
1,482      Republic Bancorp, Inc., Class A     41,733  
6,466      Republic First Bancorp, Inc.*     12,803  
2,862      S & T Bancorp, Inc.     50,629  
320      Salisbury Bancorp, Inc.     10,115  
3,392      Sandy Spring Bancorp, Inc.     78,287  
552      SB Financial Group, Inc.     7,446  
3,980      Seacoast Banking Corp of Florida*     71,759  
1,252      Select Bancorp, Inc.*     9,002  
3,948      ServisFirst Bancshares, Inc.     134,350  
2,325      Shore Bancshares, Inc.     25,529  
2,333      Sierra Bancorp     39,171  
8,970      Simmons First National Corp., Class A     142,219  
4,671      South State Corp.     224,910  
562      Southern First Bancshares, Inc.*     13,572  
2,309      Southern National Bancorp     20,042  
2,694      Southside Bancshares, Inc.     65,814  
1,629      Spirit of Texas Bancshares, Inc.*     18,180  
13,673      Sterling Bancorp     143,840  
2,457      Stock Yards Bancorp, Inc.     83,636  
682      Summit Financial Group, Inc.     10,100  
1,203      Summit State Bank     13,413  
9,356      Synovus Financial Corp.     198,067  
8,055      TCF Financial Corp.     188,165  
2,882      Texas Capital Bancshares, Inc.*     89,717  
1,140      Tompkins Financial Corp.     64,763  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Banks, continued

 
          5,191      TowneBank   $ 85,132  
2,468      TriCo Bancshares     60,441  
3,463      Tristate Capital Holdings, Inc.*     45,850  
1,894      Triumph BanCorp, Inc.*     58,979  
4,644      Trustmark Corp.     99,428  
3,534      UMB Financial Corp.     173,201  
15,566      Umpqua Holdings Corp.     165,311  
249      Union Bankshares, Inc.     5,050  
450      United Bancshares, Inc.     9,248  
8,118      United Bankshares, Inc.     174,293  
5,829      United Community Banks, Inc.     98,685  
916      United Security Bancshares     5,597  
42      Unity Bancorp, Inc.     486  
1,651      Univest Financial Corp.     23,725  
31,471      Valley National Bancorp     215,576  
1,563      Veritex Holdings, Inc.     26,618  
2,267      Washington Trust Bancorp     69,506  
5,822      Webster Financial Corp.     153,759  
4,985      WesBanco, Inc.     106,480  
2,380      West Bancorp     37,699  
2,584      Westamerica Bancorp     140,440  
5,807      Western Alliance Bancorp     183,617  
3,888      Wintrust Financial Corp.     155,714  
         13,780,368  

Beverages (0.5%):

 
547      Boston Beer Co., Inc. (The), Class A*     483,197  
664      Coca-Cola Consolidated, Inc.     159,812  
1,920      Craft Brewers Alliance, Inc.*     31,680  
1,940      MGP Ingredients, Inc.     77,096  
634      National Beverage Corp.*^     43,118  
985      Willamette Valley Vineyards, Inc.*     6,058  
         800,961  

Biotechnology (3.2%):

 
2,838      Abeona Therapeutics, Inc.*     2,895  
1,733      AC Immune SA*^     8,457  
10,022      Aduro Biotech, Inc.*     24,353  
3,308      Adverum Biotechnologies, Inc.*     34,072  
1,728      Agios Pharmaceuticals, Inc.*     60,480  
7,746      Akebia Therapeutics, Inc.*     19,442  
973      Albireo Pharma, Inc.*     32,469  
10,706      Alkermes plc*     177,399  
1,397      AMAG Pharmaceuticals, Inc.*^     13,132  
4,316      Amicus Therapeutics, Inc.*     60,942  
1,449      AnaptysBio, Inc.*     21,373  
1,103      Applied Genetic Technologies Corp.*     5,361  
1,800      Arcus Biosciences, Inc.*     30,852  
6,613      Ardelyx, Inc.*     34,718  
1,538      Arena Pharmaceuticals, Inc.*     115,027  
6,041      Arrowhead Pharmaceuticals, Inc.*     260,124  
4,292      Atara Biotherapeutics, Inc.*     55,624  
842      Atreca, Inc., Class A*     11,763  
1,280      Biospecifics Technologies Corp.*     67,622  
926      Bluebird Bio, Inc.*     49,958  
4,360      Calithera Biosciences, Inc.*     15,042  
1,371      Caredx, Inc.*     52,016  
1,053      Catalyst Biosciences, Inc.*     4,528  
5,557      Catalyst Pharmaceuticals, Inc.*     16,504  
2,202      ChemoCentryx, Inc.*     120,670  
10,291      Chimerix, Inc.*     25,625  
3,561      Concert Pharmaceuticals, Inc.*     34,969  
836      CRISPR Therapeutics AG*     69,923  
992      Cytomx Therapeutics, Inc.*     6,597  
1,169      Deciphera Pharmaceuticals, Inc.*     59,970  
2,112      Denali Therapeutics, Inc.*     75,673  
1,115      Eagle Pharmaceuticals, Inc.*     47,365  
853      Editas Medicine, Inc.*     23,935  
Shares               Fair Value      

Common Stocks, continued

 

Biotechnology, continued

 
          3,763      Emergent BioSolutions, Inc.*   $ 388,830  
1,500      Enanta Pharmaceuticals, Inc.*     68,670  
3,181      Fibrogen, Inc.*     130,803  
2,224      Five Prime Therapeutics, Inc.*     10,453  
2,188      G1 Therapeutics, Inc.*     25,271  
1,199      Global Blood Therapeutics, Inc.*     66,113  
1,738      Glycomimetics Industries*     5,336  
1,300      Gritstone Oncology, Inc.*     3,445  
1,570      Harpoon Therapeutics, Inc.*     26,674  
2,205      Heron Therapeutics, Inc.*     32,678  
774      Ideaya Biosciences, Inc.*     9,721  
592      ImmuCell Corp.*^     3,215  
2,155      Intellia Therapeutics, Inc.*^     42,841  
9,256      Ironwood Pharmaceuticals, Inc.*     83,258  
4,709      IVERIC Bio, Inc.*     26,559  
3,800      Jounce Therapeutics, Inc.*     31,008  
2,769      Kindred Biosciences, Inc.*     11,879  
514      Kiniksa Pharmaceuticals, Ltd., Class A*     7,874  
2,093      Kura Oncology, Inc.*     64,130  
1,114      Ligand Pharmaceuticals, Inc., Class B*^     106,186  
3,749      Macrogenics, Inc.*     94,437  
424      Madrigal Pharmaceuticals, Inc.*     50,342  
2,522      Magenta Therapeutics, Inc.*     17,150  
900      MediciNova, Inc.*^     4,716  
3,900      MEI Pharma, Inc.*     12,168  
1,038      Mersana Therapeutics, Inc.*     19,328  
1,300      Minerva Neurosciences, Inc.*^     4,134  
514      Momenta Pharmaceuticals, Inc.*     26,975  
5,691      Myriad Genetics, Inc.*     74,211  
1,619      Neoleukin Therapeutics, Inc.*^     19,428  
687      ObsEva SA*     1,704  
26,516      OPKO Health, Inc.*^     97,844  
14,857      PDL BioPharma, Inc.*     46,800  
1,429      Pfenex, Inc.*^     18,220  
704      Prevail Therapeutics, Inc.*     7,167  
1,800      Protagonist Therapeutics, Inc.*     35,190  
3,479      Prothena Corp. plc*     34,755  
580      PTC Therapeutics, Inc.*     27,115  
1,300      Recro Pharma, Inc.     2,730  
1,548      REGENXBIO, Inc.*     42,601  
1,434      Repligen Corp.*     211,572  
3,247      Retrophin, Inc.*     59,940  
1,106      Rhythm Pharmaceuticals, Inc.*     23,967  
1,925      Rigel Pharmaceuticals, Inc.*     4,620  
1,323      Rocket Pharmaceuticals, Inc.*     30,244  
2,245      Sage Therapeutics, Inc.*     137,214  
4,356      Sangamo Therapeutics, Inc.*     41,164  
9,500      Spectrum Pharmaceuticals, Inc.*     38,760  
924      Spero Therapeutics, Inc.*     10,312  
1,000      Syndax Pharmaceuticals, Inc.*     14,760  
905      Syros Pharmaceuticals, Inc.*     8,000  
1,292      TCR2 Therapeutics, Inc.*     26,253  
1,873      Translate Bio, Inc.*     25,492  
1,692      Ultragenyx Pharmaceutical, Inc.*     139,065  
2,176      United Therapeutics Corp.*     219,775  
3,525      Vanda Pharmaceuticals, Inc.*     34,052  
3,262      Vericel Corp.*     60,445  
4,488      Viking Therapeutics, Inc.*^     26,120  
1,685      Voyager Therapeutics, Inc.*     17,979  
3,844      Xencor, Inc.*     149,109  
         4,699,682  

Building Products (2.2%):

 
5,242      AAON, Inc.     315,831  
3,754      Advanced Drainage Systems, Inc.     234,400  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Building Products, continued

 
          1,833      American Woodmark Corp.*   $ 143,964  
2,881      Apogee Enterprises, Inc.     61,567  
3,226      Armstrong Flooring, Inc.*     11,130  
3,236      Armstrong World Industries, Inc.     222,669  
11,456      Builders FirstSource, Inc.*     373,695  
3,446      Cornerstone Building Brands, Inc.*     27,499  
815      Csw Industrials, Inc.     62,959  
1,452      Gibraltar Industries, Inc.*     94,583  
945      Griffon Corp.     18,465  
2,794      Insteel Industries, Inc.     52,248  
4,030      Jeld-Wen Holding, Inc.*     91,078  
925      Masonite International Corp.*     91,020  
509      Owens Corning     35,024  
2,605      Patrick Industries, Inc.     149,840  
7,162      PGT Innovations, Inc.*     125,478  
3,536      Quanex Building Products Corp.     65,204  
3,705      Resideo Technologies, Inc.*     40,755  
4,297      Simpson Manufacturing Co., Inc.     417,496  
7,498      Trex Co., Inc.*     536,856  
2,113      UFP Industries, Inc.     119,406  
         3,291,167  

Capital Markets (2.4%):

 
3,660      Affiliated Managers Group, Inc.     250,271  
4,154      Artisan Partners Asset Management, Inc., Class A     161,964  
866      Assetmark Financial Holdings, Inc.*     18,827  
20,760      BGC Partners, Inc., Class A     49,824  
1,300      Blucora, Inc.*     12,246  
5,851      Brightsphere Investment Group, Inc.     75,478  
4,007      Cohen & Steers, Inc.     223,350  
473      Diamond Hill Investment Group     59,749  
2,638      Donnelley Financial Solutions, Inc.*     35,244  
6,265      Eaton Vance Corp.     239,010  
7,007      Federated Hermes, Inc., Class B     150,721  
1,776      GAMCO Investors, Inc., Class A     20,548  
3,795      Greenhill & Co., Inc.     43,073  
1,753      Hamilton Lane, Inc.     113,226  
211      Hennessy Advisors, Inc.     1,749  
2,974      Houlihan Lokey, Inc.     175,615  
4,569      Interactive Brokers Group, Inc., Class A     220,820  
14,214      Janus Henderson Group plc     308,728  
7,972      Lazard, Ltd., Class A     263,475  
2,775      Manning & Napier, Inc.     11,849  
4,442      Moelis & Co., Class A     156,092  
1,741      Oppenheimer Holdings, Class A     38,859  
771      Piper Jaffray Cos., Inc.     56,283  
1,718      PJT Partners, Inc.     104,128  
2,624      Pzena Investment Management, Inc.     14,065  
3,824      Safeguard Scientifics, Inc.     20,956  
1,619      Silvercrest Asset Management Group, Inc., Class A     16,935  
5,350      Stifel Financial Corp.     270,496  
2,101      StoneX Group, Inc.*     107,487  
207      Value Line, Inc.     5,113  
7,929      Virtu Financial, Inc., Class A     182,446  
693      Virtus Investment Partners, Inc.     96,084  
778      Waddell & Reed Financial, Inc., Class A     11,553  
1,478      Westwood Holdings, Inc.     16,465  
14,884      WisdomTree Investments, Inc.     47,629  
         3,580,358  

Chemicals (3.1%):

 
1,064      Advanced Emmissions Solutions     4,320  
3,852      AdvanSix, Inc.*     49,614  
1,429      Agrofresh Solutions, Inc.*     3,472  
Shares               Fair Value      

Common Stocks, continued

 

Chemicals, continued

 
          3,405      American Vanguard Corp.   $ 44,742  
4,098      Ashland Global Holdings, Inc.     290,630  
3,797      Avient Corp.     100,469  
2,630      Axalta Coating Systems, Ltd.*     58,307  
3,104      Balchem Corp.     303,044  
4,362      Cabot Corp.     157,163  
1,025      Chase Corp.     97,785  
9,570      Chemours Co. (The)     200,109  
1,403      Core Molding Technologies, Inc.*     12,431  
18,384      Element Solutions, Inc.*     193,216  
4,923      Ferro Corp.*     61,045  
2,318      Flotek Industries, Inc.*^     6,282  
4,677      Futurefuel Corp.     53,177  
4,477      GCP Applied Technologies, Inc.*     93,793  
5,221      H.B. Fuller Co.     239,017  
1,335      Hawkins, Inc.     61,544  
15,712      Huntsman Corp.     348,963  
2,407      Ingevity Corp.*     119,002  
2,580      Innospec, Inc.     163,366  
1,447      Intrepid Potash, Inc.*     12,213  
1,147      Koppers Holdings, Inc.*     23,984  
3,713      Kraton Corp.*     66,166  
6,883      Kronos Worldwide, Inc.     88,515  
10,519      Livent Corp.*     94,355  
4,373      LSB Industries, Inc.*     7,084  
3,853      Minerals Technologies, Inc.     196,888  
6,997      Mosaic Co. (The)     127,835  
155      NewMarket Corp.     53,060  
1,786      Northern Technologies International Corp.     14,824  
11,486      Olin Corp.     142,197  
8,061      PQ Group Holdings, Inc.*     82,706  
5,893      Rayonier Advanced Materials, Inc.*     18,858  
2,468      Sensient Technologies Corp.     142,502  
2,235      Stepan Co.     243,615  
3,421      Trecora Resources*     21,005  
2,589      Tredegar Corp.     38,498  
2,135      Trinseo SA     54,741  
10,917      Tronox Holdings plc, Class A     85,917  
12,811      Valvoline, Inc.     243,921  
8,372      Venator Materials plc*     16,158  
4,535      W.R. Grace & Co.     182,715  
         4,619,248  

Commercial Services & Supplies (2.7%):

 
6,854      ABM Industries, Inc.     251,268  
11,413      ACCO Brands Corp.     66,195  
675      Acme United Corp.     15,544  
462      Advanced Disposal Services, Inc.*     13,966  
1,580      AMREP Corp.*     8,848  
4,950      Brady Corp., Class A     198,099  
3,182      BrightView Holdings, Inc.*     36,275  
4,155      Brink’s Co. (The)     170,729  
4,545      Casella Waste Systems, Inc.*     253,838  
5,965      CECO Environmental Corp.*     43,485  
2,582      Cimpress plc*     194,063  
5,239      Civeo Corp.*     3,537  
2,332      Clean Harbors, Inc.*     130,662  
325      CompX International, Inc.     4,859  
15,089      Covanta Holding Corp.     116,940  
1,356      Deluxe Corp.     34,890  
2,494      Ennis, Inc.     43,495  
3,351      Healthcare Services Group, Inc.     72,147  
5,963      Herman Miller, Inc.     179,844  
4,577      HNI Corp.     143,626  
540      IAA, Inc.*     28,118  
6,334      Interface, Inc.     38,764  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Commercial Services & Supplies, continued

 
          3,764      KAR Auction Services, Inc.   $ 54,202  
5,879      Kimball International, Inc., Class B     61,965  
6,368      Knoll, Inc.     76,798  
2,508      Matthews International Corp., Class A     56,079  
2,466      McGrath Rentcorp     146,949  
2,856      MSA Safety, Inc.     383,189  
2,566      NL Industries, Inc.     10,906  
2,198      Perma-Fix Environmental Services, Inc.*     15,496  
3,566      PICO Holdings, Inc.*     31,951  
12,465      Pitney Bowes, Inc.     66,189  
5,379      Quad Graphics, Inc.     16,298  
8,004      RR Donnelley & Sons Co.     11,686  
1,749      SP Plus Corp.*     31,395  
9,998      Steelcase, Inc., Class A     101,080  
4,115      Team, Inc.*     22,633  
3,865      Tetra Tech, Inc.     369,107  
1,516      UniFirst Corp.     287,084  
3,000      US Ecology, Inc.     98,010  
3,364      Virco Manufacturing Co.*     7,233  
1,477      Vse Corp.     45,255  
         3,942,697  

Communications Equipment (0.9%):

 
620      Acacia Communications, Inc.*     41,788  
5,938      ADTRAN, Inc.     60,894  
1,444      Applied Optoelectronics, Inc.*^     16,245  
900      BK Technologies Corp.     2,628  
4,095      CalAmp Corp.*     29,443  
7,919      Calix, Inc.*     140,800  
3,508      Casa Systems, Inc.*     14,137  
980      Clearfield, Inc.*     19,767  
3,616      ClearOne, Inc.*     8,281  
1,300      CommScope Holding Co., Inc.*     11,700  
316      Communications Systems, Inc.     1,210  
1,983      Comtech Telecommunications Corp.     27,762  
2,559      Digi International, Inc.*     39,997  
3,591      EchoStar Corp., Class A*     89,380  
6,028      EMCORE Corp.*     19,591  
7,327      Harmonic, Inc.*     40,885  
11,610      Infinera Corp.*     71,518  
2,422      InterDigital, Inc.     138,199  
3,225      KVH Industries, Inc.*     29,057  
2,336      NETGEAR, Inc.*     71,996  
6,225      NetScout Systems, Inc.*     135,892  
2,391      Network-1 Technologies, Inc.     6,336  
131      Optical Cable Corp.*     405  
7,260      Ribbon Communications, Inc.*     28,096  
3,617      ViaSat, Inc.*     124,389  
14,754      Viavi Solutions, Inc.*     173,063  
         1,343,459  

Construction & Engineering (1.3%):

 
524      Aegion Corp.*     7,404  
3,475      Ameresco, Inc., Class A*     116,065  
3,991      Arcosa, Inc.     175,963  
952      Argan, Inc.     39,898  
4,298      Comfort Systems USA, Inc.     221,390  
3,785      Dycom Industries, Inc.*     199,924  
1,499      EMCOR Group, Inc.     101,497  
4,300      Granite Construction, Inc.     75,723  
4,498      Great Lakes Dredge & Dock Co.*     42,776  
1,979      IES Holdings, Inc.*     62,873  
2,864      MasTec, Inc.*     120,861  
2,091      MYR Group, Inc.*     77,743  
1,479      Northwest Pipe Co.*     39,134  
1,180      NV5 Global, Inc.*     62,269  
Shares               Fair Value      

Common Stocks, continued

 

Construction & Engineering, continued

 
          5,203      Orion Group Holdings, Inc.*   $ 14,308  
1,563      Primoris Services Corp.     28,197  
1,160      Quanta Services, Inc.     61,318  
3,151      Sterling Construction Co., Inc.*     44,618  
4,317      The Goldfield Corp.*     18,261  
1,290      Tutor Perini Corp.*     14,358  
2,118      Valmont Industries, Inc.     263,013  
12,848      WillScot Mobile Mini Holdings Corp.*     214,305  
         2,001,898  

Construction Materials (0.2%):

 
1,180      Eagle Materials, Inc., Class A     101,857  
1,261      Forterra, Inc.*     14,905  
5,455      Summit Materials, Inc., Class A*     90,226  
2,142      U.S. Concrete, Inc.*     62,204  
720      U.S. Lime & Minerals, Inc.     64,872  
         334,064  

Consumer Finance (1.1%):

 
2,191      Atlanticus Holdings Corp.*     26,073  
5,088      Consumer Portfolio Services, Inc.*     16,790  
3,041      Curo Group Holdings Corp.     21,439  
3,868      Encore Capital Group, Inc.*     149,266  
4,461      Enova International, Inc.*     73,116  
5,775      EZCORP, Inc., Class A*     29,048  
4,341      Firstcash, Inc.     248,350  
3,912      Green Dot Corp., Class A*     197,986  
5,920      LendingClub Corp.*     27,883  
14,462      Navient Corp.     122,204  
2,147      Nelnet, Inc., Class A     129,357  
1,556      Nicholas Financial, Inc.*     11,312  
3,069      Onemain Holdings, Inc.     95,906  
3,211      PRA Group, Inc.*     128,279  
1,376      Regional Mgmt Corp.*     22,924  
31,926      SLM Corp.     258,282  
638      World Acceptance Corp.*^     67,341  
         1,625,556  

Containers & Packaging (0.5%):

 
16,926      Graphic Packaging Holding Co.     238,488  
2,611      Greif, Inc., Class A     94,544  
1,290      Greif, Inc., Class B     50,929  
5,009      Myers Industries, Inc.     66,269  
7,172      O-I Glass, Inc.     75,951  
1,296      Sealed Air Corp.     50,298  
4,885      Silgan Holdings, Inc.     179,622  
1,332      UFP Technologies, Inc.*     55,171  
         811,272  

Distributors (0.1%):

 
12      AMCON Distributing Co.     775  
4,391      Core Markt Holdngs Co., Inc.     127,032  
1,626      Educational Development Corp.     27,268  
1,655      Weyco Group, Inc.     26,761  
         181,836  

Diversified Consumer Services (1.1%):

 
4,170      Adtalem Global Education, Inc.*     102,332  
2,153      American Public Education, Inc.*     60,693  
2,338      Carriage Services, Inc.     52,161  
1,667      Collectors Universe, Inc.     82,500  
5,801      Frontdoor, Inc.*     225,717  
318      Graham Holdings Co., Class B     128,507  
3,138      Grand Canyon Education, Inc.*     250,851  
14,560      H&R Block, Inc.     237,182  
11,941      Houghton Mifflin Harcourt Co.*     20,658  
3,468      K12, Inc.*     91,347  
3,822      Laureate Education, Inc.*     50,756  
7,486      Perdoceo Education Corp.*     91,629  
2,561      Regis Corp.*     15,725  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Diversified Consumer Services, continued

 
          1,303      ServiceMaster Global Holdings, Inc.*   $ 51,964  
1,432      Strategic Education, Inc.     130,985  
5,156      Universal Technical Institute, Inc.*     26,192  
2,647      WW International, Inc.*     49,949  
3,362      Zovio, Inc.*     13,448  
         1,682,596  

Diversified Financial Services (0.2%):

 
3,167      Cannae Holdings, Inc.*     118,002  
8,851      Jefferies Financial Group, Inc.     159,318  
1,617      Marlin Business Services, Inc.     11,400  
3,296      On Deck Capital, Inc.*     5,274  
         293,994  

Diversified Telecommunication Services (0.8%):

 
1,146      Anterix, Inc.*     37,486  
1,599      ATN International, Inc.     80,174  
8,538      Cincinnati Bell, Inc.*     128,070  
4,651      Cogent Communications Holdings, Inc.     279,293  
5,491      Consolidated Communications Holdings, Inc.*     31,244  
4,115      IDT Corp.*     27,077  
13,452      Iridium Communications, Inc.*     344,101  
8,713      Orbcomm, Inc.*     29,624  
16,913      Vonage Holdings Corp.*     173,020  
         1,130,089  

Electric Utilities (0.8%):

 
3,264      ALLETE, Inc.     168,879  
3,043      Genie Energy, Ltd., Class B     24,344  
5,125      Hawaiian Electric Industries, Inc.     170,355  
496      IDACORP, Inc.     39,630  
3,454      MGE Energy, Inc.     216,428  
3,794      Otter Tail Corp.     137,229  
6,951      PNM Resources, Inc.     287,285  
2,371      Portland General Electric Co.     84,171  
2,565      Spark Energy, Inc.     21,341  
         1,149,662  

Electrical Equipment (1.4%):

 
1,042      Acuity Brands, Inc.     106,649  
1,259      Allied Motion Technologies, Inc.     51,972  
3,364      American Superconductor Corp.*     48,711  
634      Atkore International Group, Inc.*     14,411  
2,918      AZZ, Inc.     99,562  
1,427      Encore Wire Corp.     66,241  
4,405      EnerSys     295,664  
1,275      Enphase Energy, Inc.*     105,302  
411      Espey Manufacturing & Electronics Corp.     7,808  
727      Generac Holdings, Inc.*     140,776  
13,581      GrafTech International, Ltd.     92,894  
4,534      LSI Industries, Inc.     30,605  
11,293      nVent Electric plc     199,773  
569      Powell Industries, Inc.     13,730  
864      Preformed Line Products Co.     42,094  
3,194      Regal-Beloit Corp.     299,820  
75      Servotronics, Inc.*     584  
3,134      Sunrun, Inc.*     241,537  
2,714      Thermon Group Holdings, Inc.*     30,478  
3,104      Ultralife Corp.*     18,314  
1,934      Vicor Corp.*     150,330  
1,545      Vivint Solar, Inc.*     65,431  
         2,122,686  
Electronic Equipment, Instruments & Components (2.7%):  
2,011      ADDvantage Technologies Group, Inc.*     3,861  
Shares               Fair Value      

Common Stocks, continued

 
Electronic Equipment, Instruments & Components, continued  
          6,544      Arlo Technologies, Inc.*   $ 34,421  
307      Arrow Electronics, Inc.*     24,149  
4,301      Avnet, Inc.     111,138  
2,963      Badger Meter, Inc.     193,691  
254      Bel Fuse, Inc., Class A     2,832  
1,595      Bel Fuse, Inc., Class B     17,035  
3,457      Belden, Inc.     107,582  
896      Benchmark Electronics, Inc.     18,054  
1,548      Coherent, Inc.*     171,720  
1,611      CTS Corp.     35,490  
6,442      Daktronics, Inc.     25,510  
1,365      Data I/O Corp.*     4,341  
200      ePlus, Inc.*     14,640  
2,934      Fabrinet*     184,930  
1,553      FARO Technologies, Inc.*     94,702  
5,586      Fitbit, Inc., Class A*     38,879  
2,839      Flex, Ltd.*     31,626  
640      Frequency Electronics, Inc.*     6,470  
646      IEC Electronics Corp.*     5,588  
2,502      Insight Enterprises, Inc.*     141,563  
3,899      Itron, Inc.*     236,825  
3,661      Jabil, Inc.     125,426  
2,556      Kimball Electronics, Inc.*     29,547  
6,754      Knowles Corp.*     100,635  
1,566      Littlelfuse, Inc.     277,714  
4,193      Methode Electronics, Inc., Class A     119,501  
2,201      MTS Systems Corp.     42,061  
2,608      Napco Security Technologies, Inc.*     61,288  
700      National Instruments Corp.     24,990  
3,067      Novanta, Inc.*     323,078  
2,208      OSI Systems, Inc.*     171,363  
1,564      PAR Technology Corp.*^     63,358  
1,667      PC Connection, Inc.     68,447  
1,875      Perceptron, Inc.*     12,750  
2,944      Plexus Corp.*     207,935  
1,727      RF Industries, Ltd.     7,668  
1,262      Rogers Corp.*     123,752  
7,484      Sanmina Corp.*     202,442  
1,880      ScanSource, Inc.*     37,280  
1,724      SYNNEX Corp.     241,463  
7,788      TTM Technologies, Inc.*     88,861  
9,022      Vishay Intertechnology, Inc.     140,473  
999      Vishay Precision Group, Inc.*     25,295  
989      Wayside Technology Group, Inc.     22,796  
3,952      Wireless Telecom Group, Inc.*     5,454  
         4,028,624  

Energy Equipment & Services (0.5%):

 
7,188      Archrock, Inc.     38,671  
3,231      Aspen Aerogels, Inc.*     35,379  
1,279      Bristow Group, Inc.*     27,179  
2,978      Cactus, Inc., Class A     57,149  
3,788      ChampionX Corp.*     30,266  
3,563      Core Laboratories NV     54,372  
1,457      Dawson Geophysical Co.*     2,564  
2,539      Dril-Quip, Inc.*     62,867  
4,307      Exterran Corp.*     17,917  
16,167      Frank’s International NV*     24,897  
1,260      Geospace Technologies Corp.*     7,787  
2,641      Gulf Island Fabrication, Inc.*     8,266  
7,520      Helix Energy Solutions Group, Inc.*     18,123  
5,207      Helmerich & Payne, Inc.     76,284  
749      Ion Geophysical*^     1,124  
531      KLX Energy Services Holdings, Inc.*^     2,204  
557      Liberty Oilfield Services, Inc., Class A     4,450  
595      Mammoth Energy Services, Inc.*     952  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Energy Equipment & Services, continued

 
          3,068      Matrix Service Co.*   $ 25,618  
494      Nabors Industries, Ltd.*^     12,073  
3,419      National Oilwell Varco, Inc.     30,976  
2,316      Natural Gas Services Group*     19,570  
11,883      Newpark Resources, Inc.*     12,477  
6,877      NexTier Oilfield Solutions, Inc.*     12,722  
6,841      Oceaneering International, Inc.*     24,080  
3,039      Oil States International, Inc.*     8,296  
9,819      Patterson-UTI Energy, Inc.     27,984  
2,252      Propetro Holding Corp.*     9,143  
8,632      RPC, Inc.*     22,788  
1,503      SEACOR Holdings, Inc.*     43,707  
1,598      SEACOR Marine Holdings, Inc.*     3,244  
1,229      Select Energy Services, Inc.*     4,719  
1,537      Solaris Oilfield Infrastructure, Inc.     9,745  
5,480      TETRA Technologies, Inc.*     2,799  
1,075      Tidewater, Inc.*     7,213  
20,620      Transocean, Ltd.*^     16,638  
5,730      U.S. Silica Holdings, Inc.     17,190  
         781,433  

Entertainment (0.2%):

 
2,527      Ballantyne Strong, Inc.*     3,942  
4,904      Cinemark Holdings, Inc.^     49,040  
2,242      Eros STX Global Corp.*^     4,955  
4,000      Glu Mobile, Inc.*     30,700  
2,533      Imax Corp.*     30,295  
783      Liberty Braves Group, Class A*     16,349  
2,677      Liberty Braves Group, Class C*     56,244  
7,207      Lions Gate Entertainment Corp., Class A*     68,323  
7,603      Lions Gate Entertainment Corp., Class B*     66,298  
870      Marcus Corp.     6,725  
2,715      Reading International, Inc., Class A*     8,742  
951      World Wrestling Entertainment, Inc., Class A     38,487  
         380,100  

Equity Real Estate Investment Trusts (0.1%):

 
2,194      Brookfield Renewable Corp., Class A     128,568  

Food & Staples Retailing (0.9%):

 
8,214      BJ’s Wholesale Club Holdings, Inc.*     341,292  
1,910      Ingles Markets, Inc., Class A     72,656  
4,259      Natural Grocers by Vitamin Cottage, Inc.     41,994  
4,226      Performance Food Group Co.*     146,304  
2,982      PriceSmart, Inc.     198,154  
305      Rite Aid Corp.*^     2,894  
2,176      SpartanNash Co.     35,578  
6,074      Sprouts Farmers Market, Inc.*     127,129  
2,872      The Andersons, Inc.     55,056  
2,406      The Chefs’ Warehouse, Inc.*     34,983  
3,444      United Natural Foods, Inc.*     51,212  
2,675      US Foods Holding Corp.*     59,439  
1,832      Village Super Market, Inc., Class A     45,086  
2,676      Weis Markets, Inc.     128,448  
         1,340,225  

Food Products (2.0%):

 
444      Alico, Inc.     12,707  
6,157      B&G Foods, Inc.^     170,980  
1,945      Calavo Growers, Inc.     128,895  
3,264      Cal-Maine Foods, Inc.*     125,240  
1,318      Coffee Holding Co., Inc.*     4,587  
12,764      Darling Ingredients, Inc.*     459,886  
2,411      Farmer Brothers Co.*     10,657  
3,522      Flowers Foods, Inc.     85,690  
Shares               Fair Value      

Common Stocks, continued

 

Food Products, continued

 
          2,300      Fresh Del Monte Produce, Inc.   $ 52,716  
942      Freshpet, Inc.*     105,174  
7,073      Hain Celestial Group, Inc. (The)*     242,604  
6,361      Hostess Brands, Inc.*     78,431  
1,810      J & J Snack Foods Corp.     236,006  
760      John B Sanfilippo And Son, Inc.     57,289  
1,919      Lancaster Colony Corp.     343,116  
2,754      Landec Corp.*     26,769  
2,175      Limoneira Co.     31,103  
1,220      Rocky Mountain Chocolate Factory, Inc.     3,270  
1,518      Sanderson Farms, Inc.     179,078  
46      Seaboard Corp.     130,488  
927      Seneca Foods Corp., Class A*     33,122  
12      Seneca Foods Corp., Class B*     427  
6,525      Simply Good Foods Co. (The)*     143,876  
2,865      Tootsie Roll Industries, Inc.^     88,529  
3,835      TreeHouse Foods, Inc.*     155,433  
         2,906,073  

Gas Utilities (0.8%):

 
1,504      Chesapeake Utilities Corp.     126,787  
4,265      National Fuel Gas Co.     173,116  
5,705      New Jersey Resources Corp.     154,149  
2,636      Northwest Natural Holding Co.     119,648  
2,605      ONE Gas, Inc.     179,771  
873      RGC Resources, Inc.     20,472  
6,748      South Jersey Industries, Inc.     130,034  
2,172      Southwest Gas Holdings, Inc.     137,053  
3,801      Spire, Inc.     202,214  
         1,243,244  

Health Care Equipment & Supplies (3.0%):

 
6,691      Accuray, Inc.*     16,058  
5,021      AngioDynamics, Inc.*     60,553  
1,309      Anika Therapeutics, Inc.*     46,326  
1,831      AtriCure, Inc.*     73,057  
228      Atrion Corp.     142,728  
3,336      Avanos Medical, Inc.*     110,822  
2,841      Axogen, Inc.*     33,041  
2,578      Cantel Medical Corp.     113,277  
572      Cardiovascular Systems, Inc.*     22,508  
1,804      CONMED Corp.     141,921  
2,635      CryoLife, Inc.*     48,668  
1,118      Elctromed, Inc.*     11,638  
4,664      Envista Holdings Corp.*     115,108  
427      Fonar Corp.*     8,916  
431      Globus Medical, Inc., Class A*     21,343  
987      Haemonetics Corp.*     86,116  
608      Heska Corp.*     60,064  
1,373      ICU Medical, Inc.*     250,929  
1,629      Inogen, Inc.*     47,241  
2,580      Integer Holdings Corp.*     152,246  
5,248      Integra LifeSciences Holdings Corp.*     247,811  
199      IntriCon Corp.*     2,424  
4,509      Invacare Corp.     33,908  
850      iRadimed Corp.*     18,173  
2,006      IRIDEX Corp.*     3,932  
249      Kewaunee Scientific CP*     2,226  
4,878      Lantheus Holdings, Inc.*     61,804  
2,690      LeMaitre Vascular, Inc.     87,506  
3,540      LivaNova plc*     160,043  
6,577      Meridian Bioscience, Inc.*     111,677  
5,338      Merit Medical Systems, Inc.*     232,203  
2,701      Natus Medical, Inc.*     46,268  
3,332      Neogen Corp.*     260,728  
4,707      NuVasive, Inc.*     228,619  
6,333      OraSure Technologies, Inc.*     77,073  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Health Care Equipment & Supplies, continued

 
          1,199      Orthofix Medical, Inc.*   $ 37,337  
574      Orthopediatrics Corp.*^     26,358  
2,378      Oxford Immunotec Global plc*     27,823  
2,819      Quidel Corp.*     618,431  
2,363      SeaSpine Holdings Corp.*     33,791  
700      SI-BONE, Inc.*     16,604  
2,000      Sientra, Inc.*     6,800  
1,248      STAAR Surgical Co.*     70,587  
10,930      Surgalign Holdings, Inc.*     19,783  
950      Surmodics, Inc.*     36,965  
923      Tactile Systems Technology, Inc.*     33,773  
554      Utah Medical Products, Inc.     44,248  
2,566      Varex Imaging Corp.*     32,640  
8,600      ViewRay, Inc.*     30,100  
7,300      Wright Medical Group NV*     222,942  
         4,395,137  

Health Care Providers & Services (2.9%):

 
6,333      Acadia Healthcare Co., Inc.*     186,697  
1,084      Addus HomeCare Corp.*     102,449  
1,936      Amedisys, Inc.*     457,729  
1,150      American Renal Associates Holdings, Inc.*     7,935  
5,017      AMN Healthcare Services, Inc.*     293,294  
3,573      BioTelemetry, Inc.*     162,857  
12,012      Brookdale Senior Living, Inc.*     30,510  
10,972      Community Health Systems, Inc.*     46,302  
1,727      CorVel Corp.*     147,538  
4,621      Covetrus, Inc.*     112,752  
2,958      Cross Country Healthcare, Inc.*     19,197  
5,353      Ensign Group, Inc. (The)     305,443  
190      Five Star Senior Living, Inc.*     963  
1,259      Hanger, Inc.*     19,917  
3,529      InfuSystems Holdings, Inc.*     45,242  
1,543      Joint Corp. (The)*     26,833  
1,511      LHC Group, Inc.*     321,179  
1,752      Magellan Health, Inc.*     132,767  
6,017      MEDNAX, Inc.*     97,957  
1,187      National Healthcare Corp.     73,962  
2,297      National Research Corp.     113,035  
1,536      Option Care Health, Inc.*     20,536  
7,794      Owens & Minor, Inc.     195,707  
7,060      Patterson Cos., Inc.     170,181  
1,995      Petiq, Inc.*     65,675  
4,815      Premier, Inc., Class A     158,076  
1,177      Providence Service Corp.*     109,355  
1,080      Psychemedics Corp.     4,763  
7,682      R1 RCM, Inc.*     131,746  
5,677      RadNet, Inc.*     87,142  
12,909      Select Medical Holdings Corp.*     268,765  
1,331      Surgery Partners, Inc.*     29,149  
7,377      Tenet Healthcare Corp.*     180,810  
1,837      The Pennant Group, Inc.*     70,835  
2,495      Triple-S Management Corp., Class B*     44,586  
1,399      U.S. Physical Therapy, Inc.     121,545  
         4,363,429  

Health Care Technology (0.7%):

 
13,105      Allscripts Healthcare Solutions, Inc.*     106,675  
3,434      Castlight Health, Inc., Class B*     3,880  
1,388      Computer Programs & Systems, Inc.     38,323  
4,068      Evolent Health, Inc., Class A*     50,484  
2,627      HealthStream, Inc.*     52,724  
5,891      HMS Holdings Corp.*     141,089  
5,093      Inovalon Holdings, Inc., Class A*     134,710  
4,954      NextGen Healthcare, Inc.*     63,114  
3,050      Omnicell, Inc.*     227,713  
Shares               Fair Value      

Common Stocks, continued

 

Health Care Technology, continued

 
          2,026      Simulations Plus, Inc.   $ 152,679  
2,241      Vocera Communications, Inc.*     65,168  
         1,036,559  

Hotels, Restaurants & Leisure (2.9%):

 
1,724      BBQ Holdings, Inc.*     5,706  
3      Biglari Holdings, Inc., Class A*     1,463  
168      Biglari Holdings, Inc., Class B*     14,954  
2,915      BJ’s Restaurants, Inc.     85,818  
9,405      Bloomin’ Brands, Inc.     143,614  
950      Bluegreen Vacations Holding Corp.*     12,721  
2,784      Brinker International, Inc.     118,932  
4,497      Carrols Restaurant Group, Inc.*     29,006  
5,129      Cheesecake Factory, Inc. (The)^     142,278  
2,165      Choice Hotels International, Inc.     186,103  
706      Churchill Downs, Inc.     115,657  
2,299      Chuy’s Holdings, Inc.*     45,014  
1,626      Cracker Barrel Old Country Store, Inc.     186,437  
3,275      Dave & Buster’s Entertainment, Inc.^     49,649  
2,980      Del Taco Restaurants, Inc.*     24,436  
5,460      Denny’s Corp.*     54,600  
296      Dine Brands Global, Inc.     16,159  
3,712      Dover Motorsports, Inc.     5,234  
2,394      El Pollo Loco Holdings, Inc.*     38,783  
9,422      Extended Stay America, Inc.     112,593  
4,357      Fiesta Restaurant Group, Inc.*     40,825  
378      Flanigan’s Enterprises, Inc.     6,744  
4,318      Hilton Grand Vacations, Inc.*     90,592  
4,444      International Game Technology plc     49,462  
2,200      Jack in the Box, Inc.     174,482  
2,108      Lindblad Expeditions Holdings, Inc.*     17,939  
5,413      Luby’s, Inc.*     15,481  
3,017      Marriott Vacations Worldwide Corp.     273,974  
597      Nathans Famous, Inc.     30,596  
1,669      Noodles & Co.*     11,466  
3,186      Papa John’s International, Inc.     262,144  
4,883      Penn National Gaming, Inc.*     354,995  
1,446      Playa Hotels & Resorts NV*     6,059  
1,540      Playags, Inc.*     5,452  
3,185      Potbelly Corp.*^     12,071  
3,634      Red Lion Hotels Corp.*     7,813  
1,368      Red Robin Gourmet Burgers*     18,003  
662      Red Rock Resorts, Inc.     11,320  
4,652      Ruth’s Hospitality Group, Inc.     51,451  
3,369      Scientific Games Corp., Class A*     117,612  
3,059      SeaWorld Entertainment, Inc.*     60,323  
2,320      Shake Shack, Inc., Class A*^     149,594  
3,391      Six Flags Entertainment Corp.     68,837  
4,645      Texas Roadhouse, Inc., Class A     282,370  
10,098      Wendy’s Co. (The)     225,135  
2,153      Wingstop, Inc.     294,207  
5,923      Wyndham Destinations, Inc.     182,191  
2,364      Wyndham Hotels & Resorts, Inc.     119,382  
         4,329,677  

Household Durables (3.2%):

 
608      Bassett Furniture Industries, Inc.     8,317  
771      Cavco Industries, Inc.*     139,019  
2,344      Century Communities, Inc.*     99,222  
3,024      Dixie Group, Inc. (The)*     2,719  
2,958      Ethan Allen Interiors, Inc.     40,051  
820      Flexsteel Industries, Inc.     19,680  
2,516      Helen of Troy, Ltd.*     486,896  
670      Hooker Furniture Corp.     17,306  
2,732      Installed Building Products, Inc.*     277,981  
2,972      iRobot Corp.*^     225,575  
7,925      KB Home     304,241  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Household Durables, continued

 
          1,138      Koss Corp.*   $ 2,424  
5,387      La-Z-Boy, Inc.     170,391  
4,080      Leggett & Platt, Inc.     167,974  
1,324      LGI Homes, Inc.*     153,809  
2,522      Lifetime Brands, Inc.     23,833  
4,157      M/I Homes, Inc.*     191,430  
6,309      MDC Holdings, Inc.     297,154  
6,186      Meritage Homes Corp.*     682,872  
723      P & F Industries, Inc., Class A     3,131  
2,534      Purple Innovation, Inc.*     62,995  
3,692      Skyline Champion Corp.*     98,835  
4,300      Sonos, Inc.*     65,274  
9,383      Taylor Morrison Home Corp., Class A*     230,728  
2,725      Tempur Sealy International, Inc.*     243,043  
2,542      Toll Brothers, Inc.     123,694  
2,041      TopBuild Corp.*     348,377  
9,280      TRI Pointe Group, Inc.*     168,339  
4,563      Tupperware Brands Corp.*     91,990  
1,460      Universal Electronics, Inc.*     55,100  
4,044      Zagg, Inc.*^     11,323  
         4,813,723  

Household Products (0.5%):

 
1,115      Central Garden & Pet Co.*     44,522  
3,036      Central Garden & Pet Co., Class A*     109,721  
4,718      Energizer Holdings, Inc.     184,663  
1,767      Ocean Bio-Chem, Inc.     25,321  
940      Oil-Dri Corp of America     33,624  
1,701      Spectrum Brands Holdings, Inc.     97,229  
1,285      WD-40 Co.     243,263  
         738,343  
Independent Power and Renewable Electricity Producers (0.5%):  
10,080      Atlantic Power Corp.*     19,757  
4,220      Atlantica Sustainable Infrastructure plc     120,734  
2,215      Clearway Energy, Inc., Class A     54,711  
5,480      Clearway Energy, Inc., Class C     147,741  
5,208      Ormat Technologies, Inc.     307,844  
909      Sunnova Energy International, Inc.*     27,643  
         678,430  

Industrial Conglomerates (0.1%):

 
3,840      Raven Industries, Inc.     82,637  

Insurance (3.4%):

 
2,802      AMBAC Financial Group, Inc.*     35,782  
7,081      American Equity Investment Life Holding Co.     155,711  
1,583      American National Group , Inc.     106,900  
2,529      Amerisafe, Inc.     145,063  
2,482      Argo Group International Holdings, Ltd.     85,455  
6,296      Assured Guaranty, Ltd.     135,238  
2,314      Axis Capital Holdings, Ltd.     101,909  
4,835      Brighthouse Financial, Inc.*     130,110  
5,374      Citizens, Inc.*^     29,772  
3,445      Crawford & Co.     22,186  
4,636      Crawford & Co., Class A     30,319  
2,691      Donegal Group, Inc., Class A     37,862  
2,004      eHealth, Inc.*     158,316  
2,020      Employers Holdings, Inc.     61,105  
1,225      Enstar Group, Ltd.*     197,837  
2,039      FBL Financial Group, Inc., Class A     98,280  
2,111      FedNat Holding Co.     13,342  
10,826      Genworth Financial, Inc., Class A*     36,267  
Shares               Fair Value      

Common Stocks, continued

 

Insurance, continued

 
          1,050      Global Indemnity Group LLC, Class A   $ 21,830  
894      Goosehead Insurance, Inc.     77,411  
3,055      Greenlight Capital Re, Ltd.*     20,560  
1,752      Hallmark Financial Services, Inc.*     4,590  
2,024      Hanover Insurance Group, Inc. (The)     188,596  
1,170      HCI Group, Inc.     57,669  
1,369      Heritage Insurance Holdings, Inc.     13,854  
3,468      Horace Mann Educators Corp.     115,831  
1,651      Independence Holding Co.     62,259  
253      Investors Title Co.     32,905  
1,943      James River Group Holdings     86,522  
2,661      Kemper Corp.     177,835  
1,473      Kingstone Co., Inc.     8,676  
1,784      Kinsale Capital Group, Inc.     339,282  
12,677      Maiden Holdings, Ltd.*     15,466  
4,187      Mercury General Corp.     173,216  
7,678      National General Holdings Corp.     259,133  
198      National Western Life Group, Inc., Class A     36,188  
929      NI Holdings, Inc.*     15,691  
6,495      Old Republic International Corp.     95,736  
1,353      Primerica, Inc.     153,078  
4,148      ProAssurance Corp.     64,875  
180      Protective Insurance Corp.     2,574  
3,350      RLI Corp.     280,497  
1,234      Safety Insurance Group, Inc.     85,257  
4,516      Selective Insurance Group, Inc.     232,529  
3,755      State Auto Financial Corp.     51,669  
2,715      Stewart Information Services Corp.     118,727  
204      The National Security Group, Inc.     2,348  
6,247      Third Point Reinsurance, Ltd.*     43,417  
2,849      Tiptree, Inc., Class A     14,103  
587      Trupanion, Inc.*     46,314  
2,000      United Fire Group, Inc.     40,640  
4,002      United Insurance Holdings Co.     24,252  
2,274      Universal Insurance Holdings, Inc.     31,472  
12,895      Unum Group     217,023  
244      White Mountains Insurance Group, Ltd.     190,075  
         4,983,554  

Interactive Media & Services (0.4%):

 
5,278      Cargurus, Inc.*     114,163  
3,666      Cars.com, Inc.*     29,621  
6,181      DHI Group, Inc.*     13,969  
7,846      Liberty TripAdvisor Holdings, Inc., Class A*     13,574  
4,193      QuinStreet, Inc.*     66,417  
2,073      Travelzoo, Inc.*     13,329  
7,741      TripAdvisor, Inc.     151,646  
11,137      TrueCar, Inc.*     55,685  
3,909      Yelp, Inc.*     78,532  
1,473      Zedge, Inc., Class B*     2,151  
         539,087  

Internet & Direct Marketing Retail (0.8%):

 
4,886      1-800 Flowers.com, Inc., Class A*     121,857  
576      Groupon, Inc.*     11,750  
3,052      Grubhub, Inc.*     220,751  
1,300      Lands’ End, Inc.*     16,939  
3,938      Leaf Group, Ltd.*     19,769  
3,018      Liquidity Services, Inc.*     22,514  
1,834      Magnite, Inc.*     12,737  
3,081      PetMed Express, Inc.^     97,421  
5,840      Quotient Technology, Inc.*     43,099  
16,641      Qurate Retail, Inc., Class A     119,482  
3,532      Shutterstock, Inc.     183,805  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Internet & Direct Marketing Retail, continued

 
          1,086      Stamps.com, Inc.*   $ 261,673  
         1,131,797  

IT Services (2.7%):

 
1,437      Alliance Data Systems Corp.     60,325  
1,700      Brightcove, Inc.*     17,408  
592      CACI International, Inc., Class A*     126,191  
4,472      Cardtronics plc*     88,546  
1,474      Cass Information Systems, Inc.     59,314  
11,403      Conduent, Inc.*     36,262  
4,532      CoreLogic, Inc.     306,680  
3,532      CSG Systems International, Inc.     144,635  
758      CSP, Inc.     6,542  
8,470      DXC Technology Co.     151,190  
4,290      Endurance International Group Holdings, Inc.*     24,625  
922      Euronet Worldwide, Inc.*     83,994  
4,623      Evertec, Inc.     160,464  
2,000      Evo Payments, Inc.*     49,700  
3,066      Exlservice Holdings, Inc.*     202,264  
1,053      Greensky, Inc.*     4,675  
4,964      GTT Communications, Inc.*^     25,614  
4,599      Hackett Group, Inc. (The)     51,417  
439      I3 Verticals, Inc.*     11,085  
11,668      KBR, Inc.     260,896  
10,373      Limelight Networks, Inc.*     59,748  
4,958      LiveRamp Holdings, Inc.*     256,676  
2,106      ManTech International Corp., Class A     145,061  
2,575      Maximus, Inc.     176,156  
7,514      NIC, Inc.     148,026  
862      Paysign, Inc.*^     4,896  
3,115      Perficient, Inc.*     133,135  
9,346      Perspecta, Inc.     181,780  
3,168      PFSweb, Inc.*     21,194  
5,763      Sabre Corp.     37,517  
1,072      Science Applications International Corp.     84,066  
8,429      Servicesource International, Inc.*     12,391  
1,555      StarTek, Inc.*     8,164  
4,816      Switch, Inc., Class A     75,178  
4,608      Sykes Enterprises, Inc.*     157,640  
6,624      Teradata Corp.*     150,365  
4,768      TTEC Holdings, Inc.     260,094  
7,332      Unisys Corp.*     78,232  
3,544      Verra Mobility Corp.*     34,235  
3,309      Virtusa Corp.*     162,670  
         4,059,051  

Leisure Products (1.0%):

 
5,053      Acushnet Holdings Corp.     169,831  
2,004      American Outdoor Brands, Inc.*     26,112  
1,875      Brunswick Corp.     110,456  
6,323      Callaway Golf Co.     121,022  
1,402      Escalade, Inc.     25,643  
723      Johnson Outdoors, Inc., Class A     59,206  
1,830      Malibu Boats, Inc.*     90,695  
2,419      Marine Products Corp.     37,833  
850      Mastercraft Boat Holdings, Inc.*     14,867  
15,270      Mattel, Inc.*     178,659  
4,982      Nautilus Group, Inc.*     85,491  
743      Polaris, Inc.     70,095  
8,017      Smith & Wesson Brands, Inc.     124,424  
7,141      Vista Outdoor, Inc.*     144,105  
3,612      YETI Holdings, Inc.*     163,696  
         1,422,135  
Shares               Fair Value      

Common Stocks, continued

 

Life Sciences Tools & Services (0.5%):

 
          2,434      Codexis, Inc.*   $ 28,575  
7,407      Enzo Biochem, Inc.*     15,629  
4,548      Fluidigm Corp.*     33,792  
7,018      Harvard Bioscience, Inc.*     21,124  
4,475      Luminex Corp.     117,469  
1,865      Medpace Holdings, Inc.*     208,414  
7,114      Neogenomics, Inc.*     262,434  
323      Syneos Health, Inc.*     17,171  
         704,608  

Machinery (5.5%):

 
5,140      AGCO Corp.     381,747  
1,154      Alamo Group, Inc.     124,667  
3,091      Albany International Corp., Class A     153,035  
8,019      Allison Transmission Holdings, Inc.     281,787  
1,735      Altra Industrial Motion Corp.     64,143  
806      Art’s-Way Manufacturing Co.*     1,862  
2,041      Astec Industries, Inc.     110,724  
5,224      Barnes Group, Inc.     186,706  
2,530      Blue Bird Corp.*     30,765  
2,762      Chart Industries, Inc.*     194,086  
1,959      CIRCOR International, Inc.*     53,579  
8,051      Colfax Corp.*     252,479  
2,372      Columbus McKinnon Corp.     78,513  
5,525      Commercial Vehicle Group, Inc.*     36,078  
1,486      Crane Co.     74,493  
1,676      DMC Global, Inc.     55,207  
2,578      Douglas Dynamics, Inc.     88,168  
500      Eastern Co. (The)     9,760  
1,418      Energy Recovery, Inc.*     11,628  
6,598      Enerpac Tool Group Corp.*     124,108  
1,516      EnPro Industries, Inc.     85,518  
1,803      ESCO Technologies, Inc.     145,250  
4,291      Evoqua Water Technologies Co.*     91,055  
6,275      Federal Signal Corp.     183,544  
4,486      Flowserve Corp.     122,423  
4,718      Franklin Electric Co., Inc.     277,560  
2,281      FreightCar America, Inc.*     5,201  
11,753      Gates Industrial Corp. plc*     130,693  
1,765      Gencor Industries, Inc.*     19,468  
2,837      Gorman-Rupp Co. (The)     83,578  
459      Graham Corp.     5,861  
7,484      Harsco Corp.*     104,102  
3,615      Helios Technologies, Inc.     131,586  
785      Hurco Cos, Inc.     22,294  
1,014      Hyster-Yale Materials Handling, Inc., Class A     37,670  
450      ITT, Inc.     26,573  
3,043      John Bean Technologies Corp.     279,621  
288      Kadant, Inc.     31,571  
8,593      Kennametal, Inc.     248,681  
1,529      L.B. Foster Co., Class A*     20,519  
642      Lincoln Electric Holdings, Inc.     59,090  
755      Lindsay Corp.     72,993  
829      Lydall, Inc.*     13,712  
3,228      Manitex International, Inc.*     13,461  
2,653      Manitowoc Co., Inc. (The)*     22,312  
8,377      Meritor, Inc.*     175,414  
770      Middleby Corp. (The)*     69,077  
728      Miller Industries, Inc.     22,255  
5,894      Mueller Industries, Inc.     159,492  
17,801      Mueller Water Products, Inc., Class A     184,952  
5,988      Navistar International Corp.*     260,718  
3,562      NN, Inc.*     18,380  
738      Omega Flex, Inc.     115,659  
148      Oshkosh Corp.     10,878  
2,028      Park-Ohio Holdings Corp.     32,590  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Machinery, continued

 
          1,756      Proto Labs, Inc.*   $ 227,402  
1,956      RBC Bearings, Inc.*     237,087  
3,472      REV Group, Inc.     27,394  
12,280      Rexnord Corp.     366,434  
2,848      Shyft Group, Inc. (The)     53,770  
1,692      SPX Corp.*     78,475  
1,560      SPX FLOW, Inc.*     66,799  
1,636      Standex International Corp.     96,851  
466      Taylor Devices, Inc.*     4,250  
1,866      Tennant Co.     112,632  
7,642      Terex Corp.     147,949  
800      The Exone Co.*^     9,776  
3,586      The Greenbrier Cos., Inc.     105,428  
5,130      Timken Co.     278,149  
7,930      Titan International, Inc.     22,918  
5,270      TriMas Corp.*     120,156  
8,103      Trinity Industries, Inc.     158,009  
1,747      Twin Disc, Inc.*     8,840  
4,530      Wabash National Corp.     54,179  
2,689      Watts Water Technologies, Inc., Class A     269,303  
16,047      Welbilt, Inc.*     98,850  
1,156      Woodward, Inc.     92,665  
         8,234,602  

Marine (0.2%):

 
7,920      Costamare, Inc.     48,075  
4,337      Genco Shipping & Trading, Ltd.     29,925  
2,241      Kirby Corp.*     81,057  
4,582      Matson, Inc.     183,693  
315      Scorpio Bulkers, Inc.     4,460  
         347,210  

Media (1.0%):

 
3,904      A.H. Belo Corp., Class A     5,505  
3,021      AMC Networks, Inc., Class A*     74,649  
478      Beasley Broadcast Group, Inc., Class A     593  
1,782      Boston Omaha Corp.*     28,512  
23,234      Central Eurpoean Media Enterprises*     97,350  
7,836      comScore, Inc.*     15,985  
144      Daily Journal Corp.*^     34,848  
6,258      E.W. Scripps Co. (The), Class A     71,592  
3,323      Emerald Holding, Inc.     6,779  
6,123      Entercom Communications Corp.     9,858  
11,865      Entravision Communications Corp., Class A     18,035  
5,880      Gannett Co, Inc.*     7,644  
7,594      Gray Television, Inc.*     104,569  
2,892      Hemisphere Media Group*     25,131  
4,052      John Wiley & Sons, Inc., Class A     128,488  
3,964      Liberty Latin America, Ltd.*     32,703  
12,787      Liberty Latin America, Ltd., Class C*     104,087  
500      Loral Space & Communications Inc.     9,150  
6,655      Marchex, Inc., Class B*     14,109  
4,388      Meredith Corp.     57,571  
3,571      MSG Networks, Inc., Class A*     34,174  
10,941      National CineMedia, Inc.     29,705  
1,690      New York Times Co. (The), Class A     72,315  
2,788      Nexstar Media Group, Inc., Class A     250,724  
1,732      Scholastic Corp.     36,355  
2,708      TechTarget, Inc.*     119,044  
10,206      Tegna, Inc.     119,921  
2,169      Tribune Publishing Co.     25,291  
         1,534,687  

Metals & Mining (1.1%):

 
8,016      Alcoa Corp.*     93,226  
Shares               Fair Value      

Common Stocks, continued

 

Metals & Mining, continued

 
          7,802      Allegheny Technologies, Inc.*   $ 68,033  
2,124      Ampco-Pittsburgh Corp.*     6,988  
5,867      Carpenter Technology Corp.     106,545  
3,100      Century Aluminum Co.*     22,072  
16,167      Coeur Mining, Inc.*     119,312  
12,903      Commercial Metals Co.     257,802  
3,500      Compass Minerals International, Inc.     207,725  
13,641      Ferroglobe plc*     9,126  
13,641      Ferroglobe Unit*(a)     –    
1,805      Gold Resource Corp.     6,155  
1,557      Haynes International, Inc.     26,609  
37,410      Hecla Mining Co.     190,043  
931      Kaiser Aluminum Corp.     49,892  
1,545      Materion Corp.     80,386  
9,373      McEwen Mining, Inc.*     9,935  
2,868      Ryerson Holding Corp.*     16,434  
1,487      Schnitzer Steel Industries, Inc., Class A     28,595  
3,318      SunCoke Energy, Inc.     11,348  
1,789      Synalloy Corp.*     9,875  
4,467      TimkenSteel Corp.*     15,858  
6,784      United States Steel Corp.^     49,795  
1,458      Universal Stainless & Alloy Products, Inc.*     8,004  
684      Warrior Met Coal, Inc.     11,683  
3,959      Worthington Industries, Inc.     161,448  
         1,566,889  

Multiline Retail (0.4%):

 
4,142      Big Lots, Inc.     184,733  
654      Dillard’s, Inc., Class A^     23,884  
5,813      Kohl’s Corp.     107,715  
3,428      Macy’s, Inc.^     19,540  
5,996      Nordstrom, Inc.^     71,472  
2,202      Ollie’s Bargain Outlet Holdings, Inc.*     192,345  
         599,689  

Multi-Utilities (0.4%):

 
5,117      Avista Corp.     174,592  
2,243      Black Hills Corp.     119,978  
806      MDU Resources Group, Inc.     18,135  
3,792      NorthWestern Corp.     184,443  
1,778      Unitil Corp.     68,702  
         565,850  

Oil, Gas & Consumable Fuels (1.8%):

 
816      Adams Resources & Energy, Inc.     16,238  
5,684      Antero Midstream Corp.     30,523  
5,014      Antero Resources Corp.*^     13,789  
1,558      Apache Corp.     14,754  
1,638      Arch Resources, Inc.*     69,582  
1,954      Ardmore Shipping Corp.     6,956  
1,667      Berry Corp.     5,284  
2,422      Bonanza Creek Energy, Inc.*     45,534  
2,330      Callon Petroleum Co.*     11,231  
3,036      Centennial Resource Development, Inc., Class A*     1,829  
3,046      Cimarex Energy Co.     74,109  
16,914      Clean Energy Fuel Corp.*     41,947  
15,819      CNX Resources Corp.*     149,332  
2,015      CONSOL Energy, Inc.*     8,926  
1,914      Contango Oil & Gas Co.*     2,565  
5,547      CVR Energy, Inc.     68,672  
5,713      Delek US Holdings, Inc.     63,586  
2,142      Devon Energy Corp.     20,263  
16,266      DHT Holdings, Inc.     83,933  
4,012      Dorian LPG, Ltd.*     32,136  
416      Earthstone Energy, Inc.*     1,077  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Oil, Gas & Consumable Fuels, continued

 
17,427      Enlink Midstream LLC   $ 40,953  
19,984      EQT Corp.     258,394  
13,891      Equitrans Midstream Corp.     117,518  
2,943      Evolution Petroleum Corp.     6,592  
10,643      Gaslog, Ltd.     28,843  
          1,561      Green Plains, Inc.*     24,164  
9,417      Gulfport Energy Corp.*     4,964  
9,079      HighPoint Resources Corp.*     2,088  
1,791      HollyFrontier Corp.     35,301  
2,520      International Seaways, Inc.     36,817  
34,496      Kosmos Energy, Ltd.     33,654  
725      Laredo Petroleum, Inc.*     7,105  
1,631      Marathon Oil Corp.     6,671  
9,030      Matador Resources Co.*     74,588  
290      Montage Resources Corp.*     1,273  
6,809      Murphy Oil Corp.     60,736  
1,403      Noble Energy, Inc.     11,996  
14,613      Nordic American Tankers, Ltd.^     50,999  
5,300      Overseas Shipholding Group, Inc.*     11,342  
2,410      Panhandle Oil & Gas, Inc., Class A     3,446  
2,838      PAR Pacific Holdings, Inc.*     19,213  
5,341      Parsley Energy, Inc., Class A     49,992  
6,480      PBF Energy, Inc., Class A     36,871  
7,105      PDC Energy, Inc.*     88,066  
5,636      Peabody Energy Corp.     12,963  
523      Penn Virginia Corp.*^     5,152  
6      PrimeEnergy Resources Corp.*     397  
12,864      QEP Resources, Inc.     11,614  
17,188      Range Resources Corp.     113,785  
4,934      Renewable Energy Group, Inc.*     263,575  
300      REX American Resources Corp.*     19,683  
1,533      SandRidge Energy, Inc.*     2,529  
3,705      Scorpio Tankers, Inc.^     41,014  
8,803      SFL Corp., Ltd.     65,934  
7,278      SM Energy Co.     11,572  
39,155      Southwestern Energy Co.*     92,014  
1,352      Talos Energy, Inc.*     8,720  
971      Targa Resources Corp.     13,623  
1,980      Teekay Shipping Corp.*^     4,415  
2,363      Teekay Tankers, Ltd., Class A*^     25,615  
8,709      W&T Offshore, Inc.*^     15,676  
5,239      World Fuel Services Corp.     111,014  
14,861      WPX Energy, Inc.*     72,819  
         2,665,966  

Paper & Forest Products (0.6%):

 
4,216      Boise Cascade Co.     168,303  
2,174      Clearwater Paper Corp.*     82,482  
5,761      Domtar Corp.     151,341  
6,293      Louisiana-Pacific Corp.     185,706  
5,170      Mercer International, Inc.     34,122  
1,778      Neenah, Inc.     66,622  
3,299      P.H. Glatfelter Co.     45,427  
12,394      Resolute Forest Products*     55,525  
3,522      Schweitzer-Mauduit International, Inc.     107,034  
3,241      Verso Corp.     25,571  
         922,133  

Personal Products (0.6%):

 
881      Coty, Inc., Class A     2,379  
3,582      e.l.f. Beauty, Inc.*     65,801  
2,807      Edgewell Personal Care Co.*     78,259  
2,136      Inter Parfums, Inc.     79,780  
900      Lifevantage Corp.*     10,863  
537      Mannatech, Inc.     9,000  
1,121      Medifast, Inc.     184,349  
5,243      Natura & Co. Holding SA, ADR     95,475  
Shares               Fair Value      

Common Stocks, continued

 

Personal Products, continued

 
          1,387      Natural Alternatives International, Inc.*   $ 10,472  
369      Natural Health Trends Corp.     2,081  
2,857      Natures Sunshine Products, Inc.*     33,055  
2,622      Nu Skin Enterprises, Inc., Class A     131,336  
340      United-Guardian, Inc.     5,103  
2,205      Usana Health Sciences, Inc.*     162,399  
         870,352  

Pharmaceuticals (1.3%):

 
1,372      Aerie Pharmaceuticals, Inc.*^     16,148  
5,034      Amneal Pharmaceuticals, Inc.*     19,532  
3,129      Amphastar Pharmaceuticals, Inc.*     58,669  
1,566      ANI Pharmaceuticals, Inc.*     44,177  
1,496      Aratana Therapeutics- CVR*(a)      
1,561      Assembly Biosciences, Inc.*     25,663  
4,744      Assertio Holdings, Inc.*     3,158  
2,200      BioDelivery Sciences International, Inc.*     8,206  
4,206      Chiasma, Inc.*     18,086  
1,754      Collegium Pharmaceutical, Inc.*     36,518  
7,702      Corcept Therapeutics, Inc.*     134,053  
3,415      Cumberland Pharmaceuticals, Inc.*     10,962  
3,701      Cymabay Therapeutics, Inc.*     26,795  
14,088      Endo International plc*     46,490  
4,719      Horizon Therapeutics plc*     366,572  
8,270      Innoviva, Inc.*     86,422  
2,755      Intra-Cellular Therapies, Inc.*     70,693  
1,144      Kala Pharmaceuticals, Inc.*^     8,580  
4,227      Lannett Co., Inc.*     25,827  
3,492      Mallinckrodt plc*^     3,399  
12,061      Nektar Therapeutics*     200,092  
553      NGM Biopharmaceuticals, Inc.*     8,798  
2,308      Otonomy, Inc.*     9,347  
2,834      Pacira BioSciences, Inc.*     170,380  
1,714      Phibro Animal Health Corp., Class A     29,824  
4,069      Prestige Consumer Healthcare, Inc.*     148,193  
1,980      Revance Therapeutics, Inc.*     49,777  
911      scPharmaceuticals, Inc.*     6,787  
6,222      SIGA Technologies, Inc.*     42,745  
8,452      Strongbridge Biopharma plc*     17,749  
5,032      Supernus Pharmaceuticals, Inc.*     104,867  
1,805      Taro Pharmaceutical Industries, Ltd.*     99,004  
1,478      Zogenix, Inc.*     26,501  
         1,924,014  

Professional Services (1.8%):

 
1,888      Acacia Research Corp.*     6,551  
5,362      ASGN, Inc.*     340,809  
848      Barrett Business Services, Inc.     44,469  
4,636      CBIZ, Inc.*     106,025  
490      CRA International, Inc.     18,360  
4,779      Exponent, Inc.     344,232  
1,712      Forrester Research, Inc.*     56,136  
1,595      Franklin Covey Co.*     28,295  
3,734      FTI Consulting, Inc.*     395,693  
2,202      GP Strategies Corp.*     21,227  
2,274      Heidrick & Struggles International, Inc.     44,684  
1,654      Huron Consulting Group, Inc.*     65,052  
1,623      ICF International, Inc.     99,863  
5,892      InnerWorkings, Inc.*     17,617  
1,529      Insperity, Inc.     100,134  
2,489      Kelly Services, Inc., Class A     42,413  
2,511      Kforce, Inc.     80,779  
5,647      Korn Ferry     163,763  
4,003      ManpowerGroup, Inc.     293,540  
1,332      Mastech Digital, Inc.*     23,989  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Professional Services, continued

 
          3,943      Mistras Group, Inc.*   $ 15,417  
518      Nielsen Holdings plc     7,345  
4,033      Resources Connection, Inc.     46,581  
4,676      TriNet Group, Inc.*     277,380  
3,718      Trueblue, Inc.*     57,592  
1,352      Upwork, Inc.*     23,579  
505      Willdan Group, Inc.*     12,883  
         2,734,408  

Real Estate Management & Development (0.6%):

 
2,400      Altisource Portfolio Solutions*     30,408  
395      CKX Lands, Inc.*     3,681  
920      CTO Realty Growth, Inc.     40,572  
2,704      Cushman & Wakefield plc*     28,419  
1,972      Forestar Group, Inc.*     34,904  
504      FRP Holdings, Inc.*     21,002  
376      Griffin Industrial Realty, Inc.     20,097  
2,012      Howard Hughes Corp. (The)*     115,891  
10      J.W. Mays, Inc.*     205  
60      Jones Lang LaSalle, Inc.     5,740  
9,642      Kennedy-Wilson Holdings, Inc.     140,002  
4,214      Marcus & Millichap, Inc.*     115,969  
1,035      Maui Land & Pineapple Co.*     11,199  
5,383      Newmark Group, Inc.     23,255  
2,057      Rafael Holdings, Inc., Class B*     31,884  
1,547      RE/MAX Holdings, Inc., Class A     50,633  
8,369      Realogy Holdings Corp.*     79,003  
308      Stratus Properties, Inc.*     6,640  
3,421      Tejon Ranch Co.*     48,407  
1,076      The RMR Group, Inc., Class A     29,558  
3,981      The St Joe Co.*     82,128  
         919,597  

Road & Rail (1.1%):

 
1,803      ArcBest Corp.     56,001  
6,766      Avis Budget Group, Inc.*     178,081  
2,278      Covenant Logistics Group, Inc.*     39,842  
8,584      Heartland Express, Inc.     159,662  
5,530      Hertz Global Holdings, Inc.*     6,138  
2,688      Landstar System, Inc.     337,317  
5,499      Marten Transport, Ltd.     89,744  
948      Ryder System, Inc.     40,044  
2,735      Saia, Inc.*     344,994  
2,170      Schneider National, Inc., Class B     53,664  
2,735      Universal Logistics Holdings, Inc.     57,052  
988      USA Truck, Inc.*     9,337  
7,462      Werner Enterprises, Inc.     313,329  
4,526      YRC Worldwide, Inc.*^     17,742  
         1,702,947  
Semiconductors & Semiconductor Equipment (3.7%):  
2,991      Advanced Energy Industries, Inc.*     188,254  
3,814      Alpha & Omega Semiconductor, Ltd.*     48,895  
1,892      Ambarella, Inc.*     98,725  
24,884      Amkor Technology, Inc.*     278,701  
1,301      Amtech Systems, Inc.*     6,362  
3,183      Axcelis Technologies, Inc.*     70,026  
2,777      AXT, Inc.*     16,995  
5,573      Brooks Automation, Inc.     257,807  
2,508      Cabot Microelectronics Corp.     358,166  
1,462      CEVA, Inc.*     57,559  
5,549      Cirrus Logic, Inc.*     374,279  
3,421      Cohu, Inc.     58,773  
1,669      Cree, Inc.*     106,382  
522      Cyberoptics Corp.*     16,620  
5,255      Diodes, Inc.*     296,645  
3,285      DSP Group, Inc.*     43,296  
Shares               Fair Value      

Common Stocks, continued

 
Semiconductors & Semiconductor Equipment, continued  
          1,920      First Solar, Inc.*   $ 127,104  
6,622      FormFactor, Inc.*     165,086  
4,679      GSI Technology, Inc.*     26,390  
1,254      Ichor Holdings, Ltd.*     27,049  
1,271      Impinj, Inc.*^     33,491  
1,745      Inphi Corp.*     195,876  
1,349      inTest Corp.*     6,071  
4,825      Kulicke & Soffa Industries, Inc.     108,080  
12,204      Lattice Semiconductor Corp.*     353,428  
1,636      MagnaChip Semiconductor Corp.*     22,413  
4,333      MaxLinear, Inc., Class A*     100,699  
286      MKS Instruments, Inc.     31,240  
6,163      Neophotonics Corp.*     37,533  
807      NVE Corp.     39,608  
3,097      Onto Innovation, Inc.*     92,229  
2,739      PDF Solutions, Inc.*     51,247  
6,256      Photronics, Inc.*     62,310  
2,109      Pixelworks, Inc.*     4,323  
5,950      Power Integrations, Inc.     329,630  
9,474      Rambus, Inc.*     129,699  
4,245      Semtech Corp.*     224,815  
2,812      Silicon Laboratories, Inc.*     275,154  
1,208      SMART Global Holdings, Inc.*     33,027  
1,598      SolarEdge Technologies, Inc.*     380,884  
2,469      Synaptics, Inc.*     198,557  
3,049      Ultra Clean Holdings, Inc.*     65,432  
3,647      Veeco Instruments, Inc.*     42,560  
         5,441,420  

Software (3.0%):

 
4,807      2u, Inc.*     162,765  
3,492      A10 Networks, Inc.*     22,244  
9,468      ACI Worldwide, Inc.*     247,398  
994      Agilysys, Inc.*     24,015  
2,538      Alarm.com Holding, Inc.*     140,225  
2,147      Altair Engineering, Inc.*     90,131  
3,594      American Software, Inc., Class A     50,460  
752      Appfolio, Inc.*     106,641  
935      Asure Software, Inc.*^     7,059  
4,177      Avaya Holdings Corp.*     63,490  
2,785      Aware, Inc.*     7,520  
3,147      Blackbaud, Inc.     175,697  
620      Blackline, Inc.*     55,571  
2,196      Bottomline Technologies, Inc.*     92,583  
2,350      BSQUARE Corp.*     3,173  
900      ChannelAdvisor Corp.*     13,023  
2,728      CommVault Systems, Inc.*     111,302  
2,681      Cornerstone OnDemand, Inc.*     97,481  
6,387      Digital Turbine, Inc.*     209,110  
3,015      Ebix, Inc.     62,109  
2,928      Envestnet, Inc.*     225,924  
14,159      FireEye, Inc.*     174,793  
1,926      Globant SA*     345,178  
3,122      J2 Global, Inc.*     216,105  
2,709      Manhattan Associates, Inc.*     258,681  
562      MicroStrategy, Inc., Class A*     84,615  
3,326      Mimecast, Ltd.*     156,056  
2,038      Mitek Systems, Inc.*     25,964  
1,064      New Relic, Inc.*     59,967  
3,961      OneSpan, Inc.*     83,023  
4,295      Progress Software Corp.     157,541  
1,068      QAD, Inc.     45,070  
2,317      Qualys, Inc.*     227,089  
5,408      SailPoint Technologies Holding, Inc.*     213,995  
769      Sapiens International Corp. NV     23,516  
1,739      Secureworks Corp.*     19,807  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Software, continued

 
539      Shotspotter, Inc.*   $ 16,731  
684      Sps Commerce, Inc.*     53,263  
          5,449      Synacor, Inc.*     8,228  
3,280      Synchronoss Technologies, Inc.*     9,873  
7,906      Telenav, Inc.*     28,462  
870      Upland Software, Inc.*     32,799  
3,799      Verint Systems, Inc.*     183,036  
11,535      Xperi Holding Corp.     132,537  
1,800      Zix Corp.*     10,512  
         4,534,762  

Specialty Retail (4.1%):

 
5,461      Aaron’s, Inc.     309,366  
3,905      Abercrombie & Fitch Co., Class A     54,397  
15,268      American Eagle Outfitters, Inc.^     226,119  
767      America’s Car Mart, Inc.*     65,103  
1,933      Asbury Automotive Group, Inc.*     188,371  
3,093      At Home Group, Inc.*     45,962  
6,085      AutoNation, Inc.*     322,079  
7,305      Barnes & Noble Education, Inc.*     18,847  
7,174      Bed Bath & Beyond, Inc.^     107,467  
4,102      Big 5 Sporting Goods Corp.^     30,683  
3,574      Boot Barn Holdings, Inc.*     100,572  
1,732      Build-A-Bear Workshop, Inc.*     4,330  
3,926      Caleres, Inc.     37,533  
2,599      Cato Corp., Class A     20,324  
16,720      Chico’s FAS, Inc.     16,260  
1,594      Citi Trends, Inc.     39,818  
3,051      Conn’s, Inc.*     32,280  
7,160      Designer Brands, Inc., Class A     38,879  
5,615      Dick’s Sporting Goods, Inc.     324,996  
11,002      Express, Inc.*     6,711  
406      Five Below, Inc.*     51,562  
3,521      Floor & Decor Holdings, Inc., Class A*     263,371  
7,967      Foot Locker, Inc.     263,150  
367      Francesca’s Holdings Corp.*^     984  
5,741      GameStop Corp., Class A*^     58,558  
5,731      Gap, Inc. (The)     97,599  
2,011      Genesco, Inc.*     43,317  
977      Group 1 Automotive, Inc.     86,357  
6,148      Guess?, Inc.     71,440  
2,764      Haverty Furniture Cos., Inc.     57,878  
2,444      Hibbett Sports, Inc.*     95,854  
2,615      Lithia Motors, Inc., Class A     596,062  
1,529      Lumber Liquidators Holdings, Inc.*     33,714  
2,422      MarineMax, Inc.*     62,173  
8,315      Michaels Cos., Inc. (The)*^     80,281  
3,427      Monro, Inc.     139,033  
2,989      Murphy U.S.A., Inc.*     383,399  
4,523      National Vision Holdings, Inc.*     172,960  
4,205      ODP Corp. (The)*     81,787  
5,676      Penske Automotive Group, Inc.     270,518  
3,598      Rent-A-Center, Inc.     107,544  
929      RH*     355,454  
7,968      Sally Beauty Holdings, Inc.*     69,242  
909      Shoe Carnival, Inc.     30,524  
4,149      Signet Jewelers, Ltd.     77,586  
2,722      Sleep Number Corp.*     133,133  
2,525      Sonic Automotive, Inc., Class A     101,404  
2,363      Sportsman’s Warehouse Holdings, Inc.*     33,815  
289      Tandy Leather Factory, Inc.*     922  
5,592      The Buckle, Inc.     114,021  
1,798      The Children’s Place, Inc.     50,973  
6,893      The Container Store Group, Inc.*^     42,806  
2,271      Tilly’s, Inc.     13,694  
Shares               Fair Value      

Common Stocks, continued

 

Specialty Retail, continued

 
6,609      Urban Outfitters, Inc.*   $ 137,533  
399      Winmark Corp.     68,700  
3,106      Zumiez, Inc.*     86,409  
         6,323,854  

Technology Hardware, Storage & Peripherals (0.4%):

 
6,969      3D Systems Corp.*     34,218  
          1,308      AstroNova, Inc.     10,490  
7,288      Avid Technology, Inc.*     62,385  
1,901      CCUR Holdings, Inc.     5,627  
7,802      NCR Corp.*     172,736  
16,452      Pure Storage, Inc., Class A*     253,197  
3,811      Stratasys, Ltd.*     47,523  
2,418      Super Micro Computer, Inc.*     63,835  
1,590      TransAct Technologies, Inc.     7,950  
         657,961  

Textiles, Apparel & Luxury Goods (1.7%):

 
5,043      Capri Holdings, Ltd.*     90,774  
2,989      Carter’s, Inc.     258,788  
200      Columbia Sportswear Co.     17,396  
6,030      Crocs, Inc.*     257,662  
2,291      Culp, Inc.     28,454  
2,020      Deckers Outdoor Corp.*     444,420  
1,291      Fossil Group, Inc.*     7,410  
5,012      G-III Apparel Group, Ltd.*     65,707  
22,193      Hanesbrands, Inc.     349,540  
3,853      Kontoor Brands, Inc.     93,243  
816      Lakeland Industries, Inc.*     16,157  
1,737      Oxford Industries, Inc.     70,105  
348      PVH Corp.     20,755  
1,515      Rocky Brands, Inc.     37,617  
2,940      Skechers U.S.A., Inc., Class A*     88,847  
8,248      Steven Madden, Ltd.     160,836  
418      Superior Group of Cos., Inc.     9,710  
1,599      Tapestry, Inc.     24,992  
2,457      Under Armour, Inc., Class A*     27,592  
14,317      Under Armour, Inc., Class C*     140,879  
957      Unifi, Inc.*     12,288  
1,916      Vera Bradley, Inc.*     11,707  
8,858      Wolverine World Wide, Inc.     228,891  
         2,463,770  

Thrifts & Mortgage Finance (2.0%):

 
6,216      Axos Financial, Inc.*     144,895  
2,838      BankFinancial Corp.     20,490  
2,024      Bridgewater Bancshares, Inc.*     19,208  
10,099      Capitol Federal Financial, Inc.     93,567  
280      Citizens Community Bancorp, Inc.     1,929  
6,764      Columbia Financial, Inc.*     75,080  
3,896      Dime Community Bancshares, Inc.     44,064  
1,537      ESSA Bancorp, Inc.     18,951  
4,198      Essent Group, Ltd.     155,368  
696      Federal Agricultural Mortgage Corp.     44,307  
242      First Capital, Inc.^     13,564  
6,050      Flagstar Bancorp, Inc.     179,262  
659      FS Bancorp, Inc.     27,019  
195      Guaranty Federal Bankshares, Inc.^     2,703  
301      Hingham Institution for Savings     55,384  
629      HMN Financial, Inc.*     8,341  
973      Home Bancorp, Inc.     23,498  
43      Home Federal Bancorp, Inc.     989  
1,829      HomeStreet, Inc.     47,115  
869      IF Bancorp, Inc.     13,443  
5,672      Kearny Financial Corp.     40,895  
390      Kentucky First Federal Bancorp     2,367  
955      LendingTree, Inc.*     293,081  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Thrifts & Mortgage Finance, continued

 
          1,892      Luther Burbank Corp.   $ 15,798  
940      Malvern Bancorp, Inc.*     11,092  
1,234      Merchants BanCorp     24,322  
3,912      Meridian Bancorp, Inc.     40,489  
3,591      Meta Financial Group, Inc.     69,019  
7,203      Mr Cooper Group, Inc.*     160,771  
13,183      New York Community Bancorp, Inc.     109,023  
4,642      NMI Holdings, Inc., Class A*     82,628  
4,278      Northfield Bancorp, Inc.     39,015  
9,597      Northwest Bancshares, Inc.     88,292  
4,063      Oceanfirst Financial Corp.     55,622  
198      Oconee Federal Financial Corp.     4,316  
1,129      Ocwen Financial Corp.*     23,844  
2,010      PCSB Financial Corp.     24,261  
4,213      PennyMac Financial Services, Inc.     244,861  
2,359      Premier Financial Corp.     36,741  
1,677      Provident Financial Holdings, Inc.     19,956  
3,721      Provident Financial Services, Inc.     45,396  
1,685      Prudential Bancorp, Inc.     17,760  
1,982      Riverview Bancorp, Inc.     8,225  
3,255      Security National Financial Corp., Class A*     20,832  
671      Severn Bancorp, Inc.     4,355  
707      Southern Missouri Bancorp, Inc.     16,671  
1,053      Sterling Bancorp, Inc.     3,170  
1,815      Territorial Bancorp, Inc.     36,717  
7,314      TrustCo Bank Corp NY     38,179  
5,637      Washington Federal, Inc.     117,588  
2,217      Waterstone Financial, Inc.     34,341  
3,622      Wawlker & Dunlop, Inc.     191,967  
3,601      Western New England BanCorp, Inc.     20,274  
3,988      WSFS Financial Corp.     107,556  
35      WVS Financial Corp.     466  
         3,039,067  

Tobacco (0.1%):

 
491      Turning Point Brands, Inc.     13,699  
975      Universal Corp.     40,833  
14,329      Vector Group, Ltd.     138,848  
         193,380  

Trading Companies & Distributors (1.7%):

 
4,708      Air Lease Corp.     138,509  
4,038      Applied Industrial Technologies, Inc.     222,494  
7,390      Beacon Roofing Supply, Inc.*     229,607  
5,882      BMC Stock Holdings, Inc.*     251,926  
1,906      CAI International, Inc.     52,472  
2,504      DXP Enterprises, Inc.*     40,390  
1,463      EVI Industries, Inc.*     38,930  
2,365      GATX Corp.     150,769  
573      GMS, Inc.*     13,809  
1,239      H&E Equipment Services, Inc.     24,359  
1,516      Herc Holdings, Inc.*     60,049  
2,033      Kaman Corp., Class A     79,226  
989      Lawson Products, Inc.*     40,579  
4,569      MRC Global, Inc.*     19,555  
1,136      MSC Industrial Direct Co., Inc., Class A     71,886  
7,964      NOW, Inc.*     36,157  
2,681      Rush Enterprises, Inc., Class A     135,498  
1,602      SiteOne Landscape Supply, Inc.*     195,364  
3,203      Systemax, Inc.     76,680  
5,114      Textainer Group Holdings, Ltd.*     72,414  
2,765      Titan Machinery, Inc.*     36,581  
577      Transcat, Inc.*     16,906  
5,731      Triton International, Ltd.     233,080  
5,651      Univar Solutions, Inc.*     95,389  
2,676      Veritiv Corp.*     33,878  

Contracts,

Shares,

Notional

Amount or

Principal

Amount

              Fair Value      

Common Stocks, continued

 

Trading Companies & Distributors, continued

 
4,418      WESCO International, Inc.*   $ 194,480  
         2,560,987  

Transportation Infrastructure (0.1%):

 
5,836      Macquarie Infrastructure Corp.     156,930  

Water Utilities (0.6%):

 
3,565      American States Water Co.     267,196  
1,221      Artesian Resources Corp.     42,088  
5,139      California Water Service Group     223,290  
2,756      Consolidated Water Co., Ltd.     28,690  
1,275      Middlesex Water Co.     79,241  
2,502      Pure Cycle Corp.*     22,543  
1,815      SJW Group     110,461  
1,259      York Water Co. (The)     53,218  
         826,727  

Wireless Telecommunication Services (0.4%):

 
4,604      Boingo Wireless, Inc.*     46,938  
5,608      Shenandoah Telecommunications Co.     249,191  
2,722      Spok Holdings, Inc.     25,886  
9,308      Telephone & Data Systems, Inc.     171,640  
2,672      United States Cellular Corp.*     78,904  
         572,559  

Total Common Stocks (Cost $143,696,986)

    148,464,559  

Preferred Stocks (0.1%):

 

Air Freight & Logistics (0.0%):

 
38      Air T Funding, 6/7/49     798  

Internet & Direct Marketing Retail (0.0%):

 
499      Qurate Retail, Inc., 8.00%, 3/15/31     49,152  

Media (0.0%):

 
430      GCI Liberty, Inc., Series A, 71.43%     12,040  

Trading Companies & Distributors (0.1%):

 
2,540      WESCO International, Inc., Series A, 10.63%     71,120  

Total Preferred Stocks (Cost $115,606)

    133,110  

Rights (0.0%):

 

Biotechnology (0.0%):

 
8,857      Achillion Pharm CVR, Expires on 1/29/21*     1,528  
4,400      Progenics Pharmaceuticals, Inc., Expires on 1/3/22*     188  
         1,716  

Diversified Financial Services (0.0%):

 
6,056      NewStar Financial, Inc. CVR, Expires on 12/31/49*     615  

Media (0.0%):

 
21,894      Media General, Inc. CVR, Expires on 12/31/49*     2,054  

Total Rights (Cost $10,055)

    4,385  
Short-Term Securities Held as Collateral for Securities on Loan (1.6%):  
2,406,082      BlackRock Liquidity FedFund, Institutional Class , 1.81%(b)(c)     2,406,082  

Total Short-Term Securities Held as Collateral for Securities on Loan (Cost $2,406,082)

    2,406,082  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,

Shares,

Notional

Amount or

Principal

Amount

              Fair Value      

Unaffiliated Investment Companies (0.3%):

 

Money Markets (0.3%):

 
  393,025      Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(c)   $ 393,025  

Total Unaffiliated Investment Companies (Cost $393,025)

    393,025  

Total Investment Securities

(Cost $146,621,754) - 101.6%

    151,401,161  

Net other assets (liabilities) - (1.6)%

    (2,453,762)  

Net Assets - 100.0%

    $148,947,399  
       

Percentages indicated are based on net assets as of September 30, 2020.

 

ADR        -    American Depository Receipt
CVR    -    Contingency Valued Rights

 

*

Non-income producing security.

^

This security or a partial position of this security was on loan as of September 30, 2020. The total value of securities on loan as of September 30, 2020 was $2,357,181.

Represents less than 0.05%.

(a)

Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of September 30, 2020. The total of all such securities represent 0.00% of the net assets of the fund.

(b)

Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before September 30, 2020.

(c)

The rate represents the effective yield at September 30, 2020.

 

 

Amounts shown as “—” are either $0 or rounds to less than $1.

    

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal

Amount

        Fair Value

Asset Backed Securities (3.2%):

  

$2,360,235

  American Homes 4 Rent LLC, Class A, Series 2014-SFR3, 3.68%, 12/17/36(a)    $     2,532,037    

1,640,000

  Benchmark Mortgage Trust, Class A4, Series 2018-B7, 4.51%, 11/15/51      2,005,261  

3,257,872

  Chesapeake Funding II LLC, Class A1, Series 2018-1A, 3.04%, 4/15/30(a)      3,307,261  

885,000

  Citibank Credit Card Issuance Trust, Class A7, Series 2018-A7, 3.96%, 10/15/30      1,067,992  

160,000

  Credit Acceptance Auto Loan Trust, Class A, Series 20-2A, 1.37%, 7/16/29(a)      161,904  

4,190,369

  Credit Acceptance Auto Loan Trust, Class A, Series 2018-3A, 3.55%, 8/15/27, Callable 10/15/21 @ 100(a)      4,251,063  

2,465,000

  Ford Credit Floorplan Master Owner Trust, Class A, Series 2019-2, 3.06%, 4/15/26      2,665,358  

3,399,000

  Ford Credit Floorplan Master Owner Trust, Class A, Series 2019-4, 2.44%, 9/15/26      3,610,692  

3,041,204

  LoanCore Issuer, Ltd., Class A, Series 2018-CRE1, 1.28%(US0001M+113bps), 5/15/28, Callable 10/15/20 @ 100(a)      3,026,022  

6,223,284

  Navient Private Education Refi Loan Trust, Class A, Series 20-FA, 1.22%, 7/15/69, Callable 11/15/27 @ 100(a)      6,230,213  

795,842

  Navient Student Loan Trust, Class A2A, Series 2016-AA, 3.91%, 12/15/45, Callable 12/15/30 @ 100(a)      831,154  

461,000

  Navient Student Loan Trust, Class A2, Series 2018-EA, 4.00%, 12/15/59, Callable 4/15/26 @ 100(a)      479,070  

1,000,000

  Navient Student Loan Trust, Class A2B, Series 2020-CA, 1.75%(US0001M+160bps), 11/15/68, Callable 4/15/30 @ 100(a)      1,018,193  

2,550,000

  Navient Student Loan Trust, Class A2B, Series 2019-D, 1.20%(US0001M+105bps), 12/15/59, Callable 4/15/30 @ 100(a)      2,556,355  

2,440,000

  Nissan Master Owner Trust Receivables, Class A, Series 2019-B, 0.58%(US0001M+43bps), 11/15/23      2,443,598  

3,510,000

  SMB Private Education Loan Trust, Class A1A, Series BA, 1.29%, 7/15/53, Callable 6/15/29 @ 100(a)      3,497,124  

182,960

  SMB Private Education Loan Trust, Class A2A, Series 2015-B, 2.98%, 7/15/27, Callable 11/15/27 @ 100(a)      185,059  

410,000

  SMB Private Education Loan Trust, Class A2B, Series 2020-A, 0.98%(US0001M+83bps), 9/15/37(a)      403,905  

3,222,339

  SMB Private Education Loan Trust, Class A2A, Series 2018-B,
3.60%, 1/15/37(a)
     3,383,295  

1,466,006

  SMB Private Education Loan Trust, Class A2A, Series 2017-A, 2.88%,
9/15/34(a)
     1,513,614  

1,081,125

  SMB Private Education Loan Trust, Class A2A, Series 2017-B, 2.82%,
10/15/35(a)
     1,116,478  

648,675

  SMB Private Education Loan Trust, Class A2B, Series 2017-B, 0.90%(US0001M+75bps), 10/15/35(a)      643,900  

187,123

  SMB Private Education Loan Trust, Class A2A, Series 2016-A,
2.70%, 5/15/31(a)(b)
     191,618  

Principal

Amount

        Fair Value

Asset Backed Securities, continued

  

$49,751

  SoFi Professional Loan Program, Class A2B, Series 2016-D, 2.34%, 4/25/33, Callable 3/25/25 @ 100(a)    $ 50,650  

914,480

  SoFi Professional Loan Program, Class A2, Series 2015-d, 2.72%, 10/27/36, Callable 1/25/23 @ 100(a)      931,192  

1,700,000

  SoFi Professional Loan Program, Class A2FX, Series 2020-A, 2.54%, 5/15/46, Callable 7/15/28 @ 100(a)      1,764,673  

1,170,000

  SoFi Professional Loan Program, Class A2FX, Series 2019-B, 3.09%, 8/17/48, Callable 10/15/27 @ 100(a)      1,217,046  

294,409

  SoFi Professional Loan Program, Class A2, Series 2015-C, 2.51%, 8/25/33, Callable 12/25/21 @ 100(a)      298,144  

1,524,062

  SoFi Professional Loan Program, Class AFX, Series 2020-C, 1.95%, 2/15/46, Callable 4/15/29 @ 100(a)      1,553,157  

4,778,098

  SoFi Professional Loan Program, Class A2FX, Series 2017-F, 2.84%, 1/25/41, Callable 3/25/26 @ 100(a)      4,913,486  

7,520,000

  Westlake Automobile Receivables Trust, Class A2, Series 2020-1A, 1.44%, 9/15/23, Callable 7/15/23 @ 100(a)      7,576,709  
    

 

 

 

Total Asset Backed Securities (Cost $63,564,098)

         65,426,223    
    

 

 

 

Collateralized Mortgage Obligations (4.8%):

  

1,735,000

  Arbor Multifamily Mortgage Securities Trust, Class A5, Series 2020-MF1, 2.76%,
5/15/53(a)
     1,898,184  

3,850,000

  Barclays Commercial Mortgage Trust, Class A, Series 2018-TALL, 0.87%(US0001M+72bps), 3/15/37(a)      3,686,645  

668,000

  Benchmark Mortgage Trust, Class C, Series 2019-B15, 3.84%, 12/15/72      665,214  

1,250,000

  Benchmark Mortgage Trust, Class B, Series 2019-B15, 3.56%, 12/15/72      1,371,788  

1,332,000

  BF Mortgage Trust, Class B, Series 2019-NYT, 1.55%(US0001M+140bps), 11/15/35(a)      1,303,588  

2,284,011

  BX Commercial Mortgage Trust, Class A, Series 2019-XL, 1.07%(US0001M+92bps), 10/15/36(a)      2,283,097  

4,121,228

  BX Commercial Mortgage Trust, Class A, Series 2020-BXLP, 0.95%(US0001M+80bps), 12/15/29(a)      4,116,076  

551,000

  BX Trust, Class D, Series 2019-OC11, 4.08%, 12/9/41(a)      530,574  

1,242,000

  BX Trust, Class A, Series 2019-OC11, 3.20%, 12/9/41(a)      1,310,397  

603,000

  Cantor Commercial Real Estate Lending, Class B, Series 2019-CF3,
3.50%, 1/15/53(b)
     638,438  

1,270,000

  Cantor Commercial Real Estate Lending, Class A4, Series 2019-CF2, 2.62%,
11/15/52
     1,367,180  

760,000

  CGRBS Commercial Mortgage Trust, Class A, Series 2013-VN05,
3.37%, 3/13/35(a)
     797,620  

939,935

  Chase Home Lending Mortgage Trust, Class A11, Series 2019-ATR2, 1.05%(US0001M+90bps), 7/25/49, Callable 2/25/23 @ 100(a)      936,797  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal

Amount

        Fair Value

Collateralized Mortgage Obligations, continued

  

$2,777,018

  CIM Trust, Class A11, Series 2019-INV3, 1.13%(US0001M+100bps), 8/25/49, Callable 2/25/25 @ 100(a)    $     2,776,909    

3,360,000

  Cityline Commercial Mortgage Trust, Class A, Series 2016-CLNE, 2.87%, 11/10/31(a)(b)      3,441,614  

3,075,000

  Commercial Mortgage Loan Trust, Class A4, Series 2015-CCRE26, 3.63%, 10/10/48, Callable 8/10/25 @ 100      3,426,842  

1,015,000

  Commercial Mortgage Loan Trust, Class D, Series 2013-WWP, 3.90%, 3/10/31, Callable 3/10/23 @ 100(a)      1,071,870  

667,000

  Commercial Mortgage Loan Trust, Class A5, Series 2015-CR24, 3.70%, 8/10/48      743,952  

1,279,058

  Commercial Mortgage Loan Trust, Class AM, Series 2013-CR7, 3.31%, 3/10/46, Callable 4/6/23 @ 100(a)      1,342,307  

3,870,000

  Cosmopolitan Hotel Trust, Class A, Series 2017-CSMO, 1.08%(US0001M+93bps), 11/15/36(a)      3,739,891  

2,306,000

  Credit Suisse Mortgage Capital Certificates, Class A, Series 20-NET, 2.26%, 8/15/37(a)      2,380,276  

210,000

  CSAIL Commercial Mortgage Trust, Class A5, Series 2018-CX11, 4.03%, 4/15/51(b)      244,171  

1,797,000

  CSAIL Commercial Mortgage Trust, Class A5, Series 2019-C17, 3.02%, 9/15/52      1,989,980  

1,982,465

  Flagstar Mortgage Trust, Class A11, Series 2019-1, 1.10%(US0001M+95bps), 10/25/49, Callable 1/25/26 @ 100(a)      1,986,457  

1,375,511

  FRESB Multifamily Mortgage Pass Through, Class A10H, Series 2019-SB60, 3.50%(US0001M+350bps), 1/25/39, Callable 12/1/28 @ 100      1,509,541  

2,315,000

  GS Mortgage Securities Trust, Class B, Series 2019-SOHO, 1.30%(US0001M+115bps), 6/15/36(a)      2,238,975  

1,525,000

  IMT Trust, Class BFX, Series 2017-APTS, 3.61%, 6/15/34(a)(b)      1,590,590  

1,182,906

  JP Morgan Mortgage Trust, Class A6, Series 2017-2, 3.00%, 5/25/47, Callable 11/25/23 @ 100(a)(b)      1,196,207  

1,575,230

  JP Morgan Mortgage Trust, Class A11, Series 2019-INV3, 1.18%(US0001M+100bps), 5/25/50, Callable 4/25/26 @ 100(a)      1,578,452  

802,620

  JP Morgan Mortgage Trust, Class A6, Series 2017-4, 3.00%, 11/25/48, Callable 10/25/22 @ 100(a)(b)      805,301  

2,132,413

  JP Morgan Mortgage Trust, Class A11, Series 2019-INV2, 1.05%(US0001M+90bps), 2/25/50, Callable 8/25/28 @ 100(a)      2,132,353  

835,274

  JP Morgan Mortgage Trust, Class A11, Series 2019-7, 1.05%(US0001M+90bps), 2/25/50, Callable 9/25/24 @ 100(a)      835,239  

2,279,855

  JP Morgan Mortgage Trust, Class A11, Series 2019-LTV3, 1.03%(US0001M+85bps), 2/25/50, Callable 12/25/25 @ 100(a)      2,275,029  

1,120,000

  JP Morgan Mortgage Trust, Class A5, Series 2019-LTV3, 3.50%, 2/25/50, Callable 12/25/25 @ 100(a)(b)      1,120,692  

Principal

Amount

        Fair Value

Collateralized Mortgage Obligations, continued

  

$1,268,132

  JP Morgan Mortgage Trust, Class A4, Series 2017-1, 3.50%, 1/25/47, Callable 2/25/23 @ 100(a)(b)    $     1,279,343    

1,672,281

  JP Morgan Mortgage Trust, Class A11, Series 2020-LTV1, 1.18%(US0001M+100bps), 6/25/50, Callable 9/25/24 @ 100(a)      1,672,218  

2,920,000

  JPMDB Commercial Mortgage Securities Trust, Class A5, Series 2017-C5, 3.69%, 3/15/50, Callable 1/15/27 @ 100      3,335,516  

4,719,085

  JPMorgan Chase Commercial Mortgage Securities Corp., Class A4FX, Series 2012-CBX, 3.48%, 6/15/45(a)      4,798,319  

2,904,000

  KNDL Mortgage Trust, Class A, Series 2019-KNSQ, 0.95%(US0001M+80bps), 5/15/36(a)      2,898,889  

1,300,000

  Morgan Stanley Bank of America Merrill Lynch Trust, Class A3, Series 2015-C24, 3.48%, 5/15/48      1,432,262  

4,960,000

  Morgan Stanley Capital I Trust, Class A, Series 2014-MP, 3.47%, 8/11/33, Callable 8/11/21 @ 100(a)      5,077,502  

1,540,000

  Morgan Stanley Capital I Trust, Class A4, Series 2016-BNK2, 3.05%, 11/15/49, Callable 10/15/26 @ 100      1,690,951  

1,563,000

  Morgan Stanley Capital I Trust, Class A, Series 2019-NUGS, 2.45%(US0001M+95bps), 12/15/36(a)      1,562,859  

3,602,999

  One Lincoln Street Commercial Mortgage, Class A1, Series 2004-C3, 5.72%,
10/15/30(a)(b)
     3,989,241  

2,570,424

  Seasoned Credit Risk Transfer Trust, Class MA, Series 2019-2, 3.50%, 8/25/58      2,729,998  

1,242,995

  Seasoned Credit Risk Transfer Trust, Class MA, Series 2018-2, 3.50%, 11/25/57, Callable 7/25/31 @ 100      1,316,722  

125,000

  SG Commercial Mortgage Securities Trust, Class A4, Series 2016-C5, 3.06%, 10/10/48      135,015  

171,684

  SMB Private Education Loan Trust, Class A2A, Series 2016-B, 2.43%,
2/17/32(a)(b)
     174,881  

388,839

  Tharaldson Hotel Portfolio Trust, Class A, Series 2018-THL, 0.91%(US0001M+75bps), 11/11/34(a)      372,799  

1,460,000

  VNO Mortgage Trust, Class A, Series 2013-PENN, 3.81%, 12/13/29, Callable 12/13/20 @ 100(a)      1,459,693  

1,250,000

  Wells Fargo Commercial Mortgage Trust, Class AS, Series 2015-NXS1, 3.41%, 5/15/48      1,342,338  

940,000

  Wells Fargo Commercial Mortgage Trust, Class A4, Series 2018-C46, 4.15%, 8/15/51      1,105,083  

775,000

  Wells Fargo Commercial Mortgage Trust, Class A4, Series 2015-C28, 3.54%, 5/15/48      854,817  

10,111,684

  Wells Fargo Commercial Mortgage Trust, Class XA, Series 2016-LC25, 1.12%, 12/15/59(b)      404,670  

1,635,000

  Wells Fargo Commercial Mortgage Trust, Class A4, Series 2015-NXS4, 3.72%, 12/15/48      1,833,490  
    

 

 

 

    Total Collateralized Mortgage Obligations
(Cost $97,300,665)

         98,798,852  
    

 

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal

Amount

        Fair Value

Corporate Bonds (28.2%):

  

Aerospace & Defense (1.3%):

  

$1,784,000

  BAE Systems Holdings, Inc., 3.80%, 10/7/24(a)    $ 1,975,673    

245,000

  BAE Systems Holdings, Inc., 3.85%, 12/15/25, Callable 9/15/25 @ 100(a)      276,520  

331,000

  Boeing Co. (The), 2.80%, 3/1/24, Callable 2/1/24 @ 100      338,241  

845,000

  Boeing Co. (The), 5.93%, 5/1/60, Callable 11/1/59 @ 100      1,044,919  

1,062,000

  General Dynamics Corp., 3.50%, 4/1/27, Callable 2/1/27 @ 100      1,217,979  

578,000

  General Dynamics Corp., 3.75%, 5/15/28, Callable 2/15/28 @ 100      677,354  

2,056,000

  Harris Corp., 4.40%, 6/15/28, Callable 3/15/28 @ 100      2,450,603  

1,517,000

  Huntington Ingalls Industries, Inc., 3.48%, 12/1/27, Callable 9/1/27 @ 100      1,660,508  

387,000

  Huntington Ingalls Industries, Inc., 4.20%, 5/1/30, Callable 2/1/30 @ 100(a)      444,120  

110,000

  L3Harris Technologies, Inc., 3.95%, 5/28/24, Callable 2/28/24 @ 100      121,236  

1,715,000

  L3Harris Technologies, Inc., 3.85%, 12/15/26, Callable 9/15/26 @ 100      1,972,831  

828,000

  Lockheed Martin Corp., 4.07%, 12/15/42      1,042,107  

259,000

  Lockheed Martin Corp., 4.70%, 5/15/46, Callable 11/15/45 @ 100      352,510  

801,000

  Lockheed Martin Corp., 2.80%, 6/15/50, Callable 12/15/49 @ 100      841,481  

4,369,000

  Northrop Grumman Corp., 2.93%, 1/15/25, Callable 11/15/24 @ 100      4,753,550  

330,000

  Northrop Grumman Corp., 4.03%, 10/15/47, Callable 4/15/47 @ 100      403,399  

280,000

  Raytheon Technologies Corp., 7.20%, 8/15/27(a)      379,366  

115,000

  Raytheon Technologies Corp., 7.00%, 11/1/28(a)      156,870  

1,382,000

  Raytheon Technologies Corp., 4.13%, 11/16/28, Callable 8/16/28 @ 100      1,634,457  

365,000

  Raytheon Technologies Corp., 2.25%, 7/1/30, Callable 4/1/30 @ 100      384,459  

415,000

  Raytheon Technologies Corp., 4.20%, 12/15/44, Callable 6/15/44 @ 100(a)      471,660  

488,000

  Raytheon Technologies Corp., 3.75%, 11/1/46, Callable 5/1/46 @ 100      558,096  

105,000

  Textron, Inc., 3.88%, 3/1/25, Callable 12/1/24 @ 100      116,353  

229,000

  Textron, Inc., 4.00%, 3/15/26, Callable 12/15/25 @ 100      252,422  

90,000

  Textron, Inc., 3.65%, 3/15/27, Callable 12/15/26 @ 100      97,972  

1,098,000

  Textron, Inc., 3.90%, 9/17/29, Callable 6/17/29 @ 100      1,232,849  

485,000

  United Technologies Corp., 7.50%, 9/15/29      708,365  

270,000

  United Technologies Corp., 4.15%, 5/15/45, Callable 11/16/44 @ 100      325,243  
    

 

 

 

           25,891,143    
    

 

 

 

Air Freight & Logistics (0.2%):

  

99,000

  FedEx Corp., 3.10%, 8/5/29, Callable 5/5/29 @ 100      109,784  

296,000

  FedEx Corp., 3.88%, 8/1/42      326,104  

184,000

  FedEx Corp., 4.55%, 4/1/46, Callable 10/1/45 @ 100      223,174  

695,000

  United Parcel Service, Inc., 0.38%, 11/15/23, Callable 8/15/23 @ 100      825,817  

994,000

  United Parcel Service, Inc., 3.40%, 3/15/29, Callable 12/15/28 @ 100      1,145,109  

Principal

Amount

        Fair Value

Corporate Bonds, continued

  

Air Freight & Logistics, continued

  

$1,492,000

  United Parcel Service, Inc., 4.45%, 4/1/30, Callable 1/1/30 @ 100    $ 1,867,087  
    

 

 

 

           4,497,075    
    

 

 

 

Airlines (0.6%):

  

1,635,000

  Alaska Airlines Pass Through Trust, 4.80%, 2/15/29(a)      1,708,575  

936,940

  American Airlines Pass Through Trust, Class B, Series 2015-2, 4.40%, 3/22/25      658,119  

376,171

  American Airlines Pass Through Trust, Class B, Series 2016-1, 5.25%, 7/15/25      257,139  

85,669

  American Airlines Pass Through Trust, Class B, Series 2017-1, 4.95%, 8/15/26      59,987  

10,128

  American Airlines Pass Through Trust, Class B, Series 2016-3, 3.75%, 4/15/27      6,980  

199,447

  American Airlines Pass Through Trust, Class B, Series 2017-2, 3.70%, 4/15/27      129,690  

521,687

  American Airlines Pass Through Trust, Class AA, Series 2015-2, 3.60%, 3/22/29      497,699  

747,244

  American Airlines Pass Through Trust, Class B, Series 2019-1, 3.85%, 8/15/29      493,181  

225,472

  American Airlines Pass Through Trust, Class AA, Series 2016-2, 3.20%, 12/15/29      211,706  

451,355

  American Airlines Pass Through Trust, Class AA, Series 2016-3, 3.00%, 4/15/30      426,893  

179,839

  American Airlines Pass Through Trust, Class AA, Series 2017-1, 3.65%, 8/15/30      171,765  

709,445

  American Airlines Pass Through Trust, Series 2019-1, 3.15%, 8/15/33      663,347  

1,892,673

  British Airways Pass Through Trust, Class A, Series 2019-1, 3.35%, 12/15/30(a)      1,573,061  

1,069,072

  British Airways Pass Through Trust, Class AA, Series 2019-1, 3.30%, 6/15/34(a)      984,982  

550,000

  Delta Air Lines Pass Through Trust, 2.00%, 12/10/29      528,229  

505,000

  Delta Airlines Pass Through Trust, Class AA, Series 2019-1, 3.20%, 10/25/25      500,074  

1,495,000

  JetBlue Pass Through Trust, Class A, Series 2020-1, 4.00%, 11/15/32      1,537,174  

122,000

  Southwest Airlines Co., 2.75%, 11/16/22, Callable 10/16/22 @ 100^      125,954  

10,900

  United Airlines Pass Through Trust, Class B, Series 2014-1, 4.75%, 10/11/23      9,993  

54,065

  United Airlines Pass Through Trust, Class B, Series 2014-2, 4.63%, 3/3/24      50,016  

7,859

  United Airlines Pass Through Trust, Class B, Series 2016-2, 3.65%, 4/7/27      5,933  

55,012

  United Airlines Pass Through Trust, Class B, Series 2016-1, 3.65%, 7/7/27      41,803  

304,686

  United Airlines Pass Through Trust, Class B, Series 2018-1, 4.60%, 9/1/27      241,310  

12,099

  United Airlines Pass Through Trust, Class AA, Series 2015-1, 3.45%, 6/1/29      11,735  

462,000

  United Airlines Pass Through Trust, Class B, Series 2019-2, 3.50%, 11/1/29      341,880  

48,819

  United Airlines Pass Through Trust, Class AA, Series 2016-2, 3.10%, 1/7/30      47,170  

195,265

  United Airlines Pass Through Trust, Class AA, Series 2019-2, 2.88%, 4/7/30      184,633  

227,061

  United Airlines Pass Through Trust, Class AA, Series 2018-1, 3.50%, 9/1/31      212,256  

363,597

  United Airlines Pass Through Trust, Class AA, Series 2016-1, 4.15%, 2/25/33      362,233  

505,000

  United Airlines Pass Through Trust, Class AA, Series 2019-2, 2.70%, 11/1/33      472,276  
    

 

 

 

       12,515,793  
    

 

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal

Amount

        Fair Value

Corporate Bonds, continued

  

Automobiles (0.1%):

  

$565,000

  Daimler Finance North America LLC, 3.40%, 2/22/22(a)    $ 584,686  

1,032,000

  Daimler Finance North America LLC, 2.13%, 3/10/25(a)      1,071,152  

520,000

  Volkswagen Group of America Finance LLC, 2.50%, 9/24/21(a)      529,643  
    

 

 

 

            2,185,481    
    

 

 

 

Banks (4.4%):

  

2,337,000

  Bank of America Corp., 3.00%(US0003M+79bps), 12/20/23, Callable 12/20/22 @ 100      2,444,747  

4,058,000

  Bank of America Corp., 3.55%(US0003M+78bps), 3/5/24, Callable 3/5/23 @ 100      4,311,694  

225,000

  Bank of America Corp., 3.86%(US0003M+94bps), 7/23/24, Callable 7/23/23 @ 100      243,001  

1,223,000

  Bank of America Corp., 4.20%, 8/26/24, MTN      1,357,641  

317,000

  Bank of America Corp., Series L, 3.95%, 4/21/25      350,562  

71,000

  Bank of America Corp., 3.09%(US0003M+109bps), 10/1/25, Callable 10/1/24 @ 100      76,603  

270,000

  Bank of America Corp., 2.46%(US0003M+87bps), 10/22/25, Callable 10/22/24 @ 100, MTN      284,569  

1,447,000

  Bank of America Corp., Series G, 4.45%, 3/3/26      1,665,891  

1,228,000

  Bank of America Corp., 3.56%(US0003M+106bps), 4/23/27, Callable 4/23/26 @ 100, MTN      1,371,958  

3,211,000

  Bank of America Corp., 3.82%(US0003M+158bps), 1/20/28, Callable 1/20/27 @ 100, MTN      3,636,779  

2,237,000

  Bank of America Corp., Series G, 3.59%(US0003M+137bps), 7/21/28, Callable 7/21/27 @ 100      2,506,923  

2,579,000

  Bank of America Corp., 4.27%(US0003M+131bps), 7/23/29, Callable 7/23/28 @ 100      3,024,484  

318,000

  Bank of America Corp., 3.19%(US0003M+118bps), 7/23/30, Callable 7/23/29 @ 100, MTN      351,052  

3,447,000

  Bank of America Corp., 2.88%(US0003M+119bps), 10/22/30, Callable 10/22/29 @ 100, MTN      3,708,741  

926,000

  Bank of America Corp., 2.50%(US0003M+99bps), 2/13/31, Callable 2/13/30 @ 100, MTN      966,732  

881,000

  Bank of America Corp., 2.59%(SOFR+215bps), 4/29/31, Callable 4/29/30 @ 100      931,806  

1,092,000

  Bank of America Corp., 4.08%(US0003M+132bps), 4/23/40, Callable 4/23/39 @ 100, MTN      1,302,543  

590,000

  Bank of America Corp., 2.68%(SOFR+193bps), 6/19/41, Callable 6/19/40 @ 100, MTN      600,543  

505,000

  Bank of America Corp., 5.87%(US0003M+293bps), 12/31/99, Callable 3/15/28 @ 100      544,769  

1,401,000

  Citigroup, Inc., 3.14%(US0003M+1bps), 1/24/23, Callable 1/24/22 @ 100      1,445,678  

Principal

Amount

        Fair Value

Corporate Bonds, continued

  

Banks, continued

  

$120,000

  Citigroup, Inc., 2.88%(US0003M+95bps), 7/24/23, Callable 7/24/22 @ 100    $ 124,660  

330,000

  Citigroup, Inc., 1.68%(SOFR+2bps), 5/15/24, Callable 5/15/23 @ 100      337,780  

1,449,000

  Citigroup, Inc., 4.40%, 6/10/25           1,629,369  

50,000

  Citigroup, Inc., 4.60%, 3/9/26      57,129  

3,136,000

  Citigroup, Inc., 3.67%(US0003M+139bps), 7/24/28, Callable 7/24/27 @ 100      3,513,389  

5,442,000

  Citigroup, Inc., 2.98%(SOFR+142bps), 11/5/30, Callable 11/5/29 @ 100      5,868,126  

505,000

  JPMorgan Chase & Co., 2.63%, 4/23/21, MTN(a)      601,812  

694,000

  JPMorgan Chase & Co., 3.56%(US0003M+73bps), 4/23/24, Callable 4/23/23 @ 100      741,598  

8,561,000

  JPMorgan Chase & Co., 3.80%(US0003M+89bps), 7/23/24, Callable 7/23/23 @ 100      9,255,914  

5,623,000

  JPMorgan Chase & Co., 4.02%(US0003M+100bps), 12/5/24, Callable 12/5/23 @ 100      6,158,018  

595,000

  JPMorgan Chase & Co., 2.00%(SOFR+159bps), 3/13/26, Callable 3/13/25 @ 100      616,686  

1,246,000

  JPMorgan Chase & Co., 3.30%, 4/1/26, Callable 1/1/26 @ 100      1,382,611  

4,341,000

  JPMorgan Chase & Co., 2.08%(SOFR+185bps), 4/22/26, Callable 4/22/25 @ 100      4,535,355  

406,000

  JPMorgan Chase & Co., 3.20%, 6/15/26, Callable 3/15/26 @ 100      449,243  

8,000

  JPMorgan Chase & Co., 4.25%, 10/1/27      9,308    

4,693,000

  JPMorgan Chase & Co., 3.78%(US0003M+134bps), 2/1/28, Callable 2/1/27 @ 100      5,295,562  

1,550,000

  JPMorgan Chase & Co., 2.18%(SOFR+189bps), 6/1/28, Callable 6/1/27 @ 100      1,617,248  

1,401,000

  JPMorgan Chase & Co., 4.00%(US0003M+112bps), 4/23/29, Callable 4/23/28 @ 100      1,623,667  

367,000

  JPMorgan Chase & Co., 4.45%(US0003M+133bps), 12/5/29, Callable 12/5/28 @ 100      441,438  

279,000

  JPMorgan Chase & Co., 4.26%(US0003M+158bps), 2/22/48, Callable 2/22/47 @ 100      350,009  

189,000

  JPMorgan Chase & Co., 4.03%(US0003M+146bps), 7/24/48, Callable 7/24/47 @ 100      227,888  

185,000

  JPMorgan Chase & Co., 3.96%(US0003M+138bps), 11/15/48, Callable 11/15/47 @ 100      224,662  

511,000

  JPMorgan Chase & Co., 3.11%(SOFR+244bps), 4/22/51, Callable 4/22/50 @ 100      544,091  

6,000

  SunTrust Bank, 3.53%(US0003M+50bps), 10/26/21, Callable 10/26/20 @ 100      6,000  

356,000

  Synovus Financial Corp., 3.13%, 11/1/22, Callable 10/1/22 @ 100      368,344  

300,000

  Truist Bank, 3.50%(US0003M+59bps), 8/2/22, Callable 8/2/21 @ 100      307,113  

900,000

  Wells Fargo & Co., 1.13%, 10/29/21, MTN(a)      1,070,004  

2,225,000

  Wells Fargo & Co., 3.75%, 1/24/24, Callable 12/24/23 @ 100, MTN      2,413,758  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal

Amount

        Fair Value

Corporate Bonds, continued

  

Banks, continued

  

$361,000

  Wells Fargo & Co., 3.00%, 2/19/25    $ 389,393  

290,000

  Wells Fargo & Co., 1.34%(EUR003M+167bps), 5/4/25, Callable 5/4/24 @ 100, MTN(a)      349,002  

3,777,000

  Wells Fargo & Co., 2.41%(US0003M+83bps), 10/30/25, Callable 10/30/24 @ 100, MTN      3,947,671  

2,194,000

  Wells Fargo & Co., 3.00%, 4/22/26      2,386,644  

1,476,000

  Wells Fargo & Co., 3.58%(US0003M+131bps), 5/22/28, Callable 5/22/27 @ 100, MTN      1,645,743  

624,000

  Wells Fargo & Co., 2.88%(US0003M+117bps), 10/30/30, Callable 10/30/29 @ 100, MTN      665,774  

313,000

  Wells Fargo & Co., 2.57%(US0003M+100bps), 2/11/31, Callable 2/11/30 @ 100, MTN      327,032  

556,000

  Wells Fargo & Co., 3.07%(SOFR+253bps), 4/30/41, Callable 4/30/40 @ 100      576,240  
    

 

 

 

            91,184,997    
    

 

 

 

Beverages (0.8%):

  

5,440,000

  Anheuser-Busch Cos LLC/Anheuser-Busch InBev Worldwide, Inc., 4.70%, 2/1/36, Callable 8/1/35 @ 100      6,537,922  

2,725,000

  Anheuser-Busch InBev Worldwide, Inc., 4.75%, 1/23/29, Callable 10/23/28 @ 100      3,317,268  

240,000

  Anheuser-Busch InBev Worldwide, Inc., 3.50%, 6/1/30, Callable 3/1/30 @ 100      274,237  

423,000

  Anheuser-Busch InBev Worldwide, Inc., 4.90%, 1/23/31, Callable 10/23/30 @ 100      530,512  

1,235,000

  Coca-Cola Co. (The), 0.75%, 3/9/23, Callable 12/9/22 @ 100      1,475,045  

2,067,000

  Coca-Cola Co. (The), 3.38%, 3/25/27      2,368,712  

644,000

  Coca-Cola Co. (The), 2.13%, 9/6/29      687,526  

85,000

  Coca-Cola Co. (The), 2.75%, 6/1/60      86,301  

390,000

  Keurig Dr Pepper, Inc., 3.20%, 5/1/30, Callable 2/1/30 @ 100      435,518  
    

 

 

 

       15,713,041  
    

 

 

 

Biotechnology (0.6%):

  

140,000

  Abbvie, Inc., 1.25%, 6/1/24, Callable 3/1/24 @ 100(a)      170,085  

1,346,000

  AbbVie, Inc., 3.45%, 3/15/22, Callable 1/15/22 @ 100(a)      1,397,513  

160,000

  AbbVie, Inc., 1.38%, 5/17/24, Callable 2/17/24 @ 100      195,000  

137,000

  AbbVie, Inc., 3.80%, 3/15/25, Callable 12/15/24 @ 100(a)      152,647  

430,000

  AbbVie, Inc., 3.60%, 5/14/25, Callable 2/14/25 @ 100      475,538  

997,000

  AbbVie, Inc., 3.20%, 5/14/26, Callable 2/14/26 @ 100      1,096,188  

1,240,000

  AbbVie, Inc., 4.55%, 3/15/35, Callable 9/15/34 @ 100(a)      1,520,215  

1,318,000

  AbbVie, Inc., 4.50%, 5/14/35, Callable 11/14/34 @ 100      1,596,547  

472,000

  AbbVie, Inc., 4.30%, 5/14/36, Callable 11/14/35 @ 100      555,409  

851,000

  Amgen, Inc., 2.45%, 2/21/30, Callable 11/21/29 @ 100      901,389  

377,000

  Amgen, Inc., 3.15%, 2/21/40, Callable 8/21/39 @ 100      396,305  

120,000

  Amgen, Inc., 5.15%, 11/15/41, Callable 5/15/41 @ 100      159,045  

705,000

  Amgen, Inc., 4.40%, 5/1/45, Callable 11/1/44 @ 100      869,562  

Principal

Amount

        Fair Value

Corporate Bonds, continued

  

Biotechnology, continued

  

$1,058,000

  Biogen, Inc., 2.25%, 5/1/30, Callable 2/1/30 @ 100    $ 1,081,974  

176,000

  Gilead Sciences, Inc., 1.20%, 10/1/27, Callable 8/1/27 @ 100      176,875  

743,000

  Gilead Sciences, Inc., 4.80%, 4/1/44, Callable 10/1/43 @ 100      957,044  
    

 

 

 

            11,701,336    
    

 

 

 

Building Products (0.2%):

  

2,991,000

  Carrier Global Corp., 2.24%, 2/15/25, Callable 1/15/25 @ 100(a)      3,117,899  
    

 

 

 

Capital Markets (2.1%):

  

50,000

  Ares Capital Corp., 4.20%, 6/10/24, Callable 5/10/24 @ 100      51,938  

2,221,000

  Ares Capital Corp., 4.25%, 3/1/25, Callable 1/1/25 @ 100      2,295,352  

104,000

  Bank of New York Mellon Corp. (The), 2.10%, 10/24/24, MTN^      109,969  

700,000

  Bank of New York Mellon Corp. (The), 3.44%(US0003M+107bps), 2/7/28, Callable 2/7/27 @ 100, MTN      803,057  

370,000

  Bank of New York Mellon Corp. (The), 4.62%(US0003M+313bps), 12/29/49, Callable 9/20/26 @ 100      376,938  

537,000

  Charles Schwab Corp. (The), 3.25%, 5/22/29, Callable 2/22/29 @ 100      616,779  

1,435,000

  Charles Schwab Corp. (The), Series E, 4.62%(US0003M+332bps), 12/29/49, Callable 3/1/22 @ 100      1,427,825  

60,000

  E*TRADE Financial Corp., 3.80%, 8/24/27, Callable 5/24/27 @ 100      67,433  

210,000

  Goldman Sachs Group, Inc. (The), 5.75%, 1/24/22      224,085  

5,126,000

  Goldman Sachs Group, Inc. (The), 2.88%(US0003M+82bps), 10/31/22, Callable 10/31/21 @ 100      5,247,722  

1,460,000

  Goldman Sachs Group, Inc. (The), 0.11%(EUR003M+55bps), 4/21/23, Callable 4/21/22 @ 100, MTN(a)      1,712,542  

55,000

  Goldman Sachs Group, Inc. (The), 3.63%, 2/20/24, Callable 1/20/24 @ 100      59,588  

337,000

  Goldman Sachs Group, Inc. (The), 3.50%, 1/23/25, Callable 10/23/24 @ 100      369,011  

3,745,000

  Goldman Sachs Group, Inc. (The), 3.50%, 4/1/25, Callable 3/1/25 @ 100      4,129,626  

1,358,000

  Goldman Sachs Group, Inc. (The), 3.75%, 5/22/25, Callable 2/22/25 @ 100      1,509,994  

2,082,000

  Goldman Sachs Group, Inc. (The), 3.75%, 2/25/26, Callable 11/25/25 @ 100      2,342,587  

425,000

  Goldman Sachs Group, Inc. (The), 1.45%(US0003M+117bps), 5/15/26, Callable 5/15/25 @ 100      428,679  

264,000

  Goldman Sachs Group, Inc. (The), 3.50%, 11/16/26, Callable 11/16/25 @ 100      291,682  

173,000

  Goldman Sachs Group, Inc. (The), 3.85%, 1/26/27, Callable 1/26/26 @ 100      194,205  

108,000

  Intercontinental Exchange, Inc., 3.75%, 9/21/28, Callable 6/21/28 @ 100      124,981  

1,227,000

  Intercontinental Exchange, Inc., 2.10%, 6/15/30, Callable 3/15/30 @ 100      1,260,129  

301,000

  Intercontinental Exchange, Inc., 1.85%, 9/15/32, Callable 6/15/32 @ 100      299,572  

305,000

  Moody’s Corp., 4.25%, 2/1/29, Callable 11/1/28 @ 100      365,064  

1,889,000

  Morgan Stanley, 3.63%, 1/20/27      2,137,043  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal

Amount

        Fair Value

Corporate Bonds, continued

  

Capital Markets, continued

  

$2,760,000

  Morgan Stanley, 3.77%(US0003M+114bps), 1/24/29, Callable 1/24/28 @ 100    $ 3,145,459  

5,054,000

  Morgan Stanley, Series G, 4.43%(US0003M+163bps), 1/23/30, Callable 1/23/29 @ 100, MTN      6,033,201  

3,251,000

  Morgan Stanley, 2.70%(SOFR+114bps), 1/22/31, Callable 1/22/30 @ 100, MTN      3,462,728  

370,000

  Northern Trust Corp., 1.95%, 5/1/30, Callable 2/1/30 @ 100      382,928  

879,000

  State Street Corp., 3.30%, 12/16/24      969,181  

224,000

  State Street Corp., 2.35%(SOFR+1bps), 11/1/25, Callable 11/1/24 @ 100      236,603  

196,000

  State Street Corp., 2.90%(SOFR+260bps), 3/30/26, Callable 3/30/25 @ 100(a)      213,174  

666,000

  State Street Corp., Series F, 3.85%(US0003M+360bps), 12/31/49, Callable 12/15/20 @ 100      652,680  

1,415,000

  State Street Corp., Series H, 5.62%(US0003M+254bps), 12/31/99, Callable 12/15/23 @ 100      1,441,531  
    

 

 

 

            42,983,286    
    

 

 

 

Chemicals (0.3%):

  

570,000

  Air Products and Chemicals, Inc., 2.80%, 5/15/50, Callable 11/15/49 @ 100      600,938  

2,212,000

  DowDuPont, Inc., 4.49%, 11/15/25, Callable 9/15/25 @ 100      2,550,431  

265,000

  Eastman Chemical Co., 3.50%, 12/1/21      273,812  

330,000

  Eastman Chemical Co., 3.80%, 3/15/25, Callable 12/15/24 @ 100      363,848  

207,000

  LYB International Finance BV, 4.88%, 3/15/44, Callable 9/15/43 @ 100      245,565  

596,000

  RPM International, Inc., 3.75%, 3/15/27, Callable 12/15/26 @ 100      649,963  

440,000

  Sherwin-Williams Co. (The), 4.20%, 1/15/22, Callable 10/15/21 @ 100      456,850  

328,000

  Sherwin-Williams Co. (The), 4.00%, 12/15/42, Callable 6/15/42 @ 100      363,757  
    

 

 

 

       5,505,164  
    

 

 

 

Commercial Services & Supplies (0.2%):

  

205,000

  Republic Services, Inc., 2.90%, 7/1/26, Callable 4/1/26 @ 100      226,546  

909,000

  Republic Services, Inc., 3.38%, 11/15/27, Callable 8/15/27 @ 100      1,033,415  

1,004,000

  Republic Services, Inc., 3.95%, 5/15/28, Callable 2/15/28 @ 100      1,182,000  

333,000

  Republic Services, Inc., 1.45%, 2/15/31, Callable 11/15/30 @ 100      327,306  

546,000

  Waste Management, Inc., 4.15%, 7/15/49, Callable 1/15/49 @ 100      691,658  
    

 

 

 

       3,460,925  
    

 

 

 

Communications Equipment (0.2%):

  

640,000

  Juniper Networks, Inc., 4.50%, 3/15/24      714,721  

1,210,000

  Motorola Solutions, Inc., 4.60%, 5/23/29, Callable 2/23/29 @ 100      1,426,335  

790,000

  Motorola Solutions, Inc., 5.50%, 9/1/44      918,267  
    

 

 

 

       3,059,323  
    

 

 

 

Consumer Finance (0.7%):

  

740,000

  American Honda Finance Corp., 1.38%, 11/10/22      892,768  

110,000

  American Honda Finance Corp., 0.55%, 3/17/23      130,647  

412,000

  Capital One Financial Corp., 3.65%, 5/11/27, Callable 4/11/27 @ 100      454,750  

Principal

Amount

        Fair Value

Corporate Bonds, continued

  

Consumer Finance, continued

  

$250,000

  Discover Bank, 3.20%, 8/9/21, Callable 7/9/21 @ 100    $ 255,315  

2,010,000

  General Motors Financial Co., Inc., 2.45%, 11/6/20      2,008,372  

473,000

  General Motors Financial Co., Inc., 4.38%, 9/25/21      487,962  

360,000

  General Motors Financial Co., Inc., 3.45%, 1/14/22, Callable 12/14/21 @ 100      370,031  

460,000

  General Motors Financial Co., Inc., 5.20%, 3/20/23      498,159  

1,994,000

  General Motors Financial Co., Inc., 4.15%, 6/19/23, Callable 5/19/23 @ 100      2,116,936  

2,106,000

  General Motors Financial Co., Inc., 5.10%, 1/17/24, Callable 12/17/23 @ 100      2,304,397  

384,000

  General Motors Financial Co., Inc., 4.00%, 10/6/26, Callable 7/6/26 @ 100      413,012  

1,420,000

  Hyundai Capital America, 3.95%, 2/1/22(a)      1,472,492  

2,065,000

  Hyundai Capital America, 2.38%, 2/10/23(a)      2,120,206  

717,000

  Toyota Motor Credit Corp., 3.00%, 4/1/25, MTN      785,371  
    

 

 

 

            14,310,418    
    

 

 

 

Containers & Packaging (0.0%):

  

397,000

  International Paper Co., 4.40%, 8/15/47, Callable 2/15/47 @ 100      480,297  
    

 

 

 

Diversified Consumer Services (0.1%):

  

145,000

  California Institute of Technology, 4.32%, 8/1/45      188,716  

360,000

  Massachusetts Institute of Technology, 4.68%, 7/1/14      531,135  

114,000

  Pres & Fellows of Harvar, 3.15%, 7/15/46, Callable 1/15/46 @ 100      132,215  

575,000

  Pres & Fellows of Harvar, 3.30%, 7/15/56, Callable 1/15/56 @ 100      698,495  
    

 

 

 

       1,550,561  
    

 

 

 

Diversified Financial Services (0.1%):

  

656,000

  AXA Equitable Holdings, Inc., 3.90%, 4/20/23, Callable 3/20/23 @ 100      706,013  

1,307,000

  BP Capital Markets America, Inc., 3.41%, 2/11/26, Callable 12/11/25 @ 100      1,455,702  

409,000

  USAA Capital Corp., 2.13%, 5/1/30, Callable 2/1/30 @ 100(a)      430,646  
    

 

 

 

       2,592,361  
    

 

 

 

Diversified Telecommunication Services (1.3%):

  

2,000,000

  AT&T, Inc., 0.67%, 11/27/22(a)(c)      1,971,010  

315,000

  AT&T, Inc., 4.25%, 3/1/27, Callable 12/1/26 @ 100      364,681  

2,247,000

  AT&T, Inc., 2.25%, 2/1/32, Callable 11/1/31 @ 100      2,245,369  

163,000

  AT&T, Inc., 4.50%, 5/15/35, Callable 11/15/34 @ 100      191,866  

190,000

  AT&T, Inc., 3.15%, 9/4/36, Callable 6/4/36 @ 100      263,773  

900,000

  AT&T, Inc., 2.60%, 5/19/38, Callable 11/19/37 @ 100      1,176,957  

268,000

  AT&T, Inc., 4.90%, 6/15/42      320,062  

376,000

  AT&T, Inc., 4.80%, 6/15/44, Callable 12/15/43 @ 100      448,056  

75,000

  AT&T, Inc., 4.35%, 6/15/45, Callable 12/15/44 @ 100      83,860  

1,657,000

  AT&T, Inc., 3.50%, 9/15/53, Callable 3/15/53 @ 100(a)      1,602,795  

2,880,000

  AT&T, Inc., 3.55%, 9/15/55, Callable 3/15/55 @ 100(a)      2,762,663  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal

Amount

        Fair Value

Corporate Bonds, continued

  

Diversified Telecommunication Services, continued

  

$4,183,000

  Verizon Communications, Inc., 4.13%, 3/16/27    $ 4,945,811  

990,000

  Verizon Communications, Inc., 3.00%, 3/22/27, Callable 1/22/27 @ 100      1,102,777  

1,968,000

  Verizon Communications, Inc., 4.33%, 9/21/28      2,388,442  

196,000

  Verizon Communications, Inc., 4.02%, 12/3/29, Callable 9/3/29 @ 100      234,301  

883,000

  Verizon Communications, Inc., 1.50%, 9/18/30, Callable 6/18/30 @ 100      877,526  

667,000

  Verizon Communications, Inc., 4.50%, 8/10/33      840,572  

2,856,000

  Verizon Communications, Inc., 4.27%, 1/15/36      3,499,184  

600,000

  Verizon Communications, Inc., 2.88%, 1/15/38      869,544  

470,000

  Verizon Communications, Inc., 1.85%, 5/18/40, Callable 11/18/39 @ 100      590,026  

159,000

  Verizon Communications, Inc., 4.52%, 9/15/48      207,893  
    

 

 

 

            26,987,168    
    

 

 

 

Electric Utilities (2.3%):

  

430,000

  AEP Texas, Inc., 2.40%, 10/1/22, Callable 9/1/22 @ 100      443,995  

108,000

  AEP Texas, Inc., Series G, 4.15%, 5/1/49, Callable 11/1/48 @ 100      129,810  

527,000

  AEP Texas, Inc., Series H, 3.45%, 1/15/50, Callable 7/15/49 @ 100      570,988  

640,000

  AEP Transmission Co. LLC, 3.75%, 12/1/47, Callable 6/1/47 @ 100      756,097  

281,000

  AEP Transmission Co. LLC, 4.25%, 9/15/48, Callable 3/15/48 @ 100      356,614  

20,000

  AEP Transmission Co. LLC, 3.80%, 6/15/49, Callable 12/15/48 @ 100      24,128  

585,000

  AEP Transmission Co. LLC, 3.15%, 9/15/49, Callable 3/15/49 @ 100      630,205  

21,000

  Alabama Power Co., 6.00%, 3/1/39      30,652  

222,000

  Alabama Power Co., 3.75%, 3/1/45, Callable 9/1/44 @ 100      261,487  

650,000

  Alabama Power Co., 3.70%, 12/1/47, Callable 6/1/47 @ 100      764,962  

35,000

  Baltimore Gas & Electric Co., 2.40%, 8/15/26, Callable 5/15/26 @ 100      37,540  

205,000

  Baltimore Gas & Electric Co., 3.50%, 8/15/46, Callable 2/15/46 @ 100      233,654  

900,000

  Baltimore Gas & Electric Co., 3.75%, 8/15/47, Callable 2/15/47 @ 100      1,071,685  

90,000

  Baltimore Gas & Electric Co., 4.25%, 9/15/48, Callable 3/15/48 @ 100      114,845  

95,000

  Baltimore Gas & Electric Co., 3.20%, 9/15/49, Callable 3/15/49 @ 100      103,483  

85,000

  Commonwealth Edison Co., 4.60%, 8/15/43, Callable 2/15/43 @ 100      110,885  

287,000

  Commonwealth Edison Co., 3.65%, 6/15/46, Callable 12/15/45 @ 100      339,535  

816,000

  Dayton Power & Light Co. (The), 3.95%, 6/15/49, Callable 12/15/48 @ 100      882,688  

145,000

  DTE Electric Co., 3.75%, 8/15/47, Callable 2/15/47 @ 100      172,957  

119,000

  DTE Electric Co., Series A, 4.05%, 5/15/48, Callable 11/15/47 @ 100      148,803  

869,000

  DTE Electric Co., 3.95%, 3/1/49, Callable 9/1/48 @ 100      1,096,113  

118,000

  Duke Energy Carolinas LLC, 3.75%, 6/1/45, Callable 12/1/44 @ 100      141,125  

Principal

Amount

        Fair Value

Corporate Bonds, continued

  

Electric Utilities, continued

  

$976,000

  Duke Energy Carolinas LLC, 3.88%, 3/15/46, Callable 9/15/45 @ 100    $      1,191,825    

30,000

  Duke Energy Carolinas LLC, 3.95%, 3/15/48, Callable 9/15/47 @ 100      37,332  

1,819,000

  Duke Energy Florida LLC, 2.50%, 12/1/29, Callable 9/1/29 @ 100      1,973,416  

1,561,000

  Duke Energy Florida LLC, 1.75%, 6/15/30, Callable 3/15/30 @ 100      1,587,958  

646,000

  Duke Energy Florida LLC, 3.40%, 10/1/46, Callable 4/1/46 @ 100      728,536  

256,000

  Duke Energy Florida LLC, 4.20%, 7/15/48, Callable 1/15/48 @ 100      324,102  

555,000

  Duke Energy Ohio, Inc., 3.65%, 2/1/29, Callable 11/1/28 @ 100      651,717  

495,000

  Duke Energy Ohio, Inc., 3.70%, 6/15/46, Callable 12/15/45 @ 100      578,708  

95,000

  Duke Energy Progress LLC, 3.45%, 3/15/29, Callable 12/15/28 @ 100      109,810  

606,000

  Duke Energy Progress LLC, 4.20%, 8/15/45, Callable 2/15/45 @ 100      759,000  

170,000

  Duke Energy Progress LLC, 3.70%, 10/15/46, Callable 4/15/46 @ 100      201,537  

220,000

  Duke Energy Progress, Inc., 5.70%, 4/1/35      297,875  

255,000

  Duke Energy Progress, Inc., 4.10%, 5/15/42, Callable 11/15/41 @ 100      310,259  

635,000

  Duke Energy Progress, Inc., 4.10%, 3/15/43, Callable 9/15/42 @ 100      781,282  

1,011,000

  Edison International, 2.40%, 9/15/22, Callable 8/15/22 @ 100      1,025,027  

8,000

  Edison International, 3.13%, 11/15/22, Callable 10/15/22 @ 100      8,240  

161,000

  Edison International, 3.55%, 11/15/24, Callable 10/15/24 @ 100      169,653  

60,000

  Entergy Arkansas LLC, 3.70%, 6/1/24, Callable 3/1/24 @ 100      65,830  

137,000

  Entergy Louisiana LLC, 5.40%, 11/1/24      161,849  

1,206,000

  Entergy Louisiana LLC, 4.00%, 3/15/33, Callable 12/15/32 @ 100      1,507,293  

337,000

  Eversource Energy, Series L, 2.90%, 10/1/24, Callable 8/1/24 @ 100      364,524  

15,000

  Exelon Corp., 2.45%, 4/15/21, Callable 3/15/21 @ 100      15,139  

272,000

  Exelon Corp., 4.95%, 6/15/35, Callable 12/15/34 @ 100      339,862  

382,000

  Exelon Corp., 5.63%, 6/15/35      506,976  

193,000

  FirstEnergy Corp., 2.05%, 3/1/25, Callable 2/1/25 @ 100      196,281  

329,000

  FirstEnergy Corp., 2.65%, 3/1/30, Callable 12/1/29 @ 100      333,184  

203,000

  FirstEnergy Corp., 7.38%, 11/15/31      283,728  

636,000

  FirstEnergy Corp., Series C, 3.40%, 3/1/50, Callable 9/1/49 @ 100      615,054  

329,000

  FirstEnergy Transmission LLC, 4.35%, 1/15/25, Callable 10/15/24 @ 100(a)      359,921  

303,000

  FirstEnergy Transmission LLC, 5.45%, 7/15/44, Callable 1/15/44 @ 100(a)      384,056  

990,000

  FirstEnergy Transmission LLC, 4.55%, 4/1/49, Callable 10/1/48 @ 100(a)      1,178,503  

380,000

  Florida Power & Light Co., 3.13%, 12/1/25, Callable 6/1/25 @ 100      423,882  

129,000

  Florida Power & Light Co., 4.13%, 2/1/42, Callable 8/1/41 @ 100      161,627  

120,000

  Florida Power & Light Co., 3.80%, 12/15/42, Callable 6/15/42 @ 100      145,491  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal

Amount

        Fair Value

Corporate Bonds, continued

  

Electric Utilities, continued

  

$222,000

  Florida Power & Light Co., 3.70%, 12/1/47, Callable 6/1/47 @ 100    $ 270,866    

590,000

  Florida Power & Light Co., 3.95%, 3/1/48, Callable 9/1/47 @ 100      744,781  

1,262,000

  Florida Power & Light Co., 3.15%, 10/1/49, Callable 4/1/49 @ 100      1,432,749  

130,000

  ITC Holdings Corp., 2.70%, 11/15/22, Callable 10/15/22 @ 100      135,586  

658,000

  MidAmerican Energy Co., 3.10%, 5/1/27, Callable 2/1/27 @ 100      737,874  

1,639,000

  MidAmerican Energy Co., 3.65%, 4/15/29, Callable 1/15/29 @ 100      1,939,311  

399,000

  MidAmerican Energy Co., 3.15%, 4/15/50, Callable 10/15/49 @ 100      442,459  

295,000

  Northern States Power Co., 3.60%, 9/15/47, Callable 3/15/47 @ 100      354,191  

705,000

  Northern States Power Co., 2.90%, 3/1/50, Callable 9/1/49 @ 100      751,005  

330,000

  NSTAR Electric Co., 3.20%, 5/15/27, Callable 2/15/27 @ 100      369,254  

275,000

  Ohio Power Co., Series G, 6.60%, 2/15/33      390,438  

100,000

  Ohio Power Co., 4.15%, 4/1/48, Callable 10/1/47 @ 100      124,843  

530,000

  Ohio Power Co., 4.00%, 6/1/49, Callable 12/1/48 @ 100      646,588  

1,729,000

  Oncor Electric Delivery Co. LLC, 3.70%, 11/15/28, Callable 8/15/28 @ 100           2,026,320  

220,000

  Oncor Electric Delivery Co. LLC, 5.75%, 3/15/29, Callable 12/15/28 @ 100      287,996  

271,000

  Oncor Electric Delivery Co. LLC, 3.80%, 9/30/47, Callable 3/30/47 @ 100      328,748  

144,000

  Oncor Electric Delivery Co. LLC, 3.10%, 9/15/49, Callable 3/15/49 @ 100      157,023  

64,000

  PacifiCorp., 3.60%, 4/1/24, Callable 1/1/24 @ 100      70,474  

356,000

  PECO Energy Co., 3.00%, 9/15/49, Callable 3/15/49 @ 100      380,283  

535,000

  Public Service Electric & Gas Co., 3.65%, 9/1/28, Callable 6/1/28 @ 100      624,641  

29,000

  Public Service Electric & Gas Co., 3.20%, 5/15/29, Callable 2/15/29 @ 100, MTN      33,085  

340,000

  Public Service Electric & Gas Co., 2.05%, 8/1/50, Callable 2/1/50 @ 100, MTN      308,199  

777,000

  Southern California Edison Co., Series E, 3.70%, 8/1/25, Callable 6/1/25 @ 100      862,143  

1,000,000

  Southern California Edison Co., Series 20C, 1.20%, 2/1/26, Callable 1/1/26 @ 100      994,927  

872,000

  Southern California Edison Co., Series A, 4.20%, 3/1/29, Callable 12/1/28 @ 100      1,014,923  

631,000

  Southern California Edison Co., 2.25%, 6/1/30, Callable 3/1/30 @ 100      629,485  

560,000

  Tampa Electric Co., 2.60%, 9/15/22, Callable 6/15/22 @ 100      576,131  

335,000

  Tampa Electric Co., 4.30%, 6/15/48, Callable 12/15/47 @ 100      421,533  

3,000

  Tampa Electric Co., 4.45%, 6/15/49, Callable 12/15/48 @ 100      3,911  

500,000

  Virginia Electric & Power Co., 3.45%, 9/1/22, Callable 6/1/22 @ 100      523,120  

622,000

  Virginia Electric & Power Co., Series C, 2.75%, 3/15/23, Callable 12/15/22 @ 100      650,662  

424,000

  Virginia Electric & Power Co., Series B, 6.00%, 1/15/36      597,491  

161,000

  Virginia Electric & Power Co., Series A, 6.00%, 5/15/37      230,903  

Principal

Amount

        Fair Value

Corporate Bonds, continued

  

Electric Utilities, continued

  

$804,000

  Virginia Electric & Power Co., 4.00%, 1/15/43, Callable 7/15/42 @ 100    $ 983,324  

1,210,000

  Vistra Operations Co. LLC, 4.30%, 7/15/29, Callable 4/15/29 @ 100(a)      1,318,900  
    

 

 

 

            47,565,895  
    

 

 

 

Electronic Equipment, Instruments & Components (0.0%):   

38,000

  Avnet, Inc., 4.63%, 4/15/26, Callable 1/15/26 @ 100      42,381  

125,000

  Corning, Inc., 3.70%, 11/15/23, Callable 8/15/23 @ 100      135,528  

142,000

  Corning, Inc., 5.85%, 11/15/68, Callable 5/15/68 @ 100      189,049  
    

 

 

 

       366,958  
    

 

 

 

Entertainment (0.4%):

  

1,880,000

  Activision Blizzard, Inc., 3.40%, 9/15/26, Callable 6/15/26 @ 100      2,138,363  

460,000

  Activision Blizzard, Inc., 2.50%, 9/15/50, Callable 3/15/50 @ 100      426,207  

1,603,000

  Electronic Arts, Inc., 4.80%, 3/1/26, Callable 12/1/25 @ 100^      1,902,269  

170,000

  Viacom, Inc., 6.88%, 4/30/36      233,000  

789,000

  ViacomCBS, Inc., 4.38%, 3/15/43      836,918  

3,057,000

  Walt Disney Co. (The), 2.00%, 9/1/29, Callable 6/1/29 @ 100      3,152,903  
    

 

 

 

       8,689,660    
    

 

 

 

Equity Real Estate Investment Trusts (0.6%):

  

840,000

  American Tower Corp., 1.95%, 5/22/26, Callable 2/22/26 @ 100      1,066,923  

290,000

  American Tower Corp., 3.95%, 3/15/29, Callable 12/15/28 @ 100      333,532  

1,096,000

  American Tower Corp., 3.80%, 8/15/29, Callable 5/15/29 @ 100      1,254,088  

424,000

  American Tower Corp., 2.90%, 1/15/30, Callable 10/15/29 @ 100      458,944  

204,000

  American Tower Corp., 1.88%, 10/15/30, Callable 7/15/30 @ 100      201,501  

245,000

  Boston Properties LP, 3.40%, 6/21/29, Callable 3/21/29 @ 100      265,923  

494,000

  Boston Properties LP, 2.90%, 3/15/30, Callable 12/15/29 @ 100      515,688  

545,000

  Crown Castle International Corp., 4.45%, 2/15/26, Callable 11/15/25 @ 100      624,723  

623,000

  Crown Castle International Corp., 3.70%, 6/15/26, Callable 3/15/26 @ 100      695,163  

80,000

  Crown Castle International Corp., 3.80%, 2/15/28, Callable 11/15/27 @ 100      90,680  

1,821,000

  Crown Castle International Corp., 3.10%, 11/15/29, Callable 8/15/29 @ 100      1,971,068  

8,000

  Crown Castle International Corp., 3.30%, 7/1/30, Callable 4/1/30 @ 100      8,740  

366,000

  Crown Castle International Corp., 5.20%, 2/15/49, Callable 8/15/48 @ 100      481,118  

1,231,000

  Equinix, Inc., 1.00%, 9/15/25, Callable 8/15/25 @ 100      1,220,641  

293,000

  Equinix, Inc., 1.55%, 3/15/28, Callable 1/15/28 @ 100      293,465  

738,000

  Equinix, Inc., 3.20%, 11/18/29, Callable 8/18/29 @ 100      812,651  

775,000

  Prologis Euro Finance LLC, 1.50%, 9/10/49, Callable 3/10/49 @ 100      923,400  

177,000

  Realty Income Corp., 3.00%, 1/15/27, Callable 10/15/26 @ 100      191,586  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal

Amount

        Fair Value

Corporate Bonds, continued

  

Equity Real Estate Investment Trusts, continued

  

$330,000

  Realty Income Corp., 3.25%, 1/15/31, Callable 10/15/30 @ 100    $ 364,619  
    

 

 

 

            11,774,453    
    

 

 

 

Food & Staples Retailing (0.0%):

  

585,000

  Walmart, Inc., 3.25%, 7/8/29, Callable 4/8/29 @ 100      681,947  
    

 

 

 

Food Products (0.0%):

  

420,000

  General Mills, Inc., 0.45%, 1/15/26, Callable 10/15/25 @ 100      497,755  

185,000

  Mondelez International, Inc., 2.75%, 4/13/30, Callable 1/13/30 @ 100      201,400  
    

 

 

 

       699,155  
    

 

 

 

Gas Utilities (0.0%):

  

461,000

  Piedmont Natural Gas Co, Inc., 3.50%, 6/1/29, Callable 3/1/29 @ 100      522,869  
    

 

 

 

Health Care Equipment & Supplies (0.1%):

  

525,000

  Becton Dickinson and Co., 1.40%, 5/24/23, Callable 4/24/23 @ 100      632,385  

333,000

  Boston Scientific Corp., 2.65%, 6/1/30, Callable 3/1/30 @ 100      353,269  

500,000

  DH Europe Finance II Sarl, 1.80%, 9/18/49, Callable 3/18/49 @ 100      589,828  

500,000

  Medtronic Global Holdings SCA, 1.75%, 7/2/49, Callable 1/2/49 @ 100      614,628  
    

 

 

 

       2,190,110  
    

 

 

 

Health Care Providers & Services (1.3%):

  

6,000

  Aetna, Inc., 6.75%, 12/15/37      8,725  

232,000

  Aetna, Inc., 4.50%, 5/15/42, Callable 11/15/41 @ 100      274,760  

153,000

  Aetna, Inc., 4.13%, 11/15/42, Callable 5/15/42 @ 100      173,940  

240,000

  Anthem, Inc., 4.65%, 1/15/43      301,361  

89,000

  Anthem, Inc., 4.38%, 12/1/47, Callable 6/1/47 @ 100      107,713  

3,229,000

  Cigna Corp., 3.75%, 7/15/23, Callable 6/15/23 @ 100      3,490,261  

1,005,000

  Cigna Corp., 3.50%, 6/15/24, Callable 3/17/24 @ 100      1,095,148  

1,339,000

  Cigna Corp., 4.13%, 11/15/25, Callable 9/15/25 @ 100      1,532,788  

60,000

  CVS Caremark Corp., 3.38%, 8/12/24, Callable 5/12/24 @ 100^      65,178  

1,608,000

  CVS Health Corp., 3.70%, 3/9/23, Callable 2/9/23 @ 100      1,720,105  

563,000

  CVS Health Corp., 4.10%, 3/25/25, Callable 1/25/25 @ 100      636,032  

1,888,000

  CVS Health Corp., 2.88%, 6/1/26, Callable 3/1/26 @ 100      2,043,012  

1,364,000

  CVS Health Corp., 3.00%, 8/15/26, Callable 6/15/26 @ 100      1,487,647  

465,000

  CVS Health Corp., 1.30%, 8/21/27, Callable 6/21/27 @ 100      456,400  

746,000

  CVS Health Corp., 5.13%, 7/20/45, Callable 1/20/45 @ 100      938,031  

287,000

  CVS Health Corp., 5.05%, 3/25/48, Callable 9/25/47 @ 100      364,316  

286,000

  CVS Health Corp., 4.25%, 4/1/50, Callable 10/1/49 @ 100      335,949  

841,000

  Hackensack Meridian Health, Inc., 2.88%, 9/1/50, Callable 3/1/50 @ 100      825,889  

525,000

  HCA, Inc., 5.25%, 4/15/25      606,375  

1,823,000

  HCA, Inc., 5.25%, 6/15/26, Callable 12/15/25 @ 100      2,123,794  

Principal

Amount

        Fair Value

Corporate Bonds, continued

  

Health Care Providers & Services, continued

  

$788,000

  HCA, Inc., 4.50%, 2/15/27, Callable 8/15/26 @ 100    $ 888,470  

900,000

  Humana, Inc., 4.50%, 4/1/25, Callable 3/1/25 @ 100      1,031,940  

1,144,000

  Methodist Hospital (The), 2.71%, 12/1/50, Callable 6/1/50 @ 100      1,148,975  

937,000

  The New York and Presbyterian Hospital, Series 2019, 3.95%, 8/1/19, Callable 2/1/19 @ 100^      1,054,013  

1,335,000

  UnitedHealth Group, Inc., 4.75%, 7/15/45      1,806,350  

957,000

  UnitedHealth Group, Inc., 4.20%, 1/15/47, Callable 7/15/46 @ 100      1,213,625  
    

 

 

 

            25,730,797    
    

 

 

 

Hotels, Restaurants & Leisure (0.3%):

  

1,200,000

  McDonald’s Corp., Series G, 1.00%, 11/15/23, MTN(a)      1,454,653  

1,030,000

  McDonald’s Corp., 2.13%, 3/1/30, Callable 12/1/29 @ 100^      1,068,499  

226,000

  McDonald’s Corp., 4.60%, 5/26/45, Callable 11/26/44 @ 100      279,005  

701,000

  McDonald’s Corp., 4.45%, 9/1/48, Callable 3/1/48 @ 100, MTN      872,303  

105,000

  McDonald’s Corp., 3.63%, 9/1/49, Callable 3/1/49 @ 100, MTN      117,198  

1,619,000

  Starbucks Corp., 2.25%, 3/12/30, Callable 12/12/29 @ 100      1,680,443  
    

 

 

 

       5,472,101  
    

 

 

 

Industrial Conglomerates (0.2%):

  

785,000

  3M Co., Series E, 0.95%, 5/15/23      948,806  

329,000

  General Electric Co., 5.88%, 1/14/38, MTN      382,936  

187,000

  General Electric Co., 6.88%, 1/10/39, MTN      238,498  

943,000

  Georgia-Pacific LLC, 3.73%, 7/15/23, Callable 4/15/23 @ 100(a)      1,016,523  

894,000

  Georgia-Pacific LLC, 3.60%, 3/1/25, Callable 12/1/24 @ 100(a)      992,492  

406,000

  Georgia-Pacific LLC, 1.75%, 9/30/25, Callable 8/30/25 @ 100(a)      423,309  

810,000

  Honeywell International, Inc., 0.75%, 3/10/32, Callable 12/10/31 @ 100      955,768  
    

 

 

 

       4,958,332  
    

 

 

 

Insurance (0.3%):

  

572,000

  Aon Corp., 4.50%, 12/15/28, Callable 9/15/28 @ 100      690,212  

1,060,000

  Aon Corp., 2.80%, 5/15/30, Callable 2/15/30 @ 100      1,147,883  

333,000

  Hartford Financial Services Group, Inc. (The), 4.30%, 4/15/43      394,354  

145,000

  Loews Corp., 3.75%, 4/1/26, Callable 1/1/26 @ 100      165,175  

480,000

  Marsh & McLennan Cos., Inc., 1.35%, 9/21/26, Callable 6/21/26 @ 100      593,048  

445,000

  Marsh & McLennan Cos., Inc., 4.38%, 3/15/29, Callable 12/15/28 @ 100      538,236  

803,000

  Marsh & McLennan Cos., Inc., 1.98%, 3/21/30, Callable 12/21/29 @ 100      1,063,512  

339,000

  Marsh & McLennan Cos., Inc., 2.25%, 11/15/30, Callable 8/15/30 @ 100      355,645  

640,000

  Metropolitan Life Global Funding I, 1.25%,
9/17/21(a)
     760,262  

290,000

  Metropolitan Life Global Funding I,
9/23/22(a)
     340,431  

414,000

  Teachers Insurance & Annuity Association of America, 4.27%, 5/15/47, Callable 11/15/46 @ 100(a)      483,670  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal

Amount

        Fair Value

Corporate Bonds, continued

  

Insurance, continued

  

$130,000

  Willis North America, Inc., 2.95%, 9/15/29, Callable 6/15/29 @ 100    $ 140,008  
    

 

 

 

       6,672,436  
    

 

 

 

Internet & Direct Marketing Retail (0.2%):

  

1,065,000

  Amazon.com, Inc., 4.80%, 12/5/34, Callable 6/5/34 @ 100      1,467,494  

197,000

  Booking Holdings, Inc., 3.65%, 3/15/25, Callable 12/15/24 @ 100      217,226  

1,520,000

  Booking Holdings, Inc., 4.10%, 4/13/25, Callable 3/13/25 @ 100      1,712,000  

107,000

  Expedia Group, Inc., 5.00%, 2/15/26, Callable 11/15/25 @ 100      114,131  

1,355,000

  Expedia Group, Inc., 3.25%, 2/15/30, Callable 11/15/29 @ 100      1,300,870  
    

 

 

 

            4,811,721    
    

 

 

 

IT Services (1.3%):

  

270,000

  DXC Technology Co., 4.00%, 4/15/23      284,481  

450,000

  Fidelity National Information Services, Inc., 0.13%, 12/3/22, Callable 11/3/22 @ 100      529,305  

1,300,000

  Fidelity National Information Services, Inc., 0.75%, 5/21/23, Callable 4/21/23 @ 100      1,551,505  

600,000

  Fidelity National Information Services, Inc., 2.95%, 5/21/39, Callable 2/21/39 @ 100      850,046  

7,000

  Fiserv, Inc., 3.85%, 6/1/25, Callable 3/1/25 @ 100      7,885  

2,225,000

  Fiserv, Inc., 3.50%, 7/1/29, Callable 4/1/29 @ 100      2,530,430  

423,000

  Global Payments, Inc., 3.20%, 8/15/29, Callable 5/15/29 @ 100      461,233  

818,000

  Global Payments, Inc., 2.90%, 5/15/30, Callable 2/15/30 @ 100      874,879  

1,434,000

  IBM Corp., 2.85%, 5/15/40, Callable 11/15/39 @ 100      1,518,009  

1,810,000

  International Business Machines Corp., 0.50%, 9/7/21      2,135,368  

2,837,000

  International Business Machines Corp., 3.30%, 5/15/26      3,194,299  

2,010,000

  International Business Machines Corp., 1.70%, 5/15/27, Callable 3/15/27 @ 100      2,073,729  

815,000

  Leidos, Inc., 2.95%, 5/15/23, Callable 4/15/23 @ 100(a)      856,769  

530,000

  Leidos, Inc., 3.63%, 5/15/25, Callable 4/15/25 @ 100(a)      587,638  

2,592,000

  Leidos, Inc., 4.38%, 5/15/30, Callable 2/15/30 @ 100(a)      3,032,640  

1,110,000

  Mastercard, Inc., 2.95%, 6/1/29, Callable 3/1/29 @ 100      1,250,722  

309,000

  Mastercard, Inc., 3.35%, 3/26/30, Callable 12/26/29 @ 100      361,684  

1,725,000

  MasterCard, Inc., 1.10%, 12/1/22, Callable 9/1/22 @ 100      2,073,976  

1,215,000

  PayPal Holdings, Inc., 1.65%, 6/1/25, Callable 5/1/25 @ 100      1,258,789  

1,418,000

  Visa, Inc., 4.15%, 12/14/35, Callable 6/14/35 @ 100      1,829,109  
    

 

 

 

       27,262,496  
    

 

 

 

Leisure Products (0.0%):

  

318,000

  Hasbro, Inc., 2.60%, 11/19/22      329,355  

427,000

  Hasbro, Inc., 3.90%, 11/19/29, Callable 8/19/29 @ 100      449,078  
    

 

 

 

       778,433  
    

 

 

 

Life Sciences Tools & Services (0.1%):

  

1,000,000

  Thermo Fisher Scientific, Inc., Series E, 1.88%, 10/1/49, Callable 4/1/49 @ 100, MTN      1,178,636  
    

 

 

 

Principal

Amount

        Fair Value

Corporate Bonds, continued

  

Machinery (0.0%):

  

$97,000

  Parker-Hannifin Corp., 3.25%, 6/14/29, Callable 3/14/29 @ 100    $ 108,658  
    

 

 

 

Media (1.1%):

  

935,000

  Comcast Corp., 3.30%, 4/1/27, Callable 2/1/27 @ 100      1,055,462  

3,841,000

  Comcast Corp., 2.65%, 2/1/30, Callable 11/1/29 @ 100      4,193,557  

1,619,000

  Comcast Corp., 3.40%, 4/1/30, Callable 1/1/30 @ 100      1,864,371  

1,124,000

  Comcast Corp., 4.25%, 1/15/33      1,397,854  

272,000

  Comcast Corp., 3.25%, 11/1/39, Callable 5/1/39 @ 100      302,583  

525,000

  Comcast Corp., 4.60%, 8/15/45, Callable 2/15/45 @ 100      674,825  

1,427,000

  Comcast Corp., 3.40%, 7/15/46, Callable 1/15/46 @ 100      1,579,224  

152,000

  Comcast Corp., 3.97%, 11/1/47, Callable 5/1/47 @ 100      180,835  

115,000

  Comcast Corp., 4.00%, 11/1/49, Callable 5/1/49 @ 100      138,401  

155,000

  Comcast Corp., 2.65%, 8/15/62, Callable 2/15/62 @ 100      145,785  

338,000

  COX Communications, Inc., 3.25%, 12/15/22(a)      356,083  

1,708,000

  COX Communications, Inc., 3.15%, 8/15/24, Callable 6/15/24 @ 100(a)      1,840,404  

80,000

  COX Communications, Inc., 3.35%, 9/15/26, Callable 6/15/26 @ 100(a)      88,914  

430,000

  Discovery Communications LLC, 5.20%, 9/20/47, Callable 3/20/47 @ 100      514,295  

251,000

  Discovery Communications LLC, 5.30%, 5/15/49, Callable 11/15/48 @ 100      305,033  

996,000

  Discovery Communications LLC, 4.00%, 9/15/55, Callable 3/15/55 @ 100(a)      1,005,027  

265,000

  Interpublic Group of Cos., Inc., 3.50%, 10/1/20      265,022  

5,730,000

  NBCUniversal Enterprise, Inc., 5.25%, 12/31/99, Callable 3/19/21 @ 100(a)      5,769,512  

972,000

  NBCUniversal Media LLC, 5.95%, 4/1/41      1,447,555  
    

 

 

 

            23,124,742    
    

 

 

 

Metals & Mining (0.0%):

  

220,000

  Newmont Mining Corp., 4.88%, 3/15/42, Callable 9/15/41 @ 100      297,669  

192,000

  Steel Dynamics, Inc., 2.80%, 12/15/24, Callable 11/15/24 @ 100      202,800  
    

 

 

 

       500,469  
    

 

 

 

Multiline Retail (0.0%):

  

472,000

  Dollar General Corp., 3.50%, 4/3/30, Callable 1/3/30 @ 100      539,527  
    

 

 

 

Multi-Utilities (0.3%):

  

290,000

  Ameren Illinois Co., 3.80%, 5/15/28, Callable 2/15/28 @ 100      338,137  

5,000

  Ameren Illinois Co., 4.15%, 3/15/46, Callable 9/15/45 @ 100      6,298  

785,000

  Ameren Illinois Co., 3.25%, 3/15/50, Callable 9/15/49 @ 100      903,293  

130,000

  CenterPoint Energy Houston Electric LLC, 3.55%, 8/1/42, Callable 2/1/42 @ 100      148,241  

176,000

  CenterPoint Energy Houston Electric LLC, 3.95%, 3/1/48, Callable 9/1/47 @ 100      217,562  

1,160,000

  CenterPoint Energy Resources Corp., 1.75%, 10/1/30, Callable 7/1/30 @ 100      1,164,521  

301,000

  Consumers Energy Co., 3.80%, 11/15/28, Callable 8/15/28 @ 100      359,381  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal
Amount
        Fair Value

Corporate Bonds, continued

 

Multi-Utilities, continued

 

$212,000

  Consumers Energy Co., 4.35%, 4/15/49, Callable 10/15/48 @ 100    $ 279,021    

695,000

  Consumers Energy Co., 3.75%, 2/15/50, Callable 8/15/49 @ 100      862,740  

1,369,000

  Consumers Energy Co., 3.10%, 8/15/50, Callable 2/15/50 @ 100      1,489,060  

318,000

  Dominion Energy Gas Holdings LLC, 4.80%, 11/1/43, Callable 5/1/43 @ 100      398,666  
    

 

 

 

           6,166,920  
    

 

 

 

Oil, Gas & Consumable Fuels (1.8%):

 

90,000

  Boardwalk Pipelines, LP, 4.80%, 5/3/29, Callable 2/3/29 @ 100      97,336  

1,010,000

  Cameron LNG LLC, 3.30%, 1/15/35, Callable 9/15/34 @ 100(a)      1,140,883  

1,223,000

  Cameron LNG LLC, 3.40%, 1/15/38, Callable 7/15/37 @ 100(a)      1,351,705  

2,663,000

  Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24, Callable 1/1/24 @ 100      3,062,450  

310,000

  Chevron USA, Inc., 2.34%, 8/12/50, Callable 2/12/50 @ 100      289,939  

461,000

  Concho Resources, Inc., 3.75%, 10/1/27, Callable 7/1/27 @ 100      496,728  

240,000

  Concho Resources, Inc., 2.40%, 2/15/31, Callable 11/15/30 @ 100      227,992  

1,864,000

  Energy Transfer Operating LP, 4.05%, 3/15/25, Callable 12/15/24 @ 100      1,952,540  

551,000

  Energy Transfer Partners LP, 4.75%, 1/15/26, Callable 10/15/25 @ 100      586,815  

214,000

  Energy Transfer Partners LP, 4.20%, 4/15/27, Callable 1/15/27 @ 100      220,153  

429,000

  Energy Transfer Partners LP, 5.80%, 6/15/38, Callable 12/15/37 @ 100      424,174  

168,000

  Enterprise Products Operating LLC, 4.85%, 8/15/42, Callable 2/15/42 @ 100      191,430  

254,000

  Enterprise Products Operating LLC, 5.10%, 2/15/45, Callable 8/15/44 @ 100      294,435  

286,000

  Enterprise Products Operating LLC, 4.25%, 2/15/48, Callable 8/15/47 @ 100      301,049  

1,400,000

  Exxon Mobil Corp., 1.41%, 6/26/39, Callable 12/26/38 @ 100      1,619,925  

190,000

  Kinder Morgan Energy Partners LP, 5.00%, 3/1/43, Callable 9/1/42 @ 100      211,957  

677,000

  Kinder Morgan Energy Partners LP, 5.50%, 3/1/44, Callable 9/1/43 @ 100      790,371  

1,000

  Kinder Morgan Energy Partners LP, 5.40%, 9/1/44, Callable 3/1/44 @ 100      1,154  

966,000

  Marathon Petroleum Corp., 4.50%, 5/1/23, Callable 4/1/23 @ 100      1,042,073  

124,000

  Marathon Petroleum Corp., 4.75%, 12/15/23, Callable 10/15/23 @ 100      135,625  

263,000

  Marathon Petroleum Corp., 6.50%, 3/1/41, Callable 9/1/40 @ 100      319,545  

208,000

  MPLX LP, 4.88%, 12/1/24, Callable 9/1/24 @ 100      232,180  

252,000

  MPLX LP, 5.25%, 1/15/25, Callable 1/15/21 @ 102.63      260,820  

391,000

  MPLX, LP, 2.65%, 8/15/30, Callable 5/15/30 @ 100      380,248  

2,234,000

  NGPL PipeCo LLC, 4.38%, 8/15/22, Callable 5/15/22 @ 100(a)      2,320,568  

135,000

  NGPL PipeCo LLC, 7.77%,
12/15/37(a)
     171,619  

259,000

  NGPL PipeCo. LLC, 4.88%, 8/15/27, Callable 2/15/27 @ 100(a)      282,634  

964,000

  Northern Natural Gas Co., 4.30%, 1/15/49, Callable 7/15/48 @ 100(a)      1,136,107  
Principal
Amount
        Fair Value

Corporate Bonds, continued

 

Oil, Gas & Consumable Fuels, continued

 

$1,710,000

  Northwest Pipeline LLC, 4.00%, 4/1/27, Callable 1/1/27 @ 100    $ 1,890,313    

2,811,000

  Sabine Pass Liquefaction LLC, 5.63%, 3/1/25, Callable 12/1/24 @ 100      3,212,972  

1,522,000

  Sabine Pass Liquefaction LLC, 5.00%, 3/15/27, Callable 9/15/26 @ 100      1,714,153  

687,000

  Sabine Pass Liquefaction LLC, 4.20%, 3/15/28, Callable 9/15/27 @ 100      745,532  

604,000

  Sunoco Logistics Partners Operations LP, 4.00%, 10/1/27, Callable 7/1/27 @ 100      609,285  

220,000

  Texas Eastern Transmission LP, 2.80%, 10/15/22, Callable 7/15/22 @ 100(a)      225,507  

1,197,000

  Texas Eastern Transmission LP, 3.50%, 1/15/28, Callable 10/15/27 @ 100(a)      1,293,873  

1,414,000

  Texas Eastern Transmission LP, 4.15%, 1/15/48, Callable 7/15/47
@ 100(a)
     1,542,675  

2,857,000

  Transcontinental Gas Pipe Line Co. LLC, 7.85%, 2/1/26, Callable 11/1/25 @ 100      3,697,631  

1,820,000

  Transcontinental Gas Pipe Line Co. LLC, 4.00%, 3/15/28, Callable 12/15/27 @ 100      2,025,844  

44,000

  Transcontinental Gas Pipe Line Co. LLC, 4.60%, 3/15/48, Callable 9/15/47 @ 100      50,575  

173,000

  Transcontinental Gas Pipe Line Co. LLC, 3.95%, 5/15/50, Callable 11/15/49 @ 100(a)      181,315  

47,000

  Williams Cos., Inc., 7.88%, 9/1/21      50,077  

240,000

  Williams Cos., Inc., Series A, 7.50%, 1/15/31      314,825  
    

 

 

 

           37,097,032  
    

 

 

 

Pharmaceuticals (0.2%):

 

252,000

  Bristol-Myers Squibb Co., 4.25%, 10/26/49, Callable 4/26/49 @ 100      331,102  

500,000

  Eli Lilly & Co., 1.70%, 11/1/49, Callable 5/1/49 @ 100      637,500  

568,000

  Johnson & Johnson, 2.90%, 1/15/28, Callable 10/15/27 @ 100      638,174  

367,000

  Merck & Co., Inc., 1.45%, 6/24/30, Callable 3/24/30 @ 100      371,683  

267,000

  Pfizer, Inc., 3.45%, 3/15/29, Callable 12/15/28 @ 100      312,345  

300,000

  Pfizer, Inc., 1.70%, 5/28/30, Callable 2/28/30 @ 100      309,240  

79,000

  Pfizer, Inc., 4.20%, 9/15/48, Callable 3/15/48 @ 100      101,832  

222,000

  Wyeth LLC, 5.95%, 4/1/37      330,312  
    

 

 

 

       3,032,188  
    

 

 

 

Professional Services (0.3%):

 

4,291,000

  RELX Capital, Inc., 3.50%, 3/16/23, Callable 2/16/23 @ 100      4,559,295  

897,000

  RELX Capital, Inc., 3.00%, 5/22/30, Callable 2/22/30 @ 100      980,436  
    

 

 

 

       5,539,731  
    

 

 

 

Real Estate Management & Development (0.1%):

 

1,802,000

  CC Holdings GS V LLC, 3.85%, 4/15/23      1,937,817  

915,000

  Northwest Florida Timber Finance LLC, 4.75%, 3/4/29(a)      990,337  
    

 

 

 

       2,928,154  
    

 

 

 

Road & Rail (0.4%):

 

163,000

  Burlington Northern Santa Fe LLC, 4.13%, 6/15/47, Callable 12/15/46 @ 100      205,996  

192,000

  Burlington Northern Santa Fe LLC, 4.15%, 12/15/48, Callable 6/15/48 @ 100      245,988  

1,532,000

  CSX Corp., 2.60%, 11/1/26, Callable 8/1/26 @ 100      1,668,694  

568,000

  CSX Corp., 3.80%, 3/1/28, Callable 12/1/27 @ 100      667,016  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal
Amount
        Fair Value

Corporate Bonds, continued

 

Road & Rail, continued

 

$663,000

  CSX Corp., 4.30%, 3/1/48, Callable 9/1/47 @ 100    $ 827,287    

185,000

  Norfolk Southern Corp., 3.65%, 8/1/25, Callable 6/1/25 @ 100      209,188  

461,000

  Norfolk Southern Corp., 2.90%, 6/15/26, Callable 3/15/26 @ 100      508,882  

910,000

  Norfolk Southern Corp., 2.55%, 11/1/29, Callable 8/1/29 @ 100      989,521  

135,000

  Norfolk Southern Corp., 4.45%, 6/15/45, Callable 12/15/44 @ 100      172,219  

408,000

  Norfolk Southern Corp., 3.40%, 11/1/49, Callable 5/1/49 @ 100      455,558  

425,000

  Union Pacific Corp., 2.75%, 3/1/26, Callable 12/1/25 @ 100      466,118  

289,000

  Union Pacific Corp., 4.05%, 11/15/45, Callable 5/15/45 @ 100      346,337  

102,000

  Union Pacific Corp., 4.50%, 9/10/48, Callable 3/10/48 @ 100      136,595  

844,000

  Union Pacific Corp., 3.80%, 10/1/51, Callable 4/1/51 @ 100      999,630  

290,000

  Union Pacific Corp., 3.88%, 2/1/55, Callable 8/1/54 @ 100      345,056  

400,769

  Union Pacific Railroad Co., Series 2014-1, 3.23%, 5/14/26      444,501  
    

 

 

 

           8,688,586  
    

 

 

 

Semiconductors & Semiconductor Equipment (1.2%):

 

50,000

  Analog Devices, Inc., 4.50%, 12/5/36, Callable 6/5/36 @ 100      60,638  

7,000

  Analog Devices, Inc., 5.30%, 12/15/45, Callable 6/15/45 @ 100      9,659  

97,000

  Applied Materials, Inc., 3.30%, 4/1/27, Callable 1/1/27 @ 100      109,879  

1,294,000

  Applied Materials, Inc., 1.75%, 6/1/30, Callable 3/1/30 @ 100      1,329,172  

4,101,000

  Broadcom Corp./Broadcom Cayman Finance, Ltd., 3.88%, 1/15/27, Callable 10/15/26 @ 100      4,543,577  

1,916,000

  Broadcom, Inc., 4.70%, 4/15/25, Callable 3/15/25 @ 100      2,174,748  

1,349,000

  Broadcom, Inc., 4.25%, 4/15/26, Callable 2/15/26 @ 100      1,526,431  

610,000

  Broadcom, Inc., 4.15%, 11/15/30, Callable 8/15/30 @ 100      683,151  

2,073,000

  Intel Corp., 2.45%, 11/15/29, Callable 8/15/29 @ 100      2,249,829  

1,983,000

  Intel Corp., 3.90%, 3/25/30, Callable 12/25/29 @ 100      2,399,273  

22,000

  Intel Corp., 3.73%, 12/8/47, Callable 6/8/47 @ 100      26,263  

402,000

  KLA Corp., 3.30%, 3/1/50, Callable 8/28/49 @ 100      419,237  

841,000

  KLA-Tencor Corp., 4.10%, 3/15/29, Callable 12/15/28 @ 100      1,008,220  

102,000

  KLA-Tencor Corp., 5.00%, 3/15/49, Callable 9/15/48 @ 100      136,726  

2,205,000

  Lam Research Corp., 3.80%, 3/15/25, Callable 12/15/24 @ 100      2,481,025  

363,000

  Lam Research Corp., 3.75%, 3/15/26, Callable 1/15/26 @ 100      416,468  

351,000

  Lam Research Corp., 4.88%, 3/15/49, Callable 9/15/48 @ 100      494,145  

507,000

  NVIDIA Corp., 3.20%, 9/16/26, Callable 6/16/26 @ 100      571,886  

1,652,000

  NVIDIA Corp., 2.85%, 4/1/30, Callable 1/1/30 @ 100      1,857,626  
Principal
Amount
        Fair Value

Corporate Bonds, continued

 

Semiconductors & Semiconductor Equipment, continued

 

$102,000

  NVIDIA Corp., 3.50%, 4/1/50, Callable 10/1/49 @ 100    $ 118,562    

449,000

  Qualcomm, Inc., 4.80%, 5/20/45, Callable 11/20/44 @ 100      603,144  

637,000

  Texas Instruments, Inc., 1.75%, 5/4/30, Callable 2/4/30 @ 100      655,144  
    

 

 

 

           23,874,803  
    

 

 

 

Software (0.7%):

 

1,438,000

  Autodesk, Inc., 2.85%, 1/15/30, Callable 10/15/29 @ 100      1,591,430  

717,000

  Microsoft Corp., 4.20%, 11/3/35, Callable 5/3/35 @ 100      942,266  

793,000

  Microsoft Corp., 3.75%, 2/12/45, Callable 8/12/44 @ 100      993,764  

2,118,000

  Oracle Corp., 2.95%, 11/15/24, Callable 9/15/24 @ 100      2,298,437  

2,389,000

  Oracle Corp., 2.80%, 4/1/27, Callable 2/1/27 @ 100      2,622,107  

3,255,000

  Oracle Corp., 3.25%, 11/15/27, Callable 8/15/27 @ 100      3,677,941  

546,000

  Oracle Corp., 3.90%, 5/15/35, Callable 11/15/34 @ 100      663,322  

159,000

  Oracle Corp., 3.85%, 7/15/36, Callable 1/15/36 @ 100      187,757  

749,000

  Oracle Corp., 3.80%, 11/15/37, Callable 5/15/37 @ 100      878,572  

1,267,000

  Oracle Corp., 3.60%, 4/1/40, Callable 10/1/39 @ 100      1,444,404  
    

 

 

 

       15,300,000  
    

 

 

 

Specialty Retail (0.3%):

 

833,000

  Home Depot, Inc. (The), 5.88%, 12/16/36      1,249,525  

131,000

  Home Depot, Inc. (The), 5.95%, 4/1/41, Callable 10/1/40 @ 100      198,342  

3,841,000

  Lowe’s Cos., Inc., 4.00%, 4/15/25, Callable 3/15/25 @ 100      4,368,078  
    

 

 

 

       5,815,945  
    

 

 

 

Technology Hardware, Storage & Peripherals (0.3%):

 

1,255,000

  Apple, Inc., 1.00%, 11/10/22      1,509,687  

170,000

  Apple, Inc., 3.20%, 5/11/27, Callable 2/11/27 @ 100      193,035  

1,163,000

  Apple, Inc., 3.75%, 11/13/47, Callable 5/13/47 @ 100      1,428,231  

351,000

  Apple, Inc., 2.55%, 8/20/60, Callable 2/20/60 @ 100      349,431  

203,000

  Dell International LLC/EMC Corp., 5.85%, 7/15/25, Callable 6/15/25 @ 100(a)      236,862  

134,000

  Dell International LLC/EMC Corp., 4.90%, 10/1/26, Callable 8/1/26
@ 100(a)
     150,962  

720,000

  Dell International LLC/EMC Corp., 8.10%, 7/15/36, Callable 1/15/36 @ 100(a)      943,971  

973,000

  Hewlett Packard Enterprise Co., 4.40%, 10/15/22, Callable 8/15/22 @ 100      1,039,852  

140,000

  Hewlett Packard Enterprise Co., 4.65%, 10/1/24, Callable 9/1/24 @ 100      157,946  
    

 

 

 

       6,009,977  
    

 

 

 

Textiles, Apparel & Luxury Goods (0.1%):

 

1,713,000

  NIKE, Inc., 2.75%, 3/27/27, Callable 1/27/27 @ 100      1,895,688  

243,000

  NIKE, Inc., 3.38%, 3/27/50, Callable 9/27/49 @ 100      283,541  
    

 

 

 

       2,179,229  
    

 

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal

Amount

        Fair Value

Corporate Bonds, continued

 

Tobacco (0.5%):

 

$1,432,000

  Altria Group, Inc., 4.80%, 2/14/29, Callable 11/14/28 @ 100    $ 1,693,378    

900,000

  Altria Group, Inc., 3.13%, 6/15/31, Callable 3/15/31 @ 100      1,205,138  

1,028,000

  Altria Group, Inc., 5.80%, 2/14/39, Callable 8/14/38 @ 100      1,310,132  

1,522,000

  BAT Capital Corp., 3.22%, 9/6/26, Callable 7/6/26 @ 100      1,636,957  

443,000

  BAT Capital Corp., 4.70%, 4/2/27, Callable 2/2/27 @ 100      507,601  

823,000

  BAT Capital Corp., 3.56%, 8/15/27, Callable 5/15/27 @ 100      888,614  

622,000

  BAT Capital Corp., 5.30%, 4/2/50, Callable 10/2/49 @ 100      729,191  

700,000

  Philip Morris International, Inc., 1.45%, 8/1/39, Callable 5/1/39 @ 100      811,423  

1,369,000

  Reynolds American, Inc., 4.45%, 6/12/25, Callable 3/12/25 @ 100      1,540,354  
    

 

 

 

           10,322,788  
    

 

 

 

Wireless Telecommunication Services (0.6%):

 

5,167,500

  Sprint Spectrum Co. LLC, 3.36%,
3/20/23(a)
     5,231,311  

5,736,000

  T-Mobile USA, Inc., 3.75%, 4/15/27, Callable 2/15/27 @ 100(a)      6,423,730  

300,000

  T-Mobile USA, Inc., 2.55%, 2/15/31, Callable 11/15/30 @ 100(a)      310,924  
    

 

 

 

       11,965,965  
    

 

 

 

Total Corporate Bonds (Cost $555,531,050)

     580,286,981  
    

 

 

 

Foreign Bonds (4.7%):

 

Aerospace & Defense (0.4%):

 

1,400,000

  Airbus SE, 2.00%, 4/7/28, Callable 1/7/28 @ 100+(a)      1,762,449  

190,000

  Airbus SE, 1.63%, 6/9/30, Callable 3/9/30 @ 100+(a)      228,353  

400,000

  Airbus SE, 2.38%, 6/9/40, Callable 3/9/40 @ 100+(a)      476,697  

1,080,000

  Raytheon Technologies Corp., 2.15%, 5/18/30, Callable 2/18/30 @ 100+      1,407,044  

545,000

  Rolls-Royce plc, Series E, 2.13%, 6/18/21+(a)      630,467  

1,000,000

  Thales SA, 5/31/22, Callable 4/30/22 @ 100+(a)      1,172,634  

1,200,000

  Thales SA, 0.75%, 6/7/23, Callable 3/7/23 @ 100+(a)      1,432,088  

100,000

  Thales SA, 0.75%, 1/23/25, Callable 10/23/24 @ 100+(a)      119,905  
    

 

 

 

       7,229,637  
    

 

 

 

Air Freight & Logistics (0.1%):

 

1,745,000

  FedEx Corp., 1.30%, 8/5/31, Callable 5/5/31 @ 100+      2,096,283  
    

 

 

 

Auto Components (0.0%):

 

630,000

  Conti-Gummi Finance BV, 1.13%, 9/25/24, Callable 6/25/24 @ 100+(a)      752,962  
    

 

 

 

Automobiles (0.1%):

 

995,000

  Daimler International Finance BV, Series E, 0.25%, 8/9/21+(a)      1,170,562  

310,000

  Daimler International Finance BV, Series E, 0.25%, 11/6/23+(a)      362,931  

710,000

  Volkswagen Financial Services AG, Series E, 0.75%, 10/14/21+(a)      838,679  
    

 

 

 

       2,372,172  
    

 

 

 

Principal

Amount

        Fair Value

Foreign Bonds, continued

 

Banks (0.8%):

 

$1,200,000

  Banco de Sabadell SA, 1.13%(EUSA1+155bps), 3/11/27, Callable 3/11/26 @ 100+(a)    $ 1,408,384    

1,100,000

  Banque Federative du Credit Mutuel SA, Series E, 0.13%, 8/30/21+(a)      1,294,488  

600,000

  Banque Federative du Credit Mutuel SA, Series E, 0.75%, 6/15/23+(a)      719,610  

1,625,000

  BNP Paribas, 1.13%, 1/15/23+(a)      1,959,956  

500,000

  BPCE SA, 0.25%, 1/15/26+(a)      590,180  

300,000

  de Volksbank NV, 1.75%(EUSA5+2.100000000000bps), 10/22/30, Callable 10/22/25 @ 100+(a)      360,484  

300,000

  Erste Group Bank AG, 1.63%(EUAMDB05+210bps), 9/8/31, Callable 6/8/26 @ 100+(a)      353,890  

540,000

  FCA Bank SpA, 0.50%, 9/18/23, Callable 6/18/23 @ 100+(a)      632,216  

1,000,000

  ING Bank NV, Series G, 4/8/22+(a)      1,175,096  

1,677,000

  ING Bank NV, 3.62%(EUSA5+225bps), 2/25/26, Callable 2/25/21 @ 100+(a)      1,990,569  

400,000

  KBC Group NV, Series E, 1.13%,
1/25/24+(a)
     484,261  

440,000

  Mizuho Financial Group, Inc., Series E, 0.52%, 6/10/24+(a)      521,679  

435,000

  Simon International Finance SCA, 1.38%, 11/18/22, Callable 8/18/22 @ 100+(a)      515,838  

705,000

  Skandinaviska Enskilda Banken AB, 0.38%, 2/11/27+(a)      831,872  

2,500,000

  Societe Generale, 5/27/22+(a)      2,934,748  

1,000,000

  Toronto-Dominion Bank (The), Series E, 0.38%, 4/25/24+(a)      1,183,841  
    

 

 

 

           16,957,112  
    

 

 

 

Beverages (0.0%):

 

600,000

  Pernod Ricard SA, 0.02%, 10/24/23, Callable 9/24/23 @ 100+(a)      702,975  
    

 

 

 

Capital Markets (0.1%):

 

900,000

  Credit Suisse Group AG, 3.25%(EUAMDB01+350bps), 4/2/26, Callable 4/2/25 @ 100+(a)      1,179,025  

1,170,000

  UBS Group AG, 0.25%(EUSA1+55bps), 1/29/26, Callable 1/29/25 @ 100+(a)      1,369,883  
    

 

 

 

       2,548,908  
    

 

 

 

Chemicals (0.1%):

 

800,000

  Air Liquide Finance SA, Series E, 0.38%, 4/18/22, Callable 1/18/22 @ 100+(a)      943,678  

390,000

  Covestro AG, 0.88%, 2/3/26, Callable 11/3/25 @ 100+(a)      461,511  
    

 

 

 

       1,405,189  
    

 

 

 

Construction & Engineering (0.0%):

 

500,000

  APRR SA, 1/20/23+(a)      587,993  
    

 

 

 

Consumer Finance (0.1%):

 

380,000

  General Motors Financial Co., Inc., 0.85%, 2/26/26, Callable 12/26/25 @ 100+(a)      421,291  

570,000

  Toyota Motor Finance Netherlands BV, Series E, 0.25%, 1/10/22+(a)      671,141  
    

 

 

 

       1,092,432  
    

 

 

 

Containers & Packaging (0.0%):

 

220,000

  Amcor UK Finance plc, 1.13%, 6/23/27, Callable 4/23/27 @ 100+      267,932  
    

 

 

 

Diversified Financial Services (0.8%):

 

660,000

  BAT International Finance plc, Series E, 0.88%, 10/13/23, Callable 7/13/23
@ 100+(a)
     787,656  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal
Amount
        Fair Value

Foreign Bonds, continued

 

Diversified Financial Services, continued

 

$515,000

  BAT International Finance plc, 1.25%, 3/13/27, Callable 12/13/26 @ 100+(a)    $ 616,343    

1,810,000

  BMW Finance NV, 0.05%,
4/14/23+(a)
     2,119,029  

1,035,000

  BP Capital Markets plc, Series E, 1.37%, 3/3/22+      1,239,155  

640,000

  BP Capital Markets plc, Series E, 1.11%, 2/16/23+      772,574  

825,000

  BP Capital Matkets plc, 3.25%(EUSA5+388bps), 12/31/99, Callable 3/22/26 @ 100+(a)      992,540  

330,000

  Enel Finance International NV, Series E, 0.07%, 6/17/24, Callable 5/17/24 @
100+(a)
     385,928  

670,000

  OP Corporate Bank plc, 0.50%,
8/12/25+(a)
     802,952  

1,900,000

  OP Corporate Bank plc, 1.63%(EUSA5+200bps), 6/9/30, Callable 6/9/25 @ 100+(a)      2,271,928  

400,000

  Total Capital International SA, Series E, 2.13%, 11/19/21+(a)      480,866  

400,000

  Total Capital International SA, Series E, 2.13%, 3/15/23+(a)      494,628  

1,200,000

  Volvo Treasury AB, Series E, 0.16%(EUR003M+65bps), 9/13/21+(a)      1,408,440  

300,000

  Volvo Treasury AB, 0.01%,
2/11/23+(a)
     351,583  

700,000

  Vonovia Finance BV, 0.75%,
1/25/22+(a)
     829,058  

1,500,000

  Vonovia Finance BV, Series E, 0.13%, 4/6/23, Callable 3/6/23 @ 100+(a)      1,763,276  
    

 

 

 

           15,315,956  
    

 

 

 

Diversified Telecommunication Services (0.2%):

 

200,000

  Orange SA, Series E, 0.75%, 9/11/23, Callable 6/11/23 @
100+(a)
     239,690  

330,000

  Swisscom Finance BV, 0.38%, 11/14/28, Callable 8/14/28 @ 100+(a)      394,776  

540,000

  Telenor ASA, Series E, 9/25/23, Callable 6/25/23 @ 100+(a)      634,919  

1,705,000

  Telstra Corp., Ltd., Series E, 3.50%, 9/21/22+(a)      2,139,175  
    

 

 

 

       3,408,560  
    

 

 

 

Electric Utilities (0.1%):

 

470,000

  National Grid Electricity Transmission, 0.19%, 1/20/25, Callable 10/20/24 @ 100+(a)      554,334  

500,000

  RTE Reseau de Transport d’Electricite, Series E, 1.63%, 10/8/24, Callable 7/8/24 @ 100+(a)      624,065  

900,000

  RTE Reseau de Transport d’Electricite SADIR, 4.13%,
2/3/21+(a)
     1,069,741  
    

 

 

 

       2,248,140  
    

 

 

 

Electrical Equipment (0.1%):

 

1,565,000

  Eaton Capital Unlimited Co., 0.02%, 5/14/21, Callable 4/14/21 @ 100+(a)      1,834,200  

400,000

  Schneider Electric SE, 6/12/23, Callable 5/12/23 @ 100+(a)      470,334  

400,000

  Schneider Electric SE, Series E, 0.25%, 9/9/24, Callable 6/9/24 @ 100+(a)      475,229  
    

 

 

 

       2,779,763  
    

 

 

 

Electronic Equipment, Instruments & Components (0.0%):

 

750,000

  Amphenol Technologies Holding GmbH, 0.75%, 5/4/26, Callable 2/4/26 @ 100+(a)      889,446  
    

 

 

 

Equity Real Estate Investment Trusts (0.1%):

 

200,000

  Icade Sante SAS, 1.38%, 9/17/30, Callable 6/17/30 @ 100+(a)      237,493  
Principal
Amount
        Fair Value

Foreign Bonds, continued

 

Equity Real Estate Investment Trusts, continued

 

$600,000

  Unibail-Rodamco-Westfield SE, 2.00%, 6/29/32, Callable 3/29/32 @ 100+(a)    $ 736,280    
    

 

 

 

       973,773  
    

 

 

 

Health Care Equipment & Supplies (0.2%):

 

730,000

  DH Europe Finance II Sarl, 0.20%, 3/18/26, Callable 12/18/25 @ 100+      852,815  

265,000

  DH Europe Finance II Sarl, 1.35%, 9/18/39, Callable 3/18/39 @ 100+      306,840  

1,970,000

  Medtronic Global Holdings SCA, 12/2/22, Callable 11/2/22 @ 100+      2,312,513  

320,000

  Medtronic Global Holdings SCA, 1.38%, 10/15/40, Callable 4/15/40 @ 100+      382,554  
    

 

 

 

           3,854,722  
    

 

 

 

Independent Power and Renewable
Electricity Producers (0.0%):

 

100,000

  Eurogrid GmbH, 1.11%, 5/15/32, Callable 2/15/32 @ 100+(a)      125,144  
    

 

 

 

Industrial Conglomerates (0.1%):

 

2,215,000

  Siemens Financieringsmaatschappij NV, Series E, 9/5/21+(a)      2,600,318  
    

 

 

 

Internet & Direct Marketing Retail (0.0%):

 

650,000

  Booking Holdings, Inc., 1.80%, 3/3/27, Callable 12/3/26 @ 100+      803,108  
    

 

 

 

IT Services (0.2%):

 

700,000

  Amadeus IT Group SA, 2.88%, 5/20/27, Callable 2/20/27 @ 100+(a)      871,000  

1,200,000

  Amadeus IT Group SA, 1.88%, 9/24/28, Callable 6/24/28 @ 100+(a)      1,376,282  

915,000

  Fiserv, Inc., 1.63%, 7/1/30, Callable 4/1/30 @ 100+      1,144,195  
    

 

 

 

       3,391,477  
    

 

 

 

Machinery (0.0%):

 

600,000

  KION Group AG, 1.63%, 9/24/25, Callable 6/24/25 @ 100+(a)      699,022  
    

 

 

 

Media (0.2%):

 

505,000

  Discovery Communications LLC, 1.90%, 3/19/27, Callable 12/19/26 @ 100+      618,353  

1,300,000

  Informa plc, 1.25%, 4/22/28, Callable 1/22/28 @ 100+(a)      1,389,063  

610,000

  SES SA, 2.00%, 7/2/28, Callable 4/2/28 @ 100+(a)      741,715  

495,000

  Sky, Ltd., Series E, 1.50%, 9/15/21+(a)      589,622  

560,000

  WPP Finance SA, 2.38%, 5/19/27+(a)      715,267  
    

 

 

 

       4,054,020  
    

 

 

 

Multi-Utilities (0.4%):

 

1,300,000

  E.ON SE, Series E, 10/24/22, Callable 9/24/22 @ 100+(a)      1,526,801  

1,400,000

  Engie SA, Series E, 0.38%, 2/28/23, Callable 11/28/22 @ 100+(a)      1,659,281  

600,000

  Engie SA, 1.75%, 3/27/28, Callable 12/27/27 @ 100+(a)      781,726  

395,000

  ESB Finance DAC, Series E, 3.49%, 1/12/24+(a)      513,988  

280,000

  Innogy Finance BV, Series E, 0.75%, 11/30/22, Callable 8/30/22 @ 100+(a)      333,465  

200,000

  Redexis Gas Finance BV, 1.88%, 5/28/25, Callable 2/28/25 @ 100+(a)      245,509  

100,000

  Suez SA, 1.63%(EUAMDB05+215.100000000000bps), 12/31/99, Callable 6/1/26 @ 100+(a)      111,955  

100,000

  Terega SA, 0.88%, 9/17/30, Callable 6/17/30 @ 100+(a)      116,852  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal
Amount
        Fair Value

Foreign Bonds, continued

 

Multi-Utilities, continued

 

$1,300,000

  Veolia Environnement SA, Series E, 0.67%, 3/30/22, Callable 12/30/21 @ 100+(a)    $ 1,538,079    

200,000

  Veolia Environnement SA, 1.59%, 1/10/28, Callable 10/10/27 @ 100+(a)      254,526  

100,000

  Veolia Environnement SA, 0.80%, 1/15/32, Callable 10/15/31 @ 100+(a)      118,227  
    

 

 

 

       7,200,409  
    

 

 

 

Oil, Gas & Consumable Fuels (0.1%):

 

720,000

  Digital Dutch Finco BV, 1.50%, 3/15/30, Callable 12/15/29 @ 100+(a)      881,131  

600,000

  Digital Dutch Finco BV, 1.00%, 1/15/32, Callable 10/15/31 @ 100+(a)      694,612  

390,000

  Equinor ASA, 1.38%, 5/22/32, Callable 2/22/32 @ 100+(a)      497,510  
    

 

 

 

           2,073,253  
    

 

 

 

Pharmaceuticals (0.4%):

 

475,000

  Abbott Ireland Financing DAC, 0.88%, 9/27/23, Callable 8/27/23 @ 100+(a)      572,860  

490,000

  Abbott Ireland Financing DAC, 0.10%, 11/19/24, Callable 10/19/24 @ 100+(a)      577,250  

700,000

  Bayer AG, 1.38%, 7/6/32, Callable 4/6/32 @ 100+(a)      837,395  

2,200,000

  Merck Financial Services GmbH, Series E, 0.01%, 12/15/23, Callable 9/15/23 @
100+(a)
     2,583,121  

500,000

  Merck Financial Services GmbH, 0.13%, 7/16/25, Callable 4/16/25 @ 100+(a)      589,154  

740,000

  Novartis Finance SA, 0.50%, 8/14/23, Callable 5/14/23 @ 100+(a)      883,911  

1,125,000

  Takeda Pharmaceutical Co., Ltd., 2.00%, 7/9/40, Callable 1/9/40 @ 100+      1,396,405  

840,000

  Upjohn Finance BV, 1.02%, 6/23/24, Callable 5/23/24 @ 100+(a)      1,004,520  
    

 

 

 

       8,444,616  
    

 

 

 

Professional Services (0.0%):

 

520,000

  RELX Finance BV, 0.04%, 3/18/24, Callable 2/18/24 @ 100+(a)      608,709  

220,000

  Wolters Kluwer NV, 0.75%, 7/3/30, Callable 4/3/30 @ 100+(a)      263,246  
    

 

 

 

       871,955  
    

 

 

 

Textiles, Apparel & Luxury Goods (0.1%):

 

100,000

  Kering SA, 0.75%, 5/13/28, Callable 2/13/28 @ 100+(a)      121,093  

200,000

  LVMH Moet Hennessy Louis Vuitton SE, Series E, 2/28/21+(a)      234,602  

690,000

  LVMH Moet Hennessy Louis Vuitton SE, Series E, 0.38%, 5/26/22, Callable 2/26/22 @ 100+(a)      815,006  

900,000

  LVMH Moet Hennessy Louis Vuitton SE, 2/11/24, Callable 12/11/23 @ 100+(a)      1,057,449  

220,000

  Richemont International Holding SA, 0.75%, 5/26/28, Callable 2/26/28 @
100+(a)
     268,448  
    

 

 

 

       2,496,598  
    

 

 

 

Total Foreign Bonds (Cost $93,279,211)

     98,243,875  
    

 

 

 

Yankee Dollars (6.1%):

 

Airlines (0.0%):

 

219,333

  Air Canada Pass Through Trust, Class B, Series 2015-2, 5.00%, 6/15/25(a)      178,756  

300,696

  Air Canada Pass Through Trust, Class A, Series 2017-1, 3.30%, 7/15/31(a)      279,816  
    

 

 

 

       458,572  
    

 

 

 

Principal
Amount
        Fair Value

Yankee Dollars, continued

 

Auto Components (0.0%):

 

$863,000

  Magna International, Inc., 2.45%, 6/15/30, Callable 3/15/30 @ 100    $     905,776    
    

 

 

 

Banks (1.9%):

 

2,400,000

  Banco Santander SA, 2.71%, 6/27/24      2,529,269  

3,033,000

  Barclays plc, 4.34%(US0003M+136bps), 5/16/24, Callable 5/16/23 @ 100      3,252,894  

423,000

  BNP Paribas SA, 3.50%, 3/1/23(a)      448,909  

1,525,000

  BNP Paribas SA, 3.38%, 1/9/25(a)      1,652,871  

1,003,000

  BNP Paribas SA, 2.82%(US0003M+1bps), 11/19/25, Callable 11/19/24 @ 100(a)      1,056,787  

470,000

  BPCE SA, 3.00%, 5/22/22(a)      486,235  

1,172,000

  BPCE SA, 2.70%, 10/1/29(a)      1,258,947  

250,000

  Danske Bank A/S, 3.00%(US0003M+125bps), 9/20/22, Callable 9/20/21 @ 100(a)      254,457  

580,000

  Danske Bank A/S, 3.88%, 9/12/23(a)      622,809  

200,000

  Danske Bank A/S, 1.17%, 12/8/23, Callable 12/8/22 @ 100(a)      199,955  

1,389,000

  Danske Bank A/S, 5.38%, 1/12/24(a)      1,560,968  

4,158,000

  Danske Bank A/S, 1.23%, 6/22/24, Callable 6/22/23 @ 100(a)      4,198,969  

286,000

  Danske Bank A/S, 1.62%, 9/11/26, Callable 9/11/25 @ 100(a)      283,737  

2,053,000

  HSBC Holdings plc, 3.26%(US0003M+106bps), 3/13/23, Callable 3/13/22 @ 100      2,123,605  

290,000

  HSBC Holdings plc, 2.01%(SOFR+173bps), 9/22/28, Callable 9/22/27 @ 100      285,265  

890,000

  HSBC Holdings plc, 4.58%(US0003M+153bps), 6/19/29, Callable 6/19/28 @ 100      1,023,415  

854,000

  HSBC Holdings plc, 3.97%(US0003M+161bps), 5/22/30, Callable 5/22/29 @ 100      948,288  

364,000

  ING Groep NV, 4.10%, 10/2/23      398,956  

615,000

  ING Groep NV, 1.40%(H15T1Y+110bps), 7/1/26, Callable 7/1/25 @ 100(a)      622,968  

1,164,000

  Lloyds Banking Group plc, 2.86%(US0003M+125bps), 3/17/23, Callable 3/17/22 @ 100      1,195,963  

205,000

  Lloyds Banking Group plc, 4.05%, 8/16/23      221,389  

1,128,000

  Lloyds Banking Group plc, 2.91%(US0003M+81bps), 11/7/23, Callable 11/7/22 @ 100      1,170,300  

605,000

  Mitsubishi UFJ Financial Group, Inc., 2.95%, 3/1/21      611,820  

3,641,000

  Mitsubishi UFJ Financial Group, Inc., 3.20%, 7/18/29      4,003,137  

2,395,000

  Mizuho Financial Group, Inc., 2.84%(US0003M+98bps), 7/16/25, Callable 7/16/24 @ 100      2,539,583  

1,015,000

  Mizuho Financial Group, Inc., 2.56%(US0003M+110bps), 9/13/25, Callable 9/13/24 @ 100      1,064,395  

2,092,000

  Mizuho Financial Group, Inc., 2.23%(US0003M+83bps), 5/25/26, Callable 5/25/25 @ 100      2,185,697  

555,000

  Mizuho Financial Group, Inc., 2.20%(US0003M+151bps), 7/10/31, Callable 7/10/30 @ 100      565,473  

575,000

  Mizuho Financial Group, Inc., 1.98%(US0003M+127bps), 9/8/31, Callable 9/8/30 @ 100      574,561  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal
Amount
        Fair Value

Yankee Dollars, continued

 

Banks, continued

 

$200,000

  Santander UK Group Holdings plc, 4.80%(US0003M+157bps), 11/15/24, Callable 11/15/23 @ 100    $ 219,774    

1,591,000

  Sumitomo Mitsui Financial Group, Inc., 3.04%, 7/16/29      1,738,801  

200,000

  Sumitomo Mitsui Financial Group, Inc., 2.13%, 7/8/30      202,517  
    

 

 

 

           39,502,714  
    

 

 

 

Beverages (0.1%):

 

2,250,000

  Suntory Holdings, Ltd., 2.25%, 10/16/24, Callable 9/16/24 @ 100(a)      2,351,596  
    

 

 

 

Biotechnology (0.1%):

 

1,448,000

  Shire Acquisitions Investments, 3.20%, 9/23/26, Callable 6/23/26 @ 100      1,607,025  
    

 

 

 

Capital Markets (0.3%):

 

345,000

  Credit Suisse AG, 3.63%, 9/9/24      381,587  

576,000

  Credit Suisse Group AG, 2.59%(SOFR+156bps), 9/11/25, Callable 9/11/24 @ 100(a)      600,274  

544,000

  Credit Suisse Group Funding Guernsey, Ltd., 3.75%, 3/26/25      600,104  

1,145,000

  Deutsche Bank AG, 4.25%, 10/14/21      1,177,574  

206,000

  Deutsche Bank AG, 4.10%, 1/13/26^      219,295  

2,000

  Macquarie Group, Ltd., 4.65%(US0003M+173bps), 3/27/29, Callable 3/27/28 @ 100(a)      2,300  

400,000

  Nomura Holdings, Inc., 2.68%, 7/16/30      411,531  

1,888,000

  UBS Group AG, 2.86%(US0003M+95bps), 8/15/23, Callable 8/15/22 @ 100(a)      1,957,883  

395,000

  UBS Group AG, 4.13%, 9/24/25(a)      449,276  
    

 

 

 

       5,799,824  
    

 

 

 

Chemicals (0.0%):

 

220,000

  LYB International Finance BV, 4.00%, 7/15/23      238,711  
    

 

 

 

Communications Equipment (0.0%):

 

125,000

  Tyco Electronics Group SA, 3.45%, 8/1/24, Callable 5/1/24 @ 100      135,635  

6,000

  Tyco Electronics Group SA, 3.13%, 8/15/27, Callable 5/15/27 @ 100      6,526  
    

 

 

 

       142,161  
    

 

 

 

Consumer Finance (0.2%):

 

1,675,000

  Hyundai Capital Services, Inc., 3.00%, 8/29/22(a)      1,735,066  

1,390,000

  Hyundai Capital Services, Inc., 3.75%, 3/5/23(a)      1,470,884  
    

 

 

 

       3,205,950  
    

 

 

 

Diversified Financial Services (0.5%):

 

2,019,000

  GE Capital International Funding, 4.42%, 11/15/35      2,123,806  

9,000

  Nvent Finance Sarl, 4.55%, 4/15/28, Callable 1/15/28 @ 100      9,728  

432,000

  NXP BV/NXP Funding LLC, 3.88%,
9/1/22(a)
     456,372  

1,396,000

  NXP BV/NXP Funding LLC, 4.63%,
6/1/23(a)
     1,527,076  

323,000

  NXP BV/NXP Funding LLC, 5.55%, 12/1/28, Callable 9/1/28 @ 100(a)      399,680  

452,000

  NXP BV/NXP Funding LLC/NXP USA, Inc., 4.30%, 6/18/29, Callable 3/18/29 @ 100(a)      521,637  

720,000

  NXP BV/NXP Funding LLC/NXP USA, Inc., 3.40%, 5/1/30, Callable 2/1/30 @
100(a)
     787,261  

1,040,000

  ORIX Corp., 2.90%, 7/18/22      1,077,851  

160,000

  Shell International Finance BV, 2.50%, 9/12/26      174,371  
Principal
Amount
        Fair Value

Yankee Dollars, continued

 

Diversified Financial Services, continued

 

$1,642,000

  Shell International Finance BV, 2.38%, 11/7/29, Callable 8/7/29 @ 100    $ 1,733,278    

242,000

  Total Capital International SA, 3.70%, 1/15/24      265,454  

920,000

  Total Capital International SA, 3.75%, 4/10/24      1,016,139  

495,000

  Total Capital International SA, 2.43%, 1/10/25, Callable 10/10/24 @ 100      527,177  
    

 

 

 

           10,619,830  
    

 

 

 

Diversified Telecommunication Services (0.0%):

 

389,000

  Deutsche Telekom International Finance BV, 2.49%, 9/19/23, Callable 7/19/23 @ 100(a)      406,509  
    

 

 

 

Food & Staples Retailing (0.0%):

 

850,000

  Seven & I Holdings Co., Ltd., 3.35%, 9/17/21(a)      869,949  
    

 

 

 

Insurance (0.1%):

 

196,000

  Aon plc, 4.45%, 5/24/43, Callable 2/24/43 @ 100      233,143  

955,000

  Aon plc, 4.60%, 6/14/44, Callable 3/14/44 @ 100      1,214,930  
    

 

 

 

       1,448,073  
    

 

 

 

Interactive Media & Services (0.2%):

 

490,000

  Baidu, Inc., 4.38%, 5/14/24, Callable 4/14/24 @ 100      538,358  

475,000

  Baidu, Inc., 4.38%, 3/29/28, Callable 12/29/27 @ 100      543,618  

1,511,000

  Tencent Holdings, Ltd., 2.99%, 1/19/23, Callable 12/19/22 @ 100(a)      1,573,494  

515,000

  Tencent Holdings, Ltd., 3.60%, 1/19/28, Callable 10/19/27 @ 100(a)      566,189  
    

 

 

 

       3,221,659  
    

 

 

 

Internet & Direct Marketing Retail (0.0%):

 

320,000

  Alibaba Group Holding, Ltd., 2.80%, 6/6/23, Callable 5/6/23 @ 100      336,887  
    

 

 

 

Media (0.0%):

 

460,000

  Sky, Ltd., 3.75%, 9/16/24(a)      514,085  
    

 

 

 

Metals & Mining (0.1%):

 

1,004,000

  Anglo American Capital plc, 2.63%, 9/10/30, Callable 6/10/30 @ 100(a)      998,692  
    

 

 

 

Oil, Gas & Consumable Fuels (0.2%):

 

555,000

  Ecopetrol SA, 4.13%, 1/16/25      582,056  

1,164,000

  Shell International Finance BV, 3.88%, 11/13/28, Callable 8/13/28 @ 100      1,358,175  

236,000

  Shell International Finance BV, 4.38%, 5/11/45      286,618  

134,000

  Suncor Energy, Inc., 5.95%, 12/1/34      165,986  

298,000

  Suncor Energy, Inc., 6.80%, 5/15/38      387,706  

208,000

  Suncor Energy, Inc., 6.50%, 6/15/38      266,031  
    

 

 

 

       3,046,572  
    

 

 

 

Pharmaceuticals (0.2%):

 

1,835,000

  AstraZeneca plc, 3.38%, 11/16/25      2,059,011  

403,000

  AstraZeneca plc, 1.38%, 8/6/30, Callable 5/6/30 @ 100      393,240  

688,000

  Takeda Pharmaceutical Co., Ltd., 5.00%, 11/26/28, Callable 8/26/28 @ 100      853,743  
    

 

 

 

       3,305,994  
    

 

 

 

Real Estate Management & Development (0.0%):

 

250,000

  Mitsui Fudosan Co., Ltd., 2.95%, 1/23/23, Callable 12/23/22 @ 100(a)      261,262  
    

 

 

 

Road & Rail (0.0%):

 

453,000

  Canadian Pacific Railway, Ltd., 2.05%, 3/5/30, Callable 12/5/29 @ 100      473,704  
    

 

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal

Amount

        Fair Value

Yankee Dollars, continued

 

Sovereign Bond (2.1%):

 

$782,000

  Indonesia Government International Bond, 3.85%, 10/15/30    $     885,650    

5,119,000

  Mexico Government International Bond, 4.15%, 3/28/27      5,691,355  

910,000

  Mexico Government International Bond, 3.75%, 1/11/28      976,664  

589,561

  Oriental Republic of Uruguay, 4.50%, 8/14/24^      642,787  

2,175,000

  Oriental Republic of Uruguay, 4.38%, 10/27/27      2,506,688  

655,000

  Panama Government International Bond, 3.16%, 1/23/30, Callable 10/23/29 @ 100      710,675  

1,020,000

  Panama Government International Bond, 4.50%, 4/1/56, Callable 10/1/55 @ 100      1,273,725  

689,000

  Province of Manitoba, 3.05%, 5/14/24      750,702  

704,000

  Republic of Chile, 3.24%, 2/6/28, Callable 11/6/27 @ 100      781,546  

3,516,000

  Republic of Colombia, 3.88%, 4/25/27, Callable 1/25/27 @ 100      3,790,705  

275,000

  Republic of Colombia, 4.50%, 3/15/29, Callable 12/15/28 @ 100      307,706  

4,767,000

  Republic of Colombia, 3.00%, 1/30/30, Callable 10/30/29 @ 100      4,921,294  

581,000

  Republic of Indonesia, 4.10%, 4/24/28      660,884  

1,590,000

  Republic of Indonesia, 2.85%, 2/14/30^      1,669,454  

575,000

  Republic of Panama, 4.00%, 9/22/24, Callable 6/22/24 @ 100      628,188  

420,000

  Republic of Panama, 3.88%, 3/17/28, Callable 12/17/27 @ 100      475,650  

540,000

  Republic of Panama, 4.50%, 5/15/47      674,325  

980,000

  Republic of Peru, 4.13%, 8/25/27      1,142,541  

281,000

  Republic of Peru, 5.63%, 11/18/50      447,969  

3,200,000

  Republic of Philippines, 3.00%, 2/1/28      3,520,912  

2,741,000

  United Mexican States, 4.50%, 4/22/29      3,068,769  

6,325,000

  United Mexican States, 3.25%, 4/16/30, Callable 1/16/30 @ 100^      6,420,621  

1,260,000

  Uruguay Government International Bond, 4.38%, 1/23/31, Callable 10/23/30 @ 100      1,499,400  
    

 

 

 

           43,448,210  
    

 

 

 

Wireless Telecommunication Services (0.1%):

 

1,297,000

  Vodafone Group plc, 4.13%, 5/30/25      1,478,606  

457,000

  Vodafone Group plc, 4.38%, 2/19/43      528,611  

759,000

  Vodafone Group plc, 5.25%, 5/30/48      972,356  
    

 

 

 

       2,979,573  
    

 

 

 

Total Yankee Dollars (Cost $120,082,976)

     126,143,328  
    

 

 

 

Municipal Bonds (1.3%):

 

California (0.1%):

  

400,000

  California State University Revenue, 2.90%, 11/1/51, Continuously Callable @100      401,736  

1,055,000

  San Diego Community College District, GO, 3.34%, 8/1/43, Continuously Callable @100      1,120,684  

160,000

  State of California, Build America Bonds, GO, 7.63%, 3/1/40      273,578  

347,000

  University of California Revenue, 4.77%, 5/15/15      486,220  

50,000

  University of California Revenue, 4.86%, 5/15/12      70,887  
    

 

 

 

       2,353,105  
    

 

 

 

Ohio (0.0%):

 

490,000

  City of Cleveland Airport System Revenue, 2.88%, 1/1/31      504,043  
    

 

 

 

Massachusetts (0.2%):

 

620,000

  Commonwealth of Massachusetts, GO, 5.00%, 3/1/29      826,243  

Principal

Amount

        Fair Value

Municipal Bonds, continued

 

Massachusetts, continued

 

$450,000

  Massachusetts School Building Authority Revenue, Series B, 5.00%, 10/15/41, Pre-refunded 10/15/21 @ 100    $ 472,838    

1,260,000

  Massachusetts School Building Authority Revenue, 3.40%, 10/15/40, Continuously Callable @100      1,349,321  

1,780,000

  Massachusetts Water Resources Authority Revenue, 3.10%, 8/1/39, Continuously Callable @100      1,876,245  
    

 

 

 

       4,524,647  
    

 

 

 

North Carolina (0.1%):

 

450,000

  County of Mecklenburg NC, GO, 5.00%, 3/1/30, Continuously Callable @100      596,525  

1,610,000

  State of North Carolina, GO, 5.00%, 6/1/30, Continuously Callable @100      2,163,099  
    

 

 

 

       2,759,624  
    

 

 

 

Florida (0.0%):

 

140,000

  County of Miami-Dade FL Aviation Revenue, 3.28%, 10/1/29      149,743  

520,000

  County of Miami-Dade FL Water & Sewer System Revenue, 3.49%, 10/1/42, Continuously Callable @100      557,518  
    

 

 

 

       707,261  
    

 

 

 

New Jersey (0.1%):

 

575,000

  New Jersey State Transportation Authority Revenue, Build America Bonds, GO, 6.56%, 12/15/40      724,379  

270,000

  New Jersey Transportation Trust Fund Authority Revenue, 4.13%, 6/15/42      262,067  

350,000

  Rutgers The State University of New Jersey Revenue, 3.27%, 5/1/43      376,901  
    

 

 

 

           1,363,347  
    

 

 

 

New York (0.1%):

 

885,000

  New York State Thruway Authority Revenue, 2.90%, 1/1/35      948,401  
    

 

 

 

Delaware (0.0%):

 

550,000

  State of Delaware, GO, 5.00%, 1/1/30      752,213  
    

 

 

 

Lousiana (0.1%):

 

870,000

  State of Louisiana, GO, 5.00%, 3/1/28      1,127,137  

830,000

  State of Louisiana, GO, 5.00%, 3/1/27      1,052,033  
    

 

 

 

       2,179,170  
    

 

 

 

Maryland (0.3%):

 

1,665,000

  State of Maryland, GO, 5.00%, 3/15/29      2,238,676  

2,605,000

  State of Maryland, GO, 5.00%, 3/15/28      3,424,975  

665,000

  State of Maryland, GO, 5.00%, 3/15/27      856,979  
    

 

 

 

       6,520,630  
    

 

 

 

Minnesota (0.1%):

 

730,000

  State of Minnesota, GO, 5.00%, 8/1/29, Continuously Callable @100      963,622  
    

 

 

 

Oregon (0.0%):

 

635,000

  State of Oregon Department of Transportation Revenue, 3.17%, 11/15/38, Continuously Callable @100      682,263  
    

 

 

 

Pennsylvania (0.0%):

 

530,000

  The Pennsylvania State University Revenue, Series D, 2.84%, 9/1/50      544,496  
    

 

 

 

Michigan (0.1%):

 

1,024,000

  University of Michigan Revenue, 2.44%, 4/1/40, Continuously Callable @100      1,046,446  
    

 

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal

Amount

         Fair Value

Municipal Bonds, continued

 

Nebraska (0.1%):

 

$1,175,000

   University of Nebraska Facilities Corp. Revenue, 3.04%, 10/1/49    $     1,293,052    
     

 

 

 

Total Municipal Bonds (Cost $26,179,900)

     27,142,320  
     

 

 

 

U.S. Government Agency Mortgages (29.3%):

 

Federal Home Loan Bank (0.3%):

 

4,080,000

   3.56%, 5/16/33      5,178,936  
     

 

 

 

        5,178,936  
     

 

 

 

Federal Home Loan Mortgage Corporation (3.8%):

 

3,650,000

   Class A2, Series KC02, 3.37%, 7/25/25      3,957,111  

1,057,314

   Class A1, Series KIR2, 2.75%, 3/25/27      1,120,827  

199,881

   3.00%, 9/1/27, Pool #U70060      210,957  

3,185,000

   Class A2, Series K076, 3.90%, 4/25/28      3,823,115  

11,000

   Class A2, Series K078, 3.85%, 6/25/28, Callable 6/25/28 @ 100      13,168  

102,522

   3.00%, 7/1/28, Pool #U79018      108,610  

1,180,000

   Class A2, Series K083, 4.05%, 9/25/28, Callable 9/25/28 @ 100      1,434,148  

3,293,000

   Class A2, Series K084, 3.78%, 10/25/28      3,896,706  

1,050,000

   Class A2, Series K088, 3.69%, 1/25/29      1,254,719  

591,000

   1.15%, 9/15/29(c)      534,869  

37,497

   3.00%, 1/1/30, Pool #V60696      40,133  

48,029

   3.00%, 1/1/30, Pool #V60724      51,443  

75,294

   2.50%, 3/1/30, Pool #V60770      79,360  

123,627

   2.50%, 5/1/30, Pool #V60796      131,002  

82,227

   2.50%, 5/1/30, Pool #J31418      86,638  

195,286

   2.50%, 5/1/30, Pool #J31728      204,900  

172,786

   3.00%, 5/1/30, Pool #J31689      185,996  

336,415

   3.00%, 6/1/30, Pool #V60840      361,158  

31,836

   2.50%, 7/1/30, Pool #J32209      33,547  

33,043

   2.50%, 7/1/30, Pool #J32204      34,876  

8,067

   2.50%, 7/1/30, Pool #J32491      8,461  

8,419

   2.50%, 7/1/30, Pool #V60905      8,921  

156,169

   3.00%, 7/1/30, Pool #G15520      167,242  

19,451

   3.00%, 7/1/30, Pool #J32181      20,949  

32,935

   3.00%, 8/1/30, Pool #V60909      35,358  

137,378

   2.50%, 8/1/30, Pool #V60886      146,663  

20,123

   3.00%, 8/1/30, Pool #J32436      21,545  

112,143

   2.50%, 8/1/30, Pool #V60902      119,917  

341,638

   2.50%, 9/1/30, Pool #V60904      362,023  

107,684

   2.50%, 9/1/30, Pool #V60903      113,646  

190,000

   6.75%, 3/15/31      297,281  

197,000

   1.35%, 3/15/31(c)      172,264  

550,445

   2.50%, 4/1/31, Pool #G16186      582,257  

108,204

   5.50%, 2/1/35, Pool #G04692      125,488  

116,988

   3.00%, 9/1/37, Pool #ZA2471      124,074  

166,332

   6.00%, 4/1/39, Pool #G07613      196,939  

30,393

   4.50%, 12/1/39, Pool #A90196      34,116  

1,589,332

   3.50%, 1/1/40, Pool #RB5028      1,688,621  

182,054

   3.50%, 2/1/40, Pool #RB5034      193,518  

28,211

   4.50%, 7/1/40, Pool #A93010      31,457  

39,909

   4.00%, 8/1/40, Pool #A93534      43,602  

588,527

   4.50%, 9/1/40, Pool #A93700      656,373  

207,242

   4.00%, 9/1/40, Pool #A93851      232,695  

36,073

   4.00%, 10/1/40, Pool #A95923      40,088  

27,426

   4.00%, 11/1/40, Pool #A94779      30,481  

31,084

   4.00%, 11/1/40, Pool #A94977      34,556  

35,816

   4.00%, 11/1/40, Pool #A95144      40,337  

2,158

   4.00%, 4/1/41, Pool #Q00093      2,377  

83,528

   4.50%, 5/1/41, Pool #Q00804      93,104  

89,125

   4.50%, 5/1/41, Pool #Q00959      99,113  

401,558

   Class FL, Series 4248, 0.60%(US0001M+45bps), 5/15/41      396,899  

451,001

   5.50%, 6/1/41, Pool #G07553      514,921  

464,271

   3.50%, 10/1/41, Pool #G08462      499,768  

61,509

   4.00%, 10/1/41, Pool #Q04022      69,383  

Principal

Amount

         Fair Value

U.S. Government Agency Mortgages, continued

 

Federal Home Loan Mortgage Corporation, continued

 

$34,482

   4.00%, 10/1/41, Pool #Q03841    $ 38,929    

97,920

   5.00%, 10/1/41, Pool #G07642          110,308  

215,176

   3.50%, 4/1/42, Pool #Q07417      237,364  

239,328

   3.50%, 4/1/42, Pool #C03811      266,448  

23,197

   3.50%, 5/1/42, Pool #Q08239      25,463  

7,179

   3.50%, 5/1/42, Pool #Q08306      7,883  

12,208

   3.50%, 5/1/42, Pool #Q07896      13,150  

27,356

   3.50%, 8/1/42, Pool #Q12162      30,179  

199,546

   3.50%, 8/1/42, Pool #G07106      220,141  

324,678

   3.50%, 8/1/42, Pool #Q10724      349,753  

28,617

   3.50%, 10/1/42, Pool #Q11750      30,811  

17,952

   3.50%, 10/1/42, Pool #Q11909      19,812  

407,649

   3.50%, 11/1/42, Pool #Q13134      440,329  

239,497

   3.00%, 12/1/42, Pool #C04320      257,281  

270,054

   3.00%, 1/1/43, Pool #Q14866      288,030  

164,098

   3.00%, 3/1/43, Pool #Q16403      174,093  

256,097

   3.00%, 3/1/43, Pool #Q16673      271,723  

128,916

   3.50%, 6/1/43, Pool #Q18718      141,371  

197,167

   3.50%, 7/1/43, Pool #Q20206      219,018  

87,191

   3.50%, 8/1/43, Pool #Q21320      94,632  

87,933

   4.00%, 9/1/43, Pool #Q21579      99,719  

2,981,365

   3.00%, 9/1/43, Pool #G60675      3,269,100  

249,464

   3.00%, 10/1/43, Pool #G60037      268,035  

276,068

   4.50%, 12/1/43, Pool #Q23779      305,085  

205,363

   4.50%, 12/1/43, Pool #G60018      223,903  

21,304

   3.50%, 1/1/44, Pool #Q24368      23,659  

930,633

   Class XZ, Series 4316, 4.50%, 3/15/44      1,157,714  

107,850

   4.00%, 4/1/44, Pool #Q25643      119,177  

15,123

   3.50%, 4/1/44, Pool #Q25812      16,933  

885,338

   3.50%, 4/1/44, Pool #G07848      969,923  

1,360,501

   Class ZX, Series 4352, 4.00%, 4/15/44      1,509,468  

23,533

   3.50%, 5/1/44, Pool #Q26218      26,003  

18,112

   3.50%, 5/1/44, Pool #Q26452      20,293  

15,484

   3.50%, 5/1/44, Pool #Q25988      17,332  

32,647

   3.50%, 5/1/44, Pool #Q26362      35,882  

16,361

   3.50%, 6/1/44, Pool #Q26707      18,017  

111,104

   3.50%, 6/1/44, Pool #Q28764      122,637  

21,631

   3.50%, 7/1/44, Pool #Q27319      23,911  

157,164

   4.00%, 7/1/44, Pool #G60901      173,191  

78,074

   3.50%, 8/1/44, Pool #Q27843      87,444  

37,196

   3.50%, 9/1/44, Pool #Q28604      41,111  

16,080

   3.50%, 9/1/44, Pool #Q28763      17,602  

98,522

   3.50%, 9/1/44, Pool #Q28605      110,348  

6,109

   3.50%, 11/1/44, Pool #Q29697      6,651  

2,324

   3.50%, 11/1/44, Pool #Q29911      2,542  

28,513

   3.50%, 1/1/45, Pool #Q31122      31,105  

40,257

   3.50%, 1/1/45, Pool #Q30876      44,036  

29,486

   4.00%, 2/1/45, Pool #Q31338      33,813  

14,024

   4.00%, 2/1/45, Pool #Q31128      16,075  

88,201

   3.50%, 5/1/45, Pool #Q33606      96,141  

10,987

   3.50%, 5/1/45, Pool #Q33131      11,960  

76,868

   3.50%, 6/1/45, Pool #Q34176      83,703  

2,367

   3.50%, 7/1/45, Pool #Q34960      2,580  

25,121

   3.50%, 9/1/45, Pool #Q36302      28,152  

217,773

   4.00%, 10/1/45, Pool #Q36972      241,022  

8,766

   3.50%, 10/1/45, Pool #V81932      9,548  

32,544

   4.00%, 12/1/45, Pool #Q37955      37,295  

36,178

   4.00%, 12/1/45, Pool #Q37957      40,917  

365,278

   3.50%, 1/1/46, Pool #G60393      397,262  

27,679

   3.50%, 2/1/46, Pool #V82209      30,083  

253,880

   3.50%, 3/1/46, Pool #Q39250      276,539  

330,105

   3.50%, 5/1/46, Pool #G60561      361,064  

524,175

   4.00%, 7/1/46, Pool #V82528      578,640  

261,544

   4.00%, 8/1/46, Pool #V82553      288,676  

7,501,052

   3.00%, 8/1/46, Pool #G60717      8,075,372  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal

Amount

         Fair Value

U.S. Government Agency Mortgages, continued

 

Federal Home Loan Mortgage Corporation, continued

 

$642,405

   Class FB, Series 4606, 0.65%(US0001M+50bps), 8/15/46    $ 643,141    

37,576

   4.00%, 9/1/46, Pool #G60729      41,469  

442,455

   3.00%, 9/1/46, Pool #G60718      471,124  

2,882,806

   3.00%, 9/1/46, Pool #Q43104          3,104,469  

1,107,623

   3.00%, 9/1/46, Pool #Q42979      1,178,784  

83,976

   4.00%, 10/1/46, Pool #V82661      92,664  

1,478,633

   3.00%, 12/1/46, Pool #V82781      1,568,993  

114,843

   3.00%, 12/1/46, Pool #Q45083      126,114  

230,062

   3.00%, 12/1/46, Pool #Q45080      245,951  

427,654

   3.00%, 12/1/46, Pool #Q45064      455,337  

492,982

   3.00%, 12/1/46, Pool #Q44853      530,875  

1,751,818

   4.00%, 2/1/47, Pool #V82929      1,933,022  

776,319

   3.50%, 3/1/47, Pool #G60968      861,360  

1,905,011

   4.50%, 7/1/47, Pool #G61047      2,131,092  

148,434

   3.50%, 7/1/47, Pool #Q53113      164,439  

552,404

   3.50%, 10/1/47, Pool #G61178      617,829  

726,104

   3.50%, 12/1/47, Pool #G61208      812,190  

1,681,498

   3.50%, 1/1/48, Pool #Q53747      1,811,504  

87,773

   3.50%, 1/1/48, Pool #Q53630      98,220  

161,936

   3.50%, 1/1/48, Pool #Q53648      176,947  

2,219,885

   4.50%, 8/1/48, Pool #G67715      2,479,936  

17,785

   3.00%, 7/1/50, Pool #QB1488      19,591  

36,418

   3.00%, 7/1/50, Pool #QB1486      40,112  

165,651

   3.00%, 7/1/50, Pool #QB1479      181,163  

17,986

   3.00%, 7/1/50, Pool #QB1158      19,292  

115,849

   3.00%, 8/1/50, Pool #QB2339      127,615  

1,223,792

   3.00%, 8/1/50, Pool #RA3282      1,314,532  

1,413,487

   3.00%, 8/1/50, Pool #RA3313      1,499,739  

1,027,532

   3.00%, 8/1/50, Pool #RA3388      1,106,502  

5,100,610

   3.00%, 8/1/50, Pool #SD8084      5,389,185  

1,895,370

   3.00%, 8/1/50, Pool #RA3324      2,041,042  
     

 

 

 

        78,638,334  
     

 

 

 

Federal National Mortgage Association (18.3%):

 

142,280

   2.50%, 9/1/27, Pool #AB6194      149,815  

96,090

   2.50%, 9/1/27, Pool #AP5205      100,439  

33,960

   2.50%, 2/1/28, Pool #AB8446      35,501  

48,644

   3.00%, 4/1/28, Pool #AT3121      52,167  

75,618

   2.50%, 4/1/28, Pool #AB8870      79,531  

51,812

   3.00%, 5/1/28, Pool #AT6033      55,541  

207,257

   2.50%, 8/1/28, Pool #AS0190      217,981  

1,289,000

   Class A2, Series 2018-M14, 3.70%, 8/25/28      1,521,987  

958,265

   3.50%, 9/1/28, Pool #AL4245      1,016,441  

254,304

   3.50%, 10/1/28, Pool #AV0198      269,719  

120,596

   3.00%, 10/1/28, Pool #AU8774      129,346  

12,919

   3.00%, 10/1/28, Pool #AQ4132      13,854  

401,563

   3.50%, 11/1/28, Pool #AV1360      425,910  

13,556

   3.00%, 11/1/28, Pool #AV0298      14,534  

314,363

   3.00%, 4/1/29, Pool #AW0937      337,113  

2,805,000

   Class A2, Series 2019-M7, 3.14%, 4/25/29      3,214,754  

223,432

   3.00%, 5/1/29, Pool #AW2544      239,648  

433,355

   3.00%, 6/1/29, Pool #AS2676      464,626  

533,607

   3.00%, 7/1/29, Pool #AW4229      572,219  

110,079

   3.00%, 7/1/29, Pool #AW1281      117,372  

884,482

   3.00%, 9/1/29, Pool #AL6897      948,548  

276,492

   3.00%, 9/1/29, Pool #AS3220      296,461  

136,653

   3.50%, 9/1/29, Pool #AX0105      146,424  

303,737

   3.50%, 9/1/29, Pool #AL5806      325,437  

1,350,000

   Class A2, Series 2020-M1, 2.44%, 9/25/29      1,494,275  

160,953

   3.00%, 10/1/29, Pool #AS3594      172,594  

37,280

   3.50%, 10/1/29, Pool #AX2741      39,935  

211,754

   3.50%, 12/1/29, Pool #AS3988      226,858  

613,735

   3.00%, 1/1/30, Pool #AL6144      658,123  

2,605,000

   1.20%, 1/15/30(c)      2,340,184  

86,832

   2.50%, 2/1/30, Pool #BM3403      91,008  

Principal

Amount

         Fair Value

U.S. Government Agency Mortgages, continued

 

Federal National Mortgage Association, continued

 

$22,880

   2.50%, 2/1/30, Pool #AS4485    $ 24,225    

26,279

   2.50%, 2/1/30, Pool #AS4488      27,683  

167,561

   2.50%, 3/1/30, Pool #AS4688      178,705  

126,054

   3.00%, 3/1/30, Pool #AL6583      135,691  

102,154

   3.00%, 4/1/30, Pool #AL6584      109,746  

75,312

   2.50%, 4/1/30, Pool #AY3416      79,958  

60,412

   3.00%, 5/1/30, Pool #AL6761      64,792  

40,268

   2.50%, 5/1/30, Pool #AY0828      42,284  

3,901,000

   1.25%, 5/15/30(c)          3,477,648  

329,243

   3.00%, 6/1/30, Pool #AL9381      353,289  

23,184

   2.50%, 7/1/30, Pool #AS5405      24,594  

130,549

   2.50%, 7/1/30, Pool #AS5403      137,718  

22,545

   3.00%, 7/1/30, Pool #AX9700      24,259  

81,308

   3.00%, 7/1/30, Pool #AL7139      87,332  

97,891

   3.00%, 7/1/30, Pool #AX9701      105,151  

14,006

   3.00%, 7/1/30, Pool #AZ2297      15,071  

38,648

   2.50%, 7/1/30, Pool #AZ2170      41,236  

256,075

   2.50%, 8/1/30, Pool #BM3552      269,746  

156,167

   3.00%, 8/1/30, Pool #AL7225      167,753  

139,479

   3.00%, 8/1/30, Pool #AL7227      149,362  

63,227

   2.50%, 8/1/30, Pool #AS5548      66,714  

106,349

   3.00%, 8/1/30, Pool #AS5622      114,222  

118,788

   3.00%, 8/1/30, Pool #AS5623      127,175  

86,747

   2.50%, 8/1/30, Pool #AS5614      92,535  

10,806

   3.00%, 8/1/30, Pool #AZ8597      11,626  

20,885

   3.00%, 8/1/30, Pool #AX3298      22,477  

20,823

   3.50%, 8/1/30, Pool #AS5707      22,191  

668,666

   3.50%, 8/1/30, Pool #AL7430      716,358  

157,211

   2.50%, 8/1/30, Pool #AS5616      166,442  

19,924

   3.00%, 8/1/30, Pool #AZ7833      21,435  

88,282

   3.50%, 8/1/30, Pool #AS5708      95,391  

98,383

   2.50%, 9/1/30, Pool #AS5872      104,943  

77,479

   2.50%, 9/1/30, Pool #AS5786      81,753  

107,465

   3.00%, 9/1/30, Pool #AS5728      115,634  

43,918

   3.00%, 9/1/30, Pool #AZ5719      47,267  

84,038

   3.00%, 9/1/30, Pool #AS5714      90,257  

29,133

   3.00%, 9/1/30, Pool #AL7320      31,242  

85,198

   2.50%, 11/1/30, Pool #AS6115      90,215  

89,212

   2.50%, 11/1/30, Pool #AS6116      94,616  

12,992

   2.50%, 11/1/30, Pool #AL7800      13,804  

93,481

   2.50%, 11/1/30, Pool #AS6141      99,715  

88,716

   2.50%, 11/1/30, Pool #AS6142      93,607  

1,714,012

   3.00%, 1/1/31, Pool #BM3537      1,838,057  

145,363

   2.50%, 3/1/31, Pool #BM1595      152,172  

145,060

   2.50%, 6/1/31, Pool #AS7320      152,330  

232,721

   2.50%, 7/1/31, Pool #AS7605      244,394  

257,189

   2.50%, 7/1/31, Pool #AS7617      270,066  

10,551

   2.50%, 8/1/31, Pool #BC2777      11,076  

38,195

   4.00%, 8/1/31, Pool #AY4688      41,613  

50,479

   4.00%, 8/1/31, Pool #AY4707      54,994  

1,841,455

   3.00%, 8/1/31, Pool #AL9376      1,982,173  

160,605

   3.00%, 9/1/31, Pool #AL9378      172,504  

2,096,477

   2.50%, 10/1/31, Pool #BC4773      2,220,739  

587,006

   2.50%, 10/1/31, Pool #AS8208      616,462  

96,459

   2.00%, 10/1/31, Pool #MA2774      100,782  

1,069,751

   2.50%, 10/1/31, Pool #AS8195      1,133,467  

427,103

   2.50%, 10/1/31, Pool #AS8193      447,872  

327,454

   2.50%, 10/1/31, Pool #AS8009      346,879  

465,447

   2.00%, 11/1/31, Pool #AS8251      483,918  

307,655

   2.50%, 11/1/31, Pool #BC2631      326,922  

156,813

   2.50%, 11/1/31, Pool #BC2629      164,676  

175,557

   2.50%, 11/1/31, Pool #BC2628      186,042  

29,312

   2.00%, 11/1/31, Pool #AS8291      30,473  

352,051

   2.50%, 11/1/31, Pool #AS8240      369,660  

235,576

   2.50%, 11/1/31, Pool #AS8241      249,542  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal
Amount
         Fair Value

U.S. Government Agency Mortgages, continued

 

Federal National Mortgage Association, continued

 

$171,916

   2.50%, 11/1/31, Pool #AS8245    $ 182,148    

548,068

   2.00%, 11/1/31, Pool #BM3054      572,592  

154,844

   2.00%, 11/1/31, Pool #BC9040      161,785  

130,943

   2.00%, 12/1/31, Pool #MA2845      136,821  

16,794

   3.00%, 2/1/32, Pool #BE5670      17,807  

31,708

   2.50%, 2/1/32, Pool #BM1036      33,526  

963,323

   3.50%, 2/1/32, Pool #AS8885          1,034,209  

342,351

   2.50%, 3/1/32, Pool #AS9316      365,972  

529,391

   3.00%, 3/1/32, Pool #AS9327      561,511  

305,793

   2.50%, 3/1/32, Pool #AS9317      322,800  

795,001

   2.00%, 3/1/32, Pool #BM3061      833,563  

548,691

   2.50%, 3/1/32, Pool #AS9318      578,656  

507,059

   2.50%, 3/1/32, Pool #AS9321      532,403  

599,816

   2.50%, 3/1/32, Pool #AS9319      629,681  

2,367,862

   3.50%, 4/1/32, Pool #BM3503      2,538,395  

1,707,486

   3.50%, 5/1/32, Pool #BM1602      1,816,028  

2,508,314

   3.00%, 6/1/32, Pool #BM1791      2,699,993  

787,724

   2.50%, 8/1/32, Pool #BM3578      831,414  

303,323

   3.00%, 9/1/32, Pool #BM3240      318,950  

87,434

   3.50%, 11/1/32, Pool #BJ2054      95,518  

56,841

   3.50%, 1/1/33, Pool #BJ2096      60,447  

94,325

   5.50%, 1/1/33, Pool #676661      108,935  

1,501,529

   2.50%, 2/1/33, Pool #BM3793      1,601,673  

70,150

   5.50%, 5/1/33, Pool #555424      80,752  

104,893

   4.00%, 9/1/33, Pool #BK7642      113,197  

586,351

   4.00%, 10/1/33, Pool #CA2404      638,601  

300,786

   4.00%, 10/1/33, Pool #CA2528      326,953  

315,629

   4.00%, 10/1/33, Pool #CA2527      335,952  

415,130

   4.00%, 10/1/33, Pool #CA2406      447,833  

335,160

   4.00%, 11/1/33, Pool #CA2555      366,065  

1,800,119

   4.00%, 11/1/33, Pool #CA2557      1,957,267  

702,305

   2.50%, 12/1/33, Pool #FM1680      736,848  

550,998

   5.00%, 2/1/35, Pool #735226      623,616  

171,671

   5.50%, 2/1/35, Pool #735989      200,155  

41,224

   5.00%, 3/1/35, Pool #735288      47,865  

15,310

   6.00%, 4/1/35, Pool #735504      17,987  

260,761

   3.00%, 8/1/35, Pool #CA6849      280,136  

267,206

   3.00%, 8/1/35, Pool #CA6876      288,389  

78,371

   5.00%, 9/1/35, Pool #889974      88,684  

3,547,000

   3.00%, 10/25/35, TBA      3,721,579  

9,092,000

   2.00%, 10/25/35, TBA      9,451,418  

178,030

   4.00%, 1/1/36, Pool #AB0686      199,391  

21,881

   3.00%, 4/1/36, Pool #MA2579      23,201  

24,774

   3.00%, 8/1/36, Pool #AS7651      26,268  

390,411

   5.50%, 9/1/36, Pool #995113      454,251  

62,513

   3.00%, 10/1/36, Pool #FM4127      66,264  

44,526

   3.00%, 10/1/36, Pool #AL9227      46,669  

133,401

   3.00%, 11/1/36, Pool #AS8349      141,226  

326,932

   3.00%, 11/1/36, Pool #AS8348      346,079  

286,383

   3.00%, 12/1/36, Pool #BE1896      306,732  

397,492

   3.00%, 12/1/36, Pool #AS8553      431,284  

18,487

   5.50%, 2/1/38, Pool #961545      20,818  

942,842

   3.00%, 3/1/38, Pool #FM2814      996,286  

12,921

   6.00%, 3/1/38, Pool #889529      15,343  

417,557

   3.00%, 4/1/38, Pool #FM4266      442,485  

40,801

   6.00%, 5/1/38, Pool #889466      48,435  

90,075

   5.50%, 5/1/38, Pool #889692      103,943  

69,415

   5.50%, 5/1/38, Pool #889441      78,206  

60,087

   5.50%, 6/1/38, Pool #995018      69,278  

686,304

   3.00%, 6/1/38, Pool #FM3881      730,190  

17,405

   5.50%, 9/1/38, Pool #889995      19,951  

41,671

   6.00%, 10/1/38, Pool #889983      49,474  

194,683

   5.50%, 1/1/39, Pool #AB0200      226,936  

87,894

   4.50%, 4/1/39, Pool #930922      97,595  

150,491

   3.50%, 5/1/39, Pool #MA3660      159,373  
Principal
Amount
         Fair Value

U.S. Government Agency Mortgages, continued

 

Federal National Mortgage Association, continued

 

$100,628

   4.50%, 5/1/39, Pool #AL1472    $ 111,833    

960,457

   5.00%, 6/1/39, Pool #AL7521      1,086,829  

630,520

   6.00%, 7/1/39, Pool #BF0056      737,248  

46,153

   5.50%, 10/1/39, Pool #AD0362      52,772  

42,761

   5.50%, 12/1/39, Pool #AD0571      49,390  

282,821

   5.50%, 12/1/39, Pool #AC6680      338,289  

483,117

   3.50%, 12/1/39, Pool #MA3869      513,136  

228,597

   3.50%, 1/1/40, Pool #MA3891      242,961  

5,429,565

   4.50%, 1/1/40, Pool #AC8568      6,036,430  

379,385

   3.50%, 2/1/40, Pool #MA3935      403,261  

38,188

   5.50%, 3/1/40, Pool #AL5304      43,738  

274,969

   6.00%, 4/1/40, Pool #AL4141      322,434  

30,471

   4.50%, 4/1/40, Pool #AD4038      33,811  

53,767

   6.50%, 5/1/40, Pool #AL1704      63,319  

78,317

   4.50%, 7/1/40, Pool #AB1226      87,290  

137,766

   4.00%, 7/1/40, Pool #AE0113      151,750  

78,381

   4.50%, 7/1/40, Pool #AD7127      85,856  

3,296

   4.00%, 8/1/40, Pool #AD9136      3,621  

243,270

   4.00%, 8/1/40, Pool #AE0216      267,843  

30,146

   6.00%, 9/1/40, Pool #AE0823      34,916  

275,815

   4.00%, 10/1/40, Pool #AE7535      303,761  

664,187

   4.00%, 10/1/40, Pool #AB1614      740,839  

42,320

   4.00%, 11/1/40, Pool #AE8407      46,494  

195,289

   4.00%, 12/1/40, Pool #AH0946      215,000  

27,363

   4.00%, 12/1/40, Pool #AH0006      30,069  

2,680,000

   Class CY, Series 2010-136, 4.00%, 12/25/40          3,108,966  

45,420

   4.00%, 1/1/41, Pool #AL7167      48,990  

6,841,220

   Class ZA, Series 2011-8, 4.00%, 2/25/41      7,350,594  

458,069

   4.00%, 4/1/41, Pool #AI1186      504,438  

66,871

   6.00%, 6/1/41, Pool #AL4142      78,274  

644,647

   5.00%, 7/1/41, Pool #AL7524      734,872  

32,792

   4.50%, 7/1/41, Pool #AB3314      36,471  

784,578

   5.50%, 9/1/41, Pool #AL8430      903,308  

480,190

   4.00%, 9/1/41, Pool #AJ1541      527,992  

47,800

   4.00%, 9/1/41, Pool #AI5228      52,619  

44,025

   4.50%, 9/1/41, Pool #AI8961      49,490  

32,132

   4.00%, 10/1/41, Pool #AC9312      35,328  

2,636,652

   4.00%, 11/1/41, Pool #AJ4701      2,930,289  

41,619

   4.00%, 12/1/41, Pool #AJ7684      47,686  

128,012

   4.00%, 12/1/41, Pool #AB4054      146,672  

1,053,813

   4.00%, 1/1/42, Pool #AB4307      1,160,496  

37,559

   3.50%, 1/1/42, Pool #AK2073      41,257  

252,972

   3.50%, 1/1/42, Pool #AW8154      277,245  

116,099

   4.00%, 2/1/42, Pool #AB4530      127,820  

31,732

   3.50%, 4/1/42, Pool #AK7510      34,548  

112,287

   3.50%, 4/1/42, Pool #AO0777      118,349  

223,956

   4.00%, 5/1/42, Pool #AO2961      246,722  

77,470

   4.00%, 5/1/42, Pool #AT6144      88,813  

16,330

   3.50%, 5/1/42, Pool #AO2881      17,758  

76,823

   4.00%, 5/1/42, Pool #A02114      84,616  

41,896

   3.50%, 6/1/42, Pool #AO3107      46,418  

29,137

   3.50%, 6/1/42, Pool #AK9225      31,926  

18,570

   3.50%, 6/1/42, Pool #AO3048      20,349  

68,435

   4.00%, 6/1/42, Pool #AL2003      75,336  

33,597

   3.50%, 6/1/42, Pool #AL2168      37,426  

162,180

   4.00%, 7/1/42, Pool #AL4244      185,830  

2,660,699

   4.00%, 7/1/42, Pool #AL2160      3,048,634  

49,318

   3.50%, 7/1/42, Pool #AO9707      54,118  

42,325

   4.00%, 7/1/42, Pool #AL2607      46,596  

71,657

   3.50%, 8/1/42, Pool #AO7152      77,138  

844,200

   4.00%, 8/1/42, Pool #AL2242      929,466  

233,797

   4.50%, 9/1/42, Pool #AL2482      260,762  

75,795

   4.00%, 9/1/42, Pool #AL2901      83,457  

37,764

   4.00%, 9/1/42, Pool #AX3706      41,581  

334,060

   3.50%, 10/1/42, Pool #AB6512      353,674  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal

Amount

         Fair Value

U.S. Government Agency Mortgages, continued

  

Federal National Mortgage Association, continued

  

$192,028

   3.00%, 12/1/42, Pool #AB7271    $ 209,303  

195,285

   4.00%, 12/1/42, Pool #AL6055      223,836  

320,797

   3.50%, 12/1/42, Pool #AL8045      348,205  

88,117

   3.50%, 12/1/42, Pool #AQ7127      94,644  

154,619

   3.00%, 12/1/42, Pool #AB7425      168,493  

470,120

   3.00%, 1/1/43, Pool #AB7497      504,985  

497,043

   3.00%, 1/1/43, Pool #AB7567      533,963  

119,208

   4.00%, 1/1/43, Pool #AL7369      131,226    

312,224

   3.00%, 1/1/43, Pool #AB7755      343,016  

251,641

   3.00%, 1/1/43, Pool #AB7565      275,079  

475,599

   3.00%, 1/1/43, Pool #AB7458      510,938  

1,508,807

   4.50%, 1/1/43, Pool #AL8206            1,681,494  

192,345

   3.50%, 2/1/43, Pool #AL2935      213,047  

474,093

   3.50%, 3/1/43, Pool #AL3409      511,639  

38,047

   3.50%, 3/1/43, Pool #AR9203      41,710  

187,420

   4.00%, 3/1/43, Pool #AL3300      208,108  

109,968

   3.00%, 3/1/43, Pool #AB8830      120,849  

44,548

   3.00%, 3/1/43, Pool #AB8712      48,961  

16,751

   3.50%, 3/1/43, Pool #AT0310      17,746  

13,233

   3.50%, 3/1/43, Pool #AR6909      14,013  

25,466

   3.50%, 3/1/43, Pool #AR8128      26,956  

331,167

   3.00%, 3/1/43, Pool #AB8701      363,884  

105,190

   3.00%, 3/1/43, Pool #AR9218      110,175  

77,877

   3.00%, 3/1/43, Pool #AR7568      82,622  

91,047

   3.00%, 3/1/43, Pool #AR7576      95,410  

95,784

   3.00%, 4/1/43, Pool #AT2043      100,370  

95,465

   3.00%, 4/1/43, Pool #AB8923      100,004  

162,396

   3.00%, 4/1/43, Pool #AT2040      170,163  

19,799

   3.50%, 4/1/43, Pool #AT3019      20,972  

47,402

   3.00%, 4/1/43, Pool #AT2037      50,281  

311,823

   3.00%, 4/1/43, Pool #AB9016      342,608  

43,405

   3.00%, 4/1/43, Pool #AB9033      47,697  

123,505

   3.00%, 4/1/43, Pool #AR8630      129,412  

84,233

   3.00%, 4/1/43, Pool #AB8924      88,254  

27,688

   3.50%, 5/1/43, Pool #MA1440      29,805  

78,064

   3.50%, 5/1/43, Pool #AB9255      85,558  

19,789

   3.50%, 6/1/43, Pool #AB9567      21,691  

12,820

   3.00%, 6/1/43, Pool #AB9564      14,073  

328,077

   3.50%, 7/1/43, Pool #AT9667      353,130  

114,972

   3.50%, 7/1/43, Pool #AR7145      123,752  

179,254

   3.50%, 7/1/43, Pool #AT8464      192,757  

364,775

   3.50%, 7/1/43, Pool #AL4010      403,385  

59,480

   3.50%, 7/1/43, Pool #AT3906      65,243  

525,097

   3.50%, 7/1/43, Pool #AU0918      583,151  

11,336

   3.50%, 8/1/43, Pool #AT7333      12,582  

43,376

   3.50%, 8/1/43, Pool #AU3270      47,996  

90,861

   3.50%, 8/1/43, Pool #AU0613      100,541  

102,509

   3.50%, 8/1/43, Pool #AU0570      113,390  

12,067

   3.50%, 8/1/43, Pool #AU3032      13,394  

411,392

   3.50%, 8/1/43, Pool #AS0209      454,932  

15,148

   3.50%, 9/1/43, Pool #AT7267      16,821  

1,228,122

   4.00%, 10/1/43, Pool #BM1502      1,349,784  

84,597

   4.00%, 10/1/43, Pool #AL7577      93,159  

805,983

   3.50%, 11/1/43, Pool #AL9745      871,165  

963,845

   5.00%, 12/1/43, Pool #AL7777      1,082,389  

73,045

   3.50%, 1/1/44, Pool #AS1703      81,047  

81,948

   3.50%, 1/1/44, Pool #AS1539      90,965  

103,424

   4.00%, 3/1/44, Pool #AV6577      116,532  

2,959,058

   3.50%, 5/1/44, Pool #BM5002      3,315,997  

7,523

   3.50%, 6/1/44, Pool #AS2591      8,193  

20,340

   3.50%, 6/1/44, Pool #AW6405      22,763  

19,749

   4.00%, 7/1/44, Pool #AW7055      22,352  

1,287,001

   4.00%, 8/1/44, Pool #AL5601      1,476,428  

558,533

   5.00%, 11/1/44, Pool #AL8878      628,641  

178,947

   4.00%, 12/1/44, Pool #AX9372      202,709  

Principal

Amount

         Fair Value

U.S. Government Agency Mortgages, continued

  

Federal National Mortgage Association, continued

  

$13,029

   4.00%, 12/1/44, Pool #AX6255    $ 14,945  

13,989

   4.00%, 12/1/44, Pool #AY0299      16,043  

56,860

   4.00%, 1/1/45, Pool #AX8713      64,333  

141,488

   4.00%, 1/1/45, Pool #AY0367      159,443  

133,295

   4.00%, 2/1/45, Pool #AS4308      149,074  

373,754

   3.50%, 2/1/45, Pool #BM1100      409,074  

26,444

   4.00%, 2/1/45, Pool #AY1866      30,335  

91,652

   4.00%, 2/1/45, Pool #AY2693      105,044  

16,323

   4.00%, 5/1/45, Pool #AY8218      17,984  

53,798

   4.00%, 5/1/45, Pool #AY9770      61,677  

279,295

   5.00%, 6/1/45, Pool #BM3784      313,251  

878,020

   3.50%, 7/1/45, Pool #AS5453      956,124  

361,645

   3.50%, 7/1/45, Pool #AS5459      405,158  

45,149

   3.50%, 8/1/45, Pool #AS5640      49,164  

179,735

   4.50%, 9/1/45, Pool #AL7936      201,559  

360,892

   3.50%, 10/1/45, Pool #MA2414      387,436  

33,248

   4.00%, 10/1/45, Pool #BA2879      37,169  

28,560

   4.00%, 10/1/45, Pool #BA2878      31,721  

34,447

   4.00%, 10/1/45, Pool #BA2877      39,461  

33,373

   4.00%, 10/1/45, Pool #AZ9244      37,750  

82,036

   4.00%, 10/1/45, Pool #AL7442      94,027  

31,544

   4.00%, 10/1/45, Pool #AZ9243      36,132  

81,273

   3.50%, 11/1/45, Pool #AS6195      91,051  

9,321

   4.50%, 11/1/45, Pool #AS6233      10,373  

94,440

   4.50%, 11/1/45, Pool #AL9501      107,381  

1,327,898

   3.50%, 11/1/45, Pool #BM1124      1,470,326  

342,907

   3.50%, 12/1/45, Pool #AL9635      372,695  

101,683

   4.00%, 12/1/45, Pool #BA4737      114,951  

97,724

   4.00%, 12/1/45, Pool #BA4736      111,983  

43,485

   4.00%, 12/1/45, Pool #BA2924      47,940  

349,372

   4.00%, 12/1/45, Pool #AS6347      390,729  

275,208

   4.50%, 12/1/45, Pool #BM1756      306,537  

210,846

   4.00%, 2/1/46, Pool #AS6662      234,135  

2,123,801

   3.50%, 3/1/46, Pool #AS6788            2,327,312    

372,941

   3.50%, 3/1/46, Pool #AS6823      404,458  

4,230,200

   3.50%, 4/1/46, Pool #BC5981      4,687,659  

168,565

   3.50%, 4/1/46, Pool #AL8521      186,824  

299,092

   3.50%, 4/1/46, Pool #AS7015      319,003  

254,763

   3.50%, 5/1/46, Pool #AL8570      276,473  

24,859

   3.00%, 6/1/46, Pool #AS7365      26,655  

1,425,566

   4.00%, 6/1/46, Pool #AL9093      1,560,136  

56,148

   3.50%, 6/1/46, Pool #BC1154      62,831  

1,311,571

   3.50%, 6/1/46, Pool #AS7383      1,422,797  

1,103,156

   3.50%, 6/1/46, Pool #AS7353      1,197,052  

2,711,040

   3.00%, 7/1/46, Pool #BC1450      2,882,077  

2,529,919

   3.50%, 7/1/46, Pool #BA7748      2,769,425  

741,990

   4.50%, 7/1/46, Pool #BM1920      845,475  

3,542,203

   4.00%, 7/1/46, Pool #AL8857      3,905,165  

536,513

   4.50%, 7/1/46, Pool #BM3053      626,369  

592,123

   3.50%, 8/1/46, Pool #AL8952      642,490  

30,242

   3.00%, 8/1/46, Pool #AL9031      33,198  

45,949

   4.00%, 8/1/46, Pool #BD4900      52,613  

30,535

   4.00%, 8/1/46, Pool #BD3933      34,951  

2,951,496

   3.00%, 8/1/46, Pool #BC1486      3,138,152  

988,031

   Class UF, Series 2016-48, 0.55%(US0001M+40bps), 8/25/46      981,603  

1,819,425

   3.00%, 9/1/46, Pool #BD1469      1,944,207  

90,996

   4.00%, 9/1/46, Pool #BD1481      104,184  

2,335,577

   3.00%, 9/1/46, Pool #AS7847      2,482,752  

24,385

   4.00%, 9/1/46, Pool #BD7826      27,948  

16,476

   3.50%, 9/1/46, Pool #BE0547      17,883  

686,410

   3.00%, 9/1/46, Pool #AL9214      729,913  

566,426

   3.50%, 9/1/46, Pool #AL9511      623,259  

752,668

   3.00%, 10/1/46, Pool #BD8925      821,396  

659,823

   3.00%, 10/1/46, Pool #AL9215      715,951  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal

Amount

         Fair Value

U.S. Government Agency Mortgages, continued

  

Federal National Mortgage Association, continued

  

$490,509

   3.00%, 10/1/46, Pool #AL9266    $ 521,472  

3,623,843

   3.50%, 11/1/46, Pool #AL9424           3,904,113  

444,408

   3.50%, 11/1/46, Pool #BM1938      492,575    

274,514

   4.00%, 11/1/46, Pool #BC9012      314,516  

29,101

   3.50%, 11/1/46, Pool #BC7299      31,572  

574,031

   3.50%, 11/1/46, Pool #AS8371      642,392  

76,578

   3.50%, 11/1/46, Pool #BD8477      83,117  

708,922

   3.00%, 11/1/46, Pool #AL9325      769,185  

677,928

   3.50%, 11/1/46, Pool #BD8970      738,795  

278,237

   3.00%, 11/1/46, Pool #BD9641      303,781  

4,857,032

   4.00%, 11/1/46, Pool #AS8374      5,394,353  

536,640

   3.00%, 11/1/46, Pool #BD9644      582,414  

337,160

   3.00%, 11/1/46, Pool #BD9645      358,521  

39,320

   3.50%, 11/1/46, Pool #BE1932      42,702  

187,229

   3.00%, 11/1/46, Pool #BD9643      203,276  

1,135,770

   3.50%, 12/1/46, Pool #AS8493      1,250,977  

340,383

   3.50%, 12/1/46, Pool #BE2103      373,234  

100,620

   3.50%, 12/1/46, Pool #AL9593      110,720  

1,490,812

   3.00%, 12/1/46, Pool #AS8486      1,593,408  

576,997

   3.50%, 12/1/46, Pool #BC9084      639,672  

202,695

   3.50%, 1/1/47, Pool #BD8531      223,090  

1,709,542

   3.50%, 1/1/47, Pool #AL9725      1,912,895  

93,254

   3.50%, 1/1/47, Pool #BE4913      101,661  

666,248

   3.50%, 1/1/47, Pool #AS8653      745,646  

260,154

   3.50%, 1/1/47, Pool #AL9774      291,433  

766,482

   3.50%, 2/1/47, Pool #BM3792      839,172  

516,366

   3.50%, 2/1/47, Pool #BE1534      566,152  

86,485

   3.00%, 2/1/47, Pool #BD5056      94,526  

325,054

   3.00%, 2/1/47, Pool #BD5049      351,214  

1,383,678

   3.50%, 2/1/47, Pool #AL9920      1,515,715  

267,738

   3.50%, 2/1/47, Pool #BE3188      297,156  

583,769

   3.00%, 3/1/47, Pool #AS8936      622,295  

1,664,762

   4.00%, 3/1/47, Pool #890824      1,851,806  

143,746

   3.50%, 3/1/47, Pool #BH0158      156,682  

733,296

   3.00%, 3/1/47, Pool #AS8925      792,199  

2,341,530

   4.00%, 3/1/47, Pool #BM1155      2,601,937  

3,045,968

   3.50%, 4/1/47, Pool #AS9443      3,337,125  

1,005,751

   3.50%, 5/1/47, Pool #BD2417      1,101,565  

162,330

   3.50%, 5/1/47, Pool #BM1937      181,606  

667,055

   3.50%, 5/1/47, Pool #BM1174      735,569  

354,967

   3.50%, 5/1/47, Pool #BE9375      388,976  

615,039

   4.00%, 5/1/47, Pool #BH0398      674,132  

508,350

   3.50%, 6/1/47, Pool #BM1902      559,644  

239,273

   3.50%, 6/1/47, Pool #BH0567      262,182  

356,853

   3.50%, 7/1/47, Pool #BM1571      393,266  

543,837

   4.00%, 7/1/47, Pool #BH3401      596,274  

679,286

   4.00%, 8/1/47, Pool #BM1619      744,551  

224,324

   3.50%, 9/1/47, Pool #BM1822      248,987  

82,683

   3.50%, 9/1/47, Pool #BH8295      90,699  

324,405

   4.50%, 10/1/47, Pool #BM3052      369,954  

479,136

   3.50%, 10/1/47, Pool #BM1952      531,753  

90,342

   3.50%, 11/1/47, Pool #CA0681      99,910  

572,932

   3.50%, 11/1/47, Pool #CA0689      640,692  

416,414

   4.50%, 12/1/47, Pool #BH7067      462,952  

44,975

   3.50%, 12/1/47, Pool #BM3327      49,756  

613,024

   3.50%, 12/1/47, Pool #BM3326      687,383  

692,603

   3.50%, 12/1/47, Pool #BM3282      774,571  

2,984,242

   3.50%, 12/1/47, Pool #BH7060      3,277,231  

70,088

   3.50%, 1/1/48, Pool #BJ8126      76,879  

116,998

   3.50%, 1/1/48, Pool #BJ8120      130,868  

218,792

   3.50%, 1/1/48, Pool #BJ5879      241,864  

44,832

   3.50%, 1/1/48, Pool #BJ8650      49,425  

1,248,128

   3.50%, 1/1/48, Pool #CA1058      1,393,410  

380,686

   3.50%, 1/1/48, Pool #CA0995      414,443  

1,093,373

   3.50%, 1/1/48, Pool #CA0993      1,199,608  

Principal

Amount

         Fair Value

U.S. Government Agency Mortgages, continued

  

Federal National Mortgage Association, continued

  

$173,430

   4.00%, 2/1/48, Pool #BJ9058    $ 191,414  

861,272

   4.00%, 2/1/48, Pool #CA1199      938,300  

1,244,827

   4.00%, 2/1/48, Pool #CA1255      1,356,159  

189,979

   4.00%, 2/1/48, Pool #BJ9057      207,971  

159,154

   4.00%, 4/1/48, Pool #BM3762      181,536  

166,860

   4.00%, 4/1/48, Pool #BM3763      187,823  

2,937,965

   4.00%, 4/1/48, Pool #CA1541      3,241,579  

3,857,835

   4.00%, 4/1/48, Pool #CA1545      4,202,868  

265,248

   4.50%, 4/1/48, Pool #BM3846      312,401  

5,033,626

   4.50%, 5/1/48, Pool #CA1704      5,622,721  

480,636

   5.00%, 6/1/48, Pool #CA2317      531,088  

25,151

   4.50%, 7/1/48, Pool #BK4471      28,095  

157,844

   4.50%, 7/1/48, Pool #BK6113      185,166  

2,263,314

   5.00%, 9/1/48, Pool #MA3472      2,486,771  

228,526

   5.00%, 10/1/48, Pool #MA3501      251,089  

426,670

   5.00%, 10/1/48, Pool #BK7881      468,796  

342,980

   5.00%, 11/1/48, Pool #MA3527      376,842  

118,844

   5.00%, 12/1/48, Pool #BN4404      131,823  

243,815

   5.00%, 1/1/49, Pool #BN4430      270,443  

339,769

   5.00%, 1/1/49, Pool #BN3949      373,316  

6,463,000

   3.00%, 10/20/49, TBA      6,765,953  

4,622,000

   3.00%, 10/25/49, TBA      4,841,545  

1,030,162

   3.50%, 2/1/50, Pool #CA5130      1,094,909  

1,965,822

   4.00%, 3/1/50, Pool #CA5364      2,143,308  

543,031

   3.00%, 5/1/50, Pool #FM3265      597,869  

506,019

   3.00%, 5/1/50, Pool #FM2965      541,708  

375,004

   3.00%, 5/1/50, Pool #FM2934      401,413  

24,454

   3.00%, 6/1/50, Pool #BP3640      26,936  

1,890,994

   3.00%, 6/1/50, Pool #CA6085      2,082,563  

52,655

   3.00%, 8/1/50, Pool #BK2907      58,003  

10,108,664

   3.00%, 8/1/50, Pool #MA4097      10,612,440  

2,328,852

   3.00%, 8/1/50, Pool #CA6736      2,565,395  

5,125,221

   3.00%, 8/1/50, Pool #CA6734      5,519,149  

874,712

   3.00%, 8/1/50, Pool #CA6609      932,859  

662,941

   3.00%, 8/1/50, Pool #CA6608      712,097  

877,546

   3.00%, 8/1/50, Pool #CA6607      951,101  

1,473,757

   3.00%, 8/1/50, Pool #CA6606      1,606,630  

3,961,496

   3.00%, 8/1/50, Pool #CA6731      4,293,549  

1,438,821

   3.00%, 9/1/50, Pool #MA4121      1,514,415  

2,764,309

   2.50%, 10/1/50, Pool #CA7227      2,969,440  

3,137,317

   2.50%, 10/1/50, Pool #CA7241      3,338,463  

355,000

   5.00%, 10/15/50, TBA      388,780  

599,000

   4.50%, 10/25/50, TBA      647,856  

10,620,055

   3.50%, 10/25/50, TBA      11,194,202  

9,946,000

   4.00%, 10/25/50, TBA      10,606,477  

29,575,000

   2.00%, 10/25/50, TBA      30,577,778  

21,530,000

   4.00%, 11/25/50, TBA      22,989,163  
     

 

 

 

            377,307,491    
     

 

 

 

Government National Mortgage Association (6.9%):

 

14,421

   4.50%, 9/15/33, Pool #615516      15,955  

57,054

   5.00%, 12/15/33, Pool #783571      62,344  

16,646

   6.50%, 8/20/38, Pool #4223      20,398  

12,512

   6.50%, 10/15/38, Pool #673213      13,994  

9,388

   6.50%, 11/20/38, Pool #4292      11,373  

16,913

   6.50%, 12/15/38, Pool #782510      19,486  

192,739

   5.00%, 1/15/39, Pool #782557      213,631  

118,845

   5.00%, 4/15/39, Pool #782619      133,433  

68,556

   5.00%, 4/15/39, Pool #711939      76,244  

14,211

   4.00%, 4/20/39, Pool #4422      15,244  

11,861

   5.00%, 6/15/39, Pool #782696      13,414  

48,301

   4.00%, 7/20/39, Pool #4494      53,485  

76,517

   5.00%, 10/20/39, Pool #4559      86,289  

8,920

   4.50%, 12/20/39, Pool #G24598      9,875  

23,567

   4.50%, 1/15/40, Pool #728627      26,146  

11,060

   4.50%, 1/20/40, Pool #4617      12,244  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal

Amount

         Fair Value

U.S. Government Agency Mortgages, continued

  

Government National Mortgage Association, continued

 

$8,698

   4.50%, 2/20/40, Pool #G24636    $ 9,791  

65,433

   5.00%, 5/15/40, Pool #782958      72,788  

586

   4.50%, 5/20/40, Pool #G24696      644  

47,000

   5.00%, 6/15/40, Pool #697862      54,269  

58,011

   4.50%, 7/15/40, Pool #745793      64,484  

481,332

   4.50%, 7/15/40, Pool #733795      543,299  

22,306

   4.50%, 7/20/40, Pool #4746      24,690  

41,386

   4.50%, 8/20/40, Pool #4771      45,810  

23,056

   4.50%, 9/20/40, Pool #748948      24,988  

12,604

   4.00%, 9/20/40, Pool #G24800      13,809  

99,065

   4.50%, 10/15/40, Pool #783609      110,073  

325,984

   4.00%, 10/20/40, Pool #G24833      357,173  

38,439

   4.50%, 10/20/40, Pool #4834      42,550  

605,430

   4.00%, 11/20/40, Pool #4853      663,351  

297,577

   4.00%, 12/20/40, Pool #G24882      326,045  

143,085

   4.00%, 1/15/41, Pool #759138      157,444  

264,873

   4.00%, 1/20/41, Pool #4922      290,228  

31,784

   4.50%, 2/15/41, Pool #738019      35,878  

4,468

   4.00%, 2/20/41, Pool #4945      4,896  

1,035,814

   4.00%, 2/20/41, Pool #742887      1,129,863  

89,944

   4.00%, 3/15/41, Pool #762838      98,925  

6,257

   5.00%, 4/20/41, Pool #5018      7,055  

100,241

   4.50%, 6/20/41, Pool #783590      108,043  

13,374

   5.00%, 6/20/41, Pool #5083      15,044  

6,909

   5.00%, 7/20/41, Pool #5116      7,792  

234,531

   4.50%, 7/20/41, Pool #5115      266,193  

69,589

   4.50%, 7/20/41, Pool #783584      75,004  

52,335

   4.50%, 7/20/41, Pool #754367      56,030  

401,535

   4.00%, 7/20/41, Pool #742895      439,963  

71,652

   4.50%, 11/15/41, Pool #783610      79,608  

204,932

   3.50%, 1/15/42, Pool #553461      215,747  

278,797

   4.00%, 4/20/42, Pool #MA0023      302,074  

112,039

   5.00%, 7/20/42, Pool #MA0223      123,820  

339,490

   3.50%, 4/15/43, Pool #AD2334      359,984  

541,417

   3.50%, 4/20/43, Pool #MA0934      583,441  

300,578

   3.50%, 5/20/43, Pool #MA1012      323,895  

25,722

   4.00%, 7/20/43, Pool #MA1158      27,877  

1,049,498

   4.50%, 6/20/44, Pool #MA1997      1,161,693  

911,327

   4.00%, 8/20/44, Pool #MA2149      997,607  

18,995

   4.00%, 8/20/44, Pool #AJ4687      21,036  

24,096

   4.00%, 8/20/44, Pool #AI4167      26,649  

7,384

   4.00%, 8/20/44, Pool #AI4166      7,858  

20,970

   4.00%, 8/20/44, Pool #AJ2723      23,216  

452,922

   5.00%, 12/20/44, Pool #MA2448      510,617  

52,505

   3.00%, 12/20/44, Pool #MA2444      55,371  

1,636,390

   Class ZD, Series 2015-3, 4.00%, 1/20/45      1,960,315  

492,267

   3.00%, 2/15/45, Pool #784439      514,558  

995,621

   3.00%, 4/20/45, Pool #MA2753      1,059,304  

2,321,717

   3.50%, 4/20/45, Pool #MA2754      2,487,412  

2,838,446

   3.50%, 5/20/45, Pool #MA2826      3,044,071  

54,403

   3.00%, 6/20/45, Pool #MA2891      57,323  

167,259

   3.00%, 7/20/45, Pool #MA2960      177,755  

56,222

   3.00%, 8/20/45, Pool #MA3033      59,750  

340,890

   3.00%, 10/20/45, Pool #MA3172      360,351  

275,860

   5.00%, 12/20/45, Pool #MA3313      317,127  

14,523,768

   3.50%, 3/20/46, Pool #MA3521           15,434,186    

1,016,522

   3.00%, 4/20/46, Pool #MA3596      1,076,636  

9,022,104

   3.50%, 4/20/46, Pool #MA3597      9,648,376  

2,836,711

   3.50%, 5/20/46, Pool #MA3663      3,018,937  

42,805

   3.00%, 5/20/46, Pool #MA3662      44,818  

5,969,239

   3.50%, 6/20/46, Pool #MA3736      6,383,604  

975,154

   3.00%, 6/20/46, Pool #MA3735      1,026,878  

2,150,055

   3.00%, 7/20/46, Pool #MA3802      2,264,160  

979,751

   3.50%, 7/20/46, Pool #MA3803      1,047,763  

109,068

   3.00%, 8/20/46, Pool #MA3873      115,520  

Principal

Amount

         Fair Value

U.S. Government Agency Mortgages, continued

 

Government National Mortgage Association, continued

 

$4,033,514

   3.00%, 9/20/46, Pool #MA3936    $ 4,223,160  

3,823,926

   3.50%, 9/20/46, Pool #MA3937      4,077,177  

110,648

   3.50%, 10/20/46, Pool #AX4341      119,543  

247,737

   3.50%, 10/20/46, Pool #AX4344      266,742  

21,724

   4.00%, 10/20/46, Pool #AQ0542      23,366  

133,109

   3.50%, 10/20/46, Pool #AX4342      143,994  

322,169

   3.00%, 10/20/46, Pool #MA4003      337,316  

199,240

   3.50%, 10/20/46, Pool #AX4345      213,704  

99,861

   3.50%, 10/20/46, Pool #AX4343      106,794  

1,655,487

   3.00%, 11/20/46, Pool #MA4068      1,759,384  

4,724,920

   3.00%, 12/20/46, Pool #MA4126      4,947,076  

1,381,268

   3.00%, 1/20/47, Pool #MA4195      1,452,484  

124,131

   4.50%, 3/15/47, Pool #AZ8560      138,579  

219,029

   4.50%, 4/15/47, Pool #AZ8596      243,176  

150,844

   4.50%, 4/15/47, Pool #AZ8597      168,683  

113,453

   4.50%, 5/15/47, Pool #BA7888      125,844  

4,192,668

   4.00%, 6/20/47, Pool #MA4511      4,491,889  

22,663

   4.00%, 9/15/47, Pool #BC5919      24,462  

28,768

   4.00%, 10/15/47, Pool #BE1031      30,969  

29,670

   4.00%, 10/15/47, Pool #BD3187      31,939  

22,577

   4.00%, 11/15/47, Pool #BE1030      24,276  

3,410,747

   4.00%, 11/20/47, Pool #MA4838      3,678,489  

33,476

   4.00%, 12/15/47, Pool #BE4664      36,038  

1,657,318

   4.00%, 12/20/47, Pool #MA4901      1,787,417  

24,411

   4.00%, 1/15/48, Pool #BE0204      25,965  

33,712

   4.00%, 1/15/48, Pool #BE0143      36,292  

576,725

   4.50%, 9/20/48, Pool #BD0560      632,386  

1,741,176

   4.50%, 3/20/49, Pool #MA5818      1,870,309  

73,673

   4.50%, 4/20/49, Pool #MA5877      79,702  

767,462

   4.50%, 5/20/49, Pool #MA5932      821,652  

3,700,000

   3.00%, 11/20/49, TBA      3,871,848  

1,508,797

   4.50%, 2/20/50, Pool #MA6477      1,616,705  

1,676,363

   4.50%, 3/20/50, Pool #MA6544      1,813,546  

2,460,781

   4.50%, 4/20/50, Pool #MA6602      2,634,540  

4,876,059

   4.00%, 4/20/50, Pool #MA6601      5,212,298  

957,658

   4.00%, 5/20/50, Pool #MA6658      1,023,677  

11,508,897

   3.00%, 7/20/50, Pool #MA6766      12,150,734  

3,153,000

   3.00%, 9/20/50, Pool #MA6866      3,329,912  

1,023,000

   2.00%, 10/20/50, TBA      1,062,801  

5,397,000

   2.50%, 10/20/50, TBA      5,665,163  

10,700,000

   2.50%, 11/20/50, TBA      11,212,013  
     

 

 

 

          142,261,058    
     

 

 

 

     Total U.S. Government Agency Mortgages (Cost $580,769,501)

     603,385,819  
     

 

 

 

U.S. Treasury Obligations (23.2%):

  

U.S. Treasury Bonds (11.2%):

  

2,480,000

   5.38%, 2/15/31      3,654,125  

14,025,000

   4.75%, 2/15/37      22,113,480  

35,145,000

   1.13%, 8/15/40      34,557,419  

21,975,000

   3.13%, 11/15/41      29,728,055  

7,022,500

   3.63%, 8/15/43      10,253,947  

1,205,000

   3.13%, 8/15/44      1,642,566  

15,000

   2.50%, 2/15/45      18,495  

955,000

   3.00%, 5/15/45      1,280,745  

1,770,000

   2.88%, 8/15/45      2,329,763  

12,235,000

   3.00%, 11/15/45      16,467,545  

1,543,000

   3.00%, 2/15/47      2,091,488  

5,645,000

   3.00%, 2/15/48      7,686,902  

30,570,000

   3.13%, 5/15/48(d)      42,587,830  

4,055,000

   3.38%, 11/15/48      5,913,964  

8,700,000

   3.00%, 2/15/49      11,917,641  

125,000

   2.88%, 5/15/49      167,715  

22,765,000

   1.25%, 5/15/50      21,640,978  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares or

Principal

Amount

          Fair Value  

U.S. Treasury Obligations, continued

  

U.S. Treasury Bonds, continued

  

$16,110,000

   1.38%, 8/15/50    $ 15,810,455  
     

 

 

 

        229,863,113  
     

 

 

 

U.S. Treasury Inflation Index Bonds (0.4%):

  

5,789,618

   0.13%, 1/15/30      6,396,798  

1,339,426

   1.00%, 2/15/48      1,847,678  
     

 

 

 

        8,244,476  
     

 

 

 

U.S. Treasury Inflation Index Notes (0.5%):

  

10,575,897

   0.13%, 4/15/25      11,255,323  
     

 

 

 

U.S. Treasury Notes (11.1%):

  

2,795,000

   0.13%, 5/15/23      2,793,253  

3,095,000

   0.25%, 6/15/23      3,103,705  

5,570,000

   2.00%, 5/31/24      5,938,142  

6,230,000

   1.50%, 11/30/24      6,559,995  

5,615,000

   1.75%, 12/31/24      5,976,466  

10,345,000

   1.38%, 1/31/25      10,854,168  

20,065,000

   1.13%, 2/28/25      20,851,924  

3,164,000

   0.50%, 3/31/25      3,200,584  

16,246,000

   0.38%, 4/30/25^      16,342,461  

13,710,000

   0.25%, 5/31/25      13,710,000  

16,341,000

   0.25%, 6/30/25      16,335,893  

340,000

   0.25%, 7/31/25      339,734  

890,000

   3.00%, 10/31/25      1,011,819  

1,550,000

   2.88%, 11/30/25      1,755,133  

8,275,000

   2.25%, 3/31/26      9,143,875  

2,435,000

   2.38%, 4/30/26      2,710,459  

1,520,000

   2.13%, 5/31/26      1,672,238  

2,407,000

   1.88%, 6/30/26      2,616,108  

2,430,000

   1.88%, 7/31/26      2,643,005  

24,650,000

   0.38%, 7/31/27      24,530,602  

12,395,000

   0.50%, 8/31/27      12,429,861  

6,253,000

   2.88%, 8/15/28      7,386,356  

255,000

   2.38%, 5/15/29      293,569  

15,650,000

   1.50%, 2/15/30      16,892,219  

33,770,000

   0.63%, 5/15/30      33,675,021  

6,045,000

   0.63%, 8/15/30      6,014,775  
     

 

 

 

        228,781,365  
     

 

 

 

    Total U.S. Treasury Obligations (Cost $436,517,089)

     478,144,277  
     

 

 

 

Commercial Paper (0.3%):

  

6,250,000

   Boeing Co., 0.66%(c)      6,244,606  
     

 

 

 

Total Commercial Paper (Cost $6,232,830)

     6,244,606  
     

 

 

 

Short-Term Securities Held as Collateral for Securities on Loan (1.3%):   

26,839,573

   BlackRock Liquidity FedFund, Institutional Class , 1.81%(c)(e)      26,839,573  
     

 

 

 

    Total Short-Term Securities Held as Collateral for Securities on Loan (Cost $26,839,573)

     26,839,573  
     

 

 

 

Unaffiliated Investment Companies (4.9%):

  

Money Markets (4.9%):

  

101,869,411

   Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(c)      101,869,411  
     

 

 

 

    Total Unaffiliated Investment Companies
(Cost $101,869,411)

     101,869,411  
     

 

 

 

    Total Investment Securities
(Cost $2,108,166,304) - 107.3%

     2,212,525,265  

    Net other assets (liabilities) - (7.3)%

     (151,266,808 )   
     

 

 

 

Shares or

Principal

Amount

         Fair Value  

Net Assets - 100.0%

   $ 2,061,258,457  
    

 

 

 

Percentages indicated are based on net assets as of September 30, 2020.

 

EUR003M

  -    3 Month EUR LIBOR

EUAMDB01

  -    1 Year EUR LIBOR

EUSA1

  -    Euro 1 Year Swap Rate

EUSA5

  -    Euro 5 Year Swap Rate

GO

  -    General Obligation

H15T1Y

  -    1 Year Treasury Constant Maturity Rate

LIBOR

  -    London Interbank Offered Rate

MTN

  -    Medium Term Note

SOFR

  -    Secured Overnight Financing Rate

TBA

  -    To Be Announced Security

US0001M

  -    1 Month US Dollar LIBOR

US0003M

  -    3 Month US Dollar LIBOR

 

^    This security or a partial position of this security was on loan as of September 30, 2020. The total value of securities on loan as of September 30, 2020 was $26,105,233.
+    The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars.
   Represents less than 0.05%.
(a)    Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees.
(b)    The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at September 30, 2020.
(c)    The rate represents the effective yield at September 30, 2020.
(d)    All or a portion of this security has been pledged as collateral for open derivative positions.
(e)    Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before September 30, 2020.
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

 

Securities Sold Short (-1.5%):

At September 30, 2020, the Fund’s securities sold short were as follows:

Security Description    Coupon
Rate
  Maturity
Date
   Par Amount     Proceeds
Received
  Fair Value

U.S. Government Agency Mortgages

           

Federal National Mortgage Association

 

Federal National Mortgage Association, TBA

   3.00%   11/25/50    $ (18,546,168   $ (19,479,272   $ (19,432,182

Federal National Mortgage Association, TBA

   4.00%   10/25/35      (1,568,000     (1,658,650     (1,662,080

Federal National Mortgage Association, TBA

   2.50%   10/25/35      (2,591,000     (2,714,174     (2,705,975

Federal National Mortgage Association, TBA

   3.50%   10/25/35      (3,716,766     (3,930,126     (3,928,157

Federal National Mortgage Association, TBA

   2.50%   11/25/50      (5,636,000     (5,888,739     (5,902,169

Government National Mortgage Association

 

Government National Mortgage Association, TBA

   4.50%   10/20/49      (352,000     (376,805     (376,750

Government National Mortgage Association, TBA

   4.00%     10/20/50      (823,000     (875,198     (874,309

Government National Mortgage Association, TBA

   3.50%   10/20/50      (5,792,203     (6,089,813     (6,099,009
         

 

 

 

 

 

 

 

         $ (41,012,777     $ (40,980,631 )  
      

 

 

 

 

 

 

 

Futures Contracts

At September 30, 2020, the Fund’s open futures contracts were as follows:

Short Futures

 

Description

   
Expiration
Date
 
 
           
Number of
Contracts
 
 
           
Notional
Amount
 
 
   


Value and
Unrealized
Appreciation/
(Depreciation)
 
 
 
 

Euro Buxl 30-Year Bond December Futures (Euro)

    12/8/20         60       $ (15,662,939   $ (324,639

Euro Schatz Index December Futures (Euro)

    12/8/20         278         (36,595,414     (11,937

Euro-Bobl December Futures (Euro)

    12/8/20         223         (35,336,698     (24,642

Euro-Bund December Futures (Euro)

    12/8/20         115         (23,527,936     (128,573

U.S. Treasury 10-Year Note December Futures (U.S. Dollar)

    12/21/20         501         (69,905,156     (8,013

U.S. Treasury 10-Year Note December Futures (U.S. Dollar)

    12/21/20         677         (108,267,109     (478,345

U.S. Treasury 30-Year Bond December Futures (U.S. Dollar)

    12/21/20         58         (10,224,313     35,691  
           

 

 

 

            $       (940,458 )     
           

 

 

 

Long Futures

 

Description

   
Expiration
Date
 
 
           
Number of
Contracts
 
 
           
Notional
Amount
 
 
   


Value and
Unrealized
Appreciation/
(Depreciation)
 
 
 
 

Euro-Btp Italian Government Bond December Futures (Euro)

    12/8/20         39       $ 6,747,345     $ 94,708  

U.S. Treasury 2-Year Note December Futures (U.S. Dollar)

    12/31/20         1,386         306,251,860       121,200  

U.S. Treasury 5-Year Note December Futures (U.S. Dollar)

    12/31/20         27         3,402,844       4,612  

Ultra Long Term U.S. Treasury Bond September Future (U.S. Dollar)

    12/21/20         16         3,549,000       51,546  
           

 

 

 

            $ 272,066  
           

 

 

 

Total Net Futures Contracts

            $       (668,392 )     
           

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

 

Forward Currency Contracts

At September 30, 2020, the Fund’s open forward currency contracts were as follows:

 

Currency Purchased           Currency Sold          Counterparty   Settlement
Date
     Net Unrealized
Appreciation/
(Depreciation)

U.S. Dollar

     153,539     European Euro     128,000     ANZ Banking Group, Ltd.     10/5/20      $ 3,468  

U.S. Dollar

     869,961     European Euro     736,000     Standard Charter Bank     10/5/20        7,056  

U.S. Dollar

     148,833,931     European Euro     124,469,000     UBS Warburg     10/5/20        2,903,409  

European Euro

     63,737,000     U.S. Dollar     74,636,027     UBS Warburg     10/5/20        90,802  

U.S. Dollar

     74,873,447     European Euro     63,737,000     Bank National Paribas     11/4/20        100,740  
             

 

 

 

              $   3,105,475  
             

 

 

 

European Euro

     63,737,000     U.S. Dollar     74,826,951     Bank National Paribas     10/5/20      $ (100,122)  

U.S. Dollar

     329,899     European Euro     283,000     CIBC     10/5/20        (1,897)  

U.S. Dollar

     174,842     European Euro     150,000     Citigroup     10/5/20        (1,021)  

U.S. Dollar

     2,000,542     European Euro     1,708,000     HSBC     10/5/20        (1,960)  

U.S. Dollar

     74,682,236     European Euro     63,737,000     UBS Warburg     11/4/20        (90,471)  
             

 

 

 

              $ (195,471)  
             

 

 

 

Total Net Forward Currency Contracts

 

       $ 2,910,004  
      

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares         Fair Value

Common Stocks (41.1%):

  

Aerospace & Defense (0.6%):

  
6,476   Curtiss-Wright Corp.    $ 603,952  
2,721   L3harris Technologies, Inc.      462,135  
14,674   Moog, Inc., Class A      932,238  
2,906   Northrop Grumman Corp.      916,814  
5,892   Parson Corp.*      197,618  
4,924   Raytheon Technologies Corp.      283,327  
    

 

 

 

       3,396,084  
    

 

 

 

Air Freight & Logistics (0.0%):

  
239   C.H. Robinson Worldwide, Inc.      24,423  
    

 

 

 

Airlines (0.3%):

  
5,774   Alaska Air Group, Inc.      211,501  
21,014   Copa Holdings SA, Class A^      1,057,844  
2,983   Southwest Airlines Co.      111,863  
    

 

 

 

       1,381,208  
    

 

 

 

Auto Components (0.1%):

  
9,062   BorgWarner, Inc.      351,062  
    

 

 

 

Automobiles (0.2%):

  
97,831   Ford Motor Co.      651,554  
7,759   General Motors Co.      229,589  
    

 

 

 

       881,143  
    

 

 

 

Banks (1.3%):

  
46,413   Bank of America Corp.      1,118,089  
36,973   Citigroup, Inc.      1,593,906  
13,083   Citizens Financial Group, Inc.      330,738  
30,195   JPMorgan Chase & Co.      2,906,873  
45,307   Wells Fargo & Co.      1,065,168  
    

 

 

 

             7,014,774  
    

 

 

 

Beverages (0.6%):

  
45,450   Coca-Cola Co. (The)      2,243,866  
444   Coca-Cola Consolidated, Inc.      106,862  
4,914   Molson Coors Brewing Co., Class B      164,914  
6,421   PepsiCo, Inc.      889,951  
    

 

 

 

       3,405,593  
    

 

 

 

Biotechnology (1.0%):

  
24,840   AbbVie, Inc.      2,175,735  
4,647   Amgen, Inc.      1,181,082  
2,922   Biogen, Inc.*      828,913  
13,047   Gilead Sciences, Inc.      824,440  
934   United Therapeutics Corp.*      94,334  
    

 

 

 

       5,104,504  
    

 

 

 

Building Products (0.4%):

  
20,591   Carrier Global Corp.      628,849  
6,282   Fortune Brands Home & Security, Inc.      543,519  
4,076   Simpson Manufacturing Co., Inc.      396,024  
5,895   UFP Industries, Inc.      333,126  
    

 

 

 

       1,901,518  
    

 

 

 

Capital Markets (0.7%):

  
25,512   Bank of New York Mellon Corp. (The)      876,081  
2,838   Charles Schwab Corp. (The)      102,821  
5,617   Federated Hermes, Inc., Class B      120,822  
4,033   Goldman Sachs Group, Inc.      810,512  
4,080   LPL Financial Holdings, Inc.      312,814  
10,572   Morgan Stanley      511,156  
589   Raymond James Financial, Inc.      42,856  
9,473   State Street Corp.      562,033  
3,325   T. Rowe Price Group, Inc.      426,332  
    

 

 

 

       3,765,427  
    

 

 

 

Chemicals (0.4%):

  
763   Balchem Corp.      74,492  
9,042   CF Industries Holdings, Inc.      277,680  
9,456   DuPont de Nemours, Inc.      524,619  
12,031   Eastman Chemical Co.      939,862  
Shares         Fair Value

Common Stocks, continued

  

Chemicals, continued

  
528   NewMarket Corp.    $ 180,745  
6,261   Valvoline, Inc.      119,209  
    

 

 

 

       2,116,607  
    

 

 

 

Commercial Services & Supplies (0.2%):

  
19,102   Herman Miller, Inc.      576,116  
1,822   UniFirst Corp.      345,032  
    

 

 

 

       921,148  
    

 

 

 

Communications Equipment (0.3%):

  
36,656   Cisco Systems, Inc.      1,443,880  
    

 

 

 

Construction & Engineering (0.2%):

  
13,117   EMCOR Group, Inc.      888,152  
    

 

 

 

Consumer Finance (0.1%):

  
9,268   SLM Corp.      74,978  
16,518   Synchrony Financial      432,276  
    

 

 

 

       507,254  
    

 

 

 

Containers & Packaging (0.0%):

  
612   Packaging Corp. of America      66,739  
    

 

 

 

Diversified Consumer Services (0.0%):

  
170   Graham Holdings Co., Class B      68,699  
    

 

 

 

Diversified Financial Services (0.7%):

  
16,426   Berkshire Hathaway, Inc., Class B*      3,497,752  
    

 

 

 

Diversified Telecommunication Services (0.7%):

 

    28,993   AT&T, Inc.      826,590  
77,711   CenturyLink, Inc.      784,104  
37,577   Verizon Communications, Inc.      2,235,456  
    

 

 

 

       3,846,150  
    

 

 

 

Electric Utilities (0.5%):

  
1,061   ALLETE, Inc.      54,896  
1,394   Alliant Energy Corp.      72,000  
5,873   Exelon Corp.      210,018  
8,317   FirstEnergy Corp.      238,781  
4,737   Hawaiian Electric Industries, Inc.      157,458  
2,287   IDACORP, Inc.      182,731  
1,563   NextEra Energy, Inc.      433,826  
3,350   OGE Energy Corp.      100,467  
6,464   PG&E Corp.*      60,697  
1,593   PNM Resources, Inc.      65,839  
18,464   Portland General Electric Co.      655,472  
10,952   PPL Corp.      298,004  
    

 

 

 

             2,530,189  
    

 

 

 

Electrical Equipment (0.1%):

  
537   Acuity Brands, Inc.      54,962  
5,857   AMETEK, Inc.      582,186  
    

 

 

 

       637,148  
    

 

 

 

Electronic Equipment, Instruments & Components (0.2%):   
12,718   National Instruments Corp.      454,032  
2,598   SYNNEX Corp.      363,876  
    

 

 

 

       817,908  
    

 

 

 

Energy Equipment & Services (0.1%):

  
26,129   Schlumberger, Ltd.      406,567  
41,401   TechnipFMC plc      261,240  
450   Weatherford International plc*      878  
    

 

 

 

       668,685  
    

 

 

 

Entertainment (0.9%):

  
20,320   Cinemark Holdings, Inc.^      203,200  
8,140   Electronic Arts, Inc.*      1,061,537  
5,425   Netflix, Inc.*      2,712,663  
8,129   Walt Disney Co. (The)      1,008,646  
    

 

 

 

       4,986,046  
    

 

 

 

Equity Real Estate Investment Trusts (1.1%):

  
6,655   American Tower Corp.      1,608,713  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares         Fair Value

Common Stocks, continued

  

Equity Real Estate Investment Trusts, continued

  
2,261   Apple Hospitality REIT, Inc.    $ 21,728  
8,835   Crown Castle International Corp.      1,471,028  
758   CubeSmart      24,491  
9,119   Digital Realty Trust, Inc.      1,338,304  
37   Equinix, Inc.      28,125  
349   Essex Property Trust, Inc.      70,076  
31,824   Host Hotels & Resorts, Inc.      343,381  
53,759   Parks Hotels & Resorts, Inc.^      537,052  
258   Public Storage, Inc.      57,462  
1,939   STAG Industrial, Inc.      59,120  
1,227   VICI Properties, Inc.      28,675  
    

 

 

 

       5,588,155  
    

 

 

 

Food & Staples Retailing (0.6%):

  
2,324   Costco Wholesale Corp.      825,020  
17,320   Walmart, Inc.      2,423,241  
    

 

 

 

       3,248,261  
    

 

 

 

Food Products (0.3%):

  
9,841   Archer-Daniels-Midland Co.      457,508  
19   Hershey Co. (The)      2,723  
7,459   Mondelez International, Inc., Class A      428,520  
13,371   Tyson Foods, Inc., Class A      795,307  
    

 

 

 

             1,684,058  
    

 

 

 

Gas Utilities (0.1%):

  
10,514   UGI Corp.      346,752  
    

 

 

 

Health Care Equipment & Supplies (1.6%):

  
24,600   Abbott Laboratories      2,677,218  
3,835   Baxter International, Inc.      308,411  
3,407   Boston Scientific Corp.*      130,181  
3,425   Danaher Corp.      737,505  
14,284   Edwards Lifesciences Corp.*      1,140,149  
3,849   Hill-Rom Holdings, Inc.      321,430  
20,190   Hologic, Inc.*      1,342,029  
19,102   Medtronic plc      1,985,080  
    

 

 

 

       8,642,003  
    

 

 

 

Health Care Providers & Services (1.1%):

  
5,371   Anthem, Inc.      1,442,597  
969   Cigna Corp.      164,158  
13,274   CVS Health Corp.      775,202  
999   Humana, Inc.      413,476  
99   McKesson Corp.      14,744  
10,552   UnitedHealth Group, Inc.      3,289,797  
    

 

 

 

       6,099,974  
    

 

 

 

Health Care Technology (0.3%):

  
16,121   Cerner Corp.      1,165,387  
906   Veeva Systems, Inc., Class A*      254,758  
    

 

 

 

       1,420,145  
    

 

 

 

Hotels, Restaurants & Leisure (0.8%):

  
42,105   Carnival Corp., Class A^      639,154  
1,279   Hilton Worldwide Holdings, Inc.      109,124  
2,061   McDonald’s Corp.      452,369  
9,851   MGM Resorts International      214,259  
    28,698   Norwegian Cruise Line Holdings, Ltd.*^      491,023  
9,853   Royal Caribbean Cruises, Ltd.      637,785  
5,614   Starbucks Corp.      482,355  
522   Vail Resorts, Inc.      111,692  
28,101   Wyndham Destinations, Inc.      864,387  
    

 

 

 

       4,002,148  
    

 

 

 

Household Durables (0.7%):

  
18,749   D.R. Horton, Inc.      1,417,987  
7,834   MDC Holdings, Inc.      368,981  
5,054   Meritage Homes Corp.*      557,911  
181   NVR, Inc.*      739,045  
15,843   PulteGroup, Inc.      733,372  
Shares         Fair Value

Common Stocks, continued

  

Household Durables, continued

  
5,725   Taylor Morrison Home Corp., Class A*    $ 140,778  
    

 

 

 

       3,958,074  
    

 

 

 

Household Products (0.6%):

  
23,274   Procter & Gamble Co. (The)      3,234,853  
    

 

 

 

Industrial Conglomerates (0.1%):

  
103,791   General Electric Co.      646,618  
    

 

 

 

Insurance (0.8%):

  
4,784   Allstate Corp. (The)      450,366  
4,158   American Financial Group, Inc.      278,503  
1,964   Fidelity National Financial, Inc.      61,493  
15,771   First American Financial Corp.      802,902  
2,871   Hartford Financial Services Group, Inc. (The)      105,825  
4,490   Primerica, Inc.      507,999  
14,825   Progressive Corp. (The)      1,403,482  
668   Selective Insurance Group, Inc.      34,395  
2,952   Unum Group      49,682  
12,682   WR Berkley Corp.      775,504  
    

 

 

 

       4,470,151  
    

 

 

 

Interactive Media & Services (2.6%):

  
2,372   Alphabet, Inc., Class A*      3,476,403  
3,014   Alphabet, Inc., Class C*      4,429,374  
23,123   Facebook, Inc., Class A*      6,055,914  
    

 

 

 

       13,961,691  
    

 

 

 

Internet & Direct Marketing Retail (2.1%):

  
3,571   Amazon.com, Inc.*            11,244,115  
    

 

 

 

IT Services (1.7%):

  
88   Accenture plc, Class C      19,887  
14,333   Amdocs, Ltd.      822,858  
626   Global Payments, Inc.      111,165  
8,699   MasterCard, Inc., Class A      2,941,742  
10,342   PayPal Holdings, Inc.*      2,037,684  
8,075   Square, Inc., Class A*      1,312,591  
303   Twilio, Inc., Class A*      74,868  
1,803   VeriSign, Inc.*      369,345  
7,652   Visa, Inc., Class A      1,530,170  
    

 

 

 

       9,220,310  
    

 

 

 

Leisure Products (0.1%):

  
6,673   Polaris, Inc.      629,531  
    

 

 

 

Life Sciences Tools & Services (0.3%):

  
272   Illumina, Inc.*      84,070  
3,672   Thermo Fisher Scientific, Inc.      1,621,261  
    

 

 

 

       1,705,331  
    

 

 

 

Machinery (1.0%):

  
15,946   AGCO Corp.      1,184,309  
20,138   Allison Transmission Holdings, Inc.      707,649  
4,315   Caterpillar, Inc.      643,582  
6,987   Cummins, Inc.      1,475,375  
9,973   Dover Corp.      1,080,475  
353   Illinois Tool Works, Inc.      68,203  
1,249   Otis Worldwide Corp.      77,963  
10,184   Rexnord Corp.      303,891  
    

 

 

 

       5,541,447  
    

 

 

 

Media (0.1%):

  
12,854   Comcast Corp., Class A      594,626  
2,417   Liberty Media Corp.-Liberty SiriusXM, Class C*      79,954  
2,364   Omnicom Group, Inc.      117,018  
    

 

 

 

       791,598  
    

 

 

 

Metals & Mining (0.7%):

  
19,937   Hecla Mining Co.      101,280  
22,542   Newmont Corp.      1,430,290  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares         Fair Value

Common Stocks, continued

  

Metals & Mining, continued

  
33,463   Novagold Resources, Inc.*    $ 397,875  
8,681   Reliance Steel & Aluminum Co.      885,809  
5,842   Royal Gold, Inc.      702,033  
    

 

 

 

       3,517,287  
    

 

 

 

Mortgage Real Estate Investment Trusts (0.0%):

  
5,290   Annaly Capital Management, Inc.      37,665  
    

 

 

 

Multiline Retail (0.0%):

  
875   Target Corp.      137,743  
    

 

 

 

Multi-Utilities (0.3%):

  
2,470   Avista Corp.      84,276  
11,996   Dominion Energy, Inc.      946,845  
1,321   DTE Energy Co.      151,968  
3,932   NorthWestern Corp.      191,252  
    

 

 

 

       1,374,341  
    

 

 

 

Oil, Gas & Consumable Fuels (0.6%):

  
14,457   Chevron Corp.      1,040,904  
20,039   ConocoPhillips Co.      658,081  
21,892   EOG Resources, Inc.      786,798  
3,908   Exxon Mobil Corp.      134,162  
6,740   Kinder Morgan, Inc.      83,104  
5,976   Pioneer Natural Resources Co.      513,876  
1,415   Sanchez Energy Corp.* (c)      36,790  
    

 

 

 

       3,253,715  
    

 

 

 

Pharmaceuticals (1.8%):

  
30,094   Bristol-Myers Squibb Co.      1,814,367  
10,975   Eli Lilly & Co.      1,624,520  
20,696   Johnson & Johnson Co.      3,081,221  
27,254   Merck & Co., Inc.      2,260,719  
14,140   Mylan NV*      209,696  
15,223   Pfizer, Inc.      558,684  
    

 

 

 

             9,549,207  
    

 

 

 

Professional Services (0.2%):

  
897   ManpowerGroup, Inc.      65,777  
16,219   Nielsen Holdings plc      229,985  
17,293   Robert Half International, Inc.      915,492  
    

 

 

 

       1,211,254  
    

 

 

 

Road & Rail (0.8%):

  
17,560   CSX Corp.      1,363,885  
2,872   Norfolk Southern Corp.      614,579  
10,539   Schneider National, Inc., Class B      260,629  
6,410   Union Pacific Corp.      1,261,937  
21,450   Werner Enterprises, Inc.      900,686  
    

 

 

 

       4,401,716  
    

 

 

 

Semiconductors & Semiconductor Equipment (1.9%):

 

3,274   Advanced Micro Devices, Inc.*      268,435  
14,827   Amkor Technology, Inc.*      166,062  
1,536   Analog Devices, Inc.      179,313  
14,930   Applied Materials, Inc.      887,589  
98   Broadcom, Inc.      35,703  
1,666   Cirrus Logic, Inc.*      112,372  
31,066   Intel Corp.      1,608,597  
1,994   Lam Research Corp.      661,510  
793   Micron Technology, Inc.*      37,239  
6,387   NVIDIA Corp.      3,456,773  
3,731   ON Semiconductor Corp.*      80,925  
19,337   Qualcomm, Inc.      2,275,578  
1,931   Synaptics, Inc.*      155,291  
    

 

 

 

       9,925,387  
    

 

 

 

Software (4.5%):

  
3,911   Adobe, Inc.*      1,918,071  
3,224   Box, Inc.*      55,969  
8,604   Cadence Design Systems, Inc.*      917,445  
Shares         Fair Value

Common Stocks, continued

  

Software, continued

  
45,597   FireEye, Inc.*    $ 562,895  
517   Intuit, Inc.      168,651  
65,041   Microsoft Corp.      13,680,073  
22,848   Oracle Corp.      1,364,026  
852   Proofpoint, Inc.*      89,929  
11,202   salesforce.com, Inc.*      2,815,286  
601   ServiceNow, Inc.*      291,485  
2,955   Synopsys, Inc.*      632,311  
3,040   Verint Systems, Inc.*      146,467  
4,781   Workday, Inc., Class A*      1,028,537  
2,985   Workiva, Inc.*      166,444  
    

 

 

 

       23,837,589  
    

 

 

 

Specialty Retail (1.1%):

  
9,732   Aaron’s, Inc.      551,318  
1,711   AutoNation, Inc.*      90,563  
262   AutoZone, Inc.*      308,542  
6,239   Best Buy Co, Inc.      694,338  
8,755   Home Depot, Inc. (The)      2,431,351  
10,878   Lowe’s Cos., Inc.      1,804,225  
111   Murphy U.S.A., Inc.*      14,238  
    

 

 

 

       5,894,575  
    

 

 

 

Technology Hardware, Storage & Peripherals (3.0%):

 

137,980   Apple, Inc.      15,979,465  
    

 

 

 

Textiles, Apparel & Luxury Goods (0.4%):

  
2,595   Carter’s, Inc.      224,675  
14,108   Nike, Inc., Class B      1,771,118  
    

 

 

 

       1,995,793  
    

 

 

 

Thrifts & Mortgage Finance (0.1%):

  
50,938   MGIC Investment Corp.      451,311  
6,674   TFS Financial Corp.      98,041  
    

 

 

 

       549,352  
    

 

 

 

Tobacco (0.1%):

  
5,400   Philip Morris International, Inc.      404,946  
    

 

 

 

Total Common Stocks (Cost $165,843,942)

           218,727,343  
  

 

 

 

Warrant (0.0%):

  

Oil, Gas & Consumable Fuels (0.0%):

  
2,041   Occidental Petroleum Corp., 8/3/27      6,123  
    

 

 

 

Total Warrant (Cost $–)

     6,123  
  

 

 

 

Right (0.0%):

  

Pharmaceuticals (0.0%):

  
3,536   Bristol-Myers Squibb Co. CVR, Expires on 12/31/21*      7,956  
    

 

 

 

Total Right (Cost $8,133)

     7,956  
  

 

 

 

Contracts,

Shares,

Notional

Amount or

Principal

Amount

        Fair Value

Asset Backed Securities (1.1%):

  

$195,134

 

Aaset Trust, Class A, Series 2019-1, 3.84%, 5/15/39(a)

     181,835  

290,823

 

Aaset Trust, Class A, Series 2019-2, 3.38%, 10/16/39(a)

     272,534  

244,877

 

Aaset Trust, Class A, Series 2020-1A, 4.34%, 1/16/40(a)

     170,903  

242,675

 

Aaset Trust, Class A, Series 2020-1A, 3.35%, 1/16/40(a)

     223,605  

978,807

 

Aaset Trust, Class A, Series 2017-1A, 3.97%, 5/16/42(a)

     884,905  

144,363

 

Aaset Trust, Class A, Series 2018-1A, 3.84%, 1/16/38(a)

     133,363  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,

Shares,

Notional

Amount or

Principal

Amount

        Fair Value

Asset Backed Securities, continued

  

$135,417

 

Blackbird Capital Aircraft, Class AA, Series 2016-1A, 2.49%, 12/16/41, Callable 12/15/24 @ 100(a)(b)

   $ 125,913  

598,167

 

Blackbird Capital Aircraft, Class A, Series 2016-1A, 4.21%, 12/16/41, Callable 12/15/24 @ 100(a)(b)

     540,041  

216,990

 

Castlelake Aircraft Structured Trust, Class B, Series 2019-1, 5.10%, 4/15/39(a)

     155,287  

318,947

 

Castlelake Aircraft Structured Trust, Class A, Series 2018-1A, 4.13%, 6/15/43(a)

     297,759  

285,124

 

Castlelake Aircraft Structured Trust, Class A, Series 2019-1, 3.97%, 4/15/39(a)

     263,870  

214,500

 

DB Master Finance LLC, Class A2I, Series 2017-1A, 3.63%, 11/20/47, Callable 11/20/21 @ 100(a)

     220,779  

358,800

 

DB Master Finance LLC, Class A2II, Series 2017-1A, 4.03%, 11/20/47, Callable 11/20/23 @ 100(a)

     378,336  

221,909

 

Horizon Aircraft Finance, Ltd., Class A, Series 2018-1, 4.46%, 12/15/38(a)

     209,635  

235,728

 

Horizon Aircraft Finance, Ltd., Class A, Series 2019-1, 3.72%, 7/15/39(a)

     220,098  

218,350

 

Planet Fitness Master Issuer LLC, Class A2, Series 1A, 3.86%, 12/5/49, Callable 12/5/25
@ 100(a)

     204,806  

251,661

 

Project Silver, Class A, Series 2019-1, 3.97%, 7/15/44(a)

     235,200  

233,783

 

Sapphire Aviation Finance, Ltd., Class B, Series 2020-1A, 4.34%, 3/15/40(a)

     157,061  

265,806

 

Sapphire Aviation Finance, Ltd., Class A, Series 2020-1A, 3.23%, 3/15/40(a)

     239,678  

361,320

 

Thunderbolt Aircraft Lease, Ltd., Class A, Series 2019-1, 3.67%, 11/15/39(a)

     338,178  

356,092

 

Thunderbolt Aircraft Lease, Ltd., Class A, Series 2018, 4.15%, 9/15/38(a)(b)

     334,763  

260,311

 

Thunderbolt Aircraft Lease, Ltd., Class A, Series 2017-A, 4.21%, 5/17/32, Callable 4/15/24
@ 100(a)(b)

     244,651  
    

 

 

 

Total Asset Backed Securities (Cost $6,628,076)

           6,033,200  
  

 

 

 

Collateralized Mortgage Obligations (3.5%):

  

250,000

 

AIMCO CLO 11, Ltd., Class A, Series 2020-11A(US0003M+138bps), 10/15/31(a)

     250,000  

Contracts,

Shares,

Notional

Amount or

Principal

Amount

        Fair Value

Collateralized Mortgage Obligations, continued

  

$324,000

 

AIMCO CLO, Ltd., Class A, Series 2019-10A, 1.58%(US0003M+132bps), 7/22/32, Callable 7/22/21 @ 100(a)

   $ 320,242  

250,000

 

Allegany Park CLO, Ltd., Class A, Series 2019-1A, 1.60%(US0003M+133bps), 1/20/33, Callable 1/20/22 @ 100(a)

     249,042  

344,000

 

Ares CLO, Ltd., Class AR, Series 2016-41A, 1.47%(US0003M+120bps), 1/15/29, Callable 10/15/20 @ 100(a)

     342,337  

256,000

 

Ares CLO, Ltd., Class A, Series 2019-54A, 1.60%(US0003M+132bps), 10/15/32, Callable 10/15/21 @ 100(a)

     255,325  

250,000

 

Ares LV CLO, Ltd., Class A1, Series 2020-55A, 2.01%(US0003M+170bps), 4/15/31, Callable 7/15/21 @ 100(a)

     250,753  

177,000

 

BAMLL Commercial Mortgage Securities Trust, Class ANM, Series 2019-BPR, 3.11%, 11/5/32(a)

     176,979  

30,000

 

Bank, Class A5, Series 2019-BN21, 2.85%, 10/15/52

     33,260  

68,000

 

Barclays, Class A, Series 2016-MART, 2.20%, 9/13/31(a)

     67,792  

299,299

 

Barings CLO, Ltd., Class A1, Series 2020-1A(US0003M+140bps), 10/15/32(a)

           299,299  

265,000

 

Beechwood Park CLO, Ltd., Class A1, Series 2019-1A, 1.60%(US0003M+133bps), 1/17/33, Callable 1/17/22 @ 100(a)

     264,416  

46,000

 

Benchmark Mortgage Trust, Class A5, Series 2019-B14, 3.05%, 12/15/61

     51,842  

34,000

 

Benchmark Mortgage Trust, Class A5, Series 2018-B4, 4.12%, 7/15/51(b)

     40,334  

309,000

 

Bristol Park CLO, Ltd., Class AR, Series 2016-1A, 1.27%(US0003M+99bps), 4/15/29, Callable 1/15/21 @ 100(a)

     305,589  

245,868

 

BX Commercial Mortgage Trust, Class D, Series 2019-XL, 1.60%(US0001M+145bps), 10/15/36(a)

     244,314  

307,718

 

BX Commercial Mortgage Trust, Class A, Series 2020-BXLP, 0.95%(US0001M+80bps), 12/15/29(a)

     307,334  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,

Shares,

Notional

Amount or

Principal

Amount

        Fair Value

Collateralized Mortgage Obligations, continued

  

$152,860

 

BX Commercial Mortgage Trust, Class B, Series 2020-BXLP, 1.15%(US0001M+100bps), 12/15/29(a)

   $ 152,479  

120,889

 

BX Commercial Mortgage Trust, Class C, Series 2020-BXLP, 1.27%(US0001M+112bps), 12/15/29(a)

     120,289  

142,869

 

BX Commercial Mortgage Trust, Class E, Series 2020-BXLP, 1.75%(US0001M+160bps), 12/15/29(a)

     141,295  

186,829

 

BX Commercial Mortgage Trust, Class D, Series 2020-BXLP, 1.40%(US0001M+125bps), 12/15/29(a)

     185,213  

138,597

 

BX Commercial Mortgage Trust, Class B, Series 2019-XL, 1.23%(US0001M+108bps), 10/15/36(a)

     138,322  

98,905

 

BX Commercial Mortgage Trust, Class D, Series 2018-EXCL, 2.78%(US0001M+263bps), 9/15/37(a)

     73,031  

119,000

 

BX Commercial Mortgage Trust, Class D, Series 2019-IMC, 2.05%(US0001M+190bps), 4/15/34(a)

     108,911  

113,000

 

BX Commercial Mortgage Trust, Class C, Series 2019-IMC, 1.75%(US0001M+160bps), 4/15/34(a)

     104,572  

345,544

 

BX Commercial Mortgage Trust, Class E, Series 2019-XL, 1.95%(US0001M+180bps), 10/15/36(a)

     342,030  

173,722

 

BX Commercial Mortgage Trust, Class C, Series 2019-XL, 1.40%(US0001M+125bps), 10/15/36(a)

     172,962  

172,000

 

BX Commercial Mortgage Trust, Class B, Series 2019-IMC, 1.45%(US0001M+130bps), 4/15/34(a)

     162,165  

298,000

 

BX Commercial Mortgage Trust, Class A, Series 2019-IMC, 1.15%(US0001M+100bps), 4/15/34(a)

           286,916  

94,500

 

BX Commercial Mortgage Trust, Class F, Series 2018-IND, 1.95%(US0001M+180bps), 11/15/35(a)

     93,323  

250,000

 

Cedar Funding CLO, Ltd., Class A1A, Series 2019-11A, 1.60%(US0003M+135bps), 5/29/32, Callable 5/29/21 @ 100(a)

     248,933  

250,000

 

Cedar Funding CLO, Ltd., Class A, Series 2019-10A, 1.61%(US0003M+134bps), 10/20/32, Callable 10/20/21 @ 100(a)

     248,026  

Contracts,

Shares,

Notional

Amount or

Principal

Amount

        Fair Value

Collateralized Mortgage Obligations, continued

  

$250,000

 

Cedar Funding XII CLO, Ltd., Class A, Series 2020-12A(US0003M+127bps), 10/25/32(a)

   $ 250,000  

99,570

 

CHC Commercial Mortgage Trust, Class C, Series 2019-CHC, 1.90%(US0001M+175bps), 6/15/34(a)

     92,954  

99,570

 

CHC Commercial Mortgage Trust, Class B, Series 2019-CHC, 1.65%(US0001M+150bps), 6/15/34(a)

     93,570  

404,256

 

CHC Commercial Mortgage Trust, Class A, Series 2019-CHC, 1.27%(US0001M+112bps), 6/15/34(a)

     385,246  

247,000

 

Columbia Cent CLO 29, Ltd., Class A1N, Series 2020-29A, 1.92%(US0003M+170bps), 7/20/31, Callable 1/20/22 @ 100(a)

     246,601  

57,000

 

Commercial Mortgage Trust, Class A5, Series 2014-CR18, 3.83%, 7/15/47

     62,434  

153,000

 

Credit Suisse Mortgage Capital Certificates, Class C, Series 2019-ICE4, 1.58%(US0001M+143bps), 5/15/36(a)

     151,860  

140,000

 

Credit Suisse Mortgage Capital Certificates, Class B, Series 2019-ICE4, 1.38%(US0001M+123bps), 5/15/36(a)

     139,301  

100,000

 

Credit Suisse Mortgage Capital Certificates, Class A, Series 20-NET, 2.26%, 8/15/37(a)

     103,221  

100,000

 

CSMC Trust, Class B, Series 2018, 4.53%, 4/15/36(a)

     96,163  

100,000

 

CSMC Trust, Class D, Series 2018, 4.78%, 4/15/36(a)

     84,429  

100,000

 

CSMC Trust, Class C, Series 2018, 4.78%, 4/15/36(a)

     91,232  

860,000

 

CSMC Trust, Class D, Series 2017-PFHP, 2.40%(US0001M+225bps), 12/15/30(a)

           753,128  

205,000

 

CSMC Trust, Class A, Series 2018, 4.28%, 4/15/36(a)

     201,941  

290,000

 

Dryden 68 CLO, Ltd., Class A, Series 2019-68A, 1.59%(US0003M+131bps), 7/15/32, Callable 7/15/21 @ 100(a)

     288,629  

250,000

 

Dryden 76 CLO, Ltd., Class A1, Series 2019-76A, 1.60%(US0003M+133bps), 10/20/32, Callable 10/20/21 @ 100(a)

     248,419  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,

Shares,

Notional

Amount or

Principal

Amount

        Fair Value

Collateralized Mortgage Obligations, continued

  

    $250,000

 

Dryden 85 CLO, Ltd., Class A1, Series 2020-85A(US0003M+135bps), 10/15/32(a)

   $ 250,000  

392,000

 

Dryden CLO, Ltd., Class AR2, Series 2014-36A, 1.55%(US0003M+128bps), 4/15/29, Callable 10/15/20 @ 100(a)

     391,311  

275,000

 

Dryden CLO, Ltd., Class A, Series 2019-72A, 1.61%(US0003M+133bps), 5/15/32, Callable 5/15/21 @ 100(a)

     273,419  

250,000

 

Dryden CLO, Ltd., Class A, Series 2020-78A, 2.45%(US0003M+118bps), 4/17/33, Callable 4/17/22 @ 100(a)

     247,564  

300,000

 

Eaton Vance CLO, Ltd., Class A, Series 2020-1A(US0003M+165bps), 10/15/30, Callable 10/15/21
@ 100(a)

     299,237  

286,000

 

Flatiron CLO, Ltd., Class A, Series 2019-1A, 1.60%(US0003M+132bps), 11/16/32, Callable 11/16/21 @ 100(a)

     283,116  

210,000

 

GB Trust, Class A, Series 2020-FLIX, 1.27%(US0001M+112bps),
8/15/37(a)

     210,403  

64,000

 

J.P. Morgan Chase Commercial Mortgage Securities Trust, Class DFX, Series 2018-WPT, 5.35%, 7/5/23(a)

     63,706  

41,000

 

J.P. Morgan Chase Commercial Mortgage Securities Trust, Class CFX, Series 2018-WPT, 4.95%, 7/5/23(a)

     42,114  

87,000

 

J.P. Morgan Chase Commercial Mortgage Securities Trust, Class EFX, Series 2018-WPT, 5.54%, 7/5/23(a)

     83,296  

330,000

 

Madison Park Funding XLV, Ltd., Class A, Series 2020-45A, 1.92%(US0003M+165bps), 7/15/31, Callable 7/15/21 @ 100(a)

     330,673  

250,000

 

Madison Park Funding, Ltd., Class A1R2, Series 2015-19A, 1.18%(US0003M+92bps), 1/22/28, Callable 10/22/20 @ 100(a)

           247,615  

250,000

 

Madison Park Funding, Ltd., Class A, Series 2019-33A, 1.60%(US0003M+133bps), 10/15/32, Callable 1/15/22 @ 100(a)

     249,473  

Contracts,

Shares,

Notional

Amount or

Principal

Amount

        Fair Value

Collateralized Mortgage Obligations, continued

  

    $324,000

 

Madison Park Funding, Ltd., Class A1, Series 2019-37A, 1.58%(US0003M+130bps), 7/15/32, Callable 7/15/21 @ 100(a)

   $ 322,413  

250,000

 

Madison Park Funding, Ltd., Class AR2, Series 2012-101, 1.49%(US0003M+122bps), 1/20/29, Callable 10/20/20 @ 100(a)

     249,032  

500,000

 

Magnetite, Ltd., Class A, Series 24, 1.60%(US0003M+133bps), 1/15/33, Callable 1/15/22 @ 100(a)

     498,894  

302,000

 

Magnetite, Ltd., Class A, Series 2019-21A, 1.55%(US0003M+128bps), 4/20/30, Callable 10/20/20 @ 100(a)

     300,494  

315,000

 

Milos CLO, Ltd., Class AR, Series 2017-1A, 1.34%(US0003M+107bps), 10/20/30, Callable 4/20/21 @ 100(a)

     309,872  

53,000

 

Morgan Stanley Capital I Trust, Class C, Series 2019-Mead, 3.18%, 11/10/36, Callable 11/10/24 @ 100(a)

     49,056  

56,000

 

Morgan Stanley Capital I Trust, Class B, Series 2019-Mead, 3.18%, 11/10/36, Callable 11/10/24 @ 100(a)

     54,020  

385,000

 

Morgan Stanley Capital I Trust, Class A, Series 2019-Mead, 3.17%, 11/10/36, Callable 11/10/24 @ 100(a)

     392,592  

236,041

 

Morgan Stanley Capital I Trust, Class B, Series 2018-BOP, 1.40%(US0001M+125bps), 6/15/35(a)

     227,792  

567,462

 

Morgan Stanley Capital I Trust, Class C, Series 2018-BOP, 1.65%(US0001M+150bps), 6/15/35(a)

     542,914  

132,000

 

Morgan Stanley Capital I Trust, Class A4, Series 2018-H4, 4.31%, 12/15/51

           157,679  

324,000

 

Niagara Park CLO, Ltd., Class A, Series 2019-1A, 1.57%(US0003M+130bps), 7/17/32, Callable 7/17/21 @ 100(a)

     322,716  

311,000

 

RETL, Class C, Series 2019-RVP, 2.25%(US0001M+210bps), 3/15/36(a)

     273,366  

365,000

 

Stratus CLO, Ltd., Class A, Series 2020-1A, 3.29%(US0003M+198bps), 4/30/28, Callable 4/20/21 @ 100(a)

     365,953  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,

Shares,

Notional

Amount or

Principal

Amount

        Fair Value

Collateralized Mortgage Obligations, continued

  

    $250,000

 

Taconic Park CLO, Ltd., Class A1R, Series 2016-1A, 1.27%(US0003M+100bps), 1/20/29, Callable 4/20/21 @ 100(a)

   $ 247,369  

332,000

 

VERDE CLO, Ltd., Class A, Series 2019-1A, 1.63%(US0003M+135bps), 4/15/32, Callable 4/15/21 @ 100(a)

     328,682  

300,000

 

Voya CLO, Ltd., Class A1, Series 2020-2A, 1.78%(US0003M+160bps), 7/19/31, Callable 7/19/21 @ 100(a)

     299,513  

390,000

 

Voya CLO, Ltd., Class A1, Series 2020-3A(US0003M+130bps), 10/20/31(a)

     390,000  

283,000

 

Voya CLO, Ltd., Class A, Series 2020-1A, 2.00%(US0003M+170bps), 7/16/31, Callable 7/16/21 @ 100(a)

     283,261  

335,000

 

Voya CLO, Ltd., Class A, Series 2019-2, 1.54%(US0003M+127bps), 7/20/32, Callable 7/20/21 @ 100(a)

     331,549  

155,000

 

Wells Fargo Commercial Mortgage Trust, Class A5, Series 2018-C48, 4.30%, 1/15/52, Callable 12/15/28 @ 100

     184,628  
    

 

 

 

Total Collateralized Mortgage Obligations

(Cost $18,727,072)

           18,430,175  
  

 

 

 

Convertible Bond (0.0%):

  

Oil, Gas & Consumable Fuels (0.0%):

  

25,300

 

Mesquite Energy, Inc., 15.00%, 7/15/23(a)

     25,300  

Total Convertible Bond (Cost $25,300)

     25,300  
  

 

 

 

Bank Loans (0.1%):

  

Diversified Financial Services (0.1%):

  

96,022

 

Intelsat Jackson Holdings SA, 0.00%, 7/13/21

     97,542  

140,000

 

Intelsat Jackson Holdings SA, 0.00%, 11/27/23

     140,485  

10,000

 

Intelsat Jackson Holdings SA, 0.00%, 1/2/24

     10,063  
    

 

 

 

       248,090  
    

 

 

 

Oil, Gas & Consumable Fuels (0.0%):

  

110,000

 

California Resources Corp., 0.00%, 12/31/21(c)

     2,109  
    

 

 

 

Software (0.0%):

  

55,000

 

Ultimate Software Group, Inc. (The), 0.04%, 5/3/26, Callable 11/7/20 @ 100

     54,801  
    

 

 

 

Total Bank Loans (Cost $366,447)

     305,000  
  

 

 

 

Corporate Bonds (21.2%):

  

Aerospace & Defense (0.4%):

  

145,000

 

Boeing Co. (The), 5.04%, 5/1/27, Callable 3/1/27 @ 100

     159,213  

Contracts,

Shares,

Notional

Amount or

Principal

Amount

        Fair Value

Corporate Bonds, continued

  

Aerospace & Defense, continued

  

    $145,000

 

Boeing Co. (The), 5.15%, 5/1/30, Callable 2/1/30 @ 100

   $ 162,959  

100,000

 

Boeing Co. (The), 5.71%, 5/1/40, Callable 11/1/39 @ 100

     117,469  

100,000

 

Boeing Co. (The), 5.81%, 5/1/50, Callable 11/1/49 @ 100

     121,161  

150,000

 

Boeing Co. (The), 5.93%, 5/1/60, Callable 11/1/59 @ 100

     185,489  

210,000

 

BWX Technologies, Inc., 5.38%, 7/15/26, Callable 7/15/21 @ 102.69(a)

     218,138  

80,000

 

BWX Technologies, Inc., 4.13%, 6/30/28, Callable 6/30/23 @ 102.06(a)

     82,300  

105,000

 

Moog, Inc., 4.25%, 12/15/27, Callable 12/15/22 @ 103.19(a)

     107,100  

200,000

 

Signature Aviation US Holdings, Inc., 5.38%, 5/1/26, Callable 5/1/21 @ 102.69(a)

     201,000  

15,000

 

TransDigm, Inc., 6.50%, 5/15/25, Callable 11/9/20 @ 103.25

     14,906  

185,000

 

TransDigm, Inc., 8.00%, 12/15/25, Callable 4/8/22 @ 104(a)

     200,725  

240,000

 

TransDigm, Inc., 6.25%, 3/15/26, Callable 3/15/22 @ 103.13(a)

     250,800  

40,000

 

TransDigm, Inc., 6.88%, 5/15/26, Callable 5/15/21 @ 105.16

     40,200  

40,000

 

TransDigm, Inc., 6.38%, 6/15/26, Callable 6/15/21 @ 103.19

     40,000  

35,000

 

TransDigm, Inc., 7.50%, 3/15/27, Callable 3/15/22 @ 103.75

     36,225  

425,000

 

TransDigm, Inc., 5.50%, 11/15/27, Callable 11/15/22 @ 102.75

     407,999  
    

 

 

 

             2,345,684  
    

 

 

 

Air Freight & Logistics (0.0%):

  

135,000

 

XPO Logistics, Inc., 6.25%, 5/1/25, Callable 5/1/22 @ 103.13(a)

     143,775  
    

 

 

 

Automobiles (0.1%):

  

240,000

 

Volkswagen Group of America Finance LLC, 2.90%, 5/13/22(a)

     248,112  

209,000

 

Volkswagen Group of America Finance LLC, 3.13%, 5/12/23(a)

     220,695  
    

 

 

 

       468,807  
    

 

 

 

Banks (1.7%):

  

640,000

 

Bank of America Corp., 4.20%, 8/26/24, MTN

     710,458  

410,000

 

Bank of America Corp., Series L, 3.95%, 4/21/25, MTN

     453,408  

151,000

 

Bank of America Corp., Series G, 4.45%, 3/3/26

     173,842  

70,000

 

CIT Group, Inc., 3.93% (SOFR+4 bps), 6/19/24, Callable 6/19/23 @ 100

     70,175  

165,000

 

CIT Group, Inc., 6.13%, 3/9/28

     188,100  

730,000

 

Citigroup, Inc., Series V, 4.05%, 7/30/22

     774,693  

255,000

 

Citigroup, Inc., 3.35% (US0003M+90 bps), 4/24/25, Callable 4/24/24 @ 100

     275,031  

1,098,000

 

Citigroup, Inc., 4.30%, 11/20/26

     1,253,907  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,

Shares,

Notional

Amount or

Principal

Amount

        Fair Value

Corporate Bonds, continued

  

Banks, continued

  

$456,000

 

Citigroup, Inc., 4.41% (SOFR+391 bps), 3/31/31, Callable 3/31/30 @ 100

   $ 546,592  

    2,005,000

 

JPMorgan Chase & Co., 3.88%, 9/10/24

     2,218,231  

181,000

 

JPMorgan Chase & Co., 2.96% (SOFR+252 bps), 5/13/31, Callable 5/13/30 @ 100

     193,437  

205,000

 

Wells Fargo & Co., 2.41% (US0003M+83 bps), 10/30/25, Callable 10/30/24 @ 100, MTN

     214,263  

645,000

 

Wells Fargo & Co., 4.48% (US0003M+4 bps), 4/4/31, Callable 4/4/30 @ 100, MTN

     778,972  

921,000

 

Wells Fargo & Co., 5.01% (US0003M+424 bps), 4/4/51, Callable 4/4/50 @ 100, MTN

           1,255,699  
    

 

 

 

       9,106,808  
    

 

 

 

Beverages (0.4%):

  

400,000

 

Anheuser-Busch InBev Worldwide, Inc., 3.50%, 6/1/30, Callable 3/1/30 @ 100

     457,061  

150,000

 

Anheuser-Busch InBev Worldwide, Inc., 4.35%, 6/1/40, Callable 12/1/39 @ 100

     174,405  

400,000

 

Anheuser-Busch InBev Worldwide, Inc., 4.50%, 6/1/50, Callable 12/1/49 @ 100

     478,654  

333,000

 

Anheuser-Busch InBev Worldwide, Inc., 4.75%, 4/15/58, Callable 10/15/57 @ 100

     404,801  

345,000

 

Anheuser-Busch InBev Worldwide, Inc., 5.80%, 1/23/59, Callable 7/23/58 @ 100

     493,095  

163,000

 

Anheuser-Busch InBev Worldwide, Inc., 4.60%, 6/1/60, Callable 12/1/59 @ 100

     196,875  
    

 

 

 

       2,204,891  
    

 

 

 

Biotechnology (0.2%):

  

1,050,000

 

AbbVie, Inc., 3.45%, 3/15/22, Callable 1/15/22 @ 100(a)

     1,090,185  
    

 

 

 

Building Products (0.0%):

  

205,000

 

Advanced Drainage Systems, Inc., 5.00%, 9/30/27, Callable 9/30/22 @ 102.5(a)

     213,969  
    

 

 

 

Capital Markets (1.3%):

  

457,000

 

Ares Capital Corp., 4.20%, 6/10/24, Callable 5/10/24 @ 100

     474,709  

507,000

 

Ares Capital Corp., 3.88%, 1/15/26, Callable 12/15/25 @ 200

     516,638  

780,000

 

Goldman Sachs Group, Inc. (The), 3.80%, 3/15/30, Callable 12/15/29 @ 100

     894,832  

128,000

 

Goldman Sachs Group, Inc. (The), 6.75%, 10/1/37

     185,015  

3,431,000

 

Morgan Stanley, 3.74% (US0003M+85 bps), 4/24/24, Callable 4/24/23 @ 100

     3,689,203  

Contracts,

Shares,

Notional

Amount or

Principal

Amount

        Fair Value

Corporate Bonds, continued

  

Capital Markets, continued

  

    $434,000

 

Morgan Stanley, 3.62% (SOFR+312 bps), 4/1/31, Callable 4/1/30 @ 100

   $ 497,968  

296,000

 

Pine Street Trust I, 4.57%, 2/15/29, Callable 11/15/28 @ 100(a)

     341,401  

300,000

 

Pine Street Trust II, 5.57%, 2/15/49, Callable 8/15/48 @ 100(a)

     356,062  

45,000

 

US Renal Care, Inc., 10.63%, 7/15/27, Callable 7/15/22 @ 105.31(a)

     47,925  
    

 

 

 

       7,003,753  
    

 

 

 

Chemicals (0.1%):

  

95,000

 

Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 6/15/27, Callable 6/15/23 @ 102.38(a)

     97,613  

5,000

 

CF Industries, Inc., 4.95%, 6/1/43

     5,800  

40,000

 

CF Industries, Inc., 5.38%, 3/15/44

     48,000  

120,000

 

Chemours Co., 7.00%, 5/15/25, Callable 11/9/20 @ 207^

     120,750  

201,000

 

Chemours Co., 5.38%, 5/15/27, Callable 2/15/27 @ 100

     198,487  

10,000

 

Olin Corp., 5.63%, 8/1/29, Callable 8/1/24 @ 205.62

     9,800  

35,000

 

Olin Corp., 5.00%, 2/1/30, Callable 2/1/24 @ 205

     32,988  

130,000

 

Valvoline, Inc., 4.38%, 8/15/25, Callable 11/9/20 @ 103.28

     133,249  

25,000

 

Valvoline, Inc., 4.25%, 2/15/30, Callable 2/15/25 @ 102.13(a)

     25,438  

50,000

 

WR Grace & Co., 4.88%, 6/15/27, Callable 6/15/23 @ 102.44(a)

     51,625  
    

 

 

 

             723,750  
    

 

 

 

Commercial Services & Supplies (0.2%):

  

70,000

 

Aramark Services, Inc., 5.00%, 4/1/25, Callable 11/9/20 @ 207.5^(a)

     71,050  

275,000

 

Aramark Services, Inc., 6.38%, 5/1/25, Callable 5/1/22 @ 103.19(a)

     286,000  

171,000

 

Aramark Services, Inc., 5.00%, 2/1/28, Callable 2/1/23 @ 205^(a)

     172,283  

60,000

 

Tempo Acquisition LLC /Tempo Acquisition Finance Corp., 5.75%, 6/1/25, Callable 6/1/22 @ 102.88(a)

     62,550  

230,000

 

Tempo Finance Corp., 6.75%, 6/1/25, Callable 10/19/20 @ 103.38(a)

     234,600  
    

 

 

 

       826,483  
    

 

 

 

Construction & Engineering (0.1%):

  

270,000

 

AECOM, 5.13%, 3/15/27, Callable 12/15/26 @ 100

     290,249  

235,000

 

Brand Industrial Services, Inc., 8.50%, 7/15/25, Callable 11/9/20 @ 106.34(a)

     221,194  

150,000

 

Pike Corp., 5.50%, 9/1/28, Callable 9/1/23 @ 205.5(a)

     150,188  
    

 

 

 

       661,631  
    

 

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,

Shares,

Notional

Amount or

Principal

Amount

        Fair Value

Corporate Bonds, continued

  

Consumer Finance (2.0%):

  

    $390,000

 

Ally Financial, Inc., 3.05%, 6/5/23, Callable 5/5/23 @ 100

   $ 404,625  

90,000

 

Ally Financial, Inc., 1.45%, 10/2/23, Callable 9/2/23 @ 200

     89,888  

100,000

 

Ally Financial, Inc., 5.13%, 9/30/24

     111,500  

224,000

 

Ally Financial, Inc., 5.80%, 5/1/25, Callable 4/1/25 @ 100

     257,600  

142,000

 

Ally Financial, Inc., 5.75%, 11/20/25, Callable 10/21/25 @ 100

     159,040  

313,000

 

Capital One Financial Corp., 2.60%, 5/11/23, Callable 4/11/23 @ 100

     327,497  

565,000

 

Capital One Financial Corp., 3.65%, 5/11/27, Callable 4/11/27 @ 100

     623,626  

343,000

 

Capital One Financial Corp., 3.80%, 1/31/28, Callable 12/31/27 @ 100

     381,411  

1,000,000

 

Discover Bank, 3.20%, 8/9/21, Callable 7/9/21 @ 100

           1,021,258  

250,000

 

Discover Bank, Series B, 4.68% (USSW5+173 bps), 8/9/28, Callable 8/9/23 @ 100

     262,778  

1,000,000

 

Discover Financial Services, 5.20%, 4/27/22

     1,067,478  

253,000

 

Discover Financial Services, 4.50%, 1/30/26, Callable 11/30/25 @ 100

     288,995  

200,000

 

Ford Motor Credit Co. LLC, 5.09%, 1/7/21

     200,743  

313,000

 

Ford Motor Credit Co. LLC, 5.60%, 1/7/22

     319,654  

50,000

 

Ford Motor Credit Co. LLC, 3.22%, 1/9/22

     50,001  

35,000

 

Ford Motor Credit Co. LLC, 3.34%, 3/28/22, Callable 2/28/22 @ 100

     34,813  

50,000

 

Ford Motor Credit Co. LLC, 3.09%, 1/9/23

     49,002  

329,000

 

Ford Motor Credit Co. LLC, 5.58%, 3/18/24, Callable 2/18/24 @ 100

     342,438  

968,000

 

Ford Motor Credit Co. LLC, 4.06%, 11/1/24, Callable 10/1/24 @ 100

     966,776  

70,000

 

Ford Motor Credit Co. LLC, 4.69%, 6/9/25, Callable 4/9/25 @ 100

     70,871  

55,000

 

Ford Motor Credit Co. LLC, 5.13%, 6/16/25, Callable 5/16/25 @ 100

     56,484  

85,000

 

Ford Motor Credit Co. LLC, 5.11%, 5/3/29, Callable 2/3/29 @ 100

     86,457  

70,000

 

General Motors Acceptance Corp., 8.00%, 11/1/31

     95,725  

500,000

 

General Motors Financial Co., Inc., 4.20%, 3/1/21, Callable 2/1/21 @ 100

     504,702  

20,000

 

Navient Corp., 7.25%, 1/25/22, MTN

     20,500  

220,000

 

Navient Corp., 7.25%, 9/25/23

     227,700  

271,000

 

Synchrony Bank, Series B, 3.65%, 5/24/21, Callable 4/24/21 @ 100

     275,071  

510,000

 

Synchrony Financial, 3.75%, 8/15/21, Callable 6/15/21 @ 100

     520,203  

76,000

 

Synchrony Financial, 2.85%, 7/25/22, Callable 6/25/22 @ 100

     78,217  

244,000

 

Synchrony Financial, 4.38%, 3/19/24, Callable 2/19/24 @ 100

     264,401  

Contracts,

Shares,

Notional

Amount or

Principal

Amount

        Fair Value

Corporate Bonds, continued

  

Consumer Finance, continued

  

    $610,000

 

Synchrony Financial, 4.25%, 8/15/24, Callable 5/15/24 @ 100

   $ 660,990  

405,000

 

Synchrony Financial, 3.95%, 12/1/27, Callable 9/1/27 @ 100

     434,945  

423,000

 

Synchrony Financial, 5.15%, 3/19/29, Callable 12/19/28 @ 100

     491,773  
    

 

 

 

             10,747,162  
    

 

 

 

Containers & Packaging (0.1%):

  

100,000

 

Berry Global Escrow Corp., 4.88%, 7/15/26, Callable 7/15/22 @ 102.44(a)

     105,676  

50,000

 

Crown Cork & Seal Co., Inc., 7.38%, 12/15/26^

     59,313  

100,000

 

Reynolds Group Issuer, Inc., 5.13%, 7/15/23, Callable 11/9/20 @ 101.28(a)

     100,750  

115,000

 

Silgan Holdings, Inc., 4.75%, 3/15/25, Callable 11/9/20 @ 102.38

     116,724  
    

 

 

 

       382,463  
    

 

 

 

Diversified Consumer Services (0.2%):

  

90,000

 

APX Group, Inc., 6.75%, 2/15/27, Callable 2/15/23 @ 206.76(a)

     92,925  

125,000

 

Ascend Learning LLC, 6.88%, 8/1/25, Callable 11/9/20 @ 103.44(a)

     128,125  

190,000

 

Ascend Learning LLC, 6.88%, 8/1/25, Callable 11/9/20 @ 103.44(a)

     194,750  

80,000

 

Frontdoor, Inc., 6.75%, 8/15/26, Callable 8/15/21 @ 105.06(a)

     85,400  

460,000

 

Laureate Education, Inc., 8.25%, 5/1/25, Callable 11/9/20 @ 106.19(a)

     488,175  

70,000

 

Service Corp International, 5.13%, 6/1/29, Callable 6/1/24 @ 102.56

     77,000  

130,000

 

Sotheby’s, 7.38%, 10/15/27, Callable 10/15/22 @ 207.38^(a)

     130,000  
    

 

 

 

       1,196,375  
    

 

 

 

Diversified Financial Services (0.3%):

  

60,000

 

AXA Equitable Holdings, Inc., 3.90%, 4/20/23, Callable 3/20/23 @ 100

     64,574  

100,000

 

Banff Merger Sub, Inc., 9.75%, 9/1/26, Callable 9/1/21 @ 104.88(a)

     105,750  

145,000

 

Camelot Finance SA, 4.50%, 11/1/26, Callable 11/1/22 @ 102.25(a)

     147,719  

200,000

 

Flex Acquisition Co., Inc., 6.88%, 1/15/25, Callable 11/9/20 @ 103.44(a)

     199,500  

76,000

 

Flex Acquisition Co., Inc., 7.88%, 7/15/26, Callable 7/15/21 @ 207.88^(a)

     77,140  

105,000

 

Level 3 Financing, Inc., 4.25%, 7/1/28, Callable 7/1/23 @ 102.13(a)

     106,706  

15,000

 

Level 3 Financing, Inc., 3.63%, 1/15/29, Callable 1/15/24 @ 203.62(a)

     14,813  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,

Shares,

Notional

Amount or

Principal

Amount

        Fair Value

Corporate Bonds, continued

  

Diversified Financial Services, continued

  

    $500,000

 

Peachtree Funding Trust, 3.98%, 2/15/25(a)

   $ 550,685  

185,000

 

Voya Financial, Inc., 3.13%, 7/15/24, Callable 5/15/24 @ 100

     199,431  
    

 

 

 

       1,466,318  
    

 

 

 

Diversified Telecommunication Services (0.4%):

 

28,000

 

AT&T, Inc., 4.45%, 4/1/24, Callable 1/1/24 @ 100

     31,227  

65,000

 

AT&T, Inc., 4.10%, 2/15/28, Callable 11/15/27 @ 100

     75,043  

138,000

 

AT&T, Inc., 4.30%, 2/15/30, Callable 11/15/29 @ 100

     163,434  

400,000

 

AT&T, Inc., 5.15%, 11/15/46, Callable 5/15/46 @ 100

     496,970  

200,000

 

AT&T, Inc., 4.50%, 3/9/48, Callable 9/9/47 @ 100

     225,732  

80,000

 

CenturyLink, Inc., 5.63%, 4/1/25, Callable 1/1/25 @ 100

     85,300  

235,000

 

CenturyLink, Inc., 5.13%, 12/15/26, Callable 12/15/22 @ 102.56(a)

     240,875  

10,000

 

CenturyLink, Inc., Series G, 6.88%, 1/15/28

     11,200  

55,000

 

Front Range BidCo, Inc., 4.00%, 3/1/27, Callable 3/1/21 @ 102(a)

     54,106  

120,000

 

Front Range BidCo, Inc., 6.13%, 3/1/28, Callable 3/1/23
@ 103.06(a)

     123,900  

505,000

 

Frontier Communications Corp., 8.00%, 4/1/27, Callable 4/1/22 @ 106(a)

     505,000  
    

 

 

 

             2,012,787  
    

 

 

 

Electric Utilities (0.6%):

  

356,000

 

Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27, Callable 10/15/22 @ 103.38(a)

     372,910  

165,000

 

Cleco Corporate Holdings LLC, 3.38%, 9/15/29, Callable 6/15/29 @ 200

     167,908  

54,000

 

Duquesne Light Holdings, Inc., 2.53%, 10/1/30, Callable 7/1/30 @ 200(a)

     54,114  

790,000

 

Edison International, 5.75%, 6/15/27, Callable 4/15/27 @ 100

     869,218  

109,000

 

Emera US Finance LP, 2.70%, 6/15/21, Callable 5/15/21 @ 100

     110,500  

75,000

 

Exelon Corp., 4.05%, 4/15/30, Callable 1/15/30 @ 100

     87,667  

33,000

 

Exelon Corp., 4.70%, 4/15/50, Callable 10/15/49 @ 100

     42,027  

136,000

 

IPALCO Enterprises, Inc., 3.70%, 9/1/24, Callable 7/1/24 @ 100

     147,900  

115,000

 

NextEra Energy Operating Partners LP, 4.25%, 9/15/24, Callable 7/15/24 @ 100(a)

     119,888  

140,826

 

NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25(a)

     148,571  

135,000

 

PG&E Corp., 5.25%, 7/1/30, Callable 7/1/25 @ 102.63

     130,444  

Contracts,

Shares,

Notional

Amount or

Principal

Amount

        Fair Value

Corporate Bonds, continued

  

Electric Utilities, continued

  

    $390,000

 

Vistra Operations Co. LLC, 5.50%, 9/1/26, Callable 9/1/21
@ 102.75(a)

   $ 406,575  

80,000

 

Vistra Operations Co. LLC, 5.63%, 2/15/27, Callable 2/15/22 @ 102.81(a)

     84,100  

260,000

 

Vistra Operations Co. LLC, 5.00%, 7/31/27, Callable 7/31/22
@ 102.5(a)

     272,350  
    

 

 

 

             3,014,172  
    

 

 

 

Electronic Equipment, Instruments &
Components (0.1%):
  

325,000

 

TTM Technologies, Inc., 5.63%, 10/1/25, Callable 11/9/20 @ 102.81(a)

     332,313  
    

 

 

 

Energy Equipment & Services (0.0%):

  

99,000

 

Weatherford International, Ltd., 11.00%, 12/1/24, Callable 12/1/21 @ 105.5(a)

     59,400  
    

 

 

 

Entertainment (0.1%):

  

200,000

 

Netflix, Inc., 4.88%, 4/15/28

     224,500  

55,000

 

Netflix, Inc., 5.88%, 11/15/28

     65,175  

25,000

 

Netflix, Inc., 6.38%, 5/15/29

     30,844  

25,000

 

Netflix, Inc., 5.38%, 11/15/29(a)

     29,250  
    

 

 

 

       349,769  
    

 

 

 

Equity Real Estate Investment Trusts (2.4%):

 

184,000

 

Alexandria Real Estate Equities, Inc., 4.90%, 12/15/30, Callable 9/15/30 @ 100

     232,139  

164,000

 

Boston Properties LP, 3.25%, 1/30/31, Callable 10/30/30 @ 100

     176,305  

1,039,000

 

Brandywine Operating Partners LP, 4.10%, 10/1/24, Callable 7/1/24 @ 100

     1,090,891  

265,000

 

Brandywine Operating Partners LP, 3.95%, 11/15/27, Callable 8/15/27 @ 100

     274,863  

62,000

 

Brandywine Operating Partners LP, 4.55%, 10/1/29, Callable 7/1/29 @ 100

     65,841  

355,000

 

Brixmor Operating Partners LP, 3.85%, 2/1/25, Callable 11/1/24 @ 100

     377,234  

528,000

 

Brixmor Operating Partnership LP, 3.25%, 9/15/23, Callable 7/15/23 @ 100

     546,500  

252,000

 

Brixmor Operating Partnership LP, 4.13%, 5/15/29, Callable 2/15/29 @ 100

     272,942  

203,000

 

Brixmor Operating Partnership LP, 4.05%, 7/1/30, Callable 4/1/30 @ 100

     217,282  

717,000

 

Corporate Office Properties Trust, 5.25%, 2/15/24, Callable 11/15/23 @ 100

     785,050  

68,000

 

Corporate Office Properties, LP, 2.25%, 3/15/26, Callable 2/15/26 @ 200

     68,772  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value

Corporate Bonds, continued

  

Equity Real Estate Investment Trusts, continued

 

$130,000

 

Corrections Corp. of America, 5.00%, 10/15/22, Callable 7/15/22 @ 100

   $ 127,563  

10,000

 

Corrections Corp. of America, 4.63%, 5/1/23, Callable 2/1/23 @ 100

     9,513  

183,000

 

Duke Realty LP, 3.63%, 4/15/23, Callable 1/15/23 @ 100

     194,234  

40,000

 

Geo Group, Inc. (The), 5.88%, 10/15/24, Callable 11/9/20 @ 101.96

     30,600  

34,000

 

HCP, Inc., 3.50%, 7/15/29, Callable 4/15/29 @ 100

     37,462  

66,000

 

Healthcare Trust of America Holdings LP, 3.50%, 8/1/26, Callable 5/1/26 @ 100

     73,971  

63,000

 

Healthcare Trust of America Holdings LP, 3.10%, 2/15/30, Callable 11/15/29 @ 100

     67,746  

400,000

 

Hudson Pacific Properties LP, 4.65%, 4/1/29, Callable 1/1/29 @ 100

     455,243  

735,000

 

Lexington Realty Trust, 4.40%, 6/15/24, Callable 3/15/24 @ 100

     802,065  

32,000

 

Lexington Realty Trust, 2.70%, 9/15/30, Callable 6/15/30 @ 200

     32,611  

25,000

 

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.63%, 6/15/25, Callable 3/15/25 @ 100(a)

     25,500  

300,000

 

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.50%, 9/1/26, Callable 6/1/26 @ 100

     304,500  

45,000

 

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 5.75%, 2/1/27, Callable 11/1/26 @ 100

     48,375  

200,000

 

MPT Operating Partnership LP/MPT Finance Corp., 5.25%, 8/1/26, Callable 8/1/21 @ 102.63

     205,000  

549,000

 

Omega Healthcare Investors, Inc., 4.38%, 8/1/23, Callable 6/1/23 @ 100

     588,695  

101,000

 

Omega Healthcare Investors, Inc., 4.50%, 1/15/25, Callable 10/15/24 @ 100

     107,289  

1,278,000

 

Omega Healthcare Investors, Inc., 4.50%, 4/1/27, Callable 1/1/27 @ 100

           1,370,143  

282,000

 

Omega Healthcare Investors, Inc., 3.63%, 10/1/29, Callable 7/1/29 @ 100

     285,701  

42,000

 

Realty Income Corp., 3.25%, 1/15/31, Callable 10/15/30 @ 100

     46,406  

15,000

 

Retail Properties of America, Inc., 4.75%, 9/15/30, Callable 6/15/30 @ 200

     15,026  

297,000

 

SBA Tower Trust, 2.84%, 1/15/25(a)

     312,390  

97,000

 

SBA Tower Trust, 1.88%, 1/15/26(a)

     98,822  

74,000

 

SBA Tower Trust, 2.33%, 1/15/52(a)

     75,496  
Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value

Corporate Bonds, continued

  

Equity Real Estate Investment Trusts, continued

 

$69,000

 

Simon Property Group LP, 2.45%, 9/13/29, Callable 6/13/29 @ 100

   $ 68,236  

96,000

 

STORE Capital Corp., 4.63%, 3/15/29, Callable 12/15/28 @ 100

     103,747  

700,000

 

Tanger Properties LP, 3.88%, 12/1/23, Callable 9/1/23 @ 100

     700,003  

302,000

 

Tanger Properties LP, 3.75%, 12/1/24, Callable 9/1/24 @ 200^

     299,791  

165,000

 

The Geo Group, Inc., 6.00%, 4/15/26, Callable 4/15/21 @ 103

     117,975  

40,000

 

Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.13%, 12/15/24, Callable 11/9/20 @ 210.68(a)

     38,600  

280,000

 

Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.88%, 2/15/25, Callable 2/15/22 @ 207.88(a)

     296,100  

118,000

 

Ventas Realty LP, 3.13%, 6/15/23, Callable 3/15/23 @ 100

     123,460  

131,000

 

Ventas Realty LP, 4.00%, 3/1/28, Callable 12/1/27 @ 100

     142,227  

367,000

 

Ventas Realty LP, 3.00%, 1/15/30, Callable 10/15/29 @ 100

     373,429  

430,000

 

Ventas Realty LP, 4.75%, 11/15/30, Callable 8/15/30 @ 100

     502,564  

65,000

 

VEREIT Operating Partnership LP, 3.40%, 1/15/28, Callable 11/15/27 @ 100

     67,867  

60,000

 

Vici Properties, 3.50%, 2/15/25, Callable 2/15/22 @ 101.75(a)

     59,625  

85,000

 

Vici Properties, 4.25%, 12/1/26, Callable 12/1/22 @ 102.13(a)

     85,425  

85,000

 

Vici Properties, 4.63%, 12/1/29, Callable 12/1/24 @ 102.31(a)

     86,488  

400,000

 

WP Carey, Inc., 4.60%, 4/1/24, Callable 1/1/24 @ 100

     438,044  

66,000

 

WP Carey, Inc., 3.85%, 7/15/29, Callable 4/15/29 @ 100

     70,911  
    

 

 

 

             12,996,662  
    

 

 

 

Food & Staples Retailing (0.2%):

 

115,000

 

Performance Food Group, Inc., 6.88%, 5/1/25, Callable 5/1/22 @ 206.88^(a)

     122,475  

85,000

 

Performance Food Group, Inc., 5.50%, 10/15/27, Callable 10/15/22 @ 205.5(a)

     87,550  

120,000

 

Sysco Corp., 5.65%, 4/1/25, Callable 3/1/25 @ 100

     142,043  

140,000

 

Sysco Corp., 5.95%, 4/1/30, Callable 1/1/30 @ 100

     176,796  

140,000

 

Sysco Corp., 6.60%, 4/1/40, Callable 10/1/39 @ 100

     190,352  

140,000

 

Sysco Corp., 6.60%, 4/1/50, Callable 10/1/49 @ 200^

     196,366  

65,000

 

US Foods, Inc., 5.88%, 6/15/24, Callable 11/9/20 @ 101.47(a)

     65,000  

75,000

 

US Foods, Inc., 6.25%, 4/15/25, Callable 4/15/22 @ 103.13(a)

     79,406  
    

 

 

 

       1,059,988  
    

 

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value

Corporate Bonds, continued

  

Food Products (0.3%):

  

$625,000

 

JBS USA Finance, Inc., 5.75%, 6/15/25, Callable 11/9/20 @ 102.88(a)

   $ 640,624  

50,000

 

JBS USA Finance, Inc., 6.75%, 2/15/28, Callable 2/15/23 @ 103.38(a)

     54,375  

345,000

 

JBS USA Finance, Inc., 6.50%, 4/15/29, Callable 4/15/24 @ 103.25(a)

     382,950  

180,000

 

JBS USA Finance, Inc., 5.50%, 1/15/30, Callable 1/15/25 @ 102.75(a)

     195,750  

95,000

 

Kraft Heinz Foods Co., 5.00%, 7/15/35, Callable 1/15/35 @ 200

     109,489  

115,000

 

Post Holding, Inc., 5.00%, 8/15/26, Callable 8/15/21 @ 102.5(a)

     117,588  

40,000

 

Post Holding, Inc., 4.63%, 4/15/30, Callable 4/15/25 @ 102.31(a)

     41,150  

45,000

 

Post Holdings, Inc., 5.63%, 1/15/28, Callable 12/1/22 @ 102.81(a)

     47,700  

70,000

 

TreeHouse Foods, Inc., 4.00%, 9/1/28, Callable 9/1/23 @ 204

     70,788  
    

 

 

 

             1,660,414  
    

 

 

 

Health Care Equipment & Supplies (0.1%):

  

90,000

 

Hologic, Inc., 3.25%, 2/15/29, Callable 9/28/23 @ 203.26(a)

     90,674  

125,000

 

Teleflex, Inc., 4.88%, 6/1/26, Callable 6/1/21 @ 102.44

     129,063  

25,000

 

Teleflex, Inc., 4.25%, 6/1/28, Callable 6/1/23 @ 102.13(a)

     25,938  
    

 

 

 

       245,675  
    

 

 

 

Health Care Providers & Services (1.1%):

  

250,000

 

Centene Corp., 4.75%, 1/15/25, Callable 11/9/20 @ 103.56

     256,563  

35,000

 

Centene Corp., 5.25%, 4/1/25, Callable 10/9/20 @ 103.94(a)

     36,400  

90,000

 

Centene Corp., 5.38%, 6/1/26, Callable 6/1/21 @ 104.03(a)

     94,950  

360,000

 

Centene Corp., 4.25%, 12/15/27, Callable 12/15/22 @ 102.13

     375,300  

610,000

 

Centene Corp., 4.63%, 12/15/29, Callable 12/15/24 @ 102.31

     657,275  

245,000

 

Centene Corp., 3.38%, 2/15/30, Callable 2/15/25 @ 101.69

     254,188  

341,000

 

Cigna Corp., 4.38%, 10/15/28, Callable 7/15/28 @ 100

     404,193  

170,000

 

Community Health Systems, Inc., 6.25%, 3/31/23, Callable 11/9/20 @ 103.13

     166,175  

260,000

 

Community Health Systems, Inc., 8.00%, 3/15/26, Callable 3/15/22 @ 104(a)

     255,450  

171,000

 

CVS Health Corp., 4.10%, 3/25/25, Callable 1/25/25 @ 100

     193,182  

78,000

 

CVS Health Corp., 3.63%, 4/1/27, Callable 2/1/27 @ 100

     87,425  

696,000

 

CVS Health Corp., 4.30%, 3/25/28, Callable 12/25/27 @ 100

     810,708  

347,000

 

CVS Health Corp., 4.78%, 3/25/38, Callable 9/25/37 @ 100

     419,488  
Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value

Corporate Bonds, continued

  

Health Care Providers & Services, continued

  

$135,000

 

DaVita, Inc., 4.63%, 6/1/30, Callable 6/1/25 @ 102.31(a)

   $ 138,206  

20,000

 

HCA, Inc., 4.75%, 5/1/23

     21,775  

240,000

 

HCA, Inc., 5.38%, 2/1/25

     262,800  

180,000

 

MPH Acquisition Holdings, 7.13%, 6/1/24, Callable 11/9/20
@ 103.56(a)

     184,950  

50,000

 

Radiology Partners, Inc., 9.25%, 2/1/28, Callable 2/1/23
@ 209.26^(a)

     52,000  

205,000

 

Tenet Healthcare Corp., 7.50%, 4/1/25, Callable 4/1/22
@ 103.75(a)

     221,400  

235,000

 

Tenet Healthcare Corp., 7.00%, 8/1/25, Callable 11/9/20
@ 207^

     239,700  

55,000

 

Tenet Healthcare Corp., 4.88%, 1/1/26, Callable 3/1/22
@ 102.44(a)

     55,825  

150,000

 

Tenet Healthcare Corp., 6.25%, 2/1/27, Callable 2/1/22
@ 103.13(a)

     154,500  

30,000

 

Tenet Healthcare Corp., 4.63%, 6/15/28, Callable 6/15/23
@ 102.31(a)

     30,300  

130,000

 

Tenet Healthcare Corp., 6.13%, 10/1/28, Callable 10/1/23
@ 206.12(a)

     126,425  

117,000

 

Toledo Hospital (The), Series B, 5.33%, 11/15/28

     131,776  

216,000

 

Toledo Hospital (The), 6.02%, 11/15/48

     248,131  

66,000

 

UnitedHealth Group, Inc., 2.75%, 5/15/40, Callable 11/15/39 @ 100

     69,024  

15,000

 

Vizient, Inc., 6.25%, 5/15/27, Callable 5/15/22 @ 103.13(a)

     15,750  
    

 

 

 

             5,963,859  
    

 

 

 

Hotels, Restaurants & Leisure (0.4%):

  

75,000

 

Boyd Gaming Corp., 6.38%, 4/1/26, Callable 4/1/21 @ 103.19

     78,094  

40,000

 

Boyd Gaming Corp., 6.00%, 8/15/26, Callable 8/15/21 @ 103

     41,400  

115,000

 

Boyd Gaming Corp., 4.75%, 12/1/27, Callable 12/1/22 @ 204.76

     112,269  

260,000

 

Caesars Resort Collection LLC, 5.25%, 10/15/25, Callable 10/19/20 @ 102.63(a)

     252,199  

10,000

 

Golden Entertainment, Inc., 3.75%, 10/20/24, Callable 11/7/20 @ 200

     9,563  

195,000

 

Golden Entertainment, Inc., 7.63%, 4/15/26, Callable 4/15/22 @ 103.81(a)

     192,563  

210,000

 

Golden Nugget, Inc., 6.75%, 10/15/24, Callable 11/9/20 @ 101.69(a)

     174,300  

100,000

 

Hilton Domestic Operating Co., Inc., 5.13%, 5/1/26, Callable 5/1/21 @ 102.56

     102,875  

86,000

 

McDonald’s Corp., 3.60%, 7/1/30, Callable 4/1/30 @ 100

     100,214  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value  

Corporate Bonds, continued

  

Hotels, Restaurants & Leisure, continued

  

$44,000

 

McDonald’s Corp., 4.20%, 4/1/50, Callable 10/1/49 @ 100

   $ 53,581  

250,000

 

MGM Resorts International, 5.75%, 6/15/25, Callable 3/15/25 @ 100

     262,187  

115,000

 

Scientific Games International, Inc., 5.00%, 10/15/25, Callable 11/9/20 @ 103.75(a)

     115,431  

115,000

 

Station Casinos LLC, 5.00%, 10/1/25, Callable 11/9/20 @ 102.5(a)

     113,131  

110,000

 

Wynn Las Vegas LLC, 5.50%, 3/1/25, Callable 12/1/24 @ 100(a)

     103,950  

100,000

 

Wynn Las Vegas LLC, 5.25%, 5/15/27, Callable 2/15/27
@ 100(a)

     93,000  

130,000

 

Yum! Brands, Inc., 7.75%, 4/1/25, Callable 4/1/22 @ 207.76^(a)

     143,000  
    

 

 

 
             1,947,757  
    

 

 

 

Household Durables (0.0%):

  

130,000

 

Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 10.75%, 6/1/28, Callable 6/1/23
@ 105.38(a)

     142,350  
    

 

 

 
Independent Power and Renewable Electricity Producers (0.2%):   

357,000

 

AES Corp. (The), 3.30%, 7/15/25, Callable 6/15/25 @ 100(a)

     380,440  

312,000

 

AES Corp. (The), 3.95%, 7/15/30, Callable 4/15/30 @ 100(a)

     345,110  

75,000

 

Clearway Energy Operating LLC, 5.75%, 10/15/25, Callable 10/15/21 @ 102.88

     78,750  

30,000

 

Clearway Energy Operating LLC, 4.75%, 3/15/28, Callable 3/15/23 @ 103.56(a)

     31,050  

110,000

 

NRG Energy, Inc., 5.75%, 1/15/28, Callable 1/15/23 @ 102.88

     118,663  

90,000

 

NRG Energy, Inc., 5.25%, 6/15/29, Callable 6/15/24 @ 102.63(a)

     97,763  

35,000

 

Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 8/15/28, Callable 8/15/23 @ 206.76(a)

     36,313  

40,000

 

Talen Energy Supply LLC, 10.50%, 1/15/26, Callable 1/15/22 @ 105.25(a)

     29,800  

20,000

 

TerraForm Power Operating LLC, 4.25%, 1/31/23, Callable 10/31/22 @ 100(a)

     20,350  

15,000

 

TerraForm Power Operating LLC, 5.00%, 1/31/28, Callable 7/31/27 @ 100(a)

     16,350  
    

 

 

 
       1,154,589  
    

 

 

 

Industrial Conglomerates (0.1%):

  

80,000

 

Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.75%, 9/15/24, Callable 6/15/24 @ 100

     80,800  
Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value  

Corporate Bonds, continued

  

Industrial Conglomerates, continued

  

$205,000

 

Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.25%, 5/15/26, Callable 5/15/22 @ 103.13

   $ 213,713  

160,000

 

Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.25%, 5/15/27, Callable 11/15/26 @ 100

     166,200  
    

 

 

 
       460,713  
    

 

 

 

Insurance (1.3%):

  

600,000

 

American International Group, Inc., 2.50%, 6/30/25, Callable 5/30/25 @ 100

     640,775  

809,000

 

American International Group, Inc., 3.75%, 7/10/25, Callable 4/10/25 @ 100

     902,443  

600,000

 

American International Group, Inc., 3.40%, 6/30/30, Callable 3/30/30 @ 100

     664,131  

265,000

 

AmWINS Group, Inc., 7.75%, 7/1/26, Callable 7/1/21 @ 105.81(a)

     283,550  

397,000

 

Five Corners Funding Trust II, 2.85%, 5/15/30, Callable 2/15/30
@ 100(a)

     426,775  

100,000

 

HUB International, Ltd., 7.00%, 5/1/26, Callable 5/1/21 @ 103.5(a)

     103,625  

1,415,000

 

Metropolitan Life Global Funding I, 0.58% (SOFR+50 bps), 5/28/21(a)

     1,418,558  

436,000

 

Pacific Lifecorp, 5.13%, 1/30/43(a)

     525,587  

63,000

 

Teachers Insurance & Annuity Association of America, 3.30%, 5/15/50, Callable 11/15/49
@ 100(a)

     65,906  

289,000

 

Unum Group, 4.50%, 3/15/25, Callable 2/15/25 @ 100

     320,257  

227,000

 

Unum Group, 4.00%, 6/15/29, Callable 3/15/29 @ 100

     248,630  

1,042,000

 

Unum Group, 5.75%, 8/15/42

     1,171,077  

250,000

 

USI, Inc., 6.88%, 5/1/25, Callable 11/9/20 @ 103.44(a)

     254,063  
    

 

 

 
             7,025,377  
    

 

 

 

Interactive Media & Services (0.1%):

  

25,000

 

Match Group, Inc., 4.13%, 8/1/30, Callable 5/1/25 @ 102.06(a)

     25,250  

434,000

 

Rackspace Hosting, Inc., 8.63%, 11/15/24, Callable 11/9/20 @ 212.94^(a)

     454,073  
    

 

 

 
       479,323  
    

 

 

 

IT Services (0.1%):

  

120,000

 

Black Knight Infoserv LLC, 3.63%, 9/1/28, Callable 9/1/23
@ 203.62(a)

     120,000  

130,000

 

Booz Allen Hamilton, Inc., 3.88%, 9/1/28, Callable 9/1/23
@ 203.88(a)

     133,575  

155,000

 

Colt Merger Sub, Inc., 6.25%, 7/1/25, Callable 7/1/22 @ 103.13(a)

     161,393  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,
Shares,
Notional
Amount or

Principal
Amount

        Fair Value

Corporate Bonds, continued

  

IT Services, continued

  

$75,000

 

Colt Merger Sub, Inc., 8.13%, 7/1/27, Callable 7/1/23 @ 104.06(a)

   $ 79,500  

65,000

 

Gartner, Inc., 4.50%, 7/1/28, Callable 7/1/23 @ 102.25(a)

     68,088  

45,000

 

Gartner, Inc., 3.75%, 10/1/30, Callable 10/1/25 @ 203.76(a)

     45,506  

55,000

 

Refinitiv US Holdings, Inc., 8.25%, 11/15/26, Callable 11/15/21 @ 104.13(a)

     60,294  
    

 

 

 

       668,356  
    

 

 

 

Leisure Products (0.1%):

  

89,000

 

Hasbro, Inc., 2.60%, 11/19/22

     92,178  

202,000

 

Hasbro, Inc., 3.00%, 11/19/24, Callable 10/19/24 @ 100

     214,473  

75,000

 

Mattel, Inc., 6.75%, 12/31/25, Callable 12/31/20 @ 105.06(a)

     79,125  

5,000

 

Mattel, Inc., 5.88%, 12/15/27, Callable 12/15/22 @ 104.41(a)

     5,375  
    

 

 

 

       391,151  
    

 

 

 

Life Sciences Tools & Services (0.1%):

  

130,000

 

Avantor Funding, Inc., 4.63%, 7/15/28, Callable 7/15/23 @ 204.62(a)

     134,875  

90,000

 

Charles River Laboratories International, Inc., 5.50%, 4/1/26, Callable 4/1/21 @ 104.13(a)

     94,725  

15,000

 

Charles River Laboratories International, Inc., 4.25%, 5/1/28, Callable 5/1/23 @ 102.13(a)

     15,731  

200,000

 

IMS Health, Inc., 5.00%, 10/15/26, Callable 10/15/21 @ 102.5(a)

     208,500  

215,000

 

IQVIA, Inc., 5.00%, 5/15/27, Callable 5/15/22 @ 102.5(a)

     225,213  
    

 

 

 

             679,044  
    

 

 

 

Media (1.4%):

  

20,000

 

Cablevision Lightpath LLC, 3.88%, 9/15/27, Callable 9/15/23 @ 203.88^(a)

     20,000  

15,000

 

Cablevision Lightpath LLC, 5.63%, 9/15/28, Callable 9/15/23 @
205.62(a)

     15,188  

585,000

 

CCO Holdings LLC, 5.75%, 2/15/26, Callable 2/15/21 @ 102.88(a)

     607,668  

50,000

 

CCO Holdings LLC, 5.13%, 5/1/27, Callable 5/1/22 @ 102.56(a)

     52,500  

400,000

 

CCO Holdings LLC, 5.88%, 5/1/27, Callable 5/1/21 @ 102.94(a)

     417,999  

65,000

 

CCO Holdings LLC, 4.50%, 8/15/30, Callable 2/15/25 @ 102.25(a)

     68,250  

105,000

 

CSC Holdings LLC, 7.50%, 4/1/28, Callable 4/1/23 @ 103.75(a)

     115,763  

290,000

 

CSC Holdings LLC, 5.75%, 1/15/30, Callable 1/15/25 @ 102.88(a)

     308,125  

85,000

 

CSC Holdings LLC, 4.13%, 12/1/30, Callable 12/1/25 @ 102.06(a)

     86,275  

146,000

 

Discovery Communications LLC, 3.63%, 5/15/30, Callable 2/15/30 @ 100

     161,731  
Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value

Corporate Bonds, continued

  

Media, continued

  

$392,000

 

Discovery Communications LLC, 4.65%, 5/15/50, Callable 11/15/49 @ 100

   $ 447,104  

101,000

 

DISH Network Corp., 2.38%, 3/15/24

     91,658  

290,000

 

DISH Network Corp., 3.38%, 8/15/26

     264,959  

65,000

 

Fox Corp., 4.03%, 1/25/24, Callable 12/25/23 @ 100

     71,452  

94,000

 

Fox Corp., 4.71%, 1/25/29, Callable 10/25/28 @ 100

     112,619  

93,000

 

Fox Corp., 5.48%, 1/25/39, Callable 7/25/38 @ 100

     124,297  

62,000

 

Fox Corp., 5.58%, 1/25/49, Callable 7/25/48 @ 100

     85,186  

110,000

 

Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 9/15/26, Callable 9/15/23 @ 204.5(a)

     110,413  

135,000

 

Radiate Holdco LLC/Radiate Finance, Inc., 6.50%, 9/15/28, Callable 9/15/23 @ 204.5(a)

     138,375  

65,000

 

Sirius XM Radio, Inc., 4.63%, 7/15/24, Callable 7/15/21 @ 102.31(a)

     67,113  

90,000

 

Sirius XM Radio, Inc., 5.38%, 7/15/26, Callable 7/15/21 @ 102.69(a)

     93,600  

70,000

 

Sirius XM Radio, Inc., 5.00%, 8/1/27, Callable 8/1/22 @ 102.5(a)

     73,063  

30,000

 

Sirius XM Radio, Inc., 5.50%, 7/1/29, Callable 7/1/24 @ 102.75(a)

     32,213  

25,000

 

Sirius XM Radio, Inc., 4.13%, 7/1/30, Callable 7/1/25 @ 102.06(a)

     25,469  

100,000

 

Terrier Media Buyer, Inc., 8.88%, 12/15/27, Callable 12/15/22 @ 208.88(a)

     100,500  

623,000

 

Time Warner Cable, Inc., 4.00%, 9/1/21, Callable 6/1/21 @ 100

     636,526  

239,000

 

Time Warner Cable, Inc., 6.55%, 5/1/37

     316,579  

280,000

 

Time Warner Cable, Inc., 7.30%, 7/1/38

     396,028  

1,500,000

 

Time Warner Cable, Inc., 6.75%, 6/15/39

     2,052,403  

69,000

 

Time Warner Cable, Inc., 5.50%, 9/1/41, Callable 3/1/41 @ 100

     83,578  
    

 

 

 

             7,176,634  
    

 

 

 

Metals & Mining (0.1%):

  

151,000

 

Allegheny Technologies, Inc., 5.88%, 12/1/27, Callable 12/1/22 @ 205.88^

     145,337  

27,000

 

Freeport-McMoRan, Inc., 3.55%, 3/1/22, Callable 12/1/21 @ 100

     27,405  

45,000

 

Kaiser Aluminum Corp., 6.50%, 5/1/25, Callable 5/1/22 @ 103.25(a)

     46,386  

115,000

 

Kaiser Aluminun Corp., 4.63%, 3/1/28, Callable 3/1/23 @ 102.31(a)

     107,094  
    

 

 

 

       326,222  
    

 

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value

Corporate Bonds, continued

  

Mortgage Real Estate Investment Trusts (0.0%):

 

$45,000

 

Starwood Property Trust, Inc., 4.75%, 3/15/25, Callable 9/15/24 @ 100

   $ 43,313  
    

 

 

 

Multi-Utilities (0.1%):

  

140,000

 

Puget Energy, Inc., 4.10%, 6/15/30, Callable 3/15/30 @ 100(a)

     156,278  

339,000

 

Sempra Energy, 6.00%, 10/15/39

     467,907  
    

 

 

 

             624,185  
    

 

 

 

Oil, Gas & Consumable Fuels (2.9%):

  

45,000

 

Apache Corp., 5.10%, 9/1/40, Callable 3/1/40 @ 100

     40,275  

10,000

 

Apache Corp., 7.38%, 8/15/47

     9,372  

420,000

 

Cheniere Energy Partners LP, 5.25%, 10/1/25, Callable 11/9/20 @ 102.63

     429,449  

120,000

 

Cheniere Energy Partners LP, 5.63%, 10/1/26, Callable 10/1/21 @ 102.81

     124,800  

95,000

 

Cheniere Energy, Inc., 4.63%, 10/15/28, Callable 10/15/23 @ 204.62(a)

     97,494  

247,000

 

Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP, 5.13%, 4/1/25, Callable 3/1/25 @ 100(a)

     290,575  

205,000

 

Citgo Petroleum Corp., 6.25%, 8/15/22, Callable 11/9/20 @ 100(a)

     202,438  

132,000

 

Columbia Pipeline Group, 4.50%, 6/1/25, Callable 3/1/25 @ 100

     152,153  

55,000

 

Comstock Resources, Inc., 9.75%, 8/15/26, Callable 8/15/21 @ 107.31

     56,375  

30,000

 

Comstock Resources, Inc., 9.75%, 8/15/26, Callable 8/15/21 @ 107.31

     30,750  

230,000

 

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.25%, 4/1/23, Callable 10/26/20 @ 101.56

     223,675  

157,000

 

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 5.75%, 4/1/25, Callable 11/9/20 @ 208.62^

     143,263  

228,000

 

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 5.63%, 5/1/27, Callable 5/1/22 @ 102.81(a)

     202,920  

155,000

 

CVR Energy, Inc., 5.25%, 2/15/25, Callable 2/15/22 @ 102.63(a)

     135,625  

20,000

 

CVR Energy, Inc., 5.75%, 2/15/28, Callable 2/15/23 @ 102.88(a)

     16,900  

125,000

 

DCP Midstream Operating LP, 5.38%, 7/15/25, Callable 4/15/25 @ 100

     127,813  

105,000

 

DCP Midstream Operating LP, 5.63%, 7/15/27, Callable 4/15/27 @ 100

     106,838  

145,000

 

DCP Midstream Operating LP, 5.13%, 5/15/29, Callable 2/15/29 @ 100

     142,825  
Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value

Corporate Bonds, continued

  

Oil, Gas & Consumable Fuels, continued

  

$700,000

 

DCP Midstream Operating LP, 5.85% (US0003M+385 bps), 5/21/43, Callable 5/21/23 @ 100(a)

   $ 510,999  

302,000

 

Denbury Resources, Inc., 9.25%, 3/31/22

     164,968  

150,000

 

Denbury Resources, Inc., 7.75%, 2/15/24

     78,750  

124,000

 

Enable Midstream Partners LP, 3.90%, 5/15/24, Callable 2/15/24 @ 100

     121,520  

20,000

 

Endeavor Energy Resources LP/EER Finance, Inc., 6.63%, 7/15/25, Callable 7/15/22 @ 103.31(a)

     20,550  

5,000

 

Endeavor Energy Resources LP/EER Finance, Inc., 5.50%, 1/30/26, Callable 1/30/21 @ 104.13(a)

     4,963  

75,000

 

Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 1/30/28, Callable 1/30/23 @ 102.88(a)

     75,188  

52,000

 

Energy Transfer Operating LP, 4.25%, 3/15/23, Callable 12/15/22 @ 100

     54,080  

65,000

 

Energy Transfer Operating LP, 4.50%, 4/15/24, Callable 3/15/24 @ 100

     68,656  

229,000

 

Energy Transfer Operating LP, 4.95%, 6/15/28, Callable 3/15/28 @ 100

     241,881  

106,000

 

Energy Transfer Operating LP, 5.25%, 4/15/29, Callable 1/15/29 @ 100

     113,818  

109,000

 

Energy Transfer Operating LP, 3.75%, 5/15/30, Callable 2/15/30 @ 100

     105,594  

73,000

 

Energy Transfer Operating LP, 6.25%, 4/15/49, Callable 10/15/48 @ 100

     75,281  

243,000

 

Energy Transfer Operating LP, 5.00%, 5/15/50, Callable 11/15/49 @ 100

           223,864  

67,000

 

Energy Transfer Partners LP, 4.20%, 9/15/23, Callable 8/15/23 @ 100

     70,601  

128,000

 

Energy Transfer Partners LP, 5.80%, 6/15/38, Callable 12/15/37 @ 100

     126,560  

83,000

 

Energy Transfer Partners LP, 6.00%, 6/15/48, Callable 12/15/47 @ 100

     82,793  

50,000

 

EQM Midstream Partners LP, 6.50%, 7/1/27, Callable 1/1/27 @ 100(a)

     52,875  

25,000

 

Global Partners LP/GLP Finance Corp., 7.00%, 6/15/23, Callable 10/23/20 @ 203.5

     25,469  

57,000

 

Global Partners LP/GLP Finance Corp., 7.00%, 8/1/27, Callable 8/1/22 @ 103.5

     57,998  

95,000

 

Global Partners LP/GLP Finance Corp., 6.88%, 1/15/29, Callable 1/15/24 @ 206.88(a)

     95,713  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value

Corporate Bonds, continued

  

Oil, Gas & Consumable Fuels, continued

  

$40,000

 

Hess Corp., 4.30%, 4/1/27, Callable 1/1/27 @ 100

   $ 41,700  

71,000

 

Hess Corp., 7.30%, 8/15/31

     85,644  

50,000

 

Hess Corp., 7.13%, 3/15/33

     60,188  

69,000

 

Hess Corp., 5.60%, 2/15/41

     74,434  

166,000

 

Hess Corp., 5.80%, 4/1/47, Callable 10/1/46 @ 100

     182,600  

170,000

 

Hess Midstream Operations LP, 5.63%, 2/15/26, Callable 2/15/21
@ 104.22(a)

     172,550  

110,000

 

Hess Midstream Operations LP, 5.13%, 6/15/28, Callable 6/15/23
@ 102.56(a)

     109,450  

105,000

 

Hilcorp Energy LP, 5.00%, 12/1/24, Callable 11/9/20 @ 101.67(a)

     94,763  

165,000

 

Holly Energy Partners LP/Holly Energy Finance Corp., 5.00%, 2/1/28, Callable 2/1/23 @ 103.75(a)

     161,700  

195,000

 

Jonah Energy LLC/Jonah Energy Finance Corp., 7.25%, 10/15/25, Callable 10/19/20 @ 105.44(a)

     19,500  

97,000

 

Kinder Morgan Energy Partners LP, 3.45%, 2/15/23, Callable 11/15/22 @ 100

     101,786  

42,000

 

Kinder Morgan Energy Partners LP, 6.55%, 9/15/40

     52,861  

479,000

 

Kinder Morgan Energy Partners LP, 5.50%, 3/1/44, Callable 9/1/43 @ 100

     559,213  

125,000

 

Kinder Morgan, Inc., 5.55%, 6/1/45, Callable 12/1/44 @ 100

     147,774  

112,000

 

Kinder Morgan, Inc., 5.05%, 2/15/46, Callable 8/15/45 @ 100

     126,446  

115,000

 

MPLX LP, 1.34% (US0003M+110 bps), 9/9/22, Callable 11/9/20 @ 100

     114,713  

113,000

 

MPLX LP, 4.50%, 7/15/23, Callable 4/15/23 @ 100

     122,181  

159,000

 

MPLX LP, 4.88%, 12/1/24, Callable 9/1/24 @ 100

     177,484  

63,000

 

MPLX LP, 4.80%, 2/15/29, Callable 11/15/28 @ 100

     71,663  

188,000

 

MPLX LP, 5.50%, 2/15/49, Callable 8/15/48 @ 100

           210,560  

150,000

 

New Fortress Energy, Inc., 6.75%, 9/15/25, Callable 9/15/22
@ 206.76(a)

     156,750  

68,000

 

Occidental Petroleum Corp., 2.70%, 8/15/22

     63,495  

264,000

 

Occidental Petroleum Corp., 2.90%, 8/15/24, Callable 7/15/24 @ 100

     223,080  

536,000

 

Occidental Petroleum Corp., 5.55%, 3/15/26, Callable 12/15/25 @ 100

     477,039  

55,000

 

Occidental Petroleum Corp., 3.40%, 4/15/26, Callable 1/15/26 @ 100

     44,000  

30,000

 

Occidental Petroleum Corp., 3.20%, 8/15/26, Callable 6/15/26 @ 100

     23,775  

146,000

 

Occidental Petroleum Corp., 3.50%, 8/15/29, Callable 5/15/29 @ 100

     111,325  
Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value

Corporate Bonds, continued

  

Oil, Gas & Consumable Fuels, continued

  

$65,000

 

Occidental Petroleum Corp., 8.88%, 7/15/30, Callable 1/15/30 @ 100

   $ 66,625  

954,000

 

Occidental Petroleum Corp., 7.50%, 5/1/31

     908,684  

16,000

 

Occidental Petroleum Corp., 7.88%, 9/15/31

     15,540  

222,000

 

Occidental Petroleum Corp., 6.45%, 9/15/36

     189,255  

44,000

 

Occidental Petroleum Corp., 4.30%, 8/15/39, Callable 2/15/39 @ 100

     30,635  

25,000

 

Occidental Petroleum Corp., 6.20%, 3/15/40

     20,375  

410,000

 

Occidental Petroleum Corp., 6.60%, 3/15/46, Callable 9/15/45 @ 100

     352,599  

35,000

 

Occidental Petroleum Corp., 4.40%, 4/15/46, Callable 10/15/45 @ 100

     24,500  

40,000

 

Occidental Petroleum Corp., 4.20%, 3/15/48, Callable 9/15/47 @ 200^

     26,800  

39,000

 

Occidental Petroleum Corp., 4.40%, 8/15/49, Callable 2/15/49 @ 100

     27,300  

110,000

 

PBF Holding Co. LLC/PBF Finance Corp., 9.25%, 5/15/25, Callable 5/15/22 @ 104.63(a)

     112,750  

20,000

 

PBF Holding Co. LLC/PBF Finance Corp., 7.25%, 6/15/25, Callable 11/9/20 @ 210.88

     15,100  

20,000

 

Phillips 66, 3.70%, 4/6/23

     21,402  

26,000

 

Phillips 66, 3.85%, 4/9/25, Callable 3/9/25 @ 100

     28,818  

72,000

 

Plains All Amer Pipeline, 3.60%, 11/1/24, Callable 8/1/24 @ 100

     74,154  

62,000

 

Plains All Amer Pipeline, 3.55%, 12/15/29, Callable 9/15/29 @ 100

     59,740  

145,000

 

Rattler Midstream, LP, 5.63%, 7/15/25, Callable 7/15/22 @ 205.62(a)

     146,088  

100,000

 

Regency Energy Partners LP/Regency Energy Finance Corp., 5.88%, 3/1/22, Callable 12/1/21 @ 100

     104,600  

335,000

 

Sabine Pass Liquefaction LLC, 4.50%, 5/15/30, Callable 11/15/29 @ 100(a)

           377,209  

278,000

 

Sanchez Energy Corp., 7.25%, 2/15/23, Callable 10/19/20 @ 103.63(c)

     1,390  

621,000

 

Sunoco Logistics Partners Operations LP, 5.40%, 10/1/47, Callable 4/1/47
@ 100

     585,292  

35,000

 

Sunoco LP/Sunoco Finance Corp., 4.88%, 1/15/23, Callable 11/9/20
@ 102.44

     35,175  

140,000

 

Sunoco LP/Sunoco Finance Corp., 5.50%, 2/15/26, Callable 2/15/21
@ 102.75

     140,175  

5,000

 

Sunoco LP/Sunoco Finance Corp., 6.00%, 4/15/27, Callable 4/15/22 @ 103

     5,175  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value

Corporate Bonds, continued

  

Oil, Gas & Consumable Fuels, continued

  

$62,000

 

Sunoco LP/Sunoco Finance Corp., 5.88%, 3/15/28, Callable 3/15/23
@ 102.94

   $ 63,395  

130,000

 

Targa Resources Partners LP, 5.13%, 2/1/25, Callable 11/9/20 @ 103.84

     130,000  

125,000

 

Targa Resources Partners LP, 5.88%, 4/15/26, Callable 4/15/21 @ 104.41

     128,281  

130,000

 

Targa Resources Partners LP, 5.38%, 2/1/27, Callable 2/1/22 @ 102.69

     130,650  

40,000

 

Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.88%, 2/1/31, Callable 2/1/26 @ 204.88(a)

     38,600  

43,000

 

Transcontinental Gas Pipe Line Co. LLC, 3.25%, 5/15/30, Callable 2/15/30 @ 100(a)

     46,324  

137,000

 

Transcontinental Gas Pipe Line Co. LLC, 3.95%, 5/15/50, Callable 11/15/49 @ 100(a)

           143,585  

71,000

 

Valero Energy Corp., 2.70%, 4/15/23

     73,577  

41,000

 

Valero Energy Corp., 2.85%, 4/15/25, Callable 3/15/25 @ 100

     42,960  

100,000

 

Viper Energy Partners LP, 5.38%, 11/1/27, Callable 11/1/22
@ 102.69(a)

     98,875  

60,000

 

Western Gas Partners LP, 3.95%, 6/1/25, Callable 3/1/25 @ 100

     56,100  

157,000

 

Western Gas Partners LP, 4.65%, 7/1/26, Callable 4/1/26 @ 100

     152,683  

1,000,000

 

Western Gas Partners LP, 4.50%, 3/1/28, Callable 12/1/27 @ 100

     947,499  

66,000

 

Western Gas Partners LP, 4.75%, 8/15/28, Callable 5/15/28 @ 100

     62,700  

20,000

 

Western Midstream Operating LP, 4.00%, 7/1/22, Callable 4/1/22
@ 100

     20,000  

80,000

 

Western Midstream Operating LP, 3.10%, 2/1/25, Callable 1/1/25
@ 100

     75,800  

135,000

 

Western Midstream Operating LP, 4.05%, 2/1/30, Callable 11/1/29
@ 100

     129,600  

40,000

 

Western Midstream Operating LP, 5.30%, 3/1/48, Callable 9/1/47
@ 100

     32,400  

15,000

 

Western Midstream Operating LP, 5.25%, 2/1/50, Callable 8/1/49
@ 100

     13,894  

354,000

 

Williams Cos., Inc. (The), 3.50%, 11/15/30, Callable 8/15/30 @ 100

     385,224  

162,000

 

Williams Partners LP, 4.50%, 11/15/23, Callable 8/15/23 @ 100

     177,214  

285,000

 

Williams Partners LP, 4.30%, 3/4/24, Callable 12/4/23 @ 100

     310,639  
    

 

 

 

       15,321,716  
    

 

 

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value

Corporate Bonds, continued

  

Pharmaceuticals (0.2%):

  

$115,000

 

Catalent Pharma Solutions, Inc., 4.88%, 1/15/26, Callable 11/9/20 @ 102.44(a)

   $ 116,725  

57,000

 

Elanco Animal Health, Inc., 3.91%, 8/27/21

     58,498  

180,000

 

Elanco Animal Health, Inc., 5.27%, 8/28/23, Callable 7/28/23 @ 100

     193,073  

76,000

 

Elanco Animal Health, Inc., 5.90%, 8/28/28, Callable 5/28/28 @ 100

     87,780  

126,000

 

Upjohn, Inc., 1.13%, 6/22/22(a)

     126,969  

40,000

 

Upjohn, Inc., 1.65%, 6/22/25, Callable 5/22/25 @ 100(a)

     40,901  

206,000

 

Upjohn, Inc., 2.70%, 6/22/30, Callable 3/22/30 @ 100(a)

     213,233  

90,000

 

Upjohn, Inc., 3.85%, 6/22/40, Callable 12/22/39 @ 100(a)

     97,133  

155,000

 

Upjohn, Inc., 4.00%, 6/22/50, Callable 12/22/49 @ 100(a)

     164,509  
    

 

 

 

             1,098,821  
    

 

 

 

Professional Services (0.1%):

  

40,000

 

Asgn, Inc., 4.63%, 5/15/28, Callable 5/15/23 @ 102.31(a)

     40,100  

100,000

 

Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22, Callable 11/9/20 @ 100(a)

     100,000  

85,000

 

Nielsen Finance LLC/Nielsen Finance Co., 5.63%, 10/1/28, Callable 10/1/23 @ 205.62(a)

     87,125  

85,000

 

Nielsen Finance LLC/Nielsen Finance Co., 5.88%, 10/1/30, Callable 10/1/25 @ 205.88(a)

     87,975  
    

 

 

 

       315,200  
    

 

 

 

Real Estate Management & Development (0.1%):

 

200,000

 

Howard Hughes Corp. (The), 5.38%, 3/15/25, Callable 11/9/20 @ 104.03(a)

     200,500  

185,000

 

Vertical US Newco, Inc., 5.25%, 7/15/27, Callable 7/15/23 @ 205.26(a)

     192,169  
    

 

 

 

       392,669  
    

 

 

 

Semiconductors & Semiconductor Equipment (0.0%):

 

80,000

 

Entegris, Inc., 4.38%, 4/15/28, Callable 4/15/23 @ 102.19(a)

     82,800  

50,000

 

ON Semiconductor Corp., 3.88%, 9/1/28, Callable 9/1/23
@ 203.88(a)

     50,750  
    

 

 

 

       133,550  
    

 

 

 

Software (0.1%):

  

35,000

 

Boxer Parent Co., Inc., 7.13%, 10/2/25, Callable 6/1/22
@ 103.56(a)

     37,363  

155,000

 

CDK Global, Inc., 5.88%, 6/15/26, Callable 6/15/21 @ 102.94

     161,588  

20,000

 

CDK Global, Inc., 5.25%, 5/15/29, Callable 5/15/24 @ 102.63(a)

     21,400  

135,000

 

Fair Isaac Corp., 5.25%, 5/15/26, Callable 2/15/26 @ 100(a)

     149,344  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value

Corporate Bonds, continued

  

Software, continued

  

$90,000

 

Nuance Communications, Inc., 5.63%, 12/15/26, Callable 12/15/21 @ 102.81

   $ 95,175  

170,000

 

Sophia LP/Finance, Inc.,
9.00%, 9/30/23(a)

     169,999  

95,000

 

SS&C Technologies, Inc., 5.50%, 9/30/27, Callable 3/30/22
@ 104.13(a)

     100,700  
    

 

 

 

       735,569  
    

 

 

 

Specialty Retail (0.2%):

  

32,000

 

AutoNation, Inc., 4.75%, 6/1/30, Callable 3/1/30 @ 100

     37,762  

49,000

 

AutoZone, Inc., 3.63%, 4/15/25, Callable 3/15/25 @ 100

     54,694  

229,000

 

AutoZone, Inc., 4.00%, 4/15/30, Callable 1/15/30 @ 100

     271,471  

165,000

 

Lowe’s Cos., Inc., 4.50%, 4/15/30, Callable 1/15/30 @ 100

     203,962  

105,000

 

Lowe’s Cos., Inc., 5.00%, 4/15/40, Callable 10/15/39 @ 100

     137,729  

123,000

 

Lowe’s Cos., Inc., 5.13%, 4/15/50, Callable 10/15/49 @ 100

     169,712  

51,000

 

O’Reilly Automotive, Inc., 4.20%, 4/1/30, Callable 1/1/30 @ 100

     61,248  
    

 

 

 

             936,578  
    

 

 

 

Technology Hardware, Storage & Peripherals (0.1%):

 

200,000

 

Dell International LLC/EMC Corp., 5.45%, 6/15/23, Callable 4/15/23 @ 100(a)

     218,894  

55,000

 

Dell International LLC/EMC Corp., 5.85%, 7/15/25, Callable 6/15/25 @ 100(a)

     64,174  

83,000

 

Dell International LLC/EMC Corp., 6.02%, 6/15/26, Callable 3/15/26 @ 100(a)

     97,406  

101,000

 

Dell International LLC/EMC Corp., 6.10%, 7/15/27, Callable 5/15/27 @ 100(a)

     119,565  

87,000

 

Dell International LLC/EMC Corp., 6.20%, 7/15/30, Callable 4/15/30 @ 100(a)

     104,224  
    

 

 

 

       604,263  
    

 

 

 

Textiles, Apparel & Luxury Goods (0.1%):

  

40,000

 

USA Compression Partners LP/USA Compression Finance Corp., 6.88%, 9/1/27, Callable 9/1/22 @ 105.16

     39,500  

80,000

 

William Carter Co., 5.63%, 3/15/27, Callable 3/15/22 @ 102.81(a)

     83,800  

110,000

 

Wolverine World Wide, Inc., 6.38%, 5/15/25, Callable 5/15/22
@ 103.19(a)

     116,050  
    

 

 

 

       239,350  
    

 

 

 

Thrifts & Mortgage Finance (0.0%):

  

100,000

 

Quicken Loans, Inc., 5.25%, 1/15/28, Callable 1/15/23 @ 102.63(a)

     105,385  
    

 

 

 

Tobacco (0.5%):

  

212,000

 

Altria Group, Inc., 4.00%, 1/31/24

     232,815  

294,000

 

Altria Group, Inc., 4.25%, 8/9/42

     315,872  
Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value

Corporate Bonds, continued

  

Tobacco, continued

  

$191,000

 

Altria Group, Inc., 4.50%, 5/2/43

   $ 212,843  

347,000

 

Altria Group, Inc., 5.38%, 1/31/44

     432,279  

240,000

 

Altria Group, Inc., 3.88%, 9/16/46, Callable 3/16/46 @ 100

     245,867  

200,000

 

Altria Group, Inc., 5.95%, 2/14/49, Callable 8/14/48 @ 100

     266,818  

320,000

 

Reynolds American, Inc.,
4.00%, 6/12/22

     337,450  

232,000

 

Reynolds American, Inc., 4.45%, 6/12/25, Callable 3/12/25
@ 100

     261,039  

120,000

 

Reynolds American, Inc., 5.70%, 8/15/35, Callable 2/15/35
@ 100

     150,786  
    

 

 

 

       2,455,769  
    

 

 

 

Trading Companies & Distributors (0.1%):

  

63,000

 

Air Lease Corp., 2.25%, 1/15/23

     63,154  

295,000

 

Air Lease Corp., 4.25%, 2/1/24, Callable 1/1/24 @ 100

     305,541  

265,000

 

Air Lease Corp., 3.38%, 7/1/25, Callable 6/1/25 @ 100

     270,223  
    

 

 

 

       638,918  
    

 

 

 

Wireless Telecommunication Services (0.4%):

 

260,000

 

Sprint Communications, Inc., 6.88%, 11/15/28

     324,350  

140,000

 

T-Mobile USA, Inc., 6.50%, 1/15/26, Callable 1/15/21 @ 103.25

     146,300  

60,000

 

T-Mobile USA, Inc., 4.50%, 2/1/26, Callable 2/1/21 @ 102.25

     61,800  

435,000

 

T-Mobile USA, Inc., 3.75%, 4/15/27, Callable 2/15/27
@ 100(a)

     487,155  

40,000

 

T-Mobile USA, Inc., 4.75%, 2/1/28, Callable 2/1/23 @ 102.38

     42,750  

605,000

 

T-Mobile USA, Inc., 3.88%, 4/15/30, Callable 1/15/30
@ 100(a)

     686,313  

56,000

 

T-Mobile USA, Inc., 4.38%, 4/15/40, Callable 10/15/39
@ 100(a)

     65,575  

110,000

 

T-Mobile USA, Inc., 4.50%, 4/15/50, Callable 10/15/49
@ 100(a)

     131,702  
    

 

 

 

       1,945,945  
    

 

 

 

Total Corporate Bonds (Cost $106,220,562)

           112,319,840  
  

 

 

 

Foreign Bond (0.0%):

  

Sovereign Bond (0.0%):

  

50,000

  Korea Treasury Bond, Series 2103, 2.00%, 3/10/21+      43  
    

 

 

 

Total Foreign Bond (Cost $43)

     43  
  

 

 

 

Yankee Dollars (7.9%):

  

Aerospace & Defense (0.2%):

  

81,000

 

Avolon Holdings Funding, Ltd., 3.63%, 5/1/22, Callable 4/1/22 @ 100(a)

     79,624  

199,000

 

Avolon Holdings Funding, Ltd., 5.25%, 5/15/24, Callable 4/15/24 @ 100(a)

     199,000  

108,000

 

Avolon Holdings Funding, Ltd., 3.95%, 7/1/24, Callable 6/1/24 @ 100(a)

     102,735  

132,000

 

Avolon Holdings Funding, Ltd., 4.38%, 5/1/26, Callable 3/1/26 @ 100(a)

     124,245  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value

Yankee Dollars, continued

  

Aerospace & Defense, continued

  

$180,000

 

Bombardier, Inc., 6.00%, 10/15/22, Callable 11/9/20 @ 100(a)

   $ 166,500  

210,000

 

Bombardier, Inc., 6.13%, 1/15/23(a)

     178,500  

10,000

 

Bombardier, Inc., 7.50%, 12/1/24, Callable 12/1/20 @ 105.63(a)

     7,600  

40,000

 

Bombardier, Inc., 7.50%, 3/15/25, Callable 11/9/20 @ 103.75(a)

     29,900  
    

 

 

 

       888,104  
    

 

 

 

Banks (1.5%):

  

585,000

 

Barclays plc, 4.38%, 1/12/26

     657,101  

343,000

 

Barclays plc, 2.85% (US0003M+245 bps), 5/7/26, Callable 5/7/25
@ 100

     357,188  

377,000

 

Barclays plc, 5.09% (US0003M+305 bps), 6/20/30, Callable 6/20/29
@ 100

     423,843  

200,000

 

Commonwealth Bank of Australia, 3.61%, 9/12/34, Callable 9/12/29
@ 100(a)

     215,750  

530,000

 

Cooperatieve Rabobank UA, 4.38%, 8/4/25

     596,899  

205,000

 

HSBC Holdings plc, 4.25%, 3/14/24

     219,593  

200,000

 

Intesa Sanpaolo SpA, 5.02%,
6/26/24(a)

     212,000  

656,000

 

Intesa Sanpaolo SpA, 5.71%,
1/15/26(a)

     715,860  

362,000

 

NatWest Markets plc, 2.38%,
5/21/23(a)

     373,656  

2,550,000

 

Royal Bank of Scotland Group plc, 6.13%, 12/15/22

     2,792,248  

547,000

 

Royal Bank of Scotland Group plc, 6.10%, 6/10/23

     601,714  

125,000

 

Royal Bank of Scotland Group plc, 6.00%, 12/19/23

     139,713  

193,000

 

Royal Bank of Scotland Group plc, 3.07% (H15T1Y+255 bps), 5/22/28, Callable 5/22/27 @ 100

     203,383  

350,000

 

UniCredit SpA, 6.57%, 1/14/22(a)

     371,071  

186,000

 

Westpac Banking Corp., 4.11% (H15T5Y+200 bps), 7/24/34, Callable 7/24/29 @ 100

     209,056  
    

 

 

 

             8,089,075  
    

 

 

 

Beverages (0.0%):

  

80,000

 

Cott Corp., 5.50%, 4/1/25, Callable 10/19/20 @ 104.13(a)

     81,900  
    

 

 

 

Capital Markets (1.0%):

  

509,000

 

Credit Suisse Group AG, 2.59% (SOFR+156 bps), 9/11/25, Callable 9/11/24 @ 100(a)

     530,451  

414,000

 

Credit Suisse Group AG, 4.19% (SOFR+373 bps), 4/1/31, Callable 4/1/30 @ 100(a)

     478,170  

670,000

 

Credit Suisse Group Fun, Ltd.,
3.80%, 9/15/22

     697,635  

787,000

 

Credit Suisse Group Fun, Ltd.,
3.80%, 6/9/23

     844,078  

470,000

 

Credit Suisse Group Funding Guernsey, Ltd., 3.75%, 3/26/25

     518,472  

487,000

 

Deutsche Bank AG, 5.00%, 2/14/22

     508,948  

860,000

 

Deutsche Bank AG, 3.30%, 11/16/22

     886,875  
Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value

Yankee Dollars, continued

  

Capital Markets, continued

  

$979,000

 

Deutsche Bank AG, 4.50%, 4/1/25

   $ 989,315  
    

 

 

 

       5,453,944  
    

 

 

 

Chemicals (0.1%):

  

5,000

 

Consolidated Energy Finance SA, 6.88%, 6/15/25, Callable 11/9/20
@ 105.16(a)

     4,550  

125,000

 

Consolidated Energy Finance SA, 6.50%, 5/15/26, Callable 5/15/21
@ 104.88(a)

     109,375  

130,000

 

Methanex Corp., 5.13%, 10/15/27, Callable 4/15/27 @ 200

     129,350  

170,000

 

Nufarm Australia, Ltd., 5.75%, 4/30/26, Callable 4/30/21 @ 102.88(a)

     171,913  
    

 

 

 

             415,188  
    

 

 

 

Containers & Packaging (0.1%):

  

170,000

 

Ardagh Packaging Finance plc/Ardagh Holdings USA, Inc., 6.00%, 2/15/25, Callable 10/19/20 @ 104.5(a)

     176,163  

15,000

 

Intelligent Packaging, Ltd. Finco Inc./Intelligent Packaging, Ltd. Co-Issuer LLC, 6.00%, 9/15/28, Callable 9/15/22 @ 206(a)

     15,206  

190,000

 

Trivium Packaging Finance BV, 5.50%, 8/15/26, Callable 8/15/22
@ 102.75(a)

     195,462  

25,000

 

Trivium Packaging Finance BV, 8.50%, 8/15/27, Callable 8/15/22
@ 104.25(a)

     26,594  
    

 

 

 

       413,425  
    

 

 

 

Diversified Consumer Services (0.0%):

  

250,000

 

GEMS MENASA Cayman, Ltd., 7.13%, 7/31/26, Callable 7/31/22
@ 103.56(a)

     246,563  
    

 

 

 

Diversified Financial Services (0.8%):

  

470,000

 

Altice Financing SA, 7.50%, 5/15/26, Callable 5/15/21 @ 103.75(a)

     497,024  

200,000

 

Altice Financing SA, 5.00%, 1/15/28, Callable 1/15/23 @ 102.5(a)

     193,250  

500,000

 

C&W Senior Financing Dac, 7.50%, 10/15/26, Callable 10/15/21 @ 103.75(a)

     521,250  

431,000

 

C&W Senior Financing Dac, 6.88%, 9/15/27, Callable 9/15/22
@ 103.44(a)

     443,930  

110,000

 

Dolya Holdco 18 DAC, 5.00%, 7/15/28, Callable 7/15/23 @ 102.5(a)

     109,725  

350,000

 

Intelsat Jackson Holdings SA, 8.00%, 2/15/24(a)

     355,250  

105,000

 

Intelsat Jackson Holdings SA, 8.50%, 10/15/24, Callable 11/9/20 @
106.38(a)(c)

     67,725  

315,000

 

Nielsen Co. Luxembourg SARL (The), 5.00%, 2/1/25, Callable 11/9/20
@ 207.5^(a)

     318,938  

1,355,000

 

Park Aerospace Holdings, 5.50%, 2/15/24(a)

     1,365,162  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value

Yankee Dollars, continued

  

Diversified Financial Services, continued

  

$200,000

 

Telenet Finance Lux Note, 5.50%, 3/1/28, Callable 12/1/22 @ 102.75(a)

   $ 209,250  

100,000

 

Virgin Media Finance plc, 5.00%, 7/15/30, Callable 7/15/25
@ 205(a)

     99,500  

200,000

 

Vmed O2 UK Financing I plc, 4.25%, 1/31/31, Callable 1/31/26 @ 204.26(a)

     203,000  
    

 

 

 

       4,384,004  
    

 

 

 

Diversified Telecommunication Services (0.2%):

 

320,000

 

Altice France SA, 7.38%, 5/1/26, Callable 5/1/21 @ 103.69(a)

     334,400  

295,000

 

Altice France SA, 8.13%, 2/1/27, Callable 2/1/22 @ 106.09(a)

     321,550  

180,000

 

Altice France SA, 6.00%, 2/15/28, Callable 2/15/23 @ 103(a)

     171,450  

120,000

 

Altice France SA, 5.13%, 1/15/29, Callable 9/15/23 @ 205.12(a)

     119,550  

25,000

 

Sable International Finance, Ltd., 5.75%, 9/7/27, Callable 9/7/22 @ 102.88(a)

     26,031  

20,000

 

Telecom Italia Capital, 6.38%, 11/15/33

     23,525  

55,000

 

Telecom Italia SpA, 6.00%, 9/30/34

     63,319  
    

 

 

 

             1,059,825  
    

 

 

 

Hotels, Restaurants & Leisure (0.1%):

  

115,000

 

1011778 BC ULC New Red Finance, Inc., 4.25%, 5/15/24, Callable 11/9/20 @ 102.13(a)

     116,869  

35,000

 

1011778 BC ULC New Red Finance, Inc., 5.75%, 4/15/25, Callable 4/15/22 @ 102.88(a)

     37,339  

135,000

 

1011778 BC ULC New Red Finance, Inc., 4.00%, 10/15/30, Callable 10/15/25 @ 204(a)

     136,012  

85,000

 

Stars Group Holdings BV, 7.00%, 7/15/26, Callable 7/15/21 @ 103.5(a)

     89,888  

80,000

 

Wynn Macau, Ltd., 5.50%, 10/1/27, Callable 10/1/22 @ 102.75(a)

     78,000  
    

 

 

 

       458,108  
    

 

 

 

Insurance (0.1%):

  

314,000

 

AIA Group, Ltd., 3.38%, 4/7/30, Callable 1/7/30 @ 100(a)

     351,598  

200,000

 

AIA Group, Ltd., 3.20%, 9/16/40, Callable 3/16/40 @ 200(a)

     206,113  

200,000

 

Swiss Re Finance Luxembourg SA, 5.00% (H15T5Y+358 bps), 4/2/49, Callable 4/2/29 @ 100(a)

     228,000  
    

 

 

 

       785,711  
    

 

 

 

Media (0.1%):

  

250,000

 

Ziggo BV, 5.50%, 1/15/27, Callable 1/15/22 @ 102.75(a)

     259,688  

85,000

 

Ziggo BV, 5.13%, 2/28/30, Callable 2/15/25 @ 102.56(a)

     85,850  
    

 

 

 

       345,538  
    

 

 

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value

Yankee Dollars, continued

  

Metals & Mining (0.2%):

  

$200,000

 

BHP Billiton Finance USA, Ltd., 6.25% (USSW5+497 bps), 10/19/75, Callable 10/19/20 @ 100(a)

   $ 200,250  

456,000

 

BHP Billiton Finance USA, Ltd., 6.75% (USSW5+509 bps), 10/19/75, Callable 10/20/25 @ 100(a)

     550,049  

155,000

 

First Quantum Minerals, Ltd., 7.25%, 5/15/22, Callable 10/18/20
@ 100(a)

     155,194  

5,000

 

FMG Resources Pty, Ltd., 4.50%, 9/15/27, Callable 6/15/27
@ 100(a)

     5,294  
    

 

 

 

       910,787  
    

 

 

 

Multi-Utilities (0.0%):

  

243,000

 

InterGen NV, 7.00%, 6/30/23, Callable 11/9/20 @ 101.17(a)

     234,191  
    

 

 

 

Oil, Gas & Consumable Fuels (1.6%):

  

28,000

 

Canadian Natural Resources, Ltd., 5.85%, 2/1/35

     34,055  

402,000

 

Cenovus Energy, Inc., 4.25%, 4/15/27, Callable 1/15/27 @ 100

     361,957  

85,000

 

eG Global Finance plc, 6.75%, 2/7/25, Callable 5/15/21 @ 103.38(a)

     87,019  

130,000

 

eG Global Finance plc, 8.50%, 10/30/25, Callable 10/30/21 @ 104.25(a)

     135,687  

145,000

 

Enbridge, Inc., 4.00%, 10/1/23, Callable 7/1/23 @ 100

     156,810  

135,000

 

Enbridge, Inc., 4.25%, 12/1/26, Callable 9/1/26 @ 100

     154,859  

165,000

 

LBC Tank Terminals Holding Netherlands BV, 6.88%, 5/15/23, Callable 11/9/20 @ 101.15(a)

     164,381  

35,000

 

Meg Energy Corp., 7.13%, 2/1/27, Callable 2/1/23 @ 103.56(a)

     31,325  

108,000

 

Petrobras Global Finance BV, 5.09%, 1/15/30

     113,265  

1,793,000

 

Petrobras Global Finance BV, 7.25%, 3/17/44

           2,032,813  

543,000

 

Petroleos Mexicanos, 4.50%, 1/23/26

     481,459  

566,000

 

Petroleos Mexicanos, 6.50%, 3/13/27

     530,339  

1,196,000

 

Petroleos Mexicanos, 6.84%, 1/23/30, Callable 10/23/29 @ 100(a)

     1,059,597  

154,000

 

Petroleos Mexicanos, 5.95%, 1/28/31, Callable 10/28/30 @ 100(a)

     127,233  

2,228,000

 

Petroleos Mexicanos, 6.75%, 9/21/47

     1,725,538  

1,386,000

 

Petroleos Mexicanos, 7.69%, 1/23/50, Callable 7/23/49 @ 100(a)

     1,159,282  

336,000

 

Petroleos Mexicanos, 6.95%, 1/28/60, Callable 7/28/59 @ 100(a)

     259,807  
    

 

 

 

       8,615,426  
    

 

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value

Yankee Dollars, continued

  

Pharmaceuticals (0.2%):

  

$75,000

 

Bausch Health Cos., Inc., 5.50%, 11/1/25, Callable 11/9/20 @ 102.75(a)

   $ 76,781  

459,000

 

Mylan NV, 3.15%, 6/15/21, Callable 5/15/21 @ 100

     466,459  

84,000

 

Teva Pharmaceuticals Industries, Ltd., 2.20%, 7/21/21

     82,740  

127,000

 

Teva Pharmaceuticals Industries, Ltd., 2.80%, 7/21/23

     121,285  

195,000

 

VRX Escrow Corp., 6.13%, 4/15/25, Callable 11/9/20 @ 103.06(a)

     199,632  
    

 

 

 

       946,897  
    

 

 

 

Software (0.0%):

  

60,000

 

Open Text Corp., 3.88%, 2/15/28, Callable 2/15/23 @ 101.94(a)

     60,750  
    

 

 

 

Sovereign Bond (1.0%):

  

300,000

 

Abu Dhabi Government International Bond, 3.13%, 4/16/30(a)

     335,605  

300,000

 

Abu Dhabi Government International Bond, 3.88%, 4/16/50(a)

     365,753  

240,000

 

Chile Government International Bond, 2.45%, 1/31/31, Callable 10/31/30 @ 100

     250,310  

300,000

 

Corp. Andina de Fomento, 2.38%, 5/12/23

     309,100  

900,000

 

Dominican Republic, 5.50%,
1/27/25(a)

     956,250  

150,000

 

Dominican Republic, 6.00%,
7/19/28(a)

     160,875  

375,000

 

Indonesia Government International Bond, 3.85%, 10/15/30

     424,704  

375,000

 

Indonesia Government International Bond, 4.20%, 10/15/50

     432,651  

200,000

 

Qatar Government International Bond, 3.40%, 4/16/25(a)

     218,833  

350,000

 

Qatar Government International Bond, 3.75%, 4/16/30(a)

     403,690  

350,000

 

Qatar Government International Bond, 4.40%, 4/16/50(a)

     447,818  

1,000,000

 

Republic of Argentina, 5.88%, 1/11/28

     390,640  

200,000

 

Saudi Government International Bond, 2.90%, 10/22/25(a)

     213,291  

200,000

 

Saudi Government International Bond, 3.25%, 10/22/30(a)

     216,456  

200,000

 

Saudi Government International Bond, 4.50%, 4/22/60^(a)

     246,543  
    

 

 

 

             5,372,519  
    

 

 

 

Thrifts & Mortgage Finance (0.1%):

  

200,000

 

Corp. Nacional del Cobre de Chile, 3.63%, 8/1/27, Callable 5/1/27 @ 100(a)

     219,344  

200,000

 

Corp. Nacional del Cobre de Chile, 4.50%, 8/1/47, Callable 2/1/47 @ 100(a)

     241,215  
    

 

 

 

       460,559  
    

 

 

 

Tobacco (0.1%):

  

462,000

 

Imperial Tobacco Finance, 3.75%, 7/21/22, Callable 5/21/22
@ 100(a)

     482,254  
    

 

 

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value

Yankee Dollars, continued

  

Trading Companies & Distributors (0.2%):

 

$152,000

 

AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, 12/16/21, Callable 11/16/21 @ 100

   $ 155,240  

320,000

 

AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.88%, 1/16/24, Callable 12/16/23 @ 100

     330,427  

297,000

 

AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.88%, 8/14/24, Callable 7/14/24 @ 100

     285,194  

151,000

 

AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50%, 7/15/25, Callable 6/15/25 @ 100

     162,658  

163,000

 

AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, 4/3/26, Callable 2/3/26 @ 100

     162,069  
    

 

 

 

       1,095,588  
    

 

 

 

Wireless Telecommunication Services (0.3%):

 

330,000

 

Empresa Nacional del Pet, 4.38%, 10/30/24(a)

     356,813  

430,000

 

Millicom International Cellular SA, 6.63%, 10/15/26, Callable 10/15/21 @ 104.97(a)

     462,250  

500,000

 

Millicom International Cellular SA, 6.25%, 3/25/29, Callable 3/25/24 @ 103.13(a)

     535,625  
    

 

 

 

       1,354,688  
    

 

 

 

Total Yankee Dollars (Cost $41,662,535)

           42,155,044  
  

 

 

 

Municipal Bonds (0.9%):

  

New Jersey (0.1%):

 

339,000

 

New Jersey Economic Development Authority Revenue, Build America Bonds, GO, Series A, 7.43%, 2/15/29

     423,170  
    

 

 

 

Illinois (0.6%):

 

88,636

 

Illinois State, Build America Bonds, GO, 4.95%, 6/1/23

     90,920  

3,235,000

 

Illinois State, Build America Bonds, GO, 5.10%, 6/1/33

     3,238,364  
    

 

 

 

       3,329,284  
    

 

 

 

California (0.2%):

 

400,000

 

California State, Build America Bonds, GO, 7.50%, 4/1/34

     655,968  

140,000

 

California State, Build America Bonds, GO, 7.55%, 4/1/39

     244,314  

10,000

 

California State, Build America Bonds, GO, 7.35%, 11/1/39

     16,606  
    

 

 

 

       916,888  
    

 

 

 

Total Municipal Bonds (Cost $4,391,672)

     4,669,342  
  

 

 

 

U.S. Government Agency Mortgages (7.8%):

 

Federal Home Loan Mortgage Corporation (2.4%)

 

44,139

 

2.50%, 6/1/31, Pool #J34501

     46,926  

43,904

 

2.50%, 6/1/31, Pool #G18604

     46,114  

67,716

 

2.50%, 7/1/31, Pool #V61246

     71,975  

115,434

 

2.50%, 8/1/31, Pool #V61273

     122,478  

325,808

 

3.50%, 3/1/32, Pool #C91403

     347,325  

909,441

 

3.50%, 7/1/32, Pool #C91467

     969,745  

289,522

 

2.50%, 12/1/32, Pool #G18669

     303,833  

72,344

 

2.50%, 3/1/33, Pool #G18680

     75,920  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value  

U.S. Government Agency Mortgages, continued

 

Federal Home Loan Mortgage Corporation, continued

 

$34,991   3.00%, 4/1/33, Pool #K90336    $ 36,867  
311,684   3.00%, 4/1/33, Pool #G18684      328,856  
96,383   3.00%, 5/1/33, Pool #G16550      101,626  
69,783   3.00%, 6/1/33, Pool #K90806      73,503  
88,547   3.00%, 6/1/33, Pool #K90632      93,310  
47,610   3.00%, 6/1/33, Pool #K90684      50,161  
37,949   3.00%, 6/1/33, Pool #C91709      39,986  
172,872   3.00%, 7/1/33, Pool #C91714      182,155  
219,192   2.50%, 7/1/33, Pool #G16661      231,039  
233,370   3.50%, 11/1/33, Pool #G16677      249,207  
187,306   3.50%, 2/1/34, Pool #G16752      199,248  
64,234   3.00%, 4/1/34, Pool #G16829      68,578  
66,821   2.50%, 9/1/34, Pool #SB8013      70,000  
290,842   3.50%, 10/1/34, Pool #C91793      309,858  
754,046   4.00%, 5/1/37, Pool #C91938      816,509  
271,781   5.00%, 2/1/38, Pool #G60365      307,617  
332,870   4.00%, 11/1/40, Pool #A95150      358,149  
385,111   3.50%, 1/1/44, Pool #G60271      423,098  
777,645   3.50%, 1/1/44, Pool #G07922      860,103  
117,213   4.00%, 2/1/45, Pool #G07949      128,917  
108,859   3.50%, 11/1/45, Pool #Q37467      118,608  
31,714   4.00%, 4/1/46, Pool #V82292      34,706  
12,803   4.00%, 4/1/46, Pool #Q39975      14,030  
219,022   3.50%, 9/1/46, Pool #Q43257      238,683  
334,594   3.00%, 12/1/46, Pool #G60989      357,583  
13,208   4.50%, 12/1/46, Pool #Q45028      14,427  
11,069   4.50%, 1/1/47, Pool #Q45635      12,091  
26,080   4.50%, 2/1/47, Pool #Q46222      28,954  
24,207   4.50%, 5/1/47, Pool #Q47942      26,875  
58,933   4.50%, 5/1/47, Pool #Q47935      65,426  
62,899   4.50%, 5/1/47, Pool #Q48095      69,834  
348,375   4.00%, 6/1/47, Pool #G08767      374,820  
542,227   4.00%, 6/1/47, Pool #Q48877      595,807  
74,020   4.50%, 6/1/47, Pool #Q48759      82,176  
59,646   4.50%, 7/1/47, Pool #Q49393      66,242  
482,311   4.00%, 7/1/47, Pool #G08771      518,923  
322,797   3.50%, 11/1/47, Pool #Q52086      346,000  
132,871   4.50%, 12/1/47, Pool #Q53017      145,356  
198,778   4.00%, 12/1/47, Pool #G61305      213,142  
45,559   4.00%, 1/1/48, Pool #V83906      48,851  
15,278   4.50%, 1/1/48, Pool #Q53730      16,726  
57,137   4.00%, 2/1/48, Pool #G61343      62,068  
45,257   4.00%, 2/1/48, Pool #V83994      48,279  
12,439   4.00%, 2/1/48, Pool #Q54499      13,536  
140,021   4.50%, 4/1/48, Pool #Q55724      154,433  
107,370   4.50%, 4/1/48, Pool #Q55660      118,354  
71,764   4.50%, 4/1/48, Pool #Q55500      79,105  
264,400   4.00%, 5/1/48, Pool #Q55992      287,728  
134,337   4.50%, 5/1/48, Pool #Q55839      148,080  
345,199   4.00%, 6/1/48, Pool #G67713      376,014  
109,666   4.00%, 7/1/48, Pool #Q59935      121,012  
56,754   4.50%, 10/1/48, Pool #G67716      63,407  
612,634   3.50%, 5/1/49, Pool #Q63646      659,590  
    

 

 

 
             12,433,969  
    

 

 

 

Federal National Mortgage Association (3.1%)

 

402,454   2.50%, 4/1/28, Pool #AT2060      422,535  
58,791   2.50%, 5/1/31, Pool #BC0919      62,358  
81,713   2.50%, 8/1/31, Pool #BC2778      86,693  
57,272   2.50%, 10/1/31, Pool #AS8010      60,862  
475,222   2.50%, 1/1/32, Pool #BE3032      498,507  
255,221   3.00%, 9/1/32, Pool #BM5110      270,162  
Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value

U.S. Government Agency Mortgages, continued

 

Federal National Mortgage Association, continued

 

$87,513   2.50%, 9/1/32, Pool #MA3124    $ 91,872  
143,769   3.00%, 12/1/32, Pool #BM5109      152,623  
623,079   3.00%, 2/1/33, Pool #BM5108      658,680  
34,711   3.00%, 3/1/33, Pool #BM4614      37,332  
31,167   3.00%, 5/1/33, Pool #AT3000      33,089  
34,057   3.00%, 6/1/33, Pool #AT6090      36,161  
166,127   3.00%, 7/1/33, Pool #MA1490      176,376  
177,415   2.50%, 5/1/34, Pool #BN6321      185,931  
599,059   3.50%, 9/1/34, Pool #FM1577      653,462  
321,913   3.50%, 9/1/34, Pool #FM1578      347,245  
227,190   3.50%, 10/1/34, Pool #FM1579      241,960  
568,436   6.00%, 5/1/36, Pool #745512      663,915  
27,127   3.50%, 12/1/40, Pool #AH1556      29,323  
62,879   4.00%, 10/1/43, Pool #BM1167      69,816  
534,146   4.50%, 3/1/44, Pool #AV0957      583,420  
452,344   4.50%, 7/1/44, Pool #AS3062      497,862  
223,067   4.50%, 10/1/44, Pool #AV8856      245,591  
317,963   4.50%, 12/1/44, Pool #AS4176      354,268  
129,087   4.00%, 5/1/45, Pool #AZ1207      138,039  
315,266   4.00%, 6/1/45, Pool #AY8096      336,907  
113,530   4.00%, 6/1/45, Pool #AY8126      121,323  
496,847   3.50%, 7/1/45, Pool #AZ0814      539,757  
349,322   3.50%, 8/1/45, Pool #AY8424      379,610  
392,686   4.50%, 12/1/45, Pool #BA6997      425,345  
57,721   4.00%, 12/1/45, Pool #AS6352      62,707  
20,133   4.50%, 1/1/46, Pool #AY3890      21,790  
201,065   4.00%, 2/1/46, Pool #BC1578      216,725  
8,218   4.50%, 3/1/46, Pool #BC0287      9,212  
48,531   4.00%, 4/1/46, Pool #AS7024      52,643  
446,656   4.00%, 4/1/46, Pool #AL8468      492,158  
72,270   4.50%, 6/1/46, Pool #BD1238      79,475  
404,985   4.00%, 6/1/46, Pool #AL9282      436,528  
167,905   4.00%, 7/1/46, Pool #BC1443      186,597  
464,401   3.50%, 7/1/46, Pool #AL9515      508,459  
182,963   4.00%, 9/1/46, Pool #BC2843      203,391  
55,717   4.00%, 9/1/46, Pool #BD1489      60,057  
60,878   4.50%, 10/1/46, Pool #BE1671      66,910  
23,503   4.00%, 10/1/46, Pool #BD7599      25,347  
159,602   4.00%, 10/1/46, Pool #BC4754      177,377  
194,404   3.50%, 10/1/46, Pool #AL9285      204,860  
71,077   4.50%, 11/1/46, Pool #BE2386      79,729  
11,237   4.50%, 12/1/46, Pool #BC9079      12,601  
139,363   4.50%, 12/1/46, Pool #BE4488      156,337  
489,787   3.50%, 12/1/46, Pool #BC9077      536,447  
371,412   3.50%, 1/1/47, Pool #BE1526      402,589  
284,104   3.50%, 1/1/47, Pool #AL9776      310,863  
71,697   4.50%, 1/1/47, Pool #BE7087      79,675  
88,867   4.50%, 1/1/47, Pool #BE6506      99,691  
655,005   4.00%, 2/1/47, Pool #AL9779            723,028  
80,452   4.50%, 2/1/47, Pool #BE8498      89,459  
93,379   4.00%, 5/1/47, Pool #BM1277      101,874  
38,848   4.50%, 6/1/47, Pool #BH0561      42,719  
17,582   4.50%, 6/1/47, Pool #BE9387      19,514  
10,703   4.00%, 6/1/47, Pool #BH4269      11,677  
100,422   4.50%, 6/1/47, Pool #BE3663      111,497  
59,263   4.00%, 7/1/47, Pool #AS9968      64,654  
87,255   4.50%, 7/1/47, Pool #BE3749      96,841  
34,843   4.50%, 4/1/48, Pool #BJ5454      38,223  
111,242   4.00%, 4/1/48, Pool #BM3700      121,362  
18,685   4.50%, 5/1/48, Pool #BJ5507      20,498  
136,423   4.50%, 10/25/48, Pool #BM4548      152,083  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value

U.S. Government Agency Mortgages, continued

  

Federal National Mortgage Association, continued

 

$423,671   4.50%, 9/1/49, Pool #FM1534    $ 470,690  
200,000   2.50%, 10/25/49      209,781  
88,112   3.50%, 11/1/49, Pool #CA4557      94,935  
571,244   4.00%, 11/1/49, Pool #CA4628      616,279  
366,631   3.00%, 2/1/50, Pool #CA5126      384,245  
499,425   2.50%, 8/1/50, Pool #SD0430      529,232  
300,000   2.50%, 11/25/50, TBA      314,168  
    

 

 

 

             17,095,951  
    

 

 

 

Government National Mortgage Association (2.3%)

 

34,734   4.00%, 10/20/40, Pool #G24833      38,058  
102,956   4.00%, 1/20/41, Pool #4922      112,812  
98,811   4.00%, 8/15/41, Pool #430354      108,596  
1,117,142   4.00%, 1/20/42, Pool #5280      1,224,239  
149,841   4.00%, 11/20/42, Pool #MA0535      164,251  
311,323   3.00%, 12/20/42, Pool #AA5872      327,760  
2,484,301   3.50%, 1/20/43, Pool #MA0699      2,679,380  
196,232   3.00%, 3/20/43, Pool #AA6146      208,722  
78,570   3.00%, 3/20/43, Pool #AD8812      82,654  
41,268   3.50%, 3/20/43, Pool #AD8884      44,794  
41,490   3.50%, 4/20/43, Pool #AD9075      45,036  
17,055   3.50%, 4/20/43, Pool #AB9891      18,529  
122,931   4.00%, 5/20/46, Pool #MA3664      133,566  
157,103   3.50%, 5/20/46, Pool #MA3663      167,195  
212,537   3.50%, 6/20/46, Pool #MA3736      227,290  
54,318   3.50%, 7/20/46, Pool #MA3803      58,089  
650,508   3.00%, 12/20/46, Pool #MA4126      681,093  
139,147   4.00%, 1/15/47, Pool #AX5857      148,951  
126,122   4.00%, 1/15/47, Pool #AX5831      135,008  
922,305   3.00%, 1/20/47, Pool #MA4195      969,857  
451,622   4.00%, 3/20/47, Pool #MA4322      487,073  
148,842   4.00%, 4/20/47, Pool #784303      158,352  
160,558   4.00%, 4/20/47, Pool #784304      170,816  
78,834   4.00%, 4/20/47, Pool #MA4383      85,023  
605,163   4.50%, 4/20/47, Pool #MA4384      660,640  
84,938   4.00%, 5/20/47, Pool #MA4452      91,606  
800,968   4.50%, 6/20/47, Pool #MA4512      874,492  
38,859   4.00%, 4/20/48, Pool #BG7744      41,669  
265,908   4.00%, 4/20/48, Pool #MA5137      285,252  
46,326   4.00%, 4/20/48, Pool #BG3507      49,675  
574,860   4.00%, 6/20/48, Pool #MA5264      611,885  
803,456   4.00%, 9/20/48, Pool #MA5466      862,018  
21,482   3.50%, 12/20/49, Pool #BR8984      22,901  
26,287   3.50%, 12/20/49, Pool #BR8985      28,518  
20,958   3.50%, 12/20/49, Pool #BR8987      22,862  
    

 

 

 

       12,028,662  
    

 

 

 

Total U.S. Government Agency Mortgages (Cost $39,887,956)

     41,558,582  
  

 

 

 

U.S. Treasury Obligations (14.6%):

  

U.S. Treasury Bonds (4.6%)

 

226,000   1.13%, 5/15/40      222,928  
8,868,000   3.00%, 2/15/47      12,020,297  
1,149,000   2.00%, 2/15/50      1,303,038  
3,310,300   1.25%, 5/15/50      3,146,854  
7,657,600   1.38%, 8/15/50      7,515,217  
    

 

 

 

       24,208,334  
    

 

 

 

U.S. Treasury Inflation Index Bonds (0.7%)

 

4,256,943   0.75%, 2/15/45      2,840,855  
160,977   1.00%, 2/15/46      113,536  
1,562,715   1.00%, 2/15/49      1,106,763  
    

 

 

 

       4,061,154  
    

 

 

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
        Fair Value

U.S. Treasury Obligations, continued

  

U.S. Treasury Inflation Index Notes (3.1%)

 

$6,515,279   0.13%, 10/15/24    $ 3,471,900  
3,517,483   0.25%, 1/15/25      1,959,844  
9,953,818   0.63%, 1/15/26      5,718,434  
4,223,923   0.13%, 7/15/26      2,378,745  
2,654,008   0.88%, 1/15/29      1,565,188  
1,912,122   0.25%, 7/15/29      1,076,104  
    

 

 

 

       16,170,215  
    

 

 

 

U.S. Treasury Notes (6.2%)

 

3,746,000   0.13%, 8/15/23      3,743,073  
900,000   2.50%, 1/31/24      969,609  
12,859,000   0.25%, 7/31/25      12,848,954  
5,588,000   2.50%, 2/28/26      6,242,844  
3,979,000   0.38%, 9/30/27      3,954,131  
5,037,000   0.63%, 8/15/30      5,011,815  
    

 

 

 

       32,770,426  
    

 

 

 

Total U.S. Treasury Obligations (Cost $75,493,260)

     77,210,129  
  

 

 

 

Short-Term Securities Held as Collateral for Securities on Loan (0.8%):   

4,095,802

  BlackRock Liquidity FedFund, Institutional Class , 1.81%(d)(e)      4,095,802  
    

 

 

 

Total Short-Term Securities Held as Collateral for Securities on Loan (Cost $4,095,802)

     4,095,802  
  

 

 

 

Unaffiliated Investment Companies (1.9%):

  

Money Markets (1.9%):

  

9,843,184

  Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(e)      9,843,184  
    

 

 

 

Total Unaffiliated Investment Companies (Cost $9,843,184)

     9,843,184  
  

 

 

 

Total Investment Securities
(Cost $473,193,984) - 100.9%

     535,387,063  

Net other assets (liabilities) - (0.9)%

     (4,874,374)  
  

 

 

 

Net Assets - 100.0%

           $530,512,689  
  

 

 

 

Percentages indicated are based on net assets as of September 30, 2020.

 

CVR

 

-

  Contingency Valued Rights

GO

  -   General Obligation

H15T1Y

  -   1 Year Treasury Constant Maturity Rate

H15T5Y

  -   5 Year Treasury Constant Maturity Rate

LIBOR

  -   London Interbank Offered Rate

MTN

  -   Medium Term Note

REIT

  -   Real Estate Investment Trust

SOFR

 

-

  Secured Overnight Financing Rate

TBA

 

-

  To Be Announced Security

US0001M

 

-

  1 Month US Dollar LIBOR

US0003M

 

-

  3 Month US Dollar LIBOR

USSW5

 

-

  USD 5 Year Swap Rate

 

*

Non-income producing security.

^

This security or a partial position of this security was on loan as of September 30, 2020. The total value of securities on loan as of September 30, 2020 was $3,970,346.

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

+

The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars.

Represents less than 0.05%.

(a)

Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees.

(b)

The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at September 30, 2020.

(c)

Defaulted bond.

(d)

Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before September 30, 2020.

(e)

The rate represents the effective yield at September 30, 2020.

            

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Multi-Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

 

Futures Contracts

At September 30, 2020, the Fund’s open futures contracts were as follows:

Long Futures

 

Description  

    Expiration    

Date

   

      Number of      

Contracts

 

      Notional      

Amount

    

Value and

Unrealized

Appreciation/

(Depreciation)    

 

S&P 500 Index E-Mini December Futures (U.S. Dollar)

    12/18/20     7   $ 1,173,200      $             (8,154)      
        

 

 

 
         $ (8,154)      
        

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Total Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares            Fair Value    

Common Stocks (0.0%):

 

Energy Equipment & Services (0.0%):

 

912

     Weatherford International plc*    $ 1,778     
       

 

 

 

Oil, Gas & Consumable Fuels (0.0%):

  

22

     Amplify Energy Corp., 0.59%      19  

2,077

     Sanchez Energy Corp.*      54,002  
       

 

 

 

          54,021  
       

 

 

 

Total Common Stocks (Cost $163,838)

     55,799  
       

 

 

 

Principal    

Amount

                 Fair Value    

Asset Backed Securities (1.8%):

 

$244,877

     Aaset Trust, Class A, Series 2020-1A, 4.34%, 1/16/40(a)      170,903  

242,675

     Aaset Trust, Class A, Series 2020-1A, 3.35%, 1/16/40(a)      223,605  

446,920

     Aaset Trust, Class A, Series 2019-2, 3.38%, 10/16/39(a)      418,815  

300,683

     Aaset Trust, Class A, Series 2019-1, 3.84%, 5/15/39(a)      280,192  

1,455,222

     Aaset Trust, Class A, Series 2017-1A, 3.97%, 5/16/42(a)      1,315,615  

225,022

     Aaset Trust, Class A, Series 2018-1A, 3.84%, 1/16/38(a)      207,875  

135,417

     Blackbird Capital Aircraft, Class AA, Series 2016-1A, 2.49%, 12/16/41, Callable 12/15/24 @ 100(a)(b)      125,913  

625,146

     Blackbird Capital Aircraft, Class A, Series 2016-1A, 4.21%, 12/16/41, Callable 12/15/24 @ 100(a)(b)      564,398  

439,739

     Castlelake Aircraft Structured Trust, Class A, Series 2019-1,
3.97%, 4/15/39(a)
     406,960  

216,990

     Castlelake Aircraft Structured Trust, Class B, Series 2019-1,
5.10%, 4/15/39(a)
     155,287  

486,276

     Castlelake Aircraft Structured Trust, Class A, Series 2018-1A,
4.13%, 6/15/43(a)
     453,973  

332,475

     DB Master Finance LLC, Class A2I, Series 2017-1A, 3.63%, 11/20/47, Callable 11/20/21 @ 100(a)      342,207  

558,675

     DB Master Finance LLC, Class A2II, Series 2017-1A, 4.03%, 11/20/47, Callable 11/20/23 @ 100(a)      589,092  

235,728

     Horizon Aircraft Finance, Ltd., Class A, Series 2019-1, 3.72%, 7/15/39(a)      220,098  

227,235

     Horizon Aircraft Finance, Ltd., Class A, Series 2018-1, 4.46%, 12/15/38(a)      214,666  

334,473

     Planet Fitness Master Issuer LLC, Class A2, Series 1A, 3.86%, 12/5/49, Callable 12/5/25 @ 100(a)      313,725  

389,185

     Project Silver, Class A, Series 2019-1, 3.97%, 7/15/44(a)      363,730  

233,783

     Sapphire Aviation Finance, Ltd., Class B, Series 2020-1A, 4.34%, 3/15/40(a)      157,061  

394,126

     Sapphire Aviation Finance, Ltd., Class A, Series 2020-1A, 3.23%, 3/15/40(a)      355,385  

Principal    

Amount

                 Fair Value    

Asset Backed Securities, continued

 

$554,024

     Thunderbolt Aircraft Lease, Ltd., Class A, Series 2019-1, 3.67%, 11/15/39(a)    $ 518,540  

394,239

     Thunderbolt Aircraft Lease, Ltd., Class A, Series 2017-A, 4.21%, 5/17/32, Callable 4/15/24 @ 100(a)(b)      370,522  

542,995

     Thunderbolt Aircraft Lease, Ltd., Class A, Series 2018, 4.15%, 9/15/38(a)(b)      510,472  
       

 

 

 

Total Asset Backed Securities (Cost $9,014,179)

     8,279,034     
       

 

 

 

Collateralized Mortgage Obligations (6.1%):

 

280,000

     AIMCO CLO 11, Ltd., Class A, Series 2020-11A(US0003M+138bps),
10/15/31(a)
     280,000  

750,000

     AIMCO CLO, Ltd., Class A, Series 2019-10A, 1.58%(US0003M+132bps), 7/22/32, Callable 7/22/21 @ 100(a)      741,300  

250,000

     Allegany Park CLO, Ltd., Class A, Series 2019-1A, 1.60%(US0003M+133bps), 1/20/33, Callable 1/20/22 @ 100(a)      249,042  

250,000

     Ares CLO, Ltd., Class AR2, Series 2015-2A, 1.52%(US0003M+125bps), 4/17/33, Callable 4/17/21 @ 100(a)      247,699  

534,000

     Ares CLO, Ltd., Class AR, Series 2016-41A, 1.47%(US0003M+120bps), 1/15/29, Callable 10/15/20 @ 100(a)      531,418  

393,000

     Ares CLO, Ltd., Class A, Series 2019-54A, 1.60%(US0003M+132bps), 10/15/32, Callable 10/15/21 @ 100(a)      391,964  

358,000

     Ares LV CLO, Ltd., Class A1, Series 2020-55A, 2.01%(US0003M+170bps), 4/15/31, Callable 7/15/21 @ 100(a)      359,078  

273,000

     BAMLL Commercial Mortgage Securities Trust, Class ANM, Series 2019-BPR, 3.11%, 11/5/32(a)      272,967  

100,000

     BAMLL Commercial Mortgage Securities Trust, Class BNM, Series 2019-BPR, 3.47%, 11/5/32(a)      88,049  

43,000

     Bank, Class A5, Series 2019-BN21, 2.85%, 10/15/52      47,673  

102,000

     Barclays, Class A, Series 2016-MART, 2.20%, 9/13/31(a)      101,688  

434,720

     Barings CLO, Ltd., Class A1, Series 2020-1A(US0003M+140bps),
10/15/32(a)
     434,720  

272,000

     Beechwood Park CLO, Ltd., Class A1, Series 2019-1A, 1.60%(US0003M+133bps), 1/17/33, Callable 1/17/22 @ 100(a)      271,401  

49,000

     Benchmark Mortgage Trust, Class A5, Series 2018-B4, 4.12%, 7/15/51(b)      58,128  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Total Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal    

Amount

                 Fair Value    

Collateralized Mortgage Obligations, continued

 

$67,000

     Benchmark Mortgage Trust, Class A5, Series 2019-B14, 3.05%, 12/15/61    $ 75,508  

461,000

     Bristol Park CLO, Ltd., Class AR, Series 2016-1A, 1.27%(US0003M+99bps), 4/15/29, Callable 1/15/21 @ 100(a)      455,911  

457,581

     BX Commercial Mortgage Trust, Class A, Series 2020-BXLP, 0.95%(US0001M+80bps), 12/15/29(a)      457,009     

212,643

     BX Commercial Mortgage Trust, Class B, Series 2019-XL, 1.23%(US0001M+108bps), 10/15/36(a)      212,220  

266,753

    

BX Commercial Mortgage Trust, Class C, Series 2019-XL, 1.40%(US0001M+125bps), 10/15/36(a)

     265,587  

378,770

     BX Commercial Mortgage Trust, Class D, Series 2019-XL, 1.60%(US0001M+145bps), 10/15/36(a)      376,376  

531,607

     BX Commercial Mortgage Trust, Class E, Series 2019-XL, 1.95%(US0001M+180bps), 10/15/36(a)      526,200  

211,806

     BX Commercial Mortgage Trust, Class E, Series 2020-BXLP, 1.75%(US0001M+160bps), 12/15/29(a)      209,472  

179,835

     BX Commercial Mortgage Trust, Class C, Series 2020-BXLP, 1.27%(US0001M+112bps), 12/15/29(a)      178,942  

226,792

     BX Commercial Mortgage Trust, Class B, Series 2020-BXLP, 1.15%(US0001M+100bps), 12/15/29(a)      226,228  

400,000

     BX Commercial Mortgage Trust, Class A, Series 2019-IMC, 1.15%(US0001M+100bps), 4/15/34(a)      385,122  

266,000

     BX Commercial Mortgage Trust, Class B, Series 2019-IMC, 1.45%(US0001M+130bps), 4/15/34(a)      250,790  

176,000

     BX Commercial Mortgage Trust, Class C, Series 2019-IMC, 1.75%(US0001M+160bps), 4/15/34(a)      162,873  

185,000

     BX Commercial Mortgage Trust, Class D, Series 2019-IMC, 2.05%(US0001M+190bps), 4/15/34(a)      169,316  

277,746

     BX Commercial Mortgage Trust, Class D, Series 2020-BXLP, 1.40%(US0001M+125bps), 12/15/29(a)      275,343  

Principal    

Amount

                 Fair Value    

Collateralized Mortgage Obligations, continued

 

$146,300

     BX Commercial Mortgage Trust, Class F, Series 2018-IND, 1.95%(US0001M+180bps), 11/15/35(a)    $ 144,477  

154,256

     BX Commercial Mortgage Trust, Class D, Series 2018-EXCL, 2.78%(US0001M+263bps), 9/15/37(a)      113,901  

261,000

     Cedar Funding CLO, Ltd., Class A1A, Series 2019-11A, 1.60%(US0003M+135bps), 5/29/32, Callable 5/29/21 @ 100(a)      259,886     

346,000

     Cedar Funding CLO, Ltd., Class A, Series 2019-10A, 1.61%(US0003M+134bps), 10/20/32, Callable 10/20/21 @ 100(a)      343,268  

250,000

     Cedar Funding XII CLO, Ltd., Class A, Series 2020-12A(US0003M+127bps), 10/25/32(a)      250,000  

138,403

     CHC Commercial Mortgage Trust, Class C, Series 2019-CHC, 1.90%(US0001M+175bps), 6/15/34(a)      129,207  

624,306

     CHC Commercial Mortgage Trust, Class A, Series 2019-CHC, 1.27%(US0001M+112bps), 6/15/34(a)      594,949  

122,472

     CHC Commercial Mortgage Trust, Class B, Series 2019-CHC, 1.65%(US0001M+150bps), 6/15/34(a)      115,091  

370,000

     Columbia Cent CLO 29, Ltd., Class A1N, Series 2020-29A, 1.92%(US0003M+170bps), 7/20/31, Callable 1/20/22 @ 100(a)      369,402  

83,000

     Commercial Mortgage Trust, Class A5, Series 2014-CR18, 3.83%, 7/15/47      90,912  

119,000

     Credit Suisse Mortgage Capital Certificates, Class A, Series 20-NET, 2.26%, 8/15/37(a)      122,833  

225,000

     Credit Suisse Mortgage Capital Certificates, Class C, Series 2019-ICE4, 1.58%(US0001M+143bps), 5/15/36(a)      223,324  

205,000

     Credit Suisse Mortgage Capital Certificates, Class B, Series 2019-ICE4, 1.38%(US0001M+123bps), 5/15/36(a)      203,977  

309,000

     CSMC Trust, Class A, Series 2018, 4.28%, 4/15/36(a)      304,390  

100,000

     CSMC Trust, Class B, Series 2018, 4.53%, 4/15/36(a)      96,163  

100,000

     CSMC Trust, Class C, Series 2018, 4.78%, 4/15/36(a)      91,232  

128,000

     CSMC Trust, Class D, Series 2018, 4.78%, 4/15/36(a)      108,069  

1,384,000

     CSMC Trust, Class D, Series 2017-PFHP, 2.40%(US0001M+225bps), 12/15/30(a)      1,212,009  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Total Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal    

Amount

                 Fair Value    

Collateralized Mortgage Obligations, continued

 

$360,000

     Dryden 68 CLO, Ltd., Class A, Series 2019-68A, 1.59%(US0003M+131bps), 7/15/32, Callable 7/15/21 @ 100(a)    $ 358,298     

250,000

     Dryden 75 CLO, Ltd., Class AR, Series 2019-75A, 1.47%(US0003M+120bps), 7/15/30, Callable 10/15/20 @ 100(a)      247,933  

500,000

     Dryden 76 CLO, Ltd., Class A1, Series 2019-76A, 1.60%(US0003M+133bps), 10/20/32, Callable 10/20/21 @ 100(a)      496,837  

323,000

     Dryden 85 CLO, Ltd., Class A1, Series 2020-85A(US0003M+135bps),
10/15/32(a)
     323,000  

427,000

     Dryden CLO, Ltd., Class A, Series 2019-72A, 1.61%(US0003M+133bps), 5/15/32, Callable 5/15/21 @ 100(a)      424,545  

300,000

     Dryden CLO, Ltd., Class A, Series 2020-78A, 2.45%(US0003M+118bps), 4/17/33, Callable 4/17/22 @ 100(a)      297,077  

604,000

     Dryden CLO, Ltd., Class AR2, Series 2014-36A, 1.55%(US0003M+128bps), 4/15/29, Callable 10/15/20 @ 100(a)      602,939  

450,000

     Eaton Vance CLO, Ltd., Class A, Series 2020-1A(US0003M+165bps), 10/15/30, Callable 10/15/21 @ 100(a)      448,855  

438,000

     Flatiron CLO, Ltd., Class A, Series 2019-1A, 1.60%(US0003M+132bps), 11/16/32, Callable 11/16/21 @ 100(a)      433,584  

100,000

     GB Trust, Class B, Series 2020-FLIX, 1.50%(US0001M+135bps), 8/15/37(a)      100,213  

310,000

     GB Trust, Class A, Series 2020-FLIX, 1.27%(US0001M+112bps), 8/15/37(a)      310,595  

63,000

     J.P. Morgan Chase Commercial Mortgage Securities Trust, Class CFX, Series 2018-WPT, 4.95%, 7/5/23(a)      64,711  

97,000

     J.P. Morgan Chase Commercial Mortgage Securities Trust, Class DFX, Series 2018-WPT, 5.35%, 7/5/23(a)      96,555  

133,000

     J.P. Morgan Chase Commercial Mortgage Securities Trust, Class EFX, Series 2018-WPT, 5.54%, 7/5/23(a)      127,338  

480,000

     Madison Park Funding XLV, Ltd., Class A, Series 2020-45A, 1.92%(US0003M+165bps), 7/15/31, Callable 7/15/21 @ 100(a)      480,979  

Principal    

Amount

                 Fair Value    

Collateralized Mortgage Obligations, continued

 

$295,000

     Madison Park Funding, Ltd., Class A1R2, Series 2015-19A, 1.18%(US0003M+92bps), 1/22/28, Callable 10/22/20 @ 100(a)    $ 292,185     

500,000

     Madison Park Funding, Ltd., Class A1, Series 2019-37A, 1.58%(US0003M+130bps), 7/15/32, Callable 7/15/21 @ 100(a)      497,552  

250,000

     Madison Park Funding, Ltd., Class AR2, Series 2012-101, 1.49%(US0003M+122bps), 1/20/29, Callable 10/20/20 @ 100(a)      249,032  

250,000

     Madison Park Funding, Ltd., Class A, Series 2019-33A, 1.60%(US0003M+133bps), 10/15/32, Callable 1/15/22 @ 100(a)      249,473  

461,000

     Magnetite, Ltd., Class A, Series 2019-21A, 1.55%(US0003M+128bps), 4/20/30, Callable 10/20/20 @ 100(a)      458,702  

590,000

     Magnetite, Ltd., Class A, Series 24, 1.60%(US0003M+133bps), 1/15/33, Callable 1/15/22 @ 100(a)      588,696  

464,000

     Milos CLO, Ltd., Class AR, Series 2017-1A, 1.34%(US0003M+107bps), 10/20/30, Callable 4/20/21 @ 100(a)      456,447  

361,287

     Morgan Stanley Capital I Trust, Class B, Series 2018-BOP, 1.40%(US0001M+125bps), 6/15/35(a)      348,660  

870,944

     Morgan Stanley Capital I Trust, Class C, Series 2018-BOP, 1.65%(US0001M+150bps), 6/15/35(a)      833,267  

200,000

     Morgan Stanley Capital I Trust, Class A4, Series 2018-H4, 4.31%, 12/15/51      238,908  

82,000

     Morgan Stanley Capital I Trust, Class C, Series 2019-Mead, 3.18%, 11/10/36, Callable 11/10/24 @ 100(a)      75,898  

86,000

     Morgan Stanley Capital I Trust, Class B, Series 2019-Mead, 3.18%, 11/10/36, Callable 11/10/24 @ 100(a)      82,959  

593,000

     Morgan Stanley Capital I Trust, Class A, Series 2019-Mead, 3.17%, 11/10/36, Callable 11/10/24 @ 100(a)      604,694  

500,000

     Niagara Park CLO, Ltd., Class A, Series 2019-1A, 1.57%(US0003M+130bps), 7/17/32, Callable 7/17/21 @ 100(a)      498,018  

451,000

     RETL, Class C, Series 2019-RVP, 2.25%(US0001M+210bps), 3/15/36(a)      396,424  

535,000

     Stratus CLO, Ltd., Class A, Series 2020-1A, 3.29%(US0003M+198bps), 4/30/28, Callable 4/20/21 @ 100(a)      536,397  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Total Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal    

Amount

                 Fair Value    

Collateralized Mortgage Obligations, continued

 

$304,000

     Taconic Park CLO, Ltd., Class A1R, Series 2016-1A, 1.27%(US0003M+100bps), 1/20/29, Callable 4/20/21 @ 100(a)    $ 300,800  

509,000

     VERDE CLO, Ltd., Class A, Series 2019-1A, 1.63%(US0003M+135bps), 4/15/32, Callable 4/15/21 @ 100(a)      503,914     

570,000

     Voya CLO, Ltd., Class A1, Series 2020-3A(US0003M+130bps), 10/20/31(a)      570,000  

450,000

     Voya CLO, Ltd., Class A1, Series 2020-2A, 1.78%(US0003M+160bps), 7/19/31, Callable 7/19/21 @ 100(a)      449,270  

516,000

     Voya CLO, Ltd., Class A, Series 2019-2, 1.54%(US0003M+127bps), 7/20/32, Callable 7/20/21 @ 100(a)      510,685  

500,000

     Voya CLO, Ltd., Class A1, Series 2017-1A, 1.52%(US0003M+125bps), 4/17/30, Callable 10/17/20 @ 100(a)      496,916  

420,000

     Voya CLO, Ltd., Class A, Series 2020-1A, 2.00%(US0003M+170bps), 7/16/31, Callable 7/16/21 @ 100(a)      420,388  

234,000

     Wells Fargo Commercial Mortgage Trust, Class A5, Series 2018-C48, 4.30%, 1/15/52, Callable 12/15/28 @ 100      278,729  
       

 

 

 

Total Collateralized Mortgage Obligations (Cost $28,292,934)

     27,826,587  
       

 

 

 

Convertible Bond (0.0%):

 

Oil, Gas & Consumable Fuels (0.0%):

 

37,400

     Mesquite Energy, Inc., 15.00%,
7/15/23(a)
     37,400  
       

 

 

 

Total Convertible Bond (Cost $37,400)

     37,400  
       

 

 

 

Bank Loans (0.1%):

 

Diversified Financial Services (0.1%):

 

142,172

     Intelsat Jackson Holdings SA, 7/13/21      144,423  

215,000

     Intelsat Jackson Holdings SA, 11/27/23      215,746  

15,000

     Intelsat Jackson Holdings SA, 1/2/24      15,094  
       

 

 

 

          375,263  
       

 

 

 

Oil, Gas & Consumable Fuels (0.0%):

 

165,000

     California Resources Corp., 12/31/21      3,163  
       

 

 

 

Software (0.0%):

 

85,000

     Ultimate Software Group, Inc. (The), 0.04%, 5/3/26, Callable 11/7/20 @ 100      84,692  
       

 

 

 

Total Bank Loans (Cost $555,662)

     463,118  
       

 

 

 

Corporate Bonds (37.9%):

 

Aerospace & Defense (0.8%):

 

214,000

     Boeing Co. (The), 5.04%, 5/1/27, Callable 3/1/27 @ 100      234,977  

214,000

     Boeing Co. (The), 5.15%, 5/1/30, Callable 2/1/30 @ 100      240,505  

200,000

     Boeing Co. (The), 5.71%, 5/1/40, Callable 11/1/39 @ 100      234,937  

Principal    

Amount

                 Fair Value    

Corporate Bonds, continued

 

Aerospace & Defense, continued

 

$200,000

     Boeing Co. (The), 5.81%, 5/1/50, Callable 11/1/49 @ 100    $ 242,321  

210,000

     Boeing Co. (The), 5.93%, 5/1/60, Callable 11/1/59 @ 100      259,684     

315,000

     BWX Technologies, Inc., 5.38%, 7/15/26, Callable 7/15/21 @ 102.69(a)      327,206  

125,000

     BWX Technologies, Inc., 4.13%, 6/30/28, Callable 6/30/23 @ 102.06(a)      128,594  

150,000

     Moog, Inc., 4.25%, 12/15/27, Callable 12/15/22 @ 103.19(a)      153,000  

300,000

     Signature Aviation US Holdings, Inc., 5.38%, 5/1/26, Callable 5/1/21 @
102.69(a)
     301,500  

25,000

     TransDigm, Inc., 6.50%, 5/15/25, Callable 11/9/20 @ 103.25      24,844  

280,000

     TransDigm, Inc., 8.00%, 12/15/25, Callable 4/8/22 @ 104(a)      303,800  

360,000

     TransDigm, Inc., 6.25%, 3/15/26, Callable 3/15/22 @ 103.13(a)      376,200  

60,000

     TransDigm, Inc., 6.88%, 5/15/26, Callable 5/15/21 @ 105.16      60,300  

60,000

     TransDigm, Inc., 6.38%, 6/15/26, Callable 6/15/21 @ 103.19      60,000  

55,000

     TransDigm, Inc., 7.50%, 3/15/27, Callable 3/15/22 @ 103.75      56,925  

610,000

     TransDigm, Inc., 5.50%, 11/15/27, Callable 11/15/22 @ 102.75      585,600  
       

 

 

 

          3,590,393  
       

 

 

 

Air Freight & Logistics (0.1%):

 

205,000

     XPO Logistics, Inc., 6.25%, 5/1/25, Callable 5/1/22 @ 103.13(a)      218,325  
       

 

 

 

Automobiles (0.2%):

 

354,000

     Volkswagen Group of America Finance LLC, 2.90%, 5/13/22(a)      365,965  

309,000

     Volkswagen Group of America Finance LLC, 3.13%, 5/12/23(a)      326,290  
       

 

 

 

          692,255  
       

 

 

 

Banks (3.0%):

 

656,000

     Bank of America Corp., 4.20%, 8/26/24, MTN      728,220  

612,000

     Bank of America Corp., Series L, 3.95%, 4/21/25, MTN      676,795  

128,000

     Bank of America Corp., Series G, 4.45%, 3/3/26      147,363  

100,000

     CIT Group, Inc., 3.93%(SOFR+4bps), 6/19/24, Callable 6/19/23 @ 100      100,250  

245,000

     CIT Group, Inc., 6.13%, 3/9/28      279,300  

1,090,000

     Citigroup, Inc., Series V, 4.05%, 7/30/22      1,156,733  

393,000

     Citigroup, Inc., 3.35%(US0003M+90bps), 4/24/25, Callable 4/24/24 @ 100      423,872  

1,642,000

     Citigroup, Inc., 4.30%, 11/20/26      1,875,151  

665,000

     Citigroup, Inc., 4.41%(SOFR+391bps), 3/31/31, Callable 3/31/30 @ 100      797,113  

2,994,000

     JPMorgan Chase & Co., 3.88%, 9/10/24      3,312,411  

267,000

     JPMorgan Chase & Co., 2.96%(SOFR+252bps), 5/13/31, Callable 5/13/30 @ 100      285,346  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Total Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal    

Amount

                 Fair Value    

Corporate Bonds, continued

 

Banks, continued

 

$500,000

     Regions Bank, 6.45%, 6/26/37    $ 695,733  

296,000

     Wells Fargo & Co., 2.41%(US0003M+83bps), 10/30/25, Callable 10/30/24 @ 100, MTN      309,375     

938,000

     Wells Fargo & Co., 4.48%(US0003M+4bps), 4/4/31, Callable 4/4/30 @ 100, MTN      1,132,830  

1,340,000

     Wells Fargo & Co., 5.01%(US0003M+424bps), 4/4/51, Callable 4/4/50 @ 100, MTN      1,826,967  
       

 

 

 

          13,747,459  
       

 

 

 

Beverages (0.7%):

 

500,000

     Anheuser-Busch InBev Worldwide, Inc., 3.50%, 6/1/30, Callable 3/1/30 @ 100      571,327  

220,000

     Anheuser-Busch InBev Worldwide, Inc., 4.35%, 6/1/40, Callable 12/1/39 @ 100      255,794  

500,000

     Anheuser-Busch InBev Worldwide, Inc., 4.50%, 6/1/50, Callable 12/1/49 @ 100      598,318  

509,000

     Anheuser-Busch InBev Worldwide, Inc., 4.75%, 4/15/58, Callable 10/15/57 @ 100      618,751  

523,000

     Anheuser-Busch InBev Worldwide, Inc., 5.80%, 1/23/59, Callable 7/23/58 @ 100      747,501  

239,000

     Anheuser-Busch InBev Worldwide, Inc., 4.60%, 6/1/60, Callable 12/1/59 @ 100      288,669  
       

 

 

 

          3,080,360  
       

 

 

 

Biotechnology (0.3%):

 

1,489,000

     AbbVie, Inc., 3.45%, 3/15/22, Callable 1/15/22 @ 100(a)      1,545,986  
       

 

 

 

Building Products (0.1%):

 

255,000

     Advanced Drainage Systems, Inc., 5.00%, 9/30/27, Callable 9/30/22 @ 102.5(a)      266,156  
       

 

 

 

Capital Markets (2.5%):

 

282,000

     Affiliated Managers Group, Inc., 4.25%, 2/15/24      310,067  

572,000

     Affiliated Managers Group, Inc., 3.50%, 8/1/25^      630,181  

706,000

     Ares Capital Corp., 4.20%, 6/10/24, Callable 5/10/24 @ 100      733,358  

751,000

     Ares Capital Corp., 3.88%, 1/15/26, Callable 12/15/25 @ 100      765,277  

1,140,000

     Goldman Sachs Group, Inc. (The), 3.80%, 3/15/30, Callable 12/15/29 @ 100      1,307,832  

194,000

     Goldman Sachs Group, Inc. (The), 6.75%, 10/1/37      280,413  

5,274,000

     Morgan Stanley, 3.74%(US0003M+85bps), 4/24/24, Callable 4/24/23 @ 100      5,670,900  

632,000

     Morgan Stanley, 3.62%(SOFR+312bps), 4/1/31, Callable 4/1/30 @ 100      725,151  

457,000

     Pine Street Trust I, 4.57%, 2/15/29, Callable 11/15/28 @ 100(a)      527,096  

500,000

     Pine Street Trust II, 5.57%, 2/15/49, Callable 8/15/48 @ 100(a)      593,436  

Principal    

Amount

                 Fair Value    

Corporate Bonds, continued

 

Capital Markets, continued

 

$65,000

     US Renal Care, Inc., 10.63%, 7/15/27, Callable 7/15/22 @ 105.31(a)    $ 69,225     
       

 

 

 

          11,612,936  
       

 

 

 

Chemicals (0.3%):

 

151,000

     Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 6/15/27, Callable 6/15/23 @ 102.38(a)      155,153  

5,000

     CF Industries, Inc., 4.95%, 6/1/43      5,800  

60,000

     CF Industries, Inc., 5.38%, 3/15/44      72,000  

195,000

     Chemours Co., 7.00%, 5/15/25, Callable 11/9/20 @ 103.5^      196,219  

276,000

     Chemours Co., 5.38%, 5/15/27, Callable 2/15/27 @ 100      272,549  

10,000

     Olin Corp., 5.63%, 8/1/29, Callable 8/1/24 @ 102.81      9,800  

50,000

     Olin Corp., 5.00%, 2/1/30, Callable 2/1/24 @ 102.5      47,125  

200,000

     Valvoline, Inc., 4.38%, 8/15/25, Callable 11/9/20 @ 103.28      205,000  

35,000

     Valvoline, Inc., 4.25%, 2/15/30, Callable 2/15/25 @ 102.13(a)      35,613  

200,000

     W.R. Grace & Co., 5.63%, 10/1/24(a)      212,500  

80,000

     WR Grace & Co., 4.88%, 6/15/27, Callable 6/15/23 @ 102.44(a)      82,600  
       

 

 

 

          1,294,359  
       

 

 

 

Commercial Services & Supplies (0.3%):

 

105,000

     Aramark Services, Inc., 5.00%, 4/1/25, Callable 11/9/20 @ 103.75^(a)      106,575  

420,000

     Aramark Services, Inc., 6.38%, 5/1/25, Callable 5/1/22 @ 103.19(a)      436,800  

260,000

     Aramark Services, Inc., 5.00%, 2/1/28, Callable 2/1/23 @ 102.5^(a)      261,950  

95,000

     Tempo Acquisition LLC /Tempo Acquisition Finance Corp., 5.75%, 6/1/25, Callable 6/1/22 @ 102.88(a)      99,038  

340,000

     Tempo Finance Corp., 6.75%, 6/1/25, Callable 10/19/20 @ 103.38(a)      346,800  
       

 

 

 

          1,251,163  
       

 

 

 

Construction & Engineering (0.3%):

 

200,000

     AECOM, 5.88%, 10/15/24, Callable 7/15/24 @ 100      216,000  

405,000

     AECOM, 5.13%, 3/15/27, Callable 12/15/26 @ 100      435,374  

350,000

     Brand Industrial Services, Inc., 8.50%, 7/15/25, Callable 11/9/20 @ 106.34(a)      329,438  

215,000

     Pike Corp., 5.50%, 9/1/28, Callable 9/1/23 @ 102.75(a)      215,269  
       

 

 

 

          1,196,081  
       

 

 

 

Consumer Finance (3.1%):

 

578,000

     Ally Financial, Inc., 3.05%, 6/5/23, Callable 5/5/23 @ 100      599,675  

130,000

     Ally Financial, Inc., 1.45%, 10/2/23, Callable 9/2/23 @ 100      129,838  

148,000

     Ally Financial, Inc., 5.13%, 9/30/24      165,020  

330,000

     Ally Financial, Inc., 5.80%, 5/1/25, Callable 4/1/25 @ 100      379,500  

470,000

     Ally Financial, Inc., 5.75%, 11/20/25, Callable 10/21/25 @ 100      526,400  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Total Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal    

Amount

                 Fair Value    

Corporate Bonds, continued

 

Consumer Finance, continued

 

$462,000

     Capital One Financial Corp., 2.60%, 5/11/23, Callable 4/11/23 @ 100    $ 483,398     

833,000

     Capital One Financial Corp., 3.65%, 5/11/27, Callable 4/11/27 @ 100      919,435  

534,000

     Capital One Financial Corp., 3.80%, 1/31/28, Callable 12/31/27 @ 100      593,799  

644,000

     Discover Bank, 3.20%, 8/9/21, Callable 7/9/21 @ 100      657,691  

250,000

     Discover Bank, Series B, 4.68%(USSW5+173bps), 8/9/28, Callable 8/9/23 @ 100      262,778  

1,000,000

     Discover Financial Services, 5.20%, 4/27/22      1,067,479  

383,000

     Discover Financial Services, 4.50%, 1/30/26, Callable 11/30/25 @ 100      437,491  

457,000

     Discover Financial Services, 4.10%, 2/9/27, Callable 11/9/26 @ 100      507,280  

240,000

     Ford Motor Credit Co. LLC, 5.09%, 1/7/21      240,892  

496,000

     Ford Motor Credit Co. LLC, 5.60%, 1/7/22      506,544  

75,000

     Ford Motor Credit Co. LLC, 3.22%, 1/9/22      75,002  

55,000

     Ford Motor Credit Co. LLC, 3.34%, 3/28/22, Callable 2/28/22 @ 100      54,707  

80,000

     Ford Motor Credit Co. LLC, 3.09%, 1/9/23      78,403  

504,000

     Ford Motor Credit Co. LLC, 5.58%, 3/18/24, Callable 2/18/24 @ 100      524,586  

1,490,000

     Ford Motor Credit Co. LLC, 4.06%, 11/1/24, Callable 10/1/24 @ 100      1,488,117  

110,000

     Ford Motor Credit Co. LLC, 4.69%, 6/9/25, Callable 4/9/25 @ 100      111,368  

80,000

     Ford Motor Credit Co. LLC, 5.13%, 6/16/25, Callable 5/16/25 @ 100      82,158  

130,000

     Ford Motor Credit Co. LLC, 5.11%, 5/3/29, Callable 2/3/29 @ 100      132,228  

105,000

     General Motors Acceptance Corp., 8.00%, 11/1/31      143,588  

747,000

     General Motors Financial Co., Inc., 4.20%, 3/1/21, Callable 2/1/21 @ 100      754,025  

210,000

     Navient Corp., 6.63%, 7/26/21      212,100  

30,000

     Navient Corp., 7.25%, 1/25/22, MTN      30,750  

275,000

     Navient Corp., 7.25%, 9/25/23      284,625  

415,000

     Synchrony Bank, Series B, 3.65%, 5/24/21, Callable 4/24/21 @ 100      421,234  

510,000

     Synchrony Financial, 3.75%, 8/15/21, Callable 6/15/21 @ 100      520,203  

119,000

     Synchrony Financial, 2.85%, 7/25/22, Callable 6/25/22 @ 100      122,471  

381,000

     Synchrony Financial, 4.38%, 3/19/24, Callable 2/19/24 @ 100      412,855  

314,000

     Synchrony Financial, 4.25%, 8/15/24, Callable 5/15/24 @ 100      340,247  

663,000

     Synchrony Financial, 3.95%, 12/1/27, Callable 9/1/27 @ 100      712,021  

644,000

     Synchrony Financial, 5.15%, 3/19/29, Callable 12/19/28 @ 100      748,703  
       

 

 

 

          14,726,611  
       

 

 

 

Containers & Packaging (0.2%):

 

150,000

     Berry Global Escrow Corp., 4.88%, 7/15/26, Callable 7/15/22 @ 102.44(a)      158,513  

Principal    

Amount

                 Fair Value    

Corporate Bonds, continued

 

Containers & Packaging, continued

 

$80,000

     Crown Cork & Seal Co., Inc., 7.38%, 12/15/26    $ 94,900  

300,000

     Reynolds Group Issuer, Inc., 5.13%, 7/15/23, Callable 11/9/20 @ 101.28(a)      302,250     

170,000

     Silgan Holdings, Inc., 4.75%, 3/15/25, Callable 11/9/20 @ 102.38      172,550  
       

 

 

 

          728,213  
       

 

 

 

Diversified Consumer Services (0.4%):

 

141,000

     APX Group, Inc., 6.75%, 2/15/27, Callable 2/15/23 @ 103.38(a)      145,583  

200,000

     Ascend Learning LLC, 6.88%, 8/1/25, Callable 11/9/20 @ 103.44(a)      205,000  

40,000

     Ascend Learning LLC, 6.88%, 8/1/25, Callable 11/9/20 @ 103.44(a)      41,000  

120,000

     Frontdoor, Inc., 6.75%, 8/15/26, Callable 8/15/21 @ 105.06(a)      128,100  

690,000

     Laureate Education, Inc., 8.25%, 5/1/25, Callable 11/9/20 @ 106.19(a)      732,262  

100,000

     Service Corp International, 5.13%, 6/1/29, Callable 6/1/24 @ 102.56      110,000  

210,000

     Sotheby’s, 7.38%, 10/15/27, Callable 10/15/22 @ 103.69^(a)      210,000  
       

 

 

 

          1,571,945  
       

 

 

 

Diversified Financial Services (0.4%):

 

91,000

     AXA Equitable Holdings, Inc., 3.90%, 4/20/23, Callable 3/20/23 @ 100      97,938  

155,000

     Banff Merger Sub, Inc., 9.75%, 9/1/26, Callable 9/1/21 @ 104.88(a)      163,913  

165,000

     Camelot Finance SA, 4.50%, 11/1/26, Callable 11/1/22 @ 102.25(a)      168,094  

280,000

     Flex Acquisition Co., Inc., 6.88%, 1/15/25, Callable 11/9/20 @ 103.44(a)      279,300  

125,000

     Flex Acquisition Co., Inc., 7.88%, 7/15/26, Callable 7/15/21 @ 103.94(a)      126,875  

160,000

     Level 3 Financing, Inc., 4.25%, 7/1/28, Callable 7/1/23 @ 102.13(a)      162,600  

20,000

     Level 3 Financing, Inc., 3.63%, 1/15/29, Callable 1/15/24 @ 101.81(a)      19,750  

500,000

     Peachtree Funding Trust, 3.98%,
2/15/25(a)
     550,685  

285,000

     Voya Financial, Inc., 3.13%, 7/15/24, Callable 5/15/24 @ 100      307,230  
       

 

 

 

          1,876,385  
       

 

 

 

Diversified Telecommunication Services (0.6%):

 

42,000

     AT&T, Inc., 4.45%, 4/1/24, Callable 1/1/24 @ 100      46,841  

93,000

     AT&T, Inc., 4.10%, 2/15/28, Callable 11/15/27 @ 100      107,370  

215,000

     AT&T, Inc., 4.30%, 2/15/30, Callable 11/15/29 @ 100      254,625  

500,000

     AT&T, Inc., 5.15%, 11/15/46, Callable 5/15/46 @ 100      621,212  

300,000

     AT&T, Inc., 4.50%, 3/9/48, Callable 9/9/47 @ 100      338,598  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Total Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal    

Amount

                 Fair Value    

Corporate Bonds, continued

 

Diversified Telecommunication Services, continued

 

$125,000

     CenturyLink, Inc., 5.63%, 4/1/25, Callable 1/1/25 @ 100    $ 133,281     

360,000

     CenturyLink, Inc., 5.13%, 12/15/26, Callable 12/15/22 @ 102.56(a)      369,000  

10,000

     CenturyLink, Inc., Series G, 6.88%, 1/15/28      11,200  

85,000

     Front Range BidCo, Inc., 4.00%, 3/1/27, Callable 3/1/21 @ 102(a)      83,619  

185,000

     Front Range BidCo, Inc., 6.13%, 3/1/28, Callable 3/1/23 @ 103.06(a)      191,013  

760,000

     Frontier Communications Corp., 8.00%, 4/1/27, Callable 4/1/22 @ 106(a)      759,999  
       

 

 

 

          2,916,758  
       

 

 

 

Electric Utilities (1.5%):

 

501,000

     Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27, Callable 10/15/22 @ 103.38(a)      524,798  

255,000

     Cleco Corporate Holdings LLC, 3.38%, 9/15/29, Callable 6/15/29 @ 100      259,494  

78,000

     Duquesne Light Holdings, Inc., 2.53%, 10/1/30, Callable 7/1/30 @ 100(a)      78,165  

1,217,000

     Edison International, 5.75%, 6/15/27, Callable 4/15/27 @ 100      1,339,035  

163,000

     Emera US Finance LP, 2.70%, 6/15/21, Callable 5/15/21 @ 100      165,243  

110,000

     Exelon Corp., 4.05%, 4/15/30, Callable 1/15/30 @ 100      128,579  

49,000

     Exelon Corp., 4.70%, 4/15/50, Callable 10/15/49 @ 100      62,404  

2,306,000

     FirstEnergy, Inc., Series B, 4.25%, 3/15/23, Callable 12/15/22 @ 100      2,449,091  

211,000

     IPALCO Enterprises, Inc., 3.70%, 9/1/24, Callable 7/1/24 @ 100      229,463  

175,000

     NextEra Energy Operating Partners LP, 4.25%, 9/15/24, Callable 7/15/24
@ 100(a)
     182,438  

209,674

     NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25(a)      221,206  

200,000

     PG&E Corp., 5.25%, 7/1/30, Callable 7/1/25 @ 102.63      193,250  

600,000

     Vistra Operations Co. LLC, 5.50%, 9/1/26, Callable 9/1/21 @ 102.75(a)      625,500  

120,000

     Vistra Operations Co. LLC, 5.63%, 2/15/27, Callable 2/15/22 @ 102.81(a)      126,150  

405,000

     Vistra Operations Co. LLC, 5.00%, 7/31/27, Callable 7/31/22 @ 102.5(a)      424,238  
       

 

 

 

          7,009,054  
       

 

 

 

Electronic Equipment, Instruments & Components (0.1%):

 

490,000

     TTM Technologies, Inc., 5.63%, 10/1/25, Callable 11/9/20 @ 102.81(a)      501,025  
       

 

 

 

Energy Equipment & Services (0.0%):

 

154,000

     Weatherford International, Ltd., 11.00%, 12/1/24, Callable 12/1/21 @ 105.5(a)      92,400  
       

 

 

 

Principal    

Amount

                 Fair Value    

Corporate Bonds, continued

 

Entertainment (0.1%):

 

$310,000

     Netflix, Inc., 4.88%, 4/15/28    $ 347,975  

100,000

     Netflix, Inc., 5.88%, 11/15/28      118,500  

30,000

     Netflix, Inc., 6.38%, 5/15/29      37,013     

30,000

     Netflix, Inc., 5.38%, 11/15/29(a)      35,100  
       

 

 

 

          538,588  
       

 

 

 

Equity Real Estate Investment Trusts (4.1%):

 

267,000

     Alexandria Real Estate Equities, Inc., 4.90%, 12/15/30, Callable 9/15/30 @ 100      336,853  

242,000

     Boston Properties LP, 3.25%, 1/30/31, Callable 10/30/30 @ 100      260,158  

454,000

     Brandywine Operating Partners LP, 4.10%, 10/1/24, Callable 7/1/24 @ 100      476,675  

421,000

     Brandywine Operating Partners LP, 3.95%, 11/15/27, Callable 8/15/27 @ 100      436,669  

522,000

     Brandywine Operating Partners LP, 4.55%, 10/1/29, Callable 7/1/29 @ 100      554,336  

489,000

     Brandywine Realty Trust, 3.95%, 2/15/23, Callable 11/15/22 @ 100      505,485  

514,000

     Brixmor Operating Partnership LP, 3.88%, 8/15/22, Callable 6/15/22 @ 100      532,020  

788,000

     Brixmor Operating Partnership LP, 3.25%, 9/15/23, Callable 7/15/23 @ 100      815,608  

393,000

     Brixmor Operating Partnership LP, 4.13%, 5/15/29, Callable 2/15/29 @ 100      425,659  

303,000

     Brixmor Operating Partnership LP, 4.05%, 7/1/30, Callable 4/1/30 @ 100      324,318  

414,000

     Corporate Office Properties Trust, 5.00%, 7/1/25, Callable 4/1/25 @ 100      467,187  

98,000

     Corporate Office Properties, LP, 2.25%, 3/15/26, Callable 2/15/26 @ 100      99,113  

205,000

     Corrections Corp. of America, 5.00%, 10/15/22, Callable 7/15/22 @ 100      201,156  

35,000

     Corrections Corp. of America, 4.63%, 5/1/23, Callable 2/1/23 @ 100      33,294  

273,000

     Duke Realty LP, 3.63%, 4/15/23, Callable 1/15/23 @ 100      289,759  

146,000

     Duke Realty LP, 3.75%, 12/1/24, Callable 9/1/24 @ 100      161,333  

55,000

     Geo Group, Inc. (The), 5.88%, 10/15/24, Callable 11/9/20 @ 101.96      42,075  

52,000

     HCP, Inc., 3.50%, 7/15/29, Callable 4/15/29 @ 100      57,295  

102,000

     Healthcare Trust of America Holdings LP, 3.50%, 8/1/26, Callable 5/1/26 @ 100      114,319  

98,000

     Healthcare Trust of America Holdings LP, 3.10%, 2/15/30, Callable 11/15/29 @ 100      105,383  

615,000

     Hudson Pacific Properties LP, 4.65%, 4/1/29, Callable 1/1/29 @ 100      699,935  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Total Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal    

Amount

                 Fair Value    

Corporate Bonds, continued

 

Equity Real Estate Investment Trusts, continued

 

$135,000

     Lexington Realty Trust, 4.40%, 6/15/24, Callable 3/15/24 @ 100    $ 147,318     

48,000

     Lexington Realty Trust, 2.70%, 9/15/30, Callable 6/15/30 @ 100      48,917  

500,000

     Mack-Cali Realty LP, 4.50%, 4/18/22, Callable 1/18/22 @ 100      475,678  

401,000

     Mack-Cali Realty LP, 3.15%, 5/15/23, Callable 2/15/23 @ 100      364,910  

40,000

     MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.63%, 6/15/25, Callable 3/15/25 @ 100(a)      40,800  

395,000

     MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.50%, 9/1/26, Callable 6/1/26 @ 100      400,925  

75,000

     MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 5.75%, 2/1/27, Callable 11/1/26 @ 100      80,625  

300,000

     MPT Operating Partnership LP/MPT Finance Corp., 5.25%, 8/1/26, Callable 8/1/21 @ 102.63      307,500  

820,000

     Omega Healthcare Investors, Inc., 4.38%, 8/1/23, Callable 6/1/23 @ 100      879,289  

126,000

     Omega Healthcare Investors, Inc., 4.95%, 4/1/24, Callable 1/1/24 @ 100      134,175  

281,000

     Omega Healthcare Investors, Inc., 4.50%, 1/15/25, Callable 10/15/24 @ 100      298,498  

1,931,000

     Omega Healthcare Investors, Inc., 4.50%, 4/1/27, Callable 1/1/27 @ 100      2,070,224  

435,000

     Omega Healthcare Investors, Inc., 3.63%, 10/1/29, Callable 7/1/29 @ 100      440,709  

70,000

     Post Apartment Homes LP, 3.38%, 12/1/22, Callable 9/1/22 @ 100      73,242  

62,000

     Realty Income Corp., 3.25%, 1/15/31, Callable 10/15/30 @ 100      68,504  

68,000

     Retail Opportunity Investments Corp., 5.00%, 12/15/23, Callable 9/15/23 @ 100      70,631  

104,000

     Retail Opportunity Investments Corp., 4.00%, 12/15/24, Callable 9/15/24 @ 100      103,584  

22,000

     Retail Properties of America, Inc., 4.75%, 9/15/30, Callable 6/15/30 @ 100      22,038  

458,000

     SBA Tower Trust, 2.84%, 1/15/25(a)      481,732  

146,000

     SBA Tower Trust, 1.88%, 1/15/26(a)      148,742  

111,000

     SBA Tower Trust, 2.33%, 1/15/52(a)      113,243  

101,000

     Simon Property Group LP, 2.45%, 9/13/29, Callable 6/13/29 @ 100      99,882  

147,000

     STORE Capital Corp., 4.63%, 3/15/29, Callable 12/15/28 @ 100      158,863  

161,000

     Tanger Properties LP, 3.88%, 12/1/23, Callable 9/1/23 @ 100      161,001  

452,000

     Tanger Properties LP, 3.75%, 12/1/24, Callable 9/1/24 @ 100      448,694  

387,000

     Tanger Properties LP, 3.13%, 9/1/26, Callable 6/1/26 @ 100^      370,908  

Principal    

Amount

                 Fair Value    

Corporate Bonds, continued

 

Equity Real Estate Investment Trusts, continued

 

$215,000

     The Geo Group, Inc., 6.00%, 4/15/26, Callable 4/15/21 @ 103    $ 153,725     

65,000

     Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.13%, 12/15/24, Callable 11/9/20 @ 105.34(a)      62,725  

425,000

     Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.88%, 2/15/25, Callable 2/15/22 @ 103.94(a)      449,438  

118,000

     Ventas Realty LP, 3.13%, 6/15/23, Callable 3/15/23 @ 100      123,460  

199,000

     Ventas Realty LP, 4.00%, 3/1/28, Callable 12/1/27 @ 100      216,055  

569,000

     Ventas Realty LP, 3.00%, 1/15/30, Callable 10/15/29 @ 100      578,967  

631,000

     Ventas Realty LP, 4.75%, 11/15/30, Callable 8/15/30 @ 100      737,482  

97,000

     VEREIT Operating Partnership LP, 3.40%, 1/15/28, Callable 11/15/27 @ 100      101,279  

90,000

     Vici Properties, 3.50%, 2/15/25, Callable 2/15/22 @ 101.75(a)      89,438  

130,000

     Vici Properties, 4.25%, 12/1/26, Callable 12/1/22 @ 102.13(a)      130,650  

135,000

     Vici Properties, 4.63%, 12/1/29, Callable 12/1/24 @ 102.31(a)      137,363  

67,000

     Weingarten Realty Investors, 3.38%, 10/15/22, Callable 7/15/22 @ 100      68,432  

814,000

     WP Carey, Inc., 4.00%, 2/1/25, Callable 11/1/24 @ 100      890,372  

101,000

     WP Carey, Inc., 3.85%, 7/15/29, Callable 4/15/29 @ 100      108,516  
       

 

 

 

          18,797,164  
       

 

 

 

Food & Staples Retailing (0.4%):

 

165,000

     Performance Food Group, Inc., 6.88%, 5/1/25, Callable 5/1/22 @ 103.44(a)      175,725  

125,000

     Performance Food Group, Inc., 5.50%, 10/15/27, Callable 10/15/22 @ 102.75(a)      128,750  

176,000

     Sysco Corp., 5.65%, 4/1/25, Callable 3/1/25 @ 100      208,330  

210,000

     Sysco Corp., 5.95%, 4/1/30, Callable 1/1/30 @ 100      265,194  

210,000

     Sysco Corp., 6.60%, 4/1/40, Callable 10/1/39 @ 100      285,528  

210,000

     Sysco Corp., 6.60%, 4/1/50, Callable 10/1/49 @ 100      294,548  

100,000

     US Foods, Inc., 5.88%, 6/15/24, Callable 11/9/20 @ 101.47(a)      100,000  

110,000

     US Foods, Inc., 6.25%, 4/15/25, Callable 4/15/22 @ 103.13(a)      116,463  
       

 

 

 

          1,574,538  
       

 

 

 

Food Products (0.6%):

 

955,000

     JBS USA Finance, Inc., 5.75%, 6/15/25, Callable 11/9/20 @ 102.88(a)      978,874  

83,000

     JBS USA Finance, Inc., 6.75%, 2/15/28, Callable 2/15/23 @ 103.38(a)      90,263  

490,000

     JBS USA Finance, Inc., 6.50%, 4/15/29, Callable 4/15/24 @ 103.25(a)      543,899  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Total Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal    

Amount

                 Fair Value    

Corporate Bonds, continued

 

Food Products, continued

 

$225,000

     JBS USA Finance, Inc., 5.50%, 1/15/30, Callable 1/15/25 @ 102.75(a)    $ 244,688     

140,000

     Kraft Heinz Foods Co., 5.00%, 7/15/35, Callable 1/15/35 @ 100      161,352  

170,000

     Post Holding, Inc., 5.00%, 8/15/26, Callable 8/15/21 @ 102.5(a)      173,825  

70,000

     Post Holding, Inc., 4.63%, 4/15/30, Callable 4/15/25 @ 102.31(a)      72,013  

220,000

     Post Holdings, Inc., 5.75%, 3/1/27, Callable 3/1/22 @ 102.88(a)      231,275  

55,000

     Post Holdings, Inc., 5.63%, 1/15/28, Callable 12/1/22 @ 102.81(a)      58,300  

95,000

     TreeHouse Foods, Inc., 4.00%, 9/1/28, Callable 9/1/23 @ 102      96,069  
       

 

 

 

          2,650,558  
       

 

 

 

Health Care Equipment & Supplies (0.1%):

 

140,000

     Hologic, Inc., 3.25%, 2/15/29, Callable 9/28/23 @ 101.63(a)      141,050  

190,000

     Teleflex, Inc., 4.88%, 6/1/26, Callable 6/1/21 @ 102.44      196,175  

35,000

     Teleflex, Inc., 4.25%, 6/1/28, Callable 6/1/23 @ 102.13(a)      36,313  
       

 

 

 

          373,538  
       

 

 

 

Health Care Providers & Services (2.0%):

 

385,000

     Centene Corp., 4.75%, 1/15/25, Callable 11/9/20 @ 103.56      395,106  

50,000

     Centene Corp., 5.25%, 4/1/25, Callable 10/9/20 @ 103.94(a)      52,000  

140,000

     Centene Corp., 5.38%, 6/1/26, Callable 6/1/21 @ 104.03(a)      147,700  

550,000

     Centene Corp., 4.25%, 12/15/27, Callable 12/15/22 @ 102.13      573,375  

985,000

     Centene Corp., 4.63%, 12/15/29, Callable 12/15/24 @ 102.31      1,061,337  

360,000

     Centene Corp., 3.38%, 2/15/30, Callable 2/15/25 @ 101.69      373,500  

526,000

     Cigna Corp., 4.38%, 10/15/28, Callable 7/15/28 @ 100      623,476  

260,000

     Community Health Systems, Inc., 6.25%, 3/31/23, Callable 11/9/20 @ 103.13      254,150  

475,000

     Community Health Systems, Inc., 8.00%, 3/15/26, Callable 3/15/22 @ 104(a)      466,688  

259,000

     CVS Health Corp., 4.10%, 3/25/25, Callable 1/25/25 @ 100      292,597  

114,000

     CVS Health Corp., 3.63%, 4/1/27, Callable 2/1/27 @ 100      127,776  

1,055,000

     CVS Health Corp., 4.30%, 3/25/28, Callable 12/25/27 @ 100      1,228,875  

526,000

     CVS Health Corp., 4.78%, 3/25/38, Callable 9/25/37 @ 100      635,881  

210,000

     DaVita, Inc., 4.63%, 6/1/30, Callable 6/1/25 @ 102.31(a)      214,988  

30,000

     HCA, Inc., 4.75%, 5/1/23      32,663  

295,000

     HCA, Inc., 5.38%, 2/1/25      323,025  

280,000

     MPH Acquisition Holdings, 7.13%, 6/1/24, Callable 11/9/20 @ 103.56(a)      287,700  

75,000

     Radiology Partners, Inc., 9.25%, 2/1/28, Callable 2/1/23 @ 104.63^(a)      78,000  

300,000

     Tenet Healthcare Corp., 7.50%, 4/1/25, Callable 4/1/22 @ 103.75(a)      324,000  

Principal    

Amount

                 Fair Value    

Corporate Bonds, continued

 

Health Care Providers & Services, continued

 

$360,000

     Tenet Healthcare Corp., 7.00%, 8/1/25, Callable 11/9/20 @ 103.5^    $ 367,200     

90,000

     Tenet Healthcare Corp., 4.88%, 1/1/26, Callable 3/1/22 @ 102.44(a)      91,350  

215,000

     Tenet Healthcare Corp., 6.25%, 2/1/27, Callable 2/1/22 @ 103.13(a)      221,450  

45,000

     Tenet Healthcare Corp., 4.63%, 6/15/28, Callable 6/15/23 @ 102.31(a)      45,450  

195,000

     Tenet Healthcare Corp., 6.13%, 10/1/28, Callable 10/1/23 @ 103.06(a)      189,638  

181,000

     Toledo Hospital (The), Series B, 5.33%, 11/15/28      203,858  

407,000

     Toledo Hospital (The), 6.02%, 11/15/48      467,544  

96,000

     UnitedHealth Group, Inc., 2.75%, 5/15/40, Callable 11/15/39 @ 100      100,398  

20,000

     Vizient, Inc., 6.25%, 5/15/27, Callable 5/15/22 @ 103.13(a)      21,000  
       

 

 

 

          9,200,725  
       

 

 

 

Hotels, Restaurants & Leisure (0.7%):

 

125,000

     Boyd Gaming Corp., 6.38%, 4/1/26, Callable 4/1/21 @ 103.19      130,156  

55,000

     Boyd Gaming Corp., 6.00%, 8/15/26, Callable 8/15/21 @ 103      56,925  

175,000

     Boyd Gaming Corp., 4.75%, 12/1/27, Callable 12/1/22 @ 102.38      170,844  

400,000

     Caesars Resort Collection LLC, 5.25%, 10/15/25, Callable 10/19/20 @ 102.63(a)      387,999  

15,000

     Golden Entertainment, Inc., 3.75%, 10/20/24, Callable 11/7/20 @ 100      14,344  

300,000

     Golden Entertainment, Inc., 7.63%, 4/15/26, Callable 4/15/22 @ 103.81(a)      296,249  

320,000

     Golden Nugget, Inc., 6.75%, 10/15/24, Callable 11/9/20 @ 101.69(a)      265,600  

150,000

     Hilton Domestic Operating Co., Inc., 5.13%, 5/1/26, Callable 5/1/21 @ 102.56      154,313  

126,000

     McDonald’s Corp., 3.60%, 7/1/30, Callable 4/1/30 @ 100      146,825  

65,000

     McDonald’s Corp., 4.20%, 4/1/50, Callable 10/1/49 @ 100      79,153  

250,000

     MGM Resorts International, 5.75%, 6/15/25, Callable 3/15/25 @ 100      262,188  

180,000

     Scientific Games International, Inc., 5.00%, 10/15/25, Callable 11/9/20 @ 103.75(a)      180,675  

175,000

     Station Casinos LLC, 5.00%, 10/1/25, Callable 11/9/20 @ 102.5(a)      172,156  

170,000

     Wyndham Hotels & Resorts, Inc., 5.38%, 4/15/26, Callable 4/15/21 @ 102.69(a)      172,763  

165,000

     Wynn Las Vegas LLC, 5.50%, 3/1/25, Callable 12/1/24 @ 100(a)      155,925  

150,000

     Wynn Las Vegas LLC, 5.25%, 5/15/27, Callable 2/15/27 @ 100(a)      139,500  

205,000

     Yum! Brands, Inc., 7.75%, 4/1/25, Callable 4/1/22 @ 103.88(a)      225,500  
       

 

 

 

          3,011,115  
       

 

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Total Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal    

Amount

                 Fair Value    

Corporate Bonds, continued

 

Household Durables (0.0%):

 

$195,000

     Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 10.75%, 6/1/28, Callable 6/1/23 @ 105.38(a)    $ 213,525     
       

 

 

 

Independent Power and Renewable Electricity Producers (0.4%):   

528,000

     AES Corp. (The), 3.30%, 7/15/25, Callable 6/15/25 @ 100(a)      562,668  

461,000

     AES Corp. (The), 3.95%, 7/15/30, Callable 4/15/30 @ 100(a)      509,923  

115,000

     Clearway Energy Operating LLC, 5.75%, 10/15/25, Callable 10/15/21 @ 102.88      120,750  

45,000

     Clearway Energy Operating LLC, 4.75%, 3/15/28, Callable 3/15/23 @ 103.56(a)      46,575  

140,000

     NRG Energy, Inc., 5.75%, 1/15/28, Callable 1/15/23 @ 102.88      151,025  

150,000

     NRG Energy, Inc., 5.25%, 6/15/29, Callable 6/15/24 @ 102.63(a)      162,938  

50,000

     Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 8/15/28, Callable 8/15/23 @ 103.38(a)      51,875  

60,000

     Talen Energy Supply LLC, 10.50%, 1/15/26, Callable 1/15/22 @ 105.25(a)      44,700  

35,000

     TerraForm Power Operating LLC, 4.25%, 1/31/23, Callable 10/31/22 @ 100(a)      35,613  

40,000

     TerraForm Power Operating LLC, 5.00%, 1/31/28, Callable 7/31/27 @
100(a)
     43,600  
       

 

 

 

          1,729,667  
       

 

 

 

Industrial Conglomerates (0.2%):

 

130,000

     Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.75%, 9/15/24, Callable 6/15/24 @ 100      131,300  

305,000

     Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.25%, 5/15/26, Callable 5/15/22 @ 103.13      317,962  

245,000

     Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.25%, 5/15/27, Callable 11/15/26 @ 100      254,494  
       

 

 

 

          703,756  
       

 

 

 

Insurance (2.5%):

 

900,000

     American International Group, Inc., 2.50%, 6/30/25, Callable 5/30/25 @ 100      961,162  

1,208,000

     American International Group, Inc., 3.75%, 7/10/25, Callable 4/10/25 @ 100      1,347,528  

900,000

     American International Group, Inc., 3.40%, 6/30/30, Callable 3/30/30 @ 100      996,197  

385,000

     AmWINS Group, Inc., 7.75%, 7/1/26, Callable 7/1/21 @ 105.81(a)      411,950  

586,000

     Five Corners Funding Trust II, 2.85%, 5/15/30, Callable 2/15/30 @ 100(a)      629,950  

150,000

     HUB International, Ltd., 7.00%, 5/1/26, Callable 5/1/21 @ 103.5(a)      155,438  

40,000

     Liberty Mutual Group, Inc., 4.25%, 6/15/23(a)      43,835  

Principal    

Amount

                 Fair Value    

Corporate Bonds, continued

 

Insurance, continued

 

$140,000

     Liberty Mutual Group, Inc., 4.57%,
2/1/29(a)
   $ 168,541     

2,184,000

     Metropolitan Life Global Funding I, 0.58%(SOFR+50bps), 5/28/21(a)      2,189,492  

651,000

     Pacific Lifecorp, 5.13%, 1/30/43(a)      784,764  

93,000

     Teachers Insurance & Annuity Association of America, 3.30%, 5/15/50, Callable 11/15/49 @ 100(a)      97,289  

427,000

     Unum Group, 4.50%, 3/15/25, Callable 2/15/25 @ 100      473,183  

463,000

     Unum Group, 3.88%, 11/5/25      503,926  

349,000

     Unum Group, 4.00%, 6/15/29, Callable 3/15/29 @ 100      382,256  

1,556,000

     Unum Group, 5.75%, 8/15/42      1,748,749  

375,000

     USI, Inc., 6.88%, 5/1/25, Callable 11/9/20 @ 103.44(a)      381,094  
       

 

 

 

          11,275,354  
       

 

 

 

Interactive Media & Services (0.2%):

 

40,000

     Match Group, Inc., 4.13%, 8/1/30, Callable 5/1/25 @ 102.06(a)      40,400  

680,000

     Rackspace Hosting, Inc., 8.63%, 11/15/24, Callable 11/9/20 @ 106.47^(a)      711,450  
       

 

 

 

          751,850  
       

 

 

 

IT Services (0.2%):

 

175,000

     Black Knight Infoserv LLC, 3.63%, 9/1/28, Callable 9/1/23 @ 101.81(a)      175,000  

195,000

     Booz Allen Hamilton, Inc., 3.88%, 9/1/28, Callable 9/1/23 @ 101.94(a)      200,363  

230,000

     Colt Merger Sub, Inc., 6.25%, 7/1/25, Callable 7/1/22 @ 103.13(a)      239,488  

115,000

     Colt Merger Sub, Inc., 8.13%, 7/1/27, Callable 7/1/23 @ 104.06(a)      121,900  

100,000

     Gartner, Inc., 4.50%, 7/1/28, Callable 7/1/23 @ 102.25(a)      104,750  

65,000

     Gartner, Inc., 3.75%, 10/1/30, Callable 10/1/25 @ 101.88(a)      65,731  

85,000

     Refinitiv US Holdings, Inc., 8.25%, 11/15/26, Callable 11/15/21 @ 104.13(a)      93,181  
       

 

 

 

          1,000,413  
       

 

 

 

Leisure Products (0.1%):

 

311,000

     Hasbro, Inc., 3.00%, 11/19/24, Callable 10/19/24 @ 100      330,204  

120,000

     Mattel, Inc., 6.75%, 12/31/25, Callable 12/31/20 @ 105.06(a)      126,600  

5,000

     Mattel, Inc., 5.88%, 12/15/27, Callable 12/15/22 @ 104.41(a)      5,375  
       

 

 

 

          462,179  
       

 

 

 

Life Sciences Tools & Services (0.1%):

 

195,000

     Avantor Funding, Inc., 4.63%, 7/15/28, Callable 7/15/23 @ 102.31(a)      202,312  

145,000

     Charles River Laboratories International, Inc., 5.50%, 4/1/26, Callable 4/1/21 @ 104.13(a)      152,613  

20,000

     Charles River Laboratories International, Inc., 4.25%, 5/1/28, Callable 5/1/23 @ 102.13(a)      20,975  

50,000

     IMS Health, Inc., 5.00%, 10/15/26, Callable 10/15/21 @ 102.5(a)      52,125  
       

 

 

 

          428,025  
       

 

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Total Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal    

Amount

                 Fair Value      

Corporate Bonds, continued

 

Media (2.4%):

 

$30,000

     Cablevision Lightpath LLC, 3.88%, 9/15/27, Callable 9/15/23 @
101.94^(a)
   $ 30,000     

25,000

     Cablevision Lightpath LLC, 5.63%, 9/15/28, Callable 9/15/23 @ 102.81(a)      25,313  

230,000

     CCO Holdings LLC, 5.75%, 2/15/26, Callable 2/15/21 @ 102.88(a)      238,913  

700,000

     CCO Holdings LLC, 5.88%, 5/1/27, Callable 5/1/21 @ 102.94(a)      731,500  

80,000

     CCO Holdings LLC, 5.13%, 5/1/27, Callable 5/1/22 @ 102.56(a)      84,000  

105,000

     CCO Holdings LLC, 5.00%, 2/1/28, Callable 8/1/22 @ 102.5(a)      110,250  

395,000

     CCO Holdings LLC, 4.75%, 3/1/30, Callable 9/1/24 @ 102.38(a)      416,725  

95,000

     CCO Holdings LLC, 4.50%, 8/15/30, Callable 2/15/25 @ 102.25(a)      99,750  

160,000

     CSC Holdings LLC, 7.50%, 4/1/28, Callable 4/1/23 @ 103.75(a)      176,400  

440,000

     CSC Holdings LLC, 5.75%, 1/15/30, Callable 1/15/25 @ 102.88(a)      467,500  

130,000

     CSC Holdings LLC, 4.13%, 12/1/30, Callable 12/1/25 @ 102.06(a)      131,950  

215,000

     Discovery Communications LLC, 3.63%, 5/15/30, Callable 2/15/30 @ 100      238,165  

580,000

     Discovery Communications LLC, 4.65%, 5/15/50, Callable 11/15/49 @ 100      661,533  

157,000

     DISH Network Corp., 2.38%, 3/15/24      142,478  

410,000

     DISH Network Corp., 3.38%, 8/15/26      374,597  

103,000

     Fox Corp., 4.03%, 1/25/24, Callable 12/25/23 @ 100      113,224  

149,000

     Fox Corp., 4.71%, 1/25/29, Callable 10/25/28 @ 100      178,512  

147,000

     Fox Corp., 5.48%, 1/25/39, Callable 7/25/38 @ 100      196,469  

98,000

     Fox Corp., 5.58%, 1/25/49, Callable 7/25/48 @ 100      134,648  

165,000

     Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 9/15/26, Callable 9/15/23 @ 102.25(a)      165,619  

200,000

     Radiate Holdco LLC/Radiate Finance, Inc., 6.50%, 9/15/28, Callable 9/15/23 @ 102.25(a)      205,000  

105,000

     Sirius XM Radio, Inc., 4.63%, 7/15/24, Callable 7/15/21 @ 102.31(a)      108,413  

135,000

     Sirius XM Radio, Inc., 5.38%, 7/15/26, Callable 7/15/21 @ 102.69(a)      140,400  

105,000

     Sirius XM Radio, Inc., 5.00%, 8/1/27, Callable 8/1/22 @ 102.5(a)      109,594  

45,000

     Sirius XM Radio, Inc., 5.50%, 7/1/29, Callable 7/1/24 @ 102.75(a)      48,319  

40,000

     Sirius XM Radio, Inc., 4.13%, 7/1/30, Callable 7/1/25 @ 102.06(a)      40,750  

135,000

     Terrier Media Buyer, Inc., 8.88%, 12/15/27, Callable 12/15/22 @
104.44(a)
     135,675  

930,000

     Time Warner Cable, Inc., 4.00%, 9/1/21, Callable 6/1/21 @ 100      950,192  

Principal    

Amount

                 Fair Value    

Corporate Bonds, continued

 

Media, continued

 

$359,000

     Time Warner Cable, Inc., 6.55%, 5/1/37    $ 475,531  

418,000

     Time Warner Cable, Inc., 7.30%, 7/1/38      591,214  

2,240,000

     Time Warner Cable, Inc., 6.75%, 6/15/39      3,064,922     

103,000

     Time Warner Cable, Inc., 5.50%, 9/1/41, Callable 3/1/41 @ 100      124,762  
       

 

 

 

          10,712,318  
       

 

 

 

Metals & Mining (0.1%):

 

230,000

     Allegheny Technologies, Inc., 5.88%, 12/1/27, Callable 12/1/22 @ 102.94^      221,375  

40,000

     Freeport-McMoRan, Inc., 3.55%, 3/1/22, Callable 12/1/21 @ 100      40,600  

60,000

     Kaiser Aluminum Corp., 6.50%, 5/1/25, Callable 5/1/22 @ 103.25(a)      61,847  

170,000

     Kaiser Aluminun Corp., 4.63%, 3/1/28, Callable 3/1/23 @ 102.31(a)      158,313  
       

 

 

 

          482,135  
       

 

 

 

Mortgage Real Estate Investment Trusts (0.0%):

 

65,000

     Starwood Property Trust, Inc., 4.75%, 3/15/25, Callable 9/15/24 @ 100      62,563  
       

 

 

 

Multi-Utilities (0.2%):

 

49,000

     Puget Energy, Inc., 6.00%, 9/1/21      51,350  

207,000

     Puget Energy, Inc., 4.10%, 6/15/30, Callable 3/15/30 @ 100(a)      231,068  

506,000

     Sempra Energy, 6.00%, 10/15/39      698,410  
       

 

 

 

          980,828  
       

 

 

 

Oil, Gas & Consumable Fuels (5.1%):

 

55,000

     Apache Corp., 5.10%, 9/1/40, Callable 3/1/40 @ 100      49,225  

25,000

     Apache Corp., 7.38%, 8/15/47      23,429  

710,000

     Cheniere Energy Partners LP, 5.25%, 10/1/25, Callable 11/9/20 @ 102.63      725,974  

175,000

     Cheniere Energy Partners LP, 5.63%, 10/1/26, Callable 10/1/21 @ 102.81      182,000  

140,000

     Cheniere Energy, Inc., 4.63%, 10/15/28, Callable 10/15/23 @ 102.31(a)      143,675  

361,000

     Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP, 5.13%, 4/1/25, Callable 3/1/25 @ 100(a)      424,687  

320,000

     Citgo Petroleum Corp., 6.25%, 8/15/22, Callable 11/9/20 @ 100(a)      316,000  

197,000

     Columbia Pipeline Group, 4.50%, 6/1/25, Callable 3/1/25 @ 100      227,077  

80,000

     Comstock Resources, Inc., 9.75%, 8/15/26, Callable 8/15/21 @ 107.31      82,000  

40,000

     Comstock Resources, Inc., 9.75%, 8/15/26, Callable 8/15/21 @ 107.31      41,000  

330,000

     Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.25%, 4/1/23, Callable 10/26/20 @ 101.56      320,925  

242,000

     Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 5.75%, 4/1/25, Callable 11/9/20 @ 104.31^      220,825  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Total Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal    

Amount

                 Fair Value    

Corporate Bonds, continued

 

Oil, Gas & Consumable Fuels, continued

 

$368,000

     Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 5.63%, 5/1/27, Callable 5/1/22 @
102.81(a)
   $ 327,520  

230,000

     CVR Energy, Inc., 5.25%, 2/15/25, Callable 2/15/22 @ 102.63(a)      201,250     

25,000

     CVR Energy, Inc., 5.75%, 2/15/28, Callable 2/15/23 @ 102.88(a)      21,125  

163,000

     DCP Midstream Operating LP, 3.88%, 3/15/23, Callable 12/15/22 @ 100      160,148  

200,000

     DCP Midstream Operating LP, 5.38%, 7/15/25, Callable 4/15/25 @ 100      204,500  

160,000

     DCP Midstream Operating LP, 5.63%, 7/15/27, Callable 4/15/27 @ 100      162,800  

215,000

     DCP Midstream Operating LP, 5.13%, 5/15/29, Callable 2/15/29 @ 100      211,775  

750,000

     DCP Midstream Operating LP, 5.85%(US0003M+385bps), 5/21/43, Callable 5/21/23 @ 100(a)      547,500  

185,000

     DCP Midstream Operating LP, 5.60%, 4/1/44, Callable 10/1/43 @ 100      166,500  

455,000

     Denbury Resources, Inc., 9.25%, 3/31/22      248,544  

245,000

     Denbury Resources, Inc., 7.75%, 2/15/24      128,625  

124,000

     Enable Midstream Partners LP, 3.90%, 5/15/24, Callable 2/15/24 @ 100      121,520  

30,000

     Endeavor Energy Resources LP/EER Finance, Inc., 6.63%, 7/15/25, Callable 7/15/22 @ 103.31(a)      30,825  

10,000

     Endeavor Energy Resources LP/EER Finance, Inc., 5.50%, 1/30/26, Callable 1/30/21 @ 104.13(a)      9,925  

110,000

     Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 1/30/28, Callable 1/30/23 @ 102.88(a)      110,275  

81,000

     Energy Transfer Operating LP, 4.25%, 3/15/23, Callable 12/15/22 @ 100      84,240  

103,000

     Energy Transfer Operating LP, 4.50%, 4/15/24, Callable 3/15/24 @ 100      108,794  

350,000

     Energy Transfer Operating LP, 4.95%, 6/15/28, Callable 3/15/28 @ 100      369,688  

167,000

     Energy Transfer Operating LP, 5.25%, 4/15/29, Callable 1/15/29 @ 100      179,316  

161,000

     Energy Transfer Operating LP, 3.75%, 5/15/30, Callable 2/15/30 @ 100      155,969  

115,000

     Energy Transfer Operating LP, 6.25%, 4/15/49, Callable 10/15/48 @ 100      118,594  

Principal    

Amount

                 Fair Value    

Corporate Bonds, continued

 

Oil, Gas & Consumable Fuels, continued

 

$360,000

     Energy Transfer Operating LP, 5.00%, 5/15/50, Callable 11/15/49 @ 100    $ 331,650     

103,000

     Energy Transfer Partners LP, 4.20%, 9/15/23, Callable 8/15/23 @ 100      108,536  

195,000

     Energy Transfer Partners LP, 5.80%, 6/15/38, Callable 12/15/37 @ 100      192,806  

127,000

     Energy Transfer Partners LP, 6.00%, 6/15/48, Callable 12/15/47 @ 100      126,683  

80,000

     EQM Midstream Partners LP, 6.50%, 7/1/27, Callable 1/1/27 @ 100(a)      84,600  

40,000

     Global Partners LP/GLP Finance Corp., 7.00%, 6/15/23, Callable 10/23/20 @ 101.75      40,750  

77,000

     Global Partners LP/GLP Finance Corp., 7.00%, 8/1/27, Callable 8/1/22 @ 103.5      78,348  

140,000

     Global Partners LP/GLP Finance Corp., 6.88%, 1/15/29, Callable 1/15/24 @ 103.44(a)      141,050  

61,000

     Hess Corp., 4.30%, 4/1/27, Callable 1/1/27 @ 100      63,593  

109,000

     Hess Corp., 7.30%, 8/15/31      131,481  

78,000

     Hess Corp., 7.13%, 3/15/33      93,893  

107,000

     Hess Corp., 5.60%, 2/15/41      115,426  

302,000

     Hess Corp., 5.80%, 4/1/47, Callable 10/1/46 @ 100      332,200  

285,000

     Hess Midstream Operations LP, 5.63%, 2/15/26, Callable 2/15/21 @ 104.22(a)      289,275  

170,000

     Hess Midstream Operations LP, 5.13%, 6/15/28, Callable 6/15/23 @ 102.56(a)      169,150  

165,000

     Hilcorp Energy LP, 5.00%, 12/1/24, Callable 11/9/20 @ 101.67(a)      148,913  

250,000

     Holly Energy Partners LP/Holly Energy Finance Corp., 5.00%, 2/1/28, Callable 2/1/23 @ 103.75(a)      245,000  

295,000

     Jonah Energy LLC/Jonah Energy Finance Corp., 7.25%, 10/15/25, Callable 10/19/20 @ 105.44(a)      29,500  

150,000

     Kinder Morgan Energy Partners LP, 3.45%, 2/15/23, Callable 11/15/22 @ 100      157,401  

63,000

     Kinder Morgan Energy Partners LP, 6.55%, 9/15/40      79,291  

712,000

     Kinder Morgan Energy Partners LP, 5.50%, 3/1/44, Callable 9/1/43 @ 100      831,231  

198,000

     Kinder Morgan, Inc., 5.55%, 6/1/45, Callable 12/1/44 @ 100      234,074  

167,000

     Kinder Morgan, Inc., 5.05%, 2/15/46, Callable 8/15/45 @ 100      188,540  

179,000

     MPLX LP, 1.34%(US0003M+110bps), 9/9/22, Callable 11/9/20 @ 100      178,553  

172,000

     MPLX LP, 4.50%, 7/15/23, Callable 4/15/23 @ 100      185,975  

242,000

     MPLX LP, 4.88%, 12/1/24, Callable 9/1/24 @ 100      270,133  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Total Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal    

Amount

                 Fair Value    

Corporate Bonds, continued

 

Oil, Gas & Consumable Fuels, continued

 

$95,000

     MPLX LP, 4.80%, 2/15/29, Callable 11/15/28 @ 100    $ 108,063  

285,000

     MPLX LP, 5.50%, 2/15/49, Callable 8/15/48 @ 100      319,200     

225,000

     New Fortress Energy, Inc., 6.75%, 9/15/25, Callable 9/15/22 @ 103.38(a)      235,125  

106,000

     Occidental Petroleum Corp., 2.70%, 8/15/22      98,978  

409,000

     Occidental Petroleum Corp., 2.90%, 8/15/24, Callable 7/15/24 @ 100      345,605  

809,000

     Occidental Petroleum Corp., 5.55%, 3/15/26, Callable 12/15/25 @ 100      720,009  

80,000

     Occidental Petroleum Corp., 3.40%, 4/15/26, Callable 1/15/26 @ 100      64,000  

47,000

     Occidental Petroleum Corp., 3.20%, 8/15/26, Callable 6/15/26 @ 100      37,248  

222,000

     Occidental Petroleum Corp., 3.50%, 8/15/29, Callable 5/15/29 @ 100      169,275  

85,000

     Occidental Petroleum Corp., 8.88%, 7/15/30, Callable 1/15/30 @ 100      87,125  

1,047,000

     Occidental Petroleum Corp., 7.50%, 5/1/31      997,267  

25,000

     Occidental Petroleum Corp., 7.88%, 9/15/31      24,281  

632,000

     Occidental Petroleum Corp., 6.45%, 9/15/36      538,780  

62,000

     Occidental Petroleum Corp., 4.30%, 8/15/39, Callable 2/15/39 @ 100      43,168  

40,000

     Occidental Petroleum Corp., 6.20%, 3/15/40      32,600  

712,000

     Occidental Petroleum Corp., 6.60%, 3/15/46, Callable 9/15/45 @ 100      612,319  

60,000

     Occidental Petroleum Corp., 4.40%, 4/15/46, Callable 10/15/45 @ 100      42,000  

60,000

     Occidental Petroleum Corp., 4.20%, 3/15/48, Callable 9/15/47 @ 100      40,200  

57,000

     Occidental Petroleum Corp., 4.40%, 8/15/49, Callable 2/15/49 @ 100      39,900  

165,000

     PBF Holding Co. LLC/PBF Finance Corp., 9.25%, 5/15/25, Callable 5/15/22 @ 104.63(a)      169,125  

30,000

     PBF Holding Co. LLC/PBF Finance Corp., 7.25%, 6/15/25, Callable 11/9/20 @ 105.44      22,650  

30,000

     Phillips 66, 3.70%, 4/6/23      32,103  

39,000

     Phillips 66, 3.85%, 4/9/25, Callable 3/9/25 @ 100      43,227  

110,000

     Plains All Amer Pipeline, 3.60%, 11/1/24, Callable 8/1/24 @ 100      113,291  

95,000

     Plains All Amer Pipeline, 3.55%, 12/15/29, Callable 9/15/29 @ 100      91,537  

220,000

     Rattler Midstream, LP, 5.63%, 7/15/25, Callable 7/15/22 @ 102.81(a)      221,650  

162,000

     Regency Energy Partners LP/Regency Energy Finance Corp., 5.88%, 3/1/22, Callable 12/1/21 @ 100      169,452  

493,000

     Sabine Pass Liquefaction LLC, 4.50%, 5/15/30, Callable 11/15/29 @ 100(a)      555,117  

408,000

     Sanchez Energy Corp., 7.25%, 2/15/23, Callable 10/19/20 @ 103.63(c)      2,040  

Principal    

Amount

                 Fair Value    

Corporate Bonds, continued

 

Oil, Gas & Consumable Fuels, continued

 

$346,000

     Southeast Supply Header LLC, 4.25%, 6/15/24, Callable 3/15/24 @ 100(a)    $ 345,222     

958,000

     Sunoco Logistics Partners Operations LP, 5.40%, 10/1/47, Callable 4/1/47 @ 100      902,914  

55,000

     Sunoco LP/Sunoco Finance Corp., 4.88%, 1/15/23, Callable 11/9/20 @ 102.44      55,275  

215,000

     Sunoco LP/Sunoco Finance Corp., 5.50%, 2/15/26, Callable 2/15/21 @ 102.75      215,269  

5,000

     Sunoco LP/Sunoco Finance Corp., 6.00%, 4/15/27, Callable 4/15/22 @ 103      5,175  

95,000

     Sunoco LP/Sunoco Finance Corp., 5.88%, 3/15/28, Callable 3/15/23 @ 102.94      97,138  

195,000

     Targa Resources Partners LP, 5.13%, 2/1/25, Callable 11/9/20 @ 103.84      195,000  

195,000

     Targa Resources Partners LP, 5.88%, 4/15/26, Callable 4/15/21 @ 104.41      200,119  

195,000

     Targa Resources Partners LP, 5.38%, 2/1/27, Callable 2/1/22 @ 102.69      195,975  

60,000

     Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.88%, 2/1/31, Callable 2/1/26 @
102.44(a)
     57,900  

63,000

     Transcontinental Gas Pipe Line Co. LLC, 3.25%, 5/15/30, Callable 2/15/30 @
100(a)
     67,870  

203,000

     Transcontinental Gas Pipe Line Co. LLC, 3.95%, 5/15/50, Callable 11/15/49 @
100(a)
     212,757  

104,000

     Valero Energy Corp., 2.70%, 4/15/23      107,775  

200,000

     Viper Energy Partners LP, 5.38%, 11/1/27, Callable 11/1/22 @ 102.69(a)      197,750  

92,000

     Western Gas Partners LP, 3.95%, 6/1/25, Callable 3/1/25 @ 100      86,020  

232,000

     Western Gas Partners LP, 4.65%, 7/1/26, Callable 4/1/26 @ 100      225,620  

900,000

     Western Gas Partners LP, 4.50%, 3/1/28, Callable 12/1/27 @ 100      852,749  

101,000

     Western Gas Partners LP, 4.75%, 8/15/28, Callable 5/15/28 @ 100      95,950  

30,000

     Western Midstream Operating LP, 4.00%, 7/1/22, Callable 4/1/22 @ 100      30,000  

120,000

     Western Midstream Operating LP, 3.10%, 2/1/25, Callable 1/1/25 @ 100      113,700  

205,000

     Western Midstream Operating LP, 4.05%, 2/1/30, Callable 11/1/29 @ 100      196,800  

60,000

     Western Midstream Operating LP, 5.30%, 3/1/48, Callable 9/1/47 @ 100      48,600  

25,000

     Western Midstream Operating LP, 5.25%, 2/1/50, Callable 8/1/49 @ 100      23,156  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Total Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal    

Amount

                 Fair Value    

Corporate Bonds, continued

 

Oil, Gas & Consumable Fuels, continued

 

$524,000

     Williams Cos., Inc. (The), 3.50%, 11/15/30, Callable 8/15/30 @ 100    $ 570,219  

271,000

     Williams Partners LP, 4.00%, 11/15/21, Callable 8/15/21 @ 100      279,026     

242,000

     Williams Partners LP, 4.50%, 11/15/23, Callable 8/15/23 @ 100      264,728  

426,000

     Williams Partners LP, 4.30%, 3/4/24, Callable 12/4/23 @ 100      464,325  
       

 

 

 

          23,356,669  
       

 

 

 

Pharmaceuticals (0.4%):

 

175,000

     Catalent Pharma Solutions, Inc., 4.88%, 1/15/26, Callable 11/9/20 @ 102.44(a)      177,625  

87,000

     Elanco Animal Health, Inc., 3.91%, 8/27/21      89,286  

275,000

     Elanco Animal Health, Inc., 5.27%, 8/28/23, Callable 7/28/23 @ 100      294,973  

116,000

     Elanco Animal Health, Inc., 5.90%, 8/28/28, Callable 5/28/28 @ 100      133,980  

187,000

     Upjohn, Inc., 1.13%, 6/22/22(a)      188,439  

60,000

     Upjohn, Inc., 1.65%, 6/22/25, Callable 5/22/25 @ 100(a)      61,352  

305,000

     Upjohn, Inc., 2.70%, 6/22/30, Callable 3/22/30 @ 100(a)      315,708  

133,000

     Upjohn, Inc., 3.85%, 6/22/40, Callable 12/22/39 @ 100(a)      143,541  

229,000

     Upjohn, Inc., 4.00%, 6/22/50, Callable 12/22/49 @ 100(a)      243,048  
       

 

 

 

          1,647,952  
       

 

 

 

Professional Services (0.1%):

 

60,000

     Asgn, Inc., 4.63%, 5/15/28, Callable 5/15/23 @ 102.31(a)      60,150  

150,000

     Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22, Callable 11/9/20 @ 100(a)      150,000  

125,000

     Nielsen Finance LLC/Nielsen Finance Co., 5.63%, 10/1/28, Callable 10/1/23 @ 102.81(a)      128,125  

125,000

     Nielsen Finance LLC/Nielsen Finance Co., 5.88%, 10/1/30, Callable 10/1/25 @ 102.94(a)      129,375  
       

 

 

 

          467,650  
       

 

 

 

Real Estate Management & Development (0.1%):

 

300,000

     Howard Hughes Corp. (The), 5.38%, 3/15/25, Callable 11/9/20 @ 104.03(a)      300,750  

275,000

     Vertical US Newco, Inc., 5.25%, 7/15/27, Callable 7/15/23 @ 102.63(a)      285,656  
       

 

 

 

          586,406  
       

 

 

 

Semiconductors & Semiconductor Equipment (0.1%):

 

125,000

     Entegris, Inc., 4.38%, 4/15/28, Callable 4/15/23 @ 102.19(a)      129,375  

75,000

     ON Semiconductor Corp., 3.88%, 9/1/28, Callable 9/1/23 @ 101.94(a)      76,125  
       

 

 

 

          205,500  
       

 

 

 

Software (0.3%):

 

60,000

     Boxer Parent Co., Inc., 7.13%, 10/2/25, Callable 6/1/22 @ 103.56(a)      64,050  

245,000

     CDK Global, Inc., 5.88%, 6/15/26, Callable 6/15/21 @ 102.94      255,413  

Principal    

Amount

                 Fair Value    

Corporate Bonds, continued

 

Software, continued

 

$35,000

     CDK Global, Inc., 5.25%, 5/15/29, Callable 5/15/24 @ 102.63(a)    $ 37,450  

195,000

     Fair Isaac Corp., 5.25%, 5/15/26, Callable 2/15/26 @ 100(a)      215,719     

140,000

     Nuance Communications, Inc., 5.63%, 12/15/26, Callable 12/15/21 @ 102.81      148,050  

437,000

     Sophia LP/Finance, Inc., 9.00%,
9/30/23(a)
     436,999  

130,000

     SS&C Technologies, Inc., 5.50%, 9/30/27, Callable 3/30/22 @ 104.13(a)      137,800  

240,000

     Symantec Corp., 5.00%, 4/15/25, Callable 10/19/20 @ 102.5(a)      244,800  
       

 

 

 

          1,540,281  
       

 

 

 

Specialty Retail (0.3%):

 

47,000

     AutoNation, Inc., 4.75%, 6/1/30, Callable 3/1/30 @ 100      55,463  

72,000

     AutoZone, Inc., 3.63%, 4/15/25, Callable 3/15/25 @ 100      80,367  

333,000

     AutoZone, Inc., 4.00%, 4/15/30, Callable 1/15/30 @ 100      394,759  

240,000

     Lowe’s Cos., Inc., 4.50%, 4/15/30, Callable 1/15/30 @ 100      296,672  

153,000

     Lowe’s Cos., Inc., 5.00%, 4/15/40, Callable 10/15/39 @ 100      200,691  

180,000

     Lowe’s Cos., Inc., 5.13%, 4/15/50, Callable 10/15/49 @ 100      248,358  

74,000

     O’Reilly Automotive, Inc., 4.20%, 4/1/30, Callable 1/1/30 @ 100      88,870  
       

 

 

 

          1,365,180  
       

 

 

 

Technology Hardware, Storage & Peripherals (0.2%):

 

400,000

     Dell International LLC/EMC Corp., 5.45%, 6/15/23, Callable 4/15/23 @ 100(a)      437,787  

81,000

     Dell International LLC/EMC Corp., 5.85%, 7/15/25, Callable 6/15/25 @ 100(a)      94,511  

129,000

     Dell International LLC/EMC Corp., 6.02%, 6/15/26, Callable 3/15/26 @ 100(a)      151,390  

148,000

     Dell International LLC/EMC Corp., 6.10%, 7/15/27, Callable 5/15/27 @ 100(a)      175,204  

128,000

     Dell International LLC/EMC Corp., 6.20%, 7/15/30, Callable 4/15/30 @ 100(a)      153,341  
       

 

 

 

          1,012,233  
       

 

 

 

Textiles, Apparel & Luxury Goods (0.1%):

 

65,000

     USA Compression Partners LP/USA Compression Finance Corp., 6.88%, 9/1/27, Callable 9/1/22 @ 105.16      64,188  

130,000

     William Carter Co., 5.63%, 3/15/27, Callable 3/15/22 @ 102.81(a)      136,175  

160,000

     Wolverine World Wide, Inc., 6.38%, 5/15/25, Callable 5/15/22 @ 103.19(a)      168,800  
       

 

 

 

          369,163  
       

 

 

 

Thrifts & Mortgage Finance (0.0%):

 

160,000

     Quicken Loans, Inc., 5.25%, 1/15/28, Callable 1/15/23 @ 102.63(a)      168,615  
       

 

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Total Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal    

Amount

                 Fair Value    

Corporate Bonds, continued

 

Tobacco (0.9%):

 

$452,000

     Altria Group, Inc., 4.25%, 8/9/42    $ 485,626     

302,000

     Altria Group, Inc., 4.50%, 5/2/43      336,537  

520,000

     Altria Group, Inc., 5.38%, 1/31/44      647,797  

470,000

     Altria Group, Inc., 3.88%, 9/16/46, Callable 3/16/46 @ 100      481,489  

300,000

     Altria Group, Inc., 5.95%, 2/14/49, Callable 8/14/48 @ 100      400,228  

478,000

     Reynolds American, Inc., 4.00%, 6/12/22      504,065  

179,000

     Reynolds American, Inc., 5.70%, 8/15/35, Callable 2/15/35 @ 100      224,923  

600,000

     Reynolds American, Inc., 7.25%, 6/15/37      796,634  
       

 

 

 

          3,877,299  
       

 

 

 

Trading Companies & Distributors (0.4%):

 

297,000

     Air Lease Corp., 3.88%, 4/1/21, Callable 3/1/21 @ 100      299,805  

348,000

     Air Lease Corp., 3.38%, 6/1/21      352,013  

98,000

     Air Lease Corp., 2.25%, 1/15/23      98,240  

82,000

     Air Lease Corp., 3.00%, 9/15/23, Callable 7/15/23 @ 100      83,407  

467,000

     Air Lease Corp., 4.25%, 2/1/24, Callable 1/1/24 @ 100      483,688  

393,000

     Air Lease Corp., 3.38%, 7/1/25, Callable 6/1/25 @ 100      400,745  
       

 

 

 

          1,717,898  
       

 

 

 

Wireless Telecommunication Services (0.6%):

 

400,000

     Sprint Communications, Inc., 6.88%, 11/15/28      499,000  

215,000

     T-Mobile USA, Inc., 6.50%, 1/15/26, Callable 1/15/21 @ 103.25      224,675  

90,000

     T-Mobile USA, Inc., 4.50%, 2/1/26, Callable 2/1/21 @ 102.25      92,700  

650,000

     T-Mobile USA, Inc., 3.75%, 4/15/27, Callable 2/15/27 @ 100(a)      727,933  

65,000

     T-Mobile USA, Inc., 4.75%, 2/1/28, Callable 2/1/23 @ 102.38      69,469  

900,000

     T-Mobile USA, Inc., 3.88%, 4/15/30, Callable 1/15/30 @ 100(a)      1,020,962  

82,000

     T-Mobile USA, Inc., 4.38%, 4/15/40, Callable 10/15/39 @ 100(a)      96,020  

161,000

     T-Mobile USA, Inc., 4.50%, 4/15/50, Callable 10/15/49 @ 100(a)      192,764  
       

 

 

 

          2,923,523  
       

 

 

 

Total Corporate Bonds (Cost $161,643,380)

     172,105,072  
       

 

 

 

Yankee Dollars (13.4%):

 

Aerospace & Defense (0.3%):

 

126,000

     Avolon Holdings Funding, Ltd., 3.63%, 5/1/22, Callable 4/1/22 @ 100(a)      123,859  

305,000

     Avolon Holdings Funding, Ltd., 5.25%, 5/15/24, Callable 4/15/24 @ 100(a)      305,000  

167,000

     Avolon Holdings Funding, Ltd., 3.95%, 7/1/24, Callable 6/1/24 @ 100(a)      158,859  

204,000

     Avolon Holdings Funding, Ltd., 4.38%, 5/1/26, Callable 3/1/26 @ 100(a)      192,015  

280,000

     Bombardier, Inc., 6.00%, 10/15/22, Callable 11/9/20 @ 100(a)      259,000  

320,000

     Bombardier, Inc., 6.13%, 1/15/23(a)      271,999  

15,000

     Bombardier, Inc., 7.50%, 12/1/24, Callable 12/1/20 @ 105.63(a)      11,400  

Principal    

Amount

                 Fair Value    

Yankee Dollars, continued

 

Aerospace & Defense, continued

 

$65,000

     Bombardier, Inc., 7.50%, 3/15/25, Callable 11/9/20 @ 103.75(a)    $ 48,588  
       

 

 

 

          1,370,720     
       

 

 

 

Banks (2.7%):

 

874,000

     Barclays plc, 4.38%, 1/12/26      981,721  

503,000

     Barclays plc, 2.85%(US0003M+245bps), 5/7/26, Callable 5/7/25 @ 100      523,806  

580,000

     Barclays plc, 5.09%(US0003M+305bps), 6/20/30, Callable 6/20/29 @ 100      652,066  

200,000

     Commonwealth Bank of Australia, 3.61%, 9/12/34, Callable 9/12/29 @ 100(a)      215,750  

791,000

     Cooperatieve Rabobank UA, 4.38%, 8/4/25      890,843  

205,000

     HSBC Holdings plc, 4.25%, 3/14/24      219,593  

200,000

     Intesa Sanpaolo SpA, 5.02%, 6/26/24(a)      212,000  

1,180,000

     Intesa Sanpaolo SpA, 5.71%, 1/15/26(a)      1,287,675  

535,000

     NatWest Markets plc, 2.38%, 5/21/23(a)      552,227  

200,000

     RBS Citizens Financial Group, Inc., 4.15%, 9/28/22      211,663  

3,808,000

     Royal Bank of Scotland Group plc, 6.13%, 12/15/22      4,169,757  

826,000

     Royal Bank of Scotland Group plc, 6.10%, 6/10/23      908,621  

347,000

     Royal Bank of Scotland Group plc, 6.00%, 12/19/23      387,842  

286,000

     Royal Bank of Scotland Group plc, 3.07%(H15T1Y+255bps), 5/22/28, Callable 5/22/27 @ 100      301,386  

454,000

     UniCredit SpA, 6.57%, 1/14/22(a)      481,332  

289,000

     Westpac Banking Corp., 4.11%(H15T5Y+200bps), 7/24/34, Callable 7/24/29 @ 100      324,824  
       

 

 

 

          12,321,106  
       

 

 

 

Beverages (0.0%):

 

125,000

     Cott Corp., 5.50%, 4/1/25, Callable 10/19/20 @ 104.13(a)      127,969  
       

 

 

 

Capital Markets (1.8%):

 

788,000

     Credit Suisse Group AG, 2.59%(SOFR+156bps), 9/11/25, Callable 9/11/24 @ 100(a)      821,209  

602,000

     Credit Suisse Group AG, 4.19%(SOFR+373bps), 4/1/31, Callable 4/1/30 @ 100(a)      695,310  

1,000,000

     Credit Suisse Group Fun, Ltd., 3.80%, 9/15/22      1,041,247  

1,175,000

     Credit Suisse Group Fun, Ltd., 3.80%, 6/9/23      1,260,217  

720,000

     Credit Suisse Group Funding Guernsey, Ltd., 3.75%, 3/26/25      794,255  

742,000

     Deutsche Bank AG, 5.00%, 2/14/22      775,440  

1,284,000

     Deutsche Bank AG, 3.30%, 11/16/22      1,324,125  

1,462,000

     Deutsche Bank AG, 4.50%, 4/1/25      1,477,405  
       

 

 

 

          8,189,208  
       

 

 

 

Chemicals (0.1%):

 

5,000

     Consolidated Energy Finance SA, 6.88%, 6/15/25, Callable 11/9/20 @ 105.16(a)      4,550  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Total Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal    

Amount

                 Fair Value    

Yankee Dollars, continued

 

Chemicals, continued

 

$185,000

     Consolidated Energy Finance SA, 6.50%, 5/15/26, Callable 5/15/21 @ 104.88(a)    $ 161,875  

195,000

     Methanex Corp., 5.13%, 10/15/27, Callable 4/15/27 @ 100      194,025     

265,000

     Nufarm Australia, Ltd., 5.75%, 4/30/26, Callable 4/30/21 @ 102.88(a)      267,981  
       

 

 

 

          628,431  
       

 

 

 

Containers & Packaging (0.1%):

 

25,000

     Intelligent Packaging, Ltd. Finco Inc./Intelligent Packaging, Ltd. Co-Issuer LLC, 6.00%, 9/15/28, Callable 9/15/22 @ 103(a)      25,344  

255,000

     Trivium Packaging Finance BV, 5.50%, 8/15/26, Callable 8/15/22 @ 102.75(a)      262,331  

45,000

     Trivium Packaging Finance BV, 8.50%, 8/15/27, Callable 8/15/22 @ 104.25(a)      47,869  
       

 

 

 

          335,544  
       

 

 

 

Diversified Consumer Services (0.1%):

 

325,000

     GEMS MENASA Cayman, Ltd., 7.13%, 7/31/26, Callable 7/31/22 @ 103.56(a)      320,531  
       

 

 

 

Diversified Financial Services (1.3%):

 

705,000

     Altice Financing SA, 7.50%, 5/15/26, Callable 5/15/21 @ 103.75(a)      745,537  

200,000

     Altice Financing SA, 5.00%, 1/15/28, Callable 1/15/23 @ 102.5(a)      193,250  

566,000

     C&W Senior Financing Dac, 7.50%, 10/15/26, Callable 10/15/21 @ 103.75(a)      590,055  

745,000

     C&W Senior Financing Dac, 6.88%, 9/15/27, Callable 9/15/22 @ 103.44(a)      767,350  

510,000

     Intelsat Jackson Holdings SA, 8.00%, 2/15/24      517,650  

165,000

     Intelsat Jackson Holdings SA, 8.50%, 10/15/24, Callable 11/9/20 @ 106.38(a)(c)      106,425  

435,000

     Nielsen Co. Luxembourg SARL (The), 5.00%, 2/1/25, Callable 11/9/20 @ 103.75^(a)      440,438  

2,052,000

     Park Aerospace Holdings, 5.50%, 2/15/24(a)      2,067,390  

200,000

     Telenet Finance Lux Note, 5.50%, 3/1/28, Callable 12/1/22 @ 102.75      209,250  

150,000

     Virgin Media Finance plc, 5.00%, 7/15/30, Callable 7/15/25 @ 102.5(a)      149,250  

305,000

     Vmed O2 UK Financing I plc, 4.25%, 1/31/31, Callable 1/31/26 @ 102.13(a)      309,575  
       

 

 

 

          6,096,170  
       

 

 

 

Diversified Telecommunication Services (0.3%):

 

585,000

     Altice France SA, 7.38%, 5/1/26, Callable 5/1/21 @ 103.69(a)      611,325  

325,000

     Altice France SA, 8.13%, 2/1/27, Callable 2/1/22 @ 106.09(a)      354,250  

270,000

     Altice France SA, 6.00%, 2/15/28, Callable 2/15/23 @ 103(a)      257,175  

Principal    

Amount

                 Fair Value    

Yankee Dollars, continued

 

Diversified Telecommunication Services, continued

 

$185,000

     Altice France SA, 5.13%, 1/15/29, Callable 9/15/23 @ 102.56(a)    $ 184,306     

40,000

     Sable International Finance, Ltd., 5.75%, 9/7/27, Callable 9/7/22 @ 102.88(a)      41,650  

25,000

     Telecom Italia Capital, 6.38%, 11/15/33      29,406  

80,000

     Telecom Italia SpA, 6.00%, 9/30/34      92,100  
       

 

 

 

          1,570,212  
       

 

 

 

Hotels, Restaurants & Leisure (0.2%):

 

175,000

     1011778 BC ULC New Red Finance, Inc., 4.25%, 5/15/24, Callable 11/9/20 @ 102.13(a)      177,844  

55,000

     1011778 BC ULC New Red Finance, Inc., 5.75%, 4/15/25, Callable 4/15/22 @ 102.88(a)      58,676  

205,000

     1011778 BC ULC New Red Finance, Inc., 4.00%, 10/15/30, Callable 10/15/25 @ 102(a)      206,537  

130,000

     Stars Group Holdings BV, 7.00%, 7/15/26, Callable 7/15/21 @ 103.5(a)      137,475  

130,000

     Wynn Macau, Ltd., 5.50%, 10/1/27, Callable 10/1/22 @ 102.75(a)      126,750  
       

 

 

 

          707,282  
       

 

 

 

Insurance (0.2%):

 

465,000

     AIA Group, Ltd., 3.38%, 4/7/30, Callable 1/7/30 @ 100(a)      520,679  

206,000

     AIA Group, Ltd., 3.20%, 9/16/40, Callable 3/16/40 @ 100(a)      212,296  

200,000

     Swiss Re Finance Luxembourg SA, 5.00%(H15T5Y+358bps), 4/2/49, Callable 4/2/29 @ 100(a)      228,000  
       

 

 

 

          960,975  
       

 

 

 

Media (0.1%):

 

250,000

     Ziggo BV, 5.50%, 1/15/27, Callable 1/15/22 @ 102.75(a)      259,688  

120,000

     Ziggo BV, 5.13%, 2/28/30, Callable 2/15/25 @ 102.56(a)      121,200  
       

 

 

 

          380,888  
       

 

 

 

Metals & Mining (0.3%):

 

400,000

     BHP Billiton Finance USA, Ltd., 6.25%(USSW5+497bps), 10/19/75, Callable 10/19/20 @ 100(a)      400,500  

681,000

     BHP Billiton Finance USA, Ltd., 6.75%(USSW5+509bps), 10/19/75, Callable 10/20/25 @ 100(a)      821,456  

235,000

     First Quantum Minerals, Ltd., 7.25%, 5/15/22, Callable 10/18/20 @ 100(a)      235,294  

5,000

     FMG Resources Pty, Ltd., 4.50%, 9/15/27, Callable 6/15/27 @ 100(a)      5,294  
       

 

 

 

          1,462,544  
       

 

 

 

Multi-Utilities (0.1%):

 

355,000

     InterGen NV, 7.00%, 6/30/23, Callable 11/9/20 @ 101.17(a)      342,131  
       

 

 

 

Oil, Gas & Consumable Fuels (3.0%):

 

309,000

     Canadian Natural Resources, Ltd., 5.85%, 2/1/35      375,821  

619,000

     Cenovus Energy, Inc., 4.25%, 4/15/27, Callable 1/15/27 @ 100      557,340  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Total Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal    

Amount

                 Fair Value    

Yankee Dollars, continued

 

Oil, Gas & Consumable Fuels, continued

 

$115,000

     eG Global Finance plc, 6.75%, 2/7/25, Callable 5/15/21 @ 103.38(a)    $ 117,731     

205,000

     eG Global Finance plc, 8.50%, 10/30/25, Callable 10/30/21 @ 104.25(a)      213,969  

223,000

     Enbridge, Inc., 4.00%, 10/1/23, Callable 7/1/23 @ 100      241,163  

218,000

     Enbridge, Inc., 4.25%, 12/1/26, Callable 9/1/26 @ 100      250,069  

340,000

     LBC Tank Terminals Holding Netherlands BV, 6.88%, 5/15/23, Callable 11/9/20 @ 101.15(a)      338,725  

60,000

     Meg Energy Corp., 7.13%, 2/1/27, Callable 2/1/23 @ 103.56(a)      53,700  

163,000

     Petrobras Global Finance BV, 5.09%, 1/15/30      170,946  

2,677,000

     Petrobras Global Finance BV, 7.25%, 3/17/44      3,035,049  

810,000

     Petroleos Mexicanos, 4.50%, 1/23/26      718,199  

1,700,000

     Petroleos Mexicanos, 6.50%, 3/13/27      1,592,892  

1,505,000

     Petroleos Mexicanos, 6.84%, 1/23/30, Callable 10/23/29 @ 100(a)      1,333,356  

230,000

     Petroleos Mexicanos, 5.95%, 1/28/31, Callable 10/28/30 @ 100(a)      190,024  

2,762,000

     Petroleos Mexicanos, 6.75%, 9/21/47      2,139,107  

2,070,000

     Petroleos Mexicanos, 7.69%, 1/23/50, Callable 7/23/49 @ 100(a)      1,731,396  

502,000

     Petroleos Mexicanos, 6.95%, 1/28/60, Callable 7/28/59 @ 100(a)      388,164  
       

 

 

 

          13,447,651  
       

 

 

 

Pharmaceuticals (0.3%):

 

115,000

     Bausch Health Cos., Inc., 5.50%, 11/1/25, Callable 11/9/20 @ 102.75(a)      117,731  

685,000

     Mylan NV, 3.15%, 6/15/21, Callable 5/15/21 @ 100      696,132  

126,000

     Teva Pharmaceuticals Industries, Ltd., 2.20%, 7/21/21      124,110  

191,000

     Teva Pharmaceuticals Industries, Ltd., 2.80%, 7/21/23      182,405  

202,000

     VRX Escrow Corp., 6.13%, 4/15/25, Callable 11/9/20 @ 103.06(a)      206,798  
       

 

 

 

          1,327,176  
       

 

 

 

Software (0.0%):

 

95,000

     Open Text Corp., 3.88%, 2/15/28, Callable 2/15/23 @ 101.94(a)      96,188  
       

 

 

 

Sovereign Bond (1.7%):

 

415,000

     Abu Dhabi Government International Bond, 3.13%, 4/16/30(a)      464,253  

355,000

     Abu Dhabi Government International Bond, 3.88%, 4/16/50(a)      432,809  

355,000

     Chile Government International Bond, 2.45%, 1/31/31, Callable 10/31/30 @ 100      370,250  

400,000

     Corp. Andina de Fomento, 2.38%, 5/12/23      412,133  

1,344,000

     Dominican Republic, 5.50%, 1/27/25(a)      1,428,000  

Principal    

Amount

                 Fair Value    

Yankee Dollars, continued

 

Sovereign Bond, continued

 

$250,000

     Dominican Republic, 6.00%, 7/19/28(a)    $ 268,125  

600,000

     Indonesia Government International Bond, 3.85%, 10/15/30      679,527     

600,000

     Indonesia Government International Bond, 4.20%, 10/15/50      692,241  

230,000

     Qatar Government International Bond, 3.40%, 4/16/25(a)      251,658  

490,000

     Qatar Government International Bond, 3.75%, 4/16/30(a)      565,166  

470,000

     Qatar Government International Bond, 4.40%, 4/16/50(a)      601,356  

1,500,000

     Republic of Argentina, 5.88%, 1/11/28      585,960  

250,000

     Saudi Government International Bond, 2.90%, 10/22/25(a)      266,615  

230,000

     Saudi Government International Bond, 3.25%, 10/22/30(a)      248,924  

200,000

     Saudi Government International Bond, 4.50%, 4/22/60^(a)      246,542  
       

 

 

 

          7,513,559  
       

 

 

 

Thrifts & Mortgage Finance (0.1%):

 

200,000

     Corp. Nacional del Cobre de Chile, 3.63%, 8/1/27, Callable 5/1/27 @ 100(a)      219,344  

200,000

     Corp. Nacional del Cobre de Chile, 4.50%, 8/1/47, Callable 2/1/47 @ 100(a)      241,215  
       

 

 

 

          460,559  
       

 

 

 

Trading Companies & Distributors (0.4%):

 

240,000

     AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, 12/16/21, Callable 11/16/21 @ 100      245,116  

412,000

     AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.88%, 1/16/24, Callable 12/16/23 @ 100      425,425  

463,000

     AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.88%, 8/14/24, Callable 7/14/24 @ 100      444,595  

217,000

     AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50%, 7/15/25, Callable 6/15/25 @ 100      233,753  

251,000

     AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, 4/3/26, Callable 2/3/26 @ 100      249,567  
       

 

 

 

          1,598,456  
       

 

 

 

Wireless Telecommunication Services (0.3%):

 

330,000

     Empresa Nacional del Pet, 4.38%,
10/30/24(a)
     356,813  

85,000

     Millicom International Cellular SA, 6.00%, 3/15/25, Callable 10/19/20 @ 103(a)      87,125  

325,000

     Millicom International Cellular SA, 6.63%, 10/15/26, Callable 10/15/21 @ 104.97(a)      349,375  

700,000

     Millicom International Cellular SA, 6.25%, 3/25/29, Callable 3/25/24 @ 103.13(a)      749,875  
       

 

 

 

          1,543,188  
       

 

 

 

Total Yankee Dollars (Cost $60,192,312)

     60,800,488  
       

 

 

 

Municipal Bonds (1.3%):

 

California (0.3%):

 

460,000

     California State, Build America Bonds, GO, 7.30%, 10/1/39      749,239  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Total Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal    

Amount

                 Fair Value    

Municipal Bonds, continued

 

California, continued

 

$400,000

     California State, Build America Bonds, GO, 7.50%, 4/1/34    $ 655,968  

10,000

     California State, Build America Bonds, GO, 7.35%, 11/1/39      16,606     
       

 

 

 

          1,421,813  
       

 

 

 

Illinois (0.9%):

 

310,000

     Chicago Illinois, Taxable Project, Build America Bonds, GO, Series C1, 7.78%, 1/1/35      375,212  

295,000

     Illinois State, Build America Bonds, GO, 5.10%, 6/1/33      295,307  

315,000

     Illinois State, Build America Bonds, GO, 6.63%, 2/1/35      342,040  

425,000

     Illinois State, Build America Bonds, GO, Series 3, 6.73%, 4/1/35      465,600  

1,935,000

     Illinois State, Build America Bonds, GO, 7.35%, 7/1/35      2,186,549  

420,000

     Illinois State, Build America Bonds, GO, 4.00%, 12/1/20      420,718  

88,636

     Illinois State, Build America Bonds, GO, 4.95%, 6/1/23      90,920  

44,000

     Illinois State, Build America Bonds, GO, 6.20%, 7/1/21      44,866  
       

 

 

 

          4,221,212  
       

 

 

 

New Jersey (0.1%):

 

504,000

     New Jersey Economic Development Authority Revenue, Build America Bonds, GO, Series A, 7.43%, 2/15/29      629,138  
       

 

 

 

Total Municipal Bonds (Cost $5,933,108)

     6,272,163  
       

 

 

 

U.S. Government Agency Mortgages (14.2%):

  

Federal Home Loan Mortgage Corporation (4.1%):

  

43,904

     2.50%, 6/1/31, Pool #G18604      46,114  

67,716

     2.50%, 7/1/31, Pool #V61246      71,975  

115,434

     2.50%, 8/1/31, Pool #V61273      122,478  

444,284

     3.50%, 3/1/32, Pool #C91403      473,625  

1,240,148

     3.50%, 7/1/32, Pool #C91467      1,322,381  

13,902

     2.50%, 8/1/32, Pool #G18654      14,690  

14,430

     2.50%, 11/1/32, Pool #G18665      15,144  

434,284

     2.50%, 12/1/32, Pool #G18669      455,749  

72,344

     2.50%, 3/1/33, Pool #G18680      75,920  

50,543

     3.00%, 4/1/33, Pool #K90336      53,252  

184,233

     3.00%, 4/1/33, Pool #G18684      194,384  

26,745

     2.50%, 4/1/33, Pool #G18683      28,069  

15,333

     2.50%, 5/1/33, Pool #G18687      16,091  

68,769

     3.00%, 6/1/33, Pool #K90684      72,455  

127,901

     3.00%, 6/1/33, Pool #K90632      134,781  

54,815

     3.00%, 6/1/33, Pool #C91709      57,758  

100,797

     3.00%, 6/1/33, Pool #K90806      106,171  

200,568

     4.00%, 6/1/33, Pool #G30718      218,542  

249,704

     3.00%, 7/1/33, Pool #C91714      263,113  

292,257

     2.50%, 7/1/33, Pool #G16661      308,053  

433,401

     3.50%, 11/1/33, Pool #G16677      462,813  

405,829

     3.50%, 2/1/34, Pool #G16752      431,703  

64,234

     3.00%, 4/1/34, Pool #G16829      68,578  

508,974

     3.50%, 10/1/34, Pool #C91793      542,252  

942,557

     4.00%, 5/1/37, Pool #C91938      1,020,636  

1,404,195

     5.00%, 2/1/38, Pool #G60365      1,589,350  

55,738

     3.50%, 4/1/40, Pool #V81744      59,789  

84,821

     3.50%, 5/1/40, Pool #V81750      90,985  

127,669

     3.50%, 6/1/40, Pool #V81792      136,947  

57,224

     3.50%, 8/1/40, Pool #V81886      61,383  

40,399

     3.50%, 9/1/40, Pool #V81958      43,336  

557,989

     4.00%, 1/1/41, Pool #A96413      614,307  

Principal    

Amount

                 Fair Value    

U.S. Government Agency Mortgages, continued

 

Federal Home Loan Mortgage Corporation, continued

 

$53,197

     4.50%, 1/1/41, Pool #A96051    $ 58,043  

430,567

     4.00%, 2/1/41, Pool #A96807      473,012     

55,231

     4.50%, 3/1/41, Pool #A97673      61,571  

88,828

     4.50%, 4/1/41, Pool #A97942      99,003  

270,323

     5.00%, 6/1/41, Pool #G06596      309,643  

1,144,570

     4.50%, 1/1/42, Pool #G60517      1,275,559  

41,388

     4.00%, 11/1/42, Pool #Q13121      44,614  

120,161

     3.00%, 12/1/42, Pool #C04320      129,084  

74,088

     4.00%, 5/1/43, Pool #Q18481      81,227  

40,620

     4.00%, 7/1/43, Pool #Q19597      44,538  

46,338

     4.00%, 10/1/43, Pool #Q22499      50,792  

76,780

     4.00%, 1/1/44, Pool #V80950      82,747  

144,415

     3.50%, 1/1/44, Pool #G60271      158,660  

291,618

     3.50%, 1/1/44, Pool #G07922      322,540  

238,743

     4.00%, 1/1/45, Pool #Q30720      257,960  

175,820

     4.00%, 2/1/45, Pool #G07949      193,376  

45,550

     3.50%, 3/1/45, Pool #Q32328      49,673  

88,774

     3.50%, 3/1/45, Pool #Q32008      96,724  

48,960

     3.50%, 3/1/45, Pool #Q31974      53,340  

32,532

     3.00%, 5/1/45, Pool #Q33468      34,883  

240,515

     3.50%, 5/1/45, Pool #Q33547      261,418  

295,329

     3.50%, 6/1/45, Pool #Q34164      320,975  

47,711

     3.50%, 6/1/45, Pool #Q33791      51,864  

192,925

     3.00%, 6/1/45, Pool #Q34156      206,728  

311,969

     3.50%, 6/1/45, Pool #Q34311      340,088  

54,867

     3.00%, 7/1/45, Pool #Q34759      59,249  

14,882

     3.00%, 7/1/45, Pool #Q34979      16,063  

91,964

     4.00%, 8/1/45, Pool #Q35845      101,682  

18,988

     4.00%, 9/1/45, Pool #Q37853      20,819  

12,234

     4.00%, 11/1/45, Pool #Q38812      13,084  

326,554

     3.50%, 11/1/45, Pool #Q37467      355,798  

6,921

     4.00%, 2/1/46, Pool #Q38879      7,583  

17,611

     4.00%, 2/1/46, Pool #Q38782      19,280  

25,063

     4.00%, 2/1/46, Pool #Q38783      27,094  

12,802

     4.00%, 4/1/46, Pool #Q39975      14,029  

59,380

     4.00%, 4/1/46, Pool #V82292      64,981  

116,835

     3.50%, 5/1/46, Pool #G60603      127,358  

113,446

     3.50%, 5/1/46, Pool #Q40647      123,486  

369,377

     3.50%, 5/1/46, Pool #G60553      407,666  

328,532

     3.50%, 9/1/46, Pool #Q43257      358,024  

16,099

     4.00%, 9/1/47, Pool #Q50433      17,567  

20,217

     4.00%, 10/1/47, Pool #Q51189      22,263  

193,678

     3.50%, 11/1/47, Pool #Q52086      207,600  

468,997

     3.50%, 2/1/48, Pool #Q54334      495,144  

19,494

     4.00%, 2/1/48, Pool #Q54192      21,220  

34,686

     3.50%, 2/1/48, Pool #G61896      36,756  

246,975

     3.50%, 3/1/48, Pool #G67710      267,923  

325,604

     4.00%, 5/1/48, Pool #Q55992      354,332  

897,519

     4.00%, 6/1/48, Pool #G67713      977,636  

109,666

     4.00%, 7/1/48, Pool #Q59935      121,012  

245,053

     3.50%, 5/1/49, Pool #Q63646      263,835  
       

 

 

 

          18,732,370  
       

 

 

 

Federal National Mortgage Association (5.9%):

 

248,569

     2.50%, 6/1/29, Pool #MA3734      260,397  

100,652

     2.50%, 9/1/31, Pool #AS8012      106,036  

419,300

     3.00%, 4/1/32, Pool #BD9809      444,521  

218,760

     3.00%, 9/1/32, Pool #BM5110      231,567  

571,062

     2.50%, 12/1/32, Pool #CA3748      599,148  

643,754

     3.00%, 12/1/32, Pool #BM5345      685,345  

34,711

     3.00%, 3/1/33, Pool #BM4614      37,332  

45,019

     3.00%, 5/1/33, Pool #AT3000      47,795  

49,193

     3.00%, 6/1/33, Pool #AT6090      52,233  

3,306

     4.50%, 7/1/33, Pool #729327      3,610  

1,368

     4.50%, 7/1/33, Pool #720240      1,521  

239,962

     3.00%, 7/1/33, Pool #MA1490      254,766  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Total Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal    

Amount

                 Fair Value    

U.S. Government Agency Mortgages, continued

 

Federal National Mortgage Association, continued

 

$5,791

     4.50%, 8/1/33, Pool #729713    $ 6,436  

5,557

     4.50%, 8/1/33, Pool #727160      6,167  

3,209

     4.50%, 8/1/33, Pool #727029      3,583  

11,363

     4.50%, 8/1/33, Pool #726956      12,632     

14,200

     4.50%, 8/1/33, Pool #726928      15,789  

5,997

     4.50%, 8/1/33, Pool #723124      6,667  

31,010

     4.50%, 8/1/33, Pool #729380      34,474  

9,891

     4.50%, 9/1/33, Pool #734922      10,993  

24,496

     4.50%, 9/1/33, Pool #727147      27,217  

1,366,011

     3.00%, 11/1/33, Pool #BM5111      1,453,814  

34,876

     4.50%, 12/1/33, Pool #AL5321      38,769  

69,444

     3.50%, 1/1/34, Pool #AS1612      74,187  

14,886

     3.50%, 1/1/34, Pool #AS1614      15,907  

100,534

     3.50%, 1/1/34, Pool #AS1611      107,369  

36,556

     3.50%, 1/1/34, Pool #AS1406      39,057  

724,559

     2.50%, 6/1/34, Pool #BN7572      766,285  

684,754

     3.50%, 9/1/34, Pool #FM1577      746,940  

478,271

     3.50%, 9/1/34, Pool #FM1578      515,906  

28,434

     6.00%, 10/1/34, Pool #AL2130      33,614  

337,455

     3.50%, 10/1/34, Pool #FM1579      359,393  

60,972

     4.50%, 9/1/35, Pool #AB8198      67,768  

568,436

     6.00%, 5/1/36, Pool #745512      663,915  

271,593

     6.00%, 1/1/37, Pool #932030      317,354  

51,640

     6.00%, 3/1/37, Pool #889506      61,318  

71,893

     6.00%, 1/1/38, Pool #889371      86,247  

210,123

     5.00%, 2/1/38, Pool #310165      237,702  

24,847

     6.00%, 3/1/38, Pool #889219      29,793  

14,044

     6.00%, 7/1/38, Pool #889733      16,655  

85,933

     4.50%, 3/1/39, Pool #AB0051      95,463  

401,220

     4.50%, 4/1/39, Pool #AB0043      445,838  

372,852

     5.00%, 6/1/39, Pool #AL7521      421,909  

140,912

     5.00%, 6/1/39, Pool #AL7550      159,458  

276,946

     2.50%, 8/1/39, Pool #MA3761      290,292  

38,838

     4.50%, 11/1/39, Pool #AC5442      43,495  

97,773

     6.00%, 5/1/40, Pool #AL2129      117,128  

55,352

     4.00%, 12/1/40, Pool #AA4757      60,955  

53,219

     4.50%, 2/1/41, Pool #AH5580      59,682  

8,322

     6.00%, 1/1/42, Pool #AL2128      9,693  

274,306

     2.50%, 2/1/43, Pool #AB8465      291,620  

62,879

     4.00%, 10/1/43, Pool #BM1167      69,816  

284,255

     4.50%, 3/1/44, Pool #AL5082      309,926  

299,858

     5.00%, 11/1/44, Pool #AL7307      339,317  

13,772

     4.00%, 12/1/44, Pool #AY0045      15,097  

27,467

     4.00%, 12/1/44, Pool #AW9502      30,115  

125,557

     4.00%, 12/1/44, Pool #AX8459      137,883  

221,663

     4.00%, 3/1/45, Pool #AL6541      243,572  

80,648

     3.00%, 5/1/45, Pool #AS4972      86,458  

105,851

     4.00%, 5/1/45, Pool #AZ1207      113,192  

44,083

     4.00%, 5/1/45, Pool #AZ1876      48,341  

93,095

     4.00%, 6/1/45, Pool #AY8126      99,485  

36,139

     5.00%, 6/1/45, Pool #AZ3448      41,767  

50,081

     4.00%, 6/1/45, Pool #AZ3341      54,919  

258,518

     4.00%, 6/1/45, Pool #AY8096      276,264  

31,257

     4.00%, 6/1/45, Pool #AZ2719      34,258  

220,369

     4.00%, 7/1/45, Pool #AZ0833      241,686  

202,330

     4.00%, 7/1/45, Pool #AZ1783      216,220  

518,257

     3.50%, 7/1/45, Pool #AZ0814      563,017  

28,482

     3.00%, 8/1/45, Pool #AZ3728      30,538  

190,658

     3.00%, 8/1/45, Pool #AS5634      204,347  

70,920

     3.00%, 8/1/45, Pool #AZ8288      75,990  

101,022

     4.00%, 10/1/45, Pool #AL7413      111,372  

549,154

     4.00%, 10/1/45, Pool #AL7593      607,665  

34,758

     4.00%, 11/1/45, Pool #AZ0560      37,145  

42,129

     4.00%, 12/1/45, Pool #AS6350      46,595  

68,891

     4.00%, 12/1/45, Pool #BA6404      73,621  

Principal    

Amount

                 Fair Value    

U.S. Government Agency Mortgages, continued

 

Federal National Mortgage Association, continued

 

$13,932

     4.00%, 12/1/45, Pool #BC0997    $ 14,888  

59,278

     4.50%, 2/1/46, Pool #BM5199      66,138  

953,193

     4.00%, 2/1/46, Pool #BC1578      1,027,432  

44,348

     4.00%, 4/1/46, Pool #BC3920      47,911     

29,843

     4.00%, 4/1/46, Pool #BC7809      32,217  

13,002

     4.00%, 5/1/46, Pool #BC2276      14,226  

483,063

     3.50%, 5/1/46, Pool #BC0880      528,847  

274,098

     4.00%, 6/1/46, Pool #BC0960      295,446  

455,609

     4.00%, 6/1/46, Pool #AL9282      491,094  

75,199

     4.00%, 7/1/46, Pool #BC6148      81,104  

180,018

     4.00%, 7/1/46, Pool #BC1443      200,058  

522,450

     3.50%, 7/1/46, Pool #AL9515      572,016  

79,256

     4.00%, 8/1/46, Pool #BD1451      85,479  

68,386

     4.50%, 8/1/46, Pool #AL9111      75,931  

196,140

     4.00%, 9/1/46, Pool #BC2843      218,038  

69,646

     4.00%, 9/1/46, Pool #BD1489      75,071  

29,219

     4.00%, 10/1/46, Pool #BD7599      31,512  

194,404

     3.50%, 10/1/46, Pool #AL9285      204,860  

612,233

     3.50%, 12/1/46, Pool #BC9077      670,557  

511,388

     3.50%, 1/1/47, Pool #AL9776      559,554  

2,019,600

     4.00%, 2/1/47, Pool #AL9779      2,229,337  

128,611

     3.50%, 2/1/47, Pool #BE5696      139,491  

931,508

     4.50%, 2/1/47, Pool #AL9846      1,017,929  

10,703

     4.00%, 6/1/47, Pool #BH4269      11,677  

75,266

     4.00%, 7/1/47, Pool #BE3774      80,904  

779,627

     3.50%, 2/1/48, Pool #BJ3436      821,569  

60,278

     3.00%, 8/1/49, Pool #CA4017      63,308  

752,884

     4.50%, 9/1/49, Pool #FM1534      836,439  

150,000

     2.50%, 10/25/49      157,336  

882,832

     4.00%, 11/1/49, Pool #CA4628      952,430  

176,224

     3.50%, 11/1/49, Pool #CA4557      189,869  

209,504

     3.00%, 2/1/50, Pool #CA5126      219,569  

449,483

     2.50%, 8/1/50, Pool #SD0430      476,309  
       

 

 

 

          27,072,907  
       

 

 

 

Government National Mortgage Association (4.2%):

  

12,284

     5.00%, 6/15/34, Pool #629493      13,872  

4,820

     5.00%, 3/15/38, Pool #676766      5,407  

2,714

     5.00%, 4/15/38, Pool #672672      3,049  

9,584

     5.00%, 8/15/38, Pool #687818      10,748  

83,070

     5.00%, 1/15/39, Pool #705997      96,046  

1,027

     5.00%, 3/15/39, Pool #697946      1,142  

180,306

     5.00%, 3/15/39, Pool #646746      208,326  

183,219

     4.00%, 10/15/40, Pool #783143      195,521  

52,101

     4.00%, 10/20/40, Pool #G24833      57,086  

154,434

     4.00%, 1/20/41, Pool #4922      169,217  

410,267

     4.50%, 3/20/41, Pool #4978      451,727  

145,053

     4.50%, 5/20/41, Pool #005055      164,637  

300,931

     4.00%, 5/20/41, Pool #5054      329,776  

128,376

     4.50%, 6/15/41, Pool #366975      142,814  

94,332

     4.50%, 6/20/41, Pool #005082      103,867  

340,832

     4.00%, 10/20/41, Pool #5203      373,473  

381,665

     3.50%, 12/20/41, Pool #5258      411,618  

660,133

     4.00%, 1/20/42, Pool #5280      723,418  

461,374

     3.50%, 10/20/42, Pool #MA0462      497,588  

311,323

     3.00%, 12/20/42, Pool #AA5872      327,760  

233,752

     3.00%, 12/20/42, Pool #MA0624      244,789  

41,350

     3.00%, 1/20/43, Pool #MA0698      43,302  

2,268,275

     3.50%, 1/20/43, Pool #MA0699      2,446,392  

502,500

     3.50%, 2/20/43, Pool #MA0783      541,480  

61,901

     3.50%, 3/20/43, Pool #AD8884      67,191  

196,232

     3.00%, 3/20/43, Pool #AA6146      208,722  

78,570

     3.00%, 3/20/43, Pool #AD8812      82,654  

414,682

     3.50%, 4/20/43, Pool #783976      450,941  

25,583

     3.50%, 4/20/43, Pool #AB9891      27,793  

62,235

     3.50%, 4/20/43, Pool #AD9075      67,554  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Total Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal    

Amount

                 Fair Value    

U.S. Government Agency Mortgages, continued

 

Government National Mortgage Association, continued

 

$468,471

     4.00%, 10/20/43, Pool #MA1376    $ 513,244  

6,543

     4.00%, 7/20/44, Pool #MA2074      7,162  

97,532

     4.00%, 5/20/45, Pool #MA2893      106,603  

159,673

     4.00%, 8/20/45, Pool #MA3035      174,525     

6,168

     4.00%, 9/20/45, Pool #MA3106      6,741  

6,332

     4.00%, 10/20/45, Pool #MA3174      6,921  

7,093

     4.00%, 12/20/45, Pool #MA3311      7,753  

7,089

     4.00%, 1/20/46, Pool #MA3377      7,748  

268,072

     4.00%, 4/15/46, Pool #784232      295,488  

28,234

     3.50%, 5/20/46, Pool #AS4272      30,415  

21,177

     3.50%, 5/20/46, Pool #AR9166      22,806  

23,743

     3.50%, 5/20/46, Pool #AR9028      25,564  

430,260

     4.00%, 5/20/46, Pool #MA3664      467,482  

314,205

     3.50%, 5/20/46, Pool #MA3663      334,389  

295,438

     3.50%, 6/20/46, Pool #MA3736      315,946  

23,233

     3.50%, 6/20/46, Pool #AT4134      25,015  

108,379

     3.50%, 6/20/46, Pool #AT4139      116,749  

32,183

     3.50%, 6/20/46, Pool #AS4285      34,671  

36,669

     3.50%, 7/20/46, Pool #784391      39,267  

162,955

     3.50%, 7/20/46, Pool #MA3803      174,266  

34,541

     3.50%, 9/20/46, Pool #MA3937      36,828  

29,777

     3.00%, 10/20/46, Pool #MA4003      31,177  

1,509,277

     3.00%, 12/20/46, Pool #MA4126      1,580,241  

173,418

     4.00%, 1/15/47, Pool #AX5831      185,637  

191,327

     4.00%, 1/15/47, Pool #AX5857      204,807  

474,699

     3.00%, 1/20/47, Pool #MA4195      499,174  

269,261

     3.00%, 2/20/47, Pool #MA4261      282,660  

64,518

     4.00%, 3/20/47, Pool #MA4322      69,582  

353,228

     4.00%, 4/20/47, Pool #784304      375,795  

66,096

     4.00%, 4/20/47, Pool #MA4383      71,284  

948,368

     4.50%, 4/20/47, Pool #MA4384      1,035,307  

327,455

     4.00%, 4/20/47, Pool #784303      348,376  

42,469

     4.00%, 5/20/47, Pool #MA4452      45,803  

177,034

     4.00%, 6/20/47, Pool #MA4511      189,668  

587,375

     4.50%, 6/20/47, Pool #MA4512      641,293  

238,635

     4.00%, 4/20/48, Pool #MA5137      255,995  

155,438

     4.00%, 4/20/48, Pool #BG7744      166,675  

185,306

     4.00%, 4/20/48, Pool #BG3507      198,702  

515,900

     4.00%, 6/20/48, Pool #MA5264      549,128  

853,674

     4.00%, 9/20/48, Pool #MA5466      915,897  

12,770

     Class JA, Series 2015-H21, 2.50%, 6/20/65, Callable 5/20/21 @ 100      12,803  
       

 

 

 

          18,877,497  
       

 

 

 

Total U.S. Government Agency Mortgages

(Cost $62,077,591)

     64,682,774  
       

 

 

 

U.S. Treasury Obligations (22.1%):

 

U.S. Treasury Bonds (7.6%):

 

2,566,000

     1.13%, 5/15/40      2,531,118  

11,313,000

     3.00%, 2/15/47      15,334,419  

1,466,000

     2.00%, 2/15/50      1,662,536  

5,030,300

     1.25%, 5/15/50      4,781,929  

10,513,100

     1.38%, 8/15/50      10,317,622  
       

 

 

 

          34,627,624  
       

 

 

 

U.S. Treasury Inflation Index Bonds (1.3%):

 

3,445,576

     0.75%, 2/15/45      4,389,520  

86,701

     1.00%, 2/15/46      117,079  

1,050,090

     1.00%, 2/15/49      1,466,102  
       

 

 

 

          5,972,701  
       

 

 

 

U.S. Treasury Inflation Index Notes (5.4%):

 

4,883,765

     0.13%, 10/15/24      5,179,952  

2,056,231

     0.25%, 1/15/25      2,193,159  

8,066,834

     0.63%, 1/15/26      8,885,067  

4,292,739

     0.13%, 7/15/26      4,654,372  

2,072,439

     0.88%, 1/15/29      2,413,496  

Principal    

Amount

                 Fair Value    

U.S. Treasury Obligations, continued

 

U.S. Treasury Inflation Index Notes, continued

 

$962,122

     0.25%, 7/15/29    $ 1,076,104  
       

 

 

 

          24,402,150     
       

 

 

 

U.S. Treasury Notes (7.8%):

 

2,034,000

     2.13%, 7/31/24      2,183,054  

19,438,000

     0.25%, 7/31/25      19,422,815  

3,535,600

     1.63%, 9/30/26      3,798,560  

5,668,000

     0.38%, 9/30/27      5,632,575  

4,273,000

     0.63%, 8/15/30      4,251,635  
       

 

 

 

          35,288,639  
       

 

 

 

Total U.S. Treasury Obligations (Cost $97,907,365)

     100,291,114  
       

 

 

 

Short-Term Securities Held as Collateral for Securities on Loan (0.6%):   

2,800,336

     BlackRock Liquidity FedFund, Institutional Class , 1.81%(d)(e)      2,800,336  
       

 

 

 

Total Short-Term Securities Held as Collateral for Securities on Loan (Cost $2,800,336)

     2,800,336  
       

 

 

 

Shares

          Fair Value

Unaffiliated Investment Companies (3.1%):

 

Money Markets (3.1%):

 

13,894,016

     Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(e)      13,894,016  
       

 

 

 

Total Unaffiliated Investment Companies

(Cost $13,894,016)

     13,894,016  
       

 

 

 

Total Investment Securities (Cost $442,512,121) - 100.6%

     457,507,901  

Net other assets (liabilities) - (0.6)%

     (2,930,311
       

 

 

 

Net Assets - 100.0%

   $ 454,577,590  
       

 

 

 

Percentages indicated are based on net assets as of September 30, 2020.

 

GO    -    General Obligation
H15T1Y    -    1 Year Treasury Constant Maturity Rate
H15T5Y    -    5 Year Treasury Constant Maturity Rate
LIBOR    -    London Interbank Offered Rate
MTN    -    Medium Term Note
SOFR    -    Secured Overnight Financing Rate
US0001M    -    1 Month US Dollar LIBOR
US0003M    -    3 Month US Dollar LIBOR
USSW5    -    USD 5 Year Swap Rate

 

*

Non-income producing security.

^

This security or a partial position of this security was on loan as of September 30, 2020. The total value of securities on loan as of September 30, 2020 was $2,679,784.

Represents less than 0.05%.

(a)

Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees.

(b)

The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at September 30, 2020.

(c)

Defaulted bond.

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Total Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

(d)

Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before September 30, 2020.

(e)

The rate represents the effective yield at September 30, 2020.

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of September 30, 2020:

(Unaudited)

 

Country

   Percentage

Argentina

     0.1

Australia

     0.4

Brazil

      —%  

Canada

     0.8

Cayman Islands

     0.9

Chile

     0.3

Dominican Republic

     0.4

France

     0.3

Germany

     0.8

Guernsey

     0.7

Hong Kong

     0.2

Indonesia

     0.3

Ireland

     0.7

Italy

     0.4

Luxembourg

     0.9

Mexico

     1.8

Netherlands

     1.4 %   

Qatar

     0.3

Saudi Arabia

     0.2

Supernational

     0.1

Switzerland

     0.3

United Arab Emirates

     0.3

United Kingdom

     2.0

United States

     86.4
  

 

 

 

         100.0 % 
  

 

 

 

 

Represents less than 0.05%.

    

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Fidelity Institutional Asset Management Total Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Securities Sold Short (0.0%):

At September 30, 2020, the Fund’s securities sold short were as follows:

Security Description   

  Coupon  

Rate

 

    Maturity    

Date

   Par Amount  

    Proceeds    

Received

        Fair Value      

U.S. Government Agency Mortgages

           

Federal National Mortgage Association

           

Federal National Mortgage Association

   2.50%   10/25/49    $(150,000)   $ (157,266   $ (157,336
         

 

 

   

 

 

 
     $ (157,266   $ (157,336
         

 

 

   

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Gateway Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks+ (98.1%):

  

Aerospace & Defense (1.5%):

  
3,253   Boeing Co. (The)    $ 537,591  
961   HEICO Corp.      100,578  
836   Huntington Ingalls Industries, Inc.      117,667  
13,922   Raytheon Technologies Corp.      801,072  
539   Teledyne Technologies, Inc.*      167,203  
685   TransDigm Group, Inc.      325,457  
    

 

 

 

       2,049,568  
    

 

 

 

Air Freight & Logistics (0.6%):

  
4,634   United Parcel Service, Inc., Class B      772,164  
749   XPO Logistics, Inc.*      63,410  
    

 

 

 

       835,574  
    

 

 

 

Airlines (0.3%):

  
3,457   Alaska Air Group, Inc.      126,630  
11,240   JetBlue Airways Corp.*      127,349  
3,971   United Airlines Holdings, Inc.*      137,992  
    

 

 

 

       391,971  
    

 

 

 

Auto Components (0.1%):

  
793   Autoliv, Inc.      57,794  
2,398   Cooper Tire & Rubber Co.      76,016  
    

 

 

 

       133,810  
    

 

 

 

Automobiles (0.2%):

  
45,465   Ford Motor Co.      302,797  
    

 

 

 

Banks (3.2%):

  
5,229   Associated Banc-Corp.      65,990  
60,538   Bank of America Corp.      1,458,360  
19,299   Citigroup, Inc.      831,980  
24,563   Huntington Bancshares, Inc.      225,243  
19,191   JPMorgan Chase & Co.      1,847,517  
2,161   Old National Bancorp      27,142  
645   Signature Bank      53,529  
    

 

 

 

       4,509,761  
    

 

 

 

Beverages (1.6%):

  
8,115   Keurig Dr Pepper, Inc.      223,974  
5,182   Monster Beverage Corp.*      415,596  
11,447   PepsiCo, Inc.      1,586,555  
    

 

 

 

       2,226,125  
    

 

 

 

Biotechnology (2.2%):

  
10,499   AbbVie, Inc.      919,608  
3,532   Amgen, Inc.      897,693  
1,105   Biogen, Inc.*      313,466  
717   Exact Sciences Corp.*      73,098  
701   Ionis Pharmaceuticals, Inc.*      33,262  
681   Seagen, Inc.*      133,265  
2,325   Vertex Pharmaceuticals, Inc.*      632,679  
    

 

 

 

       3,003,071  
    

 

 

 

Building Products (0.3%):

  
10,041   Carrier Global Corp.      306,652  
426   Lennox International, Inc.      116,132  
    

 

 

 

       422,784  
    

 

 

 

Capital Markets (1.8%):

  
8,177   Charles Schwab Corp. (The)      296,253  
1,655   Eaton Vance Corp.      63,138  
297   FactSet Research Systems, Inc.      99,459  
4,989   Intercontinental Exchange, Inc.      499,149  
10,310   Morgan Stanley      498,489  
1,002   MSCI, Inc., Class A      357,494  
1,853   S&P Global, Inc.      668,192  
2,062   TD Ameritrade Holding Corp.      80,727  
    

 

 

 

       2,562,901  
    

 

 

 

Chemicals (1.5%):

  
1,706   Ashland Global Holdings, Inc.      120,990  
2,129   Celanese Corp.      228,761  
8,520   Corteva, Inc.      245,461  
Shares             Fair Value    

Common Stocks+, continued

  

Chemicals, continued

  
6,803   Dow, Inc.    $ 320,081  
2,825   Eastman Chemical Co.      220,689  
638   Ingevity Corp.*      31,543  
1,698   International Flavors & Fragrances, Inc.      207,920  
3,482   LyondellBasell Industries NV, Class A      245,446  
6,351   Mosaic Co. (The)      116,033  
4,709   Olin Corp.      58,297  
1,952   RPM International, Inc.      161,704  
3,802   Valvoline, Inc.      72,390  
    

 

 

 

       2,029,315  
    

 

 

 

Commercial Services & Supplies (0.7%):

  
2,481   Copart, Inc.*      260,902  
1,537   Waste Connections, Inc.      159,541  
4,962   Waste Management, Inc.      561,550  
    

 

 

 

       981,993  
    

 

 

 

Communications Equipment (0.8%):

  
27,184   Cisco Systems, Inc.      1,070,778  
    

 

 

 

Construction Materials (0.2%):

  
1,004   Martin Marietta Materials, Inc.      236,301  
    

 

 

 

Consumer Finance (0.3%):

  
2,467   Ally Financial, Inc.      61,848  
3,664   Discover Financial Services      211,706  
6,430   Synchrony Financial      168,273  
    

 

 

 

       441,827  
    

 

 

 

Containers & Packaging (0.5%):

  
1,504   Avery Dennison Corp.      192,271  
1,761   Crown Holdings, Inc.*      135,350  
2,479   Sonoco Products Co.      126,603  
8,448   WestRock Co.      293,484  
    

 

 

 

       747,708  
    

 

 

 

Distributors (0.2%):

  
2,198   Genuine Parts Co.      209,184  
    

 

 

 

Diversified Consumer Services (0.0%):

  
1,395   Service Corp. International      58,841  
    

 

 

 

Diversified Financial Services (1.9%):

  
11,533   Berkshire Hathaway, Inc., Class B*      2,455,837  
2,624   Voya Financial, Inc.      125,768  
    

 

 

 

       2,581,605  
    

 

 

 

Diversified Telecommunication Services (1.9%):   
38,868   AT&T, Inc.      1,108,127  
11,942   CenturyLink, Inc.      120,495  
2,408   Liberty Global plc, Series C*      49,448  
23,161   Verizon Communications, Inc.      1,377,848  
    

 

 

 

       2,655,918  
    

 

 

 

Electric Utilities (1.5%):

  
8,276   Alliant Energy Corp.      427,455  
8,811   American Electric Power Co., Inc.      720,123  
3,651   Edison International      185,617  
3,827   Entergy Corp.      377,074  
5,206   Evergy, Inc.      264,569  
315   Hawaiian Electric Industries, Inc.      10,471  
3,186   OGE Energy Corp.      95,548  
    

 

 

 

       2,080,857  
    

 

 

 

Electrical Equipment (0.7%):

  
4,593   Eaton Corp. plc      468,624  
6,441   Emerson Electric Co.      422,336  
1,037   Hubbell, Inc.      141,903  
    

 

 

 

       1,032,863  
    

 

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Gateway Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks+, continued

  
Electronic Equipment, Instruments & Components (0.5%):   
1,972   CDW Corp.    $ 235,713  
7,615   Corning, Inc.      246,802  
1,235   Trimble, Inc.*      60,145  
679   Zebra Technologies Corp., Class A*      171,420  
    

 

 

 

       714,080  
    

 

 

 

Energy Equipment & Services (0.2%):

  
8,091   Baker Hughes Co.      107,529  
12,309   Halliburton Co.      148,324  
3,411   Helmerich & Payne, Inc.      49,971  
    

 

 

 

       305,824  
    

 

 

 

Entertainment (1.9%):

  
2,095   Live Nation Entertainment, Inc.*      112,879  
2,430   Netflix, Inc.*      1,215,073  
228   Roku, Inc.*      43,046  
10,333   Walt Disney Co. (The)      1,282,119  
    

 

 

 

       2,653,117  
    

 

 

 

Equity Real Estate Investment Trusts (2.3%):

  
7,594   American Homes 4 Rent, Class A      216,277  
2,865   Camden Property Trust      254,928  
2,650   CubeSmart      85,622  
3,611   Douglas Emmett, Inc.      90,636  
12,175   Duke Realty Corp.      449,257  
4,044   Equity Lifestyle Properties, Inc.      247,897  
2,644   Extra Space Storage, Inc.      282,881  
5,349   Healthcare Realty Trust, Inc.      161,112  
9,185   Invitation Homes, Inc.      257,088  
3,010   Kilroy Realty Corp.      156,400  
979   Mack-Cali Realty Corp.      12,355  
9,307   Medical Properties Trust, Inc.      164,082  
2,952   National Retail Properties, Inc.      101,874  
3,803   Sabra Health Care REIT, Inc.      52,424  
991   Sun Communities, Inc.      139,345  
7,867   UDR, Inc.      256,543  
3,451   Ventas, Inc.      144,804  
1,695   WP Carey, Inc.      110,446  
    

 

 

 

       3,183,971  
    

 

 

 

Food & Staples Retailing (1.8%):

  
544   Casey’s General Stores, Inc.      96,642  
2,806   Costco Wholesale Corp.      996,130  
357   US Foods Holding Corp.*      7,933  
9,814   Walmart, Inc.      1,373,076  
    

 

 

 

       2,473,781  
    

 

 

 

Food Products (0.8%):

  
2,741   Bunge, Ltd.      125,264  
1,984   Lamb Weston Holdings, Inc.      131,480  
14,097   Mondelez International, Inc., Class A      809,872  
890   Post Holdings, Inc.*      76,540  
    

 

 

 

       1,143,156  
    

 

 

 

Gas Utilities (0.1%):

  
1,421   National Fuel Gas Co.      57,678  
2,933   UGI Corp.      96,731  
    

 

 

 

       154,409  
    

 

 

 

Health Care Equipment & Supplies (3.5%):

  
11,491   Abbott Laboratories      1,250,565  
4,716   Baxter International, Inc.      379,261  
12,871   Boston Scientific Corp.*      491,801  
5,326   Edwards Lifesciences Corp.*      425,121  
50   Insulet Corp.*      11,830  
1,006   Intuitive Surgical, Inc.*      713,797  
9,098   Medtronic plc      945,464  
1,121   Steris plc      197,509  
604   Teleflex, Inc.      205,614  
Shares             Fair Value    

Common Stocks+, continued

  

Health Care Equipment & Supplies, continued

  
1,155   West Pharmaceutical Services, Inc.    $ 317,510  
    

 

 

 

       4,938,472  
    

 

 

 

Health Care Providers & Services (2.5%):

  
2,091   Anthem, Inc.      561,622  
10,080   CVS Health Corp.      588,672  
2,668   HCA Healthcare, Inc.      332,646  
339   Molina Healthcare, Inc.*      62,051  
5,561   UnitedHealth Group, Inc.      1,733,752  
1,334   Universal Health Services, Inc., Class B      142,765  
    

 

 

 

       3,421,508  
    

 

 

 

Health Care Technology (0.1%):

  
712   Veeva Systems, Inc., Class A*      200,207  
    

 

 

 

Hotels, Restaurants & Leisure (1.5%):

  
523   Domino’s Pizza, Inc.      222,421  
491   Dunkin’ Brands Group, Inc.      40,218  
2,997   Hilton Grand Vacations, Inc.*      62,877  
3,867   Hilton Worldwide Holdings, Inc.      329,932  
5,039   McDonald’s Corp.      1,106,010  
1,415   Melco Resorts & Entertainment, Ltd., ADR      23,560  
3,344   Restaurant Brands International, Inc.      192,090  
248   Vail Resorts, Inc.      53,065  
4,219   Wendy’s Co. (The)      94,063  
    

 

 

 

       2,124,236  
    

 

 

 

Household Durables (0.5%):

  
4,738   Lennar Corp., Class A      387,000  
4,173   Newell Brands, Inc.      71,609  
43   NVR, Inc.*      175,574  
911   Toll Brothers, Inc.      44,329  
    

 

 

 

       678,512  
    

 

 

 

Household Products (1.7%):

  
17,552   Procter & Gamble Co. (The)      2,439,552  
    

 

 

 

Industrial Conglomerates (1.2%):

  
4,149   3M Co.      664,587  
6,092   Honeywell International, Inc.      1,002,804  
    

 

 

 

       1,667,391  
    

 

 

 

Insurance (2.1%):

  
19,070   Aflac, Inc.      693,194  
52   Alleghany Corp.      27,063  
3,553   Allstate Corp. (The)      334,479  
1,225   American Financial Group, Inc.      82,051  
2,300   Aon plc, Class A      474,490  
4,357   Arch Capital Group, Ltd.*      127,442  
4,647   Arthur J. Gallagher & Co.      490,630  
3,367   Brown & Brown, Inc.      152,424  
1,551   Fidelity National Financial, Inc.      48,562  
2,790   Lincoln National Corp.      87,411  
208   Markel Corp.*      202,530  
595   RenaissanceRe Holdings, Ltd.      100,995  
5,019   Unum Group      84,470  
    

 

 

 

       2,905,741  
    

 

 

 

Interactive Media & Services (5.6%):

  
1,005   Alphabet, Inc., Class A*      1,472,928  
2,028   Alphabet, Inc., Class C*      2,980,349  
12,321   Facebook, Inc., Class A*      3,226,870  
321   Match Group, Inc.*      35,519  
655   Zillow Group, Inc., Class C*      66,541  
    

 

 

 

       7,782,207  
    

 

 

 

Internet & Direct Marketing Retail (5.1%):

  
2,106   Amazon.com, Inc.*      6,631,226  
271   Booking Holdings, Inc.*      463,594  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Gateway Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    

Common Stocks+, continued

  

Internet & Direct Marketing Retail, continued

  
82   MercadoLibre, Inc.*    $ 88,763  
    

 

 

 

       7,183,583  
    

 

 

 

IT Services (5.3%):

  
3,731   Automatic Data Processing, Inc.      520,437  
229   Black Knight, Inc.*      19,934  
217   Booz Allen Hamilton Holding Corp.      18,007  
285   EPAM Systems, Inc.*      92,135  
4,108   Fidelity National Information Services, Inc.      604,739  
1,833   Leidos Holdings, Inc.      163,412  
5,278   MasterCard, Inc., Class A      1,784,861  
4,165   Paychex, Inc.      332,242  
6,782   PayPal Holdings, Inc.*      1,336,257  
93   Shopify, Inc., Class A*      95,136  
317   Square, Inc., Class A*      51,528  
177   Twilio, Inc., Class A*      43,735  
2,001   VeriSign, Inc.*      409,905  
9,889   Visa, Inc., Class A      1,977,504  
    

 

 

 

       7,449,832  
    

 

 

 

Leisure Products (0.0%):

  
30   Polaris, Inc.      2,830  
    

 

 

 

Life Sciences Tools & Services (1.1%):

  
1,196   Illumina, Inc.*      369,660  
1,190   PRA Health Sciences, Inc.*      120,714  
2,500   Thermo Fisher Scientific, Inc.      1,103,799  
    

 

 

 

       1,594,173  
    

 

 

 

Machinery (1.7%):

  
4,192   Caterpillar, Inc.      625,236  
2,187   Cummins, Inc.      461,807  
2,479   Deere & Co.      549,420  
1,629   Parker Hannifin Corp.      329,612  
2,461   Pentair plc      112,640  
935   Snap-On, Inc.      137,567  
1,325   Timken Co.      71,842  
292   Woodward, Inc.      23,407  
    

 

 

 

       2,311,531  
    

 

 

 

Media (1.2%):

  
27,135   Comcast Corp., Class A      1,255,265  
681   Liberty Broadband Corp., Class C*      97,294  
4,793   News Corp., Class B      67,006  
2,042   Omnicom Group, Inc.      101,079  
20,324   Sirius XM Holdings, Inc.      108,937  
    

 

 

 

       1,629,581  
    

 

 

 

Metals & Mining (0.3%):

  
4,636   Southern Copper Corp.      209,872  
3,497   Steel Dynamics, Inc.      100,119  
1,665   Worthington Industries, Inc.      67,899  
    

 

 

 

       377,890  
    

 

 

 

Mortgage Real Estate Investment Trusts (0.0%):

  
2,648   Annaly Capital Management, Inc.      18,854  
    

 

 

 

Multiline Retail (0.4%):

  
850   Nordstrom, Inc.      10,132  
3,686   Target Corp.      580,250  
    

 

 

 

       590,382  
    

 

 

 

Multi-Utilities (1.3%):

  
5,283   Ameren Corp.      417,780  
6,141   CenterPoint Energy, Inc.      118,828  
3,873   Consolidated Edison, Inc.      301,319  
6,800   Public Service Enterprise Group, Inc.      373,388  
6,161   WEC Energy Group, Inc.      597,001  
    

 

 

 

       1,808,316  
    

 

 

 

Oil, Gas & Consumable Fuels (1.9%):

  
1,266   Cheniere Energy, Inc.*      58,578  
Shares             Fair Value    

Common Stocks+, continued

  

Oil, Gas & Consumable Fuels, continued

  
11,168   Chevron Corp.    $ 804,096  
11,648   ConocoPhillips      382,520  
23,917   Exxon Mobil Corp.      821,072  
1,827   HollyFrontier Corp.      36,010  
4,021   Marathon Petroleum Corp.      117,976  
5,537   ONEOK, Inc.      143,851  
4,035   Phillips 66      209,174  
3,156   Valero Energy Corp.      136,718  
    

 

 

 

       2,709,995  
    

 

 

 

Personal Products (0.0%):

  
555   Herbalife Nutrition, Ltd.*      25,891  
    

 

 

 

Pharmaceuticals (4.5%):

  
13,337   Bristol-Myers Squibb Co.      804,088  
5,743   Eli Lilly & Co.      850,079  
33   Jazz Pharmaceuticals plc*      4,705  
14,893   Johnson & Johnson      2,217,270  
15,764   Merck & Co., Inc.      1,307,624  
31,876   Pfizer, Inc.      1,169,849  
    

 

 

 

       6,353,615  
    

 

 

 

Professional Services (0.2%):

  
198   CoStar Group, Inc.*      168,005  
983   ManpowerGroup, Inc.      72,083  
1,093   TransUnion      91,954  
    

 

 

 

       332,042  
    

 

 

 

Road & Rail (0.9%):

  
466   Canadian Pacific Railway, Ltd.      141,864  
7,921   CSX Corp.      615,224  
2,017   J.B. Hunt Transport Services, Inc.      254,908  
1,481   Lyft, Inc., Class A*      40,802  
1,270   Old Dominion Freight Line, Inc.      229,768  
1,047   Uber Technologies, Inc.*      38,195  
    

 

 

 

       1,320,761  
    

 

 

 

Semiconductors & Semiconductor Equipment (5.2%):   
6,597   Advanced Micro Devices, Inc.*      540,888  
3,873   Analog Devices, Inc.      452,134  
2,502   Broadcom, Inc.      911,529  
23,659   Intel Corp.      1,225,063  
3,176   Marvell Technology Group, Ltd.      126,087  
7,972   Micron Technology, Inc.*      374,365  
3,228   NVIDIA Corp.      1,747,058  
7,121   Qualcomm, Inc.      837,999  
2,163   Teradyne, Inc.      171,872  
6,562   Texas Instruments, Inc.      936,988  
    

 

 

 

       7,323,983  
    

 

 

 

Software (9.5%):

  
2,955   Adobe, Inc.*      1,449,222  
3,810   Cadence Design Systems, Inc.*      406,260  
1,598   Fortinet, Inc.*      188,260  
38,080   Microsoft Corp.      8,009,367  
2,355   Nuance Communications, Inc.*      78,162  
14,106   Oracle Corp.      842,128  
674   Palo Alto Networks, Inc.*      164,962  
427   Paycom Software, Inc.*      132,925  
849   PTC, Inc.*      70,229  
5,176   salesforce.com, Inc.*      1,300,833  
1,154   ServiceNow, Inc.*      559,690  
466   SS&C Technologies Holdings, Inc.      28,202  
707   Workday, Inc., Class A*      152,097  
48   Zoom Video Communications, Inc., Class A*      22,565  
    

 

 

 

       13,404,902  
    

 

 

 

Specialty Retail (2.6%):

  
2,295   American Eagle Outfitters, Inc.      33,989  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Gateway Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts
Shares
Notional
Amount or
Principal
Amount
            Fair Value    

Common Stocks+, continued

  

Specialty Retail, continued

  
369   Burlington Stores, Inc.*    $ 76,047  
785   Foot Locker, Inc.      25,929  
6,545   Home Depot, Inc. (The)      1,817,612  
6,079   Lowe’s Cos., Inc.      1,008,263  
1,012   Tiffany & Co.      117,240  
8,717   TJX Cos., Inc. (The)      485,101  
    

 

 

 

       3,564,181  
    

 

 

 

Technology Hardware, Storage & Peripherals (6.7%):   
80,665   Apple, Inc.      9,341,814  
473   Dell Technologies, Inc., Class C*      32,017  
    

 

 

 

       9,373,831  
    

 

 

 

Textiles, Apparel & Luxury Goods (0.8%):

  
515   Lululemon Athletica, Inc.*      169,626  
7,244   Nike, Inc., Class B      909,412  
    

 

 

 

       1,079,038  
    

 

 

 

Tobacco (1.0%):

  
13,932   Altria Group, Inc.      538,332  
10,699   Philip Morris International, Inc.      802,318  
    

 

 

 

       1,340,650  
    

 

 

 

Trading Companies & Distributors (0.1%):

  
601   GATX Corp.      38,314  
801   HD Supply Holdings, Inc.*      33,033  
    

 

 

 

       71,347  
    

 

 

 

Total Common Stocks (Cost $71,656,720)

     137,218,924  
  

 

 

 

Purchased Options (1.2%):

  

Total Purchased Options (Cost $2,131,117)

     1,693,385  
  

 

 

 

Unaffiliated Investment Companies (2.8%):

  

Money Markets (2.8%):

  
3,841,028   Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(a)      3,841,028  
    

 

 

 

Total Unaffiliated Investment Companies (Cost $3,841,028)

     3,841,028  
  

 

 

 

Total Investment Securities

(Cost $77,628,865) - 102.1%

     142,753,337  

Net other assets (liabilities) - (2.1)%

     (2,920,514)  
  

 

 

 

Net Assets - 100.0%

     $139,832,823  
  

 

 

 

Percentages indicated are based on net assets as of September 30, 2020.

 

ADR   -      American Depository Receipt
REIT       -      Real Estate Investment Trust

 

*

Non-income producing security.

+

All or a portion of each common stock has been pledged as collateral for outstanding call options written.

Represents less than 0.05%.

(a)

The rate represents the effective yield at September 30, 2020.

    

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Gateway Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

At September 30, 2020, the Fund’s exchange-traded options purchased were as follows:

 

  
Description    Put/    
Call    
   Strike Price     

    Expiration

    Date

     Contracts     

Notional

Amount(a)

     Fair Value  

S&P 500 Index

   Put               2875.00 USD          11/20/20        41      $ 117,875      $ 105,575  

S&P 500 Index

   Put      2900.00 USD          11/20/20        41        118,900        116,645  

S&P 500 Index

   Put      2950.00 USD          11/20/20        82        241,900        284,130  

S&P 500 Index

   Put      3100.00 USD          11/20/20        62        192,200        372,930  

S&P 500 Index

   Put      3000.00 USD          12/18/20        61        183,000        431,575  

S&P 500 Index

   Put      3100.00 USD          12/18/20        41        127,100        382,530  
                 

 

 

 

Total (Cost $2,131,117)

               $ 1,693,385  
              

 

 

 

At September 30, 2020, the Fund’s exchange-traded options written were as follows:

 

 

  
Description    Put/    
Call    
   Strike Price      Expiration
Date
     Contracts      Notional
Amount(a)
     Fair Value  

S&P 500 Index

   Call      3350.00 USD          10/16/20        45      $ 150,750      $ (278,550)  

S&P 500 Index

   Call      3400.00 USD          10/16/20        45        153,000        (166,275)  

S&P 500 Index

   Call      3450.00 USD          10/16/20        45        155,250        (89,550)  

S&P 500 Index

   Call      3425.00 USD          10/30/20        45        154,125        (215,550)  

S&P 500 Index

   Call      3425.00 USD          11/6/20        45        154,125        (309,825)  

S&P 500 Index

   Call      3275.00 USD          11/20/20        44        144,100        (764,500)  

S&P 500 Index

   Call      3500.00 USD          11/20/20        45        157,500        (241,650)  

S&P 500 Index

   Call      3525.00 USD          11/20/20        45        158,625        (203,175)  

S&P 500 Index

   Call      3550.00 USD          11/20/20        44        156,200        (165,660)  
                 

 

 

 

Total (Premiums $3,445,200)

               $ (2,434,735)  
              

 

 

 

 

(a)     Notional amount is expressed as the number of contracts multiplied by the strike price of the underlying asset.

 

See accompanying notes to the schedules of portfolio investments.


AZL International Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    
Common Stocks (98.1%):   
Aerospace & Defense (0.9%):   
60,211   Airbus SE    $ 4,369,862  
331,261   BAE Systems plc      2,048,629  
260   Dassault Aviation SA      220,666  
2,648   Elbit Systems, Ltd.      321,794  
46,044   Leonardo SpA      269,193  
5,574   MTU Aero Engines AG      926,946  
209,920   Rolls-Royce Holdings plc^      348,251  
32,995   Safran SA*      3,246,433  
151,200   Singapore Technologies Engineering, Ltd.      385,429  
11,384   Thales SA      852,314  
    

 

 

 

       12,989,517  
    

 

 

 

Air Freight & Logistics (0.5%):   
80,642   Bollore, Inc.      300,965  
102,242   Deutsche Post AG      4,661,777  
15,800   SG Holdings Co., Ltd.      821,319  
33,000   Yamato Holdings Co., Ltd.      868,776  
    

 

 

 

       6,652,837  
    

 

 

 

Airlines (0.1%):   
11,500   ANA Holdings, Inc.^      266,483  
24,510   Deutsche Lufthansa AG, Registered Shares*^      211,238  
11,770   Japan Airlines Co., Ltd.      220,983  
83,673   Qantas Airways, Ltd.      243,739  
131,950   Singapore Airlines, Ltd.      337,350  
    

 

 

 

       1,279,793  
    

 

 

 

Auto Components (0.8%):   
17,400   Aisin Sieki Co., Ltd.      556,412  
56,000   Bridgestone Corp.      1,769,108  
17,593   Compagnie Generale des Establissements Michelin SCA, Class B      1,882,303  
11,503   Continental AG      1,246,832  
44,500   Denso Corp.      1,949,494  
7,093   Faurecia SA      306,267  
10,300   Koito Manufacturing Co., Ltd.      525,172  
15,600   NGK Spark Plug Co., Ltd.      272,190  
35,055   Pirelli & C SpA*      150,129  
12,500   Stanley Electric Co., Ltd.      358,752  
80,600   Sumitomo Electric Industries, Ltd.      905,817  
19,400   Sumitomo Rubber Industries, Ltd.      179,982  
7,200   Toyoda Gosei Co., Ltd.      165,047  
14,800   Toyota Industries Corp.      935,973  
24,500   Valeo SA      748,709  
14,700   Yokohama Rubber Co., Ltd. (The)      209,253  
    

 

 

 

       12,161,440  
    

 

 

 

Automobiles (2.6%):   
34,344   Bayerische Motoren Werke AG (BMW)      2,493,414  
88,373   Daimler AG, Registered Shares      4,764,526  
12,911   Ferrari NV      2,363,007  
115,632   Fiat Chrysler Automobiles NV      1,415,432  
168,900   Honda Motor Co., Ltd.      3,985,597  
57,100   Isuzu Motors, Ltd.      500,303  
55,200   Mazda Motor Corp.      322,825  
79,200   Mitsubishi Motors Corp.      174,847  
241,200   Nissan Motor Co., Ltd.*      857,388  
58,744   PSA Peugeot Citroen SA*      1,059,043  
20,695   Renault SA*      534,117  
62,200   Subaru Corp.      1,207,635  
37,400   Suzuki Motor Corp.      1,602,127  
218,866   Toyota Motor Corp.      14,477,760  
3,517   Volkswagen AG*      614,739  
Shares             Fair Value    
Common Stocks, continued   
Automobiles, continued   
28,200   Yamaha Motor Co., Ltd.    $ 410,103  
    

 

 

 

       36,782,863  
    

 

 

 

Banks (6.8%):   
44,661   ABN AMRO Group NV*      373,413  
13,500   Aozora Bank, Ltd.^      224,377  
292,856   Australia & New Zealand Banking Group, Ltd.      3,624,890  
694,348   Banco Bilbao Vizcaya Argentaria SA      1,918,783  
1,719,283   Banco Santander SA      3,202,562  
120,319   Bank Hapoalim BM      642,736  
147,597   Bank Leumi Le-Israel Corp.      649,703  
128,600   Bank of East Asia, Ltd. (The)^      237,092  
5,200   Bank of Kyoto, Ltd. (The)      251,250  
67,553   Bankinter SA      290,617  
3,273   Banque Cantonale Vaudois, Registered Shares      331,884  
1,804,923   Barclays plc      2,270,817  
115,162   BNP Paribas SA      4,171,347  
394,000   BOC Hong Kong Holdings, Ltd.      1,045,218  
372,132   CaixaBank SA      788,931  
50,300   Chiba Bank, Ltd. (The)      277,622  
107,038   Commerzbank AG      526,019  
182,256   Commonwealth Bank of Australia      8,328,192  
113,100   Concordia Financial Group, Ltd.      394,305  
115,390   Credit Agricole SA      1,008,471  
70,631   Danske Bank A/S      956,930  
186,700   DBS Group Holdings, Ltd.      2,746,749  
101,300   DNB ASA*      1,399,920  
28,120   Erste Group Bank AG*      588,009  
64,240   Finecobank Banca Fineco SpA      883,818  
16,300   Fukuoka Financial Group, Inc.      274,466  
77,000   Hang Seng Bank, Ltd.      1,143,022  
2,095,184   HSBC Holdings plc      8,138,093  
407,419   ING Groep NV*      2,884,520  
1,700,322   Intesa Sanpaolo SpA*      3,192,350  
117,795   Isreal Discount Bank      317,681  
39,400   Japan Post Bank Co., Ltd.      307,773  
25,445   KBC Group NV      1,273,952  
7,331,450   Lloyds Banking Group plc*      2,487,493  
101,160   Mebuki Financial Group, Inc.      229,553  
61,717   Mediobanca SpA      483,916  
1,255,900   Mitsubishi UFJ Financial Group, Inc.^      4,984,651  
15,515   Mizrahi Tefahot Bank, Ltd.      275,077  
246,764   Mizuho Financial Group, Inc.^      3,082,901  
331,133   National Australia Bank, Ltd.      4,224,152  
511,533   Natwest Group plc      698,324  
337,035   Nordea Bank AB*      2,568,399  
341,299   Oversea-Chinese Banking Corp., Ltd.      2,120,946  
17,372   Raiffeisen International Bank-Holding AG*      265,536  
209,987   Resona Holdings, Inc.^      715,749  
57,800   Seven Bank, Ltd.^      140,163  
14,600   Shinsei Bank, Ltd.      180,927  
41,100   Shizuoka Bank, Ltd. (The)      284,301  
166,657   Skandinaviska Enskilda Banken AB, Class A*      1,475,847  
81,956   Societe Generale      1,084,359  
277,017   Standard Chartered plc      1,269,766  
134,369   Sumitomo Mitsui Financial Group, Inc.^      3,739,504  
34,103   Sumitomo Mitsui Trust Holdings, Inc.      907,594  
158,850   Svenska Handelsbanken AB, Class A*      1,334,683  
92,422   Swedbank AB, Class A*      1,446,054  
222,943   Unicredit SpA      1,838,316  
123,173   United Overseas Bank, Ltd.      1,729,566  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL International Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    
Common Stocks, continued   
Banks, continued   
375,445   Westpac Banking Corp.    $ 4,529,200  
    

 

 

 

       96,762,489  
    

 

 

 

Beverages (2.0%):   
78,973   Anheuser-Busch InBev NV      4,262,247  
47,200   Asahi Breweries, Ltd.      1,644,188  
164,100   Budweiser Brewing Co. APAC, Ltd.      479,385  
10,749   Carlsberg A/S, Class B      1,447,650  
48,245   Coca-Cola Amatil, Ltd.      328,891  
14,800   Coca-Cola Bottlers Japan Holdings, Inc.      247,767  
20,200   Coca-Cola European Partners plc      794,327  
21,123   Coca-Cola HBC AG      522,045  
58,641   David Campari-Milano NV      640,861  
242,024   Diageo plc      8,289,744  
11,965   Heineken Holding NV      931,059  
26,994   Heineken NV      2,398,563  
5,800   ITO EN, Ltd.      413,858  
84,200   Kirin Holdings Co., Ltd.      1,581,671  
21,825   Pernod Ricard SA      3,482,625  
2,253   Remy Cointreau SA      411,197  
14,400   Suntory Beverage & Food, Ltd.      541,310  
80,195   Treasury Wine Estates, Ltd.      514,452  
    

 

 

 

       28,931,840  
    

 

 

 

Biotechnology (1.1%):   
4,660   Argenx SE*      1,227,349  
3,973   BeiGene, Ltd., ADR*      1,138,026  
46,829   CSL, Ltd.      9,646,736  
4,569   Galapagos NV*      648,883  
6,756   Genmab A/S*      2,453,689  
31,104   Grifols SA^      896,297  
9,300   Peptidream, Inc.*      437,038  
    

 

 

 

       16,448,018  
    

 

 

 

Building Products (1.1%):   
21,000   AGC, Inc.      615,110  
103,766   ASSA Abloy AB, Class B      2,423,023  
52,533   Compagnie de Saint-Gobain SA      2,205,369  
25,700   Daikin Industries, Ltd.      4,739,514  
3,823   Geberit AG, Registered Shares      2,265,857  
15,524   Kingspan Group plc*      1,411,783  
28,100   Lixil Group Corp.      565,072  
30,973   Nibe Industrier AB, Class B*      798,625  
15,400   TOTO, Ltd.      706,685  
    

 

 

 

       15,731,038  
    

 

 

 

Capital Markets (2.6%):   
97,968   3i Group plc      1,257,334  
6,029   Amundi SA      424,987  
20,108   ASX, Ltd.      1,177,535  
250,362   Credit Suisse Group AG      2,506,494  
146,900   Daiwa Securities Group, Inc.^      616,658  
202,098   Deutsche Bank AG, Registered Shares*      1,703,742  
19,502   Deutsche Boerse AG      3,424,502  
25,900   EQT AB      501,471  
33,742   Hargreaves Lansdown plc      676,254  
124,393   Hong Kong Exchanges & Clearing, Ltd.      5,847,204  
53,300   Japan Exchange Group, Inc.^      1,491,785  
22,896   Julius Baer Group, Ltd.      976,350  
32,885   London Stock Exchange Group plc      3,761,359  
34,405   Macquarie Group, Ltd.      2,954,687  
12,857   Magellan Financial Group, Ltd.      523,906  
101,059   Natixis      227,101  
322,400   Nomura Holdings, Inc.      1,470,915  
1,924   Partners Group Holding AG      1,770,894  
24,290   SBI Holdings, Inc.      628,611  
Shares             Fair Value    
Common Stocks, continued   
Capital Markets, continued   
12,878   Schroders plc    $ 448,727  
84,800   Singapore Exchange, Ltd.      570,797  
56,912   St. James Place plc      679,904  
380,318   UBS Group AG      4,246,896  
    

 

 

 

       37,888,113  
    

 

 

 

Chemicals (3.8%):   
48,853   Air Liquide SA      7,751,200  
17,400   Air Water, Inc.      235,419  
20,106   Akzo Nobel NV      2,035,982  
6,889   Arkema SA      730,756  
131,800   Asahi Kasei Corp.      1,150,697  
94,834   BASF SE      5,774,131  
10,903   Christian Hansen Holding A/S      1,212,009  
20,935   Clariant AG      411,707  
17,715   Covestro AG      879,473  
13,596   Croda International plc      1,097,482  
20,300   Daicel Corp.      146,321  
883   EMS-Chemie Holding AG^      792,504  
20,951   Evonik Industries AG      542,711  
6,565   Fuchs Petrolub AG      333,822  
948   Givaudan SA, Registered Shares      4,087,014  
71,434   ICL Group, Ltd.      252,320  
  International Flavors & Fragrances, Inc.      47  
20,108   Johnson Matthey plc      607,957  
22,300   JSR Corp.      529,004  
18,300   Kansai Paint Co., Ltd.      454,603  
17,761   Koninklijke DSM NV      2,926,579  
32,800   Kuraray Co., Ltd.      318,594  
9,160   Lanxess AG      525,644  
136,800   Mitsubishi Chemical Holdings Corp.^      789,953  
17,500   Mitsubishi Gas Chemical Co., Inc.      324,715  
19,500   Mitsui Chemicals, Inc.      471,787  
14,800   Nippon Paint Holdings Co., Ltd.      1,523,284  
16,500   Nippon Sanso Holdings Corp.      255,088  
13,300   Nissan Chemical Corp.      709,571  
15,800   Nitto Denko Corp.      1,030,219  
21,397   Novozymes A/S, Class B      1,346,126  
40,418   Orica, Ltd.      447,768  
36,500   Shin-Etsu Chemical Co., Ltd.      4,764,727  
13,500   Showa Denko K.K.      247,481  
14,794   Sika AG      3,635,430  
7,931   Solvay SA      681,936  
150,700   Sumitomo Chemical Co., Ltd.      499,062  
13,207   Symrise AG      1,826,856  
20,600   Teijin, Ltd.      319,444  
146,700   Toray Industries, Inc.      670,936  
27,300   Tosoh Corp.      443,938  
20,861   Umicore SA      868,510  
18,917   Yara International ASA      728,793  
    

 

 

 

       54,381,600  
    

 

 

 

Commercial Services & Supplies (0.5%):   
157,013   Brambles, Ltd.      1,181,760  
26,700   Dai Nippon Printing Co., Ltd.      540,893  
24,560   Edenred      1,101,757  
10,000   Park24 Co., Ltd.      161,453  
194,716   Rentokil Initial plc*      1,339,832  
21,500   SECOM Co., Ltd.      1,964,818  
31,678   Securitas AB, Class B*      485,009  
7,800   Sohgo Security Services Co., Ltd.      371,728  
26,200   Toppan Printing Co., Ltd.      369,074  
    

 

 

 

       7,516,324  
    

 

 

 

Communications Equipment (0.4%):   
586,595   Nokia OYJ*      2,298,932  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL International Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    
Common Stocks, continued   
Communications Equipment, continued   
303,299   Telefonaktiebolaget LM Ericsson, Class B^    $ 3,317,550  
    

 

 

 

       5,616,482  
    

 

 

 

Construction & Engineering (0.8%):   
26,679   ACS Actividades de Construccion y Servicios SA      604,397  
23,166   Bouygues SA      803,036  
11,842   Cimic Group, Ltd.*      157,740  
8,371   Eiffage SA      682,183  
50,429   Ferrovial SA      1,223,223  
2,182   Hochtief AG      169,842  
23,600   JGC Holdings Corp.      245,164  
49,100   Kajima Corp.      588,168  
66,800   Obayashi Corp.      605,499  
59,700   Shimizu Corp.      447,767  
36,273   Skanska AB, Class B*      764,598  
20,200   Taisei Corp.      680,748  
52,868   Vinci SA      4,409,222  
    

 

 

 

       11,381,587  
    

 

 

 

Construction Materials (0.5%):   
82,429   CRH plc      2,976,240  
15,340   HeidelbergCement AG      940,862  
44,879   James Hardie Industries SE      1,068,737  
53,802   LafargeHolcim, Ltd., Registered Shares      2,453,148  
11,200   Taiheiyo Cement Corp.      285,883  
    

 

 

 

       7,724,870  
    

 

 

 

Consumer Finance (0.0%):   
36,500   ACOM Co., Ltd.^      158,157  
  Isracard, Ltd.      1  
    

 

 

 

       158,158  
    

 

 

 

Containers & Packaging (0.1%):   
24,026   Smurfit Kappa Group plc      942,648  
    

 

 

 

Distributors (0.0%):   
10,588   Jardine Cycle & Carriage, Ltd.      140,478  
    

 

 

 

Diversified Consumer Services (0.0%):   
6,800   Benesse Holdings, Inc.      174,626  
    

 

 

 

Diversified Financial Services (0.8%):   
337,859   AMP, Ltd.      317,901  
3,485   Eurazeo Se*      188,589  
11,831   EXOR NV      643,733  
11,180   Groupe Bruxelles Lambert SA      1,007,542  
15,777   Industrivarden AB, Class C      420,577  
47,533   Investor AB, Class B      3,100,825  
24,510   Kinnevik AB, Class B      992,569  
7,951   L E Lundbergforetagen AB      393,461  
261,753   M&G plc      535,623  
39,200   Mitsubishi UFJ Lease & Finance Co., Ltd.      181,330  
135,500   ORIX Corp.      1,687,135  
1,676   Sofina SA      457,195  
245,114   Standard Life Aberdeen plc      713,490  
5,200   Tokyo Century Corp.^      283,017  
2,640   Wendel      239,448  
    

 

 

 

       11,162,435  
    

 

 

 

Diversified Telecommunication Services (1.9%):   
919,130   BT Group plc      1,167,824  
32,636   Cellnex Telecom SAU      1,983,234  
344,658   Deutsche Telekom AG, Registered Shares      5,773,079  
13,990   Elisa OYJ      824,498  
396,525   HKT Trust & HKT, Ltd.      525,359  
1,661   Iliad SA      305,535  
26,091   Infrastrutture Wireless Italiane SpA      289,282  
Shares             Fair Value    
Common Stocks, continued   
Diversified Telecommunication Services, continued   
381,663   Koninklijke KPN NV    $ 897,321  
134,204   Nippon Telegraph & Telephone Corp.      2,746,078  
207,606   Orange SA      2,159,986  
471,000   PCCW, Ltd.      281,506  
15,181   Proximus SADP      277,088  
827,600   Singapore Telecommunications, Ltd.      1,291,355  
191,337   Spark New Zealand, Ltd.      596,497  
2,637   Swisscom AG, Registered Shares      1,399,181  
576,307   Telecom Italia SpA      233,428  
798,592   Telecom Italia SpA      319,514  
113,195   Telefonica Deutschland Holding AG      290,305  
504,636   Telefonica SA      1,730,610  
74,291   Telenor ASA      1,245,455  
252,388   Telia Co AB      1,038,349  
444,722   Telstra Corp., Ltd.      886,973  
32,942   TPG Telecom, Ltd.*      174,615  
9,884   United Internet AG, Registered Shares      378,170  
    

 

 

 

       26,815,242  
    

 

 

 

Electric Utilities (2.3%):   
193,004   AusNet Services      261,197  
68,800   Chubu Electric Power Co., Inc.      836,953  
32,400   Chugoku Electric Power Co., Inc. (The)^      405,706  
65,570   CK Infrastructure Holdings, Ltd.      306,859  
168,000   CLP Holdings, Ltd.      1,566,024  
282,152   EDP - Energias de Portugal SA      1,386,624  
63,294   Electricite de France      669,514  
3,358   Elia Group SA/NV      335,231  
33,934   Endesa SA      907,445  
838,818   Enel SpA      7,282,688  
45,200   Fortum OYJ      914,733  
283,500   HK Electric Investments, Ltd.      292,813  
612,842   Iberdrola SA      7,541,828  
76,000   Kansai Electric Power Co., Inc. (The)      736,814  
36,800   Kyushu Electric Power Co., Inc.      334,305  
61,309   Mercury NZ, Ltd.      206,792  
19,682   Orsted A/S      2,715,390  
139,500   Power Assets Holdings, Ltd.      733,717  
45,101   Red Electrica Corp SA      846,146  
106,431   Scottish & Southern Energy plc      1,656,678  
39,480   Siemens Energy AG*      1,064,500  
140,073   Terna SpA      981,263  
45,200   Tohoku Electric Power Co., Inc.      452,987  
150,600   Tokyo Electric Power Co. Holdings, Inc.*      414,104  
6,614   Verbund AG, Class A      361,055  
    

 

 

 

       33,211,366  
    

 

 

 

Electrical Equipment (1.9%):   
191,006   ABB, Ltd.      4,842,360  
13,400   Fuji Electric Co., Ltd.      423,436  
27,618   Legrand SA      2,204,574  
477,048   Melrose Industries plc      703,719  
189,300   Mitsubishi Electric Corp.      2,556,064  
46,000   Nidec Corp.^      4,278,655  
24,526   Prysmian SpA      713,060  
57,377   Schneider Electric SA      7,120,469  
24,868   Siemens Gamesa Renewable Energy      670,202  
20,460   Vestas Wind Systems A/S      3,311,238  
    

 

 

 

       26,823,777  
    

 

 

 

Electronic Equipment, Instruments & Components (2.0%):   
38,107   Halma plc      1,148,343  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL International Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    
Common Stocks, continued   
Electronic Equipment, Instruments & Components, continued   
15,300   Hamamatsu Photonics KK    $ 771,038  
29,338   Hexagon AB, Class B      2,218,176  
3,214   Hirose Electric Co., Ltd.      413,867  
101,120   Hitachi, Ltd.      3,417,301  
6,329   Ingenico Group^      979,199  
18,780   Keyence Corp.      8,753,525  
33,000   Kyocera Corp.^      1,885,821  
59,000   Murata Manufacturing Co., Ltd.      3,807,332  
18,800   Omron Corp.      1,464,603  
22,000   Shimadzu Corp.      671,245  
13,600   TDK Corp.      1,487,423  
27,200   Venture Corp., Ltd.      385,767  
25,600   Yaskawa Electric Corp.      999,856  
21,900   Yokogawa Electric Corp.      347,969  
    

 

 

 

       28,751,465  
    

 

 

 

Energy Equipment & Services (0.0%):   
50,094   Tenaris SA      249,673  
    

 

 

 

Entertainment (0.9%):   
9,600   Konami Holdings Corp.      416,176  
51,100   Nexon Co., Ltd.      1,269,240  
11,600   Nintendo Co., Ltd.      6,595,310  
9,100   Square Enix Holdings Co., Ltd.      605,111  
10,900   Toho Co., Ltd.      449,355  
9,660   UbiSoft Entertainment SA*      872,859  
85,873   Vivendi Universal SA      2,393,174  
    

 

 

 

       12,601,225  
    

 

 

 

Equity Real Estate Investment Trusts (1.4%):   
309,627   Ascendas Real Estate Investment Trust      739,374  
97,460   British Land Co. plc      423,639  
265,218   CapitaLand Commercial Trust      321,142  
249,500   CapitaLand Mall Trust      355,336  
5,451   Covivio      384,725  
195   Daiwahouse Residential Investment Corp.      499,414  
112,934   Dexus      720,585  
4,889   Gecina SA      646,736  
396   GLP J-REIT      611,403  
170,223   Goodman Group      2,190,326  
196,080   GPT Group      549,392  
2,872   Icade      161,192  
87   Japan Prime Realty Investment Corp.      270,204  
141   Japan Real Estate Investment Corp.      721,016  
258   Japan Retail Fund Investment Corp.      399,580  
20,181   Klepierre^      283,085  
67,234   Land Securities Group plc      452,638  
215,700   Link REIT (The)      1,763,272  
230,900   Mapletree Commercial Trust      330,528  
289,200   Mapletree Logistics Trust      434,546  
415,033   Mirvac Group      649,879  
130   Nippon Building Fund, Inc.      738,124  
208   Nippon Prologis REIT, Inc.      702,428  
430   Nomura Real Estate Master Fund, Inc.      540,692  
251   Orix JREIT, Inc.      387,268  
533,552   Scentre Group      844,066  
124,258   SERGO plc      1,493,436  
243,016   Stockland      659,982  
224,500   Suntec Real Estate Investment Trust      240,381  
14,782   Unibail—Rodamco-Westfield^      545,367  
281   United Urban Investment Corp.      313,426  
337,565   Vicinity Centres      333,495  
    

 

 

 

       19,706,677  
    

 

 

 

Shares             Fair Value    
Common Stocks, continued   
Food & Staples Retailing (1.7%):   
67,000   AEON Co., Ltd.    $ 1,801,321  
64,684   Carrefour SA      1,035,219  
136,564   Coles Group, Ltd.      1,665,209  
5,622   Colruyt SA      364,762  
2,200   Cosmos Pharmaceutical Corp.      382,741  
41,500   Dairy Farm International Holdings, Ltd.      157,086  
10,375   ICA Gruppen AB^      527,639  
177,104   J Sainsbury plc      435,301  
26,537   Jeronimo Martins SGPS SA      426,297  
6,700   Kobe Bussan Co., Ltd.      368,438  
112,770   Koninklijke Ahold Delhaize NV      3,337,088  
5,100   LAWSON, Inc.      243,001  
16,077   METRO AG      160,551  
78,300   Seven & I Holdings Co., Ltd.      2,420,832  
8,500   Sundrug Co., Ltd.      320,068  
1,020,201   Tesco plc      2,796,442  
3,700   Tsuruha Holdings, Inc.      523,715  
9,400   Welcia Holdings Co., Ltd.      413,341  
116,769   Wesfarmers, Ltd.      3,722,248  
244,081   William Morrison Supermarkets plc      535,700  
129,447   Woolworths Group, Ltd.      3,383,527  
    

 

 

 

       25,020,526  
    

 

 

 

Food Products (3.9%):   
78,280   A2 Milk Co., Ltd.*      796,978  
46,800   Ajinomoto Co., Inc.      962,231  
37,296   Associated British Foods plc      898,248  
316   Barry Callebaut AG, Registered Shares      702,805  
8,800   Calbee, Inc.      290,147  
10   Chocoladefabriken Lindt & Spruengli AG      890,188  
64,001   Danone SA      4,139,146  
16,434   Kerry Group plc, Class A      2,109,424  
15,300   Kikkoman Corp.      849,177  
114   Lindt & Spruengli AG      962,424  
11,552   Meiji Holdings Co., Ltd.      882,741  
46,896   Mowi ASA      832,372  
307,169   Nestle SA, Registered Shares      36,452,146  
8,400   NH Foods, Ltd.      374,918  
19,545   Nisshin Seifun Group, Inc.      311,686  
6,800   Nissin Foods Holdings Co., Ltd.      639,297  
75,580   Orkla ASA, Class A      765,316  
8,700   Toyo Suisan Kaisha, Ltd.      459,848  
993,388   WH Group, Ltd.      808,570  
189,300   Wilmar International, Ltd.      613,385  
11,800   Yakult Honsha Co., Ltd.      654,795  
13,600   Yamazaki Baking Co., Ltd.      237,567  
    

 

 

 

       55,633,409  
    

 

 

 

Gas Utilities (0.4%):   
126,055   APA Group      934,490  
31,542   Gas Natural SDG SA      632,385  
1,088,700   Hong Kong & China Gas Co., Ltd.      1,564,576  
38,000   Osaka Gas Co., Ltd.      740,456  
8,300   Toho Gas Co., Ltd.^      411,532  
38,500   Tokyo Gas Co., Ltd.      879,714  
    

 

 

 

       5,163,153  
    

 

 

 

Health Care Equipment & Supplies (2.7%):   
51,019   Alcon, Inc.      2,897,342  
17,748   Ambu A/S, Class B      502,600  
20,600   Asahi Intecc Co., Ltd.      647,182  
4,124   BioMerieux      645,492  
4,288   Carl Zeiss Meditec AG      542,644  
6,445   Cochlear, Ltd.      915,880  
12,280   Coloplast A/S, Class B      1,942,456  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL International Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    
Common Stocks, continued   
Health Care Equipment & Supplies, continued   
12,129   Demant A/S*    $ 381,626  
2,737   DiaSorin SpA      551,606  
29,312   EssilorLuxottica SA      3,985,515  
57,960   Fisher & Paykel Healthcare Corp., Ltd.      1,275,324  
12,636   GN Store Nord A/S      956,299  
38,800   HOYA Corp.      4,374,145  
94,228   Koninklijke Philips NV      4,438,557  
75,000   Microport Scientific Corp.      299,881  
120,500   Olympus Corp.      2,501,600  
3,716   Sartorius AG      1,526,321  
28,034   Siemens Healthineers AG      1,258,675  
89,716   Smith & Nephew plc      1,747,910  
5,497   Sonova Holding AG, Registered Shares*      1,394,348  
1,103   Straumann Holding AG, Registered Shares      1,109,991  
17,400   Sysmex Corp.      1,660,789  
66,900   Terumo Corp.      2,665,777  
    

 

 

 

       38,221,960  
    

 

 

 

Health Care Providers & Services (0.6%):   
18,400   Alfresa Holdings Corp.      402,578  
21,913   Fresenius Medical Care AG & Co., KGaA      1,850,060  
43,211   Fresenius SE & Co. KGaA      1,966,704  
20,100   Medipal Holdings Corp.      402,536  
5,620   Orpea*      638,217  
17,892   Ramsay Health Care, Ltd.      848,571  
44,167   Ryman Healthcare, Ltd.      412,925  
47,804   Sonic Healthcare, Ltd.      1,137,040  
6,570   Suzuken Co., Ltd.      250,449  
    

 

 

 

       7,909,080  
    

 

 

 

Health Care Technology (0.2%):   
45,700   M3, Inc.      2,838,004  
    

 

 

 

Hotels, Restaurants & Leisure (1.3%):   
19,564   Accor SA      547,129  
60,581   Aristocrat Leisure, Ltd.      1,306,194  
184,810   Compass Group plc      2,773,689  
42,677   Crown Resorts, Ltd.      269,473  
12,722   Evolution Gaming Group AB      841,278  
15,807   Flutter Entertainment plc      2,504,382  
221,000   Galaxy Entertainment Group, Ltd.      1,495,856  
628,157   Genting Singapore, Ltd.      308,696  
60,301   GVC Holdings plc*      758,840  
17,773   InterContinental Hotels Group plc*      932,925  
9,344   La Francaise des Jeux SAEM      343,139  
7,129   McDonald’s Holdings Co., Ltd.      346,843  
20,557   Melco Resorts & Entertainment, Ltd., ADR      342,274  
20,700   Oriental Land Co., Ltd.      2,900,331  
257,132   Sands China, Ltd.      1,000,609  
220,987   SJM Holdings, Ltd.      260,988  
8,851   Sodexo SA      630,228  
216,784   Tabcorp Holdings, Ltd.      520,146  
21,589   Whitbread plc      588,737  
152,000   Wynn Macau, Ltd.*      243,325  
    

 

 

 

       18,915,082  
    

 

 

 

Household Durables (1.5%):   
108,781   Barratt Developments plc      664,998  
13,067   Berkeley Group Holdings plc (The)      710,764  
19,600   Casio Computer Co., Ltd.^      316,503  
23,643   Electrolux AB, Series B, Class B      551,303  
41,082   Husqvarna AB, Class B      452,537  
16,200   Iida Group Holdings Co., Ltd.      327,584  
28,700   Nikon Corp.^      193,942  
Shares             Fair Value    
Common Stocks, continued   
Household Durables, continued   
227,700   Panasonic Corp.^    $ 1,929,083  
32,959   Persimmon plc      1,046,626  
3,700   Rinnai Corp.      361,535  
2,235   SEB SA      363,505  
37,400   Sekisui Chemical Co., Ltd.      597,947  
62,400   Sekisui House, Ltd.      1,103,749  
19,200   Sharp Corp.      237,913  
130,600   Sony Corp.      9,990,350  
349,568   Taylor Wimpey plc      486,334  
140,500   Techtronic Industries Co., Ltd.      1,847,586  
    

 

 

 

       21,182,259  
    

 

 

 

Household Products (0.9%):   
62,438   Essity AB, Class B*      2,110,716  
10,576   Henkel AG & Co. KGaA      990,511  
22,400   Lion Corp.      460,736  
12,200   Pigeon Corp.      545,142  
72,997   Reckitt Benckiser Group plc      7,115,366  
41,400   Unicharm Corp.      1,849,767  
    

 

 

 

       13,072,238  
    

 

 

 

Independent Power and Renewable Electricity Producers (0.1%):   
12,800   Electric Power Development Co., Ltd.^      197,553  
124,024   Meridian Energy, Ltd.      404,404  
21,504   Uniper SE      694,703  
    

 

 

 

       1,296,660  
    

 

 

 

Industrial Conglomerates (1.2%):   
276,744   CK Hutchison Holdings, Ltd.      1,677,922  
10,325   DCC plc      795,546  
16,095   Investment AB Latour, Class B      377,508  
23,500   Jardine Matheson Holdings, Ltd.      932,721  
23,500   Jardine Strategic Holdings, Ltd.      465,570  
9,300   Keihan Holdings Co., Ltd.      385,751  
155,300   Keppel Corp., Ltd.      509,529  
18,600   Seibu Holdings, Inc.      200,105  
78,960   Siemens AG, Registered Shares      9,982,922  
39,419   Smiths Group plc      692,890  
40,500   Toshiba Corp.      1,031,040  
    

 

 

 

       17,051,504  
    

 

 

 

Insurance (4.7%):   
19,559   Admiral Group plc      659,549  
191,169   AEGON NV      496,421  
17,693   Ageas NV      721,963  
1,250,000   AIA Group, Ltd.      12,314,370  
43,222   Allianz SE, Registered Shares+      8,289,763  
112,704   Assicurazioni Generali SpA      1,587,066  
398,927   Aviva plc      1,466,651  
200,319   AXA SA      3,697,500  
4,634   Baloise Holding AG, Registered Shares      681,848  
14,891   CNP Assurances SA      186,071  
110,100   Dai-ichi Life Holdings, Inc.      1,554,096  
144,862   Direct Line Insurance Group plc      504,158  
19,206   Gjensidige Forsikring ASA      390,108  
6,317   Hannover Rueck SE      979,137  
246,903   Insurance Australia Group, Ltd.      776,869  
158,500   Japan Post Holdings Co., Ltd.      1,081,273  
20,400   Japan Post Insurance Co., Ltd.      321,023  
612,261   Legal & General Group plc      1,483,545  
124,272   Mapfre SA      194,564  
298,241   Medibank Private, Ltd.      537,134  
45,011   MS&AD Insurance Group Holdings, Inc.      1,219,303  
14,349   Muenchener Rueckversicherungs-Gesellschaft AG      3,642,752  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL International Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    
Common Stocks, continued   
Insurance, continued   
30,993   NN Group NV    $ 1,164,009  
57,201   Poste Italiane SpA      506,640  
269,019   Prudential plc      3,839,993  
147,754   QBE Insurance Group, Ltd.      914,244  
110,215   RSA Insurance Group plc      641,022  
49,204   Sampo Oyj, Class A      1,946,362  
17,331   SCOR SA*      480,128  
34,025   Sompo Holdings, Inc.^      1,178,731  
130,608   Suncorp Group, Ltd.      793,242  
3,226   Swiss Life Holding AG, Registered Shares      1,219,186  
30,670   Swiss Re AG      2,270,686  
57,936   T&D Holdings, Inc.^      573,052  
64,900   Tokio Marine Holdings, Inc.      2,842,518  
11,889   Tryg A/S      374,798  
15,629   Zurich Insurance Group AG      5,435,456  
    

 

 

 

       66,965,231  
    

 

 

 

Interactive Media & Services (0.3%):   
25,015   Adevinta ASA*      429,248  
105,267   Auto Trader Group plc      761,304  
13,000   Kakaku.com, Inc.      343,730  
3,800   Line Corp.*      193,592  
5,276   REA Group, Ltd.      416,793  
10,889   Scout24 AG      950,313  
276,700   Z Holdings Corp.      1,848,938  
    

 

 

 

       4,943,918  
    

 

 

 

Internet & Direct Marketing Retail (0.9%):   
13,178   Delivery Hero SE*      1,515,681  
12,568   Just Eat Takeaway*      1,407,290  
8,900   Mercari, Inc.*      411,296  
47,582   Ocado Group plc*      1,681,225  
50,498   Prosus NV*      4,656,251  
92,000   Rakuten, Inc.      993,976  
15,444   Zalando SE*      1,445,407  
10,400   ZOZO, Inc.      290,102  
    

 

 

 

       12,401,228  
    

 

 

 

IT Services (1.5%):   
1,867   Adyen NV*      3,440,190  
21,871   Afterpay, Ltd.*      1,277,968  
47,008   Amadeus IT Group SA      2,608,434  
10,497   Atos SE      845,469  
16,493   Capgemini SA      2,112,093  
54,245   Computershare, Ltd.      476,162  
20,400   Fujitsu, Ltd.      2,793,777  
3,900   GMO Payment Gateway, Inc.      419,480  
9,500   Itochu Techno-Solutions Corp.      361,600  
39,303   Nexi SpA*      788,044  
32,038   Nomura Research Institute, Ltd.      941,733  
66,600   NTT Data Corp.      853,890  
7,100   OBIC Co., Ltd.      1,249,458  
10,800   Otsuka Corp.      552,776  
5,700   SCSK Corp.      318,947  
24,300   TIS, Inc.      516,542  
5,192   Wix.com, Ltd.*      1,323,181  
14,170   Worldline SA*      1,161,764  
    

 

 

 

       22,041,508  
    

 

 

 

Leisure Products (0.3%):   
20,200   Bandai Namco Holdings, Inc.      1,475,803  
18,400   Sega Sammy Holdings, Inc.      223,833  
7,500   Shimano, Inc.      1,476,835  
13,400   Yamaha Corp.      641,498  
    

 

 

 

       3,817,969  
    

 

 

 

Life Sciences Tools & Services (0.6%):   
1,339   Eurofins Scientific SE      1,059,871  
7,699   Lonza Group AG, Registered Shares      4,753,731  
Shares             Fair Value    
Common Stocks, continued   
Life Sciences Tools & Services, continued   
24,092   Qiagen NV*    $ 1,251,129  
2,954   Sartorius Stedim Biotech      1,017,273  
    

 

 

 

       8,082,004  
    

 

 

 

Machinery (3.0%):   
31,249   Alfa Laval AB      689,971  
20,369   Alstom SA*      1,013,998  
32,800   Amada Holdings Co., Ltd.      307,461  
7,942   Andritz AG      244,640  
41,212   Atlas Copco AB      1,717,741  
68,637   Atlas Copco AB, Class A      3,268,022  
103,091   CNH Industrial NV      801,083  
10,800   Daifuku Co., Ltd.      1,087,175  
41,260   Epiroc AB      574,091  
65,429   Epiroc AB, Class A      950,058  
19,700   FANUC Corp.      3,779,729  
15,509   GEA Group AG      546,624  
29,600   Hino Motors, Ltd.      191,859  
10,100   Hitachi Construction Machinery Co., Ltd.      365,809  
5,400   Hoshizaki Corp.      430,711  
23,100   JTEKT Corp.      181,062  
17,100   Kawasaki Heavy Industries, Ltd.      231,460  
6,416   Kion Group AG      550,945  
7,540   Knorr-Bremse AG      890,559  
91,600   Komatsu, Ltd.      2,016,826  
35,402   Kone OYJ, Class B      3,111,878  
106,700   Kubota Corp.      1,909,011  
9,900   Kurita Water Industries, Ltd.      326,790  
22,400   Makita Corp.      1,068,572  
39,100   MINEBEA MITSUMI, Inc.      737,817  
29,900   Misumi Group, Inc.      835,806  
34,200   Mitsubishi Heavy Industries, Ltd.      759,731  
9,500   Miura Co., Ltd.      464,586  
10,700   Nabtesco Corp.      389,918  
25,300   NGK Insulators, Ltd.      361,031  
32,800   NSK, Ltd.      251,090  
117,303   Sandvik AB*      2,289,200  
4,175   Schindler Holding AG      1,140,229  
2,127   Schindler Holding AG, Registered Shares      578,820  
38,524   SKF AB, Class B      794,195  
5,900   SMC Corp.      3,284,157  
7,350   Spirax-Sarco Engineering plc      1,044,791  
10,400   Sumitomo Heavy Industries, Ltd.      241,981  
12,100   THK Co., Ltd.      303,620  
154,867   Volvo AB, Class B      2,975,713  
45,633   Wartsila OYJ Abp, Class B      359,026  
306,850   Yangzijiang Shipbuilding Holdings, Ltd.      223,805  
    

 

 

 

       43,291,591  
    

 

 

 

Marine (0.2%):   
317   A.P. Moeller - Maersk A/S, Class A      463,131  
662   A.P. Moeller - Maersk A/S, Class B      1,049,757  
5,556   Kuehne & Nagel International AG, Registered Shares      1,077,627  
17,000   Nippon Yusen KK      294,756  
    

 

 

 

       2,885,271  
    

 

 

 

Media (0.4%):   
65,352   Altice Europe NV, Class A*      312,951  
10,400   Cyberagent, Inc.      643,275  
23,277   Dentsu Group, Inc.      687,862  
22,700   Hakuhodo DY Holdings, Inc.      293,387  
160,342   Informa plc*      777,275  
8,903   JCDecaux SA      154,246  
82,101   Pearson plc      580,535  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL International Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    
Common Stocks, continued   
Media, continued   
23,041   Publicis Groupe SA    $ 746,587  
8,826   Schibsted ASA, Class B*      352,835  
40,089   SES Global, Class A      283,582  
3,983   Telenet Group Holding NV      154,376  
123,545   WPP plc      964,674  
    

 

 

 

       5,951,585  
    

 

 

 

Metals & Mining (2.8%):   
127,487   Anglo American plc      3,078,053  
38,773   Antofagasta plc      511,115  
74,555   ArcelorMittal*      994,140  
216,492   BHP Group plc      4,614,484  
304,549   BHP Group, Ltd.      7,835,275  
50,530   BlueScope Steel, Ltd.      461,185  
28,378   Boliden AB      844,088  
176,023   Evolution Mining, Ltd.      730,633  
60,439   EVRAZ plc      269,438  
177,867   Fortescue Metals Group, Ltd.      2,081,651  
1,023,287   Glencore plc*      2,119,557  
23,000   Hitachi Metals, Ltd.      353,617  
53,100   JFE Holdings, Inc.*      371,429  
5,000   Maruichi Steel Tube, Ltd.      125,066  
12,800   Mitsubishi Materials Corp.      252,744  
83,307   Newcrest Mining, Ltd.      1,877,274  
83,948   Nippon Steel Corp.*      793,005  
139,445   Norsk Hydro ASA*      384,047  
73,739   Northern Star Resources, Ltd.      724,927  
115,415   Rio Tinto plc      6,962,609  
38,717   Rio Tinto, Ltd.      2,620,741  
503,161   South32, Ltd.      737,630  
23,300   Sumitomo Metal & Mining Co., Ltd.      721,378  
40,763   ThyssenKrupp AG*^      205,996  
10,996   Voestalpine AG      289,045  
    

 

 

 

       39,959,127  
    

 

 

 

Multiline Retail (0.2%):   
37,900   Isetan Mitsukoshi Holdings, Ltd.^      201,056  
20,000   Marui Group Co., Ltd.      383,714  
13,924   Next plc      1,066,906  
43,600   Pan Pacific International Holdings Corp.      1,015,807  
25,400   Ryohin Keikaku Co., Ltd.      421,962  
    

 

 

 

       3,089,445  
    

 

 

 

Multi-Utilities (1.0%):   
66,544   AGL Energy, Ltd.      650,190  
233,780   E.ON SE      2,582,641  
190,117   Engie Group      2,540,692  
362,737   National Grid plc      4,174,937  
65,249   RWE AG      2,445,969  
35,447   Suez      656,127  
54,326   Veolia Environnement SA      1,171,446  
    

 

 

 

       14,222,002  
    

 

 

 

Oil, Gas & Consumable Fuels (2.8%):   
25,483   Ampol, Ltd.      438,199  
2,092,621   BP plc      6,074,582  
22,895   Enagas SA      527,408  
309,320   ENEOS Holdings, Inc.      1,104,722  
265,109   ENI SpA      2,073,652  
102,561   Equinor ASA      1,448,226  
50,007   Galp Energia SGPS SA      463,463  
20,287   Idemitsu Kosan Co., Ltd.      432,287  
101,400   INPEX Corp.      542,539  
7,184   Koninklijke Vopak NV      404,695  
20,139   Lundin Energy AB      399,056  
43,655   Neste Oyj      2,295,262  
214,511   Oil Search, Ltd.      407,319  
15,669   OMV AG*      427,988  
Shares             Fair Value    
Common Stocks, continued   
Oil, Gas & Consumable Fuels, continued   
174,874   Origin Energy, Ltd.    $ 540,633  
149,869   Repsol SA      1,000,885  
421,804   Royal Dutch Shell plc, Class A      5,219,766  
384,597   Royal Dutch Shell plc, Class B      4,651,597  
172,375   Santos, Ltd.      604,798  
217,615   Snam SpA      1,118,794  
255,548   TOTAL SE^      8,772,659  
12,993   Washington H. Soul Pattinson & Co., Ltd.      219,251  
100,670   Woodside Petroleum, Ltd.      1,271,290  
    

 

 

 

       40,439,071  
    

 

 

 

Paper & Forest Products (0.3%):   
50,546   Mondi plc      1,063,564  
91,400   Oji Holdings Corp.      419,523  
60,679   Stora Enso OYJ, Registered Shares, Class R      950,760  
60,140   Svenska Cellulosa AB SCA, Class B*      824,714  
54,690   UPM-Kymmene OYJ      1,664,343  
    

 

 

 

       4,922,904  
    

 

 

 

Personal Products (2.3%):   
10,142   Beiersdorf AG      1,153,186  
49,600   Kao Corp.      3,722,521  
5,100   Kobayashi Pharmaceutical Co., Ltd.      493,734  
3,600   Kose Corp.      440,233  
26,008   L’Oreal SA      8,462,016  
10,700   Pola Orbis Holdings, Inc.      202,116  
41,500   Shiseido Co., Ltd.      2,381,629  
150,279   Unilever NV      9,071,262  
120,279   Unilever plc      7,409,943  
    

 

 

 

       33,336,640  
    

 

 

 

Pharmaceuticals (9.3%):   
192,900   Astellas Pharma, Inc.      2,872,022  
135,697   AstraZeneca plc      14,766,601  
102,243   Bayer AG, Registered Shares      6,389,470  
68,800   Chugai Pharmaceutical Co., Ltd.      3,087,778  
174,600   Daiichi Sankyo Co., Ltd.      5,365,962  
26,000   Eisai Co., Ltd.      2,372,863  
519,531   GlaxoSmithKline plc      9,729,960  
7,816   H. Lundbeck A/S      257,700  
15,806   Hikma Pharmaceuticals plc      529,301  
5,000   Hisamitsu Pharmaceutical Co., Inc.      255,302  
3,643   Ipsen SA      382,147  
26,800   Kyowa Kirin Co., Ltd.      761,336  
13,298   Merck KGaA      1,941,572  
4,200   Nippon Shinyaku Co., Ltd.      346,330  
229,175   Novartis AG, Registered Shares      19,921,005  
177,376   Novo Nordisk A/S, Class B      12,323,376  
37,900   Ono Pharmaceutical Co., Ltd.      1,190,007  
11,803   Orion OYJ, Class B      534,090  
40,000   Otsuka Holdings Co., Ltd.      1,696,672  
10,320   Recordati SpA      527,924  
72,515   Roche Holding AG      24,816,091  
116,627   Sanofi      11,692,638  
37,900   Santen Pharmaceutical Co., Ltd.      777,247  
27,500   Shionogi & Co., Ltd.      1,471,488  
17,800   Sumitomo Dainippon Pharma Co., Ltd.      234,424  
3,300   Taisho Pharmaceutical Holdings Co., Ltd.      217,668  
162,873   Takeda Pharmacuetical Co., Ltd.      5,802,683  
116,196   Teva Pharmaceutical Industries, Ltd., ADR*      1,046,926  
12,888   UCB SA      1,463,394  
4,861   Vifor Pharma AG      661,898  
    

 

 

 

       133,435,875  
    

 

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL International Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    
Common Stocks, continued   
Professional Services (1.7%):   
15,635   Adecco SA, Registered Shares    $ 826,456  
31,384   Bureau Veritas SA      704,830  
93,207   Experian plc      3,487,225  
16,942   Intertek Group plc      1,377,837  
16,200   Nihon M&A Center, Inc.      924,195  
16,700   Persol Holdings Co., Ltd.      271,665  
12,022   Randstad NV      627,230  
132,100   Recruit Holdings Co., Ltd.      5,242,131  
197,655   RELX plc      4,374,254  
32,954   Seek, Ltd.      504,008  
619   SGS SA, Registered Shares      1,659,605  
5,992   Teleperformance      1,845,088  
28,248   Wolters Kluwer NV      2,411,404  
    

 

 

 

       24,255,928  
    

 

 

 

Real Estate Management & Development (1.7%):   
10,760   AEON Mall Co., Ltd.      151,275  
103,076   Aroundtown SA      518,048  
4,496   Azrieli Group      200,429  
74,028   BGP Holdings plc*(a)       
266,800   CapitaLand, Ltd.      533,221  
47,900   City Developments, Ltd.      269,472  
276,244   CK Asset Holdings, Ltd.      1,347,861  
7,000   Daito Trust Construction Co., Ltd.      620,717  
57,700   Daiwa House Industry Co., Ltd.^      1,482,725  
35,178   Deutsche Wohnen SE      1,759,973  
203,000   Hang Lung Properties, Ltd.      517,673  
150,956   Henderson Land Development Co., Ltd.      556,916  
126,900   Hongkong Land Holdings, Ltd.      472,605  
32,500   Hulic Co., Ltd.      304,876  
75,775   Kerry Properties, Ltd.      193,625  
6,974   LEG Immobilien AG      995,431  
70,590   Lend Lease Group      559,008  
121,500   Mitsubishi Estate Co., Ltd.      1,836,620  
97,400   Mitsui Fudosan Co., Ltd.      1,696,731  
153,655   New World Development Co., Ltd.      748,061  
12,300   Nomura Real Estate Holdings, Inc.      233,983  
50,868   Pacific Century Premium Developments, Ltd.*      13,382  
310,601   Sino Land Co., Ltd.      361,487  
32,700   Sumitomo Realty & Development Co., Ltd.      967,572  
136,500   Sun Hung Kai Properties, Ltd.      1,749,975  
44,964   Swire Pacific, Ltd., Class A      218,037  
122,000   Swire Properties, Ltd.      322,370  
8,114   Swiss Prime Site AG      736,646  
61,000   Tokyu Fudosan Holdings Corp.      262,654  
51,296   UOL Group, Ltd.      251,305  
52,930   Vonovia SE      3,636,823  
177,300   Wharf Real Estate Investment Co., Ltd.      725,822  
    

 

 

 

       24,245,323  
    

 

 

 

Road & Rail (1.1%):   
192,112   Aurizon Holdings, Ltd.      586,102  
14,900   Central Japan Railway Co.      2,137,961  
21,540   DSV PANALPINA A/S      3,515,819  
31,013   East Japan Railway Co.      1,911,227  
23,800   Hankyu Hanshin Holdings, Inc.      765,747  
23,600   Keikyu Corp.^      362,547  
11,100   Keio Corp.      686,500  
13,700   Keisei Electric Railway Co., Ltd.      387,359  
18,300   Kintetsu Group Holdings Co., Ltd.      780,782  
16,600   Kyushu Railway Co.      354,668  
150,494   MTR Corp., Ltd.      746,888  
19,200   Nagoya Railroad Co., Ltd.^      526,193  
6,900   Nippon Express Co., Ltd.      401,727  
Shares             Fair Value    
Common Stocks, continued   
Road & Rail, continued   
31,400   Odakyu Electric Railway Co., Ltd.^    $ 790,120  
20,200   Tobu Railway Co., Ltd.      624,018  
50,200   Tokyu Corp.      651,656  
17,200   West Japan Railway Co.      850,247  
    

 

 

 

       16,079,561  
    

 

 

 

Semiconductors & Semiconductor Equipment (2.1%):   
20,600   Advantest Corp.      1,000,703  
29,200   ASM Pacific Technology, Ltd.      298,475  
43,935   ASML Holding NV      16,198,358  
2,800   Disco Corp.      681,406  
128,348   Infineon Technologies AG      3,630,100  
8,200   Lasertec Corp.      678,265  
78,700   Renesas Electronics Corp.*      576,504  
9,100   ROHM Co., Ltd.      702,752  
66,711   STMicroelectronics NV      2,038,923  
27,200   SUMCO Corp.      382,612  
15,500   Tokyo Electron, Ltd.      4,057,384  
    

 

 

 

       30,245,482  
    

 

 

 

Software (1.9%):   
5,984   AVEVA Group plc      369,936  
11,764   Check Point Software Technologies, Ltd.*      1,415,680  
3,816   CyberArk Software, Ltd.*      394,651  
13,663   Dassault Systemes SA      2,548,310  
6,278   Nemetschek SE      459,760  
6,468   NICE Systems, Ltd.*      1,466,391  
3,700   Oracle Corp.      401,202  
108,635   Sage Group plc      1,005,896  
107,654   SAP SE      16,762,182  
14,132   TeamViewer AG*      697,760  
6,783   Temenos AG      913,690  
13,300   Trend Micro, Inc.      811,652  
16,409   WiseTech Global, Ltd.      308,456  
    

 

 

 

       27,555,566  
    

 

 

 

Specialty Retail (0.9%):   
3,700   ABC-Mart, Inc.      192,623  
6,000   Fast Retailing Co., Ltd.      3,765,291  
81,766   Hennes & Mauritz AB, Class B      1,410,939  
2,000   Hikari Tsushin, Inc.      476,671  
111,648   Industria de Diseno Textil SA      3,103,734  
42,066   JD Sports Fashion plc      440,155  
225,438   Kingfisher plc      861,420  
8,200   Nitori Co., Ltd.      1,705,760  
2,400   Shimamura Co., Ltd.      234,641  
24,400   USS Co., Ltd.      436,524  
83,400   Yamada Holdings Co., Ltd.      415,922  
    

 

 

 

       13,043,680  
    

 

 

 

Technology Hardware, Storage & Peripherals (0.5%):   
22,600   Brother Industries, Ltd.      359,004  
102,600   Canon, Inc.      1,703,184  
36,800   FUJIFILM Holdings Corp.      1,813,598  
16,913   Logitech International SA, Class R      1,309,143  
25,100   NEC Corp.      1,469,461  
69,000   Ricoh Co., Ltd.^      465,215  
27,900   Seiko Epson Corp.^      320,775  
    

 

 

 

       7,440,380  
    

 

 

 

Textiles, Apparel & Luxury Goods (2.5%):   
19,652   Adidas AG      6,359,847  
42,083   Burberry Group plc      842,434  
53,795   Cie Financiere Richemont SA      3,604,209  
3,305   Hermes International SA      2,848,505  
7,868   Kering      5,226,739  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL International Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    
Common Stocks, continued   
Textiles, Apparel & Luxury Goods, continued   
28,734   LVMH Moet Hennessy Louis Vuitton SA    $ 13,431,370  
19,203   Moncler SpA      786,426  
10,406   Pandora A/S      748,958  
8,997   Puma SE*      810,545  
2,878   Swatch Group AG (The), Class B      670,580  
5,032   Swatch Group AG (The), Registered Shares      225,983  
    

 

 

 

       35,555,596  
    

 

 

 

Tobacco (1.0%):   
237,882   British American Tobacco plc      8,548,571  
97,026   Imperial Brands plc, Class A      1,709,940  
124,100   Japan Tobacco, Inc.      2,266,488  
16,832   Swedish Match AB, Class B      1,373,864  
    

 

 

 

       13,898,863  
    

 

 

 

Trading Companies & Distributors (1.4%):   
12,768   AerCap Holdings NV*      321,626  
46,625   Ashtead Group plc      1,670,216  
15,688   Brenntag AG      998,110  
35,472   Bunzl plc      1,144,234  
23,415   Ferguson plc      2,355,487  
140,500   Itochu Corp.^      3,593,206  
166,200   Marubeni Corp.^      943,083  
137,700   Mitsubishi Corp.^      3,294,719  
167,900   Mitsui & Co., Ltd.^      2,884,473  
12,700   MonotaRo Co., Ltd.      632,609  
121,200   Sumitomo Corp.^      1,453,496  
23,400   Toyota Tsushu Corp.      653,599  
    

 

 

 

       19,944,858  
    

 

 

 

Transportation Infrastructure (0.5%):   
6,691   Aena SME SA      931,885  
3,172   Aeroports de Paris      315,806  
51,721   Atlantia SpA*      810,967  
132,104   Auckland International Airport, Ltd.      639,831  
4,779   Fraport AG^      189,222  
42,517   Getlink SE      576,393  
5,100   Japan Airport Terminal Co., Ltd.^      225,048  
12,000   Kamigumi Co., Ltd.      236,292  
137,229   Sydney Airport      577,563  
284,591   Transurban Group      2,883,574  
    

 

 

 

       7,386,581  
    

 

 

 

Water Utilities (0.1%):   
25,272   Severn Trent plc      794,468  
68,705   United Utilities Group plc      759,593  
    

 

 

 

       1,554,061  
    

 

 

 

Wireless Telecommunication Services (1.8%):   
165,600   KDDI Corp.      4,189,606  
117,900   NTT DoCoMo, Inc.^      4,372,887  
297,400   Softbank Corp.^      3,332,802  
161,200   SoftBank Group Corp.      9,955,072  
53,324   Tele2 AB^      753,215  
2,775,567   Vodafone Group plc      3,681,598  
    

 

 

 

       26,285,180  
    

 

 

 

Total Common Stocks (Cost $1,148,096,357)

     1,406,566,884  
  

 

 

 

Preferred Stocks (0.4%):   
Automobiles (0.3%):   
5,302   Bayerische Motoren Werke AG (BMW), 5.39%, 5/15/20      290,472  
15,807   Porsche Automobil Holding SE, 4.34%, 5/20/20*      943,636  
19,412   Volkswagen AG, 3.54%, 5/8/20*      3,123,753  
    

 

 

 

       4,357,861  
    

 

 

 

    

Contracts,

Shares,

Notional

Amount or

Principal

Amount

             Fair Value    
Preferred Stocks, continued   
Household Products (0.1%):   
18,330    Henkel AG & Co. KGaA, 2.07%, 4/21/20    $ 1,919,116  
     

 

 

 

Total Preferred Stocks (Cost $5,258,073)

     6,276,977  
  

 

 

 

Short-Term Securities Held as Collateral for Securities on Loan (4.8%):

 

68,700,978    BlackRock Liquidity FedFund, Institutional Class , 1.81%(b)(c)      68,700,978  
     

 

 

 

Total Short-Term Securities Held as Collateral for Securities on Loan (Cost $68,700,978)

     68,700,978  
  

 

 

 

Unaffiliated Investment Companies (0.1%):

 

Money Markets (0.1%):

  
1,247,257    Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(c)      1,247,257  
     

 

 

 

Total Unaffiliated Investment Companies (Cost $1,247,257)

     1,247,257  
  

 

 

 

Total Investment Securities (Cost $1,223,302,665) - 103.4%

     1,482,792,096  

Net other assets (liabilities) - (3.4)%

     (48,409,816)  
  

 

 

 

Net Assets - 100.0%

   $ 1,434,382,280  
  

 

 

 

Percentages indicated are based on net assets as of September 30, 2020.

 

ADR    -    American Depository Receipt
REIT    -    Real Estate Investment Trust

 

*

Non-income producing security.

^

This security or a partial position of this security was on loan as of September 30, 2020. The total value of securities on loan as of September 30, 2020 was $65,724,836.

+

Affiliated Securities

Represents less than 0.05%.

(a)

Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of September 30, 2020. The total of all such securities represent 0.00% of the net assets of the fund.

(b)

Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before September 30, 2020.

(c)

The rate represents the effective yield at September 30, 2020.

Amounts shown as “—” are either $0 or rounds to less than $1.

 

 

See accompanying notes to the schedules of portfolio investments.


AZL International Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of September 30, 2020:

(Unaudited)

 

Country

 

Percentage

Australia

    6.5

Austria

    0.1

Belgium

    0.8

Bermuda

    0.1

China

    0.1

Denmark

    2.4

Finland

    1.2

France

    9.6

Germany

    9.1

Hong Kong

    3.0

Ireland

    1.1

Isle of Man

    0.1

Israel

    0.6

Italy

    2.0

Japan

    24.7

Luxembourg

    0.1

Netherlands

    4.2

New Zealand

    0.3

Norway

    0.5

Portugal

    0.2

Singapore

    1.0

Spain

    2.1

Sweden

    3.0

Switzerland

    10.1

United Kingdom

    12.4

United States

    4.7
    100.0 %       
       

    

 

 

See accompanying notes to the schedules of portfolio investments.


AZL International Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Futures Contracts

At September 30, 2020, the Fund’s open futures contracts were as follows:

Long Futures

 

Description   

Expiration

Date

    

Number of

Contracts

    

Notional

Amount

    

Value and    

Unrealized    

Appreciation/    

(Depreciation)    

ASX SPI 200 Index December Futures (Australian Dollar)

     12/17/20        17      $  1,765,799      $ (29,676

DJ EURO STOXX 50 December Futures (Euro)

     12/18/20        157        5,878,620        (105,713

FTSE 100 Index December Futures (British Pounds)

     12/18/20        45        3,391,270        (57,440

SGX Nikkei 225 Index December Futures (Japanese Yen)

     12/10/20        37        4,071,053        22,747  
           

 

 

 

            $  (170,082 )     
           

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL MetWest Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal
Amount
          Fair Value

Asset Backed Securities (4.5%):

 
      $1,332,616      Ajax Mortgage Loan Trust, Class A1, Series 2019-F, 2.86%, 7/25/59, Callable 11/25/22
@ 100(a)(b)
  $ 1,363,887      
965,000      Navient Student Loan Trust, Class A3, Series 2016-2, 1.65%(US0001M+150bps), 6/25/65, Callable 3/25/32 @ 100(a)     981,502  
950,000      Navient Student Loan Trust, Class A3, Series 2017-3A,
1.20%(US0001M+105bps), 7/26/66, Callable 11/25/34
@ 100(a)
    944,556  
2,285,000      SLC Student Loan Trust, Class 2A3, Series 2006-1,
0.41%(US0003M+16bps), 3/15/55, Callable 9/15/30 @ 100
    2,129,886  
880,322      SLC Student Loan Trust, Class 2A3, Series 2008-1,
1.85%(US0003M+160bps), 12/15/32, Callable 12/15/27 @ 100
    891,602  
639,848      SLM Student Loan Trust, Class A3, Series 2012-1,
1.10%(US0001M+95bps), 9/25/28, Callable 1/25/28 @ 100
    608,194  
1,220,000      SLM Student Loan Trust, Class 2A3, Series 2008-5,
2.09%(US0003M+185bps), 7/25/73, Callable 7/25/22 @ 100
    1,146,165  
240,000      SLM Student Loan Trust, Class 2A3, Series 2008-9,
2.49%(US0003M+225bps), 10/25/83, Callable 10/25/22 @ 100
    231,761  
67,313      SLM Student Loan Trust, Class A, Series 2009-3,
0.90%(US0001M+75bps), 1/25/45, Callable 5/25/34 @ 100(a)
    65,370  
881,903      SLM Student Loan Trust, Class A6A, Series 2004-3A,
0.79%(US0003M+55bps), 10/25/64, Callable 4/25/29
@ 100(a)
    850,517  
957,564      SLM Student Loan Trust, Class A4, Series 2008-6,
1.34%(US0003M+110bps), 7/25/23, Callable 7/25/24 @ 100
    939,727  
351,368      SLM Student Loan Trust, Class A, Series 2008-9, 1.74%(US0003M+150bps), 4/25/23, Callable 10/25/22 @ 100     345,809  
570,884      SLM Student Loan Trust, Class 2A3, Series 2003-7,
0.82%(US0003M+57bps), 9/15/39, Callable 6/15/29 @ 100
    523,360  
623,124      SLM Student Loan Trust, Class A4, Series 2007-7,
0.57%(US0003M+33bps), 1/25/22, Callable 4/25/23 @ 100
    584,858  
1,643,730      Wachovia Student Loan Trust, Class 2A3, Series 2006-1,
0.41%(US0003M+17bps), 4/25/40, Callable 4/25/26 @ 100(a)
    1,567,743  
 

    Total Asset Backed Securities
(Cost $13,311,106)

            13,174,937  
Principal
Amount
          Fair Value

Collateralized Mortgage Obligations (8.3%):

 
      $807,895      AIMCO CLO, Class AR, Series 2015-AA, 1.13%(US0003M+85bps), 1/15/28, Callable 10/15/20 @ 100(a)   $ 802,818      
1,264,186      Alternative Loan Trust, Class 4A1, Series 2005-56,
0.46%(US0001M+31bps), 11/25/35, Callable 10/25/20 @ 100
    1,174,594  
743,821      America Home Mortgage Investment Trust, Class 6A, Series 2005-1, 2.31%(US0006M+200bps), 6/25/45, Callable 10/25/20 @ 100     708,495  
515,000      Bank of America Merrill Lynch Large Loan, Inc., Class A, Series 2018-PARK, 4.23%, 8/10/38(a)(b)     605,362  
314,464      Bank of America Mortgage Securities, Inc., Class 2A3, Series 2005-F, 3.12%, 7/25/35, Callable 10/25/20 @ 100(b)     305,746  
155,000      BX Trust, Class A, Series 2019-OC11, 3.20%, 12/9/41(a)     163,536  
355,000      CALI Mortgage Trust, Class A, Series 2019-101C, 3.96%, 3/10/39(a)     406,322  
795,399      Citigroup Mortgage Loan Trust, Inc., Class 1A1A, Series 2007-AR5,
3.94%, 4/25/37, Callable 11/25/25
@ 100(b)
    770,374  
300,000      CPT Mortgage Trust, Class A, Series 2019-CPT, 2.87%, 11/13/39(a)     327,516  
895,997      Credit Suisse Mortgage Capital Certificates, Class A2E, Series 2007-CB2, 3.85%, 2/25/37, Callable 3/25/23 @ 100(b)     698,681  
325,000      DC Office Trust, Class A, Series 2019-MTC, 2.97%, 9/15/45(a)     358,781  
154,905      First Franklin Mortgage Loan Trust, Class M1, Series 2005-FF8,
0.88%(US0001M+49bps), 9/25/35, Callable 10/25/20 @ 100
            152,623  
609,788      First Horizon Alternative Mortgage Securities Trust, Class 2A1, Series 2005-AA12, 2.75%, 2/25/36, Callable 10/25/20 @ 100(b)     487,372  
348,389      First Horizon Alternative Mortgage Securities Trust, Class 2A1, Series 2005-AR3, 3.09%, 8/25/35, Callable 10/25/20 @ 100(b)     300,494  
736,310      First Horizon Alternative Mortgage Securities Trust, Class 1A1, Series 2006-AA1, 2.54%, 3/25/36, Callable 10/25/20 @ 100(b)     585,146  
699,477      First Horizon Alternative Mortgage Securities Trust, Class 2A1, Series 2006-AA1, 2.57%, 4/25/36, Callable 10/25/20 @ 100(b)     586,864  
671,419      GMAC Mortgage Corp. Loan Trust, Class 1A1, Series 2006-AR1,
3.69%, 4/19/36, Callable 10/19/20
@ 100(b)
    580,277  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MetWest Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal
Amount
        Fair Value

Collateralized Mortgage Obligations, continued

 
      $561,612    GMAC Mortgage Corp. Loan Trust, Class 3A1, Series 2005-AR5,
3.61%, 9/19/35, Callable 10/19/20
@ 100(b)
  $ 493,759      
850,000    GoldenTree Loan Opportunities IX, Ltd., Class AR2, Series 2014-9A,
1.38%(US0003M+111bps), 10/29/29, Callable 10/29/20 @ 100(a)
    847,463  
1,235,235    GreenPoint Mortgage Funding Trust, Class A1A, Series 2006-AR1,
0.73%(US0001M+58bps), 2/25/36, Callable 10/25/20 @ 100
    1,199,505  
1,391,113    HarborView Mortgage Loan Trust, Class 1A1A, Series 2006-10,
0.36%(US0001M+20bps), 11/19/36, Callable 6/19/22 @ 100
    1,171,222  
330,000    Hudson Yards Mortgage Trust, Class A, Series 2019-30HY, 3.23%, 6/10/37(a)     370,366  
325,000    Hudson Yards Mortgage Trust, Class A, Series 2019-55HY, 3.04%, 12/10/41(a)     359,739  
325,000    J.P. Morgan Chase Commercial Mortgage Securities Trust, Class A, Series 2019-OSB, 3.40%, 6/5/39(a)     368,219  
820,000    LCM LP, Class ARR, Series 13A,
1.41%(US0003M+114bps), 7/19/27, Callable 10/19/20 @ 100(a)
    815,082  
800,636    Merrill Lynch First Franklin Mortgage Loan Trust, Class 2A2, Series 2007-4,
0.27%(US0001M+12bps), 7/25/37, Callable 6/25/23 @ 100
    529,211  
395,000    MKT Mortgage Trust, Class A, Series 2020-525M, 2.69%, 2/12/40(a)     418,858  
393,500    Morgan Stanley Resecuritization Trust, Class 3A, Series 2014-R8,
1.92%(12MTA+75bps), 6/26/47(a)
    384,383  
359,083    MortgageIT Trust, Class 2A3, Series 2005-2, 1.81%(US0001M+165bps), 5/25/35, Callable 10/25/20 @ 100     331,124  
320,000    Natixis Commercial Mortgage Securities, Class A, Series 20-2PAC, 2.97%, 1/15/25(a)     330,415  
403,404    Nomura Asset Acceptance Corp., Class 3A1, Series 2005-AR3, 5.69%, 7/25/35, Callable 10/25/20 @ 100(b)     390,202  
208,876    Nomura Resecuritization Trust, Class 2A3, Series 2014-7R, 0.38%(US0001M+20bps), 12/26/35(a)     208,163  
149,359    Octagon Investment Partners 25, Class AR, Series 2015-1A, 1.07%(US0003M+80bps), 10/20/26, Callable 10/20/20 @ 100(a)     148,401  
415,000    One Bryant Park Trust, Class A, Series 2019-OBP, 2.52%, 9/13/49(a)             442,959  
Principal
Amount
        Fair Value

Collateralized Mortgage Obligations, continued

 
      $185,000    RBSCF Trust, Class A, Series 2013-GSP, 3.96%, 1/13/32(a)(b)   $ 188,648      
510,018    Recette Clo, Ltd., Class AR, Series 2015-1A, 1.19%(US0003M+92bps), 10/20/27, Callable 10/20/20 @ 100(a)     508,580  
1,163,925    Residential Accredit Loans, Inc., Class A2, Series 2006-QA10,
0.33%(US0001M+18bps), 12/25/36, Callable 2/25/21 @ 100
    1,079,067  
1,382,595    Structured Asset Mortgage Investments II Trust, Class 3A1, Series 2006-AR1,
0.38%(US0001M+23bps), 2/25/36, Callable 10/25/20 @ 100
    1,263,024  
550,000    TCI-Flatiron CLO, Ltd., Class AR, Series 2016-1,
1.49%(US0003M+122bps), 7/17/28, Callable 10/17/20 @ 100(a)
    548,606  
506,362    WaMu Mortgage Pass-Through Certificates, Class A2, Series 2005-AR3, 3.61%, 3/25/35, Callable 10/25/20
@ 100(b)
    493,740  
570,950    WaMu Mortgage Pass-Through Certificates, Class 2A1A, Series 2005-AR6,
0.61%(US0001M+23bps), 4/25/45, Callable 10/25/20 @ 100
    534,640  
245,322    WaMu Mortgage Pass-Through Certificates, Class A1A, Series 2004-AR10,
0.59%(US0001M+44bps), 7/25/44, Callable 10/25/20 @ 100
    235,102  
1,296,365    WaMu Mortgage Pass-Through Certificates, Class 2A1A, Series 2005-AR8,
0.73%(US0001M+29bps), 7/25/45, Callable 10/25/20 @ 100
    1,234,143  
410,644    Wells Fargo Mortgage Backed Securities Trust, Class 1A1, Series 2006-AR12, 2.94%, 9/25/36, Callable 10/25/20
@ 100(b)
    366,902  

    Total Collateralized Mortgage Obligations (Cost
$24,167,709)

    24,276,524  

Corporate Bonds (20.3%):

 

Airlines (0.2%):

 
65,112    U.S. Airways Group, Inc., Series 2001-1G PTT, 7.08%, 9/20/22     60,104  
586,555    U.S. Airways Group, Inc., Series 2010-1A, 6.25%, 10/22/24     526,227  
               586,331  

Banks (1.9%):

 
110,000    Bank of America Corp.,
1.32%(SOFR+115bps), 6/19/26, Callable 6/19/25 @ 100, MTN
    110,442  
220,000    Bank of America Corp.,
2.88%(US0003M+119bps), 10/22/30, Callable 10/22/29 @ 100, MTN
    236,705  
160,000    Bank of America Corp.,
2.59%(SOFR+215bps), 4/29/31, Callable 4/29/30 @ 100
    169,227  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MetWest Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal
Amount
          Fair Value

Corporate Bonds, continued

 

Banks, continued

 
      $435,000      Bank of America Corp.,
4.08%(US0003M+315bps), 3/20/51, Callable 3/20/50 @ 100, MTN
  $ 536,184      
355,000      Citigroup, Inc., 2.57%(SOFR+211bps), 6/3/31, Callable 6/3/30 @ 100     372,195  
730,000      JPMorgan Chase & Co.,
4.02%(US0003M+100bps), 12/5/24, Callable 12/5/23 @ 100
    799,458  
300,000      JPMorgan Chase & Co., 3.20%, 6/15/26, Callable 3/15/26 @ 100     331,953  
260,000      JPMorgan Chase & Co.,
3.11%(SOFR+244bps), 4/22/51, Callable 4/22/50 @ 100
    276,837  
410,000      Wells Fargo & Co.,
3.58%(US0003M+131bps), 5/22/28, Callable 5/22/27 @ 100, MTN
    457,151  
330,000      Wells Fargo & Co.,
2.39%(SOFR+210bps), 6/2/28, Callable 6/2/27 @ 100, MTN
    343,921  
200,000      Wells Fargo & Co.,
2.88%(US0003M+117bps), 10/30/30, Callable 10/30/29 @ 100, MTN
    213,389  
410,000      Wells Fargo & Co.,
3.07%(SOFR+253bps), 4/30/41, Callable 4/30/40 @ 100
    424,925  
905,000      Wells Fargo & Co.,
5.01%(US0003M+424bps), 4/4/51, Callable 4/4/50 @ 100, MTN
    1,233,885  
         5,506,272  

Beverages (0.3%):

 
710,000      Anheuser-Busch Cos LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 2/1/46, Callable 8/1/45 @ 100     873,231  

Biotechnology (0.6%):

 
428,000      AbbVie, Inc., 4.55%, 3/15/35, Callable 9/15/34 @ 100(a)     524,720  
145,000      AbbVie, Inc., 4.05%, 11/21/39, Callable 5/21/39 @ 100(a)     165,398  
300,000      AbbVie, Inc., 4.45%, 5/14/46, Callable 11/14/45 @ 100     357,481  
150,000      AbbVie, Inc., 4.88%, 11/14/48, Callable 5/14/48 @ 100     189,471  
345,000      AbbVie, Inc., 4.25%, 11/21/49, Callable 5/21/49 @ 100(a)     408,782  
         1,645,852  

Capital Markets (0.3%):

 
150,000      Goldman Sachs Group, Inc. (The), 3.69%(US0003M+151bps), 6/5/28, Callable 6/5/27 @ 100     167,969  
255,000      Raymond James Financial, 4.95%, 7/15/46     329,380  
250,000      SL Green Operating Partnership LP,
3.25%, 10/15/22, Callable 9/15/22 @ 100
    255,016  
                 752,365  

Chemicals (0.3%):

 
475,000      International Flavors & Fragrances, Inc., 5.00%, 9/26/48, Callable 3/26/48 @ 100     596,906  
Principal
Amount
          Fair Value

Corporate Bonds, continued

 

Chemicals, continued

 
      $195,000      Nutrition & Biosciences, Inc., 3.47%, 12/1/50, Callable 6/1/50 @ 100(a)   $ 196,847      
         793,753  

Commercial Services & Supplies (0.2%):

 
267,000      Clean Harbors, Inc., 5.13%, 7/15/29, Callable 7/15/24 @ 102.56(a)     288,026  
100,000      Matthews International Corp.,
5.25%, 12/1/25, Callable 12/1/20 @ 103.94(a)
    94,500  
114,000      Waste Pro USA, Inc., 5.50%, 2/15/26, Callable 2/15/21 @ 104.13(a)     115,425  
         497,951  

Consumer Finance (1.2%):

 
650,000      Ford Motor Credit Co. LLC, 3.20%, 1/15/21     649,889  
105,000      Ford Motor Credit Co. LLC, 5.75%, 2/1/21     105,781  
55,000      Ford Motor Credit Co. LLC, 3.34%, 3/18/21     54,999  
255,000      Ford Motor Credit Co. LLC, 3.81%, 10/12/21     255,318  
150,000      Ford Motor Credit Co. LLC, 1.15%(US0003M+88bps), 10/12/21     144,112  
95,000      Ford Motor Credit Co. LLC, 3.22%, 1/9/22     95,002  
455,000      Ford Motor Credit Co. LLC, 3.34%, 3/28/22, Callable 2/28/22 @ 100     452,575  
575,000      General Motors Financial Co, Inc.,
4.20%, 11/6/21
    593,522  
300,000      General Motors Financial Co., Inc.,
3.20%, 7/6/21, Callable 6/6/21 @ 100
    304,390  
275,000      General Motors Financial Co., Inc.,
4.38%, 9/25/21
    283,699  
60,000      General Motors Financial Co., Inc.,
3.45%, 4/10/22, Callable 2/10/22 @ 100
    61,621  
375,000      General Motors Financial Co., Inc.,
3.15%, 6/30/22, Callable 5/30/22 @ 100
    385,281  
155,000      General Motors Financial Co., Inc., 3.55%, 7/8/22     159,994  
         3,546,183  

Containers & Packaging (0.1%):

 
200,000      Ball Corp., 4.00%, 11/15/23     212,250  
110,000      Graphic Packaging International LLC, 4.75%, 7/15/27, Callable 4/15/27
@ 100(a)
    119,625  
25,000      Mauser Packaging Solutions Holding Co., 5.50%, 4/15/24, Callable 11/9/20 @ 102.75(a)     25,000  
25,000      Sealed Air Corp., 4.00%, 12/1/27, Callable 9/1/27 @ 100(a)     26,094  
                 382,969  

Diversified Financial Services (0.6%):

 
600,000      Amcor Finance USA, Inc., 3.63%, 4/28/26, Callable 1/28/26 @ 100     657,618  
420,000      BP Capital Markets America, Inc.,
3.63%, 4/6/30, Callable 1/6/30 @ 100
    481,710  
55,000      BP Capital Markets America, Inc.,
3.00%, 2/24/50, Callable 8/24/49 @ 100
    52,400  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MetWest Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal
Amount
          Fair Value

Corporate Bonds, continued

 

Diversified Financial Services, continued

 
      $56,000      Dell International LLC / EMC Corp.,
4.42%, 6/15/21, Callable 5/15/21 @ 100(a)
  $ 57,313      
275,000      GE Capital Funding LLC, 4.40%, 5/15/30, Callable 2/15/30 @ 100(a)     294,528  
35,000      Level 3 Financing, Inc., 5.38%, 1/15/24, Callable 11/9/20 @ 101.34     35,306  
91,000      Level 3 Financing, Inc., 4.63%, 9/15/27, Callable 9/15/22 @ 102.31(a)     93,275  
         1,672,150  

Diversified Telecommunication Services (1.0%):

 
375,000      AT&T, Inc., 1.43%(US0003M+118bps), 6/12/24     381,666  
300,000      AT&T, Inc., 4.30%, 2/15/30, Callable 11/15/29 @ 100     355,291  
290,000      AT&T, Inc., 4.50%, 5/15/35, Callable 11/15/34 @ 100     341,357  
255,000      AT&T, Inc., 4.30%, 12/15/42, Callable 6/15/42 @ 100     284,866  
440,000      AT&T, Inc., 4.80%, 6/15/44, Callable 12/15/43 @ 100     524,321  
500,000      AT&T, Inc., 4.35%, 6/15/45, Callable 12/15/44 @ 100     559,067  
125,000      AT&T, Inc., 4.75%, 5/15/46, Callable 11/15/45 @ 100     145,160  
10,000      AT&T, Inc., 3.50%, 9/15/53, Callable 3/15/53 @ 100(a)     9,673  
64,000      CenturyLink, Inc., 4.00%, 2/15/27, Callable 2/15/23 @ 102(a)     64,880  
175,000      Qwest Corp., 7.25%, 9/15/25     198,648  
         2,864,929  

Electric Utilities (1.5%):

 
280,000      American Transmission Systems, Inc., 5.00%, 9/1/44, Callable 3/1/44
@ 100(a)
    358,090  
500,000      Appalachian Power Co., Series H,
5.95%, 5/15/33
    644,385  
400,000      Cleco Power LLC, 6.00%, 12/1/40     529,771  
1,000,000      Duke Energy Progress, Inc., 4.15%, 12/1/44, Callable 6/1/44 @ 100     1,243,521  
750,000      Jersey Central Power & Light Co., 6.40%, 5/15/36     1,009,753  
700,000      Public Service Oklahoma, 4.40%, 2/1/21     708,672  
                 4,494,192  
 

Electrical Equipment (0.1%):

 
256,000      PowerTeam Services LLC, 9.03%, 12/4/25, Callable 2/4/23 @ 104.52(a)     267,520  

Entertainment (0.3%):

 
95,000      Live Nation Entertainment Inc., 4.75%, 10/15/27, Callable 10/15/22
@ 103.56(a)
    88,825  
275,000      Walt Disney Co. (The), 2.65%, 1/13/31     296,421  
545,000      Walt Disney Co. (The), 3.60%, 1/13/51, Callable 7/13/50 @ 100     614,047  
         999,293  

Equity Real Estate Investment Trusts (1.4%):

 
590,000      American Campus Communities Operating Partnership LP, 3.63%, 11/15/27, Callable 8/15/27
@ 100
    629,660  
Principal
Amount
        Fair Value

Corporate Bonds, continued

 

Equity Real Estate Investment Trusts, continued

 
      $295,000    CyrusOne LP/CyrusOne Finance Corp., 2.15%, 11/1/30, Callable 8/1/30 @ 100   $ 287,164      
205,000    GLP Capital LP, 5.25%, 6/1/25, Callable 3/1/25 @ 100     222,113  
440,000    GLP Capital LP, 5.38%, 4/15/26, Callable 1/15/26 @ 100     487,490  
105,000    GLP Capital LP, 5.75%, 6/1/28, Callable 3/3/28 @ 100     119,282  
290,000    GLP Capital LP, 5.30%, 1/15/29, Callable 10/15/28 @ 100     322,554  
5,000    GLP Capital LP, 4.00%, 1/15/30, Callable 10/15/29 @ 100     5,174  
20,000    HCP, Inc., 4.25%, 11/15/23, Callable 8/15/23 @ 100     21,829  
265,000    HCP, Inc., 3.88%, 8/15/24, Callable 5/17/24 @ 100     293,162  
100,000    MGM Growth/MGM Finance, 5.63%, 5/1/24, Callable 2/1/24 @ 100     105,750  
112,000    SBA Communications Corp., 4.88%, 9/1/24, Callable 11/9/20 @ 102.44     114,520  
1,440,000    Welltower, Inc., 3.75%, 3/15/23, Callable 12/15/22 @ 100     1,524,618  
               4,133,316  

Food & Staples Retailing (0.5%):

 
83,000    Rite Aid Corp., 8.00%, 11/15/26, Callable 1/15/23 @ 104(a)     82,896  
190,000    The Kroger Co., 5.40%, 1/15/49, Callable 7/15/48 @ 100     262,553  
790,000    Walgreens Boots Alliance, Inc.,
3.80%, 11/18/24, Callable 8/18/24 @ 100
    870,158  
300,000    Walgreens Boots Alliance, Inc.,
4.80%, 11/18/44, Callable 5/18/44 @ 100
    328,533  
       1,544,140  

Food Products (0.8%):

 
30,000    JBS USA Finance, Inc., 5.50%, 1/15/30, Callable 1/15/25 @ 102.75(a)     32,625  
215,000    Kraft Heinz Foods Co., 5.00%, 6/4/42     233,814  
955,000    Kraft Heinz Foods Co., 4.38%, 6/1/46, Callable 12/1/45 @ 100     977,668  
960,000    Kraft Heinz Foods Co., 4.88%, 10/1/49, Callable 4/1/49 @ 100(a)     1,011,464  
25,000    Pilgrim’s Pride Corp., 5.88%, 9/30/27, Callable 9/30/22 @ 102.94(a)     25,938  
150,000    Post Holdings, Inc., 5.75%, 3/1/27, Callable 3/1/22 @ 102.88(a)     157,688  
       2,439,197  

Health Care Providers & Services (2.3%):

 
200,000    Aetna, Inc., 3.50%, 11/15/24, Callable 8/15/24 @ 100     219,233  
140,000    Centene Corp., 4.25%, 12/15/27, Callable 12/15/22 @ 102.13     145,950  
183,000    Centene Corp., 3.38%, 2/15/30, Callable 2/15/25 @ 101.69     189,863  
840,000    Centene Corp., 3.00%, 10/15/30, Callable 7/15/30 @ 100     855,750  
1,300,000    Cigna Corp., 4.13%, 11/15/25, Callable 9/15/25 @ 100     1,488,143  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MetWest Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal
Amount
          Fair Value

Corporate Bonds, continued

 

Health Care Providers & Services, continued

 
      $1,140,000      CVS Health Corp., 5.05%, 3/25/48, Callable 9/25/47 @ 100   $ 1,447,108      
164,000      Encompass Health Corp., 4.75%, 2/1/30, Callable 2/1/25 @ 102.38     165,640  
490,000      HCA, Inc., 5.00%, 3/15/24     548,188  
93,000      HCA, Inc., 5.25%, 4/15/25     107,415  
320,000      HCA, Inc., 5.13%, 6/15/39, Callable 12/15/38 @ 100     385,600  
145,000      HCA, Inc., 5.25%, 6/15/49, Callable 12/15/48 @ 100     176,175  
75,000      Humana, Inc., 4.95%, 10/1/44, Callable 4/1/44 @ 100     100,018  
170,000      Molina Healthcare, Inc., 5.38%, 11/15/22, Callable 8/15/22 @ 100     176,800  
156,000      Tenet Healthcare Corp., 4.63%, 7/15/24, Callable 11/9/20 @ 102.31     156,780  
156,000      Tenet Healthcare Corp., 4.88%, 1/1/26, Callable 3/1/22 @ 102.44(a)     158,340  
135,000      Tenet Healthcare Corp., 5.13%, 11/1/27, Callable 11/1/22
@ 102.56(a)
    138,713  
205,000      UnitedHealth Group, Inc., 3.70%, 8/15/49, Callable 2/15/49 @ 100     245,100  
85,000      UnitedHealth Group, Inc., 3.88%, 8/15/59, Callable 2/15/59 @ 100     104,040  
                 6,808,856  

Health Care Technology (0.0%):

 
25,000      Change Healthcare Holdings LLC / Change Healthcare Finance, Inc., 5.75%, 3/1/25, Callable 10/19/20 @ 102.88(a)     25,188  

Hotels, Restaurants & Leisure (0.3%):

 
274,000      Churchill Downs, Inc., 5.50%, 4/1/27, Callable 4/1/22 @ 102.75(a)     284,960  
100,000      Churchill Downs, Inc., 4.75%, 1/15/28, Callable 1/15/23
@ 102.38(a)
    100,500  
330,000      Starbucks Corp., 2.25%, 3/12/30, Callable 12/12/29 @ 100     342,524  
         727,984  

Household Products (0.1%):

 
200,000      Spectrum Brands, Inc., 5.75%, 7/15/25, Callable 11/9/20 @ 102.88     205,750  

Industrial Conglomerates (0.2%):

 
190,000      General Electric Capital Corp., Series A, 6.75%, 3/15/32, MTN     238,043  
273,000      General Electric Co., 5.88%, 1/14/38, MTN     317,755  
         555,798  

Insurance (0.8%):

 
900,000      Farmers Exchange Capital III, 5.45%(US0003M+345bps), 10/15/54, Callable 10/15/34
@ 100(a)
    1,075,627  
670,000      Farmers Insurance Exchange, 4.75%(US0003M+323bps), 11/1/57, Callable 11/1/37 @ 100(a)     705,832  
565,000      Teachers Insurance & Annuity Association of America, 3.30%, 5/15/50, Callable 11/15/49
@ 100(a)
    591,057  
         2,372,516  
Principal
Amount
          Fair Value

Corporate Bonds, continued

 

IT Services (0.0%):

 
      $87,000      Colt Merger Sub, Inc., 6.25%, 7/1/25, Callable 7/1/22 @ 103.13(a)   $ 90,589      

Media (0.6%):

 
125,000      CCO Holdings LLC, 5.38%, 6/1/29, Callable 6/1/24 @ 102.69(a)     135,469  
210,000      CCO Holdings LLC, 4.50%, 8/15/30, Callable 2/15/25 @ 102.25(a)     220,500  
172,000      CCO Holdings LLC, 4.50%, 5/1/32, Callable 5/1/26 @ 102.25(a)     179,310  
160,000      CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, 2/1/31, Callable 7/1/25 @ 102.13(a)     164,800  
250,000      Charter Communications Operating LLC, 6.48%, 10/23/45, Callable 4/23/45 @ 100     334,309  
35,000      Charter Communications Operating LLC, 4.80%, 3/1/50, Callable 9/1/49 @ 100     39,590  
200,000      CSC Holdings LLC, 5.50%, 5/15/26, Callable 5/15/21 @ 102.75(a)     208,000  
30,000      CSC Holdings LLC, 5.38%, 2/1/28, Callable 2/1/23 @ 102.69(a)     31,688  
290,000      Time Warner Cable, Inc., 5.88%, 11/15/40, Callable 5/15/40 @ 100     362,212  
                 1,675,878  

Oil, Gas & Consumable Fuels (1.8%):

 
146,000      Antero Resources Corp., 5.13%, 12/1/22, Callable 11/9/20 @ 100^     119,720  
40,000      Antero Resources Corp., 5.63%, 6/1/23, Callable 11/9/20 @ 101.41^     29,000  
304,000      Antero Resources Corp., 5.00%, 3/1/25, Callable 11/9/20 @ 103.75^     190,000  
25,000      Cheniere Energy Partners LP, 5.25%, 10/1/25, Callable 11/9/20 @ 102.63     25,563  
35,000      Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 1/30/28, Callable 1/30/23 @ 102.88(a)     35,088  
210,000      Energy Transfer Operating LP,
5.50%, 6/1/27, Callable 3/1/27 @ 100
    230,738  
264,000      Energy Transfer Operating LP,
4.95%, 6/15/28, Callable 3/15/28 @ 100
    278,850  
700,000      Energy Transfer Partners LP, 5.95%, 10/1/43, Callable 4/1/43 @ 100     687,749  
160,000      EQT Corp., 3.90%, 10/1/27, Callable 7/1/27 @ 100     146,800  
245,000      Exxon Mobil Corp., 3.48%, 3/19/30, Callable 12/19/29 @ 100     280,541  
80,000      Exxon Mobil Corp., 2.61%, 10/15/30, Callable 7/15/30 @ 100     86,097  
185,000      Exxon Mobil Corp., 4.23%, 3/19/40, Callable 9/19/39 @ 100     224,473  
285,000      Exxon Mobil Corp., 4.33%, 3/19/50, Callable 9/19/49 @ 100     355,888  
400,000      Kinder Morgan Energy Partners LP,
5.80%, 3/15/35
    488,031  
200,000      Occidental Petroleum Corp., 4.50%, 7/15/44, Callable 1/15/44 @ 100^     143,000  
150,000      Plains All American Pipeline LP, 4.65%, 10/15/25, Callable 7/15/25 @ 100     161,126  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MetWest Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal
Amount
          Fair Value

Corporate Bonds, continued

 

Oil, Gas & Consumable Fuels, continued

 
$56,000      Range Resources Corp., 4.88%, 5/15/25, Callable 2/15/25 @ 100   $ 50,400  
      250,000      Rockies Express Pipeline LLC, 4.95%, 7/15/29, Callable 4/15/29 @ 100(a)     242,500  
250,000      Rockies Express Pipeline LLC, 4.80%, 5/15/30, Callable 2/15/30 @ 100(a)     242,500  
60,000      Targa Resources Partners LP / Targa Resources Partners Finance Corp., 6.88%, 1/15/29, Callable 1/15/24 @ 103.44     64,200  
600,000      TC PipeLines LP, 3.90%, 5/25/27, Callable 2/25/27 @ 100     644,229  
350,000      Williams Partners LP, 6.30%, 4/15/40     432,246  
                 5,158,739      

Pharmaceuticals (0.9%):

 
195,000      Bayer US Finance II LLC, 4.25%, 12/15/25, Callable 10/15/25 @ 100(a)     223,093  
955,000      Bayer US Finance II LLC, 4.38%, 12/15/28, Callable 9/15/28 @ 100(a)     1,119,898  
410,000      Bayer US Finance II LLC, 4.63%, 6/25/38, Callable 12/25/37 @ 100(a)     488,399  
480,000      Bayer US Finance II LLC, 4.88%, 6/25/48, Callable 12/25/47 @ 100(a)     592,363  
200,000      Catalent Pharma Solutions, Inc., 4.88%, 1/15/26, Callable 11/9/20 @ 102.44(a)     203,000  
         2,626,753  
Semiconductors & Semiconductor Equipment (0.5%):  
390,000      Broadcom Cayman Finance, Ltd., 3.63%, 1/15/24, Callable 11/15/23 @ 100     419,089  
215,000      Intel Corp., 4.10%, 5/19/46, Callable 11/19/45 @ 100     268,736  
485,000      Intel Corp., 4.75%, 3/25/50, Callable 9/25/49 @ 100     667,602  
         1,355,427  

Software (0.0%):

 
121,000      SS&C Technologies, Inc., 5.50%, 9/30/27, Callable 3/30/22 @ 104.13(a)     128,260  

Textiles, Apparel & Luxury Goods (0.0%):

 
25,000      USA Compression Partners LP/USA Compression Finance Corp., 6.88%, 4/1/26, Callable 4/1/21 @ 105.16     24,688  
81,000      USA Compression Partners LP/USA Compression Finance Corp., 6.88%, 9/1/27, Callable 9/1/22 @ 105.16     79,987  
         104,675  

Tobacco (0.5%):

 
175,000      BAT Capital Corp., 2.73%, 3/25/31, Callable 12/25/30 @ 100     174,296  
615,000      BAT Capital Corp., 4.54%, 8/15/47, Callable 2/15/47 @ 100     652,849  
610,000      Reynolds American, Inc., 5.85%, 8/15/45, Callable 2/15/45 @ 100     741,003  
         1,568,148  

Trading Companies & Distributors (0.2%):

 
655,000      Air Lease Corp., 3.50%, 1/15/22     670,427  
Principal
Amount
          Fair Value

Corporate Bonds, continued

 

Wireless Telecommunication Services (0.8%):

 
$27,000      Sprint Corp., 7.88%, 9/15/23   $ 30,915  
      259,000      Sprint Spectrum Co. LLC, 3.36%, 3/20/23(a)     262,198  
910,000      Sprint Spectrum Co. LLC, 4.74%, 3/20/25(a)     987,209  
235,000      T-Mobile USA, Inc., 3.88%, 4/15/30, Callable 1/15/30 @ 100(a)     266,584  
307,000      T-Mobile USA, Inc., 2.55%, 2/15/31, Callable 11/15/30 @ 100(a)     318,178  
395,000      T-Mobile USA, Inc., 4.38%, 4/15/40, Callable 10/15/39 @ 100(a)     462,537  
         2,327,621  

     Total Corporate Bonds (Cost $54,593,894)

    59,402,253  

Yankee Dollars (5.3%):

 

Aerospace & Defense (0.1%):

 
35,000      Avolon Holdings Funding, Ltd., 5.13%, 10/1/23, Callable 9/1/23 @ 100(a)     35,088  
30,000      Avolon Holdings Funding, Ltd., 5.25%, 5/15/24, Callable 4/15/24 @ 100(a)     30,000  
345,000      Avolon Holdings Funding, Ltd., 2.88%, 2/15/25, Callable 1/15/25 @ 100(a)     315,675  
         380,763  

Banks (0.6%):

 
440,000      HSBC Holdings plc, 2.01%(SOFR+173bps), 9/22/28, Callable 9/22/27 @ 100     432,817  
300,000      HSBC Holdings plc, 2.36%(SOFR+195bps), 8/18/31, Callable 8/18/30 @ 100     296,250  
270,000      Lloyds Banking Group plc, 4.05%, 8/16/23     291,585  
390,000      Lloyds Banking Group plc, 3.90%, 3/12/24     423,185  
410,000      Santander UK plc, 5.00%, 11/7/23(a)     446,888  
                 1,890,725      

Beverages (0.1%):

 
135,000      Bacardi, Ltd., 4.70%, 5/15/28, Callable 2/15/28 @ 100(a)     155,512  
105,000      Bacardi, Ltd., 5.30%, 5/15/48, Callable 11/15/47 @ 100(a)     132,589  
         288,101  

Commercial Services & Supplies (0.1%):

 
178,000      GFL Environmental, Inc., 5.13%, 12/15/26, Callable 12/15/22 @ 102.56(a)     183,340  

Containers & Packaging (0.1%):

 
250,000      Trivium Packaging Finance BV, 5.50%, 8/15/26, Callable 8/15/22 @ 102.75(a)     257,188  

Diversified Financial Services (0.9%):

 
1,191,000      GE Capital International Funding, 4.42%, 11/15/35     1,252,825  
111,000      Intelsat Jackson Holdings SA, 8.50%, 10/15/24, Callable 11/9/20
@ 106.38(a)(c)
    71,595  
540,000      Intelsat Jackson Holdings SA, 9.75%, 7/15/25, Callable 7/15/21 @ 104.88^(a)     353,700  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MetWest Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal
Amount
        Fair Value

Yankee Dollars, continued

 

Diversified Financial Services, continued

 
$29,000    OI European Group BV, 4.00%, 3/15/23, Callable 12/15/22 @ 100(a)   $ 29,435  
100,000    Park Aerospace Holdings, 5.25%, 8/15/22, Callable 7/15/22 @ 100(a)     100,125  
285,000    Park Aerospace Holdings, 4.50%, 3/15/23, Callable 2/15/23 @ 100(a)     281,437  
255,000    Park Aerospace Holdings, 5.50%, 2/15/24(a)     256,913  
20,000    Shell International Finance BV, 4.00%, 5/10/46     23,192  
      290,000    Virgin Media Secured Finance plc, 5.50%, 5/15/29, Callable 5/15/24 @ 102.75(a)     311,025  
               2,680,247      

Energy Equipment & Services (0.1%):

 
63,050    Transocean Phoenix 2, Ltd., 7.75%, 10/15/24, Callable 11/10/20
@ 103.88^(a)
    57,060  
117,780    Transocean Pontus, Ltd., 6.13%, 8/1/25, Callable 8/1/21 @ 104.59(a)     104,824  
121,000    Transocean Poseidon, Ltd., 6.88%, 2/1/27, Callable 2/1/22 @ 105.16(a)     96,800  
44,850    Transocean Proteus, Ltd., 6.25%, 12/1/24, Callable 12/1/20 @ 103.13(a)     40,029  
       298,713  

Food & Staples Retailing (0.2%):

 
475,000    Alimentation Couche-Tard, Inc., 3.55%, 7/26/27, Callable 4/26/27 @ 100(a)     531,406  

Metals & Mining (0.1%):

 
200,000    Indonesia Asahan Aluminium Persero PT, 6.53%, 11/15/28(a)     243,750  

Oil, Gas & Consumable Fuels (0.7%):

 
200,000    KazMunayGas National Co. JSC, 5.38%, 4/24/30     233,000  
151,000    Petrobras Global Finance BV, 5.09%, 1/15/30     158,361  
200,000    Petroleos del Peru SA, 4.75%, 6/19/32     217,000  
175,000    Petroleos Mexicanos, 5.95%, 1/28/31, Callable 10/28/30 @ 100(a)     144,583  
365,000    Petroleos Mexicanos, 6.63%, 6/15/35     294,293  
630,000    Petroleos Mexicanos, 6.75%, 9/21/47     487,921  
85,000    Petroleos Mexicanos, 6.95%, 1/28/60, Callable 7/28/59 @ 100(a)     65,725  
300,000    Shell International Finance BV, 4.38%, 5/11/45     364,344  
       1,965,227  

Pharmaceuticals (0.1%):

 
215,000    Bausch Health Cos., Inc., 7.00%, 3/15/24, Callable 11/9/20 @ 103.5(a)     222,525  

Professional Services (0.3%):

 
121,000    IHS Markit, Ltd., 5.00%, 11/1/22, Callable 8/1/22 @ 100(a)     129,773  
125,000    IHS Markit, Ltd., 4.75%, 2/15/25, Callable 11/15/24 @ 100(a)     141,250  
104,000    IHS Markit, Ltd., 4.00%, 3/1/26, Callable 12/1/25 @ 100(a)     116,220  
Principal
Amount
          Fair Value

Yankee Dollars, continued

 

Professional Services, continued

 
$295,000      IHS Markit, Ltd., 4.75%, 8/1/28, Callable 5/1/28 @ 100   $ 350,312  
         737,555  

Sovereign Bond (1.1%):

 
400,000      Abu Dhabi Government International, 2.50%, 9/30/29     427,708  
200,000      Arab Republic of Egypt, 7.60%, 3/1/29(a)     205,247  
200,000      Dominican Republic, 6.00%, 7/19/28(a)     214,500  
151,005      Oriental Republic of Uruguay, 4.38%, 10/27/27     174,033  
200,000      Panama Government International Bond, 3.16%, 1/23/30, Callable 10/23/29 @ 100     217,000  
200,000      Republic of Colombia, 3.00%, 1/30/30, Callable 10/30/29 @ 100     206,473  
200,000      Republic of Colombia, 5.00%, 6/15/45, Callable 12/15/44 @ 100     233,900  
200,000      Republic of Peru, 4.13%, 8/25/27     233,172  
200,000      Republic of South Africa, 4.30%, 10/12/28     186,065  
200,000      Russian Federation, 4.75%, 5/27/26     229,108  
200,000      Saudi Government International Bond, 3.63%, 3/4/28     221,350  
200,000      Saudi Government International Bond, 3.75%, 1/21/55(a)     216,190  
      200,000      State of Qatar, 4.63%, 6/2/46     260,342  
400,000      United Mexican States, 3.25%, 4/16/30, Callable 1/16/30 @ 100     406,047  
               3,431,135      

Thrifts & Mortgage Finance (0.1%):

 
230,000      Nationwide Building Society, 3.62%, 4/26/23, Callable 4/26/22 @ 100(a)     238,637  

Trading Companies & Distributors (0.4%):

 
530,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.50%, 5/15/21     538,570  
555,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.95%, 2/1/22, Callable 1/1/22 @ 100     561,956  
         1,100,526  

Wireless Telecommunication Services (0.3%):

 
813,000      Vodafone Group plc, 4.88%, 6/19/49     1,000,010  
         Total Yankee Dollars (Cost $15,453,940)     15,449,848  

Municipal Bonds (0.8%):

 

California (0.6%):

 

84      California State, Build America Bonds, GO, 7.95%, 3/1/36, Continuously Callable @100     79  
700,000      Los Angeles Unified School District, Build America Bonds, GO, 5.76%, 7/1/29     890,547  
805,000      Regents of the University of California Medical Center Pooled Revenue, Series N, 3.26%, 5/15/60, Continuously Callable @100     879,744  
         1,770,370  

Massachusetts (0.2%):

 

460,000      Commonwealth of Massachusetts, GO, Series C, 3.00%, 3/1/49, Continuously Callable @100     482,968  
      Total Municipal Bonds (Cost $2,078,709)     2,253,338  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MetWest Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Principal
Amount
          Fair Value

U.S. Government Agency Mortgages (32.4%):

 

Federal Home Loan Mortgage Corporation (10.6%):

 

$370,392      3.00%, 3/1/31, Pool #G18592   $ 391,390      
874,074      2.50%, 12/1/31, Pool #G16598     929,161  
446,763      2.50%, 7/1/32, Pool #G16660     469,437  
665,000      Class A3, Series K158, 3.90%, 10/25/33, Callable 10/25/33 @ 100     826,688  
1,030,411      3.50%, 1/1/34, Pool #G16756     1,100,518  
1,410,523      3.50%, 4/1/44, Pool #G07848     1,545,283  
1,939,479      3.50%, 4/1/45, Pool #G60023     2,147,914  
1,649,183      4.00%, 12/1/45, Pool #G60344     1,836,204  
     3.00%, 6/1/46, Pool #G08710      
      1,385,447      3.50%, 6/1/46, Pool #G08711     1,476,932  
946,609      3.50%, 8/1/46, Pool #G08716     1,009,117  
813,161      3.00%, 8/1/46, Pool #G08715     854,319  
371,931      3.50%, 9/1/46, Pool #G08722     396,491  
217,829      3.00%, 9/1/46, Pool #G08721     228,854  
1,086,976      3.00%, 10/1/46, Pool #G08726     1,141,994  
1,199,627      3.00%, 11/1/46, Pool #G08732     1,264,717  
1,432,371      3.00%, 1/1/47, Pool #G08741     1,504,872  
1,089,649      3.50%, 4/1/47, Pool #G67703     1,202,765  
416,406      Class PA, Series 4846, 4.00%, 6/15/47     432,627  
711,017      3.50%, 12/1/47, Pool #G08792     752,268  
1,498,943      3.50%, 12/1/47, Pool #G67706     1,651,208  
2,533,488      3.50%, 1/1/48, Pool #G67707     2,807,851  
852,414      3.50%, 2/1/48, Pool #G08800     904,834  
1,499,182      4.00%, 3/1/48, Pool #G67711     1,617,658  
803,047      3.50%, 3/1/48, Pool #G67710     871,158  
213,038      Class CA, Series 4818, 3.00%, 4/15/48     221,225  
921,422      3.50%, 6/1/48, Pool #G08816     972,792  
6,424      4.00%, 6/1/48, Pool #G67713     6,998  
250,499      5.00%, 7/1/48, Pool #G08833     274,479  
617,758      4.50%, 10/1/48, Pool #G08843     669,767  
1,291,156      Class HZ, Series 4639, 3.25%, 4/15/53     1,482,128  
             30,991,649  

Federal National Mortgage Association (14.5%):

 

1,245,000      3.06%, 5/1/22, Pool #471258     1,288,354  
610,000      Class X8, Series 2020-M10, 0.78%, 12/25/27     24,556  
1,577,802      Class X2, Series 2020-M10, 1.83%, 12/25/30     216,219  
754,581      Class X1, Series 2020-M10, 1.92%, 12/25/30     108,439  
644,441      3.50%, 1/1/32, Pool #AB4262     679,203  
112,984      3.00%, 7/1/32, Pool #MA3060     119,133  
469,775      3.00%, 10/1/33, Pool #MA1676     498,860  
1,375,000      1.50%, 10/25/35, TBA     1,406,582  
3,750,000      2.00%, 10/25/35, TBA     3,898,243  
835,696      3.21%, 11/1/37, Pool #AN7345     955,724  
485,000      2.46%, 4/1/40, Pool #BL6060     523,235  
1,300,000      2.00%, 10/1/40, Pool #MA4152     1,347,062  
1,570,000      2.00%, 11/1/40, Pool #MA4176     1,626,486  
53,164      4.00%, 8/1/42, Pool #MA1146     58,782  
950,133      3.50%, 4/1/43, Pool #MA1404     1,020,024  
528,085      4.50%, 2/1/46, Pool #AL9106     583,798  
332,492      Class QA, Series 2018-57, 3.50%, 5/25/46     344,228  
902,155      Class PA, Series 2018-55, 3.50%, 1/25/47     924,714  
446,440      4.00%, 6/1/47, Pool #AS9830     478,874  
413,276      4.00%, 7/1/47, Pool #AS9972     443,301  
24,919      4.00%, 8/1/47, Pool #MA3088     26,778  
92,850      3.50%, 1/1/48, Pool #MA3238     98,476  
1,429,619      3.50%, 1/1/48, Pool #CA0996     1,557,556  
Principal
Amount
          Fair Value

U.S. Government Agency Mortgages, continued

 

Federal National Mortgage Association, continued

 

$1,090,400      4.50%, 5/1/48, Pool #CA1710   $ 1,181,649  
99,704      4.50%, 5/1/48, Pool #CA1711     108,595  
934,103      Class CT, Series 2018-43, 3.00%, 6/25/48     977,379  
695,415      4.50%, 8/1/48, Pool #CA2208     751,603  
1,528,471      3.50%, 6/1/49, Pool #CA3633     1,674,847  
957,161      3.00%, 10/1/49, Pool #MA3811     996,742  
3,000,000      2.50%, 10/25/49     3,146,719  
  14,775,000      2.00%, 10/25/50, TBA     15,275,966  
125,000      2.50%, 11/25/50, TBA     130,903  
             42,473,030  

Government National Mortgage Association (7.3%):

 

588,754      3.50%, 3/20/46, Pool #MA3521     625,660      
615,340      3.50%, 4/20/46, Pool #MA3597     658,053  
118,196      3.50%, 5/20/46, Pool #MA3663     125,789  
252,010      3.50%, 9/20/46, Pool #MA3937     268,701  
1,371,020      3.00%, 12/20/46, Pool #MA4126     1,435,482  
1,033,768      3.50%, 1/20/47, Pool #MA4196     1,105,532  
172,516      5.00%, 3/20/47, Pool #MA4324     194,610  
223,031      3.50%, 6/20/47, Pool #MA4510     236,278  
432,724      5.00%, 6/20/47, Pool #MA4513     473,219  
312,518      5.00%, 9/20/47, Pool #MA4722     347,840  
626,656      4.00%, 9/20/47, Pool #MA4720     675,848  
717,154      3.00%, 11/20/47, Pool #MA4836     758,781  
269,972      3.50%, 11/20/47, Pool #MA4837     288,589  
440,511      4.00%, 11/20/47, Pool #MA4838     475,091  
207,223      4.00%, 12/20/47, Pool #MA4901     223,490  
2,235,604      3.50%, 12/20/47, Pool #MA4900     2,389,768  
753,652      4.00%, 3/20/48, Pool #MA5078     807,898  
1,529,880      4.50%, 8/20/48, Pool #MA5399     1,643,460  
510,668      Class NW, Series 2018-124, 3.50%, 9/20/48     535,094  
408,605      4.00%, 9/20/48, Pool #MA5466     438,387  
1,118,306      3.00%, 10/20/49, Pool #MA6209     1,147,873  
3,375,000      2.50%, 10/20/50, TBA     3,542,695  
2,850,000      2.00%, 10/20/50, TBA     2,960,883  
         21,359,021  

    Total U.S. Government Agency Mortgages
(Cost $91,525,519)

    94,823,700  

U.S. Treasury Obligations (36.1%):

 

U.S. Treasury Bills (2.2%):

 

740,000      0.09%, 11/5/20(d)     739,935  
870,000      0.09%, 11/19/20(d)     869,893  
2,800,000      0.09%, 12/10/20(d)     2,799,483  
2,000,000      , 1/26/21(d)     1,999,350  
         6,408,661  

U.S. Treasury Bonds (4.2%):

 

3,062,000      1.25%, 5/15/50     2,910,814  
9,585,000      1.38%, 8/15/50     9,406,779  
         12,317,593  

U.S. Treasury Inflation Index Bonds (0.9%):

 

1,286,239      0.13%, 7/15/30     1,429,976  
982,439      0.25%, 2/15/50     1,160,856  
         2,590,832  

U.S. Treasury Inflation Index Notes (0.3%):

 

691,019      0.13%, 4/15/25     735,412  

U.S. Treasury Notes (28.5%):

 

5,150,000      0.13%, 7/31/22     5,150,000  
13,285,000      0.13%, 8/31/22     13,285,000  
25,470,000      0.13%, 9/30/22     25,470,000  
19,526,000      0.25%, 8/31/25     19,510,745  
12,325,000      0.25%, 9/30/25     12,313,445  
3,365,000      0.38%, 9/30/27     3,343,969  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MetWest Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares or
Principal
Amount
          Fair Value

U.S. Treasury Obligations, continued

 

U.S. Treasury Notes, continued

 

  $4,426,000      0.63%, 8/15/30   $ 4,403,870      
      

 

 

 

           83,477,029  
      

 

 

 

     Total U.S. Treasury Obligations
(Cost $105,265,636)

    105,529,527  
      

 

 

 

Commercial Paper (0.4%):

 
1,035,000      Ford Motor Credit Co., 3.07%(a)(d)     1,034,295  
      

 

 

 

       Total Commercial Paper (Cost $1,034,376)     1,034,295  
      

 

 

 

Short-Term Securities Held as Collateral for Securities on Loan (0.3%):  
904,225      BlackRock Liquidity FedFund, Institutional Class, 1.81%(d)(e)     904,225  
      

 

 

 

     Total Short-Term Securities Held as Collateral for Securities on Loan (Cost $904,225)

    904,225  
      

 

 

 

Unaffiliated Investment Companies (1.0%):

 

Money Markets (1.0%):

 
3,013,118      Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(d)     3,013,118  
      

 

 

 

     Total Unaffiliated Investment Companies

     (Cost $3,013,118)

    3,013,118  
      

 

 

 

     Total Investment Securities

     (Cost $311,348,232) - 109.4%

    319,861,765  

     Net other assets (liabilities) - (9.4)%

    (27,402,865
      

 

 

 

     Net Assets - 100.0%

    $292,458,900  
      

 

 

 

Percentages indicated are based on net assets as of September 30, 2020.

 

 

12MTA    -    12 Month Treasury Average
GO    -    General Obligation
LIBOR    -    London Interbank Offered Rate
MTN    -    Medium \Term Note
SOFR    -    Secured Overnight Financing Rate
TBA    -    To Be Announced Security
US0001M    -    1 Month US Dollar LIBOR
US0003M    -    3 Month US Dollar LIBOR
US0006M    -    6 Month US Dollar LIBOR

 

^

This security or a partial position of this security was on loan as of September 30, 2020. The total value of securities on loan as of September 30, 2020 was $868,313.

Represents less than 0.05%.

(a)

Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees.

(b)

The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at September 30, 2020.

(c)

Defaulted bond.

(d)

The rate represents the effective yield at September 30, 2020.

(e)

Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before September 30, 2020.

    

 

 

See accompanying notes to the schedules of portfolio investments.


AZL MetWest Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

 

Futures Contracts

 

At September 30, 2020, the Fund’s open futures contracts were as follows:

Short Futures

 

Description    Expiration
Date
     Number of
Contracts
   Notional Amount      Value and    
Unrealized    
Appreciation/    
(Depreciation)    

U.S. Treasury 10-Year Note December Futures (U.S. Dollar)

     12/21/20      17    $ (2,718,672)      $ (3,075)    
           

 

 

 

            $ (3,075)    
           

 

 

 

 

Long Futures            
Description      Expiration
Date
     Number of
Contracts
   Notional Amount      Value and    
Unrealized    
Appreciation/    
(Depreciation)    

Ultra Long Term U.S. Treasury Bond September Future (U.S. Dollar)

     12/21/20      2    $ 443,625      $         (3,801)    
           

 

 

 

            $ (3,801)    
           

 

 

 

Total Net Futures Contracts

            $ (6,876)    
           

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Mid Cap Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    
Common Stocks (96.7%):   
Aerospace & Defense (1.0%):   
35,665   Axon Enterprise, Inc.*    $ 3,234,816  
23,380   Curtiss-Wright Corp.      2,180,419  
46,899   Hexcel Corp.      1,573,461  
31,709   Mercury Systems, Inc.*      2,456,179  
    

 

 

 

       9,444,875  
    

 

 

 

Air Freight & Logistics (0.5%):   
51,174   XPO Logistics, Inc.*      4,332,391  
    

 

 

 

Airlines (0.2%):   
154,009   JetBlue Airways Corp.*      1,744,922  
    

 

 

 

Auto Components (1.4%):   
52,709   Adient plc*      913,447  
80,584   Dana, Inc.      992,795  
49,178   Delphi Technologies plc*      821,764  
23,271   Fox Factory Holding Corp.*      1,729,733  
138,604   Gentex Corp.      3,569,054  
130,611   Goodyear Tire & Rubber Co.      1,001,786  
30,598   Lear Corp.      3,336,712  
15,568   Visteon Corp.*      1,077,617  
    

 

 

 

       13,442,908  
    

 

 

 

Automobiles (0.5%):   
85,974   Harley-Davidson, Inc.      2,109,802  
30,998   Thor Industries, Inc.      2,952,869  
    

 

 

 

       5,062,671  
    

 

 

 

Banks (5.1%):   
86,550   Associated Banc-Corp.      1,092,261  
54,600   BancorpSouth Bank      1,058,148  
22,460   Bank of Hawaii Corp.      1,134,679  
67,924   Bank OZK      1,448,140  
42,401   Cathay General Bancorp      919,254  
55,092   CIT Group, Inc.      975,679  
56,351   Commerce Bancshares, Inc.      3,171,998  
31,425   Cullen/Frost Bankers, Inc.      2,009,629  
79,452   East West Bancorp, Inc.      2,601,258  
182,140   F.N.B. Corp.      1,234,909  
79,771   First Financial Bankshares, Inc.      2,226,409  
311,106   First Horizon National Corp.      2,933,730  
90,237   Fulton Financial Corp.      841,911  
53,538   Glacier Bancorp, Inc.      1,715,893  
48,297   Hancock Whitney Corp.      908,467  
86,466   Home Bancshares, Inc.      1,310,825  
31,109   International Bancshares Corp.      810,701  
65,441   PacWest Bancorp      1,117,732  
42,560   Pinnacle Financial Partners, Inc.      1,514,710  
52,028   Prosperity Bancshares, Inc.      2,696,611  
30,083   Signature Bank      2,496,588  
109,379   Sterling Bancorp      1,150,667  
82,744   Synovus Financial Corp.      1,751,690  
85,533   TCF Financial Corp.      1,998,051  
28,114   Texas Capital Bancshares, Inc.*      875,189  
35,180   Trustmark Corp.      753,204  
24,402   UMB Financial Corp.      1,195,942  
123,828   Umpqua Holdings Corp.      1,315,053  
72,834   United Bankshares, Inc.      1,563,746  
225,460   Valley National Bancorp      1,544,401  
50,651   Webster Financial Corp.      1,337,693  
32,363   Wintrust Financial Corp.      1,296,138  
    

 

 

 

       49,001,306  
    

 

 

 

Beverages (0.5%):   
5,122   Boston Beer Co., Inc. (The), Class A*      4,524,570  
    

 

 

 

Biotechnology (1.7%):   
57,158   Arrowhead Pharmaceuticals, Inc.*      2,461,223  
25,344   Emergent BioSolutions, Inc.*      2,618,796  
173,607   Exelixis, Inc.*      4,244,691  
Shares             Fair Value    
Common Stocks, continued   
Biotechnology, continued   
8,918   Ligand Pharmaceuticals, Inc., Class B*^    $ 850,064  
27,437   Repligen Corp.*      4,048,055  
25,033   United Therapeutics Corp.*      2,528,333  
    

 

 

 

       16,751,162  
    

 

 

 

Building Products (1.7%):   
65,478   Builders FirstSource, Inc.*      2,135,892  
19,542   Lennox International, Inc.      5,327,345  
60,535   Owens Corning      4,165,413  
64,968   Trex Co., Inc.*      4,651,709  
    

 

 

 

       16,280,359  
    

 

 

 

Capital Markets (2.4%):   
26,033   Affiliated Managers Group, Inc.      1,780,137  
63,967   Eaton Vance Corp.      2,440,341  
22,751   Evercore, Inc., Class A      1,489,280  
21,359   FactSet Research Systems, Inc.      7,152,702  
53,865   Federated Hermes, Inc., Class B      1,158,636  
44,421   Interactive Brokers Group, Inc., Class A      2,146,867  
84,485   Janus Henderson Group plc      1,835,014  
68,469   SEI Investments Co.      3,472,748  
38,463   Stifel Financial Corp.      1,944,689  
    

 

 

 

       23,420,414  
    

 

 

 

Chemicals (2.5%):   
30,665   Ashland Global Holdings, Inc.      2,174,762  
51,397   Avient Corp.      1,359,965  
31,776   Cabot Corp.      1,144,889  
92,230   Chemours Co. (The)      1,928,529  
23,160   Ingevity Corp.*      1,145,030  
18,893   Minerals Technologies, Inc.      965,432  
4,146   NewMarket Corp.      1,419,259  
79,856   Olin Corp.      988,617  
73,084   RPM International, Inc.      6,054,280  
22,864   Scotts Miracle-Gro Co. (The)      3,496,134  
23,786   Sensient Technologies Corp.      1,373,404  
103,962   Valvoline, Inc.      1,979,436  
    

 

 

 

       24,029,737  
    

 

 

 

Commercial Services & Supplies (2.0%):   
28,346   Brink’s Co. (The)      1,164,737  
28,725   Clean Harbors, Inc.*      1,609,462  
41,272   Healthcare Services Group, Inc.      888,586  
33,409   Herman Miller, Inc.      1,007,615  
24,231   HNI Corp.      760,369  
75,197   IAA, Inc.*      3,915,507  
72,287   KAR Auction Services, Inc.      1,040,933  
20,328   MSA Safety, Inc.      2,727,408  
51,321   Stericycle, Inc.*      3,236,302  
30,321   Tetra Tech, Inc.      2,895,656  
    

 

 

 

       19,246,575  
    

 

 

 

Communications Equipment (1.0%):   
86,275   Ciena Corp.*      3,424,254  
17,127   InterDigital, Inc.      977,267  
42,058   Lumentum Holdings, Inc.*      3,159,818  
40,703   NetScout Systems, Inc.*      888,546  
36,053   ViaSat, Inc.*      1,239,863  
    

 

 

 

       9,689,748  
    

 

 

 

Construction & Engineering (1.1%):   
89,885   AECOM*      3,760,787  
17,987   Dycom Industries, Inc.*      950,073  
30,784   EMCOR Group, Inc.      2,084,385  
70,270   Fluor Corp.      619,079  
31,598   MasTec, Inc.*      1,333,436  
11,993   Valmont Industries, Inc.      1,489,291  
    

 

 

 

       10,237,051  
    

 

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Mid Cap Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    
Common Stocks, continued   
Construction Materials (0.2%):   
23,369   Eagle Materials, Inc., Class A    $ 2,017,212  
    

 

 

 

Consumer Finance (0.4%):   
23,261   Firstcash, Inc.      1,330,762  
108,569   Navient Corp.      917,408  
210,695   SLM Corp.      1,704,522  
    

 

 

 

       3,952,692  
    

 

 

 

Containers & Packaging (1.1%):   
36,305   AptarGroup, Inc.      4,109,725  
14,694   Greif, Inc., Class A      532,070  
89,323   O-I Glass, Inc.      945,931  
44,471   Silgan Holdings, Inc.      1,635,199  
56,323   Sonoco Products Co.      2,876,416  
    

 

 

 

       10,099,341  
    

 

 

 

Distributors (0.8%):   
22,543   Pool Corp.      7,541,535  
    

 

 

 

Diversified Consumer Services (1.2%):   
28,759   Adtalem Global Education, Inc.*      705,746  
2,373   Graham Holdings Co., Class B      958,953  
26,600   Grand Canyon Education, Inc.*      2,126,404  
108,058   H&R Block, Inc.      1,760,265  
99,165   Service Corp. International      4,182,779  
13,552   Strategic Education, Inc.      1,239,601  
26,426   WW International, Inc.*      498,659  
    

 

 

 

       11,472,407  
    

 

 

 

Diversified Financial Services (0.2%):   
121,611   Jefferies Financial Group, Inc.      2,188,998  
    

 

 

 

Electric Utilities (1.1%):   
29,095   ALLETE, Inc.      1,505,375  
61,287   Hawaiian Electric Industries, Inc.      2,037,180  
28,290   IDACORP, Inc.      2,260,371  
112,404   OGE Energy Corp.      3,370,996  
44,721   PNM Resources, Inc.      1,848,319  
    

 

 

 

       11,022,241  
    

 

 

 

Electrical Equipment (3.1%):   
22,262   Acuity Brands, Inc.      2,278,516  
23,877   EnerSys      1,602,624  
70,780   Enphase Energy, Inc.*      5,845,720  
35,364   Generac Holdings, Inc.*      6,847,885  
30,438   Hubbell, Inc.      4,165,136  
95,504   nVent Electric plc      1,689,466  
22,762   Regal-Beloit Corp.      2,136,669  
71,273   Sunrun, Inc.*      5,493,010  
    

 

 

 

       30,059,026  
    

 

 

 

Electronic Equipment, Instruments & Components (3.6%):   
43,624   Arrow Electronics, Inc.*      3,431,464  
55,452   Avnet, Inc.      1,432,880  
24,969   Belden, Inc.      777,035  
97,230   Cognex Corp.      6,329,673  
13,622   Coherent, Inc.*      1,511,088  
58,269   II-VI, Inc.*      2,363,391  
76,008   Jabil, Inc.      2,604,034  
13,644   Littlelfuse, Inc.      2,419,627  
73,778   National Instruments Corp.      2,633,875  
23,123   SYNNEX Corp.      3,238,607  
140,854   Trimble, Inc.*      6,859,590  
74,355   Vishay Intertechnology, Inc.      1,157,707  
    

 

 

 

       34,758,971  
    

 

 

 

Energy Equipment & Services (0.1%):   
103,576   ChampionX Corp.*      827,572  
    

 

 

 

Entertainment (0.2%):   
60,971   Cinemark Holdings, Inc.      609,710  
Shares             Fair Value    
Common Stocks, continued   
Entertainment, continued   
25,965   World Wrestling Entertainment, Inc., Class A    $ 1,050,804  
    

 

 

 

       1,660,514  
    

 

 

 

Equity Real Estate Investment Trusts (8.7%):   
77,251   American Campus Communities, Inc.      2,697,605  
166,523   Brixmor Property Group, Inc.      1,946,654  
54,618   Camden Property Trust      4,859,910  
23,899   Coresite Realty Corp.      2,841,113  
62,980   Corporate Office Properties Trust      1,493,886  
83,373   Cousins Properties, Inc.      2,383,634  
65,673   Cyrusone, Inc.      4,599,080  
92,535   Douglas Emmett, Inc.      2,322,629  
22,159   EastGroup Properties, Inc.      2,865,823  
41,926   EPR Properties      1,152,965  
71,364   First Industrial Realty Trust, Inc.      2,840,287  
69,262   Geo Group, Inc. (The)      785,431  
76,825   Healthcare Realty Trust, Inc.      2,313,969  
58,275   Highwoods Properties, Inc.      1,956,292  
86,059   Hudson Pacific Properties, Inc.      1,887,274  
63,387   JBG SMITH Properties      1,694,968  
58,840   Kilroy Realty Corp.      3,057,326  
48,474   Lamar Advertising Co., Class A      3,207,525  
26,310   Life Storage, Inc.      2,769,654  
296,668   Medical Properties Trust, Inc.      5,230,256  
97,435   National Retail Properties, Inc.      3,362,482  
127,403   Omega Healthcare Investors, Inc.      3,814,446  
132,317   Parks Hotels & Resorts, Inc.      1,321,847  
74,577   Pebblebrook Hotel Trust      934,450  
116,852   Physicians Realty Trust      2,092,819  
37,572   PotlatchDeltic Corp.      1,581,781  
11,247   PS Business Parks, Inc.      1,376,520  
76,535   Rayonier, Inc.      2,023,585  
69,644   Rexford Industrial Realty, Inc.      3,186,909  
115,452   Sabra Health Care REIT, Inc.      1,591,506  
93,324   Service Properties Trust      741,926  
57,782   Spirit Realty Capital, Inc.      1,950,143  
128,091   STORE Capital Corp.      3,513,536  
34,590   Taubman Centers, Inc.      1,151,501  
64,616   The Macerich Co.^      438,743  
62,200   Urban Edge Properties      604,584  
67,361   Weingarten Realty Investors      1,142,443  
    

 

 

 

       83,735,502  
    

 

 

 

Food & Staples Retailing (1.1%):   
77,488   BJ’s Wholesale Club Holdings, Inc.*      3,219,626  
20,846   Casey’s General Stores, Inc.      3,703,292  
46,855   Grocery Outlet Holding Corp.*      1,842,339  
66,165   Sprouts Farmers Market, Inc.*      1,384,833  
    

 

 

 

       10,150,090  
    

 

 

 

Food Products (2.0%):   
91,043   Darling Ingredients, Inc.*      3,280,278  
110,436   Flowers Foods, Inc.      2,686,908  
46,920   Hain Celestial Group, Inc. (The)*      1,609,356  
37,638   Ingredion, Inc.      2,848,444  
10,942   Lancaster Colony Corp.      1,956,430  
26,556   Pilgrim’s Pride Corp.*      397,411  
35,455   Post Holdings, Inc.*      3,049,130  
11,115   Sanderson Farms, Inc.      1,311,237  
10,087   Tootsie Roll Industries, Inc.^      311,688  
31,699   TreeHouse Foods, Inc.*      1,284,760  
    

 

 

 

       18,735,642  
    

 

 

 

Gas Utilities (1.4%):   
51,511   National Fuel Gas Co.      2,090,831  
53,813   New Jersey Resources Corp.      1,454,027  
29,669   ONE Gas, Inc.      2,047,458  
31,481   Southwest Gas Holdings, Inc.      1,986,451  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Mid Cap Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    
Common Stocks, continued   
Gas Utilities, continued   
28,772   Spire, Inc.    $ 1,530,670  
116,954   UGI Corp.      3,857,144  
    

 

 

 

       12,966,581  
    

 

 

 

Health Care Equipment & Supplies (3.3%):   
27,285   Avanos Medical, Inc.*      906,408  
20,758   Cantel Medical Corp.      912,107  
42,469   Globus Medical, Inc., Class A*      2,103,065  
28,668   Haemonetics Corp.*      2,501,283  
37,369   Hill-Rom Holdings, Inc.      3,120,685  
10,875   ICU Medical, Inc.*      1,987,515  
40,247   Integra LifeSciences Holdings Corp.*      1,900,463  
27,281   LivaNova plc*      1,233,374  
28,402   Masimo Corp.*      6,704,577  
28,783   NuVasive, Inc.*      1,397,990  
18,879   Penumbra, Inc.*      3,669,700  
21,459   Quidel Corp.*      4,707,675  
    

 

 

 

       31,144,842  
    

 

 

 

Health Care Providers & Services (3.0%):   
49,940   Acadia Healthcare Co., Inc.*      1,472,231  
18,175   Amedisys, Inc.*      4,297,115  
8,973   Chemed Corp.      4,310,181  
55,796   Encompass Health Corp.      3,625,624  
43,323   HealthEquity, Inc.*      2,225,503  
17,752   LHC Group, Inc.*      3,773,365  
48,882   MEDNAX, Inc.*      795,799  
33,247   Molina Healthcare, Inc.*      6,085,530  
48,398   Patterson Cos., Inc.      1,166,634  
58,792   Tenet Healthcare Corp.*      1,440,992  
    

 

 

 

       29,192,974  
    

 

 

 

Hotels, Restaurants & Leisure (4.3%):   
44,808   Boyd Gaming Corp.      1,375,158  
112,023   Caesars Entertainment, Inc.*      6,280,010  
16,300   Choice Hotels International, Inc.      1,401,148  
19,956   Churchill Downs, Inc.      3,269,192  
13,308   Cracker Barrel Old Country Store, Inc.      1,525,895  
46,160   Dunkin’ Brands Group, Inc.      3,780,966  
12,614   Jack in the Box, Inc.      1,000,416  
23,056   Marriott Vacations Worldwide Corp.      2,093,715  
18,471   Papa John’s International, Inc.      1,519,794  
80,869   Penn National Gaming, Inc.*      5,879,177  
31,867   Scientific Games Corp., Class A*      1,112,477  
42,310   Six Flags Entertainment Corp.      858,893  
36,593   Texas Roadhouse, Inc., Class A      2,224,488  
100,144   Wendy’s Co. (The)      2,232,710  
16,634   Wingstop, Inc.      2,273,036  
47,894   Wyndham Destinations, Inc.      1,473,219  
52,300   Wyndham Hotels & Resorts, Inc.      2,641,150  
    

 

 

 

       40,941,444  
    

 

 

 

Household Durables (1.7%):   
14,172   Helen of Troy, Ltd.*      2,742,565  
49,759   KB Home      1,910,248  
72,820   Taylor Morrison Home Corp., Class A*      1,790,644  
26,981   Tempur Sealy International, Inc.*      2,406,435  
64,104   Toll Brothers, Inc.      3,119,301  
18,499   TopBuild Corp.*      3,157,594  
73,156   TRI Pointe Group, Inc.*      1,327,050  
    

 

 

 

       16,453,837  
    

 

 

 

Household Products (0.1%):   
32,807   Energizer Holdings, Inc.      1,284,066  
    

 

 

 

Industrial Conglomerates (0.4%):   
30,824   Carlisle Cos., Inc.      3,771,933  
    

 

 

 

Shares             Fair Value    
Common Stocks, continued   
Insurance (4.3%):   
8,032   Alleghany Corp.    $ 4,180,254  
40,323   American Financial Group, Inc.      2,700,835  
52,713   Brighthouse Financial, Inc.*      1,418,507  
132,016   Brown & Brown, Inc.      5,976,365  
78,836   CNO Financial Group, Inc.      1,264,529  
62,562   First American Financial Corp.      3,185,031  
285,245   Genworth Financial, Inc., Class A*      955,571  
21,311   Hanover Insurance Group, Inc. (The)      1,985,759  
34,443   Kemper Corp.      2,301,826  
14,687   Mercury General Corp.      607,601  
160,637   Old Republic International Corp.      2,367,789  
22,272   Primerica, Inc.      2,519,854  
38,078   Reinsurance Group of America, Inc.      3,624,645  
28,780   RenaissanceRe Holdings, Ltd.      4,885,118  
22,067   RLI Corp.      1,847,670  
33,521   Selective Insurance Group, Inc.      1,725,996  
    

 

 

 

       41,547,350  
    

 

 

 

Interactive Media & Services (0.2%):   
54,089   TripAdvisor, Inc.      1,059,604  
38,901   Yelp, Inc.*      781,521  
    

 

 

 

       1,841,125  
    

 

 

 

Internet & Direct Marketing Retail (0.4%):   
51,626   Grubhub, Inc.*      3,734,109  
    

 

 

 

IT Services (2.4%):   
26,778   Alliance Data Systems Corp.      1,124,140  
14,083   CACI International, Inc., Class A*      3,001,932  
44,590   CoreLogic, Inc.      3,017,405  
79,907   KBR, Inc.      1,786,721  
37,314   LiveRamp Holdings, Inc.*      1,931,746  
34,412   Maximus, Inc.      2,354,125  
76,694   Perspecta, Inc.      1,491,698  
174,825   Sabre Corp.      1,138,111  
32,689   Science Applications International Corp.      2,563,471  
60,921   Teradata Corp.*      1,382,907  
24,782   WEX, Inc.*      3,443,955  
    

 

 

 

       23,236,211  
    

 

 

 

Leisure Products (0.8%):   
44,439   Brunswick Corp.      2,617,901  
194,861   Mattel, Inc.*      2,279,874  
32,326   Polaris, Inc.      3,049,635  
    

 

 

 

       7,947,410  
    

 

 

 

Life Sciences Tools & Services (2.0%):   
21,665   Bio-Techne Corp.      5,367,070  
27,932   Charles River Laboratories International, Inc.*      6,325,202  
15,295   Medpace Holdings, Inc.*      1,709,216  
36,043   PRA Health Sciences, Inc.*      3,656,202  
39,215   Syneos Health, Inc.*      2,084,669  
    

 

 

 

       19,142,359  
    

 

 

 

Machinery (4.7%):   
34,435   AGCO Corp.      2,557,487  
56,528   Colfax Corp.*      1,772,718  
27,701   Crane Co.      1,388,651  
70,817   Donaldson Co., Inc.      3,287,325  
93,525   Graco, Inc.      5,737,759  
48,458   ITT, Inc.      2,861,445  
46,587   Kennametal, Inc.      1,348,228  
33,342   Lincoln Electric Holdings, Inc.      3,068,798  
31,207   Middleby Corp. (The)*      2,799,580  
30,339   Nordson Corp.      5,819,628  
38,228   Oshkosh Corp.      2,809,758  
38,890   Terex Corp.      752,910  
37,928   Timken Co.      2,056,456  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Mid Cap Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares             Fair Value    
Common Stocks, continued   
Machinery, continued   
60,161   Toro Co. (The)    $ 5,050,516  
50,182   Trinity Industries, Inc.      978,549  
32,603   Woodward, Inc.      2,613,456  
    

 

 

 

       44,903,264  
    

 

 

 

Marine (0.1%):   
33,746   Kirby Corp.*      1,220,593  
    

 

 

 

Media (1.3%):   
22,588   AMC Networks, Inc., Class A*      558,149  
3,046   Cable One, Inc.      5,743,020  
24,044   John Wiley & Sons, Inc., Class A      762,435  
81,044   New York Times Co. (The), Class A      3,467,873  
122,802   Tegna, Inc.      1,442,924  
    

 

 

 

       11,974,401  
    

 

 

 

Metals & Mining (1.6%):   
66,888   Commercial Metals Co.      1,336,422  
19,313   Compass Minerals International, Inc.      1,146,227  
35,718   Reliance Steel & Aluminum Co.      3,644,665  
36,811   Royal Gold, Inc.      4,423,578  
112,909   Steel Dynamics, Inc.      3,232,585  
121,830   United States Steel Corp.^      894,232  
20,026   Worthington Industries, Inc.      816,660  
    

 

 

 

       15,494,369  
    

 

 

 

Multiline Retail (0.5%):   
88,560   Kohl’s Corp.      1,641,017  
59,841   Nordstrom, Inc.^      713,305  
32,134   Ollie’s Bargain Outlet Holdings, Inc.*      2,806,904  
    

 

 

 

       5,161,226  
    

 

 

 

Multi-Utilities (0.6%):   
35,257   Black Hills Corp.      1,885,897  
112,600   MDU Resources Group, Inc.      2,533,500  
28,377   NorthWestern Corp.      1,380,257  
    

 

 

 

       5,799,654  
    

 

 

 

Oil, Gas & Consumable Fuels (1.0%):   
162,468   Antero Midstream Corp.      872,453  
57,691   Cimarex Energy Co.      1,403,622  
126,042   CNX Resources Corp.*      1,189,836  
143,638   EQT Corp.      1,857,239  
228,378   Equitrans Midstream Corp.      1,932,079  
81,697   Murphy Oil Corp.      728,737  
36,154   World Fuel Services Corp.      766,103  
230,110   WPX Energy, Inc.*      1,127,539  
    

 

 

 

       9,877,608  
    

 

 

 

Paper & Forest Products (0.3%):   
30,985   Domtar Corp.      813,976  
63,002   Louisiana-Pacific Corp.      1,859,189  
    

 

 

 

       2,673,165  
    

 

 

 

Personal Products (0.3%):   
158,546   Coty, Inc., Class A      428,074  
29,966   Edgewell Personal Care Co.*      835,452  
29,148   Nu Skin Enterprises, Inc., Class A      1,460,024  
    

 

 

 

       2,723,550  
    

 

 

 

Pharmaceuticals (0.7%):   
31,110   Jazz Pharmaceuticals plc*      4,435,975  
99,981   Nektar Therapeutics*      1,658,685  
28,031   Prestige Consumer Healthcare, Inc.*      1,020,889  
    

 

 

 

       7,115,549  
    

 

 

 

Professional Services (0.8%):   
29,485   ASGN, Inc.*      1,874,067  
20,518   FTI Consulting, Inc.*      2,174,292  
20,466   Insperity, Inc.      1,340,318  
32,590   ManpowerGroup, Inc.      2,389,825  
    

 

 

 

       7,778,502  
    

 

 

 

Shares             Fair Value    
Common Stocks, continued   
Real Estate Management & Development (0.3%):   
28,983   Jones Lang LaSalle, Inc.    $ 2,772,514  
    

 

 

 

Road & Rail (0.9%):   
28,656   Avis Budget Group, Inc.*      754,226  
70,763   Knight-Swift Transportation Holdings, Inc.      2,880,053  
21,539   Landstar System, Inc.      2,702,929  
30,194   Ryder System, Inc.      1,275,395  
32,934   Werner Enterprises, Inc.      1,382,899  
    

 

 

 

       8,995,502  
    

 

 

 

Semiconductors & Semiconductor Equipment (4.0%):   
16,322   Cabot Microelectronics Corp.      2,330,945  
32,784   Cirrus Logic, Inc.*      2,211,281  
61,639   Cree, Inc.*      3,928,870  
47,579   First Solar, Inc.*      3,149,730  
31,124   MKS Instruments, Inc.      3,399,675  
23,732   Monolithic Power Systems, Inc.      6,635,704  
36,572   Semtech Corp.*      1,936,853  
24,532   Silicon Laboratories, Inc.*      2,400,456  
28,158   SolarEdge Technologies, Inc.*      6,711,459  
19,109   Synaptics, Inc.*      1,536,746  
24,085   Universal Display Corp.      4,353,122  
    

 

 

 

       38,594,841  
    

 

 

 

Software (3.7%):   
65,122   ACI Worldwide, Inc.*      1,701,638  
27,853   Blackbaud, Inc.      1,555,033  
68,236   CDK Global, Inc.      2,974,407  
72,909   Ceridian HCM Holding, Inc.*      6,025,929  
26,062   CommVault Systems, Inc.*      1,063,330  
16,284   Fair Isaac Corp.*      6,926,888  
24,983   J2 Global, Inc.*      1,729,323  
35,660   Manhattan Associates, Inc.*      3,405,173  
20,863   Paylocity Holding Corp.*      3,367,705  
58,823   PTC, Inc.*      4,865,839  
18,812   Qualys, Inc.*      1,843,764  
    

 

 

 

       35,459,029  
    

 

 

 

Specialty Retail (2.8%):   
37,945   Aaron’s, Inc.      2,149,584  
83,778   American Eagle Outfitters, Inc.      1,240,752  
32,928   AutoNation, Inc.*      1,742,879  
36,594   Dick’s Sporting Goods, Inc.      2,118,061  
31,311   Five Below, Inc.*      3,976,497  
58,569   Foot Locker, Inc.      1,934,534  
12,605   Lithia Motors, Inc., Class A      2,873,184  
15,167   Murphy U.S.A., Inc.*      1,945,471  
8,680   RH*      3,321,142  
62,297   Sally Beauty Holdings, Inc.*      541,361  
38,501   Urban Outfitters, Inc.*      801,206  
43,673   Williams-Sonoma, Inc.      3,949,786  
    

 

 

 

       26,594,457  
    

 

 

 

Technology Hardware, Storage & Peripherals (0.2%):   
71,803   NCR Corp.*      1,589,718  
    

 

 

 

Textiles, Apparel & Luxury Goods (1.0%):   
24,492   Carter’s, Inc.      2,120,517  
17,116   Columbia Sportswear Co.      1,488,750  
15,722   Deckers Outdoor Corp.*      3,458,998  
76,479   Skechers U.S.A., Inc., Class A*      2,311,195  
    

 

 

 

       9,379,460  
    

 

 

 

Thrifts & Mortgage Finance (0.7%):   
63,138   Essent Group, Ltd.      2,336,737  
4,432   LendingTree, Inc.*^      1,360,136  
260,632   New York Community Bancorp, Inc.      2,155,427  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Mid Cap Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
            Fair Value    
Common Stocks, continued   
Thrifts & Mortgage Finance, continued   
42,314   Washington Federal, Inc.    $ 882,670  
    

 

 

 

       6,734,970  
    

 

 

 

Trading Companies & Distributors (0.9%):   
19,618   GATX Corp.      1,250,648  
25,512   MSC Industrial Direct Co., Inc., Class A      1,614,399  
94,946   Univar Solutions, Inc.*      1,602,688  
18,393   Watsco, Inc.      4,283,546  
    

 

 

 

       8,751,281  
    

 

 

 

Water Utilities (0.5%):   
125,190   Essential Utilities, Inc.      5,038,898  
    

 

 

 

Wireless Telecommunication Services (0.1%):   
56,452   Telephone & Data Systems, Inc.      1,040,975  
    

 

 

 

Total Common Stocks (Cost $808,283,310)

     928,308,199  
  

 

 

 

Private Placements (1.2%):   
Internet & Direct Marketing Retail (0.8%):   
76,914   Airbnb, Inc., Series D, 0.00%(a)(b)      7,779,082  
    

 

 

 

Software (0.4%):   
229,712  

Palantir Technologies, Inc., Series G, 0.00%*(a)(b)

     2,094,973  
67,672  

Palantir Technologies, Inc., Series H, 0.00%(a)(b)

     617,169  
67,672  

Palantir Technologies, Inc., Series H1, 0.00%(a)(b)

     617,169  
    

 

 

 

       3,329,311  
    

 

 

 

Total Private Placements (Cost $4,309,378)

     11,108,393  
  

 

 

 

Short-Term Securities Held as Collateral for Securities on Loan (0.4%):   
4,202,162   BlackRock Liquidity FedFund, Institutional Class , 1.81%(c)(d)      4,202,162  
    

 

 

 

Total Short-Term Securities Held as Collateral for Securities on Loan (Cost $4,202,162)

     4,202,162  
  

 

 

 

Unaffiliated Investment Companies (2.1%):   
Money Markets (2.1%):   
20,051,054   Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(d)      20,051,054  
    

 

 

 

Total Unaffiliated Investment Companies (Cost $20,051,054)

     20,051,054  
  

 

 

 

Total Investment Securities

(Cost $836,845,904) - 100.4%

     963,669,808  

Net other assets (liabilities) - (0.4)%

     (3,921,884)  
  

 

 

 

Net Assets - 100.0%

     $959,747,924  
  

 

 

 

Percentages indicated are based on net assets as of September 30, 2020.

 

REIT       -      Real Estate Investment Trust

 

*

Non-income producing security.

^

This security or a partial position of this security was on loan as of September 30, 2020. The total value of securities on loan as of September 30, 2020 was $4,067,376.

(a)

Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of September 30, 2020. The total of all such securities represent 1.16% of the net assets of the fund.

(b)

Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of September 30, 2020, these securities represent 1.16% of the net assets of the fund.

(c)

Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before September 30, 2020.

(d)

The rate represents the effective yield at September 30, 2020.

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Mid Cap Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Futures Contracts

At September 30, 2020, the Fund’s open futures contracts were as follows:

Long Futures

 

Description        Expiration    
Date
     Number of
Contracts
     Notional
Amount
     Value and      
Unrealized      
Appreciation/      
(Depreciation)      

S&P MidCap 400 E-Mini December Futures (U.S Dollar)

     12/18/20        113      $     20,971,670      $            73,975      
           

 

            $            73,975      
           

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Moderate Index Strategy Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares           Fair Value  

 

 

Affiliated Investment Companies (100.1%):

  

Domestic Equity Funds (45.8%):

  

    2,644,584

   AZL Mid Cap Index Fund, Class 2    $         52,706,559  

9,503,613

   AZL S&P 500 Index Fund, Class 2          181,899,148  

2,372,786

 

  

AZL Small Cap Stock Index Fund, Class 2

 

    

 

26,480,293

 

 

 

     

 

 

 
        261,086,000  
     

 

 

 

Fixed Income Funds (39.3%):

  

18,732,135

   AZL Enhanced Bond Index Fund      224,036,340  
     

 

 

 

International Equity Funds (15.0%):

  

5,478,117

   AZL International Index Fund, Class 2      85,239,501  
     

 

 

 

Total Affiliated Investment Companies
(Cost $488,833,620)

     570,361,841  
     

 

 

 

Total Investment Securities
(Cost $488,833,620) - 100.1%

     570,361,841  

Net other assets (liabilities) - (0.1%)

     (488,805)  
     

 

 

 

Net Assets - 100.0%

   $     569,873,036  
     

 

 

 

Percentages indicated are based on net assets as of September 30, 2020.

                

 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Emerging Markets Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks (97.6%):

 

Aerospace & Defense (0.1%):

 
          6,899      Aecc Aviation Power Co., Ltd.   $ 41,828  
30,170      Aselsan Elektronik Sanayi Ve Ticaret AS     75,509  
7,300      Avic Aircraft Co., Ltd.     24,699  
800      AVIC Shenyang Aircraft Co., Ltd., Class A     6,752  
83,000      AviChina Industry & Technology Co., Ltd., Class H     47,471  
4,500      China Spacesat Co., Ltd., Class A     22,044  
3,628      Korea Aerospace Industries, Ltd.     70,697  
         289,000  

Air Freight & Logistics (0.3%):

 
9,147      BEST, Inc., ADR*^     27,441  
730      Hyundai Glovis Co., Ltd.     91,337  
7,700      SF Holding Co., Ltd., Class A     92,174  
3,900      Yunda Holding Co., Ltd., Class A     10,748  
13,745      ZTO Express Cayman, Inc., ADR     411,250  
         632,950  

Airlines (0.2%):

 
98,000      Air China, Ltd.     64,270  
39,299      China Eastern Airlines Corp., Ltd.     28,491  
50,000      China Eastern Airlines Corp., Ltd., Class H     21,418  
38,000      China Southern Airlines Co., Ltd.*     32,320  
28,000      China Southern Airlines Co., Ltd., Class H*^     15,194  
99,676      Eva Airways Corp.     36,854  
4,189      InterGlobe Aviation, Ltd.*     71,137  
3,707      Korean Air Lines Co., Ltd.*     59,093  
28,736      Turk Hava Yollari Anonim Ortakligi*     39,086  
         367,863  

Auto Components (0.4%):

 
6,982      Bharat Forge, Ltd.     42,605  
129      Bosch, Ltd.     24,096  
77,000      Cheng Shin Rubber Industry Co., Ltd.     98,195  
10,000      Fuyao Glass Industry Group Co., Ltd.     47,749  
12,800      Fuyao Glass Industry Group Co., Ltd., Class H     47,138  
2,479      Hankook Tire & Technology Co., Ltd.     66,151  
6,919      Hanon Systems     72,952  
10,400      Huayu Automotive Systems Co., Ltd.     38,223  
2,633      Hyundai Mobis Co., Ltd.     517,290  
31,296      Motherson Sumi Systems, Ltd.     49,036  
8,300      Ningbo Joyson Electronic Corp.     27,151  
         1,030,586  

Automobiles (2.1%):

 
822,800      Astra International Tbk PT     248,212  
3,300      BAIC BluePark New Energy Technology Co., Ltd., Class A*     2,870  
91,500      BAIC Motor Corp., Ltd., Class H     37,498  
2,257      Bajaj Auto, Ltd.     88,190  
124,000      Brilliance China Automotive Holdings, Ltd.     116,692  
3,933      BYD Co., Ltd.     67,613  
25,000      BYD Co., Ltd., Class H     396,587  
8,200      Chongqing Changan Automobile Co., Ltd., Class A*     16,219  
108,000      Dongfeng Motor Group Co., Ltd., Class H     67,632  
5,640      Eicher Motors, Ltd.     169,701  
2,009      Ford Otomotiv Sanayi AS     22,767  
214,000      Geely Automobile Holdings, Ltd.     429,793  
125,500      Great Wall Motor Co., Ltd., Class H     159,931  
Shares               Fair Value      

Common Stocks, continued

 

Automobiles, continued

 
125,200      Guangzhou Automobile Group Co., Ltd.   $ 104,967  
          4,024      Hero MotoCorp, Ltd.     172,323  
732      Hyundai Motor Co., Ltd.     52,777  
5,739      Hyundai Motor Co., Ltd.     874,903  
10,264      Kia Motors Corp.     418,365  
30,039      Mahindra & Mahindra, Ltd.     248,911  
4,761      Maruti Suzuki India, Ltd.     437,441  
40,666      NIO, Inc., ADR*     862,932  
26,000      SAIC Motor Corp., Ltd.     73,296  
65,884      Tata Motors, Ltd.*     120,016  
         5,189,636  

Banks (10.7%):

 
29,428      Absa Group, Ltd.     156,657  
115,432      Abu Dhabi Commercial Bank     177,661  
194,200      Agricultural Bank of China, Ltd.     90,397  
1,000,000      Agricultural Bank of China, Ltd., Class A     313,117  
139,318      Akbank T.A.S.*     92,946  
45,858      Al Rajhi Bank     803,687  
33,870      Alinma Bank*     147,648  
53,900      AMMB Holdings Berhad     39,052  
25,089      Arab National Bank     135,600  
84,432      Axis Bank, Ltd.*     490,146  
49,140      Banco Bradesco SA     157,689  
1,862,909      Banco de Chile     142,294  
1,889      Banco de Credito e Inversiones     59,688  
33,971      Banco do Brasil SA     179,186  
11,234      Banco Santander Brasil SA     55,935  
2,964,227      Banco Santander Chile     103,104  
12,806      Bancolombia SA     81,283  
16,148      Bancolombia SA     104,270  
25,584      Bandhan Bank, Ltd.*     95,745  
23,500      Bangkok Bank Public Co., Ltd.     71,383  
13,481      Bank AlBilad     86,808  
19,448      Bank Al-Jazira     72,733  
664,000      Bank Mandiri Persero Tbk PT     223,415  
75,300      Bank of Beijing Co., Ltd., Class A     51,758  
2,984,000      Bank of China, Ltd.     929,076  
72,500      Bank of China, Ltd., Class A     34,106  
121,799      Bank of Communications Co., Ltd., Class A     81,202  
251,000      Bank of Communications Co., Ltd., Class H     120,708  
20,000      Bank of Hangzhou Co., Ltd.     34,631  
55,800      Bank of Jiangsu Co., Ltd.     49,842  
39,000      Bank of Nanjing Co., Ltd.     45,214  
17,600      Bank of Ningbo Co., Ltd.     81,426  
55,170      Bank of Shanghai Co., Ltd., Class A     65,975  
24,736      Bank of the Philippine Islands     32,663  
7,141      Bank Pekao SA*     92,759  
22,647      Banque Saudi Fransi     195,139  
81,114      BDO Unibank, Inc.     144,812  
9,341      BNK Financial Group, Inc.     40,144  
2,752      Capitec Bank Holdings, Ltd.     170,430  
207,053      Chang Hwa Commercial Bank     124,143  
257,000      China Citic Bank Co., Ltd.     99,775  
17,600      China Citic Bank Corp., Ltd.     13,053  
3,603,000      China Construction Bank     2,346,394  
32,600      China Construction Bank Corp.     29,442  
526,000      China Development Financial Holding Corp.     154,701  
122,500      China Everbright Bank Co., Ltd.     65,674  
99,000      China Everbright Bank Co., Ltd., Class H     31,267  
145,000      China Merchants Bank Co., Ltd.     690,510  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Emerging Markets Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Banks, continued

 
48,344      China Merchants Bank Co., Ltd.   $ 255,684  
182,300      China Minsheng Banking Corp., Ltd.     95,639  
104,500      China Minsheng Banking Corp., Ltd., Class A     81,342  
125,000      Chongqing Rural Commercial Bank Co., Ltd.     46,096  
222,300      CIMB Group Holdings Berhad     165,453  
77,279      Commercial Bank of Qatar Qsc (The)     86,443  
56,946      Commercial International Bank Egypt SAE     240,974  
          2,377      Credicorp, Ltd.     294,724  
670,000      CTBC Financial Holding Co., Ltd.     426,060  
88,063      Dubai Islamic Bank     104,030  
442,005      E.Sun Financial Holding Co., Ltd.     391,050  
74,638      Emirates NBD Bank PJSC     217,293  
105,346      First Abu Dhabi Bank PJSC     322,755  
385,649      First Financial Holdings Co., Ltd.     274,319  
100,606      Grupo Financiero Banorte SAB de C.V.*     348,736  
58,223      Grupo Financiero Inbursa SAB de C.V., Class O*     45,385  
12,569      Habib Bank, Ltd.     9,944  
10,695      Hana Financial Holdings Group, Inc.     254,583  
25,700      Hong Leong Bank Berhad     93,389  
6,400      Hong Leong Financial Group Berhad     22,097  
297,275      Hua Nan Financial Holdings Co., Ltd.     181,267  
26,900      Huaxia Bank Co., Ltd., Class A     24,221  
191,029      ICICI Bank, Ltd.*     926,733  
143,100      Industrial & Commercial Bank of China, Ltd., Class A     103,400  
2,269,000      Industrial & Commercial Bank of China, Ltd., Class H     1,182,945  
54,200      Industrial Bank Co., Ltd.     128,421  
8,902      Industrial Bank of Korea (IBK)     60,540  
178,741      Itausa - Investimentos Itau S.A.     280,104  
19,600      Kasikornbank Public Co., Ltd.     47,775  
53,300      Kasikornbank Public Co., Ltd.     129,920  
14,554      KB Financial Group, Inc.     469,442  
2,004      Komercni Banka AS     42,153  
114,800      Krung Thai Bank     32,131  
147,201      Malayan Banking Bhd     256,589  
129,115      Masraf Al Rayan     147,822  
100      mBank SA     4,305  
29,363      MCB Bank, Ltd.     30,803  
379,000      Mega Financial Holdings Co., Ltd.     364,110  
46,592      Metropolitan Bank & Trust     36,723  
24,321      Moneta Money Bank AS     56,026  
55,182      National Commercial Bank     546,864  
14,993      Nedcor, Ltd.     90,077  
8,652      OTP Bank Nyrt*     260,472  
51,000      Ping An Bank Co., Ltd., Class A     113,707  
386,000      Postal Savings Bank of China Co., Ltd., Class H     162,404  
30,583      Powszechna Kasa Oszczednosci Bank Polski SA*     167,581  
367,600      PT Bank Central Asia Tbk     672,669  
302,700      PT Bank Negara Indonesia Tbk     91,186  
2,074,000      PT Bank Rakyat Indonesia Tbk     426,608  
109,100      Public Bank Berhad     412,630  
27,221      Qatar International Islamic Bank QSC     62,822  
44,437      Qatar Islamic Bank     201,952  
167,081      Qatar National Bank     834,197  
59,900      RHB Bank Bhd     65,935  
50,784      Riyad Bank     252,532  
35,841      Samba Financial Group     257,206  
Shares               Fair Value      

Common Stocks, continued

 

Banks, continued

 
1,058      Santander Bank Polska SA*   $ 38,961  
397,576      Sberbank of Russia*     1,166,092  
141,724      Shanghai Commercial & Savings Bank, Ltd. (The)     190,280  
88,300      Shanghai Pudong Development Bank Co., Ltd.     121,750  
16,865      Shinhan Financial Group Co., Ltd.     392,268  
39,600      Siam Commercial Bank Public Co., Ltd.     81,452  
354,800      SinoPac Financial Holdings Co., Ltd.     133,346  
47,614      Standard Bank Group, Ltd.     306,788  
74,165      State Bank of India*     187,857  
337,078      Taishin Financial Holding Co., Ltd.     149,103  
225,606      Taiwan Business Bank     74,371  
339,752      Taiwan Cooperative Financial Holding Co., Ltd.     228,933  
29,175      The Saudi British Bank     196,900  
858,486      TMB Bank pcl     24,169  
84,640      Turkiye Garanti Bankasi AS*     77,826  
75,100      Turkiye Is Bankasi AS, Class C*     52,065  
18,589      VTB Bank PJSC, GDR*     15,464  
112,678,346      VTB Bank PJSC*     49,986  
22,157      Woori Financial Group, Inc.     162,718  
100,695      Yapi ve Kredi Bankasi AS*     27,796  
         26,183,681  

Beverages (1.3%):

 
184,079      Ambev SA Com Npv     411,068  
          1,645      Anadolu Efes Biracilik ve Malt Sanayii AS     4,413  
1,100      Anhui Gujing Distillery Co., Ltd., Class A     35,106  
3,000      Anhui Gujing Distillery Co., Ltd., Class B     33,426  
4,100      Anhui Kouzi Distillery Co., Ltd.     30,577  
18,016      Arca Continental SAB de C.V.     78,058  
17,696      Becle SAB de CV     36,130  
3,700      Beijing Shunxin Agriculture Co., Ltd., Class A     32,720  
7,400      Carlsberg Brewery Malaysia Berhad     36,869  
54,000      China Resources Beer Holdings Co., Ltd.     331,260  
200      Chongqing Brewery Co., Ltd., Class A     3,032  
23,712      Coca-Cola Femsa S.A.B de C.V.     96,752  
3,027      Compania Cervecerias Unidas SA     19,555  
18,288      Embotelladora Andina SA     40,426  
74,054      Fomento Economico Mexicano S.A.B. de C.V.     417,444  
6,500      Fraser & Neave Holdings Bhd     50,416  
2,800      Jiangsu King’s Luck Brewery JSC, Ltd., Class A     18,276  
3,200      Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A     58,895  
2,872      Kweichow Moutai Co., Ltd.     706,032  
3,200      Luzhou Laojiao Co., Ltd.     67,734  
23,700      Osotspa pcl     26,216  
2,400      Shanxi Xinghuacun Fen Wine Factory Co., Ltd., Class A     69,874  
2,600      Tsingtao Brewery Co., Ltd., Class A     28,792  
18,000      Tsingtao Brewery Co., Ltd., Class H     147,019  
11,271      United Spirits, Ltd.*     79,127  
8,900      Wuliangye Yibin Co., Ltd., Class A     289,714  
         3,148,931  

Biotechnology (0.8%):

 
51,000      3SBio, Inc.*     58,109  
718      Alteogen, Inc.*     110,564  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Emerging Markets Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Biotechnology, continued

 
          5,400      Beijing Tiantan Biological Products Corp., Ltd., Class A   $ 31,631  
600      BGI Genomics Co., Ltd.     12,690  
10,381      Biocon, Ltd.*     63,290  
3,579      Celltrion, Inc.*     787,576  
3,200      Chongqing Zhifei Biological Products Co., Ltd., Class A     66,001  
6,370      Hualan Biological Engineering, Inc., Class A     53,493  
35,500      Innovent Biologics, Inc.*     264,383  
725      Seegne, Inc.     161,696  
21,600      Shanghai Raas Blood Products Co., Ltd.     26,126  
1,600      Shenzhen Kangtai Biological Products Co., Ltd., Class A     43,010  
4,000      Walvax Biotechnology Co., Ltd., Class A     30,029  
2,191      Zai Lab, Ltd., ADR*     182,225  
         1,890,823  

Building Products (0.0%):

 
3,000      Beijing New Building Materials plc     13,678  
35,000      China Lesso Group Holdings, Ltd.     63,297  
         76,975  

Capital Markets (1.4%):

 
78,497      B3 SA- Brasil Bolsa Balcao     768,964  
8,820      Banco BTG Pactual SA     114,422  
68,300      Bangkok Commercial Asset Management pcl, Class R     42,730  
17,800      Caitong Securities Co., Ltd.     37,449  
410,000      China Cinda Asset Management Co., Ltd., Class H     76,959  
26,000      China Everbright, Ltd.     34,817  
164,000      China Galaxy Securities Co.     92,435  
327,000      China Huarong Asset Management Co., Ltd., Class H     34,782  
54,400      China International Capital Corp., Ltd.*^     126,312  
21,340      China Merchants Securities Co., Ltd.*     67,906  
29,100      Citic Securities Co., Ltd., Class A     128,818  
82,000      Citic Securities Co., Ltd., Class A     183,868  
5,300      CSC Financial Co., Ltd., Class A     39,039  
19,440      East Money Information Co., Ltd., Class A     68,553  
6,600      Everbright Securities Co., Ltd.     21,245  
20,100      Founder Securities Co., Ltd., Class A*     24,826  
54,800      GF Securities Co., Ltd.     69,806  
15,400      GF Securities Co., Ltd., Class A     35,722  
12,599      Guosen Securities Co., Ltd., Class A     24,964  
30,400      Guotai Junan Securities Co., Ltd.     81,697  
13,800      Guotai Junan Securities Co., Ltd.     19,332  
78,800      Haitong Securities Co., Ltd.*     67,599  
28,600      Haitong Securities Co., Ltd.*     59,489  
1,835      HDFC Asset Management Co., Ltd.     56,512  
1,000      Hithink RoyalFlush Information Network Co., Ltd., Class A     23,504  
23,600      Huatai Securities Co., Ltd., Class A     71,469  
44,600      Huatai Securities Co., Ltd., Class H     73,146  
24,300      Industrial Securities Co., Ltd.     29,738  
1,625      Korea Investment Holdings Co., Ltd.     102,517  
10,139      Meritz Securities Co., Ltd.     28,523  
13,132      Mirae Asset Daewoo Co., Ltd.     96,836  
6,300      Nanjing Securities Co., Ltd.     13,078  
2,777      NH Investment & Securities Co., Ltd.     21,949  
540      Noah Holdings, Ltd., ADR*     14,078  
Shares               Fair Value      

Common Stocks, continued

 

Capital Markets, continued

 
20,500      Orient Securities Co., Ltd./China   $ 33,236  
15,700      Pacific Securities Co. Ltd (The), Class A*     9,391  
          5,890      Reinet Investments SCA     102,137  
2,406      Samsung Securities Co., Ltd.     62,894  
8,000      SDIC Capital Co., Ltd., Class A     17,995  
69,900      Shenwan Hongyuan Group Co., Ltd.     54,549  
58,293      The Moscow Exchange     109,760  
26,100      Tianfeng Securities Co., Ltd., Class A     24,835  
381,680      Yuanta Financial Holding Co., Ltd.     235,559  
5,300      Zheshang Securities Co., Ltd.     13,763  
         3,417,203  

Chemicals (2.3%):

 
4,207      Advanced Petrochemical Co.     66,297  
11,228      Asian Paints, Ltd.     302,552  
9,301      Berger Paints India, Ltd.     73,649  
127,000      Formosa Chemicals & Fibre Corp.     297,207  
144,000      Formosa Plastics Corp.     391,211  
4,017      Hanwha Chemical Corp.     134,152  
13,400      Hengli Petrochemical Co., Ltd.     36,726  
21,292      Hengyi Petrochemical Co., Ltd., Class A     32,624  
60,600      Indorama Ventures pcl     40,447  
644      Kumho Petrochemical Co., Ltd.     59,935  
226      LG Chem, Ltd.     61,834  
1,757      LG Chem, Ltd.     981,196  
540      Lotte Chemical Corp.     90,657  
184,769      Mesaieed Petrochemical Holding Co.     105,749  
192,000      Nan Ya Plastics Corp.     394,778  
16,206      National Industrialization Co.*     57,487  
39,450      Orbia Advance Corp SAB de CV     69,141  
99,000      Petronas Chemicals Group Berhad     134,381  
6,230      PhosAgro, GDR     74,937  
5,243      Pidilite Industries, Ltd.     102,249  
832,600      PT Barito Pacific Tbk*     44,443  
90,600      PTT Global Chemical Public Co., Ltd.     113,471  
12,900      Rongsheng Petro Chemical Co., Ltd., Class A     35,777  
16,532      Sahara International Petrochemical Co.     72,968  
20,456      Sasol, Ltd.*     156,882  
8,038      Saudi Arabian Fertilizer Co.     175,570  
33,982      Saudi Basic Industries Corp.     801,372  
9,924      Saudi Industrial Investment Group     61,685  
25,640      Saudi Kayan Petrochemical Co.*     80,150  
2,000      Shanghai Putailai New Energy Technology Co., Ltd., Class A     32,125  
156,000      Sinopec Shanghai Petrochemical Co., Ltd., Class H     28,505  
4,584      Sociedad Quimica y Minera de Chile SA     148,932  
760      Tianqi Lithium Corp., Class A*     2,228  
17,837      UPL, Ltd.     122,262  
9,000      Wanhua Chemical Group Co., Ltd.     92,171  
8,939      Yanbu National Petrochemical Co.     139,973  
14,800      Zhejiang Longsheng Group Co., Ltd., Class A     29,635  
         5,645,358  

Commercial Services & Supplies (0.3%):

 
17,750      A-Living Services Co., Ltd., Class H     90,386  
177,222      China Everbright International, Ltd.     100,790  
53,000      Country Garden Services Holdings Co., Ltd.     342,963  
44,000      Greentown Service Group Co., Ltd.     53,853  
588      S1 Corp.     43,989  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Emerging Markets Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Commercial Services & Supplies, continued

 
          2,200      Shanghai M&G Stationery, Inc., Class A   $ 21,951  
         653,932  

Communications Equipment (0.2%):

 
20,000      Accton Technology Corp.     154,522  
20,500      BYD Electronic International Co., Ltd.     104,249  
5,600      Fiberhome Telecommunication Technologies Co., Ltd.     19,611  
702      KMW Co., Ltd.*     47,133  
1,400      Shenzhen Sunway Communication Co., Ltd., Class A     11,285  
1,800      Yealink Network Technology Corp., Ltd., Class A     15,997  
8,300      ZTE Corp.     40,554  
33,000      ZTE Corp., Class H     78,816  
         472,167  

Construction & Engineering (0.5%):

 
195,000      China Communications Construction Co., Ltd.     102,524  
42,098      China Railway Construction Corp., Ltd., Class A     51,273  
68,500      China Railway Construction Corp., Ltd., Class H     47,175  
118,000      China Railway Group, Ltd.     55,611  
85,500      China Railway Group, Ltd., Class A     67,695  
134,200      China State Construction Engineering Corp., Ltd.     100,170  
44,000      China State Construction International Holdings, Ltd.     28,811  
1,147      Daelim Industrial Co., Ltd.     75,845  
75,400      Gamuda Berhad     63,547  
2,296      GS Engineering & Construction Corp.     47,377  
3,197      Hyundai Engineering & Construction Co., Ltd.     83,203  
19,466      Larsen & Toubro, Ltd.     239,190  
71,700      Metallurgical Corp. of China, Ltd.     27,871  
38,400      Power Construction Corp. of China, Ltd.     21,306  
5,657      Samsung Engineering Co., Ltd.*     50,984  
67,500      Sinopec Engineering Group Co., Ltd.     24,877  
         1,087,459  

Construction Materials (1.0%):

 
19,842      Ambuja Cements, Ltd.     58,584  
12,400      Anhui Conch Cement Co., Ltd., Class A     101,012  
43,000      Anhui Conch Cement Co., Ltd., Class H     297,312  
72,000      Asia Cement Corp.     103,494  
25,400      BBMG Corp.     11,459  
3,700      Beijing Oriental Yuhong Waterproof Technology Co., Ltd.     29,394  
528,079      Cemex SAB de C.V.     200,205  
144,000      China National Buildings Material Co., Ltd.     182,351  
102,000      China Resources Cement Holdings, Ltd.     139,919  
11,216      Grasim Industries, Ltd.     113,639  
8,000      Huaxin Cement Co., Ltd.     29,599  
658      POSCO Chemical Co., Ltd.     47,083  
70,800      PT Indocement Tunggal Prakarsa Tbk     49,709  
112,100      PT Semen Indonesia (Persero) Tbk     69,523  
3,423      Saudi Cement Co.     53,050  
368      Shree Cement, Ltd.     101,113  
198,374      Taiwan Cement Corp.     284,441  
Shares               Fair Value      

Common Stocks, continued

 

Construction Materials, continued

 
29,400      The Siam Cement Public Co., Ltd.   $ 299,117  
          4,119      Ultra Tech Cement, Ltd.     226,228  
         2,397,232  

Consumer Finance (0.2%):

 
6,832      Bajaj Finance, Ltd.     306,967  
29,000      Krungthai Card pcl     32,060  
28,300      Muangthai Capital pcl, Class R     44,087  
1,493      Samsung Card Co., Ltd.     36,365  
3,573      Shriram Transport Finance     30,236  
27,700      Srisawad Corp pcl     42,710  
         492,425  

Containers & Packaging (0.1%):

 
26,483      Klabin SA     112,242  
1,500      Yunnan Energy New Material Co., Ltd.     20,294  
         132,536  

Diversified Consumer Services (1.0%):

 
19,000      China East Education Holdings, Ltd.     41,222  
25,000      China Education Group Holdings, Ltd.     45,835  
48,000      China Yuhua Education Corp., Ltd.     41,211  
70,479      Cogna Educacao     65,013  
2,380      GSX Techedu, Inc., ADR*^     214,462  
9,500      Koolearn Technology Holding, Ltd.*     40,694  
5,492      New Oriental Education & Technology Group, Inc., ADR*     821,054  
5,500      Offcn Education Technology Co., Ltd., Class A     26,360  
14,303      TAL Education Group, ADR*     1,087,599  
         2,383,450  

Diversified Financial Services (0.6%):

 
9,600      Ayala Corp.     136,466  
51,263      Chailease Holding Co., Ltd.     232,941  
84,000      Far East Horizon, Ltd.     68,362  
183,351      FirstRand, Ltd.     450,778  
251,000      Fubon Financial Holdings Co., Ltd.     364,417  
8,105      Grupo de Inversiones Suramericana SA     43,690  
2,293      GT Capital Holdings, Inc.     18,282  
32,091      Haci Omer Sabanci Holding AS     34,594  
431,800      Metro Pacific Investments Corp.     31,093  
31,853      REC, Ltd.     43,047  
21,246      Remgro, Ltd.     119,181  
         1,542,851  

Diversified Telecommunication Services (1.2%):

 
4,295      Bharti Infratel, Ltd.     10,265  
98,000      China Communications Services Corp., Ltd.     57,687  
472,000      China Telecom Corp., Ltd., Class H     141,585  
1,612,000      China Tower Corp., Ltd., Class H     280,052  
218,000      China Unicom Hong Kong, Ltd.     142,936  
134,000      Chunghwa Telecom Co., Ltd.     494,315  
74,013      Emirates Telecommunications Group Co. PJSC     336,324  
9,630      Hellenic Telecommunications Organization SA (OTE)     139,004  
8,786      LG Uplus Corp.     86,362  
34,613      Ooredoo Qsc     63,525  
22,338      Orange Polska SA*     39,512  
1,918,000      PT Telekomunikasi Indonesia Tbk     331,782  
23,123      Saudi Telecom Co.     619,811  
5,248      Telecom Argentina SA, ADR     34,322  
15,765      Telefonica Brasil     121,898  
37,500      Telekom Malaysia Berhad     37,449  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Emerging Markets Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 
Diversified Telecommunication Services, continued  
494,000      True Corp. pcl   $ 48,412  
         2,985,241  

Electric Utilities (0.7%):

 
12,336      Centrais Eletricas Brasileiras S.A     66,606  
          8,926      Centrais Eletricas Brasileiras S.A     49,577  
6,478      CEZ AS     122,648  
44,881      Companhia Energetica de Minas Gerais     80,723  
7,090      CPFL Energia SA     34,797  
1,367,797      ENEL Americas SA     177,756  
1,011,183      ENEL Chile SA     70,988  
6,011      Energisa SA     44,016  
32,737      Equatorial Energia SA     123,474  
1,337,191      Inter Rao Ues PJSC     96,581  
18,686      Interconexion Electrica SA ESP     99,554  
9,442      Korea Electric Power Corp., Ltd.*     164,614  
9,400      Manila Electric Co.     52,556  
25,730      PGE SA*     42,650  
59,179      Power Grid Corp. of India, Ltd.     130,699  
34,447      Saudi Electricity Co.     158,191  
82,200      Tenega Nasional Berhad     207,932  
         1,723,362  

Electrical Equipment (0.3%):

 
5,000      Contemporary Amperex Technology Co., Ltd., Class A     155,029  
33,350      Elswedy Cables Holding Co.     14,533  
3,801      Eve Energy Co., Ltd., Class A     27,666  
9,805      Havells India, Ltd.     90,403  
12,500      Jiangsu Zhongtian Technology Co., Ltd., Class A     19,198  
17,559      Luxshare Precision Industry Co., Ltd.     148,300  
12,400      Nari Technology Co., Ltd.     35,941  
138,000      Shanghai Electric Group Co., Ltd., Class H*     37,336  
16,541      Xinjiang Goldwind Science & Technology Co., Ltd.     24,923  
27,400      Xinjiang Goldwind Science & Technology Co., Ltd.     24,035  
6,600      Zhejiang Chint Electrics Co., Ltd., Class A     29,338  
19,900      Zhuzhou CRRC Times Electric Co., Ltd., Class H     67,110  
         673,812  
Electronic Equipment, Instruments & Components (2.2%):  
24,500      AAC Technologies Holdings, Inc.^     133,018  
346,000      AU Optronics Corp.*     134,795  
3,300      AVIC Jonhon Optronic Technology Co., Ltd., Class A     22,499  
4,200      Chaozhou Three-Circle Group Co., Ltd., Class A     17,819  
54,000      China Railway Signal & Communication Corp., Ltd.     17,731  
73,000      Delta Electronics, Inc.     478,728  
9,699      Foxconn Industrial Internet Co., Ltd., Class A     19,398  
22,000      Foxconn Technology Co., Ltd.     39,264  
8,100      GoerTek, Inc., Class A     48,413  
2,100      Guangzhou Shiyuan Electronic Technology Co., Ltd., Class A     30,060  
23,500      Hangzhou Hikvision Digital     132,034  
473,000      Hon Hai Precision Industry Co., Ltd.     1,266,367  
324,000      Innolux Corp.     105,690  
25,500      Kingboard Holdings, Ltd.     84,284  
Shares               Fair Value      

Common Stocks, continued

 
Electronic Equipment, Instruments & Components, continued  
37,500      Kingboard Laminates Holdings, Ltd.   $ 51,627  
          4,000      Largan Precision Co., Ltd.     467,382  
5,700      Lens Technology Co., Ltd., Class A     27,086  
8,822      LG Display Co., Ltd.*     115,663  
549      LG Innotek Co., Ltd.     72,686  
19,600      Lingyi iTech Guangdong Co., Class A     32,404  
1,200      NAURA Technology Group Co., Ltd., Class A     28,144  
4,200      OFILM Group Co., Ltd., Class A     8,929  
2,107      Samsung Electro-Mechanics Co., Ltd., Series L     250,163  
2,101      Samsung SDI Co., Ltd.     777,846  
3,800      Shengyi Technology Co., Ltd., Class A     13,070  
1,820      Shennan Circuits Co., Ltd., Class A     31,312  
26,400      Sunny Optical Technology Group Co., Ltd.     404,328  
7,000      Suzhou Dongshan Precision Manufacturing Co., Ltd.     27,319  
55,000      Synnex Technology International Corp.     78,489  
14,000      Tianma Microelectronics Co., Ltd., Class A     30,517  
2,800      Tunghsu Optoelectronic Technology Co., Ltd.*     1,248  
6,300      Unisplendour Corp., Ltd., Class A     23,614  
13,000      Walsin Technology Corp.     69,728  
1,700      Wingtech Technology Co., Ltd.     29,350  
47,960      WPG Holdings, Ltd.     64,476  
7,140      Wuhan Guide Infrared Co., Ltd.     36,352  
1,500      WUS Printed Circuit Kunshan Co., Ltd., Class A     4,159  
1,700      Wuxi Lead Intelligent Equipment Co., Ltd., Class A     12,155  
10,377      Yageo Corp.     126,714  
9,200      Zhejiang Dahua Technology Co., Ltd., Class A     27,810  
26,000      Zhen Ding Technology Holding, Ltd.     113,810  
         5,456,481  

Energy Equipment & Services (0.1%):

 
72,000      China Oilfield Services, Ltd.     50,525  
153,400      Dialog Group Berhad     141,175  
         191,700  

Entertainment (1.3%):

 
500,000      Alibaba Pictures Group, Ltd.*     74,797  
3,970      Bilibili, Inc., ADR*     165,152  
2,591      CD Projekt SA*     280,231  
400      G-Bits Network Technology Xiamen Co., Ltd.     36,616  
2,528      HUYA, Inc., ADR*^     60,546  
8,880      IQIYI, Inc., ADR*     200,510  
4,000      Mango Excellent Media Co., Ltd., Class A     39,615  
631      Ncsoft Corp.     434,652  
3,145      NetEase, Inc., ADR     1,429,936  
874      Netmarble Corp.*     122,944  
281      Pearl Abyss Corp.*     48,457  
7,050      Perfect World Co., Ltd., Class A     34,624  
14,596      Tencent Music Entertainment Group, ADR*     215,583  
2,100      Wanda Film Holding Co., Ltd.*     5,504  
4,800      Wuhu Sanqi Interactive Entertainment Network Technology Group Co., Ltd., Class A     28,033  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Emerging Markets Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Entertainment, continued

 
15,360      Zhejiang Century Huatong Group Co., Ltd., Class A*   $ 21,543  
         3,198,743  

Equity Real Estate Investment Trusts (0.1%):

 
120,342      Fibra UNO Amdinistracion SA     95,222  
111,747      Growthpoint Properties, Ltd.     81,664  
         176,886  

Food & Staples Retailing (1.3%):

 
          1,612      Abdullah Al Othaim Markets Co.     55,715  
13,933      Atacadao Distribuicao Comercio e Industria, Ltd.     50,839  
5,379      Avenue Supermarts, Ltd.*     160,662  
51,500      Berli Jucker pcl     59,844  
376      BGF Retail Co., Ltd.     39,555  
13,748      Bid Corp., Ltd.     211,944  
15,705      BIM Birlesik Magazalar AS     141,638  
53,777      Cencosud SA     78,795  
6,328      Cia Brasileira de Distribuicao     78,589  
8,233      Clicks Group, Ltd.     109,173  
204,900      CP All pcl     389,998  
1,862      Dino Polska SA*     109,631  
631      E-Mart Co., Ltd.     75,657  
1,004      GS Retail Co., Ltd.     28,991  
12,547      Magnit PJSC, GDR     187,199  
20,000      President Chain Store Corp.     181,818  
33,800      Puregold Price Club, Inc.     34,171  
42,385      Raia Drogasil SA     176,771  
19,727      Shoprite Holdings, Ltd.^     160,861  
100,000      Sun Art Retail Group, Ltd.     110,785  
7,932      The Spar Group, Ltd.     89,795  
196,950      Wal-Mart de Mexico SAB de C.V.     472,686  
5,166      X5 Retail Group NV, GDR     191,116  
1,120      Yifeng Pharmacy Chain Co., Ltd., Class A     16,339  
25,700      Yonghui Superstores Co., Ltd.     29,562  
         3,242,134  

Food Products (2.0%):

 
10,098      Almarai Co. JSC     142,461  
7,000      Beijing Dabeinong Technology Group Co., Ltd.     9,206  
21,374      BRF SA*     69,959  
1,944      Britannia Industries, Ltd.     100,438  
147,100      Charoen Pokphand Foods Public Co., Ltd.     130,443  
36,000      China Feihe, Ltd.     83,907  
280,000      China Huishan Dairy Holdings Co., Ltd.*      
109,000      China Mengniu Dairy Co., Ltd.     514,438  
323      CJ CheilJedang Corp.     109,024  
75,500      Dali Foods Group Co., Ltd.     46,172  
5,560      Foshan Haitian Flavouring & Food Co., Ltd.     132,932  
15,800      Genting Plantations Berhad     37,683  
8,223      Gruma, SAB de C.V., Class B     91,162  
66,895      Grupo Bimbo SAB de C.V., Series A, Class A     125,202  
3,800      Guangdong Haid Group Co., Ltd., Class A     34,352  
8,700      Henan Shuanghui Investment & Development Co., Ltd.     67,650  
17,800      Inner Mongolia Yili Indsutrial Group Co., Ltd.     101,029  
90,500      IOI Corp. Berhad     97,179  
40,289      JBS SA     148,299  
Shares               Fair Value      

Common Stocks, continued

 

Food Products, continued

 
3,100      Jiangxi Zhengbang Technology Co., Ltd., Class A   $ 8,325  
          1,500      Jonjee Hi-Tech Industrial And Commercial Holding Co., Ltd.     14,505  
2,600      Juewei Food Co., Ltd., Class A     31,380  
15,700      Kuala Lumpur Kepong Berhad     86,344  
9,180      Muyuan Foodstuff Co., Ltd.     99,785  
859      Nestle India, Ltd.     185,436  
2,000      Nestle Malaysia Bhd     68,109  
10,600      New Hope Liuhe Co., Ltd., Class A     43,212  
951      Orion Corp./ Republic of Korea     107,335  
84      Ottogi Corp.     40,644  
20,980      PPB Group Berhad     96,256  
277,800      PT Charoen Pokphand Indonesia Tbk     106,707  
76,600      PT Indofood CBP Sukses Makmur Tbk     52,044  
127,500      PT Indofood Sukses Makmur Tbk     61,597  
34,300      QL Resources Berhad*     81,108  
77,300      Sime Darby Plantation Bhd     94,309  
17,000      Standard Foods Corp.     35,772  
16,747      Tata Consumer Products, Ltd.     113,569  
56,100      Thai Union Frozen Products pcl     24,822  
9,830      The Savola Group     125,847  
5,794      Tiger Brands, Ltd.     65,976  
82,000      Tingyi (Caymen Is) Holding Corp.     145,359  
6,800      Tongwei Co., Ltd., Class A     26,734  
43,000      Uni-President China Holdings, Ltd.     39,488  
181,000      Uni-President Enterprises Corp.     391,360  
32,810      Universal Robina Corp.     90,707  
202,000      Want Want China Holdings, Ltd.     140,990  
21,960      Wens Foodstuffs Group Co., Ltd.     63,051  
18,000      Yihai International Holding, Ltd.     283,615  
         4,765,922  

Gas Utilities (0.5%):

 
18,500      Beijing Enterprises Holdings, Ltd.     55,724  
104,400      China Gas Holdings, Ltd.     297,730  
32,000      China Resources Gas Group, Ltd.     143,272  
31,100      ENN Energy Holdings, Ltd.     339,300  
59,757      GAIL India, Ltd.     70,656  
7,975      Indraprastha Gas, Ltd.     41,994  
18,498      Infraestructura Energetica Nova, SAB de C.V.     55,760  
1,191      Korea Gas Corp.     24,959  
31,800      Petronas Gas Berhad     126,081  
548,900      PT Perusahaan Gas Negara Tbk     34,450  
         1,189,926  

Health Care Equipment & Supplies (0.5%):

 
16,000      AK Medical Holdings, Ltd.     41,078  
1,100      Autobio Diagnostics Co., Ltd., Class A     26,185  
64,000      Hartalega Holdings Berhad     252,915  
2,280      Jafron Biomedical Co., Ltd., Class A     23,874  
900      Jiangsu Yuyue Medical Equipment & Supply Co., Ltd.     4,336  
21,900      Kossan Rubber Industries     73,101  
7,700      Lepu Medical Technology Beijing Co., Ltd., Class A     38,350  
1,200      Ovctek China, Inc., Class A     11,042  
88,000      Shandong Weigao Group Medical Polymer Co., Ltd., Class H     176,307  
2,500      Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A     127,854  
55,600      Supermax Corp. Berhad*     113,154  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Emerging Markets Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 
Health Care Equipment & Supplies, continued  
185,100      Top Glove Corp. Berhad   $ 374,132  
         1,262,328  

Health Care Providers & Services (0.5%):

 
          9,613      Aier Eye Hospital Group Co., Ltd., Class A     72,623  
340,900      Bangkok Dusit Medical Services Public Co., Ltd.     209,025  
13,700      Bumrungrad Hospital pcl     41,251  
2,786      Celltrion Healthcare Co., Ltd.*     208,789  
8,763      Hapvida Participacoes e Investimentos SA     96,970  
3,300      Huadong Medicine Co., Ltd., Class A     12,036  
85,100      IHH Healthcare Berhad     107,106  
11,000      Jointown Pharmaceutical Group Co., Ltd.*     27,350  
41,869      Life Healthcare Group Holdings Pte, Ltd.     42,703  
15,300      Meinian Onehealth Healthcare Holdings Co., Ltd., Class A*     32,012  
17,992      Notre Dame Intermedica Participacoes SA     208,451  
41,700      Shanghai Pharmaceuticals Holding Co., Ltd.     69,972  
1,900      Shanghai Pharmaceuticals Holding Co., Ltd.     5,672  
55,200      Sinopharm Group Co., Series H     117,167  
700      Topchoice Medical Corp., Class A*     22,042  
         1,273,169  

Health Care Technology (0.2%):

 
124,000      Alibaba Health Information Technology, Ltd.*     305,098  
15,000      Ping An Healthcare and Technology Co., Ltd.*     193,718  
10,790      Winning Health Technology Group Co., Ltd.     31,037  
         529,853  

Hotels, Restaurants & Leisure (0.8%):

 
231,900      Asset World Corp. pcl     25,667  
4,900      China International Travel Service Corp., Ltd., Class A     160,637  
67,600      Genting Berhard     51,958  
128,300      Genting Malaysia Berhad     64,544  
28,000      Haidilao International Holding, Ltd.     202,656  
5,457      Huazhu Group, Ltd., ADR     235,961  
15,230      Jollibee Foods Corp.     45,563  
2,830      Jubilant Foodworks, Ltd.     89,997  
3,833      Kangwon Land, Inc.     70,426  
101,900      Minor International pcl*     64,478  
9,175      OPAP SA     87,010  
1,987      Saudi Airlines Catering Co.     43,780  
25,400      Shenzhen Overseas Chinese Town Co., Ltd., Class A     25,262  
6,660      Songcheng Performance Development Co., Ltd., Class A     17,859  
14,262      Yum China Holdings, Inc.     755,173  
         1,940,971  

Household Durables (0.4%):

 
7,699      Gree Electric Appliances, Inc. of Zhuhai, Class A     60,509  
53,000      Haier Electronics Group Co., Ltd.     192,274  
3,853      LG Electronics, Inc.     305,764  
13,100      NavInfo Co., Ltd.     28,384  
7,000      Nien Made Enterprise Co., Ltd.     83,390  
17,100      Qingdao Haier Co., Ltd.     54,866  
28,400      TCL Corp., Class A     25,820  
Shares               Fair Value      

Common Stocks, continued

 

Household Durables, continued

 
          1,893      Woongjin Coway Co., Ltd.   $ 129,917  
1,600      Zhejiang Supor Co., Ltd., Class A     18,569  
         899,493  

Household Products (0.5%):

 
30,892      Hindustan Unilever, Ltd.     867,845  
54,099      Kimberl- Clark de Mexico SAB de C.V.     85,907  
320,100      PT Unilever Indonesia Tbk     175,096  
15,000      Vinda International Holdings, Ltd.     49,447  
         1,178,295  
Independent Power and Renewable Electricity Producers (0.4%):  
57,800      Aboitiz Power Corp.     30,469  
26,100      B Grimm Power pcl     34,857  
213,000      Cgn Power Co., Ltd., Class H     43,809  
124,000      China Longyuan Power Group Corp.     77,821  
41,500      China National Nuclear Power Co., Ltd.     26,831  
185,000      China Power International Develpoment, Ltd.     34,301  
70,000      China Resources Power Holdings Co.     77,481  
48,800      China Yangtze Power Co., Ltd.     137,451  
271,021      Colbun SA     43,819  
11,400      Electricity Genera pcl     67,352  
7,616      Engie Brasil Energia SA     54,725  
61,000      GD Power Development Co., Ltd.     18,124  
25,400      Global Power Synergy pcl     46,380  
87,800      Gulf Energy Development pcl, Class R     84,622  
13,900      Huadian Power International Corp, Ltd., Class A     7,269  
168,000      Huaneng Power International, Inc., Class H     65,076  
93,262      NTPC, Ltd.     107,664  
33,400      Ratch Group pcl     53,024  
20,900      SDIC Power Holdings Co., Ltd., Class A     27,696  
21,900      Sichuan Chuantou Energy Co., Ltd., Class A     31,595  
         1,070,366  

Industrial Conglomerates (0.9%):

 
77,690      Aboitiz Equity Ventures, Inc.     73,996  
65,016      Alfa SAB de C.V., Class A     40,326  
7,824      Bidvest Group, Ltd.     64,435  
176,000      Citic, Ltd.     130,573  
713      CJ Corp.     49,266  
115,000      Far Eastern New Century Corp.     100,579  
104,500      Fosun International, Ltd.     122,146  
24,392      Grupo Carso SAB de C.V.     50,133  
1,087      Hanwha Corp.     23,358  
28,800      Hap Seng Consolidated Berhad     49,662  
63,698      Industries Qatar Q.S.C.     172,484  
113,880      JG Summit Holdings, Inc.     141,445  
20,331      KOC Holdings AS     38,627  
3,574      LG Corp.     226,318  
935      Lotte Corp.     22,853  
3,059      Samsung C&T Corp.     274,354  
19,000      Shanghai Industrial Holdings, Ltd.     25,323  
2,872      Siemens, Ltd.     49,469  
62,100      Sime Darby Berhad     37,289  
1,314      SK Holdings Co., Ltd.     222,799  
9,880      SM Investments Corp.     179,385  
         2,094,820  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Emerging Markets Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Insurance (2.9%):

 
          1,480      Bajaj Finserv, Ltd.   $ 118,184  
23,439      BB Seguridade Participacoes SA     101,302  
2,203      Bupa Arabia For Cooperative Insurance Co.*     72,173  
303,137      Cathay Financial Holding Co., Ltd.     405,111  
99,088      China Life Insurance Co., Ltd.     67,996  
6,100      China Life Insurance Co., Ltd.     40,013  
283,000      China Life Insurance Co., Ltd.     642,371  
18,000      China Pacific Insurance Group Co., Ltd., Class A     82,607  
98,400      China Pacific Insurance Group Co., Ltd., Class H     281,142  
210,000      China Reinsurance Group Corp.     19,344  
63,600      China Taiping Insurance Holdings Co., Ltd.     98,007  
2,036      DB Insurance Co., Ltd.     79,395  
13,781      Discovery, Ltd.     105,185  
28,077      HDFC Life Insurance Co., Ltd.*     213,049  
2,537      Hyundai Marine & Fire Insurance Co., Ltd.     48,462  
7,561      ICICI Lombard General Insurance Co., Ltd.     133,710  
14,231      ICICI Prudential Life Insurance Co., Ltd.     81,653  
45,262      IRB Brasil Resseguros SA     60,371  
50,823      Momentum Metropolitan Holdings     46,963  
27,000      New China Life Insurance Co., Ltd.     101,853  
4,500      New China Life Insurance Co., Ltd., Class A     41,211  
198,512      Old Mutual, Ltd.     122,672  
290,000      People’s Insurance Co. Group of China, Ltd. (The)     86,748  
28,100      People’s Insurance Co. Group of China, Ltd. (The)     27,964  
230,000      Picc Property & Casuality Co., Ltd., Class H     160,939  
28,500      Ping An Insurance Group Co. of China, Ltd.     319,453  
222,000      Ping An Insurance Group Co. of China, Ltd.     2,290,277  
3,745      Porto Seguro SA     32,178  
24,754      Powszechny Zaklad Ubezpieczen SA*     158,589  
39,144      Rand Merchant Investment Holdings, Ltd.     67,854  
1,138      Samsung Fire & Marine Insurance Co., Ltd.     177,007  
2,642      Samsung Life Insurance Co., Ltd.     137,682  
66,045      Sanlam, Ltd.     204,687  
16,370      SBI Life Insurance Co., Ltd.*     180,965  
444,521      Shin Kong Financial Holdings Co., Ltd.     123,912  
13,111      Sul America SA     92,528  
2,914      The Co. for Cooperative Insurance*     67,550  
11,700      Zhongan Online P&c Insurance Co., Ltd.*     58,423  
         7,149,530  

Interactive Media & Services (7.8%):

 
2,131      Autohome, Inc., ADR     204,576  
10,295      Baidu, Inc., ADR*     1,303,244  
2,752      Info Edge India, Ltd.     135,665  
2,257      JOYY, Inc., ADR     182,072  
2,133      Kakao Corp.     664,100  
6,092      Momo, Inc., ADR     83,826  
4,616      NAVER Corp.     1,168,930  
2,472      Sina Corp.*     105,332  
Shares               Fair Value      

Common Stocks, continued

 

Interactive Media & Services, continued

 
216,600      Tencent Holdings, Ltd.   $ 14,424,590  
          2,211      Weibo Corp., ADR*^     80,547  
10,888      Yandex NV, Class A*     707,661  
         19,060,543  

Internet & Direct Marketing Retail (12.1%):

 
70,958      Alibaba Group Holding, Ltd., ADR*     20,860,232  
9,146      B2W Cia Digital*     146,551  
1,271      Baozun, Inc., ADR*^     41,295  
320      CJ ENM Co., Ltd.     38,904  
32,253      JD.com, Inc., ADR*     2,503,155  
134,700      Meituan Dianping*     4,236,354  
10,431      Pinduoduo, Inc., ADR*     773,459  
31,200      Tongcheng-Elong Holdings, Ltd.*     57,195  
18,548      Trip.com Group, Ltd., ADR*     577,585  
17,156      Vipshop Holdings, Ltd., ADR*     268,320  
         29,503,050  

IT Services (1.8%):

 
6,000      Beijing Sinnet Technology Co., Ltd.     19,790  
36,926      Cielo SA     25,843  
9,100      DHC Software Co., Ltd., Class A     13,604  
2,987      GDS Holdings, Ltd., ADR*^     244,426  
40,204      HCL Technologies, Ltd.     442,625  
127,769      Infosys, Ltd.     1,765,302  
1,405      Samsung SDS Co., Ltd.     203,484  
34,163      Tata Consultancy Services, Ltd.     1,158,763  
15,737      Tech Mahindra, Ltd.     169,699  
36,000      Travelsky Technology, Ltd., Series H     76,963  
2,800      Wangsu Science & Technology Co., Ltd., Class A     3,319  
40,643      Wipro, Ltd.     173,459  
         4,297,277  

Leisure Products (0.1%):

 
11,000      Giant Manufacturing Co., Ltd.     103,925  
1,684      HLB, Inc.*     151,317  
         255,242  

Life Sciences Tools & Services (0.7%):

 
2,710      Divi’s Laboratories, Ltd.     112,051  
42,000      Genscript Biotech Corp.     69,210  
1,800      Hangzhou Tigermed Consulting Co., Ltd., Class A     27,377  
650      Samsung Biologics Co., Ltd.*     383,262  
4,340      WuXi AppTec Co., Ltd., Class A     64,986  
10,080      WuXi AppTec Co., Ltd., Class H^     145,836  
38,000      Wuxi Biologics Cayman, Inc.*     932,568  
         1,735,290  

Machinery (0.8%):

 
5,000      AirTac International Group     113,053  
68,000      China Conch Venture Holdings, Ltd.     315,222  
72,200      China Shipbuilding Industry Co., Ltd., Class A*     46,093  
82,899      CRRC Corp., Ltd., Class A     66,802  
91,000      CRRC Corp., Ltd., Class H     36,439  
1,406      Daewoo Shipbuilding & Marine Engineering Co., Ltd.*     28,586  
2,359      Doosan Bobcat, Inc.     54,196  
32,000      Haitian International Holdings, Ltd.     74,381  
10,796      Hiwin Technologies Corp.     106,459  
462      Hyundai Heavy Industries Holdings Co., Ltd.     85,547  
3,108      Jiangsu Hengli Hydraulic Co., Ltd., Class A     32,615  
1,575      Korea Shipbuilding & Offshore*     113,023  
14,774      Samsung Heavy Industries Co., Ltd., Class R*     67,261  
26,100      Sany Heavy Industry Co., Ltd.     95,268  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Emerging Markets Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Machinery, continued

 
          4,700      Shenzhen Inovance Technology Co., Ltd.   $ 40,069  
26,000      Sinotruk Hong Kong, Ltd.     66,857  
32,999      WEG SA     386,080  
15,600      Weichai Power Co., Ltd., Class A     34,749  
80,000      Weichai Power Co., Ltd., Class H     161,293  
30,200      XCMG Construction Machinery Co., Ltd.     24,600  
14,560      Zhejiang Sanhua Intelligent Controls Co., Ltd., Class A     47,819  
900      Zhongji Innolight Co., Ltd., Class A     6,681  
47,600      Zoomlion Heavy Industry Science and Technology Co., Ltd., Class H     46,035  
         2,049,128  

Marine (0.1%):

 
64,000      COSCO SHIPPING Energy Transportation Co., Ltd., Class H     26,646  
134,000      COSCO SHIPPING Holdings Co., Ltd.*     65,647  
86,835      Evergreen Marine Corp., Ltd.*     47,557  
53,400      MISC Berhad     96,407  
10,485      Pan Ocean Co., Ltd.*     30,401  
         266,658  

Media (1.4%):

 
3,550      Cheil Worldwide, Inc.     63,547  
9,800      China Literature, Ltd.*     73,884  
9,928      Cyfrowy Polsat SA     69,301  
97,344      Grupo Televisa SAB*     120,316  
13,390      Megacable Holdings SAB de C.V.     38,545  
17,940      MultiChoice Group, Ltd.     103,751  
9,300      Nanji E-Commerce Co., Ltd., Class A     23,585  
16,452      Naspers, Ltd.*     2,903,274  
16,600      Oriental Pearl Group Co., Ltd.     23,698  
32,652      ZEE Entertainment Enterprises, Ltd.     93,145  
         3,513,046  

Metals & Mining (3.2%):

 
52,858      Alrosa PAO     50,196  
200,000      Aluminum Corp. of China, Ltd.*     41,331  
2,254      Anglo American Platinum, Ltd.     156,442  
15,497      AngloGold Ashanti, Ltd.     405,079  
57,100      Baoshan Iron & Steel Co., Ltd., Class A     41,863  
83,500      China Hongqiao Group, Ltd.     52,287  
58,500      China Molybdenum Co., Ltd., Class A     32,151  
129,000      China Molybdenum Co., Ltd., Class H     45,945  
21,400      China Northern Rare Earth Group High-Tech Co., Ltd., Class A*     33,896  
405,000      China Steel Corp.     286,535  
6,579      Cia de Minas Buenaventura SA, ADR     80,395  
22,695      Companhia Siderurgica Nacional SA (CSN)     66,685  
41,694      Eregli Demir ve Celik Fabrikalari T.A.S.     51,075  
2,000      Ganfeng Lithium Co., Ltd.     16,038  
34,542      Gold Fields     422,733  
124,335      Grupo Mexico SAB de C.V., Series B, Class B     316,408  
17,328      Harmony Gold Mining Co., Ltd.*     92,122  
45,620      Hindalco Industries, Ltd.     109,125  
3,115      Hyundai Steel Co.     66,718  
28,546      Impala Platinum Holdings, Ltd.^     247,844  
4,401      Industrias Penoles SAB de C.V.     71,138  
Shares               Fair Value      

Common Stocks, continued

 

Metals & Mining, continued

 
226,900      Inner Mongolia Baotou Steel Union Co., Ltd.*   $ 38,324  
49,000      Jiangxi Copper Co., Ltd.     55,113  
          6,400      Jiangxi Copper Co., Ltd., Class A     13,391  
35,011      JSW Steel, Ltd.     132,602  
5,745      KGHM Polska Miedz SA*     175,057  
364      Korea Zinc Co.     118,501  
2,403      Kumba Iron Ore, Ltd.     71,063  
64,500      Maanshan Iron & Steel Co., Ltd., Class A     25,342  
56,514      Magnitogorsk Iron & Steel Works PJSC     28,081  
2,409      MMC Norilsk Nickel PJSC     583,206  
13,410      Northam Platinum, Ltd.*     136,136  
52,554      Novolipetsk Steel PJSC     116,136  
9,268      Polymetal International plc     202,820  
1,305      Polyus PJSC     273,046  
2,738      POSCO     460,228  
63,900      Press Metal Aluminium Holdings Bhd     79,409  
17,645      Saudi Arabian Mining Co.*     196,523  
7,676      Severstal     97,924  
8,120      Shandong Gold Mining Co., Ltd.     30,370  
90,719      Sibanye Stillwater, Ltd.     252,592  
3,516      Southern Copper Corp.     159,169  
11,984      Tata Steel, Ltd.     58,809  
32,700      Tongling Nonferrous Metals Group Co., Ltd., Class A     10,740  
137,898      Vale SA     1,451,544  
73,377      Vedanta, Ltd.     136,253  
5,040      Yintai Gold Co., Ltd.     7,780  
48,000      Zhaojin Mining Industry Co., Ltd., Class H     58,759  
4,700      Zhejiang Huayou Cobalt Co., Ltd., Class A*     23,979  
4,500      Zhongjin Gold Corp., Ltd.     6,661  
38,700      Zijin Mining Group Co., Ltd.     35,210  
214,000      Zijin Mining Group Co., Ltd.     136,325  
         7,857,099  

Multiline Retail (0.4%):

 
72,375      Central Retail Corp. pcl     59,522  
32,257      Lojas Renner SA     227,761  
497      Lotte Shopping Co., Ltd.     33,341  
28,556      Magazine Luiza SA     453,600  
29,155      S.A.C.I. Falabella     85,436  
298      Shinsegae Department Store Co.     53,718  
30,415      Woolworths Holdings, Ltd.     63,907  
         977,285  

Multi-Utilities (0.1%):

 
22,204      Qatar Electricity & Water Co.     103,367  
131,264      YTL Corporation Berhad     21,402  
         124,769  

Oil, Gas & Consumable Fuels (5.4%):

 
24,436      Bharat Pertoleum Corp., Ltd.     117,486  
11,100      China Merchants Energy Shipping Co., Ltd., Class A     9,394  
76,900      China Petroleum & Chemical Corp., Class A     44,134  
900,000      China Petroleum & Chemical Corp., Class H     362,826  
10,100      China Shenhua Energy Co., Ltd.     24,490  
128,500      China Shenhua Energy Co., Ltd.     231,571  
675,000      CNOOC, Ltd.     653,400  
38,180      Coal India, Ltd.     60,200  
5,197      Cosan sa industria e Comercio     63,238  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Emerging Markets Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Oil, Gas & Consumable Fuels, continued

 
          8,500      COSCO SHIPPING Energy Transportation Co., Ltd., Class A   $ 8,858  
183,077      Ecopetrol SA     90,695  
14,745      Empresas Copec SA     110,615  
65,200      Energy Absolute Public Co., Ltd.     80,926  
8,858      Exxaro Resources, Ltd.     65,790  
50,000      Formosa Petrochemical Corp.     138,281  
450,847      Gazprom PJSC     991,435  
3,337      Grupa Lotos SA     29,655  
1,948      GS Holdings     52,199  
13,097      Hindustan Petroleum Corp., Ltd.     32,253  
70,847      Indian Oil Corp., Ltd.     71,278  
56,800      Inner Mongolia Yitai Coal Co., Ltd.     39,065  
572,300      IRPC pcl     34,761  
124,000      Kunlun Energy Co., Ltd.     81,728  
16,023      LUKOIL PJSC     923,518  
16,206      MOL Hungarian Oil And Gas plc*     88,403  
2,388      Motor Oil (Hellas) Corinth Refineries SA     28,122  
3,580      Novatek PJSC, GDR     489,850  
8,128      Oil & Gas Development Co., Ltd.     5,100  
66,144      Oil & Natural Gas Corp., Ltd.     62,419  
45,900      PetroChina Co., Ltd., Class A     27,715  
862,000      PetroChina Co., Ltd., Class H     253,471  
144,259      Petroleo Brasileiro SA     507,880  
178,392      Petroleo Brasileiro SA     622,965  
11,400      Petronas Dagangan Berhad     54,366  
21,431      Petronet LNG, Ltd.     64,301  
10,578      Polski Koncern Naftowy Orlen SA     125,340  
63,750      Polskie Gornictwo Naftowe i Gazownictwo SA     83,084  
639,600      PT Adaro Energy Tbk     49,142  
58,000      PT United Tractors Tbk     89,454  
54,900      PTT Exploration & Production pcl     138,307  
425,900      PTT pcl     430,948  
19,690      Qatar Fuel QSC     95,850  
10,829      Rabigh Refining & Petrochemical Co.*     45,180  
107,770      Reliance Industries, Ltd.     3,282,598  
21,322      Rosneft Oil Co. PJSC, GDR     104,617  
25,357      Rosneft Oil Co. PJSC     125,053  
83,349      Saudi Arabian Oil Co.     798,036  
26,100      Shaanxi Coal Industry Co., Ltd.     32,263  
2,000      Shanxi Meijin Energy Co., Ltd., Class A*     1,773  
2,182      SK Innovation Co., Ltd.     259,010  
1,806      S-Oil Corp.     79,619  
296,404      Surgutneftegas PJSC     132,036  
247,873      Surgutneftegas Prefernce     125,327  
55,209      Tatneft PJSC     328,033  
49,100      Thai Oil Public Co., Ltd.     49,713  
4,521      Tupras-Turkiye Petrol Rafine*     46,627  
28,345      Ultrapar Participacoes SA     97,268  
70,000      Yanzhou Coal Mining Co.     52,173  
1,194      YPF Sociedad Anonima, ADR*     4,263  
         13,098,102  

Paper & Forest Products (0.2%):

 
43,569      Empresas CMPC SA     91,593  
85,700      Indah Kiat Pulp & Paper Corp Tbk PT     52,080  
43,000      Lee & Man Paper Manufacturing, Ltd.     31,225  
67,000      Nine Dragons Paper Holdings, Ltd.     84,236  
19,634      Suzano SA*     159,261  
         418,395  

Personal Products (0.6%):

 
378      Amorepacific Corp.     18,927  
1,189      Amorepacific Corp.     165,567  
Shares               Fair Value      

Common Stocks, continued

 

Personal Products, continued

 
863      Amorepacific Group   $ 35,817  
2,492      Colgate-Palmolive India, Ltd.     48,457  
20,734      Dabur India, Ltd.     143,862  
14,700      Godrej Consumer Products, Ltd.     144,858  
27,000      Hengan International Group Co., Ltd.     196,289  
351      LG Household & Health Care, Ltd.     435,828  
60      LG Household & Health Care, Ltd.     36,370  
16,791      Marico, Ltd.     82,889  
29,667      Natura & Co. Holding SA*     270,123  
         1,578,987  

Pharmaceuticals (1.5%):

 
16,178      Aspen Pharmacare Holdings, Ltd.*     115,135  
          1,000      Asymchem Laboratories Tianjin Co., Ltd., Class A     38,916  
11,197      Aurobindo Pharma, Ltd.     121,355  
900      Betta Pharmaceuticals Co., Ltd.     15,126  
2,400      CanSino Biologics, Inc., Class H*     51,862  
1,200      Changchun High & New Technology Industry Group, Inc., Class A     65,371  
1,500      Chengdu Kanghong Pharmaceutical Group Co., Ltd.     10,074  
56,000      China Medical System Holdings, Ltd.     62,157  
210,000      China Pharmaceutical Enterprise & Investment Corp.     407,499  
80,500      China Resources Pharmaceutical     41,414  
100,000      China Traditional Chinese Medicine Holdings Co., Ltd.     41,933  
11,126      Cipla, Ltd.     117,379  
4,443      Dr Reddy’s Laboratories, Ltd.     312,622  
2,900      Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd., Class A     12,900  
263      Hanmi Pharm Co., Ltd.     61,462  
42,000      Hansoh Pharmaceutical Group Co., Ltd.*     205,693  
2,773      Hutchison China MediTech, Ltd., ADR*     89,568  
15,104      Hypera SA     80,207  
13,656      Jiangsu Hengrui Medicine Co., Ltd.     180,768  
7,523      Lupin, Ltd.     102,810  
61,500      Luye Pharma Group, Ltd.     35,790  
2,080      Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd.     13,732  
3,371      Piramal Enterprises, Ltd.     57,314  
881,600      PT Kalbe Farma Tbk     92,328  
5,856      Richter Gedeon Nyrt     123,739  
5,700      Shanghai Fosun Pharmaceutical Group Co., Ltd.     41,566  
17,000      Shanghai Fosun Pharmaceutical Group Co., Ltd.     71,399  
4,800      Shijiazhuang Yiling Pharmaceutical Co., Ltd., Class A     19,042  
1,151      Shin Poong Pharmaceutical Co., Ltd.*     124,414  
401,750      Sino Biopharmaceutical, Ltd.     440,356  
30,000      SSY Group, Ltd.     17,145  
32,087      Sun Pharmaceutical Industries, Ltd.     218,417  
1,998      Torrent Pharmaceuticals, Ltd.     76,183  
1,876      Yuhan Corp.     102,366  
3,600      Yunnan Baiyao Group Co., Ltd.     54,069  
1,300      Zhangzhou Pientzehuang Pharmaceutical Co., Ltd.     46,750  
35,100      Zhejiang Conba Pharmaceutical Co., Ltd.*     26,864  
6,380      Zhejiang Huahai Pharmaceutical Co., Ltd.     30,187  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Emerging Markets Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Pharmaceuticals, continued

 
3,600      Zhejiang NHU Co., Ltd., Class A   $ 15,761  
500      Zhejiang Wolwo Bio-Pharmaceutical Co., Ltd.     4,130  
         3,745,803  

Professional Services (0.0%):

 
          1,148      51job, Inc., ADR*     89,533  

Real Estate Management & Development (2.3%):

 
50,000      Agile Group Holdings, Ltd.     65,700  
170,399      Aldar Properties PJSC     93,333  
291,100      Ayala Land, Inc.     178,390  
78,422      Barwa Real Estate Co.     75,630  
13,663      Cencosud Shopping SA     19,584  
86,800      Central Pattana pcl     116,654  
59,000      China Aoyuan Group, Ltd.     60,551  
60,000      China Everbright Environment Group, Ltd.^     153,414  
12,350      China Fortune Land Development Co., Ltd.     27,556  
218,000      China Jinmao Holdings Group, Ltd.     120,688  
4,900      China Merchants Property Operation & Service Co., Ltd., Class A     19,034  
24,100      China Merchants Shekou Industrial Zone Holdings Co., Ltd., Class A     53,741  
142,500      China Overseas Land & Investment, Ltd.     359,396  
55,000      China Overseas Property Holdings, Ltd.     45,093  
120,000      China Resources Land, Ltd.     545,755  
26,600      China Vanke Co., Ltd., Class A     109,808  
60,800      China Vanke Co., Ltd., Class H     186,529  
140,000      CIFI Holdings Group Co., Ltd.     103,444  
302,000      Country Garden Holdings Co., Ltd.     372,116  
14,300      Dar Al Arkan Real Estate Development Co.*     35,742  
25,683      DLF, Ltd.     53,438  
9,596      Emaar Economic City*     25,746  
100,129      Emaar Malls PJSC*     40,683  
141,286      Emaar Properties PJSC*     107,494  
6,000      Future Land Holdings Co., Ltd.     30,890  
10,300      Gemdale Corp., Class A     22,026  
17,700      Greenland Holdings Corp., Ltd.     16,617  
48,400      Guangzhou R&F Properties Co., Ltd., Class H     62,522  
28,600      Highwealth Construction Corp.     42,566  
12,500      Jinke Properties Group Co., Ltd., Class A     16,624  
116,000      Kaisa Group Holdings, Ltd.     59,548  
3,610      KE Holdings, Inc., ADR*     221,293  
51,000      KWG Group Holdings, Ltd.     87,238  
357,000      Land & Houses Public Co., Ltd.     76,743  
60,000      Logan Property Holdings Co., Ltd.     95,193  
69,500      Longfor Group Holdings, Ltd.     390,674  
363,000      Megaworld Corp.*     22,228  
15,106      Multiplan Empreendimentos Imobiliarios SA     52,268  
13,626      NEPI Rockcastle plc     56,052  
4,800      Poly Property Services Co., Ltd., Class H     37,409  
30,600      Poly Real Estate Group Co., Ltd., Class A     71,450  
61,100      Robinsons Land Corp.     17,977  
28,560      Ruentex Development Co., Ltd.     38,412  
84,000      Seazen Group, Ltd.     71,648  
3,800      Shanghai Industrial Urban Development Group, Ltd.     364  
44,500      Shanghai Lujiazue     37,289  
Shares               Fair Value      

Common Stocks, continued

 

Real Estate Management & Development, continued

 
156,000      Shenzhen Investment, Ltd.   $ 45,577  
49,000      Shimao Property Holdings, Ltd.     203,633  
139,000      Sino-Ocean Group Holding, Ltd.     28,083  
363,100      SM Prime Holdings, Inc.     220,864  
60,000      Soho China, Ltd.*     16,199  
95,000      Sunac China Holdings, Ltd.     373,197  
43,000      The Wharf Holdings, Ltd.     85,937  
56,700      Xinhu Zhongbao Co., Ltd., Class A     28,094  
188,000      Yuexiu Property Co., Ltd.     36,785  
89,000      Yuzhou Group Holdings Co., Ltd.     35,314  
62,000      Zhenro Properties Group, Ltd.     38,043  
         5,608,276  

Road & Rail (0.2%):

 
303,300      BTS Group Holdings pcl     91,053  
235      CJ Logistics Corp.*     35,461  
10,239      Container Corp. of India, Ltd.     50,913  
45,699      Daqin Railway Co., Ltd., Class A     42,767  
22,041      Localiza Rent a Car SA     222,432  
45,706      Rumo SA*     155,134  
         597,760  

Semiconductors & Semiconductor Equipment (8.0%):

 
126,465      ASE Technology Holding Co., Ltd.     259,880  
          1,000      ASMedia Technology, Inc.     50,728  
36,500      GCL System Integration Technology Co., Ltd.*     20,281  
540      Gigadevice Semiconductor Beijing, Inc., Class A     13,791  
9,000      Globalwafers Co., Ltd.     119,824  
18,000      Hua Hong Semiconductor, Ltd.*     69,511  
7,800      Longi Green Energy Technology Co., Ltd.     86,029  
57,000      MediaTek, Inc.     1,202,037  
47,000      Nanya Technology Corp.     93,463  
20,000      Novatek Microelectronics Corp.     184,402  
6,000      Phison Electronics Corp.     55,068  
24,000      Powertech Technology, Inc.     71,747  
20,000      Realtek Semiconductor Corp.     256,011  
9,700      Sanan Optoelectronics Co., Ltd., Class A     34,937  
138,300      Semiconductor Manufacturing International Corp.*     327,813  
400      SG Micro Corp., Class A     17,656  
1,400      Shenzhen Goodix Technology Co., Ltd., Class A     32,358  
3,000      Silergy Corp.     177,519  
20,758      SK Hynix, Inc.     1,489,677  
930,000      Taiwan Semiconductor Manufacturing Co., Ltd.     13,968,239  
10,700      Tianjin Zhonghuan Semiconductor Co., Ltd.     34,866  
10,600      Tianshui Huatian Technology Co., Ltd., Class A     21,422  
400      Unigroup Guoxin Microelectronics Co., Ltd., Class A     7,027  
420,000      United Microelectronics Corp.     411,705  
36,000      Vanguard International Semiconductor Corp.     120,125  
1,300      Will Semiconductor, Ltd., Class A     34,058  
12,000      Win Semiconductors Corp.     119,441  
76,000      Winbond Electronics Corp.     36,816  
146,000      Xinyi Solar Holdings, Ltd.     233,718  
         19,550,149  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Emerging Markets Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Software (0.4%):

 
          8,800      360 Security Technology, Inc., Class A   $ 21,473  
1,000      Beijing Shiji Information Technology Co., Ltd., Class A     5,647  
900      China National Software & Service Co., Ltd., Class A     11,021  
802      Douzone Bizon Co., Ltd.     71,980  
1,355      Globant SA*     242,843  
3,400      Glodon Co., Ltd., Class A     36,564  
1,950      Hundsun Technologies, Inc.     28,379  
8,500      Iflytek Co., Ltd.     42,900  
84,000      Kingdee International Software Group Co., Ltd.     218,306  
32,000      Kingsoft Corp., Ltd.     161,256  
700      Sangfor Technologies, Inc., Class A     21,793  
3,400      Shanghai Baosight Software Co., Ltd.     36,160  
7,150      Yonyou Network Technology Co., Ltd.     40,249  
         938,571  

Specialty Retail (0.5%):

 
247,600      Ace Hardware Indonesia Tbk PT     26,526  
2,316      FF Group*     27  
381,000      GOME Retail Holdings, Ltd.*^     50,444  
225,000      Home Product Center Public Co., Ltd.     102,454  
12,000      Hotai Motor Co., Ltd.     267,797  
1,292      Hotel Shilla Co., Ltd.     83,392  
2,192      Jarir Marketing Co.     109,554  
3,482      Jumbo SA     61,180  
9,879      Mr Price Group, Ltd.     77,789  
18,364      Pepkor Holdings, Ltd.     12,215  
27,899      Petrobras Distribuidora SA     100,109  
17,100      Suning.com Co., Ltd., Class A     22,868  
45,000      Topsports International Holdings, Ltd.     62,261  
45,177      Via Varejo SA*     139,582  
23,000      Zhongsheng Group Holdings, Ltd.     144,566  
         1,260,764  

Technology Hardware, Storage & Peripherals (5.1%):

 
111,000      Acer, Inc.     95,604  
15,616      Advantech Co., Ltd.     157,044  
26,000      Asustek Computer, Inc.     228,520  
80,300      BOE Technology Group Co., Ltd., Class A     58,282  
28,000      Catcher Technology Co., Ltd.     176,297  
25,360      Chicony Electronics Co., Ltd.     73,960  
12,500      China Greatwall Technology Group Co., Ltd., Class A     29,541  
139,000      Compal Electronics, Inc.     91,710  
3,100      Dawning Information Industry Co., Ltd.     17,255  
37,199      Focus Media Information Technology Co., Ltd., Class A     44,281  
11,400      GRG Banking Equipment Co., Ltd., Class A     20,368  
3,156      Inspur Electronic Information Industry Co., Ltd., Class A     14,157  
103,000      Inventec Corp.     80,116  
17,400      Legend Holdings Corp., Class H     21,194  
294,000      Lenovo Group, Ltd.     195,387  
86,000      Lite-On Technology Corp.     136,945  
24,000      Micro-Star International Co., Ltd.     110,895  
5,000      Ninestar Corp.     21,016  
67,000      Pegatron Corp.     148,071  
113,000      Quanta Computer, Inc.     296,054  
Shares               Fair Value      

Common Stocks, continued

 
Technology Hardware, Storage & Peripherals, continued  
180,049      Samsung Electronics Co., Ltd.   $ 9,073,443  
          6,100      Shenzhen Kaifa Technology Co., Ltd., Class A     18,559  
112,863      Wistron Corp.     116,799  
3,000      Wiwynn Corp.     68,147  
394,600      Xiaomi Corp., Class B*     1,053,956  
         12,347,601  

Textiles, Apparel & Luxury Goods (0.9%):

 
42,000      Anta Sports Products, Ltd.     435,291  
116,000      Bosideng International Holdings, Ltd.     36,105  
8,220      Eclat Textile Co., Ltd.     102,520  
15,000      Feng Tay Enterprise Co., Ltd.     90,339  
1,622      Fila Korea, Ltd.     50,375  
19,000      Formosta Taffeta Co., Ltd.     20,570  
83,000      Li Ning Co., Ltd.     389,480  
52      LPP SA*     88,266  
236      Page Industries, Ltd.     68,302  
83,000      Pou Chen Corp.     75,259  
30,200      Shenzhou International Group     512,821  
12,833      Titan Co., Ltd.     209,898  
         2,079,226  

Thrifts & Mortgage Finance (0.6%):

 
62,307      Housing Development Finance Corp., Ltd.     1,478,865  
10,552      LIC Housing Finance, Ltd.     39,726  
         1,518,591  

Tobacco (0.3%):

 
43,949      Eastern Co. SAE     33,669  
307,300      Hanjaya Mandala Sampoerna Tbk PT     29,076  
110,667      ITC, Ltd.     257,737  
4,417      KT&G Corp.     311,881  
12,100      PT Gudang Garam Tbk*     32,709  
         665,072  

Trading Companies & Distributors (0.0%):

 
7,500      BOC Aviation, Ltd.     51,093  
2,050      Posco International Corp.     23,781  
         74,874  

Transportation Infrastructure (0.6%):

 
18,445      Adani Ports & Special Economic Zone, Ltd.     85,872  
160,200      Airports of Thailand Public Co., Ltd.     286,723  
291,400      Bangkok Expressway & Metro     78,748  
74,000      Beijing Capital International Airport Co., Ltd.     44,600  
44,194      CCR SA     99,713  
47,228      China Merchants Port Holdings Co., Ltd.     48,228  
80,000      COSCO SHIPPING Ports, Ltd.     45,707  
8,587      Grupo Aeroportuario de Sur*     99,759  
15,047      Grupo Aeroporturaio del Pacifico SAB de C.V.     120,824  
11,100      Guangzhou Baiyun International Airport Co., Ltd., Class A     22,262  
46,190      International Container Terminal Services, Inc.     104,869  
64,000      Jiangsu Expressway Co., Ltd., Series H, Class H     64,446  
28,300      Malaysia Airports Holdings Berhad     32,443  
9,118      Promotora Y Operadora de Infraestructura SAB de CV*     64,504  
3,000      Shanghai International Air     30,257  
35,399      Shanghai International Port Group Co., Ltd.     21,740  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Emerging Markets Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 
Transportation Infrastructure, continued  
44,000      Shenzhen Expressway Co., Ltd., Class H   $ 38,267  
35,000      Shenzhen International Holdings, Ltd.     55,789  
87,000      Taiwan High Speed Rail Corp.     95,144  
33,400      Westports Holding Berhad     31,062  
76,000      Zhejiang Expressway Co., Ltd.     54,913  
         1,525,870  

Water Utilities (0.2%):

 
130,347      Aguas Andinas SA, Class A     36,536  
186,000      Beijing Enterprises Water Group, Ltd.     72,110  
13,691      Cia Saneamento Basico Do Estado de Sao Paulo     114,102  
108,000      Guangdong Investment, Ltd.     171,484  
         394,232  
Wireless Telecommunication Services (2.0%):  
45,500      Advanced Info Service Public Co., Ltd.     246,357  
1,273,179      America Movil SAB de C.V., Series L     799,484  
128,300      Axiata Group Berhad     91,418  
46,689      Bharti Airtel, Ltd.     267,434  
229,000      China Mobile, Ltd.     1,472,208  
98,000      China United Network Communications, Ltd.     70,012  
126,100      DIGI.com Berhad     122,621  
          4,626      Empresa Nacional de Telecomunicaciones SA     28,810  
15,756      Etihad Etisalat Co.*     120,009  
58,000      Far EasTone Telecommunications Co., Ltd.     122,230  
1,005      Globe Telecom, Inc.     43,129  
90,400      Intouch Holdings Public Co., Ltd.     146,842  
92,900      Maxis Berhad     113,712  
14,942      Mobile TeleSystems PJSC, ADR     130,444  
58,041      MTN Group, Ltd.     195,365  
3,620      PLDT, Inc.     99,954  
1,439      SK Telecom Co., Ltd.     292,720  
56,000      Taiwan Mobile Co., Ltd.     186,950  
27,636      Tim Participacoes SA     64,273  
36,500      Total Access Communication Public Co., Ltd.     37,420  
40,565      Turkcell Iletisim Hizmetleri AS     79,846  
21,658      Vodacom Group, Ltd.     159,284  
145,200      XL Axiata Tbk PT     19,948  
         4,910,470  

Total Common Stocks (Cost $181,166,371)

    238,079,753  

Preferred Stocks (1.3%):

 

Automobiles (0.0%):

 
1,265      Hyundai Motor Co., Ltd., 3.52%, 6/29/20     95,303  

Banks (0.5%):

 
168,884      Banco Bradesco SA, 0.89%, 1/3/20     583,748  
182,164      Itau Unibanco Holding SA, Series S, 0.80%, 1/5/21     729,889  
         1,313,637  

Chemicals (0.0%):

 
8,754      Braskem SA, Class A, 4.04%, 10/7/20     32,410  

Electric Utilities (0.0%):

 
3,360      Cia Paranaense de Energia, Class B, 0.61%     37,103  

Metals & Mining (0.1%):

 
42,438      Gerdau SA, 0.34%, 3/6/20     157,192  

Contracts,

Shares,

Notional

Amount or

Principal

Amount

              Fair Value      

Preferred Stocks, continued

 

Multiline Retail (0.1%):

 
29,978      Lojas Americanas SA, 0.05%, 1/11/21   $ 151,558  
Technology Hardware, Storage & Peripherals (0.6%):  
31,233      Samsung Electronics Co., Ltd., 2.11%, 3/30/20     1,347,719  

Total Preferred Stocks (Cost $3,724,049)

    3,134,922  

Warrant (0.0%):

 

Consumer Finance (0.0%):

 
1,108      Srisawad Corp. pcl, 8/29/25     409  

Total Warrant (Cost $–)

    409  

Rights (0.0%):

 

Construction Materials (0.0%):

 
4,144      Siam Cement Nvdr, Expires on 12/31/49*(a)      

Insurance (0.0%):

 
5,666      Shin Kong Financial, Expires on 8/26/20*(a)      

Total Rights (Cost $–)

     
Short-Term Securities Held as Collateral for Securities on Loan (0.7%):  
1,625,070      BlackRock Liquidity FedFund, Institutional Class , 1.81%(b)(c)     1,625,070  

Total Short-Term Securities Held as Collateral for Securities on Loan (Cost $1,625,070)

    1,625,070  
Unaffiliated Investment Companies (0.4%):  

Money Markets (0.4%):

 
1,050,344      Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(c)     1,050,344  

Total Unaffiliated Investment Companies (Cost $1,050,344)

    1,050,344  

Total Investment Securities

(Cost $187,565,834) - 100.0%

    243,890,498  

Net other assets (liabilities) - 0.0%

    (52,252)  

Net Assets - 100.0%

    $243,838,246  
       

Percentages indicated are based on net assets as of September 30, 2020.

 

ADR        -    American Depository Receipt
GDR    -    Global Depositary Receipt

 

*

Non-income producing security.

^

This security or a partial position of this security was on loan as of September 30, 2020. The total value of securities on loan as of September 30, 2020 was $1,531,172.

Represents less than 0.05%.

(a)

Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of September 30, 2020. The total of all such securities represent 0.00% of the net assets of the fund.

 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Emerging Markets Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

(b)

Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before September 30, 2020.

(c)

The rate represents the effective yield at September 30, 2020.

Amounts shown as “—“ are either $0 or round less than $1.

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of September 30, 2020:

(Unaudited)

 

Country

  

Percentage

Argentina

      —%  

Bermuda

     0.1 %     

Brazil

     4.5

Cayman Islands

     1.1

Chile

     0.5

China

     36.0

Colombia

     0.2

Czech Republic

     0.1

Egypt

     0.1

Greece

     0.1

Hong Kong

     4.2

Hungary

     0.2

India

     8.2

Indonesia

     1.2

Luxembourg

     0.1

Malaysia

     1.7

Mexico

     1.6

Pakistan

      —%  

Peru

      —%  

Philippines

     0.7

Poland

     0.6

Qatar

     0.8

Republic of Korea (South)

     12.0

Romania

      —%  

Russian Federation

     3.0

Saudi Arabia

     2.8

Singapore

      —%  

South Africa

     3.4

Switzerland

     0.1

Taiwan, Province Of China

     12.5

Thailand

     1.8

Turkey

     0.3

United Arab Emirates

     0.6

United States

     1.5
  

 

 

 

         100.0
  

 

 

 

 

Represents less than 0.05%.

    

 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Emerging Markets Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Futures Contracts

At September 30, 2020, the Fund’s open futures contracts were as follows:

Long Futures

 

Description   

Expiration

Date

    

Number of

Contracts

    

Notional

Amount

    

Value and    

Unrealized    

Appreciation/    

(Depreciation)    

Mini MSCI Emerging Markets Index December Futures (U.S. Dollar)

     12/18/20        55      $         2,993,375      $               61,080      
           

 

 

 

            $ 61,080  
           

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Global Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks (99.4%):

 

Aerospace & Defense (1.3%):

 
          3,781      Airbus SE   $ 274,409  
21,226      BAE Systems plc     131,269  
3,541      Boeing Co. (The)     585,186  
1,996      CAE, Inc.     29,204  
22      Dassault Aviation SA     18,672  
203      Elbit Systems, Ltd.     24,669  
1,631      General Dynamics Corp.     225,779  
333      HEICO Corp.     34,852  
551      HEICO Corp., Class A     48,852  
2,939      Howmet Aerospace, Inc.*     49,140  
307      Huntington Ingalls Industries, Inc.     43,210  
1,397      L3harris Technologies, Inc.     237,266  
401      Leonardo SpA     2,344  
1,640      Lockheed Martin Corp.     628,580  
386      MTU Aero Engines AG     64,191  
1,051      Northrop Grumman Corp.     331,580  
10,031      Raytheon Technologies Corp.     577,184  
12,793      Rolls-Royce Holdings plc^     21,223  
2,146      Safran SA*     211,149  
13,200      Singapore Technologies Engineering, Ltd.     33,649  
244      Teledyne Technologies, Inc.*     75,691  
1,337      Textron, Inc.     48,252  
588      Thales SA     44,023  
324      TransDigm Group, Inc.     153,939  
         3,894,313  

Air Freight & Logistics (0.6%):

 
6,608      Bollore, Inc.     24,662  
848      C.H. Robinson Worldwide, Inc.     86,657  
6,548      Deutsche Post AG     298,559  
1,094      Expeditors International of Washington, Inc.     99,029  
1,642      FedEx Corp.     412,996  
1,100      SG Holdings Co., Ltd.     57,180  
4,647      United Parcel Service, Inc., Class B     774,330  
691      XPO Logistics, Inc.*     58,500  
1,800      Yamato Holdings Co., Ltd.     47,388  
         1,859,301  

Airlines (0.1%):

 
990      Air Canada*     11,667  
1,000      ANA Holdings, Inc.^     23,173  
1,221      Delta Air Lines, Inc.     37,338  
1,823      Deutsche Lufthansa AG, Registered Shares*^     15,711  
1,000      Japan Airlines Co., Ltd.     18,775  
5,225      Qantas Airways, Ltd.     15,220  
7,150      Singapore Airlines, Ltd.     18,280  
1,013      Southwest Airlines Co.     37,988  
         178,152  

Auto Components (0.4%):

 
1,200      Aisin Sieki Co., Ltd.     38,373  
1,809      Aptiv plc     165,849  
624      Autoliv, Inc.     45,477  
1,542      BorgWarner, Inc.     59,737  
3,800      Bridgestone Corp.     120,047  
1,124      Compagnie Generale des Establissements Michelin SCA, Class B     120,258  
691      Continental AG     74,899  
2,800      Denso Corp.     122,666  
608      Faurecia SA     26,253  
800      Koito Manufacturing Co., Ltd.     40,790  
442      Lear Corp.     48,200  
1,919      Magna Internationl, Inc.     87,821  
800      NGK Spark Plug Co., Ltd.     13,958  
Shares               Fair Value      

Common Stocks, continued

 

Auto Components, continued

 
784      Pirelli & C SpA*   $ 3,358  
600      Stanley Electric Co., Ltd.     17,220  
          4,300      Sumitomo Electric Industries, Ltd.     48,325  
700      Sumitomo Rubber Industries, Ltd.     6,494  
300      Toyoda Gosei Co., Ltd.     6,877  
1,100      Toyota Industries Corp.     69,566  
1,269      Valeo SA     38,780  
1,100      Yokohama Rubber Co., Ltd. (The)     15,658  
         1,170,606  

Automobiles (1.6%):

 
2,218      Bayerische Motoren Werke AG (BMW)     161,029  
5,593      Daimler AG, Registered Shares     301,540  
833      Ferrari NV     152,458  
6,550      Fiat Chrysler Automobiles NV     80,177  
26,246      Ford Motor Co.     174,798  
8,240      General Motors Co.     243,822  
10,900      Honda Motor Co., Ltd.     257,211  
4,200      Isuzu Motors, Ltd.     36,800  
4,500      Mazda Motor Corp.     26,317  
3,000      Mitsubishi Motors Corp.     6,623  
14,100      Nissan Motor Co., Ltd.*     50,121  
3,490      PSA Peugeot Citroen SA*     62,918  
1,438      Renault SA*     37,113  
3,800      Subaru Corp.     73,778  
2,300      Suzuki Motor Corp.     98,527  
4,880      Tesla, Inc.*     2,093,569  
14,000      Toyota Motor Corp.     926,085  
236      Volkswagen AG*     41,251  
2,100      Yamaha Motor Co., Ltd.     30,540  
         4,854,677  

Banks (4.9%):

 
3,369      ABN AMRO Group NV*     28,168  
1,000      Aozora Bank, Ltd.^     16,621  
18,743      Australia & New Zealand Banking Group, Ltd.     231,996  
44,964      Banco Bilbao Vizcaya Argentaria SA     124,255  
109,998      Banco Santander SA     204,896  
8,039      Bank Hapoalim BM     42,944  
10,693      Bank Leumi Le-Israel Corp.     47,070  
51,397      Bank of America Corp.     1,238,154  
11,200      Bank of East Asia, Ltd. (The)^     20,649  
200      Bank of Kyoto, Ltd. (The)     9,663  
4,213      Bank of Montreal     246,312  
7,965      Bank of Nova Scotia^     330,948  
5,419      Bankinter SA     23,313  
221      Banque Cantonale Vaudois, Registered Shares     22,410  
116,552      Barclays plc     146,637  
7,240      BNP Paribas SA     262,244  
24,500      BOC Hong Kong Holdings, Ltd.     64,995  
20,425      CaixaBank SA     43,302  
2,879      Canadian Imperial Bank of Commerce     215,222  
2,800      Chiba Bank, Ltd. (The)     15,454  
13,643      Citigroup, Inc.     588,150  
2,688      Citizens Financial Group, Inc.     67,953  
735      Comerica, Inc.     28,114  
4,941      Commerzbank AG     24,282  
11,717      Commonwealth Bank of Australia     535,408  
8,400      Concordia Financial Group, Ltd.     29,285  
6,960      Credit Agricole SA     60,828  
3,893      Danske Bank A/S     52,744  
11,900      DBS Group Holdings, Ltd.     175,073  
6,348      DNB ASA*     87,726  
1,112      East West Bancorp, Inc.     36,407  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Global Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Banks, continued

 
1,649      Erste Group Bank AG*   $ 34,482  
          4,520      Fifth Third Bancorp     96,366  
3,510      Finecobank Banca Fineco SpA     48,291  
1,119      First Republic Bank     122,038  
1,400      Fukuoka Financial Group, Inc.     23,574  
4,900      Hang Seng Bank, Ltd.     72,737  
134,459      HSBC Holdings plc     522,264  
7,420      Huntington Bancshares, Inc.     68,041  
24,884      ING Groep NV*     176,179  
107,875      Intesa Sanpaolo SpA*     202,535  
7,605      Isreal Discount Bank     20,510  
1,400      Japan Post Bank Co., Ltd.     10,936  
19,991      JPMorgan Chase & Co.     1,924,534  
1,732      KBC Group NV     86,716  
6,122      KeyCorp     73,035  
441,813      Lloyds Banking Group plc*     149,903  
862      M&T Bank Corp.     79,382  
3,600      Mebuki Financial Group, Inc.     8,169  
4,869      Mediobanca SpA     38,177  
80,300      Mitsubishi UFJ Financial Group, Inc.^     318,710  
1,110      Mizrahi Tefahot Bank, Ltd.     19,680  
15,650      Mizuho Financial Group, Inc.^     195,520  
21,417      National Australia Bank, Ltd.     273,209  
2,289      National Bank of Canada^     113,711  
35,584      Natwest Group plc     48,578  
21,792      Nordea Bank AB*     166,067  
23,700      Oversea-Chinese Banking Corp., Ltd.     147,280  
3,124      People’s United Financial, Inc.     32,208  
2,841      PNC Financial Services Group, Inc. (The)     312,254  
1,228      Raiffeisen International Bank-Holding AG*     18,770  
5,891      Regions Financial Corp.     67,923  
16,000      Resona Holdings, Inc.^     54,537  
9,426      Royal Bank of Canada     661,886  
2,100      Seven Bank, Ltd.^     5,092  
300      Shinsei Bank, Ltd.     3,718  
3,700      Shizuoka Bank, Ltd. (The)     25,594  
416      Signature Bank     34,524  
10,530      Skandinaviska Enskilda Banken AB, Class A*     93,249  
4,809      Societe Generale     63,628  
16,290      Standard Chartered plc     74,669  
8,500      Sumitomo Mitsui Financial Group, Inc.^     236,556  
1,900      Sumitomo Mitsui Trust Holdings, Inc.     50,565  
325      SVB Financial Group*     78,202  
9,846      Svenska Handelsbanken AB, Class A*     82,728  
5,915      Swedbank AB, Class A*     92,547  
11,991      Toronto-Dominion Bank (The)     555,239  
8,781      Truist Financial Corp.     334,117  
8,810      U.S. Bancorp     315,839  
14,486      Unicredit SpA     119,447  
8,204      United Overseas Bank, Ltd.     115,199  
25,781      Wells Fargo & Co.     606,111  
24,134      Westpac Banking Corp.     291,142  
1,310      Zions Bancorp     38,278  
         14,425,869  

Beverages (1.7%):

 
5,044      Anheuser-Busch InBev NV     272,230  
2,700      Asahi Breweries, Ltd.     94,053  
2,055      Brown-Forman Corp., Class B     154,783  
10,000      Budweiser Brewing Co. APAC, Ltd.     29,213  
694      Carlsberg A/S, Class B     93,466  
3,938      Coca-Cola Amatil, Ltd.     26,846  
Shares               Fair Value      

Common Stocks, continued

 

Beverages, continued

 
600      Coca-Cola Bottlers Japan Holdings, Inc.   $ 10,045  
26,978      Coca-Cola Co. (The)     1,331,904  
          1,380      Coca-Cola European Partners plc     54,266  
1,242      Coca-Cola HBC AG     30,695  
1,069      Constellation Brands, Inc., Class C     202,586  
4,404      David Campari-Milano NV     48,129  
15,301      Diageo plc     524,086  
732      Heineken Holding NV     56,961  
1,738      Heineken NV     154,430  
400      ITO EN, Ltd.     28,542  
2,060      Keurig Dr Pepper, Inc.     56,856  
5,200      Kirin Holdings Co., Ltd.     97,680  
1,411      Molson Coors Brewing Co., Class B     47,353  
2,572      Monster Beverage Corp.*     206,274  
9,088      PepsiCo, Inc.     1,259,597  
1,398      Pernod Ricard SA     223,079  
103      Remy Cointreau SA^     18,799  
1,100      Suntory Beverage & Food, Ltd.     41,350  
5,399      Treasury Wine Estates, Ltd.     34,634  
         5,097,857  

Biotechnology (1.9%):

 
11,691      AbbVie, Inc.     1,024,014  
1,454      Alexion Pharmaceuticals, Inc.*     166,381  
705      Alnylam Pharmaceuticals, Inc.*     102,648  
3,843      Amgen, Inc.     976,737  
295      Argenx SE*     77,697  
272      BeiGene, Ltd., ADR*     77,912  
1,079      Biogen, Inc.*     306,091  
1,263      BioMarin Pharmaceutical, Inc.*     96,089  
3,004      CSL, Ltd.     618,822  
889      Exact Sciences Corp.*     90,634  
246      Galapagos NV*     34,937  
442      Genmab A/S*     160,529  
8,364      Gilead Sciences, Inc.     528,521  
2,223      Grifols SA^     64,058  
1,213      Incyte Corp.*     108,855  
994      Ionis Pharmaceuticals, Inc.*     47,165  
1,805      Moderna, Inc.*     127,704  
515      Neurocrine Biosciences, Inc.*     49,522  
700      Peptidream, Inc.*     32,895  
658      Regeneron Pharmaceuticals, Inc.*     368,335  
458      Sarepta Therapeutics, Inc.*     64,317  
807      Seattle Genetics, Inc.*     157,922  
1,690      Vertex Pharmaceuticals, Inc.*     459,883  
         5,741,668  

Building Products (0.7%):

 
1,044      A.O. Smith Corp.     55,123  
1,400      AGC, Inc.     41,007  
548      Allegion plc     54,203  
6,481      ASSA Abloy AB, Class B     151,337  
5,478      Carrier Global Corp.     167,298  
3,551      Compagnie de Saint-Gobain SA     149,073  
1,600      Daikin Industries, Ltd.     295,067  
861      Fortune Brands Home & Security, Inc.     74,494  
247      Geberit AG, Registered Shares     146,395  
4,805      Johnson Controls International plc     196,284  
964      Kingspan Group plc*     87,668  
205      Lennox International, Inc.     55,885  
2,000      Lixil Group Corp.     40,219  
1,851      Masco Corp.     102,046  
1,748      Nibe Industrier AB, Class B*     45,071  
811      Owens Corning     55,805  
700      TOTO, Ltd.     32,122  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Global Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Building Products, continued

 
          1,747      Trane Technologies plc   $ 211,824  
         1,960,921  

Capital Markets (2.7%):

 
5,939      3i Group plc     76,222  
763      Ameriprise Financial, Inc.     117,586  
372      Amundi SA     26,222  
1,269      Apollo Global Management, Inc.     56,788  
1,244      ASX, Ltd.     72,849  
5,333      Bank of New York Mellon Corp. (The)     183,135  
1,009      BlackRock, Inc., Class A+     568,623  
4,345      Blackstone Group, Inc. (The), Class A     226,809  
8,854      Brookfield Asset Management, Inc., Class A     293,005  
655      Cboe Global Markets, Inc.     57,470  
7,745      Charles Schwab Corp. (The)     280,601  
1,918      CI Financial Corp.     24,332  
2,372      CME Group, Inc.     396,859  
16,365      Credit Suisse Group AG     163,838  
8,500      Daiwa Securities Group, Inc.^     35,681  
13,670      Deutsche Bank AG, Registered Shares*     115,242  
1,237      Deutsche Boerse AG     217,214  
1,442      E*TRADE Financial Corp.     72,172  
1,745      EQT AB     33,786  
244      FactSet Research Systems, Inc.     81,711  
2,272      Franklin Resources, Inc.     46,235  
2,149      Goldman Sachs Group, Inc.     431,885  
2,274      Hargreaves Lansdown plc     45,575  
8,000      Hong Kong Exchanges & Clearing, Ltd.     376,047  
246      IGM Financial, Inc.^     5,641  
3,663      Intercontinental Exchange, Inc.     366,483  
2,923      Invesco, Ltd.     33,351  
3,100      Japan Exchange Group, Inc.^     86,764  
1,376      Julius Baer Group, Ltd.     58,677  
3,196      KKR & Co., Inc., Class A     109,751  
2,065      London Stock Exchange Group plc     236,192  
2,239      Macquarie Group, Ltd.     192,285  
973      Magellan Financial Group, Ltd.     39,648  
252      MarketAxess Holdings, Inc.     121,361  
1,103      Moody’s Corp.     319,705  
7,646      Morgan Stanley     369,684  
580      MSCI, Inc., Class A     206,932  
733      Nasdaq, Inc.     89,946  
7,385      Natixis     16,596  
21,300      Nomura Holdings, Inc.     97,179  
1,323      Northern Trust Corp.     103,154  
123      Partners Group Holding AG     113,212  
787      Raymond James Financial, Inc.     57,262  
1,572      S&P Global, Inc.     566,863  
1,800      SBI Holdings, Inc.     46,583  
935      Schroders plc     32,580  
981      SEI Investments Co.     49,756  
3,200      Singapore Exchange, Ltd.     21,540  
3,996      St. James Place plc     47,739  
2,376      State Street Corp.     140,968  
1,492      T. Rowe Price Group, Inc.     191,304  
1,633      TD Ameritrade Holding Corp.     63,932  
413      TMX Group, Ltd.     42,479  
599      Tradeweb Markets, Inc., Class A     34,742  
24,266      UBS Group AG     270,970  
         8,133,166  

Chemicals (2.4%):

 
3,124      Air Liquide SA     495,665  
1,461      Air Products & Chemicals, Inc.     435,174  
Shares               Fair Value      

Common Stocks, continued

 

Chemicals, continued

 
800      Air Water, Inc.   $ 10,824  
          1,326      Akzo Nobel NV     134,274  
637      Albemarle Corp.     56,871  
367      Arkema SA     38,930  
7,500      Asahi Kasei Corp.     65,480  
1,522      Axalta Coating Systems, Ltd.*     33,743  
6,065      BASF SE     369,278  
740      Celanese Corp., Series A     79,513  
1,625      CF Industries Holdings, Inc.     49,904  
657      Christian Hansen Holding A/S     73,034  
1,528      Clariant AG     30,050  
4,853      Corteva, Inc.     139,815  
1,000      Covestro AG     49,646  
936      Croda International plc     75,555  
1,000      Daicel Corp.     7,208  
4,723      Dow, Inc.     222,217  
4,782      DuPont de Nemours, Inc.     265,305  
814      Eastman Chemical Co.     63,590  
1,688      Ecolab, Inc.     337,330  
48      EMS-Chemie Holding AG     43,081  
1,423      Evonik Industries AG     36,861  
831      FMC Corp.     88,011  
336      Fuchs Petrolub AG     17,085  
59      Givaudan SA, Registered Shares     254,360  
5,617      ICL Group, Ltd.     19,840  
625      International Flavors & Fragrances, Inc.     76,531  
1,443      Johnson Matthey plc     43,628  
900      JSR Corp.     21,350  
1,300      Kansai Paint Co., Ltd.     32,294  
1,135      Koninklijke DSM NV     187,021  
2,600      Kuraray Co., Ltd.     25,254  
629      Lanxess AG     36,095  
3,471      Linde plc     826,549  
1,758      LyondellBasell Industries NV, Class A     123,921  
9,900      Mitsubishi Chemical Holdings Corp.^     57,168  
1,400      Mitsubishi Gas Chemical Co., Inc.     25,977  
1,400      Mitsui Chemicals, Inc.     33,872  
2,751      Mosaic Co. (The)     50,261  
900      Nippon Paint Holdings Co., Ltd.     92,632  
1,100      Nippon Sanso Holdings Corp.     17,006  
700      Nissan Chemical Corp.     37,346  
900      Nitto Denko Corp.     58,683  
1,417      Novozymes A/S, Class B     89,146  
3,774      Nutrien, Ltd.^     147,995  
2,876      Orica, Ltd.     31,862  
1,593      PPG Industries, Inc.     194,473  
780      RPM International, Inc.     64,615  
545      Sherwin Williams Co.     379,724  
2,400      Shin-Etsu Chemical Co., Ltd.     313,296  
1,100      Showa Denko K.K.     20,165  
951      Sika AG     233,695  
411      Solvay SA     35,339  
11,600      Sumitomo Chemical Co., Ltd.     38,415  
841      Symrise AG     116,331  
1,500      Teijin, Ltd.     23,261  
10,400      Toray Industries, Inc.     47,565  
2,000      Tosoh Corp.     32,523  
1,478      Umicore SA     61,534  
985      Yara International ASA     37,948  
         7,106,119  

Commercial Services & Supplies (0.5%):

 
9,779      Brambles, Ltd.     73,602  
581      Cintas Corp.     193,374  
1,381      Copart, Inc.*     145,226  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Global Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Commercial Services & Supplies, continued

 
          1,800      Dai Nippon Printing Co., Ltd.   $ 36,465  
1,776      Edenred     79,671  
400      Park24 Co., Ltd.     6,458  
11,407      Rentokil Initial plc*     78,491  
1,442      Republic Services, Inc., Class A     134,611  
803      Ritchie Bros Auctioneers, Inc.     47,629  
1,110      Rollins, Inc.     60,151  
1,300      SECOM Co., Ltd.     118,804  
2,224      Securitas AB, Class B*     34,051  
600      Sohgo Security Services Co., Ltd.     28,594  
2,100      Toppan Printing Co., Ltd.     29,582  
1,766      Waste Connections, Inc.     183,311  
2,746      Waste Management, Inc.     310,765  
         1,560,785  

Communications Equipment (0.7%):

 
403      Arista Networks, Inc.*     83,393  
27,703      Cisco Systems, Inc.     1,091,220  
352      F5 Networks, Inc.*     43,215  
1,971      Juniper Networks, Inc.     42,377  
1,158      Motorola Solutions, Inc.     181,586  
38,582      Nokia OYJ*     151,207  
638      Palo Alto Networks, Inc.*     156,151  
19,664      Telefonaktiebolaget LM Ericsson, Class B     215,089  
         1,964,238  

Construction & Engineering (0.3%):

 
1,665      ACS Actividades de Construccion y Servicios SA     37,720  
1,273      Bouygues SA     44,128  
572      Cimic Group, Ltd.*     7,619  
582      Eiffage SA     47,429  
3,382      Ferrovial SA     82,035  
206      Hochtief AG     16,035  
874      Jacobs Engineering Group, Inc.     81,081  
1,800      JGC Holdings Corp.     18,699  
3,500      Kajima Corp.     41,926  
4,900      Obayashi Corp.     44,416  
4,500      Shimizu Corp.     33,751  
1,796      Skanska AB, Class B*     37,858  
1,000      Taisei Corp.     33,700  
3,361      Vinci SA     280,309  
820      WSP Global, Inc.     53,854  
         860,560  

Construction Materials (0.2%):

 
5,356      CRH plc     193,387  
889      HeidelbergCement AG     54,526  
2,604      James Hardie Industries SE     62,011  
3,352      LafargeHolcim, Ltd., Registered Shares     152,837  
394      Martin Marietta Materials, Inc.     92,732  
1,000      Taiheiyo Cement Corp.     25,525  
856      Vulcan Materials Co.     116,022  
         697,040  

Consumer Finance (0.3%):

 
1,300      ACOM Co., Ltd.     5,633  
2,209      Ally Financial, Inc.     55,380  
4,546      American Express Co.     455,736  
3,010      Capital One Financial Corp.     216,299  
2,144      Discover Financial Services     123,880  
1      Isracard, Ltd.     1  
3,709      Synchrony Financial     97,065  
         953,994  

Containers & Packaging (0.3%):

 
10,414      Amcor plc     115,075  
502      Avery Dennison Corp.     64,176  
Shares               Fair Value      

Common Stocks, continued

 

Containers & Packaging, continued

 
          2,067      Ball Corp.   $ 171,808  
1,153      CCL Industries, Inc.     44,461  
814      Crown Holdings, Inc.*     62,564  
2,375      International Paper Co.     96,282  
612      Packaging Corp. of America     66,739  
1,174      Sealed Air Corp.     45,563  
1,544      Smurfit Kappa Group plc     60,578  
1,959      WestRock Co.     68,056  
         795,302  

Distributors (0.0%):

 
927      Genuine Parts Co.     88,223  
300      Jardine Cycle & Carriage, Ltd.     3,980  
1,781      LKQ Corp.*     49,387  
         141,590  

Diversified Consumer Services (0.0%):

 
300      Benesse Holdings, Inc.     7,704  

Diversified Financial Services (0.9%):

 
25,594      AMP, Ltd.     24,082  
9,174      Berkshire Hathaway, Inc., Class B*     1,953,511  
2,365      Equitable Holdings, Inc.     43,138  
114      Eurazeo Se*     6,169  
818      EXOR NV     44,508  
702      Groupe Bruxelles Lambert SA     63,264  
753      Industrivarden AB, Class C     20,073  
3,062      Investor AB, Class B     199,751  
1,423      Kinnevik AB, Class B     57,627  
387      L E Lundbergforetagen AB     19,151  
19,143      M&G plc     39,172  
4,100      Mitsubishi UFJ Lease & Finance Co., Ltd.     18,966  
662      Onex Corp.     29,535  
8,500      ORIX Corp.     105,835  
113      Sofina SA     30,825  
13,340      Standard Life Aberdeen plc     38,831  
200      Tokyo Century Corp.^     10,885  
745      Voya Financial, Inc.     35,708  
243      Wendel     22,040  
         2,763,071  

Diversified Telecommunication Services (1.6%):

 
46,965      AT&T, Inc.     1,338,972  
845      BCE, Inc.     35,046  
62,066      BT Group plc     78,860  
2,141      Cellnex Telecom SAU     130,105  
5,765      CenturyLink, Inc.     58,169  
22,062      Deutsche Telekom AG, Registered Shares     369,542  
1,031      Elisa OYJ     60,762  
29,000      HKT Trust & HKT, Ltd.     38,422  
104      Iliad SA     19,130  
26,879      Koninklijke KPN NV     63,195  
8,200      Nippon Telegraph & Telephone Corp.     167,788  
13,510      Orange SA     140,562  
32,000      PCCW, Ltd.     19,126  
1,146      Proximus SADP     20,917  
53,600      Singapore Telecommunications, Ltd.     83,635  
13,956      Spark New Zealand, Ltd.     43,508  
165      Swisscom AG, Registered Shares     87,548  
48,285      Telecom Italia SpA     19,557  
65,740      Telecom Italia SpA     26,303  
3,616      Telefonica Deutschland Holding AG     9,274  
31,903      Telefonica SA     109,409  
4,437      Telenor ASA     74,384  
16,020      Telia Co AB     65,908  
23,866      Telstra Corp., Ltd.     47,599  
3,020      TELUS Corp.     53,147  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Global Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 
Diversified Telecommunication Services, continued  
          3,645      TPG Telecom, Ltd.*   $ 19,321  
500      United Internet AG, Registered Shares     19,130  
27,118      Verizon Communications, Inc.     1,613,250  
         4,812,569  

Electric Utilities (2.0%):

 
1,505      Alliant Energy Corp.     77,733  
3,326      American Electric Power Co., Inc.     271,834  
7,008      AusNet Services     9,484  
3,700      Chubu Electric Power Co., Inc.     45,011  
2,400      Chugoku Electric Power Co., Inc. (The)^     30,052  
5,500      CK Infrastructure Holdings, Ltd.     25,739  
10,500      CLP Holdings, Ltd.     97,877  
4,852      Duke Energy Corp.     429,693  
2,311      Edison International     117,491  
18,415      EDP - Energias de Portugal SA     90,500  
4,565      Electricite de France     48,288  
226      Elia Group SA/NV     22,562  
1,481      Emera, Inc.     60,846  
2,089      Endesa SA     55,863  
53,184      Enel SpA     461,749  
1,282      Entergy Corp.     126,315  
1,499      Evergy, Inc.     76,179  
2,220      Eversource Energy     185,481  
6,438      Exelon Corp.     230,223  
3,449      FirstEnergy Corp.     99,021  
3,118      Fortis, Inc.     127,493  
2,566      Fortum OYJ     51,929  
22,500      HK Electric Investments, Ltd.     23,239  
2,263      Hydro One, Ltd.     47,966  
39,319      Iberdrola SA     483,872  
5,400      Kansai Electric Power Co., Inc. (The)     52,353  
3,000      Kyushu Electric Power Co., Inc.     27,253  
4,873      Mercury NZ, Ltd.     16,436  
3,237      NextEra Energy, Inc.     898,463  
1,470      OGE Energy Corp.     44,085  
1,285      Orsted A/S     177,283  
7,059      PG&E Corp.*     66,284  
634      Pinnacle West Capital Corp.     47,265  
10,500      Power Assets Holdings, Ltd.     55,226  
5,303      PPL Corp.     144,295  
1,850      Red Electrica Corp SA     34,708  
6,397      Scottish & Southern Energy plc     99,574  
2,532      Siemens Energy AG*     68,270  
6,972      Southern Co. (The)     378,022  
8,907      Terna SpA     62,397  
3,500      Tohoku Electric Power Co., Inc.     35,076  
11,600      Tokyo Electric Power Co. Holdings, Inc.*     31,896  
561      Verbund AG, Class A     30,625  
3,447      Xcel Energy, Inc.     237,877  
         5,803,828  

Electrical Equipment (0.9%):

 
11,919      ABB, Ltd.     302,169  
1,525      AMETEK, Inc.     151,585  
2,610      Eaton Corp. plc     266,298  
3,829      Emerson Electric Co.     251,068  
1,000      Fuji Electric Co., Ltd.     31,600  
1,737      Legrand SA     138,654  
36,347      Melrose Industries plc     53,618  
12,200      Mitsubishi Electric Corp.     164,733  
2,900      Nidec Corp.^     269,741  
1,821      Prysmian SpA     52,943  
733      Rockwell Automation, Inc.     161,758  
Shares               Fair Value      

Common Stocks, continued

 

Electrical Equipment, continued

 
          3,660      Schneider Electric SA   $ 454,205  
851      Sensata Technologies Holding plc*     36,712  
1,384      Siemens Gamesa Renewable Energy     37,299  
1,292      Vestas Wind Systems A/S     209,097  
         2,581,480  
Electronic Equipment, Instruments & Components (1.0%):  
1,884      Amphenol Corp., Class A     203,981  
592      Arrow Electronics, Inc.*     46,567  
951      CDW Corp.     113,673  
1,046      Cognex Corp.     68,095  
5,235      Corning, Inc.     169,666  
1,007      FLIR Systems, Inc.     36,101  
2,299      Halma plc     69,280  
1,000      Hamamatsu Photonics KK     50,395  
1,832      Hexagon AB, Class B     138,513  
205      Hirose Electric Co., Ltd.     26,398  
6,200      Hitachi, Ltd.     209,526  
442      Ingenico Group^     68,385  
287      IPG Photonics Corp.*     48,781  
1,200      Keyence Corp.     559,331  
1,247      Keysight Technologies, Inc.*     123,179  
2,100      Kyocera Corp.^     120,007  
3,700      Murata Manufacturing Co., Ltd.     238,765  
1,200      Omron Corp.     93,485  
1,600      Shimadzu Corp.     48,818  
800      TDK Corp.     87,495  
2,114      TE Connectivity, Ltd.     206,622  
1,563      Trimble, Inc.*     76,118  
1,300      Venture Corp., Ltd.     18,437  
1,300      Yaskawa Electric Corp.     50,774  
1,800      Yokogawa Electric Corp.     28,600  
348      Zebra Technologies Corp., Class A*     87,856  
         2,988,848  

Energy Equipment & Services (0.1%):

 
4,726      Baker Hughes Co.     62,809  
5,524      Halliburton Co.     66,564  
2,885      National Oilwell Varco, Inc.     26,138  
9,329      Schlumberger, Ltd.     145,159  
3,492      Tenaris SA     17,404  
         318,074  

Entertainment (1.6%):

 
5,085      Activision Blizzard, Inc.     411,631  
1,934      Electronic Arts, Inc.*     252,213  
700      Konami Holdings Corp.     30,346  
1,491      Liberty Media Corp-Liberty Formula One, Class C*     54,079  
1,117      Live Nation Entertainment, Inc.*     60,184  
2,905      Netflix, Inc.*     1,452,587  
3,000      Nexon Co., Ltd.     74,515  
700      Nintendo Co., Ltd.     397,993  
700      Square Enix Holdings Co., Ltd.     46,547  
747      Take-Two Interactive Software, Inc.*     123,419  
900      Toho Co., Ltd.     37,103  
632      UbiSoft Entertainment SA*     57,106  
5,176      Vivendi Universal SA     144,249  
11,834      Walt Disney Co. (The)     1,468,362  
         4,610,334  

Equity Real Estate Investment Trusts (2.3%):

 
828      Alexandria Real Estate Equities, Inc.     132,480  
2,932      American Tower Corp.     708,751  
20,004      Ascendas Real Estate Investment Trust     47,769  
918      AvalonBay Communities, Inc.     137,094  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Global Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 
Equity Real Estate Investment Trusts, continued  
895      Boston Properties, Inc.   $ 71,869  
          6,602      British Land Co. plc     28,698  
716      Camden Property Trust     63,710  
594      Canadian Apartment Properties REIT     20,724  
23,100      CapitaLand Commercial Trust     27,971  
11,500      CapitaLand Mall Trust     16,378  
316      Covivio     22,303  
2,726      Crown Castle International Corp.     453,879  
15      Daiwahouse Residential Investment Corp.     38,416  
8,284      Dexus     52,857  
1,751      Digital Realty Trust, Inc.     256,977  
2,319      Duke Realty Corp.     85,571  
566      Equinix, Inc.     430,234  
1,060      Equity Lifestyle Properties, Inc.     64,978  
2,436      Equity Residential     125,040  
410      Essex Property Trust, Inc.     82,324  
817      Extra Space Storage, Inc.     87,411  
570      Federal Realty Investment Trust     41,861  
330      Gecina SA     43,654  
27      GLP J-REIT     41,687  
10,133      Goodman Group     130,386  
14,718      GPT Group     41,238  
3,550      Healthpeak Properties, Inc.     96,383  
5,272      Host Hotels & Resorts, Inc.     56,885  
246      Icade     13,807  
3,814      Invitation Homes, Inc.     106,754  
2,122      Iron Mountain, Inc.     56,848  
7      Japan Prime Realty Investment Corp.     21,741  
10      Japan Real Estate Investment Corp.     51,136  
21      Japan Retail Fund Investment Corp.     32,524  
1,471      Klepierre^     20,634  
5,201      Land Securities Group plc     35,015  
13,600      Link REIT (The)     111,175  
15,400      Mapletree Commercial Trust     22,045  
19,500      Mapletree Logistics Trust     29,300  
3,679      Medical Properties Trust, Inc.     64,861  
776      Mid-America Apartment Communities, Inc.     89,977  
29,366      Mirvac Group     45,983  
1,209      National Retail Properties, Inc.     41,723  
9      Nippon Building Fund, Inc.     51,101  
16      Nippon Prologis REIT, Inc.     54,032  
31      Nomura Real Estate Master Fund, Inc.     38,980  
1,633      Omega Healthcare Investors, Inc.     48,892  
11      Orix JREIT, Inc.     16,972  
4,868      ProLogis, Inc.     489,817  
1,018      Public Storage, Inc.     226,729  
2,106      Realty Income Corp.     127,940  
1,274      Regency Centers Corp.     48,437  
1,450      RioCan REIT^     15,312  
737      SBA Communications Corp.     234,720  
30,074      Scentre Group     47,576  
7,930      SERGO plc     95,308  
1,977      Simon Property Group, Inc.     127,872  
211      SmartCentres Real Estate Investment Trust     3,170  
12,409      Stockland     33,700  
623      Sun Communities, Inc.     87,600  
5,400      Suntec Real Estate Investment Trust     5,782  
1,738      UDR, Inc.     56,676  
930      Unibail-Rodamco-Westfield^     34,311  
24      United Urban Investment Corp.     26,770  
2,632      Ventas, Inc.     110,439  
6,445      VEREIT, Inc.     41,893  
Shares               Fair Value      

Common Stocks, continued

 
Equity Real Estate Investment Trusts, continued  
          3,403      VICI Properties, Inc.   $ 79,528  
24,703      Vicinity Centres     24,405  
933      Vornado Realty Trust     31,451  
2,678      Welltower, Inc.     147,531  
4,846      Weyerhaeuser Co.     138,208  
1,157      WP Carey, Inc.     75,390  
         6,671,593  

Food & Staples Retailing (1.6%):

 
4,300      AEON Co., Ltd.     115,607  
5,531      Alimentation Couche-Tard, Inc.     192,634  
3,533      Carrefour SA     56,543  
8,604      Coles Group, Ltd.     104,914  
276      Colruyt SA     17,907  
2,924      Costco Wholesale Corp.     1,038,020  
1,200      Dairy Farm International Holdings, Ltd.     4,542  
1,286      Empire Co., Ltd., Class A     37,332  
686      ICA Gruppen AB     34,888  
13,541      J Sainsbury plc     33,282  
1,994      Jeronimo Martins SGPS SA     32,032  
500      Kobe Bussan Co., Ltd.     27,495  
7,149      Koninklijke Ahold Delhaize NV     211,553  
5,048      Kroger Co. (The)     171,178  
200      LAWSON, Inc.     9,529  
1,122      Loblaw Cos., Ltd.     58,763  
601      METRO AG     6,002  
1,600      Metro, Inc.     76,779  
5,000      Seven & I Holdings Co., Ltd.     154,588  
600      Sundrug Co., Ltd.     22,593  
3,066      Sysco Corp.     190,767  
67,361      Tesco plc     184,641  
300      Tsuruha Holdings, Inc.     42,463  
5,100      Walgreens Boots Alliance, Inc.     183,192  
9,284      Walmart, Inc.     1,298,924  
400      Welcia Holdings Co., Ltd.     17,589  
7,409      Wesfarmers, Ltd.     236,176  
426      Weston (George), Ltd.     31,328  
18,535      William Morrison Supermarkets plc     40,680  
8,253      Woolworths Group, Ltd.     215,720  
         4,847,661  

Food Products (1.9%):

 
4,311      A2 Milk Co., Ltd.*     43,891  
3,300      Ajinomoto Co., Inc.     67,850  
3,676      Archer-Daniels-Midland Co.     170,897  
2,071      Associated British Foods plc     49,879  
17      Barry Callebaut AG, Registered Shares     37,809  
1,070      Bunge, Ltd.     48,899  
400      Calbee, Inc.     13,189  
1,241      Campbell Soup Co.     60,027  
3,195      Conagra Brands, Inc.     114,093  
4,087      Danone SA     264,319  
4,003      General Mills, Inc.     246,905  
968      Hershey Co. (The)     138,753  
1,872      Hormel Foods Corp.     91,522  
528      Ingredion, Inc.     39,959  
719      JM Smucker Co. (The)     83,059  
1,678      Kellogg Co.     108,382  
1,011      Kerry Group plc, Class A     129,769  
800      Kikkoman Corp.     44,401  
4,532      Kraft Heinz Co. (The)     135,733  
1,080      Lamb Weston Holdings, Inc.     71,572  
6      Lindt & Spruengli AG     50,654  
836      McCormick & Co.     162,268  
700      Meiji Holdings Co., Ltd.     53,490  
9,485      Mondelez International, Inc., Class A     544,914  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Global Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Food Products, continued

 
          3,323      Mowi ASA   $ 58,982  
19,699      Nestle SA, Registered Shares     2,337,706  
300      NH Foods, Ltd.     13,390  
1,700      Nisshin Seifun Group, Inc.     27,110  
300      Nissin Foods Holdings Co., Ltd.     28,204  
5,748      Orkla ASA, Class A     58,204  
1,784      Saputo, Inc.     44,754  
700      Toyo Suisan Kaisha, Ltd.     36,999  
1,946      Tyson Foods, Inc., Class A     115,748  
72,000      WH Group, Ltd.     58,605  
10,100      Wilmar International, Ltd.     32,727  
900      Yakult Honsha Co., Ltd.     49,942  
500      Yamazaki Baking Co., Ltd.     8,734  
         5,643,339  

Gas Utilities (0.2%):

 
2,016      AltaGas, Ltd.     24,348  
8,716      APA Group     64,615  
801      Atmos Energy Corp.     76,568  
2,302      Gas Natural SDG SA     46,153  
67,302      Hong Kong & China Gas Co., Ltd.     96,720  
2,900      Osaka Gas Co., Ltd.     56,509  
500      Toho Gas Co., Ltd.^     24,791  
2,100      Tokyo Gas Co., Ltd.     47,984  
1,581      UGI Corp.     52,141  
         489,829  

Health Care Equipment & Supplies (3.3%):

 
11,672      Abbott Laboratories     1,270,264  
284      ABIOMED, Inc.*     78,685  
3,335      Alcon, Inc.     189,393  
505      Align Technology, Inc.*     165,317  
1,196      Ambu A/S, Class B     33,869  
1,400      Asahi Intecc Co., Ltd.     43,983  
3,416      Baxter International, Inc.     274,715  
1,916      Becton Dickinson & Co.     445,815  
226      BioMerieux     35,374  
9,192      Boston Scientific Corp.*     351,226  
302      Carl Zeiss Meditec AG     38,218  
426      Cochlear, Ltd.     60,538  
751      Coloplast A/S, Class B     118,794  
316      Cooper Cos., Inc. (The)     106,530  
4,148      Danaher Corp.     893,189  
896      Demant A/S*     28,192  
1,305      Dentsply Sirona, Inc.     57,068  
598      DexCom, Inc.*     246,514  
184      DiaSorin SpA     37,083  
4,138      Edwards Lifesciences Corp.*     330,295  
1,881      EssilorLuxottica SA     255,757  
3,635      Fisher & Paykel Healthcare Corp., Ltd.     79,982  
938      GN Store Nord A/S     70,988  
1,709      Hologic, Inc.*     113,597  
2,400      HOYA Corp.     270,567  
576      IDEXX Laboratories, Inc.*     226,431  
451      Insulet Corp.*     106,702  
763      Intuitive Surgical, Inc.*     541,379  
5,947      Koninklijke Philips NV     280,130  
306      Masimo Corp.*     72,234  
8,875      Medtronic plc     922,290  
7,600      Olympus Corp.     157,777  
972      ResMed, Inc.     166,630  
228      Sartorius AG     93,649  
1,767      Siemens Healthineers AG     79,335  
5,645      Smith & Nephew plc     109,980  
342      Sonova Holding AG, Registered Shares*     86,750  
542      Steris plc     95,495  
Shares               Fair Value      

Common Stocks, continued

 
Health Care Equipment & Supplies, continued  
77      Straumann Holding AG, Registered Shares   $ 77,488  
          2,231      Stryker Corp.     464,873  
1,200      Sysmex Corp.     114,537  
304      Teleflex, Inc.     103,488  
4,200      Terumo Corp.     167,358  
587      Varian Medical Systems, Inc.*     100,964  
489      West Pharmaceutical Services, Inc.     134,426  
1,385      Zimmer Biomet Holdings, Inc.     188,554  
         9,886,423  

Health Care Providers & Services (1.8%):

 
1,500      Alfresa Holdings Corp.     32,819  
1,009      AmerisourceBergen Corp.     97,792  
1,669      Anthem, Inc.     448,277  
1,943      Cardinal Health, Inc.     91,224  
3,856      Centene Corp.*     224,920  
2,449      Cigna Corp.     414,885  
8,632      CVS Health Corp.     504,109  
590      DaVita, Inc.*     50,534  
1,480      Fresenius Medical Care AG & Co., KGaA     124,953  
2,792      Fresenius SE & Co. KGaA     127,075  
1,739      HCA Healthcare, Inc.     216,819  
867      Henry Schein, Inc.*     50,962  
872      Humana, Inc.     360,912  
591      Laboratory Corp. of America Holdings*     111,268  
1,074      McKesson Corp.     159,951  
1,400      Medipal Holdings Corp.     28,037  
411      Molina Healthcare, Inc.*     75,229  
379      Orpea*     43,040  
879      Quest Diagnostics, Inc.     100,637  
1,215      Ramsay Health Care, Ltd.     57,624  
3,006      Ryman Healthcare, Ltd.     28,104  
2,847      Sonic Healthcare, Ltd.     67,718  
400      Suzuken Co., Ltd.     15,248  
6,230      UnitedHealth Group, Inc.     1,942,326  
464      Universal Health Services, Inc., Class B     49,657  
         5,424,120  

Health Care Technology (0.2%):

 
2,056      Cerner Corp.     148,628  
2,900      M3, Inc.     180,092  
443      Teladoc Health, Inc.*     97,123  
893      Veeva Systems, Inc., Class A*     251,103  
         676,946  

Hotels, Restaurants & Leisure (1.5%):

 
1,331      Accor SA     37,223  
1,226      Aramark     32,428  
3,491      Aristocrat Leisure, Ltd.     75,270  
3,148      Carnival Corp., Class A^     47,787  
178      Chipotle Mexican Grill, Inc.*     221,380  
11,695      Compass Group plc     175,522  
1,597      Crown Resorts, Ltd.     10,084  
911      Darden Restaurants, Inc.     91,774  
253      Domino’s Pizza, Inc.     107,596  
931      Evolution Gaming Group AB     61,565  
1,035      Flutter Entertainment plc     163,980  
14,000      Galaxy Entertainment Group, Ltd.     94,761  
50,400      Genting Singapore, Ltd.     24,768  
4,348      GVC Holdings plc*     54,716  
1,765      Hilton Worldwide Holdings, Inc.     150,590  
1,003      InterContinental Hotels Group plc*     52,649  
630      La Francaise des Jeux SAEM     23,135  
2,157      Las Vegas Sands Corp.     100,646  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Global Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Hotels, Restaurants & Leisure, continued

 
          1,868      Marriott International, Inc., Class A   $ 172,939  
4,861      McDonald’s Corp.     1,066,941  
600      McDonald’s Holdings Co., Ltd.     29,191  
1,176      Melco Resorts & Entertainment, Ltd., ADR     19,580  
2,796      MGM Resorts International     60,813  
1,200      Oriental Land Co., Ltd.^     168,136  
1,727      Restaurant Brands International, Inc.     99,205  
1,082      Royal Caribbean Cruises, Ltd.     70,038  
14,400      Sands China, Ltd.     56,036  
9,000      SJM Holdings, Ltd.     10,629  
646      Sodexo SA     45,998  
7,769      Starbucks Corp.     667,512  
17,077      Tabcorp Holdings, Ltd.     40,974  
234      Vail Resorts, Inc.     50,069  
1,480      Whitbread plc     40,360  
12,400      Wynn Macau, Ltd.*     19,850  
732      Wynn Resorts, Ltd.     52,565  
2,047      Yum! Brands, Inc.     186,891  
         4,383,601  

Household Durables (0.8%):

 
5,459      Barratt Developments plc     33,372  
898      Berkeley Group Holdings plc (The)     48,846  
500      Casio Computer Co., Ltd.^     8,074  
2,264      D.R. Horton, Inc.     171,227  
1,708      Electrolux AB, Series B, Class B     39,827  
999      Garmin, Ltd.     94,765  
2,231      Husqvarna AB, Class B     24,575  
700      Iida Group Holdings Co., Ltd.     14,155  
1,877      Lennar Corp., Class A     153,313  
459      Mohawk Industries, Inc.*     44,794  
3,000      Newell Brands, Inc.     51,480  
2,500      Nikon Corp.^     16,894  
22      NVR, Inc.*     89,829  
14,000      Panasonic Corp.^     118,609  
1,904      Persimmon plc     60,462  
1,929      PulteGroup, Inc.     89,293  
300      Rinnai Corp.     29,314  
643      Roku, Inc.*     121,398  
92      SEB SA     14,963  
2,800      Sekisui Chemical Co., Ltd.     44,766  
4,100      Sekisui House, Ltd.     72,522  
1,800      Sharp Corp.     22,304  
8,400      Sony Corp.     642,564  
24,626      Taylor Wimpey plc     34,261  
9,000      Techtronic Industries Co., Ltd.     118,351  
393      Whirlpool Corp.     72,269  
         2,232,227  

Household Products (1.4%):

 
1,644      Church & Dwight Co., Inc.     154,059  
850      Clorox Co. (The)     178,645  
5,265      Colgate-Palmolive Co.     406,195  
4,048      Essity AB, Class B*     136,843  
733      Henkel AG & Co. KGaA     68,650  
2,242      Kimberly-Clark Corp.     331,054  
1,700      Lion Corp.     34,967  
900      Pigeon Corp.     40,215  
16,235      Procter & Gamble Co. (The)     2,256,502  
4,646      Reckitt Benckiser Group plc     452,868  
2,700      Unicharm Corp.     120,637  
         4,180,635  
Independent Power and Renewable Electricity Producers (0.1%):  
3,985      AES Corp. (The)     72,169  
Shares               Fair Value      

Common Stocks, continued

 
Independent Power and Renewable Electricity Producers, continued  
          1,200      Electric Power Development Co., Ltd.^   $ 18,521  
9,703      Meridian Energy, Ltd.     31,639  
1,464      NRG Energy, Inc.     45,003  
1,518      Uniper SE     49,040  
2,743      Vistra Energy Corp.     51,733  
         268,105  

Industrial Conglomerates (1.1%):

 
3,804      3M Co.     609,325  
19,500      CK Hutchison Holdings, Ltd.     118,230  
602      DCC plc     46,384  
57,853      General Electric Co.     360,424  
4,624      Honeywell International, Inc.     761,157  
1,300      Jardine Matheson Holdings, Ltd.     51,597  
1,700      Jardine Strategic Holdings, Ltd.     33,680  
700      Keihan Holdings Co., Ltd.     29,035  
11,300      Keppel Corp., Ltd.     37,075  
701      Roper Technologies, Inc.     276,972  
1,600      Seibu Holdings, Inc.     17,213  
5,064      Siemens AG, Registered Shares     640,242  
2,929      Smiths Group plc     51,485  
2,500      Toshiba Corp.     63,645  
         3,096,464  

Insurance (2.9%):

 
1,398      Admiral Group plc     47,142  
13,732      AEGON NV     35,659  
4,605      Aflac, Inc.     167,392  
1,358      Ageas NV     55,413  
80,000      AIA Group, Ltd.     788,119  
107      Alleghany Corp.     55,688  
2,761      Allianz SE, Registered Shares+     529,546  
2,096      Allstate Corp. (The)     197,316  
572      American Financial Group, Inc.     38,313  
5,905      American International Group, Inc.     162,565  
1,510      Aon plc, Class A     311,512  
2,465      Arch Capital Group, Ltd.*     72,102  
1,236      Arthur J. Gallagher & Co.     130,497  
7,125      Assicurazioni Generali SpA     100,332  
331      Assurant, Inc.     40,154  
730      Athene Holding, Ltd., Class A*     24,878  
24,775      Aviva plc     91,085  
12,528      AXA SA     231,243  
268      Baloise Holding AG, Registered Shares     39,434  
1,718      Brown & Brown, Inc.     77,774  
2,991      Chubb, Ltd.     347,315  
948      Cincinnati Financial Corp.     73,916  
1,241      CNP Assurances SA     15,507  
6,800      Dai-ichi Life Holdings, Inc.     95,984  
10,156      Direct Line Insurance Group plc     35,346  
195      Erie Indemnity Co., Class A     41,005  
236      Everest Re Group, Ltd.     46,619  
164      Fairfax Financial Holdings, Ltd.     48,298  
2,010      Fidelity National Financial, Inc.     62,933  
1,553      Gjensidige Forsikring ASA     31,544  
593      Globe Life, Inc.     47,381  
2,031      Great-West Lifeco, Inc.     39,693  
361      Hannover Rueck SE     55,955  
2,281      Hartford Financial Services Group, Inc. (The)     84,078  
826      IA Financial Corp., Inc.     28,756  
13,695      Insurance Australia Group, Ltd.     43,091  
912      Intact Financial Corp.     97,666  
9,700      Japan Post Holdings Co., Ltd.     66,173  
1,700      Japan Post Insurance Co., Ltd.     26,752  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Global Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Insurance, continued

 
38,801      Legal & General Group plc   $ 94,017  
          1,081      Lincoln National Corp.     33,868  
1,660      Loews Corp.     57,685  
12,188      Manulife Financial Corp.     169,537  
9,659      Mapfre SA     15,122  
92      Markel Corp.*     89,580  
3,335      Marsh & McLennan Cos., Inc.     382,524  
21,022      Medibank Private, Ltd.     37,861  
4,996      MetLife, Inc.     185,701  
3,000      MS&AD Insurance Group Holdings, Inc.     81,267  
907      Muenchener Rueckversicherungs-Gesellschaft AG     230,258  
1,972      NN Group NV     74,063  
2,748      Poste Italiane SpA     24,340  
3,459      Power Corp. of Canada     67,782  
1,721      Principal Financial Group, Inc.     69,305  
3,822      Progressive Corp. (The)     361,828  
2,696      Prudential Financial, Inc.     171,250  
17,218      Prudential plc     245,770  
10,407      QBE Insurance Group, Ltd.     64,394  
473      Reinsurance Group of America, Inc.     45,025  
329      RenaissanceRe Holdings, Ltd.     55,844  
7,571      RSA Insurance Group plc     44,034  
3,079      Sampo Oyj, Class A     121,796  
1,146      SCOR SA*     31,748  
2,000      Sompo Holdings, Inc.^     69,286  
3,872      Sun Life Financial, Inc.     157,800  
7,102      Suncorp Group, Ltd.     43,134  
210      Swiss Life Holding AG, Registered Shares     79,364  
1,952      Swiss Re AG     144,518  
4,200      T&D Holdings, Inc.^     41,543  
4,000      Tokio Marine Holdings, Inc.     175,193  
1,645      Travelers Cos., Inc. (The)     177,973  
983      Tryg A/S     30,989  
865      Willis Towers Watson plc     180,629  
866      WR Berkley Corp.     52,956  
984      Zurich Insurance Group AG     342,216  
         8,734,376  

Interactive Media & Services (3.7%):

 
1,973      Alphabet, Inc., Class A*     2,891,629  
1,990      Alphabet, Inc., Class C*     2,924,503  
6,934      Auto Trader Group plc     50,148  
15,813      Facebook, Inc., Class A*     4,141,424  
538      IAC/InterActive Corp.*     64,442  
1,100      Kakaku.com, Inc.     29,085  
200      Line Corp.*     10,189  
1,575      Match Group, Inc.*     174,274  
2,197      Pinterest, Inc., Class A*     91,197  
411      REA Group, Ltd.     32,468  
624      Scout24 AG     54,458  
5,703      Snap, Inc., Class A*     148,905  
5,329      Twitter, Inc.*     237,141  
17,300      Z Holdings Corp.     115,600  
950      Zillow Group, Inc., Class C*     96,511  
         11,061,974  

Internet & Direct Marketing Retail (3.6%):

 
2,788      Amazon.com, Inc.*     8,778,658  
272      Booking Holdings, Inc.*     465,305  
857      Delivery Hero SE*     98,569  
4,646      eBay, Inc.     242,057  
860      Expedia Group, Inc.     78,853  
826      Just Eat Takeaway*     92,491  
296      MercadoLibre, Inc.*     320,414  
400      Mercari, Inc.*     18,485  
Shares               Fair Value      

Common Stocks, continued

 

Internet & Direct Marketing Retail, continued

 
          2,925      Ocado Group plc*   $ 103,350  
3,226      Prosus NV*     297,458  
6,500      Rakuten, Inc.     70,227  
419      Wayfair, Inc., Class A*     121,933  
1,045      Zalando SE*     97,802  
400      ZOZO, Inc.     11,158  
         10,796,760  

IT Services (4.6%):

 
4,203      Accenture plc, Class C     949,837  
122      Adyen NV*     224,801  
1,564      Afterpay, Ltd.*     91,388  
1,134      Akamai Technologies, Inc.*     125,352  
2,837      Amadeus IT Group SA     157,423  
735      Atos SE     59,200  
2,858      Automatic Data Processing, Inc.     398,662  
935      Black Knight, Inc.*     81,392  
887      Booz Allen Hamilton Holding Corp.     73,603  
741      Broadridge Financial Solutions, Inc.     97,812  
1,046      Capgemini SA     133,950  
1,471      CGI, Inc.*     99,857  
3,577      Cognizant Technology Solutions Corp., Class A     248,315  
3,761      Computershare, Ltd.     33,014  
359      EPAM Systems, Inc.*     116,058  
4,080      Fidelity National Information Services, Inc.     600,617  
3,673      Fiserv, Inc.*     378,503  
565      FleetCor Technologies, Inc.*     134,527  
1,200      Fujitsu, Ltd.     164,340  
556      Gartner, Inc.*     69,472  
1,977      Global Payments, Inc.     351,076  
300      GMO Payment Gateway, Inc.     32,268  
1,155      GoDaddy, Inc., Class A*     87,745  
5,880      International Business Machines Corp.     715,420  
800      Itochu Techno-Solutions Corp.     30,450  
498      Jack Henry & Associates, Inc.     80,970  
922      Leidos Holdings, Inc.     82,196  
5,878      MasterCard, Inc., Class A     1,987,762  
266      MongoDB, Inc.*     61,582  
2,299      Nexi SpA*     46,096  
1,920      Nomura Research Institute, Ltd.     56,437  
4,700      NTT Data Corp.     60,260  
400      OBIC Co., Ltd.     70,392  
731      Okta, Inc.*     156,324  
800      Otsuka Corp.     40,946  
2,141      Paychex, Inc.     170,788  
7,302      PayPal Holdings, Inc.*     1,438,713  
692      Shopify, Inc., Class A*     707,742  
190      Snowflake, Inc., Class A*     47,690  
2,301      Square, Inc., Class A*     374,028  
1,600      TIS, Inc.     34,011  
805      Twilio, Inc., Class A*     198,907  
685      VeriSign, Inc.*     140,322  
11,082      Visa, Inc., Class A     2,216,067  
2,498      Western Union Co.     53,532  
313      Wix.com, Ltd.*     79,768  
845      Worldline SA*     69,280  
         13,628,895  

Leisure Products (0.1%):

 
1,200      Bandai Namco Holdings, Inc.     87,671  
773      Hasbro, Inc.     63,943  
1,294      Peloton Interactive, Inc., Class A*     128,416  
800      Sega Sammy Holdings, Inc.     9,732  
500      Shimano, Inc.     98,456  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Global Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Leisure Products, continued

 
700      Yamaha Corp.   $ 33,511  
         421,729  

Life Sciences Tools & Services (1.0%):

 
          1,980      Agilent Technologies, Inc.     199,861  
3,158      Avantor, Inc.*     71,023  
141      Bio-Rad Laboratories, Inc., Class A*     72,680  
89      Eurofins Scientific SE     70,447  
971      Illumina, Inc.*     300,117  
1,217      IQVIA Holdings, Inc.*     191,836  
499      Lonza Group AG, Registered Shares     308,106  
165      Mettler-Toledo International, Inc.*     159,349  
700      PerkinElmer, Inc.     87,857  
1,384      Qiagen NV*     71,873  
198      Sartorius Stedim Biotech     68,186  
2,603      Thermo Fisher Scientific, Inc.     1,149,276  
421      Waters Corp.*     82,381  
         2,832,992  

Machinery (1.9%):

 
2,355      Alfa Laval AB     51,998  
1,119      Alstom SA*     55,705  
2,700      Amada Holdings Co., Ltd.     25,309  
314      Andritz AG     9,672  
2,721      Atlas Copco AB     113,413  
4,577      Atlas Copco AB, Class A     217,926  
3,536      Caterpillar, Inc.     527,395  
7,639      CNH Industrial NV     59,360  
981      Cummins, Inc.     207,148  
600      Daifuku Co., Ltd.     60,399  
1,971      Deere & Co.     436,833  
933      Dover Corp.     101,081  
2,845      Epiroc AB     39,585  
4,832      Epiroc AB, Class A     70,163  
1,200      FANUC Corp.     230,238  
1,947      Fortive Corp.     148,381  
1,149      GEA Group AG     40,497  
800      Hitachi Construction Machinery Co., Ltd.     28,975  
200      Hoshizaki Corp.     15,952  
476      IDEX Corp.     86,827  
2,111      Illinois Tool Works, Inc.     407,866  
2,289      Ingersoll-Rand, Inc.*     81,488  
800      JTEKT Corp.     6,271  
1,200      Kawasaki Heavy Industries, Ltd.     16,243  
326      Kion Group AG     27,994  
373      Knorr-Bremse AG     44,055  
6,100      Komatsu, Ltd.     134,308  
2,156      Kone OYJ, Class B     189,516  
6,700      Kubota Corp.     119,872  
800      Kurita Water Industries, Ltd.     26,407  
1,300      Makita Corp.     62,015  
2,700      MINEBEA MITSUMI, Inc.     50,949  
2,100      Misumi Group, Inc.     58,702  
1,700      Mitsubishi Heavy Industries, Ltd.     37,764  
600      Miura Co., Ltd.     29,342  
900      Nabtesco Corp.     32,797  
2,000      NGK Insulators, Ltd.     28,540  
323      Nordson Corp.     61,958  
2,800      NSK, Ltd.     21,435  
2,790      Otis Worldwide Corp.     174,152  
2,197      PACCAR, Inc.     187,360  
840      Parker Hannifin Corp.     169,966  
1,179      Pentair plc     53,963  
7,634      Sandvik AB*     148,980  
251      Schindler Holding AG     68,550  
153      Schindler Holding AG, Registered Shares     41,636  
Shares               Fair Value      

Common Stocks, continued

 

Machinery, continued

 
          2,827      SKF AB, Class B   $ 58,280  
300      SMC Corp.     166,991  
307      Snap-On, Inc.     45,169  
541      Spirax-Sarco Engineering plc     76,902  
984      Stanley Black & Decker, Inc.     159,605  
400      Sumitomo Heavy Industries, Ltd.     9,307  
1,000      THK Co., Ltd.     25,093  
9,841      Volvo AB, Class B     189,091  
1,131      Wabtec Corp.     69,986  
3,440      Wartsila OYJ Abp, Class B     27,065  
1,135      Xylem, Inc.     95,476  
10,200      Yangzijiang Shipbuilding Holdings, Ltd.     7,439  
         5,739,390  

Marine (0.1%):

 
23      A.P. Moeller - Maersk A/S, Class A     33,603  
41      A.P. Moeller - Maersk A/S, Class B     65,015  
331      Kuehne & Nagel International AG, Registered Shares     64,200  
600      Nippon Yusen KK     10,403  
         173,221  

Media (1.1%):

 
4,894      Altice Europe NV, Class A*     23,436  
1,884      Altice USA, Inc., Class A*     48,984  
34      Cable One, Inc.     64,105  
942      Charter Communications, Inc., Class A*     588,128  
30,075      Comcast Corp., Class A     1,391,271  
500      Cyberagent, Inc.     30,927  
1,600      Dentsu Group, Inc.     47,281  
1,927      Discovery Communications, Inc., Class C*     37,769  
1,273      Discovery, Inc., Class A*^     27,713  
1,397      DISH Network Corp., Class A*     40,555  
2,294      Fox Corp., Class A     63,842  
1,218      Fox Corp., Class B     34,067  
1,700      Hakuhodo DY Holdings, Inc.     21,972  
10,104      Informa plc*     48,980  
2,836      Interpublic Group of Cos., Inc. (The)     47,276  
729      JCDecaux SA     12,630  
184      Liberty Broadband Corp., Class A*     26,093  
735      Liberty Broadband Corp., Class C*     105,009  
2,279      Liberty Global plc, Series C*     46,799  
964      Liberty Global plc, Class A*     20,254  
955      Liberty Media Corp.-Liberty SiriusXM, Class C*     31,591  
654      Liberty SiriusXM Group, Class A*     21,693  
2,841      News Corp., Class A     39,831  
1,344      Omnicom Group, Inc.     66,528  
5,988      Pearson plc     42,341  
1,183      Publicis Groupe SA     38,332  
1,296      Quebecor, Inc., Class B     32,424  
420      Schibsted ASA, Class B*     16,790  
2,741      SES Global, Class A     19,389  
2,684      Shaw Communications, Inc., Class B     48,987  
8,083      Sirius XM Holdings, Inc.^     43,325  
55      Telenet Group Holding NV     2,132  
3,645      ViacomCBS, Inc., Class B     102,096  
9,140      WPP plc     71,368  
         3,303,918  

Metals & Mining (1.5%):

 
1,594      Agnico Eagle Mines, Ltd.     127,015  
8,354      Anglo American plc     201,699  
2,725      Antofagasta plc     35,922  
5,066      ArcelorMittal*     67,552  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Global Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Metals & Mining, continued

 
          7,595      B2Gold Corp.   $ 49,458  
11,695      Barrick Gold Corp.     328,521  
13,636      BHP Group plc     290,649  
19,499      BHP Group, Ltd.     501,659  
3,893      BlueScope Steel, Ltd.     35,531  
1,532      Boliden AB     45,568  
11,861      Evolution Mining, Ltd.     49,232  
4,905      EVRAZ plc     21,867  
3,016      First Quantum Minerals, Ltd.     26,889  
10,418      Fortescue Metals Group, Ltd.     121,926  
1,195      Franco-Nevada Corp.     167,007  
9,605      Freeport-McMoRan, Inc.     150,222  
62,531      Glencore plc*     129,522  
1,100      Hitachi Metals, Ltd.     16,912  
3,900      JFE Holdings, Inc.*     27,280  
8,423      Kinross Gold Corp.*     74,335  
1,658      Kirkland Lake Gold, Ltd.     80,945  
4,863      Lundin Mining Corp.     27,138  
200      Maruichi Steel Tube, Ltd.     5,003  
500      Mitsubishi Materials Corp.     9,873  
5,020      Newcrest Mining, Ltd.     113,123  
5,168      Newmont Corp.     327,909  
4,800      Nippon Steel Corp.*     45,343  
10,475      Norsk Hydro ASA*     28,849  
5,421      Northern Star Resources, Ltd.     53,294  
1,932      Nucor Corp.     86,670  
1,538      Pan American Silver Corp.     49,453  
7,349      Rio Tinto plc     443,341  
2,538      Rio Tinto, Ltd.     171,796  
27,668      South32, Ltd.     40,561  
1,636      Steel Dynamics, Inc.     46,839  
1,800      Sumitomo Metal & Mining Co., Ltd.     55,728  
3,681      Teck Cominco, Ltd., Class B     51,259  
3,097      ThyssenKrupp AG*^     15,651  
1,012      Voestalpine AG     26,602  
3,010      Wheaton Precious Metals Corp.     147,697  
6,971      Yamana Gold, Inc.     39,635  
         4,335,475  
Mortgage Real Estate Investment Trusts (0.0%):  
3,904      AGNC Investment Corp.     54,305  
10,041      Annaly Capital Management, Inc.     71,492  
         125,797  

Multiline Retail (0.4%):

 
319      Canadian Tire Corp., Class A     32,135  
1,677      Dollar General Corp.     351,533  
1,596      Dollar Tree, Inc.*     145,779  
1,835      Dollarama, Inc.     70,346  
1,700      Isetan Mitsukoshi Holdings, Ltd.^     9,018  
1,500      Marui Group Co., Ltd.     28,779  
807      Next plc     61,835  
2,600      Pan Pacific International Holdings Corp.     60,575  
1,800      Ryohin Keikaku Co., Ltd.     29,903  
3,321      Target Corp.     522,791  
         1,312,694  

Multi-Utilities (0.9%):

 
3,493      AGL Energy, Ltd.     34,130  
3,348      Algonquin Power & Utilities Corp.^     48,632  
1,556      Ameren Corp.     123,048  
325      Atco, Ltd.^     9,396  
993      Canadian Utilities, Ltd., Class A     23,688  
2,940      CenterPoint Energy, Inc.     56,889  
1,833      CMS Energy Corp.     112,565  
2,250      Consolidated Edison, Inc.     175,050  
5,547      Dominion Energy, Inc.     437,826  
Shares               Fair Value      

Common Stocks, continued

 

Multi-Utilities, continued

 
          1,252      DTE Energy Co.   $ 144,030  
15,185      E.ON SE     167,753  
12,155      Engie Group     162,438  
23,222      National Grid plc     267,275  
2,706      NiSource, Inc.     59,532  
3,418      Public Service Enterprise Group, Inc.     187,682  
4,417      RWE AG     165,579  
1,978      Sempra Energy     234,116  
2,567      Suez     47,515  
3,222      Veolia Environnement SA     69,477  
2,007      WEC Energy Group, Inc.     194,478  
         2,721,099  

Oil, Gas & Consumable Fuels (2.4%):

 
1,849      Ampol, Ltd.     31,795  
134,059      BP plc     389,153  
2,285      Cabot Oil & Gas Corp.     39,668  
3,160      Cameco Corp.     31,923  
7,666      Canadian Natural Resources, Ltd.     122,873  
7,554      Cenovus Energy, Inc.     29,447  
1,449      Cheniere Energy, Inc.*     67,045  
12,258      Chevron Corp.     882,576  
1,219      Concho Resources, Inc.     53,782  
7,063      ConocoPhillips Co.     231,949  
1,162      Diamondback Energy, Inc.     34,999  
595      Enagas SA     13,706  
13,403      Enbridge, Inc.     391,599  
19,850      ENEOS Holdings, Inc.     70,893  
17,119      ENI SpA     133,903  
3,960      EOG Resources, Inc.     142,322  
6,509      Equinor ASA     91,911  
27,615      Exxon Mobil Corp.     948,024  
2,569      Galp Energia SGPS SA     23,809  
1,763      Hess Corp.     72,160  
1,482      Idemitsu Kosan Co., Ltd.     31,579  
2,002      Imperial Oil, Ltd.     23,969  
7,700      INPEX Corp.     41,199  
3,047      Inter Pipeline, Ltd.^     29,912  
1,625      Keyera Corp.     24,532  
13,097      Kinder Morgan, Inc.     161,486  
334      Koninklijke Vopak NV     18,815  
1,394      Lundin Energy AB     27,622  
4,229      Marathon Petroleum Corp.     124,079  
2,779      Neste Oyj     146,112  
5,220      Occidental Petroleum Corp.     52,252  
11,878      Oil Search, Ltd.     22,554  
1,126      OMV AG*     30,756  
2,784      ONEOK, Inc.     72,328  
9,482      Origin Energy, Ltd.     29,314  
1,132      Parkland Corp.     29,937  
3,955      Pembina Pipeline Corp.     83,948  
2,836      Phillips 66     147,018  
1,027      Pioneer Natural Resources Co.     88,312  
10,910      Repsol SA     72,862  
27,244      Royal Dutch Shell plc, Class A     337,141  
24,650      Royal Dutch Shell plc, Class B     298,135  
13,592      Santos, Ltd.     47,689  
12,913      Snam SpA     66,388  
10,239      Suncor Energy, Inc.     125,046  
6,215      TC Energy Corp.     260,941  
16,297      TOTAL SE^     559,457  
2,674      Valero Energy Corp.     115,838  
518      Washington H. Soul Pattinson & Co., Ltd.     8,741  
8,062      Williams Cos., Inc.     158,418  
6,009      Woodside Petroleum, Ltd.     75,884  
         7,115,801  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Global Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Paper & Forest Products (0.1%):

 
          2,839      Mondi plc   $ 59,737  
6,500      Oji Holdings Corp.     29,835  
3,431      Stora Enso OYJ, Registered Shares, Class R     53,759  
4,438      Svenska Cellulosa AB SCA, Class B*     60,859  
3,727      UPM-Kymmene OYJ     113,421  
         317,611  

Personal Products (0.8%):

 
626      Beiersdorf AG     71,179  
1,504      Estee Lauder Co., Inc. (The), Class A     328,248  
3,100      Kao Corp.     232,658  
200      Kobayashi Pharmaceutical Co., Ltd.     19,362  
100      Kose Corp.     12,229  
1,662      L’Oreal SA     540,752  
400      Pola Orbis Holdings, Inc.     7,556  
2,600      Shiseido Co., Ltd.     149,210  
9,669      Unilever NV     583,647  
7,735      Unilever plc     476,525  
         2,421,366  

Pharmaceuticals (5.5%):

 
12,000      Astellas Pharma, Inc.     178,664  
8,544      AstraZeneca plc     929,761  
2,374      Bausch Health Cos., Inc.*     36,910  
6,438      Bayer AG, Registered Shares     402,330  
14,943      Bristol-Myers Squibb Co.     900,913  
1,580      Canopy Growth Corp.*^     22,655  
970      Catalent, Inc.*     83,090  
4,500      Chugai Pharmaceutical Co., Ltd.     201,962  
647      Cronos Group, Inc.*     3,251  
11,400      Daiichi Sankyo Co., Ltd.     350,355  
1,600      Eisai Co., Ltd.     146,022  
2,689      Elanco Animal Health, Inc.*     75,104  
5,697      Eli Lilly & Co.     843,270  
33,204      GlaxoSmithKline plc     621,856  
256      H. Lundbeck A/S     8,440  
1,065      Hikma Pharmaceuticals plc     35,664  
300      Hisamitsu Pharmaceutical Co., Inc.     15,318  
283      Ipsen SA     29,686  
306      Jazz Pharmaceuticals plc*     43,633  
17,326      Johnson & Johnson Co.     2,579,495  
1,800      Kyowa Kirin Co., Ltd.     51,135  
16,599      Merck & Co., Inc.     1,376,887  
849      Merck KGaA     123,958  
2,859      Mylan NV*     42,399  
200      Nippon Shinyaku Co., Ltd.     16,492  
14,679      Novartis AG, Registered Shares     1,275,970  
11,384      Novo Nordisk A/S, Class B     790,914  
2,300      Ono Pharmaceutical Co., Ltd.     72,217  
791      Orion OYJ, Class B     35,793  
2,500      Otsuka Holdings Co., Ltd.     106,042  
974      Perrigo Co. plc     44,716  
36,631      Pfizer, Inc.     1,344,358  
820      Recordati SpA     41,947  
4,650      Roche Holding AG     1,591,324  
7,469      Sanofi     748,818  
2,700      Santen Pharmaceutical Co., Ltd.     55,371  
1,800      Shionogi & Co., Ltd.     96,316  
1,300      Sumitomo Dainippon Pharma Co., Ltd.     17,121  
300      Taisho Pharmaceutical Holdings Co., Ltd.     19,788  
10,150      Takeda Pharmacuetical Co., Ltd.     361,615  
6,517      Teva Pharmaceutical Industries, Ltd., ADR*     58,718  
838      UCB SA     95,152  
343      Vifor Pharma AG     46,705  
Shares               Fair Value      

Common Stocks, continued

 

Pharmaceuticals, continued

 
          3,133      Zoetis, Inc.   $ 518,104  
         16,440,239  

Professional Services (0.9%):

 
894      Adecco SA, Registered Shares     47,256  
2,096      Bureau Veritas SA     47,073  
248      CoStar Group, Inc.*     210,431  
817      Equifax, Inc.     128,187  
5,912      Experian plc     221,190  
2,418      IHS Markit, Ltd.     189,838  
978      Intertek Group plc     79,538  
2,656      Nielsen Holdings plc     37,662  
1,100      Nihon M&A Center, Inc.     62,754  
1,300      Persol Holdings Co., Ltd.     21,148  
622      Randstad NV     32,452  
8,300      Recruit Holdings Co., Ltd.     329,369  
13,108      RELX plc     290,089  
889      Robert Half International, Inc.     47,064  
2,550      Seek, Ltd.     39,000  
41      SGS SA, Registered Shares     109,926  
365      Teleperformance     112,392  
1,057      Thomson Reuters Corp.     84,360  
1,215      TransUnion     102,218  
1,053      Verisk Analytics, Inc.     195,131  
1,720      Wolters Kluwer NV     146,829  
         2,533,907  
Real Estate Management & Development (0.6%):  
400      AEON Mall Co., Ltd.     5,624  
8,052      Aroundtown SA     40,468  
75      Azrieli Group     3,343  
14,700      CapitaLand, Ltd.     29,379  
2,064      CBRE Group, Inc., Class A*     96,947  
3,700      City Developments, Ltd.     20,815  
18,000      CK Asset Holdings, Ltd.     87,826  
500      Daito Trust Construction Co., Ltd.     44,337  
3,600      Daiwa House Industry Co., Ltd.^     92,510  
2,349      Deutsche Wohnen SE     117,522  
10,000      Hang Lung Properties, Ltd.     25,501  
11,324      Henderson Land Development Co., Ltd.     41,777  
7,400      Hongkong Land Holdings, Ltd.     27,559  
2,400      Hulic Co., Ltd.     22,514  
384      Jones Lang LaSalle, Inc.     36,733  
2,500      Kerry Properties, Ltd.     6,388  
400      LEG Immobilien AG     57,094  
4,194      Lend Lease Group     33,213  
7,500      Mitsubishi Estate Co., Ltd.     113,371  
6,600      Mitsui Fudosan Co., Ltd.     114,973  
8,827      New World Development Co., Ltd.     42,974  
1,000      Nomura Real Estate Holdings, Inc.     19,023  
3,456      Pacific Century Premium Developments, Ltd.*     909  
24,117      Sino Land Co., Ltd.     28,068  
1,900      Sumitomo Realty & Development Co., Ltd.     56,220  
8,000      Sun Hung Kai Properties, Ltd.     102,563  
4,000      Swire Pacific, Ltd., Class A     19,397  
9,800      Swire Properties, Ltd.     25,895  
556      Swiss Prime Site AG     50,478  
4,600      Tokyu Fudosan Holdings Corp.     19,807  
4,569      UOL Group, Ltd.     22,384  
3,357      Vonovia SE     230,660  
12,000      Wharf Real Estate Investment Co., Ltd.     49,125  
         1,685,397  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Global Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Road & Rail (1.3%):

 
68      AMERCO, Inc.   $ 24,207  
10,863      Aurizon Holdings, Ltd.     33,141  
          4,688      Canadian National Railway Co.     499,327  
874      Canadian Pacific Railway, Ltd., Class 1     265,896  
1,000      Central Japan Railway Co.     143,486  
5,093      CSX Corp.     395,573  
1,317      DSV PANALPINA A/S     214,964  
1,900      East Japan Railway Co.     117,091  
1,700      Hankyu Hanshin Holdings, Inc.     54,696  
529      J.B. Hunt Transport Services, Inc.     66,855  
602      Kansas City Southern     108,860  
1,700      Keikyu Corp.^     26,116  
500      Keio Corp.     30,923  
1,000      Keisei Electric Railway Co., Ltd.     28,274  
900      Kintetsu Group Holdings Co., Ltd.     38,399  
980      Knight-Swift Transportation Holdings, Inc.     39,886  
1,200      Kyushu Railway Co.     25,639  
8,500      MTR Corp., Ltd.     42,185  
1,400      Nagoya Railroad Co., Ltd.^     38,368  
600      Nippon Express Co., Ltd.     34,933  
1,698      Norfolk Southern Corp.     363,355  
2,200      Odakyu Electric Railway Co., Ltd.^     55,359  
586      Old Dominion Freight Line, Inc.     106,019  
900      Tobu Railway Co., Ltd.     27,803  
3,800      Tokyu Corp.     49,329  
6,034      Uber Technologies, Inc.*     220,120  
4,486      Union Pacific Corp.     883,159  
1,200      West Japan Railway Co.     59,320  
         3,993,283  
Semiconductors & Semiconductor Equipment (3.9%):  
7,742      Advanced Micro Devices, Inc.*     634,767  
1,500      Advantest Corp.     72,867  
2,482      Analog Devices, Inc.     289,749  
6,078      Applied Materials, Inc.     361,337  
2,200      ASM Pacific Technology, Ltd.     22,488  
2,777      ASML Holding NV     1,023,849  
2,644      Broadcom, Inc.     963,261  
200      Disco Corp.     48,672  
8,108      Infineon Technologies AG     229,321  
27,693      Intel Corp.     1,433,943  
1,010      KLA Corp.     195,677  
943      Lam Research Corp.     312,840  
400      Lasertec Corp.     33,086  
4,290      Marvell Technology Group, Ltd.     170,313  
1,790      Maxim Integrated Products, Inc.     121,022  
1,627      Microchip Technology, Inc.     167,191  
7,297      Micron Technology, Inc.*     342,667  
4,051      NVIDIA Corp.     2,192,481  
1,814      NXP Semiconductors NV     226,405  
2,979      ON Semiconductor Corp.*     64,615  
752      Qorvo, Inc.*     97,016  
7,433      Qualcomm, Inc.     874,715  
5,800      Renesas Electronics Corp.*     42,487  
400      ROHM Co., Ltd.     30,890  
1,058      Skyworks Solutions, Inc.     153,939  
4,312      STMicroelectronics NV     131,790  
1,900      SUMCO Corp.     26,727  
1,089      Teradyne, Inc.     86,532  
6,068      Texas Instruments, Inc.     866,450  
1,000      Tokyo Electron, Ltd.     261,766  
1,612      Xilinx, Inc.     168,035  
         11,646,898  
Shares               Fair Value      

Common Stocks, continued

 

Software (7.0%):

 
          3,161      Adobe, Inc.*   $ 1,550,248  
562      ANSYS, Inc.*     183,903  
1,439      Autodesk, Inc.*     332,423  
543      Avalara, Inc.*     69,146  
462      AVEVA Group plc     28,561  
2,273      BlackBerry, Ltd.*     10,431  
1,883      Cadence Design Systems, Inc.*     200,784  
922      CDK Global, Inc.     40,190  
707      Check Point Software Technologies, Ltd.*     85,080  
744      Citrix Systems, Inc.     102,456  
131      Constellation Software, Inc.     145,585  
438      Coupa Software, Inc.*     120,117  
943      Crowdstrike Holdings, Inc., Class A*     129,493  
289      CyberArk Software, Ltd.*     29,888  
891      Dassault Systemes SA     166,182  
772      Datadog, Inc., Class A*     78,868  
1,165      DocuSign, Inc.*     250,755  
1,830      Dropbox, Inc., Class A*     35,246  
926      Dynatrace, Inc.*     37,985  
177      Fair Isaac Corp.*     75,292  
857      Fortinet, Inc.*     100,963  
487      Guidewire Software, Inc.*     50,779  
1,724      Intuit, Inc.     562,386  
47,378      Microsoft Corp.     9,965,014  
423      Nemetschek SE     30,978  
377      NICE Systems, Ltd.*     85,473  
3,948      NortonLifeLock, Inc.     82,276  
1,721      Open Text Corp.     72,749  
13,552      Oracle Corp.     809,054  
300      Oracle Corp.     32,530  
317      Paycom Software, Inc.*     98,682  
652      PTC, Inc.*     53,933  
491      RingCentral, Inc., Class A*     134,834  
6,424      Sage Group plc     59,483  
5,946      salesforce.com, Inc.*     1,494,349  
6,912      SAP SE     1,076,229  
1,256      ServiceNow, Inc.*     609,160  
2,254      Slack Technologies, Inc., Class A*^     60,542  
1,059      Splunk, Inc.*     199,230  
1,454      SS&C Technologies Holdings, Inc.     87,996  
1,008      Synopsys, Inc.*     215,692  
952      TeamViewer AG*     47,004  
496      Temenos AG     66,813  
265      The Trade Desk, Inc., Class A*     137,477  
1,000      Trend Micro, Inc.     61,026  
246      Tyler Technologies, Inc.*     85,746  
498      VMware, Inc., Class A*^     71,548  
564      WiseTech Global, Ltd.     10,602  
1,127      Workday, Inc., Class A*     242,452  
1,052      Zoom Video Communications, Inc., Class A*     494,556  
475      Zscaler, Inc.*     66,828  
         20,839,017  

Specialty Retail (1.8%):

 
100      ABC-Mart, Inc.     5,206  
433      Advance Auto Parts, Inc.     66,466  
160      AutoZone, Inc.*     188,422  
1,602      Best Buy Co, Inc.     178,287  
416      Burlington Stores, Inc.*     85,733  
1,065      CarMax, Inc.*     97,884  
400      Fast Retailing Co., Ltd.     251,018  
5,029      Hennes & Mauritz AB, Class B     86,779  
100      Hikari Tsushin, Inc.     23,834  
7,056      Home Depot, Inc. (The)     1,959,521  
7,547      Industria de Diseno Textil SA     209,801  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Global Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares               Fair Value      

Common Stocks, continued

 

Specialty Retail, continued

 
          3,319      JD Sports Fashion plc   $ 34,728  
11,535      Kingfisher plc     44,077  
4,982      Lowe’s Cos., Inc.     826,315  
500      Nitori Co., Ltd.     104,010  
499      O’Reilly Automotive, Inc.*     230,079  
2,369      Ross Stores, Inc.     221,075  
100      Shimamura Co., Ltd.     9,777  
682      Tiffany & Co.     79,010  
7,880      TJX Cos., Inc. (The)     438,522  
779      Tractor Supply Co.     111,662  
339      Ulta Beauty, Inc.*     75,929  
1,700      USS Co., Ltd.     30,414  
5,400      Yamada Holdings Co., Ltd.     26,930  
         5,385,479  

Technology Hardware, Storage & Peripherals (4.8%):

 
114,016      Apple, Inc.     13,204,192  
1,800      Brother Industries, Ltd.     28,593  
6,300      Canon, Inc.     104,581  
1,173      Dell Technologies, Inc., Class C*     79,400  
2,300      FUJIFILM Holdings Corp.     113,351  
8,053      Hewlett Packard Enterprise Co.     75,457  
9,184      HP, Inc.     174,404  
1,205      Logitech International SA, Class R     93,272  
1,600      NEC Corp.     93,671  
1,453      NetApp, Inc.     63,700  
5,000      Ricoh Co., Ltd.^     33,711  
1,491      Seagate Technology plc     73,462  
2,200      Seiko Epson Corp.^     25,294  
1,809      Western Digital Corp.     66,119  
         14,229,207  

Textiles, Apparel & Luxury Goods (1.3%):

 
1,237      Adidas AG     400,322  
2,277      Burberry Group plc     45,582  
3,421      Cie Financiere Richemont SA     229,204  
1,539      Gildan Activewear, Inc.     30,332  
199      Hermes International SA     171,514  
509      Kering     338,130  
817      Lululemon Athletica, Inc.*     269,095  
1,839      LVMH Moet Hennessy Louis Vuitton SA     859,618  
1,454      Moncler SpA     59,546  
8,223      Nike, Inc., Class B     1,032,316  
565      Pandora A/S     40,665  
629      Puma SE*     56,667  
400      Ralph Lauren Corp.     27,188  
196      Swatch Group AG (The), Class B     45,668  
199      Swatch Group AG (The), Registered Shares     8,937  
2,217      VF Corp.     155,744  
         3,770,528  

Tobacco (0.7%):

 
12,301      Altria Group, Inc.     475,311  
14,952      British American Tobacco plc     537,318  
5,754      Imperial Brands plc, Class A     101,406  
8,000      Japan Tobacco, Inc.     146,107  
10,299      Philip Morris International, Inc.     772,322  
1,054      Swedish Match AB, Class B     86,030  
         2,118,494  

Trading Companies & Distributors (0.6%):

 
941      AerCap Holdings NV*     23,704  
2,947      Ashtead Group plc     105,568  
900      Brenntag AG     57,260  
1,969      Bunzl plc     63,515  
3,915      Fastenal Co.     176,527  
Shares               Fair Value      

Common Stocks, continued

 

Trading Companies & Distributors, continued

 
          1,500      Ferguson plc   $ 150,896  
863      HD Supply Holdings, Inc.*     35,590  
8,600      Itochu Corp.^     219,939  
11,800      Marubeni Corp.^     66,958  
8,500      Mitsubishi Corp.^     203,377  
11,100      Mitsui & Co., Ltd.^     190,695  
1,000      MonotaRo Co., Ltd.     49,812  
8,100      Sumitomo Corp.^     97,140  
1,600      Toyota Tsushu Corp.     44,691  
473      United Rentals, Inc.*     82,539  
297      W.W. Grainger, Inc.     105,961  
         1,674,172  

Transportation Infrastructure (0.2%):

 
429      Aena SME SA     59,749  
215      Aeroports de Paris     21,406  
3,673      Atlantia SpA*     57,591  
7,444      Auckland International Airport, Ltd.     36,054  
155      Fraport AG^     6,137  
3,224      Getlink SE     43,707  
400      Japan Airport Terminal Co., Ltd.     17,650  
500      Kamigumi Co., Ltd.     9,846  
10,140      Sydney Airport     42,677  
18,407      Transurban Group     186,506  
         481,323  

Water Utilities (0.1%):

 
1,212      American Water Works Co., Inc.     175,594  
1,615      Essential Utilities, Inc.     65,004  
1,276      Severn Trent plc     40,113  
5,043      United Utilities Group plc     55,755  
         336,466  

Wireless Telecommunication Services (0.7%):

 
10,900      KDDI Corp.     275,765  
7,400      NTT DoCoMo, Inc.^     274,464  
2,374      Rogers Communications, Inc., Class B     94,183  
18,900      Softbank Corp.^     211,802  
10,400      SoftBank Group Corp.     642,264  
3,563      Tele2 AB^     50,328  
3,662      T-Mobile USA, Inc.*     418,786  
175,117      Vodafone Group plc     232,281  
         2,199,873  

Total Common Stocks (Cost $261,825,600)

    295,460,390  

Preferred Stocks (0.1%):

 

Automobiles (0.1%):

 
468      Bayerische Motoren Werke AG (BMW), 5.39%, 5/15/20     25,640  
966      Porsche Automobil Holding SE, 4.34%, 5/20/20*     57,668  
1,270      Volkswagen AG, 3.54%, 5/8/20*     204,366  
         287,674  

Household Products (0.0%):

 
1,106      Henkel AG & Co. KGaA, 2.07%, 4/21/20     115,796  
 

Total Preferred Stocks (Cost $431,602)

    403,470  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Global Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,
Shares,
Notional
Amount or
Principal
Amount
              Fair Value      
Short-Term Securities Held as Collateral for Securities on Loan (1.8%):  
5,327,087      BlackRock Liquidity FedFund, Institutional Class , 1.81%(a)(b)   $ 5,327,087  

Total Short-Term Securities Held as Collateral for Securities on Loan (Cost $5,327,087)

    5,327,087  

Unaffiliated Investment Companies (0.2%):

 

Money Markets (0.2%):

 
609,344      Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(b)     609,344  

Total Unaffiliated Investment Companies
(Cost $609,344)

    609,344  

Total Investment Securities
(Cost $268,193,633) - 101.5%

    301,800,291  

Net other assets (liabilities) - (1.5)%

    (4,512,139)  

Net Assets - 100.0%

    $297,288,152  
       

Percentages indicated are based on net assets as of September 30, 2020.

 

ADR        -    American Depository Receipt
REIT    -    Real Estate Investment Trust

 

*

Non-income producing security.

^

This security or a partial position of this security was on loan as of September 30, 2020. The total value of securities on loan as of September 30, 2020 was $5,095,685.

+

Affiliated Securities

Represents less than 0.05%.

(a)

Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before September 30, 2020.

(b)

The rate represents the effective yield at September 30, 2020.

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of September 30, 2020:

(Unaudited)

 

Country

  

Percentage

Argentina

     0.1 %     

Australia

     2.0

Austria

     0.1

Belgium

     0.3

Bermuda

     0.2

Canada

     3.2

China

      —%  

Denmark

     0.8

Finland

     0.4

France

     3.0

Germany

     2.8

Hong Kong

     0.9

Ireland

     0.9

Isle of Man

      —%  

Israel

     0.2

Italy

     0.6

Japan

     7.7

Liberia

      —%  

Luxembourg

      —%  

Netherlands

     1.5

New Zealand

     0.1

Norway

     0.2

Panama

      —%  

Portugal

      —%  

Singapore

     0.3

Spain

     0.7

Sweden

     0.9

Switzerland

     3.3

United Kingdom

     4.4

United States

     65.4
  

 

 

 

         100.0
  

 

 

 

 

Represents less than 0.05%.

 

 

See accompanying notes to the schedules of portfolio investments.


AZL MSCI Global Equity Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Futures Contracts

At September 30, 2020, the Fund’s open futures contracts were as follows:

Long Futures

 

Description    Expiration
Date
   Number of
Contracts
   Notional
Amount
   

  Value and      

  Unrealized      

  Appreciation/      

  (Depreciation)      

DJ EURO STOXX 50 December Futures (Euro)

   12/18/20    6    $         224,661      $ (9,057 )   

FTSE 100 Index December Futures (British Pounds)

   12/18/20    2      150,723       (4,338

S&P 500 Index E-Mini December Futures (U.S. Dollar)

   12/18/20    7      1,173,200       (7,124

SGX Nikkei 225 Index December Futures (Japanese Yen)

   12/10/20    1      110,028       1,308  
          

 

 

 

           $ (19,211
          

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Russell 1000 Growth Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares          Fair Value    

Common Stocks (97.8%):

  

Aerospace & Defense (1.0%):

  

3,648

   Axon Enterprise, Inc.*    $ 330,874  

3,529

   BWX Technologies, Inc.      198,718  

2,064

   HEICO Corp.      216,018  

3,718

   HEICO Corp., Class A      329,638  

241

   Huntington Ingalls Industries, Inc.      33,921  

14,594

   Lockheed Martin Corp.      5,593,588  

2,572

   Mercury Systems, Inc.*      199,227  

8,465

   Northrop Grumman Corp.      2,670,623  

679

   TransDigm Group, Inc.      322,606  

3,313

   Virgin Galactic Holdings, Inc.*^      63,709  
     

 

 

 

        9,958,922  
     

 

 

 

Air Freight & Logistics (0.5%):

  

1,140

   C.H. Robinson Worldwide, Inc.      116,497  

5,916

   Expeditors International of Washington, Inc.      535,516  

27,450

   United Parcel Service, Inc., Class B      4,573,993  

292

   XPO Logistics, Inc.*      24,721  
     

 

 

 

        5,250,727  
     

 

 

 

Automobiles (1.9%):

  

43,611

   Tesla, Inc.*      18,709,555  
     

 

 

 

Beverages (1.8%):

  

523

   Boston Beer Co., Inc. (The), Class A*      461,997  

2,204

   Brown-Forman Corp., Class A      151,371  

9,036

   Brown-Forman Corp., Class B      680,592  

133,845

   Coca-Cola Co. (The)      6,607,928  

21,746

   Monster Beverage Corp.*      1,744,029  

60,091

   PepsiCo, Inc.      8,328,612  
     

 

 

 

        17,974,529  
     

 

 

 

Biotechnology (3.6%):

  

97,674

   AbbVie, Inc.      8,555,266  

6,524

   ACADIA Pharmaceuticals, Inc.*      269,115  

2,772

   Acceleron Pharma, Inc.*      311,933  

480

   Agios Pharmaceuticals, Inc.*      16,800  

1,828

   Alexion Pharmaceuticals, Inc.*      209,178  

6,728

   Alnylam Pharmaceuticals, Inc.*      979,597  

34,719

   Amgen, Inc.      8,824,180  

2,779

   Biogen, Inc.*      788,347  

9,614

   BioMarin Pharmaceutical, Inc.*      731,433  

1,860

   Bluebird Bio, Inc.*      100,347  

7,786

   Exact Sciences Corp.*      793,783  

7,051

   Exelixis, Inc.*      172,397  

3,423

   Global Blood Therapeutics, Inc.*      188,744  

12,086

   Immunomedics, Inc.*      1,027,673  

10,722

   Incyte Corp.*      962,192  

3,763

   Ionis Pharmaceuticals, Inc.*      178,554  

7,999

   Iovance Biotherapeutics, Inc.*      263,327  

16,811

   Moderna, Inc.*^      1,189,378  

5,363

   Neurocrine Biosciences, Inc.*      515,706  

5,702

   Regeneron Pharmaceuticals, Inc.*      3,191,866  

3,068

   Repligen Corp.*      452,653  

243

   Sage Therapeutics, Inc.*      14,852  

4,486

   Sarepta Therapeutics, Inc.*      629,969  

7,165

   Seattle Genetics, Inc.*      1,402,119  

15,307

   Vertex Pharmaceuticals, Inc.*      4,165,341  
     

 

 

 

        35,934,750  
     

 

 

 

Building Products (0.1%):

  

3,586

   Allegion plc      354,691  

1,132

   Armstrong World Industries, Inc.      77,893  

18,332

   Carrier Global Corp.      559,859  

6,732

   Trex Co., Inc.*      482,011  
     

 

 

 

        1,474,454  
     

 

 

 

Capital Markets (1.2%):

  

5,020

   Apollo Global Management, Inc.      224,645  

5,773

   Ares Management Corp., Class A      233,345  
Shares          Fair Value    

Common Stocks, continued

  

Capital Markets, continued

  

1,329

   Cboe Global Markets, Inc.    $ 116,606  

2,179

   FactSet Research Systems, Inc.      729,704  

11,206

   Intercontinental Exchange, Inc.      1,121,160  

398

   LPL Financial Holdings, Inc.      30,515  

2,171

   MarketAxess Holdings, Inc.      1,045,532  

9,575

   Moody’s Corp.      2,775,314  

1,031

   Morningstar, Inc.      165,589  

4,776

   MSCI, Inc., Class A      1,703,981  

8,378

   S&P Global, Inc.      3,021,106  

3,465

   T. Rowe Price Group, Inc.      444,282  

4,123

   Tradeweb Markets, Inc., Class A      239,134  

3,572

   Virtu Financial, Inc., Class A      82,192  
     

 

 

 

        11,933,105  
     

 

 

 

Chemicals (0.6%):

  

1,639

   Air Products & Chemicals, Inc.      488,193  

2,894

   Ecolab, Inc.      578,337  

1,457

   FMC Corp.      154,311  

341

   NewMarket Corp.      116,731  

6,279

   RPM International, Inc.      520,152  

2,288

   Scotts Miracle-Gro Co. (The)      349,858  

4,857

   Sherwin Williams Co.      3,384,066  

1,292

   W.R. Grace & Co.      52,055  
     

 

 

 

        5,643,703  
     

 

 

 

Commercial Services & Supplies (0.4%):

  

4,605

   Cintas Corp.      1,532,682  

11,962

   Copart, Inc.*      1,257,924  

2,053

   IAA, Inc.*      106,900  

517

   MSA Safety, Inc.      69,366  

7,789

   Rollins, Inc.      422,086  

3,242

   Waste Management, Inc.      366,897  
     

 

 

 

        3,755,855  
     

 

 

 

Communications Equipment (0.2%):

  

2,816

   Arista Networks, Inc.*      582,715  

512

   Lumentum Holdings, Inc.*      38,467  

988

   Motorola Solutions, Inc.      154,928  

5,567

   Palo Alto Networks, Inc.*      1,362,523  

413

   Ubiquiti, Inc.      68,831  
     

 

 

 

        2,207,464  
     

 

 

 

Construction & Engineering (0.0%):

  

1,458

   Quanta Services, Inc.      77,070  
     

 

 

 

Consumer Finance (0.0%):

  

43

   Credit Acceptance Corp.*^      14,562  

5,532

   SLM Corp.      44,753  
     

 

 

 

        59,315  
     

 

 

 

Containers & Packaging (0.2%):

  

13,675

   Amcor plc      151,109  

1,969

   Avery Dennison Corp.      251,717  

17,586

   Ball Corp.      1,461,748  

2,524

   Berry Global Group, Inc.*      121,960  

858

   Crown Holdings, Inc.*      65,946  

3,878

   Graphic Packaging Holding Co.      54,641  
     

 

 

 

        2,107,121  
     

 

 

 

Distributors (0.1%):

  

2,272

   Pool Corp.      760,075  
     

 

 

 

Diversified Consumer Services (0.1%):

  

2,411

   Bright Horizons Family Solutions, Inc.*      366,569  

6,967

   Chegg, Inc.*      497,723  

920

   Frontdoor, Inc.*      35,797  

7,422

   H&R Block, Inc.      120,904  
     

 

 

 

        1,020,993  
     

 

 

 

Electrical Equipment (0.2%):

  

6,315

   Enphase Energy, Inc.*      521,556  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Russell 1000 Growth Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares          Fair Value    

Common Stocks, continued

  

Electrical Equipment, continued

  

3,266

   Generac Holdings, Inc.*    $ 632,428  

3,310

   Rockwell Automation, Inc.      730,451  

12,801

   Vertiv Holdings Co.*      221,713  
     

 

 

 

        2,106,148  
     

 

 

 

Electronic Equipment, Instruments &
Components (0.4%):

 

10,083

   Amphenol Corp., Class A      1,091,687  

8,351

   CDW Corp.      998,195  

9,500

   Cognex Corp.      618,450  

1,102

   Coherent, Inc.*      122,245  

532

   Dolby Laboratories, Inc., Class A      35,261  

163

   IPG Photonics Corp.*      27,705  

1,434

   Jabil, Inc.      49,129  

3,748

   Keysight Technologies, Inc.*      370,227  

2,815

   Zebra Technologies Corp., Class A*      710,675  
     

 

 

 

        4,023,574  
     

 

 

 

Entertainment (1.8%):

  

17,780

   Activision Blizzard, Inc.      1,439,291  

2,393

   Electronic Arts, Inc.*      312,071  

8,525

   Live Nation Entertainment, Inc.*      459,327  

25,084

   Netflix, Inc.*      12,542,752  

7,710

   Spotify Technology SA*      1,870,215  

6,123

   Take-Two Interactive Software, Inc.*      1,011,642  

2,489

   World Wrestling Entertainment, Inc., Class A      100,730  

42,624

   Zynga, Inc.*      388,731  
     

 

 

 

        18,124,759  
     

 

 

 

Equity Real Estate Investment Trusts (1.8%):

  

26,016

   American Tower Corp.      6,288,847  

1,273

   Americold Realty Trust      45,510  

3,579

   Brookfield Property REIT, Inc., Class A^      43,807  

1,628

   Coresite Realty Corp.      193,537  

22,860

   Crown Castle International Corp.      3,806,190  

5,183

   Equinix, Inc.      3,939,754  

4,151

   Equity Lifestyle Properties, Inc.      254,456  

5,175

   Extra Space Storage, Inc.      553,673  

10,100

   Iron Mountain, Inc.^      270,579  

5,800

   Public Storage, Inc.      1,291,776  

894

   SBA Communications Corp.      284,721  

14,072

   Simon Property Group, Inc.      910,177  
     

 

 

 

        17,883,027  
     

 

 

 

Food & Staples Retailing (1.0%):

  

22,982

   Costco Wholesale Corp.      8,158,610  

2,385

   Grocery Outlet Holding Corp.*      93,778  

5,560

   Sprouts Farmers Market, Inc.*      116,371  

20,337

   Sysco Corp.      1,265,368  
     

 

 

 

        9,634,127  
     

 

 

 

Food Products (0.3%):

  

2,478

   Beyond Meat, Inc.*^      411,497  

5,132

   Campbell Soup Co.      248,235  

6,693

   Hershey Co. (The)      959,374  

5,049

   Kellogg Co.      326,115  

1,929

   Lamb Weston Holdings, Inc.      127,835  

4,082

   McCormick & Co.      792,316  

1,200

   Pilgrim’s Pride Corp.*      17,958  
     

 

 

 

        2,883,330  
     

 

 

 

Health Care Equipment & Supplies (2.9%):

  

39,149

   Abbott Laboratories      4,260,585  

2,599

   ABIOMED, Inc.*      720,079  

4,597

   Align Technology, Inc.*      1,504,874  

12,578

   Baxter International, Inc.      1,011,523  

371

   Cooper Cos., Inc. (The)      125,072  

5,419

   DexCom, Inc.*      2,233,874  
Shares          Fair Value    

Common Stocks, continued

  

Health Care Equipment & Supplies, continued

  

36,356

   Edwards Lifesciences Corp.*    $ 2,901,935  

2,758

   Haemonetics Corp.*      240,636  

501

   Hill-Rom Holdings, Inc.      41,839  

10,460

   Hologic, Inc.*      695,276  

334

   ICU Medical, Inc.*      61,042  

4,955

   IDEXX Laboratories, Inc.*      1,947,860  

3,858

   Insulet Corp.*      912,764  

6,826

   Intuitive Surgical, Inc.*      4,843,319  

2,813

   Masimo Corp.*      664,037  

5,737

   Novocure, Ltd.*      638,585  

1,929

   Penumbra, Inc.*      374,959  

2,197

   Quidel Corp.*      481,978  

8,441

   ResMed, Inc.      1,447,041  

190

   Steris plc      33,476  

6,659

   Stryker Corp.      1,387,536  

3,140

   Tandem Diabetes Care, Inc.*      356,390  

1,711

   Teleflex, Inc.      582,459  

621

   Varian Medical Systems, Inc.*      106,812  

4,321

   West Pharmaceutical Services, Inc.      1,187,843  
     

 

 

 

        28,761,794  
     

 

 

 

Health Care Providers & Services (2.4%):

  

1,852

   Amedisys, Inc.*      437,868  

4,223

   AmerisourceBergen Corp.      409,293  

3,825

   Anthem, Inc.      1,027,357  

17,151

   Cardinal Health, Inc.      805,239  

9,885

   Centene Corp.*      576,592  

893

   Chemed Corp.      428,953  

5,763

   Cigna Corp.      976,310  

886

   DaVita, Inc.*      75,886  

2,570

   Encompass Health Corp.      166,999  

4,426

   Guardant Health, Inc.*      494,738  

8,185

   HCA Healthcare, Inc.      1,020,506  

2,969

   Humana, Inc.      1,228,839  

345

   Laboratory Corp. of America Holdings*      64,953  

7,090

   McKesson Corp.      1,055,914  

2,381

   Molina Healthcare, Inc.*      435,818  

825

   Oak Street Health, Inc.*      44,088  

46,327

   UnitedHealth Group, Inc.      14,443,369  
     

 

 

 

        23,692,722  
     

 

 

 

Health Care Technology (0.5%):

  

17,919

   Cerner Corp.      1,295,365  

10,070

   Change Healthcare, Inc.*      146,116  

3,247

   Livongo Health, Inc.*      454,742  

3,801

   Teladoc Health, Inc.*      833,331  

7,867

   Veeva Systems, Inc., Class A*      2,212,122  
     

 

 

 

        4,941,676  
     

 

 

 

Hotels, Restaurants & Leisure (0.9%):

  

1,640

   Chipotle Mexican Grill, Inc.*      2,039,684  

2,294

   Domino’s Pizza, Inc.      975,592  

4,157

   Dunkin’ Brands Group, Inc.      340,500  

8,501

   Las Vegas Sands Corp.      396,657  

6,279

   McDonald’s Corp.      1,378,178  

2,562

   Planet Fitness, Inc., Class A*      157,870  

39,776

   Starbucks Corp.      3,417,554  

205

   Vail Resorts, Inc.      43,864  

10,870

   Wendy’s Co. (The)      242,347  

1,318

   Wynn Resorts, Ltd.      94,646  

1,598

   Yum China Holdings, Inc.      84,614  

1,244

   Yum! Brands, Inc.      113,577  
     

 

 

 

        9,285,083  
     

 

 

 

Household Durables (0.2%):

  

22

   NVR, Inc.*      89,829  

6,228

   Roku, Inc.*      1,175,846  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Russell 1000 Growth Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares          Fair Value      

Common Stocks, continued

  

Household Durables, continued

  

2,181

   Tempur Sealy International, Inc.*    $ 194,523  
     

 

 

 
        1,460,198  
     

 

 

 

Household Products (1.2%):

  

14,477

   Church & Dwight Co., Inc.      1,356,640  

5,268

   Clorox Co. (The)      1,107,176  

2,717

   Energizer Holdings, Inc.      106,343  

64,252

   Procter & Gamble Co. (The)      8,930,386  

904

   Reynolds Consumer Products, Inc.      27,680  
     

 

 

 
        11,528,225  
     

 

 

 
Independent Power and Renewable
Electricity Producers (0.0%):

 

4,872

   NRG Energy, Inc.      149,765  
     

 

 

 

Industrial Conglomerates (0.4%):

  

21,875

   3M Co.      3,503,937  

816

   Roper Technologies, Inc.      322,410  
     

 

 

 
        3,826,347  
     

 

 

 

Insurance (0.7%):

  

79

   Alleghany Corp.      41,116  

13,518

   Aon plc, Class A      2,788,763  

385

   Axis Capital Holdings, Ltd.      16,955  

542

   Brown & Brown, Inc.      24,536  

823

   Erie Indemnity Co., Class A      173,060  

1,534

   Lincoln National Corp.      48,060  

23,182

   Marsh & McLennan Cos., Inc.      2,658,976  

1,452

   Primerica, Inc.      164,279  

9,925

   Progressive Corp. (The)      939,600  

1,005

   RenaissanceRe Holdings, Ltd.      170,589  
     

 

 

 
        7,025,934  
     

 

 

 

Interactive Media & Services (8.0%):

  

13,740

   Alphabet, Inc., Class A*      20,137,344  

13,563

   Alphabet, Inc., Class C*      19,932,185  

141,635

   Facebook, Inc., Class A*      37,094,206  

4,508

   IAC/InterActive Corp.*      539,968  

12,889

   Match Group, Inc.*      1,426,168  

19,634

   Pinterest, Inc., Class A*      815,007  

375

   Zillow Group, Inc., Class A*      38,078  

958

   Zillow Group, Inc., Class C*      97,323  
     

 

 

 
        80,080,279  
     

 

 

 

Internet & Direct Marketing Retail (8.7%):

  

25,010

   Amazon.com, Inc.*      78,749,738  

2,410

   Booking Holdings, Inc.*      4,122,739  

35,951

   eBay, Inc.      1,873,047  

6,941

   Etsy, Inc.*      844,234  

973

   Expedia Group, Inc.      89,214  

567

   Grubhub, Inc.*      41,011  

3,534

   Wayfair, Inc., Class A*^      1,028,429  
     

 

 

 
        86,748,412  
     

 

 

 

IT Services (8.2%):

  

37,595

   Accenture plc, Class C      8,496,094  

7,757

   Akamai Technologies, Inc.*      857,459  

21,796

   Automatic Data Processing, Inc.      3,040,324  

404

   BigCommerce Holdings, Inc.*^      33,653  

8,868

   Black Knight, Inc.*      771,959  

8,067

   Booz Allen Hamilton Holding Corp.      669,400  

6,702

   Broadridge Financial Solutions, Inc.      884,664  

257

   CACI International, Inc., Class A*      54,782  

2,281

   Cognizant Technology Solutions Corp., Class A      158,347  

291

   CoreLogic, Inc.      19,692  

3,129

   EPAM Systems, Inc.*      1,011,543  

4,729

   Fastly, Inc., Class A*      443,013  

9,708

   Fiserv, Inc.*      1,000,409  

4,856

   FleetCor Technologies, Inc.*      1,156,214  

5,067

   Gartner, Inc.*      633,122  
Shares          Fair Value      

Common Stocks, continued

  

IT Services, continued

  

4,213

   Genpact, Ltd.    $ 164,096  

9,700

   GoDaddy, Inc., Class A*      736,909  

3,494

   Jack Henry & Associates, Inc.      568,089  

838

   Leidos Holdings, Inc.      74,708  

52,036

   MasterCard, Inc., Class A      17,597,014  

2,938

   MongoDB, Inc.*      680,176  

6,772

   Okta, Inc.*      1,448,192  

14,931

   Paychex, Inc.      1,191,046  

69,269

   PayPal Holdings, Inc.*      13,648,071  

479

   Science Applications International Corp.      37,563  

21,762

   Square, Inc., Class A*      3,537,413  

10,493

   StoneCo, Ltd., Class A*      554,975  

5,671

   Switch, Inc., Class A      88,524  

4,829

   Teradata Corp.*      109,618  

6,706

   Twilio, Inc., Class A*      1,656,986  

3,570

   VeriSign, Inc.*      731,315  

99,589

   Visa, Inc., Class A      19,914,812  

4,590

   Western Union Co.      98,364  

239

   WEX, Inc.*      33,214  
     

 

 

 
        82,101,760  
     

 

 

 

Leisure Products (0.0%):

  

11,958

   Mattel, Inc.*      139,908  

1,312

   Peloton Interactive, Inc., Class A*      130,203  

384

   Polaris, Inc.      36,227  
     

 

 

 
        306,338  
     

 

 

 

Life Sciences Tools & Services (1.4%):

  

3,279

   10X Genomics, Inc., Class A*      408,826  

4,804

   Adaptive Biotechnologies Corp.*      233,619  

1,527

   Agilent Technologies, Inc.      154,135  

26,504

   Avantor, Inc.*      596,075  

553

   Berkeley Lights, Inc.*^      42,227  

2,117

   Bio-Techne Corp.      524,444  

2,819

   Bruker Corp.      112,055  

2,544

   Charles River Laboratories International, Inc.*      576,089  

8,651

   Illumina, Inc.*      2,673,851  

4,196

   IQVIA Holdings, Inc.*      661,415  

1,306

   Mettler-Toledo International, Inc.*      1,261,270  

1,186

   PerkinElmer, Inc.      148,855  

6,006

   PPD, Inc.*      222,162  

3,178

   PRA Health Sciences, Inc.*      322,376  

554

   Syneos Health, Inc.*      29,451  

13,674

   Thermo Fisher Scientific, Inc.      6,037,344  

291

   Waters Corp.*      56,943  
     

 

 

 
        14,061,137  
     

 

 

 

Machinery (0.3%):

  

4,130

   Allison Transmission Holdings, Inc.      145,128  

840

   Donaldson Co., Inc.      38,993  

4,957

   Graco, Inc.      304,112  

8,222

   Illinois Tool Works, Inc.      1,588,573  

1,354

   Lincoln Electric Holdings, Inc.      124,622  

2,753

   Nordson Corp.      528,080  

5,755

   Toro Co. (The)      483,132  
     

 

 

 
        3,212,640  
     

 

 

 

Media (0.6%):

  

17,628

   Altice USA, Inc., Class A*      458,328  

323

   Cable One, Inc.      608,994  

7,965

   Charter Communications, Inc., Class A*      4,972,868  

1,288

   Liberty Media Corp.-Liberty SiriusXM, Class C*      42,607  

1,700

   Nexstar Media Group, Inc., Class A      152,881  

42,265

   Sirius XM Holdings, Inc.^      226,540  
     

 

 

 
        6,462,218  
     

 

 

 
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Russell 1000 Growth Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares          Fair Value    

Common Stocks, continued

  

Metals & Mining (0.0%):

  

2,808

   Royal Gold, Inc.    $ 337,437  
     

 

 

 

Multiline Retail (0.4%):

  

14,837

   Dollar General Corp.      3,110,132  

6,577

   Dollar Tree, Inc.*      600,743  

2,708

   Ollie’s Bargain Outlet Holdings, Inc.*      236,544  
     

 

 

 

        3,947,419  
     

 

 

 

Oil, Gas & Consumable Fuels (0.1%):

  

13,915

   Cheniere Energy, Inc.*      643,847  

1,324

   Equitrans Midstream Corp.      11,201  
     

 

 

 

        655,048  
     

 

 

 

Personal Products (0.3%):

  

11,676

   Estee Lauder Co., Inc. (The), Class A      2,548,287  

888

   Herbalife Nutrition, Ltd.*      41,425  
     

 

 

 

        2,589,712  
     

 

 

 

Pharmaceuticals (3.0%):

  

48,474

   Bristol-Myers Squibb Co.      2,922,497  

49,682

   Eli Lilly & Co.      7,353,930  

10,595

   Horizon Therapeutics plc*      823,020  

20,842

   Johnson & Johnson Co.      3,102,957  

130,234

   Merck & Co., Inc.      10,802,910  

1,363

   Reata Pharmaceuticals, Inc., Class A*      132,783  

2,068

   Royalty Pharma plc, Class A      87,001  

25,368

   Zoetis, Inc.      4,195,106  
     

 

 

 

        29,420,204  
     

 

 

 

Professional Services (0.6%):

  

2,305

   CoStar Group, Inc.*      1,955,815  

5,285

   Equifax, Inc.      829,217  

12,741

   IHS Markit, Ltd.      1,000,296  

10,190

   TransUnion      857,285  

9,339

   Verisk Analytics, Inc.      1,730,610  
     

 

 

 

        6,373,223  
     

 

 

 

Road & Rail (0.8%):

  

1,406

   J.B. Hunt Transport Services, Inc.      177,690  

1,836

   Landstar System, Inc.      230,400  

4,939

   Old Dominion Freight Line, Inc.      893,564  

61,836

   Uber Technologies, Inc.*      2,255,777  

20,421

   Union Pacific Corp.      4,020,282  
     

 

 

 

        7,577,713  
     

 

 

 

Semiconductors & Semiconductor Equipment (5.9%):

 

63,954

   Advanced Micro Devices, Inc.*      5,243,588  

2,640

   Analog Devices, Inc.      308,194  

54,031

   Applied Materials, Inc.      3,212,143  

21,827

   Broadcom, Inc.      7,952,013  

7,450

   Entegris, Inc.      553,833  

2,881

   Inphi Corp.*      323,392  

9,143

   KLA Corp.      1,771,365  

8,548

   Lam Research Corp.      2,835,799  

5,191

   Maxim Integrated Products, Inc.      350,964  

10,699

   Microchip Technology, Inc.      1,099,429  

2,477

   MKS Instruments, Inc.      270,563  

2,544

   Monolithic Power Systems, Inc.      711,328  

34,820

   NVIDIA Corp.      18,845,279  

66,381

   Qualcomm, Inc.      7,811,716  

2,817

   SolarEdge Technologies, Inc.*      671,432  

9,739

   Teradyne, Inc.      773,861  

26,962

   Texas Instruments, Inc.      3,849,904  

2,567

   Universal Display Corp.      463,960  

14,386

   Xilinx, Inc.      1,499,597  
     

 

 

 

        58,548,360  
     

 

 

 

Software (17.7%):

  

1,331

   2u, Inc.*      45,068  

28,374

   Adobe, Inc.*      13,915,461  
Shares          Fair Value    

Common Stocks, continued

  

Software, continued

  

3,210

   Alteryx, Inc., Class A*^    $ 364,496  

7,732

   Anaplan, Inc.*      483,869  

5,045

   ANSYS, Inc.*      1,650,875  

3,708

   Aspen Technology, Inc.*      469,396  

7,559

   Atlassian Corp. plc, Class A*      1,374,151  

8,611

   Autodesk, Inc.*      1,989,227  

4,796

   Avalara, Inc.*      610,723  

3,195

   Bill.com Holdings, Inc.*      320,490  

16,237

   Cadence Design Systems, Inc.*      1,731,351  

994

   CDK Global, Inc.      43,328  

4,497

   Ceridian HCM Holding, Inc.*      371,677  

2,012

   Citrix Systems, Inc.      277,073  

6,508

   Cloudflare, Inc., Class A*      267,218  

3,910

   Coupa Software, Inc.*      1,072,278  

6,473

   Crowdstrike Holdings, Inc., Class A*      888,872  

8,976

   Datadog, Inc., Class A*      916,988  

10,552

   DocuSign, Inc.*      2,271,212  

14,448

   Dropbox, Inc., Class A*      278,268  

811

   Duck Creek Technologies, Inc.*^      36,844  

10,689

   Dynatrace, Inc.*      438,463  

3,795

   Elastic NV*      409,443  

2,056

   Everbridge, Inc.*      258,501  

1,676

   Fair Isaac Corp.*      712,937  

3,182

   FireEye, Inc.*      39,282  

3,712

   Five9, Inc.*      481,372  

7,829

   Fortinet, Inc.*      922,334  

2,180

   Globant SA*      390,700  

1,014

   Guidewire Software, Inc.*      105,730  

2,425

   HubSpot, Inc.*      708,658  

14,860

   Intuit, Inc.      4,847,481  

3,293

   Manhattan Associates, Inc.*      314,449  

4,662

   Medallia, Inc.*      127,832  

441,697

   Microsoft Corp.      92,902,131  

442

   nCino, Inc.*      35,219  

2,858

   New Relic, Inc.*      161,077  

32,780

   NortonLifeLock, Inc.      683,135  

10,490

   Nutanix, Inc., Class A*      232,668  

99,528

   Oracle Corp.      5,941,822  

4,400

   Pagerduty, Inc.*^      119,284  

2,901

   Paycom Software, Inc.*      903,081  

2,072

   Paylocity Holding Corp.*      334,462  

2,086

   Pegasystems, Inc.      252,489  

6,009

   Pluralsight, Inc., Class A*      102,934  

3,387

   Proofpoint, Inc.*      357,498  

6,137

   PTC, Inc.*      507,653  

4,730

   RealPage, Inc.*      272,637  

4,499

   RingCentral, Inc., Class A*      1,235,470  

47,354

   salesforce.com, Inc.*      11,901,007  

11,207

   ServiceNow, Inc.*      5,435,395  

22,603

   Slack Technologies, Inc., Class A*^      607,117  

6,657

   Smartsheet, Inc.*      328,989  

9,363

   Splunk, Inc.*      1,761,461  

2,694

   SS&C Technologies Holdings, Inc.      163,041  

8,182

   Synopsys, Inc.*      1,750,784  

2,461

   The Trade Desk, Inc., Class A*      1,276,718  

2,307

   Tyler Technologies, Inc.*      804,128  

4,624

   VMware, Inc., Class A*^      664,330  

10,107

   Workday, Inc., Class A*      2,174,319  

6,610

   Zendesk, Inc.*      680,301  

9,848

   Zoom Video Communications, Inc., Class A*      4,629,643  

4,139

   Zscaler, Inc.*      582,316  
     

 

 

 

        175,937,156  
     

 

 

 

Specialty Retail (2.8%):

  

813

   AutoZone, Inc.*      957,421  

2,482

   Best Buy Co, Inc.      276,222  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Russell 1000 Growth Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,

Shares,

Notional

Amount or

Principal

Amount

         Fair Value    

Common Stocks, continued

  

Specialty Retail, continued

  

3,410

   Burlington Stores, Inc.*    $ 702,767  

784

   CarMax, Inc.*      72,057  

3,212

   Carvana Co.*      716,469  

3,243

   Five Below, Inc.*      411,861  

5,517

   Floor & Decor Holdings, Inc., Class A*      412,672  

31,680

   Home Depot, Inc. (The)      8,797,853  

44,579

   Lowe’s Cos., Inc.      7,393,873  

4,311

   O’Reilly Automotive, Inc.*      1,987,716  

16,648

   Ross Stores, Inc.      1,553,591  

57,236

   TJX Cos., Inc. (The)      3,185,183  

6,805

   Tractor Supply Co.      975,429  

2,948

   Ulta Beauty, Inc.*      660,293  

1,106

   Vroom, Inc.*      57,269  

700

   Williams-Sonoma, Inc.      63,308  
     

 

 

 

        28,223,984  
     

 

 

 

Technology Hardware, Storage &
Peripherals (11.1%):
  

951,684

   Apple, Inc.      110,214,525  

1,109

   Dell Technologies, Inc., Class C*      75,068  

7,057

   NetApp, Inc.      309,379  

7,584

   Pure Storage, Inc., Class A*      116,718  
     

 

 

 

        110,715,690  
     

 

 

 

Textiles, Apparel & Luxury Goods (1.1%):

  

6,691

   Lululemon Athletica, Inc.*      2,203,815  

71,445

   Nike, Inc., Class B      8,969,206  

1,217

   VF Corp.      85,494  
     

 

 

 

        11,258,515  
     

 

 

 

Thrifts & Mortgage Finance (0.0%):

  

429

   LendingTree, Inc.*^      131,656  

2,416

   Rocket Cos., Inc., Class A*^      48,151  
     

 

 

 

        179,807  
     

 

 

 

Tobacco (0.2%):

  

47,821

   Altria Group, Inc.      1,847,803  
     

 

 

 

Trading Companies & Distributors (0.2%):

  

27,347

   Fastenal Co.      1,233,077  

1,903

   W.W. Grainger, Inc.      678,933  
     

 

 

 

        1,912,010  
     

 

 

 

Total Common Stocks (Cost $478,596,560)

     974,691,212  
  

 

 

 

Private Placements (0.8%):

  

Software (0.8%):

  

841,419

   Palantir Technologies, Inc., Series I, 0.00%*(a)(b)      7,673,741  
     

 

 

 

Total Private Placements (Cost $5,157,898)

     7,673,741  
  

 

 

 

Short-Term Securities Held as Collateral for Securities on Loan (0.4%):   

4,195,434

   BlackRock Liquidity FedFund, Institutional Class , 1.81%(c)(d)      4,195,434  
     

 

 

 

Total Short-Term Securities Held as Collateral for Securities on Loan (Cost $4,195,434)

     4,195,434  
  

 

 

 

Contracts,

Shares,

Notional

Amount or

Principal

Amount

         Fair Value    

Unaffiliated Investment Companies (1.4%):

  

Money Markets (1.4%):

  

13,653,337

   Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(d)    $ 13,653,337  
     

 

 

 

Total Unaffiliated Investment Companies
(Cost $13,653,337)

     13,653,337  
  

 

 

 

Total Investment Securities
(Cost $501,603,229) - 100.4%

     1,000,213,724  

Net other assets (liabilities) - (0.4)%

     (4,042,954)  
  

 

 

 

Net Assets - 100.0%

     $996,170,770  
  

 

 

 

Percentages indicated are based on net assets as of September 30, 2020.

REIT        -     Real Estate Investment Trust

 

*

Non-income producing security.

^

This security or a partial position of this security was on loan as of September 30, 2020. The total value of securities on loan as of September 30, 2020 was $4,070,756.

Represents less than 0.05%.

(a)

Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of September 30, 2020. The total of all such securities represent 0.77% of the net assets of the fund.

(b)

Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of September 30, 2020, these securities represent 0.77% of the net assets of the fund.

(c)

Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before September 30, 2020.

(d)

The rate represents the effective yield at September 30, 2020.

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Russell 1000 Growth Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

 

Futures Contracts

At September 30, 2020, the Fund’s open futures contracts were as follows:

Long Futures

 

Description    Expiration
Date
     Number of
Contracts
     Notional
Amount
    

Value and    

Unrealized    

Appreciation/    

(Depreciation)    

Nasdaq 100 E-Mini December Futures (U.S. Dollar)

     12/18/20        37      $     8,441,365      $ 248,919     

S&P 500 Index E-Mini December Futures (U.S. Dollar)

     12/18/20        38        6,368,800        54,409     
           

 

 

 

            $ 303,328     
           

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Russell 1000 Value Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares          Fair Value

Common Stocks (99.4%):

  

Aerospace & Defense (2.1%):

  

29,859

   Boeing Co. (The)    $ 4,934,499  

1,906

   BWX Technologies, Inc.      107,327  

2,316

   Curtiss-Wright Corp.      215,990  

14,173

   General Dynamics Corp.      1,961,968  

489

   HEICO Corp.      51,179  

851

   HEICO Corp., Class A      75,450  

4,651

   Hexcel Corp.      156,041  

22,029

   Howmet Aerospace, Inc.*      368,325  

1,999

   Huntington Ingalls Industries, Inc.      281,359  

12,035

   L3harris Technologies, Inc.      2,044,024  

567

   Mercury Systems, Inc.*      43,920  

707

   Northrop Grumman Corp.      223,051  

79,708

   Raytheon Technologies Corp.      4,586,398  

5,849

   Spirit AeroSystems Holdings, Inc., Class A      110,605  

2,023

   Teledyne Technologies, Inc.*      627,555  

12,708

   Textron, Inc.      458,632  

2,269

   TransDigm Group, Inc.      1,078,047  
     

 

 

 

        17,324,370  
     

 

 

 

Air Freight & Logistics (0.8%):

  

6,236

   C.H. Robinson Worldwide, Inc.      637,257  

3,585

   Expeditors International of Washington, Inc.      324,514  

13,504

   FedEx Corp.      3,396,526  

13,407

   United Parcel Service, Inc., Class B      2,234,008  

4,815

   XPO Logistics, Inc.*      407,638  
     

 

 

 

        6,999,943  
     

 

 

 

Airlines (0.4%):

  

6,693

   Alaska Air Group, Inc.      245,165  

27,420

   American Airlines Group, Inc.^      336,992  

1,749

   Copa Holdings SA, Class A      88,045  

35,595

   Delta Air Lines, Inc.      1,088,495  

15,037

   JetBlue Airways Corp.*      170,369  

32,906

   Southwest Airlines Co.      1,233,975  

16,196

   United Airlines Holdings, Inc.*      562,811  
     

 

 

 

        3,725,852  
     

 

 

 

Auto Components (0.3%):

  

14,955

   Aptiv plc      1,371,074  

11,550

   BorgWarner, Inc.      447,447  

13,689

   Gentex Corp.      352,492  

3,344

   Lear Corp.      364,663  
     

 

 

 

        2,535,676  
     

 

 

 

Automobiles (0.5%):

  

217,773

   Ford Motor Co.      1,450,368  

69,824

   General Motors Co.      2,066,092  

8,535

   Harley-Davidson, Inc.      209,449  

3,077

   Thor Industries, Inc.      293,115  
     

 

 

 

        4,019,024  
     

 

 

 

Banks (6.5%):

  

8,456

   Associated Banc-Corp.      106,715  

431,415

   Bank of America Corp.          10,392,787  

2,200

   Bank of Hawaii Corp.      111,144  

6,813

   Bank OZK      145,253  

1,750

   BOK Financial Corp.      90,143  

      116,432

   Citigroup, Inc.      5,019,384  

23,787

   Citizens Financial Group, Inc.      601,335  

7,764

   Comerica, Inc.      296,973  

5,612

   Commerce Bancshares, Inc.      315,899  

3,124

   Cullen/Frost Bankers, Inc.      199,780  

7,867

   East West Bancorp, Inc.      257,566  

17,991

   F.N.B. Corp.      121,979  

39,702

   Fifth Third Bancorp      846,447  

366

   First Citizens BancShares, Inc., Class A      116,673  
Shares          Fair Value

Common Stocks, continued

  

Banks, continued

  

7,231

   First Hawaiian, Inc.    $ 104,633  

30,445

   First Horizon National Corp.      287,096  

9,507

   First Republic Bank      1,036,833  

56,373

   Huntington Bancshares, Inc.      516,940  

      169,024

   JPMorgan Chase & Co.          16,271,940  

54,226

   KeyCorp      646,916  

7,147

   M&T Bank Corp.      658,167  

6,511

   PacWest Bancorp      111,208  

23,600

   People’s United Financial, Inc.      243,316  

4,122

   Pinnacle Financial Partners, Inc.      146,702  

23,705

   PNC Financial Services Group, Inc. (The)      2,605,417  

4,843

   Popular, Inc.      175,656  

4,981

   Prosperity Bancshares, Inc.      258,165  

53,631

   Regions Financial Corp.      618,365  

2,903

   Signature Bank      240,920  

10,785

   Sterling Bancorp      113,458  

2,869

   SVB Financial Group*      690,339  

8,069

   Synovus Financial Corp.      170,821  

8,418

   TCF Financial Corp.      196,644  

75,290

   Truist Financial Corp.      2,864,785  

75,975

   U.S. Bancorp      2,723,704  

12,274

   Umpqua Holdings Corp.      130,350  

4,995

   Webster Financial Corp.      131,918  

209,963

   Wells Fargo & Co.      4,936,230  

5,485

   Western Alliance Bancorp      173,436  

3,185

   Wintrust Financial Corp.      127,559  

9,010

   Zions Bancorp      263,272  
     

 

 

 

        55,066,868  
     

 

 

 

Beverages (1.2%):

  

312

   Brown-Forman Corp., Class A      21,428  

1,492

   Brown-Forman Corp., Class B      112,377  

89,280

   Coca-Cola Co. (The)      4,407,754  

8,911

   Constellation Brands, Inc., Class C      1,688,724  

21,020

   Keurig Dr Pepper, Inc.      580,152  

9,740

   Molson Coors Brewing Co., Class B      326,874  

20,646

   PepsiCo, Inc.      2,861,536  
     

 

 

 

        9,998,845  
     

 

 

 

Biotechnology (1.1%):

  

5,911

   AbbVie, Inc.      517,744  

3,098

   Agios Pharmaceuticals, Inc.*      108,430  

10,048

   Alexion Pharmaceuticals, Inc.*      1,149,793  

8,806

   Alkermes plc*      145,915  

6,116

   Biogen, Inc.*      1,734,987  

938

   BioMarin Pharmaceutical, Inc.*      71,363  

1,991

   Bluebird Bio, Inc.*      107,414  

1,087

   Exact Sciences Corp.*      110,820  

10,800

   Exelixis, Inc.*      264,060  

70,213

   Gilead Sciences, Inc.      4,436,760  

3,703

   Ionis Pharmaceuticals, Inc.*      175,707  

2,644

   Sage Therapeutics, Inc.*      161,601  

2,421

   United Therapeutics Corp.*      244,521  
     

 

 

 

        9,229,115  
     

 

 

 

Building Products (0.9%):

  

7,405

   A.O. Smith Corp.      390,984  

1,800

   Allegion plc      178,038  

1,675

   Armstrong World Industries, Inc.      115,257  

1,430

   AZEK Co., Inc. (The)*      49,778  

31,080

   Carrier Global Corp.      949,183  

7,686

   Fortune Brands Home & Security, Inc.      664,993  

41,590

   Johnson Controls International plc      1,698,952  

1,930

   Lennox International, Inc.      526,137  

14,669

   Masco Corp.      808,702  

5,966

   Owens Corning      410,520  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Russell 1000 Value Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares          Fair Value

Common Stocks, continued

  

Building Products, continued

  

13,338

   Trane Technologies plc    $ 1,617,233  
     

 

 

 

        7,409,777  
     

 

 

 

Capital Markets (4.0%):

  

2,616

   Affiliated Managers Group, Inc.      178,882  

6,610

   Ameriprise Financial, Inc.      1,018,667  

4,798

   Apollo Global Management, Inc.      214,711  

        44,613

   Bank of New York Mellon Corp. (The)      1,532,010  

8,230

   BlackRock, Inc., Class A+      4,638,018  

5,887

   Carlyle Group, Inc. (The)      145,232  

4,778

   Cboe Global Markets, Inc.      419,222  

64,570

   Charles Schwab Corp. (The)      2,339,371  

19,842

   CME Group, Inc.      3,319,765  

12,348

   E*TRADE Financial Corp.      618,017  

6,179

   Eaton Vance Corp.      235,729  

2,203

   Evercore, Inc., Class A      144,208  

15,119

   Franklin Resources, Inc.      307,672  

18,520

   Goldman Sachs Group, Inc.      3,721,964  

4,024

   Interactive Brokers Group, Inc., Class A      194,480  

19,558

   Intercontinental Exchange, Inc.      1,956,778  

21,041

   Invesco, Ltd.      240,078  

29,744

   KKR & Co., Inc., Class A      1,021,409  

5,627

   Lazard, Ltd., Class A      185,972  

4,035

   LPL Financial Holdings, Inc.      309,363  

61,643

   Morgan Stanley      2,980,439  

177

   Morningstar, Inc.      28,428  

6,388

   Nasdaq, Inc.      783,871  

10,723

   Northern Trust Corp.      836,072  

6,851

   Raymond James Financial, Inc.      498,479  

5,520

   S&P Global, Inc.      1,990,512  

6,436

   SEI Investments Co.      326,434  

19,655

   State Street Corp.      1,166,131  

9,424

   T. Rowe Price Group, Inc.      1,208,345  

14,491

   TD Ameritrade Holding Corp.      567,323  

686

   Tradeweb Markets, Inc., Class A      39,788  

443

   Virtu Financial, Inc., Class A      10,193  
     

 

 

 

            33,177,563  
     

 

 

 

Chemicals (3.1%):

  

10,777

   Air Products & Chemicals, Inc.      3,210,038  

5,890

   Albemarle Corp.      525,859  

3,087

   Ashland Global Holdings, Inc.      218,930  

11,753

   Axalta Coating Systems, Ltd.*      260,564  

3,107

   Cabot Corp.      111,945  

6,576

   Celanese Corp., Series A      706,591  

11,916

   CF Industries Holdings, Inc.      365,940  

9,113

   Chemours Co. (The)      190,553  

41,885

   Corteva, Inc.      1,206,707  

41,462

   Dow, Inc.      1,950,787  

41,080

   DuPont de Nemours, Inc.      2,279,118  

7,569

   Eastman Chemical Co.      591,290  

11,151

   Ecolab, Inc.      2,228,416  

12,108

   Element Solutions, Inc.*      127,255  

5,804

   FMC Corp.      614,702  

11,175

   Huntsman Corp.      248,197  

5,971

   International Flavors & Fragrances, Inc.      731,149  

29,371

   Linde plc      6,994,116  

14,318

   Lyondellbasell Industries NV      1,009,276  

19,274

   Mosaic Co. (The)      352,136  

29

   NewMarket Corp.      9,927  

7,955

   Olin Corp.      98,483  

13,173

   PPG Industries, Inc.      1,608,160  

988

   RPM International, Inc.      81,846  

165

   Scotts Miracle-Gro Co. (The)      25,230  

10,340

   Valvoline, Inc.      196,874  

2,013

   W.R. Grace & Co.      81,104  
Shares          Fair Value

Common Stocks, continued

  

Chemicals, continued

  

1,892

   Westlake Chemical Corp.    $ 119,612  
     

 

 

 

            26,144,805  
     

 

 

 

Commercial Services & Supplies (0.6%):

 

8,980

   ADT, Inc.      73,367  

562

   Cintas Corp.      187,050  

2,871

   Clean Harbors, Inc.*      160,862  

5,710

   IAA, Inc.*      297,320  

1,580

   MSA Safety, Inc.      211,989  

11,719

   Republic Services, Inc., Class A      1,093,969  

1,034

   Rollins, Inc.      56,032  

5,098

   Stericycle, Inc.*      321,480  

20,554

   Waste Management, Inc.      2,326,096  
     

 

 

 

        4,728,165  
     

 

 

 

Communications Equipment (1.5%):

 

583

   Arista Networks, Inc.*      120,640  

8,529

   Ciena Corp.*      338,516  

      236,793

   Cisco Systems, Inc.      9,327,276  

10,113

   CommScope Holding Co., Inc.*      91,017  

2,683

   EchoStar Corp., Class A*      66,780  

3,401

   F5 Networks, Inc.*      417,541  

18,346

   Juniper Networks, Inc.      394,439  

3,728

   Lumentum Holdings, Inc.*      280,085  

8,527

   Motorola Solutions, Inc.      1,337,119  

3,216

   ViaSat, Inc.*      110,598  
     

 

 

 

        12,484,011  
     

 

 

 

Construction & Engineering (0.2%):

 

8,528

   AECOM*      356,812  

6,989

   Jacobs Engineering Group, Inc.      648,369  

6,089

   Quanta Services, Inc.      321,865  

1,169

   Valmont Industries, Inc.      145,166  
     

 

 

 

        1,472,212  
     

 

 

 

Construction Materials (0.2%):

  

2,303

   Eagle Materials, Inc., Class A      198,795  

3,469

   Martin Marietta Materials, Inc.      816,464  

7,378

   Vulcan Materials Co.      1,000,014  
     

 

 

 

        2,015,273  
     

 

 

 

Consumer Finance (1.0%):

  

20,851

   Ally Financial, Inc.      522,735  

36,560

   American Express Co.      3,665,141  

25,290

   Capital One Financial Corp.      1,817,339  

527

   Credit Acceptance Corp.*^      178,463  

17,108

   Discover Financial Services      988,500  

3,626

   Onemain Holdings, Inc.      113,313  

4,212

   Santander Consumer USA Holdings, Inc.      76,616  

16,060

   SLM Corp.      129,925  

32,542

   Synchrony Financial      851,624  
     

 

 

 

        8,343,656  
     

 

 

 

Containers & Packaging (0.6%):

  

73,320

   Amcor plc      810,186  

3,584

   AptarGroup, Inc.      405,709  

1,027

   Ardagh Group SA      14,429  

2,731

   Avery Dennison Corp.      349,131  

1,140

   Ball Corp.      94,757  

4,891

   Berry Global Group, Inc.*      236,333  

6,490

   Crown Holdings, Inc.*      498,821  

12,129

   Graphic Packaging Holding Co.      170,898  

21,951

   International Paper Co.      889,894  

5,228

   Packaging Corp. of America      570,113  

8,673

   Sealed Air Corp.      336,599  

4,388

   Silgan Holdings, Inc.      161,347  

5,589

   Sonoco Products Co.      285,430  

14,318

   WestRock Co.      497,407  
     

 

 

 

        5,321,054  
     

 

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Russell 1000 Value Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares          Fair Value

Common Stocks, continued

  

Distributors (0.1%):

  

7,843

   Genuine Parts Co.    $ 746,419  

16,902

   LKQ Corp.*      468,692  
     

 

 

 

        1,215,111  
     

 

 

 

Diversified Consumer Services (0.2%):

 

985

   Bright Horizons Family Solutions, Inc.*      149,759  

3,974

   Frontdoor, Inc.*      154,628  

230

   Graham Holdings Co., Class B      92,945  

2,603

   Grand Canyon Education, Inc.*      208,084  

3,198

   H&R Block, Inc.      52,095  

9,705

   Service Corp. International      409,358  

7,381

   ServiceMaster Global Holdings, Inc.*      294,354  
     

 

 

 

        1,361,223  
     

 

 

 

Diversified Financial Services (2.9%):

  

      106,948

   Berkshire Hathaway, Inc., Class B*      22,773,507  

22,692

   Equitable Holdings, Inc.      413,902  

12,651

   Jefferies Financial Group, Inc.      227,718  

7,012

   Voya Financial, Inc.      336,085  
     

 

 

 

        23,751,212  
     

 

 

 

Diversified Telecommunication Services (3.1%):

 

397,757

   AT&T, Inc.      11,340,052  

61,066

   CenturyLink, Inc.      616,156  

231,176

   Verizon Communications, Inc.      13,752,660  
     

 

 

 

            25,708,868  
     

 

 

 

Electric Utilities (3.6%):

  

13,942

   Alliant Energy Corp.      720,104  

27,748

   American Electric Power Co., Inc.      2,267,844  

3,163

   Avangrid, Inc.      159,605  

41,068

   Duke Energy Corp.      3,636,982  

19,970

   Edison International      1,015,275  

11,215

   Entergy Corp.      1,105,014  

12,635

   Evergy, Inc.      642,111  

19,130

   Eversource Energy      1,598,312  

54,395

   Exelon Corp.      1,945,165  

30,260

   FirstEnergy Corp.      868,765  

5,969

   Hawaiian Electric Industries, Inc.      198,410  

2,810

   IDACORP, Inc.      224,519  

27,366

   NextEra Energy, Inc.      7,595,706  

11,151

   OGE Energy Corp.      334,418  

71,157

   PG&E Corp.*      668,164  

6,280

   Pinnacle West Capital Corp.      468,174  

43,024

   PPL Corp.      1,170,683  

59,039

   Southern Co. (The)      3,201,095  

29,350

   Xcel Energy, Inc.      2,025,444  
     

 

 

 

        29,845,790  
     

 

 

 

Electrical Equipment (1.0%):

  

2,194

   Acuity Brands, Inc.      224,556  

12,798

   AMETEK, Inc.      1,272,121  

22,352

   Eaton Corp. plc      2,280,575  

33,260

   Emerson Electric Co.      2,180,858  

287

   Generac Holdings, Inc.*      55,575  

3,059

   GrafTech International, Ltd.      20,924  

3,015

   Hubbell, Inc.      412,573  

8,670

   nVent Electric plc      153,372  

2,259

   Regal-Beloit Corp.      212,052  

3,327

   Rockwell Automation, Inc.      734,202  

8,611

   Sensata Technologies Holding plc*      371,479  
     

 

 

 

        7,918,287  
     

 

 

 

Electronic Equipment, Instruments & Components (0.7%):   

6,561

   Amphenol Corp., Class A      710,359  

4,351

   Arrow Electronics, Inc.*      342,250  

5,470

   Avnet, Inc.      141,345  

221

   Coherent, Inc.*      24,516  
Shares          Fair Value

Common Stocks, continued

  
Electronic Equipment, Instruments & Components, continued   

41,864

   Corning, Inc.    $ 1,356,812  

3,101

   Dolby Laboratories, Inc., Class A      205,534  

7,278

   FLIR Systems, Inc.      260,916  

1,850

   IPG Photonics Corp.*      314,445  

6,644

   Jabil, Inc.      227,623  

6,934

   Keysight Technologies, Inc.*      684,941  

1,314

   Littlelfuse, Inc.      233,025  

7,190

   National Instruments Corp.      256,683  

2,317

   SYNNEX Corp.      324,519  

13,883

   Trimble, Inc.*      676,102  

252

   Zebra Technologies Corp., Class A*      63,620  
     

 

 

 

        5,822,690  
     

 

 

 

Energy Equipment & Services (0.3%):

 

36,640

   Baker Hughes Co.      486,946  

48,892

   Halliburton Co.      589,148  

5,830

   Helmerich & Payne, Inc.      85,410  

21,651

   National Oilwell Varco, Inc.      196,158  

77,574

   Schlumberger, Ltd.      1,207,052  
     

 

 

 

        2,564,714  
     

 

 

 

Entertainment (2.1%):

  

25,818

   Activision Blizzard, Inc.      2,089,967  

13,727

   Electronic Arts, Inc.*      1,790,138  

1,395

   Liberty Media Corp-Liberty Formula One, Class A*      46,746  

11,060

   Liberty Media Corp-Liberty Formula One, Class C*      401,146  

3,570

   Lions Gate Entertainment Corp., Class A*      33,844  

6,558

   Lions Gate Entertainment Corp., Class B*      57,185  

986

   Madison Square Garden Entertainment Corp.*      67,531  

1,046

   Madison Square Garden Sports Corp., Class A*      157,402  

471

   Take-Two Interactive Software, Inc.*      77,819  

      100,827

   Walt Disney Co. (The)      12,510,614  

8,763

   Zynga, Inc.*      79,919  
     

 

 

 

            17,312,311  
     

 

 

 

Equity Real Estate Investment Trusts (4.4%):

 

6,991

   Alexandria Real Estate Equities, Inc.      1,118,560  

7,638

   American Campus Communities, Inc.      266,719  

14,485

   American Homes 4 Rent, Class A      412,533  

10,068

   Americold Realty Trust      359,931  

8,261

   Apartment Investment & Management Co.      278,561  

11,696

   Apple Hospitality REIT, Inc.      112,399  

7,857

   AvalonBay Communities, Inc.      1,173,364  

8,683

   Boston Properties, Inc.      697,245  

9,402

   Brandywine Realty Trust      97,217  

16,530

   Brixmor Property Group, Inc.      193,236  

5,264

   Camden Property Trust      468,391  

731

   Coresite Realty Corp.      86,901  

6,264

   Corporate Office Properties Trust      148,582  

8,259

   Cousins Properties, Inc.      236,125  

1,556

   Crown Castle International Corp.      259,074  

10,780

   CubeSmart      348,302  

6,416

   Cyrusone, Inc.      449,312  

14,929

   Digital Realty Trust, Inc.      2,190,979  

9,283

   Douglas Emmett, Inc.      233,003  

20,563

   Duke Realty Corp.      758,775  

8,160

   Empire State Realty Trust, Inc., Class A      49,939  

4,349

   EPR Properties      119,598  

6,512

   Equity Commonwealth      173,415  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Russell 1000 Value Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares          Fair Value

Common Stocks, continued

  

Equity Real Estate Investment Trusts, continued

 

5,725

   Equity Lifestyle Properties, Inc.    $ 350,943  

20,521

   Equity Residential      1,053,343  

3,640

   Essex Property Trust, Inc.      730,876  

2,083

   Extra Space Storage, Inc.      222,860  

4,199

   Federal Realty Investment Trust      308,375  

7,043

   First Industrial Realty Trust, Inc.      280,311  

11,272

   Gaming and Leisure Properties, Inc.      416,275  

12,129

   Healthcare Trust of America, Inc., Class A      315,354  

30,103

   Healthpeak Properties, Inc.      817,296  

5,739

   Highwoods Properties, Inc.      192,658  

39,015

   Host Hotels & Resorts, Inc.      420,972  

8,380

   Hudson Pacific Properties, Inc.      183,773  

31,264

   Invitation Homes, Inc.      875,079  

6,608

   Iron Mountain, Inc.^      177,028  

6,796

   JBG SMITH Properties      181,725  

6,411

   Kilroy Realty Corp.      333,116  

23,048

   Kimco Realty Corp.      259,520  

4,796

   Lamar Advertising Co., Class A      317,351  

2,602

   Life Storage, Inc.      273,913  

29,022

   Medical Properties Trust, Inc.      511,658  

6,357

   Mid-America Apartment Communities, Inc.      737,094  

9,557

   National Retail Properties, Inc.      329,812  

12,555

   Omega Healthcare Investors, Inc.      375,897  

7,522

   Outfront Media, Inc.      109,445  

10,557

   Paramount Group, Inc.      74,744  

13,359

   Parks Hotels & Resorts, Inc.      133,456  

41,150

   ProLogis, Inc.      4,140,512  

2,922

   Public Storage, Inc.      650,788  

7,613

   Rayonier, Inc.      201,288  

19,203

   Realty Income Corp.      1,166,582  

9,403

   Regency Centers Corp.      357,502  

7,015

   Rexford Industrial Realty, Inc.      321,006  

5,341

   SBA Communications Corp.      1,701,002  

3,618

   Simon Property Group, Inc.      234,012  

3,769

   SL Green Realty Corp.^      174,769  

5,739

   Spirit Realty Capital, Inc.      193,691  

12,542

   STORE Capital Corp.      344,027  

5,395

   Sun Communities, Inc.      758,591  

3,348

   Taubman Centers, Inc.      111,455  

16,348

   UDR, Inc.      533,108  

20,836

   Ventas, Inc.      874,279  

60,257

   VEREIT, Inc.      391,671  

29,193

   VICI Properties, Inc.      682,240  

9,791

   Vornado Realty Trust      330,055  

6,767

   Weingarten Realty Investors      114,768  

23,347

   Welltower, Inc.      1,286,186  

41,705

   Weyerhaeuser Co.      1,189,427  

9,549

   WP Carey, Inc.      622,213  
     

 

 

 

            36,594,207  
     

 

 

 

Food & Staples Retailing (1.9%):

 

1,938

   Albertsons Cos., Inc., Class A*^      26,841  

2,054

   Casey’s General Stores, Inc.      364,893  

2,887

   Costco Wholesale Corp.      1,024,885  

1,808

   Grocery Outlet Holding Corp.*      71,091  

      43,228

   Kroger Co. (The)      1,465,861  

880

   Sprouts Farmers Market, Inc.*      18,418  

7,799

   Sysco Corp.      485,254  

12,260

   US Foods Holding Corp.*      272,417  

39,979

   Walgreens Boots Alliance, Inc.      1,436,046  

77,718

   Walmart, Inc.      10,873,526  
     

 

 

 

        16,039,232  
     

 

 

 

Food Products (2.0%):

  

30,934

   Archer-Daniels-Midland Co.      1,438,122  

581

   Beyond Meat, Inc.*^      96,481  
Shares          Fair Value

Common Stocks, continued

  

Food Products, continued

  

7,704

   Bunge, Ltd.    $ 352,073  

4,736

   Campbell Soup Co.      229,080  

27,214

   Conagra Brands, Inc.      971,812  

10,875

   Flowers Foods, Inc.      264,589  

33,909

   General Mills, Inc.      2,091,507  

4,540

   Hain Celestial Group, Inc. (The)*      155,722  

1,878

   Hershey Co. (The)      269,193  

15,580

   Hormel Foods Corp.      761,706  

3,745

   Ingredion, Inc.      283,422  

6,164

   JM Smucker Co. (The)      712,065  

9,262

   Kellogg Co.      598,233  

36,158

   Kraft Heinz Co. (The)      1,082,932  

6,279

   Lamb Weston Holdings, Inc.      416,109  

3,053

   McCormick & Co.      592,587  

78,952

   Mondelez International, Inc., Class A      4,535,792  

1,888

   Pilgrim’s Pride Corp.*      28,254  

3,556

   Post Holdings, Inc.*      305,816  

14

   Seaboard Corp.      39,714  

2,738

   TreeHouse Foods, Inc.*      110,971  

16,052

   Tyson Foods, Inc., Class A      954,773  
     

 

 

 

            16,290,953  
     

 

 

 

Gas Utilities (0.1%):

  

6,764

   Atmos Energy Corp.      646,570  

4,615

   National Fuel Gas Co.      187,323  

11,606

   UGI Corp.      382,766  
     

 

 

 

        1,216,659  
     

 

 

 

Health Care Equipment & Supplies (4.6%):

 

59,541

   Abbott Laboratories      6,479,847  

16,535

   Baxter International, Inc.      1,329,745  

15,352

   Becton Dickinson & Co.      3,572,103  

79,396

   Boston Scientific Corp.*      3,033,721  

2,390

   Cooper Cos., Inc. (The)      805,717  

35,007

   Danaher Corp.      7,538,057  

12,201

   Dentsply Sirona, Inc.      533,550  

8,904

   Envista Holdings Corp.*      219,751  

4,136

   Globus Medical, Inc., Class A*      204,815  

292

   Haemonetics Corp.*      25,477  

3,285

   Hill-Rom Holdings, Inc.      274,330  

4,323

   Hologic, Inc.*      287,350  

793

   ICU Medical, Inc.*      144,929  

3,982

   Integra LifeSciences Holdings Corp.*      188,030  

75,009

   Medtronic plc      7,794,935  

4,443

   Steris plc      782,812  

13,053

   Stryker Corp.      2,719,854  

422

   Tandem Diabetes Care, Inc.*      47,897  

962

   Teleflex, Inc.      327,484  

4,426

   Varian Medical Systems, Inc.*      761,272  

11,567

   Zimmer Biomet Holdings, Inc.      1,574,731  
     

 

 

 

        38,646,407  
     

 

 

 

Health Care Providers & Services (2.5%):

 

4,903

   Acadia Healthcare Co., Inc.*      144,540  

4,230

   AmerisourceBergen Corp.      409,972  

10,484

   Anthem, Inc.      2,815,898  

22,626

   Centene Corp.*      1,319,775  

14,772

   Cigna Corp.      2,502,525  

73,095

   CVS Health Corp.      4,268,748  

3,854

   DaVita, Inc.*      330,095  

2,771

   Encompass Health Corp.      180,060  

7,135

   HCA Healthcare, Inc.      889,592  

7,957

   Henry Schein, Inc.*      467,712  

4,573

   Humana, Inc.      1,892,719  

5,116

   Laboratory Corp. of America Holdings*      963,189  

2,301

   McKesson Corp.      342,688  

1,009

   Molina Healthcare, Inc.*      184,687  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Russell 1000 Value Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares          Fair Value

Common Stocks, continued

  

Health Care Providers & Services, continued

 

614

   Oak Street Health, Inc.*    $ 32,812  

3,206

   Premier, Inc., Class A      105,253  

7,462

   Quest Diagnostics, Inc.      854,324  

8,869

   UnitedHealth Group, Inc.      2,765,088  

4,110

   Universal Health Services, Inc., Class B      439,852  
     

 

 

 

            20,909,529  
     

 

 

 

Health Care Technology (0.0%):

  

3,584

   Change Healthcare, Inc.*      52,004  

396

   Teladoc Health, Inc.*      86,819  
     

 

 

 

        138,823  
     

 

 

 

Hotels, Restaurants & Leisure (2.5%):

 

12,738

   Aramark      336,920  

26,267

   Carnival Corp., Class A^      398,733  

1,941

   Choice Hotels International, Inc.      166,848  

7,259

   Darden Restaurants, Inc.      731,272  

677

   Dunkin’ Brands Group, Inc.      55,453  

9,874

   Extended Stay America, Inc.      117,994  

15,241

   Hilton Worldwide Holdings, Inc.      1,300,362  

1,950

   Hyatt Hotels Corp., Class A      104,072  

10,623

   Las Vegas Sands Corp.      495,669  

15,006

   Marriott International, Inc., Class A      1,389,255  

35,676

   McDonald’s Corp.      7,830,526  

26,271

   MGM Resorts International      571,394  

15,741

   Norwegian Cruise Line Holdings, Ltd.*^      269,329  

1,932

   Planet Fitness, Inc., Class A*      119,050  

9,915

   Royal Caribbean Cruises, Ltd.      641,798  

4,260

   Six Flags Entertainment Corp.      86,478  

27,645

   Starbucks Corp.      2,375,258  

2,051

   Vail Resorts, Inc.      438,852  

4,687

   Wyndham Destinations, Inc.      144,172  

5,117

   Wyndham Hotels & Resorts, Inc.      258,409  

4,114

   Wynn Resorts, Ltd.      295,426  

20,814

   Yum China Holdings, Inc.      1,102,101  

15,569

   Yum! Brands, Inc.      1,421,450  
     

 

 

 

        20,650,821  
     

 

 

 

Household Durables (0.8%):

  

18,454

   D.R. Horton, Inc.      1,395,677  

8,348

   Garmin, Ltd.      791,891  

7,367

   Leggett & Platt, Inc.      303,299  

15,107

   Lennar Corp., Class A      1,233,940  

928

   Lennar Corp., Class B      60,932  

3,241

   Mohawk Industries, Inc.*      316,289  

21,432

   Newell Brands, Inc.      367,773  

168

   NVR, Inc.*      685,964  

14,927

   PulteGroup, Inc.      690,971  

513

   Tempur Sealy International, Inc.*      45,754  

6,460

   Toll Brothers, Inc.      314,344  

3,404

   Whirlpool Corp.      625,962  
     

 

 

 

        6,832,796  
     

 

 

 

Household Products (2.1%):

  

2,050

   Clorox Co. (The)      430,849  

47,112

   Colgate-Palmolive Co.      3,634,691  

846

   Energizer Holdings, Inc.      33,112  

18,981

   Kimberly-Clark Corp.      2,802,734  

75,158

   Procter & Gamble Co. (The)      10,446,211  

1,633

   Reynolds Consumer Products, Inc.      50,002  

2,366

   Spectrum Brands Holdings, Inc.      135,241  
     

 

 

 

        17,532,840  
     

 

 

 

Independent Power and Renewable Electricity Producers (0.2%):   

36,901

   AES Corp. (The)      668,277  

8,863

   NRG Energy, Inc.      272,449  
Shares          Fair Value

Common Stocks, continued

  
Independent Power and Renewable Electricity Producers, continued   

27,229

   Vistra Energy Corp.    $ 513,539  
     

 

 

 

        1,454,265  
     

 

 

 

Industrial Conglomerates (1.6%):

 

10,684

   3M Co.      1,711,363  

3,015

   Carlisle Cos., Inc.      368,946  

485,885

   General Electric Co.      3,027,064  

39,263

   Honeywell International, Inc.      6,463,081  

5,014

   Roper Technologies, Inc.      1,981,082  
     

 

 

 

            13,551,536  
     

 

 

 

Insurance (3.4%):

  

39,663

   Aflac, Inc.      1,441,750  

704

   Alleghany Corp.      366,397  

17,514

   Allstate Corp. (The)      1,648,769  

4,114

   American Financial Group, Inc.      275,556  

48,159

   American International Group, Inc.      1,325,817  

412

   American National Group , Inc.      27,822  

22,057

   Arch Capital Group, Ltd.*      645,168  

10,509

   Arthur J. Gallagher & Co.      1,109,540  

3,326

   Assurant, Inc.      403,477  

4,683

   Assured Guaranty, Ltd.      100,591  

6,446

   Athene Holding, Ltd., Class A*      219,680  

4,217

   Axis Capital Holdings, Ltd.      185,717  

5,486

   Brighthouse Financial, Inc.*      147,628  

12,456

   Brown & Brown, Inc.      563,883  

25,127

   Chubb, Ltd.      2,917,748  

8,356

   Cincinnati Financial Corp.      651,517  

1,566

   CNA Financial Corp.      46,964  

600

   Erie Indemnity Co., Class A      126,168  

2,232

   Everest Re Group, Ltd.      440,909  

15,340

   Fidelity National Financial, Inc.      480,295  

6,053

   First American Financial Corp.      308,158  

5,854

   Globe Life, Inc.      467,735  

2,035

   GoHealth, Inc., Class A*^      26,506  

2,113

   Hanover Insurance Group, Inc. (The)      196,889  

19,957

   Hartford Financial Services Group, Inc. (The)      735,615  

3,221

   Kemper Corp.      215,259  

524

   Lemonade, Inc.*^      26,053  

9,416

   Lincoln National Corp.      295,003  

13,369

   Loews Corp.      464,573  

754

   Markel Corp.*      734,170  

6,308

   Marsh & McLennan Cos., Inc.      723,528  

1,523

   Mercury General Corp.      63,007  

42,979

   MetLife, Inc.      1,597,529  

15,793

   Old Republic International Corp.      232,789  

766

   Primerica, Inc.      86,665  

15,160

   Principal Financial Group, Inc.      610,493  

23,263

   Progressive Corp. (The)      2,202,309  

22,098

   Prudential Financial, Inc.      1,403,665  

3,780

   Reinsurance Group of America, Inc.      359,818  

1,808

   RenaissanceRe Holdings, Ltd.      306,890  

14,125

   Travelers Cos., Inc. (The)      1,528,184  

11,345

   Unum Group      190,936  

168

   White Mountains Insurance Group, Ltd.      130,872  

7,184

   Willis Towers Watson plc      1,500,163  

7,771

   WR Berkley Corp.      475,197  
     

 

 

 

        28,007,402  
     

 

 

 

Interactive Media & Services (1.7%):

 

3,760

   Alphabet, Inc., Class A*      5,510,656  

3,712

   Alphabet, Inc., Class C*      5,455,155  

3,813

   Pinterest, Inc., Class A*      158,278  

5,609

   TripAdvisor, Inc.      109,880  

42,947

   Twitter, Inc.*      1,911,142  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Russell 1000 Value Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares          Fair Value

Common Stocks, continued

  

Interactive Media & Services, continued

 

2,858

   Zillow Group, Inc., Class A*    $ 290,201  

7,000

   Zillow Group, Inc., Class C*      711,130  
     

 

 

 

            14,146,442  
     

 

 

 

Internet & Direct Marketing Retail (0.2%):

 

3,207

   eBay, Inc.      167,085  

6,701

   Expedia Group, Inc.      614,415  

4,639

   Grubhub, Inc.*      335,539  

21,245

   Qurate Retail, Inc., Class A      152,539  

323

   Wayfair, Inc., Class A*^      93,996  
     

 

 

 

        1,363,574  
     

 

 

 

IT Services (2.8%):

  

1,571

   Akamai Technologies, Inc.*      173,658  

2,611

   Alliance Data Systems Corp.      109,610  

7,402

   Amdocs, Ltd.      424,949  

3,364

   Automatic Data Processing, Inc.      469,244  

1,162

   CACI International, Inc., Class A*      247,692  

28,043

   Cognizant Technology Solutions Corp., Class A      1,946,745  

4,193

   CoreLogic, Inc.      283,740  

14,150

   DXC Technology Co.      252,578  

2,805

   Euronet Worldwide, Inc.*      255,536  

34,522

   Fidelity National Information Services, Inc.      5,081,984  

21,995

   Fiserv, Inc.*      2,266,585  

6,397

   Genpact, Ltd.      249,163  

16,639

   Global Payments, Inc.      2,954,754  

49,679

   International Business Machines Corp.      6,044,443  

923

   Jack Henry & Associates, Inc.      150,071  

6,781

   Leidos Holdings, Inc.      604,526  

3,763

   Paychex, Inc.      300,175  

13,838

   Sabre Corp.      90,085  

2,820

   Science Applications International Corp.      221,144  

1,702

   Teradata Corp.*      38,635  

1,316

   Twilio, Inc., Class A*      325,170  

2,323

   VeriSign, Inc.*      475,867  

18,445

   Western Union Co.      395,276  

2,208

   WEX, Inc.*      306,846  
     

 

 

 

        23,668,476  
     

 

 

 

Leisure Products (0.2%):

  

4,401

   Brunswick Corp.      259,263  

7,099

   Hasbro, Inc.      587,229  

7,420

   Mattel, Inc.*      86,814  

4,131

   Peloton Interactive, Inc., Class A*      409,960  

2,908

   Polaris, Inc.      274,341  
     

 

 

 

        1,617,607  
     

 

 

 

Life Sciences Tools & Services (1.2%):

 

15,788

   Agilent Technologies, Inc.      1,593,640  

1,178

   Bio-Rad Laboratories, Inc., Class A*      607,212  

120

   Bio-Techne Corp.      29,728  

3,313

   Bruker Corp.      131,692  

311

   Charles River Laboratories International, Inc.*      70,426  

6,593

   IQVIA Holdings, Inc.*      1,039,255  

79

   Mettler-Toledo International, Inc.*      76,294  

5,007

   PerkinElmer, Inc.      628,429  

1,125

   PPD, Inc.*      41,614  

525

   PRA Health Sciences, Inc.*      53,256  

12,551

   Qiagen NV*      655,915  

3,117

   Syneos Health, Inc.*      165,700  

9,121

   Thermo Fisher Scientific, Inc.      4,027,103  

3,163

   Waters Corp.*      618,936  
     

 

 

 

        9,739,200  
     

 

 

 

Shares          Fair Value

Common Stocks, continued

  

Machinery (3.2%):

  

3,447

   AGCO Corp.    $ 256,009  

2,213

   Allison Transmission Holdings, Inc.      77,765  

30,274

   Caterpillar, Inc.      4,515,366  

5,528

   Colfax Corp.*      173,358  

2,715

   Crane Co.      136,103  

8,231

   Cummins, Inc.      1,738,058  

15,763

   Deere & Co.      3,493,553  

6,354

   Donaldson Co., Inc.      294,953  

8,021

   Dover Corp.      868,995  

7,259

   Flowserve Corp.      198,098  

16,608

   Fortive Corp.      1,265,696  

2,489

   Gates Industrial Corp. plc*      27,678  

4,608

   Graco, Inc.      282,701  

4,204

   IDEX Corp.      766,852  

9,801

   Illinois Tool Works, Inc.      1,893,650  

19,341

   Ingersoll-Rand, Inc.*      688,540  

4,823

   ITT, Inc.      284,798  

1,828

   Lincoln Electric Holdings, Inc.      168,249  

3,074

   Middleby Corp. (The)*      275,769  

587

   Nordson Corp.      112,598  

3,779

   Oshkosh Corp.      277,757  

22,788

   Otis Worldwide Corp.      1,422,427  

18,940

   PACCAR, Inc.      1,615,203  

7,149

   Parker Hannifin Corp.      1,446,529  

9,211

   Pentair plc      421,587  

3,002

   Snap-On, Inc.      441,684  

8,609

   Stanley Black & Decker, Inc.      1,396,380  

3,534

   Timken Co.      191,613  

579

   Toro Co. (The)      48,607  

5,065

   Trinity Industries, Inc.      98,768  

10,101

   Wabtec Corp.      625,050  

3,105

   Woodward, Inc.      248,897  

9,984

   Xylem, Inc.      839,854  
     

 

 

 

            26,593,145  
     

 

 

 

Marine (0.0%):

  

3,324

   Kirby Corp.*      120,229  
     

 

 

 

Media (2.2%):

  

811

   Charter Communications, Inc., Class A*      506,340  

252,766

   Comcast Corp., Class A      11,692,954  

18,172

   Discovery Communications, Inc., Class C*      356,171  

8,708

   Discovery, Inc., Class A*^      189,573  

13,713

   DISH Network Corp., Class A*      398,088  

18,930

   Fox Corp., Class A      526,822  

8,929

   Fox Corp., Class B      249,744  

5,506

   GCI Liberty, Inc., Class A*      451,272  

21,683

   Interpublic Group of Cos., Inc. (The)      361,456  

2,407

   John Wiley & Sons, Inc., Class A      76,326  

1,380

   Liberty Broadband Corp., Class A*      195,698  

5,859

   Liberty Broadband Corp., Class C*      837,075  

8,558

   Liberty Media Corp.-Liberty SiriusXM, Class C*      283,099  

4,093

   Liberty SiriusXM Group, Class A*      135,765  

8,871

   New York Times Co. (The), Class A      379,590  

21,652

   News Corp., Class A      303,561  

6,593

   News Corp., Class B      92,170  

703

   Nexstar Media Group, Inc., Class A      63,221  

11,869

   Omnicom Group, Inc.      587,516  

26,190

   Sirius XM Holdings, Inc.^      140,378  

519

   ViacomCBS, Inc., Class A      15,721  

30,289

   ViacomCBS, Inc., Class B      848,395  
     

 

 

 

        18,690,935  
     

 

 

 

Metals & Mining (0.7%):

  

80,956

   Freeport-McMoRan, Inc.      1,266,152  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Russell 1000 Value Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares          Fair Value

Common Stocks, continued

  

Metals & Mining, continued

  

44,872

   Newmont Corp.    $ 2,847,128  

16,821

   Nucor Corp.      754,590  

3,539

   Reliance Steel & Aluminum Co.      361,120  

1,039

   Royal Gold, Inc.      124,857  

4,604

   Southern Copper Corp.      208,423  

11,310

   Steel Dynamics, Inc.      323,805  
     

 

 

 

        5,886,075  
     

 

 

 

Mortgage Real Estate Investment Trusts (0.2%):

 

29,925

   AGNC Investment Corp.      416,257  

76,241

   Annaly Capital Management, Inc.      542,836  

23,119

   New Residential Investment Corp.      183,796  

15,249

   Starwood Property Trust, Inc.      230,107  
     

 

 

 

        1,372,996  
     

 

 

 

Multiline Retail (0.6%):

  

6,840

   Dollar Tree, Inc.*      624,766  

8,643

   Kohl’s Corp.      160,155  

6,090

   Nordstrom, Inc.^      72,593  

325

   Ollie’s Bargain Outlet Holdings, Inc.*      28,389  

27,942

   Target Corp.      4,398,629  
     

 

 

 

        5,284,532  
     

 

 

 

Multi-Utilities (1.8%):

  

13,747

   Ameren Corp.      1,087,113  

28,114

   CenterPoint Energy, Inc.      544,006  

15,948

   CMS Energy Corp.      979,367  

18,707

   Consolidated Edison, Inc.      1,455,405  

46,877

   Dominion Energy, Inc.      3,700,001  

10,725

   DTE Energy Co.      1,233,804  

11,124

   MDU Resources Group, Inc.      250,290  

21,363

   NiSource, Inc.      469,986  

28,212

   Public Service Enterprise Group, Inc.      1,549,121  

16,043

   Sempra Energy      1,898,849  

17,637

   WEC Energy Group, Inc.      1,709,025  
     

 

 

 

            14,876,967  
     

 

 

 

Oil, Gas & Consumable Fuels (3.7%):

  

15,671

   Antero Midstream Corp.      84,153  

21,070

   Apache Corp.      199,533  

21,879

   Cabot Oil & Gas Corp.      379,819  

104,541

   Chevron Corp.      7,526,952  

5,604

   Cimarex Energy Co.      136,345  

10,891

   Concho Resources, Inc.      480,511  

60,041

   ConocoPhillips Co.      1,971,746  

4,172

   Continental Resources, Inc.^      51,232  

21,306

   Devon Energy Corp.      201,555  

8,792

   Diamondback Energy, Inc.      264,815  

32,539

   EOG Resources, Inc.      1,169,452  

14,226

   EQT Corp.      183,942  

20,674

   Equitrans Midstream Corp.      174,902  

235,979

   Exxon Mobil Corp.      8,101,160  

15,329

   Hess Corp.      627,416  

8,332

   HollyFrontier Corp.      164,224  

108,672

   Kinder Morgan, Inc.      1,339,926  

43,971

   Marathon Oil Corp.      179,841  

36,137

   Marathon Petroleum Corp.      1,060,260  

8,113

   Murphy Oil Corp.      72,368  

26,570

   Noble Energy, Inc.      227,174  

47,536

   Occidental Petroleum Corp.      475,835  

24,487

   ONEOK, Inc.      636,172  

16,794

   Parsley Energy, Inc., Class A      157,192  

24,375

   Phillips 66      1,263,600  

9,165

   Pioneer Natural Resources Co.      788,098  

12,854

   Targa Resources Corp.      180,342  

22,764

   Valero Energy Corp.      986,136  

67,894

   Williams Cos., Inc.      1,334,117  

22,436

   WPX Energy, Inc.*      109,936  
     

 

 

 

        30,528,754  
     

 

 

 

Shares          Fair Value

Common Stocks, continued

  

Personal Products (0.1%):

  

16,080

   Coty, Inc., Class A    $ 43,416  

1,312

   Estee Lauder Co., Inc. (The), Class A      286,344  

4,094

   Herbalife Nutrition, Ltd.*      190,985  

2,863

   Nu Skin Enterprises, Inc., Class A      143,408  
     

 

 

 

        664,153  
     

 

 

 

Pharmaceuticals (4.8%):

  

80,645

   Bristol-Myers Squibb Co.      4,862,087  

9,105

   Catalent, Inc.*      779,934  

22,311

   Elanco Animal Health, Inc.*      623,146  

750

   Horizon Therapeutics plc*      58,260  

3,018

   Jazz Pharmaceuticals plc*      430,337  

127,442

   Johnson & Johnson Co.      18,973,565  

17,800

   Merck & Co., Inc.      1,476,510  

28,779

   Mylan NV*      426,793  

9,466

   Nektar Therapeutics*      157,041  

7,623

   Perrigo Co. plc      349,972  

310,206

   Pfizer, Inc.      11,384,560  

2,460

   Royalty Pharma plc, Class A      103,492  

2,525

   Zoetis, Inc.      417,559  
     

 

 

 

            40,043,256  
     

 

 

 

Professional Services (0.3%):

  

1,835

   Dun & Bradstreet Holdings, Inc.*^      47,086  

1,742

   Equifax, Inc.      273,320  

2,038

   FTI Consulting, Inc.*      215,967  

10,085

   IHS Markit, Ltd.      791,773  

3,231

   ManpowerGroup, Inc.      236,929  

19,884

   Nielsen Holdings plc      281,955  

6,230

   Robert Half International, Inc.      329,816  

944

   TransUnion      79,419  
     

 

 

 

        2,256,265  
     

 

 

 

Real Estate Management & Development (0.2%):

 

18,623

   CBRE Group, Inc., Class A*      874,722  

2,176

   Howard Hughes Corp. (The)*      125,338  

2,874

   Jones Lang LaSalle, Inc.      274,927  
     

 

 

 

        1,274,987  
     

 

 

 

Road & Rail (1.6%):

  

498

   AMERCO, Inc.      177,278  

42,634

   CSX Corp.      3,311,383  

3,417

   J.B. Hunt Transport Services, Inc.      431,840  

5,293

   Kansas City Southern      957,133  

6,975

   Knight-Swift Transportation Holdings, Inc.      283,883  

400

   Landstar System, Inc.      50,196  

13,304

   Lyft, Inc., Class A*      366,525  

14,307

   Norfolk Southern Corp.      3,061,555  

751

   Old Dominion Freight Line, Inc.      135,871  

2,924

   Ryder System, Inc.      123,510  

3,290

   Schneider National, Inc., Class B      81,362  

17,610

   Uber Technologies, Inc.*      642,413  

18,602

   Union Pacific Corp.      3,662,175  
     

 

 

 

        13,285,124  
     

 

 

 

Semiconductors & Semiconductor Equipment (3.3%):

 

4,564

   Advanced Micro Devices, Inc.*      374,202  

18,072

   Analog Devices, Inc.      2,109,725  

1,135

   Broadcom, Inc.      413,503  

3,259

   Cirrus Logic, Inc.*      219,820  

6,039

   Cree, Inc.*      384,926  

436

   Entegris, Inc.      32,412  

4,639

   First Solar, Inc.*      307,102  

236,443

   Intel Corp.      12,243,018  

36,806

   Marvell Technology Group, Ltd.      1,461,198  

9,902

   Maxim Integrated Products, Inc.      669,474  

3,277

   Microchip Technology, Inc.      336,745  

62,172

   Micron Technology, Inc.*      2,919,597  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Russell 1000 Value Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares          Fair Value

Common Stocks, continued

  
Semiconductors & Semiconductor Equipment, continued   

752

   MKS Instruments, Inc.    $ 82,141  

22,645

   ON Semiconductor Corp.*      491,170  

6,242

   Qorvo, Inc.*      805,280  

9,311

   Skyworks Solutions, Inc.      1,354,751  

25,768

   Texas Instruments, Inc.      3,679,413  
     

 

 

 

            27,884,477  
     

 

 

 

Software (0.7%):

  

2,445

   2u, Inc.*      82,788  

304

   Aspen Technology, Inc.*      38,483  

4,094

   Autodesk, Inc.*      945,756  

5,933

   CDK Global, Inc.      258,619  

1,759

   Ceridian HCM Holding, Inc.*      145,381  

5,008

   Citrix Systems, Inc.      689,652  

2,305

   Crowdstrike Holdings, Inc., Class A*      316,523  

9,466

   FireEye, Inc.*      116,858  

3,755

   Guidewire Software, Inc.*      391,534  

790

   Jamf Holding Corp.*^      29,712  

452

   Manhattan Associates, Inc.*      43,161  

15,689

   Nuance Communications, Inc.*      520,718  

12,619

   Oracle Corp.      753,354  

289

   Pegasystems, Inc.      34,981  

733

   RealPage, Inc.*      42,250  

3,535

   salesforce.com, Inc.*      888,416  

2,959

   SolarWinds Corp.*      60,186  

9,920

   SS&C Technologies Holdings, Inc.      600,358  

602

   Synopsys, Inc.*      128,816  
     

 

 

 

        6,087,546  
     

 

 

 

Specialty Retail (1.8%):

  

3,717

   Advance Auto Parts, Inc.      570,560  

3,282

   AutoNation, Inc.*      173,716  

533

   AutoZone, Inc.*      627,682  

10,436

   Best Buy Co, Inc.      1,161,422  

384

   Burlington Stores, Inc.*      79,139  

8,398

   CarMax, Inc.*      771,860  

3,440

   Dick’s Sporting Goods, Inc.      199,107  

5,773

   Foot Locker, Inc.      190,682  

10,185

   Gap, Inc. (The)      173,451  

30,035

   Home Depot, Inc. (The)      8,341,020  

12,794

   L Brands, Inc.      406,977  

1,776

   Penske Automotive Group, Inc.      84,644  

3,726

   Ross Stores, Inc.      347,710  

6,760

   Tiffany & Co.      783,146  

12,728

   TJX Cos., Inc. (The)      708,313  

210

   Ulta Beauty, Inc.*      47,036  

3,588

   Williams-Sonoma, Inc.      324,499  
     

 

 

 

        14,990,964  
     

 

 

 

Technology Hardware, Storage & Peripherals (0.5%):

 

12,938

   Dell Technologies, Inc., Class C*      875,773  

72,012

   Hewlett Packard Enterprise Co.      674,752  

79,920

   HP, Inc.      1,517,681  

7,093

   NCR Corp.*      157,039  

5,659

   NetApp, Inc.      248,091  

5,755

   Pure Storage, Inc., Class A*      88,569  

16,746

   Western Digital Corp.      612,066  

10,093

   Xerox Holdings Corp.      189,446  
     

 

 

 

        4,363,417  
     

 

 

 

Textiles, Apparel & Luxury Goods (0.4%):

 

7,919

   Capri Holdings, Ltd.*      142,542  

2,390

   Carter’s, Inc.      206,926  

1,607

   Columbia Sportswear Co.      139,777  

19,348

   Hanesbrands, Inc.      304,731  

3,919

   PVH Corp.      233,729  

2,665

   Ralph Lauren Corp.      181,140  

Contracts,

Shares,

Notional

Amount or

Principal

Amount

         Fair Value

Common Stocks, continued

  

Textiles, Apparel & Luxury Goods, continued

 

7,463

   Skechers U.S.A., Inc., Class A*    $ 225,532  

15,431

   Tapestry, Inc.      241,187  

10,506

   Under Armour, Inc., Class A*      117,982  

10,576

   Under Armour, Inc., Class C*      104,068  

16,736

   VF Corp.      1,175,704  
     

 

 

 

        3,073,318  
     

 

 

 

Thrifts & Mortgage Finance (0.1%):

  

18,844

   MGIC Investment Corp.      166,958  

25,097

   New York Community Bancorp, Inc.      207,553  

2,465

   Rocket Cos., Inc., Class A*^      49,127  

2,725

   TFS Financial Corp.      40,030  
     

 

 

 

        463,668  
     

 

 

 

Tobacco (1.1%):

  

58,647

   Altria Group, Inc.      2,266,120  

87,011

   Philip Morris International, Inc.      6,524,955  
     

 

 

 

        8,791,075  
     

 

 

 

Trading Companies & Distributors (0.3%):

  

5,942

   Air Lease Corp.      174,814  

6,042

   Fastenal Co.      272,434  

8,980

   HD Supply Holdings, Inc.*      370,335  

2,493

   MSC Industrial Direct Co., Inc., Class A      157,757  

4,019

   United Rentals, Inc.*      701,315  

9,306

   Univar Solutions, Inc.*      157,085  

661

   W.W. Grainger, Inc.      235,825  

1,818

   Watsco, Inc.      423,394  
     

 

 

 

        2,492,959  
     

 

 

 

Transportation Infrastructure (0.0%):

  

4,097

   Macquarie Infrastructure Corp.      110,168  
     

 

 

 

Water Utilities (0.2%):

  

10,118

   American Water Works Co., Inc.      1,465,895  

12,482

   Essential Utilities, Inc.      502,401  
     

 

 

 

        1,968,296  
     

 

 

 

Wireless Telecommunication Services (0.4%):

 

5,613

   Telephone & Data Systems, Inc.      103,504  

30,688

   T-Mobile USA, Inc.*      3,509,480  

614

   United States Cellular Corp.*      18,131  
     

 

 

 

        3,631,115  
     

 

 

 

Total Common Stocks (Cost $746,520,783)

         828,631,605  
  

 

 

 

Short-Term Securities Held as Collateral for Securities on Loan (0.3%):   

2,374,900

   BlackRock Liquidity FedFund, Institutional Class , 1.81%(a)(b)      2,374,900  
     

 

 

 

Total Short-Term Securities Held as Collateral for Securities on Loan (Cost $2,374,900)

     2,374,900  
  

 

 

 

Unaffiliated Investment Companies (0.5%):

 

Money Markets (0.5%):

  

4,215,617

   Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(b)      4,215,617  
     

 

 

 

Total Unaffiliated Investment Companies
(Cost $4,215,617)

     4,215,617  
  

 

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Russell 1000 Value Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,

Shares,

Notional

Amount or

Principal

Amount

         Fair Value  

         Total Investment Securities

         (Cost $753,111,300) - 100.2%

     $835,222,122  

         Net other assets (liabilities) - (0.2)%

     (1,868,347)  
     

 

 

 

         Net Assets - 100.0%

         $833,353,775  
     

 

 

 

Percentages indicated are based on net assets as of September 30, 2020.

REIT        -     Real Estate Investment Trust

 

*

Non-income producing security.

^

This security or a partial position of this security was on loan as of September 30, 2020. The total value of securities on loan as of September 30, 2020 was $2,336,656.

+

Affiliated Securities

Represents less than 0.05%.

(a)

Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before September 30, 2020.

(b)

The rate represents the effective yield at September 30, 2020.

    

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Russell 1000 Value Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Futures Contracts

At September 30, 2020, the Fund’s open futures contracts were as follows:

Long Futures    

 

Description   

Expiration

Date

    

Number of

Contracts

    

Notional

      Amount      

    

Value and

Unrealized

Appreciation/

      (Depreciation)      

 

 

 

S&P 500 Index E-Mini December Futures (U.S. Dollar)

     12/18/20        32      $ 5,363,200      $ 43,682        
           

 

 

 
            $ 43,682        
           

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL S&P 500 Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares         Fair Value

Common Stocks (99.4%):

  

Aerospace & Defense (1.6%):

  
49,509   Boeing Co. (The)    $ 8,181,857  
21,554   General Dynamics Corp.      2,983,720  
35,739   Howmet Aerospace, Inc.*      597,556  
3,882   Huntington Ingalls Industries, Inc.      546,392  
20,080   L3harris Technologies, Inc.      3,410,387  
22,980   Lockheed Martin Corp.      8,807,775  
14,481   Northrop Grumman Corp.      4,568,611  
142,523   Raytheon Technologies Corp.      8,200,773  
3,501   Teledyne Technologies, Inc.*      1,086,045  
21,177   Textron, Inc.      764,278  
5,049   TransDigm Group, Inc.      2,398,881  
    

 

 

 

             41,546,275  
    

 

 

 

Air Freight & Logistics (0.7%):

  
12,868   C.H. Robinson Worldwide, Inc.      1,314,981  
15,757   Expeditors International of Washington, Inc.      1,426,324  
22,491   FedEx Corp.      5,656,936  
65,985   United Parcel Service, Inc., Class B      10,995,080  
    

 

 

 

       19,393,321  
    

 

 

 

Airlines (0.2%):

  
11,606   Alaska Air Group, Inc.      425,128  
47,056   American Airlines Group, Inc.^      578,318  
59,508   Delta Air Lines, Inc.      1,819,755  
55,056   Southwest Airlines Co.      2,064,599  
27,034   United Airlines Holdings, Inc.*      939,432  
    

 

 

 

       5,827,232  
    

 

 

 

Auto Components (0.1%):

  
25,379   Aptiv plc      2,326,746  
19,690   BorgWarner, Inc.      762,791  
    

 

 

 

       3,089,537  
    

 

 

 

Automobiles (0.2%):

  
360,520   Ford Motor Co.      2,401,063  
117,178   General Motors Co.      3,467,297  
    

 

 

 

       5,868,360  
    

 

 

 

Banks (3.3%):

  
711,697   Bank of America Corp.      17,144,781  
194,241   Citigroup, Inc.      8,373,730  
39,816   Citizens Financial Group, Inc.      1,006,548  
11,886   Comerica, Inc.      454,640  
67,405   Fifth Third Bancorp      1,437,075  
16,235   First Republic Bank      1,770,589  
94,878   Huntington Bancshares, Inc.      870,031  
284,476   JPMorgan Chase & Co.      27,386,504  
92,353   KeyCorp      1,101,771  
11,511   M&T Bank Corp.      1,060,048  
40,728   People’s United Financial, Inc.      419,906  
39,489   PNC Financial Services Group, Inc. (The)      4,340,236  
91,331   Regions Financial Corp.      1,053,046  
4,923   SVB Financial Group*      1,184,572  
125,644   Truist Financial Corp.      4,780,754  
127,666   U.S. Bancorp      4,576,826  
383,702   Wells Fargo & Co.      9,020,834  
15,380   Zions Bancorp      449,404  
    

 

 

 

       86,431,295  
    

 

 

 

Beverages (1.7%):

  
17,393   Brown-Forman Corp., Class B      1,310,041  
360,753   Coca-Cola Co. (The)      17,810,376  
15,563   Constellation Brands, Inc., Class C      2,949,344  
18,063   Molson Coors Brewing Co., Class B      606,194  
34,283   Monster Beverage Corp.*      2,749,497  
129,245   PepsiCo, Inc.      17,913,356  
    

 

 

 

       43,338,808  
    

 

 

 

Shares         Fair Value

Common Stocks, continued

  

Biotechnology (2.1%):

  
164,662   AbbVie, Inc.    $ 14,422,745  
20,347   Alexion Pharmaceuticals, Inc.*      2,328,307  
54,677   Amgen, Inc.      13,896,706  
14,768   Biogen, Inc.*      4,189,386  
117,031   Gilead Sciences, Inc.      7,395,189  
17,082   Incyte Corp.*      1,532,939  
9,744   Regeneron Pharmaceuticals, Inc.*      5,454,496  
24,300   Vertex Pharmaceuticals, Inc.*      6,612,516  
    

 

 

 

       55,832,284  
    

 

 

 

Building Products (0.5%):

  
12,638   A.O. Smith Corp.      667,286  
8,842   Allegion plc      874,562  
77,088   Carrier Global Corp.      2,354,268  
12,460   Fortune Brands Home & Security, Inc.      1,078,039  
68,905   Johnson Controls International plc      2,814,770  
23,865   Masco Corp.      1,315,677  
22,112   Trane Technologies plc      2,681,080  
    

 

 

 

             11,785,682  
    

 

 

 

Capital Markets (2.5%):

  
11,167   Ameriprise Financial, Inc.      1,720,946  
76,290   Bank of New York Mellon Corp. (The)      2,619,799  
13,216   BlackRock, Inc., Class A+      7,447,877  
10,264   Cboe Global Markets, Inc.      900,563  
108,485   Charles Schwab Corp. (The)      3,930,412  
33,432   CME Group, Inc.      5,593,508  
20,929   E*TRADE Financial Corp.      1,047,496  
25,948   Franklin Resources, Inc.      528,042  
32,013   Goldman Sachs Group, Inc.      6,433,653  
52,460   Intercontinental Exchange, Inc.      5,248,623  
35,628   Invesco, Ltd.      406,515  
3,589   MarketAxess Holdings, Inc.      1,728,427  
15,032   Moody’s Corp.      4,357,025  
111,736   Morgan Stanley      5,402,436  
7,788   MSCI, Inc., Class A      2,778,603  
10,874   Nasdaq, Inc.      1,334,349  
19,719   Northern Trust Corp.      1,537,490  
11,698   Raymond James Financial, Inc.      851,146  
22,410   S&P Global, Inc.      8,081,046  
32,291   State Street Corp.      1,915,825  
21,034   T. Rowe Price Group, Inc.      2,696,979  
    

 

 

 

       66,560,760  
    

 

 

 

Chemicals (1.8%):

  
20,475   Air Products & Chemicals, Inc.      6,098,684  
10,066   Albemarle Corp.      898,692  
11,194   Celanese Corp., Series A      1,202,795  
20,326   CF Industries Holdings, Inc.      624,211  
70,856   Corteva, Inc.      2,041,361  
68,816   Dow, Inc.      3,237,793  
68,389   DuPont de Nemours, Inc.      3,794,222  
12,924   Eastman Chemical Co.      1,009,623  
23,099   Ecolab, Inc.      4,616,104  
12,259   FMC Corp.      1,298,351  
9,689   International Flavors & Fragrances, Inc.      1,186,418  
49,085   Linde plc      11,688,611  
24,329   Lyondellbasell Industries NV      1,714,951  
33,015   Mosaic Co. (The)      603,184  
21,830   PPG Industries, Inc.      2,665,006  
7,651   Sherwin Williams Co.      5,330,758  
    

 

 

 

       48,010,764  
    

 

 

 

Commercial Services & Supplies (0.4%):

  
8,181   Cintas Corp.      2,722,882  
18,940   Copart, Inc.*      1,991,730  
19,891   Republic Services, Inc., Class A      1,856,825  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL S&P 500 Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares         Fair Value

Common Stocks, continued

  

Commercial Services & Supplies, continued

  
13,503   Rollins, Inc.    $ 731,728  
36,201   Waste Management, Inc.      4,096,867  
    

 

 

 

       11,400,032  
    

 

 

 

Communications Equipment (0.8%):

  
5,089   Arista Networks, Inc.*      1,053,067  
394,965   Cisco Systems, Inc.      15,557,670  
5,823   F5 Networks, Inc.*      714,890  
30,613   Juniper Networks, Inc.      658,180  
15,685   Motorola Solutions, Inc.      2,459,565  
    

 

 

 

       20,443,372  
    

 

 

 

Construction & Engineering (0.1%):

  
12,318   Jacobs Engineering Group, Inc.      1,142,741  
13,265   Quanta Services, Inc.      701,188  
    

 

 

 

       1,843,929  
    

 

 

 

Construction Materials (0.1%):

  
5,900   Martin Marietta Materials, Inc.      1,388,624  
12,539   Vulcan Materials Co.      1,699,536  
    

 

 

 

       3,088,160  
    

 

 

 

Consumer Finance (0.5%):

  
60,811   American Express Co.      6,096,302  
42,250   Capital One Financial Corp.      3,036,085  
29,001   Discover Financial Services      1,675,678  
51,010   Synchrony Financial      1,334,932  
    

 

 

 

             12,142,997  
    

 

 

 

Containers & Packaging (0.3%):

  
149,069   Amcor plc      1,647,212  
7,887   Avery Dennison Corp.      1,008,274  
30,093   Ball Corp.      2,501,330  
35,870   International Paper Co.      1,454,170  
9,036   Packaging Corp. of America      985,376  
14,842   Sealed Air Corp.      576,018  
23,948   WestRock Co.      831,954  
    

 

 

 

       9,004,334  
    

 

 

 

Distributors (0.1%):

  
13,659   Genuine Parts Co.      1,299,927  
25,879   LKQ Corp.*      717,625  
    

 

 

 

       2,017,552  
    

 

 

 

Diversified Financial Services (1.5%):

  
185,025   Berkshire Hathaway, Inc., Class B*      39,399,224  
    

 

 

 

Diversified Telecommunication Services (1.6%):

 

664,944   AT&T, Inc.      18,957,553  
93,649   CenturyLink, Inc.      944,918  
386,165   Verizon Communications, Inc.      22,972,957  
    

 

 

 

       42,875,428  
    

 

 

 

Electric Utilities (1.8%):

  
23,623   Alliant Energy Corp.      1,220,128  
46,922   American Electric Power Co., Inc.      3,834,935  
68,793   Duke Energy Corp.      6,092,308  
35,784   Edison International      1,819,259  
18,276   Entergy Corp.      1,800,734  
21,468   Evergy, Inc.      1,091,004  
31,855   Eversource Energy      2,661,485  
90,453   Exelon Corp.      3,234,599  
51,294   FirstEnergy Corp.      1,472,651  
45,631   NextEra Energy, Inc.      12,665,339  
10,670   Pinnacle West Capital Corp.      795,449  
72,787   PPL Corp.      1,980,534  
98,553   Southern Co. (The)      5,343,544  
48,787   Xcel Energy, Inc.      3,366,791  
    

 

 

 

       47,378,760  
    

 

 

 

Electrical Equipment (0.5%):

  
21,084   AMETEK, Inc.      2,095,750  
37,245   Eaton Corp. plc      3,800,107  
Shares         Fair Value

Common Stocks, continued

  

Electrical Equipment, continued

  
55,617   Emerson Electric Co.    $ 3,646,807  
10,966   Rockwell Automation, Inc.      2,419,977  
    

 

 

 

       11,962,641  
    

 

 

 

Electronic Equipment, Instruments & Components (0.5%):   
28,016   Amphenol Corp., Class A      3,033,293  
13,475   CDW Corp.      1,610,667  
69,858   Corning, Inc.      2,264,098  
12,121   FLIR Systems, Inc.      434,538  
3,324   IPG Photonics Corp.*      564,980  
17,709   Keysight Technologies, Inc.*      1,749,295  
30,588   TE Connectivity, Ltd.      2,989,671  
5,027   Zebra Technologies Corp., Class A*      1,269,116  
    

 

 

 

       13,915,658  
    

 

 

 

Energy Equipment & Services (0.2%):

  
60,867   Baker Hughes Co.      808,922  
83,062   Halliburton Co.      1,000,897  
36,757   National Oilwell Varco, Inc.      333,018  
127,988   Schlumberger, Ltd.      1,991,494  
40,738   TechnipFMC plc      257,057  
    

 

 

 

       4,391,388  
    

 

 

 

Entertainment (2.0%):

  
71,970   Activision Blizzard, Inc.      5,825,972  
26,817   Electronic Arts, Inc.*      3,497,205  
13,514   Live Nation Entertainment, Inc.*      728,134  
41,146   Netflix, Inc.*      20,574,234  
10,788   Take-Two Interactive Software, Inc.*      1,782,393  
168,571   Walt Disney Co. (The)      20,916,290  
    

 

 

 

             53,324,228  
    

 

 

 

Equity Real Estate Investment Trusts (2.6%):

  
10,937   Alexandria Real Estate Equities, Inc.      1,749,920  
41,472   American Tower Corp.      10,025,026  
14,296   Apartment Investment & Management Co.      482,061  
12,898   AvalonBay Communities, Inc.      1,926,187  
12,960   Boston Properties, Inc.      1,040,688  
39,138   Crown Castle International Corp.      6,516,477  
24,969   Digital Realty Trust, Inc.      3,664,450  
34,879   Duke Realty Corp.      1,287,035  
8,264   Equinix, Inc.      6,281,714  
31,923   Equity Residential      1,638,608  
5,896   Essex Property Trust, Inc.      1,183,858  
12,225   Extra Space Storage, Inc.      1,307,953  
6,633   Federal Realty Investment Trust      487,128  
51,040   Healthpeak Properties, Inc.      1,385,736  
65,948   Host Hotels & Resorts, Inc.      711,579  
27,473   Iron Mountain, Inc.      736,002  
41,284   Kimco Realty Corp.      464,858  
10,273   Mid-America Apartment Communities, Inc.      1,191,154  
68,637   ProLogis, Inc.      6,906,254  
14,233   Public Storage, Inc.      3,169,974  
32,515   Realty Income Corp.      1,975,286  
14,683   Regency Centers Corp.      558,248  
10,366   SBA Communications Corp.      3,301,364  
28,065   Simon Property Group, Inc.      1,815,244  
7,010   SL Green Realty Corp.^      325,054  
27,437   UDR, Inc.      894,721  
35,381   Ventas, Inc.      1,484,587  
15,145   Vornado Realty Trust      510,538  
38,434   Welltower, Inc.      2,117,329  
70,652   Weyerhaeuser Co.      2,014,995  
    

 

 

 

       67,154,028  
    

 

 

 

Food & Staples Retailing (1.6%):

  
41,212   Costco Wholesale Corp.      14,630,260  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL S&P 500 Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares         Fair Value

Common Stocks, continued

  

Food & Staples Retailing, continued

  
72,393   Kroger Co. (The)    $ 2,454,847  
47,103   Sysco Corp.      2,930,749  
67,095   Walgreens Boots Alliance, Inc.      2,410,052  
129,676   Walmart, Inc.      18,142,969  
    

 

 

 

       40,568,877  
    

 

 

 

Food Products (1.1%):

  
51,222   Archer-Daniels-Midland Co.      2,381,311  
18,648   Campbell Soup Co.      902,004  
46,117   Conagra Brands, Inc.      1,646,838  
57,390   General Mills, Inc.      3,539,815  
13,499   Hershey Co. (The)      1,934,947  
26,654   Hormel Foods Corp.      1,303,114  
10,797   JM Smucker Co. (The)      1,247,269  
23,684   Kellogg Co.      1,529,750  
61,086   Kraft Heinz Co. (The)      1,829,526  
13,600   Lamb Weston Holdings, Inc.      901,272  
11,377   McCormick & Co.      2,208,276  
133,249   Mondelez International, Inc., Class A      7,655,154  
26,863   Tyson Foods, Inc., Class A      1,597,811  
    

 

 

 

       28,677,087  
    

 

 

 

Gas Utilities (0.0%):

  
11,581   Atmos Energy Corp.      1,107,028  
    

 

 

 

Health Care Equipment & Supplies (3.9%):

  
165,283   Abbott Laboratories      17,987,750  
4,257   ABIOMED, Inc.*      1,179,444  
6,588   Align Technology, Inc.*      2,156,648  
47,234   Baxter International, Inc.      3,798,558  
27,053   Becton Dickinson & Co.      6,294,692  
133,499   Boston Scientific Corp.*      5,100,997  
4,652   Cooper Cos., Inc. (The)      1,568,282  
58,941   Danaher Corp.      12,691,766  
20,495   Dentsply Sirona, Inc.      896,246  
8,922   DexCom, Inc.*      3,677,916  
57,890   Edwards Lifesciences Corp.*      4,620,780  
24,447   Hologic, Inc.*      1,624,992  
7,861   IDEXX Laboratories, Inc.*      3,090,238  
10,946   Intuitive Surgical, Inc.*      7,766,625  
125,138   Medtronic plc      13,004,341  
13,321   ResMed, Inc.      2,283,619  
8,043   Steris plc      1,417,096  
30,521   Stryker Corp.      6,359,661  
4,396   Teleflex, Inc.      1,496,486  
8,598   Varian Medical Systems, Inc.*      1,478,856  
6,969   West Pharmaceutical Services, Inc.      1,915,778  
19,132   Zimmer Biomet Holdings, Inc.      2,604,630  
    

 

 

 

             103,015,401  
    

 

 

 

Health Care Providers & Services (2.6%):

  
13,383   AmerisourceBergen Corp.      1,297,080  
23,471   Anthem, Inc.      6,304,076  
27,646   Cardinal Health, Inc.      1,297,980  
53,741   Centene Corp.*      3,134,713  
34,153   Cigna Corp.      5,785,860  
121,462   CVS Health Corp.      7,093,381  
7,421   DaVita, Inc.*      635,609  
24,460   HCA Healthcare, Inc.      3,049,673  
13,692   Henry Schein, Inc.*      804,816  
12,337   Humana, Inc.      5,106,161  
9,203   Laboratory Corp. of America Holdings*      1,732,649  
14,896   McKesson Corp.      2,218,461  
12,662   Quest Diagnostics, Inc.      1,449,672  
88,764   UnitedHealth Group, Inc.      27,673,951  
7,266   Universal Health Services, Inc., Class B      777,607  
    

 

 

 

       68,361,689  
    

 

 

 

Shares         Fair Value

Common Stocks, continued

  

Health Care Technology (0.1%):

  
27,912   Cerner Corp.    $ 2,017,758  
    

 

 

 

Hotels, Restaurants & Leisure (1.6%):

  
45,839   Carnival Corp., Class A^      695,836  
2,594   Chipotle Mexican Grill, Inc.*      3,226,184  
12,150   Darden Restaurants, Inc.      1,223,991  
3,704   Domino’s Pizza, Inc.      1,575,237  
26,251   Hilton Worldwide Holdings, Inc.      2,239,735  
30,500   Las Vegas Sands Corp.      1,423,130  
24,802   Marriott International, Inc., Class A      2,296,169  
69,489   McDonald’s Corp.      15,252,142  
38,111   MGM Resorts International      828,914  
25,849   Norwegian Cruise Line Holdings, Ltd.*^      442,276  
17,002   Royal Caribbean Cruises, Ltd.      1,100,539  
109,104   Starbucks Corp.      9,374,216  
9,302   Wynn Resorts, Ltd.      667,977  
27,808   Yum! Brands, Inc.      2,538,870  
    

 

 

 

             42,885,216  
    

 

 

 

Household Durables (0.4%):

  
30,442   D.R. Horton, Inc.      2,302,329  
13,745   Garmin, Ltd.      1,303,851  
12,526   Leggett & Platt, Inc.      515,695  
26,001   Lennar Corp., Class A      2,123,762  
5,509   Mohawk Industries, Inc.*      537,623  
35,311   Newell Brands, Inc.      605,937  
329   NVR, Inc.*      1,343,346  
23,865   PulteGroup, Inc.      1,104,711  
5,815   Whirlpool Corp.      1,069,320  
    

 

 

 

       10,906,574  
    

 

 

 

Household Products (1.8%):

  
23,281   Church & Dwight Co., Inc.      2,181,663  
11,845   Clorox Co. (The)      2,489,464  
79,358   Colgate-Palmolive Co.      6,122,470  
31,800   Kimberly-Clark Corp.      4,695,588  
232,438   Procter & Gamble Co. (The)      32,306,557  
    

 

 

 

       47,795,742  
    

 

 

 

Independent Power and Renewable Electricity Producers (0.1%):   
62,954   AES Corp. (The)      1,140,097  
23,340   NRG Energy, Inc.      717,472  
    

 

 

 

       1,857,569  
    

 

 

 

Industrial Conglomerates (1.1%):

  
53,682   3M Co.      8,598,783  
817,286   General Electric Co.      5,091,692  
65,591   Honeywell International, Inc.      10,796,934  
9,721   Roper Technologies, Inc.      3,840,864  
    

 

 

 

       28,328,273  
    

 

 

 

Insurance (1.8%):

  
62,229   Aflac, Inc.      2,262,024  
29,059   Allstate Corp. (The)      2,735,614  
79,350   American International Group, Inc.      2,184,506  
21,557   Aon plc, Class A      4,447,209  
17,954   Arthur J. Gallagher & Co.      1,895,583  
5,728   Assurant, Inc.      694,864  
42,148   Chubb, Ltd.      4,894,226  
14,286   Cincinnati Financial Corp.      1,113,879  
3,755   Everest Re Group, Ltd.      741,763  
9,303   Globe Life, Inc.      743,310  
33,903   Hartford Financial Services Group, Inc. (The)      1,249,665  
16,597   Lincoln National Corp.      519,984  
22,916   Loews Corp.      796,331  
47,339   Marsh & McLennan Cos., Inc.      5,429,782  
71,303   MetLife, Inc.      2,650,333  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL S&P 500 Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares         Fair Value

Common Stocks, continued

  

Insurance, continued

  
23,826   Principal Financial Group, Inc.    $ 959,473  
54,698   Progressive Corp. (The)      5,178,259  
36,455   Prudential Financial, Inc.      2,315,622  
23,361   Travelers Cos., Inc. (The)      2,527,427  
18,921   Unum Group      318,440  
11,873   Willis Towers Watson plc      2,479,320  
13,208   WR Berkley Corp.      807,669  
    

 

 

 

       46,945,283  
    

 

 

 

Interactive Media & Services (5.5%):

  
28,040   Alphabet, Inc., Class A*      41,095,424  
27,388   Alphabet, Inc., Class C*      40,249,405  
224,308   Facebook, Inc., Class A*      58,746,265  
74,290   Twitter, Inc.*      3,305,905  
    

 

 

 

             143,396,999  
    

 

 

 

Internet & Direct Marketing Retail (5.3%):

  
39,725   Amazon.com, Inc.*      125,083,300  
3,802   Booking Holdings, Inc.*      6,504,006  
62,539   eBay, Inc.      3,258,282  
11,092   Etsy, Inc.*      1,349,120  
12,825   Expedia Group, Inc.      1,175,924  
    

 

 

 

       137,370,632  
    

 

 

 

IT Services (5.7%):

  
59,355   Accenture plc, Class C      13,413,636  
15,364   Akamai Technologies, Inc.*      1,698,337  
40,073   Automatic Data Processing, Inc.      5,589,783  
10,871   Broadridge Financial Solutions, Inc.      1,434,972  
50,258   Cognizant Technology Solutions Corp., Class A      3,488,910  
23,340   DXC Technology Co.      416,619  
57,610   Fidelity National Information Services, Inc.      8,480,768  
51,820   Fiserv, Inc.*      5,340,051  
7,934   FleetCor Technologies, Inc.*      1,889,085  
8,443   Gartner, Inc.*      1,054,953  
27,886   Global Payments, Inc.      4,951,996  
83,005   International Business Machines Corp.      10,099,218  
7,260   Jack Henry & Associates, Inc.      1,180,403  
12,783   Leidos Holdings, Inc.      1,139,604  
82,431   MasterCard, Inc., Class A      27,875,692  
29,407   Paychex, Inc.      2,345,796  
109,453   PayPal Holdings, Inc.*      21,565,525  
9,305   VeriSign, Inc.*      1,906,129  
157,333   Visa, Inc., Class A      31,461,881  
38,439   Western Union Co.      823,748  
    

 

 

 

       146,157,106  
    

 

 

 

Leisure Products (0.0%):

  
12,203   Hasbro, Inc.      1,009,432  
    

 

 

 

Life Sciences Tools & Services (1.2%):

  
28,580   Agilent Technologies, Inc.      2,884,865  
2,024   Bio-Rad Laboratories, Inc., Class A*      1,043,291  
13,612   Illumina, Inc.*      4,207,197  
17,812   IQVIA Holdings, Inc.*      2,807,706  
2,264   Mettler-Toledo International, Inc.*      2,186,458  
10,647   PerkinElmer, Inc.      1,336,305  
36,927   Thermo Fisher Scientific, Inc.      16,304,009  
5,862   Waters Corp.*      1,147,076  
    

 

 

 

       31,916,907  
    

 

 

 

Machinery (1.6%):

  
50,372   Caterpillar, Inc.      7,512,983  
13,656   Cummins, Inc.      2,883,601  
29,313   Deere & Co.      6,496,640  
13,629   Dover Corp.      1,476,566  
11,938   Flowserve Corp.      325,788  
Shares         Fair Value

Common Stocks, continued

  

Machinery, continued

  
31,321   Fortive Corp.    $ 2,386,973  
7,166   IDEX Corp.      1,307,150  
26,893   Illinois Tool Works, Inc.      5,195,997  
34,510   Ingersoll-Rand, Inc.*      1,228,556  
38,544   Otis Worldwide Corp.      2,405,916  
31,977   PACCAR, Inc.      2,726,999  
11,849   Parker Hannifin Corp.      2,397,527  
15,503   Pentair plc      709,572  
5,229   Snap-On, Inc.      769,343  
14,989   Stanley Black & Decker, Inc.      2,431,216  
16,154   Wabtec Corp.      999,610  
17,035   Xylem, Inc.      1,432,984  
    

 

 

 

             42,687,421  
    

 

 

 

Media (1.3%):

  
13,943   Charter Communications, Inc., Class A*      8,705,173  
425,345   Comcast Corp., Class A      19,676,459  
29,594   Discovery Communications, Inc., Class C*      580,042  
15,411   Discovery, Inc., Class A*^      335,497  
22,086   DISH Network Corp., Class A*      641,157  
30,444   Fox Corp., Class A      847,257  
15,356   Fox Corp., Class B      429,507  
36,309   Interpublic Group of Cos., Inc. (The)      605,271  
37,593   News Corp., Class A      527,054  
10,641   News Corp., Class B      148,761  
20,289   Omnicom Group, Inc.      1,004,306  
53,316   ViacomCBS, Inc., Class B      1,493,381  
    

 

 

 

       34,993,865  
    

 

 

 

Metals & Mining (0.3%):

  
137,474   Freeport-McMoRan, Inc.      2,150,093  
74,729   Newmont Corp.      4,741,556  
28,512   Nucor Corp.      1,279,048  
    

 

 

 

       8,170,697  
    

 

 

 

Multiline Retail (0.6%):

  
23,210   Dollar General Corp.      4,865,280  
22,461   Dollar Tree, Inc.*      2,051,588  
46,701   Target Corp.      7,351,671  
    

 

 

 

       14,268,539  
    

 

 

 

Multi-Utilities (0.9%):

  
23,376   Ameren Corp.      1,848,574  
51,120   CenterPoint Energy, Inc.      989,172  
27,100   CMS Energy Corp.      1,664,211  
30,768   Consolidated Edison, Inc.      2,393,750  
78,409   Dominion Energy, Inc.      6,188,822  
17,687   DTE Energy Co.      2,034,712  
36,260   NiSource, Inc.      797,720  
46,638   Public Service Enterprise Group, Inc.      2,560,893  
26,924   Sempra Energy      3,186,725  
29,204   WEC Energy Group, Inc.      2,829,868  
    

 

 

 

       24,494,447  
    

 

 

 

Oil, Gas & Consumable Fuels (1.9%):

  
36,010   Apache Corp.      341,015  
38,461   Cabot Oil & Gas Corp.      667,683  
174,110   Chevron Corp.      12,535,919  
18,624   Concho Resources, Inc.      821,691  
99,673   ConocoPhillips Co.      3,273,261  
35,575   Devon Energy Corp.      336,540  
14,763   Diamondback Energy, Inc.      444,662  
53,508   EOG Resources, Inc.      1,923,078  
394,595   Exxon Mobil Corp.      13,546,445  
24,719   Hess Corp.      1,011,749  
13,531   HollyFrontier Corp.      266,696  
179,727   Kinder Morgan, Inc.      2,216,034  
73,038   Marathon Oil Corp.      298,725  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL S&P 500 Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares         Fair Value

Common Stocks, continued

  

Oil, Gas & Consumable Fuels, continued

  
61,567   Marathon Petroleum Corp.    $ 1,806,376  
45,092   Noble Energy, Inc.      385,537  
78,225   Occidental Petroleum Corp.      783,032  
41,651   ONEOK, Inc.      1,082,093  
40,264   Phillips 66      2,087,286  
15,609   Pioneer Natural Resources Co.      1,342,218  
38,601   Valero Energy Corp.      1,672,195  
111,812   Williams Cos., Inc.      2,197,106  
    

 

 

 

       49,039,341  
    

 

 

 

Personal Products (0.2%):

  
20,980   Estee Lauder Co., Inc. (The), Class A      4,578,885  
    

 

 

 

Pharmaceuticals (4.2%):

  
210,327   Bristol-Myers Squibb Co.      12,680,615  
15,064   Catalent, Inc.*      1,290,382  
74,091   Eli Lilly & Co.      10,966,950  
245,800   Johnson & Johnson Co.      36,594,704  
236,039   Merck & Co., Inc.      19,579,435  
49,184   Mylan NV*      729,399  
12,748   Perrigo Co. plc      585,261  
518,549   Pfizer, Inc.      19,030,748  
44,313   Zoetis, Inc.      7,328,041  
    

 

 

 

             108,785,535  
    

 

 

 

Professional Services (0.3%):

  
11,496   Equifax, Inc.      1,803,722  
34,741   IHS Markit, Ltd.      2,727,516  
33,944   Nielsen Holdings plc      481,326  
10,794   Robert Half International, Inc.      571,434  
15,013   Verisk Analytics, Inc.      2,782,060  
    

 

 

 

       8,366,058  
    

 

 

 

Real Estate Management & Development (0.1%):   
2,485,087   BGP Holdings plc*(a)       
31,888   CBRE Group, Inc., Class A*      1,497,779  
    

 

 

 

       1,497,779  
    

 

 

 

Road & Rail (1.0%):

  
71,344   CSX Corp.      5,541,289  
7,893   J.B. Hunt Transport Services, Inc.      997,517  
8,646   Kansas City Southern      1,563,456  
23,787   Norfolk Southern Corp.      5,090,180  
8,934   Old Dominion Freight Line, Inc.      1,616,339  
63,183   Union Pacific Corp.      12,438,838  
    

 

 

 

       27,247,619  
    

 

 

 

Semiconductors & Semiconductor Equipment (5.0%):   
109,544   Advanced Micro Devices, Inc.*      8,981,513  
34,317   Analog Devices, Inc.      4,006,167  
85,294   Applied Materials, Inc.      5,070,728  
37,494   Broadcom, Inc.      13,659,814  
396,935   Intel Corp.      20,553,294  
14,318   KLA Corp.      2,773,969  
13,531   Lam Research Corp.      4,488,909  
25,244   Maxim Integrated Products, Inc.      1,706,747  
23,228   Microchip Technology, Inc.      2,386,909  
103,697   Micron Technology, Inc.*      4,869,611  
57,582   NVIDIA Corp.      31,164,529  
10,428   Qorvo, Inc.*      1,345,316  
105,357   Qualcomm, Inc.      12,398,412  
15,796   Skyworks Solutions, Inc.      2,298,318  
15,297   Teradyne, Inc.      1,215,500  
85,483   Texas Instruments, Inc.      12,206,118  
23,023   Xilinx, Inc.      2,399,918  
    

 

 

 

       131,525,772  
    

 

 

 

Software (9.2%):

  
44,755   Adobe, Inc.*      21,949,196  
7,928   ANSYS, Inc.*      2,594,279  
Shares         Fair Value

Common Stocks, continued

  

Software, continued

  
20,434   Autodesk, Inc.*    $ 4,720,458  
25,796   Cadence Design Systems, Inc.*      2,750,627  
11,497   Citrix Systems, Inc.      1,583,252  
12,703   Fortinet, Inc.*      1,496,540  
24,427   Intuit, Inc.      7,968,332  
706,238   Microsoft Corp.      148,543,040  
54,760   NortonLifeLock, Inc.      1,141,198  
180,484   Oracle Corp.      10,774,895  
4,568   Paycom Software, Inc.*      1,422,018  
84,782   salesforce.com, Inc.*      21,307,413  
17,910   ServiceNow, Inc.*      8,686,350  
14,277   Synopsys, Inc.*      3,054,992  
3,765   Tyler Technologies, Inc.*      1,312,328  
    

 

 

 

       239,304,918  
    

 

 

 

Specialty Retail (2.5%):

  
6,460   Advance Auto Parts, Inc.      991,610  
2,158   AutoZone, Inc.*      2,541,347  
21,522   Best Buy Co, Inc.      2,395,183  
15,409   CarMax, Inc.*      1,416,241  
19,914   Gap, Inc. (The)      339,135  
100,442   Home Depot, Inc. (The)      27,893,749  
22,521   L Brands, Inc.      716,393  
70,631   Lowe’s Cos., Inc.      11,714,858  
6,889   O’Reilly Automotive, Inc.*      3,176,380  
32,967   Ross Stores, Inc.      3,076,480  
9,775   Tiffany & Co.      1,132,434  
112,256   TJX Cos., Inc. (The)      6,247,046  
10,958   Tractor Supply Co.      1,570,720  
5,332   Ulta Beauty, Inc.*      1,194,261  
    

 

 

 

       64,405,837  
    

 

 

 

Technology Hardware, Storage & Peripherals (6.9%):   
1,500,053   Apple, Inc.            173,721,137  
121,642   Hewlett Packard Enterprise Co.      1,139,786  
128,174   HP, Inc.      2,434,024  
20,957   NetApp, Inc.      918,755  
20,148   Seagate Technology plc      992,692  
28,093   Western Digital Corp.      1,026,799  
17,954   Xerox Holdings Corp.      336,997  
    

 

 

 

       180,570,190  
    

 

 

 

Textiles, Apparel & Luxury Goods (0.7%):

  
32,558   Hanesbrands, Inc.      512,789  
116,293   Nike, Inc., Class B      14,599,422  
6,875   PVH Corp.      410,025  
4,443   Ralph Lauren Corp.      301,991  
26,141   Tapestry, Inc.      408,584  
13,564   Under Armour, Inc., Class A*      152,324  
19,502   Under Armour, Inc., Class C*      191,900  
29,334   VF Corp.      2,060,713  
    

 

 

 

       18,637,748  
    

 

 

 

Tobacco (0.7%):

  
173,446   Altria Group, Inc.      6,701,953  
145,343   Philip Morris International, Inc.      10,899,272  
    

 

 

 

       17,601,225  
    

 

 

 

Trading Companies & Distributors (0.2%):

  
54,235   Fastenal Co.      2,445,456  
6,822   United Rentals, Inc.*      1,190,439  
4,101   W.W. Grainger, Inc.      1,463,114  
    

 

 

 

       5,099,009  
    

 

 

 

Water Utilities (0.1%):

  
16,681   American Water Works Co., Inc.      2,416,743  
    

 

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL S&P 500 Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,

Shares,

Notional

Amount or

Principal

Amounts

         Fair Value

Common Stocks, continued

  
Wireless Telecommunication Services (0.2%):   
54,235    T-Mobile USA, Inc.*    $ 6,202,315  
     

 

 

 

Total Common Stocks (Cost $1,186,300,835)

     2,600,237,565  
  

 

 

 

Short-Term Securities Held as Collateral for Securities on Loan (0.1%):   
    2,365,567      BlackRock Liquidity FedFund, Institutional Class , 1.81%(b)(c)      2,365,567  
     

 

 

 

Total Short-Term Securities Held as Collateral for Securities on Loan (Cost $2,365,567)

     2,365,567  
  

 

 

 

Unaffiliated Investment Companies (0.6%):

  

Money Markets (0.6%):

  
    16,619,674      Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(c)      16,619,674  
     

 

 

 

Total Unaffiliated Investment Companies

(Cost $16,619,674)

     16,619,674  
  

 

 

 

Total Investment Securities

(Cost $1,205,286,076) - 100.1%

     2,619,222,806  

Net other assets (liabilities) - (0.1)%

     (1,566,381)  
  

 

 

 

Net Assets - 100.0%

   $ 2,617,656,425  
  

 

 

 

Percentages indicated are based on net assets as of September 30, 2020.

 

*

Non-income producing security.

^

This security or a partial position of this security was on loan as of September 30, 2020. The total value of securities on loan as of September 30, 2020 was $2,329,375.

+

Affiliated Securities

Represents less than 0.05%.

(a)

Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of September 30, 2020. The total of all such securities represent 0.00% of the net assets of the fund.

(b)

Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before September 30, 2020.

(c)

The rate represents the effective yield at September 30, 2020.

 

 

See accompanying notes to the schedules of portfolio investments.


AZL S&P 500 Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Futures Contracts

At September 30, 2020, the Fund’s open futures contracts were as follows:

Long Futures    

 

Description   

Expiration

Date

     Number of
Contracts
     Notional
Amount
    

Value and      

Unrealized      

Appreciation/      

(Depreciation)      

 

S&P 500 Index E-Mini December Futures (U.S. Dollar)

     12/18/20        115      $       19,274,000      $ 250,819        
           

 

 

 
            $ 250,819        
           

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Small Cap Stock Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares         Fair Value

Common Stocks (99.0%):

  

Aerospace & Defense (1.4%):

  
32,258   AAR Corp.    $ 606,450  
71,505   Aerojet Rocketdyne Holdings, Inc.*      2,852,334  
21,654   AeroVironment, Inc.*      1,299,457  
30,870   Cubic Corp.      1,795,708  
29,432   Moog, Inc., Class A      1,869,815  
5,130   National Presto Industries, Inc.      419,942  
15,955   Park Aerospace Corp., Class C      174,229  
50,551   Triumph Group, Inc.      329,087  
    

 

 

 

       9,347,022  
    

 

 

 

Air Freight & Logistics (0.8%):

  
25,880   Atlas Air Worldwide Holdings, Inc.*      1,576,092  
26,654   Echo Global Logistics, Inc.*      686,874  
27,410   Forward Air Corp.      1,572,786  
32,734   Hub Group, Inc., Class A*      1,643,083  
    

 

 

 

       5,478,835  
    

 

 

 

Airlines (0.6%):

  
13,223   Allegiant Travel Co.      1,584,115  
48,852   Hawaiian Holdings, Inc.      629,702  
50,302   SkyWest, Inc.      1,502,018  
    

 

 

 

             3,715,835  
    

 

 

 

Auto Components (1.5%):

  
111,156   American Axle & Manufacturing Holdings, Inc.*      641,370  
49,294   Cooper Tire & Rubber Co.      1,562,620  
16,065   Cooper-Standard Holding, Inc.*      212,219  
28,170   Dorman Products, Inc.*      2,546,005  
31,710   Gentherm, Inc.*      1,296,939  
24,703   LCI Industries      2,625,681  
18,946   Motorcar Parts of America, Inc.*      294,800  
19,494   Standard Motor Products, Inc.      870,407  
    

 

 

 

       10,050,041  
    

 

 

 

Automobiles (0.3%):

  
33,092   Winnebago Industries, Inc.      1,709,864  
    

 

 

 

Banks (7.5%):

  
18,178   Allegiance Bancshares, Inc.      424,820  
67,889   Ameris Bancorp      1,546,511  
44,143   Banc of California, Inc.      446,727  
18,663   BancFirst Corp.      762,197  
88,900   BankUnited, Inc.      1,947,799  
34,601   Banner Corp.      1,116,228  
47,594   Berkshire Hills Bancorp, Inc.      481,175  
80,622   Boston Private Financial Holdings, Inc.      445,033  
78,017   Brookline Bancorp, Inc.      674,457  
123,095   Cadence Bancorp      1,057,386  
27,013   Central Pacific Financial Corp.      366,566  
15,805   City Holding Co.      910,526  
70,651   Columbia Banking System, Inc.      1,685,026  
52,298   Community Bank System, Inc.      2,848,150  
28,011   Customers Bancorp, Inc.*      313,723  
124,747   CVB Financial Corp.      2,074,544  
31,311   Eagle Bancorp, Inc.      838,822  
30,804   FB Financial Corp.      773,796  
213,873   First Bancorp      1,116,417  
96,391   First Commonwealth Financial Corp.      746,066  
95,820   First Financial Bancorp      1,150,319  
127,088   First Hawaiian, Inc.      1,838,963  
111,432   First Midwest Bancorp, Inc.      1,201,237  
53,244   Great Western Bancorp, Inc.      662,888  
29,050   Hanmi Financial Corp.      238,501  
35,307   Heritage Financial Corp.      649,296  
118,808   Hope BanCorp, Inc.      901,159  
32,397   Independent Bank Corp.      1,696,955  
36,120   Independent Bank Group, Inc.      1,595,782  
30,545   National Bank Holdings Corp.      801,806  
Shares         Fair Value

Common Stocks, continued

  

Banks, continued

  
42,700   NBT Bancorp, Inc.    $ 1,145,214  
50,693   OFG Bancorp      631,635  
162,952   Old National Bancorp      2,046,677  
92,181   Pacific Premier Bancorp, Inc.      1,856,525  
14,014   Park National Corp.^      1,148,587  
13,348   Preferred Bank Los Angeles      428,738  
37,903   S & T Bancorp, Inc.      670,504  
52,176   Seacoast Banking Corp of Florida*      940,733  
47,371   ServisFirst Bancshares, Inc.      1,612,035  
106,881   Simmons First National Corp., Class A      1,694,598  
30,583   Southside Bancshares, Inc.      747,143  
11,994   Tompkins Financial Corp.      681,379  
22,682   Triumph BanCorp, Inc.*      706,317  
83,564   United Community Banks, Inc.      1,414,739  
48,505   Veritex Holdings, Inc.      826,040  
26,486   Westamerica Bancorp      1,439,514  
    

 

 

 

             49,303,253  
    

 

 

 

Beverages (0.4%):

  
4,530   Coca-Cola Consolidated, Inc.      1,090,280  
12,816   MGP Ingredients, Inc.      509,308  
11,455   National Beverage Corp.*^      779,055  
    

 

 

 

       2,378,643  
    

 

 

 

Biotechnology (2.3%):

  
29,946   AMAG Pharmaceuticals, Inc.*^      281,492  
61,327   Coherus Biosciences, Inc.*      1,124,737  
69,823   Cytokinetics, Inc.*      1,511,668  
11,578   Eagle Pharmaceuticals, Inc.*      491,833  
17,291   Enanta Pharmaceuticals, Inc.*      791,582  
116,573   Momenta Pharmaceuticals, Inc.*      6,117,752  
72,678   Myriad Genetics, Inc.*      947,721  
29,607   REGENXBIO, Inc.*      814,785  
143,285   Spectrum Pharmaceuticals, Inc.*      584,603  
51,914   Vanda Pharmaceuticals, Inc.*      501,489  
56,134   Xencor, Inc.*      2,177,438  
    

 

 

 

       15,345,100  
    

 

 

 

Building Products (2.9%):

  
39,906   AAON, Inc.      2,404,337  
16,638   American Woodmark Corp.*      1,306,749  
24,923   Apogee Enterprises, Inc.      532,605  
31,918   Gibraltar Industries, Inc.*      2,079,139  
44,139   Griffon Corp.      862,476  
18,472   Insteel Industries, Inc.      345,426  
21,721   Patrick Industries, Inc.      1,249,392  
58,182   PGT Innovations, Inc.*      1,019,349  
31,976   Quanex Building Products Corp.      589,637  
121,454   Resideo Technologies, Inc.*      1,335,994  
42,658   Simpson Manufacturing Co., Inc.      4,144,650  
60,170   UFP Industries, Inc.      3,400,206  
    

 

 

 

       19,269,960  
    

 

 

 

Capital Markets (0.9%):

  
47,160   Blucora, Inc.*      444,247  
59,810   Brightsphere Investment Group, Inc.      771,549  
22,124   Calamos Asset Management Escrow Shares*(a)(b)       
29,388   Donnelley Financial Solutions, Inc.*      392,624  
14,307   Greenhill & Co., Inc.      162,384  
13,807   Piper Jaffray Cos., Inc.      1,007,911  
16,438   StoneX Group, Inc.*      840,968  
7,385   Virtus Investment Partners, Inc.      1,023,930  
64,395   Waddell & Reed Financial, Inc., Class A      956,266  
113,764   WisdomTree Investments, Inc.      364,045  
    

 

 

 

       5,963,924  
    

 

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Small Cap Stock Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares         Fair Value

Common Stocks, continued

  

Chemicals (2.8%):

  
27,059   AdvanSix, Inc.*    $ 348,520  
25,353   American Vanguard Corp.      333,138  
31,573   Balchem Corp.      3,082,473  
80,401   Ferro Corp.*      996,972  
25,192   Futurefuel Corp.      286,433  
47,376   GCP Applied Technologies, Inc.*      992,527  
50,555   H.B. Fuller Co.      2,314,408  
9,430   Hawkins, Inc.      434,723  
23,732   Innospec, Inc.      1,502,710  
20,343   Koppers Holdings, Inc.*      425,372  
30,910   Kraton Corp.*      550,816  
143,385   Livent Corp.*      1,286,163  
12,960   Quaker Chemical Corp.      2,329,043  
62,336   Rayonier Advanced Materials, Inc.*      199,475  
20,820   Stepan Co.      2,269,380  
25,082   Tredegar Corp.      372,969  
37,421   Trinseo SA      959,474  
    

 

 

 

       18,684,596  
    

 

 

 

Commercial Services & Supplies (1.8%):

 

65,159   ABM Industries, Inc.      2,388,729  
47,110   Brady Corp., Class A      1,885,342  
40,854   Deluxe Corp.      1,051,173  
55,928   Interface, Inc.      342,279  
30,446   Matthews International Corp., Class A      680,773  
169,514   Pitney Bowes, Inc.      900,119  
68,019   RR Donnelley & Sons Co.      99,308  
29,749   Team, Inc.*      163,620  
14,806   UniFirst Corp.      2,803,813  
30,744   US Ecology, Inc.      1,004,406  
19,753   Viad Corp.      411,455  
    

 

 

 

             11,731,017  
    

 

 

 

Communications Equipment (1.0%):

 

47,247   ADTRAN, Inc.      484,518  
20,850   Applied Optoelectronics, Inc.*^      234,563  
34,664   CalAmp Corp.*      249,234  
23,868   Comtech Telecommunications Corp.      334,152  
28,320   Digi International, Inc.*      442,642  
117,226   Extreme Networks, Inc.*      471,249  
94,199   Harmonic, Inc.*      525,630  
29,172   NETGEAR, Inc.*      899,081  
36,510   Plantronics, Inc.      432,278  
222,206   Viavi Solutions, Inc.*      2,606,476  
    

 

 

 

       6,679,823  
    

 

 

 

Construction & Engineering (0.9%):

 

29,470   Aegion Corp.*      416,411  
47,452   Arcosa, Inc.      2,092,158  
35,754   Comfort Systems USA, Inc.      1,841,689  
45,332   Granite Construction, Inc.      798,297  
16,506   MYR Group, Inc.*      613,693  
    

 

 

 

       5,762,248  
    

 

 

 

Construction Materials (0.1%):

  
15,196   U.S. Concrete, Inc.*      441,292  
    

 

 

 

Consumer Finance (1.0%):

  
30,825   Encore Capital Group, Inc.*      1,189,537  
29,501   Enova International, Inc.*      483,521  
51,995   EZCORP, Inc., Class A*      261,535  
50,591   Green Dot Corp., Class A*      2,560,411  
45,111   PRA Group, Inc.*      1,802,184  
4,538   World Acceptance Corp.*^      478,986  
    

 

 

 

       6,776,174  
    

 

 

 

Containers & Packaging (0.1%):

  
34,536   Myers Industries, Inc.      456,911  
    

 

 

 

Shares         Fair Value

Common Stocks, continued

  

Distributors (0.2%):

  
43,965   Core Markt Holdngs Co., Inc.    $ 1,271,907  
    

 

 

 

Diversified Consumer Services (0.2%):

  
14,627   American Public Education, Inc.*      412,335  
67,312   Perdoceo Education Corp.*      823,899  
24,943   Regis Corp.*      153,150  
    

 

 

 

             1,389,384  
    

 

 

 

Diversified Telecommunication Services (1.4%):

 

10,707   ATN International, Inc.      536,849  
50,046   Cincinnati Bell, Inc.*      750,690  
41,144   Cogent Communications Holdings, Inc.      2,470,697  
72,631   Consolidated Communications Holdings, Inc.*      413,270  
114,101   Iridium Communications, Inc.*      2,918,704  
225,813   Vonage Holdings Corp.*      2,310,067  
    

 

 

 

       9,400,277  
    

 

 

 

Electrical Equipment (0.6%):

  
25,189   AZZ, Inc.      859,449  
19,634   Encore Wire Corp.      911,410  
8,387   Powell Industries, Inc.      202,378  
21,008   Vicor Corp.*      1,632,952  
    

 

 

 

       3,606,189  
    

 

 

 

Electronic Equipment, Instruments &

Components (3.7%):

  
79,297   Arlo Technologies, Inc.*      417,102  
28,387   Badger Meter, Inc.      1,855,658  
10,457   Bel Fuse, Inc., Class B      111,681  
34,955   Benchmark Electronics, Inc.      704,343  
30,746   CTS Corp.      677,334  
31,430   Daktronics, Inc.      124,463  
13,140   ePlus, Inc.*      961,848  
36,024   Fabrinet*      2,270,593  
17,469   FARO Technologies, Inc.*      1,065,260  
34,471   Insight Enterprises, Inc.*      1,950,369  
39,323   Itron, Inc.*      2,388,479  
88,640   Knowles Corp.*      1,320,736  
4,779   Mesa Labs, Inc.      1,217,498  
36,100   Methode Electronics, Inc., Class A      1,028,850  
18,798   MTS Systems Corp.      359,230  
16,190   OSI Systems, Inc.*      1,256,506  
10,844   PC Connection, Inc.      445,255  
28,574   Plexus Corp.*      2,018,182  
18,206   Rogers Corp.*      1,785,280  
65,719   Sanmina Corp.*      1,777,699  
24,305   ScanSource, Inc.*      481,968  
95,158   TTM Technologies, Inc.*      1,085,753  
    

 

 

 

       25,304,087  
    

 

 

 

Energy Equipment & Services (1.1%):

  
126,411   Archrock, Inc.      680,091  
20,070   Bristow Group, Inc.*      426,488  
43,549   Core Laboratories NV      664,558  
34,414   Dril-Quip, Inc.*      852,091  
24,263   Exterran Corp.*      100,934  
12,582   Geospace Technologies Corp.*      77,757  
139,906   Helix Energy Solutions Group, Inc.*      337,173  
105,589   Helmerich & Payne, Inc.      1,546,879  
25,540   Matrix Service Co.*      213,259  
6,397   Nabors Industries, Ltd.*^      156,343  
86,160   Newpark Resources, Inc.*      90,468  
98,675   Oceaneering International, Inc.*      347,336  
58,144   Oil States International, Inc.*      158,733  
183,317   Patterson-UTI Energy, Inc.      522,453  
77,570   Propetro Holding Corp.*      314,934  
59,319   RPC, Inc.*      156,602  
18,501   SEACOR Holdings, Inc.*      538,009  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Small Cap Stock Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares         Fair Value

Common Stocks, continued

  

Energy Equipment & Services, continued

 

70,893   U.S. Silica Holdings, Inc.    $ 212,679  
    

 

 

 

       7,396,787  
    

 

 

 

Entertainment (0.2%):

  
145,978   Glu Mobile, Inc.*      1,120,381  
23,340   Marcus Corp.      180,418  
    

 

 

 

       1,300,799  
    

 

 

 

Equity Real Estate Investment Trusts (7.4%):

 

83,280   Acadia Realty Trust      874,440  
52,621   Agree Realty Corp.      3,348,799  
67,994   Alexander & Baldwin, Inc.      762,213  
47,341   American Assets Trust, Inc.      1,140,445  
55,134   Armada Hoffler Properties, Inc.      510,541  
164,236   Brandywine Realty Trust      1,698,200  
94,029   CareTrust REIT, Inc.      1,673,246  
45,823   Chatham Lodging Trust      349,171  
21,373   Community Healthcare Trust, Inc.      999,401  
114,936   CoreCivic, Inc.      919,488  
195,046   DiamondRock Hospitality Co.      988,883  
233,192   Diversified Healthcare Trust      820,836  
78,091   Easterly Government Properties, Inc.      1,750,019  
69,620   Four Corners Property Trust, Inc.      1,781,576  
91,877   Franklin Street Properties Corp.      336,270  
34,276   Getty Realty Corp.      891,519  
89,217   Global Net Lease, Inc.      1,418,550  
36,167   Hersha Hospitality Trust      200,365  
93,390   Independence Realty Trust, Inc.      1,082,390  
64,372   Industrial Logistics Properties Trust      1,407,816  
21,396   Innovative Industrial Properties, Inc.      2,655,458  
12,451   Investors Real Estate Trust      811,432  
74,036   iStar, Inc.      874,365  
82,042   Kite Realty Group Trust      950,046  
270,068   Lexington Realty Trust      2,822,211  
38,013   LTC Properties, Inc.      1,325,133  
82,622   Mack-Cali Realty Corp.      1,042,690  
60,937   National Storage Affiliates      1,993,249  
21,604   NexPoint Residential Trust, Inc.      958,137  
46,697   Office Properties Income Trust      967,562  
114,404   Retail Opportunity Investments Corp.      1,191,518  
209,536   Retail Properties of America, Inc., Class A      1,217,404  
77,662   Rpt Realty      422,481  
13,702   Safehold, Inc.^      850,894  
11,291   Saul Centers, Inc.      300,115  
146,922   SITE Centers Corp.      1,057,838  
103,043   Summit Hotel Properties, Inc.      533,763  
89,888   Tanger Factory Outlet Centers, Inc.^      542,025  
190,505   Uniti Group, Inc.      2,006,970  
12,465   Universal Health Realty Income Trust      710,380  
26,970   Urstadt Biddle Properties, Inc., Class A      248,124  
174,853   Washington Prime Group, Inc.^      113,200  
79,120   Washington Real Estate      1,592,686  
37,205   Whitestone REIT      223,230  
110,922   Xenia Hotels & Resorts, Inc.      973,895  
    

 

 

 

             49,338,974  
    

 

 

 

Food & Staples Retailing (0.6%):

  
22,679   PriceSmart, Inc.      1,507,019  
34,853   SpartanNash Co.      569,847  
29,851   The Andersons, Inc.      572,244  
31,356   The Chefs’ Warehouse, Inc.*      455,916  
53,854   United Natural Foods, Inc.*      800,809  
    

 

 

 

       3,905,835  
    

 

 

 

Food Products (1.2%):

  
62,866   B&G Foods, Inc.^      1,745,789  
16,151   Calavo Growers, Inc.      1,070,327  
Shares         Fair Value

Common Stocks, continued

  

Food Products, continued

  
35,944   Cal-Maine Foods, Inc.*    $ 1,379,171  
29,277   Fresh Del Monte Produce, Inc.      671,029  
14,440   J & J Snack Foods Corp.      1,882,831  
8,376   John B Sanfilippo And Son, Inc.      631,383  
6,381   Seneca Foods Corp., Class A*      227,993  
    

 

 

 

       7,608,523  
    

 

 

 

Gas Utilities (0.7%):

  
16,236   Chesapeake Utilities Corp.      1,368,695  
29,519   Northwest Natural Holding Co.      1,339,867  
97,501   South Jersey Industries, Inc.      1,878,844  
    

 

 

 

       4,587,406  
    

 

 

 

Health Care Equipment & Supplies (3.5%):

 

35,694   AngioDynamics, Inc.*      430,470  
13,642   Anika Therapeutics, Inc.*      482,790  
38,952   Cardiovascular Systems, Inc.*      1,532,761  
27,977   CONMED Corp.      2,200,951  
36,771   CryoLife, Inc.*      679,160  
17,736   Cutera, Inc.*      336,452  
43,835   Glaukos Corp.*^      2,170,709  
8,820   Heska Corp.*      871,328  
17,873   Inogen, Inc.*      518,317  
32,059   Integer Holdings Corp.*      1,891,802  
33,291   Invacare Corp.      250,348  
65,626   Lantheus Holdings, Inc.*      831,481  
16,670   LeMaitre Vascular, Inc.      542,275  
42,153   Meridian Bioscience, Inc.*      715,758  
48,080   Merit Medical Systems, Inc.*      2,091,480  
32,844   Natus Medical, Inc.*      562,618  
51,714   Neogen Corp.*      4,046,622  
70,443   OraSure Technologies, Inc.*      857,291  
18,373   Orthofix Medical, Inc.*      572,135  
13,545   Surmodics, Inc.*      527,036  
18,883   Tactile Systems Technology, Inc.*      690,929  
37,284   Varex Imaging Corp.*      474,252  
19,716   Zynex, Inc.*^      344,044  
    

 

 

 

             23,621,009  
    

 

 

 

Health Care Providers & Services (3.8%):

 

14,546   Addus HomeCare Corp.*      1,374,742  
45,837   AMN Healthcare Services, Inc.*      2,679,631  
33,131   BioTelemetry, Inc.*      1,510,111  
110,845   Community Health Systems, Inc.*      467,766  
8,829   CorVel Corp.*      754,261  
96,424   Covetrus, Inc.*      2,352,746  
34,146   Cross Country Healthcare, Inc.*      221,608  
49,393   Ensign Group, Inc. (The)      2,818,365  
11,519   Fulgent Genetics, Inc.*^      461,221  
37,062   Hanger, Inc.*      586,321  
21,934   Magellan Health, Inc.*      1,662,159  
63,338   Owens & Minor, Inc.      1,590,417  
11,930   Providence Service Corp.*      1,108,416  
113,427   R1 RCM, Inc.*      1,945,273  
42,135   RadNet, Inc.*      646,772  
104,663   Select Medical Holdings Corp.*      2,179,084  
24,808   The Pennant Group, Inc.*      956,596  
36,963   Tivity Health, Inc.*      518,221  
12,516   U.S. Physical Therapy, Inc.      1,087,390  
    

 

 

 

       24,921,100  
    

 

 

 

Health Care Technology (1.5%):

  
159,304   Allscripts Healthcare Solutions, Inc.*      1,296,735  
12,829   Computer Programs & Systems, Inc.      354,209  
24,606   HealthStream, Inc.*      493,842  
86,185   HMS Holdings Corp.*      2,064,131  
54,524   NextGen Healthcare, Inc.*      694,636  
41,749   Omnicell, Inc.*      3,116,980  
14,995   Simulations Plus, Inc.      1,130,023  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Small Cap Stock Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares         Fair Value

Common Stocks, continued

  

Health Care Technology, continued

  
20,591   Tabula Rasa Healthcare, Inc.*^    $ 839,495  
    

 

 

 

       9,990,051  
    

 

 

 

Hotels, Restaurants & Leisure (1.6%):

  
22,039   BJ’s Restaurants, Inc.      648,828  
78,102   Bloomin’ Brands, Inc.      1,192,618  
44,304   Brinker International, Inc.      1,892,667  
41,074   Cheesecake Factory, Inc. (The)^      1,139,393  
19,526   Chuy’s Holdings, Inc.*      382,319  
46,430   Dave & Buster’s Entertainment, Inc.^      703,879  
16,238   Dine Brands Global, Inc.      886,432  
19,714   El Pollo Loco Holdings, Inc.*      319,367  
17,907   Fiesta Restaurant Group, Inc.*      167,789  
12,797   Monarch Casino & Resort, Inc.*      570,746  
15,225   Red Robin Gourmet Burgers*^      200,361  
31,904   Ruth’s Hospitality Group, Inc.      352,858  
34,927   Shake Shack, Inc., Class A*^      2,252,092  
    

 

 

 

             10,709,349  
    

 

 

 

Household Durables (3.1%):

  
8,333   Cavco Industries, Inc.*      1,502,523  
28,670   Century Communities, Inc.*      1,213,601  
20,594   Ethan Allen Interiors, Inc.      278,843  
22,453   Installed Building Products, Inc.*      2,284,593  
27,297   iRobot Corp.*^      2,071,842  
44,636   La-Z-Boy, Inc.      1,411,837  
21,759   LGI Homes, Inc.*      2,527,743  
28,180   M/I Homes, Inc.*      1,297,689  
49,384   MDC Holdings, Inc.      2,325,986  
37,019   Meritage Homes Corp.*      4,086,528  
48,238   Tupperware Brands Corp.*      972,478  
13,357   Universal Electronics, Inc.*      504,093  
    

 

 

 

       20,477,756  
    

 

 

 

Household Products (0.7%):

  
9,343   Central Garden & Pet Co.*      373,066  
38,382   Central Garden & Pet Co., Class A*      1,387,125  
13,302   WD-40 Co.      2,518,202  
    

 

 

 

       4,278,393  
    

 

 

 

Industrial Conglomerates (0.1%):

  
34,684   Raven Industries, Inc.      746,400  
    

 

 

 

Insurance (3.4%):

  
47,563   AMBAC Financial Group, Inc.*      607,380  
92,559   American Equity Investment Life Holding Co.      2,035,372  
20,077   Amerisafe, Inc.      1,151,617  
25,363   eHealth, Inc.*      2,003,677  
29,991   Employers Holdings, Inc.      907,228  
11,676   Fidelity National Financial, Inc.      365,576  
6,848   HCI Group, Inc.      337,538  
40,917   Horace Mann Educators Corp.      1,366,628  
30,699   James River Group Holdings      1,367,027  
21,172   Kinsale Capital Group, Inc.      4,026,491  
21,645   Palomar Holdings, Inc.*      2,256,275  
53,366   ProAssurance Corp.      834,644  
14,283   Safety Insurance Group, Inc.      986,812  
27,154   Stewart Information Services Corp.      1,187,444  
86,413   Third Point Reinsurance, Ltd.*      600,570  
14,301   Trupanion, Inc.*      1,128,349  
22,479   United Fire Group, Inc.      456,773  
22,986   United Insurance Holdings Co.      139,295  
29,574   Universal Insurance Holdings, Inc.      409,304  
    

 

 

 

       22,168,000  
    

 

 

 

Interactive Media & Services (0.1%):

  
48,281   QuinStreet, Inc.*      764,771  
    

 

 

 

Internet & Direct Marketing Retail (0.9%):

  
26,152   Liquidity Services, Inc.*      195,094  
Shares    Fair Value

Common Stocks, continued

  

Internet & Direct Marketing Retail, continued

 

20,077   PetMed Express, Inc.^    $ 634,835  
21,718   Shutterstock, Inc.      1,130,205  
17,243   Stamps.com, Inc.*      4,154,700  
    

 

 

 

       6,114,834  
    

 

 

 

IT Services (2.3%):

  
34,658   Cardtronics plc*      686,228  
32,052   CSG Systems International, Inc.      1,312,529  
58,483   Evertec, Inc.      2,029,945  
33,409   Exlservice Holdings, Inc.*      2,203,991  
26,520   ManTech International Corp., Class A      1,826,698  
65,237   NIC, Inc.      1,285,169  
32,858   Perficient, Inc.*      1,404,351  
38,984   Sykes Enterprises, Inc.*      1,333,643  
18,149   TTEC Holdings, Inc.      990,028  
62,012   Unisys Corp.*      661,668  
27,935   Virtusa Corp.*      1,373,285  
    

 

 

 

             15,107,535  
    

 

 

 

Leisure Products (1.1%):

  
92,314   Callaway Golf Co.      1,766,890  
17,169   Sturm, Ruger & Co., Inc.      1,050,056  
57,254   Vista Outdoor, Inc.*      1,155,386  
73,739   YETI Holdings, Inc.*      3,341,851  
    

 

 

 

       7,314,183  
    

 

 

 

Life Sciences Tools & Services (0.8%):

  
42,157   Luminex Corp.      1,106,621  
108,736   Neogenomics, Inc.*      4,011,271  
    

 

 

 

       5,117,892  
    

 

 

 

Machinery (6.2%):

  
9,593   Alamo Group, Inc.      1,036,332  
29,866   Albany International Corp., Class A      1,478,666  
22,407   Astec Industries, Inc.      1,215,580  
45,031   Barnes Group, Inc.      1,609,408  
34,542   Chart Industries, Inc.*      2,427,266  
19,826   CIRCOR International, Inc.*      542,241  
14,724   DMC Global, Inc.      485,009  
58,525   Enerpac Tool Group Corp.*      1,100,855  
20,024   EnPro Industries, Inc.      1,129,554  
25,464   ESCO Technologies, Inc.      2,051,380  
59,112   Federal Signal Corp.      1,729,026  
37,627   Franklin Electric Co., Inc.      2,213,596  
77,146   Harsco Corp.*      1,073,101  
73,599   Hillenbrand, Inc.      2,087,268  
31,060   John Bean Technologies Corp.      2,854,103  
10,570   Lindsay Corp.      1,021,908  
16,836   Lydall, Inc.*      278,467  
70,638   Meritor, Inc.*      1,479,160  
55,296   Mueller Industries, Inc.      1,496,310  
26,188   Proto Labs, Inc.*      3,391,346  
43,822   SPX Corp.*      2,032,464  
41,767   SPX FLOW, Inc.*      1,788,463  
11,754   Standex International Corp.      695,837  
17,946   Tennant Co.      1,083,221  
32,061   The Greenbrier Cos., Inc.      942,593  
51,332   Titan International, Inc.      148,349  
51,881   Wabash National Corp.      620,497  
26,649   Watts Water Technologies, Inc., Class A      2,668,897  
    

 

 

 

       40,680,897  
    

 

 

 

Marine (0.3%):

 

42,068   Matson, Inc.      1,686,506  
    

 

 

 

Media (0.4%):

 

55,910   E.W. Scripps Co. (The), Class A      639,611  
128,158   Gannett Co, Inc.*      166,605  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Small Cap Stock Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares         Fair Value

Common Stocks, continued

  

Media, continued

  
39,183   Meredith Corp.    $ 514,081  
28,454   Scholastic Corp.      597,249  
23,315   TechTarget, Inc.*      1,024,928  
    

 

 

 

             2,942,474  
    

 

 

 

Metals & Mining (1.5%):

  
122,741   Allegheny Technologies, Inc.*      1,070,302  
94,978   Arconic Corp.*      1,809,331  
46,210   Carpenter Technology Corp.      839,174  
49,893   Century Aluminum Co.*      355,238  
392,176   Cleveland-Cliffs, Inc.^      2,517,769  
10,814   Haynes International, Inc.      184,811  
15,159   Kaiser Aluminum Corp.      812,371  
19,767   Materion Corp.      1,028,477  
8,238   Olympic Steel, Inc.      93,584  
79,926   SunCoke Energy, Inc.      273,347  
37,591   TimkenSteel Corp.*      133,448  
50,167   Warrior Met Coal, Inc.      856,852  
    

 

 

 

       9,974,704  
    

 

 

 

Mortgage Real Estate Investment Trusts (1.1%):

 

132,029   Apollo Commercial Real Estate Finance, Inc.      1,189,581  
63,176   Armour Residential REIT, Inc.      600,804  
94,330   Capstead Mortgage Corp.      530,135  
53,168   Granite Point Mortgage Trust, Inc.      376,961  
175,325   Invesco Mortgage Capital, Inc.^      475,131  
26,555   KKR Real Estate Finance Trust, Inc.      438,954  
367,830   New York Mortgage Trust, Inc.      937,967  
97,355   Pennymac Mortgage Investment Trust      1,564,494  
40,965   Ready Capital Corp.      458,808  
113,278   Redwood Trust, Inc.      851,851  
    

 

 

 

       7,424,686  
    

 

 

 

Multiline Retail (0.5%):

  
34,993   Big Lots, Inc.      1,560,688  
302,316   Macy’s, Inc.^      1,723,201  
    

 

 

 

       3,283,889  
    

 

 

 

Multi-Utilities (0.3%):

  
65,600   Avista Corp.      2,238,272  
    

 

 

 

Oil, Gas & Consumable Fuels (1.6%):

  
18,251   Bonanza Creek Energy, Inc.*      343,119  
38,038   Callon Petroleum Co.*^      183,343  
24,208   CONSOL Energy, Inc.*      107,241  
32,466   Dorian LPG, Ltd.*      260,053  
33,417   Green Plains, Inc.*      517,295  
149,563   Gulfport Energy Corp.*      78,835  
8,241   Laredo Petroleum, Inc.*      80,762  
108,294   Matador Resources Co.*      894,508  
293,501   Oasis Petroleum, Inc.*^      82,180  
39,139   PAR Pacific Holdings, Inc.*      264,971  
93,166   PBF Energy, Inc., Class A      530,115  
97,970   PDC Energy, Inc.*      1,214,338  
14,566   Penn Virginia Corp.*      143,475  
235,348   QEP Resources, Inc.      212,472  
251,992   Range Resources Corp.      1,668,187  
38,662   Renewable Energy Group, Inc.*      2,065,325  
5,302   REX American Resources Corp.*      347,864  
100,515   SM Energy Co.      159,819  
593,780   Southwestern Energy Co.*      1,395,383  
23,118   Talos Energy, Inc.*      149,111  
    

 

 

 

       10,698,396  
    

 

 

 

Paper & Forest Products (0.7%):

  
38,663   Boise Cascade Co.      1,543,427  
16,614   Clearwater Paper Corp.*      630,335  
38,004   Mercer International, Inc.      250,826  
Shares         Fair Value

Common Stocks, continued

  

Paper & Forest Products, continued

  
15,861   Neenah, Inc.    $ 594,312  
42,817   P.H. Glatfelter Co.      589,590  
30,102   Schweitzer-Mauduit International, Inc.      914,800  
    

 

 

 

       4,523,290  
    

 

 

 

Personal Products (0.5%):

  
16,837   Inter Parfums, Inc.      628,862  
11,524   Medifast, Inc.      1,895,122  
11,659   Usana Health Sciences, Inc.*      858,685  
    

 

 

 

       3,382,669  
    

 

 

 

Pharmaceuticals (1.2%):

  
35,377   Amphastar Pharmaceuticals, Inc.*      663,319  
9,121   ANI Pharmaceuticals, Inc.*      257,303  
102,110   Corcept Therapeutics, Inc.*      1,777,225  
224,827   Endo International plc*      741,929  
60,624   Innoviva, Inc.*      633,521  
32,243   Lannett Co., Inc.*      197,005  
42,145   Pacira BioSciences, Inc.*      2,533,757  
19,499   Phibro Animal Health Corp., Class A      339,283  
51,304   Supernus Pharmaceuticals, Inc.*      1,069,175  
    

 

 

 

       8,212,517  
    

 

 

 

Professional Services (1.1%):

  
50,368   Exponent, Inc.      3,628,008  
10,808   Forrester Research, Inc.*      354,394  
18,616   Heidrick & Struggles International, Inc.      365,804  
32,237   Kelly Services, Inc., Class A      549,318  
54,323   Korn Ferry      1,575,368  
28,171   Resources Connection, Inc.      325,375  
35,158   Trueblue, Inc.*      544,597  
    

 

 

 

       7,342,864  
    

 

 

 

Real Estate Management & Development (0.7%):

 

99,487   Essential Properties Realty Trust, Inc.      1,822,601  
23,328   Marcus & Millichap, Inc.*      641,987  
17,772   RE/MAX Holdings, Inc., Class A      581,678  
114,262   Realogy Holdings Corp.*      1,078,633  
30,582   The St Joe Co.*      630,907  
    

 

 

 

       4,755,806  
    

 

 

 

Road & Rail (0.9%):

  
25,187   ArcBest Corp.      782,308  
47,478   Heartland Express, Inc.      883,091  
58,282   Marten Transport, Ltd.      951,162  
25,748   Saia, Inc.*      3,247,853  
    

 

 

 

             5,864,414  
    

 

 

 

Semiconductors & Semiconductor

Equipment (3.8%):

  
37,600   Advanced Energy Industries, Inc.*      2,366,544  
33,060   Axcelis Technologies, Inc.*      727,320  
72,176   Brooks Automation, Inc.      3,338,862  
21,998   CEVA, Inc.*      866,061  
41,665   Cohu, Inc.      715,805  
41,088   Diodes, Inc.*      2,319,418  
21,331   DSP Group, Inc.*      281,143  
75,642   FormFactor, Inc.*      1,885,755  
22,245   Ichor Holdings, Ltd.*      479,825  
60,201   Kulicke & Soffa Industries, Inc.      1,348,502  
65,440   MaxLinear, Inc., Class A*      1,520,826  
48,045   Onto Innovation, Inc.*      1,430,780  
29,419   PDF Solutions, Inc.*      550,429  
62,270   Photronics, Inc.*      620,209  
58,235   Power Integrations, Inc.      3,226,219  
111,722   Rambus, Inc.*      1,529,474  
13,661   SMART Global Holdings, Inc.*      373,492  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Small Cap Stock Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares         Fair Value

Common Stocks, continued

  
Semiconductors & Semiconductor Equipment, continued   
39,588   Ultra Clean Holdings, Inc.*    $ 849,558  
48,242   Veeco Instruments, Inc.*      562,984  
    

 

 

 

       24,993,206  
    

 

 

 

Software (2.6%):

  
102,075   8x8, Inc.*      1,587,266  
20,227   Agilysys, Inc.*      488,684  
43,850   Alarm.com Holding, Inc.*      2,422,713  
38,269   Bottomline Technologies, Inc.*      1,613,421  
22,956   Ebix, Inc.      472,894  
60,452   LivePerson, Inc.*      3,142,898  
7,075   MicroStrategy, Inc., Class A*      1,065,212  
33,555   OneSpan, Inc.*      703,313  
44,292   Progress Software Corp.      1,624,631  
34,849   Sps Commerce, Inc.*      2,713,692  
105,992   Xperi Holding Corp.      1,217,848  
    

 

 

 

       17,052,572  
    

 

 

 

Specialty Retail (3.2%):

  
61,043   Abercrombie & Fitch Co., Class A      850,329  
6,279   America’s Car Mart, Inc.*      532,962  
18,869   Asbury Automotive Group, Inc.*      1,838,784  
30,293   Barnes & Noble Education, Inc.*      78,156  
123,770   Bed Bath & Beyond, Inc.^      1,854,075  
28,477   Boot Barn Holdings, Inc.*      801,343  
37,683   Caleres, Inc.      360,249  
18,565   Cato Corp., Class A      145,178  
107,511   Chico’s FAS, Inc.      104,554  
18,617   Conn’s, Inc.*      196,968  
57,150   Designer Brands, Inc., Class A      310,325  
53,707   GameStop Corp., Class A*^      547,811  
13,504   Genesco, Inc.*      290,876  
16,830   Group 1 Automotive, Inc.      1,487,604  
36,576   Guess?, Inc.      425,013  
16,808   Haverty Furniture Cos., Inc.      351,960  
16,324   Hibbett Sports, Inc.*      640,227  
28,807   Lumber Liquidators Holdings, Inc.*      635,194  
21,606   MarineMax, Inc.*      554,626  
72,313   Michaels Cos., Inc. (The)*^      698,182  
32,169   Monro, Inc.      1,305,096  
51,487   ODP Corp. (The)*      1,001,422  
47,158   Rent-A-Center, Inc.      1,409,553  
8,405   Shoe Carnival, Inc.^      282,240  
50,949   Signet Jewelers, Ltd.      952,746  
27,128   Sleep Number Corp.*      1,326,830  
23,836   Sonic Automotive, Inc., Class A      957,254  
27,874   The Buckle, Inc.^      568,351  
14,037   The Children’s Place, Inc.^      397,949  
20,302   Zumiez, Inc.*      564,802  
    

 

 

 

             21,470,659  
    

 

 

 

Technology Hardware, Storage &

Peripherals (0.2%):

  
119,927   3D Systems Corp.*^      588,842  
76,774   Diebold Nixdorf, Inc.*      586,553  
    

 

 

 

       1,175,395  
    

 

 

 

Textiles, Apparel & Luxury Goods (1.8%):

 

146,635   Capri Holdings, Ltd.*      2,639,431  
66,250   Crocs, Inc.*      2,830,863  
44,877   Fossil Group, Inc.*      257,594  
41,895   G-III Apparel Group, Ltd.*      549,243  
45,520   Kontoor Brands, Inc.      1,101,584  
15,443   Movado Group, Inc.      153,503  
16,140   Oxford Industries, Inc.      651,410  
74,155   Steven Madden, Ltd.      1,446,023  
14,271   Unifi, Inc.*      183,240  
20,935   Vera Bradley, Inc.*      127,913  

Contracts,

Shares,

Notional

Amount or

Principal

Amount

         Fair Value  

Common Stocks, continued

  

Textiles, Apparel & Luxury Goods, continued

 

79,780    Wolverine World Wide, Inc.    $ 2,061,515  
     

 

 

 
        12,002,319  
     

 

 

 

Thrifts & Mortgage Finance (1.7%):

  
51,810    Axos Financial, Inc.*      1,207,691  
27,765    Dime Community Bancshares, Inc.      314,022  
41,479    Flagstar Bancorp, Inc.      1,229,023  
22,858    HomeStreet, Inc.      588,822  
33,831    Meta Financial Group, Inc.      650,232  
72,029    Mr Cooper Group, Inc.*      1,607,687  
83,400    NMI Holdings, Inc., Class A*      1,484,520  
45,074    Northfield Bancorp, Inc.      411,075  
119,451    Northwest Bancshares, Inc.      1,098,949  
71,210    Provident Financial Services, Inc.      868,762  
93,939    TrustCo Bank Corp NY      490,362  
28,537    Wawlker & Dunlop, Inc.      1,512,461  
     

 

 

 
              11,463,606  
     

 

 

 

Tobacco (0.3%):

  
23,242    Universal Corp.      973,375  
123,723    Vector Group, Ltd.      1,198,876  
     

 

 

 
        2,172,251  
     

 

 

 

Trading Companies & Distributors (0.8%):

  
38,012    Applied Industrial Technologies, Inc.      2,094,461  
15,591    DXP Enterprises, Inc.*      251,483  
22,022    Foundation Building Materials, Inc.*      346,186  
41,826    GMS, Inc.*      1,008,007  
26,525    Kaman Corp., Class A      1,033,679  
106,200    NOW, Inc.*      482,148  
11,879    Veritiv Corp.*      150,388  
     

 

 

 
        5,366,352  
     

 

 

 

Water Utilities (0.7%):

  
35,973    American States Water Co.      2,696,177  
48,132    California Water Service Group      2,091,335  
     

 

 

 
        4,787,512  
     

 

 

 

Wireless Telecommunication Services (0.4%):

 

48,942    Shenandoah Telecommunications Co.      2,174,738  
16,538    Spok Holdings, Inc.      157,276  
     

 

 

 
        2,332,014  
     

 

 

 

Total Common Stocks (Cost $614,878,700)

     655,363,249  
  

 

 

 
Short-Term Securities Held as Collateral for Securities on Loan (3.4%):   
  22,194,505    BlackRock Liquidity FedFund, Institutional Class , 1.81%(c)(d)      22,194,505  
     

 

 

 

Total Short-Term Securities Held as Collateral for Securities on Loan (Cost $22,194,505)

     22,194,505  
  

 

 

 

Unaffiliated Investment Companies (1.1%):

 

Money Markets (1.1%):

  
7,083,785    Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(d)      7,083,785  
     

 

 

 

Total Unaffiliated Investment Companies

(Cost $7,083,785)

     7,083,785  
  

 

 

 
 

 

See accompanying notes to the schedules of portfolio investments.


AZL Small Cap Stock Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,

Shares,

Notional

Amount or

Principal

Amount

   Fair Value
  Total Investment Securities
(Cost $644,156,990) - 103.5%
     $684,641,539  
  Net other assets (liabilities) - (3.5)%      (22,992,861)  
    

 

 

 

  Net Assets - 100.0%        $661,648,678  
    

 

 

 

Percentages indicated are based on net assets as of September 30, 2020.

 

REIT   -    Real Estate Investment Trust

 

*   Non-income producing security.
^   This security or a partial position of this security was on loan as of September 30, 2020. The total value of securities on loan as of September 30, 2020 was $21,358,859.
(a)   Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of September 30, 2020. The total of all such securities represent 0.00% of the net assets of the fund.
(b)   Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of September 30, 2020, these securities represent 0.00% of the net assets of the fund.
(c)   Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before September 30, 2020.
(d)   The rate represents the effective yield at September 30, 2020.

Amounts shown as “—“ are either $0 or round less than $1.

                    

 

 

See accompanying notes to the schedules of portfolio investments.


AZL Small Cap Stock Index Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

 

Futures Contracts

At September 30, 2020, the Fund’s open futures contracts were as follows:

Long Futures

 

Description    Expiration
Date
    

Number of

Contracts

     Notional
Amount
   

 Value and  

 Unrealized  

 Appreciation/  

 (Depreciation)  

Russell 2000 Mini Index December Futures (U.S. Dollar)

     12/18/20        170      $     12,787,400       $ 52,428  
          

 

 

 

             $           52,428    
          

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL T. Rowe Price Capital Appreciation Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Shares          Fair Value

Common Stocks (69.1%):

  

Aerospace & Defense (0.3%):

  

12,531

   Teledyne Technologies, Inc.*    $         3,887,242  
     

 

 

 

Banks (4.6%):

  

977,406

   Bank of America Corp.      23,545,711  

288,962

   PNC Financial Services Group, Inc. (The)      31,759,813  
     

 

 

 

        55,305,524  
     

 

 

 

Beverages (1.3%):

  

564,611

   Keurig Dr Pepper, Inc.      15,583,264  
     

 

 

 

Capital Markets (1.4%):

  

56,173

   CME Group, Inc.      9,398,305  

73,480

   Intercontinental Exchange, Inc.      7,351,674  
     

 

 

 

        16,749,979  
     

 

 

 

Commercial Services & Supplies (0.6%):

  

73,041

   Waste Connections, Inc.      7,581,656  
     

 

 

 

Electric Utilities (5.2%):

  

77,785

   Alliant Energy Corp.      4,017,595  

501,697

   American Electric Power Co., Inc.      41,003,696  

361,700

   Exelon Corp.      12,934,392  

18,668

   NextEra Energy, Inc.      5,181,490  
     

 

 

 

        63,137,173  
     

 

 

 

Electronic Equipment, Instruments & Components (1.4%):   

177,316

   TE Connectivity, Ltd.      17,330,866  
     

 

 

 

Gas Utilities (0.3%):

  

41,935

   Atmos Energy Corp.      4,008,567  
     

 

 

 

Health Care Equipment & Supplies (6.4%):

  

115,093

   Becton Dickinson & Co.      26,779,839  

423,082

   Boston Scientific Corp.*      16,165,963  

116,929

   Danaher Corp.      25,178,322  

361,335

   Envista Holdings Corp.*      8,917,748  
     

 

 

 

        77,041,872  
     

 

 

 

Health Care Providers & Services (4.6%):

  

73,994

   Humana, Inc.      30,625,376  

79,667

   UnitedHealth Group, Inc.      24,837,781  
     

 

 

 

        55,463,157  
     

 

 

 

Hotels, Restaurants & Leisure (3.8%):

  

153,180

   Hilton Worldwide Holdings, Inc.      13,069,318  

148,670

   Marriott International, Inc., Class A      13,763,869  

206,670

   Yum! Brands, Inc.      18,868,970  
     

 

 

 

        45,702,157  
     

 

 

 

Industrial Conglomerates (4.4%):

  

7,544,871

   General Electric Co.      47,004,546  

15,378

   Roper Technologies, Inc.      6,076,002  
     

 

 

 

        53,080,548  
     

 

 

 

Insurance (3.0%):

  

25,334

   Arthur J. Gallagher & Co.      2,674,764  

291,998

   Marsh & McLennan Cos., Inc.      33,492,170  
     

 

 

 

        36,166,934  
     

 

 

 

Interactive Media & Services (4.3%):

  

1,201

   Alphabet, Inc., Class A*      1,760,186  

25,634

   Alphabet, Inc., Class C*      37,671,726  

49,910

   Facebook, Inc., Class A*      13,071,429  
     

 

 

 

        52,503,341  
     

 

 

 

Internet & Direct Marketing Retail (3.2%):

  

12,334

   Amazon.com, Inc.*      38,836,436  
     

 

 

 

IT Services (7.9%):

  

339,692

   Fiserv, Inc.*      35,005,262  

144,271

   Global Payments, Inc.      25,619,644  

18,199

   MasterCard, Inc., Class A      6,154,356  

143,527

   Visa, Inc., Class A      28,701,094  
     

 

 

 

        95,480,356  
     

 

 

 

Shares

          Fair Value  

Common Stocks, continued

  

Life Sciences Tools & Services (2.9%):

  

99,765

   PerkinElmer, Inc.    $       12,521,505  

50,416

   Thermo Fisher Scientific, Inc.      22,259,672  
     

 

 

 

        34,781,177  
     

 

 

 

Machinery (2.4%):

  

179,396

   Fortive Corp.*      13,671,769  

447,515

   Ingersoll-Rand, Inc.*      15,931,534  
     

 

 

 

        29,603,303  
     

 

 

 

Multi-Utilities (3.0%):

  

275,381

   Ameren Corp.      21,777,129  

657,199

   NiSource, Inc.      14,458,378  
     

 

 

 

        36,235,507  
     

 

 

 

Semiconductors & Semiconductor Equipment (2.1%):   

201,829

   NXP Semiconductors NV      25,190,277  
     

 

 

 

Software (5.4%):

  

311,700

   Microsoft Corp.      65,559,861  
     

 

 

 

Specialty Retail (0.6%):

  

77,720

   Ross Stores, Inc.      7,252,830  
     

 

 

 

Total Common Stocks (Cost $691,003,156)

     836,482,027  
  

 

 

 

Preferred Stocks (2.1%):

  

Banks (0.1%):

  

3,850

   U.S. Bancorp, Series K, 5.50%, 12/30/19      103,950  

822

   Wells Fargo & Co., Series L, Class A, 0.01%, 11/27/19      1,103,165  
     

 

 

 

        1,207,115  
     

 

 

 

Capital Markets (0.0%):

  

3,600

   Charles Schwab Corp. (The), Series D, 5.95%, 11/14/19      92,592  
     

 

 

 

Electric Utilities (0.7%):

  

18,267

   Alabama Power Co., Series A, 5.00%      511,476  

81,917

   Duke Energy Corp., 3.50%, 9/15/78      2,257,633  

75,256

   NextEra Energy, Inc., 3.00%, 3/1/23      3,512,950  

1,201

   SCE Trust III, Series H, 1.03%, 12/12/19, Perpetual Bond      26,758  

98,681

   SCE Trust IV, Series J, 2.85%, 12/31/49      2,203,547  
     

 

 

 

        8,512,364  
     

 

 

 

Health Care Equipment & Supplies (0.3%):

  

36,473

   Boston Scientific Corp., 5.50%, 6/1/23      4,080,235  
     

 

 

 

Multi-Utilities (1.0%):

  

122,500

   CMS Energy Corp., 1.54%, 10/15/78      3,237,675  

163,900

   CMS Energy Corp., 1.51%, 3/1/79      4,410,548  

89,431

   DTE Energy Co., Series E, 5.25%, 12/1/77      2,359,190  

80,120

   NiSource, Inc., Series B, 2.83%, 11/21/19      2,210,511  
     

 

 

 

        12,217,924  
     

 

 

 

Total Preferred Stocks (Cost $24,906,599)

     26,110,230  
  

 

 

 

Convertible Preferred Stocks (1.0%):

  

Electric Utilities (0.1%):

  

36,961

   American Electric Power Co., Inc., 5.52%, 3/15/22^      1,792,978  
     

 

 

 

Life Sciences Tools & Services (0.7%):

  

111,207

   Avantor, Inc., Series A, 5/15/22      8,089,197  
     

 

 

 

Machinery (0.2%):

  

2,609

   Fortive Corp., Series A, 0.03%, 7/1/21      2,442,911  
     

 

 

 

Total Convertible Preferred Stocks (Cost $9,966,473)

     12,325,086  
  

 

 

 

 

 

See accompanying notes to the schedules of portfolio investments.


AZL T. Rowe Price Capital Appreciation Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,

Shares,

Notional

Amount or

Principal

Amount

          Fair Value      

Asset Backed Securities (0.4%):

  

$640,163

  

Dominos Pizza Master Issuer LLC, Class A2, Series 2019-1A, 3.67%, 10/25/49, Callable 10/25/26 @ 100(a)

   $       679,560  

1,435,410

  

Dominos Pizza Master Issuer LLC, Class A23, Series 2018-1A, 4.12%, 7/25/47, Callable 7/25/24 @ 100(a)

     1,534,869  

1,362,200

  

Dominos Pizza Master Issuer LLC, Class A2I, Series 2018-1A, 4.12%, 7/25/48, Callable 10/25/22 @ 100(a)

     1,449,135  

906,370

  

Wendy’s Funding LLC, Class A2I, Series 2018-1A, 3.57%, 3/15/48, Callable 3/15/22 @ 100(a)

     935,800  
     

 

 

 

Total Asset Backed Securities (Cost $4,308,713)

     4,599,364  
  

 

 

 

Bank Loans (5.5%):

  

Airlines (0.4%):

  

5,430,000

  

Delta 2 Lux Sarl, 0.00%, 2/1/24

     5,255,806  
     

 

 

 

Chemicals (0.0%):

  

517,172

  

H.B. Fuller Co. Term Loan B-1, 0.02% (US0003M ), 10/20/24, Callable 11/7/20 @ 100

     509,611  
     

 

 

 

Insurance (1.5%):

  

642,257

  

AmWINS Group, Inc., 0.28% (US0003M ), 1/25/24, Callable 11/7/20 @ 101

     635,687  

17,934,423

  

HUB International, Ltd., 0.03% (US0003M ), 4/25/25

     17,310,126  
     

 

 

 

        17,945,813  
     

 

 

 

IT Services (2.5%):

  

30,207,084

  

Refinitiv US Holdings, Inc. Term Loan B-1, 0.33% (US0001M ), 10/1/25

     29,878,128  
     

 

 

 

Pharmaceuticals (0.0%):

  

60,776

  

Prestige Brands, Inc. Term Loan B5-1, 0.02% (US0003M ), 1/26/24, Callable 11/7/20 @ 100

     60,207  
     

 

 

 

Software (1.1%):

  

12,552,109

  

CCC Information Services, Inc. Term Loan B-1, 0.03% (US0003M ), 4/29/24, Callable 11/7/20 @ 100

     12,444,914  

499,950

  

Ultimate Software Term Loan B-1l Bankdebt, 0.00%, 4/8/26

     495,090  
     

 

 

 

            12,940,004  
     

 

 

 

Total Bank Loans (Cost $67,229,972)

     66,589,569  
  

 

 

 

Corporate Bonds (16.0%):

  

Airlines (0.5%):

  

1,775,000

  

Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.50%, 10/20/25(a)

     1,817,156  

1,150,000

  

Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28(a)

     1,191,688  

820,000

  

Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets, Ltd., 6.50%, 6/20/27, Callable 6/30/23 @ 103.25(a)

     852,800  

Contracts,

Shares,

Notional

Amount or

Principal

Amount

          Fair Value      

Corporate Bonds, continued

  

Airlines, continued

  

$2,425,000

  

SkyMiles IP, Ltd., 4.75%, 10/20/27, Callable 9/23/23 @ 104

   $       2,441,029  

224,567

  

U.S. Airways Group, Inc., Series 2010-1A, 6.25%, 10/22/24

     201,470  
     

 

 

 

        6,504,143  
     

 

 

 

Banks (0.1%):

  

1,580,000

  

PNC Financial Services Group, Inc., Series S, 5.00% (US0003M+330 bps), 12/31/49, Callable 11/1/26 @ 100

     1,664,925  
     

 

 

 

Building Products (0.1%):

  

463,767

  

Filteration Group Corp., 0.00%, 3/29/25, Callable 11/7/20 @ 100

     453,986  

280,000

  

Lennox International, Inc., 3.00%, 11/15/23, Callable 9/15/23 @ 100

     295,544  
     

 

 

 

        749,530  
     

 

 

 

Capital Markets (0.2%):

  

1,415,000

  

Bank of New York Mellon Corp. (The), Series E, 3.65% (US0003M+342 bps), Callable 12/20/20 @ 100

     1,386,700  

1,355,000

  

State Street Corp., Series F, 3.85% (US0003M+360 bps), Callable 12/15/20 @ 100

     1,327,900  
     

 

 

 

        2,714,600  
     

 

 

 

Chemicals (0.6%):

  

5,403,302

  

USI, Inc., 3.24% (US0003M ), 5/16/24

     5,218,671  

585,000

  

USI, Inc., 4.14%, 12/2/26, Callable 11/7/20 @ 100

     578,173  

1,180,000

  

USI, Inc., 0.00%, 12/2/26

     1,166,229  
     

 

 

 

        6,963,073  
     

 

 

 

Containers & Packaging (0.1%):

  

1,230,000

  

Reynolds Group Issuer, Inc., 5.13%, 7/15/23, Callable 11/9/20 @
101.28(a)

     1,239,225  
     

 

 

 

Diversified Consumer Services (0.3%):

  

3,571,050

  

Lgc Group TL, 0.00%, 1/24/27

     3,463,919  
     

 

 

 

Electric Utilities (0.2%):

  

1,179,478

  

Alliant Holdings Intermediate LLC, 0.00%, 5/10/25, Callable 11/7/20 @ 100

     1,143,953  

975,000

  

Alliant Holdings Intermediate LLC, 3.51%, 5/10/25, Callable 11/7/20 @ 100

     956,309  
     

 

 

 

        2,100,262  
     

 

 

 

Entertainment (2.2%):

  

300,000

  

Netflix, Inc., 5.50%, 2/15/22

     314,250  

1,690,000

  

Netflix, Inc., 5.88%, 2/15/25

     1,903,363  

4,385,000

  

Netflix, Inc., 4.38%, 11/15/26

     4,763,206  

5,093,000

  

Netflix, Inc., 4.88%, 4/15/28

     5,716,893  

7,145,000

  

Netflix, Inc., 5.88%, 11/15/28

     8,466,824  

3,940,000

  

Netflix, Inc., 6.38%, 5/15/29

     4,860,975  
     

 

 

 

            26,025,511  
     

 

 

 

Equity Real Estate Investment Trusts (0.3%):

  

2,332,000

  

SBA Communications Corp., 4.00%, 10/1/22, Callable 11/9/20 @ 101

     2,346,574  
 

 

See accompanying notes to the schedules of portfolio investments.


AZL T. Rowe Price Capital Appreciation Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,

Shares,

Notional

Amount or

Principal

Amount

          Fair Value      

Corporate Bonds, continued

  

Equity Real Estate Investment Trusts, continued

  

$1,191,000

  

SBA Communications Corp., 4.88%, 9/1/24, Callable 11/9/20 @ 102.44

   $       1,217,798  

605,000

  

SBA Communications Corp., 3.88%, 2/15/27, Callable 2/15/23 @
101.94(a)

     613,319  
     

 

 

 

        4,177,691  
     

 

 

 

Food & Staples Retailing (0.2%):

  

2,600,000

  

Dino Grandparent, Inc., 0.00%, 2/19/23

     2,548,000  
     

 

 

 

Health Care Equipment & Supplies (0.3%):

  

378,100

  

CPI Holdco LLC, 0.00%, 11/4/26, Callable 11/7/20 @ 100

     375,264  

1,190,000

  

Hologic, Inc., 4.38%, 10/15/25, Callable 10/15/20 @ 102.19(a)

     1,216,775  

1,260,000

  

Teleflex, Inc., 4.88%, 6/1/26, Callable 6/1/21 @ 102.44

     1,300,950  

860,000

  

Teleflex, Inc., 4.63%, 11/15/27, Callable 11/15/22 @ 102.31

     900,850  
     

 

 

 

        3,793,839  
     

 

 

 

Health Care Providers & Services (0.0%):

  

249,449

  

Versant Health Holdco, Inc., 4.00%, 12/1/24, Callable 11/6/20 @ 100

     248,513  
     

 

 

 

Hotels, Restaurants & Leisure (3.3%):

  

2,283,000

  

Cedar Fair, LP, 5.25%, 7/15/29, Callable 7/15/24 @ 102.63

     2,191,680  

3,038,000

  

Cedar Fair, LP /Canada’s Wonderland Co. /Magnum Management Corp., 5.38%, 6/1/24, Callable 11/9/20 @ 101.79

     2,977,240  

2,127,000

  

Cedar Fair, LP /Canada’s Wonderland Co. /Magnum Management Corp., 5.38%, 4/15/27, Callable 4/15/22 @ 102.69

     2,105,730  

850,657

  

Four Seasons Hotels, Ltd., 0.00%, 11/30/23, Callable 11/7/20 @ 100

     826,201  

1,015,000

  

Hilton Domestic Operating Co., Inc., 4.25%, 9/1/24, Callable 10/26/20 @ 101.06

     1,013,731  

235,000

  

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.63%, 4/1/25, Callable 10/26/20 @ 102.31

     237,350  

3,280,000

  

KFC Holding Co. /Pizza Hut Holdings LLC /Taco Bell of America LLC, 5.25%, 6/1/26, Callable 6/1/21 @ 102.63(a)

     3,407,100  

4,548,000

  

KFC Holding Co. /Pizza Hut Holdings LLC /Taco Bell of America LLC, 4.75%, 6/1/27, Callable 6/1/22 @ 102.38(a)

     4,746,974  

2,021,000

  

KFC Holding Co. /Pizza Hut Holdings LLC /Taco Bell Of America LLC, 5.00%, 6/1/24, Callable 10/9/20 @ 102.5(a)

     2,071,525  

2,459,814

  

Life Time, Inc., 0.00%, 6/15/22, Callable 11/7/20 @ 100

     2,228,173  

Contracts,

Shares,

Notional

Amount or

Principal

Amount

          Fair Value      

Corporate Bonds, continued

  

Hotels, Restaurants & Leisure, continued

  

$415,000

  

Marriott International, Inc., 0.90% (US0003M+65 bps), 3/8/21

   $       413,051  

355,000

  

Marriott International, Inc., 3.13%, 6/15/26, Callable 3/15/26 @ 100

     354,192  

3,249,000

  

Six Flags Entertainment Corp., 4.88%, 7/31/24, Callable 11/9/20 @ 102.44(a)

     3,070,305  

2,815,000

  

Six Flags Entertainment Corp., 5.50%, 4/15/27, Callable 4/15/22
@ 102.75^(a)

     2,660,175  

1,300,000

  

Six Flags Theme Parks, Inc., 7.00%, 7/1/25, Callable 7/1/22 @
103.5(a)

     1,381,250  

1,695,000

  

Yum! Brands, Inc., 3.88%, 11/1/20

     1,695,000  

3,169,000

  

Yum! Brands, Inc., 3.75%, 11/1/21, Callable 8/1/21 @ 100

     3,208,613  

1,312,000

  

Yum! Brands, Inc., 3.88%, 11/1/23, Callable 8/1/23 @ 100

     1,364,480  

370,000

  

Yum! Brands, Inc., 4.75%, 1/15/30, Callable 10/15/29 @ 100(a)

     399,600  

1,042,000

  

Yum! Brands, Inc., 6.88%, 11/15/37

     1,245,190  

1,889,000

  

Yum! Brands, Inc., 5.35%, 11/1/43, Callable 5/1/43 @ 100

     2,011,785  
     

 

 

 
              39,609,345  
     

 

 

 

Industrial Conglomerates (0.6%):

  

8,597,000

  

General Electric Co., Series D, 5.00% (US0003M+333 bps), Callable 1/21/21 @ 100

     6,930,137  
     

 

 

 

Insurance (1.0%):

  

90,000

  

AmWINS Group, Inc., 7.75%, 7/1/26, Callable 7/1/21 @ 105.81(a)

     96,300  

7,761,046

  

HUB International, Ltd., 0.00% (US0001M ), 4/25/25, Callable 11/6/20 @ 100

     7,724,647  

2,657,000

  

HUB International, Ltd., 7.00%, 5/1/26, Callable 5/1/21 @
103.5(a)

     2,753,316  

705,000

  

Ryan Specialty Group LLC, 0.00%, 7/23/27

     697,513  

1,045,000

  

USI, Inc., 6.88%, 5/1/25, Callable 11/9/20 @ 103.44(a)

     1,061,981  
     

 

 

 
        12,333,757  
     

 

 

 

IT Services (0.3%):

  

1,645,000

  

Refinitiv US Holdings, Inc., 6.25%, 5/15/26, Callable 11/15/21 @ 103.13(a)

     1,758,094  

1,835,000

  

Refinitiv US Holdings, Inc., 8.25%, 11/15/26, Callable 11/15/21 @ 104.13(a)

     2,011,619  
     

 

 

 
        3,769,713  
     

 

 

 

Life Sciences Tools & Services (0.5%):

  

300,000

  

Avantor Funding, Inc., 4.63%, 7/15/28, Callable 7/15/23 @ 102.31(a)

     311,250  

2,505,000

  

Avantor, Inc., 6.00%, 10/1/24, Callable 10/19/20 @ 104.5(a)

     2,617,725  

3,705,128

  

Nestle Skin Health, 0.00%, 10/1/26

     3,680,230  
     

 

 

 
        6,609,205  
     

 

 

 
 

 

See accompanying notes to the schedules of portfolio investments.


AZL T. Rowe Price Capital Appreciation Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Contracts,

Shares,

Notional

Amount or

Principal

Amount

          Fair Value    

Corporate Bonds, continued

  

Machinery (0.2%):

  

$339,150

  

Gardner Denver, Inc., 0.00%, 2/28/27, Callable 11/7/20 @ 101

   $ 333,992  

1,042,000

  

Manitowoc Foodservice, Inc., 9.50%, 2/15/24, Callable 11/9/20 @ 104.75^

     1,068,050  

500,000

  

Welbilt, Inc., 0.00%, 10/23/25, Callable 11/7/20 @ 100

     453,905  
     

 

 

 

              1,855,947  
     

 

 

 

Media (1.1%):

  

1,405,000

  

CCO Holdings LLC, 4.00%, 3/1/23, Callable 10/26/20 @ 102(a)

     1,415,538  

4,304,000

  

CCO Holdings LLC, 5.13%, 5/1/27, Callable 5/1/22 @ 102.56(a)

     4,519,200  

6,381,000

  

CCO Holdings LLC, 5.00%, 2/1/28, Callable 8/1/22 @ 102.5(a)

     6,700,049  

559,000

  

Liberty Broadband Corp., 2.75%, 9/30/50, Callable 10/5/23 @
100(a)

     599,265  

175,000

  

Sirius XM Radio, Inc., 3.88%, 8/1/22, Callable 11/9/20 @ 101.94(a)

     176,750  
     

 

 

 

        13,410,802  
     

 

 

 

Metals & Mining (0.4%):

  

4,490,000

  

Thyssenkrupp Term Loan B-1l Bankdebt, 0.00%, 6/30/27

     4,447,525  
     

 

 

 

Multi-Utilities (0.1%):

  

1,705,000

  

NiSource, Inc., 5.65% (H15T5Y+284 bps), 12/31/99, Callable 6/15/23 @ 100

     1,708,057  
     

 

 

 

Pharmaceuticals (0.1%):

  

1,239,000

  

Elanco Animal Health, Inc., 3.91%, 8/27/21

     1,271,561  
     

 

 

 

Professional Services (0.2%):

  

1,890,000

  

Clarivate TL B 1L Bankdebt, 0.00%, 10/31/26

     1,880,550  

405,000

  

Korn Ferry, 4.63%, 12/15/27, Callable 12/15/22 @ 102.31(a)

     411,075  
     

 

 

 

        2,291,625  
     

 

 

 

Software (2.5%):

  

519,692

  

Applied Systems, Inc., 4.25%, 9/19/24, Callable 11/7/20 @ 100

     515,955  

1,950,000

  

Capri Acquisition Bidco, Ltd., 3.47%, 11/30/24

     1,946,958  

3,365,265

  

Emerald Topco, Inc., 0.00% (US0001M ), 7/23/26, Callable 11/7/20 @ 100

     3,232,774  

8,725,000

  

Solera LLC, 10.50%, 3/1/24, Callable 11/9/20 @ 105.25(a)

     9,095,813  

525,000

  

Ultimate Software Group, Inc. (The), 7.50%, 5/3/27, Callable 11/7/20 @ 102

     533,752  

15,595,000

  

Ultimate Software Term Loan B-1l Bankdebt, 4.75%, 5/3/26, Callable 11/6/20 @ 101

     15,538,545  
     

 

 

 

        30,863,797  
     

 

 

 

Sovereign Bond (0.4%):

  

4,320,000

  

Mileage Plus Holdings LLC, 6.25%, 6/20/27

     4,387,219  
     

 

 

 

Contracts,

Shares,

Notional

Amount or

Principal

Amount

          Fair Value    

Corporate Bonds, continued

  

Specialty Retail (0.1%):

  

$448,867

  

PetVet Care Centers LLC, 5.25%, 2/14/25, Callable 11/7/20 @ 101

   $ 447,744  

175,000

  

PetVet Care Centers LLC, 3.50%, 2/14/25, Callable 11/7/20 @ 100

     171,063  

154,604

  

PetVet Care Centers LLC, 3.02%, 2/14/25, Callable 11/7/20 @ 100

     149,338  
     

 

 

 

        768,145  
     

 

 

 

Wireless Telecommunication Services (0.1%):

  

515,000

  

T-Mobile USA, Inc., 6.00%, 3/1/23, Callable 10/19/20 @ 100

     516,288  

240,000

  

T-Mobile USA, Inc., 6.50%, 1/15/26, Callable 1/15/21 @ 103.25

     250,800  
     

 

 

 

        767,088  
     

 

 

 

Total Corporate Bonds (Cost $187,748,482)

         193,217,154  
  

 

 

 

Yankee Dollars (0.2%):

  

Electrical Equipment (0.2%):

  

745,000

  

Sensata Technologies BV, 4.88%, 10/15/23(a)

     779,456  

260,000

  

Sensata Technologies BV, 5.63%, 11/1/24(a)

     280,475  

925,000

  

Sensata Technologies BV, 5.00%, 10/1/25(a)

     993,219  

300,000

  

Sensata Technologies UK Financing Co. plc, 6.25%, 2/15/26, Callable 2/15/21 @ 103.13(a)

     312,375  
     

 

 

 

        2,365,525  
     

 

 

 

Total Yankee Dollars (Cost $2,267,150)

     2,365,525  
  

 

 

 

Short-Term Securities Held as Collateral for Securities on Loan (0.3%):   

3,900,327

  

BlackRock Liquidity FedFund, Institutional Class,
1.81%(b)(c)

     3,900,327  
     

 

 

 

Total Short-Term Securities Held as Collateral for Securities on Loan (Cost $3,900,327)

     3,900,327  
  

 

 

 

Unaffiliated Investment Companies (7.3%):

  

Money Markets (7.3%):

  

88,189,902

  

Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.01%(c)

     88,189,902  
     

 

 

 

Total Unaffiliated Investment Companies (Cost $88,189,902)

     88,189,902  
  

 

 

 

Total Investment Securities

(Cost $1,079,520,774) - 101.9%

     1,233,779,184  

Net other assets (liabilities) - (1.9)%

     (23,299,640)  
  

 

 

 

Net Assets - 100.0%

     $1,210,479,544  
  

 

 

 

Percentages indicated are based on net assets as of September 30, 2020.

 

H15T5Y

  -    5 Year Treasury Constant Maturity Rate

LIBOR

  -    London Interbank Offered Rate

US0001M

  -    1 Month US Dollar LIBOR

US0003M

  -    3 Month US Dollar LIBOR
 

 

See accompanying notes to the schedules of portfolio investments.


AZL T. Rowe Price Capital Appreciation Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

*

Non-income producing security.

^

This security or a partial position of this security was on loan as of September 30, 2020. The total value of securities on loan as of September 30, 2020 was $3,738,095.

Represents less than 0.05%.

(a)

Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees.

(b)

Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before September 30, 2020.

(c)

The rate represents the effective yield at September 30, 2020.

    

 

 

See accompanying notes to the schedules of portfolio investments.


AZL T. Rowe Price Capital Appreciation Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

At September 30, 2020, the Fund’s over-the-counter options written were as follows:     

 

Description    Counterparty    Put/
Call
   Strike Price    Expiration
Date
   Contracts    Notional
Amount(a)
     Fair Value  

Alphabet, Inc.

   Citigroup    Call    1500.00 USD    1/15/21    22    $       33,000      $       (214,078)  

Alphabet, Inc.

   Goldman Sachs    Call    1740.00 USD    1/15/21    7      12,180        (18,322)  

Alphabet, Inc.

   Goldman Sachs    Call    1760.00 USD    1/15/21    7      12,320        (16,202)  

Alphabet, Inc.

   Goldman Sachs    Call    1780.00 USD    1/15/21    7      12,460        (14,304)  

Alphabet, Inc.

   Goldman Sachs    Call    1800.00 USD    1/15/21    7      12,600        (12,610)  

Alphabet, Inc.

   Goldman Sachs    Call    1760.00 USD    1/21/22    14      24,640        (148,591)  

Alphabet, Inc.

   Goldman Sachs    Call    1780.00 USD    1/21/22    14      24,920        (141,186)  

Alphabet, Inc.

   Goldman Sachs    Call    1800.00 USD    1/21/22    14      25,200        (134,106)  

Amazon.com, Inc.

   Credit Suisse First Boston    Call    3800.00 USD    1/21/22    6      22,800        (198,552)  

Amazon.com, Inc.

   Credit Suisse First Boston    Call    3900.00 USD    1/21/22    6      23,400        (183,607)  

Amazon.com, Inc.

   Credit Suisse First Boston    Call    4000.00 USD    1/21/22    6      24,000        (169,796)  

Amazon.com, Inc.

   Citigroup    Call    4000.00 USD    1/21/22    4      16,000        (113,198)  

Amazon.com, Inc.

   Citigroup    Call    4100.00 USD    1/21/22    4      16,400        (104,714)  

Amazon.com, Inc.

   Citigroup    Call    4200.00 USD    1/21/22    4      16,800        (96,941)  

Amazon.com, Inc.

   Citigroup    Call    4300.00 USD    1/21/22    3      12,900        (67,343)  

American Electric Power Co., Inc.

   Citigroup    Call    105.00 USD    1/15/21    341      35,805        (1,679)  

American Electric Power Co., Inc.

   Citigroup    Call    115.00 USD    1/15/21    101      11,615        (76)  

American Electric Power Co., Inc.

   JPMorgan Chase    Call    90.00 USD    1/21/22    184      16,560        (80,689)  

American Electric Power Co., Inc.

   JPMorgan Chase    Call    95.00 USD    1/21/22    184      17,480        (55,552)  

Bank of America Corp.

   Susquehanna    Call    30.00 USD    1/21/22    1,213      36,390        (219,469)  

Becton Dickinson & Co.

   Goldman Sachs    Call    260.00 USD    1/15/21    20      5,200        (9,904)  

Becton Dickinson & Co.

   Goldman Sachs    Call    270.00 USD    1/15/21    20      5,400        (6,610)  

Becton Dickinson & Co.

   Goldman Sachs    Call    280.00 USD    1/15/21    30      8,400        (6,713)  

Becton Dickinson & Co.

   Goldman Sachs    Call    300.00 USD    1/15/21    152      45,600        (16,746)  

CME Group, Inc.

   Credit Suisse First Boston    Call    170.00 USD    1/15/21    44      7,480        (35,161)  

CME Group, Inc.

   Credit Suisse First Boston    Call    175.00 USD    1/15/21    44      7,700        (25,870)  

CME Group, Inc.

   Credit Suisse First Boston    Call    180.00 USD    1/15/21    44      7,920        (18,654)  

CME Group, Inc.

   Credit Suisse First Boston    Call    185.00 USD    1/15/21    44      8,140        (13,264)  

Facebook, Inc.

   JPMorgan Chase    Call    195.00 USD    1/15/21    40      7,800        (282,623)  

Facebook, Inc.

   JPMorgan Chase    Call    200.00 USD    1/15/21    40      8,000        (265,297)  

Facebook, Inc.

   JPMorgan Chase    Call    265.00 USD    1/15/21    59      15,635        (131,263)  

Facebook, Inc.

   JPMorgan Chase    Call    270.00 USD    1/15/21    59      15,930        (118,036)  

Facebook, Inc.

   JPMorgan Chase    Call    275.00 USD    1/15/21    59      16,225        (105,821)  

Facebook, Inc.

   JPMorgan Chase    Call    400.00 USD    1/21/22    146      58,400        (161,028)  

General Electric Co.

   JPMorgan Chase    Call    8.00 USD    1/15/21    3,100      24,800        (69,203)  

General Electric Co.

   JPMorgan Chase    Call    9.00 USD    1/15/21    2,108      18,972        (26,837)  

General Electric Co.

   JPMorgan Chase    Call    15.00 USD    1/15/21    5,937      89,055        (3,792)  

Global Payments, Inc.

   Goldman Sachs    Call    185.00 USD    12/18/20    30      5,550        (29,160)  

Global Payments, Inc.

   Goldman Sachs    Call    195.00 USD    12/18/20    30      5,850        (19,088)  

Hilton Worldwide Holding, Inc.

   Citigroup    Call    125.00 USD    1/15/21    30      3,750        (481)  

Hilton Worldwide Holding, Inc.

   Citigroup    Call    130.00 USD    1/15/21    30      3,900        (300)  

Hilton Worldwide Holdings, Inc.

   Credit Suisse First Boston    Call    87.50 USD    1/15/21    10      875        (5,478)  

Hilton Worldwide Holdings, Inc.

   Credit Suisse First Boston    Call    90.00 USD    1/15/21    10      900        (4,476)  

 

See accompanying notes to the schedules of portfolio investments.


AZL T. Rowe Price Capital Appreciation Fund

Schedule of Portfolio Investments

September 30, 2020 (Unaudited)

 

Humana, Inc.

   Credit Suisse First Boston    Call    370.00 USD    1/15/21    20    $     7,400      $     (118,173)  

Humana, Inc.

   Credit Suisse First Boston    Call    380.00 USD    1/15/21    20      7,600        (103,753)  

Humana, Inc.

   Credit Suisse First Boston    Call    420.00 USD    1/15/21    15      6,300        (41,326)  

Humana, Inc.

   Credit Suisse First Boston    Call    430.00 USD    1/15/21    15      6,450        (34,165)  

Ingersoll-Rand, Inc.

   JPMorgan Chase    Call    35.00 USD    12/18/20    293      10,255        (81,880)  

Intercontinental Exchange, Inc.

   JPMorgan Chase    Call    100.00 USD    1/15/21    59      5,900        (33,566)  

Intercontinental Exchange, Inc.

   JPMorgan Chase    Call    105.00 USD    1/15/21    59      6,195        (19,938)  

Keurig Dr Pepper, Inc.

   Citigroup    Call    29.00 USD    10/16/20    197      5,713        (1,635)  

Keurig Dr Pepper, Inc.

   Citigroup    Call    30.00 USD    10/16/20    200      6,000        (444)  

Keurig Dr Pepper, Inc.

   Citigroup    Call    31.00 USD    10/16/20    200      6,200        (137)  

Microsoft Corp.

   Citigroup    Call    165.00 USD    1/15/21    120      19,800        (574,492)  

Microsoft Corp.

   Credit Suisse First Boston    Call    165.00 USD    1/15/21    421      69,465        (2,015,509)  

Microsoft Corp.

   Citigroup    Call    170.00 USD    1/15/21    119      20,230        (517,960)  

Microsoft Corp.

   JPMorgan Chase    Call    170.00 USD    1/15/21    461      78,370        (2,006,552)  

Microsoft Corp.

   Citigroup    Call    280.00 USD    1/21/22    189      52,920        (196,828)  

NextEra Energy, Inc.

   Credit Suisse First Boston    Call    310.00 USD    1/15/21    23      7,130        (13,865)  

NextEra Energy, Inc.

   Credit Suisse First Boston    Call    320.00 USD    1/15/21    24      7,680        (10,213)  

NXP Semiconductors NV

   JPMorgan Chase    Call    115.00 USD    1/15/21    25      2,875        (42,344)  

NXP Semiconductors NV

   JPMorgan Chase    Call    125.00 USD    1/15/21    25      3,125        (28,171)  

NXP Semiconductors NV

   Credit Suisse First Boston    Call    140.00 USD    1/15/21    334      46,760        (182,356)  

NXP Semiconductors NV

   JPMorgan Chase    Call    135.00 USD    1/15/21    67      9,045        (47,211)  

NXP Semiconductors NV

   JPMorgan Chase    Call    145.00 USD    1/15/21    67      9,715        (28,029)  

PerkinElmer, Inc.

   JPMorgan Chase    Call    110.00 USD    12/18/20    40      4,400        (73,890)  

PerkinElmer, Inc.

   JPMorgan Chase    Call    115.00 USD    12/18/20    40      4,600        (58,016)  

Roper Technologies, Inc.

   Goldman Sachs    Call    370.00 USD    11/20/20    20      7,400        (72,574)  

Roper Technologies, Inc.

   Goldman Sachs    Call    390.00 USD    11/20/20    20      7,800        (46,292)  

Roper Technologies, Inc.

   Goldman Sachs    Call    420.00 USD    11/20/20    20      8,400        (18,059)  

Roper Technologies, Inc.

   Goldman Sachs    Call    440.00 USD    11/20/20    20      8,800        (7,478)  

Thermo Fisher Scientific, Inc.

   Royal Bank of Canada    Call    370.00 USD    1/15/21    20      7,400        (158,497)  

Thermo Fisher Scientific, Inc.

   Royal Bank of Canada    Call    390.00 USD    1/15/21    19      7,410        (119,606)  

UnitedHealth Group, Inc.

   JPMorgan Chase    Call    320.00 USD    1/15/21    121      38,720        (213,375)  

UnitedHealth Group, Inc.

   JPMorgan Chase    Call    330.00 USD    1/15/21    20      6,600        (26,567)  

Visa, Inc.

   Goldman Sachs    Call    185.00 USD    1/15/21    20      3,700        (44,702)  

Visa, Inc.

   Goldman Sachs    Call    195.00 USD    1/15/21    20      3,900        (31,549)  

Visa, Inc.

   Goldman Sachs    Call    200.00 USD    1/15/21    39      7,800        (50,469)  

Visa, Inc.

   Goldman Sachs    Call    210.00 USD    1/15/21    138      28,980        (114,644)  

Visa, Inc.

   Goldman Sachs    Call    215.00 USD    1/15/21    30      6,450        (19,567)  

Visa, Inc.

   Goldman Sachs    Call    220.00 USD    1/15/21    50      11,000        (25,349)  

Visa, Inc.

   Credit Suisse First Boston    Call    230.00 USD    1/15/21    137      31,510        (41,268)  

Visa, Inc.

   Goldman Sachs    Call    230.00 USD    1/15/21    47      10,810        (14,158)  

Visa, Inc.

   Credit Suisse First Boston    Call    235.00 USD    1/15/21    137      32,195        (31,719)  

Visa, Inc.

   Goldman Sachs    Call    240.00 USD    1/15/21    46      11,040        (8,198)  

Visa, Inc.

   Credit Suisse First Boston    Call    240.00 USD    1/15/21    137      32,880        (24,414)  

Visa, Inc.

   Goldman Sachs    Call    225.00 USD    1/21/22    79      17,775        (122,175)  

Visa, Inc.

   Goldman Sachs    Call    230.00 USD    1/21/22    79      18,170        (108,790)  

Visa, Inc.

   Goldman Sachs    Call    250.00 USD    1/21/22    39      9,750        (32,990)  

Visa, Inc.

   Goldman Sachs    Call    260.00 USD    1/21/22    39      10,140        (25,660)  

Visa, Inc.

   Goldman Sachs    Call    270.00 USD    1/21/22    39      10,530        (19,883)  

Yum! Brands, Inc.

   Bank of America    Call    95.00 USD    1/15/21    59      5,605        (12,393)  

Yum! Brands, Inc.

   Bank of America    Call    100.00 USD    1/15/21    58      5,800        (21,712)  

Yum! Brands, Inc.

   Citigroup    Call    100.00 USD    1/15/21    98      9,800        (36,686)  

Yum! Brands, Inc.

   Citigroup    Call    105.00 USD    1/15/21    98      10,290        (11,171)  
              

 

 

 

Total (Premiums $7,787,589)

               $ (11,037,218)  
              

 

 

 

 

(a)

Notional amount is expressed as the number of contracts multiplied by the strike price of the underlying asset.

 

See accompanying notes to the schedules of portfolio investments.


ALLIANZ VARIABLE INSURANCE PRODUCTS TRUST

NOTES TO THE SCHEDULES OF PORTFOLIO INVESTMENTS

September 30, 2020 (Unaudited)

1. Related Party Transactions

Allianz Investment Management LLC (the “Manager”) or an affiliate of the Manager serves as the investment adviser of certain underlying funds in which each Fund invests or is an affiliate of the security. At September 30, 2020, the following investments are noted as affiliated securities in each Fund’s Schedule of Portfolio Investments.

 

    

Fair Value

12/31/2019

  Purchases
at Cost
 

Proceeds from

Sales

 

Net

Realized

Gain(Loss)

 

Net Change in

Unrealized

Appreciation/

Depreciation

 

Fair Value

9/30/2020

 

Shares as of

9/30/2020

 

Dividend
Income

 

Capital

Gains Distributions

AZL Moderate Index Strategy Fund

                 

AZL Enhanced Bond Index Fund

    $ 240,597,281       $ 22,980,028       $ (53,988,884     $ 2,710,452       $ 11,737,463       $ 224,036,340       18,732,135       $ -         $ -  

AZL International Index Fund, Class 2

    92,940,215       10,015,970       (12,190,456     422,970       (5,949,198     85,239,501       5,478,117       -         -  

AZL Mid Cap Index Fund, Class 2

    56,066,872       8,790,264       (8,774,618     (579,276     (2,796,683     52,706,559       2,644,584       -         -  

AZL Small Cap Stock Index Fund, Class 2

    28,331,154       5,131,365       (3,513,275     (768,289     (2,700,662     26,480,293       2,372,786       -         -  

AZL S&P 500 Index Fund, Class 2

    194,154,397       17,327,128       (39,672,398     9,018,612       1,071,409       181,899,148       9,503,613       -         -  
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    $ 612,089,919       $ 64,244,755       $ (118,139,631     $ 10,804,469       $ 1,362,329       $ 570,361,841       38,731,235       $ -         $ -  
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

AZL International Index Fund

                 

Allianz SE, Registered Shares

    $ 11,646,273       $ 486,544       $ (1,286,341     $ 184,478       $ (2,741,191     $ 8,289,763       43,222       $ 463,330       $ -  
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    $ 11,646,273       $ 486,544       $ (1,286,341     $ 184,478       $ (2,741,191     $ 8,289,763       43,222       $ 463,330       $ -  
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

AZL MSCI Global Equity Index Fund

                 

Allianz SE, Registered Shares

    $ 767,690       $ 60,271       $ (138,313     $ 34,425       $ (194,527     $ 529,546       2,761       $ 32,319       $ -  

BlackRock Inc., Class A

    430,814       173,917       (107,903     39,333       32,462       568,623       1,009       10,738       -  
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    $ 1,198,504       $ 234,188       $ (246,216     $ 73,758       $ (162,065     $ 1,098,169       3,770       $ 43,057       $ -  
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

AZL Russell 1000 Value Index Fund

                 

BlackRock Inc., Class A

    $ 3,870,287       $ 1,438,099       $ (1,189,851     $ 361,136       $ 158,347       $ 4,638,018       8,230       $ 93,767       $ -  
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    $ 3,870,287       $ 1,438,099       $ (1,189,851     $ 361,136       $ 158,347       $ 4,638,018       8,230       $ 93,767       $ -  
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

AZL S&P 500 Index Fund

                 

BlackRock Inc., Class A

    $ 6,142,491       $ 2,218,760       $ (1,768,838     $ 657,213       $ 198,251       $ 7,447,877       13,216       $ 148,492       $ -  
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    $ 6,142,491       $ 2,218,760       $ (1,768,838     $ 657,213       $ 198,251       $ 7,447,877       13,216       $ 148,492       $ -  
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2. Restricted Securities

A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (the “1933 Act”) or pursuant to the resale limitations provided by Rule 144A under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. Whether a restricted security is illiquid is determined pursuant to guidelines established by the Board of Trustees. Not all restricted securities are considered illiquid. The illiquid restricted securities held as of September 30, 2020 are identified below.

 

AZL Mid Cap Index Fund

 

Security   

Acquisition

Date(a)

     Acquisition Cost      Shares or Principal Amount      Fair Value      Percentage of Net Assets  

Airbnb, Inc., Series D, 0.00%

     4/16/2014        $ 3,131,402      $ 76,914      $           7,779,082        0.81%  

Palantir Technologies, Inc., Series G, 0.00%

     7/19/2012        702,919        229,712        2,094,973        0.22%  

Palantir Technologies, Inc., Series H, 0.00%

     10/25/2013        237,529        67,672        617,169        0.07%  

Palantir Technologies, Inc., Series H1, 0.00%

     10/25/2013        237,529        67,672        617,169        0.06%  

AZL Russell 1000 Growth Index Fund

              
Security   

Acquisition

Date(a)

     Acquisition Cost      Shares or Principal Amount      Fair Value      Percentage of Net Assets  

Palantir Technologies, Inc., Series I

     2/7/14      $ 5,157,899      $ 841,419      $ 7,673,741        0.77%  

AZL Small Cap Stock Index Fund

              
Security   

Acquisition

Date(a)

     Acquisition Cost      Shares or Principal Amount      Fair Value      Percentage of Net Assets  

Calamos Asset Management Escrow Shares

     2/13/20      $ -        $ 22,124      $ -          -%†  

(a) Acquisition date represents the initial purchase date of the security.

†   Represents less than 0.05%.