Page
|
||||
Letters to Investors
|
1
|
|||
Fund Performance
|
24
|
|||
Portfolio Allocations
|
28
|
|||
Schedules of Investments
|
30
|
|||
Statements of Assets and Liabilities
|
72
|
|||
Statements of Operations
|
73
|
|||
Statements of Changes in Net Assets
|
74
|
|||
Financial Highlights
|
78
|
|||
Notes to Financial Statements
|
82
|
|||
Report of Independent Registered Public Accounting Firm
|
92
|
|||
Trustees and Officers
|
93
|
|||
Expense Examples
|
95
|
|||
Approval of Advisory Agreements and Board Considerations
|
97
|
|||
Federal Tax Information
|
101
|
|||
Federal Tax Credit Pass Through
|
101
|
|||
Information About Portfolio Holdings
|
102
|
|||
Information About Proxy Voting
|
102
|
|||
Frequency Distribution of Premiums and Discounts
|
102
|
Letters to Investors
|
Nationwide Risk-Based U.S. Equity ETF
|
Letters to Investors (Continued)
|
Nationwide Risk-Based U.S. Equity ETF
|
Letters to Investors (Continued)
|
Nationwide Risk-Based U.S. Equity ETF
|
Letters to Investors (Continued)
|
Nationwide Risk-Based U.S. Equity ETF
|
*
|
One basis point is equal to one one-hundredth of one percent (0.01%). Therefore, 100 basis points would be equivalent to 1%.
|
Letters to Investors (Continued)
|
Nationwide Risk-Based U.S. Equity ETF
|
Letters to Investors
|
Nationwide Risk-Based International Equity ETF
|
Letters to Investors (Continued)
|
Nationwide Risk-Based International Equity ETF
|
Letters to Investors (Continued)
|
Nationwide Risk-Based International Equity ETF
|
Letters to Investors (Continued)
|
Nationwide Risk-Based International Equity ETF
|
Letters to Investors (Continued)
|
Nationwide Risk-Based International Equity ETF
|
Letters to Investors (Continued)
|
Nationwide Risk-Based International Equity ETF
|
*
|
One basis point is equal to one one-hundredth of one percent (0.01%). Therefore, 100 basis points would be equivalent to 1%.
|
**
|
Cash flow is the measure of money that moves in and out of a business.
|
†
|
EBITDA, or earnings before interest, taxes, depreciation, and amortization, is a measure of a company’s overall financial performance.
|
Letters to Investors (Continued)
|
Nationwide Risk-Based International Equity ETF
|
Letters to Investors
|
Nationwide Maximum Diversification U.S. Core Equity ETF
|
Letters to Investors (Continued)
|
Nationwide Maximum Diversification U.S. Core Equity ETF
|
Letters to Investors (Continued)
|
Nationwide Maximum Diversification U.S. Core Equity ETF
|
Letters to Investors (Continued)
|
Nationwide Maximum Diversification U.S. Core Equity ETF
|
*
|
One basis point is equal to one one-hundredth of one percent (0.01%). Therefore, 100 basis points would be equivalent to 1%.
|
Letters to Investors (Continued)
|
Nationwide Maximum Diversification U.S. Core Equity ETF
|
Letters to Investors
|
Nationwide Maximum Diversification
|
Emerging Markets Core Equity ETF
|
•
|
Investor flight from Turkey amid sanctions related to the detention of a U.S. pastor and the Turkish central bank’s reluctance to tighten policy;
|
•
|
Delays in South African President Cyril Ramaphosa’s reform agenda and the ousting of his Finance Minister;
|
•
|
The election of populist leaders Jair Bolsonaro and Andrés Manuel López Obrador in Brazil and Mexico, respectively. While investors warmed to Brazilian President-elect Bolsonaro,
Obrador’s cancellation of a $13 billion airport project spooked investors, and Mexico’s stock index dipped in the months immediately following the July 1 presidential vote; and
|
•
|
Bouts of volatility in the typically tranquil markets of Chile, Colombia, and Peru, engendered by sliding commodity prices and the rise of new leaders. Peru’s market-friendly leader,
Pedro Pablo Kuczynski, was brought down by corruption scandals, with Martín Vizcarra, the ex-governor of the nation’s second-smallest state, taking power. Meanwhile, billionaire Sebastián Piñera returned to power in Chile, and Colombia
elected Democratic Center candidate Iván Duque (Márquez).
|
Letters to Investors (Continued)
|
Nationwide Maximum Diversification
|
Emerging Markets Core Equity ETF
|
Letters to Investors (Continued)
|
Nationwide Maximum Diversification
|
Emerging Markets Core Equity ETF
|
Letters to Investors (Continued)
|
Nationwide Maximum Diversification
|
Emerging Markets Core Equity ETF
|
Letters to Investors (Continued)
|
Nationwide Maximum Diversification
|
Emerging Markets Core Equity ETF
|
*
|
One basis point is equal to one one-hundredth of one percent (0.01%). Therefore, 100 basis points would be equivalent to 1%.
|
**
|
Cash flow is the measure of money that moves in and out of a business.
|
Letters to Investors (Continued)
|
Nationwide Maximum Diversification
|
Emerging Markets Core Equity ETF
|
Fund Performance (Unaudited)
|
Nationwide Risk-Based U.S. Equity ETF
|
Average Annual Returns
|
Since Inception
|
|
August 31, 2019
|
One Year
|
(9/15/2017)
|
Nationwide Risk-Based U.S. Equity ETF — NAV
|
7.70%
|
9.89%
|
Nationwide Risk-Based U.S. Equity ETF — Market
|
7.73%
|
9.94%
|
Rothschild & Co Risk-Based US IndexSM
|
8.03%
|
10.30%
|
S&P 500® Index
|
2.92%
|
10.52%
|
Fund Performance (Unaudited)
|
Nationwide Risk-Based International Equity ETF
|
Average Annual Returns
|
Since Inception
|
|
August 31, 2019
|
One Year
|
(9/15/2017)
|
Nationwide Risk-Based International Equity ETF — NAV
|
-2.14%
|
1.14%
|
Nationwide Risk-Based International Equity ETF — Market
|
-2.08%
|
1.06%
|
Rothschild & Co Risk-Based International IndexSM
|
-1.41%
|
2.02%
|
MSCI EAFE Index
|
-2.75%
|
0.11%
|
Fund Performance (Unaudited)
|
Nationwide Maximum Diversification U.S. Core Equity ETF
|
Average Annual Returns
|
Since Inception
|
|
August 31, 2019
|
One Year
|
(9/15/2017)
|
Nationwide Maximum Diversification U.S. Core Equity ETF — NAV
|
-0.11%
|
9.35%
|
Nationwide Maximum Diversification U.S. Core Equity ETF — Market
|
-0.22%
|
9.41%
|
TOBAM Maximum Diversification® USA Index
|
0.20%
|
9.72%
|
MSCI USA Index
|
2.78%
|
10.48%
|
Fund Performance (Unaudited)
|
Nationwide Maximum Diversification
|
Emerging Markets Core Equity ETF
|
Average Annual Returns
|
Since Inception
|
|
August 31, 2019
|
One Year
|
(3/26/2018)
|
Nationwide Maximum Diversification Emerging Markets
|
||
Core Equity ETF — NAV
|
-6.46%
|
-8.34%
|
Nationwide Maximum Diversification Emerging Markets
|
||
Core Equity ETF — Market
|
-7.10%
|
-8.41%
|
TOBAM Maximum Diversification® Emerging Index
|
-5.37%
|
-7.54%
|
MSCI Emerging Markets Index
|
-3.99%
|
-9.05%
|
Portfolio Allocations
|
Nationwide ETFs
|
Percentage of
|
||||
Sector
|
Net Assets
|
|||
Utilities
|
18.3
|
%
|
||
Financials
|
17.0
|
|||
Consumer Staples
|
13.7
|
|||
Health Care
|
13.2
|
|||
Consumer Discretionary
|
12.3
|
|||
Industrials
|
7.5
|
|||
Materials
|
5.5
|
|||
Information Technology
|
5.3
|
|||
Communication Services
|
4.3
|
|||
Energy
|
2.7
|
|||
Short-Term Investments and Other Assets and Liabilities
|
0.2
|
|||
Total
|
100.0
|
%
|
Percentage of
|
||||
Sector
|
Net Assets
|
|||
Consumer Staples
|
17.0
|
%
|
||
Financials
|
16.9
|
|||
Industrials
|
14.0
|
|||
Consumer Discretionary
|
10.2
|
|||
Utilities
|
10.0
|
|||
Communication Services
|
9.3
|
|||
Health Care
|
9.3
|
|||
Real Estate
|
5.5
|
|||
Energy
|
2.5
|
|||
Materials
|
2.5
|
|||
Information Technology
|
2.1
|
|||
Short-Term Investments and Other Assets and Liabilities
|
0.7
|
|||
Total
|
100.0
|
%
|
Portfolio Allocations (Continued)
|
Nationwide ETFs
|
Percentage of
|
||||
Sector
|
Net Assets
|
|||
Consumer Discretionary
|
17.7
|
%
|
||
Health Care
|
15.1
|
|||
Consumer Staples
|
14.1
|
|||
Communication Services
|
9.8
|
|||
Financials
|
9.7
|
|||
Utilities
|
9.0
|
|||
Real Estate
|
8.4
|
|||
Information Technology
|
6.7
|
|||
Industrials
|
4.3
|
|||
Materials
|
2.8
|
|||
Energy
|
2.2
|
|||
Short-Term Investments and Other Assets and Liabilities
|
0.2
|
|||
Total
|
100.0
|
%
|
Percentage of
|
||||
Sector
|
Net Assets
|
|||
Financials
|
17.0
|
%
|
||
Consumer Discretionary
|
14.0
|
|||
Consumer Staples
|
11.9
|
|||
Communication Services
|
11.6
|
|||
Information Technology
|
10.8
|
|||
Health Care
|
8.1
|
|||
Industrials
|
8.0
|
|||
Materials
|
7.4
|
|||
Utilities
|
5.3
|
|||
Energy
|
4.8
|
|||
Real Estate
|
0.6
|
|||
Short-Term Investments and Other Assets and Liabilities
|
0.4
|
|||
Closed End Funds
|
0.1
|
|||
Total
|
100.0
|
%
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.8%
|
|||||||
Communication Services — 4.3%
|
|||||||
13,286
|
AT&T, Inc.
|
$
|
468,464
|
||||
6,662
|
CBS Corporation — Class B
|
280,204
|
|||||
25,893
|
CenturyLink, Inc. (b)
|
294,662
|
|||||
758
|
Charter Communications, Inc. — Class A (a) (b)
|
310,469
|
|||||
8,466
|
Comcast Corporation — Class A
|
374,705
|
|||||
12,115
|
Discovery, Inc. — Series A (a) (b)
|
334,374
|
|||||
16,681
|
Interpublic Group of Companies, Inc. (b)
|
331,618
|
|||||
3,026
|
Liberty Broadband Corporation — Class A (a) (b)
|
316,974
|
|||||
5,249
|
Omnicom Group, Inc. (b)
|
399,238
|
|||||
5,530
|
T-Mobile US, Inc. (a)
|
431,617
|
|||||
12,601
|
Verizon Communications, Inc.
|
732,875
|
|||||
11,610
|
Viacom, Inc. — Class B
|
290,018
|
|||||
2,898
|
Walt Disney Company
|
397,779
|
|||||
4,962,997
|
|||||||
Consumer Discretionary — 12.3%
|
|||||||
2,802
|
Advance Auto Parts, Inc. (b)
|
386,536
|
|||||
803
|
AutoZone, Inc. (a)
|
884,658
|
|||||
2,935
|
Bright Horizons Family Solutions, Inc. (a)
|
484,422
|
|||||
1,985
|
Burlington Stores, Inc. (a)
|
401,943
|
|||||
5,475
|
CarMax, Inc. (a) (b)
|
455,958
|
|||||
667
|
Chipotle Mexican Grill, Inc. (a) (b)
|
559,226
|
|||||
8,320
|
D.R. Horton, Inc.
|
411,590
|
|||||
3,621
|
Darden Restaurants, Inc. (b)
|
438,069
|
|||||
2,722
|
Dollar General Corporation
|
424,877
|
|||||
4,724
|
Dollar Tree, Inc. (a)
|
479,628
|
|||||
1,877
|
Domino’s Pizza, Inc. (b)
|
425,779
|
|||||
10,699
|
eBay, Inc.
|
431,063
|
|||||
3,271
|
Expedia Group, Inc.
|
425,557
|
|||||
39,773
|
Ford Motor Company
|
364,718
|
|||||
5,028
|
Garmin, Ltd.
|
410,134
|
|||||
11,009
|
General Motors Company
|
408,324
|
|||||
4,717
|
Genuine Parts Company
|
425,898
|
|||||
3,924
|
Hasbro, Inc.
|
433,484
|
|||||
1,763
|
Home Depot, Inc.
|
401,805
|
|||||
9,026
|
Lennar Corporation — Class A (b)
|
460,326
|
|||||
3,248
|
McDonald’s Corporation
|
707,966
|
|||||
141
|
NVR, Inc. (a) (b)
|
507,459
|
|||||
1,194
|
O’Reilly Automotive, Inc. (a)
|
458,209
|
|||||
3,449
|
Ross Stores, Inc.
|
365,628
|
|||||
5,007
|
Starbucks Corporation (b)
|
483,476
|
|||||
4,706
|
Target Corporation
|
503,730
|
|||||
7,520
|
TJX Companies, Inc.
|
413,374
|
|||||
3,250
|
Tractor Supply Company
|
331,110
|
|||||
983
|
Ulta Beauty, Inc. (a) (b)
|
233,689
|
|||||
9,925
|
Yum China Holdings, Inc.
|
450,893
|
|||||
4,540
|
Yum! Brands, Inc. (b)
|
530,181
|
|||||
14,099,710
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.8% (Continued)
|
|||||||
Consumer Staples — 13.7%
|
|||||||
11,108
|
Altria Group, Inc.
|
$
|
485,864
|
||||
9,968
|
Archer Daniels Midland Company (b)
|
379,282
|
|||||
6,694
|
Brown-Forman Corporation — Class B (b)
|
394,879
|
|||||
6,693
|
Church & Dwight Company, Inc.
|
533,968
|
|||||
2,934
|
Clorox Company (b)
|
464,041
|
|||||
11,333
|
Coca-Cola Company
|
623,768
|
|||||
11,620
|
Coca-Cola European Partners plc (b)
|
654,670
|
|||||
6,545
|
Colgate-Palmolive Company
|
485,312
|
|||||
13,166
|
Conagra Brands, Inc. (b)
|
373,388
|
|||||
2,022
|
Constellation Brands, Inc. — Class A (b)
|
413,196
|
|||||
1,363
|
Costco Wholesale Corporation
|
401,758
|
|||||
10,738
|
General Mills, Inc. (b)
|
577,704
|
|||||
4,808
|
Hershey Company (b)
|
761,973
|
|||||
12,169
|
Hormel Foods Corporation (b)
|
518,521
|
|||||
6,192
|
JM Smucker Company (b)
|
651,151
|
|||||
9,905
|
Kellogg Company (b)
|
622,034
|
|||||
3,696
|
Kimberly-Clark Corporation
|
521,543
|
|||||
13,628
|
Kraft Heinz Company
|
347,787
|
|||||
22,839
|
Kroger Company (b)
|
540,828
|
|||||
10,532
|
Lamb Weston Holdings, Inc. (b)
|
741,347
|
|||||
3,151
|
McCormick & Company, Inc. (b)
|
513,203
|
|||||
7,810
|
Molson Coors Brewing Company — Class B (b)
|
401,122
|
|||||
8,775
|
Mondelez International, Inc. — Class A
|
484,556
|
|||||
5,528
|
Monster Beverage Corporation (a)
|
324,328
|
|||||
4,149
|
PepsiCo, Inc.
|
567,293
|
|||||
6,357
|
Philip Morris International, Inc.
|
458,276
|
|||||
4,547
|
Procter & Gamble Company
|
546,685
|
|||||
8,533
|
Sysco Corporation
|
634,257
|
|||||
5,536
|
Tyson Foods, Inc. — Class A
|
515,069
|
|||||
6,270
|
Walgreens Boots Alliance, Inc.
|
320,961
|
|||||
4,333
|
Walmart, Inc.
|
495,089
|
|||||
15,753,853
|
|||||||
Energy — 2.7%
|
|||||||
16,357
|
Baker Hughes, a GE Company (b)
|
354,783
|
|||||
19,740
|
Cabot Oil & Gas Corporation (b)
|
337,949
|
|||||
3,318
|
Chevron Corporation
|
390,594
|
|||||
5,368
|
Exxon Mobil Corporation
|
367,601
|
|||||
18,053
|
Kinder Morgan, Inc. (b)
|
365,934
|
|||||
7,524
|
Occidental Petroleum Corporation
|
327,143
|
|||||
4,782
|
ONEOK, Inc.
|
340,861
|
|||||
9,658
|
Schlumberger, Ltd.
|
313,209
|
|||||
14,051
|
Williams Companies, Inc.
|
331,604
|
|||||
3,129,678
|
|||||||
Financials — 17.0%
|
|||||||
7,542
|
Aflac, Inc.
|
378,458
|
|||||
684
|
Alleghany Corporation (a)
|
512,528
|
|||||
3,992
|
Allstate Corporation
|
408,741
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.8% (Continued)
|
|||||||
Financials — 17.0% (Continued)
|
|||||||
2,736
|
American Express Company
|
$
|
329,332
|
||||
6,743
|
American International Group, Inc.
|
350,906
|
|||||
2,107
|
Aon plc
|
410,549
|
|||||
10,377
|
Arch Capital Group, Ltd. (a)
|
409,892
|
|||||
4,767
|
Arthur J. Gallagher & Company (b)
|
432,415
|
|||||
9,814
|
Bank of New York Mellon Corporation
|
412,777
|
|||||
8,778
|
BB&T Corporation (b)
|
418,272
|
|||||
1,689
|
Berkshire Hathaway, Inc. — Class B (a)
|
343,559
|
|||||
6,022
|
Cboe Global Markets, Inc.
|
717,582
|
|||||
3,076
|
Chubb, Ltd.
|
480,717
|
|||||
3,846
|
Cincinnati Financial Corporation
|
432,637
|
|||||
3,459
|
CME Group, Inc.
|
751,605
|
|||||
5,516
|
Comerica, Inc.
|
340,061
|
|||||
2,670
|
Credicorp, Ltd.
|
553,010
|
|||||
1,162
|
FactSet Research Systems, Inc. (b)
|
316,169
|
|||||
9,434
|
Fidelity National Financial, Inc.
|
414,530
|
|||||
15,100
|
Fifth Third Bancorp
|
399,395
|
|||||
4,172
|
First Republic Bank/CA (b)
|
374,312
|
|||||
9,364
|
Franklin Resources, Inc. (b)
|
246,086
|
|||||
4,112
|
Globe Life, Inc. (b)
|
367,037
|
|||||
7,335
|
Hartford Financial Services Group, Inc.
|
427,484
|
|||||
30,383
|
Huntington Bancshares, Inc. (b)
|
402,575
|
|||||
5,912
|
Intercontinental Exchange, Inc. (b)
|
552,654
|
|||||
3,673
|
JPMorgan Chase & Company
|
403,516
|
|||||
19,744
|
KeyCorporation
|
327,750
|
|||||
6,695
|
Loews Corporation
|
321,829
|
|||||
2,684
|
M&T Bank Corporation
|
392,428
|
|||||
386
|
Markel Corporation (a)
|
441,229
|
|||||
1,870
|
MarketAxess Holdings, Inc. (b)
|
743,549
|
|||||
4,241
|
Marsh & McLennan Companies, Inc. (b)
|
423,633
|
|||||
6,833
|
MetLife, Inc. (b)
|
302,702
|
|||||
3,912
|
Nasdaq, Inc.
|
390,574
|
|||||
2,962
|
PNC Financial Services Group, Inc.
|
381,891
|
|||||
4,126
|
Progressive Corporation
|
312,751
|
|||||
24,544
|
Regions Financial Corporation (b)
|
358,833
|
|||||
2,384
|
Reinsurance Group of America, Inc. (b)
|
367,064
|
|||||
6,089
|
SunTrust Banks, Inc.
|
374,534
|
|||||
11,298
|
Synchrony Financial
|
362,101
|
|||||
2,754
|
Travelers Companies, Inc. (b)
|
404,728
|
|||||
8,766
|
U.S. Bancorp
|
461,881
|
|||||
7,482
|
W.R. Berkley Corporation
|
533,092
|
|||||
10,125
|
Wells Fargo & Company
|
471,521
|
|||||
2,386
|
Willis Towers Watson plc
|
472,356
|
|||||
19,431,245
|
|||||||
Health Care — 13.2%
|
|||||||
5,059
|
AbbVie, Inc.
|
332,579
|
|||||
2,495
|
Allergan plc
|
398,501
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.8% (Continued)
|
|||||||
Health Care — 13.2% (Continued)
|
|||||||
3,941
|
AmerisourceBergen Corporation
|
$
|
324,226
|
||||
2,007
|
Amgen, Inc.
|
418,700
|
|||||
1,321
|
Anthem, Inc.
|
345,468
|
|||||
4,811
|
Baxter International, Inc.
|
423,127
|
|||||
1,472
|
Becton Dickinson and Company (b)
|
373,770
|
|||||
1,947
|
Biogen, Inc. (a)
|
427,853
|
|||||
8,200
|
Bristol-Myers Squibb Company (b)
|
394,174
|
|||||
6,648
|
Cardinal Health, Inc.
|
286,728
|
|||||
4,190
|
Celgene Corporation (a)
|
405,592
|
|||||
4,685
|
Cerner Corporation (b)
|
322,843
|
|||||
2,059
|
Cigna Corporation
|
317,024
|
|||||
1,151
|
Cooper Companies, Inc.
|
356,522
|
|||||
6,696
|
CVS Health Corporation
|
407,920
|
|||||
2,709
|
Danaher Corporation
|
384,922
|
|||||
8,033
|
DENTSPLY SIRONA, Inc.
|
418,921
|
|||||
4,372
|
Eli Lilly & Company (b)
|
493,905
|
|||||
5,438
|
Gilead Sciences, Inc.
|
345,531
|
|||||
2,188
|
HCA Healthcare, Inc.
|
262,998
|
|||||
5,589
|
Henry Schein, Inc. (a) (b)
|
344,394
|
|||||
6,945
|
Hologic, Inc. (a) (b)
|
342,875
|
|||||
1,210
|
Humana, Inc.
|
342,684
|
|||||
3,326
|
Johnson & Johnson
|
426,925
|
|||||
2,151
|
Laboratory Corporation of America Holdings (a)
|
360,422
|
|||||
2,566
|
McKesson Corporation
|
354,801
|
|||||
4,777
|
Medtronic plc
|
515,392
|
|||||
5,312
|
Merck & Company, Inc.
|
459,329
|
|||||
9,750
|
Pfizer, Inc.
|
346,613
|
|||||
4,032
|
Quest Diagnostics, Inc.
|
412,755
|
|||||
3,308
|
ResMed, Inc. (b)
|
460,804
|
|||||
2,591
|
STERIS plc
|
400,050
|
|||||
1,697
|
Stryker Corporation
|
374,460
|
|||||
1,413
|
UnitedHealth Group, Inc.
|
330,642
|
|||||
2,841
|
Universal Health Services, Inc. — Class B
|
410,752
|
|||||
2,794
|
Varian Medical Systems, Inc. (a)
|
295,968
|
|||||
1,798
|
Waters Corporation (a) (b)
|
380,978
|
|||||
1,340
|
WellCare Health Plans, Inc. (a)
|
362,792
|
|||||
2,904
|
Zimmer Biomet Holdings, Inc.
|
404,237
|
|||||
2,926
|
Zoetis, Inc.
|
369,905
|
|||||
15,138,082
|
|||||||
Industrials — 7.5%
|
|||||||
3,412
|
Allegion plc (b)
|
328,473
|
|||||
5,103
|
CH Robinson Worldwide, Inc. (b)
|
431,152
|
|||||
3,473
|
Dover Corporation (b)
|
325,559
|
|||||
2,951
|
Equifax, Inc.
|
431,967
|
|||||
1,808
|
General Dynamics Corporation
|
345,816
|
|||||
32,981
|
General Electric Company
|
272,093
|
|||||
2,090
|
Honeywell International, Inc.
|
344,056
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.8% (Continued)
|
|||||||
Industrials — 7.5% (Continued)
|
|||||||
2,777
|
Ingersoll-Rand plc
|
$
|
336,267
|
||||
9,749
|
Johnson Controls International plc (b)
|
416,185
|
|||||
2,253
|
L3Harris Technologies, Inc.
|
476,306
|
|||||
1,297
|
Lennox International, Inc. (b)
|
329,153
|
|||||
1,055
|
Lockheed Martin Corporation
|
405,236
|
|||||
1,147
|
Northrop Grumman Corporation
|
421,947
|
|||||
4,841
|
PACCAR, Inc. (b)
|
317,376
|
|||||
2,231
|
Raytheon Company
|
413,449
|
|||||
6,742
|
Republic Services, Inc.
|
601,724
|
|||||
2,220
|
Snap-on, Inc. (b)
|
330,070
|
|||||
7,014
|
Southwest Airlines Company
|
366,973
|
|||||
4,210
|
United Airlines Holdings, Inc. (a)
|
354,945
|
|||||
2,515
|
Verisk Analytics, Inc.
|
406,273
|
|||||
1,520
|
W.W. Grainger, Inc.
|
415,948
|
|||||
4,240
|
Waste Management, Inc.
|
506,044
|
|||||
8,577,012
|
|||||||
Information Technology — 5.3%
|
|||||||
1,789
|
Accenture plc — Class A
|
354,526
|
|||||
2,995
|
Broadridge Financial Solutions, Inc. (b)
|
387,673
|
|||||
3,755
|
Check Point Software Technologies, Ltd. (a) (b)
|
404,414
|
|||||
5,407
|
Citrix Systems, Inc.
|
502,742
|
|||||
6,500
|
Cognizant Technology Solutions Corporation — Class A (b)
|
399,035
|
|||||
3,048
|
Fidelity National Information Services, Inc.
|
415,199
|
|||||
3,684
|
Fiserv, Inc. (a)
|
393,967
|
|||||
1,984
|
Gartner, Inc. (a) (b)
|
265,201
|
|||||
2,474
|
International Business Machines Corporation (b)
|
335,301
|
|||||
3,088
|
Jack Henry & Associates, Inc. (b)
|
447,637
|
|||||
13,941
|
Juniper Networks, Inc.
|
322,874
|
|||||
3,892
|
Leidos Holdings, Inc.
|
340,005
|
|||||
2,101
|
Motorola Solutions, Inc.
|
380,091
|
|||||
6,246
|
Oracle Corporation (b)
|
325,167
|
|||||
4,169
|
Paychex, Inc. (b)
|
340,607
|
|||||
5,958
|
QUALCOMM, Inc.
|
463,354
|
|||||
6,077,793
|
|||||||
Materials — 5.5%
|
|||||||
1,709
|
Air Products & Chemicals, Inc.
|
386,097
|
|||||
2,984
|
Avery Dennison Corporation
|
344,861
|
|||||
5,469
|
Ball Corporation
|
439,762
|
|||||
1,971
|
Ecolab, Inc.
|
406,637
|
|||||
2,773
|
International Flavors & Fragrances, Inc. (b)
|
304,337
|
|||||
2,134
|
Linde plc
|
403,134
|
|||||
1,884
|
Martin Marietta Materials, Inc. (b)
|
478,103
|
|||||
68,980
|
Newmont Goldcorp Corporation
|
2,751,612
|
|||||
3,358
|
PPG Industries, Inc.
|
372,033
|
|||||
735
|
Sherwin-Williams Company
|
387,161
|
|||||
6,273,737
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.8% (Continued)
|
|||||||
Utilities — 18.3%
|
|||||||
22,546
|
AES Corporation
|
$
|
345,630
|
||||
12,149
|
Alliant Energy Corporation
|
637,215
|
|||||
8,080
|
Ameren Corporation
|
623,372
|
|||||
8,809
|
American Electric Power Company, Inc.
|
802,940
|
|||||
5,091
|
American Water Works Company, Inc. (b)
|
648,186
|
|||||
15,451
|
Aqua America, Inc. (b)
|
684,325
|
|||||
5,789
|
Atmos Energy Corporation
|
638,122
|
|||||
21,304
|
CenterPoint Energy, Inc.
|
589,908
|
|||||
11,609
|
CMS Energy Corporation
|
731,947
|
|||||
8,280
|
Consolidated Edison, Inc.
|
736,092
|
|||||
9,739
|
Dominion Energy, Inc.
|
756,039
|
|||||
5,903
|
DTE Energy Company
|
765,383
|
|||||
9,276
|
Duke Energy Corporation
|
860,256
|
|||||
6,021
|
Edison International
|
435,138
|
|||||
7,193
|
Entergy Corporation (b)
|
811,658
|
|||||
15,745
|
Evergy, Inc.
|
1,023,426
|
|||||
9,123
|
Eversource Energy
|
731,026
|
|||||
13,432
|
Exelon Corporation
|
634,796
|
|||||
14,732
|
FirstEnergy Corporation
|
677,672
|
|||||
3,410
|
NextEra Energy, Inc.
|
747,063
|
|||||
24,631
|
NiSource, Inc. (b)
|
727,846
|
|||||
10,284
|
NRG Energy, Inc. (b)
|
374,338
|
|||||
7,383
|
Pinnacle West Capital Corporation
|
703,674
|
|||||
22,602
|
PPL Corporation
|
667,889
|
|||||
11,344
|
Public Service Enterprise Group, Inc. (b)
|
685,972
|
|||||
4,348
|
Sempra Energy
|
615,807
|
|||||
13,033
|
Southern Company
|
759,303
|
|||||
10,857
|
UGI Corporation
|
528,410
|
|||||
17,486
|
Vistra Energy Corporation (b)
|
436,275
|
|||||
8,702
|
WEC Energy Group, Inc. (b)
|
833,390
|
|||||
11,172
|
Xcel Energy, Inc.
|
717,466
|
|||||
20,930,564
|
|||||||
TOTAL COMMON STOCKS (Cost $101,155,192)
|
114,374,671
|
||||||
SHORT-TERM INVESTMENTS — 0.0% (c)
|
|||||||
Money Market Funds — 0.0% (c)
|
|||||||
40,102
|
Invesco Government & Agency Portfolio — Institutional Class, 2.02% (d)
|
40,102
|
|||||
TOTAL SHORT-TERM INVESTMENTS (Cost $40,102)
|
40,102
|
Shares
|
Security Description
|
Value
|
|||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING — 28.5%
|
|||||||
Private Funds — 28.5%
|
|||||||
32,647,003
|
Mount Vernon Liquid Assets Portfolio, LLC, 2.30% (d)
|
$
|
32,647,003
|
||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING
|
|||||||
(Cost $32,647,003)
|
32,647,003
|
||||||
Total Investments (Cost $133,842,297) — 128.3%
|
147,061,776
|
||||||
Liabilities in Excess of Other Assets — (28.3)%
|
(32,424,382
|
)
|
|||||
TOTAL NET ASSETS — 100.0%
|
$
|
114,637,394
|
(a)
|
Non-income producing security.
|
(b)
|
All or a portion of this security is on loan as of August 31, 2019. The total value of securities on loan is $31,942,428.
|
(c)
|
Represents less than 0.05% of net assets.
|
(d)
|
Rate shown is the annualized seven-day yield as of August 31, 2019.
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.3%
|
|||||||
AUSTRALIA — 5.7%
|
|||||||
Communication Services — 0.4%
|
|||||||
200,234
|
Telstra Corporation, Ltd.
|
$
|
501,857
|
||||
Consumer Discretionary — 0.6%
|
|||||||
25,041
|
Wesfarmers, Ltd.
|
659,671
|
|||||
Consumer Staples — 0.6%
|
|||||||
29,413
|
Woolworths Group, Ltd.
|
748,488
|
|||||
Financials — 2.4%
|
|||||||
8,421
|
ASX, Ltd.
|
489,693
|
|||||
7,963
|
Commonwealth Bank of Australia
|
424,109
|
|||||
83,363
|
Insurance Australia Group, Ltd.
|
452,697
|
|||||
24,139
|
National Australia Bank, Ltd.
|
444,974
|
|||||
59,180
|
QBE Insurance Group, Ltd.
|
499,603
|
|||||
56,420
|
Suncorp Group, Ltd.
|
524,959
|
|||||
2,836,035
|
|||||||
Health Care — 0.4%
|
|||||||
3,049
|
Cochlear Ltd.
|
447,830
|
|||||
Industrials — 0.4%
|
|||||||
57,708
|
Brambles, Ltd.
|
439,353
|
|||||
Materials — 0.6%
|
|||||||
25,051
|
Newcrest Mining, Ltd.
|
624,490
|
|||||
Utilities — 0.3%
|
|||||||
31,007
|
AGL Energy, Ltd.
|
396,093
|
|||||
6,653,817
|
|||||||
AUSTRIA — 0.3%
|
|||||||
Utilities — 0.3%
|
|||||||
6,492
|
Verbund AG
|
387,135
|
|||||
387,135
|
|||||||
BELGIUM — 1.4%
|
|||||||
Communication Services — 0.4%
|
|||||||
15,590
|
Proximus SADP
|
461,660
|
|||||
Consumer Staples — 0.3%
|
|||||||
3,820
|
Anheuser-Busch InBev SA/NV
|
362,624
|
|||||
Financials — 0.4%
|
|||||||
8,044
|
Ageas
|
431,406
|
|||||
Health Care — 0.3%
|
|||||||
5,398
|
UCB SA
|
403,872
|
|||||
1,659,562
|
|||||||
CHINA — 2.3%
|
|||||||
Energy — 0.7%
|
|||||||
706,000
|
China Petroleum & Chemical Corporation — H-Shares
|
413,578
|
|||||
199,000
|
China Shenhua Energy Company, Ltd. — H-Shares
|
389,093
|
|||||
802,671
|
|||||||
Financials — 1.6%
|
|||||||
1,244,000
|
Agricultural Bank of China, Ltd. — H-Shares
|
479,478
|
|||||
1,330,000
|
Bank of China, Ltd. — H-Shares
|
507,533
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.3% (Continued)
|
|||||||
CHINA — 2.3% (Continued)
|
|||||||
Financials — 1.6% (Continued)
|
|||||||
562,000
|
China Construction Bank Corporation — H-Shares
|
$
|
417,447
|
||||
40,000
|
Ping An Insurance Group Company of China, Ltd. — H-Shares
|
458,946
|
|||||
1,863,404
|
|||||||
2,666,075
|
|||||||
CURACAO — 0.4%
|
|||||||
Financials — 0.4%
|
|||||||
3,089
|
HAL Trust
|
470,122
|
|||||
470,122
|
|||||||
DENMARK — 3.4%
|
|||||||
Consumer Staples — 0.4%
|
|||||||
3,542
|
Carlsberg AS — Series B
|
523,929
|
|||||
Financials — 0.5%
|
|||||||
17,645
|
Tryg AS
|
528,521
|
|||||
Health Care — 1.7%
|
|||||||
5,189
|
Coloplast AS — Series B
|
619,253
|
|||||
2,238
|
Genmab AS (a)
|
457,642
|
|||||
8,879
|
GN Store Nord AS
|
372,439
|
|||||
9,631
|
Novo Nordisk AS — Series B
|
501,137
|
|||||
1,950,471
|
|||||||
Materials — 0.3%
|
|||||||
4,185
|
Chr Hansen Holding AS
|
352,325
|
|||||
Utilities — 0.5%
|
|||||||
5,527
|
Orsted AS
|
528,814
|
|||||
3,884,060
|
|||||||
FINLAND — 1.0%
|
|||||||
Energy — 0.3%
|
|||||||
10,852
|
Neste Oyj
|
342,270
|
|||||
Financials — 0.4%
|
|||||||
1,054
|
Nordea Bank Abp
|
6,585
|
|||||
10,544
|
Sampo Oyj — Series A
|
419,642
|
|||||
426,227
|
|||||||
Industrials — 0.3%
|
|||||||
6,409
|
Kone Oyj — Series B
|
371,246
|
|||||
1,139,743
|
|||||||
FRANCE — 6.2%
|
|||||||
Communication Services — 0.8%
|
|||||||
34,538
|
Orange SA
|
524,882
|
|||||
14,978
|
Vivendi SA
|
419,455
|
|||||
944,337
|
|||||||
Consumer Discretionary — 0.8%
|
|||||||
3,303
|
EssilorLuxottica SA
|
488,324
|
|||||
3,935
|
Sodexo SA
|
446,775
|
|||||
935,099
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.3% (Continued)
|
|||||||
FRANCE — 6.2% (Continued)
|
|||||||
Consumer Staples — 1.6%
|
|||||||
22,808
|
Carrefour SA
|
$
|
389,318
|
||||
5,802
|
Danone SA
|
520,484
|
|||||
1,445
|
L’Oreal SA
|
395,598
|
|||||
2,708
|
Pernod Ricard SA
|
518,005
|
|||||
1,823,405
|
|||||||
Energy — 0.3%
|
|||||||
6,642
|
TOTAL SA
|
332,005
|
|||||
Financials — 0.3%
|
|||||||
16,077
|
AXA SA
|
369,499
|
|||||
Health Care — 0.4%
|
|||||||
5,527
|
Sanofi
|
475,485
|
|||||
Industrials — 0.7%
|
|||||||
3,669
|
Thales SA
|
424,857
|
|||||
3,439
|
Vinci SA
|
376,826
|
|||||
801,683
|
|||||||
Materials — 0.4%
|
|||||||
3,386
|
Air Liquide SA
|
472,256
|
|||||
Utilities — 0.9%
|
|||||||
29,290
|
Electricite de France SA
|
356,908
|
|||||
23,240
|
Engie SA
|
353,824
|
|||||
16,244
|
Veolia Environnement SA
|
389,079
|
|||||
1,099,811
|
|||||||
7,253,580
|
|||||||
GERMANY — 10.9%
|
|||||||
Communication Services — 0.5%
|
|||||||
33,649
|
Deutsche Telekom AG
|
562,361
|
|||||
Consumer Discretionary — 1.2%
|
|||||||
1,691
|
adidas AG
|
502,239
|
|||||
6,485
|
Bayerische Motoren Werke AG
|
434,281
|
|||||
6,675
|
Puma SE
|
507,575
|
|||||
1,444,095
|
|||||||
Consumer Staples — 0.7%
|
|||||||
6,092
|
Beiersdorf AG (b)
|
768,159
|
|||||
Financials — 1.7%
|
|||||||
1,891
|
Allianz SE
|
417,534
|
|||||
4,402
|
Deutsche Boerse AG
|
648,379
|
|||||
2,822
|
Hannover Rueck SE
|
449,999
|
|||||
2,198
|
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen
|
527,437
|
|||||
2,043,349
|
|||||||
Health Care — 1.1%
|
|||||||
8,476
|
Fresenius SE & Company KGaA
|
412,198
|
|||||
4,226
|
Merck KGaA
|
452,636
|
|||||
10,973
|
Siemens Healthineers AG
|
431,520
|
|||||
1,296,354
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.3% (Continued)
|
|||||||
GERMANY — 10.9% (Continued)
|
|||||||
Industrials — 1.1%
|
|||||||
31,815
|
Deutsche Lufthansa AG
|
$
|
489,807
|
||||
12,958
|
Deutsche Post AG
|
426,672
|
|||||
3,730
|
Siemens AG
|
373,592
|
|||||
1,290,071
|
|||||||
Information Technology — 0.3%
|
|||||||
3,250
|
SAP SE
|
388,685
|
|||||
Materials — 0.4%
|
|||||||
4,412
|
Symrise AG
|
412,602
|
|||||
Real Estate — 2.7%
|
|||||||
36,217
|
Deutsche Wohnen SE
|
1,286,656
|
|||||
7,035
|
LEG Immobilien AG
|
827,410
|
|||||
20,733
|
Vonovia SE
|
1,034,298
|
|||||
3,148,364
|
|||||||
Utilities — 1.2%
|
|||||||
53,112
|
E.ON SE
|
494,529
|
|||||
17,195
|
RWE AG
|
490,631
|
|||||
13,277
|
Uniper SE
|
403,109
|
|||||
1,388,269
|
|||||||
12,742,309
|
|||||||
HONG KONG — 1.2%
|
|||||||
Industrials — 0.5%
|
|||||||
11,900
|
Jardine Matheson Holdings, Ltd.
|
647,002
|
|||||
Real Estate — 0.7%
|
|||||||
138,300
|
Hongkong Land Holdings, Ltd.
|
755,118
|
|||||
1,402,120
|
|||||||
IRELAND — 1.3%
|
|||||||
Consumer Staples — 1.0%
|
|||||||
41,980
|
Glanbia plc (b)
|
461,148
|
|||||
5,317
|
Kerry Group plc — Series A
|
634,133
|
|||||
1,095,281
|
|||||||
Industrials — 0.3%
|
|||||||
12,340
|
Experian plc
|
378,411
|
|||||
1,473,692
|
|||||||
ITALY — 2.9%
|
|||||||
Communication Services — 0.3%
|
|||||||
635,208
|
Telecom Italia SpA/Milano (a)
|
338,848
|
|||||
Consumer Staples — 0.3%
|
|||||||
41,816
|
Davide Campari-Milano SpA
|
392,575
|
|||||
Energy — 0.3%
|
|||||||
22,306
|
Eni SpA
|
336,042
|
|||||
Financials — 0.4%
|
|||||||
23,733
|
Assicurazioni Generali SpA
|
430,459
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.3% (Continued)
|
|||||||
ITALY — 2.9% (Continued)
|
|||||||
Industrials — 0.4%
|
|||||||
17,280
|
Atlantia SpA
|
$
|
421,886
|
||||
Utilities — 1.2%
|
|||||||
67,408
|
Enel SpA
|
489,492
|
|||||
88,711
|
Snam SpA
|
449,290
|
|||||
76,161
|
Terna Rete Elettrica Nazionale SpA
|
478,910
|
|||||
1,417,692
|
|||||||
3,337,502
|
|||||||
JAPAN — 29.5%
|
|||||||
Communication Services — 3.0%
|
|||||||
18,800
|
Dentsu, Inc.
|
642,932
|
|||||
34,400
|
KDDI Corporation
|
918,781
|
|||||
17,300
|
Nippon Telegraph & Telephone Corporation
|
830,571
|
|||||
44,400
|
NTT DOCOMO, Inc.
|
1,121,869
|
|||||
3,514,153
|
|||||||
Consumer Discretionary — 4.9%
|
|||||||
10,400
|
Bandai Namco Holdings, Inc.
|
612,370
|
|||||
14,900
|
Bridgestone Corporation
|
568,936
|
|||||
1,000
|
Fast Retailing Company, Ltd. (b)
|
586,368
|
|||||
88,800
|
Nissan Motor Company, Ltd.
|
549,139
|
|||||
3,400
|
Nitori Holdings Company, Ltd.
|
490,885
|
|||||
4,800
|
Oriental Land Company, Ltd.
|
699,571
|
|||||
36,000
|
Sekisui House, Ltd.
|
639,484
|
|||||
3,000
|
Shimano, Inc.
|
431,579
|
|||||
13,600
|
Suzuki Motor Corporation
|
525,063
|
|||||
8,500
|
Toyota Motor Corporation
|
557,350
|
|||||
5,660,745
|
|||||||
Consumer Staples — 3.7%
|
|||||||
27,300
|
Aeon Company, Ltd. (b)
|
484,556
|
|||||
27,300
|
Ajinomoto Company, Inc.
|
498,187
|
|||||
10,200
|
Asahi Group Holdings, Ltd.
|
476,247
|
|||||
28,800
|
Japan Tobacco, Inc.
|
610,621
|
|||||
21,900
|
Kirin Holdings Company, Ltd.
|
432,966
|
|||||
7,800
|
MEIJI Holdings Company, Ltd.
|
542,315
|
|||||
18,400
|
Seven & i Holdings Company, Ltd. (b)
|
651,268
|
|||||
18,900
|
Unicharm Corporation
|
581,360
|
|||||
4,277,520
|
|||||||
Financials — 4.0%
|
|||||||
85,600
|
Japan Post Holdings Company, Ltd.
|
779,024
|
|||||
510,600
|
Mizuho Financial Group, Inc.
|
744,170
|
|||||
20,200
|
MS&AD Insurance Group Holdings, Inc.
|
642,662
|
|||||
31,500
|
ORIX Corporation
|
465,623
|
|||||
121,700
|
Resona Holdings, Inc.
|
478,109
|
|||||
13,100
|
Sompo Holdings, Inc.
|
523,778
|
|||||
15,400
|
Sumitomo Mitsui Financial Group, Inc.
|
505,475
|
|||||
9,100
|
Tokio Marine Holdings, Inc.
|
469,124
|
|||||
4,607,965
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.3% (Continued)
|
|||||||
JAPAN — 29.5% (Continued)
|
|||||||
Health Care — 2.8%
|
|||||||
9,200
|
Chugai Pharmaceutical Company, Ltd.
|
$
|
658,723
|
||||
6,000
|
Hoya Corporation
|
488,897
|
|||||
60,500
|
Olympus Corporation
|
709,048
|
|||||
11,600
|
Otsuka Holdings Company, Ltd.
|
477,464
|
|||||
6,500
|
Sysmex Corporation
|
415,309
|
|||||
16,812
|
Takeda Pharmaceutical Company, Ltd.
|
568,610
|
|||||
3,318,051
|
|||||||
Industrials — 6.9%
|
|||||||
19,500
|
ANA Holdings, Inc. (b)
|
667,238
|
|||||
2,600
|
Central Japan Railway Company
|
514,758
|
|||||
6,000
|
East Japan Railway Company
|
571,765
|
|||||
29,000
|
ITOCHU Corporation
|
578,798
|
|||||
24,600
|
Japan Airlines Company, Ltd.
|
769,207
|
|||||
6,100
|
Keio Corporation
|
381,591
|
|||||
13,000
|
Kintetsu Group Holdings Company, Ltd.
|
647,888
|
|||||
21,600
|
Mitsubishi Corporation
|
526,035
|
|||||
16,600
|
Mitsubishi Heavy Industries, Ltd.
|
624,308
|
|||||
20,800
|
Odakyu Electric Railway Company, Ltd.
|
472,260
|
|||||
7,900
|
Secom Company, Ltd.
|
674,601
|
|||||
25,000
|
Tokyu Corporation
|
447,266
|
|||||
18,400
|
Toshiba Corporation
|
572,048
|
|||||
6,900
|
West Japan Railway Company
|
581,798
|
|||||
8,029,561
|
|||||||
Information Technology — 1.5%
|
|||||||
21,700
|
Canon, Inc.
|
564,451
|
|||||
13,400
|
FUJIFILM Holdings Corporation
|
574,277
|
|||||
14,700
|
NEC Corporation
|
630,129
|
|||||
1,768,857
|
|||||||
Real Estate — 1.2%
|
|||||||
22,500
|
Mitsubishi Estate Company, Ltd.
|
431,155
|
|||||
17,300
|
Mitsui Fudosan Company, Ltd.
|
414,959
|
|||||
14,300
|
Sumitomo Realty & Development Company, Ltd.
|
538,212
|
|||||
1,384,326
|
|||||||
Utilities — 1.6%
|
|||||||
27,900
|
Chubu Electric Power Company, Inc.
|
411,751
|
|||||
32,700
|
Kansai Electric Power Company, Inc.
|
398,179
|
|||||
82,200
|
Tokyo Electric Power Company Holdings, Inc. (a)
|
391,853
|
|||||
28,400
|
Tokyo Gas Company, Ltd.
|
718,528
|
|||||
1,920,311
|
|||||||
34,481,489
|
|||||||
LUXEMBOURG — 0.5%
|
|||||||
Real Estate — 0.5%
|
|||||||
75,532
|
Aroundtown SA
|
629,336
|
|||||
629,336
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.3% (Continued)
|
|||||||
NETHERLANDS — 2.6%
|
|||||||
Communication Services — 0.4%
|
|||||||
147,843
|
Koninklijke KPN NV
|
$
|
468,898
|
||||
Consumer Staples — 1.2%
|
|||||||
3,984
|
Heineken Holding NV
|
394,644
|
|||||
4,038
|
Heineken NV
|
430,277
|
|||||
25,206
|
Koninklijke Ahold Delhaize NV
|
590,831
|
|||||
1,415,752
|
|||||||
Energy — 0.3%
|
|||||||
11,927
|
Royal Dutch Shell plc — Class A
|
330,523
|
|||||
Industrials — 0.4%
|
|||||||
6,275
|
Wolters Kluwer NV
|
452,765
|
|||||
Materials — 0.3%
|
|||||||
4,016
|
Akzo Nobel NV
|
360,310
|
|||||
3,028,248
|
|||||||
NORWAY — 1.0%
|
|||||||
Communication Services — 0.3%
|
|||||||
19,355
|
Telenor ASA
|
397,674
|
|||||
Consumer Staples — 0.4%
|
|||||||
19,594
|
Mowi ASA
|
469,073
|
|||||
Financials — 0.3%
|
|||||||
18,123
|
DNB ASA
|
292,356
|
|||||
1,159,103
|
|||||||
PORTUGAL — 0.9%
|
|||||||
Consumer Staples — 0.5%
|
|||||||
32,857
|
Jeronimo Martins SGPS SA
|
543,118
|
|||||
Utilities — 0.4%
|
|||||||
129,916
|
EDP — Energias de Portugal SA
|
491,874
|
|||||
1,034,992
|
|||||||
SINGAPORE — 2.0%
|
|||||||
Communication Services — 0.6%
|
|||||||
295,700
|
Singapore Telecommunications, Ltd.
|
675,727
|
|||||
Consumer Staples — 0.7%
|
|||||||
286,500
|
Wilmar International, Ltd.
|
786,884
|
|||||
Financials — 0.3%
|
|||||||
23,800
|
United Overseas Bank, Ltd.
|
428,235
|
|||||
Real Estate — 0.4%
|
|||||||
190,500
|
CapitaLand, Ltd.
|
476,525
|
|||||
2,367,371
|
|||||||
SPAIN — 4.4%
|
|||||||
Communication Services — 0.7%
|
|||||||
11,934
|
Cellnex Telecom SA
|
478,380
|
|||||
52,179
|
Telefonica SA
|
362,068
|
|||||
840,448
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.3% (Continued)
|
|||||||
SPAIN — 4.4% (Continued)
|
|||||||
Consumer Discretionary — 0.4%
|
|||||||
14,071
|
Industria de Diseno Textil SA
|
$
|
435,738
|
||||
Energy — 0.3%
|
|||||||
23,740
|
Repsol SA
|
345,619
|
|||||
Health Care — 0.3%
|
|||||||
11,719
|
Grifols SA
|
371,679
|
|||||
Industrials — 0.7%
|
|||||||
2,428
|
Aena SME SA
|
438,508
|
|||||
14,951
|
Ferrovial SA
|
425,944
|
|||||
864,452
|
|||||||
Utilities — 2.0%
|
|||||||
62,027
|
EDP Renovaveis SA
|
684,437
|
|||||
53,726
|
Iberdrola SA
|
553,318
|
|||||
17,393
|
Naturgy Energy Group SA
|
455,866
|
|||||
31,286
|
Red Electrica Corporation SA
|
624,474
|
|||||
2,318,095
|
|||||||
5,176,031
|
|||||||
SWEDEN — 2.7%
|
|||||||
Communication Services — 0.4%
|
|||||||
117,232
|
Telia Company AB
|
513,550
|
|||||
Consumer Discretionary — 0.4%
|
|||||||
21,065
|
Hennes & Mauritz AB — Series B
|
403,781
|
|||||
Consumer Staples — 0.4%
|
|||||||
12,926
|
Swedish Match AB
|
507,455
|
|||||
Financials — 1.2%
|
|||||||
7,009
|
Investor AB — Series B
|
328,909
|
|||||
40,349
|
Skandinaviska Enskilda Banken AB — Series A
|
347,090
|
|||||
41,572
|
Svenska Handelsbanken AB — Series A
|
366,173
|
|||||
26,153
|
Swedbank AB — Series A
|
336,286
|
|||||
1,378,458
|
|||||||
Industrials — 0.3%
|
|||||||
17,771
|
Assa Abloy AB — Series B
|
371,301
|
|||||
3,174,545
|
|||||||
SWITZERLAND — 5.0%
|
|||||||
Consumer Staples — 1.7%
|
|||||||
10
|
Chocoladefabriken Lindt & Spruengli AG
|
822,679
|
|||||
12,249
|
Coca-Cola HBC AG (a)
|
407,246
|
|||||
6,672
|
Nestle SA
|
748,489
|
|||||
1,978,414
|
|||||||
Financials — 1.6%
|
|||||||
490
|
Partners Group Holding AG
|
397,467
|
|||||
990
|
Swiss Life Holding AG
|
469,561
|
|||||
5,403
|
Swiss Re AG
|
519,632
|
|||||
1,394
|
Zurich Insurance Group AG
|
496,202
|
|||||
1,882,862
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.3% (Continued)
|
|||||||
SWITZERLAND — 5.0% (Continued)
|
|||||||
Health Care — 0.8%
|
|||||||
5,347
|
Novartis AG
|
$
|
481,011
|
||||
1,845
|
Roche Holding AG
|
504,580
|
|||||
985,591
|
|||||||
Industrials — 0.4%
|
|||||||
1,080
|
Geberit AG
|
491,291
|
|||||
Materials — 0.5%
|
|||||||
197
|
Givaudan SA
|
532,793
|
|||||
5,870,951
|
|||||||
UNITED KINGDOM — 13.6%
|
|||||||
Communication Services — 1.5%
|
|||||||
216,809
|
BT Group plc
|
437,357
|
|||||
39,793
|
Informa plc
|
421,618
|
|||||
42,548
|
Pearson plc (b)
|
430,807
|
|||||
238,655
|
Vodafone Group plc
|
451,198
|
|||||
1,740,980
|
|||||||
Consumer Discretionary — 1.9%
|
|||||||
33,069
|
Compass Group plc
|
838,888
|
|||||
6,279
|
InterContinental Hotels Group plc
|
391,902
|
|||||
6,900
|
Next plc
|
498,811
|
|||||
9,696
|
Whitbread plc
|
516,375
|
|||||
2,245,976
|
|||||||
Consumer Staples — 3.5%
|
|||||||
13,620
|
Associated British Foods plc
|
376,693
|
|||||
12,047
|
British American Tobacco plc
|
422,537
|
|||||
13,526
|
Diageo plc
|
577,117
|
|||||
24,160
|
Imperial Brands plc
|
625,097
|
|||||
5,844
|
Reckitt Benckiser Group plc
|
455,424
|
|||||
158,807
|
Tesco plc
|
423,939
|
|||||
9,121
|
Unilever NV
|
566,911
|
|||||
9,926
|
Unilever plc
|
628,112
|
|||||
4,075,830
|
|||||||
Energy — 0.3%
|
|||||||
56,736
|
BP plc
|
345,618
|
|||||
Financials — 1.4%
|
|||||||
55,661
|
HSBC Holdings plc
|
400,890
|
|||||
617,739
|
Lloyds Banking Group plc
|
374,877
|
|||||
5,918
|
London Stock Exchange Group plc
|
501,191
|
|||||
60,506
|
RSA Insurance Group plc
|
385,679
|
|||||
1,662,637
|
|||||||
Health Care — 1.5%
|
|||||||
7,348
|
AstraZeneca plc
|
654,870
|
|||||
25,787
|
GlaxoSmithKline plc
|
537,522
|
|||||
21,239
|
Smith & Nephew plc
|
508,265
|
|||||
1,700,657
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.3% (Continued)
|
|||||||
UNITED KINGDOM — 13.6% (Continued)
|
|||||||
Industrials — 1.6%
|
|||||||
75,588
|
BAE Systems plc
|
$
|
502,250
|
||||
19,021
|
Bunzl plc
|
466,305
|
|||||
13,899
|
International Consolidated Airlines Group SA — ADR
|
141,075
|
|||||
54,398
|
International Consolidated Airlines Group SA
|
279,370
|
|||||
20,230
|
RELX plc
|
484,489
|
|||||
1,873,489
|
|||||||
Information Technology — 0.3%
|
|||||||
38,594
|
Sage Group plc
|
329,294
|
|||||
Utilities — 1.6%
|
|||||||
426,008
|
Centrica plc
|
361,613
|
|||||
51,461
|
National Grid plc
|
538,036
|
|||||
35,552
|
SSE plc
|
498,348
|
|||||
49,738
|
United Utilities Group plc
|
493,066
|
|||||
1,891,063
|
|||||||
15,865,544
|
|||||||
TOTAL COMMON STOCKS (Cost $115,121,856)
|
115,857,327
|
||||||
SHORT-TERM INVESTMENTS — 0.2%
|
|||||||
Money Market Funds — 0.2%
|
|||||||
273,954
|
Invesco Government & Agency Portfolio — Institutional Class, 2.02% (c)
|
273,954
|
|||||
TOTAL SHORT-TERM INVESTMENTS (Cost $273,954)
|
273,954
|
Principal
|
|||||||
Amount
|
Security Description
|
Value
|
|||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING — 3.3%
|
|||||||
Repurchase Agreements — 3.3%
|
|||||||
$
|
268,394
|
Citigroup Global Markets, Inc. — 2.16%, dated 8/30/2019, matures 9/03/2019, repurchase
|
|||||
price $268,410 (collateralized by various U.S. government obligations: Total Value $273,762)
|
$
|
268,394
|
|||||
905,983
|
Daiwa Capital Markets America, Inc. — 2.17%, dated 8/30/2019, matures 9/03/2019, repurchase
|
||||||
price $906,037 (collateralized by various U.S. government obligations: Total Value $924,103)
|
905,983
|
||||||
905,983
|
HSBC Securities (USA), Inc. — 2.16%, dated 8/30/2019, matures 9/03/2019, repurchase
|
||||||
price $906,037 (collateralized by various U.S. government obligations: Total Value $924,103)
|
905,983
|
||||||
905,983
|
Morgan Stanley & Company LLC — 2.17%, dated 8/30/2019, matures 9/03/2019, repurchase
|
||||||
price $906,037 (collateralized by various U.S. government obligations: Total Value $924,103)
|
905,983
|
||||||
905,983
|
RBC Dominion Securities, Inc. — 2.16%, dated 8/30/2019, matures 9/03/2019, repurchase
|
||||||
price $906,037 (collateralized by various U.S. government obligations: Total Value $924,103)
|
905,983
|
||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING
|
|||||||
(Cost $3,892,326)
|
3,892,326
|
||||||
Total Investments (Cost $119,288,136) — 102.8%
|
120,023,607
|
||||||
Liabilities in Excess of Other Assets — (2.8)%
|
(3,314,506
|
)
|
|||||
TOTAL NET ASSETS — 100.0%
|
$
|
116,709,101
|
ADR |
American Depositary Receipt
|
(a)
|
Non-income producing security.
|
(b)
|
All or a portion of this security is on loan as of August 31, 2019. The total value of securities on loan is $3,068,385.
|
(c)
|
Rate shown is the annualized seven-day yield as of August 31, 2019.
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.8%
|
|||||||
Communication Services — 9.8%
|
|||||||
3,089
|
Activision Blizzard, Inc.
|
$
|
156,303
|
||||
1,440
|
Altice USA, Inc. — Class A (a)
|
41,587
|
|||||
29,075
|
AT&T, Inc.
|
1,025,185
|
|||||
1,338
|
CBS Corporation — Class B
|
56,276
|
|||||
4,411
|
CenturyLink, Inc. (b)
|
50,197
|
|||||
653
|
Charter Communications, Inc. — Class A (a) (b)
|
267,462
|
|||||
18,349
|
Comcast Corporation — Class A
|
812,127
|
|||||
9,041
|
Discovery, Inc. — Class C (a) (b)
|
235,337
|
|||||
905
|
DISH Network Corporation — Class A (a) (b)
|
30,372
|
|||||
1,191
|
Electronic Arts, Inc. (a)
|
111,573
|
|||||
9,028
|
Facebook, Inc. — Class A (a)
|
1,676,230
|
|||||
4,515
|
Fox Corporation — Class A (b)
|
149,763
|
|||||
3,395
|
Fox Corporation — Class B
|
111,356
|
|||||
316
|
IAC/InterActiveCorporation (a)
|
80,466
|
|||||
1,567
|
Interpublic Group of Companies, Inc. (b)
|
31,152
|
|||||
604
|
Liberty Broadband Corporation — Class C (a)
|
63,686
|
|||||
2,043
|
Liberty Global plc — Class C (a)
|
53,363
|
|||||
804
|
Liberty Media Corporation-Liberty Formula One — Class C (a)
|
33,559
|
|||||
650
|
Liberty Media Corporation-Liberty SiriusXM — Class C (a)
|
26,527
|
|||||
617
|
Netflix, Inc. (a)
|
181,244
|
|||||
891
|
Omnicom Group, Inc. (b)
|
67,769
|
|||||
5,284
|
Sirius XM Holdings, Inc. (b)
|
32,602
|
|||||
54,474
|
Snap, Inc. — Class A (a) (b)
|
862,323
|
|||||
452
|
Take-Two Interactive Software, Inc. (a)
|
59,650
|
|||||
29,093
|
Twitter, Inc. (a)
|
1,240,816
|
|||||
20,496
|
Verizon Communications, Inc.
|
1,192,047
|
|||||
28,752
|
Viacom, Inc. — Class B
|
718,225
|
|||||
7,117
|
Walt Disney Company
|
976,880
|
|||||
10,344,077
|
|||||||
Consumer Discretionary — 17.7%
|
|||||||
5,558
|
Advance Auto Parts, Inc. (b)
|
766,727
|
|||||
332
|
Amazon.com, Inc. (a)
|
589,728
|
|||||
1,044
|
Aptiv plc
|
86,830
|
|||||
987
|
Aramark
|
40,329
|
|||||
343
|
Autoliv, Inc.
|
23,461
|
|||||
1,426
|
AutoZone, Inc. (a)
|
1,571,011
|
|||||
2,902
|
Best Buy Company, Inc.
|
184,712
|
|||||
176
|
Booking Holdings, Inc. (a)
|
346,088
|
|||||
787
|
BorgWarner, Inc.
|
25,680
|
|||||
234
|
Bright Horizons Family Solutions, Inc. (a)
|
38,622
|
|||||
269
|
Burlington Stores, Inc. (a)
|
54,470
|
|||||
675
|
CarMax, Inc. (a) (b)
|
56,214
|
|||||
1,634
|
Carnival Corporation
|
72,027
|
|||||
2,206
|
Chipotle Mexican Grill, Inc. (a) (b)
|
1,849,554
|
|||||
1,422
|
D.R. Horton, Inc.
|
70,346
|
|||||
501
|
Darden Restaurants, Inc. (b)
|
60,611
|
|||||
2,182
|
Dollar General Corporation
|
340,588
|
|||||
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.8% (Continued)
|
|||||||
Consumer Discretionary — 17.7% (Continued)
|
|||||||
4,907
|
Dollar Tree, Inc. (a)
|
$
|
498,208
|
||||
327
|
Domino’s Pizza, Inc. (b)
|
74,177
|
|||||
336
|
Dunkin’ Brands Group, Inc. (b)
|
27,700
|
|||||
3,358
|
eBay, Inc.
|
135,294
|
|||||
461
|
Etsy, Inc. (a)
|
24,336
|
|||||
3,636
|
Expedia Group, Inc.
|
473,044
|
|||||
223
|
Five Below, Inc. (a)
|
27,400
|
|||||
15,865
|
Ford Motor Company
|
145,482
|
|||||
23,285
|
Gap, Inc. (b)
|
367,670
|
|||||
549
|
Garmin, Ltd.
|
44,782
|
|||||
5,071
|
General Motors Company
|
188,083
|
|||||
1,040
|
Gentex Corporation (b)
|
27,664
|
|||||
579
|
Genuine Parts Company
|
52,278
|
|||||
7,412
|
GrubHub, Inc. (a) (b)
|
439,828
|
|||||
16,490
|
H&R Block, Inc. (b)
|
399,387
|
|||||
4,913
|
Hanesbrands, Inc. (b)
|
67,112
|
|||||
648
|
Harley-Davidson, Inc. (b)
|
20,671
|
|||||
3,490
|
Hasbro, Inc.
|
385,540
|
|||||
1,168
|
Hilton Worldwide Holdings, Inc.
|
107,888
|
|||||
3,947
|
Kohl’s Corporation
|
186,535
|
|||||
15,884
|
L Brands, Inc. (b)
|
262,245
|
|||||
1,041
|
Las Vegas Sands Corporation
|
57,744
|
|||||
254
|
Lear Corporation
|
28,514
|
|||||
1,145
|
Lennar Corporation — Class A (b)
|
58,395
|
|||||
1,189
|
LKQ Corporation (a)
|
31,235
|
|||||
1,670
|
Lowe’s Companies, Inc.
|
187,374
|
|||||
4,605
|
Lululemon Athletica, Inc. (a)
|
850,405
|
|||||
25,130
|
Macy’s, Inc. (b)
|
370,919
|
|||||
3,328
|
McDonald’s Corporation
|
725,403
|
|||||
200
|
MercadoLibre, Inc. (a) (b)
|
118,920
|
|||||
242
|
Mohawk Industries, Inc. (a) (b)
|
28,771
|
|||||
28,551
|
Newell Brands, Inc. (b)
|
473,947
|
|||||
3,676
|
NIKE, Inc. — Class B
|
310,622
|
|||||
88
|
NVR, Inc. (a) (b)
|
316,712
|
|||||
313
|
O’Reilly Automotive, Inc. (a)
|
120,117
|
|||||
344
|
Planet Fitness, Inc. (a)
|
24,290
|
|||||
157
|
Pool Corporation
|
30,832
|
|||||
1,041
|
PulteGroup, Inc.
|
35,186
|
|||||
304
|
PVH Corporation
|
23,043
|
|||||
198
|
Ralph Lauren Corporation (b)
|
17,491
|
|||||
3,642
|
Roku, Inc. (a)
|
551,253
|
|||||
1,466
|
Ross Stores, Inc.
|
155,411
|
|||||
722
|
Service Corporation International (b)
|
33,429
|
|||||
6,117
|
ServiceMaster Global Holdings, Inc. (a)
|
348,914
|
|||||
4,773
|
Starbucks Corporation (b)
|
460,881
|
|||||
1,180
|
Tapestry, Inc.
|
24,367
|
|||||
2,084
|
Target Corporation
|
223,071
|
|||||
3,339
|
Tesla, Inc. (a) (b)
|
753,312
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.8% (Continued)
|
|||||||
Consumer Discretionary — 17.7% (Continued)
|
|||||||
476
|
Tiffany & Company (b)
|
$
|
40,398
|
||||
4,585
|
TJX Companies, Inc.
|
252,037
|
|||||
489
|
Tractor Supply Company
|
49,819
|
|||||
2,218
|
Ulta Beauty, Inc. (a) (b)
|
527,285
|
|||||
1,330
|
V.F. Corporation
|
108,994
|
|||||
163
|
Vail Resorts, Inc.
|
38,514
|
|||||
249
|
Wayfair, Inc. — Class A (a) (b)
|
28,072
|
|||||
256
|
Whirlpool Corporation (b)
|
35,607
|
|||||
389
|
Wyndham Hotels & Resorts, Inc.
|
19,987
|
|||||
4,718
|
Wynn Resorts, Ltd.
|
519,688
|
|||||
10,764
|
Yum China Holdings, Inc.
|
489,009
|
|||||
1,246
|
Yum! Brands, Inc. (b)
|
145,508
|
|||||
18,747,798
|
|||||||
Consumer Staples — 14.1%
|
|||||||
1,221
|
Brown-Forman Corporation — Class B (b)
|
72,027
|
|||||
10,683
|
Bunge, Ltd.
|
570,579
|
|||||
15,527
|
Campbell Soup Company (b)
|
698,715
|
|||||
5,591
|
Church & Dwight Company, Inc.
|
446,050
|
|||||
7,382
|
Clorox Company (b)
|
1,167,537
|
|||||
15,573
|
Coca-Cola Company
|
857,138
|
|||||
4,614
|
Coca-Cola European Partners plc (b)
|
259,953
|
|||||
3,484
|
Colgate-Palmolive Company
|
258,339
|
|||||
6,358
|
Conagra Brands, Inc.
|
180,313
|
|||||
1,410
|
Constellation Brands, Inc. — Class A (b)
|
288,134
|
|||||
1,766
|
Costco Wholesale Corporation
|
520,546
|
|||||
883
|
Estee Lauder Companies, Inc. — Class A
|
174,825
|
|||||
15,339
|
General Mills, Inc. (b)
|
825,238
|
|||||
3,853
|
Hershey Company (b)
|
610,623
|
|||||
1,130
|
Hormel Foods Corporation
|
48,149
|
|||||
270
|
Ingredion, Inc. (b)
|
20,863
|
|||||
8,894
|
JM Smucker Company (b)
|
935,294
|
|||||
7,516
|
Kellogg Company (b)
|
472,005
|
|||||
2,794
|
Kimberly-Clark Corporation
|
394,261
|
|||||
22,037
|
Kraft Heinz Company
|
562,384
|
|||||
53,471
|
Kroger Company
|
1,266,193
|
|||||
7,305
|
Lamb Weston Holdings, Inc. (b)
|
514,199
|
|||||
899
|
McCormick & Company, Inc. (b)
|
146,420
|
|||||
3,454
|
Molson Coors Brewing Company — Class B (b)
|
177,397
|
|||||
5,774
|
Mondelez International, Inc. — Class A
|
318,840
|
|||||
1,602
|
Monster Beverage Corporation (a)
|
93,989
|
|||||
5,700
|
PepsiCo, Inc.
|
779,361
|
|||||
283
|
Post Holdings, Inc. (a)
|
28,212
|
|||||
10,070
|
Procter & Gamble Company
|
1,210,716
|
|||||
1,997
|
Sysco Corporation
|
148,437
|
|||||
7,109
|
Tyson Foods, Inc. — Class A
|
661,421
|
|||||
888
|
US Foods Holding Corporation (a)
|
35,920
|
|||||
3,124
|
Walgreens Boots Alliance, Inc.
|
159,918
|
|||||
14,903,996
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.8% (Continued)
|
|||||||
Energy — 2.2%
|
|||||||
1,529
|
Apache Corporation (b)
|
$
|
32,981
|
||||
9,519
|
Baker Hughes, a GE Company (b)
|
206,468
|
|||||
5,471
|
Cabot Oil & Gas Corporation (b)
|
93,664
|
|||||
952
|
Cheniere Energy, Inc. (a) (b)
|
56,844
|
|||||
2,978
|
Chevron Corporation
|
350,569
|
|||||
406
|
Cimarex Energy Company (b)
|
17,369
|
|||||
809
|
Concho Resources, Inc.
|
59,178
|
|||||
4,605
|
ConocoPhillips
|
240,289
|
|||||
668
|
Diamondback Energy, Inc. (b)
|
65,517
|
|||||
2,356
|
EOG Resources, Inc.
|
174,792
|
|||||
3,312
|
Halliburton Company (b)
|
62,398
|
|||||
433
|
Helmerich & Payne, Inc. (b)
|
16,276
|
|||||
642
|
HollyFrontier Corporation (b)
|
28,479
|
|||||
6,497
|
Kinder Morgan, Inc. (b)
|
131,694
|
|||||
3,326
|
Marathon Oil Corporation
|
39,380
|
|||||
1,569
|
National Oilwell Varco, Inc. (b)
|
32,055
|
|||||
1,926
|
Noble Energy, Inc.
|
43,489
|
|||||
3,044
|
Occidental Petroleum Corporation
|
132,353
|
|||||
1,672
|
ONEOK, Inc.
|
119,180
|
|||||
680
|
Pioneer Natural Resources Company
|
83,926
|
|||||
5,640
|
Schlumberger, Ltd.
|
182,905
|
|||||
925
|
Targa Resources Corporation (b)
|
33,411
|
|||||
4,934
|
Williams Companies, Inc.
|
116,442
|
|||||
2,319,659
|
|||||||
Financials — 9.7%
|
|||||||
3,009
|
Aflac, Inc.
|
150,992
|
|||||
27,242
|
AGNC Investment Corporation
|
405,089
|
|||||
57
|
Alleghany Corporation (a)
|
42,711
|
|||||
1,325
|
Allstate Corporation
|
135,667
|
|||||
282
|
American Financial Group, Inc.
|
28,474
|
|||||
3,544
|
American International Group, Inc.
|
184,430
|
|||||
101,285
|
Annaly Capital Management, Inc.
|
840,665
|
|||||
972
|
Aon plc
|
189,394
|
|||||
1,588
|
Arch Capital Group, Ltd. (a)
|
62,726
|
|||||
747
|
Arthur J. Gallagher & Company (b)
|
67,760
|
|||||
628
|
Athene Holding, Ltd. — Class A (a)
|
24,404
|
|||||
5,672
|
Bank of America Corporation
|
156,037
|
|||||
3,457
|
Bank of New York Mellon Corporation
|
145,401
|
|||||
3,096
|
BB&T Corporation (b)
|
147,524
|
|||||
959
|
Brown & Brown, Inc.
|
35,378
|
|||||
9,031
|
Cboe Global Markets, Inc.
|
1,076,134
|
|||||
1,604
|
Chubb, Ltd.
|
250,672
|
|||||
630
|
Cincinnati Financial Corporation
|
70,869
|
|||||
631
|
Citigroup, Inc.
|
40,605
|
|||||
1,862
|
Citizens Financial Group, Inc.
|
62,824
|
|||||
1,588
|
CME Group, Inc.
|
345,057
|
|||||
623
|
Comerica, Inc.
|
38,408
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.8% (Continued)
|
|||||||
Financials — 9.7% (Continued)
|
|||||||
405
|
Commerce Bancshares, Inc./MO (b)
|
$
|
23,113
|
||||
236
|
Cullen/Frost Bankers, Inc. (b)
|
19,590
|
|||||
590
|
East West Bancorp, Inc.
|
24,267
|
|||||
2,684
|
Everest Re Group, Ltd.
|
633,101
|
|||||
50
|
FactSet Research Systems, Inc. (b)
|
13,605
|
|||||
1,072
|
Fidelity National Financial, Inc.
|
47,104
|
|||||
2,976
|
Fifth Third Bancorp
|
78,715
|
|||||
440
|
First American Financial Corporation
|
25,718
|
|||||
673
|
First Republic Bank/CA (b)
|
60,382
|
|||||
938
|
Franklin Resources, Inc. (b)
|
24,651
|
|||||
398
|
Globe Life, Inc. (b)
|
35,525
|
|||||
298
|
Goldman Sachs Group, Inc. (b)
|
60,765
|
|||||
1,467
|
Hartford Financial Services Group, Inc.
|
85,497
|
|||||
4,216
|
Huntington Bancshares, Inc. (b)
|
55,862
|
|||||
2,251
|
Intercontinental Exchange, Inc. (b)
|
210,423
|
|||||
1,915
|
Invesco, Ltd.
|
30,066
|
|||||
1,304
|
JPMorgan Chase & Company
|
143,257
|
|||||
4,091
|
KeyCorporation
|
67,911
|
|||||
1,076
|
Loews Corporation
|
51,723
|
|||||
330
|
LPL Financial Holdings, Inc.
|
24,734
|
|||||
533
|
M&T Bank Corporation
|
77,930
|
|||||
59
|
Markel Corporation (a)
|
67,442
|
|||||
2,960
|
MarketAxess Holdings, Inc.
|
1,176,954
|
|||||
2,081
|
Marsh & McLennan Companies, Inc. (b)
|
207,871
|
|||||
2,985
|
MetLife, Inc. (b)
|
132,236
|
|||||
473
|
Nasdaq, Inc.
|
47,224
|
|||||
1,157
|
Old Republic International Corporation
|
27,028
|
|||||
1,611
|
People’s United Financial, Inc.
|
23,150
|
|||||
1,682
|
PNC Financial Services Group, Inc.
|
216,860
|
|||||
1,130
|
Principal Financial Group, Inc.
|
60,139
|
|||||
2,366
|
Progressive Corporation
|
179,343
|
|||||
4,112
|
Regions Financial Corporation (b)
|
60,117
|
|||||
255
|
Reinsurance Group of America, Inc. (b)
|
39,262
|
|||||
1,186
|
RenaissanceRe Holdings, Ltd.
|
214,132
|
|||||
219
|
Signature Bank
|
25,546
|
|||||
1,439
|
State Street Corporation (b)
|
73,835
|
|||||
2,719
|
Synchrony Financial
|
87,144
|
|||||
1,104
|
TD Ameritrade Holding Corporation (b)
|
49,029
|
|||||
1,039
|
Travelers Companies, Inc. (b)
|
152,691
|
|||||
5,946
|
U.S. Bancorp
|
313,295
|
|||||
782
|
Unum Group
|
19,871
|
|||||
575
|
W.R. Berkley Corporation
|
40,969
|
|||||
13,136
|
Wells Fargo & Company
|
611,744
|
|||||
524
|
Willis Towers Watson plc
|
103,736
|
|||||
735
|
Zions Bancorporation (b)
|
30,201
|
|||||
10,254,979
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.8% (Continued)
|
|||||||
Health Care — 15.1%
|
|||||||
6,022
|
AbbVie, Inc.
|
$
|
395,886
|
||||
174
|
ABIOMED, Inc. (a)
|
33,594
|
|||||
434
|
Agilent Technologies, Inc.
|
30,862
|
|||||
1,333
|
Allergan plc
|
212,907
|
|||||
5,470
|
Alnylam Pharmaceuticals, Inc. (a) (b)
|
441,374
|
|||||
624
|
AmerisourceBergen Corporation
|
51,336
|
|||||
1,048
|
Anthem, Inc.
|
274,073
|
|||||
737
|
Becton Dickinson and Company (b)
|
187,139
|
|||||
2,476
|
Biogen, Inc. (a)
|
544,101
|
|||||
87
|
Bio-Rad Laboratories, Inc. — Class A (a)
|
29,381
|
|||||
9,497
|
Bristol-Myers Squibb Company (b)
|
456,521
|
|||||
1,210
|
Cardinal Health, Inc.
|
52,187
|
|||||
591
|
Catalent, Inc. (a)
|
31,169
|
|||||
1,636
|
Centene Corporation (a) (b)
|
76,270
|
|||||
1,281
|
Cerner Corporation (b)
|
88,274
|
|||||
1,544
|
Cigna Corporation
|
237,730
|
|||||
201
|
Cooper Companies, Inc.
|
62,260
|
|||||
5,284
|
CVS Health Corporation
|
321,901
|
|||||
506
|
DaVita, Inc. (a)
|
28,523
|
|||||
11,846
|
DENTSPLY SIRONA, Inc.
|
617,769
|
|||||
7,260
|
DexCom, Inc. (a) (b)
|
1,245,888
|
|||||
470
|
Edwards Lifesciences Corporation (a)
|
104,265
|
|||||
3,475
|
Eli Lilly & Company (b)
|
392,571
|
|||||
385
|
Encompass Health Corporation
|
23,404
|
|||||
3,731
|
Exact Sciences Corporation (a) (b)
|
444,810
|
|||||
5,278
|
Exelixis, Inc. (a)
|
104,768
|
|||||
5,154
|
Gilead Sciences, Inc.
|
327,485
|
|||||
1,200
|
HCA Healthcare, Inc.
|
144,240
|
|||||
599
|
Henry Schein, Inc. (a) (b)
|
36,910
|
|||||
3,136
|
Humana, Inc.
|
888,148
|
|||||
217
|
ICON plc (a)
|
33,459
|
|||||
729
|
Incyte Corporation (a)
|
59,647
|
|||||
240
|
Insulet Corp. (a)
|
37,001
|
|||||
54
|
Intuitive Surgical, Inc. (a)
|
27,612
|
|||||
641
|
Ionis Pharmaceuticals, Inc. (a) (b)
|
40,518
|
|||||
104
|
IQVIA Holdings, Inc. (a)
|
16,136
|
|||||
4,472
|
Jazz Pharmaceuticals plc (a)
|
573,087
|
|||||
9,011
|
Johnson & Johnson
|
1,156,651
|
|||||
400
|
Laboratory Corporation of America Holdings (a)
|
67,024
|
|||||
773
|
McKesson Corporation
|
106,883
|
|||||
5,456
|
Medtronic plc
|
588,648
|
|||||
10,492
|
Merck & Company, Inc.
|
907,243
|
|||||
2,805
|
Molina Healthcare, Inc. (a)
|
365,435
|
|||||
2,092
|
Mylan NV (a)
|
40,731
|
|||||
14,073
|
Nektar Therapeutics (a) (b)
|
247,263
|
|||||
6,611
|
Neurocrine Biosciences, Inc. (a) (b)
|
657,266
|
|||||
2,703
|
Perrigo Company plc
|
126,446
|
|||||
22,654
|
Pfizer, Inc.
|
805,350
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.8% (Continued)
|
|||||||
Health Care — 15.1% (Continued)
|
|||||||
545
|
Quest Diagnostics, Inc.
|
$
|
55,792
|
||||
332
|
Regeneron Pharmaceuticals, Inc. (a)
|
96,297
|
|||||
580
|
ResMed, Inc. (b)
|
80,794
|
|||||
4,102
|
Sage Therapeutics, Inc. (a) (b)
|
704,189
|
|||||
287
|
Sarepta Therapeutics, Inc. (a) (b)
|
25,873
|
|||||
459
|
Stryker Corporation
|
101,283
|
|||||
188
|
Teleflex, Inc.
|
68,417
|
|||||
3,554
|
UnitedHealth Group, Inc.
|
831,636
|
|||||
327
|
Universal Health Services, Inc. — Class B
|
47,278
|
|||||
370
|
Varian Medical Systems, Inc. (a)
|
39,194
|
|||||
270
|
Waters Corporation (a) (b)
|
57,210
|
|||||
297
|
West Pharmaceutical Services, Inc.
|
43,202
|
|||||
835
|
Zimmer Biomet Holdings, Inc.
|
116,232
|
|||||
16,009,543
|
|||||||
Industrials — 4.3%
|
|||||||
501
|
Alaska Air Group, Inc.
|
29,920
|
|||||
382
|
Allegion plc (b)
|
36,775
|
|||||
563
|
AO Smith Corporation (b)
|
26,191
|
|||||
1,419
|
Arconic, Inc.
|
36,667
|
|||||
230
|
Carlisle Companies, Inc.
|
33,341
|
|||||
551
|
CH Robinson Worldwide, Inc. (b)
|
46,554
|
|||||
813
|
Copart, Inc. (a)
|
61,292
|
|||||
147
|
CoStar Group, Inc. (a)
|
90,386
|
|||||
1,064
|
CSX Corporation
|
71,310
|
|||||
632
|
Cummins, Inc.
|
94,339
|
|||||
562
|
Dover Corporation (b)
|
52,682
|
|||||
1,595
|
Equifax, Inc.
|
233,476
|
|||||
437
|
Expeditors International of Washington, Inc.
|
31,071
|
|||||
2,291
|
Fastenal Company (b)
|
70,150
|
|||||
102,328
|
General Electric Company
|
844,205
|
|||||
683
|
HD Supply Holdings, Inc. (a)
|
26,576
|
|||||
289
|
HEICO Corporation
|
31,894
|
|||||
343
|
Hexcel Corporation (b)
|
28,863
|
|||||
540
|
IAA, Inc. (a)
|
26,379
|
|||||
353
|
JB Hunt Transport Services, Inc. (b)
|
38,138
|
|||||
3,646
|
Johnson Controls International plc (b)
|
155,647
|
|||||
408
|
Kansas City Southern
|
51,326
|
|||||
540
|
KAR Auction Services, Inc. (b)
|
14,342
|
|||||
142
|
Lennox International, Inc. (b)
|
36,037
|
|||||
2,422
|
Middleby Corporation (a)
|
265,596
|
|||||
23,159
|
Nielsen Holdings plc
|
480,781
|
|||||
206
|
Nordson Corporation (b)
|
28,008
|
|||||
436
|
Owens Corning
|
25,009
|
|||||
1,387
|
PACCAR, Inc. (b)
|
90,932
|
|||||
695
|
Pentair plc
|
24,964
|
|||||
866
|
Republic Services, Inc.
|
77,291
|
|||||
638
|
Rollins, Inc. (b)
|
20,933
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.8% (Continued)
|
|||||||
Industrials — 4.3% (Continued)
|
|||||||
594
|
Sensata Technologies Holding plc (a)
|
$
|
27,075
|
||||
224
|
Snap-on, Inc. (b)
|
33,304
|
|||||
1,518
|
Southwest Airlines Company
|
79,421
|
|||||
418
|
Spirit AeroSystems Holdings, Inc. — Class A
|
33,691
|
|||||
421
|
Toro Company
|
30,316
|
|||||
386
|
TransUnion
|
32,289
|
|||||
115
|
United Parcel Service, Inc. — Class B
|
13,646
|
|||||
220
|
Verisk Analytics, Inc.
|
35,539
|
|||||
2,736
|
W.W. Grainger, Inc.
|
748,706
|
|||||
646
|
Wabtec Corporation (b)
|
44,710
|
|||||
1,711
|
Waste Management, Inc.
|
204,208
|
|||||
731
|
Xylem, Inc.
|
56,002
|
|||||
4,519,982
|
|||||||
Information Technology — 6.7%
|
|||||||
16,583
|
Advanced Micro Devices, Inc. (a) (b)
|
521,535
|
|||||
346
|
Akamai Technologies, Inc. (a)
|
30,839
|
|||||
83
|
Alliance Data Systems Corporation
|
10,205
|
|||||
560
|
Amdocs, Ltd.
|
36,254
|
|||||
5,038
|
Apple, Inc.
|
1,051,633
|
|||||
220
|
Arista Networks, Inc. (a) (b)
|
49,856
|
|||||
464
|
Atlassian Corporation plc — Class A (a)
|
62,413
|
|||||
557
|
Booz Allen Hamilton Holding Corporation
|
42,059
|
|||||
1,572
|
Broadcom, Inc. (b)
|
444,310
|
|||||
470
|
Broadridge Financial Solutions, Inc. (b)
|
60,837
|
|||||
1,127
|
Cadence Design Systems, Inc. (a)
|
77,177
|
|||||
494
|
CDK Global, Inc. (b)
|
21,321
|
|||||
507
|
CDW Corporation
|
58,558
|
|||||
494
|
Check Point Software Technologies, Ltd. (a) (b)
|
53,204
|
|||||
3,420
|
Ciena Corporation (a)
|
139,982
|
|||||
507
|
Citrix Systems, Inc.
|
47,141
|
|||||
2,314
|
Cognizant Technology Solutions Corporation — Class A (b)
|
142,056
|
|||||
714
|
Dell Technologies, Inc. — Class C (a)
|
36,792
|
|||||
1,089
|
DXC Technology Company
|
36,177
|
|||||
204
|
Euronet Worldwide, Inc. (a)
|
31,241
|
|||||
191
|
F5 Networks, Inc. (a)
|
24,587
|
|||||
400
|
Fidelity National Information Services, Inc.
|
54,488
|
|||||
829
|
Fiserv, Inc. (a)
|
88,653
|
|||||
347
|
FleetCor Technologies, Inc. (a)
|
103,545
|
|||||
547
|
FLIR Systems, Inc. (b)
|
26,951
|
|||||
596
|
Fortinet, Inc. (a)
|
47,191
|
|||||
713
|
GoDaddy, Inc. (a)
|
45,161
|
|||||
309
|
Guidewire Software, Inc. (a) (b)
|
29,720
|
|||||
255
|
Intel Corporation
|
12,090
|
|||||
3,594
|
International Business Machines Corporation (b)
|
487,095
|
|||||
313
|
Jack Henry & Associates, Inc. (b)
|
45,372
|
|||||
1,389
|
Juniper Networks, Inc.
|
32,169
|
|||||
482
|
Keysight Technologies, Inc. (a)
|
46,687
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.8% (Continued)
|
|||||||
Information Technology — 6.7% (Continued)
|
|||||||
2,244
|
Marvell Technology Group, Ltd. (b)
|
$
|
53,789
|
||||
1,338
|
NXP Semiconductors NV
|
136,663
|
|||||
3,868
|
Oracle Corporation (b)
|
201,368
|
|||||
380
|
Palo Alto Networks, Inc. (a) (b)
|
77,376
|
|||||
222
|
Proofpoint, Inc. (a)
|
25,221
|
|||||
484
|
Qorvo, Inc. (a)
|
34,572
|
|||||
8,700
|
QUALCOMM, Inc.
|
676,599
|
|||||
1,104
|
Sabre Corporation
|
26,099
|
|||||
1,002
|
Seagate Technology plc (b)
|
50,310
|
|||||
701
|
Skyworks Solutions, Inc. (b)
|
52,764
|
|||||
606
|
Splunk, Inc. (a)
|
67,763
|
|||||
46,719
|
Symantec Corporation
|
1,086,216
|
|||||
696
|
Teradyne, Inc.
|
36,867
|
|||||
575
|
Trade Desk, Inc. — Class A (a) (b)
|
141,318
|
|||||
150
|
Tyler Technologies, Inc. (a)
|
38,481
|
|||||
174
|
Universal Display Corporation (b)
|
35,752
|
|||||
427
|
VeriSign, Inc. (a)
|
87,044
|
|||||
318
|
VMware, Inc. — Class A
|
44,978
|
|||||
1,164
|
Western Digital Corporation (b)
|
66,662
|
|||||
1,745
|
Western Union Company (b)
|
38,599
|
|||||
914
|
Xilinx, Inc. (b)
|
95,111
|
|||||
367
|
Zendesk, Inc. (a)
|
29,433
|
|||||
7,100,284
|
|||||||
Materials — 2.8%
|
|||||||
430
|
Albemarle Corporation (b)
|
26,544
|
|||||
256
|
AptarGroup, Inc.
|
31,288
|
|||||
342
|
Avery Dennison Corporation
|
39,525
|
|||||
1,350
|
Ball Corporation
|
108,554
|
|||||
535
|
Berry Global Group, Inc. (a)
|
20,940
|
|||||
542
|
Crown Holdings, Inc. (a)
|
35,685
|
|||||
2,218
|
DuPont de Nemours, Inc.
|
150,669
|
|||||
533
|
FMC Corporation
|
46,014
|
|||||
434
|
International Flavors & Fragrances, Inc. (b)
|
47,632
|
|||||
994
|
Linde plc
|
187,776
|
|||||
254
|
Martin Marietta Materials, Inc. (b)
|
64,458
|
|||||
43,985
|
Newmont Goldcorp Corporation
|
1,754,562
|
|||||
961
|
PPG Industries, Inc.
|
106,469
|
|||||
527
|
RPM International, Inc.
|
35,662
|
|||||
627
|
Sealed Air Corporation
|
24,967
|
|||||
334
|
Sherwin-Williams Company
|
175,934
|
|||||
537
|
Vulcan Materials Company
|
75,851
|
|||||
2,932,530
|
|||||||
Real Estate — 8.4%
|
|||||||
454
|
Alexandria Real Estate Equities, Inc.
|
68,027
|
|||||
3,024
|
American Tower Corporation
|
696,095
|
|||||
567
|
AvalonBay Communities, Inc.
|
120,522
|
|||||
629
|
Boston Properties, Inc.
|
80,776
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.8% (Continued)
|
|||||||
Real Estate — 8.4% (Continued)
|
|||||||
390
|
Camden Property Trust
|
$
|
42,218
|
||||
3,956
|
Crown Castle International Corporation
|
574,293
|
|||||
2,932
|
Digital Realty Trust, Inc. (b)
|
362,483
|
|||||
1,462
|
Duke Realty Corporation
|
48,641
|
|||||
342
|
Equinix, Inc.
|
190,248
|
|||||
1,488
|
Equity Residential (b)
|
126,123
|
|||||
480
|
Essex Property Trust, Inc.
|
154,205
|
|||||
10,192
|
Extra Space Storage, Inc.
|
1,242,608
|
|||||
303
|
Federal Realty Investment Trust
|
39,151
|
|||||
20,350
|
HCP, Inc.
|
706,349
|
|||||
2,988
|
Host Hotels & Resorts, Inc. (b)
|
47,928
|
|||||
1,396
|
Invitation Homes, Inc.
|
40,149
|
|||||
1,159
|
Iron Mountain, Inc.
|
36,914
|
|||||
186
|
Jones Lang LaSalle, Inc.
|
24,933
|
|||||
6,699
|
Kimco Realty Corporation (b)
|
123,128
|
|||||
600
|
Liberty Property Trust
|
31,272
|
|||||
571
|
Macerich Company (b)
|
16,291
|
|||||
462
|
Mid-America Apartment Communities, Inc.
|
58,526
|
|||||
659
|
National Retail Properties, Inc. (b)
|
37,003
|
|||||
2,555
|
Prologis, Inc.
|
213,649
|
|||||
5,462
|
Public Storage (b)
|
1,446,009
|
|||||
1,288
|
Realty Income Corporation (b)
|
95,067
|
|||||
674
|
Regency Centers Corporation
|
43,480
|
|||||
1,187
|
SBA Communications Corporation
|
311,504
|
|||||
1,219
|
Simon Property Group, Inc. (b)
|
181,558
|
|||||
343
|
SL Green Realty Corporation
|
27,515
|
|||||
1,136
|
UDR, Inc.
|
54,732
|
|||||
12,929
|
Ventas, Inc.
|
948,858
|
|||||
3,946
|
VEREIT, Inc.
|
38,474
|
|||||
705
|
Vornado Realty Trust (b)
|
42,631
|
|||||
687
|
W.P. Carey, Inc. (b)
|
61,693
|
|||||
4,840
|
Welltower, Inc.
|
433,470
|
|||||
3,028
|
Weyerhaeuser Company
|
79,667
|
|||||
8,846,190
|
|||||||
Utilities — 9.0%
|
|||||||
3,285
|
American Water Works Company, Inc. (b)
|
418,246
|
|||||
10,691
|
Aqua America, Inc. (b)
|
473,505
|
|||||
1,621
|
Atmos Energy Corporation
|
178,683
|
|||||
2,038
|
CenterPoint Energy, Inc.
|
56,432
|
|||||
3,483
|
CMS Energy Corporation
|
219,603
|
|||||
17,759
|
Consolidated Edison, Inc.
|
1,578,776
|
|||||
6,305
|
Dominion Energy, Inc.
|
489,457
|
|||||
20,809
|
Edison International
|
1,503,867
|
|||||
14,244
|
Eversource Energy
|
1,141,373
|
|||||
12,336
|
Exelon Corporation
|
582,999
|
|||||
4,305
|
NextEra Energy, Inc.
|
943,139
|
|||||
1,515
|
NiSource, Inc. (b)
|
44,768
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 99.8% (Continued)
|
|||||||
Utilities — 9.0% (Continued)
|
|||||||
43,071
|
PG&E Corporation (a)
|
$
|
450,092
|
||||
456
|
Pinnacle West Capital Corporation
|
43,461
|
|||||
2,940
|
PPL Corporation
|
86,877
|
|||||
3,262
|
Public Service Enterprise Group, Inc. (b)
|
197,253
|
|||||
6,891
|
Sempra Energy
|
975,972
|
|||||
705
|
UGI Corporation
|
34,312
|
|||||
1,592
|
Vistra Energy Corporation (b)
|
39,720
|
|||||
9,458,535
|
|||||||
TOTAL COMMON STOCKS (Cost $96,769,462)
|
105,437,573
|
||||||
SHORT-TERM INVESTMENTS — 0.1%
|
|||||||
Money Market Funds — 0.1%
|
|||||||
102,373
|
Invesco Government & Agency Portfolio — Institutional Class, 2.02% (c)
|
102,373
|
|||||
TOTAL SHORT-TERM INVESTMENTS (Cost $102,373)
|
102,373
|
||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING — 25.6%
|
|||||||
Private Funds — 25.6%
|
|||||||
27,093,618
|
Mount Vernon Liquid Assets Portfolio, LLC, 2.30% (c)
|
27,093,618
|
|||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING
|
|||||||
(Cost $27,093,618)
|
27,093,618
|
||||||
Total Investments (Cost $123,965,453) — 125.5%
|
132,633,564
|
||||||
Liabilities in Excess of Other Assets — (25.5)%
|
(26,934,947
|
)
|
|||||
TOTAL NET ASSETS — 100.0%
|
$
|
105,698,617
|
(a)
|
Non-income producing security.
|
(b)
|
All or a portion of this security is on loan as of August 31, 2019. The total value of securities on loan is $26,389,483.
|
(c)
|
Rate shown is the annualized seven-day yield as of August 31, 2019.
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 97.7%
|
|||||||
BRAZIL — 8.1%
|
|||||||
Consumer Discretionary — 2.0%
|
|||||||
9,000
|
B2W Cia Digital (a)
|
$
|
102,694
|
||||
9,000
|
Cyrela Brazil Realty SA Empreendimentos e Participacoes
|
54,690
|
|||||
30,200
|
Kroton Educacional SA
|
74,327
|
|||||
6,930
|
Lojas Renner SA
|
84,893
|
|||||
10,400
|
Magazine Luiza SA
|
91,486
|
|||||
15,000
|
YDUQS Part
|
117,068
|
|||||
525,158
|
|||||||
Consumer Staples — 0.8%
|
|||||||
16,000
|
Ambev SA
|
72,910
|
|||||
3,100
|
BRF SA (a)
|
28,643
|
|||||
4,600
|
M Dias Branco SA
|
39,875
|
|||||
2,200
|
Natura Cosmeticos SA
|
35,405
|
|||||
1,700
|
Raia Drogasil SA
|
38,067
|
|||||
214,900
|
|||||||
Energy — 0.4%
|
|||||||
14,300
|
Petroleo Brasileiro SA
|
96,828
|
|||||
3,100
|
Ultrapar Participacoes SA
|
12,386
|
|||||
109,214
|
|||||||
Financials — 1.2%
|
|||||||
5,100
|
B3 SA — Brasil Bolsa Balcao
|
55,552
|
|||||
4,560
|
Banco Bradesco SA
|
32,874
|
|||||
8,000
|
Banco do Brasil SA
|
89,463
|
|||||
8,500
|
BB Seguridade Participacoes SA
|
67,491
|
|||||
2,300
|
IRB Brasil Resseguros SA
|
58,972
|
|||||
304,352
|
|||||||
Health Care — 0.9%
|
|||||||
4,800
|
Hypera SA
|
37,276
|
|||||
17,100
|
Odontoprev SA
|
69,812
|
|||||
18,300
|
Qualicorp Consultoria e Corretora de Seguros SA
|
126,438
|
|||||
233,526
|
|||||||
Industrials — 0.9%
|
|||||||
12,900
|
CCR SA
|
50,730
|
|||||
21,484
|
Embraer SA
|
94,105
|
|||||
7,700
|
Localiza Rent a Car SA
|
88,233
|
|||||
233,068
|
|||||||
Information Technology — 0.4%
|
|||||||
25,900
|
Cielo SA
|
48,012
|
|||||
7,900
|
Linx SA
|
60,700
|
|||||
108,712
|
|||||||
Materials — 0.8%
|
|||||||
27,388
|
Suzano SA
|
193,669
|
|||||
Utilities — 0.7%
|
|||||||
2,600
|
Cia de Saneamento Basico do Estado de Sao Paulo
|
32,347
|
|||||
5,300
|
Cia de Saneamento de Minas Gerais-COPASA
|
89,911
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 97.7% (Continued)
|
|||||||
BRAZIL — 8.1% (Continued)
|
|||||||
Utilities — 0.7% (Continued)
|
|||||||
10,200
|
Transmissora Alianca de Energia Eletrica SA
|
$
|
68,647
|
||||
190,905
|
|||||||
2,113,504
|
|||||||
CHILE — 0.3%
|
|||||||
Financials — 0.3%
|
|||||||
487,087
|
Banco de Chile
|
69,591
|
|||||
69,591
|
|||||||
CHINA — 11.1%
|
|||||||
Communication Services — 1.0%
|
|||||||
1,609
|
Autohome, Inc. — ADR (a)
|
140,240
|
|||||
132,000
|
China Telecom Corporation, Ltd. — H-Shares
|
59,132
|
|||||
234
|
NetEase, Inc. — ADR
|
59,670
|
|||||
259,042
|
|||||||
Consumer Discretionary — 4.4%
|
|||||||
31,000
|
ANTA Sports Products, Ltd.
|
257,168
|
|||||
2,023
|
Ctrip.com International, Ltd. — ADR (a)
|
65,505
|
|||||
376,000
|
GOME Retail Holdings, Ltd. (a)
|
34,071
|
|||||
1,940,000
|
HengTen Networks Group, Ltd. (a)
|
30,949
|
|||||
106,500
|
Li Ning Company, Ltd.
|
314,661
|
|||||
20,400
|
Shenzhou International Group Holdings, Ltd.
|
277,282
|
|||||
4,658
|
TAL Education Group — ADR (a)
|
165,965
|
|||||
1,145,601
|
|||||||
Consumer Staples — 1.6%
|
|||||||
135,000
|
Dali Foods Group Company, Ltd.
|
89,939
|
|||||
7,000
|
Hengan International Group Company, Ltd.
|
46,099
|
|||||
110,000
|
Tingyi Cayman Islands Holding Corporation
|
151,620
|
|||||
102,000
|
Uni-President China Holdings, Ltd.
|
113,386
|
|||||
401,044
|
|||||||
Financials — 0.7%
|
|||||||
2,169
|
Fanhua, Inc. — ADR
|
59,105
|
|||||
42,000
|
PICC Property & Casualty Company, Ltd. — H-Shares
|
48,189
|
|||||
125,000
|
Postal Savings Bank of China Company, Ltd. — H-Shares (b)
|
75,300
|
|||||
182,594
|
|||||||
Health Care — 1.2%
|
|||||||
1,071
|
BeiGene, Ltd. — ADR (a)
|
153,957
|
|||||
38,000
|
CSPC Pharmaceutical Group, Ltd.
|
76,045
|
|||||
76,000
|
Shandong Weigao Group Medical Polymer Company, Ltd. — H-Shares
|
78,470
|
|||||
308,472
|
|||||||
Industrials — 0.6%
|
|||||||
128,000
|
China Communications Services Corporation, Ltd. — H-Shares
|
71,716
|
|||||
23,000
|
Sinotruk Hong Kong, Ltd. (b)
|
35,519
|
|||||
2,693
|
ZTO Express Cayman, Inc. — ADR
|
55,233
|
|||||
162,468
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 97.7% (Continued)
|
|||||||
CHINA — 11.1% (Continued)
|
|||||||
Information Technology — 0.6%
|
|||||||
52,000
|
Lenovo Group, Ltd.
|
$
|
34,245
|
||||
151,500
|
Meitu, Inc. (a)
|
38,284
|
|||||
4,000
|
Silergy Corporation
|
88,889
|
|||||
161,418
|
|||||||
Materials — 0.3%
|
|||||||
63,000
|
Zhaojin Mining Industry Company, Ltd. — H-Shares
|
82,495
|
|||||
Utilities — 0.7%
|
|||||||
16,600
|
ENN Energy Holdings, Ltd.
|
189,615
|
|||||
2,892,749
|
|||||||
GREECE — 1.7%
|
|||||||
Energy — 0.3%
|
|||||||
3,982
|
Motor Oil Hellas Corinth Refineries SA
|
97,526
|
|||||
Financials — 1.4%
|
|||||||
80,051
|
Alpha Bank AE (a)
|
143,606
|
|||||
123,619
|
Eurobank Ergasias SA (a)
|
109,589
|
|||||
18,474
|
National Bank of Greece SA (a)
|
53,669
|
|||||
15,461
|
Piraeus Bank SA (a)
|
52,441
|
|||||
359,305
|
|||||||
456,831
|
|||||||
HONG KONG — 5.1%
|
|||||||
Communication Services — 1.6%
|
|||||||
750,000
|
Alibaba Pictures Group, Ltd. (a)
|
123,479
|
|||||
29,000
|
China Mobile, Ltd.
|
240,390
|
|||||
48,000
|
China Unicom Hong Kong, Ltd.
|
47,845
|
|||||
411,714
|
|||||||
Consumer Discretionary — 0.3%
|
|||||||
194,000
|
China First Capital Group, Ltd. (a)
|
74,279
|
|||||
Consumer Staples — 0.6%
|
|||||||
18,000
|
China Mengniu Dairy Company, Ltd.
|
71,445
|
|||||
16,000
|
China Resources Beer Holdings Company, Ltd.
|
90,870
|
|||||
162,315
|
|||||||
Financials — 0.4%
|
|||||||
28,500
|
BOC Hong Kong Holdings, Ltd.
|
96,208
|
|||||
Health Care — 0.3%
|
|||||||
61,000
|
Sino Biopharmaceutical, Ltd.
|
90,776
|
|||||
Utilities — 1.9%
|
|||||||
26,400
|
China Gas Holdings, Ltd.
|
109,167
|
|||||
46,000
|
China Resources Gas Group, Ltd.
|
227,495
|
|||||
46,000
|
China Water Affairs Group, Ltd.
|
37,104
|
|||||
64,000
|
Guangdong Investment, Ltd.
|
134,937
|
|||||
508,703
|
|||||||
1,343,995
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 97.7% (Continued)
|
|||||||
HUNGARY — 0.2%
|
|||||||
Energy — 0.2%
|
|||||||
4,443
|
MOL Hungarian Oil & Gas plc
|
$
|
43,571
|
||||
43,571
|
|||||||
INDIA — 21.6%
|
|||||||
Communication Services — 1.7%
|
|||||||
14,894
|
Bharti Airtel, Ltd.
|
72,335
|
|||||
37,382
|
Bharti Infratel, Ltd.
|
131,111
|
|||||
2,897
|
Info Edge India, Ltd.
|
82,225
|
|||||
882,005
|
Vodafone Idea, Ltd. (a)
|
66,082
|
|||||
20,630
|
Zee Entertainment Enterprises, Ltd.
|
107,791
|
|||||
459,544
|
|||||||
Consumer Discretionary — 1.6%
|
|||||||
9,307
|
Aditya Birla Fashion and Retail, Ltd. (a)
|
24,705
|
|||||
1,012
|
Bajaj Auto, Ltd.
|
39,516
|
|||||
5,412
|
Balkrishna Industries, Ltd.
|
56,422
|
|||||
132
|
Eicher Motors, Ltd.
|
30,054
|
|||||
7,176
|
Future Retail, Ltd. (a)
|
39,665
|
|||||
1,152
|
Hero MotoCorporation, Ltd.
|
41,494
|
|||||
7,896
|
Mahindra & Mahindra, Ltd.
|
58,473
|
|||||
828
|
Maruti Suzuki India, Ltd.
|
71,007
|
|||||
126
|
Page Industries, Ltd.
|
32,928
|
|||||
1,888
|
Titan Company, Ltd.
|
29,219
|
|||||
423,483
|
|||||||
Consumer Staples — 2.6%
|
|||||||
2,156
|
Avenue Supermarts, Ltd. (a)
|
47,438
|
|||||
2,681
|
Dabur India, Ltd.
|
16,850
|
|||||
14,384
|
Hindustan Unilever, Ltd.
|
379,081
|
|||||
94
|
Nestle India, Ltd.
|
16,949
|
|||||
3,744
|
United Breweries, Ltd.
|
71,939
|
|||||
15,900
|
United Spirits, Ltd. (a)
|
139,890
|
|||||
672,147
|
|||||||
Energy — 1.7%
|
|||||||
41,042
|
Hindustan Petroleum Corporation, Ltd.
|
149,524
|
|||||
16,416
|
Reliance Industries, Ltd.
|
287,032
|
|||||
436,556
|
|||||||
Financials — 4.4%
|
|||||||
14,088
|
Axis Bank, Ltd.
|
130,981
|
|||||
1,829
|
Bajaj Finance, Ltd.
|
85,358
|
|||||
714
|
Bajaj Finserv, Ltd.
|
71,188
|
|||||
49,416
|
Bank of Baroda (a)
|
64,082
|
|||||
20,100
|
Cholamandalam Investment and Finance Company, Ltd.
|
75,634
|
|||||
18,938
|
City Union Bank, Ltd.
|
53,851
|
|||||
59,208
|
Federal Bank, Ltd.
|
68,737
|
|||||
17,765
|
GRUH Finance, Ltd.
|
64,211
|
|||||
2,651
|
Housing Development Finance Corporation, Ltd.
|
80,429
|
|||||
6,441
|
Indiabulls Housing Finance, Ltd.
|
41,073
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 97.7% (Continued)
|
|||||||
INDIA — 21.6% (Continued)
|
|||||||
Financials — 4.4% (Continued)
|
|||||||
12,972
|
Max Financial Services, Ltd. (a)
|
$
|
76,534
|
||||
5,825
|
Muthoot Finance, Ltd.
|
49,540
|
|||||
78,607
|
Punjab National Bank (a)
|
71,443
|
|||||
26,366
|
REC, Ltd.
|
53,262
|
|||||
23,169
|
State Bank of India (a)
|
88,854
|
|||||
79,755
|
Yes Bank, Ltd.
|
66,958
|
|||||
1,142,135
|
|||||||
Health Care — 3.3%
|
|||||||
5,505
|
Apollo Hospitals Enterprise, Ltd.
|
116,267
|
|||||
28,968
|
Biocon, Ltd.
|
95,576
|
|||||
10,711
|
Cipla, Ltd.
|
70,867
|
|||||
3,500
|
Divi’s Laboratories, Ltd.
|
79,668
|
|||||
1,887
|
Dr. Reddy’s Laboratories, Ltd.
|
67,584
|
|||||
8,687
|
Glenmark Pharmaceuticals, Ltd.
|
46,752
|
|||||
6,012
|
Jubilant Life Sciences, Ltd.
|
36,977
|
|||||
9,804
|
Lupin, Ltd.
|
101,737
|
|||||
41,138
|
Sun Pharmaceutical Industries, Ltd.
|
259,476
|
|||||
874,904
|
|||||||
Industrials — 0.7%
|
|||||||
68,556
|
Ashok Leyland, Ltd.
|
61,876
|
|||||
5,256
|
InterGlobe Aviation, Ltd.
|
124,427
|
|||||
186,303
|
|||||||
Information Technology — 4.4%
|
|||||||
7,200
|
HCL Technologies, Ltd.
|
110,948
|
|||||
35,489
|
Infosys, Ltd.
|
404,999
|
|||||
1,300
|
Larsen & Toubro Infotech, Ltd.
|
29,610
|
|||||
4,386
|
Mindtree, Ltd.
|
42,295
|
|||||
5,624
|
Mphasis, Ltd.
|
76,853
|
|||||
7,512
|
Tata Consultancy Services, Ltd.
|
237,708
|
|||||
7,528
|
Tech Mahindra, Ltd.
|
73,127
|
|||||
3,823
|
Wipro, Ltd.
|
13,620
|
|||||
2,506
|
WNS Holdings, Ltd. — ADR (a)
|
152,315
|
|||||
1,141,475
|
|||||||
Materials — 0.7%
|
|||||||
4,860
|
Asian Paints, Ltd.
|
109,998
|
|||||
15,506
|
Castrol India, Ltd.
|
26,677
|
|||||
84
|
Shree Cement, Ltd.
|
21,849
|
|||||
3,751
|
UPL, Ltd.
|
29,585
|
|||||
188,109
|
|||||||
Utilities — 0.5%
|
|||||||
17,928
|
Indraprastha Gas, Ltd.
|
84,270
|
|||||
17,520
|
Power Grid Corporation of India, Ltd.
|
49,193
|
|||||
133,463
|
|||||||
5,658,119
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 97.7% (Continued)
|
|||||||
INDONESIA — 2.0%
|
|||||||
Communication Services — 0.8%
|
|||||||
664,800
|
Telekomunikasi Indonesia Persero Tbk PT
|
$
|
208,556
|
||||
Consumer Discretionary — 0.1%
|
|||||||
102,000
|
Matahari Department Store Tbk PT
|
21,716
|
|||||
Consumer Staples — 0.2%
|
|||||||
133,300
|
Charoen Pokphand Indonesia Tbk PT
|
47,221
|
|||||
Financials — 0.6%
|
|||||||
75,400
|
Bank Central Asia Tbk PT
|
162,122
|
|||||
Utilities — 0.3%
|
|||||||
539,400
|
Perusahaan Gas Negara Tbk PT
|
73,010
|
|||||
512,625
|
|||||||
MALAYSIA — 3.4%
|
|||||||
Communication Services — 0.1%
|
|||||||
43,800
|
Telekom Malaysia Bhd
|
39,056
|
|||||
Consumer Discretionary — 0.2%
|
|||||||
56,700
|
Genting Malaysia Bhd
|
42,335
|
|||||
Consumer Staples — 0.5%
|
|||||||
2,200
|
Nestle Malaysia Bhd
|
77,161
|
|||||
54,600
|
Sime Darby Plantation Bhd
|
64,655
|
|||||
141,816
|
|||||||
Energy — 0.5%
|
|||||||
145,900
|
Dialog Group Bhd
|
120,730
|
|||||
Financials — 0.7%
|
|||||||
36,000
|
CIMB Group Holdings Bhd
|
43,315
|
|||||
30,000
|
Malayan Banking Bhd
|
61,990
|
|||||
16,200
|
Public Bank Bhd
|
78,275
|
|||||
183,580
|
|||||||
Health Care — 0.5%
|
|||||||
40,400
|
Hartalega Holdings Bhd
|
49,281
|
|||||
72,200
|
Top Glove Corporation Bhd
|
81,548
|
|||||
130,829
|
|||||||
Industrials — 0.9%
|
|||||||
106,600
|
Gamuda Bhd
|
91,252
|
|||||
39,200
|
Malaysia Airports Holdings Bhd
|
76,713
|
|||||
103,800
|
Sime Darby Bhd
|
56,522
|
|||||
224,487
|
|||||||
882,833
|
|||||||
MEXICO — 3.4%
|
|||||||
Communication Services — 0.7%
|
|||||||
106,080
|
America Movil SAB de CV — Series L
|
77,496
|
|||||
30,976
|
Grupo Televisa SAB
|
54,860
|
|||||
15,408
|
Megacable Holdings SAB de CV
|
62,961
|
|||||
195,317
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 97.7% (Continued)
|
|||||||
MEXICO — 3.4% (Continued)
|
|||||||
Consumer Discretionary — 0.2%
|
|||||||
8,100
|
El Puerto de Liverpool SAB de CV
|
$
|
41,963
|
||||
Consumer Staples — 0.5%
|
|||||||
15,304
|
Fomento Economico Mexicano SAB de CV
|
139,799
|
|||||
Financials — 1.7%
|
|||||||
24,800
|
Banco del Bajio SA
|
41,216
|
|||||
3,968
|
Grupo Elektra SAB de CV
|
273,079
|
|||||
21,928
|
Grupo Financiero Banorte SAB de CV — O Shares
|
118,168
|
|||||
432,463
|
|||||||
Industrials — 0.2%
|
|||||||
61,096
|
Alfa SAB de CV — Series A
|
52,275
|
|||||
Utilities — 0.1%
|
|||||||
8,400
|
Infraestructura Energetica Nova SAB de CV
|
35,363
|
|||||
897,180
|
|||||||
PERU — 0.1%
|
|||||||
Materials — 0.1%
|
|||||||
2,194
|
Cia de Minas Buenaventura SAA — ADR
|
33,437
|
|||||
33,437
|
|||||||
PHILIPPINES — 2.6%
|
|||||||
Communication Services — 0.5%
|
|||||||
5,704
|
PLDT, Inc.
|
129,184
|
|||||
Consumer Discretionary — 0.5%
|
|||||||
27,850
|
Jollibee Foods Corporation
|
127,219
|
|||||
Consumer Staples — 0.3%
|
|||||||
25,960
|
Universal Robina Corporation
|
86,272
|
|||||
Financials — 0.4%
|
|||||||
38,460
|
Bank of the Philippine Islands
|
64,977
|
|||||
10,610
|
BDO Unibank, Inc.
|
30,368
|
|||||
95,345
|
|||||||
Industrials — 0.5%
|
|||||||
2,260
|
Ayala Corporation
|
40,158
|
|||||
4,200
|
SM Investments Corporation
|
82,777
|
|||||
122,935
|
|||||||
Real Estate — 0.3%
|
|||||||
54,500
|
Ayala Land, Inc.
|
49,519
|
|||||
66,000
|
SM Prime Holdings, Inc.
|
44,754
|
|||||
94,273
|
|||||||
Utilities — 0.1%
|
|||||||
5,160
|
Manila Electric Company
|
36,179
|
|||||
691,407
|
|||||||
POLAND — 0.5%
|
|||||||
Energy — 0.3%
|
|||||||
2,760
|
Polski Koncern Naftowy ORLEN SA
|
62,983
|
|||||
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 97.7% (Continued)
|
|||||||
POLAND — 0.5% (Continued)
|
|||||||
Financials — 0.2%
|
|||||||
6,123
|
Powszechna Kasa Oszczednosci Bank Polski SA
|
$
|
60,352
|
||||
123,335
|
|||||||
REPUBLIC OF KOREA — 10.3%
|
|||||||
Communication Services — 1.5%
|
|||||||
11,792
|
LG Uplus Corporation
|
128,507
|
|||||
801
|
NAVER Corporation
|
96,881
|
|||||
204
|
NCSoft Corporation
|
90,442
|
|||||
408
|
SK Telecom Company, Ltd.
|
80,674
|
|||||
396,504
|
|||||||
Consumer Discretionary — 2.6%
|
|||||||
2,400
|
Fila Korea, Ltd.
|
113,337
|
|||||
7,683
|
Hanon Systems
|
73,579
|
|||||
2,118
|
HLB, Inc. (a)
|
73,878
|
|||||
516
|
Hyundai Mobis Company, Ltd.
|
105,863
|
|||||
936
|
Hyundai Motor Company
|
99,300
|
|||||
2,244
|
Kia Motors Corporation
|
80,960
|
|||||
1,688
|
Woongjin Coway Company, Ltd.
|
117,342
|
|||||
664,259
|
|||||||
Consumer Staples — 0.9%
|
|||||||
528
|
BGF retail Company, Ltd.
|
88,708
|
|||||
71
|
LG Household & Health Care, Ltd.
|
69,109
|
|||||
1,178
|
Orion Corporation
|
87,627
|
|||||
245,444
|
|||||||
Financials — 1.7%
|
|||||||
2,014
|
DB Insurance Company, Ltd.
|
79,645
|
|||||
2,218
|
Hana Financial Group, Inc.
|
59,513
|
|||||
2,740
|
Hyundai Marine & Fire Insurance Company, Ltd.
|
54,065
|
|||||
3,223
|
Meritz Fire & Marine Insurance Company, Ltd.
|
47,763
|
|||||
312
|
Samsung Fire & Marine Insurance Company, Ltd.
|
58,987
|
|||||
981
|
Samsung Life Insurance Company, Ltd.
|
55,236
|
|||||
1,488
|
Shinhan Financial Group Company, Ltd.
|
50,061
|
|||||
4,769
|
Woori Financial Group, Inc. (a)
|
46,853
|
|||||
452,123
|
|||||||
Health Care — 0.9%
|
|||||||
887
|
Celltrion Healthcare Company, Ltd. (a)
|
32,551
|
|||||
738
|
Celltrion, Inc. (a)
|
95,658
|
|||||
804
|
Celltrion Pharmaceutical, Inc. (a)
|
21,971
|
|||||
275
|
Medy-Tox, Inc.
|
79,917
|
|||||
759
|
SillaJen, Inc. (a)
|
6,580
|
|||||
236,677
|
|||||||
Industrials — 2.2%
|
|||||||
1,634
|
Hanjin Kal Corporation
|
39,796
|
|||||
795
|
Hyundai Elevator Company, Ltd.
|
51,654
|
|||||
693
|
Hyundai Glovis Company, Ltd.
|
91,542
|
|||||
3,408
|
Hyundai Rotem Company, Ltd. (a)
|
48,254
|
|||||
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 97.7% (Continued)
|
|||||||
REPUBLIC OF KOREA — 10.3% (Continued)
|
|||||||
Industrials — 2.2% (Continued)
|
|||||||
4,326
|
Korea Aerospace Industries, Ltd.
|
$
|
140,361
|
||||
1,227
|
S-1 Corporation
|
102,313
|
|||||
627
|
Samsung C&T Corporation
|
44,725
|
|||||
271
|
SK Holdings Company, Ltd.
|
44,747
|
|||||
563,392
|
|||||||
Information Technology — 0.5%
|
|||||||
2,043
|
SK Hynix, Inc.
|
130,550
|
|||||
2,688,949
|
|||||||
RUSSIAN FEDERATION — 1.0%
|
|||||||
Communication Services — 0.2%
|
|||||||
1,755
|
Yandex NV — A Shares (a)
|
65,111
|
|||||
Consumer Staples — 0.2%
|
|||||||
1,068
|
Magnit PJSC
|
59,163
|
|||||
Industrials — 0.3%
|
|||||||
43,900
|
Aeroflot PJSC
|
72,324
|
|||||
Materials — 0.3%
|
|||||||
61,560
|
Alrosa PJSC
|
68,629
|
|||||
265,227
|
|||||||
SOUTH AFRICA — 3.6%
|
|||||||
Materials — 3.6%
|
|||||||
24,290
|
AngloGold Ashanti, Ltd.
|
553,732
|
|||||
40,767
|
Gold Fields, Ltd.
|
243,950
|
|||||
104,076
|
Sibanye Gold, Ltd. (a)
|
143,052
|
|||||
940,734
|
|||||||
940,734
|
|||||||
TAIWAN — 12.1%
|
|||||||
Communication Services — 1.9%
|
|||||||
24,000
|
Chunghwa Telecom Company, Ltd.
|
83,286
|
|||||
79,000
|
Far EasTone Telecommunications Company, Ltd.
|
184,107
|
|||||
60,000
|
Taiwan Mobile Company, Ltd.
|
213,945
|
|||||
481,338
|
|||||||
Consumer Discretionary — 1.7%
|
|||||||
6,000
|
Eclat Textile Company, Ltd.
|
73,352
|
|||||
12,100
|
Feng TAY Enterprise Company, Ltd.
|
78,779
|
|||||
10,000
|
Giant Manufacturing Company, Ltd.
|
69,564
|
|||||
9,450
|
Makalot Industrial Company, Ltd.
|
55,659
|
|||||
7,000
|
Merida Industry Company, Ltd.
|
40,449
|
|||||
8,000
|
Nien Made Enterprise Company, Ltd.
|
70,041
|
|||||
102,000
|
Tatung Company, Ltd. (a)
|
54,718
|
|||||
442,562
|
|||||||
Consumer Staples — 1.1%
|
|||||||
16,000
|
President Chain Store Corporation
|
148,742
|
|||||
5,745
|
TCI Company, Ltd.
|
56,334
|
|||||
36,000
|
Uni-President Enterprises Corporation
|
87,794
|
|||||
292,870
|
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 97.7% (Continued)
|
|||||||
TAIWAN — 12.1% (Continued)
|
|||||||
Financials — 1.4%
|
|||||||
63,000
|
Cathay Financial Holding Company, Ltd.
|
$
|
80,530
|
||||
108,000
|
CTBC Financial Holding Company, Ltd.
|
69,971
|
|||||
17,137
|
E.Sun Financial Holding Company, Ltd.
|
13,776
|
|||||
74,740
|
First Financial Holding Company, Ltd.
|
51,159
|
|||||
48,000
|
Fubon Financial Holding Company, Ltd.
|
66,705
|
|||||
94,000
|
Mega Financial Holding Company, Ltd.
|
86,039
|
|||||
368,180
|
|||||||
Health Care — 0.2%
|
|||||||
2,000
|
St Shine Optical Company, Ltd.
|
28,972
|
|||||
7,000
|
TaiMed Biologics, Inc. (a)
|
32,537
|
|||||
61,509
|
|||||||
Information Technology — 4.7%
|
|||||||
32,000
|
Accton Technology Corporation
|
168,609
|
|||||
66,000
|
E Ink Holdings, Inc.
|
58,625
|
|||||
55,400
|
Hon Hai Precision Industry Company, Ltd.
|
130,871
|
|||||
1,000
|
Largan Precision Company, Ltd.
|
123,846
|
|||||
12,000
|
MediaTek, Inc.
|
140,401
|
|||||
18,000
|
Radiant Opto-Electronics Corporation
|
65,043
|
|||||
2,408
|
Silicon Motion Technology Corporation — ADR
|
77,706
|
|||||
43,000
|
Taiwan Semiconductor Manufacturing Company, Ltd.
|
354,568
|
|||||
89,000
|
Unimicron Technology Corporation
|
110,648
|
|||||
1,230,317
|
|||||||
Materials — 1.1%
|
|||||||
106,000
|
China Steel Corporation
|
78,125
|
|||||
31,000
|
Formosa Plastics Corporation
|
92,872
|
|||||
23,000
|
Nan Ya Plastics Corporation
|
50,379
|
|||||
52,435
|
Taiwan Cement Corporation
|
64,188
|
|||||
285,564
|
|||||||
3,162,340
|
|||||||
THAILAND — 8.8%
|
|||||||
Communication Services — 1.5%
|
|||||||
27,000
|
Advanced Info Service pcl
|
204,890
|
|||||
29,100
|
Total Access Communication pcl — NVDR
|
58,538
|
|||||
608,300
|
True Corporation pcl
|
125,351
|
|||||
388,779
|
|||||||
Consumer Discretionary — 0.4%
|
|||||||
189,400
|
Home Product Center pcl
|
111,512
|
|||||
Consumer Staples — 2.4%
|
|||||||
60,800
|
Berli Jucker pcl
|
107,888
|
|||||
9,400
|
Carabao Group pcl
|
23,598
|
|||||
63,000
|
Charoen Pokphand Foods pcl
|
60,790
|
|||||
131,000
|
CP ALL pcl
|
359,932
|
|||||
148,800
|
Thai Union Group pcl
|
84,688
|
|||||
636,896
|
|||||||
Shares
|
Security Description
|
Value
|
|||||
COMMON STOCKS — 97.7% (Continued)
|
|||||||
THAILAND — 8.8% (Continued)
|
|||||||
Energy — 0.4%
|
|||||||
5,300
|
PTT Exploration & Production pcl — NVDR
|
$
|
21,583
|
||||
60,000
|
PTT pcl
|
86,843
|
|||||
108,426
|
|||||||
Financials — 1.4%
|
|||||||
13,800
|
Bangkok Bank pcl
|
77,413
|
|||||
13,200
|
Kasikornbank pcl
|
69,082
|
|||||
29,200
|
Krungthai Card pcl
|
43,696
|
|||||
9,600
|
Siam Commercial Bank pcl
|
38,780
|
|||||
21,600
|
Tisco Financial Group pcl
|
72,065
|
|||||
986,400
|
TMB Bank pcl
|
50,332
|
|||||
351,368
|
|||||||
Health Care — 0.8%
|
|||||||
151,600
|
Bangkok Dusit Medical Services pcl
|
117,025
|
|||||
18,000
|
Bumrungrad Hospital pcl
|
81,544
|
|||||
198,569
|
|||||||
Industrials — 0.8%
|
|||||||
40,000
|
Airports of Thailand pcl
|
94,202
|
|||||
331,400
|
Bangkok Expressway & Metro pcl
|
121,405
|
|||||
215,607
|
|||||||
Materials — 0.3%
|
|||||||
61,100
|
Indorama Ventures pcl — NVDR
|
70,448
|
|||||
Real Estate — 0.3%
|
|||||||
34,300
|
Central Pattana pcl
|
75,450
|
|||||
Utilities — 0.5%
|
|||||||
90,900
|
Energy Absolute pcl — NVDR
|
140,487
|
|||||
2,297,542
|
|||||||
TURKEY — 1.6%
|
|||||||
Consumer Staples — 0.2%
|
|||||||
7,376
|
BIM Birlesik Magazalar AS
|
59,527
|
|||||
Energy — 0.3%
|
|||||||
3,866
|
Tupras Turkiye Petrol Rafinerileri AS
|
83,607
|
|||||
Industrials — 0.9%
|
|||||||
18,098
|
KOC Holding AS
|
54,329
|
|||||
11,867
|
TAV Havalimanlari Holding AS
|
48,069
|
|||||
12,833
|
Tekfen Holding AS
|
45,638
|
|||||
45,638
|
Turk Hava Yollari AO (a)
|
88,515
|
|||||
236,551
|
|||||||
Materials — 0.2%
|
|||||||
39,380
|
Eregli Demir ve Celik Fabrikalari TAS
|
43,326
|
|||||
423,011
|
|||||||
UNITED STATES — 0.2%
|
|||||||
Information Technology — 0.2%
|
|||||||
199
|
Apple, Inc.
|
41,539
|
|||||
41,539
|
|||||||
TOTAL COMMON STOCKS (Cost $26,610,066)
|
25,538,519
|
Shares
|
Security Description
|
Value
|
|||||
PREFERRED STOCKS — 1.8%
|
|||||||
BRAZIL — 1.7%
|
|||||||
Communication Services — 0.1%
|
|||||||
1,800
|
Telefonica Brasil SA
|
$
|
23,370
|
||||
Energy — 0.6%
|
|||||||
27,000
|
Petroleo Brasileiro SA
|
166,031
|
|||||
Financials — 0.5%
|
|||||||
3,720
|
Banco Bradesco SA
|
29,798
|
|||||
12,300
|
Banco do Estado do Rio Grande do Sul SA — Class B
|
66,111
|
|||||
4,500
|
Itau Unibanco Holding SA
|
37,026
|
|||||
132,935
|
|||||||
Utilities — 0.5%
|
|||||||
5,000
|
Cia Energetica de Sao Paulo
|
33,481
|
|||||
6,500
|
Cia Paranaense de Energia
|
83,039
|
|||||
116,520
|
|||||||
438,856
|
|||||||
RUSSIAN FEDERATION — 0.1%
|
|||||||
Energy — 0.1%
|
|||||||
3,930
|
Tatneft PJSC
|
37,464
|
|||||
37,464
|
|||||||
TOTAL PREFERRED STOCKS (Cost $460,234)
|
476,320
|
||||||
CLOSED END FUNDS — 0.1%
|
|||||||
THAILAND — 0.1%
|
|||||||
32,638
|
Digital Telecommunications Infrastructure Fund
|
18,042
|
|||||
TOTAL CLOSED END FUNDS (Cost $17,416)
|
18,042
|
||||||
SHORT-TERM INVESTMENTS — 0.2%
|
|||||||
Money Market Funds — 0.2.%
|
|||||||
51,416
|
Invesco Government & Agency Portfolio — Institutional Class, 2.02% (c)
|
51,416
|
|||||
TOTAL SHORT-TERM INVESTMENTS (Cost $51,416)
|
51,416
|
Principal
|
|||||||
Amount
|
Security Description
|
Value
|
|||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING — 0.3%
|
|||||||
Repurchase Agreements — 0.3%
|
|||||||
$
|
67,041
|
RBC Dominion Securities, Inc. — 2.16%, dated 8/30/2019, matures 9/03/2019, repurchase
|
|||||
price $67,045 (collateralized by various U.S. government obligations: Total Value $68,382)
|
$
|
67,041
|
|||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING
|
|||||||
(Cost $67,041)
|
67,041
|
||||||
Total Investments (Cost $27,206,173) — 100.1%
|
26,151,338
|
||||||
Liabilities in Excess of Other Assets — (0.1)%
|
(34,317
|
)
|
|||||
TOTAL NET ASSETS — 100.0%
|
$
|
26,117,021
|
ADR | American Depositary Receipt | |
NVDR
|
Non-Voting Depositary Receipt
|
|
(a)
|
Non-income producing security.
|
|
(b)
|
All or a portion of this security is on loan as of August 31, 2019. The total value of securities on loan is $60,500.
|
|
(c)
|
Rate shown is the annualized seven-day yield as of August 31, 2019.
|
Nationwide
|
||||||||||||||||
Nationwide
|
Maximum
|
|||||||||||||||
Nationwide
|
Maximum
|
Diversification
|
||||||||||||||
Nationwide
|
Risk-Based
|
Diversification
|
Emerging
|
|||||||||||||
Risk-Based U.S.
|
International
|
U.S. Core
|
Markets Core
|
|||||||||||||
Equity ETF
|
Equity ETF
|
Equity ETF
|
Equity ETF
|
|||||||||||||
ASSETS
|
||||||||||||||||
Investments in securities, at value*+ (Note 2)
|
$
|
147,061,776
|
$
|
120,023,607
|
$
|
132,633,564
|
$
|
26,151,338
|
||||||||
Foreign currency, at value*
|
—
|
2,095
|
—
|
5,030
|
||||||||||||
Dividends and interest receivable
|
245,466
|
322,227
|
183,896
|
46,745
|
||||||||||||
Securities lending income receivable
|
5,304
|
640
|
4,724
|
100
|
||||||||||||
Reclaims receivable
|
743
|
294,201
|
485
|
2,310
|
||||||||||||
Total Assets
|
147,313,289
|
120,642,770
|
132,822,669
|
26,205,523
|
||||||||||||
LIABILITIES
|
||||||||||||||||
Collateral received for securities loaned (Note 4)
|
32,647,003
|
3,892,326
|
27,093,618
|
67,041
|
||||||||||||
Management fees payable
|
28,892
|
41,343
|
30,434
|
14,037
|
||||||||||||
Payable for securities purchased
|
—
|
—
|
—
|
7,424
|
||||||||||||
Total Liabilities
|
32,675,895
|
3,933,669
|
27,124,052
|
88,502
|
||||||||||||
NET ASSETS
|
$
|
114,637,394
|
$
|
116,709,101
|
$
|
105,698,617
|
$
|
26,117,021
|
||||||||
Net Assets Consist of:
|
||||||||||||||||
Paid-in capital
|
$
|
107,237,718
|
$
|
124,063,883
|
$
|
99,710,813
|
$
|
30,043,642
|
||||||||
Total distributable earnings
|
||||||||||||||||
(accumulated deficit)
|
7,399,676
|
(7,354,782
|
)
|
5,987,804
|
(3,926,621
|
)
|
||||||||||
Net assets
|
$
|
114,637,394
|
$
|
116,709,101
|
$
|
105,698,617
|
$
|
26,117,021
|
||||||||
Net asset value:
|
||||||||||||||||
Net assets
|
$
|
114,637,394
|
$
|
116,709,101
|
$
|
105,698,617
|
$
|
26,117,021
|
||||||||
Shares outstanding^
|
3,925,000
|
4,725,000
|
3,625,000
|
1,200,000
|
||||||||||||
Net asset value, offering and
|
||||||||||||||||
redemption price per share
|
$
|
29.21
|
$
|
24.70
|
$
|
29.16
|
$
|
21.76
|
||||||||
*Identified Cost:
|
||||||||||||||||
Investment in Securities
|
$
|
133,842,297
|
$
|
119,288,136
|
$
|
123,965,453
|
$
|
27,206,173
|
||||||||
Foreign Currency
|
—
|
2,097
|
—
|
5,013
|
^
|
No par value, unlimited number of shares authorized.
|
+
|
Including securities on loan of $31,942,428, $3,068,385, $26,389,483, and $60,500, respectively.
|
Nationwide
|
||||||||||||||||
Nationwide
|
Maximum
|
|||||||||||||||
Nationwide
|
Maximum
|
Diversification
|
||||||||||||||
Nationwide
|
Risk-Based
|
Diversification
|
Emerging
|
|||||||||||||
Risk-Based U.S.
|
International
|
U.S. Core
|
Markets Core
|
|||||||||||||
Equity ETF
|
Equity ETF
|
Equity ETF
|
Equity ETF
|
|||||||||||||
INCOME
|
||||||||||||||||
Dividends*
|
$
|
2,467,424
|
$
|
3,614,961
|
$
|
2,112,199
|
$
|
552,668
|
||||||||
Interest
|
4,280
|
7,680
|
3,177
|
1,293
|
||||||||||||
Securities lending income, net (Note 4)
|
38,876
|
20,653
|
40,063
|
3,612
|
||||||||||||
Total investment income
|
2,510,580
|
3,643,294
|
2,155,439
|
557,573
|
||||||||||||
EXPENSES
|
||||||||||||||||
Management fees
|
335,307
|
484,306
|
351,481
|
168,079
|
||||||||||||
Total expenses
|
335,307
|
484,306
|
351,481
|
168,079
|
||||||||||||
Net investment income (loss)
|
2,175,273
|
3,158,988
|
1,803,958
|
389,494
|
||||||||||||
REALIZED & UNREALIZED
|
||||||||||||||||
GAIN (LOSS) ON INVESTMENTS
|
||||||||||||||||
Net realized gain (loss) on:
|
||||||||||||||||
Investments
|
(7,875
|
)
|
(7,221,383
|
)
|
2,430,648
|
(2,695,700
|
)
|
|||||||||
Foreign currency
|
(14
|
)
|
1,400
|
(48
|
)
|
(25,878
|
)**
|
|||||||||
Change in unrealized
|
||||||||||||||||
appreciation (depreciation) on:
|
||||||||||||||||
Investments
|
6,171,917
|
1,398,575
|
(4,591,571
|
)
|
486,623
|
|||||||||||
Foreign currency
|
—
|
(3,386
|
)
|
(6
|
)
|
(140
|
)
|
|||||||||
Net realized and unrealized
|
||||||||||||||||
gain (loss) on investments
|
6,164,028
|
(5,824,794
|
)
|
(2,160,977
|
)
|
(2,235,095
|
)
|
|||||||||
Net increase (decrease) in net assets
|
||||||||||||||||
resulting from operations
|
$
|
8,339,301
|
$
|
(2,665,806
|
)
|
$
|
(357,019
|
)
|
$
|
(1,845,601
|
)
|
*
|
Net of foreign taxes withheld of $548, $349,207, $101, and $75,224, respectively.
|
**
|
Net of $1,829 in foreign capital gain taxes.
|
Year Ended
|
Period Ended
|
|||||||
August 31, 2019
|
August 31, 2018^
|
|||||||
OPERATIONS
|
||||||||
Net investment income (loss)
|
$
|
2,175,273
|
$
|
2,221,673
|
||||
Net realized gain (loss) on investments and foreign currency
|
(7,889
|
)
|
3,809,716
|
|||||
Change in unrealized appreciation (depreciation) on investments
|
6,171,917
|
7,047,562
|
||||||
Net increase (decrease) in net assets resulting from operations
|
8,339,301
|
13,078,951
|
||||||
DISTRIBUTIONS TO SHAREHOLDERS
|
||||||||
Net distributions to shareholders
|
(2,452,837
|
)
|
(567,191
|
)+
|
||||
Total distributions to shareholders
|
(2,452,837
|
)
|
(567,191
|
)
|
||||
CAPITAL SHARE TRANSACTIONS
|
||||||||
Proceeds from subscriptions
|
17,604,895
|
173,584,335
|
||||||
Payments for shares redeemed
|
(26,954,940
|
)
|
(67,995,120
|
)
|
||||
Transaction fees (Note 7)
|
—
|
—
|
||||||
Net increase (decrease) in net assets derived
|
||||||||
from capital share transactions (a)
|
(9,350,045
|
)
|
105,589,215
|
|||||
Net increase (decrease) in net assets
|
$
|
(3,463,581
|
)
|
$
|
118,100,975
|
|||
NET ASSETS
|
||||||||
Beginning of year/period
|
$
|
118,100,975
|
$
|
—
|
||||
End of year/period
|
$
|
114,637,394
|
$
|
118,100,975
|
*
|
|||
(a) A summary of capital share transactions is as follows:
|
||||||||
Year Ended
|
Period Ended
|
|||||||
August 31, 2019
|
August 31, 2018^
|
|||||||
Shares
|
Shares
|
|||||||
Subscriptions
|
650,000
|
6,850,000
|
||||||
Redemptions
|
(975,000
|
)
|
(2,600,000
|
)
|
||||
Net increase (decrease)
|
(325,000
|
)
|
4,250,000
|
^
|
Inception date of September 15, 2017. The information presented is for the period from September 15, 2017 to August 31, 2018.
|
+
|
Due to Regulation S-X updates, separate disclosure of distributions are no longer required. Distribution is comprised of net investment income of $483,811 and net realized gains of $83,380.
|
*
|
Due to Regulation S-X updates, parenthetical disclosure of undistributed (accumulated) net investment income (loss) is no longer required. Includes undistributed net investment income of $1,654,414.
|
Year Ended
|
Period Ended
|
|||||||
August 31, 2019
|
August 31, 2018^
|
|||||||
OPERATIONS
|
||||||||
Net investment income (loss)
|
$
|
3,158,988
|
$
|
2,745,351
|
||||
Net realized gain (loss) on investments and foreign currency
|
(7,219,983
|
)
|
3,407,398
|
|||||
Change in unrealized appreciation (depreciation)
|
||||||||
on investments and foreign currency
|
1,395,189
|
(666,577
|
)
|
|||||
Net increase (decrease) in net assets resulting from operations
|
(2,665,806
|
)
|
5,486,172
|
|||||
DISTRIBUTIONS TO SHAREHOLDERS
|
||||||||
Net distributions to shareholders
|
(3,061,273
|
)
|
(612,668
|
)+
|
||||
Total distributions to shareholders
|
(3,061,273
|
)
|
(612,668
|
)
|
||||
CAPITAL SHARE TRANSACTIONS
|
||||||||
Proceeds from subscriptions
|
4,750,293
|
161,970,185
|
||||||
Payments for shares redeemed
|
(1,864,215
|
)
|
(47,294,270
|
)
|
||||
Transaction fees (Note 7)
|
—
|
683
|
||||||
Net increase (decrease) in net assets derived
|
||||||||
from capital share transactions (a)
|
2,886,078
|
114,676,598
|
||||||
Net increase (decrease) in net assets
|
$
|
(2,841,001
|
)
|
$
|
119,550,102
|
|||
NET ASSETS
|
||||||||
Beginning of year/period
|
$
|
119,550,102
|
$
|
—
|
||||
End of year/period
|
$
|
116,709,101
|
$
|
119,550,102
|
*
|
|||
(a) A summary of capital share transactions is as follows:
|
||||||||
Year Ended
|
Period Ended
|
|||||||
August 31, 2019
|
August 31, 2018^
|
|||||||
Shares
|
Shares
|
|||||||
Subscriptions
|
200,000
|
6,400,000
|
||||||
Redemptions
|
(75,000
|
)
|
(1,800,000
|
)
|
||||
Net increase (decrease)
|
125,000
|
4,600,000
|
^
|
Inception date of September 15, 2017. The information presented is for the period from September 15, 2017 to August 31, 2018.
|
+
|
Due to Regulation S-X updates, separate disclosure of distributions are no longer required. Distribution is comprised of net investment income of $505,080 and net realized gains of $107,588.
|
*
|
Due to Regulation S-X updates, parenthetical disclosure of undistributed (accumulated) net investment income (loss) is no longer required. Includes undistributed net investment income of $2,305,428.
|
Year Ended
|
Period Ended
|
|||||||
August 31, 2019
|
August 31, 2018^
|
|||||||
OPERATIONS
|
||||||||
Net investment income (loss)
|
$
|
1,803,958
|
$
|
1,431,334
|
||||
Net realized gain (loss) on investments and foreign currency
|
2,430,600
|
4,974,760
|
||||||
Change in unrealized appreciation (depreciation)
|
||||||||
on investments and foreign currency
|
(4,591,577
|
)
|
13,259,688
|
|||||
Net increase (decrease) in net assets resulting from operations
|
(357,019
|
)
|
19,665,782
|
|||||
DISTRIBUTIONS TO SHAREHOLDERS
|
||||||||
Net distributions to shareholders
|
(1,544,599
|
)
|
(496,358
|
)+
|
||||
Total distributions to shareholders
|
(1,544,599
|
)
|
(496,358
|
)
|
||||
CAPITAL SHARE TRANSACTIONS
|
||||||||
Proceeds from subscriptions
|
14,938,460
|
125,293,255
|
||||||
Payments for shares redeemed
|
(21,636,517
|
)
|
(30,164,395
|
)
|
||||
Transaction fees (Note 7)
|
8
|
—
|
||||||
Net increase (decrease) in net assets derived
|
||||||||
from capital share transactions (a)
|
(6,698,049
|
)
|
95,128,860
|
|||||
Net increase (decrease) in net assets
|
$
|
(8,599,667
|
)
|
$
|
114,298,284
|
|||
NET ASSETS
|
||||||||
Beginning of year/period
|
$
|
114,298,284
|
$
|
—
|
||||
End of year/period
|
$
|
105,698,617
|
$
|
114,298,284
|
*
|
|||
(a) A summary of capital share transactions is as follows:
|
||||||||
Year Ended
|
Period Ended
|
|||||||
August 31, 2019
|
August 31, 2018^
|
|||||||
Shares
|
Shares
|
|||||||
Subscriptions
|
525,000
|
4,950,000
|
||||||
Redemptions
|
(750,000
|
)
|
(1,100,000
|
)
|
||||
Net increase (decrease)
|
(225,000
|
)
|
3,850,000
|
|||||
^
|
Inception date of September 15, 2017. The information presented is for the period from September 15, 2017 to August 31, 2018.
|
+
|
Due to Regulation S-X updates, separate disclosure of distributions are no longer required. Distribution is comprised of net investment income of $496,014 and net realized gains of $344.
|
*
|
Due to Regulation S-X updates, parenthetical disclosure of undistributed (accumulated) net investment income (loss) is no longer required. Includes undistributed net investment income of $934,968.
|
Year Ended
|
Period Ended
|
|||||||
August 31, 2019
|
August 31, 2018^
|
|||||||
OPERATIONS
|
||||||||
Net investment income (loss)
|
$
|
389,494
|
$
|
261,869
|
||||
Net realized gain (loss) on investments and foreign currency
|
(2,721,578
|
)
|
(455,257
|
)
|
||||
Change in unrealized appreciation (depreciation)
|
||||||||
on investments and foreign currency
|
486,483
|
(1,541,591
|
)
|
|||||
Net increase (decrease) in net assets resulting from operations
|
(1,845,601
|
)
|
(1,734,979
|
)
|
||||
DISTRIBUTIONS TO SHAREHOLDERS
|
||||||||
Net distributions to shareholders
|
(346,041
|
)
|
—
|
|||||
Total distributions to shareholders
|
(346,041
|
)
|
—
|
|||||
CAPITAL SHARE TRANSACTIONS
|
||||||||
Proceeds from subscriptions
|
—
|
29,963,820
|
||||||
Payments for shares redeemed
|
—
|
—
|
||||||
Transaction fees (Note 7)
|
—
|
79,822
|
||||||
Net increase (decrease) in net assets derived
|
||||||||
from capital share transactions (a)
|
—
|
30,043,642
|
||||||
Net increase (decrease) in net assets
|
$
|
(2,191,642
|
)
|
$
|
28,308,663
|
|||
NET ASSETS
|
||||||||
Beginning of year/period
|
$
|
28,308,663
|
$
|
—
|
||||
End of year/period
|
$
|
26,117,021
|
$
|
28,308,663
|
*
|
|||
(a) A summary of capital share transactions is as follows:
|
||||||||
Year Ended
|
Period Ended
|
|||||||
August 31, 2019
|
August 31, 2018^
|
|||||||
Shares
|
Shares
|
|||||||
Subscriptions
|
—
|
1,200,000
|
||||||
Redemptions
|
—
|
—
|
||||||
Net increase (decrease)
|
—
|
1,200,000
|
^
|
Inception date of March 26, 2018. The information presented is for the period from March 26, 2018 to August 31, 2018.
|
*
|
Due to Regulation S-X updates, parenthetical disclosure of undistributed (accumulated) net investment income (loss) is no longer required. Includes undistributed net investment income of $208,824.
|
Year Ended
|
Period Ended
|
|||||||
August 31, 2019
|
August 31, 2018(1)
|
|||||||
Net asset value, beginning of year/period
|
$
|
27.79
|
$
|
25.00
|
||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
|
||||||||
Net investment income (loss)(2)
|
0.53
|
0.51
|
||||||
Net realized and unrealized gain (loss) on investments
|
1.49
|
2.41
|
||||||
Total from investment operations
|
2.02
|
2.92
|
||||||
DISTRIBUTIONS TO SHAREHOLDERS
|
||||||||
From net investment income
|
(0.60
|
)
|
(0.11
|
)
|
||||
From realized gains
|
—
|
(0.02
|
)
|
|||||
Total distributions
|
(0.60
|
)
|
(0.13
|
)
|
||||
CAPITAL SHARE TRANSACTIONS
|
||||||||
Transaction Fees (Note 7)
|
—
|
—
|
||||||
Net asset value, end of year/period
|
$
|
29.21
|
$
|
27.79
|
||||
Total return
|
7.70
|
%
|
11.70
|
%(3)
|
||||
SUPPLEMENTAL DATA:
|
||||||||
Net assets at end of year/period (000’s)
|
$
|
114,637
|
$
|
118,101
|
||||
RATIOS TO AVERAGE NET ASSETS:
|
||||||||
Expenses to average net assets
|
0.30
|
%
|
0.30
|
%(4)
|
||||
Net investment income to average net assets
|
1.95
|
%
|
2.03
|
%(4)
|
||||
Portfolio turnover rate(5)
|
76
|
%
|
87
|
%(3)
|
(1)
|
Inception date of September 15, 2017.
|
(2)
|
Calculated based on average shares outstanding during the year/period.
|
(3)
|
Not annualized.
|
(4)
|
Annualized.
|
(5)
|
Excludes the impact of in-kind transactions.
|
Year Ended
|
Period Ended
|
|||||||
August 31, 2019
|
August 31, 2018(1)
|
|||||||
Net asset value, beginning of year/period
|
$
|
25.99
|
$
|
25.00
|
||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
|
||||||||
Net investment income (loss)(2)
|
0.68
|
0.59
|
||||||
Net realized and unrealized gain (loss) on investments
|
(1.30
|
)
|
0.53
|
|||||
Total from investment operations
|
(0.62
|
)
|
1.12
|
|||||
DISTRIBUTIONS TO SHAREHOLDERS
|
||||||||
From net investment income
|
(0.67
|
)
|
(0.11
|
)
|
||||
From realized gains
|
—
|
(0.02
|
)
|
|||||
Total distributions
|
(0.67
|
)
|
(0.13
|
)
|
||||
CAPITAL SHARE TRANSACTIONS
|
||||||||
Transaction Fees (Note 7)
|
—
|
0.00
|
(3)
|
|||||
Net asset value, end of year/period
|
$
|
24.70
|
$
|
25.99
|
||||
Total return
|
-2.14
|
%
|
4.48
|
%(4)
|
||||
SUPPLEMENTAL DATA:
|
||||||||
Net assets at end of year/period (000’s)
|
$
|
116,709
|
$
|
119,550
|
||||
RATIOS TO AVERAGE NET ASSETS:
|
||||||||
Expenses to average net assets
|
0.42
|
%
|
0.42
|
%(5)
|
||||
Net investment income to average net assets
|
2.74
|
%
|
2.36
|
%(5)
|
||||
Portfolio turnover rate(6)
|
98
|
%
|
145
|
%(4)
|
(1)
|
Inception date of September 15, 2017.
|
(2)
|
Calculated based on average shares outstanding during the year/period.
|
(3)
|
Represents less than $0.005.
|
(4)
|
Not annualized.
|
(5)
|
Annualized.
|
(6)
|
Excludes the impact of in-kind transactions.
|
Year Ended
|
Period Ended
|
|||||||
August 31, 2019
|
August 31, 2018(1)
|
|||||||
Net asset value, beginning of year/period
|
$
|
29.69
|
$
|
25.00
|
||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
|
||||||||
Net investment income (loss)(2)
|
0.49
|
0.35
|
||||||
Net realized and unrealized gain (loss) on investments
|
(0.60
|
)
|
4.46
|
|||||
Total from investment operations
|
(0.11
|
)
|
4.81
|
|||||
DISTRIBUTIONS TO SHAREHOLDERS
|
||||||||
From net investment income
|
(0.42
|
)
|
(0.12
|
)
|
||||
From realized gains
|
—
|
(0.00
|
)(3)
|
|||||
Total distributions
|
(0.42
|
)
|
(0.12
|
)
|
||||
CAPITAL SHARE TRANSACTIONS
|
||||||||
Transaction Fees (Note 7)
|
0.00
|
(3)
|
—
|
|||||
Net asset value, end of year/period
|
$
|
29.16
|
$
|
29.69
|
||||
Total return
|
-0.11
|
%
|
19.27
|
%(4)
|
||||
SUPPLEMENTAL DATA:
|
||||||||
Net assets at end of year/period (000’s)
|
$
|
105,699
|
$
|
114,298
|
||||
RATIOS TO AVERAGE NET ASSETS:
|
||||||||
Expenses to average net assets
|
0.34
|
%
|
0.34
|
%(5)
|
||||
Net investment income to average net assets
|
1.75
|
%
|
1.35
|
%(5)
|
||||
Portfolio turnover rate(6)
|
37
|
%
|
26
|
%(4)
|
(1)
|
Inception date of September 15, 2017.
|
(2)
|
Calculated based on average shares outstanding during the year/period.
|
(3)
|
Represents less than $0.005.
|
(4)
|
Not annualized.
|
(5)
|
Annualized.
|
(6)
|
Excludes the impact of in-kind transactions.
|
Year Ended
|
Period Ended
|
|||||||
August 31, 2019
|
August 31, 2018(1)
|
|||||||
Net asset value, beginning of year/period
|
$
|
23.59
|
$
|
25.00
|
||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
|
||||||||
Net investment income (loss)(2)
|
0.32
|
0.23
|
||||||
Net realized and unrealized gain (loss) on investments
|
(1.86
|
)
|
(1.71
|
)
|
||||
Total from investment operations
|
(1.54
|
)
|
(1.48
|
)
|
||||
DISTRIBUTIONS TO SHAREHOLDERS
|
||||||||
From net investment income
|
(0.29
|
)
|
—
|
|||||
From realized gains
|
—
|
—
|
||||||
Total distributions
|
(0.29
|
)
|
—
|
|||||
CAPITAL SHARE TRANSACTIONS
|
||||||||
Transaction Fees (See Note 7)
|
—
|
0.07
|
||||||
Net asset value, end of year/period
|
$
|
21.76
|
$
|
23.59
|
||||
Total return
|
-6.46
|
%
|
-5.64
|
%(3)
|
||||
SUPPLEMENTAL DATA:
|
||||||||
Net assets at end of year/period (000’s)
|
$
|
26,117
|
$
|
28,309
|
||||
RATIOS TO AVERAGE NET ASSETS:
|
||||||||
Expenses to average net assets
|
0.64
|
%
|
0.64
|
%(4)
|
||||
Net investment income to average net assets
|
1.48
|
%
|
2.16
|
%(4)
|
||||
Portfolio turnover rate(5)
|
44
|
%
|
7
|
%(3)
|
(1)
|
Inception date of March 26, 2018.
|
(2)
|
Calculated based on average shares outstanding during the year/period.
|
(3)
|
Not annualized.
|
(4)
|
Annualized.
|
(5)
|
Excludes the impact of in-kind transactions.
|
A.
|
Security Valuation. All equity securities, including domestic and foreign common stocks, preferred stocks and closed end funds that are traded on a national securities exchange, except those listed
on the Nasdaq Global Market®, Nasdaq Global Select Market® and the Nasdaq
Capital Market® exchanges (collectively, “Nasdaq”) are valued at the last reported sale price on the exchange on which the security is principally traded.
Securities traded on Nasdaq will be valued at the Nasdaq Official Closing Price (“NOCP”). If, on a particular day, an exchange-traded or Nasdaq security does not trade, then the mean between the most recent quoted bid and asked prices will be
used. All equity securities that are not traded on a listed exchange are valued at the last sale price in the over-the-counter market. If a non-exchange traded security does not trade on a particular day, then the mean between the last quoted
closing bid and asked price will be used. Prices denominated in foreign currencies are converted to U.S. dollar equivalents at the current exchange rate, which approximates fair value. Investments in mutual funds, including money market
funds, are valued at their net asset value (“NAV”) per share.
|
Short-term securities, including repurchase agreements, that have maturities of less than 60 days at the time of purchase are valued at amortized cost, which, when combined with accrued interest, approximates fair value.
|
|
Shares of Mount Vernon Liquid Assets Portfolio are not traded on an exchange and are valued at the investment company’s net asset value per share as provided by the underlying fund’s administrator. These shares are generally classified as
Level 2 investments.
|
|
Securities for which quotations are not readily available are valued at their respective fair values in accordance with pricing procedures adopted by the Funds’ Board of Trustees (the “Board”). When a security is “fair valued,”
consideration is given to the facts and circumstances relevant to the
|
particular situation, including a review of various factors set forth in the pricing procedures adopted by the Board. The use of fair value pricing by the Funds may cause the NAV of their shares to differ significantly from the NAV that
would be calculated without regard to such considerations.
|
|
As described above, the Funds utilize various methods to measure the fair value of their investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuations methods. The three levels of inputs are:
|
Level 1 –
|
Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.
|
|
Level 2 –
|
Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices
for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
|
|
Level 3 –
|
Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and
based on the best information available.
|
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace,
the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more
judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
|
|
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety
is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
|
|
The following is a summary of the inputs used to value the Funds’ investments as of the end of the reporting period:
|
Nationwide Risk-Based U.S. Equity ETF
|
|||||||||||||||||
Assets^
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Common Stocks
|
$
|
114,374,671
|
$
|
—
|
$
|
—
|
$
|
114,374,671
|
|||||||||
Short-Term Investments
|
40,102
|
—
|
—
|
40,102
|
|||||||||||||
Investments Purchased
|
|||||||||||||||||
With Proceeds From
|
|||||||||||||||||
Securities Lending
|
—
|
32,647,003
|
—
|
32,647,003
|
|||||||||||||
Total Investments in
|
|||||||||||||||||
Securities, at value
|
$
|
114,414,773
|
$
|
32,647,003
|
$
|
—
|
$
|
147,061,776
|
|||||||||
Nationwide Risk-Based International Equity ETF
|
|||||||||||||||||
Assets*
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Common Stocks
|
$
|
115,857,327
|
$
|
—
|
$
|
—
|
$
|
115,857,327
|
|||||||||
Short-Term Investments
|
273,954
|
—
|
—
|
273,954
|
|||||||||||||
Investments Purchased
|
|||||||||||||||||
With Proceeds From
|
|||||||||||||||||
Securities Lending
|
—
|
3,892,326
|
—
|
3,892,326
|
|||||||||||||
Total Investments in
|
|||||||||||||||||
Securities, at value
|
$
|
116,131,281
|
$
|
3,892,326
|
$
|
—
|
$
|
120,023,607
|
Nationwide Maximum Diversification U.S. Core Equity ETF
|
|||||||||||||||||
Assets^
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Common Stocks
|
$
|
105,437,573
|
$
|
—
|
$
|
—
|
$
|
105,437,573
|
|||||||||
Short-Term Investments
|
102,373
|
—
|
—
|
102,373
|
|||||||||||||
Investments Purchased
|
|||||||||||||||||
With Proceeds From
|
|||||||||||||||||
Securities Lending
|
—
|
27,093,618
|
—
|
27,093,618
|
|||||||||||||
Total Investments in
|
|||||||||||||||||
Securities, at value
|
$
|
105,539,946
|
$
|
27,093,618
|
$
|
—
|
$
|
132,633,564
|
|||||||||
Nationwide Maximum Diversification Emerging Markets Core Equity ETF
|
|||||||||||||||||
Assets*
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Common Stocks
|
$
|
25,538,519
|
$
|
—
|
$
|
—
|
$
|
25,538,519
|
|||||||||
Preferred Stocks
|
476,320
|
—
|
—
|
476,320
|
|||||||||||||
Closed End Funds
|
18,042
|
—
|
—
|
18,042
|
|||||||||||||
Short-Term Investments
|
51,416
|
—
|
—
|
51,416
|
|||||||||||||
Investments Purchased
|
|||||||||||||||||
With Proceeds From
|
|||||||||||||||||
Securities Lending
|
—
|
67,041
|
—
|
67,041
|
|||||||||||||
Total Investments in
|
|||||||||||||||||
Securities, at value
|
$
|
26,084,297
|
$
|
67,041
|
$
|
—
|
$
|
26,151,338
|
^
|
See Schedules of Investments for breakout of investments by sector classification.
|
|
*
|
See Schedules of Investments for breakout of investments by country and sector classifications.
|
During the current fiscal period, the Funds did not recognize any transfers to or from Level 3.
|
|
B.
|
Foreign Currency. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of
investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations
resulting from changes in foreign exchange rates on investments and currency gains or losses realized between the trade and settlement dates on securities transactions from the fluctuations arising from changes in market prices of securities
held. Such fluctuations are included with the net realized and unrealized gain or loss from investments. The Funds report net realized foreign exchange gains or losses that arise from sales of foreign currencies, currency gains or losses
realized between the trade and settlement dates on foreign currency transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the
amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange
rates.
|
C.
|
Federal Income Taxes. The Funds’ policy is to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to
distribute substantially all of their net investment income and net capital gains to shareholders. Therefore, no federal income tax provision is required. Each Fund plans to file U.S. Federal and various state and local tax returns.
|
Each Fund recognizes the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained. Management has analyzed each Fund’s uncertain tax positions and concluded that no liability for unrecognized
tax benefits should be recorded related to uncertain tax positions. Management is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next 12
months. Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits on
uncertain tax positions as income tax expenses in the Statements of Operations. During the current fiscal period, the Funds did not incur any interest or penalties.
|
|
D.
|
Security Transactions and Investment Income. Investment securities transactions are accounted for on the trade date. Gains and losses realized on sales of securities are determined on a specific
identification basis. Dividend income is recorded on the ex-dividend date. Interest income is recorded on an accrual basis. Withholding taxes on foreign dividends and foreign taxes on capital gains have been provided for in accordance with
the Funds’ understanding of the applicable tax rules and regulations. Interest income is recorded on an accrual basis.
|
Distributions received from the Funds’ investments in real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain, or a return of capital. The proper characterization of REIT distributions is generally
not known until after the end of each calendar year. As such, the Funds must use estimates in reporting the character of their income and distributions for financial statement purposes. The actual character of distributions to the Funds’
shareholders will be reflected on the Form 1099 received by shareholders after the end of the calendar year. Due to the nature of REIT investments, a portion of the distributions received by the Funds’ shareholders may represent a return of
capital.
|
|
E.
|
Distributions to Shareholders. Distributions to shareholders from net investment income and net realized gains on securities are declared and paid by the Funds on an annual basis. Distributions are
recorded on the ex-dividend date.
|
F.
|
Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
|
G.
|
Share Valuation. The NAV per share of each Fund is calculated by dividing the sum of the value of the securities held by each Fund, plus cash and other assets, minus all liabilities (including
estimated accrued expenses) by the total number of outstanding shares for each Fund, rounded to the nearest cent. The Funds’ shares will not be priced on the days on which the New York Stock Exchange, Inc. (“NYSE”) is closed for trading. The
offering and redemption price per share of each Fund is equal to each Fund’s NAV per share.
|
H.
|
Guarantees and Indemnifications. In the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure
under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
|
I.
|
Reclassification of Capital Accounts. U.S. GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These
reclassifications have no effect on net assets or NAV per share and are primarily due to differing book and tax treatments for in-kind transactions. During the current fiscal period, the following table shows the reclassifications made:
|
Distributable Earnings
|
Paid In
|
||||||||
(Accumulated Deficit)
|
Capital
|
||||||||
Nationwide Risk-Based U.S. Equity ETF
|
$
|
(3,971,923
|
)
|
$
|
3,971,923
|
||||
Nationwide Risk-Based International Equity ETF
|
(389,120
|
)
|
389,120
|
||||||
Nationwide Maximum Diversification U.S. Core Equity ETF
|
(5,808,474
|
)
|
5,808,474
|
||||||
Nationwide Maximum Diversification
|
|||||||||
Emerging Markets Core Equity ETF
|
—
|
—
|
During the current fiscal period, the Funds realized the following net capital gains resulting from in-kind redemptions, in which shareholders exchanged Fund shares for securities held by the Funds rather than for cash. Because such gains
are not taxable to the Funds, and are not distributed to shareholders, they have been reclassified from distributable earnings (accumulated deficit) to paid-in capital.
|
Nationwide Risk-Based U.S. Equity ETF
|
$3,971,933
|
||
Nationwide Risk-Based International Equity ETF
|
389,120
|
||
Nationwide Maximum Diversification U.S. Core Equity ETF
|
5,808,474
|
||
Nationwide Maximum Diversification Emerging Markets Core Equity ETF
|
—
|
J.
|
Subsequent Events. In preparing these financial statements, management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were
issued. There were no events or transactions that occurred during the period subsequent to the end of the current fiscal period that materially impacted the amounts or disclosures in the Funds’ financial statements.
|
K.
|
New Accounting Pronouncements. In August 2018, FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for
Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value
measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the
removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management has evaluated the impact of these
changes and has adopted the disclosure framework.
|
Value of
|
Payable for
|
|||||||
Fund
|
Securities on Loan
|
Collateral Received
|
||||||
Nationwide Risk-Based U.S. Equity ETF
|
$
|
31,942,428
|
$
|
32,647,003
|
*
|
|||
Nationwide Risk-Based International Equity ETF
|
3,068,385
|
3,892,326
|
^ | |||||
Nationwide Maximum Diversification
|
||||||||
U.S. Core Equity ETF
|
26,389,483
|
27,093,618
|
*
|
|||||
Nationwide Maximum Diversification
|
||||||||
Emerging Markets Core Equity ETF
|
60,500
|
67,041
|
^ |
*
|
The cash collateral received was invested in the Mount Vernon Liquid Assets Portfolio, LLC as shown on the Schedule of Investments, a short-term investment portfolio with an overnight and continuous maturity. The investment objective is to
seek to maximize current income to the extent consistent with the preservation of capital and liquidity and maintain a stable NAV of $1.00 per unit.
|
^
|
The cash collateral received was invested in repurchase agreements collateralized by various U.S. government obligations, short-term investments with an overnight and continuous maturity.
|
Fund
|
Fees and Interest Earned
|
|||
Nationwide Risk-Based U.S. Equity ETF
|
$
|
38,876
|
||
Nationwide Risk-Based International Equity ETF
|
20,653
|
|||
Nationwide Maximum Diversification U.S. Core Equity ETF
|
40,063
|
|||
Nationwide Maximum Diversification Emerging Markets Core Equity ETF
|
3,612
|
Fund
|
Purchases
|
Sales
|
||||||
Nationwide Risk-Based U.S. Equity ETF
|
$
|
85,423,986
|
$
|
84,296,564
|
||||
Nationwide Risk-Based International Equity ETF
|
112,250,809
|
111,965,119
|
||||||
Nationwide Maximum Diversification U.S. Core Equity ETF
|
38,848,570
|
38,255,643
|
||||||
Nationwide Maximum Diversification
|
||||||||
Emerging Markets Core Equity ETF
|
11,554,519
|
11,498,158
|
Fund
|
In-Kind Purchases
|
In-Kind Redemptions
|
||||||
Nationwide Risk-Based U.S. Equity ETF
|
$
|
17,542,703
|
$
|
26,891,140
|
||||
Nationwide Risk-Based International Equity ETF
|
4,710,160
|
1,823,810
|
||||||
Nationwide Maximum Diversification U.S. Core Equity ETF
|
14,873,845
|
21,536,508
|
||||||
Nationwide Maximum Diversification
|
||||||||
Emerging Markets Core Equity ETF
|
—
|
—
|
Nationwide
|
||||||||||||||||
Nationwide
|
Maximum
|
|||||||||||||||
Nationwide
|
Maximum
|
Diversification
|
||||||||||||||
Nationwide
|
Risk-Based
|
Diversification
|
Emerging
|
|||||||||||||
Risk-Based U.S.
|
International
|
U.S. Core
|
Markets Core
|
|||||||||||||
Equity ETF
|
Equity ETF
|
Equity ETF
|
Equity ETF
|
|||||||||||||
Tax cost of investments
|
$
|
135,348,842
|
$
|
121,226,553
|
$
|
124,735,908
|
$
|
27,272,692
|
||||||||
Gross tax unrealized appreciation
|
$
|
16,729,257
|
$
|
8,887,114
|
$
|
17,026,270
|
$
|
2,784,725
|
||||||||
Gross tax unrealized depreciation
|
(5,016,323
|
)
|
(10,087,965
|
)
|
(9,128,614
|
)
|
(3,901,049
|
)
|
||||||||
Net tax unrealized
|
||||||||||||||||
appreciation (depreciation)
|
11,712,934
|
(1,200,851
|
)
|
7,897,656
|
(1,116,324
|
)
|
||||||||||
Undistributed ordinary income
|
1,376,835
|
2,429,550
|
1,194,322
|
300,011
|
||||||||||||
Undistributed long-term
|
||||||||||||||||
capital gains
|
—
|
—
|
—
|
—
|
||||||||||||
Accumulated gain (loss)
|
1,376,835
|
2,429,550
|
1,194,322
|
300,011
|
||||||||||||
Other accumulated gain (loss)
|
(5,690,093
|
)
|
(8,583,481
|
)
|
(3,104,174
|
)
|
(3,110,308
|
)
|
||||||||
Distributable earnings
|
||||||||||||||||
(accumulated deficit)
|
$
|
7,399,676
|
$
|
(7,354,782
|
)
|
$
|
5,987,804
|
$
|
(3,926,621
|
)
|
Short-Term
|
Long-Term
|
|||||||
Nationwide Risk-Based U.S. Equity ETF
|
$
|
4,911,920
|
$
|
778,173
|
||||
Nationwide Risk-Based International Equity ETF
|
6,244,344
|
2,338,167
|
||||||
Nationwide Maximum Diversification U.S. Core Equity ETF
|
2,056,787
|
1,047,387
|
||||||
Nationwide Maximum Diversification
|
||||||||
Emerging Markets Core Equity ETF
|
2,670,760
|
439,258
|
Year Ended August 31, 2019
|
||||||||||||
Ordinary
|
Long Term
|
Return of
|
||||||||||
Fund
|
Income
|
Capital Gain
|
Capital
|
|||||||||
Nationwide Risk-Based U.S. Equity ETF
|
$
|
2,452,837
|
$
|
—
|
$
|
—
|
||||||
Nationwide Risk-Based International Equity ETF
|
3,061,273
|
—
|
—
|
|||||||||
Nationwide Maximum Diversification
|
||||||||||||
U.S. Core Equity ETF
|
1,544,599
|
—
|
—
|
|||||||||
Nationwide Maximum Diversification
|
||||||||||||
Emerging Markets Core Equity ETF
|
346,041
|
—
|
—
|
Year Ended August 31, 2018
|
||||||||||||
Ordinary
|
Long Term
|
Return of
|
||||||||||
Fund
|
Income
|
Capital Gain
|
Capital
|
|||||||||
Nationwide Risk-Based U.S. Equity ETF
|
$
|
567,191
|
$
|
—
|
$
|
—
|
||||||
Nationwide Risk-Based International Equity ETF
|
612,668
|
—
|
—
|
|||||||||
Nationwide Maximum Diversification
|
||||||||||||
U.S. Core Equity ETF
|
496,358
|
—
|
—
|
|||||||||
Nationwide Maximum Diversification
|
||||||||||||
Emerging Markets Core Equity ETF
|
—
|
—
|
—
|
Shares
|
Percentage of Total
|
|||||
Fund
|
Owned
|
Shares Outstanding
|
||||
Nationwide Risk-Based U.S. Equity ETF
|
3,910,400
|
99.63%
|
||||
Nationwide Risk-Based International Equity ETF
|
4,627,900
|
97.94%
|
||||
Nationwide Maximum Diversification U.S. Core Equity ETF
|
3,511,500
|
96.87%
|
||||
Nationwide Maximum Diversification
|
||||||
Emerging Markets Core Equity ETF
|
1,180,221
|
98.35%
|
Number of
|
|||||
Term of
|
Portfolios in
|
Other
|
|||
Position
|
Office and
|
Fund Complex
|
Directorships
|
||
Name and
|
Held with
|
Length of
|
Principal Occupation(s)
|
Overseen by
|
Held by Trustee
|
Year of Birth
|
the Trust
|
Time Served
|
During Past 5 Years
|
Trustee
|
During Past 5 Years
|
Independent Trustees
|
|||||
Leonard M. Rush, CPA
|
Lead
|
Indefinite
|
Retired; formerly Chief Financial
|
50
|
Independent Trustee,
|
Born: 1946
|
Independent
|
term;
|
Officer, Robert W. Baird & Co.
|
Managed Portfolio
|
|
Trustee
|
since 2012
|
Incorporated (wealth management
|
Series (39 portfolios)
|
||
and Audit
|
firm) (2000–2011).
|
(since 2011).
|
|||
Committee
|
|||||
Chairman
|
|||||
David A. Massart
|
Trustee
|
Indefinite
|
Co-Founder, President, and Chief
|
50
|
Independent Trustee,
|
Born: 1967
|
term;
|
Investment Strategist, Next
|
Managed Portfolio
|
||
since 2012
|
Generation Wealth Management,
|
Series (39 portfolios)
|
|||
Inc. (since 2005).
|
(since 2011).
|
||||
Janet D. Olsen
|
Trustee
|
Indefinite
|
Retired; formerly Managing
|
50
|
Independent Trustee,
|
Born: 1956
|
term;
|
Director and General Counsel,
|
PPM Funds
|
||
since 2018
|
Artisan Partners Limited
|
(9 portfolios)
|
|||
Partnership (investment adviser)
|
(since 2018).
|
||||
(2000–2013); Executive Vice
|
|||||
President and General Counsel,
|
|||||
Artisan Partners Asset
|
|||||
Management Inc. (2012–2013);
|
|||||
Vice President and General
|
|||||
Counsel, Artisan Funds, Inc.
|
|||||
(investment company) (2001–2012).
|
|||||
Interested Trustee
|
|||||
Michael A. Castino
|
Trustee
|
Indefinite
|
Senior Vice President, U.S. Bancorp
|
50
|
None
|
Born: 1967
|
and
|
term;
|
Fund Services, LLC (since 2013);
|
||
Chairman
|
Trustee
|
Managing Director of Index
|
|||
since 2014;
|
Services, Zacks Investment
|
||||
Chairman
|
Management (2011–2013).
|
||||
since 2013
|
|
Position(s)
|
Term of Office
|
|
Name and
|
Held with
|
and Length of
|
Principal Occupation(s)
|
Year of Birth
|
the Trust
|
Time Served
|
During Past 5 Years
|
Principal Officers of the Trust
|
|||
Kristina R. Nelson
|
President
|
Indefinite term;
|
Vice President, U.S. Bancorp Fund Services, LLC (since 2014);
|
Born: 1982
|
since 2019
|
Assistant Vice President, U.S. Bancorp Fund Services, LLC
|
|
(2013–2014).
|
|||
Michael D. Barolsky
|
Vice President
|
Indefinite term;
|
Senior Vice President, U.S. Bancorp Fund Services, LLC
|
Born: 1981
|
and
|
since 2014
|
(since 2019); Vice President, U.S. Bancorp Fund Services, LLC
|
Secretary
|
(other roles
|
(2012-2019); Associate, Thompson Hine LLP (law firm)
|
|
since 2013)
|
(2008–2012).
|
||
James R. Butz
|
Chief Compliance
|
Indefinite term;
|
Senior Vice President, U.S. Bancorp Fund Services, LLC
|
Born: 1982
|
Officer
|
since 2015
|
(since 2015); Vice President, U.S. Bancorp Fund Services, LLC
|
(2014–2015); Assistant Vice President, U.S. Bancorp Fund
|
|||
Services, LLC (2011–2014).
|
|||
Kristen M. Weitzel, CPA
|
Treasurer
|
Indefinite term;
|
Vice President, U.S. Bancorp Fund Services, LLC (since 2015);
|
Born: 1977
|
since 2014
|
Assistant Vice President, U.S. Bancorp Fund Services, LLC
|
|
(other roles
|
(2011–2015); Manager, PricewaterhouseCoopers LLP
|
||
since 2013)
|
(accounting firm) (2005–2011).
|
||
Brett M. Wickmann
|
Assistant
|
Indefinite term;
|
Vice President, U.S. Bancorp Fund Services, LLC (since 2017);
|
Born: 1982
|
Treasurer
|
since 2017
|
Assistant Vice President, U.S. Bancorp Fund Services, LLC
|
(2012–2017).
|
|||
Elizabeth A. Winske
|
Assistant
|
Indefinite term;
|
Assistant Vice President, U.S. Bancorp Fund Services, LLC
|
Born: 1983
|
Treasurer
|
since 2017
|
(since 2016); Officer, U.S. Bancorp Fund Services, LLC
|
(2012–2016).
|
|||
Jason Shlensky
|
Assistant
|
Indefinite term;
|
Assistant Vice President, U.S. Bancorp Fund Services, LLC
|
Born: 1987
|
Treasurer
|
Since 2019
|
(since 2019); Officer, U.S. Bancorp Fund Services, LLC
|
(2014–2019).
|
Beginning
|
Ending
|
Expenses Paid
|
|
Account Value
|
Account Value
|
During the
|
|
March 1, 2019
|
August 31, 2019
|
Period(1)
|
|
Actual
|
$1,000.00
|
$1,083.80
|
$1.58
|
Hypothetical (5% annual
|
|||
return before expenses)
|
$1,000.00
|
$1,023.69
|
$1.53
|
(1)
|
The dollar amounts shown as expenses paid during the period are equal to the annualized expense ratio, 0.30%, multiplied by the average account value during the six-month period, multiplied by 184/365, to reflect the one-half year period.
|
Beginning
|
Ending
|
Expenses Paid
|
|
Account Value
|
Account Value
|
During the
|
|
March 1, 2019
|
August 31, 2019
|
Period(2)
|
|
Actual
|
$1,000.00
|
$1,004.10
|
$2.12
|
Hypothetical (5% annual
|
|||
return before expenses)
|
$1,000.00
|
$1,023.09
|
$2.14
|
(2)
|
The dollar amounts shown as expenses paid during the period are equal to the annualized expense ratio, 0.42%, multiplied by the average account value during the six-month period, multiplied by 184/365, to reflect the one-half year period.
|
Beginning
|
Ending
|
Expenses Paid
|
|
Account Value
|
Account Value
|
During the
|
|
March 1, 2019
|
August 31, 2019
|
Period(3)
|
|
Actual
|
$1,000.00
|
$1,061.60
|
$1.77
|
Hypothetical (5% annual
|
|||
return before expenses)
|
$1,000.00
|
$1,023.49
|
$1.73
|
(3)
|
The dollar amounts shown as expenses paid during the period are equal to the annualized expense ratio, 0.34%, multiplied by the average account value during the six-month period, multiplied by 184/365, to reflect the one-half year period.
|
Beginning
|
Ending
|
Expenses Paid
|
|
Account Value
|
Account Value
|
During the
|
|
March 1, 2019
|
August 31, 2019
|
Period(4)
|
|
Actual
|
$1,000.00
|
$ 981.80
|
$3.20
|
Hypothetical (5% annual
|
|||
return before expenses)
|
$1,000.00
|
$1,021.98
|
$3.26
|
(4)
|
The dollar amounts shown as expenses paid during the period are equal to the annualized expense ratio, 0.64%, multiplied by the average account value during the six-month period, multiplied by 184/365, to reflect the one-half year period.
|
•
|
the Investment Advisory Agreement (the “Advisory Agreement”) between Nationwide Fund Advisors (the “Adviser” or “Nationwide”) and the Trust, on behalf of the Nationwide Risk-Based U.S. Equity ETF, Nationwide Risk-Based International Equity
ETF, Nationwide Maximum Diversification U.S. Core Equity ETF, and Nationwide Maximum Diversification Emerging Markets Core Equity ETF (each, a “Fund”, and together, the “Funds”); and
|
|
•
|
the Investment Sub-Advisory Agreement (the “Sub-Advisory Agreement”) between the Adviser, the Trust, on behalf of the Funds, and Vident Investment Advisory, LLC (the “Sub-Adviser” or “VIA”).
|
Nationwide Risk-Based U.S. Equity ETF
|
99.06%
|
|
Nationwide Risk-Based International Equity ETF
|
92.23%
|
|
Nationwide Maximum Diversification U.S. Core Equity ETF
|
96.56%
|
|
Nationwide Maximum Diversification Emerging Markets Core Equity ETF
|
69.03%
|
Nationwide Risk-Based U.S. Equity ETF
|
98.50%
|
|
Nationwide Risk-Based International Equity ETF
|
0.00%
|
|
Nationwide Maximum Diversification U.S. Core Equity ETF
|
95.00%
|
|
Nationwide Maximum Diversification Emerging Markets Core Equity ETF
|
0.35%
|
Nationwide Risk-Based U.S. Equity ETF
|
0.00%
|
|
Nationwide Risk-Based International Equity ETF
|
0.00%
|
|
Nationwide Maximum Diversification U.S. Core Equity ETF
|
0.00%
|
|
Nationwide Maximum Diversification Emerging Markets Core Equity ETF
|
0.00%
|
Portion of Ordinary
|
||||||||||||
Creditable
|
Income Distribution
|
|||||||||||
Foreign Tax
|
Per Share
|
Derived from Foreign
|
||||||||||
Credit Paid
|
Amount
|
Sourced Income
|
||||||||||
Nationwide Risk-Based U.S. Equity ETF
|
$
|
—
|
$
|
—
|
—
|
|||||||
Nationwide Risk-Based International Equity ETF
|
347,454
|
0.0735352
|
100.00
|
%
|
||||||||
Nationwide Maximum Diversification
|
||||||||||||
U.S. Core Equity ETF
|
—
|
—
|
—
|
|||||||||
Nationwide Maximum Diversification
|
||||||||||||
Emerging Markets Core Equity ETF
|
67,186
|
0.0559882
|
100.00
|
%
|
FYE 8/31/2019
|
FYE 8/31/2018
|
|
Audit Fees
|
$14,000
|
$14,000
|
Audit-Related Fees
|
$0
|
$0
|
Tax Fees
|
$ 3,000
|
$ 3,000
|
All Other Fees
|
$0
|
$0
|
FYE 8/31/2019
|
FYE 8/31/2018
|
|
Audit Fees
|
$14,500
|
$14,500
|
Audit-Related Fees
|
$0
|
$0
|
Tax Fees
|
$ 3,000
|
$ 3,000
|
All Other Fees
|
$0
|
$0
|
FYE 8/31/2019
|
FYE 8/31/2018
|
|
Audit Fees
|
$14,000
|
$14,000
|
Audit-Related Fees
|
$0
|
$0
|
Tax Fees
|
$ 3,000
|
$ 3,000
|
All Other Fees
|
$0
|
$0
|
FYE 8/31/2019
|
FYE 8/31/2018
|
|
Audit Fees
|
$14,500
|
$14,500
|
Audit-Related Fees
|
$0
|
$0
|
Tax Fees
|
$ 3,000
|
$ 3,000
|
All Other Fees
|
$0
|
$0
|
FYE 8/31/2019
|
FYE 8/31/2018
|
|
Audit-Related Fees
|
0%
|
0%
|
Tax Fees
|
0%
|
0%
|
All Other Fees
|
0%
|
0%
|
FYE 8/31/2019
|
FYE 8/31/2018
|
|
Audit-Related Fees
|
0%
|
0%
|
Tax Fees
|
0%
|
0%
|
All Other Fees
|
0%
|
0%
|
FYE 8/31/2019
|
FYE 8/31/2018
|
|
Audit-Related Fees
|
0%
|
0%
|
Tax Fees
|
0%
|
0%
|
All Other Fees
|
0%
|
0%
|
FYE 8/31/2019
|
FYE 8/31/2018
|
|
Audit-Related Fees
|
0%
|
0%
|
Tax Fees
|
0%
|
0%
|
All Other Fees
|
0%
|
0%
|
Non-Audit Related Fees
|
FYE 8/31/2019
|
FYE 8/31/2018
|
Registrant
|
N/A
|
N/A
|
Registrant’s Investment Adviser
|
N/A
|
N/A
|
Non-Audit Related Fees
|
FYE 8/31/2019
|
FYE 8/31/2018
|
Registrant
|
N/A
|
N/A
|
Registrant’s Investment Adviser
|
N/A
|
N/A
|
Non-Audit Related Fees
|
FYE 8/31/2019
|
FYE 8/31/2018
|
Registrant
|
N/A
|
N/A
|
Registrant’s Investment Adviser
|
N/A
|
N/A
|
Non-Audit Related Fees
|
FYE 8/31/2019
|
FYE 8/31/2018
|
Registrant
|
N/A
|
N/A
|
Registrant’s Investment Adviser
|
N/A
|
N/A
|
(a)
|
The Registrant’s President (principal executive officer) and Treasurer (principal financial officer) have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of
1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d‑15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have
concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within
the Registrant and by the Registrant’s service provider.
|
(b)
|
There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal half-year of the period covered by this report that has materially
affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting.
|
(a)
|
(1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an
exhibit. Filed herewith.
|
(b)
|
Certifications pursuant to Section 906 of the Sarbanes‑Oxley Act of 2002. Furnished herewith.
|