Natixis Funds Trust II

0001193125-18-337502.txt : 20181129 0001193125-18-337502.hdr.sgml : 20181129 20181129104702 ACCESSION NUMBER: 0001193125-18-337502 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20180930 FILED AS OF DATE: 20181129 DATE AS OF CHANGE: 20181129 EFFECTIVENESS DATE: 20181129 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Natixis Funds Trust II CENTRAL INDEX KEY: 0000052136 IRS NUMBER: 041990692 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-00242 FILM NUMBER: 181207327 BUSINESS ADDRESS: STREET 1: 888 BOYLSTON STREET STREET 2: 8TH FLOOR CITY: BOSTON STATE: MA ZIP: 02199 BUSINESS PHONE: 800-283-1155 MAIL ADDRESS: STREET 1: 888 BOYLSTON STREET STREET 2: 8TH FLOOR CITY: BOSTON STATE: MA ZIP: 02199 FORMER COMPANY: FORMER CONFORMED NAME: IXIS Advisor Funds Trust II DATE OF NAME CHANGE: 20050502 FORMER COMPANY: FORMER CONFORMED NAME: CDC NVEST FUNDS TRUST II DATE OF NAME CHANGE: 20010503 FORMER COMPANY: FORMER CONFORMED NAME: NVEST FUNDS TRUST II DATE OF NAME CHANGE: 20000202

0000052136 S000008033 Natixis Oakmark Fund

C000021802 Class A NEFOX

C000021804 Class C NECOX

C000021805 Class Y NEOYX

C000190720 Class N NOANX

0000052136 S000023548 ASG Global Alternatives Fund

C000069269 Class A GAFAX

C000069270 Class C GAFCX

C000069271 Class Y GAFYX

C000128763 Class N GAFNX

0000052136 S000023783 Vaughan Nelson Value Opportunity Fund

C000069913 Class A VNVAX

C000069914 Class C VNVCX

C000069915 Class Y VNVYX

C000128764 Class N VNVNX

0000052136 S000029564 ASG Managed Futures Strategy Fund

C000090725 Class A AMFAX

C000090726 Class C ASFCX

C000090727 Class Y ASFYX

C000190721 Class N AMFNX

0000052136 S000030600 Loomis Sayles Strategic Alpha Fund

C000094853 Class A LABAX

C000094854 Class C LABCX

C000094855 Class Y LASYX

C000190722 Class N LASNX

0000052136 S000039535 McDonnell Intermediate Municipal Bond Fund

C000121922 Class A MIMAX

C000121923 Class C MIMCX

C000121924 Class Y MIMYX

0000052136 S000042166 ASG Tactical U.S. Market Fund

C000130927 Class A USMAX

C000130928 Class C USMCX

C000130929 Class Y USMYX

0000052136 S000051707 ASG Dynamic Allocation Fund

C000162711 Class A DAAFX

C000162712 Class C DACFX

C000162713 Class Y DAYFX

N-Q 1 d607847dnq.htm NATIXIS FUNDS TRUST II Natixis Funds Trust II

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-00242

Natixis Funds Trust II

(Exact name of registrant as specified in charter)

888 Boylston Street, Suite 800, Boston, Massachusetts 02199-8197

(Address of principal executive offices) (Zip code)

Russell L. Kane, Esq.

Natixis Distribution, L.P.

888 Boylston Street, Suite 800

Boston, Massachusetts 02199-8197

(Name and address of agent for service)

Registrant’s telephone number, including area code: (617) 449-2822

Date of fiscal year end: December 31

Date of reporting period: September 30, 2018

ITEM 1 SCHEDULE OF INVESTMENTS

PORTFOLIO OF INVESTMENTS – as of September 30, 2018 (Unaudited)

ASG Dynamic Allocation Fund


Shares		Description	Value (†)
	Exchange-Traded Funds – 49.4% of Net Assets
	24,662	iShares^® Core U.S. Aggregate Bond ETF	$	2,602,334
	651	iShares^® Edge MSCI Min Vol Emerging Markets ETF		38,604
	14,650	iShares^® JP Morgan USD Emerging Markets Bond ETF		1,579,417
	52,690	SPDR^® Bloomberg Barclays International Treasury Bond ETF		1,442,652
	7,854	Vanguard FTSE All World ex-U.S. Small-Cap ETF		880,905
	25,614	Vanguard FTSE Developed Markets ETF		1,108,318
	2,348	Vanguard FTSE Emerging Markets ETF		96,268
	19,578	Vanguard FTSE Europe ETF		1,100,675
	15,966	Vanguard FTSE Pacific ETF		1,135,183
	31,304	Vanguard Intermediate-Term Corporate Bond ETF		2,614,823
	12,700	Vanguard Mid-Cap ETF		2,085,213
	29,245	Vanguard Total International Bond ETF		1,595,022
	14,308	Vanguard Total Stock Market ETF		2,141,192
	17,720	Vanguard Value ETF		1,961,250

		Total Exchange-Traded Funds (Identified Cost $18,810,854)		20,381,856


Principal Amount
	Short-Term Investments – 47.7%
		Certificates of Deposit – 25.5%
$	1,000,000	Norinchukin Bank (NY), 2.050%, 10/02/2018		999,985
	1,000,000	BNP Paribas (NY), 2.310%, 10/04/2018(a)		1,000,024
	750,000	Sumitomo Mitsui Trust Bank (NY), 2.340%, 10/15/2018		750,048
	750,000	Mitsubishi UFJ Trust & Banking Corp. (NY), 2.340%, 10/16/2018		750,063
	500,000	Sumitomo Mitsui Bank (NY), 2.270%, 10/22/2018		500,020
	500,000	DNB Nor Bank ASA (NY), 2.210%, 11/08/2018		499,993
	500,000	Svenska Handelsbanken (NY), 1-month LIBOR + 0.210%, 2.375%, 11/20/2018(a)(b)		500,147
	1,000,000	Credit Industriel et Commercial (NY), 2.300%, 12/20/2018		1,000,027
	500,000	Commonwealth Bank of Australia (NY), 1-month LIBOR + 0.260%, 2.374%, 1/03/2019(a)(b)		500,323
	500,000	Bank of Montreal (IL), 1-month LIBOR + 0.210%, 2.343%, 1/10/2019(b)		500,258
	500,000	Toronto-Dominion Bank (NY), 2.455%, 2/11/2019		499,924
	500,000	Toronto-Dominion Bank (NY), 2.460%, 2/28/2019		499,874
	1,000,000	Banco Del Estado de Chile (NY), 1-month LIBOR + 0.210%, 2.330%, 3/04/2019(b)		1,000,493
	500,000	Dexia Credit Local S.A. (NY), (Credit Support: Belgium, France, Luxembourg), 3-month LIBOR + 0.100%, 2.412%, 5/17/2019(a)(b)		499,967
	500,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.310%, 2.449%, 6/12/2019(a)(b)		500,448


Principal Amount		Description	Value (†)
		Certificates of Deposit – continued
$	500,000	Royal Bank of Canada (NY), 3-month LIBOR + 0.130%, 2.461%, 7/10/2019(a)(b)	$	500,190

				10,501,784

		Time Deposits – 11.6%
	1,000,000	Skandinaviska Enskilda Banken (NY), 2.120%, 10/01/2018(c)		1,000,000
	1,900,000	Canadian Imperial Bank of Commerce, 2.130%, 10/01/2018		1,900,000
	1,900,000	National Bank of Kuwait, 2.160%, 10/01/2018(c)		1,900,000

				4,800,000

		Commercial Paper – 6.1%
	500,000	Swedbank (NY), 2.288%, 10/04/2018(a)(d)		499,821
	1,000,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.174%, 10/09/2018(d)		999,337
	500,000	Santander UK PLC, 2.260%, 10/16/2018(d)		499,458
	500,000	ING (U.S.) Funding LLC, (Credit Support: ING Bank NV), 1-month LIBOR + 0.230%, 2.448%, 11/26/2018(a)(b)		500,181

				2,498,797

		Other Notes – 2.4%
	1,000,000	Bank of America NA, 2.450%, 2/12/2019		999,790

		Treasuries – 2.1%
	600,000	U.S. Treasury Bills, 1.899%, 10/04/2018(d)(e)		599,899
	275,000	U.S. Treasury Bills, 2.030%, 11/01/2018(d)(e)		274,511

				874,410

		Total Short-Term Investments (Identified Cost $19,673,403)		19,674,781

		Total Investments – 97.1% (Identified Cost $38,484,257)		40,056,637
		Other assets less liabilities – 2.9%		1,180,855

		Net Assets – 100.0%	$	41,237,492

(†)

Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

As of September 30, 2018, futures contracts were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the contracts, as follows:


Notional Value	Unrealized Appreciation/ Depreciation*	Unrealized as a Percentage of Net Assets
$9,476,089	$296,511		0.72	%

*	Amounts represent gross unrealized appreciation/(depreciation) at absolute value.

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

(a)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

(b)	Variable rate security. Rate as of September 30, 2018 is disclosed.

(c)	Variable rate security. The interest rate adjusts periodically based on changes in current interest rates. Rate as of September 30, 2018 is disclosed.

(d)	Interest rate represents discount rate at time of purchase; not a coupon rate.

(e)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.


ETF		Exchange-Traded Fund
LIBOR		London Interbank Offered Rate
SPDR		Standard & Poor’s Depositary Receipt

Futures Contracts

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At September 30, 2018, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		12/31/2018		7	$	793,008	$	787,336	$	(5,672	)
10 Year Australia Government Bond		12/17/2018		27		2,532,061		2,514,818		(17,243	)
10 Year U.S. Treasury Note		12/19/2018		7		839,781		831,468		(8,313	)
30 Year U.S. Treasury Bond		12/19/2018		5		717,578		702,500		(15,078	)
ASX SPI 200™		12/20/2018		17		1,892,258		1,902,866		10,608
CAC 40^®		10/19/2018		30		1,860,941		1,912,076		51,135
E-mini Dow		12/21/2018		35		4,583,510		4,633,300		49,790
E-mini NASDAQ 100		12/21/2018		30		4,524,727		4,593,150		68,423
E-mini Russell 2000		12/21/2018		53		4,567,095		4,507,120		(59,975	)
E-mini S&P 500^®		12/21/2018		31		4,485,575		4,524,450		38,875
EURO STOXX 50^®		12/21/2018		48		1,852,479		1,887,589		35,110
FTSE 100 Index		12/21/2018		19		1,798,464		1,854,002		55,538
German Euro Bund		12/06/2018		13		2,412,338		2,396,722		(15,616	)
MSCI EAFE Index		12/21/2018		19		1,853,925		1,876,725		22,800
TOPIX		12/13/2018		12		1,775,436		1,919,556		144,120
UK Long Gilt		12/27/2018		15		2,391,883		2,364,499		(27,384	)

Total									$	327,118

At September 30, 2018, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
U.S. Dollar Index		12/17/2018		106	$	10,039,700	$	10,042,122	$	(2,422	)

Fair Value Measurements.

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

•

Level 1 — quoted prices in active markets for identical assets or liabilities;

•

Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

•

Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2018, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Exchange-Traded Funds	$	20,381,856	$	—	$	—	$	20,381,856
Short-Term Investments*		—		19,674,781		—		19,674,781

Total Investments		20,381,856		19,674,781		—		40,056,637

Futures Contracts (unrealized appreciation)		179,888		296,511		—		476,399

Total	$	20,561,744	$	19,971,292	$	—	$	40,533,036

Liability Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(151,703)	$	—	$	—	$	(151,703	)

*	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended September 30, 2018, there were no transfers among Levels 1, 2 and 3.

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include futures contracts.

The Fund tactically allocates its investments across a range of asset classes and global markets. The Fund will typically use a variety of derivative instruments, in particular long positions in futures and forward contracts, to achieve exposures to global equity and fixed income securities. The Fund may also hold short positions in derivatives for hedging purposes. During the period ended September 30, 2018, the Fund used long contracts on U.S. and foreign equity market indices and U.S. and foreign government bonds and short contracts on the U.S. dollar index to gain investment exposures in accordance with its objectives.

The following is a summary of derivative instruments for the Fund, as of September 30, 2018:


Assets	Unrealized appreciation on futures contracts
Exchange-traded assets derivatives Equity contracts	$	476,399

Liabilities	Unrealized depreciation on futures contracts
Exchange-traded liability derivatives
Interest rate contracts	$	(89,306	)
Foreign exchange contracts		(2,422	)
Equity contracts		(59,975	)

Total exchange-traded liability derivatives	$	(151,703	)

The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2018:


	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Exchange-traded counterparty credit risk
Futures contracts	$	476,399	$	476,399
Margin with brokers		1,794,454		1,794,454

Total exchange-traded counterparty credit risk	$	2,270,853	$	2,270,853

Investment Summary at September 30, 2018 (Unaudited)


Exchange-Traded Funds	49.4	%
Certificates of Deposit	25.5
Time Deposits	11.6
Commercial Paper	6.1
Other Notes	2.4
Treasuries	2.1

Total Investments	97.1
Other assets less liabilities (including futures contracts)	2.9

Net Assets	100.0	%

Consolidated Portfolio of Investments – as of September 30, 2018 (Unaudited)

ASG Global Alternatives Fund


Shares		Description	Value (†)
	Common Stocks – 7.7% of Net Assets
		Aerospace & Defense – 0.3%
	30,225	AAR Corp.	$	1,447,476
	48,462	Arconic, Inc.		1,066,649
	15,750	United Technologies Corp.		2,202,007

				4,716,132

		Airlines – 0.1%
	14,554	United Continental Holdings, Inc.(a)		1,296,179

		Banks – 0.4%
	177,240	Investors Bancorp, Inc.		2,174,735
	58,232	Bank of America Corp.		1,715,515
	27,341	Citigroup, Inc.		1,961,443

				5,851,693

		Building Products – 0.1%
	26,852	Armstrong World Industries, Inc.(a)		1,868,899

		Capital Markets – 0.4%
	35,846	Morgan Stanley		1,669,348
	36,405	Bank of New York Mellon Corp. (The)		1,856,291
	29,349	Intercontinental Exchange, Inc.		2,197,947

			5,723,586

		Chemicals – 0.3%
	25,221	DowDuPont, Inc.		1,621,962
	102,178	Platform Specialty Products Corp.(a)		1,274,160
	47,936	Rayonier Advanced Materials, Inc.		883,460

			3,779,582

		Communications Equipment – 0.1%
	36,429	CommScope Holding Co., Inc.(a)		1,120,556

		Diversified Telecommunication Services – 0.1%
	52,704	Zayo Group Holdings, Inc.(a)		1,829,883

		Electronic Equipment, Instruments & Components – 0.1%
	21,039	Itron, Inc.(a)		1,350,704

		Entertainment – 0.2%
	48,290	Lions Gate Entertainment Corp.		1,177,793
	35,736	IMAX Corp.(a)		921,989
	3,263	Netflix, Inc.(a)		1,220,786

			3,320,568

		Food & Staples Retailing – 0.1%
	27,462	Sysco Corp.		2,011,592

		Food Products – 0.2%
	51,901	Mondelez International, Inc., Class A		2,229,667


Shares		Description	Value (†)
	Common Stocks – continued
		Health Care Equipment & Supplies – 0.3%
	30,134	Baxter International, Inc.	$	2,323,030
	14,787	Zimmer Biomet Holdings, Inc.		1,944,047

			4,267,077

		Health Care Providers & Services – 0.1%
	28,153	MEDNAX, Inc.(a)		1,313,619

		Hotels, Restaurants & Leisure – 0.4%
	1,662	Chipotle Mexican Grill, Inc.(a)		755,412
	46,115	MGM Resorts International		1,287,069
	92,891	Wendy’s Co. (The)		1,592,152
	17,848	Jack in the Box, Inc.		1,496,198

				5,130,831

		Household Durables – 0.1%
	37,677	Newell Brands, Inc.		764,843

		Household Products – 0.2%
	31,923	Procter & Gamble Co. (The)		2,656,951

		Industrial Conglomerates – 0.1%
	103,440	General Electric Co.		1,167,838

		Interactive Media & Services – 0.4%
	45,676	Cars.com, Inc.(a)		1,261,114
	6,960	Facebook, Inc., Class A(a)		1,144,641
	6,190	IAC/InterActiveCorp(a)		1,341,497
	1,446	Alphabet, Inc., Class A(a)		1,745,438

				5,492,690

		IT Services – 0.9%
	21,550	DXC Technology Co.		2,015,356
	51,958	First Data Corp., Class A(a)		1,271,412
	6,475	Alliance Data Systems Corp.		1,529,136
	15,679	Automatic Data Processing, Inc.		2,362,198
	18,934	Worldpay, Inc., Class A(a)		1,917,446
	8,171	FleetCor Technologies, Inc.(a)		1,861,681
	17,054	PayPal Holdings, Inc.(a)		1,498,024

				12,455,253

		Machinery – 0.3%
	18,300	Astec Industries, Inc.		922,503
	31,414	Terex Corp.		1,253,733
	44,231	Trinity Industries, Inc.		1,620,624

				3,796,860

		Media – 0.1%
	11,217	Loral Space & Communications, Inc.(a)		509,252
	21,380	AMC Networks, Inc., Class A(a)		1,418,349

				1,927,601


Shares		Description	Value (†)
	Common Stocks – continued
		Oil, Gas & Consumable Fuels – 0.4%
	28,607	CVR Energy, Inc.	$	1,150,574
	24,213	Cheniere Energy, Inc.(a)		1,682,561
	18,753	Hess Corp.		1,342,340
	35,513	Peabody Energy Corp.		1,265,683

				5,441,158

		Real Estate Management & Development – 0.3%
	45,891	CBRE Group, Inc., Class A(a)		2,023,793
	16,926	Howard Hughes Corp. (The)(a)		2,102,548

				4,126,341

		Semiconductors & Semiconductor Equipment – 0.2%
	20,029	Xilinx, Inc.		1,605,725
	61,301	ON Semiconductor Corp.(a)		1,129,777

				2,735,502

		Software – 0.8%
	22,102	Citrix Systems, Inc.(a)		2,456,858
	16,906	Microsoft Corp.		1,933,539
	45,342	Open Text Corp.		1,724,810
	7,819	ServiceNow, Inc.(a)		1,529,631
	12,686	salesforce.com, inc.(a)		2,017,454
	8,961	Autodesk, Inc.(a)		1,398,902

				11,061,194

		Specialty Retail – 0.3%
	15,470	Lowe’s Cos., Inc.		1,776,265
	6,896	Advance Auto Parts, Inc.		1,160,804
	9,850	Tiffany & Co.		1,270,355

				4,207,424

		Trading Companies & Distributors – 0.3%
	42,285	HD Supply Holdings, Inc.(a)		1,809,375
	45,914	Univar, Inc.(a)		1,407,723
	22,574	WESCO International, Inc.(a)		1,387,173

				4,604,271

		Wireless Telecommunication Services – 0.1%
	23,885	T-Mobile US, Inc.(a)		1,676,249

		Total Common Stocks (Identified Cost $100,838,514)		107,924,743

	Exchange-Traded Funds – 3.9%
	634,655	iShares^® iBoxx $ High Yield Corporate Bond ETF (Identified Cost $54,816,167)		54,859,578

	Closed-End Investment Companies – 0.1%
	22,261	Altaba, Inc.(a) (Identified Cost $1,562,206)		1,516,419


Principal Amount		Description	Value (†)
	Short-Term Investments – 86.4%
		Certificates of Deposit – 57.4%
$	50,000,000	Norinchukin Bank (NY), 2.050%, 10/02/2018	$	49,999,247
	10,000,000	DNB Nor Bank ASA (NY), 2.090%, 10/02/2018		9,999,925
	25,000,000	Banco Del Estado de Chile (NY), 2.130%, 10/03/2018		24,999,801
	50,000,000	BNP Paribas (NY), 2.310%, 10/04/2018(b)		50,001,218
	30,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 2.260%, 10/09/2018		30,000,387
	45,000,000	Landesbank Hessen (NY), 2.280%, 10/10/2018		45,001,355
	60,000,000	Sumitomo Mitsui Trust Bank (NY), 2.340%, 10/15/2018		60,003,880
	10,000,000	Landesbank Hessen (NY), 2.280%, 10/16/2018		10,000,438
	60,000,000	Mitsubishi UFJ Trust & Banking Corp. (NY), 2.340%, 10/16/2018		60,005,073
	25,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 2.250%, 10/18/2018		25,000,182
	15,000,000	Sumitomo Mitsui Bank (NY), 2.270%, 10/22/2018		15,000,601
	50,000,000	DNB Nor Bank ASA (NY), 2.210%, 11/08/2018		49,999,330
	30,000,000	Svenska Handelsbanken (NY), 1-month LIBOR + 0.210%, 2.375%, 11/20/2018(b)(c)		30,008,820
	55,000,000	Credit Industriel et Commercial (NY), 2.300%, 12/20/2018		55,001,492
	50,000,000	Mizuho Bank Ltd. (NY), 2.350%, 12/27/2018		49,999,981
	20,000,000	Commonwealth Bank of Australia (NY), 1-month LIBOR + 0.260%, 2.374%, 1/03/2019(b)(c)		20,012,900
	40,000,000	Bank of Montreal (IL), 1-month LIBOR + 0.210%, 2.343%, 1/10/2019(c)		40,020,640
	45,000,000	Toronto-Dominion Bank (NY), 2.455%, 2/11/2019		44,993,154
	10,000,000	Toronto-Dominion Bank (NY), 2.460%, 2/28/2019		9,997,470
	25,000,000	Banco Del Estado de Chile (NY), 1-month LIBOR + 0.210%, 2.330%, 3/04/2019(c)		25,012,325
	50,000,000	Dexia Credit Local S.A. (NY), (Credit Support: Belgium, France, Luxembourg), 3-month LIBOR + 0.100%, 2.412%, 5/17/2019(b)(c)		49,996,651
	25,000,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.310%, 2.449%, 6/12/2019(b)(c)		25,022,400
	25,000,000	Royal Bank of Canada (NY), 3-month LIBOR + 0.130%, 2.461%, 7/10/2019(c)		25,009,490

				805,086,760

		Commercial Paper – 14.9%
	43,200,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.174%, 10/02/2018(d)		43,189,752
	50,000,000	Swedbank (NY), 2.288%, 10/04/2018(b)(d)		49,982,084


Principal Amount		Description	Value (†)
		Commercial Paper – continued
$	10,000,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.174%, 10/09/2018(d)	$	9,993,369
	55,000,000	Santander UK PLC, 2.260%, 10/16/2018(d)		54,940,325
	50,000,000	ING (U.S.) Funding LLC, (Credit Support: ING Bank NV), 1-month LIBOR + 0.230%, 2.448%, 11/26/2018(b)(c)		50,018,150

				208,123,680

		Time Deposits – 10.8%
	22,000,000	Skandinaviska Enskilda Banken (NY), 2.120%, 10/01/2018(e)		22,000,000
	63,950,000	Canadian Imperial Bank of Commerce, 2.130%, 10/01/2018		63,950,000
	66,000,000	National Bank of Kuwait, 2.160%, 10/01/2018(e)		66,000,000

				151,950,000

		Treasuries – 3.3%
	19,250,000	U.S. Treasury Bills, 1.900%-1.935%, 10/04/2018(d)(f)(g)		19,246,754
	14,500,000	U.S. Treasury Bills, 1.979%, 11/01/2018(d)(f)		14,474,247
	12,250,000	U.S. Treasury Bills, 2.096%, 12/06/2018(d)(f)		12,202,220

				45,923,221

		Total Short-Term Investments (Identified Cost $1,211,008,014)		1,211,083,661

		Total Investments – 98.1% (Identified Cost $1,368,224,901)		1,375,384,401
		Other assets less liabilities – 1.9%		26,403,797

		Net Assets – 100.0%	$	1,401,788,198

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2018, the value of the Fund’s investment in the Subsidiary was $23,039,908, representing 1.64% of the Fund’s net assets.

(†)

Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

Futures contracts are valued at the most recent settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.


Notional Value	Unrealized Appreciation/ Depreciation*		Unrealized as a Percentage of Net Assets
$206,212,765	$	8,494,802		0.60	%

*	Amounts represent gross unrealized appreciation/(depreciation) at absolute value.

(a)	Non-income producing security.

(b)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

(c)	Variable rate security. Rate as of September 30, 2018 is disclosed.

(d)	Interest rate represents discount rate at time of purchase; not a coupon rate.

(e)	Variable rate security. The interest rate adjusts periodically based on changes in current interest rates. Rate as of September 30, 2018 is disclosed.

(f)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

(g)	The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.


ETF		Exchange-Traded Fund
LIBOR		London Interbank Offered Rate
CHF		Swiss Franc
NOK		Norwegian Krone
NZD		New Zealand Dollar
SEK		Swedish Krona

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. When the Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Fund may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts.At September 30, 2018, the Fund had the following open forward foreign currency contracts:


Counterparty	Delivery Date		Currency Bought/ Sold (B/S)		Units of Currency			In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
UBS AG		12/19/2018		CHF		B	12,500,000	$	12,995,250	$	12,831,598	$	(163,652	)
UBS AG		12/19/2018		NOK		S	258,000,000		31,385,674		31,806,441		(420,767	)
UBS AG		12/19/2018		NZD		S	12,400,000		8,114,399		8,223,084		(108,685	)
UBS AG		12/19/2018		SEK		B	64,000,000		7,128,737		7,250,489		121,752
UBS AG		12/19/2018		SEK		S	26,000,000		2,887,469		2,945,511		(58,042	)

Total												$	(629,394	)

Futures Contracts

The Fund and the Subsidiary may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.

When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund or the Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s or the Subsidiary’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At September 30, 2018, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
2 Year U.S. Treasury Note		12/31/2018		1,816	$	383,807,295	$	382,693,627	$	(1,113,668	)
10 Year Australia Government Bond		12/17/2018		1,315		122,673,146		122,480,957		(192,189	)
Australian Dollar		12/17/2018		620		44,188,000		44,807,400		619,400
British Pound		12/17/2018		49		4,006,975		4,007,588		613
DAX		12/21/2018		169		59,282,279		60,049,922		767,643
E-mini Russell 2000		12/21/2018		499		43,011,340		42,434,960		(576,380	)


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500^®		12/21/2018		922	$	133,388,045	$	134,565,900	$	1,177,855
EURO STOXX 50^®		12/21/2018		531		20,493,052		20,881,458		388,406
Euro-BTP		12/06/2018		123		17,891,613		17,685,492		(206,121	)
FTSE 100 Index		12/21/2018		328		31,047,308		32,005,933		958,625
German Euro Bund		12/06/2018		1,412		261,933,602		260,320,845		(1,612,757	)
Hang Seng Index^®		10/30/2018		54		9,515,109		9,614,785		99,676
MSCI Emerging Markets Index		12/21/2018		581		29,472,680		30,493,785		1,021,105
TOPIX		12/13/2018		523		77,380,215		83,660,667		6,280,452
UK Long Gilt		12/27/2018		1,121		177,178,973		176,706,855		(472,118	)

Total									$	7,140,542


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		12/17/2018		92	$	4,775,029	$	4,773,650	$	(1,379	)
Brent Crude Oil		10/31/2018		381		29,416,270		31,520,130		2,103,860
Low Sulfur Gasoil		11/12/2018		118		8,068,475		8,546,150		477,675
Natural Gas		10/29/2018		182		5,079,620		5,474,560		394,940
Nickel LME		12/17/2018		105		8,593,200		7,932,960		(660,240	)
Soybean Meal		12/14/2018		132		4,407,400		4,078,800		(328,600	)
Wheat		12/14/2018		48		1,399,812		1,221,600		(178,212	)
WTI Crude Oil		10/22/2018		1,251		86,132,110		91,635,750		5,503,640
Zinc LME		12/17/2018		115		7,299,625		7,538,250		238,625

Total									$	7,550,309

At September 30, 2018, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year Canada Government Bond		12/18/2018		557	$	57,682,561	$	57,189,904	$	492,657
10 Year U.S. Treasury Note		12/19/2018		4,260		509,971,000		506,008,125		3,962,875
30 Year U.S. Treasury Bond		12/19/2018		478		68,947,719		67,159,000		1,788,719
Canadian Dollar		12/18/2018		307		23,498,095		23,794,035		(295,940	)
Euro		12/17/2018		1,669		243,932,187		243,715,725		216,462
Euro-OAT		12/06/2018		238		41,610,040		41,739,648		(129,608	)
Eurodollar		12/17/2018		2,235		544,054,875		543,887,250		167,625
Japanese Yen		12/17/2018		501		56,470,437		55,448,175		1,022,262

Total									$	7,225,052


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		12/17/2018		62	$	3,272,282	$	3,217,025	$	55,257
Copper LME		12/17/2018		152		23,192,125		23,797,500		(605,375	)
Corn		12/14/2018		534		10,848,825		9,511,875		1,336,950
Gold		12/27/2018		403		48,795,790		48,206,860		588,930
New York Harbor ULSD		10/31/2018		51		4,853,684		5,030,487		(176,803	)
Nickel LME		12/17/2018		20		1,554,120		1,511,040		43,080
Soybean		11/14/2018		37		1,622,450		1,564,175		58,275


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Soybean Oil		12/14/2018		647	$	11,450,208	$	11,253,918	$	196,290

Total									$	1,496,604

¹	Commodity futures are held by ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary.

Fair Value Measurements.

•

Level 1 — quoted prices in active markets for identical assets or liabilities;

•

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2018, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	107,924,743	$	—	$	—	$	107,924,743
Exchange-Traded Funds		54,859,578		—		—		54,859,578
Closed-End Investment Companies		1,516,419		—		—		1,516,419
Short-Term Investments*		—		1,211,083,661		—		1,211,083,661

Total Investments		164,300,740		1,211,083,661		—		1,375,384,401

Forward Foreign Currency Contracts (unrealized appreciation)		—		121,752		—		121,752
Futures Contracts (unrealized appreciation)		21,467,095		8,494,802		—		29,961,897

Total	$	185,767,835	$	1,219,700,215	$	—	$	1,405,468,050

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(751,146	)	$	—	$	(751,146	)
Futures Contracts (unrealized depreciation)		(6,549,390	)		—			—		(6,549,390	)

Total	$	(6,549,390	)	$	(751,146	)	$	—	$	(7,300,536	)

*	Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments.

For the period ended September 30, 2018, there were no transfers among Levels 1, 2 and 3.

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of and underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.

The Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the period ended September 30, 2018, the Fund used long contracts on U.S. and foreign equity market indices, long and short contracts on U.S. and foreign government bonds, foreign currencies, commodities (through investments in the Subsidiary), and short contracts on short-term interest rates in accordance with these objectives.

The following is a summary of derivative instruments for the Fund, as of September 30, 2018:


Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	121,752	$	—

Exchange-traded asset derivatives
Interest rate contracts	$	—	$	6,411,876
Foreign exchange contracts		—		1,858,737
Commodity contracts		—		10,997,522
Equity contracts		—		10,693,762

Total exchange-traded asset derivatives	$	—	$	29,961,897

Total asset derivatives	$	121,752	$	29,961,897


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(751,146	)	$	—

Exchange-traded liability derivatives
Interest rate contracts	$	—		$	(3,726,461	)
Foreign exchange contracts		—			(295,940	)
Commodity contracts		—			(1,950,609	)
Equity contracts		—			(576,380	)

Total exchange-traded liability derivatives	$	—		$	(6,549,390	)

Total liability derivatives	$	(751,146	)	$	(6,549,390	)

Over-the-counter (“OTC”) derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of September 30, 2018, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Counterparty	Derivatives			Collateral Pledged
UBS AG	$	(629,394	)	$	3,181,372


	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	121,752	$	—
Collateral pledged to UBS AG		3,181,372		3,181,372

Total over-the-counter counterparty credit risk		3,303,124		3,181,372

Exchange-traded counterparty credit risk
Futures contracts		29,961,897		29,961,897
Margin with brokers		54,678,270		54,678,270

Total exchange-traded counterparty credit risk		84,640,167		84,640,167

Total counterparty credit risk	$	87,943,291	$	87,821,539

Investment Summary at September 30, 2018 (Unaudited)


Certificates of Deposit	57.4	%
Commercial Paper	14.9
Time Deposits	10.8
Common Stocks	7.7
Exchange-Traded Funds	3.9
Treasuries	3.3
Closed-End Investment Companies	0.1

Total Investments	98.1
Other assets less liabilities (including forward foreign currency and futures contracts)	1.9

Net Assets	100.0	%

Consolidated Portfolio of Investments – as of September 30, 2018 (Unaudited)

ASG Managed Futures Strategy Fund


Principal Amount		Description	Value (†)
	Short-Term Investments – 88.2% of Net Assets
		Certificates of Deposit – 57.0%
$	15,100,000	Norinchukin Bank (NY), 2.050%, 10/02/2018	$	15,099,773
	25,000,000	DNB Nor Bank ASA (NY), 2.090%, 10/02/2018		24,999,813
	50,000,000	Banco Del Estado de Chile (NY), 2.130%, 10/03/2018		49,999,603
	100,000,000	BNP Paribas (NY), 2.310%, 10/04/2018(a)		100,002,435
	35,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 2.260%, 10/09/2018		35,000,451
	50,000,000	Landesbank Hessen (NY), 2.280%, 10/10/2018		50,001,506
	125,000,000	Sumitomo Mitsui Trust Bank (NY), 2.340%, 10/15/2018		125,008,082
	50,000,000	Landesbank Hessen (NY), 2.280%, 10/16/2018		50,002,192
	120,000,000	Mitsubishi UFJ Trust & Banking Corp. (NY), 2.340%, 10/16/2018		120,010,146
	45,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 2.250%, 10/18/2018		45,000,328
	65,000,000	Sumitomo Mitsui Bank (NY), 2.270%, 10/22/2018		65,002,603
	40,000,000	Mizuho Bank Ltd. (NY), 2.260%, 10/23/2018		40,002,605
	100,000,000	DNB Nor Bank ASA (NY), 2.210%, 11/08/2018		99,998,660
	100,000,000	Svenska Handelsbanken (NY), 1-month LIBOR + 0.210%, 2.375%, 11/20/2018(a)(b)		100,029,400
	75,000,000	Credit Industriel et Commercial (NY), 2.300%, 12/20/2018		75,002,035
	50,000,000	Mizuho Bank Ltd. (NY), 2.350%, 12/27/2018		49,999,981
	60,000,000	Commonwealth Bank of Australia (NY), 1-month LIBOR + 0.260%, 2.374%, 1/03/2019(a)(b)		60,038,700
	45,000,000	Bank of Montreal (IL), 1-month LIBOR + 0.210%, 2.343%, 1/10/2019(b)		45,023,220
	90,000,000	Toronto-Dominion Bank (NY), 2.455%, 2/11/2019		89,986,307
	50,000,000	Swedbank (NY), 1-month LIBOR + 0.200%, 2.339%, 2/12/2019(b)		50,026,650
	30,000,000	Toronto-Dominion Bank (NY), 2.460%, 2/28/2019		29,992,411
	75,000,000	Banco Del Estado de Chile (NY), 1-month LIBOR + 0.210%, 2.330%, 3/04/2019(b)		75,036,975
	36,000,000	Royal Bank of Canada (NY), 3-month LIBOR + 0.250%, 2.631%, 3/27/2019(a)(b)		36,034,838
	100,000,000	Dexia Credit Local S.A. (NY), (Credit Support: Belgium, France, Luxembourg), 3-month LIBOR + 0.100%, 2.412%, 5/17/2019(a)(b)		99,993,302
	35,000,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.310%, 2.449%, 6/12/2019(a)(b)		35,031,360


Principal Amount		Description	Value (†)
		Certificates of Deposit – continued
$	50,000,000	Royal Bank of Canada (NY), 3-month LIBOR + 0.130%, 2.461%, 7/10/2019(b)	$	50,018,980

				1,616,342,356

		Time Deposits – 11.4%
	55,600,000	Skandinaviska Enskilda Banken (NY), 2.120%, 10/01/2018(c)		55,600,000
	134,000,000	Canadian Imperial Bank of Commerce, 2.130%, 10/01/2018		134,000,000
	134,000,000	National Bank of Kuwait, 2.160%, 10/01/2018(c)		134,000,000

				323,600,000

		Commercial Paper – 11.4%
	4,700,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.174%, 10/02/2018(d)		4,698,885
	38,600,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.174%, 10/04/2018(d)		38,586,201
	50,000,000	Swedbank (NY), 2.288%, 10/04/2018(a)(d)		49,982,084
	27,000,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.174%, 10/09/2018(d)		26,982,097
	25,700,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.174%, 10/11/2018(d)		25,679,768
	76,000,000	Santander UK PLC, 2.260%, 10/16/2018(d)		75,917,540
	100,000,000	ING (U.S.) Funding LLC, (Credit Support: ING Bank NV), 1-month LIBOR + 0.230%, 2.448%, 11/26/2018(a)(b)		100,036,300

				321,882,875

		Treasuries – 7.0%
	55,000,000	U.S. Treasury Bills, 1.935% - 1.950%, 10/04/2018(d)(e)(f)		54,990,724
	39,750,000	U.S. Treasury Bills, 1.963% - 1.979%, 11/01/2018(d)(e)(f)		39,679,403
	40,500,000	U.S. Treasury Bills, 2.019%, 12/06/2018(d)(e)		40,342,033
	32,000,000	U.S. Treasury Bills, 2.131%, 1/03/2019(d)(e)		31,816,387
	32,000,000	U.S. Treasury Bills, 2.191%, 2/07/2019(d)(e)		31,741,713

				198,570,260

		Other Notes – 1.4%
	40,000,000	Bank of America NA, 2.450%, 2/12/2019		39,991,622

		Total Short-Term Investments (Identified Cost $2,500,181,074)		2,500,387,113

		Total Investments – 88.2%
		(Identified Cost $2,500,181,074)		2,500,387,113
		Other assets less liabilities – 11.8%		333,263,994

		Net Assets – 100.0%	$	2,833,651,107

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2018, the value of the Fund’s investment in the Subsidiary was $170,130,073, representing 6.00% of the Fund’s net assets.

(†)

Broker-dealer bid prices may be used to value debt securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

Futures contracts are valued at the most recent settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.


Notional Value	Unrealized Appreciation/ Depreciation*		Unrealized as a Percentage of Net Assets
$1,715,773,472	$	34,928,357		1.23	%

*	Amounts represent gross unrealized appreciation/(depreciation) at absolute value.

(a)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

(b)	Variable rate security. Rate as of September 30, 2018 is disclosed.

(c)	Variable rate security. The interest rate adjusts periodically based on changes in current interest rates. Rate as of September 30, 2018 is disclosed.

(d)	Interest rate represents discount rate at time of purchase; not a coupon rate.

(e)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

(f)	The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.


LIBOR		London Interbank Offered Rate
CHF		Swiss Franc
MXN		Mexican Peso
NOK		Norwegian Krone
NZD		New Zealand Dollar
PLN		Polish Zloty
SGD		Singapore Dollar
SEK		Swedish Krona
TRY		Turkish Lira
ZAR		South African Rand

Forward Foreign Currency Contracts


Counterparty	Delivery Date	Currency Bought/ Sold (B/S)	Units of Currency			In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
UBS AG	12/19/2018	CHF		B	162,375,000	$	170,405,225	$	166,682,451	$	(3,722,774	)
UBS AG	12/19/2018	CHF		S	124,750,000		129,137,485		128,059,343		1,078,142
UBS AG	12/19/2018	MXN		B	6,409,500,000		330,759,648		338,391,118		7,631,470
UBS AG	12/19/2018	MXN		S	167,500,000		8,685,803		8,843,204		(157,401	)
UBS AG	12/19/2018	NOK		B	1,302,000,000		158,172,928		160,511,573		2,338,645
UBS AG	12/19/2018	NOK		B	1,248,000,000		154,093,407		153,854,410		(238,997	)
UBS AG	12/19/2018	NOK		S	4,188,000,000		502,433,226		516,299,897		(13,866,671	)
UBS AG	12/19/2018	NZD		B	243,000,000		162,180,997		161,145,913		(1,035,084	)
UBS AG	12/19/2018	NZD		S	716,500,000		466,666,959		475,148,341		(8,481,382	)
UBS AG	12/19/2018	PLN		B	558,500,000		153,278,040		151,782,665		(1,495,375	)
UBS AG	12/19/2018	PLN		S	454,500,000		122,539,636		123,518,749		(979,113	)
UBS AG	12/19/2018	SEK		B	146,000,000		16,400,720		16,540,178		139,458
UBS AG	12/19/2018	SEK		B	1,550,000,000		177,304,064		175,597,784		(1,706,280	)
UBS AG	12/19/2018	SEK		S	4,352,000,000		483,317,871		493,033,262		(9,715,391	)
UBS AG	12/19/2018	SGD		B	435,250,000		319,377,608		318,923,503		(454,105	)
UBS AG	12/19/2018	SGD		S	702,875,000		511,089,093		515,022,072		(3,932,979	)
UBS AG	12/19/2018	TRY		B	76,800,000		11,816,688		12,101,012		284,324
UBS AG	12/19/2018	TRY		B	9,900,000		1,570,796		1,559,896		(10,900	)
UBS AG	12/19/2018	TRY		S	276,300,000		40,148,084		43,535,282		(3,387,198	)
UBS AG	12/19/2018	ZAR		B	1,943,500,000		134,679,098		136,025,362		1,346,264
UBS AG	12/19/2018	ZAR		B	183,000,000		12,840,204		12,808,151		(32,053	)
UBS AG	12/19/2018	ZAR		S	3,016,000,000		196,549,357		211,089,525		(14,540,168	)

Total										$	(50,937,568	)

Futures Contracts

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At September 30, 2018, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year Australia Government Bond		12/17/2018		1,201	$	112,703,624	$	111,862,836	$	(840,788	)
3 Year Australia Government Bond		12/17/2018		4,162		335,442,164		334,745,004		(697,160	)
AEX-Index^®		10/19/2018		1,095		138,754,228		139,708,681		954,453
ASX SPI 200™		12/20/2018		1,969		219,173,721		220,396,693		1,222,972
CAC 40^®		10/19/2018		2,713		169,722,310		172,915,404		3,193,094
E-mini Dow		12/21/2018		2,087		273,220,260		276,277,060		3,056,800
E-mini NASDAQ 100		12/21/2018		1,549		233,648,082		237,159,645		3,511,563
E-mini Russell 2000		12/21/2018		2,243		193,257,333		190,744,720		(2,512,613	)
E-mini S&P 500^®		12/21/2018		1,889		273,424,865		275,699,550		2,274,685
E-mini S&P MidCap 400^®		12/21/2018		1,121		229,422,470		227,024,920		(2,397,550	)
Euribor		3/18/2019		4,548		1,323,744,701		1,323,810,707		66,006
Euro-Buxl^® 30 Year Bond		12/06/2018		1,256		256,112,617		254,207,264		(1,905,353	)
Euro-OAT		12/06/2018		3,303		584,015,598		579,269,154		(4,746,444	)
FTSE 100 Index		12/21/2018		1,293		123,736,803		126,169,730		2,432,927
German Euro BOBL		12/06/2018		1,896		289,169,559		287,716,667		(1,452,892	)
German Euro Bund		12/06/2018		2,418		448,709,945		445,790,228		(2,919,717	)
Hang Seng Index^®		10/30/2018		112		19,918,636		19,941,776		23,140
MSCI EAFE Index		12/21/2018		842		84,047,090		83,168,550		(878,540	)
MSCI Singapore		10/30/2018		434		11,726,166		11,754,398		28,232
MSCI Taiwan Index		10/30/2018		3,071		125,922,590		126,095,260		172,670
Nikkei 225™		12/13/2018		1,321		265,946,400		280,430,558		14,484,158
OMXS30^®		10/19/2018		10,446		191,150,189		195,111,731		3,961,542
S&P/TSX 60 Index		12/20/2018		1,417		207,698,599		208,504,641		806,042
Short-Term Euro-BTP		12/06/2018		541		69,010,239		68,623,017		(387,222	)
Sterling		3/20/2019		11,779		1,900,907,851		1,900,670,730		(237,121	)
TOPIX		12/13/2018		1,520		236,450,009		243,143,813		6,693,804
UK Long Gilt		12/27/2018		937		149,421,343		147,702,340		(1,719,003	)

Total									$	22,187,685

Long Futures Contracts – continued


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		12/17/2018		557	$	29,951,376	$	28,901,338	$	(1,050,038	)
Brent Crude Oil		10/31/2018		1,133		86,221,930		93,733,090		7,511,160
Cocoa		12/13/2018		143		3,334,160		2,941,510		(392,650	)
Copper LME		12/17/2018		316		49,182,567		49,473,750		291,183
Cotton		12/06/2018		648		28,903,625		24,743,880		(4,159,745	)
Gasoline		10/31/2018		1,100		91,058,096		96,359,340		5,301,244
Low Sulfur Gasoil		11/12/2018		1,347		92,097,625		97,556,475		5,458,850
New York Harbor ULSD		10/31/2018		982		92,952,426		96,861,534		3,909,108
Nickel LME		12/17/2018		340		27,252,216		25,687,680		(1,564,536	)
Wheat		12/14/2018		128		3,320,325		3,257,600		(62,725	)
WTI Crude Oil		10/22/2018		1,311		90,567,900		96,030,750		5,462,850
Zinc LME		12/17/2018		95		5,965,600		6,227,250		261,650

Total									$	20,966,351

At September 30, 2018, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year Canada Government Bond		12/18/2018		7,218	$	741,710,550	$	741,107,235	$	603,315
10 Year U.S. Treasury Note		12/19/2018		6,529		776,946,500		775,522,781		1,423,719
2 Year U.S. Treasury Note		12/31/2018		9,541		2,016,576,637		2,010,616,681		5,959,956
30 Year U.S. Treasury Bond		12/19/2018		2,426		344,318,695		340,853,000		3,465,695
5 Year U.S. Treasury Note		12/31/2018		11,483		1,294,632,481		1,291,568,373		3,064,108
Australian Dollar		12/17/2018		4,294		305,471,150		310,327,380		(4,856,230	)
British Pound		12/17/2018		2,347		191,925,925		191,955,263		(29,338	)
Canadian Dollar		12/18/2018		3,548		270,126,980		274,987,740		(4,860,760	)
DAX		12/21/2018		134		46,969,716		47,613,548		(643,832	)
Euro		12/17/2018		1,940		283,715,275		283,288,500		426,775
Euro Schatz		12/06/2018		7,745		1,004,924,334		1,005,118,346		(194,012	)
EURO STOXX 50^®		12/21/2018		635		24,639,465		24,971,235		(331,770	)
Euro-BTP		12/06/2018		417		59,778,472		59,958,133		(179,661	)
Eurodollar		12/17/2018		21,414		5,210,987,500		5,211,096,900		(109,400	)
FTSE MIB		12/21/2018		106		12,907,108		12,726,193		180,915
FTSE/JSE Top 40 Index		12/20/2018		807		28,976,751		28,601,455		375,296
Hang Seng China Enterprises Index		10/30/2018		84		5,827,742		5,935,964		(108,222	)
IBEX 35		10/19/2018		554		60,378,363		60,257,033		121,330
Japanese Yen		12/17/2018		4,163		463,901,675		460,740,025		3,161,650
MSCI Emerging Markets Index		12/21/2018		939		48,321,240		49,283,415		(962,175	)
Ultra Long U.S. Treasury Bond		12/19/2018		1,780		277,776,500		274,620,625		3,155,875

Total									$	9,663,234


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		12/17/2018		1,995	$	105,572,417	$	103,515,563	$	2,056,854
Coffee		12/18/2018		2,687		109,339,819		103,231,181		6,108,638
Copper		12/27/2018		1,289		85,075,862		90,391,125		(5,315,263	)
Copper LME		12/17/2018		823		126,762,575		128,850,938		(2,088,363	)


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Short Futures Contracts – continued
Corn		12/14/2018		6,437		123,358,126	$	114,659,063	$	8,699,063
Gold		12/27/2018		1,075		131,507,860		128,591,500		2,916,360
Live Cattle		12/31/2018		72		3,383,120		3,422,880		(39,760	)
Nickel LME		12/17/2018		214		16,041,176		16,168,128		(126,952	)
Silver		12/27/2018		1,836		136,264,860		135,056,160		1,208,700
Soybean		11/14/2018		2,354		107,840,638		99,515,350		8,325,288
Soybean Meal		12/14/2018		1,658		51,632,980		51,232,200		400,780
Soybean Oil		12/14/2018		1,841		33,212,226		32,022,354		1,189,872
Sugar		2/28/2019		6,227		82,585,406		78,111,488		4,473,918
Zinc LME		12/17/2018		902		56,993,643		59,126,100		(2,132,457	)

Total									$	25,676,678

¹	Commodity futures are held by ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary.

Fair Value Measurements.

•

Level 1 — quoted prices in active markets for identical assets or liabilities;

•

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2018, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investments*	$	—	$	2,500,387,113	$	—	$	2,500,387,113
Forward Foreign Currency Contracts (unrealized appreciation)		—		12,818,303		—		12,818,303
Futures Contracts (unrealized appreciation)		94,551,707		33,844,533		—		128,396,240

Total	$	94,551,707	$	2,547,049,949	$	—	$	2,641,601,656

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(63,755,871	)	$	—	$	(63,755,871	)
Futures Contracts (unrealized depreciation)		(48,818,468	)		(1,083,824	)		—		(49,902,292	)

Total	$	(48,818,468	)	$	(64,839,695	)	$	—	$	(113,658,163	)

*	Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments.

For the period ended September 30, 2018, there were no transfers among Levels 1, 2 and 3.

Derivatives

The Fund seeks to generate positive absolute returns over time. The Fund uses a set of proprietary quantitative models to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of asset price trends. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These market exposures, which are expected to change over time, may include exposures to global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the period ended September 30, 2018, the Fund used long contracts on U.S. equity markets, long and short contracts on U.S. and foreign government bonds, foreign equity market indices, foreign currencies, commodities (through investments in the Subsidiary) and short-term interest rates to capture the exposures suggested by the quantitative investment models.

The following is a summary of derivative instruments for the Fund, as of September 30, 2018:


Assets	Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	12,818,303		$	—

Exchange-traded asset derivatives
Interest rate contracts	$	—		$	17,738,674
Foreign exchange contracts		—			3,588,425
Commodity contracts		—			63,575,518
Equity contracts		—			43,493,623

Total exchange-traded asset derivatives	$	—		$	128,396,240

Total asset derivatives	$	12,818,303		$	128,396,240


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(63,755,871	)	$	—

Exchange-traded liability derivatives
Interest rate contracts	$	—		$	(15,388,773	)
Foreign exchange contracts		—			(9,746,328	)
Commodity contracts		—			(16,932,489	)
Equity contracts		—			(7,834,702	)

Total exchange-traded liability derivatives	$	—		$	(49,902,292	)

Total liability derivatives	$	(63,755,871	)	$	(49,902,292	)


Counterparty	Derivatives			Collateral Pledged
UBS AG	$	(50,937,568	)	$	119,299,793


	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	12,818,303	$	—
Collateral pledged to UBS AG		119,299,793		119,299,793

Total over-the-counter counterparty credit risk		132,118,096		119,299,793

Exchange-traded counterparty credit risk
Futures contracts		128,396,240		128,396,240
Margin with brokers		357,248,212		357,248,212

Total exchange-traded counterparty credit risk		485,644,452		485,644,452

Total counterparty credit risk	$	617,762,548	$	604,944,245

Investment Summary at September 30, 2018 (Unaudited)



Certificates of Deposit	57.0	%
Time Deposits	11.4
Commercial Paper	11.4
Treasuries	7.0
Other Notes	1.4

Total Investments	88.2
Other assets less liabilities (including forward foreign currency and futures contracts)	11.8

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2018 (Unaudited)

ASG Tactical U.S. Market Fund


Shares		Description	Value (†)
	Common Stocks – 53.2% of Net Assets
		Aerospace & Defense – 2.0%
	9,808	Arconic, Inc.	$	215,874
	5,281	Boeing Co. (The)		1,964,004
	1,109	Harris Corp.		187,654
	996	Northrop Grumman Corp.		316,100
	1,387	Raytheon Co.		286,637
	1,927	Rockwell Collins, Inc.		270,686
	4,006	United Technologies Corp.		560,079

				3,801,034

		Air Freight & Logistics – 0.4%
	1,624	FedEx Corp.		391,043
	3,416	United Parcel Service, Inc., Class B		398,818

				789,861

		Banks – 3.0%
	39,921	Bank of America Corp.		1,176,073
	12,048	Citigroup, Inc.		864,323
	6,361	Fifth Third Bancorp		177,599
	13,751	JPMorgan Chase & Co.		1,551,663
	2,382	PNC Financial Services Group, Inc. (The)		324,405
	9,891	U.S. Bancorp		522,344
	19,147	Wells Fargo & Co.		1,006,366

				5,622,773

		Beverages – 0.6%
	11,383	Coca-Cola Co. (The)		525,781
	5,229	PepsiCo, Inc.		584,602

				1,110,383

		Biotechnology – 0.6%
	3,256	Amgen, Inc.		674,936
	2,296	Vertex Pharmaceuticals, Inc.(a)		442,531

				1,117,467

		Building Products – 0.1%
	5,871	Johnson Controls International PLC		205,485

		Capital Markets – 2.3%
	3,508	Ameriprise Financial, Inc.		517,991
	9,177	Bank of New York Mellon Corp. (The)		467,935
	1,620	BlackRock, Inc.		763,555
	4,308	CME Group, Inc.		733,265
	8,480	Intercontinental Exchange, Inc.		635,067
	3,257	Moody’s Corp.		544,570
	3,428	S&P Global, Inc.		669,797

				4,332,180

		Chemicals – 1.1%
	1,432	Air Products & Chemicals, Inc.		239,216


Shares		Description	Value (†)
	Common Stocks – continued
		Chemicals – continued
	2,034	Albemarle Corp.	$	202,952
	9,202	DowDuPont, Inc.		591,781
	1,961	Ecolab, Inc.		307,446
	8,701	Mosaic Co. (The)		282,608
	1,333	PPG Industries, Inc.		145,470
	418	Sherwin-Williams Co. (The)		190,278

				1,959,751

		Commercial Services & Supplies – 0.7%
	3,034	Cintas Corp.		600,156
	7,957	Waste Management, Inc.		718,994

				1,319,150

		Communications Equipment – 0.7%
	27,228	Cisco Systems, Inc.		1,324,642

		Construction & Engineering – 0.1%
	3,316	Fluor Corp.		192,660

		Containers & Packaging – 0.1%
	2,985	International Paper Co.		146,713

		Distributors – 0.0%
	1,599	LKQ Corp.(a)		50,640

		Diversified Financial Services – 0.9%
	7,769	Berkshire Hathaway, Inc., Class B(a)		1,663,421

		Diversified Telecommunication Services – 1.0%
	29,098	AT&T, Inc.		977,111
	17,206	Verizon Communications, Inc.		918,628

				1,895,739

		Electric Utilities – 0.8%
	3,056	Alliant Energy Corp.		130,094
	2,699	American Electric Power Co., Inc.		191,305
	3,845	Duke Energy Corp.		307,677
	5,881	Exelon Corp.		256,765
	2,354	NextEra Energy, Inc.		394,530
	2,616	PPL Corp.		76,544
	4,944	Southern Co. (The)		215,558

				1,572,473

		Energy Equipment & Services – 0.0%
	135	Halliburton Co.		5,472

		Entertainment – 1.1%
	2,744	Netflix, Inc.(a)		1,026,612
	10,166	Twenty-First Century Fox, Inc., Class A		470,991
	5,452	Walt Disney Co. (The)		637,557

				2,135,160


Shares		Description	Value (†)
	Common Stocks – continued
		Food & Staples Retailing – 1.4%
	5,413	Costco Wholesale Corp.	$	1,271,406
	10,320	Sysco Corp.		755,940
	5,119	Walmart, Inc.		480,725

				2,508,071

		Food Products – 0.7%
	13,459	Archer-Daniels-Midland Co.		676,584
	3,772	Conagra Brands, Inc.		128,135
	1,494	McCormick & Co., Inc.		196,834
	6,505	Mondelez International, Inc., Class A		279,455

				1,281,008

		Health Care Equipment & Supplies – 2.4%
	16,084	Abbott Laboratories		1,179,922
	3,146	Becton Dickinson and Co.		821,106
	7,263	Danaher Corp.		789,198
	1,354	IDEXX Laboratories, Inc.(a)		338,040
	7,041	Medtronic PLC		692,623
	4,086	Stryker Corp.		726,000

				4,546,889

		Health Care Providers & Services – 1.7%
	2,334	Aetna, Inc.		473,452
	4,661	Centene Corp.(a)		674,820
	2,394	Quest Diagnostics, Inc.		258,336
	6,762	UnitedHealth Group, Inc.		1,798,962

				3,205,570

		Hotels, Restaurants & Leisure – 0.6%
	581	Chipotle Mexican Grill, Inc.(a)		264,076
	1,260	Marriott International, Inc., Class A		166,358
	3,316	McDonald’s Corp.		554,734
	575	Royal Caribbean Cruises Ltd.		74,715

				1,059,883

		Household Durables – 0.2%
	3,600	Garmin Ltd.		252,180
	1,718	Lennar Corp., Class A		80,213

				332,393

		Household Products – 0.5%
	2,184	Kimberly-Clark Corp.		248,190
	8,862	Procter & Gamble Co. (The)		737,584

				985,774

		Industrial Conglomerates – 0.7%
	2,965	3M Co.		624,755
	3,774	Honeywell International, Inc.		627,994

				1,252,749

		Insurance – 1.0%
	4,030	Aon PLC		619,733


Shares		Description	Value (†)
	Common Stocks – continued
		Insurance – continued
	3,465	Assurant, Inc.	$	374,047
	2,487	Lincoln National Corp.		168,270
	8,690	Loews Corp.		436,499
	2,017	Torchmark Corp.		174,854

				1,773,403

		Interactive Media & Services – 2.3%
	1,155	Alphabet, Inc., Class A(a)		1,394,178
	1,173	Alphabet, Inc., Class C(a)		1,399,940
	9,109	Facebook, Inc., Class A(a)		1,498,066

				4,292,184

		Internet & Direct Marketing Retail – 2.7%
	2,125	Amazon.com, Inc.(a)		4,256,375
	259	Booking Holdings, Inc.(a)		513,856
	1,642	Expedia Group, Inc.		214,248

				4,984,479

		IT Services – 2.2%
	3,160	Accenture PLC, Class A		537,832
	7,974	Automatic Data Processing, Inc.		1,201,363
	3,629	DXC Technology Co.		339,384
	4,350	International Business Machines Corp.		657,764
	3,853	Paychex, Inc.		283,773
	7,471	Visa, Inc., Class A		1,121,322

				4,141,438

		Life Sciences Tools & Services – 0.9%
	5,015	Agilent Technologies, Inc.		353,758
	4,031	Thermo Fisher Scientific, Inc.		983,886
	1,592	Waters Corp.(a)		309,931

				1,647,575

		Machinery – 0.6%
	1,305	Caterpillar, Inc.		198,999
	2,367	Deere & Co.		355,831
	3,278	Fortive Corp.		276,008
	2,392	Illinois Tool Works, Inc.		337,559

				1,168,397

		Media – 0.3%
	16,920	Comcast Corp., Class A		599,137

		Metals & Mining – 0.2%
	10,064	Newmont Mining Corp.		303,933

		Multi-Utilities – 0.5%
	3,336	CMS Energy Corp.		163,464
	7,422	Consolidated Edison, Inc.		565,482
	1,549	Sempra Energy		176,199

				905,145


Shares		Description	Value (†)
	Common Stocks – continued
		Multiline Retail – 0.2%
	3,143	Dollar General Corp.	$	343,530

		Oil, Gas & Consumable Fuels – 3.2%
	5,078	Apache Corp.		242,068
	7,765	Chevron Corp.		949,504
	1,863	Concho Resources, Inc.(a)		284,573
	6,379	ConocoPhillips		493,735
	5,578	EOG Resources, Inc.		711,585
	17,145	Exxon Mobil Corp.		1,457,668
	3,970	Hess Corp.		284,173
	6,599	ONEOK, Inc.		447,346
	4,755	Phillips 66		535,984
	4,843	Valero Energy Corp.		550,891

				5,957,527

		Pharmaceuticals – 2.4%
	5,582	Eli Lilly & Co.		599,004
	10,089	Johnson & Johnson		1,393,997
	20,965	Merck & Co., Inc.		1,487,257
	4,913	Pfizer, Inc.		216,516
	7,424	Zoetis, Inc.		679,742

				4,376,516

		Professional Services – 0.1%
	1,315	Equifax, Inc.		171,700

		REITs - Apartments – 0.2%
	2,278	AvalonBay Communities, Inc.		412,660

		REITs - Diversified – 0.7%
	4,568	American Tower Corp.		663,730
	2,132	Crown Castle International Corp.		237,356
	378	Equinix, Inc.		163,633
	1,348	SBA Communications Corp.(a)		216,529
	850	Vornado Realty Trust		62,050

				1,343,298

		REITs - Hotels – 0.2%
	16,212	Host Hotels & Resorts, Inc.		342,073

		REITs - Regional Malls – 0.1%
	871	Simon Property Group, Inc.		153,949

		REITs - Shopping Centers – 0.0%
	965	Regency Centers Corp.		62,407

		REITs - Storage – 0.2%
	1,563	Public Storage		315,148

		Road & Rail – 0.4%
	4,824	Union Pacific Corp.		785,492


Shares		Description	Value (†)
	Common Stocks – continued
		Semiconductors & Semiconductor Equipment – 2.1%
	2,568	Analog Devices, Inc.	$	237,437
	4,856	Applied Materials, Inc.		187,684
	2,335	Broadcom, Inc.		576,115
	26,699	Intel Corp.		1,262,596
	799	Lam Research Corp.		121,208
	3,204	NVIDIA Corp.		900,388
	8,569	QUALCOMM, Inc.		617,225

				3,902,653

		Software – 4.6%
	6,202	Adobe Systems, Inc.(a)		1,674,230
	3,989	ANSYS, Inc.(a)		744,666
	6,248	Citrix Systems, Inc.(a)		694,528
	34,775	Microsoft Corp.		3,977,217
	9,722	salesforce.com, inc.(a)		1,546,090

				8,636,731

		Specialty Retail – 1.1%
	234	AutoZone, Inc.(a)		181,514
	5,025	Home Depot, Inc. (The)		1,040,929
	2,431	Lowe’s Cos., Inc.		279,127
	601	O’Reilly Automotive, Inc.(a)		208,739
	3,010	TJX Cos., Inc. (The)		337,180

				2,047,489

		Technology Hardware, Storage & Peripherals – 2.1%
	17,147	Apple, Inc.		3,870,764

		Textiles, Apparel & Luxury Goods – 0.7%
	11,482	Hanesbrands, Inc.		211,613
	9,110	NIKE, Inc., Class B		771,799
	3,137	VF Corp.		293,153

				1,276,565

		Tobacco – 0.4%
	7,715	Altria Group, Inc.		465,292
	3,038	Philip Morris International, Inc.		247,718

				713,010

		Water Utilities – 0.1%
	1,746	American Water Works Co., Inc.		153,596

		Total Common Stocks (Identified Cost $77,343,927)		99,098,140

	Exchange-Traded Funds – 9.3%
	59,641	SPDR^® S&P 500^® ETF Trust (Identified Cost $15,136,323)		17,338,832


Principal Amount		Description	Value (†)
	Short-Term Investments – 35.9%
		Certificates of Deposit – 20.7%
$	3,000,000	Norinchukin Bank (NY), 2.050%, 10/02/2018	$	2,999,955
	2,000,000	DNB Nor Bank ASA (NY), 2.090%, 10/02/2018		1,999,985
	1,500,000	Banco Del Estado de Chile (NY), 2.130%, 10/03/2018		1,499,988
	2,500,000	BNP Paribas (NY), 2.310%, 10/04/2018(b)		2,500,061
	3,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 2.260%, 10/09/2018		3,000,039
	2,000,000	Landesbank Hessen (NY), 2.280%, 10/16/2018		2,000,088
	1,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 2.250%, 10/18/2018		1,000,007
	1,500,000	Sumitomo Mitsui Bank (NY), 2.270%, 10/22/2018(b)		1,500,060
	2,000,000	Svenska Handelsbanken (NY), 1-month LIBOR + 0.210%, 2.375%, 11/20/2018(b)(c)		2,000,588
	3,000,000	Credit Industriel et Commercial (NY), 2.300%, 12/20/2018		3,000,081
	5,000,000	Mizuho Bank Ltd. (NY), 2.350%, 12/27/2018		4,999,998
	1,000,000	Commonwealth Bank of Australia (NY), 1-month LIBOR + 0.260%, 2.374%, 1/03/2019(b)(c)		1,000,645
	3,000,000	Toronto-Dominion Bank (NY), 2.455%, 2/11/2019(b)		2,999,544
	3,000,000	Swedbank (NY), 1-month LIBOR + 0.200%, 2.339%, 2/12/2019(b)(c)		3,001,599
	2,000,000	Dexia Credit Local S.A. (NY), (Credit Support: Belgium, France, Luxembourg), 3-month LIBOR + 0.100%, 2.412%, 5/17/2019(b)(c)		1,999,866
	1,000,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.310%, 2.449%, 6/12/2019(b)(c)		1,000,896
	2,000,000	Royal Bank of Canada (NY), 3-month LIBOR + 0.130%, 2.461%, 7/10/2019(b)(c)		2,000,759

				38,504,159

		Time Deposits – 8.8%
	8,000,000	Canadian Imperial Bank of Commerce, 2.130%, 10/01/2018		8,000,000
	8,500,000	National Bank of Kuwait, 2.160%, 10/01/2018(d)		8,500,000

				16,500,000

		Commercial Paper – 3.9%
	2,200,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.174%, 10/02/2018(e)		2,199,478
	2,000,000	ING (U.S.) Funding LLC, (Credit Support: ING Bank NV), 1-month LIBOR + 0.230%, 2.448%, 11/26/2018(b)(c)		2,000,726
	3,000,000	Santander UK PLC, 2.260%, 10/16/2018(e)		2,996,745

				7,196,949


Principal Amount		Description	Value (†)
		Treasuries – 2.0%
$	2,300,000	U.S. Treasury Bills, 1.900%, 10/04/2018 (e)(f)	$	2,299,612
	1,500,000	U.S. Treasury Bills, 2.031%, 11/01/2018 (e)(f)		1,497,336

				3,796,948

		Other Notes – 0.5%
	1,000,000	Bank of America NA, 2.450%, 2/12/2019 (b)(d)		999,791

		Total Short-Term Investments (Identified Cost $66,994,137)		66,997,847

		Total Investments – 98.4% (Identified Cost $159,474,387)		183,434,819
		Other assets less liabilities – 1.6%		2,901,390

		Net Assets – 100.0%	$	186,336,209

(†)

Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser or subadviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.Futures contracts are valued at the most recent settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

(a)	Non-income producing security.

(b)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

(c)	Variable rate security. Rate as of September 30, 2018 is disclosed.

(d)	Variable rate security. The interest rate adjusts periodically based on changes in current interest rates. Rate as of September 30, 2018 is disclosed.

(e)	Interest rate represents discount rate at time of purchase; not a coupon rate.

(f)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.


ETF		Exchange-Traded Fund
LIBOR		London Interbank Offered Rate
REITs		Real Estate Investment Trusts
SPDR		Standard & Poor’s Depositary Receipt

Futures Contracts

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

At September 30, 2018, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500^®		12/21/2018		845	$	122,297,645	$	123,327,750	$	1,030,105

Fair Value Measurements.

•

Level 1 — quoted prices in active markets for identical assets or liabilities;

•

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2018, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	99,098,140	$	—	$	—	$	99,098,140
Exchange-Traded Funds		17,338,832		—		—		17,338,832
Short-Term Investments*		—		66,997,847		—		66,997,847

Total Investments		116,436,972		66,997,847		—		183,434,819

Futures Contracts (unrealized appreciation)		1,030,105		—		—		1,030,105

Total	$	117,467,077	$	66,997,847	$	—	$	184,464,924

*	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended September 30, 2018, there were no transfers among Levels 1, 2 and 3.

Derivatives

The Fund seeks long-term capital appreciation, with emphasis on the protection of capital during unfavorable market conditions. The Fund uses long futures contracts on U.S. equity indices to increase exposure to the U.S. equity market to up to 130% of the Fund’s total assets and short futures on U.S. equity indices to decrease exposure to the U.S. equity market to as low as 0% of the Fund’s total assets (to limit the effects of extreme market drawdowns). For the period ended September 30, 2018, the Fund used long contracts on U.S. equity market indices to increase exposure to the U.S. equity market.

The following is a summary of derivative instruments for the Fund, as of September 30, 2018:


Assets	Unrealized appreciation on futures contracts
Exchange-traded asset derivatives
Equity contracts	$	1,030,105


	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Exchange-traded counterparty credit risk
Futures contracts	$	1,030,105	$	1,030,105
Margin with brokers		4,699,399		4,699,399

Total exchange-traded counterparty credit risk	$	5,729,504	$	5,729,504

Industry Summary at September 30, 2018 (Unaudited)


Software	4.6	%
Oil, Gas & Consumable Fuels	3.2
Banks	3.0
Internet & Direct Marketing Retail	2.7
Health Care Equipment & Supplies	2.4
Pharmaceuticals	2.4
Capital Markets	2.3
Interactive Media & Services	2.3
IT Services	2.2
Semiconductors & Semiconductor Equipment	2.1
Technology Hardware, Storage & Peripherals	2.1
Aerospace & Defense	2.0
Other Investments, less than 2% each	21.9
Exchange-Traded Funds	9.3
Short-Term Investments	35.9

Total Investments	98.4
Other assets less liabilities (including futures contracts)	1.6

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2018 (Unaudited)

Natixis Oakmark Fund


Shares		Description	Value (†)
	Common Stocks – 97.7% of Net Assets
		Air Freight & Logistics – 1.3%
	19,625	FedEx Corp.	$	4,725,504

		Airlines – 1.5%
	132,500	American Airlines Group, Inc.		5,476,225

		Auto Components – 1.4%
	38,500	Aptiv PLC		3,230,150
	64,266	Delphi Technologies PLC		2,015,382

				5,245,532

		Automobiles – 3.2%
	441,900	Fiat Chrysler Automobiles NV(a)		7,737,669
	117,500	General Motors Co.		3,956,225

				11,693,894

		Banks – 7.8%
	314,400	Bank of America Corp.		9,262,224
	165,900	Citigroup, Inc.		11,901,666
	137,945	Wells Fargo & Co.		7,250,389

				28,414,279

		Beverages – 2.0%
	52,350	Diageo PLC, Sponsored ADR		7,416,424

		Biotechnology – 2.1%
	19,195	Regeneron Pharmaceuticals, Inc.(a)		7,755,548

		Capital Markets – 7.0%
	108,800	Bank of New York Mellon Corp. (The)		5,547,712
	73,400	Charles Schwab Corp. (The)		3,607,610
	19,315	Goldman Sachs Group, Inc. (The)		4,331,196
	29,825	Moody’s Corp.		4,986,740
	87,300	State Street Corp.		7,313,994

				25,787,252

		Consumer Finance – 4.3%
	286,000	Ally Financial, Inc.		7,564,700
	86,665	Capital One Financial Corp.		8,227,108

				15,791,808

		Electronic Equipment, Instruments & Components – 3.1%
	280,500	Flex Ltd.(a)		3,680,160
	85,900	TE Connectivity Ltd.		7,553,187

				11,233,347

		Energy Equipment & Services – 1.2%
	103,400	National Oilwell Varco, Inc.		4,454,472

		Entertainment – 2.2%
	21,760	Netflix, Inc.(a)		8,141,069


Shares		Description	Value (†)
	Common Stocks – continued
		Food Products – 2.0%
	86,430	Nestle S.A., Sponsored ADR	$	7,190,976

		Health Care Equipment & Supplies – 3.4%
	92,600	Baxter International, Inc.		7,138,534
	54,730	Medtronic PLC		5,383,790

				12,522,324

		Health Care Providers & Services – 6.8%
	127,400	CVS Health Corp.		10,028,928
	68,407	HCA Healthcare, Inc.		9,516,782
	19,870	UnitedHealth Group, Inc.		5,286,215

				24,831,925

		Hotels, Restaurants & Leisure – 1.7%
	22,345	Hilton Worldwide Holdings, Inc.		1,805,029
	163,200	MGM Resorts International		4,554,912

				6,359,941

		Industrial Conglomerates – 1.8%
	586,500	General Electric Co.		6,621,585

		Insurance – 3.9%
	170,645	American International Group, Inc.		9,085,140
	32,895	Aon PLC		5,058,593

				14,143,733

		Interactive Media & Services – 4.7%
	11,360	Alphabet, Inc., Class A(a)		13,712,429
	21,030	Facebook, Inc., Class A(a)		3,458,594

				17,171,023

		Internet & Direct Marketing Retail – 2.2%
	1,900	Booking Holdings, Inc.(a)		3,769,600
	199,200	Qurate Retail, Inc., Class A(a)		4,424,232

				8,193,832

		IT Services – 9.6%
	57,935	Automatic Data Processing, Inc.		8,728,487
	44,700	DXC Technology Co.		4,180,344
	31,365	Gartner, Inc.(a)		4,971,353
	36,925	MasterCard, Inc., Class A		8,219,874
	59,905	Visa, Inc., Class A		8,991,141

				35,091,199

		Machinery – 4.1%
	19,385	Caterpillar, Inc.		2,956,019
	30,060	Cummins, Inc.		4,390,864
	42,555	Parker Hannifin Corp.		7,827,141

				15,174,024

		Media – 4.7%
	20,965	Charter Communications, Inc., Class A(a)		6,832,074


Shares		Description	Value (†)
	Common Stocks – continued
		Media – continued
	199,800	Comcast Corp., Class A	$	7,074,918
	265,700	News Corp., Class A		3,504,583

				17,411,575

		Oil, Gas & Consumable Fuels – 4.1%
	96,200	Anadarko Petroleum Corp.		6,484,842
	147,000	Apache Corp.		7,007,490
	337,500	Chesapeake Energy Corp.(a)		1,515,375

				15,007,707

		Personal Products – 1.9%
	124,875	Unilever PLC, Sponsored ADR		6,864,379

		Pharmaceuticals – 1.9%
	113,500	Bristol-Myers Squibb Co.		7,046,080

		Semiconductors & Semiconductor Equipment – 2.9%
	117,800	Intel Corp.		5,570,762
	47,500	Texas Instruments, Inc.		5,096,275

				10,667,037

		Software – 1.9%
	134,100	Oracle Corp.		6,914,196

		Technology Hardware, Storage & Peripherals – 3.0%
	48,525	Apple, Inc.		10,954,033

		Total Common Stocks (Identified Cost $282,752,390)		358,300,923


Principal Amount
	Short-Term Investments – 2.6%
$	9,616,253	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/28/2018 at 1.300% to be repurchased at $9,617,295 on 10/01/2018 collateralized by $9,880,000 U.S. Treasury Bond, 3.125% due 8/15/2044 valued at $9,812,737 including accrued interest(b) (Identified Cost $9,616,253)		9,616,253

		Total Investments – 100.3% (Identified Cost $292,368,643)		367,917,176
		Other assets less liabilities – (0.3)%		(1,252,258	)

		Net Assets – 100.0%	$	366,664,918

(†)

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

(a)	Non-income producing security.

(b)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of September 30, 2018, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

Fair Value Measurements.

•

Level 1 — quoted prices in active markets for identical assets or liabilities;

•

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2018, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	358,300,923	$	—	$	—	$	358,300,923
Short-Term Investments		—		9,616,253		—		9,616,253

Total	$	358,300,923	$	9,616,253	$	—	$	367,917,176

*	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended September 30, 2018, there were no transfers among Levels 1, 2 and 3.

Industry Summary at September 30, 2018 (Unaudited)


IT Services	9.6	%
Banks	7.8
Capital Markets	7.0
Health Care Providers & Services	6.8
Media	4.7
Interactive Media & Services	4.7
Consumer Finance	4.3
Machinery	4.1
Oil, Gas & Consumable Fuels	4.1
Insurance	3.9
Health Care Equipment & Supplies	3.4
Automobiles	3.2
Electronic Equipment, Instruments & Components	3.1
Technology Hardware, Storage & Peripherals	3.0
Semiconductors & Semiconductor Equipment	2.9
Internet & Direct Marketing Retail	2.2
Entertainment	2.2
Biotechnology	2.1
Beverages	2.0
Food Products	2.0
Other Investments, less than 2% each	14.6
Short-Term Investments	2.6

Total Investments	100.3
Other assets less liabilities	(0.3	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2018 (Unaudited)

Loomis Sayles Strategic Alpha Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 68.5% of Net Assets
	Non-Convertible Bonds – 66.3%
		ABS Car Loan – 9.1%
$	591,138	ACC Trust, Series 2018-1, Class A, 3.700%, 12/21/2020, 144A	$	590,861
	814,463	Ally Auto Receivables Trust, Series 2016-3, Class A3, 1.440%, 8/17/2020(a)		811,616
	1,455,000	AmeriCredit Automobile Receivables Trust, Series 2015-4, Class D, 3.720%, 12/08/2021(a)		1,462,508
	295,000	AmeriCredit Automobile Receivables Trust, Series 2016-2, Class D, 3.650%, 5/09/2022(a)		295,750
	2,805,000	AmeriCredit Automobile Receivables Trust, Series 2018-2, Class D, 4.010%, 7/18/2024		2,803,530
	1,946,048	BMW Vehicle Owner Trust, Series 2018-A, Class A2B, 1-month LIBOR + 0.070%, 2.286%, 11/25/2020(a)(b)		1,945,581
	1,785,000	California Republic Auto Receivables Trust, Series 2018-1, Class D, 4.330%, 4/15/2025		1,777,939
	1,286,434	CarMax Auto Owner Trust, Series 2018-1, Class A2B, 1-month LIBOR + 0.150%, 2.308%, 5/17/2021(a)(b)		1,287,064
	1,435,000	CarMax Auto Owner Trust, Series 2018-2, Class D, 3.990%, 4/15/2025		1,427,311
	6,700,000	CarMax Auto Owner Trust, Series 2018-3, Class A2B, 1-month LIBOR + 0.200%, 2.358%, 10/15/2021(b)		6,700,605
	348,006	CIG Auto Receivables Trust, Series 2017-1A, Class A, 2.710%, 5/15/2023, 144A(a)		345,631
	600,000	CPS Auto Receivables Trust, Series 2014-D, Class C, 4.350%, 11/16/2020, 144A(a)		604,610
	815,000	CPS Auto Receivables Trust, Series 2017-D, Class D, 3.730%, 9/15/2023, 144A(a)		804,527
	230,000	CPS Auto Receivables Trust, Series 2018-A, Class C, 3.050%, 12/15/2023, 144A(a)		227,159
	1,205,000	Credit Acceptance Auto Loan Trust, Series 2018-2A, Class C, 4.160%, 9/15/2027, 144A		1,204,926
	2,175,000	Drive Auto Receivables Trust, Series 2016-CA, Class C, 3.020%, 11/15/2021, 144A(a)		2,176,277
	2,955,000	Drive Auto Receivables Trust, Series 2018-1, Class D, 3.810%, 5/15/2024(a)		2,942,248
	5,320,000	Drive Auto Receivables Trust, Series 2018-4, Class A2B, 1-month LIBOR + 0.270%, 2.337%, 10/15/2020(b)		5,319,996
	1,390,000	DT Auto Owner Trust, Series 18-2A, Class D, 4.150%, 3/15/2024, 144A		1,388,233
	368,643	DT Auto Owner Trust, Series 2014-3A, Class D, 4.470%, 11/15/2021, 144A(a)		369,449
	883,740	DT Auto Owner Trust, Series 2015-2A, Class D, 4.250%, 2/15/2022, 144A(a)		888,854
	4,075,000	DT Auto Owner Trust, Series 2016-1A, Class D, 4.660%, 12/15/2022, 144A(a)		4,118,400
	3,045,000	DT Auto Owner Trust, Series 2016-2A, Class D, 5.430%, 11/15/2022, 144A(a)		3,092,871
	270,000	First Investors Auto Owner Trust, Series 2014-1A, Class D, 3.280%, 4/15/2021, 144A(a)		269,992
	440,000	First Investors Auto Owner Trust, Series 2014-2A, Class D, 3.470%, 2/15/2021, 144A(a)		440,667


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		ABS Car Loan – continued
$	345,000	First Investors Auto Owner Trust, Series 2015-1A, Class D, 3.590%, 1/18/2022, 144A(a)	$	344,842
	1,710,000	First Investors Auto Owner Trust, Series 2015-2A, Class D, 4.220%, 12/15/2021, 144A(a)		1,722,256
	220,000	First Investors Auto Owner Trust, Series 2016-2A, Class D, 3.350%, 11/15/2022, 144A(a)		216,813
	605,000	Flagship Credit Auto Trust, Series 2015-1, Class C, 3.760%, 6/15/2021, 144A(a)		607,518
	650,000	Flagship Credit Auto Trust, Series 2016-3, Class D, 3.890%, 11/15/2022, 144A(a)		649,834
	4,120,000	Ford Credit Auto Lease Trust, Series 2018-B, Class A2B, 1-month LIBOR + 0.160%, 2.325%, 4/15/2021(b)		4,120,021
	291,840	Ford Credit Auto Owner Trust, Series 2015-C, Class A3, 1.410%, 2/15/2020(a)		291,549
	446,880	Ford Credit Auto Owner Trust, Series 2017-A, Class A2B, 1-month LIBOR + 0.120%, 2.278%, 12/15/2019(a)(b)		446,896
	5,495,000	GM Financial Automobile Leasing Trust, Series 2018-3, Class A2B, 1-month LIBOR + 0.170%, 2.388%, 9/21/2020(b)		5,494,999
	5,610,000	GM Financial Consumer Automobile Receivables Trust, Series 2018-3, Class A2B, 1-month LIBOR + 1.100%, 2.174%, 7/16/2021(b)		5,610,650
	1,362,000	Hertz Vehicle Financing II LP, Series 2017-2A, Class A, 3.290%, 10/25/2023, 144A(a)		1,325,330
	842,866	Honda Auto Receivables Owner Trust, Series 2016-2, Class A3, 1.390%, 4/15/2020(a)		839,576
	1,288,229	Honda Auto Receivables Owner Trust, Series 2017-1, Class A3, 1.720%, 7/21/2021(a)		1,276,908
	5,095,000	Honda Auto Receivables Owner Trust, Series 2018-1, Class A3, 2.640%, 2/15/2022(a)		5,058,996
	3,045,000	NextGear Floorplan Master Owner Trust, Series 2017-1A, Class A1, 1-month LIBOR + 0.850%, 3.008%, 4/18/2022, 144A(a)(b)		3,060,809
	4,355,000	NextGear Floorplan Master Owner Trust, Series 2017-2A, Class A1, 1-month LIBOR + 0.680%, 2.838%, 10/17/2022, 144A(a)(b)		4,375,757
	2,590,000	NextGear Floorplan Master Owner Trust, Series 2018-1A, Class A1, 1-month LIBOR + 0.640%, 2.798%, 2/15/2023, 144A(a)(b)		2,596,317
	740,339	Nissan Auto Receivables Owner Trust, Series 2016-C, Class A3, 1.180%, 1/15/2021(a)		733,535
	237,056	Nissan Auto Receivables Owner Trust, Series 2017-A, Class A2B, 1-month LIBOR + 0.060%, 2.218%, 1/15/2020(a)(b)		237,060
	1,525,000	Nissan Auto Receivables Owner Trust, Series 2017-A, Class A3, 1.740%, 8/16/2021(a)		1,507,148
	3,220,000	Nissan Auto Receivables Owner Trust, Series 2018-A, Class A3, 2.650%, 5/16/2022(a)		3,198,490
	3,285,000	Nissan Auto Receivables Owner Trust, Series 2018-B, Class A2B, 1-month LIBOR + 0.100%, 2.258%, 7/15/2021(b)		3,282,304
	3,045,000	Prestige Auto Receivables Trust, Series 2016-1A, Class D, 5.150%, 11/15/2021, 144A(a)		3,103,484
	3,585,000	Santander Drive Auto Receivables Trust, Series 2018-2, Class D, 3.880%, 2/15/2024		3,556,367
	353,000	Tidewater Auto Receivables Trust, Series 2018-AA, Class D, 4.300%, 11/15/2024, 144A		351,414
	4,970,000	Toyota Auto Receivable Owner Trust, Series 2018-C, Class A2B, 1-month LIBOR + 1.200%, 2.278%, 8/16/2021(b)		4,971,494


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		ABS Car Loan – continued
$	457,470	Toyota Auto Receivables Owner Trust, Series 2016-C, Class A3, 1.140%, 8/17/2020(a)	$	454,411
	918,395	Toyota Auto Receivables Owner Trust, Series 2017-B, Class A2B, 1-month LIBOR + 0.060%, 2.218%, 1/15/2020(a)(b)		918,449
	472,776	USAA Auto Owner Trust, Series 2016-1, Class A3, 1.200%, 6/15/2020(a)		471,361
	627,581	Veros Automobile Receivables Trust, Series 2017-1, Class A, 2.840%, 4/17/2023, 144A(a)		625,216
	3,400,000	Volkswagen Auto Loan Enhanced Trust, Series 2018-1, Class A2B, 1-month LIBOR + 0.180%, 2.345%, 7/20/2021(b)		3,401,178
	4,605,000	Volvo Financial Equipment Master Owner Trust, Series 2018-A, Class A, 1-month LIBOR +0.520%, 2.678%, 7/17/2023, 144A(b)		4,620,104
	595,000	Westlake Automobile Receivables Trust, Series 2017-1A, Class D, 3.460%, 10/17/2022, 144A(a)		594,192
	740,000	Westlake Automobile Receivables Trust, Series 2018-1A, Class D, 3.410%, 5/15/2023, 144A(a)		734,146
	5,705,000	Westlake Automobile Receivables Trust, Series 2018-3A, Class A2B, 1-month LIBOR +0.350%, 2.508%, 1/18/2022, 144A(b)		5,706,135
	1,140,000	Westlake Automobile Receivables Trust, Series 2018-3A, Class D, 4.000%, 10/16/2023, 144A		1,139,618
	4,865,000	World Omni Automobile Lease Securitization Trust, Series 18-B, Class A2B, 1-month LIBOR + 0.180%, 2.400%, 6/15/2021(b)(c)		4,865,000

				125,806,782

		ABS Credit Card – 4.1%
	5,420,000	American Express Credit Account Master Trust, Series 2017-6, Class A, 2.040%, 5/15/2023(a)		5,312,755
	3,790,000	American Express Credit Account Master Trust, Series 2018-8, Class A, 3.180%, 4/15/2024		3,784,537
	2,050,000	BA Credit Card Trust, Series 2014-A1, Class A, 1-month LIBOR + 0.380%, 2.538%, 6/15/2021(a)(b)		2,052,050
	995,000	Bank of America Credit Card Trust, Series 2016-A1, Class A, 1-month LIBOR + 0.390%, 2.548%, 10/15/2021(a)(b)		996,973
	4,385,000	Bank of America Credit Card Trust, Series 2017-A1, Class A1, 1.950%, 8/15/2022(a)		4,324,315
	5,875,000	Bank of America Credit Card Trust, Series 2018-A1, Class A1, 2.700%, 7/17/2023(a)		5,822,772
	3,600,000	Capital One Multi-Asset Execution Trust, Series 2015-A7, Class A7, 1.450%, 8/16/2021(a)		3,598,687
	2,585,000	Capital One Multi-Asset Execution Trust, Series 2017-A1, Class A1, 2.000%, 1/17/2023(a)		2,549,987
	3,500,000	Chase Issuance Trust, Series 2015-A4, Class A4, 1.840%, 4/15/2022(a)		3,444,018
	3,120,000	Chase Issuance Trust, Series 2016-A2, Class A, 1.370%, 6/15/2021(a)		3,090,229
	5,800,000	Citibank Credit Card Issuance Trust, Series 2016-A1, Class A1, 1.750%, 11/19/2021(a)		5,725,949
	5,520,000	Citibank Credit Card Issuance Trust, Series 2017-A8, Class A8, 1.860%, 8/07/2022(a)		5,404,813
	6,025,000	Citibank Credit Card Issuance Trust, Series 2018-A1, Class A1, 2.490%, 1/20/2023(a)		5,941,721


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		ABS Credit Card – continued
$	5,425,000	Discover Card Execution Note Trust, Series 2018-A3, Class A3, 1-month LIBOR + 0.230%, 2.388%, 12/15/2023(b)	$	5,426,077

				57,474,883

		ABS Home Equity – 9.7%
	499,424	Adjustable Rate Mortgage Trust, Series 2004-4, Class 3A1, 3.851%, 3/25/2035(a)(d)		501,139
	1,083,189	Adjustable Rate Mortgage Trust, Series 2005-1, Class 3A1, 4.108%, 5/25/2035(a)(d)		1,094,476
	1,118,648	Ajax Mortgage Loan Trust, Series 2016-C, Class A, 4.000%, 10/25/2057, 144A(a)(d)		1,121,565
	345,799	Ajax Mortgage Loan Trust, Series 2017-A, Class A, 3.470%, 4/25/2057, 144A(a)(d)		343,551
	1,439,215	Ajax Mortgage Loan Trust, Series 2017-B, Class A, 3.163%, 9/25/2056, 144A(a)(d)		1,404,376
	410,194	Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034(a)		420,757
	476,988	Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034(a)		488,503
	310,868	Alternative Loan Trust, Series 2004-28CB, Class 5A1, 5.750%, 1/25/2035		310,999
	774,796	Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025		785,895
	300,000	American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A(a)		312,330
	2,170,000	American Homes 4 Rent, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A(a)		2,353,286
	1,200,000	American Homes 4 Rent, Series 2014-SFR3, Class E, 6.418%, 12/17/2036, 144A(a)		1,315,786
	623,757	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033		635,622
	1,208,988	Banc of America Funding Trust, Series 2004-B, Class 4A2, 3.593%, 11/20/2034(d)		1,197,797
	360,762	Banc of America Funding Trust, Series 2005-5, Class 1A1, 5.500%, 9/25/2035		381,179
	753,088	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		790,512
	473,400	Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034		474,978
	1,429,867	Banc of America Mortgage Trust, Series 2005-I, Class 4A1, 3.609%, 10/25/2035(d)		1,401,859
	686,664	Bayview Opportunity Master Fund IIIa Trust, Series 2017-RN8, Class A1, 3.352%, 11/28/2032, 144A(d)		683,427
	709,324	Bayview Opportunity Master Fund IV Trust, Series 2018-RN2, Class A1, 3.598%, 2/25/2033, 144A(a)(d)		704,156
	540,971	Bayview Opportunity Master Fund IVa Trust, Series 2018-RN1, Class A1, 3.278%, 1/28/2033, 144A(a)(d)		539,188
	253,790	Bayview Opportunity Master Fund IVa Trust, Series 2018-RN3, Class A1, 3.672%, 3/28/2033, 144A(a)(d)		253,023
	603,452	Bayview Opportunity Master Fund IVb Trust, Series 2017-NPL2, Class A1, 2.981%, 10/28/2032, 144A(a)(d)		600,539


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	819,074	Bayview Opportunity Master Fund Trust, Series 2018-RN5, Class A1, 3.820%, 4/28/2033, 144A(d)	$	816,988
	730,000	Bayview Opportunity Master Fund Trust, Series 2018-RN8, Class A1, 4.066%, 9/28/2033, 144A(c)(d)		730,000
	443,926	BCAP LLC Trust, Series 2007-AA2, Class 22A1, 6.000%, 3/25/2022		441,214
	460,750	CHL Mortgage Pass-Through Trust, Series 2004-12, Class 8A1, 4.463%, 8/25/2034(d)		453,307
	1,238,127	Citigroup Mortgage Loan Trust, Series 2018-A, Class A1, 4.000%, 1/25/2068, 144A(d)		1,233,034
	1,356,462	Citigroup Mortgage Loan Trust, Inc., Series 2005-3, Class 2A3, 4.467%, 8/25/2035(d)		1,350,948
	2,200,000	Colony American Finance Ltd., Series 2015-1, Class D, 5.649%, 10/15/2047, 144A		2,235,046
	1,065,000	Colony American Finance Ltd., Series 2016-1, Class C, 4.638%, 6/15/2048, 144A(a)(d)		1,068,466
	3,190,000	Colony American Homes, Series 2015-1A, Class D, 1-month LIBOR + 2.150%, 4.281%, 7/17/2032, 144A(a)(b)		3,186,646
	3,015,000	Colony American Homes, Series 2015-1A, Class F, 1-month LIBOR + 3.650%, 5.781%, 7/17/2032, 144A(b)		3,026,692
	1,410,000	Colony Starwood Homes Trust, Series 2016-2A, Class E, 1-month LIBOR + 3.350%, 5.508%, 12/17/2033, 144A(b)		1,422,428
	633,985	Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.750%, 12/25/2033(a)		649,638
	539,344	Countrywide Alternative Loan Trust, Series 2004-14T2, Class A11, 5.500%, 8/25/2034		560,196
	1,058,581	Countrywide Alternative Loan Trust, Series 2004-J10, Class 2CB1, 6.000%, 9/25/2034		1,095,000
	545,213	Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034(a)		552,904
	8	Countrywide Alternative Loan Trust, Series 2004-J7, Class 1A5, 4.880%, 8/25/2034(a)(c)(d)(e)		7
	77,994	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 4.182%, 9/20/2034(a)(d)		75,967
	550,049	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 7A1, 3.931%, 11/25/2033(a)(d)		554,079
	329,432	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR28, Class 4A1, 3.845%, 12/25/2033(a)(d)		333,933
	2,936,298	Credit Suisse Mortgage Trust, Series 2018-RPL2, Class A1, 4.030%, 8/25/2062, 144A(d)		2,929,364
	1,220,000	Credit Suisse Mortgage Trust, Series 2018-RPL7, Class A1, 4.000%, 10/25/2048, 144A(c)		1,210,519
	209,639	CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-27, Class 4A4, 5.750%, 11/25/2033(a)		215,835
	781,890	Deutsche Mortgage Securities, Inc., Series 2004-4, Class 7AR1, 1-month LIBOR + 0.350%, 2.566%, 6/25/2034(b)		759,191
	620,922	DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.330%, 2.498%, 9/19/2045(b)		525,057
	1,650,210	Dukinfield 2 PLC, Series 2, Class A, GBP 3-month LIBOR + 1.250%, 2.054%, 12/20/2052, (GBP)(a)(b)		2,171,606
	587,940	Eurosail PLC, Series 2007-2X, Class A3C, GBP 3-month LIBOR + 0.150%, 0.950%, 3/13/2045, (GBP)(a)(b)		751,410


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	1,505,000	Federal National Mortgage Association, Series 2017-C05, Class 1M2, 1-month LIBOR + 2.200%, 4.416%, 1/25/2030(b)	$	1,550,996
	320,000	Federal National Mortgage Association, Series 2017-C07, Class 1M2, 1-month LIBOR + 2.400%, 4.616%, 5/25/2030(b)		331,457
	1,371,509	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN1, Class M2, 1-month LIBOR + 2.200%, 4.416%, 2/25/2024(a)(b)		1,409,215
	747,419	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN2, Class M2, 1-month LIBOR + 1.650%, 3.866%, 4/25/2024(a)(b)		757,194
	2,269,119	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 1-month LIBOR + 1.850%, 4.066%, 10/25/2027(a)(b)		2,309,561
	130,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2018-DNA1, Class M2, 1-month LIBOR + 1.800%, 4.016%, 7/25/2030(b)		129,177
	626,244	GCAT LLC, Series 2017-2, Class A1, 3.500%, 4/25/2047, 144A(a)(d)		621,768
	225,861	GCAT LLC, Series 2017-5, Class A1, 3.228%, 7/25/2047, 144A(a)(d)		225,062
	1,117,704	GCAT LLC, Series 2018-1, Class A1, 3.844%, 6/25/2048, 144A(d)		1,113,827
	2,692,188	GCAT LLC, Series 2018-2, Class A1, 4.090%, 6/26/2023, 144A(d)		2,689,346
	283,742	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 4.309%, 7/19/2035(d)		275,838
	2,005,000	Gosforth Funding PLC, Series 2018-1A, Class A1, 3-month LIBOR + 0.450%, 2.714%, 8/25/2060, 144A(b)		2,005,377
	246,053	GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 4.217%, 7/25/2035(d)		242,204
	1,115,000	Home Partners of America Trust, Series 2016-2, Class E, 1-month LIBOR + 3.780%, 5.938%, 10/17/2033, 144A(b)		1,116,554
	1,123,000	Home Partners of America Trust, Series 2016-2, Class F, 1-month LIBOR + 4.700%, 6.858%, 10/17/2033, 144A(b)		1,126,091
	2,370,916	IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 1-month LIBOR + 0.780%, 2.996%, 12/25/2034(b)		2,154,885
	2,729,889	IndyMac Index Mortgage Loan Trust, Series 2004-AR6, Class 4A, 4.436%, 10/25/2034(d)		2,814,606
	743,719	IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A5, 1-month LIBOR + 1.220%, 3.436%, 9/25/2034(b)		685,364
	1,312,045	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 1-month LIBOR + 0.640%, 2.856%, 7/25/2045(b)		1,263,896
	3,139,056	IndyMac Index Mortgage Loan Trust, Series 2006-AR2, Class 2A1, 1-month LIBOR + 0.210%, 2.426%, 2/25/2046(b)		2,690,893
	445,000	Invitation Homes Trust, Series 2018-SFR1, Class E, 1-month LIBOR + 2.000%, 4.158%, 3/17/2037, 144A(b)		446,802
	2,935,000	Invitation Homes Trust, Series 2018-SFR2, Class E, 1-month LIBOR + 2.000%, 4.158%, 6/17/2037, 144A(b)		2,948,141
	455,285	JPMorgan Mortgage Trust, Series 2003-A2, Class 3A1, 3.806%, 11/25/2033(a)(d)		460,622
	1,542,434	JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1, 6.000%, 9/25/2034		1,590,967


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	1,055,570	JPMorgan Mortgage Trust, Series 2005-A2, Class 3A2, 3.826%, 4/25/2035(a)(d)	$	1,060,910
	210,200	JPMorgan Mortgage Trust, Series 2005-A3, Class 4A1, 4.331%, 6/25/2035(a)(d)		212,725
	816,936	JPMorgan Mortgage Trust, Series 2006-A1, Class 1A2, 4.066%, 2/25/2036(d)		757,638
	472,688	Lehman XS Trust, Series 2005-7N, Class 3A1, 1-month LIBOR + 0.280%, 2.496%, 12/25/2035(b)		416,711
	10,997	Lehman XS Trust, Series 2006-12N, Class A2A1, 1-month LIBOR + 0.150%, 2.366%, 8/25/2046(b)(c)(e)		10,667
	589,127	Lehman XS Trust, Series 2006-2N, Class 1A1, 1-month LIBOR + 0.260%, 2.476%, 2/25/2046(b)		527,499
	498,720	Ludgate Funding PLC, Series 2007-1, Class A2B, 3-month EURIBOR + 0.160%, Zero Coupon, 1/01/2061, (EUR)(a)(b)		550,680
	1,806,073	Ludgate Funding PLC, Series 2008-W1X, Class A1, GBP 3-month LIBOR + 0.600%, 1.280%, 1/01/2061, (GBP)(a)(b)		2,308,825
	343,822	MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 4.601%, 5/25/2034(a)(d)		341,446
	1,206,734	MASTR Adjustable Rate Mortgages Trust, Series 2004-7, Class 3A1, 4.208%, 7/25/2034(a)(d)		1,184,333
	254,065	MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1, 4.243%, 4/25/2036(d)		253,503
	389,321	MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033(a)		402,017
	413,408	MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034(a)		422,857
	507,806	MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034(a)		524,704
	1,414,073	MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034		1,499,444
	147,340	MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A, 3.971%, 5/25/2036(a)(d)		148,970
	599,059	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035		569,548
	1,025,735	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035		1,059,311
	715,546	Newgate Funding PLC, Series 2007-3X, Class A2B, 3-month EURIBOR + 0.600%, 0.281%, 12/15/2050, (EUR)(a)(b)		816,421
	142,650	NYMT Residential LLC, Series 2016-RP1A, Class A, 4.000%, 3/25/2021, 144A(a)(d)		143,030
	1,196,298	Oak Hill Advisors Residential Loan Trust, Series 2017-NPL1, Class A1, 3.000%, 6/25/2057, 144A(a)(d)		1,178,232
	2,345,377	Oak Hill Advisors Residential Loan Trust, Series 2017-NPL2, Class A1, 3.000%, 7/25/2057, 144A(a)(d)		2,307,028
	355,513	OWS Structured Asset Trust, Series 2016-NPL1, Class A1, 3.750%, 7/25/2056, 144A(a)(d)		359,449
	2,926,527	Preston Ridge Partners Mortgage LLC, Series 2017-2A, Class A1, 3.470%, 9/25/2022, 144A(a)(d)		2,904,831
	1,165,000	Preston Ridge Partners Mortgage LLC, Series 2017-2A, Class A2, 5.000%, 9/25/2022, 144A(d)		1,152,957
	1,216,896	Preston Ridge Partners Mortgage LLC, Series 2017-3A, Class A1, 3.470%, 11/25/2022, 144A(a)(d)		1,209,129


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	405,000	Preston Ridge Partners Mortgage LLC, Series 2017-3A, Class A2, 5.000%, 11/25/2022, 144A(d)	$	395,256
	895,000	Preston Ridge Partners Mortgage LLC, Series 2018-1A, Class A2, 5.000%, 4/25/2023, 144A(d)		878,550
	1,966,033	RCO Mortgage LLC, Series 2017-1, Class A1, 3.375%, 8/25/2022, 144A(a)(d)		1,954,400
	895,429	Residential Accredit Loans, Inc. Trust, Series 2006-QO4, Class 2A1, 1-month LIBOR + 0.190%, 2.406%, 4/25/2046(b)		862,501
	1,359,300	Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035		1,192,489
	418,253	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036		402,510
	1,680,034	Residential Funding Mortgage Securities, Series 2006-SA2, Class 3A1, 4.934%, 8/25/2036(d)		1,575,357
	403,902	RMAC Securities No. 1 PLC, Series 2006-NS1X, Class A2C, 3-month EURIBOR + 0.150%, Zero Coupon, 6/12/2044, (EUR)(a)(b)		452,310
	308,898	RMAC Securities No. 1 PLC, Series 2007-NS1X, Class A2A, GBP 3-month LIBOR + 0.150%, 0.951%, 6/12/2044, (GBP)(a)(b)		386,340
	2,043,792	RMAT, Series 18-NPL1, Class A1, 4.090%, 5/25/2048, 144A(d)		2,036,012
	2,933,760	Stanwich Mortgage Loan Trust, Series 2018-NPB1, Class A1, 4.016%, 5/16/2023, 144A(d)		2,922,552
	1,819,000	Starwood Waypoint Homes, Series 2015-1A, Class E, 1-month LIBOR + 3.000%, 5.131%, 7/17/2032, 144A(b)		1,821,629
	3,442,782	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 1-month LIBOR + 0.310%, 2.526%, 7/25/2035(b)		2,786,665
	301,695	Structured Asset Securities Corp. Trust, Series 2005-1, Class 7A7, 5.500%, 2/25/2035		305,736
	1,200,000	Towd Point Mortgage Funding PLC, Series 2016-GR1X, Class B, GBP 3-month LIBOR + 1.400%, 2.159%, 7/20/2046, (GBP)(a)(b)		1,569,678
	2,004,586	Vericrest Opportunity Loan Trust, Series 2018-NPL4, Class A1A, 4.336%, 7/27/2048, 144A(d)		2,001,849
	1,479,009	VOLT LVI LLC, Series 2017-NPL3, Class A1, 3.500%, 3/25/2047, 144A(a)(d)		1,472,054
	2,840,000	VOLT LVI LLC, Series 2017-NPL3, Class A2, 5.875%, 3/25/2047, 144A(d)		2,838,274
	853,886	VOLT LXI LLC, Series 2017-NPL8, Class A1, 3.125%, 6/25/2047, 144A(a)(d)		846,775
	983,813	VOLT LXIII LLC, Series 2017-NP10, Class A1, 3.000%, 10/25/2047, 144A(a)(d)		972,796
	2,000,000	VOLT LXX LLC, Series 2018-NPL6, Class A1A, 4.115%, 9/25/2048, 144A(d)		1,999,205
	1,398,275	Wells Fargo Mortgage Backed Securitie Trust, Series 2006-3, Class A11, 5.500%, 3/25/2036		1,409,827
	1,311,469	Wells Fargo Mortgage Backed Securities Trust, Series 2004-I, Class 2A1, 4.326%, 7/25/2034(a)(d)		1,335,042
	244,046	Wells Fargo Mortgage Backed Securities Trust, Series 2004-O, Class A1, 4.632%, 8/25/2034(a)(d)		251,070
	128,839	Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035		129,845
	663,921	Wells Fargo Mortgage Backed Securities Trust, Series 2005-16, Class A18, 6.000%, 12/25/2035		670,293


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	334,324	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 4.213%, 5/01/2035(a)(d)	$	343,953
	418,559	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR12, Class 2A5, 4.130%, 6/25/2035(a)(d)		428,695

				133,988,789

		ABS Other – 4.2%
	814,102	AASET Trust, Series 2017-1A, Class A, 3.967%, 5/16/2042, 144A(a)		809,807
	1,047,840	Accelerated Assets LLC, Series 18-1, Class B, 4.510%, 12/02/2033, 144A		1,043,996
	3,001,925	AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(a)(d)		2,967,854
	346,039	Apollo Aviation Securitization Equity Trust, Series 2018-1A, Class B, 5.437%, 1/16/2038, 144A(a)		349,321
	350,000	Ascentium Equipment Receivables Trust, Series 2017-2A, Class C, 2.870%, 8/10/2022, 144A(a)		342,306
	1,110,833	Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, 4.213%, 12/16/2041, 144A(a)(d)		1,116,019
	1,267,604	Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class B, 5.682%, 12/16/2041, 144A(a)(d)		1,305,146
	1,404,403	Castlelake Aircraft Securitization Trust, Series 18-1, Class B, 5.300%, 6/15/2043, 144A		1,410,641
	250,000	CCG Receivables Trust, Series 2018-1, Class C, 3.420%, 6/16/2025, 144A(a)		246,303
	580,000	Chesapeake Funding II LLC, Series 2017-2A, Class D, 3.710%, 5/15/2029, 144A		577,652
	790,000	Chesapeake Funding II LLC, Series 2018-1A, Class C, 3.570%, 4/15/2030, 144A		783,411
	2,025,000	Chesapeake Funding II LLC, Series 2018-1A, Class D, 3.920%, 4/15/2030, 144A		2,008,493
	440,079	CLUB Credit Trust, Series 2017-P1, Class A, 2.420%, 9/15/2023, 144A(a)		438,937
	667,706	Diamond Resorts Owner Trust, Series 2017-1A, Class C, 6.070%, 10/22/2029, 144A		650,344
	2,925,218	Diamond Resorts Owner Trust, Series 2018-1, Class C, 4.530%, 1/21/2031, 144A		2,911,199
	2,164,812	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(c)(e)(f)(g)		1,654,999
	868,352	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(c)(e)(f)(g)		345,170
	3,410,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(c)(e)(f)(g)(h)		—
	1,107,097	Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(f)(i)		1,049,956
	1,258,270	MAPS Ltd., Series 2018-1A, Class B, 5.193%, 5/15/2043, 144A		1,264,319
	1,100,000	Navistar Financial Dealer Note Master Owner Trust II, Series 2018-1, Class A, 1-month LIBOR + 0.630%, 2.798%, 9/25/2023, 144A(b)		1,100,863
	456,858	OneMain Financial Issuance Trust, Series 2015-1A, Class A, 3.190%, 3/18/2026, 144A(a)		457,434


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		ABS Other – continued
$	2,670,000	OneMain Financial Issuance Trust, Series 2015-2A, Class D, 5.640%, 7/18/2025, 144A(a)	$	2,692,485
	3,120,000	OneMain Financial Issuance Trust, Series 2015-3A, Class B, 4.160%, 11/20/2028, 144A(a)		3,133,160
	3,100,000	OneMain Financial Issuance Trust, Series 2016-1A, Class C, 6.000%, 2/20/2029, 144A(a)		3,162,311
	2,685,000	OneMain Financial Issuance Trust, Series 2016-2A, Class B, 5.940%, 3/20/2028, 144A(a)		2,739,285
	4,852,278	S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A(a)		4,822,097
	3,718,000	SCF Equipment Trust LLC, Series 2018-1A, Class C, 4.210%, 4/20/2027, 144A		3,719,605
	1,709,767	Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A(a)		1,724,227
	1,410,000	SoFi Consumer Loan Program Trust, Series 2018-2, Class A2, 3.350%, 4/26/2027, 144A		1,407,247
	620,184	SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.050%, 4/25/2029, 144A(a)		617,461
	2,990,304	Sprite Ltd., Series 2017-1, Class B, 5.750%, 12/15/2037, 144A(a)		2,982,626
	1,916,833	TAL Advantage V LLC, Series 2013-2A, Class A, 3.550%, 11/20/2038, 144A(a)		1,894,173
	285,000	Thunderbolt Aircraft Lease Ltd., Series 2017-A, Class B, 5.750%, 5/17/2032, 144A(d)		293,482
	1,235,000	Thunderbolt II Aircraft Lease Ltd., Series 2018-A, Class A, 4.147%, 9/15/2038, 144A(d)		1,227,653
	1,710,000	Tidewater Sales Finance Master Trust, Series 2017-AA, Class A, 4.550%, 4/15/2021, 144A(f)(i)		1,708,952
	2,295,000	Verizon Owner Trust, Series 2018-1A, Class A1B, 1-month LIBOR + 0.260%, 2.425%, 9/20/2022, 144A(a)(b)		2,296,264
	1,221,350	Wave LLC, Series 2017-1A, Class B, 5.682%, 11/15/2042, 144A(a)		1,234,268

				58,489,466

		ABS Student Loan – 1.1%
	3,750,000	Massachusetts Educational Financing Authority, Series 2018-A, Class A, 3.850%, 5/25/2033		3,716,962
	1,835,000	Navient Student Loan Trust, Series 18-4A, Class A1, 1-month LIBOR + 0.250%, 2.389%, 6/27/2067, 144A(b)		1,835,312
	1,149,000	SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day ARS, 4.740%, 6/15/2032(a)(b)(c)(e)		1,148,770
	3,080,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day ARS, 4.750%, 3/15/2033(a)(b)(c)(e)		3,079,384
	332,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day ARS, 4.750%, 3/15/2033(b)(c)(e)		331,934
	1,835,000	SMB Private Education Loan Trust, Series 18-C, Class A1, 1-month LIBOR + 0.300%, 2.431%, 9/15/2025, 144A(b)(c)		1,835,000
	1,350,000	SMB Private Education Loan Trust, Series 2017-B, Class A2B, 1-month LIBOR + 0.750%, 2.908%, 10/15/2035, 144A(a)(b)		1,354,275
	115,450	SoFi Professional Loan Program LLC, Series 2014-B, Class A1, 1-month LIBOR + 1.250%, 3.466%, 8/25/2032, 144A(a)(b)		116,444


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		ABS Student Loan – continued
$	584,816	SoFi Professional Loan Program LLC, Series 2015-A, Class A1, 1-month LIBOR + 1.200%, 3.416%, 3/25/2033, 144A(a)(b)	$	590,130
	1,489,651	SoFi Professional Loan Program LLC, Series 2016-A, Class B, 3.570%, 1/26/2038, 144A(a)		1,452,246

				15,460,457

		ABS Whole Business – 0.7%
	3,076,063	Coinstar Funding LLC, Series 2017-1A, Class A2, 5.216%, 4/25/2047, 144A(a)		3,112,006
	748,125	Driven Brands Funding LLC, Series 2018-1A, Class A2, 4.739%, 4/20/2048, 144A		743,509
	2,168,613	Five Guys Funding LLC, Series 2017-1A, Class A2, 4.600%, 7/25/2047, 144A		2,161,632
	3,025,000	Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2I, 4.262%, 9/05/2048, 144A		3,018,799

				9,035,946

		Aerospace & Defense – 0.7%
	3,425,000	General Dynamics Corp., 3-month LIBOR + 0.290%, 2.628%, 5/11/2020(b)		3,434,614
	3,425,000	General Dynamics Corp., 3-month LIBOR + 0.380%, 2.718%, 5/11/2021(b)		3,447,982
	2,550,000	Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A		2,661,715

				9,544,311

		Agency Commercial Mortgage-Backed Securities – 0.1%
	50,419,166	Government National Mortgage Association, Series 2012-135, Class IO, 0.579%, 1/16/2053(a)(d)(j)		1,949,376

		Airlines – 0.3%
	4,505,575	Latam Airlines Pass Through Trust, Series 2015-1, Class B, 4.500%, 8/15/2025		4,359,144

		Automotive – 6.8%
	10,090,000	American Honda Finance Corp., 3 Month LIBOR + 0.260%, 2.594%, 6/16/2020(b)		10,108,367
	5,875,000	American Honda Finance Corp., MTN, 3-month LIBOR + 0.280%, 2.602%, 11/19/2018(a)(b)		5,877,174
	6,045,000	BMW U.S. Capital LLC, 3-month LIBOR + 0.380%, 2.717%, 4/06/2020, 144A(a)(b)		6,061,206
	5,785,000	BMW U.S. Capital LLC, 3-month LIBOR + 0.410%, 2.744%, 9/13/2019, 144A(a)(b)		5,802,657
	5,985,000	BMW U.S. Capital LLC, 3-month LIBOR + 0.410%, 2.747%, 4/12/2021, 144A(a)(b)		6,004,789
	6,940,000	BMW U.S. Capital LLC, 3 month LIBOR + 0.500%, 2.819%, 8/13/2021, 144A(b)		6,960,920
	3,135,000	Daimler Finance North America LLC, 3.100%, 5/04/2020, 144A		3,125,477
	5,980,000	Ford Motor Credit Co. LLC, 3-month LIBOR + 1.000%, 3.339%, 1/09/2020(a)(b)		6,003,226


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		Automotive – continued
$	6,920,000	Ford Motor Credit Co.LLC, 3 month LIBOR + 0.880%, 3.085%, 10/12/2021(b)	$	6,855,936
	3,585,000	General Motors Financial Co., Inc., 3-month LIBOR + 0.850%, 3.189%, 4/09/2021(b)		3,598,695
	6,165,000	Nissan Motor Acceptance Corp., 3-month LIBOR + 0.520%, 2.854%, 3/15/2021, 144A(a)(b)		6,176,433
	5,955,000	Nissan Motor Acceptance Corp., 3-month LIBOR + 0.580%, 2.917%, 1/13/2020, 144A(a)(b)		5,975,460
	6,865,000	Nissan Motor Acceptance Corp., 3.650%, 9/21/2021, 144A		6,882,355
	12,395,000	Toyota Motor Credit Corp., MTN, 3-month LIBOR + 0.280%, 2.617%, 4/13/2021(a)(b)		12,410,952
	2,955,000	Toyota Motor Credit Corp., MTN, 3-month LIBOR + 0.440%, 2.773%, 10/18/2019(a)(b)		2,968,459

				94,812,106

		Banking – 6.7%
	44,570,000	Banco Hipotecario S.A., Argentina Deposit Rates Badlar Private Banks + 4.000%, 26.917%, 11/07/2022, 144A, (ARS)(b)		800,879
	44,895,000	Banco Hipotecario S.A., Argentina Deposit Rates Badlar Private Banks + 2.500%, 36.333%, 1/12/2020, 144A, (ARS)(b)		924,590
	21,970,000	Banco Macro S.A., 17.500%, 5/08/2022, 144A, (ARS)		298,636
	46,000,000	Banco Supervielle S.A., Argentina Deposit Rates Badlar Private Banks + 4.500%, 39.125%, 8/09/2020, 144A, (ARS)(b)		995,879
	13,705,000	Bank of America NA, 3-month LIBOR + 0.250%, 2.561%, 8/28/2020(b)		13,711,346
	5,895,000	Citibank NA, 3-month LIBOR + 0.350%, 2.688%, 2/12/2021(a)(b)		5,896,873
	3,015,000	Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032		2,678,978
	6,860,000	HSBC Holdings PLC, 3-month LIBOR + 0.650%, 2.984%, 9/11/2021(b)		6,868,726
	6,240,000	JPMorgan Chase & Co., 3-month LIBOR + 0.680%, 3.001%, 6/01/2021(a)(b)		6,274,195
	13,705,000	JPMorgan Chase Bank NA, 3-month LIBOR + 0.230%, 2.545%, 9/01/2020(b)		13,725,424
	5,895,000	JPMorgan Chase Bank NA, 3-month LIBOR + 0.250%, 2.588%, 2/13/2020(a)(b)		5,898,187
	5,800,000	JPMorgan Chase Bank NA, 3-month LIBOR + 0.590%, 2.956%, 9/23/2019(a)(b)		5,826,163
	6,720,000	Mitsubishi UFJ Financial Group, Inc., 3 month LIBOR + 0.650%, 2.985%, 7/26/2021(b)		6,748,811
	6,720,000	Mitsubishi UFJ Financial Group, Inc., 3.535%, 7/26/2021		6,725,246
	3,460,000	Standard Chartered PLC, 3-month LIBOR + 1.150%, 3.558%, 1/20/2023, 144A		3,469,065
	3,460,000	Standard Chartered PLC, (fixed rate to 1/20/2022, variable rate thereafter), 4.247%, 1/20/2023, 144A		3,470,172


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		Banking – continued
$	6,000,000	Sumitomo Mitsui Banking Corp., Series 2FRN, 3-month LIBOR + 0.540%, 2.873%, 1/11/2019(a)(b)	$	6,007,659
	3,000,000	Toronto-Dominion Bank (The), MTN, 3-month LIBOR + 0.420%, 2.753%, 1/18/2019(a)(b)		3,003,558

				93,324,387

		Collateralized Mortgage Obligations – 0.1%
	1,205,738	GMACM Mortgage Loan Trust, Series 2005-AR1, Class 3A, 4.058%, 3/18/2035(d)		1,217,259

		Construction Machinery – 1.6%
	3,050,000	Caterpillar Financial Services Corp., GMTN, 3-month LIBOR + 0.290%, 2.611%, 9/04/2020(a)(b)		3,058,192
	3,065,000	Caterpillar Financial Services Corp., MTN, 3-month LIBOR + 0.230%, 2.564%, 3/15/2021(a)(b)		3,070,008
	2,400,000	Caterpillar Financial Services Corp., MTN, 3.150%, 9/07/2021		2,397,175
	6,350,000	John Deere Capital Corp., MTN, 3-month LIBOR + 0.240%, 2.574%, 3/12/2021(a)(b)		6,359,430
	6,875,000	John Deere Capital Corp., MTN, 3.125%, 9/10/2021		6,852,988

				21,737,793

		Consumer Products – 0.5%
	7,040,000	Unilever Capital Corp., 3.000%, 3/07/2022		6,971,782

		Diversified Manufacturing – 0.6%
	1,805,000	3M Co., MTN, 3.000%, 9/14/2021		1,801,934
	5,915,000	United Technologies Corp., 3-month LIBOR + 0.350%, 2.693%, 11/01/2019(a)(b)		5,929,314

				7,731,248

		Electric – 0.5%
	6,455,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(a)		7,132,775

		Finance Companies – 0.9%
	6,100,000	USAA Capital Corp., 3-month LIBOR + 0.230%, 2.573%, 2/01/2019, 144A(a)(b)		6,103,477
	6,500,000	USAA Capital Corp., 3.000%, 7/01/2020, 144A		6,472,711

				12,576,188

		Food & Beverage – 0.8%
	955,000	BRF GmbH, 4.350%, 9/29/2026, 144A(a)		813,517
	3,065,000	Campbell Soup Co., 3-month LIBOR + 0.500%, 2.834%, 3/16/2020(a)(b)		3,061,356
	1,935,000	Diageo Capital PLC, 3.000%, 5/18/2020		1,931,937


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		Food & Beverage – continued
$	3,105,000	MARB BondCo PLC, 6.875%, 1/19/2025, 144A	$	2,887,650
	2,900,000	PepsiCo, Inc., 3-month LIBOR + 0.270%, 2.607%, 10/04/2019(a)(b)		2,907,128

				11,601,588

		Government Owned - No Guarantee – 1.7%
	18,670,000,000	Financiera de Desarrollo Territorial S.A., 7.875%, 8/12/2024, 144A, (COP)(a)		6,451,037
	2,545,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		2,061,450
	4,935,000	Petrobras Global Finance BV, 5.750%, 2/01/2029		4,406,215
	6,390,000	Petrobras Global Finance BV, 5.999%, 1/27/2028		5,894,775
	950,000	Petrobras Global Finance BV, 7.250%, 3/17/2044		902,025
	3,525,000	YPF S.A., 6.950%, 7/21/2027, 144A		3,083,318
	1,930,000	YPF S.A., Argentina Deposit Rates Badlar Private Banks + 4.000%, 36.750%, 7/07/2020, 144A(b)		769,417

				23,568,237

		Health Insurance – 0.5%
	6,900,000	Halfmoon Parent, Inc., 3-month LIBOR + 0.650%, 2.984%, 9/17/2021, 144A(b)		6,910,157

		Healthcare – 0.9%
	6,065,000	CVS Health Corp., 3-month LIBOR + 0.630%, 2.957%, 3/09/2020(a)(b)		6,096,225
	6,065,000	CVS Health Corp., 3-month LIBOR + 0.720%, 3.047%, 3/09/2021(a)(b)		6,112,621

				12,208,846

		Independent Energy – 1.6%
	3,845,000	Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A(f)(i)		2,355,063
	2,750,000	California Resources Corp., 8.000%, 12/15/2022, 144A		2,626,250
	1,360,000	Callon Petroleum Co., 6.125%, 10/01/2024		1,383,800
	3,080,000	Gulfport Energy Corp., 6.375%, 5/15/2025		3,018,400
	3,400,000	Jagged Peak Energy LLC, 5.875%, 5/01/2026, 144A		3,383,000
	1,265,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		1,151,150
	1,340,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		1,222,750
	7,460,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A(c)(e)(f)(k)		—


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		Independent Energy – continued
$	4,420,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(c)(e)(f)(k)	$	—
	3,465,000	Vine Oil & Gas LP / Vine Oil Gas Finance Corp., 9.750%, 4/15/2023, 144A		3,465,000
	3,620,000	Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 8.750%, 4/15/2023, 144A		3,538,550

				22,143,963

		Integrated Energy – 0.7%
	3,335,000	Gran Tierra Energy International Holdings Ltd., 6.250%, 2/15/2025, 144A		3,265,966
	5,795,000	Shell International Finance BV, 3-month LIBOR + 0.350%, 2.684%, 9/12/2019(a)(b)		5,813,342

				9,079,308

		Life Insurance – 1.2%
	2,770,000	AIA Group Ltd., 3-month LIBOR + 0.520%, 2.858%, 9/20/2021, 144A(b)		2,772,742
	6,940,000	New York Life Global Funding, 3-month LIBOR + 0.160%, 2.556%, 10/01/2020, 144A(b)		6,943,984
	6,780,000	New York Life Global Funding, 3 month LIBOR + 0.320%, 2.661%, 8/06/2021, 144A(b)		6,793,947

				16,510,673

		Local Authorities – 0.8%
	2,900,000	Provincia de Buenos Aires, 5.750%, 6/15/2019, 144A		2,871,000
	2,280,000	Provincia de Buenos Aires, 6.500%, 2/15/2023, 144A		1,994,453
	216,360,000	Provincia de Buenos Aires, Argentina Deposit Rates Badlar Private Banks + 3.830%, 36.245%, 5/31/2022, (ARS)(b)		4,882,326
	67,000,000	Provincia de Buenos Aires, Argentina Deposit Rates Badlar Private Banks + 3.750%, 40.612%, 4/12/2025, (ARS)(b)		1,430,966

				11,178,745

		Media Entertainment – 0.4%
	5,185,000	Clear Channel Worldwide Holdings, Inc., Series B, 7.625%, 3/15/2020		5,197,962
	27,290,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)(a)		1,032,832

				6,230,794

		Midstream – 0.2%
	800,000	Tennessee Gas Pipeline Co. LLC, 7.000%, 3/15/2027		927,811
	2,160,000	Transportadora de Gas del Sur S.A., 6.750%, 5/02/2025, 144A		2,073,449

				3,001,260


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		Non-Agency Commercial Mortgage-Backed Securities – 2.1%
$	4,565,000	CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 6.272%, 4/15/2044, 144A(a)(d)	$	4,696,839
	1,900,000	Commercial Mortgage Trust, Series 2016-SAVA, Class C, 1-month LIBOR + 3.000%, 5.158%, 10/15/2034, 144A(a)(b)		1,904,523
	3,635,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A		3,254,328
	2,552,340	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.884%, 11/10/2046, 144A(a)(d)		2,633,790
	429,949	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.977%, 8/10/2045(d)		435,618
	224,164	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(d)		224,569
	1,570,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.668%, 6/15/2044, 144A(a)(d)		1,566,361
	2,125,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.668%, 6/15/2044, 144A(d)		2,027,192
	5,867,753	Motel 6 Trust, Series 2017-M6MZ, Class M, 1-month LIBOR + 6.927%, 9.085%, 8/15/2019, 144A(b)		5,924,341
	1,440,000	Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.150%, 6.308%, 11/15/2027, 144A(b)		1,368,669
	2,587,500	WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.839%, 2/15/2044, 144A(a)(d)		2,614,860
	1,809,189	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.865%, 3/15/2044, 144A(d)		1,629,317
	950,000	WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.977%, 6/15/2045, 144A(d)		782,753

				29,063,160

		Pharmaceuticals – 0.5%
	6,860,000	Pfizer, Inc., 3.000%, 9/15/2021		6,858,477

		Property & Casualty Insurance – 0.4%
	6,000,000	Berkshire Hathaway Finance Corp., 3-month LIBOR + 0.320%, 2.651%, 1/10/2020(a)(b)		6,011,793

		Retailers – 0.7%
	2,915,000	Alimentation Couche-Tard, Inc., 3-month LIBOR + 0.500%, 2.834%, 12/13/2019, 144A(a)(b)		2,915,258
	6,635,000	Walmart, Inc., 3-month LIBOR +0.230%, 2.596%, 6/23/2021(b)		6,668,293

				9,583,551

		Sovereigns – 0.1%
	29,460,000	Argentina Politica Monetaria, Argentina Central Bank 7-day Repo Reference Rate, 42.819%, 6/21/2020, (ARS)(d)		852,174

		Technology – 1.8%
	6,045,000	Apple, Inc., 3-month LIBOR + 0.070%, 2.408%, 5/11/2020(a)(b)		6,046,669
	6,955,000	Cisco Systems, Inc., 3-month LIBOR + 0.340%, 2.678%, 9/20/2019(a)(b)		6,975,307


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		Technology – continued
$	5,825,000	IBM Credit LLC, 3-month LIBOR + 0.160%, 2.501%, 2/05/2021(a)(b)	$	5,835,041
	6,000,000	International Business Machines Corp., 3-month LIBOR + 0.230%, 2.567%, 1/27/2020(a)(b)		6,016,429

				24,873,446

		Treasuries – 4.1%
	127,035,000	Republic of Poland Government Bond, 2.750%, 4/25/2028, (PLN)(a)		33,088,779
	380,700,000	Republic of South Africa Government Bond, 8.500%, 1/31/2037, (ZAR)(a)		23,922,376

				57,011,155

		Wireless – 0.1%
	1,400,000	GTT Communications, Inc., 7.875%, 12/31/2024, 144A		1,363,250

		Total Non-Convertible Bonds (Identified Cost $967,576,396)		919,663,269

	Convertible Bonds – 2.2%
		Cable Satellite – 0.5%
	4,165,000	DISH Network Corp., 2.375%, 3/15/2024		3,691,581
	2,995,000	DISH Network Corp., 3.375%, 8/15/2026		2,856,529

				6,548,110

		Diversified Operations – 0.1%
	775,000	RWT Holdings, Inc., 5.625%, 11/15/2019		782,161

		Independent Energy – 0.2%
	1,280,000	Chesapeake Energy Corp., 5.500%, 9/15/2026		1,264,316
	1,075,000	Whiting Petroleum Corp., 1.250%, 4/01/2020		1,030,980

				2,295,296

		Industrial Other – 0.1%
	1,140,000	Tutor Perini Corp., 2.875%, 6/15/2021		1,162,800

		Leisure – 0.0%
	650,000	Rovi Corp., 0.500%, 3/01/2020		613,021

		Media Entertainment – 0.0%
	575,000	Liberty Media Corp., 2.250%, 9/30/2046		314,468


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Convertible Bonds – continued
		Midstream – 0.0%
$	385,000	SM Energy Co., 1.500%, 7/01/2021	$	421,418

		Oil Field Services – 0.1%
	1,760,000	Nabors Industries, Inc., 0.750%, 1/15/2024		1,376,760

		Pharmaceuticals – 0.6%
	4,250,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		4,529,446
	780,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		935,690
	710,000	Flexion Therapeutics, Inc., 3.375%, 5/01/2024		716,911
	685,000	Horizon Pharma Investment Ltd., 2.500%, 3/15/2022		689,044
	1,395,000	Ionis Pharmaceuticals, Inc., 1.000%, 11/15/2021		1,464,750

				8,335,841

		Railroads – 0.1%
	845,000	Greenbrier Cos., Inc. (The), 2.875%, 2/01/2024		999,248

		REITs - Mortgage – 0.2%
	3,220,000	iStar, Inc., 3.125%, 9/15/2022, 144A		3,130,278

		Technology – 0.3%
	3,435,000	Finisar Corp., 0.500%, 12/15/2036		3,146,608
	1,500,000	Verint Systems, Inc., 1.500%, 6/01/2021		1,544,890

				4,691,498

		Wirelines – 0.0%
	595,000	GCI Liberty, Inc., 1.750%, 9/30/2046, 144A		653,933

		Total Convertible Bonds (Identified Cost $31,941,333)		31,324,832

		Total Bonds and Notes (Identified Cost $999,517,729)		950,988,101

	Senior Loans – 11.6%
		Aerospace & Defense – 0.3%
	1,020,704	Engility Corp., Term Loan B2, 1-month LIBOR + 2.750%, 4.992%, 8/12/2023(b)		1,023,041
	588,386	TransDigm, Inc., 2018 Term Loan E, 1-month LIBOR + 2.500%, 4.742%, 5/30/2025(b)		589,881
	2,356,402	TransDigm, Inc., 2018 Term Loan F, 1-month LIBOR + 2.500%, 4.742%, 6/09/2023(b)		2,364,367


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Aerospace & Defense – continued
$	661,650	TransDigm, Inc., 2018 Term Loan G, 1-month LIBOR + 2.500%, 4.742%, 8/22/2024(b)	$	663,456

				4,640,745

		Automotive – 0.4%
	2,305,000	BBB Industries U.S. Holdings, Inc., 2018 1st Lien Term Loan, 1-month LIBOR + 4.500%, 6.604%, 8/01/2025(b)		2,307,881
	724,525	Belron Finance U.S. LLC, USD Term Loan B, 3-month LIBOR + 2.500%, 4.843%, 11/07/2024(b)		728,148
	2,749,252	Truck Hero, Inc., 1st Lien Term Loan, 1-month LIBOR + 3.750%, 5.962%, 4/21/2024(b)		2,755,273

				5,791,302

		Building Materials – 0.8%
	3,328,106	American Builders & Contractors Supply Co., Inc., 2018 Term Loan B, 1-month LIBOR + 2.000%, 4.242%, 10/31/2023(b)		3,317,123
	392,038	Atkore International, Inc., 2016 1st Lien Term Loan, 3-month LIBOR + 2.750%, 5.140%, 12/22/2023(b)		393,629
	3,303,340	Hamilton Holdco LLC, 2018 Term Loan B, 3-month LIBOR + 2.000%, 4.340%, 7/02/2025(b)		3,307,469
	517,400	NCI Building Systems, Inc., 2018 Term Loan, 1-month LIBOR + 2.000%, 4.242%, 2/07/2025(b)		517,726
	3,546,438	Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 1-month LIBOR + 2.750%, 4.992%, 11/15/2023(b)		3,553,106

				11,089,053

		Cable Satellite – 1.4%
	1,856,600	Altice U.S. Finance I Corp., 2017 Term Loan B, 1-month LIBOR + 2.250%, 4.492%, 7/28/2025(b)		1,854,279
	2,851,806	CSC Holdings LLC, 2017 1st Lien Term Loan, 1-month LIBOR + 2.250%, 4.408%, 7/17/2025(b)		2,850,608
	1,650,000	Telenet Financing USD LLC, USD Term Loan AN, 1-month LIBOR + 2.250%, 4.408%, 8/15/2026(b)		1,642,525
	4,350,409	Unitymedia Finance LLC, Term Loan B, 1-month LIBOR + 2.250%, 4.408%, 9/30/2025(b)		4,353,672
	1,340,000	Unitymedia Hessen GmbH & Co. KG, 2018 Term Loan E, 1-month LIBOR + 2.000%, 4.158%, 6/01/2023(b)		1,341,005
	4,125,000	Virgin Media Bristol LLC, Term Loan K, 1-month LIBOR + 2.500%, 4.658%, 1/15/2026(b)		4,131,105
	3,999,734	Ziggo Secured Finance Partnership, USD Term Loan E, 1-month LIBOR + 2.500%, 4.658%, 4/15/2025(b)		3,925,579

				20,098,773

		Chemicals – 0.7%
	1,889,836	Axalta Coating Systems US Holdings, Inc., USD Term Loan B3, 3-month LIBOR + 1.750%, 4.136%, 6/01/2024(b)		1,892,841
	3,940,125	Consolidated Energy Finance, S.A., Term Loan B, 1-month LIBOR + 2.500%, 4.633%, 5/07/2025(b)		3,925,350
	1,616,875	Plaskolite, Inc., 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.742%, 11/03/2022(b)		1,616,875
	700,000	Starfruit Finco B.V, 2018 USD Term Loan B, 9/20/2025(l)		702,674
	710,003	WR Grace & Co., Term Loan B1, 3-month LIBOR + 1.750%, 4.136%, 4/03/2025(b)		712,225


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Chemicals – continued
$	1,217,148	WR Grace & Co., Term Loan B2, 3-month LIBOR + 1.750%, 4.136%, 4/03/2025(b)	$	1,220,957

				10,070,922

		Consumer Cyclical Services – 0.1%
	295,000	FrontDoor, Inc., 2018 Term Loan B, 1-month LIBOR + 2.500%, 4.750%, 8/14/2025(b)		296,661
	862,838	Trans Union LLC, 2018 Term Loan B4, 1-month LIBOR + 2.000%, 4.242%, 6/19/2025(b)		865,176

				1,161,837

		Consumer Products – 0.3%
	3,147,113	Coty, Inc., 2018 USD Term Loan B, 1-month LIBOR + 2.250%, 4.383%, 4/07/2025(b)		3,109,756
	435,000	Energizer Holdings, Inc., 2018 Term Loan B, 6/20/2025(l)		436,362

				3,546,118

		Diversified Manufacturing – 0.1%
	1,089,819	Engineered Machinery Holdings, Inc., USD 1st Lien Term Loan, 3-month LIBOR + 3.250%, 5.636%, 7/19/2024(b)		1,074,834

		Electric – 0.8%
	4,170,337	AES Corp., 2018 Term Loan B, 3-month LIBOR + 1.750%, 4.067%, 5/31/2022(b)		4,169,462
	3,323,537	Plantronics, Inc., 2018 Term Loan B, 1-month LIBOR + 2.500%, 4.742%, 7/02/2025(b)		3,333,939
	2,960,060	Vistra Energy Corp., 1st Lien Term Loan B3, 1-month LIBOR + 2.000%, 4.181%, 12/31/2025(m)		2,962,280

				10,465,681

		Environmental – 0.1%
	137,511	GFL Environmental, Inc., 2018 Delayed Draw Term Loan, 3-month LIBOR + 2.750%, 2.750%, 5/30/2025(n)		137,569
	1,104,195	GFL Environmental, Inc., 2018 USD Term Loan B, 3-month LIBOR + 2.750%, 5.136%, 5/30/2025(b)		1,104,659

				1,242,228

		Food & Beverage – 0.6%
	1,804,701	Aramark Services, Inc., 2018 Term Loan B3, 3-month LIBOR + 1.750%, 4.084%, 3/11/2025(b)		1,809,213
	4,074,504	JBS USA LLC, 2017 Term Loan B, 3-month LIBOR + 2.500%, 4.844%, 10/30/2022(m)		4,082,409
	2,952,797	Post Holdings, Inc., 2017 Series A Incremental Term Loan, 1-month LIBOR + 2.000%, 4.220%, 5/24/2024(b)		2,952,266

				8,843,888

		Health Insurance – 0.2%
	2,775,507	Sedgwick Claims Management Services, Inc., 1st Lien Term Loan, 1-month LIBOR + 2.750%, 4.992%, 3/01/2021(b)		2,775,951

		Healthcare – 0.4%
	1,128,600	IQVIA, Inc., 2017 USD Term Loan B2, 3-month LIBOR + 2.000%, 4.386%, 1/17/2025(b)		1,132,133


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Healthcare – continued
$	3,231,900	IQVIA, Inc., 2018 USD Term Loan B3, 3-month LIBOR + 1.750%, 4.136%, 6/07/2025(b)	$	3,229,217
	1,226,741	Surgery Center Holdings, Inc., 2017 Term Loan B, 3-month LIBOR + 3.250%, 5.570%, 9/02/2024(b)		1,226,226

				5,587,576

		Independent Energy – 0.3%
	811,000	California Resources Corp., 2017 1st Lien Term Loan, 1-month LIBOR + 4.750%, 6.962%, 12/31/2022(b)		822,824
	1,120,000	Gavilan Resources LLC, 2nd Lien Term Loan, 3/01/2024(l)		1,054,670
	2,620,000	Gavilan Resources LLC, 2nd Lien Term Loan, 1-month LIBOR + 6.000%, 8.165%, 3/01/2024(b)		2,467,176

				4,344,670

		Industrial Other – 0.1%
	875,000	Altra Industrial Motion Corp., 2018 Term Loan B, 9/05/2025(l)		876,365
	545,730	ASGN, Inc., 2018 Term Loan B2, 1-month LIBOR + 2.000%, 4.242%, 4/02/2025(b)		547,263

				1,423,628

		Internet & Data – 0.1%
	1,341,450	NeuStar, Inc., 2018 Term Loan B4, 1-month LIBOR + 3.500%, 5.742%, 8/08/2024(b)		1,342,644

		Leisure – 0.1%
	805,000	Marriott Ownership Resorts, Inc., 2018 Term Loan B, 1-month LIBOR + 2.250%, 4.492%, 8/29/2025(b)		811,037

		Lodging – 0.1%
	855,000	Wyndham Hotels & Resorts, Inc., Term Loan B, 1-month LIBOR + 1.750%, 3.992%, 5/30/2025(b)		857,317

		Media Entertainment – 0.4%
	1,486,193	Camelot UK Holdco Ltd., 2017 Repriced Term Loan, 1-month LIBOR + 3.250%, 5.492%, 10/03/2023(b)		1,486,193
	3,143,052	CBS Radio, Inc., 2017 Term Loan B, 1-month LIBOR + 2.750%, 4.962%, 11/17/2024(b)		3,114,985
	391,607	Donnelley Financial Solutions, Inc., 2017 Term Loan B, 1-Month LIBOR + 3.000%, 5.242%, 10/02/2023(b)		391,607
	537,300	Lamar Media Corp., 2018 Term Loan B, 1-month LIBOR + 1.750%, 3.938%, 3/14/2025(b)		539,315

				5,532,100

		Metals & Mining – 0.5%
	3,306,150	GrafTech Finance, Inc., 2018 Term Loan B, 1-month LIBOR + 3.500%, 5.742%, 2/12/2025(b)		3,326,813
	3,144,200	U.S. Silica Co., 2018 Term Loan B, 1-month LIBOR + 4.000%, 6.250%, 5/01/2025(b)		3,070,500

				6,397,313


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Midstream – 0.2%
$	1,683,688	BCP Raptor LLC, Term Loan B, 1-month LIBOR + 4.250%, 6.480%, 6/24/2024(b)	$	1,656,328
	610,000	Grizzly Acquisitions Inc., 2018 Term Loan B, 9/21/2025(l)		611,525

				2,267,853

		Packaging – 0.2%
	2,997,063	BWAY Holding Co., 2017 Term Loan B, 3-month LIBOR + 3.250%, 5.581%, 4/03/2024(b)		2,993,316
	224,438	Crown Americas LLC, 2018 Term Loan B, 1-week LIBOR + 2.000%, 4.163%, 4/03/2025(b)		225,439

				3,218,755

		Pharmaceuticals – 0.1%
	1,908,829	Change Healthcare Holdings LLC, 2017 Term Loan B, 1-month LIBOR + 2.750%, 4.992%, 3/01/2024(b)		1,914,498

		Property & Casualty Insurance – 0.5%
	1,875,300	Hub International Ltd., 2018 Term Loan B, 3-month LIBOR + 3.000%, 5.335%, 4/25/2025(b)		1,878,582
	1,454,665	Hyperion Insurance Group Ltd., 2017 Repriced Term Loan, 1-month LIBOR + 3.500%, 5.750%, 12/20/2024(b)		1,462,243
	3,234,394	USI, Inc., 2017 Repriced Term Loan, 3-month LIBOR + 3.000%, 5.386%, 5/16/2024(b)		3,235,203

				6,576,028

		Restaurants – 0.3%
	3,600,061	1011778 B.C. Unlimited Liability Co., Term Loan B3, 1-month LIBOR + 2.250%, 4.492%, 2/16/2024(b)		3,600,960
	995,000	IRB Holding Corp., 1st Lien Term Loan, 2-month LIBOR + 3.250%, 5.460%, 2/05/2025(b)		995,627

				4,596,587

		Retailers – 0.2%
	1,042,125	Hanesbrands, Inc., 2017 Term Loan B, 1-month LIBOR + 1.750%, 3.992%, 12/15/2024(b)		1,046,689
	1,309,947	Harbor Freight Tools USA, Inc., 2018 Term Loan B, 1-month LIBOR + 2.500%, 4.742%, 8/18/2023(b)		1,310,353
	387,434	J.C. Penney Corp., Inc., 2016 Term Loan B, 6/23/2023(l)		355,277

				2,712,319

		Technology – 1.5%
	3,167,905	Almonde, Inc., USD 1st Lien Term Loan, LIBOR + 3.500%, 5.886%, 6/13/2024(o)		3,168,856
	2,940,438	Dell International LLC, 2017 Term Loan A2, 1-month LIBOR + 1.750%, 4.000%, 9/07/2021(b)		2,940,967
	3,010,286	First Data Corp., 2017 USD Term Loan, 1-month LIBOR + 2.000%, 4.212%, 7/08/2022(b)		3,014,741
	3,139,225	Iron Mountain, Inc., 2018 Term Loan B, 1-month LIBOR + 1.750%, 3.992%, 1/02/2026(b)		3,104,882
	437,476	MA FinanceCo. LLC, USD Term Loan B3, 1-month LIBOR + 2.500%, 4.742%, 6/21/2024(b)		436,019


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Technology – continued
$	1,466,710	Microchip Technology, Inc., 2018 Term Loan B, 1-month LIBOR + 2.000%, 4.250%, 5/29/2025(b)	$	1,467,018
	1,377,940	Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, 3-month LIBOR + 3.000%, 5.348%, 11/03/2023(b)		1,358,566
	2,954,384	Seattle Spinco, Inc., USD Term Loan B3, 1-month LIBOR + 2.500%, 4.742%, 6/21/2024(b)		2,944,546
	1,824,856	SS&C Technologies, Inc., 2018 Term Loan B5, 4/16/2025(l)		1,825,422

				20,261,017

		Transportation Services – 0.4%
	1,730,663	Uber Technologies, 2018 Term Loan, 1-month LIBOR + 4.000%, 6.120%, 4/04/2025(b)		1,739,852
	4,203,879	Uber Technologies, Inc., 2018 Incremental Term Loan, 1-month LIBOR + 3.500%, 5.648%, 7/13/2023(b)		4,215,440

				5,955,292

		Wireless – 0.4%
	2,073,065	GTT Communications, Inc., 2018 USD Term Loan B, 1-month LIBOR + 2.750%, 4.990%, 5/31/2025(b)		2,055,216
	2,782,625	Sprint Communications, Inc., 1st Lien Term Loan B, 1-month LIBOR + 2.500%, 4.750%, 2/02/2024(b)		2,789,582
	1,358,961	UPC Financing Partnership, USD Term Loan AR, 1-month LIBOR + 2.500%, 4.658%, 1/15/2026(b)		1,357,778

				6,202,576

		Total Senior Loans (Identified Cost $160,775,533)		160,802,542

	Loan Participations – 0.5%
		ABS Other – 0.5%
	5,418,606	Harbour Aircraft Investments Ltd., Series 2017-1, Class C, 8.000%, 11/15/2037(c)(e)		5,488,905
	1,516,292	Rise Ltd., Term Loan A, 4.750%, 2/15/2039(a)(c)(d)		1,482,175

		Total Loan Participations (Identified Cost $6,933,767)		6,971,080


Shares
	Preferred Stocks – 0.6%
	Convertible Preferred Stocks – 0.3%
		Food & Beverage – 0.2%
	32,272	Bunge Ltd., 4.875%		3,472,467

		Midstream – 0.1%
	1,714	Chesapeake Energy Corp., 5.750%		1,078,260

		Total Convertible Preferred Stocks (Identified Cost $4,135,098)		4,550,727


Shares		Description	Value (†)
	Preferred Stocks – continued
	Non-Convertible Preferred Stocks – 0.3%
		Cable Satellite – 0.3%
	4,040,000	NBCUniversal Enterprise, Inc., 5.250%, 144A(a) (Identified Cost $4,040,000)	$	4,096,537

		Total Preferred Stocks (Identified Cost $8,175,098)		8,647,264

	Common Stocks – 3.9%
		Aerospace & Defense – 0.1%
	1,896	Boeing Co. (The)		705,122
	1,456	Northrop Grumman Corp.		462,091
	6,005	United Technologies Corp.		839,559

				2,006,772

		Air Freight & Logistics – 0.0%
	1,899	FedEx Corp.		457,260

		Airlines – 0.0%
	4,550	Delta Air Lines, Inc.		263,127

		Auto Components – 0.0%
	2,209	Aptiv PLC		185,335

		Automobiles – 0.0%
	8,337	General Motors Co.		280,707

		Banks – 0.3%
	24,887	Bank of America Corp.		733,171
	11,583	BB&T Corp.		562,239
	12,323	JPMorgan Chase & Co.		1,390,527
	10,301	PacWest Bancorp		490,843
	4,152	PNC Financial Services Group, Inc. (The)		565,461
	9,409	Wells Fargo & Co.		494,537

				4,236,778

		Beverages – 0.1%
	6,384	PepsiCo, Inc.		713,731

		Chemicals – 0.1%
	2,590	Celanese Corp., Series A		295,260
	3,892	DowDuPont, Inc.		250,295
	13,010	Huntsman Corp.		354,262

				899,817

		Construction Materials – 0.3%
	673,076	Cemex SAB de CV, Sponsored ADR(h)		4,738,455

		Containers & Packaging – 0.0%
	3,873	WestRock Co.		206,973

		Diversified Telecommunication Services – 0.1%
	6,454	AT&T, Inc.		216,726


Shares		Description	Value (†)
	Common Stocks – continued
		Diversified Telecommunication Services – continued
	25,061	CenturyLink, Inc.	$	531,293

				748,019

		Electric Utilities – 0.1%
	5,407	American Electric Power Co., Inc.		383,248
	12,177	Exelon Corp.		531,648
	5,284	NextEra Energy, Inc.		885,598

				1,800,494

		Energy Equipment & Services – 0.0%
	13,248	Patterson-UTI Energy, Inc.		226,673

		Entertainment – 0.1%
	6,121	Walt Disney Co. (The)		715,790

		Food & Staples Retailing – 0.1%
	1,451	Costco Wholesale Corp.		340,811
	4,251	Walmart, Inc.		399,211

				740,022

		Food Products – 0.1%
	17,772	Mondelez International, Inc., Class A		763,485

		Health Care Equipment & Supplies – 0.1%
	8,768	Medtronic PLC		862,508

		Health Care Providers & Services – 0.1%
	1,490	Laboratory Corp. of America Holdings(h)		258,783
	6,034	UnitedHealth Group, Inc.		1,605,286

				1,864,069

		Hotels, Restaurants & Leisure – 0.1%
	11,096	Hilton Worldwide Holdings, Inc.		896,335
	4,350	McDonald’s Corp.		727,711

				1,624,046

		Household Products – 0.1%
	9,896	Procter & Gamble Co. (The)		823,644

		Industrial Conglomerates – 0.1%
	5,164	Honeywell International, Inc.		859,290

		Insurance – 0.1%
	5,496	Chubb Ltd.		734,486
	6,666	Fidelity National Financial, Inc.		262,307
	3,831	Prudential Financial, Inc.		388,157

				1,384,950

		IT Services – 0.1%
	7,509	Automatic Data Processing, Inc.		1,131,306
	5,132	Visa, Inc., Class A		770,262

				1,901,568


Shares		Description	Value (†)
	Common Stocks – continued
		Machinery – 0.0%
	1,212	Altra Industrial Motion Corp.	$	50,056
	2,399	Deere & Co.		360,642
	3,278	Fortive Corp.		276,007

				686,705

		Media – 0.2%
	65,740	Comcast Corp., Class A		2,327,853

		Oil, Gas & Consumable Fuels – 0.7%
	34,950	Canadian Natural Resources Ltd.		1,141,865
	16,575	Canadian Natural Resources Ltd.		541,340
	3,962	Chevron Corp.		484,474
	2,135	Diamondback Energy, Inc.		288,631
	1,884	Dommo Energia S.A., Sponsored ADR		61,230
	153,694	Encana Corp.		2,014,928
	1,366	Exxon Mobil Corp.		116,137
	1,990	Marathon Petroleum Corp.		159,140
	2,487	Valero Energy Corp.		282,896
	73,856	Whiting Petroleum Corp.(h)		3,917,322
	7,552	Williams Cos., Inc. (The)		205,339

				9,213,302

		Personal Products – 0.0%
	3,270	Estee Lauder Cos., Inc. (The), Class A		475,196

		Pharmaceuticals – 0.4%
	13,035	Allergan PLC		2,482,907
	10,093	Bristol-Myers Squibb Co.		626,573
	6,054	Eli Lilly & Co.		649,655
	5,137	Johnson & Johnson		709,779
	6,069	Zoetis, Inc.		555,678

				5,024,592

		Road & Rail – 0.0%
	5,926	CSX Corp.		438,820

		Semiconductors & Semiconductor Equipment – 0.1%
	36,311	Cypress Semiconductor Corp.		526,146
	17,272	Teradyne, Inc.		638,719

				1,164,865

		Software – 0.2%
	14,978	Microsoft Corp.		1,713,034
	27,407	Oracle Corp.		1,413,105

				3,126,139

		Specialty Retail – 0.0%
	602	Home Depot, Inc. (The)		124,704

		Technology Hardware, Storage & Peripherals – 0.1%
	8,363	Apple, Inc.		1,887,864


Shares		Description	Value (†)
	Common Stocks – continued
		Tobacco – 0.1%
	13,469	Altria Group, Inc.	$	812,315

		Total Common Stocks (Identified Cost $47,969,474)		53,585,868

	Exchange-Traded Funds – 0.9%
	30,500	Invesco QQQ Trust, Series 1		5,666,595
	128,943	Financial Select Sector SPDR^® Fund		3,556,248
	64,459	iShares^® China Large-Cap ETF		2,760,134

		Total Exchange-Traded Funds (Identified Cost $10,557,254)		11,982,977

	Other Investments – 0.6%
		Aircraft ABS – 0.6%
	58,545	Aergen LLC(c)(e)(f)(g)		59
	900	ECAF I Blocker Ltd.(c)(e)(f)(g)		8,071,875

		Total Other Investments (Identified Cost $8,660,584)		8,071,934

	Total Purchased Options – 0.0% (Identified Cost $469,223) (see detail below)			324,915


Principal Amount (‡)
	Short-Term Investments – 11.7%
$	50,352,814	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/28/2018 at 1.300% to be repurchased at $50,358,269 on 10/01/2018 collateralized by $48,800,000 U.S. Treasury Bond, 3.375% due 5/15/2044 valued at $51,034,113; $345,000 U.S. Treasury Note, 2.000% due 10/31/2022 valued at $335,296 including accrued interest(p)		50,352,814
	5,400,000	U.S. Treasury Bills, 1.693%, 12/06/2018(q)(r)		5,378,938
	18,400,000	U.S. Treasury Bills, 1.895%, 01/03/2019(q)		18,294,422
	18,400,000	U.S. Treasury Bills, 1.960%, 01/31/2019(a)(q)		18,261,337
	16,620,000	U.S. Treasury Bills, 2.093%, 03/28/2019(q)		16,430,583
	6,850,000	U.S. Treasury Bills, 2.126%, 01/24/2019(q)		6,801,750
	13,795,000	U.S. Treasury Bills, 2.171%, 02/14/2019(q)		13,677,287
	26,150,000	U.S. Treasury Bills, 2.209%, 04/25/2019(q)		25,799,477
	6,970,000	U.S. Treasury Bills, 2.336%, 07/18/2019(q)		6,832,580

		Total Short-Term Investments (Identified Cost $161,914,550)		161,829,188

		Total Investments – 98.3% (Identified Cost $1,404,973,212)		1,363,203,869
		Other assets less liabilities – 1.7%		24,236,193

		Net Assets – 100.0%	$	1,387,440,062


Purchased Options – 0.0%
Description	Expiration Date	Exercise Price		Shares/Units of Currency(†††)		Notional Amount		Cost		Value (†)
Options on Securities – 0.0%
Financial Select Sector SPDR^® Fund, Put(h)	10/19/2018		28		128,900	$	3,555,062	$	122,822	$	77,340


Description	Expiration Date		Exercise Price		Shares/Units of Currency(†††)		Notional Amount		Cost		Value (†)
Purchased Options – continued
Over-the-Counter Options on Currency – 0.0%
EUR, Put(h)(s)		01/14/2019		0.8995		9,928,000	$	11,639,672	$	346,401	$	247,575

Total									$	469,223	$	324,915

(†)

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

Senior loans are valued at bid prices supplied by an independent pricing service, if available.

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.

Centrally cleared swap agreements are valued at settlement prices of the clearinghouse on which the contracts were traded or prices obtained from broker-dealers.

Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service.

Bilateral interest rate swaps are valued based on prices supplied by an independent pricing source.

Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations.

Options on futures contracts are valued using the current settlement price on the exchange on which, over time, they are traded most extensively.

Option contracts on domestic indices are valued at the average of the closing bid and ask quotations as of the close of trading on the Chicago Board Options Exchange (“CBOE”).

Option contracts on foreign indices are priced at the most recent settlement price.

Other exchange-traded options are valued at the average of the closing bid and ask quotations on the exchange on which, over time, they are traded most extensively.

Over-the-counter (“OTC”) currency options and swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available.

Other OTC option contracts (including currency options and swaptions not priced through an independent pricing service) are valued based on quotations obtained from broker-dealers.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Fund’s pricing policies and procedures.

As of September 30, 2018, securities held by the Fund were fair valued as follows:

Securities classified

as fair valued

Percentage of
Net Assets

Securities fair valued by the
Fund’s adviser

Percentage of
Net Assets

$5,113,971

0.4

20,131,770

1.5


		The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(‡)		Principal Amount stated in U.S. dollars unless otherwise noted.
(†††)		Options on securities are expressed as shares. Options on currency are expressed as units of currency.
(a)		Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
(b)		Variable rate security. Rate as of September 30, 2018 is disclosed.
(c)		Level 3 security. Value has been determined using significant unobservable inputs.
(d)		Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of September 30, 2018 is disclosed.
(e)		Fair valued by the Fund’s adviser. At September 30, 2018, the value of these securities amounted to $20,131,770 or 1.5% of net assets.
(f)		Illiquid security.
(g)		Securities subject to restriction on resale. At September 30, 2018, the restricted securities held by the Fund are as follows:


	Acquisition Date		Acquisition Cost		Value		% of Net Assets
Aergen LLC		March 06, 2017	$	5,854,500	$	59		Less than 0.1	%
ECAF I Blocker Ltd.		June 18, 2015		9,000,000		8,071,875		0.6	%
GCA2014 Holdings Ltd., Series 2014-1, Class C		December 18, 2014		2,069,787		1,654,999		0.1	%
GCA2014 Holdings Ltd., Series 2014-1, Class D		December 18, 2014		820,999		345,170		Less than 0.1	%
GCA2014 Holdings Ltd., Series 2014-1, Class E		December 18, 2014		2,657,606		—		—


(h)		Non-income producing security.
(i)		Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2018, the value of these securities amounted to $5,113,971 or 0.4% of net assets.
(j)		Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period.
(k)		The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(l)		Position is unsettled. Contract rate was not determined at September 30, 2018 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
(m)		Variable rate security. Rate shown represents the weighted average rate of underlying contracts at September 30, 2018.
(n)		Unfunded loan commitment. An unfunded loan commitment is a contractual obligation for future funding at the option of the Borrower. The Fund receives a stated coupon rate until the borrower draws on the loan commitment, at which time the rate will become the stated rate in the loan agreement.
(o)		Variable rate security. Rate shown represents the weighted average rate of underlying contracts at September 30, 2018. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period.
(p)		The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of September 30, 2018, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.
(q)		Interest rate represents discount rate at time of purchase; not a coupon rate.
(r)		Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
(s)		Counterparty is Deutsche Bank AG.



144A		All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2018, the value of Rule 144A holdings amounted to $377,436,272 or 27.2% of net assets.
ABS		Asset-Backed Securities
ADR		An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
ARS		Auction Rate Security
CDOR		Canadian Dollar Offered Rate
EMTN		Euro Medium Term Note
ETF		Exchange-Traded Fund
EURIBOR		Euro Interbank Offered Rate
GMTN		Global Medium Term Note LIBOR
LIBOR		London Interbank Offered Rate


MTN		Medium Term Note
REITs		Real Estate Investment Trusts
SLM		Sallie Mae
ARS		Argentine Peso
BRL		Brazilian Real
CAD		Canadian Dollar
CHF		Swiss Franc
CLP		Chilean Peso
COP		Colombian Peso
EUR		Euro
GBP		British Pound
ILS		Israeli Shekel
JPY		Japanese Yen
MXN		Mexican Peso
MYR		Malaysian Ringgit
NZD		New Zealand Dollar
PEN		Peruvian Sol
PHP		Philippine Peso
PLN		Polish Zloty
RUB		New Russian Ruble
SEK		Swedish Krona
SGD		Singapore Dollar
THB		Thai Baht
USD		U.S. Dollar
ZAR		South African Rand

Swap Agreements

The Fund may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

Swap agreements are valued daily and fluctuations in the value are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded as receivable or payable. When received or paid, fees are recorded as realized gain or loss. Upfront premiums paid or received by the Fund are recorded as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Fund as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund’s counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty. The Fund covers its net obligations under outstanding swap agreements by segregating or earmarking cash or securities.

At September 30, 2018, the Fund had the following open bilateral credit default swap agreements:

Buy Protection


Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate¹			Expiration Date		Notional Value(‡)		Unamortized Up Front Premium Paid/(Received)			Market Value			Unrealized Appreciation (Depreciation)
Bank of America, N.A.	Enel SpA		(1.00	%)		6/20/2023		6,100,000 EUR	$	(3,288	)	$	(34,641	)	$	(31,353	)
Morgan Stanley Capital Services, Inc.	CDX.EM Series 30, 5-Year		(1.00	%)		12/20/2023		18,565,000		901,278			780,054			(121,224	)
Morgan Stanley Capital Services, Inc.	Markit iTraxx Asia ex-Japan Index Series 30, 5-Year		(1.00	%)		12/20/2023		15,295,000		(128,242	)		(141,369	)		(13,127	)

Total												$	604,044		$	(165,704	)

At September 30, 2018, the Fund had the following open centrally cleared interest rate swap agreements:


Notional Value	Currency	Expiration Date	Fund Pays	Fund Receives			Market Value			Unrealized Appreciation (Depreciation)³
16,700,000	CAD	9/14/2027	2.351%²		3-month CDOR	²	$	458,472		$	458,136
39,700,000	CAD	9/15/2027	2.365%²		3-month CDOR	²		1,055,905			1,055,094
39,700,000	CAD	9/15/2027	2.360%²		3-month CDOR	²		1,068,282			1,067,475
39,700,000	CAD	9/18/2027	2.386%²		3-month CDOR	²		1,005,875			1,005,047
30,950,000	CAD	9/19/2027	2.363%²		3-month CDOR	²		829,688			829,051
41,000,000	CAD	9/14/2021	3-month CDOR²		2.095	%²		(475,030	)		(474,587	)
97,600,000	CAD	9/15/2021	3-month CDOR²		2.115	%²		(1,089,567	)		(1,088,480	)
97,600,000	CAD	9/15/2021	3-month CDOR²		2.110	%²		(1,100,358	)		(1,099,279	)
97,600,000	CAD	9/18/2021	3-month CDOR²		2.120	%²		(1,084,604	)		(1,083,509	)
76,460,000	CAD	9/19/2021	3-month CDOR²		2.070	%²		(934,798	)		(933,989	)
153,000,000	USD	7/24/2020	3-month LIBOR¹		2.829	%²		(362,677	)		(362,677	)
133,420,000	USD	1/5/2028	2.432%²		3-month LIBOR	¹		7,309,839			7,309,839
673,470,000	USD	1/5/2020	3-month LIBOR¹		2.110	%²		(6,337,272	)		(6,337,272	)
89,205,000	CAD	4/9/2022	3-month CDOR²		2.365	%²		(664,443	)		(664,443	)
158,670,000	USD	4/13/2020	3-month LIBOR¹		2.601	%²		(757,827	)		(757,827	)
161,300,000	USD	7/16/2028	2.930%²		3-month LIBOR	¹		2,499,652			2,499,652
729,650,000	USD	7/16/2020	3-month LIBOR¹		2.826	%²		(1,718,567	)		(1,718,567	)
26,784,000	CAD	4/9/2028	2.564%²		3-month CDOR	²		426,996			426,996
19,565,000	USD	4/11/2028	2.826%²		3-month LIBOR	¹		459,973			459,973

Total							$	589,539		$	590,633

(‡)	Notional value stated in U.S. dollars unless otherwise noted.

¹	Payments are made quarterly.

²	Payments are made semiannually.

³	Differences between unrealized appreciation (depreciation) and market value, if any, are due to interest booked as part of the initial trades.

Forward Foreign Currency Contracts

At September 30, 2018, the Fund had the following open forward foreign currency contracts:


Counterparty	Delivery Date		Currency Bought/ Sold (B/S)		Units of Currency			In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
Bank of America, N.A.		10/16/2018		CLP		B	288,625,000	$	428,863	$	438,922	$	10,059
Bank of America, N.A.		10/16/2018		CLP		S	288,625,000		412,852		438,922		(26,070	)
BNP Paribas S.A.		10/09/2018		SEK		S	3,730,000		410,184		419,934		(9,750	)


Citibank N.A.	10/09/2018	JPY	S	60,720,000	$	546,436	$	534,687	$	11,749
Credit Suisse International	10/29/2018	COP	S	18,400,000,000		6,112,145		6,211,732		(99,587	)
Deutsche Bank AG	10/24/2018	BRL	S	2,710,000		653,232		669,980		(16,748	)
Deutsche Bank AG	10/31/2018	EUR	S	2,000,000		2,351,890		2,327,359		24,531
Deutsche Bank AG	10/31/2018	GBP	S	5,095,000		6,711,185		6,649,354		61,831
Goldman Sachs & Co.	10/10/2018	EUR	S	475,000		550,885		551,846		(961	)
Goldman Sachs & Co.	10/09/2018	MYR	B	5,645,000		1,361,389		1,363,757		2,368
HSBC Bank USA	10/09/2018	NZD	B	625,000		406,751		414,300		7,549
HSBC Bank USA	10/09/2018	NZD	S	625,000		409,121		414,300		(5,179	)
Morgan Stanley Capital Services, Inc.	10/22/2018	CHF	S	400,000		416,843		408,306		8,537
Morgan Stanley Capital Services, Inc.	10/09/2018	EUR	S	355,000		411,643		412,400		(757	)
Morgan Stanley Capital Services, Inc.	10/24/2018	GBP	S	1,225,000		1,627,437		1,598,219		29,218
Morgan Stanley Capital Services, Inc.	10/23/2018	NZD	S	630,000		414,543		417,647		(3,104	)
Morgan Stanley Capital Services, Inc.	10/09/2018	PEN	B	3,570,000		1,078,615		1,080,231		1,616
Morgan Stanley Capital Services, Inc.	10/09/2018	PHP	B	46,980,000		875,252		869,042		(6,210	)
Morgan Stanley Capital Services, Inc.	10/15/2018	PLN	S	120,345,000		32,378,049		32,651,118		(273,069	)
Morgan Stanley Capital Services, Inc.	10/29/2018	RUB	S	42,035,000		635,258		639,882		(4,624	)
Morgan Stanley Capital Services, Inc.	10/16/2018	THB	B	22,590,000		689,560		698,815		9,255
Morgan Stanley Capital Services, Inc.	10/31/2018	ZAR	S	361,810,000		25,333,287		25,487,317		(154,030	)
UBS AG	10/09/2018	ILS	S	1,485,000		411,587		408,476		3,111
UBS AG	10/09/2018	SGD	S	915,000		665,251		669,457		(4,206	)

Total									$	(434,471	)

Futures Contracts

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

At September 30, 2018, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
CBOE SPX Volatility Index		12/19/2018		128	$	2,026,509	$	1,948,800	$	(77,709	)

At September 30, 2018, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500^®		12/21/2018		237	$	34,317,621	$	34,590,150	$	(272,529	)
Ultra 10 Year U.S. Treasury Note		12/19/2018		327		41,182,599		41,202,000		(19,401	)
Ultra Long U.S. Treasury Bond		12/19/2018		131		20,188,870		20,210,844		(21,974	)

Total									$	(313,904	)

Fair Value Measurements.

•

Level 1 — quoted prices in active markets for identical assets or liabilities;

•

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2018, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—	$	120,941,782	$	4,865,000	(a)	$	125,806,782
ABS Home Equity		—		132,037,596		1,951,193	(b)		133,988,789
ABS Other		—		56,489,297		2,000,169	(c)(e)		58,489,466
ABS Student Loan		—		9,065,369		6,395,088	(d)		15,460,457
Independent Energy		—		22,143,963		—	(e)		22,143,963
All Other Non-Convertible Bonds*		—		563,773,812		—			563,773,812

Total Non-Convertible Bonds		—		904,451,819		15,211,450			919,663,269

Convertible Bonds*		—		31,324,832		—			31,324,832

Total Bonds and Notes		—		935,776,651		15,211,450			950,988,101

Senior Loans*		—		160,802,542		—			160,802,542
Loan Participations*		—		—		6,971,080	(f)		6,971,080
Preferred Stocks*		—		8,647,264		—			8,647,264
Common Stocks*		53,585,868		—		—			53,585,868
Exchange-Traded Funds		11,982,977		—		—			11,982,977
Other Investments*		—		—		8,071,934	(g)		8,071,934
Short-Term Investments		—		161,829,188		—			161,829,188
Purchased Options*		77,340		247,575		—			324,915

Total Investments		65,646,185		1,267,303,220		30,254,464			1,363,203,869

Centrally Cleared Interest Rate Swap Agreements (unrealized appreciation)		—		15,111,263		—			15,111,263
Forward Foreign Currency Contracts (unrealized appreciation)		—		169,824		—			169,824

Total	$	65,646,185	$	1,282,584,307	$	30,254,464		$	1,378,484,956

Liability Valuation Inputs



Description	Level 1			Level 2			Level 3		Total
Bilateral Credit Default Swap Agreements (unrealized depreciation)	$	—		$	(165,704	)	$	—	$	(165,704	)
Centrally Cleared Interest Rate Swap Agreements (unrealized depreciation)		—			(14,520,630	)		—		(14,520,630	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(604,295	)		—		(604,295	)
Futures Contracts (unrealized depreciation)		(391,613	)		—			—		(391,613	)

Total	$	(391,613	)	$	(15,290,629	)	$	—	$	(15,682,242	)

*	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

(a)	Valued using broker-dealer bid prices.

(b)	Valued using broker-dealer bid prices ($1,940,519) or fair valued by the Fund’s adviser ($10,674).

(c)	Fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund ($1,654,999) or fair valued by the Fund’s adviser ($345,170).

(d)	Fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund ($4,560,088) or valued using broker-dealer bid prices ($1,835,000).

(e)	Includes securities fair valued at zero using level 3 inputs.

(f)	Fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund ($5,488,905) or valued using broker-dealer bid prices ($1,482,175).

(g)	Fair valued by the Fund’s adviser using broker dealer bid prices for which inputs are unobservable to the Fund ($8,071,875) or fair valued by the Fund’s adviser ($59).

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2017 and/or September 30, 2018:

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2017			Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of September 30, 2018			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2018
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—		$	—	$	—	$	—		$	4,865,000	$	—		$	—	$	—		$	4,865,000		$	—
ABS Home Equity		1,615,466			—		4,086		10,679			1,940,519		(4,562	)		—		(1,614,995	)		1,951,193			(331	)
ABS Other		2,992,445			—		—		161,979			142,378		—			—		(1,296,633	)		2,000,169			161,979
ABS Student Loan		4,900,039			—		841		208			2,185,000		(691,000	)		—		—			6,395,088			780
Independent Energy		—	(a)		224,382		—		(224,382	)		—		—			—		—			—	(a)		—
Non-Agency Commercial Mortgage-Backed Securities		542,412			—		—		—			—		—			—		(542,412	)		—			—
Loan Participations		13,637,785			325		678		57,250			—		(6,724,958	)		—		—			6,971,080			55,532
Other Investments
Aircraft ABS		14,411,624			—		—		(6,339,690	)		—		—			—		—			8,071,934			(6,339,690	)

Total	$	38,099,771		$	224,707	$	5,605	$	(6,333,956	)	$	9,132,897	$	(7,420,520	)	$	—	$	(3,454,040	)	$	30,254,464		$	(6,121,730	)

(a)	Includes securities fair valued at zero using level 3 inputs.

Debt securities valued at $3,454,040 were transferred from Level 3 to Level 2 during the period ended September 30, 2018. At December 31, 2017, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities. At September 30, 2018, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

All transfers are recognized as of the beginning of the reporting period.

Derivatives

The Fund seeks to achieve positive total returns over a full market cycle. The Fund pursues its objective by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management techniques to mitigate downside risk. At times, the Fund expects to gain its investment exposure substantially through the use of derivatives, including forward foreign currency contracts, futures and option contracts and swap agreements. During the period ended September 30, 2018, the Fund used futures, forward foreign currency contracts, option contracts, interest rate swap agreements and credit default swap agreements to gain investment exposures in accordance with its objective.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts and interest rate swap agreements to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities.

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts and option contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the period ended September 30, 2018, the Fund engaged in forward foreign currency and option contracts for hedging purposes.

The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. During the period ended September 30, 2018, the Fund engaged in credit default swap transactions (as a protection buyer) to hedge its credit exposure.

The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes. During the period ended September 30, 2018, the Fund engaged in futures and option contracts for hedging purposes.

The following is a summary of derivative instruments for the Fund, as of September 30, 2018:


Assets	Investments at value¹			Unrealized appreciation on forward foreign currency contracts			Swap agreements at value			Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	247,575		$	169,824		$	—		$	417,399
Credit contracts		—			—			780,054			780,054

Total over-the-counter asset derivatives	$	247,575		$	169,824		$	780,054		$	1,197,453

Exchange-traded/cleared asset derivatives
Interest rate contracts	$	—		$	—		$	15,114,682		$	15,114,682
Equity contracts		77,340			—			—			77,340

Total exchange-traded/cleared asset derivatives	$	77,340		$	—		$	15,114,682		$	15,192,022

Total asset derivatives	$	324,915		$	169,824		$	15,894,736		$	16,389,475


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts			Swap agreements at value			Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	(604,295	)	$	—		$	—		$	(604,295	)
Credit contracts		—			—			(176,010	)		(176,010	)

Total over-the-counter liability derivatives	$	(604,295	)	$	—		$	(176,010	)	$	(780,305	)

Exchange-traded/cleared liability derivatives
Interest rate contracts	$	—		$	(41,375	)	$	(14,525,143	)	$	(14,566,518	)
Equity contracts		—			(350,238	)		—			(350,238	)

Total exchange-traded/cleared liability derivatives	$	—		$	(391,613	)	$	(14,525,143	)	$	(14,916,756	)

Total liability derivatives	$	(604,295	)	$	(391,613	)	$	(14,701,153	)	$	(15,697,061	)

¹	Represents purchased options, at value.

OTC derivatives, including forward foreign currency contracts, options, swaptions and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of September 30, 2018, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Counterparty:	Derivatives			Collateral Pledged
Bank of America, N.A.	$	(50,652	)	$	—
BNP Paribas S.A.		(9,750	)		—
Credit Suisse International		(99,587	)		—
UBS AG		(1,095	)		—

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2018:

Maximum Amount

of Loss - Gross

Maximum Amount
of Loss - Net

$ 32,258,891

31,447,384

Net Loss amount reflects cash and securities received as collateral of $372,286.

Industry Summary at September 30, 2018 (Unaudited)


ABS Home Equity	9.7	%
ABS Car Loan	9.1
Automotive	7.2
Banking	6.7
ABS Other	4.7
ABS Credit Card	4.1
Treasuries	4.1
Technology	3.6
Cable Satellite	2.2
Non-Agency Commercial Mortgage-Backed Securities	2.1
Independent Energy	2.1
Other Investments, less than 2% each	31.0
Short-Term Investments	11.7

Total Investments	98.3
Other assets less liabilities (including swap agreements, forward foreign currency and future contracts)	1.7

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2018 (Unaudited)

McDonnell Intermediate Municipal Bond Fund


Principal Amount		Description	Value (†)
	Bonds and Notes – 90.5% of Net Assets
	Municipals – 90.5%
		Alabama – 2.0%
$	500,000	UAB Medicine Finance Authority Revenue, UAB Medicine Obligated Group, Series B-2, 3.500%, 9/01/2035	$	475,390

		California – 8.9%
	500,000	California Municipal Finance Authority Revenue, Lutheran University, 5.000%, 10/01/2034		570,055
	250,000	California Statewide Communities Development Authority Revenue, Beverly Community Hospital Association, 4.000%, 11/01/2032		250,535
	640,000	Madera Unified School District, Capital Appreciation, 2016 Election, GO, 3.050%, 8/01/2029(a)		437,651
	760,000	San Gorgonio Memorial Health Care District, GO, Refunding, 5.000%, 8/01/2024		847,180

				2,105,421

		Colorado – 8.6%
	260,000	Colorado Springs Utilities System Revenue, Series B-2, 5.000%, 11/15/2033		289,458
	400,000	Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028		431,244
	400,000	Denver City & County School District No. 1, GO, Prerefunded 12/01/2022@100, Series B, (State Aid Withholding), 5.000%, 12/01/2026		444,992
	250,000	Denver City & County, Airport System Revenue, Series A, AMT, 5.000%, 11/15/2030		282,805
	500,000	Regional Transportation District Sales Tax Revenue, Fastracks Project, Refunding, Series A, 5.000%, 11/01/2028		598,445

				2,046,944

		Connecticut – 3.7%
	800,000	Connecticut State Health & Educational Facilities Authority, University of New Haven, Series K-1, 5.000%, 7/01/2033		878,912

		Florida – 15.5%
	240,000	City of Cape Coral FL Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, (AGM Insured), 3.000%, 9/01/2027		235,567
	95,000	City of Cape Coral FL Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, (AGM Insured), 3.000%, 9/01/2028		92,763
	700,000	City of Cape Coral FL Water & Sewer Revenue, 5.000%, 10/01/2039		780,444
	500,000	Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027		553,305
	400,000	Orlando & Orange County Expressway Authority Revenue, Refunding, 5.000%, 7/01/2023		437,644


Principal Amount		Description	Value (†)
	Municipals – continued
		Florida – continued
$	600,000	Sarasota County Infrastructure Sales Surtax Revenue, Refunding, 5.000%, 10/01/2022	$	663,708
	400,000	Sarasota County Utility System Revenue, 5.000%, 10/01/2023		450,708
	400,000	Volusia County Educational Facility Authority Revenue, Embry-Riddle Aeronautical University, Inc., Series B,5.000%, 10/15/2025		454,012

				3,668,151

		Georgia – 1.2%
	250,000	Savannah Hospital Authority Revenue, St. Joseph’s/Candler Health System Obligated Group, Series A, 5.500%, 7/01/2027		282,170

		Illinois – 5.1%
	540,000	Chicago Midway International Airport Revenue, Second Lien, Refunding, Series A, AMT, 5.000%, 1/01/2031		580,905
	500,000	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2020		522,795
	100,000	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021		106,731

				1,210,431

		Louisiana – 2.1%
	200,000	New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2035		219,816
	250,000	New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2036		273,835

				493,651

		Missouri – 3.3%
	700,000	Missouri Joint Municipal Electric Utility Commission Power Project Revenue, Refunding, 5.000%, 1/01/2024		785,897

		Nevada – 2.4%
	500,000	City of Henderson, GO, Various Purpose, Refunding, 5.000%, 6/01/2026		563,925

		New Jersey – 5.9%
	265,000	New Jersey Health Care Facilities Financing Authority Revenue, Refunding, Virtua Health, Inc., 5.000%, 7/01/2023		295,856
	500,000	New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 1/01/2032		555,195
	500,000	Rutgers The State University of New Jersey, Refunding, Series J, 5.000%, 5/01/2024		557,440

			1,408,491


Principal Amount		Description	Value (†)
	Municipals – continued
		New Mexico – 2.4%
$	500,000	New Mexico Hospital Equipment Loan Council Revenue, Presbyterian Healthcare Services Obligated Group, Refunding, 5.000%, 8/01/2031	$	560,345

		Ohio – 4.7%
	500,000	Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023		563,805
	500,000	Hamilton County Hospital Facilities Revenue, UC Health Obligated Group, 5.000%, 2/01/2024		558,035

				1,121,840

		Pennsylvania – 1.3%
	285,000	Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027		296,768

		Rhode Island – 2.4%
	500,000	Rhode Island Clean Water Finance Agency Pollution Control Agency Revolving Fund-Pooled Loan, Series A, 5.000%, 10/01/2024		564,395

		South Dakota – 2.4%
	500,000	South Dakota Health & Educational Facilities Authority, Regional Health System Obligated Group, 5.000%, 9/01/2028		575,165

		Tennessee – 5.2%
	500,000	Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue, Vanderbilt University Medical Center Obligated Group, Series A, 5.000%, 7/01/2030		561,300
	615,000	Metropolitan Nashville Airport Authority (The) Revenue, Series B, AMT, 5.000%, 7/01/2023		681,365

				1,242,665

		Texas – 5.3%
	700,000	Houston TX Airport System Revenue, Refunding, Series C, AMT, 5.000%, 7/01/2026		803,929
	400,000	Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024		446,504

				1,250,433

		Washington – 7.0%
	500,000	King County Public Hospital District No. 2, GO, Evergreen Healthcare, Series B, 5.000%, 12/01/2032		556,765
	500,000	Port of Seattle Revenue, AMT, 5.000%, 7/01/2029		542,995
	500,000	Snohomish County School District No. 15 Edmonds, GO, 5.000%, 12/01/2031		559,170

				1,658,930

		Wisconsin – 1.1%
	225,000	Wisconsin Health & Educational Facilities Authority Revenue, Aspirus, Inc. Obligated Group, Refunding, Series A, 5.000%, 8/15/2031		249,392


		Description	Value (†)
		Total Bonds and Notes (Identified Cost $21,194,407)	$	21,439,316


Shares
	Exchange-Traded Funds – 3.4%
	10,000	SPDR^® Nuveen S&P High Yield Municipal Bond ETF		562,700
	10,000	VanEck Vectors^® Short High-Yield Municipal Index ETF		243,100

		Total Exchange-Traded Funds (Identified Cost $811,629)		805,800

		Total Investments – 93.9% (Identified Cost $22,006,036)		22,245,116
		Other assets less liabilities – 6.1%		1,433,481

		Net Assets – 100.0%	$	23,678,597

(†)

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

(a)	Interest rate represents annualized yield at time of purchase; not a coupon rate.


AGM		Assured Guaranty Municipal Corporation
AMT		Alternative Minimum Tax
ETF		Exchange-Traded Fund
GO		General Obligation
SPDR		Standard & Poor’s Depositary Receipt

Fair Value Measurements.

•

Level 1 — quoted prices in active markets for identical assets or liabilities;

•

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2018, at value:

Asset Valuation Inputs



Description	Level 1		Level 2		Level 3		Total
Bonds and Notes*	$	—	$	21,439,316	$	—	$	21,439,316
Exchange-Traded Funds		805,800		—		—		805,800

Total	$	805,800	$	21,439,316	$	—	$	22,245,116

*	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended September 30, 2018 there were no transfers among Levels 1, 2 and 3.

Holdings Summary at September 30, 2018 (Unaudited)


Medical	19.7	%
Higher Education	13.0
Airport	12.1
Water	11.3
General Obligation	10.7
General	7.6
School District	6.1
Transportation	5.5
Exchange-Traded Funds	3.4
Power	3.3
Utilities	1.2

Total Investments	93.9
Other assets less liabilities	6.1

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2018 (Unaudited)

Vaughan Nelson Value Opportunity Fund


Shares		Description	Value (†)
	Common Stocks – 96.0% of Net Assets
		Banks – 6.0%
	574,375	Bank of NT Butterfield & Son Ltd. (The)	$	29,787,087
	254,025	Chemical Financial Corp.		13,564,935
	261,300	PacWest Bancorp		12,450,945

				55,802,967

		Building Products – 2.0%
	109,225	Allegion PLC		9,892,508
	137,525	Masonite International Corp.(a)		8,815,353

				18,707,861

		Capital Markets – 2.7%
	149,650	Nasdaq, Inc.		12,839,970
	193,350	SEI Investments Co.		11,813,685

				24,653,655

		Chemicals – 2.6%
	173,925	FMC Corp.		15,162,782
	206,300	PolyOne Corp.		9,019,436

				24,182,218

		Commercial Services & Supplies – 2.9%
	127,000	Brink’s Co. (The)		8,858,250
	296,900	KAR Auction Services, Inc.		17,721,961

				26,580,211

		Consumer Finance – 0.9%
	273,425	Synchrony Financial		8,498,049

		Containers & Packaging – 4.0%
	84,950	Avery Dennison Corp.		9,204,332
	452,225	Crown Holdings, Inc.(a)		21,706,800
	55,000	Packaging Corp. of America		6,032,950

				36,944,082

		Diversified Consumer Services – 2.6%
	852,675	Laureate Education, Inc., Class A(a)		13,165,302
	173,925	ServiceMaster Global Holdings, Inc.(a)		10,788,568

				23,953,870

		Electric Utilities – 1.8%
	270,200	Eversource Energy		16,601,088

		Electrical Equipment – 1.4%
	61,475	Hubbell, Inc.		8,211,216
	185,250	nVent Electric PLC		5,031,390

				13,242,606

		Electronic Equipment, Instruments & Components – 1.7%
	234,600	Keysight Technologies, Inc.(a)		15,549,288


Shares		Description	Value (†)
	Common Stocks – continued
		Energy Equipment & Services – 1.6%
	202,250	Baker Hughes, a GE Co.	$	6,842,118
	743,450	Forum Energy Technologies, Inc.(a)		7,694,707

				14,536,825

		Health Care Providers & Services – 2.7%
	171,500	Centene Corp.(a)		24,829,770

		Hotels, Restaurants & Leisure – 4.9%
	307,425	Aramark		13,225,424
	724,850	Extended Stay America, Inc.		14,663,715
	248,350	Six Flags Entertainment Corp.		17,339,797

				45,228,936

		Household Durables – 2.1%
	71,200	Mohawk Industries, Inc.(a)		12,484,920
	331,135	Newell Brands, Inc.		6,722,041

				19,206,961

		Independent Power & Renewable Electricity Producers – 3.8%
	910,100	Atlantica Yield PLC		18,729,858
	648,800	Vistra Energy Corp.(a)		16,142,144

				34,872,002

		Insurance – 5.9%
	190,925	Arthur J. Gallagher & Co.		14,212,457
	264,525	Athene Holding Ltd., Class A(a)		13,665,361
	229,750	First American Financial Corp.		11,852,803
	102,750	Reinsurance Group of America, Inc.		14,853,540

				54,584,161

		IT Services – 9.0%
	59,865	Alliance Data Systems Corp.		14,137,718
	109,225	CACI International, Inc., Class A(a)		20,113,784
	183,650	Fidelity National Information Services, Inc.		20,030,705
	110,025	Fiserv, Inc.(a)		9,063,860
	153,700	Global Payments, Inc.		19,581,380

				82,927,447

		Life Sciences Tools & Services – 1.9%
	132,862	IQVIA Holdings, Inc.(a)		17,237,516

		Machinery – 4.3%
	101,925	Middleby Corp. (The)(a)		13,183,999
	326,825	Milacron Holdings Corp.(a)		6,618,206
	136,725	Oshkosh Corp.		9,740,289
	197,400	Timken Co. (The)		9,840,390

				39,382,884

		Media – 2.4%
	273,425	Nexstar Media Group, Inc., Class A		22,256,795


Shares		Description	Value (†)
	Common Stocks – continued
		Metals & Mining – 1.9%
	1,099,400	Constellium NV, Class A(a)	$	13,577,590
	47,725	Reliance Steel & Aluminum Co.		4,070,465

				17,648,055

		Multi-Utilities – 5.3%
	258,875	Ameren Corp.		16,366,077
	334,100	CMS Energy Corp.		16,370,900
	243,500	WEC Energy Group, Inc.		16,256,060

				48,993,037

		Oil, Gas & Consumable Fuels – 6.7%
	281,525	Continental Resources, Inc.(a)		19,222,527
	1,224,000	QEP Resources, Inc.(a)		13,855,680
	1,453,750	WPX Energy, Inc.(a)		29,249,450

				62,327,657

		REITs - Diversified – 4.3%
	272,625	CyrusOne, Inc.		17,284,425
	1,274,150	New Residential Investment Corp.		22,705,353

				39,989,778

		Road & Rail – 1.0%
	273,425	Knight-Swift Transportation Holdings, Inc.		9,427,694

		Semiconductors & Semiconductor Equipment – 1.2%
	125,400	Analog Devices, Inc.		11,594,484

		Software – 2.2%
	120,550	Check Point Software Technologies Ltd.(a)		14,185,118
	68,775	RingCentral, Inc., Class A(a)		6,399,514

				20,584,632

		Specialty Retail – 0.7%
	104,350	Signet Jewelers Ltd.		6,879,796

		Textiles, Apparel & Luxury Goods – 2.3%
	305,800	Gildan Activewear, Inc.		9,305,494
	80,900	PVH Corp.		11,681,960

				20,987,454

		Thrifts & Mortgage Finance – 3.2%
	104,350	Essent Group Ltd.(a)		4,617,488
	330,075	MGIC Investment Corp.(a)		4,393,298
	241,075	Radian Group, Inc.		4,983,020
	11,140,500	WMIH Corp.(a)		15,485,295

				29,479,101

		Total Common Stocks (Identified Cost $753,066,050)		887,690,880

	Closed-End Investment Companies – 2.4%
	1,283,050	Ares Capital Corp. (Identified Cost $19,412,153)		22,055,629


Principal Amount		Description	Value (†)
	Short-Term Investments – 0.4%
$	3,386,660	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/28/2018 at 1.300% to be repurchased at $3,387,027 on 10/01/2018 collateralized by $3,305,000 U.S. Treasury Bond, 3.375% due 5/15/2044 valued at $3,456,306 including accrued interest(b) (Identified Cost $3,386,660)	$	3,386,660

		Total Investments – 98.8% (Identified Cost $775,864,863)		913,133,169
		Other assets less liabilities – 1.2%		11,021,297

		Net Assets – 100.0%	$	924,154,466

(†) Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser or subadviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

(a) Non-income producing security.

(b) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of September 30, 2018, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

REITs Real Estate Investment Trusts

Fair Value Measurements.

•

Level 1 — quoted prices in active markets for identical assets or liabilities;

•

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2018, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	887,690,880	$	—	$	—	$	887,690,880
Closed-End Investment Companies		22,055,629		—		—		22,055,629
Short-Term Investments		—		3,386,660		—		3,386,660

Total	$	909,746,509	$	3,386,660	$	—	$	913,133,169

*	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended September 30, 2018, there were no transfers among Levels 1, 2 and 3.

Industry Summary at September 30, 2018 (Unaudited)


IT Services	9.0	%
Oil, Gas & Consumable Fuels	6.7
Banks	6.0
Insurance	5.9
Multi-Utilities	5.3
Hotels, Restaurants & Leisure	4.9
REITs - Diversified	4.3
Machinery	4.3
Containers & Packaging	4.0
Independent Power & Renewable Electricity Producers	3.8
Thrifts & Mortgage Finance	3.2
Commercial Services & Supplies	2.9
Health Care Providers & Services	2.7
Capital Markets	2.7
Chemicals	2.6
Diversified Consumer Services	2.6
Media	2.4
Closed-End Investment Companies	2.4
Textiles, Apparel & Luxury Goods	2.3
Software	2.2
Household Durables	2.1
Building Products	2.0
Other Investments, less than 2% each	14.1
Short-Term Investments	0.4

Total Investments	98.8
Other assets less liabilities	1.2

Net Assets	100.0	%

ITEM 2. CONTROLS AND PROCEDURES.

The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There were no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3. EXHIBITS

(a)(1)

Certification for the Principal Executive Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith.

(a)(2)

Certification for the Principal Financial Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


Natixis Funds Trust II

By:		/s/ David L. Giunta

Name:		David L. Giunta
Title:		President and Chief Executive Officer
Date:		November 20, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By:		/s/ David L. Giunta

Name:		David L. Giunta
Title:		President and Chief Executive Officer
Date:		November 20, 2018

By:		/s/ Michael C. Kardok

Name:		Michael C. Kardok
Title:		Treasurer
Date:		November 20, 2018

EX-99.(CERT) 2 d607847dex99cert.htm SECTION 302 CERTIFICATIONS Section 302 Certifications

Exhibit (a)(1)

Natixis Funds Trust II

Exhibit to SEC Form N-Q

Section 302 Certification

I, David L. Giunta, certify that:

I have reviewed this report on Form N-Q of Natixis Funds Trust II;

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of such disclosure controls and procedures, as of a date within 90 days prior to the filing of this report, based on such evaluation; and

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 20, 2018

/s/ David L. Giunta

David L. Giunta

President and Chief Executive Officer

Exhibit (a)(2)

Natixis Funds Trust II

Exhibit to SEC Form N-Q

Section 302 Certification

I, Michael C. Kardok, certify that:

I have reviewed this report on Form N-Q of Natixis Funds Trust II;

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 20, 2018

/s/ Michael C. Kardok

Michael C. Kardok

Treasurer