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0001752724-19-049115.txt : 20190529 0001752724-19-049115.hdr.sgml : 20190529 20190529153948 ACCESSION NUMBER: 0001752724-19-049115 CONFORMED SUBMISSION TYPE: NPORT-EX PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20190331 FILED AS OF DATE: 20190529 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: NPORT-EX SEC ACT: 1940 Act SEC FILE NUMBER: 811-00242 FILM NUMBER: 19861715 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

ACCESSION NUMBER: 0001752724-19-045773

NPORT-EX 1 NPORT_822078092430519.htm HTML

PORTFOLIO OF INVESTMENTS – as of March 31, 2019 (Unaudited)

ASG Dynamic Allocation Fund


	Shares		Description	Value (†)
Exchange-Traded Funds – 48.7% of Net Assets
		22,416	iShares^® Core U.S. Aggregate Bond ETF	$	2,444,913
		11,234	iShares^® Edge MSCI Min Vol Emerging Markets ETF		665,839
		14,650	iShares^® JP Morgan USD Emerging Markets Bond ETF		1,612,379
		52,690	SPDR^® Bloomberg Barclays International Treasury Bond ETF		1,469,524
		7,847	Vanguard FTSE All World ex-U.S. Small-Cap ETF		817,108
		19,958	Vanguard FTSE Developed Markets ETF		815,683
		13,667	Vanguard FTSE Emerging Markets ETF		580,847
		15,231	Vanguard FTSE Europe ETF		816,534
		12,408	Vanguard FTSE Pacific ETF		817,191
		28,378	Vanguard Intermediate-Term Corporate Bond ETF		2,465,197
		12,472	Vanguard Mid-Cap ETF		2,004,874
		25,769	Vanguard Total International Bond ETF		1,437,137
		12,836	Vanguard Total Stock Market ETF		1,857,498
		17,104	Vanguard Value ETF		1,840,904

			Total Exchange-Traded Funds (Identified Cost $18,792,654)		19,645,628


	Principal Amount
Short-Term Investments – 49.9%
			Certificates of Deposit – 36.3%
$		1,000,000	National Bank of Kuwait (NY), 2.550%, 4/01/2019		1,000,006
		700,000	DNB Bank ASA (NY), 2.380%, 4/03/2019		699,999
		500,000	National Bank of Canada (NY), 1-month LIBOR + 0.150%, 2.643%, 4/10/2019(a)(b)		500,015
		500,000	DZ Bank (NY), 2.700%, 4/10/2019		500,041
		500,000	Landesbank Hessen (NY), 2.760%, 4/10/2019		500,052
		1,000,000	Norinchukin Bank (NY), 2.680%, 4/17/2019		1,000,111
		500,000	Oversea-Chinese Banking Corp. Ltd. (NY), 2.600%, 4/25/2019		500,034
		500,000	Sumitomo Mitsui Bank (NY), 2.780%, 5/10/2019		500,177
		500,000	Toronto-Dominion Bank (NY), 2.550%, 5/13/2019		500,007
		500,000	Dexia Credit Local S.A. (NY), (Credit Support: Belgium, France, Luxembourg), 3-month LIBOR + 0.100%, 2.783%, 5/17/2019(a)(b)		500,057
		750,000	Westpac Banking Corp. (NY), 1-month LIBOR + 0.270%, 2.758%, 5/20/2019(b)		750,295
		1,000,000	Banco Del Estado De Chile (NY), 2.590%, 6/04/2019		1,000,075
		1,000,000	Svenska Handelsbanken (NY), 1-month LIBOR + 0.280%, 2.773%, 6/11/2019(b)		1,000,517
		500,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.310%, 2.802%, 6/12/2019(a)(b)		500,291
		500,000	DZ Bank (NY), 2.580%, 6/19/2019		500,036


	Principal Amount		Description	Value (†)
			Certificates of Deposit – continued
$		1,000,000	Mizuho Bank Ltd. (NY), 2.620%, 6/21/2019	$	1,000,189
		500,000	Royal Bank of Canada (NY), 3-month LIBOR + 0.130%, 2.913%, 7/10/2019(a)(b)		500,188
		700,000	Swedbank (NY), 2.700%, 7/16/2019(a)		700,407
		1,000,000	Sumitomo Mitsui Trust Bank (NY), 2.600%, 7/18/2019		1,000,035
		1,000,000	Commonwealth Bank of Australia (NY), 1-month LIBOR + 0.320%, 2.810%, 10/04/2019(a)(b)		1,001,137
		500,000	Bank of Montreal (IL), 3-month LIBOR + 0.110%, 2.904%, 10/04/2019(a)(b)		500,225

					14,653,894

			Commercial Paper – 6.5%
		1,110,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.535%, 4/16/2019(c)		1,108,638
		1,000,000	Santander UK PLC, 2.637%, 5/03/2019(c)		997,592
		500,000	ING (U.S.) Funding LLC, 1-month LIBOR + 0.310%, 2.800%, 6/03/2019(b)		500,233

					2,606,463

			Time Deposits – 4.1%
		1,650,000	Skandinaviska Enskilda Banken (NY), 2.340%, 4/01/2019(d)		1,650,000

			Other Notes – 2.5%
		1,000,000	Bank of America NA, 2.620%, 8/12/2019(a)(d)		1,000,501

			Treasuries – 0.5%
		200,000	U.S. Treasury Bills, 2.371%, 5/02/2019(c)(e)		199,595

			Total Short-Term Investments (Identified Cost $20,106,123)		20,110,453

			Total Investments – 98.6% (Identified Cost $38,898,777)		39,756,081
			Other assets less liabilities – 1.4%		545,260

			Net Assets – 100.0%	$	40,301,341

(†)

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.

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 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 March 31, 2019, 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
$ 2,455,950	$	8,381		0.02	%

*	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 March 31, 2019 is disclosed.

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

(d)	Variable rate security. The interest rate adjusts periodically based on changes in current interest rates. Rate as of March 31, 2019 is disclosed.

(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 March 31, 2019, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		6/28/2019		38	$	4,363,219	$	4,401,469	$	38,250
10 Year Australia Government Bond		6/17/2019		30		2,894,395		2,951,461		57,066
10 Year U.S. Treasury Note		6/19/2019		35		4,289,031		4,347,656		58,625
30 Year U.S. Treasury Bond		6/19/2019		29		4,236,281		4,340,031		103,750
ASX SPI 200^™		6/20/2019		3		327,919		328,629		710
CAC 40^®		4/18/2019		5		299,446		299,676		230
E-mini Dow		6/21/2019		4		516,825		518,660		1,835
E-mini NASDAQ 100		6/21/2019		3		444,125		444,030		(95	)
E-mini Russell 2000		6/21/2019		6		465,195		463,140		(2,055	)
E-mini S&P 500^®		6/21/2019		3		424,025		425,670		1,645
EURO STOXX 50^®		6/21/2019		8		293,293		293,630		337
FTSE 100 Index		6/21/2019		3		281,811		281,778		(33	)
FTSE/JSE Top 40 Index		6/20/2019		7		246,501		246,370		(131	)
German Euro Bund		6/06/2019		16		2,923,528		2,985,471		61,943
Hang Seng Index^®		4/29/2019		1		182,791		185,205		2,414
MSCI EAFE Index		6/21/2019		3		281,440		279,960		(1,480	)
MSCI Emerging Markets Index		6/21/2019		5		263,655		264,350		695
MSCI Singapore		4/29/2019		10		264,394		265,412		1,018
MSCI Taiwan Index		4/29/2019		7		271,245		273,490		2,245
TOPIX		6/13/2019		2		288,550		287,287		(1,263	)
UK Long Gilt		6/26/2019		17		2,817,199		2,864,465		47,266

Total									$	372,972

At March 31, 2019, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
U.S. Dollar Index		6/17/2019		100	$	9,674,900	$	9,684,500	$	(9,600	)

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 March 31, 2019, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Exchange-Traded Funds	$	19,645,628	$	—	$	—	$	19,645,628
Short-Term Investments*		—		20,110,453		—		20,110,453
Futures Contracts (unrealized appreciation)		371,075		6,954		—		378,029

Total	$	20,016,703	$	20,117,407	$	—	$	40,134,110

Liability Valuation Inputs



Description	Level 1			Level 2			Level 3		Total
Futures Contracts (unrealized depreciation)	$	(13,230	)	$	(1,427	)	$	—	$	(14,657	)

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

For the period ended March 31, 2019, 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 March 31, 2019, the Fund used long contracts on U.S. and foreign equity market indices and U.S. and foreign government bonds and short contracts on 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 March 31, 2019:


Assets	Unrealized appreciation on futures contracts
Exchange-traded asset derivatives
Interest rate contracts	$	366,900
Equity contracts		11,129

Total exchange-traded asset derivatives	$	378,029


Liabilities	Unrealized depreciation on futures contracts
Exchange-traded liability derivatives
Foreign exchange contracts	$	(9,600	)
Equity contracts		(5,057	)

Total exchange-traded liability derivatives	$	(14,657	)

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 March 31, 2019:


	Maximum Amount of Loss – Gross		Maximum Amount of Loss – Net
Exchange-traded counterparty credit risk
Futures contracts	$	378,029	$	378,029
Margin with brokers		452,464		452,464

Total exchange-traded counterparty credit risk	$	830,493	$	830,493

Investment Summary at March 31, 2019 (Unaudited)


Exchange-Traded Funds	48.7	%
Certificates of Deposit	36.3
Commercial Paper	6.5
Time Deposits	4.1
Other Notes	2.5
Treasuries	0.5

Total Investments	98.6
Other assets less liabilities (including futures contracts)	1.4

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2019 (Unaudited)

ASG Tactical U.S. Market Fund


	Shares		Description	Value (†)
Common Stocks – 62.7% of Net Assets
			Aerospace & Defense – 1.5%
		4,601	Boeing Co. (The)	$	1,754,913
		1,746	General Dynamics Corp.		295,563
		1,103	Northrop Grumman Corp.		297,369

					2,347,845

			Air Freight & Logistics – 0.3%
		808	FedEx Corp.		146,579
		2,364	United Parcel Service, Inc., Class B		264,154

					410,733

			Airlines – 0.1%
		2,634	Alaska Air Group, Inc.		147,820

			Banks – 2.9%
		62,599	Bank of America Corp.		1,727,106
		8,377	Citigroup, Inc.		521,217
		6,361	Fifth Third Bancorp		160,425
		11,843	JPMorgan Chase & Co.		1,198,867
		8,686	U.S. Bancorp		418,578
		11,340	Wells Fargo & Co.		547,949

					4,574,142

			Beverages – 0.9%
		16,590	Coca-Cola Co. (The)		777,407
		4,465	PepsiCo, Inc.		547,186

					1,324,593

			Biotechnology – 0.4%
		3,256	Amgen, Inc.		618,575

			Capital Markets – 2.4%
		11,972	Bank of New York Mellon Corp. (The)		603,748
		1,620	BlackRock, Inc.		692,339
		4,308	CME Group, Inc.		709,011
		8,480	Intercontinental Exchange, Inc.		645,667
		1,629	Moody’s Corp.		294,996
		2,069	MSCI, Inc.		411,400
		1,764	S&P Global, Inc.		371,410

					3,728,571

			Chemicals – 1.2%
		943	Air Products & Chemicals, Inc.		180,075
		9,378	DowDuPont, Inc.		499,941
		1,403	Eastman Chemical Co.		106,460
		1,961	Ecolab, Inc.		346,195
		2,638	Linde PLC		464,103
		1,333	PPG Industries, Inc.		150,456
		418	Sherwin-Williams Co. (The)		180,037

					1,927,267


	Shares		Description	Value (†)
Common Stocks – continued
			Commercial Services & Supplies – 0.9%
		3,034	Cintas Corp.	$	613,202
		7,957	Waste Management, Inc.		826,812

					1,440,014

			Communications Equipment – 0.9%
		27,228	Cisco Systems, Inc.		1,470,040

			Containers & Packaging – 0.1%
		2,725	WestRock Co.		104,504

			Diversified Financial Services – 1.3%
		9,913	Berkshire Hathaway, Inc., Class B(a)		1,991,423

			Diversified Telecommunication Services – 1.2%
		6,483	AT&T, Inc.		203,307
		27,126	Verizon Communications, Inc.		1,603,960

					1,807,267

			Electric Utilities – 1.3%
		3,056	Alliant Energy Corp.		144,029
		2,699	American Electric Power Co., Inc.		226,041
		3,845	Duke Energy Corp.		346,050
		5,881	Exelon Corp.		294,815
		2,354	NextEra Energy, Inc.		455,076
		8,299	PPL Corp.		263,410
		5,275	Southern Co. (The)		272,612

					2,002,033

			Electrical Equipment – 0.2%
		4,506	Eaton Corp. PLC		363,003

			Energy Equipment & Services – 0.5%
		16,386	Schlumberger Ltd.		713,938

			Entertainment – 1.6%
		2,125	Netflix, Inc.(a)		757,690
		15,695	Walt Disney Co. (The)		1,742,616

					2,500,306

			Food & Staples Retailing – 1.8%
		5,413	Costco Wholesale Corp.		1,310,704
		10,320	Sysco Corp.		688,963
		7,485	Walmart, Inc.		730,012

					2,729,679

			Food Products – 0.7%
		6,262	Archer-Daniels-Midland Co.		270,080
		1,494	McCormick & Co., Inc.		225,041
		10,297	Mondelez International, Inc., Class A		514,027

					1,009,148

			Health Care Equipment & Supplies – 1.9%
		3,146	Becton Dickinson and Co.		785,651


	Shares		Description	Value (†)
Common Stocks – continued
			Health Care Equipment & Supplies – continued
		1,778	Cooper Cos., Inc. (The)	$	526,590
		7,263	Danaher Corp.		958,861
		3,271	Stryker Corp.		646,088

					2,917,190

			Health Care Providers & Services – 1.8%
		9,322	Centene Corp.(a)		494,998
		1,955	CVS Health Corp.		105,433
		5,744	Quest Diagnostics, Inc.		516,501
		6,762	UnitedHealth Group, Inc.		1,671,972

					2,788,904

			Hotels, Restaurants & Leisure – 1.1%
		581	Chipotle Mexican Grill, Inc.(a)		412,690
		2,241	Marriott International, Inc., Class A		280,327
		3,316	McDonald’s Corp.		629,708
		1,894	Royal Caribbean Cruises Ltd.		217,090
		967	Wynn Resorts Ltd.		115,383

					1,655,198

			Household Durables – 0.3%
		3,600	Garmin Ltd.		310,860
		330	Lennar Corp., Class A		16,200
		6,190	PulteGroup, Inc.		173,072

					500,132

			Household Products – 1.1%
		2,242	Church & Dwight Co., Inc.		159,698
		2,184	Kimberly-Clark Corp.		270,598
		11,547	Procter & Gamble Co. (The)		1,201,465

					1,631,761

			Industrial Conglomerates – 1.0%
		3,423	3M Co.		711,231
		43,179	General Electric Co.		431,358
		2,565	Honeywell International, Inc.		407,630

					1,550,219

			Insurance – 1.6%
		4,030	Aon PLC		687,921
		3,465	Assurant, Inc.		328,863
		5,042	Chubb Ltd.		706,283
		2,487	Lincoln National Corp.		145,987
		2,017	Torchmark Corp.		165,293
		2,881	Willis Towers Watson PLC		506,048

					2,540,395

			Interactive Media & Services – 2.6%
		1,092	Alphabet, Inc., Class A(a)		1,285,164
		1,124	Alphabet, Inc., Class C(a)		1,318,801


	Shares		Description	Value (†)
Common Stocks – continued
			Interactive Media & Services – continued
		8,767	Facebook, Inc., Class A(a)	$	1,461,371

					4,065,336

			Internet & Direct Marketing Retail – 2.6%
		2,125	Amazon.com, Inc.(a)		3,784,094
		127	Booking Holdings, Inc.(a)		221,603

					4,005,697

			IT Services – 2.6%
		3,160	Accenture PLC, Class A		556,223
		7,974	Automatic Data Processing, Inc.		1,273,767
		3,220	MasterCard, Inc., Class A		758,149
		3,853	Paychex, Inc.		309,011
		7,471	Visa, Inc., Class A		1,166,895

					4,064,045

			Life Sciences Tools & Services – 1.4%
		7,094	Agilent Technologies, Inc.		570,216
		4,031	Thermo Fisher Scientific, Inc.		1,103,365
		1,865	Waters Corp.(a)		469,439

					2,143,020

			Machinery – 1.1%
		2,926	Caterpillar, Inc.		396,444
		2,367	Deere & Co.		378,341
		4,003	Fortive Corp.		335,812
		2,761	Illinois Tool Works, Inc.		396,286
		1,527	Snap-on, Inc.		239,006
		231	Wabtec Corp.		17,029

					1,762,918

			Media – 0.9%
		31,408	Comcast Corp., Class A		1,255,692
		3,388	Fox Corp., Class A(a)		124,373
		2,186	Fox Corp., Class B(a)		78,434

					1,458,499

			Metals & Mining – 0.2%
		10,064	Newmont Mining Corp.		359,989

			Multi-Utilities – 0.7%
		3,336	CMS Energy Corp.		185,281
		7,422	Consolidated Edison, Inc.		629,460
		1,549	Sempra Energy		194,957

					1,009,698

			Multiline Retail – 0.4%
		3,143	Dollar General Corp.		374,960
		2,460	Target Corp.		197,439

					572,399


	Shares		Description	Value (†)
Common Stocks – continued
			Oil, Gas & Consumable Fuels – 2.9%
		6,801	Apache Corp.	$	235,723
		2	Cabot Oil & Gas Corp.		52
		15,664	Chevron Corp.		1,929,491
		5,844	ConocoPhillips		390,029
		3,141	EOG Resources, Inc.		298,960
		2,836	Exxon Mobil Corp.		229,149
		7,341	Hess Corp.		442,148
		6,599	ONEOK, Inc.		460,874
		2,959	Phillips 66		281,608
		3,420	Valero Energy Corp.		290,119

					4,558,153

			Pharmaceuticals – 3.7%
		7,951	Eli Lilly & Co.		1,031,722
		15,822	Johnson & Johnson		2,211,757
		20,965	Merck & Co., Inc.		1,743,659
		2,396	Pfizer, Inc.		101,758
		7,424	Zoetis, Inc.		747,374

					5,836,270

			Professional Services – 0.2%
		849	Equifax, Inc.		100,607
		1,529	Verisk Analytics, Inc.		203,357

					303,964

			REITs—Apartments – 0.3%
		2,278	AvalonBay Communities, Inc.		457,263

			REITs—Diversified – 0.9%
		4,568	American Tower Corp.		900,170
		1,003	Crown Castle International Corp.		128,384
		842	SBA Communications Corp.(a)		168,114
		1,506	Vornado Realty Trust		101,564
		5,773	Weyerhaeuser Co.		152,061

					1,450,293

			REITs—Health Care – 0.1%
		2,314	Welltower, Inc.		179,566

			REITs—Regional Malls – 0.2%
		1,692	Simon Property Group, Inc.		308,299

			REITs—Shopping Centers – 0.0%
		965	Regency Centers Corp.		65,128

			REITs—Storage – 0.2%
		1,563	Public Storage		340,390

			REITs—Warehouse/Industrials – 0.1%
		4,191	Duke Realty Corp.		128,161


	Shares		Description	Value (†)
Common Stocks – continued
			Road & Rail – 0.5%
		4,824	Union Pacific Corp.	$	806,573

			Semiconductors & Semiconductor Equipment – 2.5%
		2,568	Analog Devices, Inc.		270,333
		2,335	Broadcom, Inc.		702,158
		26,699	Intel Corp.		1,433,736
		1,827	Lam Research Corp.		327,051
		2,680	NVIDIA Corp.		481,221
		8,569	QUALCOMM, Inc.		488,690
		2,780	Skyworks Solutions, Inc.		229,295

					3,932,484

			Software – 5.5%
		6,202	Adobe, Inc.(a)		1,652,771
		3,293	ANSYS, Inc.(a)		601,664
		1,631	Intuit, Inc.		426,360
		34,775	Microsoft Corp.		4,101,363
		1,570	Red Hat, Inc.(a)		286,839
		9,722	salesforce.com, inc.(a)		1,539,673

					8,608,670

			Specialty Retail – 1.4%
		234	AutoZone, Inc.(a)		239,644
		5,025	Home Depot, Inc. (The)		964,247
		4,409	Lowe’s Cos., Inc.		482,653
		601	O’Reilly Automotive, Inc.(a)		233,369
		6,020	TJX Cos., Inc. (The)		320,324

					2,240,237

			Technology Hardware, Storage & Peripherals – 1.7%
		13,769	Apple, Inc.		2,615,422

			Textiles, Apparel & Luxury Goods – 0.6%
		9,110	NIKE, Inc., Class B		767,153
		2,073	VF Corp.		180,165

					947,318

			Tobacco – 0.3%
		5,137	Philip Morris International, Inc.		454,059

			Water Utilities – 0.1%
		1,746	American Water Works Co., Inc.		182,038

			Total Common Stocks (Identified Cost $74,886,633)		97,650,589

	Principal Amount
		Short-Term Investments – 36.3%
			Certificates of Deposit – 22.8%
	$	3,000,000	National Bank of Kuwait (NY), 2.550%, 4/01/2019		3,000,019


Principal Amount		Description	Value (†)
		Certificates of Deposit – continued
$	2,000,000	DNB Bank ASA (NY), 2.380%, 4/03/2019	$	1,999,998
	1,500,000	Credit Agricole Corporate & Investment Bank (NY), 2.400%, 4/04/2019		1,500,000
	3,000,000	National Bank of Canada (NY), 1-month LIBOR + 0.150%, 2.643%, 4/10/2019(b)		3,000,088
	2,000,000	DZ Bank (NY), 2.700%, 4/10/2019		2,000,162
	2,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 2.600%, 4/25/2019		2,000,134
	2,000,000	Toronto-Dominion Bank (NY), 2.550%, 5/13/2019		2,000,029
	2,000,000	Dexia Credit Local S.A. (NY), (Credit Support: Belgium, France, Luxembourg), 3-month LIBOR + 0.100%, 2.783%, 5/17/2019(b)(c)		2,000,229
	2,000,000	Westpac Banking Corp. (NY), 1-month LIBOR + 0.270%, 2.758%, 5/20/2019(b)(c)		2,000,786
	2,000,000	Svenska Handelsbanken (NY), 1-month LIBOR + 0.280%, 2.773%, 6/11/2019(b)(c)		2,001,035
	1,000,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.310%, 2.802%, 6/12/2019(b)(c)		1,000,582
	1,000,000	Sumitomo Mitsui Trust Bank (NY), 3-month LIBOR + 0.200%, 2.997%, 7/09/2019(b)(c)		1,000,480
	2,000,000	Royal Bank of Canada (NY), 3-month LIBOR + 0.130%, 2.913%, 7/10/2019(b)(c)		2,000,754
	1,000,000	Sumitomo Mitsui Trust Bank (NY), 2.600%, 7/18/2019		1,000,035
	1,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 2.530%, 7/26/2019		999,900
	2,000,000	Swedbank (NY), 2.550%, 8/12/2019		2,000,232
	2,000,000	Commonwealth Bank of Australia (NY), 1-month LIBOR + 0.320%, 2.810%, 10/04/2019(b)(c)		2,002,273
	4,000,000	Bank of Montreal (IL), 3-month LIBOR + 0.110%, 2.904%, 10/04/2019(b)(c)		4,001,800

				35,508,536

		Time Deposits – 8.5%
	6,250,000	Skandinaviska Enskilda Banken (NY), 2.340%, 4/01/2019(d)		6,250,000
	7,000,000	Canadian Imperial Bank of Commerce, 2.400%, 4/01/2019		7,000,000

				13,250,000

		Commercial Paper – 3.2%
	1,000,000	ING (U.S.) Funding LLC, 1-month LIBOR + 0.310%, 2.800%, 6/03/2019(b)(c)		1,000,466
	4,000,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.535%, 4/23/2019(e)		3,993,158

				4,993,624

		Other Notes – 1.3%
	2,000,000	Bank of America NA, 2.620%, 8/12/2019 (d)		2,001,002


Principal Amount			Description	Value (†)
			Treasuries – 0.5%
	$	400,000	U.S. Treasury Bills, 2.330%, 4/04/2019 (e)(f)	$	399,921
		400,000	U.S. Treasury Bills, 2.371%, 5/02/2019 (e)(f)		399,191

					799,112

			Total Short-Term Investments (Identified Cost $56,543,442)		56,552,274

			Total Investments – 99.0% (Identified Cost $131,430,075)		154,202,863
			Other assets less liabilities – 1.0%		1,570,279

			Net Assets – 100.0%	$	155,773,142

(†)

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 subadvisers 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.

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)	Variable rate security. Rate as of March 31, 2019 is disclosed.

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

(d)	Variable rate security. The interest rate adjusts periodically based on changes in current interest rates. Rate as of March 31, 2019 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.

LIBOR

London Interbank Offered Rate

REITs

Real Estate Investment Trusts

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 March 31, 2019, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500^®		6/21/2019		141	$	19,717,662	$	20,006,490	$	288,828

Fair Value Measurements

•

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 March 31, 2019, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	97,650,589	$	—	$	—	$	97,650,589
Short-Term Investments*		—		56,552,274		—		56,552,274

Total Investments		97,650,589		56,552,274		—		154,202,863

Futures Contracts (unrealized appreciation)		288,828		—		—		288,828

Total	$	97,939,417	$	56,552,274	$	—	$	154,491,691

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

For the period ended March 31, 2019, 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 March 31, 2019, 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 March 31, 2019:


Assets	Unrealized appreciation on futures contracts
Exchange-traded asset derivatives Equity contracts	$	288,828


	Maximum Amount of Loss – Gross		Maximum Amount of Loss – Net
Exchange-traded counterparty credit risk
Futures contracts	$	288,828	$	288,828
Margin with brokers		800,334		800,334

Total exchange-traded counterparty credit risk	$	1,089,162	$	1,089,162

Industry Summary at March 31, 2019 (Unaudited)


Software	5.5	%
Pharmaceuticals	3.7
Banks	2.9
Oil, Gas & Consumable Fuels	2.9
Interactive Media & Services	2.6
IT Services	2.6
Internet & Direct Marketing Retail	2.6
Semiconductors & Semiconductor Equipment	2.5
Capital Markets	2.4
Other Investments, less than 2% each	35.0
Short-Term Investments	36.3

Total Investments	99.0
Other assets less liabilities (including futures contracts)	1.0

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2019 (Unaudited)

McDonnell Intermediate Municipal Bond Fund


Principal Amount		Description	Value (†)
Bonds and Notes – 95.0% of Net Assets
Municipals – 95.0%
		Alabama – 2.4%
$	500,000	UAB Medicine Finance Authority Revenue, UAB Medicine Obligated Group, Series B-2, 3.500%, 9/01/2035	$	509,370

		California – 8.2%
	500,000	California Municipal Finance Authority Revenue, California Lutheran University, 5.000%, 10/01/2034		585,790
	250,000	California Statewide Communities Development Authority Revenue, Beverly Community Hospital Association, 4.000%, 11/01/2032		262,510
	760,000	San Gorgonio Memorial Health Care District, GO, Refunding, 5.000%, 8/01/2024		866,750

				1,715,050

		Colorado – 10.1%
	260,000	Colorado Springs Utilities System Revenue, Series B-2, 5.000%, 11/15/2033		292,666
	400,000	Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028		436,884
	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		449,264
	250,000	Denver City & County, Airport System Revenue, Series A, AMT, 5.000%, 11/15/2030		298,918
	500,000	Regional Transportation District Sales Tax Revenue, Fastracks Project, Refunding, Series A, 5.000%, 11/01/2028		630,260

				2,107,992

		Connecticut – 4.4%
	800,000	Connecticut State Health & Educational Facilities Authority, University of New Haven, Series K-1, 5.000%, 7/01/2033		912,320

		Florida – 12.7%
	240,000	City of Cape Coral FL Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, (AGM Insured), 3.000%, 9/01/2027		249,319
	95,000	City of Cape Coral FL Utility Improvement Assessment, Various Areas, Water & Sewer Revenue, (AGM Insured), 3.000%, 9/01/2028		98,847
	700,000	City of Cape Coral FL Water & Sewer Revenue, 5.000%, 10/01/2039		812,945
	500,000	Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027		562,365
	400,000	Sarasota County Utility System Revenue, 5.000%, 10/01/2023		458,332


Principal Amount		Description	Value (†)
Municipals – continued
		Florida – continued
$	400,000	Volusia County Educational Facility Authority Revenue, Embry-Riddle Aeronautical University, Inc., Series B, 5.000%, 10/15/2025	$	466,616

				2,648,424

		Georgia – 1.4%
	250,000	Savannah Hospital Authority Revenue, St. Joseph’s/Candler Health System Obligated Group, Series A, 5.500%, 7/01/2027		287,275

		Illinois – 5.9%
	540,000	Chicago Midway International Airport Revenue, Second Lien, Refunding, Series A, AMT, 5.000%, 1/01/2031		595,366
	500,000	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2020		519,505
	100,000	Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021		107,067

				1,221,938

		Louisiana – 2.4%
	200,000	New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2035		227,030
	250,000	New Orleans Aviation Board, General Airport Revenue, North Terminal Project, Series B, AMT, 5.000%, 1/01/2036		283,117

				510,147

		Missouri – 3.8%
	700,000	Missouri Joint Municipal Electric Utility Commission Power Project Revenue, Refunding, 5.000%, 1/01/2024		799,946

		Nevada – 2.8%
	500,000	City of Henderson, GO, Various Purpose, Refunding, 5.000%, 6/01/2026		577,555

		New Jersey – 6.9%
	265,000	New Jersey Health Care Facilities Financing Authority Revenue, Refunding, Virtua Health, Inc., 5.000%, 7/01/2023		300,399
	500,000	New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 1/01/2032		567,170
	500,000	Rutgers The State University of New Jersey, Refunding, Series J, 5.000%, 5/01/2024		564,405

				1,431,974

		New Mexico – 2.8%
	500,000	New Mexico Hospital Equipment Loan Council Revenue, Presbyterian Healthcare Services Obligated Group, Refunding, 5.000%, 8/01/2031		577,960


Principal Amount		Description	Value (†)
Municipals – continued
		Ohio – 5.5%
$	500,000	Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023	$	571,935
	500,000	Hamilton County Hospital Facilities Revenue, UC Health Obligated Group, 5.000%, 2/01/2024		568,045

				1,139,980

		Pennsylvania – 1.4%
	285,000	Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027		301,296

		Rhode Island – 2.7%
	500,000	Rhode Island Clean Water Finance Agency Pollution Control Agency Revolving Fund-Pooled Loan, Series A, 5.000%, 10/01/2024		573,150

		Tennessee – 6.1%
	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		578,335
	615,000	Metropolitan Nashville Airport Authority (The) Revenue, Series B, AMT, 5.000%, 7/01/2023		688,308

				1,266,643

		Texas – 6.2%
	700,000	Houston TX Airport System Revenue, Refunding, Series C, AMT, 5.000%, 7/01/2026		835,646
	400,000	Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024		454,240

				1,289,886

		Washington – 8.1%
	500,000	King County Public Hospital District No. 2, GO, Evergreen Healthcare, Series B, 5.000%, 12/01/2032		569,490
	500,000	Port of Seattle Revenue, AMT, 5.000%, 7/01/2029		550,815
	500,000	Snohomish County School District No. 15 Edmonds, GO, 5.000%, 12/01/2031		572,580

				1,692,885

		Wisconsin – 1.2%
	225,000	Wisconsin Health & Educational Facilities Authority Revenue, Aspirus, Inc. Obligated Group, Refunding, Series A, 5.000%, 8/15/2031		256,401

		Total Bonds and Notes (Identified Cost $18,917,508)		19,820,192


Shares
	Exchange-Traded Funds – 4.0%
	10,000	SPDR^® Nuveen S&P High Yield Municipal Bond ETF		574,600
	10,000	VanEck Vectors^® Short High-Yield Municipal Index ETF	$	247,000

		Total Exchange-Traded Funds (Identified Cost $811,628)		821,600

		Total Investments – 99.0% (Identified Cost $19,729,136)		20,641,792
		Other assets less liabilities – 1.0%		216,266

		Net Assets – 100.0%	$	20,858,058

(†)

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.

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;

•

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 March 31, 2019, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes*	$	—	$	19,820,192	$	—	$	19,820,192
Exchange-Traded Funds		821,600		—		—		821,600

Total	$	821,600	$	19,820,192	$	—	$	20,641,792

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

For the period ended March 31, 2019, there were no transfers among Levels 1, 2 and 3.

Holdings Summary at March 31, 2019 (Unaudited)


Transportation	20.7	%
Education	17.9
Hospital	17.6
Prerefunded	17.4
Water & Sewer	12.9
Special Tax	4.7
Exchange-Traded Funds	4.0
Electric	3.8

Total Investments	99.0
Other assets less liabilities	1.0

Net Assets	100.0	%

Consolidated Portfolio of Investments – as of March 31, 2019 (Unaudited)

ASG Managed Futures Strategy Fund


Principal Amount		Description	Value (†)
Short-Term Investments – 92.6% of Net Assets
		Certificates of Deposit – 64.4%
$	15,000,000	National Bank of Kuwait (NY), 2.550%, 4/01/2019	$	15,000,094
	25,000,000	DNB Bank ASA (NY), 2.380%, 4/03/2019		24,999,982
	35,000,000	Credit Agricole Corporate & Investment Bank (NY), 2.400%, 4/04/2019		35,000,011
	31,500,000	National Bank of Canada (NY), 1-month LIBOR + 0.150%, 2.643%, 4/10/2019(a)		31,500,919
	20,000,000	DZ Bank (NY), 2.700%, 4/10/2019		20,001,623
	45,000,000	Landesbank Hessen (NY), 2.760%, 4/10/2019		45,004,668
	25,000,000	Mitsubishi UFJ Trust & Banking Corp. (NY), 2.860%, 4/11/2019		25,003,773
	25,000,000	Norinchukin Bank (NY), 2.680%, 4/17/2019		25,002,768
	70,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 2.600%, 4/25/2019		70,004,697
	40,000,000	Sumitomo Mitsui Bank (NY), 2.780%, 5/10/2019		40,014,201
	40,000,000	Toronto-Dominion Bank (NY), 2.550%, 5/13/2019		40,000,586
	100,000,000	Dexia Credit Local S.A. (NY), (Credit Support: Belgium, France, Luxembourg), 3-month LIBOR + 0.100%, 2.783%, 5/17/2019(a)(b)		100,011,439
	75,000,000	Westpac Banking Corp. (NY), 1-month LIBOR + 0.270%, 2.758%, 5/20/2019(a)		75,029,485
	53,500,000	Banco Del Estado De Chile (NY), 2.590%, 6/04/2019		53,504,006
	65,000,000	Nordea Bank ABP (NY), 2.540%, 6/11/2019		65,005,694
	35,000,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.310%, 2.802%, 6/12/2019(a)(b)		35,020,367
	46,000,000	Mizuho Bank Ltd. (NY), 2.620%, 6/17/2019		46,008,668
	50,000,000	DZ Bank (NY), 2.580%, 6/19/2019		50,003,633
	50,000,000	Royal Bank of Canada (NY), 3-month LIBOR + 0.130%, 2.913%, 7/10/2019(a)(b)		50,018,838
	25,000,000	Swedbank (NY), 2.700%, 7/16/2019		25,014,540
	60,000,000	Sumitomo Mitsui Trust Bank (NY), 2.600%, 7/18/2019		60,002,077
	12,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 2.530%, 7/26/2019		11,998,799
	50,000,000	Swedbank (NY), 2.550%, 8/12/2019		50,005,800
	14,000,000	Sumitomo Mitsui Bank (NY), 2.630%, 9/04/2019		14,003,477
	20,000,000	Toronto-Dominion Bank (NY), 2.610%, 9/16/2019		20,000,849


Principal Amount		Description	Value (†)
		Certificates of Deposit – continued
$	50,000,000	Commonwealth Bank of Australia (NY), 1-month LIBOR + 0.320%, 2.810%, 10/04/2019(a)	$	50,056,830
	70,000,000	Bank of Montreal (IL), 3-month LIBOR + 0.110%, 2.904%, 10/04/2019(a)(b)		70,031,504
	16,500,000	Commonwealth Bank of Australia (NY), 1-month LIBOR + 0.110%, 2.593%, 10/08/2019(a)		16,500,410

				1,163,749,738

		Time Deposits – 10.7%
	85,000,000	Skandinaviska Enskilda Banken (NY), 2.340%, 4/01/2019(c)		85,000,000
	23,000,000	National Bank of Kuwait (NY), 2.370%, 4/01/2019(c)		23,000,000
	85,650,000	Canadian Imperial Bank of Commerce, 2.400%, 4/01/2019		85,650,000

				193,650,000

		Commercial Paper – 10.1%
	17,000,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.535%, 4/16/2019(d)		16,979,141
	41,110,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.535%, 4/18/2019(d)		41,053,885
	50,000,000	Santander UK PLC, 2.637%, 5/03/2019(d)		49,879,590
	75,000,000	ING (U.S.) Funding LLC, 1-month LIBOR + 0.310%, 2.800%, 6/03/2019(a)		75,034,918

				182,947,534

		Treasuries – 5.2%
	42,300,000	U.S. Treasury Bills, 2.336%-2.343%, 4/04/2019(d)(e)(f)		42,291,677
	32,400,000	U.S. Treasury Bills, 2.371%, 5/02/2019(d)(e)		32,334,470
	19,500,000	U.S. Treasury Bills, 2.405%, 6/06/2019(d)(e)		19,415,630

				94,041,777

		Other Notes – 2.2%
	40,000,000	Bank of America NA, 2.620%, 8/12/2019(c)		40,020,038

		Total Short-Term Investments (Identified Cost $1,674,118,528)		1,674,409,087

		Total Investments – 92.6% (Identified Cost $1,674,118,528)		1,674,409,087
		Other assets less liabilities – 7.4%		132,976,694

		Net Assets – 100.0%	$	1,807,385,781

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 March 31, 2019, the value of the Fund’s investment in the Subsidiary was $51,527,568, representing 2.85% 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
$641,683,254	$	7,209,359		0.40	%

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

(a)	Variable rate security. Rate as of March 31, 2019 is disclosed.

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

(c)	Variable rate security. The interest rate adjusts periodically based on changes in current interest rates. Rate as of March 31, 2019 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

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 March 31, 2019, 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		6/19/2019		CHF		B	16,625,000	$	16,703,317	$	16,819,198	$	115,881
UBS AG		6/19/2019		CHF		B	15,750,000		15,999,079		15,933,977		(65,102	)
UBS AG		6/19/2019		CHF		S	192,625,000		192,543,747		194,875,068		(2,331,321	)
UBS AG		6/19/2019		MXN		B	3,645,500,000		184,769,836		185,488,492		718,656
UBS AG		6/19/2019		MXN		B	1,091,000,000		56,706,673		55,511,712		(1,194,961	)
UBS AG		6/19/2019		MXN		S	1,224,000,000		62,455,398		62,278,951		176,447
UBS AG		6/19/2019		NOK		B	98,000,000		11,371,680		11,396,467		24,787
UBS AG		6/19/2019		NOK		B	484,000,000		56,883,894		56,284,592		(599,302	)
UBS AG		6/19/2019		NOK		S	1,602,000,000		185,159,243		186,297,348		(1,138,105	)
UBS AG		6/19/2019		NZD		B	80,100,000		55,317,207		54,629,275		(687,932	)
UBS AG		6/19/2019		NZD		S	37,300,000		25,493,207		25,439,100		54,107
UBS AG		6/19/2019		NZD		S	45,900,000		31,174,537		31,304,416		(129,879	)
UBS AG		6/19/2019		PLN		B	92,000,000		24,467,526		24,020,855		(446,671	)
UBS AG		6/19/2019		PLN		S	575,000,000		151,159,459		150,130,346		1,029,113
UBS AG		6/19/2019		SEK		B	160,000,000		17,213,692		17,309,995		96,303
UBS AG		6/19/2019		SEK		B	796,000,000		86,792,740		86,117,224		(675,516	)
UBS AG		6/19/2019		SEK		S	2,510,000,000		268,955,294		271,550,542		(2,595,248	)
UBS AG		6/19/2019		SGD		B	58,250,000		43,286,967		43,043,864		(243,103	)
UBS AG		6/19/2019		SGD		S	12,500,000		9,255,187		9,236,881		18,306
UBS AG		6/19/2019		SGD		S	109,875,000		81,086,832		81,192,182		(105,350	)
UBS AG		6/19/2019		TRY		B	39,300,000		6,842,201		6,567,484		(274,717	)
UBS AG		6/19/2019		TRY		S	78,900,000		12,911,258		13,185,101		(273,843	)
UBS AG		6/19/2019		ZAR		B	41,000,000		2,853,332		2,815,159		(38,173	)
UBS AG		6/19/2019		ZAR		S	700,000,000		48,372,347		48,063,686		308,661
UBS AG		6/19/2019		ZAR		S	517,000,000		35,253,345		35,498,465		(245,120	)

Total												$	(8,502,082	)

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 March 31, 2019, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year Australia Government Bond		6/17/2019		4,156	$	400,776,149	$	408,875,750	$	8,099,601
10 Year Canada Government Bond		6/19/2019		3,992		407,545,710		415,346,039		7,800,329
10 Year U.S. Treasury Note		6/19/2019		3,323		407,185,766		412,778,906		5,593,140
2 Year U.S. Treasury Note		6/28/2019		3,849		816,956,992		820,197,844		3,240,852
3 Year Australia Government Bond		6/17/2019		5,227		419,915,469		421,774,748		1,859,279
30 Year U.S. Treasury Bond		6/19/2019		956		139,546,133		143,071,375		3,525,242
5 Year U.S. Treasury Note		6/28/2019		5,818		668,654,841		673,888,031		5,233,190
AEX-Index^®		4/18/2019		609		73,136,975		74,864,596		1,727,621
ASX SPI 200^™		6/20/2019		895		98,183,906		98,040,920		(142,986	)
CAC 40^®		4/18/2019		1,010		59,499,024		60,534,469		1,035,445
DAX		6/21/2019		18		5,905,426		5,822,473		(82,953	)
E-mini Dow		6/21/2019		785		100,899,845		101,787,025		887,180
E-mini NASDAQ 100		6/21/2019		566		81,241,419		83,773,660		2,532,241
E-mini Russell 2000		6/21/2019		497		38,325,195		38,363,430		38,235
E-mini S&P 500^®		6/21/2019		703		98,587,160		99,748,670		1,161,510
E-mini S&P MidCap 400^®		6/21/2019		285		53,797,360		54,178,500		381,140
Euribor		6/17/2019		2,922		821,825,390		821,937,874		112,484
Euro Schatz		6/06/2019		3,868		485,103,235		485,851,700		748,465
EURO STOXX 50^®		6/21/2019		1,567		57,119,502		57,514,650		395,148
Euro-BTP		6/06/2019		280		40,363,716		40,665,242		301,526
Euro-Buxl^® 30 Year Bond		6/06/2019		534		109,297,493		114,807,149		5,509,656
Euro-OAT		6/06/2019		1,667		295,857,567		304,186,024		8,328,457
Eurodollar		9/16/2019		4,432		1,080,881,775		1,080,743,200		(138,575	)
Eurodollar		6/17/2019		9,224		2,244,817,387		2,247,312,300		2,494,913
FTSE 100 Index		6/21/2019		534		49,565,548		50,156,567		591,019
FTSE China A50 Index		4/29/2019		2,853		36,017,535		37,445,625		1,428,090
FTSE MIB		6/21/2019		230		26,773,571		26,756,156		(17,415	)
FTSE/JSE Top 40 Index		6/20/2019		100		3,505,218		3,519,570		14,352


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Long Futures Contracts – continued
German Euro BOBL		6/06/2019		1,719	$	254,553,398	$	256,732,364	$	2,178,966
German Euro Bund		6/06/2019		1,480		270,405,849		276,156,076		5,750,227
Hang Seng China Enterprises Index		4/29/2019		492		35,343,703		35,643,590		299,887
Hang Seng Index^®		4/29/2019		235		42,956,153		43,523,175		567,022
IBEX 35		4/18/2019		368		37,929,658		37,930,093		435
Indian Rupee		4/25/2019		713		20,556,122		20,513,010		(43,112	)
MSCI EAFE Index		6/21/2019		263		24,519,150		24,543,160		24,010
MSCI Emerging Markets Index		6/21/2019		375		19,904,210		19,826,250		(77,960	)
MSCI Taiwan Index		4/29/2019		776		30,040,805		30,318,320		277,515
Nikkei 225^™		6/13/2019		79		15,330,601		15,118,560		(212,041	)
OMXS30^®		4/17/2019		3,646		60,257,739		60,637,255		379,516
S&P/TSX 60 Index		6/20/2019		699		99,901,641		100,125,401		223,760
Short-Term Euro-BTP		6/06/2019		1,381		171,309,677		171,954,224		644,547
Sterling		6/19/2019		9,574		1,544,030,841		1,545,613,480		1,582,639
UK Long Gilt		6/26/2019		1,684		279,294,567		283,750,482		4,455,915
Ultra Long U.S. Treasury Bond		6/19/2019		836		136,117,781		140,448,000		4,330,219

Total									$	83,038,731


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		6/19/2019		329	$	15,730,763	$	15,717,975	$	(12,788	)
Brent Crude Oil		4/30/2019		681		45,591,430		46,021,980		430,550
Copper		5/29/2019		68		5,033,913		4,991,200		(42,713	)
Copper LME		6/19/2019		403		65,220,865		65,351,488		130,623
Gasoline		4/30/2019		27		2,146,410		2,134,755		(11,655	)
Gold		6/26/2019		76		10,049,680		9,868,600		(181,080	)
Lean Hog		6/14/2019		153		5,790,550		5,419,260		(371,290	)
Live Cattle		6/28/2019		1,339		63,220,420		63,736,400		515,980
Low Sulfur Gasoil		5/10/2019		634		38,734,725		38,499,650		(235,075	)
New York Harbor ULSD		4/30/2019		340		28,454,240		28,151,592		(302,648	)
Nickel LME		6/19/2019		366		28,973,972		28,515,060		(458,912	)
WTI Crude Oil		4/22/2019		132		7,888,420		7,938,480		50,060
Zinc LME		6/19/2019		339		23,504,157		24,872,006		1,367,849

Total									$	878,901


At March 31, 2019, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Australian Dollar		6/17/2019		1,857	$	130,952,750	$	132,014,130	$	(1,061,380	)
British Pound		6/17/2019		590		48,213,188		48,144,000		69,188
Canadian Dollar		6/18/2019		2,992		223,598,605		224,489,760		(891,155	)
Euro		6/17/2019		2,999		424,907,043		423,177,644		1,729,399
Japanese Yen		6/17/2019		2,368		268,493,662		268,723,600		(229,938	)
MSCI Singapore		4/29/2019		28		744,999		743,154		1,845
TOPIX		6/13/2019		65		9,372,891		9,336,822		36,069

Total									$	(345,972	)


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Short Futures Contracts – continued
Aluminum LME		6/19/2019		1,262	$	59,249,134	$	60,292,050	$	(1,042,916	)
Cocoa		5/15/2019		597		13,406,960		13,611,600		(204,640	)
Coffee		5/20/2019		988		39,204,300		35,012,250		4,192,050
Copper LME		6/19/2019		290		45,430,883		47,027,125		(1,596,242	)
Corn		7/12/2019		2,986		58,037,750		54,681,125		3,356,625
Cotton		5/08/2019		562		20,482,800		21,808,410		(1,325,610	)
Nickel LME		6/19/2019		193		14,576,736		15,036,630		(459,894	)
Platinum		7/29/2019		149		6,446,170		6,363,045		83,125
Silver		5/29/2019		394		30,429,175		29,766,700		662,475
Soybean		7/12/2019		1,025		47,838,262		46,009,688		1,828,574
Soybean Meal		7/12/2019		1,085		34,244,450		33,635,000		609,450
Soybean Oil		7/12/2019		1,177		21,130,140		20,260,878		869,262
Sugar		4/30/2019		1,899		26,428,248		26,649,806		(221,558	)
Wheat		7/12/2019		1,858		45,743,800		43,059,150		2,684,650
Zinc LME		6/19/2019		104		6,777,420		7,630,350		(852,930	)

Total									$	8,582,421

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;

•

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 March 31, 2019, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investments*	$	—	$	1,674,409,087	$	—	$	1,674,409,087
Forward Foreign Currency Contracts (unrealized appreciation)		—		2,542,261		—		2,542,261
Futures Contracts (unrealized appreciation)		95,617,583		6,753,964		—		102,371,547

Total	$	95,617,583	$	1,683,705,312	$	—	$	1,779,322,895

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(11,044,343	)	$	—	$	(11,044,343	)
Futures Contracts (unrealized depreciation)		(9,762,071	)		(455,395	)		—		(10,217,466	)

Total	$	(9,762,071	)	$	(11,499,738	)	$	—	$	(21,261,809	)

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

For the period ended March 31, 2019, 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 March 31, 2019, the Fund used long and short contracts on U.S. and foreign government bonds, U.S. and 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 March 31, 2019:


Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	2,542,261	$	—

Exchange-traded asset derivatives
Interest rate contracts	$	—	$	71,789,647
Foreign exchange contracts		—		1,798,587
Commodity contracts		—		16,781,273
Equity contracts		—		12,002,040

Total exchange-traded asset derivatives	$	—	$	102,371,547

Total asset derivatives	$	2,542,261	$	102,371,547


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(11,044,343	)	$	—
Exchange-traded liability derivatives
Interest rate contracts	$	—		$	(138,575	)
Foreign exchange contracts		—			(2,225,585	)
Commodity contracts		—			(7,319,951	)
Equity contracts		—			(533,355	)

Total exchange-traded liability derivatives	$	—		$	(10,217,466	)

Total liability derivatives	$	(11,044,343	)	$	(10,217,466	)

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 March 31, 2019, 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	$	(8,502,082	)	$	51,198,199


	Maximum Amount of Loss – Gross		Maximum Amount of Loss – Net
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	2,542,261	$	—
Collateral pledged to UBS AG		51,198,199		51,198,199

Total over-the-counter counterparty credit risk		53,740,460		51,198,199

Exchange-traded counterparty credit risk
Futures contracts		102,371,547		102,371,547
Margin with brokers		143,264,564		143,264,564

Total exchange-traded counterparty credit risk		245,636,111		245,636,111

Total counterparty credit risk	$	299,376,571	$	296,834,310

Investment Summary at March 31, 2019 (Unaudited)


Certificates of Deposit	64.4	%
Time Deposits	10.7
Commercial Paper	10.1
Treasuries	5.2
Other Notes	2.2

Total Investments	92.6
Other assets less liabilities (including forward foreign currency and futures contracts)	7.4

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2019 (Unaudited)

Loomis Sayles Strategic Alpha Fund


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – 78.5% of Net Assets
	Non-Convertible Bonds – 76.8%
			ABS Car Loan – 12.8%
	$	326,384	ACC Trust, Series 2018-1, Class A, 3.700%, 12/21/2020, 144A	$	326,723
		237,800	Ally Auto Receivables Trust, Series 2016-3, Class A3, 1.440%, 8/17/2020(a)		237,486
		7,250,000	Ally Auto Receivables Trust, Series 2019-1, Class A3, 2.910%, 9/15/2023(a)		7,305,091
		1,455,000	AmeriCredit Automobile Receivables Trust, Series 2015-4, Class D, 3.720%, 12/08/2021(a)		1,469,617
		295,000	AmeriCredit Automobile Receivables Trust, Series 2016-2, Class D, 3.650%, 5/09/2022(a)		298,061
		2,418,637	AmeriCredit Automobile Receivables Trust, Series 2017-3, Class A2B, 1-month LIBOR + 0.240%, 2.722%, 12/18/2020(a)(b)		2,418,634
		2,805,000	AmeriCredit Automobile Receivables Trust, Series 2018-2, Class D, 4.010%, 7/18/2024		2,882,103
		4,320,000	AmeriCredit Automobile Receivables Trust, Series 2018-3, Class A2B, 1-month LIBOR + 0.250%, 2.732%, 1/18/2022(a)(b)		4,320,098
		3,845,000	AmeriCredit Automobile Receivables Trust, Series 2018-3, Class D, 4.040%, 11/18/2024		3,915,793
		989,857	BMW Vehicle Owner Trust, Series 2018-A, Class A2B, 1-month LIBOR + 0.007%, 2.556%, 11/25/2020(a)(b)		989,721
		1,785,000	California Republic Auto Receivables Trust, Series 2018-1, Class D, 4.330%, 4/15/2025		1,832,715
		741,063	CarMax Auto Owner Trust, Series 2018-1, Class A2B, 1-month LIBOR + 0.150%, 2.634%, 5/17/2021(a)(b)		740,918
		135,000	CarMax Auto Owner Trust, Series 2018-1, Class D, 3.370%, 7/15/2024		135,066
		1,435,000	CarMax Auto Owner Trust, Series 2018-2, Class D, 3.990%, 4/15/2025		1,464,671
		6,505,142	CarMax Auto Owner Trust, Series 2018-3, Class A2B, 1-month LIBOR + 0.200%, 2.684%, 10/15/2021(a)(b)		6,505,140
		5,075,000	CarMax Auto Owner Trust, Series 2018-4, Class A2B, 1-month LIBOR + 0.200%, 2.684%, 2/15/2022(a)(b)		5,074,998
		1,125,000	CarMax Auto Owner Trust, Series 2018-4, Class D, 4.150%, 4/15/2025		1,148,379
		7,285,000	CarMax Auto Owner Trust, Series 2019-1, Class A3, 3.050%, 3/15/2024(a)		7,345,479
		2,350,000	CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025		2,380,178
		225,704	CIG Auto Receivables Trust, Series 2017-1A, Class A, 2.710%, 5/15/2023, 144A(a)		225,220
		419,829	CPS Auto Receivables Trust, Series 2014-D, Class C, 4.350%, 11/16/2020, 144A(a)		421,661
		815,000	CPS Auto Receivables Trust, Series 2017-D, Class D, 3.730%, 9/15/2023, 144A(a)		817,639
		230,000	CPS Auto Receivables Trust, Series 2018-A, Class C, 3.050%, 12/15/2023, 144A(a)		229,168
		1,795,000	CPS Auto Receivables Trust, Series 2018-D, Class C, 3.830%, 9/15/2023, 144A		1,824,024
		525,000	Credit Acceptance Auto Loan Trust, Series 2017-3A, Class C, 3.480%, 10/15/2026, 144A		524,881


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		ABS Car Loan – continued
$	1,205,000	Credit Acceptance Auto Loan Trust, Series 2018-2A, Class C, 4.160%, 9/15/2027, 144A(a)	$	1,230,956
	4,745,000	Credit Acceptance Auto Loan Trust, Series 2019-1A, Class C, 3.940%, 6/15/2028, 144A		4,791,335
	1,137,181	Drive Auto Receivables Trust, Series 2016-CA, Class C, 3.020%, 11/15/2021, 144A(a)		1,137,647
	2,955,000	Drive Auto Receivables Trust, Series 2018-1, Class D, 3.810%, 5/15/2024(a)		2,978,901
	1,917,723	Drive Auto Receivables Trust, Series 2018-4, Class A2B, 1-month LIBOR + 0.270%, 2.754%, 10/15/2020(a)(b)		1,917,777
	5,279,649	Drive Auto Receivables Trust, Series 2018-5, Class A2B, 1-month LIBOR + 0.320%, 2.804%, 7/15/2021(a)(b)		5,280,634
	2,395,000	Drive Auto Receivables Trust, Series 2018-5, Class D, 4.300%, 4/15/2026		2,469,413
	1,330,000	Drive Auto Receivables Trust, Series 2019-1, Class D, 4.090%, 6/15/2026		1,358,046
	2,155,000	DT Auto Owner Trust, Series 2018-3A, Class C, 3.790%, 7/15/2024, 144A		2,178,089
	603,235	DT Auto Owner Trust, Series 2015-2A, Class D, 4.250%, 2/15/2022, 144A(a)		603,721
	3,406,530	DT Auto Owner Trust, Series 2016-1A, Class D, 4.660%, 12/15/2022, 144A(a)		3,435,844
	2,888,900	DT Auto Owner Trust, Series 2016-2A, Class D, 5.430%, 11/15/2022, 144A(a)		2,923,585
	1,390,000	DT Auto Owner Trust, Series 2018-2A, Class D, 4.150%, 3/15/2024, 144A		1,415,045
	345,000	First Investors Auto Owner Trust, Series 2015-1A, Class D, 3.590%, 1/18/2022, 144A(a)		345,770
	1,710,000	First Investors Auto Owner Trust, Series 2015-2A, Class D, 4.220%, 12/15/2021, 144A(a)		1,721,895
	220,000	First Investors Auto Owner Trust, Series 2016-2A, Class D, 3.350%, 11/15/2022, 144A(a)		219,935
	605,000	Flagship Credit Auto Trust, Series 2015-1, Class C, 3.760%, 6/15/2021, 144A(a)		607,198
	650,000	Flagship Credit Auto Trust, Series 2016-3, Class D, 3.890%, 11/15/2022, 144A(a)		654,942
	4,120,000	Ford Credit Auto Lease Trust, Series 2018-B, Class A2B, 1-month LIBOR + 0.160%, 2.644%, 4/15/2021(a)(b)		4,115,278
	2,655,000	Ford Credit Auto Owner Trust, Series 2018-A, Class A3, 3.030%, 11/15/2022(a)		2,674,322
	1,260,000	GLS Auto Receivables Trust, Series 2018-3A, Class B, 3.780%, 8/15/2023, 144A(a)		1,274,867
	5,392,944	GM Financial Automobile Leasing Trust, Series 2018-3, Class A2B, 1-month LIBOR + 0.170%, 2.658%, 9/21/2020(a)(b)		5,391,630
	4,747,146	GM Financial Consumer Automobile Receivables Trust, Series 2018-3, Class A2B, 1-month LIBOR + 0.110%, 2.592%, 7/16/2021(a)(b)		4,744,016
	2,180,000	GM Financial Securitized Term, Series 2019-1, Class A3, 2.970%, 11/16/2023(a)		2,197,507
	1,362,000	Hertz Vehicle Financing II LP, Series 2017-2A, Class A, 3.290%, 10/25/2023, 144A(a)		1,360,550
	260,707	Honda Auto Receivables Owner Trust, Series 2016-2, Class A3, 1.390%, 4/15/2020(a)		260,248


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		ABS Car Loan – continued
$	853,560	Honda Auto Receivables Owner Trust, Series 2017-1, Class A3, 1.720%, 7/21/2021(a)	$	848,782
	5,095,000	Honda Auto Receivables Owner Trust, Series 2018-1, Class A3, 2.640%, 2/15/2022(a)		5,097,722
	3,135,000	Honda Auto Receivables Owner Trust, Series 2019-1, Class A3, 2.830%, 3/20/2023(a)		3,154,311
	3,045,000	NextGear Floorplan Master Owner Trust, Series 2017-1A, Class A1, 1-month LIBOR + 0.850%, 3.334%, 4/18/2022, 144A(a)(b)		3,058,998
	4,355,000	NextGear Floorplan Master Owner Trust, Series 2017-2A, Class A1, 1-month LIBOR + 0.680%, 3.164%, 10/17/2022, 144A(a)(b)		4,368,067
	2,590,000	NextGear Floorplan Master Owner Trust, Series 2018-1A, Class A1, 1-month LIBOR + 0.640%, 3.124%, 2/15/2023, 144A(a)(b)		2,594,812
	2,820,000	NextGear Floorplan Master Owner Trust, Series 2018-2A, Class A1, 1-month LIBOR + 0.600%, 3.084%, 10/15/2023, 144A(a)(b)		2,821,935
	8,095,000	Nissan Auto Receivables Owner Trust, Series 2019-A, Class A3, 2.900%, 10/16/2023(a)		8,154,884
	435,583	Nissan Auto Receivables Owner Trust, Series 2016-C, Class A3, 1.180%, 1/15/2021(a)		432,950
	1,329,221	Nissan Auto Receivables Owner Trust, Series 2017-A, Class A3, 1.740%, 8/16/2021(a)		1,322,024
	3,220,000	Nissan Auto Receivables Owner Trust, Series 2018-A, Class A3, 2.650%, 5/16/2022(a)		3,222,744
	3,285,000	Nissan Auto Receivables Owner Trust, Series 2018-B, Class A2B, 1-month LIBOR + 0.100%, 2.584%, 7/15/2021(a)(b)		3,283,905
	6,465,000	Nissan Auto Receivables Owner Trust, Series 2018-C, Class A2B, 1-month LIBOR + 0.170%, 2.654%, 10/15/2021(a)(b)		6,467,240
	3,045,000	Prestige Auto Receivables Trust, Series 2016-1A, Class D, 5.150%, 11/15/2021, 144A(a)		3,098,358
	3,585,000	Santander Drive Auto Receivables Trust, Series 2018-2, Class D, 3.880%, 2/15/2024		3,635,127
	5,125,000	Santander Drive Auto Receivables Trust, Series 2018-5, Class A2B, 1-month LIBOR + 0.230%, 2.714%, 7/15/2021(a)(b)		5,125,139
	2,720,000	Santander Drive Auto Receivables Trust, Series 2018-5, Class C, 3.810%, 12/16/2024		2,760,587
	353,000	Tidewater Auto Receivables Trust, Series 2018-AA, Class D, 4.300%, 11/15/2024, 144A		357,170
	9,550,000	Toyota Auto Receivables Owner, Series 2019-A, Class A3, 2.910%, 7/17/2023(a)		9,617,945
	218,843	Toyota Auto Receivables Owner Trust, Series 2016-C, Class A3, 1.140%, 8/17/2020(a)		217,993
	4,970,000	Toyota Auto Receivables Owner Trust, Series 2018-C, Class A2B, 1-month LIBOR + 0.120%, 2.604%, 8/16/2021(a)(b)		4,970,448
	28,558	USAA Auto Owner Trust, Series 2016-1, Class A3, 1.200%, 6/15/2020(a)		28,538
	300,643	Veros Automobile Receivables Trust, Series 2017-1, Class A, 2.840%, 4/17/2023, 144A(a)		300,162
	3,093,975	Volkswagen Auto Loan Enhanced Trust, Series 2018-1, Class A2B, 1-month LIBOR + 0.180%, 2.668%, 7/20/2021(a)(b)		3,094,664
	4,605,000	Volvo Financial Equipment Master Owner Trust, Series 2018-A, Class A, 1-month LIBOR + 0.520%, 3.004%, 7/17/2023, 144A(a)(b)		4,618,242
	595,000	Westlake Automobile Receivables Trust, Series 2017-1A, Class D, 3.460%, 10/17/2022, 144A(a)		595,399


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		ABS Car Loan – continued
$	740,000	Westlake Automobile Receivables Trust, Series 2018-1A, Class D, 3.410%, 5/15/2023, 144A(a)	$	741,734
	5,705,000	Westlake Automobile Receivables Trust, Series 2018-3A, Class A2B, 1-month LIBOR + 0.350%, 2.834%, 1/18/2022, 144A(a)(b)		5,701,608
	1,140,000	Westlake Automobile Receivables Trust, Series 2018-3A, Class D, 4.000%, 10/16/2023, 144A		1,157,970
	4,619,656	World Omni Automobile Lease Securitization Trust, Series 18-B, Class A2B, 1-month LIBOR + 0.180%, 2.664%, 6/15/2021(a)(b)		4,617,876

				207,589,949

		ABS Credit Card – 4.3%
	5,420,000	American Express Credit Account Master Trust, Series 2017-6, Class A, 2.040%, 5/15/2023(a)		5,382,222
	3,790,000	American Express Credit Account Master Trust, Series 2018-8, Class A, 3.180%, 4/15/2024(a)		3,846,177
	2,385,000	American Express Credit Account Master Trust, Series 2019-1, Class A, 2.870%, 10/15/2024(a)		2,406,845
	995,000	Bank of America Credit Card Trust, Series 2016-A1, Class A, 1-month LIBOR + 0.390%, 2.874%, 10/15/2021(a)(b)		995,398
	4,385,000	Bank of America Credit Card Trust, Series 2017-A1, Class A1, 1.950%, 8/15/2022(a)		4,358,077
	5,875,000	Bank of America Credit Card Trust, Series 2018-A1, Class A1, 2.700%, 7/17/2023(a)		5,893,735
	2,585,000	Capital One Multi-Asset Execution Trust, Series 2017-A1, Class A1, 2.000%, 1/17/2023(a)		2,570,354
	3,440,000	Capital One Multi-Asset Execution Trust, Series 2019-A1, Class A1, 2.840%, 12/16/2024(a)		3,469,060
	3,500,000	Chase Issuance Trust, Series 2015-A4, Class A4, 1.840%, 4/15/2022(a)		3,473,749
	3,120,000	Chase Issuance Trust, Series 2016-A2, Class A, 1.370%, 6/15/2021(a)		3,111,801
	5,800,000	Citibank Credit Card Issuance Trust, Series 2016-A1, Class A1, 1.750%, 11/19/2021(a)		5,767,837
	5,520,000	Citibank Credit Card Issuance Trust, Series 2017-A8, Class A8, 1.860%, 8/08/2022(a)		5,467,850
	6,025,000	Citibank Credit Card Issuance Trust, Series 2018-A1, Class A1, 2.490%, 1/20/2023(a)		6,016,286
	6,880,000	Discover Card Execution Note Trust, Series 2018-A5, Class A5, 3.320%, 3/15/2024(a)		7,009,845
	5,425,000	Discover Card Execution Note Trust, Series 2018-A3, Class A3, 1-month LIBOR + 0.230%, 2.714%, 12/15/2023(a)(b)		5,421,757
	3,190,000	Discover Card Execution Note Trust, Series 2019-A1, Class A1, 3.040%, 7/15/2024(a)		3,232,830
	640,000	Genesis Sales Finance Master Trust, Series 2019-AA, Class A, 4.680%, 8/20/2023, 144A(c)		648,033

				69,071,856

		ABS Home Equity – 9.3%
	467,589	Adjustable Rate Mortgage Trust, Series 2004-4, Class 3A1, 4.337%, 3/25/2035(a)(d)		467,492
	956,048	Adjustable Rate Mortgage Trust, Series 2005-1, Class 3A1, 4.439%, 5/25/2035(a)(d)		966,640


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	990,885	Ajax Mortgage Loan Trust, Series 2016-C, Class A, 4.000%, 10/25/2057, 144A(a)(d)	$	990,999
	321,927	AJAX Mortgage Loan Trust, Series 2017-A, Class A, 3.470%, 4/25/2057, 144A(a)(d)		320,465
	1,360,791	Ajax Mortgage Loan Trust, Series 2017-B, Class A, 3.163%, 9/25/2056, 144A(a)(d)		1,353,420
	378,442	Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034(a)		390,239
	438,531	Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034(a)		450,555
	272,206	Alternative Loan Trust, Series 2004-28CB, Class 5A1, 5.750%, 1/25/2035(c)(e)		271,038
	742,304	Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025		753,300
	181,962	American Home Mortgage Investment Trust, Series 2004-2, Class 5A, 5.500%, 2/25/2044(d)		186,029
	300,000	American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A(a)		317,789
	2,170,000	American Homes 4 Rent, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A(a)		2,378,748
	1,200,000	American Homes 4 Rent, Series 2014-SFR3, Class E, 6.418%, 12/17/2036, 144A(a)		1,329,721
	3,138,000	American Homes 4 Rent, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A		3,389,006
	589,411	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033		606,648
	1,142,202	Banc of America Funding Trust, Series 2004-B, Class 4A2, 4.283%, 11/20/2034(d)		1,125,522
	323,573	Banc of America Funding Trust, Series 2005-5, Class 1A1, 5.500%, 9/25/2035		347,270
	649,632	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		691,798
	460,748	Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034		458,874
	1,173,311	Banc of America Mortgage Trust, Series 2005-I, Class 4A1, 4.042%, 10/25/2035(d)		1,132,373
	345,207	Bayview Opportunity Master Fund IIb Trust, Series 2018-RN5, Class A1, 3.820%, 4/28/2033, 144A(d)		345,787
	3,470,000	Bayview Opportunity Master Fund IVa Trust, Series 2019-RN2, Class A1, 3.967%, 3/28/2034, 144A(d)		3,470,000
	1,748,891	Bayview Opportunity Master Fund IVb Trust, Series 2018-RN9, Class A1, 4.213%, 10/29/2033, 144A(d)		1,756,709
	902,475	Bayview Opportunity Master Fund Trust, Series 2018-RN8, Class A1, 4.066%, 9/28/2033, 144A(d)		906,300
	2,791,698	Bayview Opportunity Master Funding, Series 2019-RN1, Class A1, 4.090%, 2/28/2034, 144A(d)		2,816,030
	373,778	BCAP LLC Trust, Series 2007-AA2, Class 22A1, 6.000%, 3/25/2022(c)(e)		366,860
	232,799	CAM Mortgage Trust, Series 2018-1, Class A1, 3.960%, 12/01/2065, 144A(d)		232,224
	347,413	CHL Mortgage Pass-Through Trust, Series 2004-12, Class 8A1, 4.608%, 8/25/2034(c)(d)(e)		340,559


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	1,219,312	Citigroup Mortgage Loan Trust, Series 2018-A, Class A1, 4.000%, 1/25/2068, 144A(d)	$	1,226,705
	2,951,764	Citigroup Mortgage Loan Trust, Series 2018-C, Class A1, 4.125%, 3/25/2059, 144A(d)		2,963,945
	1,127,598	Citigroup Mortgage Loan Trust, Inc., Series 2005-3, Class 2A3, 4.595%, 8/25/2035(d)		1,116,853
	2,200,000	Colony American Finance Ltd., Series 2015-1, Class D, 5.649%, 10/15/2047, 144A		2,206,760
	1,065,000	Colony American Finance Ltd., Series 2016-1, Class C, 4.638%, 6/15/2048, 144A(a)(d)		1,069,172
	879,713	Colony Starwood Homes Trust, Series 2016-2A, Class E, 1-month LIBOR + 3.350%, 5.834%, 12/17/2033, 144A(b)		880,603
	558,618	Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.750%, 12/25/2033(a)		571,563
	518,431	Countrywide Alternative Loan Trust, Series 2004-14T2, Class A11, 5.500%, 8/25/2034		537,826
	1,035,864	Countrywide Alternative Loan Trust, Series 2004-J10, Class 2CB1, 6.000%, 9/25/2034		1,079,294
	457,724	Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034(a)		466,576
	68,696	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 4.211%, 9/20/2034(a)(c)(d)(e)		65,997
	501,635	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 7A1, 4.365%, 11/25/2033(a)(d)		506,144
	251,219	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR28, Class 4A1, 4.650%, 12/25/2033(a)(c)(d)(e)		252,458
	2,800,411	Credit Suisse Mortgage Trust, Series 2018-RPL2, Class A1, 4.030%, 8/25/2062, 144A(d)		2,795,643
	1,178,471	Credit Suisse Mortgage Trust, Series 2018-RPL7, Class A1, 4.000%, 8/26/2058, 144A		1,179,413
	191,843	CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-27, Class 4A4, 5.750%, 11/25/2033(a)		196,638
	713,692	Deutsche Mortgage Securities, Inc., Series 2004-4, Class 7AR1, 1-month LIBOR + 0.350%, 2.836%, 6/25/2034(b)		693,662
	580,639	DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.330%, 2.812%, 9/19/2045(b)		470,430
	1,537,818	Dukinfield II PLC, Series 2, Class A, GBP 3-month LIBOR + 1.250%, 2.087%, 12/20/2052, (GBP)(a)(b)		2,019,383
	545,143	Eurosail PLC, Series 2007-2X, Class A3C, GBP 3-month LIBOR + 0.150%, 0.993%, 3/13/2045, (GBP)(a)(b)		692,215
	1,505,000	Federal National Mortgage Association, Series 2017-C05, Class 1M2, 1-month LIBOR + 2.200%, 4.686%, 1/25/2030(b)		1,523,385
	320,000	Federal National Mortgage Association, Series 2017-C07, Class 1M2, 1-month LIBOR + 2.400%, 4.886%, 5/25/2030(b)		326,762
	1,186,598	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN1, Class M2, 1-month LIBOR + 2.200%, 4.686%, 2/25/2024(a)(b)		1,206,780
	598,008	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN2, Class M2, 1-month LIBOR + 1.650%, 4.136%, 4/25/2024(a)(b)		601,854


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	1,914,729	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 1-month LIBOR + 1.850%, 4.336%, 10/25/2027(a)(b)	$	1,934,825
	130,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2018-DNA1, Class M2, 1-month LIBOR + 1.800%, 4.286%, 7/25/2030(b)		126,908
	505,567	GCAT LLC, Series 2017-2, Class A1, 3.500%, 4/25/2047, 144A(a)(d)		503,349
	918,837	GCAT LLC, Series 2018-1, Class A1, 3.844%, 6/25/2048, 144A(d)		917,334
	1,993,447	GCAT LLC, Series 2018-2, Class A1, 4.090%, 6/26/2023, 144A(d)		2,002,713
	235,823	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 4.191%, 7/19/2035(d)		226,790
	1,784,760	Gosforth Funding PLC, Series 2018-1A, Class A1, 3-month LIBOR + 0.450%, 3.101%, 8/25/2060, 144A(a)(b)		1,780,903
	764,097	Grand Avenue Mortgage Loan Trust, Series 2017-RPL1, Class A1, 3.250%, 8/25/2064, 144A		747,597
	232,156	GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 4.202%, 7/25/2035(c)(d)(e)		226,618
	1,115,000	Home Partners of America Trust, Series 2016-2, Class E, 1-month LIBOR + 3.780%, 6.262%, 10/17/2033, 144A(b)		1,115,352
	1,123,000	Home Partners of America Trust, Series 2016-2, Class F, 1-month LIBOR + 4.700%, 7.182%, 10/17/2033, 144A(b)		1,123,703
	2,082,395	IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 1-month LIBOR + 0.780%, 3.266%, 12/25/2034(b)		1,785,913
	2,463,400	IndyMac Index Mortgage Loan Trust, Series 2004-AR6, Class 4A, 4.672%, 10/25/2034(d)		2,546,078
	695,341	IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A5, 1-month LIBOR + 1.220%, 3.706%, 9/25/2034(b)		639,789
	1,214,099	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 1-month LIBOR + 0.640%, 3.126%, 7/25/2045(b)		1,170,967
	2,938,230	IndyMac Index Mortgage Loan Trust, Series 2006-AR2, Class 2A1, 1-month LIBOR + 0.210%, 2.696%, 2/25/2046(b)		2,496,893
	2,615,000	Invitation Homes Trust, Series 2018-SFR1, Class E, 1-month LIBOR + 2.000%, 4.482%, 3/17/2037, 144A(b)		2,605,261
	4,475,000	Invitation Homes Trust, Series 2018-SFR2, Class E, 1-month LIBOR + 2.000%, 4.484%, 6/17/2037, 144A(b)		4,469,403
	735,099	JPMorgan Mortgage Trust, Series 2006-A1, Class 1A2, 4.688%, 2/25/2036(d)		678,635
	414,456	JPMorgan Mortgage Trust, Series 2003-A2, Class 3A1, 4.171%, 11/25/2033(a)(d)		419,664
	1,400,838	JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1, 6.000%, 9/25/2034		1,465,145
	1,003,300	JPMorgan Mortgage Trust, Series 2005-A2, Class 3A2, 4.373%, 4/25/2035(a)(d)		1,011,714
	199,425	JPMorgan Mortgage Trust, Series 2005-A3, Class 4A1, 4.815%, 6/25/2035(a)(c)(d)(e)		200,114
	1,730,000	Lanark Master Issuer PLC, Series 2019-1A, Class 1A1, 3-month LIBOR + 0.770%, 3.467%, 12/22/2069, 144A(a)(b)		1,734,424
	417,422	Lehman XS Trust, Series 2005-7N, Class 3A1, 1-month LIBOR + 0.280%, 2.766%, 12/25/2035(b)		364,005


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	46	Lehman XS Trust, Series 2006-12N, Class A2A1, 1-month LIBOR + 0.150%, 2.636%, 8/25/2046(b)(c)(e)	$	44
	544,486	Lehman XS Trust, Series 2006-2N, Class 1A1, 1-month LIBOR + 0.260%, 2.746%, 2/25/2046(b)		510,623
	472,306	Ludgate Funding PLC, Series 2007-1, Class A2B, 3-month EURIBOR + 0.160%, Zero Coupon, 1/01/2061, (EUR)(a)(b)		497,039
	1,717,116	Ludgate Funding PLC, Series 2008-W1X, Class A1, GBP 3-month LIBOR + 0.600%, 1.510%, 1/01/2061, (GBP)(a)(b)		2,162,990
	342,003	MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 5.042%, 5/25/2034(a)(c)(d)(e)		335,592
	1,160,358	MASTR Adjustable Rate Mortgages Trust, Series 2004-7, Class 3A1, 4.200%, 7/25/2034(a)(d)		1,139,481
	241,477	MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1, 4.604%, 4/25/2036(d)		241,380
	359,925	MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033(a)		373,869
	364,230	MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034(a)		375,652
	458,069	MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034(a)		476,969
	1,339,178	MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034		1,441,329
	119,817	MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A, 4.363%, 5/25/2036(a)(d)		121,325
	528,010	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035(c)(e)		484,490
	997,936	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035		1,024,706
	687,196	Newgate Funding PLC, Series 2007-3X, Class A2B, 3-month EURIBOR + 0.600%, 0.291%, 12/15/2050, (EUR)(a)(b)		743,254
	709,755	Oak Hill Advisors Residential Loan Trust, Series 2017-NPL1, Class A1, 3.000%, 6/25/2057, 144A(a)(d)		708,768
	1,595,490	Oak Hill Advisors Residential Loan Trust, Series 2017-NPL2, Class A1, 3.000%, 7/25/2057, 144A(a)(d)		1,574,635
	2,299,075	Preston Ridge Partners Mortgage LLC, Series 2017-2A, Class A1, 3.470%, 9/25/2022, 144A(a)(d)		2,295,770
	1,165,000	Preston Ridge Partners Mortgage LLC, Series 2017-2A, Class A2, 5.000%, 9/25/2022, 144A(d)		1,161,891
	1,011,445	Preston Ridge Partners Mortgage LLC, Series 2017-3A, Class A1, 3.470%, 11/25/2022, 144A(a)(d)		1,008,457
	405,000	Preston Ridge Partners Mortgage LLC, Series 2017-3A, Class A2, 5.000%, 11/25/2022, 144A(d)		399,720
	895,000	Preston Ridge Partners Mortgage LLC, Series 2018-1A, Class A2, 5.000%, 4/25/2023, 144A(d)		886,953
	2,974,535	Prime Mortgage Trust, 6.000%, 8/25/2022		2,997,602
	681,000	Progress Residential Trust, Series 2017-SFR2, Class E, 4.142%, 12/17/2034, 144A		679,442
	564,000	Progress Residential Trust, Series 2018-SFR2, Class E, 4.656%, 8/17/2035, 144A		573,152
	2,398,000	Progress Residential Trust, Series 2019-SFR1, Class E, 4.466%, 8/17/2035, 144A		2,429,232


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	593,335	RCO Mortgage LLC, Series 2018-1, Class A1, 4.000%, 5/25/2023, 144A(d)	$	595,809
	833,918	Residential Accredit Loans, Inc. Trust, Series 2006-QO4, Class 2A1, 1-month LIBOR + 0.190%, 2.676%, 4/25/2046(b)		780,892
	1,304,532	Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035		1,109,942
	390,885	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036(c)(e)		369,231
	1,457,967	Residential Funding Mortgage Securities, Series 2006-SA2, Class 3A1, 5.068%, 8/25/2036(d)		1,354,946
	386,346	RMAC Securities No. 1 PLC, Series 2006-NS1X, Class A2C, 3-month EURIBOR + 0.150%, Zero Coupon, 6/12/2044, (EUR)(a)(b)		412,304
	293,468	RMAC Securities No. 1 PLC, Series 2007-NS1X, Class A2A, GBP 3-month LIBOR + 0.150%, 0.995%, 6/12/2044, (GBP)(a)(b)		357,877
	1,670,157	RMAT, Series 2018-NPL1, Class A1, 4.090%, 5/25/2048, 144A(d)		1,673,506
	2,649,868	Stanwich Mortgage Loan Trust, Series 2018-NPB1, Class A1, 4.016%, 5/16/2023, 144A(d)		2,654,465
	3,285,160	Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 1-month LIBOR + 0.310%, 2.796%, 7/25/2035(b)		2,587,101
	273,909	Structured Asset Securities Corp. Trust, Series 2005-1, Class 7A7, 5.500%, 2/25/2035(c)(e)		272,909
	1,200,000	Towd Point Mortgage Funding PLC, Series 2016-GR1X, Class B, GBP 3-month LIBOR + 1.400%, 2.325%, 7/20/2046, (GBP)(a)(b)		1,563,235
	1,694,485	Vericrest Opportunity Loan Trust, Series 2018-NPL4, Class A1A, 4.336%, 7/27/2048, 144A(d)		1,700,719
	1,620,042	Vericrest Opportunity Loan Trust, Series 2018-NPL7, Class A1A, 3.967%, 9/25/2048, 144A(d)		1,627,094
	9,506,447	Vericrest Opportunity Loan Trust, Series 2018-NPL8, Class A1A, 4.213%, 10/26/2048, 144A(d)		9,567,154
	2,545,000	Vericrest Opportunity Loan Trust, Series 2019-NPL3, Class A1, 3.967%, 3/25/2049, 144A(d)		2,547,776
	1,816,167	VOLT LXX LLC, Series 2018-NPL6, Class A1A, 4.115%, 9/25/2048, 144A(d)		1,823,294
	3,830,204	VOLT LXXV LLC, Series 2019-NPL1, Class A1A, 4.336%, 1/25/2049, 144A(d)		3,858,871
	1,239,888	Wells Fargo Mortgage Backed Securities Trust, Series 2004-I, Class 2A1, 4.634%, 7/25/2034(a)(d)		1,266,289
	206,659	Wells Fargo Mortgage Backed Securities Trust, Series 2004-O, Class A1, 4.678%, 8/25/2034(a)(c)(d)(e)		210,458
	116,387	Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035(c)(e)		116,250
	618,572	Wells Fargo Mortgage Backed Securities Trust, Series 2005-16, Class A18, 6.000%, 12/25/2035(c)(e)		613,229
	280,720	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 4.796%, 5/01/2035(a)(d)		289,163
	362,634	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR12, Class 2A5, 4.881%, 6/25/2035(a)(d)		372,382
	657,250	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR2, Class 3A1, 5.124%, 3/25/2035(d)		671,232


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	1,840,591	Wells Fargo Mortgage Backed Securities Trust, Series 2006-3, Class A11, 5.500%, 3/25/2036	$	1,850,663

				149,997,709

		ABS Other – 5.2%
	943,320	Accelerated Assets LLC, Series 18-1, Class B, 4.510%, 12/02/2033, 144A		952,874
	2,862,927	AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(a)(d)		2,847,146
	350,000	Ascentium Equipment Receivables Trust, Series 2017-2A, Class C, 2.870%, 8/10/2022, 144A(a)		350,015
	1,072,083	Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, 4.213%, 12/16/2041, 144A(a)(d)		1,085,666
	1,223,385	Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class B, 5.682%, 12/16/2041, 144A(a)(d)		1,265,748
	1,325,279	Castlelake Aircraft Securitization Trust, Series 18-1, Class B, 5.300%, 6/15/2043, 144A		1,341,598
	250,000	CCG Receivables Trust, Series 2018-1, Class C, 3.420%, 6/16/2025, 144A(a)		250,634
	580,000	Chesapeake Funding II LLC, Series 2017-2A, Class D, 3.710%, 5/15/2029, 144A		584,806
	790,000	Chesapeake Funding II LLC, Series 2018-1A, Class C, 3.570%, 4/15/2030, 144A		796,469
	2,025,000	Chesapeake Funding II LLC, Series 2018-1A, Class D, 3.920%, 4/15/2030, 144A		2,041,732
	65,130	Consumer Loan Underlying Bond Credit Trust, Series 2017-P1, Class A, 2.420%, 9/15/2023, 144A(a)		65,099
	557,079	Diamond Resorts Owner Trust, Series 2017-1A, Class C, 6.070%, 10/22/2029, 144A		565,796
	2,318,588	Diamond Resorts Owner Trust, Series 2018-1, Class C, 4.530%, 1/21/2031, 144A		2,350,009
	3,100,000	Fairstone Financial Issuance Trust, Series 2019-1A, Class A, 3.948%, 3/21/2033, 144A, (CAD)(a)		2,341,233
	2,218,956	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(c)(e)(f)(g)		1,770,727
	901,428	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(c)(e)(f)(g)		450,804
	3,410,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(c)(e)(f)(g)(h)		—
	1,043,303	Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(g)(i)		1,007,618
	4,928,365	Horizon Aircraft Finance I Ltd., Series 2018-1, Class A, 4.458%, 12/15/2038, 144A		5,022,190
	2,387,910	Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A		2,373,734
	1,208,350	MAPS Ltd., Series 2018-1A, Class B, 5.193%, 5/15/2043, 144A		1,217,719
	1,625,000	Marlette Funding Trust, Series 2019-1A, Class A, 3.440%, 4/16/2029, 144A		1,630,214
	1,100,000	Navistar Financial Dealer Note Master Owner Trust II, Series 2018-1, Class A, 1-month LIBOR + 0.630%, 3.116%, 9/25/2023, 144A(a)(b)		1,101,638


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		ABS Other – continued
$	80,169	OneMain Financial Issuance Trust, Series 2015-1A, Class A, 3.190%, 3/18/2026, 144A(a)	$	80,183
	2,670,000	OneMain Financial Issuance Trust, Series 2015-2A, Class D, 5.640%, 7/18/2025, 144A(a)		2,682,630
	3,120,000	OneMain Financial Issuance Trust, Series 2015-3A, Class B, 4.160%, 11/20/2028, 144A(a)		3,160,323
	3,100,000	OneMain Financial Issuance Trust, Series 2016-1A, Class C, 6.000%, 2/20/2029, 144A(a)		3,177,928
	2,685,000	OneMain Financial Issuance Trust, Series 2016-2A, Class B, 5.940%, 3/20/2028, 144A(a)		2,707,079
	3,230,000	OneMain Financial Issuance Trust, Series 2019-1A, Class D, 4.220%, 2/14/2031, 144A		3,265,607
	810,000	Oxford Finance Funding Trust, Series 2019-1A, Class A2, 4.459%, 2/15/2027, 144A		819,253
	4,677,944	S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A(a)		4,692,691
	3,718,000	SCF Equipment Trust LLC, Series 2018-1A, Class C, 4.210%, 4/20/2027, 144A		3,837,108
	1,531,983	Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A(a)		1,545,975
	1,410,000	SoFi Consumer Loan Program Trust, Series 2018-2, Class A2, 3.350%, 4/26/2027, 144A		1,414,175
	518,949	SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.050%, 4/25/2029, 144A(a)		518,281
	2,869,267	Sprite Ltd., Series 2017-1, Class B, 5.750%, 12/15/2037, 144A(a)		2,935,026
	2,607,825	Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A		2,667,534
	1,731,333	TAL Advantage V LLC, Series 2013-2A, Class A, 3.550%, 11/20/2038, 144A(a)		1,729,287
	257,078	Thunderbolt Aircraft Lease Ltd., Series 2017-A, Class B, 5.750%, 5/17/2032, 144A(d)		266,439
	1,190,893	Thunderbolt II Aircraft Lease Ltd., Series 2018-A, Class A, 4.147%, 9/15/2038, 144A(d)		1,209,104
	5,770,000	Verizon Owner Trust, Series 2017-3A, Class A1B, 1-month LIBOR + 0.270%, 2.758%, 4/20/2022, 144A(a)(b)		5,772,856
	2,295,000	Verizon Owner Trust, Series 2018-1A, Class A1B, 1-month LIBOR + 0.260%, 2.748%, 9/20/2022, 144A(a)(b)		2,295,690
	5,940,000	Verizon Owner Trust, Series 2018-A, Class A1B, 1-month LIBOR + 0.240%, 2.728%, 4/20/2023(a)(b)		5,938,813
	1,134,904	Wave LLC, Series 2017-1A, Class B, 5.682%, 11/15/2042, 144A(a)		1,164,876

				83,294,327

		ABS Student Loan – 0.6%
	1,433,167	Navient Student Loan Trust, Series 18-4A, Class A1, 1-month LIBOR + 0.250%, 2.736%, 6/27/2067, 144A(a)(b)		1,430,626
	1,013,000	SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day ARS, 5.050%, 6/15/2032(a)(b)(c)		1,012,392
	2,767,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day ARS, 5.080%, 3/15/2033(a)(b)(c)		2,765,340


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		ABS Student Loan – continued
$	299,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day ARS, 5.080%, 3/15/2033(b)(c)	$	298,821
	1,251,664	SMB Private Education Loan Trust, Series 18-C, Class A1, 1-month LIBOR + 0.300%, 2.784%, 9/15/2025, 144A(a)(b)		1,251,567
	1,350,000	SMB Private Education Loan Trust, Series 2017-B, Class A2B, 1-month LIBOR + 0.750%, 3.234%, 10/15/2035, 144A(a)(b)		1,350,261
	92,659	SoFi Professional Loan Program LLC, Series 2014-B, Class A1, 1-month LIBOR + 1.250%, 3.736%, 8/25/2032, 144A(a)(b)		93,134
	430,175	SoFi Professional Loan Program LLC, Series 2015-A, Class A1, 1-month LIBOR + 1.200%, 3.686%, 3/25/2033, 144A(a)(b)		432,220
	1,239,665	SoFi Professional Loan Program LLC, Series 2016-A, Class B, 3.570%, 1/26/2038, 144A(a)		1,220,480

				9,854,841

		ABS Whole Business – 1.0%
	4,334,217	Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A		4,523,741
	3,453,488	Coinstar Funding LLC, Series 2017-1A, Class A2, 5.216%, 4/25/2047, 144A(a)		3,518,182
	1,498,675	Driven Brands Funding LLC, Series 2018-1A, Class A2, 4.739%, 4/20/2048, 144A		1,527,525
	2,168,613	Five Guys Funding LLC, Series 2017-1A, Class A2, 4.600%, 7/25/2047, 144A		2,244,110
	3,009,875	Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2I, 4.262%, 9/05/2048, 144A		3,058,454
	900,000	Wingstop Funding LLC, Series 2018-1, Class A2, 4.970%, 12/05/2048, 144A		932,022

				15,804,034

		Aerospace & Defense – 1.1%
	3,425,000	General Dynamics Corp., 3-month LIBOR + 0.290%, 2.987%, 5/11/2020(a)(b)		3,430,739
	3,425,000	General Dynamics Corp., 3-month LIBOR + 0.380%, 3.077%, 5/11/2021(a)(b)		3,439,537
	2,550,000	Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A		2,364,386
	8,700,000	Rolls-Royce PLC, 2.375%, 10/14/2020, 144A		8,620,569

				17,855,231

		Agency Commercial Mortgage-Backed Securities – 0.1%
	49,777,986	Government National Mortgage Association, Series 2012-135, Class IO, 0.579%, 1/16/2053(a)(d)(j)		1,785,900

		Airlines – 0.3%
	4,193,814	Latam Airlines Pass Through Trust, Series 2015-1, Class B, 4.500%, 8/15/2025		4,095,260

		Automotive – 5.0%
	5,785,000	BMW U.S. Capital LLC, 3-month LIBOR + 0.410%, 3.021%, 9/13/2019, 144A(a)(b)		5,790,830


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Automotive – continued
$	6,045,000	BMW U.S. Capital LLC, 3-month LIBOR + 0.380%, 3.175%, 4/06/2020, 144A(a)(b)	$	6,051,050
	5,985,000	BMW U.S. Capital LLC, 3-month LIBOR + 0.410%, 3.207%, 4/12/2021, 144A(a)(b)		5,981,176
	3,135,000	Daimler Finance North America LLC, 3.100%, 5/04/2020, 144A		3,140,640
	4,780,000	Daimler Finance North America LLC, 3.400%, 2/22/2022, 144A		4,822,252
	3,585,000	General Motors Financial Co., Inc., 3-month LIBOR + 0.850%, 3.647%, 4/09/2021(b)		3,557,502
	4,765,000	General Motors Financial Co., Inc., 3.700%, 11/24/2020		4,803,943
	7,750,000	Hyundai Capital America, 3.950%, 2/01/2022, 144A		7,860,931
	6,165,000	Nissan Motor Acceptance Corp., 3-month LIBOR + 0.520%, 3.131%, 3/15/2021, 144A(a)(b)		6,115,815
	5,955,000	Nissan Motor Acceptance Corp., 3-month LIBOR + 0.580%, 3.377%, 1/13/2020, 144A(a)(b)		5,952,649
	6,865,000	Nissan Motor Acceptance Corp., 3.650%, 9/21/2021, 144A		6,902,026
	7,925,000	Toyota Industries Corp., 3.110%, 3/12/2022, 144A(a)		7,996,511
	12,395,000	Toyota Motor Credit Corp., MTN, 3-month LIBOR + 0.280%, 3.077%, 4/13/2021(a)(b)		12,399,782

				81,375,107

		Banking – 8.8%
	3,375,000	American Express Co., 3.000%, 2/22/2021		3,391,875
	4,910,000	American Express Co., 3-month LIBOR + 0.600%, 3.333%, 11/05/2021(b)		4,927,068
	44,895,000	Banco Hipotecario S.A., Argentina Deposit Rates Badlar Pvt Banks + 2.500%, 49.250%, 1/12/2020, 144A, (ARS)(b)		990,826
	44,570,000	Banco Hipotecario S.A., Argentina Deposit Rates Badlar Pvt Banks + 4.000%, 51.688%, 11/07/2022, 144A, (ARS)(b)		937,821
	21,970,000	Banco Macro S.A., 17.500%, 5/08/2022, 144A, (ARS)		331,704
	46,000,000	Banco Supervielle S.A., Argentina Deposit Rates Badlar Pvt Banks + 4.500%, 57.292%, 8/09/2020, 144A, (ARS)(b)		1,011,556
	2,425,000	Bank of America Corp., MTN, 3-month LIBOR + 0.650%, 3.252%, 6/25/2022(b)		2,425,558
	13,705,000	Bank of America NA, 3-month LIBOR + 0.250%, 2.879%, 8/28/2020(a)(b)		13,708,339
	7,325,000	Bank of New York Mellon Corp. (The), 3-month EURIBOR + 0.300%, 2.915%, 12/04/2020(a)(b)		7,335,745
	2,415,000	Barclays Bank PLC, 2.650%, 1/11/2021		2,395,999
	5,895,000	Citibank NA, 3-month LIBOR + 0.350%, 3.048%, 2/12/2021(a)(b)		5,897,001


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
$	5,245,000	Citibank NA, (fixed rate to 2/19/2021, variable rate thereafter), 3.165%, 2/19/2022	$	5,265,991
	4,885,000	Citigroup, Inc., 2.350%, 8/02/2021		4,827,843
	7,975,000	Citizens Bank NA, 3.250%, 2/14/2022(a)		8,048,596
	6,860,000	HSBC Holdings PLC, 3-month LIBOR + 0.650%, 3.247%, 9/11/2021(a)(b)		6,854,076
	2,550,000	JPMorgan Chase & Co., 3-month LIBOR + 0.680%, 3.306%, 6/01/2021(a)(b)		2,556,553
	3,755,000	JPMorgan Chase Bank NA, 3-month LIBOR + 0.230%, 2.856%, 9/01/2020(a)(b)		3,757,038
	5,800,000	JPMorgan Chase Bank NA, 3-month LIBOR + 0.590%, 3.192%, 9/23/2019(a)(b)		5,812,355
	3,960,000	JPMorgan Chase Bank NA, (fixed rate to 4/26/2020, variable rate thereafter), 3.086%, 4/26/2021(a)		3,967,600
	6,280,000	KeyBank NA, 3.300%, 2/01/2022		6,383,525
	2,430,000	Mitsubishi UFJ Financial Group, Inc., 3.218%, 3/07/2022		2,449,383
	6,720,000	Mitsubishi UFJ Financial Group, Inc., 3-month LIBOR + 0.650%, 3.415%, 7/26/2021(a)(b)		6,731,813
	6,720,000	Mitsubishi UFJ Financial Group, Inc., 3.535%, 7/26/2021(a)		6,818,576
	8,035,000	PNC Bank NA, 3-month LIBOR + 0.350%, 2.947%, 3/12/2021(b)		8,037,651
	3,460,000	Standard Chartered PLC, 3-month LIBOR + 1.150%, 3.911%, 1/20/2023, 144A(b)		3,451,973
	3,460,000	Standard Chartered PLC, (fixed rate to 1/20/2022, variable rate thereafter), 4.247%, 1/20/2023, 144A		3,512,246
	8,070,000	Sumitomo Mitsui Financial Group, Inc., 2.846%, 1/11/2022(a)		8,077,016
	4,475,000	Synchrony Financial, 5.150%, 3/19/2029		4,550,609
	4,760,000	Wells Fargo & Co., 3-month LIBOR + 1.340%, 3.955%, 3/04/2021(b)		4,841,519
	3,510,000	Wells Fargo Bank NA, 3.625%, 10/22/2021(a)		3,575,777

				142,873,632

		Brokerage – 0.2%
	3,140,000	Ameriprise Financial, Inc., 3.000%, 3/22/2022		3,158,040

		Collateralized Mortgage Obligations – 0.1%
	1,077,097	GMACM Mortgage Loan Trust, Series 2005-AR1, Class 3A, 4.706%, 3/18/2035(d)		1,102,487

		Commercial Mortgage-Backed Securities – 0.2%
	3,917,029	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16, Class 6A3, 4.532%, 10/25/2035(d)		3,973,408


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Construction Machinery – 1.6%
$	3,050,000	Caterpillar Financial Services Corp., GMTN, 3-month LIBOR + 0.290%, 2.905%, 9/04/2020(a)(b)	$	3,052,368
	2,400,000	Caterpillar Financial Services Corp., MTN, 3.150%, 9/07/2021		2,427,650
	7,045,000	John Deere Capital Corp., 3-month LIBOR + 0.170%, 2.967%, 10/09/2020(a)(b)		7,036,557
	6,350,000	John Deere Capital Corp., MTN, 3-month LIBOR + 0.240%, 2.837%, 3/12/2021(a)(b)		6,338,205
	6,875,000	John Deere Capital Corp., MTN, 3.125%, 9/10/2021(a)		6,953,375

				25,808,155

		Consumer Products – 0.4%
	7,040,000	Unilever Capital Corp., 3.000%, 3/07/2022(a)		7,111,386

		Diversified Manufacturing – 0.5%
	7,945,000	3M Co., MTN, 2.750%, 3/01/2022(a)		8,014,301

		Electric – 0.4%
	6,455,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(a)		7,075,971

		Finance Companies – 0.4%
	6,500,000	USAA Capital Corp., 3.000%, 7/01/2020, 144A(a)		6,533,357

		Financial Other – 0.4%
	6,550,000	Mitsubishi UFJ Lease & Finance Co. Ltd., 3.406%, 2/28/2022, 144A		6,607,968
	370,000	Yanlord Land (HK) Co. Ltd., 5.875%, 1/23/2022		375,265

				6,983,233

		Food & Beverage – 1.2%
	7,800,000	Anheuser-Busch InBev Worldwide, Inc., 3.750%, 1/15/2022(a)		8,053,344
	3,065,000	Campbell Soup Co., 3-month LIBOR + 0.500%, 3.115%, 3/16/2020(a)(b)		3,057,816
	1,935,000	Diageo Capital PLC, 3.000%, 5/18/2020		1,943,154
	3,925,000	General Mills, Inc., 3.200%, 4/16/2021		3,959,036
	2,900,000	PepsiCo, Inc., 3-month LIBOR + 0.270%, 3.064%, 10/04/2019(a)(b)		2,903,315

				19,916,665

		Government Owned—No Guarantee – 1.0%
	18,670,000,000	Financiera de Desarrollo Territorial S.A., 7.875%, 8/12/2024, 144A, (COP)(a)		6,049,538
	1,215,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		1,086,818


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Government Owned—No Guarantee – continued
$	4,935,000	Petrobras Global Finance BV, 5.750%, 2/01/2029	$	4,888,117
	950,000	Petrobras Global Finance BV, 7.250%, 3/17/2044		990,860
	3,525,000	YPF S.A., 6.950%, 7/21/2027, 144A		3,130,200
	1,930,000	YPF S.A., Argentina Deposit Rates Badlar Pvt Banks + 4.000%, 51.729%, 7/07/2020, 144A(b)		648,650

				16,794,183

		Health Insurance – 0.6%
	6,900,000	Cigna Corp., 3-month LIBOR + 0.650%, 3.265%, 9/17/2021, 144A(a)(b)		6,894,987
	3,125,000	Humana, Inc., 2.500%, 12/15/2020		3,101,206

				9,996,193

		Healthcare – 1.0%
	4,010,000	CVS Health Corp., 2.800%, 7/20/2020		4,005,084
	6,065,000	CVS Health Corp., 3-month LIBOR + 0.630%, 3.231%, 3/09/2020(a)(b)		6,078,798
	6,065,000	CVS Health Corp., 3-month LIBOR + 0.720%, 3.321%, 3/09/2021(a)(b)		6,078,816

				16,162,698

		Home Construction – 0.5%
	875,000	China Evergrande Group, 8.750%, 6/28/2025		829,340
	370,000	CIFI Holdings Group Co. Ltd., 5.500%, 1/23/2022		363,793
	2,235,000	Country Garden Holdings Co. Ltd., 8.000%, 1/27/2024		2,365,361
	270,000	Greenland Global Investment Ltd., 5.875%, 7/03/2024		246,208
	740,000	New Metro Global Ltd., 6.500%, 4/23/2021		746,521
	740,000	Shimao Property Holdings Ltd., 4.750%, 7/03/2022		735,755
	1,615,000	Shimao Property Holdings Ltd., 5.200%, 1/30/2025		1,576,746
	370,000	Sunac China Holdings Ltd., 7.350%, 7/19/2021		374,135
	760,000	Sunac China Holdings Ltd., 8.625%, 7/27/2020		780,041

				8,017,900

		Independent Energy – 2.0%
	3,845,000	Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A(g)(i)		2,302,117
	4,155,000	Bruin E&P Partners LLC, 8.875%, 8/01/2023, 144A		3,978,413


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Independent Energy – continued
$	9,230,000	California Resources Corp., 8.000%, 12/15/2022, 144A	$	7,248,319
	2,075,000	Gulfport Energy Corp., 6.000%, 10/15/2024		1,883,353
	3,080,000	Gulfport Energy Corp., 6.375%, 5/15/2025		2,787,400
	2,315,000	Jagged Peak Energy LLC, 5.875%, 5/01/2026		2,295,438
	5,335,000	Kosmos Energy Ltd., 7.125%, 4/04/2026, 144A		5,286,985
	7,460,000	OGX Austria GmbH, 8.375%, 4/01/2022(c)(e)(k)		—
	4,420,000	OGX Austria GmbH, 8.500%, 6/01/2018(c)(e)(k)		—
	3,620,000	Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 8.750%, 4/15/2023, 144A		2,877,900
	3,465,000	Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 9.750%, 4/15/2023, 144A		2,858,625

				31,518,550

		Industrial Other – 0.0%
	740,000	CFLD Cayman Investment Ltd., 6.500%, 12/21/2020		738,077

		Integrated Energy – 0.6%
	3,335,000	Gran Tierra Energy International Holdings Ltd., 6.250%, 2/15/2025, 144A		3,184,925
	5,795,000	Shell International Finance BV, 3-month LIBOR + 0.350%, 2.947%, 9/12/2019(a)(b)		5,805,077

				8,990,002

		Life Insurance – 2.3%
	4,545,000	AEGON Funding Co. LLC, 5.750%, 12/15/2020		4,764,828
	2,770,000	AIA Group Ltd., 3-month LIBOR + 0.520%, 3.153%, 9/20/2021, 144A(b)		2,764,859
	7,735,000	Jackson National Life Global Funding, 3.300%, 2/01/2022, 144A(a)		7,839,506
	2,420,000	MassMutual Global Funding II, 2.500%, 4/13/2022, 144A(a)		2,406,007
	4,270,000	Metropolitan Life Global Funding I, 3.375%, 1/11/2022, 144A		4,332,954
	6,940,000	New York Life Global Funding, 3-month LIBOR + 0.160%, 2.752%, 10/01/2020, 144A(a)(b)		6,940,933
	945,000	New York Life Global Funding, 2.950%, 1/28/2021, 144A(a)		950,326
	6,780,000	New York Life Global Funding, 3-month LIBOR + 0.320%, 3.054%, 8/06/2021, 144A(a)(b)		6,795,450

				36,794,863


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Local Authorities – 0.5%
$	2,280,000	Provincia de Buenos Aires, 6.500%, 2/15/2023, 144A	$	1,857,425
	67,000,000	Provincia de Buenos Aires, 3-month EURIBOR + 3.75%, 45.741%, 4/12/2025, 144A, (ARS)(b)		1,367,053
	216,360,000	Provincia de Buenos Aires, Argentina Deposit Rates Badlar Pvt Banks + 3.830%, 48.244%, 5/31/2022, (ARS)(b)		4,582,392

				7,806,870

		Lodging – 0.3%
	5,145,000	Marriott International, Inc., 3-month LIBOR + 0.650%, 3.245%, 3/08/2021(b)		5,157,888

		Media Entertainment – 0.3%
	4,710,000	Fox Corp., 3.666%, 1/25/2022, 144A		4,802,711
	14,610,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)(a)		509,243

				5,311,954

		Metals & Mining – 0.4%
	3,070,000	ArcelorMittal, 4.550%, 3/11/2026		3,137,313
	3,465,000	Glencore Funding LLC Co., 4.125%, 3/12/2024, 144A		3,498,516

				6,635,829

		Midstream – 0.5%
	4,960,000	Midwest Connector Capital Co. LLC, 3.625%, 4/01/2022, 144A		5,030,000
	800,000	Tennessee Gas Pipeline Co. LLC, 7.000%, 3/15/2027		952,118
	2,160,000	Transportadora de Gas del Sur S.A., 6.750%, 5/02/2025, 144A		2,031,545

				8,013,663

		Non-Agency Commercial Mortgage-Backed Securities – 1.9%
	4,565,000	CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 6.071%, 4/15/2044, 144A(a)(d)		4,751,914
	3,635,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A		3,333,173
	570,000	Credit Suisse Mortgage Trust, Series 2019-SKLZ, Class D, 1-month LIBOR + 3.600%, 6.084%, 1/15/2034, 144A(b)		575,355
	2,552,340	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.699%, 11/10/2046, 144A(a)(d)		2,643,896
	183,787	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.322%, 1/15/2049(d)		183,903
	1,570,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.486%, 6/15/2044, 144A(a)(d)		1,583,076
	2,515,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.486%, 6/15/2044, 144A(d)		2,448,977


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Non-Agency Commercial Mortgage-Backed Securities – continued
$	5,464,608	Motel 6 Trust, Series 2017-M6MZ, Class M, 1-month LIBOR + 6.927%, 9.410%, 8/15/2019, 144A(b)	$	5,516,168
	3,575,000	Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.150%, 6.634%, 11/15/2027, 144A(b)		2,724,951
	1,370,000	UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 4.893%, 5/10/2063, 144A(d)(g)(i)		1,063,630
	2,587,500	WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.653%, 2/15/2044, 144A(a)(d)		2,627,220
	1,809,189	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.684%, 3/15/2044, 144A(d)		1,676,665
	450,000	WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C, 4.822%, 6/15/2045(d)		453,842
	950,000	WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.822%, 6/15/2045, 144A(d)		815,712

				30,398,482

		Pharmaceuticals – 0.9%
	4,020,000	Celgene Corp., 2.250%, 8/15/2021		3,956,531
	4,010,000	Celgene Corp., 2.875%, 8/15/2020		4,012,732
	6,860,000	Pfizer, Inc., 3.000%, 9/15/2021(a)		6,970,171

				14,939,434

		Property & Casualty Insurance – 0.7%
	6,000,000	Berkshire Hathaway Finance Corp., 3-month LIBOR + 0.320%, 3.103%, 1/10/2020(a)(b)		6,014,557
	5,520,000	Marsh & McLennan Cos., Inc., 3.500%, 12/29/2020		5,593,404

				11,607,961

		Railroads – 0.3%
	4,675,000	Union Pacific Corp., 2.950%, 3/01/2022		4,712,101

		Real Estate Operations/Development – 0.1%
	600,000	Easy Tactic Ltd., 7.000%, 4/25/2021		603,918
	370,000	Logan Property Holdings Co. Ltd., 5.250%, 2/23/2023		352,331

				956,249

		Retailers – 1.0%
	2,915,000	Alimentation Couche-Tard, Inc., 3-month LIBOR + 0.500%, 3.108%, 12/13/2019, 144A(a)(b)		2,914,455
	5,955,000	Home Depot, Inc. (The), 3-month LIBOR + 0.310%, 2.936%, 3/01/2022(b)		5,948,730
	6,635,000	Walmart, Inc., 3-month LIBOR + 0.230%, 2.832%, 6/23/2021(a)(b)		6,658,786

				15,521,971


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Sovereigns – 0.1%
	29,460,000	Argentina Politica Monetaria, Argentina Central Bank 7-day Repo Reference Rate, 66.450%, 6/21/2020, (ARS)(d)	$	759,955

		Student Loans – 0.2%
	3,505,538	Massachusetts Educational Financing Authority, Series 2018-A, Class A, 3.850%, 5/25/2033(a)		3,639,870

		Technology – 3.9%
	6,045,000	Apple, Inc., 3-month LIBOR + 0.070%, 2.767%, 5/11/2020(a)(b)		6,047,015
	6,325,000	Apple, Inc., 3-month LIBOR + 0.250%, 2.947%, 2/07/2020(a)(b)		6,336,498
	8,085,000	Broadcom, Inc., 4.750%, 4/15/2029, 144A		8,046,596
	11,800,000	Dell International LLC/EMC Corp., 4.900%, 10/01/2026, 144A		11,977,124
	5,825,000	IBM Credit LLC, 3-month LIBOR + 0.160%, 2.893%, 2/05/2021(a)(b)		5,817,797
	6,000,000	International Business Machines Corp., 3-month LIBOR + 0.230%, 2.995%, 1/27/2020(a)(b)		6,010,234
	6,600,000	SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A		6,666,000
	8,135,000	Uber Technologies, Inc., 7.500%, 11/01/2023		8,480,738
	3,420,000	Uber Technologies, Inc., 8.000%, 11/01/2026		3,638,025

				63,020,027

		Tobacco – 0.5%
	7,945,000	Altria Group, Inc., 3.490%, 2/14/2022(a)		8,069,690

		Transportation Services – 0.7%
	5,050,000	FedEx Corp., 3.400%, 1/14/2022		5,117,443
	5,805,000	Penske Truck Leasing Co. LP/PTL Finance Corp., 3.650%, 7/29/2021, 144A		5,883,457

				11,000,900

		Treasuries – 1.5%
	380,700,000	Republic of South Africa Government Bond, 8.500%, 1/31/2037, (ZAR)(a)		23,662,410

		Wireless – 0.2%
	920,000	Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A		879,750
	2,900,000	Millicom International Cellular S.A., 6.250%, 3/25/2029, 144A		2,950,199

				3,829,949

		Wirelines – 0.9%
	4,070,000	AT&T, Inc., 3.000%, 2/15/2022		4,085,992


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Wirelines – continued
$	1,200,000	AT&T, Inc., 3.000%, 6/30/2022	$	1,205,290
	1,245,000	AT&T, Inc., 3.200%, 3/01/2022		1,255,997
	4,670,000	AT&T, Inc., 3.800%, 3/15/2022		4,789,231
	3,100,000	Frontier Communications Corp., 8.000%, 4/01/2027, 144A		3,200,750

				14,537,260

		Total Non-Convertible Bonds (Identified Cost $1,277,225,304)		1,241,869,778

Convertible Bonds – 1.7%
		Cable Satellite – 0.4%
	4,280,000	DISH Network Corp., 2.375%, 3/15/2024		3,530,448
	2,995,000	DISH Network Corp., 3.375%, 8/15/2026		2,544,253

				6,074,701

		Diversified Manufacturing – 0.0%
	600,000	Greenbrier Cos., Inc. (The), 2.875%, 2/01/2024		572,923

		Diversified Operations – 0.0%
	775,000	RWT Holdings, Inc., 5.625%, 11/15/2019		779,868

		Finance Companies – 0.2%
	3,220,000	iStar, Inc., 3.125%, 9/15/2022		2,954,350

		Independent Energy – 0.2%
	1,280,000	Chesapeake Energy Corp., 5.500%, 9/15/2026		1,186,041
	385,000	SM Energy Co., 1.500%, 7/01/2021		359,451
	1,075,000	Whiting Petroleum Corp., 1.250%, 4/01/2020		1,039,162

				2,584,654

		Industrial Other – 0.1%
	885,000	Tutor Perini Corp., 2.875%, 6/15/2021		845,952

		Media Entertainment – 0.0%
	575,000	Liberty Media Corp., 2.250%, 9/30/2046		293,595

		Oil Field Services – 0.1%
	1,760,000	Nabors Industries, Inc., 0.750%, 1/15/2024		1,254,493


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
		Pharmaceuticals – 0.2%
$	2,535,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024	$	2,593,622
	710,000	Flexion Therapeutics, Inc., 3.375%, 5/01/2024		619,475

				3,213,097

		Retailers – 0.2%
	3,025,000	Booking Holdings, Inc., 0.350%, 6/15/2020		4,088,874

		Technology – 0.3%
	2,905,000	Finisar Corp., 0.500%, 12/15/2036		2,849,311
	1,500,000	Verint Systems, Inc., 1.500%, 6/01/2021		1,652,628

				4,501,939

		Total Convertible Bonds (Identified Cost $29,192,851)		27,164,446

		Total Bonds and Notes (Identified Cost $1,306,418,155)		1,269,034,224

Senior Loans – 6.1%
		Aerospace & Defense – 0.1%
	2,287,138	Science Applications International Corp., 2018 Term Loan B, 1-month LIBOR + 1.750%, 4.249%, 10/31/2025(b)		2,251,870

		Automotive – 0.2%
	2,735,332	Truck Hero, Inc., 1st Lien Term Loan, 1-month LIBOR + 3.750%, 6.249%, 4/21/2024(b)		2,633,605

		Building Materials – 0.9%
	2,342,269	American Builders & Contractors Supply Co., Inc., 2018 Term Loan B, 1-month LIBOR + 2.000%, 4.499%, 10/31/2023(b)		2,279,684
	3,286,781	Hamilton Holdco LLC, 2018 Term Loan B, 3-month LIBOR + 2.000%, 4.610%, 7/02/2025(b)		3,253,913
	5,153,836	Jeld-Wen, Inc., 2017 1st Lien Term Loan, 3-month LIBOR + 2.000%, 4.601%, 12/14/2024(b)		5,061,479
	3,907,019	Summit Materials Cos. I, LLC, 2017 Term Loan B, 1-month LIBOR + 2.000%, 4.499%, 11/21/2024(b)		3,822,354

				14,417,430

		Cable Satellite – 0.8%
	2,134,194	Charter Communications Operating, LLC, 2017 Term Loan B, 1-month LIBOR + 2.000%, 4.500%, 4/30/2025(b)		2,118,187
	4,350,409	Unitymedia Finance LLC, Term Loan B, 1-month LIBOR + 2.250%, 4.734%, 9/30/2025(b)		4,300,423
	2,840,000	Unitymedia Hessen GmbH & Co. KG, 2018 Term Loan E, 1-month LIBOR + 2.000%, 4.484%, 6/01/2023(b)		2,803,620
	2,979,034	Ziggo Secured Finance Partnership, USD Term Loan E, 1-month LIBOR + 2.500%, 4.984%, 4/15/2025(b)		2,898,660

				12,120,890


Principal Amount (‡)		Description	Value (†)
Senior Loans – continued
		Chemicals – 0.2%
$	3,372,802	Axalta Coating Systems US Holdings, Inc., USD Term Loan B3, 3-month LIBOR + 1.750%, 4.351%, 6/01/2024(b)	$	3,295,666

		Construction Machinery – 0.3%
	4,533,220	United Rentals, Inc., Term Loan B, 1-month LIBOR + 1.750%, 4.249%, 10/31/2025(b)		4,511,370

		Electric – 0.5%
	3,997,159	AES Corp., 2018 Term Loan B, 3-month LIBOR + 1.750%, 4.379%, 5/31/2022(b)		3,982,170
	1,159,108	Plantronics, Inc., 2018 Term Loan B, 1-month LIBOR + 2.500%, 4.999%, 7/02/2025(b)		1,135,926
	2,945,223	Vistra Energy Corp., 1st Lien Term Loan B3, 1-month LIBOR + 2.000%, 4.486%, 12/31/2025(l)		2,898,099

				8,016,195

		Environmental – 0.0%
	135,897	GFL Environmental, Inc., 2018 USD Term Loan B, 1-month LIBOR + 3.000%, 5.499%, 5/30/2025(b)		131,119

		Food & Beverage – 0.4%
	4,474,701	Aramark Services, Inc., 2018 Term Loan B3, 1-month LIBOR + 1.750%, 4.249%, 3/11/2025(b)		4,435,548
	2,320,160	Post Holdings, Inc., 2017 Series A Incremental Term Loan, 1-month LIBOR + 2.000%, 4.490%, 5/24/2024(b)		2,297,329

				6,732,877

		Healthcare – 0.4%
	1,122,900	IQVIA, Inc., 2017 USD Term Loan B2, 3-month LIBOR + 2.000%, 4.601%, 1/17/2025(b)		1,117,847
	4,708,181	IQVIA, Inc., 2018 USD Term Loan B3, 1-month LIBOR + 1.750%, 4.249%, 6/11/2025(b)		4,653,237

				5,771,084

		Independent Energy – 0.2%
	811,000	California Resources Corp., 2017 1st Lien Term Loan, 1-month LIBOR + 4.750%, 7.246%, 12/31/2022(b)		796,305
	3,740,000	Gavilan Resources LLC, 2nd Lien Term Loan, 1-month LIBOR + 6.000%, 8.486%, 3/01/2024(b)		2,902,240

				3,698,545

		Industrial Other – 0.1%
	2,259,628	Diamond (BC) B.V., USD Term Loan, 3-month LIBOR + 3.000%, 5.744%, 9/06/2024(b)		2,166,418

		Lodging – 0.1%
	850,725	Wyndham Hotels & Resorts, Inc., Term Loan B, 1-month LIBOR + 1.750%, 4.249%, 5/30/2025(b)		838,628

		Media Entertainment – 0.1%
	2,027,062	Lamar Media Corp., 2018 Term Loan B, 1-month LIBOR + 1.750%, 4.250%, 3/14/2025(b)		2,020,312


Principal Amount (‡)		Description	Value (†)
Senior Loans – continued
		Pharmaceuticals – 0.2%
$	3,890,152	Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, 1-week LIBOR + 2.250%, 4.660%, 1/31/2025(b)	$	3,862,610

		Restaurants – 0.3%
	5,134,765	1011778 B.C. Unlimited Liability Co., Term Loan B3, 1-month LIBOR + 2.250%, 4.749%, 2/16/2024(b)		5,049,168

		Retailers – 0.2%
	2,485,125	Hanesbrands, Inc., 2017 Term Loan B, 1-month LIBOR + 1.750%, 4.243%, 12/15/2024(b)		2,473,743

		Technology – 0.6%
	4,563,775	First Data Corp., 2017 USD Term Loan, 1-month LIBOR + 2.000%, 4.486%, 7/08/2022(b)		4,552,275
	4,615,912	Iron Mountain, Inc., 2018 Term Loan B, 1-month LIBOR + 1.750%, 4.249%, 1/02/2026(b)		4,468,803
	1,026,537	Microchip Technology, Inc., 2018 Term Loan B, 1-month LIBOR + 2.000%, 4.500%, 5/29/2025(b)		1,013,962

				10,035,040

		Transportation Services – 0.3%
	4,182,431	Uber Technologies, Inc., 2018 Incremental Term Loan, 3-month LIBOR + 3.500%, 5.982%, 7/13/2023(b)		4,147,591

		Wireless – 0.2%
	3,908,961	UPC Financing Partnership, USD Term Loan AR, 1-month LIBOR + 2.500%, 4.984%, 1/15/2026(b)		3,899,735

		Total Senior Loans (Identified Cost $99,422,900)		98,073,896

Loan Participations – 0.3%
		ABS Other – 0.3%
	5,311,790	Harbour Aircraft Investments Ltd., Series 2017-1, Class C, 8.000%, 11/15/2037(c) (Identified Cost $5,299,749)		5,331,510


Shares
Preferred Stocks – 0.5%
Convertible Preferred Stocks – 0.3%
		Food & Beverage – 0.2%
	32,272	Bunge Ltd., 4.875%		3,170,594

		Midstream – 0.1%
	1,714	Chesapeake Energy Corp., 5.750%(c)		857,000
	2,329	El Paso Energy Capital Trust I, 4.750%		126,162

				983,162

		Total Convertible Preferred Stocks (Identified Cost $4,239,372)		4,153,756


Shares		Description	Value (†)
Preferred Stocks – continued
Non-Convertible Preferred Stocks – 0.2%
		Cable Satellite – 0.2%
	4,040,000	NBCUniversal Enterprise, Inc., 5.250%, 144A(a) (Identified Cost $4,040,000)	$	4,100,600

		Total Preferred Stocks (Identified Cost $8,279,372)		8,254,356

Common Stocks – 3.3%
		Aerospace & Defense – 0.0%
	1,084	Boeing Co. (The)		413,459

		Air Freight & Logistics – 0.0%
	2,308	United Parcel Service, Inc., Class B		257,896

		Airlines – 0.1%
	14,046	Southwest Airlines Co.		729,128

		Banks – 0.1%
	11,326	Citigroup, Inc.		704,704
	6,408	JPMorgan Chase & Co.		648,682

				1,353,386

		Beverages – 0.0%
	10,963	Molson Coors Brewing Co., Class B		653,943

		Biotechnology – 0.1%
	9,147	AbbVie, Inc.		737,157
	3,867	Amgen, Inc.		734,652
	11,186	Gilead Sciences, Inc.		727,202

				2,199,011

		Capital Markets – 0.1%
	9,741	LPL Financial Holdings, Inc.		678,461
	2,278	Morgan Stanley		96,131

				774,592

		Commercial Services & Supplies – 0.0%
	4,289	Waste Management, Inc.		445,670

		Communications Equipment – 0.0%
	10,073	Cisco Systems, Inc.		543,841

		Construction Materials – 0.2%
	673,076	Cemex SAB de CV, Sponsored ADR(h)		3,123,073

		Consumer Finance – 0.0%
	6,808	Capital One Financial Corp.		556,146

		Diversified Consumer Services – 0.0%
	29,725	H&R Block, Inc.		711,617

		Electric Utilities – 0.1%
	17,351	FirstEnergy Corp.		721,975


Shares		Description	Value (†)
Common Stocks – continued
		Electric Utilities – continued
	22,181	PPL Corp.	$	704,025

				1,426,000

		Electrical Equipment – 0.1%
	9,080	Eaton Corp. PLC		731,485
	3,971	Rockwell Automation, Inc.		696,751

				1,428,236

		Electronic Equipment, Instruments & Components – 0.0%
	7,504	CDW Corp.		723,160

		Entertainment – 0.0%
	25,544	Viacom, Inc., Class B		717,020

		Food & Staples Retailing – 0.1%
	11,667	Walgreens Boots Alliance, Inc.		738,171

		Health Care Providers & Services – 0.2%
	9,072	AmerisourceBergen Corp.		721,406
	742	Anthem, Inc.		212,939
	3,314	Cigna Corp.		532,958
	5,269	McKesson Corp.		616,789
	2,844	UnitedHealth Group, Inc.		703,207

				2,787,299

		Hotels, Restaurants & Leisure – 0.1%
	12,403	Carnival Corp.		629,080
	10,268	Starbucks Corp.		763,323
	7,124	Yum! Brands, Inc.		711,047

				2,103,450

		Industrial Conglomerates – 0.0%
	1,203	Honeywell International, Inc.		191,181

		Insurance – 0.1%
	14,342	Aflac, Inc.		717,100
	15,177	MetLife, Inc.		646,085
	7,617	Prudential Financial, Inc.		699,850

				2,063,035

		IT Services – 0.3%
	4,273	Accenture PLC, Class A		752,134
	4,726	Automatic Data Processing, Inc.		754,931
	6,578	Broadridge Financial Solutions, Inc.		682,073
	3,149	MasterCard, Inc., Class A		741,432
	9,187	Paychex, Inc.		736,797
	4,702	Visa, Inc., Class A		734,405

				4,401,772

		Life Sciences Tools & Services – 0.1%
	2,781	Thermo Fisher Scientific, Inc.		761,215


Shares		Description	Value (†)
Common Stocks – continued
		Machinery – 0.1%
	4,636	Cummins, Inc.	$	731,885
	5,059	Illinois Tool Works, Inc.		726,118
	10,461	PACCAR, Inc.		712,813

				2,170,816

		Media – 0.2%
	5,795	Comcast Corp., Class A		231,684
	6,705	Nexstar Media Group, Inc., Class A		726,621
	9,081	Omnicom Group, Inc.		662,822
	18,542	Sinclair Broadcast Group, Inc., Class A		713,496
	112,438	Sirius XM Holdings, Inc.		637,524

				2,972,147

		Multi-Utilities – 0.1%
	9,458	Dominion Energy, Inc.		725,050

		Multiline Retail – 0.1%
	10,644	Kohl’s Corp.		731,988

		Oil, Gas & Consumable Fuels – 0.2%
	11,431	CVR Energy, Inc.		470,957
	1,884	Dommo Energia S.A., Sponsored ADR(h)		36,078
	99,386	Encana Corp.		719,555
	28,351	Plains GP Holdings LP, Class A(h)		706,507
	73,856	Whiting Petroleum Corp.(h)		1,930,596

				3,863,693

		Paper & Forest Products – 0.0%
	7,988	Domtar Corp.		396,604

		Pharmaceuticals – 0.2%
	4,444	Allergan PLC		650,646
	14,250	Bristol-Myers Squibb Co.		679,867
	5,040	Johnson & Johnson		704,542
	6,077	Merck & Co., Inc.		505,424

				2,540,479

		Professional Services – 0.0%
	1,583	Robert Half International, Inc.		103,148

		REITs—Diversified – 0.1%
	9,283	Lamar Advertising Co., Class A		735,771

		Semiconductors & Semiconductor Equipment – 0.1%
	2,502	Broadcom, Inc.		752,376
	6,188	KLA-Tencor Corp.		738,909
	2,636	Texas Instruments, Inc.		279,601

				1,770,886

		Software – 0.1%
	2,834	Intuit, Inc.		740,836
	6,289	Microsoft Corp.		741,725


Shares			Description	Value (†)
Common Stocks – continued
			Software – continued
		13,678	Oracle Corp.	$	734,645

					2,217,206

			Specialty Retail – 0.2%
		10,299	Best Buy Co., Inc.		731,847
		19,118	Dick’s Sporting Goods, Inc.		703,734
		8,933	Foot Locker, Inc.		541,340
		3,761	Home Depot, Inc. (The)		721,698

					2,698,619

			Technology Hardware, Storage & Peripherals – 0.1%
		3,399	Apple, Inc.		645,640
		43,895	Hewlett Packard Enterprise Co.		677,300
		35,498	HP, Inc.		689,726
		1,469	NetApp, Inc.		101,860

					2,114,526

			Tobacco – 0.1%
		12,851	Altria Group, Inc.		738,033
		8,080	Philip Morris International, Inc.		714,191

					1,452,224

			Total Common Stocks (Identified Cost $54,254,018)		53,595,458

Exchange-Traded Funds – 0.5%
		22,686	Invesco QQQ Trust, Series 1		4,075,767
		82,282	iShares^® China Large-Cap ETF		3,642,624

			Total Exchange-Traded Funds (Identified Cost $6,980,839)		7,718,391

Other Investments – 0.5%
			Aircraft ABS – 0.5%
		900	ECAF I Blocker Ltd.(c)(e)(f)(g) (Identified Cost $9,000,000)		7,790,625

Total Purchased Options – 0.0% (Identified Cost $1,105,518) (see detail below)					138,975


	Principal Amount (‡)
Short-Term Investments – 9.4%
$		85,512,466	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/29/2019 at 1.500% to be repurchased at $85,523,155 on 4/01/2019 collateralized by $87,255,000 U.S. Treasury Note, 2.000% due 11/30/2022 valued at $87,229,085 including accrued interest(m)		85,512,466
		24,420,000	U.S. Treasury Bills, 2.438%, 12/05/2019(a)(n)		24,029,294
		24,415,000	U.S. Treasury Bills, 2.460%, 1/30/2020(a)(n)		23,935,137
		19,100,000	U.S. Treasury Bills, 2.540%, 8/15/2019(n)(o)		18,928,089


Description	Value (†)
Total Short-Term Investments (Identified Cost $152,346,958)	$	152,404,986

Total Investments – 99.1% (Identified Cost $1,643,107,509)		1,602,342,421
Other assets less liabilities – 0.9%		14,222,040

Net Assets – 100.0%	$	1,616,564,461

Purchased Options – 0.0%


Description	Expiration Date		Exercise Price		Shares (†††)		Notional Amount		Cost		Value (†)
Options on Securities – 0.0%
SPDR^® S&P 500^® ETF Trust, Put(h)		4/18/2019		265.00		75,000	$	21,186,000	$	598,713	$	21,375
SPDR^® S&P 500^® ETF Trust, Put(h)		5/17/2019		271.00		60,000		16,948,800		506,805		117,600

Total									$	1,105,518	$	138,975

Written Options – (0.0%)


Description	Expiration Date		Exercise Price		Shares (†††)			Notional Amount			Premiums (Received)			Value (†)
Options on Securities – (0.0%)
AbbVie, Inc., Call		4/18/2019		82.50		(3,000	)	$	(241,770	)	$	(2,931	)	$	(1,800	)
AbbVie, Inc., Call		5/17/2019		95.00		(2,600	)		(209,534	)		(7,272	)		(468	)
AbbVie, Inc., Call		6/21/2019		87.50		(3,000	)		(241,770	)		(3,591	)		(3,075	)
Accenture PLC, Call		5/17/2019		175.00		(1,400	)		(246,428	)		(1,970	)		(5,390	)
Accenture PLC, Call		5/17/2019		165.00		(1,400	)		(246,428	)		(2,348	)		(15,820	)
Accenture PLC, Call		6/21/2019		175.00		(1,400	)		(246,428	)		(3,132	)		(7,770	)
Aflac, Inc., Call		5/17/2019		50.00		(4,700	)		(235,000	)		(4,358	)		(5,758	)
Allergan PLC, Call		4/18/2019		160.00		(1,400	)		(204,974	)		(1,858	)		(280	)
Allergan PLC, Call		5/17/2019		160.00		(1,400	)		(204,974	)		(4,994	)		(2,324	)
Allergan PLC, Call		5/17/2019		165.00		(1,400	)		(204,974	)		(3,104	)		(1,337	)
Altria Group, Inc., Call		5/17/2019		60.00		(9,600	)		(551,328	)		(6,116	)		(7,488	)
AmerisourceBergen Corp., Call		4/18/2019		85.00		(2,900	)		(230,608	)		(2,863	)		(870	)
AmerisourceBergen Corp., Call		5/17/2019		92.50		(2,600	)		(206,752	)		(5,479	)		(845	)
AmerisourceBergen Corp., Call		5/17/2019		87.50		(2,900	)		(230,608	)		(4,157	)		(2,393	)
Amgen, Inc., Call		4/18/2019		200.00		(1,200	)		(227,976	)		(2,146	)		(792	)
Amgen, Inc., Call		5/17/2019		200.00		(1,200	)		(227,976	)		(4,580	)		(3,372	)
Amgen, Inc., Call		6/21/2019		210.00		(1,200	)		(227,976	)		(2,285	)		(1,770	)
Anthem, Inc., Call		4/18/2019		320.00		(200	)		(57,396	)		(269	)		(19	)
Anthem, Inc., Call		6/21/2019		330.00		(200	)		(57,396	)		(789	)		(221	)
Apple, Inc., Call		4/18/2019		185.00		(1,100	)		(208,945	)		(1,372	)		(7,645	)
Apple, Inc., Call		5/17/2019		195.00		(1,100	)		(208,945	)		(4,567	)		(5,308	)
Apple, Inc., Call		6/21/2019		200.00		(1,100	)		(208,945	)		(4,232	)		(4,950	)
Automatic Data Processing, Inc., Call		5/17/2019		160.00		(3,100	)		(495,194	)		(6,584	)		(14,260	)
Best Buy Co., Inc., Call		4/18/2019		72.50		(3,300	)		(234,498	)		(2,498	)		(3,482	)


Description	Expiration Date		Exercise Price		Shares (†††)			Notional Amount			Premiums (Received)			Value (†)
Options on Securities – continued
Best Buy Co., Inc., Call		5/17/2019		75.00		(3,300	)	$	(234,498	)	$	(2,465	)	$	(3,597	)
Best Buy Co., Inc., Call		6/21/2019		75.00		(3,300	)		(234,498	)		(7,580	)		(9,290	)
Boeing Co. (The), Call		4/18/2019		405.00		(500	)		(190,710	)		(949	)		(822	)
Bristol-Myers Squibb Co., Call		4/18/2019		55.00		(9,400	)		(448,474	)		(11,545	)		(611	)
Bristol-Myers Squibb Co., Call		5/17/2019		55.00		(4,600	)		(219,466	)		(10,061	)		(920	)
Broadcom Ltd., Call		4/18/2019		310.00		(800	)		(240,568	)		(2,390	)		(2,320	)
Broadridge Financial Solutions, Inc., Call		6/21/2019		105.00		(2,100	)		(217,749	)		(6,693	)		(8,505	)
Broadridge Financial Solutions, Inc., Call		6/21/2019		115.00		(2,100	)		(217,749	)		(2,598	)		(1,942	)
Broadridge Financial Solutions, Inc., Call		6/21/2019		110.00		(2,100	)		(217,749	)		(4,991	)		(4,358	)
Capital One Financial Corp., Call		4/18/2019		87.50		(2,200	)		(179,718	)		(2,018	)		(231	)
Capital One Financial Corp., Call		6/21/2019		90.00		(2,200	)		(179,718	)		(3,580	)		(2,068	)
Carnival Corp., Call		4/18/2019		60.00		(12,200	)		(618,784	)		(11,637	)		(305	)
CDW Corp., Call		6/21/2019		105.00		(3,700	)		(356,569	)		(6,649	)		(4,995	)
CDW Corp., Call		6/21/2019		100.00		(3,700	)		(356,569	)		(10,238	)		(10,823	)
Cigna Corp., Call		4/18/2019		180.00		(1,600	)		(257,312	)		(1,259	)		(168	)
Cigna Corp., Call		7/19/2019		185.00		(1,000	)		(160,820	)		(3,927	)		(2,430	)
Cisco Systems, Inc., Call		4/18/2019		55.00		(5,000	)		(269,950	)		(2,086	)		(1,450	)
Citigroup, Inc., Call		4/18/2019		67.50		(3,700	)		(230,214	)		(4,466	)		(407	)
Citigroup, Inc., Call		5/17/2019		67.50		(3,700	)		(230,214	)		(5,576	)		(1,369	)
Citigroup, Inc., Call		6/21/2019		70.00		(3,700	)		(230,214	)		(4,392	)		(1,443	)
Comcast Corp., Call		5/17/2019		42.50		(2,800	)		(111,944	)		(972	)		(938	)
Cummins, Inc., Call		4/18/2019		165.00		(1,500	)		(236,805	)		(1,451	)		(637	)
Cummins, Inc., Call		6/21/2019		170.00		(1,500	)		(236,805	)		(3,467	)		(2,775	)
CVR Energy, Inc., Call		6/21/2019		45.00		(3,700	)		(152,440	)		(3,985	)		(3,423	)
Dick’s Sporting Goods, Inc., Call		4/18/2019		40.00		(9,500	)		(349,695	)		(14,983	)		(712	)
Dominion Energy, Inc., Call		4/18/2019		80.00		(2,600	)		(199,316	)		(3,711	)		(260	)
Dominion Energy, Inc., Call		7/19/2019		80.00		(6,200	)		(475,292	)		(6,368	)		(7,130	)
Domtar Corp., Call		4/18/2019		57.50		(5,200	)		(258,180	)		(3,241	)		(2,340	)
Domtar Corp., Call		4/18/2019		52.50		(2,600	)		(129,090	)		(876	)		(520	)
Eaton Corp. PLC, Call		4/18/2019		82.50		(2,900	)		(233,624	)		(2,776	)		(1,305	)
Eaton Corp. PLC, Call		7/19/2019		87.50		(2,900	)		(233,624	)		(2,486	)		(2,247	)
FirstEnergy Corp., Call		4/18/2019		42.00		(5,700	)		(237,177	)		(1,921	)		(2,280	)
FirstEnergy Corp., Call		4/18/2019		41.00		(11,400	)		(474,354	)		(4,979	)		(11,400	)
Foot Locker, Inc., Call		4/18/2019		62.50		(2,900	)		(175,740	)		(2,863	)		(2,247	)


Description	Expiration Date		Exercise Price		Shares (†††)			Notional Amount			Premiums (Received)			Value (†)
Options on Securities – continued
Foot Locker, Inc., Call		4/18/2019		65.00		(2,900	)	$	(175,740	)	$	(1,239	)	$	(580	)
Gilead Sciences, Inc., Call		4/18/2019		70.00		(1,900	)		(123,519	)		(2,085	)		(199	)
Gilead Sciences, Inc., Call		5/17/2019		70.00		(3,600	)		(234,036	)		(3,266	)		(2,628	)
H&R Block, Inc., Call		4/18/2019		25.00		(9,800	)		(234,612	)		(3,402	)		(1,715	)
H&R Block, Inc., Call		7/19/2019		27.00		(19,600	)		(469,224	)		(12,087	)		(10,780	)
Hewlett Packard Enterprise Co., Call		4/18/2019		16.00		(14,400	)		(222,192	)		(4,136	)		(1,440	)
Hewlett Packard Enterprise Co., Call		5/17/2019		18.00		(14,600	)		(225,278	)		(2,586	)		(438	)
Hewlett Packard Enterprise Co., Call		5/17/2019		17.00		(14,400	)		(222,192	)		(2,550	)		(792	)
Home Depot, Inc. (The), Call		5/17/2019		190.00		(1,800	)		(345,402	)		(3,505	)		(10,665	)
Home Depot, Inc. (The), Call		6/21/2019		195.00		(1,800	)		(345,402	)		(3,721	)		(9,405	)
Honeywell International, Inc., Call		6/21/2019		160.00		(1,100	)		(174,812	)		(2,769	)		(4,510	)
HP, Inc., Call		5/17/2019		21.00		(17,700	)		(343,911	)		(3,843	)		(2,301	)
Illinois Tool Works, Inc., Call		4/18/2019		150.00		(1,600	)		(229,648	)		(908	)		(600	)
Illinois Tool Works, Inc., Call		6/21/2019		150.00		(1,600	)		(229,648	)		(6,475	)		(4,640	)
Illinois Tool Works, Inc., Call		6/21/2019		155.00		(1,600	)		(229,648	)		(2,541	)		(2,480	)
Intuit, Inc., Call		4/18/2019		250.00		(900	)		(235,269	)		(2,553	)		(11,835	)
Intuit, Inc., Call		4/18/2019		270.00		(900	)		(235,269	)		(1,194	)		(1,395	)
Intuit, Inc., Call		7/19/2019		280.00		(900	)		(235,269	)		(4,470	)		(5,535	)
Johnson & Johnson, Call		4/18/2019		140.00		(3,300	)		(461,307	)		(5,271	)		(6,683	)
Johnson & Johnson, Call		5/17/2019		145.00		(1,600	)		(223,664	)		(779	)		(1,728	)
JPMorgan Chase & Co., Call		5/17/2019		110.00		(2,100	)		(212,583	)		(2,955	)		(483	)
JPMorgan Chase & Co., Call		6/21/2019		110.00		(2,100	)		(212,583	)		(4,804	)		(1,323	)
KLA-Tencor Corp., Call		6/21/2019		120.00		(6,100	)		(728,401	)		(15,121	)		(36,295	)
Kohl’s Corp., Call		4/18/2019		72.50		(3,500	)		(240,695	)		(5,170	)		(1,750	)
Kohl’s Corp., Call		5/17/2019		75.00		(7,000	)		(481,390	)		(4,110	)		(6,125	)
Lamar Advertising Co., Call		4/18/2019		80.00		(6,100	)		(483,486	)		(6,022	)		(6,710	)
Lamar Advertising Co., Call		7/19/2019		85.00		(3,000	)		(237,780	)		(2,961	)		(3,600	)
LPL Financial Holdings, Inc., Call		7/19/2019		80.00		(4,800	)		(334,320	)		(12,431	)		(5,400	)
MasterCard, Inc., Call		4/18/2019		240.00		(1,500	)		(353,175	)		(2,111	)		(3,030	)
MasterCard, Inc., Call		6/21/2019		250.00		(1,000	)		(235,450	)		(2,787	)		(4,100	)
McKesson Corp., Call		4/18/2019		125.00		(1,700	)		(199,002	)		(2,171	)		(382	)
Merck & Co., Inc., Call		5/17/2019		85.00		(2,900	)		(241,193	)		(1,993	)		(3,538	)


Description	Expiration Date		Exercise Price		Shares (†††)			Notional Amount			Premiums (Received)			Value (†)
Options on Securities – continued
Merck & Co., Inc., Call		6/21/2019		85.00		(2,900	)	$	(241,193	)	$	(3,124	)	$	(5,119	)
MetLife, Inc., Call		4/18/2019		47.50		(5,000	)		(212,850	)		(2,636	)		(100	)
MetLife, Inc., Call		5/17/2019		47.50		(5,000	)		(212,850	)		(3,387	)		(400	)
Microsoft Corp., Call		4/18/2019		115.00		(4,100	)		(483,554	)		(3,924	)		(15,683	)
Microsoft Corp., Call		5/17/2019		120.00		(2,000	)		(235,880	)		(4,594	)		(5,710	)
Molson Coors Brewing Co., Call		4/18/2019		67.50		(3,600	)		(214,740	)		(4,850	)		(90	)
Molson Coors Brewing Co., Call		4/18/2019		65.00		(3,200	)		(190,880	)		(3,319	)		(240	)
Morgan Stanley, Call		4/18/2019		45.00		(700	)		(29,540	)		(530	)		(171	)
Morgan Stanley, Call		4/18/2019		46.00		(700	)		(29,540	)		(306	)		(80	)
Morgan Stanley, Call		4/18/2019		47.00		(600	)		(25,320	)		(364	)		(36	)
NetApp, Inc., Call		4/18/2019		70.00		(500	)		(34,670	)		(375	)		(560	)
Nexstar Media Group, Inc., Call		4/18/2019		115.00		(6,600	)		(715,242	)		(2,885	)		(3,465	)
Omnicom Group, Inc., Call		4/18/2019		80.00		(2,900	)		(211,671	)		(1,848	)		(652	)
Omnicom Group, Inc., Call		4/18/2019		82.50		(5,900	)		(430,641	)		(4,541	)		(1,032	)
Oracle Corp., Call		4/18/2019		55.00		(13,500	)		(725,085	)		(6,982	)		(3,578	)
PACCAR, Inc., Call		4/18/2019		70.00		(3,400	)		(231,676	)		(1,996	)		(1,615	)
PACCAR, Inc., Call		5/17/2019		73.00		(3,400	)		(231,676	)		(4,301	)		(2,125	)
Paychex, Inc., Call		4/18/2019		82.50		(3,000	)		(240,600	)		(1,161	)		(750	)
Philip Morris International, Inc., Call		4/18/2019		90.00		(4,000	)		(353,560	)		(1,801	)		(4,740	)
Philip Morris International, Inc., Call		5/17/2019		95.00		(2,000	)		(176,780	)		(1,854	)		(1,140	)
Philip Morris International, Inc., Call		5/17/2019		92.50		(2,000	)		(176,780	)		(3,534	)		(2,270	)
Plains GP Holdings LP, Call		5/17/2019		26.00		(14,100	)		(351,372	)		(8,279	)		(7,050	)
PPL Corp., Call		4/18/2019		32.00		(14,400	)		(457,056	)		(2,578	)		(4,680	)
PPL Corp., Call		7/19/2019		34.00		(7,300	)		(231,702	)		(4,067	)		(1,825	)
Prudential Financial, Inc., Call		4/18/2019		100.00		(3,800	)		(349,144	)		(3,226	)		(133	)
Rockwell Automation, Inc., Call		4/18/2019		190.00		(1,300	)		(228,098	)		(1,920	)		(227	)
Rockwell Automation, Inc., Call		7/19/2019		195.00		(1,300	)		(228,098	)		(4,387	)		(2,795	)
Sinclair Broadcast Group, Inc., Call		4/18/2019		41.00		(9,200	)		(354,016	)		(4,665	)		(2,760	)
Sinclair Broadcast Group, Inc., Call		6/21/2019		42.00		(9,200	)		(354,016	)		(11,566	)		(10,580	)
Southwest Airlines Co., Call		4/18/2019		62.50		(7,900	)		(410,089	)		(3,302	)		(395	)
Southwest Airlines Co., Call		4/18/2019		55.00		(4,600	)		(238,786	)		(1,321	)		(1,725	)
SPDR^® S&P 500^® ETF Trust, Put		4/18/2019		250.00		(75,000	)		(21,186,000	)		(290,033	)		(6,375	)
SPDR^® S&P 500^® ETF Trust, Put		5/17/2019		245.00		(60,000	)		(16,948,800	)		(148,027	)		(20,100	)


Description	Expiration Date		Exercise Price		Shares (†††)			Notional Amount			Premiums (Received)			Value (†)
Options on Securities – continued
Starbucks Corp., Call		4/18/2019		75.00		(3,200	)	$	(237,888	)	$	(1,783	)	$	(2,720	)
Starbucks Corp., Call		5/17/2019		75.00		(3,300	)		(245,322	)		(2,333	)		(6,600	)
Starbucks Corp., Call		6/21/2019		77.50		(3,300	)		(245,322	)		(1,772	)		(4,901	)
Texas Instruments, Inc., Call		4/18/2019		115.00		(1,700	)		(180,319	)		(1,525	)		(85	)
Texas Instruments, Inc., Call		5/17/2019		115.00		(800	)		(84,856	)		(1,566	)		(552	)
Thermo Fisher Scientific, Inc., Call		4/18/2019		270.00		(900	)		(246,348	)		(1,950	)		(6,435	)
Thermo Fisher Scientific, Inc., Call		6/21/2019		280.00		(900	)		(246,348	)		(3,300	)		(7,110	)
United Parcel Service, Inc., Call		4/18/2019		115.00		(700	)		(78,218	)		(278	)		(346	)
United Parcel Service, Inc., Call		5/17/2019		120.00		(700	)		(78,218	)		(250	)		(528	)
UnitedHealth Group, Inc., Call		4/18/2019		290.00		(1,300	)		(321,438	)		(2,504	)		(84	)
UnitedHealth Group, Inc., Call		5/17/2019		270.00		(900	)		(222,534	)		(2,067	)		(1,287	)
Viacom, Inc., Call		4/18/2019		30.00		(8,400	)		(235,788	)		(2,412	)		(1,260	)
Viacom, Inc., Call		6/21/2019		32.50		(8,000	)		(224,560	)		(4,697	)		(2,200	)
Visa, Inc., Call		4/18/2019		155.00		(1,500	)		(234,285	)		(1,016	)		(4,763	)
Visa, Inc., Call		5/17/2019		160.00		(1,500	)		(234,285	)		(4,391	)		(4,163	)
Visa, Inc., Call		6/21/2019		165.00		(1,500	)		(234,285	)		(3,191	)		(3,188	)
Walgreens Boots Alliance, Inc., Call		4/18/2019		65.00		(3,800	)		(240,426	)		(3,713	)		(4,389	)
Walgreens Boots Alliance, Inc., Call		5/17/2019		67.50		(3,800	)		(240,426	)		(2,991	)		(3,040	)
Waste Management, Inc., Call		4/18/2019		105.00		(1,400	)		(145,474	)		(262	)		(1,050	)
Yum Brands, Inc., Call		4/18/2019		97.50		(2,100	)		(209,601	)		(3,291	)		(6,384	)
Yum Brands, Inc., Call		7/19/2019		105.00		(2,300	)		(229,563	)		(3,972	)		(3,795	)

Total											$	(965,637	)	$	(519,871	)

(†)

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 March 31, 2019, 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

$4,373,365

0.3%

$14,138,003

0.9%

(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.

(†††)

Options on securities are expressed as shares.

(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 March 31, 2019 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 March 31, 2019 is disclosed.

(e)	Fair valued by the Fund’s adviser. At March 31, 2019, the value of these securities amounted to $14,138,003 or 0.9% of net assets.

(f)	Securities subject to restriction on resale. At March 31, 2019, the restricted securities held by the Fund are as follows:


	Acquisition Date		Acquisition Cost		Value		% of Net Assets
ECAF I Blocker Ltd.		June 18, 2015	$	9,000,000	$	7,790,625		0.5	%
GCA2014 Holdings Ltd., Series 2014-1, Class C		December 18, 2014		2,069,787		1,770,727		0.1	%
GCA2014 Holdings Ltd., Series 2014-1, Class D		December 18, 2014		820,999		450,804		Less than 0.1	%
GCA2014 Holdings Ltd., Series 2014-1, Class E		December 18, 2014		2,657,606		—		—

(g)	Illiquid security.

(h)	Non-income producing security.

(i)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2019, the value of these securities amounted to $4,373,365 or 0.3% 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)	Variable rate security. Rate shown represents the weighted average rate of underlying contracts at March 31, 2019.

(m)

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 March 31, 2019, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

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

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


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 March 31, 2019, the value of Rule 144A holdings amounted to $517,477,074 or 32.0% 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
EMTN		Euro Medium Term Note
ETF		Exchange-Traded Fund
EURIBOR		Euro Interbank Offered Rate
GMTN		Global Medium Term Note
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


HUF		Hungarian Forint
IDR		Indonesian Rupiah
JPY		Japanese Yen
MXN		Mexican Peso
MYR		Malaysian Ringgit
NOK		Norwegian Krone
PLN		Polish Zloty
RUB		Russian Ruble
SEK		Swedish Krona
SGD		Singapore Dollar
THB		Thai Baht
TRY		Turkish Lira
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 March 31, 2019, 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.	CDX.EM Series 31 100, 5-Year		(1.00	%)		6/20/2024		8,000,000	$	317,600	$	301,279	$	(16,321	)


Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate¹			Expiration Date		Notional Value(‡)		Unamortized Up Front Premium Paid/(Received)			Market Value			Unrealized Appreciation (Depreciation)
Bilateral Credit Default Swap Agreements – continued
Buy Protection – continued
Bank of America, N.A.	CDX.EM Series 31 100, 5-Year		(1.00	%)		6/20/2024		8,000,000		333,600			301,279			(32,321	)
Bank of America, N.A.	Enel SpA		(1.00	%)		6/20/2023		6,100,000 EUR		(2,950	)		(93,786	)		(90,836	)
Morgan Stanley Capital Services, Inc.	Enel SpA		(1.00	%)		12/20/2023		6,115,000 EUR		38,372			(68,560	)		(106,932	)
Morgan Stanley Capital Services, Inc.	ITRX Asia ex-Japan Index Series 31, 5-Year		(1.00	%)		6/20/2024		8,000,000		(110,329	)		(111,678	)		(1,349	)

Total												$	328,534		$	(247,759	)

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

¹	Payments are made quarterly.

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. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

At March 31, 2019, 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.		6/18/2019	CAD		S	3,020,000	$	2,268,819	$	2,264,211	$	4,608
Bank of America, N.A.		4/22/2019	ARS		B	38,640,000		888,684		868,870		(19,814	)
Bank of America, N.A.		4/15/2019	CLP		B	642,590,000		963,331		944,305		(19,026	)
Bank of America, N.A.		4/15/2019	CLP		S	642,590,000		945,263		944,305		958
Bank of America, N.A.		4/08/2019	IDR		B	22,688,600,000		1,596,315		1,592,126		(4,189	)
Bank of America, N.A.		4/08/2019	IDR		S	22,688,600,000		1,586,615		1,592,126		(5,511	)
Bank of America, N.A.		4/15/2019	NOK		B	98,105,000		11,568,030		11,380,494		(187,536	)
Bank of America, N.A.		4/25/2019	TRY		B	4,935,000		886,776		859,338		(27,438	)
Bank of America, N.A.		4/25/2019	TRY		S	4,935,000		877,177		859,338		17,839
Barclays Bank PLC		4/08/2019	CHF		B	1,445,000		1,453,474		1,451,992		(1,482	)
Barclays Bank PLC		4/08/2019	CHF		S	1,445,000		1,446,701		1,451,992		(5,291	)
Barclays Bank PLC		4/05/2019	EUR		B	4,580,000		5,177,003		5,138,931		(38,072	)
Barclays Bank PLC		4/05/2019	EUR		S	4,580,000		5,220,490		5,138,931		81,559


Counterparty	Delivery Date		Currency Bought/ Sold (B/ S)	Units of Currency			In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
Barclays Bank PLC		4/08/2019	JPY		B	233,470,000		2,117,066	$	2,107,542	$	(9,524	)
Barclays Bank PLC		4/08/2019	JPY		S	233,470,000		2,090,751		2,107,541		(16,790	)
Barclays Bank PLC		4/23/2019	PLN		B	28,780,000		7,666,693		7,500,920		(165,773	)
Barclays Bank PLC		4/04/2019	SEK		B	12,005,000		1,293,772		1,291,427		(2,345	)
Barclays Bank PLC		4/04/2019	SEK		S	7,205,000		784,429		775,071		9,358
Barclays Bank PLC		4/04/2019	SEK		S	4,800,000		515,708		516,355		(647	)
Barclays Bank PLC		4/01/2019	TRY		B	1,620,000		298,797		290,557		(8,240	)
Barclays Bank PLC		4/01/2019	TRY		S	1,620,000		281,690		290,557		(8,867	)
Credit Suisse International		4/29/2019	COP		S	18,400,000,000		5,878,782		5,762,011		116,771
Deutsche Bank AG		4/30/2019	EUR		S	2,000,000		2,257,240		2,248,821		8,419
Deutsche Bank AG		4/30/2019	GBP		S	5,095,000		6,750,697		6,645,353		105,344
Goldman Sachs & Co.		4/09/2019	EUR		B	4,580,000		5,179,600		5,140,685		(38,915	)
Goldman Sachs & Co.		4/09/2019	EUR		S	4,580,000		5,221,786		5,140,685		81,101
JPMorgan Chase Bank N.A.		4/08/2019	EUR		B	4,580,000		5,179,185		5,140,246		(38,939	)
JPMorgan Chase Bank N.A.		4/08/2019	EUR		S	4,580,000		5,220,975		5,140,246		80,729
Morgan Stanley Capital Services, Inc.		4/08/2019	ARS		B	11,120,000		272,282		254,725		(17,557	)
Morgan Stanley Capital Services, Inc.		4/08/2019	ARS		S	11,120,000		250,056		254,725		(4,669	)
Morgan Stanley Capital Services, Inc.		4/22/2019	ARS		S	38,640,000		927,731		868,870		58,861
Morgan Stanley Capital Services, Inc.		4/08/2019	BRL		B	2,905,000		773,903		741,611		(32,292	)
Morgan Stanley Capital Services, Inc.		4/08/2019	BRL		S	2,905,000		750,259		741,610		8,649
Morgan Stanley Capital Services, Inc.		4/25/2019	GBP		S	1,225,000		1,611,561		1,597,354		14,207
Morgan Stanley Capital Services, Inc.		4/15/2019	MYR		B	47,200,000		11,494,455		11,558,188		63,733
Morgan Stanley Capital Services, Inc.		4/05/2019	RUB		B	51,850,000		785,499		789,873		4,374
Morgan Stanley Capital Services, Inc.		4/05/2019	RUB		S	51,850,000		804,500		789,873		14,627
Morgan Stanley Capital Services, Inc.		4/30/2019	ZAR		S	361,810,000		24,712,954		24,991,756		(278,802	)
UBS AG		4/08/2019	EUR		B	850,000		963,339		953,976		(9,363	)
UBS AG		4/08/2019	EUR		S	850,000		962,965		953,976		8,989
UBS AG		4/15/2019	HUF		B	2,146,330,000		7,732,049		7,502,444		(229,605	)
UBS AG		4/11/2019	SGD		B	1,085,000		798,898		800,732		1,834
UBS AG		4/11/2019	SGD		S	1,085,000		803,047		800,733		2,314
UBS AG		4/04/2019	THB		B	25,595,000		810,469		806,564		(3,905	)


Counterparty	Delivery Date		Currency Bought/ Sold (B/S)	Units of Currency			In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
Forward Foreign Currency Contracts – continued
UBS AG		4/04/2019	THB		S	25,595,000		809,095	$	806,564	$	2,531

Total											$	(487,787	)

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 March 31, 2019, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-mini S&P 500^®		6/21/2019		299	$	41,867,544	$	42,425,110	$	(557,566	)
German Euro Bund		6/06/2019		956		174,691,396		178,381,898		(3,690,502	)
Ultra 10 Year U.S. Treasury Note		6/19/2019		355		47,163,580		47,137,343		26,237
Ultra Long U.S. Treasury Bond		6/19/2019		129		21,686,875		21,672,000		14,875

Total									$	(4,206,956	)

Fair Value Measurements

•

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 March 31, 2019, at value:

Asset Valuation Inputs


Description	Level 1			Level 2			Level 3			Total
Non-Convertible Bonds
ABS Credit Card	$	—		$	68,423,823		$	648,033	(a)	$	69,071,856
ABS Home Equity		—			145,871,862			4,125,847	(b)		149,997,709
ABS Other		—			81,072,796			2,221,531	(c)(d)		83,294,327
ABS Student Loan		—			5,778,288			4,076,553	(a)		9,854,841
Independent Energy		—			31,518,550			—	(d)		31,518,550
All Other Non-Convertible Bonds*		—			898,132,495			—			898,132,495

Total Non-Convertible Bonds		—			1,230,797,814			11,071,964			1,241,869,778

Convertible Bonds*		—			27,164,446			—			27,164,446

Total Bonds and Notes		—			1,257,962,260			11,071,964			1,269,034,224

Senior Loans*		—			98,073,896			—			98,073,896
Loan Participations*		—			—			5,331,510			5,331,510
Preferred Stocks
Convertible Preferred Stocks
Food & Beverage		—			3,170,594			—			3,170,594
Midstream		126,162			—			857,000			983,162
Non-Convertible Preferred Stocks
Cable Satellite		—			4,100,600			—			4,100,600

Total Preferred Stocks		126,162			7,271,194			857,000			8,254,356

Common Stocks*		53,595,458			—			—			53,595,458
Exchange-Traded Funds		7,718,391			—			—			7,718,391
Other Investments*		—			—			7,790,625(e)			7,790,625
Short-Term Investments		—			152,404,986			—			152,404,986
Purchased Options*		138,975			—			—			138,975

Total Investments	$	61,578,986		$	1,515,712,336		$	25,051,099		$	1,602,342,421

Forward Foreign Currency Contracts (unrealized appreciation)		—			686,805			—			686,805
Futures Contracts (unrealized appreciation)		41,112			—			—			41,112

Total	$	61,620,098		$	1,516,399,141		$	25,051,099		$	1,603,070,338


Liability Valuation Inputs

Description	Level 1			Level 2			Level 3			Total
Written Options*	$	(519,871	)	$	—		$	—		$	(519,871	)
Bilateral Credit Default Swap Agreements (unrealized depreciation)		—			(247,759	)		—			(247,759	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(1,174,592	)		—			(1,174,592	)
Futures Contracts (unrealized depreciation)		(4,248,068	)		—			—			(4,248,068	)

Total	$	(4,767,939	)	$	(1,422,351	)	$	—		$	(6,190,290	)

*	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)	Fair valued by the Fund’s adviser.

(c)	Fair valued by the Fund’s adviser using broker dealer bid prices for which inputs are unobservable to the Fund ($1,770,727) or fair valued by the Fund’s adviser ($450,804).

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

(e)	Fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund.

The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2018 and/or March 31, 2019:

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2018			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 March 31, 2019			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2019
Bonds and Notes
Non-Convertible Bonds
ABS Credit Card	$	—		$	—	$	—		$	8,138		$	639,895	$	—		$	—	$	—		$	648,033		$	8,138
ABS Home Equity		1			—		11,851			(24,966	)		—		(292,252	)		4,431,213		—			4,125,847			(24,966	)
ABS Other		4,468,825			—		—			72,674			46,167		—			—		(2,366,135	)		2,221,531			72,674
ABS Student Loan		4,307,138			—		267			(1,852	)		—		(229,000	)		—		—			4,076,553			(1,630	)
Independent Energy		—	(a)		46,750		—			(46,750	)		—		—			—		—			—	(a)		(46,750	)
Loan Participations		6,733,310			108		(10,642	)		73,826			—		(1,465,092	)		—		—			5,331,510			20,396
Preferred Stocks
Convertible Preferred Stocks Midstream		—			—		—			(27,170	)		—		—			884,170		—			857,000			(27,170	)
Other Investments
Aircraft ABS		7,790,625			—		—			—			—		—			—		—			7,790,625			—

Total	$	23,299,899		$	46,858	$	1,476		$	53,900		$	686,062	$	(1,986,344	)	$	5,315,383	$	(2,366,135	)	$	25,051,099		$	692

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

Debt securities valued at $4,431,213 were transferred from Level 2 to Level 3 during the period ended March 31, 2019. At December 31, 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. At March 31, 2019 these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.

A debt security valued at $2,366,135 was transferred from Level 3 to Level 2 during the period ended March 31, 2019. At December 31, 2018, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At March 31, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

A preferred stock valued at $884,170 was transferred from Level 2 to Level 3 during the period ended March 31, 2019. At December 31, 2018, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2019, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

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, interest rate swaptions and swap agreements. During the period ended March 31, 2019, the Fund used futures, forward foreign currency contracts, option contracts, and credit default swap agreements (as a protection buyer) 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, interest rate swap agreements and interest rate swaptions 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 March 31, 2019, the Fund engaged in forward foreign currency and option contracts for hedging and investment exposure.

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 March 31, 2019, 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 March 31, 2019, the Fund engaged in futures and option contracts for hedging and investment exposure.

The following is a summary of derivative instruments for the Fund, as of March 31, 2019:


Assets	Investments at value¹			Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts			Swap agreements at value			Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	—		$	686,805		$	—		$	—		$	686,805
Credit contracts		—			—			—			602,558			602,558

Total over-the-counter asset derivatives	$	—		$	686,805		$	—		$	602,558		$	1,289,363

Exchange-traded/cleared asset derivatives
Interest rate contracts	$	—		$	—		$	41,112		$	—		$	41,112
Equity contracts		138,975			—			—			—			138,975

Total exchange-traded/cleared asset derivatives	$	138,975		$	—		$	41,112		$	—		$	180,087

Total asset derivatives	$	138,975		$	686,805		$	41,112		$	602,558		$	1,469,450


Liabilities	Options written at value			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	$	—		$	(1,174,592	)	$	—		$	—		$	(1,174,592	)
Credit contracts		—			—			—			(274,024	)		(274,024	)

Total over-the-counter liability derivatives	$	—		$	(1,174,592	)	$	—		$	(274,024	)	$	(1,448,616	)

Exchange-traded/cleared liability derivatives
Interest rate contracts	$	—		$	—		$	(3,690,502	)	$	—		$	(3,690,502	)
Equity contracts		(519,871	)		—			(557,566	)		—			(1,077,437	)

Total exchange-traded/cleared liability derivatives	$	(519,871	)	$	—		$	(4,248,068	)	$	—		$	(4,767,939	)

Total liability derivatives	$	(519,871	)	$	(1,174,592	)	$	(4,248,068	)	$	(274,024	)	$	(6,216,555	)

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 March 31, 2019, 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
Barclays Bank PLC	$	(166,114	)	$	—
Morgan Stanley Capital Services, Inc.		(349,107	)		—
UBS AG		(227,205	)		130,000

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 March 31, 2019:

Maximum Amount

of Loss – Gross

Maximum Amount
of Loss – Net

$ 18,635,760

17,682,799

Net loss amount reflects cash received as collateral of $1,239,494.

Industry Summary at March 31, 2019 (Unaudited)


ABS Car Loan	12.8	%
ABS Home Equity	9.3
Banking	8.8
ABS Other	5.5
Automotive	5.2
Technology	4.8
ABS Credit Card	4.3
Independent Energy	2.4
Life Insurance	2.3
Other Investments, less than 2% each	33.8
Short-Term Investments	9.4
Exchange-Traded Funds	0.5

Total Investments	99.1
Other assets less liabilities (including open written options, swap agreements, forward foreign currency and futures contracts)	0.9

Net Assets	100.0	%

Consolidated Portfolio of Investments – as of March 31, 2019 (Unaudited)

ASG Global Alternatives Fund


Shares		Description	Value (†)
	Common Stocks – 18.1% of Net Assets
		Aerospace & Defense – 0.3%
	53,065	Arconic, Inc.	$	1,014,072
	15,361	United Technologies Corp.		1,979,879

				2,993,951

		Banks – 0.4%
	26,991	Citigroup, Inc.		1,679,380
	154,111	Investors Bancorp, Inc.		1,826,215
	34,851	U.S. Bancorp		1,679,470

				5,185,065

		Beverages – 0.1%
	13,922	Coca-Cola Co. (The)		652,385
	3,324	PepsiCo, Inc.		407,356

				1,059,741

		Building Products – 0.1%
	31,642	Apogee Enterprises, Inc.		1,186,259

		Capital Markets – 1.0%
	35,950	Bank of New York Mellon Corp. (The)		1,812,958
	36,650	Brookfield Asset Management, Inc., Class A		1,709,723
	29,121	Ellington Financial, Inc.		521,266
	38,311	Main Street Capital Corp.		1,425,169
	20,057	Nasdaq, Inc.		1,754,787
	116,409	New Mountain Finance Corp.		1,579,670
	46,896	PennantPark Floating Rate Capital Ltd.		600,738
	44,897	Solar Capital Ltd.		935,653
	68,511	TPG Specialty Lending, Inc.		1,370,220

				11,710,184

		Chemicals – 0.7%
	9,031	Air Products & Chemicals, Inc.		1,724,560
	27,180	DowDuPont, Inc.		1,448,966
	9,704	Ecolab, Inc.		1,713,144
	105,975	Element Solutions, Inc.(a)		1,070,348
	15,304	PPG Industries, Inc.		1,727,362
	67,720	Rayonier Advanced Materials, Inc.		918,283

				8,602,663

		Commercial Services & Supplies – 0.1%
	21,326	Republic Services, Inc.		1,714,184

		Consumer Finance – 0.1%
	142,995	SLM Corp.		1,417,080

		Containers & Packaging – 0.3%
	13,892	AptarGroup, Inc.		1,477,970
	28,374	Sonoco Products Co.		1,745,852

				3,223,822


Shares		Description	Value (†)
	Common Stocks – continued
		Diversified Consumer Services – 0.1%
	13,580	Bright Horizons Family Solutions, Inc.(a)	$	1,726,154

		Diversified Financial Services – 0.1%
	5	Berkshire Hathaway, Inc., Class A(a)		1,506,075

		Diversified Telecommunication Services – 0.1%
	38,480	Zayo Group Holdings, Inc.(a)		1,093,602

		Electric Utilities – 0.8%
	4,858	ALLETE, Inc.		399,473
	8,441	Alliant Energy Corp.		397,824
	4,708	American Electric Power Co., Inc.		394,295
	12,771	Avangrid, Inc.		643,020
	4,425	Duke Energy Corp.		398,250
	4,192	Entergy Corp.		400,881
	11,087	Evergy, Inc.		643,600
	5,597	Eversource Energy		397,107
	7,974	Exelon Corp.		399,737
	58,615	FirstEnergy Corp.		2,438,970
	9,846	Hawaiian Electric Industries, Inc.		401,421
	4,005	IDACORP, Inc.		398,658
	2,074	NextEra Energy, Inc.		400,946
	9,262	OGE Energy Corp.		399,378
	4,164	Pinnacle West Capital Corp.		397,995
	7,715	Portland General Electric Co.		399,946
	7,718	Southern Co. (The)		398,866
	7,039	Xcel Energy, Inc.		395,662

				9,706,029

		Electronic Equipment, Instruments & Components – 0.2%
	46,517	Benchmark Electronics, Inc.		1,221,071
	24,729	Itron, Inc.(a)		1,153,608

				2,374,679

		Entertainment – 0.2%
	52,060	Lions Gate Entertainment Corp.		814,218
	4,959	Madison Square Garden Co. (The), Class A(a)		1,453,632

				2,267,850

		Food & Staples Retailing – 0.4%
	54,165	Sysco Corp.		3,616,055
	39,579	US Foods Holding Corp.(a)		1,381,703

				4,997,758

		Food Products – 0.6%
	37,124	Campbell Soup Co.		1,415,538
	49,696	Conagra Brands, Inc.		1,378,567
	42,892	Hain Celestial Group, Inc. (The)(a)		991,663
	68,437	Mondelez International, Inc., Class A		3,416,375

				7,202,143


Shares		Description	Value (†)
	Common Stocks – continued
		Gas Utilities – 0.1%
	3,902	Atmos Energy Corp.	$	401,633
	4,466	ONE Gas, Inc.		397,608
	11,452	UGI Corp.		634,670

				1,433,911

		Health Care Equipment & Supplies – 0.5%
	25,627	Baxter International, Inc.		2,083,731
	14,233	Danaher Corp.		1,879,041
	14,783	Zimmer Biomet Holdings, Inc.		1,887,789

				5,850,561

		Health Care Providers & Services – 0.3%
	13,467	Magellan Health, Inc.(a)		887,745
	48,693	MEDNAX, Inc.(a)		1,322,989
	18,855	Quest Diagnostics, Inc.		1,695,441

				3,906,175

		Hotels, Restaurants & Leisure – 1.1%
	1,774	Chipotle Mexican Grill, Inc.(a)		1,260,090
	19,248	Hilton Worldwide Holdings, Inc.		1,599,701
	19,081	Jack in the Box, Inc.		1,546,706
	9,007	McDonald’s Corp.		1,710,429
	41,976	MGM Resorts International		1,077,104
	24,151	Starbucks Corp.		1,795,385
	105,157	Wendy’s Co. (The)		1,881,259
	17,001	Yum! Brands, Inc.		1,696,870

				12,567,544

		Household Products – 0.3%
	5,738	Colgate-Palmolive Co.		393,283
	26,185	Procter & Gamble Co. (The)		2,724,549

				3,117,832

		Industrial Conglomerates – 0.2%
	110,385	General Electric Co.		1,102,746
	10,797	Honeywell International, Inc.		1,715,859

				2,818,605

		Insurance – 2.0%
	34,020	Aflac, Inc.		1,701,000
	17,868	Allstate Corp. (The)		1,682,808
	15,230	American Financial Group, Inc.		1,465,278
	10,117	Aon PLC		1,726,972
	52,483	Arch Capital Group Ltd.(a)		1,696,251
	18,286	Arthur J. Gallagher & Co.		1,428,137
	58,262	Brown & Brown, Inc.		1,719,312
	12,316	Chubb Ltd.		1,725,225
	35,551	Loews Corp.		1,703,959
	1,709	Markel Corp.(a)		1,702,574
	15,667	Marsh & McLennan Cos., Inc.		1,471,131
	20,951	Torchmark Corp.		1,716,935


Shares		Description	Value (†)
	Common Stocks – continued
		Insurance – continued
	12,473	Travelers Cos., Inc. (The)	$	1,710,797
	1,560	White Mountains Insurance Group Ltd.		1,443,749
	9,636	Willis Towers Watson PLC		1,692,563

				24,586,691

		Interactive Media & Services – 0.4%
	1,376	Alphabet, Inc., Class A(a)		1,619,401
	48,724	Cars.com, Inc.(a)		1,110,907
	7,226	Facebook, Inc., Class A(a)		1,204,502
	4,883	IAC/InterActiveCorp(a)		1,025,967

				4,960,777

		Internet & Direct Marketing Retail – 0.1%
	65,151	Waitr Holdings, Inc.(a)		800,706

		IT Services – 1.2%
	8,143	Alliance Data Systems Corp.		1,424,862
	31,258	Amdocs Ltd.		1,691,370
	13,084	Automatic Data Processing, Inc.		2,090,038
	20,992	DXC Technology Co.		1,349,995
	15,239	Fidelity National Information Services, Inc.		1,723,531
	49,315	Genpact Ltd.		1,734,902
	12,393	Jack Henry & Associates, Inc.		1,719,405
	13,861	PayPal Holdings, Inc.(a)		1,439,326
	89,414	Verra Mobility Corp.(a)		1,064,027

				14,237,456

		Machinery – 0.2%
	34,548	Terex Corp.		1,110,027
	60,794	Trinity Industries, Inc.		1,321,054

				2,431,081

		Media – 0.1%
	20,003	Loral Space & Communications, Inc.(a)		721,108

		Multi-Utilities – 0.5%
	5,406	Ameren Corp.		397,611
	20,330	CenterPoint Energy, Inc.		624,131
	7,195	CMS Energy Corp.		399,610
	4,501	Consolidated Edison, Inc.		381,730
	8,439	Dominion Energy, Inc.		646,934
	3,211	DTE Energy Co.		400,540
	5,640	NorthWestern Corp.		397,112
	6,742	Public Service Enterprise Group, Inc.		400,542
	17,490	Sempra Energy		2,201,292
	5,050	WEC Energy Group, Inc.		399,354

				6,248,856

		Multiline Retail – 0.1%
	13,192	Dollar Tree, Inc.(a)		1,385,688


Shares			Description	Value (†)
	Common Stocks – continued
			Oil, Gas & Consumable Fuels – 0.5%
		58,803	Altus Mistream Co., Class A(a)	$	346,937
		22,130	Cheniere Energy, Inc.(a)		1,512,807
		26,349	CVR Energy, Inc.		1,085,579
		10,153	Diamondback Energy, Inc.		1,030,834
		20,805	Hess Corp.		1,253,085
		36,860	Peabody Energy Corp.		1,044,244

					6,273,486

			Pharmaceuticals – 0.4%
		12,290	Johnson & Johnson		1,718,019
		20,447	Merck & Co., Inc.		1,700,577
		40,206	Pfizer, Inc.		1,707,549

					5,126,145

			Professional Services – 0.2%
		13,054	Verisk Analytics, Inc.		1,736,182

			Real Estate Management & Development – 0.1%
		33,059	CBRE Group, Inc., Class A(a)		1,634,768

			REITs—Apartments – 0.3%
		22,438	American Homes 4 Rent, Class A		509,791
		8,207	Apartment Investment & Management Co., Class A		412,730
		2,017	AvalonBay Communities, Inc.		404,873
		4,014	Camden Property Trust		407,421
		5,394	Equity Residential		406,276
		3,702	Mid-America Apartment Communities, Inc.		404,740
		8,913	UDR, Inc.		405,185

					2,951,016

			REITs—Diversified – 0.0%
		6,517	W.P. Carey, Inc.		510,477

			REITs—Health Care – 0.1%
		8,093	National Health Investors, Inc.		635,705

			REITs—Manufactured Homes – 0.1%
		3,514	Equity LifeStyle Properties, Inc.		401,650
		3,407	Sun Communities, Inc.		403,798

					805,448

			REITs—Mortgage – 1.0%
		36,725	AG Mortgage Investment Trust, Inc.		618,449
		35,702	AGNC Investment Corp.		642,636
		62,523	Annaly Capital Management, Inc.		624,605
		32,797	ARMOUR Residential REIT, Inc.		640,525
		11,574	Blackstone Mortgage Trust, Inc., Class A		399,997
		199,330	Capstead Mortgage Corp.		1,712,245
		33,570	Chimera Investment Corp.		629,102
		90,512	Granite Point Mortgage Trust, Inc.		1,680,808
		39,780	Invesco Mortgage Capital, Inc.		628,524
		64,569	KKR Real Estate Finance Trust, Inc.		1,292,671


Shares			Description	Value (†)
	Common Stocks – continued
			REITs—Mortgage – continued
		103,867	New York Mortgage Trust, Inc.	$	632,550
		31,368	PennyMac Mortgage Investment Trust		649,631
		45,001	Ready Capital Corp.		660,165
		17,775	Starwood Property Trust, Inc.		397,271
		46,473	Two Harbors Investment Corp.		628,780

					11,837,959

			REITs—Office Property – 0.1%
		9,985	Douglas Emmett, Inc.		403,594
		12,304	Equity Commonwealth		402,218
		14,172	Highwoods Properties, Inc.		662,966

					1,468,778

			REITs—Shopping Centers – 0.1%
		3,099	Alexander’s, Inc.		1,165,751

			REITs—Warehouse/Industrials – 0.0%
		8,326	Liberty Property Trust		403,145

			Road & Rail – 0.1%
		19,267	Genesee & Wyoming, Inc., Class A(a)		1,678,926

			Semiconductors & Semiconductor Equipment – 0.2%
		52,355	ON Semiconductor Corp.(a)		1,076,942
		9,606	Xilinx, Inc.		1,217,945

					2,294,887

			Software – 1.1%
		7,438	Autodesk, Inc.(a)		1,158,989
		22,604	Citrix Systems, Inc.		2,252,715
		13,877	Microsoft Corp.		1,636,653
		55,246	Open Text Corp.		2,123,104
		8,149	salesforce.com, inc.(a)		1,290,557
		4,932	ServiceNow, Inc.(a)		1,215,689
		45,254	Symantec Corp.		1,040,389
		98,740	TiVo Corp.		920,257
		11,763	Zendesk, Inc.(a)		999,855

					12,638,208

			Specialty Retail – 0.4%
		8,235	Advance Auto Parts, Inc.		1,404,315
		15,470	Lowe’s Cos., Inc.		1,693,501
		44,575	Rent-A-Center, Inc.(a)		930,280
		12,228	Tiffany & Co.		1,290,665

					5,318,761

			Thrifts & Mortgage Finance – 0.2%
		104,966	Capitol Federal Financial, Inc.		1,401,296
		70,743	Oritani Financial Corp.		1,176,456

					2,577,752


Shares			Description	Value (†)
	Common Stocks – continued
			Trading Companies & Distributors – 0.3%
		48,343	HD Supply Holdings, Inc.(a)	$	2,095,669
		28,656	WESCO International, Inc.(a)		1,519,055

					3,614,724

			Water Utilities – 0.1%
		3,765	American Water Works Co., Inc.		392,539
		10,784	Aqua America, Inc.		392,969

					785,508

			Wireless Telecommunication Services – 0.1%
		23,885	T-Mobile US, Inc.(a)		1,650,454

			Total Common Stocks (Identified Cost $212,060,139)		218,142,310

		Exchange-Traded Funds – 4.1%
		574,347	iShares^® iBoxx $ High Yield Corporate Bond ETF (Identified Cost $49,649,804)		49,663,785

		Closed-End Investment Companies – 0.8%
		94,729	Apollo Investment Corp.		1,434,197
		98,978	Ares Capital Corp.		1,696,483
		62,464	Barings BDC, Inc.		612,772
		86,019	BlackRock TCP Capital Corp.		1,219,749
		63,541	Golub Capital BDC, Inc.		1,136,113
		129,445	Hercules Capital, Inc.		1,638,774
		87,871	TCG BDC, Inc.		1,272,372

			Total Closed-End Investment Companies (Identified Cost $8,994,920)		9,010,460

Principal Amount
	Short-Term Investments – 75.0%
			Certificates of Deposit – 56.7%
$		30,000,000	National Bank of Kuwait (NY), 2.550%, 4/01/2019		30,000,188
		50,000,000	National Bank of Canada (NY), 1-month LIBOR + 0.150%, 2.643%, 4/10/2019(b)(c)		50,001,459
		20,000,000	DZ Bank (NY), 2.700%, 4/10/2019		20,001,623
		35,000,000	Landesbank Hessen (NY), 2.760%, 4/10/2019		35,003,631
		10,000,000	Norinchukin Bank (NY), 2.680%, 4/17/2019		10,001,107
		30,000,000	Oversea-Chinese Banking Corp. Ltd. (NY), 2.600%, 4/25/2019		30,002,013
		20,000,000	Sumitomo Mitsui Bank (NY), 2.780%, 5/10/2019		20,007,101
		30,000,000	Toronto-Dominion Bank (NY), 2.550%, 5/13/2019		30,000,439
		50,000,000	Dexia Credit Local S.A. (NY), (Credit Support: Belgium, France, Luxembourg), 3-month LIBOR + 0.100%, 2.783%, 5/17/2019(b)(c)		50,005,719


Principal Amount		Description	Value (†)
		Certificates of Deposit – continued
$	40,000,000	Westpac Banking Corp. (NY), 1-month LIBOR + 0.270%, 2.758%, 5/20/2019(b)	$	40,015,726
	20,000,000	Banco Del Estado De Chile (NY), 2.590%, 6/04/2019		20,001,498
	40,000,000	Nordea Bank ABP (NY), 2.540%, 6/11/2019		40,003,504
	36,000,000	Svenska Handelsbanken (NY), 1-month LIBOR + 0.280%, 2.773%, 6/11/2019(b)		36,018,625
	25,000,000	Royal Bank of Canada (NY), 1-month LIBOR + 0.310%, 2.802%, 6/12/2019(b)(c)		25,014,548
	11,000,000	Sumitomo Mitsui Trust Bank (NY), 2.570%, 6/13/2019		11,000,409
	45,000,000	Mizuho Bank Ltd. (NY), 2.620%, 6/17/2019		45,008,480
	25,000,000	DZ Bank (NY), 2.580%, 6/19/2019		25,001,816
	25,000,000	Royal Bank of Canada (NY), 3-month LIBOR + 0.130%, 2.913%, 7/10/2019(b)(c)		25,009,419
	10,300,000	Swedbank (NY), 2.700%, 7/16/2019		10,305,990
	39,000,000	Sumitomo Mitsui Trust Bank (NY), 2.600%, 7/18/2019		39,001,350
	25,000,000	Sumitomo Mitsui Bank (NY), 2.630%, 9/04/2019		25,006,209
	5,000,000	Toronto-Dominion Bank (NY), 2.610%, 9/16/2019		5,000,212
	20,000,000	Commonwealth Bank of Australia (NY), 1-month LIBOR + 0.320%, 2.810%, 10/04/2019(b)		20,022,732
	15,000,000	Bank of Montreal (IL), 3-month LIBOR + 0.110%, 2.904%, 10/04/2019(b)(c)		15,006,751
	25,000,000	Commonwealth Bank of Australia (NY), 1-month LIBOR + 0.110%, 2.593%, 10/08/2019(b)		25,000,622

				681,441,171

		Commercial Paper – 8.8%
	11,000,000	MUFG Bank Ltd. (NY), 2.402%, 4/04/2019(d)		10,995,565
	25,000,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.535%, 4/16/2019(d)		24,969,325
	25,000,000	Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 2.535%, 4/23/2019(d)		24,957,240
	15,000,000	Santander UK PLC, 2.637%, 5/03/2019(d)		14,963,877
	30,000,000	ING (U.S.) Funding LLC, 1-month LIBOR + 0.310%, 2.800%, 6/03/2019(b)		30,013,967

				105,899,974

		Time Deposits – 7.0%
	57,000,000	Skandinaviska Enskilda Banken (NY), 2.340%, 4/01/2019(e)		57,000,000
	26,850,000	National Bank of Kuwait (NY), 2.370%, 4/01/2019(e)		26,850,000

				83,850,000


Principal Amount		Description	Value (†)
		Treasuries – 2.5%
$	9,600,000	U.S. Treasury Bills, 2.329%-2.371%, 5/02/2019(d)(f)(g)	$	9,580,584
	11,000,000	U.S. Treasury Bills, 2.336%, 4/04/2019(d)(g)		10,997,835
	9,900,000	U.S. Treasury Bills, 2.405%, 6/06/2019(d)(g)		9,857,166

				30,435,585

		Total Short-Term Investments (Identified Cost $901,483,971)		901,626,730

		Total Investments – 98.0% (Identified Cost $1,172,188,834)		1,178,443,285
		Other assets less liabilities – 2.0%		24,372,376

		Net Assets – 100.0%	$	1,202,815,661

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 March 31, 2019, the value of the Fund’s investment in the Subsidiary was $22,510,901 representing 1.87% of the Fund’s net assets.

(†)

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
$165,230,209	$	1,246,098		0.10	%

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

(a)	Non-income producing security.

(b)	Variable rate security. Rate as of March 31, 2019 is disclosed.

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

(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 March 31, 2019 is disclosed.

(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.

(g)	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

SLM

Sallie Mae

CHF

Swiss Franc

NOK

Norwegian Krone

NZD

New Zealand Dollar

SEK

Swedish Krona

Forward Foreign Currency Contracts

At March 31, 2019, 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		6/19/2019		CHF		B	14,625,000	$	14,618,831	$	14,795,836	$	177,005
UBS AG		6/19/2019		NOK		S	20,000,000		2,346,204		2,325,810		20,394
UBS AG		6/19/2019		NOK		S	100,000,000		11,558,005		11,629,048		(71,043	)
UBS AG		6/19/2019		NZD		S	76,200,000		52,251,633		51,969,422		282,211
UBS AG		6/19/2019		SEK		B	504,000,000		54,005,365		54,526,483		521,118
UBS AG		6/19/2019		SEK		B	162,000,000		17,629,542		17,526,370		(103,172	)
UBS AG		6/19/2019		SEK		S	100,000,000		10,940,848		10,818,747		122,101

Total												$	948,614

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 March 31, 2019, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
2 Year U.S. Treasury Note		6/28/2019		2,237	$	475,452,796	$	476,690,719	$	1,237,923
5 Year U.S. Treasury Note		6/28/2019		712		81,729,343		82,469,625		740,282
10 Year Canada Government Bond		6/19/2019		428		43,741,385		44,531,088		789,703
10 Year U.S. Treasury Note		6/19/2019		1,729		212,215,282		214,774,219		2,558,937
ASX SPI 200^™		6/20/2019		52		5,704,540		5,696,232		(8,308	)
Australian Dollar		6/17/2019		1,003		70,825,785		71,303,270		477,485
Canadian Dollar		6/18/2019		683		51,091,370		51,245,490		154,120
DAX		6/21/2019		266		86,293,109		86,043,211		(249,898	)
E-mini Russell 2000		6/21/2019		460		35,471,045		35,507,400		36,355
Euro Schatz		6/06/2019		457		57,314,423		57,402,851		88,428
EURO STOXX 50^®		6/21/2019		44		1,603,743		1,614,961		11,218
Euro-BTP		6/06/2019		360		51,386,316		52,283,884		897,568
Eurodollar		9/16/2019		47		11,462,425		11,460,950		(1,475	)
Eurodollar		6/17/2019		98		23,858,100		23,876,475		18,375
FTSE 100 Index		6/21/2019		425		39,157,497		39,918,616		761,119
German Euro Bund		6/06/2019		476		86,970,287		88,817,765		1,847,478
Hang Seng Index^®		4/29/2019		53		9,687,985		9,815,865		127,880
MSCI Emerging Markets Index		6/21/2019		355		18,809,400		18,768,850		(40,550	)
S&P/TSX 60 Index		6/20/2019		41		5,848,109		5,872,878		24,769
TOPIX		6/13/2019		158		22,783,335		22,695,660		(87,675	)

Total									$	9,383,734


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		6/19/2019		77	$	3,617,075	$	3,678,675	$	61,600
Brent Crude Oil		4/30/2019		671		45,064,550		45,346,180		281,630
Copper LME		6/19/2019		520		82,838,050		84,324,500		1,486,450
Gasoline		4/30/2019		17		1,293,625		1,344,105		50,480
Gold		6/26/2019		362		47,658,660		47,005,700		(652,960	)
Natural Gas		4/26/2019		317		8,866,490		8,438,540		(427,950	)

Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Long Futures Contracts – continued
New York Harbor ULSD		4/30/2019		194		15,854,656	$	16,062,968	$	208,312
Nickel LME		6/19/2019		66		4,922,874		5,142,060		219,186
Silver		5/29/2019		39		3,109,825		2,946,450		(163,375	)
Soybean Oil		7/12/2019		609		11,029,146		10,483,326		(545,820	)
Sugar		4/30/2019		216		3,099,444		3,031,258		(68,186	)
Wheat		7/12/2019		864		21,223,800		20,023,200		(1,200,600	)
Zinc LME		6/19/2019		476		32,031,970		34,923,525		2,891,555

Total									$	2,140,322

At March 31, 2019, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year Australia Government Bond		6/17/2019		712	$	70,051,414	$	70,048,011	$	3,403
30 Year U.S. Treasury Bond		6/19/2019		325		47,739,140		48,638,281		(899,141	)
British Pound		6/17/2019		37		3,063,331		3,019,200		44,131
E-mini S&P 500^®		6/21/2019		284		39,800,222		40,296,760		(496,538	)
Euro		6/17/2019		753		106,700,100		106,253,006		447,094
Euro-OAT		6/06/2019		74		13,471,122		13,503,159		(32,037	)
Japanese Yen		6/17/2019		25		2,846,906		2,837,031		9,875
UK Long Gilt		6/26/2019		618		102,833,102		104,131,709		(1,298,607	)

Total									$	(2,221,820	)


Commodity Futures¹	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		6/19/2019		339	$	15,812,837	$	16,195,725	$	(382,888	)
Cocoa		5/15/2019		104		2,359,060		2,371,200		(12,140	)
Coffee		5/20/2019		79		2,955,582		2,799,563		156,019
Copper LME		6/19/2019		439		67,430,400		71,189,338		(3,758,938	)
Corn		7/12/2019		879		17,087,388		16,096,688		990,700
Cotton		5/08/2019		481		18,194,025		18,665,205		(471,180	)
Live Cattle		6/28/2019		269		13,036,670		12,804,400		232,270
Low Sulfur Gasoil		5/10/2019		19		1,145,975		1,153,775		(7,800	)
Nickel LME		6/19/2019		84		6,417,594		6,544,440		(126,846	)
Soybean		7/12/2019		307		14,445,138		13,780,463		664,675
Soybean Meal		7/12/2019		618		19,560,380		19,158,000		402,380
WTI Crude Oil		4/22/2019		542		31,412,830		32,595,880		(1,183,050	)

Total									$	(3,496,798	)

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;

•

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 March 31, 2019, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	218,142,310	$	—	$	—	$	218,142,310
Exchange-Traded Funds		49,663,785		—		—		49,663,785
Closed-End Investment Companies		9,010,460		—		—		9,010,460
Short-Term Investments*		—		901,626,730		—		901,626,730
Forward Foreign Currency Contracts (unrealized appreciation)		—		1,122,829		—		1,122,829
Futures Contracts (unrealized appreciation)		17,021,183		900,217		—		17,921,400

Total	$	293,837,738	$	903,649,776	$	—	$	1,197,487,514

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(174,215	)	$	—	$	(174,215	)
Futures Contracts (unrealized depreciation)		(11,770,081	)		(345,881	)		—		(12,115,962	)

Total	$	(11,770,081	)	$	(520,096	)	$	—	$	(12,290,177	)

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

For the period ended March 31, 2019, 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 March 31, 2019, the Fund used long and short contracts on U.S. and foreign government bonds, U.S. equity market indices, foreign currencies, commodities (through investments in the Subsidiary), long contracts on foreign equity market indices, 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 March 31, 2019:


Assets	Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	1,122,829		$	—

Exchange-traded asset derivatives
Interest rate contracts	$	—		$	8,182,097
Foreign exchange contracts		—			1,132,705
Commodity contracts		—			7,645,257
Equity contracts		—			961,341

Total exchange-traded asset derivatives	$	—		$	17,921,400

Total asset derivatives	$	1,122,829		$	17,921,400



Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(174,215	)	$	—

Exchange-traded liability derivatives
Interest rate contracts	$	—		$	(2,231,260	)
Foreign exchange contracts		—			—
Commodity contracts		—			(9,001,733	)
Equity contracts		—			(882,969	)

Total exchange-traded liability derivatives	$	—		$	(12,115,962	)

Total liability derivatives	$	(174,215	)	$	(12,115,962	)

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 March 31, 2019, the Fund did not hold any derivative positions subject to these provisions that are in a net liability position by counterparty.


	Maximum Amount of Loss – Gross		Maximum Amount of Loss – Net
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	1,122,829	$	948,614
Collateral pledged to UBS AG		2,636,968		2,636,968

Total over-the-counter counterparty credit risk		3,759,797		3,585,582

Exchange-traded counterparty credit risk
Futures contracts		17,921,400		17,921,400
Margin with brokers		49,838,167		49,838,167

Total exchange-traded counterparty credit risk		67,759,567		67,759,567

Total counterparty credit risk	$	71,519,364	$	71,345,149

Investment Summary at March 31, 2019 (Unaudited)


Certificates of Deposit	56.7	%
Common Stocks	18.1
Commercial Paper	8.8
Time Deposits	7.0
Exchange-Traded Funds	4.1
Treasuries	2.5
Closed-End Investment Companies	0.8

Total Investments	98.0
Other assets less liabilities (including forward foreign currency and futures contracts)	2.0

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2019 (Unaudited)

Vaughan Nelson Value Opportunity Fund


Shares		Description	Value (†)
	Common Stocks – 95.1% of Net Assets
		Banks – 5.1%
	222,400	Bank of NT Butterfield & Son Ltd. (The)	$	7,979,712
	242,050	Chemical Financial Corp.		9,962,778
	121,225	PacWest Bancorp		4,559,272

				22,501,762

		Building Products – 1.9%
	68,300	Allegion PLC		6,195,493
	44,875	Masonite International Corp.(a)		2,238,814

				8,434,307

		Capital Markets – 4.0%
	297,550	Ares Management Corp., Class A		6,906,135
	94,775	Nasdaq, Inc.		8,291,865
	52,500	SEI Investments Co.		2,743,125

				17,941,125

		Chemicals – 1.5%
	88,375	FMC Corp.		6,788,967

		Commercial Services & Supplies – 1.8%
	104,600	Brink’s Co. (The)		7,887,886

		Construction & Engineering – 1.0%
	393,150	WillScot Corp.(a)		4,360,034

		Consumer Finance – 1.0%
	144,300	Synchrony Financial		4,603,170

		Containers & Packaging – 4.1%
	43,125	AptarGroup, Inc.		4,588,069
	52,075	Avery Dennison Corp.		5,884,475
	143,000	Crown Holdings, Inc.(a)		7,803,510

				18,276,054

		Distributors – 0.7%
	18,350	POOL CORP.		3,027,200

		Diversified Consumer Services – 2.3%
	17,500	Bright Horizons Family Solutions, Inc.(a)		2,224,425
	294,975	Laureate Education, Inc., Class A(a)		4,415,776
	72,150	ServiceMaster Global Holdings, Inc.(a)		3,369,405

				10,009,606

		Electric Utilities – 4.6%
	179,300	Evergy, Inc.		10,408,365
	142,575	Eversource Energy		10,115,696

				20,524,061

		Electrical Equipment – 2.5%
	55,600	AMETEK, Inc.		4,613,132


Shares		Description	Value (†)
	Common Stocks – continued
		Electrical Equipment – continued
	32,450	Hubbell, Inc.	$	3,828,451
	97,750	nVent Electric PLC		2,637,295

				11,078,878

		Electronic Equipment, Instruments & Components – 3.2%
	43,125	CDW Corp.		4,155,956
	116,550	Keysight Technologies, Inc.(a)		10,163,160

				14,319,116

		Energy Equipment & Services – 0.7%
	106,725	Baker Hughes, a GE Co.		2,958,417

		Entertainment – 1.3%
	55,925	Electronic Arts, Inc.(a)		5,683,658

		Health Care Equipment & Supplies – 3.3%
	16,050	Cooper Cos., Inc. (The)		4,753,528
	127,650	Hologic, Inc.(a)		6,178,260
	33,300	West Pharmaceutical Services, Inc.		3,669,660

				14,601,448

		Health Care Providers & Services – 1.5%
	123,375	Centene Corp.(a)		6,551,213

		Hotels, Restaurants & Leisure – 1.2%
	187,825	Aramark		5,550,229

		Independent Power & Renewable Electricity Producers – 3.6%
	335,525	Atlantica Yield PLC		6,529,316
	366,700	Vistra Energy Corp.		9,545,201

				16,074,517

		Insurance – 7.1%
	97,300	Allstate Corp. (The)		9,163,714
	114,400	Arthur J. Gallagher & Co.		8,934,640
	157,950	Athene Holding Ltd., Class A(a)		6,444,360
	49,950	Reinsurance Group of America, Inc.		7,091,901

				31,634,615

		IT Services – 12.9%
	31,585	Alliance Data Systems Corp.		5,526,743
	119,100	Booz Allen Hamilton Holding Corp.		6,924,474
	59,350	CACI International, Inc., Class A(a)		10,802,887
	96,900	Fidelity National Information Services, Inc.		10,959,390
	105,025	Fiserv, Inc.(a)		9,271,607
	58,900	Global Payments, Inc.		8,041,028
	80,175	MAXIMUS, Inc.		5,690,822

				57,216,951

		Life Sciences Tools & Services – 2.1%
	64,562	IQVIA Holdings, Inc.(a)		9,287,244


Shares		Description	Value (†)
	Common Stocks – continued
		Machinery – 1.5%
	45,450	Oshkosh Corp.	$	3,414,659
	79,225	Timken Co. (The)		3,455,794

				6,870,453

		Media – 3.6%
	148,125	Nexstar Media Group, Inc., Class A		16,052,306

		Metals & Mining – 0.7%
	395,300	Constellium NV, Class A(a)		3,154,494

		Multi-Utilities – 6.7%
	136,600	Ameren Corp.		10,046,930
	176,300	CMS Energy Corp.		9,791,702
	128,500	WEC Energy Group, Inc.		10,161,780

				30,000,412

		Multiline Retail – 1.0%
	38,850	Dollar General Corp.		4,634,805

		Oil, Gas & Consumable Fuels – 3.4%
	107,150	Continental Resources, Inc.(a)		4,797,105
	705,225	QEP Resources, Inc.(a)		5,493,703
	373,100	WPX Energy, Inc.(a)		4,891,341

				15,182,149

		REITs – Diversified – 3.4%
	67,875	CyrusOne, Inc.		3,559,365
	672,350	New Residential Investment Corp.		11,369,438

				14,928,803

		Semiconductors & Semiconductor Equipment – 1.6%
	47,375	Analog Devices, Inc.		4,987,166
	40,125	Versum Materials, Inc.		2,018,689

				7,005,855

		Software – 2.4%
	63,600	Check Point Software Technologies Ltd.(a)		8,044,764
	25,625	RingCentral, Inc., Class A(a)		2,762,375

				10,807,139

		Textiles, Apparel & Luxury Goods – 1.0%
	129,350	Gildan Activewear, Inc.		4,652,720

		Thrifts & Mortgage Finance – 2.4%
	55,075	Essent Group Ltd.(a)		2,393,009
	174,175	MGIC Investment Corp.(a)		2,297,368
	340,295	Mr. Cooper Group, Inc.(a)		3,263,429
	127,225	Radian Group, Inc.		2,638,647

				10,592,453

		Total Common Stocks (Identified Cost $374,155,065)		423,192,047


Principal Amount		Description	Value (†)
Short-Term Investments – 5.0%
$	22,112,591	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/29/2019 at 1.500% to be repurchased at $22,115,355 on 4/01/2019 collateralized by $22,565,000 U.S. Treasury Note, 2.000% due 11/30/2022 valued at $22,558,298 including accrued interest(b) (Identified Cost $22,112,591)	$	22,112,591

		Total Investments – 100.1% (Identified Cost $396,267,656)		445,304,638
		Other assets less liabilities – (0.1)%		(370,872	)

		Net Assets – 100.0%	$	444,933,766

(†)

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)

REITs

Real Estate Investment Trusts

Fair Value Measurements

•

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 March 31, 2019, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	423,192,047	$	—	$	—	$	423,192,047
Short-Term Investments		—		22,112,591		—		22,112,591

Total	$	423,192,047	$	22,112,591	$	—	$	445,304,638

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

For the period ended March 31, 2019, there were no transfers among Levels 1, 2 and 3.

Industry Summary at March 31, 2019 (Unaudited)


IT Services	12.9	%
Insurance	7.1
Multi-Utilities	6.7
Banks	5.1
Electric Utilities	4.6
Containers & Packaging	4.1
Capital Markets	4.0
Independent Power & Renewable Electricity Producers	3.6
Media	3.6
Oil, Gas & Consumable Fuels	3.4
REITs - Diversified	3.4
Health Care Equipment & Supplies	3.3
Electronic Equipment, Instruments & Components	3.2
Electrical Equipment	2.5
Software	2.4
Thrifts & Mortgage Finance	2.4
Diversified Consumer Services	2.3
Life Sciences Tools & Services	2.1
Other Investments, less than 2% each	18.4
Short-Term Investments	5.0

Total Investments	100.1
Other assets less liabilities	(0.1	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of March 31, 2019 (Unaudited)

Natixis Oakmark Fund


Shares		Description	Value (†)
Common Stocks – 94.7% of Net Assets
		Air Freight & Logistics – 1.1%
	19,325	FedEx Corp.	$	3,505,748

		Airlines – 1.4%
	142,200	American Airlines Group, Inc.		4,516,272

		Auto Components – 1.4%
	37,800	Aptiv PLC		3,004,722
	64,266	Delphi Technologies PLC		1,237,763

				4,242,485

		Automobiles – 4.3%
	483,700	Fiat Chrysler Automobiles NV(a)		7,182,945
	165,600	General Motors Co.		6,143,760

				13,326,705

		Banks – 8.3%
	326,300	Bank of America Corp.		9,002,617
	163,400	Citigroup, Inc.		10,166,748
	136,045	Wells Fargo & Co.		6,573,695

				25,743,060

		Beverages – 1.3%
	23,300	Constellation Brands, Inc., Class A		4,085,189

		Biotechnology – 2.6%
	19,800	Regeneron Pharmaceuticals, Inc.(a)		8,130,276

		Capital Markets – 10.3%
	118,600	Bank of New York Mellon Corp. (The)		5,980,998
	164,800	Charles Schwab Corp. (The)		7,046,848
	18,965	Goldman Sachs Group, Inc. (The)		3,641,090
	29,385	Moody’s Corp.		5,321,330
	14,785	S&P Global, Inc.		3,112,982
	106,500	State Street Corp.		7,008,765

				32,112,013

		Consumer Finance – 4.9%
	278,500	Ally Financial, Inc.		7,655,965
	93,665	Capital One Financial Corp.		7,651,494

				15,307,459

		Electronic Equipment, Instruments & Components – 2.2%
	84,500	TE Connectivity Ltd.		6,823,375

		Energy Equipment & Services – 1.8%
	99,500	Halliburton Co.		2,915,350
	101,900	National Oilwell Varco, Inc.		2,714,616

				5,629,966


Shares		Description	Value (†)
Common Stocks – continued
		Entertainment – 3.2%
	27,900	Netflix, Inc.(a)	$	9,948,024

		Health Care Equipment & Supplies – 1.1%
	40,700	Baxter International, Inc.		3,309,317

		Health Care Providers & Services – 2.9%
	104,585	CVS Health Corp.		5,640,269
	25,707	HCA Healthcare, Inc.		3,351,679

				8,991,948

		Hotels, Restaurants & Leisure – 2.6%
	47,845	Hilton Worldwide Holdings, Inc.		3,976,398
	161,700	MGM Resorts International		4,149,222

				8,125,620

		Industrial Conglomerates – 2.8%
	881,700	General Electric Co.		8,808,183

		Insurance – 2.5%
	181,845	American International Group, Inc.		7,830,246

		Interactive Media & Services – 5.9%
	10,440	Alphabet, Inc., Class A(a)		12,286,732
	36,290	Facebook, Inc., Class A(a)		6,049,180

				18,335,912

		Internet & Direct Marketing Retail – 4.2%
	3,330	Booking Holdings, Inc.(a)		5,810,550
	111,900	eBay, Inc.		4,155,966
	199,200	Qurate Retail, Inc., Class A(a)		3,183,216

				13,149,732

		IT Services – 8.1%
	32,120	Automatic Data Processing, Inc.		5,130,849
	66,700	DXC Technology Co.		4,289,477
	30,865	Gartner, Inc.(a)		4,681,603
	25,885	MasterCard, Inc., Class A		6,094,623
	33,005	Visa, Inc., Class A		5,155,051

				25,351,603

		Machinery – 5.1%
	29,981	Caterpillar, Inc.		4,062,126
	29,460	Cummins, Inc.		4,650,850
	41,855	Parker Hannifin Corp.		7,183,155

				15,896,131

		Media – 5.9%
	20,575	Charter Communications, Inc., Class A(a)		7,137,673
	196,500	Comcast Corp., Class A		7,856,070
	277,900	News Corp., Class A		3,457,076

				18,450,819


Shares		Description	Value (†)
Common Stocks – continued
		Oil, Gas & Consumable Fuels – 4.3%
	109,100	Anadarko Petroleum Corp.	$	4,961,868
	182,900	Apache Corp.		6,339,314
	661,000	Chesapeake Energy Corp.(a)		2,049,100

				13,350,282

		Semiconductors & Semiconductor Equipment – 3.6%
	115,900	Intel Corp.		6,223,830
	46,600	Texas Instruments, Inc.		4,942,862

				11,166,692

		Technology Hardware, Storage & Peripherals – 2.9%
	47,855	Apple, Inc.		9,090,057

		Total Common Stocks (Identified Cost $263,704,079)		295,227,114

Principal Amount
Short-Term Investments – 5.5%
$	17,150,314	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/29/2019 at 1.500% to be repurchased at $17,152,458 on 4/01/2019 collateralized by $17,500,000 U.S. Treasury Note, 2.000% due 11/30/2022 valued at $17,494,803 including accrued interest(b) (Identified Cost $17,150,314)		17,150,314

		Total Investments – 100.2% (Identified Cost $280,854,393)		312,377,428
		Other assets less liabilities – (0.2)%		(591,330	)

		Net Assets – 100.0%	$	311,786,098

(†)

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)

Fair Value Measurements

•

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 March 31, 2019, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	295,227,114	$	—	$	—	$	295,227,114
Short-Term Investments		—		17,150,314		—		17,150,314

Total	$	295,227,114	$	17,150,314	$	—	$	312,377,428

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

For the period ended March 31, 2019, there were no transfers among Levels 1, 2 and 3.

Industry Summary at March 31, 2019 (Unaudited)


Capital Markets	10.3	%
Banks	8.3
IT Services	8.1
Media	5.9
Interactive Media & Services	5.9
Machinery	5.1
Consumer Finance	4.9
Oil, Gas & Consumable Fuels	4.3
Automobiles	4.3
Internet & Direct Marketing Retail	4.2
Semiconductors & Semiconductor Equipment	3.6
Entertainment	3.2
Technology Hardware, Storage & Peripherals	2.9
Health Care Providers & Services	2.9
Industrial Conglomerates	2.8
Biotechnology	2.6
Hotels, Restaurants & Leisure	2.6
Insurance	2.5
Electronic Equipment, Instruments & Components	2.2
Other Investments, less than 2% each	8.1
Short-Term Investments	5.5

Total Investments	100.2
Other assets less liabilities	(0.2	)

Net Assets	100.0	%