NPORT-EX 2 NPORT_NWAQ_94511269_0324.htm HTML

Index 400 Stock Portfolio

SCHEDULE OF INVESTMENTS

March 31, 2024 (unaudited)

 

Common Stocks

(99.6%)

    Shares/
Par + 		   

Value

$ (000’s)

  

Communication Services (1.4%)

 

  

Cable One, Inc.

      2,326       984  

Frontier Communications Parent, Inc. *

      113,068       2,770  

Iridium Communications, Inc.

      63,305       1,656  

The New York Times Co. - Class A

      83,635       3,615  

Nexstar Media Group, Inc.

      16,476       2,839  

TEGNA, Inc.

      100,677       1,504  

TKO Group Holdings, Inc.

      30,620       2,646  

Ziff Davis, Inc. *

      23,505       1,482  

ZoomInfo Technologies, Inc. *

      151,416       2,427  
    

 

 

  

Total

        19,923  
    

 

 

  

Consumer Discretionary (15.5%)

 

  

Adient PLC *

      46,780       1,540  

Aramark

      134,149       4,362  

Autoliv, Inc.

      37,595       4,528  

AutoNation, Inc. *

      13,257       2,195  

Boyd Gaming Corp.

      35,515       2,391  

Brunswick Corp.

      35,173       3,395  

Burlington Stores, Inc. *

      32,682       7,588  

Capri Holdings, Ltd. *

      59,581       2,699  

Carter’s, Inc.

      18,823       1,594  

Choice Hotels International, Inc.

      12,633       1,596  

Churchill Downs, Inc.

      34,697       4,294  

Columbia Sportswear Co.

      17,629       1,431  

Crocs, Inc. *

      30,958       4,452  

Dick’s Sporting Goods, Inc.

      29,735       6,686  

Five Below, Inc. *

      28,211       5,117  

Floor & Decor Holdings, Inc. *

      54,472       7,061  

Fox Factory Holding Corp. *

      21,662       1,128  

GameStop Corp. - Class A *

      137,294       1,719  

The Gap, Inc.

      109,936       3,029  

Gentex Corp.

      119,224       4,306  

The Goodyear Tire & Rubber Co. *

      144,931       1,990  

Graham Holdings Co. - Class B

      1,830       1,405  

Grand Canyon Education, Inc. *

      15,108       2,058  

H&R Block, Inc.

      71,314       3,502  

Harley-Davidson, Inc.

      64,779       2,833  

Helen of Troy, Ltd. *

      12,137       1,399  

Common Stocks

(99.6%)

    Shares/
Par + 		   

Value

$ (000’s)

  

Consumer Discretionary continued

 

Hilton Grand Vacations, Inc. *

      36,428       1,720  

Hyatt Hotels Corp. - Class A

      22,603       3,608  

KB Home

      37,563       2,662  

Lear Corp.

      29,144       4,222  

Leggett & Platt, Inc.

      68,185       1,306  

Lithia Motors, Inc. - Class A

      14,066       4,232  

Macy’s, Inc.

      140,088       2,800  

Marriott Vacations Worldwide Corp.

      16,883       1,819  

Mattel, Inc. *

      180,550       3,577  

Murphy USA, Inc.

      9,698       4,065  

Nordstrom, Inc.

      49,784       1,009  

Ollie’s Bargain Outlet Holdings, Inc. *

      31,482       2,505  

Penn National Gaming, Inc. *

      76,222       1,388  

Penske Automotive Group, Inc.

      9,963       1,614  

Planet Fitness, Inc. - Class A *

      43,671       2,735  

Polaris, Inc.

      27,133       2,717  

PVH Corp.

      30,483       4,286  

RH *

      7,822       2,724  

Scientific Games Corp. - Class A *

      46,026       4,699  

Service Corp. International

      75,518       5,604  

Skechers USA, Inc. - Class A *

      68,286       4,183  

Taylor Morrison Home Corp. *

      54,921       3,414  

Tempur Sealy International, Inc.

      88,055       5,003  

Texas Roadhouse, Inc.

      34,135       5,273  

Thor Industries, Inc.

      27,255       3,198  

Toll Brothers, Inc.

      53,306       6,896  

TopBuild Corp. *

      16,154       7,120  

Travel + Leisure Co.

      37,016       1,812  

Under Armour, Inc. - Class A *

      96,503       712  

Under Armour, Inc. - Class C *

      97,315       695  

Vail Resorts, Inc.

      19,406       4,324  

Valvoline, Inc. *

      66,268       2,954  

Visteon Corp. *

      14,215       1,672  

The Wendy’s Co.

      85,395       1,609  

Whirlpool Corp.

      28,112       3,363  

Williams-Sonoma, Inc.

      32,787       10,411  

Wingstop, Inc.

      15,035       5,509  

Wyndham Hotels & Resorts, Inc.

      42,405       3,255  

Common Stocks

(99.6%)

    Shares/
Par + 		   

Value

$ (000’s)

  

Consumer Discretionary continued

 

YETI Holdings, Inc. *

      44,394       1,711  
    

 

 

  

Total

        216,704  
    

 

 

  

Consumer Staples (4.7%)

 

  

BellRing Brands, Inc. *

      66,948       3,952  

BJ’s Wholesale Club Holdings, Inc. *

      68,176       5,158  

The Boston Beer Co., Inc. - Class A *

      4,810       1,464  

Casey’s General Stores, Inc.

      18,968       6,040  

Celsius Holdings, Inc. *

      75,787       6,284  

Coca-Cola Consolidated, Inc.

      2,396       2,028  

Coty, Inc. - Class A *

      192,172       2,298  

Darling Ingredients, Inc. *

      81,542       3,793  

e.l.f. Beauty, Inc. *

      28,372       5,562  

Flowers Foods, Inc.

      98,199       2,332  

Grocery Outlet Holding Corp. *

      50,740       1,460  

Ingredion, Inc.

      33,326       3,894  

Lancaster Colony Corp.

      10,408       2,161  

Performance Food Group Co. *

      79,525       5,936  

Pilgrim’s Pride Corp. *

      20,575       706  

Post Holdings, Inc. *

      25,743       2,736  

Sprouts Farmers Market, Inc. *

      51,911       3,347  

US Foods Holding Corp. *

      115,610       6,240  
    

 

 

  

Total

        65,391  
    

 

 

  

Energy (5.4%)

     

Antero Midstream Corp.

      174,091       2,448  

Antero Resources Corp. *

      144,401       4,188  

ChampionX Corp.

      97,406       3,496  

Chesapeake Energy Corp.

      56,826       5,048  

Civitas Resources, Inc.

      43,862       3,330  

CNX Resources Corp. *

      77,586       1,840  

DT Midstream, Inc.

      49,565       3,028  

Equitrans Midstream Corp.

      221,455       2,766  

HF Sinclair Corp.

      79,736       4,814  

Matador Resources Co.

      56,631       3,781  

Murphy Oil Corp.

      74,148       3,389  

NOV, Inc.

      201,350       3,930  

Oasis Petroleum, Inc.

      21,099       3,761  

Ovintiv, Inc.

      129,153       6,703  

PBF Energy, Inc. - Class A

      55,590       3,200  
 

 

1

Index 400 Stock Portfolio

 

Common Stocks

(99.6%)

    Shares/
Par + 		    

Value

$ (000’s)

  

Energy continued

      

Permian Resources Corp.

      235,189        4,153  

Range Resources Corp.

      123,339        4,247  

Southwestern Energy Co. *

      562,911        4,267  

Valaris, Ltd. *

      32,043        2,411  

Weatherford International PLC *

      36,963        4,266  
     

 

 

  

Total

         75,066  
     

 

 

  

Financials (16.0%)

      

Affiliated Managers Group, Inc.

      17,281        2,894  

Ally Financial, Inc.

      138,756        5,632  

American Financial Group, Inc.

      33,344        4,551  

Annaly Capital Management, Inc.

      255,608        5,033  

Associated Banc-Corp.

      76,026        1,635  

Bank OZK

      53,780        2,445  

Brighthouse Financial, Inc. *

      32,817        1,691  

Cadence Bank

      93,366        2,708  

The Carlyle Group, Inc.

      110,649        5,191  

CNO Financial Group, Inc.

      55,918        1,537  

Columbia Banking System, Inc.

      106,615        2,063  

Commerce Bancshares, Inc.

      60,549        3,221  

Cullen/Frost Bankers, Inc.

      32,816        3,694  

East West Bancorp, Inc.

      72,034        5,699  

Equitable Holdings, Inc.

      160,380        6,096  

Erie Indemnity Co. - Class A

      12,749        5,120  

Essent Group, Ltd.

      54,485        3,242  

Euronet Worldwide, Inc. *

      22,395        2,462  

Evercore, Inc. - Class A

      17,716        3,412  

F.N.B. Corp.

      183,410        2,586  

Federated Hermes, Inc.

      41,764        1,509  

Fidelity National Financial, Inc.

      132,154        7,017  

First American Financial Corp.

      52,739        3,220  

First Financial Bankshares, Inc.

      65,649        2,154  

First Horizon Corp.

      285,607        4,398  

FirstCash Holdings, Inc.

      18,906        2,411  

Glacier Bancorp, Inc.

      56,676        2,283  

Hancock Whitney Corp.

      44,035        2,027  

The Hanover Insurance Group, Inc.

      18,299        2,492  

Home BancShares, Inc.

      95,796        2,354  

Houlihan Lokey, Inc.

      26,640        3,415  

Common Stocks

(99.6%)

    Shares/
Par + 		    

Value

$ (000’s)

  

Financials continued

      

Interactive Brokers Group, Inc. - Class A

      54,699        6,110  

International Bancshares Corp.

      27,279        1,531  

Janus Henderson Group PLC

      67,739        2,228  

Jefferies Financial Group, Inc.

      86,663        3,822  

Kemper Corp.

      30,906        1,914  

Kinsale Capital Group, Inc.

      11,252        5,904  

MGIC Investment Corp.

      138,906        3,106  

Morningstar, Inc.

      13,314        4,106  

New York Community Bancorp, Inc.

      369,073        1,188  

Old National Bancorp

      149,586        2,604  

Old Republic International Corp.

      133,279        4,094  

Pinnacle Financial Partners, Inc.

      38,875        3,339  

Primerica, Inc.

      17,907        4,530  

Prosperity Bancshares, Inc.

      47,905        3,151  

Reinsurance Group of America, Inc.

      33,687        6,498  

RenaissanceRe Holdings, Ltd.

      26,934        6,330  

RLI Corp.

      20,529        3,048  

SEI Investments Co.

      50,958        3,664  

Selective Insurance Group, Inc.

      30,996        3,384  

SLM Corp.

      112,603        2,454  

SouthState Corp.

      38,849        3,303  

Starwood Property Trust, Inc.

      152,096        3,092  

Stifel Financial Corp.

      52,134        4,075  

Synovus Financial Corp.

      74,749        2,995  

Texas Capital Bancshares, Inc. *

      24,145        1,486  

UMB Financial Corp.

      22,325        1,942  

United Bankshares, Inc.

      68,806        2,463  

Unum Group

      92,922        4,986  

Valley National Bancorp

      217,987        1,735  

Voya Financial, Inc.

      52,647        3,892  

Webster Financial Corp.

      87,926        4,464  

WEX, Inc. *

      21,844        5,189  

Wintrust Financial Corp.

      31,300        3,267  

Zions Bancorp NA

      75,724        3,286  
     

 

 

  

Total

         223,372  
     

 

 

  

Common Stocks

(99.6%)

    Shares/
Par + 		    

Value

$ (000’s)

  

Health Care (7.9%)

      

Acadia Healthcare Co., Inc. *

      47,135        3,734  

Amedisys, Inc. *

      16,680        1,537  

Arrowhead Pharmaceuticals, Inc. *

      63,328        1,811  

Azenta, Inc. *

      28,503        1,718  

Bruker Corp.

      47,400        4,453  

Chemed Corp.

      7,699        4,942  

Cytokinetics, Inc. *

      50,119        3,514  

Doximity, Inc. - Class A *

      62,441        1,680  

Encompass Health Corp.

      51,237        4,231  

Enovis Corp. *

      25,393        1,586  

Envista Holdings Corp. *

      87,660        1,874  

Exelixis, Inc. *

      154,973        3,677  

Globus Medical, Inc. - Class A *

      58,966        3,163  

Haemonetics Corp. *

      25,958        2,216  

Halozyme Therapeutics, Inc. *

      67,520        2,747  

HealthEquity, Inc. *

      43,856        3,580  

Integra LifeSciences Holdings Corp. *

      34,764        1,232  

Jazz Pharmaceuticals PLC *

      32,180        3,875  

Lantheus Holdings, Inc. *

      35,007        2,179  

LivaNova PLC *

      27,535        1,540  

Masimo Corp. *

      22,687        3,332  

Medpace Holdings, Inc. *

      11,919        4,817  

Neogen Corp. *

      100,711        1,589  

Neurocrine Biosciences, Inc. *

      50,861        7,015  

Option Care Health, Inc. *

      90,538        3,037  

Penumbra, Inc. *

      19,728        4,403  

Perrigo Co. PLC

      69,262        2,230  

Progyny, Inc. *

      42,617        1,626  

QuidelOrtho Corp. *

      25,274        1,212  

R1 RCM, Inc. *

      100,732        1,297  

Repligen Corp. *

      26,540        4,881  

Roivant Sciences, Ltd. *

      172,577        1,819  

Shockwave Medical, Inc. *

      18,859        6,141  

Sotera Health Co. *

      63,562        763  

Tenet Healthcare Corp. *

      51,907        5,456  

United Therapeutics Corp. *

      24,020        5,518  
     

 

 

  

Total

         110,425  
     

 

 

  
 

 

2

Index 400 Stock Portfolio

 

Common Stocks

(99.6%)

    Shares/
Par + 		    

Value

$ (000’s)

  

Industrials (21.9%)

      

Acuity Brands, Inc.

      15,598        4,192  

Advanced Drainage Systems, Inc.

      34,912        6,013  

AECOM

      69,442        6,811  

AGCO Corp.

      31,767        3,908  

Applied Industrial Technologies, Inc.

      19,765        3,905  

ASGN, Inc. *

      24,126        2,527  

Avis Budget Group, Inc.

      9,442        1,156  

The Brink’s Co.

      23,027        2,127  

BWX Technologies, Inc.

      46,775        4,800  

CACI International, Inc. - Class A *

      11,391        4,315  

Carlisle Cos., Inc.

      24,820        9,726  

Chart Industries, Inc. *

      21,462        3,535  

Clean Harbors, Inc. *

      25,710        5,176  

Comfort Systems USA, Inc.

      18,202        5,783  

Concentrix Corp.

      24,033        1,591  

Core & Main, Inc. - Class A *

      87,189        4,992  

Crane Co.

      24,975        3,375  

Curtiss-Wright Corp.

      19,546        5,003  

Donaldson Co., Inc.

      61,406        4,586  

EMCOR Group, Inc.

      24,046        8,421  

EnerSys

      20,658        1,951  

ESAB Corp.

      28,958        3,202  

ExlService Holdings, Inc. *

      84,298        2,681  

Exponent, Inc.

      25,875        2,140  

Flowserve Corp.

      67,065        3,064  

Fluor Corp. *

      87,085        3,682  

Fortune Brands Home & Security, Inc.

      64,452        5,457  

FTI Consulting, Inc. *

      17,780        3,739  

GATX Corp.

      18,145        2,432  

Genpact, Ltd.

      84,406        2,781  

Graco, Inc.

      86,273        8,063  

GXO Logistics, Inc. *

      60,802        3,269  

Hertz Global Holdings, Inc. *

      66,387        520  

Hexcel Corp.

      43,134        3,142  

Insperity, Inc.

      18,107        1,985  

ITT, Inc.

      41,964        5,708  

KBR, Inc.

      69,005        4,393  

Kirby Corp. *

      30,208        2,879  

Knight-Swift Transportation Holdings, Inc.

      82,481        4,538  

Landstar System, Inc.

      18,373        3,542  

Lennox International, Inc.

      16,368        8,000  

Lincoln Electric Holdings, Inc.

      29,237        7,468  

ManpowerGroup, Inc.

      24,948        1,937  

MasTec, Inc. *

      30,896        2,881  

MAXIMUS, Inc.

      31,195        2,617  

MDU Resources Group, Inc.

      104,086        2,623  

Common Stocks

(99.6%)

    Shares/
Par + 		    

Value

$ (000’s)

  

Industrials continued

      

The Middleby Corp. *

      27,398        4,405  

MSA Safety, Inc.

      18,888        3,657  

MSC Industrial Direct Co., Inc. - Class A

      23,351        2,266  

nVent Electric PLC

      84,803        6,394  

Oshkosh Corp.

      33,435        4,170  

Owens Corning, Inc.

      45,427        7,577  

Paylocity Holding Corp. *

      22,170        3,810  

RBC Bearings, Inc. *

      14,818        4,006  

Regal Rexnord Corp.

      33,888        6,103  

Ryder System, Inc.

      22,655        2,723  

Saia, Inc. *

      13,570        7,938  

Science Applications International Corp.

      26,611        3,470  

Sensata Technologies Holding PLC

      77,363        2,842  

Simpson Manufacturing Co., Inc.

      21,812        4,475  

Stericycle, Inc. *

      47,292        2,495  

Terex Corp.

      34,246        2,205  

Tetra Tech, Inc.

      27,328        5,048  

The Timken Co.

      33,176        2,901  

The Toro Co.

      53,361        4,889  

Trex Co., Inc. *

      55,507        5,537  

UFP Industries, Inc.

      31,595        3,886  

Valmont Industries, Inc.

      10,678        2,438  

Watsco, Inc.

      15,987        6,906  

Watts Water Technologies, Inc. - Class A

      13,989        2,973  

Werner Enterprises, Inc.

      32,429        1,269  

WESCO International, Inc.

      22,452        3,846  

Woodward, Inc.

      30,820        4,750  

XPO Logistics, Inc. *

      59,349        7,242  
     

 

 

  

Total

         306,857  
     

 

 

  

Information Technology (9.4%)

 

   

Allegro Microsystems, Inc. *

      36,524        985  

Amkor Technology, Inc.

      52,761        1,701  

AppFolio, Inc. - Class A *

      10,436        2,575  

Arrow Electronics, Inc. *

      27,505        3,561  

Aspen Technology, Inc. *

      14,292        3,048  

Avnet, Inc.

      46,188        2,290  

Belden, Inc.

      21,305        1,973  

Blackbaud, Inc. *

      21,556        1,598  

Ciena Corp. *

      74,011        3,660  

Cirrus Logic, Inc. *

      27,568        2,552  

Cognex Corp.

      87,988        3,732  

Coherent Corp. *

      67,509        4,092  

CommVault Systems, Inc. *

      22,317        2,264  

Crane Holdings Co.

      24,676        1,527  

Common Stocks

(99.6%)

    Shares/
Par + 		    

Value

$ (000’s)

  

Information Technology continued

 

Dolby Laboratories, Inc. - Class A

      30,409        2,547  

Dropbox, Inc. - Class A *

      130,944        3,182  

Dynatrace, Inc. *

      122,549        5,691  

GoDaddy, Inc. - Class A *

      71,981        8,543  

IPG Photonics Corp. *

      15,110        1,370  

Kyndryl Holdings, Inc. *

      117,614        2,559  

Lattice Semiconductor Corp. *

      70,551        5,519  

Littelfuse, Inc.

      12,729        3,085  

Lumentum Holdings, Inc. *

      34,450        1,631  

MACOM Technology Solutions Holdings, Inc. *

      27,995        2,677  

Manhattan Associates, Inc. *

      31,469        7,875  

MKS Instruments, Inc.

      32,133        4,274  

Novanta, Inc. *

      18,304        3,199  

Onto Innovation, Inc. *

      25,087        4,543  

Power Integrations, Inc.

      29,062        2,079  

Pure Storage, Inc. *

      151,815        7,893  

Qualys, Inc. *

      18,802        3,138  

Rambus, Inc. *

      54,952        3,397  

Silicon Laboratories, Inc. *

      16,304        2,343  

Synaptics, Inc. *

      20,090        1,960  

TD SYNNEX Corp.

      29,157        3,298  

Teradata Corp. *

      49,989        1,933  

Universal Display Corp.

      22,270        3,751  

Vishay Intertechnology, Inc.

      64,525        1,463  

Vontier Corp.

      78,882        3,578  

The Western Union Co.

      179,153        2,505  

Wolfspeed, Inc. *

      64,301        1,897  
     

 

 

  

Total

         131,488  
     

 

 

  

Materials (7.0%)

      

Alcoa Corp.

      91,223        3,082  

AptarGroup, Inc.

      33,743        4,855  

Arcadium Lithium PLC *

      527,000        2,271  

Ashland Global Holdings, Inc.

      25,605        2,493  

Avient Corp.

      46,596        2,022  

Axalta Coating Systems, Ltd. *

      112,492        3,869  

Berry Global Group, Inc.

      59,120        3,576  

Cabot Corp.

      28,333        2,612  

The Chemours Co.

      75,872        1,992  

Cleveland-Cliffs, Inc. *

      254,693        5,792  

Commercial Metals Co.

      59,490        3,496  

Crown Holdings, Inc.

      61,183        4,849  

Eagle Materials, Inc.

      17,609        4,785  

Graphic Packaging Holding Co.

      156,434        4,565  
 

 

3

Index 400 Stock Portfolio

 

Common Stocks
(99.6%)		    Shares/
Par + 		    

Value

$ (000’s)

  

Materials continued

      

Greif, Inc. - Class A

      13,021        899  

Knife River Corp. *

      28,913        2,344  

Louisiana-Pacific Corp.

      32,806        2,753  

MP Materials Corp. *

      73,619        1,053  

NewMarket Corp.

      3,529        2,240  

Olin Corp.

      61,310        3,605  

Reliance, Inc.

      29,375        9,817  

Royal Gold, Inc.

      33,577        4,090  

RPM International, Inc.

      65,871        7,835  

The Scotts Miracle-Gro Co.

      21,443        1,600  

Silgan Holdings, Inc.

      41,370        2,009  

Sonoco Products Co.

      50,069        2,896  

United States Steel Corp.

      114,356        4,664  

Westlake Corp.

      16,374        2,502  
     

 

 

  

Total

         98,566  
     

 

 

  

Real Estate (7.1%)

      

Agree Realty Corp.

      51,279        2,929  

American Homes 4 Rent - Class A

      162,567        5,979  

Apartment Income REIT Corp.

      73,850        2,398  

Brixmor Property Group, Inc.

      153,645        3,603  

Corporate Office Properties Trust

      57,352        1,386  

Cousins Properties, Inc.

      77,576        1,865  

CubeSmart LP

      114,934        5,197  

EastGroup Properties, Inc.

      24,381        4,383  

EPR Properties

      38,503        1,635  

Equity LifeStyle Properties, Inc.

      95,289        6,137  

First Industrial Realty Trust, Inc.

      67,610        3,552  

Gaming and Leisure Properties, Inc.

      136,481        6,288  

Healthcare Realty Trust, Inc.

      194,678        2,755  

Independence Realty Trust, Inc.

      114,713        1,850  

Jones Lang LaSalle, Inc. *

      24,316        4,744  

Kilroy Realty Corp.

      54,572        1,988  

Kite Realty Group Trust

      112,136        2,431  

Lamar Advertising Co. - Class A

      44,764        5,345  

National Retail Properties, Inc.

      93,269        3,986  

National Storage Affiliates Trust

      39,481        1,546  

Omega Healthcare Investors, Inc.

      125,372        3,971  

Park Hotels & Resorts, Inc.

      107,330        1,877  

PotlatchDeltic Corp.

      40,566        1,907  

Rayonier, Inc.

      69,728        2,318  
Common Stocks
(99.6%)		    Shares/
Par + 		    

Value

$ (000’s)

  

Real Estate continued

      

Rexford Industrial Realty, Inc.

      107,721        5,418  

Sabra Health Care REIT, Inc.

      118,185        1,746  

STAG Industrial, Inc.

      92,807        3,568  

Vornado Realty Trust

      81,715        2,351  

WP Carey, Inc.

      111,771        6,308  
     

 

 

  

Total

         99,461  
     

 

 

  

Utilities (3.3%)

      

ALLETE, Inc.

      29,378        1,752  

Black Hills Corp.

      34,753        1,898  

Essential Utilities, Inc.

      128,518        4,762  

IDACORP, Inc.

      25,871        2,403  

National Fuel Gas Co.

      47,090        2,530  

New Jersey Resources Corp.

      50,247        2,156  

Northwestern Energy Group, Inc.

      31,303        1,594  

OGE Energy Corp.

      102,374        3,511  

ONE Gas, Inc.

      28,344        1,829  

Ormat Technologies, Inc.

      27,456        1,817  

PNM Resources, Inc.

      43,873        1,651  

Portland General Electric Co.

      51,688        2,171  

Southwest Gas Holdings, Inc.

      30,708        2,338  

Spire, Inc.

      28,104        1,725  

UGI Corp.

      107,109        2,629  

Vistra Corp.

      171,792        11,965  
     

 

 

  

Total

         46,731  
     

 

 

  

Total Common Stocks
(Cost: $964,421)

 

      1,393,984  
     

 

 

  

Short-Term

Investments (0.0%)

 

 

         

Governments (0.0%)

      

US Treasury 0.000%, 4/11/24 b

      365,000        364  
     

 

 

  

Total

         364  
     

 

 

  

Total Short-Term Investments
(Cost: $365)

 

      364  
     

 

 

  

Total Investments (99.6%)
(Cost: $964,786)@

 

      1,394,348  
     

 

 

  

Other Assets, Less
Liabilities (0.4%)

 

      4,905  
     

 

 

  

Net Assets (100.0%)

 

      1,399,253  
     

 

 

  

 

 

 

4

Index 400 Stock Portfolio

 

Exchange Traded or Centrally Cleared Derivatives

Futures

 

Issuer   Long/
Short		     Currency     Notional Par
(000’s)		     Number
of
Contracts		    

Expiration

Date

    

Notional Value

(000’s)

     Unrealized
Appreciation/
(Depreciation)
(000’s)		     Variation Margin
(000’s)		  

E-Mini S&P MidCap 400 Futures

     Long       USD       2       18       6/24     $   5,539     $   184     $   (24)  
             

 

 

  
              $ 184     $ (24)  
             

 

 

  

 

     Financial Derivative Assets             Financial Derivative Liabilities  
                                 Market Value  
     Variation Margin (000’s)      Variation Margin (000’s)      (000’s)  
     Swaps      Futures      Total      Swaps      Futures      Total      Options  

Total Exchange-Traded or

      $    –         $   –         $    –         $    –         $     (24)        $   (24)        $     –   

Centrally Cleared Derivatives

                                                               

 

+

All par is stated in U.S. Dollar unless otherwise noted.

*

Non income producing

b

Part or all of the security has been pledged as collateral.

@

At March 31, 2024, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $964,786 and the net unrealized appreciation of investments based on that cost was $429,746 which is comprised of $491,875 aggregate gross unrealized appreciation and $62,129 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

The Fair Value Measurements and Disclosures Topic of the FASB Accounting Standards Codification defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of asset and liability, which segregates fair value measurements into levels. A summary of the fair value hierarchy is described below:

Level 1 - fair value is determined by unadjusted quoted prices in active markets for identical securities or derivatives

Level 2 - fair value is determined by other significant observable inputs

Level 3 - fair value is determined by significant unobservable inputs

The categorization of a value determined for a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Portfolio’s perceived risk of that instrument.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at March 31, 2024.

 

     Valuation Inputs  
Description   

Level 1 - Quoted

Prices

     

Level 2 -Other
Significant

Observable Inputs

     

Level 3

- Significant
 Unobservable 

Inputs

  
     (Amounts in thousands)  

Assets:

         

Common Stocks

     $ 1,393,984      $ —      $    —  

Short-Term Investments

      —        364        —  

Other Financial Instruments^

         

Futures

      184        —        —  
  

 

 

  

Total Assets:

     $    1,394,168      $    364      $ —  
  

 

 

  

^ Other financial instruments are derivative instruments such as futures and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) on the instrument, and securities sold short, reverse repurchase agreements, written options and swaps contracts, which are valued at market value.

 

5

Abbreviations (unaudited)

Abbreviations that may be used in the preceding statements

 

ADR   American Depositary Receipt
AFC   Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the underlying loans is lower than the uncapped rate, then the security will pay at the lower rate.
CSTR   Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral.
IO   Interest Only Security
PO   Principal Only Security
GDR   Global Depositary Receipt
GO   General Obligation
RB   Revenue Bond
CPURNSA   U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted
IBOR   Interbank Offered Rate
LIBOR   London Interbank Offered Rate
SOFR   Secured Overnight Financing Rate
ICE   Intercontinental Exchange
FTSE   Financial Times Stock Exchange
SONIA   Sterling Overnight Index Average Rate
SONIO   Sterling Overnight Interbank Average Rate
MUTKCALM   Bank of Japan Unsecured Overnight Call Rate
DAC   Designated Activity Company
TBA   To Be Announced
CMT   Constant Maturity Treasury
OIS   Overnight Index Swaps
BBR   Bank Bill Rate
BBSW   Bank Bill Swap Reference Rate
BONCER   National Treasury Bond in Pesos with Adjustment for CER
DIFC   Dubai International Financial Centre
EURIBOR   Euro Interbank Offered Rate
SDR   Swedish Depository Receipt
ETF   Exchange Traded Fund
Currency Abbreviations
ARS   Argentine Peso
AUD   Australian Dollar
BRL   Brazilian Real
CAD   Canadian Dollar
CHF   Swiss Franc
CNH   Chinese Yuan Renminbi - Offshore
CNY   Chinese Yuan Renminbi
DKK   Danish Krone
EUR   Euro
GBP   British Pound
HKD   Hong Kong Dollar
IDR   Indonesian Rupiah
INR   Indian Rupee
JPY   Japanese Yen
KRW   South Korean Won
MXN   Mexican New Peso
NOK   Norwegian Krone
PEN   Peruvian Sol
RUB   Russian Ruble
SAR   Saudi Riyal
SEK   Swedish Krona
SGD   Singapore Dollar
THB   Thai Baht
TRY   Turkish Lira
TWD   Taiwan Dollar
USD   United States Dollar
ZAR   South African Rand

 

1